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AE

5332 Professor Dora E. Musielak



Lecture 2

Introduction
A Boundary-Valued Problem (BVP) involving a second order ordinary
differential equation (ODE)
! !! + ! ! + ! = ()


Subject to boundary conditions is one such that
!
then

+ !
+ ! ()
!


subject to the specified boundary conditions.
In general, we can solve some equations of BVP using eigenvalue expansions.
For example there are solutions that lead to trigonometric eigenfunctions.
Such functions can be used to represent functions as Fourier series
expansions. We wish to generalize some of these techniques in order to solve
other BVPs. The Sturm-Liouville Problems (SLP) that we study here are a
class of eigenvalue problems.
Sturm-Liouville equations arise in applied mathematics and engineering. For
example, they describe the vibrational modes of various systems, such as the
vibratios of a string, or the energy eigenfunctions of a quantum mechanical
oscillator, in which the eigenvalues correspond to the resonant frequencies of
vibration or energy levels.
Sturm-Liouville problems arise directly as eigenvalue problem in one-space
dimensions. They also commonly arise from linear PDEs. In several space
dimensions when the equations are separable in some coordinate system
(Cartesian, cylindrical, or spherical coordinates).
What are eigenvalues?
Eigenvalues ! Special set of scalar values associated with a linear system of
equations (i.e., a matrix equation) that are sometimes also known as
characteristic roots, characteristic values, or proper values.

Sturm-Liouville Problems
Definition: A BVP is called a Sturm-Liouville problem if it consists of
1) a second-order homogeneous linear differential equation

or

()
+ + () = 0

! + + = 0

where , (), and () are real functions such that p has a continuous
derivative, q and w are continuous, and () > 0, > 0, for all on a real
interval , and is a parameter of x; and
2) two supplementary conditions
+ ! = 0
+ ! = 0
where , , , are real constants such that and are not both zero, and
and are not both zero.
*****
Two important special cases are those in which the supplementary conditions
are of the form
or

= 0 = 0
= 0 = 0

Example 1. The BVP


!
+ = 0
!
0 = 0, = 0
is a S-L problem, since

1
+ 0+1 =0

and hence is of the form of the S-L problem in the definition, where = 1,
= 0, and = 1.
The B.C.s are of the form in the definition where = 1, = 0, = 1, = 0.
"
Is the BVP defined by


+ 2 ! + ! = 0

3 1 + 4 ! 1 = 0
5 2 3 ! 2 = 0
a Sturm-Liouville problem?
"
Determine if the following BVP a Sturm-Liouville problem.
!
+ = 0
!
0 = 0, = 0
"
Note that the value of is not specified in the previous equations. Thus, our
job is to find values for for which there exists nontrivial solutions of the
given differential equation satisfying the boundary conditions.
Finding values of is part of the S-L problem. Such values of (when they
exist) are called the eigenvalues of the BVP defined by the S-L problem
(differential equation plus B.C.s). The corresponding solutions for such are
the eigenfunctions of the problem.

Sturm-Liouville Problems
Example 2. Find the eigenvalues and eigenfunctions of the S-L problem
!! ! + = 0
0 = 0, = 0
Solution:
To solve the given differential equation, evaluate its auxiliary equation
! + = 0
It has roots
=

1 1 4
2

Note that the type of solutions will depend on whether (1 4) is positive,


negative, or zero.
CASE 1:

1 4 = 0
! !

In this case, the roots of the auxiliary equation are identical, = ! , !, and for
repeated roots the general solution of the given differential equation is
!

= ! !! + ! !!
Apply the B.C. 0 = 0,
0 = ! = 0
Apply the B.C. = 0,
!

= ! !! = 0
! = 0
Thus, the solution is the trivial solution, = 0.

CASE 2:

1 4 > 0

In this case, we have two real roots


! =

1 + 1 4
1 1 4
; ! =
2
2

and the general solution of the given differential equation is


= !

1 + 1 4
1 1 4
+ !

2
2

Apply the first B.C.


0 = ! + ! = 0
so
! = !
Apply the second B.C.
= !

1 + 1 4
1 1 4
!
=0
2
2

This implies ! = 0, and thus ! = 0.


Again, we obtain the trivial solution.
CASE 3:

1 4 < 0

In this case, we have complex roots


=

1
4 1

2
2

and the general solution to the given differential equation is


!

= ! !! sin

!
4 1
+ ! !! cos
2

4 1

Apply the first B.C.

0 = ! = 0
Apply the second B.C.
!

() = ! !! sin

4 1
=0
2

We know that for ! 0, this implies


4 1
=0
2

sin

And we also know that the zeros of sine occur at integral multiples of .
Therefore, we must have

4 1
=
2

for = 1, 2, 3,

The n-values of that satisfy this equation are the eigenvalues


! =

(2)! + !
4!

and the eigenfunctions corresponding to the eigenvalues are


!

! = ! !! sin

In summary, for the case 1 4 < 0, we obtain


Eigenvalues
(2)! + !
! =
, = 1, 2, 3,
4!
Eigenfunctions
!

! = ! !! sin

, = 1, 2, 3,

where ! are arbitrary non-zero constants.

The functions defined by


!
! !!

2
sin , ! !! sin
,

with non-zero constants are nontrivial solutions of the given S-L problem.
"
Example 3. Find the eigenvalues and eigenfunctions of the Sturm-Liouville
problem
!! + = 0
0 = 0, = 0
Solution:
CASE 1: = 0
In this case, the given differential equation reduces to
!
=0
!
It has a general solution
= ! + !
Apply the B.C.s we can demonstrate that the only solution is the trivial
solution.
CASE 2: < 0
In this case, the roots of the characteristic or auxiliary equation are
And the general solution of the given differential equation is
= !

!!!

+ ! !

!!!

and after applying the B.C.s we find only trivial solutions.

CASE 3: > 0
In this case, the roots are conjugate complex numbers, , and the general
solution of the given differential equation is
= ! sin + ! cos
Apply the B.C.s,
0 = ! sin 0 + ! cos 0 = 0
! = 0
= ! sin = 0
If ! = 0, then wed get a trivial solution. Thus,
sin = 0
in order to obtain nontrivial solutions. So, we must have eigenvalues
= , = 1, 2, 3, .
or
= ! , for = 1, 2, 3,
The parameter in the S-L problem must be a member of the infinite
sequence
1, 4, 9, 16, . , !
The nontrivial solutions corresponding to the eigenvalues = ! are given by
the eigenfunctions
! = ! sin
where ! are arbitrary nonzero constants.
The functions defined by ! sin , ! sin 2 , are nontrivial solutions or
eigenfunctions of the given problem.
"

Eigenvalues are the characteristic values of S-L problems.


Eigenfunctions are the characteristic nontrivial solutions of S-L problems.
The values of the parameter in the S-L problem for which there exists
nontrivial solutions are the eigenvalues that we must determine to solve the
BVP. The corresponding nontrivial solutions are the eigenfunctions of the
problem.
The infinite set of eigenvalues can be arranged in a monotonic increasing
sequence
! < ! < ! <
Note that ! + as +
Is it possible to obtain

= 0 ?
Example 4. Find the eigenvalues and eigenfunctions of the BVP

+ = 0

! 0 = 0, ! !! = 0
where is a nonnegative number.
Solution: This is a S-L problem.
CASE 1:

=0

=0

=
= =

And the general solution of the given differential equation is


= ln + !
where , ! are arbitrary constants.

Applying the B.C.s we find that both require = 0. However, neither of the
conditions imposes restrictions on ! .
Thus, for = 0 we obtain solutions
= !
These are nontrivial solutions or eigenfunctions for all choices of ! 0.
So, the answer to the question posed is yes, = 0 is an eigenvalue of the
given S-L problem and = ! is an eigenfunction.
CASE 2:

> 0

In this case, with 0 the given equation

+ = 0

is equivalent to the Euler-Cauchy equation


!

+
+ = 0
!

How do we solve the above Euler-Cauchy equation?


Let

= !
and the differential equation becomes
!
+ = 0
!
And since > 0, its general solution is
= ! sin + ! cos
Therefore, for > 0 and > 0, the general solution of the given differential
equation may be written as
= ! sin ln + ! cos ln
since = ln .

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Apply the B.C. ! 1 = 0

!
=
cos

ln

! 1 = ! cos

!
sin

ln 1 ! sin

ln
ln 1 = 0

! = 0, ! = 0
Apply the B.C. ( !! ) = 0
! !! = ! sin

ln !! = 0

and since ln !! = 2,
! sin 2 = 0
To obtain nontrivial solutions we must have
sin 2 = 0
Thus
2 = , = 1, 2, 3, .
The eigenvalues of the given S-L problem are
! =

!
, = 1, 2, 3,
4

And the corresponding nontrivial solutions or eigenfunctions are


! = ! cos

ln
, = 1, 2, 3,
2

where ! are arbitrary nonzero constants.


The eigenvalues
1 9 25
!
= 0, , 1, , 4, , ,
4 4
4
4

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for 0 are the eigenvalues of the S-L problem with corresponding


eigenfunctions
! , ! cos

ln
2 ln
, ! cos
,
2
2

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