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UNDERGRADUATEJJ TEXTS 15
Partial Differential
Equations and
Boundary-Value
Problems with
Applications
Third Edition
Mark A. Pinsky
(liD Amerkan Math ematical Society

Providence, Rhode Island
EDITORIAL COMMITTEE
Paul J. Sally, Jr. (Chair) Joseph Silverman
Francis Su Susan Tolman
2010 Mathematics Subject Classification. Primary 35-01.
Cover photograph copyright Andrew Davidhazy, 2011.
For additional information and updates on this book, visit

www.ams.org/bookpages/amstext-15
Library of Congress Cataloging-in-Publication Data

Pinsky, ~ark A., 1940-
Partial differential equations and boundary-value problems with applications / ~ark A. Pinsky.
p. cm. - (Pure and applied undergraduate texts; v. 15)
Originally published: 3rd ed. Prospect Heights, Ill. : Waveland Press, 2003.
Includes index.
ISBN 978-0-8218-6889-8 (alk. paper)
1. Differential equations, Partial. 2. Boundary value problems. I. Title.
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2011012736
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Preface
This third edition is an introduction to partial differential equations for students
who have finished calculus through ordinary differential equations. The book
provides physical motivation, mathematical method, and physical application.
Although the first and last are the raison d'etre for the mathematics, I have
chosen to stress the systematic solution algorithms, based on the methods of
separation of variables and Fourier series and integrals. My goal is to achieve a
lucid and mathematically correct approach without becoming excessively involved
in analysis per se. For example, I have stressed the interpretation of various
solutions in terms of asymptotic behavior (for the heat equation) and geometry
(for the wave equation).
This new edition builds upon the solid strengths of the previous editions and
provides a more patient development of the core concepts. Chapters 0 and 1 have
been reorganized and refined to provide more complete examples that will help
students master the content. For example, the Sturm-Liouville theory has been
rewritten and placed at the end of Chapter 1 just before it is used in Chapter 2.
The coverage of infinite series and ordinary differential equations, formerly in
Chapter 0, has been moved to appendixes. In addition, we have integrated the
applications of Mathematica into the text because computer-assisted methods
have become increasingly important in recent years. The previous edition of this
text made Mathematica applications available for the first time in a book at this
level, and this edition continues this coverage. Each section of the book contains
numerous worked examples and a set of exercises. These exercises have been kept
to a uniform level of difficulty, and solutions to nearly 450 of the 700 exercises in
the text have been provided.
Chapter 0 is a brief introduction to the entire subject of partial differen-
tial equations and some technical material that is used frequently throughout
the book. Chapters 1 to 4 contain the basic material on Fourier series and
boundary-value problems in rectangular, cylindrical, and spherical coordinates.
Bessel and Legendre functions are developed in Chapters 3 and 4 for those in-
structors who want a self-contained development of this material. Instructors
who do not wish to use the material on boundary-value problems should cover
only Sees. 3.1 and 4.1 in Chapters 3 and 4. These sections contain several inter-
esting boundary-value problems that can be solved without the use of Bessel or
Legendre functions.
Chapter 5 develops Fourier transforms and applies them to solve problems in
unbounded regions. This material, which may be treated immediately following
Chapter 2 if desired, uses real-variable methods. The student is referred to a
subsequent course for complex-variable methods.
The student who has finished all the material through Chapter 5 will have
a good working knowledge of the classical methods of solution. To complement
these basic techniques, I have added chapters on asymptotic analysis (Chapter 6),
vi PREFACE
numerical analysis (Chapter 7), and Green's functions (Chapter 8) for instructors
who may have additional time or wish to omit some of the earlier material. The
accompanying flowchart plots various paths through the book.
Logical Dependence or Cbapters
Chapters 1 and 2 form the heart of the book. They begin with the theory
of Fourier series, including a complete discussion of convergence, Parseval's the-
orem, and the Gibbs phenomenon. We work with the class of piecewise smooth
functions, which are infinitely differentiable except at a finite number of points,
where all derivatives have left and right limits. Despite the generous dose of the-
ory, it is expected that the student will learn to compute Fourier coefficients and
to use Parseval's theorem to estimate the mean square error in approximating a
function by the partial sum of its Fourier series. Chapter 1 concludes with Sturm-
Liouville theory, which will be used in Chapter 2 and repeatedly throughout the
book.
Chapter 2 takes up the systematic study of the wave equation and the heat
equation. It begins with steady-state and time-periodic solutions of the heat
equation in Sec. 2.1, including applications to heat transfer and to geophysics,
and follows with the study of initial-value problems in Sees. 2.2 and 2.3, which
are treated by a five-stage method. This systematic breakdown allows the student
to separate the steady-state solution from the transient solution (found by the
separation-of-variables algorithm) and to verify the uniqueness and asymptotic
behavior of the solution as well as to compute the relaxation time. I have found
that students can easily appreciate and understand this method, which combines
mathematical precision and clear physical interpretation. The five-stage method
PREFACE vii
is used throughout the book, in Sees. 2.5, 3.4, and 4.1. Chapter 2 also in-
cludes the wave equation for the vibrating string (Sec. 2.4), solved both by the
Fourier series and by the d' Alembert formula. Both methods have advantages
and disadvantages, which are discussed in detail. My derivations of both the wave
equation and the heat equation are from a three-dimensional viewpoint, which I
feel is less artificial and more elegant than many treatments that begin with a
one-dimensional formulation.
Following Chapter 2, there is a wide choice in the direction of the course.
Those instructors who wish to give a complete treatment of boundary-value prob-
lems in cylindrical and spherical coordinates, including Bessel and Legendre func-
tions, will want to cover all of Chapters 3 and 4. Other instructors may ignore
this material completely and proceed directly to Chapter 5, on Fourier trans-
forms. An intermediate path might be to cover Secs. 3.1 and/or 4.1, which treat
(respectively) Laplace's equation in polar coordinates and spherically symmetric
solutions of the heat equation in three dimensions. Neither topic requires any
special functions beyond those encountered in trigonometric Fourier series.
Chapter 5 treats Fourier transforms using the complex exponential notation.
This is a natural extension of the complex form of the Fourier series, which is
covered in Sec. 1.5. Using the Fourier transform, I reduce the heat, Laplace,
wave, and telegraph equations to ordinary differential equations with constant
coefficients, which can be solved by elementary methods. In many cases, these
Fourier representations of the solutions can be rewritten as explicit representa-
tions (by what is usually known as the Green function method). The method of
images for solving problems on a semi-infinite axis is naturally developed here.
The Green functions methods are developed more systematically in Chapter B.
After preparing the one-dimensional case, I give a self-contained treatment of the
explicit representation of the solution of Poisson's equation in two and three di-
mensions. In addition to the traditional physical applications, the Black-Scholes
model of option pricing from financial mathematics is included.
Throughout the book I emphasize the asymptotic analysis of series solutions
of boundary-value problems. Chapter 6 gives an elementary account of asymp-
totic analysis of integrals, in particular the Fourier integral representations of
the solutions obtained in Chapter 5. The methods include integration by parts,
Laplace's method, and the method of stationary phase. These culminate in an
asymptotic analysis of the telegraph equation, which illustrates the group velocity
of a wave packet.
No introduction to partial differential equations would be complete without
some discussion of approximate solutions and numerical methods. Chapter 7
gives the student some working knowledge of the finite difference solution of the
heat equation and Laplace's equation in one and two space dimensions. The
material on variational methods first relates differential equations to variational
viii PREFACE
problems and then outlines some direct methods that may be used to arrive at
approximate solutions, including the finite elem~nt method.
This book was developed from course notes for Mathematics C91-1 in the
Integrated Science Program at Northwestern University. The course has been
taught to college juniors since 1977; Chapters 1 to 5 are covered in a IO-week
quarter. I am indebted to my colleagues Leonard Evens, Robert Speed, Paul
Auvil, Gene Birchfield, and Mark Ratner for providing valuable suggestions on
the mathematics and its applications. The first draft was written in collaboration
with Michael Hopkins. The typing was done by Vicki Davis and Julie Mendel-
son. The solutions were compiled with the assistance of Mark Scherer. Valuable
technical advice was further provided by Edward Reiss and Stuart Antman.
In preparation of this new edition, I received valuable comments and sugges-
tions from Andrew Bernoff, Joseph B. Keller, Thaddeus Ladd, Jeff Miller, Carl
Prather, Robert Seeley, and Marshall Slemrod. I also acknowledge the reviewing
services of the following individuals: David Bao, University of Houston; William
O. Bray, University of Maine; Peter Colwell, Iowa State University; Kenneth A.
Heimes, Iowa State University; Yinxi Huang, University of Memphis; Mohammad
Kozemi, University of North Carolina-Charlotte; and William Mays, Gloucester
Community College (NJ).
In preparation of the past edition, I received valuable comments and sugges-
tions from James W. Brown, Charles Holland, Robert Pego, Mei-Chang Shen,
Clark Robinson, Nancy Stanton, Athanassios Tzavaras, David Kapov, and Den-
nis Kosterman. For the second edition, I also acknowledge the reviewing services
of the following individuals: William O. Bray, University of Maine; William E.
Fitzgibbon, University of Houston; Peter J. Gingo, University of Akron; Moham-
mad Kozemi, University of North Carolina-Charlotte; Gilbert N. Lewis, Michi-
gan Technical University; Geoffrey Martin, University of Toledo; Norman Mey-
ers, University of Minnesota-Minneapolis; Allen C. Pipkin, Brown University; R.
E. Showalter, University of Texas-Austin; and Grant V. WeIland, University of
Missouri-St. Louis.
In the preparation of the first edition I was encouraged by John Corrigan
of the McGraw-Hill College Division. Preparing the second edition of this text,
I benefited from the editorial services of Karen M. Hughes and Richard Wallis.
Most recently, for this new edition with Waveland Press, it has been a pleasure to
work with Jan Fisher and the staff of Publication Services. The current printing
was completed with the editorial assistance of Miron Bekker, Harry R. Hughes,
Monica Sharpnack, Nancy Stanton, and Alphonse Sterling.
Mark A. Pinsky
Contents
Preface v
Chapter O. PRELIMINARIES 1
0.1. Partial Differential Equations 1
0.1.1. What is a partial differential equation? 1
0.1.2. Superposition principle and subtraction principle 3
0.1.3. Sources of PDEs in classical physics 4
0.1.4. The one-dimensional heat equation 5
0.1.5. Classification of second-order PDEs 9
0.2. Separation of Variables 10
0.2.1. What is a separated solution? 10
0.2.2. Separated solutions of Laplace's equation 11
0.2.3. Real and complex separated solutions 13
0.2.4. Separated solutions with boundary conditions 18
0.3. Orthogonal Functions 21
0.3.1. Inner product space of functions 21
0.3.2. Projection of a function onto an orthogonal set 24
0.3.3. Orthonormal sets of functions 28
0.3.4. Parseval's equality, completeness, and mean square convergence 29
0.3.5. Weighted inner product 30
0.3.6. Gram-Schmidt orthogonalization 31
0.3.7. Complex inner product 32
Chapter 1. FO URIER SERIES 35
1.1. Definitions and Examples 35
1.1.1. Orthogonality relations 35
1.1.2. Definition of Fourier coefficients 36
1.1.3. Even functions and odd functions 37
1.1.4. Periodic functions 41
1.1.5. Implementation with Mathematica 41
1.1.6. Fourier sine and cosine series 42
1.2. Convergence of Fourier Series 46
1.2.1. Piecewise smooth functions 47
1.2.2. Dirichlet kernel 51
1.2.3. Proof of convergence 52
1.3. Uniform Convergence and the Gibbs Phenomenon 58
1.3.1. Example of Gibbs overshoot 58
1.3.3. Uniform and nonuniform convergence 64
1.3.4. Two criteria for uniform convergence 64
1.3.5. Differentiation of Fourier series 65
1.3.6. Integration of Fourier series 66
1.3.7. A continuous function with a divergent Fourier series 67
1.4. Parseval's Theorem and Mean Square Error 71
1.4.1. Statement and proof of Parseval's theorem 71
1.4.2. Application to mean square error 72
1.4.3. Application to the isoperimetric theorem 74
x CONTENTS
1.5. Complex Form of Fourier Series 78

1.5.1. Fourier series and Fourier coefficients 78
1.5.2. Parseval's theorem in complex form 79
1.5.3. Applications and examples 79
1.5.4. Fourier series of mass distributions 81
1.6. Sturm-Liouville Eigenvalue Problems 84
1.6.1. Examples of Sturm-Liouville eigenvalue problems 85
1.6.2. Some general properties of S-L eigenvalue problems 86
1.6.3. Example of transcendental eigenvalues 87
1.6.4. Further properties: completeness and positivity 89
1.6.5. General Sturm-Liouville problems 92
1.6.6. Complex-valued eigenfunctions and eigenvalues 95
Chapter 2. BOUNDARY-VALUE PROBLEMS IN

RECTANGULAR COORDINATES 99
2.1. The Heat Equation 99
2.1.1. Fourier's law of heat conduction 99
2.1.2. Derivation of the heat equation 100
2.1.3. Boundary conditions 101
2.1.4. Steady-state solutions in a slab 102
2.1.5. Time-periodic solutions 103
2.1.6. Applications to geophysics 105
2.2. Homogeneous Boundary Conditions on a Slab 110
2.2.1. Separated solutions with boundary conditions 110
2.2.2. Solution of the initial-value problem in a slab 112
2.2.3. Asymptotic behavior and relaxation time 113
2.2.4. Uniqueness of solutions 114
2.2.5. Examples of transcendental eigenvalues 116
2.3. Nonhomogeneous Boundary Conditions 121
2.3.1. Statement of problem 122
2.3.2. Five-stage method of solution 122
2.3.3. Temporally nonhomogeneous problems 130
2.4. The Vibrating String 134
2.4.1. Derivation of the equation 134
2.4.2. Linearized model 137
2.4.3. Motion of the plucked string 138
2.4.4. Acoustic interpretation 140
2.4.5. Explicit (d'Alembert) representation 141
2.4.6. Motion of the struck string 145
2.4.7. d'Alembert's general solution 146
2.4.8. Vibrating string with external forcing 148
2.5. Applications of Multiple Fourier Series 152
2.5.1. The heat equation (homogeneous boundary conditions) 153
2.5.2. Laplace's equation 155
2.5.3. The heat equation (nonhomogeneous boundary conditions) 157
2.5.4. The wave equation (nodal lines) 159
2.5.5. Multiplicities of the eigenvalues 162
2.5.7. Application to Poisson's equation 165
CONTENTS xi

CYLINDRICAL COORDINATES 171
3.1. Laplace's Equation and Applications 171
3.1.1. Laplacian in cylindrical coordinates 171
3.1.2. Separated solutions of Laplace's equation in p, cp 173
3.1.3. Application to boundary-value problems 174
3.1.4. Regularity 177
3.1.5. Uniqueness of solutions 177
3.1.6. Exterior problems 178
3.1. 7. Wedge domains 178
3.1.8. Neumann problems 179
3.1.9. Explicit representation by Poisson's formula 179
3.2. Bessel Functions 183
3.2.1. Bessel's equation 183
3.2.2. The power series solution of Bessel's equation 184
3.2.3. Integral representation of Bessel functions 188
3.2.4. The second solution of Bessel's equation 191
3.2.5. Zeros of the Bessel function Jo. 192
3.2.6. Asymptotic behavior and zeros of Bessel functions 193
3.2.7. Fourier-Bessel series 197
3.3. The Vibrating Drumhead 209
3.3.1. Wave equation in polar coordinates 209
3.3.2. Solution of initial-value problems 211
3.4. Heat Flow in the Infinite Cylinder 216
3.4.1. Separated solutions 217
3.4.2. Initial-value problems in a cylinder 217
3.4.3. Initial-value problems between two cylinders 221
3.4.5. Time-periodic heat flow in the cylinder 224
3.5. Heat Flow in the Finite Cylinder 227
3.5.1. Separated solutions 227
3.5.2. Solution of Laplace's equation 228
3.5.3. Solutions of the heat equation with zero boundary conditions 231
3.5.4. General initial-value problems for the heat equation 232

SPHERICAL COORDINATES 235
4.1. Spherically Symmetric Solutions 235
4.1.1. Laplacian in spherical coordinates 236
4.1.2. Time-periodic heat flow: Applications to geophysics 237
4.1.3. Initial-value problem for heat flow in a sphere 240
4.1.4. The three-dimensional wave equation 247
4.1.5. Convergence of series in three dimensions 249
4.2. Legendre Functions and Spherical Bessel Functions 251
4.2.1. Separated solutions in spherical coordinates 251
4.2.2. Legendre polynomials 253
4.2.3. Legendre polynomial expansions 258
xii CONTENTS

4.2.5. Associated Legendre functions 261
4.2.6. Spherical Bessel functions 263
4.3. Laplace's Equation in Spherical Coordinates 267
4.3.1. Boundary-value problems in a sphere 268
4.3.2. Boundary-value problems exterior to a sphere 269
4.3.3. Applications to potential theory 272
Chapter 5. FOURIER TRANSFORMS AND APPLICATIONS 277

5.1. Basic Properties of the Fourier Transform 277
5.1.1. Passage from Fourier series to Fourier integrals 277
5.1.2. Definition and properties of the Fourier transform 279
5.1.3. Fourier sine and cosine transforms 285
5.1.4. Generalized h-transform 287
5.1.5. Fourier transforms in several variables 288
5.1.6. The uncertainty principle 289
5.1.7. Proof of convergence 291
5.2. Solution of the Heat Equation for an Infinite Rod 294
5.2.1. First method: Fourier series and passage to the limit 294
5.2.2. Second method: Direct solution by Fourier transform 295
5.2.3. Verification of the solution 296
5.2.4. Explicit representation by the Gauss-Weierstrass kernel 297
5.2.5. Some explicit formulas 300
5.2.6. Solutions on a half-line: The method of images 303
5.2.7. The Black-Scholes model 310
5.2.8. Hermite polynomials 314
5.3. Solutions of the Wave Equation and Laplace's Equation 318
5.3.1. One-dimensional wave equation and d'Alembert's formula 318
5.3.2. General solution of the wave equation 321
5.3.3. Three-dimensional wave equation and Huygens' principle 323
5.3.4. Extended validity of the explicit representation 327
5.3.5. Application to one- and two-dimensional wave equations 329
5.3.6. Laplace's equation in a half-space: Poisson's formula 332
5.4. Solution of the Telegraph Equation 335
5.4.1. Fourier representation of the solution 336
5.4.2. Uniqueness of the solution 338
5.4.3. Time-periodic solutions of the telegraph equation 339
Chapter 6. ASYMPTOTIC ANALYSIS 345

6.1. Asymptotic Analysis of the Factorial Function 345
6.1.1. Geometric mean approximation: Analysis by logarithms 346
6.1.2. Refined method using functional equations 347
6.1.3. Stirling's formula via an integral representation 348
6.2. Integration by Parts 350
6.2.1. Two applications 351
6.3. Laplace's Method 354
6.3.1. Statement and proof of the result 354
6.3.2. Three applications to integrals 357
6.3.3. Applications to the heat equation 358
6.3.4. Improved error with gaussian approximation 359
CONTENTS xiii
6.4. The Method of Stationary Phase 362

6.4.1. Statement of the result 363
6.4.2. Application to Bessel functions 364
6.4.3. Proof of the method of stationary phase 364
6.5. Asymptotic Expansions 368
6.5.1. Extension of integration by parts 368
6.5.2. Extension of Laplace's method 369
6.6. Asymptotic Analysis of the Telegraph Equation 371
6.6.1. Asymptotic behavior in case a = 0 372
6.6.2. Asymptotic behavior in case a> 0 372
6.6.3. Asymptotic behavior in case a < 0 374
Chapter 7. NUMERlCAL ANALYSIS 379

7.1. Numerical Analysis of Ordinary Differential Equations 379
7.1.1. The Euler method 380
7.1.2. The Heun method 384
7.1.3. Error analysis 387
7.2. The One-Dimensional Heat Equation 393
7.2.1. Formulation of a difference equation 393
7.2.2. Computational molecule 394
7.2.3. Examples and comparison with the Fourier method 395
7.2.4. Stability analysis 398
7.2.5. Other boundary conditions 399
7.3. Equations in Several Dimensions 403
7.3.1. Heat equation in a triangular region 404
7.3.2. Laplace's equation in a triangular region 405
7.4. Variational Methods 409
7.4.1. Variational formulation of Poisson's equation 409
7.4.2. More general variational problems 411
7.4.3. Variational formulation of eigenvalue probcms 411
7.4.4. Variational problems, minimization, and critical points 412
7.5. Approximate Methods of Ritz and Kantorovich 415
7.5.1. The Ritz method: Rectangular regions 416
7.5.2. The Kantorovich method: Rectangular regions 417
7.6. Orthogonality Methods 420
7.6.1. The Galerkin method: Rectangular regions 420
7.6.2. Nonrectangular regions 422
7.6.3. The finite element method 425
Chapter 8. GREEN'S FUNCTIONS 427

8.1. Green's Functions for Ordinary Differential Equations 427
8.1.1. An example 427
8.1.2. The generic case 429
8.1.3. The exceptional case: Modified Green's function 431
8.1.4. The Fredholm alternative 432
8.2. The Three-Dimensional Poisson Equation 433
8.2.1. Newtonian potential kernel 434
8.2.2. Single- and double-layer potentials 436
8.2.3. Green's function of a bounded region 437
8.2.4. Solution of the Dirichlet problem 440
xiv CONTENTS
B.3. Two-Dimensional Problems 443

8.3.1. The logarithmic potential 443
8.3.2. Green's function of a bounded plane region 444
8.3.3. Solution of the Dirichlet problem 445
8.304. Green's functions and separation of variables 446
804. Green's Function for the Heat Equation 450
804.1. Nonhomogeneous heat equation 450
8.4.2. The one-dimensional heat kernel and the method of images 452
8.5. Green's Function for the Wave Equation 454
8.5.1. Derivation of the retarded potential 454
8.5.2. Green's function for the Helmholtz equation 459
8.5.3. Application to the telegraph equation 461
APPENDIXES 465
A.I. Review of Ordinary Differential Equations 465
A.1.1. First-order linear equations 465
A.1.2. Second-order linear equations 466
A.1.3. Second-order linear equations with constant coefficients 468
A.1.4. Euler's equidimensional equation 470
A.1.5. Power series solutions 471
A.1.6. Steady state and relaxation time 474
A.2. Review of Infinite Series 476
A.2.1. Numerical series 476
A.2.2. Taylor's theorem 478
A.2.3. Series of functions: Uniform convergence 480
A.2.4. Abel's lemma 483
A.2.5. Double series 484
A.2.6. Big-O notation 485
A.a. Review of Vector Integral Calculus 489
A.3.1. Implementation with Mathematica 491
AA. Using Mathematica 492
AA.1. Introduction 492
AA.2. The notebook front end 492
AA.3. Textual interface: Direct access through a terminal window 495
A.4.4. Mathematica notation versus ordinary mathematical notation 495
A.4.5. Functional notation in Mathematica 500
ANSWERS TO SELECTED EXERCISES 503
INDEX 521
ABOUT THE AUTHOR 527
CHAPTER 0
PRELIMINARIES
INTRODUCTION
This chapter serves as an overview, with some motivation of the origins of

partial differential equations and some of the mathematical methods that will be
used repeatedly throughout the book. In particular, the technique of separation
0/ variables is introduced in Sec. 0.2, and the concept of orthogonal junctions is
introduced in Sec. 0.3 and illustrated through relevant examples. Previous work
in vector calculus, infinite series, and ordinary differential equations is reviewed
in the appendixes.
0.1. Partial Differential Equations

In this section we introduce the notion of a partial differential equation and
illustrate it with various examples.
0.1.1. What is a partial differential equation? From the purely math-

ematical point of view, a partial differential equation (PDE) is an equation that
relates a function u of several variables Xl,"" xn and its partial derivatives.
This is distinguished from an ordinary differential equation, which pertains to
functions of one variable. For example, if a function of two variables is denoted
u(x, y), then one may consider the following as examples of partial differential
equations:
82 u 82 u
8x 2 + 8y2 =0 (Laplace's equation)
2
8 u _ [flu
8x 2 ay2
=0 (the wave equation)
2
a u _ au = 0 (the heat equation)
ox2 8y
82 u 82 u
ox2 + 8y2 = g(x, y) (Poisson's equation)
2 O. PRELIMINARIES
In order to simplify the notation, we will often use subscripts to denote the
various partial derivatives, so that U x = au/ax, U xx = a 2 u/ax2 , and so forth. In
this notation, the above four examples are written, respectively,
uxx +u1l1l = 0, u xx - U yy = 0, uxx - u y = 0, u xx + U yy = 9
The order of a PDE is indicated by the highest-order derivative that appears.
All of the above four examples are PDEs of second order.
In the case of a function of several variables u(xt, .. . , x n ), the most general
second-order partial differential equation can be written
where the dots imply the other partial derivatives that may occur. In case n = 1
we obtain the second-order ordinary differential equation F(x, '1., '1.', '1.11) = 0. The
necessary information on ordinary differential equations is reviewed in Appen-
dix A.I.
Another important concept pertaining to a PDE is that of linearity. This
is most easily described in the context of a differential operator applied to
a function u. Examples of differential operators are '1. = au/ax, '1. = 3u +
siny8u/8x, and '1. = '1. {)2u/8x 2 The operator is said to be linear if for any two
functions u, v and any constant c,
('1. + v) = '1.+ v, (cu) = cu
A PDE is said to be linear if it can be written in the form
(0.1.1) u=g
where is a linear differential operator and 9 is a given function. In case 9 = 0,
(0.1.1) is said to be homogeneo'U..'J. For example, three of the above examples
(Laplace's equation, the wave equation, and the heat equation) are linear homo-
geneous PDEs. The most general linear second-order PDE in two variables is
written
a(x, y)uxx + b(x, Y)U Xy + c(x, y)u yy + d(x, y)u x + e(x, y)uy + f(x, y)u = g(x, y)
where the functions a, b, c, d, e, I, 9 are given.
EXERCISES 0.1.1
1. Write down the most general linear first-order PDE in two variables. How
many given functions are necessary to specify the PDE?
2. Write down the most general linear first-order PDE in three variables. How
many given functions are necessary to specify the PDE?
3. Write down the most general linear first-order homogeneous PDE in two
variables. How many given functions are necessary to specify the PDE?
4. Write down the most general linear first-order homogeneous PDE in three
variables. How many given functions are necessary to specify the PDE?
0.1. PARTIAL DIFFERENTIAL EQUATIONS 3
5. Define the operator , by the formula 'u(x, y) = d(x, y)u x + e(x, y)u y +
J(x, y)u. Show that , is a linear differential operator.
6. Define the operator , by the formula 'u(x, y) = a(x, y)u xx + b(x, y)uxy +
c(x, y)u yy . Show that , is a linear differential operator.
7. Suppose that '1 and '2 are linear differential operators. Show that '1 +2
is also a linear differential operator.
0.1.2. Superposition principle and subtraction principle. In the study

of ordinary differential equations, it is often possible to write the general solution
in a closed form, in terms of arbitrary constants and a set of particular solutions.
This is not possible in the case of partial differential equations. To see this in more
detail, we cite the example of the second-order equation U xx = 0 for the unknown
function u(x, y). Integrating once reveals that ux(x, y) = C(y), while a second
integration reveals that u(x, y) = xC(y) + D(y), where C and D are arbitrary
functions. Clearly, there are infinitely many different choices for each of C and D,
so that this solution cannot be specified in terms of a finite number of arbitrary
constants. Stated otherwise, the space of solutions is infinite-dimensional.
In order to work effectively with a linear PDE, we must develop rules for
combining known solutions. The following principle is basic to all of our future
work.
PROPOSITION 0.1.1. (Superposition principle for homogeneous equa-
tions). [Jut, ... , UN are solutions of the same linear homogeneous PDE 'u = 0,
and Cl, ... ,CN are constants (real or complex), then Cl Ul + ... + CNUN is also a
solution of the PDE.
Proof. The proof of this depends on the property of linearity. Indeed, we
= 0 for i = 1, ... , n. Hence
have C(u z )
'(CIUl + ... + CNUN) = Cl'(Ul) + .. + CN'(UN) = 0
For example, one may verify that for any constant k, the function u(x, y) =
ekx cos ky is a solution of Laplace's equation U xx + u yy = O. Therefore, by the su-
perposition principle, the function u(x, y) = e- X cos y+ 2e- 3x cos 3y-5e-1rX cos 7ry
is also a solution of Laplace's equation.
The superposition principle does not apply to nonhomogeneous equations. For
example, if Ut and U2 are solutions of the Poisson equation U xx + u yy = 1, then
the function Ul + U2 is the solution of a different equation, namely, U xx + u yy = 2.
Nevertheless, we have the following important general principle that allows one
to relate nonhomogeneous equations to homogeneous equations.
PROPOSITION 0.1.2. (Subtraction principle for nonhomogeneous equa-
tions). If Ul and U2 are solutions of the same linear nonhomogeneous equation
'u = g, then the Junction Ul - U2 is a solution of the associated homogeneous
equation 'u = O.
4 O. PRELIMINARIES
Proof. We have
.c(Ul - U2) = .cUI - .cU2 = 0
For example, if Ul and U2 are both solutions of the Poisson equation uxx+uyy =
1, then Ul - U2 is a solution of Laplace's equation U xx + u yy = O.
The subtraction principle allows us to find the general solution of a nonhomo-
geneous equation .cu = 9 once we know a particular solution of the equation and
the general solution of the related homogeneous equation Cu = O. The result is
expressed as follows.
Corollary. The general solution of the linear partial differential equation
.cu = 9 can be written in the form
u=U+v
where U is a particular solution of the equation ,U = 9 and v is the general

solution of the related homogeneous equation .cv = O.
We illustrate with an example.
EXAMPLE 0.1.1. Find the general solution u(x, y) of the equation U xx = 2.
Solution. It is immediately verified that the function u = x 2 is a solution
of the given equation. The general solution of the associated homogeneous equa-
tion U xx = 0 is u(x, y) = xg(y) + h(y). Therefore the general solution of the
nonhomogeneous equation is u(x, y) = x 2 + xg(y) + h(y) .
EXERCISES 0.1.2
1. Show that for any constant k, the function u(x, y) = ekx cos ky is a solution
of Laplace's equation U xx + U yy = O.
2. Show that for any constant k, the function u(x, y) = ekxek2y is a solution
of the heat equation U xx - u y = O.
3. Show that for any constant k, the function u(x, y) = ekxe- ky is a solution
of the wave equation U xx - u yy = O.
4. Show that for any constant k, the function u(x, y) = (k/2)x 2 + (1- k)y2/2
is a solution of Poisson's equation U xx + u yy = 1.
0.1.3. Sources of PDEs in classical physics. Many laws of physics are
expressed mathematically as differential equations. The student of elementary
mechanics is familiar with Newton's second law of motion, which expresses the
acceleration of a system in terms of the forces on the system. In the case of
one or more point particles, this translates into a system of ordinary differential
equations when the force law is known.
For example, a single spring with Hooke's law of elastic restoration and no
frictional forces gives rise to the linear equation of the harmonic oscillator, which
is well studied in elementary courses. A system of particles that interact through
several springs gives rise to a second-order system of differential equations, which
may be resolved into its normal modes- each of which undergoes simple har-
monic motion. Newton's law of gravitational attraction gives rise to a more com-
plicated system of nonlinear ordinary differential equations. Generally speaking,
whenever we have a finite number of point particles, the mathematical model is a
system of ordinary differential equations, where time Viays the role of independent
variable and the positions/velocities of the particles are the dependent variables.
In Chapter 2, we will give the complete derivation of the wave equation, which
governs the motion of a tightly streched vibrating string.
For time-dependent systems in one spatial dimension, we will use the notation
u(x; t) to denote the unknown function that is a solution of the PDE. In the case
of two or three spatial dimensions we will use the repective notations u(x, Yi t)
and u(x, y, z; t) to denote the solution of the PDE.
In the following subsection we will give a simplified derivation of the one-
dimensional heat equation. The complete derivation of the heat equation as it
applies to three-dimensional systems is found in Chapter 2.
0.1.4. The one-dimensional heat equation. Consider a one-dimensional

rod that is capable of conducting heat, and for which we can measure the temper-
ature u(x; t) at the position x at time instant t. We assume that this function has
continuous partial derivatives of orders 1 and 2. In order to motivate the discus-
sion, we first consider a finite system of equally spaced points Xl < X2 < ... < XN.
We expect that the temperature will remain constant as a function of time if there
is a local equilibrium, meaning that the temperature u(x,; t) is equal to the average
of its neighbors; in symbols,
au
at (x,; t) = 0 if
For example, if the point Xl is at 50 degrees and the neighbor to the left is at
40 degrees while the neighbor to the right is at 60 degrees, then we expect no
change in temperature.
On the other hand, if this condition of local equilibrium is not satisfied, then
we may expect that the temperature will change, in relation to the amount of
disequilibrium. Certainly one expects the temperature to increase if both neigh-
bors are warmer, but also if the average is warmer; for example, if the point x,
is at 50 degrees while the left neighbor is at 45 degrees and the right neighbor is
at 65 degrees, then the average is 55 degrees-5 degrees warmer than the home
temperature.
In order to quantify this, we postulate the following dynamical law.
The time rate of change of temperature at the point Xi is proportional to the

difference between the temperature at X, and the average of the temperatures at
the two neighboring points Xt-l, XHI
6 O. PRELIMINARlES
65 65
60
/ I 60
55
/ / 55
50 / /t ~ SO
45 / L ~ 45
40 / 40
I I I
.to XI X2 Xo XI X2
,(XI; 0) = 0 ~ (XI; 0) =+ 5k ~ (XI; 0) =-15k

Steady state Temperature increase Temperature decrease
FIGURE 0.1.1 Three different configurations of heat flow dynamics
To translate this into a mathematical statement, we must introduce a constant

of proportionality k, which will depend on the properties of the medium. If
we have a "good conductor," then k will be large, whereas if we have a "bad
conductor," then k will be small. The desired mathematical statement then
reads
(0.1.2)
r---------------------------------------------------------------------------------------------------~
'::: (Xi; t) = k Glu(Xi+ 1 ; t) + U(X,_l; t)]- U(X,; t)) , i = 2, ... ,N-1
Figure 0.1.1 presents three different configurations of heat flow dynamics,

corresponding to local equilibrium (also called steady state), temperature increase,
and temperature decrease.
The above mathematical model of heat flow can be expected to be rigorously
valid for a finite system of equally spaced points Xl < X2 < ... < X N. Equa-
tion (0.1.2) is a system of ordinary differential equations that can be solved by
algebraic methods, if necessary. If we now consider these points as an approxi-
mation to a continuum of points, then we can expect this model to be valid as a
first approximation when the spacing tends to zero. In order to obtain a partial
differential equation we apply Taylor's theorem with remainder:
1
U(X,+I; t) - u{x,; t) = (X,+l - Xi)Ux{X,; t) + 2"(XHl - x,)2 uxx(x~; t)
1
U{X,-l; t) - u(xs; t) = (X,-l - xs)ux{x,; t) + 2"(XS-l - x,)2 uxx(x~'; t)
where the points x~, x~' satisfy X,-l ~ x~' :5 x, :5 x~ ~ XHI. Recalling that
the points are equally spaced, let L).x = X,+l - Xs be the common spacing, and
substitute into (0.1.2) to obtain
(0.1.3) ~~ (x,; t) = k(~X)2 (uxx(x:; t) + uxx(X:/; t))

The final simplification is to assert that, if the spacing is very small, then the
values of the second partial derivative will vary very little from the nearby points
Xl) ~ , x~/, and thus we can replace the two values of the second partial derivatives
by the value at the point x,. Defining K = k(~X)2 /2, we obtain the heat equation
(0.1.4) I~ = Ku" I
The constant K is called the diffusivity.
With no further information, the heat equation (0.1.4) will have infinitely
many solutions. In order to specify a solution of the heat equation, we consider
various boundary conditions and initial conditions. Assuming that the rod occu-
pies the interval 0 < x < L of the x-axis, we consider three types of boundary
conditions at the endpoint x = 0:
I u(O;t) To =
II : U x (0; t) = 0
III : -ux(O; t) = h(Te - u(O; t)) whereh> 0
Boundary condition I signifies that the temperature at the end x = 0 is held
constant. In practice this could occur as the result of heating the end by means
of some device. Boundary condition II signifies that there is no heat flow at the
end x = O. In practice this could occur by means of insulation, which prohibits
the flow of heat at this end. Boundary condition III is sometimes called Newton's
law of cooling: the negative of the partial derivative is interpreted as the heat flux,
i.e., the rate of heat flow out of the end x = 0, and is required to be proportional to
the difference between the outside temperature Te and the endpoint temperature
u(O; t). If this difference is large, then we may expect heat to flow out of the rod
at a rapid rate. If Te is less than the endpoint temperature, then u(O; t) > Te and
the rate will be negative, so that we may expect heat to flow into the rod from
the exterior. The concept of flux will be discussed in more detail in Chapter 2,
when we derive the three-dimensional heat equation.
Similarly, we can have each of the three boundary conditions present at the
end x = L; in detail,
I : u(L;t) = 70
II : U x (L; t) = 0
III : ux(L; t) = h(Te - u(Lj t whereh > 0
The constants To, h, and Te may be the same as for the endpoint x = 0 or may
have different values. The interpretations are exactly the same as for the endpoint
8 O. PRELIMINARIES
x = 0, with one small exception: in the third boundary condition (III), the heat
flux at the end x = L is written without the minus sign, since this measures the
rate of heat flow out of the end x = L. As before, we expect that if the external
temperature Te is much greater than the endpoint temperature u(Lj t), then the
rate of heat flow out of the end will be large, whereas if the external temperature
is less than the endpoint temperature, then the heat flow out will be negative.
A typical boundary-value problem for the heat equation will have one bound-
ary condition for each end x = 0 and x = L. Considering all possible cases, we
have nine different combinations, of which we list the first three below:
u(O; t) = To, u(L;t) = TL
u(O; t) = To, ux(L; t) = 0
u(O; t) = To, ux(L; t) = h(Te - u(L; t))
The final piece of information used to specify the solution is the inital data.
This is simply written
u(x; 0) = f(x), O<x<L
This signifies that the temperature is known at time t = 0 and is given by the
function f(x),O < x < L. Note that we do not insist that this agree with the
values of the solution at the endpoints x = 0, x = L. Specification of boundary
conditions and initial conditions is known as the initial-boundary-value problem.
In Chapter 2 we will make a detailed study of this for the one-dimensional heat
equation.
In the remainder of this subsection we will determine the steady-state solutions
of the heat equation corresponding to the various boundary conditions. u is said
to be a steady-state solution if au/at = O. Referring to the heat equation (0.1.4),
this is equivalent to the statement that U xx = O.
EXAMPLE 0.1.2. Find the steady-state solution of the heat equation with the
boundary conditions u(Oj t) = Ttl u(L; t) = T2.
Solution. Since the solution is independent of time, we can write u = U(x),
with U"(x) = O. The general solution of this is a linear function: U(x) = Ax+ B.
The boundary condition at x = 0 gives B = Tt , whereas the boundary condition
at x = L gives AL + B = T2, A = (T2 - Td/ L. The steady-state solution is
U(x) I
= Tl + T2 ~ Tl X = T2 + Tl (1 - I) .
EXAMPLE 0.1.3. Find the steady-state solution of the heat equation with the
boundary conditions u(Oj t) = TIl ux(L; t) = h(Te - u(Lj t).
Solution. Since the solution is independent of time, we can write u = U(x),
with U"(x) = O. The general solution of this is a linear function: U(x) = Ax+ B.
The boundary condition at x = 0 gives B = T1 , whereas the boundary condition
at x = L gives A = h(Te-AL-B), A = -h(T1 -Te )/(1+hL) and the steady-state

solution
hx hx 1 + h(L - x)
U(x) = Tl - 1 + hL (Tl - Te) = Te 1 + hL + Tl 1 + hL
EXERCISES 0.1.4
1. Find the steady-state solution of the heat equation with the boundary
conditions u(O; t) = T 1 , u:r;(L; t) = O.
conditions u:r;(O; t) = h(To - u(O; t, u:r;(L; t) = , where h, To, are
positive constants.
conditions -u:r;(O; t) = h(To - u(O; t, u:r;(L; t) = h(TI - u(L; t where
To, T I , h are constants with h > O.
0.1.5. Classification of second-order PDEs. It is impossible to formu-
late a general existence theorem that applies to all linear partial differential equa-
tions, even if we restrict attention to the important case of second-order equations.
Instead, it is more natural to specify a solution through a set of boundary con-
ditions or initial conditions related to the equation. For example, the solution
of the heat equation Ut = K U:r;:r; in the region 0 < x < L, 0 < t < 00 may be
specified uniquely in terms of the initial conditions at t = 0 and the boundary
conditions at x = 0 and x = L. On the other hand, the solution of the wave
equation Utt - t?u:r;:r; = 0 in the region 0 < x < L, 0 < t < 00 is uniquely obtained
in terms of the boundary conditions at x = 0, x = L and two initial conditions,
pertaining to the solution u(x; 0) and its time derivative fJujfJt(x; 0). In order
to put this in a more general context, one may classify the second-order linear
partial differential equation as follows:
(0.1.5)
a(x, y)u xx + b(x, y)u:r;y + c(x, y)uyy + d(x, y)u x + e(x, y)u y + I(x, y)u = g(x, y)
If 4ac - 1Jl > 0, the PDE (0.1.5) is called elliptic.
If 4ac - b2 = 0, the PDE (0.1.5) is called parabolic.
If 4ac - b2 < 0, the PDE (0.1.5) is called hyperbolic.
For example, Laplace's equation and Poisson's equation are both elliptic, while
the wave equation is hyperbolic. The heat equation is parabolic. General the-
orems about these classes of equations are stated and proved in more advanced
texts and reference books. Here we indicate the types of boundary conditions
that are natural for each of the three types of equations.
If the equation is elliptic, we may solve the Dirichlet problem, namely, in
a region D to find a solution of Cu = 9 that further satisfies the boundary
10 O. PRELIMINARIES
condition that U = l/>(x, y) on the boundary of D. For example, the physical

problem of determining the electrostatic potential function u(x, y) in the interior
of the cylindrical region x 2 + y2 < R2 when the charge density p(x, y) is specified
and the boundary is required to be an equipotential surface leads to the elliptic
boundary-value problem
U + U = -p(x, y)
xx yy x 2 + y2 < R2
u(x,y) = C x 2 + y2 = R2
If the equation is parabolic or hyperbolic, it is natural to solve the Cauchy
problem, which amounts to specifying the solution and its time derivative on
the line t = 0 as well as specifying the relevant boundary conditions. Here we
indicate the Cauchy problem for the equation of the vibrating string, which will
be derived in complete detail in Chapter 2:
Utt - c2 uxx = 0 t > 0, 0 < x < L
u(x; 0) = Il(X) O<x<L
Ut(x; 0) = h(x) O<x<L
u(O; t) = 0, u(L; t) = 0 t>O
The initial conditions Ib h represent the initial position and velocity of the
vibrating string. The boundary conditions at x = 0 and x = L signify that ends
of the string are fixed for all time at the position u = O.
EXERCISES 0.1.5
Classify each of the following second-order equations as elliptic, parabolic, or

hyperbolic.
1. U xx + 3uxy + U yy + 2ux - u y = 0
2. U xx + 3uxy + Buyy + 2ux - uy = 0
3. U xx - 2uxy + U yy + 2ux - u y = 0
4. U xx +xuyy = 0
0.2. Separation of Variables

0.2.1. What is a separated solution? A fundamental technique for ob-
taining solutions of linear partial differential equations is the method of separa-
tion of variables. This means that we look for particular solutions in the form
u{x, y) = X{x)Y(y) and try to obtain ordinary differential equations for X{x)
and Y (y). These equations will contain a parameter called the separation con-
stant. The function u(x, y) is called a separated solution. Then we can use the
superposition principle to obtain more general solutions of a linear homogeneous
PDE as sums of separated solutions.
0.2. SEPARATION OF VARIABLES 11
0.2.2. Separated solutions of Laplace's equation. It is especially simple

to obtain separated solu tions for Laplace's equation, U:c:c + u yy = o.
If we let u(x, y) = X(x)Y(y) and substitute in Laplace's equation, we obtain
X"(x)Y(y) + X(x)Y"(y) = 0
Dividing by X(x)Y(y) (assumed to be nonzero), we obtain
X" (x) yll(y)
X(x) + Y(y) = 0
The first term depends only on x, while the second term depends only on y. The
sum can equal zero only if both terms are constants that sum to zero. In order
to express this in terms of a single parameter, we introduce the constant ,,\ and
obtain the system of two ordinary differential equations
XI/(x) Y"(y)
X(x) =,,\, Y(y) =-,,\
,,\ is the separation constant. These equations may be written in the more standard
form
(0.2.1) XI/(x) - "\X(x) = 0
(0.2.2) yl/(y) + "\Y(y) = 0
Both of these are second-order homogeneous linear ordinary differential equations,
which may be solved in terms of exponential functions, trigonometric functions,
or linear functions, depending on the sign of ,,\.1 To proceed further, we consider
separately the three cases ,,\ > 0, ,,\ = 0, and ,,\ < 0.
Case 1. If,,\ > 0, we write ,,\ = k 2 , where k > 0. The general solutions to
(0.2.1) and (0.2.2) are
X(x) =
A 1ek:c + A 2 e-k:c
Y(y) = A3 cos ky + A4 sin ky
where AI, A 2 , A 3 , A4 are arbitrary constants. These cannot be determined until
we have imposed further conditions, which will be done later.
Case 2. If,,\ = 0, we have the equations X" = 0, Y" = 0, for which the
general solutions to (0.2.1) and (0.2.2) are linear functions:
X(x) = A 1x + A2
Y(y) = A3 y + A4
where AI, A 2 , A31 A4 are arbitrary constants.
1 For a review of ordinary differential equations, consult Appendix A.I.

12 O. PRELIMINARIES
Case 3. If A < 0, we write A = _12, where I > 0; the general solutions of

(0.2.1) and (0.2.2) are
X(x) = Al cos Ix + A2 sin lx
Y(y) = A 3 ely + A 4 e-ly
To summarize, we have found the following separated solutions of Laplace's
equation:
(Alekx + A 2e- kx )(A3 cos ky + A4 sin ky) k > 0
u(x, y) = (AIX + A 2 )(A3 y + A4)
{ (AI cos Ix + A2 sin Ix)(Aaely + A e- ly ) I>0
4
We can also write the separated solutions of Laplace's equation in terms of
hyperbolic functions. These are defined by the formulas
1
cosh a = _(ell + e- Il )
2
From this it follows immediately that
ell = cosh a + sinh a, e- a = cosh a - sinh a
Using this notation, we can write the separated solutions of Laplace's equation
in the equivalent form
(AI sinh kx + A2 cosh kX)(Aa cos ky + A4 sin ky) k > 0
u(x, y) = (AIX + A2 )(A3y + A4)
{ (At cos Ix + A2 sin lx)(Aa sinh ly + A4 cosh Iy) l >0
We emphasize that the constants At, A 2, A 3 , A4 will change when we make this
change of notation. But the form of the solution remains unchanged; put other-
wise, the classes of separated solutions defined by the two sets of notations are
identical.
To derive these, we assumed that u(x, y) =p O. Having now obtained the
explicit forms, we can verify independently that in each case u(x, y) satisfies
Laplace's equation.
EXAMPLE 0.2.1. Verify that the preceding separated solutions satisfy Laplace's
equation.
Solution. In case A > 0, we have
u(x, y) = (Ale kx + A2e- kx )(Aa cos ky + A4 sin ky)
so that
u x = (kAle kx - kA2 e- kx )(A 3 cos ky + A4 sin ky)
u xx = (k 2A1ekx + k 2A 2e- kx )(A3 cos ky + A4 sin ky)
u y = (Ale kX + A 2e- kx )( -kA3 sin ky + kA4 cos ky)
U yy = (Ate
kx + A e- kx )( _k2A3 cos ky - k2A4 sin ky)
2
The second and fourth terms are negatives of one another. Therefore U xx + U yy =
0, and we have verified Laplace's equation in case A > O.
In case A = 0 we have
Ux = Al(Aay + A4), U xx = 0
uy = (AlX + A2 )A a , uyy = 0
so that both of the partial derivatives Uxx and U yy are zero and Laplace's equation
is immediate in this case. The verification for A < 0 is left to the exercises.
EXERCISES 0.2.2
1. Verify that u(x, y) = (AI cos Lx +A2 sin lx)(Aae'Y+A4e-ly) satisfies Laplace's
equation, for any 1 > O.
2. Suppose that u(x, y) is a solution of Laplace's equation. If 0 is a fixed real
number, define the function v(x,y) = u(xcosO - ysinO,xsin9 + ycos9).
Show that vex, y) is a solution of Laplace's equation.
3. Apply the result of the previous exercise to the separated solutions of
Laplace's equation of the form u(x, y) = (Ale b + A 2 e- b )(Aa cos ky +
A4 sin ky), to obtain additional solutions of Laplace's equation. Are these
new solutions separated?
4. From the definitions of the hyperbolic functions, prove the following prop-
erties:
(a) sinh 0 = 0, cosh 0 = 1
(b) (djdx)(sinhx) = cosh x, (d/dx)(coshx) = sinh x
(c) cosh x 2: 1 for all x
(d) cosh x 2: sinh x for allx
(e) sinh(x + y) = sinh x cosh y + cosh x sinh y
(f) cosh(x + y) = cosh x cosh y + sinh x sinh y
0.2.3. Real and complex separated solutions. In the previous subsec-
tion we found all of the separated solutions of Laplace's equation, in terms of
trigonometric functions, exponential functions, and linear functions using a real
separation constant.
In looking for separated solutions of a PDE, it is often convenient to allow
the functions X(x) and Y(y) to be complex-valued, corresponding to a complex
separation constant. The following proposition shows that the real and imaginary
parts of any complex-valued solution will again satisfy the PDE.
PROPOSITION 0.2.1. Let u(x, y) = VI (x, y) + iV2(X, y) be a complex-valued
solution of the linear PDE
u = au xx + buxy + CU yy + dux + euy + fu = 9
where a, b, c, d, e, f, 9 are real-valued functions of (x,y). Then Vt(x,y) =
Reu(x,y) satisfies the PDE u = g, and V2(X,y) = Imu(x,y) satisfies the asso-
ciated homogeneous PDE u = O.
14 O. PRELIMINARIES
Proof. The operation of partial differentiation is linear; thus

ux = (vt}x + i(V2)x
u xx = (vdxx + i(V2)xx
with similar expressions for u y, U yy , and uxy ' Substituting these into the par-
tial differentia,l equation and separating the real and imaginary parts yields the
result .
We illustrate this technique with the example of Laplace's equation. Letting

u(x, y) = X(x)Y(y), consider a purely imaginary separation constant in the form
A = 2ik2, where k > O. This leads to the two ordinary differential equations
(0.2.3) X"(x) - 2ik2 X(x) = 0
(0.2.4) yll(y) + 2ik2y(y) = 0
These can be solved in terms of the complex exponential function, using the
observation that [k(l + i)]2 = 2ik2, [k(l - i)]2 = -2ik2. Thus
Multiplying these, we obtain the complex separated solutions

ek(x+Y)e,k(x-y)
ek(x-y)e,k(x+y)
u(x, y) = ek(y-x)e-ik(x+y)
{
e-k(x+y) eik(y-x)
When we take the real and imaginary parts, we obtain the following real-valued
solutions of Laplace's equation:
ek(x+y) cos k(x - y), ek(x+y) sin k(x - y)
ek(x-y) cos k(x + y) ek (X-lI) sin k(x + y)
u (x ,y) = ek(y-x) cos k(x + y),' ek(y-x) sin k(x + y)
{
e- k (X+lI) cos k(y - x), e-k(x+y) sin k(y - x)
When we consider more general linear PDEs, complex-valued separated so-
lutions may always be found if the functions a, b, c, d, e, f that occur in the
equation are independent of (x, y); in this case we speak of a PDE with constant
coefficients, whose solutions may be written as exponential functions.
PROPOSITION 0.2.2. Consider the linear homogeneous PDE
au xx + buxy + cuyy + dux + euy + fu = 0
Suppose that a, b, c, d, e, f are real constants. Then there exist complex separated
solutions of the form
u(x, y) = eQxe!y
for appropriate choices of the complex numbers Q, {l.
Proof. We first note that the ordinary rules for differentiating eOx are valid
for complex-valued functions. For example, if a = a + ib,
! (e OX ) = d~ [e llX (cos bx + i sin bx)]

= aeax cos bx - beax sin bx
+ i (aeax sin bx + beax cos bx)
= ellX(a + ib)(cosbx + isinbx)
= (a + ib)e(a+ib)x
= ae ox
Similarly, (cP /dx 2 )(eOx ) = a 2eox , with similar expressions for (d/dy) and (d 2/dy2).
Applying this to u(x, y) = eoxe fJy , we have Ux = au, Uxx = a 2u, uy = {ju,
Uyy = {j2U, u xy = a/3u. Substituting these into the PDE, we must have
(aa 2 + ba/3 + c(32 + do + e(3 + J)eOxefJY = 0
But eoxe fJy =fi 0; therefore we obtain a solution if and only if a, (3 satisfy the
quadratic equation
(0.2.5) Iaa2 + ba(3 + c(32 +da + e/3 + J = 0 I
For a given value of (3, we may solve this equation for a to obtain in general two
roots aI, a2. Alternatively, we may fix a and solve for /3 to obtain in general two
roots (31, (32' This proves the proposition .
In the case of Laplace's equation, the quadratic equation (0.2.5) is 0 2 +(32 = O.

If a is real, then (3 must be purely imaginary; conversely if f3 is real, then a is
purely imaginary. These two cases correspond to the separated solutions found in
the previous subsection by solving (0.2.1) and (0.2.2). The solutions originating
from (0.2.3) correspond to values of a for which 0 2 is purely imaginary.
We now turn to some examples involving the heat equation, where complex
separated solutions are useful.
EXAMPLE 0.2.2. Find separated solutions oj the PDE U XX - Ut = 0 in the
form u(x, t) = e'l'Xe{Jt, with p, real.
Solution. Substituting u(x, t) = ell'XefJ t in the PDE yields the quadratic
equation _p,2 - f3 = O. Thus (j = _p,2, and we have the separated solutions
u(x, t) = e'jJXe- JJ2t
= cos J1.x e- JJ2t
+ i(sin J1.X e- JJ2t )
Taking the real and imaginary parts, we obtain the real-valued separated solutions
16 O. PRELIMINARIES
By taking linear combinations, we may write the general real-valued separated

solution as
U{x; t) = (Ai sin /-LX + A2 cos Jlx)e- lI.2t
where A., A2 are arbitrary constants.
In the above example the solutions tend to zero when the time t tends to
infinity. In some problems we may wish to obtain a solution that oscillates in
time, to represent a periodic disturbance.
EXAMPLE 0.2.3. Find separated solutions of the PDE U XX - Ut =0 in the
form u{x, t) = eQXeIWt
, where w is real and positive.
Solution. Substituting u(x, t) = eQXeIWt in the PDE Ut - UXX = 0 yields the

quadratic equation 0.2 - iw = O. This equation has two solutions, which may be
obtained as follows. Writing the complex number i in the polar form i = ei7r / 2 , we
have the two square roots il/2 = eitr/ 4 = (l + i)/V2. Therefore the solutions
of the quadratic equation are a. = {l + i) JW/2. The separated solutions are
exp[x(l + i)v'w/2] exp(iwt)
( t) = = exp(xv'w/2} exp[i(wt + xv'w/2)]
U x, { exp[-x(l + i)y'w/2] exp(iwt)
= exp[-xv'w/2) exp[i(wt - xy'w/2)]
Taking the real and imaginary parts, we have the real-valued solutions
eXVwii cos(wt + xv'w/2}
eXVwii sin(wt + x Jw/2}
u(x, t) = . CM
e- x yw/2 cos(wt - xJw/2)
e- x .;;;i2 sin(wt - xv'w/2}
These real-valued solutions are no longer in the separated form X(x)T(t). But
because they arise as the real and imaginary parts of complex separated solutions,
we refer to them as quasi-separated solutions.
If some of the coefficients a, b, c, d, e, f are not constant, we will no longer have

separated solutions in the form of exponential functions. Even worse, the equation
may not admit any nonconstant separated solutions, for example, u x +(x+y)ull =
o(see the exercises). Nevertheless, various classes of equations can still be solved
by the separation of variables. For example, for any equation of the form
a(x)uxx + c(Y)Uyy + d(x)u x + e(y)ulI = 0
if we divide by X(x)Y{y), we have
X" (x) X1(x)] [y,,(y) YI(y)]
[a(x) X(x) + d(x) X(x) + c(y) Y(y) + e(y) Y(y) = 0
The term in the first set of brackets depends only on x, while the term in the
second set depends only on y; therefore both are constant and we have reduced the
problem to ordinary differential equations. Introducing the separation constant
A, we have in detail
a(x)X" (x) + d(x)X'(x) + A X(x) = 0
C(y)yll(y) + e(y)yl(y) - A Y(y) = 0
The following example gives a concrete illustration.

EXAMPLE 0.2.4. Find all of the real-valued separated solu.tions of the PDE
U xx + y2u yy + yUy = 0 valid for y > o.
Solution. We let u(x, y) = X(x)Y(y) and obtain the separated equations
(0.2.6) X"(x) + AX(X) =0
(0.2.7) y2 ylI(y) + y Y'(y) - AY(Y) =0
Equation (0.2.6) has constant coefficients and was solved previously; equation
(0.2.7) is a form of Euler's equidimensional equation, which can also be solved
explicitly. We consider separately the cases A > 0, A = 0, and A < O.
If A = k 2 > 0, then the general solution of (0.2.6) is X(x) = Al cos kx +
A2 sin kx. Meanwhile (0.2.7) can be solved by a power Y(y) = yr, where r(r -
1) + r - k 2 = 0; thus r = k and the general solution Y (y) = A3yk + A 4y-k.
=
If A = 0, then the general solution of (0.2.6) is X(x) AJ +A2X, while (0.2.7)
=
becomes y2 Y" + Y y' 0, which has the general solution Y(y) = A3 + A4logy
valid for y > O.
If A = -l2 < 0, then the general solution of (0.2.6) is X(x) = AIe'x + A 2e- lx ,
while (0.2.7) becomes y2 y" + Y yl + l2y = 0, which has the general solution
Y(y) = A3 cos(llogy) + A4 sin(llogy).
Putting these together, we have the most general real-valued separated solu-
tion:
(AI cos kx + A2 sin 'kx) (A3yk + A4 y-k) k>0
u(x,y)= (AI +A2X)(A3 + A410gy)
{ (Ale 1x + A e- IX )(A cos(llogy) + A4 sin(llogy 1> 0
2 a
EXERCISES 0.2.3
1. Find the separated equations satisfied by X(x), Y(y) for the following
partial differential equations:
(a) U xx - 2u yy = 0 (b) U xx + U yy + 2ux = 0
(c) x 2u xx - 2yu y = 0 (d) Uxx + U x + u y - u = 0
2. Which of the following are solutions of Laplace's equation?
(a) u{x,y) = eXcos2y (b) u(x,y) = eXcosy+eYcosx
(c) u(x, y) = eXeY (d) u(x, y) = (3x + 2)eY
18 O. PRELIMINARIES
In Exercises 3-7, find the separated solutions of the indicated equations.

3. uxx + 2ux + ullll = 0
4. U xx + u llll + 3u = 0
5. 2
x u xx + xUx + U yy = 0
6. U xx - uyy + u = 0
7. U xx + yU y + u = 0
8. This exercise provides an example of a homogeneous linear partial differ-
ential equation with no separated solutions other than u(x, y) = constant.
Suppose that u(x, y) = X(x)Y(y) is a solution of the equation U x +
(x + y)u y = O. Show that X(x) and Y(y) are both constant. [Hint:
Show first that X'(x)/X(x) + (x + y)(Y'(y)/Y(y)) = 0 and deduce that
X'(x)/ X (x) = cx+d, Y'(y)/Y(y) = -c for suitable constants c, d. By solv-
ing these ordinary differential equations, show that the PDE is satisfied if
and only if c = 0, d = 0.]
0.2.4. Separated solutions with boundary conditions. In many prob-

lems we need separated solutions that satisfy certain additional conditions, which
are suggested by the physics of the problem. They may be in the form of bound-
ary conditions or conditions of boundedness. We shall now illustrate these by
means of examples.
EXAMPLE 0.2.5. Find the separated solutions of Laplace's equation U xx +
u yy = 0 in the region 0 < x < L, y > 0 that satisfy the boundary conditions
u(O, y) = 0, u(L, y) = 0, u(x, 0) = o.
Solution. From the discussion in subsection 0.2.2 we have the separated
solutions of three types, depending on the separation constant.
(At sinh kx + A2 cosh kx)(A3 cos ky + A4 sin ky) k > 0
u(x, y) ={ (AIX + A2)(AaY + A4)
(Al coslx + A2sinlx)(A3sinhly + A4 cosh1y) I> 0
In the first case, we must have 0 = u(O, y) = A2(A3 cos ky + A4 sin ky), so
A2 = 0, while 0 = u(L, y) = Al sinh kL(A3 cos ky+A4 sin ky) implies that Al = 0,
so this case does not produce any separated solutions that satisfy the boundary
conditions.
In the second case, we must have 0 = u(O, y) = A 2(A 3 y + A 4), so A2 = 0, and
o = u(L, y) = AIL(AaY + A4), so Al = O. Therefore this case does not produce
any separated solutions that satisfy the boundary conditions.
In the third case, we must have 0 = u(O,y) = A 1 (A 3 sinhly + A 4 coshly), so
that Al = 0; and 0 = u( L, y) = A2 sin L1 (A3 sinh ly + A4 cosh 1y) has a nonzero
solution if and only if sin Ll = 0, which is satisfied if and only if Ll = nll' for some
n =1,2,3, .... To satisfy the boundary condition u(x,O) = 0, we must have
A4 = O. Writing A = A 2 A 3 , we have obtained the following separated solutions
of Laplace's equation satisfying the boundary conditions:

n1f'X . h n1f'Y 2
(
uX,Y ) = A smLsm L' n=l, , ...
The following example occurs repeatedly in the solution of the heat equation
in Chapter 2.
EXAMPLE 0.2.6. Find the separated solutions u(x; t) of the heat equation U xx -
Ut =0 in the region 0 < x < L, t > 0 that satisfy the boundary conditions
u(O; t) = 0, u(L; t) = O.
Solution. In Example 0.2.2 we found the real-valued separated solutions
u(x; t) = (AI sin /Lx + A2 cos j.lx)e-1'2 t
In order to satisfy the boundary condition at x = 0 we must have 0 = u(O; t) =
A 2e-1'2 t , which is satisfied if and only if A2 = O. In order to satisfy the boundary
condition at x = L, we must have 0 = u(L; t) = Al (sin j.lL) e-1'2t. This is satisfied
if and only if JLL = n1f' for some n = 1,2, .... Therefore the separated solutions
satisfying the boundary conditions are of the form
u(x; t) = Al sin n~x e-(mrI L)2 t , n = 1,2,...
The next example occurs repeatedly in the discussion of the vibrating string
in Chapter 2, Sec. 2.4.
EXAMPLE 0.2.7. Find the separated solutions of the wave equation Utt -c2 u xx =
o that satisfy the boundary conditions u(O; t) = 0, u(L; t) = O.
Solution. Assuming the separated form u(x; t) = X(x)T(t), it follows that
X(x)T"(t)-c2 X" (x)T(t) = O. Thus X"(X)+AX(X) = 0, T"(t)+Ac2T(t) = O. The
boundary conditions require X(O) = 0, X(L) = 0; thus X(x) = A3 sin(n1f'x/L),
T(t) = Al cos (n1f'ct/ L) + A2 sin (n1f'ct/ L) for constants At, A2, A 3 . The required
separated solutions are
u(x; t) = (AI cos (n1f'ct/ L) + A2 sin(n1f'ct/L sin (n1f'x/ L) n = 1,2,...
In all of the preceding examples we used one or more boundary conditions
to pick out certain values of the separation constant that satisfy the boundary
conditions. This can also be carried out through conditions of boundedness as
indicated in the following examples. Physically these represent a stationary solu-
tion, corresponding to a system that has been in existence over a very long period
of time.
EXAMPLE 0.2.8. Find the complex separated solutions u(x; t) of the wave
equation Utt - c2uxx = 0, which are bounded in the form !u(x; t)! ~ M for some
constant M and all t, -00 < t < 00.
20 O. PRELIMINARlES
Solution. Taking u(x; t) = eax+bt and substituting in the wave equation,

we have b2 - c'la2 = 0; thus b = ca. The separated solutions are of the form
u(x; t) = e4X ecat , eaxe- cat This solution is bounded for all t if and only if a is pure
imaginary, a = ik for k real. Thus the solutions are u(x; t) = eik(x+ct), eik(x-ct).
The real (quasi-separated) solutions are cos k(x + ct), cos k(x - ct), sin k(x + ct),
sin k(x - ct) .
The final example, concerning stationary solutions of the heat equation, will
be developed in more detail in Chapter 2, Sec. 2.1, in connection with heat flow
in the earth.
EXAMPLE 0.2.9. Find the complex separated solutions u(x; t) o/the heat equa-
tion Ut - U xx = 0, which are bounded in the form lu(x; t)1 ~ M for some constant
M and all t, -00 < t < 00.
Solution. Taking u(x; t) = eax+bt and substituting in the heat equation, we
have b - a2 = O. In order that this solution be bounded for all t, -00 < t < 00,
it is necessary that the constant b be purely imaginary; otherwise the solution
would tend to +00 for large It I if b had a nonzero real part. Hence we set b = iw,
where w is real. Assuming w > 0, the equation a2 = iw has two solutions,
a= Vi(1 + i), a= -Vi(1 +i)

leading to the separated solution
u(x; t) = eiwt (A l eVw/2(l+t}X + A2e-Vw/2{1+i}X)
If w < 0, then the equation a2 = iw has two solutions,
a= /(I- i), a= -/(I- i)
leading to the separated solution
u(x; t) = eiwt (A1ev'I WI/2(1-t)X + A 2 e-v'lw I/ 2(1-I)X)
The alert reader will note that these separated solutions are closely related
to those found in Example 0.2.3, where we stipulated in advance that w be real
and positive. Now we have shown that the reality of w can be deduced from the
qualitative condition of boundedness of the solution for all time.
EXERCISES 0.2.4
1. Find the separated solutions u(x, y) of Laplace's equation U xx + U yy = 0

in the region 0 < x < L, y > 0 that satisfy the boundary conditions
ux(O, y) = 0, ux(L, y) = 0, u(x,O) = O.
0.3. ORTHOGONAL FUNCTIONS 21
2. Find the separated solutions u(x, y) of Laplace's equation U:z::z: + uyy = 0

in the region 0 < x < L, y > 0, that satisfy the boundary conditions
u(O, y) = 0, u(L, y) = 0 and the bounded ness condition lu(x, y)1 ~ M for
y > 0, where M is a constant independent of (x, y).
3. Find the separated solutions u(x; t) of the heat equation Ut - U:z::z: = 0 in the
region 0 < x < L, t > 0, that satisfy the boundary conditions u(O; t) = 0,
u(L; t) = O.
4. Find the separated solutions u(x; t) of the heat equation Ut -U:z::z: = 0 in the
region 0 < x < L, t > 0, that satisfy the boundary conditions u:z:(O; t) = 0,
u:z:(L; t) = O.
5. Find the separated solutions u(x; t) of the heat equation Ut -U:z::z: = 0 in the
region 0 < x < L, t > 0 that satisfy the boundary conditions u(O; t) = 0,
u:z:(L;t) = O.
0.3. Orthogonal Functions

Separated solutions of linear partial differential equations with suitable bound-
ary conditions lead to systems of orthogonal junctions, which are introduced in
this section. The most important system of orthogonal functions gives rise to
the trigonometric Fourier series, which will be discussed in Chapter 1, including
the more general Sturm-Liouville eigenvalue problem. In order to formulate the
property of orthogonality, we first introduce the general notion of inner product.
0.3.1. Inner product space of functions. The notions of dot product,

distance, orthogonality, and projection, which are familiar for vectors in three
dimensions, can also be formulated for real-valued functions on an interval a ~
x ~ b. The basic notion is the inner product of two functions cp(x), 7f;(x) on the
interval a ~ x ~ b. This is defined by the integral
(0.3.1) I(<p, 7f;) = f: cp(x)7f;(x) dx I

For example, on the interval 0 ~ x ~ 1, we have (x,e:Z:') = fol xe:z:'dx = ~(e-1) =
0.86, to two decimal places.
The inner product defined by (0.3.1) has many properties in common with
the ordinary dot product of two vectors in three-dimensional space, defined by
v . W = Vl Wl + V2W2 + V3W3. The analogy between the inner product and the
three-dimensional dot product is intuitive if we think of the integral as a "con-
tinuous sum" of the pointwise products cp(x)7f;(x), a generalization of the three-
dimensional dot product formula.
22 O. PRELIMINARIES
The inner product is linear and homogeneous in both arguments. This means
that, for any functions <PI, <P2, 'l/Jl, 'l/J2 and any real number a,
+ 7fJ2) = (<pI, 'l/Jl) + (<PlJ'l/J2)

(<pI, 'l/JI
(<PI + <P2, tPl) = (<pI, tPl) + (<P2, 'l/Jl)
(a<Pl,'l/Jl) = a(<pt,'l/JI)
(<pI, a'l/Jl) = a(<pI, tPl)
The proofs of these properties are left as exercises.
Definition Two functions <p, 'l/J are orthogonal on the interval a ~ x ~ b if and
only if (<p, 'l/J) = o.
This definition requires some comment. It is formulated as a generalization

of the notion of perpendicularity for vectors in three-dimensional space, which
is expressed as the equation v . w = O. In working with functions, it is difficult
to visualize the notion of orthogonality, as we are accustomed to for vectors in
two- and three-dimensional space. In particular, there is no suggestion that the
graphs of the two orthogonal functions intersect at 90 degrees.
A few examples may help to illustrate these concepts.
EXAMPLE 0.3.1. Show that the functions c/>{x) = sinx, 'l/J{x) = cosx are
orthogonal on the interval 0 ~ x ~ 'Tr but are not orthogonal on the interval
O~x~1r/2.
Solution. The inner product on the interval 0 ~ x ~ 1r is computed as the

integral
/." sin x cosxdx = ~(Sinx)21; =0

If we do the same computation on the interval 0 ~ x ~ 1r /2, we obtain
71'/2 1. 71' /2 1
o smx cosxdx = 2(smx)2Io = 2
/.
Therefore we have orthogonality in the first case but not in the second case .
For more than two functions, we say that (<PI,"" <P N) are orthogonal if
"I j. This is illustrated by the next example.
(<PI' <PJ) = 0 for i
EXAMPLE 0.3.2. Show that the set of functions sin x, sin 2x, ... ,sin N x is or-
thogonal on the interval 0 ~ x ::; 1r for any N ~ 2.
Solution. The inner product on the interval 0 ~ x ~ 1f' is computed as the

integral
f." sin mx sin nx dx

We use the trigonometric identity
sin mxsin nx = ~[cos(m - n)x - cos(m + n)xJ
If m # n, the integral of each cosine function is a sine function, which vanishes

at the endpoints x = 0, x = 1f'. Therefore each of the integrals is zero, and we
have proved orthogonality.
The nonn of a function is the nonnegative number 1I<p1I that satisfies
For example, on the interval 0 ~ x ~ 7r,
II sin xW = f.0
~
sin
2
xdx = f.~ 1
0 2(1 - cos 2x)dx
1
= 211"
The distance between <P and 7/J is defined by d(<p,7/J) = 11<p - 7/J1!. For example,
the distance between sin x and cos x on the interval 0 ~ x ~ 11" is obtained from
[d(sin x, cos x)]' = [(Sin x - cosx)' dx = f." (sin' x + cos' x) dx = 1f

so that the distance is given by d = Vi 1.77 to two decimals. Since these
f'V
two functions are orthogonal, one may think of a "right triangle" in the space of
functions, for which we have computed the hypotenuse.
In order to formulate the notion of angle for functions on an interval, we
recall that for vectors in three-dimensional space we have the dot product formula
v . w = IIvllllwll cosO, where 0 is the angle between the vectors v and w and
llvll, IIwll are the lengths of the respective vectors. Hence the cosine of the angle
between the two vectors may be computed as the ratio of the dot product to the
product of the lengths. In order to extend this to functions on an interval, we
need to know that the corresponding ratio is not greater than 1 in absolute value.
This is known as the Schwarz inequality.
PROPOSITION 0.3.1. Suppose that <p(x), 7/J(x) are nonzero functions defined
on an interval a ::; x ::; b. Then
(0.3.2)
24 O. PRELIMINARIES
Proof. By the linearity and homogeneity of the inner product, we have, for
any real number t,
D(t) := IIcp - t?jJW = IlcpW - 2t(cp,?jJ) + t 211?jJ1I2
= 1I?jJ1I 2 (t2 _ 2t (cp, ?jJ) + (cp,1/J)2)
1I?jJ112 111/J114
+ (II cp 11
2
-ww-
(cp,1/J)2)
= 11"1'11 2
Cj/
(
t-
(cp,?jJ}) 2
11?jJ11 2 +
(II cp 112 --ww
(cp,?jJ}2)
From these transformations we see that this quadratic function of t is nonnegative

and has a global minimum at t = to, where to = (cp,?jJ) 111?jJ1I2; at this point the
value of the function is nonnegative and given explicitly by
D(to) = (11'1'112 _ (~~~~2) ~ 0

which completes the proof of the Schwarz inequality.
In case the equality sign holds in equation (0.3.2), we expect that the func-
tions cp(x), ?jJ(x) will be proportional to one another, analogous to the case of
three-dimensional vectors that are colinear. This is rigorously true if both func-
tions cp(x), ?jJ(x) are continuous: from the above computations, the integral of the
nonnegative continuous function Icp(x) -to?jJ(X)12 is equal to zero. But this means
that the function must be identically zero, so that we conclude cp(x) - to1/J(x) = 0
for all x, a ~ x ~ bj thus we have established the desired proportionality, with the
proportionality constant to. If one of the functions fails to be continuous, we can-
not conclude that the integrand is zero everywhere, but only almost everywhere
(for example, a finite set).
0.3.2. Projection of a function onto an orthogonal set. We now discuss

minimizing properties of orthogonal functions. This will motivate the definition
of Fourier coefficients in a general setting. Let (CPI, , cP N) be a set of orthogonal
functions with Ilcp,1I =F 0 for 1 ~ i ~ N. If I is an arbitrary function, we compute
the minimum of
D(Cl," "CN) = III - (CICPI + ... + CNCPN) 112
where (CI,"" eN) range over all real values. In other words, we are trying to find
the best "mean square approximation" of the given function I(x), a ~ x ~ b, by
means of linear combinations of the members of the orthogonal set.
2This means that the set of exceptional values can be included in a union of intervals whose
total length is arbitrarily small.
PROPOSITION 0.3.2. The minimization problem has the following properties:

The minimum is attained uniquely when
~ (f, tp,)
c; = c.:= IItpi11 2'
The minimum distance is given by
d2 . = 11/112 _ ~ (/, tpi)2

min ~ IItpill 2
The Fourier coefficients Cb"" CN satisfy Bessel's inequality
c~lltplW + ... + c~lltpNl12 ~ IIfll2
The function Cl tpl + ... + CNtpN is called the projection of f onto the or-
c.
thogonal set (tpl, ... ,tpN); is called the ith Fourier coefficient of 1.
Proof. The proof of these facts can be done by rewriting the formula for D.
We use the linearity and homogeneity of the inner product to write
N N
D(ct, ... ,CN) = IIfll2 - 2 L c;(f, tp,) + L c~lItpiW
~ II 112 (2z 2 (/, tp,) (f, tpi)2)
= ~ tp, C - c; IItp,1I2 + IItpill 4
+111112 - t,=1 (f, tpi~2
IItpzll
= tz= 1
IItp,1I 2 (c. - (f,II tp,tp~)2
. II
+ IIfl12 _ t (f, tp,~2
II tp,1I i= 1
~ IIfll2 - t
i=l
(f, tp,~2
Iltp,1I
Clearly, the minimum is achieved when Ci = ~ := (f, tpi)/litpiIl 2, as required. The
value of the minimum is
D(c!, ... ,eN) = 11/112 -t (~~~i~2 = 11/112 - t&.lIlOill2

as required. Since this is nonnegative, Bessel's inequality is merely the statement
that D(Cl'''' ,CN) ~ o.
As a first example, we consider the orthogonal set consisting of the three functions
{sinx,sin2x,sin3x} on the interval 0 ~ x ~ 7r.
26 O. PRELIMINARIES
EXAMPLE 0.3.3. Find the projection of the junction f{x) = 1 onto the or-
thogonal set {sin x, sin 2x, sin 3x} on the interval 0 ~ x ~ 1r and compute dmin .
Solution. We first note that the norms are given by
II 'Pm 112 = f.w sin' mx ax = ~ f.w (1 - cos 2mx) ax = ~
From Proposition 0.3.2, the Fourier coefficients are

Iolr sin x dx cos x I;~~ 4
Cl = folrsin2xdx = 1r/2 =-;
I; sin 2x dx 1 cos 2xl;~~
C2 = folr sin2 2x dx =2 1r /2 =0
f; sin 3x dx 1 cos 3xl;~~ 4
I 01l' sin 3x dx = 3 1r /2 = 31r
2
The projection is the function

4. 4
s ()
x = -smx+
1r
-3 sin3x
1r
The minimum distance is obtained from
3
d~in = IIfll2 - L CiIl<piIl

.=1
2
to two decimal places.
In the next example we consider an orthogonal set of three polynomial func-

tions on the interval -1 ~ x ~ 1. This is closely related to the Legendre polyno-
mial expansion, which will be considered in Chapter 4.
EXAMPLE 0.3.4. Find the projection of the function f(x) = cos(1rx/2) on the
orthogonal set (1, x, x 2 - l)
on the internal -1 ~ x ~ 1, and compute dmin.
Solution. The solution may be written in the form
s(x) = Co +C,x+C. (x' - D

where the Fourier coefficients Co, C}, C2 are computed from the equations
11
1 11 Co
-1
1
dx =
-1
1rX
cos Tdx
1 = 2 CI
-1
1
x 2 dx
-1
xcos
1rX
dx
C2
h
1 1)2 11 ( )
1 ( X
-1
2
--
3
dx =
-1
2 1
x - - cos-dx
3
1rX
2
The first of these is straightforward since

X
1 -1
1
2
2 . 1rX I =1
1r
1rX
cos-dx=-sm-
2 x=-1
4
=,
1r
h
t h us Co = -
1r
2
The next is also easy since the function x cos 1rX /2 is odd; thus Cl = O. To perform
the final integral, we write
1 1 X2
-1
cos 1rX dx = ~
2 1r
11 -1
x 2 d (sin 1r2X)
= -sin-
1r 2
2X2 7rX 11 - -
-I
411
7r -I
xsin-dx
2
1rX
= ~7r + 7r82 1 -I
1
xd (cos 7rX)
2
4
= -+2
1r 1r
7rX 11 -
8 ( xcos-
2 -1
11 -1
1rX
cos-dx
2
)
4 32
Combining this with the previous integral, we have
11 (X2 _
-1
!)
3
cos 1rX dx =
2
32 _ ~
7r?f3 31r
i_
81r 2 - 96
= 3?f3
But J~l (x 2 - ~)2dx = J~l (x 4-
iX2 + ~)dx = ~ - (i) +
2
= Therefore i !.s.
C2 = ~(87r2-96)/31r3 = 15(1r2-12)/1r3. Thus the required orthogonal projection
is
28 O. PRELIMINARlES
To compute dmin, we have, to four decimals,
~= Gr = 0.4053
111112 = L dx=2
~= [15(":; 12)f = 1.0622
II x
2
- 31112 =
11 (
-1 x
2
- 31)2 dx = 5'2 - 9'4 + 9'2 = 0.1778
licos ";r = Lcos 2 x

"2 dx = ~ +cos
(1 "x)dx =1
Thus, to four decimals,
d!tin = 1 - (0.4053)(2) - (1.0622)(0.1778) = 0.0004
and, to two decimals, dmin = 0.02 .
It is instructive to compare the orthogonal projection with the corresponding
values of cos(7rx/2) at some representative points. For example, to four decimal
places of accuracy, we have
8(0) = (0.6366) + H1.0306) = 0.9801
s(l) = (0.6366) - ~(1.0306) = 0.0505
s G) = (0.6366) + i.(1.0306) = 0.7225
s G) = (0.6366) + W 0306 ) = 0.8656

s G) = (0.6366) - ~(1.0306) = 0.5221
On the other hand, the corresponding values of cos(7rx/2) are 1, 0, 0.7071, 0.8667,
0.5000.
0.3.3. Orthonormal sets of functions. The formulas for the Fourier co-
efficients and the minimum distance become especially simple when the fUDc-
tions (CPI, ... , CPN) are orthonormal. This means that (CPi, CPJ) = 0 for i i= j and
(CPi, cp,) = 1, 1 :5 i :5 N. Thus we have for orthonormal functions
(0.3.3) ~ = (I, CPa) 1 :5 i ~ N
(0.3.4) d~in = D(ClJ ... , CN) = 11/112 - (C~ + ... + C~)
If (CPI, ... , cP N) is an orthogonal set of functions, we obtain an orthonormal set
by replacing CPa by cp,/lIcpill, 1 :5 i ~ N.
EXAMPLE 0.3.5. Let f{)1 = 1, f{)2 = sinx, f{)3 = cos x for -7r < X < 1r. Verify
that this is an orthogonal set and find the corresponding orthonormal set.
Solution. Direct computation reveals that each of the inner products (f{)i, f{)3)
1If{)1]]2 = I:
is zero for i =1= j. To find the orthonormal set, we compute
dx = 21T
1I'Po1l 2 = 1:SiDO xdx = 1f
The orthonormal set is

IIIP311" = 1: cos" x dx = 1f
(1/.../2i, (sinx)/v'7f, (cosx)/Vi) .

In many problems we are given an infinite orthonormal set
(f{)n)n~l = (f{)), f{)2, . )
To study such a set, we apply the above procedure to the finite orthonormal set
(f{)t, ... ,f{)n)' The Fourier coefficients are
which don't depend on N. Furthermore we have Bessel's inequality: for each N

N
LC~ S IIfll2 N= 1,2, ...
This is valid for every N = 1,2, ... ; hence the infinite series I::l Cf converges
and we have
00
(0.3.5) LC~ S IIfll2

i=l
This is formulated as follows.

PROPOSITION 0.3.3. Suppose that (f{)n)n>l = (f{)1, f{)2,"') is an infinite or-
thonormal set of functions and that f is a fu~ction for which f:If(x)12 dx < 00.
Then the series of sums of squares of Fourier coefficients converges and satisfies
the Bessel inequality (0.9.5).
0.3.4. Parseval's equality, completeness, and mean square conver-
gence. If we have an infinite orthonormal set, it may happen that Bessel's in-
equality (0.3.5) is an equality, namely
00
(0.3.6) LC~ = 111112

1=1
30 O. PRELIMINARIES
This is called Parseval's equality. We will show that Parseval's equality is equiv-
alent to the mean square convergence of the series E:l c,cp" which is defined by
the limiting statement
(0.3.7)
The formal statement of equivalence follows.

PROPOSITION 0.3.4. Let (CPn)n>l be an orthonormal set and f a function with
f:f(X)2 dx < 00. Parseval's equaiity is true if and only if we have mean square
convergence oj the series 2::1 C,CPi.
=
Proof. Let ~ (f, <Pi) be the ith Fourier coefficient of f. Then by expanding
the inner product and using orthonormality on the left side, we have
N 2 N N
1 - L~CPi = 111112 - 2 Lc.(f,cp,) + LC~
i=l i=1
Letting N ~ 00, we see that the right side tends to zero if and only if Parseval's
equality is valid. The left side tends to zero (by definition) if and only if we have
mean square convergence. Therefore the proposition is proved .
One may note that Parseval's equality is not true for an arbitrary function.
For example, the set of functions 11'-1/2 (sin nx, cos nX)n>l is an orthonormal set
for -11' ~ X ~ 11'. The function I(x) = 1 has all Fourier coefficients zero; indeed,
f~1f sin nx dx = 0 = f;1f cosnx dx, n ~ 1. Yet 111112 f~1f 1 dx = 211'. In this case
=
Bessel's inequality is the statement that 0 = 2::1 C~ < IIfll2 = 211".
If Parseval's equality holds for all functions f with f:
I(X)2 dx < 00, then
we say that the orthonormal set is complete on the interval a ~ x ~ b. For
example, in Chapter 1 it will be shown that the trigonometric system consisting of
{II $ , (sin nx}/...ji, (cos nx)1 ...ji}n~l is complete on the interval -11' ~ X ~ 11'.
0.3.5. Weighted inner product. In many problems we are required to

deal with a weighted inner product with respect to a positive weight Junction
p(x), a ~ x ~ b. This is defined by the integral
(cp, .p). = t cp(x).p(x)p(x) d:c

This has the same properties of linearity and homogeneity as the ordinary inner
product. We say that two functions <p, 1/J are orthogonal with respect to the weight
function p(x}, a ~ x ~ b, if (cp,1/J)p = o.
Weighted orthogonality arises when we make a change of variable by means

of an increasing differentiable function x = h(y). The ordinary inner product is
transformed as follows:
l cp(x)1/>(x) dx = t cp(h(Y1/> (h(y)) h'(y) dy
Therefore we see that if qJ( x), ( x) are orthogonal on the interval a ~ x ~ b, then
the functions <,0 (h(y)) , (h(y)) are orthogonal with respect to the weight function
h'(y) on the interval c ~ y ~ d, where a = h(c), b = h(d).
EXAMPLE 0.3.6. Given the orthogonal functions PI (x) = x, P2 (x) = 3x 2 - 1
on the internal -1 ~ x ~ 1, find the weighted orthogonality relation on the
internal 0 ~ y ~ 1r under the transformation x = - cos y.
Solution. We have the transformed functions PI (h(y)) = - cos y, P2(y) =
3 cos2 Y - 1, with the weight function p(y) = h'(y) = sin y .
0.3.6. Gram-Schmidt orthogonalization. When we deal with separated

solutions of boundary-value problems in PDEs, the property of orthogonality is
often immediately verified. This will be discussed in more detail in the follow-
ing chapters. Nevertheless, it is interesting to know how we may manufacture
orthogonal sets of functions from arbitrary sets of functions, by the so-called
Gram-Schmidt procedure. 3 Suppose that (<,01, ,<,On) is a given set of functions,
not necessarily orthogonal. Instead we suppose linear independence, i.e., that
there are no relations of the form CI<'ol + ... + Cn<'on = 0 among the (qJl,'." qJn),
other than the trivial relation where Cl = 0, ... , Cn = O. In particular, IIqJtlll- 0
for 1 ~ i ~ n. Then we define
l = <,01
,,/._ _ _ (<,02, I) ,./.
'rl - qJ2 (h'l/Jl) 0/1
3 = <,03 - (<,03, 'l/J2) 2 _ (<,03, 'l/JI) I

(2, 2) ('fIJI, I)
n-I ( )
,,/. ~ <'on, i ,,/.
'l-'n = qJn - L...J (",.. "I.) 'l-'i
i=l '1-'11 '1-'&
The functions (1/;t, ... , 1/;n) are orthogonal. These formulas may seem less myste-
rious if we note that in the ith formula we are subtracting from <'os its projection
onto the orthogonal set 1/;1, ... , 'l/Ji-I
3This material is not used in the subsequent chapters.

32 O. PRELIMINARIES
The sets (<Pb"" <Pn) and ('l/;b"" 'l/;n) have the same linear span; Le., any
function of the form f = CI <PI + ... + Cn<Pn can be written in the form d1 'l/;1 +
... + dn'l/;n for appropriate (d1 , .. , dn), and the converse is also true.
EXAMPLE <P2 = X, <pa = x 2 for 0 ::; x ::; 1. Apply the
0.3.7. Let <PI = 1,
Gram-Schmidt procedure to find the orthogonal functions 'l/;I, 'l/;2, 1{;a.
Solution. We have 1{;1 = <PI = 1, (<P2,1{;1) = fol xdx =~, ('l/lt,1{;I) = 1. Thus
'l/;2 =x - ~. The remaining inner products are
(<P3 1{;2)
, = Jofl x 2 (x - ~)
2
dx = ~ - ~ (~) = 2-
4 2 3 12
Jof I (x _ ~)
(1{;2 'l/;2) =
, 2
2 dx = ~ _ ! + ~ = 2-
3 2 4 12
(CP3,IM = 11
x 2dx = ~
Thus'l/;3 = x 2 - (x -~) -l = x 2 - X +~. The orthogonal functions are 1, x - ~,

x2 - X + ~, 0 ::; x ~ 1.
0.3.7. Complex inner product. In dealing with complex-valued functions,

it is necessary to modify the definition of inner product and orthogonality. The
guiding principle is that the norm of a function should be a nonnegative number.
With this in mind, we define the complex inner product and norm on the interval
a<x<bas
(0.3.8) (cp, "') = t cp(x)ob(x) dx

. (0.3.9) 1I<p1I = v' (<p, <p) ~ 0
where the bar denotes the complex conjugate of a function, defined by ijJ(x) =
f(x) -ig(x) when 1{;(x) = f(x)+ig(x). Orthogonality of complex-valued functions
is defined by the requirement that the complex inner product be zero: (<p,1{;) = O.
The properties of linearity and homogeneity of the complex inner product
are almost identical to those of the real inner product, with the exception that
we have ('P, a'l/;) = a(<p, 'l/;) for any complex constant. We record here the
appropriate statement of Schwarz's inequality.
PROPOSITION 0.3.5. Suppose that <p(x) and 1{;(x), a < x < b, are complex-
valued functions. Then I{<p, 1{;)1 ~ 1I<p1l1l1{;1I. If equality holds and both functions
are continuous, then the functions are proportional: C1<P(x) = C21{;(x) for some
complex constants C1, C2
The proof is suggested as an optional exercise.
EXERCISES 0.3
1. Let IPI = 1, IP2 = X, IPa = x 2 on the interval 0 ~ x ~ 1. Find the following

inner products:
(a) (IPI, IP2) (b) (IPlJ IPa)
(c) /lIPI - IP2112 (d) /I<PI + 31f'211 2
2. Which of the following pairs of functions are orthogonal on the interval
o ~ x $1?
IPI = sin 21TX IP2 =X CPa = cos 21TX IP4 =1
3. Let 1 = CI IPI + ... + CnIPn be the projection of / on the orthogonal set
(IPI, .. " IPn). Show that / - 1 is orthogonal to each of the functions
(IPb ... , IPn).
4. Find the projection of the function sin 1TX on the orthogonal set (1, x - !)
on the interval 0 ~ x ~ 1 and compute the minimum distance d min
5. Find the projection of the function f(x) = cos 2 x on the orthogonal set
(1, cosx, cos 2x) on the interval -1f ~ X ~ 1T.
k
6. Let IPI (x) = 1, IP2(X) = xllxl, IPa(x) = x 2 - for -1 ~ x 5 1.
(a) Show that (IPlJ IP2, IP3) form an orthogonal set.
(b) Find the projection of f(x) = x on this orthogonal set and compute
the minimum distance dmin
7. Let (IPI, IP2, IPa) be an orthonormal set of functions on the interval -1 ~ x 5
1, and let / be any function of the form lex) = alCPI (x)+a2IP2(x)+aaIPa(x).
(a) Show that 11/112 = a~ + a~ + a~.
(b) Show that (/, If'I) = all (/, IP2) = a21 (I, If'a) = aa
8. Let (IPI, <P2, IPa) be an orthonormal set of functions on the interval -1 5
x ~ 1, and let lex) = a)IPI(x) + a2CP2(x) + aalf'a(x), g(x) = bIIPl(X) +
b2 IP2(X) + b3 IPa(x).
(a) Show that (1, g) = alb l + a2~ + a3 b3'
(b) Discuss the relation with the three-dimensional dot product for-
mula.
9. Define the angle between two nonzero functions IP, 1/J by the formula cos 8 =
{IP, 1/J} IIIIPIIII1/JII, 0 ~ 8 ~ 1T.
(a) If <P and 1/J are orthogonal, show that 8 = 1T 12.
(b) If cp and 1jJ are proportional, show that 8 = 0 or 8 = 1T.
(c) If 8 = 0 or 1f, does it follow that cp and 1/J are necessarily propor-
tional? (Hint: Compute IIIP - C1/JII2 and write it as a perfect square.)
(d) Compute 8 if cp(x) = 1, 1jJ(x) = x for 0 ~ x 5 1.
10. (a) Apply the Gram-Schmidt procedure to obtain orthogonal functions
= =
beginning with the functions <PI 1, CP2 X, IPa = X2 for -1 ~ x ~ 1.
(b) Find the orthonormal set corresponding to the orthogonal set found
in part (a).
34 O. PRELIMINARIES
11. Prove that the inner product defined by (0.3.1) satisfies (cpl, 1/JI + 1/J2)
= (CPl, 1/Jl) + (cpt, 1/J2).
12. Prove that the inner product defined by (0.3.1) satisfies (CPI + CP2, "pI)
= (cpt, "pI) + (CP2, "pI).
13. Prove that the inner product defined by (0.3.1) satisfies (acpl' "pI) = a(cpl' "pI)'
14. Prove that the inner product defined by (0.3.1) satisfies (cpt, a"pl) = a(cpl, "pI)'
15. Prove the complex form of Schwarz's inequality. [Hint: Examine the non-
negative quadratic polynomial G(t,s) = IIt1/J - scpe- i6 11 2 , where the inner
product has the polar form (cp,,,p) = Re~8. Check that the discriminant
= R2 = !lcp1l2111/J1I2 - (cp, "p}2 ~ 0.]
CHAPTER 1
FOURIER SERIES
INTRODUCTION
Many of the classical partial differential equations with boundary conditions

have separated solutions that involve sums of trigonometric functions. This leads
to the theory of Fourier series, which is developed here in its own right. This
chapter explores the basic properties of Fourier series, including a discussion of
convergence and the closely related Sturm-Liouville eigenvalue problem. Basic
definitions and examples are given in Sec. 1.1; the next two sections treat more
theoretical material and can be omitted without loss of continuity. The basic
material resumes in Sec. 1.4 with Parseval's theorem and its applications. The
complex Fourier series in Sec. 1.5 are not used until the discussion of Fourier
transforms in Chapter 5, but the Sturm-Liouville theory of Sec. 1.6 is used im-
mediately in Chapter 2.
1.1. Definitions and Examples

A trigonometric series is a function of the form
(1.1.1)
where Ao, At, B I, .. are constants. This is a series of sines and cosines whose
frequencies are multiples of a basic angular frequency 1r / L and whose amplitudes
are arbitrary. In this chapter we will explore the possibility of expanding a large
class of functions f(x), -L < x < L, as trigonometric series. We first prove
directly that this set of functions is orthogonal on the interval - L < x < L.
1.1.1. Orthogonality relations. In the following discussion the indices

m, n assume the values 0, 1, 2, ....
PROPOSITION 1.1.1. We have the orthogonality relations
o n:f:.m
(1.1.2)
l-L
L n1rX m1rX
cos - - cos - - dx =
L L
{
L n=m:f:.O
2L n=m=O
35
36 1. FOURIER SERIES
(1.1.3)
i
L
sin n1rX sin m1rX dx = 0 {~ ~:: ~
-L L LOn = m = 0
L
(1.1.4)
i -L
. n1rX
L
m1rX
sm -cos --dx = 0
L
all m,n
Proof. We use the trigonometric identities
(1.1.5) cos 0: cos f3 = 21 [cos (0: - f3) + cos(o: + f3)]
sino:sintJ = ~[cos(o: - f3) - cos(o: + f3)]

sin 0: cos f3 = ~[sin(o: - f3) + sin(o: + ,6)]
Thus to prove (1.1.2), we have, for n ~ m,
IL
-L
n1rX
cosLcos L
m1rx
dx
IlL [
-_ 2
-L
cos
(n - m)1rx
L + cos
(n + m)1rx] d
L X
= . [sin(n - m)1rx/L) IL + sin(n + m)1rx/L) IL ]

21r n- m -L n+m -L
=0
Ifn=m~O, we have
I L COS2
-L
n1rX dx =
L 2
! IL (1 +
-L
cos 2n1rX) dx
L
L
= !2 (2L+ ~sin 2n1r
2n1rxl )
L_L
=L
Finally, if n = m = 0, the integral is 2L. This completes the proof of (1.1.2).
The proofs of (1.1.3) and (1.1.4) are left as exercises .
Having established the orthogonality and performed the computation of these
integrals, we can now define the Fourier series of a function I(x), -L < x < L.
1.1.2. Definition of Fourier coefficients. In order to define the Fourier

series of a function, it suffices to define the Fourier coefficients An, En, which is
done as follows.
1.1. DEFINITIONS AND EXAMPLES 37
De6nition Let I(x), -L < x < L, be a real-valued function. The Fourier series
of I is the trigonometric series (1.1.1) where (An, Bn) are defined by
(1.1.6) Ao = 2L1 lL I(x)dx
(1.1.7) An =
l/L
L
-L
!(x)cosLdx
n7rX
n= 1,2, ...
(1.1.8) Bn =
IlL .
L
-L
-L
f(x)sln-Y;-dx
n1fX
n = 1,2, ...
These definitions were suggested in Chapter 0, where we showed that for any
orthogonal set (CPh"" CPN), the minimum of IIf - 2::=1 CnCPnll 2is determined by
choosing (Cl, ... , CN) as the Fourier coefficients (f, CPn) / (CPn, <(In), 1 $ n $ N.
1.1.3. Even functions and odd functions. In order to simplify the com-
putation of Fourier series of many functions encountered in practice, we of-
ten exploit symmetry arguments. A function f(x), -L < x < L, is even if
f( -x) = f(x), -L < x < L. A function f(x), -L < x < L, is odd if
I( -x) = - f(x), -L < x < L. For example, f(x) = x, f(x) = x 3 , and
f(x) = sin x are odd functions, whereas f(x) = X2, f(x) = X4, and f(x) = cosx
are even functions. Of course, many functions are neither even nor odd, for ex-
ample, f(x) = x + x 2 , The product of two even functions is an even function,
the product of an odd function and an even function is an odd function, and the
product of two odd functions is an even function. These properties result from
the multiplication facts (+1)(+1) = +1, (-1)(+1) = -1, and (-1)(-1) = +1.
If I(x), -L < x < L, is an odd function, the integral J~L f(x)dx = O. This may
be seen in detail by writing
1-L
0 f(x)dx = -1 L
I( -t)dt (x = -t, dx = -dt)
= t f(-t)dt (t = - {)
= - f.L f(t)dt (oddness)
But t is a dummy variable of integration; thus
l L
-L
f(x)dx = 1 0
-L
f(x)dx +
Jo
L
r I(x)dx = _ Jor
L
f(x)dx + r
Jo
L
f(x)dx = 0
In a similar fashion it may be shown that if I(x), -L < x < L is an even

L L '
function, then f-L I(x)dx = 2 fo f(x)dx.
PROPOSITION 1.1.2. Iff(x), -L < x < L, is an even function, then Bn = 0,

n = 1,2,.... If J(x), -L < x < L, is an odd function, then An = 0, n =
0,1,2, ....
Proof. To prove these facts, we first note that sin (n1rx / L) is an odd function
and cos( n1rX / L) is an even function since sin( -6) = - sin 6, cos ( -6) = cos 6.
Now, if J(x), -L < x < L, is an even function, the product J(x) sin (n1rx/ L) is
an odd function and we have Bn = 0. If J(x), - L < x < L, is an odd function,
the product J(x) cos (n1rx/ L) is an odd function and we have An = O
EXAMPLE 1.1.1. Compute the Fourier series oj J(x) = x, -L < x < L.
Solution. f(x), -L < x < L, is an odd function; therefore An = 0. To
compute Bn, we note that f(x) sin (n1rx/ L) is an even function; thus
Bn = -IlL xsm-dx
. n1rX
L -L L
= -
21L xsm-dx
. n1rX
L 0 L
We integrate by parts with u = x, dv = sin (n1rx/ L) dx. Thus
Bn = -2 ( -x-L cos -n1fxlL + -L 1L cos -n1fX dx )

L n1f L 0 n1r 0 L
The last integral is zero, and we have Bn = -(2L/n7r) cosn7r = (2L/n7r)( _1)n+l.
=
Therefore the Fourier series of f(x) x, -L < x < L, is
2L ~ (_l)n+l . n1fX
-~ sm-
1r n::::l n L
EXAMPLE 1.1.2. Compute the Fourier series of f(x) = lxi, -L < x < L.
Solution. J(x), -L < x < L, is an even function; therefore Bn = 0. To
compute An, we note that the product f(x) cos (n1rx/ L) is an even function;
thus, for n i= 0,
IlL n1fX
(1.1.9) An = L Ixl cos r: dx
-L
(1.1.10) = -21L xcos-dx

n1fX
L 0 L
We integrate by parts with u = x, dv = cos (n1fx/ L)dx. Thus
An = -2 ( XL- S. l D
n7rX- ILL
- -
1L sm-dx
. n1fX )
L n1f L 0 n7r 0 L
The first term is zero at both endpoints x = 0, x = L, while the integral can
be evaluated as JoL sin(n1f'x/L)dx = (L/n1f')(l - (-1)n]. Thus we have An =
-(2L/n21f'2)[1- (_1)n] for n ~ O. For n = 0, we have Ao = (I/L) JoL xdx = L/2.
Therefore the Fourier series of f(x) = lxi, -L < x < L, is
!: _ 2L ~ 1 - (-l)n cos n1f'X
2 1f'2 L....J n2 L
n=l
This may also be written as

00
(L/2) - (4L/1f'2) L cos[(2m - 1)1f'x/L]/(2m - 1)2

m=l
by writing n = 2m-l and noting that 1-(-1)n = 0 if n is even and 1-( _1)n = 2
if n is odd .
It will be shown in Sec. 1.2 that these Fourier series are convergent and that
the equation
00
" (Ancos-y+BnslDL
n1f'X . n1f'x)
f(x)=Ao+L...J
n=l
is valid for - L < x < L. We illustrate this graphically for the preceding two
examples. To do this, we define the partial sum of order N of a trigonometric
series as the function
In Figs. 1.1.1 and 1.1.2 we give the partial sums for the Fourier series of the
preceding two examples.
The method of these two examples may be extended to compute the Fourier
series of any polynomial f (x) = Co + Cl X + ... + c"x". To do this, it is sufficient to
handle each term separately and integrate by parts. Thus we have the reduction
formulas
1
L
-L
n1f'X
x"sin-dx = -Lx"
L
n1f'x l
- cos-
n1f' L -L
L
Lk
+-
n1f'
1L "1
-L
n1f'x
x - cos--dx
L
1
L
-L
n1f'X
L
Lxk . n1f'xlL
xlccos--dx = - sm-
n1f'
-Lk
-
L -L n1f' -L
1 . n1f'X
x- sm--dx
L
1L "
Proceeding inductively, we can compute the necessary integrals.
If a function f (x), - L < x < L, can be written as a finite trigonometric
sum, then its Fourier series is that trigonometric sum. For example, the Fourier
(-n.O)
_ ~6' = x
(n.O)
FIGURE 1.1.1 Graphs of the partial sums fN(X) for N = 1,2,3 of the Fourier
series of f(x) = X, -'fr < X < 'fr.
12(x)
II (x)'
--~--------------------~--------------------~---x
(-n.O) (0,0) (n,O)
FIGURE 1.1.2 Graphs of the partial sums fN(X) for N = 0,1,2 of the Fourier
series of f(x) = lxi, -'fr < x < 'fr.
series of f(x) = sin2 x, -'fr < X < 'fr, can be obtained by observing that sin2 x =
~(1 - cos 2x); thus Bn = 0 for all n, while Ao = ~, A2 = -~, and An = 0 for
n = 1,3,4, 5, . . .. It is not necessary to perform any integrations to find the
Fourier series in this case.
1.1.4. Periodic functions. We now discuss Fourier series in the context of

periodic functions.
Definition A function f(x}, < x < 00, is 2L-periodic if

-00
f (x + 2L) = f (x) - 00 < x < 00

For example, sin(n7rx/L) and cos(n7rx/L) are 2L-periodic for n = 1,2, ... since
. n7l' (X+ 2L) = sm
smT . (n7l'X 2) .
L+ n7l' =sm n7l'X L
n7l'
cosy(x+2L) (n7l'x)
= cos L+ 2n7l' =cos
n7rX
L
The sum, difference, or product of any two 2L-periodic functions is again 2L-
periodic. Therefore any convergent trigonometric series defines a 2L-periodic
function f(x}, -00 < x < 00. Conversely, we can speak of the Fourier series of
a 2L-periodic function f(x}, -00 < x < 00, by restricting x to -L < x < L and
computing the Fourier series as we have just done.
EXAMPLE 1.1.3. Compute the Fourier series of the 2L-periodic function f(x)
= -1 if (2n - l)L < x < 2nL, f(x) = 1 if 2nL < x < (2n + l)L, n = 0, 1,
2, ....
Solution. f is an odd function, and thus An = 0, Bn = (2/ L) Jo sin n1'(x/ L dx
L
= (2/L)(L/n7r)[1 - (_l)n]. The Fourier series is (2/7l') E::l[l - (-l)nJ

x sin(n7rx/L)/n .
1.1.5. Implementation with Mathematica. Let us redo Example 1.1.1
using Mathematica. The Fourier series of f(x) = x, -1'( < X < 7l', was found to
be
2 f: (_l)k+l sin kx
k=l k
We first define a function of two variables,
F[x_,n_]:=2 Sum[(-l)~(k+l))/k) Sin[k x], {k,l,n}]
and a plot-valued function by
F[n_]:=Plot[F[x,n],{x,-Pi,Pi}]
By typing Enter, we record the values of these functions. The correct input can
be verified by typing ?F. To verify the first three terms of the series, move the
cursor to a new cell and type F[x,a] followed by Enter. Mathematica should
respond with
Sin [2x] Sin [3x]
Out[2] =2(Sin[x]- ------- + -------)
2 3
FIGURE 1.1.3 A three-term Fourier series.
To graph the function F[x,3], type F[3] instead of F[x,3], and the result is as
shown in Fig. 1.1.3.
Mathematica can also be used to compute the Fourier coefficients of a piece-
wise smooth function f (x), - L < x < L. To do this, we make the following
commands:
AO[L_,f_]:=(1/(2Pi Integrate[f[x], {x,-L,L}]
A[n_,L_,f_]:=(1/(Pi Integrate[f[x] Cos[n x], {x,-L,L}]
B[n_,L_,f_]:=(1/(Pi Integrate[f[x] Sin[n x], {x,-L,L}]
Then we can define a function f (x) in Mathematica and use the above definitions
to compute the Fourier coefficients. For example, consider f(x) = eX, -L < x <
L. To enter this, we type
f[x_]:=E"'x
and then type
A[n,L,f]
which produces the output
n L
(-1) E
Out[2]= ----------
2 2
Pi n
L(1+ ------)
2
L
1.1.6. Fourier sine and cosine series. Suppose we are given a function
f(x), 0 < x < L, and we desire a Fourier series representation. To get this, we
extend f to the interval - L < x < L and then compute the Fourier coefficients.
There are two natural ways of doing this, giving rise to the Fourier sine series
and the Fourier cosine series.
One way of extending f is to define a new function f 0 by
f(x) 0 <x<L
(1.1.11) fo(x) = { - f( -x) -L < x < 0
o x=O
fo is called the odd extension of f to (-L, L). It is an odd function, and therefore
its Fourier coefficients are given as follows:
(1.1.12) An = 0 n = 0,1, ...
(1.1.13) Bn = L1 lL fO(X)SlllL dx
. n1f'X
= L2 J.L f(X)SlDLdx
. n1rX
-L 0
Therefore we have the Fourier sine series
00
~B . n1rX
L..J nSlllL
n=l
where
Bn = L2 J.L . n1f'X
0 f(X)SlD-y-dx
Another way of extending I to the interval (- L, L) is to define

f(x) 0<x<L
(1.1.14) fE(X) = I( -x) -L < x < 0
{ o x=O
IE is called the even extension of I to (-L, L). It is an even function defined on
the interval (- L, L) . [Of course, we could define IE (0) = liIllx-+o I (x), if this limit
exists. The definition fE(O) = 0 is completely arbitrary.] The Fourier coefficients
of f E are as follows:
(1.1.15) Bn = 0 n = 1,2, ...
(1.1.16) Ao = 2~ L: J,;;(x)dx = ~ f f(x)dx
(1.1.17) An =
1
L
lL IE(X)cos-y-dx = L2 J.L l(x)cosLdx
-L
n1rX
0
n1rX
Therefore we have the Fourier cosine series

00
~ n1rX
Ao + L..J An cos L
n=l
where
Ao = I1 J.L f(x)dx
0
44 1. FOURlER SERlES
and
r
2L n1rX
An = L 10 /(x)cosLdx n = 1,2, ...
EXAMPLE 1.1.4. Compute the Fourier sine series 0/ /(x) = 1, 0 < x < L.
Solution. We have
21L slD-dx=--cos-
Bn=- . n1rX 2L n1rxlL =-[1-(-1)
2 n
1
L 0 L Ln1r L 0 n1r
The Fourier sine series is
2 ~ 1- (-l)n . n1rX
- L..J SIn-
1r n=1 n L
We now give an alternative method for computing the Fourier sine series of
certain functions that satisfy boundary conditions. Let J(x), 0 ~ x ~ L, be a
function with J(O) = 0, J(L) = 0, and /"(X) continuous for 0 ~ x ~ L. Then
(1.1.18) Bn =
2
L 10
rLJ(x)slDLdx
. n1rX
0
=
2 n1rX 1 +-
-/(x)cos- 2 lL J(x)cos-dx
I n1rX
n1l" L L n1r 0 L
The first term is zero, and the second term can be integrated again by parts, with
the result
10r
L
L)22 J"( ) . n1l"x
Bn = - ( n1l" L x sm L dx
Therefore the Fourier sine series of /(x), 0 < x < L, is obtained from the Fourier
sine series of J"(x) , 0 < x < L, by multiplication of the nth term of the series by
-(L/n1r)2.
EXAMPLE 1.1.5. Find the Fourier sine series oj J(x) = x 3 - L2x, 0 < X < L.
Solution. The function satisfies /(0) = 0, /(L) = 0 with J"(x) = 6x. The
Fourier sine series of 6x is (12L/1I") E~( _l)n+1 sin (n1l"x/ L)/n. Therefore the
Fourier sine series of J(x) is (12L3/1I"3) E~(-1)nsin(n1l"x/L)/n3 .
EXERCISES 1.1
In Exercises 1 to 10, compute the Fourier series of the indicated functions.
1. J(x) = X2, -L < x < L
2. J(x) = x 3, -L < x < L
3. J(x) = Ix1 3 , -L < x < L
4. J(x) = eX, - L < x < L
5. J(x) = sin2 2x, -11" < X < 11"
6. = cos3 X, -7r < X < 7r

I(x)
7. = 0 if -L < x < 0 and I(x) = 1 if 0 ~ x < L
I(x)
8. = 0 if -L < x < oand f(x) = x if 0 ~ x < L
I(x)
9. = 0 if -7r < x < 0 and I(x) = sin x if 0 ~ x < 7r
I(x)
10. = sinhx = ~(eX - e- X), -'/r < X < '/r
I(x)
11. Prove the orthogonality relations (1.1.3). [Hint: Use the trigonometric
identities (1.1.5).J
12. Prove the orthogonality relations (1.1.4). [Hint: Use the trigonometric
identities (1.1.5).]
13. Prove the following facts about even and odd functions:
(a) The product of two even functions is even.
(b) The product of two odd functions is even.
(c) The prod uet of an even function and an odd function is odd.
(d) Which of statements (a), (b), (c) remains true if the word "product"
is replaced by "sum"?
14. Let I be an arbitrary function. Show that there is an odd function It and
an even function h such that I = It + h
15. Which of the following functions are even, odd, or neither?
(a) f(x) = x 3 - 3x (b) I(x) = x 2 + 4
(c) I(x) = cos 3x (d) I(x) = x 3 - 3x2
5
(e) f(x) = sinx - 3x (f) I(x) = Ixl sin x
(g) I(x) = x 2 - cos x (h)f(x) = cos3 x
16. Find the Fourier sine series for the following functions:
(a) I(x) = x, 0 ~ x ~ L (b)/(x) = x 2 , 0 ~ X ~ L
(c) f(x) = eX, 0 ~ x ~ L (d) I(x) = x 3 , 0 ~ X ~ L
(e) I(x) = sinx, 0 ~ x ~ L (f)/(x) = cos x, 0 ~ x ~ L
17. Find the Fourier cosine series for the functions in Exercise 16.
18. Let I(x), -L < x < L, be an odd function that satisfies the symmetry
condition
I(L - x) = I(x)
Show that
An = 0 for all n
Bn = O' for all even n
19. Let I(x), -L < x < L, be an odd function that satisfies the symmetry
condition
I{L - x) = -/(x)
Show that
An = 0 for all n
Bn = 0 foralloddn
20. A function J(x), 0 < x < 7r /2, is to be expanded into a Fourier series
00
J (x) = Ao + L (An cos nx + Bn sin nx)

n=l
By extending I to -7r < X < 7r in four different ways, give four different
prescriptions for finding the Fourier coefficients {An}~=o, {Bn}~l' (Hint:
There are two choices for extending I to 0 < x < 7r and two more choices
for further extending I to -7r < X < 7r.)
21. Illustrate the expansions of Exercise 20 with I(x) = 1, 0 < x < 7r/2. Find
the four different Fourier series.
For each of the functions in Exercises 22 to 29 state whether or not it is periodic
and find the smallest period.
22. I(x) = sin 7rX
23. I(x) = sin2x + sin3x
24. I(x) = sin4x + cos6x
25. I(x) = sinx + sin 7rX
26. I(x) = x - [x] ([x] = integer part of x)
27. I(x) = tan x
28. I(x) = I;:'J (_1)nx2n /(2n)!
29. I(x) = sin x
30. Compute the Fourier sine series of I(x) = x 2 - Lx, 0 < x < L.
31. Compute the Fourier sine series of I(x) = x4 - 2Lx 3 + L 3 x, 0 < X < L.
32. Let I (x), - L < x < L, be an even function. Show that
j LI(x)dx
-L
= 2 J.L I(x)dx
0
33. Show that the derivative of an even function is an odd function.

34. Show that the derivative of an odd function is an even function.
1.2. Convergence of Fourier Series!

In this section we discuss the validity of the equation
00
~ ( n7rX . n7rx)
I(x) =Ao+ LJ AncOSL+BnSlDL
n=l
where (An, Bn) are the Fourier coefficients of the function I(x), -L < x < L. For
simplicity in writing, we take L = 7r in the exposition; all results obtained can
be transformed to the interval - L < x < L by the change of variable x' = 1f'X / L.
IThis section treats theoretical material and can be omitted without loss of continuity.
1.2. CONVERGENCE OF FOURIER SERIES 47
1.2.1. Piecewise smooth functions. Recall that a function f is continuous

at x if limy~x f(y) = f(x). Not all Fourier series converge, even if we impose
the restriction that their functions are continuous. In fact, there exist continuous
functions on [-7r,7r] whose Fourier series diverge at an infinite number of points!
We therefore need to focus our attention on another class of functions, the so-
called piecewise smooth functions. We first define the concept of a piecewise
continuous function.
Definition A function f(x), a < x < b, is piecewise continuous if there is a finite

set of points a = Xo < Xl < ... < Xl' < Xl'+l = b such that
(1.2.1) f is continuous at X "I x" i = 1, .. . ,p
(1.2.2) lim f(x, + ) exists i = O, ... ,p
(~O
(1.2.3) lim j(Xi - ) exists i=I, ... ,p+l

,~o
The limit (1.2.2) is denoted f(Xi + 0) and is called the right-hand limit. Likewise,
the limit (1.2.3) is denoted f(Xi - 0) and is called the left-hand limit. These are
supposed to be finite.
Definition A function j (x), a < X < b, is said to be piecewise smooth if f and

all of its derivatives are piecewise continuous.
Of course, we assume that the subdivision points Xo < Xl < ... < XP+I are the
same for f and all of its derivatives. With this definition, the derivative of a
piecewise smooth function is again piecewise smooth.
If f(x), a < x < b, is piecewise smooth, then f'(x) exists except for X =
Xl, . , Xl" This is the piecewise derivative of f. Many of the usual operations
with ordinary derivatives are valid for piecewise derivatives; the sum, difference,
and product rules are valid except at the subdivision points (Xl,"" xl')' The
quotient rule is also valid unless the denominator is zero. The fundamental
theorem of calculus must be modified for piecewise smooth functions to the form
b l'
f(b - 0) - f(a + 0) =
!.
a
f'(x)dx + E[J(Xi + 0) - f(x, - 0)]
1=1
Indeed, on each interval (Xit X1+I) we may apply the ordinary fundamental theo-
rem of calculus in the form
X .+ 1
f(x,+1 - 0) - f(Xi + 0) =
1 x.
f'(x)dx
Adding these equations for i = 0, 1, ... ,p gives the result.

48 1. FOURlER SERIES
If the piecewise smooth function I (X), a < x < b, is also continuous, then the
r.
fundamental theorem of calculus may be applied in its usual form,
feb - 0) - f(a + 0) = !,(x)dx

With these rules in mind, we may operate freely with piecewise smooth functions.
EXAMPLE 1.2.1.
I(x) = Ixl
We take Xo = -7r, Xl = 0, X2 = 7r. Here I is continuous on the entire interval. I'
= =
is piecewise continuous, with 1'(0+0) 1,1'(0-0) -1. All higher derivatives
are zero; hence I(x), -7r < X < 7r, is piecewise smooth.
EXAMPLE 1.2.2.
X2 -'Tr <X <0
I (x) ={ x2 + 1 0:5 X < 'Tr
In this example I is continuous, with the exception of the point X = 0, where

we have 1(0 + 0) = 1 and 1(0 - 0) = O. All higher derivatives are piecewise
continuous on (-'Tr, 7r), so I(x), -'Tr < X < 7r, is piecewise smooth.
EXAMPLE 1.2.3.
I(x) = xlxl
In this case I and l' are continuous. I" is continuous everywhere except at x = 0,
where we have J"(O+O) = 2 and 1"(0-0) = -2. All higher derivatives are zero;
thus I(x), -'Tr < x < 'Tr, is piecewise smooth.
EXAMPLE 1.2.4.
I is continuous on (-'Tr, 'Tr). I' is continuous on (-'Tr, 'Tr) with the exception of the
point x = O. However, 1'(0 + 0) and 1'(0 - 0) do not exist, so I(x), -'Tr < x < 'Tr,
is piecewise continuous but is not piecewise smooth.
EXAMPLE 1.2.5.
1
I(x) = x2 _ 11"2 -1('<x<1('
In this case I(x), -7r < X < 1(', is continuous, but it is not piecewise continuous
since I( -'Tr + 0) and 1(1(' - 0) are not finite. In particular, I(x), -1(' < x < 'Tr, is
not piecewise smooth.
When working with piecewise smooth functions, we may omit the definition
of I(x) at the subdivision points xo, x., ... , Xp+l. This causes no difficulty in
the discussion of Fourier series, since the Fourier coefficients An, Bn are defined
as integrals, which are insensitive to the value of I(x) at a finite number of
points. More precisely, if 11 (x) = 12(x), except for x = Xo, XI, . .. , Xp+b then
f:depend
It (x)dx f: 12 (x)dx.
= Therefore we see that the Fourier coefficients do not
on any 01 the numbers f(xo), . .. , I(x
p+l)'
Suppose I(x), -1r < X < 1r, is piecewise smooth. We define the 21r-periodic
extension of I by setting
f(x + 2n1r) = f(x) wherex E (-1r, 1r)
and n is an integer (positive or negative).

It is left as an exercise to show that the 21r-periodic extension of I is piecewise
smooth on any open interval and that it is periodic with period 21r. It is also left
as an exercise to show that
t f(x)dx = [ f(x)dx if d - c = 21r = b - a
where I is any 21r-periodic function.

Let I(x), -1r < x < 1f, be a piecewise smooth function and let l(x), -00 <
x < 00, be the 27r-periodic extension of f; I is a 21r-periodic function with
=
lex) I(x) for -7r < X < 1r.
The following theorem relates the convergence of a Fourier series to the nor-
malized values of the function
THEOREM 1.1. (Convergence theorem). Let I(x), -1f < X < 7r, be piecewise
smooth. Then the Fourier series of I converges for all x to the value ~ [lex + 0) +
l(x - 0)1, where I is the 21r-periodic extension of I
From the periodicity, we see that the left-hand limit 1(7r - 0) is equal to the
left-hand limit l( -7r - 0), with a corresponding statement for the right-hand
limit. Therefore the average of the left- and right hand-limits at the endpoints
agrees with the common average of the function at the endpoints; in symbols,
1 - - 1
'2[f( -1r - 0) + f( -1r + 0)] = '2[J( -1r + 0) + 1(7r - 0)1
1 - - 1
'2[f(1r - 0) + 1(1r + 0)] = '2[f( -1r + 0) + 1(7r - 0)1
The restriction to the interval -7r < X < 1r is of no significance. It has been
made here so that, instead of writing cos(m7rx/L) and sin(m1rx/L) , we may
write cosmx and sinmx.
Before proceeding with the proof, we need two lemmas.
Lemma 1 (Riemann). If I and I' are piecewise continuous on (a, b), then
lim
"\-"00
1
a
6
f(x) sin AX dx = 0
50 1. FOURJER SERIES
Proof. First we write

b
1:1:1+ f(x) sin AX dx
l
1
p
f(x) sin AX dx = L
a ~o ~
It remains to show that

:1:1+1
lim f(x) sin AX dx = 0
"'-+00 1:1:,
For this we integrate by parts, with u = f(x), dv = sin AX dx. Thus

:1:1+1 - f(x) cos AX 1:1:1+1 11:1:1+ 1
1 :1:, f(x) sin AX dx = A :1:1 +:\:1:, f'(x) cos AX dx

Each of these tends to zero when A -4 00, completing the proof of Lemma 1.
We wish to examine the limit as N -4 00 of

N
fN(X)=Ao + L(Amcosmx+ Bm sin mx)
m=l
Using the definitions of Ao, Am, Em given in Sec. 1.1, formulas (1.1.6), (1.1.7),
(1.1.8), we have
fN(X) = 27r
1111' f(t)dt+ ~;
-11'
N1j1l' f(t)(cosmtcosmx+sinmtsinmx}dt
-11'
= ;" r f(t)dt + ~~ r f(t) cosm(t - x)dt
= ~ r f(t) [~+ ~C08m(t - X)] dt

Clearly, it would be useful to be able to write
1 N
2 + Lcosm(t - x)
m=1
in a more compact form. Therefore we formulate a second lemma.
Lemma 2. For any 0 real, a =f=. 0, 27r, ... , we have

1 sin(N + ~)o
- + cos 0 + ... + cos No = ----:--==-
2 2 sin ~o
Proof. Setting S = ~ + cos a + ... + cos No, we have
0
S sm = 21 sm
. .
a + sm 0 cos 0 + . . . + sm
. a cos N 0
From the addition formulas

sin(a+b) = sinacosb+cosasinb
sin(a - b) = sinacosb - cosasinb
we have
cos asin b = ~[sin(a + b) - sin(a - b)]
so that
1[. . 2a- 0 +sm
Ssina = 2s111a+sm . 3a-sma
.
+ ... + sin(N + l)a - sin(N - l)a]

= ~[sin Na + sin(N + l)a]
To complete the proof, we average the addition formula as follows:
~[sin(a + b) + sin(a - b)] = sin acosb
Setting a + b = (N + l)a, a - b = Na, we take a = (N + ~)a, b = ~a, so that
~[sinN<> + sin(N + 1)<>J = sin (N + D <> cos ~<>
and
S = sin(N + ~)acos ~a
sina
Substituting the identity sin a = 2 sin ~a cos ~a completes the proof of Lemma 2.
(For a shorter proof of Lemma 2, using complex numbers, see Exercise 13 at the
end of this section.)
In view of Lemma 2, we can write
f N ()
X =-
1 /11' f( t )sin(N. +1 ~)(t - x) d
t
7r -11' 2sm 2(t - x)
This form is preferable because it makes no mention of the Fourier coefficients
{An}, {Bn }.
1.2.2. Dirichlet kernel. To proceed further, we make the definition
DN(U) = sin(N + ~)u

. /2 U =F 0, 27r, 47r, ...
27rsmu
and by continuity we define DN(U) = (2N + 1)/27r, U = 0, 27r, 47r, ....
FIGURE 1.2.1 The Dirichlet kernel DN(U) for N = 5.

DN is the Dirichlet kernel, an even, 21l'-periodic function. From Lemma 2 we
see that
From Fig. 1.2.1 we see that DN(U) behaves roughly like a periodic function
with period 21l'/N, except in the neighborhood of U = 0, 21l', ... , where it is
peaked. The most important property of the Dirichlet kernel is that it provides
an explicit representation of the Fourier partial sum, through the formula
(1.2.4)
1.2.3. Proof of convergence. To complete the proof of Theorem 1.1, we

extend f to f, a 21l'-periodic function. Therefore the product DN(t - x)f(t) is
also a 27r-periodic function of t for each x. We now write
fN(X) = I: /(t)DN(t - x)dt
= l:~: f(x + U)DN(U)du t -x = u
= I: /(x + U)DN(U)du periodicity
= {I: + {}f(X+U)DN(U)dU
We will analyze the two integrals separately and show that

1
(1.2.5) lim 111" f(x + U)DN(U)du = -2 f(x + 0)
N-too 0
1-
(1.2.6) lim
N-too 1-11"
0 -
f(x + U)DN(U)du
2
0) = - f(x -
from which the result will follow. We carry out the analysis of only the first
integral in detail; the second is identical in every respect. Define
g(u) == [l(x + u) - f(x + O)1/u
Then
1o
11" [J(x
- + u) - f(x 1
- + O)]DN(U)du = - lim 111" g(u)U(u) sin
'/r N~oo 0
(1
N+ )udu
-2
where
u
U(u) = 2sin u/2 u tf 0
U(O) = 1
Using L'Hospital's rule, we see that the function U(u) is continuous and has a
continuous derivative, -'/r ~ U ~ 'If. Similarly, we can use L'Hospital's rule to
compute the limits
(1.2.7) limg(u) = j'(x + 0)
u,J.O
(1.2.8) limg'(u)
u,J.O
= -21t- '(x + 0)
Therefore g(u) is piecewise continuous with a piecewise continuous derivative.
But U(u) has a continuous derivative, and therefore the product g(u)U(u) also
has a piecewise continuous derivative. Applying Lemma 1, we have proved that
J~[ g(u)U(u) sin (N + D udu= 0
Writing this in terms of I, we have
lim 111" f(x + U)DN(U)du = I(x + 0) lim 111" DN(U)du = -211(x + 0)

N~oo 0 N~oo 0
which was to be proved.

An examination of the graph of DN(U) (Fig. 1.2.1) helps to give an intuitive
motivation of the proof. Since f~1I" DN(U)du = 1, the graph suggests that, as N
gets large, the area tends to concentrate around u = 0, so that f~1r f(u)DN(u)du
tends to pick off the values of f(u) near u = O. Thus
1r 1
1
J~ -11" f(u)DN(U)du = 2[1(0 + 0) + f(O - 0)]
for functions f(x) that are piecewise smooth.

Having proved the convergence of the Fourier series, we can now obtain many
useful conclusions. Referring to the first two examples in Sec. 1.1, we have the
convergent Fourier series
(_1)n+l
2 L
00
sin nx = x - 7r < X < 7r
n=1 n
7r 2 ~ 1 - (-1)n
"2 - ;: L..J n2 cosnx = Ixl - 7r < X < 7r
n=1
Both of these examples are continuous functions, for which f(x+O) = f(x-O) =
f(x) for all x, -7r < X < 7r. However, the periodic extension is not continuous in
the first case, where f(x) = x, -7r < X < 'Tr.
As an example of a discontinuous function, we have the convergent Fourier
series
O<x<'Tr
-7r2 L
00 1 _ (-1)n
n
sinnx=
{ 1
0 x=O
n=1 -1 -7r <X <0
These can also be used to obtain various numerical series. Taking x = 0 in
the Fourier series for lxi, we have 0 = 7r /2 - (2/,rr)(2 + ~ + ~ + ... ), 7r2 /8 =
fs
1 + ~ + + .. '. Similarly, taking x = 7r /2 in the third example, we obtain
7r/4=1-~+k-''''
EXERCISES 1.2
1. Determine whether or not the indicated function is piecewise smooth.

(a) f(x) = IxI 3/ 2 , -2 < x < 2
(b) I(x) = [xl - x, 0 < x < 3 ([x] = integer part of x)
(c) I(x) = X4 sin(l/x), -1 < x < 1
(d) f(x) = e-(1/x ), -1 < x < 1
2
2. Let f(x) = x 2 sin(l/x).

(a) Show that limx~o f(x) = O.
(b) Graph f(x), -7r < X < 7r.
(c) Show that 1'(0 + 0) does not exist by considering I'(h) as h ~ 0
through the values 1/2n7r and 1/(2n + 1)7r, n = 1,2, ....
3. Let f and 9 be piecewise smooth on (a, b).
(a) Show that f + 9 is piecewise smooth on (a, b).
(b) Show that f . 9 is piecewise smooth on (a, b).
(c) What restrictions must be made on 9 in order that f / 9 be piecewise
smooth on (a, b)?
4. Let f be the 211"-periodic extension of the piecewise smooth function f(x),

-11" < X < 11".
(a) Show that f(x), -00 < x < 00, is piecewise smooth.
(b) Show that f is 211"-periodic.
(c) Show that
1d /(x)dx = t J(x)dx if d - c = 211" =b - a
5. Define U(O) = 1 and

u
U(u) = 2sin(u/2)
Show that U(u) is continuous and has a continuous derivative for -11" ~
U ~ 11". (Hint: Use L'Hospital's rule.)
6. Let f(x), a < x < b, be a piecewise smooth function. Let g(u) = [f(x+u)-
/(x+O)]/u for u =F O. Show that g(O+O) = f'(x+O}, g(O-O) = /'(x-O).
(Hint: Use L'Hospital's rule.)
7. Let g(u) be defined as in Exercise 6. Show that 9'(0 + 0) = !/"(x + 0),
g'(O - 0) = !f"(x - 0).
8. Prove that DN(U) is even and 211"-periodic.
9. Use Lemma 1 and the properties of the Dirichlet kernel to compute the
following limits:
(a) limN~oo r~~~2 DN(U)du (b) limN~oo 07r/2 DN(U)du
J
(c) limN-.oo J~~~6 DN(U)du (d) limN-.oo J:/2 DN(U)du
10. What is the maximum value of DN(U), -11" ~ U ~ 11"?
11. Find all solutions of the equation DN(U) = O.
12. Find all solutions of the equation D~(u) = O.
13. There is another way of establishing Lemma 2. Recall that eU : = cos x +
i sinx.
(a) Show that
elZ _ e- ix
cos x = --2-- sinx=---
2i
(b) Prove Lemma 2 using part (a) and the fact that for any complex
number r =F 1,
r n +1 - 1
1+r + ... + rn = r =F 1
r-l
14. This exercise establishes the formula
=~
1 00
o
sinx dx
x 2
(a) Let 1)
I{u) = (2Si:U/2 - it u#o 1(0) = 0
Show that I, I' are continuous on (0,11'). (The only trouble occurs at u = O.
Use L'Hospital's rule to show that the appropriate limits are finite.)
(b) Use Lemma 1 to conclude that
1
lim /.7T
N~oo 0
[2 smu
. 1 /2 - .!.]
u
sin(N + -2 )u du = 0
(c) Hence show that

7T /.7T sin(N + l)u
lim
N~oo
DN(U)du = N~oo
lim 2 du
/.0 0 U
(d) Make the appropriate substitution in the second definite integral
and recall the appropriate facts about DN(U) to conclude that
. /.(N+l/2)7T sin x 11'
hm --dx=-
N~oo 0 x 2
(e) If (N - ~)71' ~ X ~ (N + ~)11', show that
x sin x l(N+ 1/2}7T sin x
l o
--dx=
x 0
--dx+x
x
where Ixl ~ l/(N - ~). Conclude that the improper integral converges to
11'/2 when X ~ 00.
15. (a) Set x = 11'/2 in the Fourier series for I(x) = x, -11' < X < 71', to obtain
the formula
11' 111
-=1--+---+ ..
435 7
(b) Set x = 7r/4 in the series part (a) to obtain
~ = V2 (1+ ~ - ~ - ~ + ... ) - (1- ~ + ~ - ~ + ... )

(c) Conclude from part (b) that
7r 1 1 1 1 1 1 1
-
2V2 = 1+ -3 - -5 - -+ - + -- -
7 9 11 13
- -+ ...
15
(d) If we set x = 7r in the series in (a), we find that the series sums to
zero. Why doesn't this contradict I(x) x? =
16. (a) Show that
2
x2 = -7r -4 cos x + cos 2x - -4 cos 3x + ... + (-1 )m - 4 cos mx + ...
3 9 m2
for -11' ~ X $ 11'.
(b) Setting x = 0 in (a), find the sum

1-!+! - ~ + ... = ~(_1)m+l_l2
4 9 16 L...J m
m=l
(c) What is
00 1
Lm
m=l
2
[Hint: Set x = 1r in part (a).]

(d) What is
1
Lm
modd
2
[Hint: Add (b) and (c).]

17. Let f(x) = x, -1r < X < 1r. What is the sum of the Fourier series for
x = -1r, X = 1r?
18. Let f(x) = eX, -1r < X < 1r. What is the sum of the Fourier series for
x = -1r, X = 1r?
19. Let f(x), g(x) be piecewise smooth functions for a < x < b. Show that
bf(x)g'(x)dx +f.b f'(x)g(x)dx = - ~(J(x,
P + O)g(Xi + 0) -
f.
a a f(x, - O)g(x, - 0)]
+ f(b - O)g(b - 0) - f(a + O)g(a + 0)

20. Use Exercise 19 to prove the following integration-by-parts formula for
piecewise smooth functions:
[ f(x)g'(x)dx = feb - O)g(b - 0) - f(a + O)g(a + 0) - [ f'(x)g(x)dx

P
- L g(x t - O)[f(xi + 0) - f(x, - 0)]
,=1
P
- L f(Xi - O)lg(x, + 0) - g(x, - 0)]
P
- I)f(x, + 0) - I(xi - O)][g(x, + 0) - g(x, - 0)]
21. By examining the proof of Theorem 1.1, show that the conclusion is valid
if I, f', I" are piecewise continuous.
22. On the basis of Exercise 21, for which n ~ 1, can we assert that the Fourier
series of xn sin l/x is convergent for all x, -1r < X < 1r?
58 1. FOURIER SERlES
23. Let f(x), -1T < X < 71", be a piecewise smooth function with Fourier
coefficients An, Bn. Apply Exercise 20 with a = -1T, b = 1T, g'(x) = cosnx
to find an asymptotic formula for An, Bn, n -+ 00.
1.3. Uniform Convergence and the Gibbs Phenomenon2
We have seen that the Fourier series of a piecewise smooth function converges to
the function except at points of discontinuity, where it converges to the average
of the function's left- and right-hand limits. Since we are interested in approx-
imating functions by partial sums of their Fourier series, it is of interest how
the Fourier series converge near a discontinuity, that is, how the partial sums of
Fourier series behave near discontinuities of their functions. We turn first to an
example.
1.3.1. Example of Gibbs overshoot. Consider the function
f(x) = {-I 1
-1T
O~X~lT
~x< 0
The cosine coefficients are all zero (f is odd), and the sine coefficients are given
by
Bn = -2111" sinnxdx = -[1-
2 (-It] n = 1,2, ...
1T 0 nlT
The partial sum of the Fourier series is therefore
4 [ . sin3x sin(2n - I)X]
hn(x) = f2n-l(X) = -; smx + -3- + ... + 2n -1
From the graph of Fig. 1.3.1 we see that, just before the discontinuity, the
partial sums overshoot the right- and left-hand limits and then slope rapidly
toward their mean. On the interval -1T ~ X ~ 1T, It has one maximum and one
minimum, h has three maxima and three minima, 15 has five maxima and five
minima, etc. We can actually calculate the overshoot by computing the derivative
4
(1.3.1) f~n-l(X) = -[cos x + cos3x + cos5x + ... + cos(2n - l)xJ
1T
and solving the equation f~n-l (x) = O.

To solve this equation, we multiply (1.3.1) by sinx and use the identity
sinxcoskx = ~[sin(k + l)x - sin(k - l)xJ

and get
n-l }
1T sinx f~n-l (x) = 2 sin 2x + I,:[sin 2(k + l)x - sin 2kx]
{
k=l
= 2sin2nx
2This section treats theoretical material and can be omitted without loss of continuity.
1.3. UNIFORM CONVERGENCE AND THE GIBBS PHENOMENON 59
FIGURE 1.3.1 The Gibbs phenomenon for n = 10 and n = 50.
Therefore, the extrema occur at the points

2nx = 7r I 27r I , 2n7r
These points are equally spaced in [-1r,7r]. It is the maximum closest to the
discontinuity (Le., when x = 7r /2n) that is of interest, so we wish to compute
f2n-l (~) = i [sin ~ +! sin 37r + ... + _1_ sin (2n - 1)7r]
2n 7r 2n 3 2n 2n - 1 2n
for large n. The technique we will use for evaluating this sum consists of rewriting
the sum so that it looks like the approximating sum of a Riemann integral and
then evaluating the integral. Our answer will be exact when n t 00 and so should
give a good approximation for large n.
The function whose integral we will approximate is g(x) = (sinx}/x. Consider
the partition of [0, 7rJ, given by the points {Xk}, where
7rk
Xk k = 1, ... ,n
=
n
7r
~Xk =
n
If we choose the midpoints x~ of each of these intervals as our sampling points,
then we have
~ ( ') A
L-, 9 xk UXk = sin 7r /2n -1r + ... + sin(2n - 1)7r /2n 7r
- ~
l1t - - dx
sin x
k=l 1r /2n n (2n - 1)7r /2n n 0 x
If we rearrange our sum, we see that it equals

2n 1r [. 1r
- - sm -
1r n 2n
+ sin 31r3 /2n + ... + sin(2n2n- - 1)1r
1
/2n]
= -1r2 J2r n -1 ( -2n
1r )
Therefore the limit of the overshoot is given by
lim hn-l (~) = ~ J.7r sin x dx

ntoo 2n 1r 0 X
We can approximate the integral numerically as follows:

5
. x3 7
smx =x - - + -x - -x ...
3! 5! 7!
so
sin x x2 X4 x6
-=1--+---+
x 3! 5! 7!
and
~ J.7r sinx dx =
1r 0 X
= 1.18 to two decimal places

This means that if we stand at anyone point, we will land on the graph of f (x)
in the limit n t 00. However, if we ride the crest of the worst point possible
for each n, then we will never reach the graph of f(x). When n t 00, we will
be left dangling approximately 1.18 units above the origin. This behavior can
be described by saying that the partial sums do not converge uniformly to f(x)
(i.e., the entire curve is not arbitrarily close to the graph of f for sufficiently large
n). Rather, they converge to the graph indicated in Fig. 1.3.2. This is known
as the Gibbs phenomenon. Notice that the overshoot of 1.18 is 9 percent of the
jump made at the discontinuity. This is characteristic of the overshoot due to any
discontinuity in any piecewise smooth function f. In fact, we have the following
general fact, whose proof is omitted.
Let f be piecewise smooth on (-1r, 1r). Then the amount of overshoot near a
discontinuity, due to the Gibbs phenomenon, is approximately equal to
0.09If(xo + 0) - f(xo - 0)1
for large n.
(-n, 1.18) (0, 1.18) (n, 1.18)

(~O)
x
(-n.O) (0.0) (n.O)
(-n. -1)
(-n; -1.18) (0, -1.18) (n, -1.18)
FIGURE 1.3.2 Limiting graph in Gibbs' phenomenon.
1.3.2. Implementation with Mathematica. The graphs of the Gibbs

phenomenon can be easily produced using Mathematica. We will illustrate this
with the function
1(x) = {-I 1
-1r < x ~
O<x<1r
0
To implement this in Mathematica, we first define a step function by means of
the "If' function:
With this definition, the function 1 can be written

f[x_]:=l - 2u[-Pi,x]+2u[O,x]
To see this in more detail, note that the function If takes three arguments;
the first argument is a condition, the second argument is the value of the function
when the condition is satisfied, and the third argument is the value of the function
if the condition is not satisfied. In the case at hand, we see that if -1r < x < 0,
then the first condition is met but not the second, so that f (x) = 1 - 2 + 0 = -l.
If 0 < x < 1r, then both conditions are satisfied, so that I(x) = 1 - 2 + 2 = 1,
as required. In case x = 0 only the first condition is satisfied, so that 1(0) =
1 - 2 + 0 = -1, as required.
This function can be plotted in Mathematica by means of the commmand
U[a_]:=Plot[u[a,x],{x,a-l,a+l}]
For example, the graph of u[2,x] can be obtained by typing U[2]:
0.8
0.6
0.4
0.2
I I
1.5 2
I
2.5 3
I
If we want to graph the Fourier series of fusing Mathematica, we first recall

the Fourier series representation for the partial sums:
= ~ ~ sin((2k - l)x)
j 2n-l ()
X 1T' L....J 2k - 1
k=l
To implement this in Mathematica, we define a function of two variables as

follows:
f[n_,x_]:=(4/Pi) Sum[(1/(2 k -1 Sin[(2k-1) x],{k,l,n}]
For example, if we now type f[3,x], we obtain the output
sin [3x] Sin [5x]

4(Sin[x] + -------+ --------)
3 5
Out [4]=---------------------------------
Pi
To graph the partial sum, we define a function as follows:
fgraph[n_]:=Plot[f[n,x],{x,-2Pi, 2Pi}]
If we type fgraph[3], we obtain
0.5
-6 -4 -2 2
-0.5
whereas if we type fgraph[101 we obtain
0.5
-6 -4 -2 2 4 6
-0.5
In order to display the two graphs simultaneously, we type
Plot[{f[3,x], f[10,x]},{x,-2Pi,2Pi}]
to obtain
0.5
-6 -4 -2 2 4 6
1.3.3. Uniform and nonuniform convergence. In many problems it is

important to avoid the Gibbs phenomenon-in other words, to be sure that the
function f(x) is well approximated by the partial sum fn(x) at all points of the
interval -L ~ x ~ L. Recall that a sequence of functions fn(x), a ~ x ~ b,
converges uniformly to a limit function f(x), a ~ x ~ b, if
Ifn(x) - f(x)1 ~ fn a~x ~ b, n = 1,2, ...
where
lim fn = 0
n-.oo
This is clearly violated in the Gibbs phenomenon, for in the previous example
liIDn-.oo[hn-l (1r /2n) - f(1r /2n)] = 0.18 ....
1.3.4. Two criteria for uniform convergence. We shall give two general
criteria for uniform convergence. The first of these can be tested on the series,
while the second can be tested on the function.
PROPOSITION 1.3.1. (First criterion for uniform convergence). Let
f(x), -L < x < L, be a piecewise smooth function. Suppose that the Fourier
coefficients {An}, {Bn} satisfy
n=l
Then the Fourier series converges uniformly.
For example, E:=1 (sin nx)/n2 is a uniformly convergent Fourier series.
PROPOSITION 1.3.2. (Second criterion for uniform convergence). Let
f(x), -L < x < L, be a piecewise smooth function. Suppose in addition that
f is continuous - L < x < Land f(-L + 0) = f(L - 0)
Then the Fourier series converges uniformly.
l.3. UNIFORM CONVERGENCE AND THE GIBBS PHENOMENON 65
For example, f(x) = Ixl has a uniformly convergent Fourier series.

Within the class of piecewise smooth functions, these criteria are necessary
and sufficient: If the Fourier series of a piecewise smooth function converges
uniformly, then f is continuous, f( - L + 0) = f(L - 0), and r:::l
(IAnl + IBnl) <
00. Once we leave the domain of piecewise smooth functions, the theory becomes
much more complicated; for example, the Fourier series E~=2(sin nx)/(n logn)
is known to be uniformly convergent,3 but it does not satisfy the first criterion.
Of course the sum of this series must be a continuous function by the general
properties of uniform convergence.
1.3.5. Differentiation of Fourier series. We now give a general criterion

for differentiating a Fourier series.
PROPOSITION 1.3.3. Let f(x), -L < x < L, be a continuous piecewise
smooth function with f(L - 0) = f( -L + 0). Then
1
2[f'(x + 0) + f'(x - 0)] = ~ n7r ( n7rX
L...J L Bncos L -
. n7rx)
An sm L
n=l
Proof. It suffices to apply the convergence theorem to the piecewise smooth

function f'(x) , -L < x < L. Its Fourier coefficients are given by
A~ = 2L
1 lL -L
1
f'(x) dx = 2L (f(L - 0) - f(-L + 0))
A~ = 2L
IlL -L f'(x) cos (n7rx/ L) dx ~lL
=L -L f (x) sin (n7rx/ L) dx ~
= yBn
1
B~ = 2L
l-L
L

f'(x) sm(n7rx/ L) dx
n7r
= -Y lL f
-L (x) cos (n7rx/ L} dx
n7r
= -TAn
where we have integrated by parts and used the continuity of f(x}, -L < x < L.
The result now follows from Theorem 1.1 .
For example, suppose that we want to compute the Fourier series of f(x) = x 2 ,
- L < x < L. The Fourier series of this even function is of the form Ao +
2::0=1 An cos nx, where {An} are to be determined. From Proposition 1.3.3 we
may write
00
2x = - LnAnsinnx
n=l
But from Example 1.1.1, Sec. 1.1, we know that
3 A. Zygmund, Trigonometrical Series, Dover Publications, New York, 1955, p. 108.

Therefore An = 4(-1)n/n2 for n = 1,2, .... To compute Ao we must return to

the definition Ao = (1/21r) r~.1r x 2 dx = 1r 2 /3. Therefore we have the Fourier series
00
x 2 = 1r 2 /3 + 42)(-1)n/n2 ]cosnx
n=l
1.3.6. Integration of Fourier series. The following proposition shows that

a Fourier series may be integrated term by term under very general conditions.
PROPOSITION 1.3.4. Let f(x), -1r < x < 1r, be a piecewise smooth function
with Fourier series
00
Ao + E(A n cos nx + Bn sin nx)

n=l
If -1r ~ Xo <x ~ 1r, then
x
1
xo
f(u)du = Ao(x - xo)
+~ [~n(Sinnx - sinnxo) + ~n(cosnxo - cosnx)]
Proof. Let F(x) = f~1r[f(u) - Ao]du. F is continuous and piecewise smooth

with F(-1r) = F(1r). Therefore by the basic convergence theorem (Theorem 1.1)
we have
00
F(x) = Ao + E(Ancosnx + Bn sin nx)

n=l
where (An' En) are the Fourier coefficients of F. To compute these, we have, for
ntfO,
An = - 1f
1r -1r
F(x) cosnxdx
= ~t cosnx {{If(u) - AoldU} dx

= ~ 1:lf(u) - An] ( [ cos nx dx) du
= -- 11"
1r -1r
sinnu
[J(u) - Ao}--du
n
Bn
=
n
In the same fashion, we have
117r F(x) sin nx dx

-
7r -7r
= - 117r [f(u) - AoHcosnu - cosn7r]du
n7r -7r
=
Recalling the definition of F(x), we have proved that
1: f(u)du = Ao(x + ,,) +;\0

1
+ L ;;(An sin nx - Bn cos nx)
00
n=l
If we replace x by Xo and subtract the result, then Ao cancels and we have proved
the stated result .
1.3.7. A continuous function with a divergent Fourier series. This

example is constructed by a particular grouping of the terms in a special trigono-
metric series. Explicitly, we define the finite trigonometric sums
cos(Nn + 2)x cos(Nn + mn)x
(1.3.2) ( ) =cos (N.n+ 1) x+
CnX + ... +-~---=--
2 ffln
l\T 1) cos(Nn - 2)x cos(Nn - mn)x

(1.3.3) D n (X ) = cos (Hn - X + 2 + ... + ffln
and the function
(1.3.4)
The integers Nn , mn will be chosen so that

(1.3.5) - 7r ~ X ~ 1r, n = 1,2, ...
Cn(O)
(1.3.6) -- 2
--+ 00
n
(1.3.7) Nn + mn < Nn+l - m n +l n = 1,2, ...

To do this, we use the following two facts:

n 1
(1.3.8) L
k > logn n = 1,2, ...
k=l
(1.3.9) l ~sinkxl
~
k
k=l
~ 4 n = 1, 2, ... , -1r ~ X ~ 1r
To prove (1.3.5), we use the trigonometric identity

a+b. a-b
cosa-cos b =- 2 S t n - - S t n - -
2 2
to write
Cn()
X -
. (Nnx ) ( smx
Dn(X ) = -2sm . + -2- mnX)
sin 2x + ... + sinmn
From (1.3.9) the second factor is less than or equal to 4, and we have proved
(1.3.5).
To prove (1.3.6), we write
1
Cn(O) = Dn(O) = 1 + 2 + ... + mn > log(mn)
n3
If we choose mn = 2 , then log(mn) = n 3 10g2, and thus Cn(0)/n 2 and Dn(0)/n2
tend to 00, as required.
To prove (1.3.7) we define NI = 3 and for n > 1, N n+1 - N n = 2mn +l' With
this choice, it immediately follows that Nn+l - Nn > mn+l + m n, as required.
Having defined N n , ffin, it follows from (1.3.5) that the series (1.3.4) is uni-
formly convergent and therefore f(x), -1r < x < 1r, is a continuous function. It
remains to compute the Fourier series of f.
Since f(x), -1r < X < 1r, is an even function, the Fourier sine coefficients Bn ==
O. To compute the Fourier cosine coefficients, we may multiply the uniformly
convergent series (1.3.4) by cos nx and integrate on -1r < X < 1r. From (1.3.7)
there is exactly one nonzero term corresponding to each integer of the form n =
Nk 1, ... ,Nk mk. These nonzero terms are of the form
1
An = -; if n = Nk j 1 ~ j ~ mk
J
In particular, the partial sums at x = 0 satisfy
Ck(O) - Dk(O)
fNIc+m,,(O) = (C1(0) - D1(0)) + ... + k2
f NIc+l (O) = (C1(0) - D 1 (0)) + ... + Ck(O) k2

- Dk(O) _ Dk +1 (0)
(k+1)2
Dk+l(O)
fNIc+mlc(O) - fNIc+l (0) = (k + 1)2
If the sequence of partial sums fn(O) were convergent, it would follow that
lim(fNk+mA: (0) - fNHl (0 = 0, which contradicts (1.3.6). Therefore the Fourier
series diverges at x = 0, which was to be proved.
EXERCISES 1.3
1. Let
hn-l(X) = ~ [sin x +!3 sin3x + ... + -n-l

1f
12 sin(2n -1)X]
Show that
k1f)
J2n-l ( -2n
2
~ -
J.k1r -
sin x d
- x k = 1,2, ...
1f 0 x
[Hint: Write the sum for hn-l(k1f/2n) as the approximating sum for an
appropriate Riemannian integral.]
k1r
2. Estimate the integral Jo (sinx)/xdx for k = 2,3,4.
3. Let f(x), -L < x < L, be a piecewise smooth function. Show that the
first criterion for uniform convergence follows from the Weierstrass M -test
(Appendix A.2.).
4. Let f(x}, -L < x < L, be a piecewise smooth function. Show that An =
O(l/n}, Bn = O(I/n} when n t 00.
5. Let f(x), -L < x < L, be a piecewise smooth function. Let A~, B~ be the
Fourier coefficients of f'.
A~ =
IlLL -L
n1fX
f'(x) cos L dx
B~ = .!.lL f'(x) sin n1fX dx

L -L L
If f is continuous and f( -L + 0) = f(L - 0), show that
A' - n1f B B' = _ n1f A
n- L n n L n
6. Let f(x}, -L < x < L, be a continuous piecewise smooth function with
f( -L + O} = f(L - 0). Use Exercises 4 and 5 to show that An = O(I/n2),
Bn = O(I/n2 ) when n t 00.
7. Let f(x), -L < x < L, be a continuous piecewise smooth function with
f( -L + 0) = f(L - 0). Use Exercise 6 to prove the second criterion for
uniform convergence (Proposition 1.3.2).
8. Use Exercise 5 and the main convergence theorem (Theorem 1.1) to prove
the proposition on differentiating a Fourier series.
2
9. Let f(x) = E::l e-(n 1r/L2} sin n1rx/ L be the Fourier series of a piecewise
smooth function. Show that
00
f'(x) = "n1r
L...J-e
-(n21r/L2) n1rX
cos-
n=l L L
10. Consider the Fourier series of f(x) = x found in Example 1.1.1, Sec. 1.1.
By formally differentiating the series at x = 0, show that it is not valid to
differentiate a Fourier series term by term, even if the function is differen-
tiable.
11. Consider the Fourier series of f(x) = x found in Example 1.1.1, Sec. 1.1.
By integrating this series, find a series for x 2
12. Integrate the series of Exercise 11 and compare the result with Example
1.1.5.
13. Among the series for x, X2, and x 3- L 2x found in Exercises 10 to 12, which
are uniformly convergent?
14. Let f(x) = X, -1r < X < 1r. Find the maximum of the partial sum fN(X)
and verify the presence of Gibb's phenomenon.
15. This exercise provides the missing steps in the proof of (1.3.9).
(i) If 0 ~ x ~ 1r, establish the identity
. sin 2x sin nx
SlDX+--+"'+--
rz:
= Jo (cost++cosnt)dt
2 n
= {X sin(n + (1/2))t dt _ =
Jo 2sin(t/2) 2
(ii) Rewrite the integral in (i) as
{X sin(n + {1/2))t ( .1 _ ~) dt + {X sin(n + (1/2))t dt
Jo 2 sm{t/2) t Jo t
(iii) Use the inequalities 1sin 8 - 81 ~ 83 /6, sin 8 2:: 28/1r for 0 ~ 8 ~ 1r to
bound the first integral in the form
If sin(n + (1/2))t (2 Sio~t/2) - D :s [dtl :::; t dt = ~~2

(iv) Make the change of variable u = {n + 1/2)t in the second integral to
prove that
If sio(n +t(1/2))t dtl :::; /." Si: u du = 1.852
(v) Conclude that Isin x + ... + {sin nx}/nJ ~ 3.75 for 0 ~ x ~ 1r.
1.4. PARSEVAL'S THEOREM AND MEAN SQUARE ERROR 71
1.4. Parseval's Theorem and Mean Square Error

Having developed the convergence properties of Fourier series, we now turn to
some concrete computations that show how Fourier series may be used in various
problems.
1.4.1. Statement and proof of Parseval's theorem. The key to these

applications is Parseval's theorem, a form of the pythagorean theorem that is
valid in the setting of Fourier series.
THEOREM 1.2. (Parseval's theorem). Let f(x), -L < x < L, be a piecewise
smooth function with Fourier series
00
~ ( n1rX . n1rx)
Ao+ L.. AncosL+Bnsm-y;-
n=1
Then
(1.4.1) 2~ 1 L
-L
f(X)2cJx
00
= A~ + ~ E(A; + B~)
n=l
The left side represents the mean square of the function f(x), -L < x < L. The
right side represents the sum of the squares of the Fourier components in the
various coordinate directions cos n7rx/L, sin n7rx/ L.
Proof. The proof of Parseval's theorem is especially simple if the piecewise
smooth function is also continuous with f( -L + 0) = f(L - 0). In that case we
multiply the uniformly convergent Fourier series by f(x) to obtain
00
~
f(X)2 = Aof(x) + L.. [Anf(x) cos n7rX . n1rx]
L + Bnf(x) sm-y;-
n=l
This series is also uniformly convergent, and we may integrate term by term for
- L < x < L, with the result
1: f(X)2cJx = Ao 1: f(x)cJx
+~ [An 1: j(x) cos n~x + Bn l>(X) sin n~x]

On the right we recognize the integrals that define the Fourier coefficients Ao,
An, Bn Dividing both sides by 2L, we obtain equation (1.4.1), the desired form
of Parseval's theorem in this case. The proof in the general case is outlined in
the exercises.
1.4.2. Application to mean square error. Our first application of Par-

seval's theorem is to the mean square error q'Pv, defined by
(1.4.2)
This number measures the average amount by which fN{X) differs from f(x).
The Fourier series of f(x) - fN{X) is
00
'""
L..-J \ An cos L
n1fX L
+ Bn sm n'lfX)
n=N+l
and therefore, by Parseval's theorem, we have
2~ f: [f(x) - fN(X)]2dx = ~ JV=H(A! + B~)

and the formula
(1.4.3)
The mean square error is half the sum of the squares of the remaining Fourier
coefficients. This formula shows, in particular, that the mean square error tends
to zero when N tends to infinity.
EXAMPLE 1.4.1. Let f(x) = lxi, -'If < x < 'If. Find the mean square error
and give an asymptotic estimate when N -4 00.
Solution. We have Bn = 0, A2m = 0, A2m - 1 = -4/'If(2m -1)2, so that
~2
V2N-l -
_ ~2
V2N ~
=!2 L...J A2
n
n=2N+l
= 1 4 ]2
"2 E
00
m=N+l
[
'If(2m -1)2
8 00 1
= 'lf2 E
m=N+l
{2m-l)4
Although we cannot make a closed-form evaluation of this series, we can still

make a useful asymptotic estimate. To do this, we compare the sum with the
integral
8 {(X) 1 4 1
7r iN (2x - 1)4 dx = 37r {2N - 1)3
2 2
1.4. PARSEVAL'S THEOREM AND MEAN SQU ARE EIUlOR 73
y =rpl x)
N N+ 1 N+2 N+3
------ x
FIGURE 1.4.1 Illustrating the relation L::.'=N+I <p(m) S; J: <p(x ) dx.

Figure 1.4.1 shows t he comparison of a sum with an integral. This gives us t he
useful asymptotic statement
a~ = O(N- 3) N --) 00
EXAMPLE 1.4.2 . Let J( x) = X, -11' < X < 7r . Find the mean squam eTTor
and give an asymptotic estimate when N --) 00 .
Solution. We have Am = 0, Bm = (-J)m-I(2/m), and therefore
1 00 4 00 1
a~ = 2" L
m=N + l
rn2 = 2 L
m=N+ l
m2
To obtain a useful asymptotic estimate of this sum , we compare it with the

integral
00 dx 2
so that
2
N 1
---
x' - N
N--)oo
1.4.3. Application to the isoperimetric theorem. We now give an ap-

plication of Fourier series to geometry, the so-called isoperimetric theorem.
THEOREM 1.3. Suppose that we have a smooth closed curve in the xy plane
that encloses an area A and has perimeter P. Then
p 2 ~ 47rA
with equality if and only if the curve is a circle.

Proof. Suppose that the curve is described by parametric equations x = x(t),
y = y(t) where -7r ~ t ~ 7r. The functions x(t), y(t) are supposed smooth and
satisfy the normalization x( -7r) = x(1r), y( -1r) = y{7r) because the curve is
closed. From calculus, the perimeter and area are given by the formulas
p= i: vi.xI(t)2 + y'(t)2 dt A= i: x(t)y'(t) dt
where x' = dx / dt, y' = dy / dt. By reparametrizing the curve, we may suppose
that X'(t)2 + y'(t)2 is constant (see Exercise 20); in fact, it must be
Now we introduce the convergent Fourier series
00
x{t) = ao + L(an cosnt + bn sin nt)

n=l
00
y(t) = Co + L(en cos nt + lin sin nt)

n=l
Since the functions x(t), y(t) are supposed smooth, we also have the convergent
Fourier series
00
x'(t) = L n( -an sin nt + bn cosnt)

n=l
00
y'(t) = Ln(-cnsinnt+dncosnt)
n=l
104. PARSEVAL'S THEOREM AND MEAN SQUARE ERROR 75
Applying Parse val 's theorem, we have

p2
27r =
17r [X'(t)2 + y'(t)2]dt = 7r E n2(a; + b; + c; + d;)
00
-7r
A = 1: x(t)y'(t)dt
n=l
= - 117r ([x(t) + y'(t)]2 - [x(t) - Y'(t)]2}dt

4 -7r
00
= 7r E n(andn - bnCn)
n=l
Performing the necessary algebraic steps, we have
p2 00
21r - 2A = 1f E[n(an - dn)2 + n(bn + en)2 + n(n - l)(a; + b; + c; + d!)]

n=l
The right side is a sum of squares with nonnegative coefficients; thus P2/27r -
2A ~ O. If the sum is zero, then all of the terms are zero; in particular, a! + b! +
~ + ~ = 0 for n > 1 and al - d1 = 0, bI + Cl = O. This means that
x(t) = ao + al cos t - Cl sin t - 7r ~ t ~ 7r

yet) = Co + Cl cos t + al sin t - 7r ~ t ~ 1f
which is the equation of a circle of radius v'a~ + c'f with center at (ao, co). The
proof is complete.
EXERCISES 1.4
Find the mean square errors for the Fourier series of the functions in Exercises I
to 3.
1. f(x)=lforO<x<7r,j(O)=O, andj(x) =-1 for -1r<x<O.
2. j(x) = x 2 , -7r ~ X :::; 7r
3. f(x) = sin lOx, -1r < X < 1r
4. Write out Parse val 's theorem for the Fourier series of Exercise 1.
5. Write out Parseval's theorem for the Fourier series of Exercise 2.
6. Show that, in Exercise 1, (J~ = O(N-l), Nt 00.
7. Show that, in Exercise 2, (]~ = O(N-3), Nt 00.
8. Let I(x) = x(7r - x), 0 ~ x :::; 7r.
(a) Compute the Fourier sine series of f.
(b) Compute the Fourier cosine series of f.
(c) Find the mean square error incurred by using N terms of each series
and find asymptotic estimates when N ~ 00.
(d) Which series gives a better mean square approximation of I?
9. Let f(x), g(x), -L ~ x ~ L, be piecewise smooth functions with Fourier

series
00
" ( AncOSL+BnslnL
f(x) = Ao+ L....J n7rX . n7rx)
n~l
00
g(x) = 0 0 + "L....J ( CncosL+Dnsln

n7rX . n7rx)
n=l
L
Show that
1
2L
lL f(x)g(x)dx = AoOo + 21 ~(AnCn + BnDn)
00
-L n=l
Note that this formula corresponds to the dot product formula
(ali + bd + clk) . (a2i + b2.i + c2k) = ala2 + bl~ + CIC2

for vectors in the three-dimensional space R 3.
10. Let f(x) = (cosax/sina7r), -7r ~ X ~ 7r, where 0 < a < ~.
(a) Find the Fourier series of f.
(b) Give an asymptotic estimate for the mean square error incurred in
approximating f by the first N terms of the Fourier series.
(c) Apply Parseval's theorem to obtain the following integral formula:
f:
n=-oo
(a 2 - n2 )-2 = ~(asina7r)-211r cos2axdx
2 -1r
(d) Prove that L:~~l n- 4 = 7r 4 /90. [Hint: Make a three-term Taylor
expansion of part (c) in powers of a and identify the coefficients.]
11. Let <p(x) he defined for x > 0 with <p(x) > 0, <p'(x) < 0, and the integral
floo <p(x)dx convergent.
(a) Show that
roo
iN+l
<p(x)dx ~ f:
n~N+l
<p(n) ~ roo <p(x)dx
iN
(b) Ded uee from this that
-<p(N) ~ f:
n=N+1
<p(n) -
iN
roo <p(x)dx ~ 0
12. Let <p(x) = l/x s where s > 1.
(a) Use Exercise 11 to show that
-1 00 1 1 1
-
NS<- "
L....J -n -
S
-
s --1 <
Ns-l 0
-
n=N+l
1.4. PARSEVAL'S THEOREM AND MEAN SQUARE ERROR 77
(b) Show that this may be written in the form
~ ~_ (s -
L..J n S -
1
l)Ns-I [l+O(~)]
N
N-+oo
n=N+l
13. Let C7~ be the mean square error in the Fourier series of f(x) = X, -1f <
X < 1f. Use Exercise 12 to show that a~ = (l/N)[l + O(l/N)], N -+ 00.
14. Let l,O(x) = 1/P{x) where P(x) is a polynomial of degree s, s > 1. Modify
Exercise 11 (b) to show that
n~l ~(n) = [ ' y>(x)dx [1 +0 (~)] N-+oo
15. Let a~ be the mean square error in the Fourier series of f{x) = lxi, -1r <
x < 1r. Use Exercise 14 to find an asymptotic estimate of the form C7~ =
(C/NS)[l + O(l/N)], N -+ 00 for appropriate constants C, s.
16. Let l,O(x) = e- x , x > O. Discuss the validity of the asymptotic estimate
t
n=N+l
y>(n) = [X> y>(x)dx[1 + O(I/N)]
N
N-+oo
17. Compute the ratio p 2 / A for an equilateral triangle.

18. Compute the ratio p 2 / A for a square.
19. Compute the ratio P2/A for a regular polygon of n sides and compare it
with the isoperimetric theorem in the limit when n -+ 00.
20. Let x{t), y(t) be smooth functions, -1r ~ t ~ 1r, with (x')2 + (y')2 =f:. O.
Let s(t) = I~7r V(x')2 + (y')2, P = s(1r), l = -1r + (21rs/P), x(i) = x(t),
y{t) = y{t). Show that -1r ~ i ~ 1r and (dx/di)2 + (dy/di)2 = p2/41r2 .
The following exercises are designed to lead to a proof of Parseval's theorem for
piecewise smooth functions.
21. Let f(x), -L < x < L, be a piecewise smooth function. Show that for each
E > 0, there is a continuous piecewise smooth function f*(x), -L < x < L,
with f*( -L + 0) = I*(L - 0) such that (1/2L) I~L[f(x) - f*(x)2 dx < E.
[Hint: Across each subdivision point replace I by a linear function on the
interval x, - h < x < X, + h, where h is chosen in terms of E, p and the
maximum of If(x)l, -L < x < L.]
22. Let I(x), -L < x < L, be a piecewise smooth function and let I*{x), -L <
x < L, be the continuous function constructed in the previous exercise. Use
Proposition 0.3.2 to show that IIf - fNII ~ Ilf - IN II, where IN is the Nth
partial sum of the Fourier series for the function I(x), -L < x < L, and IN
is the Nth partial sum of the Fourier series for the function I*{x), -L <
x < L.
23. Use the triangle inequality from Sec. 0.3 to prove the inequality Ilf - fN II ~
IIf - f*1I + IIf - fNII
24. Show that there is an integer No so that for N 2:: No we have IIf - IN II < f.
[Hint: Combine Proposition 0.3.4 with the Parseval theorem already proved
for the function f(x), -L < x < L.]
25. Conclude the validity of Parseval's theorem for the piecewise smooth func-
tion f(x), -L < x < L.
1.5. Complex Form of Fourier Series
1.5.1. Fourier series and Fourier coefficients. It is often useful to rewrite
the formulas of Fourier series using complex numbers. To do this, we begin with
Euler's formula
(1.5.1) el6 = cosO + isinO
and the immediate consequences
cosO = ~(ei6 + e-l9 ) ,9

sinO = ;i(e - e- t9 )
We apply these to a Fourier series:
00
~
f(x) = Ao+ L...J ( AncOSL+BnsIDT
n1rX . n1rx)
n=1
= Ao + ~ :[(.4,. - iBn)en~'/L + (An + iBn)e-Con../L)j

n=1
Therefore we let an = ~(An - iBn), n = 1,2, ... ; an = ~(A-n + iB_ n), n =

-1, -2, ... ; and ao = Ao. With this convention the Fourier series assumes the
form
00
(1.5.2) lex) = L aneln1fz/L

n=-oo
To obtain integral formulas for the coefficients {an}, we use (1.1.7) and (1.1.8),
LIlL
-L
f()
X X
( n1rX
cos L - Z..SID L
n1rx) d
x
= ~ lL f(x)e-(lmrz/L)dx
L -L
with a corresponding formula for the plus sign. When n = 0, (1.1.6) shows that
ao is given appropriately. Thus we have
(1.5.3) an = ~ lL !(x)e-(tmrz/L) dx n = 0, I, 2, ...

2L -L
1.5. COMPLEX FORM OF FOURIER SERIES 79
1.5.2. Parseval's theorem in complex form. Finally, we retrieve the ap-

propriate form of Parseval's theorem. To do this, multiply (1.5.2) by f(x) and
integrate on (-L, L). The result is
(1.5.4)
1.5.3. Applications and examples. The functions e(m1rx/L) satisfy an or-

thogonality relation, which may be written in the form
{O
l-L
L e(in1rx/L)e-(im1rx/L)dx = n
2L n=m
#m
These may be proved by using Euler's formula and the orthogonality of the
trigonometric functions cos (n1rx/ L), sin (n1rx/ L). Knowing these orthogonality
relations, we can develop the complex form of Fourier series in its own right,
without reference to the original formulas of Sec. 1.1.
The theory of Fourier series may also be extended to complex-valued func-
tions f(x), -L < x < L. These are of the form f{x) = flex) + ih(x), where
ib 12 are real-valued functions. The Fourier coefficients are defined by the
same formulas an = (1/2L) J~L f(x)e-(sn1rx/L)dx. If both It and h are piece-
wise smooth functions, then the complex Fourier series converges for all x to
4 [1(x + 0) + l(x - 0)], where 1 is the periodic extension of the piecewise smooth
function f(x), -L < x < L. This convergence is understood as the limit of the
sum E~N when N tends to infinity.
The Fourier coefficients of a real-valued function are characterized by the
relation
where the bar indicates the complex conjugate of a complex number: if c = a+ib,
then c = a - ib.
To simplify the computation of complex Fourier series, we indicate some for-
mulas that are of frequent use. If c = a + ib is a complex number, the exponential
function eCX = eaxeWx = eax(cosbx + isinbx). From this we have (d/dx)e CX =
aeax cos bx - beax sin bx + i( aeQX sin bx + beClX cos bx) = (a+ ib)eClX (cos bx +i sin bx) =
cecx. Hence the differentiation formula
d
_ecx = ceCX
dx
is valid for any complex number c.
EXAMPLE 1.5.1. Compute the complex Fourier series of f(x) = eClX, -1r <
X < 7r, where a is a real number.
Solution. The Fourier coefficients are given by the formula

an = - 1 111' eo:r:e-mxdx
. = -1 111' e(a-m)xdx
2~ -11' 2n -11'
Noting that (d/dx)e(a-m)x = (a - in)e(a-m)x, we have
an = ~ _1_._ (e(a-m)lr _ e(a-m)(-lr)
2~ a- ~n
= 2- _1_._ (_1)n(ea1l' _ e-alr)

2~
a - ~n
1 . h (-l)n(a+in)
= ;;: sm a~ a2 + n 2
The complex Fourier series of f(x) = eo:r:, -~ < x < ~, is
1 . h ~ (-l)n(a+in) mx
;; SID an L..J a2 + n 2 e
n=-oo
As our next application of complex Fourier series, we compute the Fourier
series of
If we were to use the real form of Fourier series, we would encounter many cum-
bersome trigonometric identities. With the complex approach, we avoid these.
We begin with the identity
1 .
cos x = 2(eIX + e- IX )
We expand the mth power, using the binomial theorem:
(eIX + e-ix)m = f: (~)e'1Xe-i(m-1)X

1=0 J
Therefore
cosm X = 2~
3=0 J
f: (~) ei (21- m }X
This is the complex form of the Fourier series for cosm x. As a by-product, we
can obtain some useful integrals. To do this, we multiply the previous equation
by e- mx and integrate for -~ < x < ~. By orthogonality all the integrals are
zero except when 2j - m - n = 0, in which case the integral is 2~. In particular,
m + n must be even. Therefore we have
1 111' ( )m -inx d {O m + n odd
2~ -11' cos x e x = 2~ (j) 0 ~ m + n = 2j ~ 2m
The Fourier series for cosm x can also be written in a real form, to obtain
familiar trigonometric identities. It is simpler to consider separately the cases m
even and m odd. Thus, if m = 2k + 1, we can group the terms of the Fourier
series in pairs: j = 0 with j = m and j = 1 with j =m - 1, etc. To each pair,

we apply Euler's formula, with the result
2 1
COS k+ X = (2I)2k [cos(2k + l)x + ... + (2k k+ 1) cos x1
In particular, this gives the identities
1
cos 3 x = 4(cOS 3x + 3 cos x)
1
cos5 X = I6(cos5x + 5 cos 3x + 10 cos x)
If m is even, we group the term j = 0 with j = m, etc., as before and finish
with one ungrouped term in the middle. Applying Euler's theorem again, we
have, with m = 2k,
cos" x = G r[ 2cos 2kx + ... + 2(/~ 1) cos 2x +

In particular, we retrieve the identities
e:)1
1
cos2 x = 2{cos2x + 1)
1
cos4 X = g(cos4x + 4cos2x + 3)
1.5.4. Fourier series of mass distributions. The theory of Fourier series

is especially natural in the case of a mass distribution. This is defined by a mass
distribution function F(x), -L < x < L, which can be any increasing function.
The left and right limits are denoted by F{x - 0) and F(x + 0), respectively. The
mass oj the interval a < x < b is defined by m(a, b) = F{b - 0) - F{a + 0). The
mass of a point is defined by m({a}) = F(a + 0) - F(a - 0).
For example, the Dirac 8 distribution of mass m at the point Xo is defined by
setting F(x) = 0 for x < Xo and F{x) = m for x > Xo. At the other extreme,
a mass distribution with density f(x), -L < x < L, is defined by the mass
distribution function F(x) = J~L f{y) dy.
The Fourier coefficients of a mass distribution function are defined by the
integrals
n = 0, I, 2, ...
For n = 0 this is the total mass per unit length: (to = [F(L-O)-F( -L+0)]/(2L).
The precise meaning for n =1= 0 can be defined by partial integration. If the mass
distribution consists of several point masses plus a density, then each of the terms
can be done separately.
82 1. FOURJER SERJES
EXAMPLE 1.5.2. Find the Fourier coefficients oj the mass distribution that
consists oj a uniJorm distribution oj mass M on the interval -L < x < L,
together with a Dirac 6 distribution oj mass m situated at the point x = o.
Solution. The mass distribution function is linear with a jump at the point
x = O. In detail, we have
(M/2L)(x + L) if -L < x < 0
F(x) = { m+ (M/2L)(x + L) if 0 < x < L
The Fourier coefficients are obtained as
ao = (1/2L)(m + M),
since the last integral is zero for n =1= O
an = (m/2L) + (M/2L) I: e-inrz/Lax = (m/2L)
The following theorem shows that the theory of Fourier inversion of mass
distributions is especially simple.
THEOREM 1.4. (Convergence theorem). Suppose that F(x), -L < x < L,
defines a mass distribution m with Fourier coefficients an. Define the Fourier
partial sum by
N
fN(x) = L ane,mfxjL - L < x < L, N = 1,2, ...
n=-N
Then if a < b, we have

b
1 1
lim
N~oo l a
fN(x) dx = m(a, b) + -2 m({a}) + -2m( {b})
Proof. We can repeat the steps of the proof of Fourier convergence, noting
that
fN(X) = I: DN(X - y)dF(y)
[ fN(X) dx = I: ([ DN(X - y) ax) dF(y)

where DN is the Dirichlet kernel introduced in Sec. 1.2. From the properties of
the Dirichlet kernel proved there, it follows that
lim
N~oo
lb
a
DN(X - y) dx = 1 a<y<b
lim
N~oo
lb
a
DN(X - y) dx = 1/2 y = a,b
lim
N~oo
lb
a
DN(X - y) dx = 0 otherwise
and that the integral is uniformly bounded by a constant. Therefore one may
take the limit inside the sign of integration to obtain the result .
EXERCISES 1.5
1. Verify that the orthogonality relations hold, in the form
l L
-L
e
tn1rx/L -lm7rx/Ld,x _
e -
{O if n f; m
2L'f
1 n =m
2. Use the formulas in Exercise 1 to prove (1.5.3) from (1.5.2). You may
assume that the series (1.5.2) converges uniformly for -L < x < L.
3. Use the complex form to find the Fourier series of f(x) = eX, -L < x < L.
4. Let 0 < r < 1, f(x) = 1/(1 - re'X), -7r < X < 1r. Find the Fourier series
of f. (Hint: First expand f as a power series in r.)
5. Use Exercise 4 to derive the real formulas
l-rcosx ~ n
1+r -
2 2
r cos X
= 1 + n=
L.J r
1
cos nx, O~r<l
- -rSlllX
---- =

Lrnslnnx,
00
' O~r<l
1 + r2 - 2r cos x
n=l
6. Show that the convergence theorem from Sec. 1.2 can be written in complex
form as
N
~[j(x + 0) + J{x - 0)] =
2
lim
N~oo
L Cinelmrx/L
n=-N
7. Show that the unrestricted double limit
does not exist in general. (Hint: Try Example 1.1.4 at x = 0.)
In the following exercises, find the Fourier coefficients of the indicated mass dis-
tributions.
8. A mass m at the point Xo.
9. A row of three equally spaced masses of mass m/3 at the points x =
-L/2,x = O,X = L/2.
10. A uniform distribution of mass M on the interval -L/2 < x < L/2.
11. A triangular mass distribution described by the density function f(x) =
M(L -lxl)/L2, -L < x < L.
12. Theorem 1.4 in the text gives no information in case a = b. Show that in
this case
. fN(a)
m( {a }) = N-+oo
hm 2N + 1
[Hint: Examine the behavior of DN(X)/(2N + 1) when N is large.]
13. Show that the following analogue of Parse val's identity is valid:
2N +la1 l = L ({ a})2
2

I 1m E:=-N n
m
N-+oo
a
where the sum is over all of the point masses of the mass distribution.
14. A sequence of functions fn(x), -7r < X < 7r, is said to converge weakly
to the function f(x), -7r < x < 7r, if for every piecewise smooth function
g(x), -7r < X < 7r, we have
2~L fn(x)g(x)dx = L f(x)g(x)dx

Suppose that f(x), -7r < x < 7r, is an arbitrary continuous function with
Fourier partial sum fn(x), -7r < X < 7r. Prove that fn(x), -7r < X < 7r,
converges weakly to f(x), -7r < x < 7r. [Hint: First establish the identity
f~1T fn(x)g(x) dx = f~1r gn(x)f(x) where gn(x), -7r < X < 7r, is the Fourier
partial sum of g(x), -7r < X < 7r.]
1.6. Sturm-Liouville Eigenvalue Problems
Fourier series may be formulated as the orthogonal expansion in terms of functions
(x) that are solutions of the differential equation
(1.6.1) "(x) + A (x) = 0
on the interval - L < x < L and that satisfy the periodic boundary conditions
(-L) = (L) '(-L) = '(L)
Indeed, the functions (x) = sin (n7rx/ L) and (x) = cos(n7rx/ L) satisfy these
conditions with the value A = (n7r/L)2.
More generally, we can study the solutions of the differential equation (1.6.1)
that satisfy other sets of boundary conditions arising in problems of heat con-
duction and wave propagation. The general two-point boundary condition on the
interval a ~ x ~ b is written
(1.6.2) cos a (a) - Lsina'(a) =0
(1.6.3) cos fj (b) + Lsinfj'(b) =0
where L = b - a and a, fj are dimensionless parameters that may be assumed
to satisfy 0 ~ a < 7r, 0 ~ {3 < 7r. The number A is caIled an eigenvalue and
(x) is called an eigenfunction of the Sturm-Liouville (S-L) eigenvalue problem
1.6. STURM-LIOUVILLE EIGENVALUE PROBLEMS 85
defined by (1.6.1), (1.6.2), and (1.6.3). Clearly, (x) == 0 is always a solution of

the Sturm-Liouville eigenvalue problem, the so-called trivial solution. A solution
(x) of (1.6.1), (1.6.2), and (1.6.3) that is not identically zero is called a nontrivial
solution.
1.6.1. Examples of Sturm-Liouville eigenvalue problems. Fourier sine
series and Fourier cosine series both arise from Sturm-Liouville problems with a
two-point boundary condition on the interval 0 < x < L. In the first case we
use a = 0, f3 = 0, corresponding to the boundary conditions >(O) = 0, >(L) = 0;
in the second case we use a = 1r /2, f3 = 7f /2 corresponding to the boundary
conditions >'(O) = 0, >'(L) = O.
The following worked examples demonstrate that no other solutions exist. In
order to simplify the writing, we ignore arbitrary constants that may occur in
the nontrivial solutions.
EXAMPLE 1.6.1. (a = 0, f3 = 0) Find all nontrivial solutions of {1.6.1} on
the interval 0 < x < L satisfying the boundary conditions >(O) = 0, >(L) = O.
Solution. We consider separately the cases A = 0, A < 0, and A > O.
In case A = 0, the general solution of (1.6.1) is >(x) = Ax+B. The boundary
conditions further require that 0 = (O) = B, 0 = >(L) = AL + B, which is
satisfied if and only if (A, B) = (0,0).
In case A = _J.L2 < 0, the general solution of (1.6.1) is >(x) = Aesa + Be-sa.
The boundary conditions further require that 0 = A + B, 0 = AepL + Be- pL ,
which is satisfied if and only if (A, B) = (0,0).
In case A > 0, the general solution is >(x) = A cos(xv'X) + B sin(xv'X). The
boundary conditions further require that 0 = A, 0 = A cos (Lv'X) + Bsin(Lv'X).
A nontrivial solution is obtained by taking B =I 0, Lv'X = n7f, where n = 1,2, ....
Therefore we have found all of the eigenvalues and eigenfunctions, in the form
n1r)2 n = 1,2,...
An= ( L '
EXAMPLE 1.6.2. (a = 7f /2, (3 = 7f /2) Find all nontrivial solutions of {1.6.1}

on the interval 0 < x < L satisfying the boundary conditions >'(O) = 0, >'(L) = O.
Solution. We consider separately the cases A = 0, A < 0, and A > O.
In case A = 0, the general solution of (1.6.1) is >(x) = Ax+B. The boundary
conditions further require that 0 = >'(O) = A, 0 = >'(L) = A, which gives a
nontrivial solution if and only if A = 0 and B is nonzero.
In case A = _j.L2 < 0, the general solution of (1.6.1) is t/J(x) = Aesa + Be-sa.
The boundary conditions further require that 0 = j.LA-J.LB, 0 = Aj.LePL-Bj.Le- pL ,
which is satisfied if and only if (A, B) = (0,0).
In case A > 0, the general solution is t/J(x) = A cos(xv'X) + B sin(xv'X).
The boundary conditions further require that 0 = t/J'(O) = B,f5.., 0 = t/J'(L) =
-Av'AsinLv'A + Bv'Acos(Lv'A). A nontrivial solution is obtained by taking

B = 0, LV). = n7r, where n = 1,2, .... Therefore we have found all of the
eigenvalues and eigenfunctions, in the form
Ao = 0, 4>o(x) = 1 An n7r)2 ,4>n(x) = cos (n7rx)

= (L L n = 1,2,...
1.6.2. Some general properties of S-L eigenvalue problems. The solu-

tions of Sturm-Liouville eigenvalue problems with two-point boundary conditions
have some general properties, which are summarized in the following theorem.
THEOREM 1.5. Consider the Sturm-Liouville eigenvalue problem represented
by (1.6.1), (1.6.2), and (1.6.3).
1. Suppose that 4>(x), 1/J(x) are nontrivial solutions of (1.6. 1}-(1. 6.3} with the
same eigenvalue A. Then there is a constant C;/;O such that
4>(x) = C1/J(x)
2. Suppose that 4>1 (x), 2 (x) are nontrivial solutions of (1. 6.1 ) - (1. 6. 3) with
different eigenvalues Al ;/; A2' Then the eigenfunctions are orthogonal:
[.pI (x) 2(x) <Ix =0

Proof.
1. First consider the case Q = 0, where the boundary condition at the left end
requires (a) = 0, 1/J(a) = O. Both 4>(x) and 1/J(x) satisfy the same second-order
linear homogeneous differential equation, and so does any linear combination.
We set
f(x) = 'l/J'(a)(x) - 4>'(a)1/J(x)
The function f(x), a < x < b, also satisfies (1.6.1) and the initial conditions
f(a) = 0, f'(a) = O. This requires that f(x) == O. But if 1/J'(a) = 0 (resp.
'(a) = 0), then 1/J(x) == 0 (resp. (x) == 0), a contradiction, so that we have
proved (1) with the value C = '(a)/1/J'(a).
In the general case a ;/; 0, we set
f(x) = 1/J(a)4>(x) - (a)1/J(x)
The function f(x), a < x < b, also satisfies (1.6.1) and the initial conditions
f(a) = 0, f'(a) = O. This requires that f(x) == O. But if 'ljJ(a) = 0 (resp.
(a) = 0), then from (1.6.2) it follows that 1/J'(a) = 0 (resp. '(a) = 0), so that
(x) == 0 (resp. 1/J(x) == 0), a contradiction. We have proved the theorem with
the value C = (a)/1/J(a).
2. To prove the orthogonality, we write (1.6.1) for 1 (x):
(1.6.4) ~(x) + AI4>1 (x) = 0
Multiply (1.6.4) by 4>2(x) and integrate on the interval a < x < b:
[q,.(X)7(x)dx+ AI [I(X)q,.(X)dx =0
The first integral can be integrated by parts, to obtain
<1>2 (X) <1>; (x)I;~~ - [ <1>; (X) <1>; (X) dx + AI [ <1>1 (x)q,. (X) dx =0
Now we interchange the roles of (4)., AI) and (4)2, A2) to obtain
<l>t(x);(x)I~! - [ <1>; (x) <1>; (x) dx + A2[ q,.(X)I(X) dx = 0

When we subtract these two equations, the first integrals cancel, and we are left
with
(<1>2 (X) <1>; (x) - <1>1 (X) <1>; (X) I;~~ + (At - A2) [ <l>t (x)q,. (x) dx = 0
From the boundary conditions, we conclude that the endpoint terms contribute
zero, so we are left with the statement
(At - A2) [ <l>t(x)q,.(x) dx =0

But we have assumed that A} - A2 :/: OJ hence we conclude the required orthogo-
nality.
1.6.3. Example of transcendental eigenvalues. The next example illus-
trates the possibility of numerical/graphical determination of the eigenvalues.
EXAMPLE 1.6.3. (a = 0, 0 < f3 < tr/2) Find all nontrivial solutions of {1.6.1}
on the interval 0 < x < L satisfying the boundary conditions 4>(0) = 0, h 4>(L) +
4>'(L) = 0, where h > O.
Solution. In case A = 0, the general solution of (1.6.1) is 4>(x) = Ax + B.
The boundary conditions further require that 0 = 4>(0) = B, 0 = h4>(L)+4>'(L) =
h(AL + B) + A = A(l + hL), which requires that A = 0, B = O-hence a trivial
solution.
In case A = _p.2 < 0, the general solution of (1.6.1) is 4>(x) = AeJ4X + Be-/'&x.
The boundary conditions further require that 0 = A+B, 0 = h(Ae/.&L + Be-/.&L) +
(Ap.e/.&L - Bp,e-/.&L), which is satisfied if and only if (A, B) = (0,0).
In case A > 0, the general solution is 4>(x) = A cos(x-viX) + B sin(xv'X). The
boundary conditions further require that 0 = 4>(0) = A, 0 = h 4>( L) + 4>' (L) =
hB sin(L-viX) + B-viX cos(L-viX). Clearly, neither term can be zero, so we can
divide and obtain a nontrivial solution if and only if A satisfies the equation
h hL
(1.6.5) cot(Lv':.\) = - -IX = - L-IX
(0, O)I----~----'----~--....I..----__=
FIGURE 1.6.1 Graphical solution of cot{Lv'X) = -h/...!X.
Therefore we have found all eigenfunctions in the form
n = 1,2, ...
where the eigenvalues An are determined by solving (1.6.5) .
From the graph of the cotangent function (Fig. 1.6.1), it is seen that the
eigenvalues satisfy the inequalities
i < LA < 11", 3; < LV>:; < 211", LA - (n - D11" 0, n -t -t 00
It is possible to make a more refined asymptotic analysis of the eigenvalues as

follows. Writing L...!X = {n - {1/2))7r + En, we invoke the Taylor expansion of the
cotangent function about the point {n - {1/2))7r:
cot {{n - (1/2))7r + ) = - + 0{3) -+ 0
Substituting in (1.6.5), we find that
hL
from which we conclude that fn = -hL/n7r+0{1/n2 ) and we get the asymptotic

formula
hL
LA = {n - (1/2))7r - -
n7r
+ 0(I/n2) n -+ 00
1.6.4. Further properties: completeness and positivity. By analogy

with Fourier series, we may expect to be able to expand a piecewise smooth
function in a series of Sturm-Liouville eigenfunctions in the form
00
(1.6.6)
n=l
where the Fourier coefficients are defined by
(1.6.7) An = I: ~(x)
tPn(X) dx n=1,2, ...
14 4>n(x)2 dx
The following theorem shows that we may always expect a complete set of
eigenfunctions for the Sturm-Liouville eigenvalue problem.
THEOREM 1.6. There exist an infinite sequence of solutions An,4>n{X) of the
Sturm-Liouville eigenvalue problem defined by (1.6.1)-{1.6.3) that possess the
following properties.
v'An+! - ,;>::;. ~ 'If / L, n ~ 00
If f(x), a < x < b, is a piecewise smooth function, the series (1.6.6) con-
verges to f(x + 0)/2 + f{x - 0)/2, a < x < b.
Parseval's relation holds, in the form
I>! 1b q,n(x)2 dx = 1bl(x)2 dx

00
n=l 4 a
The proof will not be given here, but can be found in more advanced texts of
analysis. 4
A final point of detail regarding Sturm-Liouville eigenvalue problems is the
question of positivity of the eigenvalues. From the previous theorem, we see that
we must have An > 0 for all large n, but it may happen that in some cases
Al :=; O-for example, AI = 0 in case 0 = 'If /2, {3 = 7r /2. The following sufficient
condition is easily proved.
THEOREM 1.7. Suppose that the parameters 0, {3 satisfy the inequalities 0 ::;
o < 7r /2, 0 ::; (3 < 7r /2. Then all eigenvalues of the Sturm-Liouville eigenvalue
problem (1.6.1) with the boundary conditions (1.6.2),(1.6.3) satisfy An > O.
Proof. Suppose that 4>{x) is a nontrivial solution of the Sturm-Liouville
problem (1.6.1)-(1.6.3). We mUltiply (1.6.1) by 4>(x) and integrate on the interval
a:=;x:=;b:
1 6
q,(X)q,"(X) dx + A l q,(X)2 dx =0
4See, e.g., G. Birkhoft' and G. C. Rota, Ordinary Differential Equations, Ginn, Lexington,
MA,1962.
90 1. FOU RJ ER SERJES
L--- a
FIGURE 1.6.2 Regions of positive a nd negative eigenvalues.
T he first integ ral can be integrated by parts, which leads to t he identity
A t (:cf dx = t '(x)' dec + (a)'(a ) - (b)'(b)
The new integra l on t he ri ght-ha nd side is stri ctly positive, since otherwise (.?;)
would be a constant functi on , which is possible if and only if a = ,,/2, /3 = 7r / 2,
which is excl uded. On the other ha nd , we can rewri te the boundary conditions
in the form (a) = L tan a' (a) , (b) = - L tan /3' (b), which leads to
1b(x)'dx
A > L'(a)'tan a + L'(bftan /3 ~0
since a and /3 both lie in the first quadrant 0 :'0 a, /3 < 11'/2 .
We emphas ize that the prev ious theorem only provides a s ufficient condi tion
for the positivity of the eigenvalues. In order to obtain more precise resul ts,
we can plot the set of points (a, (3) for which Al > O. Figure 1.6. 2 shows that
t his region contains the square 0 :'0 a, /3 < ,,/2 and is bounded by a curve whose
equation is sin (a+/3)+cos a cos /3 = O. T his cu rve passes t hrough t he t hree points
(a,/3) = (3"/4 , 0) , (,,/2,7r/2), and (0, 3,,/4). The complete analysis of negative
eigenvalues is described next. Furt her details are described in t he exercises.
We now present the complete analysis of the existence of negative eigenvalues
for the Sturm-Liouville eige nvalue problem (1.6.1)- (1.6.3). If A = - J.l' < 0 is a
negative eigenvalue, then the corresponding eigenfunction must be of the form

4J( x) = A sinh J.LX + B cosh J1.X
We may assume, without loss of generality, that J.L > O. Applying the boundary
conditions (1.6.2), (1.6.3) yields the two simultaneous linear equations
cos a (A sinh J.La + B cosh J.La) - L sin a (AI-' cosh J.La + B I-' sinh p,a) = 0
cosfi (AsinhJ1.b + B cosh J1.b) + Lsin/1 (AJ1.coshJLb + BJ.L sinh J.Lb) =0
For a nontrivial solution we must have (A, B) =f:. (0,0), which can happen if and
only if the determinant of the coefficients is zero. After some algebra, this is
written
tanhJ.LL sin(a + /1)
(1.6.8) =
J.LL cos a cos /1 + (LJ.L)2 sin a sin fi
We consider four separate cases:
(i) 0 < a < 1r /2, 0 < {3 < 1r /2
(ii) 0 < a < 1r /2 < fi < 1r
(iii) 0 < {3 < 1r /2 < a < 1r
(iv) 1r/2 < a < 1r, 1r/2 < {3 < 1r
In case (i), the left side of (1.6.8) is positive, while the right side is negative
for J.L > 0; hence there are no solutions-in accord with Theorem 1.7.
In case (ii), the denominator of the right side of (1.6.8) is zero when J.LL =
vi cot a cot {31, yielding a vertical asymptote, to the right of which the right side
of (1.6.8) is negative. The number of solutions to (1.6.8) depends on the initial
value of the right side at J.L = 0, which is seen to be
sin(a + {3)
(1.6.9)
cosacos/1
We consider two subcases:
(iia) sin(a + {3) + cosacos{3 > 0
(iib) sin (a + {3) + cos a cos fi < 0
In sub case (iia) the initial value (1.6.9) is greater than 1 and the right side
of (1.6.8) increases to infinity, whereas the left side remains less than 1 and
tends to zero. Hence the graphs do not intersect, and we have no solution. In
subcase (iib) the initial value (1.6.9) is less than 1 and the right side of (1.6.8)
increases to infinity, so that the graphs must intersect at some point to the left of
the vertical asymptote. Hence there exists exactly one solution J.Ll that satisfies
0< J.L1L < vi cotacot{3l
Case (iii) is identical to (ii) with the roles of a and /1 interchanged; hence the
analysis is identical.
For case (iv) we rewrite (1.6.8) in the form

Av
(1.6.10) tanh v = B + Cv2 v=Ljt
Note that the function v --7 Av/(B+Cv2) begins from the origin; it rises steadily
to a maximum value, strictly larger than 1, at v = VB/C = vi
cotacot,8l, and
then steadily decreases to zero. The number of solutions depends on the slope at
v = 0, leading again to the consideration of su bcases:
(iva) sin(a + (3) + cos acos {3 < 0
(ivb) sin(a + ,8) +cosacos,8 > 0
In subcase (iva) the slope of the right side of (1.6.10) at v = 0 is greater than
1, the slope of the hyperbolic tangent; hence we have no intersection to the left
of the maximum. To the right of the maximum the right side of (1.6.10) tends
to zero; hence there is exactly one intersection with the graph of the hyperbolic
tangent.
In subcase (ivb) the slope of the right side of (1.6.10) at v = 0 is less than
the slope of the hyperbolic tangent; therefore initially it lies below the hyperbolic
tangent. But at the maximum the order is reversed; hence there is precisely one
solution to the lef~ of the maximum. To the right of the maximum the right
side of (1.6.10) tends steadily to zero, whereas the hyperbolic tangent tends to 1;
hence there is another solution to the right.
Summarizing the preceding analysis, we have the following breakdown:
There are no negative eigenvalues if either 0 < a < 7r /2 and
sin(a+,8)+cosacos,8 > 0 orO < f3 < 7r/2 and sin(a+f3) + cos a cos {3 > O.
There is precisely one negative eigenvalue if sin(a +,8) + cos a cos,8 < O.
This is in the interval 0 < LA < vi
cot a cot ,81.
There are precisely two negative eigenvalues if 7r /2 < a < 7r, 7r /2 < f3 < 7r,
and sin(a + (3) + cosacos{3 > O. The first one satisfies 0 < L~ <
vicot a cot{31 while the second one satisfies L-I-)..2 > vi cot a cot f31.
In other words, the equation sin (a + f3) + cos a cos f3 = 0 defines two curves that
divide the square 0 < a < 7r, 0 < (3 < 7r into three regions, corresponding to
two, one, or zero negative eigenvalues. This is depicted in Fig. 1.6.2, where the
unshaded region corresponds to no negative eigenvalues, the darker shaded region
corresponds to one negative eigenvalue, and the lighter shaded region corresponds
to two negative eigenvalues.
1.6.5. General Sturm-Liouville problems. Many of the properties of the

eigenfunctions of the simple differential equation </>"(x) + )..</>(x) = 0 are shared
by the eigenfunctions of the more general equation
(1.6.11) [s(x)</>'(x)]' + [)..p(x) - q(x)](x) =0 a<x O.
We have already studied the special case s(x) == 1, p(x) == 1, q(x) = O. The
new feature here is that the eigenfunctions will satisfy a property of weighted
orthogonality with respect to the weight function p(x), a < x < b. ..
As before, we also need to consider boundary conditions at the endpoints
x = a, x = b. These are written in the form (1.6.2)-(1.6.3), exactly as in the
previous cases. We state and prove the corresponding orthogonality properties
of the Sturm-Liouville eigenfunctions.
THEOREM 1.8. Consider the Sturm-Liouville problem (1.6.11),(1.6.2)-(1.6.9).
Suppose that f/JI (x), f/J2(X) are nontrivial solutions with different eigenvalues Al :j:.
A2' Then the eigenfunctions are orthogonal with respect to the weight function
p(x),a < x < b:
t 4>,(x) q,.(x)p(x) dx = 0
If the two eigenfunctions belong to the same eigenvalue Al = A2, then the eigen-
functions must be proportional: f/J2(X) = Cf/Jl (x) for some constant C.
Proof. Write the Sturm-Liouville equation satisfied by f/Jl:
[sf/J;]' + (AlP - q)f/Jl =0
Multiply this equation by 4J2 and integrate the resulting equation on the interval
a < x < b:
t 4>2 (x)(s4>; (x))' dx + t q,.(X)(A,p(X) - q(x4>, (X) dx = 0
The first integral can be integrated by parts to yield

(1.6.12)
q,.(x)s(x)4>; (x)l: - t t
4>~(x)s(x)4>; (x) dx + 4>2 (X)(A,p(X) - q(x4>, (x) dx = 0
Now we interchange the roles of f/Jl (x) and f/J2(X) to yield
(x)s(x)4>~(x)I: t t/>',(x)s(x)4>~(x) t
(1.6.13)
4>, - dx + 4>, (X)(A2P(X) - q(x))q,.(x) dx = 0

When we subtract (1.6.12) and (1.6.13) and apply the boundary conditions, all
of the terms cancel except for the final integrals. This yields the statement that
J:
(AI - A2) f/JI (x)4J2(x)p(x) dx = 0; if Al - A2 :j:. 0, it follows that f/JI and f/J2 must
be orthogonal with respect to the weight function p, which was to be proved .
EXAMPLE 1.6.4. Find the orthogonality relation for eigenfunctions of the Bessel
equation of order zero: (xf/J')' + AXf/J = o.
Solution. In this case we have sex) = x, p(x) = x, q(x) = O. If >1 (x)

and >2(x) both satisfy the same two-point boundary conditions with differ-
ent eigenvalues Al =f. A2, then we must have the orthogonality in the form
J: >1(X)4>2(X)xdx = O.
EXAMPLE 1.6.5. Find the orthogonality relation for eigenfunctions of the Bessel
equation of order m: (x4>')' + (AX - m 2/x)4> = O.
Solution. In this case we have s(x) = x, p(x) = x, q(x) = m 2Ix. If
4>1 (x) and 4>2(X) both satisfy the same two-point boundary conditions with dif-
ferent eigenvalues Al =f. A2, then we must have the orthogonality in the form
J: The orthogonality asserted in Theorem 1.8 also applies in the case of other
>1 (X)>2(X) x dx = o.
types of boundary conditions, specifically
Periodic boundary conditions: sea) = s(b), 4>(a) = 4>(b), >'(a) = >'(b)

Singular Sturm-Liouville problems: sea) = 0, s(b) = 0
In each of these cases we simply need to verify that the boundary term is zero.
In detail,
sex) (>I(X)~(x) - ~(X)2(X I: = 0
EXAMPLE 1.6.6. Verify the orthogonality of eigenfunctions for the Legendre
equation [(1 - X2)>'l' + A4> = 0, where -1 < x < 1.
Solution. This is a singular Sturm-Liouville problem with sex) = (1 - X2),
p(x) = 1, q(x) = 0, since s(l) = 0, s( -1) = O. The weight function is p(x) = 1,
so that the orthogonality relation is f~1 >1 (X)>2(X) dx = O.
In some cases we may have a singular Sturm-Liouville problem with respect
to one end. In that case we require only that the boundary condition be satisfied
at the nonsingular end, where sex) =f. O. The Bessel equation on the interval
o < x ')' + (AX - m 2/x) = 0 on the interval 0 < x < b.
Solution. In this case we have sex) = x, p(x) = x, q(x) = m2/x. If 4>1 (x)
and 2(x) both satisfy the same separable boundary conditions at x = b with
different eigenvalues Al =1= A2, then we must have the orthogonality in the form
f: 4>1 (x)2(x) x dx = o.
The case of periodic boundary conditions can be applied to give a new proof
of the orthogonality of sin (n7rx/ L), cos (n7fx/ L) as follows.
EXAMPLE 1.6.8. Consider the Sturm-Liouville eigenvalue problem for the equa-
tion </>" + ArP = 0 on the internal - L < x < L with the periodic boundary condi-
tions rP( - L) = </>( L ), rP' ( - L) = til (L ). Find the eigenfunctions and the associated
orthogonality relation for A > O. .
Solution. The general solution of the equation t/>" + At/> = 0 with A > 0 is
</>(x) = Acosxv'X + Bsinxv'X. The periodic boundary conditions translate into
the following system of two simultaneous linear equations:
AcosL-IX - BsinL~ = AcosL~ + BsinL.J5..
-v'AAcosL~ - VABsinLv'A = -AcosL~ + BsinLv'A
This system has a nontrivial solution if and only if sin LVX = 0, namely, LVX =
n1T'. The eigenfunctions are of the form rPn(x) = A cos (n1T'x/ L) + Bsin(n1T'x/ L),
and the orthogonality relation is f~L t/>m (x)rPn (x) dx = 0 if m i= n .
1.6.6. Complex-valued eigenfunctions and eigenvalues. In the above
discussion of Sturm-Liouville eigenvalue problems, it has been tacitly assumed
that both the eigenvalue and eigenfunction are real-valued. We now demonstrate
that this leads to no loss of generality.
PROPOSITION 1.6.1. Suppose that t/>(x) is a complex-valued function and A is
a (possibly) complex number that satisfies the Sturm-Liouville equation (1.6.11)
where s(x), p{x), q(x) are real-valued/unctions. Suppose/urther that t/>{x) satisfies
one of the above boundary conditions. Then A is a real number, and both the real
and imaginary parts of fjJ(x) are eigenfunctions of the Sturm-Liouville eigenvalue
problem.
Proof. We multiply the Sturm-Liouville equation (1.6.11) by the complex
conjugate of t/>(x) and integrate over the basic interval:
[ (x)[s(x)4>'(x)]' dx + [[AP(X) - q(x)](x)4>(x) dx =0

Similarly,
[ 4>(x)[s(x)'(x)]' dx + [[J..p(X) - q(x)]4>(x)(x) dx = 0

We subtract these and apply integration by parts on each of the first terms as
follows:
[ ((x)[s(x)4>'(x)]' - 4>(x)[s(x)cP'(x)]') dx = s(x)[(x)4>'(x) - '(x)4>(x)l:

But the boundary conditions imply that this term is zero. When we subtract the
second terms, the result is
(A - J..) [ p(x) 14>(x)12 dx =0

which proves that the imaginary part of A is zero; in other words, A must be a
real number. Writing 4>(x) = u(x) +iv(x), we see that both u(x) and v(x) satisfy
the same Sturm-Liouville equation that was satisfied by the complex function
<fJ(x), which was to be proved .
EXAMPLE 1.6.9. Consider the Stunn- Liouville eigenvalue problem for the equa-
tion 4>"(x) + A4>(X) = O. Find the complex-valued eigenfunctions satisfying the
periodic boundary conditions 4>( - L) = 4>( L), 4>' (- L) = 4>' (L ).
Solution. From the previous work, all of the real-valued solutions are written
sin(n7rx/L), cos(n7rx/L) with the eigenvalue A = (n1r/L)2, where n = 0,1,2 ....
The corresponding complex-valued functions may be written
4>(x) = eimrz/L 4>(x) = e-imfZ/L
By contrast, it should be noted that in the case of two-point boundary con-

ditions, Theorem 1.5 implies that the real and imaginary parts of a complex
eigenfunction must be proportional to one another; put differently, any complex
eigenfunction is a complex multiple of a real-valued eigenfunction.
EXERCISES 1.6
In Exercises 1-6, find the eigenvalues and eigenfunctions of the Sturm-Liouville

eigenvalue problem (1.6.1).
1. 4>(0) = O,4>'(L) = 0
2. 4>'(0) - h4>(O) = 0, 4>'(L) + h4>(L) = 0, h > 0
3. 4>'(0) = 0, 4>(L) = 0
4. 4>(0) = 4>(L), 4>'(0) = 4>'(L)
5. 4>(0) = O,4>'(L) - 4>(L) = 0
6. 4>'(0) - 4>(0) = O,4>'(L) = 0
7. Show that A = 0 is an eigenvalue of the Sturm-Liouville problem defined
by (1.6.1)-(1.6.3) if and only if the parameters a, (3 satisfy the relation
sin(a+,B)+cos a cos,B = 0, which can be written in the form tan a+tan,B =
-1 when a :F 1r /2, ,B :/= 1r /2.
8. Suppose the boundary conditions (1.6.2), (1.6.3) are written in the form
hl 4>(O) - 4>'(0) = 0, h24>(L) + 4>'(L) = O. Show that A = 0 is an eigenvalue
of the Sturm-Liouville problem if and only if the parameters hI, h2 satisfy
the equation of the two-sheeted hyperbola: hI + h2 + Lhl h2 = O.
9. On the basis of the results in this section, how many negative eigenvalues
exist for the Sturm-Liouville problem (1.6.1)-(1.6.3) in the following cases?
(a) a = 1r/4,,B = 1r/2
(b) a = 1r/4,,B = 31r/4
(c) a = 71r /8, {3 = 71r /8
10. Suppose a = 0 and 0 ~ 13 < 37f /4. Show directly that all eigenvalues of
the Sturm-Liouville eigenvalue problem (1.6.1)-(1.6.3) satisfy An > 0, n =
1,2, .... [Hint: If ljJ(x) = Asinh(JL(x - a)) is an eigenfunction satisfying
the boundary condition at x = a, find a transcendental equation for J.L and
show that it has no solution. Also check A = 0 separately.]
11. Suppose that /3 = 0 and 0 $ O! < 37r /4. Show directly that all eigenvalues of
the Sturm-Liouville eigenvalue problem (1.6.1)-(1.6.3) satisfy An > 0, n =
1,2, .... [Hint: Use instead cjJ(x) = A sinh(J.L(x-b)) to find the appropriate
transcendental equation.]
12. Show that the Sturm-Liouville eigenvalue problem (1.6.1)-(1.6.3) has a neg-
ative eigenvalue if and only if the the parameters a, /3 satisfy the inequality
sin(a + {3) + cos a cos {3 < O. [Hint: If cjJ(x) = Asinh(JLx) + Bcosh(J.Lx) is
an eigenfunction, show that J.L must be a solution of the transcendental
equation
t h( L) - -L sin(a + 13)
an JL - JL cos a cos {3 + (LJ.L)2 sin a sin {3
and that this equation will have a nonzero solution if and only if the slope
at J.L = 0 is larger than 1.]
13. With reference to the generalized Sturm-Liouville problem, let L be the
linear differential operator defined by L<p = (s<p')' - q<p. Prove the Lagrange
identity <P2 L<PI - <Pl L<P2 = (S(<P~<P2 - <Pl<P~)), where <pI, <P2 are twice-
differentiable functions.
14. Use the Lagrange identity to give an alternative proof of Theorem 1.8.
15. Show that if sex) ~ 0, q(x) ~ 0, then all eigenvalues of the generalized
Sturm-Liouville problem with the two-point boundary conditions <pea) = 0,
<p(b) = 0 satisfy An ~ O. [Hint: Apply the Lagrange identity with <P2 = 1.]
CHAPTER 2
BOUNDARY-VALUE PROBLEMS IN
RECTANGULAR COORDINATES
INTRODUCTION
In this chapter we will derive the general form of the heat equation and the
wave equation for the vibrating string. These PDEs will eventually be solved in
regions with rectangular, cylindrical, and spherical boundaries. In this chapter we
focus attention on the case of rectangular boundaries, where we can use the usual
cartesian coordinates (x, y, z), coupled with trigonometric Fourier series, which
were introduced in Chapter 1. Regions with cylindrical or spherical boundaries
will be treated in Chapter 3 and Chapter 4, respectively.
2.1. The Heat Equation

In this and the next two sections we will apply Fourier series to some typical prob-
lems of heat conduction. These are concerned with the flow of heat-specifically,
with representing changes in temperature as a function of space and time. We
denote by u(x, y, z; t) the temperature measured at the point (x, y, z) at the time
instant t. We suppose that u is a smooth function of (x, y, z; t) and will proceed
to determine a partial differential equation for u.
2.1.1. Fourier's law of heat conduction. We consider a solid material

that occupies a portion of three-dimensional space. A basic quantity of impor-
tance is the heat current density q(x; t). This vector quantity represents the rate
of heat flow at the point x = (x, y, z). If n is any unit vector, the scalar quantity
q . n is called the heat flux in the direction n. It measures the rate of heat flow
per unit time per unit area across a plane with normal vector n. Fourier's law
states that
q = -k gradu
where k is the thermal conductivity of the material. From calculus we know
that grad u points in the direction of the maximum increase of u. Since heat
is expected to flow from warmer to cooler regions, we insert the minus sign in
Fourier's law. Thus q points in the direction of maximum decrease of u and Iql
is the rate of heat flow in that direction.
99
100 2. BOUNDARY-VALUE PROBLEMS IN RECTANGULAR COORDINATES
2.1.2. Derivation of the heat equation. During a small time interval

(t, t + ~t) heat flows through the material and may also be generated by internal
sources, at a rate s(x, t). Therefore the amount of heat that enters any region R
of the material within the time interval (t, t + ~t) is, to first order in ~t, given
by
Q = (- liaR q - ndS + !fin SdV) Llt + OOLltl')

where n is the outward-pointing normal vector, oR denotes the boundary of R,
and the minus sign is in front of the surface integral because q. n dB is the density
of heat flowing out of the surface element dB per unit time.
On the other hand, this heat Q has the effect of raising the temperature by
the amount Ut ~t, to first order in ~t. Therefore we can write
Q= IIIn cpu,dV Llt + OOLltI2)
where c is the heat capacity per unit mass and p is the mass density of the
material. Equating these, dividing by ~t, and letting ~t -+ 0, we have the
continuity equation
This equation is valid for any region, no matter how large or small. In particular,
we take a small spherical region R about the point (x, y, z), divide by the volume,
and take the limit when the diameter of the sphere tends to zero. The surface
integral can be handled using the divergence theorem,
IL q-ndS= !fIn{diVq)dV
and we obtain the differential form of the continuity equation:
CPUt = div(k grad u) + s
This is the general form of the heat equation.
In most problems k is independent of X, and we can bring it outside and thus
obtain the heat equation in the form
(2.1.1) IUt = K div(grad u) + r = KV 2u + r I
where K = k/cp and r = s/cp are the renormalized conductivity and source
terms, respectively. K is called the thermal diffusivity of the material. The
Laplacian of a function u is defined by
V 2 u = div(grad u) = U:z::z: + u1l1l + Un
Remark. We can derive the heat equation without using the divergence theorem,
by the following direct argument. Let R be the rectangular box defined by the
2.1. THE HEAT EQUATION 101
We must show that
(X2 -
1
Xd(Y2 - Yl)(Z2 -Zt}
If. 8R
q ndS
tends to div q = (~ + q: + q;)(x{, Yb Zl) when X2 ~ Xb Y2 ~ Yb Z2 -+ Zl. To

do this, we consider each of the three integrals separately. For the first integral
we have to examine
1 1%21112
qX(X2' y, z) - qX(Xb y, z) dydz
(Y2 - Yl)(Z2 - Zl) %1 111 X2 - Xl
When X2 --+ XI, the integrand tends to q;(XI, y, z), a continuous function. When
Y2 q;
--+ Yl, Z2 --+ Zl, the resulting integral tends to (Xl, Yl, Zl). The same result is
obtained if we first let Y2 ~ Yl, Z2 -+ Zl. The second integral, where qX is replaced
by qll, tends to q:(xt, Yt, zt} when X2 -+ Xl, Y2 4 Yh Z2 ~ Zl in any order, and
similarly for the third integral. This proves that J JR q . n dS, divided by the
volume of the box R, tends to div q when the sides tend to zero, in any order.
Referring to the continuity equation and letting X2 -+ Xl, Y2 --+ Yl, Z2 --+ Zl, we
have proved that CptLt(Xl, Yt, zd = -div q(Xl' Yb zt} + S(XI' Yb Zl), which was to
be shown.
2.1.3. Boundary conditions. The heat equation describes the flow of heat
within the solid material. To completely determine the time evolution of temper-
ature, we must also consider boundary conditions of various forms. For example,
if the material is in contact with an ice-water bath, it is natural to suppose that
u = 32F on the boundary. Alternatively, we can imagine that the heat flux
across the boundary is given; therefore by Fourier's law the appropriate bound-
ary condition is of the type V'u n = a, a given function on the boundary. For
example, an insulated surface would necessitate V'u n = 0 on the boundary. A
third type of boundary condition results from Newton's law of cooling, written
in the form
qn = h(u-T)
The heat flux across the boundary is proportional to the difference between the
temperature u of the body and the temperature T of the surrounding medium.
2.1.4. Steady-state solutions in a slab. An important class of solutions

of the heat equation are the steady-state solutions. This means that au/at = 0 or
that u is a function of (x, y, z), independent oft. Thus we must have KV 2 u+r =
0, a form of Poisson's equation. If in addition there are no internal sources of
heat, then we have r = 0 and u satisfies Laplace's equation V 2 u = O. We restate
this as follows.
PROPOSITION 2.1.1. Steady-state solutions of the heat equation, with no in-
ternal heat sources, are solutions of Laplace's equation.
Thus, Laplace's equation is a special case of the heat equation.
In the next three sections we will make a detailed study of the heat equation
in a slab, defined by the inequalities 0 < z < L, -00 < x < 00, -00 < y < 00.
This mathematical model is appropriate for a wall of thickness L, where we ignore
the variations of temperature in the x, y directions. The boundary conditions at
the surfaces z = 0 and z = L reflect the thermal properties of the inside (resp.
outside) of the wall.
EXAMPLE 2.1.1. Find the steady-state solution of the heat equation Ut =
KV 2 u in the slab 0 < z < L satisfying the boundary conditions u(x, y, 0) = T 1 ,
(8u/8z + hu)(x, y, L) = 0, where Tl and h are positive constants.
Solution. Steady-state solutions of the heat equation are solutions of Laplace's
equation, U xx + u yy + U zz = O. Since the boundary conditions are independent
of (x, y), we look for the solution in the form u(x, y, z) = U(z), independent of
(x, y). Thus U must satisfy U"(z) = 0, whose general solution is U(z) = A + Bz.
The boundary condition at z = 0 requires Tl = A, while the boundary condition
at z = L requires B + h(A + BL) = O. Thus B(l + hL) = -hA = -hTr, and the
solution is U(z) = Tl - hTlz/(l + hL). .
In many problems it is important to compute the flux through the faces of the
slab. From our earlier discussion, the flux is given by -kVu nj here n = (0,0,1)
for the upper face and n = (0,0, -1) for the lower face. Thus in Example 2.1.1,
the flux from the upper face is -k8U /8z = khTt/(l + hL), while the flux from
the lower face is k8U /8z = -khTt/(1 + hL) .
We now consider an example with internal heat sources.
EXAMPLE 2.1.2. Find the steady-state solution of the heat equation Ut =

KV 2 u+r in the slab 0 < z < L satisfying the boundary conditions u(x, y, 0) = T J ,
(8u/8z + hu)(x, y, L) = 0, where r, K, h, and Tl are positive constants. Find
the flux through the upper and lower faces.
Solution. The boundary conditions arc independent of (x, y); hence we look
for the solution in the form u(x, y, z) = U(z), independent of (x, y). Thus U must
satisfy KU"(z) + r = 0, whose general solution is U(z) = -rz2 /2K + A + Bz.
The boundary condition at z = 0 requires Tl = A, while the boundary condition

at z = L requires -rL/ K + B + h( -rL2 /2K + A + BL) = O. Thus B(hL + 1) =
rL/K + hrL2/2K - hTl . The solution is U(z) = -rz2/2K + Tl + Bz, where
B(l + b) = (r L/ K)(l + ~b) - hTl and the Biot modulus b is defined as b = hL.
The flux through the upper face is -kU'(L) = krL/K - kB. The flux through
the lower face is kU'(O) = kB .
In some cases the steady-state solution is not uniquely determined by the
boundary conditions. For example, the heat equation Ut = KV 2 u with the
boundary conditions uz(x, y, 0) = 0, uz(x, y, L) = 0 has the solution U(z) = A
for any constant A. This phenomenon of nonuniqueness is equivalent to the
statement that .A = 0 is an eigenvalue of the Sturm-Liouville problem with the
associated homogeneous boundary conditions. Indeed, if we have two different
steady-state solutions U1(z), U2 (z) with the same nonhomogeneous boundary
conditions, then the difference U(z) = U1 (z) - U2 (z) is a nonzero solution of
the homogeneous equation U"(z) = 0, satisfying the homogeneous boundary
conditions. This is exactly the statement that .A = 0 is an eigenvalue of the
Sturm-Liouville problem with these homogeneous boundary conditions. We will
come back to this point in Sec. 2.3.
2.1.5. Time-periodic solutions. Another important class of solutions of

the heat equation are the periodic solutions. These correspond to a stationary
regime, where the solution exists for all time, -00 < t < 00. Typically the
solution is specified by a boundary condition of boundedness. We illustrate with
the following problem from geophysics.
The temperature at the surface of the earth is a given periodic function of
time, and we seek the temperature z units below the surface. We assume that
there are no internal heat sources and the thermal diffusivity is constant through-
out the earth.
To formulate this problem, we suppose that the earth is Bat and that the
surface is given by the equation z = O. (In Chapter 4 we show that the flat earth
is a valid approximation for shallow depths.) The temperature on the surface is
independent of location and depends only on time. Therefore we must solve the
problem
Ut = Ku zz z > 0, -00 < t < 00
u(O; t) = uo(t) -oo<t<oo
where uo(t) is periodic with period T. In addition we require that the temperature
be bounded,
lu(z; t)1 ~ M
since we do not expect that the temperature variations within the earth will
exceed the variations on the surface.
To solve this problem, we first look for complex separated solutions, of the
form
u(z; t) = Z(z)T(t)
Since the heat equation has real coefficients, the real and imaginary parts of a
complex-valued solution are again solutions. Thus we may allow Z(z), T(t) to
be complex-valued. Substituting into the heat equation, we have
KZ"(z) T'(t)
Z(z) = T(t)
Both sides must be a constant, which we call -"\. Thus we have the ordinary
differential equations
T'(t) + "\T(t) = 0
.,\
Z"(z) + K Z(z) = 0
The first equation has the solution T(t) = e-'\t. Since we require bounded solu-
tions for -00 < t < 00, .,\ must be pure imaginary, .,\ = i/3 with /3 real. To solve
the second equation, we try Z(z) = e'YZ. Thus we must have "(2e'Yz+("\1 K)e'Yz = 0,
yielding the quadratic equation
2 if3 0
"(+-=
K
In the case where /3 > 0, this has two solutions:
'Y = (-1+ i)V 2K

/3
Since we require bounded solutions for z > 0, we must take the solution with
Re"( < 0, that is, the plus sign. Therefore we have the complex separated solutions
e-i/Jte( -1+,)z-IP/2K
Taking the real and imaginary parts, we have the real solutions
e- cz cos({3t - cz), e- cz sin(/3t - cz), c= J /312K
(If /3 < 0, it can be shown that no new solutions are obtained.) We refer to these
as the quasi-separated solutions.
To solve the original problem, we suppose that the boundary temperature has
been expanded as a Fourier series.
uo(t)=Ao+~
~ ( Ancos-r-+Bnsm-
2n1rt . 2n7rt)
-
r
We take (3n = 2n7r Ir, en = Jn1r IK r in the quasi-separated solutions just devel-
oped to obtain the solution in the form
00
u(z; t) = Ao + 2: e-CnZ[An cos(/3nt - Cnz) + Bn sin(/3nt - Cnz)]

n=l
To verify that this is indeed a rigorous solution to the original problem, we may
suppose that An, Bn are bounded by some constant. Then it may be shown that
the formal series for U Z , U zz , Ut converge uniformly, and hence u indeed satisfies
the heat equation.
EXAMPLE 2.1.3. Solve the heat equation Ut = K U zz for z > 0, -00 <t< 00,
with the boundary condition
27rt
u(O; t) = Ao + A 1 COS -
T
where Ao, AI, and T are positive constants. Graph the solution as a function of
t for zV7r/KT = 0, 7r/2, 7r, 37r/2, 27r and 0 ~ t ~ T.
Solution. Referring to the general solution just obtained, we let Bn = 0 for

n ~1 and An = 0 for n ~ 2. The solution is
u{z; t) = Ao + A,e-e" cos C;t -ZV;T)

In Fig. 2.1.1 we plot the temperature as a function of time for the depths indi-
cated.
2.1.6. Applications to geophysics. This theory can be used to study the

seasonal variations of temperature within the earth. For z = 0, the maximum
ofu(z;t) is attained at t = O,r,2r,.... For z = V7rKT, u(z;t) attains its
minimum value for the same times, t = 0, T, 2T, . . .. Stated differently, when
it is summer on the earth's surface, it is winter at a depth of z = V7r K r.
EXAMPLE 2.1.4. Suppose that K = 2 x 10-3 cm2 /s, T = 3.15 X 107s. Find the
depth necessary for a change from summer to winter.
Solution. We have V7rKr = 4.45 x 102 cm. Therefore when it is summer on
the earth's surface, it is winter at a depth of 4.4 meters. -
This theory can also be used to estimate the thermal diffusivity of the earth.
To do this, we define the amplitude variation of the solution u(z; t) as
A(z) = -oo<t<oo
max u(z; t) - min
-oo<t<oo
u(z; t)
By measuring A(z) at different depths, we may determine the diffusivity K.

Indeed, using the solution obtained in Example 2.1.3, we have max u(z; t) =
Ao+Ate-ClZ, min u(z; t) = Ao-Ate-CIZ, and thus A(z) = 2A 1e- C1 \ A(z)/A(O) =
e- C1Z . Let Zl be the depth for which e- C1Z = ~. Since Ct = V7r / K T, we have
V7r/KTZl = In2, K = 7rz~/T(ln2)2.
EXAMPLE 2.1.5. Estimate the thermal diffusivity of the earth if the summer-
winter amplitude variation decreases by a factor of 2 at a depth of 1.3 meters.
l=2..J~
FIGURE 2.1.1 Temperature as a function of time at different depths.
Solution. We take T = (365)(24)(3600) = 3.15 x 107 S, Zl = 1.3 m. Thus

7r(1.3)2 -7 2
K = (3.15 X 107)(0.69)2 = 3.5 x 10 m /s
2.1. 7. Implementation with Mathematica. We can use Mathematica to

do a three-dimensional plot of the bounded function u(z; t) that satisfies the heat
equat ion
Ut = J( U ZZl z > 0, -00 < t < 00
wit h the boundary condition
27it
u(O; t) = cos T
From Example 2.1.3, t he solution is
u(z t) =
l
e - c l~ cos ( -21ft
T - c 1-"
)
l
This function ca n be defined in Mathemati ca us ing the command
rn the follow ing g raph we have chosen th e parameter values T = ] ( = 2; the

independent variables range over the in ter vals 0 :'0 z :'0 2, 0 :'0 t :'0 5. T he plot is
realized by typing
Plot3D[u[z,t,2,2] ,{t , O,5}, {z, O,2},PlotPoints- >40,PlotRange->{-1,1}]
to yield
At the front of this graph, moving from left to right, we see the change of
seasons at the surface of the earth, while at the back of the graph, moving from
left to right, we see the change of seasons at a depth of 2 feet.
EXERCISES 2.1
1. Find the steady-state solution of the heat equation Ut = KV 2 U in the slab

0< z < L, satisfying the boundary conditions u(x,y,O) = T 1 , u(x,y,L) =
T2, where TI and T2 are positive constants.
2. For the solution found in Exercise 1, find the flux through the upper face
z=L.
3. Find the steady-state solution of the heat equation Ut = KV 2u in the
slab 0 < z < L, satisfying the boundary conditions (8u/8z)(x, y, 0) = <P,
u(x, y, L) = To, where <P and To are positive constants.
4. Find the steady-state solution of the heat equation Ut = KV 2 u in the slab
o < z < L, satisfying the following boundary conditions: [k(8u/8z) -h(u-
To)](x, y, 0) = 0, [k(8u/8z) + h(u - T1)](x, y, L) = O.
5. Find the steady-state solution of the heat equation Ut = KV 2u - f3( u - T3 )
in the slab 0 < z < L, satisfying the boundary conditions u(x, y, 0) = T.,
u(x, y, L) = T2 where T., T2 , T3 , and f3 are positive constants.
6. Find the steady-state solution of the heat equation Ut = KV 2 u + T in the
slab 0 < z < L, satisfying the boundary conditions (8u/8z) (x, y, 0) = 0,
u(x, y, L) = Tl where K, T, and T1 are positive constants. Find the flux
through the face z = L.
7. Find the steady-state solution of the heat equation Ut = KV 2 u + T in
the slab 0 < z < L, satisfying the boundary conditions u(x, y, 0) = Tll
u(x, y, L) = T 2 , where K, T, TI, and T2 are positive constants. If Tl = T 2 ,
show that the flux across the plane z = ~L is zero.
8. Find the steady-state solution of the heat equation Ut = KV 2u + T(Z)
in the slab 0 < z < L, satisfying the boundary condition u(x, y, 0) = 0,
u(x, y, L) = 0, where T(Z) = TO for L/3 < z < 2L/3, T(Z) = 0 for 0 <
Z < L/3 and 2L/3 < Z < L, and TO and K are positive constants. (Hint:
Although U is not smooth, it may be supposed that u and U z are both
continuous. )
9. A wall of thickness 25 cm has outside temperature -10C and inside tem-
perature 18C. The conductivity is k = 0.0016 cal/s-cm-oC and there are
no internal heat sources. Find the steady-state heat flux through the outer
wall, per unit area.
10. Find the solution of the heat equation Ut = KV 2 u in the half-space z > 0
for -00 < t < 00 satisfying the conditions lu(z; t)1 ~ M, u(O; t) = Ao +
Al cos 21rt/Tl + A2 cos 21rt/T2, where Ao, AI, A2, T1, and T2 are positive
constants.
CZ
11. Let u(z; t) = e- cos({jt - cz), where (j and c are constants. Show that u
satisfies the heat equation Ut = Ku zz if and only if c2 = /3/2K.
Exercises 12 to 14 require the solution of the heat equation in the slab 0 < z < L,
where one face is maintained at temperature zero. Thus we have the boundary-
value problem
Ut = Ku zz o < z < L, -00 < t < 00
u(O; t) = Ao + Al coS(27rt/7) -00 < t < 00
u(L;t) = 0 -00 < t < 00
12. Find all complex separated solutions satisfying the heat equation that are
of the form u(z; t) = e1z e,{3t, where /3 is positive.
13. By taking the real and imaginary parts of the complex-valued solutions
found in Exercise 12, show that we have the quasi-separated solutions
u(z; t) = eCz cos(3t + cz) u(z; t) = e- cz cos(/3t - cz)
u(Zj t) = eez sin(3t + cz) u(Zj t) = e- cz sin(3t - cz)
where c = V/3/2K.
14. By taking suitable linear combinations of the quasi-separated solutions
found in Exercise 12 and steady-state solutions, solve the boundary-
value problem in the slab 0 < z < L.
15. Suppose that the daily temperature variation at the earth's surface is a
periodic function cp(t) = Ao + Al coS{27rt/7). Find the depth necessary
for a change from maximum to minimum daily temperature if K = 2 X
10-3 cm2 /s and 1" = 24 x 3600 s.
16. Find the bounded solution of the heat equation Ut = K U zz for z > 0,
-00 < t < 00, satisfying the boundary conditions u(O; t) = 1 for 0 < t <
47, u(O; t) = -1 for 47 < t < 7, where u(O; t) is periodic with period 7.
17. Find the bounded solution of the heat equation Ut = Ku zz for z > 0,
-00 < t < 00, satisfying the boundary condition uz(O; t) = Al cos {jt,
where (3 and Al are positive constants.
18. Find the bounded solution of the heat equation Ut = K Uzz for z > 0, -00 <
t < 00, satisfying the boundary condition uz(Oj t) - hu(O; t) = Al cos {jt,
where h, (j, and Al are positive constants.
19. For the solution found in Exercise 14, find the limit of u(z; t) when L ~ 00
and compare it with the solution for Example 2.1.3.
20. Find the steady-state solution of the heat equation Ut = KV 2u + r in the
slab 0 < z < L satisfying the boundary conditions uz(O; t) = hfu(O; t) - TIl,
uz(Lj t) = -h[u(L; t) - T2 ], where r, h, T I , and T2 are positive constants.
21. For which values of the constants K, r, <Ph and <P2 does there exist a steady-
state solution of the equation Ut = KV 2u + r satisfying the boundary
conditions uz(x,y,O;t) = <PI, uz(x,y,L;t) = <P2?
2.2. Homogeneous Boundary Conditions on a Slab

Many problems in mathematical physics and engineering involve a partial differ-
ential equation with initial conditions and boundary conditions. In this section
we consider the case of homogeneous boundary conditions for the heat equation
in the slab 0 < z < L. In Sec. 2.3 we will consider the general nonhomogeneous
boundary condition.
A homogeneous boundary condition at z = 0 has one of the following forms:
u(O; t) =0 or uz(O; t) =0 or uz(O; t) = hu(O; t)
where h is a nonzero constant that has the dimension of length-to All three of
these may be included in the following succinct form:
(2.2.1) cos a u(O; t) - L sin Q uz(O; t) =0
where the dimensionless parameter Q satisfies 0 ::; Q < 7r. When a = 0 we have
the first boundary condition, u(O; t) = 0; when a = 7r /2 we have the second
boundary condition, uz(O; t) = 0; and when cot a = hL we have the third bound-
ary condition, uz(O; t) = hu(O; t). Similarly, the general homogeneous boundary
condition at z = L is written in the form
(2.2.2) cos/3u(L; t) + L sin/3uz (L; t) =0
where 0 :::; /3 < 7r. The constant /3 is not related to a, in general.
2.2.1. Separated solutions with boundary conditions. We now discuss
separated solutions of the heat equation Ut = K U zz with the homogeneous bound-
ary conditions (2.2.1) and (2.2.2). A separated solution of the heat equation is
written
u(z; t) = t/>(z)T(t)
Substituting in the heat equation Ut = Ku zz , we obtain
t/>(z)T'(t) = K4>"(Z)T(t)
Dividing by K 4>(z)T(t), we obtain T'(t)/ KT(t) = t/>"(Z)/4>(z). The left side
depends on t alone, and the right side depends on z alone; therefore each is a
constant, which we call -A. Thus we have the ordinary differential equations
(2.2.3) T'(t) + AKT(t) = 0
(2.2.4) 4>"(z) + At/>(Z) = 0
Equation (2.2.3) has the solution T(t) = e-)"Kt, which is never zero. To the
second equation, (2.2.4), we must add the boundary conditions (2.2.1) and (2.2.2).
The product u(z; t) = 4>(z)T(t) satisfies (2.2.1) if and only if 4>(z) satisfies the
boundary condition cos a4>(O) - L sin 0.4>'(0) = O. Similarly, u(z; t) satisfies (2.2.2)
if and only if t/>(z) satisfies the boundary condition cos Pt/>(L) + L sin P4>'(L) = O.
This leads us to the following proposition.
2.2. HOMOGENEOUS BOUNDARY CONDITIONS ON A SLAB 111
PROPOSITION 2.2.1. The separated solutions of the heat equation Ut = Ku zz

with the boundary conditions (2.2.1) and (2.2.2) are of the form un(z; t) =
e-AnKtn(z) where An is an eigenvalue and n(z) is an eigenfunction of the
Sturm-Liouville eigenvalue problem " (z) + A( z) = 0 with the boundary con-
ditions cosa(O) - L sin a '(O) = 0, cos{3(L) + L sin {3'(L) = O. These
eigenfunctions satisfy the orthogonality relation JoL <Pn (z)<Pm (z)dz = 0 for m =I n.
Our first example corresponds to a slab with both faces maintained at tem-
perature zero.
EXAMPLE 2.2.1. Find all the separated solutions of the heat equation Ut =
Ku zz for 0 < Z< L satisfying the boundary conditions u(O; t) = 0, u(L; t) = O.
Solution. The associated Sturm-Liouville problem is "(Z) + A(Z) = 0 with
the boundary conditions (O) = 0, 4>(L) = O. In Sec. 1.6, we found that the
solutions are n(z) = sin (n7rz/ L), An = (n7r / L)2. Thus we have the separated
solutions
n = 1,2,...
The next example corresponds to a slab with one face insulated and the other
face maintained at temperature zero.
EXAMPLE 2.2.2. Find all the separated solutions of the heat equation Ut =
Ku zz for 0 < Z < L satisfying the boundary conditions u(O; t) = 0, uz(L; t) = O.
Solution. The associated Sturm-Liouville problem is "(Z) + A(Z) = 0 with

the boundary conditions (O) = 0, 4>'(L) = O. For A = 0 the general solution of
the differential equation is (z) = Az + B. The first boundary condition requires
B = 0, while the second boundary condition requires A = O. Hence A = 0 is not
an eigenvalue. For A = _J-L2 < 0 the general solution satisfying the first boundary
condition is ( z) = A sinh (J-Lz), but this satisfies the second boundary condition if
and only if A = 0; hence A < 0 is not a possible eigenvalue. For A > 0 the general
solution of the differential equation is (z) = A sin zv'X + B cos zv'X. The first
boundary condition requires that B = 0, while the second boundary condition
requires that A cos Lv'X = O. For a nonzero solution we must take Lv'X =
(n - ~)7r, n = 1,2,.... Therefore the solutions are 4>n(z) = sin(n - ~)7rz/ L,
An = (n - 4)27r 2/ L2. The separated solutions of the heat equation are
2.2.2. Solution of the initial-value problem in a slab. Having obtained

the separated solutions of the heat equation with homogeneous boundary condi-
tions, we can solve the following initial-value problem:
Ut = Ku zz t > 0,0 < z < L
cosau(O;t)-Lsinauz(O;t) = 0 t>O
cosfju(Ljt)+Lsinfjuz(Ljt) = 0 t>O
u(z; 0) = J(z) O<z<L
where f(z), 0 < z < L, is a piecewise smooth function.
To solve this initial-value problem, we first expand J(z) in a series of eigen-
functions of the Sturm-Liouville problem, in the form
00
J(z) =L A n4>n(Z) O<z<L

n=l
[If J is discontinuous at z, the series converges to ~f(z + 0) + ~J(z - 0).] The

formal solution of the initial-value problem is given by the series
00
(2.2.5) u(z; t) = L An4>n(z)e- AnKt
n=l
The solution has been written as a superposition of separated solutions of the heat
equation satisfying the indicated homogeneous boundary conditions. The Fourier
coefficients An are obtained from the orthogonality relations by the formulas
lL f(z)<Pn(z)dz = An lL <Pn(z)2dz n = 1,2, ...
To prove that the formal solution (2.2.5) is a rigorous solution of the heat equa-
tion, we must check that, for each t > 0, the series for u, u z , U zz , and Ut are
uniformly convergent for 0 ::; z ::; L. This can be shown for each type of bound-
ary condition we consider.
EXAMPLE 2.2.3. Solve the initial-value problem Ut = K U zz for t > 0, 0 < z <
L, with the boundary conditions u(O; t) = 0, u(L; t) = 0 and the initial condition
u(z; 0) = 1.
Solution. The separated solutions of the heat equation satisfying the bound-
ary conditions are sin(n7rz/L)e-(n1r/L)2 Kt , n = 1,2, .... To satisfy the initial
condition, we must expand the function J(z) = 1 in a Fourier sine series. The
Fourier coefficients are given by
An
i
0
L
sin
2 n7rZ
L dz=
iL
0
n7rZ L
sinydz= n7r[l-(-l)n]
Thus An = (2/n7r)[1 - (-l)nJ and the solution is

~ 1-
U (Zj t) = -2 L-, (-l)n . n7rZ -(mr/L)2Kt
sm - e
1f 1 n L
For t > 0 and 0 ~ z ~ L, this series converges uniformly, owing to the exponential
factor. Likewise, the series for u z , u zz , and Ut converge uniformly for 0 ~ z ::5 L
and each t > O. Thus u is a rigorous solution of the heat equation .
2.2.3. Asymptotic behavior and relaxation time. In Example 2.2.3 we

obtained a transient solution of the heat equation, meaning that u(z; t) tends to
zero when t tends to infinity. To analyze this more generally, we assume that
the boundary conditions are u(Oj t) = 0, u{Lj t) = 0 and the initial condition is
u(z; 0) = f(z), a piecewise smooth function. The solution is
00
u(z; t) = L An sin n~z e-(n1r/L)2Kt

n=l
where An are the Fourier sine coefficients of the piecewise smooth function f(z),
0< z < L. Thus
An = ~ LL fez) sin(mrz/L) dz and IAnl::; 2M

where M is the maximum of If(z)l, 0 < z < L. Writing a = 1f2K/L2 and noting
that 1 sin n7rz/LI ~ 1, we have
00
lu(z; t) 1 ~ 2M L e- n2at
n=l
00
IU(Zj t)1 ~ 2M L(e-att

n=l
-at
= 2M_e__at
1 - e-
where we have used the formula for the sum of a geometric series E:=l "Yn =
"Y/(1 - 1'), 0 ~ "Y < 1. When t --7 00, e- at --70, and we have shown that
u(z; t) = O(e- at ) t --7 00
In particular u(z; t) --7 0 when t --7 00, which means that u(z; t) is a transient
solution.
We define the relaxation time T by the formula
1 . 1
- = - hm - In /u(z; t)1
T t--.oo t
provided that the limit exists and is independent of z, 0 < z < L. For transient
solutions of the heat equation, the relaxation time can be computed explicitly
from the first nonzero term of the series solution. The following theorem extends
the previous example to the general set of homogeneous boundary conditions.
THEOREM 2.1. For the heat equation Ut = K U zz with the boundary condi-
tions (2.2.1) and (2.2.2), suppose that all eigenvalues An are positive. Then
u(z; t) = E~=l Ann{z)e- AnKt is a transient solution of the heat equation, and
the relaxation time is given by T = 1/ AIK iJ Al =f. O.
EXAMPLE 2.2.4. Compute the relaxation time Jor the solution

00
u(z; t) = LAn sin (n7rz/ L) e-(n1r/L)2Kt

n=1
Solution. We write
00
u(z, t) = A sin 7rZ e-(7r/L)2Kt + ~ A sin n7rZ e-(n7r/L)2Kt

, I L L..Jn L
n=2
2
From the preceding analysis the last series is O(e-(47r Kt/L2 when t -+ 00. If
Al '# 0, we may write
u(z; t) = Al sin 7rZ e-(7r/L)2 Kt [1 + O(e-(37r2Kt/L 2}
L
Inlu{z;t)1 = In/All + In sin '7 - (7r/L)2Kt+O(e-(37r Kt/L2)
2
Thus limt-.oot-IJnlu{z;t)1 = -1C 2 K/L2. We have proved that T = L2/1C 2 K

provided that Al #- O.
This analysis of relaxation time shows that, for large t, the solution u{z; t) is
well approximated by the first term of the series. This can also be seen graphically,
by plotting the function z -+ u{z; t) for various values of t. When t is small, the
solution is close to the initial function J{z). As t increases, the solution tends
to zero and assumes the shape of a sine curve, corresponding to the first term of
the series solution. The graphs in Fig. 2.2.1 plot the solution of the initial-value
problem Ut = 2u zz for 0 < z < 1C, with the boundary conditions u{z; 0) = 0,
U(1C; 0) = 0 and the initial conditions u(z; 0) = 2z for the times t = 0, 0.005, 0.01,
0.05, 0.1, 0.2, 0.3, 0.5, 0.7, and O.B.
2.2.4. Uniqueness of solutions. We now discuss the uniqueness of the
solution of the initial-value problem. We have found a solution as a series of
separated solutions, but it is conceivable that by another method we might pro-
duce a distinct solution of the heat equation with the same initial conditions and
boundary conditions. We shall prove that this is impossible. To be specific, we
take the boundary conditions u(O; t) = 0, u(L; t) = O.
~~
u(z;t)
t=O
l
1 2 3 1 2 3
~~ 1 2 3 2 3
z
~ ~ 2 3 2 3
z
~b 2 3 2
~
3
z
t=0.~7
I.....-:=:::t:::,........ t =0.8
=&z z
1 2 3 1 2 3
FIGURE 2.2.1 Solution of the heat equation at 10 different times.
For this purpose, suppose that Ul and U2 are two solutions with the same
initial and boundary conditions, and set U = Ul - U2. Then U satisfies the heat
equation with zero boundary conditions and zero initial conditions. Let
w(t) = 21 J.L
0 u(z; t)2dz
Then
(2.2.6) w'{t) = lL U{Z; t)u,{z; t)dz
(2.2.7) = K lL U{Z; t)u,,{z; t)dz
(2.2.8) = Ku{z; t)u.{z;t)l~ - K lL U.{z;t)2dz

where we have used the heat equation to obtain (2.2.7) and integration by parts
to obtain (2.2.8). Using the boundary conditions, we see that the first term in
(2.2.8) is zero. Therefore we must have
w'{t) = -K lL u.{z; t)2dz
But K is a positive constant and uz(z; t)2 ~ 0, since squares of real numbers are
greater than or equal to zero. Thus we have both
w'(t) ~ 0 and w(t) ~ 0
But u(z; 0) = 0, which means that w(O) = O. To complete the proof, we use the
fundamental theorem of calculus:
w{t) = w(O) + l' w'(s)ds :5 0

Since w(t) ~ 0, we are forced to conclude that w(t) = 0, which means that
u(z; t) = 0 for each t, that is, UI (z; t) = U2(Z; t). Hence we have proved uniqueness
of the solution.
The careful reader will notice that we have used the boundary conditions
only to show that uUz It = O. Hence our proof applies also to other boundary
conditions, for example, uz(O) = 0, uz(L) = O.
2.2.5. Examples of transcendental eigenvalues. In certain cases we must
solve the heat equation with the homogeneous boundary conditions
(2.2.9) u(O; t) = 0, uz{L, t) + hu(L; t) = 0
where h is a positive constant. We will see that the eigenvalues are obtained by
solving a transcendental equation. The separated solutions of the problem are
of the form u(z; t) = </>(z)T(t), where T(t) = e->'Kt, A is an eigenvalue, and </>(z)
is an eigenfunction of the Sturm-Liouville problem </>"(z) + A</>(Z) = 0 with the
boundary conditions </>(0) = 0, </>'(L) + h </>(L) = O. This was solved as Example
1.6.3 in Sec. 1.6, where we found the solutions </>(z) = B sin(zVA), where A is
determined as a solution of the transcendental equation
(2.2.10) Y'A cos(LY'A) + h sin(Lv'X) = 0
Although (2.2.10) cannot be solved in closed form explicitly, a graphical solution

can be determined by plotting the cotangent function against the reciprocal func-
tion. Indeed, we must have sin(LVA) =F 0 for any solution of (2.2.10) [otherwise
cos(LVA) = 1, which does not satisfy (2.2.10)]. Hence (2.2.10) can be written
in the form
h hL
(2.2.11) cot(LVA) = - - = - -
VA LVA
From Fig. 2.2.2 it is clear that the smallest eigenvalue, AI, satisfies 7r /2 <
L..j):; < 7r and that the higher eigenvalues satisfy (n - ~)7r < L~ < n7r, with
L~ ~ (n - ~)7r when n ~ 00. The discussion is complete.
It is interesting to examine the heat equation with the boundary conditions
u(O; t) = 0, uz(L; t) - hu(L; t) = 0
where h > O. Although this does not correspond to a physically realistic boundary
condition, the mathematical analysis reveals some new features. Following the
previous discussion, we look for separated solutions in the form
u(z; t) = (z)T(t)
Substituting in the heat equation, we obtain the ordinary differential equations
T'(t) + AKT(t) =0
"(z) + "\(z) =0
y
(0,0) t----~-------+----..L..-----
FIGURE 2.2.2 Graphical solution of the transcendental equation

cot(LVX) = -h/VX.
with the boundary conditions

</>(0) = 0, </>'(L) = h</>(L)
The general solution satisfying the first boundary condition is of the form
Bsinhz~ A < 0
</>( z) = Bz ,\ = 0
{
B sin zV). ,\ > 0
For the second boundary condition we consider three cases:
Case 1: A < 0, BHcoshLH = hB sinh L H
Case 2: A=O, B=hBL
Case 9: A > 0, B../X cos L../X = hB sin L~
In each case we desire a nontrivial solution; hence B =1= O. Dividing by B, we can
rewrite these three equations.
Case 1: A < 0, tanhLH = LH/Lh
Case 2: A = 0, Lh = 1
Case 3: ,\ > 0, tan L../X = L../X/ Lh.
For A < 0, we examine the graph of y = tanh x (Fig. 2.2.3). If Lh ~ 1, we see
from the graph that the line y = x / Lh does not intersect the curve y = tanh x
for x > 0; hence there are no solutions for A < 0, Lh :::; 1. If Lh > 1, the line
y = x / Lh intersects the curve y = tanh x in exactly one place x > 0; hence there
is one solution A < 0 if Lh > l.
For ,\ = 0, we have a solution if and only if Lh = l.
For ,\ > 0, we examine the graph of y = tan x, shown in Fig. 2.2.4. From
the graph we see that the line y = x/ Lh intersects the curve y = tan x infinitely
many times. If Lh < 1, the first such intersection occurs for 0 < LV). < 1r /2;
otherwise the first intersection occurs for 1r < L../X < 31r /2.
Summarizing, we have the following:
y= U, ,Lh>l
---.~-- Y = tanh x
(0,0) x=L~
tanh L..;x = ..;x/h.
y
y
x=L..fi:'
FIG URE 2.2.4 Graphical solution of the transcendental equation

tan LvIA = vIAl h.
Lh < 1: All separated solutions are of the form

uz{z; t) = Bn sin zAe->'n Kt n= 1,2, ...
(n - ~)27r2
r;: = ~
(n - 1)21r2
L2 < An < L2 tanL VAn h
Lh = 1: There is one separated solution of the form
All other separated solutions are of the form

un(z; t) = Bn sin zAe->.nKt n=2,3, ...
{n - 1)27r 2 {n - ~)21r2
L2 < An < L2 tan LA = ~
h
Lh > 1: There is one separated solution of the form
~ V-AI
Al < 0, tanhLV-Al = -h-
All other separated solutions are of the form

un(z;t) = BnsinzAe-AnKt n=2,3, ...
(n - 1)27r2 (n - ~)27r2 I\A
L2 < An < L2 ' h
tanLYA n =
Therefore we have found all the separated solutions of the heat equation with
the boundary conditions (2.2.9). We emphasize that the eigenvalues An must
be determined graphically or by a numerical method. There is no elementary
formula for the solution of the transcendental equation tan L~ = ";>:;/h.
EXERCISES 2.2
1. Solve the initial-value problem Ut = K U zz for t > 0, 0 < z < L, with
the boundary conditions u(O; t) = 0, u(L; t) = 0 and the initial condition
u(z; 0) = z, 0 < z < L.
2. Solve the initial-value problem Ut = K Uzz for t > 0, 0 < z < L, with
the boundary conditions u(O; t) = 0, u(L; t) = 0 and the initial conditions
u(ZjO) = T for 0 < Z < ~L, u(z;O) = 0 for ~L < Z < L, where T is a
positive constant.
3. Solve the initial-value problem Ut = K U zz for t > 0, 0 < Z < L, with
the boundary conditions u(O; t) = 0, uz(L; t) = 0 and initial condition
u(Zj 0) = 3 sin 7rz/2L + 5 sin 37rz/2L.
4. Find all of the separated solutions of the heat equation Ut = K Uzz satisfying
the boundary conditions uz(O; t) = 0, uz(L; t) = O.
5. Solve the initial-value problem Ut = K U zz for t > 0, 0 < z < L, with the
boundary conditions uz(O; t) = 0, uz(L; t) = 0 and the initial condition
u(Zj 0) = z, 0 < Z < L.
6. Solve the initial-value problem Ut = K Uzz for t > 0, 0 < Z < L, with the
boundary conditions uz(Oj t) = 0, uALj t) = 0 and the initial condition
=
u(ZjO) 3+4cos1fz/L+7cos37rz/L, 0 < Z < L.
7. Consider the heat equation
Ut = K Uzz t > 0,0 < Z < L

u(O; t) =0 uz(Lj t) = -hu(L, t)
where h > O. Show that all separated solutions are of the form
un(z; t) = Bn sin zAe- AnKt
where An > 0 are the solutions of
tanLVA = - -
-IX
h
2.3. NONHOMOGENEOUS BOUNDARY CONDITIONS 121
8. By direct computation, show that
f.L sinzAsinzAdz = 0 n#m

where {An} are the solutions obtained in Exercise 7.
9. Solve the initial-value problem Ut = K U zz for t > 0, 0 < z < L, with
the boundary conditions u(O; t) = 0, uz(L; t) = -hu(L; t) and the initial
condition u(z; 0) = 1, where h is a positive constant.
10. Find all of the separated solutions of the heat equation Ut = K U zz satisfying
the boundary conditions uz(O; t) = hu(O; t), uz(Lj t) + hu(Lj t) = 0, where
h is a positive constant.
11. Solve the heat equation Ut = K U zz for t > 0, 0 < z < L, with the
boundary conditions uz(O; t) = hu(Oj t), uz(L; t) + hu(L; t) = 0 and the
initial condition u(Zj 0) = 1, where h is a positive constant.
12. Find the relaxation time for the solution found in Exercise 1.
15. Find the relaxation time for the solution found in Exercise 9. (It may be
expressed in terms of the solution of a certain transcendental equation.)
16. In Exercise 2, suppose that K = 0.15 cm2 /s, L = 40 em, T = 100C.
Compute the relaxation time and u(20; t) for t = 0.1, 1.0, 10.0, 100 minutes.
17. In Exercise 3, suppose that K = 0.15 cm 2/s, L = 40 em, T = 100C.
Compute the relaxation time and u(20; t) for t = 0.1, 1.0 10.0, 100 minutes.
Exercises 18 to 20 treat heat flow in a circular ring of circumference L.
18. Find all of the separated solutions of the heat equation Ut = K U zz satisfying
the periodic boundary conditions u(O; t) = u(Lj t), uz(Oj t) = uz(Lj t).
19. Solve the heat equation Ut = K U zz with the periodic boundary conditions
u(Oj t) = u(Lj t), uz(O; t) = uz(L; t) and the initial conditions u(z; 0) = 100
if 0 < Z < !L and u(z; 0) = 0 if ~L < z < L.
20. For the solution of Exercise 19, find the relaxation time. Compare your
result with the relaxation time for heat flow in a slab of width L, with zero
boundary conditions, found in Exercise 13.
21. Extend the uniqueness proof in this section to the heat equation with
boundary conditions uz(O; t) = 0, uz(L; t) = O.
22. Extend the uniqueness proof in this section to the heat equation with the
boundaryconditionsuz(O,t)-hI u(O;t) = 0, u z(L;t)+h 2 u(L;t) = 0, where
hI and h2 are positive constants.
2.3. Nonhomogeneous Boundary Conditions

In this section we give the complete treatment of initial-value problems for the
heat equation in the slab 0 < z < L, with general boundary conditions. Our
analysis is based on a five-stage method, which will also apply to initial-value
problems for the heat equation in other coordinate systems, studied in Chapters
3 and 4.
2.3.1. Statement of problem. An initial-value problem for the heat equa-

tion in the slab 0 < z < L is the following set of four conditions:
(2.3.1) Ut = Ku zz +r
(2.3.2) cos a u(O; t) - L sin a uz(O; t) = Tl
(2.3.3) cos f3u(L; t) + L sin f3 uz(L; t) = T2
(2.3.4) u(z; 0) = J(z)
where J(z),O < z < L, is a piecewise smooth function and a, (j, r, Tb T2 , and
K are constants. We seek the solution u(z; t) for all t > 0, 0 < z < L.
The heat equation (2.3.1) is nonhomogeneous, owing to the source term r.
The boundary conditions (2.3.2) and (2.3.3) are nonhomogeneous, owing to the
constants Tl and T2
2.3.2. Five-stage method of solution. Stage 1: Steady-state solution. We

first ignore the initial conditions and look for a function U(z) that satisfies the
heat equation (2.3.1) and the boundary conditions (2.3.2) and (2.3.3). Thus we
must have KU"(z)+r = 0, whose general solution is U(z) = -rz2 /2K +A+Bz.
The boundary conditions determine the constants A and B, as we have shown
by examples in Sec. 2.1, except in the case where ..\ = 0 is an eigenvalue of
the associated homogeneous boundary conditions. In this case we take the most
general steady-state solution; the ambiguity will be resolved in stage 3.
Stage 2: Transformation of the problem. Having obtained the steady-state
solution, we use the subtraction principle to transform the problem to a heat
equation with no internal sources and homogeneous boundary conditions. To do
this, we define a new unknown function,
V(Zj t) = u(z; t) - U(z)
We have Vt(z; t) = Ut(z; t), vz(z; t) = u,z{z; t) - U'(z), vzz(z; t) = uzz(z; t) - U"(z).
Thus Vt - Kv zz = Ut - K[u zz - U"(z)] = Ku zz + r - Ku zz - r = O. Likewise, v
satisfies the boundary conditions (2.3.2) and (2.3.3) with Tl = 0, T2 = O. Thus
we have
(2.3.5) Vt = Kv zz
(2.3.6) cos a v(O; t) - L sin a vz(O; t) = 0
(2.3.7) cosf3v(L; t) + L sin {3 vz(L; t) = 0
(2.3.8) v(z; 0) = J(z) - U(z)
Thus v(z; t) satisfies a homogeneous equation with homogeneous boundary con-
ditions and a new initial condition. This type of problem was treated in Sec. 2.2.
Stage 3: Separation oj variables. To determine the new unknown function

v(z; t), we use a superposition of separated solutions of the heat equation with
homogeneous boundary conditions (2.3.6) and (2.3.7).
00
v(z; t) = L An<pn(z)e- AnKt
n=l
The coefficients An are determined by expanding the initial condition J(z) -U(z)
in a series of eigenfunctions L~=l An<Pn(z). Equivalently, they may be computed
from the integrals
f.L [/(z) - U(z)Jt/>n(z)dz = An f.L t/>n(z)2dz n = 1,2, ...

The formal solution of the initial-value problem is
00
(2.3.9) u(z; t) = U(z) + L An<Pn(z)e- AnKt
n=l
If A = 0 is an eigenvalue of the Sturm-Liouville problem for <p"(z) + A<p(z) = 0

with the associated homogeneous boundary conditions, the steady-state solution
U(z) is determined uniquely by requiring that U(z) - v(z) be orthogonal to the
eigenfunction <PI (z), for which Al = O. We take Al = 0 in this case.
Stage 4: Verification oj the solution. At this point it is appropriate to verify
that the formal solution (2.3.9) is unique and indeed satisfies the initial-value
problem. 1b illustrate the proof, we assume that a = 0, /3 = 0 where the
eigenfunctions are <Pn(z) = sin(n7rz/L) and the eigenvalues are An = (n7r/L)2.
Then the series for u, U z , U zz , Ut are
00
n=1
00
Uz : U'(z) +~ n7r cos(n7rz/L)e- A K t

L.JA ny n
n=l
00 2
U zz : U"(z) - LAn (7) sin (n7rz/ L) e- AnKt
n=l
u.: - f:An K ('~r sin(mrz/L)e-lnK

n=l
We have IAnl ~ 2M, where M is the maximum of !J(z) - U(z)l. Therefore, for
each t > 0, each of these series is uniformly convergent for 0 ~ z ~ L. Hence the
colons become equality and U satisfies the heat equation Ut = Ku zz + r, together
with the boundary conditions.
If Ul and U2 are two solutions of the problem, their difference u = Ul - U2

must satisfy the heat equation with zero initial and boundary conditions. But
we have already shown in Sec. 2.2 that such a function is zero. Hence we have
proved the uniqueness of our solution.
Stage 5: Asymptotic behavior. We now discuss the convergence of u(z; t) to
the steady-state solution U(z) when t -+ 00. While this may be obvious on
physical grounds, the mathematical analysis has not been given.
To do this, we assume that all eigenvalues are positive, An > 0, for n =
1,2, .... The basic fact about convergence is
u(z; t) - U(z) = O(e->'}Kt) t -+ 00
We illustrate the proof in this case of zero boundary conditions u(O; t) = 0,

u(L;t) = O. In this case An = (n7r/L)2, IAnl ~ 2M, and we have
00
IU(Zj t) - U(z)1 = LAn sin(n7rz/ L) e-{mr/L)2Kt

n:::l
00
~ L 2M(e- at )n2
n=l
(a= 1r~~)
00
~ 2ML(e- at )n
n=l
2Me- at
=
1 - e- at
The denominator tends to 1 when t -+ 00, and we have demonstrated that

u(z; t) - U(z) = O(e- at ), t -+ 00, which was to be shown.
Finally we discuss the relaxation time. This is the number T defined by the
equation
~T = - t-+oo
lim ! In lu(z; t) - U(z)1
t
provided that the limit exists and is independent of z, 0 < z < L.

The basic fact about relaxation time is that
(2.3.10)
provided that Al :f; 0. 1 We illustrate the computation in the case of zero bound-
ary conditions u(O; t) = 0, u(L; t) = O. In this case
00
u(z,.t)-U(z) = A' 1rZ -(7r2Kt/L2)+~A

ISmye
. n1rZ e-(n7r/L)2Kt
L....J nsmL
n=2
. 1rZ -(7r 2Kt/L2) + O( -(47r 2Kt/L2)
= A ISlDye e
'7
= At sin e-(7r2Kt/L2)[1 + O(e-(37r 2 Kt/L2)]
In lu(z; t) - U(z)1 = In IAI sin '71- 1r~~t + In[1 + O(e-(31f Kt/L2})]
2
The final term tends to zero when t ~ 00, and the first term is independent of t.
Dividing by t, we see that
1 1r2K
t~r! t In lu(z; t) - U(z)1 = -V
Therefore the relaxation time is given by T = L2 /1r 2 K, provided Al :f; O. This
makes good physical sense, for the larger the conductivity K, the smaller the
relaxation time. Likewise the larger the width of the slab L, the larger the
relaxation time. (If At = 0 and A2 :f; 0, then T = L2 /41r 2K.)
This concludes our analysis of the initial-value problem (2.3.1)-(2.3.4). We
will use this method repeatedly for solving problems with nonhomogeneous bound-
ary conditions.
The following examples are worked in detail in order to illustrate the five-stage
method.
EXAMPLE 2.3.1. Solve the initial-value problem for the heat equation Ut =
Ku zz with the boundary conditions u(O;t) = T}, uz(Ljt) = 0 and the initial
condition u(Zj 0) = T31 where Tl and T3 are positive constants.
Solution. We use the five-stage method outlined above.
Stage 1: Steady-state solution. In this case the steady-state solution satisfies
Uzz = 0, U(O) = Tb Uz(L) = O. The general solution is U(z) = Az + B, and the
boundary conditions give B = Tt, A = 0, so the steady-state solution is
U(z) = Tl
Stage 2: Transformation of the problem. Again we set v(z; t) = u(z; t) - U(z).
Then v(Zj t) satisfies
(I') Vt = Kv zz
(2') v(Oj t) = 0, t > 0
(3') vz(L; t) = 0, t > 0
(4') v(z; 0) = T3 - Tl
The boundary conditions (2') and (3') are homogeneous; this means that the
superposition principle can be applied.
Stage 3: Separation of variables. We look for separated solutions
v(z; t) = lP(z)T(t)
that satisfy the heat equation and the homogeneous boundary conditions v(O; t) =
0; vz(L; t) = O. The heat equation requires that
lP"(z) _ T'(t)
4J(z) - KT(t)
and hence both sides equal the constant -'\. Thus
(2.3.11) T'(t) + K '\T(t) = 0
(2.3.12) 4J"(z) + '\4J(z) = 0
Equation (2.3.11) requires that
T(t) = Ce-)"Kt
for some constant C. Equation (2.3.12) must be solved taking into account the
boundary conditions. Separating the three cases ,\ > 0, A = 0, and A < 0, we
have
lP(z) = Acosz~ + Bsinz~ (A > 0)
4J(z) = A + Bz (,\ = 0)
4J(z) = Acoshz~+BsinhzH (,\ < 0)
We now apply the boundary conditions. In the case where ,\ > 0, this means
that A = 0, B...!X cos L...!X = 0, so that for a nonzero solution we must have
n = 1,2, ...
In the case where ,\ = 0, we must have A = 0, B = 0, which is a zero solu-
tion. Finally, in the case where A < 0, the boundary conditions require A = 0,
BHcoshLH = 0, again a zero solution.
The separated solutions of the heat equation that satisfy the homogeneous
boundary are therefore of the form
n = 1,2, ...
As before, the superposition principle shows that any function of the form
is a solution of the heat equation with homogeneous boundary conditions. To

satisfy the new initial conditions, we set t = 0 and obtain
Ta - TI = ~AnSin ((n - D~) = ~Ansin -l);n (2n
This Sturm-Liouville series on 0 < z < L can be thought of as a Fourier sine

series on 0 < z < 2L for which the even-numbered sine terms are absent. To
determine the coefficients An, we use the orthogonality relations, with the result
An = i !.\Ta - TI)sin ((n- D~) dz

2 T3 -Tl
= n = 1,2, ...
:; n - !
2
Therefore the solution to the original problem is
u(z;t) = TI + ~(Ta - T I) ~ sin(n: ~)tZ/L) exp {- [(n - nif Kt}
Stage 4: Verification of the solution. As before, it can be verified that u(z; t)

satisfies the heat equation, initial conditions, and boundary conditions. We leave
the verification as an exercise.
Stage 5: Asymptotic behavior. To determine the asymptotic behavior as t ~
00, we note that IAnl ~ 4/7r(T3 - T1 ), (n - ~)2 ~ ~(n - ~), and therefore
lu(z; t) - U(z)1 $ ;(Ta - T I ) ~ exp [-H D~:n- Kt]
= ~(T3 _ Td 2
exp( -7r Kt/4L2)
1r 1 - exp( -1r2 Kt/2L2)
Hence we see, as before, that u(z; t) ~ U(z) when t ~ 00. The relaxation time
is given by T = 4L2 /7r 2K, provided that Tl -:I T3 .
Our next example corresponds to a slab where one face exchanges heat by
convection and the other face is maintained at a fixed temperature.
K U zz with the boundary conditions u(O; t) = TJ, uz(L; t) = -h[u(L; t) - T2 ] and
the initial condition u(z; 0) = T31 where h, Tl I T2 and T3 are positive constants.
Solution. We use the five-stage method.
Stage 1. We look for the steady-state solution U(z) that satisfies KU" = 0
and the boundary conditions U(O) = Tt, U'(L) = -h[U(L) - T2 ]. The general
sol ution of the equation is U (z) = A + B z. The first boundary condition requires
A = T I , while the second boundary condition requires B = -h(A + BL - T2)'
Solving these, we have the steady-state solution U(z) = Tl +hz(T2 -T1 )/(1+hL).
Stage 2. We use the steady-state solution to transform to a homogeneous

equation with homogeneous boundary conditions. Thus setting v(z; t) = u(z; t)-
U(z), we have Vt = Kv zz with the boundary conditions v(O; t) = 0, vz(L; t) +
hv(L; t) = 0 and the initial condition v(z; 0) = T3 - U(z).
Stage 3. The separated solutions of the heat equation Vt = Kv zz with the
homogeneous boundary conditions are of the form v(Zj t) = e-J.Kt4>(Z) , where
A is an eigenvalue and 4>(z) is an eigenfunction of the Sturm-Liouville problem
4>"(z) + ).4>(z) = 0 with the boundary conditions </J(O) = 0, </J'(L) + h</J(L) = O.
These boundary conditions satisfy the positivity condition of Sec. 1.6 for Sturm-
Liouville eigenvalue problems, and thus we know that A > O. The general solution
of the differential equation is 4>(z) = A sin zVA + B cos zVA. The boundary
condition at Z = 0 requires B = 0, while the boundary condition at Z = L
requires A VA cos LVA + Ah sin LVA = O. We obtain a nonzero solution by taking
A # OJ thus ..\ must be a solution of the transcendental equation VA cos LVA +
h sin LVA = O. These eigenvalues may be obtained graphically by examining the
graph of the cotangent function (Fig. 2.3.1). Therefore the separated solutions
of the heat equation with homogeneous boundary conditions are sin z~e->'nKt,
where the An are determined as before.
The initial-value problem for v(z; t) is solved by a superposition of separated
solutions.
00
v(Zjt) = EAnsinz~e->'nKt
n=l
The Fourier coefficients are obtained from the expansion of

00
T3 - U(z) = EAnsinz~ O<z<L

n=l
Using orthogonality, we have the integral formulas
lL [T3 - U(zl] sin z~ dz = An lL sin2(z~l dz n= 1,2, ...
To compute these integrals, we may use the integration formulas
lL sin zY'A dz =
1- cosL../X
../X
lL zsin zY'Adz =
- Lcos LVA sin LVA
VA + A
lL sin2 zY'Adz = ~2 (L _ sin2LVA)
2VA
y=cotx

cotLV5. = -h/V5..
By making the necessary substitutions and using the transcendental equation for
An, we obtain the Fourier coefficients in the form
~An(AnL+hSin2LA) = (T3 -T1 )(A+hsinLA)

+h(Tl - T2)sinLA
The formal solution of the initial-value problem is
00
u(z; t) = U(z) + L An sin zAe->'nKt

n=l
where the An have just been obtained and the An are determined from the tran-
scendental equation ~ cos L~ + h sin L~ = O.
Stage 4: Verification of the solution. From the graph of the cotangent func-
tion, we see that L~ - (n - ~)7r ---+ 0 when n ---+ 00. From the formula for An,
we see that An tends to zero when n ---+ 00; in particular, IAnl S; M for some
constant M. These estimates permit us to conclude that, for each t > 0, the
following series are uniformly convergent for 0 S; Z S; L:
E~=l An sin(z~)e-AnKt
L~=l AnAcos(z~)e-AnKt
L~=l AnAn sin(z~)e-AnKt
Therefore u(Zj t) is a differentiable function and u(z; t) satisfies the heat equation
Ut = K Un for t > 0, 0 < z < L.
Stage 5: Asymptotic behavior. When t ---+ 00, u(z; t) tends to the steady-state
solution U(z). The relaxation time is obtained from the first term of the series.
Thus, if T3 - Tl and Tl - T2 are both positive, we have T = 1/ A1K, where Al is
obtained from the graph of the cotangent function in Fig. 2.3.1.
2.3.3. Temporally nonhomogeneous problems. The methods used to
study the general boundary-value problem for the one-dimensional heat equation
in the temporally homogeneous case can also be used to study problems with
explicit time dependence. The most general problem of this type is of the form
Ku zz = r(zj t)
Ut -
cosau(Oj t) - L sinauz(Oj t) = T1 (t)

cos/3u(Lj t) + L sin/3uz (L; t) = T2 (t)
u(Zj 0) = J(z)
Here r(zj t), J(z), Tl (t), and T2 (t) are given functions, assumed to be piecewise
smooth in each variable.
To solve a problem of this type, we first consider the case of homogeneous
boundary conditions, that is, Tl(t) == 0, T2 (t) == O. The solution is sought in the
form of a series of eigenfunctions of the homogeneous problem. Thus
00 00 00
r(z; t) = L rn(t)lPn(z), J(z) = LfnlPn(z), u(z; t) =L un(t)lPn(z)

n=l n=l n=1
where lPn(z) are normalized eigenfunctions of the Sturm-Liouville eigenvalue prob-

lem with the associated boundary conditions. The expansion coefficients rn(t),
in, and un(t) are obtained from the orthogonality of the eigenfunctions as the
generalized Fourier coefficients:
rn(t) = foL r(z; t)<Pn(z) dz. In = foL l(z)<Pn(z) dz. u,,(t) = foL u(z; tl<Pn(z) dz
Substituting the series for u{z; t) into the nonhomogeneous heat equation, we
have
00 00
Ut - Ku zz = I)u~(t) + KAnUn{t)]lPn{z) = L rn(t)lPn{z)

n=l n=l
Therefore we choose un(t) as the solution of the ordinary differential equation

u~{t) + KAnUn{t) = rn{t), with the initial conditions un{O) = In. This first-order
ordinary differential equation is easily solved in the form
u.(t) = f.e-~.KI + /.1 r. (s)e->' K(I-s) ds

It is not difficult to show that the above series obtained converges uniformly for
o < Z < L together with the differentiated series for u z , U zz , Ut and that the
function obtained satisfies the equation Ut = Ku zz + r{z; t).
To solve the original problem with Tl (t) and T2 (t) nonzero, we reduce to
homogeneous boundary conditions by defining a new function,
v{z; t) = u(z; t) - [A{t) + z B{t)]
In order for u{z; t) to solve the stated equation, we must have
Vt - Kv zz = r{z; t) - [A'{t) + z B'(t)]
v(z; 0) = J(z) - [A(O) + z B(O)]
The functions A(t), B(t) are chosen so that the linear function A{t) + z B(t)
satisfies the nonhomogeneous boundary conditions of the given problem. This
requires that
cos a A(t) - Lsin a B{t) = Tl (t)
cos ,B [A (t) + L B (t) + L sin ,B B (t) = T2 (t)
This system of linear equations has a unique solution if and only if the deter-
minant of the coefficients is nonzero-cos a sin f3 + sin a cos,B + cos a cos f3 i= 0,
which is equivalent to the statement that A = 0 is not an eigenvalue of the
Sturm-Liouville problem with the associated homogeneous boundary conditions.
Assuming this, we can determine A(t), B(t) and infer that the function v(z; t)
so defined satisfies the homogeneous boundary conditions. This leads to the trial
solution in the form
00
v{z; t) = L vn{t)lPn{z)
n=l
This can be done as above, once we determine the right side. We must have
Vt - Kv zz = r{z; t) - [A'{t) + zB'{t)]
v(z; 0) = I{z) -. [A{O) + z B(O)]
To solve the problem, we must find the generalized Fourier series of the linear
function a + bz,
00
a + bz = l:(a(l, >n} + b(z, 4>n} )4>n(z)

n=l
where we have used the inner product notation for the generalized Fourier coef-
ficients. Replacing rn(t) and Vn suitably, we are led to the solution
Vn(t) = e-'\nKt[vn - A(O)(l, 4>n} - B(O)(z, 4>n}]

+ l e -~. K(t-$)[rn (s) - A' (s)(l, <Pn) - B' (s) (z, <Pn)] ds
EXAMPLE 2.3.3. Find the solution of the heat equation Ut - K U zz = 0 with the
boundary conditions u(O; t) = ao+bot, u(L; t) = al +b1t and the initial conditions
u(z;O) = O.
Solution. In this case the associated homogeneous boundary conditions are

u(Oj t) = 0, u(L; t) = 0, for which ..\ = 0 is not an eigenvalue. Therefore we
can determine the functions A(t) and B(t) uniquely to yield U(z; t) = ao +
bot + (z/ L)(al - ao + (b l - bo)tJ, so that the new function v(z; t) satisfies the
nonhomogeneous heat equation Vt - Kvzz = -[bo + (z/ L)(b1 - bo)] with v{z; 0) =
-aD - (z/ L)(al - ao). The appropriate Fourier series is
bo + (b i -
z
bo) (-) = -
L 1r
2
L
00
n=1
(
bo
n
n bl - bo
n
n+l. n7rZ
-[1- (-1) ] + --(-1) ) sm-
L
The coefficients vn(t) are given by
The solution of the given problem is u(z; t) = U(z; t) + I::=l Vn(t)4>n(z) when we
make the appropriate substitutions for U(z; t) and vn(t) from above .
EXERCISES 2.3
1. Solve the initial-value problem for the heat equation Ut = K U zz with the
boundary conditions u(Oj t) = Tb uz(L; t) = 4>2 and the initial condition
u(z; 0) = Ta, where Tb 4>2) and Ts are positive constants. Find the relax-
ation time.
2. Solve the initial-value problem for the heat equation Ut = Ku zz with the
boundary conditions uz(Oj t) = 0, uz(L; t) + h[u(L; t) - T2J = 0 and the
initial condition u(z; 0) = TSI where h, T2 ) and T3 are positive constants.
3. Solve the initial-value problem for the heat equation Ut = K U zz + r with
the boundary conditions u(O; t) = T 1 , u(L; t) = T2 and the initial condition
u(z; 0) = T3 , where r, Tb T2 , and T3 are positive constants. Find the
relaxation time.
4. Consider heat flow in an infinite slab 0 ~ z ~ L, with the no-flux bound-
ary conditions U z = 0 at z = 0, z = L and the initial condition u =
273 + 96(2L - 4z). Find the solution of this initial-value problem and de-
termine the relaxation time. (Warning: The steady-state solution cannot
be determined from the boundary conditions alone.)
5. Solve the initial-value problem for the heat equation Ut = K U zz with the
boundary conditions uz(O; t) = 4>, uz(L; t) = 4> and the initial condition
u(z; 0) = T3 , where 4> and Ta are positive constants.
6. Consider heat flow in the infinite slab 0 < z < L with a source that
generates heat at a rate per unit volume that is directly proportional to the
distance from the face z = O. Initially the temperature is zero throughout
the slab; both faces are maintained at that temperature forever.
(a) Show that this leads to the equation Ut = Kuzz+az with u(O; t) = 0,
u(L; t) = O.
(b) Find the steady-state solution U, the full solution u, and the relax-
ation time 1'.
7. Consider heat flow in an infinite slab 0 < z < L that is initially at tem-
perature zero. The face z = 0 is maintained at temperature zero, and the
temperature at the face z = L increases linearly with time.
(a) Show that this leads to the heat equation Ut = Ku zz with u(Oj t) = 0,
u(L; t) = At, u(z; 0) = O.
(b) Show that the solution may be obtained in the form u(z; t) =
Azt/ L + v(z; t), where v(z; t) is a suitable Fourier sine series.
8. If a slender wire is placed in a medium that exchanges heat with the sur-
roundings, the "linear law of heat transfer" dictates the equation Ut =
K Un - bu, where b is a positive constant. Assume that the ends of the
wire are insulated and that initially the temperature u = To.
(a) Find the steady-state solution of the problem.
(b) Find the solution of the full initial-boundary-value problem. (Hint:
The function w(z; t) = ehtu(zj t) solves a known problem.J
9. With reference to the treatment of temporally nonhomogeneous problems,

suppose that the functions r(z; t), v(z), Tl(t) and T2(t) are uniformly
bounded for t > 0, 0 < z < L. Prove that the series defining the functions
v(z; t), Vt(z; t), vz(z; t), and vzz{z; t) all converge uniformly for 0 < z < L
for each fixed t > 0 and that v(z; t) satisfies the appropriate heat equation.
10. Find the solution of the nonhomogeneous heat equation Ut - K U zz = 1- e- t
with the boundary conditions u(O; t) = 0, uz(L; t) = 0 and the initial
conditions u(z; 0) = 100.
11. Find the solution of the nonhomogeneous heat equation
-at . 'ffZ
Ut = K U zz + veSInT' 0< Z < L,t > 0
u(z; 0) = 0 = u(O; t) = u(Lj t)
where a, v, and K are constants.
12. Find the solution of the nonhomogeneous heat equation
-at 'ffZ
Ut = K U zz + ve sm L' 0< z < L,t > 0
u(z; 0) = 0 = u(Oj t) = uz(L; t)
where a, v, and K are constants.
2.4. The Vibrating String
In this section we derive and solve the equation of the vibrating string. This equa-
tion is the one-dimensional form of the wave equation, which occurs throughout
many branches of mathematical physics.
2.4.1: Derivation of the equation. Imagine a perfectly flexible elastic
string, which at rest is stretched between two fixed pegs. For convenience we
take a system of rectangular coordinates, so that the pegs are at the points
(0,0,0) and (L, 0, 0). The points of the string are labeled by a parameter s,
o ::; s ::; L (see Fig. 2.4.1). The motion of the string is described by a vector
function r(s; t) = (X(s; t), Y(s; t), Z(s; t)), which gives the rectangular coordi-
nates of the string point s at the time instant t. Thus the vector 8r / as is tangent
to the string at the point s (Fig. 2.4.2). The vector 8r/8t is the instantaneous
velocity of the string at the point s, while the vector a2 r/at 2 is the instantaneous
acceleration of the string at point s.
(0,0,0) (L. 0, 0)
FIGURE 2.4.1 Vibrating string in equilibrium position.

2.4. THE VIBRATING STRING 135
FIGURE 2.4.2 Vibrating string in motion-tangent vector.
We now determine a system of partial differential equations satisfied by the

functions Xes; t), Yes; t), Z(s; t). To do this, we apply Newton's second law of
motion, stating that the force on any segment of the string is the time derivative
of the momentum of that segment. The mass of the string is given by a mass
density function p( s ), 0 ::; s ::; L. This means that
!.b p(s)ds = mass of the segment of the string for which a ~ s ~ b

Likewise,
!.bp(s): (s; t)ds = momentum of the segment of the string for which a ~ s ~ b
A typical segment of the string for which a ::; s ::; b is subject to contact forces
exerted at a and b by the rest of the string and to external forces (such as gravity)
from the environment. These external forces may be written as a vector function
F(s; t) = (Ft (s; t), F2(s; t), F3(s; t)), representing the force per unit mass acting
on the point s of the string. To describe the contact forces, we introduce the
tension T(s; t). The segment of the string with b ::; s ::; L exerts a contact force
at b, on the segment a $ s $ b of the string, of the form
T+(b. t) (8rj8s)(b; t) = force on the segment a ::; s ::; b
, 1(8rj8s)(b;t)1 due to the segment b::; s::; L
This means that the force is directed along the tangent to the string, as illustrated
in Fig. 2.4.3. This property is a mathematical statement of the assumption that
the string is perfectly flexible. Similarly, we set
-T(a.t) (or/os)(a;t)
~a.)(a;I)1
r(a;I)~~
T(b.t) (or/os)(b;t)
I (or/os) (b;t) I
FIGURE 2.4.3 Contact forces on vibrating string.
-T-(a' t) (or/os)(a; t) = force on the segment a ~ s ~ b

, I(or/os) (a; t)1 due to the segment 0 ~ s ~ a
The minus sign enters for geometric reasons, which will become clear momentarily.
The force on the segment a ~ s ~ b is the external force plus these contact forces.
Applying Newton's second law, we have
f.b p(s):~ (s;t)ds = t p(s)F(s;t)ds
+ T+(b' t) (or/os)(b; t) _ T-(a' t) (or/os)(a; t)
'l(or/os)(b;t)1 'l(or/os)(a;t)1
This is a vector integral equation, equivalent to three scalar integral equations.
Now we let b -4 a. In the limit the integrals vanish and we find that T+(a; t) =
T-(a; t). We accordingly drop the plus and minus signs and write T(s; t) for the
common value, called the tension at (s; t).
To write these integral equations as differential equations, we differentiate
wi th respect to b, set b = s, and obtain the following differential form of the
equation of the vibrating string.
o2r 0 [ (or/os)(s; t) ]
(2.4.1) p(s)8i,2 (s; t) = p(s)F(s; t) + as T(s; t) 1(&/8s)(s; t)1
The vector equation (2.4.1) is equivalent to three scalar equations for the four
variables X, Y, Z, T. We obtain a determinate system by saying how the tension
T(s; t) is influenced by the stretch factor I(fJr/os)(s; t)l. For each elastic material,
there is a well-defined function N expressing this dependence by
(2.4.2) T(s;t) = N (I: (s;t)l, s)
The equation obtained by substituting (2.4.2) into (2.4.1) is a rigorous conse-

quence of Newton's second law of motion. However, this equation is extremely
difficult to solve. Therefore we will make assumptions to obtain simplified equa-
tions that may be solved. The alert reader will note that some of the steps taken
may be difficult to justify within our treatment. The essential point is that the
solutions of the simplified equations can be shown to be close, in an appropriate
sense, to the solutions of the exact equations {2.4.1} and {2.4.2}. For more infor-
mation the reader is referred to the book by H. F. Weinberger2 or to the article
by S. Antman. 3
2H. Weinberger, A First Course in Partial Differential Equations, Ginn, Blaisdell,

Waltham, MA, 1965.
3S. Antman, "The Equations for the Large Vibrations of Strings," American Mathematical
Monthly, vol. 87, pp. 359-370, 1980.
2.4.2. Linearized model. To obtain the simplified equations, we will look

for solutions that describe small vibrations. This means that
(2.4.3) X(s;t) = s+x(s;t)

(2.4.4) Y(s; t) = iY(S; t)
(2.4.5) Z(S; t) = iZ(S; t)
(2.4.6) T(s; t) = To + iT} (S; t)
(2.4.7) F(s; t) = if(s; t)
The parameter i may be thought of as a rough measure of the maximum displace-

ment of the string from its neutral position X = s, Y = 0, Z = o. The expressions
To and Tl may be found by substituting the equations (2.4.3), (2.4.4), and (2.4.5)
into (2.4.1) and (2.4.2) and discarding higher powers of i. In particular, To is the
tension of the string in its neutral position X = s, Y = 0, Z = o.
With the assumptions (2.4.3), (2.4.4), and (2.4.5), we have 8X/8s = 1 +
(ox/8s), 8Y/os = (8y/os), 8Z/8s = i(8z/8s); thus
Taking the square root and using the Taylor expansion (1+a)1/2 = 1+~a+0(a2),
we have
-arl 8x
=1+i-+0(i 2
las as )
Thus
8r/8s = ( 1 +0 (2
18r/asl 8y (2 8z 2)
i ),i 8s +0 i )'8s +O(i)
If we insert these into (2.4.1) and use (2.4.3), (2.4.4), and (2.4.5), we obtain the
following equations for the x, y, and Z components:
Equating the coefficients of in each of these three equations, we obtain the

following simplified equations for the longitudinal and transverse vibrations:
82 x 8
pes) 8t2 = p(s)!t(Sj t) + 8s T I (sj t)
82 y 82 y
pes) {}t2 = p(s)/2(s; t) + To 8s 2
Iflz 82 z
pes) 8t2 = p(s)!3(s; t) + To 8s2
We shall only be interested in the transverse vibrations, obtained by solving
the second and third equations. These are of the same form, the so-called one-
dimensional wave equation
(2.4.8)
EXAMPLE 2.4.1. Suppose that pes) = p and f(s; t) = g, independent of (s, t).
Find the steady-state solution of the wave equation (2.4.8) satisfying the boundary
conditions yeO) = 0, y(L) = O.
Solution. The function y( s) must satisfy the ordinary differential equation
o = 9 + To y" (s)
p
The general solution of this equation is yes) = -(pg/2To)s2 + As + B, where
A and B are arbitrary constants. Applying the boundary conditions, we have
0= B, 0 = -(pg/2To)L2 + AL + B. The solution is yes) = (pg/2To){Ls - s2) .
2.4.3. Motion of the plucked string. Now we turn to time-dependent

solutions of the wave equation, specifically, the problem of the plucked string.
We shall suppose that the string is uniform [pC s) = p] and no outside forces are
present [f(s, t) = 0]. We let
2 To
c=-
P
which has the dimension (velocity)2. The wave equation is now written as Ytt =
c2 yss. The initial position of the string is supposed to be given by a function
it (s), 0 ~ s ~ L, while the initial velocity is zero. Thus we have the problem
Ytt(s; t) = c2 yss
yeO; t) = 0 = y(L; t)
y(s;O) = it(s)
Yt(s; 0) =0
In Example 0.2.7 we showed that the separated solutions that satisfy the bound-
ary conditions and the second initial condition are sin (n7rs/ L) cos (n7rct/ L), n =
1,2, .... Therefore we may obtain a formal solution by the superposition principle
as
(2.4.9)
To find the coefficients B n , we set t = O. This requires that

00
(2.4.10) 11(s) = EBnsin n;s

n=l
Therefore Bn is the nth Fourier sine coefficient of 11.

21L . n7rS
(2.4.11) Bn = 0 It(s)smT ds
If II (s), 0 < s <L, is continuous and piecewise smooth, the Fourier series (2.4.9)
converges for all s to the odd periodic extension of 11, denoted 11. Therefore, to
solve the problem, we have a simple rule: Given 11, compute Bn from (2.4.11)
and substitute into (2.4.9) to solve the problem. This is called the Fourier rep-
resentation of the solution. We illustrate with the problem of the symmetric
plucked string.
EXAMPLE 2.4.2. Solve the vibrating string problem in the case where
_ { s 0 < s < L/2

It (s) - L - s L/2 < s < L
Solution. To compute the Fourier coefficients, we notice that 11 is even about

s = L/2, whereas sin n7rs/L is even (resp. odd) about s = L/2 if n is odd (resp.
even). Therefore Bn = 0 if n is even. If n is odd, we have
21L . n7rS
Loll (s) sm T ds
= -41L/2 It(s) sin -n7rS ds

L 0 L
41L/2 n7rS
= - ssin-ds
L 0 L
4 Ls n7rS 10 4 lL/2 n7rS
= --cos- +- cos-ds
L n7r L L/2 n7r 0 L
4 . n7r
= n27r2 sm 2""
If n is even, Bn = 0, while if n is odd, we write n = 2m - 1, sin n1r /2 = (- I)m+l .

Therefore we have solved the problem.
4L 00 (_I)m+l 1ret . 1rS
y(s; t) = 1r2 ~ (2m _ 1)2 cos(2m - l)y sm(2m - 1)
The Fourier representation (2.4.9) displays the solution as a Fourier sine series
for each time t. The nth term of this series is a purely harmonic vibration of
frequency n1rcl L and amplitude Bn. Hence this form of the solution affords a
natural analogy between the vibrating string and an infinite system of harmonic
oscillators.
2.4.4. Acoustic interpretation. In the theory of acoustics, the numbers

Wn = n1rc/ L are interpreted as the frequencies of purely harmonic vibrations. It
is a characteristic feature of the vibrating string that these numbers are multiples
of a common frequency WI = 1rcl L, which is called the fundamental frequency.
The higher frequencies are called overtones, which strengthen the quality of the
sound.
If the initial position of the string is given by y(s; 0) = C sin n1rs/ L, then
the string will vibrate at the corresponding frequency Wn = n1rcl L when released
from rest. In practice this initial condition is rarely met; instead we often have
initial conditions that result from striking or bowing the string. In these cases
both the fundamental frequency and many overtones will be present in the re-
sultant vibration, which is written as a superposition of several purely harmonic
vibrations. The resulting impulses that are transmitted are characteristic of the
particular stringed instrument. We list below typical solutions for both a pi-
ano string and a violin string, corresponding to the fundamental frequency of
440 cyc1es/s (concert A).
8
y(s;t) = "" . n1r S cos n1rct
L.,.,AnsmT
n=1
L
Piano Violin
1 1
0.20 1
0.25 0.45
0.10 0.50
0.08 1.00
0.00 0.03
0.00 0.03
0.00 0.03
According to these data, the piano vibration is much closer to a purely har-
monic vibration than is the violin vibration. To see this numerically, we may use
the formula for the mean square error, which was developed in Sec. 1.2.4; thus
Ii
1
o
L [ . 1CS 1Cct ] 2 1 8 n1Cct
y(s;t)-A1SInycos-y; dS=2l:A!cOS2'L
n=2
In the case of the piano vibration, we have

8
E A! = (0.20)2 + (0.25)2 + (0.10)2 + (0.08)2 = 0.1189
n=2
whereas in the case of the violin vibration we have

8
E A! = 1 + (0.45)2 + (0.50)2 + (1.00)2 + (0.03)2 + (0.03)2 + (0.03)2
n=2
= 2.4552
To obtain a meaningful comparison, we define the fractional mean square error
as
;;. _ E:=2A~
v - 8
En=lA~
For the piano vibration we have 0'2 = 0.1189/1.1189 = 0.1063, whereas for the
violin vibration we have 0'2 = 2.4552/3.4552 = 0.7106, nearly seven times as
large. 4
2.4.5. Explicit (d' Alembert) representation. Returning to the mathe-

matics, we now discuss some disadvantages of the Fourier representation (2.4.9).
On the one hand it is difficult to verify that y(s; t) actually is a solution of the
wave equation. Consider, for example, the computation of the second time de-
rivative Ytt of the solution obtained in Example 2.4.2. Proceeding formally, we
encounter the series
oo
4c
- E ( -1 )m+l cos ( 2m - 1)1Cct.
- sm ( 2m - 1)1CS
-
L m=l L L
We have lost the factor 1/(2m - 1)2, which ensured convergence of the series for
y(s; t). The new series converges for no value of t.
A second disadvantage of the Fourier representation is that it provides little
geometric insight into the motion of the vibrating string. We expect that an initial
disturbance will be propagated as some sort of wave motion, but the Fourier
representation does not show this directly.
4Data obtained from D. Halliday and R. Resnick, University Physics, 3d ed., 1977, John
Wiley & Sons, New York.
To overcome these difficulties, we will rewrite the solution (2.4.9) in a form

that avoids the Fourier coefficients Bn. To do this, we use the trigonometric
identity sinacos,8 = ~[sin(a +,8} + sin(a - ,8}] and proceed formally.
00 n7r s n7rd
yes; t} = EBnSlnT cos-y;-
n=1
=~ f
n=1
Bn [SiD 7, (8 + ct) + sin n; (8 - ct)]
We recognize the Fourier sine series for It(s + ct}, 11(s - ct), where II is the
odd, 2L-periodic extension of 11(S}, 0 < s < L. Therefore we have the explicit
representation
1 - -
(2.4.12) yes; t) = 2III (s + ct) + II (s - ct)]
In physical terms, we have written yes; t) as a sum of two traveling waves, one
moving to the right with speed c and the other moving to the left with speed c.
This will enable us to obtain graphical representations of the solution.
Using the representation (2.4.12), we now verify that y(s; t} satisfies the wave
equation. Indeed, whenever J~, !{' exist, we have
1 -, ( ) 1 -, (
Yt = 2cl1 s + ct - 2cl1 S - ct )
1 2 - 1 2-
Ytt = -c
2
I:'(s + ct) + -c
2
It'(s - ct)
1 -, ) 1-,
Ys = 211(s+ct + "2 11 (s-ct)
1 -If 1 -If
Yss = 211 (s + ct) + 2ft (s - ct)
Clearly, Ytt = c2 yss. To check the boundary conditions, we have

1 - -
yeO; t) = "2[11 (ct) + II (-ct)J = 0
since 1 is odd, and

1 - -
y(L; t) = "2(J(L + ct} + I(L - ct)]
1 - -
= "2(J(L + ct) - I( -L + ct)]
1 - -
= 2[/(L + ct) - I(L + ct)]
= 0
2.4. THE VmRATING STRING 143
where we have used the oddness and 2L-periodicity of f. The initial condition
yes; 0) = J(s) is satisfied everywhere, while Yt(s; 0) = 0 wherever JI is defined.
This completes the validation of the solution.
The second application of (2.4.12) is to obtain a picture of the motion of the
vibrating string. We will now illustrate this in the case of the asymmetric plucked
string, where
11(s) = {S(L-S o) O<s<so
So (L - s) So < s < L
When we extend It as an odd periodic function, we obtain the graph depicted
in Fig. 2.4.4. The extended function satisfies fl(-s) = - II (s), h(s+2L) = It(s)
for any s. We substitute this into (2.4.12) and get
1 - -
yes; t) = 2[It (s + ct) + 11 (s - ct)]
To obtain a picture of the motion of the plucked string, we must average the
left and right translates of fl. Since the average of two linear functions is again
linear, it suffices to plot five points in the interval 0 ~ s ~ L: the two endpoints
where the string is fixed, the interior point where 11 (s + ct) = 11 (s - ct), and the
two interior points where J:(s + ct) changes sign.
The diagrams in Fig. 2.4.5 give a motion picture of the plucked string during
the half-period 0 ~ t ~ Llc. For convenience we take So = 3L14. At t = 0, we
have the odd periodic function 11(s) with vertices at A(s = 3L/4), B(s = 5LI4),
and C(s = -3L/4). These points, which determine the discontinuities of Ii,
move along the axis and are labeled AI B, C. For t = LISe, we have A+,
A_ as the only vertices with 0 ~ s ~ L. When t = L/4c, A_ has arrived at the
middle of the interval and the plucked string is symmetric about s = L/2. The
vertex A+ is replaced by B_. When L/4c ~ t ~ 3L/4c, part of the string goes
below the axis, until it reaches the symmetric configuration shown at t = 3L/4e.
When t = 3LI 4e, the A_ vertex disappears from the interval and is replaced
by C+; this results in the symmetric configuration completely below the axis.
Finally, when t = L/c, the string has completed one-half of its period and is
congruent to its initial position with vertex at s = L14.
s=-3~-1L s=-t'\::%'r s=~1L s~3L
FIGURE 2.4.4 The odd, 2L-periodic extension of it(s), 0 < s < L.

L =it (s-ct)
1+ =]1 (s + ct)
o~
~
--- "L
O~
~
~- ~L
O~L
O~L
O~L
O~L
FIG URE 2.4.5 Successive positions of the asymmetric plucked string.

2.4.6. Motion of the struck string. We now solve the problem of the
vibrating string, starting from equilibrium, with nonzero initial velocity. Thus
we must solve
Ytt(S; t) = c2 yss t > 0,0 < S < L
y(Oj t) = 0 = y(Lj t) t>O
y(s;O) =0 O<s<L
Yt(s; 0) = 12(S) O<s<L
The initial velocity profile 12(s) is unspecified for the moment.
To solve this problem, we begin with the separated solutions that satisfy the
wave equation, the boundary conditions, and the first initial condition. These
are of the form
. n7l"s . n7l"ct
slllTslllL
To satisfy the second initial condition, we try a superposition of these:
(2.4.13)
This is the Fourier representation of the solution. The coefficients {Bn} are
determined by differentiating this series with respect to t and setting t = 0; thus
Setting t = 0, we must have

00
(2.4.14) Yt(s; 0) = 12(S) = "'" n7l"c . n7l"s

L, T Bn Slll L
n=l
In other words, (n7l"c/ L)Bn is the nth Fourier sine coefficient of 12(s), 0 < s < L:
n7l"c
TBn =L 21L 12(s)slllyds
. n7l"S
0 n= 1,2, ...
If 12(S), 0 < s < L, is continuous and piecewise smooth, the Fourier series (2.4.14)
converges for all s to the odd periodic extension of 12, denoted 12. This completes
the Fourier representation of the solution.
To obtain an explicit representation, we apply the trigonometric identity
sinasin,8 = Mcos(a -,8) - cos(a + ,8)] to the Fourier representation. Thus
y(s; t) =
1
2 L Bn
00
n::::::l
[ n1r n1r]
cos y(s - ct) - cos T(s + ct)
146 2. BOUNDARYVALUE PROBLEMS IN RECTANGULAR COORDINATES
We use calculus to rewrite this as
Y(8; t) =
1 00
2'LBny
l nll' S ct
+ nll' Z
sinLdz
n=l a-ct
= 11
2'
S
8-ct
ct
+ {
~Bny sin L
00 nll' n1rz}
dz
where we have formally interchanged the summation and integration. Aside from
the factor c, we recognize the formula in braces as the Fourier sine series for 12,
the odd, 2L-periodic extension of 12(8), 0 < s < L. Thus we have the explicit
representation
(2.4.15) 1
Y(Sj t) = 2"
e
l s ct
+
a-ct
12 (z)dz
The formula (2.4.15) defines a solution of the wave equation and satisfies the
boundary conditions and both initial conditions. In particular cases this formula
can be used to graph the solution of the wave equation.
EXAMPLE 2.4.3. Graph the solution of the vibrating string if
0 0 < S < L/4

h( s) = 1 L/4 < s < 3L I 4
{
o 3LI4 < S < L
Solution. To graph the solution, we first extend 12 as an odd, 2L-periodic
function. From formula (2.4.15), we have Y8(Sj t) = (1/2c) [12(s + ct) - h(s - ct)].
This quantity is 0, 1/2c, 1/c. For each t, Y(Sj t) is linear on each segment on
which YII is constant. Finally we have the set of graphs shown in Fig. 2.4.6 of the
solution for t = 0, LIBe, L/4e, 3L/Bc, L/2c.
2.4.7. d'Alembert's general solution. The explicit solutions just obtained

can be combined to obtain a solution of the wave equation for the general ini-
tial conditions Y(8; 0) = 11(s), Yt(Sj 0) = 12(s). For this purpose, consider the
function
(2.4.16) y(Sj t) = -21 [II (s 1

+ et) + II (8 - ct)] + -2 l
c 8-ct
s ct
+ h(z) dz
y(s;t)
t
o 0 L
L
&0 L
L
4c 0 L
3L
&0 L
\
FIGURE 2.4.6 Successive positions of the struck string.
L
Suppose that it, It, f{l, 12, and f~ are continuous functions. Then
Yt = ~[ff(s + ct) - ff(s - ct)] + ~[h(s + ct) + h(s - ct)]

c? c
Ytt = 2" [I:I(S + ct) + f{I(S - ct)] + 2[f~(s + ct) - f~(s - ct)]
1 1
Ys = 2'[/: (s + ct) + las - ct)] + 2c[h(s + ct) - h(s - ct)]
1 1
Yss = 2[Jr/(s + ct) + ff/(S - ct)] + 2c[J~(s + ct) - f~(s - ct)]
We observe that yes; 0) = It (s), Yt(Sj 0) = h(s), and that yes; t) satisfies the wave
equation Ytt = c?Yss for all (s; t). We have made no use of boundary conditions or
periodicity considerations. This general solution is called d'Alembert's solution
of the wave equation. We summarize the result as a proposition.
PROPOSITION 2.4.1. Let f1' 12 be continuous functions with continuous deriva-

tives fI, f~', f~. The d'Alembert formula (2.4.16) gives a solution of the wave
equation Ytt = C2YS8 valid for all t > 0, -00 < s < 00, and satisfies the initial
conditions yes; 0) = II(s), Yt(s; 0) = h(s).
The careful reader will note that Examples 2.4.2 and 2.4.3 do not satisfy the
hypotheses of the proposition. Therefore this proposition, although mathemat-
ically rigorous, excludes examples of physical interest. In order to improve this
point of the theory, mathematicians have extended the concept of solution to in-
clude functions yes; t) for which some of the indicated partial derivatives may not
exist. The basic idea is that a function y(x; t) is a weak solution if there exists a se-
quence of (twice-differentiable) solutions Yn(x; t) so that y(x, t) = lilIln--HX) Yn(Xj t)
for each (x, t). For example, Yn(x; t) can be chosen as the partial sum of the
Fourier series. This concept of weak solution is discussed further by Weinberger. 5
2.4.8. Vibrating string with external forcing. In the remainder of this

section, we consider a vibrating string with a time-dependent external force, using
the method of Fourier series. As our first model we consider the problem
Ytt - 2
C Ys8 = g(s)coswt 0 < s < L, t > 0
yeO; t) = 0 = y(L; t) t >0
where g(8), 0 < s < L, is a piecewise smooth function and w is a positive constant.
We look for a particular solution in the form
L An(t) sin n;s

00
yes; t) =
n=l
(The general solution can be found by adding a solution of the homogeneous

equation, which has already been discussed.) To find the coefficient functions
An(t), we substitute in the differential equation and use the Fourier sine expansion
of g(8).
g(8)
00
= LBn sin
n=l
n;s
~ ["
L...J An(t) + (nll'C) . n1T8
L 2 An(t)]sm ~ Bn sin-
L = coswt L...J n1Ts
n=l n=l L
We choose An(t) to be solutions of the ordinary differential equations
A"()
n t +
(n1TC)
L 2 An(t) = Bn coswt
5Weinberger,op. cit.
If w :/; n7rc/ L for any n, a particular solution is

An(t) = An coswt
An [_W2 + (n;cf] = En
The formal solution of the problem is
~ Bn sin (n7rs/ L)
(2.4.17) y(s; t) = coswt L, ( / L)2 2
n=l n7rC - w
The solution is a periodic function of time with the same period. The series for
y(s; t) converges uniformly for 0 ~ s ~ L. If g(s) is continuous and satisfies
the boundary conditions, the differentiated series for Ys, Yss, Yt, Ytt also converge
uniformly for 0 ~ s ~ L, and y(s; t) is a solution of the problem.
EXAMPLE 2.4.4. Find a particular solution of the problem Ytt -c2Yss = A cos wt,
satisfying the boundary conditions y(O; t) = 0 = (L; t), where A and ware positive
constants with w :/; n7rc/ L.
Solution. In this case we use the Fourier sine series expansion of the constant
function
1= ~ t
7r n=l
1- (-l)n sin n7rS
n L
0<s<L
Thus Bn = (2/n7r)[1 - (-l)n], and the solution is

2A ~ 1- (_l)n . n7rS
y(s; t) = -;- coswt f:;: n[(n7rc/ L)2 _ w2] sm L
The series for Ys, Yss, Yt, Ytt converge uniformly for fJ ~ s ~ L - fJ for any fJ > 0,
and this implies that y(s; t) is a solution of the equation .
EXAMPLE 2.4.5. Find a particular solution of the problem Ytt-c2Ys8 = A cos wt,
satisfying the boundary conditions y(O; t) = 0 = y(L; t), where A and ware posi-
tive constants with w = N7rc/ L for some integer N.
Solution. We look for a particular solution in the form
00
y(s; t) = L An(t) sin n~s

n=l
Repeating the analysis of the previous cases, we choose An(t) as a solution of the
ordinary differential equation
n7rC) 2 1 - (-l)n
A:(t) + (L An(t) = A n coswt
If n:/; N, this is solved as before.
To solve the equation for n = N, we use the following observation. For any
Wi =1= W,
(;; + w.) cosw't = [w' - (w')'] cosw't

while
(:. + w' ) cos wt = 0
Therefore
f12 2) COS wit - cos wt I
( dt 2 + W w2 _ (W/)2 = cosw t
Taking the limit Wi ~ w, we have
. cos wit - coswt t .
11m
w'-+w w - (W')2
2
= -
2w
smwt
Thus we have the solution

1 - (-l)N t . . N1rs 2 ' " sin (n1rs/ L) 1 - (-l)n
y(Sjt) = A N -2 smwtsm- +-Acoswt L..J ( /L)2 2
W L 7r n:l;N n7rC - w n
This solution is not a periodic function of time, but oscillates with increasing
amplitude as time progresses. This is the phenomenon of resonance.
EXERCISES 2.4
1. Consider the initial-value problem for the symmetric plucked string.
2
Ytt = C YS8 t > 0, 0 < S < L
y(O; t) = 0 = y(L; t) t>0
y(s; 0) = s 0 < s 5: L/2
y(s; 0) = L - S L/2 < S < L
Yt(s; 0) = 0 0<s<L
Make a graphical representation of the solution for ct = L/4, L/2, 3L/4,
L. At what time is y(s; t) = 0 for all 0 < S < L?
2. Let y(s; t) = 2:~1 Bn cos (n1rct/ L) sin(n1rs/ L) be a solution of the vibrat-
ing string problem. Suppose that the string is further constrained at its
midpoint, so that y(L/2, t) = 0 for all t. What condition does this impose
on the coefficients Bn?
3. Let y(s, t) = 2::=1 Bn cos (n7rct/ L) sin(n1rs/ L) be a solution of the vi-
brating string problem. Suppose that the string is constrained so that
y(L/3, t) = 0 for all t. What condition does this impose on the coeffi-
cients Bn?
4. The energy of a vibrating string of tension To and density p = m/ L is
defined by
Jor
L
1 2 2
E = 2" (pyt + Toys)ds
Let
00
Y(8; t) = "" - coswnt + En

~(An - sinwnt) sin L
nn8
n=l
be a solution of the wave equation with Wn = nnc/ L. Use Parseval's
theorem to write E as an infinite series involving An, En and verify the
law of conservation of energy.
5. Let y(s; t) be a solution of the wave equation Ytt = c?Yss satisfying the
boundary conditions y(O; t) = 0 = y(L; t). By differentiating under the
integral sign, show directly that dE / dt = 0, where E is the energy defined
in Exercise 4.
6. Consider the initial-value problem for the plucked string of Example 2.4.2.
Compute the total energy corresponding to normal modes n ;f= 1 and show
that this is less than half of the total energy.
7. Suppose that 12(8), -00 < s < 00, is an odd, 2L-periodic function. Define
y(s; t) = (1/2c) fs8~~t 12(z) dz; show that y(O; t) = 0, y(Lj t) = 0 for all t.
8. Let I(s), -L < 8 < L, be a piecewise smooth function. Extend 1 to a
2L-periodic function defined for -00 < S < 00. Show that the resulting
function is piecewise smooth on every interval a < s < b.
9. Let 1(8), -L :::; s :::; L, be an odd function. Extend 1 to a 2L-periodic
function defined for -00 < 8 < 00. Show that the resulting function is
again odd.
10. Let 1(8), -00 < 8 < 00, be an odd function with the property that I(L-
8) = 1(8). Show that 1(8 + L/2) + 1(8 - L/2) = 0 for all 8.
11. Let I(s), 0 :::; 8 < L, satisfy 1(8) = I(L - s). Let y be the solution
(2.4.12) satisfying y(s; 0) = 1(8), Yt(S; 0) = O. Show that y(8, L/2e) = 0
for 0 < 8 < L.
12. Show that the Fourier series solution obtained in Example 2.4.2 converges
uniformly for 0 ~ s :::; L.
13. Consider the following initial-value problem for the wave equation Ytt =
c?Y88 for t > 0, 0 < s < L: y(Oj t) = y(Lj t) = 0 for t > 0; Y(8j 0) = 0 and
Yt(8j 0) = 1 for 0 < 8 < L.
(a) Find the Fourier representation of the solution.
(b) Find the explicit representation of the solution and graph the solu-
tion for t = 0, L/4e, L/2e, 3L/4e, L/e.
Exercises 14 to 16 are designed to review the techniques from calculus that
are used in establishing d'Alembert's formula. Recall that the fundamental
f;
theorem of calculus states that (d/dx) I(z)dz = I(x) for any continuous
function I. The chain rule for differentiating composite functions states that
(d/dx)F(G(x = F'(G(XG'(x).
14. Let 1 be a continuous function and set F(x) = foX J(z) dz. Show that
f:~~t J(z) dz = F(x + et) - F(x - et).
15. Use the chain rule and the fundamental theorem of calculus to show that
(d/dx) f:~~t J(z) dz = J(x + ct) - J(x - ct).
16. Use the chain rule and the fundamental theorem of calculus to show that
(d/dt) f:~~t J(z) dz = cJ(x + ct) + cJ(x - ct).
17. The voltage u(x; t) in a transmission cable is known to satisfy the partial
differential equation Utt + 2aut + a2 u = c2uxx , where a and c are posi-
tive constants. Let y(x; t) = eatu(x; t) and show that y satisfies the wave
equation Ytt = c'lyxx'
18. Use Exercise 17 and d'Alembert's formula to solve the initial-value problem
utt+2aUt+a2u = r?u xx for t > 0, -00 < x < 00, with the initial conditions
u(x;O) = gl(X), Ut(x;O) = O.
19. Use Exercise 17 and d' Alembert's formula to solve the initial-value problem
2
Utt + 2aut + a u = r?uxx for t > 0, -00 < x < 00, with the initial condtions
u(x; 0) = 0, Ut(x; 0) = g2(X).
20. A vibrating string with friction in a periodic force field is described by the
equation Ytt + 2aYt - c2 yss = Acoswt and boundary conditions y(O; t) =
= y(L; t), where A, a, and ware positive constants. Find a particular
solution that is also periodic in time.
2.5. Applications of Multiple Fourier Series
In this section we consider boundary-value problems in rectangular coordinates

(x, y, z) where more than one of these variables appears in the solution. This is
in contrast to the previous sections, where the solution depended on z alone. We
will solve initial-value problems for the heat equation, boundary-value problems
for Laplace's equation, and the wave equation for a vibrating membrane.
The key idea in our work is a double Fourier series. To illustrate this, we
display a double Fourier sine series,
00
'" A . m1rX . n1rY
L...J mnslllL slllL
m ,n=1 1 2
which may be used in problems involving a rectangle or column, described by

the inequalities 0 < x < L 1 , 0 < Y < L 2 Similarly, a double Fourier cosine
series is of the form 2: Amn cos (m1rx/ L 1 ) cos{n1rY/ L2). Clearly we could consider
other combinations of these, where we mix sines and cosines, for example. All
double series of this type are of the form L:m.n l/Jm{x)'l/ln(Y), where l/Jm, 'l/ln are
the eigenfunctions of a Sturm-Liouville eigenvalue problem. Accordingly, the
corresponding functions of two variables obey suitable orthogonality relations.
2.5. APPLICATIONS OF MULTIPLE FOURIER SERIES 153
For example, in the case of double Fourier sine series, we have

L21L1 sin L.
m7rX n7ry m'7rx
sin L2 sin T
n' 7ry
sin -y;; dx dy
1 o 0
_ { (L 1 L 2 )/4 if both m = m' and n = n'

- 0 otherwise
Many functions can be written as sums of multiple Fourier series. In the case
of double Fourier sine series in the rectangle 0 < x < L 1 , 0 < y < L 2 , we have
expansion formulas
00
'"' . m7rX . n7ry
f(x,y) = L.J AmnSInL SIn
m,n=1 1
L2
Amn =
4 1L2 r
LIL2 0 10
L1
m7rX n7ry
f(x, y) sin L. sin L2 dx dy
If f(x, y) is a smooth function in the rectangle, the series converges to f(x, y) for
o < x < LI, 0 < y < L 2
2.5.1. The heat equation (homogeneous boundary conditions). As
our first application of double Fourier series, we consider the heat equation in a
rectangular column 0 < x < LIt 0 < Y < L2 , with the homogeneous boundary
conditions that u = 0 on all four sides of the column, x = 0, x = L 1 , Y = 0,
Y = L 2 The separated solutions, which depend on (x, y, t), are of the form
u(x, y; t) = tPl (x)tP2(y)T(t)
Substituting in the heat equation and dividing by K u, we have
T'(t) tPr(x) ~(y)
KT(t) = tPl(X) + tP2(Y)
The left side depends on t and the right side depends on (x, y). Therefore each
side is a constant, which we call -A. Applying the same argument to the right
side, we see that both <pr/<Pl and tP~/<P2 are constants, to be called -J.Ll and -J.L2,
respectively. Therefore we have the ordinary differential equations
T'(t) + AKT(t) = 0
tP~(x) + J.LltPl(X) = 0
<p~(y) + J.L2tP2(Y) = 0
where A = J.Ll + J.L2. From the boundary conditions we must have <PI (0) = 0,
<PI (Ld= 0, 4>2(0) = 0, <P2(L2) = O. The solutions of these Sturm-Liouville
problems are <PI (x) = sin (m7rx/ Ld, J.Ll = (m7r / Ld 2, t/>2(Y) = sin(n7rY/ L2), J.L2 =
(n7r/~)2; we have T(t) = e->'Kt, where A = (m7r/Ll)2+(n7r/~)2. Thus we have
the separated solutions of the heat equation in the column, with zero boundary
conditions:
. m1rx . n1ry >. Kt
SIll-- slll-e- mn m,n = 1,2, ...
Ll L2
Am. = (~~) \ (;.:)'

The indices m, n are independent of one another. A general solution of the heat
equation with zero boundary conditions is obtained as a superposition:
00
(2.5.1) u(x
"
y' t) = ~ B sin m7rX sin n7ry e->'mnKt
L mn L L
m,n=1 1 2
We can use these to solve initial-value problems for the heat equation.
KV 2u in the column 0 < x < Lll 0 < y < L21 with the boundary conditions
u(O, y; t) = 0, U(Lb y; t) = 0, u(x, OJ t) = 0, u(x, L2 ; t) = 0 and the initial condi-
tion u(x, y; 0) = 1, for 0 < x < L 1 , 0 < y < L 2 Find the relaxation time.
Solution. We look for the solution as a sum of separated solutions (2.5.1).
The Fourier coefficients Bmn are obtained by setting t = 0 and using the initial
conditions. Thus we have
00
~ B . m7rX . n7ry
1 = L mnSIllLslDL
m,n=1 1 2
Bmn = Ll L2
4 J.L2J.Ll sm. --y;;-
0 0
m7rX . n7ry
SIll~ dx dy
4 [1- (-I)m][l- (-I)n]
=
7r 2 mn
The solution is
4 ~ 1 - (_I)m 1- (-I)n m1rX n7ry Amn, K
u(x, y; t) = - L sin - - sin - e- t
7f2 m,n=1 m n Ll L2
For each t > 0, the series for u, u x , u y, U xx , Uyy, Ut converge uniformly for 0 ~
x :5 L 1 , 0 :5 y :5 L 2 , and hence U is a rigorous solution of the heat equation. The
relaxation time is given by the first term of the series, when m = 1, n = 1. Thus
[(7f2/LD+ (7r2/L~)]KT = 1, and the relaxation time is T = L~L~/K1r2(L~+L~) .
Initial-value problems for the heat equation in a three-dimensional cube can
be handled similarly, using Fourier series in three variables. For example, if we
have the cube 0 < x < L, 0 < y < L, 0 < z < L, then we find the separated
solutions in the form sin(m1rx/ L) sin (n1rY/ L) sin{p7rz/L)e->'Kt, where (m, n,p)
are independent indices and A = (m7r/L)2 + (n7r/L)2 + {p7r/L)2. The initial
conditions determine an expansion in a triple Fourier series and hence lead to a

series solution of the initial-value problem.
2.5.2. Laplace's equation. We now turn to Laplace's equation V 2u = 0

in rectangular coordinates. To find separated solutions, we assume the form
u(x, y, z) = (/>t(X)tP2(y)tP3(Z) and substitute in V 2u = 0, with the result
o= tP~(x) + cJ>~(Y) + tP~(z)
1 (x) tP2(Y) tP3(Z)
By the methods of separation of variables, each of these must be constant, and
we have the ordinary differential equations
(2.5.2) ~(x) + J.L1tPl(X) = 0
(2.5.3) tP~(y) + J.L2cJ>2(Y) = 0
(2.5.4) ;(z) + J.L3tP3(Z) = 0
where the separation constants (J.Lb J.L2, J.La) must obey the relation J.Ll +J.L2+J.L3 = O.
To proceed further, we must know the form of the boundary conditions. The
method will become clear from the following examples.
EXAMPLE 2.5.2. Find the separated solutions u(x, y) of Laplace's equation

in the column 0 < x < L 1, 0 < Y < L2 satisfying the boundary conditions
u(O, y) = 0, U(Lb y) = O.
Solution. Since u depends on (x, y), we take J.L3 = 0, J.Ll + J.L2 = O. The
boundary conditions require that we solve the Sturm-Liouville problem tP~(x) +
J.Lll(X) = 0, <PI (0) = 0, <P1(L 1) = 0, whose solution is l(X) = sin(n7rx/L 1). Thus
J.L2 = -J.L1 = -(n7r/L1)2, and the equation for <P2 is <p~ - (n7r/Lr) 2<p2 = 0, whose
solution is t/>2(y) = Acosh(n7ry/L 1 ) + Bsinh(n7ry/L 1 ). The separated solutions
are u(x, y) = sin (n7rx/ Lt}(Acosh(n7rY/ L 1 ) + Bsinh(n1rY/ L 1 )), n = 1,2, .....
Once we have determined the separated solutions of Laplace's equation, we
may solve boundary-value problems for Laplace's equation by the methods of
Fourier series. The success of the method depends on considering one side at a
time.
EXAMPLE 2.5.3. Solve Laplace's equation in the column 0 < x < L 1 , 0 <
Y < L2 with the boundary conditions u(O, y) = 0, u(Lt, y) = 0, u(x,O) = 0,
u(x,~) = 1.
Solution. In Example 2.5.2 we found the separated solutions satisfying the
first two boundary conditions,
. n1rX ( n7ry . n7rY)
u(x, y) = sm T;- A cosh L; + B 8mh L;
The third boundary condition requires 0 = A sin n1Tx/ L 1 , 0 < x < L 1 ; hence
A = O. We look for the solution as a superposition
00
" BnsmLsm
( ) =~
ux,y
. n1TX . h Ln1Ty
n=l 1 1
The fourth boundary condition requires that

00 n1TX. n1T L2
1 = ~ Bnsm- smh--
L.., Ll Ll
n=l
which is a Fourier sine series in x. But we know the Fourier sine expansion of
2 ~ 1- (-l)n . n1TX
1 =-~ sm-
1T n=1 n Ll
and therefore
and the solution is

2 ~ [1- (-l)n]sin(n1Tx/Ll)sinh(n1Ty/Ll)
(
ux,y=-~ )
1T n=1 n sinh( n1T L2/ L 1 )
We now outline the procedure for solving Laplace's equation V 2 u = 0 in
the column 0 < x < L 1 , 0 < y < L2 with four nonzero boundary conditions:
u(x,O) = TI, u(x, L 2 ) = T2 , u(O, y) = T3, u(LI, y) = T4 Following Example
2.5.3, we can obtain U2(X, y), the solution of the problem when T I , T3 , T4 are
replaced by zero. By interchanging the roles of x and y, we can similarly obtain
U4(X, y), the solution of the problem with TI, T2 , Ta replaced by zero.
U4(X, y) = 2T4 )1 _ (_l)nJ sin (n7fY!L 2 ) sinh (n7fx/ L 2 )
7f n=l nsmh(n7fLt/L2 )
The remainder of the solution can be obtained by the substitutions x ~ Ll - x
and y ~ L2 - y; thus
U3(X, y) = 2T3 f)l _ (_l)n] sinh(n1T(L I . - x)/ L 2) sin(n1TY/ L 2)
7f n=l nsmh(n1TLI/L2)
with UI (x, y) obtained similarly. Adding these four functions gives a solution
of Laplace's equation that satisfies all four boundary conditions; thus we have
u(x, y) = Ul(X, y) + U2(X, y) + U3(X, y) + U4(X, y). This can be illustrated as in
Fig. 2.5.1.
In the preceding examples the solution of Laplace's equation in the column
o < x < L I , 0 < y < L2 was written as a sum of ordinary Fourier series.If we
consider problems in a cube, we encounter double Fourier series.
~ 0 ~ 0 0
T'DT,=oDo+oDo+T'Do+oDT'
~ ~ 0 0 0
FIGURE 2.5.1 Solution of Laplace's equation by superposition.
EXAMPLE 2.5.4. Find the separated solutions of Laplace's equation in the

cube < x < L, < y < L, < z < L satisfying the boundary conditions
u(O, y, z) = 0, u(L, y, z) = 0, u(x, L, z) = 0.
Solution. Referring to (2.5.2), we have the Sturm-Liouville problems <P~ +

J-tl <PI = 0, <P~ + J-t2<P2 = with the boundary conditions lPl (0) = 0, lPl (L 1 ) = 0,
<P2(0) = 0, lP2(L 2) = 0. Thus lPl (x) = sin(m7rx/ L 1 ), lP2(Y) = sin (n7rY/ L2),
J.1.1 = -(m7r/L 1 )2, J-t2 = -(n7r/L 2)2, and J-t3 = -(J-tl + J.L2). Thus
7r z . 7r Z r---=--~
lP3(Z) = A cosh Tvm2 + n 2 + B smh yvm2 + n 2
and the separated solutions are
m7rX . n7ry ( 7rZ _/ . 7rZ _/ )
sin sm Acoshyvm2 +n2 +Bsmh y vm2 +n2
L L
These may be used to solve a boundary-value problem, as in the case of the
rectangular column.

Solve Laplace's equation V 2u = 0 in the cube < x < L,

EXAMPLE 2.5.5.
< y < L, < Z < L, with the boundary conditions u(O, Y, z) = 0, u(L, Y, z) = 0,
u(x, 0, z) = 0, u(x, L, z) = 0, u(x, y, 0) = 0, u(x, y, L) = 1.

Solution. Proceeding as in Example 2.5.3, we take A = in the separated
solutions found in Example 2.5.4 and obtain the solution u(x, y, z) as
.!
2
E
[1- (-l)m][l- (-l)n] sin (m7rx/L) sin(n7ry/L) sinh(7rz/L)v'm2 +n2
7r m,n=l mn sinh(7rv'm2 + n 2 )
2.5.3. The heat equation (nonhomogeneous boundary conditions).
We now combine the above methods to solve initial-value problems for the heat
equation where the boundary conditions are nonhomogeneous. To do this we use
the five-stage method developed in Sec. 2.3. In stage 1 we obtain the steady-state
solution by solving Laplace's equation; this solution has been discussed above. In
stage 2 we use this steady-state solution to transform the problem to homogeneous
boundary conditions, for which the separated solutions have been obtained. In
stage 3 we form a superposition of these and use the initial conditions to find the
Fourier coefficients. In stage 4 we verify the solution, and in stage 5 we obtain
the relaxation time.
KV 2u in the column 0 < x < L 1 , 0 < Y < L21 with the boundary conditions
u(O, y; t) = 0, u(Lr, y; t) = 0, u(x, 0; t) = 0, u(x, L2 ; t) = T2 and the initial
condition u(x, y; 0) = Tl1 where Tl and T2 are positive constants.
Solution. The steady-state solution, denoted U(x, y), satisfies Laplace's equa-
tion V 2 U = 0 with the indicated boundary conditions. This was solved in Ex-
ample 2.5.3.
U(x, ) = 2T2 ~[1 _ (_l)ml sin (m7rx! L 1) sinh (m7rY/ L 1)

y 7r ~ msmh(m7rL2 /Ld
Letting v(x, y; t) = u(x, y; t) - U(x, y), we have Vt = KV2 V with v = 0 on all four
sides, while v(x, y; 0) = Tl - U(x, y). We look for v(x, y; t) as a superposition of
separated solutions with zero boundary conditions.
v(x y' t) = ~ B sin m7rX sin n7ry e->'mn Kt
" ~
m,n
mn L1 L2
The Fourier coefficients Bmn are obtained by setting t = 0; thus
00
Tl - U(x, y) = E Bmn sin (m7rx/LJ) sin (n7rY/ L 2)

m,n::::l
To obtain the required coefficients B mn , we begin with the Fourier sine expansion
of the hyperbolic sine .
. h a7rY _ 2sinha7r ~ n(_l)n+l . n7ry
~2 sm L
sm L2 - 7r n=l a + n
2
2
Letting a = mL2/ Ll and substituting in the formula for U(x, y), we have the
double Fourier sine series
_ 4T2 ~ [1- (-l)m]n(-l)nH . m7rX . n7ry
U( x, y ) - 2 ~ [2 ( L /L )2] sm L 1 sm L 2
7r m,n::::l m n + m 2 1
Likewise, the double Fourier sine expansion of Tl is
4Tl
Tl = -
Eoo
1- (_l)m 1- (_l)n . m7rX . n7ry
SlD-- SlD-
~ m n Ll ~
m,n=1
From these we can obtain Bmn as the coefficient of sin(m7rx/ L 1 ) sin(n7rY/ L2 ).
The solution of the original boundary-value problem is
00
. m7rX . n7ry ->'mnKt
~
u(x, Yi t) = U(x, y) + ~ Bmn SID Lt sm L2 e
m,n=}
For each t > 0, the series for u, uz , U zz , tty, uyy , Ut are uniformly conver-
gent for 0 < x < LlJ 0 < y < L 2 ; thus u(x, y; t) is a rigorous solution of the
boundary-value problem. The relaxation time is given by the first term of the
series, (7r 2/Lr + 7r2/L~)KT = 1 if Ell ~ O.
2.5.4. The wave equation (nodal lines). We now turn to an example
involving the wave equation. The small transverse vibrations of a tightly stretched
membrane are governed by the two-dimensional wave equation. This has the form
Utt = c2 (u xx + uyy )
where u(x, Yi t) denotes the transverse displacement of the membrane from its
equilibrium position and c is a positive constant. The membrane is supposed
to cover the rectangle 0 < x < L 1 , 0 < Y < L2 with the edges fixed; thus
u(x, Y; t) = 0 for x = 0, x = Lb Y = 0, Y = 2.
As a first step we find the separated solutions of the wave equation that satisfy
these boundary conditions. These have the form
u(x, Y; t) = 4>1 (x)cP2(y)T(t)
Substituting in the wave equation and separating variables, we have
T"(t) tPf(x) 4>~(Y)
c2T(t) = 4>1 (x) + 4>2(Y)
The left side depends on t alone, while the right side depends on (x, y); thus each
is a constant, say -A. Introducing further separation constants ILl and IL2, we
have the ordinary differential equations
T"(~) + Ac2T(t) =
tP~(x) + ILl tPl (x) =
4>~(Y) + J.L24>2(Y) = 0
with A = ILl + JL2. The boundary conditions require 4>1(0) = 0, 4>1(L 1) = 0,
4>2(0) = 0, 4>2(L2) = O. These Sturm-Liouville problems have the solutions
tPI(X) = sin(m1rx/Ld, 4>2(Y) = sin(n1ry/L2), ILl = (m1r/Lr)2, IL2 = (n1r/L2)2.
Thus A > 0, and we can write T(t) = A cos (ct v'X) + Bsin(ctv'X). We now have
the separated solutions of the rectangular membrane
(2.5.5) . -y;;-
umn(x, Yi t) = sm m1rX sm
. n1rY
L2 (A mn cos wmnt + B ')
mn sm wmnt
2 2] 1/2
(2.5.6) Wmn = C [(~~) + (~)
The constants Amn and Bmn can be chosen to fit various initial conditions by
using the superposition principle and the methods of double Fourier series.
EXAMPLE 2.5.7. Solve the initial-value problem for the vibrating membrane
with the initial conditions u(x, Y; 0) = 0, Ut(x, Yi 0) = 1.
160 2. BOUNDARY VALUE PROBLEMS IN RECTANGULAR COORDINATES
Solution. We look for the solution as a superposition of separated solutions:

~. m1rX . n1ry (A
U (x, y; t ) = L.J sm L sm L mn cos wmnt + Bmn sm' )
wmnt
m.n 1 2
Setting t = 0, it follows that 0 = L:m.n Amn sin(m1rx/ L 1 ) sin (n1rY/ L 2 ); thus

Amn = O. Differentiating and setting t = 0, we must have
~B . m1rX . n1ry
1 = L.J mnwmn sm L sm T_
m.n 1.1J2
Thus Bmnwmn = (2/1r)2Il- (-I)m][l- (-l)n]/mn, and we have found the formal
solution of the problem:
4 ~ II - (-l)mJIl - (-l)n] m1rX n1ry
u(x, y; t) = 2' L.J sin - - sin - - sinwmnt
1r m.n=1 mnwmn Ll L2
In contrast with the heat equation, the double Fourier series solutions ob-
tained do not converge sufficiently fast to verify the convergence of the series for
the various derivatives ux , U xx , u y , uyy , Ut, Utt. Therefore we usually restrict at-
tention to solutions that contain only a finite number of terms. In particular, it is
interesting to examine the separated solutions obtained previously. Indeed, these
solutions have an important physical interpretation as standing waves. The pro-
file is given by the function sin (m1rx/ L 1 ) sin(n1rY/ L 2 ). This function undergoes
a periodic oscillation with period T = 21r /wmn , owing to the time dependence
A cos wmnt + B sin wmnt. The membrane can be divided into various zones, de-
pending on the sign of u; these zones are divided by curves, which are called
FIGURE 2.5.2 Nodal lines of a rectangular membrane.

(m,n) Wmn Umn(X,y)

(1,1) (1rcIL)V2 sin (1rxl L) sin{1ryl L)
(2,1) (1rcl L)V5 sin {21rx I L) sine 1rYI L)
(1,2) (1rcIL)V5 sin (1rxl L) sin{21ryl L)
(2,2) (1rc/ L)V8 sin{21rxl L) sin (21ryl L)
(3,1) (7rc/L)VfO sin {31rxl L) sin(1ryl L)
(1,3) (1rcl L)v1O sin (1rxl L) sin(31ryl L)
(3,2) (1rcl L)Vf3 sin (31rxl L) sin (21ryl L)
(2,3) ('Trcl L)Vf3 sin (2'TrXI L) sin(3'TrY/ L)
(4,1) (1rcl L)v'f7 sin(4'Trxl L) sin(1ryl L)
(1,4) ('Trc/ L).ffi sine'TrX I L) sine 41rY I L)
TABLE 2.5.1
nodal lines. We illustrate in Fig. 2.5.2 the nodal lines for some of the separated
solutions we have just found.
We now consider in more detail the vibrating square membrane with 0 < x <
L, 0 < y < L. Thus we take Ll = L, L2 = L. The first 10 frequencies of the
separated solutions are listed in Table 2.5.1.
We distinguish between simple frequencies and multiple frequencies. For ex-
ample, Wll = (1rcl L)V2 is a simple frequency, whereas W12 = (1rcl L)J5 is a
multiple frequency, of multiplicity 2. We may obtain solutions with a more com-
plex nodal structure by taking sums of solutions corresponding to a multiple
frequency. For example,
. 1rX . 2'Try . 21rx . 1ry
U12 - U21 = sm T sm L - sm L sm T
= 2 sin 1rX sin 'Try (cos 'Try _ cos 1rX)
L L L L
Thus U12 - U21 = 0 for x = y, since the factor cos ('Try I L) - cos( 'TrX I L) = 0 on
that line. If we consider the multiple frequency W13 = ('Trcl L) v'lO, and study
the difference U13 - U3h it may be shown that this function is zero along both
lines x + y = Land y = x. These possibilities are illustrated in Fig. 2.5.3. More
complex diagrams may be obtained by considering higher values of (m, n).
FIGURE 2.5.3 Diagonal nodal lines of a square membrane.

2.5.5. Multiplicities of the eigenvalues. One may inquire as to the pos-

sibility of predicting in advance which frequencies are simple and which are
mUltiple-in particular, to determine the multiplicity of the latter. This can be
done using a number-theoretic method involving the factorization of the eigen-
value A = m 2 + n2 In order to illustrate this, we list below in Table 2.5.2 all
of the eigenvalues A ~ 100 in increasing order, together with their factorizations
and multiplicities. The sum of the multiplicities is 69, which is the number of
normal modes whose frequencies are less than or equal to 10. In addition to
the previously observed eigenvalues of mUltiplicity 2, we now observe eigenval-
ues of multiplicity 3 and eigenvalues of multiplicity 4. Indeed, the eigenvalue
A = 50 has three linearly independent eigenfunctions, corresponding to the pairs
(m, n) = (5,5), (7, 1), and (1, 7). The eigenvalue A = 65 has four linearly indepen-
dent eigenfunctions, corresponding to the pairs (m, n) = (7,4), (4,7), (8, 1), and
(1,8), while the eigenvalue A = 85 has four linearly independent eigenfunctions,
corresponding to the pairs (m, n) = (9,2), (2,9), (7,6), and (6, 7). Altogether,
there are 6 simple eigenvalues, 26 eigenvalues of multiplicity 2, 1 eigenvalue of
multiplicity 3, and 2 eigenvalues of multiplicity 4.
In order to understand the apparently erratic nature of the individual multi-
plicities, it suffices to distinguish three different sets of prime numbers that may
enter into the factorization of A:
The prime 2
Odd primes of the form 4n + 1, i.e., 5,13,17,29,37,41,53,61,73,89,97
Odd primes of the form 4n-1, i.e., 3,7,11,19,23,31,43,47,59,67,71,79,83
Inspection of the table suggests that the multiplicity is related to the number
of prime factors of the second type that occur in the factorization. For example,
the eigenvalue A = 25 = 52 is of multiplicity 2 and has only one prime, p = 5, in
its factorization, whereas the eigenvalue A = 65 = 5 . 13 is of multiplcity 4 and
has the two different primes, p = 5 and p = 13, in its factorization, leading to the
higher multiplicity. Similarly, the eigenvalue A = 85 = 5 17 is also of multiplicity
4 and has the two different primes, p = 5 and p = 17, in its factorization. For a
deeper understanding of the multiplicities, one must examine the factorization in
the domain of gav.ssian integers, which are complex numbers of the form m + ni,
where m, n = O 1, 2, .... The interested reader is referred to a book on number
theory.6
Table 2.5.2 becomes somewhat simplified when we consider the eigenvalues
of the 45-45-90 triangle. These are the numbers of the form A = m 2 + n2 with
m > n, as shown in Table 2.5.3.
The sum of the multiplicities is 31, which is the number of normal modes
whose frequencies are less than or equal to 10. In this case one sees clearly that
GG. H. Hardy and E. M. Wright, An Introduction to the Theory of Numbers, 5th ed.
Oxford University Press, Oxford, 1979.
A=W2 = m"J. + n"J. N(A) Factorization

2 = 12 + p 1 2
5 = 22 + 12 2 5
8 = 22 + 22 1 23
2
10 = 3 + 12 2 25
13 = 32 + 22 2 13
17 = 42 + 12 2 17
18 = 32 + 32 1 2.32
2
20 = 4 + 22 2 22 .5
2
25 = 4 + 3 2 2 52
26 = 52 + 12 2 2 13
29 = 52 + 22 2 29
32 = 42 + 42 1 25
34 = 52 + 32 2 2 17
37 = 62 + 12 2 37
40 = 62 + 22 2 23 .5
41 = 52 + 42 2 41
45 = 62 + 32 2 32 .5
50 = 52 + 52 3 2.5 2
2
= 7 + 12
52 = 62 + 42 2 22 .13 I
2
53 = 7 + 22 2 53
58 = 72 + 32 2 229 I
61 = 62 + 52 2 61
65 = ~+42 4 5 13
= 82 + 12
68 = 82 + 22 2 22 .17
2
72 = 6 + 6 2 1 23 .32
2
73 = 8 + 3 2 2 73
74 = 72 + 52 2 237
80 = 82 + 42 2 24 .5
2
82 = 9 + 12 2 241
85 = 92 + 22 4 5 17
= 722+ 62
89 = 8 + 52 2 89
90 = 92 + 32 2 2.32 .5
97 = 9 + 4
2 2 2 97
98 = 72 + 72 1 2.72
2
100= 8 + 6 2
2~ ,2_2.52
-
TABLE 2.5.2
A =w~ = m~ +n2 N(A) Factorization

5 = 22 + 12 1 5
10 = 32 + 12 1 25
13 = 32 + 22 1 13
17=42+12 1 17
20 = 42 + 22 1 22 .5
25 = 42 + 32 1 52
26 = 52 + 12 1 2 13
29 = 52 + 22 1 29
34 = 52 + 32 1 2 17
37 = 62 + 12 1 37
40 = 62 + 22 1 23 .5
41 = 52 + 42 1 41
45 = 62 + 32 1 32 .5
50 = ~ + 12 1 2.52
2
52 = 6 + 4 2 1 22 .13
53 = 7 + 22
2
1 53
58 = 72 +32 1 229
61 = 62 + 52 1 61
65 = 72 +42 2 5 13
= 82 + 12
68 = 82 + 22 1 22 .17
73 = 8 +3
2 2 1 73
74 = 72 + 52 1 237
80 = 82 + 42 1 24 .5
82 = 92 + 12 1 241
85 = 92 +22 2 5 17
= 72 + 62
89 = 82 + 52 1 89
2
90 = 9 + 3 2
1 2.32 .5
97 = 9 +4
2 2 1 97
100= 82 + 62 1 22 .52
TABLE 2.5.3
the only multiple eigenvalues are those that are products of distinct primes of the
form 4n + 1.
2.5.6. Implementation with Mathematica. One can use Mathematica
to obtain three-dimensional graphs of the rectangular drumhead. We apply the
command Plot3D to the formula (2.5.5) with A = 1, B = 0, Ll = L2 = 7r, and
c = 1, so that
Vmn(X, y; t) = sin mxsin ny cos(v'm2 + n 2 t)
This is written in Mathematica as
To obtain a three-dimensional graph of the solutions described in Fig. 2.5.2, we

define a plot-valued function with
vv[m_,n_,t_]=Plot3D[Sin[m x]Sin[n y]Cos[Sqrt[mA2+nA2]t],

{x,O,Pi},{y,O,Pi},PlotPoints->40]
To obtain a three-dimensional graph of the solutions described in Fig. 2.5.3, we

define
vV[m_,n_,t_]=Plot3D[(Sin[m x]Sin[n y]-Sin[n x]Sin[m y])*

Cos[Sqrt[m~2+n~2]t],{x,O,Pi},{y,O,Pi},PlotPoints->40]
The examples in Fig. 2.5.4 are obtained by typing the commands
vv[l,2,O] vv[2,2,O]
vv[l,4,O] vv[2,5,O]
vV[l,2,O] vV[1,4,O]
2.5.7. Application to Poisson '8 equation. Poisson's equation \1 2 u = - p

is very similar to Laplace's equation. We look for a particular solution U that does
not necessarily satisfy all of the boundary conditions. The function v = u-U then
satisfies Laplace's equation with some new boundary conditions. The solution v
can be found by the above method for Laplace's equation. We illustrate with a
simple example.
EXAMPLE 2.5.8. Find the solution of Poisson's equation \1 2 u = -1 in the
rectangle 0 < x < L 1 , 0 < y < L2 satisfying the boundary conditions that u = 0
on all four sides of the rectangle.
Solution. A particular solution depending on x alone satisfies U xx = -1;
thus U(x, y) = !x(L l - x) satisfies the equation and the boundary conditions at
x = 0, x = L 1 The function v = u - U satisfies Laplace's equation \1 2 v = 0 with
the boundary conditions that v = 0 when x = 0, x = Ll and v = -~X(LI - x)
when y = 0, y = L 2 This is sought as a series of separated solutions in the form
~ n7rX ( n7r(L2 - y) n7rY )
v(x,y) = ~SIDL An smh L +Bnsinh
n=1 1 1 L1
166 2. BOUNDARY. VALUE PROBLEMS IN RECTANGULAR COORDINATES
FIGURE 2.5.4 T hree-dimensional grap hs of the rectangular drumhead.

2.5. APPLICATIONS OF MULTIPLE FOURlER SERIES 167
To satisfy the remaining boundary conditions, we must have

1 ~A . n7rX . h n7r L2
-2x(Ll - x) = L...J nsmLsm ~
n=l 1 1
1 ~B . n7rX . h n7rL2
-2x(Ll - x) = L...J nsmLsm ~
n=l 1 1
3
The Fourier series of x(L l - x) is (8Lr/ 7r 3) Lnodd n- sin (n7rx/ Ld. Equating
coefficients gives
for n odd and An = 0, En = 0 for n even. This leads to

__ 4Li """' sin (nll"x/ Ld [. h nll"y . h n7r(L2 - y)]
v (x, y ) - 3.L...J 3 ' h( L IL) sm L + sm L
11' n odd n sm nll" 2 1 I 1
Combining this with the Fourier series for U, we may write the solution of Pois-
son's equation as a single series in the form
(
U
) _ 4L~ """' -3 . ~
x, y - 11'3 L...J n sm Ll
[2 _
sinh (nll"Y/ L 1 ) + sinh(n7r(L2 - y)1 L 1 )]
sinh (nll"L2/ L 1 )

nodd
We now compare this with another method of solution.
EXAMPLE 2.5.9. Find the solution of Poisson's equation V 2 u = -1 in the
rectangle 0 < x < L 1 , 0 < y < L2 in the form of a double Fourier sine series
IX)
~ A . mll"X . n7ry
u (X,y ) = L...J mnsmLsmL
m,n=l 1 2
Solution. The indicated sine products form a complete set of functions in

the rectangle and satisfy the required boundary conditions. Therefore it remains
to satisfy Poisson's equation. For this purpose we write
2
VU=U:z::z:+U 1l1l = L00
m,n=l
Amn [()2
L + (L )2] smLsm L
m7r
1
m7rx . n7ry
n7r
2
.
1 2
The Fourier series of the constant function is

1 = -4 """' 1 . m7rX . n7ry
L...J - s m - - s m -
7r m,nodd mn Ll L2
The two series will be equal if and only if we choose
4
Amn = mn7r[(m7r / Ld 2 + (nll" / L2)2]
It is interesting to compare the two forms of the series solution obtained for
Poisson's equation. In the first example, the nth term of the series for v(x, y)
tends to zero at the exponential rate, where the exponent is the larger of e- mTY / Ll
and e- n7r (L2-Y)/ Ll In the second case, the double Fourier series tends to zero
at an algebraic rate, according to 1/mn(m2 + n 2). The series for ux, Uxx , u y, u yy
converge at an even slower rate. Thus, for the purposes of numerical computation,
the first series is superior to the second series.
EXERCISES 2.5
1. Solve the initial-value problem for the heat equation Ut = KV 2 u in the

column 0 < x < L 1 , 0 < y < L2 with the boundary conditions u(O, y; t) =

0, u x(LlI y, t) = 0, u(x, 0; t) = 0, uy(x, L2;t) = and the initial condition
u(x, y; 0) = 1. Find the relaxation time.

column 0 < x < LlI < y < L2 with the boundary conditions u(O, y; t) =

0, U(Lb Yi t) = 0, uy(x, 0, t) = 0, uy(x, L 2; t) = and the initial condition
u(x, y; 0) = 1. Find the relaxation time.
3. Find separated solutions of Laplace's equation V 2 u = 0 in the column
ux(Lby) =
< x < LlI < y < L2 satisfying the boundary conditions ux(O, y) = 0,
0.
4. Solve Laplace's equation V 2u = 0 in the column 0 < x < L 1 , 0 < y < L2
with the boundary conditions ux(O, y) = 0, ux(Lt, y) = 0, u(x,O) = 0,
U(X,L2) = x.

5. Solve Laplace's equation V 2 u = 0 in the column < x < L 1 , < y < L2
with the boundary conditions ux(O, y) = 0, Ux(Ll, y) = 0, u(x,O) = 0,
u(x, L 2 ) = 1.

6. Solve Laplace's equation V 2u = 0 in the column < x < L 1 , < y < L2
with the boundary conditions ux(O, y) = 0, Ux(Lb y) = 0, u(x,O) = Tll
u(x, L 2 ) = T2 , where Tl and T2 are constants.

7. Find separated solutions of Laplace's equation V 2 u = in the cube < x <

L, < y < L, 0 < z < L satisfying the boundary conditions u(O, y, z) = 0,
ux(L, y, z) = 0, u(x, 0, z) = 0, Uy(x, L, z) = O.
8. Find the separated solutions of Laplace's equation V 2 u = 0 in the cube

< x < L, < y < L, < z < L satisfying the boundary conditions
ux(O, y, z) = 0, ux(L, y, z} = 0, Uy(x, 0, z) = 0, Uy(x, L, z} = 0.
< z < L with the boundary conditions

9. Solve Laplace's equation V 2u = 0 in the cube < x < L, < y < L,
u(O,y,z) = 0
uy(x, L, z) = 0
ux(L, y, z) =
u(x,y,O) =0
u(x,O,z) =
u(x,y,L)= 1

10. Solve Laplace's equation V 2 u = 0 in the cube 0 < x < L, 0 < Y < L,
o < z < L, with the boundary conditions
uz(O, Y, z) =0 uz(L, Y, z) = 0 uy(x, 0, z) = 0
uy(x, L, z) = 0 uz(x, Y, 0) = 0 u(x,y,L) = 1
column 0 < x < L 1 , 0 < y < L2 with the boundary conditions uz(O, Y; t) =
0, uz(Lt, Yi t) = 0, u(x, 0; t) = T}, u(x,~; t) = T2 and the initial condition
u(x, Y; 0) = T3, where T I , T2 and T3 are constants.
12. Solve the initial-value problem for the heat equation Ut = KV 2u in the
square column 0 < x < L, 0 < Y < L with the boundary conditions
u(O, Yj t) = 0, u(L, Yj t) = 0, u(x, 0; t) = 0, u(x, Lj t) = Tl and the initial
condition u(x, Y; 0) = O. Find the relaxation time.
13. Solve the initial-value problem for the vibrating membrane in the square
o < x < L, 0 < Y < L with u(x,yjO) = 3 sin (-rrx/L) sin (27ry/L) +
4sin(37rx/L)sin(57ry/L), Ut(x,y;O) = O.
14. Find the separated solutions of the wave equation Utt = c2 (u zz + U yy ) in the
square 0 < x < L, 0 < y < L with the boundary conditions uz(O, y; t) = 0,
uz(L, y; t) = 0, uy(x, 0; t) = 0, uy(x, L; t) = q and the initial conditions
u(x, y; 0) = O.
15. Find the first 10 frequencies of the separated solutions found in Exercise 14.
16. A vibrating membrane in the shape of an isosceles right triangle covers the
region 0 < Y < x < L. Show that U mn - U nm satisfies the wave equation
with zero boundary conditions, where m < nand U mn is given by (2.5.5)
with LI = L 2
17. Find the first 10 frequencies of the separated solutions found in Exercise 16.
18. Solve the initial-value problem for the wave equation on the isosceles right
triangle 0 < y < x < L with zero boundary conditions and the initial
=
conditions u(x, Y, 0) = 0, Ut(x, y, 0) 1.
19. Consider a vibrating membrane covering the equilateral triangle 0 < y <
=
xJ3,o < y < v'3(L-x). Let d 1 = Y, d2 = ~(xv'3-y), d3 ~[v'3(L-x)-y]
be the distance from the point (x, y) to the ith side of the triangle, i =
1,2,3. For n = 1,2, ... let
. 47rnd 1 47rnd2 47rnd3 )
un(x, y; t) = ( sm ~ + sm -r.f" + sm ---;:;; coswt
Lv3 Lv3 Lv3
Show that Un satisfies the wave equation with zero boundary conditions if
w is suitably chosen. (Hint: To check the boundary conditions you may
use the fact that d 1 + d2 + d3 = L=/3/2.)
20. Let n = 1 in Exercise 19. Show that if Ul(X, Yj 0) = 0 and d 1 > 0, d2 > 0,
then d3 = O.
21. Use Exercise 20 to show that Ul (x, y; 0) # 0 inside the equilateral triangle.
22. Let n = 2 in Exercise 19. Show that U2(X, y; 0) = 0 along the lines d1 =
L.../3/4, ~ = L.../3/4, d3 = L.../3/4 and draw a diagram.
23. Let n = 3 in Exercise 19. Plot the nodal lines along which U3(X, y; 0) = O.
24. In Example 2.5.6 compute Bu. Show that Bll = 0 if and only if 2Tt/ = Lr
T2/(L~ + L~). Show that, for a square column, this is the statement that
the initial temperature is the average of the boundary temperatures.
25. Find all of the eigenvalues ,,\ = m 2 + n 2 in the range 101 < ,,\ ~ 200 and
their multiplicities for the square 0 < x < 1r, 0 < y < 1r corresponding to
the boundary conditions that u = 0 on all four sides.
26. Find all of the eigenvalues ,,\ = m2 + n 2 in the range 101 < ,,\ ~ 200 and
their multiplicities for the 45-45-90 triangle 0 < x < y < 7r, corresponding
to the boundary conditions that u = 0 on all four sides.
27. Find all of the eigenvalues ,,\ = m2 + n 2 in the range 0 ::S ,,\ ~ 100 and
their multiplicities for the square 0 < x < 7r, 0 < y < 7r corresponding to
the boundary conditions that the normal derivative au/an = 0 on all four
sides.
CHAPTER 3
CYLINDRICAL COORDINATES
INTRODUCTION
In this chapter we consider boundary-value problems in regions with circular

or cylindrical boundaries. Section 3.1 is devoted to Laplace's equation in a circle,
which can be solved in terms of trigonometric Fourier series. Then we develop
the properties of Bessel functions in Sec. 3.2, in order to solve more complicated
problems. These problems include the vibrating drumhead, in Sec. 3.3, and heat
flow in a cylinder, in Sees. 3.4 and 3.5.
3.1. Laplace's Equation and Applications

3.1.1. Laplacian in cylindrical coordinates. As a first step we express
the Laplacian \7 2 in cylindrical coordinates. Recall the equations of transforma-
tion between rectangular and cylindrical coordinates:
(3.1.1) x = pcoscp
(3.1.2) y = psincp
(3.1.3) z =z
These are simply polar coordinates in the xy plane, where we have saved the more
conventional letter r for the three-dimensional distance and the more conventional
letter () for the three-dimensional polar angle in Chapter 4.
Let u(x, y, z) be a smooth function and U(p, cp, z) the corresponding function
in cylindrical coordinates: U(p, cp, z) = u(pcoscp,psincp,z). We wish to express
u zz + u yy in terms of the partial derivatives Upp, Uf.{)f.{)' Up, Uf.{)'
We begin with the chain rule for partial derivatives:
u
z
= au = au ap + au acp
ax ap ax acp ax
au au ap au acp
uy = By = {)p By + acp By
171
172 3. BOUNDARY-VALUE PROBLEMS IN CYLINDRICAL COORDINATES
Therefore we must determine ap/ax, acp/ax, ap/ay, acp/ay. From (3.1.1) and
(3.1.2) we have p2 = x 2 + y2, so that
ap ap
2Pax = 2x 2P
ay
= 2y
which are solved to yield
ap x ap y .
-=-=coscp - = - =smcp
ax p ay p
Differentiating both sides of (3.1.2) with respect to x, we have
ap. acp
O = ax smcp + pcoscp ax
. acp
= cos cp sm cp + Pcos cp ax
acp sin cp
ax
= ---
p
Differentiating both sides of (3.1.1) with respect to y, we have
ap . acp
o= ay
-coscp - psmcp-
ay
. . acp
= smcpcoscp - psmcp ay
coscp
=
p
Therefore we can express the action of the partial derivative operators a/ax and
a/ ay in cylindrical coordinates as
au au sin cp au
(3.1.4) = coscp- - - -
ax ap p acp
au . au coscp au
(3.1.5) ay = sm cp ap + -p- acp
Next we apply them again to obtain
fPu 2 (flU 2 cos cpsin cp au 2sincpcoscp a2u
(3.1.6) ax2 = cos cp ap2 + p2 acp - p ap8cp
2 2
sin cp au sin cp a u 2
+----+----
p ap p2 acp2
a2u . 2 a2u 2 sin cp cos cp au 2 sin cp cos cp {}2U
(3.1.7) ay2 = sm cp ap2 - p2 acp + p apacp
cos cp au cos2 cp a2U
2
+----+----
P ap p2 acp2
3.1. LAPLACE'S EQUATION AND APPLICATIONS 173
Adding (3.1.6) and (3.1.7) gives

8 2u 8 2u 8 2U 1 8U 1 8 2U
- +
8x 2 8y2
- = -
8p2
+ - -
P 8p
+ --
p2 8cp2
so that the Laplacian becomes
2 {PU 1 au 1 a2 u a2 u
(3.1.8) V u = 8p2 + P7iP + fj 8cP2 + (h2
EXAMPLE 3.1.1. Compute V 2[X(X 2 + y2)3].
Solution. The function u = x(x2 +y2)3 is expressed in cylindrical coordinates
as U = p7 cos cpj we have Up = 7p6 cos cp, Upp = 42ps cos cp, Uvxp = - p7 cos cpo
Therefore, the Laplacian is given by V 2u = 48p5 cos cp = 48x(x2 + y2)2 .
The correspondence u ~ U produces a smooth function U(p, cp, z) for every
smooth function u(x, y, z). But many smooth functions of (p, cp, z) do not arise
in this manner. For example, U = p is a function of (x, y, z), but it is not
smooth since the partial derivative 8p/8x is undefined at p = O. The example
U = cp does not correspond to a smooth function of (x, y, z) since cp changes by
21r when we make a 3600 rotation about the z-axis and return to the same point.
These theoretical difficulties need not hinder us in our work if we check that each
solution we obtain in cylindrical coordinates corresponds to a smooth function of
(x,y,z). For example, U = pncosncp can be written as a polynomial in (x,y) if
n is an integer and therefore is a smooth functionj if n is not an integer, U is not
a smooth function of (x, y). With these precautions in mind, we now formulate
and solve some boundary-value problems in cylindrical coordinates. By abuse
of notation, we write the solution as u = u(p, cp, z), assumed to be a smooth
function of (x, y, z).
3.1.2. Separated solutions of Laplace's equation in p, cpo As our first

application of (3.1.8), we obtain separated solutions of Laplace's equation in
cylindrical coordinates, defined for p > 0, -1r :5 cp :5 1r, and independent of
z. Assuming a solution of the form u(p, cp) = R(p)CI>(cp) , we substitute in the
equation V 2 u = 0, with the result
1 1
o= u pp + pup + p2 u",,,,
= R" CI> + !p R' CI> + .!..

p2
RCI>"
Dividing by Rep and multiplying by ~, we have
0=p2 If' + (1/p)R' 4>"

+_
R ep
174 3. BOUNDARYVALUE PROBLEMS IN CYLINDRICAL COORDINATES
The first term depends only on p and the second only on tp; therefore both are
constant. This leads to the ordinary differential equations
(3.1.9) 4>" + A4> = 0, 4>{ -7r) = 4>{7r), 4>' {-7r) = 4>'{7r)
nI, 1 nI A
(3.1.10) IT. +-IT.
p
--R=O
p2
where A is the separation constant. 4> must satisfy the indicated periodic bound-
ary conditions because u is supposed to be a smooth (single-valued) function
of (x, y). The solution to the Sturm-Liouville problem (3.1.9) was obtained in
Sec. 1.6 with the result
4>{ tp) = Am cos mtp + Bm sin mcp m = 0,1,2, ...
Equation (3.1.10) is a form of Euler's equidimensional equation. For m -:f:. 0,
it has solutions R(p) = pm, p-m; for m = 0, the solutions are R(p) = 1, lnp.
Combining these, we get the following separated solutions of Laplace's equation:
pm (Am cosmtp + Bm sin mtp) m = 1,2, ...
(3.1.11) u(p, cp) = Ao + Bo lnp m= 0
{ p-m(Cmcosmtp + Dmsinmcp) m = 1,2, ...
One may note that the first set of solutions correspond to smooth functions of
(x, y). These polynomial solutions of Laplace's equation are listed in the following
table.
m pmcosmtp pm sin mcp

0 1 0
1 x Y
2 x2 _ y2 2xy
3 x 3 - 3xy2 3xy2 _ y3
4 X4 _ 6x 2y2 + y4 4x3y - 4xy3
The logarithmic solution and the solutions containing negative powers are not
smooth functions of (x, y), since they become infinite when p ~ O. Nevertheless
they may be used to solve boundary-value problems in the exterior of a circle or
cylinder.
3.1.3. Application to boundary-value problems. In the following two

examples we consider boundary conditions that do not depend upon tp.
EXAMPLE 3.1.2. Find the solution of Laplace's equation in the region PI <
P < /J2, with the boundary conditions U(PI) = T I , u(/J2) = T2, where TI and T2
are constants. Solve for the average temperature u{p) = (T1 + T2 ) /2.
Solution. Since the boundary conditions are independent of cp, we use the
previous separated solutions with m = O. Thus
u(p) = Ao + Bo lnp
To satisfy the boundary conditions, we must have
T} = Ao + Bo In PI
T2 = Ao + Eo In P2
Solving these simultaneous linear equations yields
T2 - TI lnpl
Eo = In(P2/PI) Ao = Tl - (T2 - T I ) In(P2/ PI)
The solution can be written in the form
In(p/ PI)
u(p) = TI + (T2 - Td In(P2/ PI)
= Tl In(P2/ p) + T2 In(p/PI)
In(fJ2/PI) In{P2/PI)
This example shows that the average temperature is not assumed at the average
= =
radius P ~(PI + P2) but instead at the geometric mean P (PIP2)1/2. Indeed,
U((PIP2P/2) = TI + ~(T2 - T 1 ) = ~(TI + T2)'
In many problems of practical interest, it is required to compute the steady-
state flux.
EXAMPLE 3.1.3. Two concentric cylinders of radii PI = 1(} cm and P2 = 50

cm are maintained at the temperatures TI = 1000 G and T2 = 00 G. find the steady-
state flux from the outer cylinder if the conductivity is k = 0.35 calls-cm-oG.
Solution. The flux is given by
au -k T2 - Tl
-k 8piFP2 = -p; In(P2/pd
= (0.35)(100)/(50 In 5) = 0.435 cal/s-cm2
We now use separation of variables to solve the boundary-value problem for

Laplace's equation when the boundary values depend on cpo We have the problem
211
pup + p2 u"''''
V u = u pp + = 0, PI < P < P2, -7r ~ cp ~ 1r
U(Pl, cp) = Tl (cp) - 1r ~ cp ~ 7r
u(P2, cp) = T2(CP) - 1r ~ cP ~ 1r
Tl (cp) and T2 (cp) are piecewise smooth functions that give the temperature on the
inner and outer cylinders. We will obtain the solution of Laplace's equation in
the form
00
(3.1.12) u(p, cp) = Ao + Bo In P + L pm (Am cos mcp + Bm sin mcp)

m=l
00
+ Lp-m(Cmcosmcp + Dm sin mcp)

m=l
To satisfy the boundary conditions, we must have
00
Tl (cp) = Ao + Bo In PI + L (p'{' Am + Plmcm) cos mcp

m=l
00
+ L (p'{' Bm + Pl mDm) sin mcp

m=l
00
T2(CP) = Ao + Bo InP2 + L(pi Am + P2" mc m) cosmcp

m=l
00
+L (pi Bm + p2"m Dm) sin mcp

m=l
Using the orthogonality of the functions {l,cosmcp,sinmcp}, we can obtain
the coefficients by the Fourier formulas.
-2
1
1r
1" -11'
Tl(CP)dcp = Ao + Bolnpt
1111' T2(CP)dcp
21r -11' = Ao + Bo InP2
~ 171" Tt(cp) cos mcp dcp = P"!:' Am + pimCm m = 1,2, ...

1r -71"
.!.111' T2(CP) cosmcpdcp = pi Am + P2" mCm m = 1,2, ...
1r -11'
.!.111'
1r
Tl(CP) sin mcp dcp = p,,!:,Bm + PlmDm
-11'
m = 1,2, ...
.!.111" T2(CP) sin mcpdcp = pi Em +P2 mDm m = 1,2, ...
1r -11"
These simultaneous equations can be solved to obtain the coefficients Am, Bm,
Cm,Dm.
EXAMPLE 3.1.4. Solve Laplace's equation in the cylinder 1 < P < 2 with the
boundary conditions u(l,cp) = 0 and u(2,cp) = 1 if 0 < cP < 1r and u(2,cp) = -1
if -1r < cp < O.
Solution. In this case the six equations become Ao + Bo In PI = 0, Ao +

B o lnfJ2 = 0, Am + C m = 0, 2mAm + 2- mC m = 0, Bm + Dm = 0, 2mB m +
2- mD m = 2[1 - (-1)m]/m7r. This gives Ao = 0, Bo = 0, Am = 0, Cm = 0,
Bm = -Dm = 2[1 - (-1)m]/m7r(2m - 2-m). The solution is
2 00m _ -m 1 _ (_l)m
u(p cp) = - ~ Pm P m sinmcp 1 < P < 2, -7r :s; cp :s; 7r
, 7r L-, 2 - 2- m
m=l
3.1.4. Regularity. It is not difficult to show that the formal solution (3.1.12)
of Laplace's equation is indeed a smooth function. To simplify the writing, we
consider the case PI = 0, when we solve the problem in the interior of the cylinder
o ~ P < fJ2. The formal solution is
00
(3.1.13) u(p, () = Ao + E pm(Am cos mcp + Bm sin mcp) O<P<fJ2
m=l
where P'r Am and P'r Bm are the Fourier coefficients of the boundary function
T(cp), -7r < cp < 7r. This function is piecewise smooth and therefore bounded by
a constant M. This means that we must have
m= 1,2, ...
Therefore the terms of the series (3.1.13) are no larger then 4M(p/ fJ2)m. But this
is the general term of a convergent series for P < fJ2. This also shows that the
series (3.1.13) is uniformly convergent for 0 :s; P :s; Po, where Po is any number
less than fJ2. Furthermore, each term in the series pm cos mcp and pm sin mcp is a
smooth function of (x, y). The partial derivatives are easily found to be
a
ax (pmcosmcp) = mpm-l cos(m - l)cp
! (pm sin mcp) = mpm-l sin(m - l)cp

The general term of the series for au/ax is no larger than (4Mm/R)(p/fJ2)m-l.
Therefore this series is also uniformly convergent for 0 :s; P ~ Po, where Po is any
number less than fJ2. Continuing in this way, we see that the series for U xx , u y ,
u yy are uniformly convergent, and therefore we can differentiate term by term
and verify that u satisfies Laplace's equation.
3.1.5. Uniqueness of solutions. The solution of Laplace's equation in a
bounded region is unique. To be specific, suppose we have two solutions Ul,
U2 of Laplace's equation V u = 0 in the region 0 ~ p < R, with the same
2
boundary values uI(R, cp) = u2(R, cp) for -7r :s; cp :s; 7r. The function u = UI - U2
satisfies Laplace's equation V 2 u = 0 in the region 0 :s; p < R, with boundary
value u(R, cp) = O. We may apply Green's theorem i(M dx + N dy) = ff{Nx -
My)dx dy, where the line integral is taken over the circle p = R and the double
integral is taken over the disc p < R, with M = -uu y, N = uU x ' The line integral
is zero, since u = 0 on the circle, while the integrand in the double integral is
Nx-My = (uux)x+(uuy)y = UU xx + (u x)2+uuyy + (Uy)2 = U(Uxx+Uyy )+ (u;+u;).
The first parenthetical term is zero since V 2 u = 0, and we are left with 0 =
ff(u; + u;)dxdy. Both u; and u; are nonnegative, and their integrals are zero;
hence they must both be zero. This means that u(x, y) must be a constant. But
u = 0 on the circle, which proves that Ul = u2-the desired uniqueness result.
3.1.6. Exterior problems. The separated solutions of Laplace's equation
can be used to solve boundary-value problems in the exterior of a cylinder. Sup-
pose that we wish to determine the solution u(p, <p) of Laplace's equation V 2 u = 0
for p > R satisfying the boundary condition u(R, <p) = T(<p) , a given piece-
wise smooth function. We require in addition that the solution be bounded:
lu(p, <p) I ::; M for some constant M; otherwise we may have nonuniqueness. For
example, the function UI (p, <p) = 1 + (p/ R) cos Rand Ul (R, <p) = 1. The function
U2(P, <p) == 1 also satisfies Laplace's equation with the same boundary values.
EXAMPLE 3.1.5. Find the bounded solution of Laplace's equation V 2 u = 0 in
the exterior p > R satisfying the boundary conditions u(R, <p) = 1 if 0 < <p < 1r,
u(R, <p) = -1 if -1r < <p < O.
Solution. To ensure boundedness, we take a sum of separated solutions of
the form 00
u(p,<p) = Ao + LP-n(Ancosn<p + Bn sin n<p)

n=l
To satisfy the boundary conditions, we must have An = 0, R-n Bn = (2/n1r)[1 -
(-I)n]. The solution is
u(p,<p) = ~f)l- (-ltl npn

1r n=1
IF sinn<p
3.1.7. Wedge domains. Often we encounter boundary-value problems for

Laplace's equation in a wedge domain, of the form 0 < p < R, 0 < <p < (l', where
(l' < 21r. In this case the separated solutions are still of the form pR(A cos n<p +
Bsin n<p), but n is no longer necessarily an integer. The allowed values of n will
depend on the wedge opening a and the nature of the boundary conditions that
are imposed at <p = 0, <p = (l'.
EXAMPLE 3.1.6. Find the solution of Laplace's equation in the wedge domain
o< p < 1, 0 < <p < (l' satisfying the boundary conditions u(p, 0) = 0, u(p, a) = 0
for 0 < p < 1, and u(l, <p) = 1 for 0 < <p < a.
Solution. For the separated solutions pn (A cos n<p + B sin n<p) the boundary
conditions at <p = 0 and <p = a require that A = 0, sin na = O. Therefore
n = m1r/a for m = 1,2,3, .... To satisfy the boundary condition at p = 1, we
try a sum of separated solutions: u(p, cp) = E:=1 B mpm7r jli sin mmp/a. We must
have 1 = 2::=1 Bm sin m7rcp/a, 0 < cp < aj therefore Bm = (2/m7r)[l- (-l)m].
The solution is u(p,cp) = (2/7r) E:=I[I- (_l)m]m-lpm7rjli sin m7rcp/a .
3.1.8. Neumann problems. In all of the preceding applications we have

solved Laplace's equation with Dirichlet boundary conditions, meaning that the
value of u(R, cp) is given. We can also solve problems with Neumann boundary
conditions where 8u/8p = G(cp) is a given piecewise smooth function. This
problem features nonuniqueness: if u(p, cp) is a solution, then u(p, cp) + C is also
a solution for any constant C. To ensure a unique solution, we may require
(i) that u = 0 when p = 0 or (ii) that f:'1f u(p, cp)dcp = O. In addition G(cp)
must satisfy the condition f:'1f G(cp)dcp = o. This is not too surprising since the
solutions of Laplace's equation represent steady-state temperature distributions
and 8uj8p = G(cp) is proportional to the flux across the boundary of the cylinder.
It is natural to expect that, in steady state, the total flux across the boundary is
zero.
To solve Neumann problems for Laplace's equation in the cylinder 0 $ p < R,
we try a sum of separated solutions of the form
00
u(p, cp) = Lpn (An cos ncp + En sin ncp)

n=l
The boundary conditions require that n.nn- 1 An and nRR-l Bn are the Fourier
coefficients of the piecewise smooth function G(cp), -7r < cp < 7r.
EXAMPLE 3.1.7. Find the solution of Laplace's equation in the cylinder 0 <
p < R and satisfying the Neumann boundary condition 8u/8p = 1 for 0 < cp < 7r
and 8u/8p = -I for -7r < cp < o.
Solution. The solution is sought in the form u(p, cp) = E~=lpn(An cosncp +
Bn sin ncp). The boundary conditions require that An = 0 and nRn- 1Bn =
(2/n7r)[1 - (_l)n]. The solution is
3.1.9. Explicit representation by Poisson's formula. We have obtained

the Fourier representation of the solution of Laplace's equation in the cylinder
o $ p < R by means of formula (3.1.13). We now show that this can be converted
to an explicit representation, the Poisson integral formula. To do this, we recall
Ao = 2~ i:
the formulas for the Fourier coefficients, written with the integration variable ?jJ:
T(.p)d.p
R Am = ;rI1tr
m
-tr T() cos m d m= 1,2, ...
I1tr
RmBm = :; -tr T(?jJ) sin m?jJ d?jJ m=1,2, ...
We transform the expression Am cos mrp + Bm sin mrp by writing

1r R m(Am cos mcp +
= i:Bm sin mrp)
T(.p) (cos m.p cosmcp + sin m.p sin mcp)d.p
Substituting this in (3.1.13), we have

i: T(.p) cosm(.p - cp)d'I/J m = 1,2, ...
u(p, '1') =~{ T(.p) [~+ ~ (~r cosm(.p - '1')] d.p, O~p<R.
The inner sum was evaluated in the exercises for Sec. 1.5, with the result
1 00 (p) m R2 _ ,;
2+ ~ R cosm(?jJ - rp) = 2[R2 + p2 - 2pRcos('l/; - cp)]
This gives the Poisson integral formula
(3.1.14)
~----------------------------------------------~
R2 _ p2
u(p, rp) = (21r)-1 J~7T R2 + p2 _ 2Rpcos('l/; _ rp) T(?jJ)d'l/; O~p<R
The Poisson integral formula has some important theoretical consequences for
solutions of Laplace's equation. We list these facts in the form of a proposition.
PROPOSITION 3.1.1. Let u(p, rp) be a solution of Laplace's equation in the

cylinder 0 ~ p < R, represented by the Poisson integral formula (9.1.14), where
T('l/;) is a given continuous function for -1r ~ 'l/; ~ 1r. Then
1. u(p,cp)lp=o = (21r)-1 J~trT()d1fJ, the average ofT.
3. If u(Po, CPo) = max_ tr :5t/1:511'T(1fJ) for some Po < R, -1r ~ CPo ~ 1r, then
u(p, cp) is a constant for all 0 ~ p ~ R, -1r ~ cP ~ 1r.
Proof. Taking p = 0 in the Poisson integral formula gives property 1. To

prove properties 2 and 3, let M = max- 1r <t/J<1r T('l/J); integrating the uniformly
convergent Fourier series ~ + ~':=l (pi R)n cos n('l/J - cp) term by term for -'ff :5
1/1 :5 11", we see that the total integral of the Poisson kernel is 1. Thus for any
(p, cp) we have
R2 - p2
l
1r
2'ff[M - u(p, cp)] = -1r [M - T('l/J)] R2 + p2 _ 2Rpcos('l/J _ cp) d'l/J

The integrand is a nonnegative continuous function for -11" ~ 1/1 ~ 11". Therefore
M - u(p, cp) ~ 0, and we have proved 2. If this is zero for some (Po, CPo), then
the integrand must be zero for all 'l/J; thus T('l/J) = M for all 'l/J, -11" ~ 'l/J :5 'ff.
Referring back to Poisson's formula, we see that u(p, cp) = M for all 0 :5 p < R,
-11" :5 cp S 11"
EXERCISES 3.1
In Exercises 1 to 5 use formula (3.1.8) to compute the indicated quantities.

1. \72(p4 cos 2cp)
2. \72(p2 cos 2cp)
3. \72 (pn), n = 1,2, ...
4. \72 (pn cosmcp), m, n = 1,2, ...
5. \72(eP cos cp)
6. Which of the functions in Exercises 1 to 5 corresponds to a smooth function
of (x, y)?
7. Show that formula (3.1.8) can be written in the form
2 2
\72u = !~ (p 8U) + ~ 8 U + 8 U2
P 8p 8p p2 8cp2 8z
8. Let u = fe/x2 + y2), where J is a smooth function. Show that \7 2u =
fit + (11 p)f' = (1/ p)(pJ')'.
9. Use Exercise 8 to find the general solution of the equation \72J(p) = O.
10. Use Exercise 8 to find the general solution of the equation \7 2 J(p) = -1.
11. Find the solution of the equation \7 2 J(p) = 0 satisfying the boundary
conditions f(l) = 3, J(2) = 5.
12. Find the solution of the equation \7 2 J(p) = -1 satisfying the boundary
conditions J(I) = 0, J(2) = 1.
13. Find the solution u(p, cp) of Laplace's equation in the cylinder 0 ~ p < R
satisfying the boundary conditions u( R, cp) = 1 + cos 2cp + 3 sin 3cp, -'ff S
cp 5; 1r.
14. Find the solution u(p, cp) of Laplace's equation in the cylindrical region
1 < p < 2 satisfying the boundary conditions u(l,cp) = cos2cp, u(2,cp) = 1
for -11" S cp S 11".
15. Find the solution u(p, cp) of Laplace's equation in the cylindrical region
1 < P < 2 satisfying the boundary conditions u(l, cp) == 0, u(2, cp) = 0 for
-7r < cp < 0 and u(2, cp) = 1 for 0 < cp < 7r.
16. Find the bounded solution of Laplace's equation in the exterior of the
cylinder P > R satisfying the boundary condition u( R, cp) = 3 + 4 cos 2cp +
5 sin 3cp, -1r ~ cp ~ 1r.
17. Let u(p, cp) be the bounded solution of Laplace's equation in the exterior of
the cylinder p > R with the boundary condition u(R, cp) = G(cp), a given
piecewise smooth function. Show formally that
1 111'
u(p, cp) ~ 21r -11' G(cp)dcp when p~ 00
18. Find the separated solutions of Laplace's equation in the wedge domain
o < p < 1, 0 < cp < 1r /2 satisfying the boundary conditions u(p, 0) = 0,
u(p, 1r /2) = O.
19. Use the separated solutions found in Exercise 18 to solve Laplace's equation
in the wedge domain 0 < p < 1, 0 < cp < 7r /2 with the boundary conditions
u(p,O) = 0, u(p, 1r /2) = 0 for 0 < P < 1 and u(l, cp) = 1 for 0 < cp < 7r /2.
20. Find separated solutions of Laplace's equation in the wedge domain 0 <
p < 1, 0 < cp < 1r satisfying the boundary conditions u",(p,O) = 0,
u!p(p,1r) = 0 for 0 < p < 1.
21. Use the separated solutions found in Exercise 20 to find the solution of
Laplace's equation in the wedge domain 0 < p < 1, 0 < cp < 7r satisfying
the boundary conditions u!p(p,O) = 0, u!p(p,7r) = 0 for 0 < p < 1 and
u(l, cp) = cp(1r - cp) for 0 < cp < 7r.
22. Let
In p -inpi
u(p) = TI + (T2 - Td I I
nP2 - npl
be the solution of Laplace's equation in the cylindrical region PI < p < P2.
(a) Show that u(p) ~ T2 if PI ~ 0 and p is a fixed number with
0< p ~ P2.
(b) Show that u(p) ~ Tl if P2 ~ 00 and p is a fixed number with
p ~ Pl
23. Let u(p, cp) be the solution of Laplace's equation in the cylinder 0 ~ p ~ R
with the boundary condition u(R, cp) = T if 0 < cp < 7r and u(R, cp) = 0 if
-1r < cp < O.
(a) Show that u(p,O) = ~T for 0 ~ p < R.
(b) Show that u(p,7r/2) = ~T+ (2T/7r) tan- I p/R for 0 ~ p < R.
24. Let u(p, cp) be a solution of Laplace's equation in the cylinder 0 ~ p < R
represented by the Poisson integral formula (3.1.14) with 0 ~ G(cp).
3.2. BESSEL FUNCTIONS 183
(a) Show that
RR - P u(O, <p) ~ u(p, <p) ~ RR + p u(O, <p)

+p -p
(b) Use the inequality to prove that
1 aul 2
Uap
1 p:::O S R
25. Find the solution of Laplace's equation in the cylinder Pl < P < P2 sat-
isfying the boundary conditions au/8p + h2(U - T2 ) = 0 at p = P2 and
8u/ap - hI (u - Td = 0 at P = Ph where h), h2' T l , T2 are positive con-
stants.
26. Find the solution of Laplace's equation in the region 0 ~ P < R satisfying
the (Robin) boundary condition
au
8p (R, <p) + h(u(R, <p) - T(<p)) = 0
where h > 0 and T(<p) is a piecewise smooth function with Fourier series
00
T(l/ = ao + L(an cos n<p + bn sin n<p)

n=l
3.2. Bessel Functions

To treat more general boundary-value problems in cylindrical coordinates, we
need to study the properties of Bessel functions. The reader may be familiar
with many properties of Bessel functions from previous work in ordinary differ-
ential equations. In this case much of this section can be read quickly and used
for later reference when we study the applications to boundary-value problems.
Our treatment, which requires no previous knowledge of Bessel functions, is es-
pecially designed for the applications to boundary-value problems in cylindrical
coordinates in this chapter and for applications to boundary-value problems in
spherical coordinates in Chapter 4. For these applications, the important facts
about Bessel functions are contained in Proposition 3.2.6 and the examples that
follow.
3.2.1. Bessel's equation. Bessel functions originate as solutions of the fol-
lowing equation containing three parameters (d, A, Jl):
(3.2.1) Iy" + (d - 1) ~ + ex - $) y = 0 I
The parameters are assumed to satisfy the restrictions d ~ 1, Jl ~ O. Because
of their typical origins, we call the parameter d the dimension, the parameter A
=
the eigenvalue, and the parameter Jl the angular index. The special case A 0 is
the Euler equidimensional equation. For solutions in cylindrical coordinates we

shall need d = 2, while for solutions in spherical coordinates we shall need d = 3.
For solutions with circular symmetry in cylindrical coordinates we take p, = 0,
whereas for solutions without circular symmetry in cylindrical coordinates we
shall need p, = m 2 = 1,4,9, .... The corresponding solutions in spherical coordi-
nates require p, = k(k + 1) = 2,6,12, .... An extremely special but prototypical
case of (3.2.1) is the familiar equation y" +AY = 0, which is the case d = 1, P, = O.
3.2.2. The power series solution of Bessel's equation. The Bessel equa-
tion becomes singular at p = 0; therefore we cannot expect two linearly indepen-
dent solutions that remain bounded when p ~ O. There is always one solution
that remains bounded when p ~ O. To find it, we will follow the method of
Frobenius and look for the solution as a power series
00 00
(3.2.2) y = p'YL:anpn = L:anpn+'Y

n=O n=O
where 'Y, ao, al,'" are to be determined. To find these, we substitute the series
(3.2.2) into (3.2.1) and rewrite the result as a single power series. Thus
00
(3.2.3) y' = L:(n + 'Y)anpn+'Y- 1

n=O
00
(3.2.4) y" = L:(n + 'Y)(n + 'Y - 1) anpn+'Y- 2

n=O
y" + d - 1 y' _ .!!:.. y = t[(n + 'Y)(n + 'Y + d - 2) - J.L] anpn+'Y- 2

p p2 n=O
In order for this to be equal to the series for - AY, the two series must agree,
term by term. The series for >..y begins with the power p'Y, while the above series
begins with p'Y-2. Therefore we must have
(3.2.5) o= ('Y('Y+d-2)-p,)ao
(3.2.6) o= ((l+'Y)('Y+d-l)-p,)al
(3.2.7) o = ((n+'Y)(n+'Y+d-2)-J.L)an+Aan-2 n=2,3, ...
We obtain a nonzero solution by taking
ao =f:. 0,
(3.2.8)
The exponent "'{ is nonnegative and is the largest root of the indicial equation
2) - /-L = 0, from (3.2.5). To determine an, n 2:: 2, we use the indicial
"'{("'{ + d -
equation to write
(n + "'{)(n + "'{ + d - 2) - /-L = n(n + 2"'{ + d - 2)
Thus (3.2.7) becomes
n(n + 2"'{ + d - 2)an + 'xan-2 = 0, n=2,3, ...
at = 0 requires a3 = 0 = as = ... , while
-,X
a2 = 2(d + 2"'{) ao
-,X -,X
2(d + 2"'{) 4(d + 2"'{ + 2) ao
( _,X)n
-2(~d-+-2-"'{-:-)4~(d-+-2",{-+"";"2-:-).-.-.2-n-:""(d":""'+-2"'{-+-2n----:"'2) ao n= 1,2, ...
Hence we have obtained the sought-after function,

,X)n 2n ]
(3.2.9) y(p) = aop7 [ 1 + ~ 2(d + 2'Y)4(d + 2'1 +-2).:' 2n(d + 2'1 + 2n - 2)
00 (
We may check convergence of the series (3.2.9) by the ratio test. The ratio of
two consecutive terms is a2n+2p2n+2/a2np2n = -,Xp2/(2n + 2)(d + 2"'{ + 2n). For
any p this tends to zero when n ~ 00. Therefore the series (3.2.9) converges for
all p. By a similar use of the ratio test, it may be shown that the differentiated
series (3.2.3), (3.2.4) converge for all p. This convergence is uniform on all finite
intervals, and therefore we may differentiate the series term by term and verify
that (3.2.9) is a solution of Bessel's equation.
In case d = 2 and .Jii = m is an integer, there is a standard choice of ao,
which we shall adopt. From (3.2.8) we see that 'Y = m; therefore the formula for
a2n simplifies to
2(2 + 2m)4(4 + 2m) 2n(2n + 2m)

n = 1,2, ...
( -,X)nao
= 22nn!(1 + m) (n + m)
We follow established usage and choose ao = 1/m!2m, ,X = 1. This leads to the
definition
(3.2.10)
This may also be written in the form

00 (_I)nx2n+m
(3.2.11) Jm(x) = ~ 2m+2n(m + n)!n!
If m is not an integer, we define m! = 10 tme- t dt, a convergent improper integral
00
for m > -1. This is often denoted by r(m + 1), the so-called gamma function.
Integration by parts shows
r(m+ 1) = I."" tme-'dt
= _ I."" t m d(e-')
= I."" tm-1e-'
m dt
= mf(m)
The fundamental property of factorials is preserved: (m + I)! = (m + l)m! for
m > -1. We now define the Bessel function Jm(x) for arbitrary m > -1 by
formula (3.2.10). The series converges for all x and is a solution of the Bessel
equation (3.2.1) with d = 2, ;\ = 1. The formula (3.2.11) is also valid for arbitrary
m> -1, since the factorials have the property (m + n)! = (m + n) (m + l)m!
for n = 0, 1,2, ... and arbitrary m > -1.
EXAMPLE 3.2.1. Find the power series solution of the Bessel equation with
d = 2, J.L = 0, ;\ > O.
Solution. In this case we have 'Y = 0,
(_A)n
a2n = 22n (n!)2 ao
The solution is
~ (-A)nao 2n
yep) =~ 22n(n!)2 p
(_I)n(pJX)2n
= ao t1
00
22n(n!)2
= aoJo(p/X)
EXAMPLE 3.2.2. Find the power series solution of the Bessel equation with
d = 3, J.L = 0, A > O.
Solution. From (3.2.8) we have 'Y = -~ + ~ = 0,

(-A)nao
~n = 2.3.4.5 ... 2n(2n + 1)
The solution is
00 (->.) naOp2n
y(p)
= ~ (2n+ I)!
an 00 (_1)n(py'X)2n+l
= p../X ~ (2n + I)!
sinp~
= ao-~~
p~
In this example the solution of Bessel's equation is an elementary function .
In case d ;f; 2 the general solution (3.2.9) can be expressed in terms of the
standard Bessel function J m for a suitable value of m provided that>. > O.
PROPOSITION 3.2.1. Suppose that>. > O. Then the power series solution
{9.2.9} is related to J m by
where
d- 2 / (d - 2)2
m="Y+ -2- = YJ1.+ 4
Proof. With this choice of m, the denominator of (3.2.9) is
2(d + 2"Y)4 2n(d + 2"Y + 2n - 2) = 2(2 + 2m)4(4 + 2m) 2n(2n + 2m)
= 22nn!(1 + m)(2 + m) ... (n + m)
which is precisely the denominator of (3.2.10). The numerator is (->.rJ)n =
( -1)n (pVA)2n. Dividing by p'Y completes the identification .
In some problems we encounter Bessel's equation with>' < O. To treat such
problems, we define the modified Bessel junction by
Im(x) =i-mJm(ix) = 2::! [1+ ~22nn!(1 +~~ .. (n+m)]

where i is the imaginary unit, i 2 = -1. Im(x) is a real-valued function.
EXAMPLE 3.2.3. Find the power series solution oj Bessel's equation with
d = 2, m = 0, >. = -c'2 < O.
Solution. We have "Y = 0,
The solution is
00 _2n
~ C-aO 2n
y = ~22n(n!)2 p
= ao1o(cp)
3.2.3. Integral representation of Bessel functions. In many problems

the power series is not the most efficient representation of Bessel functions. For
example, if we wish to determine the asymptotic behavior of Jm(x) when x ~ 00,
the power series provides no useful information. For these purposes we will prove
the following integral formulas:
(3.2.12) m = 0,1,2, ...
In other words, imJm(x) is the mth Fourier coefficient of the complex function
o~ eixcos (). Since we know that Jm is a real function, the imaginary part of this
integral is zero, and we can obtain an equivalent real form. For example, when
m = 0, we can write
Jo(x) = 27r
1 j7r cos(x cos 0) dO
-1r
To prove (3.2.12), we expand ei:z:cos 8 in a power series.
eixcos () = f: (ix cos o)n

n=O n!
For a fixed x, this series converges uniformly for -7r ~ 0 ~ 7r. When we multiply
by e- im9 , we still have uniform convergence, and we can therefore integrate term
by term, with the result
This integral was worked out in Sec. 1.5, where we found a nonzero value only
for m + n even, 0 ~ m + n ~ 2n, in particular n 2:: m. For fixed m, the nonzero
coefficients are obtained when n = m, m + 2, m + 4, . . .. Introducing a new
summation variable j through the equation n = m + 2j, we have

_1 l1r eixcosge-im8d(J = L 00
zx )m+2j -1 l1r (cos (J)m+23e- ,mfJ d(J
(.
21r -1r 3=0 (m + 2j)! 21r -1r
=
00 (ix)m+23
~ em + 2j)! 2m+23
1 (m + 2j)
j
00 (ix)m+23
= ~ 2m+21j!(m + j)!
m m
00 (2)3
-x
= z x L
3=0
2m +23 j!(m + j)!
= imJm(x)
This completes the proof of (3.2.12).
EXAMPLE 3.2.4. Show that IJm(x)1 ~ 1 for m = 0,1,2, ....
Solution. The function elXcosge-lmfJ has absolute value 1. Therefore the
integral (3.2.12) has absolute value no greater than 1.
We will now prove a differentiation formula. Beginning with the integral
2","" J:' (x) = 1:

representation (3.2.12), we have
e"" cos 9 e-;mO i cos 0 dO
= ~1: e""COS9(e-(m-I)9 + e-;(m+I)9)dlI m = 0,1,2, ...
If m 2: 1, we may use (3.2.12) to rewrite this as

21ri mJ:n(x) = ~[21rim-l Jm- 1(x) + 21rim +1 Jm+1(x)]
Thus we have proved the differentiation formula
(3.2.13) ,J:n(x) = ~[Jm-l(X) - Jm+1(x)] m = 1,2, ... ,
If m = 0, we use (3.2.12) to write
271"( J~ + J1)( x) = 1: (i cos 0 e'" cos 8 - ie-;8 e;" cos 8)dO
= -11r sin (J elX cos 8d(J

=
=0
1: -1r
sin 0 cos(x cos 9)dlI
where we have used the fact that the integral is real and the final integrand is an
odd function of (), -7r < () < 7r. Thus
(3.2.14) J~(x) = -J1 (x)
We now use integration by parts to find another useful formula, known as the
recurrence formula. From (3.2.12) we have
27rim Jm(x) = l1T eIZC089de-~mIJ m= 1,2, ...

-1f -~m
lm6 1f
= eix cos 6 _e-_._ 1 _ _1 171" eix cos 8x sin (}e -im8 dB
= --
x l -tm
1f

etX cos 6
-71' m_1T
e- t (m-l)8 - e- t (m+1)8
dB
m -'IT 2i
ix [27rim - 1Jm - 1(x) - 27rim +1 Jm +1 (x)J
=
2m
In the second line we have used periodicity to discard the first term. Therefore
we have the recurrence formula
(3.2.15) m=1,2,1
This formula allows us to compute Jm + 1 in terms of Jm and Jm - 1 Combining this
with (3.2.10) and (3.2.11), adding, and subtracting, we obtain the differentiation
formulas
(3.2.16) J:n(x) + m Jm(x) = Jm-1(x) m = 1,2, ...
x
(3.2.17) J:n(x) - m Jm(x) = -Jm+ 1(x) m = 0,1,2, ...
x
Using the integrating factors xm, these can be rewritten in the form
(3.2.18) ![XmJm(x)] = x mJm_1 (x) m = 1,2 ...

d
(3.2.19) dx[X-mJm(x)] = -x-mJm+l(x) m=0,1,2 ...
These formulas can be used to reduce certain integrals that occur in the
normalization of the Bessel functions. For example, with m = 1 we have
d
dx (xJd = xJo
Integrating this for 0 ~ x ~ R, we have
RJ,(R) = f.R xJo(x)dx

3.2.4. The second solution of Bessel's equation. Since Bessel's equation

becomes singular at p = 0, we cannot expect two linearly independent solutions in
the form of power series. Let Yl (p) = L::'o anpn+1' be the sol ution found above.
To find the second solution Y2(P), we use the method of reduction of order: let
v = Y2/Yl and find a first-order equation satisfied by v. Thus
Y~ = vY~ + V'YI
Y~ = vy~' + 2v'Y~ + v"Yl
Assuming Y2 is a solution, we must have
d-l J.L)
o= Y2
II
+ -p- I (,
Y2 + /\ - p2 Y2
= V
" d -1,
[Yl + -p- Yl + (\/\ - J.L) Yl
p2 1+ 2v Yt + v Yl + -p-
I I d -1 (' Yl )
"
V
We require that v be a solution of the equation

d-l Yl )
v" Yl + V , ( 2YlI + -p- =0
This is a first-order linear equation for Vi, which may be solved with the integrat-
ing factor Ylpd-l. Thus we obtain a solution by writing
(y? pd-l Vi)' = 0
Y~ pd-lv' = c =F 0
v(p} = l y~;_1 dp
The second constant of integration gives a multiple of Yl and hence is omitted.
The integration begins at p > 0 since the integrand becomes infinite when
p ~ O. To see this, recall that Yl (p) ,...., p1', P ~ O. Therefore Yt pd-l ,...., ,r'Y+ d - l
From (3.2.8),
2'1 +d - 1= 2{1_~ +[( ~ _1) 2+ 1/2} +d - 1 I']
= 1+2[(~-lr+l'r
This is greater than or equal to 1, and hence the integral for v(p) diverges when
p~O.
To study this more precisely, we consider separate cases. If d = 2 and J.L = 0,
then 'Y = 0 and we have
dp
1
1
v(p) ,...., c - = -clogp
p p
192 3. BOUNDARY-VALUE PROBLEMS IN CYLINDRlCAL COORDINATES
(3.2.20) Y2{P) = V{P)Yl{P) ~ -clogp, p-+O d = 2p. = 0

If d =F 2 or p. =F 0, then 2")' + d - 1 > 1 and
p2-2-y-d
v(p) ~ c2 _ 2")' _ d P -+ 0
But Yl (p) ~ p'Y, P -+ O. Therefore
(3.2.21) Y2(P) ~ cp-('Y+ d - 2 ) P -+ 0 d> 2 or p. >0
But ")'+ d - 2 = (d/2 -1) + [1-'+ (d/2 _1)2]1/2, which is positive if d > 2 or d = 2,
I-' #- o.
To summarize, we have found a second, linearly independent solution of
Bessel's equation
(3.2.22)
and Y2(P) becomes infinite when p -+ 0 according to (3.2.20), {3.2.21}.

3.2.5. Zeros of the Bessel function Jo For this purpose we write the
series for Jo in the form
x2 00 {x4P X4P+2}
Jo(z) = 1 - 4" + ~ 24p [(2p)!)2 - 24p+2[(2p + 1)1)2
X2 x 4p [ x2]
1- 4" + ~ 24p[(2p)!)2 1- 4(2p + 1)2
00
=
If 0 ~ x S 2, all of the terms in the summation are positive since
x 2 ~ 4 < 4(2p + 1)2 P = 1,2, ...
Therefore we have the inequality
x2
Jo(x) > 1- 4"
In particular Jo(2) > o.
On the other hand, we may write the series in the form
x2 X4 00 {X4P+2 X4P+4}
Jo(z) = 1- 4" + 64 - ~ 24P+2[(2p + 1)1]2 - 24.+4[(2p + 2)!)2
X2 X4 X4p+2 ( X2)}
= 1 - 4" + 64 - ~
00 {
24P+2[(2p+ 1)1]2 1- 4(2p + 2)2

If 0 S x ~ 3, all of the terms in the summation are positive, since
X2 ~ 9 < 4(2p + 2)2 p = 1, 2, ...
Therefore we have the inequality

X2 X4
JO(X) < 1 - - + -
4 64
In particular Jo(2V2) < 1 - ~ + ~ = O.
Now we can apply the intermediate-value theorem. J o is a continuous function
with J o(2) > 0 > Jo(2V2). Therefore Jo(x) = 0 for some x with 2 < x < 2V2.
But Jo(x) > 0 for 0 < x < 2. Therefore we have proved that the smallest solution
Xl of the equation Jo(x) = 0 satisfies 2 < Xl < 2V2 = 2.828.
The zeros of Jo have been computed numerically. The first five are listed in
the following table, together with the successive differences.
n Xn Xn+l - Xn
1 2.404
2 5.520 3.116
3 8.654 3.134
4 11.792 3.138
5 14.931 3.139
Using this information, it is possible to sketch a graph of the function y = Jo(x).
(See Fig. 3.2.1.)
3.2.6. Asymptotic behavior and zeros of Bessel functions. Solutions

of the Bessel equation (3.2.1) in case A > 0 can be expected to behave asymptot-
ically like trigonometric functions. This can be understood either (i) as p -+- +00
~------~------~~------~~~----~~------x
FIGURE 3.2.1 Graph of the Bessel function y = Jo(x).

or (ii) as A -7 +00. In either limiting case the Bessel equation resembles the sim-
ple harmonic equation y" + AY = 0, whose solutions are trigonometric functions
if A> O.
To see this in detail, we begin by removing the first derivative term in (3.2.1)
by defining the new function z(p) = p(d-l)/2 y (p). A straightforward computation
shows that z satisfies the differential equation
(3.2.23) z" + (\ - ~) z = 0, c = J.L + (d - l)(d - 3)/4
The second reduction consists of defining an amplitude A(p) and a phase 9(p) by
means of the equations
(3.2.24) ~z(p) = A(p) sin 9(p), z'(p) = A(p) cos9(p)

Computing the required derivatives reveals
2
(3.2.25) 9'( ) = -IX _ Csin 8
p p2.J).
A'(p) Csin9(p)cos9(p)
(3.2.26) =
A(p) p2.J).
It will be shown that asymptotically 9(p) behaves as a linear function and A(p)
behaves as a constant function. This is embodied in the following proposition.
PROPOSITION 3.2.2.
1. Suppose that yep) is a solution of {3.2.1} with fixed parameters d ~ 1, Jl ~ 0,
A > 0, defined for p > O. Then there exist constants A oo , 900 so that when p --7 00
9(p) = p~ - 900 + 0(1/ p), A(p) = Aoo + 0(1/ p)

In particular,
p(d-l)/2 y (p) = Aoo sin(p~ - ( 00 ) + 0(1/ p)
(p(d-l)/2 y (p))' = v'XAoo cos(p~ - ( 00 ) + 0(1/ p)

2. Suppose that d ~ 1, J.L ~ 0 are fixed parameters and that y = yep, A) is the
solution of the Bessel equation (3.2.1) with initial conditions y(Po, A), y'(Po, A),
where Po > O. Then for any fixed p > Po we have, when A -+ 00,
9(p, A) = 9(Po, A) + ~(p - Po) + O(l/~)

A(p, A) = A(Po, A) + 0(1/v'X)
In particular,
p(d- l l/2 y (p, A) = A(Po) sin (0(1'0) (Jx)

+ (p - Po)v'X) + 0
(p(d- l l/2 y (p, A' = A(Po)v'Xcos (0(1'0) + (p - Po)v'X) + 0 (Jx)
Proof. To prove the first statement, we integrate (3.2.25) on the interval

(Po, p) to obtain
(3.2.27) (J(p) - (J(Po) = ~(p - Po) - ~

vA
l
PO
P
sin
2
U
~(u) du
The integral tends to a limiting value when p -t 00 with an error 0{1/ p), which
proves the asymptotic form of (J(p). Similarly, (3.2.26) is integrated to obtain
(3.2.28) A(p) = A(Po) exp U~ CSino~:>;;so(u) dU)

The integral in the exponent tends to a finite limit, with remainder (1/p), which
proves the asserted form of A(p). To prove the second statement, we return to
(3.2.27), noting that the integral term is O(l/../X), so that the form of (J(p, A)
follows immediately. Similarly, reference to (3.2.28) yields the form of A(p, A) .
The preceding asymptotic formulas contain two constants, the asymptotic am-
plitude Aoo and the asymptotic phase (Joo' They depend on the specific solution,
as well as the parameters (d, A, J.l). [In Chapter 6 we shall make an exact de-
termination of these constants for the power series solutions Jm(x) of the Bessel
equation with d = 2.]
We can use the above methods to determine the zeros of solutions of the
Bessel equation (3.2.1).
PROPOSITION 3.2.3.
1. Suppose that y(p) is a solution of (3.2.1) with fixed parameters d ~ 1, J.l ~ 0,
A > 0, defined for p > O. Then there exist PI < P2 < ... < Pn -t 00 so that
Y(Pn) = O. They further satisfy the asymptotic behavior Pn+l - Pn -t Tr/.fX when
n -+ 00.
2. Suppose that d ~ 1, J.L ~ 0 are fixed parameters and that y = y(p, A) is
the solution of Bessel's equation (3.2.1) with initial conditions Y(po, A), y'(Po, A)
where Po > O. Then for any P > Po there exist Al (p) < A2(p) < ... < An(P) -+ 00
so that y( An (p), p) = 0 for n ~ 1. They further satisfy the asymptotic behavior
JAn+! (p) - JAn(p) -+ 1r /(p - Po) when n -+ 00.
Proof. We note from (3.2.24) that the zeros of z(p) occur precisely when
sin(J(p = 0, or equivalently 8(p) = nTr for some n = 1,2, ....
In case 1, we can solve the equation 8(Pn) = n7r, since P -+ O(p) is unbounded
when P -+ 00. From Proposition 3.2.2, the successive zeros satisfy
7r = 8(Pn+l) - (}(Pn)
= v'X(Pn+l - Pn) + 0(1/ p}
hence Pn+! - Pn -+ 7r /...;1, as required. In case 2, we note that (}(p, A) depends
continuously on A and increases to +00 when A -+ 00. Therefore we can uniquely
solve the equation (}(p, A) = n7r to uniquely determine An = An(P), The successive
zeros satisfy
7r = 6(p, An+!) - 6(p, An)
= VA
n+l(P - Po) - A(p - po) + 0(1/v'X)
from which the result follows .
Remark. The preceding method of proof yields precise information on the spac-
ing of the zeros of the Bessel function Jm(p). Setting A = 1, d = 2, J.L = m 2 , we
have C = m 2 - (1/4), and (3.2.27) reads
p
sin20(u)
O(p) - (}(Po) = (p - Po) - (m2
Evaluating this at two consecutive zeros Pn
- (1/4
< Pn+l yields

l
Po u
2 du
pn +l sin2 (}(u)
Pn+l - Pn = 'Tr + (m2 - (1/4)
lPn U
2 du
In particular, if m 2 > 1/4, then Pn+l - Pn > 'Tr. If m 2 < 1/4, then Pn+l - Pn < 'Tr,
while if m 2 = 1/4, then Pn+1 - Pn = 'Tr. For example, the spacing between the
successive zeros of Jo(p) is less than 'Tr.
By specializing to the case d = 2, A = 1, we can state a result that summarizes
the computations.
PROPOSITION 3.2.4. The equation Jm(x) =0 has infinitely many positive
solutions {x n }, n = 1,2, .... They satisfy
lim
n-+oo
Xn = 00
lim (Xn+l - xn)
n-+oo
= 'Tr
In many problems it is important to have information about the zeros of
cos (j Jm(x) + sin (j xJ:n(x), where 0 < {j ::; 'Tr /2.
PROPOSITION 3.2.5. For any 0 < (j::; 'Tr/2, the equation cos{j Jm(x)+sin{jxJ:n(x)
has infinitely many positive solutions {x n }, n = 1,2, .... They satisfy
(3.2.29) lim Xn
n-+oo
= 00
(3.2.30) lim (xn+1 - x n)
n-+oo
= 'Tr
Proof. We use the phase plane representation JXJm(x) = R(x) sin 8(x),
(JXJm)'(x) = R(x)cos8(x). The equation cos{3Jm(x) + xsin{3J:n(x) = 0 is
equivalent to
1 - cot {3
(3.2.31) cot8(x) = .::..2_ __
X
From the graph of the cotangent function it is seen that (3.2.31) has a unique
solution Xn satisfying n7r < 8(xn) < (n+ 1)7r. Furthermore, 8(xn) -n7r --+ 0 when
n --+ 00. On the other hand, 8(xn+d - O(xn) = 7r + O(l/n). Combining these, we
have proved (3.2.29) .
3.2.7. Fourier-Bessel series. In many problems it is important to expand
a given function in a series of the form E:=l AnJm(XXn) , where m is a fixed
positive number and {Xn} are determined from a suitable boundary condition.
The boundary condition might be Jm(xn) = 0 or J:n(x n) = 0, or that some linear
combination of these equals zero. To study series of this type, we first derive the
orthogonality properties of the functions Jm(xxn).
PROPOSITION 3.2.6. Let {xn} be the nonnegative solutions of the equation
(3.2.32) cos{3 Jm(Xn) + sin {3xnJ:n(X n) = 0
where m ~ 0 and 0 ~ {3 ~ 7r /2. Then
(3.2.33) /.' Jm(xx )Jm(xx.,)xdx = 0
(3.2.34) /.1 Jm(xx.)2x dx = ~Jm+I(X.)2 if {3 = 0
2
+ 2cot2 2 {3)Jm(Xn)2
(3.2.35)
1 o
1 J {
m XXn
)2
x
dx _ (x; - m
-
Xn
Proof. If y(x) = Jm(xxn), then Y'(x) = xnJ:n{xxn). In this notation the
;1
iJ 0 <
(3
~
/
7r 2
equation for Xn becomes cos{3y{l) + sin (3y'(1) = O. The Bessel equation can be
rewritten in the form
(3.2.36) (xY')' + (xx~ _ :2) Y = 0
Taking y = Yl(X) = Jm(xxn1 ) and multiplying by Y2(X), we obtain, upon integra-

tion by parts,
y;(1)Y2(1) - f.' xy;(xM(x) dx + [ (xx~. - ::) YI(X)Y2(X) dx =0

Interchanging the roles of Yl and Y2 and subtracting the resulting equations leaves
(U;Y2 - YI!h) 1.=1 + (x!. - x!,) [ XYI (X)Y2(X) dx = 0

198 3. BOUNDARY-VALUE PROBLEMS IN CYLINDRlCAL COORDINATES
But (3.2.32) requires that the first term be zero; hence the second term is also
zero. But X;l - X;2
=1= 0; therefore we conclude that the integral is zero, which
was to be shown. Thus we have proved (3.2.33).
To compute the integrals (3.2.34), we multiply (3.2.36) by xy' to obtain
(3.2.37) [(xy')2], + (X~X2 - m 2)(y2)' = 0
Integrating (3.2.37) for 0 < x < 1 and integrating the second term by parts, we
have
(3.2.38)
If /3 = 0, the boundary condition is y(l) = 0, which gives

2x; I.' xy(xfdx = Y'(1)2 = x;J:"(Xn)2 = x!Jm+'(Xn)2
To handle the case 0 < /3 ::; 7r /2, solve for y'(I) in the form y'(I) = - cot /3y(I).
Substituting this in (3.2.38), we have
2x; /.' xy(x)2dx = Y(1)2(eot2(J + x; - m2 )
Noting that y(l) = Jm(xn), we have the required form .

These orthogonality relations permit us to compute the coefficients in the
expansion of a piecewise smooth function f(x), 0 < x < 1, in a series of the form
00
(3.2.39) f(x) = LAnJm(XXn) O<x<1

n=l
where {x n } are the nonnegative solutions of cos/3 Jm(x) +sin/3xJ:n(x) = o. This
is called a Fourier-Bessel expansion. To obtain {An}, we proceed formally; we
multiply the equation by Jm(xxn) and integrate with respect to the weight x dx
from 0 to 1. This gives the formula
(3.2.40) I.' f(x)Jm(xxn)x dx = An I.' Jm(xxn)2x dx n = 1,2, ...

We state without proof a theorem concerning this expansion. 1
THEOREM 3.1. Let m ~ 0, 0 ::; /3 ::; 7r/2, and let {x n : n ~ I} be the
nonnegative solutions of {3.2.32}. If f(x), 0 < x < I, is a piecewise smooth
junction, define {An: n ~ I} by (3. 2.4 O}. Then the series E:=lAnJm(xxn)
converges for each x, 0 ::; x ::; I, and the sum is k[J(x + 0) + f(x - 0)] if
O<x<1.
lSee H. F. Weinberger, A First Course in Partial Differential Equations, Ginn, Blaisdell,
Waltham, MA, 1965, pp. 176-178.
One may note that the sum of the series will have the value /(0 + 0) at x = O.
It is important to note under what conditions we may have Xl = O. Since
y(x) = Jm(XXl) must be nonzero, this implies that 0 =I Jm(O), that is, m = O. We
must also have the boundary condition cos (3Jm (O) = 0, which requires f3 = 7r /2.
Conversely, the function y = JO(XXI) is a solution of the Bessel equation satisfying
the boundary condition cos {3Jo(xd + sin,BxI JMxt} = 0 if Xl = O. We record this
as a proposition.
PROPOSITION 3.2.7. If m > 0 or {3 =I 7r/2, then Xn > 0 for all n 2: 1. 1/

m =0 and f3 = 1r/2, then Xl = 0 and Xn > 0 for all n ~ 2.
We now pass to some concrete examples of Fourier-Bessel expansions.
EXAMPLE 3.2.5. Compute the Fourier-Bessel expansion a/the/unction /(x) =

1, 0 < X < 1, where m = 0, {3 = O.
Solution. We have 2:n=l AnJo(xxn), where JO(xn) = 0 and
n = 1,2, ...
To compute the first integral, we use (3.2.18) with m = 1. With the substitution
t = XX n, we have
The integral fol JO(xxn)2x dx was already shown to be ~Jl (xn)2, by (3.2.34). The
required expansion is
O<x<l
EXAMPLE 3.2.6. Compute the Fourier-Bessel expansion of the/unction /(x) =

1 - x2, 0 < x < 1, where m = 0, {3 = O.
To compute the first integral, let t = XXn and use the formulas (3.2.1S)-(3.2.19)
in the forms (d/dt)(tJd = (tJo), (d/dt)(Jo) = -J1. Thus
from Example 3.2.5 and integration by parts. The second integral, Jo JO(xxn)2x dx,
1
was shown to be ~J1(Xn)2. The required expansion is therefore
1 - X2 -
-
sf: JO(xxn)
n=l X~J1 (xn)
0<x <1
These examples suggest a general method for computing the Fourier-Bessel

expansion of certain polynomials. Let Po(x) = ~ and let P2n(X) be the polynomial
of degree 2n that satisfies
n = 1,2,3, ...
For example, P2(x) = (1- x 2)/8, P4(X) = 1~8 (3 - 4x2 + x 4 ). To find the Fourier-
Bessel expansion, we write ,\ = x~, y(x) = JO(xxn), y'(x) = xnJ~(xxn)' (xy')' +
'\(xy) = O. Multiplying the Bessel equation by P2n (x) and integrating, we have
A[ P2.(x)xy(x)dx = - [ P2n (x)(xy')'(x)dx
= [p~.(X)(Xy')(x)dx
= - [ [xP'2n(x)J'y(x)dx
= [P2.-2(X)xY(X)dX
Therefore the Fourier-Bessel coefficients of P2n are obtained from those of P2n - 2
upon division by ,\ = x~. For example, beginning with the expansion
O<x<l
we have
O<x<1
O<x<1
In some problems it is necessary to find the Fourier-Bessel expansion of dis-

continuous functions. The following example gives a typical case.
EXAMPLE 3.2.7. Let f{x), 0 < x < 1, be defined by f(x) = 1 for 0 < x < ~
and f(x) = 0 for ~ < x < 1. Find the Fourier-Bessel expansion of f(x), 0 < x <
1, with m = 0, (3 = o.
Solution. The desired expansion is of the form f(x) = E::IAnJo(xxn),
where JO(xn) = O.
The coefficients are determined by orthogonality-leading to
101
An JO(xxn)2dx = I:
f(x)Jo{XXn)X dx = fo1/2 JO(XXn)X dx. The first integral
was evaluated in Proposition 3.2.6 as ~Jl (xn)2. To evaluate the second integral,
we make the substitution t = XXn and find
1/2 JO(xxn)x dx = (l/x~) 1xn/2 tJo(t)dt = (l/X~)tJl (t) I:~~n 1 = (1)

2Xn J
(12Xn )
1o 0 2 1
Therefore An = J 1 (4Xn)/[XnJl (xn)2] and the required expansion is

1
0< x < l,x ~ 2
In all these examples of Fourier-Bessel expansions, we have taken m > 0,

{3 = O. This is well suited to problems with radial symmetry (m = 0) or where
the boundary conditions do not involve the derivative (/3 = 0). In the following
examples, we give Fourier-Bessel expansions with m > 0 or /3 > O.
EXAMPLE 3.2.8. For m > 0, /3 = 0, compute the Fourier-Bessel expansion of
the Junction f(x) = x m, 0 < X < 1.
Solution. The Fourier coefficients {An} are given by An fol Jm {xxn)2xdx =
fol x m +1Jm(xxn)dx. The first integral is given by (3.2.34): fol Jm(xxn)2x dx =
4Jm+l(Xn )2. To compute the second integral, we use the first differentiation
formula (3.2.16) with m replaced by m + l.
! [t m 1
+ Jm+ 1(t)] = t m+1 Jm(t)
Thus
-1-
x~+2
f.x
0
n
t m+1 J (t)dt
m
1 m+l T ( )
= x m+2 xn "m+l Xn
n
1
= -Xn Jm + 1 (x n )
Hence An = 2/xnJm+1 (x n), and we have the expansion
Xm _- 2~
~
Jm(xxn) (m)
Xn = xn 0 < X< 1
n=l xnJm+1 (Xn)
EXAMPLE 3.2.9. For m = 0, 0 < (j ~ 1r /2, compute the Fourier-Bessel ex-

pansion of the functions f(x) = 1 and f(x) = 1 - x2.
Solution. The first expansion is of the form 1 = E::l AnJo(xxn) where
cos{jJO(xn) + sin/3xnJ~(xn) = O. From the orthogonality relations we must
have An fol JO(XXn)2x dx = fol xJo(xxn)dx. From (3.2.34) the first integral is
(x~ + cot2 /3)Jo(xn)2/2x~.
To compute the second integral, we use the differen-
tiation formula (3.2.16) with m = 1: (d/dt)(tJ1) = tJo. Thus fol xJo(xxn)dx =
(1/x~) f;n tJo(t)dt = J1(xn)/x n. From the boundary condition we have
XnJl (x n) = -xnJ~(xn) = cot fjJO(xn) and the expansion
1 = 2cot/3'f JO(xxn) 0<x<1

n=1 (x~ + cot2 (j)JO(xn)
The expansion of f(x) = 1-x2 is handled similarly, using integration by parts to
reduce the integral fol (1 - x2)JO(xxn)x dx to the integral that has already been
computed. The result is
1 - x 2 = 8 co t /Jf.l~
~ 2( 2
JO(xxn) 0<x <1
n=1 Xn Xn + cot2 /Jf.l) JO(Xn )
3.2.8. Implementation with Mathematica. In Mathematica the com-
mand for the Bessel function In(x) is BesseIJ[n,x]. For example, if we want to
obtain the power series expansion for Jo(x) at x = 0 up to and including terms
wi th x8, we can type
In[l]= Series[BesselJ[0,x],{x,0,8}]
to yield the output
2 4 6 8
x x x x 9
Out [1] 1 - -- + -- - --- + ------ + a[x]
4 64 2304 147456
FIGURE 3.2.2 Graph of the Bessel function Js(x).
Note that the odd terms are zero, so that we obtain only five nonzero coefficients
in this case.
The second linearly independent solution of Bessel's equation is denoted
BesseIY[n,x] in Mathematica. We can ask Mathematica to solve Bessel's equa-
tion of order 2 by typing
DSolve[ x~2 y"[x] + x y'[x] + (x~2-4)y[x]==O, y[x],x]
to yield the output
{{y[x]-> BesselY[2,x] C[l] + BesselJ[2,x]C[2]}}
Graphs of Bessel functions can be obtained using Mathematica in much the
same way that we plotted trigonometric functions and Legendre functions. In
order to obtain the available options, simply type ??Plot to obtain these options
together with their default values. For example, the option PlotPoints has a
default value of 25, but for a highly oscillatory function such as Js(x) the number
should be increased from 25 to 40. In order to obtain the plot shown in Fig. 3.2.2,
we type
Plot[BesselJ[5,x],{x,-50,50},PlotPoints->40]
The graphing capabilities of Mathematica can be effectively used to find the
zeros of Bessel functions. Let's find the first positive zero of J1 , which is the
smallest positive number that satisfies J 1 (x) = 0; call it xt. To begin, we define
a plot-valued function .ij by
jj[a_,b_]:=Plot[BesselJ[l,x],{x,a,b}]
For example, JJ[O,5] yields
This shows that xtlies between 3.5 and 4. To obtain a more accurate estimate,
type .ii[3.5,4] to obtain the graph
0.1
0.05
-0.05
which shows that xtlies between 3.8 and 3.85. At the next stage we would type
.ii[3.8,3.85] and learn that xtis slightly more than 3.8317.
The asymptotic behavior of the Bessel function Jo(x) can be illustrated effec-
tively with Mathematica. From the results of chapter 6, it is found that
Jo(x) = f!x (cos (x - i) + 0 G)) X -700
If we type
Plot[{BesselJ[O,x],(2/Pi x)A(1/2) Cos[x -Pi/4]},{x,.1,50}]

we obtain
0.4
0.2
-0.2
-0.4
One can also illustrate the Fourier-Bessel expansions with Mathematica, based
on the function
- {I if 0 ~ x ~ 1/2
J( x ) - 0 if 1/2 < x < 1
The Fourier-Bessel expansion was obtained in Example 3.2.7,
~ J 1 (x n /2)
f(x) = L...J J ( )2 Jo(X Xn)
n=l Xn 1 xn
where Xn is the nth zero of the Bessel function Jo(x). These can be obtained from
tables and incorporated as a list. For example, for the first 20 zeros, we write
X= {2.405, 5.520, 8.654, 11.192, 14.931,
18.011, 21.212, 24.352, 27.493, 30.635,
33.716, 36.972, 40.058, 43.200, 46.863,
49.482, 52.624, 55.766, 58.907, 62.049}
The kth zero is thus represented as X[[k]]. The nth partial sum of the Fourier-
Bessel series is descri bed as follows in Mathematica:
f[x_,n_]:=Swn[
BesselJ[l, Release[X[[k]]]/2] BesselJ[O, x Release[X[[k]]]]
/(Release[X[[k]]] BesselJ[l, Release[X[[k]]]]~2),{k,n}]
These partial sums are defined for all real values of x, despite the fact that the
original function is defined only on the interval 0 ~ x < 1. The following two
graphs are obtained by typing, respectively,
Plot[f[x,10],{x,-1,2},PlotPoints->40]
and
Plot[f[x,20],{x,-1,2},PlotPoints->40]
0.75
0.5
0.25
-1 -0.5 0.5
-0.25
-0.5
0.75
0.5
0.25
-1 0.5 0.5
-0.25
-0.5
It is interesting to note that the partial sums oscillate more strongly in the
neighborhoods of x = 0 and x = 1/2 than elsewhere. The latter oscillations are
identical to those encountered with Gibbs' phenomenon in Chapter 1, where we
compute the partial sums of a Fourier series in the neighborhood of a disconti-
nuity. The oscillations near x = 0 are of a different character, related to a slower
rate of convergence of the series. At the points x # 0 the rate of convergence
is O(I/n), n ~ 00, whereas at x = 0 the rate of convergence can be shown to
be 0{1/.jii) by an explicit analysis of the Bessel functions. This is a phenom-

enon that is not present for one-dimensional Fourier series, but occurs when we
consider the expansions of certain radially symmetric functions in two and three
variables.
EXERCISES 3.2
1. Show that (-~)! = fo t- 1j2 e- t dt = 2 fo e- dx = Vi. (You may assume

oo oo x2
it is known that f~ e- dx = Vi.)

x2
2. Show that (~)! = !Vi, (~)! = ~0f.

3. Show that (n + 4)! = {[(2n + 1)!]j(22n+ln!) }y'1r, n = 0,1,2, ....
4. Show that J 1j2 (X) = V2/7rx sin x.
5. Show that J- 1j2(X) = V2/7rx cosx.
6. Use the ratio test to show that the series (3.2.3) converges for all x.
7. Use the ratio test to show that the series (3.2.4) converges for all x.
8. Write down the first four nonzero terms in the power series expansions of
Jo(x} and J 1 (x).
9. Use Example 3.2.4 and Eq. (3.2.13) to show that IJ:n(t) I ~ 1 for m =
1,2, ....
10. Let m > 0, not necessarily an integer. Prove the differentiation formula
J:n(x) = ~[Jm-dx) - Jm+I(x)] directly from the power series definition
(3.2.10).
11. Let m > 0, not necessarily an integer. Prove the recurrence formula
Jm+l (x) = (2m/x)Jm{x) - Jm - 1 (x) directly from the power series defi-
nition (3.2.10).
12. Let m > 0, not necessarily an integer. Use Exercises 10 and 11 to verify
the formula xJ:n(x) = mJm{x) - xJm+1 (x).
13. Let m > 0, not necessarily an integer. Use Exercises 10 and 11 to verify
the formula xJ:n(x) = xJm- 1 (x) - mJm(x).
14. Let m > 0, not necessarily an integer. Prove the differentiation formulas
! xm Jm{x) = xm Jm- 1 (x) and ! x- mJm{x) = _x- mJm+1 (x)

15. Let Xn be a solution of the equation Jm(x n ) = 0, m > O. Use Exercises 12
and 13 to show that J:n(x n ) = Jm- 1 (x n ) = -Jm+1(xn ).
16. Use Exercises 4 and 14 to show that
J3 j2{X) =
{2 (Sinx
V;; -X- - cos x )
17. Let O(p) and A{p) be functions that satisfy the equations (3.2.25) and
(3.2.26). Show that z(p} = A-1/2 A(p} sin O(p) satisfies the equation z" +
[A - (C/p2)JZ = O.
18. Show that f~1r e,xcos8e-im8dO = f~1r e,xcos8eim9d,8 for m = 0,1,2, ....
19. Use Exercise 18 and the integral representation of Jm(x) to show that
J~1r etXCOS8e,mOdO = 21t'i1mI Jlml(x) for m = 0, 1, 2, ....
20. Use Exercise 19 and the properties of complex Fourier series to show that
e lXcos () = E~oo i 1mI Jlml(x)e,m8.
21. Use Exercise 20 to show that
cos(X cos 0) = Jo(x) - 2J2(x) cos 20 + 2J4 (x) cos 40 ..
-sin(xcosO) = -2Jt (x) cosO + 2J3 {x) cos 30 - 2J5 {x)cos50 ...
22. Use Exercise 21 and Parseval's theorem to show that
00
1 = JO(X)2 +2 L Jm(X)2
m=l
23. Show that for m = 0, 1,2, ...
(-I)mJ2m (x) = -111r cos (x cosO) cos 2mO dO

7r 0
(_I)mJ2m+1 (X) = - 111r sin (x cos 0) cos(2m + l)OdO

1t' 0
24. Show that
1 = Jo(x) + 2J2(x) + 2J4 (x) +... and 0 = J 1 (x) + J3(x) + J5(x) + ...
25. Show that
cos x = Jo(x) - 2J2(x) + 2J4 (x) and sinx = 2J1{x) - 2Ja(x) + 2J5 (x)
26. Show that for any fixed x, liffim-+oo Jm{x) = O. (Hint: Apply the Riemann
lemma from Sec. 1.2.)
27. Show that for each p = 1,2, ... , limm-+oomPJm(x) = O. (Hint: Integrate
by parts in Exercise 23.)
28. Let f(x) = (1_x2)2, 0 < X < 1. Find the coefficients {An} in the Fourier-
Bessel expansion f(x) = 1.::::::1AnJo(Xxn), where Jo(xn) = O. [Hint: Write
f(x) as a linear combination of P2(X) and P4 {x).]
29. Find P6(X), the solution of (xP~)' = -XP4, P6(1) = o.
30. Let f(x) = (1-x2 )3,0 < X < 1. Find the coefficients {An} in the Fourier-
Bessel expansion f(x) = 2::=1 AnJo(xxn), where Jo(xn) = O.
31. Compute P8 (x), P10 (x).
32. Let f(p) = p, 0 < p < 1. Find the coefficients {An} in the Fourier-Bessel
expansion f(p) = 1.::::::1AnJl(PXn), where J1(x n) = O.
33. Obtain the sum of the series F3{P) = 1.::::::1 J1 (px n)/X!J2 (x n), where J1(x n)
= O. [Hint: Use Exercise 32 to show that V2(F3(P) coscp) = -(p/2) coscp.]
34. Obtain the sum of the series F5(P) = 1.::=1 J1 (pxn)/X~J2(Xn)' where J 1(x n)
=0.
3.3. THE VIBRATING DRUMHEAD 209
35. Let y(p) be a solution of the Bessel equation (3.2.1). Define a new function
by z(p) = p-sy(pr), where r and 8 are constants with r > O. Show that
z(p) satisfies the differential equation
z"(p) + 28 + 1 + r(d - 2) z'(p)
p
2
+ [,xr 2P<s+2)(r-l) _ r m + 8
2 2
; r8(d - 2)] z(p) = 0
[Hint: Let t = pr, y(t) = ts/rz(t 1/ r) and express y'(t), y"(t) in terms of z,
z', z".]
3.3. The Vibrating Drumhead
As a first application of Bessel functions, we study the small transverse vibrations
of a circular membrane whose perimeter is fixed. This gives a mathematical
model of a drumhead and is closely related to the rectangular membrane that
was treated in Sec. 2.5.
3.3.1. Wave equation in polar coordinates. To be specific, suppose that
the drumhead occupies the disc x 2 + y2 ~ a2. Let u(x, Yi t) be the displacement
of the point (x, y) at the time instant t. By an argument entirely similar to the
derivation of the one-dimensional wave equation, it is seen that u(x, Yi t) satisfies
the partial differential equation
(3.3.1)
where c is a positive constant, expressible in terms of the mass, area, and tension
of the drumhead. The wave equation (3.3.1) is second order in time, and therefore
it is natural to specify two initial conditions:
(3.3.2) u(x, Yi 0) = Ul(X, y) if x 2 + y2 < a2
(3.3.3) Ut(x, Yi 0) = U2(X;Y) if x 2 + y2 < a2
These correspond to the initial position and velocity of the drumhead. Finally,
we have the boundary condition
(3.3.4) u(x, Yi t) = 0 if x 2 + y2 = a2.
This means that the perimeter of the drumhead is fixed during the motion. The
equation (3.3.1) and boundary conditions (3.3.4) are both homogeneousi therefore
we can immediately proceed to look for separated solutions of the wave equation.
To do this, we take polar coordinates x = p cos <p, Y = Psin <po By abuse of
notation, we let u(p, <Pi t) denote the displacement in polar coordinates. The
wave equation takes the form
(3.3.5) u" = c2 ( u pp + ~ up + ~ u""")

210 3. BOUNDARYVALUE PROBLEMS IN CYLINDRICAL COORDINATES
We look for separated solutions in the form

(3.3.6) u(p, cp; t) = R(p)<1>(cp)T(t)
Substituting into (3.3.5) and dividing by c2 u, we have
T"(t) R"(p) + (1/ p)H(p) <1>"(cp)
(3.3.7) c2T(t) = R(p) + p2<1>(cp)
The left member depends only on t, while the right member depends only on
(p, cp). Therefore each side equals the same constant, which we call - A. This is
rewritten in the form
(3.3.8) T"(t) + Ac2T(t) = 0
The remaining equations take the form
2 [A R"(p) + (1/P)R'(P)] = _ <1>"(cp)
P + R(p) <1>(cp)
The right member depends only on cp and the left member depends only on p;
therefore each equals the same constant J.l. We rewrite this in the form
(3.3.9) "(cp) + J.l<P(cp) = 0
(3.3.10) It'(p) + ~ It(p) + ( >. - ; ) R(p) = 0
Equations (3.3.8) to (3.3.10) are the ordinary differential equations whose solu-
tions describe the vibrating membrane.
First we treat (3.3.9). The membrane occupies the disc whose equation in
polar coordinates is 0 ~ p < a, -7r ~ cp ~ 7r. Therefore (-71') = <1>(7r)
<1>'( -7r) = '(7r)
The general solution of (3.3.9) can be analyzed according to three cases. This is
a Sturm-Liouville problem with periodic boundary conditions, which will now be
solved. We have
Case 1: J.l > 0, <1>(cp) = A cos cp.jJi + B sin cpfo
Case 2: J.l = 0, <1>( cp) = A + Bcp
Case 9: J.l < 0, <1>( cp) = A cosh cpycp, + B sinh cpycp,
In case 1 the boundary conditions require that
A cos( -7r Vii) + B sin( -7rVii) = A cos 7r Vii + B sin 7r Vii
-AViisin( -7rVii) + BViicos( -7r/'ii) = -AViisin 7r,fii + B,fiicOS7rVii

The first equation states that B sin 7r .jJi = 0 and the second equation states that
A..;-p,sin 7r..;-p, = O. These are clearly satisfied if ..;-p, = 1,2, .... If .jJi is not an
integer, then we must have A = B = 0, yielding the trivial solution (fP) = O.

Thus we have found the general solution in case 1:
(3.3.11) {fP) = A cosmcp + Bsin mfP m = 1,2,3, ...
In case 2 the boundary conditions require that B = 0; hence we obtain the
additional solution (fP) = A. This can be included in (3.3.11) if we let m = O.
In case 3 the boundary conditions cannot be satisfied. (This is left as an exercise.)
Returning to (3.3.10) with p. = m 2 (m = 0,1,2, ... ), we have
It'(p) 1 It(p) +
+P (m2)
A - p2 R(p) = 0
R(a) = 0
From the discussion of Bessel functions in Sec. 3.2, the solution is
R(p) = Jm(p...IA)
where A is chosen so that Jm(aVX) = O. Thus
a...IA = x(m)
n
where x~m) are the positive zeros of the Bessel function Jm. Finally the time
dependence is obtained by solving (3.3.8).
T(t) = Acos cl...IA + Bsin ct...IA

Therefore we have found separated solutions of the form
(3.3.12)
x~m) ( _ clx~m) - ctx~)
u(p,cp;t)=Jm
( ~ (Acosmcp + Bsinmcp) Acos-a-+Bsin--
a
3.3.2. Solution of initial-value problems. By taking a superposition of

separated solutions, we may satisfy the initial conditions (3.3.2)-(3.3.3). These
solutions become quite complicated; hence it is instructive to briefly study the
separated solutions for small values of m, n. At time t = 0, the drumhead can be
divided into zones, depending on whether u is positive or negative. The ~urves
that divide the zones are called nodal lines. For concreteness we take A = 1,
B = 0, A = 1, B = O. Thus for n = 1, we have the diagrams of Fig. 3.3.1. For
n = 2 the Bessel function has an interior zero, and the drumhead appears as in
Fig. 3.3.2.
For larger values of (m, n) the diagrams become successively more complex.
As time progresses, each of these profiles is multiplied by cos(ctx~m) fa) a periodic
function. But when we form a superposition of these separated solutions, the re-
sulting solution is no longer periodic. Indeed, the numbers x~m) are not multiples
n=1 n =1 n =1
m=O m=l m=2
FIGURE 3.3.1 Nodal lines of a vibrating drumhead for n = 1.
of a fixed fundamental frequency, as was the case for the vibrating string, where
we had separated solutions of the form
. n1fX ( - n1fct - . n1fct)

SlD AcosL+Bsm-y-
L
We now use the separated solutions (3.3.12) to solve the initial-value problem
(3.3.2).
EXAMPLE 3.3.1. Find the solution of the vibrating membrane problem in the
case where U2(P, <p) = O.
Solution. In this case we use the separated solutions (3.3.12), which satisfy
the second initial condition, B = O. We write the solution as a formal sum
px(m) ctx(m)
u(p,<p;t) = EJm ( --;- (Amncosm<p+Bmnsinm<p)cos~
m,n
n=2 n=2 n=2

m=O m=l m=2
FIGURE 3.3.2 Nodal lines of a vibrating drumhead for n = 2.
The first initial condition requires that
Ul (p, cp) = U(p, cp; 0)
= LJm (pX;ml) (Amncosmcp+Bmnsinmcp)

m,n
= ~cosm~~AmnJm (px;ml) + ~Sinm~t.BmnJm (px;ml)

This is a Fourier series in cp, whose coefficients are Fourier-Bessel series with
(3 = 0, m = 0,1,2, .... Therefore, to solve the problem, we must expand Ul(P, cp)
in a series of this type and identify the coefficients A mn , Bmn .
The next example illustrates a specific case.
case where U2(P, cp) = 0, Ul(P, cp) = a2 - 0 < P < a. r,
Solution. From Sec. 3.2 we have the Fourier-Bessel expansion
O<x<l
Making the substitution x = pia, we have the required expansion

U - a2 _ 2 _
00
8a2'" J o pXn a
(0)/)
1(p, cp) - p - L..J ( (0)3J ( (O))
n=l Xn 1 Xn
We see that Bmn = 0 for all m, nand Amn = 0 for m > 0, while Aan =
8a2/(X~O)3 J 1(x~O). The solution of the problem is
Jo(px~O) fa) ctx~O)

u(p, cp; t) = 8a
2
L
00
(0)
n=l(X )3J
n 1 (Xn )
(0) cos - -
a

case where U2(P, cp) = 0, Ul(P, cp) = J3(PX~3) fa) cos3cp.
Solution. In this case the initial data are already written as a Fourier-Bessel
series as in the previous example, with A31 = 1 and all other coefficients zero.
Therefore the solution of the problem is
(3) d (3)
u(p, cp; t) = J3 ( P; cos3cp cos ~
3.3.3. Implementation with Mathematica. We can use Mathematica to

draw three-dimensional graphs of the vibrating drum, beginning with formula
{3.3.12}. To be specific, we take c = 1, a = 1, A = A = 1, and B = iJ = O. Then
the formula becomes
In Mathematica, this is written
To graph u, we need the command Cylindrica1Plot3D, which is part of the

package NewParametricPlot3D. We use this to define a plot-valued function
uu, defined as
uu[m_,x_,t_]=CylindricalPlot3D[u[m,x,rho,phi,t],
{rho,0,1},{phi,0,2Pi,Pi/15}, boxed->False]
Then the three-dimensional nodal plots corresponding to Fig. 3.3.1 and Fig. 3.3.2
are generated by the commands
uu[0,2.40482,O] uu [1 ,3. 83171 ,0] uu [2,5.13562,0]

uu[0,5.52007,0] uu[1,7.01559,0] uu [2 ,8.41724,0]
and given as follows:

aV 3 IH~n1J a ON I.LV1HlI A 3Hl. ..
EXERCISES 3.3
1. Suppose the drumhead is under the influence of gravity. The wave equation
takes the form
Utt = C2(Uxx + Uyy ) - 9
Find the steady-state solution of the form u = U(p) that satisfies the
boundary condition U (a) = O.
2. Let f (<p) = A cosh <pA + B sinh <pA, f.L < O. Show that if f satisfies
the boundary conditions f(O) = f(21r), 1'(0) = 1'(21r), then A = B = O.
3. Sketch the drumhead profiles for n = 3, 4.
4. Find the solution of the vibrating membrane problem in the case where
Ul(P,<P) = Fl(P), U2(P,CP) = o.
Ul(P, <p) = 0 and U2(P, <p) = F2(P)'
Ul(P,<P) = 0 and U2(p,<P) = 1, 0 < P < a.
Ul(P, <p) = 0 and U2(p, cp) = a2 - I, 0 < P < a.
Ul(P, <p) = 0, U2(P, <p) = J3(PX~3) la) cos3cp.
9. Consider a membrane in the shape of a half-circle 0 $ cP $ 1r, 0 $ P $ a.
Show that the separated solutions of the wave equation with zero boundary
conditions have the form
ctx(m) ctx(m) (px<m)

u(p, cp; t) = ( A cos --;,- + B sin --;,- Jm ~ sin mcp
where m = 1,2, ... and x~m) are the positive zeros of the Bessel function
Jm .
3.4. Heat Flow in the Infinite Cylinder

In this section and the next we study initial-value problems for the heat equa-
tion in cylindrical coordinates. To solve these problems, we shall combine the
five-stage method of Chapter 2 with the separated solutions expressed in terms
of Bessel functions. The present section is devoted to solutions in the infinite
cylinder 0 $ P < Pmax, -00 < Z < 00, -1r $ cp $ 1r, which are independent of z.
In the next section we consider the case of the finite cylinder 0 < z < L, where
the solutions depend upon z.
3.4. HEAT FLOW IN THE INFINITE CYLINDER 217
3.4.1. Separated solutions. To begin, we look for separated solutions of

the heat equation in cylindrical coordinates, independent of z. We have
(3.4.1) u(p, 'P; t) = R(p)~('P)T(t)
(3.4.2) u, = KV'u = K ( U pp + ~ up + ;. u...,. )
Substituting (3.4.1) into (3.4.2) and dividing by Ku, we have

T'(t) R" + (1/p)R' (1/ ,r)4l'
KT(t) = R + 4>
The right side depends on (p, 'P), whereas the left side depends on t. Therefore
each is a constant, which we call -oX. Thus
(3.4.3) T(t) + oXKT(t) =0
Likewise the ratio ~"/4> is a constant, which we call -Jt. Thus we have the
equations
(3.4.4) <1>" + /t = 0
(3.4.5) R"+~R' + (A- ;) R = 0
Equation (3.4.3) is solved by T(t) = e- AKt Equation (3.4.4) with the peri-
odic boundary conditions <1>( -11") = (7r), <1>' ( -11") = <1>'(11") is solved by <1>('P) =
A cos m'P + B sin m'P, m = 0, 1,2, .... Equation (3.4.5) is a form of Bessel's equa-
tion with d = 2. The power series solution is Jm (pV"5..), and the second solution
may be obtained from (3.2.22). Thus we have obtained the separated solutions
of the heat equation in cylindrical coordinates.
(3.4.6) u(p, 'P; t) = Jm(pJA)(Acosm'P + Bsin m'P)e->'Kt
The separation constant oX is obtained from the boundary conditions of the prob-
lem.
3.4.2. Initial-value problems in a cylinder. In this subsection we present

four worked examples of heat flow problems in the infinite cylinder 0 < 11", -00 < z < 00.
EXAMPLE 3.4.1. Find the solution of the heat equation in the infinite cylinder
o ~ p < Pmax1 satisfying the boundary condition u(Pmax, 'P; t) = 0 and the initial
condition u(p, <Pi 0) = !(p, 'P).
Solution. The steady-state solution is zero. The solution must be finite at

p = 0, so we do not take the second solution of Bessel's equation. The required
separated solutions are Jm(pv'X)(A cosm<p+ B sin m<p)e->'Kt. The boundary con-
dition requires that Jm(Pmaxv'X) = OJ thus Pmaxv'X = x~m), a positive zero of the
Bessel function Jm . The solution takes the form
Kt]
u(p, <Pj t) =L
m,n
Jm - -
( px~m)
Pmax
(Amn cos m<p + Bmn sin m<p) exp
[_(X~m)2
,.2
Pmax
To satisfy the initial condition, we must have
f(p,<p) = LJm (px~m}) (Amn cosm<p + Bmnsinm<p)

m,n Pmax
This is a Fourier series in (cos m<p, sin m<p), whose coefficients are Fourier-Bessel
expansions with {3 = 0, m = 0,1,2, .... The problem is completely solved once
we have an expanded f (p, cp) in a series of this type .
The next example gives a specific case.
EXAMPLE 3.4.2. Find the solution of the heat equation in the infinite cylinder
o ~ P < Pmax satisfying the boundary condition u(Pmax, <p; t) = 0 and the initial
condition u(p, <pj 0) = 1. Find the relaxation time.
Solution. We use the method of the previous example with f(p, <p) = 1. In
this case, we use the Fourier-Bessel expansion
= 2 ~ JO(xxn) = 2 ~ Jo(pxnI Pmax)
1 L....J ( L....J () 0 < P < Pmax
n=1 Xn J l xn) n=1 xnJ. Xn
where JO(xn) = 0 and we have made the substitution x = piPmax. Therefore the
solution of the initial-value problem is
u(p, tJo(p7~pm)") exp

'P;t) = 2 n=1 [-~~Kt]
Xn 1 Xn max
For each t > 0, the series for u, uP' uPP ' Ut converge uniformly; hence U is a
rigorous solution. When t ~ 00, the solution tends to zero, the steady-state
solution. The relaxation time can be computed from the first term of the series.
. -1 In 1U (P;<Pjt )1
1 = hm
-- x~K
= ---
T t-+oo t P~ax
T = ~"'x1 = O, 1729 P"i ax

In the next example we add a nonhomogeneous boundary condition and a

nonhomogeneous term to the heat equation, representing a heat source. To solve
problems of this type, we first find the steady-state solution, according to the
five-stage method of Chapter 2.
3.4. HEAT FLOW IN THE INFINITE CYLINDER. 219
EXAMPLE 3.4.3. Find the solution of the following heat equation in the infi-
~ P < Pmax:
nite cylinder 0
Ut = KV 2 u+(J t > 0, 0 ~ P < Pmax, -7r ~ cp ~ 7r

U(Pmax, cp; t) = Tl t > 0, -7r ~ cp ~ 7r
U(p, cp; 0) = T2 o < P < Pmax, -7r ~ cp ~ 7r
where (J 1 T 1 , and T2 are positive constants.
Solution.
Stage 1. To find the steady-state solution, we try U = U(p), independent
of cp (since the boundary condition is independent of cp). We obtain the ordi-
nary differential equation K[U" + (1/ p)U'] + (J = 0 with the boundary condition
U(Pmax) = T 1 The general solution of the equation is U = -(Jr /4K +A+B logp.
We must have U(Pmax) = Tb U(O) finite; hence B = 0, A = Tl + (JP-:nax/4K).
The steady-state solution is
U(p) = Tl + 4~ (p~ax - P'')
Stage 2. We use the steady-state solution to transform to a homogeneous

equation with homogeneous boundary conditions. Thus, letting v = U - U, we
have Vt = KV 2 v, V(Pmax, cp; t) = 0, v(p, cp; 0) = T2 - U(p).
Stage 3. We look for vasa sum of separated solutions of the homogeneous
equation satisfying the homogeneous boundary conditions. These were found in
Example 3.4.1:
v(p,cp;t) = LJm ( _n_

px<m))
(Amncosmcp+Bmnsinmcp)exp
[ (X~m)2Kt]
m,n Pmax P:nax
T2 - U(p) = v(p, cp; 0) = L Jm ( -px~m))

m,n
.
- (Amn cosmcp + Bmn sm mcp)
Pmax
To obtain the required expansion of T2 - U(p), recall the Fourier-Bessel expan-

sions from Sec. 3.2.
Letting x = P/ Pmax, we have

T2 - U(p) = (T2 - T 1) _ ap~ax
4K
(1- ~2 Pmax
)
= EAnJo (pxn)
n=l Pma:x
< < P Pmax
where
An Td/xn - 2arma:x/Kx~
= 2(T2 - n = 1,2, ...
J1 (xn)
The solution of the original problem is therefore
PXn Xn t
u(p, p; t) = U(p) + LAnJo
00 ( - ) exp [2K
- - 2 -]
n=l Pmax Pmax
Stage 4. For each t > 0, the series for u, uP' u pp , Ut converge uniformly for
~ P ~ Pmax; hence U satisfies the heat equation.
Stage 5. If Al =1= 0, the relaxation time is given by the first term of the series:
'T = P~ax/(x~K) .
The next example illustrates the possibility of boundary conditions that in-
volve radiation of heat to the exterior of the cylinder.
EXAMPLE 3.4.4. Find the solution of the following heat equation in the infi-
nite cylinder 0 ~ P < Pmax:
Ut = KV 2u + a t > 0, 0 ~ P < Pmax

- ku p Ip=pmax = h(u - T1 ) IP=PmllJC
u(p, p; 0) = T2
Here a, K, k, h, T}, and T2 are positive constants.
Solution.
Stage 1. We look for the steady-state solution in the form U = U(p). We
obtain the ordinary differential equation
K[u" + ~ U'] + <1 = 0
with the boundary condition -kU'(Pmax) = h[U(Pmax)-TIJ. The general solution

is U(p) = -(ap2/4K) + A + B log p. The condition U(O) finite requires B = 0,
while the boundary condition requires
kaPmax/ 2K = h[A - (ap~ax/4K) - Td, A = T. + aPmaxk/2hK + ap~ax/4K
The steady-state solution is
U( P) -- ,." a Pmax k a ( 2 2)
J.l + 2hK + 4K Pmax - P
Stage 2. We introduce the function v = u-U, which satisfies the homogeneous

equation Vt = KV 2 v with the homogeneous boundary condition -kvp IFPmax=
hv IFPmax'
Stage 3. Previously we found the separated solutions of the heat equation
Jm(pJA)(Amncosmcp + Bmnsinmcp)e-AKt. To satisfy the new boundary condi-
tion, we must have kV),J:n(Pma:xV),) + hJm(Pma:x V),) = O. It was shown in Sec. 3.2
that this equation has infinitely many solutions Pma:x..JX = x~m), n = 1,2, .... To
satisfy the initial condition, we take a sum of these separated solutions. Since
the initial condition is independent of cp, we may write
v = v(p; t) = ~
LJAnJo ( -
PXn
-) exp [X2
- ,:;Kt]
n=l Pma:x Pinax
The Fourier coefficients {An} are obtained from the Fourier-Bessel expansion of
Example 3.2.9 with cot /3 = hpma:x/ k.
__ 2kpmax ~ JO(XXn)
1 LJ O<x<l
h n=l [x~ + (hPmax/ k )2]JO(xn)
1 - X2 = 8kPmax f JO(XXn)
h n=l x~[x~ + (hPmax/ k )2]JO(xn)
0<x <1
Making the substitution x = pI Pmax, we have

An = 2 (T2 _TI _apmax k _ UP:nax)
[x~ + (hPmax/k)2]JO(xn) 2hK Kx~
The solution of the original problem is written in the form
u(p; t) = U(p) + ~
L.JAnJO ( -PXn ) exp [x2
-~ K t]
n= 1 Pmax Pmax
Stage -4. For t > 0, the series for
u, uP' u PPl and Ut converge uniformly for
o :::; P :::; Pmax.
Hence u is a rigorous solution of the heat equation.
Stage 5. When t ~ 00, U(Pi t) tends to U(p), the steady-state solution. The
relaxation time T = p~axlx~K, where (k/Pmax)XIJ~(xd +hJO(Xl) = 0, Al # 0.
3.4.3. Initial-value problems between two cylinders. As our final ap-

plication we consider heat flow between two cylinders of inner radius PI and outer
radius /12. To solve problems of this type, we need both solutions of Bessel's equa-
tion. We consider the following initial-boundary-value problem:
Ut = KV 2u t > 0, PI 0, -1r ~ cp ~ 7r
U(P2, cp; t) = T2 t > 0, -1r ~ cp ~ 7r
u(p, cp; 0) = 1(p, cp) PI < P < P2, -1r ~ cp ~ 1r
Stage 1. The steady-state equation is V 2 u = 0, with the above boundary

conditions. Since these are independent of cp, we look for the steady-state solution
in the form U = U(p). The general solution of V 2 u = 0 is U = A + Bin p. The
boundary conditions require A + B In PI = T1 , A + Bin /12 = T2 ; thus
U(p) = TI + (T2 - T1 ) lnp -Inpl

InP2 -inpi
Stage 2. We use the steady-state solution to transform to homogeneous
boundary conditions. Thus, letting v = u-U, we have Vt = KV 2 v, V(PI, cp; t) = 0,
v(/12, cp; t) = 0, v(p, cp; 0) = 1(p, cp) - U(p).
Stage 3. The separated solutions of the heat equation in cylindrical coordi-
nates are R(p)(A cos mcp + B sin mcp)e->'Kt, where m = 0,1,2, ... and R(p) is
a solution of Bessel's equation with d = 2 satisfying the boundary conditions
11 (PI) = 0, it (P2) = O. These are obtained in the form
R(p, -X) = Jm(PvA) Ym(PI vA) - Jm(PI vA)Ym(PvA)
Indeed, this combination is a solution of the Bessel equation and satisfies the
boundary condition R(Pl, -X) = O. The theory of Sec. 1.6 guarantees an infi-
nite number of eigenvalues -X~m), so that R(P2, -X~m) = O. The eigenvalues and
normalized eigenfunctions ~(p) satisfy the asymptotic relations
J-X~m) = n7r/(P2 - PI) + O(l/n) n --+ 00
,fPR';:(p) = ( 2 ) 1/2 sin n7r(p - pd + 0 (~) n --+ 00

P2 - PI P2 - PI n
The solution is written in the form
v(p, cp; t) = E R';:(p) (Amn cos mcp + Bmn sin mcp)e->.~m) Kt
m,n
The eigenfunctions R';: are orthogonal with respect to the weight pdp for different
values of n, meaning that
p2
lPI
u:..~pdp=O
Therefore we can obtain the Fourier coefficients for m 1= 0 by the formulas
If m = 0 one must replace 7r by 27r on the right sides.

Stage 4. The formal solution to our problem is
u(p, <Pi t) = U(p) + L R!:"}(p)(Amn cosm<p + Bmn sin m<p)e-..\~m) Kt
m,n
where the Fourier coefficients A mn , Bmn are obtained in stage 3. To verify that
this series converges and represents a solution of the heat equation, we consider
the special case of radially symmetric solutions, where !(p, <p) = !(p), indepen-
dent of <po In this case the solution assumes the simpler form
00
u(p; t) = U(p) + L AnRn (p)e-..\n Kt

n=l
where An = A~O), R", = ~o), An = Aon. Suppose If (p) I ~ M, a constant. The
Fourier coefficients can be estimated by
= If.~ [j(p) - U(p)]R..(p)PdPI
~ M2 !.P2 pIRn(p)ldp
PI
~ M2 ( p~ -2 PI) 1/2
where we have used Schwarz's inequality for integrals and the normalization
f~2 R",(p)2pdp = 1. Therefore the terms of the series L:::IAnRn(p)e- An Kt
are bounded by the terms of the series M3L~=1(e-at)n, a = 7rK/(P2 - PI),
M3 = M2 (1 + P2/ pd 1/ 2 Likewise the series for up, u PP ' and Ut are bounded
by convergent numerical series and hence are uniformly convergent.
Stage 5. When t --+ 00, the solution u(p, <Pi t) tends to the steady-state solu-
tion U(p). To compute the relaxation time, we again restrict attention to radially
symmetric solutions, where Amn = 0 for m -::/: 0 and Bmn = O. In this case the
eigenvalues {An} have been tabulated numerically for various values of the ratio
pd{J2. The following table lists some representative values. 2
2Milton Abramowitz and Irene A. Stegun, Handbook of Mathematical Functions, Dover
Publications, New York, 1972, p. 415.
pt/P2 PI';>::; Plvx;. PIVXi

0.8 12.56 25.13 37.70
0.6 4.70 9.42 14.13
0.4 2.07 4.18 6.27
0.2 0.76 0.69 2.35
0.1 0.33 0.53 1.04
For example, if PI = 3, P2 = 5, then we can read from the second line of the table
that A~ ~ 2.45, Ag ~ 9.86, Ag = 22.18. The relaxation time can be obtained from
the first term of the series for u(p; t); thus AIKr = 1. For example, if PI = 3,
P2 = 5, then T = 1/2.45K = 0.41/ K to two decimal places.
3.4.4. Implementation with Mathematica. We can use Mathematica to
numerically determine the eigenvalues of the heat flow problem in an annular
region. We begin with the separated solutions
u(p,cp;t) = R(p)(Acosmcp+ Bsinmcp)e- AKt
where
R(p) = R(p, A) = Jm(pv'X)Ym(PI v'X) - Jm(Pl v'X)Ym(pY'A)
The eigenvalue A must be chosen so that R(P2, A) = O. This requires that
Jm(/J2v'X)Ym(Pl v'X) - Jm(PI v'X)Ym(P2v'X) = 0
In order to render this in Mathematica, we consider the example PI = 3, P2 = 5.
We define
In[l]=a:=BesselJ[m,5 p] BesselY[m, 3 p]-BesselJ[m,3 p] BesselY[m, 5 p]
To determine the first three eigenvalues, we look for the first zero corresponding
to m = 0, 1, 2. To determine the numerical values, we can use Mathematica's
FindRoot command:
In[2]:=eigs=Table[FindRoot[a/.m->i,{p,1}],{i,O,2}]
Out[2]={{p->1.56569},{p->1.58602},{p->1.64543}}
3.4.5. Time-periodic heat flow in the cylinder. It is also possible to
find solutions of the heat equation in the infinite cylinder corresponding to a
time-periodic boundary condition, as we did for the slab in Sec. 2.1. Specifically,
we have the boundary-value problem
tit = KV 2u = K (U pp + ~Up) - 00 < t < 00, 0 ~ P~ a
u(a; t) = Ao + Al coswt -oo<t<oo

We look for complex separated solutions in the form

u(p; t) = R(p)e- zwt
Substituting in the heat equation and separating the terms, we find
.w R"(p) + R'(p)/ p
-zK= R
Therefore R(p) must be a solution of the equation
R'
R" + - + i{w/K)R = 0
p
This is a form of Bessel's equation with a purely imaginary eigenvalue parameter:
A = iw / K. The solution that remains regular at p = 0 is the Bessel function
R(p) = Jo(p.J>..) = Jo(pc(l + i c = ';w/2K
In order to find the (real-valued) solution that satisfies the boundary condition,
we take the real part and obtain the solution of the boundary-value problem in
the form
-zwtJo(pc(1 + i)
u(p; t) = Ao + Al Re ( e Jo(ac(l + i
This can be related to the one-dimensional solution in the limiting case when a is
large and z := a - p is fixed. This requires knowledge of the asymptotic behavior
of the Bessel function for complex arguments: 3
Jo{(I + i)8) = J2!8 e'e"e../8 (1 + 0(1/8)) S -+ 00
Applying this with s = pc, s = ac and simplifying, we get the result

Jo({pc(l + i)) == ePce'Pc (1 + O{l/a)
Jo((ac(l + i eaC e'4C
= e-C%e- tC (1 + O(l/a
%
Hence to within terms of order a-I,

u(p; t) = Ao + Al Re (e-C%e-t(wt-cz))
= Ao + A1e- C%cos(wt - cz)
which is the solution found in Sec 2.1 for the slab in rectangular coordinates.
We close by remarking that the periodic solution obtained above is unique.
More precisely, suppose that U(Pi t) is another time-periodic solution satisfying
the same boundary conditions. Then the difference v = u - u is a time-periodic
3Ibid.
solution of the heat equation in the cylinder with v(a; t) = 0 for all t. But any
solution is represented as
00
v(p; t) =L An JO(pxn/a)e->.nKt
n=l
This function will be time-periodic if and only if An == O-hence V(pj t) == 0,

EXERCISES 3.4
1. Find the solution of the heat equation Ut = KV 2u in the infinite cylinder

o ~ P < Pmax satisfying the boundary condition u(Pmax, 'Pj t) = 0 and the
initial condition u(p, 'Pj 0) = P~ax - p2.
2. Find the solution of the heat equation Ut = KV 2 u in the infinite cylinder
o ~ P < Pmax satisfying the boundary condition U(Pmax, 'P; t) = 1 and the
initial condition u(p, pj 0) = O. Find the relaxation time.
3. Find the solution of the heat equation Ut = KV 2 u in the infinite cylinder
o ~ P < Pmax satisfying the boundary condition u(Pmax, pj t) = 1 + ~ cos p
and the initial condition u(p, pj 0) = O. (Hint: Use Example 3.2.8.)
4. Find the solution of the heat equation Ut = KV 2 u + (J in the infinite
cylinder 0 5 P < Pmax satisfying the boundary condition u(Pmax, pj t) = Tl
5.
and the initial condition u(p, pj 0) = T2(1 - r/ rmax)
Find the separated solutions of the heat equation Ut = KV 2u in the infinite
half-cylinder 0 5 P < Pmax, 0 < p < 1r satisfying the boundary conditions
u(p, OJ t) = 0, u(p, 1rj t) = 0, u(Pmax, pj t) = O.
6. Find the solution of the heat equation Ut = KV 2 u in the infinite half-
cylinder 0 5 P < Pmax, 0 < p < 1r satisfying the boundary conditions
u(p, 0; t) = 0, u(p, 7r; t) = 0, u(Pmax, p; t) = 0 and the initial conditions
u(p, pj 0) = f(p).
7. Consider heat flow in the region PI < P < P2 with PI = 3 cm, P2 = 15 cm.
The boundary conditions are Tl = OC, T2 = 100C. Find the steady-state
solution and the relaxation time.
8. Consider heat flow in the cylinder 0 ~ P < 2, where the surface P = 2 is
maintained at 100C. At t = 0, we have U = 0 for 0 ~ P < 1 and u = 50C
for 1 ~ P < 2. Find the solution U = u(pj t) for all t > 0, 0 ~ p < 2. (Hint:
Use the method of Example 3.2.7.)
9. Consider the heat flow in the cylinder 0 ~ P < R, where the surface p = R
is insulated, 8u/8p = 0 at P = R. Find the separated solutions of the heat
equation that satisfy this boundary condition. Solve the problem in the
case where u(p; 0) = 100C. (Hint: Xl = 0 from Proposition 3.2.7.)
10. Find the solution u(p, pj t) of the heat equation Ut = KV 2u in the infinite
half-cylinder 0 ~ P < Pmax, 0 0, U(Pmaxl cp; t) = 0,

and the initial conditions U(Pl cpj 0) = P sin cpo
11. Find the solution u(p, cp; t) of the heat equation Ut = KV~u in the infinite
cylinder 0 ~ P < Pmax satisfying the boundary condition u(Pmax, cpj t) = 0
for -7r ~ cp ~ 7r, t > 0 and the initial condition u(p, cpj 0) = p'l cos 2cp for
o ~ P < Pmaxl -7r ~ cp ~ 7r.
12. Find the solution of the heat equation Ut = KV 2u in the infinite cylinder
o ~ P < Pmax satisfying the boundary condition -kupIP=Pmax = h(u -
TdlP=Pmax and the initial condition u(p, cpj0) = T2 (1- p2/rmax}, where K,
h, k, T l , and T2 are positive constants.
13. If u(p; t) is the time-periodic solution of the heat equation in the cylinder
o ~ P < a, with u(aj t) = Ao + Al cos(wt} , find an asymptotic formula for
u(O; t) in the limiting case when a ~ 00.
3.5. Heat Flow in the Finite Cylinder

In this section we modify the analysis of the previous section to study heat flow
in the finite cylinder 0 ~ P < Pmax, -7r ~ cp ~ 7r, 0 < Z < L. This will include
the solution of Laplace's equation as a special case.
3.5.1. Separated solutions. To begin, we look for separated solutions of

the heat equation in cylindrical coordinates, in the form
(3.5.1) u(p, cp, z; t) = R(p)(cp}Z(z)T(t)
u, = KV u = K ( u pp + ~ up + ~ u'I'P + un)
2
(3.5.2)
Substituting (3.5.1) into (3.5.2) and dividing by Ku, we have

T'(t) R!' + (1/p)R' (1/ p2)" Z"
KT(t) = R + +Z
The right side depends on (p, cp, z), whereas the left side depends on t. Therefore
each is a constant, which we call -A. Thus
(3.5.3) T'(t) + AKT(t) = 0
Likewise the ratios iJ!" /iJ! and Z" /Z are both constants, which we call -p. and
-v, respectively. Thus we have the equations
(3.5.4) iJ!" + J.L<P = 0
(3.5.5) ZII + vZ = 0
(3.5.6) R'I+~R'+ (r- ;)R = 0

where we have introduced an additional separation constant 'Y that is related to

the others by the equation
(3.5.7) 'Y=).-v
Two of the above equations can be solved without further reference to the bound-
ary conditions, namely, (3.5.3) and (3.5.4). Apart from a constant, the general
solution of (3.5.3) is
T(t) = e- AKt
whereas the general solution of (3.5.4) with the periodic boundary conditions
~(-11') = ~(7r), q,'( -11') = q,1(1I') is
JL = m 2 , ~(cp) = A cosmcp + Bsin mcp m= 0, 1,2, ...

Apparently there are four separation constants, )., JL, v, and 'Y. But these are
linked by (3.5.7); hence there .are only three independent separation constants.
These may be chosen to satisfy various boundary conditions. The choice A = 0
corresponds to Laplace's equation, which will be treated in the following subsec-
tion.
3.5.2. Solution of Laplace's equation. Solutions of Laplace's equation

are solutions of the heat equation that do not depend on t. In terms of the
separation constants introduced above, this means that A = 0; in other words,
(3.5.7) becomes the equation
(3.5.8) "( = -v
We can satisfy various boundary conditions by suitable choices of J.L,'Y, and v. In
order to do this, we consider three types of solutions
Type I: V 2 u = 0, U = 0 on z = 0, U = 0 on z = L.
Type II: V 2 u = 0, U = 0 on z = 0, U = 0 on P = Pmax.
Type III: V 2 u = 0, u = 0 on z = L, U = 0 on P = Pmax.
The type I solutions are zero on the upper and lower circular faces of the cylinder.
The solutions of type II are zero on the lower circular face and also on the
curvilinear boundary, while the solutions of type III are zero on the upper circular
face and on the curvilinear boundary. See Fig. 3.5.1. The general solution of
Laplace's equation in the finite cylinder can be represented as a sum of solutions
of these three types:
U = Uf + UI/ + UI/f
We now find the separated solutions of Laplace's equation of types I, II, and III.
Type 1. In this case the function Z (z) must satisfy the ordinary differential
equation (3.5.5) with the boundary conditions Z(O) = 0 = Z(L). This is a
u:::::O u:::::O
,- ..... .....
'"
~ 1'00.. -'
(
- ~
u:::::O u:::::O
..... -' ..... .." .... ~
u:::::O u-:;;;O
Type I TypeD Typem
FIGURE 3.5.1 Three types of solutions of Laplace's equation.
Sturm-Liouville eigenvalue problem that has been solved previously, with the
eigenfunctions and eigenvalues
Z(Z) = sin(k1rz/L), II = (k1r/L)2 k = 1,2, ...
Referring to (3.5.8), we see that 7 = -II = -(k1r / L)2 and therefore R(p) must
be a solution of the Bessel equation
R" + ~ - ((b I L)2 + ; ) R = 0
whose general solution apart from a constant is the modified Bessel function
m = 0, 1,2 ...
Hence we have the general separated solution of type I:
(3.5.9) U I (p, tp, z) = 1m (k1r P/ L) (Am cos mtp + Bm sin mtp) sin (k1r Z / L )
Type II. In this case the function R(p) must satisfy the Bessel equation (3.5.6)
with the boundary conditions R(Pmax) = O. The general solution apart from a
constant is
m= 0,1,2, ...
where Xn is a zero of the Bessel function Jm and where we make the identification
7 = (xn/ Pmax)2 and hence from (3.5.8) II = -7 = -(xn/ Pmax)2. Returning to
(3.5.5), we see that Z(z) must satisfy this ordinary differential equation with the
boundary condition Z(O) = O. Apart from a constant, the general solution can
be written as
Z(z) = sinh(zv'=il) = sinh(xnz/ Pmax)
230 3. BOUNDARY-VALUE PROBLEMS IN CYLINDRJCAL COORDINATES
Hence we have the general separated solution of type II:

(3.5.10) UlI(P,!P, Z) = Jm(PXn/ Pmax) (Am cos m!p + Bm sin m!p) sinh (xnz/ Pmax)
Type III. As in the case of type II, the function R(p) must satisfy the ordinary
Bessel equation (3.5.4) with the boundary conditions R(Pmax) = O. Apart from
a constant, the general solution is
m = 0,1,2, ...
where Xn is a zero of the Bessel function Jm and where we make the identification
"Y = (xn/ Pmax)2 and hence from (3.5.8) 1/ = -"'( = -(xn / Pmax)2. Returning to
(3.5.5), we see that Z(z) must satisfy this ordinary differential equation with the
boundary condition Z(L) = O. The general solution, apart from a constant, can
be written as
Z(z) = sinhL - z)vCzI) = sinh(xn(L - z)/Pmax)
Hence we have the general separated solution of type III:
(3.5.11)
UlII(P, cp, z) = Jm{pxn/ Pmax) (Am cos m!p + Bm sin m!p) sinh(xn{L - z)/ Pmax)
These separated solutions can be combined to solve various boundary-value
problems for Laplace's equation.
EXAMPLE 3.5.1. Find the solution of Laplace's equation in the finite cylinder
o< z < L, 0 < P < Pmax satisfying the boundary condition that U = 1 for
P = Pmax and U = 0 for z = 0, z = L.
Solution. We use the separated solutions of type 1. Since the boundary
conditions are independent of !p, it suffices to take m = O. A general sum of
separated solutions of type I with m = 0 is written
00
u{p, z) = L Ale l o{k1fp/ L) sin(k1fz/ L)

Ie=l
In order to satisfy the boundary condition at P = Pmax, we must have

00
1 = LAle1o(k1fPmax/L) sin (k1fz/L)

Ie=l
This is a Fourier sine series for the function fez) = 1,0 < z < L, whose expansion
is
1= i L sin{k1fz/L)
1f leodd k
which allows one to solve for the coefficient Ak and obtain the solution of Laplace's
equation
( ) 4 E sin(k7rz/L)Io(ktrp/L)
u p, Z =;. kodd k 10 (k7rPmax/ L)
EXAMPLE 3.5.2. Find the solution of Laplace's equation in the finite cylinder
o < z < L, 0 < P < Pmax satisfying the boundary condition that u = 1 for z = L
and u = 0 for z = 0, P = Pmax.
Solution. We use the separated solutions of type II. Since the boundary
conditions are independent of tp, it suffices to take m = O. A general sum of
separated solutions of type II with m = 0 is written
00
n=l
In order to satisfy the boundary condition at z = L, we must have
00
1= L AnJo(pxn/Pmax) sinh (xnL/ Pmax)

n=l
This is a Fourier-Bessel series for the function f(p) = 1,0 :5 P < Pmax whose
expansion is
1= 2 f:
n=l
JO(pxn/ Pmax)
Xn J 1(xn)
which allows one to solve for the coefficient An and obtain the solution of Laplace's
equation
_ 2~ JO(pxn/ Pmax)
u (p, Z ) - L-t J . /)
n=l Xn l (xn) smh(xn L Pmax
3.5.3. Solutions of the heat equation with zero boundary conditions.
In this subsection we first determine the separated solutions of the heat equation
that are zero on the the boundary of the finite cylinder. Referring to the separa-
tion of variables introduced in (3.5.1), we see that we must have Z(O) = 0 = Z(L)
and R(Pmax) = O. Hence, apart from a constant,
R(p) = Jm(pxn/ Pmax) , Z(z) = sin(k7rz/ L)
and we have the separated solutions of the heat equation with zero boundary
conditions:
u(p, tp, Z; t) = Jm(PXn/ Pmax) (Am cos mtp + Bm sin mtp) sin (k7rz/ L)e-~Kt
where
These may be used to solve various initial-value problems for the heat equation
with zero boundary conditions.
EXAMPLE 3.5.3. Solve the heat equation Ut = KV 2u in the finite cylinder
o < Z < L, 0 ~ P < Pmax with the initial conditions u(p, <p, Zj 0) = 1 and the
boundary conditions that u = 0 on the top, bottom, and lateml boundaries of the
cylinder. Find the relaxation time.
Solution. Since the boundary conditions are independent of <p, we look for
a solution with m = O. The general sum of solutions of this type is written
u(p, Zj t) = E AknJO(PXn/Pmax) sin (ktrz/ L)e-A1cnKt
k,n
The initial conditions require that
1= E AknJo(PXn/Pmax) sin (k7rz/ L)
k,n
This is a Fourier sine series for the function 11 (z) = 1, multiplied by a Fourier-
Bessel series for the function h (p) = 1. The appropriate expansion is
1= ~ E sin(k7rz/ L) JO(pxn/ Pmax)
7r kodd ,n~l kXnJI (xn)
so that the solution of the heat equation is
sin(ktrz/L) Jo(pxn/Pmax) -AL Kt
U (p, Zj t ) = -8 "
L...J e ..n
7r kodd,n~1 kxnJ I(xn)
The relaxation time T is found from the first nonzero term of the series; thus
AllKr = 1, r- 1 = KAu = K ({7r/L)2 + (xtfPmax)2)
3.5.4. General initial-value problems for the heat equation. We can
combine the methods of the previous two subsections to treat a general initial-
value problem for the heat equation in the finite cylinder, with nonhomogeneous
boundary conditions. This has the form
(3.5.12) Ut = KV 2u+r
u{p,cp,O,t) = T1{p,cp)
u(p, cp, L; t) = T2 (p, <p)
u(Pmruo cp, z; t) = T3{Z, cp)
u(p, <p, z; 0) = I(p, cp, z)
Note that we have included a source term, as well as the most general nonho-
mogeneous boundary conditions. The analysis proceeds by means of the five-
stage method. In stage 1 we find a steady-state solution; the function Uo(p) =
(r / K) (rrnax - 1') can be used to replace the source term by r = 0, at the ex-
pense of changing the initial and boundary conditions. Then we solve Laplace's
equation with the new boundary conditions to obtain the steady-state solution
U(p, <p, z). In stage 2 we define v(p, <p, Z; t) = u(p, <p, Z; t) - U(p, <p, z), which sat-
isfies the heat equation with r = 0 and with zero boundary conditions. This is
written as a sum of separated solutions:
v(p, <p, Z; t) =
L Jm(pxn/Pmax)(Akmn cosm<p + Bkmn sin m<p) sin (k1rz/ L)e-).lcmn Kt
k,m,n
The coefficients A kmn and Bkmn are determined by expansion of the function
f(p, <p, z) - U(p, <p, z) =
L Jm(pxn/ Pmax) (Akmn cosm<p + BkmrJ3in m<p) sin(k1rz/ L)
k,m,n
This gives the formal series solution of the problem
u(p, <p, z; t) = U(p, <p, z) + v(p, <p, z; t)
Stage 4 consists of verifying that the series that define U,Ut, u z , U zz , uP' uPP ' U""
u!ptp are uniformly convergent and thus U is a smooth function of (p, <p, z, t) that
satisfies the heat equation. Stage 5 consists of the asymptotic analysis:
u(p, <p, z; t) - U(p, <p, z) = O(e-).lllKt) t ---* 00
For large time the solution tends to the steady-state solution and the relaxation
time T is given by the first nonzero term of the series, AU1Kr = 1, provided that
the corresponding Fourier coefficient is nonzero.
EXERCISES 3.5
1. Find the solution u(p, <p, z) of Laplace's equation V 2u =
0 in the finite
cylinder 0 ~ P < Pmax, 0 < z < L satisfying the boundary conditions
u(Pmax,<P,z) = 0 for -1r ~ <p ~ 1r, 0 < Z < L; u(p,<p,O) = 1 for 0 ~ P <
Pmax, -7r ~ <p ~ 7r; u(p, <p, L) = 0 for 0 ~ P < Pmax, -1r ~ <p ~ 1r.
2. Find the solution of Laplace's equation in the finite cylinder 0 ~ P < Pmax,
o < z < L satisfying the boundary conditions u(Pmax, <p, z) = 0 for -1r ~
<P ~ 1r I 0 < z < L; u(p, <p, 0) = Tl for 0 ~ P < Pmax, -'Ir ~ <p ~ 'Ir;
u(p, <p, L) = T2 for 0 ~ P < Pmax, -'Ir ~ <p ~ 'Ir.
3. Find all of the separated solutions u(p, <p, z) of Laplace's equation V 2 u = 0
in the finite cylinder 0 ~ P < Pmax, 0 < z < L satisfying the boundary
conditions u(p, <p, 0) = 0 = uz(p, <p, L) for 0 ~ P < Pmax, -1r ~ <p ~ 'Ir.
4. Find the solution u(p, <p, z) of Laplace's equation V 2 u = 0 in the finite
u(p, <p, 0) = 0 = uz(p, <p, L) for 0 ~ P < Pmaxl -'Ir ~ <p < 'Ir; U(Pmaxl <p, z) =
1 for -'Ir ~ cp :::; 'Ir, 0 < z < L.
5. Find the solution u(p, cp, z) of Laplace's equation V 2 u = 0 in the finite

u(p, cp, 0) = 0 = u(p, cp, L) for 0 ~ P < Pmax, -'/r ~ cp < '/r; u(Pmax, cp, z) = z
for -'/r ~ I{J ~ 1r, 0 < z < L.
6. (a) Find all of the separated solutions of the heat equation in the finite
cylinder 0 < z < L, 0 < P < Pmax satisfying the boundary conditions that
U z = 0 on the top and bottom and up = 0 on the side.
(b) Use these to write the general solution of an initial-value problem
with these boundary conditions.
7. (a) Find all of the separated solutions of the heat equation in the finite
cylinder 0 < z < L, 0 < P < Pmax satisfying the boundary conditions that
u = 0 on the top and bottom and up = 0 on the side.
(b) Use these to write the general solution of an initial-value problem
with these boundary conditions.
CHAPTER 4
SPHERICAL COORDINATES
INTRODUCTION
In this chapter we consider boundary-value problems in regions with spherical

boundaries. Section 4.1 treats some spherically symmetric problems, which can be
reduced to one dimension and solved in terms of elementary functions. In Sec. 4.2
we develop the properties of Legendre functions and spherical Bessel functions.
These are applied in Sec. 4.3 to the solution of more general boundary-value
problems in spherical coordinates.
4.1. Spherically Symmetric Solutions

Recall that spherical coordinates are defined by the formulas
(4.1.1 ) x = r sin 0 cos IP
Y = r sin 0 sin IP
z = rcosO
The three-dimensional distance r satisfies r ~ 0, r2 = x 2 + y2 + Z2. The polar
angle 0 measures the colatitude, i.e., the angle that the vector (x, y, z) makes
with the positive z-axis. The azimuthal angle IP measures the longitude, i.e., the
angle that the vector (x, y, 0) makes with the positive x-axis in the xy plane. By
convention 0 ~ 0 ~ 1r and -1T ~ cp ~ 1T, where 0 = 0 and 0 = 1T correspond to
the positive (resp. negative) z-axis and where the variable cp is undefined. This
is illustrated in Fig. 4.1.1.
Let u(x, y, z) be a smooth function and V 2 u = uzz+ul/Y+uzz , the Laplacian of
u. A new function U is defined by U(r, 0, cp) = u(r sin 0 cos cp, r sin 0 sin t,O, r cos 0).
As in the discussion of cylindrical coordinates, we emphasize that the mapping
U -+ U produces a smooth function of (r, 0, cp) for every choice of the smooth
function u(x, y, z), but there are many smooth functions of (r, 0, cp) that do
not arise this way. For example, U (r) = r2 comes from the smooth function
u(x, y, z) = x 2 + y2 + z2, whereas U(r) = r does not correspond to a smooth
function of (x, y, z). We expect that solutions produced in spherical coordinates
will correspond to smooth functions of (x, y, z), which frequently provides a con-
venient consistency check of symbolic computations.
235
236 4. BOUNDARY-VALUE PROBLEMS IN SPHERICAL COORDINATES
~(X. y. z)
/1
I I
I I
,
I
I
y
x
FIGURE 4.1.1 Spherical coordinates.
4.1.1. Laplacian in spherical coordinates. We wish to compute V 2u in

terms of Urr, U r , Ugg, etc. In order to simplify the exposition, we shall write
instead U rr ' Ur , Ug for the indicated partial derivatives. This simplification will
cause no confusion.
To compute V 2 u, we first recall the result from Sec. 3.1 for the Laplacian in
cylindrical coordinates:
1 1
(4.1.2) U xx + U yy = u pp + pup + p2 ucpcp
The polar coordinates (p, cp) obey the relations
x = pcoscp
y = psincp
From the formulas for z and x, we have

z = rcos8
p = rsin 8
Therefore (z, p) are obtained from (r,8) in exactly the same way that (x, y) are
obtained from (p, cp). Thus we must have
1 1
(4.1.3) Uu + u pp = Urr + -r Ur + 2'
r
Ugg
Adding (4.1.2) and (4.1.3), we have

1 1 1 1
(4.1.4) U xx + u yy + U zz = U rr + - Ur + 2' Ugg + - up + .n2 ucpcp
r r P f'
4.1. SPHERICALLY SYMMETRIC SOLUTIONS 237
It remains to compute up. From the chain rule for partial derivatives, we have
ar 80 8cp
up = ur8p +U8 ap +utp8p
The transformation from cylindrical coordinates to spherical coordinates gives
r = (p2 + Z2)1/2, fJ = tan- 1 p/z, cp = cp. From this it follows that 8r/8p = piT,
8fJ/8p = (cosfJ)/r, 8cp/8p = O. Substituting these in the equation for up, we have
p cos 0
up = U r -r + U or- -
Substituting this into (4.1.4) and rearranging yields the result
2 1 2
(4.1.5) V 2u = Urr + - Ur + "2 (uoo + cot 0 Us + csc fJ utptp)
r r
This is the required formula.
EXAMPLE 4.1.1. Compute V 2(X2 + y2 + z2)5/2.
Solution. If we were to use the definition of V2, this would be a tedious
computation. Noting that the function is expressed in spherical coordinates as
r 5 , we have
V 2 (r5 ) = 20r 3 + ~ 5r 4
r
= 30r3
4.1.2. Time-periodic heat flow: Applications to geophysics. As a first

application of spherical coordinates, we reconsider the geophysics problem from
Sec. 2.1. Now we assume that the earth is a perfect sphere of radius a and, as
before, that the surface temperature is a periodic function of time. Thus we have
the boundary-value problem
(4.1.6) Ut = KV 2u - 00 < t < 00, 0 ~ x 2 + y2 + Z2 < a2
00 < t < 00, x + y2 + Z2 = a
2 2
u(x, y, Zj t) = uo(t) -
Taking spherical coordinates, we look for the solution in the form u = u(r; t).
Thus we must have
u, = K ( Urr + ~ Ur) - 00 < t < 00, 0 ~ r < a

u(a;t) = uo(t) - 00 < t < 00
This can be reduced to the heat equation in one dimension by introducing the
new function
w(r; t) = ru(r; t)
Thus Wt = rUt, Wr = rUr + U, Wrr = rUrr + 2ur Multiplying the heat equation
by r and making these substitutions, we have
(4.1.7) Wt = KW rr < t < 00, 0
- 00 ~ r<a
w(a; t) = auo(t) -oo<t<oo
w(O; t) =0 -oo<t<oo
The final boundary condition comes from the fact that the temperature at the
center of the sphere must be finite for all time.
The result of the above transformations is to reduce the three-dimensional
spherically symmetric heat flow problem to a one-dimensional heat flow problem
in a slab with zero tempemture on one face. 1 This problem can be solved by
looking for complex separated solutions
w(r; t) = elWte"Yr
Substituting in the heat equation (4.1.7), we find that "l = iw/ K; hence 'Y =
v'w/2K(1 + i), which yields the complex separated solutions
e -cr e,(wt-cr) ,
C=J2~
To match the boundary conditions, we assume that uo(t) has been expanded as
a Fourier series.
~( 27rnt . 27rnt)
Uo(t) = Ao+ ~ AncOST+BnSlnT
L
00
= O'.n e2'1nnt/T
n=-oo
Therefore it suffices to solve the problem with uo(t) = e2wt and to take the real
and imaginary parts. For this we try a linear combination of complex separated
solutions
w(rj t) = C 1e- cr e'(wt-cr) + C 2e cr e,(wt+cr)
The boundary conditions at r = 0 and r = a require that
o = C 1ewt + C 2e IWt
ae wt = C 1e- ca e l (wt-ca) + C 2 e ca e,(wt+ca)
Thus C 1 + C 2 = 0, a = C 1e-cae-'ca + C2ecaeica. Solving these two equations
simultaneously and simplifying, we have
. ec(I+i)r _ e-c(lH)r
W - ae lWt ---,--....,..-----:--......,.,..-
(r',t)- e c(1+I)a _ e-c(I+i)a
IThis general principle applies to all the applications discussed in this section.
The original problem is therefore solved by
where we have set Wn = 27rn/T, en = v7rnl KT.

EXAMPLE 4.1.2. Find the solution of the heat equation Ut = KV 2 u for -00 <
t < 00, in the sphere 0 < r < a, satisfying the boundary condition u(a; t) =
Ao + Al coswt. Find u(O; t).
Solution. We take 00 = Ao, 01 = 0-1 = ~Al' The solution is
aA l ec(l+i)r _ e-c(l+,)r
lWt
(4.1.8) u(r; t) = Ao +7 Re e ec(l+I)a _ e-c(l+i)a
where c = VwI2K. To find u(O; t), we may appeal to L'Hospital's rule to take
the limit when r -+ O. Thus

u ( 0; t ) = r-.O
(
hm u r; t =
)
Ao + aA I Re e
lWt 2c(1 +_i)(1+ )
eC(1+ t )a _ e c t a

It is instructive to compare the solution (4.1.8) of Example 4.1.2 with the

solution for the flat earth in Chapter 2. To do this, we let z = a - r and
consider the limit when a -+ 00 with z fixed. This corresponds to observing
the temperature at a shallow depth. Removing a factor of ec(l+,)a from the
denominator and removing the factor ec(l+,)r from the numerator, we have
(4.1.9) u(r; t) = Ao + -aA 1 Re ec(r-a)e'[wt+c(r-a}]_-_ _-:--~

1 e- 2cr (l+l)
r 1 - e-2ca (l+a)
If a -+ 00, r -+ 00 with z = a - r fixed, the final fraction tends to 1 and
(4.1.10) lim u(r; t)
a~oo
= Ao + Al Re e-c%ei(wt-cz) = Ao + Ale-cz cos(wt - cz)
This is exactly the solution we found in Sec. 2.1, Example 2.1.3 for the flat earth.
Hence we see that, for shallow depths, the earth's surface can be assumed flat. To
make a numerical estimate, note that the solution (4.1.9) differs from the solution
(4.1.10) in two respects: (i) the factor air and (ii) the exponential terms in the
numerator and denominator of the final fraction. Assuming the approximate
values a = 6400 km, z = 1.6 km, K = 2 X 10- 3 cm, T = 3.15 X 107 s, we have
c = vwl2K, cr = 1.02 X 107 , so that e- cr is negligibly small. On the other hand,
air = 0.99974, so that if we replace air by 1, we incur less than 0.1 percent error
in the solution.
This concludes the discussion of the time-periodic solutions of the heat equa-
tion.
4.1.3. Initial-value problem for heat flow in a sphere. As a second ap-

plication of spherical coordinates we consider the following initial-value problem
for heat flow in a sphere:
( 4.1.11) Ut = KV 2 u t > 0,0 ~ r <a

u(a;t) = T t t>O
u(r; 0) = f(r) O~r<a
where f(r), 0 ~ r < a, is a given piecewise smooth function. This problem

is solved by the five-stage method introduced in Chapter 2. The steady-state
solution that satisfies the heat equation and boundary condition is U = Tt
Subtracting this, we have the transformed problem with T t replaced by zero and
f(r) replaced by f(r) - T 1 Introducing the new function w = r(u - U), the
problem reduces to
(4.1.12) Wt = KW rr t> 0,0 ~ r <a

w(a; t) = 0 t>O
w(O; t) = 0 t>O
w(r; 0) = r[f(r) - Ttl O~r<a
This is a one-dimensional problem for heat flow in a slab, for which we know the
separated solutions:
w(r; t) = sin n1fr e-(mrla)2Kt n= 1,2, ...

a
Therefore, by superposition, we have solved the original problem in the form
(4.1.13)
The coefficients Bn can be obtained by setting t = 0 and using the formulas from
Fourier series. Thus,
1~ . n1fr
(4.1.14) f(r) = Tl + - L,Bn sm- O<r<a
r n=l a
Bn = -2 J.a .
r[f(r) - T t ] sm -n1f'r dr n= 1,2, ...
a 0 a
If f(r), 0 ~ r < a, is piecewise smooth, the series (4.1.13) converges for 0 ~ r ~ a
and u satisfies the heat equation, initial conditions, and boundary conditions.
The relaxation time can be found by taking the first term of the series; thus
T = a /tr K if Bl =fi O.
2 2
The temperature at the center of the sphere is found by noting that

limr~o (1 / r ) sin n7rr / a =
n7r / a. Thus,
00
u(O; t) = lim u(r; t) = Tl + ~n7r B ne-(mr/a)2 Kt

r~O ~ a
n=l
In using this to compute the temperature at the center for small times, we must
be careful in estimating the sum of the series. Indeed, we expect on physical
grounds (and it can be proved mathematically) that u(O; t) is no larger than Tl
and the maximum of f, and no smaller than Tl and the minimum of f. This
should be reflected in practical computations based on the series solution we have
just found.
EXAMPLE 4.1.3. Let fer) = T2 , a constant. Find the solution u(r; t). For
the numerical values K = 0.03, a = 0.5, Tl = 0, T2 = 100, find the relaxation
time and estimate u(O; t) for t = 5, t = 1, t = 0.1.
Solution. In this case the formula (4.1.14) gives
Bn =
2(T2 - T 1 ) /.4 . rSln- r
n7rr d
a 0 a
These integrals were computed in Example 1.1.1, with the result
2
-
/.4 rsm-dr=
. (_l)n+l
n7rr
-
2a
a 0 a n 7r
Therefore, from (4.1.13), we have the solution
2a(T2-Td~(-1)n+l. n7rr -(n1r/a)2Kt
U (r; t ) = T1 + ~ sm - e
7rr n=l n a
At the center we have
00
u(O; t) = Tl + 2(T2 - T 1 ) L( _1)n+I e -(mr/a)2 Kt

n=l
For K = 0.03, a = 0.5, we have 7r K/a = 1.18, to two decimals. The relaxation
2 2
time is r = 1/1.18 = 0.85, to two decimals. For t = 5, the first term of the series
is 0.0027 and the remaining terms are less than 10- 11 This leads to the estimate
u(O; t) = 0.54. For t = 1, the first two terms of the series are 0.3073 - 0.0089
and the remaining terms are less than 10-4 This leads to the estimate u(O; 1) =
59.68, to two decimal places. For t = 0.1, the first five terms of the series are
0.8887 -0.6237+0.3458-0.1514+0.0523 = 0.5117. If we use this to estimate the
temperature, we have u(Oj 0.1) = 102.34, to two decimals, a physically unrealistic
result. To obtain a more realistic result,. we may average the fourth and fifth
partial sums of the series. This leads to the estimate u(O; 0.1) = 97.11, to two
decimals .
At the end of this section we will discuss in some greater detail the preceding
convergence problems.
As our next application, we consider the problem of a sphere that exchanges

heat with the outside according to Newton's law of cooling, Le., the heat flux
across the boundary is proportional to the difference between the surface temper-
ature and the outside temperature. In addition, we assume that heat is produced
at a constant rate u. Problems of this type occur when we consider apples placed
in a refrigerator.
The mathematical problem is expressed as follows:
(4.1.15) Ut = KV 2u + u 0 ::; r < a, t > 0

au
-k ar (a; t) = h[u(a; t) - T 1] t >0
u(r; 0) = f(r) 0 ::; r < a
where h > 0, k > 0, and f(r),O ::; r < a, is a piecewise smooth function. The
initial and boundary conditions are independent of (8, cp), and therefore we may
expect the solution in the form u = u(r; t). Letting w(r; t) = ru(r; t), we have
Wt = rut, Wr = rUr + u, Wrr = rU rr + 2ur = rV u. We multiply the equations
2
(4.1.15) by r. In terms of w(r; t) the problem becomes
(4.1.16) Wt = K Wrr + ur 0 ::; r < a, t > 0

-k (w r -;) (a;t) = h[w(a;t) - aTd t>0
w(Oj t) =0 t >0
w(r; 0) = r f(r) 0 ::; r < a.
This boundary-value problem for w is a one-dimensional problem that can be

solved by the five-stage method of Chapter 2. Note that we have the additional
boundary condition at r = O.
Stage 1. The steady-state equation is KWrr + ur = 0 with the two boundary

conditions at r = 0, r = a. The general solution of this ordinary differential
equation is
ur3
W(r) = -6K +A+Br
where A and B are arbitrary constants. The boundary condition W(O) = 0

requires that A = O. To analyze the boundary condition at r = a, we write

ur2
W'(r) = - - + B
2K
W'(r) _ W(r) ur2 ur2
r = B- 2K -B+ 6K
= 3K
h[W(r) - rTd = h (Br - :~ - rTI)
Therefore B is determined by the equation
-k( -;~) =h(Ba- : ; -aTI )

The solution is
ru 2 2 ( uak)
(4.1.17) W(r) = 6K (a - r )+r Tl + 3hK
We can use this to compute the total flux out of the sphere in steady state. In
terms of the original temperature function u, we have
-k aul = h(u-Tdlr=a = h(w-rTdl = ua

ar r=a r r=a 3
2
Multiplying this by the surface area 47ra , we have the total flux (J47ra 3 /3. This
agrees with physical intuition, since the only way that heat can flow across the
boundary in steady state is from the source term (J.
Stage 2. We use the steady-state solution to transform the problem. Letting
v(r; t) = w(r; t) - W(r), we have the equation for v:
= K Vrr
Vt 0 :::; r < a, t > 0
v(O; t) = 0 t>0
k
-kvr(a; t) = hv(a; t) - -v(a; t) t >0
a
v(r; 0) = r f(r) - W(r) 0 :::; r <a
Stage 3. The separated solutions of the problem for v can be easily obtained.
Writing v(r; t) = R(r)T(t), we have the equations T' + )"KT = 0, R" +)"R = 0
with the boundary conditions R(O) = 0, H(a) = (l/a - h/k)R(a). The first
equation can be solved within a constant by T(t) = e->'Kt. The equation for R(r)
is a Sturm-Liouville eigenvalue problem,
R" +)"R = 0, R(O) = 0, k R'(a) + ( h - D R(a) =0

This will be solved as in Example 1.6.3.
244 4. BOUNDARY-VALUE PROBLEMS IN SPHERlCAL COORDINATES
If A = 0 is an eigenvalue, then the corresponding eigenfunction satisfying the

first boundary condition must be linear: R(r) = r; this will satisfy the second
boundary condition if and only if k + (h - k/a)a = 0, which implies h = O-a
contradiction if h > O.
If an eigenvalue satisfies A = _1-'2 < 0, then the corresponding eigenfunction
satisfying the first boundary condition must be, to within a constant, R(r) =
sinh p,r. This will satisfy the second boundary condition if and only if tanh(ap,) =
kaP,/(k - ah), which has no solution p. ~ 0 if h > O.
Therefore all of the eigenvalues are positive and the corresponding eigenfunc-
tions are, to within a constant multiple,
Rn(r) = sinrA
The eigenvalues {An} are solutions of the equation a~ cot(a~) = 1- (ha/k).
They may be obtained graphically when we are given the numerical values of a,
h, and k. For large n they have the asymptotic behavior a~ = n7r + 0(1),
n --+ 00.
We can write the superposition of separated solutions as
00
(4.1.18) v(r;t) = LAnsinrAe->'n Kt

n=l
From Theorem 1.5, the eigenfunctions must be orthogonal. Thus
/." sinrAsinr.;I.;;dr = 0 n#m

The normalization can be computed as the integral
4 2
o sin rAdr =
/.
21/.11
0 (1- cos2rA) dr
= !
2
(a _sin2a~)
2~
The Fourier coefficients An can be obtained using these relations. Thus by setting
t = 0 in (4.1.18), multiplying by sin rA, and integrating, we have
(4.1.19) /."[r/(r) - W(r)]sinrAdr = An /." sin2 rAdr
EXAMPLE 4.1.4. Find the Fourier coefficients in the case where f(r) = T21 a
constant.
Solution. In this case we must compute the integral

2
[[rT2 - W(r)]sinrAdr= [[r(T2 - T, - ::;) - ;;(a _r 2 )]sinr A dr
We use the integrals

a
sin a/>. a cos a/>.
a
l
o rsin r..J5..dr = A
6sina/>.
/>.
6acosa/>. 2a2 sin aVA
l 2
o r(a - r2) sin n/Xdr = A2 A3/2 A
We substitute these in the above formulas and use the relation a/>. cot aVA =
1 - ha/k, with the result
[[rT2 - W(r)]sinry),dr = (T2 - TJ _ ;;~) sin~y), ~

- ; sin;2y), {~ - Hl- (~r])
Stage 4. We have obtained the formal solution of the problem (4.1.15) as
1 00
(4.1.20) u(r; t) = U(r) + ;: LAn sin r A e->'n Kt
n=l
where the steady-state solution U(r) = (0" /6K)(a 2 -r2 )+T1+O"ak/3Kh; the eigen-
values {An} are determined from the transcendental equation a~ cot a~ =
1- ha/k, and the Fourier coefficients {An} are obtained from (4.1.19). We have
An = 0(1) and a";>:;; = n1r + 0(1) when n ~ 00. Therefore for each t > 0,
the series (4.1.20) and the differentiated series for 'Ur, U rr ' and Ut all converge
uniformly for 0 ~ r ~ a. Thus u(r; t) is a rigorous solution of the heat equation.
Stage 5. When t ~ 00, the solution u(r; t) tends to the steady-state solution
U(r). We use the method from Chapter 2 to estimate the rate of approach; thus
1 00
;:LAn sinrAe->'n Kt = O(e->'lKt) t ~oo
n=l
Therefore u(r; t) - U(r) = O(e->'lKt), t ~ 00. Finally we compute the relaxation

time by noting that
u(r; t) - U(r) = Al sin rA

r
\K \
e- t + 0(e- A2Kt )
A1
t ~ 00
If Al ;f:. 0, the relaxation time is given by

1
(4.1.21) T =-
AIK
To obtain numerical estimates of the relaxation time, we may appeal to the graphs
in Fig. 4.1.2 .
(0.1)
'\3
Case 3 -------- y =1- kha > 0
C~e2~---+=---~--~~--~--~~---x=aiX
2.
(5 0)
y=l-": =0
Case 1
FIGURE 4.1.2 Determination of the eigenvalues An as solutions of the

transcendental equation a-/X cot (a-/X) = 1 - ha/k.
Case 1: -ha/k < O. Case 2: 1- ha/k = O. Case 3: 1 - ha/k > O.
EXAMPLE 4.1.5. If K = 0.30, a = 0.50, h = 0,08, and k = 0.303, find the

relaxation time.
Solution. We have 1 - ha/k = 0.868. The smallest solution of the equation

x cot x = 0.868 is x = 0.62; thus ~ = 0.62/0.50 = 1.24. The relaxation time is
r = 1/(0.30)(1.24)2, about 2 seconds.
The heat equation can be used to study the cooling of an apple placed
into a refrigerator. Assuming a perfect sphere of radius a = 2 in, diffusivity
K = 0.720 in2/h, and Biot modulus hal k = 1.0, we have, for the first eigen-
value a.;A; = 7r/2, .;>::; = 0.7854 and the relaxation time r = 1/A 1K =
1/(0.720)(0.7854)2, about 2 hours. From this we expect that within 10 hours
the apple will be within 1 percent of the ambient refrigerator temperature, rela-
tive to its initial temperature.
4.1.4. The three-dimensional wave equation. We close this section by

remarking that the preceding techniques can also be used to find spherically
symmetric solutions of the three-dimensional wave equation
U" = t?V2 u = t? ( UN" + ~ Ur )

which is satisfied by the scalar potential function of electromagnetic theory or by
the small pressure variations of a gas. To obtain solutions, we let w(rj t) = ru(r; t)
and obtain the equation for w:
This is the one-dimensional wave equation that was encountered in the discus-
sion of the vibrating string in Sec. 2.4, where we found the separated solutions
w(rjt) = (Asinkr+Bcoskr)(Ccoskct+Dsinkct). The function w must satisfy
the additional boundary condition that w(O; t) = O. This gives the separated
solutions of the wave equation in the form
(4.1.22) u(r;t) = ~sinkr(Ccoskct+Dsinkct)

r
These may be used to solve initial-value problems for the three-dimensional wave
equation.
EXAMPLE 4.1.6. Find the solution of the wave equation Utt = cV 2 u in the
sphere 0 ~ r < a satisfying the initial conditions that u(r; 0) = C, ut(r; 0) = 0
and the boundary condition that u( a; t) = 0, where C is a constant.
Solution. We look for the solution as a superposition of the separated solu-
tions (4.1.22) that satisfy the boundary condition:
(4.1.23) .)
u (r,t = L
~sin n7rr/a(cnCOS--
n7rct + Dn SIn
. -n7rct)
-
n=l r a a
The second initial condition requires that Dn = 0, while the first initial condition
requires that Cn be obtained as the Fourier coefficients in the expansion
C= fC Sinn;r/a n
n=l
From Example 1.1.1 this requires that Cn = (2aC/n7r)( _l)n+l, and therefore the
solution of the boundary-value problem is obtained as
. t) _ 2aC ~ (_l)n+l sin n7rr/a (n7rct)
(4.1.24) u (r, - - ~ cos - -
7r n=l n r a
We can also use these methods to solve boundary-value problems for the
wave equation with time-dependent boundary conditions, as illustrated in the
next example.
EXAMPLE 4.1.7. Find the solution of the wave equation Utt = c2V 2u in the
sphere 0 ~ r < a satisfying the initial conditions that u(r; 0) = 0, ut(r; 0) = 0
and the boundary condition that u(a; t) = Ecos(wt), where E and ware positive
constants.
Solution. In order to satisfy the wave equation, we begin with a separated
solution (4.1.22). In order to satisfy the boundary condition, we must choose
kc = w, D = 0, (Csin ka)/a = E. This is possible provided that sin(wa/c) -:F OJ
in other words, waf c =F n7r, n = 1, 2, . . .. If this is satisfied, then we have a
particular solution
asinwr/c) -I- n7rC
U(rj t) = E ( . / coswt w ,-
r sIDwa c a
We look for the solution of the initial-value problem as the above particular
solution plus a sum of separated solutions with zero boundary conditions:
u (r,. t ) -_ E (aSinwr/c)
. /
r smwa c
cos w t + ~
L..-J sinn7rr/a
n=1 r
(c n cos n7rd
a
+ Dn sm
. -
n1rd)
-
a
The second initial condition is satisfied by taking Dn = O. To satisfy the first
initial condition, we must have
0= E ('!.. s~nwr/c) +
r slDwa/c
t
n=1
Cn sin n1fr/a
r
We must find the Fourier sine series expansion of the function sin (wr / c). This is
easily obtained from the integrals
wr . n1fr d (_I)n sinwa/c
= -n1f
l ..J.. n1TC
B
sm - sm - r ~~~---:----..;......,...". w ,-
o c a a (W/C)2 - (n1f/a)2 a
which are now substituted into the series for u(r; t) to obtain the result
a sinwr/c)
(4.1.25) u(r; t) = E ( . / cosw t
r SlDwa c
2E . wa ~ n1f (_l)n sin 1Tr/a (n1Tct) ..J.. n1rC
- -sm-L..-J- cos - - w ,-
a c n=1 a (w/c)2 - (n1r/a)2 r a a
If w = n1Tc/ a for some n = 1,2 ... , then we can find the solution as a limiting
case of (4.1.25). A particular solution satisfying the boundary conditions is found
as
n1fr n1fct ct. n1Tr . n1Tct)
U(r;t) = E(-l)n ( cos- cos-- - -sID-sm--
a a r a a
The solution u(r; t) of the initial-value problem is obtained by examining the
other terms in the above series solution .
4.1.5. Convergence of series in three dimensions. We add a note of

warning, prompted by the discussion of Example 4.1.3, where we found that the
solution of the heat equation in spherical coordinates was badly approximated
by the series solution for small time. This is closely related to the phenomenon
of nonlocalization, which is particular to certain series of separated solutions in
three dimensions. The following proposition is noted.
PROPOSITION 4.1.1. Suppose that n(r) are the eigenfunctions of the three-
dimensional Sturm-Liouville problem
2
4>"(r) + -4>'(r)
r
+ >"4> = 0 0$ r <a
with the boundary condition (a) = O.
Let f (r ), 0 $ r < a, be a piecewise smooth function with Fourier coefficients
_ faa f(r)<pn(r) r2 dr
An - faa 4>n(r)2 r 2 dr
Then the orthogonal series En> 1 An <Pn (r) is convergent for 0 < r < a to the value
(f(r + 0) + fer - 0))/2. At r-= 0 the convergence takes place if and only if f
satisfies the boundary condition f (a) = O.
Proof. Explicitly, the eigenfunctions and Fourier coefficients are
<Pn(r) = ~ sin (n:r)

An = ~ 1" J{r)
r sin c;r) dr
The convergence for 0 < r < a follows from Theorem 1.1 in Chapter 1, applied
to the function r f(r), whose Fourier sine series is precisely the above orthogonal
series, multiplied by the factor r.
At r = 0 the eigenfunctions are defined by continuity: 4>n(O) = ntr la. Inte-
gration by parts reveals that
An = _2. fa r f(r)~ (cos (n'ffr)) dr

ntr Jo dr a
= ( -1 ) n+l 2a f(a)
ntr
+ -2
ntr
La cos (ntrr)
0
-
a dr
-d (rf( r dr
An4>n{O) = 2(-1t+ 1 J{a) +~ 1" cos (n;r) ! (r J{r)) dr
The final integral is the Fourier cosine coefficient of the function (r f), and thus
provides the general term of a convergent series. However, the first term will
yield a divergent series, unless f(a) = O. Indeed, the contribution of the first
term is 2( _l)n+l f(a), which is divergent unless f(a) = O.
In other words, this is the phenomenon of nonlocalization: the convergence of

the series at r = 0 depends on the behavior of the function at the distant point
r = a. This is a particular feature of certain orthogonal expansions in several
variables, and is not present in one-dimensional Fourier series.
EXERCISES 4.1
In Exercises 1 to 7, use formula (4.1.5) to compute the indicated expressions.
1. V 2 (r3 )
2. V 2(r2 sin30)
3. V2 (r)
4. V2(0)
5. V 2(r2 sin2 0 cos 2~)
6. V2(e3r )
7. V2(rn), n = 1,2, ...
8. Show that V2[J(r)] = (l/r)(r f)" where f(r) is a smooth function of one
variable.
9. Show that the general solution of the equation V 2 [j(r)] = 0 is f(r) =
A + Blr for arbitrary constants A, B.
10. Show that the general solution of the equation V 2 [J(r)] = -1 is I(r) =
A + B Ir - r2/6 for arbitrary constants A, B.
11. Solve the equation V 2 [/(r)] = -1 with the boundary condition f(a) = 0
and 1(0) finite.
12. Solve the equation V 2 [J(r)] = -r2 with the boundary condition f(a) = 0
and 1(0) finite.
13. Solve the equation V 2 [j(r)J = _r 4 with the boundary condition I(a) = 0
and f(O) finite.
14. Find the solution u(r; t) of the heat equation Ut = KV 2u, -00 < t < 00, in
the sphere 0 ~ r < a satisfying the boundary condition u(a; t) = 3 cos 2t.
15. Find the solution u(r; t) of the heat equation Ut = KV 2 u, -00 < t <
00, in the sphere 0 ~ r < a satisfying the boundary condition u(a; t) =
Al cosw(t - to) where All W, and to are positive constants.
16. Find the solution u(r; t) of the heat equation Ut = KV 2 u, -00 < t < 00, in
the sphere 0 ~ r < a satisfying the boundary condition u(a; t) = 2 cos 3t +
5 COS7rt.
17. Find the solution u(r; t) of the heat equation Ut = KV 2u + a in the sphere
o ~ r < a satisfying the boundary condition u(a; t) = Tl and the initial
condition u(r; 0) = T2 Use the five-stage method, and find the relaxation
time.
18. Find the solution u(r; t) of the heat equation Ut = KV 2u in the sphere
o ~ r < 2a satisfying the boundary conditions u(2a; t) = Tl and the initial
conditions u(r; 0) = T2 for 0 ~ r < a and u(r; 0) = 0 for a ~ r < 2a.
4.2. LEGENDRE FUNCTIONS AND SPHERICAL BESSEL FUNCTIONS 251
19. Suppose a ball 0.5 m in diameter, initially at 100o e, is placed into a refrig-
erator that instantaneously cools the surface to OC. Find the approximate
temperature at the center at t = 5 minutes if the ball is made of (a) iron
(/< = 0.15 cgs unit) and (b) concrete (K = 0.005 cgs unit).
20. Consider the heat equation Ut = KV 2u in the sphere 0 ~ r < a with the
boundary condition au/ar = 0 at r = a. Find the separated solutions of
the form u(r; t) = f(r)g(t).
21. Find the solution of the heat equation Ut = KV 2 u in the sphere 0 ~ r < a
with the boundary condition au/ar = 0 at r = a and the initial condition
u(r;O) = Tl for 0 ~ r < ~a and u(r;O) = 0 for ~a ~ r < a.
22. Find the solution of the heat equation Ut = KV 2 u in the sphere 0 ~ r < a
with the boundary condition -k(8u/8r) = (k/a)(u - Tt} at r = a and the
initial condition u(r; 0) = T2 , 0 ~ r < a.
23. A green pea of radius a = 0.25 in, diffusivity K = 0.75 in2/h, and Biot
modulus ha/k = 1.0 is removed from a freezer and allowed to thaw. Find
the relaxation time.
24. This problem is designed to show that a~ = (n- ~}1r+O(I/n), n --t 00,
for the solutions of the equation a";>:;' cot a~ = b, b = 1 - ah/ k.
(a) From the graph in Fig. 4.1.2 show that (n - 1)7r < av'X:. < n7r,
n = 1,2,3, ....
(b) Defining new variables , y by a~ = (n- ~)7r+, y = 1/(n- ~)7r,
show that by = (1 + fY) tan f and -7r /2 < < 7r 12.
(c) Use the method of implicit differentiation to show that the solution
(y) with (O) = 0 has '(O) = b.
(d) Conclude that a';>:; = (n - ~)1r + bin + O(I/n2), n --t 00.
25. Let u = u(r; t) be a solution of the three-dimensional wave equation Uu =
2 2
C V U and let w(r; t) = ru(r; t). Show that w is a solution of the one-
dimensional wave equation Wtt = c'lwrr
26. Solve the following initial-value problem for the three-dimensional wave
equation Utt = C2 V 2u in a sphere of radius a: u(a; t) = 0, u(r; 0) = 0,
ut(r; 0) = (Air) sin n1rr/a, where A > 0 and n = 1,2, ....
27. Discuss the presence or absence of non localization for the expansion in
eigenfunctions of the Sturm-Liouville problem </>" + (2Ir)l/>'(r) + A</> = 0,
o ~ r < a, with the boundary condition that </J'(a) = o.
4.2. Legendre Functions and Spherical Bessel Functions
In the previous section we obtained separated solutions with radial symmetry
by reducing to a one-dimensional problem. In the present section we deal with
the general separated solutions, which involve new classes of special functions.
4.2.1. Separated solutions in spherical coordinates. Having obtained

the form of V2 u , we can obtain general solutions of the heat equation in spherical
252 4. BOUNDARYVALUE PROBLEMS IN SPHERICAL COORDINATES
coordinates. A fundamental first step is the construction of separated solutions.

(4.2.1) u(r, 0, <Pj t) = R(r)9(0)<1>(<p)T(t)
Substituting this into the heat equation in spherical coordinates, we obtain
(4.2.2)
2
1 ["() 2 '()] 1 ["() '()] csc 0<1>"(<p) T'(t)
R(r} R r +;:R r +r2 9(0) 9 0 +cot09 0 + r2<1>(<p) - KT(t) =0
The first three terms are independent of t, whereas the final term is a function
of t alone and therefore a constant, to be called -"\. Thus
(4.2.3) IT'(t) + "\KT(t) = 0 I
Multiplying (4.2.2) by r2, we see that the second and third terms are indepen-
dent of r, while the remainder depends upon r. Therefore we introduce a new
separation constant -J-l. This produces the equation
1 <1>" ( )
(4.2.4) -[8"(0) + cot 0 8'(0)] +csc2 0-<{}- =-j.L
9(0) (<p)
Multiplying (4.2.4) by sin2 0, we see that the term "(<p)/(<p) is independent of
0, whereas the remainder of (4.2.4) depends upon O. Introducing a new separation
constant - I ) , we have the equations
(4.2.5) 1<1>" (<p) + 1)<1>(}) = 0I
and
(4.2.6) 19"(0) + cot 0 8'(0) + (J-l- V csc2 0)8(0) = 0 I
Finally, the remaining part of (4.2.2) depends on r alone. Therefore we have the
equation
(4.2.7) IR"(r) + (2/r) R'(r) + (,,\ - (J-l/r2)) R(r) = 0 I
Thus we have reduced the heat equation to four ordinary differential equations:
(4.2.3), (4.2.5), (4.2.6), (4.2.7). These involve the three separation constants
(A, j.L, v), whose values will be determined below.
The solution of (4.2.3) is straightforward:
T(t) = e-~Kt
which is identical to the form obtained previously in rectangular and cylindrical
coordinates.
We are now ready to solve the angular equations (4.2.5) and (4.2.6). The
product 9(0)(<p) is called a spherical harmonic. It is our goal in this section to
obtain a complete system of spherical harmonics.
Equation (4.2.5) is straightforward. Indeed, from the physical meaning of

cp, we have the periodic boundary conditions ~(-7r) = ~(7r), ~'( -1r) = ~'(1r).
Therefore
~ (cp) = A cos mcp + B sin mcp m= 0,1,2, ...
1I = m2
Equation (4.2.6) is the associated Legendre equation. To obtain solutions of
this, we introduce the dimensionless variable s = cos O. With this notation,
~ . ~ ~8 '2~8 ~
dO = - sm e ds and d0 2 = sm 0 ds 2 - cos 0 ds
Thus (4.2.6) becomes
(4.2.8) ~8
(1 - s 2 ) d8
- - 2s- + ( p. - m2)
-- 8 = 0
ds 2 ds 1 - S2
This is a second-order differential equation with s = 0 an ordinary point; therefore

we can expect a power series solution, of the form 8(s) = E~=o ansn.
4.2.2. Legendre polynomials. We first consider the case where m = 0,

which is called the Legendre equation:
(4.2.9)
Assuming a power series solution 8(s) = E~=o~sn, we have

00 00
8'(s) =L nansn-l, 9"(s) = L n(n - 1)ansn- 2

n=O n=O
Substituting these in (4.2.9), we have
00 00 00
o= (1 - S2) 2: n(n - 1)an sn - 2 - 2s L nansn- 1 + J.L 2: a,.sn

n=O n=O "=0
00 00
= L n(n - 1)ansn- 2 + L[P. - 2n - n(n - l)]ans"

n=O n::::O
The first sum is the same as E~=o(n + 2)(n + 1)an+2sn. Therefore

00 00
0= L(n + 2)(n + 1)an+2sn + L[P. - n(n + l)]an sn

n=O n=O
Since a power series is zero if and only if all coefficients are zero, we must have
(n + 2)(n + 1)an+2 + [J.L - n(n + 1)]an =0 n = 0,1,2, ...
254 4. BOUNDARY-VALUE PROBLEMS IN SPHERlCAL COORDINATES
This yields the recurrence relation
n(n + 1) - P,
(4.2.10) a -
n+2 -
a
(n + 2)(n + 1) n n = 0,1,2, ...
The constants ao, at may be chosen arbitrarily, and, for any value of p" we obtain
two linearly independent power series solutions of the Legendre equation. If J.t
is of the form k(k + 1) for some integer k, then the recurrence relation (4.2.10)
shows that an = 0 for n = k + 2, k + 4, .... Therefore we may obtain a polynomial
solution in the following way: if k is even, choose al = 0, ao :/: O. Then from
(4.2.10), an = 0 for n = 3,5, .... Combining this with the fact that k + 2 is even,
we see that an = 0 for all n ~ 1 + k; in other words, 9(s) is a polynomial of
degree k. In case k is odd, we choose ao = 0, al :/: 0 and conclude in the same
way that an = 0 for n ~ 1 +k. In either case we conclude that if p, = k(k+ 1) for
an integer k, then ao, at can be chosen so that 9(s) is a polynomial of degree k.
This polynomial, denoted Pk(S), is called the Legendre polynomial of degree k.
In order to uniquely define Pk(s), we require a standard choice of ao, at.
Although by no means canonical, we follow established conventions and choose
these so that ak, the coefficient of Sk, is (2k)!/2 k(k!)2. We will now show that
this implies the easily remembered fact that Pk (l) = 1.
EXAMPLE 4.2.1. Compute P2(S),

Solution. We take k = 2, p, = 23 = 6, and a2 = 4!/22(2!)2 = ~. Taking
n = 0 in (4.2.10) yields a2 = -~ao; hence ao = -~. Thus P2(S) = ~S2 - ~ .
We list the few Legendre polynomials and the corresponding values of p, =
k(k + 1).
k J.t Pk(s)
0 0 1
1 2 S
2 6 (3s 2 - 1)/2
3 12 (5s 3 - 3s)/2
4 20 (35s 4 - 30s2 + 3)/8
The Legendre polynomials satisfy the following orthogonality relations, which

are a special case of the general orthogonality relations satisfied by the eigenfunc-
tions of Sturm-Liouville eigenvalue problems studied in Chapter 1, Sec. 1.6.
PROPOSITION 4.2.1. If kl :/: k2' then
(4.2.11) I: Pk,(S)Pk,(s)ds = 0
Proof. To prove the orthogonality, we write (4.2.9) for Pk1 (s):

(4.2.12) ((1 - S2)P~J' + kl(kl + 1) Pkl(S) = 0
Multiply (4.2.12) by Pk2(S) and integrate on the interval -1 < s < 1.
I: p.,(s) 1 - S2)p~, (s))' ds + k,(k, + 1) l~ p.,(s)p., (s) ds = 0
The first integral can be integrated by parts, and the endpoint terms vanish,
leading to
-I: (1 - S2) p~, (s)P~,(s) ds + k, (k l + 1) [ , p., (s) p .. (s) ds = 0
Now we interchange the roles of (kb Pk1 ) and (k2' Pk:J to obtain
-L (1 - S2) P{., (s)p'.. (s) ds + 1e,(1e, + 1) L p.(s) l'I(s) ds = 0

When we subtract these two equations, the first integrals cancel, leading to
(k, (k, + 1) - 1e,(1e, + 1)) L p., (s) p.,(s) ds = 0

But we have assumed kl :f; k2 ; hence we conclude the required orthogonality.
It is also important to recognize the orthogonality relation in spherical coor-
dinates. Making the substitution s = cos 0, ds = -sin 0 dO, we are led to
(4.2.13) /.. p., (cosO)p.,(cos 0) sinO dO = 0 kl " k2
The graphs in Fig. 4.2.1 give the Legendre polynomials for k = 0,1,2,3,4.
We now use the orthogonality of Legendre polynomials to obtain an important
representation of Pk (s ), known as Rodrigues' formula. To do this, we note that
any polynomial Q of degree k can be written as a finite sum L~=o Cj~(s). Indeed,
Pk(s) is a polynomial of degree k and thus, by choosing the coefficient Ck suitably,
we can arrange that Q(S)-CkPk(S) is a polynomial of degree k-1. Continuing this
iteratively, we arrive at the desired representation. We now apply this observation
to Q(s) = (d/ds)k(s2 - l)k, a polynomial of degree k. Thus
d)k k
(4.2.14) ( ds (S2 - 1)' = ~CjPj(S)
By orthogonality,
(4.2.15) (I P,(s)
J-1
(:)k (S2 _ 1)k ds = C 11 Pj(s)2ds
S
J
-1
The left side can be integrated by parts k times. The endpoint terms vanish and,
if j < k, (d/ds)k~(s) = O. Therefore c, = 0 for j < k. To compute Ck, recall
( 1. 1 )
I c r ' , z
(-1, - i)
FIGURE 4.2.1 Graphs of the Legendre polynomials y = Pk(S) for
k = 0, 1,2,3,4 and -1 $ S $ 1.
that the coefficient of sk in Pk(s) was taken to be (2k)!/2k(k!)2, On the other

hand, the coefficient of sk in (d/ds)k(s2 - l)k is 2k(2k - 1) ... (k + 1) = (2k)!jkL
Comparing the two, we see that ck(2k)!/2k (k!)2 = (2k)!/k!; thus Ck = 2kk! Hence
we have proved Rodrigues' formula,
(4.2.16) Pk(s) = -k-

1
2 k!
(d)k
-
ds
(S2 - 1)k
This will now be used to compute the integrals that appear on the right
side of (4.2.15). For this purpose we again integrate by parts k times and use
(d/ds)2k(S2 - l)k = (2k)! to write
(2'k!)2 L P,(s)2ds = L[(!r (S2 -l}J ds
= (_l)kjl (82 _l)k (~)2k (82 _ l)kds

-1 ds
= (2k)! L (1 - 2
8 )' ds
To do the final integral, denote its value by dk. Then
dk - dk - 1 =- j l s2( 1 - s2)k-l ds = -1 jl sd(1 - s2)k = -d-k

-1 2k2k -1
Thus we have the recurrence relation dk/dk-l = 2k/(2k + 1) and the initial value
do = 2. Iterating these, we have
2k(2k - 2) .. 42 22k + 1 (k!)2
k 2
d = (2k + 1)(2k - 1) ... 5.3 = (2k + 1)(2k)!
Substituting this in the previous equation, we find that
(4.2.17)
The Legendre polynomials satisfy a three-term recurrence relation, which will

now be derived. To do this, note that for any n ~ 2, sPn - 1 (s) is a polynomial
of degree n with no term of degree n - 1, and hence can be written as a linear
combination
n-2
sPn-1(s) = c~ Pn(s) + L cj~(s) n = 2,3, ...
j=O
e,: is obtained from the coefficient of Snj on the left side we have
(2n - 2)! n-l
sPn - 1 (s ) = s 2n - 1 [(n _ 1)!)2 s + lower-order terms
n (2n)! n I d
= 2n _ 12n(n!)2 s + ower-or er terms
n
= 2n _ 1 Pn ( 8 ) + lower-order terms
so that e,: = n/(2n - 1). To obtain the other coefficients, we have, by orthogo-
nality,
2
2""}cj
J+
= 11-1
S Pn-l(S) ~(s) ds O$.j::;n-2
From the above discussion we have
s~ ()
j +1
S = - 2 .1P3+1{S) + ~cl+l
L...J k Pk(s) 0~j$n-2
J+ k=O
In particular, if we take j = n - 2, we have
2 n n-1 2
2( n - 2) + 1 cn-2 = 2n - 3 2n - 1
whereas the lower-order coefficients c; are zero if j < n - 2, by the orthogonality
of the Legendre polynomials. Hence we have proved the recurrence relation in
the form
(4.2.18) I(2n -l)SPn-l{S) = nPn{s) + (n - 1)Pn- {s) 2 n=2,3, ... j
4.2.3. Legendre polynomial expansions. The integrals (4.2.17) can be
used to compute the coefficients in the expansion of a function in a series of
Legendre polynomials. Suppose that
00
f(s) = E AkPk(S)
k=O
and that the series converges uniformly for -1 ::; s ::; 1. Multiply by P'{s),
integrate term by term, and use orthogonality to obtain
1 f(s)~(s)ds = A311 P;(s)2ds = 2~AJ+ 1

1
-1 -1 J
This formula motivates the following theorem, which can be used to expand an
"arbitrary function" in a series of Legendre polynomials.
THEOREM 4.1. Let f (s), -1 < s < I, be a piecewise smooth function. Let
(4.2.19) 1
Ak = 2(2k + 1) 11
-1 f(s)Pk(s)ds k = 0,1,2, ...
Then
1
E AkPk(S) = 2[1(s + 0) + f{s - 0)]
00
(4.2.20) -1<s<1
k=O
At s = 1 (resp. s = -1), the series converges to f(1- 0) (resp. f(-1 + 0)).
The proof of this theorem will not be given. We now give an example of the
computation of the coefficients.
EXAMPLE 4.2.2. Let
/(s) = g a < s < b, -1 $ a < b $ 1

othenoise
Find the expansion of f(s) in a series of Legendre polynomials.
4.2. LEGENDRE FUNCTIONS AND SPHERlCAL BESSEL FUNCTIONS 259
Solution. To find the coefficients Ak , k ~ 1, we write Legendre's equation in

the form [(1 - S2)PkJ' + k(k + I)Pk = O. Integrating this equation for a < s < b,
we find that
(1 - S2)1{(S) I! + k(k + 1) t p.(s) ds =0
Therefore
2A. = k~~: ~) [(1 - a2)~(a) - 2
(1 - b )1{(b)] k ~1
The coefficient Ao is obtained from (4.2.19) as Ao = ~(b - a) .
On the interval 0 < s < 1, it is possible to expand a piecewise smooth function
f(s) in a Legendre series of the form E:tA2n+lP2n+l (s). To do this, we extend
f as an odd function, defined for -1 < s < 1, by setting f( -s) = -f(s). Then
the product f(s)Pk(s) is an odd function for k = 0,2,4, ... and an even function
for k = 1,3,5, .... Therefore we have
A. = ~(2k + 1) I: f(s)P.(s)ds
= {o
(2k + 1) Jo f(s)Pk(s)ds
1
= 0,2,4, ...
k
= 1,3,5,...
k
EXAMPLE 4.2.3. Expand f(s) = 1 in a series of the fonn 2:/:=0 A2n+lP2n+I(S).
Solution. We have
1
1
1
o Pk(s)ds = k(k + 1) P~(O)
Therefore
00 4n + 3
1 = ~ (2n + 1)(2n + 2) ~n+l(O)P2n+l(S) O<s<1
3 7 11
= 2Pt (s) - gP3(S) + 16P5(s)...
4.2.4. Implementation with Mathematica. The Legendre polynmials
can be generated by applying the three-term recurrence formula (4.2.18). We
write this as
1
Pn(s) = - 2n - 1)sPn- 1 (s) - (n -1)Pn- 2 (s)) n = 2,3, ...
n
and recall that Po (s) = 1, PI (s) = s. This is translated into Mathematica as
follows.
LP[O,s_] :=1
LP[l,s_] :=s
LP[n_,s_]:=(1/n)((2n-l)s LP[n-l,s] -(n-l)LP[n-2,s])
This defines a function LP of the two variables nand s. If we now type LP[5,s]
and simplify the resulting expression using Simplify, we obtain
s(15 - 70 s~2 + 63 s~4)
Out[5]= ----------------------
8
To graph LP[5,s]on the interval -1 < s < 1, we type
Plot [LP [5, s] , {s. -1, 1}] ;
The semicolon at the end of the line was typed in order to keep Mathematica
from printing the word "Graphics" after the plot.
The result is
Now we use Mathematica to compute the integrals that occur in the orthog-
onality relations of the Legendre polynomials, namely,
L Pn(s)2 ds = [: LP[n, 9J2 ds

For example, the command
Integrate[LP[5,s]~2,{s,-1.1}]
yields
2
Out [6]=
11
which agrees with the value computed in {4.2.17}.
One can also use Mathematica to verify that the Legendre polynomials pro-
duced here are indeed solutions of the Legendre equation
(1- S2)y" - 2sy' + n(n + l)y = 0
Considering the case n = 20 as a test case, we define
y[s_] :=LP[20,s]
and apply the differentiation operator D. The first and second derivatives of y[s]
are denoted D[y[s},s] and D[y[s],{s,2}].These are combined into
(1-s-2)D[y[s],{s,2}]-2 s D[y[s],s]+20 21 yes]
Further application of the Simplify command shows that the resultant expression
is zero.
Finally, we note that Mathematica has a built-in routine for producing the
Legendre polynomials, namely, LegendreP[n,s]. For example, typing Legen-
dreP[lO,s] produces the output
256
4.2.5. Associated Legendre functions. Returning to the theory, we now

consider the associated Legendre equation (4.2.6) for m # O. To solve this equa-
tion, we write the equation for v = 0:
9"(0) + cot 0 8'(fJ) + k(k + 1)8(0) = 0
Differentiating with respect to 0 yields
e'''(9) + cot 9 e"(9) + [k(k + 1) - Si:28] e'(8) = 0

Comparing this with (4.2.6), we see that we have obtained a solution for the value
J.L =k(k + 1), m = 1. This is called the associated Legendre function Pk,l(COS 9).
To obtain associated Legendre functions for higher values of m, we can use
the formula
(4.2.21) m=I,2, ... ,k
To prove (4.2.21), we differentiate the Legendre equation (4.2.9) m times with

respect to s. Thus
o = (1 - 8 2)9" - 2s8' + k(k + 1)9
o= (1 - s2)s(m+2) - 2ms e(m+l) - m(m - 1)e(m)
- 2 (s e(m+l) + m e(m) + k(k + 1)9(m)
Hence
(4.2.22) 0 = (1 - s2)e(m+2) - (2m + 2)se(m+l) + [k(k + 1) - m(m + l)]e(m)
k m Pk,m ~ COS (J) Pk,m~ COS (J) cos mt.p Pk,m (COS (J) sin mt.p
0 0 1 1 0
1 0 cos(J z 0
1 1 sinO x y
2 0 {3cos2 (J -1)/2 {2z2 - x 2 - y2)/2 0
2 1 3 cos (J sin (J 3yz 3xz
2 2 3sin2 (J 3{x2 _ y2) 6xy
3 0 (2 z S - 3x2z - 3y 2Z )/2 0
(5 coss (J - 3 cos (J)/2
3 1 (12xz2 - 3x s - 3xy2) /2 (I2 yz2 - 3x 2y - 3 y3)/2
(15 cos2 () - 3 sin 0) /2
3 2 15 cos () sin2 0 15(x2 - y2)Z 30xyz
3 3 15sin3 0 15(x3 - 3xy2) 15(3x2y _ y3)
TABLE 4.2.1 Associated Legendre functions
Now let g(s) = (1 - s2)m/2e<m)(s). We have

g'(s) = (1 - s2)m/2e(m+l) - ms(l _ s2)m/2- 1 e(m)
(1 - S2)g' = (1 - s2)l+m/2e(m+l) - ms(1 _ s2)m/2e(m)
((1 - S2)g')' = (1 - s2)1+m/2e(m+2) - {m + 2)s(1 _ s2)m/2e(m+l}
- ms(! - s2)m/2e(m+1) - me(m)(1 - s2)m/2-1[1 - (m + l)s2]
We use (4.2.22) and the definition of 9 to write
[(1 - S2)g'}' = (1 - s2)m/2[m(m + 1) - k(k + 1)]e(m)
- m[l- (m + I)s2]9(m)(1 _ s2)m/2-1
= [m(m + 1) _ k(k + 1)]g _ m[l - (m + l)s2]g
1- S2
= [-k(k + 1) + 1 :282]9
Therefore 9 satisfies the associated Legendre equation (4.2.8) with J.l = k(k + 1),
Since Pk{s) is a polynomial of degree k, this procedure yields a nonzero func-
tion g(s), provided that m :::; k. This can be written in the form
(4.2.23)
The associated Legendre functions Pk,m for k = 0,1,2,3 are listed in Table 4.2.1,
together with the corresponding harmonic polynomials in (x, y, z).
The associated Legendre functions satisfy the following orthogonality relation:
(4.2.24) L Pk .,m(s)P""m(s)d8 = 0 k\ ~ leo

4.2. LEGENDRE FUNCTIONS AND SPHERlCAL BESSEL FUNCTIONS 263
The proof is exactly the same as for the orthogonality relation (4.2.11) for Le-
gendre polynomials, and is therefore omitted.
To obtain the normalization coefficients, we use the notation D = d/ ds and
write
[ : Pk,m(s)2ds = [:[(1- s2)m/2Dmpk(S)}2ds
= [ , (1':'" s2)mDmpk(S)Dmpk(S)ds
= (_I)m [: Pk(s)Dm(1- s2r DmPk(s)ds
where we have used the definition of Pk,m and integrated by parts m times. The
next step is to write the coefficient of Pk(S) as a multiple of Pk(s) plus lower-order
terms. To do this, we recall that Pk(s) = aksk plus lower-order terms. There-
fore Dmpk(s) = [k!ak/(k-m)!Jsk-m plus lower-order terms, (1-s2)mDmpk(s) =
(-l)m[k!ak/(k-m)!]sk+m plus lower-order terms, Dm(1-s2)m Dm Pk(S) = (-l)mx
[(k + m)!/(k - m)!]aksk plus lower-order terms = (-l)m[(k + m)!f(k - m)!JPk(S)
plus lower-order terms. These lower-order terms can be written as linear com-
binations of the Legendre polynomials Pn(s) with n ~ k - 1. By orthogonality
all of the resulting integrals are zero. But the integral of Pk (S)2 was shown to be
2/(2k + 1). Therefore we have proved that
(k + m)! 2
(4.2.25)
1 1
-1
2
Pk,m(S) ds = (k - m)! 2k + 1
4.2.6. Spherical Bessel functions. We now turn to the analysis of the
radial equation (4.2.7). This is a form of the general Bessel equation (3.2.1) with
the parameters d = 3, J.L = k(k + 1). According to the theory from Sec. 3.2,
this equation has a power series solution of the form ~:,o anr'Y+n, where 'Y =
-~ + (k + ~) = k. If A > 0 this is the spherical Bessel function of order k.
R(r) = jk(rV>:) = rk (ao+ ~a..rn)

From the results of Sec. 3.2, this function is expressed in terms of the standard
Bessel function Jm by the relation
jk(r) = ao Jm(r) m =k+!
rk rm 2
The constant is determined by requiring that jo(O) = 1, which leads to the choice
ao = .;1r/2 and the definition
(4.2.26) jk(r) = (fr)1/2 Jk+1/ 2 (r)

The orthogonality and normalization of the spherical Bessel function is a spe-

cial case of the general theory of Bessel functions, which was treated in Chapter 3.
To discuss this, we assume a boundary condition of the form
(4.2.27) cosf3f(a) + asinf3f'(a) =0 0 ~ f3 ~ i
Then we can summarize the orthogonality properties as follows.
PROPOSITION 4.2.2. Let jk(r../X) and jk(rV) be two solutions of the spher-
ical Bessel equation satisfying the boundary conditions (4.2.27). Then we have
(4.2.28) 1" ik(rv'X)ik(rv');i)r2dr = 0 0 ~ {3 ~ ~.'\ '" ,\'

(4.2.29)
i/c(r..f5..)2r2dr = {(1Z' /4)a J~+1/2(av'X)2
2
1 o
4 f3 = 1Z' /2
1Z'a2 (.,\ + cot2 f3 - m 2/a 2) Jk+1/ 2(av'X)2 0 ~ f3 < 1Z' /2
We list below the spherical Bessel functions for k = 0, 1, 2.
o (l/r) sin r
1 (1/r2 ) sin r - (l/r) cosr
2 (3/r 3 - l/r) sin r - (3/r 2) cos r
If .,\ = 0, the radial equation (4.2.7) is

H' + ~ R' + k( k + 1) R = 0
r r2
This is a form of Euler's equidimensional equation. We obtain the general solution
by trying R(r) = r'Y, which leads to the quadratic equation ,),(,),+1)-k(k+1) = o.
The solutions of this equation are,), = k, ')' = -(k + 1). The first solution can be
used to solve problems for Laplace's equation in the interior of a sphere, whereas
the second solution can be used to solve Laplace equations in the exterior of a
sphere.
Summary of results. Summarizing the results of this section, we have found

the separated solutions of the heat equation in spherical coordinates:
u(r, 0, <Pi t) = ik(r..f5..)Pk,m(CosO)(A cosm 0
If .,\ = 0, we have the separated solutions of Laplace's equation
(4.2.30) u(r, 0, <p) = ric Pk,m(cos O)(A cosmcp + Bsin mcp) .,\ = 0
Separated solutions of the wave equation in spherical coordinates are written as
u(r, 0, cp; t) = ik(r..f5..)Pk ,m(CosO)(A cosmcp+ Bsin mcp)(C cosct-IX+ D sin ct-IX)
All of the above solutions are valid throughout all of space. If we need so-
lutions defined only in the exterior of a sphere, then the analysis of the radial
equation allows us to choose the second solution of Bessel's equation, which be-
comes infinite when r ~ O. This function is written R(r) = nk(rv'X), A > O.
Similarly, when A = 0, we may choose R(r) = r-(k+l). Thus we have the sepa-
rated solutions of the heat and Laplace equations, valid for r -# 0:
( () .) _ {nk(rV:X)Pk,m(COSO)(A cos m!p + Bsin m!p)e- AKt A> 0

u r, ,<p,t - r-(k+l)Pk,m(cos9)(Acosm!p+Bsinmcp) A=O
Solutions of the wave equation in the exterior of the sphere are written
u(r, 0, <p; t) = nk(rv'X)Pk,m(COsO)(A cosmcp+Bsin m!p)(C cos ctv'X+Dsin ctv'X)

It is important to note that the above separated solutions in (r, O,!p) can
be regarded as smooth solutions in (x, y, z). To see this, we first examine the
solutions of Laplace's equation (4.2.30) in case m = O.
If k = 2n is even, then the polynomial Pk contains only even terms, so that
rkpk(cosO) = r2np2n(z/r) = r2n (ao + ... + a2n(z/r)2n)
which is clearly a polynomial in the variables Z2, r2, homogeneous of degree 2n.
Noting that r2 = x 2 + y2 + z2, we see that we have a polynomial in the variables
x, y, z, homogeneous of degree 2n.
If k = 2n + 1 is odd, then
rkPk(cos9) = r2n+lP2n+l(z/r)
= r 2n +1 (al (z/r) + ... + a2n+l (z/r)2n+l)
= z (alr 2n + ... + a2n+1Z2n)
which is clearly a polynomial in the variables (x, y, z), homogeneous of degree

2n + 1. This completes the analysis in case m = O.
We can perform a similar analysis in case m > 0 by appealing to the form
(4.2.23) of the associated Legendre function: Pkm(cosO) = sinmOQk_m(cosO),
where Qk-m is a polynomial of degree k - m. Recalling from Sec. 3.1 that
pmcosmcp, pmsinm!p are homogeneous polynomials of degree m in (x,y), we
write
rk Pkm (cos 0) cos mcp = rk sin m 9 Qk-m(cos 0) cos m!p
= (rk-mQk_m(cos8)) (pmcosm<p)
rk Pkm (cos 0) sin m!p = rk sinm() Qk-m (cos 0) sin m!p

= (rk-mQk_m(cos9)) (pm sin m<p)
From the analysis in case m = 0, we see that the first factor is a homogeneous
polynomial of degree k - m in (x, y, z), whereas the second factors are homoge-
neous polynomials of degree m in (x, y). The product is clearly a homogeneous
polynomial of degree k in (x, y, z).
This completes the analysis of Laplace's equation, where we have shown that
the solid harmonics defined by (4.2.30) are homogeneous polynomials of degree k:
rk Pkm (cos 8) (A cos mcp + B sin mcp) = L AabcxaybZC
A similar analysis can be applied to the separated solution of the heat equation
in spherical coordinates. For example, we may write
u{r, 8, cpj t) = jk{rf) (rk Pkm{COS 8)(A cos mcp + B sin mcp)) e- AKt
r
The first factor is a power series in r2 = x 2 + y2 + Z2 while the second factor
is a polynomial-in particular, a smooth function of (x, y, z). This is mUltiplied
by the exponential, which is also a smooth function of t. Hence the resulting
separated solution is a smooth function of (x, y, z, t).
EXERCISES 4.2
1. Compute Pl (O), P2(O), P3 (0), P4 (0).
2. Compute P{(O), P~{O), PHO), PHO).
3. Write down the Legendre polynomials P5 (s), P6{S).
4. Show that Pk{S) is an even function if k = 0,2,4, ... .
5. Show that Pk(8) is an odd function if k = 1,3,5, .. ..
6. Show that Pk(s) is an odd function if k = 0, 2, 4, ... .
7. Show that PHs) is an even function if k = 1,3,5, ... .
8. Use Rodrigues' formula to show that Pk {l) = 1 for k = 0,1,2,3,4, ....
9. Use Exercises 4,5, and 8 to show that Pk{ -1) = (_I)k for k = 0,1,2,3,4.
10. It is known that Pk(s) has exactly k zeros on the interval -1 ~ s ~ 1.
Find these zeros for k = 0, 1,2,3,4.
11. Let /(8), -1 < 8 < 1, be a piecewise smooth function and define ak =
(2k + 1)/2 f~l f{S)Pk(8)ds.
(a) If / is odd, show that a2n = 0, n = 0,1,2, ....
(b) If / is even, show that a2n+ 1 = O.
12. Let 1(8) = 0 for -1 < 8 < 0 and f(8) = 1 for 0 < 8 < 1. Find the
expansion of f (8) in a series of Legendre polynomials.
13. Let /(8) = -1 for -1 < 8 < 0 and /(s) = 1 for 0 < s < 1. Find the
expansion of / (8) in a series of Legendre polynomials.
14. Let /(8) = 1 if -~ < S < ~ and 1(8) = 0 otherwise. Find the first four
terms in the expansion of / (8) in a series of Legendre polynomials.
15. Write down the associated Legendre functions P41 (S), P42 (S), P43 (8), P44{S).
4.3. LAPLACE'S EQUATION IN SPHERJCAL COORDINATES 267
16. Show that Pkk(COS 8) = ck(sin 8)k for k = 0,1,2,3, ... , 0 :5 0 :5 7r, where
Ck is a suitable constant.
17. Use Rodrigues' formula to show that
)n (2n + 2)!
I ()
P2n+ 1 0 = -1
(
n!(n + 1)!22n +1' P~n(O) =0
for n = 0, 1,2, ....
18. Let /(s), -1 < s < 1, be a function with n continuous derivatives. Use
Rodrigues' formula and integration by parts to show that the coefficients
in the Legendre expansion of /(s) can be written in the form
19. Use Exercise 18 to find the Legendre expansion of S2, S3, S4.
20. Derive the generating function of Legendre polynomials: If -1 < t < 1,
-1 :5 s :5 1, then
00
(1 - 2ts + t 2)-1/2 = L t kPk(s)

k=O
Use the following steps:

(a) Write down the binomial series for (1 - a)-1/2, -1 < a < l.
(b) Let a = 2st - t 2 and use the binomial theorem to expand a k
(c) Rearrange the resulting double series to identify the coefficient of tk.
21. Complete the details of the reduction of the spherical Bessel equation to
the ordinary Bessel functions.
4.3. Laplace's Equation in Spherical Coordinates

In this section we consider boundary-value problems for Laplace's equation
o = V 2 U = U rr + -r2 U r + 2'
r
1 ( 2
U(J + cot (} U(J + csc 0 u'P'P)
From the results in Sec. 4.2 we have the following separated solutions of Laplace's
equation in spherical coordinates:
(4.3.1) u(r, 0, <p) = (Alrk + A2 r-(k+l)Pk,m(cosO)(A 3 cos m<p + A4 sin m<p)

k = 0, 1,2, ... ; m = 0, 1, ... , k
The constants At, A 2 , A 3 , A4 can be specialized to solve various boundary-value
problems.
4.3.1. Boundary-value problems in a sphere. As a first application we

find the solution of V 2 u = 0 inside the sphere 0 ~ r ::; a satisfying the boundary
condition u(a, 0, tp) = G(O), where G(O) is a given piecewise smooth function. To
do this, we note that, since we are looking for solutions inside the sphere, we
need only consider separated solutions with A2 = 0; otherwise the solution would
not be defined at r = O. Furthermore, the boundary condition is independent of
tp; therefore we need only the separated solutions for m = O. This leads to the
choice
00
u(r,O) = L Bkrk Pk(COS 0)

k=O
The boundary condition requires that u(a,O) = 2::0 BkakPk(cos 0). By the
orthogonality of Legendre polynomials, we must have
1o u(a,O)Pk(cosO)sinOdO = Bka
~ k 1~ k 2
0 Pk(COsO)2 sinOdO = Bka 2k + 1
Therefore the coefficients Bk must be taken to be

k+!l~
Bk =~ G(O)Pk(cosO)sinOdO
a 0
EXAMPLE 4.3.1. Find the solution u(r, 0) of Laplace's equation in the sphere
o ::; r ~ a satisfying u(a, 0) = 1 if 0 < 0 < 7r/2, u(a, 0) = 0 if 7r /2 < 0 < 1r. Show
that u(r, 7r/2) = ~ for 0 ~ r ~ a.
Solution. In this case we can apply the above method with
k + 11~/2
Bk = ~ Pk(cosO)sinOdO k = 0,1,2, ...
a 0
This integral was evaluated in Sec. 4.2, with the result
1
~/2 . PHO)
o Pk(cosO) slOOdO = k(k + 1) k = 1,2, ...
Therefore Bo = ~, Bk = [(k + ~)/k(k + l)]PHO). The solution to the problem is
u{r,O) = '12 + ~ (r)k,

t:: a Pk(O) k(kk++~1) Pk(cosO)
= 0 if k is even. This shows that u{r, 7r/2) =
Pk{O) = 0 if k is odd, while P~(O) i .
In some problems we can avoid computation of the integrals in the definition
of B k , when the boundary function G(O) can be written as a sum of Legendre
polynomials.
EXAMPLE 4.3.2. Find the solution u(r, 0) of Laplace's equation in the sphere
o ::; r ~ a, satisfying u(a, 0) = 1 + 3 cos 0 + 3 cos2 O.
4.3. LAPLACE'S EQUATION IN SPHERICAL COORDINATES 269
Solution. The boundary condition can be written in the form

u(a,O) = G(O) = 2 + 3cosO + 3cos2 0 - 1
= 2Po(cosO) + 3P1 (cos 0) + 2P2 (cosO)
Therefore the required solution to Laplace's equation is
u(r,O) = 2 (~)2 P2 (cosO) + 3~Pl(COSO) + 2Po(cosO)

If the boundary conditions depend on (0, cp), then we must use the separated
solutions with m ~ O. Consider, for example, the boundary-value problem for
Laplace's equation inside the sphere 0 ::; r ::; a, with u(a, 0, cp) = G(O, cp), a given
function. We look for solutions in the form
00 k
u(r, 0, cp) = L L rk Pkm(cosO)(Akm cosmcp + Bkm sin mcp)
k=O m=O
EXAMPLE 4.3.3. Find the solution u( r, 0, cp) of Laplace's equation in the sphere
o ::; r ~ a, satisfying
u(a, 0, cp) = sin 0 cos cp + cos 0 sin 0 sin cp
Solution. From the table of associated Legendre functions in Sec. 4.2, we
have Pll = sinO, P21 = 3sinOcosO. Thus u(a,O,cp) = coscpPn + ~sincpP21'
Comparing this with the separated solutions in (4.3.1), we must have
r2
u(r, 0, cp) = rPll (cos 0) cos cp + 3" P21 (cosO) sin cp
If u( a, (), cp) is not already expressed as a sum of spherical harmonics, then we
must compute integrals in order to solve the problem. Using orthogonality of the
associated Legendre functions, we have for m ~ 0
12K1K u(a, 9, <p )Pkm (cos 9) cos m<p sin 9 d(J d<p = 11"Akmak lK Pkm (cos 9)2 sin 9 d(J
12"lK u(a, 9, <p)Pkm(cos 9) sin m<psin 9 d9 d<p = 1I"Bkmak lK Pkm(COS 9)2 sin9 d(J
while for m = 0 we must replace 1f by 27r.
4.3.2. Boundary-value problems exterior to a sphere. We can also

use the separated solutions (4.3.1) to solve Laplace's equation in the exterior of
a sphere, r ~ a. In this case we impose the requirement that u(r, 0, cp) ~ 0 when
r ~ 00. This ensures the uniqueness of the solution. For example, the function
Ul (r) = 1 - air satisfies Laplace's equation for r ~ a and is zero on the sphere
r = a. The function u2(r) == 0 satisfies these same conditions. With this in mind
we choose Al = 0 in the separated solutions (4.3.1) and get the general exterior
solution
00 k
u(r, 9, cp) =L L r-(k+l) Pkm(cos 9)(Akm cos mcp + Bkm sin mcp)
k=O m=O
EXAMPLE 4.3.4. Find the solution of Laplace's equation outside the sphere
r = a and satisfying u(a, 9) = 1 if 0 < 0 < 7r /2and u(a, 0) = 0 if 7r /2 < 8 < 7r.
Solution. Since the boundary condition is independent of cp, we may take
the separated solutions with m = 0; thus
00
u(r,8) = LAkr-(k+1)Pk(cos9)
k=O
The Legendre expansion of u(a, 9) was obtained in Example 4.3.l.
= 2 + ?; k(k +21) P~(O)Pk(COS 9)

1 00 k+l
u(a, 9)
Therefore the required solution is
u(r,9) = 2;:
1a
+?; (a)k+l
r k(kk ++ 1) P~(O)Pk(COS 8)
00 1
2
We now consider a more general boundary condition for Laplace's equation

in the sphere r ~ a.
cos a u(a, 9, cp) + sin a :: (a, 0, cp) = G(9, cp)

Here a is a constant that may assume values between 0 and 1f /2; a = 0 corre-
sponds to the Dirichlet problem, which has already been solved; a = 7r /2 corre-
sponds to the Neumann problem where Bu/ar is specified on the boundary. The
intermediate values of a correspond to the so-called mixed problem. Physically
this occurs when we have free radiation of heat according to Newton's law of
cooling.
To solve the problem, we begin with the series of separated solutions
00 k
u(r, 9, cp) = L L rk Pkm(cos9)(Akm cosmcp + Bkm sin mcp)
k=O m=O
The boundary condition requires that

00 k
G(O, cp) = L L[(ak cos a + kak- 1 sin a) Pkm (cos 9) (Akm cosmcp + Bkm sin mcp)]
k=Om=O
To obtain A km , B km , we expand G(9, <p) in a series of spherical harmonics and

equate coefficients. If
00 k
G{9, <p) = 2: 2: Pkm(cos9)(Akmcosm<p + Bkm sin m<p)
k=O m=O
then we must have
A km = (a k cos a + ka k- 1 sina)Akm k = 0,1,2, ... ;0 ~ m ~ k
B km = (a k cos a + kak - l sina)Bkm k = 0,1,2, ... ;0 ~ m ~ k
The coefficients of A km , B km are nonzero unless both a = 0 and k = O. Thus
we may solve for A km and B km and obtain the formal solution of the problem.
If a = 0, then we see that the coefficient of Aoo is undetermined; to uniquely
specify the solution, we take Aoo = O. We summarize these computations in the
following proposition.
PROPOSITION 4.3.1. If 0 < a ~ 1r /2, the solution of Laplace's equation in
the sphere 0 ~ r < a with the boundary condition cosau + sin a 8u/8r = G is
uniquely determined by the above procedure. If a = 1r /2, then G must satisfy
1r
the additional condition f021r Jo G(9, <p) sin 9 d9 dcp = O. In this case u(r, 9, cp) is
uniquely determined by requiring u{O, 9, cp) = O.
EXAMPLE 4.3.5. Find the solution of V 2 u = 0 in the sphere 0 ~ r < a
satisfying the boundary condition 8u / 8r + u = cos 9.
Solution. According to the above procedure, we have a = 1r /4 and G(9, cp) =
(I/V?-) cos 9. Assuming a solution of the form u = 2::0 AkrkPk(coSO), we must
have cos9 = I:~o(k + a)a k- 1 A kPk(cos9); thus Ak = 0 for k :/; 1 and 1 =
(k + a)Ak. Thus the solution is u(r, 9) = (r cos 9)/(1 + a) .
The formal solutions we have obtained may be established as rigorous solu-
tions with little difficulty. To be specific, we consider the Laplace equation in the
sphere 0 ~ r < a with the boundary condition u(a; 0) = G(9), a given piecewise
smooth function for 0 < () < 1r. The formal solution to the problem was found to
be
(4.3.2)
where
A. = (k + D/.' G(/I)p.(cos/l) sin /ld/! k = 0,1,2, ...
The Legendre polynomials satisfy IPkl ~ 1, IP~I ~ k2 , IPfl ~ k4. To show that
U r = L~o Akk (r / a)k-l Pk ( cos 9), we note that the terms of this series are no
larger than M{2k + 1)/{r/a)k-l, where M is the maximum of G(9), 0 ~ 9 ~ 1r.
If ro < a, these terms are no larger than M{2k + l)/[(a + ro)/2a]k-l for 0 ~ r ~
4(a + ro). By the Weierstrass M-test, the series for U r is uniformly convergent
for 0 :5 r :5 ~(a + ro). In a similar fashion it may be shown that the series for
U rr , U9, U99 are also uniformly convergent. Thus u(r, 8) defined by (4.3.2) is in
fact a rigorous solution of Laplace's equation in the sphere 0 :5 r < a.
4.3.3. Applications to potential theory. Solutions of Laplace's equation
also arise in problems of electrostatic or gravitational attraction, where we are
given a distribution of mass or charge and are required to compute the resultant
potential energy function.
The potential energy corresponding to the density function F(x, y, z) is de-
fined by the integral
uX,y,z
( ) = 1-
41r
lhl F(x',y',z')
V(x - x')2 + (y - y')2 + (z - z')2
dx 'dy'd Z '
where the integral is extended over all of three-dimensional space. In Chapter 8

it will be shown that this integral is the solution of Poisson's equation
V 2 u =-F
In particular if F(x, y, z) = 0 outside the sphere T = a, then u is a solution of
Laplace's equation there. However, we will not make direct use of this fact.
On the other hand, from the previous subsection, we have the following general
formula for solutions of Laplace's equation in the exterior of the sphere:
Aoo ~1~ .
(4.3.3) u(r, 8, cp) = --;:- + L..J r k+1 L..J Pkm(cos8) (Akm cos mcp + B km sm mcp)
k=l m=O
The next result shows that the coefficients A km , B km can be obtained as the
moments of the density function F(x, y, z). In order to simplify the notation, we
let Yko = rk Pk, YkC: = rk Pkm cos mcp, and Y:::: = rk Pkm sin mcp be the harmonic
polynomials introduced above.
THEOREM 4.2. Suppose that the junction u(r, 8, cp) satisfies V 2 u = -F and
is represented by (4.3.3) in the exterior of the sphere r = a. Then the coefficients
are obtained as
(4.3.4) Aoo = 4~fff FdV
(4.3.5) Ako = 4~ fff FYkG dV k~l
(4.3.6) (k+m)'A
(k - m)~ km
= 2. fff
21r
Fy' C08 dV
km l:5m~k
(4.3.7) (k+m)'B
(k - m)! km
= 2. fff
21r
Fy"indV
km l:5m:5k
where the integrals are taken over the solid sphere 0 ~ T :5 a.

Proof. We use the divergence theorem in the sphere 0 ~ r ~ a, first applied

to the equation div(grad u) = - F:
11=. gradu ndS = -1/1$4 Fdxdydz

The integrand on the left side is au/or = -Aoo/r2 + .... From the orthogonality
relations for Legendre functions, the higher terms integrate to zero on the sphere,
so that we obtain
_ A~ 41Ta2 = _
a
jrJ~<a
rr Fdxdydz
which proves (4.3.4). To prove (4.3.5) and (4.3.6), we consider the solid harmonic
Ykm = rk Pkm cos mcp and write
div(Ykm grad u) = Ykm V 2u + grad Ykm . grad u = - FYkm + grad Ykm . grad u
div( u grad Ykm ) = U V 2Ykm + grad Ykm . grad u = grad Ykm . grad u
Hence
FYkm = div( u grad Ykm - Ykm grad u)
to which we apply the divergence theorem to obtain
111$r$. FYkmdxdydz = IL. e~~km - Ykm:) dS

The terms on the right side are easily computed, using
aYkm k 1
= kr - Pkm cos mcp
ar
-au = -~
Ao
- ~k+l~ .
L.J r k +2 ~ Pkm(cosO) (Akmcos m cp + Bkmsmmcp)
ar k=l m=O
If we collect terms and use the orthogonality and normalization of the Legendre
functions, we obtain
j JrJo~r~a
r F Ykm r Pfm (cos 0) sin 0 cos mcp dO dcp
2
r dx dy dz = (2k + 1)Akm 111" 11"
2
0 Jo
(k + m)~
= 21T A km (k _ m)!
which completes the required identification of A km . The proof for Bkm is entirely
similar.
These techniques can be used to compute the gravitational potential of an
oblate spheroid, as an approximation to the earth's shape.
EXAMPLE 4.3.6. Suppose the mass of a solid body is uniformly distributed

over the region defined in spherical coordinates by the inequalities
o~ r ~ a + bsin 0 0 ~ 0 ~ 7r, 0 ~ <p ~ 27r
where 0 < b < a. Find the coefficients Aoo, A IO , All, A2o"" B22 in the expansion
(4.9.9) of the potential function.
Solution. From the data, the density function in spherical coordinates is
F(r f)
, , <p
) = {60 otherWIse
if 0~ ~ ~ a + b sin (), 0 ~ () ~ 7r, 0~ <p ~ 27r
The coefficient Aoo is computed as
Aoo = 4~ 1 l'la+hln
20 8
or2 sin () dr dO d'l'
= ~ 1" (a + bsin IJ)3 sin IJdIJ
=8 (3 3
3 2 37rb )
2
(3 + 2a 27ra b + 4ab + -8-
This is the total mass of the solid body. The next coefficient is
A 10 =~ [21f rlf [a+bcos (J 8 cos 0 r3 sin 0 dr dO d<p
47r io io io
= ~ l' (a + bsin IJ)4 cos IJ sin IJdIJ = 0
since the integrand is an odd function with respect to the transformation 0 --+
7r - O. Similarly, the integrals that define All, B ll , A21, A 22 , B211 B22 are also
21f 21f
zero, since they contain integrals of the form f0 cos m<p d<p, f0 sin m<p d<p, which
are zero if m = 1,2. It remains to compute
A20 = 4~ 1 l'1"H,,;n8
20
OP2(COS ()r4 sin ()drdIJ d'l'
= :01" (a + bsin IJ)5(3 cos2 () - 1) sinIJdIJ

Using the integration formulas
l' sin2m()cos2n()dIJ = (m - 1/2)!(n - 1/2)!J(m + n)!
we obtain
A __ i. [Sa 4 b7r 16a3 b2 lSa2 b3 7r 64ab4 2Sb5 7r]
20 - 20 8 + 3 + 8 + 21 + 128
If b < < a, this will be small compared with Ao, the principal term in the expan-
sion of (4.3.3).
EXERCISES 4.3
1. Find the solution of Laplace's equation V 2 u = 0 in the sphere 0 ~ r < a
satisfying the boundary condition u( a, 8) = 3 + 4 cos 8 + 2 cos2 8.
2. Find the solution of Laplace's equation V 2u = 0 in the sphere 0 ~ r < a
satisfying the boundary condition u(a,O) = 1 + cos 20.
satisfying the boundary condition u(a, 0) = (5 - 4 cos 0)-1/2. Hint: Use the
generating function for Legendre polynomials
00
(1 - 2xt + t 2)-1/2 =L tnPn(X) -l<t<l, -l~x~1

n=O
satisfying the boundary conditions u( a, 8) = 1 if 0 < 0 < 1r /2 and u( aj 8) =
o otherwise.
satisfying the boundary conditions u( a, 0) = 1 if 0 < 0 < 1r/2 and u( a, 8) =
-1 if1r/2 < 0 < 1r. Find u(r,7r/2).
6. Show that the functions r 2n - 1P2n-l (cos 8), n = 1,2, ... , satisfy Laplace's
equation in the hemisphere 0 ~ r < a, 0 < 8 < 7r /2, with the boundary
condition u(r, 1r/2) = 0, 0 ~ r < a.
7. Find the solution of Laplace's equation V 2u = 0 in the hemisphere 0 ~
r < a, 0 < 8 < 7r /2 satisfying the boundary conditions u(r, 7r /2) = 0,
o ~ r < a, and u(a,O) = 4cosO + 2cos3 8,0 < 0 < 1r/2.
8. Find the solution of Laplace's equation in the hemisphere 0 ~ r < a,
o < 8 < 1r /2 satisfying the boundary conditions u(r, 1r/2) = 0 for 0 < r < a
and u(a; 0) = 1 for 0 < 0 < 7r/2.
9. Find the solution of Laplace's equation V 2u = 0 outside the sphere r ~ a
satisfying the boundary condition u( aj 8) = 1 + 2 cos 0 + cos4 0, 0 < 0 < 7r.
10. Find the solution of Laplace's equation V 2 u = 0 outside the sphere r ~ a
satisfying the boundary condition u( aj 0) = 1 if 0 < 0 < 1T /2 and u( a, 0) =
-1 if 1T /2 < 0 < 1r.
with the boundary condition (8u/8r)(a, 8) = cos 8 + 3 cos 3 8, 0 < 0 < 1T.
with the boundary condition (8u/8r)(a,0) + u(a, 0) = 3 cos 0, 0 < 0 < 1r.
satisfying the boundary condition u( a, 0, cp) = sin 8 cos cp + sin 2 0 sin 2cp.
14. Find the solution of Laplace's"equation V' 2 u = 0 outside the sphere r > a
satisfying the boundary condition u( a, 0, cp) = sin 0 cos cp + sin 2 8 sin 2cp.
15. Let u( r, 0, cp) be the solution of Laplace's equation V 2 u = 0 in the sphere
o ~ r < a, with the boundary ~ondition u(a, 8, cp) = G(8, cp) for 0 < 0 < 1T,
o < cp < 21r. Show that u(O, 0, cp) = (1/41r) f;1r 7r G(O, cp) sin 8 dO dcp.
fo
16. Let u(r, 0, cp) be the solution of Laplace's equation yr 2 u = 0 outside the
sphere r ~ a, with the boundary condition u(a, 8, cp) = G(O, cp) for 0 < 0 <
7r, 0 < cp < 27r. Show that, when r -+ 00,
u(r, 8, "') = 4~r [ " /." G(8, "') sin 8d8 d", + 0 (:2 )
17. A solid hemisphere of uniform density 6 occupies the region defined by
the inequalities 0 ::; r ::; a, 0 ::; 0 ::; 7r /2, 0 ::; cp ::; 27r. Find all of the
coefficients in the representation (4.3.3) of the potential function.
18. A spherical slab of uniform density 6 occupies the region defined by the
inequalities 0 ~ r ::; a, 7r /6 ::; () ~ 57r /6, 0 ~ cp ::; 27r. Find all of the
coefficients in the representation (4.3.3) of the potential function.
CHAPTER 5
FOURIER TRANSFORMS AND APPLICATIONS
INTRODUCTION
In previous chapters we obtained the solution of initial- and boundary-value
problems in bounded regions, obtaining the solution in terms of Fourier series of
separated solutions. In this chapter we consider problems in unbounded regions,
which require a continuous superposition of separated solutions, leading to the
notion of a Fourier integral representation. In many cases this can be rewritten
to give an explicit representation as an integral transform of the initial/boundary
data with a standard function, the fundamental solution of the problem.
In Sec. 5.1 we develop the properties of the Fourier transform in its own right.
The following sections present the applications to the heat equation, Laplace's
equation, the wave equation, and the telegraph equation.
5.1. Basic Properties of the Fourier Transform
5.1.1. Passage from Fourier series to Fourier integrals. To motivate
the definition of the Fourier transform, we look for a suitable generalization of
the Fourier series to infinite intervals. We assume that f(x), -00 < x < 00, is
a real- or complex-valued piecewise smooth function and that all of the relevant
integrals can be suitably defined. By restricting f(x) to the interval -L < x < L,
we can form the complex Fourier series:
00
(5.1.1) f(x) = L (Y.n e(Jn7rx/L)

-00
(5.1.2) ~
2L
lL -L
f(x)e-(in7rx/L)dx
Define a discrete variable J1.n by

n7r
n = O,l, ...
L
7r
AJ1.n = J1.n+l - J.Ln =L
The partial Fourier transform of f on the interval - L < x < L is defined by
(5.1.3) FdJ1.) = 21
7r
lL-L
f(x)e-tP.x dx
277
278 5. FOURIER TRANSFORMS AND APPLICATIONS
In this notation, formulas (5.1.1) and (5.1.2) can be written in the form
00
(5.1.4) f(x) = LFdp,n)eiJjnxAP,n

-00
(5.1.5)
In this form we take the limit L -} 00; (5.1.4) is an approximating sum for
an (improper) Riemann integral. Taking the limit formally, (5.1.4) and (5.1.3)
become
(5.1.6) f(x) = [: F(I')ei""dl'
(5.1.7)
This completes the heuristic derivation of the Fourier transform formulas. F(p,) ,
defined by (5.1.7), is the Fourier transform of f(x). Formula (5.1.6) is the Fourier
inversion formula.
In addition to these formulas, we derive the analogue of Parseval's equality.
To obtain this, we recall from (5.1.1) and (5.1.5)
f~ If(xW dx = 2L f [an [2 = 211" f [Fdl'n)[2Ap,.

-00 -00
Taking the limit L -} 00, we have Parseval's theorem for Fourier transforms:
(5.1.8) I: If (x) [2 dx = 211" [ : IF(I'li' dl'
The preceding derivations, although intuitively attractive, must be interpreted

correctly. In particular, the integral (5.1.6) must be understood as the limit
of the integral on (- M, M) when M --7 00, a so-called Cauchy principal value.
This is clarified in the next subsection, where we give the mathematically rigorous
definitions and theorems.
In case the function f(x), -00 < x < 00, is real-valued, the Fourier inversion
formula (5.1.6) can be written in terms of the real-valued transforms
A(p,) 11
=:;
00
-00 I(x) cos p,x dx, B(p,) =:; 11 00
-00 f(x) sin p,x dx

Note that A(p,) is an even function and that B(p,) is an odd function, with
A(p,) - iB(p,) = 2F(p,).
When we substitute this in (5.1.6) and simplify, we obtain
f(x) = [0(A(I') COSJ.IX + B(I') sin J.IX)dl'

5.1. BASIC PROPERTIES OF THE FOURIER TRANSFORM 279
This is analogous to the formula for the Fourier series of real-valued functions
from Chapter 1. The appropriate version of Parseval's theorem is
5.1.2. Definition and properties of the Fourier transform. The Fourier

transform of a complex-valued function f(x), -00 < x < 00, is defined by the
integral (5.1.7). The following theorem gives precise conditions for the existence
of the integrals and for the Fourier representation formula (5.1.6)
THEOREM 5.1. (Convergence theorem for Fourier transforms.) Let
f(x), < x < 00, be piecewise smooth on each finite interoal such that
-00
f~oolf(x)ldx < 00. Define the Fourier transform F(p.) by {5.1.7}. Then for
each x,
1 1
1
M
(5.1.9) lim F(p.)e'JlXdp, = -2 f (x + 0) + -2 f (x - 0)
M~oo -M
We emphasize that the limit (5.1.9) is a Cauchy principal value. The integral
over the infinite interval -00 < p, < 00 will not be absolutely convergent in
general, as we will see through simple examples. Furthermore, one cannot in
general take the double limit of the partial integrals f~~l when M I , M2 --7 00
in any order.
We now give some examples of computation of Fourier transforms.
EXAMPLE 5.1.1. Find the Fourier transform of the "square wave"
f(x) = n
and illustmte the convergence theorem.
Solution. For p, = 0, (5.1.7) shows that F(O) = (b - a)/21r. Otherwise, for

p, # 0 we have
F(p,) = 21
1r
100
-00
f(x)e-'J.lXdx
= ~ J.~ e-;~dx
21r a
e- ipb _ e- iJlll
=
-21rip,
The convergence theorem equation (5.1.9) states that

o x <a
2 x =a
1
1 a<x b
This integral is not absolutely convergent, and the separate integrals f: and
f~M do not have limits in general.
The next theorem gives some general properties of the Fourier transform.
THEOREM 5.2. The Fourier transform enjoys the following properties.

(Linearity) If Fl is the Fourier transform of fl and F2 is the Fourier trans-
form of 12, then a1F1 + a2F2 is the Fourier transform of alfl + a2h, for
any choice of the complex constants aI, a2'
(Multiplication and convolution) If Fl is the Fourier transform of fl and
F2 is the Fourier transform of 12, then FIF2 is the Fourier transform of
(it *h)/21r, where the convolution of two functions is defined by the integral
(11 Jo)(x) = [ : h(y)Jo(x - y) dy
(Differentiation and multiplication) If F is the Fourier transform of f,

then iJ.LF(J.L) is the Fourier transform of f'(x) and F'(J.L) is the Fourier
transform of -ixf(x).
(Translation and phase factor) If F is the Fourier transform of f, then
e- itllJ F(J.L) is the Fourier transform of f(x - a) and F(J.L + b) is the Fourier
transform of e2bx f(x).
(Parseval's theorem) If F is the Fourier transform of f, then (5.1.8) holds,
provided that at least one of the integrals converges.
The detailed proofs are given at the end of the section. We note that addi-
tional examples can be obtained by applying Theorem 5.2 to Example 5.1.1. For
example, the linearity property can be used to compute the Fourier transform
of any piecewise constant function, defined by f(x) = Ci if a, < x < b" which
is a sum of square wave functions. The convolution property can be used to
compute the Fourier transform of the tentlike function defined by f(x) = 2 -Ixl
if -2 < x < 2 and f(x) = 0 otherwise. Indeed, f = 9 * g, where g(x) = 1 for
S.l. BASIC PROPERTIES OF THE FOURlER TRANSFORM 281
-1 < x < 1 and g( x) = 0 otherwise. The Fourier transform of 9 is (sin p,) /21r p" so
that the Fourier transform of f is (sin2 p,}/21rJ-L2. The first differentiation property
cannot be applied to Example 5.1.1, since the square wave fails to have a deriva-
tive at the points x = a, x = b. The second differentiation property can be used
to compute the Fourier transform of the function defined by f(x) = x, a < x < b,
and f(x} = 0 otherwise.
The next example is of central importance in applications of the heat equation

and will be done in complete detail.
EXAMPLE 5.1.2. Find the Fourier transform of the normal density function
f(x) = exp[-{x - m)2/20'2J
J21r0'2
Solution. To compute the Fourier transform F(J-L), we make the change of
variable ~ = (x - m)/O' and expand e- ljlC1{ in a Taylor series. Thus
21rF(p,) = loexp[-(~2/2q2J e-il'%dx
-00 27f0'
= 00 _e-(e/2)
1_ v'2i1
_ _ e-'Jl(m+C1{)d~
-00
~ 00 e-(e /2) (-iJ-LO'~)n
=e 'jlm L...., --- de
n=O -00 V2i n!
This interchange of summation and integration will be fully justified at the end
of the calculation. To evaluate each of these integrals, we use mathematical
induction. Let
n = 0,1,2, ...
Thus
21rF(J-L) = e-'Jlm E(-i~O')n
n=O n.
In
For n = 0, we have a classical calculation using polar coordinates. Indeed
I~ =(1 00
-00 ~
e-(e /2) de) 2
00100 e-({?!2)e-({V2)
=1 -00 -00
2
7f
d~ld~2
2
211" 100 e-(r /2)
=
1
= 1
o 0
--rdrd8
21r
Hence 10 = 1. To compute In for n > 0, we integrate by parts.
V2i1n = - I: ~n-ld(e-(2/2)
= (n - 1)I: ~n-2e-(e/2)~
= (n - 1)J2;TIn-2
Thus we have the recurrence formula In = (n - 1)In- 2 Finally, we notice that
e
In = 0 whenever n is odd, since n e-(F,2/2 ) is an odd function in that case. Putting
these facts together, we have
I 2n = (2n - 1)I2n - 2
= (2n - 1)(2n - 3)12n-4
= (2n - 1)(2n - 3) .. 3 1
To obtain a more compact form, we write
(2n)(2n -1)(2n - 2)321
(2n - 1)(2n - 3) .. 3 1 = ~~~~~~~-------
(2n)(2n - 2)42
(2n)!
= 2nn!
Finally, we have
Thus we have the Fourier transform pair
= exp[-(x - m)2/20'2] F(p,) = exp[ -imp, - 2

p, 0'2/2]
(5.1.10) f( x ) (21r0'2)1/2' 21r
This completes the formal calculation of the Fourier transform. We note that
the graph of y = f(x) is a bell-shaped curve of unit total area, centered around
x = m. The parameter 0' measures the spread of the graph about its midpoint.
These relations are expressed by the formulas
1 = l:f(x)dx
o= I : (x - m) f(x)dx
(12 = I: (x - m)2 f(x) dx
On the other hand, the graph of y = IF(IL) I is also a bell-shaped curve centered
about IL = 0, where the variance parameter appears in the numerator of the
exponent. This means that the spread of its graph about the midpoint is inversely
proportional to (72. This is a specific expression of the uncertainty principle, which
will be proved later in this section. The larger (72 is, the more closely concentrated
the values of F(J,L) will be about J,L = O.
We now justify the interchange of summation and integration in the solution
of Example 5.1.2. To do this, we consider the Taylor remainder formula for the
complex exponential function:
Integrating this finite sum with respect to the normal density, we have
1 00
-00
e-:r;2/2eitx dx = L ,.1
N
k=O k.
100
-00
e-:r;2/2 (itx)k dx + 1-00
00
e-:r;2/2 RN(tX) dx
We must show that the final integral tends to zero when N --? 00. To do this, we
estimate the Taylor remainder by noting that le,sl = 1; hence
IRN(U)I ~ N!
1 lJ. (u - S)N dsI= (Nlul++1)!
0
u N 1
Therefore
Il
ooooe-:r;2/2R2N-l (tx) dxl < 100
-00
e_:r;2/2I
tx 2N
(2N)!
I dx
= y'2; Itl 2N 2N
N!
which tends to zero when N -? 00, completing the proof.
Computation of certain Fourier transforms may be facilitated by the integral
formula
(5.1.11)
where c may be a complex number with positive real part and n > -1. (In case
n is not a positive integer, n! must be interpreted by the gamma function.)
EXAMPLE 5.1.3. Let f(x) = xne- ax for x > 0 and f(x) = 0 for x < 0 where
a > 0, n > -1. Find the Fourier transform F(J.L).
Solution. We apply (5.1.11) with c = a + iJ.L to obtain
27rF(JJ) = 10'' ' f(x)e-'P% dx

= f x"e-OZe-- dx
= f x"e-z(o+.p) dx
n!
= ----:--
(a + iJ.L)n+l
The Fourier transform is given by
F( ) n.
,
J.L = 27T"(a + iJ.L)n+l
EXAMPLE 5.1.4. Let f(x) = xne- ax cos(bx) for x > and f(x)
where a > 0, b> 0, n> -1. Find the Fourier tronsform F(J.L).
= for x < 0,
Solution. We write cosbx = (e 1bx + e- ibx )/2 and apply (5.1.11) twice, with
c= a+iJ.Lib:
27rF(JJ) = 1 00
x"e-" cos(bx)e-ip%dx
= ~
2
1 0
00
xn(e-x(aHI'-ib) + e-x(a-il'+lb)dx
= 1
2
(n! n!)
(a + iJ.L - ib)n+l + (a + iJ.L + ib)n+l
The Fourier transform is
F( ) = n! ( 1 _ 1 )
J.L 47T" (a + iJ.l - ib)n+l (a + iJ.L + ib)n+l
This can be simplified by elementary algebra if necessary.
The next example illustrates the application of (5.1.11) to the computation
of a Fourier transform of a function that is nonzero everywhere.
EXAMPLE 5.1.5. Let f(x) = e- a1xl , where a > O. Find the Fourier trans-
form F(p,).
Solution. Explicitly, f is defined by the formula f(x) = ea:I: when x < 0 and
f(x) = e-a:I: when x > O. Therefore
2trF(/-L) = 1
-00
ea:I:e-iJJ$ dx + 1 0
00
e-axe-'JJ$ dx
From (5.1.11), the second integral has the value 1/(a+i/-L). The first integral can
be computed using the substitution y = -x to obtain
Hence
1 1 2a
21fF(/-L) = - - + - - =2- -2
a - i/-L a + i/-L a + /-L
so that we have the Fourier transform pair
(5.1.12)
Often new Fourier transforms can be found from old ones by interchanging
the roles of x and /-L.
EXAMPLE 5.1.6. Find the Fourier transfonn of f(x) = a/(a2 + x 2 ), where

a> O.
Solution. We have shown in Example 5.1.5 that the Fourier transform of
e- a1xl is (a/1f)/(a 2 + J.L2). Applying the convergence theorem for Fourier trans-
forms, we have
e -alxl = lim -aiM

M-+oo 1f -M
e'JJ$ 1
a2 + /-L2
dJ.L
an absolutely convergent improper integral. Changing the roles of x and J.L, we

obtain the new Fourier transform pair
(5.1.13) If(x) = aj(a

2
+ x2 ),
5.1.3. Fourier sine and cosine transforms. The Fourier sine transform
and the Fourier cosine transform arise when we specialize the Fourier transform
to functions defined only for x > O.
In detail, let J(x) be defined for x> O. We extend J to negative x by defining

J( -x) = f(x). Taking the Fourier transform of this even function, we have
27rF(/,) = 1:!(x)e-iPZ dx
= 1o
00
J(x)e-'J.lXdx + 1
-00
f( -x)e-iJ.lX dx
= 1'" !(x)(e-ipz + e'PZ)dx
=2 f !(x)cos/LXdx
Therefore the Fourier transform is also an even function. Hence from (5.1.6),
!(x) = 1: F(/,)e
ipz
d/,
= 100
o
F(tt)e'P.X dtt + 10
-00
F( -tt)e'J.lX dtt
= 1'" F(/,)(e'PZ + e-iPZ)d/,
= 21'" F(/,) cos/LXd/,
Writing Fc(tt) = 2F(p,), we have the Fourier cosine formulas
(5.1.14) !(x) = [ " F.(/,) COS /LX d/" Fc(p,) = - 21

7r 0
00
f(x) cos p,x dx
Fc(p,) is the Fourier cosine transform of f (x), -00 < x < 00. This can also be
described by the boundary condition 1'(0) = 0, which is satisfied whenever the
Fourier transform satisfies Jo
oo
ttIFs(p,)ldtt < 00.
To obtain the Fourier sine transform, we again begin with a function f, defined
for x > 0, and extend it as an odd function: f( -x) = - f(x). Following the same
steps as for the cosine formulas, we obtain the Fourier sine formulas
(5.1.15) Fs(p) =- 21
1r 0
00
f(x) sin px dx
Fs(p) is the Fourier sine transform of f(x), -00 < x < 00. This can also be
described by the boundary condition f(O) = O.
EXAMPLE 5.1.7. Let f(x) = e- ax , where a > O. Find the Fourier cosine
transform Fc(tt) and the Fourier sine transform Fs(p),
Solution. We have
1o
00 . X
e-axe'lIJ dx = 1 0
00
.
e-x(a-'lIJ} dx = -1- = -
a - iJi.
a+
-i/-L
-
a2 + JL2
Taking the real and imaginary parts, we have the integrals
Therefore
1 00
o
e-ax cos /-LX dx = 2
a +/-L
a
2' roo e-ax sin JLX dx =
10
Ji.
a2 + JL2
5.1.4. Generalized h-transform. The Fourier cosine transform is natu-

rally associated with functions defined for x > 0 and satisfying the boundary
condition 1'(0) = 0, whereas the Fourier sine transform is naturally associated
with functions satisfying the boundary condition f(O) = O. It is possible to com-
bine these and thus define a transform that is naturally associated with functions
defined for x > 0 and satisfying the boundary condition f'(O) = hf(O). To do
this, suppose that h > 0 and that f(x), x > 0, is piecewise smooth and integrable.
The idea is to extend f'(x) - hf(x) as an odd function. This is done explicitly by
defining lex), -00 < X < 00, by the formula lex) = fe-x) -2hehx fo-x ehy fey) dy
for x < 0, while lex) = f(x) for x > O. Then I is integrable, and the Fourier
transform of 1 is given by
F( ) = -iJLFe(Ji.) - ihFs(Ji.) = ![A( ) - 'B( )]
JL 2(h _ iJi.) 2 Ji. t JL
where Fe and Fa denote the Fourier cosine and Fourier sine transforms of f (x), 0 <
x < 00, and
A( ) = JL2 Fe(JL) + hJLFs(JL)
Ji. h2 + JL2 '
This leads to the inversion formula for x > 0:
. 1M
hm
JL cos Ji.X + hsinJLX'
2 h2
1 1
(JLFc(Ji.) + hFs(Ji.dJi. = -2/(x + 0) + -2 f (x - 0)
M~oo 0 Ji. +
The kernel function Ji. cos JLX+h sin JLX satisfies the boundary condition I' (0) =
hl(O) for every JL > 0, while the general function I is written as a continuous
superposition of these. In the limiting case h -4 0 we retrieve the Fourier cosine
inversion formula where 1'(0) = 0, whereas in the limiting case h -4 00 we
retrieve the Fourier sine inversion formula where j(O) = O. The intermediate
cases correspond to the boundary condition 1'(0) - hj(O) = O. The proofs of
these statements are left for the exercises.
EXAMPLE 5.1.8. Let f(x) = e- ax for x > 0 where a > O. Find the formulas
for the generalized h-transform.
Solution. The Fourier sine and cosine transforms are given by the formulas
Fc(J-L) = (2/,rr)aJ(a 2 + p,2), Fs(J.L) = (2/,rr)p,J(a 2 + p,2). Substituting these above,
we have for x > 0
2
-
/.00
p, cos p,x + h sin p,x
(p,aJ(a 2 + J.L2) + hp,J(a2 + p,2)) dJ.L = e- az
7r 0 J.L2 + h2
5.1.5. Fourier transforms in several variables. The preceding formulas
and theorems for Fourier transforms in one variable can be extended to functions
of two or three variables. In the following paragraphs we sketch the extension to
three variables (x, y, z).
The Fourier transform of a complex-valued function f(x, y, z) is defined by
the improper integral
F(pI, /12, P3) = (2~)3 fff f(x, y, z )e-(,Z+P2Y+.3Z ) dx dy dz
where the integration is performed over the entire three-dimensional space -00 <
x < 00, -00 < y < 00, -00 < z < 00. With this definition, one obtains the
properties of linearity, differentiation, convolution, and translation, which were
described in detail for the one-dimensional case in Theorem 5.2. If the Fourier
transform F(J-Lb J-L2, J.L3) is also absolutely integrable, then the original function f
can be recovered as the integral
f(x, y, z) = fff F(pI, P2, P3)e,(,z+P2y+,s)dpI d/12 dP3
which is understood as the limit, when M -+ 00, of the integral on the solid ball
defined by J.Li + J-L~ + J.L~ ~ U2. Examples of Fourier transforms in three variables
can be easily obtained from the one-dimensional case by separation of variables as
follows: if fi, i = 1,2,3, are functions with Fourier transforms Fj, then the Fourier
transform of the function fl(X)!2(y)!a(z) is the function F1(J-Ll)F2(J.L2)F3(J.L3). We
illustrate with the three-dimensional normal density function.
EXAMPLE 5.1.9. Find the three-dimensional Fourier transform of
f( x y z) = __I_e-(x2+y2+z2)/2
" (27r)3/2
Solution. From Example 5.1.2 we recall the Fourier transform of the one-
dimensional normal density function. Applying this three times, we obtain the
three-dimensional Fourier transform pair
f( x "(27r)3/2
y z) = __
I_e-<z2+y2+z2)/2 F(II. II. 11.) = _1_e-(p~+P~+P~)/2
,,....}, ,....2,,-3 (27r)3
The next example, which arises in the study of the wave equation in Sec. 5.4, is
not of the above separable type.
EXAMPLE 5.1.10. Find the three-dimensional Fourier transform of the func-

tion
if x 2 + y2 + Z2 ~ R2
f(x,y,z) = {
I
oth enmse.
Solution. The Fourier transform is given by the integral

(21r)3 F(JLl, JL2, JLa) = rrr
111x2+y2+z2~R2
e-'(l-&l X+1-&2Y+1-&3 Z )dx dy dz
If IJLI = 0, this integral is the volume of the sphere: (27r)3F(0, 0, 0) = (47rJl3)/3. If

IJLI =F 0, we can evaluate this integral by taking a system of spherical coordinates

(r, 0, <p) so that the polar axis 0 = points along the vector (J1.b J1.2, J1.a). Then
1l l Re-il~lroosOr2sin8drd8dcp ~ lR
JLl x + J1.2Y + JLaZ = IJLlr cos 0, dx dy dz = r2 sin 0 dr dO d<p, and the integral is
2w w
= r sin(rlILlJdr
= 47r (sin(RIJLD - RIJ1.1 COS(RIJLD)

2
/J1.1 IJL/
The result of Example 5.1.10 can be used to find a simple formula for the
integral of e'(l-&lX+1-&2Y+1-'3 Z ) on the surface of the sphere Ixl = r. Indeed, the volume
integral and surface integrals are related by
Jrr1x2+y2+z2~R2
r r (Jr r
R
e'(1-'l X+1-'2Y+1-&3 Z ) dx dy dz = ei (1-'l X+1-&2Y+1-&3 Z ) dS) dr
1 10 1x2+y2+z 2=r 2
Therefore
Jr r
1x2+y2+z2=R2
ei (l-&l X+1-'2Y+1-&3 Z }dS = ~ J"
dR
rr
J1x2+y2+z2'5R2
ei (l-&lX+1-'2Y+1-&3 Z ) dxdydz
(5.1.16) = 1:~3 d~ (sin RIILI - RIILI cos RIILil

= 4 R2 sin RIJ1.1
1r RIJLI
This formula will be used in Sec. 5.3 to solve the three-dimensional wave equation.
5.1.6. The uncertainty principle. We have noted in Example 5.1.2 that
if a normal density function is highly peaked about its midpoint, then the Fourier
transform will be widely spread about its midpoint. In order to make this
quantitative, we define the dispersion about zero of a complex-valued function
f(x), -00 < x < 00 by the formula
f~ooX2If(x)12 dx
Do(f) = f~oolf(x)12 dx
This is defined whenever the relevant integrals are finite. For example if f(x) =
e-x2/2u2, then Do(f) = (J2/2, Do(F) = 1/(2(J2) and the product is Do(f)Do(F) =
1/4. In the general case we have the following inequality.
PROPOSITION 5.1.1. (Uncertainty principle). Let f(x), -00 < x < 00, be
a complex-valued function with Fourier transform F(p,), for which the integrals
defining Do(f), Do(F) are finite. Then we have the inequality
1
Do{f)Do{F) ~ 4
Equality holds if and only if f is a normal density function centered at x = 0; in
detail, f(x) = Cle-x2/2u2, F(/-l) = C2e-u2p2/2 for suitable constants CIt C2, (J2.
Remark. The term "uncertainty principle" comes from the interpretation

that we cannot localize both f(x) and F(/-l) in their respective spaces. If f(x) is
localized about x = 0, then Do(f) will be small; the uncertainty principle then
asserts that Do (F) will be correspondingly large, indicating a lack of localization
about /-l = O.
Proof. Both the numerator and denominator of the expressions defining

Do(f) and Do(F) may be transformed by Parseval's theorem. In this way one
is led to examine a corresponding integral involving F'(p,). Specifically, we write
the real part of the integral of /-IF F' in two different ways. On the one hand,
2Re IpFF' dp = P(F'F + FF')dp = P(FF)'d p = Ip(IFI')'dp = -I IFI'dp

where we have integrated by parts in the last step. On the other hand,
(5.1.17)
-Re I pFF'dp ~ II pF(p)F'(p) dpl ~ U IpF(p) I' dp) 1/. U1F'(p)I' dp) 1/'
where we have applied the Schwarz inequality to the functions F'(p,) and p,F(p,).
Now we apply Parseval's theorem twice, recalling that the Fourier transform of
xf(x) is iF'(p,):
I IF(p) I' dp = 2~ I If(xli' dx, I IF' (I') I' dp = 2~ I x'lf( x) I' dx

Squaring both sides of (5.1.17) and making these substitutions gives the desired
J
result, in the form (1/4) J Ifl2 J IFI2 :5 J Ixfl2 Ip,FI2.
In case equality occurs in (5.1.17), we obtain two conditions: (i) the imaginary
part of f p,FF'd/-l must be zero, and (ii) F must satisfy the differential equation
F'(/-l) = -A/-lF(p,) for some complex constant A. The differential equation has
the general solution F(/-l) = Ce- Ap2 / 2 for some complex constant C. This function
will yield a finite value of Do(F) if and only if Re A > O. To show that 1m A = 0,
we write A = Q + i[J and compute F'(p,) = _CAp,e- A I'2/2, F(p,) = Ce- AIJ2 / 2 :
! ,..F(,..)F'(,..)d,.. = -ICI 2 A ! ,..2e-

QP
2 d,..
The imaginary part of the integral is zero if and only if {3 = 1m A = 0, which was
to be proved, where we have made the identifications A = (72, C = Ct .
5.1. 7. Proof of convergence. We close this section by giving the proof of

Theorem 5.1, the convergence theorem for Fourier transforms. We are given a
function f (x), -00 < x < 00, that is piecewise smooth on each finite interval and
for which J~oolf(x)ldx is convergent. Defining the Fourier transform by (5.1.7),
I: (1:
we make the following transformations:
2lT 1: F(,..)e'PZ d,.. = e-;P( f(~)~ ) e'PZ d,..

= 1: (1: e;"(H)d,..) f(~)~
= 21 00
-00
sin M(x - {) f({)d{
(x - {)
OSinMTJ
=
12
-00
--f(x+TJ)dTJ
TJ
where we have interchanged the order of integration and made the substitution
1/ = { - x. Using the Riemann lemma of Chapter 1, Sec. 1.2, it follows that
the integral ~'112:6(sin MTJ/TJ)f(x + TJ)dTJ tends to zero when M tends to infinity,
for any positive number O. It remains to analyze the integral for -0 ~ TJ ~ O.
Another use of the Riemann lemma shows that each of the integrals
sinMTJ
and
2
1 o
6
- - [f(x + TJ) - f(x
TJ
+ O)]dTJ
sinMTJ
2
1 0
-6
- - [f(x
1/
tends to zero when M tends to infinity. Therefore
+ TJ) - f(x - O)]d1/
. 1
hm 2
M-+oo
6
-6
sinM1/
- - f(x
TJ
+ TJ)dTJ = [J(x + 0) + f(x - .
0)] hm
M-+oo
1
6
-6
sinMTJ
-
TJ
- dTJ
= 1I'[J(x + 0) + f(x - 0))

Dividing by 211' we have the desired result .
The unrestricted improper integral in (5.1.6) does not exist. An example is
provided in Exercise 26.
EXERCISES 5.1
In Exercises 1 to 10 find the Fourier transforms of the indicated functions.

1. lex) = 1 for - 2 < x < 2 and lex) = 0 otherwise
2. I (x) = -4 for - 1 < x < 0, f (x) = 4 for 0 < x < 1 and f (x) = 0 otherwise
3. f(x) = e- 3x for x > 0 and f(x) = e2x for x < 0
4. I(x) = xe- 1xl
5. f(x) = cosxe- 1xl
6. f(x) = cos2 xe- 1xl
7. f(x) = 2x/(1 + X 2 )2
8. f(x) = exp[-(x2 + 3x)/2]
2
9. I(x) = cosxe-x /2
10. I(x) = xe- x2 / 2
11. Suppose that f(x), -00 < x < 00, is continuous and piecewise smooth on
every finite interval, and both J~ooll(x)ldx and J~oolf'(X)ldx are absolutely
convergent. Using integration by parts, show that the Fourier transform of
I' is iltF(p.).
12. Apply Exercise 11 to Exercises 4 to 10 to obtain additional examples of
Fourier transforms.
13. Let I(x) = xe- X for x > O. Find the Fourier cosine transform Fe(lt) and
the Fourier sine transform Fa (It).
14. Complete the derivation of the Fourier sine formulas (5.1.15).
15. Let a> O. Show that the Fourier transform of f(ax) is F(p./a)/a.
16. Show that the Fourier transform of I(x - a) is e-iaj.l F(p.).
Use Exercises 15 and 16 to find the Fourier transforms of the following functions.
17. f(x) = 1/[1 + (x - 3)2]
18. f(x) = e-(x-2)2/2
19. f(x) = e-3Ix-21
20. f(x) = sin2xe- 2x for x > 0 and f(x) = 0 otherwise
21. f(x) = e- 2x for x > 0 and f(x) = 0 otherwise
22. Compute Do(f)Do(F) for the following functions.
(a) I(x) = xe- x2 /2
(b) f(x) = x 2 e- x2 /2
(c) f(x) = e-(X-l)2/2
23. If I(x), -00 < x < 00, is a complex-valued function with Fourier transform
F(p.), let la.m(x) = e'm:t f(x - a), where a, m are real constants. Show that
the Fourier transform of la.m is e- iam Fm,a.
24. The dispersion about a of a complex-valued function I is defined by
J~oo(x - a)2If(x)12 dx
Da(f) = J~ooll(x)12 dx
Show that Da(f) = Do(fa,m) and Dm(F) = Do(Fm,a) for any (a, m).
25. Combine the previous two exercises with the uncertainty principle to show
that for any (a, m) and any f, we have the inequality Da{f)Dm{F) 2 1/4
with equality if and only if
for suitable constants A, CJ, and C2

26. Let f{x) = e-:r for x > 0 and f(x) = -e-:r for x < O. Show that the
unrestricted double limit
lim
Ml.M2-+00
1M2 F(p, )eil'% dp,
-Ml
oo
does not exist for all x. [Hint: Examine the integrals fo F(p,)e'p.:x; dx and
f~oo F (p,) eiP.% dx separately.]
27. (Fourier transforms in real form) Suppose that f(x), -00 < x < 00, is a
real-valued function with f~oolf(x)1 dx < 00 and is piecewise smooth on
each finite interval. Define the real-valued functions A(p,), B(p,) by
A{p,) = - 11
~ -00
00
f(x) cos JLX dx, B(JL) = - 11
~
00
-00
f(x) sin JLX dx
Show that we have, for each x,
lim
M-+oo
J.M (A(JL) cos JLX + B(JL) sin /-LX) dJL = -21 f(x + 0) + -21 f(x -
0
0)
28. (Generalized h-transform) Suppose that h > 0 and that f{x), x > 0, is
piecewise smooth and integrable. Define i(x), -00 < x < 00, by the
formula i(x) = f( -x) - 2he h:r fo-% ehy f(y) dy for x < 0, while i(x) = f{x)
for x > o.
(a) Show that i is integrable and the Fourier transform of j is given
by
F( ) = -ip,Fe(JL) - ihFs(JL)
p, 2(h - iJL)
where Fe, Fs denote the Fourier cosine and Fourier sine transforms of
f(x),O < x < 00.
(b) With reference to Exercise 27, show that
2
A( ) = J.L2 Fe(J.L) + hJ.LFs(J.L) B( ) = hJ.LFe{P,) + h Fs(p,)
J.L h2 + J.L2 ' J.L h 2 + JL2
(c) Conclude that we have the inversion formula
lim
M-+oo
J.M /LCOS~
0
+ ~2SinJ.tX (/LF,(/L) + hF,(/Llld/L
J.L +
1 1
= 2f (x + 0) + 2f (x - 0)
(d) Show that in the limiting case h -+ 0 we retrieve the Fourier cosine
inversion formula where i'(O) = 0, whereas in the limiting case h -+ 00 we
retrieve the Fourier sine inversion formula, where i(O) = O. The interme-
diate cases correspond to the boundary condition i'(0) - hi(O) = O.
29. Let f(x) = 1 for 0 ~ x ~ Land f(x) = 0 for x> L. Find the h-transform
representation of the function f(x), 0 < x < 00, described in the previous
exercise.
5.2. Solution of the Heat Equation for an Infinite Rod

We will now see how the Fourier transform applies to the heat equation. For
this purpose we consider the following initial-value problem on the entire axis:
(5.2.1) Ut = Ku xx t> 0, -00 < x < 00
(5.2.2) u(x; 0) = f(x) -oo<x<oo
We will solve this problem by two different methods.
5.2.1. First method: Fourier series and passage to the limit. We
consider the entire axis as the limit when L -+ 00 of the interval-L < x < L with
the periodic boundary conditions u(L,t) = u(-L,t) and uz(L,t) = ux(-L,t).
Equation (5.2.1) with periodic boundary conditions can be solved by separation
of variables. In complex form, the separated solutions are
n=0,1,2,...
Using the formula for complex Fourier series, we look for the solution as a super-
position
UL(X; t) = L
00
o'nein7rz/Le-(n1r/L)2Kt
n=-oo
The initial data and the Fourier coefficients are related by the formulas
00
f(x) = L anetn1rx/L
n=-oo
an = ~ lL f(x)e-in1rx/Ldx
2L -L
To take the limit when L -+ 00, we follow the method of Sec. 5.1. We let
FdJ,L) = 21 jL f(x)e-tl1Xdx
1T -L
n7r
J,Ln = -
L
1T
D.J.Ln = J.Ln+l - J.Ln =L
5.2. SOLUTION OF THE HEAT EQUATION FOR AN INFINITE ROD 295
Thus the previous formulas can be rewritten as

On = FL(/-Ln)flJ.ln
00
UL{X; t) = L FL(J.ln)eiPnXe-p~Kt ~J.Ln

n=-oo
Taking the limit L --+ 00, we get the formulas
(5.2.3) Iu(x; t) = f~ooF(J.L)eip.xe-p2I<tdJ.L I
(5.2.4)
This is the Fourier representation of the solution of the initial-value problem
(5.2.1). To find u(x; t), we first find F(J.L), the Fourier transform of f(x). Then
we substitute into the first equation and perform the indicated integration.
EXAMPLE 5.2.1. Solve (5.2.1) in the case f{x) = e- x2j2 , -00 < x < 00.
Solution. The integral (5.2.4) can be done explicitly, as in Example 5.1.2,
with the result
e- p2j2
F{J.L)= ~
Substituting this into (5.2.3) and using the same example, we have
e-x2 j(2+4Kt)
u{x' t) =
, VI + 2Kt
5.2.2. Second method: Direct solution by Fourier transform. In this
method we use the Fourier transform to convert the partial differential equation
to an ordinary differential equation. Let U(J.L; t) be the Fourier transform of
I:
u(x; t). Thus from (5.1.6) and (5.1.7) we have
(5.2.5) u(x; t) = U(/L; t)e'PXd/L
(5.2.6) U(J.L; t) = - 1
21r -00
1 00
u{x; t)e-'JJXdx
.
Assuming for the moment that the derivatives can be taken under the integral,
we have
U,(X; t) = I: U,(/L; t)eiPXd/L
u.(x; t) = I: U(/L; t)i/Le'PXd/L
u,,%(x; t) = I: 2 i
U(/L; t)(i/L) e I'Xd/L
In order that u satisfy the heat equation, we must have
o = '" - K""" = 1:IU,(J.'; t) + KJ.'2U(J.'; t)]e'''''dJ.'

Therefore we ask that U be a solution of the ordinary differential equation
Ut + KjJ?U = 0
The initial condition is determined by setting t = 0 in (5.2.5). Thus U(Jli 0) must
be the Fourier transform of f:
U(p,; 0) = F(J.L)
Therefore we must have
U(P,i t) = F(Jl)e- p2Kt
Substituting into (5.2.5) gives formula (5.2.3), as in the first method.
5.2.3. Verification of the solution. We now prove that (5.2.3) is a rigorous
solution of the initial-value problem (5.2.1).
THEOREM 5.3. Let f(x), -00 > x < 00, be a piecewise smooth function with
Fourier transform F(Jl).
1. The integral (5.2.3) defines a solution of the heat equation Ut = KU:r;:r; for
t > 0, -00 < x < 00.
2. If in addition f~ooJL2IF(J.L)ldJ.L < 00, then limt~O u(x; t) = f(x) uniformly
for -00 < x < 00.
I:
Proof. To prove that u satisfies the heat equation, it suffices to prove that
p2K
(5.2.7) ".(x; t) = F(J.')iJ.'e'''''e- 'dp
(5.2.8) " (x; t) = I: p2

F(p) (ip) 2e'''''e- Ktdp
(5.2.9) ",(x; t) = I: F(p)e''''' (_p2 Ke-

p2K
')dJ.'
Once we have proved these formulas, it will apparent that Ut = KU:r;:r;. To prove
(5.2.7), we write
u(x + hj t) - u(Xj t)
h
To estimate this term, notice that from the Taylor remainder formula
le,6 - 1 - iOI = Il (0 - 4e'~dtPl ::; Il (0 - 4d4>1 = 92 /2

Applying this with {} = JLh, we have
Iu(x + h; t~ - u(x; t) - I: F(p)iPe'''''e-.'K'dPI :0; ,h'l: IF(p)l p2e-.'K'dp
The integral on the right is absolutely convergent. Taking the limit as h --+ 0, we
have proved (5.2.7). It is left as an exercise to prove (5.2.8) and (5.2.9) by the
same method. This completed, we have proved that the Fourier representation
(5.2.3) gives a rigorous solution of the heat equation. It is a remarkable fact
that u is differentiable to any order, in spite of the fact that f is assumed only
piecewise smooth.
I:
To prove that the initial condition is satisfied uniformly, we write
u(x;t) - f(x) = (e-.'K. -1) e;""F(p)dp

Now the inequality \e- 8 -1\ :5 \8\, valid for 8> 0, may be applied to the integrand,
with the result
lu(x; t) - f (x) I :0; I:'" K tIF(p) Idp
The right side tends to zero when t --+ 0, which completes the proof.
5.2.4. Explicit representation by the Gauss-Weierstrass kernel. We

now show how to obtain an explicit representation of the solution, involving only
one integration and not involving the Fourier transform. To do this, we note
that (5.2.3) represents u(x; t) as the Fourier integral of the product of the Fourier
2
transform of f with the elementary function e-/S Kt. But the Fourier transform of
the normal density function was encountered in Example 5.1.2, where (72 = 2Kt:
oo 2 e-(z-{)2/4Kt
J
-00
dp, = 21r--==~
e'/S(z-~) e-/S
J47rKt
Kt
Appealing to the convolution property of Theorem 5.2, we obtain the explicit

representation
(5.2.10)
We will give an independent proof below that (5.2.10) defines a solution of the
initial-value problem (5.2.1). The function (t,x,e) --+ e-(z-~)2/4Kt/J47rKt is
called the Gauss- Weierstrass kernel or the fundamental solution of the heat equa-
e,
tion; for each this function of (x, t) is a solution, from which the general solution
is obtained by a continuous superposition over all possible values of This is to e.
be contrasted with the Fourier representation (5.2.3), which represents u(x; t) as
a continuous superposition of separated solutions.
The explicit representation (5.2.10) is preferable to the Fourier representation

(5.2.3) for several reasons: (a) it is computationally more direct, requiring only
one integration; (b) it makes sense for many functions f for which the Fourier
transform is undefined, for example, any bounded continuous function; and (c)
it does not require any smoothness in order to satisfy the initial-value problem.
We state the properties as a theorem.
THEOREM 5.4. Suppose that f(x), -00 < x < 00, is piecewise continuous
and bounded on the entire axis: If(x)1 ~ A for -00 < x < 00. Then the Gauss-
Weierstrass integral (5.2.10) defines a solution of the heat equation Ut = Ku xx
for t > 0 and limt~O u(x; t) = ~f(x + 0) + ~f(x - 0).
Proof. By changing the time scale, we may assume that K = 1/2. Now a
direct calculation shows that
Therefore it suffices to prove that we can differentiate under the integral sign:
To prove the first formula, it suffices to do the computation at x = 0, by changing

the origin of the x-axis. Thus
u(h; t) - u(O; t)
h -
1 t v'2irt
00
-00
{ e-~2/2t
f(e) de
(e-({-h)2/2t - e-~2/2t e_ 2 2t) f(e)de
1
00
= - -e {/ --
-co h t ../27rt
For any fixed M, this integral may be written as f~oo = ~{15M + ~{I>M' The
integral over I{I ::; M tends to zero when h -+ O. To handle the integral over lei>
M, we examine the two terms (derivative and difference quotient) separately; in
the first case
1 ~e-e2/2t f(f.) elf.1 ::;

1 lel>M t lel>M t
Ai e- M2 / 2t
2
lQe-e / 2t elf. = 2 A
Given e > 0, this can be made less than e/2 by choosing M sufficiently large,
independent of h; in the second case
~I r
h J~>M
(e-ce-h)2/2t - e-e/ 2t ) f(f.)d(.I::; A 1~>M t
~e-e2/2tdf, = 2Ae- M2 / 2t
which can also be made less than /2 by choosing M sufficiently large, indepen-
dent of h; Taking the limit when h --+ 0, we see that for any e > 0
sup IU(h;t)-U(O;t) -
I1m -e
lOf,
-e/ 2tf (f,) cte l < f
h-+O h -00 t V27rt
This holds for any e > 0; hence the indicated limit superior is zero, and we have
proved the first differentiation formula. The proofs of the formulas for U xx and
Ut are carried out in a similar manner.
To prove the stated form of the initial conditions, we first make the change
of variable z = (x - f.)/.;i, which leads to
00 -z2/2
Given
u(x; t) =
> 0, there is a 0 > 0 so that

1 -00
f(x - zVt) e rn= dz
v 27r
(5.2.11) If(y) - f(x+O)1 < e, x < y < x +0

(5.2.12) If(y) - f(x - 0)1 < , x- 0<y<x
Now we write
e-z2/2 1
1
00
f(x - zVt)--dz - - f(x - 0)
o V2i 2
= {l +1lJ
o
/../t
00
6/';;'
} [f(x - zv't) - f(x _ 0)] e-~2 dz
V 27r
In the first integral we use (5.2.11) and obtain the upper bound
6/0, e-z2/2
E
1 o
--<-
V2i - 2
In the second integral we note that If(x - zVi) - f(x + 0)/ $ 2A; therefore the
second integral is bounded by 2A flJj0, e- z2 / 2dz, which tends to zero when t --+ o.
Therefore
-~~d
1
00
lim sup [J(x - zVt) - f(x - O)]e ~ z ~ e
t-+O 0 27r
Since this holds for every > 0, we conclude that

e- z2 / 2 dz 1
1
00
lim f(x - zv't) ~ = -2 f (x - 0)
t~O 0 2~
In the same fashion, using (5.2.12), it is shown that

0 e-z2/2 dz 1
lim
t~O 1
f(x - zVt) ~ = -2 f (x + 0)
-00
Adding the two statements gives the required limiting result .

2~
5.2.5. Some explicit formulas. In case the initial temperature function

f(x), -00 < x < 00, is piecewise constant, the solution u(x; t) of the heat
equation can be written in terms of the normal distribution function 4>, defined
by
~(x) = jX e- z2 / 2 !!:!....
-00 ../2i
This is a continuous increasing function with ~(-oo) = 0, ~(O) = ~, ~(oo) = 1.
To apply this function to the heat equation, we proceed as follows: if a < b, we
make the substitution z = (x - ~)/J2Kt and write
b e-(x-~)2/4Kt ~ = l{x-a)/.;2Kt e- z2 / 2 !!:!....
la J 4~ K t (x-b)/.;2Kt
(x-a)/.f2Ki, dz
..j2i
j(X-b)/,f2Kt dz
= e-z2/2__ _ e- z2 / 2 _ _
j -00 ~ -00 ~
= IP (J;;:) -IP (J;:t)

EXAMPLE 5.2.2. Solve (5.2.1) in the case where
Ox < a
f(x) = T a~x b
and discuss limt .... o u(x; t). Graph the solution at t = 0, t = 0.01, t = 1, t = 100
if K = 1/2, a = -1, b = 1, T = 1.
Solution. Formula (5.2.10) reduces to
u(x;t) = Tlb exp[-(x - ~)2/4Kt] d~
a J41rKt
(x-a)/.f2Ki, dz
- T
- l
(z-b)/..;2Kt e
-z2/2
~
= TIP (J;:t) -TIP (J~)

I J
FIGURE 5.2.1 Solution of the heat equation at four different times.
Using the properties <l?{-oo) = 0, <l?(0) = 4, q,(oo) = 1, we can directly verify

the following limits:
0 x<a
T/2 x=a
limu(x, t)
40
= T a<xb
Using tabulated values of (a), it is possible to obtain accurate graphs of

the temperature function u(x; t) for various values of t. The graphs in Fig. 5.2.1
assume that K = 4,
a = -1, b = 1. The values of tare t = 0, t = 0.01, t = 1,
t = 100.
EXAMPLE 5.2.3. Two materials of the same conductivity are initially at dif-
ferent temperatures TI and T 2 Find the temperature at all later times when heat
is allowed to flow between the two materials. Discuss the approach to a steady
state.
Solution. Suppose that the first material occupies the negative axis x < 0
and the second occupies the positive axis x > O. Letting u{x; t) denote the
temperature at the point x at time t, we have the initial-value problem
Ut = Ku xx t > 0, -00 < x < 00

u(x; 0) = Tl x<O
u(x; 0) = T2 x>O
FIGURE 5.2.2 Solution of the heat equation at three different times.
The solution to this problem is given in (5.2.10), by the formula
u(x; t) =TljO exp[-(x - e)2/4Kt] d{ + T2100 exp[-(x - e)2/4Kt] de

-00 .J41rKt 0 .J41rKt
00 e- z2/2 jX
I ./2Kt e- z2/2
= Tl
1 --dz+T2
xl V2Kt .j2; -00.j2;
--dz
= Tl [1- (_x
<P
.J2Kt
)] +T2<P (_x
J2Kt
)
The graphs in Fig. 5.2.2 depict u(x; t) for three values of t when K = 200, T} = 25,
T2 = 100.
To study the approach to steady state, we recall that lim:r:-+o <p{x) = <p(0) = ~.
Therefore limt-+oo u(x; t) = ~Tl + ~T2 for any x. To proceed further, we write
= Tl [~-<p
2
(_x
J2Kt
)] +T2 [<p (_x
.J2Kt
) _~]2
= (T2 - T1 ) [<p (_x ) - ~]
J2Kt 2
When t ~ 00, we have ~(x/V2Kt) - ~ = (x/V41fKt) + O(lft); from this

it follows that t-1ln lu(x; t) - (~Tl + ~T2)1 = O(t-Iln t), which tends to zero.
Therefore the relaxation time, as defined in Chapter 2, is infinite. To obtain
a concrete numerical estimate of the time necessary to attain steady state, we
define r* as the solution of
IU(X;T*) - GTI + ~T2) 1= O.1IT 1 - T21

To solve this equation, we must solve the equation <1>(8) - ~ = 0.1 and set s =
x f V2K r*. From tables of the normal distribution function, we have 8 = 0.25,
and thus r* = (2K)-1(X/O.25)2. For example, if K = 200 cm2 /s and x = 10 cm,
then r* = 4 s.
The final example illustrates the possibility of solving the heat equation when
the initial data are given by an unbounded function.
EXAMPLE 5.2.4. Find the solution of the heat equation Ut = K U xx with the
initial data u(x; 0) = ebx where b is a positive constant.
7
Solution. In this case the Gauss-Weierstrass integral can be computed by

completing the square, as follows:
u(x; t) = 1
V41fKt -00
1 00
e-(x-f.)2/4Kt e bF. ~
= 1 e-x2/4Kt1O exf./2Kte-.2/4Kteb. ~
V41fKt -00
= 1 e-x2/4Kt1O e-{e- 2{{X+2bKt)]/ 4Kt d{

V47rKt -00
= 1 e- x2 / 4Kt e(x+2bKt}2 / 4Kt 1O e-[f,-(X+2bKt}]2/4Kt

de
V47rKt -00
= ebxeb2Kt
This example shows that the Gauss-Weierstrass integral can be applied to certain
unbounded functions. Additional examples of this type are contained in the
exercises.
5.2.6. Solutions on a half-line: The method of images. Now we tum

to heat flow in the semi-infinite region x > O. In each case we make a suitable
extension of the inital data to the complementary region x < 0, where the nature
of the extension depends on the boundary condition imposed at x = O. (In phys-
ical terms, we are creating a fictional temperature distribution on the negative
axis.) This is known as the method of images. We consider the three boundary
conditions separately.
5.2.6.1. Dirichlet boundary condition at x = O. We first consider the problem
Ut = Ku xx t > O,x > 0

u(O; t) = 0 t>O
u(x; 0) = f(x) x>O
To solve this problem, we extend the given initial function f(x) to the entire real
axis as an odd function and apply the explicit representation (5.2.10). In detail,
we set
lex) = { f(x) x>0
-fe-x) x < 0
so that lex) is an odd function, defined for -00 <x < 00. We substitute in
(5.2.10) and obtain
u(x; t) = 1 00
exp[-(x -
v'41rKt
~)2 /4Kt] l(~)d~
(1 +1
-00
0
~)2 14Kt] j(.)d{
00
= ) exp[ -(x -
-00 0 J41rKt
In the first integral we change (. to -~ and use the oddness of j. Thus
1 0 exp[-(x - (.)214KtJ l(~)d{ =

-00 v'41rKt
-1 0
00
exp[ -(x + (.)2/4Kt] f(.)d{
v'41rKt
Putting the two together, we have
(5.2.13) u(x; t) = 1 00
o
exp[-(x - e)2/4Kt] - exp[-(x + ~}2 14Kt] f(~) d(.
v'41rKt
EXAMPLE 5.2.5. Use the method of images to solve the inital-value problem
for the heat equation with u(x; 0) = 1, with the boundary condition u(O; t) = o.
Solution. From formula (5.2.13), we have
u(x; t) = 1o
00
exp[-(x - (.)2 /4Kt] - exp[-(x + e)2/4Kt] fee) d{
J41rKt
= 4J(x/J2Kt) - 4J( -xlv'2Kt)
for the heat equation with u(x; 0) = eln , with the boundary condition u(O; t) = O.
Solution. Applying (5.2.13) directly, we have
u(x; t) = 1o
00
exp[-(x - e)2/4Kt] - exp[-(x + (.)2/4Kt] ebf. d{
v'41rKt
This can be expressed in terms of the normal distribution function cJ? Making
the change of variable z = (e - x)/v'2Kt, the first integral is transformed as
follows:
1o
exp[-(x - e)2/4KtJ
00
-~~===~--=.e
v'4rr Kt
b{,/C
~ - eb:t
_ 1 00
-:t/..tfKt.
-
z2j2
e-- ebzv'2Kt dz
V2-i
00 e-(z-bv'2Kt)2/2
= eb:t e b2 Kt
1-:tj..!2Ki $
dz
= eb:teb Kt
2 1 00
-:t/v'2Kt-bv'2Kt
_
u2j2
e- _
..J2-rr
du
= e""e'" Kt (1 - <1>(- v':Kt - bv'2Kt) )

The second integral is obtained by replacing x by -x. Subtracting the two terms,
we obtain
This is the required form of the solution .

5.2.6.2. Neumann boundary condition at x =
O. The method of images can
be modified to solve the initial-boundary-value problem
Ut = KU:t:t t > O,x > 0
u:t(O; t) = 0 t>O
u(x; 0) = f(x) x>O
Notice that we have changed only the boundary condition and that otherwise the
problem is identical to the previous one. To treat this modification, we extend
the initial function as an even function, by the rule
j(x) = {f(X) x>0

f(-x) x < 0
so that j is an even function. The reader is invited to follow the steps of the
preceding problem to show that in this case we have the solution formula
(5.2.14) u(x; t) = 1
00
o
exp[-(x - e)2/4Kt] + exp[-(x + e)2/4Kt] f(e) ~
v'41rKt
for the heat equation with u(x; 0) = 1, with the boundary condition u:t(O; t) = O.
Solution. From formula (5.2.14), we have

u(x; t) = 1.o
00
exp[-(x - e)2/4Kt]
J47rKt
+ exp[-(x + e)2/4KtJ f(e) de
= ~(x/J2Kt) + ~(-x/J2Kt)
5.2.6.3. Mixed boundary condition at x = O. As a final "variation on the
theme," we consider the initial-value problem
Ut = KU!I:!I: t> O,x > 0
U!I:(O; t) - hu(O; t) = 0 t>O
u(x; 0) = f(x) x>O
where h is a positive constant; this is the general homogeneous boundary condi-
tion of the third kind at x = O. Since U z - hu is zero when x = 0, it is natural to
extend the initial data f(x) so that f'(X) - hf(x) is an odd function, continuous
at x = O. This may be done by solving an ordinary differential equation, and is
closely related to the generalized h-transform described in Sec. 5.1.
Assuming that we have extended f(x),O < x < 00, to j(x), -00 < x < 00,
so that
j'(x) - hj(x) = -I'( -x) + hl( -x)
we define
U(x; t) = 1
J47rKt -00
1 e-(!I:-()2/4Ktj(~J
00
de
Clearly, u(x; t) satisfies the heat equation with the initial condition u(x; 0) = I(x).
To verify the boundary condition, we write
u.(O;t) = ~IOO ~e-e2/4Ktj(e)de

47rKt _002Kt
= 1 1
J47rKt -00
00
j(.)d (e-e / 4Kt )

2
= 1
J47rKt -00
1 00
i'(e)e-e / 4Kt de
2
Therefore
U!I:(O; t) - hu(O; t) 1=
../47rKt -00
1 00
[l'(e) - hj(e)]e-e / 4Kt de

2
The integrand is an odd function; hence the integral is zero, and we have proved
that the boundary condition U!I: - hu = 0 is satisfied.
To compute j(x) for x < 0, we must solve the first-order ordinary differential
equation
l'(x) - h j(x) = g(x) = - f'( -x) + h f( -x)
This is done by means of the integrating factor e- hx , with the result
i(x) = j(O)e"" + 1" eh(H)g(() ~ = fe-x) - 2he"" 1-" eh fey) dy
EXAMPLE 5.2.8. Solve the heat equation Ut = Ku xx for x > 0, t > 0, with the
boundary condition ux(O; t) - hu(O; t) = 0 and the initial condition u(x; 0) = e- ax ,
where a > O.
Solution. In this case we have g(x) = - 1'( -x) + hf( -x) = aeax + he ax =
(h + a )eax. Therefore we have, for a i= h,
j(x) = eh" + /." ehl<-()(h + a)e~ ~

= ehx + a + h ehx (e(a-h)x _ 1)
a-h
2h hx h + a ax
= ---e ---e a-h h-a
Therefore the heat equation is solved by
u(x; t) = 1
J47rKt
1 e-aF.e-(x-F.)2/4Ktd~
0
00
+ 1 1
J 47r K t
0
-00
[-~ehf.
e-(x-F.)2/4Kt + a eaf.] d{
a- h
h- a
_ h
If h = a, the integral gives j(x) = ehX [l + x(h + a)] = eax (1 + 2ax) and a
corresponding formula for u(x; t) .
Figure 5.2.3 displays the method of images in the limiting case a = 0, where
f(x) = 1,x > O.
f(x) =1,x>O
l(x) = 2~- l,x < 0

----------------~--~-------------------x
FIGURE 5.2.3 The method of images applied to the boundary condition

u'(O) = 3u(0) with the initial condition f(x) = 1, x > O.
EXERCISES 5.2.6
1. Show that the solution formula (5.2.10) can be written in the form
00 e-z2/2
U(X; t) =
1-00
J(x - zV2Kt)
v2~
fie. dz
by making the substitution x - ~ = zV2K t.

2. Use the result of Exercise 1 to prove directly that u(x; t) is a solution of
the equation. You may assume for this purpose that I', I" exist.
3. Use the result of Exercise 2 to prove that lu(x; t) - J(x)1 $ M JKt/~. You
may assume for this purpose that J' exists and If'(x) I ~ M everywhere.
[Hint: Write u(x; t) - J(x) as a definite integral and apply the mean-value
theorem for J(x - z-/2Kt) - f(x).]
4. Prove the following inequalities, which were used in the proof of Theorem
5.3.
(J2 02
Icos 0 - 11 :5 "2' Isin 0 - 01 :5 "2
Hint:
(J1(JI cos <pd<pdO 19191 sin <pd<pd0
1 - cosO =
10 0 lt sinO - 0 = - 0 0 1
5. Complete the details of the proof of formulas (5.2.8) and (5.2.9).

6. Apply the method of images to solve the initial-value problem
Ut = Ku xx t > O,x > 0
u(O;t) = 0 t>O
u(x; 0) = { 1 0 x Ll ~ ~
Ox> Ll
Show that u(x; t) = O(t- 3/ 2 ) when t -? 00. (Hint: le- a - e-bl ~ la - bl if
a,b ~ 0.)
7. Apply the method of images to solve the initial-value problem
Ut = Kuxx t > O,x > 0
ux(Ojt) =0 t>O
= {~
o ~ x ~ Ll
u(x;O)
x> L1
Show that U(Xi t) = O(t- 1/ 2) when t -? 00.
8. Consider the following initial-value problem for a heat equation with trans-
port term:
Ut = Ku xx + vU x t > 0, -00 < x < 00
u(x; 0) = f(x)
where v is a nonzero constant that represents the mean velocity of the

diffusing substance.
(a) Use the method of Fourier transforms to solve the problem in the
form
U(X; t) = 1: e/'Ze-I"Kte,..F(p,)d,..
(b) Show that this can be rewritten in the form
u(x' t) =
,
1-00
00
exp[-{x - y + vt)2/4KtJ J( )d
V41rKt Y Y
(c) Show that u{x; t) = O{e-v2t/4K), t -+ 00. You may suppose for this
purpose that /(y) = 0 for Iyl ~ 5.3 x 106
9. Show that (5.2.13) can be written in the form
u(x; t) = I."" F.(p,)e-I" Kt sin p,x dp,
where Fs (I-') is the Fourier sine transform of I.

10. Show that (5.2.14) can be written in the form
u( X; t) = I."" Fc(p, )e-I" Kt cos p,x d,..

where Fe(l-') is the Fourier cosine transform of J.
11. Consider the following initial-value problem for a heat equation with a
linear source term:
Ut = Kuxx+au t > 0, -00 < x < 00
u(x; 0) = I(x)
where a is a positive constant that represents the strength of the source
term, per unit of temperature.
(a) Find a Fourier representation of the solution.
(b) Find an explicit representation of the solution, corresponding to the
Gauss-Weierstrass integral (5.2.10).
transport term and a linear source term:
Ut = K U xx + vU x + au t > 0, -00 < x < 00
u(x; 0) = I(x)
where a, v are nonzero constants
linear time-dependent source term:
Ut = Ku xx + atPu t > 0, -00 < x < 00
u(x; O} = f(x}
where a, p are positive constants.
14. Consider the Gauss-Weierstrass integral (5.2.10) when the function f(x),
-00 < x < 00, satisfies If(x)1 ~ Ae
bx2
where A, b are positive constants.
(a) Show that the Gauss-Weierstrass integral is convergent ift < 1/4Kb.
(b) Show that the initial condition is satisfied if f(x), -00 < x < 00,
is piecewise continuous.
15. Solve the heat equation Ut = Ku xx with the initial conditions u(x; 0) = TI
if x < 0 and u(x; 0) = 0 if x > O. Show that the level curves u(x; t) = C
are parabolas passing through (0,0) in the (x, t) plane. Plot these level
curves if K = ~, T} = 100 for the values C = 10, C = 30, C = 50.
16. Two materials of the same conductivity K and temperatures T!, T2 are
brought together at t = O. Find the time r* such that lu(x; r*) - (~Tl +
~T2)1 < 0.21Tl - T21, where u(x;t) is the solution of the heat equation.
17. Solve the heat equation Ut = K U xx with the initial conditions u(x; 0) = Tl
if -L < x < 0, u(x;O) = T2 if 0 < x < L, and u(x;O) = 0 if Ixl > L. What
is limt-+oo u(x; t)?
18. Verify directly that u(x; t), defined by (5.2.6), satisfies the boundary con-
dition u(O; t) = O.
19. Verify directly that u(x; t), defined by (5.2.7), satisfies the boundary con-
dition ux(Oj t) = O.
20. Consider the heat equation Ut = Ku xx with u(x; 0) = x n , where n =
1,2, ... Show that a solution can be found in the form u(x; t) = xn +
al (t)x n - 1 + ... + an-I (t)x + an(t) for suitable functions al (t), ... ,an(t).
5.2.7. The Black-Scholes model. In this subsection we indicate an appli-
cation of the heat equation to financial mathematics-specifically, to the problem
of pricing an option on an asset purchased at t = 0 and maturing at time t = T.
At that time it will have an exercise price E, which is to be compared to the
market value of the asset, denoted S. If S ~ E, then the option is worthless
and the final value is zero. Otherwise S> E and the asset can be sold, realizing
a profit of S - E. The time-dependent value of the option is denoted V (S, t),
defined for S 20, 0 ~ t ~ T.
In order to formulate the mathematical model, we assume the following fi-
nancial parameters to be given: a, the volatility of the asset, and r, the interest
rate. The volatility is associated with random fluctuations of the value of assets,
whereas the interest rate is associated with deterministic changes in asset values.
Using a stochastic modeP leads to the following partial differential equation for
the value function:
av (72 8 2 ~V av
(5.2.15) at + -2- a82 + r8 a8 - rV = 0 8 > 0, 0 ~ t ~ T
with the boundary conditions
V{O;t) = V(8; t)
8
1 8
-+, -+00
The first of these indicates that if the stock is worthless, then so is the option.
The second indicates that if the price is very large, the value of the option should
be accordingly large. The final value of the option is defined by the statement
V(8;T) = max(S - E,O)
as explained above.
Note that the Black-Scholes equation (5.2.15) cannot be solved directly by
the previous methods because of two new features: (i) it contains the variable
coefficients 8 and 8 2 multiplying two of the terms and (ii) it is written in the
backward time direction, with a "final value" instead of an initial value. We will
now remedy these two difficulties.
5.2.7.1. Transformation to the heat equation. Equation (5.2.15) can be trans-
formed to the standard heat equation by the following series of transformations.
First we define new independent variables (x, T) by
x = log(S/ E), T = T - t
These satisfy -00 < x < 00, 0 ~ T ~ T, dx/d8 = 1/8, dT/dt = -1. A new
function is defined by setting
v(x, T) = V(~' t)
Computing directly, we have
av av
vt = at = - E aT = - EVT
av av 1 E
Vs = -a8 = E--
ax8
= -v
S x
a2 v E a2 v E av E
Vss = a82 = 8 2 8x2 - 82 ax = 8 2 (v xx - vx )
resulting in the equation
(72 (72
(5.2.16) V
T
= -v
2 XX + (r - -)v
2 x - rv
1 P. Wilmott, S. Howison, and J. Dewynne, The Mathematics of Financial Derivatives,
Cambridge University Press, New York, 1995.
The final condition at t = T is transformed into an initial condition at r = 0:

V(x; 0) = max(e X
- 1,0)
The above transformations have reduced the Black-Scholes equation (5.2.15) to a
second-order partial differential equation with constant coefficients, in the forward
time direction. The second step of the reduction is to eliminate the lower-order
terms involving v and V X To do this, we define a new function u(x, r) by setting
v(x, r) = u(x, r)eQx+1h
where the constants a, {3 are to be determined. Computing directly, we have
V-r = ({3u + U-r )eox+P-r
Vx = (au + ux)eQx+P-r
Vxx = (a 2 u + 2au x + uxx)eQx+P-r
Substituting these in (5.2.16) and canceling the exponential term results in the
equation
0'2 (2 +
u-r = "'2Uxx + aO' r
0'2)
-"'2 Ux +
(a(a - 1)0'2
2 + r( a-I) - )
(3 u
In order to eliminate the terms with Ux and u, we are led to the equations
a0'2+r_~2 =0, a(a~1)0'2 +r(a-1)-{3=0

Defining a new parameter k through the equation k = 2r / 0'2, these are solved to
yield
so that the function u(x; r) satisfies the familiar heat equation

0'2
U-r = 2 uxx
The initial conditions are determined by noting that
v(x; r) = u(x; r)eQx +/3-r
vex; 0) = u(x; O)e OX = max(e X - 1,0)
u(x; 0) = max(eX(l-Q) - e- ax , 0)
= max(ei(k+l)X - e!(k-l)X, 0)
This completes the reduction of the Black-Scholes equation to the standard heat
equation. The initial condition u(x; 0) is nonzero precisely when x > o.
5.2.7.2. Solution of the Black-Scholes equation. Having reduced the problem

to a standard initial-value problem for the heat equation, we can write the solution
using (5.2.10) with K = a 2 /2:
00 e-{x-~)2 /2U 27
(5.2.17) =
1 -00
00
uo(~) ~2
~
27l"u r
-(x-e)2/2u27
=
1 o
[e Hk+1){ _ e~(k-l}{] e
v21fa 2 r
de
This is reduced to a standard integral invoving the normal distribution function

<l>(x) by making the substitution z = (~ - x)/(a.jT) as follows: we have dz =
de/(ay'T) and the new limit of integration z = -x/(ay'T) when = 0, so that e
u(x;r) = 11 - 12
where
If we complete the square in the exponent, the result is
where we have used the symmetry of the normal distribution in the form <l>(u) +
<1>( -u) = 1. Similarly, 12 is obtained by replacing k + 1 by k - 1, hence
12 = e l{k-l):t
2 *
eo (uv'T(k-l2 ""
':It'
(x + aayr 2
r(k - 1)/2)
r,;
EXERCISES 5.2.7
1. Consider the second-order parabolic equation VT = (a 2 /2)v:r:x + aV:r: + bv,
where a, b, and a are constants. Show that this can be reduced to the
standard heat equation for the function u defined by v = u eQX+PT for
suitable values of O!, {3.
2. Consider the second-order parabolic equation U T = (a( 7)2 /2)u xx . Show
that this can be reduced to the standard heat equation by defining a new
time variable t = 1/1(7) for a suitable choice of 1/J.
5.2.8. Hermite polynomials. The normal density function e- x2 / 2 is pro-

portional to its Fourier transform. This function is the first in an infinite sequence
of functions with that property. To define these, we introduce the generating
function
tk t2
=L
00
(5.2.18) etx-t2/2 k!Hk(x) = Ho(x) + tHl(X) + 2: H2 (x) + ...
k=O
This power series converges for all t, real and complex; the coefficients Hk(X) are
the Hermite polynomials. Since the generating function is a Taylor series in the
variable t, the coefficients can be obtained by successive differentiation as
Hk{x) = (!r 2
(etz-. / 2 )It=o k = 0, 1,2, ...
The first few are written as follows:

Ho(x) = 1
H1 (x) = X
H2 (x) = x2-1
H3(X) = X3 - 3x
H4(X) = X4 - 6x2 + 3
Hermite polynomials satisfy the following system of orthogonality relations:
H ( )H ( ) -:r:2 /2d _ {k!J21r k =j

(5.2.19) f OO
-00 k X 3 X e x- 0 k#j
To prove this, multiply the generating function formulas in the variables t, s by

the weight factor e- x2 / 2 :
00 00 k .
'"
L...J '"
L...J !..-
k'"S3 Hk (X )H.( ) -x2/2 -_
3 X e e
tx-t2/2 8X-8 2/2 -x2/2
e e
j=O k=O J.
We integrate the series term by term to obtain
The equality of these two power series implies the equality of the corresponding
coefficients-hence the orthogonality relations as stated. In particular, the func-
tions (27r)-1/4H,,(x)/Vicl are orthonormal with respect to the weight function
e- x '/2.
In order to express the orthogonality without a weight function, we introduce
the Hermite functions
k = 0,1,2 ...
which satisfy
These functions transform simply under. the Fourier transform, as follows:
(5.2.20)
Apart from the constant factor -I2i, the operation of Fourier transformation re-
produces the kth Hermite function, multiplied by the factor (_i)k, k = 0, 1,2 ....
For example, the function (2X2 - 1)e- X2 /2 is proportional to the negative of its
Fourier transform.
To prove (5.2.20), we can use the technique of generating functions, by writing
tk
L
00
,Hk(xV2)e-x2/2e-ZP.X = etxv'2-t2/2-zp.x-x2/2
k=O k. = e-(x'-2x(tv'2-Zp.)/2e-t2/2
= e-[X-(tv'2-Sp.)]' /2et' /2-iJJ tv'2-p.2/2
Integrating term by term, we find that
Identifying the coefficients of t k completes the proof.

One can reinterpret the preceding result as providing a basis of functions in
which the Fourier transform has a simple structure. Indeed, for a finite sum,
N
f(x) = L akhk(x)
k::::O
the Fourier transform is
Hermite polynomials can also be used to solve the heat equation in one dimen-
sion with polynomial initial conditions. To see this, first note that for any complex
number 0, the function (t, x) -7 eoxeo2Kt is a solution of the heat equation. On
the other hand, from the generating function, we have
Since the sum of this power series satisfies the heat equation identically in 0,
it follows that each term of the series satisfies the heat equation. Formally, we
define the heat polynomials by
In detail, we have the following for the first few heat polynomials;
o 1
1 x
2 X2 + 2Kt
3 X3 + 6Ktx
4 X4 + 12x2 Kt + 12K2t2
EXAMPLE 5.2.9. Solve the heat equation Ut = K Uxx for t > 0, -00 < x < 00,
with the initial condition u(x; 0) = 2 + 6x + 3X4.
Solution. Any finite sum of the form ~:=o akHk(Xj t) is a solution of the
heat equation with initial conditions 2::=0 akxk. To satisfy the stated initial
conditions, we set ao = 2, al = 6, a4 = 3, and ak = 0 otherwise. The solution is
u(Xj t)=2Ho(xj t) + 6H.(xjt) + 3H4(xj t)=2 + 6x + 3(X4 + 12x2Kt + 12K2 t 2 )
EXERCISES 5.2.8
1. Use the generating function for Hermite polynomials to prove the equations
Hk(x) = kHk-1(X), k = 1,2 ....
2. Use the generating function for Hermite polynomials to prove the equations
H k+1 (X) = XHk(X) - kHk-1(X), k = 1,2 ....
3. Combine the results of the two previous exercises to prove the following
differential equation satisfied by the Hermite polynomials: HI: (x) -
xH~(x) = -kHk(x), k = 0,1,2 ....
4. Consider the partial differential equation Ut = Uxx - XU x.
(a) Show that separated solutions may be obtained in the form u(x; t) =
e- kt Hk(x), k = 0,1,2 ....
(b) Show directly, or by using the generating function, that for any
complex number a, the function (t, x) ~ exp(axe- t -la2 e- 2t } is a solution.
(c) Find a Fourier representation of the solution of the equation Ut =
Uxx - XU x for t > 0, -00 < x < 00 with u(x; 0) = f(x} = J~ooF(J.L)e'PX.
(Hint: Take a = iIJ. and form a continuous superposition with respect to a
suitable function of p..)
(d) Find an explicit representation of u(Xj t) by using the convolution
theorem and the Fourier transform of the normal density.
5. Use Exercise 3 to show that the functions k(X) = e-x2j4Hk(X) satisfy the
differential equation Z(x) - (x2/4)k(X) = -(k + l)k(X) for 0 = 1,2, ....
6. Carry through the computations of Exercise 4 for the partial differential
equation Ut = Uxx - (x2/4)u.
7. Solve the heat equation Ut = K U xx for t > 0, -00 < x < 00 with the initial
conditions u(Xj 0) = 2 + 3x + 2x 3 + 6x4.
8. Use the definition of the Hermite polynomials to prove

00 t"
(a) L ,e-x2 / 2H,,(x) = e-(t-x)2/2
k=O k.
(b) e-"/2Hk(x) = (_I)k (!r (e-"/2) k = 0,1,2 ...
9. Use part (b) of the previous exercise to give a new proof of the orthogonality
relations (5.2.19)
10. Show that the functions H,,(x)H,(y)e-(k+l)t satisfy the partial differential
equation Ut = Uxx + u yy - XU x - YU y Generalize to three variables.
11. Show that the Fourier transform of H k(x)e- x2 /2 is proportional to the func-
tion (ip,)k e-p.2J2 and find the constant of proportionality.
12. Show that the Hermite polynomials are given explicitly by the formulas
n (_1)k(2n)!x2n-2k
H (x) = ~ 2kk!(2n - 2k)!

2n
n (-1)k(2n + 1)!x2n-2k+l
H2n+I (X) = ~ 2kk!(2n - 2k + 1)!
13. Use the result of Exercise 12 to show that the Hermite polynomials are
bounded, in the form
5.3. Solutions of the Wave Equation and Laplace's Equation

In this section we apply the Fourier transform to solve the wave equation in one,
two, and three spatial dimensions and to solve Laplace's equation in two spatial
dimensions.
5.3.1. One-dimensional wave equation and d'Alembert's formula.
The Fourier transform can also be applied to solve initial-value problems for the
wave equation. The simplest problem of this type is
(5.3.1) Ytt = c2 yxx t > 0, -00 < x < 00
y(x;O) = II(X) -oo<x<oo
Yt(x; 0) = f2(X) -oo<x<oo
This is a pure initial-value problem, the Cauchy problem; II (x), hex) are pre-
scribed functions that can be thought of as the initial position and velocity of an
infinite vibrating string. We will follow the second method of Sec. 5.2.
S.3. SOLUTIONS OF THE WAVE EQUATION AND LAPLACE'S EQUATION 319
To solve (5.3.1), we introduce the Fourier transforms
(5.3.2) k = 1,2
with the inversion formulas
(5.3.3) k = 1,2
The desired Fourier representation of the solution y is
(5.3.4) y(x; t) = I: y(,.., t)e'''''d,..
where Y(JL, t) is an unknown function, which we will now determine. To do this,

we substitute (5.3.4) into the wave equation (5.3.1). Thus
0= l:[Y,,(,..;t) +"z,..2y(,..;t)]ei""d,..
This requires that Y be a solution of the ordinary differential equation

Ytt + C2 JL2 y = 0
that is,
(5.3.5) Y (JL; t) = A (JL) cos JLct + B (JL) sin JLct
To find A(J-L) and B(J-L), we set t = 0 in (5.3.4) and use (5.3.5).
y(x; 0) = 1: A (,..)ei""d,.., y,(x; 0) = l:,..cB(,..)e'''''d,..
Comparing this with (5.3.3) and the initial conditions of (5.3.1), we see that we
must have
Substituting these into (5.3.5) and returning to (5.3.4), we have the Fourier
representation
1
(5.3.6) y(x; t) =
1 00
-00
[ sin JLct e'fJ.XdJL
Fl (JL) cos JLct + F2 (JL)--
JLC
This is the desired representation by Fourier transforms. Using this, we can also
obtain an explicit representation in terms of the given functions It (x), f2(X). To
do this, recall that
Thus
Similarly,
100 J::1 (
-00
L'2
) sin J.Lct 'I-'Xd
J.L - - e
/l-C
J.L =
Adding these together yields d 'Alembert 's formula:
(5.3.7) 1 [It (x
y(x; t) = 2 + ct) + It (x - 1
ct)] + -2 l
c x-ct
x ct
+ h(()cLe
This was derived in Chapter 2 in the context of the vibrating string, where we
had the boundary conditions y(O; t) = 0 = y(L; t). We now see that the formula
is, in fact, more general. The first term corresponds to a superposition of two
traveling waves, with velocities c. The second term has a similar interpretation.
We can show that (5.3.7) solves the initial-value problem (5.3.1) without any
recourse to the Fourier transform. For this purpose we assume that 11 has two
continuous derivatives and h has one continuous derivative. (This is in marked
contrast with the heat equation, where piecewise smooth initial data are sufficient
to ensure that the solution is differentiable to all orders for t > 0.) The details
are left as an exercise.
In many applications of the wave equation we would like to apply d' Alembert 's
formula in the case where fl' h are only piecewise smooth. For this purpose we
enlarge the concept of solution in the following way. A function y(x; t) is said
to be a weak solution of the wave equation if there exists a sequence of ordinary
solutions Yn(Xj t) such that Y(Xj t) = limn -+ oo Yn(x; t). With this extended concept
of solution, we can say that (5.3.7) provides a weak solution of the wave equation
5.3. SOLUTIONS OF THE WAVE EQUATION AND LAPLACE'S EQUATION 321
for any piecewise smooth fI, f2. The solutions Yn(x; t) may be taken to be the
integrals (5.3.6), where the range of integration is restricted to -n ~ J.L ~ n.
The concept of weak solution can be considered at a more abstract, or intrin-
sic, level. To motivate this, note that if y(x; t) is an ordinary solution of the wave
equation, then for any smooth function 7f;(Xj t) that is zero outside a sphere, we
can integrate by parts twice to conclude ff(7f;tt(x; t) -r?7f;xx(x; ty(x; t) dx dt = O.
We now define a weak solution of the wave equation in the extended sense as any
function y(x; t) for which this integral is zero for all smooth functions 1/J with
compact support, i.e., zero outside a sphere. With this intrinsic definition, one
can show that any pointwise limit of a sequence of ordinary solutions is a weak
solution in the extended sense. It is less obvious, but nonetheless true, that any
weak solution in the extended sense is a pointwise limit of ordinary solutions.
The d'Alembert formula can be combined with the method of images to solve
initial-value problems for the wave equation in the half-line x > O. This corre-
sponds to an infinitely long vibrating string with boundary conditions imposed
at one end. For example, we consider the initial-value problem
2
Ytt = c yxx t> O,x > 0
y(Oj t) = 0 t>O
y(x; 0) = f(x) x>O
Yt(Xj 0) = 0 x>O
corresponding to an infinite string that is tied down at the end x = O. To solve
this problem, we extend f as an odd function to x < 0 by defining j( -x) = - j(x)
for all x and j(x) = f(x) for x > O. Substituting in d'Alembert's formula, we
have
1 - -
y(x; t) = 2[f(x + ct) + f(x - ct)]
This function satisfies the boundary conditions, since y(Oj t) = l[j(ct)+ j( -ct)] =
o and j is an odd function.
If instead of the boundary condition y(Oj t) = 0 we have the boundary condi-
tion Yx(O; t) = 0 (meaning that the end of the string at x = 0 is free to move),
then the solution of the wave equation with the same initial conditions is given
by the same formula y(x; t) = ll(x+ct)+ ~l(x-ct), where now! is the even ex-
tension of f, th~t is, the function f defined for all x and satisfying f( -x) = l(x)
for all x while f(x) = f(x) for x > O.
5.3.2. General solution of the wave equation. The Fourier method can
be used to find the general solution of the wave equation Ytt = c?Yxx. Writing the
solution in the Fourier representation y(x; t) = f~Y(t; t)etJJXdj.L, we substitute
I:
in the wave equation to obtain
0= y" - d'y = (y" + c2p.2Y)e'''''dp.

The equation Yet + C2J-L2y = 0 has the general solution Y(J-Li t) = C(J.L)e1p.ct +
D(J-L)e- ,pct The solution y(x; t) can be computed as
y(x; t) = 1: Y(I'; t)e'''''dl'
= 1: [C(I')ei"" + D(I')e-''''']e'''''dl'
= [[c(l')ei P(Z+ct) + D(I')e'P(%-ct)j dl'

= f(x + ct) + g(x - d)
where J(x) = f:aC(J.L)e'lJXdJ.L, g(x) = f~ooD(J.L)eilJXdJ.L are the inverse Fourier
transforms of C(J.L), D(J.L). This formula, which has been derived by the Fourier
transform, is in fact more general, as the following proposition states.
PROPOSITION 5.3.1. Let f, 9 be continuous junctions for which /" g', I", gil
exist. Then y(x; t) = f(x + ct) + g(x - ct) is a solution of the wave equation.
Jilurthermore, any solution is of this form.
Proof. The first part is an immediate verification, since Yx(x; t) = J'(x +
ct)+g'(x-ct), Yxx(Xj t) = JI(X+ct)+g"(X-ct), Yt(Xj t) = cj'(x+ct)-cg'(x-d),
Ytt(x; t) = c2 f"(x + ct) + c2g"(x - d). The second part is proved by introducing
characteristic coordinates ~ = x - d, 1/ = x + ct. If y( Xj t) is a solution of the wave
equation with continuous second-order partial derivatives, let z(~; 1/) = y(x; t).
By the chain rule for partial derivatives,
8y 8z 8~ 8z 81/ 8z 8z
Yt 8t = 8~ at + 81/ at = -c 8~ + c 01/
=
02y (8 2z 8~ 02 Z 01/ E)2z f)~ f)2 z OJ-L)
Ytt = at2 = -c 8~2 at + o~ 01/ at + c &q 8e 8t + 81/2 at
_2fPZ _2 fPz 2 fPz 2fPZ
= c- 8e2 - c- 8e &q - c 8T] O~ + C 8T]2
oy OZ 8e 8z 8T] 8z 8z
Yx = ax = oe ax + aT] 8x = 8~ + &q
{)2y 8 2z 82z {)2z 82z
Yxx = ox2 = 8~2 + 8~ aT] + aT] O~ + 8T]2
The equation Ytt - C2Yxx = 0 translates into {)2z/8~ &q = O. This may be solved
by two integrations. We have (8/01/)(8z/8~) = 0, which requires oz/8~ = tp(~),
independent of TJ. A further integration gives Z(~i T]) = ?jJ(TJ) + fe~ tp(~')d{'. Re-
calling that ~ = x - d, ." = x + d, we see that z(~; TJ) = j(x + d) + g(x - ct),
where f(TJ) = ?jJ(TJ), g'(~) = tp(~). The proof is complete.
The general solution of the one-dimensional wave equation may be used to

solve problems with a time-dependent boundary condition, as indicated in the
next example.
EXAMPLE 5.3.1. Find the solution of the wave equation Ytt - ilyxx = 0 for
x > 0, t > 0 satisfying the initial conditions. y(x; 0) = 0, Yt(x; 0) = 0 for x > 0
and the boundary condition yeO; t) = set).
Solution. We look for y in the form y(x; t) = f(x+ct)+g(x-ct). Substituting
the initial conditions and boundary conditions, we must have
f(x) + g(x) = 0 x>0
cf'(x) - cg'(x) = 0 x >0
f(ct) + g( -ct) = set) t>0
Differentiating the first equation and using the second, we see that J'(x) = 0 and
g'(x) = 0 for x > 0; hence both I(x) and g(x) are constant for x > O. From
the first equation we have f(x) = c, g(x) = -C for x > O. The third equation
gives g( -ct) = set) - f(ct) = s(t) - C for t > O. Thus g(x) = -C for x > 0
and g(x) = s( -x/c) - C for x < O. Substituting these in the general solution
form for y(x; t), we have f(x + ct) + g(x - ct) = C - C = 0 for x - ct > 0 and
f(x + ct) + g(x - ct) = C + sct - x)/c) - C = set - x/c) for x - ct < O. Thus,
( t)
Y x; =
{Os (t - (x/c
x - ct >
x -
0
ct < 0
If we think of set) as a signal emitted from the source x = 0, the result of
the previous example states that an observer positioned at x > 0 does not sense
the signal until t = x / c time units have elapsed and, after that, the signal is
received verbatim, without distortion or damping. The graphs in Fig. 5.3.1 give
the solution for several values of t in the case set) = 3 sin 2t.
Example 5.3.1 can be combined with d' Alembert's formula to solve a general
initial-value problem for the wave equation in the half-space x > O. Consider, for
example, the problem
Ytt = c2 yxx t > 0, x > 0
yeO; t) = set) t>0
y(x;O) = f(x) x> 0
Yt (x; 0) =0 x >0
The solution is y(x; t) = !i(x + ct) + !i(x - ct) for x > ct, whereas y(x; t) =
4i(x + ct) + 4i(x - ct) + set - x/c) for x < ct.
5.3.3. Three-dimensional wave equation and Huygens' principle.
We now consider the three-dimensional wave equation
Utt = c2 V 2 u = c2 (u xx + U yy + U ZZ )
324 5. FOURlER TRANSFORMS AND APPLICATIONS
/------------------x
y(x; t)
t=O
(0,0) ...
(O.3)b,
t=!! x
~,O)
4
x
(O'O)A
(2"',0)
1=3",
4
(0, -3) b --~~-----(3C~:,O-)---------X
1 = '" (O'O)~'O) x
(O.3)~ ~ x
1=51t
4
r--~ (~".O)
1=3",
2 (O.O)~,
r-- ~~X(3~1<.O)
FIGURE 5.3.1 Solution of the wave equation.
which is satisfied by the components of the electric and magnetic fields in a

vacuum. The initial conditions are
U(x,y,z;O) == fl(X,y,Z)
Ut(X, y, z; 0) == f2(X, y, Z)
To solve this problem, we introduce the three-dimensional Fourier transforms F1 ,

F2 , U through the formulas
h(x, y, z) = III F,(p)e,(",x)dp
h(x, y, z} = III F2 (J.L)e'(IS,x)dJ.L
u( x, y, z; t) = III U(p; t)e'U.,x) dp

where we have used the inner-product notation (p" x) = P,lX + P,2Y + P,3Z and
dp, = dJ.LI dJ.L2 dp,3. Substituting this form for U in the wave equation, we must
have
0= III (Utt + c2 1p,1 2U)e'{IS,X)dJ.L = 0, 1p,1 2 = J.L~ + J.L~ + J.L~
Thus U is the solution of the second-order equation Utt + c21J-L12U = 0 with the
initial conditions U(J-Lj 0) = Fl (J-L), Ut(J.L; 0) = F2 (J.L). Solving, we have
sin ctlJ.L1
U(J.Lj t) = Fl (J.L) cos ctlJ.L1 + F2 (J.L) clp,1
Substituting in the formula for u(x, y, z; t), we have the desired Fourier represen-
tation
(5.3.8)
EXAMPLE 5.3.2. Use the Fourier representation (5.9.8) to solve the three-
dimensional wave equation Utt = c2v 2u if u(x, y, Zj 0) == 0, while Ut(x, y, Zj 0) = 1
for x 2 + y2 + z2 < R2 and zero othenoise.
Solution. We must compute the three-dimensional Fourier transform F2
Repeating the computations of Example 5.1.10, we have
F.(p) = (;1T)ffl 3 exp[-i(p,x}]dx
(2~ r1"" fo"foR

Ixl~R
2
= exp[-ilplr cos IJJr sin IJ dr dO dIP
= (~) 2 r R
exp[ -~IJ-Llr cos 9] 1 =tr r 2 dr
8
271" Jo zlJ-Llr 8=0

R
= 2";lplfo (sin Iplr)rdr
= _1_ (sinlJ-LIR _ RcoslJ.LIR)
271"21J-L1 1p,12 1p,1
Substituting this in (5.3.8) gives the desired Fourier representation .
We now derive an explicit representation, the three-dimensional generalization

of d'Alembert's formula. To do this, we recall, following the discussion after
Example 5.1.10, the surface integral fonnula (5.1.16) on a sphere of radius R:
11
I~I=R
e,(p'()dS = 41TR"Si~J~R IJLI ,,0
If IJ-LI = 0, the surface integral is 411' R2, the area of the surface of the sphere. We
use this with R = ct to write
e'{Il,X) sin ctlJ-L1 = _1_ ({ ei{l'.x+~)dS
clJ-L1 41rtc2 JJ
1~I=ct
We mUltiply this equation by Fk(J-L), integrate dJ-L, and formally interchange the
order of integration to obtain2
111 Fk(JL) Si:~:JLI e'(P,z) dJL = 41T~c2 JJ (J11

1{I=ct
e'(P,z+() Fk (JL )dJL) dS
(5.3.9) = 41T~c2 11
1(I=ct
ik(x + t;)dS
= tMctlk k = 1,2
where we have defined the mean-value operator by
MRf(x) = 41T~ 11
I{I=R
f(x + t;)dS
Thus we have obtained an explicit representation of the 12 term of the solution

(5.3.8); to handle the 11 term, we differentiate the identity (5.3.9) with respect
to t.
(5.3.10) k= 1,2
Combining this with the first formula, we have the desired explicit representation:
d
(5.3.11) u(x, y, Z; t) = Cit (tMcth) + tMcth
This representation displays an important property of the three-dimensional
wave equation, Huygens' principle, stated as follows. If 11 and h are zero for
(x 2 + y2 + z2)l/2 ~ R, then u(x, y, z; t) = 0 for ct > R + (x 2 + y2 + z2)1/2. This
results from the fact that (5.3.11) contains only surface integrals over a sphere
2This can be made rigorous by inserting the factor e- E1 1'12 inside the integral and taking
the limit -+ 0 after the interchange.
UI
FIGURE 5.3.2 Illustrating Huygens' principle: f, and h are zero outside the
sphere of rad ills R about (0, 0, 0). If ct > R + IX2 + y2 + Z2, then f, and hare
zero on the surface of integ ration (labeled III).
of a radius ct a nd t hat for t sufficiently large, t he surface of integration does not

intersect the set where f, # 0, h # 0. This is ill ustrated in Fig. 5.3.2.
5.3.4. Extended validity of t he explicit representation. We have de-

rived the explicit representation formula (5.3. 11 ) for t he solut ion of the wave
equation beginning with t he Fourier tra nsforms of t he init ial data f" h. But
t he final formu la makes no reference to the Fourier transform a nd can be defined
in many cases when t he Fourier transform does not exist. For Simplicity, t he
following theorem treats t he case f, = o. We use t he notation P = (X I, X2 , X3) to
denote a typical point of three-dimensional space.
THEOREM 5.5. Suppose that f(P) is a "eal-valued continuous function with

two continuous partial derivatives. Then the f01"mula u( P ; t) = tM,J(P) defines
a twice-differentiable function that satisfi es the wave equation Utt = c2 \7 2 u with
the initial conditions u(P; 0) = 0, u,( P ; 0) = f(P).
Proof. From the definition,

t
u(P; t) = 4 12 r r f(P + e)dS = -4 r r f(P + ctw)dS
'Ire t JJ lel=ct 7r JJ /wl=1
Clearly u(P; 0) = O. The first time derivative is given by the product rule:
1 ct
(5.3.12) Ut(P; t) = 4 fr'r f(P + ctw)dS + 4 fro r (\/ f)(P + ctw) . wdS
'Ir J Iwl=l 'Ir J Iwl=l
In particular Ut(P; 0) = f(P). To proceed further, we transform the second
integral by the divergence theorem as follows:
~ rr
ct
(\/ f)( P + ctw) . w dw = 4 r, (aaf) (P + ctw)d W
47r JJ /wl=1 7r JJ Iwl=l n
= _1 fro, (Of) (p+e)de

47rct J lel=ct an
1
= 4 ctfr, r (\/2 f)(P + e) d{
7r JJ
lel<ct
=
1
-4
'lrct
let (/ /
0 lel=r
(\/2 !)(P + e) dS) dr
We make this substitution in (5.3.12), differentiate with respect to t, and again

apply the divergence theorem, to obtain
Utt(p;t)=~fr, \/f(P+ctw)wdS- ~lct(" \/2f(p+e)d~dr

4'1r J Iwl=1 47rct 0 JJ lel=r J
1
+4 t
7r
'f
JJ lel=ct
(\/2 f) (P + e) dS
= 411"lct2 JfJfJ, lel<ct (\/2 f)( P + e) de - 4 lct2 '"

'Ir JJJ le/<ct
(\/2 f)( P + e) de
1
+4 t ff (\/2 f)( P + e) dS
'Ir JJ lel=ct
= c2tfr r \/2 f(P + ctw)dS

411" J Iwl=1
On the other hand, we may compute the spatial derivatives of u(P; t) by differ-
entiating under the integral sign, to obtain the formulas
ux.(P; t) = 4t
7r
frJf Iwl=1
fx.(P + ctw)dS i = 1,2,3
u x x ) (P; t) = 4t
7r
frJf Iwl=!
fx.x) (P + ctw)dS i,j = 1,2,3
In particular,
which was to be proved .

Now we can use this to treat the case h = O.
THEOREM 5.6. Suppose that J(P) is a real-valued continuous Junction with
three continuous partial derivatives. Then the Jormula v(Pj t) = (8/at)[t Mctf]{P)
defines a twice-differentiable function that satisfies the wave equation Vtt = c2V 2 v
with the initial conditions v(P; 0) = f(P), Vt(P; 0) = o.
Proof. We have v = Ut, where U is the solution of the wave equation obtained
in the previous theorem. Application of the requisite derivatives reveals that
(~
8t2
-
2 2
C V ) V = (!:...
8t
- V
2
C
2 2
) U
t
= (8 u _ V
2
C2 2 U)
(Jt2 t
=0
since U is a solution of the wave equation. To verify the initial conditions, we again
appeal to the result of the previous theorem to obtain v(P; 0) = Ut(P; 0) = f(P)
and Vt(P; 0) = Utt(P; 0) = c2V 2 u(P; 0) = 0, completing the proof.
Adding the results above, we can obtain the solution of the initial-value prob-
lem as follows.
THEOREM 5.7. Suppose that It (P) has three continuous partial derivatives
and that f2(P) has two continuous partial derivatives. Then Jormula (5.9.11)
defines a solution oj the wave equation satisfying the initial conditions
u(P; 0) = it (P), Ut(P; 0) = h(P)
5.3.5. Application to one- and two-dimensional wave equations. For-
mula (5.3.11) can be used to solve the two-dimensional wave equation Utt =
c2(u xx + u yy ) with initial conditions u(x, y; 0) = h(x, y), Ut(x, y; 0) = f2(X, y).
Considering these as functions of (x, y, z), we substitute in (5.3.11) and perform
the required integrations. If these are written as integrals in the xy plane, we ob-
tain integrals over the interior of the circle of radius d, described in detail below.
This has the consequence that Huygens' principle is not valid for wave motion in
two dimensions. For example, a pebble dropped in a pond of shallow water will
create a wave motion on the surface of the water; an observer positioned r units
away from the initial disturbance will sense the disturbance at t = r / e time units
later. After this time the solution will continue to be nonzero for all later times,
according to the wave equation. This is the phenomenon of a wake behind the
initial disturbance, present in two-dimensional wave motion. Huygens' principle
can be restated to say that, in three-dimensional wave motion, no wake is present.
We now present the details of the passage from the three-dimensional wave
equation to the two-dimensional wave equation, known as the method of descent.
We are given two functions It (x, y) and hex, y), and we are looking for the
solution of the wave equation with u(x, Yj 0) = h (x, y), Ut(x, Yi 0) = hex, y).
To do this, we substitute in the explicit representation formula (5.3.11), which
leads us to study the action of the mean-value operator Met on a function of
two variables. Note that this operator involves an integration over the sphere
of radius etj we can parametrize the upper half of the sphere by the formula
6 = V(ct)2 - e? -
e~, and the element of surface area is computed as
dS. = 1+ (8866)2 + (86)2

86 df.l df.2
ct df.l d6
=
V(ct)2 - er - ei
The integral over the lower hemisphere is handled similarly, with the parametriza-
tion 6 = -V(ct)2 - er - ei.
The mean-value operator Met is sum of the inte-
grals over the upper and lower hemispheres, which produces a factor of 2 and the
formula
(5.3.13) Metf(P) = _l_jr ( f(P + e) df.l df.2

27rct J 1{I<ct J(ct)2 -lel 2
This is then substituted into (5.3.11) to obtain the solution. We summarize this
work as a theorem.
THEOREM 5.8. Suppose that It (x, y) has three continuous partial derivatives
and that f2(X, y) has two continuous partial derivatives. Then the solution of the
two-dimensional wave equation satisfying the initial conditions
U(Pj 0) = It (P), Ut(Pj 0) = h(P)
is given by the formula
(5.3.14)
~------------------------------------------------~
u(Pj t) = _1 [jr ( h(P + e) df. + !!:jr{ It (P + e) de]

27rC J 1{I<et V(ct)2 - lel 2 dt J 1{I<et J(ct)2 - lel 2
EXAMPLE 5.3.3. Let u(x, Yj t) be the solution of the two-dimensional wave
equation Utt = c2 (u xx + Uyy ) with initial conditions u(x, Yj 0) == 0 and Ute x, y, 0) =
1 for x 2 + y2 :5 a2 and zero otherwise. Find u(O, 0; t) for all t > 0 and determine
the behavior of u(O, 0; t) when t -+ 00.
Solution. We take and h(x, y) = 1 for x 2 + y2
It == 0 < a2 and zero
otherwise. We substitute in (5.3.14) to obtain
u(x,Yjt) = _1 rr d{
27rcj j lel<ct,lel<a J(ct)2 - 1~12
The integral can be done by taking polar coordinates with T = I~I, obtaining
= ~ (ct -
b
l ---;:;=T::;::;d;::::T=;:=:;;:
o V(ct)2 - 1~12 2
J{ct)2 - b2)
and the result is
t ct < a
u(O, 0; t) = { t _ Jt2 _ (a2/c2) ct > a
When t -+ 00, we may use the Taylor expansion Jl - (a/ct)2 = 1 - a2/2e-t 2 +

O{I/t4 ) to obtain
u(O, 0; t) = t - tJl - (a/ct)2 = a2 /2ct + O(1/t 3 )
The final worked example in this subsection illustrates the versatility of for-
mula (5.3.11) by rederiving the solution of the one-dimensional wave equation for
the vibrating string.
EXAMPLE 5.3.4. Show that formula (5.3.11) reduces to d'Alembert's formula
in the case where ft = 0, h(x, y, z) = h(x).
Solution. If f(x, y, z) = f(x), then the surface integral defining Metf can be
written as a single integral as follows: for any R,
MRf(x, y, z) = ff
4"~
lel=R
f(x + eddSE
= 11r lff f
1
-4
7r -1T 0
(x + R cos 8) sin 8 d8 dcp
= 2~ 1>(X HI)del
Thus,
2 let + l x ct
tMct f2(X, y, z} = 1 f(x ~dd6 = -21 + f(7J)d7J
c -et c x-ct
which is the appropriate form of d' Alembert's formula in this case.
5.3.6. Laplace's equation in a half-space: Poisson's formula. One can

use the method of Fourier transforms to solve Laplace's equation in a half-space
and to find the explicit representation of the solution. We now illustrate the
solution of Laplace's equation by Fourier transforms. We will solve the following
boundary-value problem for Laplace's equation in the half-plane y > 0
(5.3.15) U XX + U yy = 0 < x < 00, y > 0

- 00
(5.3.16) u(x,O) = I(x) -oo<x<oo
(5.3.17) lu(x,y)1 ~ M - 00 < x < 00, y > 0
where f(x), -00 < x < 00, is piecewise smooth with f~oolf(x)ldx < 00.
To do this, we follow the second method of Sec. 5.2. Introducing the Fourier
transform formulas f(x) = f~ooF(p.)e#'Xdp., F(p.) = (1/27r)f~oof(x)e-i#'Xdx, we
look for the solution in the form u(x, y) = f~ooF(p., y)e'IlX dp.. Laplace's equation
is
Thus F must satisfy the ordinary differential equation Fyy (p., y) = J.t2 F (J.t, y) and
the initial condition F(p.,O) = F(p.) for each p.. The general solution of the
ordinary differential equation is of the form AellY + Be- IlY . If we impose the
initial condition and the boundedness condition, the solution must be
F(p.)e- IlY if p. ~ 0
F(p.,y) = { F(p.)e IlY if J.t < 0
This can be succinctly expressed using the absolute value as F(J.t)e-IIl[Y,
(5.3.18) F(p.) = -211

7r
00
-00
f(x)e-' IlX dx
This is the desired Fourier representation of the solution.

To obtain an explicit representation, we insert the basic defining formula
F(J.t) = (1/27r)f:af(e)e- i J.&ed,{ into the Fourier representation and formally in-
terchange the order of integration. Thus
The inner integral is
Therefore the explicit representation is
= -;11
00
(5.3.19) u(x, y) -00

Y _ ~)2 f(~)df.
y2 + (x
This is closely related to the Poisson integral formula, obtained in Chapter 2 for
the solution of Laplace's equation in the disc.
Having obtained this explicit representation, it may be verified independently
that this solution is valid for any piecewise smooth function f(x), -00 < x < 00,
for which If(x) I ~ K for some constant K. It is not necessary to suppose that
f~oolf(x)ldx < 00.
THEOREM 5.9. Suppose that f(x), -00 < x < 00, is bounded and piecewise
continuous. Then the integral {5.3.19} defines a solution of Laplace's equation
U xx + U yy = 0 satisfying the boundary condition that limy-to u( x, y) = ~ f (x + 0) +
~f(x - 0).
EXAMPLE 5.3.5. Find the bounded solution of Laplace's equation uxx+u yy = 0
in the half-plane y > 0 satisfying the boundary conditions u(x, 0) = 1 if a < x < b
and u(x, 0) = 0 otherwise.
Solution. Referring to (5.3.19), we have
u(x, y) = -;
lib a
y
(x _ e)2 + y2 de
Making the substitution v = (~ - x)/y, we have d1; = y dv, and the denominator
of the integrand is y2(1 + v2 ). Changing the limits of integration accordingly, we
have
1 1(b-X)/1/ 1
u(x,y) =- --d v
7r (a-x}/1/ 1 + v2
= ~
7r
(arctan b -
Y
x_arctan a-Y x)
1
= -(/h - (Ja)
7r
where the angles Oa, Ob are depicted in Fig. 5.3.3 .
(X,y)
11\- .....
~ ..... ,
I \ Db .................
I J ...............
~\ .........
18a \ ..............
I \ ..........
-----4I---\+----------.-. . . .~>----
. __JX
~m ~m ~m
FIGURE 5.3.3 Solution of Laplace's equation.
EXERCISES 5.3
1. Use d' Alembert's formula to solve the wave equation Ytt = e-yxx with the
initial conditions y(x; 0) = 3sin 2x, Yt(x; 0) = O.
2. Use d'Alembert's formula to solve the wave equation Ytt = e-yxx with the
initial conditions y(x;O) = 0, Yt(x;O) = 4cos5x.
3. Suppose that 11 has two continuous derivatives and h has one continuous
derivative. Show that (5.3.7) is a solution of the initial-value problem
(5.3.1).
4. Find the solution of the wave equation Ytt = ilyxx for t > 0, x > 0 satisfying
the boundary conditions y(Oj t) = 0 and the initial conditions y(x; 0) = 0,
Yt(Xj 0) = g(x).
5. Find the solution of the wave equation Ytt = e-yxx for t > 0, x > 0
satisfying the boundary conditions y(Oj t) = s(t) and the initial conditions
y(x; 0) = 0, Yt(x; 0) = g(x).
6. Show that formula (5.3.11) reduces to d'Alembert's formula in the case
where 11 (x" z) = 11 (x), h = O.
7. Use formula (5.3.11) to solve the initial-value problem for the wave equa-
tion in three dimensions when the initial data it, h depend only on
r = Jx 2 + y2 + Z2 and Il(X,y,Z) = h(r), h(x,y,z) = h(r).
8. The oscillations of a gas satisfy the three-dimensional wave equation Utt =
e-\1 2u with u(x, y, z; 0) = 0, Ut(x, y, z; 0) = T if a2 ~ x 2 + y2 + z2 and zero
otherwise. Find the solution of this initial-value problem.
9. Find the bounded solution of Laplace's equation U xx + u yy = 0 in the half-
plane Y > 0 satisfying the boundary conditions U(x, 0) = 2 if -4 < x < 4
and U(x, 0) = 0 otherwise.
10. Consider the problem of solving Laplace's equation U xx + U yy = 0 in the
quadrant x > 0, y > 0, with the boundary conditions u(x,O) = f(x),
u(O, y) = O. By combining the method of images with Theorem 5.9, find
an explicit representation of the solution.
11. Consider the problem of solving Laplace's equation U xx + yyy = 0 in the
quadrant x > 0, Y > 0, with the boundary conditions u(x,O) = I(x),
ux(O, y) = O. By combining the method of images with Theorem 5.9, find
an explicit representation of the solution.
5.4. SOLUTION OF THE TELEGRAPH EQUATION 335
12. Consider the problem of solving Laplace's equation U xx + U yy = 0 in the

quadrant x > 0, Y > 0 with the boundary conditions u(x,O) = f(x),
u(O, y) = f(y). Find an explicit representation of the solution.
13. Consider the problem of solving Laplace's equation U xx + Uyy = 0 in the
strip 0 < x < L, 0 < y < 00, with the boundary conditions u(x, 0) = f(x),
u(O, y) = 0, u(L, y) = O. Find the Fourier (series) representation of the
bounded solution of this problem.
14. Consider the problem of solving Laplace's equation U xx + u yy = 0 in the
strip 0 < x < L, 0 < y < 00, with the boundary conditions u(x,O) = 0,
u(O, y) = 0, u{L, y) = g(y). Find a Fourier representation of the bounded
solution of this problem.
15. Find the solution of the wave equation Ytt = eyxx for t > 0, x > 0, with the
boundary condition y(O; t) = 4 cos t and the initial conditions y(x; 0) = 0,
Yt(x; 0) = 0, Sketch the solution for several different values of t.
16. Find the solution of the wave equation Ytt = r?yxx for t > 0, x > 0, with
the boundary conditions y(Oj t) = 3 for 0 < t < 5 and y(O; t) = 0 for t > 5
and the initial conditions y(x; 0) = 0, Yt(x; 0) = O. Sketch the solution for
several different values of t.
17. Find the solution of the wave equation Ytt = c2 yxx for t > 0, x > 0, with
the boundary condition Yx(O; t) = 0 and the initial conditions y(x; 0) = 1
for 0 < x < 3, y(x; 0) = 0 for x > 3, and Yt(x; 0) = 0 for all x > O. Sketch
the solution for several different values of t.
5.4. Solution of the Telegraph Equation

The flow of electricity in a cable is described by the partial differential equation
Uxx = CLutt + (RC + GL)ut + RGu
where R is the resistance, L is the inductance, C is the capacitance, and G is the
leakage, all measured per unit length of the cable. The unknown function u(x; t)
may represent the voltage or the current at the time instant t, at the position x of
the cable, where t > 0, -00 < x < 00. The derivation of the telegraph equation
is carried out in the appendix to this chapter.
To put this in a more convenient form, let
RG 21 RG
2{3=L+C' C=CL' a=CL
resulting in the equation
(5.4.1) IUtt + 2{3ut + au = c u I
2
xx
From the defining equations
p2_>= H~ ~y -
Therefore we need only solve equation (5.4.1) for values of a and {3 for which
/32 - a 2:: o. In order to illustrate the mathematical methods, we will solve (5.4.1)
for arbitrary values of a, (3. This will include, for example, the Klein-Gordon
equation, which occurs in quantum mechanics, as well as the wave equation,
which was treated in Sec. 5.3. In detail, we have three separate cases to consider:
Case I: f32 < a
Case II: /32 = a
Case III: /32 > a
Since the telegraph equation is second order in time, it is natural to specify two
initial conditions:
U(X; 0) = It (x),
Since the equation is linear and homogeneous, we can first solve with It = 0,
then solve with h = 0, and add the results.
5.4.1. Fourier representation of the solution. To solve the initial-value

problem for the telegraph equation, we look for u(x; t) in terms of its Fourier
transform,
u(x; t) = I: U(p,; t)e'lI%dp,
and formally apply the operations implied by (5.4.1).
Utt + 2f3ut + au - c2U xx = 1 00
-00 (Utt + 2/3Ut + aU + c2p,2U)e'Jl%dp,

.
Therefore we solve the ordinary differential equation

(5.4.2)
with the initial conditions
(5.4.3) U(J.L; 0) = 0,
To solve this equation with constant coefficients, we look for solutions of the form
e'Yt and obtain the quadratic equation
(5.4.4)
We consider separately the three cases.
Case 1: a - f32 > O. In this case both roots of the quadratic equation (5.4.4)
are complex numbers, 'Y = -(3 iv'(a - fJ2) + (Cp,)2, and the solution of (5.4.2)
is
The Fourier representation of the solution is
. t) = e-PtjOO F! ( )sin tJ(a - /32) + (CJ.l)2 etllXd

(5.4.5) u (x, -00
2 J.t V. f{ a - jJ(2) + ()2
CJ.t P,
Case 2: {32 - a = O. In this case the roots of the quadratic equation (5.4.4)
are the complex numbers 'Y = -{3 icJ.t, and the solution of (5.4.2) is
U{p.; t) = F2{J.l)e- pt sin

__
cp,t
cp,
The Fourier representation of the solution is
(5.4.6)
Case 3: {32 - a > o. In this case the roots of the quadratic equation may be
either real or complex conjugate, depending on the value of p,. This leads to the
following two subcases:
J
Subcase i. If clp,1 :$ /32 - a, then the roots are real and given by 'Y =
- {3 J ({32 - a) - (Cp,)2, and the Fourier transform is given by
. ) _ D ( ) -pt sinh tJ({32 - a) - (Cp,)2
U( J.l, t -.1'2 P. e
J(f32 - a) - (cp.)2
Subcase ii. If clp.1 > ~, then the roots are conjugate complex and
given by 'Y = -{3 iJ(Cp,)2 - ({32 - a), and the Fourier transform is given by
U(J.t; t) = F (J.t)e- Pt sin tJ(cp.)2 - ({32 - a)

2
J(cp,)2 - ({32 - a)
Combining these two subcases, we find the Fourier representation in case 3:
(5.4.7) u(x; t) = e- Pt r F2(J.l) sin tJ(CJ.l)2 - ([32 - a) eillXdp,

JlcJlr~";{p-o J(Cp,)2 - (132 - a)
+e -Pti. z;o ( )sinhtJ({32 - a) - (cp,)2

.1'2 p, eillXdp,
ICJlI<";P2- o J(32 - a) - (Cp,)2]
We have thus obtained the desired Fourier representation of the solution of the
telegraph equation in each of the three cases.
We now verify that these formal solutions are indeed rigorous solutions of
the problem (5.4.1) with 11 = o. For this purpose we assume that the Fourier
transform of the initial data satisfies
[)J.IIF2 (/-llld/-l < 00

(This will happen if, for example, f2 has three continuous derivatives that are
absolutely integrable.) With this hypothesis we can follow the arguments of Sec.
5.2 and take the derivatives under the integral sign. For example, in case 1,
/3t
(e u)x -
-1 00
-00 F 2(JL)
sin t[(a - {32) + (CJL)2]1/2. lp.%
[(a _ {32) + (CJL)2)1/2 1,JLe dJL
/3 t )
( e U xx -
-1 00
~ (
2 JL
) sin t[(a - {32) + (CJL)2]11/2 (. )2 lJ.l%d
[(a _ {32) + (CJ.L)2J1/2 1,JL e JL
-1
-00
sin t[(a - {32) + (CJL)2J1/2

00
fJt _ 2 2 ip.x
(e U)tt - -00 F 2(JL) [(a _ {32) + (CJL)2)1/2 [(a - {3 ) + (CJL)]e dJL
Clearly, (efJtu)tt - c?(e/3 t u )xx + (a - {32)(efJ t u ) = 0, which is equivalent to the
telegraph equation.
In case 3 the analysis is the same. In case 2 we can do better, since, apart
from the factor e-fJt , this is just the Fourier representation (5.3.6) of the solution
of the wave equation, which can be rewritten as
u(x; t)
e-
= -2-
C
fJt
l
x-ct
x ct
+ f2(f.)df.
If f~ exists, this is a solution of the telegraph equation.

5.4.2. Uniqueness of the solution. We now discuss the uniqueness of our
solution. We have obtained a solution in the form of a Fourier representation, but
it is conceivable that other forms are possible. The property of uniqueness ensures
that any other representation must lead to one and the same function u(x; t). For
this purpose, let Ut, U2 be two solutions that have the same initial data and are
zero for large x, depending on t. (This is a natural assumption since telegraph
signals are expected to move with a finite velocity.) Letting v = (Ul - u2)efJt , we
see that v satisfies the equation Vtt + (a- {32)V = c?vxx with zero initial conditions.
We now introduce the energy functional
E(t) = 211 00
-00
2
(vi + c v; + v )dx
2
Differentiating with respect to t, using the equation for v, and integrating by

parts, we have
Ef(t) = 1: (Vt V" + c2v"v", + vv,)dx
= 1: 2
(v,[c v= - (a - ,82)vl + c v"v", + vv,) dx
2
= -C' [V"V""dx + (1 + ,82 - a) [ VVtdx + C' [v"v"tdX
= (1 +,82 - a) 1: vv,dx
But
Therefore,
E'(t) ~ bE(t) b= l+/P-a
2
Thus,
! [e- bt E(t)] = [E'(t) - bE(t)]e- bt ~0

But v and Vt are both zero for t = 0; hence
E(O) =0
Applying the fundamental theorem of calculus,
e- bt E(t) ~ 0
But E(t) is the integral of a nonnegative function, and hence nonnegative. There-
fore we conclude that
E(t) == 0
This means that all of the terms in the integrand of E(t) are also zero, in partic-
ular, Vt. Integrating once more and using the fundamental theorem, we see that
v itself is identically zero, and we have proved uniqueness .
5.4.3. Time-periodic solutions of the telegraph equation. Quite apart

from the initial-value problem, it is possible to find solutions of the telegraph
equation that are periodic in time, much as we did for the heat equation in
Chapter 2.
In order to find time-periodic solutions of the telegraph equation, we look for
complex separated solutions of the form
u(x; t) = e1Wte'Yx
where w is a given real number and 1 is to be found. By taking the real and
imaginary parts, we will obtain real-valued solutions of the telegraph equation
that are periodic in time. To proceed further, we compute the relevant derivatives:
ux(x; t) = 1 e1Wt e'Yx uxx(x; t) = 12 e1Wt e'Yx
Ut(X; t) = iw e1Wt e'Yx Utt(x; t) = _w 2 e1Wt e'Yx
To satisfy the telegraph equation, we must have
0= Utt + 2f3ut + au - cu xx = [_w 2 + 2iwf3 + a - C12]U
which will be satisfied if and only if 1 satisfies
C
2
12 = _w 2 + 2iw/3 + a
This may be solved in terms of complex square roots through the formula
v'A + iB = u + iv
J2
where
u = JA + JA2 + B2, V = sgn(B) J-A + JA2 + B2

where the signum function is defined by sgn(B) = +1 if B ~ 0 and sgn(B) = -1
otherwise. Taking A = a - w2 , B = 2w/3 > 0, we have
C"fh = (J at - w2 +./(at - W2)2 + 4fJlw2 +;J-at + w2 +v' (at - W2)2 + 4fJlw2)

Real-valued solutions are obtained by taking the real and imaginary parts of the
above complex-valued solution.
1b do this, we write "/ = ("/R + i"/I) and obtain
e"Yxeiwt = e("YR+i"Yl)Xeiwt
= e"YRX(cos(wt"/IX) + isin(wt "/IX))
The choice of sign is often dictated by conditions of boundedness, as indicated in

the next example.
EXAMPLE 5.4.1. Find the time-periodic solution of the telegraph equation
Utt + 2/3ut = c'lu xx defined for x > 0, -00 < t < 00 and satisfying the boundary
condition that u(O; t) = Acoswt. Assume further that lu(x; t)1 ~ M for some
constant M and that w > 0, /3 > o.
Solution. We use the above complex separated solutions with a = 0, /3 > o.
Thus we have
C"fh = ( J-w2 + v'w2 + 4fJlw2 + i Jw2 + v'w2 + 4fJlw2)

and the real-valued solutions
u(x; t) = exp( c~ J-w' + v'w2 + 4{J2w2) cos~t c~ Jw2 + v'w2 + 4fJlW')
u(x; t) = exp~ c~ J-w2 + v'w' + 4fJlW2 ) sintt c~ Jw2 + v'w' + 4fJlw') )

In order to satisfy the boundary condition at x = 0 we choose the first solution;
in order to satisfy the condition of boundedness for x > 0, we must choose the
solution with a negative real part in the exponent. This leads to the solution
u( X; t) = exp(- c~ J-w2 + v'w2 + 4fJlw2 ) costt - c~ Jw2 + v'w2 + 4fJlW2 )

EXERCISES 5.4
1. Let u(x; t) be a solution of the telegraph equation Utt + 2{3ut + au = e-uzz '
Show that vex; t) = eptu(x; t) is a solution of the equation Vtt + (a - {32)V =
e-v zx
=
2. Let vex; t) be a solution of the equation Vtt + (a - {32)V c2 vxx Show that
u(x; t) = e-Ptv(x; t) is a solution of the telegraph equation Utt+2,BUt+au =
c2 uxx
3. Solve the initial-value problem for the telegraph equation
Utt + 2{3ut + au = c2u xx t > 0, -00 < x < 00
u(x; 0) = II (x) -oo<x<oo
Ut(x; 0) = 0 -oo<x<oo
Consider separately the three cases a > {32, a = {32, a < {32.
4. Let I(x) be a smooth function whose derivatives 1(1) satisfy
l:lf(')(X)ldx < 00 i = 0,1,2,3

where I(O} = I. Let F be the Fourier transform of I. Show that
l)J.IIF(p.)ldp. < 00
[Hint: Integrate by parts the formula (5.1.6) three times to obtain F(p,) =
O(IJLI-3 ), 1p,1 -7 00.]
5. Use the result of the previous exercise to show that under the stated con-
ditions, the Fourier representation (5.4.5) defines a rigorous solution of the
telegraph equation with 11 = O.
6. Find the bounded time-periodic solution of the telegraph equation Utt +
2{3ut = c2 uzx for x > 0, -00 < t < 00, with u(O; t) = A sin wt, where A, w,
{3 are real and positive.
7. Find the bounded time-periodic solution of the telegraph equation Uu +
2{3ut + au = c2 u zx for x > 0, -00 < t < 00, with u(O; t) = A cos wt, where
A, w, a, {3 are real and positive.
8. Consider the three-dimensional telegraph equation
2 2
Utt + 2{3ut + au = C V U
with initial conditions

u(x,y,z;O) =0 Ut(x, y, Z; 0) = f2(X, y, z)
Find a Fourier representation of the solution.
Appendix SA: Derivation of the telegraph equation
In this appendix we derive a system of two partial differential equations that

lead to the telegraph equation.
Suppose that a conducting cable occupies the x-axis and is endowed with
resistance, inductance, capacitance, and leakage-denoted respectively by the
letters R, L, 0, and G, assumed to be constants, independent of position or time.
The unknown functions are the voltage v(x; t) and the current i(Xi t) measured at
the point x of the cable at time instant t. We suppose that these are continuous
functions of both variables, with continuous partial derivatives VX , Vt, ix, it. The
system of equations will be derived by considering the voltage loss and current
loss along a section of the cable Xl ~ X ~ X2'
The voltage loss comes in two parts. First, there is a voltage loss that is pro-
portional to the current in the cable, where the proportionality factor is (defined
to be) the resistance; second, there is a voltage loss that is proportional to the
rate of change of current, where the proportionality factor is (defined to be) the
inductance. Putting these together, we have
V(Xl; t) - V(X2i t) = R
x2
i(x; t) dx +L 1x2 it(xj t) dx

1XI ~
But the fundamental theorem of calculus gives the alternative expression

x2
V(Xl; t) - V(X2j t) = -
Equating these two expressions leads to the equation

1 XI
vx(x; t) dx
x2
1Xl
[vx(x; t) + Ri(x, t) + Lit(x; t)]dx =
Since the functions in the integrand are assumed to be continuous, we conclude
0
that the integrand is identically zero, leading to the first equation of the system:
vx(Xj t) + Ri(x; t) + Lit{x; t) = 0
To deduce the second equation of the system, we consider the change in cur-
rent in a section of the cable. The current changes based on two factors: first,
there is a current loss that is proportional to the voltage level, where the propor-
tionality factor is (defined to be) the leakage constant; second, there is a current
loss that is proportional to the rate of change of the voltage, where the constant
of proportionality is (defined to be) the capacitance. Putting these together, we
have, for the current loss along this section, G f~2 v{x; t) dx + 0 f~2 Vt{x; t) dx.
But the basic relation between charge and current is that the above quantity is
the difference in the current. Thus
x2 x2
i(XI; t) - i(X2; t) =G1 v(x; t) dx +0 1 Vt{x; t) dx
Xl Xl
The fundamental theorem of calculus gives the alternative formula

i(Xl; t) - i(X2t) = _1:Z:2 i:z:(x; t) dx
:Z:1
Subtracting these two equations, we have, for any segment of the cable,
1 ,x2 [i,x(x; t) + Gv(x; t) + CVt(x; t)] dx = 0

,xl
Since the functions are assumed to be continuous, we conclude that the integrand
is identically zero, leading to the second equation of the system:
it(x; t) + Gv(x; t) + CVt(x; t) = 0
This system of equations may be summarized in the form
(5.4.8) li,x + CVt + Gv = 01
(5.4.9) IV:z: + Lit + Ri = 0 I
Having established this system of equations, it is straightforward to derive the
second-order telegraph equation of the text, assuming that both v{x; t) and i{x; t)
have continuous second-order partial derivatives. In detail, take the t-derivative
of (5.4.8), multiply by L, and subtract this from the x-derivative of {5.4.9}; the
term Li:z:t cancels, and we are left with the equation LCvtt + GLvt = V,x,x + Ri:t.
But Ri:z: can be computed from (5.4.8) as Ri:z: = -RCvt - RGv, leading to the
telegraph equation
LCVtt + (G L + RC)vt + RGv = V,x:z:
To obtain the equation satisfied by the current i(x; t), we proceed similarly, taking
the x-derivative of (5.4.8) and subrating C times the t-derivative of the (5.4.9).
Using (5.4.9) again to solve for V,x and substituting, we obtain the same telegraph
equation:
LCitt + (G L + RC)it + RGi = i,x,x
CHAPTER 6
ASYMPTOTIC ANALYSIS
INTRODUCTION
Several times in the previous chapters we have encountered notions from

asymptotic analysis. This refers to the simplification of a complicated formula
that contains a parameter. When the parameter becomes very large, it is often
possible to find a simpler formula that gives an extremely accurate approximation
to the original formula.
For example, in Chapter 2 we found asymptotic formulas for the solution of
the heat equation, by using the first term of the series of separated solutions.
However, when the solution is represented by an integral instead of a series, there
is no largest term that gives the asymptotic behavior; hence we must develop
more systematic methods of analysis.
Section 6.1 illustrates the power of working with an integral representation
rather than with an elementary formula in the case of the factorial function,
where we derive a form of Stirling's formula by suitable asymptotic analysis. The
systematic work begins in Sec. 6.2, where we show that the elementary technique
of integration by parts can provide useful asymptotic estimates in many cases of
interest. In more refined cases, we can often use Laplace's method, developed in
Sec. 6.3. There is also a counterpart of Laplace's method for oscillatory integrands
represented by purely imaginary exponentials, the method of stationary phase,
which is developed in Sec. 6.4. These three methods can be consistently applied
to the integral representations of solutions of the heat equation and Laplace's
equation to deduce one-term asymptotic formulas. If one desires formulas with
additional terms, there is the method of asymptotic expansions, developed in
Sec. 6.5, which extends each of the three methods to obtain additional terms.
The methods of asymptotic analysis can be applied effectively to the solutions
of partial differential equations. This is especially natural when we consider the
Fourier integral representation, with the heat equation as one of the simplest
cases. In Sec. 6.6 we combine the previous methods to obtain the asymptotic
analysis of solutions of the telegraph equation.
6.1. Asymptotic Analysis of the Factorial Function

In this section we discuss the asymptotic behavior of the factorial function
n! = 1 2n
345
346 6. ASYMPTOTIC ANALYSIS
This formula, although elementary in principle, contains n-l multiplications, and

thus its computation can be time-consuming. If we take logarithms to reduce the
multiplications to additions, we must then have a table (or program) to compute
n - 1 logarithms and finally compute the exponential. Therefore it is desirable
to have a simpler formula, Le., one that involves fewer computations.
6.1.1. Geometric mean approximation: Analysis by logarithms. As
a first attempt, we form the natural logarithm to obtain
logn! = log 2 + log3 + ... + logn
The sum of logarithms can be estimated by a definite integral, by noting that
[n logxdx < log 2 + ... + logn < [n+lI0gXdX

From elementary calculus,
[n rn+1 rn
log x dx = n log n - n + 1 and 11 logxdx ~ 11 logxdx + log(n + 1)
so that
n log n - n + 1 < log 2 + ... + log n < n log n - n + 1 + log(n + 1)

Iogn- 1 --<
1
n
log 2 + ... + log n I l 0 (lOg
n
< ogn- + --
n
n)
Subtracting log n from both sides and letting n ~ 00, we have
(log 2 + ... + log n - Iogn) = - 1
I1m
n-.oo n
Taking the exponential of both sides, we obtain
. (n!)1/n _
(6.1.1) hm - -
n-.oo n
=e 1
which is called the geometric mean approximation and often written in the form
n! (n/e)n, n ~ 00.
"-J
To get a feel for the accuracy of the geometric mean approximation, we com-
pute a few typical values in the table below. The second and third columns are
comparable, within a factor of 10, for the tabulated values. By taking nth roots,
the accuracy is apparently much improved.
n n! (n/e)n (n!)17 n n/e
1 1 0.37 1.00 0.37
10 3.63 x 106 4.54 X 105 4.53 3.68
ioo 9.33 x 10157 3.72 X 10156 37.99 36.79
1000 4.02 x 102567 5.08 X 102565 369.49 367.88
6.1. ASYMPTOTIC ANALYSIS OF THE FACTORIAL FUNCTION 347
In this basic example we have a simple case of asymptotic analysis. Compu-

tation of (n/e)n involves only two multiplications and two logarithmic computa-
tions. Hence we have found a simpler formula for nL
6.1.2. Refined method using functional equations. To obtain a finer
approximation of n!, we write the factorial in the form
nn
n l-- eA(n)
--
which defines a new function A(n). From the analysis of the previous subsection,
we suspect that A( n) increases like n, when n -+ 00. In order to quantify this,
we try to find a difference equation for the function A(n). Thus
eA(n-l) = (n - l)n- 1 /(n - I)!
= ( n1)
1--
I-n
Therefore the function A(n) satisfies the difference equation
A{n) - A{n - 1) = (I - n) log (1 - ~)

This can be simplified by invoking the two-term Taylor expansion of the loga-
rithm: log(! + x) = x - (x 2 /2) + O(x 3 ), x -+ 0; this yields
A(n) - A(n -1) = (1 - n) (-.!.n - 2n _12 +0 (2.))

n 3
= 1- -.!... +0 (2.) 2
n -+ 00
2n n
so that the function A(n) can be retrieved as the telescoping sum
n
A(n) = A(l) + L (A(k) - A(k - 1))

k=l
But the series I:~ l/k 2 converges, and the sum E~ 11k is logn plus a constant
plus a term that tends to zero. Combining this, we obtain
A(n)=n-- logn
-+C+0 ;;:
2
(1)
n~oo
where the constant C is to be determined. By exponentiation, we have

(6.1.2) n! = nne-A(n) = nnexp ( -n + IO;n - C + 0 (~))

= nn+(1/2)e- ne- C+O(1/n)
This is closely related to Stirling's formula, which states that e- c = ...fj/i.
6.1.3. Stirling's formula via an integral representation. In order to

prove the classical Stirling formula, it suffices to identify the constant C from
formula (6.1.2). To do this, we begin with the following integral representation
obtained in Chapter 1:
(6.1.3) 2~ (~) = 2~ L cos2nxdx
The left side can be rewritten following (6.1.2):

(2n)! (2n)2n+{1/2)e- 2n e- C+O{1/n)
1 (2n)
22n n = 22n(n!)2 = 22n(nn+{1/2)e-ne-C+O(1/n)2
= (~) 1/2 eC+O(I/n)
On the other hand, the integrand on the right side has period 1r, so that the
integral can be written as
Ij1f/2
-111f cos 2nxdx = - cos2n xdx
21r -1f 1r -'If/2
lj1f/2
= - (1 - x2 /2 + O(x4))2n dx
1r -1f/2
= _1j'lf/2 ( e- x2 / 2(l+e(x )2n dx

1r -1f/2
= -I11f/2 e-nx2 (He(x dx

1r -1f/2
1 j1f./ii/2 y2
= -- e- (1+e(y/v'n dy
1r fo, -1fVn/2
where e(x) is a function that satisfies limx~o(x) = 0 and where we have made
the substitution x = y/ fo,. When n -4 00, the final integral tends to the value
6.1. ASYMPTOTIC ANALYSIS OF THE FACTORIAL FUNCTION 349
Inserting this in the previous computations shows that

fi C 1
V;',e =.Jii:i
which is solved to yield e- c = V2n and the desired form of Stirling's formula
(6.1.4) In! = (;f v'2im (1+ O(l/n n ~ 001
Stirling's formula provides a more accurate approximation, with very little
additional complexity compared with the geometric mean approximation. In
addition to two logarithmic computations, one must also have the value of V2n.
The following table gives a numerical comparison of the two approximations.
n n! (n/e)n (n/e)n'J2n7r
1 1 0.37 0.992
10 3.63 x 106 4.54 X 105 3.599 X 106
100 9.33 X 10157 3.72 X 10156 9.325 X 10157
1000 4.02 X 102567 5.08 x 102565 4.027 X 102567
In concluding this section, we emphasize that the derivation of the precise

form of Stirling's formula was possible only when we began with a suitable inte-
gral representation. Quite apart from PDE, this illustrates the power of integral
representations in asymptotic analysis. In the remainder of this chapter we will
develop systematic methods for obtaining asymptotic formulas for certain func-
tions that are defined by integrals, for example, the Fourier representation of the
solution of the heat equation.
EXERCISES 6.1
1. Compute the values of n!, (n/e)n, and (n/e)n(27rn)1/2 for n = 5, n = 50,
n = 500.
2. Show that Stirling's formula can be derived directly from the integral rep-
resentation
n! = 1 00
xne-dx n = 1,2, ...
by the following steps.
(i) Make the change of variable x = ny to obtain
__n_!_ = tX> yne -n(y-I) dy n= 1,2, ...
nn+l e-n 10
(ii) Show that Jol - 6yn e -n(Y-l) dy ~ 0 and JI0:.6 yn e -n(y-l) dy ~ 0 for
any 8 > 0, when n ~ 00.
(iii) Show that ye 1- Y = e-{y-l)2/2(l+E(Y where lilIly-+l e(y) = O.
(iv) Conclude that limn-too .jii fll~6 (yel-vt dy = y'2i.

(v) Derive Stirling's formula in the form
lim n.
,
=~
n-too nn+(l/2)e- n
6.2. Integration by Parts

In the next two sections we will study functions that are defined by an integral
t
of the form
(6.2.1) I(t) = g(x)eth(z)d3;
when t -+ 00. Here a and b are fixed limits of integration (independent of t). For
technical reasons, we allow one of them to be infinite, but not both; 9(X) and
h(x) are smooth functions with h(x) real-valued, while 9{X) may be either real-
or complex-valued.
For background motivation, one should think of a finite sum of powers
9l eth1 + 92e th2 + ... + 9NethN
where hI < h2 < ... < hN . When t is very large, the sum is well approximated
by the largest term, which is the last term in the sum, so that we can write
Ylethl + 92eth2 + ... + YNe thN

11m =YN
t-too ethN
In dealing with an integral of exponential terms, there is no "largest term," so
the asymptotic formula must be more detailed. As a simple illustration, consider
the exact computation
1 et - 1
etxdx = - -
/.o t
If we simply divide both sides by et , the right side tends to zero when t -+ 00.
The precise asymptotic formula is et It, where we have an additional factor of lit.
This will be mirrored in the general case, discussed below.
The main hypothesis of this section is
h' (x) ;l 0 a~x ~b
In particular, h( x) has no interior maximum or minimum for a < x < b. If
a = -00 or b = +00, we also require that h(x) -+ -00 fast enough so that the
resulting improper integral converges. More specifically, we can allow b = 00,
a > -00 in case h'(x) > 0, whereas we can allow b < 00, a = -00 in case
h'(x) < O.
6.2. INTEGRATION BY PARTS 351
The main result is
(6.2.2)
where
H = max h(x)
a~x~b
= max[h(a) , h(b)]
C = {9(b}lhl(b) if h'(x) > 0
-g(a}lh'(a) if h'(x) < 0
In other words, the integral behaves like the largest exponential in the integrand,
softened by a factor of lIt. This has already been illustrated by the exact com-
putation above.
Proof. To prove (6.2.2), we mUltiply and divide the integrand by th'(x) and
obtain
f(t) = lb
a
g(x) d(eth(x) = g(x)eth(x)
th'(x) th'(x)
Ib _ ~
a t
lb
a
eth(x) (1...)
h'
I dx
The second integral is of the same form as the original integral (6.2.1) for f (t),
but with 9 replaced by (g I h')'. If we now apply the identical procedure to this
integral, we obtain
b
beth(x) (.!)' dx = ~ (!.)' eth(X)l - !J.b eth(x) [~(!.)']' dx
J.
a h' th' h' t a h' h' a
But eth(x) ~ etH for all a ~ x ~ b, and therefore the above expression is O(etH It)
when t ~ 00. Thus we have shown that
_ g(x)eth(x) Ib
tH
(e )
f (t) - th' (x) a +0 t2 t ~ 00
But h(x) is a continuous function that assumes its maximum at one of the end-
points x = a or x = b but not both. If h'(x) < 0, the maximum is assumed at
x = a; otherwise it is assumed at x = b. Thus we have the stated result .
6.2.1. Two applications. We will now give two important applications of

the method of integration by parts. The first of these is the integral that defines
the error function, which was used to solve the heat equation in Chapter 5. The
second application deals specifically with the initial-value problem for the heat
equation.
EXAMPLE 6.2.1. Find an asymptotic formula for the complementary error
function, defined by the integral
1 - 4>(y) = 1 J.oo e- x2 / 2dx

rn=
v27r y
Solution. The integral is not presented in the form (6.2.1). To transform

it to this form, make the change of variable u = x/y, with the result
1 - <p(y) = ~ (XI e-u2y2/2du

...j2i it
In this integral we make the identifications a = 1, b = 00, t = y2, h(u) = _~U2,
g(u) = 1. The maximum of h(u) is H = h(l) = -~, while C = -g(l)/h'(I) = 1.
Applying (6.2.2), we have
y -
1- <p(y) = ...j2i e-t/- [ 1 +0
t 2
(1)]
t
= y~e-Y'/2 [1+ 0 (y~)] y --}> 00
The accuracy of this approximation can be inferred from the following table of
values: l
2.25 1.22 x 10 2 1.41 X 10- 2

3.00 1.30 X 10-3 1.48 X 10-3
3.75 8.82 x 10- 5 9.41 X 10-5
4.50 3.45 x 10- 6 3.56 X 10-6
We now turn to an example involving the solution of the heat equation.
EXAMPLE 6.2.2. Two materials of the same conductivity K are initially at

temperatures Tl and T 2 Find asymptotic formulas for the temperature u(x; t)
when t --}> 0, t --}> 00.
Solution. In Example 5.2.3 we found the exact solution
To analyze the solution for t --}> 0, we use Example 6.2.1.
<p( -z) = 1- 4>(z) _1_

= z...j2i e- z2 2
/ [1 + 0 (~)]
Z2
IThe values for 1 - ~(y) are from Milton Abramowitz and Irene A. Stegun, Handbook
0/ Mathematical Functions, Dover Publications, New York, 1972, p. 316, where 1 -~(y) =
! erfc (Y/V2).
6.2. INTEGRATION BY PARTS 353
Taking z = x/V2Kt, we have

l- 0, t --7 0
~C;Kt) = (Kt)
2
1/2 e-x2j4Kt[1 + O(t)]
7rX
x < 0, t --7 0
Substituting this, we have
u(x; t) = To { 1 _ (!;) '/2 e-x2/4Kt[1 + O(t)J }
+ Tl (Kt)
7rX 2
1/2 e-x2/4Kt[1 + O(t)]
= T2 + O(e-x2/4Kt) x > 0, t --7 0

u(X; t) = T2 (Kt)
7rX 2
1/2 e-x2j4Kt[1 + O(t)]
+ T, { 1_ (!;) '/2 e- X '/4Kt[1 + O(t)J }
= TJ + O(e-x2/4Kt) x < 0, t --7 0

At x = 0, u(X; t) = ~Tl + ~T2 for all t > O.
To analyze the solution for t --7 00, we simply use the Taylor expansion of
(z) about z = 0:
<p(z) = <p(0) + z' (0) + O(Z2) Z --7 0
Taking z = x/ V2K t, we have
~C;Kt)=~+ J;Kt~+OG) Hoo
Substituting this in the exact solution, we have
u(x;t) = T2 [~+ ~+O G)] +T, [~- ~ +0 (D]

= - Tdx + 0 (-.!...)
!2 (T1 + 7!2 ) + (T2V47rKt t --7 00
..;t
The preceding example shows that when t --7 0, u(x; t) tends to u(x; 0) faster
than any power of tj that is, u(x; t) - u(x; 0) = O(tn), t --7 0, for n = 1,2, ....
This shows that anu/Otnl t :::: o = 0, but u(x; t) is not identically zero. We have a
"real" example of a function that is not represented by its Taylor series about
t= 0.
EXERCISES 6.2
Obtain asymptotic expressions for the following integrals when t -+ 00.
1. f(t) = fol etx sin x dx
2. f(t) = fl e- tx2 x 4 dx
OO
3. f(t) = !too u- 1 e- u du
oo
4. f(t) = fo (l + x 2)-le- tx dx
5. By an appropriate use of integration by parts, find an asymptotic expres-
sion for
f(t) =
00
1.
sin x dx
o x+t
6. Two materials of the same conductivity K are initially at the temperatures
Tl = 0 and T2 = 100. At time t = 0 they are brought together. Find an
asymptotic formula for u(at; t) when t -+ 00, where a is a positive constant.
7. Let u(x, y) be the solution of Laplace's equation U xx + u yy = 0 defined in
the half-plane -00 < x < 00, y > 0 with u(x,O) = f(x). Show that when
y -+ 00 we have the asymptotic formula
u(x, y) = - 1
1ry
1
00
-00
J(z) dz + O(1/y2) Y -+ 00
[Hint: Use the Fourier representation (5.3.18) from Chapter 5.J
6.3. Laplace's Method

In this section we continue the asymptotic analysis of integrals of the form
(6.3.1) f(t) = [g(x)eth(.)dx
but now we include the possibility that h'(x) = 0 at one or more points. As a first
approximation, we can expect that J(t) grows like etH when t -+ 00, where H is
the maximum of h(x), a ~ x ~ b. The new feature results from the possibility of
points x" where h(Xi) = H and h'(Xi) = O.
6.3.1. Statement and proof of the result. We assume that h(x), a ~
x ~ b, is a twice-differentiable function that assumes its maximum H at a finite
number of points (x,) and that h"(Xi) =I- 0 at each of these points. [Of course, it
follows that h"(Xi) < 0 since we are at a maximum of h.] These points fall into
two groups: (1) interior global maxima of hand (2) boundary maxima where
h'(Xi) = O. The exact contribution of the second type of point is one-half the
contribution of the first type of point. We now state the result of Laplace's
method.
6.3. LAPLACE'S METHOD 355
THEOREM 6.1. Under the above conditions,
(6.3.2)
where
(6.3.3)
where it is understood that the first sum is over those interior points Xi where
h(Xi) = H, and the second sum contains X = a (resp. x = b) if and only if
h(a) = H, h'(a) = 0 [resp. h(b) = H, h'(b) = OJ.
The proof, which is divided into three steps, may be omitted at a first reading.
Proof. For simplicity, let us assume that the maximum is assumed at exactly
one interior point Xl. (The other cases, which are not essentially different, are
dealt with in the exercises.) Now we can write the integral (6.3.1) in the form
f(t) = I + II + III
where
I = /.%.-6 g(x)eth(x)dx
II = 1 X1
xl-6
6
+ g(x)eth(x)dx
III = 1b
x1+6
g(x)eth(x)dx
6 is a posi tive number that will be specified. The first and third integrals are
straightforward. Indeed, let
hl = a~x~xl-6
max h(x),
Then
1= O(eth1 ), III = O(e th2 ) t -t 00
In addition, we must have hi < H, ~ < H. Otherwise the maximum of the
continuous function h would be assumed on the interval [a, Xl - 6] or the interval
[Xl + 6, b], contrary to the hypothesis. Therefore it remains to analyze the middle
integral when t -+ 00.
To do this, we begin with the Taylor expansions of g(x), h(x) about X = x.,
written in the form
(6.3.4) Ig(x) - g(xdl ~ Mdx - xd
(6.3.5) Ih(X) - H - ~h"(Xt)(X - Xt)21 < M21x - xtl 3
The Taylor expansion (6.3.5) implies that

(6.3.6) h(x) ~ H - M3(X - xd 2
This is proved in detail at the end of this section.
In the following steps we will show that g(x) may be replaced by g(Xl) and
that h(x) may be replaced by its second-order Taylor expansion.
Step 1
(6.3.7) t -+ 00
To prove this, we use (6.3.4) to write
%1+6 g(x)eth(x)dx - g(xd 1%1+6 eth(x)dx1~ MI 1%1+6 Ix - xlleth(x)dx
11xl-6 %1-6 %1-6
From (6.3.6) the last integral is less than or equal to

X1 +6
Mle tH
1%1-
Ix - xd exp[-tM3(x - Xl)2]dx
6
Making the change of variables y = v't(x - Xl), this is
M 1- e1tH 6
.Jt lyle- M3Y 2 dy = 0 (e-t-
tH
)
t -6Vt
This completes the proof of (6.3.7).
Step 2
(6.3.8)
To prove this, we use the following inequality, valid for real numbers A, B:
leA - eBI ~ IA - BleC C = max(A, B)
We apply this with A = h(x) - H, B = ~h"(XI)(X - Xt}2. We have max(A, B) ~
-M3(X - Xl)2 for Ix - xd < d, Ma = !lh"(Xl)l. Thus
x1
+6 eth(x)dx - etH 1xl+6 exp [th"(xd(x - Xd
2
] dx 1
11xl-6 xl-6 2
We again make the change of variable y = ..fi,(x - Xl) in this integral and see
that the integral is
tH
et
-2- 1
-6Vt
6Vt
M2 1y13 e- M 3Y2 dy =0
tH
(e- t )
This completes the proof of {6.3.8}.
Step 9
(6.3.9)
e'H f~:6 exp[th"(Xl)~ - Xl)2] dx = e'H (_t:'~XI)"2 [1+ 0 G)]

To prove this, we again apply the change of variable y = 0(x-xt} and transform
the original integral to
e
tH
. fi
vt
1
6v1
exp
-6Vt
[y2 hll(X 1)]
2 dy
When t -+- 00, the integral is equal to = {21r/[-h"(Xl)]P/2 + O(l/t), which is of

the required form. Combining steps 1, 2, and 3 completes the proof of Laplace's
method .
If we also have a maximum at a boundary point, for example X = a, where
h'(a) = 0, h"(a) < 0, then we must modify the analysis by taking the integral
a+5
II =
By repeating the same steps, we find

1a g(x)eth(x)dx
g( a)eth(a) 15Vt
II rv e- u2j2 du
-thll(a) 0
When t -+ 00, the integral has the limiting value ~v'27r, which explains the factor
of ~ for the boundary terms in (6.3.3).
6.3.2. Three applications to integrals.
EXAMPLE 6.3.1. Find an asymptotic formula for f(t)= fol etx(l-x)dx, t -+ 00.
Solution. In this case h(x) = x(l - x) and the maximum is attained at

x = ~, where h'(~) = 0, h"(~) = -2, which is nonzero. Thus we may apply
Laplace's method to obtain
t-+-oo
EXAMPLE 6.3.2. Find an asymptotic formula for f(t~Jol etz (2-:}dx, t -+ 00.
Solution. In this case hex) = 2x - x 2 and the maximum is assumed at

x = 1, where h'(I) = 0, h"(I) = -2 < O. Thus we may apply Laplace's method
at the endpoint x = 1, with the result
1\(2z-Z'ldx = e'Ji; [1+ 0 (~)] t -Ho
The next example gives an independent treatment of Stirling's formula, dis-

cussed in Sec. 6.1.
EXAMPLE 6.3.3. Find an asymptotic formula for f(t~Jooo etlnx-xdx, t -+ 00.
Solution. This is the integral that defines the factorial function f(t) = t! for
t = 1,2,3, .... We will apply Laplace's method to obtain Stirling's formula. To
do this, we might try h(x) = lnx, g(x) = e- x ; but lnx has no maximum for 0 <
x < 00; therefore Laplace's method is not applicable in this form. Nevertheless
the function x -+ etlnx -: has a maximum at x = t, so we make the change of
variable y = x/to This gives
I(t) = t ['" exp[t In y + tin t - ytjdy
= t H1 1 00
elh{uldy
where
h(y) = In y - y
h'(y) = ~-1
Y
hll(y) = -~
y2
We can now apply Laplace's method. h has a global maximum at y = 1, where
h(l) = -1, h"(l) = -1. Therefore
I(t) = t'+lf{- e-' [1 + 0 (~)] t -+ 00
This is the required form of Stirling's formula .

6.3.3. Applications to the heat equation. Laplace's method applies nat-
(6.3.10) u(x; t) 1:
urally to solutions of the heat equation, written in the Fourier representation
= e'''''e-p'KtF(IJ) dlJ
where F(p,) is the Fourier transform of the initial data,
(6.3.11) F(Jl) = - 11
27r
00
-00
f(.)e-'Pedf,
.
EXAMPLE 6.3.4. Let u(x; t) be the solution of the heat equation Ut = K U%%
with initial condition u(x; 0) = f(x) for t > 0, -00 < x < 00. Use Laplace's
method to obtain asymptotic formulas for the temperature and heat flux when
t~oo.
Solution. We apply Laplace's method to the Fourier representation (6.3.10)

with h(Jl) = -KJl2, a = -00, b = 00, g(Jl) = F(Jl)eiJJ$. The function h(p,) has
a single maximum at Jl = 0, where H = h(O) = 0, h'(O) = 0, h"(O) = -2K.
u(x;t) = ~[F(O)~+O(~)] Hoo
Recalling (6.3.11), we have
u(x; t) = ~1O
47rKt
f(e)d{ + 0 (~)
-00
t~oo
uz(x; t) = 1:
To study the heat flux, we differentiate and get
ipeipz F(I')e-~2Ktdl'
Applying Laplace's method again with h(Jl) = -KJl2, g(J.L) = iJleiJJ$ F(p,), we
have a single maximum at J.L = 0, where h(O) = 0, g(O) = O. Applying (6.3.2), we
have C = 0, and thus
t~ 00
The heat flux tends to zero faster than the temperature .
6.3.4. Improved error with gaussian approximation. If h(x) is a qua-

dratic polynomial and g(x) has a three-term Taylor expansion about the maxi-
mum of h, then we can obtain a more detailed statement of Laplace's method.
Assuming that h(x) = H - (h2/2)(x - xd 2 with h2 > 0, we write
g(x) = g(Xl) + (x - xdg'(xd + ~(x - Xl)2 g"(xt} + ...

1
= aexp[,8(x - xd + 2')'(x - xt}2 + (x)
where (x) = OX-Xl)3),X ~ Xl' The coefficients a,,8,')' can be obtained from
0= g(Xl), 0,8 = g'(Xl), 0(')' + ,82) = g"(Xl)
In terms of these quantities, the amplified statement of Laplace's method is
g(X) eth(x) dx = e tH ~7rO! efj 2 /2(th2-"()

b
(6.3.12)
l a th2 - 'Y
+ O(t-2 )
This can be immediately applied to the heat equation, to obtain a more
informative asymptotic formula than the one obtained for u(x; t) in Example
6.3.4, which does not explicitly involve x. In order to obtain a more detailed
formula, we can make use of (6.3.12) as shown in the following example.
EXAMPLE 6.3.5. Let u(x; t) be the solution of the heat equation Ut = K U xx

with initial condition u(x; 0) = f(x) for t > 0, -00 < x < 00. Use (6.9.12) to
find an asymptotic formula in terms of the following quantities:
A = l:N.l~f-O
x 11
= A
00
-00 ef(e)~
= 11
00
7 2A -00 (e - x? f(e)de
Solution. In terms of the Fourier transform, we have
F(O) = 21 1 f(e)~
7r
00
= 2A
1r
11
-00
00
F'(O) = -
21r -00
(-ie)f(e)~ = -ix-
A
21r
F"(O) = ~1O (-e2)f(e)~ = -(27 + X2)~
27r -00 27r
so that we can write
u(x; t) = I: F(p)e'''''e-#'K. dp
= ~1O e- p2 Kt eip(x-.f)_p2 T+C(p) d/-L

21r -00
where c(/-L) = o(JL3) , /-L ~ O. Applying (6.3.12), we obtain
u(x; t) = A e-(x-.f)2/4(KHT) + O(t- 2 ) t~ 00
y'47r(Kt + 7)
Proof of (6.3.6). By the extended mean-value theorem, we may write

1 1
h(x) = H + 2h"(X1)(X - Xr)2 + 6hlll(e)(x - Xt}3
for some ~ with Ie - xII :5 Ix - xII. If hilt is identically zero, there is nothing
to prove. Otherwise let M = max Ihllll, where the maximum is taken over any
interval (Xl - 8, Xl + 8). Write
1 "( ) ( )2 [ h"'(~)(x - Xl)]

H - h(x) = 2"lh Xl I X - Xl 1+ 3Ih"(Xl)1
Let Ix - xd < Ih"(xdl/M. Then Ih"'(~)(x - xl)/h"(xdl < 1, and we have
H - h(x) > ~lh"(Xl)l(x - Xl)' ( 1 - D

= ~lhll(XI)I(x - Xl)2
EXERCISES 6.3
In Exercises 1 to 3, apply Laplace's method to obtain an asymptotic formula for
f(t), t -+ 00.
1. f(t) = J~~~2(3x + 2)e-tsin2xdx

2. f(t) = J~2(3 + 2 cosx)e-tx dx
2
3. f(t) = J~l e- tP4 (x)dx, where P4 is the fourth Legendre polynomial.

4. Let Io(t) be the modified Bessel function
Io(t) = ~ 121r etsin9dO

27T 0
Apply Laplace's method to find an asymptotic formula for Io(t), t -+ 00.

5. Let h(x), a < x < b, be a differentiable function with a single maximum
at Xl! a < Xl < b. Assume that h'(xd = 0, h"(Xl) = 0, hllt(Xl) = 0,
h(4)(XI) < O. Show that Laplace's method can be modified to obtain an
asymptotic formula of the form
b th(x)
l
__ eth(Xl)
a e dx -- C [-th(4) (xdP/4
with C = (24)1/4f:Oe-u4du.
6. Apply the method of Exercise 5 to obtain an asymptotic formula for the
integral
t -+ 00
7. Let u(x; t) be the solution of the heat equation Ut = Ku xx for x > 0,

t > 0, with the initial condition u(x; 0) = f(x) and the boundary condition
u(O; t) = O. Use Laplace's method to obtain asymptotic formulas for the
temperature and heat flux when t -4 00.
8. Let u(x; t) be the solution of the heat equation Ut = K U xx for x > 0,
t > 0 with the initial condition u(x; 0) = f(x) and the boundary condition
ux(O; t) = O. Use Laplace's method to obtain asymptotic formulas for the
temperature and heat flux when t -4 00.
9. Let u(x; t) be the solution of the heat equation Ut = Ku xx for t > 0,
-00 < x < 00 with initial condition u(x; 0) = 100/(1 + x ). Use Laplace's
2
method to obtain asymptotic formulas for the temperature and heat flux
when t -400.
10. Let u(x; t) be the solution of the heat equation Ut = Ku xx for t > 0, x > 0
with initial condition u(x; 0) = xe- x2 for x > 0 and the boundary condition
ux(O; t) = 0 for t > O. Use Laplace's method to find asymptotic formulas
for the temperature and heat flux when t -4 00.
11. Let u(x : t) he the solution of the heat equation Ut = Ku xx for t > 0,
-00 < x < 00 with initial condition u(x; 0) = f(x). Modify the method of
Example 6.3.5 to obtain the asymptotic formula
u(x' t) - A
, - J47r(Kt +;)
e-(:J:-~)2/4(Kt+T) (1 m3 H ( x - Ii
(Kt + ;)3/2 3 vKt +;
)
+O(t- 3 )
where H3(X) = x 3 /8 - 3x/4.
6.4. The Method of Stationary Phase

In the previous two sections we dealt with integrals containing an exponential
factor with a real exponent, where the maximum value of the exponent influences
the asymptotic behavior. In this section we turn our attention to integrals that
are formally similar, but where the exponent is purely imaginary. Specifically, we
consider complex-valued functions of the form
(6.4.1) I(t) = t e'''P(Z)g(x) dx,
where cp is a real-valued function called the phase function. The function g(x)
may he either real- or complex-valued. If cp'(x) =1= 0, then we may integrate by
parts, as in Sec. 6.2, and conclude that f(t) = O(l/t), t -4 00. However, if
cp'(x) = 0 for some x, then this conclusion is no longer valid. In order to find
the correct result, we focus attention upon those points xJ where cp'(x) = 0, the
so-called stationary points.
6.4. THE METHOD OF STATIONARY PHASE 363
6.4.1. Statement of the result. The complete statement of the result is

given as follows.
THEOREM 6.2. (The method of stationary phase). Suppose that g(x), cp(x)
have two continuous derivatives for a ~ x ~ b, that cp( x) is real-valued, and that
cp'{x) : 0 except for a finite number of stationary points x" where cp"{Xj) : O.
Let these be labeled so that cp"(Xj) > 0 for 1 ~ j ~ K and cp"(x,) < 0 for
K + 1 ~ j ~ K + L. Then when t --+ 00,
(6.4.2) t e,p(o)g(x)dx = ]+(t) +r(t) +0 (D

where
(6.4.3)
(6.4.4)
If either of the endpoints x = a, x = b are also stationary points, then they

contribute to (6.4.3)-(6.4-4) with a factor of~, exactly as in Laplace's method.
Note that, in contrast with Laplace's method, we must sum over all points
where cp'(x) = 0, not simply those where cp(x) is maximum.
A simple tool to remember this complicated formula is to observe that the
result is identical to what is obtained by replacing cp(x) by its two-term Taylor
expansion and replacing g(x) by its value at each stationary point, then doing the
resultant integrals (one for each stationary point), and then summing the results.
We illustrate with a typical example.
EXAMPLE 6.4.1. Apply the method of stationary phase to find an asymptotic
formula for the integral
1f/2
l-1f/2
(2x + 3)e-itcosx dx
Solution. In this case we have g(x) = 2x+3, cp{x) = - cos x, cp'(x) = sin x,
cp"(x) = cosx. The only stationary point is x = 0, where cp"(O) = +1, g(O) = 3.
t--+oo
6.4.2. Application to Bessel functions. As a primary application of the

method of stationary phase, we propose to obtain the asymptotic behavior of
the Bessel function Jm(t), t ---7 00. Recall that in Chapter 3 we obtained a
formula containing constants that could not be identified. We can make an
explicit identification of these constants with the method of stationary phase, as
follows:
(6.4.5) t -+ 00
Proof. To prove this, we begin with the integral representation (3.2.12),

where <p(x) = cos x, g(x) = (1/27r)e-tmxe-tm1T/2. Since <p'(x) = - sin x, <p"(x) =
- cos x, there are three stationary points: x = 0, x = 7r, X = -7r, with <p"(0) =
-1, <p"(7r) = 1 = <p"( -1r); also g(O) = (1/27r)e- im1T/ 2 , g(7r) = (1/27r)e- 3tm1l"/2 =
g( -1r). We apply the method of stationary phase, noting that the endpoints
contribute with a factor of!. Hence
6.4.3. Proof of the method of stationary phase. We now outline the

steps used to prove (6.4.2). The idea is to reduce the study to each stationary
point, where we can approximate using the Taylor expansions with an error of
O(l/t).
Step 1. If the interval c ~ x ~ d does not contain any stationary points, then
t e,t<p(')g(x) dx = 0 G) t -+ 00
Proof. We multiply and divide by <p'(x) and integrate by parts as follows:
(d g(x)eit!P(x) dx = (d. g~x) d (ett!P(X) dx

lc lc ~tIX=d _ ~ (d eit!P(X)~ ( g(x)) dx
it<p'(x) x=c it lc dx <p'(x)
Both terms are O(I /t), t ---t 00 , and can t herefore be included in the remainder
term .
T herefore we can restrict attention to contributions from intervals contai ning
the stationary points. Assume that XI is a stationary point for which cp"(xrJ > 0,
and lct 0 > 0 be chosen so that cp(x ) -CP(XI) > 0 in the interval XI - 0 < X < XI +0.
"" e in troduce a new var iable of in tegrat ion v through the equation
cp(X) - cp(xrJ
'U = (x - XI ) XI - 0 < X < .~ - 1 + 0
(X-X I)'
The fun ction x ---t 'U(.~) vanishes at X = XI, with v'(xrJ = V CP"(xl)/2 > O.
Therefore t here exists an inverse function x = X lv) wit h X(O) = Xlo X'(O) =
V2 /cp"(x l )'
St ep Ii
where 6, = V(XI + 0), -61 = V(XI - 0) and G(v) = g(X(v))/v'(X(v)), G(O)

g(xl) V2/cp" (xr) .
P r oof. We make these substitutions in the integral and change variables to
obtain t he resul t.
Step 3
1~' G(v)eit"' dv = G(O)

-6\
1 6
' eit "' dv
-J 1
+ O( I / t) t ---t 00
Proof. We write G(v) = G(O ) + vh(v ), which defines the differentiable fu nc-
t ion h(v). The second term contributes to the integral
1" - ch
vh(v)eit"' dv = ~ ( " h(v)ei
2zt .1-5\
(e itV
' )
= ~
2'tt
(h(v)e't"' I~'th -1" -J \
h'(V)eit"' dv )
= oG)
as required.
Step 4
1_"" eitv'dv = fii e,r./4 + a (~)

Vt t
Proof. This is the Fresnel integral. Readers familiar with complex-variable
t ---t 00
met hods will find this a one-liner. Apply Cauchy's theorem to t he function J(z) =
ei .:: on the crescent-shaped contour formed by the ray z = rei1r / 4 0 ~ T S; R, the
2
1
arc of the circle \z\ = R, and the real axis from (0,0) to (R,O), when R -+ 00.
We now outline a proof 2 that does not use complex-variable methods.
The qualitative fact of convergence of the improper integral is established by
the following partial integration:
N
[M e1.X2 dx = [N ~d(e'X2)
111 1M 2zx
e,N2 etM2
1 [N eix2
= 2iN - 2iM + 2i 1M x2 dx
The final integral is less than or equal to 1/N, so that the right side tends to
zero when M, N -+ 00. This proves that the improper integral fo el :r;2 dx is
oo
convergent. Letting N -+ 00 shows furthermore that

ix2
[00 e,x 2dx = _ e,M2 + ~ [00 e dx
1M 2iM 2i 1M x 2
Both terms on the right are O(l/M), so that we have the required speed of
convergence:
1M e i
dx = ['" eiz' dx + O(l/M)
It remains to compute the numerical value of the improper integral. To do this,
we let p > 0 and examine the double integral
J. = f 1"" e-,('+')e'(O'+.') dx dy
On the one hand, we can take polar coordinates x = r cos (), y = r sin () and
compute
J. = fl W 2
/ e-pr'e"'rdrd8
= ~ [00 re- r2 (v-1.} dr

210
1r 1
= 2 2(p - i)
On the other hand, the double integral is the square of a single integral:
J. = (1"" e-'" e iz
' dx ) 2
2For further details, see Harley Flanders, "On the Fresnel Integrals," American Mathemat-
ical Monthly, vol. 89, 1982, pp. 264-266.
oo
Letting / = fo eU2 dx, we conclude that
/2 r J 1ri
=p~ P="4
But the complex number / has both positive real and imaginary parts, so that
the appropriate square root is
To apply this to step 4, write
[ em' dv = ~ [Vi e~' dx = ~ [1+ 0 (~)] t~oo
The equality of the two limits follows from Abel's lemma (see Appendix A.2),
which completes the proof.
EXERCISES 6.4
Apply the method of stationary phase to find asymptotic formulas for the follow-
ing functions when t ~ 00:
1. f(t) = f~2 eitIJ2 dJ-L
2. f(t) = f~l e,tcos9 cos2 0 dO
3. f(t) = fo7r/2 e'ltcos(J cos fJ dfJ
4. f(t) = f:7r eitC05(Je-~m8 dfJ
5. Modify the method of stationary phase to find an asymptotic formula for
the integral
/(t) = L e'lp' dJ.<
6. Suppose that g(O) = 0 and g'(0) i- O. Show how to modify the method of
stationary phase to obtain an asymptotic formula for the integral
/(t) = [ : e"P' g(J.<) dJ.<
7. Suppose that g(O) = 0, 9'(0) = 0 and 9"(0) i- O. Show how to modify

the method of stationary phase to obtain an asymptotic formula for the
integral
/(t) = [II e"P' g(J.<) dJ.<

6.5. Asymptotic Expansions3

In the preceding sections we have used integration by parts and Laplace's method
to obtain one-term asymptotic formulas of the form
(6.5.1) t g(x)e IhC<) dx = e;: [C + 0C~

In this section we indicate the steps necessary to obtain an asymptotic expansion,
)]
which is displayed as
Co + - + ... + -CN + 0 (1)]

[Ct
b tH
1 Cl
g(x ) eth(x) dx = -e
tel t t
We will indicate separately the steps for each of the two methods.
-
t + N N 1
t -+ 00
6.5.1. Extension of integration by parts. If h'(x) # 0 for a ~ x ~ b, we

can write
b
= 9(x)eth(x) Ib 11b
1Cl
g(x)eth(x) dx I
th (x) Cl
- -
t a
eth(x) d(g/h')' dx
The second integral is of the same form as the first, with g replaced by (g / h')'.
By repeating this procedure N times, we can obtain N terms in the asymptotic
expansion of the integral. We illustrate the method with the classical exponential
integral.
EXAMPLE 6.5.1. Find an asymptotic expansion when t -+ 00 for the function
defined by the integral
e-Y
1
00
/(t) = -dy
Y t
Solution. We first put this in standard form by defining a new integration
variable y = tx. Thus
f(t)
3This section is optional. The results are not used in the following sections.
6.5. ASYMPTOTIC EXPANSIONS 369
Each partial integration produces a new power of lIt together with a new integral
of the same order. Continuing inductively, we obtain
J(t) = e-
t
t
[1- ~t +!t _ t~ + ... +
2 3
(_I)N
tN
N! + 0(_1_)]
tN +1

The next example is related to the Gauss-Weierstrass integral of Chapter 5.
EXAMPLE 6.5.2. Find an asymptotic expansion when t --> 00 for the junction
defined by the integral
itt) = [" e-"" dy

Solution. This can be done by reducing to the standard form using the
substitution y = tx. The same results can be obtained directly, as follows:
1. e-""
00
dy = - 1. 00
~d(e-"")
1 t2/2 -
= -e-
t
1. t
00
e-- d
-
y2
y2
/ y
2
In order to effect the extension, we note that for any k = 1,2, ... ,
1.
t
00 ~e-y2 /2 dy
y2k
= _ 1. t
00
_I_d
y2k+l
(e- Y2 /2)
=
e-
t2 2
t 2k+1
/
- (2k + I)
1. t
00 y2
e- /2
y2k+2 dy
Applying this repeatedly leads to the asymptotic expansion
J(t)=e-
t2 2
t
/ [1_~+~_15
t2 t4 t6
+ ... +(_1)N 1 . 3 ... (2N-l)
t 2N
+0(_1_)]
t 2N+2
6.5.2. Extension of Laplace's method. We now turn to Laplace's method,
with the goal of an asymptotic expansion. To simplify the exposition, we assume
a single maximum at the point x = 0, where a < 0 < b, h(O) = H, h"(O) = h2 < O.
Given > 0, we choose fJ > 0 so that hex) < H - for Ixl > fJ. The contribution
to the integral from Ixl > fJ is O(et(H-E) and can therefore be ignored; in detail,
(6.5.2) lb
a
g(x)eth(:c) dx = 1 6
-6
g(x)eth(:c) dx + O(et(H-E)
In order to determine the asymptotic expansion, we introduce the Taylor
expansions of g(x) and hex):
g(x) x-+o
hex) x~O
We substitute these into (6.5.2) and make the change of variable y = xVi, with
the result
-6 1
6 g(x)e'h(z) dx =
6
e'~ 1
.;t eh2y2/2
V r; -6.;t k~O
exp (E ~~~:2) (2: k,:Z!:)/2)
k~3 .
dy
We expand the second exponential in a power series in l/t, multiply by the first
sum, and collect powers of l/t. The first three terms of the resulting expression
have the form
e
v't
1
tH 60
-60 e
h 2y2/2 (
go
+Y91 +y h s /6 +~ [y g2
Vi
3
t 2
2
+ y4glh3 + y4goh4 + y6g0h~])
6 24 72
d
Y
The higher terms are similar, invoving the known integrals
1 00
-00
yne-y2/2 dy _ { 0
- /2i 1 . 3 . 5 ... (2m -
n odd
1) n = 2m
Using these we may compute as many terms as are desired in an asymptotic
expansion. The fractional powers of l/t are multiplied by odd powers of y,
and hence do not appear in the final result. We illustrate the method with an
improved version of Stirling's formula.
EXAMPLE 6.5.3. Find two terms in an asymptotic expansion of the integral
f(t) = 1"" e'C!ogz-z) dx
Solution. In this case we have g(x) =

1, h(x) = log x - x, with a single
global maximum at x = I, where H = h(l) = -1, h"(I) = -1, and the Taylor
expansion
h(x) =-1- (X~1)2 + (X~1)3 + ... +(_l)N_l(X~l)N +O((x_l)N+1)

= =
Hence go 1, gk = 0 for k 1,2, ... and h3 = 2, h4 = -6. Following the steps
above, we are led to the integral
e: 1 6
.;t e- y2j2
v t -60
(1 + y3v~3t + ~t [_ 6y424 + 4y6])
72
dy = y'"2;e- [1 + _1_]
Vi 12t
t

This result may be applied to Stirling's formula as follows. For n = 1, 2, ... ,
n! = 1"" ufte- U du
6.6. ASYMPTOTIC ANALYSIS OF THE TELEGRAPH EQUATION 371
We make the change of variable u = nx, du = n dx to obtain

n! = nn+i /."" xne- n% dx
= nn+1 f en1og%e-=dx
= nn+lf(n)
Thus we have the following improved version of Stirling's formula:
nn+(1/2) [ 1 ( 1 )]
n! =.j2; en 1 + 12n + 0 n2
This shows that n! is larger than the Stirling approximation, for large n.
EXERCISES 6.5
1. Show that the asymptotic expansion of Stirling's integral for n! contains
only integral powers of n -1.
2. Obtain the coefficient of 1/n2 in Stirling's formula.
3. Use integration by parts to show that, for t > 0,
( ~ _ ~)
t 2
<
t -
1 t
00
e- u2 / 2 du < ~e-u2/2
- t
4. Obtain an asymptotic expansion of the exponential integral
f(t) = 1 t
00
e- du
U
U

when t --7 00
5. Obtain three terms of the asymptotic expansion of
tz
f(t) = roo e- dx when t --7 00
10 1 + x2
6.6. Asymptotic Analysis of the Telegraph Equation
In this section we will apply the asymptotic methods to the initial-value problem
for the telegraph equation. This example illustrates all of the methods discussed
in this chapter. The wave equation is included as a special case.
The general initial-value problem for the telegraph equation is written
Utt + 2{jUt + O:U = c u xx
2
(6.6.1)
(6.6.2) u(x; 0) = 11 (x)
(6.6.3) Ut(x; 0) = h(x)
The initial data h(x), h(x) are assumed to be integrable functions with inte-
grable Fourier transforms.
In Chapter 5 it was found that the form of the solution depends on whether
{32 <o!, {32 = a, or (32 > a. Furthermore, it was found that the new function
elJtu(x; t) satisfies a telegraph equation with {3 replaced by zero and O! replaced
by a - rJ2. Therefore it constitutes no loss of generality to suppose that {3 = 0
and to consider separately the cases O! > 0, a = 0, and a < O.
6.6.1. Asymptotic behavior in case a = O. The simplest case is a = 0,

where we have the wave equation Utt = c'lu:e:e, whose general solution was found
in Sec. 5.3:
1 l:e+ct J ( ) d
f 1 (x + ct) + h (x - ct)
u (x; t ) = 2 + -2
2 Y Y
c :e-ct
With the given hypotheses on h, 12, it follows that liml:el-+ooft(x) = 0 and
that the improper integral of 12 exists. Combining these facts, it is possible to
determine the following asymptotic behavior of the solution of the wave equation,
as we move along at various speeds:
o if v > c
oo
11 (x)/2 + (1/2c) I:e h(y)dy if v = c
lim u(x + vt; t) = (1/2c) I~oo h(y)dy if -c < v < c
t-+oo
h (x)/2 + (1/2c) I~oo h(y)dy v = -c
if
o if v < -c
We note that the result is a constant function of x when we move below the wave
speed, Ivl < c, and that the result is zero when we move above the wave speed,
Ivl > c. The most interesting result is obtained when we move at the wave speed,
v = c, when the limit depends on x as written. This behavior will be used as a
guide in discussing the telegraph equation in case a > O.
6.6.2. Asymptotic behavior in case a > o. In Chapter 5 the Fourier
u(x; t) = 1:
representation of the solution of the initial-value problem was found to be
tva + (cp.)2e"" dp.

F) (p.)cos
+100 F2 (p.) tva + (cp.)2 dp.

sin e'lJ:&
-00 va + (cp.)2
Each of these integrals can be analyzed by the method of stationary phase in
where
u( x + vt; t) = 1:
order to produce an asymptotic result. In detail, we write
e''''+(p) F(p. )e''''' dp. + 1:e...- (p) G(p.)e''''' dp.
F(p,) = Fl (p.) +
2 2ivaF2(P.)
+ (cp.)2'
and
To examine the first integral, we must determine the stationary points of the
phase function <p+(J.L). Computing the first and second derivatives, we have
2
C JL
<p~(J.L) = v+ Ja + (CJ.L)2
e-a
<p~(p,) = [a + (CJ.L)2J3/2
If Ivl ~ c, then the first term of <p~(J.L) is larger in absolute value than the second
term, so there is no stationary point. In this case a simple integration by parts
shows that
Iu(x + vt; t) = 0 (lit) t -+ 00 Ivl ~ ci
If Ivl < c, we may solve the equation <p~(J.L) = 0 to obtain the stationary point
J.I+(v) = _'!.J "v
c c2 - 2
Computing the phase function at the stationary point, we have
Applying the method of stationary phase gives the result
To examine the second integral,'we must determine the stationary points of

the phase function <P- (J.L). Computing the first and second derivatives, we have
If Ivl ~ c, then the first term of <P'- (I') is larger in absolute value than the second
term, so there is no stationary point. If Iv I < c, we may solve the equation
<p'-(p,) = 0 to obtain the stationary point
Computing the phase function at the stationary point, we have
Applying the method of stationary phase gives the result
Adding the two results gives
Iu(X + vt; t) = u+(x; t) + u_(x; t) + 0 (1ft) Ivl < CI

where
u+(x;t) = 21T e,(wt+1rj4+Il+(v)z) [F1(J.L+(V)) + F2(J.L+(v)) ]

tl4>~(J.L+(v))1 2 2iJo. + (CJ.L+(V))2
u_(Xjt) = 21T e-t(wt+1rj4+Il+(v)z) [Fl(J.L-(V)) _ F2(J.L-(V)) ]

tl4>~(J.L+(v))1 2 2iJo. + (CJ.L_(v))2
W = 4>+(J.L+(v)) = ~Jo.(C2
C
- v2)
The physical interpretation of these results is that, although there is no def-

inite wave speed (as for the wave equation), one can say that when t ~ 00 the
largest values of the solution are within the boundaries x ct. Thus most of the
wave motion is contained within these boundaries. Historically, this resolved a
paradoxical situation, since the Fourier representation is a sum of "plane waves"
in the form ei (/lZty'a+(cll)2), where the phase velocity v = Ja. + (cJ.L)2f J.L is strictly
larger than c, which would violate the principles of special relativity theory. The
method of stationary phase shows that we have no contradiction with special
relativity theory.
6.6.3. Asymptotic behavior in case a. < O. This case is more complex,

since the Fourier representation involves two subcases. In detail, we have u(x; t) =
Ul(Xj t) + UlI(X; t), where
UIl(X; t) = r
lclJAI<vloI
Fl (JL) cosh tv/ad - (CJ.t)2e JJ% dJ.t l
+ r F2(P,) sinh tvl a /- (CJL)2 e'JJ% dJ.t

lclJAI<vloI v'la/- (Cp,)2
We will now show that UI is bounded for large t, while Ull grows exponentially,
according to Laplace's method. To see this, note that
IUI(X; t)1 ::; 1

cIJAI>y1ai
IF2(J.t) I 2 dJ.L
IFI (J.t) I dJ.t + (
lcIJAI>~
+ (cJ.t) va
To analyze Ull, write 2 sinh B = eO - e- , 2 cosh B = eO + e- o, so that the neg-
o
ative exponential terms contribute at most O(e-t~), t ~ 00. The remaining
integrals can be written in the form
r eth(JA)etJJ% F(J.L) dJ.L
lCIJAI<~
where
We have
h'(J.L) =
so that h(J.t) has a global maximum at JL = 0, where h"(O) < o. Laplace's method
gives the asymptotic formula
21r etvlai [F(O)

-th"(O)
+0 (!)]
t
Therefore we have shown that
I
...-,u-(x-;-t)-=-t--1/-2e-t vrc;i-,-QI-[C--+-O-(-t--1/-2 )--']
2
where
C2 =
v'21rlap /
4 F(O)
---'--~-----'--
C
In case v :/; 0, the integral defining u(x + vt; t) comes in two parts. As above,
we need only consider the positive exponential terms corning from UrI; thus
u(x + vt; t) = 1
cljll<~
et[h(JA)+iVjl] F(p,)eiJA:r; dx + 0(1) t ---+ 00
The new exponent is a complex-valued function whose derivative is never zero

and whose real part has a maximum at J.L = 0, where h(O) = Therefore /iUi.
we can extend the method of integration by parts, to conclude that this integal
is O(et~ It), t -+ 00. Combining this with the (bounded) contribution from
Ul(Xj t), we conclude that
(6.6.4)
This completes the asymptotic analysis of the telegraph equation.
EXERCISES 6.6
1. Use the asymptotic result for a = 0 to find an asymptotic formula for the
solution of the critically damped telegraph equation Utt + 2{3ut + (32u = c?u xx
with u(x; 0) = fr (x), Ut(x; 0) = hex).
2. Use the asymptotic result in case a > 0 to show that if u(Xj t) is the solution
of the equation Utt + m 2u = c2uxx with u(x; 0) = 0, Ut(Xj 0) = hex), then
u(x; t) = ~ sin(mt + 11"/4) + 0 G) t --+ 00
where Cl = I/V27rmc2 J~h(x) dx.

3. Use the asymptotic result in case a > 0 to find an asymptotic formula for
u(Xj t), the solution of the equation Utt +m2u = c2uxx with u(Xj 0) = flex),
Ut(x; 0) = O.
4. Use the asymptotic result in case a < 0 to show that if u(x; t) is the
solution of the equation Utt + 2f3ut = r?u xx with f3 > 0 and u(x; 0) = 0,
Ut(Xj 0) = hex), then we have the asymptotic formulas
u(x;t) = ~+ 0 (D t--700
u(x + vt; t) =0 (D t --+ 00, v i 0
for an appropriate constant C2

5. Use the asymptotic result in case a < 0 to find asymptotic formulas for
u(x; t) and u(x + vt; t), where U is the solution of the equation Utt + 2fjut =
r?uxx with (3 > 0 and u(x; 0) = J. (x), Ut(Xj 0) = O.
6. Suppose that g(J.L) , h(ll) are differentiable functions and that h(ll) is real-
valued with a global maximum at J.L = O. Show that if v :/: 0, when t -+ 00,
1: g(J.!)e'[h(p)+,"pj dJ.! = 0 (e':(O))

7. Let u(x; t) be the solution of the equation Utt + 2(3ut = c2 uxx with (3 > 0
and u(x; 0) = 0, Ut(x; 0) = h(x). Combine the methods of this section
with the gaussian approximation from Sec. 6.3, Eq. (6.3.12), to show that
we have an asymptotic formula of the form
e-(x-b)2/4(8 1 +B2t) ( 1)
u(x t) = B +0 -2 t -+ 00
, 0 v'47r(Bl + B2t) t
for suitable constants Bo, BJ, B 2 [Hint: Write the integrand in the form
F(J-L)eillX = Ae#'(x-b)-(72~2/2+0(~3) and replace the integral by a suitable
gaussian integral.]
CHAPTER 7
NUMERICAL ANALYSIS
INTRODUCTION
In this chapter we present methods for obtaining approximate numerical so-
lutions of certain boundary-value problems for partial differential equations. In
practice, this may be necessary for a variety of reasons, for example, the geometry
of the boundary or the explicit form of the coefficients in the equation. Even if
the problem admits an explicit solution by a series or integral, it may be difficult
to compute the numerical value of the solution using the series or integral.
The most widely used numerical method is the method of finite differences,
which is discussed for both the heat equation and the Laplace equation in Sees.
7.2 and 7.3. Then we turn to methods that are suggested by the calculus of
variations, including the methods of Ritz and Kantorovich. These lead naturally
to the so-called orthogonality method of Galerkin, which in turn leads to the
finite element method.
In order to orient the chapter, we include an initial section on some elementary
finite difference methods for ordinary differential equations, including an error
analysis.
7.1. Numerical Analysis of Ordinary Differential Equations
Most differential equations do not have explicit solutions. Even if a differential
equation has an explicit solution, the solution may be so complicated that it is
useless for practical purposes.
On the other hand, we can try to find an approximation to the solution of a
differential equation with an initial condition. For example, suppose we are given
a first-order initial-value problem
(7.1.1) y' = f(t, y), y(a) = Yo
on an interval a ::; t ::; b. Although we may not be able to obtain a formula for
the solution of (7.1.1), we can subdivide the interval as
a = to < tt < ... < tN = b
and try to assign approximate values Yn to tn for n = 1, ... , N. Instead of a
formula we will have an approximation to the solution of (7.1.1) expressed as a
table of the Yn's in terms of the tn's. By graphing the table, we can visualize the
solution.
379
380 7. NUMERICAL ANALYSIS
We begin by considering simple methods of numerical approximations to so-

lutions to differential equations. The simplest of all is the Euler method; the next
simplest is the Heun method, which is derived from the Euler method. Subsec-
tion 7.1.3 discusses the error analysis, with a complete proof in the case of Euler's
method.
7.1.1. The Euler method. The Euler method is the simplest method used
to find numerical solutions to differential equations. The objective is to construct
an approximation to the solution of the initial-valueprohlem (7.1.1) for a ::; t ::; b.
We divide the interval a ~ t ~ b into equal subintervals:
a = to < tl < ... < tN = b
where h = tn+l - tn is called the step size. Let us first suppose that (7.1.1) has
a solution y(t), which we assume to be twice differentiable. We need the finite
Taylor expansion
o
( )
7.1.2 Y()
tl = Y() to + (tl -2 t )2 Y"( ~o )
to + (tl - to )Y'()
where to < ~o < ti' Using (7.1.1), we can rewrite (7.1.2) as
(7.1.3) y(t I ) = y(to) + h f(to, Yo) + ~2 Y"(~o)

Now if h is a positive number less than 1, the quantity h2 is even smaller. There-
fore, we have the approximate equality
(7.1.4) y(td ~ y(to) + hf(to, Yo)
The initial condition of (7.1.1) is y(to) = Yo. We can use this as the starting point
of a sequence of numerical approximations (Yn ) by taking Yo = Yo. However,
there may be roundoff errors or other inaccuracies that suggest a more general
approach, beginning with a value Yo, not necessarily equal to Yo. Let us now
define Yi by
(7.1.5) Y1 = Yo + hf(to, Yo)
Then Yi is an approximation to y(t l ). Furthermore, if we put
'Y2 = Yi + hf(t!, Yi}
then we can expect Y2 to be a reasonable approximation of y(t2 }. More generally,
we define
(7.1.6)
for 0 ~ n $ N - 1. The Euler method consists of approximating the solution to
(7.1.1) by means of (7.1.6). From (7.1.1) we know the point (to, Yo) and the slope
of the tangent line to the solution curve at (to, Yo), namely, f(t o, Yo). Thus the
tangent line is the graph of
t ~ Yo + (t - to)f(to, Yo)
7.1. NUMERICAL ANALYSIS OF ORDINARY DIFFERENTIAL EQUATIONS 381
To see how the Euler method works, we use it to approximate the solution to
a simple first-order linear equation.
EXAMPLE 7.1.1. Use the Euler method to find an approximate solution to the
initial-value problem
(7.1.7) y' = y + 1, y(O) = 0
for 0 :5 t :5 1. Use the step size h = 0.1 and compare the approximation with the
exact solution.
Solution. The Euler method formula (7.1.6) for the initial-value problem
(7.1.7) with step size h = 0.1 becomes
YnH = Yn + O.I(Yn + 1)
for 0 :5 n :5 N - 1. The interval 0 :5 t :5 1 is divided into 10 equal pieces, so
N = 10. We are given Yo = 0; then Y1 = Yo + O.I(Yo + 1) = 0.1 and
1'2 = YI + 0.1(Y1 + 1) = 0.1 + 0.1(1.1). = 0.21
Continuing in this way, we get the first three columns in the following table:
n tn Yn Yexact (t n )
o 0.0 0.0 0.0
1 0.1 0.1 0.10517
2 0.2 0.21 0.22140
3 0.3 0.331 0.34986
4 0.4 0.4641 0.49182
5 0.5 0.61050 0.64872
6 0.6 0.77156 0.82212
7 0.7 0.94871 1.01375
8 0.8 1.14359 1.22554
9 0.9 1.35795 1.45960
10 1.0 1.59370 1.71828
Since y' = Y + 1 is a first-order linear differential equation, the exact solution of
(7.1.7) is easily found to be
t
Ycxact(t) = e - 1
Then Yexact(O.I) = eO. - 1 ~ 0.10517, Yexact,(0.2) = eO.2 - 1 ~ 0.22140, and
l
so forth. Values for the exact solution are shown in the fourth column. The
difference IYlO - y(tlO)! is approximately 0.12, an error of less than 10 percent.
Next let us consider a differential equation for which it is impossible to find
the solution, at least by elementary techniques.
EXAMPLE 7.1.2. Use the Euler method to find an approximate solution to
(7.1.8) = 5 - t2 y3, y(O) = 0
Y'
for 0 :5 t :5 1. Use step sizes h = 0.1 and h = 0.01 and compare the results.
Solution. The Euler method formula (7.1.6) for the initial-value problem
(7.1.8) with step size h is
(7.1.9) Yn +1 = Yn + h(5 - t~Y:)
Taking h = 0.01 and then h = 0.001 in (7.1.9) gives us the following table:
t Yn (h = 0.1) Yn (h = 0.01)
0.0 0.0 0.0
0.1 0.50000 0.49998
0.2 0.99987 0.99886
0.3 1.49588 1.48647
0.4 1.96575 1.92540
0.5 2.34422 2.24190
0.6 2.52216 2.36963
0.7 2.44457 2.32246
0.8 2.22875 2.18041
0.9 2.02021 2.01484
1.0 1.85237 1.86018

EXERCISES 7.1.1
In the following exercises, perform the indicated computations by hand, retaining
only four significant digits at each step of the calculations.
1. Use the Euler method to compute an approximate solution to the initial-
value problem y' = Vy + 1, y(O) = 0 with step size h = 0.1. Compare with
the exact solution y(t) = t(4 + t)/4.
2. Consider the following initial-value problem:
y' =y- ty2
{ y(O) = 2
(a) Use the Euler method to compute an approximate solution at t =
1.0. Use the values n = 2, 4, 8, which correspond to step sizes of h = 1/2,
1/4,1/8.
(b) Determine the actual solution and compare the value of y(l) with
the results from part (a).
Repeat Exercise 2 for the following initial-value problems:
y' + 2y = t
3. {
y(O) = 1
4. {
y' =t + 1
y(O) = 1
y' = t 3 e- 211
5. {
y(O) = 0
yy' = et
6. {
y(O) = 1
7. Consider the following initial value problem:
y'=y+t2, y(O) =1
(a) Find the solution y(t) and evaluate it for t = 0.2,0.4, ... , 1.0.
(b) Using the Euler method, with step size of h = 0.2, find approximate
values for the solution at the t values in part (a).
(c) Repeat part (b) by using h = 0.1.
(d) Compare the results of part (b) with those of part (c) and the exact
values.
The initial-value problems in the following exercises cannot be solved by symbolic
methods. Use the Euler method with step size h = 0.1 to approximate the
solution at t = 1 to three significant digits (see Exercise 7).
8. y' = sin(y) + et , y(O) = 0
9. y' = y3/2 + t,y(O) = 1
10. y' = sin(t) + cos(y), y(O) = 1
11. y' = et3 , y (0) = 1
12. Consider the initial-value problem
y' = t 2 y, y(O) =1
(a) Find the exact solution at t = 1.0. Express this value to four
decimal places.
(b) Use the Euler method with h = 1/8 to approximate the solution at
t = 1.0. Compute the absolute error.
(c) Repeat part (b) with h = 1/16, h = 1/32. Create a table and a
graph showing the absolute errors corresponding to the various step sizes.
A theoretical analysis for the Euler method suggests a linear relationship
between the absolute error and the step size. Do the numbers agree with
the theory?
(d) Observe in part (c) that the error is roughly proportional to the
step size. Use these data to estimate the constant of proportionality.
13. Apply the Euler method with successively smaller step sizes on the interval
o ~ t S 1 to verify empirically that the solution of the initial-value problem
y' = e + y2, y(O) =1
has a vertical asymptote near t.=. 0.97.
7.1.2. The Heun method. As a first attempt to obtain an improvement

of the Euler method formula (7.1.6), let us replace f(t n , Yn ) with the average of
f(t n, Yn) and f(t n+lt Yn+ 1 ); this leads to the formula
h
(7.1.10) Yn +1 = Yn + 2 (f(t n, Yn) + f(tn+b Yn+1 )
Unfortunately, Yn + 1 occurs on both sides of (7.1.10), so we must solve the equation

for Yn + b which may be difficult. Fortunately, we already have an approximation
for Yn +1, namely, the value
Yn + hf(tn, Yn)
from the Euler method formula (7.1.6). Let us substitute Yn + hf(tn, Yn) for the
term Yn +1 , occurring on the right-hand side of (7.1.10). The result is
(7.1.11)
The Heun method consists of approximating the solution to

(7.1.12) y' = f(t, y), y(a) = Yo
by means of (7.1.11), which we call the Heun method formula. The Heun method
is an example of a predictor-corrector method. The Euler method is used to
"predict" a value for Yn +1 ; this value is then used in (7.1.11) to obtain a better
(or "more correct") approximation.
EXAMPLE 7.1.3. Use the Heun method to find an approximate solution to the
initial-value problem
(7.1.13)
for 0 ~ t ~ 1. Use the step size h = 0.1. Compare the Heun method approxima-
tion with the Euler method approximation.
Solution. Let f(t, Y) = 5 - t 2 y3. Since the Euler method approximation to
Yn+1 is Yn + hf(tn, Yn) = Yn + h(5 - t~Y:), we compute
f(t n +b Yn + hf(tn, Yn = f(tn + h, Yn + h(5 - t~Y;
= 5 - (t n + h)2(Yn + h(5 - t~y;3
We also have f(t n , Yn ) = 5 - t~Y:. Thus the Heun method formula (7.1.11)
becomes
(7.1.14)
We obtain Y1 = (h/2)(10 - h5 (125)), and so forth. Taking h = 0.1 in (7.1.14)

gives us the last column in the following table. The middle column is computed
using the Euler method formula (7.1.6).
t Yn (Euler) Yn (Heun)
0.0 0.0 0.0
0.1 0.50000 0.49994
0.2 0.99987 0.99788
0.3 1.49588 1.48089
0.4 1.96575 1.90680
0.5 2.34422 2.20007
0.6 2.52216 2.30745
0.7 2.44457 2.26215
0.8 2.22875 2.14016
0.9 2.02021 1.99622
1.0 1.85236 1.85650

EXERCISES 7.1.2
In the following exercises, perform the indicated computations by hand, retaining
only four significant digits at each step of the calculations.
1. Use the Heun method to compute an approximate solution to the initial-
value problem y' = y + 1, y(O) = 0 with step size h = 0.1. Compare
this with the exact solution y(t) = et - 1 and with the Euler method
approximation from Example 7.1.1.
y' = y _ ty2
{ y(O) =2
(a) Use the Heun algorithm to compute an approximate solution at
t = 1.0. Use the values n = 2, 4, 8, which correspond to step sizes of
h = 1/2, 1/4, 1/8.
(b) Determine the actual solution and compare the value of y(l) with
the results from part (a).
Repeat Exercise 2 for the following initial-value problems:
y' + 2y = t
3.
{ y(O) = 1
y'=t+l
4.
{ y(O) = 1
y' = t 3 e- 2y
5. {
y(O) = 0
t
y' =e
6. y
{ y(O) = 1
y' = y + t2
{ y(O) =1
(a) Find the solution y(t) and evaluate it for t = 0.2,0.4, ... ,1.0.
(b) Using the Heun method with step size h = 0.2, find approximate
values for the solution at the t values in part (a).
(c) Repeat part (b) using h = 0.1.
(d) Compare the results of part (b) with those of part (c) and the exact
values. (The differences in the results for h = 0.2 and h = 0.1 tend to
indicate whether a smaller step size must be used for the desired range of
t values. The general rule of thumb is to use the smaller step size if the
two solutions agree to the desired accuracy. If they do not agree, reduce
h and repeat the calculations. This gives an indication but not a proof of
the accuracy of the result.)
The initial-value problems in the following exercises cannot be solved by exact
methods. Use the Heun method with step size h = 0.1 to approximate the
solution at t = 1 to three significant digits (see Exercise 7).
y' = sin(y) + et
8.
{ y(O) = 0
y' = y3/2 + t
9. {
y(O) = 1
y' = sin(t) + cos(y)
10.
{ y(O) =1
y' = et3
11.
{ y(O) = 1
y' = t 2 y
{ y(O) = 1
(a) Find the exact solution at t = 1.0. Express this value to four
decimal places.
(b) Use the Heun method with h = 1/8 to approximate the solution at
t = 1.0. Compute the absolute error.
(c) Repeat part (b) with h = 1/16, h = 1/32. Create a table and a
graph showing the absolute errors corresponding to the various step sizes.
A theoretical analysis for the Heun method suggests a linear relationship
between the absolute error and the square of the step size. Do the numbers
agree with the theory?
(d) Observe in part (c) that the error is roughly proportional to the
square of the step size. Use the data to estimate the constant of propor-
tionality.
13. Apply the Heun method with successively smaller step sizes on the interval
o ~ t ~ 1 to verify empirically that the solution of the initial-value problem
y' = t2 + y2
{ y(O) = 1
has a vertical asymptote near t = 0.97.
7.1.3. Error analysis. A common way to classify methods is to give their
order of accuracy. This order is associated with truncation error as defined by the
particular method and the Taylor expansion of the solution y(t). Taylor'S theorem
states that ify(t) has k+l continuous derivatives on the interval to-8 < t < t o+8,
then
y"(t ) y(k}(t )
y(t) = y(to)+ y'(to)(t - to) + -T(t - to)2 + ... + k! 0 (t - to)k + TE
where to - 8 < t < to + 8. Here the Taylor remainder TE is called the local
truncation error; it is defined by
(k+l)( )
TE =Y 1] (t - t )k+l
(k + I)! 0
where to - 8 ~ TJ ~ to + 8. If tl= to + h, then we may write

(k+l)( )
TE = Y TJ h k + 1
(k + I)!
and we say that the local truncation error is proportional to hk+l. When this
occurs, we say that the method is of order k. The reason for defining it this way
is because the global truncation error
GTE = Iy(ti) - Y(ta)1
is asymptotically proportional to one lower power of h when h tends to zero. Here
we use y for the true solution and Y for the approximate solution. In order to
discuss the error analysis, we recall the big- 0 notation.
Definition Suppose that f(h), g(h) are functions defined in some interval 0 <
h < a with g(h) > O. Then we write
f(h) = O(g(h)), t -t 0
if there exist constants M > 0,8 > 0 so that If(h)l:5 Mg(h) for 0 < h < 8. For
example, sin (h) = O(h), h -7 0, but sin (h) =F O(h2), t -7 O. In many cases we
will omit the quantifier h -7 0 when it is obvious from the context.
This may be applied to the discussion of error analysis of the various finite
difference schemes. Typically a given scheme (Euler, e.g.) will satisfy a pair of
statements of the form
TE = O(hk+l) and h-70

for a certain value of k.
To see how this analysis is done, let us consider the Euler method. Using
Taylor's theorem,
(7.1.15)
for some 1J E [tn' tn+l]' To analyze the error in the Euler method, we state the
method in terms of the approximate solution Y,
Yn+1 = Yn + hf(tn, Yn) n = 0, 1, ... ,N - 1
and subtract this equation from Eq. (7.1.15) to obtain
(7.1.16) y(tn+1) - Yn+1 = y(tn) - Yn + h(f(tn,y(tn - f(tn, Yn) + ~2 y"(1J)

The error in Yn +1 consists of two parts: (1) the local truncation error TE intro-
duced at step tn+l and (2) the propagated error
y(tn) - Yn + h(f(tn, y(tn -
f(tn, Yn
The propagated error can be simplified by applying the mean value theorem to
f(t, z), considered as a function of z:
f(tn, y(tn - f(t n, Yn) = 8f~:, e) (y(t n) - Yn)
e
where is between y(tn) and Yn. We let en = y(tn) - Yn, and use the above to
rewrite Eq. (7.1.16), obtaining
7.1.17
( )
'-n+l =
.& (1 2
+ h 8f (t8zn , e).&~n + h Y"(TJ)
2
These computations yield a general error analysis for the Euler method for the
initial-value problem as stated in the following theorem.
THEOREM 7.1. Assume
(7.1.18) 0<K = sup Iaf~; z} I< 00
where the supremum is taken over (t, z) of the form z = yet) with to ~ t ~ b.
Then the Euler method solution (Yn ) satisfies the error bound
(7.1.19) Iy(t n) - Ynl ~ e(b-to)Kly(to) - Yol + h (

e(b-fQ)K -
2K
1) sup Iy"(t) I
to95b
for all n with to ~ tn ~ b.
Proof. The proof can be accomplished by mathematical induction on the
sequence of numbers n, n = 0,1, ... ,N. From Eqs. (7.1.17) and (7.1.18) we have
(7.1.20) kn+ll ~ A kn/ + B n = 0,1, ... , N - 1
where A = 1 + hK,B = h2 M/2, and M = SUPto<t<b ly"(t)l. We propose to show
that - -
(7.1.21 ) n = 0, 1, .. . ,N
Clearly, (7.1.21) holds for the value n = 0. Assuming its truth for the value
n = m, we have
lm+ll ~ AIml + B
< A (l<oIAm + A ~ 1 (Am - 1) ) + B
= lolAm+l + ~(Am+l -1)
A-I
which proves (7.1.21) for the value n = m+ 1, and hence for all n by mathematical
induction. To obtain the conclusion (7.1.19), we apply this with A = l+hK, B =
h 2 M /2 and take note of the inequality 1 + x ~ eX to write
2
Ifni < Ifol(l + hKt + h :J2 ((1 + hK)n - 1)
hM
< Ifole
hnK
+ 2K (e nhK - 1)
~ kole(b-to)K + hM (e(b-to)K - 1)
2K
Making the identification in = y(tn ) - Yn completes the proof.
When Yo = y(to) (as is commonly the case), (7.1.19) can be written
Iy (t n ) - Yn I ~ c h to ~ tn ~ b
where c is a constant. Therefore we say that the Euler method is an order 1
or first-order method. When h is halved, the error is halved. Also, the Euler
method is said to converge with order 1. In general, if we have
Iy(t n) - Ynl ~ ch to ~ tn ~ b
k
then we say that the method is an order k method or is convergent with order k.
To see what this means, let us consider an example.
EXAMPLE 7.1.4. Illustrate the eTTOr bound (7.1.17) for the equation
y' = 4t, yeO) =0
2
whose exact solution is yet) = 2t
Solution. The error formula (7.1.17) becomes

fO = 0
Using induction, we get
Since nh = tn,
En = 2tnh
In the above example we see that for each tn, the error of approximation
in the Euler method at tn is proportional to h. The local truncation error TE
is proportional to h 2 , but the cumulative effect of these errors is a total error
proportional to h.
EXERCISES 7.1.3
1. Apply the Euler method to the initial-value problem
y' = sin(106 y), yeO) =1
and show that the local truncation error TE is
h2
TE = 4106 sin(2 x 106 Y{1]))
2. Determine an upper bound on the global truncation error GTE in using
the Euler method with N = 10 steps to solve the initial-value problem
y' = tlY
{ yeO) = 2
on the interval 0 ~ t :::; l.

3. Use Euler's method with h = 0.1 to approximate the solution to
2
y' = t Y + t2e ,
t
y{l) =0
on the interval 1 $ t $ 2. Find the value of h so that Iy( ti) - Yi I $ 0.1.
y' = -lOy, yeO) =1
on the interval 0 $ t $ 2, which has the solution yet) = e- 10t What
happens when Euler's method is applied to this problem with h = 0.1?
Does this violate Theorem 7.1?
7.1. NUMERlCAL ANALYSIS OF ORDINARY DIFFERENTIAL EQUATIONS 391
5. Apply the second-order Euler method with h = 1/2 to the initial-value

problem
y(l) =1
Compute y(2). What can be said about the error for this method?
6. This exercise outlines the counterpart of the error estimate (7.1.19) for the
Heun method. Assume that the true solution y(t) has a bounded third
derivative and that I and its partial derivatives of orders 1 and 2 are
continuous and bounded by a constant K on their respective domains. Use
=
the notation 11 81/8t, 12 81/By=
(a) Beginning with the Heun formula (7.1.10), use the mean value the-
orem to show that
Yn+ 1 - Yn = hl(tn, Yn) + (h 2 /2) (h(t n, el)/(7b (.2) + h(72, Yn+d)
for appropriate values of 71, 72,6, (.2.
(b) Use the second-order Taylor theorem to show that the exact solution
y(t) satisfies
y(tn+d - y(t n) = hy'(tn} + (h 2
/2)y"(t n) + (h 3 /6)y"'("l)
h2
= hl(tn,y(tn + 2(/l(tn,y(tn + (Ih)(tn,y(t n)
+ O(h3)
for an appropriate value of "l.
(c) Letting fn = Yn - y(tn ), perform the subtraction to obtain
fn+l - fn = h[J(tn , Yn - I(tn, y(tn ] +B
= hEnh(tn,6) + B
3
where B = O(h ), h --t O.
(d) Show that
Ifn+ll ~ AIEnl + B n = 0,1, ... ,N-1
where A = 1 + hK, B = O(h3), h --t O.
(e) Use an inductive argument to show that
An -1
Ifn I ~ lEo IAn + B A-I
(f) Assuming that we begin with Yo = Yo, conclude that the Heun
method satisfies the numerical error estimate Yn - y(tn } = O(h2), h --t 0,
where n = 1,2, ... ,N.
7. For an arbitrary smooth function u(x), define the jonoard replacement error
by
+( h) _ '() u(x + h) - u(x)
e x, - u x - h
Compute e+(x, h) for the following cases:

(a) u(x) = cos x, x = 0, h = 0.1
(b) u(x) = x 2 , X = 1, h = 0.1
(c) u(x) = e3x , x = 0, h = 0.1
(d) u(x) = x sin 15x, x = 0, h = 0.1
8. Define the backward replacement error by
x - u(x) - u(x - h)
e _( x, h) = u '()
h
Compute e-(x, h) for each of the cases (a), (b), (c), (d) in Exercise 7.
9. Define the symmetric replacement error by
eO(x, h) = u'(x) _ u(x + h/2) - u(x - h/2)

h
Compute eO(x, h) for each of the cases (a), (b), (c), (d) in Exercise 7.
10. With reference to the previous exercises, show that the following bounds
hold for an arbitrary smooth function u(x):
(a) le+(x, h) I ~ (h/2) max:z;~t~x+h lu"(t) I
(b) le-(x, h)1 ~ (h/2) maxx-h<t<x lu"(t) I
(c) leO(x, h)1 ~ (h 2 /24) maxx_~/;$t~x+h/2Iu"'(t)1
Hint: Begin with the Taylor formula with remainder
x +h
u(x + h) - u(x) = hu'(x) + x
l
11. Define the second-order symmetric replacement error by
(t - x)u"(t)dt
EO(x, h) = u"(x) _ u(x + h) + u~ - h) - 2u(x)
Compute EO(x, h) for each of the following cases:

(a) u(x) = x2, X = 0, h = 0.1
(b) u(x) = e3x , x = 0, h = 0.1
(c) u(x) = cosx, x = 0, h = 0.1
(d) u(x) = x 2 sin 15x, x = 0, h = 0.1
12. Show that the second-order symmetric replacement error satisfies the bound
h2
IEO(x, h)1 ~ - max IU(iv}(t) I
12It-xl~h
Hint: Use the Taylor formula of order 4:

h2
u(x + h) - u(x) = hu'(x) +"2 u"(x)
6
3
h ulll(x) +
+- l x
x h
+ (t -
6
X)3
U(iv> (t)dt
7.2. THE ONE-DIMENSIONAL HEAT EQUATION 393
13. Define the second-order forward replacement error by
E +( x, h) _ "( ) _ u(x + 2h) + u(x) - 2u(x + h)

- u X h2
Show that we have the bound IE+(x, h)1 ~ 2h maxx <t<x+2h lu"'(t) I.
14. Let u(x) be the arbitrary smooth function and define-the fourth-order sym-
metric replacement error by
FO(x, h) = U(iv)(X)
u(x + 2h) - 4u(x + h) + 6u(x) - 4u(x - h) + u(x - 2h)
h4
Show that we have the following bound:
h2
IpO(x, h)! ~ -4 max IU(iV)(t) I
5It-xJ~h
7.2. The One-Dimensional Heat Equation

In this section we begin the study of numerical solutions of partial differential
equations. As our first model, we consider the following problem for the heat
equation:
(7.2.1) Ut = Ku:z;:z; t> 0,0 < x < L
u(O; t) = 0 = u(L; t) t>O
u(x; 0) = f(x) O<x<L
Physically this represents heat flow in a slab whose faces are maintained at equal
temperatures. In Chapter 2 we solved this problem using Fourier series.
7.2.1. Formulation of a difference equation. To solve this problem by

the method of finite differences, we choose a mesh 0 = Xo < Xl < X2 < ... <
Xn+l = L with Xt+l - x, = Llx, independent of i for i = 0,1, ... , n. We replace
U(Xi; t) by u,(t) for i = 0,1, ... , n + 1. Similarly, the t-axis is replaced by a mesh
of points (ti)' with ti+} - t. = Llt. To employ the method of finite differences,
we make the following replacements for the partial derivatives that occur in the
heat equation:
u.(t + Llt) - Ui(t)
is replaced by
Llt
UHl (t) + U.-l (t) - 2u.(t)
is replaced by
(LlX)2
Thus the partial differential equation is replaced by the following system of linear
equations with boundary conditions:
Ui(t + At) - U,(t) = KU,+l(t) + Ui-l(t) - 2u,(t)

At (Ax)2
uo(t) = 0, Un+l (t) = 0
In order to make this more natural, recall the original formulation of the one-
dimensional heat equation in Chapter 0, Eq. (0.1.2), where we postulated that
the time rate of change of temperature is proportional to the difference between
the local temparature and that of its neighbors. That formulation differs from
the above finite difference scheme only in the further replacement of the time
derivative by the time difference quotient.
We solve these linear equations for Ui(t + At) to obtain
K(At) K(At) ( 2 K At)

(7.2.2) u,(t + At) =~ U,+l(t) + ~ U,-l(t) + 1- ~ u,(t)
Thus u,(t + At) is a weighted average of the numbers UZ+l (t), U,-l (t), and Ui(t)
provided that 2K Atj(Ax)2 ::; 1. This is a stability condition, meaning that the
numerical approximations will be close to the true solution in a suitable sense.
When this condition is satisfied, all of the coefficients in (7.2.2) are positive
and their sum is unity-thus the term "weighted average." For given values
of the diffusivity K and the mesh size Ax, this condition can be realized by a
suitable choice of the time step At. It is to our advantage to choose At as large
as possible, consistent with this restriction. In particular, we may we choose
2KAt/(Ax)2 = 1.
7.2.2. Computational molecule. We can graphically illustrate the numer-

ical algorithm implied by Eq. (7.2.2) in terms of the "computational molecule"
depicted in Fig. 7.2.1. The coefficient r = K Atj(Ax)2 multiplies the current
values UHl (t), U,-l (t), while the coefficient (1 - 2r) multiplies the current value
u,(t). Together they produce the new value Ui(t + At). On a larger scale we may
graph the boundary values and unknown values as part of a rectangular grid, as
depicted in Fig. 7.2.2. The initial and boundary values are represented by small
cubes, while the unknown solution values are represented by black dots.
U,(I+&)
FIGURE 7.2.1 Computational molecule for the heat equation.

o 0 0 0 0 0 0 0 0 0 0
o ~ 0
o ~~. 0
o 0
o 0
o 0
o 0
FIGURE 7.2.2 Global rectangular grid.
7.2.3. Examples and comparison with the Fourier method. We now

present an example that affords comparison between the numerical solution and
the Fourier series solution.
EXAMPLE 7.2.1. Find the approximate numerical solution of the heat equa-
tion Ut = Ku%% for 0 < x < 1, t > 0 with the boundary conditions u(O; t) = 0,
u(l; t) = 0 and the initial condition u(x; 0) = 100x(1 - x). Use the mesh with
~x = 0.1, K ~t/(~X)2 = ~, and compute the solution for 0 ~ t ~ 20~t.
Solution. In this case the basic equations (7.2.2) take the form
K ~t K ~t [2K ~t]
u,(t + ~t) = (~X)2 Ui+l (t) + (~X)2 Ui-l (t) + 1 - (~x)2 u,(t)
111
= 3U '-1 (t) + 3U1+1 (t) + 3u,(t)
Since the initial conditions are symmetric about x = ~, we may restrict attention
to the values x = 0,0.1,0.2,0.3,0.4,0.5. The computational grid is depicted in
Table 7.2.1.
x=O x=O.l x =0.2 x=0.3 x = 0.4 X= 0.5

t=O 0 9.00 16.00 21.00 24.00 25.00
t=l 0 8.33 15.33 20.33 23.33 24.33
t=2 0 7.89 14.66 19.66 22.66 23.66
t=3 0 7.52 14.07 18.99 21.99 22.99
t=4 0 7.20 13.53 18.35 21.32 22.32
t=5 0 6.91 13.03 17.73 20.66 21.65
t=6 0 6.65 12.56 17.14 20.01 20.99
t=7 0 6.40 12.12 16.57 19.38 20.34
t=8 0 6.17 11.70 16.02 18.76 19.70
t=9 0 5.96 11.30 15.49 18.16 19.07
t = 10 0 5.75 10.92 14.98 17.57 18.46
t = 11 0 5.56 10.55 14.49 17.00 17.87
t = 12 0 5.37 10.20 14.00 16.45 17.29
t = 13 0 5.19 9.86 13.55 15.91 16.73
t = 14 0 5.02 9.53 13.11 15.40 16.18
t = 15 0 4.85 9.22 12.68 14.90 15.66
t = 16 0 4.69 8.92 12.27 14.41 15.15
t = 17 0 4.54 8.63 11.87 13.61 14.66
t = 18 0 4.39 8.35 11.37 13.38 13.96
t = 19 0 4.25 8.02 11.03 12.90 13.57
t = 20 0 4.09 7.77 10.65 12.50 13.12
TABLE 7.2.1 Numerical results from Example 7.2.1
It is instructive to compare the numerical solution with the exact solution

obtained by Fourier series. To do this, we recall the Fourier sine series for 0 <
x < 1:
100x(1 - x) = 800
3
(Sin 1rX +
1r
2.
27
sin 31rx + ... )
The Fourier series solution of the heat equation with this initial condition is
u( x; t) = ~~ (sin 1rX e-w' K. + ;7 sin 31rxe-(3w)' K' + ... )
We compute the values of the various terms for x = 0,0.1,0.2,0.3,0.4,0.5 and

Kt = K{20Llt) = (20/3)(~X)2 = 1/15:
x 0 0.1 0.2 0.3 0.4 0.5

sin 1rX 0 0.309 0.588 0.809 0.951 1.000
(1/27) sin 31rx 0 0.011 0.035 0.030 0.951 1.000
(800/1r 3 ) sin 1rxe-1r2 / 15 0 4.128 7.856 10.808 12.705 13.363
(800/271r 3 ) sin 31rxe-971'2/15 0 0.000 0.002 0.002 -0.002 -0.002
u(x; t) 0 4.128 7.858 10.810 12.703 13.361
Thus we see that the numerical solution and the Fourier solution agree to within
2 percent for the tabulated values.
This example suggests that we can expect close agreement between the numer-
ical solution and the exact solution of the heat equation. The following theorem}
affirms this result more generally.
THEOREM 7.2. Let u(x; t) be the solution of the heat equation Ut = Ku xx for
t > 0, 0 < x < L with the boundary conditions u(O; t) = a(t), u(L; t) = f3(t) and
the initial condition u(x; 0) = f(x). Let Ui(t) be the numerical solution obtained
with 2K(/)"t)/(/)"X)2 ~ 1. Then
where M is a bound for u(x; t) and its first six derivatives.
In order to illustrate the role of the stability condition 2K(/)"t)/(/)"x)2 ~ 1 we

consider a simple example with two different mesh sizes. In the first case we have
stability, and in the second case we have instability.
tion = U xx for t > 0, 0 < x < 1 with the boundary conditions u(O; t) = 0,
Ut
u(lj t) = 0 and the initial condition u(x; 0) = 4x. First use the mesh size
/)"x = 1/4, /)"t = 1/32; then use the mesh size /)"x = 1/4, /)"t = 1/8.
Solution. For the first choice, we have K(/)"t)/(/)"X)2 = 1/2 and the form
of the solution (7.2.2) is u,(t + /)"t) = lU'+l(t) + lUa-l(t). Applying this to the
initial data u(x; 0) = 4x, we have the following table of values:
x=O x = 1/4 x = 172 x = 3/4 x=1

t=O 0 1.0 2.0 3.0 4.0
t = 1/32 0 1.0 2.0 3.0 0.0
t = 1/16 0 1.0 2.0 1.0 0.0
t = 3/32 0 1.0 1.0 1.0 0.0
t = 1/8 0 0.5 1.0 0.5 0.0

For the second choice, we have K(/)"t)/(/)"X)2 = 2. The form of the solution
(7.2.2) is u,(t + /)"t) = 2UHl(t) + 2U,-l(t) - 3u,(t), leading to the following table
of values:
1 W. E. Milne, Numerical Solution 0/ Differential Equations, Dover Publications, New York,

1970, p. 122
398 7. NUMERlCAL ANALYSIS
t x=O X = 174 X = 172 X= 374 x=l

0 0 1.0 2.0 3.0 4.0
1/32 0 1.0 2.0 3.0 0.0
1/16 0 1.0 2.0 -5.0 0.0
3/32 0 1.0 -14.0 19.0 0.0
1/8 0 -31.0 82.0 -85.0 0.0
From this example we see that the second choice of ~x = 1/4, ~t = 1/8 leads
to an absurd result, since we expect on physical grounds that the temperature
will remain positive and tend to zero as the time t becomes large; in fact, this
is known from the analysis of Chapter 2, where we solved this initial-boundary
value problem using a Fourier sine series. The absurd values in this example are
not surprising, in view of the fact that the ratio 2K(!:l.t)/(!:l.X)2 is larger than
unity.
7.2.4. Stability analysis. We now present the derivation of the stability

condition for the one-dimensional heat equation with zero boundary conditions.
The first step is to rewrite the difference scheme (7.2.2) in the form
(7.2.3)
where r = K !:l.t/(!:l.X)2 and we have set u~ = ui(n!:l.t).
The system (7.2.3) can be solved by separation of variables, reminiscent of
the Fourier solution of the heat equation Ut = K U:t:t. This is written in the form
U: = A(i)B(n)
Substituting in (7.2.3) and clearing fractions leads to the equation
B(n + 1) r A(i - 1) + r A(i + 1) + (1 - 2r)A(i)
~~~=------~--~~~--------~
B(n) A(i)
The left side depends only on n, and the right side depends only on ij therefore
they must both be constant, denoted 8. Thus
(7.2.4) B(n + 1) = 8B(n), r A(i - 1) + r A(i + 1) + (1 - 2r - 8)A(i) = 0
From this it follows that B(n) = 8n B(O) and, by analogy with the continuous
case, we can find A(i) as a sine function:
(7.2.5) A('t') =sm

. (k1ri)
N k = 1,2, ... , N - 1
The stability analysis below will hinge on the dichotomy between 181 ~ 1 and
181 > 1. In the first case one can expect all solutions of the difference scheme to
remain bounded when n ~ 00, whereas in the second case we can expect some
solutions to become unbounded when n ~ 00. We now present the details.
Substitution of (7.2.5) into (7.2.4) yields
(7.2.6) 2r cos ( ~) + (1 - 2r - 8) =0
which is solved explicitly for (J as
(7.2.7) 10 = (1- 2r) + 2rcos(k7r/N) I
We consider separately two cases:
Case 1: 0 < 2r ~ 1. Since the cosine function is strictly between -1 and +1,
it follows that (1- 2r) - 2r < (J < (1- 2r) + 2r. But the upper bound is +1 and
the lower bound is greater than or equal to -2r, which is greater than or equal
to -1. Combining these yields the result -1 < (J < 1 for k = 1,2, ... , N - 1.
Case 2: 2r > 1. In this case the upper bound of case 1 still applies, and we
have (J < 1 for all k. However, if we take k = N - 1 and note that the cosine
function lies below its quadratic Taylor approximation about 7r, it follows that
(J = (1 - 2r) + 2rcos(7f - 7r/N)
~ (1 - 2r) + 2r( -1 + 7f2/2N2)
= (1 - 4r) + r7r 2 /N 2
Since 2r > 1, it follows that 1 - 4r < -1. By taking N sufficiently large, we can
still achieve 8 < -1. We summarize the above work as follows.
PROPOSITION 7.2.1. Suppose that the mesh sizes !::it, !::ix satisfy the condition
that r := K !::it/(!::iX)2 ~ 1/2; then all solutions of the difference scheme {7.2.2}
remain bounded when n -7 00. If the mesh sizes !::it, !::ix are such that r :=
K !::it/(!::iX)2 > 1/2, then there exist solutions of the difference scheme {7.2.2}
that become unbounded when n -7 00.
7.2.5. Other boundary conditions. The method of finite differences can
also be applied to solve the heat equation with boundary conditions involving
the derivative U X Consider, for example, the problem
(7.2.8) Ut = Ku xx t > 0,0 < x < L
ux(O; t) = 0 = ux{L; t) t> 0
u(x; 0) = f(x) O<x<L
which represents heat flow in a slab whose faces are insulated. In this problem it
is natural to replace the boundary condition by the equations Uo = U1, Un = U n +1.
As before, the difference scheme is obtained from the equations (7.2.2).
tion Ut = U xx for t > 0, 0 < x < 1 with the boundary conditions ux(Oj t) = 0,
u x (1; t) = 0 and the initial condition u(x; 0) = 4x. Use the mesh size !:l.x = 1/4,
!:l.t = 1/32.
Solution. For this mesh size, we have K!:l.t/(!:l.x)2 = 1/2 and the form of
the solution (7.2.2) is u,(t + !:l.t) = !UH1(t) + !Ui-l(t) for i = 1,2,3. When we
impose the conditions Uo = U}, U3 = U4, we obtain the following table of values:
t x=O x= 174 X= 1/2 x=3/4 x=l

0 0 1.0 2.0 3.0 4.0
1/32 1.00 1.00 2.00 3.00 3.00
1/16 1.50 1.50 2.00 2.50 2.50
3/32 1.75 1.75 2.00 2.25 2.25
1/8 1.88 1.88 2.00 2.13 2.13

We now turn to a problem involving a slab of variable conductivity. To be
specific, suppose that the slab is composed of two materials whose diffusivity
coefficients are K I , K2 and that these are of thickness L 1 , L 2 , respectively. This
leads to the following initial-boundary-value problem:
Ut = Klu xx 0< x < Ll

Ut = K 2 u xx Ll < X < Ll +L2
u(O; t) = 0 t>O
U(LI + L2 ; t)= 0 t>O
u(x; 0) = f(x) 0< x < Ll + L2
This problem is not easily solved by separation of variables. To employ the

method of finite differences, we make the additional requirement that the tem-
perature and heat flux be continuous at the interface x = L l This is translated
into the following two additional boundary conditions:
U(LI - OJ t) = U(LI + OJ t)
Klux(L l - OJ t) = K 2 u x (L l + OJ t)
To solve this problem by the methods of finite differences, we first select a mesh:
o = Xo < Xl < ... < Xn+1 = Ll < Xn+2 < ... < Xn+m +l = Ll + L2
The various derivatives are replaced by the following difference quotients:
Ut(Xi; t) is replaced by u.(t +~! - u,(t)

UHl(t) + U.-l(t) - 2u,(t)
U:z;:z;(Xi; t) is replaced by
(~X)2
Ux(Ll - 0) is replaced by Un+l(t) - un(t)

~x
Un +2(t) - Un+l (t)
Ux(Ll + 0) is replaced by ~x
Substituting these in the previous equations and solving, we obtain the following
system of equations for the solution:
uo(t) = 0, Un+m+l (t) = 0
n+25i~n+m
(7.2.11)
Thus, to obtain the solution, we first obtain UI (t), ... ,un(t) from (7.2.9). Next
we obtain Un+2(t), ... , un+m(t) from (7.2.10). Finally, we obtain Un+l (t) from the
interface condition (7.2.11).
tion Ut = U:z;x for 0 < x < ~ and Ut = ~uxx for ~ < x < 1 with the boundary
conditions u(O; t) = 0, u(l; t) = 0 and the initial condition u(x; 0) = 4x. Use the
mesh size ~x = ~, 6.t = i2.
Solution. We have KJ = 1, K2 = ~, KI~t/(~x)2 = ~, K2~t/(6.X)2 = ~,
and the previous equations become
uo(t) = 0, U4(t) = 0
1 1
Ul(t + ~t) = 2uo(t) + 2U2(t)
111
U3(t + ~t} = 4U2(t) + 4U4(t) + 2U3(t)
2 1
U2(t) = SUI (t) + SU3(t)
Solving these equations yields the following table of values for t = 0, i2, is, 12, k
t x=O x= 1/4 x =
1/2 x = 374 x=1
0 0 1.0 2.0 3.0 4.0
1/32 0 1.00 1.67 3.00 0
1/16 0 0.83 1.19 1.92 0
3/32 0 0.60 0.82 1.26 0
1/8 0 0.41 0.55 0.83 0

One can also treat the wave equation Utt = c?uxx using the method of finite
differences. We choose a mesh and replace the derivatives by the appropriate
difference quotients, to obtain the system of equations
Ui(t + ~t) + Ui(t - ~t) - 2u,(t) 2 UHl (t) + Ui-l (t) - 2u.(t)
(~t)2 =c (LlX)2
If we choose Llt, Llx so that Llx/ Llt = c, these equations simplify to
Ui(t + ~t) + Ui(t - Llt) = Ui+l(t) + U,-l(t)
This system of difference equations has the general solution
Ui(t) = f(x, + ct) + g(x, - ct)
which is the same as the general solution of the wave equation obtained in Chap-
ter 5 in connection with the vibrating string (see Exercise 8 below)
EXERCISES 7.2
1. Find the approximate numerical solution of the initial-boundary-value prob-

lem for the heat equation Ut = 4uxx for t > 0, 0 < x < 1 with the boundary
conditions u(O; t) = 0, u(l; t) = 0 and the initial condition u(x; 0) = sin 1rX.
Use the mesh size Llx = Llt =i, it
and compute the solution for t = 0,
t= ii, t = -f2, t =/4, t = ~. Compare this with the exact solution.
lem for the heat equation Ut = Uxx for t > 0, 0 < x < 1 with the boundary
conditions u(O; t) = 0, u x (l; t) = 0 and the initial condition u(x; 0) = 4x.
t, i2
Use the mesh size Llx = ~t = and compute the solution for t = 0,
t- 1 t- 1 t- 3 t- l
- 32' - 16' - 32' - S'
lem for the heat equation Ut = U xx for t > 0, 0 < x < 1 with the (time-
dependent) boundary conditions u(O; t) = t, u(l; t) = t and the initial
condition u(x; 0) = O. Use the mesh size Llx = 0.1, fl.t = 0.01 and com-
pute the solution for t = 0.1,0.2, ... ,0.9,1.0.
7.3. EQUATIONS IN SEVERAL DIMENSIONS 403
4. For each of the following equations, suppose that the mesh size Ilx is given.
In each case, derive an appropriate stability condition and find the largest
time step Ilt that satisfies the stability condition. (You are not required
to find the approximate numerical solution.)
(a) Ut = ~uxx
(b) Ut = U xxxx
(c) Ut = U xx + 3ux
(d) Ut = U xx - 4u

lem for the heat equation Ut = U xx for t > 0, 0 < x < 1 with the
boundary conditions u(O; t) = 0, u(l; t) = 0 and the initial condition
u(x; 0) = 4x(1 - x). Use the mesh size Ilx = 0.1, Ilt = 0.005 and compute
the solution for t = 0.005,0.010, ... ,0.100.
6. Consider the heat equation Ut = K U xx with the boundary conditions

u(O; t) = 0, u(L; t) = O. Recall that the relaxation time, from Chapter 2,
is given by T = L2/ (7r2 K). Assuming that an approximate numerical so-
lution has been found with the largest possible time step Ilt, how many
time steps N are necessary so that N I.lt = T?

lem for the heat equation Ut = U xx for t > 0, 0 < x < 4and Ut = 4uxx for
t > 0, ~ < x < 1 with the boundary conditions u(O; t) = 0, u(l; t) = 0 and
the initial condition u(x; 0) = 4x. Use the mesh size t:1x = h Ilt = -l2.
8. Show that any function of the form u,(t) = f(Xi + ct) + g(x, - ct) is a
solution of the system of difference equations Ui(t + t:1t) + Ui(t - t:1t) =
Ut+ 1 (t) + U,-l (t), provided that Ilx / Ilt = c.
7.3. Equations in Several Dimensions

In this section we formulate and obtain the numerical solution of the heat equation
and the Laplace equation in two and three dimensions. The methods are adapted
to domains of arbitrary shape, many of which do not lend themselves naturally
to a solution by separation of variables. Hence numerical solutions become an
indispensable tool in obtaining the solution of the boundary-value problem.
We consider first the two-dimensional case. To study either the heat equation
or the Laplace equation, we must obtain a suitable finite difference replacement
for the Laplacian V 2 u = U xx + U yy There are many ways of doing this, and
we choose the simplest, consistent with our treatment in Sec. 7.2. We choose
a mesh of points (XI) YJ) with X,+! - X, = t:1x, YHI - Yi = t:1y and set u'J =
U(x" Yj). Making the usual replacements for Uxx and UY1I , we obtain the following
replacement for V 2 u:
Us+IJ + Us-I,J - 2us,J US,J+I + Ui,J-l - 2u s,J
(~X)2 + (~y)2
If the mesh sizes have a common value ~x = ~y = h, then the formula simplifies
to
U,+l", + Ui-l,] + U,,,,+l + U,,]-l - 4Ui,J
h2
This can be paraphrased as follows. We take the average of U at the four neigh-
boring points (i + I,j), (i -I,j), (i,j + 1), (i,j - 1) and subtract the value of U
at the base point (i,j) (see Fig. 7.3.1).
I
(i,j+l)
(i,j)
(; -l,j) (i+ 1.})
(i,j-l)
FIGURE 7.3.1 Computational molecule for the Laplacian.
7.3.1. Heat equation in a triangular region. We now consider the heat

equation Ut = KV 2u. Replacing Ut by [Ui,J(t + ~t) - u,,.,(t)]/ ~t, we obtain the
finite difference equation
Us,J(t + ~t) - u',J (t) = K U,+l,J + Ua-I,J + U',J+I + U',J-l - 4u'J
~t ~
which is solved to yield
K~t
u,,}(t + ~t) = /i2[U t H,}(t) + U,-l,J(t) + U',J+l(t) + U',J-l(t)]
(, 4K~t)
+ ~- ~ u',J(t)
This is a weighted average of the five displayed values, provided 4K ~t/h2 ~ 1,

which is the appropriate stability condition for the two-dimensional heat equa-
tion. When this is satisfied, the approximate numerical solutions obtained can
be expected to yield a suitable approximation to the true solution when the mesh
size is small.
EXAMPLE 7.3.1. Solve the heat equation Ut = U xx + u yy Jor t > 0 in the

triangular region 0 < x < y < 1 with the boundary conditions that u = 0 on the
three sides x = 0, y = 1, andx = y. Use the initial conditionu(x, y, 0) = 8x(1-y)
and the mesh size h = ~x = ~y = ~t = ~. i,
Solution. We have K~t/h2 = ~ and the difference scheme
1
U,j(t + ~t) = 4(U,+1,J + Ui-l,J + Ui,j-l + Ui,J+l)(t)
The numerical values are represented in the triangular tables in Fig. 7.3.2, cor-
responding to t = 0, t = t = ii,
t = t = i2, tr, is
x x x
y J
4 Y 0 i t 14 Y 0
1 1 1
14
l 1
J
i
1
~ 2 2
1 1
J 4 4
0 0 0
X X
I 1- ] I I 1
Y 0 '4 2 '4. Y 0 '4 "2 '4
1 1]
~ 'i
! t
.1
4 t
0 0
FIGURE 7.3.2 Numerical solution of the heat equation.

7.3.2. Laplace's equation in a triangular region. The numerical solu-
tion of the heat equation is characterized by an explicit procedure; i.e., the values
of u,,j(t + ~t) are obtained explicitly as linear combinations of Uk,t(t) for certain
values of (k, l). This feature is not present in the numerical solution of Laplace's
equation, where we must solve a system of linear equations to obtain the approx-
imate numerical solution. Consider, for example, the following boundary-value
problem for Laplace's equation in the triangular region 0 < x < y < 1:
uxx+uyy = 0 O<x<y< 1
u(O,y) = hey) 0<y<1
u(x,l) = hex) 0<x <1
u(x,x) = J3(X) 0<x <1
To solve this problem by the method of finite differences, we take a mesh with
h = ~x = ~y = l/N and replace u(i/N,j/N) by u',J. The Laplace equation is
replaced by the difference equation

uHl,J + Ui-l,j + Ui,j+l + u',J-t - 0<i <j <N
4u,,J =0
and the boundary conditions are replaced by the equations
uO,J = h(i/N)0~j ~N
U"N = h (i/ N)
0<i ~ N
Ui,t = /a(i/N) 0<i <N
This is a system of (N + 1) (N + 2) /2 equations for the unknowns Ui", 0 ~ i ~ j ~
N. It can be shown that this system of linear equations has a unique solution
for any choice of the functions It, 12, /a. If N is small, the solution can be found
by elementary linear algebra. If N is large, it may be necessary to do extensive
machine computation in order to obtain the approximate numerical solution.
EXAMPLE 7.3.2. Find the approximate numerical solution of Laplace's equa-
= 0 in the triangle 0 <
tion U xx + U yy x < Y < 1 with the boundary con-
ditions u(O, y)= 0, u(x,l) = x(l - x), and u(x, x) = O. Use the mesh size
h = I1x = l1y = i.
Solution. Replacing u(i/4,j/4) by u',J' we have the equations
Utt + Ul3 + U02 + U22 - 4U12 = 0
U12 + U14 + U03 + U23 - 4U13 = 0
U22 + U24 + Ul3 + U33 - 4U23 = 0
UOO = 0, UOl = 0, U02 = 0, U03 = 0, UQ4 =0

3 1 3
U14 =
16' U24 = 4' U34 = 16' U44 = 0
Uu = 0, U22 = 0, U33 = 0
Making the appropriate substitutions, we have

3 1
Ut3 - 4U12 = 0, U12 + 16 + U23 - 4U13 = 0, 4 + Ul3 - 4U23 = 0
The solution of this system of three equations is U12 = ~,Ul3 = h, U23 = 1~2'
For larger values of N, this numerical method for solving Laplace's equation
leads to large systems of linear equations that may be difficult to solve. To deal
with such cases, we regard the solution of Laplace's equation as the limit of the
solution of the heat equation when the time becomes large. In symbols,
u(x, y) = lim u(x, y; t)
t-+oo
The function u(x, Yj t) is the solution of the heat equation Ut = K(u xx + u yy ),

satisfying the same boundary conditions as u(x, y) and with an arbitrary initial
condition-for example, u(x, y; 0) = O. By an appropriate choice of the initial
conditions we can obtain an effective numerical algorithm for an approximate

numerical solution of Laplace's equation.
We illustrate these ideas with the following numerical example.
EXAMPLE 7.3.3. Find the approximate numerical solution of Laplace's equa-

tion in the triangle 0 < x < y < 1 with the boundary conditions u(O, y) = 0,
u(x, 1) = 1, U(x, x) = O. Use the mesh size h = Llx = Lly = ~.
Solution. We solve the heat equation Ut = U xx + u yy numerically, with

the initial condition u(x, y; 0) = 0 and with the same boundary conditions:
u(O, y; t) = 0, u(x, 1; t) = 1, u(x, x; t) = O. Choosing tJ.t = 1!4 gives the dif-
ference scheme U'3(t + Llt) = ~(Ui+l,J + U,-lJ + Ui,j-l + u',J+1)(t). Figure 7.3.3
presents numerical tables giving the values of the first five iterations, correct to
three decmals, for t = 0, f2'~' -h, f2 . The values UOS, US6, and Uoo are not
7\, f2,
listed, since they are not used in the iterations.
y 2 Y
x ot 1
I I
2' 1
J..
6 X
I
o t 1 2' 1 J.. I 2
6
1 1 1 1 1 1
5
"6
S
"6 o 0.250 0.250 0.250 0.250 0
1
2 1.
)
o0 0 0 0
1.
2
I
2'
o0 0 0
1.
3 J
I o0 0
I I 0 iteration
"6 '6
0 0
y Y
x ot I
1
I
2'
2
1
J..
6 X ot 1
I
2'
I 2
l' il
1 1 1 1 1 1 1 1 1 1 1 1
J.. 0.313 0.375 0.375 0.375 0 J.. 0.359 0.438 0.453 0.343 0
6 6
2 0.063 0.063 0.063 0 2 0.094 O.ns 0.169 0
l' l'
t 0 0 0 I 0.016 0.016 0
2' 2'
I 0 0 1. 0 0
l' 3
I iteration I 0 iteration
"6 "6
0 0
y Y
x ot I
l'
I
2'
2
l'
5
"6 x ot l'
I I
2'
2
l'
J..
6
1 1 1 1 1 1 1 1 1 1 1 1
s 0.383 0.484 0.473 0.348 0 s 0 0.402 0.505 0.494 0.368 0
"6 "6
.1. 0.125 0.164 0.145 0 2 0 0.144 0.197 0.159 0
3 l'
.1. 1. 0 0.041 0.048 0
2 2
1.
)
.1. 0 0.007 0
J
I iteration I o 0 iteration
'6 "6
0 0
FIGURE 1.3.3 From the heat equation to Laplace's equation.
EXERCISES 7.3
1. Obtain the approximate numerical solution of the heat equation Ut = U:z;:z; +

U yy in the square 0 < x < 1, 0 < y < 1 with the boundary condition
u(x, y; t) = 0 on all four sides and the initial condition u(x, y; 0) = 8xy.
l,
Use the mesh size D.x = D.y = D.t = ~ and solve for 0 :::; t ~ k.
2. Obtain the approximate numerical solution of the heat equation Ut = u:z;:z;+
u yy in the L-shaped region obtained by removing the square 0 < x < 1, 0 <
y < 1 from the square 0 < x < 2,0 < y < 2. Use the boundary condition
u(x, Yj t) = 0 on all six sides and the initial condition u(x, Yi 0) = 4x + 2y.
Use the mesh size D.x = D.y = h D.t =i4 and solve for 0 ~ t ~ k
3. Obtain the approximate numerical solution of the Laplace equation U:z;:z; +
U yy = 0 in the square 0 < x < 1,0 < Y < 1 with the boundary conditions
u(x,O) = 0, u(x,l) = 0, u(O, y) = 0, u(l, y) = 1. Use the mesh size
l
D.x = D.y = and explicitly solve the resulting system of linear equations.
4. Solve Exercise 3 by the iterative method of Example 7.3.3 by solving the
heat equation with the initial condition u(x, Yi 0) = O. Compare the result
of five iterations with the result obtained in Exercise 3.
5. Solve Exercise 3 with the mesh size D.x = D.y = to by using the iterative
method of Example 7.3.3, using five iterations.
6. Without reference to numerical solutions, sketch a proof of the following
theorem, implicit in Example 7.3.3: Suppose that u{x, Yi t) is a solution of
the heat equation Ut = K(u:z;:z; + uyy ) in the square 0 < x < 1, 0 < Y < 1
with boundary conditions u(O, Y; t) = fl (y), u(l, Yj t) = h{y), u{x, OJ t) =
f3(X), u(x, 1; t) = f4(x). Then limt-400 u{x, Y; t) = u(x, Y), the solution of
Laplace's equation with the same boundary conditions.
7. In Exercise 6, replace the square by the triangle 0 < x < y < 1. State and
prove a theorem analogous to Exercise 6.
8. Formulate a difference scheme to obtain the approximate numerical solu-
tion of the heat equation Ut = K(u:z;:z; + u yy + uzz) in the three-dimensional
cube 0 < x < 1, 0 < y < 1, 0 < Z < 1. Formulate an appropriate stability
condition for the difference scheme.
9. Obtain the approximate numerical solution of Exercise 8 when the bound-
ary condition is u(x, y, Zj t) = 0 on all six faces and the initial condition is
i
u(x, y, Zj 0) = 1. Use the mesh size D.x = D.y = D.z = and the largest
possible time step D.t consistent with the stability condition.
10. Formulate the approximate numerical solution of Laplace's equation U:z;:z; =
uY1l + U zz = 0 in the three-dimensional cube 0 < x < 1, 0 < y < 1,
l.
o < Z < 1 corresponding to the mesh size D.x = D.y = D.z = How many
simultaneous linear equations must one solve to obtain an approximate
numerical solution by this method?
7.4. VARIATIONAL METHODS 409
7.4. Variational Methods

The method of finite differences is well suited to numerical approximations in
domains with a rectangular boundary. When we turn to regions with a more
general polygonal or curvilinear boundary, other methods are more efficient for
obtaining numerical approximations.
Many solutions of partial differential equations that come from physics can be
characterized as solutions of variational problems, where one is required to min-
imize a certain functional with boundary conditions. This immediately suggests
many constructive approaches for finding an approximate solution.
7.4.1. Variational formulation of Poisson's equation. Consider the so-

lution of Poisson's equation V 2u = -p in the interior of a bounded three-
dimensional region D, with the condition that u = 0 on the boundary, denoted
aD. We claim that this solution can be obtained as the solution of the following
minimization problem; minimize
subject to u = 0 on aD. Indeed, suppose that there exists a smooth function

uo(x, y, z) that achieves the stated minimum, in competition with all smooth
functions that satisfy the boundary condition. We have to show that Uo satisfies
Poisson's equation.
To do this, consider the function Uo + v, where > 0 and v(x, y, z) is any
smooth function that satisfies the boundary condition. By hypothesis
Expanding the left side and simplifying, we have the inequality
llL Vito' Vu + ~<2IvvI2 - <PV) dV ~0

This quadratic function of f has a minimum when = 0; hence the derivative
must be zero, which is written
The first term can be transformed using the boundary condition v = 0 and the
divergence theorem as follows:
o= I1D v(V",, n)dS
= IlL div(vVuo)dV
= IlL (vV
2
"" + Vv Vuo)dV
= IlL v( V2Uo+p)dV
In order to conclude that V2uo + p = 0, we develop the following useful principle.
LEMMA 7.4.1. (Fundamental lemma of the calculus of variations).

Suppose that w(P) = w(x, y, z) is a continuous function in a region D such
that
IlL <p(P)w(P) dV = IlL <p(x,y,z)w(x,y,z)dxdydz = 0
for all differentiable functions t.p for which t.p = 0 on aD. Then w(x, y, z) =0
inDo
Proof. Suppose w(Po) > O. Then there is some 0 > 0 such that 0 <
dist(Po, aD) and w(P) ~ w(Po)/2 for IP - Pol < o. Let t.p(P) = (02 -IP - Po12)2
for IP - Pol < 0 and t.p(P) = 0 elsewhere. Then t.p is differentiable in D and we
can apply the hypothesis to obtain
o= IlL <p(P)w(P) dV
= rrr t.p(P)w(P)dV
JJJIP-Pold
~ rrr t.p(P)w(P)dV
JJJP- Pol<6/2
I
~ Iw(Po)1 r r r t.p(P) dV
2 JJJ IP - Pold/2
But t.p(P) > 0 when IP - Pol < 0/2, which implies that the final integral is
positive-a contradiction. If instead we assume that w(Po) < 0, the above ar-
gument can be applied to -w(P); in either case we obtain the conclusion that
w(Po) = 0, which was to be proved .
7.4.2. More general variational problems. Going beyond the simple

case of Poisson's equation, we consider the problem of minimizing the more gen-
eral functional
J(u) := III F(x,y,z,u,u.,u.,u.)dV
wah the condition that on the boundary aD we have u = f, a given continuous
function.
The corresponding partial differential equation is the Euler-Lagrange equation
associated with the functional I. In detail, this is written
8xFs + 8yF6 + 8r. F7 = F4
where F4 , Fs , F6 , F7 refer to the partial derivatives of F with respect to the
variables u, u x, Uy, u z , respectively. In the case of Poisson's equation, we have
F = 4(u; + u; + u~} - pu with F4 = -p, Fs = uX , F6 = Uy, F7 = u z
EXAMPLE 7.4.1. Consider the functional
/(u) = III [~(u! + u~ + u~ + du

2
) + auu" + buu. + cuUz - pu] dV
where a, b, c, d are differentiable functions. Find the Euler-Lagrange equation.
Solution. We have F4 = du + au x + buy + CU l. - p, while Fs = U x + au,
F6 = uy + bu, F7 = U l. + cu. The Euler-Lagrange equation is
(u x + au}x + (u y + bu}y + (u l. + cu}z = du + au x + buy + CU l. - P
When we expand the derivatives on the left side and simplify, the result is the
equation
V 2 u + (ax + by + C l. - d}u = -p
7.4.3. Variational formulation of eigenvalue probems. As a second
illustration of variational methods, consider the problem of determining the vi-
brating frequencies of a two-dimensional region. These are the eigenvalues (An)
obtained by solving the boundary-value problem V 2 u+ AU = 0 with the condition
that u = 0 on the boundary.
The variational approach begins with the functional
ffD(u; + u;} dxdy
u =
I () ---"',--=-~'----
ffDu2dxdy
Suppose that I(u} has a minimum when u = uo, in competition with all smooth
functions that are zero on the boundary. We will show that V2uo + Al Uo = 0,
where Al = I(uo}.
To show this, we write the hypothesis in the form
Ii IV(uo + 2
w)1 dxdy ~ Al Il1uo + wl2dxdy
where v is an arbitrary smooth function with v = 0 on aD and f is an arbitrary

real number. Expanding and simplifying, we have
2< Il (V",, Vv - A\uov)dxdy +,' Il (IVvl' - A\v')dxdy 2: 0

This quadratic function has a minimum at f = 0; hence the first integral is zero.
Transforming the first term by the divergence theorem as before and using the
boundary condition v = 0, we obtain the condition
o= 11 v(V'uo + A\ ",,)dx dy = 0
Since this holds for all smooth functions that satisfy the boundary condition
v = 0, we may apply the fundamental lemma of the calculus of variations to
conclude that the term in parentheses is identically zero. Thus V2uo + A~Uo = 0,
as required.
We observe in passing that Al must be the smallest eigenvalue of the region
D with the given boundary conditions. Indeed, suppose A2 is another eigenvalue,
associated with the equation V 2 w + A2W = O. Then by applying the divergence
theorem and the boundary conditions, we obtain A2 = I(w). But the minimum of
J is obtained as the value AI, from which we conclude that A2 ~ AI, as required.
7.4.4. Variational problems, minimization, and critical points. The

critical points of a functional are, by definition, the points Uo where the first
derivative is zero. In detail,
lim I(uo + v) - J(uo) =0
(-+0
for all admissible directions v. As in elementary calculus, it is not true that all
critical points of a function(al) correspond to maxima or minima. Nevertheless,
it has been found extremely useful to formulate many of the basic principles of
mechanics as variational principles, namely, to find the critical points of a func-
tional. In static, time-independent problems, these often correspond to maxima
or minima of the functional. But in dynamic, time-dependent problems this is
often not the case. A prototype example relative to the vibrating string is the
Euler-Lagrange equation corresponding to the functional
I(u) = [{(eu; - u~)dxdt

with the boundary conditions u(O; t) = 0, u(L; t) = 0, u(x; 0) = A(x), u(T; x) =
B(x), given functions. The associated Euler-Lagrange equation is the wave equa-
tion Utt = c2 u:u ;, so that any critical point of J(u) must satisfy the wave equation.
But there are many solutions of the wave equation that are critical points of
I (u) not corresponding to local maxima or minima. The exercises below provide
further details.
EXERCISES 7.4
1. Let D be a two-dimensional region, and let Uo be the solution of Poisson's

equation u%% + U yy = -p in D with u = 0 on aD. Show that J(u) ~ J(uo)
where
2. Let D be a three-dimensional region and let
[(u) = IlL [~(AU~ + Bu~ +Cu~ + Du2 ) - pu] dxdydz

Suppose that Uo is a smooth function that minimizes J(u) in competition
with all smooth functions that are zero on aD. Prove that Uo satisfies the
equation (Au%)x + (Buy}y + (Cuz)z = -p in D.
3. Let D be a two-dimensional region and let
[(u) = IL [~(AU~ + 2Bux u. +Cu~ + Du2 ) - pu] dxdy

Suppose Uo is a smooth function that minimizes J(u) in competition with
all once-differentiable functions that are zero on aD. Prove that Uo satisfies
the equation (Au% + Buy)y + (Bu% + CUy)y + Du = -p in D.
[(u) = IL J1+u~+u~ dxdy
(the surface area functional). Suppose that Uo is a twice-differentiable

function that minimizes /(u) in competition with all twice-differentiable
functions for which u = f on aD. Prove that Uo satisfies the equation
(1 + u;)u%% + (1 + u;)uyy - 2u%uyu%y = 0

This is called the minimal surface equation.
[(u) = IL [~(u + 1Lyu)2 + pu] dxdy
where p is a continuous function. Suppose that Uo is a smooth function

that minimizes /(u) in competition with all twice-differentiable functions
for which u = 0 and Bu/an = 0 on aD. Prove that Uo satisfies the equation
V2V2UO = -p in D.
[(u) = Ii [~(u~ +u~) - pu] dxdy
Suppose that 1.0 is a smooth function that minimizes /(1.) in competiton

with all once-differentiable functions u (assuming no boundary conditions).
Prove that
(a) V2uo = -p in D
(b) au/an = 0 on aD
(c) IID p( x, y) dx dy = 0
[(u) = Ii [~(u~ +u~) - pu] dxdy - laD !(S)U(S) ds

where 1 is a given continuous function on aD. Suppose that Uo is a smooth
function that minimizes /(u) in competition with all once-differentiable
functions u (assuming no boundary conditions). Prove that
(a) V2uo = -p in D
(b) auo/an = 1 on aD
[(u) = Ii [~(u! + u~) - pu] dxdy -laD (f(s)u(s) - g(S)U(S)2) ds
where 1(s),g(s) are given continuous functions on aD. Suppose that Uo

is a smooth function that minimizes /(u) in competition with all once-
differentiable functions. Find the partial differential equation satisfied
by uo.
9. Repeat the previous exercise for the functional
[(u) = Ii rp(x,y,u,u..... )dxdy + laD 'I/J(s, u,au/8s) ds

to find the partial differential equation and boundary condition satisfied
by uo. Assume the necessary smoothness of cp and 1/J.
The following exercises provide examples in which the solution of the Euler-
Lagrange equation is not a maximum or minimum of the functional whose sta-
tionarity is sought. This clarifies the "principle of least action" in mechanics.
Exercises 10 and 11 treat the simple harmonic oscillator, and Exercise 12 treats
the wave equation.
10. Consider the functional IT(u) = IoT[u l (t)2 - u(t)2]dt with the boundary
conditions u(O) = A, u(T) = B.
(a) Show that any minimum Uo must satisy the equation 1." + u = O.
7.S. APPROXIMATE METHODS OF RITZ AND KANTOROVICH 415
(b) If T =F 11', 211', .. , show that there is a unique solution v of the

=
equation u" + U 0 satisfying the boundary conditions.
(c) If u(t) = vet) + 2:~=1 en sin(n1l't/T) is another competing function,
show that
lr(u) = Ir(v) + ~ ~c! [c;r -1]

(d) Conclude that if T < x, then Ir(u) ~ Ir(v) with equality if and
only if u(t) == vet).
11. With the same choice of IT(U), show that ifT > 11', we have supIT(u) =
+00, inf IT(u) = -00. Hence we have no maximum or minimum in case
T > 1r.
12. Consider the functional
= [[(u; - u~)dxdt
lr(u)
with the boundary conditions u(O; t) = 0, u(1I'j t) = 0, u(x; 0) = 0, u(x; T) =
Bsinx.
(a) Show that the Euler-Lagrange equation is the wave equation Utt =
U xx and solve it if T is not of the form 11', 211', 311', ...
(b) Compute the value of IT(u) for a function of the form u(x; t) =
(Bt/T)sinx + asinNxsin(k1l't/T) where N,k are integers and a is any
constant.
(c) By choosing k, N, a appropriately, show that we have inf I T ( u) =
-00, sup IT(U) = +00 over the indicated class of functions, for any T > 0,
no matter how small. Therefore there is no maximum or minimum in this
variation problem, for any T > O.
13. (Exercise 10 without Parseval's theorem) Let T < 11' and define the function
<pet) = cot[t + (11' - T)/2J for 0 < t < T, so that <P' + 1 = _<p2.
(a) Prove the identity
for (u' - cpu)2 dt = lr(u) - !p2 ulij
for any differentiable function u(t), 0 ~ t ~ T.

(b) Conclude that if T < 11', the functional IT(u) is bounded below by
a constant, for all differentiable functions u(t), 0 ~ t ~ T, satisfying the
boundary conditions u(O) = A, u(T) = B.
7.5. Approximate Methods of Ritz and Kantorovich

Having established the theoretical connection between certain partial differential
equations and related minimization problems, we now turn to some approximate
methods of solution. All such methods involve the use of trial solutions, which
are functions that satisfy the boundary conditions and are determined by addi-
tional conditions that make them close to the desired minimum. These additional
conditions may be obtained by means such as
Solution of a minimum problem in a finite number of parameters
Orthogonality conditions in a finite number of parameters
Solution of a related ordinary differential equation
Combinations of the above three methods
In this section we discuss the methods of Ritz and Kantorovich, both of which
invol ve minimization in a finite number of parameters. In Sec. 7.6 we proceed to
the Galerkin method and the finite element method, which involve orthogonality
relations in a finite number of parameters.
7.5.1. The Ritz method: Rectangular regions. The general idea behind
the Ritz method is to look for a trial solution in the form
u(x, y, z) = U(x, y, Z; CIt C2, , en)
which satisfies the boundary condition identically, where Cl, . , Cn are parameters
that may be adjusted. If we substitute this function into the variational problem,
we obtain the problem of minimizing a function of a finite number of parameters,
namely,
<1>(c" ... ,c..) = ffl F(x, y, Z; U, uz , u.' u.) dx dy dz
We minimize this function of n parameters by setting the partial derivatives to

zero:
a~
-a (CI,'''' en) = 0
Ci
We then substitute these values of CIt . , en into the function u to find the ap-
proximate minimizer. We illustrate the method with a problem in two variables.
EXAMPLE 7.5.1. Find the approximate solution of Poisson's equation V 2u =
-p in the square Ixl < a, Iyl < a with the boundary condition u = 0, where p is
a constant. Use the trial solution u = c(x2 - a2)(y2 - a2 ).
Solution. We have U x = 2CX(y2 - a2), uy = 2CY(X2 - a2), (u~ + u~)/2 =
2c2(x 4 y2 +X2y4 -4a2x 2y2+a4 x 2 _a4 y2), which leads to (1/2) II(u~ +u;) dx dy =
(128/45)a 8c2 Likewise II pudxdy = (16/9)pca 6 Thus we are required to
minimize the function ~(c) = (128/45)a 8c2 - (16/9)pca 6 The required mimi-
mum is attained at C = (5/16)p/a 2, which gives the required trial solution with
~(c) = -(5/18)ra4 '" -O.277p2 a4
7.5. APPROXIMATE METHODS OF RITZ AND KANTOROVICH 417
EXAMPLE 7.5.2. Find the approximate solution of Poisson's equation V 2 u =

-p in the square Ixl < a, Iyl < a with the boundary condition u = 0, where p
is a constant. Use a trial solution of the form u = ccos{1rx/2a) cos{1ry/2a) and
compare with Example 7.5.1.
Solution. We have
Uz = -(C1r /2a) sin{1rx/2a) cos(7ry/2a), uy = -(C1r /2a) cos(1rx/2a) sin(1ry/2a)
which leads to (1/2) JJ(u;+u;) dxdy = 7r c? /4. Likewise II pu dxdy = pc(4a/1r)2.
2
Thus we are required to minimize the function (c) = 1r2c2/4 - (pc) (4a/1r)2. The
required minimum is attained at c = 32pa2/1r\ which gives the required trial so-
lution with (c) = -{256/1r6 )p2a4 '" -0.266ra\ which is 4 percent larger than
the minimum obtained in Example 7.5.1.
We note here that the Ritz method may be applied to problems in any number
of variables. In particular, it may be applied to variational problems for ordinary
differential equations (see the exercises).
7.5.2. The Kantorovich method: Rectangular regions. This method
begins with a trial solution that contains one or more arbitrary junctions and
that identically satisfies the boundary conditions. The functions are chosen to
solve the Euler-Lagrange equation that results from minimizing the composite
functional.
EXAMPLE 7.5.3. Find the approximate solution of Poisson's equation V 2 u =
-p in the square Ixl < a, Iyl < a with the boundary condition u = 0, where p is
a constant. Use a trial solution of the form u = (a2 - y2)c{X) where c(x) is an
arbitrary junction.
Solution. We have Uz = (a 2 - y2)c'(X), Uy = -2y c(x) and thus
Ii G(u~ + u~) - pu) dxdy=1: (~~ c'(X)2 + 4;3 C(X)2 - P
4 ;" c(X)) dx
The Euler-Lagrange equation for this functional is c"(x) = (5/2a 2)c(x)-(5p/4a2 ).

The solution with the boundary conditions c( -a) = 0, c(a) = 0 is c(x) =
(p/2){1 - cosh kx/ cosh ka) where ka = y'572 '" 1.58.
In order to compute J{u), we note that if we multiply the Euler-Lagrange
equation by c{x) and integrate by parts, we obtain
[ : (C'(X)2 + (5/2a2)c(x)2) dx = (5P/4a2) 1: c(x) dx
so that for this solution we have
[(u) = -(2/3)pa3 [ : c(x) dx

A direct calculation yields
so that
1 4
-a c(x) dx = 2"p ( 2a - 2sinhka)
k cosh ka = (0.42)pa
J(u) = -(2/3)pa3 (0.42pa) rv (-O.28)p2 a4

which is a smaller value than the one obtained in Example 7.5.1 or 7.5.2 .
EXAMPLE 7.5.4. Find the approximate solution of Poisson's equation U xx +
U yy = -p in the square Ixl < a, Iyl < a with the boundary condition that u = 0 on
all four sides. Use trial solutions of the fonn u = 2:;=0 c, (x) cos [(j + 4) 1ry / a] .
Solution. For this trial solution, we have
u% = ~ s{x) cos [(i+ Dor:]

Uy = - t. Cj{X) (j + D~ sin [(j Dor:]
+
l{u) = II [u~; u~ - pu] dxdy

= t1 [ac~(x)2 + (j + ~)2 C~~y - aPCj{x/-l~ (!:)] dx
a
,=0 -a a + J 2 1r
(;)
The Euler-Lagrange equation is
i;{x) = (i+ ~r (~)\{x) - ~~lr

The unique solution that satisfies the boundary conditions c,( -a) = 0 = c,(a) is
c (x) = [P(-l)i
:1 (j + ~)3
(~)3]
1r
(1- cosh(j + ~)(1rx/a))
cosh[(j + ~)1r]
Note that the resulting function u(x, y) is the Nth partial sum of the Fourier
representation of the solution of Poisson's equation.-
Unlike the Ritz method, the Kantorovich method can be applied only in two
or more variables. It is specifially suited to partial differential equations, and has
no counterpart for ordinary differential equations.
7.5. APPROXIMATE METHODS OF RITZ AND KANTOROVICH 419
EXERCISES 7.5
1. Use the Ritz method to find an approximate minimum of the functional
leu) = 101 [u'(t)2 - u(t)2 - 2tu(t)] dt with the boundary conditions u(O) =
u(l) = O. Use the following sets of trial functions:
(a) U(t) = eot(l - t)
(b) U(t) = t(l - t)(eo + clt)
(c) U(t) = t(l - t)(eo + CIt + C2t2)
(d) U(t) = E:=llln sin n1Tt, where N is fixed but unspecified.
2. Use the Ritz method to find an approximate minimum of the functional
leu) = Io2[U'(t)2 + U(t)2 - 2tu(t)] dt with the boundary conditions u(O) =
u(2) = O. Use the following sets of trial functions:
(a) U(t) = cot(2 - t)
(b) U(t) = t(2 - t)(co + CIt)
(c) U(t) = t(2 - t)(eo + CIt + C2t2)
(d) U(t) = E:=l an sin(n1rt/2), where N is fixed but unspecified.
3. Use the Ritz method to find an approximate minimum for the functional
leu) = I f[~(u~+u~) -xyu] dxdy, where the integration is over the square
-1 ~ x ~ 1, -1 ~ Y ~ 1 and the boundary condition is that u = 0 on the
four sides. Use the following sets of trial functions:
(a) U(x, y) = c(l - x 2 )(l - y2)
(b) U(x, y) = (1 - x 2)(1 - y2)(eo + CIX + C2Y)
(c) U(x, y) = (1 - x 2 )(l - y2)(eo + c}x2 + C2y2)
4. Use the Ritz method to find an a.pproximate minimum for the functional
leu) = I I[~(u; + -/ftup]pdpdcp, where the integration is over the disc 0 ~
p ~ 1, -1r ~ cp ~ 1r and the boundary condition is that u = 0 when p = 1.
Use the following sets of trial functions:
(a) U(p) = e(l _ p2)
(b) U(p) = (1 - p2)(eo + CIP)
(c) U(p) = (1 - p2)(eo + CIP + C2r)
5. Consider the Sturm-Liouville eigenvalue problem cp" + AJ = 0 on the inter-
val -1 < x < 1 with the boundary conditions that cp(-I) = 0, cp(l) = O.
(a) Find (exactly) the smallest eigenvalue.
(b) Use the Ritz method with the tria.l function U(x) = I - x2 to find
a first approximation to the smallest eigenvalue, and compare it with the
exact result obtained in part (a).
(c) Refine the approximation of part (b) by using the trial function
U(x) = (1 - x2 )(l + cx2 ) and show that the error obtained is less than 1
percent.
6. Use the Kantorovich method to find an approximate minimum for the

functional /(u) = ff(Hu; + u~) - xyu] dxdy, where the integration is over
the square -1 ~ x ~ 1, -1 ~ Y ~ 1 and the boundary condition is that
u = 0 on the four sides. Use the following sets of trial functions:
(a) U(x, y) = (1 - y2)(CI (x) + y2C2(X
(b) U(x, y) = 2:::=0 cos[(n + 4)1TY] en(x), where N is fixed.
7. Use the Kantorovich method to find an approximate minimum for the
functional /(u) = ~ ff[u~ + (1/p2)u~]pdpdcp, where the integration is over
the disc 0 ~ p ~ 1, -1T ~ cp ~ 1T and the boundary condition is that u = 0
when p = 1. Use the following sets of trial functions:
(a) U(p, cp) = (1 - p2)C(cp)
(b) U(p, cp) = JO(PXl)Cl (cp) + JO(PX2)C2(CP) (x, is the ith zero of Jo.)
7.6. Orthogonality Methods

The approximation methods described in the previous section are based on min-
imization problems, which are motivated by the variational approach. On the
other hand, we may try to find an approximate solution of an elliptic boundary-
value problem in the form
N
u(x, y, z) = L Ca~t(x, y, z)
i=l
where ~,(x, y, z) are given functions that satisfy the boundary conditions and c,
are parameters that are to be found from suitable orthogonality relations. In case
the functions ~i are twice-differentiable, we may apply the method of Galerkin,
as discussed in the following subsection.
7.6.1. The Galerkin method: Rectangular regions. In the Galerkin
method we look for a trial solution in the form
N
U(x,y,z) = LCa~,(x,y,z)
where {,h~i$N are given twice-differentiable functions that satisfy the boundary
conditions and Ci are adjustable parameters.
Assume that we wish to solve the equation V 2u = -p with the boundary
condition u = O. If u were the true solution, we could multiply both sides of
the equation V 2 u = -p by the function tP, and apply the divergence theorem
(Green's second identity):
IlL i'P.pdxdydz = - IlL 2

i'P; V udxdydz = - IlL 2
u V i'P.dxdydz
7.6. ORTHOGONALITY METHODS 421
Now we replace u by the approximate solution U = E3 Cl~j and we are led to
rrr <Pi pdxdydz = - ECj ff1<Pj V <Pidxdydz

N
(7.6.1) 2
1 ~i ~N
JJJD 3=1 D
This is a finite system of linear equations that may be solved for the parame-
ters cI, ... , CN. The method is called an orthogonality method because (7.6.1) is
equivalent to the requirement that the trial solution U be such that V 2 U + P
is orthogonal to the linear span of {<Pih<t<N. Note that this method does not
require that we first formulate the differential equation as a variational problem.
EXAMPLE7.6.1. Find the approximate solution of Poisson's equation U:r:x +
U yy =
-p in the rectangle Ixl < a,lyl < b with the boundary condition that
U = 0 on all four sides. Use Galerkin's method with trial solutions of the form
u(x, y) = Aoo(a2 - x 2)(b2 _ y2).
Solution. We have
Lu = Uxx + u yy + p = Aoo[-2(a2 - x
2) - 2(b2 _ y2)] +P
Applying the orthogonality condition gives the equation
0= 1:1: ([-2(a2 - x 2) - 2(b2 - y2) JAoo + p) (a2 - x 2)(1l- y2) dxdy

When we perform the integrations and solve for Aoo, we obtain the value Aoo =
5p/8(a2 + b2 ) and the trial solution
5p (a 2 - x 2)(b2 _ y2)
u(x, y) = 8 a2 + b2
One may generalize the above example to trial solutions of the form
=
u(x, y) (a 2 - x 2)(b2 - y2) E
At3x2ty23
i,j
See the exercises for more details.
EXAMPLE 7.6.2. Find the approximate solution of Poisson's equation Uxx +

u yy = -p in the rectangle Ixl < a, Iyl < b with the boundary condition that u = 0
on all four sides. Use Galerkin's method with trial solutions of the form
""' m7rX n7ry
u(x,y) = L.J Amncos~COs2b
m,nodd
Solution. We have
Lu=ux:r:+Uyy+P=- L " Amn [(m7r)2

2a + (n7r)2]
2b m7rX n7ry
cos2a"cos"2b+P
m,nodd
When we integrate this against the orthogonal functions cos(m7rx/2a) cos(n7ry/2b),

we obtain the equations
!~~:(_1)(m+n)/2-1 - Amnab[ (~:r + (~;r] = 0 m,nodd
This leads to the trial solution

2
u(x, ) = 64a 1J2 ~ (_1)(m+n)/2-1 cos(m7rx/2a) cos(n7ry/2b)
y 7r 4 ~ mn(b2 m 2 + a2 n 2 )
mtnodd
We now apply Galerkin's method to find an approximate solution to the

fundamental frequency of a circular drumhead. This problem was solved exactly
in Sec. 3.4 using Bessel functions.
EXAMPLE 7.6.3. Find the approximate solution of V 2 u + Au = 0 in the circle
0< p < a in the form u = Acos[1I'P/2a].
Solution. In polar coordinates we have V 2u = u pp + {1/ p)u p + {1/ p2)UtPtP. In
this case u is independent of ljJ and we have
u = -A
p
(.!!...)
2a
sin 1I'P,
2a
u
pp
= -A (.!!...)2
2a
cos 1I'P
2a
o= {{(AU + V 2u) cos 1I'2P pdpdljJ
JJo<p<a a
= 211' J.ao [AA cos21I'P2a _ A (.!!...)2

2a
cos21I'P -
2a
A.!!... sin 1I'P cos 1I'P] pdp
2a 2a 2a
Doing the required integrations and canceling the common factor A, we have
11'2
4
(! + ~) _ Aa2 (! _~) =
2 11'2 2 11'2
0
or A = 5.832/a2 This approximate solution is to be compared with the exact

solution u = Jo(pxda), where Xl = 2.404 ... is the first zero of the Bessel function
that leads to A = 5.779/a 2
7.6.2. Nonrectangular regions. We now turn to problems in nonrectan-

gular regions. Consider the region D in the xy plane that is bounded by the
vertical lines x = a and X = b; the horizontal boundaries are defined by the
inequalities <PI (x) ~ Y ~ <P2(X), where <Ph!P2 are smooth functions. We look for
a trial solution of Poisson's equation in the form
u(x, y) = (y - !PI (x))(y - !p2(x))f(x)
where I(x), a < x < b, is to be determined from a suitable ordinary differential
equation, according to the method of Kantorovich. To find this equation, we
compute the variational integrand J = ~(u; + u;) - pu as follows:
Ux = (y - <PI (x(y - <P2(xf'(x)

- <p~ (x)(y - <P2(x))f(x) - <p~(x)(y - <PI (xf(x)
Uy = (y - <PI (xf(x) + (y - <P2(xf(x)
1
I = 2(y - <PI (X2(y - <PI (X2 J'(X)2
- f(x)f'(x)[(y - <P2(X2(y - <PI (x))<p~ (x) + (y - <PI (X2(y - <P2(X<P~(x)J
+ 1(;)2 (<p~(X)2(y _ <P2(X2 + <p~(x)2(y _ <pt(x))2)
+ f(x? (<p~ (x)<p~(x)(y - <Pt (x(y - <P2(X))
+ f(;)2 (y _ <Pl(X2 + (y - <P2(X)? + 2(y - <Pt(x)(y - <P2(X)))
- p(y - <PI (x(y - <P2(xf(x)
Making the necessary substitutions and defining <p(x) = <P2(X) - <Pl(X), w(x) =
<p~ (X)2 + <p~(X)2 - <p~ (x)<p~(x), we have
b
[12(u~ + u~) - pu1dydx = lb <p(x) dx
J(u) =
l
a
lV'2(X)
V'l(X) a
where
The Euler-Lagrange ordinary differential equations for this minimization problem

are obtained by forming the partial derivatives
8<1> f' <p5 f rp4 <p'
8f' = 3O+~
8<1> f rp3 (1 + \II) f' rp4 <p' prp3
81 = 3 +~+6
to obtain the second-order ordinary differential equation
tp2/" + 5tptp'J' + 5[~cpcpll - 2tp; cp~ - 2] f = 5p

This equation is to be solved with the boundary conditions I(a) = 0, f(b) = O.
We illustrate with an example.
u yy = -p in the trapezoid defined by the inequalities a < x < b, -kx < y < kx,
where p, k, a are positive constants with k =11.
Solution. In this case we have rpl(X) = -kx, <P2(X) = kx, <p(x) = 2kx,
with rp'(x) = 2k, rp"(X) = O. The differential equation for f(x) is k 2x 2f" +
2
5k x!, + (5/2)(k 2 -1)f = 5p/4. This is a differential equation of the Euler type,
whose general solution is of the form f(x) = Co + C1 X r1 + C2 X r2 , where rlJ r2
are the roots of the indicial equation k 2 r(r - 1) + 5k 2 r + (5/2)(k 2 - 1) = 0 and
the constants Co, Cll C 2 are determined from p and the boundary conditions. In
detail we have rl,2 = -2 (1/2)v'6 + 10 k- 2 , Co = p/2(k 2 - 1). The constants
C 1 , C 2 are then determined by solving the simultaneous system of equations 0 =
Co + Clart + C2 ar2 , 0 = Co + Clbr1 + C2 if 2
We consider the following limiting case when a = O.
U yy = -p in the isoceles triangle defined by the inequalities 0 < x < b, -kx <
y < kx where p, k are positive constants with k =I 1. Discuss the special case of
an equilateral triangle when k = 1/ va.
Solution. In this case we may dispense with the boundary condition at x = a
and determine f(x) by solving the equation k2 x 2 f" + 5k2 xl' + (5/2)(k 2 - 1)1 =
5p/4 with the boundary condition f(b) = 0, while we require that the resultant
solution be finite at x = O. This entails that we use the larger root r = -2 +
(1/2)';6 + 10k-2 The solution that satisfies the boundary condition is written in
the form f(x) = p[l - (x/brll[2(k 2 - 1)]. Since r > 2, we note that the product
f(X)(y2 - k2 x 2 ) is bounded in the triangle and tends to zero when (x, y) ~ (0,0).
In the case of an equilateral triangle we have k = 1/ va;
thus r = 1 and the
approximate solution is a polynomial, u(x, y) = -(p/2)[1 - (x/b)][(y2 - x 2 /3)].
In this case it can be verified that we have the exact solution of the problem .
7.6.3. The finite element method. In case the functions ~i(X, y, z) are
not twice-differentiable, we cannot form the functions V2~, to use Galerkin's
method as described above. However if the first derivatives of ~J are suitably
well behaved, we may apply the divergence theorem as follows. Assume that we
wish to solve the equation V 2 u = -p with the boundary condition u = 0 by an
approximate formula of the type u = E, cjiP,(x, y, z}. If u were the true solution,
we could multiply both sides of the equation V 2u = - p by the function ~, and
apply the divergence theorem (Green's first identity):
IlL iP,pdxdydz = - IlL iP, V'udxdydz = IIL ViP" Vudxdydz
Now we replace u by the approximate solution E3 cJ~J' and we are led to
(7.6.2) IlL iP, pdxdydz = ~ c,

N
IlL ViP" ViP, dxdydz 1:5 i:5 N
This is a finite system of linear equations that may be solved for the parameters
Cl, ... , CN. These equations make no reference to the second derivatives, so they
can be expected to be well defined for functions whose first partial derivatives
exist in a suitable sense. In particular, this is the case when the functions have
a polygonal profile, as described below.
In the following paragraph we illustrate the finite element method for the
two-dimensional Poisson equation
(7.6.3) V 2u = -p in D, u = 0 on aD
This will be reduced to a finite system of linear equations by the following steps:
Approximate the region D by a region DN that is the union of a finite
number of triangles. Let N be the number of interior vertices of this
system of triangles.
For each interior vertex \1;, let iP,(x, y) be the function that is equal to 1 at
the vertex \I; and equal to zero at all other vertices (interior and boundary),
and is linear inside each triangle.
Introduce the numerical approximate solution
UN(X,y) = Cl<Pl(X,y) + ... +CN~N(X,y)
where the coefficients Cl, ... ,CN will now be determined.
Require that the approximate solution UN(X, y) satisfy (7.6.2) for each
choice <PI, ... , <l> N; in other words,
i = 1, ... ,N
which is abbreviated
N
~~,jC' = Pi where ~., = 110 V~i V~jdxdy, Pi = 110 p~.dxdy

EXAMPLE 7.6.6. Apply the finite element method to find an approximate nu-
merical solution of the Poisson equation U:c:c + u yy = -1 in the rectangle 0 < x <
Ll1 0 < y < L21 where we partition the rectangle into four triangles by drawing
the diagonals y = XL2/Lb Y = L 2(L 1 - x)/L 1
Solution. In this case there is just one interior vertex, Vi = (Lt/2, L2/2).
The piecewise linear function 4>1 (x, y) is given by the formula
2x/Ll if 0 < x < Lt/2,xL 2/L l < Y < L2 (L 1 - x)/L 1
4> ( ) - 2(Ll - x)/L1 if Lt/2 < x < L.,L2 (L 1 - x)/L 1 < Y < xL2 /L 1
1 x,Y -
{ 2y/~ if 0 < Y < ~/2,Lly/L2 < X < L 1 (L 2 - y)/L2
2(L2 - y)/L2 if L2/2 < y < ~,Ll(LI - y)/~ < x < L1Y/~
The gradient is given by
4/L~ if 0 < x < L1/2,xL2/Ll < y < L 2(L 1 - x)/L 1

2 4/L2 if Ll/2 < x < Lb~(LI - x)/L 1 < y < xL2/L l
IV4>I(x,y)! = { 4/L~ if 0 < y < L2/2,L 1y/L2 < X < L 1 (L 2 - y)/L2
4/ L~ if L2/2 < y < L2, L1 (L 2 - Y)/ L2 < x < L 1y/ L2
Since each of the triangles has an area of L 1 L 2 /8, the integral of IV4>1 (x, Y)12 is
2[(4/L~)(LIL2)/8J + 2[(4/L~)(LIL2/8)] = L2/Ll + L 1/L 2. Meanwhile, the right
side of (7.6.2) is the sum of four integrals, of which the first is
Ll/21(LI-X)L2/LI2x 1Ll/2 L L
L dxdy = (2L2/Li) (Ll - 2x) dx = ~2 2
1o XL2/Ll 1 0
and similarly for the other three triangles. Combining these facts, we find for the
approximate numerical value at the center
Ll~/3 L~L~
ul(Lt/2,L2/2 ) = Ll/L2 + L2/L2 = 3(L~ + L~)
CHAPTER 8
GREEN'S FUNCTIONS
INTRODUCTION
Many boundary-value problems for linear partial differential equations may

be solved in terms of integral transforms. These formulas give explicit representa-
tions of the solutions as linear transforms of the initial and boundary conditions.
For example, the d'Alembert solution of the wave equation (Sec. 2.4), the Poisson
integral representation of the solution of Laplace's equation (Sec. 3.2), and the
Gauss-Weierstrass representation of the solution of the heat equation (Sec. 5.2)
are all of this type. The purpose of this chapter is to pursue this topic more
generally.
8.1. Green's Functions for Ordinary Differential Equations

8.1.1. An example. We begin with the simplest example to illustrate the
main ideas. This is the boundary-value problem for the ordinary differential
equation
y" = - J(x) 0<x <L
y(O) = 0 = y(L)
Here J(x), 0 < x < L, is a given piecewise smooth function. This equation may
be used to model the static transverse deflections of a string that is fixed at both
ends and subject to a spatially dependent forcing law.
To solve this problem, we use calculus to write y'(x) = - f: J(z}dz + A,
y(x) = - foX foe J(z) dz d~ + Ax + B, where A, B are constants to be determined.
The boundary conditions yield
O=O+AO+B
o=-l If(Z)dZ~+AL+B
L
L
with the conclusions B = 0, A = (1/ L) fo foe J(z) dz df,. We can reduce the
iterated integrals to single integrals by interchanging the order of integration.
Thus f: foe J(z) dz df, =f: fzx J(z) df, dz = f:(x - z)J(z) dz, and the solution is
427
428 8. GREEN'S FUNCTIONS
written as
rx; x (L
y(X) = - 10 (x - z)f(z) dz + L 10 (L - z)f(z) dz
= 10(X L(L
Z
- x)f(z) dz +
1L X
X
L(L - z)/(z) dz
= 1. G(x,z)/(z)dz
where Green's function G(x, z) is defined by
z(L - x) 0 ~ z ~ x
G(x, z) = { X(LLL- z)
x~z~L
We have obtained an explicit representation of the solution in terms of the right

member I(x), 0 < x < L, and a function G(x, z) that depends only on the
differential equation and the boundary conditions. This formula defines a linear
transform of the right member to a solution of the given problem.
Green's function has the following characteristic properties:
1. For each z, x ~ G(x, z) satisfies Gil = 0 except when x = z.
2. G satisfies the boundary conditions G(O, z) = = G(L, z).
3. G(z + O,z) - G(z - O,z) = 0

4. (8G/8x)(z + 0, z) - (8G/8x)(z - 0, z) = -1
5. G(x, z) = G(z, x)
We leave it as an exercise to show that G(x, z) is uniquely determined from
conditions 1 through 4. Note that condition 3 signifies that G is a continuous
function, while condition 4 signifies that the first derivatives are discontinuous in
a precise manner.
Green's function may also be represented by a Fourier sine series. The nth
L
Fourier sine coefficient of G is Bn (z) = (2/ L) fo G (x, z) sin (n1Tx / L )dx. By what
we have shown, this is the solution of B"(z) = -(2/L) sin(n7rz/L) with boundary

conditions B(O) = = B(L), namely, B(z) = (2/ L)(L/(n7r)]2 sin (n7rz/ L), leading
to the Fourier representation of Green's function in the form
2 (L) 2 . n7rX . n7r z

G(x,z)=L~ n7r
00
sm-y-smL
This series converges uniformly for 0 ~ x, z ~ L.

8.1. GREEN'S FUNCTIONS FOR ORDINARY DIFFERENTIAL EQUATIONS 429
8.1.2. The generic case. We now turn to the case of a general self-adjoint
second-order ordinary differential equation. Consider the boundary-value prob-
lem
(8.1.1) Ly := [P(x)y'J' + q(x)y = -f(x) a<x 0 for a :::; x :::; b, and a,
{3 are real constants. In addition, we assume that ..\ = 0 is not an eigenvalue of
the associated Sturm-Liouville eigenvalue problem.
We solve this problem by the method of variation of parameters, familiar for
ordinary differential equations. The solution is sought in the form
y(x) = Ul(X)Yl(X) + U2(X)Y2(X)
where Yl, Y2 are solutions of the homogeneous equation and the functions Ul, U2
are to be chosen. To be specific, we determine Yl, Y2 up to constant multiples by
requiring that Yl satisfy (8.1.2) and that Y2 satisfy (8.1.3). Since .A = 0 is not an
eigenvalue, we conclude that Yl, Y2 must be linearly independent. We have
Y' = UIY~ + U2Y~ + UiYl + U~Y2
The method of variation of parameters further requires that U~Yl + U~Y2 = o.
With this determination, we see that Y satisfies (8.1.2) if u2(a) = O. Similarly, Y
satisfies (8.1.3) if Ul (b) = O. To satisfy (8.1.1), we write
(py')' + qy = [P(UIY~ + U2Y~)J' + q(UIYl + U2Y2)
= Ul[(PY~)' + qYI] + U2[(PY~)' + qY2] + p(uiY~ + u~y;)
The first two terms are zero since Yl, Y2 are both solutions to the homogeneous
equation. Therefore (8.1.1) can be solved by the method of variation of parame-
ters if we have satisfied the simultaneous system
p(x)(u~y~ + u~y;) = - f(x)
U~Yl + U~Y2 = 0
These are easily solved to yield
, ( ) _ f(X)Y2(X) U' (x) = _ f(X)Yl(X)
Ul X - p(x)W(X) , 2 p(x)W(x)
where W(x) = Yl (x)y~(x) - y~ (X)Y2(X) is the wronskian of the two solutions. We
determine Ut, U2 uniquely by Ul (b) = 0, u2(a) = 0 to obtain
y(x) = -Yl(X) lb f(~)Y2(~) ~

x p(~)W(~)
- Y2(X) 1 f(~)Yl(~) ~
a
x
p(~)W(~)
This can be written as a single integral if we use the definition

Y2(X)Yl ({)
p({)W({) a ~ { ~ x
(8.1.4)
Yl(X)Y2({) x~{~b
p(e)W({)
to obtain the formula
(8.1.5) y(x) = I.' G(x, ()f(()~
We have obtained Green's function of the general second-order self-adjoint

equation (8.1.1) with the separable boundary conditions (8.1.2) and (8.1.3). This
function depends only on the boundary conditions and the functions p(x), q(x);
it makes no reference to the right member f(x). We note the following properties
of Green's function in this case:
1. The function x ~ G(x, {) satisfies the homogeneous equation if xi: {.
2. The function x ~ G(x, {) satisfies the boundary conditions (8.1.2) and
(8.1.3).
3. The function G(x, {) is continuous for a ~ {, x ~ b.
4. The partial derivatives are continuous except for x = {, where we have
(~) (( +O,() - (~~) (( - O,() = - p(~)

5. The function G(x, {) is symmetric: G(x,~) = G({, x) for a ~ {, x ~ b.
We can summarize the preceding discussion in the form of a theorem.
THEOREM 8.1. Suppose zero is not an eigenvalue of (8.1.1). Then the unique
solution of Eq. (8.1.1) with boundary conditions (8.1.2) and (8.1.3) is given by
the integral (8.1.5), where Green's function is defined by (8.1.4).
Proof. To prove the stated uniqueness, let y, fj be solutions of Ly = -f
satisfying the boundary conditions. Then Y - fj satisfies the boundary conditions,
and L(y - fj) = O. Since A = 0 is not an eigenvalue, we conclude Y - fj = O.
EXAMPLE 8.1.1. Find Green's function of the equation y" = - f with the
boundary conditions y(O) = 0, y'(L) = 0, and solve the equation.
Solution. The general solution of the homogeneous equation is given by
y(x) = A + Bx. The solution that satisfies y(O) = 0 is Yl (x) = x, up to a
constant multiple. The solution that satisfies y'(L) = 0 is Y2(X) = 1, up to
a constant multiple. Their wronskian is W(y) = YlY~ - Y~Y2 = -1. Green's
function is
G(x ~) = {~ 0 ~ e~ x
, x x~{~L
8.1. GREEN'S FUNCTIONS FOR ORDINARY DIFFERENTIAL EQUATIONS 431
The solution of the nonhomogeneous equation is y(x) = fox (f()de+x fxL f(f.)df.
A direct verification shows that y' = fxL f(f.)de, y" = -I, y(O) = 0, y'(L) = O.
To obtain a Fourier representation of Green's function in the generic case, let
{An}n~l be the eigenvalues and {<Pn}n~l a set of normalized eigenfunctions for
the equation (py')' + qy + Ay = O. Then Green's function is written as the series
G(x, f.) =L <Pn(Xl<pn(f.)
n~l n
which is absolutely and uniformly convergent for a ~ x ~ b.

EXAMPLE 8.1.2. Find a Fourier representation of Green's junction of Exam-
ple 8.1.1.
Solution. In this example we have the formulas An = (n - ~ )27r 2/ L2,
<Pn(X) = J2/Lsin[(n-~)7rx/L], n 2:: 1, and Green's function is written G(x,e) =
(2L/7r 2) En~l sin[(n - ~)7rx/ LJ sin[(n - ~)7re/ L]/(n - ~)2 .
8.1.3. The exceptional case: Modified Green's function. If A = 0
is an eigenvalue, then we lose existence and uniqueness. For example, if the
equation is y" = - f and the boundary conditions are y'(a) = 0 = y'(b), then we
f:
can solve the equation if and only if I(x)dx = O. The homogeneous equation
y" = 0 has infinitely many solutions that satisfy the boundary condition, that is,
y(x) = constant, which destroys uniqueness. In these cases we may determine a
unique solution by requiring in addition that the solution be orthogonal to the
eigenfunction of the associated homogeneous problem. In the case just mentioned,
this amounts to the requirement that f:
y(x)dx = 0, leading to y(x) == O.
To formulate Green's function for this exceptional case, we consider the non-
homogeneous equation
[P(x}y1' + q(x)y = - !(x) + 'P(x) t f(~)'P(~)~

where cp(x) is an eigenfunction that satisfies the homogeneous boundary condi-
tions (8.1.2) and (8.1.3) and satisfies the normalization f:
<p(x)2dx = 1. We
have written the equation so that the right side is orthogonal to the eigen-
function <p(x). We look for a solution that satisfies the orthogonality condition
J: y(x)<p(x)dx = O. The solution is sought in the form y{x) = G(x, f.)f()df.,
and G(x, f.) is the modified Green's function.
f:
EXAMPLE 8.1.3. Find the modified Green's function for the differential equa-
tion y" = -f with the boundary conditions yeO) = 0, y'(l) = y(l).
Solution. The general solution of the homogeneous equation is y(x) = A +
Bx, which satisfies the boundary conditions with A = 0 and B arbitrary. A
normalized eigenfunction is obtained by choosing B = v'3. To solve the equation

y" = -1+ 3x fol ~/(~)~, we write
y'(x) =- t f(~)d{ 3~2 I.' a(~)d{

+ +C
y(x) = - t ~)f(~)d{ ~X3 I.' a(~)d{

(x - + + Cx + D
The first boundary condition gives D = 0, while the second leaves C undeter-
mined. To find C, we use the orthogonality condition fo1 y(x)cp(x}dx = 0 to
obtain C = fol(1 - 9~/5 + ~3 /2)/(e}~, and we have the modified Green function
_ { (- x + ~X3~ + (1 - 9S(+ ~) x x
G(x, e) - x3e
2+
(
1-
ge ~3)
+"2 x e~x

5
The modified Green's function can be represented as a series of eigenfunctions
in the form
G(x, e) = E CPn(Xlcpn(e)
n~1 n
where the sum is over all nonzero eigenvalues {An} of the equation (py')' + qy +
AY = 0 with the given boundary conditions. For example, with the bound-
ary conditions y'(O) = 0, y'(L) = 0 for the equation y" = -I, we have An =
(n1l'" / L)2, CPn(x) = .)2/L cos (n1l'"x/ L), and Green's function is written as G(x, e) =
(2L/1I'"2) 2:n~1[cos(n1l'"x/ L) cos (n7re/ L)]/n2.
8.1.4. The Fredholm alternative. The above discussion leads us to the
following dichotomy regarding the nonhomogeneous equation (8.1.1) with the
boundary conditions (8.1.2) and (8.1.3), known as the Fredholm alternative and
stated as follows:
Either A = 0 is not an eigenvalue of the homogeneous equation; then the
nonhomogeneous equation (8.1.1) has a unique solution that satisfies the
boundary conditions (8.1.2) and (8.1.3) .
Or A = 0 is an eigenvalue of the homogeneous equation with eigenfunction
cp(x); then the nonhomogeneous equation (8.1.1) has a solution if and only
f:
if the right side I(x) satisfies the orthogonality condition I(x}cp(x)dx =
f:
O. The solution is unique provided that we require that y(x}cp(x)dx = O.
The reader familiar with the theory of linear equations will recognize the
principle at work. Let a system of linear equations be written in the form Ay =
- I, where A is a square matrix. Either det A is nonzero, and we have a unique
solution y for every vector I; or det A is zero, and we can solve the equation
8.2. THE THREE-DIMENSIONAL POISSON EQUATION 433
only if the right side is orthogonal to the set of solutions of {cp: AT cp = a}. In
the case of a square matrix, det A is zero if and only if A = 0 is an eigenvalue
of A. In the case of differential equations, we cannot use the determinant to
distinguish between the two cases. Nevertheless, the existence or nonexistence of
eigenfunctions for A = 0 still makes sense and is a valid criterion to distinguish
the two cases.
EXERCISES 8.1
1. Show that Green's function for y" = - j, y(O) = 0 = y(L) is uniquely

determined by properties 1 to 4.
2. Find Green's function for the equation V' = - f with the boundary condi-
tions y(O) = 0, y'(L) + hy(L) = 0, where h is a positive constant.
3. Find Green's function for the equation y" = - f with the boundary condi-
tions y'(O) = hy(O), y'(L) + hy(L) = 0, where h is a positive constant.
4. Find Green's function for the equation y" - ky = - f with the boundary
conditions y(O) = 0, y(L) = 0, where k is a positive constant.
5. Find Green's function for the equation y" - ky = - f with the boundary
conditions y(O) = 0, y(L) = 0, where k is a negative constant,
k# - (n{)2 n= 1,2, ...

6. Find the modified Green's function for the equation y" = - j with the
boundary conditions y'(O) = 0, y'(L) = O.
7. Find the modified Green's function for the equation y" = - f with the
(periodic) boundary conditions y(O) = y(L), y'(O) = y'(L).
8. Show that the modified Green's function obtained in Example 8.1.3 satisfies
properties 1-5 preceding Theorem 8.1.
8.2. The Three-Dimensional Poisson Equation

In this section and the following sections, we extend the concept of Green's func-
tion to certain second-order partial differential equations. Since the geometry and
types of equations differ for each case, it is most efficient to consider separately
the elliptic, parabolic, and hyperbolic problems.
The boundary-value problem for Poisson's equation is
V 2u = -h P ED
u = f P E aD
Here P is a point of two- or three-dimensional space, and D is a region whose
boundary is denoted aD. For example, if D is the three-dimensional ball {P : IPI <
R}, then aD is the sphere {P : IPI = R}.
By the superposition principle, the solution may be obtained in the form
U = U J + Uh, where U J is the solution of the homogeneous equation V u = 0 with
2
u = f on aD and Uh is the solution of the Poisson equation V 2u = -h with U = 0

on aD. The latter problem is the analogue of the problem for ordinary differential
equations solved in Sec. 8.1 by using Green's function. We now develop this idea
for Poisson's equation.
8.2.1. Newtonian potential kernel. We begin with the case of the entire
three-dimensional space D = JR3 = {P = (x, y, z) : x E 1i, y E 1R, z E Ii}. We
proceed heuristically by Fourier transforms and then verify that we have obtained
a rigorous solution. The Fourier representation of the solution and right member
are written
u(P) = u(x, y, z) = III ei(P.K}U(K)dK
= III e;(kz+ly+mz}U(k, I, m) dk dl dm
h(P) = h(x,y,z) = III e'(P,KlH(K)dK
= III e,(kz+ly+m.} H(k, I, m) dk dl dm
where the integrals are over all JR3. Differentiating formally, we have V 2u =
III -IKI 2 e,(P,K)U(K)dK. The equation V 2u = -h requires that IKI 2 U(K} =
H(K}. If H is zero in a small neighborhood of K = 0, this can be solved by
U(K) = H(K}/IKI2. We substitute in the integral for u and interchange orders
of integration:
_Jr rre,(P,K) H(K}

u(P) - JJ IKI2 dK
= III e;;;l If! (2~) dK 3 e-,(Q,Klh(Q)dQ
rr{
= JJJ h(Q)dQ
(27T1 ) JrJ{Jr e 1~12P-Q) dK
3 ,(K
The inner integral may be evaluated in spherical polar coordinates as
JJrJ{_e'.....,.{K_.P~-~Q_}
r
IKI2
dK = /.211' /.11' /.00 eilP-Qlpcos8 sin fJ dpdfJ dcp
0 0 0
where p = IKI, fJ is the (polar) angle between K and P - Q, and cp is the

corresponding azimuthal angle. The fJ integral is elementary, and the cp integral
gives a factor of 27r, leading to
f f f ei(K,P-Q} _ 100 2sinpiP - QI

JJJ IKI2 dK - 211" 0piP _ QI dp
2 7r
= 27r lp _ QI2
Recalling the factor [1/(27r)]3 from the Fourier inversion, we are led to the explicit
representation
1 fr'ff h(Q)
(8.2.1) u(P) = 47r JJ IP _ Ql dQ
It remains to verify that this is a (rigorous) solution of V 2 u = -h. The function
P -+ G(P, Q) := 1/(47rIP - QI) is the newtonian potential kernel. It has the
following basic properties:
1. V pG = -VQG = (1/47r)(P _ Q)/IP - QI 3 P#Q
2. V~G = V~G = 0 P#Q
3. G(P, Q) -+ 0 P -+ 00 or Q -+ 00
We leave the verification of these as an exercise.
THEOREM 8.2. Let u = u(P) be the solution of V 2u = -h in allR3 where

u(P) -+ 0, IPIIVpul -+ 0 when P -+ 00. Then u is represented by (8.2.1) in the
sense that u{P) = [1/{47r)] li~,J.O,Rtoo fff{Q:l<IQ-PI<R}[h(Q)/IP - Ql]dQ.
Proof. We use Green's identity in the form
where De,R = {Q E IR3 : < IQ - PI < R} and Gp(Q) = G{P,Q). The right
member consists of two surface integrals, over the spheres of radius and radius R
centered at P; the outward normal derivative is defined by 8G p /8n = (VQG p , n).
To analyze the integral on the left, we note that V 2 GP = 0 in DE,R and V 2 u = -h,
by hypothesis. The integrals on the right are as follows:
(8.2.2) ff a:,;
IQ-PI=E
u d8Q
4~ 1'1.
2
= u(x + , sin /I cos cp, y + , sin /I sin cp, Z + leOS /I) sin /I dO dcp
(8.2.3) 11 u~
IQ-PI=R
dSQ
= 4~ 1""1~ u(x + Rsin Oeos rp, y + R sin 0 sin rp, z + R cos 0) sin 0 dO drp
(8.2.4) 11
IQ-PI=E
G p : : dSQ
1
= 4 /.211"/.11" aau (x + f sin 0 cos cp, y+ e sin 0 sin cp, z + e cos O)e 2sin 0 dO dcp
1f"e 0 0 n
(8.2.5)
IQ-PI=R
11
Gp : : dSQ
= 4:R 11" ::20

(x + Reos 0, y + Rsin Bees rp, z + R sin 0 sin rp)R2 sin 0 dOdrp
The function u is assumed to be twice-differentiable-in particular, contin-
uous. Therefore the integral (8.2.2) tends to u(P) when f .J. O. Integral (8.2.3)
tends to zero when R t 00 by the assumption on u. Integral (8.2.4) tends to
zero by the continuity of au/an. Finally, integral (8.2.5) tends to zero by the
hypothesis on IVul. Putting these facts together, we see that the right side tends
to u(P) when e .J. 0, R t 00. Therefore the left side tends to a limit, and we
have proved that u(P) = [1/(47r)] lim(.j.o,Rtoo fffc<IP-QI<Rh(Q)/IP - QldQ, as
required .
8.2.2. Single- and double-layer potentials. The newtonian potential in-
tegral (8.2.1) may be considered in its own right, without reference to Poisson's
equation. In the theory of electrostatics, the function P -+ 1/(47rIP - QI) is
interpreted as the potential energy necessary to bring a particle of unit charge
from infinity to point Q. The gradient V pG is the force felt at point P due to the
unit charge at point Q. If, instead of a unit charge, we have charge distributed
according to a continuous density, then the resultant potential energy is given by
the superposition integral (8.2.1). The force is obtained as the negative gradient
of this integral. But we can also consider more general superpositions of charge,
e.g., on surfaces, lines, or points.
A surface distribution of charges with surface density h(Q) gives rise to the
potential function
fr'{J 47rIPh(Q)_ QI d8
s
Q
This is called a single-layer potential.

A linear distribution of charges with linear density h( Q) gives rise to the
potential
r h(Q) dl
Jc 41l"IP - QI Q
where the integration is over the parametrized curve G, for example, a straight-
line segment.
It may be shown that each of the above integrals is a solution of Laplace's
equation V 2u = 0 on the set of P for which h{P) = 0. 1
The simplest charge distribution is that of a finite aggregate of point charges
that gives rise to a potential of the form
N C
~41l"IP~Q,1
for a finite set of points Q, with corresponding charges G" which may be positive
or negative. In particular, we may take two nearby points Qo = (xo, Yo, Zo) and
QE = Qo + fn, where n is a unit vector and the charges are of strength Ilf and
-l/f. The total charge is zero, but in the limit we obtain a nonzero potential,
since
IfPo' 4~f Cp ~ Qol - IP ~ Q,I) = (!.) (41TIPl_ QI)

(P - Qo)' n
=
41l"IP-QoI3
This is the dipole potential. It satisfies Laplace's equation for P -# Qo. A super-
position of dipole potentials over a surface is called a double-layer potential and
is written in the form
ror (P- Q)n
f
u(P) = J 41l"IP _ QI 3 h(Q)dSQ
s
where n is the unit normal to surface S. We will see below that double-layer po-
tentials provide an explicit representation for many solutions of Laplace's equa-
tion.
We now return to the discussion of Green's function.
8.2.3. Green '8 function of a bounded region. In the case of a smoothly

bounded region D in three dimensions, Green's function is defined as the function
II. G. Petrovsky, Partial Differential Equations, Wiley-Interscience, New York, 1964,

pp. 219-223.
G(P, Q) with the following properties:

(8.2.6) \7~G(P, Q) =0 for P, QED, P =F Q
(8.2.7) G(P, Q) = 0 for Q E aD, P E D
(8.2.8) G(P.Q) - 47rlpl_ QI is a smooth function in all of D

Let's show that such a function is satisfactory for the solution of Poisson's equa-
tion.
THEOREM 8.3. Suppose that G{P, Q) satisfies (8.2.6) through (8.2.8) in the
smoothly bounded three-dimensional region D. Then the solution of Poisson's
equation \7 2u = -h in D with u = 0 on aD has the explicit representation
(8.2.9) u(P) = !ff D

G(P.Q)h(Q)dQ
Proof. We again use Green's identity, with D = {Q ED: IQ - PI >

E},Gp(Q) = G{P,Q). We have
!!!(UV
~
2
V
Gp - G p
2
u)dQ = ff
8~
(u
a
;: - G p!:) dSq
In D~ we have \7 G p = 0 and \7 u = -hi thus the left member is
2 2
D~ GphdQ. III
The right member consists of two integrals, one on the outer boundary aD and
one on the inner boundary {Q : IQ - PI = E}. On the outer boundary both
G p and u are zero; hence this integral is zero. On the inner boundary we can
replace G p by 1/(47rIP - QI), since the difference is a smooth function, that will
contribute zero to the integral in the limit .J, O. But the proof of Theorem 8.2
shows that for this choice of G, the integral IIIQ-PI=
u(aG/an)dS tends to Q
Q
u(P) and the integral IIIQ-PI=~ Gp(au/an)dS tends to zero, for any smooth
function u. Therefore we may let E .J, 0 to obtain the required representation.
One may note that the integral (8.2.9) is absolutely convergent, for any con-
tinuous function h(Q). This may be seen by writing the relevant part of the
integral in a polar coordinate system about P, where ro is chosen small enough:
!!! 1;~~ldQ= t'

IQ-PI<ro
[{h(x+rsin9cosV'.
y + r sin 9 sin <p, z + r cos 9)r sin 9 dr d9 dIP

This means that lim.t.o III
Dc G{P, Q)h(Q)dQ = III
D G(P, Q)h(Q)dQ, an abso-
lutely convergent integral.
We now show, as in the case of ordinary differential equations, that Green's
function is symmetric.
Proof. We apply Green's identity with u(Q) = Gp1 (Q) = G(P}, Q), v(Q) =
G~(Q) = G(P2 ,Q) in the region D! = {Q ED: IQ - PII > f, IQ - P2 > f} 1
where f < ~IPI - P21. Since both functions satisfy Laplace's equation in DE, we
have 0 = III D.(u\l2 v - v\l2 U )dQ = IIoDt(uov/on-vou/an)dSQ The surface
integral on the outer boundary aD is zero. It remains to analyze the following
four integrals on the inner boundaries:
ro, G OG p2dS
I:
fJ
IQ-Pd=E
PI On Q
II: fro,J G P2an

aG pldS
Q
IQ-Pd=E
III: II
IQ- P21=E
GI\ ~P,dSQ
IV: ff G8:,
p, dSQ
IQ-P2I=E
The first and fourth integrals tend to zero when f .J.. 0, since each integrand
is O(l/f) and the surface area is O(2) when f .J.. O. For the second and third
integrals, we repeat the analysis used in the proof of Theorem 8.3 to conclude
that II -t G p2 (Pt} and III -t G p1 (P2 ) when J. O. The proof is complete .
We now turn to some applications of these ideas.
EXAMPLE 8.2.1. Find Green's function of the ball D = {Q E JR3 : IQI < R}.
Solution. This can be obtained from the case D = JR3 by the method of
images. We look for Green's function in the form
1 C
G(P,Q) = 47rIP _ QI IP-Q'J
where the image point Q' is suitably chosen with Q' D and C is a constant.
The above combination satisfies (8.2.6) and (8.2.8). It remains to satisfy the
boundary condition (8.2.7). To do this requires that IP - QI = IP - Q'I/C for
all P E aD. Specifically, we choose the image point as Q' = Q(R2/JQI2); this is
the point along ray OQ whose distance from 0 satisfies IQIIQ'I = R2. To choose
440 S. GREEN'S FUNCTIONS
the constant C, we write for P E aD

IP - QI2 = IPI 2 - 2(P, Q) + IQI2
= R2 _ 2(P, Q) + IQI2
IP - Q'1 = IPI 2 - 2(P, Q') + IQ'1 2
2
R2 R!*
= R2 - 21QI2 (P, Q) + IQI2
= 1~~2 (IQI2- 2(P, Q) + R2)
Therefore IP - Q'I/IP - QI = RIIQI if IPI = R. This leads to the choice

C = R147r IQI and Green's function in the form
G(P, Q) = 47r
1(1 R 1)
IP - QI - IQIIP - Q'I
We now return to the theory.
8.2.4. Solution of the Dirichlet problem. Green's function of a region

D can also be used to solve the Dirichlet problem V 2 u = 0 in D with u = f on
aD. For this purpose we again write Green's identity
The left side is identically zero. The right member contributes - JJ f (aG Ian) on
the outer boundary aD; on the inner boundary we have II u(aG Ian) --7 -u(P).
We have proved the following result.
THEOREM 8.5. The solution oj the Dirichlet problem yr 2 u =0 in D with
u =J on aD has the representation
u(P) = Jf
(JD
o;/(Q)dSQ
where G(P, Q) is Green's function of the region D.

We can combine this with the particular solution of Poisson's equation to find
the solution of Poisson's equation with general boundary conditions.
EXAMPLE 8.2.2. Find the explicit representation oj the solution of Poisson's
equation V2 u = -h in D with the boundary condition u = J on aD.
Solution. By the superposition principle, the solution may be obtained in

the form
u(P) =
D
fff
G(P,Q)h(Q)dQ+ ffo;J(Q)dSQ
aD
We can use Green's function for the ball to find a suitable form of Poisson's
integral formula in three dimensions (cr. Sec. 3.2 for the two-dimensional case).
We have G(P, Q) = [1/(47r)][1/IP - QI- (R/IQI)(l/IP - Q'I)]. We take a system
of polar coordinates for which
p = (pcos !psin 0, psin !psin 0, peosO)
Q = (r cos 1/1 sin a, r sin 1/1 sin a, 'T cos a)
Q' = R(Rcos1/1sina, Rsin1/1sina,Rcosa)
'T
A straightforward differentiation yields

OGI R2_~
or r=R = 47rR( R2 + p2 - 2Rp cos "()3/2
where cOS'Y = cos a cos 0 + sin a sin 0 cos( 1/1 - !p). The solution of Laplace's equa-
tion V 2 u = 0 in the ball with the boundary condition u = f is written
u(P) __1_
- 41f'R
JrJ{ (R2+p2_2RpcoS'Y)3/2
R2 - p2 f(Q)dS
Q
IQI=R
EXERCISES 8.2
1. Show that the newtonian potential kernel satisfies properties 1 through 3

of subsection 8.2.1.
2. Let g = g(r) be a radial solution of Laplace's equation \1 29 = 0 defined for
r > 0 with the properties that g( r) ~ 0 when r -+ 00 and
21r
limr +0 J0 J; u(r sin 0 cos !p, r sin 0 sin !p, r cos 0) (og / or )r2 sin 0 dO dIP
= -u(O,O,O)
for every continuous function u = u(x, y, z). Prove that g(r) = 1/(41f'r) ,
the newtonian potential kernel.
3. Let G(P, Q) = 1/(47rIP-QI) -R/(47TIQIIP-Q'1) be Green's function of the
balllPI < R. Prove that oG /Or = (R2 - r2)/[47T R(R2 + r2 - 2Rr cos ,,()3/2J
is the Poisson kernel of the ball.
Exercises 4 to 8 provide some of the basic properties of solutions of Laplace's
equation. They must be done in the order given.
4. Modify the proof of Theorem 8.2 to prove the following result: Any solution
of Laplace's equation V 2u = 0 in a three-dimensional region D can be
written as
u(P)= If
IQ-PI=R
8
(u ,;; -Gp;;:)dSQ
where Gp(Q) is the newtonian potential kernel and the integration is over
the surface of the sphere.
5. Use Exercise 4 to prove the mean value theorem for harmonic functions:
For every solution of V 2 u = 0 in a three-dimensional region, we have
u(P) = 4"~ ff udSQ

IQ-PI=R
[Hint: First show that on the surface we have Gp = 1/(47rR), oGp/on =
-[I/(47rR2)], and fI IQ _ P I=R(ou/8n)dSQ = 0.]
6. Extend Exercise 5 to show that every solution of V 2u = 0 has the solid
mean value property in the form
u(P) = 4:R3 fff udQ

IQ-PI<R
where the integral is over the solid ball of radius R.
7. Use Exercise 6 to prove the local maximum principle: if u is a solution of
V 2 u = 0 in the ball {Q : IQ - PI < 6} such that u(P) ~ u( Q) for all Q
and IQ - PI < 6, then u(Q) = u(P) for all Q such that IQ - PI < 6.
8. Extend Exercise 7 to prove the global maximum principle: if u is a solu-
tion of V 2 u = 0 in a connected and smoothly bounded region, for which
maxPED u(P) is attained at an interior point Po, then u is constant through-
out P. [Hint: If there is an interior global maximum at Po E D, then
connect an arbitrary point P E D to Po by means of a polygonal path C.
Along this path draw a finite sequence of spheres {B(x" 6,) }~o such that
Xo = Po, XN = P, and Xi E C, Xi E B(X'-b 6.-d for i = 1, ... , N. By
Exercise 7, u is constant throughout B(xo, 60 ), especially at Xl. Now apply
Exercise 7 to B(Xb 61) and continue the process inductively until you reach
P = XN, to conclude that U(XN) = u(xo).]
9. Formulate and prove a local minimum principle and global minimum prin-
ciple for solutions of Laplace's equation V 2u = o.
Exercises 10 and 11 are designed to establish directly the properties of the new-
tonian potential operator h --+ u, where u(P) = [1/(47r)] IIf h(Q)/IP - QldQ is
the newtonian potential of the function h(Q).
10. Suppose that h is a continuous function with h(Q) = 0 for IQI > r. Prove
that u is a solution of Laplace's equation V 2 u = 0 for IPI > r.
8.3. TWO-DIMENSIONAL PROBLEMS 443
11. Suppose that h is a differentiable function with h(Q) = 0 for IQI > r.
(a) Prove that the first derivatives of u can be computed by the formula
4";:/= Illh(~(~;,~)'dQ=_ III :~.QIQ~PldQ

(b) Prove that the second derivatives of u can be computed by the
formula
47l" ~u = ~ /,. {{ 8h (Q - P)] dQ
8x,,8x) 47l" JJ 8Qi IP - QI3
(c) Transform the last integral to spherical polar coordinates to prove
that
47l"V 2 u(x, y, z) =
12;';'00(;) h(x + reos rpsinO, y + r sin rpsinO, z + reosO) sinOdrdOdrp

= -47r h(x, y, z)
8.3. Two-Dimensional Problems

One may try to replicate the three-dimensional theory in two dimensions. In the
case of a bounded region, the theory is entirely parallel, although the formulas
are slightly different. For the basic case of the entire plane, we encounter the
fundamental difficulty that a Green's function cannot be uniquely obtained that
satisfies all the previous conditions.
8.3.1. The logarithmic potential. To find a suitable Green's function for

two dimensions, we abstract the fundamental properties of the newtonian po-
tential kernel in three dimensions. These are that V~G P = 0 for Q :I P and
f f IQ-PI=E (aG plan)u dSQ -+ -u( P), for every smooth function u. To replicate
this in two dimensions, we begin with the radial solutions of Laplace's equation
1 1
0= V 2 G = G rr + -G
r
r = -(rGr)r
r
leading to rGr = B, G = A + B logr for suitable constants A, B. We can safely
set A = 0, since we are looking for a particular solution. To determine B, we
compute 8Glar = Blr, whose "surface integral" on the circle IQ - PI = f is
8e udSQ = 111'B-u(x+COsO,y+sinfJ)dfJ -+ 27rBu(x,y)
1.
IQ-PI=t:
-a
r -11'
Therefore we choose B = -1/(27r), and we have the logarithmic potential kernel

1 1
e(p, Q) = 27r log IP _ QI
This leads to the following explicit representation of the solution of Poisson's

equation:
u(P) = 2~ f/ Cp ~ QI)
log h(Q) dQ
One can show2 that this formula provides a solution of Poisson's equation. How-
ever, it is difficult to obtain a simple uniqueness criterion for the Poisson equation
in the entire plane. For this reason we turn to some problems with unique solu-
tions.
8.3.2. Green's function of a bounded plane region. Green's function

of a bounded two-dimensional region is defined by the following requirements:
(8.3.1) V~G = 0 Q E D,Q:/= P
(8.3.2) G(P, Q) = 0 QED, P E fJD
(8.3.3) G(P,Q) - 2~ log IP ~ QI is a smooth function
We have the following theorem, exactly as in the three-dimensional case.

THEOREM 8.6. Let u be a solution of the Poisson equation V 2 u = -h in the
region D satisfying the boundary condition that u = 0 on oD. Then we have the
explicit representation
u(P) = f/
D
G(P,Q)h(Q)dQ
Proof. We follow the proof of the three-dimensional case, beginning with

Green's formula applied to DE = {Q ED: IQ - PI> f}:
ff (uV G- GV
DL
2 2
u)dQ = L, (u: -G:::) dS Q
The integral on the left is over the interior of the plane region Dr., and the integral
on the right is over the boundary curves that define oDr.. In Do G satisfies
Laplace's equation and V 2 u = -h, so that the left side becomes II Df Gh dQ. The
right side is analyzed as before: the outer boundary oD contributes zero, while
the inner boundary {Q : IQ - PI = f} contributes [1/(21r)] fo21r u(x + f cos 8, y +
f sin 8)d8. In the limit f -l- 0, this gives u(x, y) = u(P), which was to be proved .
EXAMPLE 8.3.1. Find Green's function of the circular disc D = {(x, y) :

x 2 + y2 < a2}, and use this to solve Poisson's equation V2u = -h in D with
u = 0 on aD.
2Ibid.
Solution. This can be solved by the method of images, as in the three-

dimensional case. We look for Green's function in the form
G(P,Q) = 2~ (lOg IP ~ QI - C,log IP ~2Q'I)

where Q' is the image point Q' = Q(a2 /IQI2} and the constants C lI C2 are to be
determined. As we showed in Sec. 8.2, the image point Q' satisfies IP - QI/IP-
Q'I = a/IQI when IPI = a. Therefore we choose C1 = 1, C2 = a/IQI. The Poisson
equation is solved by the explicit representation
u(P) = 2~ lQI=. (log IP ~ QI -log IP _ ~IIQI) h(Q) dSQ

EXAMPLE 8.3.2. Find Green's function for the region D = {(x, y) : y > OJ,
and solve the Poisson equation V 2 u = -h with u = 0 on aD.
Solution. In this case we may again use the method of images. If Q' = (e, 'T]),
the image point is Q' = (e, -'T]); we have IP - QI = IP - Q/I if P E aD. Green's
function is
1 1 1 1
G(P, Q) = 27r log IP _ QI - 27r log IP _ QII
1 I (x - e)2 + (y - 'T])2
= - 47r og (x - e)2 + (y + 'T])2
The solution of Poisson's equation is given by u(P) = If D G(P, Q)h(Q)dQ .
8.3.3. Solution of the Dirichlet problem. The two-dimensional Green's
function can also be used to solve the Dirichlet problem for Laplace's equation
V 2 u = 0 in a smoothly bounded plane region D with given boundary data f. As
in the three-dimensional case, we begin with Green's identity
2
ff(uV G - GV u)dQ =
2 faD (u~ - G:::) dSQ
D~ ~
where D( = {Q ED: IQ - PI > f}. The left side is zero. The right side gives
I 1 aG/an on the outer boundary aD, while on the inner boundary we have
J u8G/8n -+ u(P}. Thus we have proved the following result.
THEOREM 8.7. The solution 01 the Dirichlet problem V 2 u = 0 in the smoothly
bounded plane region with u = 1 on an is given by the double-layer potential
aG
u(P) = - fa8D -an IdSQ
EXAMPLE 8.3.3. Solve the Dirichlet problem in the ball IPI < a.
Solution. In this case we have Green's function
1(
G(P, Q) = 21r log IP _ QI
1) - 1 27r log IQIIP _
a
Q'I
with
8G a 2 - r2
=~~--~------~--~
ar 27r[a2 + r2 - 2ar cos(8 - ip)]
",
and we retrieve the Poisson integral formula
2 2
u(P) - -
1
1
- 21r _", a2 +
a - r
r2 - 2ar cos(8 - ip)
1(8) dfJ
This formula was first derived in Sec. 3.1 from the Fourier series of separated
solutions of Laplace's equation. Now we see that it can be done directly, without
any appeal to Fourier series or separated solutions.
8.3.4. Green's functions and separation of variables. If we compare
the Fourier representation of the solution with the explicit representation by
Green's function, we can obtain a representation of the Green function in terms
of the eigenfunctions of the associated homogeneous problem.
Suppose that we want to solve Poisson's equation V 2 u = -h with the condi-
tion that u = 0 on the boundary of the smoothly bounded region D. Let {ipn}
be a complete system of eigenfunctions satisfying V 2ipn + An<fJn = 0 in D with
CPn = 0 on the boundary and normalized so that (CPn, CPn) = fD <fJn(P)2dP = 1.
Here n is a "multi-index," depending on the dimension of the space. The Fourier
representation of the solution is
1
u(P) = L ~(<fJn' h)CPn(P)
n n
However, Green's function satisfies the boundary conditions and can be expanded
in a series of eigenfunctions as G(P, Q) = En Cn(Q)<fJn(P), where the Fourier
coefficients are obtained as Cn(Q) = JD
G(P, Q)ipn(P)dP. Substituting in the
explicit representation of u by Green's function and proceeding formally, we have
u(P) = ( G(P, Q)h(Q) dQ = L CPn(P)(en, h)

iD n
Comparing the two formulas for u leads to the identification (en, h) = (<fJnJ h) / An
for every h, or Cn(Q) = CPn(Q)/An, and we are led to the formula
G(P, Q) =L <fJn(P)<fJn(Q)
n
An
This statement is known as Mercer's theorem. Although easily remembered, it
may not be an efficient method for computation of Green's function. In particular,
we do not expect that the series converges for P = Q. Rather than explore this
in general, we consider the rigorous validity in each case.
EXAMPLE 8.3.4. Find the Fourier representation oj Green's Junction oj \72
in the rectangle 0 < x < a, 0 < y < b with the boundary condition that u = 0 on
all Jour sides.
Solution. The normalized eigenfunctions of this problem are
<Pmn (x, Y) = V{4.sm -a-

~
m7rX . n1Ty
sm -b-
with }.rnn = (m7r /a)2 + (n7r /b)2. The above formula for Green's function is
G(P, Q) = G(x, y; , TJ)
= i. "" sin(m7rx/a) sin(n7ry/b) sin(m7r/a) sin(n7rTJ/b)
ab L.J
mn
(m7r/a)2 + (n7r/b)2
Although this series is not absolutely convergent, it can be shown to be condi-
tionally convergent for (x, y) =I- (~, TJ)
EXAMPLE 8.3.5. Find the Fourier representation oj Green's Junction oj \7 2
in the circle x + y2 < a2 with zero boundary conditions.
2
Solution. In polar coordinates the normalized eigenfunctions in complex

form are
tpmn(P, tp) = CmnJrn (Zm;P) e'fnVJ
where the eigenvalues are Amn = (zmn/a)2 and the normalizing constants are
C~1n = 2/ Jm+1 (zmn)2. Green's function is
G(P,Q) = G(r,<p;p,O)
= L C~nJm (z:r) Jm (Zn;;P) eim (V'-6)
mn
It may be shown, as in Example 8.3.4, that the series is conditionally convergent .
The above representations by double Fourier series are not absolutely conver-
gent. To obtain more effective series representations, we use a Fourier series in
one variable only, where the coefficient functions are obtained as Green's func-
tion of a closely related ordinary differential equation. We illustrate this for the
Poisson equation U xx + U yy = - f in the rectangle 0 < x < a, 0 < Y < b. We write
each term as a single Fourier sine series:
f(x, y) = L
00
sin (m:x) Fm(y), Fm(Y) = - 21

a 0
Cl
m7r~
f(, y) sm-tIe

= -21
m=l
00
u(x, Y) = L sin (m;x) Um(Y),

Cl
Um(y) m7r
u(~, y) sm-tIe
m=l
a 0 a
where Um satisfies the equation U~ - (m7r/a)2Um = -Fm with the boundary

condition Um(O) = 0 = Um(b). This ordinary differential equation is solved by
the one-dimensional Green function
Um(y) = l Gm(y, 1/)Fm(r/ld1/

where
G ( ) - sinh(m7ry/b) sinh[m7r(b - 1])/b] 0 <_ y <_ ."
m Y,1] - Wm(y) "
G ( ) - sinh(m7r(b - y)[bsinh(m7r1]/b)] ." <_ Y _< b

m Y,1] - Wm(y) "
and the wronskian is
W. ( ) - m7r [. h m7ry h m7r(b - y) . h m7r(b - y)]
m Y - b sm b cos b + cos h m7rY
b sm b
Green's function for the problem is written as
G(P, Q) = G(x, Yi e, 1]) = -L2 ~ . m7rX . m7re

L...J sm -
a
sm -Gm(y, 1])
a
m=l
If Y :f; 1], this series is absolutely convergent together with all its derivatives. This
can be seen easily from the form of the coefficient Gm (Y,1]): when m --+ 00, the
hyperbolic sine function satisfies sinh m(} ~ ~em8. If we make this substitution
everywhere, we have for Y < 1]
em1ry/bem1r(b-T])/b
Gm(y, 1]) ~ 2(m7r jb)em1r
e(m1r /b)(y-T])
= ------,-
2(m7r/b)
This tends to zero exponentially when m --+ 00. A similar computation applies
to the case Y > 1].
EXERCISES 8.3
1. Use the method of images to find Green's function and to solve Poisson's
equation V 2u = -h in the quarter-plane D = {(x, y) : x > 0, Y > O} with
the boundary condition that u = 0 on both axes. Use three image points.
2. Use the method of images to find Green's function and to solve Poisson's
equation V 2 u = h in the quarter-plane D = {(x, y) : x > 0, y > O} with
the boundary conditions u(x,O) = 0, (8u/8x)(0, y) = O.
3. Show that the logarithmic potential can be obtained directly from the
newtonian potential kernel by the following "renormalization procedure":
let UM(X, y) = f~ dz/{47rVX2 + y2 + Z2) be the newtonian potential of a
uniform line charge on the segment [-M, M] of the z-axis.
(a) Show that this integral can be evaluated directly as [1/(21r)1 sinh- 1 x
(M/r) where r = VX2 + y2.
(b) Use the behavior of sinh- l x when x -+ 00 to find a constant eM
such that limMtoo[uM{X, y} - eM] = [1/{21r)] log{l/ Jx 2 + y2).
(c) Show that the "potential difference" can be expressed directly as
lim [UM(Xl1 Yl) - UM(X2, Y2)] = 21 (IOg.J 21

Mtoo 7r Xl
2-log .J 21+ Y22)
+ Yl X2
2
4. Find a Fourier representation for Green's function of \7 in the rectangle
o < x < a, 0 < Y < b with the boundary conditions that U = 0 on the
bottom and two vertical sides while u y = 0 on the top side y = b, 0 < x < a.
5. Find a Fourier representation of Green's function ofV 2 of the disc X 2 +y2 <
a2 in the form G(r, 8; p, cp) = L: Gm{r, p)e,m(O-V'), where Gm is a suit-
able one-dimensional Green's function for the ordinary differential operator
Urr + (l/r)u r - (m 2/r2)u.
6. Show that Green's function of V 2 for the infinite strip -00 < x < 00,0 <
y < a can be written in the form
G(x, y; {, TJ) = ~ ~ sin (m:y) sin C:TJ) gn(X, {)

where gn is a suitably defined Green's function for the ordinary differential
equation g: - (n1r/a)2 gn = 0, -00 < x < 00.
7. Use the method of images to show that Green's function of \7 2 for the strip
-00 < x < 00,0 < y < a can be written in the form
G(x, y; e, 1]) =
-.!..
21r LJ
" [log (x - 1
e)2 + (y - 1] - 2na)2
_ log 1
(x - e)2 + (y + 1J - 2na)2
]
n
8. Let D be the region described in polar coordinates by {(r,8) : a < r <

b, a < 8 < ,8} with a > 0,0 < a < ,8 < 27r. Show that Green's function
can be written in the form
G(r, 8; p, "') = L sin [n~~8_-al)] sin [n~~",_--"l)] fn(r; p)

n~l
where fn is a suitable Green's function for the ordinary differential equation

fit + (l/r)!, - [n1r /(,8 - a)2]f = 0 on the interval a < r < b.
9. Let D be the region described in polar coordinates by {(r,O) : a < r <

b,o: < 0 < ,6} with a > 0,0 < 0: < ,6 < 27r. Show that Green's function of
V 2 can be written in the form
G(r, 0; p, cp) =
L sin[n7r log(r/a)/ 10g(b/a)J sin[n7r log(p/a)/ log(b/a)]9n(O, cp)
n~l
where 9n is a suitable Green's function for the ordinary differential equation

g~ - [n7r / log(b/a)]2 gn = 0 on the interval 0: < cp < ,6.
8.4. Green's Function for the Heat Equation

In this section we develop the appropriate form of Green's function for the heat
equation, which is closely related to the Gauss-Weierstrass integral representa-
tion, which was discussed in Chapter 5.
8.4.1. Nonhomogeneous heat equation. We can obtain a particular so-

lution of the nonhomogeneous heat equation
(8.4.1) Ut-Kuxx=h o < t < T, -00 < x < 00
by suitably transforming the Fourier representation. To do this, we write
u(x; t) = [ U({; t)e~% d{, h(x;t) = 1: H({;t)e~'d{

U(~; t) = - 1
27r
1 00
-00
u(x; t)e-i(x
. dx, H(~j t) = -1
27r
100
-00
h(x; t)e- sex
. dx
and transform Eq. (8.4.1) to the ordinary differential equation Ut + K~2U = H.

A particular solution with U(~; 0) = 0 is found by means of the integrating factor
e Ke2t , and we obtain
U({; t) = J.' e-K('(H) H({; s) ds
Substituting the above Fourier integral of H(~; t), we obtain
u(x;t) = 1: e~%d{ J.' e-K('('-s) [2~ f h(Y;S)e-"(dY] ds

= l' ds 1: h(y; s) dy f eo{(%-u)e-K('('-s)d{
The final integral is recognized from Sec. 5.2 as the heat kernel
G(x, y; r) = (47rKr)-1/2 e-(x- y)2/(4KT)
8.4. GREEN'S FUNCTION FOR THE HEAT EQUATION 451
and we have the explicit representation
(8.4.2) u(x; t) = i t
o
1 00
-00
G(x, y; t - s)h(y; s) dyds
THEOREM 8.8. Let hey; s) be a bounded continuous function in the strip 0 5

t 5 T, -00 < x < 00. Then integral (8.4.2) defines a solution of the nonhomoge-
neous heat equation (8.4.1) with u(x; 0) = O.
Proof. We recall from Sec. 5.2 that G(x, y; t) satisfies the heat equation
Gt KG zz = 0 and that for any arbitrary bounded continuous function h, lim,..l.o
-
J~oo G(x, y; r)h(y)dy = hex). We use this to compute the derivative as follows:
u(x; t + ~t) - u(x; t) = it+~t

o
1 00
-00
G(x, y; t + tlt - s)h(y; s) dyds
-l lO
o
t
-00
G(x, y; t - s)h(y; s) dyds
= it
o
1-00
00
[G(x, y; t + tlt - s) - G(x, y; t - s)Jh(y; s) dyds
+ ['+A' [ G(x,y;t+ t.t _ s)h(y;s)dyds
When we divide by tlt and take the limit, the first integral tends to the limit
J: J~oo Gt(x, y; t - s)h(y; s)dyds and the second integral tends to hex, t). Simi-
larly, when we compute U zx , the derivatives can be put directly onto G to obtain
the corresponding integral with G replaced by Gxx But G satisfies the heat
equation G t = KG zz , from which we conclude Ut - Ku xx = h, as required .
To solve the nonhomogeneous heat equation with general initial data, we
apply the superposition principle. The function
u(x; t) = 1: G(x, y; t)f(y) dy+ f.' 1: G(x, y;t - s)h(y; s) dyds
satisfies the equation Ut - Ku zz = h with the initial condition u(x; 0) = I(x).

To solve nonhomogeneous heat equations with boundary conditions, we can
use the method of images to suitably modify G(x, y; t).
EXAMPLE 8.4.1. Find an explicit representation of the solution of the equa-
tion Ut - K U zx = h in the half-space 0 < x < 00, 0 < t < T satisfying the
boundary condition u(O; t) = 0 and the initial condition u(x; 0) = O.
Solution. The corresponding Green's function for this case is obtained by
using the image point Q' = -y, which leads to
G(P, Q; t) = (41rKt)-1/2(e-<x-1I)2/{4Kt) _ e-<Z+1I)2/(4Kt
and the solution
u(x;t) =l lO
o -00
t
G(x,Yit-s)h(YiS)dyds
EXAMPLE 8.4.2. Find the solution of the nonhomogeneous heat equation Ut -

KV 2 u = h in the region IR3 x [0, T] satisfying the initial condition u(P; 0) = O.
Solution. We simply modify the previous one-dimensional construction to
the case of three dimensions. Green's function for this case is
G(P, Q; t) = 111 e-KI~12te(e.p-q) ~
= (41r Kt)-1/2 e- 1P-QI /(4Kt)
2
and the solution of Poisson's equation is
u(P;t) = 1'111 G(P,Q;t - s)h(Q;s)dQds
To solve nonhomogeneous heat equations in higher dimensions, we can suit-

ably modify G(x, Yi t). For example, the three-dimensional equation
Ut - KV 2 u =h PEr, 0 ~ t ~ T
has the particular solution
u(P; t) = 1
[41rK(t-s)]3/2
lt 111
0
{{( e- IP - QI2 /[4K(t-s)]h(Qj s) dQ ds
8.4.2. The one-dimensional heat kernel and the method of images.

A closely related problem is the initial-value problem for the homogeneous heat
equation
Ut = Ku xx (t > 0, -00 < x < 00) u(x; 0) = f(x)
that was solved in Sec. 5.2. There we obtained the Gauss-Weierstrass explicit
representation
u(x; t) = 1
";41rKt
1
00
-00
e-(x-y) 2 !(4Kt) f(y) dy
This can be used to find explicit representations of the solution of initial-boundary-

value problems on a finite interval with homogeneous boundary conditions, lead-
ing to some interesting identities involving infinite series. To do this, we make a
suitable application of the method of images. We illustrate with an example.
EXAMPLE 8.4.3. Find an explicit representation of the solution of the heat
equation Ut = K U xx on the interval 0 < x < L with the boundary conditions
u(O; t) = 0, u(L; t) = 0 and the initial conditions U(Xi 0) = f(x), a piecewise
smooth function.
8.4. GREEN'S FUNCTION FOR THE HEAT EQUATION 453
Solution. We extend f(x) as an odd 2L-periodic function by setting fOdd(X) =

- f( -x) for -L < x < 0 and fodd(X + 2L) = fOdd(X) for all x. We apply the
Gauss-Weierstrass formula to fOdd(X) and transform as follows:
v'4"Kt u(x; t) = [ : e~(~)'/(4Kt) Jodd(Y) dy
= L {J.(2m+l)L + {(2m+2)L} e-(x-y)2/(4Kt) fOdd(Y) dy

-oo<m<oo 2mL J(2m+ l)L
But for each m = 0, +1, -1, ... we can write
(2m+l)L
e-(x-y)2/(4Kt) fOdd(Y) dy = 1L e-(x-y-2mL)2/(4Kt) f(y) dy
J.~L 0
{2m+2)L
= - 1L e- 1z+y -(2m+2)L]2/{4Kt} f(y) dy
1(2m+l)L
2
e-{z-yf /(4Kt) fOdd(Y) dy
0
Thus
u(x; t) = L 1L (e-(z-y-2mL)2/(4Kt) _ e-[X+1I-(2m+2)L]2/(4Kt f(y) dy

-oo<m<oo 0 J4~Kt
which is the required representation .
It is instructive to compare the result of Example 8.4.3 with the Fourier
representation obtained in Sec. 2.2. According to that method, the solution is
written in the form
u(x; t) = E An (sin n~x) e-{n1r/L)2Kt

n~l
where the Fourier coefficient is
An =L 21L f(Y)SlD. (n~y)

0 L dy
Interchanging the orders of integration and summation, we have
U(X; t) = ILL [L:sin n~x (Sin n~y)

o n~l
e-(n1r I L)2 Kt ] f(y) dy
We have represented the function u(x; t) in two different ways. Since this holds
for all piecewise smooth functions f(x),O < x < L, we infer that the integrands
are equal. Thus
-2 ' " (.
L-, n1rx)
sm- (. n7rY ) -(mr/L)2Kt
SIn- e
L n~l L L
= 1 2:: (e-(X- Y-2mL)2/(4Kt) _ e-[X+ y-(2m+2)L]2/(4Kt)
J 47r K t -oo<m<oo
EXERCISES 8.4
1. Find the solution of the heat equation Ut - K U xx = h for 0 < x < 00

satisfying the boundary conditions ux(Oj t) = 0, u(x; 0) = O.
2. Find the solution of the heat equation Ut - Ku xx = h for 0 < x < L
satisfying the boundary conditions u(Oj t) = 0, u(L; t) = 0, u(x; 0) = O.
3. Find a particular solution of the two-dimensional heat equation Ut - K (u xx +
uyy ) = h in the entire plane -00 < x < 00, -00 < Y < 00, 0 ~ t ~ T.
4. Find an explicit representation of the solution of the heat equation Ut =
Ku xx on the interval 0 < x < L with the boundary conditions ux(O; t) =
0, ux(L; t) = 0 and the initial condition u(Xj 0) = f(x), a piecewise smooth
function.
5. Find an explicit representation of the solution of the heat equation Ut =
K U xx on the interval 0 < x < L with the (periodic) boundary conditions
u(O; t) = u(L; t), ux(O; t) = ux(L; t) and the initial condition u(x; 0) = f(x),
a piecewise smooth function.
8.5. Green'8 Function for the Wave Equation

We now seek a Green's function representation for the solution of the three-
dimensional wave equation problem
Utt - cV2u = h(Pj t) PE~,t>O
u(P; 0) =0 Ut(P; 0) =0 PE~
This will generalize the newtonian potential kernel of Sec. 8.2, which is the case
in which u = u(P), h = h(P), independent of time.
8.5.1. Derivation of the retarded potential. To find the explicit repre-

sentation by Green's function, we begin with the Fourier-transformed equation
Utt + c2 1J.L1 2U = H(J.L; t)

u(J.L; 0) =0 Ut(p,; 0) =0
B.S. GREEN'S FUNCTION FOR THE WAVE EQUATION 455
where
u(P; t) = III e'(P,P)U(j.t; t) dl'
U(j.t;t) = (2~ rIll e-,(p,P)u(P;t)dP
h(P; t) = III e'(p,P) H(j.t; t) dj.t
H(j.t;t) = (2~r III e-'(P,P)h(P;t)dP
The Fourier-transformed equation is a second-order ordinary differential equation

that can be solved by the method of variation of parameters:
It remains to invert the Fourier transform.

For this purpose we recall from Sec. 5.3 the surface integral representation of
the sine function as a mean value:
Inserting this into the Fourier representation of u(P; t) and interchanging the
order of integration, we have
(8.5.1) u(P; t) = III l'

e'(p,P) dj.t H(j.t;t - 8) 4"~S ds II
lel=cs
e'(P,{) ~
= 4:&1';ds II ~ ffl e,(p,P+()H(j.t;t-s)dj.t

lel=cs
= 4:C 1' ;dS II

2 h(P+;t - 8)~
lel=cs
This is the retarded potential representation of the solution u(P; t). It can be
written as a solid integral purely in terms of the spatial variables by writing
Q=P+{and
U,
(p .t) = _I_ltd
47rc2 0 s
rr h(Q, t -
JJ
(l/c)IP - QI) dQ
IP - QI
IP-QI=cs
= _1_ rrr h(Q,t- (l/c)IP-Ql)dQ
47rc2 JJJ IP - QI
IP-QI<ct
This formula reduces to the newtonian potential in the special case of time-
independent problems. To see this, let h(Pj t) = Clh(P) and let c ~ 00 in the
above representation. We obtain
. I rrr
~~h(Pj t) = 47r JJJ IP _ Ql dQ
h(Q)
The representation formula (8.5.1) can be expressed in terms of the mean-

value operator that was used to solve the Cauchy problem for the homogeneous
wave equation in Sec. 5.3, MRf(P) = [1/(47rR2)] ff1el=R f(x + {)d{. This can be
written as an integral over the unit sphere in the form
Mnf(P) = 4~ JJ f(P+&J)dw
Iwl=l
This form has the advantage that the dependence on radius R appears inside the
integral and not in the region of integration. (The first form is preferable when
we apply the divergence theorem.) To use this above, we write h(t}(P) = h(P; t),
and the inner integral in (8.5.1) is written as Mcs(sk<t-s})(P) so that the solution
takes the form
u( P; t) = f.t Meg (sh(t-.) (P) ds = l' Mc(t-.) ((t - s )h(')( P) ds
From Sec. 5.3, the integrand is the solution of the Cauchy problem Uu - c2 yr 2 u =
o with u(Pj 0) = 0, Ut(Pj 0) = h(s)(P). This connection makes it possible to
first study the homogeneous problem and then apply the results obtained to the
nonhomogeneous problem.
First we turn to the proof of the representation formula (5.3.11) for the ho-
mogeneous equation, which was left open in Chapter 5.
THEOREM 8.9. Suppose that f(P), P E IRs, is a real-valued continuous func-
tion with two continuous partial derivatives. Then the formula u(P; t) = tMctf(P)
defines a twice-differentiable function that satisfies the conditions Utt = 2
u, e-V
u(P; 0) = 0, Ut(Pj 0) = f(P).
8.S. GREEN'S FUNCTION FOR THE WAVE EQUATION 457
Proof. We have
u(P; t) = 47r~2t II f(P + e) df. = 4~ II f(P + ctw) dw

lel=ct Iwl=1
Clearly, u(P; 0) = o. The first derivative is given by
u(P;t) = 4~ II f(P+ctw)dfl+ 4~ II Vf(P+ctw) cwdw

Iwl=l Iwl=1
In particular, Ut(P; 0) = f(P). To proceed further, we transform the second

integral by the divergence theorem:
4~ II V f(P + ctw) cwdw = 4:ct II (~) (PH)~

Iwl:::::1 lel=ct
= 4:cJ ff (V fl(P H.l ~

2
lel<ct
so that we may write
u,(P;t) = 4~ II f(P+ ctw)dw + 4:ct

Iwl=1
t ds II(V2f)(PH)~
lel=cs
Differentiating again with respect to t and applying the divergence theorem, we

have
u,,(P; t) = 4: II Vf(P + ctw) w - 41r~2 [t ds II(V2f)(p H) ~

Iwl=l lel:::::cs
+ 4~JI(V2f){p+O~
lel=ct
= 41r~2 111(V2f)(PH)~ - 41r~2 111(V2f)(PH)~

~<ct ~<ct
I
+ 4~J (V2 f){P H) ~
lel=ct
2
= ; : II V f(P+ctw)dw
Iwl=l
But if we compute the spatial derivatives of u by differentiating the integral

defining u(P; t), we obtain the formulas
U Xt (P; t) = 4~ II
Iwl:1
f:r;, (P + ctw) dI.u
u:r;t:r;J (P; t) = 4~ II !:r;,xJ (P + ctw) dI.u 1 ~ i,j ~ 3

Iwl:l
In particular,
2
V u(P; t) = u"x, + U X2X2 + u,," = 4~ II(
Iwl:1
V2 /)(p + ctw) rh.J = (~) UtI
which was to be proved .

We can now use this theorem to solve the general Cauchy problem for the
homogeneous wave equation.
THEOREM 8.10. Suppose that f(P), P E R3, is a real-valued function with
three continuous partial derivatives. Then the formula v(P; t) = (8/8t)[tMct !(P)J
defines a twice-differentiable function that satisfies Vtt(P; t) = c2 \1 2v with the ini-
tial conditions v(P; 0) = f(P), Vt(P; 0) = O.
Proof. Both f and \1! are twice differentiable, so v = Ut = (8/8t){tMctg) ,
given by the first line in the proof of Theorem 8.9, is twice differentiable. Since
U satisfies the wave equation (also by Theorem 8.9 ), we can write
(
82
at 2 -
2
c \1
2) Ut = 8t8 (Utt - c2\12U) = 0
so that v also satisfies the wave equation. From the proof of Theorem 8.9 we
have v(P; 0) = Ut(P; 0) = f(P), Vt(P; 0) = Utt(Pj 0) = O.
Combining the results of the above two theorems by the superposition prin-
ciple, we have obtained the rigorous proof of the Poisson formula
8
u(P; t) = 8t (tMctit){P) + tMcth(P)
for the solution of the wave equation Utt = ~\12u with the initial conditions
u(P; 0) = fl (P), Ut(P; 0) = h(P) .
We can now return to the nonhomogeneous equation and prove that formula
(8.5.1) gives the rigorous solution of the Cauchy problem for the nonhomogeneous
wave equation. To do this, we write
u(P; t) = l v(')(P; t - s) ds
8.5. GREEN'S FUNCTION FOR THE WAVE EQUATION 459
where v(s) is the solution of the homogeneous wave equation Vtt =c2V 2 v, v(a)(p; 0)
= 0, v!s) (P; 0) = h($). By Theorem 8.9 the solution is v(s){P; t) = tMcth(s).
Clearly u{Pj 0) = O. Now we can differentiate under the integral to obtain
u,(P; t) =(!) l v{'l(p; t - s) ds = v('l(p; 0) + /.' vl'l(p; t - s) ds

Utt(P; t) = (:t:) 1.' '1/')(P; t - s) ds = vl'l(p; 0) + 1.' vl:l(p; t - s) ds
Immediately Ut(P; 0) = v(s)(Pj 0) = 0, by construction. From the preceding

calculations we know that Vu = CZV 2v, and hence the final integral in Uu equals
c2v2 u while the first term of Utt is h(P; t) by construction. We have proved that
U satisfies the nonhomogeneous wave equation Utt - c2v u = h.
2
This is summarized as follows.

THEOREM 8.11. Suppose that h(Pj t) is a continuous function for which P -+
H{Pj t) has two continuous partial derivatives. Then the solution of the wave
equation Utt - C2V 2 U = h(Pj t) with u(P; 0) = 0, Ut(Pj 0) = 0 is given by the
retarded potential
u(P; t) = 1.' MC(H) (sh(')(P) ds
= _1_
41Tc2
JJJ
r
'[ { h{Q, t - (l/e)IP - QI) dQ
IP - QI

IP-QI<ct
8.5.2. Green's function for the Helmholtz equation. In case the right
side has a harmonic time dependence, we can give a direct treatment of the wave
equation in terms of the Helmholtz equation. Specifically, we assume that the
right side of the wave equation is written in the complex form h{P; t) = h(P)e1Wt
We look for a solution in the form u(P; t) = u(P)elWt This leads us to the
nonhomogeneous Helmholtz equation
V2 u + k 2u = -h k= ~
e
We may look for solutions in the entire three-dimensional space or in a region
with a smooth boundary.
To formulate Green's function for the entire three-dimensional space, we begin
by looking for radial solutions with the characteristic singularity at r = O. In polar
coordinates we have 0 = V 2 u+k 2 u = urr + (2/r)u r +k2 u = {l/r)[(ru)rr + k 2 {ru)]
with the general solution u = (l/r)(A cos kr + Bsinkr). To achieve the proper
singularity at r = 0, we choose A = 1/(41T); the value of B is undetermined,
since that part of the solution is smooth at r = 0 and is not determined by the
singularity of Green's function or by requiring that u -+ 0 at infinity since U -+ 0
for any choice of B.
To determine a unique Green's function for the Helmholtz equation, we write

the solution in complex form:
u = ~(Ae'kr + Be- ,kr )
r
which redefines the constants A, B. To have the proper singularity at r = 0,
we must have A + B = 1/{47r). To determine both constants, we look at the
corresponding complex separated solutions of the wave equation:
u{P; t) = !(Ae'(kr+wt) + BeIC-kr+wt)
r
This describes an outgoing spherical wave if A = O. It describes an incoming
spherical wave if B = O. We use these notions to determine a unique Green's
function.
The function u = e- 1kr /r satisfies the first-order differential equation (ru)r =
-ike- ,kr = -ikru, which entails that rUr + u = -ikru or U r + iku = _e- 1kr /r2.
This equation motivates the concept of the outgoing radiation condition, which
is the statement that
r --+ 00
It is satisfied, in particular, for the function u = eskr /r. Similarly, the incoming
radiation condition is the statement that U r - iku = O{1/r 2 ), r --+ 00. It is
satisfied, in particular, for the function u = e- 1kr /r. Either may be used to
determine a unique Green's function for the Helmholtz equation. We formulate
the following theorem.
THEOREM 8.12. Let u be a solution of the Helmholtz equation V 2 u+k2 u = -h
in the entire three-dimensional space satisfying the outgoing radiation condition
and the condition that u --+ 0 when r --+ 00. Then we have the representation
rrr e-IkIP-QI
u{P) = 111 47rIP_Ql h{Q)d Q
Proof. We begin with Green's identity, written in the form
!!![u(V2+k2)G-G(V2+k2)ul=
D~.R
ff (u:~ -G:) d8
8Dc .R
Q
where we have added and subtracted the term k2 uG on the left side. This integral
is analyzed exactly as for the case of Poisson's equation in Sec. 8.2. For the right
side, the integral on IQ - PI = is analyzed as before. For the integral on
/Q - PI = R, we note that both u and G satisfy the outgoing radiation condition,
and hence we can replace au/an and aG/an by -iku+O{1/r2 ) and (respectively)
-ikG + O{1/r2 ). Two of the terms cancel, and the resulting integrals tend to
zero when R --+ 00, giving the required result .
8.S. GREEN'S FUNCTION FOR THE WAVE EQUATION 461
8.5.3. Application to the telegraph equation. In Sec. 5.4 we found the

Fourier representation of the solution of the telegraph equation Utt + 2/3ut +au =
c2 u xx The form of the solution depends on whether a < /32 , a = /32 , or a > /32
In the second case, the explicit representation is available from d'Alembert's
formula, and there is nothing further to do. We now treat the other two cases,
using a method of descent beginning with the two-dimensional wave equation.
As a preliminary simplification, we recall that the definition v(x; t) = u(x; t)e pt
transforms the telegraph equation to a special form with f3 = 0, that is, the equa-
tion Vtt = e-vxx k 2v, where either k 2 = f32 - a or k 2 = a - /32 , whichever
is positive, corresponding to case 1 or case 3. First we examine the case where
a < /32 , which is the initial-value problem for
Vtt - c2 vxx = k2 v
with
V(x; 0) = It (x), Vt(x; 0) = h(x)
To relate this system to the two-dimensional wave equation, we introduce a
new independent variable y and consider the function
w(x, y; t) = v(x; t)e(ky/c)
For this function, we have Wtt = Vtte(ky/c), Wxx = vxxe(ky/c) , Wyy = (k / c )2 ve (ky/c) ,
and the equation
Wtt - c2(w xx + wyy ) 0 =
with
Wt(x, y; 0) = h(x)e(ky/C)
This two-dimensional wave equation is solved by formula (5.3.11):
d
w(x, y; t) = dt (tMctFd + tMctF2
where F1 (x, y) = f1 (x)e(ky/c), F2(x, Y) = !2(x)e(k y/c).
The mean-value operator is expressed from (5.3.13) as
M F.(x ) =
ct"y 2ct
7r
-1-ii Fi(X+{1,Y+{2)delde2
J()2
ct - {I2 - {22 i=1,2
1~I<ct
__1_ { { f,(x + {t}e(k/C)(Y+{2)

- 27rct JJ J(ct)2 _ ~2 _ ~2 d{l d{2
1{I<ct 1 2
To evaluate the {2 integral, we define a new variable of integration by the formula

6 = J(ct)2 - {? cosO, 0 < 0 < 7r, to find
(k/C)(Y+~2) 17r
1. e 2 2 2 de2 = e(ky/c)
1~21<v'(ct)2_~? J(ct) - {I - {2 0
e(k/ch!(ct)2_{?COS9 dO
The final integral was seen in Sec. 3.2 as the integral representation of the Bessel
function with imaginary argument, that is, 10 k/c) J(ct)2 - ~n. Therefore we
have
MctF;(x, y) = e(/cl2~ 1: !.(x + 6)10 (~J(ct)2 -~?) Ii{,
Canceling the factor e(ky/c), we have found the solution of the telegraph equation
with !1 = O. To find the solution in general, we need to differentiate this integral
with respect to t:
d 1
dt (tMct !,) = 2c[Ji(X + ct) + f,(x - ct)]
+;c1>(x+~,)! {Io [~J(ct)2_~?]} Ii{,
But the derivative of the Bessel function 10 is the Bessel function II : I~ = II.
Therefore we conclude that
! (tMct!;) = ;c[J.(x + ct) + !.(x - ct)l + i 1:

We can summarize these calculations in the following form.
!.(x + eli, [~J(ct)2 - e] Ii{
THEOREM 8.13. The explicit representation of the solution of the telegraph

equation Vtt - c2 vxx = k 2 v with v(x; 0) = It (x), Vt(x; 0) = h(x) is given by
v(x; t) = 21 ret h(x + e)lo [~J(ct)2 - e2] de

c J-et C
+ ~[Jl (x + ct) + It (x - ct)] +: J-ct +

c
ret It (x e)11 [~J(ct)2
c
- ~2] de
This concludes the derivation of the solution.
In the exercises we solve the telegraph equation in case 3, for Vu - c2vxx =
_k2v, leading to the replacement of the modified Bessel function by the usual
Bessel function Jo
EXERCISES 8.5
1. Find the explicit representation of the solution of the two-dimensional wave

equation Uu - c2(uxx + Uyy) = h(x, y; t) with u(x, y; 0) = 0, Ut(x, y; 0) = O.
[Hint: Apply the method of Theorem 8.11 with the two-dimensional mean-
value formula (5.3.12).]
2. Find the explicit representation of the solution of the one-dimensional wave
equation Utt - c2 uxx = h(x; t) with u(x; 0) = 0, Ut(x; 0) = O. [Hint: Apply
the method used in Theorem 8.11 with the one-dimensional mean-value
operator Metf = [1/(2ct)] f:~~t f(z)dz.]
8.5. GREEN'S FUNCTION FOR THE WAVE EQUATION 463
3. Consider the one-dimensional Helmholtz equation utI + k u = -h(x).

2

(b) Show that this can be rewritten as the explicit representation
e,klx-yl
1
00
u(x) = - - .-h(y) dy
-00 2~k
(c) Suppose that h is continuous and satisfies h(x) = O(1/lxI2) when
Ixl -4 00. Prove that u'(x), u"(x) [defined in (b)J exist and that u satisfies
the one-dimensional Helmholtz equation.
4. Find the explicit representation of the solution of the telegraph equation
Vtt - c?vxx = -k2 v with u(x; 0) = h(x), Vt(x; 0) = h(x). [Hint: The func-
tion w(x, y; t) := ei(ky/c)v(x; t) satisfies the two-dimensional wave equation
Wtt = c?(wxx + wyy ).]
5. Find the explicit representation of the solution of the two-dim. telegraph
equation Vtt - Cl(vxx + vyy ) = k 2v with v(x, y; 0) = 11 (x, y), Vt(x, y; 0) =
f2(X, y). [Hint: The function w(x, y, z; t) := e(kz/c)v(x, y; t) satisfies the
three-dimensional wave equation Wtt = c2(w xx + Wyy + W ZZ ).]
APPENDIXES
A.I. Review of Ordinary Differential Equations

In this section we give a review of the necessary techniques and theoretical back-
ground to deal with the ordinary differential equations that arise in the text. The
reader has surely encountered examples of ordinary differential equations in cal-
culus courses. For example, the equation y' = ky, which has the general solution
y(t) = Cekt , governs exponential growth and decay. The equation y" + w2 y = 0,
which has the general solution y(t) = A cos wt+ B sin wt, governs simple harmonic
motion with angular frequency w. In this section we shall give a brief account of
the necessary facts and techniques of ordinary differential equations, which are
used throughout the book.
A.lo1. First-order linear equations. The simplest class of explicitly solv-

able differential equations are the first-order linear equations, written
b(t)y'(t) + c(t)y(t) = d(t)
where b(t), c(t), d(t) are known functions and y(t) is the unknown function.
Equations of this type may be solved by the method of integrating factors. We
may suppose that b(t) is nonzero in an interval a < t < b. The first step is to
divide by the nonzero function b(t) and rewrite the equation in the equivalent
form
(A.I.!) y'(t) + p(t)y(t) = q(t)

where p(t) = c(t)jb(t) and q(t) = d(t)jb(t). The method of integrating factors
requires that one find a function J.L(t) such that J.L(t)[y'(t) + p(t)y(t)1 = [J.L(t)y(t)],
for every possible function y(t). This requires that J.L(t) satisfy the auxiliary
equation J.L'(t) = J.L(t)p(t). This may be solved by writing [log J.L(t)]' = J.L'(t)/ J.L(t) =
p(t); we choose a fixed reference point to and write
JL(t) = exp L' p(s) ds
Having obtained J.L(t), the solution y(t) may be obtained by multiplying (A.I.!)
by J.L(t) to obtain [J.L(t)y(t)]' = J.L(t)q(t), which can be integrated to obtain the
465
466 APPENDIXES
solution formula
(A.1.2) y(t) =
c + Itt J.L(s)q(s) ds
0
J.L( t)
where we have incorporated the arbitrary constant C before the definite integral.
One may summarize this method in the statement that a first-order linear
equation is solved by means of two integmtions: the first to find the integrating
factor, and the second to integrate the right-hand side and find the solution. We
illustrate using the equation with constant coefficients.
EXAMPLE A.I.l. Find the general solution of the equation y' + cu = d where
c, d are constants with c f. O.
Solution. An integrating factor is obtained by solving J.L'(t) = CJ.L(t) with the
base point to = OJ thus J.L(t) = ect. Referring to (A.I.2), we have
y(t) = C + f/ect
0
decsds
= Ce- ct + (dlc)(l _ e- ct )
This may also be written in the equivalent form y(t) = dlc+C1e- ct by a different
choice of the arbitrary constant C1 = C - dlc .
The next example involves division by the top coefficient.

EXAMPLE A.I.2. Find the general solution of the equation ty' +cu = d, where
c, d are constants with c f. O.
Solution. We write the equation in standard form: y' + cult = dlt. Using
to = 1 as a base point,the integrating factor is J.L(t) = exp(flt(c/s) ds) = t C , so
that the general solution of the equation is
y(t) = C + fit sC(dls) ds = C + d(t C- l)/c
tc tc
A.1.2. Second-order linear equations. When we turn to higher-order lin-

ear equations, it is no longer possible to write down the general solution by means
of integrals, as we have done for the first-order linear equation. This is possible
for the equation of constant coefficients, which will be discussed in detail be-
low. First we review some of the general theory of second-order linear differential
equations.
A second-order linear ordinary differential equation is written in the form
(A.1.3) a(t)y" + b(t)y' + c(t)y = d(t)
where a(t), b(t), c(t), d(t) are given functions. If the coefficient functions on the
left side are constant, a(t) = a, b(t) = b, c(t) = c, then we speak of an equation
A.I. REVIEW OF ORDINARY DIFFERENTIAL EQUATIONS 467
with constant coefficients. The equation is said to be homogeneous if d(t) = O.

Assuming that the top coefficient aCt) is nonzero in an interval a < t < b, we
may divide by aCt) to obtain the standard form
(A.1.4) Y" + p(t)y' + q(t)y = ret)
where pet) = b(t)/a(t), q(t) = c(t)/a(t), ret) = d(t)/a(t).
The following fact is of great theoretical importance.
THEOREM A.I. (Existence-uniqueness theorem) Let pet), q(t), ret) be contin-

uous functions on the interval a $ t ~ b and to a point in the internal. Let Yo, YI
be given real numbers. Then there exists a unique function yet) that satisfies
the differential equation (A.l ...1j and satisfies the initial conditions y(t o) = Yo,
y'(to) = YI.
The proof of this theorem may be found in textbooks on ordinary differential
equations. Our interest is in finding the solutions when possible and in using the
theorem to obtain other important information
When we specialize to the case ret) == 0, we have the homogeneous equation,
whose solutions may be studied as follows. Let YI (t) be the solution of the
homogeneous equation with the initial conditions YI (to) = 1, y~ (to) = 0 and let
Y2(t) be the solution of the homogeneous equation with the initial conditions
Y2(tO) = 0, y~(to) = 1. Applying the existence-uniqueness theorem, we obtain the
following useful corollary.
PROPOSITION A.I.I. The general solution of the homogeneous equation y" +
p(t)y' + q(t) = 0 can be written uniquely in the form
yet) = C1Yl (t) + C2Y2(t)
where C 17 C2 are constants and YI (t), Y2(t) are the particular solutions defined
above.
Proof. The existence of the functions yet), YI (t), Y2(t) follows from the
existence-uniqueness theorem. If we set C 1 = y(to), C 2 = y'(tO), then both yet)
and CIYI (t) + C2 Y2(t) satisfy the same second-order linear differential equation
and have the same initial conditions at the point t = to. Hence they are the same
function for all t, a < t < b.
The functions Yl (t), Y2(t) are called a fundamental set of solutions of the
homogeneous equation. Although it is not possible to explicitly construct a fun-
damental set for every second-order linear equation, this is always possible for
the equation with constant coefficients, to be discusssed in the next subsection.
First, we briefly discuss the nonhomogeneous equation y" + p(t)y' + q(t)y =
ret). The general solution is obtained by the method of particular solutions, as
follows.
468 APPENDIXES
PROPOSITION A.1.2. Suppose that Yo(t) is a known solution of the nonhomo-

geneous equation Y" + p(t)1I + q(t)y = r(t). Then the general solution is obtained
in the form y(t) = yo(t) + CIYl (t) + C2Y2(t) , where G1 , G2 are arbitrary constants
and YI(t), Y2(t) are the solutions of the homogeneous equations discussed above.
Proof. This also follows from the existence-uniqueness theorem, when we
note that both y(t) and Yo(t) + CIYl(t) + G2Y2(t) satisfy the same second-order
linear equation and have the same initial conditions.
A.I.3. Second-order linear equations with constant coefficients. We

now outline the procedure for finding the general solution of a second-order homo-
geneous linear differential equation with constant coefficients, ay" + by' + cy = 0,
where a, b, c are real numbers with a 1= o. We try an exponential solution
y(t) = eTt and substitute in the equation with y'(t) = TeTt , yll(t) = r 2eTt ; thus
0= ar 2eTt + breTt + ceTt = (ar2 + br + c)eTt . We consider three cases.
Case 1: The characteristic equation ar2 + br + c = 0 has real roots rl 1= r2'
Case 2: The characteristic equation ar2 + br + c = 0 has equal real roots Tl = T2.
Case 9: The characteristic equation ar2 + br + c = 0 has complex roots r = A iJ.L
with J.L 1= O.
From elementary algebra it is clear that this exhausts all possible cases. Indeed,
the quadratic formula yields r = (-b Jb 2 - 4ac)/2a, so that case 1 corresponds
to ~ - 4ac > 0, case 2 to b2 - 4ac = 0, and case 3 to b2 - 4ac < O. We now give
the general solution of the differential equation in each of the three cases.
Case 1: The general solution is y(t) = G1eTlt + G2eT2t , where Ct, C2 are arbitrary
constants and rl, r2 are the roots of the characteristic equation ar2 + br + c = O.
Case 2: The general solution is y(t) = Glert +G2 te rt , where Ot, O2 are arbitrary
constants and r is the root of the characteristic equation ar2 + br + c = O.
Case 9: The general solution is y(t) = e"\t(Gl COSJ.Lt+C2 sinJ.Lt), where G), G2 are
arbitrary constants and A + iJ.L, A - iJ.L are the complex roots of the characteristic
equation ar2 + br + c = O.
EXAMPLE A.1.3. Find the general solution of the differential equation y" +
3y' + 2y = O.
Solution. The characteristic equation is r2 + 3r + 2 = 0, with roots rl = -1,
T2 = -2. Therefore this represents case 1 and the general solution is y(t) =
C1e- t + C2e- 2t
Often, when working with case 1, we may find it convenient to express the
solution in terms of hyperbolic functions. Recall that the defining equations for
these functions are sinh x = 4(eX -e- X ), coshx = 4(e x +e-X ). From this it follows
that eX = cosh x + sinh x and e- x = cosh x - sinh x. Thus any linear combination
of exponential functions may be written in terms of hyperbolic functions. The so-
lution of case 1 is written as y(t) = C 1 (cosh rlt+sinh r1t)+C2(cosh r2t-sinh r2t).
To verify the solution, we may use the differentiation formulas (d/dx)(sinhx) =
cosh x, (d/dx)(cosh x) = sinhx.
EXAMPLE A.1.4. Solve the initial-value problem y" - 4y = 0, y(O) = 0,

y'(O) = 6.
Solution. The characteristic equation is r2 - 4 = 0, with roots rl = 2,
r2 = -2. The general solution is y(t) = C 1e2t + C2 e-2t = (C1 + C2 ) cosh 2t +
(C1 - C2 ) sinh 2t. Setting t = 0 and using the initial conditions, we must have
0= (C 1 + C 2 ), 6 = 2(C1 - C 2 ). The required solution is y(t) = 3sinh2t.
We now illustrate a typical example from case 3.
EXAMPLE A.1.5. Solve the initial-value problem y" + 2y' + 2y = 0, y(O) = 3,

y'(O) = -1.
Solution. The characteristic equation is r2 + 2r + 2 = 0, which has the
complex roots r = -1 i. Therefore we have case 3 and the general solution is
y(t) = e- t (C1 cos t+C2 sin t). The initial conditions require 3 = C 11 -1 = C 2 -CI
The solution is y(t) = e- t (3 cos t + 2 sin t) .
We illustrate the method of particular solutions in the case of an equation

with constant coefficients.
EXAMPLE A.1.6. Find the general solution of the equation ay" + by' +cy = d,
where a, b, c, d, are constants with a =F 0, c =F O.
Solution. A particular solution is yo(t) = d/c, since 1Io(t) = 0, yg(t) = 0

for this choice of yo(t). Thus the general solution of the equation is y(t) =
d/c + C l Yl (t) + C2Y2(t), where C}, C2 are arbitrary constants. It will depend
upon the exact values of a, b, c whether case 1, 2, or 3 applies .
EXAMPLE A.1.7. Find the general solution of the equation ay" + by' = d,
where a, b, d are constants with a =F 0, b =F O.
Solution. A particular solution is yo(t) = dt/b, since y~(t) = d/b, yg(t) = 0

for this choice of yo(t). To obtain the general solution, we have the characteristic
equation ar2 + br = 0, with roots r = 0, -b/a. The general solution of the
equation is y(t) = dt/b + C 1 + C2e-(bt/a)
470 APPENDIXES
A.1.4. Euler's equidimensional equation. Having solved the second-

order linear equation with constant coefficients, it is possible to solve other
second-order linear equations by a transformation of the independent variable.
This is defined by an increasing function s = l/J(t) that is smooth and has a
smooth inverse function. A new function Y is defined by writing Y(s) = y(t).
The derivatives are computed using the chain rule for composite functions; thus
dy/dt = (dY/ds)(ds/dt), d?-y/dt 2 = (dY/ds)(d?-s/dt 2)+(d?-Y/ds2)(ds/dt)2. When
these are expressed in terms of s and substituted in the second-order equation,
we obtain a new equation for the transformed function Y.
The Euler equidimensional equation arises in the important case of the trans-
formation s = et Applying the chain rule as above, we first note that
ds t d?-s t
dt =e , dt2 =e
so that
y' = dy =
etdY = s dY = sY/(s)
dt ds ds
d?-y dY d?-Y dY ~y
y" = - 2 = et _ +e2t _ 2 = s - +S2_ = sY' +sY"
dt ds ds ds ds 2
and the constant-coefficient equation is transformed as follows:
o = ay"(t) + by'(t) + cy(t)
= a(sY'(s) + s2y"(S) + b(sY'(s + cY(s)
= as 2y"(s) + (a + b)sY'(s) + cY(s)
By renaming the coefficients, the Euler equidimensional equation is written in
the form
(A.1.5) Ias y" + {3sY' + "tY = 0 I
2
where we have set a = a, {3 = a + b, 'Y = c and the new independent variable s

is assumed to be positive: s > O.
To find the general solution of (A.1.5), we transform the exponential trial
solution y(t) = eTt = (ety = sr = Y(s). Substitution of the trial solution
Y(s) = ST into (A.1.5) produces the quadratic equation ar(r -1) + {3r+'Y = O.
Exactly as for the constant-coefficient equation, we have the following threefold
classification.
PROPOSITION A.1.3. For the Euler equidimensional equation (A.l.5) exactly
one of the following three situations arises.
(a) The quadratic equation a r( r - 1) + {3 r + 'Y = 0 has two distinct real roots
rl =F r2 In this case the general solution is given by
Y(s) = GISTl + G 2ST2
where G17 G2 are arbitrary constants.
(b) The quadratic equation ar(r - 1) + /3r + '1 = 0 has a repeated real root
rl = r2.In this case the general solution is given by
where C 1 , C 2 are arbitrary constants.

(c) The quadratic equation a r (r - 1) + /3 r + '1 = 0 has two complex conjugate
=
roots Tl A + ip" r2 = A - iJL. In this case the general solution is given by
Y (s) = C 1 S>. cos(J-L log s) + C2 s>' sin(J-L log s)
where C 1, C2 are arbitrary constants.
EXAMPLE A.l.8. Find all solutions of the equation s2y" - 3sY' + 4Y = O.
Solution. The quadratic equation is r(r - 1) - 3r + 4 = 0, which simplifies

to 0 = r2 - 4r + 4 = (r - 2)2. This has the repeated root r = 2, so that the
general solution is Yes) = C1S2 + C2 s2 10gs .
A.I.S. Power series solutions. If the homogeneous linear equation a(t)y"+

b(t)y' + c(t)y = 0 does not have constant coefficients, the solutions Yl (t), Y2(t)
cannot be written as elementary functions, in general. The method of power series
provides a useful algorithm for obtaining solutions for a wide class of second-order
equations with nonconstant coefficients. We assume that the functions aCt), bet),
c(t) have convergent power series expansions about t = to.
00
aCt) = ao + Lan(t - to)n

n=l
00
bet) = bo + Lbn{t - tot

n=l
00
c(t) = Co + Len(t - to)n

n=l
The point t = to is called an ordinary point if ao = aCto) f:. O. Under these

hypotheses, we can find power series solutions yet) of the equation a(t)y"+b(t)y'+
c(t)y = 0, convergent for It - tol < ~, an interval on which aCt) f:. O. To find these
solutions, we assume a solution of the form
00
yet) = Yo + LYn(t - to)n

n=1
472 APPENDIXES
Differentiating formally, we have

00
y'(t) = LnYn(t - to)n-l

n=l
00
y"(t) = I:n(n - I)Yn(t - to)n-2

n=l
We form the power series for a(t)y", b(t)y', and c(t)y. Summing these and equat-
ing the coefficients of 1, (t - to), /~ .. to zero, we obtain linear equations for
the coefficients Y2, Y3, .... The coefficients Yo, Yl are determined by the initial
conditions. In this way we obtain the power series solution of the equation.
EXAMPLE A.1.9. Find the power series solution of the equation Y" + ty = 0
with the initial conditions y(O) = I, y'(O) = O.
Solution. We assume a power series of the form
00
y(t) = I + I: Yn tn
n=2
Differentiating, we have
00
y"(t) = I: n(n - I)Yn tn - 2

n=2
Thus
y" + ty = 2Y2 + t(1 + 6Y3) + t2(12Y4) + ...
+ tn[Yn_l + (n + 2)(n + I)Yn+2] + ...
Equating each coefficient to zero, we have Y2 = 0, Y3 = - k, Y4 = 0, Ys = 0,
Y6 = l~O' and, in general,
(-I)k
Y3k = 3k(3k - I )(3k - 3) .. 6 . 5 . 3 . 2
Y3k+l = 0
Y3k+2 = 0
The solution is
00 ( l)kt 3k
y(t) = 1 + '"' -
{;:: 3k(3k - 1)(3k - 3) .. 6532
We now discuss power series solutions of the equation a(t)y" +b(t)y' +c(t)y =
0, with a(to) = O. This will be modeled on the Euler equidimensional equation,
just as the preceding discussion was modeled on the constant-coefficient equation.
We say that t = to is a regular singular point if the functions (t - to)b(t)/a(t) and

(t - to)2c(t)/a(t) both have convergent power series expansions about t = to.
(t -a~~~b{t) = (3(t) = flo + ~(3n(t - to)"
(t - :(l;C(t) = 'Y(t) = 'Yo + ~'Y"(t - to)"
Thus the equation is written in the form

(t - t o)2y" + (t - to)f3(t)y' + "f(t)y = 0
The method 0/ Frobenius states that we can find a power series solution in
the form
(A.1.6)
(Xl
= (t - toY + LYn(t - to)n+r

n=l
The exponent r and the coefficients Y2, Y2, ... are found by substituting in the
differential equation and equating the coefficients of (t - toY, (t - to)r+l, ....
Thus we have the formal series
(Xl
y' = r(t - toy-l + L(n + r)Yn{t - to)n+r-l

n=l
00
Y" = r(r -
l)(t - toy- 2 + L(n + r)(n + r - l)Yn(t - to)n+r-2
n=l
Equating the coefficient of (t - toY to zero gives the indicial equation
r( r - 1) + ,Bor + 10 = 0
This equation has two roots, rl, r2. If they are real, we take the larger root
r = ~[1- Po + J(l - f30)2 - 4'Yo], With this value of r we equate the coefficients
of (t - toy+l, (t - toy+2, ... to zero to obtain the coefficients Yb Y2,'" and to
obtain the Frobenius solution (A.1.6).
EXAMPLE A.1.I0. Find the Frobenius solution 0/ the equation t 2 y" + ty = O.

Solution. We have to = 0, pet) = 0, 'Y(t) = t. The indicial equation is
r(r-1) = 0, with roots r = 0,1. We look for the power series solution in the form
Y = t + 2::=lYntn +1. Thus y' = 1 + 2::=1 (n + l)Yntn, y" = 2:::1 (n + 1)nYntn-1,
t 2 y" +ty = t 2 (2Yl + 1) +t3 (6Y2 +Yl)+" +tn[n(n-l)Yn_l +Yn-2] + .... Matching
each coefficient to zero, we have Yl = -~, Y2 = 1/(322), Y3 = -1/(43322),
... , Yn = (_l)n I(n + l)(n!)2.
474 APPENDIXES
The solution is
A.1.6. Steady state and relaxation time. Many differential equations

that occur in applications have solutions y(t) that tend to a limit Yoo when the
time t tends to infinity. This represents an equilibrium state, or steady state, of
the system. When this happens, it is useful to have a quantitative measure of
the time necessary for the system to come within a fixed fraction of the steady
state. The relaxation time T is defined by the following limit.
!T = - lim! In Iy(t) - Yool

t-too t
EXAMPLE A.I.1I. For the differential equation y' + 3y = 6 with the initial
condition y(O) = 1, find the steady state and the relaxation time.
Solution. The solution of the differential equation can be obtained with the
integrating factor e3t Thus (ye 3t )' = 6e 3t , ye3t = 1 + 2(e 3t - 1) = 2e3t - l.
Thus y(t) = 2 - e- 3t and the steady state is Yoo = 2 = limt-too y(t). To find the
relaxation time, we write ly(t)-21 = e- 3t , In ly(t)-21 = -3t, (-lit) In ly(t)-21 =
3. Therefore T = i,
and we have found the relaxation time .
The relaxation time is closely related to the half-life T, defined by the equation
ly(T) - Yool/ly(O) - Yool = 4. In the previous example we found the result that
Iy(t) - Yool/ly(O) - Yool = e- 3t ; therefore the half-life is obtained by solving
e- 3T = 4 or T = i In 2 = 0.23, to two decimals. This is typical for first-order
equations, where the relaxation time and half-life differ by the factor In 2. We
choose to work with the relaxation time because of the absence of the factor In 2
in the formulas.
It should be noted that the relaxation time depends on the solution, as well
as the equation. Consider, for example, the differential equation y" - 5y' +6y = 0
with the two solutions Yl (t) = e- 3t and Y2(t) = e- 2t Both solutions have the
same steady state Yoo = O. For Yl(t) we have the relaxation time Tl = i, whereas
for the solution Y2(t) we have the relaxation time T2 = ~.
In general, the relaxation time furnishes a practical estimate of the time nec-
essary to come "close" to the steady state. To see this, we may solve the equation
[y(t) - Yoo]/[y(O} - Yoo] = q, a fixed fraction. For q = 0.01, we get e-(t/T) = 0.01,
tiT = In 100 = 4.6. Thus after five units of relaxation time the system comes to
within 1 percent of the steady state.
A.1. REVIEW OF ORDINARY DIFFERENTIAL EQUATIONS 475
EXERCISES A.l
In Exercises 1 to 5, find the general solution of each of the indicated first-order

equations.
1. y' + 2ty = e- t2
2. ty' + y = 1
3. y' + 3y = e2t
4. ty' + 4y = t 2
5. (sin t)y' + (cos t)y = cos t
In Exercises 6 to 10, find the general solution of each of the indicated second-order
equations.
6. y" + 4y = 0
7. y" + 4y' + 4y = 0
8. y" + 2y' - 15y = 0
9. y" + 3y' = 0
10. 3y" - 5y' - 2y = 0
In Exercises 11 to 15, solve the indicated initial-value problems.
11. y" + 4y = 0; y(O) = 0, y'(O) = 2
12. y" + 4y' + 4y = 0; y(O) = 1, y'(O) = 0
13. y" + 2y' - 15y = 0; y(O) = 2, y'(0) = 3
14. y" + 3y' = 0; y(l) = 1, y'(1) = 4
15. 3y" - 5y' - 2y = 0; y(O) = 1, y'(O) = 1
In Exercises 16 to 20, find the general solution of each of the indicated equations
and solve the indicated initial-value problem.
16. y" + 4y' + 6y = 2; y(O) = 0, y'(O) =2
17. y" - 4y = 2; y(O) = 0, y'(O) = 0
18. y" + 4y' = 2; y(O) = 0, y'(O) = 4
19. y" = 0; y(O) = 3, y'(O) = 4
20. ty" + y' = -1; y(l) = 0, y'(l) = 0
The following problems deal with power series solutions of second-order equations.
21. Find the power series solution of the equation y" + 4ty = 0 with the initial
conditions y(O) = 0, y'(O) = 1.
22. Find the power series solution of the equation y" + 4ty = 0 with the initial
condition y(O) = 1, y'(O) = O.
23. Find the power series solution of the equation y" + t 2 y = 0 with the initial
condition y(O) = 0, y'(O) = 1.
24. Find the power series solution of the equation ytl + t 2 y = 0 with the initial
condition y(O) = 1, y'(O) = O.
25. Find the power series solution of the equation y" + (I + t)y = 0 with the
initial condition y(O) = 0, y'(O) = 1.
476 APPENDIXES
26. Which of the following second-order differential equations has a regular

singular point at t = O?
(a) t 2 y" + 3ty + y = 0 (b) t 2y" + y' + 3ty = 0
(c) t y" + t y' + y = 0
2 2
(d) ty" + y' = 0
(e) ty" + y = 0 (f) y" + ty = 0
In Exercises 27 to 30, find the indicial equation and the Frobenius solution for
the indicated equation, which has a regular singular point at t = O.
27. t 2 y" - Y - 0
28. t 2 y" + ty' - Y = 0
29. t 2 y" + ty' + 3t2 y = 0
30. t 2 y" - (1 + 3t2 )y = 0
In Exercises 31 to 35, find the steady-state solution and the relaxation time for
each of the following solutions of differential equations.
31. y(t) = 3 + 4e- 2t (solution of y' + 2y = 6)
32. y(t) = 5 + 3e- t + e- 3t (solution of y" + 4y' + 4y = 15)
33. y(t) = e- t cosh t (solution of y" + 4y' + 4y = 2)
34. y(t) = 1 + e- 2t sinh t (solution of y" + 4y' + 3y = 3)
35. y(t) = 4 + e-t + 3te- t (solution of y" + 2y' + y = 4)
A.2. Review of Infinite Series

In this section we collect the necessary facts about infinite series and the related
concepts of convergence that are frequently used throughout the text. In the
calculus course sequence almost all students have worked with numerical series,
which are discussed in the first subsection. The remaining subsections deal with
issues that arise when we consider the series of junctions that arise from separated
solutions of boundary-value problems for PDEs.
A.2.1. Numerical series. An infinite series is, by definition, an expression

of the form
n=l
where an is a sequence of numbers. This is a shorthand for the infinite sum
al + a2 + ... + an + ...
For example, E:=11/n 2 , E:=1 ( _1)n /n, and 2::=11/3n are familiar examples of
infinite series. The summation index n is a dummy variable, so that we make no
distinction between L:=llln, L:=1 am, and 2:;1 ap
The convergence of the infinite series E~llln is formulated in terms of the
partial sums Sn, defined by Sn = al + ... + lln. If Iimn~oo Sn = a, then we say
A.2. REVIEW OF INFINITE SERIES 477
that the series E:=1 an converges, and we write

00
a=Lan
n=l
If liIIln-too Sn does not exist, then we say that the series diverges.
Examples of infinite series that converge are
f=(-l)n,
n=l n
If the terms an decrease too slowly or oscillate too erratically, the infinite series
will diverge. Examples are
00 1 00 1
L-, L -log(1 + n)
n=ln n=l n=l n
Convergent series obey the normal laws of arithmetic: if two series E:=l Cln
and E~l bn both converge, then the series E~l (an+bn ) converges and E~l (Cln+
bn ) = E:'=lCln + E:'=lbn. If the series E:'=lan converges and c is any constant,
then the series E:=lcan converges and E:=l can = CE:=Ian'
Tests for convergence are especially simple for series of positive terms: an > O.
In this case the series E:=l an converges if and only if the partial sums remain
bounded, Sn ~ M for some constant M, and all n = 1,2, .... A useful criterion
for the convergence of series of positive terms is the integral test.
PROPOSITION A.2.1. {Integral test}. Let an = cp(n), where cp(x) is a positive

function of x > 0, such that cp(x) decreases to zero when x -7 00. Then the series
oo
E~lan converges if and only if the improper integral fl cp(x) dx converges.
EXAMPLE A.2.1. Determine for which values of p >0 the series E~11/nP
converges.
Solution. We take cp(x) = 1/xP , a positive function of x > 0, which de-

creases to zero when x -7 00. The associated improper integral is fl dx / x P =
oo
limM-too hM dx/x p If P i= 1, we have fiM dx/xP = (1 - M1-P)/(P - 1), and thus

the limit exists if p > 1; the limit does not exist if p < 1. If p = 1, we have
fiM dx/x = log M, and the limit does not exist. Therefore the series E~ll/nP
converges if and only if p > 1.
When dealing with series whose terms change in sign, we may often conclude
convergence from the ratio test or the root test, stated as follows.
478 APPENDIXES
PROPOSITION A.2.2. (Ratio test). Suppose there are numbers r, N so that

o < r < land N > 1 such that lan+dltnl ~ r for all n > N. Then the series
E::l an converges.
(Root test). Suppose there are numbers r, N so that

PROPOSITION A.2.3.
o< r < 1 and N > 1 such that lanl 1/ n ~ r for all n > N. Then the series
E::l ltn converges.
The ratio test may be applied to conclude convergence of the series E::l (n/2 n ).
The ratio of two consecutive terms is
ltn+1 (n + l)/(2n+l) n + 1
a:-= n/2n =~
We can take N = 3, r = 2/3 in the ratio test to conclude that the series converges.
The integral test, ratio test, and root test can be used to deduce the conver-
gence of many of the series that arise in practice. However, none of these can be
applied to the harmonic series, E~=l (-l)n /n which arises in many applications.
For this purpose, we state the test for alternating series.
PROPOSITION A.2.4. (Alternating series test). Consider a series of the form
E:=l (-I)nbn1 where bn > 0 and satisfies the conditions that bl ~ ~ ~ ... ~
bn ~ bn+1 ~ and liffin-+oobn = O. Then the series E~=1(-1)nbn converges.
EXAMPLE A.2.2. Show that E::l (-1)n /n P converges for any p > O.
Solution. The sequence bn = l/nP satisfies the conditions of the alternating
series test for any p > O.
A.2.2. Taylor's theorem. Another source of convergent series is Taylor's
theorem with remainder:
f(x) - f(xo) = tn=l (x - ~o)n f(n) (xo)

n.
+ -\
N.
lXo
x
(x - t)N f{N+l}(t) dt
This is not an infinite series, but simply an equation that holds for all functions
f(x) for which the derivatives of orders N + 1 exist and are continuous functions.
In particular, for N = 0 we obtain the fundamental theorem of calculus in the
form
f(x) - f(xo) = l x
Xo
j'(t) dt
We can produce convergent infinite series from Taylor's theorem with remain-
der if we can prove that the integral that defines the "remainder term" tends to
zero when N ~ 00. This will happen if, for example, all of the derivatives fen)
exist and satisfy the condition that If(n)(x)1 ~ n!c", where Ix - xol < l/e for
some constant c and n = 1, 2, . . .. Furthermore, we can identify the limit from

the left side of Taylor'S theorem and conclude the validity of the Taylor series
expansion
1
Ix-xol <-
c
EXAMPLE A.2.3. Apply Taylor'S theorem with remainder to f(x) = logx with
Xo = 1 and find the related Taylor series expansion.
Solution. The successive derivatives are computed as
f'(x) =~, f"(x) = :;, f"'(x) = :3' ... , f(n+l)(x) = (~~~~n!

For any e > 1, the ratio If(N+l)(t)IIN! is less than eN+ 1 if t is restricted to the
interval t ~ lie, so that the series converges provided that Ix - 11 < lie. Since
c was arbitrary, we deduce convergence of the series in the interval Ix - 11 < 1.
It is also possible to show that the remainder term tends to zero at the endpoint
x = 2. The sum of the series is logx, and thus we have the convergent Taylor
series
(_l)n-l(x _ l)n
E
00
log x = n O<x<2
n=l
Another useful series with a finite interval of convergence is the geometric
series E:=txn. This arises as the Taylor series of the function f(x) = 1/(1 - x)
as documented in the next example, which we treat by elementary algebra.
EXAMPLE A.2.4. Discuss the Taylor expansion of f(x) = 1/(1 - x) with re-
spect to the point Xo = O.
Solution. By long division, we have for any x =1= 1 and any N = 1,2, ... ,
I X N +1
- - = 1+x+x2+ .. +xN +--
1-x I-x
If Ixl < 1, the last term tends to zero, which proves that the series E~lxn
converges with the explicit sum
-1- = 1 + x + x 2
I-x
+ ... + xN + ... = 1 + Ex
00
n -1<x<l
n=l
The above series for log x and 1/(1 - x) converge in a finite interval. On the
other hand, the Taylor series for the exponential and trigonometric functions are
convergent for all x.
480 APPENDIXES
EXAMPLE A.2.S. Apply Taylor's theorem with remainder to I(x} = eX with

Xo = 0 and find the related Taylor series expansion.
Solution. The successive derivatives are computed as
!,(x) = eX, f"(X) = eX, flll(X) = eX, ... , I(n+l) (x) = eX
For any c > 0, the ratio f(N+l)(t)IN! is less than el/cIN! ift is restricted to the
interval It I $ lie, so that the integral remainder term tends to zero and the series
converges provided that Ixl < lie. The sum of the series is eX - 1, and thus we
have the convergent Taylor series
00 n
eX -1 = '""~
L.J n !
-oo<x<oo
n=l
A.2.3. Series of functions: Uniform convergence. We now consider

more general series of functions, of the form
n=l
All of the Taylor series considered above are examples of these. The functions
un(x) are assumed to be defined on a common interval a ~ x ~ b. Let fn(x) be
the partial sum fn(x) = Ul(X) + ... + un(x).
Definition The series E::O=lUn(X) converges pointwise if, for each x, a $ x $ b,

the limit liIDn-4oo fn(x) exists. We denote the limit by f(x) = E~lUn(X).
Definition The series E::O=lUn(X) converges uniformly, a ~ x ~ b, if the series

converges pointwise and there exists a sequence of constants En such that
Ifn (x) - f (x) I $ En a$ x$ b
lim
n-+oo
En =0
If the series E;:'=1 Un (x) converges uniformly, then it also converges pointwise,
but the converse statement is not true. It may happen that, for a judicious choice
of x = x n, depending upon n, we have fn(xn) - f(xn) tending to a nonzero limit,
for example. To see this in detail, consider the sequence of functions un(x) =
nxe- nx - (n + l)xe-(n+1)x. For any fixed n, we have fn-I(X) = xe- x - nxe- nx
for all x, 0 ~ x ~ 1. The last term tends to zero, so that the series E::O=lUn(X)
converges pointwise to f(x) = xe- X for 0 ~ x ~ 1. But the convergence is
not uniform. Indeed, by taking x = lin, we have fn-l (lin) = (l/n)e-(l/n) -
e- 1 Thus I/n-l(x n) - f(xn)1 has the value e- 1 = 0.368 ... for Xn = lin. This
contradicts the possibility of a sequence of constants En with liIDn-+oo En = 0 such
that I/n(x) - l(x)1 ~ En for all x, 0 ~ x ~ 1.
In order to prove the uniform convergence of a series of functions, we may use

the following important criterion.
PROPOSITION A.2.5. (Weierstrass M -test). Let E~=lun(X) be a series of

functions defined for a $ x $ b. Suppose there exists a sequence of constants Mn
such that
Iun(x) I $ Mn a~x $ b
and L~=lMn converges. Then the series E~lun(x) converges uniformly for
a ~ x ~ b.
EXAMPLE A.2.6. Show that the Taylor series E~=lxn In! converges uniformly
for -1 ~ x $ 1.
Solution. We have un(x) = xnln! and lun(x)1 $ lIn! for -1 $ x $ 1. But
the series E lIn! converges. Therefore the Taylor series E~=lxn In! is uniformly
convergent for -1 $ x $ 1.
The Weierstrass M-test only gives sufficient conditions for the uniform con-
vergence of a series of functions. For example, the series E~l (-1 )nxn In does
not satisfy these conditions, but it is uniformly convergent for 0 $ x $ 1. (See
Exercise 22.)
Uniform convergence can be used to justify many operations with infinite
series. We restrict attention to series of continuous functions E~=lun(x). We
have the following propositions, which give conditions for continuity, integration,
and differentiation of a uniformly convergent series of continuous functions. These
results are used in Chapters 2, 3, and 4 when we prove that the sum of a series
of separated solutions satisfies a PDE.
PROPOSITION A.2.6. Suppose f(x) = E~=lun(x) is a uniformly convergent

series for a ~ x ~ b, where un(x) is a continuous function for each n = 1,2, ....
Then f(x) is a continuous function, a $ x $ b.
PROPOSITION A.2.7. Suppose f(x) = 2::~=lun(x) is a uniformly convergent

series for a ~ x ~ b, where un(x) is a continuous function. Then the numerical
f: f:
series E~=l Un (x)dx converges and f(x)dx = 2::~=1 Un(x)dx. f:
PROPOSITION A.2.8. Suppose f(x) = 2::~=lUn(X) is a uniformly convergent
series for a $ x ~ b, where un(x) is a continuous function with a continuous
derivative un(x), and the series E~=IU~(X) converges uniformly for a $ x :5 b.
Then the function I(x) has a continuous derivative, which is given by f'(x) =
E~=lU~(X).
482 APPENDIXES
EXAMPLE A.2.7. Show that the function f(x} = E:'=1 (cos nx)/2n is contin-
uous for -1r $ X $ 7r and that J'(x) and J"(x) are continuous for -7r $ X $ 7r.
Solution. We apply the Weierstrass M-test with Mn = 1/2n, to see that the
given series is uniformly convergent, -7r $ X $ 7r. Each function (cos nx) /2 n is
continuous; hence J(x) is continuous by Proposition A.2.6. The differentiated se-
ries is E:'=1 (-n sin nx)/2n, which is also uniformly convergent by the Weierstrass
M-test with Mn = n/2n , the general term of a convergent series of constants.
Therefore, by Proposition A.2.8, J(x) has a continuous derivative f'(x), which is
given by J' (x) = E~=1 (-n sin nx) /2n. To study J" (x), we note that the differ-
entiated series for J' is E~= 1 ( -n2 cos nx) /2 n , which is uniformly convergent by
the Weierstrass M-test with MN = n2 /2 n , the general term of a convergent series
of constants. Therefore, by Proposition A.2.8, J'(x) has a continuous derivative
J" (x), which is given by the differentiated series J" (x) = E~= 1 ( -n2cos nx) /2n .
EXAMPLE A.2.8. Beginning with the geometric series x/(I - x) = E~=lxn,
-1 < x < 1, show that
00
x
Enx
n=l
n=
(1 - x)2
-l<x<1
00
x(l + x)
En xn = 2
(1 - X)3
-1<x<1
n=1
Solution. Let un(x) = xn and let r be any number with 0 < r < 1. By
the Weierstrass M-test, the series E~lun(x) is uniformly convergent for -r $
x ~ r with Mn = r n , the general term of a convergent series of constants.
The differentiated series is E:'=lnxn-1, which is also uniformly convergent for
-r $ x $ r by the Weierstrass M-test with Mn = nr n-\ the general term
of a convergent series. On the other hand, from calculus, (d/dx)[x/(l - x)] =
1/(1 - x)2. Therefore from Proposition, A.2.8 we have 1/(1 - X)2 = E~lnxn-l
for -r $ x $ r. But r was any number with 0 < r < 1, and hence this equation
is true for all x with -1 < x < 1. Multiplying by x gives the required result
x/(1 - x)2 = E~=lnXn for -1 < x < 1.
We now apply Proposition A.2.8 to this series, noting that the differentiated
series E~=ln2xn-l is again uniformly convergent by the Weierstrass M-test for
-r $ x $ r with Mn = n 2 r n- 1 , the general term of a convergent series of
constants. On the other hand, the derivative can be computed by calculus as
(d/dx)[x/(1 - X)2] = (1 + x)/(I - X)3. Multiplication by x gives the required
result, E~=ln2xn = x(l + x)/(l - x)3 .
Often we need to consider functions that are defined by integrals. The fol-
lowing statement is used in Chapter 5.
PROPOSITION A.2.9. Suppose that f(x) = fed g(x, y) dy, where the function
g(x, y) is continuous for a ~ x ~ b, c ~ y ~ d. Then f(x), a ~ x ~ b, is a
continuous function. If in addition, the partial derivative og / ox exists and is a
continuous function for a ~ x ~ b, c ~ y ~ d, then f' (x) exists and is given by
the integral formula f'(X) =
fcd(og/ox) (x, y) dy.
A.2.4. Abel's lemma. Abel's lemma states that if f(t), t > 0, is a bounded
oo
function and limt-too f(t) = L, then limp.J,o fo f(t)pe- Pt dt = L.
The proof consists of writing
f'" !(t)pe-pt dt - L = fO (J(t) - L)pe-pt dt

Given f > 0, we split the region of integration into the two regions < t < T and
T < t < 00, where T is chosen such that If(t) - LI < f/2 for t > T, so that the
second integral is less than f./2. If If(t)1 ~ M for all t > 0, then the first integral
is less than 2MpT, so that by choosing p < f./4MT we render the second integral
less than f/2, and the result follows.
Abel's lemma can also be applied to analyze improper integrals, if we let
f(t) = f~ g(s) ds. Interchanging the orders of integration yields
fO !(t)pe-ptdt = [0 pe-pt ( [ g(8) dS) dt

= f' g(s) (t' pe-ptdt) ds
= 1"" g(s)e-" ds
Applying Abel's lemma gives the result that if limt-too f~ g(s) ds = L, then
oo
liIIlp.l.o fo g(s)e- PS ds = L. This is used in Chapter 5 to treat the initial-value
problem for the heat equation.
There is also a version of Abel's lemma that applies to infinite series and is
useful for discussion of the initial-value problem for the heat equation in bounded
regions in Chapter 2. We give the combined statement and proof as follows.
THEOREM A.2. Let {lln} and {bn } be sequences of real numbers.
(a) Suppose that limn-too bn = L. Then limrtl (1- x) ~::'=o bnxn = L.
(b) Suppose the infinite series ~::'=1 lln converges to the sum S. Then the
power series E~=lllnXn has a limit when x t 1, and liIllxtl E::'=l anxn = S.
Proof
(a) As above, we write for <
00
x < 1,
00
(1 - x) Lbnxn - L = (1 - x) L(bn - L)x n

n=O n=O
484 APPENDIXES
Given f > 0, choose N so that Ibn - LI < f/2 for n > N. Assuming that all of
the terms of the sequence are bounded by M,
1(1- x) t.(b" -L)xnl < (1 - xN+l)2M + /2

If 1 - +l < f./4M, then the sum is less than f, as required.
X
N
(b) Define bo = 0 and for n ~ 1, bn = al + ... + an. Then
n=O n=l k:::l
k=l n=k
00
= Eak xk
k=l
By hypothesis, limn~oo bn = S, so the desired conclusion follows from part (a) .
A.2.5. Double series. We now consider double series. These are of the
form
00
E
m,n::: 1
amn
where amn are real numbers defined for m = 1,2, ... and n = 1,2, .... The
convergence of a double series is defined in terms of the partial sums
If
lim Smn = a
m-+oo,n~oo
when the indices m, n --7 00 in any order whatever, then we write

00
a= E amn
m,n=l
as the sum of the series.

A form of the integral test is applicable to double series of positive terms.
Let amn = cp(m, n), where the function cp(x, y) is positive and decreasing in each
of the variables x, y. Then the convergence or divergence of the double series
~:,n=l amn is equivalent to the convergence or divergence of the double integral
floo floo cp(x, y)dxdy.
A.2. REVIEW OF INFINITE SERlES 485
EXAMPLE A.2.9. For which values oj p > 0 is the double series

00 1
E
m,n=l
(m2 + n 2 )P/2
convergent?
Solution. We have <p(x, y) = [1/(x 2 +y2)JP/2. To study the associated double
integral, we take polar coordinates x = rcose, y = rsine, with dxdy = rdrde.
Thus we examine f07r/2 It' (l/rP)r dr de. This double integral is convergent if
and only if p - 1 > 1, that is, p > 2. We conclude that the double series
E:,n=l 1/(m2 + n2 )P/2 is convergent if and only if p > 2.
The Weierstrass M-test and the properties of uniform convergence may also
be generalized to double series of functions of one or more variables, for example,
the series f (x, y) = E:,n= 1 Um,n (x, y). We may use the properties of uniform con-
vergence to show that J(x, y) has partial derivatives fx, fy, which are continuous
functions of (x, y) in a rectangular region a ~ x ~ b, c :s; y :s; d.
A.2.6. Big-O notation. In several places throughout the text we have used
the big-O notation to indicate the order of magnitude of a function, in the limiting
case when a parameter becomes large. In this subsection we systematically collect
the various definitions and properties of this notation.
Definition Let f(t), g(t) be two functions defined for t > O. We write
f(t) = O(g(t)) t -+ 00
if there exist constants M > 0 and T > 0 such that If(t)1 ~ M g(t) for t > T.
Similarly, if {an} and {b n } are sequences defined for n = 1, 2, ... , we say that
an = O(bn) if there exist constants M > 0 and N > 0 such that lanl ~ Mbn for
n>N.
For example, we have
~
1+t3
= o(~)
t
sin t
1 + t2
=0 (2-)
t2
t -+ 00
t2
e-' = 0 (~) t -+ 00, - -2 = 0(1)
1 +t
t -+ 00
Each of these can be proved using facts about the specific functions. In case 1 we
have l+t3 ~ t 3 for t > 0, so that 2t2 /(1+t3) ~ 2t2 /t3 = 2/t; hence the definition
is satisfied with M = 2, T = 1. Likewise in case 2, Isin tl ::; 1, (1 + t 2) ~ t2,
so that the definition is satisfied with M = 1, T = 1. In case 3 we may use the
power series et = 1 + E'; tn/nL All of the terms are positive when t > 0; hence
et > t 5 /5! or e-t < 5!ft5 Therefore we may take M = 5!, T = 1. Finally, we note
486 APPENDIXES
that J(t) = 0(1), as in case 4, is equivalent to the statement that IJ(t)1 s M for
t> T. In this case we say that J(t) remains bounded when t -)- O.
If J(t) = O(g(t)), t -)- 00, it does not follow that get) = O(J(t, t -)- 00. For
example, e- t = O(I/tS), t -)- 00, but l/ts i= O(e-t), t -)- 00. Similarly, we write
J(t) = O(g(t)) t -)- to
if there exist constants M > 0 and d > 0 such that IJ(t)/ s Mg(t) for 0 <
It - tol < O. For example, sin t = OCt), t -)- 0, whereas sec t = O(l/It - 1["/21),
t -)- 1["/2.
Often we encounter series that depend on a parameter t, for example, the
series E~=l e- nt . This series converges for each t > 0 by the ratio test. If t > 1,
e- t < e- 1 < 0.38, and thus E~le-nt < (1/(1 - O.38)]e- t < 1.62e- t . We have
proved that
t -)- 00
n=l
At first this may seem somewhat surprising, since we have estimated the sum of
a series by the first term. This result can be applied to the series E~=l ane- nt ,
where {an} is any sequence of constants with an = 0(1), n -)- 00. Thus we have
E~=lane-nt = O(e-t), t -)- 00. This may also be true for certain sequences {an}
with an tending to infinity. For example, if an = n 2 , we use the result of Example
A.2.8:
x(1 +x) _ ~ 2 n
-I<x<l
( 1 _ X)3 - L...Jn x
n=l
t -)- 00
We have proved that

00
L:n e-nt = O(e-t)

2
t -)- 00
n=l
This is used in Chapter 2.
EXERCISES A.2
1. Apply the integral test to determine the convergence or divergence of each

of the following series of positive terms:
(a) E::ll/(n + 1) log(n + 1) (b) E~=lI/n(10g2n)2
n2
(c) E::l (logn)/n (d) E:=lne-
2. Find the Taylor series of the following functions:

(a) f(x) = sin x, Xo = 0
(b) f(x) = log[(l + x)/(l - x)], Xo = 0
(c) f(x) = cosh x = ~(eX + e- X), Xo = 0
(d) f(x) = xe x \ Xo = 0
3. Let f(x) = 0 for x ~ 0 and lex) = e- 1/ x for x > O.
(a) Compute f'ex), f"(x).
(b) Show by induction that, for x > 0, the nth derivative is of the form
f{n}(x) = e- 1/ x P2n(1/x), where P2n is a polynomial of degree 2n.
(c) Deduce that f(n) (0) = 0 for n = 1,2,3, ....
(d) Discuss the validity of the Taylor expansion
f(x) - f(O) = LXnj(n}n. (0)

00
n=1
I
4. Apply the Weierstrass M-test to verify the uniform convergence of the

following series:
(a) E:=lxn /2n ,-I ~ x ~ 1 (b) E:::::l(sinnx)/n2 ,-1r ~ x ~ 1r
(c) E:::::le-n2
cosnx, -7r ~ X ~ 7r (d) E:O::::ln4 (cosn2x)/2n , 0 ~ x ~ 7r
5. Which of the series in Exercise 4 can be differentiated term by term ac-
cording to Proposition A.2.8?
6. Generalize Example A.2.8 to find the sum of the series
and for -1 <x <1
7. (a) Show that 1/(1 +X2) = 1 + E~1(-I)nx2n for -1 < x < 1.

(b) Show that this series is uniformly convergent for 0 ~ x ~ r, where
O<r<1.
(c) Use Proposition A.2.7 to show that
x
00 (_I)n 2n+l
tan- 1 x = x + ~~~- for 0 <x <1
L..J 2n+ 1
n=l
8. (a) Prove the finite identity
1 (_I)n+lx2n+2
- - = 1- x 2 +X4 _ + (_1)nx2n + ...:.-.......:...----
1 + x2 1 + x2
(b) Show that
4
1 1
-1r = tan-II = 1- -+- - ... +(_l)n
3 5
- - + (_l)n+l
2n + 1
11
0
t 2n+2
--d
1 + t2
t
(c) Show that fol [t2n+2 /(1 + t 2)]dt ~ 1/(2n + 3).

(d) Conclude that 7r/4 = 1- k+ ~ _ ... = E:O::::l(-1)n+l/(2n -1).
488 APPENDIXES
9. Which of the following double series are convergent, according to the inte-
gral test?
(a) E:.n=11/(m2 + n 2 ) (b) E:.n=l e-(m2+n2)
(c) E:,n=l (m 2 + n 2 )e-(m+n) (d) E:,n=l 1/(m2 n 2 )
10. Find constants M > 0, T> 0 such that IJ(t)1 ~ Mg(t) for t > T if
(a) J(t) = t 2, g(t) = et
(b) J(t) = t lO , get) = et / 2
(c) J(t) = (sin t)(log t), g(t) = t 1/ 2
(d) get) = 100/t, J(t) = e- t / 50
11. For each of the following functions, is it true that J(t) = O(g(t, t -+ oo?
Find suitable constants M > 0 and T> 0 in each case.
(a) J(t) = 3t3 + 3t2 + 5, g(t) = t 3
(b) J(t) = t 2 + 4t - 2, get) = t 4
(c) J(t) = (tl + 4t)/(t 2 + 2), get) = 1
(d) J(t) = t lOO , get) = e 1/ 4
(e) J(t) = sin2 t, g(t) = Isin tl
(f) J(t) = e- o.Olt , g(t) = t- 25
12. (a) Show that limn-too n 2 xe- nx = 0 for 0 ~ x ~ 1.
(b) Show that liIDn-too fol n 2 xe- nx dx = 1.
(c) Find a series of functions un(x) for which
13. If ft(t) = O(g(t, J2(t) = O(g(t, t -+ 00, show that ft(t) + h(t) =
O(g(t, t -+ 00.
14. If Jl (t) = O(g(t, h(t) = O(g(t, t -+ 00, show that ft (t)h(t) =
0(g(t)2), t ~ 00.
15. If ft(t) = O(g(t, h(t) = O(g(t, t -+ 00, is it true that ft(t)/ J2(t) =
0(1), t -+ oo?
16. Show that log(l + t) = logt + O(I/t), t ~ 00.
17. Show that (1 + t)5 = t5 + 0(t4), t -+ 00.
18. Show that E::lne-nt = O(e- t ), t -+ 00.
19. Use mathematical induction to prove that for any p = 1,2, ... , -1 < x < 1,
~nPxn = xQp(x)
~ (1- x)p+l
n=l
where Qp is a polynomial of degree p - 1. For example, Ql = 1, Q2 =
1 + X, Q3 = x 2 + 4x + 1.
20. Let x = e- t in Exercise 19 and show that, for any p = 1,2, ... , E~=l nPe- nt
= O(e-t), t -+ 00.
A.3. REVIEW OF VECTOR INTEGRAL CALCULUS 489
21. Let {an} be a sequence with an = O(nP) for some p = 1,2, .... Show that
L~=lane-nt = O(e- t ), t -+ 00.
22. (a) Prove the finite identity l/(l+t) = I-t+t 2 _ .. +( _t)n-l+( -t)n /(l+t).
(b) Integrate this to obtain the identity
x2
log(l+x) =x- - + ... +
x
(_x)n-l
n
1x
+ (_l)n --dt
0 l+t
tn
for any x 2 o.
(c) Show that IoX[t n /(1 + t)Jdt ~ l/(n + 1) for 0 $ x $ 1.
(d) Conclude that E:'=l(-X)n/n converges uniformly for 0::; x::; 1.
23. (Cesaro implies Abel summability) Suppose that g(t), t > 0 satisfies the
relation limT~oo T- 1 f: g(s) ds = L. Show that limp.J,.O fo pe-ptg(t)dt =
oo
L. [Hint: Letting I(t) = t- l f; g(s) ds, we have 9 = (tl)', so that we

have fooo pe-ptg(t)dt = p2 fooo te- pt I(t) dt. Now imitate the proof of Abel's
lemma to obtain the conclusion.]
A.3. Review of Vector Integral Calculus

The starting point for the theory of vector integral calculus is the fundamental
theorem of calculus of one variable, written in the form
[ f'(x) dx = f(b) - f(a)

In vector integral calculus we replace the interval a < x < b by a two- or three-
dimensional region and replace the scalar function f by a vector field.
In detail, we consider a three-dimensional region D whose boundary consists
of a finite number of smooth surfaces. For example, a cube has a boundary
consisting of its six faces, whereas a solid sphere has a single smooth boundary
surface. A vector field consists of an ordered set of three functions:
F(x, y, z) = (FI (x, y, z), F2 (x, y, z), F3 (x, y, z
The divergence of the vector field F is defined by
divF = aFl + aF2 + aF3
ax ay az
The divergence theorem states that
IlL divFdxdydz= liD F'ndS

Here n is the outward-pointing normal vector field on the boundary of D (denoted
aD) and dS denotes the element of surface area.
490 APPENDIXES
EXAMPLE A.3.1. Verify the divergence theorem in the case where D is the
cube 0 :5 x ~ a, 0 :5 y :5 b, 0:5 z :5 c and F(x, y, z) = (Fl(X), 0, 0).
Solution. In this case divF = F{(x), so that the left side of the divergence
theorem is
11.i: P'(x)dxdydz = [Fl(a) - FI(O)] x be
To compute the right side of the divergence theorem, we must calculate sep-
arately the integrand on each of the six faces:
On the face x = 0, F n = -Fl(O)
On the face x = a, Fn= +Fl(a)
On the face y = 0, Fn=O
On the face y = b, Fn=O
On the face z = 0, Fn=O
On the face z = c, Fn=O
Therefore the total surface integral reduces to two nonzero terms, each of which is
the area of the bounding surface multiplied by the constant value of the integrand;
in detail,
fLD F ndS = -bc FI (0) + bcF,(a)
In the case of a two-dimensional region, the triple integrals are replaced by

double integrals and the divergence theorem is written
fL divFdxdy= LD FndS.
where div F = 8Ft/8x + 8F2 /8y. The integral of the normal component of F
can also be written in terms of the tangential component of a vector field, if we
write N = F I , M = - F2 so that we obtain the statement of Green's theorem
L(Mdx+NdY) = fL c;:: -a;:) dxdy
where the sign is determined by the convention that the boundary curve 8n is
oriented so that when we traverse the boundary, the region is on the left side of
the curve.
In order to make effective use of the three-dimensional divergence theorem,
we first note that if u is a differentiable function, then the usual product rule for
A.3. REVIEW OF VECTOR INTEGRAL CALCULUS 491
derivatives can be applied to a vector field of the form W = uF as follows:

divW = 8(uFl) + 8(uF2) + 8( uF3)
8x 8y 8z
8Fl 8u 8F2 8u 8F3 8u
= u8x- + -Fl
8x
+ u8y- + -F2
8y
+ u - + -F3
8z 8z
= udivF+ VuF
Substituting in the divergence theorem yields
IlL (udivF + Vu F) dxdydz = lfaD uF ndS

Now let v be a twice-differentiable function and apply this to the vector field
F = Vv to obtain Green's first identity:
IlL 2
(uV v+VuVv) dxdydz= lfaD uVvndS
When we interchange the roles of u and v and subtract the two equations, we
obtain Green's second identity:
IlL 2 2
(uV v - vV u) dxdydz = IfaD (uVv n - vVu n) dS
which is valid for any pair of twice-differentiable functions u, v.

A.3.1. Implementation with Mathematica. It is possible to illustrate
the divergence theorem with Mathematica. This requires Mathematica's Vector
Analysis package, which is called by typing
In[l]:=Calculus'VectorAnalysis'
Consider the vector field F(x, y, z) = x 2 (2Y + l)zj in the triangular prism
defined by the planes x = 0, x = 3, y = 0, and y + z = 1. Clearly, div F =
(8/8y)(x 2 (2y + l)z) = 2x 2 z.
The divergence can be computed by the following Mathematica session
In[2]:=F={O,x-2(2y+1)z,O}
2
Out[2]={O,x (2 y + 1) z , O}
In[3]:=divF = Div[F]
2
Out[3] = 2 x z
492 APPENDIXES
The volume integral in the divergence theorem is
To do this in Mathematica, we have

In[4]:-Integrate[
Integrate [
Integrate [divF, {x,O,3}],
{y,O,l-z}] ,
{z,O,l}]
Out [4]=8/9
A.4. Using Mathematica

A.4.1. Introduction. Mathematica is a very powerful tool for studying par-
tial differential equations. It can be used to find both symbolic and numerical
solutions and to graph the solutions. Since no previous knowledge of Mathemat-
ica is presumed, in this section we give a brief introduction to its use. Details are
given in relevant chapters as they are needed.
Mathematica is a symbolic manipulation program; this means that not only
numbers but also symbols can be used in calculations. A Mathematica session
consists of a series of questions and answers. Although Mathematica notation
differs in several crucial ways from ordinary mathematical notation, the transla-
tion between the two is straightforward. In addition to symbolic manipulation,
Mathematica has powerful graphing capabilities. This important feature will al-
low us to graph Fourier series and solutions to boundary-value problems with
ease.
There are two types of implementations of Mathematica: (i) the notebook (or
graphical) interface and (ii) the textual (or command line) interface.
A.4.2. The notebook front end. Notebook versions of Mathematica are

available for PCs equipped with Microsoft Windows or NeXTstep, Macintoshes,
NeXT workstations, and X Windows running on UNIX workstations. In this
section we explain the NeXT, Macintosh, and PC notebook interfaces; notebook
interfaces on other computers are similar and can be found by clicking on the
Mathematica "Help" menu.
A.4. USING MATHEMATICA 493
To bring up Mathematica, double click on the Mathematica icon, which is a

small polyhedron. This brings up a window called "Untitled"; it is actually a
notebook. To enter a formula, just start typing. For example, the polynomial
X4 - 1 can be factored by typing
Factor[x"'4 - 1]
The result is
(-I + x)(1 + x)(l + x2 )
Notebooks are divided into cells. Each formula is entered into a "cell," rec-
ognizable as a bracket on the right side of the window. After typing a formula
into a cell, the formula can be evaluated by hitting the key ENTER. (Notice that
ENTER is different from RETURN; the latter is used to go to the next line of a
cell. However, SHIFT/RETURN has the same effect as ENTER.) Cells can be used
to display either text or graphics and can be printed individually.
A.4.2.1. Help. To obtain help on any command, type? in front of the com-
mand and hit ENTER. For example, ?Plot gives a short description of how to
plot a function. Wild cards can also be used. Thus to see all commands that
start with D, type ?D*. To get more extensive help use ??
A.4.2.2. The function browser. The function browser in the Help menu ex-
plains Mathematica functions and commands; it allows functions and commands
to be pasted into cells, usually as templates. Although the function browser has
been a feature on the NeXT and Macintosh notebook versions of Mathematica for
some time, it is a standard feature on all notebook versions of Mathematica be-
ginning with version 3.0. On a NeXT or Macintosh it is also possible to access the
function browser with the key combination COMMAND-SHIFT-F. Furthermore, if
the name of a function or command in a cell is selected with the mouse, the key
combination COMMAND-SHIFT-F will open the function browser and give a short
explanation.
A.4.2.3. Key equivalences between platforms. On notebook versions of Math-
ematica, many frequently used menu options can also be performed with specific
key combinations. For example, on the NeXT computer, all cells in a notebook
can be selected with the key combination COMMAND-SHIFT-A. On the Macintosh
it is APPLE-SHIFT-A, and on the PC it is CONTROL-SHIFT-A. In general, when-
ever a reference is made to a key sequence on the NeXT using the COMMAND
key, you may substitute the APPLE key for the Macintosh or the CONTROL key
for the Microsoft Windows version on a PC.
A.4.2.4. Copying input and output from above. A series of calculations fre-
quently requires evaluating similar expressions, one after the other. Two key
combinations greatly facilitate this process. The precise keystrokes can be ob-
tained from the Mathematica Help menu. In the case of NeXT workstations,
the key combination COMMAND-L copies the input from the cell above. This new
494 APPENDIXES
input can be edited and reevaluated. Sometimes the key combination COMMAND-
SHIFT-L, which copies the output from the cell above, is also useful.
A.4.2.5. Command completion. A partially written command or function can

be completed in the NeXT workstation with the key combination COMMAND-K.
For other computers, consult the Mathematica Help menu. If there is only one
possible completion, Mathematica pastes it in at the insertion point; otherwise
a pop-up menu listing the possible completions is activated. Clicking on the
selection completes the command or function.
A.4.2.6. Copying, cutting, and pasting. Highlighted text or cells can be copied
to a clipboard in the NeXT workstation with the key combination COMMAND-
C. For other computers, consult the Mathematica Help Menu. (The clipboard
is a part of the computer memory that temporarily holds text and graphics.
It is not usually possible to view the clipboard directly.) The contents of the
clipboard can be copied to another location in a Mathematica notebook with
the key combination COMMAND-V. The key combination COMMAND-X is similar
to COMMAND-Cj it also transfers text or cells to a clipboard, but COMMAND-X
deletes the original material.
A.4.2.7. Printing. To print a whole notebook, click the mouse on the Print
icon. To print an individual cell, use the mouse to move the cursor to a cell
bracket and click on it. Then move the cursor to the Print Selection icon and
click the mouse button. This brings up a dialog box that allows the graphics to
be sent to the printer.
A.4.2.8. Saving. The key combination COMMAND-S saves a notebook to disk;
to save a notebook under a different name, use COMMAND-SHIFT-S. On all note-
book versions of Mathematica except the Macintosh, a saved notebook consists
of two files, one with the extension .ma and the other with the extension .mb.
A .rna file is an ASCII file, which means that it can be accessed independently
of Mathematica with a text editor (although a large number of formatting com-
mands will be visible). On the other hand, a .rnb file contains binary information.
In most situations the information contained in a .mb file duplicates that of the
corresponding .rna file, but the .rnb information loads more quickly into a Math-
ematica session. To save disk space, .rnb files can be deleted. Usually .mb files
created by Mathematica on different computers are incompatible with one an-
other.
A.4.2.9. Graphics. A notebook contains several different kinds of information.
In addition to Mathematica definitions and textual information, a notebook can
contain graphics. For example, Mathematica has many plotting commands, each
of which produces a graphic cell that contains the plot. The key combinations
COMMAND-C, COMMAND-X, and COMMAND-V work with graphics cells exactly
the same way that they work with cells containing text.
A.4.3. Textual interface: Direct access through a terminal window.

Except for older Macintosh versions, the notebook implementation of Mathemat-
ica is split into two parts: a kernel and a front end. The user communicates
with the front end, which in turn sends messages back and forth to the kernel.
It is also possible to access the Mathematica kernel directly through a terminal
window. Moreover, for some implementations of Mathematica this is the only
way to use the program. To use Mathematica in a terminal window, simply type
math. Then all of the symbolic commands of Mathematica will be available
to the user. There is also a primitive form of graphics available called terminal
graphics. On most workstations graphics can also be displayed in a separate win-
dow. In the non-Windows version of Mathematica for PCs the display of graphics
is full-screen.
The use of Mathematica in a terminal window is especially useful with modems.
Typically a user works on a small computer but uses a modem to connect via
a telephone line to a more powerful computer. When Mathematica is used in
a terminal window that communicates over a telephone line to a large com-
puter equipped with Mathematica, all of Mathematica's symbolic capabilities
are available. Although the transfer of data via telephone lines is usually too
slow for high-quality graphics, primitive graphics display is possible in a terminal
window.
A.4.4. Mathematica notation versus ordinary mathematical nota-

tion.
A.4.4.1. Parentheses. Parentheses, as used in ordinary mathematics, have at
least four distinct meanings according to the context. One of these is the notation
for an open interval on the real number line:
(a, b) = {t E R I a < t < b }
This formalism is not needed by Mathematica. Different notation is employed by
Mathematica for two of the other three uses of parentheses.
A.4.4.2. Defining functions. Mathematica usually uses := instead of = in
function definitions. Thus to define in Mathematica a function y that assigns a
real number or some other expression, we use
y[tJ := some expression in t
Here the underscore _ after the t is an important part of the syntax. Whereas
t denotes the symbol t, t_ means generic t. Note that square brackets are used
instead of parentheses. For example, if we define
y[t_J:= t-2 + 3t + 6
then we can use this form numerically. Thus
y[2]
496 APPENDIXES
elicits the response

16
On the other hand, if we evaluate y on a symbol, the result is a symbol; thus
Y[8]
yields
6 + 3 S + 8-2
A.4.4.3. Multiplication and division. Most of the mathematical operations,
for example, addition (+), subtraction (-), division (/), and exponentiation C),
use the symbols that have become standard in modern programming languages,
but multiplication in Mathematica is represented by either an asterisk or a space.
For aesthetic reasons we usually prefer to denote multiplication by a space. How-
ever, it is sometimes necessary to use an asterisk for multiplication at the end of
an intermediate line in the middle of a multiline expression.
Notice that xy represents a single expression in Mathematica; it is never the
same as x y, when both x and yare symbols. But the following expressions are
all the same in Mathematica:
2y 2Y
They all indicate multiplication of a symbol by a number. Note also that x2
denotes a single expression, whereas x x denotes x times x.
A.4.4.4. Universal constants and numerical values. The numbers e ~ 2.71828,
7r ~ 3.14159, and i = v'-T are represented in Mathematica by E, Pi, and I.
Mathematica distinguishes between symbolic values and numerical values. A
numerical approximation to 7r can be found with the command N[Pi]:
3.14159
Mathematica gives exact results, whenever possible. Although Mathemat-
ica responds to Sin[l] by repeating the expression, Mathematica's answer to
N[Sin[l]] is the six-digit decimal approximation
0.841471
Nevertheless, some expressions, such as Sin[O] and Sin[Pi/4], are automatically
simplified, since their values are well known. Anytime a numerical value is re-
quired, apply the operator N.
A.4.4.5. Lists. A list consisting of three elements (aI, a2, a3) is denoted in
Mathematica by {aI, a2, a3}. Note that braces are used instead of parentheses.
Thus a list of n numbers can be thought of as a point or vector in euclidean
space r.
AA. USING MATHEMATICA 497
A.4.4.6. Internal functions. All internal Mathematica functions begin with a

capital letter. Thus the Mathematica notation for sin(x) is Sin[x). A user-defined
function can begin with either a lower- or an upper-case letter, but if it coincides
with an internal function, Mathematica probably will not work properly. For this
reason, it is a good idea to use lower-case letters to define new functions to avoid
collision with Mathematica's internally defined functions.
A.4.4. 7. Differentiation. In ordinary mathematics there are two symbols for
differentiation. We write
d
dt
for the total derivative with respect to t, when t is the only independent variable.
On the other hand,
a
at
is used for the partial derivative with respect to t, when t is one of several inde-
pendent variables. If we assume that y = y(t) is differentiable with respect to t,
then the total derivative of y with respect to t can be computed by applying the
operator d/dt to y, usually written as
, dy II rPy
y = dt' y = dt 2
and so forth. If y is a function of only one variable, then the partial derivative
and the total derivative are the same.
Mathematica also has two symbols for differentiation: Dt, read "derivative
total," and D for partial differentiation. In operator notation,
d d!'
dt ~ Dt[ ,t], dt n ~ Dt[ ,-t,n"]
ata ~ D[, t],

an
atn ~ D(, -t, n"]
D is used much more frequently in Mathematica than Dt. To see the differ-
ence between Dt[ ,t] and D[ ,t], we define a function y = y(t) in Mathemat-
ica by
y[t_]:= tA2 + 3t + a
Then
Dt [yet] ,t]
yields
3 + 2 t + Dt[a, t]
because a is considered a function of t. On the other hand,
D [yet] ,t]
498 APPENDIXES
results in
3 + 2 t
because the use of D[ ,t] tells Mathematica to treat t as the only variable for
the purposes of differentiation.
A.4.4.8. The prime notation. In the case of a function f of a single variable
t, Mathematica has another notation for the derivative of f with respect to t,
namely, f'[t]. This notation is useful since it imitates ordinary mathematical
notation closely. For example, if we define
f[t_]:= a t-2 + b t + c
then Mathematica's response to f'[t] is
b + 2 a t
A.4.4.9. Integration. Just as in ordinary mathematics, there are two kinds of
integration in Mathematica: indefinite integration and definite integration. To
compute
we use
Integrate[t E-t Sin[t]Jt]
The answer is
t t t
E Cos[t] - E t Cos[t] + E t Sin[t]
2
Mathematica suppresses the constant of integration. For definite integration
Mathematica also uses the command Integrate but with a different syntax. To
find
we use
Integrate[t Sqrt[l-t]J{t JO,l}]
to obtain
4
15
Many definite integrals are too complicated to compute symbolically. In such

cases NIntegrate can be used. To find
/.1 (sin t)I/3dt
we enter the command
Nlntegrate[Sin[t]A(1/3),{t,O,l}]
The approximate value of the integral is
0.733269
The command NIntegrate can be quite slow.
A.4.4.10. Simplifying expressions. Mathematica's command Simplify attempts
to simplify expressions. For example
gives the complicated answer

3 3 4
4 t 4 t (1 + t )
4 4 2
-1 + t (-1 + t )
We get a much nicer result when we apply Simplify:
Simplify[D[(t-4 + 1)/(t-4 - l),t]]
3
-8 t
4 2
(-1 + t )
An equivalent form of Simplify[ ~ressionJ is ~ression/ /Simplify, which is

useful when one forgets to write Simplify before writing expression. Also useful
is Simplify[%], which simplifies the previous input.
Mathematica contains several other commands that simplify in different ways.
For example, Together combines fractions, and Apart rewrites a rational ex-
pression as a sum of terms with minimal denominators.
500 APPENDIXES
A.4.4.11. Clearing values. Mathematica retains a value assigned to a variable

unless it is specifically cleared.
Clear[symbol1, symbo12, ... ]
clears values for the specified symbols. A useful shorthand for Clear is "=.".
On the other hand,
Remove[symbol1, symbo12, ... ]
removes symbols completely, so that their names are no longer recognized by
Mathematica. To clear or remove all variables starting with a lower-case letter
use Clear["Global"] or Remove["Global"].
A.4.4.12. Solving equations. Linear and other simple algebraic equations can
be solved with Solve. Here are two examples:
Solve[{x + y == 1, x - Y == 2},{x,y}]
3 1
{{x -> - y -> -(-)}}
2 2
Solve[x-2 - 5 x + 6 == O,x]
{{x -> 2}, {x -> 3}}
A.4.S. Functional notation in Mathematica. Mathematica, like ordi-

nary mathematics, distinguishes between functions and the values of functions.
Exp is a function whose value on z (which can be either a number or a symbol) is
Exp[z]. (Note that Exp[z] is the same as E"z.) One way to generate functions
is to use Mathematica's command FUnction. For example, the function that
assigns Z2 to Z is Function[z,z"2].
EXERCISES A.4
Work the following exercises with Mathematica, using Simplify when it is ap-
propriate.
1. Express the differential equation y"(t) + t y'(t) + (1 + t2 )y(t) = t/(l + t)

using Mathematica's "prime" notation. Do not evaluate the expression.
2. Express the differential equation in Exercise 1 using the operator D. Do
not evaluate the expression.
3. Define the function f(t) = 1 + t + sin(t) + et - V5 - t2 and compute the
exact and numerical values of f(2).
4. Define the function f(t, c) = cos(t) + t3 / 2 + ~c.
5. Compute the exact value of

1
3579
Then use N to find a numerical approximation.
6. Compute the following derivatives:
(a) (d/dt)[log(sin t)/ tan(t)] (b) (d?- /dt 2 ) [(t 3 + l)/(t sin t)]
7. Compute the following integrals:
J e
(a) (t 3 5tcos(t))dt Jo
1r
(b) (sint)1dt
8. Verify the fundamental theorem of calculus for get) = t et + sec(t). (In
other words, show that the derivative of the integral of get) equals g(t}.]
9. Write the function J defined by J(t) = t3 + tan(t) as a Mathematica func-
tion and compute the symbolic and numerical values of J(7r/4).
ANSWERS TO SELECTED EXERCISES
CHAPTER 0
Section 0.1.1
1. The most general first-order linear PDE in two variables is written in the
form a(x, y)ux + b(x, y)uy + c(x, y)u = d(x, y) and contains four functions.
2. The most general first-order linear PDE in three variables is written in the
form a(x, y, z)ux + b(x, y, z)Uy + c(x, y, z)u z + d(x, y, z)u = e(x, y, z) and
contains five functions.
3. The most general first-order linear homogeneous PDE in two variables is
written a(x, y)ux + b(x, y)uy + c(x, y)u = 0 and contains three functions.
4. The most general first-order linear homogeneous PDE in three variables is
written a(x, y, z)ux+b(x, y, z)uy+c(x, y, z)uz+d(x, y, z)u = 0 and contains
four functions.
Section 0.1.4
1. u(x; t) = Tl
2. u(x; t) = To + ~(x - I/h)
3. u(x; t) = 2J~L[1 + h(L - x)] + 2Jhd1 + hx]
Section 0.1.5
1. Hyperbolic.
2. Elliptic.
3. Parabolic.
4. Elliptic if x > 0, hyperbolic if x < O.
Section 0.2.3
1. (a)X" - 2AX = 0, Y" - AY = 0
(b) X" + 2 X' + AX = 0, Y" - AY = 0
(c) x 2 X" - AX = 0, 2y Y' - AY = 0
(d) X" + X' - AX = 0, Y' + (A - l)Y = 0
2. (b) is a solution of Laplace's equation.
503
504 ANSWERS TO SELECTED EXERCISES
3. The appropriate separated solutions are

+ A2e%(-1-v'l-X>)(A3cosyv:::>.. + A4 sin y.;=x)
A < 0 : u(x, y)=(A1e%(-1+v'i=X)
A = 0 : u(x, y)=(Al + A 2e- %)(A3 + A4Y)
2
o < A < 1 : u(x, y)=(A1e%(-I+vT="X) + A2e%(-I-Vl-X(A3eY v'X + A4e-Yv'X)

A = 1 : u(x, y)=(A}e-% + A2xe-X)(A3eY + A 4e- Y)
A > 1 : u{x, y)=(A1e- Xcosxv'X"=! + A 2 e- x sin x v'X"=!)(Aa eYv'X + A4 e- Y v'X)

A < 0: u(x, y) = [AI cos (.;=x In Ix!) + A2 sin( /=A In IxDJ(AaeYV=X + A 4 e- YV=X)
A = 0 : u(x, y) = (AI + A2log IxD(A a + A4Y)
A> 0 : u(x, y) = (Allxlv'X) + A 2Ixl-.fi)(A 3 cosyJX + A4 sin yJX)

A > 0 : u(x, y) = (Alex.fi + A2 e-x v'X)(I/lyll+A)
A = 0 : u(x, y) = (AI + A2x)(l/y)
A < 0 : u(x, y) = (AI cosxN + A2 sin xvC})(I/IYI1+A)
Section 0.2.4
1. un(x, y) = An cos (n1Tx/ L) sinh(n1TY/ L), n = 1,2, ... , uo(x, y) = Cy
2. un(x, y) = An sin(n1Tx/ L)e-(n7r y /L) , n = 1,2, .. .
3. un(x, y) = An sin(n1Tx/ L)e-(n7r/L)2 t , n = 1,2, .. .
4. Un(x, t) = An cos (n1Tx/ L)e-(n7r/L)2 t , n = 0, 1,2, .. .
5. Un(x, t) = An sinn - 1/2)1Tx/ L)e-n-I/2)7r/L}2 t , n = 1,2, ...
Section 0.3
1. (a) (CPt,CP2) = ~ (b) (CP}'CP3) =i
i
(c) IlcpI - !;?2112 = (d) lI!;?l + 3!;?2112 = 7
2. (!;?l! !;?3) = 0, (cpl! !;?4) = 0, (!;?2, CP3) = 0, (!;?3, !;?4) = O. Therefore (!;?t, !;?3)
are orthogonal, (CPI, CP4) are orthogonal, (CP2, CP3) are orthogonal, and (!;?3, CP4)
are orthogonal. All others are nonzero.
4. 2/1T; ~in = 4- 4/1T2 = 0.0947, dmin = 0.3078
5. 4+ 4cos2x
6. (b) x/2Ixl; ~in = ~,dmin = 0.4082
9. (d) cos () = 0,/2, () = 1T /6
CHAPTER 1
Section 1.1
1

+ ,",00
L2 4L2 (-l)n cos ~
L.m=1 n 211'2
3 L
2. 2L32:~1 (_l)n [(n!)3 - n~] sin n~x

3 L3 + 2L3,",00 [3(-1)2" + 6(1-(-1)n 1] cos n1l'x
4 L.Jn=1 (n1l') (n1l') 4 L
4 sinh L [1 + 2,",00 (-l)n cos(n1rx/L>-(n1f/L) sin(n1l'x/L)]
L L.Jn=1 1+ (n1l'/L)2
5. 4- 4
cos4x
6. ~ cos3x + ~ cos x
1 ,",00 1-(-I)n . n1l'x
72 + L.Jn=l n1l' smT
8. b + ,",00 [L(-l)"+1 sin ~ _ L [1 - (-l)n] cos~]
4 L.Jn=l n1l' L (n1l')2 L
9. ~ + 4sinx - ~ E~2 ~o:~ [1 + (_l)n]
10. 2sinh1l',",00 (_l)n+l nsinnx
1f L.Jn= 1 ""'i+n2
14. It (x) = I(x)-/(-x), h(x) = I(x)+/(-x)
15. (b),(c),(g),(h) are even. (a),(e),(f) are odd. (d) is neither.
16. (a) 2L,",00 (_1}R+1 sin ~
11' L.Jn=1 n L
(b) 2L2,",00 [(-I +
1
t _ 2[1-(-1)"1] sin ~
L.Jn=1 n1f (n1l')3 L
211',",00
( C) L2L.Jn=ln
[1-eL(-l)"].
1+(n1l'/L)2 sm T
n1fX
(d) Same as Exercise 2.

17. (a) ~ - ;;2::=1 1-~21)R cos n~x
(b) Same as Exercise 1.
eL-l
( C) -L-
2,",00
+ LL.Jn=l [(-l}R e L_l] cos Lnll'x
1+ (n1l'/L)2
(d) Same as Exercise 3.
!
21. 1 = 1; 1 = ~ (sin x + sin 3x + sin 5x + ... ); t
1 = ~ (cos x - ~ cos 3x + kcos 5x - ... );
1 = ~ (sin2x + sin6x + sin lOx + ... ) 0 < x <!!2
1f 2 6 10
22. Yes, period is 2.
23. Yes, period is 27r.
25. Not periodic.
26. Yes, period is 1.
29. Not periodic.

30 - 4L2 ~(X) 1-( 31)n n1l'x 2 L 0 L
7 L.m=1 n sm L = x - x, ::5 x ::5
31. 4~f4 E~=l 1-~61)n sin n~x = x4 - 2Lx + L3 x ,
3 0 ::5 x ::5 L
Section 1.2
1. (b), (d) are piecewise smooth.
9. (a) 1 (b) ~ (c) 1 (d) 0
10. (l/1r)(N + ~)
11. u = n1r/(N +!) for n = 1, 2, ...
12. For N = 1, D~(u) = 0 at u = O,1r
For N = 2, D~(u) = 0 at u = 0, cos- 1 ( -V, 1r
16. (b) 1r2 /12 (c) 1r2 /6 (d) 1r2 /8
17. Zero.
18. cosh 1r = ~(e1l' + e-1I')
22. n> 4
23. An =-n~ E-1r<x.<1I' sin (nx,) [J(Xi + 0) - f(x, - O)} + 0 (~), n ~ 00
Bn = :11' E_1r<x.~1I'-cos(nxi)[J(xi + 0) - J(Xi - 0)] + 0 (~), n ~ 00
Section 1.3
2. k = 2, 1.42; k = 3, 1.67; k = 4, 1.49
11 x 2 = 74L2~OO (-1~+1 [1 _
L.m=l n
!!!!:!] _ L2 _ 74L2~(X)
cos L - 3
(_1);+1
L.Jn=1 n
!!!!:!
cos L
x3 L2x _ 4L3 ~(X) (-V n n1l'x 0 L
12 3" - ""3 - 7 L.Jn=1 n sm L' <x <
13. The series for x 2 and x 3 - L 2 x are uniformly convergent. The series for x
is not uniformly convergent, since the sum of the series is discontinuous at
x=L.
Section 1.4
2 _ 2 ~oo {(_1)n_l]2
1 UN - 1rf L.Jn=N+l n2
2 UN2 - 8~(X) 1
- L.Jn=N+l n-r
3. uh = 0 for N ~ 10
4. 1r2 /8 = 1 + ~ + ~ + .. .
5 1r4 /90 = 1 + l16 + .1.
81 + .. .
8 (a) !~(X) 1-(-1)" sinnx (b) 11'2 _2~(X) 1+(-1)" cosnx
11' L.Jn=l n3 6 L.Jn=l n 2
8 ~(X)
(c) U2N (sine series) = ill' [1-(-1)"]2 = O(N-5)
L.Jn=N+l n6 ,
2 (cosine series) = 2 ~(X)
uN [1+{_1)n]2 = O(N-3)
L.Jn=N+1 n 4
10. (a) a~ + ~E:=l!;~h; cosnx (b) u~ O(N-3)
=
16. E~=N+l e- n = ~=.'; whereas f:
e-xdx = e- N , so that the series is asymp-
totic to the integral multiplied by the constant factor 1/(e-1), in contrast
to the case of a power f(x) = x- s , s > 1, when the integral and the series
are asymptotic to one another, with the constant = 1.
17. ~ = 12V3
p2
18. ~ = 16
19. ~ = 4n tan;
Section 1.5
3. eX = r::=-oo (-1)n Lt:~'!;2 (sinh L)e i~7r x,
1< <1 _ <
-L<x<L
4. 1 -
l-re'~ -
,",00
~...m=O
n inx
r e, - r ,00 x < 00
Section 1.6
1. ct'n(x) = Asinn- ~)7Tx/L)), An = n-
~)'n"/L)2,n = 1,2, ... and A is
an arbitrary constant.
2. ct'n(x) = A( ~ cos(xA) + h sin(xv'A,;)) where An is a root of the tran-
scendental equation 2h-IX cos (Lv'X) + (h 2 - A) sin(Lv'X) = 0, n = 1,2, ...
and A is an arbitrary constant.
3. ct'n(x) = A cosn - ~)1fx/ L), An = n -
~)1f / L)2, n = 1,2, ... and A is an
arbitrary constant.
4. CPn(x) = Acos(2n1fx/L) + Bsin(2n1fx/L), An = (2n1f/L)2,n = 1,2, ... ,
where A, B are arbitrary constants.
5. ct'n(x) = A sin (x v'Xn ), where An is a root of the transcendental equation
tan(LVX) = v'X, n = 1,2, ... and A is an arbitrary constant.
6. ct'n(x) = A (sin(xv'A) + -IX cos (x v'X) ), where An is a root of the transcen-
dental equation cos(LJX) - JX sin(Lv'A) = 0 n =
1,2, ... and A is an
arbitrary constant.
9. (a) The point (1f / 4, 1f/2) is in the region Al > 0 of Fig. 1.6.2; therefore
there are no negative eigenvalues in this case.
(b) The point (1f /4, 31f / 4) is in the region Al < 0 < A2 of Fig. 1.6.2;
therefore there is one negative eigenvalue in this case.
(c) The point (71f/8,71f/8) is in the region Al < A2 < 0 of Fig. 1.6.2;
therefore there are two negative eigenvalues in this case.
CHAPTER 2
Section 2.1
1. U(z) = Tl + (z/ L)(T2 - Td
2. ~ = -(k/ L)(T2 - Tt}
3. U(z) = (z - L) + To
4. U(z) = {T1(k + hz) + To[k + h(L - z)]}/(2k + hL)
5. U(z) = T; + (7'- - T; ) sinh zViiiK + (T _ To ) sinh(L-z)y7i!K

3 2 3 sinhL"fiiii 1 3 sinhLVP/K
6. U(z) = Tl + (r/2K)(L2 - Z2); ~ Iz=L= krL/K
- -rz2
7 U( z ) - 2K + (T2-Tt
L
+ rL)
2K Z
+ rp
.I. 1
L. U( ) - roz(L-z)
8 U( Z ) -- roLz
6K'
0
< z < 3' z - 2K
roL2 L
- 18K' "3 < Z < 3'
2L.
U(z) = roLJ~-z), 2f < z < L

9. 0.001792 cal/s-cm2
10. The solution is
u(z;t) = Ao + exp [-zJ :rJ cos C~t -zJ:n)

Al
+ A2 exp [-z V~]

KT;
cos (27rt -
1"2
~ z)
VKT;
12. u(z; t) = e(1+')V{J/2Kze iPt
14 (. t) - A (1 -.!.) A Re[e-C(I-L)el/Jit-C(.c-L)Lec(Z-L)e,/Jit+C(I-L)I]
u Z, - 0 L + 1 ecLe,cL-e cLe lcL ,
R_ 21f
p- T'
c= fI
V2i<
15. V7r K 1" = 23.3 cm
16 u(z, t) = a,",00 exp [-z Imf1
1fL..n=l V KTJ
[1-<-1)"] sin (2n1ft -
n T
Z I!JK)
V KT
17. u(z; t) = -(A 1 /2c)e-CZ[cos(pt - cz) + sin(pt - cz)], c = ~

t) - -A e-cz(c+h)cos({Jt-czHsin({Jt-cz)
18 u(z, - 1 c2+(c+h)2'
c= fI
V 2i<
19. u(z; t) = Ao + A1e- cz cos e;t - zv'iiJ
20 U(z) = ..rl:- + .!!..(L - z) + Ttl1+h(L-z)] + T2(l+hz]
2Kh 2K 2+Lh 2+Lh
21. The constants must satisfy K(~2 - ~d + rL = O.
Section 2.2
1 u(z, t) = 2L,",00
1r L..n=l (_1)n+1
n
sin!m!
L
exp [_ (~)2
L
Kt]
2. u(z; t) = 2;L::1 ~ (1 - cos n21f) sin nrz exp [- (n;)2 Kt]
3. u(z; t) = 3 sin ;t exp [- (2~)2 Kt] + 5 sin ;7 exp [- (~1)2 Kt]
4. un(z; t) = cos nrz exp [- (n;)2 Kt] , n = 0,1,2, ...
5 u(z t) - b. _ 4L,",00 cos(2n-l)1Tz/L] e p [_ (2n-l)2 1T 2 Kt ]
,- 2 7 L..n=l (2n-l)2 X L'i
6. u(z; t) = 3 + 4 cos 7 exp [- (f)2 Kt] + 7 cos 3~Z exp [- (3{)2 Kt]
9. u(z;t) = L:=lBnsinz~e->'nKt, ~ = -htanL~,
B n -- ~cosLvr*
2L Tn -sin(2L~}
10. un(z; t) = [hsin(zy':f,J + Aa cos(zAa)]e- AnKt ,

tan(L~) = 2h~/(An - h2 )
11. u(z; t) = L::=IAnun(z; t), An = f ~un(z; O)dz/ f ~Un(z; 0)2dz
12. T = L2 /7r 2 K
13. T = L2/7r 2 K
14. T = 4L2/7r2 K
15. T = (1/ AIK), Al = smallest positive root of the equation ../X = -h tan L../X
16. T = 1080 s
18. un(z; t) = (An cos 2n{Z + Bn sin 2n;z) exp [- (2~11")2 Kt] ; n = 0, 1,2, ...
19. u(z;t) = 50+ 1~L:~=1 [l-(~lt] sin 2nIzexp [- e~1I")2 Kt]
20.
L2 1
Tring = 411"2 K = 4 Tslab
Section 2.3
Section 2.4
1. y(s;L/2c) = 0 for 0 < s < L
2. B 2n+ 1 = 0 for n = 0, 1,2, ...
3. B 3n+1 = 0, B3n+2 = 0 for n = 0,1,2, ...
Section 2.5
1 U (x,
. t) -
y, -::J
4 2: 00
-I
sin[(m-j)(1I'x/Ll)] sin[(n-!)(7fy/L2)]
e
->"mnKt
7f m,n- m-li n-li
Amn = (m - ~)2(1f/LI)2 + (n - ~)2(1f/Ld2,
T + L~)]
= (4/1f2K)[L~L~/(L~
"
~oo l-(-l)m
2. u(x yt) = 1 L.,.,m=l m
sin~exp
Ll
11'
[- (m!.)2 Kt] T = ~
Ll ' 1i'IK
3. uo(x, y) = Ay+B, un(x, y) = cos(n1fx/ Lr)[A cosh (n1fY/ L1)+B sinh (n1rY/ L.)J,
n = 1,2, ...
4 u(x y) - 1If.l _ lli ~oo 1-(-l)n cos n7fxjLl sinh n1l'1I Ll
, - 2L2 1f2 L.,.,n=l n sinh(n7fL2/Ll
5. u(x, y) = y/ L2
6. u(x,y) = yT2/L 2 + (L2 - y)Tt/L2
7. Umn(X, y, z) = sin[(m - ~)(1fx/ L)] sin[(n - !)(1fY/ L)]
X{Acosh(1rz/Lhj(m - !)2 + (n - !)2+Bsinh(1f'z/Lh/(m - !)2 + (n _ !)2}
8. uoo(X,y, z) = Az + B, Umn(X, y) = cos mfx cos ~[Acosh (7v'm2 + n2)
+Bsinh (7f{v'm2 + n2)], m, n = 0,1,2, ... with m2 + n2 =F 0
r.---r:-:=---:-----r:-=,.
- 4 ~oo sin[(m-j)(1Tx/L)]sin[(n-!)(7fy/L)]sinh[(1Tz/L) (m-l)2+(n-j)2]
9 U (X, Y) - ~ L.,., -1 1 1
11' m,n- (m-:i)(n-:i)sinh(1I' (m- 2 )2+(n-2")2)
10. u(x, y, z) = 1
11. u(X y' t) = !all
"
+ (L2-1I)Tl
L2
~oo 1 An si n !!!1l
+ L.,.,n=
L2 L2
exp [_ (&)2Kt]
L2
A = 2(Ts-Td(1-(-1)n] + 2(TI-T2)(-1)n+l
n n1T n1l'
y) - m ~oo
12. u(x y' t) = U(x ,~ l-C-l)m n(_l)n+l sin ~ sin!!!!1 e->"mn Kt
1 , L.,.,m,n=l m m 2 +n 2 L L '
_ (m2 +n 2 )7f2 _ L2
Amn - L2 1 T - 2K7f2
13. u(x, y; t) = 3 sin (1f'x/ L) sin (21f'Y/ L) cos[1f'ctv'5/ L]
+ 4 sin(31fx / L) sin (51rY / L) cos(1fct...!34/L)
14. umn(x, y; t) = cos (m1fx/ L) cos (n1fY/ L) sin [(1f'ct/ L)v'm2 + n 2], (m, n) i- (0,0)
Uoo(x, y; t) = t
15 !!:fL' 1r 1. '2!!:f '41. '4 1f ;g! '5! '8 !!:f. rg ! . rg
L ' L v~, L V'*, L V'*, L V iJ, L V iJ, L V 0, L v~, L V ~
17 !!:f
L V'5!!:f.!ffi
v, L V ~U, 1TC . 'I3
L V ru: . 'I7!!:f '2i5 ru: v'25' !r
~.J, L V ~" L V ~U, L L V. '26 1r . '29 ! . 134 !r . '4I
~U, L V ~~, L V.J,*, L V '*~
CHAPTER 3
Section 3.1
1. 12p2 cos 2cp
2.0
3. n 2 pn-2
4. {n 2 - m 2 )pn- 2 cosmcp
5. eP cos cp + {1/ p)eP cos cp - (1/;)eP cos cp
6. 1, 2, 3 if n is even; 4 if n > m and n - m is even.
9. f(p) = Alnp+B,p;i: 0
10. f(p) = -ip2 + Alnp+ B,p # 0
11. f(p) = ';2
Inp+3
12. f{p) = -i p2 + ~~~~ + ~
13. u(p, cp) = 1 + c~n2 cos 2cp + 3 (i)3 sin 3cp
14. u{p, cp) = ffii - fi.
cos 2cp + 161C;;l'P
15. u(p, cp) = 21~ne2 + ~ 2::=1 [~:=~=:] [1-(~1)71] sin n!p
16. u{p,cp) = 3+4 (~)2 COS;CP+5 (~)3 sin3!p

18. un{p, cp) = p2n sin 2ncp, n = 1,2,3, ...
19. u(p, cp) = :2::=1 l-{~1)n rn sin 2ncp
20. un(p, cp) = pn cos ncp, n = 0,1,2,3, ...
21. u(p, cp) = ~2 - 22::0=1 l+~21)n pn cos ncp
Section 3.2
Section 3.3
1. U(p) = (g/4c 2)(p2 - a2 )
4. u(p,cp;t) = 2::=lAnJo (~)cos~, JO(xn) = 0,
An = Q2Jt(xn)2 f;
Fl(P)JO(~) pdp
5. u(p, cp; t) = 2:~IAnJo (~}sin~, An = aexnJ;(xn)2 foG F2(P)JO(~) pdp
6. u(p, (n
.,..,
t) = ~c ,",00 Jo pZn a sin ~
L ..m=l xnJt xn) a '
JO(xn) = 0
7 U(p
. ''1'' t)
In = 8a3 L.Jn=l
C
,",00 JO(pZn{a)
X!Jl(Xn)
sin ~
a ,On
J (x ) = 0
8. u(p, CI'; t) = (afcx~3J3(px~3) fa) sin(ctx~3) fa) cos3C1'
Section 3.5
1. u(p (n z) = 2 ~oo JO(pZn{Pmax)s~nh(xn(L-z)/Pmax)
,.,.., L.Jn=l Xn J l(Xn)SlOh{x n L/Pmax)
2 u(p In Z) - 21! ,",00 JO(PXn/Pmax} sinh(z:Z:n/Pmax)

,.,.., - 2L..m=1 :Z:n J l(xn)sinh( Lxn/Pmox)
+ 2T ,",00 JO(P:Z:n/Pmax)s!nh[(L-Z):Z:n/PmoxI where J. (x ) = 0
lL.Jn=l Xn Jl (:Z:n) smh(Lxn/Pmax)' 0 n
3. u(p,cp,z) = Imk - ~}rrp/L)(Amcosmcp+Bmsinmcp)sin(k - ~)1rz/L)
4 u( z) = i ,",00 lok-i)7I'p/L) sin(k-!)7TZ/L
p, 7T L.Jk=l Iok-!)7I'Pmax/ L ) 2k-l
5. u(p z) = 2L ,",00 (_l)k+l lo(k7I'p/L) sin(hz/L)
, 1r L.Jk=l k lo(k1tpmax/L} k
6. (a) u(p, cp, z; t) = cos(k1rz/ L)Jm(px~m) / Pmax)(Am cos mcp+Bm sin mcp)e->'kmnKt,
where J:n(x~m = 0 and k, m = 0,1,2 ...
(b) u(p, cp, Z; t) = ~r.m,n Akmn cos (k1rz/ L)Jm(px~m) / Pmax)
(Am cosmcp + Bm sin mcp)e->'kmnkt, where J:n(x~m) = 0)
7. (a) u(p, cp, Zj t) = sin(k1rz/ L)Jm(px~m) / Pmax)(Am cosmcp+Bm sin mcp)e->'lcmnKt,
where J:n(x~ = 0 and Akmn = (k{)2 + (;::)2
(b) u(p, cp, z) = ~k,m,n sin(k1rz/ L)Jm(px~m) / Pmax)(A kmn cosmcp+Bkmn sin mcp),
where J:n(x~m = 0 and m = 0,1,2 ... , k = 1,2, ... , n = 1,2, ...
CHAPTER 4
Section 4.1
1. 12r
2. 3sin3 8 + 9sin8cos2 8
3.2/r
4. (cot 8)/r2
5.0
6. (9 + 6/r)e3r
7. n(n + 1)rn - 2
11. f(r) = (a 2 - r 2 )/6
12. f(r) = (a 4 - r 4 )/20
13. f(r) = (a 6 - r 6 )/42
= ~ Re {exp[c1 (r - a)(l + i)]e2it l-exp[-
14. u(r''t)T 2c t r (l+I)] }
l-exp[- 2c la(1+t) ,
where c} = J'f
17 u (r;t ) = a(a2-r2}
6K + T1 + rL.Jn=l
1",,00 A . n7l'T
nSlDQ exp -
[(n7T)2 Kt]
a ,
where A = 2a(T2- T l) (_l)n+l _ 2(703~_l)n+l. T = a2
n n7r 7T Kn 3 ' 1i'iK
18. u(r; t) = ~ ~:=lAn sin ~:: exp [- (~:}2 Kt] + Tb
where An = T2 [...JL. sin ~ -
(n1l')2 2
2a
n7T
cos~]
2
+ T1 [40(-1)"]
n1l'
20. un(rit) = ~ sin(r~)e->'nKt, where a~cot(aA) = 1
Section 4.2
1. 0, -~,O, ~
2. 1,0,-~,0
3. Ps(s) = 638ts-7~S315S, P6(S) = 23Is6_3I5;~10582-5
10. PI (0) = 0, P2 ( 7a) = 0, P (0) = 0, P (/i) = 0,

3 3
p. ( 15it") = 0
12. ~ + 2::1 2i~"tIl) PHO)Pk(s) = ~[J(S - 0) + f(s + 0)], -1 < s < I
13. 2::1k~t~) Pt(O)Pk(S) = Mf(s - 0) + f(s + 0)], -1 < s < 1
14. ~ - ~~P2(S) + ~~~P4(S) - 2~438P6(S)
15. P4 ,l (s) = VI - s2(35s3 - 15s)/2 = 5V1 - s2(7s3 - 38)/2,
P4,2(S) = (1 - s2)(105s 2 - 15) = 15(1 - s2)(7s2 - 1)/2,
P4 ,3(S) = (1 - s2)3/2(1058), P4.4(S) = 105(1 - S2)2
19. S2 = iPo(s) + iP2(S), S3 = ~Pl (s) + ~P3(8),
8 = ts-PO(S) + ~~P2(S) + I5P4 (s)
4
Section 4.3
1. u(r,8) = lj Po (cos 8) + 4(r/a)P1 (cos8) + t(r/a)2P2(cos8)
2. u(r,8) = ipo(cos 8) + t(r /a)2 P2(cos 8)
3. u(r,8) = 2:~=o 2n~i (~)n Pn(cos8)
4. u{r,8) = ~ + E:l (2~;(~:f~O) (~)k Pk(cos 8)
5. u(r,8) = 2::1 (2k~!>:l5)(O)
(;)k Pk{cos8), u (r,~) = 0
7. u(r,8) = (r/a)P1 (cos8) + Hr/a)3P3{cos8)
8. See Exercise 5.
9. u{r,8) = !(a/r)Po{cos 8) + 2(a/r)2 PI (cos 8) + ~(a/r)3 P2 {cos 8)
+ ~(a/r)5P4(cos8)
10. u(r,8) = E:I (2kk~!>':N)
(~)kl Pk (cos8)
11. u(r,8) = -t{a3/r2) PI (cos 8) - fo(a 5 /r 4)p3(cos 8)
12. u(r,8) = !~~ ~ (a =F 2)
13. u(r,8) = (r/a) sin8coscp+ (r/a)2sin2 8sin2cp
14. u(r,8) = (a/r)2 sin 8 cos cp + (a/r)3 sin2 8 sin 2cp
CHAPTERS
Section 5.1
1. F(J.I.) = Si::
e
2. F(p,) = ':Jl (1 - cos p,)
3. F(p,) = 2~ (2~'Jl + a':iJl)
4. F(JL) = ur(1~Jl2)!l
5. F(p,) = 2~ [1+(1~Jl)2 + 1+(11_1')2 ]
6. F(p.) = 4~ [1';Jl2 + 1+(:-2)2 + 1+(:+2)2 ]
7. F(p.) = T e- 1Jl1
8. F(JL) = vk exp [-! (JL _ ~)2]
9. F(JL) = 2:/2;; {exp [-!(1 + JL)2] + exp [-~(1 - J.I.)2]}
10. F(p.) = _ iJJe;;;/2
13. Fc(J.I.) = ~ (1t;$2)!l Fs(J.L) = 1f(1!tll)2
17. F(J.L) = ~e-3iJle-lpl
18. F(J.L) = .Ane-2iJle-p2/2
19. F(p.} = 3e- 2ip /1f(9 + p.2)
20. F{JL} = 1/[1f(4JLi + 8 - J.L2)]
21. F{JL) = (2 - iJL}/21f(4 + J.l.2)
Section 5.2
6. u(x; t} = fo {exp [- (~1t]
v'4!Kt
LI
- exp [- (~1t]} df.
lu(xt)1
,
< ~t-3/2
- 4KV1fK
7. u{x; t) = v'4!Kt fo {exp [- (~ir] + exp [- (~~t]} df.

Ll
lu(xt)1
,
< ~
- v41fKt
15. u(x; t) = Tl [1 - (ht)]

 (hn)]
[ (jffi)]; limt.... oou(x;t) = 0
Section 5.3
1. y(x; t) = 3 sin 2x cos 2ct
2. y(x; t) = (4/Sc) cos Sxsin Sct

4. y(x; t) = ~ f::~: g({)le for 0 < x < ctj
~ f:~:: g({)le for x > ct
y(x; t) =
S. y(x; t) = ~ f~~: g({)le + s (t - ~) for 0 < x < ct
y(x; t) = ~ f:~:: g({)cl{ for x > ct
7. u(r; t) = t[(r + ct)!t(r + ct) + (r - ct)JI(r - ct)] + 2~ f:~:: {J2({)df.
o O<ct<r-a
(T/4cr)[a2 - (r - ct)2] 0 < r - a < ct < a + ra
8. u(r; t) = Tt 0 < ct < a - r
{T/4cr)[a2 - (r - ct)2] 0 < a - r < ct < a + r
o ct>a+r
9. u(x, y) = ~ (tan- l 4;Z + tan- 1 ~)
~ Io [y2+(:_()2 - y2+(:+~)2 ] J({)cl{
oo
10. u(:c, y) =
~ Io [y2+(:_~)2 + y2+(:+()2] J{e)df.
oo
11. u(x, y) =
12. u(:c, y) = ~ Io [y2+(:-d2 + Z2+(;_()2 - 1f+(:+()2 - Z2+(;+()2] J(e)cl{
oo
Lm=l B n sin ~
13 u(x , y) -_",,00 L
e-(nll'y/L) B -.!
,n rL J(x) sin ~ d:c
- L Jo L
14. u(:c, y) = I~ooB('x) sinh'x:ce''\Yd,X, B('x) sinh,XL = 2~f~oogodde-i.\Ydy
CHAPTER 6
Section 6.1
1. 5! = 120, (5/e)5 21.0561, {5/e)5y'101T 118.02;
r-..J r-..J
. 50! (3.0414)1064 , (50/e)50 (1.7131)10 63 , (50/e)5y'1001T

r-..J r-..J r-..J (3.0363)10 64 ;
500! (1.2201)10 1134 , (500/e)500 (2.1765)10 1132 ,
r-..J r-..J
{500/e)5ooy'10001T (1.2199)10 1134

r-..J
Section 6.2
1. J(t) = (et /t)[(sin 1) + O(l/t)], t ~ 00
2. J(t) = (e- t /t)[l + O(l/t)], t ~ 00
3. J(t) = (e- t /t)[l + O(l/t)], t ~ 00
4. J(t) = (l/t)[l + O(l/t)], t ~ 00
5. J(t) = (l/t)[l + O(l/t)], t ~ 00
6. u(at; t) = 100 + O(e-(a2 t/4K t ~ 00, a> 0
Section 6.3
1. J(t) = 2J1ift[1 + O(I/v't)], t ~ 00
2. J(t) = 5y'1i7t[1 + O{l/vi)], t -+ 00

3. J{t) = e3t / 7 J81r/15t[1 + O(l/vi)]' t -+ 00
4. lo(t) = et Jl/27rt[1 + O(l/vi)], t -+ 00
8. u(Xj t) =
9. u{Xj t)
*'
7. u(x; t) = O{l/t), u:z:(Xj t) = O{l/t), t -+ 00
lfo J(x)dx + 0 (~)], U:z:(X; t)
OO
= 50 V1i [1 + 0 (~) ], u:z:(x; t) = 0 (t) ,

= 0 (t),
t -+ 00
t -+ 00
10. u{x; t) = v*a [l + 0 (t)], u:z:(Xj t) = O{l/t), t -+ 00
Section 6.4
1. J(t) = y'1i7tei1r /4[1+ 0(1/ vi)], t -+ 00
2. J(t) = J21r/te't e-(i1r/4)[1 + O(l/vi)}, t -+ 00
3. J(t) = J7r/2te it e-(ur/4)[1 + 0(1/0)], t -+ 00
4. J(t) = 2J21r/tcos(t - 7r/4) + O(l/t), t -+ 00 m even
J(t) = 2iJ27r/tsin(t - 7r/4) + O(l/t), t -+ 00 m odd
Section 6.5
4. J(t) = e- t [t - b+ ~ - ~ + ... + (_l)n #h + 0 (tnk)], t -+ 00
CHAPTER 7
Section 7.1.3
7. (a) 0.04996 (b) -0.1000 (c) -0.4986 (d) -0.9975
8. (a) -0.04996 (b) 0.1000 (c) 0.4082 (d) 0.9975
9. (a) Zero (b) Zero (c) -0.01126 (d) Zero
11. (a) Zero (b) -0.0677 (c) -0.0008 (d) Zero
CHAPTERS
Section S.1
l+h(L-z)x if 0 < x < z
2 GX,z
() = I+hL --
l+h(L:z:)
{ l+h~ z
if z :5 x :5 L
_ { l:~+~~Z (1 + hx) if 0:5 x :5 z
3. G(x, z ) - l+hz [ ( )}'
h(2+hL 1 + h L - x If z :5 x :5 L
Sinh[(L-Z)v'k]Sinh(Zv'k) if 0 :5 x :5 z
4 G(x z) - sinh(L~)
,- { sinh %k sinh L-:z: v'k if z :5 x :5 L
sinh(L k)
sin[(L-z)v'-k}sin(:z:H) if 0 <_ X <_ z
5 G( )- sin(LR)
X, Z - { sin[zv'-k} sinj{L-:z:)A) f
sln(Lv.:k) i z:5 X :5 L
-(z - L)2/2L if 0 :5 x :5 z
6. G(x,z) ={(x _ z) - (z - L)2/2L if z ~ x ~ L
7 G _ { (L - z)(z - 2x)/2L if 0 ~ x ~ z
. (x, z) - (x _ z) + (L - z)(z - 2x)/2L if z ~ x ~ L
Section 8.4
1. u(x;t) = J: JoOO [47rK(t-s)]-1/2 [e-(2:-()2/ 4K(t-S) +e-(2:+()2/4K (t-S)] h({,s)deds
L
2. u(x; t) = E~-oo J: Jo [41r K(t - S)J-l/2
[e-(2:-(-2mL)2/ 4K(t-S) - e-(2:-(-(2m+2)L)2/4K (t-S)] h({, s) de ds
3. u(x, y; t) = f: fooo JoOO[41rK(t-s)J-l/2e-[(2:-()2+(Y-'1)2114K(t-s) h({, 'Tl, s) de d'Tl ds
4. u(x; t) = [41rKt]-1/2 E:=-oo
JoL [e-(2:-(-2mL)2/4Kt - e-(2:-{-(2m+2)L)2/4Kt ] f({) de
5. u(x; t) = [47rKt]-1/2 E::-oo JoL e-(2:-(-mL)2/4Kt f ({) d{
Appendix A.I
1. y(t) = e- t2 (t + c)
2. y(t) = 1 + cIt
3. y(t) = e2t /5 + Ce- 3t
4. y(t) = t2 /6 + C/t 4
5. y(t) = 1 + C/sint
6. y(t) = Cl cos 2t + C2 sin 2t
7. y(t) = cle- 2t + C2te-2t
8. y(t) = cle3t + C2e-5t
9. y(t) = C} + C2e-3t
10. y(t) = cle-(t/3) + ~e2t
11. y(t) = sin 2t
12. y(t) = e-2t + 2te- 2t
13. y(t) = ye 3t
+ ~ e- 5t
14. y(t) = i - ~ e3- 3t
15. y(t) = ~ e-(t/3) + ~ e2t
16. y(t) = e- 2t -i cos.j2t +

( si n .J2t ) +k
17. y(t) = !e + !e- 2t - ~
2t
18. y(t) = ~ - ~e-4t + ~t

19. y(t) = 3 + 4t
=
20. y(t) -t + In t + 1
21. y(t) = t + E:=l (-4)"~~+i~~m-l) t 3n+1
22 . Y(t) = 1 + Lm=l (_4)fl (an)!(3m-2) tan
,",00 0:;'-1
26. (a), (c), (d), (e) have regular singular points.

~
27. r(r - 1) - 1 = 0, y(t) = t 2
28. r2 = 1, y(t) = t
29. r 2 = 0, y ( t ) = 1 + ~oo <il)fl3; 2n
Lm=l 2 fl(nl) t
_ _ r [ 00 ( _3)flt2fl ] _ ~
30. r(r - 1) - 1 - 0, y(t) - t 1 + En=l n;:::lr(43-2)+(432-2J+2) ,r - 2
31. yoo = 3, T = ~
32. yoo = 5, T = 1
33. yoo = 4,
T = 4
34. yoo = 1, T = 1
35. yoo = 4, T = 1
Appendix A.2
1. (a) Diverges. (b) Converges. (c) Diverges. (d) Converges.
2. (a)E:=l (_I)n+\~::-11)! (b) 2E~1 ~:n-=-;
(c) 1 + E:: 1 (~:)! (d)E:=l r;::~;! (O! = 1)
3. (a) f'(x) = ~ e-(l/~) and J"(x) = (:!r - ~) e-(l/~) for x > O.
(d) The Taylor series converges for all x and its sum is zero.
This equals J(x) - 1(0) only when x ~ O.
5. (a), (c), (d) can be differentiated term by term according to Proposition
A.2.8.
6. ,",00 n 3 x n = ~(l+4~+~2) ,",00 n4xn = ~(1+llx+llx2+xS) -1 < x < 1
L.m=l (l-x)4 'Lm=l (l-x)6'
9. (a) Diverges (b) Converges (c) Converges (d) Converges
10. (a) Can choose any T > 0, M = 2. (b)Can choose any T > 0, M = 210(10)!
(c) Can choose T = 1, M = 2 (d) Can choose any T > 0, M = 2
12. (a) Use L'Hospital's rule.
(b) fol n 2 xe- nx dx = fon ye-Ydy = -(1 + y)e- Y m-+ 1 when n -+ 00.
(c) Choose un(x) = n 2 Xe- n2x - (n - I)2 xe -(n-l)2 x for n = 1,2, ....
15. Not necessarily; for example, let It (t) = sin t, f2(t) = cos t, g(t) = 1.
Appendix A.4
1. y" [t] + t y' [t] + (1 + t"'2)y[t] == t/(l + t)
2. D[y[t],t,t] + t D[y[t],t] + (1 + t"'2)y[t] == t/(l + t)
D[y[t],{t,2}] + t D[y[t],t] + (1+t~2)y[t] == t/(l + t)
3. f[t_]:= 1 + t + Sin[t] + E~t - Sqrt[5 - t"2]

f[2]
f[2] lIN
4. f[t_,c_]:= Cos[t] + t"(3/2) + (2/3) c
5. 11(3 5 7 9)
1/(3 5 7 9)IIN
6. D[Log[Sin[t]]/Tan[t] tt]
D[(t~3 + l)/(t Sin[t]),{t,2}]IISimplify
7. (a)Integrate[t~3 "(5 t)Cos[t] tt]
(b)Integrate[(Sin[t])~7,{t,O,Pi}]
8. D[Integrate[t E~t + Sec[t],t],t]IISimplify
9. Clear [II Global t G*"]
f = Function[t,t~3 + Tan[t]]
f = (#~3 + Tan[#])&
f[Pi/4]
f[Pi/4] II N
INDEX
Abel's lemma, 483-484 Boundary conditions, 18, 44, 101

Acoustics, 140-141 homogeneous, 110-120, 153-155
Alternating series test, 478 nonhomogeneous, 121-132, 157-159
Amplitude variation, 105 periodic, 94-95
Amplitude, 194 two-point, 84-85
asymptotic, 195 zero, 231-232
Angle, 23 Boundary-value problems
Angular index, 183 in cylindrical coordinates, 171-234
Associated Legendre equation, 253, 261 exterior to a sphere, 269-272
Associated Legendre functions, 261-263 in rectangular coordinates, 99-110
Asymptotic amplitude, 195 in a sphere, 268-269
Asymptotic analysis, 345-377 in spherical coordinates, 235-276
of the factorial function, 345-349
Asymptotic behavior, 193-197
Asymptotic estimate, 72-73 Cauchy principal value, 279
Asymptotic expansions, 368-371 Cauchy problem, 10, 318
Asymptotic phase, 195 Complementary error function,
asymptotic formula for, 351-352
Completeness, 30, 89
Backward replacement error, 392 Complex conjugate, 79
Bessel's inequality, 25 Computational molecule, 394
Bessel equation, 93-94, 183-184, 217 Conditions of boundedness. See
power series solution of, 184-188 Boundary conditions
second solution of, 191-192, 203, 265 Continuity equation, 100
Bessel functions, 183-207, 364 Continuous function, 47
application of the method of Convergence
stationary phase, 364 of a double series, 484
asymptotic behavior of, 193-197, 204 of infinite series, 476
integral representation of, 188-190 pointwise, 480
modified, 187 uniform, 480-483
spherical, 263-266 Convergence of series in three
zeroes of, 192-197, 203-204 dimensions, 249-250
Big- 0 notation, 387, 485-486 Convergence theorem, 49, 82
Black-Scholes model, 310-313 for Fourier transforms, 279, 291
521
522 INDEX
Critical points, 412 Explicit representation, 141-144, 146,

Cylindrical coordinates, 171-234 297, 327-329
Exponential integral, 368
Exterior problem, 178
d'Alembert's formula, 318-319, 323,
326-327
d'Alembert's solution, 146-148 Finite element method, 425
Differentiation formula for Bessel Five-stage method, 122-124, 219-224,
functions, 189, 190 242-245
Diffusivity, 7 Forward replacement error, 391
Dimension, 183 second-order, 393
Dipole potential, 437 Fourier coefficient, 25
Dirichlet boundary condition, Fourier cosine formulas, 286
304-305 Fourier inversion formula, 278
Dirichlet kernel, 51-52 Fourier representation, 139, 319
Dirichlet problem, 9-10, 270, 440-441 of Green's function, 431
Dispersion, 289, 292 Fourier series, 35-97, 277-279, 294-295,
Distance, 23 395
Divergence, implementation with complex form of, 78-83
Mathematica, 491-492 convergence of, 46-54
Divergence theorem, 489 cosine, 43-44
Double Fourier series, 152, 156-157 defined, 37
Double series, 484-485 differentiation of, 65-66
Double-layer potential, 437 double, 152, 156-157
integration of, 66-67
of mass distributions, 81-83
Eigenfunction, 84-85 sine, 43
complex-valued, 95-96 Fourier sine formulas, 286
Eigenvalue problems, variational Fourier transforms, 277-343
formulation of, 411-412 application to the heat equation,
Eigenvalue, 84-85, 183 294-307
complex-valued, 95-96 general properties of, 280
multiplicities of, 162-164 in several variables, 288-289
transcendental, 116-120 sine and cosine, 285-287
Energy, 150 three-dimensional, 325
Energy functional, 338 Fourier-Bessel expansion, 198, 205-206,
Euler's equidimensional equation, 174, 218,219
264 Fourier-Bessel series, 197-202
Euler's formula, 78, 81 Fourier's law, 99
Euler method, 380-382 Fractional mean square error, 141
Euler-Lagrange equation, 411 Fredholm alternative, 432-433
Even extension, 43 Frequencies, 140
Even function, 37-40, 259 mUltiple, 161
Existence-uniqueness theorem, 467 simple, 161
Explicit procedure, 405 Fresnal integral, 365
INDEX 523
Frobenius, method of, 473 solution using asymptotic an~ysis,

FUndaInent~frequency, 140 352-353
Fundament~ lemma of the calculus of steady-state solutions of, 102-103
variations, 410 time-periodic solutions, 103-105,
FUndamental theorem of calculus, 478 224-226, 237-239
in a triangular region, 404
in two and three dimensions,
Galerkin method, 420-422 403-407
Gamma function, 186 with zero boundary conditions,
Gauss-Weierstrass kernel, 297 231-232
Gaussian approximation, 359-361 Heat flow
Gaussian integers, 162 in the finite cylinder, 227-233
Generalized hrtransform, 287-288 in the infinite cylinder, 216-226
Geometric mean approximation, 346 time-periodic, 237-239
Geophysics, 105-106, 237-239 Heat flux, 7, 99
Gibbs phenomenon, 58-64, 206 Heat polynomials, 316
Global maximum principle, 442 Helmholtz equation, Green's function
Global truncation error, 387 for, 459-460
GraIn-Schmidt procedure, 31 Hermite functions, 315
Green's first identity, 491 Hermite polynomials, 314-317
Green's functions, 427-462 Heun method, 384-385
Green's second identity, 491 Homogeneity, 2
Green's theorem, 490 Homogeneous boundary conditions,
110-120, 153-155
Homogeneous equation, 467
Half-life, 474 Huygen's principle, 323-327
Heat current density, 99 Hyperbolic functions, 12
Heat equation, 1, 99-108
application to financial mathematics,
310-313 Incoming radiation condition, 460
applications of, 358-359 Infinite series, 476-477
in cylindrical coordinates, 216-226, Initial-boundary-value problem, 8
227-233 Initial-value problem, 112-113, 122,
derivation, 100-101 154-155, 211-213
fundaInent~ solution, 297 in a cylinder, 217-221
Green's function for, 450-454 for the heat equation, 232-233
hODlogeneous, 452-454 for heat flow in a sphere,
with homogeneous boundary 240-246
conditions, 153-155 for the telegraph equation, 336-338,
for an infinite rod, 294-307 371
Laplace's method for, 358-359 between two cylinders, 221-224
nonhomogeneous, 450-454 Inner product, 21
with nonhomogeneous boundary complex, 32
conditions, 157-159 weighted, 30-31
one-dimensional, 5-9, 393-402 Integral test, 477
524 INDEX
Integration by parts, 350, 368 Mean~value operator, 326

Intermediate-value theorem, 193 Method of descent, 330, 461
Isoperimetric theorem, 74-75 Method of finite differences, 399-402
Method of images, 303, 452-454
Method of integrating factors, 465
Kantorovich method, 417 Method of particular solutions, 467
Kernel function, 287 Method of stationary phase, 362-367
Minimal surface equation, 413
Mixed boundary condition, 306-307
L'Hospital's rule, 53 Modified Green's function, 431-432
Lagrange identity, 97 Multiplicities of eigenvalues, 162-164
Laplace's equation, 1, 155-157,
228-231,264-266
application to potential theory, Neumann boundary condition, 305
272-274 Neumann problem, 179, 270
in cylindrical coordinates, 171-181 Newtonian potential, 455
in a half~space, 332-333 Newtonian potential kernel, 434-436
in spherical coordinates, 267-274 Newton's law of cooling, 7, 101, 242
in a triangular region, 405 Newton's second law of motion, 135
in two and three dimensions, Nodal lines, 159-161, 211
403-407 Nonhomogeneous boundary conditions,
Laplace's method, 354-381, 358-359, 121-132, 157-159
369 Nonlocalization, 249
Laplacian, 100 Nontrivial solution, 85
in cylindrical coordinates, Norm, 23
171-173 Normal distribution function, 300
in spherical coordinates, 236-237 Numerical analysis, 379-426
Legendre equation, 94, 253 of ordinary differential equations,
Legendre functions, 251-266 379-382
associated, 261-263
Legendre polynomials, 253-259
Linearity, 2 Odd extension, 43
Local equilibrium, 5 Odd function, 37-40, 259
Local maximum principle, 442 Ordinary differential equations, 1
Local truncation error, 387 first-order linear, 465-466
Logarithmic potential kernel, 443 Green's functions for, 427-433
numerical analysis of, 379-382
review of, 465-501
Mass density function, 135 second-order linear, 466-468
Mass distribution function, 81 Ordinary point, 471
Mathematica, 41-42, 61-64, 106-108, Orthogonal functions, 21-32
164-165, 202-207, 214-215, complex-valued, 32
259-261,492-501 Orthogonality
Mean square convergence, 30 of associated Legendre functions, 262
Mean square error, 72-73 of Legendre polynomials, 254
fractional, 141 methods, 420-426
INDEX 525
Orthonormal functions, 28-29 Ratio test, 478

Outgoing radiation condition, Rectangular coordinates, 99-170
459-460 Recurrence formula for Bessel
Overshoot, 58-60 functions, 190
Overtones, 140 Recurrence relation, 254, 257-258
Regular singular point, 473
Regularity, 177
Parseval's equality, 29-30 Relaxation time, 113-114, 124, 403,
Parseval's theorem, 71, 290 474
complex form of, 79 Resonance, 150
for Fourier transforms, 278 Retarded potential, 455
Partial differential equations, 1-2 Ritz method, 416
with constant coefficients, 14 Rodrigues' formula, 255
elliptic, 9 Root test, 478
hyperbolic, 9
order of, 2
parabolic, 9 Schwarz inequality, 23, 223, 290
second-order, 9-10 Separated solutions, 10
sources of, in classical physics, 4-5 with boundary conditions, 18-20,
Partial sums, 39,476-477 110-111
Periodic boundary conditions, 94-95 complex, 104
Periodic function, 41 of the heat equation in cylindrical
Periodic solutions, 103 coordinates, 217, 227-228
Phase, 194 of Laplace's equation, 11-13,
asymptotic, 195 173-174
Phase function, 362 real and complex, 13-17
Phase velocity, 374 in spherical coordinates, 251-253
Piecewise continuous function, 47 Separation constant, 10
Piecewise derivative, 47 Separation of variables, 10-20, 446
Piecewise smooth function, 47 Signum function, 340
Plucked string, 138-140 Single-layer potential, 437
Poisson integral formula, 179-180 Singular Sturm-Liouville problems,
Poisson's equation, 1, 165-168, 272, 94-95
440-441 Small vibrations, 137
three-dimensional, 433-443 Solid mean value property, 442
variational formulation of, Spherical Bessel functions, 263-266
409-410 Spherical coordinates, 235-276
Poisson's formula, 332-333 Spherical harmonics, 252
Positivity of eigenvalues, 89 Spherically symmetric solutions,
Potential theory, 272-274 235-250
Predictor-corrector method, 384 Stability condition, 394, 398
Projection, 25 Standing waves, 160
Propagated error, 388 Stationary solution, 19
Steady state, 474
Steady-state flux, 175
Quasi-separated solutions, 16, 104 Step size, 380
Stirling's formula, 348, 358
526 INDEX
Sturm-Liouville eigenvalue problems, Uncertainty principle, 283, 289-291

84-96 Uniform convergence, 64-65
singular, 94 Uniqueness, 114-116, 177-178,225,
Subtraction principle, 3 338
Superposition principle, 3
Symmetric replacement error, 392
fourth-order, 393 Variational methods, 409-413
second-order, 392 Variational principles, 412
Vector field, 489
Vector integral calculus, 489-492
Taylor's theorem with remainder, Vibrating drumhead, 209-215
479-480 Vibrating membrane, 159-161
Taylor series expansion, 478 Vibrating string, 134-150
Telegraph equation, 335-343
application of Green's function to,
461-462 Wave equation, 1, 138, 159-161, 372,
asymptotic analysis of, 371-376 402
critically damped, 376 application of the Fourier transform,
Temporally nonhomogeneous problems, 318-334
130-132 general solution, 321-323
Tension, 135, 136 Green's function for, 454-462
Thermal diffusivity, 100 three-dimensional, 247-248,
Transcendental equation, 116 323-327
Transient solution, 113 Weak solution, 148
Trial solutions, 415 Wedge domain, 178-179
Trigonometric series, 35 Weierstrass M-test, 481
2-pi-periodic extension, 49 Weight function, 30, 93
Two-point boundary condition, 84-85 Weighted orthogonality, 93
Titles in This Series
Volume
15 Mark A. Pinsky
Partial Differential Equations and Boundary-Value Problems with Applications,
Third Edition
14 Michael E. Taylor
Introduction to Differential Equations
13 Randall Pruim
Foundations and Applications of Statistics: An Introduction Using R
12 John P. D'Angelo
An Introduction to Complex Analysis and Geometry
11 Mark R. Sepanski
Algebra
10 Sue E. Goodman
Beginning Topology
9 Ronald Solomon
Abstract Algebra
8 I. Martin Isaacs
Geometry for College Students
7 Victor Goodman and Joseph Stampfli
The Mathematics of Finance: Modeling and Hedging
6 Michael A. Bean
Probability: The Science of Uncertainty with Applications to Investments,
Insurance, and Engineering
5 Patrick M. Fitzpatrick
Advanced Calculus, Second Edition
4 Gerald B. Folland
Fourier Analysis and Its Applications
3 Bettina Richmond and Thomas Richmond
A Discrete Transition to Advanced Mathematics
2 David Kincaid and Ward Cheney
Numerical Analysis: Mathematics of Scientific Computing, Third Edition
1 Edward D. Gaughan
Introduction to Analysis, Fifth Edition

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(liD Amerkan Math ematical Society

2010 Mathematics Subject Classification. Primary 35-01.

Cover photograph copyright Andrew Davidhazy, 2011.

For additional information and updates on this book, visit

Library of Congress Cataloging-in-Publication Data

Logical Dependence or Cbapters

1.5. Complex Form of Fourier Series 78

Chapter 2. BOUNDARY-VALUE PROBLEMS IN

Chapter 3. BOUNDARY-VALUE PROBLEMS IN

Chapter 4. BOUNDARY-VALUE PROBLEMS IN

4.2.4. Implementation with Mathematica 259

Chapter 5. FOURIER TRANSFORMS AND APPLICATIONS 277

Chapter 6. ASYMPTOTIC ANALYSIS 345

6.4. The Method of Stationary Phase 362

Chapter 7. NUMERlCAL ANALYSIS 379

Chapter 8. GREEN'S FUNCTIONS 427

B.3. Two-Dimensional Problems 443

This chapter serves as an overview, with some motivation of the origins of

0.1. Partial Differential Equations

0.1.1. What is a partial differential equation? From the purely math-

0.1.2. Superposition principle and subtraction principle. In the study

where U is a particular solution of the equation ,U = 9 and v is the general

0.1.4. The one-dimensional heat equation. Consider a one-dimensional

The time rate of change of temperature at the point Xi is proportional to the

,(XI; 0) = 0 ~ (XI; 0) =+ 5k ~ (XI; 0) =-15k

To translate this into a mathematical statement, we must introduce a constant

'::: (Xi; t) = k Glu(Xi+ 1 ; t) + U(X,_l; t)]- U(X,; t)) , i = 2, ... ,N-1

Figure 0.1.1 presents three different configurations of heat flow dynamics,

substitute into (0.1.2) to obtain

(0.1.3) ~~ (x,; t) = k(~X)2 (uxx(x:; t) + uxx(X:/; t))

at x = L gives A = h(Te-AL-B), A = -h(T1 -Te )/(1+hL) and the steady-state

condition that U = l/>(x, y) on the boundary of D. For example, the physical

Classify each of the following second-order equations as elliptic, parabolic, or

0.2. Separation of Variables

0.2.2. Separated solutions of Laplace's equation. It is especially simple

1 For a review of ordinary differential equations, consult Appendix A.I.

Case 3. If A < 0, we write A = _12, where I > 0; the general solutions of

Proof. The operation of partial differentiation is linear; thus

We illustrate this technique with the example of Laplace's equation. Letting

Multiplying these, we obtain the complex separated solutions

! (e OX ) = d~ [e llX (cos bx + i sin bx)]

In the case of Laplace's equation, the quadratic equation (0.2.5) is 0 2 +(32 = O.

By taking linear combinations, we may write the general real-valued separated

Solution. Substituting u(x, t) = eQXeIWt in the PDE Ut - UXX = 0 yields the

If some of the coefficients a, b, c, d, e, f are not constant, we will no longer have

The following example gives a concrete illustration.

In Exercises 3-7, find the separated solutions of the indicated equations.

0.2.4. Separated solutions with boundary conditions. In many prob-

of Laplace's equation satisfying the boundary conditions:

Solution. Taking u(x; t) = eax+bt and substituting in the wave equation,

a= Vi(1 + i), a= -Vi(1 +i)

1. Find the separated solutions u(x, y) of Laplace's equation U xx + U yy = 0

2. Find the separated solutions u(x, y) of Laplace's equation U:z::z: + uyy = 0

0.3. Orthogonal Functions

0.3.1. Inner product space of functions. The notions of dot product,

(0.3.1) I(<p, 7f;) = f: cp(x)7f;(x) dx I

+ 7fJ2) = (<pI, 'l/Jl) + (<PlJ'l/J2)

The proofs of these properties are left as exercises.

This definition requires some comment. It is formulated as a generalization

Solution. The inner product on the interval 0 ~ x ~ 1r is computed as the

/." sin x cosxdx = ~(Sinx)21; =0

Solution. The inner product on the interval 0 ~ x ~ 1f' is computed as the

f." sin mx sin nx dx