Mathematical Tripos Part II Further Complex Methods

Michaelmas term 2007 Dr S.T.C. Siklos

Laplace Transforms: the inversion theorem

Let f (t) = 0 for t < 0 and assume that the Laplace transform of f (t) exists which means that f (t) is integrable over the range [0, R], for any R, and f (t)ekt 0 as t for some k. Then the inverse transform of f (p) is f (t) = 1 2i
a+i

ept f (p)dp
ai

where the path of integration runs to the right of all singularities of the integrand. This integral is called the Bromwich integral. Proof of inversion theorem Note rst that for t < 0 we can close the contour with a large semi-circle in the right half plane. Since by denition of the Bromwich integral the integrand has no singularities to the right of the path of integration, we have f (t) = 0 for t < 0, as required. Of course, this is assuming that f (p) does not tend to innity exponentially in the right half plane; this can be shown to be the case (and is fairly clear: just consider the behaviour of the integrand of the Laplace transform as p ). If the integrand is roughly ept0 for large p in the right half plane, then for t < t0 we can close in the right half plane and obtain the stronger result that f (t) = 0 for t < t0 . Now we show that the value of the Bromwich integral is f (t). Starting with the right hand side, we have
a+i a+i

ept f (p)dp =
ai ai

ept

ep f ( )d

dp

(recall that f (t) = 0 for t < 0)

= ieat

eiy(t )a f ( )d dy

(setting p = a + iy)

= ieat

ea f ( )

eiy(t ) dy d

(swapping the order of integration)

= 2ieat

ea f ( )(t )d

= 2if (t) .

To justify the use of the function, note that for any continuous L1 function g, we have:
R

eiyu g(u)du dy =

R R

lim

eiyu g(u)du dy
R

lim

g(u)
R

eiyu dy du 2 sin uR u 2 sin uR u

lim

g(u)

du 1 R

= (by the Riemann-Lebesgue lemma)

lim

g(u)

du + O

= 2g(0) lim

sin uR u

du + O

1 R

(expanding g(u) by Taylor series (with remainder) and using the Riemann-Lebesgue lemma)
R

= 2g(0) lim (setting v = Ru)

R R

sin v v

dv + O

1 R

= 2g(0)

sin v v

dv = 2g(0) .