Chapter6 Cai 2016

Chapter 6
Boundary Value Problems for

Linear Homogeneous 2nd MATH2121
Order ODEs Theory and Applications of
Differential Equations
Dr. Anna Cai
School of Mathematics and Statistics,

Red Centre, RC-2083
a.cai@unsw.edu.au
S2, 2016
1/23
Boundary value problems for 2nd order ODEs Boundary values
Boundary values
Definition
In an initial value problem (IVP), the solution of a (system of)
differential equation(s) and its derivatives (up to a suitable order) are
specified at a single (initial) point.
Example
Newtons second law
mx = F (x,
x, t), x(t0 ) = x 0 , 0) = v 0
x(t
Definition
In a boundary value problem (BVP), conditions on the solution of a
(system of) differential equation(s) and suitable derivatives are
imposed at at least two points.
2/23
Examples
1 Vibrating string
For which values of the constant does the wave equation
2u 2
2 u
= c
t 2 x 2
subject to the boundary conditions
u(0, t) = 0, u(L, t) = 0
admit solutions of the form
u(x, t) = X (x) sin t?
3/23
2 How to design an accurate grandfather clock

What is the largest value of the constant L = g/ 2 such that the
boundary value problem
+ 2 = 0, (0)
= 0, (1)
=0
has a nontrivial solution?
Remark
Boundary value problems may have
no solution.
infinitely many solutions.
exactly one solution.
4/23
Definition
A linear 2nd order boundary value problem consists of a linear 2nd
order ODE
y 00 + p(x)y 0 + q(x)y = f (x)
and a pair of boundary conditions which can be any of
(i) y (a) = y0 y (b) = y1

0
(ii) y (a) = y00 y (b) = y1
(iii) y (a) = y0 y 0 (b) = y10
(iv) y 0 (a) = y00 y 0 (b) = y10
or even a linear combination of any two of these conditions.
Examples
(i) Vibrating string and (iv) grandfather clock
5/23
Definition
A 2nd order eigenvalue problem is a boundary value problem for a
parameter-dependent differential equation of the form
y 00 + a1 (x)y 0 + [a2 (x) + a3 (x)]y = 0,
where the function a3 (x) is not identically zero.
Remark
Regardless of the boundary conditions, we term y = 0 the trivial
solution of the above differential equation.
6/23
Definition
Given an eigenvalue problem, a value of for which there exists a
non-trivial solution is termed an eigenvalue. A corresponding
non-trivial solution y is called an eigenfunction.
Example
Show that the complete set of eigenvalues of the eigenvalue problem
y 00 + y = 0, y (0) = 0, y (L) = 0
is given by n 2
n = , n = 1, 2, 3, . . .
L
with associated eigenfunctions
n
yn = An sin x .
L
7/23
The emission spectrum of the hydrogen atom
Remark
Eigenvalues are real. In quantum mechanics, these are the quantities
that may be observed!
R
En = 2~
n2
"Bohr-atom-PAR" by Original uplo:JabberWok
http://commons.wikimedia.org/wiki/File:Bohr-atom-PAR.svg#mediaviewer/File:Bohr-atom-PAR.svg
8/23
Boundary value problems for 2nd order ODEs Sturm-Liouville problems
Sturm-Liouville problems
Definition
An eigenvalue problem on [a, b] of the form

d dy
p(x) + [q(x) + r (x)]y = 0,
dx dx
1 y (a) + 2 y 0 (a)= 0,
1 y (b) + 2 y 0 (b)= 0,
where
p(x)r (x) > 0, a<x <b
and at least one i and one i are different from zero, is termed a
Sturm-Liouville problem.
9/23
Important convention
From now on, we assume that the functions p, p0 , q and r are
continuous on [a, b].
Example
The Sturm-Liouville form of the eigenvalue problem
y 00 + y = 0, y (0) = 0, y (1) = 0
is given by
d dy
1 + [0 + 1]y = 0,
dx dx
that is,
p(x) = 1, q(x) = 0, r (x) = 1.
10/23
Theorem
Any 2nd order linear homogeneous ODE
y 00 + a1 (x)y 0 + [a2 (x) + a3 (x)]y = 0
may be brought into Sturm-Liouville form

d dy
p(x) + [q(x) + r (x)]y = 0
dx dx
by multiplying it by the integrating factor

Z
(x) = exp a1 (x)dx,
where
p(x) = (x), q(x) = a2 (x)(x), r (x) = a3 (x)(x).

11/23
Proof.
Multiplication by yields
d 2y dy
2
+ a1 + [a2 + a3 ]y = 0.
dx dx
Now,
d 2y d 2y

d dy d dy dy
= 2 + = 2 + a1 ,
dx dx dx dx dx dx dx
which completes the proof.
Remark
The above reasoning is similar to that employed in connection with
linear ODEs of first order.
12/23
Properties of Sturm-Liouville problems
Theorem
A regular Sturm-Liouville problem, that is, a S-L problem with p(a) 6= 0,
p(b) 6= 0, has infinitely many eigenvalues
n , n = 0, 1, 2, . . .
and if these are labelled according to
0 < 1 < 2 < 3 <
then
n as n .
The eigenfunction y = n (x) corresponding to n has exactly n zeros

in the interval (a, b).
13/23
Example
Determine the zeros of the eigenfunctions n of the Sturm-Liouville
problem
y 00 + y = 0, y (0) = 0, y (1) = 0.
14/23
Theorem
Eigenfunctions of a Sturm-Liouville problem corresponding to different
eigenvalues are orthogonal with respect to the weighted inner product
Z b
(f , g) = r (x)f (x)g(x)dx.
a
Accordingly, the coefficient r (x) in the Sturm-Liouville problem

constitutes a weight function.
Example
Show that the eigenfunctions n of the Sturm-Liouville problem
y 00 + y = 0, y (0) = 0, y (1) = 0
are orthogonal with respect to the weight r (x) = 1.

15/23
Example
Find the eigenvalues and eigenfunctions of the eigenvalue problem
x 2 y 00 + xy 0 + y = 0, y (1) = 0, y 0 (e) = 0, > 0.
State the orthogonality property of the eigenfunctions.
16/23
Generalised Fourier series
Theorem
If f is a piecewise smooth function on [a, b] which satisfies the
Sturm-Liouville boundary conditions then it may be expanded in terms
of the orthogonal eigenfunctions of the S-L problem according to

X
f (x) = cn n (x), a < x < b,
n=0
where Z b
1
cn = r (x)f (x)n (x)dx
kn k2 a
except at points of discontinuity, where

X 1
cn n (x) = [f (x + ) + f (x )].
2
n=0
17/23
Definition
A smooth function is a function which may be differentiated an infinite
number of times.
Example
Determine the generalised Fourier series associated with the
Sturm-Liouville problem
y 00 + y = 0, y (0) = 0, y (1) = 0.
18/23
Boundary value problems for 2nd order ODEs Fourier-Bessel series
Fourier-Bessel series
The parametrised Bessel equation
x 2 y 00 + xy 0 + (k 2 x 2 2 )y = 0
admits the Sturm-Liouville form
2

d dy
x + x y = 0,
dx dx x
where the eigenvalue is given by = k 2 . The constant is regarded

as a parameter.
General solution for 6 N:
y (x) = AJ (kx) + BJ (kx)
19/23
Boundary conditions on (0, 1]:

1 y finite as x 0+ B=0
2 y (1) = 0 J (k ) = 0 ()
Fact
Even though the above Sturm-Liouville problem is not regular, the
essence of the Sturm-Liouville theory is still valid! For instance, there
exist and infinite number of positive roots of (), that is,
J (kn ) = 0, n = 1, 2, 3, . . . .
Eigenvalues n = kn2 , n = 1, 2, 3, . . .
Eigenfunctions n (x) = J (kn x)
20/23
The zeros of J1/3
21/23
Orthogonality
Z 1
xJ (kn x)J (km x)dx = 0, n 6= m
0
Fourier-Bessel series
If f (x) is piecewise smooth on [0, 1] then

X
f (x) = cn J (kn x),
n=1
where Z 1
xf (x)J (kn x)dx
cn = Z0 1
,
2
x[J (kn x)] dx
0
except at discontinuities and at x = 0, 1.
22/23
Example
Determine the Fourier-Bessel series corresponding to the
parametrised Bessel equation

2 00 0 2 2 1
x y + xy + k x y =0
4
for
1
(
0, 0x 2
f (x) = 1
x, 2 < x 1.
23/23

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Chapter 6

Boundary Value Problems for

Dr. Anna Cai

School of Mathematics and Statistics,

admit solutions of the form

u(x, t) = X (x) sin t?

2 How to design an accurate grandfather clock

has a nontrivial solution?

(i) y (a) = y0 y (b) = y1

or even a linear combination of any two of these conditions.

y 00 + a1 (x)y 0 + [a2 (x) + a3 (x)]y = 0,

where the function a3 (x) is not identically zero.

The emission spectrum of the hydrogen atom

y 00 + a1 (x)y 0 + [a2 (x) + a3 (x)]y = 0

may be brought into Sturm-Liouville form

by multiplying it by the integrating factor

p(x) = (x), q(x) = a2 (x)(x), r (x) = a3 (x)(x).

Properties of Sturm-Liouville problems

and if these are labelled according to

0 < 1 < 2 < 3 <

The eigenfunction y = n (x) corresponding to n has exactly n zeros

Accordingly, the coefficient r (x) in the Sturm-Liouville problem

are orthogonal with respect to the weight r (x) = 1.

x 2 y 00 + xy 0 + y = 0, y (1) = 0, y 0 (e) = 0, > 0.

State the orthogonality property of the eigenfunctions.

Generalised Fourier series

except at points of discontinuity, where

The parametrised Bessel equation

where the eigenvalue is given by = k 2 . The constant is regarded

General solution for 6 N:

y (x) = AJ (kx) + BJ (kx)

Boundary conditions on (0, 1]:

The zeros of J1/3

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