MATHEMATICAL METHODS

FOR PHYSICS

Luca Guido Molinari

Dipartimento di Fisica, Universit`a degli Studi di Milano,

Via Celoria 16, 20133 Milano, Italy.

1
Preface
It is not completely obvious what a course titled Mathematical Methods for
Physics should include. Of course, an introduction to complex analysis, Fourier
integral, series expansions ... the list continues but time is limited, and the rest
is inevitably a matter of choice.
In preparing these notes I felt the need to present the selected topics with enough
rigour and amplitude to offer methodological examples, interesting applications.
I also grew in awareness of the beauty of the topics, true gems of intellectual
achievement, and the giants who made them. Here and there I provide some
hystorical notes. The notes are still a work in progress, as learning never ends.
They cannot replace the vision and depth of books; the good student explores
the library (and internet) and makes his own discoveries.
A textbook with similarities with these notes is: W. Appel, Mathematics for
physics and physicists, Princeton (2007). Of the many topics left out (group
theory, variational methods, measure and probability theory, differential geome-
try, functional calculus, stochastic methods, advanced linear algebra, ... ), some
are really useful; a nice introductory textbook is: M. Stone and P. Goldbart,
Mathematics for Physics, a guided tour for graduate students, Cambridge Uni-
versity Press (2009).

I thank M. Raciti for many useful comments. The last line is devoted to
my students: it is because of their participation and interest that these notes
improved in the years, and are now collected in this volume.
Milano, 1 january 2014.
Luca Guido Molinari

i
INDEX

Part I: COMPLEX ANALYSIS

1. COMPLEX NUMBERS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
Cubic equation and imaginary numbers. The quartic equation. Beyond the quartic. The
complex field.
2. THE FIELD OF COMPLEX NUMBERS . . . . . . . . . . . . . . . . . . . . . . . . . . 7
The field C. Complex conjugation. Modulus. Argument. Exponential. Logarithm. Real
powers. The fundamental theorem of algebra. The cyclotomic equation.
3. THE COMPLEX PLANE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
Straight lines and circles. Simple maps (linear map, inversion, M
obius maps). The stereo-
graphic projection.
4. SEQUENCES AND SERIES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
Topology. Sequences (quadratic maps, Julia and Mandelbrot sets). Series (absolute conver-
gence, Cauchy product of series, the geometric series, the exponential series, Riemanns Zeta
function).
5. COMPLEX FUNCTIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
Continuity. Differentiability and Cauchy-Riemann conditions. Conformal maps I. Inverse
functions.
6. ELECTROSTATICS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
The fundamental solution (the dipole). Simple problems and conformal maps (thin metal
plate, adjacent thin metal plates). Point charge and semi-infinite conductor (point charge and
conducting half-line, point charge and conducting disk). The planar capacitor (semi-infinite
planar capacitor).
7. COMPLEX INTEGRATION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
Paths and Curves. Complex integration (two useful inequalities). Primitive. Index of a closed
path.
8. CAUCHYS THEOREM FOR RECTANGLES . . . . . . . . . . . . . . . . . . . 61
9. ENTIRE FUNCTIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
Cauchys theorem. Cauchys integral formula. Other properties. Range of entire functions.
Polynomials
10. CAUCHYS THEORY FOR HOLOM. FUNCTIONS . . . . . . . . . . 70
Cauchy transform.
11. POWER SERIES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
Uniform and normal convergence. Power series. The binomial series. Generating functions

ii
and polynomials (Hermite, Laguerre, Chebyshev, Legendre, Hypergeometric series). Differen-
tial equations (Airys equation).
12. ANALYTIC CONTINUATION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88
Zeros of analytic functions. Analytic continuation. Gamma function (Stirlings formula,
Digamma function). Analytic maps.
13. LAURENT SERIES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94
Laurent series of holomorphic functions. Bessel functions (integer order). Fourier series.
14. THE RESIDUE THEOREM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
Singularities. Residues and their evaluation. Evaluation of integrals (trigonometric integrals,
integrals on the real line, principal value integrals, integrals with branch cut, integrals of hy-
perbolic functions, other examples). Enumeration of zeros and poles. Evaluation of sums.
15. ELLIPTIC FUNCTIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114
Elliptic integrals. Jacobi elliptic functions (derivatives, summation formulae, elliptic integrals,
symmetric integrals). Complex argument. Conformal maps. General theory. Theta functions.
16. QUATERNIONS AND BEYOND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128
Quaternions and vector calculus. Octonions.

Part II: FUNCTIONAL ANALYIS

17. METRIC SPACES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133
Metric spaces and completeness. Contractive maps.
18. BANACH SPACES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137
Normed and Banach spaces. Maps between normed spaces (the inverse operator). Linear
bounded operators on X (the inverse of a linear operator, the exponential of an operator, the
dual space). The Banach spaces Lp () (L1 (), Riesz-Fisher theorem, H
older and Minkowski
inequalities, Lp () spaces, L () space).
19. HILBERT SPACES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146
Inner product spaces. The Hilbert norm (Bessel and Schwarzs inequalities, parallelogram
law, polarization formulae). Isomorphism (square summable sequences). Orthogonal systems
(orthogonal polinomials, Legendre polynomials, Hermite polynomials). Linear subspaces and
projections. Complete orthogonal systems. Bargmanns space.
20. TRIGONOMETRIC SERIES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 162
Fourier series. Point-wise convergence (Gibbs phenomenon, Fourier series on [0, ]). Appli-
cations (Heat equation, Keplers equation, Vibrating string, the Euler-Mac Laurin expansion,
Poissons summation formula). Fejer sums. Convergence in the mean. Fourier series to Fourier
integrals.
21. BOUNDED LINEAR OPERATORS ON HILBERT SPACES181
Linear functionals. Bounded linear operators (integral operators, orthogonal projections, the
position and momentum operators). Unitary operators. Notes on spectral theory.
22. UNITARY GROUPS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .190
Stones theorem, Weyl operators, rotations (space rotations SO(3), SU(2), unitary represen-
tations).
22. UNBOUNDED LINEAR OPERATORS . . . . . . . . . . . . . . . . . . . . . . . . 194
The graph of an operator. Closed operators. The adjoint operator (self-adjointness). Spectral
theory (the resolvent).

iii
23. SCHWARTZS SPACE AND FOURIER TRANSFORM . . . . . 207
Introduction, The Schwartz space (seminorms and convergence), The Fourier transform in S .
Convolution product. Applications (the heat equation, Laplaces equation in the strip).
24. TEMPERED DISTRIBUTIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 217
Introduction. Special distributions (Diracs delta, Heavisides theta, Principal value, the
Sokhotski-Plemelj formulae). Distributional calculus (derivative, Fourier transform). The
Hilbert transform. Fourier series and distributions. The Kramers Kronig relations. Linear
operators on distributions (generalised eigenvectors, Green functions). The Gelfand triplet.
25. FOURIER TRANSFORM II . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 235
Fourier transform in L1 , Fourier transform in L2 (completeness of the Fourier basis).
26. LAPLACE TRANSFORM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 239
The Laplace integral. Properties. Inversion (Hankels representation of ). Convolution.
Mellin transform.

iv
 Part I

COMPLEX ANALYSIS

1
Chapter 1

COMPLEX NUMBERS

1.1 Cubic equation and imaginary numbers.

Imaginary numbers appeared in algebra during the Reinassance, with the solu-
tion of the cubic equation12 . The problem of solving quadratic equations like
x2 + 1 = 0 was considered meaningless, while a real cubic equation always has
a real solution. However, the available method eventually provided the solution
as a sum of terms with imaginary numbers.
The priority for the algebraic solution of the cubic equation is uncertain: it
was probably known to Scipione del Ferro, a professor in Bologna, and Nicol` o
Fontana (Tartaglia). The general solution3 was published in the book Ars
Magna (1545) by Gerolamo Cardano (Pavia 1501, Rome 1576). It is based
on the algebraic identity

(t u)3 + 3tu(t u) = t3 u3

which he obtained by geometric construction4 . After setting x = t u, the

identity becomes the reduced cubic equation

x3 + 3px + q = 0 (1.1)
1 Before the modern era, the solution was obtained by geometric means; the Persian poet

and scientist Omar Khayyam (IX cent.) discussed it as the intersection of a parabola and a
hyperbola, by methods that foreran Cartesian geometry.
2 Refs: Jacques Sesiano, An Introduction to the History of Algebra, Mathematical World

27, AMS; Morris Kline, Mathematical Thought from Ancient to Modern Times, 3 voll, Ox-
ford University Press 1972; Carl B. Boyer, A History of Mathematics, Princeton University
Press 1985. A source of historical news and pictures is the Mathematics Genealogy Project
[www.genealogy.ams.org].
3 The use of letters to denote parameters of equations was introduced by Francois Viete

few years later; Cardano solved examples of cubic equations, with all possible signs.
4 Consider a cube with edge length t. If three concurring edges are partitioned in segments

of lengths u and t u, the cube is cut into two cubes and four parallelepipeds. The total
volume is t3 = u3 + (t u)3 + 2tu(t u) + u2 (t u) + u(t u)2 ; simple algebra gives the
identity (W. Dunham, Journey through Genius, the Great Theorems of Mathematics, Wiley
Science Ed. 1990).

2
with tu = p and t3 u3 = q. Therefore, the solution x = t u of (1.1) is
obtained by solving the quadratic equations for t3 and u3 , in terms of p and q.
Raffaello Bombelli (Bologna 1526, Rome? 1573) in his treatise Algebra was the
first to regard imaginary numbers as a necessary detour to produce real solutions
from real cubic equations. He studied the equation x3 15x 4 = 0, with
real solution x = 4. Cardanos method works as follows: from tu = 5 and
t3 u3 = 4 obtain t6 4t3 + 125 = 0 with solutions t3 = 2 121. Imaginary
terms appear:
x = (2 + 121)1/3 + (2 121)1/3 .

Bombelli showed that 2 121 = (2 1)3 , so that imaginary terms cancel,
and the simple real result x = 4 is recovered.
Exercise 1.1.1. Show that a cubic equation z 3 + a1 z 2 + a2 z + a3 = 0 can
be brought to the standard form w3 3w + q = 0 by a linear transformation
z = aw + b. For q real, obtain the condition for having three real roots. Find
the three roots through the substitution w = s 1/s.

1.2 The quartic equation.

The Ars Magna also contains the solution of the quartic equation, due to Car-
danos disciple Ludovico Ferrari (1522, 1565). In modern language, a linear
change of the variable puts it in the form x4 = ax2 + bx + c. The great idea is
the introduction of an auxiliary parameter y in the equation:

(x2 + y)2 = (a + 2y)x2 + bx + (y 2 + c).

The parameter is chosen in order to make the right hand side (r.h.s.) of the
equation a perfect square of a binomial in x, so that square roots of both sides
can be taken. The condition is the cubic equation for y, 0 = b2 4(a+2y)(y 2 +c),
which may be solved by Cardanos formula. The value of y is entered in the
quartic equation, (x2 + y)2 = (a + 2y)[x + b/2(a + 2y)]2, and a square root brings
it to a couple of quadratic equations in x.
Example 1.2.1. To solve the quartic equation x4 3x2 2x + 5 = 0, rewrite
it as (x2 + y)2 = (3 + 2y)x2 + 2x 5 + y 2 . Choose y such that r.h.s. is a perfect
square in x, i.e. 2y 3 + 3y 2 10y 16 = 0 with a solution y = 2. Then the
equation is (x2 2)2 = (x 1)2 , i.e. x2 2 = i(x 1). The two quadratic
equations give the four solutions of the quartic.
The achievement started a great effort to solve higher order equations. Van-
dermonde and especially Giuseppe Lagrange (Torino 1736, Paris 1813) empha-
sized the role of the permutation group and of symmetric functions. In 1770
Lagrange obtained a new method of solution of the quartic equation

z 4 + a1 z 3 + a2 z 2 + a3 z + a4 = 0.

3
Since it is instructive, we give a brief description of it. The coefficients of the
equation are symmetric functions of the roots,
X X X
a1 = z i , a2 = z i z j , a3 = z i z j z k , a4 = z 1 z 2 z 3 z 4 .
i i<j i<j<k

Any other symmetric function of the roots is expressible in terms of them.

The combination of the roots s1 = z1 z2 + z3 z4 is not symmetric under all 4!
permutations. By doing all permutations only two new combinations appear:
s2 = z1 z3 + z2 z4 and s3 = z1 z4 + z2 z3 .
The p = 3 quantities A1 = s1 + s2 + s3 , A2 = s1 s2 + s1 s3 + s2 s3 and A3 = s1 s2 s3
are symmetric in s1 , s2 and s3 , and are invariant under permutations of the roots
zi . As such, they may be expressed in terms of the coefficients ai : A1 = a2 ,
A2 = a1 a3 4a4 , and A3 = a23 + a21 a4 4a2 a4 .
The si are the roots of the cubic equation s3 A1 s2 + A2 s A3 = 0, i.e.

s3 a2 s2 + (a1 a3 4a4 )s a23 + a21 a4 4a2 a4 = 0,

and can be evaluated by Cardanos method. Once s1 , s2 and s3 are obtained,

one solves the quadratic equation s1 (z1 z2 ) = (z1 z2 )2 + a4 to get z1 z2 and z3 z4 .
In a similar way one gets z1 z3 , z2 z4 and the roots are easily found.

1.3 Beyond the quartic.

For the fifth-order equation Lagrange eagerly tried to guess a polynomial com-
bination of the roots that, under the 5! permutations, could produce at most
p = 4 different combinations s1 , ..., s4 that would solve a quartic equation. His
disciple Ruffini (Modena 1765, 1822) showed that such a polynomial should be
invariant under 5!/p permutations of the roots zi , and does not exist.
The Norwegian mathematician Niels Henrik Abel (1802, 1829) put the last word
in the memoir On the algebraic resolution of equations published in 1824. He
proved that no rational solution involving radicals and algebraic expressions of
the coefficients exists for general equations of order higher than four. The iden-
tification of the special equations that can be solved by radicals was done by
Evariste Galois, by methods of group theory to which he much contributed. An
interesting result is: an equation is solvable by radicals if and only if, given two
roots, the others depend rationally on them (1830)5 .
In 1789 E. S. Bring (1786), by exploiting an earlier method by Tschirnhausen
(1683), showed that any equation of fifth degree can be brought to the amazingly
simple form z 5 +q4 z +q5 = 0, and then to z 5 +5z +a = 0 if q4 6= 0 (in general, an
equation xn + a1 xn1 + + an = 0 can be reduced to y n + q4 y n4 + + qn = 0
by means of the variable change y = p0 + p1 x + + p4 x4 and solving equations
of degree 2 and 3).
Charles Hermite succeeded in obtaining a solution of the quintic equation, in
terms of elliptic functions (1858). Such functions generalize trigonometric ones,
5 for a presentation of Galois theory, see V. V. Prasolov, Polynomials, Springer (2004)

4
which are useful to solve the cubic equation6 . Soon after Leopold Kronecker
and Francesco Brioschi7 gave alternative derivations8 .
In 1888 the solution of the general sixth order equation was obtained by Brioschi
and Maschke, in terms of hyperelliptic functions.
Of course no one would solve even a quartic by the methods described, as effi-
cient numerical methods yield the roots with the desired accuracy.

1.4 The complex field

Complex numbers were used in the early XVIII century by Leibnitz, who de-
scribed them as entities halfway between existent and nonexistent. Jean Ber-
noulli, Abraham De Moivre and, above all, the genius Leonhard Euler (1707,
1783) discovered several relations involving trigonometric, exponential and lo-
garithmic functions with imaginary argument.
The great improvement in the perception of complex numbers as well defined
entities was their visualisation as vectors, by the norwegian cartographer Caspar
Wessel (1797) and the mathematician Jean Robert Argand (1806), or as points
in the plane, by Carl Frederich Gauss. It were Gauss authority and investi-
gations since 1799, that gave complex numbers a status in analysis. Wessels
work was recognised only a century later, after its translation in French, and
Argands paper was much criticized.
In 1833 the Irish mathematician William R. Hamilton (1805, 1865) presented
before the Irish Academy an axiomatic setting of the complex field C as a formal
algebra on pairs of real numbers. In 1867 Hankel proved that the algebra of
complex numbers is the most general one that fulfils all fundamental laws of
arithmetic (Boyer).

6 for example, the equation y 3 3y+1 = 0 can be solved with the aid of trigonometric tables:

put y = 2 cos x and obtain 0 = 2 cos(3x) + 1; then 3x = 32 and 3x = 34 i.e. y1 = 2 cos( 92 )

and y2 = 2 cos( 94 ); the other solution is y3 = y1 y2 .
7 F. Brioschi (1824, 1897) taught mechanics in Pavia. He then founded Milans Politec-

nico (1863), where he taught hydraulics. He participated in Milans insurrection, and became
member of the Parliament. Among his students (in Pavia): Giuseppe Colombo (he inaugu-
rated in 1883 in Milan the first thermo-electric generator in continental Europe, by lighting
the lamps of the Scala theatre. The cables were manufactured by the newly born Pirelli.
Colombo succeeded to Brioschi in the direction of the Politecnico), Eugenio Beltrami (non
Euclidean geometry, singular values of a matrix, Laplace Beltrami operator in curved space)
and Luigi Cremona (painter).
8 A discussion of the quintic eq. is in J.V.Armitage and W.F.Eberlein, Elliptic functions,

Lon. Math. Soc. Student Text 67 (2006). See also http://wapedia.mobi/en/Bring radical,
or V. Barsan, Physical applications of a new method of solving the quintic equation,
arXiv:0910.2957v2; G. Zappa, Storia della risoluzione delle equazioni di V e VI grado ...,
Rend. Sem. Mat. Fis. Milano (1995).

5
Figure 1.1: Leonhard Euler (1707, 1783) belongs to an impressive geneal-
ogy of mathematicians, rooted in Leibnitz and the Bernoullis. Euler spent many
years in St. Petersburgh, at the dawn of the Russian mathematical school. He
discovered several important formulae for complex functions, and established
much of the modern notation. His student Joseph Lagrange was the advisor of
Fourier and Poisson. Poissons students Dirichlet and Liouville mentored illus-
trious mathematicians that contributed to the advancement of complex analysis
in Paris (on the side of Dirichlet: Darboux, and then Borel, Cartan, Goursat,
Picard, and then Hadamard, Julia, Painleve ...; on the side of Liouville: Catalan
and then Hermite, Poincare, Pade, Stieltjes ...).

Figure 1.2: Carl Friedrich Gauss (1777, 1855) became a celebrity after
computing the orbit of the first asteroid Ceres, discovered and lost of sight by
padre Piazzi in Palermo (1801). To interpolate the best orbit from observed
points, Gauss devised the Least Squares method. The orbital elements placed
Ceres in the region were astronomers were searching for the fifth planet, that
fitted in Titius and Bodes law. Gauss proved the fundamental theorem of
algebra: a polynomial of degree n has n zeros in the complex plane. He
anticipated several results of complex analysis, which he did not publish. His
genealogy contains venerable scientists as the astronomers Bessel and Encke, and
mathematicians: Dedekind, Sophie Germain, Gudermann, and Georg Riemann.
Among Gauss nephews are Ernst Kummer and Karl Weierstrass.

6
Chapter 2

THE FIELD OF
COMPLEX NUMBERS

2.1 The field C

Definition 2.1.1. The field of complex numbers C is the set of pairs of real
numbers z = (x, y) with the binary operations of sum and multiplication:

(x1 , y1 ) + (x2 , y2 ) = (x1 + x2 , y1 + y2 ), (2.1)

(x1 , y1 )(x2 , y2 ) = (x1 x2 y1 y2 , x1 y2 + y1 x2 ) (2.2)

The sum is commutative, associative, with neutral element (called zero) (0, 0)
and opposite (x, y) of (x, y). The multiplication is commutative, associa-
tive, with unity (1, 0), inverse element of any nonzero number, and with the
distributive property (z1 + z2 )z3 = z1 z3 + z2 z3 .
Exercise 2.1.2. Evaluate the inverse of a non-zero complex number (x, y).
The subset of elements (x, 0) is closed under both operations and identifies
with the field of real numbers R. Thus the field C is an extension of the field R.
If an element (x, 0) is identified by x, a pair can be written as

(x, y) = (1, 0)(x, 0) + (0, 1)(y, 0) = x + iy,

where i is Eulers symbol for the imaginary unit (0, 1). This is the usual rep-
resentation of complex numbers. Additions and multiplications are done by
regarding i as a unit with the property i2 = (1, 0) = 1.
Proposition 2.1.3. C is not an ordered field.
Proof. Suppose that for any pair of different complex numbers it is either z < w
or z > w; we show that the rules a < b a + c < b + c and a < b, c > 0
ac < bc are violated. Fix i > 0 then i2 > 0 i.e. 1 > 0. Add 1 to get 0 > 1,
multiply by i2 > 0 and obtain 0 > 1, which contradicts 1 > 0.

7
2.2 Complex conjugation
The complex conjugate (c.c.) of z = x + iy is z = x iy.
Properties: z = z (c.c. is an involution), z1 + z2 = z 1 + z 2 and z1 z2 = z 1 z 2 .
The real numbers x and y are respectively the real and imaginary parts of z:
z+z zz
x = Re z = , y = Im z = .
2 2i

2.3 Modulus
p
The modulus of a complex number is |z| = x2 + y 2 . It is |z|2 = zz and
|z| = |z|, Re z |z| and Im z |z|. The following properties qualify the
modulus as a norm and C as a normed space:

|z| 0, |z| = 0 iff z = 0, (2.3)

|z1 z2 | = |z1 ||z2 |, (2.4)
|z1 + z2 | |z1 | + |z2 | (triangle inequality) (2.5)

Proof. The first is obvious. The second: use |z1 z2 |2 = z1 z2 z 1 z 2 . Triangle

inequality: |z1 + z2 |2 = (z1 + z2 )(z1 + z2 ) = |z1 |2 + |z2 |2 + z 1 z2 + z1 z 2 ; the last
two terms are 2 Re(z 1 z2 ) 2|z 1 z2 | = 2|z1 ||z2 |. Then |z1 + z2 |2 |z1 |2 + |z2 |2 +
2|z1 ||z2 | = (|z1 | + |z2 |)2 .
If 1/z is the inverse of z it is |z(1/z)| = 1 i.e. |1/z| = 1/|z|.
The modulus simplifies the evaluation of the inverse of a complex number:
1 z 1 x y
= 2 i.e. = 2 i 2
z |z| x + iy x + y2 x + y2

Remark 2.3.1. Property (2.4) has two interesting consequences:

1) The unit circle |z| = 1 is closed for complex multiplication.
2) For any four integers a, b, c, d there are integers p = ad + bc and q = |ac bd|
such that (a2 + b2 )(c2 + d2 ) = q 2 + p2 . For example: (1 + 52 )(1 + 72 ) = 122 + 342 .
Exercise 2.3.2. Prove that |z1 + z2 |2 + |z1 z2 |2 = 2|z1 |2 + 2|z2 |2 (in a paral-
lelogram, the sum of the squares of the diagonals equals the sum of the squares
of the sides).
Exercise 2.3.3. Prove the very useful inequalities:

1 (|x| + |y|) |x + iy| |x| + |y| (2.6)

2
 
 |z| |w|  |z w| (2.7)
 

Hint: |z w|2 = (|z| |w|)2 + 2|z||w| 2Re(zw).

8
2.4 Argument
A nonzero complex number z = x + iy may be represented as z = |z|(cos +
i sin ) (polar representation), where cos = x/|z| and sin = y/|z|. The number
cos + i sin belongs to the unit circle, where multiplication acts additively on
phases:
(cos 1 + i sin 1 )(cos 2 + i sin 2 ) = cos(1 + 2 ) + i sin(1 + 2 ).
De Moivres formula follows: (cos + i sin )n = cos(n) + i sin(n).
At this stage, Eulers representation cos + i sin = ei is introduced as a
definition. It is consistent with the rule ei ei = ei(+) . Then we write:
z = |z|(cos + i sin ) = |z|ei (2.8)

The phase is the argument of z ( = arg z) and is defined up to integer

multiples of 2. Note the property arg (z1 z2 ) = arg z1 + arg z2 .
The principal argument Arg z is the single determination such that
< Arg z .
With the choice 2 < Arctan s
2, the geometric construction in fig.2.1 shows
that
y
Arg z = 2 Arctan (2.9)
|z| + x
The sign of Arg z is the same as y = Im z. The real negative semi-axis is a line
of discontinuity (branch cut). By definition its points have Arg z = .

-1

-2

-2 -1 0 1 2

Figure 2.1: Given z = x + iy, the angle = Argz is twice the angle at the
circumference. The latter is always in the interval ( 2 , 2 ], and y = (|z| +
x) tan(/2) with the correct sign.

Exercise 2.4.1. Show that:

2
if < Arg a + Arg b
Arg(ab) = Arg a + Arg b + 0 if < Arg a + Arg b (2.10)

2 if Arg a + Arg b

9
Remark 2.4.2. It is Arg(ab) = Arg a + Arg b when < Arg a + Arg b .
The condition corresponds to the geometric fact that the segment with extrema
a and b does not cross the branch cut (i.e. the points a and b see each other).
Proof: If Arg a 0 then < Arg b Arg a i.e. Arg a Arg b < : all
points in this angular sector see the point a. The same conclusion is found if
Arg a < 0.
Corollary: Arg(a/b) = Arg a Arg b if the points a and b are in sight.
Other single determinations of the argument are possible, and always have
a line of discontinuity from the origin to infinity.
For example, if the line is chosen as the imaginary half line z = ix (x 0), the
range of values of this arg is ( 32 , 12 ]. The points on the cut, by definition,
have argument 12 ; other values are: arg(1 + i) = 5 4 , arg (1) = , arg
1 = 0.
Exercise 2.4.3. Write the numbers 1 i in polar form.
ia ib
Exercise  2.4.4. Write e + e in polar form ab (a, b R). Answer: eia + eib =
ab  2i (a+b)+i

2 cos 2 e
 , where = 0 or if cos 2 is positive or negative.
Exercise 2.4.5. Show that the numbers
1 + is
z= , sR
1 is
belong to the unit circle. Is the map s Arg z invertible? If H is a Hermitian
matrix, show that U = (1 + iH)(1 iH)1 is a unitary matrix.

2.5 Exponential
The exponential of a complex number z = x + iy is defined as follows:

ez = ex eiy = ex (cos y + i sin y) (2.11)

It exists for all z and defines the exponential function on C, with the fundamental
property
ez e = ez+
The exponential function is periodic, with period 2i: ez+2i = ez , for all z.
The trigonometric functions
cos z = 21 (eiz + eiz ), sin z = 1
2i (e
iz
eiz )
with (cos z)2 + (sin z)2 = 1, are periodic with period 2. Note that they are
unbounded in the imaginary direction. One also defines tan z = sin z/ cos z and
cot z = 1/ tan z. The hyperbolic functions
cosh z = 21 (ez + ez ), sinh z = 12 (ez ez )
with (cosh z)2 (sinh z)2 = 1, are periodic with period 2i. They are unbounded
in the real direction. One defines tanh z = sinh z/ cosh z and coth z = 1/ tanh z.

10
Exercise 2.5.1.
1) Show that |ez | = ex , ez = ez .
2) Find the zeros of sinh(az + b), a, b R.
3) Show that | cosh(x + iy)| cosh x.
Exercise 2.5.2 (Chebyshev polynomials).
Show that cos(n) = Tn (t) is a polynomial in t = cos of degree n (Chebyshev
polynomial of the first kind). Evaluate the first few polynomials. Show that they
have the following properties of recursion and orthogonality:

Tn+1 (t) 2t Tn (t) + Tn1 (t) = 0 (2.12)

Z 1
dt 0
n 6= m
Tm (t)Tn (t) = n=m=0 (2.13)
1 1 t2
/2 n = m 6= 0

Prove similar properties for the Chebyshev polynomials of the second kind:

sin[(n + 1)]
Un (t) = (t = cos ).
sin
Hint: 2 cos(n) = (cos + i sin )n + c.c.

2.6 Logarithm
The logarithm of a complex number z is the exponent that solves the equality
elog z = z. Note that log z is not defined for z = 0. Because of the periodicity
of the exponential function, there are an infinite number of solutions: if log z is
a solution, also log z + i2k is a solution for any integer k. All such solutions
are denoted as log z. The product rule of exponentials implies log(z1 z2 ) =
log z1 + log z2 . In particular, with z = |z|ei one obtains

log z = log |z| + i arg z + i 2k, kZ (2.14)

While the real part of log z is well determined as the log of a positive real
number, the imaginary part reflects the same indeterminacy of the argument of
a complex number.
It is natural to define the principal logarithm of a number as

Log z = log |z| + i Arg z (2.15)

The Log has a cut of discontinuity along the real negative axis: for vanishing
> 0 and x < 0: Log (x + i) = log |x| + i (the formula holds also for = 0,
Log (1) = i) and Log (x i) = log |x| i.
Remark 2.6.1. By the Remark 2.4.2, it is Log(ab) = Log a + Log b when a and
b are in sight; it is Log(a/b) = Log a Log b when a and b are in sight.

11
 In full analogy with the argument, different single-valued determinations of
the log are possible and always have a line of discontinuity (branch cut) from
0 to (branch points). Therefore, log(i) is i 2 if the principal log (Log) is
used. It is i 23 if the log is chosen with cut on the real positive half-line. It is
i 2 if the cut is on the half-line z = ix, x 0.
1+i
Exercise 2.6.2. Evaluate Log 1i , Log(iei ).
Exercise 2.6.3. What are Log(z), Log z, Log(1/z), and Log(1/z) in terms
of Log z?

Exercise 2.6.4. Prove that, for 0 < < 2: Log (1 ei ) = log[2 sin( 21 )] +
i 21 ( ).

2.7 Real powers

The real power of a complex number is defined as

z a = ea log z (2.16)
In general it is multi-valued (such is the log):
z a = |z|a exp (i a argz + i 2ak), k = 0, 1, 2, . . . (2.17)
Lets consider the various cases:
a Z: the power z n is single-valued (z 2 = z z, z 1 = 1/z, etc.).
a Q (a = p/q, with p and q coprime): the sequence of powers is
periodic, and only q rootsare distinct.
Example: (1 + i)2/3 = ( 2ei/4 )2/3 = 21/3 exp(i 6 + i 34 k), the values
k = 0, 1, 2 give three distinct powers.
a is irrational: the setof powers is infinite.
Example: (1+i) = ( 2ei/4 ) = 2/2 exp(i 2 /4+i2 2k), k = 0, 1, 2, . . ..
Exercise 2.7.1. Evaluate: 81/3 , (1)1/5 , i1/4 , (1 i)1/6 .
Exercise 2.7.2. Show that the square roots of z = a + ib are:
s s
a 2 + b2 + a b 2
+i
2 2 a2 + b 2 + a

Exercise 2.7.3. Show the properties: |z a | = |z|a , z a z b = z a+b , (z)a = z a a

(for multivalued powers, the sets in the two sides must coincide).
Remark 2.7.4. Eq.(2.16) defines in general the power of a complex number
with complex exponent:
z a+ib = e(a+ib) log z
Examples: 1i = ei log 1 = {ei(0+2ik) }kZ = {1, e2 , e4 , . . . };
1i

(1i)(log 2+i
( 1 +2k) i( +2klog 2)
(1 + i) = {e 4 +2ik) }
kZ = { 2e 4 e 4 }kZ

12
2.8 The fundamental theorem of algebra.
Among the great advantages of the complex field is the property that any poly-
nomial of degree n with complex coefficients has precisely n zeros in C (funda-
mental theorem of algebra)1 . Therefore, a polynomial always admits the unique
factorization:

p(z) = a0 (z z1 )(z z2 ) (z zn ), (2.18)

where z1 , . . . , zn are the zeros (or roots). The proof was provided by the
princeps mathematicorum Carl Friedrich Gauss, in his doctorate dissertation
(1799). Through graphical methods he showed that any polynomial p(x + iy) =
u(x, y) + iv(x, y) (with real coefficients) necessarily has at least one root. The
equations u(x, y) = 0 and v(x, y) = 0 describe two curves in the plane, and
Gauss was able to show that they have at least one intersection. Before him,
Girard (1629), dAlembert (1748) and Euler (1749), proved the weaker state-
ment that any polynomial with real coefficients can be factorized into real linear
and quadratic terms.
A simple rigorous proof of the fundamental theorem will be given on the basis
of Liouvilles theorem for entire functions.

2.9 The cyclotomic equation

The roots of the equation z n = 1 are the corners of a regular n-polygon inscribed
in the unit circle:
2k 2k
k = cos + i sin , k = 0, . . . , n 1.
n n
Since z n 1 = (z 1)(z n1 + + z + 1), the roots 1 , . . . , n1 solve the
cyclotomic equation z n1 + + z + 1 = 0.
In 1796 Gauss, then a young student, announced the possibility to construct by
ruler and compass the regular polygon with n = 17 sides. Five years later he
gave a sufficient condition2 for a polygon to be constructible by ruler and com-
pass: n = 2k pm m2 k
1 p2 , where the factor 2 accounts for repeated duplications
1

of the number of sides of a more basic polygon. The powers pm are either 1 or
q
powers of a Fermat number (i.e. p = 22 + 1) that is also a prime number3 . The
polygons n = 3, 4, 5 (i.e. p = 1, 3, 5) and duplications (n = 6, 8, 10, . . . ) were
2
known since Euclids time. The next Fermat prime number is p = 22 + 1 = 17.
1 This intuitive explanation is from Timothy Gowers, The Princeton companion to Mathe-

matics, Princeton University Press, (2009). Let p(z) = z n + a1 z n1 + + an , with an 6= 0.

For very large R the set p(Rei ) Rn ein , [0, 2), approximates a circle of radius Rn
run n times, that contains the origin. For very small R, the set p(Rei ) an1 Rei + an is
a circle does not contain the origin. By continuity, there must be a value R such that the set
contains the origin i.e. an angle such that p(Rei ) = 0.
2 Wantzel (1836) showed that it is also necessary.
3 Euler showed that the Fermat number 232 + 1 (q = 5) is not a prime number.

13
Gauss was so proud of his discovery, that he asked for a 17-polygon to be carved
on his gravestone4.
n1
Exercise 2.9.1. Let {k }k=0 be the roots of z n = 1. Show that:

0p + + n1
p
=0 p = 1, . . . , n 1 (2.19)
n n
a b = (a b)(a 1 b) (a n1 b) (2.20)

Exercise 2.9.2. Solve the equation z 5 = 1 for the vertices of a pentagon, and
2 1
obtain cos 5 = 4 ( 5 1).
Hint: let k = ei2k/5 , k = 0, .., 4 be the solutions. Since their sum is zero (the
coefficient of z 4 is zero in the equation), also the real part of the sum vanishes:
1 + 2 cos 2 4
5 + 2 cos 5 = 0, from which the solution is found.

Exercise 2.9.3 (Discrete Fourier transform5 ). Show that the following N N

matrix
1 2
Frs = ei N rs
N
is unitary. Evaluate F 2 and show that F 4 = 1. What are the eigenvalues of F ?
(Hint: you need the sum of powers of the N roots of unity).
Exercise 2.9.4 (Madhava Math. competition, 2013). Let 1 , . . . N be the N
roots of unity. Show that if z is a point of the unit circle, then N 2
P
k=1 |z k |
is the same for all z.
Exercise 2.9.5. Consider the following n n matrix:

0 1
.. ..
. .
S= (2.21)
. .. 1

1 0

Its action on a vector u Cn is a cyclic shift of the components: (Su)k = uk+1

and (Su)n = u1 . Therefore S n = In .
1) Show that S n1 = S T (T means transposition).
2) Find the eigenvalues and the eigenvectors of S.
3) Find the spectrum of the periodic Laplacian matrix = S + S T 2In

2 1 1
1 ... ...


=
. .. . .. 1

1 1 2
4 The tale of the (28 + 1)gon is narrated in the nice book Dr. Eulers fabulous formula

by Paul Nahin, Princeton Univ. Press (2006).

5 M.L.Mehta, Eigenvalues and eigenvectors of the finite Fourier transform, J. Math. Phys.

28 (1987) 781.

14
4) Find the characteristic poylnomial det(zIn ).
5) Write down the circulant matrix a0 + a1 S + + an1 S n1 , ai C, and
evaluate its eigenvalues and eigenvectors.
Exercise 2.9.6. Evaluate the characteristic polynomial of the n n matrix

0 1 0
1 ... ...


H0 = .
.. ..
. . 1
0 1 0

Hint: Let Dk (z) be the determinant of the matrix zIk H0 . Show that it solves
the recursion Dk+1 (z) zDk (z) + Dk1 (z) = 0. Find the initial conditions
D1 (z) and D0 (z). Note that:
     
Dk+1 (z) D1 (z) z 1
= Tk , T =
Dk (z) D0 (z) 1 0

T k is the transfer matrix. By the Cayley-Hamilton theorem, a matrix solves its

characteristic equation, then: T 2 zT + 1 = 0. This implies that T k = aT + bI2
with numbers a, b to be found.

15
Chapter 3

THE COMPLEX PLANE

The modulus of a complex number defines an Euclidean distance between points

z = (x, y) and z = (x , y ) in the complex plane:
p
d(z, z ) = |z z | = (x x )2 + (y y )2 (3.1)

Results of Cartesian geometry of R2 can be transposed to C. Disks, circles and

lines are important in complex analysis; lets review them in complex notation.

3.1 Straight lines and circles

Given two points a and b in C, the oriented straight line ab has parametric
equation z(t) = (1 t)a + tb, t R. The restriction 0 t 1 traces the closed
segment [a, b] from a to b.
A circle C(a, r) with center a and radius r has equation |z a| = r. The
parameterization

z() = a + rei , 0 < 2 (3.2)

endows the circle with the standard anticlockwise orientation.

Exercise 3.1.1.
1) Give conditions for the lines ab and cd to be parallel or orthogonal.
2) Find the corners of the squares and of the equilateral triangles having one
side on the segment [a, b].
3) Describe the sets: Arg(z i) = 3 , |Arg(z i)| < 3 .
4) Given three points z1 , z2 , z3 , find the circle through them.
5) Show that the locus |z a|2 + |z b|2 = |a b|2 is a circle with diameter
[a, b]. Find the parametric equation of the circle.
6) Show that the locus |z a| = |z b|, > 0, is a circle with radius r =
a2 b
|12 | |a b| and center c = 12 . The value = 1 corresponds to the limit
case of a line (the axis of the segment [a, b]).

16
Exercise 3.1.2.
1) Find the equation of the ellipse with foci z1 and z2 , major semiaxis length a.
2) Study the family of Cassini ovals1 |z 2 1| = r2 as r changes. Show that it is
a single closed line for r 1.
3) Give the conditions for a point z to be inside the triangle with vertices a, b, c.
Answer: z = a + b + c, where + + = 1 and 0 , , 1.

3.2 Simple maps

In this section we study simple maps w = F (z), where F : C C. The subject
is of considerable interest and will be fully appreciated after the discussion of
analytic functions.
It is useful to introduce the extended complex plane C by adjoining the
point to C with the rules z + = + z = and z = z = (z 6= 0).
Moreover, one puts the conventions z/ = 0 (z 6= ), and z/0 = (z 6= 0).

3.2.1 The linear map

The linear map w = az + b has one fixed point2 z = b/(1 a). By writing
w z = a(z z ) one obtains

|w z | = |a||z z |, arg (w z ) = arg a + arg (z z )

Therefore the map is a dilation by a factor |a| of all segments originating from
z and a rotation of the plane by arg a around the fixed point.
Equivalently, the map can be viewed as a rotation by arg a around the origin
and a dilation centred in the origin (z = az), followed by a shift (w = z + b).
Exercise 3.2.1. Show that a linear map takes circles to circles and straight
lines to straight lines.

3.2.2 The inversion map

The map w = 1/z transforms a circle |z| = r centred in the origin into the circle
|w| = 1/r. The interior of the unit circle is exchanged with the exterior.
By regarding straight lines as circles with a point at infinity, the inversion takes
circles to circles (prove it). Then, a straight line that does not contain the origin
is mapped to a circle through the origin; only straight lines through the origin
(containing both 0 and ) are mapped to straight lines through the origin.
Conversely, circles through the origin are mapped to straight lines, and circles
not through the origin are mapped to circles.
1 A Cassini oval is the planar locus of points whose distances from two points have constant

product: |z a| |z b| = C 2 .
2 A fixed point of a map is one that is mapped in itself, z = F (z ).

17
 y
4
v=1/4

u=1/6
u=1/3

6 x

v=1/2

Figure 3.1: Inversion map. The circles through the origin of the z plane with
centers on the real or the imaginary axis are pre-images of lines of constant u
or v in the w plane. As the lines form an orthogonal grid, also the circles cross
at right angles.

Set w = u + iv, the image of x + iy has Cartesian coordinates

x y
u= , v=
x2 + y2 x2 + y2
A line u(x, y) = U in wplane is the image of a circle through the origin z = 0
1
with center ( 2U , 0). A line v(x, y) = V is the image of a circle again through the
1
origin with center (0, 2V ). All these circles, that are mapped to the orthogonal
grid of u v lines, are orthogonal to each other (well give a general proof of
this).
Exercise 3.2.2. For the inversion map:
1) Find the image of the circle |z i| = 1.
2) Show that the circle with center z0 and radius z0 is mapped to the axis of the
segment [0, 1/z0].
3) Obtain the image of the line |z a| = |z b|, where a, b C.

3.2.3 M
obius maps
A M
obius map w = M (z) is a linear fractional transformation
az + b
M (z) = , ad bc 6= 0 (3.3)
cz + d
The map is unchanged if the complex parameters a, b, c, d are multiplied by the
same nonzero value. It has at most two fixed points z = M (z ). For c 6= 0 the
image of the point d/c is , and the image of is a/c.
Proposition 3.2.3. M
obius maps form a group.

18
Proof. To the M
obius map (3.3) there corresponds an invertible matrix
 
a b
L= , det L 6= 0. (3.4)
c d

Such matrices form the linear group GL(2, C) of invertible complex 2 2 ma-
trices. If ML (z) is the M
obius map with parameters specified by the matrix L,
the composition of two M obius maps is ML (ML (z)) = ML L (z).
The linear map and the inversion map are Mobius maps with matrices
   
a b 0 1
(3.5)
0 1 1 0

If c 6= 0 the factorization
   adbc a
  
a b c c
0 1 c d
= . (3.6)
c d 0 1 1 0 0 1

shows that a M obius map is a composition of two linear maps with an inversion
between (the case c = 0 is already a linear map). As a consequence:
1) circles are mapped to circles (where a straight line is a circle with point at
). More precisely, M (z) takes every line and circle passing through d/c into
a line, and every other line or circle into a circle.
2) Mobius maps are bijections from C to C (actually, they are the most general
bijections of the extended complex plane).
A M obius map can be specified by the requirement that three points (z1 , z2 , z3 )
are mapped (in the order) to prescribed points (w1 , w2 , w3 ). The choice (0, 1, )
for the image points gives the M obius map
z z1 z2 z3
M (z) = . (3.7)
z z3 z2 z1
It maps the circle through z1 , z2 and z3 to the real axis (the circle that contains
0,1 and ).
Example 3.2.4. Find a M obius map (3.3) that takes the real axis to |w1| = 1.
The map is not unique. We may decide that z = 0 is a fixed point: then
b = 0. Next, we may require that the point at infinity maps to w = 2i, i.e.
2i = a/c (let us choose c = 1). The choice that the upper half-plane is mapped
onto the interior of the disk |w 1| < 1 is met, for example, if we require that
the centre w = i of the circle is the image of a point in the upper half-plane.
For example, we may require that i i, i.e. d = i. The map is:
2iz
w=
z+i
A lot more must be understood. The singularity z = i is mapped to infinity:
any circle or line through it is mapped to a line.

19
 3.0

2.5

2.0

1.5

1.0

0.5

0.0

-1.5 -1.0 -0.5 0.0 0.5 1.0 1.5

Figure 3.2: The M obius map of example 3.2.4. The x and y axes are mapped
to the thick circle and the v axis of the wplane; 0 and i are fixed points. The
circles with center on v axis are images of horizontal lines, while the other are
images of vertical lines. The upper half plane is mapped to the interior of the
thick circle.

The parallel lines Im z = Y (z = x + iY ) are mapped to circles inside the disk if

Y > 0 and outside the disk if Y < 0, but all tangent at the point w = 2i. Their
equations are parametrically given by:

2x 2x2 + 2Y (Y + 1)
w= + i , xR
x2 + (Y + 1)2 x2 + (Y + 1)2

The circles cross the v axis in w = 2i and w = 2iY /(Y + 1), and have diameters
2/|Y + 1|. The line z = x i is special, and is mapped to the line w = (2/x)+ 2i.
The parallel lines z = X + iy are mapped to circles through w = 2i:

2X 2X 2 + 2y(y + 1)
w= + i , yR
X 2 + (y + 1)2 X 2 + (y + 1)2

They are orthogonal to the previous circles.

Exercise 3.2.5.
1) Find the images of |z 1| = 1 and |z 1| = 2 for the map 2 + (1/z).
2) Evaluate the M obius map that takes (z1 , z2 , z3 ) to (w1 , w2 , w3 ).
3) Identify the M obius maps that take the upper half-plane H = {z : Imz > 0}
to the unit disk D = {w : |w| < 1}, and those that take D to D.
4) Let 0 and 1 be the fixed points of a M obius map M (z). Write the general
equation of circles through the two points, and evaluate their images under M (z).
5) Evaluate the n-th iterate (M M M )(z) of a M obius map M (z) (Hint:
use the Cayley-Hamilton Theorem for matrices).

20
3.3 The stereographic projection
The stereographic projection is a bijection among the points of the extended
complex plane and the points of the Riemann sphere S2 .
In a 3D Cartesian frame XY Z consider the spherical surface X 2 +Y 2 +(Z 12 )2 =
1 3
4 ; it is tangent to the plane Z = 0 in its south pole . Identify the plane Z = 0
with the complex plane z. A segment driven from the north pole (0, 0, 1) to a
point z in the complex plane intersects the spherical surface at the point

1 z+z 1 zz |z|2
X= , Y = , Z= (3.8)
2 |z|2 + 1 2i |z|2 + 1 |z|2 + 1

The north pole corresponds to the point of the extended plane.

The Euclidean distance kP P k in R3 between two points of S2 defines the
chordal distance between the two corresponding points in C:

|z z |
dc (z, z ) = p p (3.9)
1 + |z|2 1 + |z |2

The chordal distance differs from the distance established by the modulus,
d(z, z ) = |z z |. Its limit value 1 is achieved when one of the points is at
infinity.
Exercise 3.3.1. Find the coordinates (X , Y , Z ) of the point antipodal to
(X, Y, Z) on the Riemanns sphere. How are their images in C related?
(Answer: z = 1/z)
Proposition 3.3.2. The stereographic projection maps circles in S2 to circles
in C. The circles through the north pole are mapped to straight lines.
Proof. The locus of points of S2 with Euclidean distance R from a point C S2
is a circle. The image in C of the circle is the locus dc (z, zC ) = R, or |z zC |2 =
R2 (1 + |z|2 )(1 + |zC |2 ): the equation of a circle. If the circle in S2 goes through
the north pole, the image contains z = and thus it must be R2 (1 + |zC |2 ) = 1
to balance infinities, i.e. the equation is linear in z (a straight line).

Proposition 3.3.3. The stereographic projection is conformal (angle-preserving).

Proof. A triangle in C has vertices z, z + and z + . The angle in z is given
by Carnots formula:
+
cos =
2||||
3 The Riemanns sphere is often fixed to have unit radius and center in the origin; other

choices are possible.

21
 Z

P
C

O Y
H

Figure 3.3: The stereographic projection maps a point Q C of coordinate z

to a point P = (X, Y, Z) of the Riemann sphere. The correspondence among
coordinates is obtained through the similitudes: 1 : Z = |z| : (|z| X 2 + Y 2 )
(ON : HP = OQ : HQ); Re z : X = OQ : OH, Im z : Y = OQ : OH.

The corresponding points on the Riemanns sphere form a triangle with side-
lengths given by the chordal distances. The angle corresponding to is

dc (z, z + )2 + dc (z, z + )2 dc (z + , z + )2
cos =
2dc (z, z + )dc (z, z + )
|| (1 + |z + |2 ) + ||2 (1 + |z + |2 ) | |2 (1 + |z|2 )
2
= p
2|||| (1 + |z + |2 )(1 + |z + |2 )

In the limit ||, || 0, identifies with the spherical angle and .

Exercise 3.3.4 (Rotations). Show that the M obius maps that preserve the
chordal distance, dc (M (z), M (z )) = dc (z, z ) for all z, z C, have

|a|2 + |c|2 = |b|2 + |d|2 = 1, ab + cd = 0, |ad bc| = 1

They form a group, which is represented by the matrix group U (2) of unitary
matrices on C2 . Via the stereographic map, these maps induce rigid transfor-
mations of the sphere S2 to itself (rotations and reflections).
The subgroup SU (2) corresponds to the choice ad bc = 1, and induces pure
rotations.

22
Chapter 4

SEQUENCES AND
SERIES

4.1 Topology
The modulus endows C with the structure of normed space1 and defines a dis-
tance between points, d(z, z ) = |z z |. Therefore (C, d) is also a metric space.
Furthermore, at every point z one may introduce a basis of neighbourhoods,
which makes C a topological space. The elements of the basis are the disks
centred in z with radii r > 0:

D(z, r) = { : | z| < r}.

The following definitions and statements are important and used thoroughly:
A set S in C is open if for every point z S there is a disk D(z, r) wholly in
S. The union of any collection of open sets is an open set; the intersection
of two open sets is open.
A point z C is an accumulation point of a set S if every disk D(z, r)
contains a point in S different from z.
A boundary point of S is a point z such that every disk D(z, r) contains
points in S and points not in S. The boundary of S is the set S of
boundary points of S.
A set is closed if it contains all its boundary points. The closure of a set
S is the set S = S S.
A set S is disconnected if there are two disjoint open sets A and B such
that S A B but S is not a subset of A or B alone. A set is connected
if it is not disconnected.
1 Normed, metric and topological spaces are general structures that will be defined later.

23
Proposition 4.1.1. A set S is closed if and only if C/S is open.
Proof. Suppose that S is closed, then for any z / S there is a disk that does
not contain points in S (otherwise z S S), i.e. C/S is open. On the other
hand, if C/S is open, every point in C/S cannot be in S, i.e. S contains its
frontier (S is closed).
Definition 4.1.2. A domain is a set both open and connected.
Proposition 4.1.3. Any two points in a domain can be joined by a continuous
polygonal line in the domain.

4.2 Sequences
Complex sequences are maps N C, and are basic objects in mathematics.
They arise in analysis, approximation theory, iteration of maps. Infinite series
and infinite products are limits of sequences of partial sums and partial products.
General statements about sequences are now presented.
Definition 4.2.1. A sequence zn converges to z (zn z) if |zn z| 0 i.e.

N such that |zn z| < , n > N . (4.1)

Exercise 4.2.2.
1) Show that if zn z and wn w then: i) zn + wn z + w, ii) zn wn zw,
iii) zn /wn z/w if wn , w 6= 0, iv) z n z.
2) Show that a sequence zn is convergent if and only if both Re zn and Im zn are
convergent in R.
3) Show that if zn z, then |zn | |z|. Hint: use inequality (2.7).
Definition 4.2.3. A sequence zn is a Cauchy sequence if

> 0 N such that : |zn zm | < , m, n > N . (4.2)

A convergent sequence is always a Cauchy sequence, but the converse may not
be true. When every Cauchy sequence is convergent to a limit in the space, the
space is termed complete. The Cauchy criterion is then an extremely useful tool
to predict convergence, without the need to identify the limit.
Proposition 4.2.4. C is complete
Proof. The inequalities (2.6) imply that {xn + iyn } is a Cauchy sequence if and
only if both {xn } and {yn } are Cauchy sequences. Since R is complete, they
both converge. Let x and y be their limits, then |(xn + iyn ) (x + iy)| 0.

24
Figure 4.1: The Mandelbrot set is the locus of c-values such that the sequence
zn+1 = zn2 + c starting from z0 = 0 remains bounded. The Filled Julia sets for
some values of the parameter c are shown. An initial point z0 picked in a filled
Julia generates a bounded sequence.

4.2.1 Quadratic maps, Julia and Mandelbrot sets

The iteration of a map z = F (z), with function F : C C and initial value
z, generates a sequence: z, F (z), F (F (z)), ... A sequence depends on the
initial value, and this dependence may be surprisingly interesting. The problem
was studied by Pierre Fatou and Gaston Julia in the early 1900. The simplest
non-trivial function is
F (z) = z 2 + c, c C.
The quadratic map has two fixed points: z = z 2 + c. Near a fixed point it is
F (z) z + 2z (z z ). The number 2|z | depends on c and can be greater, less
or equal to one. The linearized map is accordingly locally expanding, contracting
or indifferent, i.e. the distance of images |F (z) z | is greater, less or equal to
the distance |z z |.
The sequences that escape to define a set of initial points Ac () called
the attraction basin of . Of course, if z Ac () also F (z) and the whole
sequence belongs to it. It was proven that it is an open and connected set.
The complementary set Kc is the filled Julia set. It contains the initial points
of bounded sequences and it is a closed and bounded (i.e. compact) set. The
boundary is the Julia set Jc . Each set Ac (), Kc and Jc is invariant under the

25
map.2 Fatou and Julia proved the theorem: If the sequence 0, c, F (c), F (F (c)), ...
diverges to , i.e. 0 Ac (), then Jc is totally disconnected, whereas if 0 Kc ,
then Jc is connected.
While at IBM, in 1980, Benoit Mandelbrot (1924-2010) studied with the aid of
a computer the properties of invariant Julia sets of the quadratic map and more
complex ones, and disclosed the beauty of their fractal structures (see the book
by Falconer for further reading, and Wikipedia for wonderful pictures). The
Mandelbrot set (1980) is the set of parameters c C such that Jc is connected.
Again, it is a wonderful fractal3 .
Exercise 4.2.5. Consider the linear map zn+1 = azn + b. Write the general
expression of zn in terms of z0 . When is the sequence bounded?
Exercise 4.2.6. Study the fixed points z of the exponential map z = ez .
Show that they come in pairs x iy with x > 0, |y| > 1 (then the linearized map
z = z + z (z z ) is locally expanding)4 .

4.3 Series
Infinite sums were studied long before sequences. The oldest known series ex-
pansions were obtained by Madhava (1350, 1425), the founder of the Kerala
school of astronomy and mathematics. He developed series for trigonometric
functions, including an error term. The one for arctan x enabled him to eval-
uate up to 11 digits. His work may have influenced European mathematics
through transmission by the Jesuits. The same series were rediscovered by Gre-
gory two centuries later.
Oresme in the XIV century, Jakob & Johann Bernoulli (Tractatus de seriebus
infinitis, 1689), and Pietro Mengoli (1625, 1686), discovered and rediscovered
the divergence
P of the Harmonic series 1 + 21 + 31 + . . . In the Tractatus, the con-
2
vergence of k 1/k was also proven, but the sum was evaluated later (1734) by
Johanns prodigious student Leonhard Euler. Euler also proved that the sum
of the reciprocals of prime numbers is divergent5.
Christian Huygens asked his student Leibnitz to evaluate the sum of reciprocals
of triangular numbers6 . The result (the sum is 2) was obtained after noting
2 For c = 0 the sets are identified easily. Clearly A () is the set |z| > 1, K is the set
0 0
|z| 1 (the filled Julia set) and J0 (the Julia set) is the unit circle |z| = 1. The action of
z z 2 on the points ei2 J0 ( [0, 1]), is the map n+1 = 2n (mod 1). A point 0
after k iterations of the map is again 0 if (2k 1)0 is an integer. Then the initial point 0
generates a periodic sequence (periodic orbit of the map) of period k. Only rational angles give
rise to periodic orbits. The irrational ones spread on the unit circle and the map is chaotic.
3 The boundary is the Mandelbrot lemniscate. It is the limit of a sequence of level curves

(lemniscates) Mn = {z C : |pn (z)| = 2}, where pn (z) is the sequence of polynomials:

p1 (z) = z, pn+1 (z) = pn (z)2 + z.
4 The map is chaotic, and is studied in arXiv:1408.1129.
5 For nice accounts see P. Pollack, Euler and the partial sums of the prime harmonic series,

http://alpha.math.uga.edu/ pollack/eulerprime.pdf; M.Villarino, Mertens Proof of Mertens

Theorem, arXiv:math/0504289.
6 The triangular numbers are n = 1, n k(k+1)
1 k+1 = nk + k = 1 + 2 + + k = 2
.

26
 1
that k(k+1) = k1 k+1
1
(the sum is a telescopic series).
Series gained rigour after Cauchy, who defined convergence in terms of the se-
quence of partial sums.

Given
Pn a sequence of complex numbers ak one constructs the partial sums
An = k=0 ak . If the sequence An converges to a finite limit A, the limit is the
sum of the series

X
A= ak .
k=0
P P P
If k ak = A and k bk = B, where A and B are finite, the series k (ak bk )
is convergent and the sum is A B.

Proposition 4.3.1. A necessary and sufficient condition for a series to con-

verge is that the sequence of partial sums is a Cauchy sequence:
 
 m+n 
 X
> 0 N such that m > N and n > 0 :  ak  < . (4.3)

 
k=m+1

In particular for n = 1 it is |am+1 | < . Therefore a necessary condition for

convergence is |ak | 0.

4.3.1 Absolute convergence

Pm+n Pm+n P
P | m+1 ak |
The inequality m+1 |ak | implies that if k=1 |ak | converges,
then also k=1 ak does.
P P
Definition 4.3.2. A series k ak is absolutely convergent if k |ak | is conver-
gent.
Absolute convergence is a sufficient criterion for convergence; moreover it deals
with series in R. We state but not prove the important property
Proposition 4.3.3. The sum of an absolutelyP convergent series does not change
if the terms of the series are permuted7 :
P
a
k k = k (k) .
a

P The following are sufficient conditions for absolute convergence of the series
k ak . They must hold for k greater than some N :

Comparison (Gauss):
X
|ak | < bk , where bk <
k
7 A convergent series that is not absolutely convergent is conditionally convergent. The

series k k
P P
k=1 i /k is convergent as it is the sum of two convergent series k1 (1) /(2k) +
k
P
i k0 (1) /(2k + 1), and is conditionally convergent. Riemann proved the surprising result
that by rearranging terms of a conditionally convergent real series one can obtain any limit
sum in R.

27
 Ratio (DAlembert): for ak 6= 0

|ak+1 |
lim sup <1
k |ak |

Root (Cauchy-Hadamard):
p
k
lim sup |ak | < 1
k

Proposition 4.3.4 (Cesaro). If the sequences |ak |1/k and |a|ak+1 k|

|
converge to
finite limits, the limits are equal. The limit coincides with lim sup.

4.3.2 Cauchy product of series

The Cauchy product of two series is the series of finite sums:
" #" # k
!
X X X X
ak br = ar bkr (4.4)
k=0 r=0 k=0 r=0

Proposition 4.3.5 (Franz Mertens, 18748 ). If a series is absolutely convergent

to A and another is convergent to B, their Cauchy product is convergent to AB.
Proposition 4.3.6. If a series is absolutely convergent to A and another is
absolutely convergent to B, their Cauchy product is absolutely convergent to
AB.
Proof.
 
n
X n X
X k  X n X
k
|ck | = ar bkr  |ar ||bkr |
 

 
k=0 k=0 r=0 k=0 r=0
n
X Xn Xn nr
X X
X
= |ar | |bkr | = |ar | |bk | |ak | |bl |
r=0 k=r r=0 k=0 k=0 l=0

Since the sequenceP nk=0 |ck | is non decreasing and bounded above, it is conver-
P
n
gent. Then Ck = k=0 ck is absolutely convergent to a limit C. The limit does
not depend on rearrangements of terms and is the sum of all possible products
ar bs . It can be evaluated as follows: C = limk (Ak Bk ) = (limk Ak )(limk Bk ) =
AB.
8 see Boas, http://www.math.tamu.edu/ boas/courses/617-2006c/sept14.pdf

28
4.3.3 The geometric series
The partial sums Sn = 1 + z + . . . + z n can be evaluated from the identities
Sn+1 = Sn + z n+1 and Sn+1 = 1 + zSn :
n
X 1 z n+1
zk = , z 6= 1 (4.5)
1z
k=0

If |z| < 1, it is limn z n = 0 and Sn (z) converges to the simple but funda-
mental geometric series

X 1
zn = , |z| < 1 (4.6)
n=0
1z

The geometric series is useful for assessing convergence of series by the com-
parison test. Consider for example the Jacobi theta function (for simplicity, we
restrict to x R): 3 (x, q) = 1 + 2 m2
P
m=1 q cos(2mx), |q| < 1. The series is
absolutely convergent:

X 2 X 1 + |q|
|3 (x, q)| 1 + 2 |q|m 1 + 2 |q|m =
m=1 m=1
1 |q|

Exercise 4.3.7. Evaluate the sums: 1 + 2 cos x + + 2 cos nx and sin x +

sin 2x + + sin nx.
Exercise 4.3.8. For a > 0, b real, obtain the sums:

X 1 sinh a X sin b
eka cos kb = + , eka sin kb =
2 2 cosh a 2 cos b 2 cosh a 2 cos b
k=0 k=0

ek(a+ib) and separate Im and Re parts.

P
Hint: evaluate the partial sums k

Exercise 4.3.9. Write (1 z 2 )1 as a geometric series in z 2 , as the product

of two geometric series, as a linear combination of two geometric series.

4.3.4 The exponential series

1 n
The sequence of partial sums En (z) = 1 + z + + n! z is absolutely convergent
for any z (ratio test):
 n+1   n 1
 z  z  |z|
 (n + 1)!   n!  = n + 1 < 1
  

for n large enough. The limit of En (z) is the exponential function:

X zn
ez = , zC (4.7)
n=0
n!

29
It is curious to observe that although ez can never be zero, its polynomial
approximations En have an increasing number n of complex zeros9 .
Exercise 4.3.10. Prove that the Cauchy product of two exp series is an expo-

nential series: ez+z = ez ez .
Exercise 4.3.11. Show that, according to (4.7), ex+iy = ex (cos y + i sin y).
Exercise 4.3.12 (Madhava math. competition 2013). Show that En (z) has no
real roots if n is even, and exactly one if n is odd10 .

4.3.5 Riemanns Zeta function

The following series is of greatest importance in number theory11 , and is often
encountered in physics:

X 1
(z) = , Re z > 1 (4.8)
n=0
(n + 1)z

Since |nz | = |ez log n | = nRez , the series converges absolutely for Re z > 1. The
values of the function are known at even integers; the following ones are very
useful (they result, for example, from certain Fourier series, see example 20.2.5):
2 4
(2) =, (4) =
6 90
Exercise 4.3.13. Prove in the order:

X 1 z
X (1)n
z
= (1 2 )(z), z
= (1 21z )(z) (4.9)
n=0
(2n + 1) n=0
(n + 1)

(since Riemanns series is absolutely convergent, the sum on even and odd n
may be evaluated separately).
By collecting in the first series the terms 2n + 1 that are multiples of 3, obtain
the sum on integers that are not divided by 2 and 3:
X 1   
1 1
= 1 z 1 z (z)
nz 2 3
n6=2k,3k

The process outlined is iterated and gives the famous representation of Rie-
manns Zeta function as an infinite product on prime numbers larger than 1:

1 Y 1

= 1 z (4.10)
(z) p
p

9 They fly to infinity. Szeg

o (1924) proved that for n the zeros of En (z) divided by n
distribute on the curve |ze1z | = 1 with |z| 1.
(see http://math.huji.ac.il/ dupuy/notes/partialsums.pdf)
10 see http://www.madhavacompetition.com, for texts and solutions. The contest is ad-

dressed to undergraduate students

11 H. M. Edwards, Riemanns Zeta Function, Dover.

30
Exercise 4.3.14. Show that 12
Z 1 Z 1 Z 1
1
dx dy dz = (3) ( 1.202057)
0 0 0 1 xyz

(hint: expand the fraction in geometric series)

12 This type of integral representation was used to prove irrationality of (2) and (3) in a

way simpler than Aperys proof of 1977 (see arXiv:1308.2720).

31
Chapter 5

COMPLEX FUNCTIONS

5.1 Continuity
A complex function is a map from some set to C. We shall focus on complex
functions of a complex variable, f : D C C where the domain D, if not
specified differently, will always be an open connected set in C. To stress that
the function depends on the input variable z = x + iy, and not also on z (i.e.
not freely on x and y), we denote it as f (z). However, the real and imaginary
parts of f are not themselves functions of the combination x + iy. For example:
z 2 = (x2 y 2 ) + i2xy, ez = ex cos y + iex sin y. We then write:

f (z) = u(x, y) + i v(x, y)

Functions as |z|, Re z 2 or z are not functions of z alone. Complex analysis is

addressed to the properties of f (z).
Definition 5.1.1. A complex function f is continuous in z0 if:

> 0 > 0 such that |f (z) f (z0 )| < if |z z0 | < . (5.1)

Proposition 5.1.2. A function f (z) is continuous in z0 D iff both Ref = u

and Imf = v are continuous in (x0 , y0 ).
Proof. The inequality |f (z) f0 | |u(x, y) u0 | (and similar for v) implies
continuity of u and v from that of f . The other way is proven by means of
|f (z) f0 | |u(x, y) u0 | + |v(x, y) v0 |. (u0 is short for u(x0 , y0 ) etc.)

32
5.2 Differentiability and Cauchy-Riemann con-
ditions
Definition 5.2.1. A function f is differentiable in z0 D if the following limit
exists

f (z) f (z0 )
f (z0 ) = lim (5.2)
zz0 z z0

i.e. there is a number f (z0 ) such that: > 0 there is a such that
 f (z) f (z ) 
0
f (z0 ) < z : |z z0 | < .
 
z z0


Then, in a neighbourhood of z0 it is f (z) = f (z0 )+f (z0 )(zz0 )+r(z, z0 )(zz0 ),

where r(z, z0 ) vanishes as z z0 . It is clear that continuity of f at z0 follows
from differentiability.
Exercise 5.2.2. Show that the limit z z0 of the incremental ratio for the
function zz does not exist.
The existence of the limit (5.2) is more demanding than in real analysis of
one variable, since z may approach z0 from all directions. It implies a strong
constraint on the real and imaginary parts of f .
Proposition 5.2.3 (Cauchy-Riemann conditions). If f (z) = u(x, y) +
iv(x, y) is differentiable in z0 , then the partial derivatives of u and v exist in
(x0 , y0 ) and the Cauchy-Riemann conditions hold in (x0 , y0 ):

u v u v
= , = (5.3)
x y y x

Proof. The incremental ratio is evaluated with z = z0 + h and z = z0 + ih

respectively (h real). By hypothesis the limits h 0 exist and coincide:
u(x0 + h, y0 ) u(x0 , y0 ) v(x0 + h, y0 ) v(x0 , y0 )
+i f (z0 )
h h
u(x0 , y0 + h) u(x0 , y0 ) v(x0 , y0 + h) v(x0 , y0 )
+i f (z0 )
ih ih
Therefore, the real and imaginary parts exist separately as partial derivatives,
and yield identities useful for the evaluation of f :
u  v 
Ref (z0 ) = = (5.4)
x (x0 ,y0 ) y (x0 ,y0 )
 
u   v  
Imf (z0 ) =  = (5.5)
y (x0 ,y0 ) x (x0 ,y0 )


33
 The converse can be proven, but with further conditions on u and v:
Theorem 5.2.4. If u and v have continuous partial derivatives in x and y in
a disk centred in z0 , and the Cauchy-Riemann conditions hold in z0 , then f (z)
is differentiable in z0 .
Proof. By means of Taylors expansion, and Cauchy-Riemann conditions at z0 :

f (z0 + h) f (z0 ) =u(x0 + hx , y0 + hy ) u(x0 , y0 ) + iv(x0 + hx , y0 + hy ) iv(x0 , y0 )

=(x u + ix v)0 hx + o(hx ) + (y u + iy v)0 hy + o(hy )
=(x u + ix v)0 (hx + ihy ) + o(hx ) + o(hy )

Divide by h. The limit h 0 exists and is f (z0 ) = (x u + ix v)(z0 ).

The standard rules of derivation for functions of a real variable continue to
hold for differentiable functions of a complex variable:

( f + g) = f + g (linearity)

(f g) = f g + f g (Leibnitz property)
2
(1/f ) = f / f (f 6= 0)
f ( g(z) ) = f (g(z)) g (z) (composite function)

Definition 5.2.5. A function f (z) which is differentiable at all points of a

domain D is holomorphic on D. A function holomorphic on C is entire.
Example 5.2.6. The function z z n , n Z, is differentiable and
d n
z = nz n1 .
dz
For n 0 it is entire, while for n < 0 it is holomorphic on C/{0}.
Example 5.2.7. The exponential function ez = ex cos y + iex sin y has real and
imaginary parts that are differentiable in x and y and solve the Cauchy-Riemann
conditions. Then it is differentiable in z:
d z x+iy
e = e = ez
dz x
Since this holds at all points in C, the exponential function is entire.
Example 5.2.8. f (z) = sin z = sin x cosh y + i cos x sinh y. The functions
u(x, y) = sin x cosh y and v(x, y) = cos x sinh y solve the C.R. equations, and
f (z) = cos z. sin z and cos z are entire functions.
Example 5.2.9. f (z) = Log z with domain C/(, 0]. The real and imaginary
parts are u(x, y) = 12 log(x2 + y 2 ) and, with the single-valued determination
2 Arctans 2 , it is:
y
v(x, y) = 2 Arctan p
x + y2 + x
2

34
The functions u and v are differentiable and solve the C.R. equations. Then
d u u x y 1
Log z = i = 2 i 2 = .
dz x y x + y2 x + y2 z
Exercise 5.2.10. Prove that if f is holomorphic on D and f (z) = 0 everywhere
on D, then f is constant on D (use identities (5.4) and (5.5)).
Remark 5.2.11. A generic function of x and y can be viewed as a function
of the independent variables z = x + iy and z = x iy. Besides the (partial)
derivative in z one may introduce the (partial) derivative in z:
 
x y 1
= + = i (5.6)
z z x z y 2 x y
 
x y 1
= + = +i (5.7)
z z x z y 2 x y
2 2 2
4 = + (5.8)
zz x2 y 2
The condition that a function does not depend on z yields the C.R. conditions:
f
0= = 12 (x + iy )(u + iv) = 12 (x u y v) + 2i (y u + x v).
z

5.3 Conformal maps (I)

To visualize a complex function f = u + iv one may plot the two real functions
u = u(x, y) and v = v(x, y) in R3 with xyu and xyv axes. However, it is far
more interesting to view f as a map w = f (z) from points (x, y) in a domain D
to points (u, v) of the w = u + iv plane (we already studied the linear map, the
inversion and the M obius map).
In this picture, the derivative f of a function gains a simple geometric
meaning. The following theorem shows that a holomorphic map locally performs
a dilation by a factor |f (z)| and an anticlockwise rotation of angle arg f (z)
(these facts were known to Gauss already in 1825).
Theorem 5.3.1. A holomorphic map with f 6= 0 preserve angles (is a confor-
mal map)
Proof. Consider a differentiable function : t [a, b] C, where [a, b] is
an interval of the real line. The range {(t), t [a, b]} is a curve in the
complex plane. The cartesian components of the tangent vector are the real
and imaginary parts of (t), we thus identify (t)
as the tangent vector. We
require (t)
6= 0 for all t.
Let z0 = (t0 ), with tangent vector (t 0 ). A holomorphic map w = f (z)
takes to the curve f (), with tangent vector f (z0 )(t
0 ) at w0 = f (z0 ). The
direction = arg (t
0 ) of the tangent vector at z0 is rotated to the direction

35
Figure 5.1: Augustin Luis Cauchy (Paris 1789, Sceaux 1857) is the man
who most contributed to the foundation of complex analysis. He introduced
mathematical rigour and discovered the fundamental integral representation of
holomorphic functions (the Cauchy integral formula): the values of a holomor-
phic function inside a region are fully determined by its values on the boundary.
The whole theory descends from this powerful formula.

Figure 5.2: Karl Weiertrass (Ostenfelde 1815, Berlin 1897) was profes-
sor in Berlin. His fame as a lecturer attracted several students: Cantor,
Frobenius, Fuchs, Grassmann, Killing, Mertens, Kovalewskaya, Runge, Schur,
H. A. Schwarz. He studied analytic functions as power series. The possibility
of constructing overlapping disks where series converge, extends the function
to broader domains (analytic continuation). He did not bother much about
priorities, and published many results late in his career.

Figure 5.3: Bernhard Riemann (Breselenz (Hannover) 1826, Verbania 1866).

The young Riemann was oriented to become a pastor, and then to study the-
ology at G ottingen. Gauss encouraged him to study mathematics. In 1854

he completed his thesis Uber die Hypothesen welche der Geometrie zu Grunde
liegen (On the hypothesis which underlie geometry) which contains his ideas
on Riemannian geometry, that generalize Gauss results about surfaces. He
succeeded to Dirichlet in the direction of the department, but died young of tu-
bercolosis during a journey to lake Maggiore. He studied holomorphic functions
as maps, and developed the theory of multi-sheeted manifolds (Riemann sur-
faces) in order to investigate multivalued functions and to extend the theorems
of single valued ones.

36
 = + arg f (z0 ) at w0 , and the length of the tangent vector is scaled by the
factor |f (z0 )|.
If two curves intersect at z0 with tangents forming a certain angle, since the
images of the tangent vectors in w0 are rotated by the same angle arg f (z0 ),
the images of the curves intersect at w0 with the same angle.
What makes holomorphic functions very special is that they depend on a
single variable z spanning a two-dimensional space.
In the study of holomorphic maps it is often useful to evaluate how a grid of
orthogonal lines (e.g. lines of constant x or y, u or v, r or ) in some domain is
mapped to, or back from, another grid of orthogonal lines.
The lines u = U and v = V in wplane are orthogonal and are the images of
the curves u(x, y) = U and v(x, y) = V in the z plane. The vectors gradu =
(x u, y u) and gradv = (x v, y v) are respectively orthogonal to the level lines
u = U and v = V and point towards increasing values of u and v. At a point of
intersection of the curves in z plane, the vectors are orthogonal by the Cauchy-
Riemann conditions:

grad u grad v = x u x v + y u y v = 0 (5.9)

The same is true for the tangent vectors: the two vectors tangent to the curves
at a point are orthogonal1.

The map w = f (z) of a domain where f is holomorphic, univalent, and

f (z) 6= 0, represents a local change of variables from (x, y) to (u, v). One
evaluates:
1
u2 + v2 = (x2 + y2 ) (5.10)
|f (z)|2
du2 + dv 2 = |f (z)|2 (dx2 + dy 2 ) (5.11)
2
du dv = |f (z)| dx dy (5.12)

Let us analyse some examples. By restricting the domain, a map can be

made one-to-one (univalent).
Example 5.3.2. The quadratic map w = z 2 : u = x2 y 2 and v = 2xy.
Since arg w = 2 arg z, the set 2 < argz 2 (the half plane Re z > 0 with
the real imaginary axis included) is mapped onto the whole wplane. The whole
zplane covers the wplane twice, a point w being the image of two points z.
The derivative of the map is 2z.
An infinitesimal square of area dx dy centred in z is mapped to an infinitesimal
square centred in z 2 with area 4|z|2 dx dy, rotated by the angle arg (2z).
1 The tangent and the normal vectors at a point of a curve are orthogonal. The vector
~t = (tx , ty ) tangent to a curve f (x, y) = c points in a direction of null variation of f (x, y).
This means that the directional derivative vanishes: 0 = ~t gradf . If vectors are represented
as complex numbers, the orthogonality means that tx + ity = i(x f + iy f ).

37
 2 2.0

1 1.5

0 1.0

-1
0.5

-2
-2 -1 0 1 2 0.5 1.0 1.5 2.0

Figure 5.4: The quadratic map w = z 2 . Left: The confocal parabolas in w-

plane are the images of the coordinate square grid x y in z-plane. Right: The
hyperbolas in z-plane are the pre-images of the orthogonal coordinate grid u v
in w-plane (only a quadrant is shown).

The lines u = U and v = V in w-plane are the images of a grid of hyperbolas

V
x2 y 2 = U, xy =
2
that intersect orthogonally. The lines x = X or y = Y are confocal parabolas in
wplane with focus in w = 0, which intersect orthogonally:
1 2 1 2
u= v + X 2, u= v Y 2.
4X 2 4Y 2
Note that in the origin the angles are not conserved (actually they are doubled
by the map): this is possible since the derivative is zero in z = 0.
Example 5.3.3. w = ez : u = ex cos y and v = ex sin y.
Since trigonometric functions are periodic, a point w is the image of infinite z
points with separation 2i. Lets restrict the exponential to a domain that is
mapped onto the wplane with origin removed. A choice is the strip < y
. The circles u2 + v 2 = r2 are images of x = log r and the radial lines Arg
w = emanating from w = 0 are images of horizontal lines y = .

Example 5.3.4. w = 12 (z+1/z): u = 21 (|z|+1/|z|) cos , v = 21 (|z|1/|z|) sin .

This is Jukowskis map2 . The circles |z| = e and the radial lines Arg z = are
mapped respectively to confocal ellipses and hyperbolas with foci in 1
u2 v2 u2 v2
2 + = 1, =1 (5.13)
cosh sinh2 cos sin2
2

2 The Russian mathematician N. Y. Jukowski (1847, 1921) used complex maps to study

aerodynamics and flows.

38
 2

-2 -1 1 2

-1

-2

Figure 5.5: The Jukowski map maps |z| > 1 to C, circles to ellipses, radial lines
to hyperbolas. The lines are confocal and intersect at right angles.

that cross at right angles. The angles are the directions of the asymptotes
of the hyperbola.
The unit circle |z| = 1 is mapped to the segment [1, 1] (degenerate ellipse), 1
are fixed points, and i are mapped to w = 0.
The map is not one-to-one as points z and 1/z have the same image. The
pre-images of a point w solve the equation z 2 2wz + 1 = 0 and their product
is one. Therefore the Jukowsky map is invertible on a domain that does not
contain both z and 1/z. Some examples of domains and images that are in one-
to-one correspondence:
* |z| > 1 is mapped to C/[1, 1]
* Im z > 0 is mapped to C/(, 1] [1, ) (the upper unit semicircle maps
to (-1,1), both real segments (0, 1] and [1, ] cover the cut [1, ), and the real
segments (, 1] and [1, 0) both cover (, 1].)
* The wedge /2 < Argz < /2 + is mapped to the region between the
branches of the hyperbola with parameter .
Conformal transformations have important applications in physics and en-
gineering (see chapter on electrostatics). They are an impressive tool to solve
differential equation in d = 2 in domains with complicated boundaries, by map-
ping them to simple ones. Its cornerstone is the following theorem, of remarkable
generality:
Theorem 5.3.5 (Riemann mapping theorem). Every simply connected do-
main in C (but not C) can be mapped bi-olomorphically onto the unit disk (or
the half plane).
A useful class of transformations are the Schwarz-Christoffel maps, from
polygons to the half-plane (for the rectangle it is an elliptic function, prop.15.4.1)3.
3 Good references are: P. Henrici, Applied and computational complex analysis, vol. 3,

39
5.3.1 Harmonic functions
At variance with real functions, we shall prove that the existence of the deriva-
tive f (z) on a domain D (holomorphism) implies that f (z) is differentiable
infinitely many times on D and admits convergent Taylor series expansion in
any disk contained in D (analyticity). Because of this, the words holomorphic
and analytic are equivalent.
This implies that the real and imaginary parts u and v are functions C (D).
The Cauchy-Riemann properties further imply that they are harmonic:

2 u = 0, 2 v = 0 (2 = x2 + y2 ).

Given a harmonic function u(x, y), the Cauchy-Riemann equations may be

solved for v(x, y), and a holomorphic function is obtained (up to a constant).
Proposition 5.3.6. If (u, v) is harmonic on Dw (a domain in the plane w =
u + iv) and if f : Df Dw is a holomorphic map, then (u(x, y), v(x, y)) is
harmonic on Df .
Proof. Direct evaluation of partial derivatives checks the statement. In alter-
native, is the real part of a holomorphic function g(w). Then g(f (z)) is
holomorphic in the variable z, and Re g(f (z)) is harmonic.
2 2
Example 5.3.7. The function ex y cos(xy) is harmonic because it is the real
2
part of the holomorphic function ez .
The function 1/z is holomorphic on C/{0}, then its real part x/(x2 + y 2 ) is
harmonic on C/{0}.

5.4 Inverse functions

Let f be a holomorphic function on a domain D; we discuss conditions for the
existence of a holomorphic inverse function f 1 .
Definition 5.4.1. A function g is a branch of f 1 with domain U f (D) if:
1) g is continuous on U ,
2) f (g(w)) = w for all w U .
Remark 5.4.2. The branch function g is univalent (injective) on U if:

g(w1 ) = g(w2 ) f (g(w1 )) = f (g(w2 )) and w1 = w2

As a special case of the implicit function theorem in two real variables, we state
the important result
Wiley (1976); T. Driscoll and L. Trefethen, Schwarz-Christoffel mapping, Cambridge Univ.
Press. (2002).

40
Theorem 5.4.3 (Inverse function theorem). Suppose that f (z) is holomorphic
on a domain D, and g(w) is a branch of f 1 (w) with domain U . Let f (z0 ) =
w0 U ; if f (z0 ) 6= 0 then g is differentiable at w0 and g (w0 ) = 1/f (z0 ).
Consequently, if f (z) 6= 0 in g(U ), then g is holomorphic on U and

1
g (w) = (5.14)
f (g(w))

We now discuss the analytic structure of some relevant inverse functions. In

these examples, the branch is chosen in order to reproduce the inverse function
of real analysis, when restricted to real variable (principal branch).

5.4.1 The square root

The function f (z) = z 2 maps C to a double cover of the wplane. It is useful to
view the image as a two-sheet Riemann surface, i.e. two copies of the wplane.
In real analysis, the square root u = x is defined on the half-line x 0, and
maps it monotonically to u 0. Therefore, a convenient choice is to identify
the first sheet as the image of the half-plane

< Arg z <
2 2
which includes the positive real axis. The first sheet has a cut: the negative
real axis Arg w = , which is the image of the imaginary axis in z plane. The
second sheet is the image of the half-plane > |Argz| > 2 . The two sheets
share an edge: the line Arg w = .
By walking anticlockwise on a circle around the origin z = 0 starting at Arg
z = /2, the image point walks in the first sheet starting at Arg w = . At
Arg z = /2 a full circle is run in the first sheet, and the walker enters the
second sheet being at the other edge of the cut Arg w = . Another circle is
completed as Arg z = 3/2. At this point we are again at Arg z = /2, i.e.
the image point is on the side of the cut where the walk in the first sheet started.
The principal branch of the square root has domain in the first sheet,

: ei ei/2 , || < (5.15)

The half line (, 0] = {w s.t. Arg w = } is a branch cut, where the square
root is discontinuous. Near the cut:
p p p p
|x| + i = i |x|, |x| i = i |x|

On the domain C/(, 0] the principal branch is holomorphic and

d 1
w= (5.16)
dw 2 w

41
5.4.2 The logarithm
The function f (z) = ez is defined for all z but, being periodic, it is not invert-
ible. On a strip y0 < Im z < y0 + the map is one-to-one with the w-plane
with a cut given by the half-line arg w = y0 + removed. The whole z-plane is
mapped to a helix (the Riemann surface of the log). It is a stack of an infinite
number of sheets (copies of w-plane with cut); each sheet is a domain of a branch
of the log: log w = log |w| + i argw (y0 + (2k 1) < arg w < y0 + (2k + 1));
it has discontinuity 2i across the cut if one remains on the same sheet. The
Riemann surface allows one to enter new sheets by crossing the cut: a 2 ascent
round the helix axis moves from one sheet to another, where the new branch of
log w differs by 2i from the previous one.
A walk parallel to the imaginary axis in z-plane in the positive direction corre-
sponds to a helicoidal path in the Riemann surface.
A value y0 (modulo 2) fixes the cuts; each sheet defines a branch of the log
which is analytic with derivative
d 1 1
log w = log w = (5.17)
dw e w
The principal log (Log) is the branch on the first sheet with the choice y0 = 0.
Its domain is C/(, 0], where Log z = log |z| + i Argz, (|Argz| < ).

42
Chapter 6

ELECTROSTATICS

Several two-dimensional problems (or three-dimensional ones, with a direction

of translation invariance) in electrostatics, magnetostatics, fluid-dynamics, elas-
ticity, may be elegantly solved in the complex plane, with proper conformal
maps that take care of the geometry. In this chapter we consider electrostatics1
(c.g.s. units are used).

6.1 The fundamental solution

The fundamental solution or Green function2 of 2D electrostatics is the solution
of Poissons equation for a unit point charge localized at z = x + iy :

2 2
+ = 4 (x x )(y y ) (6.1)
x2 y 2
The solution is easily obtained if the point charge is viewed as the section of
a thin wire orthogonal to the complex plane, with unit linear charge. The 3D
~ is radial and Gauss theorem applied to a cylinder coax-
electrostatic field E
~
p
ial with the wire gives |E(x, y)| = 2/ (x x )2 + (y y )2 . The electrostatic
potential in 2D of a point unit charge is E(x, y) = i.e.:

(x, y) = log (x x )2 + (y y )2
 
(6.2)

1A
specialized text in this topic is: E. Durand, Electrostatique, 3 voll, Masson, Paris 1964.
2 George Green (Nottingham 1793, 1841) was a miller. For more than forty years he worked
hard in his fathers windmill, while self-teaching mathematics and physics. In 1828 he pub-
lished at his own expense his most important and astonishing paper: Essay on the application
of mathematical analysis to the theories of electricity and magnetism, that contains the first
exposition of the theory of potential. After his fathers death, he applied to Cambridges uni-
versity, and graduated in mathematics in 1838 (the same year as Sylvester). After his death
his achievements were rescued from obscurity by Lord Kelvin, and are nowadays an important
tool in every area of physics, including quantum field theory (see J. Schwinger, The Greening
of quantum Field Theory: George and I. arXiv:hep-ph/9310283).

43
By the superposition principle (linearity of Poissons equation), the electrostatic
potential generated by a general charge distribution is:
Z
(x, y) = dx dy log [(x x )2 + (y y )2 ] (x , y )

It solves Poissons equation and is harmonic in empty space. It is very useful

to regard it as the real part of a complex potential which, in empty space, is
holomorphic and depends on z = x + iy:

(z) = (x, y) + i(x, y)

The conjugated harmonic field (x, y) can be obtained from by solving the
Cauchy-Riemann equations and is defined up to a constant; sometimes it is
found by good guess. For the point charge it is

(z) = 2 log(z z ) = 2 log |z z | i 2 arg (z z )

The fields and are harmonic in C/{z }. The cut of can be chosen freely, to
avoid the points of interest. Therefore the real and imaginary parts are locally
harmonic everywhere but in z , the point common to all cuts. Being a function
of z only, the complex potential is more manageable than the potential.
The physical meaning of the field is now given. The function maps
the z plane to the plane w = + i; the orthogonal straight lines = U
and = V correspond in the (x, y) plane to orthogonal curves that describe
respectively equipotential lines and lines of force. For the point charge, the
equipotential lines are circles centred in the point source z , and field lines are
half-lines originating from z .
~ =
The electric field E ~ is best evaluated as a complex field: E = Ex iEy =
x + iy ; by the Cauchy-Riemann equations y = x . Then:

d
E= (z) (6.3)
dz

The vector field E~ is orthogonal (by definition) to equipotential lines, and is

tangent to the lines of force.
Example 6.1.1 (The uniformly charged segment). The electrostatic potential
of a uniformly charged segment [a, b] of the real axis with charge density , is
Rb
(x, y) = a ds log[(x s)2 + y 2 ], the real part of
Z b
(z) = 2 ds log(z s)
a

To evaluate the electric field (6.3) assume that dz commutes with integration
and use dz log(z s) = ds log(z s):
 
zb z b
Ex iEy = 2 log = 2 log   2i [arg(z b) arg(z a)]
za z a

44
For z = x i, a < x < b, it is Ey = 2, while Ex is non-zero because the
uniformly charged segment is not equipotential. Therefore, at each point of [a, b]
(and only there) there are two determinations Ex iEy (x) that correspond to
vectors pointing to opposite sides. Anywhere else, the vector field is unique. It
is singular at the end-points.
Example 6.1.2. Electrostatic potential of n charges, with charge q/n, equally
spaced on a circle of radius R. P
Let 1 . . . n be the roots of unity, then (z) = 2(q/n) k log(z Rk ) =
2(q/n) log(z n Rn ). The potential is (x, y) = 2(q/n) log |z n Rn |. In the
continuum limit n (uniformly charged ring - or cylindrical surface in 3D):
(
2q log R |z| < R
(x, y) = (6.4)
q log(x2 + y 2 ) |z| > R

What are the equipotential lines for two charges q/2 at R?

Example 6.1.3 (The dipole). The complex potential of two charges Q located
in i/2 is
(z) = 2Q[log(z i/2) log(z + i/2)]
For |z| one approximates log(z i/2) log z i/(2z). If 0 and Q
is rescaled such that d = Q is finite, we obtain the potential at a point z of a
dipole placed in the origin and oriented as the imaginary axis:
2d y + ix
(z) = i = 2d 2 .
z x + y2
The equipotential lines are circles tangent to the real axis at the origin, the
flux lines are circles through the origin and tangent to the imaginary axis. The
electric field of the dipole is
2d 4dxy 2d(x2 y 2 )
E(z) = i 2
= 2 2 2
+i 2 = Ex iEy .
z (x + y ) (x + y 2 )2

The intensity of the field is |E(z)| = 2d/(x2 + y 2 ).

6.2 Simple problems and conformal maps

6.2.1 Thin metal plate
Consider in 3D a thin infinite metal plate, with uniform charge density , kept
at electrostatic potential 0 . The translation-invariant problem is studied in
2D: the section of the plate is the real line in w = u + iv plane, the potential
solves Laplaces equation with b.c. (u, 0) = 0 and (v )(u, 0) = 4. The
solution (u, v) = 4 v + 0 is the real part of the holomorphic function

(w) = 0 + 4i w + ic

45
Figure 6.1: Equipotential lines and field lines for the dipole (left) and two
coplanar thin metal plates (right).

where c is real and arbitrary.

This simple solution is useful for more difficult problems: if f (z) is the conformal
map of some empty domain to H, then

(z) = 0 + 4i f (z) + ic

is the complex potential in the domain. Its real part is harmonic and takes the
value 0 one the boundary of the domain, which is mapped to the real axis
v = 0. We consider two examples.

1) The function f (z) = z 2 maps the quadrant {z : x > 0, y > 0} to H. The

complex potential (z) = 0 + 4i z 2 + ic solves the electrostatic problem for
the empty region x > 0, y > 0 with potential 0 at the boundary.
The real part is the electrostatic potential is (x, y) = 8 xy + 0 . Equipo-
tential lines are hyperbola, and the lines of force of the electric field are also
hyperbola. The electric field is E = 8(y + ix). The linear charge at the two
boundary lines is not uniform: (x) = 2 x (x 0) and (y) = 2 y (y 0).
Charge is depleted from the corner because of the electrostatic repulsion of the
other side. The total charge in 0 < x < L is L2 , and equals the total charge
in the image segment 0 < u < L2 .

2) The function f (z) = z 2/3 maps the sector 0 < arg w < 32 to H. The
potential is (x, y) = 0 4 2/3 sin( 32 ). The linear charge on the boundary
line = 0 is:
1 
(x) = = 23 x1/3
4 y y=0


The charge accumulates near the edge x = 0. The charge in the segment 0 <
x < L is L2/3 and equals the charge in the image segment 0 < u < L2/3 .

46
6.2.2 Adjacent thin metal plates
In 3D consider two adjacent thin metal plates at potentials 0 and V separated
by an insulating line. The problem is 2D (w = u + iv plane), with the two plates
being the positive and negative parts of the real axis. The Laplace equation for
the electrostatic potential with b.c. (u, 0) = 0 if u < 0 and (u, 0) = V if
u > 0, is found in polar coordinates:
2 (r, ) = 0, (r, 0) = V, (r, ) = 0 r > 0
1
The solution is (r, ) = V
( ) (indipendent of r). It is the real part of the
complex potential, holomorphic in v 6= 0:
iV
(w) = V + log w

Again, this solution can be used to solve more difficult problems.

1) Semi-infinite plates at right angles, at potential 0 and V .

The complex potential is (z) = V + iV 2
log z . The real part is the electrostatic
potential of the new geometry: (x, y) = V 2 V arctg(y/x), with boundary
values (0, y) = 0 and (x, 0) = V . The electric field is
2iV 2V y 2V x
E= Ex = , Ey =
z x2 + y 2 x2 + y 2
1 V
The charge on the metallic boundary y = 0, x > 0 is (x) = 4 Ey (x, 0) = 2 2 x .
1 V
On the boundary x = 0, y > 0 it is (y) = 4 Ex (0, y) = 22 y .

2) Coplanar, semi-infinite thin metallic plates, with parallel edges and gap
width equal to 2. The plates have potentials 0 and V .
In the plane z = x + iy, the plates are the semi-infinite lines x 1, y = 0
and x 1, y = 0. The electrostatic potential solves Laplaces equation with
boundary conditions (x, 0) = 0 if x 1 and (x, 0) = V if x 1. The b.c.
are implemented by a conformal map.
The domain where is harmonic (plane with two cuts) is the image of the
half-plane H = {w : Im w > 0} for the Jukowskis map
 
1 1
z= w+
2 w
In components Jukowskis map is (w = rei , 0 ):
   
1 1 1 1
x= r+ cos , y= r sin
2 r 2 r
The half-line = 0 is mapped to x 1, y = 0 while the half-line = is
mapped to x 1, y = 0. The complex potential of the problem with the gap
is
iV V V
(z) = V + log w(z) = V (x, y) + i log r(x, y)

47
Equipotential lines are lines of constant (x, y), i.e. the images in z plane of
radii in uv plane: they are hyperbola with foci 1. The lines of force are
the images of circles (constant r), i.e. ellipses with foci 1 (orthogonal to
hyperbola and p to the two cuts).
p Elimination of r gives, after some algebra:
cos = 21 [ (x + 1)2 + y 2 (x 1)2 + y 2 ]. Then:

V 1 hp p i
(x, y) = V arc cos (x + 1)2 + y 2 (x 1)2 + y 2
2

6.3 Point charge and semi-infinite conductor

Consider a point charge Q in z = x + iy y > 0, in presence of a semi-infinite
conductor (the half plane Im z 0) held at potential zero. This 2D problem
corresponds in 3D to the problem of a grounded semi-infinite conductor with a
parallel wire at distance y , with linear charge density Q.
The charge induces a surface charge that contributes to the electrostatic poten-
tial. The evaluation of the field is done by replacing the semi-infinite conductor
with an image point charge Q in z . By symmetry, the real axis is at constant
(zero) potential. The complex field is:

(z) = 2Q log(z z ) + 2Q log(z z ) (6.5)

The real part is the electrostatic potential of the pair Q, which is equivalent
to the system real charge and grounded conductor:

(x x )2 + (y y )2
(x, y) = Q log
(x x )2 + (y + y )2

It vanishes for y = 0. The electric field at the surface (z = x) is

2Q 2Q 4Qy
E(x) = =i = iEy (x)
xz
xz (x x )2 + y 2

Only Ey is non zero at the surface (as it has to be: field lines are orthogonal
1
to equipotential lines). The surface charge density (x) = 4 Ey (x) is negative,
and the total induced charge neutralizes the real charge:
Z +
y + dx
Z
Qind = dx(x) = Q = Q.
(x x )2 + y 2

The solution of this simple problem can be used to solve other problems, as
a charge in presence of a conducting wedge, or disk, or half-line. The trick is
to map the upper half-space, where the solution is defined (empty space), to
the empty space of the new problem. The real line (the boundary) becomes the
new boundary of the conductor (a wedge, a disk or whatever).
Let w be the variable of the reference model, with solution (w) given by eq.(6.5)
(where w replaces z), and let z be the variable of the new model. Suppose that
the two geometries are related by the map z = f (w) where f is holomorphic

48
(with holomorphic inverse) on the domain H = {w : Im w > 0}. This means
that the image of H (the empty-space of the reference model) is the empty space
of the new model (exterior of the wedge, disk, ...).
The solution of the new electrostatic problem is
1 (z) = (f 1 (z))
It is holomorhic and its real and imaginary parts are harmonic in the region
f (H). The real part is the electrostatic potential of the new problem. Two
examples are discussed below.

6.3.1 Point charge and conducting half-line

In the z plane there are a point charge Q in z and a conducting half-line (the
real positive axis) held at potential zero. Find the electrostatic potential and
the induced charge density.
This non-trivial problem can be solved by mapping the reference problem (w
plane) conformally to the z plane. The map z = w2 is a bijection of the upper
half plane Im w > 0 (the reference
model) to the complex z plane with the real
positive axis removed. Let w = z denote the inverse map. The function z
is holomorphic on C/[0, ).
The solution of the problem is obtained by replacing w with z in the reference
solution eq.(6.5):

z z
(z) = 2Q log (6.6)
z z
The function is a composition of holomorphic functions, then its real part (the
electrostatic potential) is harmonic (save at z ) and vanishes on the real line.
The electric field is
" #
Q 1 1
E(z) =
z z z z z
The
charge density
is 4(x) = Ey (x + i) + Ey (x i) (x > 0); note that
x i = x. Then
" #
Q 1 1 1 1
4(x) = i +
x x z x z x + z x + z
y 1
= 4Q
(x x )2 + y 2

The total induced charge is Q.

6.3.2 Point charge and conducting disk

A point charge Q is at distance d from the center of a grounded disk of radius
R (d > R). The setting corresponds to a wire parallel to a conducting grounded

49
cylinder. The problem of determining the complex field is solved by the confor-
mal map that takes the solved reference problem in w-plane (point charge and
half plane) to the present one in z-plane. Then, the solution is
w(z) w
(z) = ref (w(z)) = 2Q log
w(z) w
Let iv, v > 0 be the position of the point charge of the reference model. The
upper half-plane Im w > 0 is mapped on the exterior of the disk of radius R,
|z| < R, by a M
obius map. The inverse map is still a M obius map:
Az + B
w(z) =
Cz + D
The parameters (up to a factor) are fixed by the correspondences (z w):
iR 0, iR and id iv (the charge is placed at z = id):
vz(d + R) + ivR(d + R)
w(z) =
iz(d R) R(d R)
Therefore, the complex potential in z generated by the grounded disk |z| < R
and a point charge Q placed in id is:
zR iRd
(z) = 2Q log (6.7)
zd iR2
It coincides with the potential of two point charges, (the actual charge Q at
z = id and an image charge Q at iR2 /d, inside the disk). At the surface of
the disk, |z| = R, the electrostatic potential Re is zero. The electric field is:
2Q 2Q
E(z) = (z) =
z id z iR2 /d
x i(y R2 /d)
 
x i(y d)
= 2Q 2
x + (y d)2 x2 + (y R2 /d)2
At the surface of the disk the electric field is radial, and proportional to a
negative induced charge density.

6.4 The planar capacitor

Consider in 3D an infinite planar capacitor; its section in the complex w = u+iv
plane is the infinite strip between two conducting lines v = d/2 at potentials
V /2. In the strip the electrostatic potential is linear, (u, v) = v (V /d), and
it is the real part of the complex potential
V
(w) = i w (6.8)
d
The complex electric field is uniform E = iV /d, i.e. Ey = V /d. The internal
charge densities are 4 = V /d on the lower plate and 4 = V /d on the
upper one. This solution (infinite planar capacitor) can be used to study more
complex geometries.

50
 10

-5

-10
-10 -5 0 5 10

Figure 6.2: The semi-infinite planar capacitor.

6.4.1 Semi-infinite planar capacitor

Consider the conformal map

z(w) = 2(w/d) + e2(w/d)

It maps conjugate points w, w to conjugate points z, z, then the x axis is a

symmetry axis and we study the upper half. In components the map is
u  v v  v
x = 2 + e2(u/d) cos 2 , y = 2 + e2(u/d) sin 2 .
d d d d
The lines (u, d/2) are mapped to x = 2 d ue
2u/d
, y = . Since x (u) =
2u/d
(2/d)(1 e ) = 0 in u = 0, the range of x(u) is (, 1]. Therefore the
map takes the lines v = d/2 to the half-lines x < 1, y = .
The map takes the interior of an infinite capacitor (the strip d/2 < v < d/2)
to the interior and the exterior of a semi-infinite capacitor. If the plates have
potentials V /2, the complex potential of the semi-infinite capacitor is:

V
(z) = i w(z)
d
The solution is interesting for the study of the field near the aperture of a finite
capacitor, and was obtained by Maxwell himself, by this conformal map.
The real axis v = 0 is mapped to x = 2 d u+e
2u/d
, y = 0, i.e. the real axis
of the z plane. The lines parallel to the uaxis, v = (d/2)c, 0 < c < , are
mapped to lines that run inside the capacitor and, near the end of the capacitor,
bend upward. If c > /2 the lines fold back to the top of the condenser. The

51
equation of such equipotential lines can be obtained by elimination of u in
x = 2 ud + e2(u/d) cos c, y = c + e2(u/d) sin c:

yc
x = log + (y c) cot c (6.9)
sin c
Field lines are orthogonal to them and are the images of segments of constant u,
|v| < d/2 inside the infinite capacitor: 2u/d = c; they are given parametrically
(in s [, ]) by eqs. x c = ec cos s and y s = ec sin s (see note3 ).
The electric field is
 1
V dz V 1
E(z) = i =i 2w(z)/d
d dw 2 1 + e

Deep in the condenser the field is uniform: Ex 0 and Ey V /2. It diverges

at w = id/2, i.e. at the ends of the conducting boundaries of the capacitor
z = 1 i. To avoid the occurrence of divergent fields near the tips of planar
capacitors, one may deform the shape of the plates to trace equipotential lines
v = (d/2)c, i.e. (6.9) (Rogowskis capacitor).

3 Deep in the capacitor (c 1) it is x = c, < y < . For c 1 the lines are circular

arcs that end on the exterior of the capacitors plates, (x c)2 + y 2 = e2c (s finite); for small
s the lines x c ec (1/2)y 2 ec are approximately straight segments inside the capacitor,
near the aperture.

52
Chapter 7

COMPLEX
INTEGRATION

7.1 Paths and Curves

A path is a continuous map of a real interval to the complex plane,

: [a, b] C, (a < b)

The range of the map is a curve , and the path (t) is its parameterization.
The increasing value of the parameter assigns an orientation to the curve. Since
intervals are compact sets in R and a path is a continuous function, the curve
is a compact set1 in C.
We list some definitions that apply to paths, and imply geometric properties
of the curves (that would be difficult to phrase otherwise):
A path is closed if (a) = (b) (we then say that the curve is closed).
A path is simple if (t1 ) = (t2 ) t1 = t2 , t1,2 6= a, b. The curve does
not self-intersect, except possibly at the endpoints.
A Jordan curve J is a simple closed curve. A theorem of topology (Jordan,
Veblen) states that C/J is the union of two disjoint sets: one is bounded
and the other is unbounded. They are the interior and the exterior of J.
The complex integral on a curve in C, will be defined for curves that are
parametrised by smooth functions (t):
- (t) is differentiable on [a, b],
- (t)
6= 0 on [a, b],
- (t)
is continuous on [a, b].
The complex number (t) = x(t)
+ iy(t)
gives the components of the vector
tangent to the curve at (t) (we shall often identify a complex number with a
1 According to the Heine Borel theorem, a set in C is compact iff it is closed and bounded.

53
vector). The tangent vector never vanishes. The vector i(t)
is normal to the
curve.
A path is piecewise smooth if it is continuous (it is a path) and is smooth on
each subinterval of some finite partition of [a, b].

A curve can be given different parameterizations. For example the complex

segment [z1 , z2 ] can be parameterized by 1 (t) = z1 + t(z2 z1 ) or by 2 (t) =
z1 + t2 (z2 z1 ), t [0, 1]; both paths trace the same segment, but with different
time laws.
In general, let 1 : [a, b] C be a smooth path, and let (s) be a real map
of [a , b ] to [a, b] with d /ds > 0, (a ) = a and (b ) = b. The smooth path
2 (s) = 1 ( (s)) with s [a , b ] is a reparameterization of the same curve .
Given a parameterization 1 ( ) and a reparameterization 2 (s) of a curve, at a
geometric point of the curve with coordinates or s ( (s) = ), the two paths
produce tangent vectors 1 ( ) and 2 (s) with the same direction (if d /ds is
positive):
d
2 (s) = 1 ( ) , (s) = .
ds
If a curve is not simple, the geometric point where the curve self-intersects has
two or more tangent vectors.

7.2 Complex integration

Given a continuous complex function on a smooth oriented curve, f :
C, the integral of f on is defined as:
Z Z b
f (z) dz = dt (t)f
((t)) (7.1)
a

where (t) is a parameterization of the curve2 . The value of the integral does
not depend on the parameterization of the curve : if 2 (s) = 1 ( (s)) it is
Z b Z b Z b
ds 2 (s)f (2 (s)) = ds 1 ( ) (s)f (1 ( (s))) = d 1 ( )f (1 ( )).
a a a

Therefore, the integral of a function on an oriented curve is a geometric object.

This is apparent in the equivalent construction of the integral sketched below.
Given an oriented curve from point a to point b, and a function f continuous
on it, consider the sum
n1  
X zk+1 + zk
(zk+1 zk ) f
2
k=0
2 By expanding the product (t)
f ((t)) = (x + iy)[u(x,
y) + i v(x, y)] one obtains four real
Riemann integrals that are well defined, since all functions are continuous on closed intervals.

54
where zk are n + 1 finitely spaced points of the curve, with z0 = a and zn = b.
Omitting technicalities, in the limits n , |zk+1 zk | 0, the sum gives a
parameterization-independent definition of an integral. If a parameterization of
the curve is used: zk+1 zk = (tk+1 ) (tk ) (t
k )(tk+1 tk ), and the sum
yields the above defined integral.

Note that the integral differs from this one:

Z Z b p Z b p
f (z)|dz| = dt x 2 + y 2 u(x(t), y(t)) + i dt x 2 + y 2 v(x(t), y(t)),
a a

which has the meaning of sum (with imaginary factor) of the areas of two
foils with basis on the curve and heights u and v.
Example 7.2.1. Lets evaluate z 2 dz on the following curves:
R

i) the oriented segment from a to b. A parameterization is (t) = a + (b a)t,

with 0 t 1. Then (t)
= (b a) and
Z Z 1
2
z dz = (b a) dt [a + (b a)t]2 = . . . = 13 (b3 a3 )
[a,b] 0

ii) the semicircle with diameter [a, b] (from a to b counterclockwise). A pa-

rameterization is () = 21 (a + b) + 12 (a b)ei , 0 . It is (0) = a,
() = b, and = 2i (a b)ei
Z Z
2
z 2 dz = 2i (a b) dei 21 (a + b) + 21 (a b)ei = 13 (b3 a3 )

0

Note that the two integrals give the same result, which only depends on the
extrema of the path.
If a curve is parameterized by (t), t [a, b], the curve with opposite orienta-
tion is parameterized by the path (a + b t) (on [a, b]). Then:
Z Z b
dzf (z) = dt (a
+ b t)f ((a + b t))
a
Z a Z
= ds (s)f
((s)) = dzf (z)
b

7.2.1 Two useful inequalities

Proposition 7.2.2. If the complex function f is integrable on a real interval
I = [a, b], then:
Z  Z
 b  b
dtf (t) dt|f (t)| (7.2)
 

 a  a

55
 f = ei | I f |, then
R R
Proof. Let I
Z  Z Z Z
 f (t)dt = ei f dt = Re(ei f ) dt |f |dt.
 
 
I I I I
R R R R
We used Re f dt = Re (u + iv)dt = u dt = Ref dt.
If a complex curve is parameterized as (t), the real function |f ((t))| is
continuous on [a, b] and has a maximum. The previous inequality gives:
Proposition 7.2.3 (Darbouxs inequality). If f is a complex continuous
function on a smooth path , then:
Z 
 
 dzf (z) L() sup |f (z)| (7.3)
z
 

Rb
where L() = a dt|(t)|
is the length of the path (it is a finite number as is
required to have continuous derivative on [a, b]. Then 1 and 2 are bounded).
Example 7.2.4. Consider the integral I = [0,2+i] dz ez . Darbouxs inequality
R

gives |I| < 4 + 2 supt[0,1] |et(2+i) | = e2 4 + 2 . The exact value of the
integral is obtained through the primitive (as explained below): I = e2+i e0 =
e2 1, then |I| = e2 + 1.

7.3 Primitive
The evaluation of an integral is straightforward if the function has a primitive.
Definition 7.3.1. If f (z) is continuous on a domain D, a primitive of f is a
function F (z) that is holomorphic on D such that

F (z) = f (z), z D

Proposition 7.3.2. If f is continuous on D and has a primitive on it, and

is a path in D, the integral of f on only depends on the endpoints of the path:
Z Z b Z b

f (z)dz = dt (t)
f ((t)) = dt (t)F
((t))
a a
b
d
Z
= dt F ((t)) = F ((b)) F ((a)). (7.4)
a dt
If the path is closed, (b) = (a), then the integral is zero.
Example 7.3.3. The function ez is the primitive of ez on C; therefore de =
R


ez ez on any path from z to z.
The existence of a primitive as a holomorphic function is a delicate issue, as
it is related to global properties of the domain:

56
Theorem 7.3.4. Let f (z) be a continuous function on an open connected set
D. The following statements are equivalent:
1) for any two points a and b in D the integral of f along a (piecewise) smooth
path with endpoints a and b does not depend on the path;
2) the integral of f along any closed (piecewise) smooth path in D is zero;
3) there is a function F (z) holomorphic at all points of D such that F (z) = f (z)
at all points of D.
Proof. To prove that 1 2, 2 1 and 3 1 is trivial. The only non-trivial
statement to prove is 1 implies 3. Define F (z) as the integral of f from an
arbirtary point a D to z along a path; by hypothesis 1 the function depends
on z (and a) but not on the path.
To prove holomorphy of F consider a disk with center z contained in D (D is
open), choose z + h in the disk (well take the limit h 0) and consider the
path from a to z +h obtained by prolonging the path from a to z by the segment
= [z, z + h]. Parameterize as (t) = z + ht (d = hdt). Then:
1 1
F (z + h) F (z) 1
Z Z Z
= df () = dtf (z+ht) = f (z)+ dt [f (z+ht)f (z)].
h h 0 0

Since f is continuous: > 0 such that |f (z + ht) f (z)| < if t|h| < ,
then:   Z 1
 F (z + h) F (z) 
 f (z) dt|f (z + ht) f (z)|
 h 
0

if |h| , i.e. F (z) = f (z).

Remark 7.3.5 (An instructive remark). Let C be a (anticlockwise) circle with
center 0 and radius r. The integral of z n along the circle is computed exactly
for any integer n, and is independent of the radius:
Z Z 2
dz z n = i rn+1 d ei(n+1) = 2i n,1 (7.5)
C 0

The functions 1/z, 1/z 2 , 1/z 3 , ... are holomorphic in the punctured plane D =
C/{0}. What is special about 1/z to give a non-zero result?
The reason is that a primitive in D (where the circle runs) exists for all but n =
1. Although the derivative of log z is 1/z, the function log z is not holomorphic
in D because of a branch cut that joins the origin to infinity, and C crosses the
cut for any value of the radius.
If a ray is cut away from the punctured domain D then the log function with
branch cut along the ray is a primitive. The open curve C/{a} with the single
ray-point deleted (call it a) is in D and the line integral is the difference of
primitives at the sides of the cut:
dz
Z
= log a+ log a = 2i
C/{a} z

57
(2i is the discontinuity of log z across the cut).
Now, it should be clear that, for any simple closed path enclosing the origin it
is:
dz
Z
= 2i
z

the contribution arising solely from the crossing of the branch cut. The result is
obviously invariant under a translation, and introduces the interesting topic of
the following section.

7.4 Index of a closed path.

Definition 7.4.1. If is a (piecewise) smooth closed path and z
/ , the Index
(or winding number) of with respect to z is

d 1
Z
Ind(, z) = (7.6)
2i z

The index is a useful concept because it is a topological property of the

path, and does not depend on the parameterization. It enumerates the number
of windings of around the point z. For a smooth closed path, it is
Z 1 Z 1
dt (t) dt d
Ind(, z) = = log((t) z)
0 2i (t) z 0 2i dt
Z 1
dt d
= [log |(t) z| + i arg((t) z)]
0 2i dt

The first integral of a total derivative cancels because the path is closed. The
arg term may be non-zero because of the cut that may be traversed by the closed
path. We show that it is possible to choose a determination of arg((t) z)
that is continuous and differentiable on [0, 1].
Proposition 7.4.2. Given a (piecewise) smooth path and a point z
/ the
index Ind (, z) is an integer.
Proof. Consider the function
t
(s)

Z
(t) = ds (7.7)
0 (s) z
Since is continuous and is piecewise continuous, is continuous and piecewise

differentiable, and (t)((t) z) (t)
= 0. Then d/dt[e ((t) z)] = 0, i.e.
(t)
e ((t) z) is constant on each interval of smoothness. Since the function
is continuous, the same constant holds on all sub-intervals, i.e. on [0, 1]:
e(t) ((t) z) = (0) z (7.8)
Note that 2i Ind(, z) = (1). Since (1) = (0) in equation (7.8) for t = 1, it
is e(1) = 1. Then (1) = i 2n.

58
 0 1

1 1

0 0

Figure 7.1: The index of a tortuous path. Coming from infinity (index =0),
every time the walker crosses the path he increases the index by one if the path
flows from his left to right, decreases by one in the opposite case.

Proposition 7.4.3. The index function of a path is constant in every open set
D that does not contain the path.
Proof. Let us consider a point z in D and a disk centred in it that is contained
in D. For |h| is smaller than the radius, let us evaluate
1 d 1
Z
[Ind(, z + h) Ind(, z)] =
h 2i ( z h)( z)

In the limit h 0, it is
d d 1
Z
Ind(, z) = =0
dz 2i ( z)2

because there is a primitive. Then Ind(, z) is constant on D.

Corollary 7.4.4. Ind (, z) = 0 in the unbounded domain Ext () (as |z| ,

the index function vanishes. Since it is constant, it must be zero).
Proposition 7.4.5. If a closed curve is crossed at a point z0 with (unique)
normalized tangent v0 in the direction iv0 (or iv0 ), then the index increases
(or decreases) by 1.
Proof. In a parametrization of the curve it is z0 = (t0 ) and v0 = (t
0 )/|(t
0 )|.
Choose a disk of radius centred in z0 that cuts the curve in a single non-
intersecting arc with ends (t ) and (t+ ) (t t0 t+ ). For small the

59
points z0 i v0 lie in opposite sides of the curve, in the disk. Evaluate
v0 d
Z
I = Ind(, z0 + i v0 ) Ind(, z0 i v0 ) =
( z0 )2 + 2 v02

The integral is the sum of the integral on the arc inside the disk, and on the curve
with arc removed, c . The latter vanishes as 0, by Darbouxs inequality:
 
 v0 1  L
Z

 d 2 2 2

c ( z0 ) + v0  ( )2

where L is the length of . Therefore

Z t+
dt (t)

I = lim v0 2 2 2
.
0 t ((t) z 0 ) + v0

Since I is an integer, it does not change as 0 with / 0. The

smooth function (t) may be linearized, (t) = z0 + 0 (t t0 ) and, in the limit
<< |t+ t | 0:
Z t+
dt /| 0 |
I = 2
1
t (t t0 ) + (/| 0 |)2

(the tails of the normalized Lorentzian centred in t0 are negligible outside the
interval [t , t+ ]).
/ , N + and
Proposition 7.4.6. Let be a closed piecewise smooth path, z

N the number of anticlock and clock-wise turns of around z,

Ind(, z) = N + N (7.9)

Remark 7.4.7 (Gauss theorem and Index function). The line integral on a
curve from point a to b of the function E(z) = Ex iEy associated to the 2D
electrostatic field E~ = (Ex , Ey ) is:
Z Z
E(z)dz = dt(Ex x + Ey y) + i(Ex y Ey x)


Z Z
= E(~ ~ + i E(~
~ x) dx ~ x) ~n ds (7.10)

The real part is the work done by the electric field, the imaginary part is the flux
of E~ through the curve (~n is the vector normal to the curve).
Suppose that is contained in a domain where the complex potential is holo-
morphic. Since E = d/dz, the line integral is (b) + (a) and, if the curve
is closed, the work and the flux are zero (no net charge is encircled).
The complex potential generated by point-charges Qi at zi ,
X
(z) = 2 Qi log(z zi ),
i

60
is a holomorphic function except for cuts joining zi to . Such discontinuities
affect the imaginary part, therefore the real part of the integral (7.10) on a closed
line is zero, i.e. the work done by the field on a closed line is zero. What remains
is

dz
Z X Z X
dz E(z) = 2 Qj = i 4 Qj Ind(, zj )
j z z j j

This is Gauss theorem (the flux is proportional to the total charge encircled).

61
Chapter 8

CAUCHYS THEOREMS
FOR RECTANGLES

The fundamental theorem for the integral on closed paths of holomorphic func-
tions was proven by Cauchy with the requirement that f is continuous. The
condition was relaxed by Goursat (1900), who proved Cauchys theorem for tri-
angular paths. A simpler proof was then found for rectangular paths, and is
given below.
The theorem allows for the construction of a primitive, and for the extension to
arbitrary closed paths inside rectangular regions where the function is holomor-
phic. The Cauchy formulae also follow. For entire functions the theorems hold
everywhere in C.
Theorem 8.0.8. If f is holomorphic on a domain, and R is a rectangle in the
domain, with boundary R:
Z
dzf (z) = 0 (8.1)
R

Proof. Let L be the length of the diagonal of R, and choose an orientation of

the boundary. Halve the sides of R and obtain four rectangles R1k (the index 1
stands for generation); let I(R1k ) be the values of the integrals on the oriented
P4
boundaries of the rectangles. It is I(R) = k=1 I(R1k ) because integrals on
shared sides (they have opposite orientations) cancel. Denote I1 the integral
with largest
P modulus among the four, and R1 the corresponding rectangle. Then
|I(R)| k |I(R1k )| 4|I1 |.
P4
A new partition of R1 into four rectangles R2k gives I1 = k=1 I(R2k ). Select
the rectangle R2k with largest value |I(R2k )|, and let I2 be the value of such
integral, and R2 the rectangle. It is |I(R)| 42 |I2 |.
A sequence of rectangles R1 R2 Rn may be thus generated,
and at generation n:
|I(R)| 4n |In |

62
Figure 8.1: The integral on a rectangular path is the sum of four integrals on
smaller rectangles; the contributions of oppositely oriented sides cancel.

The middle points of the rectangles form a Cauchy sequence whose limit point
a belongs to the intersection of all rectangles in the sequence.
Since f (z) is holomorphic it is true that given > 0, there exists such that

f (z) f (a)
= f (a) + r(z, a)
za
with remainder |r(z, a)| < for all z such that |z a| < . In Rn two points
have separation at most L/2n, therefore a rephrasing is: n (generation)
such that f (z) = f (a) + f (a)(z a) + r(z, a)(z a) where |r(z, a)| < for all
z Rn . This gives the estimate:
Z 

 
|In | = 
 dz[f (a) + f (a)(z a) + r(z, a)(z a)]
R
Z n
L2

  4L
= dz r(z, a)(z a) n sup |z a| < 4 n
Rn 2 zRn 4

(Note that R dz[f (a) + f (a)(z a)] = 0 for any closed path, as a primitive
R

exists). Then |I(R)| 4 L2 for arbitrary , so I(R) equals zero.

The hypothesis of the theorem can be weakened to allow for functions that
are holomorphic up to a point (or a finite collection of points) in the domain,
where the functions remain continuous. This will be useful to prove the Cauchy
integral formula.
Proposition 8.0.9. Let f (z) be a function
R that is continuous on a domain D
and holomorphic on D/{a}. Then R dzf (z) = 0 for any rectangle R in the
domain.

63
Proof. If a / R Theorem 8.0.8 holds. If a R decompose R as Ra R1 ... Rk
where Ra is a square with side that contains a (an interior or a boundary point
of R), and R1 . . . Rk are rectangles
P that complete the partition. The contour
integral is I(R) = I(Ra ) + i I(Ri ). The integrals I(Ri ) are zero by Theorem
8.0.8. Since |f (z)| < M on R (because f is continuous on the compact set R),
Darbouxs inequality gives |I(R)| = |I(Ra )| (4)M .
Example 8.0.10 (Fourier transform of the Gaussian function).

dx 1
Z
2 1 2
ex ikx = e 4 k , kR (8.2)
2 2
2
Proof: consider the integral R dzez on the rectangle with corners a b,
R
b + i(k/2) and a + i(k/2) (0 < a < b). The integral is zero because the
function is entire. The same integral is the sum of four integrals evaluated on
the sides:
Z b Z k2 Z b Z k2
2 2 1 2 2
0= dx ex + i dy e(b+iy) dx e(x+ 2 ik) i dy e(a+iy)
a 0 a 0

For a, b , the integrals in y vanish, and the value of the first integral is .
Exercise 8.0.11. Evaluate the moments of the Gaussian distribution:
Z
1 2 (2n)!
hx2n i = dx x2n ex = n (8.3)
4 n!

and the useful integral

1
Z
2 1 2
dx ex xz
= e4z , z C. (8.4)

2
Exercise 8.0.12. By integrating ez on the rectangular path with corners 0, s,
s + ih, ih, prove the identity (h , separate real and imaginary parts):
Z Z s
x2 s2 2
dx e sin(2xs) = e dx ex , s R.
0 0

8.1 Cauchys theorem in rectangular domains

As a consequence of Cauchys theorem for rectangles, within a rectangular do-
main R where a function f is holomorphic (or holomorphic up to a finite number
of points where continuity is preserved), a primitive F can be explicitly con-
structed. Cauchys theorem for arbitrary closed paths and the Cauchy integral
formula are then proven.
The primitive is built as the integral of f along a path joining a fixed but arbi-
trary point in R to z R. The path is made of two segments at right angles,

64
parallel to the sides of the rectangle. Without loss of generality, we may as-
sume that the rectangle has sides parallel to the axes and contains the origin.
If z = x + iy the path is [0, x] [x, x + iy] and
Z x Z y

F (z) = dx f (x ) + i dy f (x + iy )
0 0

Proposition 8.1.1. F (z) is holomorphic and F (z) = f (z) for all z R.

Proof. Fix z and let h = hx + ihy ; because of theorem 8.0.8, it is
Z x+hx Z y+hy
F (z + h) = dx f (x ) + i dy f (x + hx + iy )
0 0
Z x+hx Z y+hy

= F (z) + dx f (x + iy) + i dy f (x + hx + iy )
x y
Z
= F (z) + df ()

where the path is made of two segments at right angles: [z, z + h R x ] [z +

hx , z + h]. Divide by h and subtract f (z) from both sides. Note that d = h.
Then:
F (z + h) F (z) 1
Z
f (z) = d [ f () f (z) ]
h h
By Darbouxs inequality:
 
 F (z + h) F (z)  |hx | + |hy |
 f (z) sup |f (z) f ()| 2 sup |f (z) f ()|
 h z |h| z

Since f is continuous in z, the limit h 0 of the r.h.s. is zero. Then F exists

(i.e. F is holomorphic) in R and F = f .
With a primitive available at every point, we conclude that the integral of f
on any closed (piecewise) smooth path in R is zero1 :
Theorem 8.1.2 (Cauchys theorem in rectangular domains).
Z
dzf (z) = 0 (8.5)

The following theorem is the converse of Cauchys theorem (10.2).

Theorem 8.1.3 (Morera2 ). If the Cauchy integral of a continuous function
f vanishes for all (piecewise) smooth paths in a bounded domain D, then f is
holomorphic on D.
1 This property was known to Gauss, who announced it in a letter to Bessel in 1811 [Boyer].

Gauss refrained from publishing several results he obtained, if not fully developed. His motto
was pauca sed matura.
2 Giacinto Morera (1856, 1907).

65
 Actually, it is sufficient that integrals on rectangles vanish.
Exercise 8.1.4 (Fresnel integrals). Obtain the integrals:
Z Z
2
dx cos(x2 ) = dx sin(x2 ) =
0 0 4
2
Hint: consider the null integral C dz eiz on the closed path with sides [0, R],
R

[0, Rei/4 ] and the circular arc Rei , 0 /4. The integral on the arc is
zero for R (use the inequality sin 2/ valid for 0 /2 ).
Exercise 8.1.5. Let F (z) be the primitive of an entire function. Show that for
any two points in C:
 
 F (b) F (a) 
  sup |F (z)|
 ba 
z[a,b]

8.2 Cauchys integral formula

Theorem 8.2.1 (Cauchys integral formula). If f is a holomorphic function
on a rectangle R, is a (piecewise) smooth closed curve in R and a R/, then

d f ()
Z
= f (a) Ind(, a), a / (8.6)
2i a

where Ind (, a) is the index of the curve at the point a.

Proof. Consider the function
f () f (a)

6= a,
g() = a
f (a) = a.

g is continuous on C and holomorphic in C/{a}. Cauchys theorem on rectan-

gles holds (a may belong to the boundary), and enables the introduction of a
primitive in C/{a}. Therefore the integral of g on a closed path is zero:
d f ()
Z Z
0= d g() = f (a) Ind(, a)
2i a

The integral formula is remarkable: it shows that the values of function

holomorphic on a bounded region are determined by the values at the boundary!
Example 8.2.2. Let be the ellipse |z 1| + |z + 1| = 4, consider the integral
ez
Z
dz
2z 3i
3 2i
The point 2i is in the ellipse, therefore the integral is 2 e(3i/2) = .

66
Exercise 8.2.3. Let be the circle |z| = 3. Show that

sin z
Z
dz 2 = 2i(sin 2 sin 1)
z 3z + 2

Corollary 8.2.4 (Mean value theorem). f (z) is the mean value of f on any
circle in R centred in z:
Z 2
d
f (z) = f (z + rei ) (8.7)
0 2

Proof. Apply Cauchys formula to a circle with center z and radius r.

67
Chapter 9

ENTIRE FUNCTIONS

Entire functions are holomorphic on the whole complex plane. Polynomials, the
exponential and its linear combinations are entire functions. An entire function
admit primitives (which differ by constants) which are again entire functions.
The mean value theorem (8.7) implies the inequality
|f (z)| sup |f (z + rei )|
[0,2]

for any circle of radius r centred on z. This implies that |f (z)| has no peaks.
Indeed, the following remarkable theorem holds:
Theorem 9.0.5 (Liouvilles theorem). If f (z) is an entire function and
|f (z)| M for all z C, then f (z) is constant.
Proof. Given a point z and a circle C with center 0 and radius R > |z|, the
Cauchy integral formula gives:
Z 2
d f (Rei )
  Z
d 1 1 d zf ()
Z
f (z) f (0) = f () = =z
C 2i z C 2i ( z) 0 2 Rei z
In the inequality
2  f (Rei ) 
 
d 1 |z|
Z
|f (z) f (0)| |z|  Rei z  |z| M max
  = M .
0 2 |Rei z| R |z|
R can be arbitrarily large, then f (z)f (0) = 0 for all z, i.e. f (z) is constant.
In the proof, the boundedness of f is needed only on the path C. This leads
to several generalizations, like this one:
Corollary 9.0.6. If f (z) is entire and limz |f (z)| = 0, then f (z) = 0.
Proof. By hypothesis: > 0 R such that |f (z)| < if |z| > R . Then,
repeating the proof of Liouvilles theorem we end with |f (z) f (0)| < |z|/(R
|z|) for all R > R . We conclude that f (z) is constant, and the constant must
be zero.

68
 Suppose that f is entire and f (z) az+b for |z| . Then f (z)(az+b)
0 at infinity i.e. f (z) = az + b everywhere. More generally, if f (z) z n at
infinity, then f (z) is a polynomial of degree n.
Remark 9.0.7. A non-constant function is doubly periodic if there are two
non-zero numbers and such that 6= for real and f (z + ) = f (z),
f (z + ) = f (z) for all z. By Liouvilles theorem: a doubly periodic function
cannot be entire.

9.1 Range of entire functions

The function f (z) = z is entire and takes all complex values; the exponential
function is entire and takes all complex values but one, the value zero. Is there
a non constant entire function that avoids two values? The negative answer is
given by the following theorem:

Theorem 9.1.1 (Picards little theorem1 ). Let f be an entire function and a

and b two distinct complex values such that, for all z, f (z) 6= a and f (z) 6= b.
Then f (z) is constant.
A sharpened version (Picards great theorem) states that every transcenden-
tal2 entire function f assumes every complex number infinitely many times with
at most one exception3 .

9.2 Polynomials
Theorem 9.2.1 (The fundamental theorem of algebra). A polynomial of
order greater than zero has a zero.
Proof. Suppose that a polynomial p(z) of order greater than zero has no zeros.
Then 1/p(z) is entire and vanishes for z . By Cor.9.0.6 one gets the absurd
result 1/p(z) = 0 everywhere.
The theorem implies that a polynomial of degree n with complex coefficients
has exactly n zeros z1 , . . . ,zn in C. Theorems for the location of zeros will be
given in Sect.(14.4).
Let the coefficient of the leading power be a0 = 1 (monic polynomial):

p(z) = z n + a1 z n1 + . . . + an
= (z z1 )(z z2 ) (z zn ).
1 Charles E. Picard (1856, 1941).
2A function is transcendental if its not algebraic. A function (z) is algebraic if it solves
an equation P (z, ) = 0 where P is a polynomial both in z and .
3 R. Remmert, Classical topics in complex analysis, GTM 172, Springer 1998.

69
The two representations give relations among roots and coefficients:
1 = z1 + z2 + . . . + zn = a1
2 = z1 z2 + z1 z3 + . . . + zn1 zn = a2
...
n = z1 z2 zn = (1)n an .
Remark 9.2.2. The quantities k are the elementary symmetric polynomials
of z1 , . . . , zn . They are related to the sums sp = z1p + . . . + znp by Newtons
identities: s1 = 1 , s2 = 12 22 , etc.
Exercise 9.2.3. Prove the following identity for polynomials with simple roots
(it is useful for evaluating integrals):
n
1 X 1 1
= (9.1)
p(z) p (zk ) z zk
k=1

Exercise 9.2.4. If the roots are simple, show that:

p (zk ) X 2 Y 1
Y

= , p (zk ) = () 2 n(n1) (zi zj )2 . (9.2)
p (zk ) zk zj i>j
j6=k k

Exercise 9.2.5. Let pk (z) be monic polynomials of degree k = 1, . . . , n 1.

Show that:
1 z1 z1n1

1 p1 (z1 ) pn1 (z1 )
1 p1 (z2 ) pn1 (z2 ) 1 z2 z n1
2 Y
det . . . = det . . = (zi zj )

. . .
. . ..
. . . . . . i>j
1 p1 (zn ) pn1 (zn ) 1 zn znn1
The second matrix is the Vandermonde matrix, which is an important tool in
linear algebra, matrix theory, and polynomial interpolation.
Exercise 9.2.6. By expanding (9.1) in powers of 1/z and equating coefficients,
obtain the identities for the roots:
n n n
X zk X zkn1 X zkn
0= ( = 0, . . . , n 2), 1= , a1 = , ...
p (zk ) p (zk ) p (zk )
k=1 k=1 k=0

Exercise 9.2.7. Prove the relations, valid for general polynomials:

n n
p (z) X 1 p (z)2 p (z)p(z) X 1
= , 2
=
p(z) z zk p(z) (z zk )2
k=1 k=1

Exercise 9.2.8. If f (z) is an entire funtion and is a simple closed path

enclosing the points z = 0, 1, . . . , n show that:
n
(1)n X
 
dz f (z) n
Z
= (1)k f (k)
2i z(z 1) (z n) n! k
k=0

70
Exercise 9.2.9. Let the simple closed path contain the unit disk and let f (z)
be an entire function; show that:
n
dz f (z) 1X k
Z
n
= f ( k ), = exp(i 2
n )
2i z 1 n
k=1

Miscellanea
Given a monic polynomial of order n with distinct zeros, the set {z : |pn (z)| = c}
is a lemniscate. For c = 0 it consists of n points (the roots), by increasing c
it evolves into n distinct ovals encircling the roots. As c is increased the ovals
start to merge into fewer closed lines. Some general questions have been asked,
and describe the growth in modulus of a polynomial. Two nice examples are:
1) Cartans Lemma: the inequality |pn (z)| > (R/e)n holds outside at most n
circular disks, the sum of the radii being at most 2R.
2) The length of the lemniscate |pn (z)| = 1 is not greater than Kn, where
K 8e (Borwein, 1995). The result was improved to K 9.173 (Eremenko
and Hayman, 1999).

71
Chapter 10

CAUCHYS THEORY
FOR HOLOMORPHIC
FUNCTIONS

The extension of Cauchys theorem and integral formula from rectangular do-
mains to general domains requires care. If f is holomorphic on D and has
singularities in C/D, the integral of f on a closed path in D may depend on the
fact that a singularity is encircled or not by it. This information is carried by
the index function: if it is zero the dangerous point is not encircled1 .
Dixon gave a proof of Cauchys theorem and integral formula that solves the
topological problem with the index function. The proof is elegant as it only
requires Liouvilles theorem for entire functions2 .
Theorem 10.0.10 (Dixon). Let be a piecewise smooth closed path in a domain
D such that Ind (, z) = 0 z
/ D. If f is holomorphic on D:

d f ()
Z
Ind(, z) f (z) = (Cauchys integral formula) (10.1)
2i z
Z
0 = d f () (Cauchys theorem) (10.2)

Proof. Consider the function g : D D C

f () f (z)
g(, z) = for 6= z, g(z, z) = f (z)
z
1 or the path encircles it with an equal number of oppositely oriented loops. In this case it

may be replaced by the union of paths that do not encircle the point.
2 John D. Dixon, A brief proof of Cauchys integral theorem, Proc. Am. Math. Soc. 29 n.3

(1971) 625-26. Peter A. Loeb, A note on Dixons proof of Cauchys Integral Theorem, Am.
Math. Month. 98 n.3 (1991) 242-244. See the books by Lang or Remmert for a presentation
of Dixons proof.

72
g is continuous in each variable. Next, define the function h : C C,
d d f ()
Z Z
h(z) = g(, z) if z D, h(z) = if z C/D.
2i 2i z

In particular, if z D/ it is
d f ()
Z
h(z) = f (z)Ind(, z)
2i z

The key point (not proven here) is that h is entire. Then everything follows: as
h(z) 0 for |z| , by Liouvilles theorem (Cor. 9.0.6) it is h(z) = 0 on C,
and (10.1) is proven.
To obtain (10.2), choose a in D/ and apply (10.1) to the function (z a)f (z):
d a
Z
Ind(, z) (z a)f (z) = f ().
2i z
Take the limit a z.
Exercise 10.0.11. Use Cauchys formula to evaluate the useful integral (hint:
z = ei ):
Z 2
1 2
d 2
= , 0 x < 1. (10.3)
0 1 2x cos + x 1 x2

10.1 Cauchy transform

Let be a (piecewise) smooth path (open or closed) and f a continuous function
on . Consider the following integrals:
f ()
Z
Gn (z) = d , z/ , n = 1, 2, . . . (10.4)
( z)n

G1 (z) is the Cauchy transform of f .

Since C/ is an open set, there is an open disk centred in z of radius z that is
not crossed by . By the Darboux inequality: |Gn (z)| L M zn , where M is
the max of |f | on and L is the length of .
Proposition 10.1.1. The functions Gn (z), n = 1, 2, . . . are holomorphic in
C/ and Gn (z) = n Gn+1 (z).
Proof. Let z C/, and let z be the radius of a disk centred in z that does
not cross or contain the curve. Let z + h be a point in such disk and evaluate:
( z)n ( z h)n
Z
Gn (z + h) Gn (z) = d f ()
( z h)n ( z)n
n
X n  
f ()
Z
= (1)k hk d
k ( z h)n ( z)k
k=1

73
Note that for all it is: | z| > z and | z h| > z |h|. Then the
integral is finite and |Gn (z + h) Gn (z)| 0 as h 0 i.e. Gn (z) is continuous.
Next evaluate: limh0 h1 [Gn (z + h) Gn (z)] = nGn+1 .
Corollary 10.1.2. A holomorphic function can be differentiated indefinitely on
its domain.

74
Chapter 11

POWER SERIES

11.1 Uniform and normal convergence

We consider sequences of functions fn on some abstract set E to C. At each
point P E there is a complex sequence fn (P ), whose convergence is assessed
by Cauchys criterion.

Point-wise convergence on E. Suppose that for all P in E the sequences

fn (P ) converge to finite complex numbers. The set of limit values defines a
function f : E C, and we say that fn f point-wise on E.
Since C is complete, we only need Cauchys criterion:

P E > 0 N,P such that |fn (P ) fm (P )| < m, n > N,P

Uniform convergence on E. Suppose that the stronger condition occurs:

P E the sequence fn (P ) is Cauchy but with N independent of P . Then fn
converges on E, but the distance |fn (P ) fm (P )| is bounded on E by the same
for all P E, n, m > N . We say that fn f uniformly on E:

> 0 N such that |fn (P ) fm (P )| < m, n > N , P E.

P
Definition 11.1.1. A series of functions k fk is uniformly convergent on E
if the sequence of partial sums is uniformly convergent on E:
 
 m+n 
 X
> 0 N :  fk (P ) < m > N , n > 0, P E. (11.1)

 
k=m+1

z k is uniformly convergent on
P
Proposition 11.1.2. The geometric series k
the closed disk |z| 1 , > 0.
Proof. Let Sn (z) = 1 + + z n ; the sequence converges uniformly on the disk
if > 0 N (independent of z) such that |Sn+m (z) Sm (z)| < for m N ,
n > 0, z in the disk. It is: |Sn+m (z) Sm (z)| = |z|m+1 |z n1 + + 1|

75
|z|m+1 (|z|n1 + + 1) |z|m+1 (1 |z|)1 < . This is true for all z if
(1 )m+1 < , i.e. m + 1 > | log()/ log(1 )| N , which is independent
of z and n.
Theorem 11.1.3 (Weierstrass M-criterion). P If there are positive constants
M
P k such that |f k (P )| < M k for all P E and k Mk < , then the series
k f k is uniformly convergent on E.
Proof. Let Sm (P ) be the sequence of partial sums. For all P E:
m+n
X m+n
X
|Sm+n (P ) Sm (P )| |fk (P )| Mk <
k=m+1 k=m+1

for m large enough and all n, because the M series converges.

From now on, E is a set in C. Uniform convergence of a series guarantees
that integration can be made term by term:

Theorem 11.1.4 (Integral of series). Given a piecewise smooth curve

P in a
domain D, a sequence fk of functions continuous on , suppose that k fk is
uniformly convergent on , then:
Z
X Z
X
dz fk (z) = dz fn (z) (11.2)
k=0 k=0

Proof. The partial sums Sm (z) are continuous functions on which isPa compact

set, then uniform convergence implies that the limit series S(z) = k=0 fn (z)
is continuous on , and the integral exists. Uniform convergence on means
that |Sm (z) S(z)| < for all m > N and for all z . Darbouxs inequality
shows that summation and integration commute:
  Z
Xm Z Z X 
dzfk (z) dz fk (z) |dz| |Sm (z) S(z)| < L()
 


k=0 k=0


Uniform convergence on a domain makes the theorem applicable to any curve

in the domain. Another useful property is that uniformly convergent series may
be derived term by term. However, the requirement of uniform convergence on
a domain is very restrictive. Theorem 11.1.4 and derivation of a series term by
term, can be proven under the weaker hypothesis of local uniform convergence
(normal convergence).
Definition 11.1.5. A sequence of functions fn converges normally to f on a
domain D if it converges point-wise to f on D and, for any z D, there is a
closed disk centred in z where convergence is uniform.

76
Theorem 11.1.6 (Integral of series). Given a piecewise smooth curve
P and a
sequence of continuous functions fk on D, suppose that the series k fk (z) is
normally convergent on . Then
Z
X Z
X
dz fk (z) = dzfk (z) (11.3)
k=0 k=0

Theorem 11.1.7. If a sequence fk is normally convergent to f on a domain D

and all functions fk are holomorphic, then f is holomorphic and the sequence
(n)
of n-th derivatives fk converges to f (n) normally.
P
Theorem 11.1.8 (Derivative of series). If the series k fk is normally con-
vergent on a domain D, and every term fk is holomorphic on D, then the series
is holomorphic on D. Moreover, the series can be differentiated term by term
any number of times:

dn X X dn fk
n
f k (z) = (z), n = 1, 2, . . . (11.4)
dz dz n
k=0 k=0

for all z D, and each differentiated series is normally convergent.

11.2 Power series

A fundamental class of series of complex functions are power series:

X
f (z) = cn (z a)n (11.5)
n=0

The complex number a is the center of the power series, and the cn are complex
numbers. The geometric and exponential series are examples of power series.
Both series are absolutely convergent, the first one in the open disk |z| < 1, the
second one everywhere. This is a fundamental theorem:
Theorem 11.2.1 (Abel, Weierstrass). If the power series k ck (z a)k is
P
convergent at a point z0 , then the series converges:
1) absolutely for all z in the open disk |z a| < |z0 a|,
2) uniformly in the closed disk |z a| (1 )|z0 a|, > 0.
Proof. 1) We use the comparison criterion. Convergence of the series in z0
implies that |ck (z0 a)k | 0; then, there is a finite N such that |ck (z0 a)k | < 1
for all k > N . This means that |ck (z a)k | is majorized by |(z a)/(z0 a)|k .
The sum of the latter terms converges (absolutely) for all z in the open disk
|z a| < |z0 a|.
2) If |z a| |z0 a|(1) it follows that, for k > N , it is |ck (z a)k | (1)k .
Then the convergence is uniform by the Weierstrass M-criterion.
The theorem shows that one out of three possibilities occurs:

77
 z = a is the only point where the series converges.
There are points z 6= a where the series converges, but the series diverges
at other points.
The series converges everywhere in C.
The Abel - Weierstrass theorem shows that convergence in z implies convergence
in any open disk centred in a of radius r < |z a|. Case two implies the exis-
tence of a radius R such that for |z a| < R the series converges absolutely (and
uniformly in any closed disk strictly contained in it) and diverges in |z a| > R.
The value R is the radius of convergence of the series. If R = the series
converges absolutely everywhere, and uniformly on any closed bounded set.
In general nothing can be said about the series on the circle |z a| = R 1 .

We give two important formulae for the determination of the radius, which
result from the sufficient criteria for absolute convergence of series.
Definition 11.2.2. Given an infinite set A R bounded above, lim sup A (or
lim A) is defined as the largest real number a such that the set {a A : a >
a + } is finite and {a A : a > a } is infinite.
Theorem 11.2.3 (Cauchy - Hadamard).

1 p
= lim supk k |ck | (11.6)
R
p
k
If limk |ck | exists, it is equal to 1/R.
Theorem 11.2.4 (Ratio criterion).

|ck | |ck |
lim inf R lim sup (11.7)
|ck+1 | |ck+1 |

In particular R = limk |c|ck+1 k|

| whenever this limit exists (ck 6= 0 but for a
finite set of integers).
P 2k
Example 11.2.5. In k=1 (2z) odd powers are missing and the sequence

n
cn = 2, 0, 2, 0, . . . is not convergent, but its lim sup is 2. Then the series
converges in the disk |z| < 21 (as a geometric series, it converges for |4z 2 | < 1).
Exercise 11.2.6. Evaluate the radius of convergence of the series:

X zk X z 2k X X 2 X
, , (1)k z 3k , zk , k2 z k
k (2k)!
k=1 k=0 k=1 k=0 k=0
1 However, if the series converges in a point z with |z a| = R, a theorem by Abel proves
0 0
ck (z0 a)k tk converges
P
that on the radius (t) = a + (z0 a)t (t [0, 1]) the series f (t) =
uniformly with respect to t and limt1 f (t) = f (1).

78
Theorem 11.2.7. The power series

X
X
k
S(z) = ck (z a) and S (z) = k ck (z a)k1
k=0 k=1

have the same radius of convergence.

Proof. In the proof we put a = 0. Suppose that S and S have radii R and R
respectively. Since |ck z k | < |z| |kck z k1 | for all z, by the comparison test, the
series S converges absolutely if S does, i.e. |z| < R is a sufficient condition for
S to absolutely converge. Then R R .
Rk 1
For z such that |z| < R it is k|z|k1 < R|z| . Then it is |kck z k1 | < R|z| |ck Rk |

and the series S converges absolutely if S does, i.e. R R .
1
We used the inequality 1r > 1 + r + . . . rn1 > nrn1 , 0 r < 1.
n
P
Corollary 11.2.8. A power series f (z) = n cn (z a) is infinitely many
times differentiable within its domain of convergence, and f (k) (a) = ck k!
P d n
Exercise 11.2.9. Evaluate n=1 n2 z n (Note that z z = nz n ).
dz
Theorem 11.2.10 (Power series for holomorphic functions). Let f be
holomorphic in a domain, and let D(a, r) be an open disk in the domain, with
(positively oriented) boundary C(a, r). Then, for any z in the disk, f has the
power series expansion

d f ()
X Z
f (z) = ck (z a)k , ck = (11.8)
C 2i ( a)k+1
k=0

Proof. For any z in the disk D(a, r), f (z) is given by the Cauchy integral

d f ()
Z
f (z) = .
C 2i z

Since r = | a| > |z a|, the kernel admits an expansion in geometric series

X (z a)k
1 1
= = (11.9)
z a (z a) ( a)k+1
k=0

The sum can be taken out of the integral because the series converges uniformly
in the interior of the disk.
Corollary 11.2.11. A holomorphic function can be differentiated indefinitely
and
d f ()
Z
f (k) (a) = k! k+1
(11.10)
C(a,r) 2i ( a)

79
Darbouxs inequality gives Cauchys Inequality
k!
|f (k) (a)| sup |f (a + rei )| (11.11)
rk [0,2]

Remark 11.2.12. The radius of convergence of the power series centred in a

of an analytic function is the largest admissible radius of a disk centred in a in
the domain of analyticity: R = | a| where is the singular point or branch
cut point nearest to a.
Example 11.2.13. The function f (z) = [(z 2i)(z 3)]1 is singular at z = 2i
and z = 3. A power expansion in the origin has radius 2. An expansion with
center a = 1 has radius 2 because the
singular point 3 has distance |3 1| = 2
smaller than the distance |2i 1| = 5 of the singular point 2i.
Exercise 11.2.14. Integrate term by term the geometric series to obtain:

X zk
Log(1 z) = |z| < 1 (11.12)
k
k=1

Exercise 11.2.15. From the expansion (11.12) obtain:

X k 1
cos(k) = log(1 2 cos + 2 ), < 1.
k 2
k=1

Example 11.2.16. The function Log z has the branch cut (, 0]. A power
series of Log z with center a is initially constructed in a disk D(a, r) that avoids
the cut, where Log z is holomorphic. If Re a > 0 the radius is r = |a| (the least
distance of a from the cut), if Re a < 0 this least distance is r = |Im a|. Inside
the disk D(a, r):
z  
za
Log z = Log a + Log = Log a + Log 1 +
a a

with no additional terms 2i (to check this requires some simple work). The
expansion (11.12) gives:

X (1)k
Log z = Log a (z a)k
kak
k=1

The right hand side is meaningful in a disk of convergence D(a, |a|) and does
not distinguish the cases r = Im a or r = |a|. However, if z is taken such that
|z| < |a| and the line of sight [a, z] is crossed by the cut, the left hand side differs
from the right hand side by 2i. We are thus evaluating log z on a different
sheet.

80
Example 11.2.17. Evaluate the coefficients of the power series

etz X
= cn (t)z n
1 z n=0

It is convenient to compare the series etz = (1z) n cn z n = n z n (cn cn1 ),

P P
with c0 = 1, c1 = 0. This gives the recursive rule cn cn1 = tn /n! i.e.
t2 tn
cn (t) = 1 + t + + ...+
2! n!
(partial sums of the exponential series).
Example 11.2.18. Evaluate the coefficients of the power series

1 X
= cn z n
z 2 + z 1 n=0

The radius of convergence ofthe series is dictated by the size of the smallest
root of the binomial: R = 21 ( 5 1). The quick way to obtain the coefficients
is to write the l.h.s. as a combination of two geometric series. However, the
following procedure is interesting. P n
Multiply the series by the denominator to get 1 = n z (cn2 + cn1 cn )
i.e. cn = cn1 + cn2 and c0 = 1 (c1 = 0). The recursion generates the
Fibonacci numbers 1, 1, 2, 3, 5, 8, 13, . . . . The general solution can be found: cn =
axn1 + bxn2 , where x1,2 solve the quadratic equation x2 x 1 = 0 and a, b are
specified by the initial conditions.
If x1 is the root with largest modulus, Hadamards criterion for the radius of the
power series gives 1/R = |x1 |, i.e. R = |x2 | (note that x1 x2 = 1).
The recursion can be written (cn /cn1 ) = 1 + (cn2 /cn1 ). In the large n limit
cn /cn1 and = 1 + 1/ (then, by the ratio criterion, R = 1/). The
number = 12 ( 5+1) is the golden mean, and is the limit of ratios of Fibonacci
numbers. Its continued fraction expansion is peculiar, = 1 + 1/(1 + /(1 + /(1 +
. . . ), and makes this number the most irrational one (Hurwitz developed a
theory for rational approximation of irrationals).
Example 11.2.19. The Euler numbers are the coefficients E2n in the power
series

1 X z 2n
= (1)n E2n
cos z n=0 (2n)!
The radius of convergence of the series is /2 (the pole closest to the origin).
This gives us the estimate |E2n | (2n)!(2/)2n (up to factors that grow less
than powers of n)2 . Multiplication by cos z gives a Cauchy product of series:
k  
X (1)k X 2k
1= z 2k E2
(2k)! 2
k=0 =0
2 the actual behaviour is: |E | 22n+2 (2n)! 2n1 (NIST Handbook of Mathematical
2n
Functions, Cambridge 2010).

81
Comparison of polynomials in z gives, for the power k = 0: E0 = 1. Higher
powers are absent in the l.h.s. therefore:
k  
X 2k
E2 = 0, k 1.
2
=0

Example 11.2.20. The Bernoulli numbers arise in the power series

z X zn
= B n
ez 1 n=0 n!

The radius of convergence

P of the series is 2. If we subtract the series evaluated
at z, we get z = 2 odd Bn z n /n!. Therefore B1 = 12 and Bodd>1 = 0.
Then the series can be rewritten as:

z z X z 2n
coth = B2n (11.13)
2 2 n=0 (2n)!

Multiplication by cosh(z/2) gives a Cauchy product of series, and recursive re-

lations for the Bernoulli numbers3 .

11.3 The binomial series

The function (1 z)a has a pole in z = 1 if a is a negative integer. If a
/ Z
the function has a branch cut from infinity to z = 1. In any case the function
is analytic in the unit disk, where it admits the power expansion:

(1 z)a = 1 az + 1
2! a(a 1) z 2 1
3! a(a 1)(a 2) z 3 + . . .

The useful Pochhammers symbol ak is introduced:

(a + k)
a0 = 1, a1 = a, ak = a(a + 1) . . . (a + k 1) =
(a)
The Gamma function (z) generalizes the factorial, and has the property z(z) =
(z + 1); in particular, (n + 1) = n! (see sect.12.3). We then obtain:

X zk
(1 z)a = (a)k (11.14)
k!
k=0

The sum truncates if a is a positive integer. The binomial symbol may be

introduced, to recover the familiar Newtons expression:
(1)k
 
a a(a 1) (a k + 1)
= (a)k =
k k! k!
3 The Bernoulli numbers were discovered almost at the same time in Japan by Seki Kowa

(1640, 1708), the most eminent Wasan (Japanese calculator)

82
Exercise 11.3.1. Show that
 
1 X n+k k
= z , |z| < 1, n = 1, 2, . . . (11.15)
(1 z)n k
k=0

11.4 Polilogarithms
Polilogarithms generalize the power series of the logarithm. They occur for
example in the study of ideal quantum gases, or in quantum field theory.

X zk
Lis (z) = |z| < 1 (11.16)
ks
k=1

For Res > 1 it is Lis (1) = (s). Being uniformly convergent in the disk, deriva-
tion and integration of the series term by term give
Z z
d dz
z Lis (z) = Lis1 (z), Lis+1 (z) =
Lis (z )
dz 0 z

Since Li1 (z) = log(1 z), the dilogarithm is4

z 1
dz dt
Z Z
Li2 (z) = log(1 z ) = log(1 zt)
0 z 0 t

The integral is well defined for C/[1, ), and is an analytic continuation of the
power series.
Exercise 11.4.1. Prove (on the series) the reflection rule:
Lis (z) = Lis (z) + 21s Lis (z 2 ).
Exercise 11.4.2. With the integral expression, for real x, prove:
2
Li2 (x) = 6 log x log(1 x) Li2 (1 x) (Euler).

11.5 Generating functions and polynomials

11.5.1 Hermite polynomials
2
The function H(z, x) = ez +2xz is entire for any value x R, and can be
expanded in power series of z with center z = 0:

2 X zk
ez +2xz
= Hk (x) (11.17)
k!
k=0

4 http://maths.dur.ac.uk/ dma0hg/dilog.pdf

83
The coefficients are functions of x. It is instructive to evaluate them by the
methods introduced so far, as contour integrals around the origin:

d H(, x) (2x) d 2 k1
I X I
Hk (x) = k! k+1
= k! e
2i ! 2i
=0

Since terms with k + 1 vanish because of Cauchys theorem for entire

functions, Hk (x) turns out to be a polynomial of degree k (Hermite polynomial).
The evaluation can proceed further.
k k
(2x) d 2 k1 (2x)k d 2 1
X I X I
= k! e = k! e
! 2i (k )! 2i
=0 =0
[k/2]
X (2x)k2 I
d 2 21
= k! e
(k 2)! 2i
=0

where [k/2] is the integer part of k/2. The Cauchy integral is the coefficient of
2
the term z 2 of the power expansion of ez . The explicit expression of Hermite
polynomials is obtained:
[k/2]
X (1)
Hk (x) = k! (2x)k2 (11.18)
!(k 2)!
=0

H(z, x) is the generating function of Hermite polynomials and encodes their

analytic properties. We learn a lot from it with little effort:
1) the change z to z in (11.17) is compensated by x to x, then Hermite
polynomials have definite parity: Hk (x) = (1)k Hk (x).
2) the identities x H(z, x) = 2zH(z, x) and z H(z, x) = 2(z +x)H(z, x), when
translated to the power series expansion5 , give the recurrence relations
Hk (x) = 2k Hk1 (x), Hk+1 (x) = 2xHk (x) 2k Hk1 (x) (11.19)
with initial conditions H0 (x) = 1 and H1 (x) = 2x that can be obtained by
direct expansion of H(z, x).
3) the identity (2zz 2xx + x2 ) H(z, x) = 0 corresponds to the second order
equation (which has another non-polynomial independent solution)
Hk 2x Hk + 2k Hk = 0
4) Hermite polynomials can be evaluated by Rodrigues formula6 :
 k   k

x2 (tx)2
Hk (x) = H(t, x) = e e
tk t=0 tk t=0
2 dk x2
=(1)k ex e (11.20)
dxk
5 Derivation of the series term by term is possible because it is uniformly convergent both

in z and x, in any compact set.

6 Olinde Rodrigues (1795, 1851)

84
 R 2
5) The integral dx ex Hk (x)Hj (x) is symmetric in k and j. We evaluate
it for k j by using Rodriguezs formula for Hk (x), and doing k integration by
parts:
Z Z
2 dk 2
dx ex Hk (x)Hj (x) = (1)k dxHj (x) k ex
dx
Z k
2 d
= dx ex H (x) = 2k k! jk
k j
(11.21)
dx

because Hk (x) = 2k xk + . . . (use eq.11.19). This is the orthogonality property

of Hermite polynomials.
The Cauchy product H(z, x)H(z, y) = H(z 2, x+y ) gives an interesting sum-
2
mation formula (by equating the coefficients of equal powers of z):
k    
X k x+y
H (x)Hk (y) = 2k/2 Hk
2
=0

Exercise 11.5.1. Evaluate the Cauchy product of the exponential series for
2
ez and e2tz and obtain the absolutely convergent power series of the generating
function (11.17).
Exercise 11.5.2 (Airy polynomials). Airy polynomials P in (x) may be defined
through the generating (entire) function


X zn
exp 13 z 3 + xz = P in (x) (11.22)
n!
k=0

Prove that P in (x) is a polynomial of order n, and P in (x) = nP in1 (x). Show
that these properties, shared with Hermite polynomials, are common to so-called
Appel polynomials, with generating function A(z)ezx , where A(z) is analytic
is some disk centered on the origin, and A(0) 6= 0. Interesting choices besides
Hermite and Airy, are A(z) = ezz1 (Bernoulli polynomials), A(z) = (1 + z) ,
> 0 (Laguerre polynomials) 7 .

11.5.2 Laguerre polynomials

The polynomials arise in the study of the radial Schrodinger equation for the
Hydrogen atom. Two different generating functions are (|z| < 1):
xz

e 1z X X
= L k
k (x)z , (1 + z) exz = Lk
k (x)z k (11.23)
(1 z)+1
k=0 k=0
7 see R. Boas and C. Buck, Polynomial expansion of analytic functions, Springer-Verlag
1964.

85
Notation: L0k (x) = Lk (x).

There are several other generating functions whose power series expansion
yield special functions that are important in mathematical physics8 . Some ex-
amples are briefly presented below, some will be considered in the study of
orthogonal polynomials (Chapter on Hilbert spaces).

11.5.3 Chebyshev polynomials (of the first kind)

The power series expansion in z = 0 of [(1 zei )(1 zei )]1 is easily done
by means of the geometric series. It gives:

1 z cos X
= z k cos(k), |z| < 1 (11.24)
1 2z cos + z 2
k=0

With cos = x, the same identity becomes:

1 xz X
= z k Tk (x), |z| < 1 (11.25)
1 2xz + z 2
k=0
P
with functions Tk (x). The identity (1 xz) = (1 2xz + z 2) k=0 Tk (x)z k gives
T0 (z) = 1, T1 (x) = x and the recurrence relation

0 = Tk (x) 2xTk1 (x) + Tk2 (x).

It appears that Tk (x) is a polynomial of order k in x, and is the polynomial

expansion of cos(k) in x = cos . The k roots of Tk (x) are real and known, and
belong to the interval [1, 1]. On this interval |Tk (x)| 1.
Chebyshev polynomials share the unique and important property: among all
monic polynomials of degree k, the one that deviates the least from zero on
[1, 1] is the polynomial 2k+1 Tk (x).
Exercise 11.5.3. Study the Chebyshev polynomials of the second kind:

1 X
= Uk (x)z k , |z| < 1
1 2xz + z 2
k=0

11.5.4 Legendre polynomials

In his Recherches sur lattraction des spheroides homog`enes (1783), Adrien Marie
Legendre introduced the important expansion in multipoles:
 r 
1 1 1 X
= = P (cos ) (11.26)
~
|~r R| R2 2Rr cos + r2 R R
=0

8 A beautiful little book on special functions is: N. N. Lebedev, Special functions and their

applications, Dover Ed. A modern reference book is the NIST Handbook of Mathematical
Functions, Cambridge Univ. Press.

86
 is the angle between the vectors, R > r, Pk (cos ) is a Legendre polynomial
of order k in cos . The generating function

P (z, cos ) = (1 2z cos + z 2 )1/2 = (1 zei )1/2 (1 zei )1/2

is analytic in the disk |z| < 1, where the two factors can be expanded in the
binomial series. The coefficients of the Cauchy product are the Legendre func-
tions:
1 X (1/2)m (1/2)n
= ei(mn) z m+n
1 2z cos + z 2 n,m m! n!

X
= z k Pk (cos )
k=0
k
X (1/2)m (1/2)km
Pk (cos ) = cos(2m k)
m=0
m! (k m)!

As Pk is an expression of cos(n) with n = 0, . . . , k, it may be rewritten as a

polynomial of order k in the variable cos . In the variable x, |x| 1, it is:

1 X
= z k Pk (x) (11.27)
1 2xz + z 2
k=0

From the identities (1 2xz + z 2 )z P (z, x) = (z + x)P (z, x) and (1 2xz +

z 2 )x P (z, x) = zP (z, x) one derives recurrence relations for the polynomials.
Several more properties may be obtained by the above illustrated methods.

11.5.5 The Hypergeometric series

Several functions of mathematical physics correspond to special choices of the
real parameters a, b and c 6= 0, 1, 2, . . . of the hypergeometric function, which
has a simple definition as a power series:

X an b n z n ab 1 a(a + 1)b(b + 1) 2
F (a, b; c; z) = =1+ z+ z + ... (11.28)
n=0
cn n! c 2! c(c + 1)

Note that F (a, b; c; z) = F (b, a; c; z). The series F (k, b; c, z) terminates, and
is a polynomial of degree k in z. The hypergeometric series is convergent for
|z| < 1 (ratio test).
The hypergeometric function F (a, b; c; z) is a solution of the differential equation

z(z 1)F (z) + [c (a + b 1)z]F (z) abF (z) = 0

ab
Exercise 11.5.4. Show that: z F (a, b; c, z) = c F (a + 1, b + 1; c + 1; z).

87
11.6 Differential Equations
Power series are a very useful tool for solving linear differential equations. The
subject is vast, and we only illustrate it with a useful statement and an example.
Theorem 11.6.1. In the linear second order differential equation,
f (z) + p(z)f (z) + q(z)f (z) = 0
if p(z) and q(z) are analytic on a disk |z| < R, then any solution of the equation
is analytic on the same disk.

11.6.1 Airys equation

Airys equation occurs in the study of a quantum particle in a uniform electric
field9 , WKB theory, radio waves. In general it is useful to study the equation
in the complex plane:

f (z) zf (z) = 0 (11.29)

The solutions are entire functions and admit an absolutely convergent power
series representation f (z) = k ck z k . Airys equation
P
X
0= ck [k(k 1)z k2 z k+1 ]
k0

implies a recursion for the coefficients: k(k 1)ck = 0 for k = 0, 1, 2 and

k(k 1)ck = ck3 , k 3. Therefore c0 and c1 are undetermined, while c2 = 0.
Starting from c0 6= 0 and c1 = 0 one obtains c3 = c0 /(2 3), c6 = c3 /(5 6),
c9 = c6 /(8 9) ... A good guess helps to obtain the expression for the general
coefficient:
c3k 1 (3k 2) 10 7 4 1
= =
c0 3k(3k 1) 9 8 6 5 3 2 (3k)!
1
 
k+ 3
3k 1 1 1 1 3k




= (3k)! k 1 + 3 2 + 3 1 + 3 3 = (3k+1)  1 
3

With the aid of the triplication formula10 for (3k + 1):

2  1 
c3k = c0 
1 2

3 32k+1/2 k! k+ 3

9 The Hamiltonian for an electron in a uniform electric field E along the x axis is H =

~2 /2m + eEx. The eigenvalue equation is separable and for the x component is:
p
~2
u (x) + eEx u(x) = u(x)
2m
The linear potential eEx equals the energy at x0 = /eE, therefore the classical motion is
confined in x x0 . The problem has a natural length = ~2/3 (meE)1/3 and the rescaling
x x0 = s brings the eigenvalue equation to Airys form. For a field E = 1 keV/cm it is
9 nm.
3z1/2
10 (3z) = 3 (z) z + 13 z + 23



2

88
By an appropriate choice of c0 a solution is obtained:

z 3k z3 z6
 
X 1
f0 (z) = = 1+ + + ...
k=0
9k k! (k + 32 ) ( 32 ) 6 180

Another independent solution is obtained with the choice c0 = 0 and c1 6= 0.

Then c4 = c1 /(4 3), c7 = c4 /(7 6) ...

z 3k+1 z4 z7
 
X 1
f1 (z) = = z+ + + ...
k=0
9k k! (k + 34 ) ( 34 ) 12 504

The two series have infinite radius and are entire functions. The standard
solutions are the Airy functions of the first and second kind:

Ai(z) = 32/3 f0 (z) 34/3 f1 (z), Bi(z) = 31/6 f0 (z) + 35/6 f1 (z)

For z = x (real) both functions are oscillatory for x 0; for x 0 the

function Ai (x) decays to zero exponentially while Bi (x) grows exponentially
(see: Carl M. Bender and Steven A. Orszag, Advanced Mathematical Methods
for Scientists and Engineers, Springer; O. Vallee and M. Soares, Airy functions
and applications to physics, World Scientific 2004.)

89
Chapter 12

ANALYTIC
CONTINUATION

The power series representation of an analytic function implies that its zeros
are isolated. This has important and unexpected consequences, as the powerful
concept of analytic continuation. Some relevant theorems about analytic maps
are presented.

12.1 Zeros of analytic functions

Theorem 12.1.1. Let f (z) be analytic and non constant on a domain D, and
suppose that f (a) = 0 at a point a D. Then there is a punctured disk D (a, )
where f (z) 6= 0.
Proof. Unless f vanishes on a whole disk centred in a, it has a power series
centred in a. If the zero is of order k, the coefficient ck is nonzero and
 
ck+1
f (z) = ck (z a)k 1 + (z a) + . . . = ck (z a)k (z)
ck

where (z) is analytic in the disk, and (a) = 1. Since (z) is continuous in a,
such that |(z) 1| < , i.e. there is no zero of in D(a, ), and there is
no zero of f on the same disk with point a removed.
Corollary 12.1.2. An analytic function on D that vanishes on a disk in D, or
a line in D, or a set of points with an accumulation point in D, is zero on the
whole set D. Two functions analytic on a domain D that take the same values
on a line, or a sequence of points with an accumulation point in D, coincide.
Example 12.1.3. The function sin(2z) 2 sin z cos z is entire and vanishes on
the real axis, therefore sin(2z) 2 sin z cos z = 0 z C.

90
12.2 Analytic continuation
Suppose that f is an analytic function defined on a set D that contains at least
a convergent sequence of points and its limit point. Let f be a function analytic
on D such that D D and f = f on D:

Definition 12.2.1. f is the analytic continuation of f to D.

is unique.
Theorem 12.2.2. The analytic continuation of f to D
Proof. Suppose that f1 and f2 are two extensions. Then f1 f2 is zero on D.

This implies that f1 f2 = 0 on the whole set D.
Suppose that f1 and f2 are analytic on D1 and D2 , and f1 = f2 on D1 D2 .
If the intersection contains at least a convergent sequence of points, then the
function f = f1 on D1 and f = f2 on D2 is analytic on D1 D2 .

Consider a series f (z) = n an (z a)n that converges in the disk |z a| < R.

P
If in the disk we fix a point b and expand f with center b, we may find a radius
R > R |b a| (the new disk leaks out of the first one). The two expansions
coincide on the intersection, and together describe a single analytic function f
on the union of the two disks.

The following power series converges in the disk |z| < 1, but diverges at all
points of the boundary |z| = 1. Then it cannot be continued analytically:

X n
G(z) = z 2 = z + z 2 + z 4 + z 8 + z 16 + . . .
n=0

The coefficients are 0 and 1, then Cauchy-Hadamards criterion gives radius

R = 1. The series clearly diverges at z = 1. Note that G(z 2 ) = G(z) z,
therefore the series is divergent also at z = i. Again: G(z 4 ) = G(z) z z 2
and the series G(z) diverges at the roots of z 4 = 1. In this way one proves
n
divergence at all points z 2 = 1 (n = 1, 2, . . . ); such points are dense in the unit
circle, which is a singular line for G(z).

12.3 Gamma function

The function was devised by Euler (1729) to extend the factorial from positive
integers to real and complex numbers:
Z
(z) = ds es sz1 Re z > 0 (12.1)
0

The meaning of sz is ez log s . Note that:

Z
|(z)| ds es |sz1 | = (Rez)
0

91
To show that the Gamma function is holomorphic, let be an arbitrary closed
path in the domain Re z > 0. The double integrals can be exchanged:
Z Z Z
s
dz (z) = ds e dz e(z1) log s
0

The last integral is zero by Cauchys formula. Then Moreras theorem assures
that (z) is holomorphic. The function (z) is holomorphic on the same do-
main, and is related to the Digamma function (see sect.12.3.2).
For z = x > 0, integration by parts of (12.1) gives the typical property of the
factorial: (x + 1) = x(x). Since (1) = 1, it is (n + 1) = n!. The property
remains valid in the complex domain: the function (z + 1) z(z) is analytic
and vanishes on the real axis, then it must vanish everywhere in its domain:

(z + 1) = z(z) (12.2)

Exercise 12.3.1. Show that ( 12 ) = and (n + 12 ) = (2n)!
4n n! (Hint: make
the change s = t2 in Eulers integral).
Exercise 12.3.2. Evaluate the volume and theParea of the sphere of radius r in
Rn . (Hint: compare the integrals dn x exp( x2k ) in Cartesian and spherical
R
coordinates).

n/2 n
V = rn , A= V. (12.3)
(1 + n2 ) r

Exercise 12.3.3. Eulers Beta function. Evaluate the double integral for the
product (x)(y) with squared variables and then polar coordinates, for x > 0
and y > 0, and prove the useful formula

1
(x)(y)
Z
B(x, y) dt tx1 (1 t)y1 = (12.4)
0 (x + y)

Eulers formula for the Gamma function is well defined for Rez > 0. How-
ever, by splitting the range of integration in (12.1) into [0, 1] [1, ), and
integrating on [0, 1] by series expansion, one obtains

(1)k 1
Z X
(z) = ds es sz1 + (12.5)
1 k! z+k
k=0

This expression provides the analytic continuation of to Re z 0. It shows

that (z) is the sum of an entire and a meromorphic function with simple poles
at k with residue (1)k /k!, k N. An alternative definition on the punctured
complex plane was obtained by Gauss (1811):
nz n!
(z) = lim z 6= 0, 1, 2, . . . (12.6)
n z(z + 1)(z + 2) (z + n)

92
Exercise 12.3.4. Evaluate the following integral, that links the two definitions
of the Gamma function:
Z n  s n nz n!
ds sz1 1 = (12.7)
0 n z(z + 1) (z + n)

Hint: use integration by parts.

From Gauss formula one easily obtains the useful duplication formula (as
well as the triplication, or multiplication by n)

22z1
(2z) = (z) z + 21


(12.8)

In 1854 Weierstrass gave a definition for the reciprocal of the Gamma function,
which is an entire function:
h
1 Y z  z/m i
= z eCz 1+ e (12.9)
(z) m=1
m

with Eulers constant

1 1
 
C = lim 1 + 2 + ...+ n log n = 0.5772156... (12.10)
n

Another useful representation, by Hankel, is given in eq.(27.3.1). Several im-

portant formulae may be proven by the appropriate representation.
Exercise 12.3.5. Prove the interesting formulae:
Z
tz1
dt t = (z)(z), Re z > 1, (12.11)
0 e 1
Z
tz1
dt t = (1 21z )(z)(z), Re z > 0. (12.12)
0 e +1

(Hint: multiply and divide by et and expand in geometric series).

The first formula is useful in the theory of Bose-Einstein condensation. The
second one appears in the theory of free fermions, and extends Riemanns zeta
function to the half-plane Re z > 0.
Exercise 12.3.6. Show that limz0 z (1 z) = 1.

12.3.1 Stirlings formula

The well known formula for the growth of the factorial is a particular case of
Stirlings expansion for (x + 1), when x is real and large:

(x + 1) 2x ex(log x1) 1 + 121 x + 2881 x2 + O x13


(12.13)

93
Proof. Put s = xt in the integral:
Z Z
s+x log s x log x
(x + 1) = ds e = xe dt ex(tlog t)
0 0

For x 1, the neighborhood of the minimum of the exponent contributes most.

The minimum is at t = 1, with expansion tlog t = 1+ 12 (t1)2 31 (t1)3 +. . .
Therefore:
Z
x log xx
dt exp x 12 t2 13 t3 + 41 t4 . . .


(x + 1) = x e
1
x log xx
Z  
1 2 1 3 1 4
= xe
dt exp 2 t +
3 x
t 4x t + . . .
x

Z h   i
1 2
t3 t6 t4
= x ex log xx
dt e 2 t 1+
3 x
+ 1
x 18 4 + ...
x

The lower limit of integration is replaced by , with exponentially small error;

the first three terms of the asymptotics are obtained.

12.3.2 Digamma function

The logarithmic derivative of the Gamma function defines the Digamma func-
tion:
Z
1 d(z) 1
(z) = = ds es sz1 log s (12.14)
(z) dz (z) 0

with the main property:

1
(z + 1) = + (z).
z
For integer values it gives (n + 1) = n1 + + 21 + 1 + (1). The behaviour of
the harmonic series (12.10) implies that, for large n: (n) (1) log n + C.
Stirlings formula gives the behaviour for large real x:
1 1
(x + 1) log x + + ...
2x 12x2
then, (1) = C. Eulers constant (12.10) is deeply related to the properties of
Riemanns zeta function1 .

12.4 Analytic maps

Theorem 12.4.1 (Open mapping theorem). If f is non-constant and an-
alytic on a domain D, the image of an open subset in D is open (the converse
is obviously true because f is continuous.)
1a nice book is: J. Havil, Gamma, exploring Eulers constant, Princeton Univ Press, 2003.

94
Theorem 12.4.2 (Maximum principle theorem). If f is non-constant and
analytic on a domain D, the maximum of |f (z)| is attained at the boundary D.
Proof. Suppose that |f | attains its maximum at an interior point z0 D, with
image w0 = f (z0 ). Then there is an open disk D(z0 , r) centred in z0 and con-
tained in D. Since the image of the disk is open (Open mapping theorem 12.4.1)
and contains w0 , there is a disk |w w0 | < r contained in f (D). Therefore
there is a point w with |w| > |w0 |, and this contradicts the hypothesis.
If f (z) 6= 0 on D, the same theorem applies to the holomorphic function
1/f to give the minimum principle: the minimum of |f (z)| is attained at the
boundary of D.
Exercise 12.4.3. Find the maxima of | cosh z| in the square of vertices 0, , +
i, i.
Proposition 12.4.4 (Schwarzs Lemma). Suppose that f is holomorphic and
maps the open unit disk D into itself, f (D) D, with f (0) = 0. Then

|f (z)| |z|, z D.

Proof. The function f (z)/z has a removable singularity in z = 0, and is holo-

morphic in the disk with the value f (0) at z = 0. Since it gains the maximum
modulus at the boundary, it is: |f (z)|/|z| 1. In particular |f (0)| 1.
If the map is a bijection of the unit disk and f (z) 6= 0 (i.e. f is a conformal
map), Schwarzs lemma applies to the inverse map f 1 as well. Then f (0) = 1,
and |f (z)| = 1 if |z| = 1. For such functions, the power expansion is: f (z) =
z + a2 z 2 + a3 z 3 + . . . Bieberbachs conjecture (1916) states that |an | < n for all
n. Bieberbach only proved |a2 | < 2; then Loewner proved |a3 | < 3 by means
of Loewners differential equation. The conjecture was proven by de Branges in
1984.
A limit case with real coefficients is the power expansion of Koebes function:
d z
z + 2z 2 + 3z 3 + 4z 4 + . . . = z (1 + z + z 2 + . . .) =
dz (1 z)2

It maps univalently the unit disk to the w-plane with cut Re w < 1/4. The
cut is the image of the unit circle (if z = ei then w = [2 sin(/2)]2 , 6= 0).
A magnificent reference is: R. Roy, Sources in the development of mathematics,
Cambridge, 2011.

95
Chapter 13

LAURENT SERIES

13.1 Laurents series of holomorphic functions

A Laurent series with center a is the bilateral sum

X X X 1
cn (z a)n = cn (z a)n + cn (13.1)
n= n=0 n=1
(z a)n

It exists if both one-sided series converge. The two series are respectively called
the analytic and the principal parts of the series. The analytic part converges
on a disk centred in a with radius R,
p 1 p
lim sup n
|cn (z a)n | < 1, |z a| < R, = lim sup n |cn |
R
The principal part (negative powers) converges for
p p
lim sup n |cn (z a)n | < 1, |z a| > r = lim sup n |cn |

Therefore, the Laurent series is well defined in the annulus

A(a, r, R) = {z : r < |z a| < R}.

If the inner radius is zero and the point a is avoided, the annulus is the punctured
disk D (a, R) = D(a, R)/{a}.
Exercise 13.1.1. Discuss the convergence of the Laurent series:

X X zk
3|k| z k , .
cosh(3k)
k= k=

Remark 13.1.2. Because both the principal and the analytic parts are power
series (in za and its reciprocal) that are convergent in the annulus, convergence
is absolute, and it is uniform in the closed annulus r(1 + ) |z a| R(1 )

96
 C_>

C_< .z

P Q

Figure 13.1: The integral on the closed path denoted by arrows equals the
integral on the two circles, because the integrals on PQ and QP cancel.

where , > 0 are finite. Thus a Laurent series can be integrated term by term
on a path in the annulus. In particular, for a closed path encircling the point
a with index 1, the integral of the analytic part is zero, and the integral of the
principal part is 2i c1 :
Z
f (z)dz = 2i c1 (13.2)

The following fundamental theorem was proven by Pierre Laurent1 :

Theorem 13.1.3 (Laurent). If f (z) is analytic in the (open) annulus A(a, r, R),
then it has a unique Laurent expansion in it, with center a:

d f ()
X Z
f (z) = ck (z a)k , ck = (13.3)
2i ( a)k+1
k=

is any closed positive path in the annulus that encircles the center once.
Proof. Let z be a point in the annulus and draw in the annulus two circles with
center a and positive orientation: C> with radius r> and C< with radius r< ,
and r< < |z a| < r> . Choose a point P C< and a point Q C> . Consider
the closed positively oriented path

= [P Q] C> [QP ] (C< )

1 He was an engineer in the army, and communicated the theorem to Cauchy in 1843, in

a private letter. The proof was published after his death. Weierstrass arrived to the same
theorem independently and, as he often did, he published the proof years later [Remmert]

97
where C< is the inner circle with reversed orientation. Since the segment
joining P and Q is covered twice in opposite directions, it is:

d f () d f () d f ()
Z Z Z
=
2i z C> 2i z C< 2i z

The path encircles the point z; by Cauchys integral formula, the first integral
is f (z). Therefore:

d f () d f ()
Z Z
f (z) =
C> 2i z C< 2i z

Write z = ( a) (z a) in the Cauchy kernels of the two integrals

and expand in Geometric series (where respectively it is | a| > |z a| and
|z a| < | a|). Uniform convergence allows to take the sums out of the
integrals

d (z a)k d ( a)k
Z X Z X
= f () + f ()
C> 2i ( a)k+1 C< 2i (z a)k+1
k=0 k=0

d f () 1 d
X Z X Z
k
= (z a) k+1
+ k+1
f ()( a)k .
k=0 C> 2i ( a) (z a)
k=0 C< 2i

The two circles can be deformed into an arbitrary simple closed path in the
annulus, without changing the values of the integrals (the coefficients ck and
ck ).
Suppose that f admits
P another (uniformly convergent) Laurent expansion in
the annulus: f (z) = kZ ck (z a)k . The coefficient cn in (13.3) is evaluated:

dz X X Z dz
Z
kn1
cn = ck (z a) = ck (z a)kn1 = cn
2i kZ nZ 2i

because the integrals vanish if k n 1 6= 1.

Remark 13.1.4. The Laurent expansion of a function that is analytic on the

whole disk with center a has no principal part, and the analytic part coincides
with the power expansion in the disk.
Remark 13.1.5. In signal and image processing a useful tool is the Z-transform
of a bilateral {xn }
or unilateral sequence {xn }0 of numbers. It is a function
of the complex variable P z defined by the Laurent series (note the sign of the
n
exponent): Z[{xn }] = n= xn z . A sequence determines a domain of
convergence. Operations on sequences determine operations on series.

98
13.2 Bessel functions (integer order)
The function J(z, x) = exp[ 21 x(z 1/z)] is analytic in the punctured complex
plane C/{0}, where it has the Laurent expansion
  
x 1 X
exp z = z k Jk (x) (13.4)
2 z
k=

It is the generating function of Bessels functions of integer order, which arise

in the study of Laplaces operator in cylindrical coordinates2 .
A change of sign of z is compensated by a change of sign of x, J(z, x) =
J(z, x), then Jk (x) = (1)k Jk (x). The exchange of z with 1/z amounts
again to a change of signP of x, then Jk (x) = Jk (x) = (1)k Jk (x). From
ix sin ik
the expansion e = k= e Jk (x), an integral expression for Bessel
functions is readily obtained:
2
d i(x sin k)
Z
Jk (x) = e (13.5)
0 2

The generating function allows for a simple derivation of several properties.

From x J(z, x) = 12 (z 1/z)J(z, x) and zz J(z, x) = x2 (z + 1/z)J(z, x) one
obtains
2k
2Jk (x) = Jk1 (x) Jk+1 (x), Jk (x) = Jk1 (x) + Jk+1 (x) (13.6)
x
The two equations for J(z, x) also yield an equation where z and z only appear
in the combination zz : (zz )2 J(z, x) = (x2 x2 + xx + 1)J(z, x). The equation
gives Bessels equation for integer order:
 2
k2

d 1 d
+ + 1 Jk (x) = 0 (13.7)
dx2 x dx x2

Exercise 13.2.1. By expanding the integral representation (13.5) show that

Jk (x) behaves as xk for small x.
Exercise 13.2.2. Write Helmholtzs equation (2 +)u = 0 in polar coordinates
r, and separate it with functions u(r, ) = R(r)Y (). Show how the radial
equation becomes Bessels equation.
2 Friedrich Wilhelm Bessel (1784, 1846) was the director of K
onigsbergs astronomical obser-
vatory (Prussia) and measured the first stellar distance by parallax, after correctly interpreting
the apparent motion of 61 Cygni (discovered by Piazzi in Palermo) as due to Earths annual
motion. The same instrument (built by Fraunhofer) enabled him to discover the oscillations
of Sirius, due to an invisible companion star (a white dwarf) to be discovered a century later.
He developed an accurate theory for solar eclipses, and introduced Bessels function to solve
Keplers equation for planetary motion (see sect.20.3.2).

99
13.3 Fourier series
Suppose that f is analytic in an annulus centred in the origin, that contains
the unit circle. In the annulus f has a Laurent expansion with coefficients fk
evaluated as integrals on the unit circle. In particular, on the unit circle f the
expansion becomes:
2
d
X Z
f (ei ) = fk eik , fk = f (ei )eik
0 2
k=

This Laurents expansion is the Fourier expansion of the 2-periodic function

f (ei ). It may be written in the form (with small change of notation):
Z 2
fk uk (), fk =
X
f () = d uk () f () (13.8)
k= 0

where {uk }kZ is the Fourier basis of orthonormal 2-periodic functions

2
eik
Z
uk () = , d um () un () = mn (13.9)
2 0

The numbers fk are the Fourier coefficients of the periodic function f ().
In this discussion f is the restriction of a holomorphic function to the unit circle,
where it is continuous and differentiable. The problem of the minimal require-
ments for a periodic function to admit a Fourier expansion will be considered
in section 20.1.

100
Chapter 14

THE RESIDUE
THEOREM

14.1 Singularities.
Definition 14.1.1. When a function f (z) fails to be analytic at a point a, but
is analytic in a punctured disk D (a, r) = D(a, r)/{a} (a is removed from the
disk), the point a is an isolated singularity of f .
Example 14.1.2. The reciprocal 1/f of a holomorphic function has isolated
singularities at the isolated zeros of f .
The Laurent expansion of the function in the punctured disk D (a, r),
ck c1
f (z) = . . . + + + + c0 + c1 (z a) + . . . ,
(z a)k za
defines the principal and the analytic parts of f at its isolated singularity a.
Since a punctured disk has inner radius equal to zero, the principal series exists
at all points different from a, and converges uniformly on any compact set (for
example, on any bounded curve) that does not contain the singular point.
According to the principal part being null, terminating, or containing an
infinite number of terms, the singularity a is described by one of three types:
The point a is a removable singularity if ck = 0 for all k > 0.
Example: f (z) = sin(z a)/(z a).
The point a is a pole of order k if there is k > 0 such that ck 6= 0 and
ckn = 0 for all n > 0. It follows that limza (z a)k f (z) = ck .
Example: f (z) = 1/(z a)3 has a pole of order 3.
The point a is an essential singularity if for any N there is k > N such
that ck 6= 0.
Example: f (z) = exp[(z a)1 ]

101
Remark 14.1.3. There is a substantial difference between a pole and an es-
sential singularity. If a is a pole for f , then limza f (z) = . However, if a
is an essential singularity, then limza f (z) is undefined. Indeed, a theorem by
Picard states that if a is an essential singularity of f , the image f (D ) of the
punctured disk contains all complex points with at most one exception.
Exercise 14.1.4. Study the behaviour of |1/z| and |e1/z | for z 0.
Definition 14.1.5. A function is meromorphic on a domain D if it is analytic
in D up to a set of isolated poles in D.
Theorem 14.1.6 (Picards little theorem for meromorphic function). Every
function meromorphic on C that omits three distinct complex values a, b and c
is constant1 .

14.2 Residues and their evaluation

Definition 14.2.1. The residue of a function f at the isolated singularity a is
the coefficient c1 of the Laurent expansion in the punctured disk,

dz
Z
Res[f, a] = c1 = f (z) (14.1)
2i

where is any (piecewise) smooth simple path encircling the singularity a an-
ticlockwise inside the punctured disk of analyticity.
In view of their importance, we give rules to calculate residues that avoid
the evaluation of the contour integral.
If f (z) has a simple pole in a (a pole of order 1), its Laurent expansion is
f (z) = c1 (z a)1 + analytic part. Therefore the residue is

c1 = lim (z a)f (z) (14.2)

za

If f (z) has a pole of order k in a, it is (z a)k f (z) = ck + ck+1 (z

a) + + c1 (z a)k1 + . . . . Then (k 1) derivatives give (k 1)!c1 +
terms that vanish in z = a. The residue of f in a is

1 dk1 
lim k1 (z a)k f (z)

c1 = (14.3)
(k 1)! za dz

If a is an essential singularity, the residue is computed with (14.1).

1 see: R. Remmert, Classical topics in complex function theory, GTM 172, Springer 1998.

102
Example 14.2.2. In simple cases one may evaluate the residue by known ex-
pansions. From e1/z = 1 + 1/z + + 1/(4!z 4) + . . . , it is Res [z 3 e1/z , 0] = 1/4!.
Res [tan z/z 5, 0] = 0 because the function is even, and its Laurent expansion in
z = 0 only contains even powers.
Theorem 14.2.3 ( The Residue Theorem ). Let f be an analytic function on
D/S, where S = {z1 , . . . , zn } is the set of its isolated singularities in the domain
D. If is a closed piecewise smooth path in D/S such that Ind (, z) = 0 for
all z
/ D, then:
Z n
X
d f () = 2i Ind(, zk ) Res[f, zk ]. (14.4)
k=1

Proof. Each singularity zk is the center of a punctured disk in D where f is

analytic and can be expanded in Laurents series: f (z) = Pk (z) + Ak (z). While
the analytic part Ak converges in the full disk, the principal part Pk converges
in C/zk . P
The function g(z) = f (z) k Pk (z) is analytic on D. By Cauchys theorem:
Z Z XZ
0= dz g(z) = dz f (z) dz Pk (z)
k

The principal series can beRintegrated term by term because it converges uni-
formly on . The integrals dz(z zk ) are zero for 6= 1; the integral = 1
R
is by definition 2i Ind (, zk ). Then dz Pk (z) = 2i Res[f, zk ] Ind(, zk ).

14.3 Evaluation of integrals

The Residue Theorem is a fundamental tool for evaluating integrals. In all
applications, one has to arrange the integral as an integral on a closed path
in the complex plane, either by a change of variable, or by closing the set of
integration with extra curves. Usually, the method is successful if the integral on
such additional curves is known (zero), or is proportional to the initial integral.
The choice of the correct closed path is a matter of wisdom. However, some
cases are typical and are here illustrated by examples.

14.3.1 Trigonometric integrals

Integrals in x [0, 2] that only involve trigonometric functions may be attacked
by writing the functions in terms of eix or powers, and putting z = eix . The
new variable runs the unit circle C, and the Residue Theorem may apply.
Example 14.3.1.
Z 2
1 dz 2 2i
Z Z
dx = = dz 2
0 2 + cos x C iz 4 + z + 1/z C z + 4z + 1

103

The two roots z = 2 3 are simple poles, and |z+ | < 1. Then:
2i 2
= 2i lim (z z+ ) =
zz+ (z z+ )(z z ) 3
Example 14.3.2.
Z 2 Z 2
cos(kx) eikx dz 4z k
Z
dx 2 = Re dx 2 = Re 2
0 3 + sin x 0 3 + sin x C iz 12 (z 1/z)
p k
Z
dz z k+1 74 3
= 4Re 2 2
= [1 + (1)k ]
C i (z a)(z 1/a) 2 3
Bytaking the real part,
one avoids the evaluation of two integrals. The poles
a, with a = 7 4 3, are simple and in the unit disk.
Exercise 14.3.3.
Z 2
d cos(k) ek
= , > 0, k = 0, 1, . . . (14.5)
0 2 cosh cos sinh
1
dx 1 sign(y)
Z
= p , |y| > 1 (14.6)
1 x2 yx y2 1
1
Z 2
cos(2x)
dx 2 = (3 2 4) (14.7)
0 1 + sin x

14.3.2 Integrals on the real line

Integrals on the whole real line are attacked by closing the path [R, R] with a
semicircle in the upper or lower half-plane and promoting the real variable x to
a complex variable z = x + iy (then dz = dx on the real axis). If the Residue
Theorem applies to the closed path , it provides the integral if the contribution
of the semicircle is shown to vanish as R .
Example 14.3.4.
Z R
x2 x2 z2
Z Z
dx 4 = lim dx 4 = lim dz 4
R x + 1 R R x + 1 R z + 1

is the closed path [R, R] {z : z = Rei , 0 }. Since the function

decays as R2 in every direction, for R the contribution of the semicircle
vanishes (Darbouxs inequality) (a semicircle in the lower half plane would be
equally admissible). The path encircles the simple poles z1 = ei/4 and z2 =
e3i/4 . Then
(z z1 )z 2 (z z2 )z 2
= 2i lim 4
+ 2i lim 4
=
zz1 (z + 1) zz 2 (z + 1) 2
Remark 14.3.5. The asymptotic behaviour |f (Rei )|R 0 as R is a
sufficient condition for the integral on the semicircle to vanish.

104
 There is an important class of integrals where the choice of half-plane is not
free, and the following result is useful:
Proposition 14.3.6 (Jordans lemma). Let f be a complex function, continuous
on the semicircle = {Rei , [0, ]}, and let M (R) = max[0,] |f (Rei )|.
Then:
Z 
 dzf (z)eiaz  M (R),
 
  a a>0 (14.8)

Proof.
Z   Z 
 dzf (z)eiaz  = iR i i iaRei 
   
   e d f (Re ) e 
0
Z 2 Z 2

2R M (R) deRa sin 2R M (R) de2Ra/ M (R)
0 0 a

The inequality sin 2/ is used, for 0 /2.

If a < 0 the semicircle for convergence is in the lower half plane. In any case
a 6= 0.
If the maximum M (R) of |f | vanishes for R , no matter how fast, then
the semicircle contribution is zero. Heres an important example:

eikx
Z
dx 2 2
= ea|k| , a > 0, k R (14.9)
x +a a

In the example, for k = 0 one is free to close in the upper or lower half plane.
If k 6= 0, because eik(x+iy) must not blow up, one is compelled to close with a
semicircle in the lower half plane if k > 0 or in the upper half plane if k < 0.
Example 14.3.7. Evaluate:
Z
cos(kx)
dx 2 2
= (|k| + 1)e|k| (14.10)
0 (x + 1) 4

The function is even, then the integral is 1/2 the integral on the real axis;
cos(kx) = Re exp(i|k|x). The path is closed in the upper half plane, where
it encircles the double pole z = i

ei|k|z d ei|k|z
 
1 d 2
= Re 2i lim (z i) 2 = Re i lim = ...
2 zi dz (z + 1)2 zi dz (z + i)2

Exercise 14.3.8.

x sin(x) 2
Z
dx = e (14.11)
0 (x2 + 1)2 4

105
 Ordinary integrals on the real line are tacitly defined with limits to infinity
being taken independently:
Z Z v
f (x)dx = lim f (x)dx
R u,v u

The examples presented above use a weaker definition (Cauchys principal value):
Z Z R
P f (x)dx = lim f (x)dx
R R R

where the limits are taken simultaneously. In several cases, the above principal
value integrals are well defined as ordinary integrals.
For an important class of integrals (Fourier integrals) the following statement
holds:
Theorem 14.3.9 (Jordan). Let f (z) be analytic, save for isolated singularities.
If a > 0 and if f (z) 0 as z in the upper half plane then:
Z n
X
dx f (x) eiax = 2i Res[f (z)eiaz , pk ] (14.12)
k=1

where p1 , . . . , pn are the singularities in the upper half plane.

If a < 0 and f (z) 0 as z in the lower half plane, the sum involves the
poles in the lower half plane, with a change of sign.
Proof. Consider the rectangular path with corners (u, 0), (v, 0), (v, iw) and
(u, iw), u, v > 0, w = u + v. The rectangle is large enough to accomodate
all singularities in the upper half plane. The integral of f (z)eiaz on this closed
path is 2i times the sum of residues. Let us show that integration on all sides
but the interval [u, v] give zero for u, v : the integral on the segment from
v to v + iw is
Z w  Z w
iavay  1
eay sup |f (v + iy)|,
 
 idyf (v + iy)e  sup |f (v + iy)|

0 y 0 a y

the sup factor vanishes for v (and u is left free). The opposite side behaves
similarly for u and all v. The integral on the side from u + iw to v + iw
is Z v 
iaxaw  aw
 
 dxf (x + iw)e e (v + u) sup |f (x + iw)|,
x

u

and vanishes in the independent limits u and v .

The integral on the whole real axis is obtained by two independent limits
Z 0 Z v
lim dx f (x)eiax + lim dxf (x)eiax
u u v 0

and equals the integral on the closed rectangle.

106
14.3.3 Principal value integrals
When a real function has one or more simple poles on the real axis, we may still
give meaning to the integral as a principal value integral (Cauchy), not to be
confused with the principal value Rintegral on [R, R], R .
c
This is an example: the integral a (x b)1 is singular, for a < b < c. How-
ever, one may isolate the singularity by removing an infinitesimal interval, and
evaluate: Z b Z c
dx dx cb
+ = log + log
a xb b+ x b ba
The independent limits , 0 do not give a well defined result. However, a
finite result is obtained with the principal value prescription: = , i.e. a
symmetric interval, and 0. The result is:
Z c "Z #
b Z c
dx dx dx cb
P = lim + = log (14.13)
a x b 0 a x b b+ x b b a

In this section we evaluate principal value integrals on the whole real line as
follows:
1) for each singularity ai of the real line remove a real interval [ai i , ai + i ];
2) close the interval [R, R] (R big enough to include all gaps) with a semicircle
in the appropriate half-plane (we assume that for infinite radius the contribu-
tion is zero);
3) close each gap centred in the singularity ai by a semicircle of radius i in the
same half plane as the big semicircle;
4) the principal part integral (real axis with gaps) is the sum of two contribu-
tions: the integral on the closed path (evaluated by residues) with R , and
the integrals on the semicircles with opposite orientation (in order to cancel the
contributions that were added to close the contour) in the limits i 0.
Example 14.3.10.
"Z #
1 R
1 1
Z Z
P dx = lim lim + dx
R 1 + x3 R 0 R 1+ 1 + x3

The singularity in x = 1 is a simple pole. The integral does not exist as an

ordinary one, but as a principal part integral.
The contour is closed in the upper half plane and encircles the simple pole ei/3 .
The small semicircle centred in x = 1 is parameterized by z = 1 + ei .
Then
Z
z ei/3 1
= 2i lim 3
+ lim i dei i 3
=
ze i/3 1+z 0 0 1 + (1 + e ) 3

107
 -1

R
Figure 14.1: The contour for the principal part evaluation of dx(1 + x3 )1 .
The large semicircle of radius R is added to use the Residue theorem, the small
semicircle isolates the singularity in x = 1.

Exercise 14.3.11.
dx ab 1
Z
P 2
= 2 (14.14)
(x a)(x b)(x + 1) (a + 1)(b2 + 1)
ZR
dx
P 2
= (14.15)
R (2 + x)(x + 4) 8
eix eia eib
Z
P dx = i . (14.16)
R (x a)(x b) ab
eikx
Z
P dx = ieiky sign k (14.17)
R xy
Example 14.3.12. Evaluation of the integral:
Z
sin x
dx = (14.18)
x

As the function (sin z)/z is holomorphic in z 6= 0, and continuous in z = 0,

its integral along the closed loop formed by [R, R] and a semicircle, is zero.
However we do not know the value of the integral on the semicircle, even in the
limit R . We then consider the Cauchy integral of the entire function eiz
eiz
Z
dz =0 (14.19)
z
on the closed path made of segments [R, ], [, R], a semicircle of radius R
in upper half plane, and a concentric semicircle of radius centred in z = 0.
Then:
"Z Z R # ix
Z Z
e eix
Z
iei iRei
0= + i de +i de P dx i
R x 0 0 R x

The integral on the large half-circle vanishes for large R (Jordan).

Exercise 14.3.13.
Z
sin2 x 1 1 ei2x
Z
dx 2
= Re P dx = (14.20)
x 2 x2

108
 ,

Figure 14.2: Left: Contour path with radii R and . The branch cut of the
log is chosen as the negative imaginary axis. Right: the keyhole path, with
branch cut in the positive real axis.

14.3.4 Integrals with branch cut

Certain integrals with log or non-integer powers can be evaluated by residues.
We illustrate this by examples:
Example 14.3.14.

log x
Z
dx xa1 , 0<a<2 (14.21)
0 x2 + 1
Use the contour shown in Fig.14.2; the log function is chosen with the cut on
the imaginary half-line. The integral is evaluated with the residue at the simple
pole z = i:
log z log z 2 ia/2
Z
dz e(a1) log z 2 = 2i lim (z i)e(a1) log z 2 = e
z +1 zi z +1 2
The same integral is the sum of two integrals on the real half-lines and the
integrals on the semicircles, which are zero for R and 0. Then
Z 0 Z
(a1)(log |x|+i) log |x| + i log x
= dx e 2+1
+ dxxa1 2
x 0 x +1
Z Z a1
log x x
= (1 eia ) dxxa1 2 ieia dx 2
0 x +1 0 x +1
Separation of real and imaginary parts gives two integrals:
Z Z
xa1 xa1 2 cos(a/2)
dx 2 = , dx 2 log x = (14.22)
0 x +1 2 sin(a/2) 0 x +1 4 sin2 (a/2)
Example 14.3.15.

log x
Z
dx xa1 , 0<a<1 (14.23)
0 x+1

109
The path of the previous example does not help. The appropriate path is the
keyhole path (see Fig.14.2), with the log branch cut chosen as the real positive
half-line. The integral is evaluated with the residue at the simple pole z = 1:
log z log z
Z
dze(a1) log z = 2i lim (z + 1)e(a1) log z = 2 2 eia
z + 1 z1 z + 1
The same integral is the sum of two integrals on two half-lines: the first one is
just above the branch cut (z = x + i, arg z = 0), the second one is just below
the branch cut and with opposite orientation (z = x i, arg z = i2). The
large and small circles do not contribute. Then:
Z Z
log x log |x| + i2
= dx xa1 dx e(a1)(log |x|+i2)
0 x + 1 0 x+1
Z Z
log x xa1
= (1 ei2a ) dx xa1 i2ei2a dx
0 x+1 0 x+1
By separating real and imaginary parts we obtain two integrals:
Z Z
xa1 xa1 cos(a)
dx = , dx log x = 2 2 (14.24)
0 x + 1 sin(a) 0 x + 1 sin (a)
Note that the integral with the log (and higher powers of the log) may be obtained
by a derivative in the parameter a of the first integral.
Exercise 14.3.16.
Z Z
x x1/3
1) dx 3 = , dx 2 2
= a4/3 (a > 0) (14.25)
0 x +1 3 0 x +a 3
Z
x1/3 4/3
2) dx 2 cos(kx) = a cosh(ka), k R (14.26)
0 x + a2 3
Z
x1/3
3) dx 2 2
sin(kx) = a4/3 sinh(ka), k R (14.27)
0 x + a
Z Z
x1/3 2 x3/4 3 2
4) dx = , dx = (14.28)
0 x+1 3 0 (x + 1)3 32
Z
x1/4 x1/n /n
Z
5) dx 2
= , dx 2
= (14.29)
0 (x + 1) 2 2 0 (x + 1) sin(/n)
Z
x
6) dx 3 = ( 2 1) (14.30)
0 x + x2 + x + 1 2
Integrals 2,3: first evaluate the integral with exp(ikx), then separate even/odd
powers of k.

14.3.5 Integrals of hyperbolic functions

The exponential and the hyperbolic functions are periodic on the imaginary
axis, so the trick of closing [R, R] with a semicircle at infinity does not work

110
(the extra integral does not vanish). One rather exploits periodicity to close the
path by a rectangle, such that the function on the new side [R + ih, R + ih] has
a simple relation with the function on the real interval. The trick was used for
the Fourier transform of the Gaussian function, (8.2). Here is another example:
Example 14.3.17.

eixy
Z
dx = (14.31)
R cosh x cosh( 2 y)

The integral on [R, R] is closed by the rectangle with vertices (R, 0), (R, i),
where cosh(x + i) = cosh x and the integrals on the short sides vanish for
R . The rectangle encloses the simple pole i/2. Therefore:

 eiyz eixy eiy(x+i)

 Z Z
2i lim zi = dx dx
zi 2 2 cosh z R cosh x R cosh(x + i)

Example 14.3.18.
Z
sinh(ky) ikx sin(y)
dk e = (0 < y < 1). (14.32)
sinh k cosh(x) + cos(y)

The integral, with a change k k, becomes:

Z Z
dk ek(y+ix) ek(yix) ek(y+ix)
 
+ = Re P dk .
2 sinh k sinh k sinh k

Since sinh(z + i) = sinh z, one considers a rectangle with corners u, v,

v + i, u + i, where u, v . Two sides are deformed by small half-circles
of radius to exclude the singular points k = 0, i from the interior of the
rectangle. By Cauchys formula the loop-integral is zero, and the integrals on
the sides parallel to the imaginary axis vanish in the limit. Then:
i
i Z ek(y+ix) ee (y+ix)
h Z
i(y+ix) i
0= 1+e P dk ie d
sinh k 0 sinh(ei )
2 (i+ei )(y+ix)
e
Z
iei d
sinh(i + ei )

Therefore:

ek(y+ix) ex eiy
Z
P dk = i x (14.33)
sinh k e + eiy

The real part gives the integral.

111
14.3.6 Other examples
Example 14.3.19.
Z  2 cos(/5)
1 /5 log x
Z
dx 5 = , dx = (14.34)
0 x + 1 sin(/5) 0
5
x +1 5 sin2 (/5)
The denominator remains unchanged if x is replaced by z = xei2/5 . This
suggests to close the real positive line with an arc of amplitude 2/5 and the
radial line z = xei2/5 (the second integral requires the first one).
Example 14.3.20.

log x 2
Z
dx 2
= (14.35)
0 x 1 4
The cut is chosen away from the real positive axis, and the point x = 1 is a
removable singularity. If x is replaced by ix the integral is simple to evaluate.
Theferore, integrate on the closed path formed by [0, R], the circle Rei 0 < <

2 and the segment [iR, 0], R .

Example 14.3.21.

log(x2 + 1)
Z
dx = log 2 (14.36)
0 x2 + 1
Evaluate dz log(z +i)/(z 2 +1) where is the real axis closed by a semicircle in
R

the upper half plane. The cut of log(z + i) is any line connecting i to infinity,
for example the line [i, i).
Example 14.3.22.
Z
log x 1 (log b)2 (log a)2
dx = (14.37)
0 (x + a)(x + b) 2 ba
If the keyhole path is considered, the integral is cancelled by the integral on
the other side of the cut. The trick here is to evaluate the keyhole integral of
the function (log z)2 /(z + a)(z + b) (see P. Nahin, Inside interesting integrals,
Springer 2015).
The Mathematics Stack Exchange is a website devoted to questions and an-
swers at any level. In particular the following pages contain hundreds of ques-
tions on contour integrals
http://math.stackexchange.com/questions/tagged/contour-integration

14.4 Enumeration of zeros and poles

Theorem 14.4.1. Let f (z) be meromorphic in D and a Jordan curve in D.
If z1 , . . . , zn are the zeros (of order k1 , . . . , kn ) and p1 , . . . pm are the poles (of
order q1 , . . . , qm ) of f encircled by , then:
dz f (z) X
Z X
= ki qj . (14.38)
2i f (z) i j

112
Proof. A zero or a pole of f is a pole for f /f . The theorem is an application of
the theorem of residues. In a neighbourhood of a zero zi , f (z) = Ai (zzi )ki i (z)
with analytic and no other zeros or poles. Then

f (z) ki (z)
= + i
f (z) (z zi ) i (z)

with residue ki . In a neighbourhood of a pole, f (z) = Bj (z pj )qj j (z) with

analytic, and no other poles or zeros. Then

f (z) qj j (z)
= +
f (z) (z pj ) j (z)

and the residue is qj .

dz
R
Exercise 14.4.2. Show that: |z|=k 2i
tan z = 2k.

This beautiful theorem is useful for studying the location of zeros of analytic
functions:
Theorem 14.4.3 (Rouche). Lef f and g be holomorphic functions on and inside
a simple closed curve . If |g(z)| < |f (z)| for all z , then f and f + g have
the same number of zeros inside .
Proof. Since |f | > |g| on it is |f | 6= 0 on and the variable w = [f (z) +
g(z)]/f (z) is well defined on . By the inequality |w(z) 1| < 1, z , the
image of the curve does not encircle the origin. By eq.(14.38)

dz w (z) arg w
Z
#(zeros of f + g) #(zeros of f ) = = =0
2i w(z) 2

(the zeros and poles of w are respectively the zeros of f + g and of f ).

Example 14.4.4. How many solutions of the equation ez 3z 4 + 5z = 0 are
in the disk |z| < 2? Choose f (z) = 3z 4 + 5z and g(z) = ez . On the boundary
|g(z)| = e2 cos , |f (z)| = |48e4i 10ei | > 38. Since |f | > |g|, the number of
solutions equals that of 3z 4 5z = 0 with |z| < 2, which is 4.

14.5 Evaluation of sums

The theorem of residues can be used to evaluate infinite sums by reducing them
to sums on a finite number of residues.
The functions cot(z) and cosec(z) are meromorphic with simple poles on
the real axis at zn = n Z, and residues respectively equal to 1 and (1)n . If
f (z) is analytic in the neighbourhood of the integer n, then:

Res[f (z) cot(z), n] = f (n), Res[f (z)cosec(z), n] = (1)n f (n).

113
Proposition 14.5.1. Let f (z) be meromorphic with a finite set of poles P =
{p1 , . . . , pm } and suppose that there is K > 0 such that |z 2 f (z)| < K for all z
with |z| larger than some constant R. Then
X n
X
0= f (n) + Res [f (z) cot(z), pk ] (14.39)
nZ/P k=1

X m
X
0= (1)n f (n) + Res [f (z)cosec(z), pk ] (14.40)
nZ/P k=1

Proof. To apply the theorem of residues, consider a square path  with corners
[n + 12 i(n + 12 ] big enough to include all poles pk . Then:
d
Z X
f ()g() = Res[f (z)g(z), a]
 2i a

where a {0, 1, . . . , n}{p1, . . . pm }, and g(z) is either cot(z) or cosec(z).

On the sides of the squares it is | cot(z)| 1 and |cosec(z)| < 1. Then Dar-
bouxs inequality and the bound on f ensure that the contour integral vanishes
for n :
Z 
 d  4(2n + 1) K
 f ()g()

 2i 2 (n + 1/2)2

Corollary 14.5.2. If f is meromorphic with poles in p1 , . . . , pk

/ Z, then

X m
X
f (n) = Res [f (z) cot(z), pk ] (14.41)
n= k=1

X m
X
(1)n f (n) = Res [f (z)cosec(z), pk ] (14.42)
n= k=1

Example 14.5.3. The function f () = 1/( 2 + z 2 ) has simple poles iz. Then
P 1
P cot()
n= n2 +z 2 = p=iz Res[ 2 +z 2 , p] = z coth(z). One obtains a repre-
sentation for coth(z):

1 z X 1
coth(z) = +2 (14.43)
z n=1 z 2 + n2

1 z 2
P
For |z| < 1 one may expand as a geometric series: n2 +z 2 = (1) n2+2 . The
exchange of sums is allowed because the series are absolutely convergent:

1 2X
coth(z) = + (1) z 2+1 (2 + 2) (14.44)
z
=0

114
Comparison with eq.(11.13) reveals the relationship with Bernoulli numbers:

1 (2)2
(2) = |B2 | (14.45)
2 (2)!

The replacement z iz gives:

1 z X 1
cot(z) = +2 . (14.46)
z n=1 z 2 n2

As cot(z) = 1 dz
d
log sin(z) and z22z d 2 2
n2 = dz log(z n ), the famous Eulers
product formula for the sine function results (1734):

z2
Y 
sin(z) = z 1 2 (14.47)
n=1
n

Example 14.5.4. Consider f (z) = z 2 , with a double pole at the origin.

2
= Res[ cot(z)
P
n6=0 n z2 , 0]. The residue is evaluated with the rule for poles
of order 3:
1 d2 z cos(z)
2(2) = lim 2
2! z0 dz sin(z)
A different way to evaluate the residue is to produce the Laurent series directly,
[1(z)2 /2!+... ] 2
from known series, and read c1 : z2cos(z) 1
sin(z) = z 3 [1(z)2 /3!+...] = z 3 3z + . . . .
Then c1 = 2 /3 and

X 1 2
(2) = 2
=
n=1
n 6

115
Chapter 15

ELLIPTIC FUNCTIONS

15.1 Elliptic integrals I

Elliptic integrals are the integrals of the sort
Z  p 
dxR x, P (x) (15.1)

where R is a rational function of the real variable x and of the square root of a
cubic or quartic polynomial P (x) with real coefficients (a higher degree defines
hyperelliptic integrals). Early studies were done by Fagnano, Euler, Lagrange
and Landen; Legendre introduced three canonical elliptic integrals, and showed
that any elliptic integral may be expressed as a combination of them.

The archetypal elliptic integral arises in the evaluation of the arc-length of

the ellipse. Let the length
of the semi-major axis be one; with the parameter-
ization x = sin , y = 1 k 2 cos (k is the eccentricity), the arc-length and
the quarter-perimeter are respectively:
Z
p
E(, k) = d 1 k 2 sin2 (15.2)
0
Z u r
1 k 2 x2
= dx = E(u|k), (15.3)
0 1 x2
Z /2 Z 1 r

p
2 1 k 2 x2
E(k) = d 1 k 2 sin = dx . (15.4)
0 0 1 x2

E(, k) or E(u|k) are two different notations for the (incomplete) elliptic integral
of the second kind, while E(k) = E( 2 , k) = E(1|k) is the complete elliptic
integral of the second kind1 .
1 here and later, the same letter is used whether the variable is or u = sin , but note the

different separator of the arguments.

116
 The canonical integrals of the first kind arise in the study of the pendu-
lum. Let be the angular coordinate of the pendulum, and let 0 be the
maximal deviation. Energy conservation gives: 21 2 2 = g(cos cos 0 ) =
2g(sin2 (0 /2) sin2 (/2)) (g is the gravitational acceleration, is the length).
The time to swing from 0 to is:
s Z
1 d
t() = q ,
2 g 0
sin2 (0 /2) sin2 ( /2)
The period of the pendulum is T = 4t(0 ). With the changepof variable
sin(/2) = p k sin , with parameter k = sin(0 /2), they become t = /gF (, k)
and T = 4 /gK(k), where F (, k) = F (u|k) and K(k) = F ( 2 , k) = F (1|k)
are respectively the incomplete and the complete elliptic integrals of the first
kind:
Z
1
F (, k) = d p (15.5)
0 1 k 2 sin2
Z u
dx
= p = F (u|k) (15.6)
(1 x2 )(1 k 2 x2 )
0
Z /2 Z 1
1 dx
K(k) = d p = p (15.7)
2 2 (1 x2 )(1 k 2 x2 )
0 1 k sin 0

Finally, the (incomplete) elliptic integral of the third kind is:

Z
1
(, , k) = d p (15.8)
0 (1 + sin ) 1 k 2 sin2
2 2
Z u
dx
= p = (u|, k) (15.9)
(1 + 2 x2 ) (1 x2 )(1 k 2 x2 )
0

The number k, with 0 k < 1 is the modulus, and k = 1 k 2 is the comple-
mentary modulus.

The complete integrals K, E, K K(k ) and E E(k ) are linked by

Legendres relation:

KE + K E KK = (15.10)
2
Exercise 15.1.1. Show that
Z 2 Z 2 2
k 2 cos2 + k cos2
KE + K E KK = d d q
0 0 (1 k 2 sin2 )(1 k 2 sin2 )
The reduction of simple elliptic integrals to linear combinations of the canon-
ical Legendre integrals is found in the tables of integrals, and the values of
Legendre integrals are tabulated2 .
2 A specialized book is P. F. Byrd and M. D. Friedman, Handbook of Elliptic Integrals for

Engineers and Scientists, 2nd ed. 1971, Springer-Verlag.

117
Example 15.1.2.
!
x
r
dx 2 ba xa
Z
p = F , , sin2 =
a

(x a)(b x )(c x ) ca ca ba

where a x b < c. The Legendre form is obtained with the replacement

x = a + (b a) sin2 . Then x = a + (b a) sin2 . Similarly:
Z x
x dx
p
a (x a)(b x )(c x )
Z x " s #
c c x
= dx p
a (x a)(b x )(c x ) (x a)(b x )
r ! r !
2c ba ba
= F , 2 c a E ,
ca ca ca

Exercise 15.1.3.
1
dx
Z  
= 1 K 1
1 x4 2 2
0

The integral is also amenable to Eulers Beta function, 41 B( 41 , 12 ). Show that:

  1
K 1
2
= ( 41 )2 .
4

Exercise 15.1.4. Find the first correction to the isochronous period of the
pendulum, in the small parameter 0 .
Exercise 15.1.5. Show that (from Bowman. Put t = tan )
x
dt d
Z Z
p = q
0 t 2t2 cos + 1
4 0 1 12 (1 cos ) sin2 (2 )
r !
1 1 cos
= F 2 arctg x, (15.11)
2 2

1
dt dt
Z Z
p =2 p
0 t 2t2 cos + 1
4 0 t 2t2 cos + 1
4
r !
1 cos
=K (15.12)
2

118
 1.0

0.5

0.2 0.4 0.6 0.8 1.0

-0.5

-1.0

Figure 15.1: The Jacobi elliptic functions sn (4Kx | k), cn(4Kx | k), dn(4Kx | k)
with k = 0.9, and the function sin(2x) (dashed). Note the different aspect of
sn and cn. As k increases, the maxima and minima of sn become more rounded.

Exercise 15.1.6. Use the results of the previous exercise to prove the following
(hint: 1 t = s2 or t 1 = s2 ):
Z x !
dt 1 31 3+1x
= F 2, , cos(2) = (15.13)
3
t 1 4
3 2 2 31+x
1
Z !
dt 2 31
= K , (15.14)
1 t3 1 4
3 2 2
Z 1 !
dt 1 31
= F 2, , cos(2) = 2 3 (15.15)
0 1 t3 4
3 2 2
1 1 1
The last integral is also Beta Eulers function: 3 B( 3 , 2 )

15.2 Jacobi elliptic functions

The elliptic integral of the first kind F (, k) with modulus 0 k 1 is a
monotonic odd function of in the interval [ 2 , 2 ], with range [K, K]. There
is no obstacle in letting vary on real axis. The addition formula suffices:
Z Z +
1
F ( + , k) = + d p = 2K + F (, k).
0 1 k 2 sin2
The extended function is non-decreasing, and so it is invertible. For k = 0, if
x = F (, 0), then sin x = sin . For k 6= 0 one defines a new function sn(x|k)
that generalizes the sine function (Cayley named it the elliptic sine)3 :

x = F (|k), sn(x|k) = sin (15.16)

3 Refs: F. Bowman, Introduction to Elliptic Functions with applications, Dover 1961;

J. V. Armitage and W. F. Eberlein, Elliptic Functions, London Math. Soc. Student text
67, Cambridge 2006.

119
The function is odd in x, with extremal values sn(K|k) = 1. Since F ( +
, k) = x + 2K, it is
sn(x + 2K|k) = sin( + ) = sin = sn(x|k) (15.17)
Then sn(x|k) is 4K-periodic. Next, it is natural to introduce the 4K-periodic
even function cn(x|k) = cos . Then:

cn2 (x|k) + sn2 (x|k) = 1 (15.18)

A function with no trigonometric counterpart, with period 2K, is:

p
dn(x|k) = 1 k 2 sn2 (x|k) (15.19)

sn, cn, dn are the Jacobian elliptic functions.

15.2.1 Derivatives
The relations dx = d(1 k 2 sin2 )1/2 and d sn(x|k) = cos d allow to eval-
uate the derivatives:
d p
sn(x|k) = cos 1 k 2 sin2 = cn(x|k) dn(x|k) (15.20)
dx
d p
cn(x|k) = sin 1 k 2 sin2 = sn(x|k) dn(x|k) (15.21)
dx
d
dn(x|k) = k 2 sn(x|k) cn(x|k) (15.22)
dx
They imply the second-order differential equations:
d2
sn(x|k) = (1 + k 2 ) sn(x|k) + 2k 2 sn3 (x|k) (15.23)
dx2
d2
cn(x|k) = (1 2k 2 ) cn(x|k) 2k 2 cn3 (x|k) (15.24)
dx2
d2
dn(x|k) = (2 k 2 ) dn(x|k) 2 dn3 (x|k) (15.25)
dx2
Other equations are obtained by squaring the first derivatives; for example:
 2
d
sn(x|k) = 1 (1 + k 2 )sn2 (x|k) + k 2 sn4 (x|k) (15.26)
dx

15.2.2 Summation formulae

The Jacobi elliptic functions obey summation formulae. Let s1 (x) = sn(x +
x1 |k), s2 (x) = sn(x + x2 |k), and the like for the other Jacobi functions. A prime
denotes a derivative in x. Multiply (15.23) for s1 by s2 , and subtract from it
the equation with labels exchanged:
(s2 s1 s1 s2 ) = 2k 2 s1 s2 (s21 s22 )

120
Multiply (15.26) for s1 by s22 and subtract from it the equation with labels
exchanged:

s22 (s1 )2 s21 (s2 )2 = (s21 s22 )(1 k 2 s21 s22 )

Divide the two equations and obtain:

(s2 s1 s1 s2 )
2 s1 s2 (s2 s1 + s1 s2 )
= 2k
s2 s1 s1 s2 1 k 2 s21 s22
2 2 2
(1 k s1 s2 )
=
1 k 2 s21 s22

An integration gives s2 s1 s1 s2 = C(1 k 2 s21 s22 ), where C is independent of

x. With si = ci di we obtain the algebraic relation valid for any x: s2 c1 d1
s1 c2 d2 = C(1 k 2 s21 s22 ). For x = x2 , it is s2 = 0 and the identity gives
C = sn(x1 x2 |k). Then (the specification of the modulus is omitted):
sn(x1 )cn(x2 )dn(x2 ) sn(x2 )cn(x1 )dn(x1 )
sn(x1 x2 ) = (15.27)
1 k 2 sn2 (x1 )sn2 (x2 )
For k = 0 the familiar summation formula of the sine function is recovered. In
a similar way:
cn(x1 )cn(x2 ) sn(x1 )sn(x2 )dn(x1 )dn(x2 )
cn(x1 x2 ) = (15.28)
1 k 2 sn2 (x1 )sn2 (x2 )
dn(x1 )dn(x2 ) k 2 sn(x1 )sn(x2 )cn(x1 )cn(x2 )
dn(x1 x2 ) = (15.29)
1 k 2 sn2 (x1 )sn2 (x2 )
Exercise 15.2.1. Evaluate the special values (hint: put x1 = x2 = K/2):

k
        
K 1 K K
sn k = , cn = , dn = k . (15.30)
2 1 + k 2 1 + k 2
k k

Remark 15.2.2. There are several problems that may be exactly solved by
means of Jacobi elliptic functions with real argument. This is a short list: mo-
tion of the pendulum, motion of a rigid body, geodesic motion in Schwartzschilds
metric, area of the surface of the ellipsoid, area of spherical triangles, potential
of a homogeneous ellipsoid, classical equation for 4 field in 1d.

15.2.3 Elliptic integrals - II

Jacobi elliptic functions are useful in the evaluation of elliptic integrals (15.1).
A standard change of variable is:
A1 + A2 sn2 (u|k)
x= , 0uK (15.31)
A3 + A4 sn2 (u|k)
p
The constants Ai and the modulus k are chosen in order that dx/ P (x) = g du,
where g is a constant.

121
Example 15.2.3.
Z x
dx
p x1cd
0 x (1 x )(c x )(d x )

As 0 x 1, we require x = 0 for u = 0 and x = 1 for u = K in (15.31), then

(1 + q)sn2 (u|k) sn(u|k)cn(u|k)dn(u|k)

x= , dx = 2(1 + q)
1 + q sn2 (u|k) [1 + q sn2 (u|k)]2
r
dx 1+q dn(u|k) du
p =2 p p
P (x) cd 1 (1/c + q/c q)sn (u|k) 1 (1/d + q/d q)sn2 (u|k)
2

Set q = 1/(d 1) and k 2 = 1/c + q/c q = (d c)/[c(d 1)] to eliminate one

of the square roots and cancel the other with dn(u|k). Then:
Z x r s !
dx 1 1 x(d 1)  dc
p =2p u=2p F
dx c(d 1)

0 P (x) c(d 1) c(d 1)

Example 15.2.4.
Z x
dx
p 1c<dx
d x (x 1)(x c)(x d)

In (15.31) we only require x(0) = d i.e. A1 /A3 = d. Then:

d + q sn2 (u|k) snu cnu dnu

x= 2
, dx = 2(q dp) du
1 + p sn (u|k) (1 + p sn2 u)2
Z x Z u
dx 2 q pd dnu cnu du
p = 2 2 2 1/2
d P (x ) 0 [(d + q sn u )(d 1 + (q p)sn u )(d c + (q pc)sn u )]

Choose q = d, p = d/c to simplify the elliptic cosine and one factor. The
value of k for dn is chosen to cancel the remaining square root:
Z x Z u
dx 1 dn u du
p =2 p q
P (x ) c(d 1) 0 1 d(c1) 2
c(d1) sn u
d
s s !
2u 2 c(x d)  d(c 1)
=p =p F
d(x c) c(d 1)

c(d 1) c(d 1)

15.2.4 Symmetric integrals

The modern treatment of elliptic integrals is based on the following symmet-
ric integrals of the I, II, and III kind (see NIST Handbook of mathematical

122
functions, Cambridge):

dt
Z
1
RF (x, y, z) = 2
p (15.32)
0 (t + x)(t + y)(t + z)
Z
dt
RJ (x, y, z, p) = 32 p (15.33)
0 (t + p) (t + x)(t + y)(t + z)
Z 2 Z
1 q
RG (x, y, z) = d sin d x n2x + y n2y + z n2z (15.34)
4 0 0

where ~n = (sin cos , sin sin , cos ) is a unit vector in spherical angles. The
integrals are symmetric functions of x, y, z C/{, 0]. They are complete
whenever one of the variables x, y, z is zero. The connection with Legendres
integrals is (c = 1/ sin2 ):
F (, k) =RF (c 1, c k 2 , c), (15.35)
2 2
E(, k) =2 RG (c 1, c k , c) (c 1) RF (c 1, c k , c)
p
(c 1)(c k 2 )/c, (15.36)
(, , k) =F (, k) + 13 2 RJ (c 1, c k 2 , c, c 2 ). (15.37)
Lets check the first one:

dt
Z
2 1
RF (c 1, c k , c) = 2
p
0 (t + c 1)(t + c k 2 )(t + c)
Z 1/c
dt 1 dx
Z
= p = p
2
2 t (t 1)(t k ) (1 x )(1 k 2 x2 )
2
c 0

15.3 Complex argument

The full beauty of elliptic functions shines in the complex plane. The general
theory is outlined in the end of the chapter; in this section we extend the Jacobi
elliptic functions to complex variable and discuss their properties, that illustrate
the general theory.
The purely imaginary argument is introduced as follows. In the first elliptic
2
integral replace k 2 = 1 k , where k is the complementary modulus,
Z Z
d d 1
F (, k) = p = |
p
0 2
cos + k sin 2 2 0 | cos 1 + k 2 tan2
By putting sinh x = tan we obtain another representation for F :
Z x
dx sn(x|k)
F (, k) = p , sinh x = tan = (15.38)
0 2 2
1 + k sinh x cn(x|k)
This identity defines the Jacobi elliptic function with imaginary argument:
sn(x|k)
x = F (, k), sn(ix|k ) = i (15.39)
cn(x|k)

123
Accordingly, the other functions with imaginary argument are:
1
cn(ix|k ) = cosh x = , (15.40)
cn(x|k)
dn(x|k)
q
dn(ix|k ) = 1 k 2 sn2 (ix|k ) = (15.41)
cn(x|k)

The Jacobi functions with modulus k change sign for a shift x x+2K , where
K = K(k ), and have period 4K . The ratio of two of them is periodic with
period 2K . Therefore, the functions with imaginary argument (and modulus
k) are periodic: sn(ix + i2K |k) = sn(ix|k) etc.
They obey the same differential equations and addition rules as the functions
with real argument. For example:

d d sn(x|k) dn(x|k)
sn(ix|k ) = = 2 = cn(ix|k )dn(ix|k )
dx dx cn(x|k) cn (x|k)

sn(x + x |k) sn(x)cn(x )dn(x ) + sn(x )cn(x)dn(x)

sn(ix + ix |k ) = i
=
cn(x + x |k) cn(x)cn(x ) sn(x )sn(x)dn(x)dn(x )
i sn(x|k )dn(x |k) + i sn(ix |k )dn(x|k)
=
1 sn(ix|k )sn(ix |k )dn(x|k)dn(x |k)
sn(ix|k )cn(ix |k )dn(ix |k ) + sn(ix |k )cn(ix|k )dn(ix|k )
=
1 k 2 sn2 (ix|k )sn2 (ix |k )

The Jacobi elliptic functions with complex argument z = x + iy are defined

through the summation formulae:

sn(x|k)cn(iy|k)dn(iy|k) + cn(x|k)dn(x|k)sn(iy|k)
sn(z|k) =
1 k 2 sn2 (x|k)sn2 (iy|k)
sn(x|k)dn(y|k ) + i cn(x|k)dn(x|k)sn(y|k )cn(y|k )
= (15.42)
1 dn2 (x|k)sn2 (y|k )
cn(x|k)cn(y|k ) i sn(x|k)dn(x|k)sn(y|k )dn(y|k )

cn(z|k) = (15.43)
1 dn2 (x|k)sn2 (y|k )
dn(x|k)cn(y|k )dn(y|k ) ik 2 sn(x|k)cn(x|k)sn(y|k )
dn(z|k) = (15.44)
1 dn2 (x|k)sn2 (y|k )

The summation formulae (15.27), (15.28), (15.29), the expressions for deriva-
tives and the differential equations remain valid, with z replacing x. Some useful
properties are listed:

sn(z|k) = sn(z|k), cn(z|k) = cn(z|k), dn(z|k) = dn(z|k) (15.45)

124
.
cn(z|k) 1
sn(z + K|k) = , sn(z + iK |k) = (15.46)
dn(z|k) k sn(z|k)
sn(z|k) dn(z|k)
cn(z + K|k) = k , cn(z + iK |k) = i (15.47)
dn(z|k) k sn(z|k)
k cn(z|k)
dn(z + K|k) = , dn(z + iK |k) = i (15.48)
dn(z|k) sn(z|k)

sn(z + 2K|k) = sn(z|k), sn(z + i2K |k) = sn(z|k) (15.49)

cn(z + 2K|k) = cn(z|k), cn(z + i2K |k) = cn(z|k) (15.50)
dn(z + 2K|k) = dn(z|k), dn(z + i2K |k) = dn(z|k) (15.51)

Proposition 15.3.1. The Jacobi elliptic functions are doubly periodic func-
tions:

sn(z + n1 4K + n2 2iK |k) = sn(z|k), (15.52)

cn(z + n1 4K + n2 (2K + i2K )|k) = cn(z|k), (15.53)
dn(z + n1 2K + n2 4iK |k) = dn(z|k). (15.54)

Proposition 15.3.2 (zeros and poles).

1) In the rectangle 0 Rez < 4K, 0 Imz < 2K , the function sn(z|k) has two
simple zeros at z = 0, z = 2K, and two simple poles at z = iK , z = 2K + iK
with residues 1/k, 1/k.
2) In the parallelogram with vertices 0, 4K, 6K + i2K , 2K + i2K the function
cn(z|k) has two simple zeros at z = K, z = 3K, and two simple poles at
z = K + iK , z = 3K + iK with residues 1/k, 1/k.
3) In the rectangle 0 Rez < 2K, 0 Imz < 4K the function dn(z|k) has two
simple zeros at z = K + iK , z = K + i3K , and two simple poles at z = iK ,
z = 2K + iK with residues i, i.
Remark 15.3.3. For the three elliptic functions:
1) the sum of residues is zero,
2) the numbers of zeros equals the number of poles,
3) the sum of the zeros equals the sum of the poles modulo a lattice vector.

15.4 Conformal maps

Elliptic integrals and Jacobi functions define useful conformal transformations,
the basic one being the map of the rectangle onto the upper half plane.
Proposition 15.4.1. The analytic function w z = sn(w|k) maps the rectan-
gle R = {w : 0 < Re w < K, 0 < Im w < K } conformally on the first quadrant
of the z plane (note that R is half of a fundamental parallelogram).

125
Proof. Let w = u + iv and z = x + iy. In components the map is:

sn(u|k)dn(v|k ) cn(u|k)dn(u|k)sn(v|k )cn(v|k )

x= , y=
1 dn2 (u|k)sn2 (v|k ) 1 dn2 (u|k)sn2 (v|k )

If w R then: x 0, y 0, and sn (w|k) = cn(w|k) dn(w|k) 6= 0; therefore R is

mapped in the first quadrant, and the map is injective. It is sufficient to obtain
the image of the boundary of the rectangle (the image of R is the interior of it).
1) the segment 0 < u < K, v = 0 is mapped to 0 < x < 1, y = 0 (x = sn(u|k));
2) the segment u = K, 0 < v < K is mapped to the segment 1 < x < 1/k,
y = 0 (x = 1/dn(v|k ));
3) the segment K > u > 0, v = K is mapped to 1/k < x < and y = 0
(x = 1/[k sn(u|k)]); as the point z = is reached, the image of the rectangles
boundary descends to the origin along the imaginary axis:
4) the segment u = 0, K > v > 0 is mapped to x = 0 and > y > 0
(y = sn(v|k )/cn(v|k )).
Remark 15.4.2. The corners 0, K, K + iK and iK are mapped to 0, 1, 1/k
and .
A segment (a, a + iK ) in R is mapped to a line with both ends on the real axis:
z1 = sn(a|k) < 1 and z2 = 1/[k sn(a|k)] > 1/k. The line is parameterized as
follows, by t = sn(v|k ) (0, 1),
p
sn(a|k) 1 k 2 t2 cn(a|k)dn(a|k)t 1 t2
x(t) = , y(t) =
1 t2 dn2 (a|k) 1 t2 dn2 (a|k)

A segment (ib, K + ib) is mapped to a line with ends z1 = i sn(b|k )/cn(b|k ) and
1 < z2 = dn(b|k ) < 1/k. The line is parameterized by u, and is orthogonal to
the lines of constant u.
At the corner w = 0 the map is analytic with nonzero derivative; therefore the
right angle of the rectangle is mapped to the right angle at z = 0.
Corollary 15.4.3. The map w z = sn2 (w|k) takes conformally the rectangle
0 < u < K, 0 < v < K to H (the half plane Imz > 0).
The images of 0, K, K + iK and iK are, in the order, 0, 1, 1/k 2 , .

15.5 General theory

The modern theory of elliptic functions is based on general theorems that de-
scend from analiticity and double periodicity. Although Gauss was aware of
doubly periodic functions, the subject was disclosed in 1827 by Niels H. Abel,
and developed further by Jacobi and Weierstrass.

A complex function f is periodic if there is a complex number (the period)

such that f (z+) = f (z) for all z. The exponential and the hyperbolic functions

126
are periodic with = 2i, the trigonometric functions are periodic with = 2.
A function is doubly periodic if there are two periods and , such that:

f (z + ) = f (z) and f (z + ) = f (z), z C

Jacobi proved that a non-constant single-valued analytic function whose singu-

larities do not have limit points at finite distance cannot have more than two
periods, not proportional by a real factor.
Given an arbitrary point c and two periods with 0 < Arg( ) /2,
the cell with corners c, c + , c + + , c + is a fundamental parallelogram
, with oriented boundary . The values of f in  determine the function
everywhere. The points c + n + n , n, n Z, form a lattice in C.
A doubly periodic entire function is necessarily constant (being continuous
on the compact set  it is bounded, but then it is bounded on C by periodicity,
i.e. it is constant by Liouvilles theorem). We then have to allow for isolated
poles:
Definition 15.5.1. An elliptic function is a doubly periodic meromorphic func-
tion. The number of poles (counted with their order) inside a fundamental
parallelogram, is the order of the elliptic function.
These properties hold in general for elliptic functions:
Proposition 15.5.2. Let f (z) be an elliptic function and consider the poles pk
and the zeros ak of the function f (z) a inside a fundamental parallelogram:
1) the sum of the residues is zero:
X
Res (f, pk ) = 0
k

2) the number of zeros equals the number of poles (both counted with their order),
i.e. an elliptic function takes each complex value a number of times equal to its
order:
#ak = #pk
3) the sum of the zeros minus the sum of the poles is a lattice point, i.e. the
sum of the points where the function takes a fixed value equals (modulo a lattice
point) the sum of the poles:
X X
ak = pk + n + n
k k

4) If two elliptic functions f and g have the same periods, then there is a poly-
nomial P (z, z ) with constant coefficients such that P (f (z), g(z)) = 0. In par-
ticular, f satisfies a differential equation of the type

P (f (z), f (z)) = 0 (15.55)

127
 P R
Proof. By the theorem of residues: 2i k Res(f, pk ) = dzf (z); as f takes
the same values on opposite edges (with opposite orientations), the integral is
zero. The function f /(f a) has simple poles at the zeros ak of f a (with
residue equal to the order of the zero), and simple poles pk at the poles of f
(with residues equal to the opposite of their order). Then:

dz f (z)
Z
= #ak #pk
2i f (z) a

the integral vanishes because of the periodicity of f and f . Next, consider the
integral
dz f (z)
Z X X
z = ak pk
2i f (z) a k k

The integral is evaluated by parametrizing the four sides of the parallelogram

with ordered vertices c, c + , c + + , c + . Using the periodicity of f and
f on opposite sides, the contour integral is:
Z 1
f (c + t)
dt[(c + t) (c + + t)]
2i 0 f (c + t) a
Z 1
f (c + t )
+ dt[(c + + t ) (c + t )]
2i 0 f (c + t ) a
1 f (c + t) f (c + t )
Z  
= dt +
2i 0 f (c + t) a f (c + t ) a

= log[f (c + t) a]1t=0 + log[f (c + t ) a]1t=0
2i 2i
As f a is periodic, the real parts of log at t = 1 and t = 0 cancel, while
arguments may only differ by an integer multiple of 2i. Therefore the contour
integral is n + n , i.e. for any choice of a:
X X
ak = pk + n + n .
k k

The last proposition is proven for example in M. Lavrentiev and B. Chabat,

Methodes de la Theorie des fonctions dune variable complexe, Editions de
Moscou 1972.

15.6 Theta functions

Consider the series4
X 2
3 (z| ) = ei(m +2mz)
(15.56)
mZ

4 N. I. Akhiezer, Elements of the theory of elliptic functions, Translations of Mathematical

Monographs 79, AMS

128
For Im > 0 the series is everywhere absolutely convergent and defines an
entire function. Besides the obvious periodicity 3 (z| ) = 3 (z + 1| ), it is easy
to show that 2
3 (z + | ) = ei( +2z) 3 (z| )
The logarithmic derivative is:

3 (z + | ) (z| )
= 2i + 3
3 (z + | ) 3 (z| )

The ratio has simple poles at the zeros of 3 (if p is the order of the zero, the
ratio has a simple pole with residue p). Therefore, the derivative of this ratio is
a meromorphic function
d 3 (z| )
(z| ) =
dz 3 (z| )
with double poles at the zeros of 3 . The function is doubly periodic: (z| ) =
(z + 1| ) and (z| ) = (z + | ). Next, consider the Theta function:
  X
1  2
0 (z| ) = 3 z +  = (1)m ei(m +2mz) . (15.57)
2
mZ

2 2
0 (z+ | ) = 3 z + + 12 | = ei( +2z+1)
3 (z+ 21 | ) = ei( +2z)


0 (z| ),
and 0 (z + 1| ) = 0 (z| ). The ratio

3 (z| )
3 (z| ) = (15.58)
0 (z| )

is meromophic with isolated double poles at the zeros of 0 . Since 3 (z + 1| ) =

3 (z| ) and 3 (z + | ) = 3 (z| ), it is an elliptic function with periods 1 and
2 . Two other Theta functions are:
 
1 
1 (z| ) = iei(z 4 ) 3 z +  , (15.59)
2

  
2 (z| ) = ei(z 4 ) 3 z  . (15.60)
2
Exercise 15.6.1. Prove that the ratios
1 (z| ) 2 (z| )
1 (z| ) = , 2 (z| ) = (15.61)
0 (z| ) 0 (z| )

are elliptic functions, with periods 2, and 2, 1 + .

129
Chapter 16

QUATERNIONS AND
BEYOND

16.1 Quaternions and vector calculus.

After the successful construction of C as the set of pairs of real numbers,
(a, b) = a + ib, with vector sum and distributive product with the rule i2 = 1,
W. R. Hamilton eagerly tried to generalize the construction of new number fields
by considering triplets (a, b, c). After years of efforts, in 1843, he realized that
a consistent multiplication could be defined for quadruplets (a, b, c, d), which he
called quaternions.
With three units I = (0, 1, 0, 0), J = (0, 0, 1, 0), K = (0, 0, 0, 1) (instead of a
single i = (0, 1)) a quaternion is a number q = a + bI + cJ + dK, where a, b, c, d
are real numbers. Multiplications are done with the rules I 2 = J 2 = K 2 = 1
and
IJ = JI = K, JK = KJ = I, KI = IK = J
The set H of quaternions is a non-commutative algebra with conjugation q =
abI cJ dK (i.e. I = I etc.). The conjugate of a product is (q1 q2 ) = q2 q1 .
H has the inner product (q|p) = 12 (q p + p q). The norm of a quaternion is
p
kqk = (q|q) = a2 + b2 + c2 + d2 , with the property kqpk = kqk kpk1.
A realization of the quaternion basis is given by the 2 2 complex Pauli
matrices: 1 = 0 (the unit 2 2 matrix), I = i3 , J = i2 and K = i1 , where
     
0 1 0 i 1 0
1 = , 2 = , 3 = . (16.1)
1 0 i 0 0 1

Quaternions are then represented by complex matrices, with the ordinary matrix
1 The rule implies a nontrivial identity: given integers m and n there are integers p
i i i
(i = 1, 2, 3, 4) such that (m21 + m22 + m23 + m24 )(n21 + n22 + n23 + n24 ) = p21 + p22 + p23 + p24 .

130
operations. The algebra of sigma matrices is summarized by the matrix identity2

3
X
i j = ij 0 + i ijk k (16.2)
k=1

In modern language a quaternion with b = c = d = 0 is a (real) scalar, and a

purely imaginary quaternion bI +cJ +dK (a = 0) is a vector. Then a quaternion
can be viewed as a pair (a, ~v ), and this is where vector calculus originated from.
Hamilton introduced the operator = Ix + Jy + Kz , and named it nabla3 .
If q is a scalar then q is a vector. If q is a vector, q is a quaternion with scalar
part div q and vector part rot q. Quaternions influenced James Clerk Maxwell
in the formulation of his fundamental Treatise on Electricity and Magnetism
(1873), though he preferred the more familiar Cartesian form4 .
It is interesting to notice that modern 3D vector calculus stemmed from quater-
nions. The inauguration was made by Josiah Gibbs5 , professor of chemical
physics at Yales university, and Oliver Heaviside, the engineer who formulated
Maxwells equations in the present vector form.
The natural approach to quaternions is to define them as pairs of complex
numbers (z1 , z2 ) with sum (z1 , z2 ) + (w1 , w2 ) = (z1 + w1 , z2 + w2 ), multiplication

(z1 , z2 )(w1 , w2 ) = (z1 w1 w 2 z2 , z2 w 1 + w2 z1 ), (16.3)

and conjugation (z1 , z2 ) = (z 1 , z2 ). A pair (a + ib, c + id) identifies with the

real combination a+Ib+cJ +dK with units I = (i, 0), J = (0, 1) and K = (0, i).

16.2 Octonions
A generalization of quaternions is O, the set of octonions or Cayley numbers6 .
They can be defined as pairs of quaternions (q1 , q2 ) with multiplication and con-
jugation defined as above. The octonion algebra is both non commutative and
non associative (because of non associativity, octonions cannot be represented
as matrices). The conjugation acts as follows: (O1 O2 ) = O2 O1 . The norm

kOk2 = O O = o20 + o21 + . . . + o27

has the property kO1 O2 k = kO1 kkO2 k. This makes O a division algebra (see
below). The product table for the eight unit vectors I1 . . . I7 is not given here.
2
ijk is the totally antisymmetric symbol; 123 = 213 = 1 and cyclic permutations, zero
otherwise.
3 The symbol recalls the nabla, an ancient Hebrew musical instrument.
4 I am convinced, however, that the introduction of the ideas, as distinguished from the

operations and methods of Quaternions, will be of great use ... especially in electrodynamics
... can be expressed far more simply by a few words of Hamiltons, than the ordinary equations.
One of the most important features of Hamiltons method is the division of quantities into
Scalars and Vectors.
5 J. Gibbs and E. Wilson, Vector analysis, 1901.
6 John Baez, Octonions, Bull. Am. Math. Soc. 39 (2001) 145-205.

131
Octonions enter in the construction of certain exceptional Lie algebras. Quater-
nions and Octonions are examples of Clifford algebras7, which are relevant in
the study of Diracs equation for odd spin particles (fermions). Continuation of
the process with pairs of octonions brings to Sedenions, of dimension 16, with
weaker algebraic properties.
Remark 16.2.1. R, C, H, O are real division algebras of dimensions 1, 2, 4
and 8, i.e. the equations ax = b and ya = b (where a 6= 0 and b are elements
of the algebra) have unique solutions x and y in the algebra (for commutative
algebras x = y).

Theorem 16.2.2 (Bott-Milnor (1958), Kervair (1958)). The only possible di-
mensions of a real division algebra are 1, 2, 4, 8.
Proof. The proofs (for 2, 4, 8) are based on the topological assertion that the
only spheres S n = {x Rn+1 : kxk = 1} that admit n linearly independent
vector fields (parallelizable spheres) are S 1 , S 3 and S 7 . No algebraic proof of
the theorem is known.
Algebras with anticommuting units i j + j i = 0, were developed since
1844 by Hermann Grassmann, a gymnasium professor. Grassmann calculus is
nowadays the basis for the path integral description of fermions, supersymmetry,
and a tool in the theory of disordered systems and random matrices.
Exercise 16.2.3. 1) Evaluate the quaternion product of two vectors (aI + bJ +
cK)(a I + b J + d K) and show that it coincides with the vector product.
2) Represent quaternions as complex matrices and find the inverse of a quater-
nion. Show how addition and multiplication translate into operations on the
four-vectors (a, ~b)t .
Exercise 16.2.4. U(2) is the group of 22 complex unitary matrices U U = I.
The subgroup SU(2) has the further property det U = 1. It is of fundamental
importance in the theory of the rotation group, and in the description of spin
1/2 particles in quantum mechanics.
Show that SU(2) can be parameterized by an angle and a real unit vector as
follows8 :
U (~n) = 0 cos 2 + i (~n ~ ) sin 2 , 0 < 4
Evaluate the powers of ~n ~ and prove the exponential representation of SU(2)

U = exp 2i ~n ~ .
 

7 V. V. Prasolov, Problems and theorems in linear algebra, translations of mathematical

monographs 134, Am. Math. Soc.

8 the choice (0, 4) for the range of the angle may seem mysterious. It is strictly linked to

the range (0, 2) of space rotations, see sect.22.3.

132
 Part II

FUNCTIONAL ANALYSIS

133
Figure 16.1: Maurice Fr echet (Maligny 1878, Paris 1973) had the fortunate
chance of having the eminent mathematician Jacques Hadamard as teacher
in secondary school. Hadamard noticed him and started an individual tutor-
ship. In 1900 Maurice enrolled in mathematical studies at the Ecole Normale
Superieure. His doctorate dissertation Sur quelques points du calcul fonctionelle,
with Hadamard, contains the new concept of metric space. Frechet served sev-
eral institutions in France and abroad, with a period near the front-line during
world war I.

Figure 16.2: Stefan Banach (Krak ow 1892, Lviv 1945). The turn in
his life happened in Krakow when the mathematician Hugo Steinhaus, dur-
ing an evening walk, heard by chance the young engineer Banach and Otto
Nikodym talking about Lebesgue measure. The three founded, with others,
Krakows (now Polish) Mathematical Society. The doctorate dissertation Sur
les operations dans les ensembles abstraits et leur application aux equations in-
tegrales (1920) contains the axioms of what Frechet coined Banach spaces. In
1924 he became full professor. His monograph Theorie des Operations lineaires
(1931) was very influential. After the German invasion in 1941 several collegues
were murdered. He survived feeding lices in Weigls institute for infectious dis-
eases, but his health paid the toll. He died of cancer one year after the Soviets
entered Lviv. Banachs main achievements are in functional analysis, measure
theory, topological spaces, orthogonal series.

134
Chapter 17

METRIC SPACES

There are many contexts in mathematics where, given two items x and y (func-
tions, sequences, operators, ...), one wishes to quantify how much they differ. In
1906 Maurice Frechet, in his doctorate thesis, gave the axioms of a very general
structure, the Metric Space, that allows to discuss topological concepts that
arise in most situations of analysis.
Soon after, in 1914, Felix Hausdorff gave the axioms for Topological Spaces, the
most general conceptualization of nearness.

17.1 Metric spaces and completeness

Definition 17.1.1. A Metric Space (X, d) is a set X equipped with a dis-
tance between pairs of elements. A distance is characterized by the natural
requirements of being symmetric, non negative, and constrained by the trian-
gular inequality:

d(x, y) = d(y, x); (17.1)

d(x, x) = 0, d(x, y) > 0 if x 6= y; (17.2)
d(x, y) d(x, z) + d(z, y) x, y, z. (17.3)

The distance defines a topology on X, i.e. a family of neighbourhoods at each

point x. Such a family is the set of disks centred in x with radii r > 0:

D(x, r) = {y X : d(x, y) < r}.

With this definition, a metric space is a Topological Hausdorff Space. The

following definitions are of great relevance:

Definition 17.1.2. A sequence xn in X is convergent to x X if the sequence

of distances d(xn , x) converges to zero, i.e.

> 0 N such that d(xn , x) < n > N .

135
Definition 17.1.3. A sequence xn is a Cauchy sequence (or a fundamental
sequence) if

N such that d(xm , xn ) < m, n > N .

Exercise 17.1.4. Prove that if xn is a Cauchy sequence in a metric space, and

xnj is a subsequence with limit x, then xn x.
Hint: use the triangle inequality d(xn , x) d(xn , xnj ) + d(xnj , x).
Every convergent sequence is a Cauchy sequence (by the triangle inequality),
but a Cauchy sequence may not be convergent. We are thus led to introduce
the important definition:
Definition 17.1.5. A metric space (X, d) is complete if every Cauchy sequence
is convergent in X.
Completeness is a fundamental property: once a metric space is established to
be complete, the Cauchy criterion ensures convergence of a sequence without
knowledge of the limit.
Theorem 17.1.6. If a metric space X is not complete, it is always possible to
construct a metric space X, the completion of X, which is complete.
Proof. Consider the set of Cauchy sequences xn in X. Two sequences are equiv-
alent, xn xn , if they definitely approach:

N : d(xn , xm ) < m, n > N

The reflexive and symmetric properties are obvious, the transitive property is
true by the triangle inequality: if xn xn and xn xn then: d(xn , xm )
d(xn , xp ) + d(xm , xp ) 2 for all m, n, p > max(N , N ), i.e. xn xn .
Define X as the set of equivalence classes of Cauchy sequences in X. Such
classes are of two types: for every x X there is a class [x] containing the
constant sequence x and equivalent ones; the other type are the classes [xn ] of
Cauchy sequences with no limit in X.
X is a linear space by the rules: [xn + yn ] = [xn ] + [yn ] and [xn ] = [xn ]. It is
a metric space with the distance

d([xn ], [yn ]) = lim d(xn , yn )

n

A finite limit exists because d(xn , yn ) is a Cauchy sequence in R: |d(xn , yn )

d(xm , ym )| |d(xn , yn ) d(xn , ym )| + |d(xm , ym ) d(xn , ym )| d(yn , ym ) +
d(xm , xn ) < 2 for m, n > N because xn and yn are Cauchy sequences.
X is complete: let [xn ]m be a Cauchy sequence (a Cauchy sequence of equivalent
Cauchy sequences): then d([xn ]p , [xn ]q ) = limn d(xn,p , xn,q ) for p, q >
N . The sequence zn = xn,n is a Cauchy sequence: d(zn , zm ) = d(xn,n , xm,m )
d(xn,n , xn,p ) + d(xn,p , xm,p ) + d(xm,m , xm,p ) < 3 for large enough n, m, p.
The class [zn ] is the limit in X of the Cauchy sequence: d([xn ]m , [zn ]) =
limn d(xn,m , xn,n ) 0.

136
17.2 Maps between metric spaces
Let f : X Y be a map between metric spaces, with domain D(f ). The
image of the domain is the range Ranf = {y Y : y = f (x), x D(f )}.
Definition 17.2.1 (Continuity). A map f is continuous at x if:

,x such that d(f (x ), f (x))Y < x D(f ) with d(x , x)X < ,x .

The map f is continuous if it is continuous at all x D(f ).

A map f is sequentially continuous if any convergent sequence xn x in D(f )
is mapped to a convergent sequence f (xn ) y in Y .
Theorem 17.2.2. f is continuous if and only if f is sequentially continuous.
Proof. Suppose that f is continuous and xn x in D(f ). Then > 0 ,x
such that d(f (xn ), f (x)) < for all xn such that d(xn , x) < ,x i.e. for all
n > N . This means precisely that f (xn ) f (x).
To prove the converse, suppose that xn x and xn x (same limit). Then
f (xn ) and f (xn ) converge by hypothesis. The limits coincide (suppose that they
differ, then the sequence x2n = xn and x2n+1 = xn converges to x but f (xn )
has no limit, contrary to the hypothesis). Therefore all sequences that converge
to x are mapped to sequences that converge to y. This implies continuity:
limzx f (z) = y (otherwise a sequence of points zn belonging to disks d(zn , x) <
(1/n) for n large enough, would be mapped to a limit different from y).

17.3 Contractive maps

Definition 17.3.1. A map A : X X is a contraction if there is a constant
< 1 such that d(Ax, Ay) d(x, y) for every pair in X.
Exercise 17.3.2. Show that a contraction is a continuous map.
A point x X is a fixed point for a map A : X X if Ax = x. Contractions
have this fundamental property:
Theorem 17.3.3 (Fixed point theorem). Every contraction on a complete
metric space has a unique fixed point.
Proof. Given an initial point x0 , let xk = Ak x0 be the sequence generated by
iteration of the map. Lets show that xk is a Cauchy sequence; for n > m:

d(xn , xm ) = d(Axn1 , Axm1 ) d(xn1 , xm1 ) . . . m d(xnm , x0 )

m [d(xnm , xnm1 ) + . . . + d(x2 , x1 ) + d(x1 , x0 )]
m
m [nm1 + . . . + + 1] d(x1 , x0 ) d(x1 , x0 )
1
If m is large enough the estimate can be made smaller than any prefixed .
Because of completeness, the Cauchy sequence converges to a limit x. Since A

137
is continuous: Ax = A limn xn = limn Axn = limn xn+1 = x. Then a fixed point
x exists (and is the limit of the sequence of iterates of a point).
Unicity is now proven. Suppose that a different fixed point y exists. The equality
d(x, y) = d(Ax, Ay) d(x, y) implies d(x, y) = 0.
Example 17.3.4 (Keplers equation). A planets orbit is an ellipse with semi-axis
a and b and parametric equation x = a cos E, y = b sin E, where the angle E is the
eccentric anomaly. The angle varies in time according to Keplers equation, which
translates the area law:
M = E e sin E,
e < 1 is the eccentricity and the mean anomaly M = 2t/T is measured by the time t
from the perihelion passage, and T is the orbital period.
Keplers equation is transcendental; it can written as a fixed point problem E = K(E)
where the function K(E) = M + e sin E maps [0, 2] in itself, and is a contraction:

|K(E) K(E )| = e| sin E sin E | = e| cos E | |E E | e|E E |

Keplers equation may then be solved by iteration. The initial value E = M can be
used, and convergence is faster the smaller is the eccentricity e.

Example 17.3.5 (Volterras equation). Consider the integral equation, with real
and g C [0, 1], K a continuous function on the unit square:
Z x
u(x) = g(x) + dyK(x, y)u(y), x [0, 1] (17.4)
0

It can be written as a fixed point R x equation in C [0, 1] equipped with the sup norm:
T u = u with (T u)(x) = g(x) + 0 dyK(x, y)u(y). Let us evaluate:
Z x
|(T u1 )(x) (T u2 )(x)| || dy|K(x, y)||u1 (y) u2 (y)|
0
Z x
|| sup |u1 (y) u2 (y)| dy|K(x, y)|
y[0,1] 0
Z x
|| K ku1 u2 k K = sup dy|K(x, y)|
x[0,1] 0

Take the sup x [0, 1]: kT u1 T u2 k ||K ku1 u2 k. If K < 1, T is a contraction

and the equation u = T u has a unique solution in C [0, 1], which may be obtained by
iteration: u0 = g, u1 = T g, u2 = T u1 . . . .

138
Chapter 18

BANACH SPACES

18.1 Normed and Banach spaces

Definition 18.1.1. A linear space X equipped with a norm is a normed
space. A norm is defined by the properties (x X, C):

kxk = ||kxk; (18.1)

kxk 0, kxk = 0 x = 0; (18.2)
kx1 + x2 k kx1 k + kx2 k. (18.3)

The definition of abstract normed space was given in the years 1920 - 22
by various authors, the most influential being the Polish mathematician Stefan
Banach.
It is straightforward to check that a normed space is a metric space with distance

d(x1 , x2 ) = kx1 x2 k (18.4)

A sequence {xn } converges to x if kxn xk 0.

Definition 18.1.2. A Banach space is a complete normed space (every Cauchy
sequence is convergent).

Example 18.1.3. The set C [a, b] of continuous functions f : [a, b] C is a

Banach space with the sup-norm:

kf k = sup |f (x)|
axb

Proof. Completeness: let fn be a Cauchy sequence: > 0 N such that

for all n, m > N it is supx |fn (x) fm (x)| < . This implies that for each
x [a, b], the sequence fn (x) is a Cauchy sequence in C. Then it converges
to a complex number which we name f (x). This defines a function f . As
m , the Cauchy condition becomes supx |fn (x) f (x)| < , i.e. fn f in

139
the sup-norm. It remains to show that f belongs to C [a, b]. This amounts to
prove that a uniformly convergent sequence of continuous functions converges
to a continuous function. Continuity of f is proven as follows: |f (x) f (y)|
|f (x) fn (x)| + |f (y) fn (y)| + |fn (x) fn (y)| 3 for |x y| small and n
large enough.
The following linear spaces are Banach spaces in the sup norm:
C (R) (the set of continuous and bounded complex functions),
C (R) (the set of continuous functions that vanish at infinity). It is the comple-
tion of the normed space C0 (R) (the set of continuous functions with compact
support).

18.2 The Banach spaces Lp ()

Let be Rn or a measurable subset, and consider the set of complex valued
Lebesgue measurable functions f : C. The sum of two functions and the
product by a complex number are defined pointwise: (f + g)(x) = f (x) + g(x)
and (f )(x) = f (x), and are measurable functions.

18.2.1 L1 () (Lebesque integrable functions)

R
Consider the measurable functions on such that dx |f (x)| < . Since
|f (x) + g(x)| |f (x)| + |g(x)| and |f (x)| = |||f (x)|, it turns out that f + g
and f are in L 1 () if f and g are. Then L 1 () is a linear space. R
The integral (??) with p = 1 cannot define a norm because |f | dm = 0
implies f = 0 a.e. (almost everywhere) i.e. infinitely many functions, not
the single null element f = 0 of the linear space. The remedy is to identify
these functions by introducing equivalence classes: two functions f, g L 1 are
equivalent if f = g a.e.
Let [f ] be the equivalence class containing f and all functions that differ from
it on a set of measure zero. The set of equivalence classes of functions in L 1 ()
is a linear space with: [f ] + [g] = [f + g] and [f ] = [f ]. The linear space is
L1 (), and it is a normed space with the norm1
Z
kf k1 = |f | dx (18.5)

Theorem 18.2.1 (Riesz - Fisher). L1 () is complete (is a Banach space).

Proof. Let {fn } be a Cauchy sequence in L1 : it is kfn fm k1 < for
n, m > N . Convergence to a limit in L1 is checked on a suitable subsequence.
For the choices = 1/2, 1/22 , . . . , 1/2k , . . . the Cauchy condition is satisfied for
1 as f can be any function in [f ], purists avoid writing f (x), which can be any value by
changing f within its class.

140
N = N1 , N2 , . . . Nk , . . . The subsequence fN1 , . . . , fNk , . . . has the property
kfNk+1 fNk k1 < 2k . The sequence of positive functions
m1
X
gm (x) = |fNk+1 (x) fNk (x)|
k=1

is monotonically increasing, gm (x) gm+1 (x) for all x, and

Z m1
X
dx gm (x) = kfNk+1 fNk k1 1.
k=1

By the monotone convergence theorem2 gm tends to a limit function g in L1 .

Then g is finite a.e. Absolute convergence implies convergence (pointwise a.e.)
of the sequence
m1
X

fNk+1 (x) fNk (x) = fNm (x) fN1 (x)
k=1

i.e. the subsequence {fNm } is a.e. pointwise convergent to a function f . Note

the inequality: |fNm (x)| |fN1 (x)| + gm (x) |fN1 (x)| + g(x) L 1 , m. By
the dominated convergence theorem, f L 1 and fn f in L1 norm3 .

18.2.2 Lp () spaces
Consider the set L p () of measurable functions such that
Z  p1
kf kp = |f |p dx < (18.6)

where p 1. To show that L p is a linear space one must show that it is closed
for the sum of two functions. This follows from Minkowskis inequality, whose
proof requires H
olders inequality.
Proposition 18.2.2 (H olders inequality). If f L p () and g L q (),
where p, q > 1 and p + q 1 = 1 then: f g L 1 () and
1

1 1
kf gk1 kf kpkgkq 1= p + q (18.7)

Proof. Consider the curve y = xp1 in the positive xy quadrant. Inversion gives
x = y q1 . Fix on the x and y axis two arbitrary positive numbers u and v. The
area of the rectangle uv is not greater than the sum of two areas: the area
2 Monotone Convergence Theorem: Let fn be a sequence of real integrable functions such
that Rfn f pointwise
R on and 0 f1 (x) f2 (x) . . . for a.e. x . Then f L 1 ()
and fn dx f dx.
3 Dominated Convergence Theorem: Given a sequence f f and an integrable function
n
g such that |fn (x)| g(x) a.e. in and for all n, then f L 1 () and fn dx f dx.
R R

141
 1.4

1.2

1.0

0.8

0.6

0.4

0.2

0.2 0.4 0.6 0.8 1.0 1.2 1.4

olders inequality. The curve is y = x2 .

Figure 18.1: Construction for H

bounded by the curve in the strip 0 x u, and the area bounded by the
curve in the strip 0 y v:
Z u Z v
up vq
uv dx xp1 + dy y q1 = + .
0 0 p q

Put u = |f (x)|/kf kp and v = |g(x)|/kgkq and integrate in x on ; the inequality

is obtained.
Remark 18.2.3. If m() < , one may take g = 1 in H olders inequality, and
note that if f L p () then f L 1 (), i.e. L p () L 1 (), for any p > 1.
Proposition 18.2.4 (Minkowskis inequality). If f , g in L p () then:

kf + gkp kf kp + kgkp (18.8)

1 1
Proof. For u, v, z > 0, p + q = 1, consider the H
older inequalities:

up zp vp zp
uz p1 + , vz p1 +
p q p q

Put u = |f (x)|/kf kp , v = |g(x)|/kgkp , z = |f (x) + g(x)|/kf + gkp and integrate:

|f (x)| |f (x) + g(x)|p1 |g(x)| |f (x) + g(x)|p1

Z Z
dx 1, dx 1
kf kp kf + gkp1
p kgkp kf + gkp1
p

The two inequalities give:

Z
dx(|f (x)| + |g(x)|) |f (x) + g(x)|p1 (kf kp + kgkp )kf + gkp1
p

142
Since |f (x) + g(x)| |f (x)| + |g(x)|, the inequality becomes:
Z
dx|f (x) + g(x)|p (kf kp + kgkp )kf + gkp1
p

i.e. kf + gkpp (kf kp + kgkp )kf + gkp1

p , and the identity follows.
The inequality implies that L p () is a linear space. To promote kf kp to a
norm one must switch to the set of equivalence classes. Minkowskis inequality
proves the triangle inequality, and Lp () is a normed space. The Riesz-Fisher
theorem states that it is complete (a Banach space) for all p 1.
Holder inequality shows that the functions of Lq () define linear continuous
functionals on Lp () if 1/p + 1/q = 1. One actually proves that a space is the
dual of the other. The dual of L1 () is the space L () (but the dual of L
contains L1 ) (see Reed-Simon, vol 1).

18.2.3 L () space
L () is the space of measurable functions f : C that are a.e. bounded:
given f , there is a constant Mf such that the set where |f (x)| > Mf has
Lebesgue measure zero. The inf of such bounds Mf is kf k , which becomes
a norm for the equivalence classes of functions that are equal a.e. The space
L () is a Banach space.
C (R) is a subspace of L (R). The norm coincides with the sup-norm.

18.3 Continuous and bounded maps

Hereafter A : X Y is a map (the term operator will be used) between
normed spaces, with domain D(A). The image of the domain is the range
RanA = {y Y : y = Ax, x D(A)},
the kernel is the set KerA = {x X :
= 0}. We recall a definition and a result exported from the more general
Ax
context of metric spaces:
Definition 18.3.1. A map A is continuous at x in D(A)
if:

Axk
,x such that kAx Y < with kx xkX < ,x .
x D(A)

It is sequentially
The map is continuous if it is continuous at all x D(A).

continuous if any convergent sequence in D(A) is mapped to a convergent se-
quence.
Theorem 18.3.2. A is continuous if and only if A is sequentially continuous.
Remark 18.3.3. The kernel of a continuous operator is a closed set. (Suppose
that xn is a sequence in KerA and xn x D(A).
Then Ax = limY Ax n=0

i.e. x KerA).

143
Definition 18.3.4. A is bounded if there is a constant CA > 0 such that

kAxkY < CA kxkX for all x D(A).
Definition 18.3.5. A is linear if D(A)
is a linear subspace and A(x
+ x ) =
+ Ax
Ax for all x, x D(A),
C.

Remark 18.3.6. If A is linear, then A is continuous if and only if it is con-

tinuous at x = 0.
Theorem 18.3.7. A linear map A : D(A)
Y is bounded if and only if it is
continuous.
Proof. Suppose that A is bounded and xn 0 in D(A). Then kAx nk

CA kxn k 0 i.e. A is sequentially continuous in the origin i.e. A is continuous.
Let A be continuous. Then for = 1 there is > 0 such that kAxk < 1 for

all x in the domain with kxk < . For any y D(A), put x = y/kyk then
= kykkAxk
kAyk 1
1 kyk i.e. A is bounded.
Theorem 18.3.8. Let X be a normed space and Y a Banach space. A linear
bounded operator A : D(A) X Y extends uniquely to a linear bounded
Y.
operator on the closure of the domain: A : D(A)
Proof. If x D there is a convergent sequence xn in D with limit x. A conver-
gent sequence is Cauchy, therefore kAx n Ax
m kY CA kxn xm kX for
n y.
n, m > N i.e. Axn is Cauchy in Y . Since Y is Banach, Ax
Define Ax = y. The domain D(A) is a linear space: if xn x and xn x
in D(A), then xn + xn x + x and xn x. A is linear: A(x + x ) =
n + limn Ax
limn Ax = Ax + Ax . A is bounded: since the norm is continuous,
n

kAxk = limn kAxn k CA limn kxn k = CA kxk.

18.3.1 The inverse operator

If A : X Y is an operator with domain D(A), the inverse operator A1 :
Y X exists if A is injective, i.e. Ax
= Ax implies x = x . Then, if Ax
=y
it is A y = x, with D(A ) = Ran A,
1 1 and Ran A1 = D(A).

Proposition 18.3.9. If A is linear, A1 exists if and only if Ker A = {0}. If

A1 exists, it is linear.
Proof. The condition Ax = Ay if and only if x = y is equivalent to A(x
y) = 0
iff x y = 0 i.e. Ker (A) = {0}.
= y and Ax
If Ax = y then A(x
+ x ) = y + y . The inverse is such that
x = A y, x = A y and x + x = A1 (y + y ), i.e. A1 is linear.
1 1

144
18.4 Linear bounded operators on X
The set L (X, Y ) of linear operators on a normed space X, with domain X, to
a normed space Y , is a linear space with the definitions

(A + B)x
= Ax
+ Bx,
= (Ax),
(A)x x X, C.

If the operators are bounded, their linear combination is bounded. B(X, Y ) is

the linear space of linear and bounded operators from X to Y .
The best
The existence of a bound is a very useful property of an operator A.

bound is the least constant CA such that kAxkY /kxkX CA for all x X,
x 6= 0. This constant is the operator norm of A:

Y
kAxk
=
kAk sup Y
= sup kAxk (18.9)
xX,x6=0 kxkX kxkX =1

As a consequence the best inequality is

Y kAkkxk
kAxk X, x X.

Eq.(18.9) defines a norm and makes B(X, Y ) a normed space: if kAk = 0 it is

kAxkY = 0 for all x, i.e. A = 0. The property kAk = ||kAk is straightforward.
The triangle inequality: kA+ Bk
= supkxk=1 k(A + B)xk

Y supkxk=1 (kAxkY +
Y ) supkxk=1 kAxk
kBxk Y + supkxk=1 kBxk
Y = kAk + kBk.

Theorem 18.4.1. If Y is a Banach space, then B(X, Y ) is a Banach space.

Proof. Let An be a Cauchy sequence of operators in B(X, Y ): is there a limit
operator A, and is it linear and bounded? An x is a Cauchy sequence in Y by
the inequality kAn x Am xkY kAn Am kkxkX ; since Y is complete, An x
converges. Define A as the operator Ax = limn An x.
+ y) = limn An (x + y) = limn An x + limn An y =
A is a linear operator: A(x
+ Ay.
Ax
 
The inequality4  kAn k kAm k  kAn Am k shows that kAn k is a Cauchy
 
= limn kAn xk limn kAn kkxk =
sequence in R+ , with limit C 0. Then kAxk
Ckxk. Therefore A is a bounded linear operator. Is it the limit of An in the
B(X, Y ) topology? kAn Ak = supkxk=1 kAn x Axk
Y . The norm is continuous

and An x Ax 0, then kAn Ak 0.

18.4.1 The dual space

In 1929 Banach introduced the important notion of dual space X of a Ba-
nach space X: it is the space of bounded linear functionals B(X, C). Since C
4 By the triangular property of a norm, kxk kxyk+kyk, it is always kxkkyk kxyk.

The same holds with x and y exchanged, so the modulus can be taken.

145
is complete, X is a Banach space.

There are two ways by which a sequence may converge in X:

1) xn x strongly if it is norm-convergent: kxn xkX 0;
2) xn x weakly if F xn F x in C for all F X .

There are three ways by which a sequence of operators in B(X, Y ) converges:

1) An converges in norm to A if kAn Ak
0;

2) An converges strongly if An x converges in Y -norm for all x X;
3) An converges weakly if F An x converges in C for all x X, F Y .

18.5 The Banach algebra B(X)

If X = Y , the space B(X) B(X, X) is closed for the product. If A and
B are linear and bounded operators X X, the operator AB is defined by
(AB)x
= A( Bx).
The product is linear and bounded: k(AB)xk
kBxk
kAk
Bk)kxk.
(kAkk Therefore:

kABk
kAk
kBk
(18.10)

Then B(X) is an associative algebra (associative and distributive properties)

with unit (the identity operator).

18.5.1 The inverse of a linear operator

Suppose that A B(X) is invertible, and that Ran A = X, so that D(A1 ) =
X. The inverse operator need not be bounded. From kxkX = kAA1 xkX

kAkkA 1
xkX for all x, it is
kA1 xk 1
(18.11)
kxk
kAk
If A1 is bounded, then kA1 k kAk1 .
Theorem 18.5.1 (Neumann). If X is a Banach space, A B(X), and
< 1, then (1 A)
kAk 1 exists in B(X) and is given by the Neumann series:

1 = Ak
X
(1 A) (18.12)
k=0

Proof. Consider the partial sums Sn = I + A + A2 + + An in B(X). It is a

Cauchy sequence in the operator norm kSn+m Sm k = kAm+1 + + Am+n k
m+1
m+n kAk
m+1 + + kAk
kAk < for m > N , all n. Therefore the sequence
1kAk
of partial sums converges to the geometric series k Ak in B(X).
P
Sn = 1 An+1 1 in the limit n , (18.12) is proven.
Since (1 A)

146
18.5.2 Power series of operators
The Neumann series is the operator analogous to the geometric series in complex
analysis. Several important complex functions that are expressed as power series
may be extended to functions of operators. For A B(X), consider the operator
and the complex power series

= cn An ,
X X
f (A) f (z) = cn z n
n=0 n=0

PN +p
If SN are the operator partial sums, it is kSN +p SN k = k n=N +1 cn An k
PN +p n
n=N +1 |cn | kAk . Therefore, the partial sums form a Cauchy sequence in
B(X) if the partial sums of the power series f (kAk) are a Cauchy sequence in

C. A sufficient condition is that kAk < R where R is the radius of convergence

of the power series f (kAk).
In particular, if f (z) is an entire function then f (A)
is a bounded operator.
Example 18.5.2 (The exponential of an operator).
If A B(X) and z C, then the exponential series
k

X (z A)
ez A = (18.13)
k!
k=0

always converges in the operator norm to a bounded operator and

ezA ewA = e(z+w)A (18.14)

This is proven by evaluating the Cauchy product of the partial sums EN :

2N k 2N
N (z)E
N (w) = z m wkm (z + w)k
Ak Ak = E2N (z + w)
X X X
E =
m=0
m!(k m)! k!
k=0 k=0

Since the limits N exist for the single partial sums, the result follows.
Let us show that
d zA
e = A ezA
dz

hA
In the incremental ratio h1 [e(z+h)A ezA ] = ezA e h1 = ezA [A + R(h)]
the
P /n! has vanishing norm as h 0.
n
operator R(h) = (1/h) n=2 (hA)
Remark 18.5.3. The property (18.14) extends to commuting operators:

eA eB = eA+B if and only if AB
=B
A

For non-commuting operators, the right hand side is evaluated by the Baker -
Campbell - Hausdorff formula.

147
Chapter 19

HILBERT SPACES

The theory of Hilbert spaces originates in the studies of David Hilbert and his
student Erhard Schmidt on integral equations. They have a long hystory, whose
beginning might be the introduction of the Laplace transform to solve linear
differential equations1 (1782). The classification of linear integral equations
bears the names of Vito Volterra (1860-1940) and Ivar Fredholm (1866-1927),
who gave a substantial contribution.
The relevance of Hilbert spaces for the mathematical foundation of quantum
mechanics led John von Neumann to give them an axiomatic setting, in the
years 1929-30.

19.1 Inner product spaces

Definition 19.1.1 (Inner product). A linear space H (on C) is an Inner
Product Space (or pre-Hilbert space) if there is a map (the inner product)
( | ) : H H C such that for all x, y, z H and C:

(x|x) 0 and (x|x) = 0 iff x=0 (19.1)

(x|y + z) = (x|y) + (x|z) (19.2)
(x|y) = (x|y) (19.3)
(x|y) = (y|x). (19.4)

The properties imply antilinearity in the first argument2 :

(x + y|z) = (x|z) + (y|z).

For real spaces the rule (19.4) is replaced by (x|y) = (y|x), which implies bi-
linearity (linearity in both arguments of the inner product).
1 Bateman, Report on the hystory and present state of the theory of integral equations,

http://www.biodiversitylibrary.org/item/94115#page/507/mode/1up
2 In the mathematical literature the inner product is often defined to be linear in the first

and antilinear in the second argument. Physicists prefer the converse.

148
It will be shown thatpthe inner product induces a norm; we begin by introducing
the notation kxk = (x|x).
Exercise 19.1.2. Show that: 1) (x|0) = 0; 2) if (x|y) = 0 y then x = 0.
Definition 19.1.3. Two vectors x and x are orthogonal, x x , if (x|x ) = 0.
A set of vectors u1 , . . . , un is an orthonormal set if (ui |uj ) = ij .
Pythagoras relation holds: if x x then kx + x k2 = kxk2 + kx k2 .
Theorem 19.1.4 (Bessels inequality). Let {uk }nk=1 be an orthonormal set,
then for any x:
n
X
kxk2 |(uk |x)|2 (19.5)
k=1

Set x = k (uk |x)uk ; since it is the sum of orthonormal vectors, kx k2 =

P
Proof.
2
lets show that x and x x are orthogonal: (x |x x ) =
P
k |(uk |x)| . Next,
(x |x) kx k = k (uk |x)(uk |x) kx k2 = 0. Then kxk2 = k(x x ) + x k2 =
2
P
kx x k2 + kx k2 kx k2 .
Bessels inequality for n = 1 is a famous and fundamental inequality. It is
instructive to give a direct proof:
Proposition 19.1.5 (Schwarzs inequality). For all x and y in an inner
product space H :

|(x|y)| kxkkyk (19.6)

Proof. For any C, x, y 6= 0 the full expansion of (x + y|x + y) 0 gives:

2  2
kxk2 kyk2 |(x|y)|2

Re(x|y) Im(x|y)
1 + 2
+ 2 2
+ 0
kyk kyk kyk4

Since 1,2 can be chosen to make the squares vanish, the inequality follows.
Exercise 19.1.6. Show that if kxk = kyk = 1 and (x|y) = 1 then x = y. What
about two normalised vectors such that |(x|y)| = 1?
Exercise 19.1.7. Show that |(x|y)| = kxk kyk if and only if y = x, C.

19.2 The Hilbert norm

Proposition 19.2.1. An inner product space is a normed space, with norm
p
kxk = (x|x) (19.7)

149
Figure 19.1: David Hilbert (K onigsberg 1862, Gottingen 1943) continued the
glorious tradition in mathematics of his predecessors Gauss, Dedekind and Rie-
mann at the University of Gottingen, until the racial laws in 1933 dissolved
his group. In 1899 he published the Grundlagen der Geometrie (The Foun-
dations of Geometry) which contains the definitive set of axioms of Euclidean
geometry. In his lecture on The problems of mathematics at the International
Mathematical Congress in Paris (1900) he set forth a famous list of 23 problems
for the mathematicians of the XX century. His studies on integral equations
prepared for the important developments in functional analysis and quantum
mechanics. He got interested in general relativity and derived the field equations
from a variational principle. A partial list of famous students: Felix Bernstein,
Richard Courant, Max Dehn, Erich Hecke, Alfred Haar, Wallie Hurwitz, Hugo
Steinhaus, Hermann Weyl, Ernst Zermelo.

Figure 19.2: Janos von Neumann (Budapest 1903, Washington 1957). Only
few persons in XX century contributed to so many different fields. He made
advances in axiomatic set theory, logic, theory of operators, measure theory,
ergodic theory, the mathematical formulation of quantum mechanics, fluid dy-
namics, nuclear science, and is a founder of computer science. He started as
a prodigiuos child: at the age of 15 he was tutored by the analyst Szeg o; by
the age of 19 he already published two major papers (providing the modern
definition of ordinal numbers, which supersedes G. Cantors definition). At 22
he received a PhD in mathematics and a diploma in chemical engineering (from
ETH Zurich, to comply with his fathers desire of a more practical orientation).
He taught as Privatdozent at the University of Berlin, the youngest in its his-
tory. Since 1933 he was professor in mathematics at Princetons Institute for
Advanced Studies. He worked in the Manhattan Project.

150
Proof. We must prove the triangle inequality: kx + yk2 = (x + y|x + y) =
(x|x) + 2Re(x|y) + (y|y) kxk2 + 2|(x|y)| + kyk2 kxk2 + 2kxkkyk + kyk2
= (kxk + kyk)2 .
The existence of a norm implies notions such as continuity, convergent se-
quences, Cauchy property, etc.
Proposition 19.2.2. Fix x H , the function (x| ) : H C is continuous.
Proof. Let {yn } be a convergent sequence, yn y; we show that (x|yn ) (x|y):
|(x|yn ) (x|y)| = |(x|yn y)| kxkkyn yk 0.
Note the following identities, that express the inner product in terms of the
Hilbert norm:

Re(x|y) = 14 (kx + yk2 kx yk2 ) (19.8)

2 2
Im(x|y) = 41 (kx + iyk kx iyk ) (19.9)

The Hilbert norm has the parallelogram property, which can be directly
checked out of its definition:

kx + yk2 + kx yk2 = 2kxk2 + 2kyk2 (19.10)

Proposition 19.2.3 (Polarization formula). A norm is a Hilbert norm (i.e.

there is a inner product such that the norm descends from it) if and only if the
norm fulfils the parallelogram condition.
Proof. We only need proving that a norm with the parallelogram property fol-
lows from an inner product. The formulae (19.8) and (19.9) suggest the following
expression as a candidate for the inner product (for a real space the last two
terms are absent):

(x|y) = 1
4 kx + yk2 41 kx yk2 4i kx + iyk2 + 4i kx iyk2 (19.11)

The difficult task is to prove linearity in the second argument, the other prop-
erties being easy to prove. By repeated use of the parallelogram property,

Re (x|y + z) = 41 kx + y + zk2 14 kx y zk2

= ( 21 kx + yk2 + 21 kzk2 14 kx + y zk2 ) 41 kx y zk2
= 21 kx + yk2 + 12 kzk2 21 kx zk2 12 kyk2

Now sum to it the expression with y and z exchanged, divide by 2 and obtain

Re (x|y + z) = 14 kx + yk2 41 kx zk2 + 14 kx + zk2 14 kx yk2

= Re (x|y) + Re (x|z).

The same procedure works for the imaginary part: Im (x|y + z) = Im (x|y) +
Im (x|z). Hence the additive property is proven.

151
Linearity for scalar multiplication: for p N, additivity implies (x|py) = p(x|y).
For q N: p(x|y) = p(x|q(y/q) ) = pq(x|y/q) = q(x|p(y/q)) pq (x|y) =
(x| pq y). Since the inner product is continuous and (x| y) = (x|y) (see
(19.11)), the property extends from rationals p/q to real numbers. Moreover,
since (x|iy) = i(x|y) holds (see (19.11)), the property holds for complex num-
bers.
Exercise 19.2.4. In a normed space, a vector x is orthogonal to y in the sense
of Birkhoff-James if and only if kxk kx + yk for all C. Prove that in a
inner-product space the definition coincides with (x|y) = 0.
Definition 19.2.5. A Hilbert space is a inner product space which is complete
in the Hilbert norm topology.
n
ExampleP19.2.6. The linear space C is a Hilbert space with the scalar product
(~z|w)
~ = k zk wk .
Exercise 19.2.7. Show that the set of complex matrices Cnn is a Hilbert space
with inner product (A|B) = tr(A B). Show that also (A|B) = tr(M M A B) is
an inner product, if M is invertible.
Example 19.2.8. L2 () is the Banach space of (equivalence classes of ) Lebesgue
square integrable functions, with squared norm kf k22 = |f |2 dx. The norm has
R
the parallelogram property, and descends from the inner product
Z
(f |g) = f g dx (19.12)

This is perhaps the most important space in functional analysis. Depending on

the measurable set , one introduces important families of orthogonal functions
(see section 19.4.1).
Exercise 19.2.9. Evaluate the norms of f (x) = 1/(1 + ix) as an element in
L1 (0, 1) and in L2 (0, 1)
Example 19.2.10. The set C [1, 1] of continuous complex-valued functions on
R1
[1, 1] is an inner product space with (f |g) = 1 dxf (x)g(x), but it is not a
Hilbert space as this counter-example shows:

1 1 x 1/n

fn (x) = nx 1/n < x < 1/n (19.13)

1 1/n x 1

R1
is a Cauchy sequence (i.e. there is N such that 1 dx|fn (x) fm (x)|2 < 2
for all n, m > N ) but the limit function (the step function) is not continuous.

152
19.3 Isomorphism
Definition 19.3.1. Two Hilbert spaces H1 and H2 are isomorphic if there is
: H1 H2 that is a bijection among the two spaces, and
a linear operator U
conserves the norm kU xk2 = kxk1 x. U
is a unitary operator.

Remark. By the polarization formula (19.11), norm conservation and linearity

x|U
imply the conservation of inner products: (U y)2 = (x|y)1 x, y H1 .

n
Any complex n-dimensional Hilbert space Hn is isomorphic Pnto C . Given
n
an orthonormal basis {uk }k=1 an element has expansion x = k=1 xk uk , with
coefficients xk = (uk |x) that define a vector ~x Cn . The map U x = ~x is a
n
unitary operator from Hn to C .
Is there a canonical isomorphism for infinite-dimensional Hilbert spaces? The
answer is affirmative, with a natural restriction. Let us first introduce the
infinite dimensional analogue of Cn (or Rn for real Hilbert spaces).

19.3.1 Square summable sequences

In 1906 David Hilbert introduced the set 2 (C) of complex sequences {k }
k=1
such that
X
|k |2 <
k=1

It is a linear space: if a = {k } and b = {k } belong to 2 , define a + b =

{k + k } and a = {k }. To show that a + b is in 2 note that |k + k |2
|k |2 + |k |2 + 2|k k | 2|k |2 + 2|k |2 (use 0 < (x y)2 = x2 + y 2 2xy).
2 (C) is an inner product space with

X
(a|b) = k k (19.14)
k=1

Existence of the inner product follows from 2|k k | |k |2 + |k |2 ; formal

properties are easily checked.
2 (C) has a countable orthonormal basis: e1 = {1, 0, 0, . . . }, e2 = {0, 1, 0, . . . },
etc.
Theorem 19.3.2. 2 (C) is complete (it is a Hilbert space).
Proof. Let an be a Cauchy sequence in 2 (a sequence of sequences {nk }), i.e.
for any > 0 there is N such that for all n, m > N it is

X
2
kan am k = |nk mk |2 < 2 (19.15)
k=1

We must show that there is a limit sequence a in 2 . The above condition implies
that |nk mk | < for all k and n, m > N , then each sequence n1 , n2 , ...

153
is Cauchy and then convergent in C to limits 1 , 2 ... Let a = {k } be the
sequence of such limits.
By (19.15) with m = it is k |nk k |2 < 2 , i.e. the element an a
P
belongs to 2 . Since an 2 it follows by linearity that a 2 . We thus proved
that if an is Cauchy then an a 2 in the 2 topology.
Definition 19.3.3. A Hilbert space is separable if it has a countable dense
subset.
Theorem 19.3.4. 2 (C) is separable.
Proof. Consider the set of sequences q = {qk }, where qk are complex rational
numbers (i.e. Re qk , Im qk Q) for k n, and 0 for k > n (where each
sequence has its own n). The set is countable and is a subset of 2 . We show
that it is dense in 2 , i.e. for any element a = {k } and any > 0 there is an
element q of such that
P ka qk 2< . 1 2
Choose n such that k=n+1 |k | < 2 and choose q = {q1 , . . . , qn , 0, 0, . . . }
such that |k qk |2 2 /2n (this is possible since complex rational numbers
2
Pn
are dense in C). Then: ka qk2 = k=1 |k qk |2 + k>n |k |2 < n 2n + 12 2 =
P
2
.
Example 19.3.5 (A non-separable Hilbert space3 ). Consider the set E =
{e }R
P of functions e (t) = exp(it), t R. The finite linear combinations
f = f e with complex numbers f form a linear space. The following
time average is always well defined, and is an inner product:
T /2
1
Z
(f |g) = lim f (t)g(t)dt (19.16)
T T T /2

The completion of the linear space with respect to the norm is a Hilbert space.
As (e |e ) = , , it is ke e k2 = 2 if 6= . Since E is uncountable,
with elements separated by a finite distance, there cannot exist a countable set
of functions such that any e is approximated by a linear combination of such
functions (wed need an uncountable set of approximating functions!). Then the
Hilbert space is non-separable.

19.4 Orthogonal systems

Given n linearly independent points x1 , . . . , xn it is always possible to produce
linear combinations u1 , . . . , un that form an orthonormal set. The (Gram -
3 N.I.Akhiezer and I.M.Glazman, Theory of linear operators in Hilbert spaces, vol 1,

par.13 (1961) (Dover reprint).

154
Schmidt) orthonormalization procedure is:

y1 = x1 , u1 = y1 /ky1 k,
y2 = x2 (u1 |x2 )u1 , u2 = y2 /ky2 k,
y3 = x3 (u1 |x3 )u1 (u2 |x3 )u2 , u3 = y3 /ky3 k,
... ...

Exercise 19.4.1. Given vectors x1 , . . . , xn , introduce the Grams matrix Gij =

(xi |xj ) Cnn . Show that:
1) the vectors are linearly dependent iff det G = 0;
2) the matrix is non-negative (G 0) i.e. u Gu 0 u Cn ;
3) det G kx1 k2 kxn k2 (use Hadamards inequality for positive matrices).
Exercise 19.4.2. In Cn , P given n linearly independent vectors x1 , . . . , xn , a
n
vector has expansion
P u = i=1 ci xi . The coefficients ci solve the linear sys-
tem (xi |u) = j Gij cj where G is Grams matrix. Obtain the useful formula
(Kramer):

0 x1 xn
(1) (x1 |u) (x1 |x1 ) (x1 |xn )
u= det .. .. .. (19.17)

det G

. . .
(xn |u) (xn |x1 ) (xn |xn )

19.4.1 Orthogonal polynomials

Let p0 , p1 , . . . be a sequence of real polynomials of degree 0, 1, . . . , that satisfy
the orthogonality condition
Z
dx (x) pi (x)pj (x) = hj ij (19.18)

where (x) 0 is a weight function, is a real (possibly unbounded) interval

and hj > 0 are constants.
The table lists some important sets of orthogonal polynomials, that may be
obtained by orthogonalization of the monomials 1, x, x2 , . . . :
(x) pk
2
R ex Hk Hermite
x
[0, ) e Lk Laguerre
[1, 1] 1 Pk Legendre
1
[1, 1] (1 x2 ) 2 Tk Chebyshev
1
[1, 1] (1 x2 ) 2 C
k Gegenbauer
Proposition 19.4.3. Orthogonal polynomials satisfy a three-term recurrence
relation with real constants ak , bk and ck :

xpk (x) = ak pk+1 (x) + bk pk (x) + ck pk1 (x) (19.19)

155
Proof. Suppose that the recurrence contains also the term dk pk2 (x). Multiply
(19.19) by (x)pk2 (x) and integrate. All terms but two vanish by orthogonal-
ity: Z
dx (x) xpk (x)pk2 (x) = dk hk2 .

Since xpk2 = ak2 pk1 + . . . , also the left integral vanishes by orthogonality.
Therefore dk = 0. In the same way one proves the absence of all lower order
terms in the recurrence.
The constants ak may be chosen positive. The recurrence relation can be written
in multiplicative form:
    
pk+1 (x) (x bk )/ak ck /ak pk (x)
=
pk (x) 1 0 pk1 (x)

Iteration provides the polynomial pk in terms of p1 and p0 via a product of k

matrices 2 2 (transfer matrix).
R
The relations ck hk1 = dx (x) xpk (x)pk1 (x), xpk1 = ak1 pk + . . . give

hk
ck = ak1 (19.20)
hk1

If p0 = 1, the coefficient of xk in pk (x) is 1/(ak1 . . . a0 ). For monic4 orthogonal

polynomials the coefficients ak are all equal to 1.

The recurrence relation corresponds to the evaluation of the determinant of

a symmetric tridiagonal matrix, with p0 (x) = 1. For monic polynomials:

x bk ck
.. ..
ck . .
pk+1 (x) = det
..
. x b1 c1

c1 x b0

This has an important implication: the zeros of orthogonal polynomials are real.
Proposition 19.4.4 (Christoffel-Darboux summation formulae).
n
X pk (x)pk (y) an pn+1 (x)pn (y) pn (x)pn+1 (y)
= (19.21)
hk hn xy
k=0
n
X pk (x)2 an 
(x)pn (x) pn (x)pn+1 (x)

= p (19.22)
hk hn n+1
k=0
4A polynomial is monic if the coefficient of the leading power is unity.

156
Proof. Multiply the recursive relation (19.19) by pk (y), and subtract the same
expression with x and y exchanged. Divide by hk and sum on k = 0, . . . , n.
Cancellation of all but two terms occurs, because of (19.20). The second formula
is obtained as the limit y x of the first one.
Exercise 19.4.5. Show that for orthogonal polynomials it cannot be pk (x) = 0
and pk (x) = 0 at the same point, i.e. the zeros of orthogonal polynomials are
simple5 .
Szegos book Orthogonal Polynomials or Askeys book on special functions
are standard references. Orthogonal polynomials arise in the theory of Jacobi
operators (infinite Hermitian tridiagonal matrices), Sturm-Liouville differential
equations, approximation theory, solvable models of statistical mechanics. They
arise unexpectedly and beautifully in random matrix theory (see the books by
Mehta, or Deift, or Forrester). Two important sets of orthogonal polynomials
are discussed below.

Legendre polynomials
Legendres polynomials Pk (x) result from the orthogonalization of the monomi-
als 1, x, x2 , . . . in L2 (1, 1):
Z 1
dxPi (x)Pj (x) = hj ij
1

The constants hj are determined by the conditions Pj (1) = 1. Then P0 (x) = 1

and P1 (x) = x (they are orthogonal). P2 has no linear term to ensure or-
thogonality with P1 : P2 (x) = C2 (x2 + A2 ); the conditions 1 = P2 (1) and 0 =
R1 2 3
1 dxP0 P2 give P2 (x) = (3x 1)/2. The odd polynomial P3 (x) = C3 (x +A3 x)
is orthogonal to even polynomials, and is evaluated by imposing P3 (1) = 1 and
R1
0 = 1 dxP3 (x)P1 (x). The next one is even: P4 (x) = C4 (x4 + A4 x2 + B4 ), with
parameters determined by three conditions: P4 (1) = 1, P4 P2 and P4 P0 .
The process is tedious to continue. Instead one can succeed in obtaining the
recursive relation (where parity of polynomials is accounted for):

xPk (x) = ak Pk+1 (x) + ck Pk1 (x)

by evaluating hk , ak and ck . For x = 1 it is 1 = ak +ck , moreover (1ak )hk1 =

ak1 hk , by (19.20). Another equations is obtained by taking the derivative of
the recursion, Pk +xPk = ak Pk+1
+ck Pk1 , multiplication by Pk and integration
on [1, 1],
Z 1 Z 1
d
hk + 12 x Pk2 dx = ak
Pk Pk+1 dx
1 dx 1
5 Besides being real and simple, the zeros of orthogonal polynomials are all in the interval

of orthogonality . Moreover, any zero of pk (x) is between two consecutive zeros of pk+1 (x)
(interlacing property).

157
and integration by parts: 12 hk + 1 = 2ak . The two equations for ak and hk give
hk hk1 + hk hk1 = 0 with initial condition h0 = 2, i.e. h1 k = h1
k1 + 1.
1 1 2
The solution is hk = k + h0 i.e. hk = 2k+1 . Therefore, the orthogonality and
recursive relations are:
Z 1
2
dxPm (x)Pn (x) = 2n+1 mn (19.23)
1
(n + 1)Pn+1 (x) = (2n + 1)xPn (x) nPn1 (x) (19.24)

Hermite polynomials
Hermite polynomials are obtained by orthogonalization of the functions 1, x, x2 , . . .
2
on the real line, with weight (x) = ex :
Z
2
dx ex Hi (x)Hj (x) = hj ij

They are determined with the requirement on the leading coefficient Hk (x) =
2k xk + . . . . Because weight and domain are symmetric for x x, Hermite
polynomials have definite parity:
Hk (x) = (1)k Hk (x).
This simplifies the recursion relation: xHk (x) = 12 Hk+1 (x) + ck Hk1 (x). To
evaluate ck and hk note that ck hk1 = 12 hk . The derivative of the recursion is
multiplied by Hk and integrated with the weight:
d
Z Z
2 2
hk + 12 dx ex x Hk2 (x) = 12 dx ex Hk (x)Hk+1
(x)
R dx R
2 2
Integrate by parts, 12 hk + R dx ex [xHk (x)]2 = R dx ex xHk (x)Hk+1 (x). Use
R R
h
the recursion to obtain 12 hk + 14 hk+1 + c2k hk1 = 21 hk+1 , i.e. hk+1
k
= hhk1
k
+2
hk+1 h1 2
with solution hk = 2k + h0 . Since h1 = R dx 4x2 ex = 2 and h0 =
R
x2

= , one obtains hk+1 = 2(k + 1)hk i.e. hk = 2k k! and ck = k.
R
R dx e
Therefore:

Z
2
dx ex Hi (x)Hk (x) = 2k k! ik (19.25)
R
Hk+1 (x) = 2xHk (x) 2kHk1 (x) (19.26)
Hermite polynomials are related to Hermite functions, that are an orthonormal
basis in L2 (R):

1 1 x2
hk (x) = p e 2 Hk (x) (19.27)
k
2 k!

A proof of completeness will be given in theorem 26.2.1, based on the theory of

Fourier transform. The large-n distribution of the zeros of Hn (x) is discussed
in exercise 25.2.4.

158
19.5 Linear subspaces and projections
Definition 19.5.1. A linear subspace M is closed if any sequence in M that is
convergent has limit in M . The closure M of a linear subspace is still a linear
subspace.
Definition 19.5.2. If M is a linear subspace of H , the orthogonal complement
of M is the set M of points that are orthogonal to M .
Proposition 19.5.3. M is a linear closed subspace, and M = M
Proof. M is a linear space: if x1 and x2 are in M , then (z|x1 + x2 ) =
(z|x1 ) + (z|x2 ) = 0 if z M , i.e. x1 + x2 M . If xn is a sequence in M ,
and xn x then, by the continuity of the inner product, 0 = (z|xn ) (z|x)
for all z M , i.e. x M . The proof of the second statement is omitted.
The linear subspaces of R3 are planes and straight lines through the origin.
A point ~x external to a line r of parametric equation ~x(t) = ~at has orthogonal
projection p~ r which coincides with the point of minimal distance of ~x from
the set r. Orthogonal projection means that the element ~x p~ is orthogonal to
all points in r. This geometric property (minimal distance and orthogonality)
is shared by Hilbert spaces.
The first non-trivial step is to prove that, given a closed linear subspace and a
point x, there exists one and only one point p belonging to it, whose distance
from x is minimal (the set distance of x).
Definition 19.5.4. The distance of a point x from a set M is d(x, M ) =
inf yM kx yk.
Lemma 19.5.5. Let M be a linear closed subspace in H . Then, given x H ,
there is a unique p M such that d(x, M ) = kx pk.
Proof. Let d be the distance of x from M . By definition, there is a sequence yn
in M such that kyn xk d; we show that it is a Cauchy sequence.
By the parallelogram law:
kyn ym k2 = k(yn x)(ym x)k2 = 2kyn xk2 +2kym xk2 k2x(yn +ym )k2
The vector 21 (yn + ym ) belongs to M , then kx 21 (yn + ym )k d and
kyn ym k2 2(kyn xk2 d2 ) + 2(kym xk2 d2 )
Since 0 kyn xk d < for n > N , and kyn xk + d < 2d, it is
kyn ym k2 8 d n, m > N .
The Cauchy sequence {yn } has a limit point p M (M is closed); as the norm
is a continuous map of H to R, it follows that kx pk = limn kx yn k = d.
Suppose that there is another p M such that kx p k = d; the mid-point
p = (p + p )/2 belongs to M and kx p k d. By the parallelogram law:
4kx p k2 = 2kx pk2 + 2kx p k2 kp p k2 = 4d2 kp p k2 4d2 i.e.
p = p .

159
Theorem 19.5.6 (Projection theorem). Let M be a closed subspace in a
Hilbert space H . A vector in H has the unique decomposition

x = p + w, p M, w M (19.28)

Proof. Given x there is a unique vector p in M such that kx pk = d. We have

to show that w x p M . For any and y M it is p + y M and

d2 kx (p + y)k2 = d2 2Re[ (w|y)] + ||2 kyk2 .

2 Re[(w|y)] + ||2 kyk2 0 for all complex if (w|y) = 0 for all y, i.e.
w M.
Suppose that x = p + w = p + w with p, p in M and w, w in M . Then
(p p ) + (w w ) = 0 with p p M and w w M . The vanishing of
the norm, kp p k2 + kw w k2 = 0, implies p = p and w = w .
Definition 19.5.7 (Orthogonal sum). Given two orthogonal closed subspaces
M1 and M2 in H , their orthogonal sum is

M1 M2 = {x | x = x1 + x2 , x1 M1 , x2 M2 }.

Remark 19.5.8. If M1 and M2 are closed, M1 M2 is closed. The projection

theorem states that if M is closed then H = M M .
Example 19.5.9. Suppose that a subspace M is spanned Pby the orthonormal
n
vectors {uk }nk=1 . If x 6 M , its projection is the point p = k=1 pk uk in M that
minimizes the squared distance of x from M :
n h
X i
2 2 2
d = kx pk = kxk pk (x|uk ) + pk (uk |x) pk pk
k=1

Minimization in the coefficients pk and pk gives the projection of x,

n
X
p= (uk |x)uk (19.29)
k=1

Pn
and the (squared) minimal distance kx pk2 = kxk2 k=1 |(uk |x)|2 .
Example 19.5.10. Consider the function f (x) = (a x)1 on the interval
[1, 1], |a| > 1, and the problem of finding its best approximation in terms
of real polynomials of order n. In L2 (1, 1), this means to find the polynomial
An of degree n with least L2 (1, 1)-norm deviation from the function, i.e. to
minimize the squared error
Z +1  2
1
kf An k2 = dx (an xn + . . . + a1 x + a0 )
1 ax
with respect to the coefficients an . . . a0 . The minimal norm is realized by the
distance of the function from the (closed) subspace Pn of polynomials of degree

160
n, and the best approximation is precisely the projection of the function on
Pn . The Legendre polynomials form an orthogonal basis of L2 (1, 1), and any
polynomial of order n is a linear combination of Legendre polynomials Pk with
k n. Taking into account normalization, the best polynomial of order n is:
n +1
2k + 1 Pk (x)
X Z
An (x) = Ck Pk (x), Ck = dx
2 1 ax
k=0

From the recursive relation (19.24) of the polynomials, one may obtain a recur-
sion scheme for Ck (it turns out that Ck = (2k + 1)Qk (a), where Qk (x) is a
Legendre functions of the second kind).
Other norms give different approximations. In L2 ([1, 1], dx/ 1 x2 ) the
Chebyshev polynomials are orthogonal (see also 2.5.2, 11.5.3). The projection
on the subspace of polynomials of order n is:
n 1
1 dx Tk (x)
Z
An (x) = Ck Tk (x), Ck =
X

hk 1 1 x2 a x
k=0

with h0 = , and hk = /2. The coefficients may be evaluated with the Residue
Theorem, and the partial sum can be computed exactly:
 
1 e Tn+1 (x) Tn (x) 1
An (x) = e(n+1)
cosh x cosh x sinh

where a = cosh . The great advantage of expanding in Chebyshev polynomials

is their fundamental property |Tk (x)| 1 on [1, 1]. This allows for a simple
uniform upper bound of the error:
 1  e + 1
An (x) e(n+1) , 1 < x < 1.
 
ax (a 1) sinh


19.6 Complete orthonormal systems

Theorem 19.6.1. Let {uk } be a countable orthonormal set of vectors in H ,
and {ck } a complex sequence. Then

X
X
ck uk H |ck |2 <
k=0 k=0

and, if the series converges to x, it is ck = (uk |x).

Pn
Proof. Consider the partial
Pn sums2 xn = k=0 ck uk . {xn } is a Cauchy sequence
in norm if and only if k=0 |ck | is a Cauchy sequence in C: this follows from
the identity
X n 2 n
X
kxn xm k2 = ck u k = |ck |2 .

k=m+1 k=m+1

161
If xn x, it is ck = (xn |uk ) (x|uk ) by continuity of the inner product, and
n
X
X
kxk2 = lim kxn k = lim |ck |2 = |ck |2
n n
k=0 k=0

Definition 19.6.2. An orthonormal set {ua }aA of vectors, (ua |ub ) = 0 if a 6= b

and kua k = 1, is complete if it is not a subset of another orthonormal set.
An equivalent statement is: an orthonormal set {ua }aA is complete if

(ua |x) = 0 a A x = 0 (19.30)

A Hilbert space with a countable orthonormal complete set of vectors is

separable, and it is isomorphic to 2 (C).
Theorem 19.6.3 (Parsevals identity). In a separable Hilbert space, if {uk }
k=0
is an orthonormal complete basis, then:

X
X
x= (uk |x)uk , kxk2 = |(ua |x)|2 , x H . (19.31)
k=0 k=0

The numbers (uk |x) are the Fourier coefficients of the expansion.

19.7 Bargmanns space

Bargmanns space B(C) is the linear space of entire functions6 such that
dzdz |z|2
Z
e |f (z)|2 <

where dz dz dx dy and z = x + iy. It is a Hilbert space with the inner product
dzdz |z|2
Z
(f |g) = e f (z)g(z) (19.32)

The functions uk (z) = 1 z k are orthonormal (use polar coordinates):
k!

dzdz |z|2 n m
Z
e z z = n! nm
C
Since every entire function has a power series expansion, the functions uk form
a complete set7 . On suitable domains one defines the linear operators
af )(z) = f (z),
( a f )(z) = zf (z).
(
6 V. Bargmann, On a Hilbert space of analytic functions and an associated integral trans-

form, Comm. Pure Appl. Math. 14 (1961) 187.

7 By Liouvilles theorem, an entire function is unbounded in modulus. Therefore, abso-
P
lute convergence of f (z) = k fk uk (z) with infinite radius is less demanding than norm-
convergence in Bargmanns space.

162
They act as ladder
operators (lowering and raising operators) on the basis func-
tions: a
uk = k uk1 and a uk = k + 1 uk+1 . The operator N a a d
= z dz
has action N uk = k uk .
The eigenstates of the lowering operator ( ac )(z) = c (z) are named coher-
ent states, and exist for any value C. In Bargmanns space they are the
functions
k
1 2 1 2 X
c (z) = e 2 || +z = e 2 || uk (z)
k=0
k!
The inner product of two coherent states vanishes exponentially in the distance
of parameters |(c |c )| = exp(| |). The interest of such functions is in the
following property: for any f B(C) it is true that

dd ||2 +z dd 1 ||2
Z Z
f (z) = e f () = e 2 f ()c (z) (19.33)

2
(check it on the basis functions uk ). The first equality shows that e|| +z
is a reproducing kernel. The second equality shows that coherent states are
a continuous basis-set of normalized but not orthogonal functions (an over-
complete set). Can one remove coherent states from the basis without losing
completeness? The answer is yes: one can select a countable set of values that
belong to a two dimensional lattice = n1 1 + n2 2 , and completeness survives
if 1 2 < 1.
Coherent states are important in quantum mechanics, semiclassical dynamics
of complex systems, quantum optics, path integral formulation of bosons8 . A
standard reference is: A. Perelomov, Generalized Coherent States and their
Applications, (Springer-Verlag, Berlin 1986).
Exercise 19.7.1. The set Rof functions holomorphic on the unit disk D = {z
C : |z| < 1} and such that D dzdz 2
|f (z)| < form a Hilbert space. Show that

the functions uk (z) = z k / k + 1 are orthonormal.
Evaluate the norm ofP(z a)1 , |a| > 1.

Evaluate the series: k=0 uk (z)uk () (z, D).

8 for fermions one needs a Hilbert space of anticommuting variables

163
Chapter 20

TRIGONOMETRIC
SERIES

20.1 Fourier Series

Let f be a 2-periodic real function and ask the following question: which are
the real coefficients of an expansion in harmonics that best approximates f ?
N
1 X
SN (x) = a0 + ak cos(kx) + bk sin(kx) (20.1)
2
k=1

We may require minimization of the total quadratic

Pm error on a sample of m
points x uniformly chosen in [0, 2]: 2 = =1 [f (x 2
) SN (x )] . In this
frame, f is a vector of experimental values f (x ) and cos(kx ), sin(kx ) play the
role of components of basis vectors. The solution is a problem in linear algebra,
and must be handled numerically. The problem simplifies for m :
Z
2 = dx[f (x) SN (x)]2

Because of the orthogonality of the basis functions

Z
dx cos(mx) sin(nx) = 0, (20.2)

Z Z
dx cos(mx) cos(nx) = dx sin(mx) sin(nx) = mn (20.3)

the minimization of 2 with respect to ak and bk gives:

1 1
Z Z
ak = dxf (x) cos(kx), bk = dxf (x) sin(kx). (20.4)

164
These expressions were obtained by Euler, and are well defined for integrable
functions. Note that they do not depend on N (a consequence of orthogonal-
ity). The quadratic error at minimum is evaluated:
Z  2 
a
2 = dxf (x)2 0 + a21 + ... + b2N
2

Since 2 0 it is clear that the approximation improves by increasing the

number of basis functions. If the error saturates to zero, one gets Parsevals
identity:

2
Z X
dxf (x)2 = a0 + (a2k + b2k ) (20.5)
2
k=1

By inserting the integral expressions for the coefficients (20.4) in the finite sum
(20.1), one gets
N
Z " # Z

1 1X
SN (x) = dyf (y) + cos k(x y) = dyf (y)DN (x y)
2
k=1

with Dirichlets kernel

1 sin[(N + 12 )(x y)]

DN (x y) = (20.6)
2 sin[ 12 (x y)]

Properties: DN (x) = DN (x), DN (0) = 1 (N + 21 ),

Z Z
dx 1

dxDN (x) = 2 + cos x + cos 2x + . . . = 1

We wish to study the large N behaviour of the difference

Z
SN (x) f (x) = dy[f (y)DN (x y) f (x)DN (y)]

Z
= dy[f (y + x) f (x)]DN (y) (20.7)

The main question is: under which conditions does the difference converge
to zero point-wise, uniformly, or almost everywhere? Is the minimisation of the
quadratic error the best criterion for constructing the trigonometric approxima-
tion? These problems require an appropriate setting in functional analysis1 .
Exercise 20.1.1. 1) Prove the orthogonality relations. 2) Evaluate Dirichlets
kernel (hint: use the complex representation).
1 see for example: A. Kolmogorov and S. Fomine, El ements de la th
eorie des fonctions et

de lanalyse fonctionelle, Editions de Moscou (1974), also a Dover reprint.

165
Remark. The Fourier expansion (20.1) can be rewritten as:

X einx
f (x) = cn (20.8)
n= 2

where cn = 2 (an ibn) and cn = cn . For unrestricted coefficients cn and cn

p
the formula is the Fourier expansion of a complex function. The orthogonality
relation and Parsevals identity (completeness) are:

dx i(nm)x
Z Z X
e = nm , dx|f (x)|2 = |cn |2 (20.9)
2 n=

Example 20.1.2. Consider the function f (x) = x on (, ], repeated period-

ically (sawtooth function).
R Being an odd function, the Fourier coefficients an
are null, and bn = 1 dx x sin(nx) = 2(1)n+1 /n. Then:

X sin(nx)
x=2 (1)n+1 (20.10)
n=1
n
R
Parsevals identity is: dx x2 = 4 2
P
n=1 1/n , which is true. Therefore the
2
squared error is zero, = 0, meaning that, up to a zero-measure set, the series
and the functions coincide.
At the point of discontinuity x = the periodic function has two limits: f ( ) =
and f ( + ) = . The Fourier series, being unable to choose which value to
approximate, takes the value in the middle: S () = 0.
For x = 2 one obtains the sum of Leibnitzs series: 4 = 1 13 + 51 71 + . . . .
Note that, being the function discontinuous, high frequency terms are needed to
fill the edges. Correspondingly, Fourier coefficients decay slowly, as 1/n, and
the series has slow convergence.

20.2 Pointwise convergence

We need the following lemma:
Lemma 20.2.1 (Riemann). If f L 1 (a, b) then
Z b
lim dxf (x) sin(nx) = 0 (20.11)
n a

Proof. If f exists and is continuous, a partial integration gives

b
1 b 1 b
Z Z
dxf (x) sin(nx) = f (x) cos(nx) + dxf (x) cos(nx)

a n a n a

166
An arbitrary function in L 1 (a, b) can be approximated by functions in C 1 (a, b):
for
R any > 0 there is a function with continuous derivative such that kf k1 =
[a,b]
dx |f | < . Then:
Z  Z  Z 
 b   b   b 
dxf (x) sin(nx)  dx[f (x) (x)] sin(nx) +  dx (x) sin(nx)
     

 a   a   a 
Z b Z 
 b 
dx|f (x) (x)| +  dx (x) sin(nx)
 
a  a 

The first term can be made arbitrarily small, the second decays to zero.
Remark 20.2.2. There is a relation between the regularity properties of f and
the decay properties of its Fourier coefficients (which dictate how fast the series
converges, i.e. how many terms are needed to reproduce the function with small
error). For a periodic function in C 1 (, ) the boundary term in the proof
of the Lemma is zero, therefore the Lemma proves that the Fourier coefficients
an and bn decay at least as 1/n. However, if f is periodic and C k , further
integrations by parts show that the coefficients decay at least as 1/nk .
In the partial sum SN of the Fourier series, the numerator of Dirichlets
kernel produces convergence for large N (the Lemma), but the zero in the
denominator has to be neutralized; this is done in the theorem:
Theorem 20.2.3 (Dini2 ). Let f L 1 (, ) and suppose that for a fixed point
x there is a > 0 such that the integral is finite
Z  
 f (x + t) f (x) 
dt   (20.12)
t 

then the partial sum SN (x) of the Fourier series of f converges to f (x) at the
point x.
Proof.
Z
SN (x) f (x) = dt[f (x + t) f (x)]DN (t)


f (x + t) f (x) t
Z
= dt sin(N + 21 )t
t 2 sin( 21 t)

If Dinis condition holds, the ratio f (x+t)f t

(x)
is integrable on (, ), as well
f (x+t)f (x) t
as the function t 2 sin(t/2) . Then by the lemma |SN (x) f (x)| 0 as
N .
2 Ulisse Dini (1845, 1918) formerly a student in Pisa of Enrico Betti, went to Paris and got

acquainted with Charles Hermite and J. L. Francoise Bertrand. He became professor in Pisa,
member of the Parliament and senator, and for many years he directed the Scuola Normale.
He was the advisor of Luigi Bianchi and Gregorio Ricci-Curbastro (with Betti) and Luigi
Fubini.
Other students of Betti in Pisa were Cesare Arzel a, Federigo Enriques and Vito Volterra.

167
 Dinis condition can be replaced by existence of the left and right integrals:
Z  Z 0 
 f (x + t) f (x+ )   f (x + t) f (x ) 
 
dt  , dt  .
0 t 

 t 

It implies the following sufficient condition for point-wise convergence:

Corollary 20.2.4. If f is a bounded 2-periodic function with only a finite
number of discontinuities of the first kind (left and right finite limits exist at each
discontinuity) on [0, 2], and if the left and right derivatives exist everywhere,
then the Fourier series is point-wise convergent where f is continuous and takes
the value 12 [f (x+ ) + f (x )] at a discontinuity.
Example 20.2.5. R f (x) = x2 on [, ) (periodic parabolic arc). Fourier coef-
1
R
ficients: a0 = dx x = 32 2 , an = 1 dx x2 cos(nx) = 4(1)n n2 and
2

bn = 0 (even function). Then:

2 X (1)n
x2 = +4 cos(nx) (20.13)
3 n=1
n2

The function is continuous but its derivative is discontinuous at x = : note

2
that its Fourier coefficients decay
P as 1/n .
At x = one obtains (2) = n=1 1/n = 2 /6, while at x = 0:
2 n 2
P
2
R (1) 4/n =
n=1
/12. Parsevals identity allows to obtain a further relation: dx x =
4
2 9 + 16(4), i.e. (4) = 4 /90.
Example 20.2.6. f (x) = (12a cos x+a2 )1 on [, ) (a2 < 1). The Fourier
coefficients can be evaluated by the Residue Theorem in the unit circle ( = eix ):

1 d n
Z Z
an = Re dx f (x)einx = Re 2
C(0,1) i 1 a a/ + a
d n 2an
Z
= Re =
C(0,1) ia ( a)( 1/a) 1 a2

1 1 2 X n
= + a cos(nx) (20.14)
1 2a cos x + a2 1 a2 1 a2 n=1

The function is continuous with all its derivatives; the Fourier coefficients decay
exponentially, as en| log a| .
Trigonometric sums define functions, that may be rather extravagant. Con-
sider the finite sum (it is not a Fourier series because of the modulus) fN (x) =
PN
k=1 | sin(kx)|/k. The
function fN (x) has a strict local minimum at every ra-
tional p/q with |q| N (An amusing sequence of functions, S. Steinerberger,
arXiv:1610.04090 [math.HO]).

168
20.2.1 Gibbs phenomenon
The Fourier series of a function with a jump discontinuity exhibits the Gibbs
phenomenon, explained by Gibbs in 1899 in a letter to Nature. It is an over-
shooting of the Fourier series caused by the high frequencies needed to describe
the jump. If x = a is the point of discontinuity and h is the jump, for the partial
sum SN one has:

lim |SN (a /N ) SN (a + /N )| = h(1 + 2 0.089...)

N

The error is unavoidable and has fixed size for any large N , and occurs in
a region that shrinks to zero around x = a. This is well illustrated by the
following example.
Consider the function f (x) = h for |x| < a < and zero elsewhere in [, ]
(periodic square signal). The Fourier series is conditionally convergent:

ah 2h X sin(na)
S(x) = + cos(nx) (20.15)
n=1 n

The jump is evaluated as

N
4h X sin2 (na)
N = SN (a ) SN (a + ) = sin(n)
n=1 n

For /N all terms are positive and add without interfering. Let us evaluate
the jump at = /N . The dominant contribution comes from the constant
term in sin2 (na) = 21 [1 cos(2na)]. Then, in the continuum limit n/N = t,
dt = /N :
N
2h
 Z 
2h X sin(n/N ) sin t dt sin t
Z
dt =h 12
n=1 n 0 t t

The integral is a constant and gives h(1 + 2 0.089490...). The exact

value h is exceeded by a sizeable but localized contribution at both sides of the
discontinuity.
In x = 0 the sum (20.15) is h. At the discontinuity x = a the value of the
Fourier series is

ha h X sin(2na)
S(a) = + .
n=1 n
The sum coincides with the value at x = 0 of a square signal with height h/2
and support 2a. Then it is S(a) = h/2.
Exercise 20.2.7. Show that the Fourier series of cos(ax) on [, ] is:

sin(a) sin(a) X 2a
cos(ax) = + (1)k 2 cos(kx), a
/ N.
a a k2
k=1

169
In x = the function is continuous and the series converges. This gives

1 1 X 2a
cotg(a) = + (20.16)
a a2 k 2
k=1

It is the logarithmic derivative of the following famous product expansion (Euler,

1784):


z2
Y 
sin(z) = z 1 2 (20.17)
k
k=1

which is analogous to the factorization of a polynomial in terms of the roots.

20.2.2 Fourier series with different basis sets

Consider a function f with period 1. As a periodic function it has a Fourier
series expansion on [0, 1], with basis functions cos(2kx) and sin(2kx):

0 X
f (x) = + k cos(2kx) + k sin(2kx)
2
k=1

However, as a function on the interval [0, 1] alone, other trigonometric series

are possible. For example, the even/odd extensions of f on [1, 1],
( (
f (x) x [0, 1] f (x) x [0, 1]
fe (x) = fo (x) =
f (x) x [1, 0) f (x) x [1, 0)

can be represented respectively as Fourier series with functions cos(kx) or

sin(kx). The two series, restricted to the interval [0, 1], give two new trigono-
metric expansions of f :
a0 X X
f (x) = + an cos(nx) = bn sin(nx), x [0, 1].
2 n n

The functions 1, cos(kx) and sin(kx) form two independent orthogonal sets
on [0, 1]:
Z 1 Z 1
1
dx cos(mx) cos(nx) = 2 mn , dx sin(mx) sin(nx) = 21 mn .
0 0

Example 20.2.8. Consider the function with period 1, which is x on [0, 1].
It has the Fourier expansion

1
X sin(2kx)
x= 2 , 0<x<1 (20.18)
k
k=1

170
The expansions on [1, 1] of the even extension |x| and of the odd extension x,
give two new representations of x on [0, 1]:

X cos(2k + 1)x X sin(kx)
x= 1
2 4 = 2 (1)k
2 (2k + 1)2 k
k=0 k=1

Outside the interval [0, 1] the three Fourier series describe different periodic
functions. Note the faster convergence of the series for |x|, which is continuous.
Parsevals identity gives:

X 1 4
=
(2k + 1)4 96
k=0

20.3 Applications
20.3.1 Heat Equation
In his fundamental treatise Theorie analytique de la chaleur (1822) Jean Bap-
tiste Fourier discussed the transmission of heat in bodies of various shapes and
different boundary conditions. By assuming that the transfer of heat between
near regions is proportional to the temperature difference, he obtained the Heat
Equation for the temperature field:
1 T
2 T = 0
D t
D is the constant of thermal diffusion. Fourier solved the stationary problem of
the temperature distribution in a rectangle with sides at different temperatures,
by trigonometric series.
Consider the square [0, ] [0, ] with three sides held at temperature T = 0
and one at temperature T (x, ) = x (at one corner there is a jump T = ).
The stationary field T (x, y) solves Txx + Tyy = 0 with the specified b.c. As
Fourier noted, an elementary harmonic solution is eay P sin(ax). It is zero at x =

0, if a is an integer. The linear combination T (x, y) = n=1 cn sinh(ny) sin(nx)
is a solution and is zero at threeP sides of the rectangle. The coefficients are
determined by the b.c.: x = n=1 cn sinh(n) sin(nx). Fourier evaluated the
infinite number of unknowns xn = cn sinh(n) through the infinite linear system
obtained by taking even derivatives of all order:
0 = x1 sin x + 22 x2 sin(2x) + 32 x3 sin(3x) + . . .
0 = x1 sin x + 24 x2 sin(2x) + 34 x3 sin(3x) + . . .
...
R P R
Instead, we exploit orthogonality: 0 dxx sin(x) = n xn 0 dx sin(x) sin(nx)
i.e. x = 2 (1) . The solution is:

X (1)n+1 sinh(ny)
T (x, y) = 2 sin(nx).
n=1
n sinh(n)

171
20.3.2 Keplers equation
The elliptic orbit of a planet with semi-axis a and b (a b) can be parameterized
as x = a cos E, y = b sin E, where 0 E 2 is the p eccentric anomaly.
The position of the Sun is the focus (ae, 0), where e = 1 (b/a)2 is the
eccentricity of the orbit. Since the areal velocity is constant (conservation of
angular momentum), the area swept at time t after the passage at perihelion
(E = 0 at t = 0) is ab(t/T ), where T is the orbital period. The evaluation of
the same area in terms of E gives Keplers law:
2
E e sin E = M, tM= (20.19)
T
M is the mean anomaly. At each time one evaluates M and solves Keplers
equation to obtain E and the Cartesian position of the planet. The distance
from the Sun is r = a(1 e cos E).
E is a periodic function of time or, equivalently, of M : E(M + 2) = E(M ).
It then admits a Fourier expansion. The full series was first obtained by the
astronomer Bessel in 1824 (some terms were previously obtained
P by Lagrange,
1770). As E(M ) = E(M ), the expansion is E M = k=1 Bk sin(kM )
with coefficients
1 2
Z 2  
dE cos kM
Z
Bk = dM (E M ) sin(kM ) = dM 1
0 0 dM k
2 dE 2
Z
= cos(kE ke sin E) = Jk (ke)
k 0 k
where Bessels functions are (see eq.(13.5))
Z
d
Jn (x) = cos(n x sin ).
0
Then: E = M + 2J1 (e) sin M + J2 (2e) sin(2M ) + 23 J3 (3e) sin(3M ) + . . .
Exercise 20.3.1. Evaluate the ratio of the velocities of the planet at perihelion
and aphelion.
Exercise 20.3.2. Consider the generating function for Bessels functions of
integer order with z on the unit circle:

X
eix sin = ein Jn (x).
n=

Prove the properties

X
1 = J0 (x)2 + 2 Jk (x)2 (20.20)
k=1

~ X
eik~r = J0 (kr) + 2 in cos(n)Jn (kr) (20.21)
n=1

Eq.(20.20) is Parsevals identity; in (20.21) is the angle formed by the vectors.

172
20.3.3 Vibrating string
Fourier series are useful to solve linear differential equations on intervals. The
problem of the vibrating string is an illustration.
A thin stretched string is clamped at x = 0 and x = L. Its deviation from the
straight configuration is a function f (x, t) that solves the Wave Equation

ftt c2 fxx = 0,

where c is the speed of wave propagation. The Cauchy problem is specified by

initial conditions f (x, 0) = f1 (x) and ft (x, 0) = f2 (x). Boundary conditions
(b.c.) f (0, t) = 0 and f (L, t) = 0 are imposed at all times.
Multiplication by 0 ft and integration by parts lead to a conservation law for
the total energy (0 is the linear mass density):
L
0
Z
dx ft2 + c2 fx2


E=
2 0

E is time independent and is fixed by the initial conditions.

The wave equation is first solved for stationary states (i.e. factorized in time and
space): f (x, t) = A(t)u(x), with solutions eit [eikx + eikx ], = kc 0.
The b.c. impose: + = 0 and eikL + eikL = 0, i.e. = and k = n/L,
n = 0, 1, 2, . . . (wave-lengths are quantized). Therefore, the stationary solutions
(normal modes) are:
 nx 
ein t sin , n = 1, 2, . . .
L
The general solution is a real linear superposition of normal modes

X nx c
f (x, t) = (cn ein t + cn ein t ) sin , n = n (20.22)
n=1
L L

The period of the nth mode is Tn = n1 (2L/c); the longest one is a global period:
fP(x, t+T1 ) = f (x, t). The coefficientsPcn are determined by the initial conditions
n (cn + cn ) sin(nx/L) = f1 (x), R n in (cn cn ) sin(nx/L) = f2 (x). By
L
means of the orthogonality relation 0 dx sin mx nx L
L sin L = 2 mn one evaluates:

L L
1 nx 1 nx
Z Z
Re cn = dxf1 (x) sin , Im cn = dxf2 (x) sin .
L 0 L Ln 0 L

The general solution, though describing oscillations of a string of length L, is

2Lperiodic. At t = 0 it coincides with f1 (x) on [0, L] but on [L, 2L] it equals
f1 (2L x).
The total energy of the solution f (x, t) is extensive (proportional to L) and

173
is the sum of the energies of the single modes3 :

0 X 2
E=L [cn cn + cn cn ] (20.23)
2 n=1 n

As an example, let us suppose that the string is initially stretched as a

triangle, f1 (x) = x for 0 < x L/2 and f1 (x) = (L x) for L/2 < x < L,
and left free to vibrate (f2 = 0, no initial velocity on the whole length). The
coefficients cn and the solution are evaluated:

4L X (1)n
f (x, t) = cos(kn ct) sin(kn x), kn = n
2 n=1 (2n + 1)2 L

2L X (1)n
= 2 [sin[kn (x + ct)] + sin[kn (x ct)]]
n=1 (2n + 1)2
= 12 [F1 (x + ct) + F1 (x ct)]

Here, F1 (x) is the 2L-periodic function with value F1 (x) = f1 (x) for 0 x L
and F1 (x) = f1 (2L x) for L x 2L.

20.3.4 The Euler - Mac Laurin expansion

Dirichlets kernel DN (x a) is 2-periodic and peaked at the points a + 2n.
If we multiply it by a smooth function and integrate on an interval [a, b], with
b = a + 2M , it is:

b b N b
dx dx
Z Z X Z
dxDN (x a)f (x) = f (x) + cos[k(x a)] f (x)
a a 2 a
k=1

The integral in the left-hand-side is evaluated on sub-intervals [a, a + ), [a +

, a + 3), . . . [b , b]. On sub-intervals of width 2, as N goes to infinity, the
kernel becomes a normalized delta function peaked at the center of the interval.
On the intervals [a, a + ) and [b , b] only half of the kernel contributes.
Therefore the integral is:
M
X f (b) + f (a)
f (a + 2k)
2
k=0

In the right side we integrate by parts twice and obtain a recursive law:
b
1 1
Z
Ck [f ] = dx cos[k(x a)]f (x) = 2
[f (b) f (a)] 2 Ck [f ]
a k k
3 The expression of the energy is ready to undergo second quantization, which yields

an operator for a quantum description of vibrations in terms of elementary quanta called

phonons.

174
For large N :
N
1X (2) (4)
Ck [f ] = [f (b) f (a)] [f (b) f (a)] + R

k=1

with remainder R = 1 k k16 Ck [f iv ]. The Euler - Mac Laurin formula gives the
P
corrections to an integral approximating a sum:
M b
dx 1
X Z
f (a + 2k) = f (x) + [f (b) + f (a)] (20.24)
a 2 2
k=0
3
+ [f (b) f (a)] [f (b) f (a)] + R
6 90

20.3.5 Poissons summation formula

This is a very useful tool inPmany areas of physics. Given an integrable function

f (t) on R, the sum F (t) = k= f (t+kT ) (if convergent) defines a T -periodic
function, which can be expanded in Fourier series. The result is Poissons sum-
mation formula, which replaces the infinite sum on shifts of f with an infinite
Fourier series:

X 1 X i 2 t
f (t + kT ) = f e T (20.25)
T
k= =

where
Z T Z (k+1)T Z
i 2 i 2 2
f =
X
dt F (t) e T t = dtf (t)e T t = dtf (t)ei T t
.
0 k= kT

Example 20.3.3. f (t) = eat , f =

2
2 /4a
p
ae .

X 2 1 X 2
ea(t+2k) = e /4a+it (20.26)
2 a
k= =

In particular, for t = 0:

X 2
ak2 1 X k2
e4 = e 4a (20.27)
k=
4a k=

These series arise in the theory of Jacobis theta functions.

Example 20.3.4. f (t) = e|t| , f = 2
2 +k2 .

X X eit
e|t+2k| = (20.28)
+ 2
2
k= =

175
 P
For t = 0 the l.h.s. is 1 + 2 k=0 e2k = coth(). Then:

X 1
coth() = . (20.29)
2 + 2
=

Example 20.3.5. Let us evaluate the partition function Z for non-interacting

particles in a cubic box with side-length L. The energy levels are k = ~2 k 2 /2m,
where k = (2/L)n, n Z3 . It is:
" #3 " #3
~2 4 2 2 2
k
 
k
X X X
Z= e BT = exp n = exp 2 n
n=
2mkB T L2 n=
L
k
p
where = 2~2 /mkB T is the thermal length (the De Broglie length of
a particle with energy kB T ). For large L, the terms are a slowly decreasing
sequence. The sum can be computed via Poissons formula (20.27):

X 2 2 L X L L
exp( 2
n ) = exp( n2 ) = (1 + negligible terms).
n=
L n=

The standard procedure in statistical mechanics to approximate the sum with an

integral (for large L) is legitimate:
  3
~2 k 2

dk L
Z
Z = L3 3
exp =
(2) 2mkB T

In general, the extension to 3D of the Poisson sum for a period 2/L is:

2 L3 X
X X Z
f (k) = f ( n) = 3
dsf (s)eiL(ms)
3
L (2) 3 R 3
k nZ mZ

If the function f (k) has slow variation on the scale 1/L, for large L the Fourier
terms vanish except the term m = 0:

dk
X Z
f (k) L3 f (k)
(2)3
k

Example 20.3.6. Poissons formula is used to extend the Riemanns series (z)
on Re z > 1 to a function on Re z < 0 (the strip 0 < Rez < 1 is left out).
P 2
Let g(t) = k=1 ek t and evaluate
Z
1
Z X 2
z1
dt g(t)t = dt ek t z1
t = (2z) (z)
0 0 z
k=1

Eq.(20.27) shows
the symmetry
2g(t) + 1 = (1/ t)[2g(1/t) + 1] i.e. g(t) =
1/2+1/(2 t)+g(1/t)1/ t, which is used to evaluate the integral in a different

176
way:
Z 1 Z
1 z/21
(z)(z/2) = dt g(t) t + dt g(t) tz/21
z/2 0 1
Z 1   Z
1 1 1 z/21
= dt + + g(1/t) t + dt g(t)tz/21
0 2 2 t t 1
Z
1 1 dt (1z)/2 z/2
= + (t + t )g(t)
z 1z 1 t

The
r.h.s. is invariant under the replacement z 1 z, therefore: (z)( z2 ) =
1 z
(1 z)( 2 2 ) or

2
(1 z) = (z) cos( 12 z)(z) (20.30)
(2)z

For z = 2, 4, . . . the function (z) has poles; however the left-hand side is
finite. Then (z) must be zero at z = 2, 4, . . . : these are the trivial zeros
of Riemanns zeta function. The famous Riemanns hypothesis states that the
non-trivial zeros are all located on the line Re z = 21 . The statement is relevant
for the study of the distribution of prime numbers4 .
1
Exercise 20.3.7. Show that (1) = 12 , (0) = 12 (see exercise 12.3.5).

20.4 Fej
er sums
The powerful theory developed by Lip ot Fejer on trigonometric series allows to
prove the completeness of the basis of trigonometric functions in the Banach
spaces C ([, ]) of continuous functions on [, ], and in the spaces L1 (, )
and L2 (, ). It means that any function can be approximated arbitrarily well
by a finite combination of trigonometric functions in the topology of the space.
A function that is continuous and 2-periodic may not have a convergent
Fourier series, and therefore may not be reproduced as the limit N of SN .
However, the arithmetic averages of the partial sums (Fejer sums) do the job in
an excellent way. Consider the Fejer sum
Z
1
N (x) = [S0 (x) + S1 (x) + . . . + SN 1 (x)] = dt f (x + t)N (t) (20.31)
N
4 Riemanns hypothesis is one of the seven problems that were selected by the Clay Math-

ematics Institute in 2000 (Millennium Prize). The single problem that has been solved so far
is Poincar
es conjecture (every simply connected closed 3-manifold is homeomorphic to the
3-sphere) stated in 1904. The winner Grigorij Perelman declined the one-million $ prize, and
a Fields medal.

177
Figure 20.1: Lip ot Fej
er (Pecs 1880, Budapest 1959) studied in Budapest and
Berlin, as a student of Hermann Schwarz. In Budapest he led a relevant school
of analysis, and was thesis advisor of John von Neumann, Paul Erdos, George
Polya, P
al Turan, Marcel Riesz, Gabor Szego, Michael Fekete, and others.

Figure 20.2: Andrey N. Kolmogorov (Tambov 1903, Moscow 1987) is the

founder of axiomatic probability theory (1933). Independently with Chapman,
he developed the basic equations for stochastic processes. He gave fundamental
contributions to the theory of turbulence and of dynamical systems. Among his
doctoral students are: Vladimir Arnold, Roland Dobrushin, Eugene Dynkin,
Israel Gelfand, Yakov Sinai.

178
where N (x) is Fejers kernel:
1
N (t) = [D0 (t) + D1 (t) + . . . + DN 1 (t)]
N
N 1  
1 1 X k
= + 1 cos(kt)
2 N
k=1
1 sin2 (N t/2)
= (20.32)
2N sin2 (t/2)

The function is normalized, it is a finite sum of trigonometric functions, and it

turns out to be a positive function. The Fejer sums N are the Cesaro means5
of the Dirichlet sums Sk . The interesting fact about Cesaro means (the Fejer
sums) is that they behave much better than Dirichlet sums, as the next theorems
show.
Theorem 20.4.1 (I Fejer theorem, 1905). If f is real continuous and 2-
periodic, the sequence of functions n converges to f uniformly on R.
Proof. Since f is real and continuous on [, ] it is bounded, |f (x)| < M , and
uniformly continuous: : |f (x + t) f (x)| < /2 x, t s.t. |t| < .
Being periodic, f is bounded and uniformly continuous on the whole real line.
Let us estimate the difference
Z
N (x) f (x) = dy[f (x + y) f (x)]N (y) = J< (x) + J0 (x) + J> (x)

where the integration interval is split in three intervals [, ) [, ] (, ].

Z Z
|J0 (x)| dt|f (x + t) f (x)|N (t) < dt N (t)
2 2
Z Z
|J> (x)| dt|f (x + t) f (x)|N (t) < 2M dt N (t)

Z
M 1 M M
dt 2
N sin (t/2) N sin2 (/2) N sin2 (/2)

The same estimate is valid for J< . Now, given and , lefts choose N such
that M
N
sin2 (/2) < /4. Then |N (x) f (x)| < for all N > N .
The theorem was proven by Fejer in 1905 at the age of 19, and strength-
ens the theorem by Weierstrass, that states that any continuous and periodic
function is uniformly approximated by a sequence of trigonometric polynomials.
Fejer has given an explicit expression (the Fejer sums) for such polynomials! A
similar proof can be given for integrable functions:
5 Ernesto Cesaro (1859, 1906) was professor in Naples. He proved that if a sequence a
n
1 Pn
converges to a (or diverges) then: the sequence of arithmetic averages sn = n k=1 ak and
the sequence of geometric averages pn = (a1 an )1/n converge to the same limit (or diverge).

179
Theorem 20.4.2 (II Fejers theorem). If f L 1 (, ), the sequence of
Fejers sums converges to f in L1 (, ).
R
Proof. Given f in L 1 , its Fejer sum N (x) = dy f (x + y)N (y) is well
defined, because
R N is a finite sum of trigonometric functions. We show that
kf N k1 = dx |f (x) N (x)| 0 as N .
Z

Z 

kf N k1 = dx 
 dy[f (x + y) f (x)]N (y)

Z Z
dx dy|f (x + y) f (x)|N (y)

The integrals can be exchanged by Fubinis theorem:

Z Z
= dy N (y) dx|f (x + y) f (x)|

The integral in y is split on the intervals [, ] (, ) [, ] where is by

now unspecified but small. Because of the 2-periodicity of the functions, the
first interval is shifted by 2 and added to the third. Then:
Z Z 2 Z
= + dy N (y) dx|f (x + y) f (x)|

The first integral is:

" Z #Z
Z
sup dx |f (x + y) f (x)| dy N (y) sup dx |f (x + y) f (x)|
|y|< |y|<

because Fejers kernel is normalized; the sup-term can be made smaller than ,
for . The second integral is:
" Z #Z
2
2kf k1
sup dx |f (x + y) f (x)| dy N (y) 2
<y<2 N sin ( /2)

It is smaller than provided that N is large enough, once the of the previous
integral is fixed.
Corollary 20.4.3. If f L 1 (, ) has all Fourier coefficients an = bn = 0,
then f = 0 a.e.
Proof. If an = bn = 0 for all n, the Dirichlets sums SN (x) and Fejers sums
N (x) vanish for all N . But II Fejers theorem shows that kf N k1 0 as
N . Then kf k1 = 0 f = 0 a.e.

180
20.5 Convergence in the mean
Proposition 20.5.1. The trigonometric functions
1 1 1
, cos(nx), sin(nx), n = 1, 2, . . .
2

are a complete orthonormal system in L2 (, ).

Proof. If f L2 (, ) then f L1 (, ) (Schwartzs inequality: kf k1 =
(1||f |) 2kf k2 ). f orthogonal to all basis elements (an = bn = 0 n)
implies f = 0 a.e. by Corollary 20.4.3.
By a change of scale, the Fourier basis in L2 (a, b) is (n = 1, 2, . . . ):
r   r  
1 2 2nx 2 2nx
, cos , sin (20.33)
ba ba ba ba ba

If complex functions are used, the following form is more convenient:

 
1 2n
un (x) = exp i x , nZ (20.34)
ba ba

Since {un } is a complete orthonormal set, any function in L2 (a, b) has the Fourier
expansion

X Z b
f= fn un , fn = (un |f ) = dx un (x)f (x) (20.35)
n= a

where convergence is in L2 norm (in the mean): if SN is the partial sum (Dirich-
Rb
lets sum) SN = N 2 2
P
n=N (un |f )un , then kSn f k = a dx |SN f | 0 as
N . Moreover:
Z b
X
kf k22 = dx |f (x)|2 = |fn |2 (Parseval) (20.36)
a n=

What can be said about point-wise convergence? Luzin6 conjectured (1906) that
L2 convergence implies almost everywhere convergence: SN (x) f (x) a.e.
The conjecture was proven by Lennart Carleson7 in 1966 and extended by Hund
to spaces Lp for p > 1. The important case p = 1 has a different story: in 1923
6 Nikolai Luzin and the older Dimitri Egorov were influential mathematicians of Moscows

Mathematical Society during stalinian purges. They were both attacked and censured as re-
actionaries. Egorov was arrested and died one year after. Luzin, a specialist in real analysis,
was processed but rehabilitated. No longer were important papers published on foreign jour-
nals. Luzin had important students, like Aleksandr Khinchin, Andrei Kolmogorov, Mickail
Lavrentiev, Aleksei Lyapunov, Pavel Uryson.
7 L. Carleson, On the convergence and growth of partial sums of Fourier series, Acta Math.

116 (1966).

181
and at the age 19, Andrei Kolmogorov provided a Lebesgue integrable function
such that the sequence of partial sums is a.e. divergent. Two years later he
sharpened it by showing that divergence is everywhere. He became a celebrity
for this result.

20.6 From Fourier series to Fourier integrals

Consider the Fourier expansion of a function on the interval [ L2 , L2 ] :
L/2
ei2kx/L
X Z
f (x) = fk , fk = dy ei2ky/L f (y)
L L/2
k=

where for convenience the two normalization factors L are replaced by L in
the sum. In view of the limit L , introduce the new variable s = 2k/L,
with spacings s = 2/L:
L/2
eisx
Z
f(s) =
X
f (x) = s f (s), dy eisy f (y)
s
2 L/2

If f is integrable, the function f(s) exists for L . If f is sufficiently regular,

it does not change on the scale s, and the sum may be replaced by an integral:
Z
ds isx
Z
f (x) = e dy eisy f (y)
2

According to this formula a function is a continuous superposition of Fourier

components, weighted by a function of the continuous index:
Z
ds
f (x) = eisx (F f )(s) (20.37)
2
Z
dy
(F f )(s) = eisy f (y) (20.38)
2

The second line defines the Fourier integral of f (the factors 2 are often dis-
tributed differently).

182
Chapter 21

BOUNDED LINEAR
OPERATORS ON
HILBERT SPACES

21.1 Linear functionals

The space of linear bounded functionals B(H , C) is H , the dual space of H .
The inner product with a fixed vector (x|) is a linear functional and is bounded,
by Schwartzs inequality. The following theorem proves that such functionals
exhaust all possibilities:
Theorem 21.1.1 (Rieszs lemma). For each F H there is a unique
xF H such that F x = (xF |x) for all x H . In addition kF k = kxF k.
Proof. If Ker F =H then xF = 0. If KerF is a proper subspace, then there
is a vector y orthogonal to it. Any vector x can be decomposed as x =
Fx
(x y FF xy ) + y F y , where the first term belongs to KerF and then is orthog-

onal to y. The evaluation (y|x) = F x (y|y) (F y)
F y shows that xF = y kyk2 . The vector
is unique, for suppose that F x = (xF |x) = (xF |x) for all x, then 0 = (xF xF |x)
i.e. xF = xF .
Because of Schwarzs inequality: |F x| = |(xF |x)| kxF kkxk; equality is at-
tained at |F xF | = kxF k2 . Therefore: kF k = supx |F x|
kxk = kxF k.

Because of the identification of bounded functionals with vectors, Hilbert

spaces are self-dual.

21.2 Bounded linear operators

The linear bounded operators with domain H and range in H form the Ba-
nach space B(H ). The operator set is closed under the involutive action of

183
adjunction:
Theorem 21.2.1. For any linear operator A B(H ) there is an operator
A B(H ) (the adjoint of A)
such that:

= (A x|y)
(x|Ay) x, y H (21.1)

and kA k = kAk.

Proof. Fix x H , the map y (x|Ay) is a linear bounded functional. Then,

= (v|y) for all
by Riesz theorem, there is a unique vector v such that (x|Ay)
y. The correspondence x v is linear, i.e. it defines a linear operator on H :
v = A x.
Equality of norms follows from Schwarzs inequality and boundedness of A:

|(A x|y)| = |(x|Ay)| kxk kAkkyk, if y = A x then kA xk kxkkAk i.e. A is

bounded and kA k kAk.

The proof of equality is left to the reader.

Exercise 21.2.2. Show that:

(A + B)
= A + B
, = A ,
(A) (AB)
=B
A , (A ) = A.

Proposition 21.2.3. Let A B(H ), then Ker A is closed and

H = Ker A RanA = Ker A RanA (21.2)

Proof. Suppose that xn is a sequence in Ker A, and xn x. Then kAx

n Axk


kAkkxn xk 0 i.e. Ax = limn Axn = 0 i.e. x Ker A.
Since Ker A is a closed linear subspace, it is H = KerA (KerA)
.

(RanA ) ={x : (x|y) = 0 y RanA }

={x : (x|A x ) = 0 x H }
) = 0 x H }
={x : (Ax|x
= 0} = KerA
={x : Ax

= RanA . The second equality results after exchanging the

Therefore (KerA)
operators.
This statement is of practical utility. Consider the equation Ax = y; a
solution x exists in H if y belongs to the range of A. Suppose that the range
is a closed set; then y belongs to it if it is orthogonal to all vectors that solve
A x = 0.
= x has a nonzero solution x H , then and x are
If the equation Ax
respectively an eigenvalue and an eigenvector of A, and || kAk.

Exercise 21.2.4. Show that if A B(H ) is invertible with bounded inverse,

then also A is invertible with bounded inverse, and (A )1 = (A1 ) .

184
Definition 21.2.5. An operator A B(H ) is self-adjoint if A = A :

(Ax|y)
= (x|Ay), x, y H

Theorem 21.2.6. The eigenvalues of a self-adjoint operator in B(H ) are real,

and the eigenvectors corresponding to different eigenvalues are orthogonal.
Proof. Let x and x be eigenvectors corresponding to eigenvalues 6= . From

(Ax|x) one obtains = . From (Ax|x
= (x|Ax) ) = (x|Ax ) one obtains

( )(x|x ) = 0 i.e. x x if 6= .
Exercise 21.2.7. Show that if A is normal (i.e. AA = A A),
then eigenvectors

corresponding to different eigenvalues of A are orthogonal.
Exercise 21.2.8. Let A B(H ); show that kA Ak
= kAk
2.

Exercise 21.2.9. If A and B

are bounded and self-adjoint then kABk
= kB
Ak.

Exercise 21.2.10. Prove that if A is bounded and (x|Ax)

= 0 x, then A = 0

(consider the expression 0 = (x + y|A(x + y)) for all , x, y).
Exercise 21.2.11. If A B(H ) and (x|Ax)
is real for all x, then A = A .

Exercise 21.2.12. Show that for a bounded and self-adjoint operator it is:
= sup |(x|Ax)|
kAk (21.3)
kxk=1

= (x + y|A(x
Hint: 4Re(x|Ay) + y)) (x y|A(x
y)). Then 4|Re(x|Ay)|

supkwk=1 |(w|Aw)|(kx + yk2 + kx yk2 ). Then use the parallelogram law, and

set x = Ay/k
Ayk.
Exercise 21.2.13. Show that for a bounded operator it is:
1
2 kAk sup |(x|Ax)| kAk (21.4)
kxk=1

Proposition 21.2.14. If A B(H ) is self-adjoint, then1 :

2
= max |(y|Ax)|
A 0 (x|Ax)

yH (y|Ay)

= 0, then the quotient on the right-hand side is defined to be zero.

If (y|Ay)
1 A. G. Ramm, A variational principle and its application to estimating the electrical

capacitance of a perfect conductor, Am. Math. Monthly 120 n. 8 (2013) 743.

185
21.2.1 Integral operators
Linear integral operators are important, and arise for example in the study of
linear differential equations. Consider the inhomogeneous equation
Z
f (x) = g(x) + dy k(x, y)f (y),

where is a parameter, k is the kernel of the integral operator, g is assigned

,
and f is the unknown function. In operator form it is f = g + Kf
Z
)(x) =
(Kf dy k(x, y) f (y) (21.5)

The appropriate functional setting is suggested by the properties of the function

g and of the kernel k. A solution exists if g belongs to the range of 1 K.

Let be a bounded interval ([0, 1] for definiteness). If k L 2 (Q) (Q is

is a bounded operator on L2 (0, 1): by Fubinis theorem
the unit square) then K
the function y |k(x, y)| is measurable and belongs to L 2 (0, 1); by Schwarzs
)(x)| kk(x, )kkf k2 . Squaring and integration in x gives:
inequality |(Kf
k2 kkk kf k2
kKf

where kkk2 = dxdy|k(x, y)|2 . The adjoint operator is now evaluated2 :

R
Q
Z 1 Z 1 
)=
(h|Kf dx h(x) dy k(x, y)f (y)
0 0
Z 1 Z 1 
= dy h|f )
dxk(x, y)h(x) f (y) = (K
0 0

Z 1
h)(x) =
(K dyk(y, x)h(y) (21.6)
0

The integral operator is self-adjoint if k(x, y) = k(y, x).

Let us enquire about the solution of the integral equation (I K)f = g.
A solution exists if g Ran(I K) i.e. g Ker(I K ). This means that g
must be orthogonal to the eigenvectors K u = (1/)u.
In particular, if ||kKk < 1, it is both Ker (1 K ) = {0} and Ker (1 K) =
{0}, and the operator (1 K) 1
exists with domain H . The operator can be
expanded in a geometric series that converges for any g:
+ 2 K
f = g + Kg 2g + . . .
2 the steps are justified by Fubinis theorem for the exchange of order of integration: let
R R R R
f (x, y) be measurable on M N , then M dm( N dm|f |) < iff N dm( M dm|f |) < and,
if they are finite it is: Z Z  Z Z 
dm dmf = dm dmf
M N N M

186
The powers of the operator are integral operators with kernels k1 (x, y) = k(x, y),
R1
kn+1 (x, y) = 0 du k(x, u) kn (u, y).
Example 21.2.15. Consider the integral equation
Z x
f (x) = g(x) + f (y)dy, a.e. x [0, 1], g L2 (0, 1)
0

It corresponds to the Cauchy problemf = f + g with f (0) = g(0). The kernel

k(x, y) = (x y) has L2 norm 1/ 2, therefore the iterative solution of the
integral equation converges, with kernels kn+1 (x, y) = (x y) (x y)n /n!. The
convergent Neumann series gives
Z x
f (x) = g(x) + dy exy g(y)
0
2
Example 21.2.16. In L (0, 2) (real functions) consider the equation
Z 2
+ g, (Kf
f = Kf )(x) = dy sin(x + y)f (y), R
0

)(x) = f1 sin x + f2 cos x, where f1 = dx cos(x)f (x) and f2 =

R
It is (Kf
is rank 2 and self-adjoint. The problem is
R
dx sin(x)f (x). The operator K
then two-dimensional and the solution, if existent, has the form:
f (x) = (f1 sin x + f2 cos x) + g(x)
By taking the inner products with cos x and sin x we get:
    
1 f1 g1
=
1 f2 g2
where g1 = (cos |g) and g2 = (sin |g) The solution exists for any g and is unique
if 1 2 2 6= 0. Once f1 and f2 are evaluated, it is:
Z 2
sin(x + y) + cos(x y)
f (x) = g(x) + dy g(y)
0 1 2 2
i.e. g Ker(I 1 K)
If = 1/, a solution exists if g Ran(I 1 K) (K is

= u. Up
self-adjoint). The set Ker contains the solutions of the equation: Ku
R 2
to a pre-factor it is: u(x) = sin x + cos x. Then: 0 dx(sin x + cos x)g(x) = 0
and the solution is f (x) = c(sin x+cos x)+g(x) where c is an arbitrary constant.
The case = 1/ is treated similarly.
Exercise 21.2.17. Show that the following linear operator belongs to B(L2 (R))
and it is self-adjoint:
Z
f (y)
(T f )(x) = dy 2
x + y2 + 1
(note that it is not invertible, as all odd-parity functions belong to the kernel).

187
21.2.2 Orthogonal projections
Given a closed subspace M and a vector x, the projection theorem states that
x = p + w, where p M and w M , and the decomposition is unique.
Therefore the projection operator on M , P (M ) : x p, is well defined. For
short we write P for P (M ).
Proposition 21.2.18. The orthogonal projector P is linear, self-adjoint, and
idempotent (P 2 = P ).
Proof. Let x = p + w and x = p + w , then x + x = (p + p ) + (w + w ),
where p + p M and w + w M , , . As the decomposition is
unique, necessarily it is P (x + x ) = p + p = P x + P y.
(x P x|y P y) = (x P x|y) (because x P x is orthogonal to M ), and for
analogous reason (x P x|y P y) = (x|y P y); then (P x|y) = (x|P y).
P 2 x = P p = p = P x, then P 2 = P .
It turns out that these properties uniquely characterise an orthogonal pro-
jection operator. It is convenient to reverse the approach and introduce such
operators through the definition:
Definition 21.2.19. An orthogonal projection operator is a linear operator on
H such that: P 2 = P , P = P .
Remark 21.2.20.
1) The closed subspace where vectors are projected is M = RanP .
2) Let y = x P x, then P y = 0 and (y|P x) = 0 x , i.e. KerP (M ) = M .
3) Since kxk2 = kP x + yk2 = kP xk2 + kyk2 kP xk2 , it follows that kxk
kP xk, with equality holding for x M . Then kP k = 1. Being bounded, P is
continuous.
4) A projector P (M ) has only the eigenvalues 1 and 0, with eigenspaces M and
M , M M = H .
Examples: 1) In L2 (R) the multiplication operator f [a,b] f , where [a,b] is
the characteristic function of an interval [a, b], is an orthogonal projector. The
invariant subspace M is given by functions that vanish a.e. for x / [a, b].
2) The operators (P f )(x) = 12 [f (x) f (x)] are orthogonal projectors on the
orthogonal subspaces of (a.e.) even and odd functions.
Exercise 21.2.21. Let P (M ) and P (M ) be projectors, then:
1) P (M ) + P (M ) is a projector iff M M . In this case P (M ) + P (M ) =
P (M M ).
2) P (M )P (M ) is a projector iff P (M ) and P (M ) commute.
Exercise 21.2.22. Let x1 . . . xn be linearly independent vectors in a Hilbert
space. Write the projection
P operator on the linear subspace spanned by the n
vectors. (Answer: P y = ij xi [G1 ]ij (xj |y), where Gij = (xi |xj ) is Grams
matrix.)

188
 N f )(x) = 2 dyDN (x y)f (y), where DN (x) is the
R
Exercise 21.2.23. Let (D 0
N?
Dirichlet kernel (20.6), and f L 2 (0, 2). What is the operator norm of D
Is it true that limN DN = I in the operator norm?

21.2.3 The position and momentum operators

2
On L [a, b] define the position operator that multiplies a function f by the
= xf i.e. (Qf
function x (x(t) = t): Qf )(t) = tf (t).

The operator is bounded, kQf k max(|a|, |b|) kf k, and it is self-adjoint:
Z b Z b

(g|Qf ) = dt g(t)t f (t) = ).
dt tg(t)f (t) = (Qg|f
a a

The eigenvalue equation Qf = f has no solution in L2 [a, b]: the equation

(t )f (t) = 0 a.e. t [a, b] implies that f = 0 a.e. We may ask if there are
approximate eigenfunctions: kQu uk < kuk. Consider the normalized
1
functions u = 2 [,+] and evaluate
b
2
Z
u k2 =
kQu dt(t )2 u (t)2 = 0
a 3
However, the limit 0 of u does not exist in Hilbert space3 .

A function f is absolutely continuous on [a, b], AC[a, b], if there is a function

h L 1 (a, b) such that:
Z x
f (x) = f (a) + dx h(x ), x (a, b).
a

The functions in AC[a, b] are continuous and differentiable. They form a linear
subset in L p (a, b) for all p. By the theorem of the mean: f (x) = h(x).
The derivative is the linear momentum operator4
(P f )(x) = if (x) (21.7)
2
with domain on AC[a, b] functions such that f L (a, b). If f1 and f2 are
AC[a, b], integration by parts gives:
Z b b

(f1 |P f2 ) = i dxf1 (x)f2 (x) = if1 f2  + (P f1 |f2 ).

a a

The operator is symmetric provided that the boundary terms cancel. This
is achieved if the domain of P is restricted to AC functions with appropriate
boundary conditions (b.c.): f (b) = f (a) = 0 (Dirichlet b.c.), or f (b) = f (a)
(periodic/antiperiodic b.c.) or f (b) = ei f (a) (Bloch b.c. with R). They
produce three different definitions of P (same action but different domains where
it is symmetric).
3 thefunctions do not form a Cauchy sequence: for < it is ku u k2 = 2(1
p
/)
which may not be small as , 0.
f = i~f .
4 physicists introduce Plancks constant, P

189
21.3 Unitary operators
Definition 21.3.1. A linear operator U with domain H and range in H is an
= H the operator is unitary.
isometry if kU xk = kxk for all x. If also Ran U
= {0} i.e. U
1) The conservation of the norm implies that Ker U 1 exists and

x|U
(U y) = (x|y) x, y (21.8)

2) The operator is bounded with norm kU k = 1.

3) (x|y) = (U x|U y) = (U U x|y) x, y, then U U
x = x for all x i.e.

U
U =I (21.9)

Therefore, U = U 1 , and it is a unitary operator: kxk = kU (U

x)k = kU
xk
for all x.
4) If is an eigenvalue of U , then || = 1. Eigenvectors with different eigenvalues
are orthogonal.
5) The product of unitary operators is unitary.
and V are unitary then kU
Exercise 21.3.2. If U AV k = kAk
A B(H ).

Exercise 21.3.3. Let H B(H ) be self-adjoint. Show that the Cayley trans-
1 , is well defined and is a unitary operator. What
form of H, (1 iH)(1 + iH)
is the Cayley transform of a projector?
Exercise 21.3.4. Show that if A is bounded and self-adjoint, the operators
t = eitA , t R, are unitary and form a group. A is the generator of the
U
group (see Sect.18.5.2).

Exercise 21.3.5. P is a projector; evaluate eiP and (z P )1 (z 6= 0, 1).

21.4 Notes on spectral theory

Definition 21.4.1.
Discrete spectrum: z p (H ) if z is an eigenvalue:

= zu
u H such that Au
= {0} i.e. (z A)
i.e. Ker(z A) 1 does not exist.
Continuous spectrum: z c (H ) if z is a generalized eigenvalue:

z
/ p (A), n zun 0.
{un } H , kun k = 1, such that lim Au
n

Remark 21.4.2.
1) If A = A , then p (A)
R.
2) {un } is not a Cauchy sequence. Convergence un u and continuity of A

190

would imply that u is an eigenvector and z p (A).
1
3) If z c (A) the operator (z A) exists, but it cannot belong to B(H ).
Proof: Suppose that it does (then the domain is H and it is bounded):
1 (z A)u
1 = |(un |(z A) n )| k(z A)
1 kkzun Au
nk

since for n the last factor is zero, the other factor cannot be finite.
It turns out that either (z A) 1 has domain H without being bounded, or its
domain is strictly contained in H .
4) Since |(un |(A )un )| kAu n un k, it is = limn (un |Au
n ). Then,
R and || kAk
for self-adjoint operators, it is c (A) (use continuity of the
modulus).
then z c (A ) and {0} = Ker (z A ) = Ran (z A)
5) If z c (A) i.e.
1 1
H = D (z A) . Therefore, either D(z A) = H (but the resolvent is not
bounded) or D(z A) 1 is a proper subset, but dense.

For a bounded operator, the set = p c is the spectrum of the operator.

In summary, if z the following occurs: > 0 u H such that k(z

A)uk kuk. If z the resolvent (z A)
/ (A) 1 exists and it is bounded.

191
Chapter 22

UNITARY GROUPS

The stage for quantum mechanics is the Hilbert space; symmetries are main ac-
tors in the play, and correspond to unitary operators. Of special importance are
groups (subgroups) that depend continuously on one parameter, like rotations
around a given axis, or translations along a given direction. They correspond to
special families of unitary operators. The following theorems are very important
and useful (they are stated without proof1 ).

22.1 Stones theorem

s , s R}, is a strongly
Definition 22.1.1. A family of unitary operators {U
continuous one-parameter unitary group if:
U s+s
s = U
s U
lim kUs x xk = 0 x H .
s0

0 = I and U
It is clear that the group is Abelian, U 1 = U
s . For such groups,
s
the following fundamental theorem holds:
Theorem 22.1.2 (Stones theorem). Let U s be a strongly continuous one-
parameter unitary group on a Hilbert space. Then there is a self-adjoint operator
H such that

s = eisH
U (22.1)

is the generator of the group, with domain

H
s x x
U
= {x H such that lim
D(H) exists},
s0 is
is precisely the above limit.
Hx
1 see for example: K. Schm
udgen, Unbounded Self-adjoint Operators on Hilbert Space,
Springer 2012.

192
Theorem 22.1.3 (Lie-Trotter formula). Let A and B be self-adjoint opera-
tors. If A + B
is self-adjoint on D(A)
D(B),
then:
h in

eit(A+B) x = lim eitA/n eitB/n x (22.2)
n

22.2 Weyl operators

Two important families of unitary operators on L2 (Rn ) are:
translations by vectors ~a Rn :
~a f )(~x) = f (~x ~a),
(U ~a U
U ~a = U
~a+~a (22.3)

multiplication by a phase factor with vector p~ Rn :

i
(Vp~ f )(~x) = e ~ p~~x f (~x), Vp~ Vp~ = Vp~+~p (22.4)

Plancks constant ~ is here introduced to give ~x, ~a the physical dimension of

length, and p~ the dimension of momentum.
The translations along a fixed direction U a~n , a R, and phase multiplications
Vp~n , p R, are strongly continuous one-parameter unitary groups. Stones
theorem implies the existence of self-adjoint generators.
On the dense set of square-integrable analytic functions, a Taylor expansion
gives:
a~n f )(~x) = f (~x a~n) = f (~x) + (a~n )f
(U ~ (~x) + 1 ~ 2 f (~x) + . . .
2! (a~
n )

Therefore, the generator of translations with direction ~n is the self-adjoint op-

~ = P ni Pi , and
erator whose restriction to analytic functions is i~ ~n i
 
~a = exp i ~a P~ ,
U Pk f = i~
f
~ xk

Pk is the generator of translations along the direction k. Momentum operators

are defined and self-adjoint on a dense domain in L2 (Rn ) and act as derivatives
on the subset of analytic functions. The property U ~a U
~a = U
~a U
~a for all vectors

~a and ~a implies, for infinitesimal vectors, the relation [Pi , Pj ] = 0.
The generator of the one-parameter group (Vp~n f )(~x) = exp( ~i p~n ~x)f (~x)
~
is the (unbounded) self-adjoint operator ~n Q, and
 
i ~
Vp~ = exp ~p Q , i f )(~x) = xi f (~x).
(Q
~

i are self-adjoint and commute on a dense domain in L2 (Rn ).

The n operators Q
The generators Q i and Pi i = 1 . . . n form Heisenbergs algebra:

i, Q
[Q j ] = 0, [Pi , Pj ] = 0, i , Pj ] = i~ij
[Q

193
The null commutation relations correspond to the fact that the unitary groups
are Abelian. The mixed commutator, being proportional to the identity opera-
tor, reflects a particularly simple relation among the groups (Weyls commuta-
tion relation):

~a = e ~i p~~a U
Vp~ U ~a Vp~ (22.5)

Proof. (Vp~ U ~a f )(~x) = e ~i p~~x (U

~a f )(~x) = e ~i p~~x f (~x ~a) = e ~i p~~a (Vp~ f )(~x ~a)
i
~a Vp~ f )(~x).
= e ~ p~~a (U

Exercise 22.2.1. Show that the translation operator (U a f )(x) = f (x a) does

2
not have eigenvectors in L (R). (Hint: a periodic function cannot be integrable).
Exercise 22.2.2. Let [A, B]
= iI, A = A and B =B . Show that A and B
cannot be both bounded.
Sketch of the proof: suppose that A and B
are bounded, then [An , B]
= inAn1

and [exp(itA), B] = t exp(itA); conclude that kBk is larger that any real
number.

Exercise 22.2.3 (Scale transformations). On L2 (R) the operators

f )(x) = e/2 f (e x),
(D R (22.6)

are a strongly continuous one-parameter unitary group. On the dense subspace

S (R) (see section on Schwarz space):
1) obtain the generator D P + P Q)
= 1 (Q i.e. D
= exp(iD);

2

Q D
= e Q
and D
P D
= e P .

2) show that D

Scale transformations are related to the Virial property. This is illustrated

for the anharmonic oscillator, H = 1 P 2 + 1 k Q 2 + bQ 4 (b > 0).
2m 2
= E, then E = 1 hP 2 i + 1 khQ
Let H 2 i + bhQ 4 i, where E = hHi = (|H)

2m 2

H
etc. are the average values. The action of a scale transformation is: hD D i =
e2 2m1
hP 2 i + e2 21 khQ
2 i + be4 hQ 4 i. The linear term of an expansion in small
H])
is: i(|[D, = 2 2m 1
hP 2 i + 2 21 khQ 2 i + 4bhQ 4 i. Since the left hand side is
zero for an eigenvector, an identity is obtained among terms that contribute to
the total energy. If b = 0, one gets the equality of kinetic and potential energy
1 2 2 i, that is used, for example,
terms of the harmonic oscillator, h 2m P i = h 21 k 2 Q
in the theory of specific heats.

22.3 Space rotations, SO(3)

Space rotations act on vectors in R3 as 3 3 real matrices R that preserve
lengths, RRt = I3 , and orientation, det R = 1. They form the group SO(3).
Being unitary, rows or colums of R are orthogonal and normalized, eigenvalues
are on the unit circle.
The characteristic polynomial det(zI3 R) is real cubic, then it necessarily has

194
 a positive real zero (equal to one) corresponding to a real eigenvector of R: the
invariant vector R~n = ~n.
The other two eigenvalues may be 1, 1 or 1, 1 (then R is the identity matrix
or a diagonal matrix describing two reflections) or ei with eigenvectors ~u i~v
making with ~n an orthogonal set in C3 . This implies that the vectors ~n, ~u and
~v are orthogonal in R3 . Note that tr R = 1 + 2 cos .
The eigenvalue equation R(~u i~v ) = ei (~u i~v ) i.e. the pair
(
R~u = ~u cos ~v sin
R~v = ~u sin + ~v cos

shows that two vectors rotate under the action of R in the plane perpendicular
to ~n. For the rotation to be anticlockwise, the orientation ~n = ~v ~u is chosen.
Every vector ~x can be expanded in the orthonormal basis: ~x = xn ~n + xu ~u + xv ~v
where xn = ~x ~n etc. The action of R is:

R~x = xn~n + xu (~u cos ~v sin ) + xv (~u sin + ~v cos )

= xn~n + (xu ~u + xv ~v ) cos + (xv ~u xu~v ) sin
= xn~n + (~x xn~n) cos + ~n ~x sin
= ~x cos + (1 cos )(~n ~x)~n + ~n ~x sin

Exercise 22.3.1. Write the rotation as a matrix on the column vector (x, y, z)t .
The invariant unit vector ~n that identifies the rotation axis and the rota-
tion angle measured anticlockwise, are a useful parameterization of rotations.
Well soon discover that the parameters ~n and combine in a vector ~n .
The expansion for an infinitesimal angle provides the neighborhood of the iden-
tity matrix, which is extremely instructive in the study of groups with analytic
dependence on parameters (Lie groups):

Rx = ~x + ~n ~x + . . . = (I3 + A + . . .)~x

0 n3 n2
A = n3 0 ~
n1 = ~n A (22.7)
n2 n1 0

0 0 0 0 0 1 0 1 0
A1 = 0 0 1 , A2 = 0 0 0 , A3 = 1 0 0
0 1 0 1 0 0 0 0 0

The rotations with same invariant vector form a commutative subgroup:

R(~n1 )R(~n2 ) = R(~n(1 + 2 )) (22.8)

~ + . . . ) = R(~n( + )). Since

If one angle is infinitesimal: R(~n)(I3 + ~n A
the factors can be exchanged, one concludes that the matrices of the subgroup

195
R(~n) commute with ~n A~ (then, they have the same eigenvectors). Moreover,
by taking the limit to zero:
d ~
R(~n) = (~n A)R(~
n) (22.9)
d
with the initial condition R(0) = I3 . Since factors commute, the solution is

~
R(~n) = e ~nA (22.10)

~ is the generator of rotations along the direction ~n. The three

The matrix ~n A
matrices Ai are the generators along the three coordinate directions, and are a
basis for antisymmetric matrices.
Real antisymmetric matrices form a linear space that is closed under the oper-
ation A, A [A, A ]. The commutator is a Lie product2 , and the linear space
with Lie product is the Lie algebra so(3) of the SO(3) group. Because Ai are a
basis, the Lie product of two basis matrices is expandable in the basis itself,

[Ai , Aj ] = ijk Ak (22.11)

The coefficients3 ijk are the structure constants of so(3) and are typical of the
rotation group.
Let z 3 + az 2 + bz + c = 0 be the characteristic polynomial det(z I3 M ) of a 3 3
matrix M ; Cayley-Hamiltons theorem states that M 3 + aM 2 + bM + cI3 = 0.
The theorem implies that it is possible to expand the exponential of a 3 3
matrix into a sum of powers:
~ ~ + (~n A)
~ 2
R = e(~nA) = I3 + (~n A)

If the identity is acted on the three eigenvectors of R (that are also eigenvectors
~ with eigenvalues 0, i) a linear system is obtained: 1 = , ei =
of (~n A)
i . The coefficients are evaluated and one re-obtains the explicit general
form of a rotation matrix:
~ 2
R(~n) = I3 + sin (~n A) + (1 cos )(~n A) (22.12)

Each rotation is identified by a vector ~n in the ball of radius . A diameter

corresponds to the subgroup of rotations with same rotation axis; the two op-
posite points ~n at the surface give the same rotation and must be identified.
The diameter is then a circle, the center of the sphere is the unit of the group.
Therefore, the manifold of parameters is a sphere with opposite points at the
surface being identified (a bundle of circles through the origin). The identifi-
cation makes the manifold doubly connected: two rotations (two points A, B
2 In a linear space X, a Lie product is a bilinear map : X X X such that x x = 0,

x y = y x, (x y) z + (y z) x + (z x) y = 0 (Jacobi property).
3
123 = 1 and cyclic, 213 = 1 and cyclic, zero otherwise. Note that the vector product
of two real vectors is (~a ~b)i = ijk aj bk .

196
of the manifold) may be connected by two inequivalent paths (one path cannot
be continuously deformed into the other). A choice is: the chord AB, the path
that joins A to the surface at a point C = C (antipode) and continues to B.
Example 22.3.2. Find the angle and the invariant vector of the rotation

0 3 1
R = eA , A = 3 0 5 .
1 5 0

Note that A = At is normal and shares with R the same eigenvectors. There-
fore if z is an eigenvalue of A, ez is eigenvalues of R. The invariant vector
solves A~n = 0 i.e.

0 3 1 n1 5
3 0 5 n2 = 0 ~n = 1 1
(22.13)
1 5 0 n3 35 3
3

The eigenvalues of A solve 0 = det(zI
3 A) = z + 35z. They are 0, i 35.
The angle of rotation is therefore 35 radiants (mod. 2).
Since the rotation angle is positive if anticlockwise with respect to the direction
of ~n, we must decide the sign of ~n. This can be done by checking the infinites-
imal rotation of a conveniently chosen vector: a rotation with same axis but
infinitesimal angle is I3 + 35 A + . . . . The vector ~v = (0, 0, 1)t transforms to
~v + ~v where
1

~v = 5 = ~n ~v
35 0
provided that ~n is chosen with the upper sign in (22.13).

22.3.1 SU(2)
More fundamental than SO(3) for the theory of rotations is the group SU (2) of
unitary 2 2 complex matrices, U U = I with det U = 1:
 
z w
U= , |z|2 + |w|2 = 1 (22.14)
w z

The parameters span the surface of the unit sphere in R4 , which has no bound-
ary, and is simply connected. Another parameterization of SU (2) is obtained
by solving the constraints:

U (~n) = cos i~n ~ sin (22.15)
2 2
i are the Pauli matrices. It is simple to check that the expression corresponds
to the exponential representation:
i
U (~n) = e 2 ~n~ (22.16)

197
The generators i /2 are a basis for traceless Hermitian 2 2 matrices, which
is the Lie algebra su(2) of SU (2), with Lie product H, H i[H, H ]. The
structure constants are the same of su(3):
h j i k
i
i = ijk
, (22.17)
2 2 2

The exponential map takes the Lie algebra to the Lie group:

exp : su(2) SU (2).

Despite the diversity of SO(3) and SU (2), their exponential representations are
formally identical: only a replacement of the basis matrices changes one into
another, the structure constants being the same.
Now the parameter space is the ball in R3 of radius 2. However, all the sur-
face points correspond to the single matrix of inversion: U (~n 2) = 1.
Therefore, the manifold is a bundle of circles (the diameters are the one param-
eter subgroups) with points (matrices) ~n 2 in common.
This parameter space, or the surface of the unit sphere in R4 (|z|2 + |w|2 = 1)
are simply connected manifolds: this makes SU (2) more fundamental (covering
group) than SO(3).
Exercise 22.3.3. Show that U ~ U = R~ , R SO(3). Therefore both U
correspond to the same R matrix.

22.3.2 Representations
From the point of view of physics, space rotations are a subgroup of the Galilei
and of the Lorentz groups of symmetries for physical laws.
An observer O is specified by an orthonormal frame ek , which can be identified
materially by rigid rulers for measuring positions, at right angles at a point (the
origin). A rotated observer O is an orthonormal frame e k with same origin
and orientation. A point P has coordinates xk linked by a rotation matrix to
the coordinates measured by O: xk = Rkj xj .
Suppose that O and O measure in every point some quantity (a field). In the
simplest case the quantity is a number (a scalar) that is a property of the point.
They measure two scalar fields f and f , and the values of the two fields at the
same physical point P (of coordinates x and x ) must be the same:

f (x) = f (x ), i.e. f (x) = f (R1 x) (22.18)

If they measure a vector field (for example a force field), they measure a physical
arrow at each point. Since they use rotated frames, the components of the arrow
at a point are different:
X X
Vk (x)ek = Vk (x )e k , Vk (x) = Rkj Vj (R1 x) (22.19)
k k

198
The two laws describe the transformation of a scalar field and a vector field under
rotations. A spinor 1/2 field is a two component complex field that transforms
with a SU (2) rotation:

a (x) = U (R)ab b (R1 x) (22.20)

If the (scalar, spinor, vector or whatever) fields F and F measured by O

and O are thought of as points in the same functional space, the rotation
of coordinates R induces a map UR : F F . Since fields can be linearly
combined, the map is asked to be linear. Moreover, if two rotations R and R
are done in the order, the observer O is linked to O by x = R Rx, and thus
F = UR R F i.e. maps form a linear representation of the rotation group:

U R R = U R U R (22.21)

Let us consider some relevant cases.

Think of a scalar field f as a point in L2 (R3 ). A rotation induces the

linear map f = U R f defined by (U R f )(x) = f (R1 x). The operators U R are

unitary because Lebesgues measure is rotation invariant, then UR1 = UR .
The rotations with fixed direction ~n correspond to a commutative subgroup
parameterized by the angle: U ~n ()U~n ( ) = U
~n ( + ) (they are a strongly
continuous one-parameter group). By Stones theorem there is a self-adjoint
n)
~n () = e ~i L(~
(unbounded) generator such that U . The self-adjoint opera-
n) is the generator of the one parameter group, and corresponds to the
tor L(~
projection along ~n of the orbital angular momentum. A simpler approach is to
restrict to the set of analytic functions and consider an infinitesimal rotation:
~n ()f )(~x) =f (~x ~n ~x + . . .)
(U
f
=f (x) (~n x)k (x) + . . .
xk
1 ~ )(~x) + . . .
=f (x) ~n (Lf
~

~ =Q
L ~ P~ (22.22)

x, L
The three operators L y and L
z satisfy the Lie algebra

1 k
[Li , Lj ] = ijk L (22.23)
i~

and generate the unitary subgroups representing rotations around the three co-
~
n) = ~n L.
ordinate axis. For the axis ~n it is L(~

199
 For a 1/2 spinor field, the expansion near unity of (22.20) gives
   
~ i ~ + . . . b (~x)
[U (~n )]a (~x) = I i ~n + . . . I ~n L
2 ab ~
i ~ ab b (~x) + . . .
= a (~x) (~n J)
~
k
ab are the components of the Pauli matrix k . The generator is the projection of
the total angular momentum, which is the vector sum of spin and orbital angular
momentum operators, acting independently on spin variables (components a, b)
and on position variables:

J~ = S
~ +L
~ (22.24)

where S~ = ~ ~ are the spin operators (matrices) for spin 1/2 particles.
2
Also in this case the algebra is that of angular momentum (rotation group):

1
[Ji , Jj ] = ijk Jk . (22.25)
i~

Exercise 22.3.4. Show that [J2 , Ji ] = 0, where J2 = i Ji2 .

P

200
Chapter 23

UNBOUNDED LINEAR
OPERATORS

Many operators of interest are unbounded, and are defined on a subset of the
Hilbert space. The domain (D), the range (Ran) and the kernel (Ker) of a
linear operator are linear subspaces. If the kernel contains only the null vector
the operator is injective and the inverse operator exists (and is linear).

23.1 The graph of an operator

The graph of a real function f is the set (x, y) in R2 , where x is in the domain of
f and y = f (x). A very useful tool is the graph of a linear operator, introduced
by Von Neumann:
Definition 23.1.1. The graph of a linear operator is the set
= {(x, y) : x D(A),
G(A) y = Ax}
(23.1)

It is a subset of H 2 = H H , with elements X = (x, y). H 2 is a linear space

with the rules X = (x, y) and X + X = (x + x , y + y ), and a Hilbert space
with inner product
(X|X ) = (x|x ) + (y|y ).
The norm is kXk2 = kxk2 + kyk2 . Completeness is readily proven: if Xn is
a Cauchy sequence, kXn Xm k2 = kxn xm k2 + kyn ym k2 < for all
n, m > N , then xn and yn are separately Cauchy sequences and then converge
to x and y. The pair X = (x, y) is the limit of Xn in H 2 : kXn Xk2 =
kxn xk2 + kyn yk2 0.

The graph is a linear subspace in H 2 . Conversely, a linear subspace S is

the graph of a linear operator if (x, y) S and (x, y ) S imply y = y (the
assignment x y is unique). This is equivalent to: (0, y) S y = 0.

201
 If the inverse of the operator A exists, its graph is

G(A1 ) = {(y, x) : (x, y) G(A)}

(23.2)

Definition 23.1.2. A linear operator A is an extension of a linear operator A

G(A ) (in other words: D(A)
if G(A) D(A ) and A = A on D(A)).

23.2 Closed operators

A graph is a closed set if every Cauchy sequence Xn in the graph converges to a
point X in the graph (a Cauchy sequence Xn is convergent, by the completeness
of H 2 ; the point is that the limit X must be in the graph).
Definition 23.2.1. A linear operator A is closed if its graph is a closed set.
This definition is an example of how useful the concept of graph is. Without
it, the definition is: A is closed if xn in D(A)
such that xn x and Ax ny

x D(A) and y = Ax.

Remark 23.2.2.
1) A is closed does not mean that D(A) is closed nor that A is continuous:

it only means that D(A) contains the limit points of convergent sequences such
that also the sequence Ax n converges, and converges to the image of the limit
point (the graph is very useful to visualize this).
2) If A is closed, Ker A is a closed subspace.
3) The inverse of a closed linear operator, is closed.
If the graph G(A) of a linear operator is not closed, the set can be always
by adding the frontier. The closure is still a linear
extended to its closure G(A)
1
subspace and it is the smallest closed extension of the set. However, it might
not be a graph of a linear operator, as it may fail to have the property (0, y)
y = 0.
G(A)

Definition 23.2.3. If G(A) the operator A is

is the graph of a linear operator A,
= G(A).
the closure of A, and it is the minimal closed extension of A. It is G(A)

is not a graph of a linear operator, then A has

Proposition 23.2.4. If G(A)
no closed extensions.
is not a graph, it contains a point (0, y) with y 6= 0. Suppose
Proof. If G(A)
that A has a closed extension Ac ; then G(A)
is necessarily a proper subset of
c c
G(A ). But if (0, y) G(A ), the set cannot be the graph of an operator.
The property of being a closed operator is important. In this presentation
it will be a prerequisite for the introduction of the spectrum.
1 If two limit points X and X belong to the frontier there are two sequences X and X
n n
convergent to them. X + X belongs to the closure because it is the limit of Xn + Xn
that

belongs to the graph, a linear space.

202
23.3 The adjoint operator
Let us enquire about the existence of the adjoint operator. According to the
definition given for bounded operators, the adjoint operator should map x
D(A ) to an element x such that (x |y) = (x|Ay)
for all y D(A).
The vector

x corresponding to x must be unique; suppose that there are two such vectors,
i.e. x x D(A)
then (x x |y) = 0 for all y D(A), . Since we need

x = x , it must be {0} = D(A) i.e. H = D(A)

= D(A) i.e. A must be
densely defined.
Proposition 23.3.1. If A is a densely defined linear operator, then the adjoint
A exists, it is a linear operator, and the domain is the maximal set

D(A ) = {x H : y D(A)
x s.t. (x |y) = (x|Ay)},

A x = x .

This is the relation between A and its adjoint:

(A x|y) = (x|Ay),

x D(A ), y D(A) (23.3)

The requirement that the domain of the adjoint is maximal, implies the following
statement:
Proposition 23.3.2. Let A be densely defined. If A is an extension of A,
then
the adjoint of A is an extension of the adjoint of A :

A A A A

(23.4)

The graphs of A and A are closely related. Let us introduce the involution
V (x, y) = (y, x). It has the properties: (V X|X ) = (X|V X ), V (S ) =
(V S) , V 2 X = X, V 2 S = S (S is a linear subspace).

Proposition 23.3.3 (Graph of the adjoint operator).

G(A ) = (V G(A))
(23.5)

Proof. If (x, x ) G(A ) then x D(A ) and, for all y D(A),

= (x |y) (x|Ay)
(x|Ay) + (x | y) = 0 ( (Ay,
y) | (x, x ) ) = 0

in the inner product of H 2 . Then: X G(A ) (V X |X) = 0, X G(A).

This gives (X |V X) = 0 i.e. V G(A ) = G(A) i.e. G(A ) = V (G(A) ) and the
statement is obtained.
This characterization of the graph of the adjoint has an important corollary.
is a linear subspace (not necessarily the graph of a linear operator),
Since V G(A)
its orthogonal complement G(A ) is closed, and so is the operator:

203
Corollary 23.3.4. The adjoint of a linear operator is a closed operator.
Proposition 23.3.5. If A is densely defined, then Ker A = (RanA)

Proof. (RanA) = {x H : (x|Ax ) = 0, x D(A)} = {x H :

(A x|x ) = 0, x D(A)}. Since A is densely defined the set is {x H :
A x = 0} = KerA .
Suppose that also A is densely defined: then A exists and is closed (be-
cause it is the adjoint of A ). We show that it is the closure of A:

Proposition 23.3.6. A = A.

Proof. G(A ) = V (G(A )) = (G(A))

= G(A)
= G(A).

Corollary 23.3.7. A = (A ) = A = A because A is closed.

23.3.1 Self-adjointness
In applications one often encounters operators that are densely defined and
symmetric. The issue is then to establish a self-adjoint extension for them.
Self-adjointness is a requirement for an operator to represent an observable in
quantum mechanics.
Definition 23.3.8. A densely defined linear operator A is symmetric if

(Ax|y)
= (x|Ay),
x, y D(A) (23.6)

The definition is equivalent to the statement A A . Then A is a closed

However, the smallest closed extension
extension of the symmetric operator A.

of A (if it exists) is A = A . Then, in general (the last inclusion holds for a
symmetric operator), A A = A A .
Exercise 23.3.9. Show that the eigenvalues of a symmetric operator are real,
and the eigenvectors with different eigenvalues are orthogonal.
Definition 23.3.10. A densely defined operator A is self-adjoint if A = A .

1) If A is self-adjoint then it is closed, and A = A = A = A .

2) If A is symmetric and A is a self-adjoint extension of it, then A A =
A A . Therefore the self-adjoint extension of A, if it exists, is between A

and A .

3) If A is self-adjoint it is KerA = (RanA) , i.e.

H = KerA RanA (23.7)

An intermediate situation is A A and A = A . Since A = A , it is

A = A . This occurs frequently in practice, and deserves a definition:

204
Definition 23.3.11. A densely defined operator is essentially self-adjoint if
A is symmetric and A is self-adjoint.

If A is essentially self-adjoint: A A = A = A . The closure is the unique

self-adjoint extension of A (suppose that B is another self-adjoint extension and

A B; then B = B A, which is impossible).
Example 23.3.12. The position operator (Q 0 f )(x) = xf (x) is well defined

on the domain S (R) of C functions of rapid decay (see chapter), which is a
linear space dense in L2 (R). The domain is invariant under the action of Q 0,

and Q0 is symmetric on it:
0 |) = (|Q
(Q 0 ), , S

The domain of Q is the set of functions f L2 (R) such that there is g L2

0
0 ) S (R). This is:
such that (g|) = (f |Q
Z
(g xf ) dx = 0, S (R).
R

Since S is dense in L2 , this means g = xf a.e., i.e.

Z
D(Q ) = {f L2 (R) s.t. |xf |2 dx < }, f = xf
Q
0 0
R

This domain contains S . What about Q ? The iteration of the above con-
0
struction shows that the domain is unchanged and Q = Q . Therefore Q
0 is
0 0

essentially self-adjoint, and the operator Q = Q0 is the self-adjoint extension of
Q 0.

23.4 Spectral theory

Consider a nn matrix A. The resolvent set (A) is the set of complex numbers
z such that z A is invertible. This means that Ker (z A) = {0}, i.e. the
eigenvalue equation Au = zu has only the trivial solution u = 0. The matrix
(z A)1 is called the resolvent of A at z.
The set (A) = C/(A) is the spectrum; for finite matrices it consists of at most
n eigenvalues zi for which the equation Au = zu has a non-trivial solution.
In infinite dimensional Hilbert spaces, the situation for the spectrum is more
complex. We require from the beginning the operator A to be closed.
The following theorem due to Banach is relevant:
Theorem 23.4.1 (closed graph theorem). Let A be a linear operator with a
closed domain. Then A is continuous if and only if A is closed.
Proof. If A is continuous and xn x is a convergent sequence in D(A),
then

x D(A) (by hypothesis) and Axn Ax. The two circumstances imply that

205
the operator is closed.
H:
Consider the two maps X, Y : G(A)

X : (x, Ax) x, Y : (x, Ax) Ax

They are one-to-one and continuous. The operator X 1 exists and is continuous.
Then A = Y X 1 is continuous.
By the general theorem 18.3.7, if A has a closed domain, A is continuous if
and only if A is bounded.

23.4.1 The resolvent and the spectrum

Hereafter A is a closed linear operator. If z A is invertible, the operator

R(z) 1
= (z A) (23.8)

is closed and it is named the resolvent of A at z C. The domain of the

The best properties occur for z as follows:
resolvent is Ran (z A).

Definition 23.4.2. If R(z) exists with domain H , then z belongs to the re-

solvent set (A).

Being closed with domain H the resolvent R(z) is bounded by the closed

graph theorem, i.e. R(z) B(H ).
Proposition 23.4.3.
is an open set in C.
1) (A)
i.e. it admits a norm-convergent power
2) R(z) is an analytic function on (A),
P
expansion on any disk in the resolvent set: R(z) = n=0 Cn (z z0 )n .
prove the resolvent identity:
Exercise 23.4.4. For z1 , z2 (A)

R(z 2 ) = R(z2 ) R(z1 )
1 )R(z (23.9)
z2 z1
R(z
Hint: start from (z2 z1 + z1 A) 2 ) = 1.
= (A)
Definition 23.4.5. The closed set C/(A) is the spectrum of A.
It
may be decomposed in the following subsets:
= p (A)
(A) c (A)
r (A)
(23.10)

the pure, the continuous and the residual spectrum,

= {z : 6 (z A)
p (A) 1 }, (23.11)
= {z : (z A)
c (A) 1 Ran(z A)
= H }, (23.12)
= {z : (z A)
r (A) 6= H }.
1 , Ran(z A) (23.13)

206
Les us comment on this partition:
z p means that resolvent does not exist i.e. Ker (z A) 6= {0}, i.e. the
equation Au = zu has solution in D(A). Therefore p is the set of eigenvalues.
In a separable Hilbert space it can be at most countable.
z means that the resolvent (z A)
/ P (A) 1 exists. There are three disjoint
possibilities: the resolvent has domain H (and is necessarily bounded, z ),
the domain of the resolvent is dense in H (the resolvent cannot be bounded,
z c ), the closure of the domain of the resolvent is a subset of H (z r ).
R.
Proposition 23.4.6. The spectrum of a self-adjoint operator is real: (A)
= {0}, and
Proof. Suppose that = 1 + i2 and 2 6= 0. Then Ker ( A)
1 exists with domain Ran( A)
( A) that is dense in H (the same holds
for ). The inequality
2 = k(1 A)xk
k( A)xk 2 + |2 |2 kxk2 > 0

implies k( A)xk
for all x D(A) 2 |2 |2 kxk2 > 0, i.e. ( A)
1 is bounded.

This implies that (A).
Definition 23.4.7. A resolution of the identity (or spectral family) is a
t , t R} such that:
family of projection operators {E
s = Emin(t,s)
Et E (23.14)
lim kE t x E
s xk 0, x H (23.15)
ts+
t x = 0,
lim E t x = x,
lim E x H (23.16)
t t+

t and E
1) If E s belong to the spectral family, property (23.14) implies that they
commute: Et E t .
s = Es E
2) The closed subspaces Mt = RanE t have the properties:
\ \ [
Ms Mt if s t, Ms = Mt , Mt = {0}, Mt = H
t>s tR tR

3) For t s, define E(s,t] = Et Es . The operator is a projector. Property

(23.15) says that kE(t,t+] xk 0, as 0+ . Of interest is the weak limit

1
lim (E(t,t+] x|y)
0+

4) For generic x, introduce the positive measure x ((s, t]) = (x|E(s,t] x) =

kE(s,t] xk2 , s t. In particular x ((, s]) x ((, t]) x (R) = kxk2 .
The complex measures xy ((s, t]) = (x|E(s,t] y) can be expressed via the polar-
ization formula, as a combination of positive measures with vectors x y, x iy.
5) The support of the spectral family is the closure of the set of t-values such
that E t 6= 0 and Et 6= 1.

207
Example 23.4.8. In L2 (R) consider the projection operators

(Et f )(x) = (,t] (x)f (x), t R.

t } is a spectral family: property (23.14) follows from (,t] (,s] = (,u]

{E
where u = min(s, t); property (23.15): for t s+ it is
Z
t f Es f k2 = (s,t] (x)|f (x)|2 dx 0
kE

by Lebesgues dominated convergence theorem. The same Rtheorem proves prop-

erties (23.16). The spectral measure is f,g ((, t]) = (,t] f g dx. By the
general theory of Lebesgue integral, f,g is a continuous function of t and is a.e.
differentiable:
df,g (t) = (f |dEt g) = f (t) g(t) dt
If F is a bounded real continuous function, it is
Z Z Z

(f |F (Q)g) = f (t) F (t)g(t) dt = =
F (t) df g (t) = F (Q) F (t)dEt
R R R

This is the spectral theorem for multiplication operators.

Theorem 23.4.9 (The spectral theorem). If A is a self-adjoint operator,
t such that
there is a unique spectral family E
( Z )
D(A) = xH : t2 (x|dEt x) < (23.17)

(A)
Z
A x = t x.
t dE (23.18)
(A)

208
Chapter 24

SCHWARTZS SPACE
AND FOURIER
TRANSFORM

24.1 Introduction
As Laurent Schwartz (1915-2002) recalls, his great intuition of distributions
came one night in 1944, just after the liberation of France. The two volumes
Theorie des distributions were published in 1950, and the same year he received
the Fields medal with Atle Selberg1 . Similar work on generalized functions
was done by the Russian mathematicians Israil M. Gelfand and his collabo-
rator E. Shilov. Earlier contributors to the ideas were S. Bochner, J. Leray,
K. Friedrichs and S. Sobolev. Distributions are the natural frame for the study
of partial differential equations, and play a dominant role in the formulation of
quantum field theories.
In general, distributions are defined on the basis of a set of very well-behaved
test functions . The linear and sequentially continuousRfunctionals are the
distributions. They include integral functionals F [f ] = dxf (x)(x) where
f can be very general, because of the good properties of . Some analytic
properties of test functions may then be reversed to such general(ized) functions
through duality.
R For example, the derivative f can be defined as the functional
F [f ] = dxf (x) (x), which coincides with F [f ] if f is differentiable

(integrate by parts). In this manner one obtains a calculus for generalized

functions, always to be understood in the weak sense of a duality relation.
Test functions are often taken in two sets: the space D(Rn ) of C functions
with compact support in Rn , and the larger Schwartz space S (Rn ) of rapidly
1 The Fields golden medal is assigned every four years by the International Mathematical

Union to mathematicians not older than 40. It was established by the Canadian professor
J. C. Fields. The only Italian in the Fields list is Enrico Bombieri (1947).

209
 Figure 24.1: Laurent Schwartz (Paris 1915, Paris 2002).

Figure 24.2: Israel Gelfand (Odessa 1913, New Brunswick 2009). At the
age of 16 Gelfand already attended lectures at Moscows State University, and
when he was 19 he was admitted directly to the graduate school. He completed a
doctorate on abstract functions and linear operators in 1935 under Kolmogorov.
He started a famous weekly Mathematics Seminar, and devoted much effort
to education of young mathematicians. In 1990 he moved to USA. He won
three Orders of Lenin and the first Wolf prize in mathematics (1978), with
Siegel. He gave important contributions to functional analysis and theory of
representations of groups.

decreasing C functions. The dual spaces are respectively the space of distri-
butions D (Rn ) and the smaller space of tempered distributions S (Rn ).
Because of their relevance in quantum physics and Fourier analysis, we restrict
our presentation to Schwartzs space (in n = 1) and its dual. There are other
motivations: S is left invariant by the important multiplication and derivation
operators, and the Fourier transform is a bijection on it2 .
2 Bibliography: Reed and Simon Functional Analysis, Academic Press; Blanchard and

Bruning, Mathematical Methods in Physics, Birkhauser (2003).

210
24.2 The Schwartz space
Definition 24.2.1. The Schwartz space S (R) of rapidly decreasing functions
is the set of C functions : R C such that for all m, n N:

kkm,n = sup |xm (Dn )(x)| < (24.1)

xR

Hereafter D = d/dx. The functions and their derivatives fall off at infinity more
quickly than the inverse of any polynomial. By the obvious properties:
1) kkm,n = || kkm,n ,
2) k1 + 2 km,n k1 km,n + k2 km,n ,
the Schwartz space is a linear space, and k km,n is a family of seminorms for it
(actually each one is a norm on S ).

S (R) C (R) (Banach space of bounded continuous functions with sup norm):

kk = sup |(x)| = kk0,0 <

xR

S (R) L 1 (R). The following trick is used frequenly:

dx
Z Z
kk1 = dx |(x)| sup |(1 + x2 )(x)| (kk0,0 + kk2,0 )
R x R 1 + x2
S (R) L p (R). Use the inequality:
Z Z
p p
kkp = dx|| = dx||p1 || kkp1
kk1 .
R R
1 2
The space contains the functions e 2 x xn and the Hermite functions:
1 1 x2
hn (x) = p e 2 Hn (x). (24.2)
n
2 n!

24.2.1 Seminorms and convergence

Definition 24.2.2. A sequence of functions r converges to in S (R) if:

kr km,n 0, m, n.

Convergence in S (R) is very restrictive, as this example illustrates: the

1 (rx)2
sequence r (x) = 2r e is uniformly convergent to zero (kr k0,0 0),
2
but it does not converge for all seminorms: kr k0,1 = supx |xr e(rx) | =
2
supy |yey | 6= 0.
Definition 24.2.3. A sequence r in S (R) is a Cauchy sequence if it is Cauchy
for every seminorm, i.e.

, m, n N,m,n such that kr s km,n < r, s > N,m,n .

211
Theorem 24.2.4. S (R) is complete in the seminorm topology3 (every Cauchy
sequence is seminorm-convergent).
Proof. If r is a Cauchy sequence in S (R) then, for all (m, n), the sequences
xm Dn r are Cauchy sequences in the sup norm and converge to functions
m,n C (R) (which is complete in the sup-norm). In particular r 0,0 .
If we show that m,n (x) = xm (Dn 0,0 )(x) for all x, it follows that kkm,n =
supx |m,n (x)| < and therefore 0,0 S (R) and r 0,0 also in the
seminorm topology. Rx
Consider the identity (xm Dk r )(x) = (xm Dk r )(0) + 0 D(y m Dk r )(y)dy.
Convergence in r is uniform, Rso we may take the limit r also in the
x
integral: m,k (x) = m,k (0) + 0 [mm1,k (y) + m,k+1 (y)]dy. Therefore m,k
is differentiable for all m, k and

Dm,k = mm1,k + m,k+1 .

For m = 0: D0,k = 0,k+1 , i.e. 0,k = Dk 0,0 ; this also implies that 0,0
can be differentiated any number of times resulting in continuous functions that
decay to zero at infinity. The previous identity gives the following one:

m,k+1 xm 0,k+1 = D(m,k xm 0,k ) m(m1,k xm1 0,k )

Iteration provides m,k+1 xm 0,k+1 as a linear combination of powers of deriva-

tives of the simpler functions m,0 xm 0,0 . To show that m,k = xm Dk 0,0
it is then sufficient to prove that m,0 = xm 0,0 . This is done here:

|m,0 xm 0,0 | |m,0 xm r | + |xm r xm 0,0 |

sup |m,0 xm r | + |x|m sup |r 0,0 |
x x
(1 + |x|m ), r > N

where both and N are independent of x (uniform convergence).

Exercise 24.2.5.
1) Show that k k0,2 is a norm in S (R).
2) Show that convergence in S (R) implies L2 convergence.
Proposition 24.2.6. The linear operators (Q 0 )(x) = x(x) and (P0 )(x) =

i (x) on S (R) are continuous in the seminorm topology.
Proof. The identity Dn (x) = xDn + nDn1 implies kQ0 km,n = supx
|xm Dn (x)| kkm+1,n +nkkm,n1. Similarly: kP0 km,n = supx |xm Dn | =
kkm,n+1 . If k 0 then Q0 k 0 and P0 k 0.

Exercise 24.2.7. Show that the operator P0 is invertible. What is the domain
of the inverse operator?
3 such spaces are named Frech
et spaces.

212
24.3 The Fourier Transform in S (R)
A main motivation to introduce the Schwartz space is the special behaviour of
the Fourier transform in this space.
Definition 24.3.1. The Fourier transform and antitransform of a function in
S (R) are:
dx
Z
(F )(k) = eikx (x) (24.3)
R 2
dx
Z
(F 1 )(k) = eikx (x) (24.4)
R 2
The notation anticipates that F F 1 = 1: this will be a main result to
prove. The transforms are related by (F 1 )(k) = (F )(k) and are well
defined, as S (R) L 1 (R).
Theorem 24.3.2. The Fourier transform F and antitransform F 1 are con-
tinuous maps of S (R) on itself.
Proof. We must show that all seminorms of (F )(k) are finite:
n
 m
m d dx d
Z
n
k (F )(k) = (ix) (x) i eikx
dk n R 2 dx
 m
dx ikx d
Z
= ... = e i [(ix)n (x)]
R 2 dx
Pm
Multiply and divide by 1 + x2 and note that Dm (xn ) = p=0 cp xnp Dmp
(cp = 0 if n p < 0, and the precise values of cp have no relevance here). Then:
p m
X
kF km,n /2 |cp |(kknp,mp + kknp+2,mp ) <
p=0

Then F S (R). The Fourier transform is also continuous (a sequence

seminorm-convergent to zero is mapped to a sequence seminorm-convergent to
zero). The same conclusions hold for F 1 .
2
Lemma 24.3.3. If is in S (R) and E (x) = ex ( 0), then E in
S (R) as 0.
Proof. The product E is C and belongs to S (R) and
kE km,n = sup |xm Dn (E )(x)|
x

In the right-hand side, each derivative of E produces a factor . Then, the term
with no derivatives of E is to be considered in the limit:
2
lim kE km,n = lim sup(1 ex )|xm (n) (x)|
0 0 x
2
For x = 0 the function is zero, for x 6= 0: (1 ex ) 2x2 . The limit is
zero.

213
Theorem 24.3.4 (Inversion theorem).

dk
Z
(x) = eikx (F )(k) (24.5)
R 2

Proof. The double integral is meaningful because F S (R):

dk dy
Z Z
I(x) = eikx eiky (y)
R 2 R 2
To circumvent the difficulty that the two integrals cannot be exchanged, let
2
us replace (F )(k) with ek (F )(k) S (R). The new function E F
converges to F as 0 point-wise and in the seminorm topology. Since F 1
is continuous:

F 1 (E F ) F 1 F in S .

We must show that the first difference vanishes. Lets evaluate

dk dy
Z Z
2
I (x) =F 1 (E F ) = eikxk eiky (y)
R 2 R 2
dk k2 +ik(xy) 1
Z Z Z
2
= dy (y) e = dy (y) e(xy) /4
R R 2 R 4
The function multiplies the Heat kernel, whose integral is one. Then:
2 2
ey /4 ey /4
Z Z
I (x) (x) = dy [(x + y) (x)] = dy (y ) y
R 4 R 4
where Lagranges theorem was used, and y is a point between x and x + y.
2
ey /4
r

Z
|I (x) (x)| sup | ()| dy |y| =2 kk0,1
R 4

As 0 the limit is zero, for all x.

Corollary 24.3.5. (F 2 )(x) = (x); F 3 = F 1 , F 4 = 1.
Proof. (F 2 )(x) = (F 1 F )(x) = (x); (F 3 )(x) = (F 2 F )(x) =
(F )(x).
Proposition 24.3.6. The Hermite functions (24.2) are eigenfunctions of the
Fourier transform:

(F hn )(k) = (i)n hn (k) (24.6)

214
Proof. The Fourier transform is evaluated on the generating function of Hermite
2 2
polynomials H(t, x) = et +2tx , multiplied by ex /2 :

dx dy (it)n
Z Z
1 2 2 2 y2 X k2
e 2 x et +2tx eikx = et 2ikt e 2 iky = Hn (k)e 2
R 2 R 2 n=0
n!

The change y = x2t is done in the first integral. By comparing the same powers
x2 2 P n x2
of tn in e 2 t +2tx = n=0 tn! e 2 Hn (x), and using Hn (x) = (1)n Hn (x),
one obtains the desired result:
Z
dx x2 k2
e 2 Hn (x)eikx = (i)n e 2 Hn (k) (24.7)
2

Proposition 24.3.7. In the inner product of L2 (R):

(|F ) = (F 1 |), , S (R) (24.8)

(F |F ) = (|), kF k2 = kk2 (24.9)

Proof.
dx
Z Z Z
dk(k)(F )(k) = dk(k) eikx (x)
R 2
ZR R
dk
Z Z
ikx
= dx (x) (k)e = dx (x)(F 1 )(k)
R R 2 R

The other relations follow.

2 2
Example 24.3.8 (Fourier transform of xn ea x ).
dx n a2 x2 ikx n dx in n k22
Z Z
2 2
x e e = in n ea x ikx = e 4a
R 2 k R 2 a 2 k n
Rodrigues formula (11.20) is used to evaluate the derivatives, and the result
contains the Hermite polynomial of degree n:
k2  
dx n a2 x2 ikx 1 1 k
Z

4a 2
x e e = n
e Hn (24.10)
R 2 (2ia) a 2 2a
The unitarity (24.9) of the Fourier transform gives the integral identity:
2inp
   
k k
Z Z 2 2
(a2 +b2 )x2 n+p k2 a4a+b
dx e x = n+1 (2b)p+1
dke 2 b2
Hn Hp
R (2a) R 2a 2b
Note that n and p must have the same parity (or the result is zero). The left
hand side is evaluated by the change x2 = t and gives a Gamma function4 .
4 A useful source of tabulated integrals is Gradshteyn - Ryzhik, Tables of Integrals, Products

and Series, Academic Press.

215
 2
Exercise 24.3.9. Evaluate the Fourier transform of ex (x + a)n .
Proposition 24.3.10.
0 F = F P0 ,
Q P0 F = F Q
0, (24.11)

Proof. Integrate by parts. Boundary terms cancel because is of rapid decrease:

dx d
Z

(Q0 F )(k) = k(F )(k) = (x) i eikx
R 2 dx
dx ikx d
Z
= e (i) (x) = (F P0 )(k)
R 2 dx
The other equality is proven similarly.
Exercise 24.3.11. Show that the operators P02 + Q
2 and F commute.
0

24.4 Convolution product

Definition 24.4.1. The convolution product of two functions in S (R) is
Z
( )(x) = dy (x y) (y) (24.12)
R

Exercise 24.4.2. Prove that the convolution product is commutative.

Theorem 24.4.3. S (R) if and are in S (R). The map
is linear and continuous,

F ( ) = 2 (F )(F ) , (F ) (F ) = 2 F () (24.13)

The convolution product is commutative, associative and distributive.

Proof. The convolution of two functions in S is in S :
Z m
X Z
|xm Dn ()(x)| dy|xm Dzn (z)||(y)| c dy|z mDzn (z)||y (y)|
R =0

where z = x y and c are binomial coefficients,

1 + y2
X Z X
c kkm,n dy|y (y)| 2
c kkm,n(kk,0 + kk+2,0 )
1+y

The Fourier transform:

dx ikx
Z Z
F ( )(k) = e dy(x y)(y)
2
Z Z
dx
= dy(y)eiky eik(xy) (x y) = 2(F )(k) (F )(k)
2

216
The other relation follows: replace , by F , F ; then F (F
F )(x) =
2(x)(x). Apply F 1 = F 3
and obtain F F = 2F ().
The identity F [(1 2 )3 ] = 2F (1 2 )F (3 ) = 2 F (1 )F (2 )F (3 )
shows that the product is associative.
A special case is the autocorrelation function. Define the involution (x) =
(x). Then:
Z
( )(x) = dy (x + y)(y) (24.14)
R

dy|(y)| , F ( )(x) =
2
2|F (x)|2 .
R
It is: ( )(0) = R

24.4.1 The Heat Equation

In one space dimension the heat (or diffusion) equation is

2
 
1
2 u(x, t) = 0 (24.15)
D t x

The Heat Kernel is the function of time t > 0 and space coordinate x:
(x y)2
 
1
Kt (x y) = exp (24.16)
4Dt 4Dt
As a function of x it is peaked in y, with height decreasing in time; its space
integral is one at all times t. The heat kernel solves the heat equation with
initial condition K0 (x y) = (x y). It describes the diffusive spread in time
of a quantity (temperature, pollutant density ...) that is initially delta-localized

in x = y. The width of the Gaussian grows with the square root law Dt.
Since the equation is linear, the linear superposition of heat kernels with
parameters y weighted by a function (y) is also a solution; it is the convolution:
Z
u(x, t) = (Kt )(x) = dyKt (x y)(y) (24.17)

It solves the Heat equation with the initial condition u(x, 0) = (x).
The same result is obtained with the aid of Fourier integral. Put
dk
Z
u(x, t) = eikx u (k, t)
R 2
in the Heat equation, and obtain the first order equation
1 d 2
(k, t) + k 2 u(k, t) = 0
u (k, t) = C(k)eDtk
u
D dt
The initial condition imposes C(k) = u (k, 0) = (k).
The solution in xspace
is then obtained:
dk
Z
2
u(x, t) = eikxk Dt (k)

R 2

217
This is the Fourier antitransform of the product of two Fourier transforms:
2
(k)
and ek Dt . Then it coincides (up to numerical factor) with the convolu-
tion product (24.17) of the Heat kernel and the initial condition, i.e. (24.17).

24.4.2 Laplace equation in the strip

Consider the Laplace equation in the strip < x < , 0 y 1 with
boundary conditions (b.c.):

uxx + uyy = 0, u(x, 0) = u0 (x), u(x, 1) = u1 (x) (24.18)

For simplicity, u0 , u1 S (R). With the Fourier representation

Z
dx
u(x, y) = eikx u (k, y) (24.19)
2

Laplaces equation gives: k 2 u+

uyy = 0, i.e. u
(k, y) = Ak exp(ky)+Bk exp(ky).
The functions Ak and Bk are determined by the b.c. At y = 0: u 0 (k) = Ak +Bk ;
1 (k) = Ak ek + Bk ek . Then:
at y = 1: u

sinh[k(1 y)] sinh(ky)

u
(k, y) = u
0 (k) +u
1 (k)
sinh k sinh k
To evaluate u(x, y) by (24.19) we exploit the properties of the convolution.
Lets identify u as products of Fourier transforms: u(k, y) = u0 (k)S1y (k) +
u
1 (k)Sy (k) where Sy (k) is evaluated with the Residue theorem (see ex.14.3.18):
Z r
dk ikx sinh(ky) sin(y)
Sy (k) = e =
2 sinh k 2 cosh(x) + cos(y)

The Fourier transform (24.19) becomes the sum of two convolutions, and the
solution of the Laplace equation in the strip is obtained:
1
u(x, y) = [(Sy u1 )(x) + (S1y u0 )(x)]
2
Z
sin(y) u1 (x ) sin(y) u0 (x )
 
1
= dx + .
2 cosh[(x x )] + cos(y) cosh[(x x )] cos(y)

218
Chapter 25

TEMPERED
DISTRIBUTIONS

.. Depuis lintroduction par Dirac de la fameuse fonction (x), qui serait nulle
R +
partout sauf pour x = 0 et serait infinie pour x = 0 de telle sort que dx (x) =
+1, les formules du calcul symbolique sont devenues plus inacceptables pour la
rigueur des mathematiciens. Ecrire que la fonction dHeaviside (x) egale a 0
pour x < 0 et a 1 pour x 0 a pour derive la fonction de Dirac (x) dont
la definition meme est mathematiquement contradictoire, et parler de derivees
(x), (x) ... de cette fonction denuee dexistence reelle, cest depasser les
limites qui nous sont permises ... (L. Schwartz, Theorie des Distributions,
Hermann & C. Paris, 1950)

25.1 Introduction
The linear functionals on Schwartzs space provide a generalization of ordinary
functions that is very useful in the theory of differential equations and in the
spectral theory of operators.
A linear continuous functional is a linear map f : S (R) C such that for any
seminorm-convergent sequence k 0, the sequence of complex numbers f k
converges to zero.
A sufficient condition for continuity is boundedness with respect to a seminorm
(or a finite sum of seminorms): there are a constant Cf and a seminorm such
that:
|f | Cf kkk,m S (R).
Definition 25.1.1. The space of continuous functionals on S (R) is S (R), the
space of tempered distributions.
It is a linear space with the linear operations (f + g) = f + (g). If f and

219
g are sequentially continuous, so are their linear combinations1 .
The regular distributions are the integral functionals
Z
f = dxf (x)(x)
R

where the function f is locally integrable (i.e. integrable on any compact subset
of the line) and algebraically bounded: there are a constant C > 0 and an
integer n > 0 such that |f (x)| C(1 + |x|n ) for all x. Then:
Z
|f | C dx(1 + |x|n )|(x)| C sup(1 + |x|n )(1 + x2 )|(x)|
R x
C(kk00 + kk2,0 + kkn,0 + kk2+n,0 )

Definition 25.1.2. A sequence fn of tempered distributions converges to a

tempered distribution f if fn f S (R).
Example 25.1.3. The sequence fn (x) = cos(nx) has no limit R as a function.
However, in the distributional sense it has limit zero: f n = R dx cos(nx)(x) =
1 1
R R
n R dx sin(nx) (x). Then |f n | n R dx | (x)| n (kk 0,1 + kk2,1 ) 0
as n , for all , i.e. fn 0 in S (R).
Remark 25.1.4. We shall adopt Diracs bra and ket notation to write the
action of any tempered distribution on a test function:

f = < f | >

Regular distributions extend the action of functionals as inner product on L2 .

If f L2 (R): < f | >= (f |).
Exercise 25.1.5. Show that the linear bounded functionals on L2 (R) are tem-
pered distributions.

25.2 Special distributions

25.2.1 Diracs delta function
The Diracs delta at a point a R is the functional

< a | > = (a) (25.1)

Since | < a | > | kk0,0 , the functional a is continuous. It is customary

(and convenient) to write the action of the Rfunctional as if it were a regular one,
with generalized function (x a): a = R dx (x a)(x).
There are several approximations of Diracs delta by regular distributions; this
one is particularly important:
1 A nice and instructive presentation is: I. Richards and H. Youn, Theory of distributions:

a non-technical introduction, Cambridge University Press (1990).

220
Proposition 25.2.1. The following function converges to a in S (R) as
0+ (Lorentzian or Cauchy distribution):
1
(25.2)
(x a)2 + 2
Proof. For any the function is integrable and normalized. Lets show that for
any test function , the action on converges to (a) as 0. This amounts
to the vanishing of the integral
Z
(x) (a) (a + x) + (a x) 2(a)
Z
dx 2 + 2
= dx
R (x a) 0 x2 + 2
R1 R
The integral is split into 0 + 1 . In the first integral Lagranges formula is
used for the differences: |(a x) (a)| = | ( )|x (where is some point
in the interval). Then the modulus of the first integral is majorized by
Z 1
2 x dx
sup | (s)| 2 2
= kk0,1 log[(1/)2 + 1]
s 0 x +
The modulus of the second integral is majorized by:
Z  
4 dx 4 1
sup |(s)| = kk 00 arctan
s 1 x2 + 2 2

Both terms vanish for 0+ .

The following regular distributions also converge to a in S (R) as 0+
(proofs are simple and left as exercise)
1 1 2 1
e (xa) , [a,a+] (x) (25.3)
2
Exercise 25.2.2. Show that the sequences converge to 0 :

2 p 2 sin(nx)
2
x2 (2 x2 ), .
x
(Hint for the second case: the function [(x) (0)[1,1] (x)]/x is in L 1 (R)
for S (R). Use the Riemann-Lebesgue theorem 26.1.3).

25.2.2 Heavisides theta function

Consider the functional a , a R,
Z
< a | > = dx (x) (25.4)
a

It is a regular functional, with function (x a) = [a,) (x).

221
Exercise 25.2.3.
Prove the distributional limits (n )2

1) [0,n] (x),

0
x<0
2) fn (x) = x n
x = [0, 1] (x 1)

x=1 x>1

1
3) (x).
enx + 1

1
25.2.3 Principal value of xa
1
The function xa has a non-integrable singularity in x = a and thus it does not
1
yield a regular distribution. One then defines the principal value of xa as
the functional

(x)
Z
1
< P xa | >= P dx (25.5)
R xa

The principal value is:

Z a Z  Z
(x) (a + x) (a x)
lim dx + dx = lim dx ;
0 +
a+ x a 0
+ x

the limit 0+ exists: use Lagranges formula on the interval x 1, and

the triangle inequality on x 1:
  Z
1
< P xa | > 2(1 ) sup | (x)| + dx(|(a + x)| + |(a x)|)
 
x 1
2kk0,1 + 2kkL1

The L1 norm is majored by seminorms, therefore the principal part is a tempered

distribution. Note the equivalence of the expressions:
Z Z
(a + x) (a x)
lim dx = dx log x [ (a + x) + (a x)]
0+ x 0

25.2.4 The Sokhotski-Plemelj formulae

The following identities among distributions are extremely useful in the study of
Green functions (differential equations, potential theory, linear response theory,
2 The function 3) with n = k T and x = E
is the Fermi-Dirac distribution, which gives
B
the average number of identical fermions with energy E, in thermal equilibrium at temperature
T and chemical potential > 0. The limit Fermi distribution, ( E), describes the state
of minimal energy (e.g. electrons in metals).

222
spectral theory of operators)3 :

1 1
lim =P i(x a) (25.6)
0+ x a i xa

The limit is distributional, i.e.

(x) (x)
Z Z
lim dx =P dx i (a), S (R)
0 +
R x a i R xa

Proof. The real part is the distribution with action

Z
(x a)(x) x(x + a) x
Z Z
dx 2 + 2
= dx 2 + 2
= dx 2 [(a + x) (a x)]
R (x a) R x 0 x + 2
Z p
= dx log x2 + 2 [ (a + x) + (a x)]
0

R
which, for 0, converges to P xa (see previous section). The imaginary
part is a regular distribution that converges to the delta function:

Z
dx 2 + 2
(x) (a).
R (x a)

Exercise 25.2.4. Prove the identity, for real x, y, and , > 0:

dx
   
1 1 1 +
Z
2
Re
Re
= (25.7)
R x x + i x y + i (x y)2 + ( + )2
Therefore, for x 6= y and in the limit + 0+ :
dx P P
Z
2
= (x y) (25.8)
x xx y
Exercise 25.2.5 (Hilbert transform). The Hilbert transform of a function
is
dx f (x )
Z
(H f )(x) = P
(25.9)
R xx

By means of (25.8) show that (H 2 )(x) = (x). Therefore, the solution of

the integral equation H f = g is f = H g.
3 The identities were discovered by Sokhotski in 1873, and proven rigorously about thirty

years later by Josip Plemelj. Given a Cauchy integral on a curve (it can be open or closed)
d f ()
Z
F (z) = , z/
2i z

and the H older condition |f () f (0 )| A| 0 | (A, > 0) for all , 0 , the identities
establish the limits F (0 ) as z approaches a point 0 different than endpoints, from the
left or the right sides of .
The identities are frequently used in theoretical physics with the path given by the real axis.

223
Exercise 25.2.6. Show that this is a tempered distribution:
1 h Z (x) (0)
Z
(x) (0) i
< P 2 | >= lim dx + dx (25.10)
x 0+ x2 x2
Can you suggest a generalization to define P (1/xn )?
Example: zeros of large-n Hermite polynomials
Let x1 . . . xn be the (real) zeros of the Hermite polynomial Hn (x): we wish to
evaluate their density when n is large. The polynomial solves the differential
equation Hn (x) 2x Hn (x) + 2n Hn (x) = 0, which becomes Webers equation
for the Hermite function (the equation for the harmonic oscillator in quantum
mechanics):
1 1 2
hn (x) + (x2 2n 1)hn (x) = 0, hn (x) = p e 2 x Hn (x).
n! 2n
If x2 > 2n + 1, hn (x) and hn (x) have the same sign, and vanish at infinity.
Therefore, as |x| decreases from , |hn (x)| increases. For a zero to occur the
curvature hn must change sign, and the function may start to point to the real
axis. In conclusion, the zerosof Hn (x) are confined in the interval x2 < 2n + 1.
Rescale the zeros xi = si 2n, (i = 1 . . . n); if a limit distribution
Pn exists the
rescaled zeros si are described by a density (s) = limn n1 i=1 (s si )
with expected support = [1, 1]. To evaluate the density lets introduce the
useful function Fn (z), with its limit function:
n
1X 1 (s)
Z
Fn (z) = F (z) = ds z /
n i=1 z si z s

For large |z| it behaves as 1/z. By the Sokhotski-Plemelj identity:

1
(s) = Im F (s i) (25.11)

The limit function F (z) is obtained from Fn (z) by noting that
n
Hn (x) X
r  
1 n x
= = Fn
Hn (x) i=1
x 2n si 2 2n

A derivative in x and the equation Hn (x) 2xHn (x) + 2nHn (x) = 0 give the
Riccati equation
1
F (z) + Fn2 (z) 4zFn (z) + 4 = 0
n n
In the large-n limit the derivative is neglected: F 2 (z) 4zF
(z) + 4 = 0. The
solution with correct large z asymptotics is: F (z) = 2z 2 z 2 1. Eq.(25.11)
gives the semicircle law:
(
2
1 s2 if |s| < 1
(s) = (25.12)
0 if |s| > 1

224
It is a remarkable fact that the semicircle law also describes the distribution of
eigenvalues of Hermitian matrices with random matrix elements, in the large n
limit.

Example: Semicircle law of GUE random matrices

The study of random matrices in physics was started by Wigner and Dyson
in the Fifties as a reference model for the statistical properties of sequences of
nuclear resonances. For example, it was noticed that the energy separations
s of two resonances normalized by an average value, obey the same statistical
2
laws P (s) s eks of random matrices (k is a constant, is a characteristic
exponent with values 1 for real symmetric matrices, 2 for complex Hermitian
matrices and 4 for quaternionic self-dual). Note the feature of level repulsion:
small spacings are rare. The application was then successfully extended to the
study of quantum systems with chaotic classical motion, transport in mesoscopic
structures, spectra of Dirac matrices in QCD, molecular spectra, statistical me-
chanics on random graphs, random surfaces, etc. The subject is still evolving
in several unexpected directions, with beautiful mathematics4 .
The Gaussian unitary ensemble (GUE) of matrices consists of Hermitian
matrices with matrix elements Hii = xii , Hij = xij + iyij , where xii , xij and
yij (i < j) are indipendent random numbers with Gaussian distribution. The
normalized probability measure on GUE matrices is
r
Y n 2 Y 2n 2 2
p(H)dH = enxii dxii e2n(xij +yij ) dxij dyij
i
i<j

The Gaussian measures for the independent matrix elements combine to give the
probability measure exp(ntrH 2 ). Therefore GUE is invariant under the action
of unitary matrices H U HU . Unitary invariance implies the factorization
of the matrix measure into a (Haar) measure on the unitary group SU(N) and
a joint probabiliy density for the eigenvalues i :
1 Y P 2 1 2
p(1 . . . n ) = (j j )2 en i = en U(1 ...n )
Z i<j Z
1X 2 2 X
U (1 . . . n ) = i 2 log |i j |.
n i n i<j

with normalization constant Z = d1 . . . dn exp(n2 U ). The density van-

R
ishes for degenerate eigenvalues, i.e. degenerate eigenvalues are rare (level re-
pulsion with = 2)5 .
For large n, the highest contribution to the probability density comes from the
set of eigenvalues that minimize the potential energy U . This configuration
4 see: The Oxford Handbook of Random Matrix Theory, G. Akemann, J. Baik and

P. Di Francesco Editors, Oxford University Press (2011); M. L. Mehta, Random Matrices,

3rd Ed. Elsevier (2004); P. Forrester, Log-Gases and Random Matrices, Princeton University
Press (2010).
5 A simple argument for level repulsion. Let x, y be the real eigenvalues of the 2 2 GUE

225
determines the statistical properties of eigenvalues of GUE matrices for n .
It has the interpretation of minimal energy state of a bidimensional gas of n
charged particles in a harmonic potential. The configuration solves the system
r
U 2X 1 X 1 n
= 0 i.e. i = xi = , xi = i
i n j i j j
xi xj 2

The solution is found by a nice trick: define the polynomial p(x) = (x

x1 ) (x xn ). By eq.(9.2) the condition becomes: xi = p (xi )/p (xi ) i.e.
the polynomial p (x) xp (x) must be zero at x = x1 , . . . , xn . Since it is of
degree n, it is proportional
to p(x) itself. Then p (x) xp (x) + np(x) = 0, with
solution p(x) = Hn (x 2). Therefore, for n the eigenvalues of a random
GUE matrix (with probability one) have a semicircle distribution with radius
determined by the variance of the Gaussian (in this case the radius in 21 n).

25.3 Distributional calculus

Important operations such as conjugation, derivative, Fourier transform, may
be extended simply and naturally from well behaved functions (such as test
functions or functions associated to regular distributions) to distributions (gen-
eralized functions, which may be as awkward as a delta function). The procedure
reproduces the steps of this first example.

Complex conjugation has a natural definition

R if the distribution is regular:
if f is the regular distribution < f | >= dx f (x)(x), its complex conjugate
is the distribution f with action < f | >= dx f (x)(x) = < f | >. As the
R

last equality does not depend on f being a regular distribution, it provides the
extension:
Definition 25.3.1. The complex conjugate of a distribution f is the distribu-
tion

< f | >= < f | > (25.13)

Example 25.3.2. The Diracs delta is real: a = a .

Along the same line one defines the multiplication of a tempered distribution
by a C function g that is algebraically bounded with all its derivatives6 . It is
the tempered distribution

< gf | >=< f |g > (25.14)

matrix:  
a b ic
q
, |x y| = (a d)2 + 4b2 + 4c2
b + ic d
To have x = y we need simultaneously that the random numbers a d, b and c are zero: this
is very unlikely. For random real symmeric matrices (GOE) it is c = 0 and level repulsion is
weaker ( = 1).
6 g(x) = cos(ex ) is bounded and smooth, but g (x) is unbounded

226
25.3.1 Derivative
Consider a regular distribution with a function f C 1 (R) such that f still
defines a regular distribution. Then:
Z Z
< f | >= dx f = dx f = < f | > .

This evaluation suggests the definition of the derivative of any distribution:

Definition 25.3.3. The derivative of a distribution f is the distribution f with
action

< f | > = < f | > (25.15)

As derivation is a continuous operator on S (R), the derivative of tem-

pered distributions gives tempered distributions, and is linear and continuous
on S (R). One can evaluate as many derivatives of a distribution as wanted.
Example 25.3.4. Derivative of Heavisides functional
R a .
By definition: < a | >= < a | >= a (x)dx = (a). Therefore:
a = a , or
d
(x a) = (x a)
dx
Example 25.3.5. Derivative of a . By definition: < a | >= (a).
d d d
Exercise 25.3.6. Show that: dx |x| = signx, < dx a | >= da < a | >.
Example 25.3.7. The distributional derivative of F (x) = (x2 m2 ), (m > 0)
R m R
is by definition: < F | >= dx (x) m dx (x) = (m) + (m)
=< m m | >. As an identity among generalized functions one writes:
d
(x2 m2 ) = (x m) (x + m).
dx
d 2 2
Remark 25.3.8. In ordinary calculus one would write: dx (x m ) = 2x (x2
m2 ), leading to the conclusion
1 1
(x2 m2 ) = [(x m) (x + m)] = [(x m) + (x + m)]
2x 2m
This can be generalized; the evaluation of the derivative of (f (x)), where f is a
smooth real function with isolated zeros x1 , . . . , xn , leads to the useful formula:
n
X (x xk )
(f (x)) = (25.16)
|f (xk )|
k=1

We state but not prove the following characterization of tempered distribu-

tions:

227
Theorem 25.3.9. Every tempered distribution is the distributional derivative
of finite order of a continuous algebraically bounded function: f S (R)
there is a continuous function such that |(x)| C(1 + |x|n ) for some C and
n, and k 0 such that
Z
< f | >=< (k) | >= (1)k dx (x) (k) (x).

25.3.2 Fourier transform

To extend the Fourier transform to distributions, start from regular functionals.
Suppose that both f and F f are functions that produce regular distributions
(for example f is in S ). Then:
dk
Z Z Z
< F f | >= dx(F f )(x)(x) = dx (x) eikx f (k)
R 2
Z R R
dx ikx
Z
= dk f (k) e (x) =< f |F >
R R 2
The extension to all distributions is:
Definition 25.3.10. The Fourier transform of a tempered distribution f is the
distribution F f with action

< F f | >=< f |F > (25.17)

Proposition 25.3.11. The Fourier transform F : S (R) S (R) is invert-

ible (F F 1 f = f ) and continuous.
Proof. Continuity and the inversion property are exported from the same prop-
erties in S (R): < F 1 F f | >=< F f |F 1 >=< f |F F 1 >=< f | >.
Since the Fourier transform is linear, it is enough to check continuity in the ori-
gin: let fn 0 in S (R) then < F fn | >=< fn |F > 0 i.e. F fn 0.
Example 25.3.12. Fourier transform of a .
eiax
Z
< F a | >=< a |F >= (F )(a) = dx (x).
R 2
The Fourier transform of Diracs delta is the regular distribution with function:

eiax
(F a )(x) = (25.18)
2

In particular: 1 = 2 F 0 (= 2 F 1 0 ).
The same result is obtained by exploiting the continuity of the Fourier transform,
acting on a regular approximation of a . For example:
1 1
u (x) = , (F u )(x) = e|x|ixa (25.19)
(x a)2 + 2 2

228
As a family of regular distributions, for 0 the sequence u converges to
a . The sequence of Fourier transforms also converges in S and the limit is
(25.18).
Example 25.3.13. The following approximation of the delta function is useful:

sin(N x)
lim = 0 (25.20)
N x

A simple proof based on continuity of the Fourier transform: since [N,N ] 1

in S (R), then F [N,N ] 20 .
Example 25.3.14.
(n)
F xn = in 2 0 (25.21)

< F xn | >=< 1|xn F >= (i)n < 1|F (n) >. Since 1 = 2F 1 0 , it is:
(n)
< F xn | >= (i)n 2 < 0 |(n) >= in 2 < 0 | >
1
Example 25.3.15. Fourier transform of P xa .

dx dk dk dx ikx
Z Z Z Z
1
< F P xa | >= P eikx (k) = (k)eika P e .
xa R 2 R 2 R x

The Principal-value integral is:

dx ikx sin(kx)
Z Z
P e = i dx = i sign(k).
R x R x

Then we obtain the regular distribution

r

(F P 1
xa )(k) = i sign(k)eika (25.22)
2
Example 25.3.16. Fourier transform of a .

dy
Z Z
< F a | >=< a |F >= dx eixy (y)
a R 2
Since integrals cannot be exchanged, introduce a convergence factor and consider
the Fourier transform of the distributions a, (x) = ex a (x) ( > 0). As
a, a and the Fourier transform is continuous in S , it is
Z
dy
Z
< F a | >= lim+ dx ex eixy (y)
0 a R 2
Z
dx 1 eiay
Z Z
= dy (y) eixyx = dy (y)
R a 2 R i 2 y i

229
In the last line it is understood that the limit 0+ is taken. The limit can
be done after the action on a test function is evaluated (this is the meaning of
convergence of distributions). We obtain F a as a limit of regular distributions:
1 eiax
(F a )(x) = . (25.23)
i 2 x i
Inversion gives a useful representation of Heavisides function:

dk eik(xa) dk eik(xa)
Z Z
(x a) = = (25.24)
2i k i 2i k + i

Example 25.3.17. Fourier transform of the sign-function.

A convergence factor is introduced, and the limit 0+ is understood.
dy
Z Z
< F sign| >=< sign|F >= dx sign(x)e|x| eixy (y)
R R 2
dx ixy|x| 1 2ik
Z Z Z
= dy (y) e sign(x) = dy (y)
R R 2 R 2 y 2 + 2
Therefore we have the sequence in of regular distributions:
r r
1 2ix 2 1 2 1
(F sign)(x) = = i Re = i P (25.25)
2 x2 + 2 x + i x
The Plemelj-Sokhotski formula was used in the last equality.
Exercise 25.3.18. Evaluate the Fourier transform of the following generalized
functions: 1) (x a); 2) log |x|; 3) exp(ix), R.
Exercise 25.3.19. What is the Plemelj-Sokhotski identity after Fourier trans-
form?

25.4 Fourier series and distributions

Definition 25.4.1. A tempered distribution f is periodic with period if
< f |U >=< f | >, where (U )(x) = (x ).
We state a generalization of Fourier series (but omit the proof), that is well
defined as a distribution although it may not converge as an ordinary function:
Theorem 25.4.2. f is a periodic tempered distribution if and only if there
are constants cn with |cn | < C(1 + |n|k ) for some k, such that
   
X 2n X Z 2n
f= cn exp i x , i.e. < f | >= cn dx (x) exp i x
R
nZ nZ

or, equivalently:
X X
 
2n
Ff = 2 cn 2n/ , i.e. < F f | >= 2 cn

nZ nZ

230
 P
Example 25.4.3. Consider
P the periodic distribution x = nZ x+n , with
action < x | >= n (x + n ). The series is well defined because is
in S (R), and defines a periodic function g(x) with period . Then, g can be
expanded in Fourier series: g(x) = n gn ei(2/ )nx .
P

25.5 The Kramers - Kronig relations

The theory of linear response evaluates the effects produced on a system by
the coupling to a weak time-dependent field (t), in the linear approximation.
The physical requirement of causality, i.e. the effect on the system may only
depend on the fields values at earlier times, has general implications that are
described by the Kramers - Kronig relations for the response function.
Let g(t) be the value at time t of a measurable quantity of the system in
presence of the perturbation, and g0 (t) be the value of the same quantity in
absence of the perturbation. In the linear approximation, the variation g(t) =
g(t) g0 (t) is linearly related to the external perturbation through a response
function R(t, t ) that only depends on the variables of the unperturbed system:
Z t
g(t) = R(t, t ) (t )dt

The integral involves the history of the system at times less than t because of
the physical requirement of causality.
If the properties of the unperturbed system are time-independent (as in ther-
mal equilibrium), the response function depends on t t and the integral is a
convolution:
Z
g(t) = (t t )R(t t ) (t )dt (25.26)

Hereafter we consider this very common situation.

In frequency space the convolution (25.26) becomes the product of the Fourier
transforms7, and the linear response takes the simple form of a direct propor-
tionality between response and driving field at the same frequency:

g() = ()() (25.27)

Notable examples are: J = E, M = H, D = E (where each quantity

depends on , with possible further dependence on wave-vector). The response
function () is the generalized susceptibility. It is evaluated with the aid of the
7 In physics it is customary to define the Fourier transform of a function of time as f() =

(t)eit , with inverse f (t) = R d f()eit . In this section we use this convention.
R R
R dtf 2

231
Fourier representation (25.24) of the theta function:
Z

() = d(t t ) ei(tt ) (t t )R(t t )
R

d ei s
Z Z
= ds eis
R(s)
R R 2i i
d 1
Z Z

=
ds ei( +)s R(s)
R 2i i R
Z )
d R(
=
R 2i i

This representation shows that (), as a function of complex frequency, is

analytic on Im 0. This is a consequence of causality and, in turn, it implies
the Kramers - Kronig relations. They were obtained independently in 1926 and
1927, and relate the real and imaginary parts of the response in space:
Proposition 25.5.1. Suppose that () 0 if || ; for real it is:

d Im ( ) d Re ( )
Z Z
Re () = P , Im () = P (25.28)

Proof. Consider the integral

( )
Z
d
R + i

The path of integration is closed with a semicircle in the upper half plane, where
is analytic. The integral vanishes, and the Plemelj-Sokhotski formula is used:

( )
( )
Z Z
0= d = P d i()
R + i R

Separation of real and imaginary parts gives the relations.

25.6 The Gelfand triplet

Well prove that the Hermite functions are a complete orthonormal system in
L2 (R), therefore the Schwartz space S (R) is dense in L2 (R), i.e. any square-
integrable function is the limit of a L2 norm-convergent sequence of rapidly de-
creasing functions.
By Rieszs theorem L2 (R) is self-dual, i.e. each function f can be viewed as
a linear sequentially continuous functional on L2 (R) and thus as a tempered
distribution (up to conjugation):

| < f | > | = |(f|)| kf k2 kk2 const.kf k2 sup(1 + x2 )|(x)|

x

232
for all test functions. Therefore we have the relation (Gelfand triplet):

S (R) L2 (R) S (R) (25.29)

The structure is useful for extending operators on domain including S (R) to

S (R), and to give meaning to expansions of L2 functions in terms of generalized
functions.

25.7 Linear operators on distributions

Suppose that an operator A : S (R) S (R) is linear and continuous (conver-
gent sequences are mapped to convergent sequences, in the seminorm topology).
If f is a tempered distribution, the functional < f |A > is a tempered dis-
tribution. Therefore, the operator A induces an adjoint operator on tempered
distributions: A : S (R) S (R)

< A f | >=< f |A >, f S (R), S (R) (25.30)

Being A densely defined in L2 (R), the adjoint A exists: (A f | ) = (f |A),

f D(A ), S (R). By viewing A f and f as elements of the dual space
L2 (R) , and thus as distributions, we rewrite it as < (A f ) | >=< f |A >,
i.e. < (A f ) | >=< f |A >. Therefore, for distributions that are functions
f D(A ) it is

A f = (A f ) (25.31)

With this rule, A is an extension of A to S .

25.7.1 Generalized eigenvectors

The eigenvalue equation A f = f has solution in S if

f such that < f |A >= < f | > S (R). (25.32)

f is a generalized eigenvector.
Example 25.7.1. The operator (Q0 )(x) = x(x) leaves S invariant and is
continuous; the corresponding operator Q0 acts on distributions as multiplication
by the algebraically bounded function x. The eigenvalue equation Q0 f = f ,
i.e. < f |Q0 >= < f | > has solution for any real : f = .
Note the completeness property with respect to the inner product of L2 :
Z
(1 |2 ) = d < |1 > < |2 > .
R

233
Example 25.7.2. The operator P0 = i leaves S invariant and is continu-
ous. The operator P0 on distributions is < P0 f | >=< f | i >= i < f | >,
i.e. P0 f = if . The eigenvalue
equation P0 e = e is solved by the ordinary
ix
functions e (x) = e / 2, R (Im 6= 0 gives exponentially divergent
functions, which do not give regular distributions). The normalization is such
that < e | >= (F )(), which implies the completeness property:
Z
(1 |2 ) = d < e |1 > < e |2 > .
R

25.7.2 Green functions

Let A : S S be a linear continuous operator. If it exists, the Green function
of the operator A is the distribution that solves the equation

A Gy = y ,yR
R
As a generalized function Gy (x) = G(x, y) it is dx G(x, y)(A)(x) = (y) for
all .
Proposition 25.7.3. Consider the inhomogeneous equation A = , with as-
signed S (R). A particular solution is:
Z
(x) =< Gx | >= dy Gx (y) (y)

Proof. < A Gx | >=< x | >= (x), at the same time the left hand term is
< Gx |A >=< Gx | >.

Example 25.7.4. The Green function for P0 solves iGxR = x . Then Gx (x ) =

i(x x ). The equation i = is solved by (x) = i dx (x x )(x ).
Example 25.7.5 (Forced oscillator).

d2
(L)(t) = (t), L= + 2
dt2
The general solution is the sum of a solution of the homogeneous equation,
0 (t) = A cos(t) + B sin(t), with a particular solution. The Green function
of L solves L Gt = t , where t has to be regarded as an index. We first obtain
L f , f S , through the action on a test function :

< L f | >=< f |L >=< f | + 2 >=< D f + 2 f | > .

Therefore L = D + 2 , and the equation for the Green function Gt (s) is:

Ds2 Gt (s) + 2 Gt (s) = (s t)

234
The equation is solved in Fourier space. It is customary to name the variable
conjugated to time s:
d 1
Z
Gt (s) = gt ()eis , ( 2 + 2 )gt () = eit
R 2 2
Because of the zeros the general solution contains a principal value prescrip-
tion and delta terms supported on the zeros:
 
1 P
gt () = eit + ( ) + ( + ) ,
2 2 2

and are arbitrary constants. Then

d ei(ts) i(ts) i(ts)

Z
Gt (s) = P 2 2
+ e + e
R 2 2 2
R
A family of particular solutions P (t) = R G(t s)(s)ds is obtained, where
the delta functions produce terms that solve the homogeneous equation. There
is freedom in the determination of the Green function.
By the Sokhotski-Plemelj formulae, the principal part and the delta functions
may be combined to give small imaginary parts to the poles . The choice
where the poles are in the half-plane Im < 0 (i.e. the poles are i)
defines the retarded Green function:
 
d i(ts) 1 1
Z
R
G (t s) = e
R 4 + + i + i
1
= (t s) sin[(t s)] (25.33)

Rt
The particular solution P (t) = [GR ](t) = 1 ds sin[(t s)] (s) has
the property of causality: its value at time t only depends on the forcing field
at earlier times. This makes the retarded Green function of special importance
in physics.

25.7.3 Wave equation with source

The wave equation with source is x (x) = (x), where x = (~x, ct), and
x = 2 c12 t2 is the wave operator (dAlembert). The Green function (or
fundamental solution) of the wave operator is the distribution that solves

x G(x, x ) = 4 (x x ) (25.34)

Then, (x) = 0 (x) + d4 x G(x, x )(x ) where 0 solves the homogeneous

R
equation, x 0 = 0.
As we shall see, the Green function is not unique. Its determination can be
dictated by physics. For example causality requires that the field at time t
cannot depend on values of the source at later times t > t (actually, because

235
of the finite wave speed c, the effect is further delayed). Being the equation
(25.34) translation-invariant, well solve it by the Fourier expansion

d4 k ik(xx )
Z
G(x, x ) = e G(k)
(2)4

where k = (~k, /c), k x = ~k ~x t. In Fourier space eq.(25.34) is algebraic:

(k k) G(k) = 1 i.e. (|~k|2 (/c)2 )G(~k, ) = 1. Therefore

d3 k i~k(~x~x ) d i(tt ) (c2 )

Z Z
G(x, x ) = e e
(2)3 2c 2 |~k|2 c2

A general feature occurs: the integral is singular with poles at = |~k|c. This
is no problem: we are dealing with distributions, and small epsilons may be
introduced to shift poles off the real axis. As this can be done in different ways,
there are different Green functions.
Causality determines one choice of the signs. If t > t the integration path closes
in the upper half-plane (this ensures exponential decay on the semicircle); if we
require that G(x, x ) = 0 for t > t, no poles must be encircled, i.e. the two poles
are in the lower half plane. This choice defines the retarded Green function:
d3 k i~k(~x~x ) d i(tt ) (c)
Z Z
R
G (x, x ) = e e
(2)3 2 ( + i)2 |~k|2 c2
3
d k i~k(~x~x ) c
Z h i
i|~
k|c(tt ) i|~k|c(tt )
= (t t ) e e e
(2)3 2|~k|c
Z iZ
c i|~k|c(tt )
h
~
= (t t ) k 2 dk e ei|k|c(tt ) sin deik|~x~x | cos
0 2kc
Z h ih i
ikc(tt ) ikc(tt ) ik|~
x~ x |
= (t t ) dk e e e eik|~x~x |
0

A change k k gives the sum of two delta functions, one of which is identically
zero. Then:
1
GR (x, x ) = (t t ) (|~x ~x | c(t t ))
4|~x ~x |

The Green function has support on the spherical surface centred in ~x with
radius c(t t ) > 0, increasing with t. The causal field with source (x ) is a
continuous superposition of such spherical waves being emitted at every point
of the source:
Z t
1
Z
(~x, t) = d3 x dt (|~x ~x | c(t t ))(~x , t )
4|~x ~x |
1 (~x , t |~x ~x |/c)
Z
= d3 x (25.35)
4c |~x ~x |

236
Chapter 26

FOURIER TRANSFORM
II

The Fourier transform F and antitransform F 1 were studied in detail in the

space S (R), and extended to the dual space. The same properties generalize
to S (Rn ) and the dual, with

dn x i~q~x
Z
(F u)(~q) = n/2
e u(~x) (26.1)
Rn (2)
dn x i~q~x
Z
(F 1 u)(~q) = n/2
e u(~x) (26.2)
Rn (2)

It is of great interest to investigate the properties of F as an operator on Lp (Rn )

spaces, and the problem of inversion. Here we restrict to n = 1, although most
of the properties continue to hold in higher dimension.

26.1 Fourier transform in L1(R)

R
By the inequality |F u(k)| R dx |u(x)| the Fourier transform is well defined
for functions in L 1 (R), and |F u(k)| 12 kuk1 for all k.
If un u in L1 (R) then F un F u uniformly:

dx 1
Z
|(F un )(k) (F u)(k)| |un (x) u(x)| = kun uk1
R 2 2

Let us view F as a linear operator from L1 (R) to L (R), then kF uk

1 kuk1 , and the operator is continuous, i.e. F un F u in L (R) if un u
2
in L1 (R).
Exercise 26.1.1. What is the condition for an integrable real function to have
a real Fourier transform?

237
Example 26.1.2. The Fourier transform of the characteristic function [a,b] (x),

2 sin[ ba
Z b r
dx ik x 2 k] i b+a
(F [a,b] )(k) = e = e 2 k
a 2 k
is a continuous bounded function (i.e. it belongs to C (R)) and vanishes for large
|k|.
The same properties hold true for ladder functions , which are finite linear
combinations of functions, and are a dense subset of L1 (R). This anticipates
the fundamental theorem:
Theorem 26.1.3 (Riemann - Lebesgue). If f L 1 (R) then F f is bounded,
continuous, and
lim |(F f )(k)| = 0 (26.3)
|k|

Proof. Integrable functions can be approximated by ladder functions. If n is a

sequence of ladder functions convergent to f in L1 , then F n F f uniformly.
Since F n are continuous, also F f is continuous1 .
there is a ladder function such that kf k1 < . Since |F | vanishes at
infinity, there is R such that for |k| > R it is |(F )(k)| < . Then, for |k| > R
it is:
1
|(F f )(k)| |F (f )(k)| + |(F )(k)| ku k1 + |(F )(k)| <
2
up to finite constants.
We make some statements without proof:
Proposition 26.1.4. Let f, g L 1 (R):
1) the convolution product
Z
(f g)(x) = dy f (x y)g(y) (26.4)
R

is a function in L 1 (R) and kf gk1 kf k1 kgk1 . As the Fourier transform

exists for all terms, it can be proven that

F (f g) = 2(F f )(F g) (26.5)
2) since the Fourier transforms are bounded, the following integrals exist and
are equal (Fubinis theorem applies):
Z Z
dk(F f )(k)g(k) = dkf (k)(F 1 g)(k) (26.6)
R R

3) with a proof quite similar to that given for S , it can be proven that for
functions in L 1 (R) such that their transform is again L 1 , the inversion theorem
holds: F F 1 = 1.
1 If f
n is a sequence of continuous functions that converges to f uniformly, then f is
continuous. Proof: for any x it is |f (x) f (y)| |f (x) fn (x)| + |f (y) fn (y)| + |fn (x)
fn (y)| 3 for n large enough and |y x| < .

238
26.2 Fourier transform in L2 (R)
Hermite functions belong to S (R) L2 (R). The following theorem has various
interesting implications:
Theorem 26.2.1. The Hermite functions hm are an orthonormal and complete
set in L2 (R).
Proof. From the generating function of Hermite polynomials (11.17) one obtains
that of Hermite functions:

X zm 1 1 (x2 22zx+z2 )
h(x, z) = hm (x) = e 2
m=0 m! 4

The series converges point-wise and also in L2 norm. Suppose that there is a
function f in L2 suchthat (hm |f ) = 0 for all m. This implies that (h|f ) = 0 for
all z. For z = ik/2 2, up to irrelevant factors, it is

dx
Z
1 2 1 2
0= e 2 x ixk f (x) = (F g)(k), g(x) = e 2 x f (x)
R 2

The function g belongs to L1 (R) (Schwartz inequality) and its Fourier transform
is zero. Then g KerF ; but the inversion theorem in L1 implies Ker F = {0},
then g = 0 i.e. f = 0.
The Schwartz space is dense in L2 . Since the Fourier transform is isometric
on S (R) (kF k2 = kk2 ), it may be extended to a unitary operator F on
L2 (R). The explicit construction exploits the property of
Phn to be eigenstates
of F and an orthonormal basis. From the expansion f = n (hn |f )hn we obtain
by linearity and continuity of F :
Theorem 26.2.2 (Fourier-Plancherel operator). The Fourier transform F
extends uniquely to a unitary operator F : L2 (R) L2 (R):

F f =
X
(i)n (hn |f ) hn (26.7)
n=0

The inverse transform F 1 extends uniquely to the adjoint F .

Remark 26.2.3. The Hermite functions {hn } are the eigenfunctions of the
number operator N = 1 (P 2 + Q 2 1): N
hn = nhn . The operator is the
2
2
generator in L (R) of the one-parameter unitary group

() = eiN =
X
U ein (hn | )hn
n=0

) = {f : P
with domain D(N n=0 n2 |(hn |f )|2 < }.

239
 The group describes the 2-periodic evolution in time of the quantum oscil-
lator (in phase space, mean values of position and momentum make a circular
motion). Both the generator N and U () leave S (R) invariant. It is U
( ) = F ,
2
U ( ) = F 1 = F . U
() is the parity operator.
2

Another way to evaluate the Fourier transform of a function f L2 is to

consider the functions [R,R] f L1 (R). On such functions F = F and, since
F is continuous: Z R
dx
(F f )(k) = l.i.m. eikx f (x)
R R 2
where l.i.m. is limit in the mean, i.e. in L2 topology.

26.2.1 Completeness of the Fourier basis

The Fourier transform of a function in S (R) can be written as
eikx
Z
(F )(k) = dx uk (x)(x) = < uk | >, uk (x) = , k Z
R 2
where < uk | > is not the inner product but the action of a regular distribution.
By the inversion theorem for the Fourier transform in S it is:
Z
(x) = dk < uk | > uk (x) (26.8)
R

Since Schwartzs space is dense in L2 , the relation shows the completeness of

the continuous system of functions {uk }. They are the eigenfunctions of the
derivative operator on distributions, which extends the self-adjoint unbounded
operator P .

Proposition 26.2.4 (Vladimirov2 ).

X
S (R) n2k |n |2 < k N (26.9)
n=0

where n = (hn |) are the coefficients of the expansion in the Hermite basis.
Proof. Since N maps S (R) in itself, if n are the Fourier coefficients of a
function S (R), then nk n are the coefficients of N k S (R), then the
series (26.9) converges.
(k)
For fixed k consider the sequence of functions SN = N k
P
n n n hn in S (R);
(k) PN 2k (k)
since the sequence sN = n |n |2k converges, it follows that SN S (k)
in L2 (R).
Similarly one may prove the theorem f S (R) if and only if there are a
positive constants C, p such that | < f |un > | C(1 + n)p , for all n N.
2 V. Vladimirov, Le distribuzioni nella fisica matematica, Mir (1981).

240
Chapter 27

THE LAPLACE
TRANSFORM

27.1 The Laplace integral

The Fourier transform exists for functions that belong to L 1 (R): this is very
restrictive in applications, for it leaves out several important functions. How-
ever, if one replaces a non-integrable function f (x) by ecx f (x) (Re c > 0),
integrability may be achieved for large x; at the same time, to avoid problems
at the other end of integration, one requires f (x) = 0 for x < 0. Then, if
Z
dx ecx |f (x)| <
0

for
R a suitable value c, one can evaluate the Fourier integral of 2ecx f (x):
0
dx eikx ecx f (x). By setting z = c + ik, the Fourier integral defines the
Laplace transform of f :
Z
(L f )(z) = dxf (x)ezx (27.1)
0

The complex function is well defined for Re z c, where c is some real number
that depends on f , and is bounded:
Z
|(L f )(z)| dx exRez |f (x)| (L |f |)(c)
0

Proposition 27.1.1.
lim |(L f )(z)| = 0
Re z

Proof. The sequence |ezx f (x)| has limit 0 for any x as |z| . Since it equals
ex(Rezc) ecx |f (x)|, it is definitely bounded by ecx |f (x)| L1 (R+ ). By the
dominated convergence theorem, the limit can be taken in the integral sign.

241
Lemma 27.1.2. If |(L f )(z)| < for Rez > c + then |(L xn f )(z)| < for
Rez > c + .
R  R
Proof.  0 dx ezx xn f (x) supx0 [xn ex(Rezc) ] 0 dx e(c+)x |f (x)| <

Theorem 27.1.3. (L f )(z) is holomorphic in the half-plane Re z > c and

d
(L f )(z) = (L xf )(z) (27.2)
dz
Proof. Lets show that the limit h 0 exists:
  Z  hx 
 (L f )(z + h) (L f )(z)   xz e 1 
 + (L xf )(z) =  dx e f (x) + x 
 h  
0 h 
Z  hx  Z
e 1  |h|
dx exRez |f (x)|  + x dx exz x2 |f (x)| 0
0 h 2 0

where the following inequality is used

 hx  Z x  Z x
e 1 hy
dy|eyh 1| 12 |h|x2
  
 + x= dy(e 1)
 h  
0

0

The last step is proven here: let y > 0, h = h1 + ih2p , then: |eyh 1| = |eyh1
iyh2 yh1 2 yh1 2 1 1/2
e | = [(e 1) + 4e sin ( 2 yh2 )] (yh1 )2 + (yh2 )2 = y|h| by
means of Lagranges formula and the bound | sin x/x| 1.

27.2 Properties
These properties are proven without difficulty:

L (af + bg) = a L f + b L g (linearity) (27.3)

(L f )(z) = (L f )(z) (27.4)
(L f )(z) = f (0) + z(L f )(z) (27.5)
(L f )(z) = f (0) + zf (0) + z 2 (L f )(z) (27.6)
(L xf )(z) = (L f ) (z) (27.7)
(L eax f )(z) = (L f )(z + a). (27.8)

Some simple Laplace transforms:

1
(L [ex ])(z) = , Re z > Re (27.9)
z

(L [sin x])(z) = 2 , Re z > 0 (27.10)
z + 2
z
(L [cos x])(z) = 2 , Re z > 0 (27.11)
z + 2

242
Example 27.2.1.

(a)
Z
a1
(L [x ])(z) = dx ezx xa1 = , Re a > 0, Re z > 0 (27.12)
0 za
Logs and powers can be included by replacing a by a + , and expanding in :

xa1+ = xa1 [1 + log x + 12 2 (log x)2 + . . . ]

(a + ) = (a)[1 + (a) + 12 2 2 (a) + . . . ]

where (z) is the digamma function etc. By equating equal powers of one
obtains (Re z > 0):

(a)
(L [xa1 log x])(z) = [(a) Logz] (27.13)
za
(a)
(L [xa1 log2 x])(z) = a [2 (a) 2(a)Logz Log2 z] (27.14)
z

27.3 Inversion
The Laplace transform can be inverted. With the understanding that f (x) = 0
for x < 0, recall the correspondence:

(F [ 2eax f (x)])(k) = (L f )(a + ik)

If, as a function of k, it is (L f )(a + ik) L 1 (R), the Fourier transform can be

inverted: Z
dk
2eax f (x) = (L f )(a + ik)eikx .
2
R dk (a+ik)x
The formula transforms into: f (x) = 2 e (L f )(a + ik). Put z =
a + ik, dz = idk and the inversion formula is obtained:

a+i
dz zx
Z
f (x) = e (L f )(z) (27.15)
ai 2i

The line of integration is parallel to the imaginary axis with a > c. The func-
tion (L f )(z) is analytic for Re z > c. If it is meromorphic for Rez < c, the
computation of the integral can be done by the Residue Theorem, by closing the
integration path by a semicircle in Re z < c surrounding the poles (Bromwichs
contour).

27.3.1 Hankels representation of

The antitransform of (L [xa1 ])(z) is
c+i
dz zx a
Z
xa1 = (a) e z
ci 2i

243
 Figure 27.1: Hankels loop for 1/(a).

where c > 0 is arbitrary. For x = 1 Hankels integral representation of the

Gamma function is obtained:
+i
1 dz z a
Z
= e z (27.16)
(a) i 2i

The path of integration can be deformed to the loop shown in fig. 27.1. In
particular, if a = n the singularity is a pole in the origin, the loop may be
deformed to a circle, and the Residue Theorem gives (n) = (n 1)!.
If a 6= n the evaluation of the loop integral gives an important identity of the
Gamma function. Let z a = eaLogz ; the loop runs along the cut of discontinuity
of the Log: Log (x i) = log |x| i for x < 0. Then:
Z 0
1 dz zaLogz dx h xiaLog(xi)
Z i
= e = e ex+iaLog(x+i)
(a) loop 2i 2i
Z
sin(a)
= dx ex xa
0

The identity is:

(a)(1 a) = (27.17)
sin a

27.4 Convolution
The Fourier transform of the convolution of two functions is the product of their
Fourier transforms. Because of the relationship between Fourier and Laplace
transforms, a similar property is expected for the Laplacetransform.
Consider two functions of the type considered so far, 2(x)eax f (x) and
ax
2(x)e g(x), where the vanishing condition for x < 0 is written explic-
itly. Lets write their convolution product according to the theory of Fourier
transform:
Z
dy[ 2(y)f (y)eay ][ 2(x y)g(x y)ea(xy) ]

Z x
= 2eax dyf (y)g(x y)
0

This integral defines the convolution product of two Laplace-transformable func-

tions:

244
Definition 27.4.1. The convolution product of two Laplace-transformable func-
tions is
Z x
(f g)(x) = dy f (y)g(x y) (27.18)
0

Exercise 27.4.2. Show that the convolution product is commutative.

Theorem 27.4.3 (Convolution theorem).
x a+i
dz zx
Z Z
dy f (y)g(x y) = e (L f )(z)(L g)(z) (27.19)
0 ai 2i

Proof. We use results from the theory of Fourier transform. By the convolution
theorem for the Fourier transform, it is
Z x
2eax dyf (y)g(x y)
0
 
= 2F 1 F [ 2(y)f (y)eay ]F [ 2(y)g(y)eay ] (x)
Z
= dk eikx (L f )(a + ik)(L g)(a + ik)

Therefore:
Z x
dk (a+ik)x
Z
dyf (y)g(x y) = e (L f )(a + ik)(L g)(a + ik)
0 R 2
Now put z = a + ik, dz = idk.
Example 27.4.4. The Laplace transform is useful for solving differential equa-
tions. Consider the inhomogeneous equation
f (t) + 2 f (t) = g(t)
with initial conditions f (0) = A and f (0) = B. Laplace transform yields the
algebraic equation f (0) + zf (0) + (z 2 + 2 )(L f )(z) = (L g)(z), with solution
(L g)(z) B Az
(L f )(z) = .
z 2 + 2
To obtain f one needs to invert a Laplace transform. Note that the solution can
be written as
 
1 B A
f (t) = L 1 L [g] L [sin x] L [sin x] L [cos x]

Z t
sin (t t )
= dt g(t ) + fhom (t),
0
where fhom (t) = B A
sin t cos t solves the homogeneous equation. This
solution via Laplace transform exhibits the causality property: the particular
solution f at time t is determined by the forcing field values at times t < t.

245
27.5 Mellin transform
In analogy with the construction of the Laplace transform, the Fourier identity
is formally modified to define the useful Mellin transform1 . In the identity
Z
dk ikx
Z
f (x) = e dy eiky f (y) (27.20)
2
R dk ik R
put x = log s and y = log t: f (log s) = 2 s 0
dt tik1 f (log t); let
c+i dz z
z = c + ik, dz = idk: sc f (log s) = ci 2i z1 c
R R
s 0 dt t t f (log t); rename
c
f (log s)s as f (s). The Mellin transform of a function is:
Z
(M f )(z) = dx xz1 f (z) (27.21)
0

R
It exists for |(M f )(z)| 0 dx|f (x)|xRez1 < , which means that z is
bounded in some strip of the complex plane. The inversion formula is
c+i
dz z
Z
f (x) = x (M f )(z) (27.22)
ci 2i

The Mellin transform of ex is (z).

Exercise 27.5.1. Prove the properties:

(M xf )(z) = (M f )(z + 1) (27.23)

(M f )(z) = (z 1)(M f )(z 1) (27.24)
(M xn Dn f )(z) = (1)n (z n) . . . (z 1)(M f )(z) (27.25)
Z Z c+i
2 dz
dx|f (x)| = |M f (z)|2 (Parseval identity) (27.26)
0 ci 2i
Z c+i
dz
(M f g)(z) = (M f )(z )(M g)(z z ) (27.27)
ci 2i

1 for a nice introduction see: https://www.cs.purdue.edu/homes/spa/papers/chap9.ps

246
L. G. Molinari is associate professor at the Physics Department of Milans Uni-
versit`a degli Studi, where he teaches mathematical methods for physics and
quantum theory of many-particle systems. His main research interests are ran-
dom matrix theory, Anderson localization, theory of many-particle systems,
differential geometry. Since 1972 he is an active member of the Astronomi-
cal Society G. V. Schiaparelli, Varese, devoted to the popularization of natural
sciences.

247