Lecture Notes For MATH2230: Neil Ramsamooj

Lecture Notes for MATH2230
Neil Ramsamooj
Table of contents
1 Vector Calculus ................................................ 5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 5 .. 9 . 14 . 14 . 17 . 23 . 23 . 25 . 30 . 37 . 39 . 39 . 42 . 48 . 56 . 56 . 58 67 67 67 69 73 78 78 78 82 87 89 89 1.1 Parametric curves and arc length . . . . . . . . . . . . . 1.2 Review of partial dierentiation . . . . . . . . . . . . . . 1.3 Vector Fields . . . . . . . . . . . . . . . . . . . . . . . . . . 1.3.1 Divergence and curl of a vector eld . . . . . . . . 1.3.2 Gradient of a function . . . . . . . . . . . . . . . . . 1.4 Line integrals and double integrals . . . . . . . . . . . . 1.4.1 Line integrals . . . . . . . . . . . . . . . . . . . . . . 1.4.2 Path independence and conservative vector elds 1.4.3 Double integrals . . . . . . . . . . . . . . . . . . . . 1.5 Greens theorem . . . . . . . . . . . . . . . . . . . . . . . . 1.6 Surface integrals . . . . . . . . . . . . . . . . . . . . . . . . 1.6.1 Parametric surfaces . . . . . . . . . . . . . . . . . . 1.6.2 Surface integrals . . . . . . . . . . . . . . . . . . . . 1.6.3 Surface integrals over vector elds . . . . . . . . . 1.7 Triple integrals and Divergence theorem . . . . . . . . . 1.7.1 Triple integrals . . . . . . . . . . . . . . . . . . . . . 1.7.2 Divergence theorem . . . . . . . . . . . . . . . . . .
2 Laplace transforms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.1 Denition and existence of Laplace transforms . . . . . . . . . 2.1.1 Improper integrals . . . . . . . . . . . . . . . . . . . . . . . 2.1.2 Denition and examples of Laplace tranform . . . . . . 2.1.3 Existence of Laplace transform . . . . . . . . . . . . . . . 2.2 Properties of Laplace transforms . . . . . . . . . . . . . . . . . 2.2.1 Linearity property . . . . . . . . . . . . . . . . . . . . . . . 2.2.2 The inverse Laplace transform . . . . . . . . . . . . . . . 2.2.3 Shifting the s variable; shifting the t variable . . . . . . 2.2.4 Laplace transform of derivatives . . . . . . . . . . . . . . 2.3 Applications and more properties of Laplace transforms . . 2.3.1 Solving dierential equations using Laplace transforms 2.3.2 Solving simultaneous linear dierential equations using the Laplace transform . . . . . . . . . . . . . . . . . . . . . . . . . 2.3.3 Convolution and Integral equations . . . . . . . . . . . . 2.3.4 Diracs delta function . . . . . . . . . . . . . . . . . . . . . 2.3.5 Dierentiation of transforms . . . . . . . . . . . . . . . . . 2.3.6 The Gamma function (x) . . . . . . . . . . . . . . . . . . 3 Fourier series 3.1 3.2 3.3 3.4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . 93 . . 95 . . 97 . 105 . 106 111 111 114 121 126 131 131 135 135
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Denitions . . . . . . . . . . . . . . . Convergence of Fourier Series . . . Even and odd functions . . . . . . . Half range expansions . . . . . . . .
4 Partial Dierential Equations
....................................
4.1 Denitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.2 The Heat Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.2.1 A derivation of the heat equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Table of contents
4.2.2 Solution of the heat equation by seperation of variables . . . . . 4.2.3 The heat equation with insulated ends as boundary conditions 4.2.4 The heat equation with nonhomogeneous boundary conditions 4.3 The Wave Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.3.1 A derivation of the wave equation . . . . . . . . . . . . . . . . . . 4.3.2 Solution of the wave equation by seperation of variables . . . . 4.4 Laplaces equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.4.1 Solving Laplaces equation by seperation of variables . . . . . . 4.5 Laplaces equation in polar coordinates . . . . . . . . . . . . . . . . . .
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138 143 148 154 154 157 163 166 171
Chapter 1 Vector Calculus

1.1 Parametric curves and arc length
Recall that a function y = f (x) describes a curve in the Cartesian plane which consists of points (x, f (x)) where x is the independent variable. Another method of dening a curve in the Cartesian plane is by the use of a parameter t. Denition 1.1. A parametric curve C in the Cartesian plane is obtained by specifying x and y to be functions of a parameter t x = f (t) y = g(t) where a t b. Notice that any specic value of the parameter t = t0 describes a particular point (x(t0), y(t0)) of C; the curve C consists of the set of such points C = {(x(t), y(t))|a Example 1.2. Sketch the parametric curve C x = cos t y = sin t t b}.
where 0
. 4
Answer: From the trigonometric identity cos2t + sin2t = 1 we have x2 + y 2 = 1, and therefore the curve C consists of points (x, y) that lie on a circle of radius 1. The values of the parameter t = 0, t = 4 at the ends of the interval 0 t 4 correspond respectively to the points (1, 1 1 0) and ( , ).
2 2
Therefore the curve C consists of the points on the circle of radius 1 that lie between (1, 0) and ( , 2 1 ):
2
Vector Calculus
Notation 1.3. A parametric curve x = f (t) y = g(t) where a t b can also be written in vector notation r(t) = f (t)i + g(t)j where i and j are the standard unit vectors. where a t b
Denition 1.4. A parametric curve r(t) = f (t)i + g(t)j where a t b
is said to be smooth if the component functions f (t) and g(t) have continuous derivatives f (t), g (t) respectively on the interval a < t < b.
The denition of a parametric curve in three dimensional space is analogous to the denition in the Cartestian plane.
Denition 1.5. A parametric curve C in the three dimensional space is obtained by specifying x, y and z to be continuous functions of a parameter t x = f (t) y = g(t) z = h(t) where a t b. Such a parametric curve C can also be written in vector notation r(t) = f (t)i + g(t)j + h(t)k where a t b
where i, j and k are the standard unit vectors. Furthermore, C is said to be smooth if the component functions f (t), g(t) and h(t) have continuous derivatives f (t), g (t) and h (t) respectively on the interval a < t < b.
Example 1.6. Sketch the parametric curve r(t) = ti + tj + (1 t)k where 0 t 1.
Answer: Notice that each of the functions x, y and z are linear functions of t x=t y=t z=1t so the curve C will be a segment of a straight line. The values of the parameter t = 0, t = 1 at the ends of the interval 0 t 1 correspond respectively to the points (0, 0, 1) and (1, 1, 0). Therefore the curve C consists of the line that connects the points (0, 0, 1) and (1, 1, 0):
1.1 Parametric curves and arc length
The following results express the arc length of a parametric curve as an integral. Theorem 1.7. i. The arc length s of a smooth parametric curve C r(t) = x(t)i + y(t)j in the Cartesian plane is given by
b
where
s=
a
dx dt
dy dt
dt.
ii. The arc length s of a smooth parametric curve C r(t) = x(t)i + y(t)j + z(t)k in three dimensional space is given by
b
where
s=
a
dx dt
dy dt
dz dt
dt.
Example 1.8. Find the arc length of the parametric curve r(t) = cos ti + sin tj of Example 1.2. Answer:
b
where
s=
a
dx dt
+
2
dy dt
dt
2
=
0
4 4 4
4
( sin t) + (cos t) dt sin2 t + cos2 t dt 1 dt
=
0
=
0
= [t]0 = . 4
Vector Calculus
Notice from the diagram in Example 1.2, this answer agrees with the formula for the arc length of a circle s = r = (1) 4 = . 4
1.2 Review of partial differentiation
1.2 Review of partial dierentiation

Recall for a function of one variable f (x), the derivative at x = a is given by f (a) = lim f (a + h) f (a) h h0 (1.1)
and f (a) has the geometric interpretation as the slope of the tangent line to f (x) at x = a as may be seen in the following diagram. Example 1.9. If f (x) = x2 then f (x) = 2x. At the value x = 1, we have f (1) = 2 and so the slope of the tangent to the point (1, 1) is equal to 2 as illustrated in the following diagram
The limit denition (1.1) is not usually used to compute derivatives, in practice derivatives are computed by a set of rules power rule, product rule, quotient rule etc. Similarly, partial derivatives are dened using limits, but actually computed by using rules. The following are the denitions of partial derivatives of a function f (x, y) of two variables Denition 1.10. i. If f (x, y) is a function of two variables then the partial derivative of f with respect to x at the point (a, b) is denoted as fx(a, b) or x (a, b) and is dened as fx(a, b) = lim
h0
f (a + h, b) f (a, b) h
f
ii. If f (x, y) is a function of two variables then the partial derivative of f with respect to y at the point (a, b) is denoted as f y (a, b) or y (a, b) and is dened as f y(a, b) = lim f (a, b + h) f (a, b) h h0
Partial derivatives of a function of two variables are usually computed by the following Rule for nding partial derivatives of f (x, y) i. To nd fx, treat y as a constant and dierentiate with respect to x. ii. To nd f y , treat x as a constant and dierentiate with respect to y. Example 1.11. Let f (x, y) = x2 y 3. Find x and y . Answer: To nd x , treat y as a constant in f (x, y) = x2 y3 . One can imagine that y is equal to some xed constant, say y = 11. Therefore f (x, y) = x2113 and now dierentiate x2113 as usual with respect to x to get (x2113) = 2x113. Now replace the 11 by y to get the answer f = 2xy3. x
f f f
10
Vector Calculus
Similarly to nd y , treat x as a constant in f (x, y) = x2 y3. As before, imagine that x is equal to a xed constant, say x = 7. Therefore f (x, y) = 72 y 3 and now dierentiate 72 y 3 as usual with respect to y to get (72 y 3) = 72 (3y 2). Now replace the 7 by x to get the answer f = x2(3 y 2) = 3x2 y 2. y
Example 1.12. Let f (x, y) = x2cos(x + y). Find x and y . Answer: To nd x , treat y as a constant in f (x, y) = x2cos(x + y), say y = 13. Then f (x, y) = x2cos(x + 13) and this is a product of two functions, therefore we use the usual product rule to differentiate with respect to x (x2cos(x + 13)) = (x2) cos(x + 13) + x2(cos(x + 13) ) = 2x cos(x + 13) x2sin(x + 13) and replacing the 13 by y we have the answer f = 2x cos(x + y) x2sin(x + y). x To nd y , treat x as a constant. In this case f (x, y) = x2cos(x + y) is a product of a constant x2 and a function cos(x + y) and so it is not necessary to use product rule. We have the answer f = x2 (cos(x + y)) y y = x2( sin(x + y)) = x2sin(x + y).
f f
Recall that one obtains the second derivative dx2 of a function f (x) of one variable by dierentiating the rst derivative, for example f (x) = sin x df = cos x dx 2 d df d f 2= dx dx dx d = (cos x) dx = sin x. Similarly, one obtains the second partial derivatives x2 , y 2 , xy and yx of a function f (x, y) of two variables by taking the partial derivative of a rst partial derivative x or y . To be precise 2f f = x2 x x 2f f = y 2 y y 2f f = yx y x f 2f = . xy x y
f f 2f 2f 2f 2f
d2 f
11
Example 1.13. Find the second partial derivatives of f (x, y) = x2 y + y 3. Answer: The rst partial derivatives are f = 2xy x
2f
f = x2 + 3y 2 y
f
The second partial derivative x2 is obtained by taking the partial derivative of x with respect to x 2f f = x2 x x = (2xy) x = 2y The second partial derivative 2 y is obtained by taking the partial derivative of y with respect to y f 2f = y y y 2 2 x + 3y2 = y = 6y The second partial derivative xy is obtained by taking the partial derivative of y with respect to x 2f f = xy x y 2 = x + 3y 2 x = 2x The second partial derivative yx is obtained by taking the partial derivative of x with respect to y f 2f = yx y x = (2xy) y = 2x
2f f 2f f 2f f
The partial derivatives of a function f (x, y, z) of three variables are dened in a similar manner to f the partial derivatives of a function of two variables for example, to obtain y , one treats the variables x and z as constants and dierentiates with respect to y. Example 1.14. Find the rst and second partial derivatives of f (x, y, z) = x2 yz + xez. Answer: f = 2xyz + ez x 2f = 2yz x2 2f = 2xz yx 2f = 2xy + ez zx f = x2z y 2f =0 y 2 2f = 2xz xy 2f = x2 zy f = x2 y + xez z 2f = xez z 2 2f = 2xy + ez xz 2f = x2 yz
12
Vector Calculus
We saw in Example 1.9 that the derivative f (a) can be interpreted as the slope of the tangent of the function f (x) at the point x = a. In a similar manner, if f (x, y) is a function of two variables f f then the rst partial derivatives x (a, b) and y (a, b) may also be interpreted as slopes of lines passing through the point corresponding to (x, y) = (a, b). Recall that the graph of a function f (x, y) is obtained by plotting points (x, y, f (x, y)) in three dimensional space. In this way, the graph of a function of two variables forms a surface in 3 dimensions. For example, the graph of the function f (x, y) = 1 x forms a surface that is a plane:
We illustrate the geometric interpretation of the partial derivatives x , y by considering the 1 behaviour of the function f (x, y) = 1 x at (x, y) = ( 2 , 0). By taking partial derivatives, we have that f 1 f 1 ,0 =1 , 0 = 0. y 2 x 2 Now notice that f ( 2 , 0) = 1 2 = 2 . Therefore the point 1 1 , 0, f ( , 0) = 2 2
1 1 1 1
1 1 , 0, 2 2
1 , 0, 2
is the function value f ( 2 , 0) and corresponds to the height of the point plane.
1
lies on the graph of f (x, y) = 1 x as we see in the above diagram. The z coordinate of
1
1 1 , 0, 2 2
f ( 2 , 0) above the xy-
We now keep x = 2 xed and change the y-value. Plotting such points f ( 2 , y) gives the line B on the above diagram. Notice from the diagram that line B is parallel to the x y-plane, that is, the 1 value of the function f does not change if we keep x = 2 xed and change the y-value. This corresponds to f 1 ,0 =0 y 2
13
because the partial derivative y ( 2 , 0) measures the rate at which at the function f is increasing as 1 the y-value changes while keeping x = 2 xed. Now keep y = 0 xed and change the x-value. Plotting such points f (x, 0) gives the line A in the above diagram. Notice that the height of the points on line A is decreasing as the x-values increase. This corresponds to f 1 ,0 =1 x 2 because the partial derivative measures the rate at which the function f is increasing as the x-value increases while keeping y = 0 xed.
f 1
14
Vector Calculus
1.3 Vector Fields

Denition 1.15. A vector eld on the Cartesian plane R2 is a function F that assigns a two dimensional vector F (x, y) to each point (x, y). We may write F in terms of its component functions F (x, y) = P (x, y)i + Q(x, y)j. Furthermore, the vector eld F is said to be continuous if and only if each its component functions is continuous. Example 1.16. The following diagram is a plot of the vector eld F (x, y) = yi + xj on the Cartesian plane. Notice that each point (x, y) on the Cartesian plane has a vector associated to it.
Similarly, we may dene vector elds in the three dimensional space R3. Denition 1.17. A vector eld on the three dimensional space R3 is a function F that assigns a three dimensional vector F (x, y, z) to each point (x, y, z). We may write F in terms of its component functions F (x, y, z) = P (x, y, z)i + Q(x, y, z)j + R(x, y, z)k. Furthermore, the vector eld F is said to be continuous if and only if each its component functions is continuous.
1.3.1 Divergence and curl of a vector eld

Denition 1.18. Let F (x, y) = P (x, y)i + Q(x, y)j be a vector eld on the Cartesian plane R2 where the rst partial derivatives of the component functions P and Q exist. Then the divergence of the vector eld F is the function div(F ) = P Q + . x y
1.3 Vector Fields
15
Example 1.19. Find the divergence of the following vector elds on the Cartesian plane R2 i. F (x, y) = 3i ii. G(x, y) = 3x2i Answer: i. div(F ) = P Q + x x = (3) + (0) x x =0
ii. div(G) = P Q + x x = (3x2) + (0) x x = 6x
The divergence of a vector eld has the following interpretation. Consider a innitesimally small box of length x and width y located at the point (x, y)
Then the divergence of a vector eld F at the point (x, y) can be viewed as the net ow of F out of an innitesimally small box located at the point (x, y). Consider the two vector elds F and G of Example 1.19. Notice that the vector eld F (x, y) = 3i is a constant vector eld
so the net ow of F out of the small box located at the point (x, y) is zero, which agrees with the answer div(F ) = 0 obtained in Example 1.19.
16
Vector Calculus
Notice however that the vector eld G(x, y) = 3x2i is nonconstant, and that the length of the vectors increases as x increases. From the diagram below
we see that the vectors at one vertical side of the small box are longer than the vectors at the other vertical side. Hence one can regard the net ow out of the box as positive, which agrees with the answer div(G) = 6x1.1 obtained in Example 1.19. The following is the denition of the divergence of a three dimensional vector eld. Denition 1.20. Let F (x, y, z) = P (x, y, z)i + Q(x, y, z)j + R(x, y, z)k be a vector eld on three dimensional space R3 where the rst partial derivatives of the component functions P , Q and R exist. Then the divergence of the vector eld F is the function div(F ) = P Q R + + . x y z
The divergence of a three dimensional vector eld can be expressed in an alternative form by the use of a dierential operator Denition 1.21. Let denote the vector dierential operator = Then the divergence of the vector eld F (x, y, z) = P (x, y, z)i + Q(x, y, z)j + R(x, y, z)k is given by the dot product of and F div(F ) = .F i + j + k. x y z
It is not hard to check that Denition 1.20 and Denition 1.21 are equivalent: div(F ) = .F = i + j + k (P (x, y, z)i + Q(x, y, z)j + R(x, y, z)k) x y z = (P ) + (Q) + (R) y z x P Q R = + + . x y z
1.1. For a box located at (x, y) where x 0. If the box is located on the opposite side of the y axis, then the vectors reverse direction and our interpretation still holds.
1.3 Vector Fields
17
Note that the divergence of three dimensional vector eld has a similar interpretation to the divergence in two dimensions div(F ) at the point (x, y, z) can be viewed as the net ow of F out of an innitesimally small cube located at the point (x, y, z).
Denition 1.22. Let F (x, y, z) = P (x, y, z)i + Q(x, y, z)j + R(x, y, z)k be a vector eld on three dimensional space R3 where the rst partial derivatives of the component functions P , Q and R exist. Then the curl of the vector eld F is the vector eld on R3 dened by curl (F ) = F i j =
x y
k
z
P Q R R Q i+ = z y
P R j+ x z
Q P k. y x
Example 1.23. Find the curl of the vector eld F (x, y, z) = xzi + xyzj y2k. Answer: curl (F ) = F i =
x
j
y
k
z
= ( 2y xy)i + (x 0)j + (yz 0)k = ( 2y xy)i + xj + yzk. Note that at any specic point (x, y, z), curl (F ) is a three dimensional vector and so corresponds to some specic direction in three dimensional space R3. Consider a small paddle that can rotate along an axis. If the vector eld F is viewed as the velocity of a liquid then curl (F ) at the point (x, y, z) would be the direction in which the axis of the paddle should be aligned in order to get the fastest counterclockwise rotation at the point (x, y, z) .
xz xyz y 2
1.3.2 Gradient of a function

Denition 1.24. If f (x, y) is a function of two variables dened on the Cartesian plane R2 where the rst partial derivatives of f (x, y) exist, then the gradient of the function, denoted as grad(f ), is the vector function dened as f f grad(f ) = i + j. y x Remark 1.25. Note that grad(f ) assigns a two dimensional vector f f (x0, y0)i + (x0, y0)j y x to each point (x0, y0) of the Cartesian plane R2. It follows from Denition 1.15 that grad(f ) is a vector eld and because of this, grad(f ) is also referred to as the gradient vector eld of f.
18
Vector Calculus
Example 1.26. Let f (x, y) = x2 + y 2. Then grad(f ) = 2 (x + y 2)i + (x2 + y 2)j y x = 2xi + 2y j.
At any specic point (x, y), grad(f ) is a vector that gives the direction of the maximum increase of the function f (x, y). Consider the following contour plot of the function f (x, y) = x2 + y 2
Figure 1.1. Contour plot of f (x, y) = x2 + y 2
Note that all points (x, y) on the circle labelled f = 1 have function value equal to 1. The point (x, y) = (1/2, 3 /2) is one such point on the circle f = 1. Notice that if we change the (x, y) values in the direction of arrow A, that is if we take (x, y) values along the circle f = 1, then the function f (x, y) does not change value. In order to get the maximum increase in the function f (x, y) we must move in the direction perpendicular to the circle f = 1; this is the direction specied by grad(f ) = 2xi + 2y j = i + 3j in the diagram. Denition 1.27. Let (x, y) be a point on a curve C in the Cartesian plane R2 that has a welldened tangent vector T . Then any vector n at the point (x, y) that is perpendicular to the tangent vector T is called a normal vector to the curve C at the point (x, y). Example 1.28. In Figure 1.1 above, the arrow A is a tangent vector to the curve f = 1 at the point (x, y) = (1/2, 3 /2). The vector grad(f ) = i + 3 j is an example of a normal vector to the curve f = 1 at the point (1/2, 3 /2). Denition 1.29. Let f (x, y) be a function of two variables and let c be a constant. The set of points that satisfy f (x, y) = c called a level curve of the function f (x, y).
1.3 Vector Fields
19
Example 1.30. Let f (x, y) = x2 + y 2. Then the level curve f (x, y) = 1 is the circle x2 + y2 = 1. Notice that the three level curves f (x, y) = 1, f (x, y) = .49 and f (x, y) = .25 are shown in Figure 1.1 above.
Theorem 1.31. Let f (x, y) = c be a level curve C in the Cartesian plane where f (x, y) is a dierentiable function. Then if grad(f ) at a point (x, y) is not the zero vector, then it is a normal vector to the curve C at the point (x, y).
Example 1.32. Find a normal vector to the ellipse x2 + 4y 2 = 1 at the point Answer: Notice that the curve x2 + 4y 2 = 1 is a level curve as it is in the form f (x, y) = 1 where f (x, y) = x2 + 4y2. The gradient of the function f is grad(f ) = f f i+ j y x = 2xi + 8yj
1 1 , 2 2 2
and at the point (x, y) =
1 1 , 2 2 2
, grad(f ) is equal to grad(f ) = 2xi + 8yj 2 8 = i+ j 2 2 2 = 2i + 2 2 j
which, by Theorem 1.31 is a normal vector to x2 + 4y 2 = 1 at the point
1 1 , 2 2 2
Recall that the partial derivative x (x0, y0) measures the rate at which the function f is increasing f as the x-value increases while keeping the y value xed, in other words, x (x0, y0) gives the rate of change in the function f as the (x, y) points move from (x0, y0) in the direction of the horizontal unit vector i; see Figure 1.2 below. Similarly the partial derivative y (x0, y0) gives the rate of change in the function f as the (x, y) points move from (x0, y0) in the direction of the vertical unit vector j as is also illustrated in Figure 1.2 below.
f
20
Vector Calculus
Figure 1.2. Diagram of the domain of the function f
If we wish to determine the rate at which a function changes as the (x, y) points move from a xed point (x0, y0) in the direction of a unit vector that is not horizontal or vertical, then we shall need the following denition. Denition 1.33. The directional derivative of a function f (x, y) in the direction of a unit vector u at a point (x0, y0), denoted as Duf , is dened as the dot product Duf = u grad(f ) Example 1.34. Find the directional derivative of the function f (x, y) = x2 + y 2 at the point (1, 2) in the direction i j. Answer: In the denition of the directional derivative, the direction is specied by a unit vector. We rst nd the unit vector u parallel to i j u= ij length of i j ij = 2 + ( 1)2 1 1 1 = i j 2 2
The vector grad(f ) at the point (x, y) = (1, 2) is grad(f ) = f f i+ j x y = 2xi + 2yj = 2i + 4j
and the required directional derivative is Duf = u grad(f ) 1 1 = i j (2i + 4j) 2 2 = 2.
1.3 Vector Fields
21
The gradient of a function f (x, y, z) of three variables is dened and has properties analogous to the gradient of a function of two variables. Denition 1.35. If f (x, y, z) is a function of three variables, then the gradient of the function, denoted as grad(f ), is the vector function dened as f f f grad(f ) = i + j + k. x y z Note that the vector dierential operator of Denition 1.21 can be used to give an alternative expression of grad(f ) grad(f ) = f . Denition 1.36. Let f (x, y, z) be a function of three variabless and let c be a constant. The set of points that satisfy f (x, y, z) = c called a level surface of the function f (x, y, z). Example 1.37. Let f (x, y, z) = x2 + y 2 + z 2. Then the level surface S f (x, y, z) = 1 is the sphere x2 + y 2 + z 2 = 1. of radius 1 is illustrated in Figure 1.3 below.
Figure 1.3.
Denition 1.38. The tangent plane to a point P on a surface S is the plane that touches the surface at the point P . A normal vector to a surface S at the point P is a vector that is perpendicular to the tangent plane at the point P . Theorem 1.39. Let f (x, y, z) = a be a surface S in three dimensional space where f (x, y, z) is a dierentiable function. Then if grad(f ) at a point (x, y, z) is not the zero vector, then it is a normal vector to the surface S at the point (x, y, z).
22
Vector Calculus
Example 1.40. Find a normal vector to the sphere x2 + y 2 + z 2 = 1 at the point (1, 0, 0). Answer: Notice that the surface x2 + y 2 + z 2 = 1 is in the form f (x, y, z) = 1 where f (x, y, z) = x2 + y 2 + z 2. The gradient of the function f is grad(f ) = f f f i+ j + k x y z = 2xi + 2yj + 2zk
and at the point (x, y) = (1, 0, 0), grad(f ) is equal to grad(f ) = 2xi + 2yj + 2zk = 2i + 0j + 0k = 2i which, by Theorem 1.39 is a normal vector to the sphere x2 + y 2 + z 2 = 1 at the point (1, 0, 0). As in the case of a function of two variables, the partial derivatives x (x0, y0, z0), y (x0, y0, z0) and f (x , y , z ) measure the rate at which a function f (x, y, z) changes as the (x, y, z) points move z 0 0 0 from a xed point (x0, y0, z0) in the direction of a unit vectors i, j and k respectively. If we wish to determine the rate at which a function changes as the (x, y, z) points move from a xed point (x0, y0, z0) in the direction of a unit vector that is not a standard unit vector i, j or k, then, as in the case of a function of two variables, we need the denition of a directional derivative. Denition 1.41. The directional derivative of a function f (x, y, z) in the direction of a unit vector u at a point (x0, y0, z0), denoted as Duf , is dened as the dot product Duf = u grad(f ).
f f
1.4 Line integrals and double integrals
23

1.4.1 Line integrals
Denition 1.42. Let F (x, y) be a continuous vector eld dened on the Cartesian plane and let C be the smooth parametric curve r(t) = x(t)i + y(t)j a t b.
Then the line integral of the vector eld F along the curve C is
b C
F dr =
F (x(t), y(t)) (x (t)i + y (t)j ) dt
A line integral C F dr can be interpreted as the work done on a particle by a force eld F as it travels on a path C. Consider the following example.
Example 1.43. Let F (x, y) = 3x2i be a vector eld on the Cartesian plane. Calculate the following line integrals i.
C1
F dr where C1 is the curve r(t) = (1 + t)i + j 0 t 1 F dr where C2 is the curve r(t) = i + (1 + t)j 0 t 1.
ii.
C2
Answer: i.
b C1
F dr = =
a 1 0
F (x(t), y(t)) (x (t)i + y (t)j ) dt F ((1 + t), 1) ((1 + t) i + (1) j ) dt 3(1 + t)2i (1i + 0j ) dt 3(1 + t)2 dt
1 0
=
0 1
=
0
= (1 + t)3 = 8. ii.
b C2
F dr = =
a 1 0
F (x(t), y(t)) (x (t)i + y (t)j ) dt F (1, (1 + t)) ((1) i + (1 + t) j ) dt 3(1)2i (0i + 1j ) dt 3i (0i + 1j ) dt
=
0 1
=
0 1
=
0
0dt
= 0.
24
Vector Calculus
Figure 1.4 below is an illustration of the vector eld F (x, y) = 3x2i and the two curves C1: r(t) = (1 + t)i + j C2: r(t) = i + (1 + t)j 0 0 t t 1 1.
If we regard the vector eld F as a force eld then as C1 lies in the direction of F , we expect F to add energy to a particle travelling along the path C1. This agrees with F dr = 8
C1
in part i). However, the curve C2 is perpendicular to the direction of vector eld and therefore F does not add any energy to a particle travelling along C2 which agrees with the answer F dr = 0.
in part ii).
C2
Figure 1.4.
The denition of a line integral in three dimensional space is similar to the denition in the Cartesian plane. Denition 1.44. Let F (x, y, z) be a continuous vector eld dened in three dimensional space and let C be the smooth parametric curve r(t) = x(t)i + y(t)j + z(t)k a t b.
Then the line integral of the vector eld F along the curve C is
b C
F dr =
F (x(t), y(t), z(t)) (x (t)i + y (t)j + z (t)k ) dt.
Example 1.45. Evaluate

C
F dr
where F is the vector eld in three dimensional space F (x, y, z) = xyi + yzj + zxk and C is the parametric curve r(t) = ti + t2 j + t3k 0 t 1.
25
Answer: From Denition 1.44 above, we have

b C
F dr = =
a 1 0
F (x(t), y(t), z(t)) (x (t)i + y (t)j + z (t)) dt F (t, t2, t3) (t) i + (t2) j + (t3) k dt t3i + t5 j + t4k 1i + 2tj + 3t2k dt (t3 + 2t6 + 3t6)dt
1 0
=
0 1
=
0
t4 5t7 + 4 7 27 = . 28 =
1.4.2 Path independence and conservative vector elds

Denition 1.46. If C is a parametric curve in the Cartesian plane of the form r(t) = f (t)i + g(t)j where a t b,
then the initial point of C is given by the position vector r(a) and the terminal point of C is given by the position vector r(b). Similarly, one can dene the initial and terminal points of a parametric curve r(t) = f (t)i + g(t)j + h(t)k in three dimensional space. Example 1.47. Let F be the vector eld F (x, y) = y 2 i + xj and let C1 and C2 be the parametric curves dened as C1: r(t) = (5t 5)i + (5t 3)j C2: r(t) = (4 t2)i + tj 3 0 t t 2. 1 a t b
a) Sketch the curves C1 and C2 and verify that C1, C2 have the same initial and terminal point b) By evaluating the respective line integrals, show that F dr F dr .
Answer: a) In the case of C1, we have
C1
C2
x = 5t 5 . y = 5t 3 Note that both x, y are linear functions of t and that the parameter t takes values in a nite interval 0 t 1. It follows that C1 is a line segment with initial point r(0) = ( 5, 3) and terminal point r(1) = (0, 2). In the case of C2, the initial point is r( 3) = ( 5, 3) and terminal point r(2) = (0, 2). To determine the shape of C2, we eliminate t from x = 4 t2 y =t x = 4 y 2.
to obtain
26
Vector Calculus
It follows that C2 is a segment of the parabola x = 4 y 2 that has initial point ( 5, 3) and terminal point (0, 2).
Figure 1.5. Sketch of curves C1 and C2
b) Using the denition of the line integral, we have

b C1
F dr = =
a 1 0
F (x(t), y(t)) (x (t)i + y (t)j ) dt F ((5t 5), (5t 3)) ((5t 5) i + (5t 3) j ) dt (5t 3)2i + (5t 5)j (5i + 5j ) dt 5(5t 3)2 + 5(5t 5) dt
1
=
0 1
=
0
=5
0
25t2 25t + 4 dt
and
C2
5 6
b
F dr = =
a 2 3 2
F (x(t), y(t)) (x (t)i + y (t)j ) dt F ((4 t2), t) (4 t2) i + (t) j dt t2i + (4 t2)j (( 2t)i + j ) dt ( 2t)t2 + 4 t2 dt 2t3 t2 + 4 dt
=
3 2
=
3 2
=
3
= and clearly
245 6 F dr F dr .
C1
C2
Denition 1.48. A curve C is called a piecewise smooth curve if it is a nite union C = C1 C2 Cn
27
of smooth curves C1, C2,
, Cn such that the terminal point of Ci is the initial point of Ci+1.
Figure 1.6. A piecewise smooth C = C1 C2 C3
A line integral along a piecewise smooth curve is obtained by adding the line integrals of its individual pieces. Denition 1.49. Let C = C1 C2 Cn be a piecewise smooth curve. Then the line integral of the vector eld F along the curve C is F dr = F dr + F dr + +
Cn
C1
C2
F dr
Denition 1.50. A line integral is said to be independent of path if

C C
F dr F dr
F dr =
for any piecewise smooth curve C which has the same initial point and terminal point as the curve C. Example 1.51. Consider curves C1, C2 and the line integral
C1
F dr
as dened in Example 1.47. This line integral is not independent of path as C2 has the same initial and terminal points as C1 but
C1
F dr
C2
F dr .
Recall from Remark 1.25 that the gradient grad(f ) of a function f (x, y) is in fact a vector eld. Denition 1.52. Let F be a vector eld dened on Rn1.2. Then F is said to be a conservative vector eld if there exists a function f such that F = grad(f ). For such a case, f is called a potential function for the vector eld F.
1.3
1.2. In this class we consider only the cases of n = 2 (the Cartesian plane) and n = 3 (three dimensional space) 1.3. A dierent denition F = grad(f ) is used in physics; with this alternative denition, the function f gives a more accurate physical interpretation of the work done by an outside force in moving against the vector eld. In this class, we use the denition F = grad(f ).
28
Vector Calculus
The above is the standard denition of a conservative vector eld; however it is not a practical method of determining whether or not a vector eld is conservative. A more useful criterion for vector elds in R2 is the following Theorem 1.53. Let F (x, y) = P (x, y)i + Q(x, y)j. be a vector eld dened on R2 where the component functions P and Q have continuous rst partial derivatives. Then F is conservative if and only if P Q = . x y Example 1.54. Show that the vector eld F (x, y) = (6x + 5y)i + (5x + 4y)j is conservative and determine a potential function for F (x, y). Answer: In this case P (x, y) = 6x + 5y Q(x, y) = 5x + 4y and Q P =5= x y so it follows that F is conservative. Let f be a potential function for F . Then grad(f ) = F f f i + j = (6x + 5y)i + (5x + 4y)j x y f = 6x + 5y x . f = 5x + 4y y Using partial integration1.4 to integrate the rst equation of (1.2) with respect to x, we have f (x, y) = 3x2 + 5xy + C(y). (1.3)
(1.2)
The function C(y) can be determined by dierentiating equation (1.3) with respect to y and using the second equation of (1.2) f = 5x + C (y) = 5x + 4y y C (y) = 4y C(y) = 2y 2 + K where K is a constant of integration. We therefore have f (x, y) = 3x2 + 5xy + 2y 2 + K and by choosing K = 0 we have that f = 3x2 + 5xy + 2y2 is a potential function for the vector eld F. The following result species exactly what conditions are required for a line integral in Rn to be independent of path.
1.4. see Example 1.59 on page 31
29
Theorem 1.55. Let F be a vector eld on Rn. Then the line integral
C
F dr
is independent of path if and only if F is a conservative vector eld. Furthermore, the value of a line integral that is independent of path can be determined from the endpoints of the curve and a potential function of the vector eld
Theorem 1.56. (Fundamental Theorem of Line Integrals) Let F be a vector eld dened on Rn and C F dr be a line integral that is independent of path. Then
C
F dr = f (r2) f (r1)
where f is a potential function for the the vector eld F and r1, r2 are respectively the initial and terminal points of the curve C. Example 1.57. Let F be the vector eld F (x, y, z) = x3 y 4 i + x4 y3 j and let C be the parametric curve dened as C: r(t) = t i + (1 + t3)j a) Show that F is a conservative vector eld b) Find a potential function for F c) Use the potential function of part (b) to evaluate the line integral Answer: a) The given vector eld is of the form F = P (x, y)i + Q(x, y)j where P (x, y) = x3 y 4 . Q(x, y) = x4 y 3 P Q = 4x3 y 3 = y x
C
1.
F dr.
As so it follows that F is conservative.
b) Let f be a potential function for F . Then grad(f ) = F f f i + j = x3 y 4 i + x4 y 3 j y x f = x3 y 4 x . f = x4 y 3 y By partially integrating the rst equation of (1.4) with respect to x, we have f (x, y) = x4 y 4 + C(y). 4 (1.5)
(1.4)
The function C(y) can be determined by dierentiating equation (1.5) with respect to y and using the second equation of (1.2) f = x4 y 3 + C (y) = x4 y 3 y C (y) = 0 C(y) = K
30
Vector Calculus
where K is a constant of integration. We have f (x, y) = and by choosing K = 0 we have that f =

x4 y 4 4
x4 y 4 +K 4
is a potential function for the vector eld F .
c) Using the parametric denition of C, we have that the initial and terminal points of C are r1 = r(0) = (0, 1) r2 = r(1) = (1, 2) and from Theorem 1.56
C
F dr = f (r2) f (r1) = f (1, 2) f (0, 1) = 1 4 2 4 0 41 4 4 4 = 4.
1.4.3 Double integrals

We give the denition of a double integral over a rectangular region R and then state a theorem that gives a procedure for evaluating double integrals over a rectangular region. We then note that a double integral may be interpreted as a volume. Finally we explain the evaluation of double integrals over Type I , Type II and circular regions. Denition 1.58. Let R be a rectangular region in the Cartesian plane dened by R = {(x, y)| a x b, c y d}. x b and c y
Divide the rectangular region R into subrectangles by partitioning the intervals a d: a = x0 < x1 < < xm = b c = y0 < y1 < and dene the subrectangle Rij as Rij = {(x, y)|xi1 x xi , yj 1 y yj } < yn = d
31
Choose points (xij , yij ) in each subrectangle Rij . Let Aij denote the area of the subrectangle Rij and let P denote the length of the largest diagonal of all subrectangles (note that as we take smaller subrectangles of R we have that P 0). Then the double integral of the function f (x, y) over the rectangular region R is dened to be the limit m n f (xij , yij )Aij i=1 j =1
f (x, y)dA = lim

R
if this limit exists.
P 0
The above denition is not usually used to evaluate double integrals. We shall give a method of evaluating double integrals based on the following procedure of partial integration. Example 1.59. (of partial integration)
2 1
xy dy =
xy 2 y=2 2 y=1 x22 x12 = 2 2 3x = . 2
Notice in the above procedure of partial integration we integrate a function of two variables with respect to y treat x as a constant when integrating the answer
2
xy dy = is a function of x.
1
3x 2
We can also integrate partially with respect to x: Example 1.60.

4 3
cos(xy) dy =
sin(xy) x=4 y x=3 sin(4 y) sin(3 y) = y y
and notice in this case our answer is a function of y. Using the procedure of partial integration and the following theorem we can evaluate double integrals over rectangular regions. Theorem 1.61. (Fubinis Theorem) If the function f (x, y) is continuous at each point in a rectangular region R = {(x, y)| a x b, c y d} then
b d d b
f (x, y)dA =
R a c
f (x, y)dy dx =
c a
f (x, y)dx dy.
(1.6)
Note that the integrals within the brackets of (1.6) are evaluated by partial integration. Also notice that (1.6) implies that the double integral over a rectangular region can be obtained by integrating with respect to y and then x or integrating with respect to x and then y. Example 1.62. Evaluate the double integral x2 y dA
R
32
Vector Calculus
where R is the rectangular region R = {(x, y)| 0 Answer: By Fubinis Theorem x2 y dA =

R 0 3 3 2
3, 1
2}.
x2 ydy dx dx dx
=
0 3
x y 2
1 2 2 y=2 y=1 2 2 2 2
=
0 3
=
0
x 2 x 1 2 2 3x2 dx 2
x=3 x=0
x3 2 27 = . 2 = Notation 1.63. i. The integral

b a c b a d c a d c a b c b d d
f (x, y)dy dx is usually denoted as f (x, y)dydx. ii. Similarly, the integral
f (x, y)dx dy is usually denoted as f (x, y)dxdy.
Recall that the graph of a function f (x, y) forms a surface in three dimensional space. Given a function f (x, y) 0 for each point (x, y) in a rectangular domain R, then the double integral f (x, y)dA
R
can be interpreted as the volume between the graph of f (x, y) and the rectangle R lying in the xy plane
33
We now consider double integrals over regions in the Cartesian plane that are not rectangular. Denition 1.64. i. A Type I region is a region in the Cartesian plane that may be described as R = {(x, y)| a x b, f (x) y g(x)}
where f (x) and g(x) are continuous functions of x. ii. A Type II region is a region in the Cartesian plane that may be described as R = {(x, y)| k(y) x h(y), c y d}
where k(y) and h(y) are continuous functions of y.
Figure 1.7.
As in the evaluation of a double integral over a rectangular region, evaluating double integrals over Type I and Type II regions requires the use of partial integration. Note that for a Type I region, the integration is done with respect to the y variable rst and then with respect to x variable. For a Type II region, the integration is done with respect to the y variable rst and then with respect to x variable. Theorem 1.65. i. If the function f (x, y) is continuous at each point in a Type I region R = {(x, y)| a f (x, y)dA =
R a g(x)
x
b
b, g(x)
f (x)
f (x)}
then
f (x, y)dy dx
ii. If the function f (x, y) is continuous at each point in a Type II region R = {(x, y)| k(y)
d
h(y), c
h(y)
d}
then
f (x, y)dA =
R c k(y)
f (x, y)dx dy.
34
Vector Calculus
Example 1.66. Evaluate the double integral x dA

R
where R = {(x, y)| 0
1, 0
1 x2 }.
Answer: Notice that R is a Type I region. Then

1 0 1 1x2
xdA =
R 0
x dy dx =
0 1
[xy] y=0 x
y= 1x2
dx
=
0 1
1 x2 x(0) dx 1 x2 dx
3
=
0
(1 x2) 2 = 3 1 = . 3
x=1
x=0
Example 1.67. Evaluate the double integral xy dA

R
where R is the region bounded by the line x = y + 1 and the parabola x = 2 3. Answer: By solving the equations x= y +1 y2 x= 3 2 y+1= y2 3 2
y2
y2
y = 2, 4
and we see that the line x = y + 1 and the parabola x = 2 3 intersect at the points ( 1, 2) and (5, 4):
35
From the above diagram we can write R as R = {(x, y)| and so the region R is of Type II . Then
4
y2 3 2
y + 1, 2
4}
xy dA =
R 2
y+1
y2 3 2
= = = 1 2
2 4 2 4
x2 y 2
x=y+1
xy dx dy
y2 3 2
dy
x=
(y + 1)2 y
y2 3 2
y dy
1 2 2 1 4 = 2 2 = 36.
y 3 + 2y 2 + y
y5 + 3y 3 9y dy 4
y5 + 4y 3 + 2y 2 8y dy 4
Some regions in the Cartesian plane are more easily described by the use of polar coordinates. Denition 1.68. A polar rectangle is a region in the Cartesian plane that may be described in polar coordinates (r, ) as R = {(r, )| 1 where a and b are real constants such that 0 2, a r b}
a < b.
Figure 1.8.
Example 1.69. Express the following region R = {(x, y)| 9 x2 + y 2 25, x 0, y 0}
as a polar rectangle. Answer: The equations
x2 + y2 = 9 x2 + y2 = 25 describe circles of radius 3 and 5 respectively that have the origin as center. Therefore the inequalities 9 x2 + y2 25, x 0 and y 0
36
Vector Calculus
describe points that lie between the circles and in the rst quadrant
and so we can write R as a polar rectangle R = {(r, )| 0 , 3 2 r 5}.
We shall use the following theorem to evaluate double integrals over regions in the Cartesian plane that are polar rectangles. Notice that the following theorem is a conversion of a double integral in xy coordinates to a double integral in polar coordinates. Theorem 1.70. If the function f (x, y) is continuous at each point in a polar rectangle R = {(r, )| 1
2
2, a
b}
then
R
f (x, y)dA =
1 a
f (r cos, r sin)rdr d.
Example 1.71. Evaluate the following double integral 1 (x2 + y 2) dA
where R = {(x, y)| 0
x2 + y 2
1} by converting to polar coordinates.
Answer: The region R is the unit disc
and so we can write R as a polar rectangle R = {(r, )| 0 2, 0 r 1}.
1.5 Greens theorem
37
From Theorem 1.70, we have 1 (x2 + y2) dA = =

0 2 0 1 0 2 2 0 2 1 0 1
(1 (r2cos2 + r2sin2))rdr d
(1 r2)rdr d (r r3 )dr d
1
=
0
=
0 2
r2 r4 4 2 1 d 4
d
0
= = . 2
0
1.5 Greens theorem

Denition 1.72. i. A parametric curve C is called closed if its terminal point coincides with its initial point. ii. A simple curve C is a curve that does not intersect itself anywhere between its endpoints.
Figure 1.9. Examples of curves
Convention: A positive orientation of a simple closed curve C refers to a counterclockwise traversal of C.
Theorem 1.73. (Greens Theorem) Let C be a positively oriented, piecewise smooth, simple closed curve in the Cartesian plane. Let D be the region bounded by C. Let F be the vector eld F (x, y) = P (x, y)i + Q(x, y)j where P (x, y) and Q(x, y) have continuous partial derivatives on an open region that contains D. Then Q P dA F dr = x y C D
38
Vector Calculus
Figure 1.10. Region D bounded by curve C
Note that Greens Theorem states that the line integral around a simple closed curve C may be obtained by evaluating a double integral over the region D enclosed by C. Example 1.74. Let C = C1 C2 C3 be the simple closed curve
enclosing the triangular region D. Use Greens Theorem to determine the line integral (x4i + xyj).dr
C
(1.7)
by evaluating an appropriate double integral. Answer: By Greens Theorem

C
F dr =
Q P dA y x
we have that the line integral (1.7) is equal to a double integral (x4i + xyj) dr = =
D
(xy) (x4) dA y x (1.8)
(y 0)dA y dA
=
D
and this last integral is a double integral of the function f (x, y) = y over the triangular region D. Notice that D is a Type I region
1.6 Surface integrals
39
that is, we can describe the region D as the set D = {(x, y)| 0
1
1, 0
1x
and therefore
1 x} (1.9)
y dA =
D 0 0
y dy dx
Substituting (1.9) into (1.8) we have (x4i + xyj) dr =

1
y dA
D 1x
=
0 0
y dy dx
and notice that this is the point of Greens theorem for a simple closed curve C, a line integral around C is equal to a double integral over the region enclosed by C (x4i + xyj).dr =
C 0 1 0 1x
y dy dx
and we can evaluate this double integral by using partial integration (x4i + xyj).dr =
C 0 1 1 0 1x
y dy d x y2 2
y=1x
=
0 1
dx
y=0
(1 x)2 dx 2 0 (1 x)3 1 = 6 0 1 = 6

1.6.1 Parametric surfaces
Recall that some curves C in three dimensional space can be described parametrically C: r(t) = x(t)i + y(t)j + z(t)k a t b,
for example the curve shown below
40
Vector Calculus
may be written parametrically as r(t) = ti + tj + (1 t)k 0 t 1.
We now describe surfaces in three dimensional space by the use of vector functions r(u, v) of two parameters u and v. Denition 1.75. A parametric surface S in three dimensional space is obtained by specifying x, y and z to be continuous functions of parameters u and v x = f (u, v) y = g(u, v) z = h(u, v) where (u, v) R and R is a region in the u v plane. The parametric surface S can be written in vector form r(u, v) = f (u, v)i + g(u, v)j + h(u, v)k (u, v) R.
Example 1.76. Let S be the (truncated) plane dened by y = 1, 0
x, z
1.
Then we can describe S a parametric surface by r(u, v) = ui + j + vk where R is the region {(u, v)|0 u, v 1} (u, v) R.
in the uv plane. Notice that each point (u, v) of R denes a unique point in S.
Example 1.77. Describe the cylinder S x2 + y 2 = 4, 0 as a parametric surface. z 3.
41
Answer: We can use polar coordinates to describe the cylinder S
as the parametric surface r(, z) = 2cosi + 2 sin j + zk where R is the region {(, z)|0 2, 0 z 3} (, z) R
in the z plane.
Lemma 1.78. Let S be a parametric surface r(u, v) = f (u, v)i + g(u, v)j + h(u, v)k (u, v) R
that is smooth. Then a normal vector n to S at the point r(u0, v0) is given by where ru and rv are the vectors ru = rv = provided that ru rv 0. n = ru rv f g h (u0, v0)i + (u0, v0)j + (u0, v0)k u u u f g h (u0, v0)i + (u0, v0)j + (u0, v0)k v v v
Example 1.79. Find a normal vector to the cylinder S: r(, z) = 2cosi + 2 sin j + zk where R is the region {(, z)|0 2, 0 z (, z) R (1.10)
3} at the point (2, 0, 0).
Answer: In this case the parameters are and z. Note that the point (2, 0, 0) corresponds to (, z) = (0, 0) as r(0, 0) = 2cos0i + 2 sin 0j + 0k = 2i
42
Vector Calculus
The vector functions r(, z) and rz (, z) are obtained by dierentiating (1.10) partially with respect to and z respectively r(, z) = 2sini + 2 cos j + 0k rz (, z) = 0i + 0j + 1k and at (, z) = (0, 0) r(0, 0) = 2 j rz (0, 0) = k and the normal vector at the point (2, 0, 0) is n = r(0, 0) rz(0, 0) = 2j k = 2i
1.6.2 Surface integrals

Denition 1.80. Let S be a smooth parametric surface r(u, v) = x(u, v)i + y(u, v)j + z(u, v)k (u, v) R
where R is a region in the uv plane and let f (x, y, z) be a continuous function dened on S. Then the surface integral of the function f (x, y, z) over the surface S is f (x, y, z) dS =
S R
f (x(u, v), y(u, v), z(u, v))|ru rv | dA
(1.11)
Note that equation (1.11) denes a surface integral to be equal to a double integral over a region R in the uv plane where u and v are the parameters of the surface S. Example 1.81. Evaluate the surface integral (x2 y + z 2) dS
S
where S is the part of the cylinder x2 + y 2 = 9 that lies between the plane z = 0 and z = 2.
43
Answer: Our denition (1.11) of a surface integral requires that the surface S
be given in parametric form: S: r(, z) = 3cosi + 3 sin j + zk where R is the region {(, z)|0 2, 0 z (, z) R (1.12)
2}. Note in this case we use the parameters r and
instead of u and v. The x, y and z components of S are x = 3cos The vectors r and rz are r = x y z i + j + k = 3sini + 3cosj + 0k rz = and we have y z x i + j + k = 0i + 0j + k z z z y = 3 sin z = z.
r rz = ( 3sini + 3cosj) k i j k = 3sin 3cos 0 0 0 1 = 3cos i + 3 sinj and therefore |r rz | = |3cos i + 3 sinj | = 9cos2 + 9 sin2 = 3. From the denition of a surface integral (x2 y + z 2) dS =
S R
f (x(, z), y(, z), z(, z)) |r rz | dA (3cos)2(3sin) + z 2 3 dA
=
R
=3
R
27cos2 sin + z 2 dA
This last integral is a double integral of the function f (, z) = 27cos2 sin + z 2 over the rectangular region R
44
Vector Calculus
in the z plane. Therefore (x2 y + z 2) dS = 3

S R 2
27cos2 sin + z 2 dA
2 0 2
=3
0
27cos2 sin + z 2 dzd

2
z3 d 3 0 0 2 8 =3 54cos2 sin + d 3 0 2 54cos3 8 (use substitution u = cos ) =3 + 3 3 0 = 16 =3 27cos2 sinz +
A surface integral of a function f over a surface S can be interpreted as follows. Suppose that a surface S is subdivided into n smaller surfaces Si.
Choose a point (x, yi , zi ) on each smaller surface Si. Let Ai be the area of the small surface Si i and multiply this area by the value f (x, yi , zi ) of the function f at the point (x, yi , zi ). Hence we i i have a weighted area f (x, yi , zi)Ai i
for each of the n smaller surfaces Si of the entire surface S. Then the surface integral of the function f over the surface S is approximately the sum of each of the weighted areas for the Si
n S
f (x, y, z) dS
f (x, yi , zi )Ai i i=1
(1.13)
and if the number n of smaller surfaces Si gets larger then the approximation (1.13) gets better, so we have
n
f (x, y, z) dS = lim
S
f (x, yi , zi )Ai . i i=1
(1.14)
Notice that if the function f (x, y, z) = 1 then from (1.14) we have

n
1 dS = lim
S
Ai
i=1
and the right side of (1.14) is nothing but the sum of the areas of each of the smaller surfaces Si. This sum is obviously equal to the surface area of S. Therefore we have the following lemma
45
Lemma 1.82. The surface integral of the constant function f = 1 over the surface S is equal to the surface area of S 1 dS = surface area of S.
S
Example 1.83. Find the surface area of the truncated plane S r(u, v) = ui + j + vk where R is the region {(u, v)|0 u, v 1}. (u, v) R.
Answer: The surface S is shown in the following diagram
(see Example 1.76). Clearly the surface area of S is equal to 1; let us verify this by evaluating the surface integral 1 dS. The x, y and z components of S are x=u The vectors ru and rv are ru = rv = and we have ru rv = i k i j k = 1 0 0 0 0 1 =j and so |ru rv | = | j | = 1 From the denition of a surface integral 1 ds =
S R S
y = 1 z = v.
x y z i + j + k = i + 0j + 0k u u u x y z i + j + k = 0i + 0j + k v v v
1|ru rv | dA 1 dA
=
R
46
Vector Calculus
This last integral is a double integral of the function f (u, v) = 1 over the rectangular region R
in the uv plane. Therefore 1 dS =

S 1 R
1 dA
1
=
0 1 0
1dudv [u]0 dv
1 1
=
0
=
0 1
(1 0)dv 1dv
=
0
=1 which agrees with our expected answer.
Recall that the graph of a function g(x, y) forms a a surface in three dimensional space. Let R be a region in the xy plane and let S be the surface formed as the image of the region R in the graph of g(x, y):
Then the following lemma expresses a surface integral of a function f (x, y, z) over such a surface S in terms of the function g(x, y).
Lemma 1.84. Let R be a region in the xy plane and let S be the image of R in the graph of a function g(x, y). Then the surface integral of the function f (x, y, z) over the surface S is equal to a double integral over the region R in the xy plane: f (x, y, z) dS =
S R
f (x, y, g(x, y))
1+
g x
g y
dA
Proof. The surface S can be written parametrically as r(x, y) = xi + yj + g(x, y)k (x, y) R
47
with parameters x and y. The vectors rx and ry are rx = ry = and therefore g (x)i + (y)j + (g(x, y))k = i + 0j + k x x x x g (x)i + (y)j + (g(x, y))k = 0i + j + k y y y y rx r y = i + g g k j+ k y x i j k
g g
= 1 0 x 0 1 y g g = i j+k y x hence |rx r y | = = g g i j +k x y g x

2
1+
g y
and from the parametric denition of a surface integral in Denition 1.80 we have f (x, y, z) dS =
S R
f (x, y, g(x, y))|rx r y | dA f (x, y, g(x, y)) 1+ g x

2
=
R
g y
dA
which is the desired result.
Example 1.85. Find the surface area of the hemisphere of radius a z= Answer: Denote the hemisphere as S a2 (x2 + y2) .
Notice that the hemisphere S is the image of the region R R: x2 + y 2 in the graph of the function z = g(x, y) = a2 (x2 + y2) . a2
48
Vector Calculus
Recall from Lemma 1.82 that the surface area of S is given by the surface integral of the constant function f = 1 over S, that is surface area of S =
S
1 d Ss.
Now because the hemisphere S is the image of a region R in the graph of the function g(x, y), from Lemma 1.84 we have 1dS = and therefore we have surface area of S =
S S R
1+
g x
g y
dA
1 dS 1+
R
g x
g y
dA
2
=
R
1+
x 2 (x2 + y 2) a x2 + y 2 a2 (x2 + y 2) dA
y 2 (x2 + y 2) a
dA
=
R
1+
=
R
a2 dA a2 (x2 + y 2)
R
=a where R: x2 + y 2
a2 (x2 + y 2)
dA
a2 is the disc of radius a
and so we convert to polar coordinates surface area of S = a

R 2
a2 (x2 + y 2)
a 0
dA
2
1
=a
0 2
a2 (r2cos2 + r2sin2)
a 0
rdrd
=a
0 2
a2 r 2
1 2
rdr d d
r=a r=0
=a
0 2
a2 r 2 a d
=a = 2a
0 2
1.6.3 Surface integrals over vector elds

Denition 1.86. A surface S is called an orientable surface if there exists a continuous function n on S that assigns a unit normal vector to each point of S. Such a function n is called an orientation of S. There are two possible orientations for any orientable surface.
49
An oriented surface S is a surface together with one of the two possible choices of orientation.
Example 1.87. Let S be the cylinder S: r(, z) = 2cosi + 2 sin j + zk (, z) R
where R is the region {(, z)|0 2, 0 z 3} dened in Example 1.79. Recall from that example, the vector r(, z) rz (, z) = ( 2sini + 2 cos j) k i j k = 2sin 2 cos 0 0 0 1 = 2cos i + 2 sinj is a normal vector at any point r(, z) on S. The function n(, z) given by n(, z)= r rz |r rz | 2cos i + 2 sinj = 4cos2 + 4 sin2 = cos i + sinj
assigns the unit normal vector cos i + sinj to each point on the cylinder S. Therefore n(, z) = cos i + sinj is an example of an orientation on the surface S. Notice that n1(, z) = n(, z) = (cos i + sinj) is the other possible orientation of the cylinder S. We now dene the surface integral over a vector eld. Denition 1.88. If F (x, y, z) is a continuous vector eld dened on a smooth parametric surface S r(u, v) = x(u, v)i + y(u, v)j + z(u, v)k ru rv . |ru rv | (u, v) R
where R is a region in the uv plane. Let S have an orientation n given by n=
Then the surface integral of the vector eld F (x, y, z) over the surface S is F .n dS =
S R
F (x(u, v), y(u, v), z(u, v)) (ru rv) dA.
(1.15)
Note that equation (1.15) denes a surface integral of a vector eld over a surface to be equal to a double integral over a region R in the uv plane where u and v are the parameters of the surface S.
50
Vector Calculus
Example 1.89. Evaluate the surface integral (2xi + 3xzj + y 2k) n dS r(u, v) = ui + j + vk and R is the region {(u, v)|0 u, v 1}. (u, v) R
where S is the truncated plane1.5
Answer: The x, y and z components of S are x=u The vectors ru and rv are ru = rv = and we have ru rv = i k i j k = 1 0 0 0 0 1 =j In this case the vector eld F is F (x, y, z) = 2xi + 3xzj + y 2k From the denition of a surface integral of a vector eld over a surface (2xi + 3xzj + y2k).n dS =
S R
y = 1 z = v.
x y z i + j + k = i + 0j + 0k u u u x y z i + j + k = 0i + 0j + k v v v
F (x(u, v), y(u, v), z(u, v)).(ru rv) dA (2ui + 3uvj + 12k).( j) dA
=
R
=
R
3uv dA
This last integral is a double integral of the function f (u, v) = 3uv over the rectangular region R
1.5. See Example 1.76
51
in the uv plane. Therefore (2xi + 3xzj + y 2k).n dS =

S 1 R
3uv dA
1 0
=
0 1
3uv dudv
1
=
0 1
=
0 1
= 3 = 4
0
3u2v dv 2 0 3(1)2v 3(0)2v 2 2 3v dv 2
dv
If the vector eld F represents the velocity of a uid moving in three dimensional space, then the F .n d S can be interpreted as the surface integral of the vector eld F over the surface S S volume of uid owing through the surface S in unit time. Consider the following example.
Example 1.90. Let F (x, y, z) = y j be a vector eld in three dimensional space. Evaluate the following surface integrals i.
S1
F .n dS where S1 is the parametric surface r(u, v) = i + uj + vk (u, v) R.
where R is the region {(u, v)|0 ii.

S2
u, v
1}
F .n dS where S2 is the parametric surface r(u, v) = vi + j + uk (u, v) R.
where R is the region {(u, v)|0 Answer:
u, v
1}.
i. Note that the vector eld F (x, y, z) = y j is in the direction of j at each point (x, y, z) in three dimensional space. The surface S1 is the truncated plane shown in the diagram below
and notice S1 is parallel to the vector eld F . If we regard F as the velocity of a uid and as F .n d S can be interpreted as the volume of uid owing through the surface S1 in S1 unit time, we expect F .n dS=0
S1
52
Vector Calculus
as there is no uid owing through S1 (only along S1). We verify this answer: the x, y and z components of S1 are x = 1 y = u z = v. The vectors ru and rv are ru = rv = and we have x y z i+ j + k = 0i + j + 0k u u u y z x i + j + k = 0i + 0j + k v v v ru rv = j k i j k = 0 1 0 0 0 1 =i and by therefore the surface integral of the vector eld F over the surface S1 is F .n dS=
S1 R
F (x(u, v), y(u, v), z(u, v)).(ru rv ) dA (uj) i dA 0 dA
=
R
=
R
=0 ii. In this case the vector eld F is perpendicular to the surface S2
and if we again interpret S2 in unit time, we expect
S2
F .n d S as the volume of uid owing through the surface F .n dS > 0.

S2
We verify this answer: the x, y and z components of S2 are x = v y = 1 z = u. The vectors ru and rv are ru = rv = and we have y z x i+ j + k = 0i + 0j + k u u u x y z i + j + k = i + 0j + 0k v v v ru rv = k i i j k = 0 0 1 1 0 0 =j
53
and by therefore the surface integral of the vector eld F over the surface S1 is F .n dS=
S2 R
F (x(u, v), y(u, v), z(u, v)).(ru rv ) dA (1 j) j dA 1dA
=
R
=
R
This last integral is a double integral of the function f (u, v) = u over the rectangular region R
in the uv plane. Therefore F .n dS=

S2 1 R 1
u dA 1 dudv
0 1 0
= =
0 1 1
[u]0 dv 1dv
=
0
= 1. Consider a surface S that is a subset of the graph of a function g(x, y), to be specic, let R be a region in the xy plane and let S be the oriented surface formed as the image of the region R in the graph of g(x, y) where we assume that the orientation of S is chosen to point upward
Then the following lemma expresses a surface integral of a vector eld F (x, y, z) over such an oriented surface S in terms of the function g(x, y).
54
Vector Calculus
Lemma 1.91. Let R be a region in the xy plane and let S be the oriented surface formed as the image of R in the graph of a function g(x, y) where the orientation of S is chosen to point upward. Then the surface integral of the vector eld F (x, y, z) = P (x, y, z)i + Q(x, y, z)j + T (x, y, z)k over the oriented surface S is equal to a double integral over the region R in the xy plane: F .n dS =
S R
g g Q + T dA x y
Example 1.92. Evaluate the surface integral (xi + yj + zk).n dS

S
where S is the part of the paraboloid z = 1 x2 y2 that lies above the plane z = 0. Assume S has an upward orientation. Answer: Note that the paraboloid z = 1 x2 y 2 intersects the plane z = 0 where 1 x2 y 2 = 0 that is, the paraboloid intersects the plane z = 0 at the circle x2 + y 2 = 1.
From the diagram, we see that the surface S is the image of the region R: x2 + y 2 1
in the graph of the function g(x, y) = 1 x2 y 2. The components of the given vector eld are P (x, y, z) = x Q(z, y, z) = y T (x, y, z) = z and therefore from Lemma 1.91 the surface integral of the given vector eld over the oriented surface S is g g Q + T dA P (xi + yj + zk).n dS = y x R S =
R
( x( 2x) y( 2y) + z)dA x( 2x) y( 2y) + 1 x2 y 2 dA
=
R
55
because z = 1 x2 y2. Hence (xi + yj + zk).n dS =

S R
1 + x2 + y 2 dA
where the region R is the unit disc
and so we convert to polar coordinates (xi + yj + zk).n dS =

S R 2 1 0
1 + x2 + y2 dA 1 + r 2cos2 + r2sin2 rdrd

1 0 2
=
0 2
=
0
(1 + r 2)rdr d
1
=
0 2
r2 r4 + 2 4 3 d 4
d
0
= = 3 . 2
0
56
Vector Calculus
1.7 Triple integrals and Divergence theorem

1.7.1 Triple integrals
Denition 1.93. Let B be a rectangular box in three dimension dened by B = {(x, y, z)| a x b, c y d, r z s}. x b, c y d and r
Divide the rectangular box B into suboxes by partitioning the intervals a z s: a = x0 < x1 < c = y0 < y1 < r = z 0 < z1 < and dene the subbox Bijk as Bijk = {(x, y, z)|xi1 x xi , yj 1 y yj , zk1 y < xm = b < yn = d < zl = s
zk }
Choose points (xijk , yijk , zijk) in each subbox Bijk . Let Vijk denote the volume of the subrectangle Bijk and let P denote the length of the longest diagonal of all subboxes (note that as we take smaller subboxes of B we have that P 0). Then the triple integral of the function f (x, y, z) over the rectangular box B is dened to be the limit m n l f (xijk , yijk , zijk )Vijk i=1 j =1 k=1
f (x, y, z)dV = lim

B
P 0
if this limit exists. The above denition is not usually used to evaluate triple integrals. The method of evaluating triple integrals over rectangular boxes is based on the following theorem. Theorem 1.94. (Fubinis Theorem for triple integrals) If the function f (x, y, z) is continuous at each point in a rectangular box then
B
B = {(x, y)| a f (x, y, z)dV =

a
x
b c
b, c
d r s
d, r
s} (1.16)
f (x, y, z)dz dy dx.
From the above theorem we see that the evaluation of a triple integral requires two instances of partial integration.
57
Example 1.95. Evaluate the triple integral xyz 2 dV where B is the rectangular box B = {(x, y, z)| 0 x
B
1, 1
2, 0
3}.
Answer: By Fubinis Theorem for triple integrals xyz 2 dV =

B 1 0 1 2 1 2 1 2 1 2 1 0 3 0 3
xyz 2 dz dy dx xyz 2 dz
z=3
=
0 1
dy dx
=
0 1
xyz 3 3
dy dx
z=0
=
0 1
9xy dy dx 9xy 2 2
y=2
=
0 1
dx
y=1
27x dx 2 0 1 27x2 = 4 0 27 = 4 = We also wish to evaluate triple integrals over cylindrical solids that are centered around the z axis. The following diagram illustrates the solid V = {(x, y, z)| x2 + y 2 that is bounded by the cylinder x + y
2 2 2
a 2, m
l}
a and the horizontal planes z = l, z = m.
If we use the tranformation x = r cos y = r sin z=z then the set V can be rewritten in cylindrical coordinates (r, , z) V = {(r, , z)|0 r a, 0 2, m z l}.
58
Vector Calculus
Theorem 1.96. If the function f (x, y, z) is continuous at each point in a cylindrical solid V = {(x, y, z)| x2 + y 2 then by converting to cylindrical coordinates
2 a 0 l
a 2, m
l}
f (x, y, z)dV =
V 0 m
f (r cos, r sin, z)rdz dr d.
1.7.2 Divergence theorem

Theorem 1.97. (Divergence theorem) Let E be a solid region whose boundary surface S has a outward orientation. Let F be a vector eld whose component functions have continuous partial derivatives on an open region that contains E. Then F .n dS =
S E
div(F )dV
Note that the Divergence theorem states that a surface integral over a surface S that encloses a solid region E may be obtained by evaluating a triple integral the solid E. We illustrate the Divergence theorem by the following examples. Example 1.98. Verify the Divergence theorem for the vector eld F F (x, y, z) = 3xi + xyj + 2xzk and the solid region E that is the cube bounded by the six planes x=0 y=0 z=0 x = 1 y = 1 z = 1. Answer: We evaluate the surface integral (3xi + xyj + 2xzk).n ds and the triple integral
S
div(3xi + xyj + 2xzk)dV .

E
and verify that these are equal. The solid cube E
has boundary surface S consisting of the six truncated planes S1, S2, S3, S4, S5 and S6
59
Figure 1.11.
and each of these six planes has an orientation that points out of the solid E. We rst evaluate the triple integral div(3xi + xyj + 2xzk)dV =
E E
(3x) + (xy) + (2xz) dV x y z (3 + x + 2x) dV
=
E 1 1 0
=
0 1 1 0
(3 + 3x) dzdydx [3z + 3xz]z=0

1 z=1
(by Theorem 1.94)
=
0 1 0
dydx
=
0 1 0
(3 + 3x)dydx [3y + 3xy] y=0

1 y=1
=
0
dx
=
0
(3 + 3x) dx 3x2 2
x=1 x=0
= 3x + 9 = 2
Next we evaluate the surface integral of F over S. As the surface S consists of S1, S2, S3, S4, S5 and S6 we have F .n dS =
S S1
F .n dS +
S2
F .n dS +
S3
F .n dS (1.17) F .n dSs
S6
+
S4
F .n dS +
S5
F .n dS +
F .n dS on the right hand side of (1.17) is evaluated by rst expressing Si as paraand each Si metric surface r(u, v) and then using the denition of a surface integral F .n dS=
Si R
F (x(u, v), y(u, v), z(u, v)).(ru rv ) dA.
(1.18)
Note that we should choose each parametrization r(u, v) of Si such that the normal vector ru rv has the same direction with the outward normal vector of Si as shown in Figure 1.11 (if the normal F .n ds on vector ru rv is in the opposite direction of the outward normal vector of Si then Si the right hand side of (1.17) should be adjusted by a minus sign).
60
Vector Calculus
S1 A parametrization for S1 is r(u, v) = vi + j + uk where R is the rectangular region (u, v) R
Figure 1.12.
The vectors ru and rv are ru = rv = and x y z i + j + k = 0i + 0j + k u u u x y z i + j + k = i + 0j + 0k v v v ru rv = k i i j k = 0 0 1 1 0 0 = j. Notice that the normal vector ru rv = j points in the the same direction with the outward normal vector of S1 as shown in Figure 1.11. Using (1.18) (3xi + xyj + 2xzk).n dS =
S1 R
(3vi + vj + 2uvk).(ru rv) dA (3vi + vj + 2uvk).(j) dA
=
R
=
1 R
v dA
1
=
0 1 0
v dv du v2 2 1 du 2
1
(by Theorem 1.61)
=
0 1
du
0
= = and therefore 1 2
0
F .n dS =
S1
1 2
61
S2 A parametrization for S2 is r(u, v) = ui + 0j + vk (u, v) R (1.19)
where R is the rectangular region shown in Figure 1.12. Notice the dierence with the parametrization for S1 the i and k components are exchanged. This causes the normal vector ru rv to point in the opposite direction y z x ru = i + j + k = i + 0j + 0k u u u rv = and ru rv = i k i j k = 1 0 0 0 0 1 = j. The parametrization (1.19) is chosen so that the normal vector ru rv = j points in the the same direction with the outward normal vector of S2 as shown in Figure 1.11. Using (1.18) (3xi + xyj + 2xzk).n dS =
S2 R
x y z i + j + k = 0i + 0j + k v v v
(3ui + 0j + 2uvk).(ru rv) dA (3ui + 0j + 2uvk).( j) dA 0 dA

1
=
R
=
1 R
=
0 0
0 dv du
=0 and therefore F .n dS = 0
S2
S3 A parametrization for S3 is r(u, v) = i + uj + vk (u, v) R
where R is the rectangular region shown in Figure 1.12. The vectors ru and rv are ru = rv = and ru rv = j k i j k = 0 1 0 0 0 1 = i. x y z i + j + k = 0i + j + 0k u u u x y z i + j + k = 0i + 0j + k v v v
62
Vector Calculus
The surface integral is (3xi + xyj + 2xzk).n dS =

S3 R
(3i + uj + 2vk).(ru rv) dA (3i + uj + 2vk).(i) dA
=
R
=
1 R
3 dA
1
=
0 0
3 dv du
S3
S4 A parametrization for S4 is r(u, v) = 0i + vj + uk (u, v) R
where R is the rectangular region shown in Figure 1.12. The vectors ru and rv are ru = rv = and ru rv = i k i j k = 0 0 1 0 1 0 = i. The surface integral is (3xi + xyj + 2xzk).n dS =
S4 R
y z x i + j + k = 0i + 0j + k u u u x y z i + j + k = 0i + j + 0k v v v
(0i + 0j + 0k).(ru rv) dA (0i + 0j + 0k).( i) dA 0 dA

1
=
R
=
1 R
=
0 0
0 dv du
S4
S5 A parametrization for S5 is r(u, v) = ui + vj + 1k (u, v) R
where R is the rectangular region shown in Figure 1.12. The vectors ru and rv are ru = rv = y z x i + j + k = i + 0j + 0k u u u x y z i + j + k = 0i + j + 0k v v v
63
and ru rv = i j i j k = 1 0 0 0 1 0 = k. The surface integral is (3xi + xyj + 2xzk).n dS =

S5 R
(3ui + uvj + 2uk).(ru rv) dA (3ui + uvj + 2uk).(k) dA
=
R
=
1 R
2u dA
1
=
0 0
2u dv du
S5
S6 A parametrization for S6 is r(u, v) = vi + uj + 0k (u, v) R
where R is the rectangular region shown in Figure 1.12. The vectors ru and rv are ru = rv = and ru rv = j i i j k = 0 1 0 1 0 0 = k. The surface integral is (3xi + xyj + 2xzk).n dS =
S6 R
x y z i + j + k = 0i + j + 0k u u u y z x i + j + k = i + 0j + 0k v v v
(3vi + uvj + 0k).(ru rv ) dA (3vi + uvj + 0k).( k) dA
=
R
=
1 R
0 dA
1
=
0 0
0 dv du
S6
64
Vector Calculus
So we have F .n dS =
S S1
F .n dS +
S2
F .n dS +
S3
F .n dS F .n dS
S6
+
S4
F .n dS +
S5
F .n dS +
Hence we have
1 +0+3+0+1+0 2 9 = . 2 F .n dS =
S E
div(F )dV =
9 2
which veries the Divergence theorem.
F .n d S One application of the Divergence theorem is in the evaluation of surface integrals S where S is the boundary surface of a solid region E. As we saw in the previous example, the evaluation of such surface integrals can be tedious. It is sometimes easier to calculate the corresponding div(F )dV ; by the Divergence theorem triple integral E F .n dS =
S E
div(F )dV
this gives the answer of the required surface integral.
Example 1.99. Use the Divergence Theorem to evaluate the surface integral (yezi + y2 j + cos (xy)k).n dS
S
where S is the surface of the solid bounded by the cylinder x2 + y 2 = 9 and the planes z = 0 and z = 2. Answer: The closed cylinder S below
encloses the solid region E = {(x, y, z)|x2 + y 2 9 and 0 z 2} From the Divergence Theorem F .ndS =
S E
divF dV
65
we have that our required surface integral I can be expressed as a triple integral I=
S
(yez i + y 2 j + cos(xy)k).n dS =
E
(yez ) + (y 2) + (cos(xy)) dxdy dz y z x 2y dxdy dz
=
E
From Theorem 1.96 we can convert to cylindrical coordinates I=

2 E
2y dxdy dz
3 0 2
=
0 2 0 3
2r sin r dzdrd 2r 2sinz

z=2 z=0
=
0 2 0 3 0 2
drd
=
0
4r2sindrd
r=3
=
0 2
4r3sin 3 36 sind
d
r=0
=
0
and so the surface integral

S
=0 (yez i + y 2 j + cos(xy)k).n dS = 0.
Chapter 2 Laplace transforms

The Laplace transform changes a function y(t) in the t variable to a corresponding function Y (s) in the new independent variable s.
The Laplace transform provides a method of solving dierential and integral equations by converting these to algebraic expressions as we shall see in the following sections.
2.1 Denition and existence of Laplace transforms

2.1.1 Improper integrals
Recall that a denite integral has two nite limits of integration
b
f (t)dt.
a
If we require that one of these limits of integration be then we need an improper integral Denition 2.1. The improper integral
g(t)dt
R
(2.1)
is dened as the limit

a
g(t)dt = lim
g(t)dt.
a
(2.2)
The improper integral (2.1) is said to converge if the limit of (2.2) exists and is nite. Otherwise the improper integral is said to diverge. Example 2.2. Determine if the following improper integrals converge or diverge i. ii.
1 1
e t dt et dt
Answer: i. 1 e t dt=limR
R 1
et dt
R 1
=limR 1
et
=limR e1 eR =limR e1 limR eR = e1 limR eR (as e1 is a constant) 1 =e (eR 0 as R ) 67
68
Laplace transforms
and therefore
e t dt converges. Note by dention of the improper integral

1
e t dt =e1.
ii.
e t dt=limR
R t e dt 1 R =limR et 1 =limR eR e =limR eR limR = limR eR e
e (as e is a constant) (eR as R )
and therefore
e t dt diverges.

e t dt and 1 e t dt respecThe shaded areas of the graphs below represent the integrals of 1 tively. Notice that the shaded area in the both graphs increase as t increases, however the rate at which the area in the rst graph increases is much smaller than the rate at which the area in the t e dt diverges. second graph increases. This should suggest that 1
Figure 2.1.
Notice in the above graph that et tends to zero as t gets larger, in other words
t
lim et = 0,
also notice that et does not tend to zero as t gets larger

t
lim et = .
1
From Example 2.2 we saw that seem that if
etd t converges and lim g(t) =

a
etd t diverges. Therefore it would
then g(t)dt
diverges. This is in fact the case, we state this fact formally: Lemma 2.3. If limt g(t) = then the improper integral
a
g(t)dt diverges.
2.1 Definition and existence of Laplace transforms
69
Proof. (Not required). The limt g(t) is if, by denition, given any K > 0 there exists a t value t0 such that g(t) K for all t > t0. Fix such a K and t0. Then
R R t0 R
lim
g(t)dt = lim
a t0
g(t)dt +
a R t0
g(t)dt g(t)dt
=
a t0
g(t)dt + lim
t0 R
g(t)dt + lim
a t0
Kdt
t0
because g(t)
=
a
g(t)dt + lim (KR Kt0)

R
= and hence
a
g(t)dt diverges.
2.1.2 Denition and examples of Laplace tranform

Denition 2.4. The Laplace transform of the function y(t), denoted by L[y(t)], is L[y(t)] =
0
e sty(t)dt
(2.3)
and is dened for those values of s for which the improper integral (2.3) converges. Note that L[y(t)] is a function of s and we denote L[y(t)] = Y (s). Example 2.5. Use the denition of the Laplace transform to determine L[ekt] where k is a real constant.
0
L[ekt] = =
e s t ektdt e (sk )t dt
R 0 R
(2.4)
= lim and when s = k we have

R R
e (sk )t dt 1dt
0
lim
e (sk )t dt = lim
R
= lim R = and therefore L[ekt] does not exist for s = k. Now consider when s
R R
(2.5)
k
R
lim
e (sk )t dt = lim = lim =
e (sk )t (s k)
e (sk )R 1 lim sk sk R
1 e (sk )R sk sk
70
Laplace transforms
From the graphs of Figure 2.1 we see that and in general

R
lim eR = 0 and lim eR =

R
lim
eaR =
0 0
if a < 0 if a > 0
(2.6)
that is, limR e aR depends only on the sign of a. Hence lim e (sk )R = L[ek t] = if (s k) < 0 if (s k) > 0 (2.7)
and therefore
1 e (sk )R lim sk sk R 1 1 lim e (sk )R = s k R sk 1 sk
(2.8)
and from (2.7) the limit in (2.8) is zero only when s > k. So we have L[ekt] = and this holds only when s > k. (2.9)
Note by setting k = 0 in (2.9) we get L[1] = 1 s when s > 0. (2.10)
Example 2.6. Use the denition of the Laplace transform to show that L[sin kt] = when s > 0. Answer: L[sin kt] =
0
k s2 + k 2
e st sin ktdt
R 0
= lim Using the integration by parts formula

b
e s t sin kt dt.
with
v du = [ uv ] b a
u dv
a
gives
R 0
du = est dt est dv = k cos kt dt u= s v = sin kt e st sin kt dt = estsin kt s

R
+
0
k s
R 0
e st cos kt dt
(2.11)
Integrate
R 0
e st cos kt by parts again with v = cos kt du = est dt est u= s

R 0
to get
R 0
dv = k sin kt dt e st cos kt dt = estcos kt s
k s
R 0
e st sin kt dt.
(2.12)
71
Substituting (2.12) into (2.11) gives

R 0
e st sin kt dt =
R 0
es tsin kt s
R 0
k s
es tcos kt s
R 0
k2 s2
R 0
e st sin kt dt.
(2.13)
and solving for
e st sin kt dt in (2.13) gives

R 0
s2 + k 2 s2
e st sin kt dt =
1 st e sin kt s
R 0
k st e cos kt s2
R 0
(2.14)
and evaluating the right side of (2.14) using the limits of integration gives s2 + k 2 s2
R 0
k k 1 e st sin kt dt = esRsin kR 2 es Rcos kR + 2 s s s
(2.15)
and taking the limit limR of both sides of (2.15) we have s2 + k 2 lim s2 R Notice as 1
R 0
e st sin kt dt = lim 1 implies that esR lim esR

R
k k 1 esRsin kR 2 es Rcos kR + 2 s s s
(2.16)
sin kR
esRsin kR
esR lim esR (2.17)
and taking limits gives
lim esRsin kR
Now from equation (2.6) above if s > 0 (and only if s > 0) then
R
lim esR = 0.
So when s > 0 the inequality (2.17) simplies to 0 and therefore

R R
lim
esRsin kR
0 (2.18)
lim esRsin kR = 0 .
Similarly one can show when s > 0 that

R
lim esRcos kR = 0,
(2.19)
and substituting (2.18) and (2.19) into the right side of (2.16) we have s2 + k 2 lim s2 R lim
R 0 R R 0
e st sin kt dt = e st sin kt dt = k s2 + k 2
k s2 k s2 + k 2
L[sin kt] =
when s > 0.
Example 2.7. Use the denition of the Laplace transform to show that when n = 0, 1, 2, L[tn] = when s > 0. n! sn+1 (2.20)
72
Laplace transforms
Answer: From (2.10) we know that 1 s 0! 0 L[t ] = 0+1 s L[1] =

0 R
when s > 0 when s > 0
and so (2.20) holds when n = 0. We therefore need to consider when n = 1, 2, 3, L[tn] = e st tn dt e st tn dt.
= lim Using the integration by parts formula with v = tn
dv = ntn1 dt gives
R 0
du = est dt est u= s
R
e st tn dt =
esttn s
+
0
n s
R 0
e st tn1 dt.
(2.21)
Taking the limit limR of both sides of (2.21) we have

R R
lim
e st tn dt = lim
esttn s
+
0
n lim s R
R 0
e st tn1 dt
and by using the denition of the Laplace transforms L[tn] and L[tn1] we have L[tn]= lim Now
R
esttn s
R
R 0
n + L[tn1]. s esRRn s Rn sesR
(2.22)
lim
esttn s
= lim
0
= lim
and this limit is of the indeterminate form . Applying LHospitals rule by dierentiating the numerator and denominator n times with respect to R, we have lim Rn sesR = lim
R
=0 and therefore
R
n! sn+1esR when s > 0 when s > 0 . (2.23)
lim
esttn s
=0
0
Substituting (2.23) into (2.22) gives the formula n L[tn]= L[tn1] s valid for n = 1, 2, 3, and s > 0. (2.24)
Notice that by replacing n by n 1 in (2.24) we have L[tn1]= n 1 n2 L[t ] s (2.25)
73
and similarly by replacing n with n 2, n 3, L[tn2]=
, 2, 1 in (2.24) we have, respectively,
n 2 n3 L[t ] s n 3 n4 L[t ] L[tn3]= s 2 L[t2]= L[t1] s 1 0 L[t]= L[t ] s
(2.26)
Finally we get (2.20) by using the equations (2.25) and (2.26) to express L[tn] in terms of L[t0] = L[1] = : n L[tn]= L[tn1] s = n n 1 n2 L[t ] s s n n 1 n 2 n3 = L[t ] s s s = n n1 n2 s s s n n1 n2 = s s s n! 0 = n L[t ] s n! = n+1 s 2 1 L[t ] s 21 0 L[t ] s s from (2.24)
1 s
from (2.25)
which is our desired result.
2.1.3 Existence of Laplace transform

In Examples 2.5, 2.6 and 2.7 we were able to determine the Laplace transforms of the functions ekt , sin kt and tn respectively. We also showed that the Laplace tranforms of those functions existed for only certain value of s: y(t) L[y(t)] Laplace tranform exists when 1 kt e s>k sk k sin kt s>0 2 + k2 s n! tn s>0 sn+1 We now give an example of a function that does not have a Laplace tranform for any value of s.
2 Example 2.8. Show that the Laplace transform of et does not exist for any real value of s.
Answer: Recall that from Denition 2.4 L[et ], given by: L[et ] =
0
2
e st et dt
(2.27)
is dened only for those values of s for which the improper integral on the right converges. Fix any value of s. If we can show that for this value of s
t
lim
e st et =
74
Laplace transforms
then by Lemma 2.3 the improper integral

0
e st et dt
(2.28)
does not converge for this xed value of s. And if (2.28) does not converge for any such xed s then 2 L[et ] does not exist for any s. So we consider (2.27)
t 2
lim
e st et = lim et st
t
and for xed s, t st is an increasing quadratic function in t which implies t2 st goes to innity as t and therefore which is our desired result.
t
lim
e st et = lim et st =
t
(2.29)
In Example 2.29 we saw that the Laplace transform of

t
2 lim et st = .
et did not exist because

(2.30)
for any value of s. Equation (2.30) is equivalent to
et lim st = t e
2 which indicates that the function et is much larger than est for large values of t as we can see in the following graph when s = 1.
60 50 40 30 20 10 0 0 0.5 1 1.5
et
et
2
2
Example 2.29 indicates that a function such as et that is much larger than the standard exponential function est as t does not have a Laplace transform. On the other hand functions that are comparable (in the sense that they are less than or equal to) to exponential functions will have Laplace transforms2.1 as we shall see in Theorem 2.15. The precise phrase for a function being comparable to an exponential function is that the function is of exponential order. Denition 2.9. A function y(t) is of exponential order if there exist constants A, b and a t value t0 such that |y(t)| < Aebt when t Example 2.10. Show that y(t) = t3 is of exponential order.
2.1. Provided such functions satisfy certain continuity conditions.
t 0.
75
Recall that et has a Taylor series expansion about t = 0, that is et =

m=0
tm m! t2 t3 t4 + + + 2 6 24 t2 t3 t4 + + + 6 24 2
=1+t+ and clearly when t 0
t3 < 6 1 + t + = 6et and as |t3| = t3 when t 0 we have
|t3| < 6et when t
and hence t3 is of exponential order where the constants of Denition 2.9 are A = 6, b = 1 and t0 = 0. We shall need the following denition Denition 2.11. A function y(t) is piecewise continuous on a nite interval a interval i. y(t) is dened and takes nite value at each point and ii. y(t) only has a nite number of discontinuities. t b if on this
Example 2.12. The function t 1 y(t) = t2 2 12 t 3 t<2 t<3 t 4
is piecewise continuous on 1
t
10 8 6 4 2 0
4 as we can see from its graph
that y(t) has one point of discontinuity at t = 2 and is dened and nite everywhere on 1 Example 2.13. Find
4 1
4.
y(t)dt of the function y(t) dened in Example 2.12.
The integral of a piecewise dened function is computed by adding the integrals of each of the intervals
4 2 3 4
y(t)dt=
1 1 2
y(t)dt +
3 2
y(t)dt + t2 dt +
3 4 3
y(t)dt
=
1
t dt +
2
(12 t )dt
3 19 17 49 + + = 2 3 2 3
76
Laplace transforms
To nd the Laplace transform of a piecewise dened function y(t) such as the one dened in Example 2.12, we use the same procedure of adding the integral over each interval as done in Example 2.13 : Example 2.14. Sketch the graph of the following function 0 t<1 0 y(t) = t 1 t<2 0 t 2 and determine L[y(t)]. Answer: The graph of y(t) is
4 3 2 1 0 1 2
0
By denition L[y(t)] =
e sty(t)dt
Now as y(t) is a piecewise-dened dened function, it follows that e sty(t) is also piecewise-dened: 0 0 t<1 st e y(t) = e stt 1 t<2 0 t 2 and
e sty(t)dt= =
e sty(t)dt +
2
e sty(t)dt +
2
e sty(t)dt
0dt +
0 2 1 2 1
e sty(t)dt +
0 dt
=0+ =
1
e sttdt + 0
e sttdt
and using integration by parts with v=t dv = 1 dt we have

2 1
du = est dt est u= s
e s tt dt =
and therefore
est t 2 1 2 st + e dt s 1 s 1 est 2 est t 2 + = s2 s 1 1 1 1 s 1 2 2s = 2+ e 2+ e s s s s 1 1 s + e s2 s 1 2 2s + e . s2 s
L[y(t)] =
77
We now state a theorem that guarantees the existence of the Laplace transform of functions that are of exponential order and that are piecewise continuous. Theorem 2.15. (Existence) Let y(t) be a function such that |y(t)|<A ebt when t t0 for some constants A, b and t0 (that is, y(t) is of exponential order). Also let y(t) be piecewise continuous on any nite interval c1 t c2 where c1, c2 0. Then the Laplace transform of y(t) exists for s > b. Proof. Not required. Example 2.16. Show that the following functions are of exponential order and hence use Theorem 2.15 to prove that their Laplace transforms exist.2.2 i.
e5t
0 1 t<1 t<2 t 2
ii. sin 2t
0 iii. y(t) = t 0
Answer: i.
|e5t |<1.e5t for t 0 and so the constants of Denition 2.9 are A = 1, b = 5 and t0 = 0. e5t is a
function that is continuous everywhere (see the graph on Figure 2.1) and is hence continuous on every nite interval and is therefore piecewise continuous on every nite interval . So by Theorem 2.15 the Laplace transform of e5t exists for s > 5, a fact we already know from Example 2.5.
ii. |sin 2t| < 2 = 2e0t for t 0 and so A = 2, b = 0 and t0 = 0. sin 2t is continuous everywhere and is therefore piecewise continuous on every nite interval. So by Theorem 2.15 the Laplace transform of sin 2t exists for s > 0, which we already know from Example 2.6. iii. From the graph of y(t) in Example 2.14 we see that |y(t)| < 2 for t 0 and therefore |y(t)| < 2 = 2e0t for t 0 and so A = 2, b = 0 and t0 = 0. If we consider any nite interval c1 t c2 where c1, c2 0 then y(t) has at most two points of discontinuity in the interval c1 t c2 depending on whether or not x = 1, 2 lie in the interval c1 t c2. Hence y(t) is piecewise continuous on every nite interval. By Theorem 2.15 the Laplace transform of y(t) exists for s > 0.
Remark 2.17. It is possible to obtain the Laplace transform of functions that do not satify the hypotheses of Theorem 2.15, for example
1 2.3 and the Dirac delta function considered later. The t
main use of Theorem 2.15 is to guarantee the existence of the Laplace transform of standard functions such as ekt , cos kt, sinh kt, t5 + 4t3 3t + 1 and piecewise functions such as those in Examples 2.12 and 2.14.
2.2. Assume that we do not know the Laplace transforms of these functions have not been determined in Examples 2.5, 2.6 and 2.14. Note we do not actually nd Laplace transforms by Theorem 2.15, we just show that the transform exists. 2.3. See Kreyszig [2] Section 6.1
78
Laplace transforms
2.2 Properties of Laplace transforms

2.2.1 Linearity property
The Laplace transform has the linearity property Theorem 2.18. Let y1(t) and y2(t) be functions whose Laplace transforms exist and let c1 and c2 be scalars. Then L[c1 y1(t) + c2 y2(t)] = c1L[y1(t)] + c2L[y2(t)]. Proof. Using the denition of the Laplace transform L[c1 y1(t) + c2 y2(t)] =
0
est c1 y1(t) + c2 y2 dt
= c1
0
esty1(t)dt + c2
0
esty1(t)dt
= c1L[y1(t)] + c2L[y2(t)] Example 2.19. Use the linearity property of the Laplace transform to determine i. L[t2 + 3t + 2] ii. L[cosh kt] where k is a real constant. Answer: i. L[t2 + 3t + 2] = L[t2] + 3L[t] + 2L[1] 1 1 2 = 3 +3 2 +2 s s s 3 2 2 = 3+ 2+ s s s ii. By denition cosh kt = ekt + ekt therefore 2 L[cosh kt] = L ekt + ekt 2 1 1 = L[ek t] + L[ek t] 2 2 1 1 1 1 = + 2 s+k 2 sk 1 (s k) + (s + k) = (s + k)(s k) 2 s = 2 s k2
2.2.2 The inverse Laplace transform

In the above sections, we saw that the Laplace transform changes a function y(t) in the t variable to a function L[y(t)] = Y (s) in a new independent variable s. We now consider the reverse problem Denition 2.20. Given some function Y (s), if there exists a function y(t) such that L[y(t)] = Y (s) then we call y(t) the inverse Laplace transform of Y (s) and write L1[Y (s)] = y(t). Example 2.21. Find the inverse Laplace transform of Y (s) = s2 + 4 .
2
79
Answer: This is done by recognizing the form of the function Y (s). We recognize that L[sin kt] = and therefore L[sin 2t] = k s2 + k 2 2 s2 + 4
hence by the denition of the inverse Laplace transform L1 2 s2 + 4 = sin 2t.
A useful fact is that the inverse Laplace transform has the linearity property Lemma 2.22. Let Y1(s) and Y2(s) be functions whose inverse Laplace transforms exist. Then for any scalars c1, c2 L1[c1Y1(s) + c2Y2(s)] = c1L1[Y1(s)] + c2L1[Y2(s)]. Proof. Let the inverse Laplace transforms of Y1(s) and Y2(s) be y1(t) and y2(t) respectively, that is L1[Y1(s)] = y1(t), L1[Y2(s)] = y2(t). (2.31)
Then by the denition of the Laplace inverse transform L[y1(t)] = Y1(s), L[y2(t)] = Y2(s) (2.32)
and using the linearity property of the Laplace transform L[c1 y1(t) + c2 y2(t)] = c1L[y1(t)] + c2L[y2(t)]. By substituting (2.32) we get L[c1 y1(t) + c2 y2(t)] = c1Y1(s) + c2Y2(s) and using the denition of the inverse transform c1 y1(t) + c2 y2(t) = L1[c1Y1(s) + c2Y2(s)]. Finally, using (2.31) we have c1L1[Y1(s)] + c2L1[Y1(s)] = L1[c1Y1(s) + c2Y2(s)].
Example 2.23. Find the inverse Laplace transform of Y (s) = s2 9 By the linearity property of the inverse Laplace transform L1[Y (s)] = L1 = L1
s 2 11 + + s2 9 s4 s2 + 5
+ s4 + s2 + 5 .
11
s 11 2 + L1 4 + L1 2 2 s2 9 s s + ( 5)
(2.33)
and we showed in previous examples that y(t) cosh kt tn sin kt L[y(t)] s s2 k 2 n! sn+1 k s2 + k 2
(2.34)
80
Laplace transforms
We use the linearity property again to rewrite the constants of (2.33) L1[Y (s)] = L1
s 11 2 + L1 4 + L1 2 2 s2 9 s s + ( 5) 3! 5 s 2 11 = L1 2 2 + L1 4 + L1 2 2 s s 3 3! 5 s + ( 5)
so that the functions inside the square brackets of L1[ table (2.34) and hence we have
] match those in the right column of the
1 11 L1[Y (s)] = cosh 3t + t3 + sin( 5 t). 3 5
The following well-known result on partial fractions is useful when nding inverse transforms: Lemma 2.24. p(s) (Partial Fraction Expansion)Let be a ratio of polynomials with real coecients. If the q(s) denominator q(s) factors as q(s) = k(s a1)n1(s a2)n2 (s ak)nk(s2 + b1s + c1)m1 (s2 + b js + c j )m j where the quadratic factors are irreducible then the following identity holds A1,1 A1,2 A1,n1 p(s) + + + 2 q(s) s a1 (s a1) (s a1)n1 A2,1 A2,2 A2,n2 + + + + 2 (s a2)n2 s a2 (s a2) Ak,1 Ak,2 A2,nk + + + 2 (s ak)nk s ak (s ak) B1,m1s + C1,m1 B1,1s + C1,1 B1,2s + C1,2 + 2 + + (s2 + b1s + c1)m1 s + b1s + c1 (s2 + b1s + c1)2 + Bj ,1s + C j ,1 Bj ,2s + C j ,2 + 2 + 2+b s+c s (s + b js + c j )2 j j + R(s) + Bj ,mjs + C j ,mj (s2 + b js + c j )mj (2.35)
where R(s) is a polynomial that is equal to zero if the degree of the polynomial p(s) is less than the degree of the polynomial q(s) and Ar,s , Br,s and Cr,s are real constants for all subscripts r, s. Proof. Not required. Example 2.25. The partial fraction expansion of
2s2 + 5s + 1 takes the form (s 1)(s + 2)2(s 5)3(s2 + 1)(s2 + 9)2
A B C 2s2 + 5s + 1 + + (s 1)(s + 2)2(s 5)3(s2 + 1)(s2 + 9)2 s 1 s + 2 (s + 2)2 D E F + + + s 5 (s 5)2 (s 5)3 Gs + H Is + J Ks + L + 2 + 2 + s +1 s + 9 (s2 + 9)2 where A, B, C , D, E , F , G, H , I , J , K and L are constants to be determined.
81
Example 2.26. Find the inverse Laplace transform of Y (s) =
s2 s + 9 . s3 + 9s
As it is, we do not immediately recognize the expression s3 + 9s as the Laplace transform of a function that we know. So we use partial fractions to write s3 + 9s do recognize. We rst factorize the denominator s2 s + 9 s2 s + 9 = s3 + 9s s(s2 + 9) then by the formula (2.35) the partial fraction expansion in this case is s2 s + 9 A Bs + C + 2 s(s2 + 9) s s +9 where A, B and C need to be determined. We do this by rst clearing denominators s2 s + 9 A(s2 + 9) + s(Bs + C). (2.36)
s2 s + 9
s2 s + 9
as a sum of expressons in s that we
We need to nd three constants (namely A, B and C) so shall need three equations with variables A, B and C which may be obtained by either substituting values for example putting s = 0 into (2.36) gives 9 = A(0 + 9) + 0(B.0 + C) A=1 comparing coecients of like powers rearranging the right side of (2.36) gives s2 s + 9 (A + B)s2 + Cs + 9A and comparing the coecients of s2 in (2.37) gives A + B = 1, while comparing the coecients of s gives C =1 and therefore we have three equations in the variables A, B and C A=1 A+B =1 C =1 and solving these give A = 1, B = 0 and C = 1. Hence L1[Y (s)] = L1 = L1 = L1 = L1 =1 s2 s + 9 s(s2 + 9) 1 1 s s2 + 9 1 1 L1 2 s +9 s 1 3 1 L1 2 s s +9 3 (2.37)
which is our answer.
1 sin(3t) 3
82
Laplace transforms
2.2.3 Shifting the s variable; shifting the t variable

Given a function f (x), recall that the graph of the function f (x a) is shifted horizontally by a units. If a > 0 then this horizontal shift is to the right; else if a < 0 the shift is to the left. The following graph is an example of a shift to the right when f (x) = sin(x) and a = 2.
1
0.5
sin(x)
0 -2 -1 -0.5 0 1 2 3 4 5 6
-1
sin(x-2)
We consider shifting in the context of Laplace transforms. Recall that the Laplace transform changes functions y(t) in the t variable to corresponding functions Y (s) in the variable s
so we can shift the s variable or shift with respect to the t variable.
Shifting the s-variable

Let Y (s) be a function of s with inverse Laplace transform L1[Y (s)] = y(t). If we shift Y (s) then we obtain a new function Y (s a) in the variable s. The inverse Laplace transform of this new function Y (s a) is related to the inverse transform of Y (s) by the formula L1[Y (s a)] = eatL1[Y (s)]. We state and prove this result in the following Lemma 2.27. Let Y (s) have inverse Laplace transform L1[Y (s)], and let Y (s a) be the function obtained by shifting Y (s). Then L1[Y (s a)] = eatL1[Y (s)]. Proof. Let L1[Y (s)] = y(t). Then L[eaty(t)] = =
0 0
(2.38)
est eaty(t)) dt (2.39) e(sa)ty(t)dt
Y (s) = L[y(t)] and by the denition of the Laplace transform Y (s) =

0
esty(t)dt.
(2.40)
Replacing s by s a on both sides of (2.40) gives Y (s a) =
e(sa)ty(t)dt.
(2.41)
But this is identical to the second integral of (2.39) and therefore L[eaty(t)] = Y (s a) (2.42)
83
which implies L1[Y (s a)] = eaty(t) L1[Y (s a)] = eatL1[Y (s)]. Equation (2.42) above will also be useful so we state it in the following Corollary 2.28. If the function y(t) has Laplace transform Y (s) then L[eaty(t)] = Y (s a). Lemma 2.27 and Corollary 2.28 are particularly useful in nding inverse Laplace transforms. Example 2.29. i. Find L1 s2 2s + 10 ii. Find L1 (s + a)n+1 when n = 1, 2, 3 Answer: i. First complete the square of the quadratic2.4 s2 2s + 10 (s 1)2 + 9. L1 1 1 = L1 . s2 2s + 10 (s 1)2 + 9 1 3 = L1 3 (s 1)2 + 9 L[sin 3t] = shifting this by using (2.42) we have L[etsin 3t] = and therefore L1 3 , s2 + 9
1 1
We need to determine
Notice that this is similar to
3 (s 1)2 + 9
3 1 1 = L1 (s 1)2 + 9 3 s2 2s + 10 1 = etsin 3t. 3 L[tn] = n! when n = 1, 2, 3 sn+1 n! (s + a)n+1
ii. Recall from Example 2.7
From formula (2.42) with a replaced by a L[eattn] =
and from the linearity property of Laplace transforms L[ therefore 1 at n 1 1 e t ] = L[eattn] = n! n! (s + a)n+1 L1 1 1 = eattn. (s + a)n+1 n!
b b2
2.4. The formula for completing the square is ax2 + bx + c a(x + 2a )2 + c 4a
84
Laplace transforms
Shifting the t-variable

When shifting the t variable, a function that is useful is the Heaviside step function. Denition 2.30. The Heaviside step function H(t t0) is dened as H(t t0) = 0 1 when t < t0 . when t t0
0 t0
Figure 2.2. Graph of H(t t0)
Notice that H(t t0) is a piecewise dened function and using the denition of the Laplace transform as in Example 2.14 we can determine L[H(t t0)]. Lemma 2.31. The Laplace transform of the Heaviside step function is L[H(t t0)] = Proof. L[H(t t0)] = =
0 0 t0
est0 . s
estH(t t0)dt est(0)dt +

t0
es t(1)dt
from the denition of H(t t0). Therefore L[H(t t0)] =

t0 R
estdt e st dt est s
R t0
= lim
t0
= lim
R
= lim = e
R st0
s es t0 = s as limR esR = 0.
est0 esR s s es R lim s R
85
Example 2.32. Sketch the graphs of the following functions i. y1(t) = sin t when t 0 2 0 ii. y2(t) = sin (t 2) when t
iii. y3(t) = H(t 2)sin(t 2) when t Answer: The graphs of i) and ii) are
0.5
0.5
0 0 -0.5 1 2 3 4 5
0 0 -0.5 1 2 3 4 5 6 7 8 9
y1(t)
y2(t)
-1
-1
The graph of y2(t) is obtained from y1(t) by shifting 2 units to the right. Notice that y2(t) is not dened for 0 t < 2. y3(t) is the product of functions and we use the following table to determine its graph t interval H(t 2) H(t 2)sin(t 2) 0 t<2 0 0 t 2 1 sin(t 2) so we see that H(t 2)sin(t 2) = 0 sin(t 2) when 0 t < 2 when t 2
and therefore the graph of y3(t) is obtained y1(t) by shifting 2 units to the right and taking the graph to be zero on the interval 0 t < 2. Notice that, unlike y2(t), y3(t) is dened for 0 t < 2 and the answer for part iii) is
1
0.5
0 0 -0.5 1 2 3 4 5 6 7 8 9
y3(t)
-1
We saw in Example 2.32, that H(t 2)sin(t 2) is a t-shift of sin(t 2). Below we give a result that expresses the Laplace transform of a shifted function H(t t0)y(t t0) in terms of the Laplace transform of the original function Theorem 2.33. Let L[y(t)] = Y (s). Then L[H(t t0)y(t t0)] = est0Y (s). Proof. L[H(t t0)y(t t0)] = =
0 0 t0
estH(t t0)y(t t0)dt est(0)y(t t0)dt +

t0
est(1)y(t t0)dt
86
Laplace transforms
from the denition of H(t t0) in Denition 2.30. Therefore L[H(t t0)y(t t0)] =
t0
esty(t t0)dt.
Now use the change of variables T = t t0 in the integral on the right to get L[H(t t0)y(t t0)] =
es(T +t0) y(T )dT

0
= est0
esTy(T )dT
But T is a dummy variable in the above integral that is, the integral takes the same value regardless of the name of the independent variable:
esTy(T )dT =
0
esty(t)dt.
0
Therefore
L[H(t t0)y(t t0)] = est0
esty(t)dt
= es t0L[y(t)] = es t0Y (s) which is the desired result. Using the denition of the inverse Laplace transform and Theorem 2.33 we clearly have Corollary 2.34. Let L[y(t)] = Y (s). Then L1[est0Y (s)] = H(t t0)y(t t0). Example 2.35. Sketch the graph of L1 Answer: Notice that e3s s2 + 1
and by Corollary 2.34
1 e3s st0 . Now Y (s) with est0 = e3s and Y (s) = 2 2 + 1 is of the form e s +1 s 1 y(t) = L1[Y (s)] = sin(t) Y (s) = 2 s +1 L1 e3s = H(t 3)y(t 3) s2 + 1 = H(t 3)sin(t 3) 0 sin(t 3) when 0 t < 3 when t 3
Using the denition of H(t t0) in Denition 2.30 H(t 3)sin(t 3) =
and following Example 2.32 the graph of H(t 3)sin(t 3) is

1
0.5
t
0 0 -0.5 1 2 3 4 5 6 7 8 9
-1
87
2.2.4 Laplace transform of derivatives

The Laplace transform of the derivative y (t) can be expressed in terms of the Laplace transform of the original function y(t). This is essentially done by using integration by parts L[y (t)] =
0 R
esty (t)dt esty (t)dt du = y (t) dt u = y(t)
= lim now let
and so L[y (t)] = lim = lim

R 0 R
v = est dv = sest dt es ty (t)dt

R +s 0 0 R 0
esty(t) e
sR
esty(t)dt
R
(2.43) e
st
= lim =
y(R) e y(0) + s lim
y(t)dt
lim esRy(R) y(0) + sL[y(t)].
and provided limR esRy(R)=0 (as will be the case if y(t) is of exponential order) then we have that L[y (t)] = sL[y(t)] y(0) (2.44)
which expresses the Laplace transform of y (t) in terms of the Laplace transform of y(t). Note that the argument (2.43) is not a proof, we have ignored some continuity issues. The full proof, given in Ramkissoon [1], is not required for this course. We give a statement of the hypotheses required for (2.44) in the following theorem. Theorem 2.36. If y(t) is continuous and of exponential order and y (t) is piecewise continuous on every nite interval then L[y (t)] = sL[y(t)] y(0). Proof. Not required. By two applications of Theorem 2.36 we can determine the Laplace transform of y (t) in terms of the transform of y(t): L[y (t)] = L y (t)) using (2.44) with y replaced by y using (2.44) as it is
= sL[y (t)] y (0) = s (sL[y(t)] y(0)) y (0) which gives us
L[y (t)] = s2L[y(t)] sy(0) y (0)
(2.45)
Similarly, one can apply Theorem 2.36 n times to obtain the Laplace transform of the nth derivative y (n)(t) in terms of the transform of y(t): L[y(n)(t)] = snL[y(t)] sn1 y(0) sn2 y (0) sn3 y (0) sy (n2)(0) y (n1)(0) (2.46)
The formulae (2.45) and (2.46) require certain continuity conditions to hold. We give a statement of these conditions in the following theorem.
88
Laplace transforms
Theorem 2.37. If y(t), y (t), y (t), , y (n1)(t) are continuous and of exponential order and y(n)(t) is piecewise continuous on every nite interval then L[y (n)(t)] = snL[y(t)] sn1 y(0) sn2 y (0) sn3 y (0) Proof. Not required. sy (n2)(0) y (n1)(0).
Example 2.38. Use the formula for the Laplace transform of a derivative to determine i. L[cos(kt)] ii. L[sinh(kt)] Answer: i. Let y(t) = sin(kt). Then y (t) = k cos(kt) and applying Theorem 2.36 we have L[y (t)] = sL[y(t)] y(0) L[k cos(kt)] = sL[sin(kt)] sin(0) kL[ cos(kt)] = sL[sin(kt)] sin(0) where we used the linearity property of Theorem 2.18 to move the k outside of the Laplace transform. Then k kL[ cos(kt)] = s 2 s + k2 as we know L[sin kt] = s2 + k 2 from Example 2.6. Therefore L[ cos(kt)] = s s2 + k 2
k
ii. Recall that the hyperbolic cosine cosh(t) and hyperbolic sine sinh(t) are dened as cosh kt = e kt + ekt 2 e kt ekt sinh kt = 2
(2.47)
and it is easy to check from these denitions that (cosh kt) = k sinh kt , (sinh kt) = k cosh kt cosh(0) = 1 , sinh(0) = 0 Let y(t) = cosh kt. Then y (t) = k sinh(kt) and applying Theorem 2.36 we have L[k sinh(kt)] = sL[cosh kt] cosh(0) and as we know L[cosh kt] = s2 k 2 from Example 2.19 s 1 s2 k 2 s2 (s2 k 2) kL[sinh(kt)] = s2 k 2 kL[sinh(kt)] = s L[sinh(kt)] = k . s2 k 2
s
and so
2.3 Applications and more properties of Laplace transforms
89

2.3.1 Solving dierential equations using Laplace transforms
We can use the results of the previous sections to solve dierential equations, in particular initial value problems, that is, dierential equations with specied initial values. We illustrate the application of Laplace transforms to initial value problems in the following examples. Example 2.39. Solve the dierential equation y 3y + 2y = e3t subject to the initial conditions y(0) = 0, y (0) = 0. Answer: Take the Laplace transform of both sides of the given dierential equation L[y 3y + 2y] = L[e3t] 1 L[y ] 3L[y ] + 2L[y] = s3 Using formulae (2.44), (2.45) for the transform of a derivative we have s2L[y(t)] sy(0) y (0) 3(sL[y(t)] y(0)) + 2L[y(t)] = Substituting the given initial conditions y(0) = 0, y (0) = 0 gives s2L[y(t)] 3sL[y(t)] + 2L[y(t)] = For convenience let L[y(t)] = Y (s) s2Y (s) 3sY (s) + 2Y (s) = Now solve for Y (s) (s2 3s + 2)Y (s) = Y (s) = 1 s3 1 s3 1 s3 (2.48)
1 s3 (2.49)
1 (s2 3s + 2)(s 3)
Our required answer is y(t) = L1[Y (s)]. We use the partial fraction expansion method (as in Example 2.26) to nd the inverse transform of (2.49). We rst factorize the denominator of Y (s) 1 1 = (s2 3s + 2)(s 3) (s 1)(s 2)(s 3) then by the formula (2.35) the partial fraction expansion is A B C 1 + + (s 1)(s 2)(s 3) s 1 s 2 s 3 where A, B and C need to be determined. Clear denominators 1 A(s 2)(s 3) + B(s 1)(s 3) + C(s 1)(s 2) (2.50)
In this case it is easiest to substitute values into (2.50) in order to determine A, B and C. Substituting values s = 1, s = 2 and s = 3 into (2.50) gives
90
Laplace transforms
s=1 1 = A( 1)( 2) + B(0)( 2) + C(0)( 1) 1 A= 2 s=2 1 = A(0)( 1) + B(1)( 1) + C(1)(0) B =1 s=3 1 = A(1)(0) + B(2)(0) + C(2)(1) 1 C= 2 Therefore y(t) = L1[Y (s)] = L1 = L1 = L1 1 (s2 3s + 2)(s 3) 1 (s 1)(s 2)(s 3)
1 2
1 1 1 1 1 L1 + L1 = L1 s2 2 s1 s3 2 1 1 = et e2t + e3t 2 2 and so the solution to this initial value problem is 1 1 y(t) = et e2t + e3t 2 2
s1
( 1) + 2 s2 s3
It is possible to solve the initial value problem of Example 2.39 by other methods of solving dierential equations such as D-operators and power series. One value of using Laplace transforms has over these other methods is that the inhomogeneous term, usually on the right side of the dierential equation (for example the e3t in equation (2.48)) can be a piecewise dened function as we see in the following example. Example 2.40. Solve the dierential equation x (t) + x(t) = F (t) subject to the initial conditions x(0) = 0, x (0) = 1 and where F (t) is the piecewise dened function 1 when 0 t < 2 F (t) = 0 when t 2 L[x + x] = L[F (t)] and so we need to determine L[F (t)]. The graph of F (t) is (2.51)
Answer: Take the Laplace transform of both sides of the given dierential equation
91
11
0 pi/2
One way to determine the Laplace transform of a piecewise dened function is to do so from rst principles, that is, using the denition of the Laplace transform as in Example 2.14. Another way is to use Heaviside functions. Consider the following table t interval 0 t and therefore t< 2 2 H(t ) 1 H(t ) 2 2 0 1 1 0 F (t) 1 0
F (t) = 1 H(t ) 2 L[F (t)] = L 1 H(t ) 2 = L[1] L H(t ) 2 s 2 1 e = s s

s
using Lemma 2.31. Substituting L[F (t)] into (2.51) we have 1 e 2 L[x + x] = s s s 2 1 e L[x ] + L[x] = s s
Using formula (2.45) for the transform of the second derivative we have 1 e 2 s L[x(t)] sx(0) x (0) + L[x(t)] = s s
2 s
Substituting the given initial conditions x(0) = 0, x (0) = 1 gives 1 e 2 s L[x(t)] 1 + L[x(t)] = s s For convenience let L[x(t)] = X(s) s 1e 2 s2X(s) 1 + X(s) = s and solve for X(s) s 1e 2 2 (s + 1)X(s) = +1 s s 1 1e 2 + X(s) = s(s2 + 1) s2 + 1
2 s
(2.52)
At this point we use partial fractions to expand 1e 2 s(s2 + 1)

s
(2.53)
92
Laplace transforms
In this case it may be best to write (2.53) as 1 1e s(s2 + 1) and apply partial fractions to
1 : s(s2 + 1)
s 2
(2.54)
s(s2 + 1)
A Bs + C + 2 s s +1 1 A(s2 + 1) + s(Bs + C) 1 (A + B)s2 + Cs + A A=1 C =0 A+B =0
and by comparing coecients of 1, s and s2 we obtain, respectively, three equations
and so and therefore
1 1 s . s(s2 + 1) s s2 + 1 1 1e s(s2 + 1)
s 2
s 1 s s2 + 1
1e
s
s 2 s
1 s e 2 se 2 = 2 + 2 s s +1 s s +1
and this is the required partial fraction expansion of (2.54). Subtituting this into X(s) in (2.52) we have s s 1 1 s e 2 se 2 X(s) = + 2 + 2 s s + 1 s2 + 1 s s +1 and therefore s s 2 2 1 s e se 1 x(t) = L1[X(s)] = L1 + 2 + 2 s s + 1 s2 + 1 s s +1 s s 2 2 1 s 1 se e + L1 2 L1 2 L1 + L1 2 = L1 s +1 s +1 s s +1 s = 1 + sin t cos t H(t ) + H(t )cos(t ) 2 2 2 and so the solution to this initial value problem is x(t) = 1 + sin t cos t H(t ) + H(t )cos(t ). 2 2 2
(2.55)
It is interesting to note that while the inhomogeneous part F (t) of the dierential equation of Example 2.40 is not continuous at t = 2 (there is a break in the graph of F (t) at t = 2 ), the solution x(t) given in (2.55) is actually continuous and in fact dierentiable at t = 2 as we can see from the graph of x(t)
So when the inhomogeneous part F (t) of our dierential equation is piecewise dened, we obtain a solution to the dierential equation that is also piecewise dened as we can see by using the denition of the Heaviside function to write (2.55) as 1 + sin t cos t when 0 t < 2 x(t) = 1 + sin t cos t 1 + cos(t ) when t 2 2
93
x(t)
2 1
t
0 pi/2 -1 -2
where we have drawn the interval 0 t < in solid and the interval t in dashes. Notice both 2 2 pieces meet smoothly at t = . Also notice from the graph that x(t) satises the initial conditions 2 x(0) = 0, x (0) = 1.
2.3.2 Solving simultaneous linear dierential equations using the Laplace transform
We briey discuss an example that motivates how simultaneous dierential equations arise. This example serves only to help illustrate simultaneous dierential equations and its details are not required for this course. Example 2.41. Consider a farm with mice and cats. The mouse population changes with time t and denote this population by M (t). Similarly denote the cat population by C(t). Now the rate M (t) at which the mouse population changes at time t depends on two things the number of mice alive at time t (that is M (t)), as more mice present means a greater mouse reproduction rate. the number of encounters between cats and mice as the population of mice decreases at these encounters. For simplicity we assume the number of encounters is proportional to the product M (t)C(t).
Hence M (t) is proportional to M (t) and M (t)C(t) and we have the dierential equation M (t) = aM (t) bM (t)C(t) where a and b are constants such that a, b 0. Notice that this diers from the dierential equations we have considered so far as there are two dependent variables M , C and one independent variable t. Similarly the rate C (t) at which the cat population changes depends on the number of encounters between cats and mice as encounters means food for the cats and therefore an increased survival rate C (t) of cats the more cats present means less food for each individual cat and therefore an increased death rate C (t) of cats C (t) = dC(t) + eM (t)C(t) M (t) = aM (t) bM (t)C(t) C (t) = dC(t) + eM (t)C(t) form an example of simultaneous dierential equations in which the dependent variables interact2.5.
and we have the dierential equation where d, e 0. The two equations
2.5. This particular system of dierential equations is called a Lotka-Volterra system and is used in predator-prey models.
94
Laplace transforms
We now illustrate the solution of simultaneous linear dierential equations by using the Laplace transform. Example 2.42. Use the Laplace transform to solve the following simultaneous linear dierential equations y1 = y1 + y2 y2 = y1 y2 subject to the initial conditions y1(0) = 1 and y2(0) = 0. Answer: Take the Laplace transform of both equations
L[y1] = L[y1] + L[y2] L[y2] = L[y1] L[y2]
Using formulae (2.44) for the transform of a derivative we have sL[y1] y1(0) = L[y1] + L[y2] sL[y2] y2(0) = L[y1] L[y2] Substituting the initial conditions y1(0) = 1 and y2(0) = 0 gives sL[y1] 1 = L[y1] + L[y2] sL[y2] = L[y1] L[y2] For convenience let L[y1(t)] = Y1(s) and L[y2(t)] = Y2(s) sY1(s) 1 = Y1(s) + Y2(s) sY2(s) = Y1(s) Y2(s) and we can rewrite these two equations as 1 = (s + 1)Y1(s) + Y2(s) 0 = Y1(s) (s + 1)Y2(s) We eliminate Y2(s). Multiplying equation (2.56) by s + 1 we have (s + 1) = (s + 1)2Y1(s) + (s + 1)Y2(s) and adding equations (2.57) and (2.58) gives (s + 1) = ( (s + 1)2 + 1) Y1(s) s+1 Y1(s) = (s + 1)2 + 1 Y1(s) s+1 1 Y2(s) = (s + 1)2 + 1 Y2(s) = L[cos t] = Shifting these along the s-axis gives L[etcos t] = and so s+1 (s + 1)2 + 1 L[etsin t] = 1 (s + 1)2 + 1 s s2 + 1 L[sin t] = 1 s2 + 1 (2.58) (2.56) (2.57)
From equation (2.57) we know
Recall that
y1(t) = L1[Y1(s)] s+1 = L1 (s + 1)2 + 1 = etcos t
y2(t) = L1[Y2(s)] 1 (s + 1)2 + 1 = etsin t = L1
95
and the solution to our simultaneous linear dierential equations is y1(t) = etcos t y2(t) = etsin t.
2.3.3 Convolution and Integral equations

Recall from Lemma 2.22 that the inverse Laplace transform of a sum is the sum of inverse transforms L1[Y1(s) + Y2(s)] = L1[Y1(s)] + L1[Y2(s)]. However, a similar statement does NOT hold for products. In general L1[Y1(s)Y2(s)] L1[Y1(s)]L1[Y2(s)] 1 1 and Y2(s) = . Then s s 1 L1 s 1 s (2.59)
as the following example demonstrates: consider Y1(s) = L1[Y1(s)Y2(s)] = L1 = L1 =t and clearly this is a case of (2.59). 1 1 s s 1 s2
L1[Y1(s)]L1[Y2(s)] = L1 = 1. 1 =1
In order to obtain a formula for L1[Y1(s)Y2(s)] where Y1(s) and Y2(s) are Laplace transforms, we shall need the following Denition 2.43. The convolution of f (t) and g(t) is denoted as f g and is dened as
t
(f g)(t) =
f (t )g()d.
Example 2.44. Find the convolution f g when f (t) = t2 and g(t) = t, that is, nd t2 t. Answer: Replacing the variable t with t in f (t) = t2 gives and similarly we obtain g() = . Then f (t ) = (t )2
(f g)(t) = t2 t
t
=
0 t
(t )2 d (t2 2t + 2) d (t2 2t 2 + 3) d
t 0
=
0 t
=
0
and so
t2 2 2t 3 4 + 3 4 2 t4 2t4 t4 + = 3 4 2 4 t = 12 t2 t = t4 . 12
Notice from Denition 2.43 and Example 2.44 that if f , g are functions of t then f g is again a function of t. We now give a formula for L1[Y1(s)Y2(s)] in the theorem below.
96
Laplace transforms
Theorem 2.45. (Convolution Theorem) If Y1(s) = L[y1(t)] and Y2(s) = L[y2(t)] then L1[Y1(s)Y2(s)] = y1 y2 L[y1 y2] = L[y1(t)]L[y2(t)]. Proof. Not required.
or equivalently
Example 2.46. Find L1 Answer: We can split
2 s5
by using the Convolution Theorem.
2 as a product in several ways. Let us choose one such way s5
Y1(s) = and using the formula L[tn] = n! sn+1
2 s3
Y2(s) =
1 . s2
y1(t) = L1[Y1(s)] = t2 Then using the Convolution Theorem L1
y2(t) = L1[Y2(s)] = t
and from Example 2.44 therefore
2 1 2 = L1 3 2 s s s5 = L1[Y1(s)Y2(s)] = y1 y2 = t2 t t2 t = L1 t4 12
2 t4 = . 5 s 12
2 Of course, we did not need to use the Convolution Theorem to determine L1 5 , we can use the s n! formula L[tn] = n+1 directly. On the other hand, examples in which the Convolution Theorem is s needed are given by integral equations. Denition 2.47. An equation which contains the dependent unknown variable under an integral operator is called an integral equation. We will be interested in those integral equations that can be solved by using Laplace tranforms and the Convolution theorem. Example 2.48. Use the Laplace transform to solve the integral equation
t
y(t) = 4t 3
sin(t )y()d.
Answer: Take the Laplace transform of both sides of the integral equation
t
L[y(t)] = L[4t] 3L Notice that the integral

t 0
sin(t )y()d . (2.60)
sin(t )y()d
97
is in the form of a convolution, that is

t 0
sin(t )y()d = sin t y(t)
and from the Convolution Theorem

t
L
0
sin(t )y()d = L[sin t y(t)] = L[sin t]L[y(t)].
(2.61)
Substituting (2.61) into (2.60) we have and denoting L[y(t)] = Y (s) L[y(t)] = L[4t] 3L[sin t]L[y(t)] 4 1 3 2 Y (s) s2 s +1 3 4 Y (s) 1 2 = 2 s +1 s s2 + 4 4 Y (s) 2 = 2 s +1 s 4(s2 + 1) Y (s) = 2 2 s (s + 4) Y (s) = 4(s2 + 1) A B Cs + D + + 2 s2(s2 + 4) s s2 s +4 4s2 + 4 As(s2 + 4) + B(s2 + 4) + (Cs + D)s2 4s2 + 4 (A + C)s3 + (B + D)s2 + 4As + 4B and by comparing coecients of 1, s , s2 and s3 we obtain, respectively, four equations 4B = 4 4A = 0 B+D=4 A+C =0 Solving these gives A = 0, B = 1, C = 0, D = 3 and therefore Y (s) = 3 1 + s2 s2 + 4
and using partial fractions
and so the answer to our integral equation is y(t) where y(t) = L1[Y (s)] = L1 = L1 3 1 + L1 2 2 s +4 s 1 2 3 1 + L s2 s 2 + 22 2
3 = t + sin(2t). 2
2.3.4 Diracs delta function

Diracs delta function (t) is not actually a function of the variable t. It is a distribution. The theory of distributions belongs to a branch of mathematics called functional analysis. We shall discuss the proof of the formula L[(t)] = 1 which can more generally be stated as L[(t t0)] = e st0 where t0 0 (2.63) (2.62)
98
Laplace transforms
however this proof is not required for this course. Knowledge and application2.6of the two formulae (2.62) and (2.63) is the only requirement of this subsection. In functional analysis, a functional is a map from a set of functions to a set of numbers. Example 2.49. Let C denote the set of continuous functions and R denote the set of real numbers. Then i. the map : C R dened by (f ) =
a b
f (t)dt
is a functional as integrating any continuous function f (t) over a nite interval [a, b] gives a number. ii. the map : C R dened by (f ) = f (0)
is also a functional. Notice that associates to any continuous function f (x) the value of that function at t = 0. One can dene functionals on many sets of functions, in the Example 2.49 above we described two dierent functionals on a particular set of functions the set of continuous functions C. To dene the Dirac delta function we shall need another specic set of functions the set of test functions. Denote the set of test functions as D. Denition 2.50. A test function on R is a function that is identically zero outside a suciently large interval c < t < c and that has derivatives of any order. Recall that as any dierentiable function is necessarily continuous, it follows that D C, that is the set of test functions on R is contained in the set of continuous functions on R. Example 2.51. The function 12 f (t) = e 1t 0 when 1 < t < 1 when t 1 or t
is an example of a test function. From the graph of f (t)
f(t)
0 -1 0 1
it is clear that f (t) is identically zero outside 1 < t < 1. Notice that f (t) is a continuous function. Denition 2.52. Let D denote the set of all test functions on R. Then a functional that has domain equal to D is called a distribution on R. We can now give a precise deniton of the Dirac delta function (t).
2.6. see Example 2.63
99
Denition 2.53. The Dirac delta function (t) is the distribution (t): D R that is dened as (t)() = (0). So the Dirac delta function (t) maps any test function in the set D to a corresponding number (0). In other words, (t) takes any test function and evaluates that function at t = 0. More generally, we can dene the shifted Dirac delta function (t t0). Denition 2.54. The Dirac delta function (t t0) is the distribution (t t0): D R that is dened as where t0 0 is a constant. (t t0)() = (t0)
Notice by letting t0 = 0, Denition 2.54 reduces to Denition 2.53.
We now give a more intuitive but less technically accurate description of the Dirac delta function (t t0). Consider the following function 1 n when t0 t t0 + n fn(t) = (2.64) 0 otherwise where n = 1, 2, 3, is a parameter that can vary. The graph of fn(t) is
fn(t)
n
t
t0 t0+1/n
and we see that the graph of fn(t) takes the form of a pulse. Notice that the area under this graph is 1 n(t0 + n t0) = 1. Now as the parameter n gets larger, the pulse fn(t) gets narrower and higher. We see this in the graphs below illustrating the cases n = 1, 2, 3 respectively:
f1(t)
2
f2(t)
3
f3(t)
t
t0+1
t
t0+1/2
t
t0+1/3
Notice that the area under the graph of each f1, f2 and f3 is 1. Intuitively, as n the functions fn tend to the Dirac delta function, that if it were to exist as a function, would take the form of a pulse with zero width, innite height and an area of 1.
100
Laplace transforms
The above intuitive description of the Dirac delta function is not precise as the pointwise limit of the functions fn(t) as n
n
lim fn(t)
does not exist. If the limit limn fn(t) were to exist then for any value t = a, the sequence of numis bers fn(a) would converge. However, when t = t0 the sequence of numbers f1(t0), f2(t0), f3(t0), equal to 1, 2, 3, which is a sequence that does not converge. Therefore the pointwise limit limn fn(t) does not exist. However, it turns out that the theory of distributions was developed to handle such situations as taking the limit of the sequence fn above. In the theory of distributions, each function fn can be converted into a corresponding distribution which is denoted by Tfn . Then one takes the limit of these distributions this is actually a limit of integrals. In this particular case, the limit of the Tfn as n does exist and is in fact equal to the distribution (t t0) as dened in Denition 2.54. It is in this sense of distributions that the above sequence fn converge to the Dirac delta (t t0). The following denition describes how a function fn is converted to a distribution Tfn. Denition 2.55. Let f (t) be a function that is locally integrable, that is, a f (t)dt < for any nite interval a < x < b. Then the distribution T f : D R associated to the function f (t) is dened as T f () = where is any test function in D.
b
f dt
Example 2.56. Let fn be the function dened in (2.64). Then Tfn() = =n

fn dt
t0 + n
1
dt.
t0
Let Tn n = 1, 2, 3, be a sequence of distributions. Then notice for a xed test function , Tn() is a sequence of real numbers. We now describe the limit of a sequence of distributions. Denition 2.57. The sequence of distributions Tn n = 1, 2, 3, has limit equal to the distribution T0 only if for each test function the sequence of real numbers Tn() has limit equal to T0(). In other words Tn T0 as distributions only if Tn() T0() as real numbers for each test function . The following lemma will be useful in proving that the pulse functions fn dened in (2.64) has limit equal to the Dirac delta function (t t0) in the sense of distributions, that is, Tfn (t t0) as n . Lemma 2.58. Let (t) be a continuous function and let fn be dened as in equation (2.64) above. Then
n
lim
fn(t)(t)dt = (t0).
Proof. From equation (2.64)

fn(t)(t)dt = n =n =n
t0 + n
t0
(t)dt. ((t) (t0) + (t0) )dt ((t) (t0))dt + n

1 t0 + n
t0 + n
t0
1 t0 + n
(2.65) (t0)dt
t0
t0
101
Let us consider the rst integral on the right. As (t) is continuous at t = t0, by the denition of continuity, given any > 0 there exists a > 0 such that < ((t) (t0)) < when
1 n
< t t0 < .
(2.66)
Now as > 0, there exists an integer N such that < for all n 1 in (2.66) between t0 + n and t0 for any n N gives
t0 + n
t0
1
N . Integrating the rst inequality

1
( )dt <
t0 + n
t0
((t) (t0))dt <
t0 + n
t0
dt
(2.67)
and as is independent of t, it is easy to evaluate the rst and third inequalities in (2.67) < n
t0 + n
t0
1
((t) (t0))dt <
and multiplying throughout by n we have <n

t0 + n
t0
1
((t) (t0))dt < .
(2.68)
We have shown that for any > 0 there exists some N such that for all n N the inequality (2.68) holds. As this is true for any > 0, we can make in (2.68) as small as we wish, this therefore implies that
n
Now consider the second integral on the right in the last line of (2.65). As (t0) is a constant n and therefore

lim n
t0 + n
t0
((t) (t0))dt = 0.
1
(2.69)
t0 + n
t0
t0 + (t0)dt = n(t0) [ t] t0 n = (t0)

t0 + n
t0
1
fn(t)(t)dt = n
Taking the limit as n gives

n
fn(t)(t)dt = n
t0 + n
t0
((t) (t0))dt + n
1
t0 + n
t0
(t0)dt
((t) (t0))dt + (t0)

1
lim
From (2.69) we have
fn(t)(t)dt = lim n
n
t0 + n
t0
((t) (t0))dt + lim (t0)

n
lim
fn(t)(t)dt = 0 + lim (t0)

n
and as (t0) is a constant we get our desired result

n
lim
fn(t)(t)dt = (t0).
We now use Lemma 2.58 to show that the pulse functions fn dened in (2.64) has limit equal to the Dirac delta function (t t0) in the sense of distributions. Lemma 2.59. Let fn be dened as in equation (2.64) and let Tfn be the corresponding distributions as in Denition 2.55. Then as n Tfn (t t0)
102
Laplace transforms
as distributions. Proof. By Denition 2.57 Tfn (t t0) as n if for each test function , Now from Denition 2.55
n
lim Tfn() = (t t0)() Tfn() =

(2.70)
fn dt
and from the denition of the Dirac delta as a distribution in Denition 2.54 (t t0)() = (t0). Substituting these two denition into (2.70) we have that Tfn (t t0) as n if for each test function
n
lim
fn dt = (t0).
(2.71)
However since any test function is continuous, (2.71) is true from Lemma 2.58 and therefore the result follows.
We now determine the Laplace transform of the Dirac delta function (t t0). Recall that (t t0) is a distribution. The following is the denition of the Laplace transform of a distribution (also see Reinhard [3]). Denition 2.60. Let s = 0 when t < 0 est when t 0
If T is a distribution and if T (s) exists then T has Laplace transform L[T ] = T (s) where T (s) is the evaluation of the functional T at the function s. Using this denition we have Theorem 2.61. The Laplace transform of the Dirac delta function (t t0) where t 0 L[(t t0)] = est0. 0 is (2.72)
Proof. As stated in Denition 2.54 the Dirac delta is a distribution. As a functional (t t0) takes any function and evaluates that function at t = t0, hence the functional (t t0) takes the function s and evaluates it at t = t0, that is as t0 0. By Denition 2.60 we have (t t0)(s) = est0
L[(t t0)] = (t t0)(s) = es t0. By letting t0 = 0 in the formula (2.72) we have the following Corollary 2.62. The Laplace transform of the Dirac delta function (t) is L[(t)] = 1.
103
In this course we shall treat (t t0) as a function. The above precise denition of (t t0) is only for the interest of the reader, it is not required material. Knowledge of the formulae L[(t t0)] = est0 L[(t)] = 1 is required as is the application of these formulae as done in the following example. Example 2.63. Solve the dierential equation y + 9y = (t 1) subject to the initial conditions y(0) = 0, y (0) = 0. Answer: Take the Laplace transform of both sides of the given dierential equation L[y + 9y] = L[(t 1)] L[y ] + 9L[y] = es (2.73)
Using formula (2.45) for the transform of the second derivative we have s2L[y(t)] sy(0) y (0) + 9L[y(t)] = es Substituting the given initial conditions y(0) = 0, y (0) = 0 gives s2L[y(t)] + 9L[y(t)] = es Let L[y(t)] = Y (s) s2Y (s) + 9Y (s) = es Now solve for Y (s) (s2 + 9)Y (s) = es es 3 1 Y (s) = 2 = es (s + 9) 3 (s2 + 32)
3 3 1 1 Notice that es 3 (s2 + 32) is of the form est0Y (s) with est0 = es and Y (s) = 3 (s2 + 32) . Now 1 3 1 Y (s) = y(t) = L1[Y (s)] = sin(3t) 3 (s2 + 32) 3
and by the t-shift formula of Corollary 2.34 L1 es 3 1 = H(t 1)y(t 1) 3 (s2 + 32) 1 = H(t 1) sin(3(t 1)) 3 1 y(t) = H(t 1) sin(3(t 1)). 3
and so the solution to this initial value problem is
One can associate a physical interpretation to Example 2.63. The homogeneous part of the dierrential equation (2.73), that is y + 9y = 0 is an equation that describes some type of oscillation about an equilibrium position, for example the simple harmonic motion of a mass loaded on a spring, where y measures the displacement from the equilibrium position
104
Laplace transforms
y y = 0(equilibrium position)
The inhomegeneous part of the dierential equation y + 9y = (t 1) (2.74)
that is, the right hand side of the equation (2.74), may be interpreted in our example of a spring as a vertical outside force applied to the mass over time. In this case (t 1) can be viewed as a sudden impulse at an instant of time when t = 1. Now the initial condition y(0) = 0 means that the mass is at the equilibrium position at time t = 0. The condition y (0) = 0 means that the velocity at time t = 0 is zero. The mass is therefore at rest and does NOT move until time t = 1 when the impulse (t 1) is applied, causing the mass to oscillate as we can see from the following graph of the solution 1 y(t) = H(t 1) sin(3(t 1)) 3 of the dierential equation (2.74) (2.75)
y(t)
1/3
t
1
Also notice from the graph of y(t) that after time t = 1 the system oscillates freely about the equilibrium position as there is no outside force after t = 1.
105
2.3.5 Dierentiation of transforms

The result given in the following is useful for determining tranforms and inverse transforms. Theorem 2.64. If Y (s) = L[y(t)] then Y (s) = L[ t y(t)] where Y (s) denotes the derivative of Y (s) with respect to the variable s. Proof. From the denition of the Laplace transform Y (s) =
0
esty(t)dt
and dierentiating both sides of this equation with respect to s gives Y (s) = It is possible to
2.7exchange
d ds
0
esty(t)dt.
(2.76)
the dierentiation and integration operations in equation (2.76) Y (s) = d st ( e y(t)) dt ds
and dierentiating esty(t) partially with respect to s we have Y (s) =

0
testy(t) dt es t ty(t) dt
=
0
= L[ ty(t)]. The following two examples are applications of Theorem 2.64. Example 2.66. Find L[t sin t]. Answer: L[sin t] = and by Theorem 2.64 L[ t sin t] = and therefore by linearity 1 s2 + 1
1 s2 + 1 2s = 2 (s + 1)2 2s . (s2 + 1)2
L[t sin t] =
Using Theorem 2.64 gives a more ecient method of proving L[tn] =
n! than Example 2.7. sn+1
Example 2.67. Use the principle of induction, the denition of the Laplace transform and Theorem 2.64 to show that n! L[tn] = n+1 s when n = 0, 1, 2,
2.7. This is done by an application of the following Lemma 2.65. Let y(s, t) and be continuous on the set {(s, t)|c s d, 0 t < }; let the integral s be uniformly convergent and denote Y (s) = 0 y(s, t) dt. Then Y (s) is dierentiable and
y(s, t)
y(s, t) 0 s
dt
Y (s) =
0
y(s, t) dt. s
Knowledge of this lemma is not required for this course.
106
Laplace transforms
Answer: The statement is true when n = 0 as L[t0] = L[1] =

0
estdt
R 0
= lim = lim = lim =
estdt
R
est s 0 1 esR s s when s > 0
1 s 0! = 0+1 s Assume the statement is true when n = k, that is L[tk] = Then by using Theorem 2.64 L[ t.tk] = k!
sk+1 k!
sk+1 1
L[ tk+1] = k!
and therefore
sk+1 (k + 1) = k! sk+2 (k + 1)! = sk+2 (k + 1)! sk+2
L[tk+1] =
and so the statement is true when n = k + 1, hence by the principle of induction L[tn] = is true for all n = 0, 1, 2, n! sn+1
2.3.6 The Gamma function (x)

In Examples 2.7 and 2.67 we obtained the formula L[tn] = n! sn+1
when n = 0, 1, 2, . We now wish to obtain a more general formula, that is, a formula for L[tx] when x is a real number and x > 1. To do this, we need to dene the gamma function (x). Denition 2.68. The gamma function (x) is dened when x > 0 as an integral (x) =
0
ettx1 dt.
(2.77)
The following result gives some properties of the gamma function. Lemma 2.69. Let (x) denote the gamma function. Then i. (1) = 1 ii. (x + 1) = x (x) when x > 0 iii. (n + 1) = n! when n = 0, 1, 2,
107
iv. 2 Proof.
i. Let x = 1 in (2.77) (1) =

0
ett11 dt. etdt

R
=
0
= lim
etdt
= lim 1 eR
R
= lim [ et]R 0
R
=1
ii. Replacing x by x + 1 in (2.77) (x + 1) =

0 R
ettx dt (2.78) ettxdt
= lim now use integration by parts with
to get
v = tx dv = xtx1 dt
R
du = et dt u = et
(x + 1) = lim = lim
ettxdt
0 R 0
[ ettx]R + x 0
ettx1 dt ettxdt
= lim = and the limit
e0.0x eRRx + x lim
lim eRRx + x (x) lim eRRx = lim Rx R eR x, we
and denominator x times with respect to R, where x is the the smallest integer have that lim eRRx = 0
R
is of the indeterminate form . Applying LHospitals rule by dierentiating the numerator
and therefore (x + 1) = x (x) and clearly this result holds for x > 0 as (x) is dened for x > 0. iii. We prove (n + 1) = n! when n = 0, 1, 2, when n = 0 as by the principle of induction.The statement is true (1) = 1 from part i. Assume the statement is true when n = k, that is (k + 1) = k! Then letting x = k + 1 in (x + 1) = x (x) (2.79)
108
Laplace transforms
of part ii) we have (k + 2) = (k + 1) (k + 1) and using (2.79) we have (k + 2) = (k + 1)k! = (k + 2)! so the statement is true for n = k + 1, hence by the principle of induction (n + 1) = n! is true for all n = 0, 1, 2, iv. Let x = 1 in (2.77) 2 using the substitution in (2.80) we get 1 2 =2
0
1 2
=
0
1
ett
dt
1
(2.80)
u = t2
1 du = t 2 dt 2 e u du
2
(2.81)
Using double integrals (a topic done later in this course) we can determine the right side of (2.81)

ex dx
ey dy = =
ex e y dxdy e(x
2
+ y2)
dxdy
Changing variables from Cartesian (x, y) to polar (r, )2.8

e(x
+y 2)
dxdy =
0 2 0
er rdr d
2
=
0 2
er 2 1 d 2
d
0
=
0
Therefore

= ex dx

2 2
ey dy =
2
ex dx
since x, y are dummy variables and therefore

ex dx =
As ex is symmetrical about the y axis
x2
dx =
(2.82)
and substituting (2.82) into (2.81) we get our desired result

2.8. see Section 9.3 of Kreyszig [2]
1 2
= .
109
Having dened the gamma function, we can now determine L[tx] when x > 1. Theorem 2.70. Let x be a real number such that x > 1. Then L[tx] =
(x + 1) 2.9 . sx+1
Proof. Substitute x + 1 for x in the denition of (x) (x + 1) = Using the substitution t = su

0 0
ettx dt
dt = sdu
where we treat s as a constant and u as the variable, we get (x + 1) = esu(su)x s du

0
= sx+1
esuux du
and as u is a dummy variable, we can replace u by another dummy variable t to get (x + 1) = sx+1
0
esttx dt
2.10
and from the denition of the Laplace transform of tx (x + 1) = sx+1L[tx] which gives our desired result L[tx] = (x + 1) . sx+1 (2.83)
The following is an application of Theorem 2.70.

5
Example 2.71. Show that L t 2 = By Theorem 2.70
15
7
8s 2
7 2
7
L t and from Lemma 2.69 part ii) 7 2
5 2
s2 5 5 = 2 2
and applying Lemma 2.69 part ii) two more times we have 7 2 5 5 = 2 2 5 3 = 2 2 531 = 222
3 2 1 2
2.10. If s < 0 then the integral diverges from Lemma 2.3. and clearly (2.83) is undened for s = 0, so it is necessary that s > 0 for (2.83) to hold.
2.9. We require x > 1 because in the denition of (x) we have x > 0
110
Laplace transforms
and from Lemma 2.69 part iv) and therefore 7 2
15 5 3 1 = 222 8 5 15 L t2 = 7 . 8s 2 =
Chapter 3 Fourier series

3.1 Denitions
Denition 3.1. Let f (x) be a function that is dened for all x. Then f (x) is called periodic if there exists a positive number p such that f (x + p) = f (x) for each x. The number p is called a period of the function f (x). Example 3.2. The function sin x has period p = 2 as one can check sin(x + 2) = sin(x) by using the trigonometric formula sin(x + y) = sin x cos y + cos x sin y: sin(x + 2) = sin(x)cos(2) + cos(x)sin(2) = sin(x).(1) + cos(x).(0) = sin(x) Equation (3.1) can be interpreted graphically as follows. The graph of sin(x + 2) is a shift of the graph of sin(x) to the left by 2 units. Notice that this shifted graph sin(x + 2) coincides with the original sin(x) and this implies equality in (3.1). (3.1)
sin(x)
0
-1
period = 2pi
Note 3.3. In the following, we shall always let the period p = 2L. We do this to be consistent with notation used in a later section of partial dierential equations. For example, in the case of Example 3.2, sin(x) has period 2L = 2 and clearly L = .
Denition 3.4. Let the functionf (x) be a periodic function of period 2L. Then a0 + 2
n=1
ancos
nx nx + bnsin L L
(3.2)
111
112
Fourier series
is a Fourier series for f (x) if its coecients are given by the formulae an = bn = 1 L 1 L
L
f (x)cos
L L
nx dx L nx dx L
where n = 0, 1, 2, 3, where n = 1, 2, 3,
(3.3) (3.4)
f (x)sin
L
Equations (3.3) and (3.4) are called Eulers formulae and the numbers an , bn are called the Fourier coecients of f (x).
Example 3.5. Let f (x) = x where < x and f (x + 2) = f (x) (3.5)
Sketch the graph of f (x) and nd the Fourier series of f (x) on the interval ( , ). Answer: Note that the function f (x) is dened to be periodic with period 2 by the statement f (x + 2) = f (x) in (3.5). The graph of f (x) is obtained by rst drawing f (x) = x on the interval < x then repeatedly shifting this drawing by multiples of 2 and
Figure 3.1. Graph of f (x)
Notice the closed dots of Figure 3.1 imply that f (x) = when x =
, , , 3, 5,
We need to determine the Fourier coecients an and bn. It is typical to split the case of an into two subcases n = 0 and n = 1, 2, this is because n = 0 causes the cosine term in (3.3) to become 1. a0 = 0x 1 L x cos dx L L L 1 = x cos 0dx 1 xdx = 1 x2 = 2 =0
as L = as cos 0 = 1
3.1 Definitions
113
and so a0 = 0 Now determine an when n = 1, 2, an = 1 L 1 = 1 = nx dx L L nx x cos dx x cos

L
(3.6)
x cos nx dx
notice the s cancel.
Integrating by parts with v=x dv = 1 dx gives an = 1 x sin nx 1 sin nx dx n n 1 cos nx 1 x sin nx + = n n2 1 sin n cos n sin ( n) cos ( n) + + = n2 n2 n n
du = cos nxdx sin nx u= n
recall when n is an integer expression value sin n 0 sin ( n) 0 cos n ( 1)n cos ( n) ( 1)n
Table 3.1.
and therefore an = which gives an = 0 when n = 1, 2, 3, And now determine the bn when n = 1, 2, bn = 1 L 1 = 1 =
L L
0+
( 1)n n2
0+
( 1)n n2 (3.7)
nx dx L nx x sin dx x sin x sin nx dx
Integrating by parts with v=x
dv = 1 dx
du = sin nxdx cos nx u= n
114
Fourier series
gives bn = 1 cos nx x cos nx 1 dx n n 1 x cos nx 1 sin nx = + n2 n 1 cos n sin n cos ( n) sin ( n) = + + n2 n2 n n
and using the values from Table 3.1 bn = 1 ( 1)n ( 1)n +0 +0 n n ( 1)n ( 1)n 1 = n n 2( 1)n = n bn = 2( 1)n+1 when n = 1, 2, 3, n (3.8)
which gives
Substituting L = and the expressions for a0, an and bn given by (3.6),(3.7) and (3.8) into a0 + 2 we get our answer
n=1
ancos
nx nx + bnsin L L
the Fourier series of the function f (x) given in (3.5) is

n=1
2( 1)n+1 sin nx. n
3.2 Convergence of Fourier Series

In Example 3.5 we proved that the Fourier series of f (x) = x where < x is
n=1
and
f (x + 2) = f (x)
(3.9)
2( 1)n+1 sin nx. n
(3.10)
We will see, from Theorem 3.8 and Example 3.9 below that the function f (x) given in (3.9) converges to its Fourier series (3.10) for all values of x except when x = , , , 3, 5, Denition 3.6. Suppose a0 + 2
n=1
ancos
nx nx + bnsin L L
(3.11)
115
is the Fourier series of a function g(x). Let a0 + 2

m
ancos
n=1
nx nx + bnsin L L
(3.12)
be the sum of the rst m terms of (3.11). Then the Fourier series (3.11) is said to converge to g(x) at x = x0 if
m
lim
a0 + 2
ancos
n=1
nx0 nx0 + bnsin L L
= g(x0).
Intuitively Denition 3.6 means that the sum of the rst m terms (3.12) of the Fouries series is an approximation of the function g(x), and this approximation gets better as m gets larger. Let us return to our example of f (x) given in (3.9), in which the Fourier series (3.10) converges to f (x) except when x = , , , 3, 5, Consider when m = 5, that is the sum of the rst ve terms of (3.10)
5 n=1
2( 1)n+1 sin nx n
(3.13)
and consider the graph of this function obtained using the computer program Maple
5.0
2.5
0.0 5.0 2.5 2.5 0.0 2.5 5.0 x 7.5 10.0
5.0
Figure 3.2. Graph of the rst ve terms of Fourier series (3.10)
Notice that this graph is approximately the same as the graph of f (x) given in Figure 3.1, hence the function f (x) = x is approximately equal to (3.13), that is
5
f (x)
n=1
2( 1)n+1 sin nx. n
Now consider when m = 25, that is the sum of the rst twenty-ve terms of (3.10)
25 n=1
2( 1)n+1 sin nx, n
(3.14)
and the graph of the rst twenty-ve terms is
116
Fourier series
5.0
2.5
0.0 5.0 2.5 2.5 0.0 2.5 5.0 x 7.5 10.0
5.0
Figure 3.3. Graph of the rst twenty-ve terms of Fourier series (3.10)
and we see that the graph Figure 3.3 more closely resembles the graph of f (x) given in Figure 3.1. When m = 1000, the graph of the rst thousand terms of (3.10) is
5.0
2.5
0.0 5.0 2.5 2.5 0.0 2.5 5.0 x 7.5 10.0
5.0
Figure 3.4. Graph of the rst thousand terms of Fourier series (3.10)
which is almost identical to the graph of f (x) given in Figure 3.1, except for the presence of what . These lines are in fact not vertical but are almost appear to be vertical lines at x = , , 3, vertical with large negative slope3.1. These almost vertical lines are present in Figure 3.4 because
1000 n=1
2( 1)n+1 sin nx n
3.1. This slope can be determined. Recall we are graphing

1000 n=1
2( 1)n+1 sin nx n
(3.15)
To get the slope of (3.15) at x = , simply dierentiate (3.15) w.r.t. x and substitute x = ; this will give
1000 n=1 1000 1000
2( 1)n+1 cos n =
n=1
2( 1)n+1 ( 1)n =
n=1
2( 1)2n+1 = 2000
117
is a nite sum of continuous functions sin n x, therefore is itself continuous which means that its graph cannot have gaps. These almost vertical lines are therefore necessary to maintain continuity. It is very interesting that when m these almost vertical lines disappear and the graph of the Fourier series, in this case, becomes discontinuous as we see next. It is not possible to directly plot the case of m = via computer. However from Theorem 3.8 we can predict what the graph of m = , that is the graph of the Fourier series
is
n=1
2( 1)n+1 sin nx. n
Figure 3.5. Graph of the Fourier series (3.10)
and notice that this graph is identical to the graph of f (x) given in Figure 3.1 except when x = , , that is except at the points at which our original function f (x) is discontinuous. By , 3, examining the closed dots of Figures 3.1 and 3.5, we see that f (x) takes value and the Fourier series (3.10) takes value 0 at these points of discontinuity. We now explain some terms necessary for the statement of Theorem 3.8. We do not dene these terms precisely, but illustrate their meaning via an example; see Kreyszig [2] for precise denitions. Denition 3.7. Consider the following piecewise dened function x2 when x < 1 h(x) = x when x > 1. 2 The graph of this function is
h(x)
1/2
x
1
118
Fourier series
Then the left hand limit at x = 1 is

x1
lim h(x) = 1
and is the value h(x) approaches as x tends to 1 from the left; one may think of a small object moving along the parabola x2 heading right3.2 to just before the point (1, 1); the height of the object is the value of limx1 h(x). The right hand limit at x = 1 is
x1+
lim h(x) =
1 2
1
and is the value h(x) approaches as x tends to 1 from the right; again one may think of a small object sliding left along the line to just before the point (1, ); the height of the object is the value 2 2 of limx1+ h(x). The left hand derivative at x = 1 is dened as h(1 + ) (limx1 h(x)) (1 + )2 1 = lim 0 = lim + 2
0
lim
=2 and this can be interpreted as the slope of the function h(x) at a point just before (1, 1); in this case this is the same as the slope of the parabola at (1, 1). The right hand derivative at x = 1 is dened as h(1 + ) (limx1+ h(x)) 1 1 (1 + ) 2 = lim 2 0+ 1 = lim 0+ 2 1 = 2
0+
lim
and this can be interpreted as the slope of the the function h(x) at a point just after (1, 2 ); in this 1 case this is the same as the slope of the line at (1, 2 ). Recall that it is not possible for a function to have a derivative at a point of discontinuity3.3 such as x = 1 in the example above. Note however that the denitions of left hand/right hand derivative are constructed to extend the notion of a derivative to points of discontinuity, one simply examines the slope of the curve just before the point of disconuity to get the left hand derivative (if it exists), likewise examining the slope just after the point of discontinuity gives the right hand derivative. We can now state a theorem that describes, for which values of x, a Fourier series of a function f (x) is equal3.4 to the function f (x). Theorem 3.8. Let f (x) be a function that is periodic with period 2L and that is piecewise continuous on the interval L < x < L. Also assume that for each x that either f (x) is dierentiable at x or the left hand derivatives and right hand derivatives of f (x) exist. Let a0 + 2
n=1
ancos
nx nx + bnsin L L
(3.16)
3.2. heading right=approach from the left 3.3. because dierentiablity implies continuity 3.4. more precisely, for which values of x the Fourier series of f (x) converges to its function f (x)
119
be the Fourier series of f (x). Then the series (3.16) converges to f (x) at each point x except possibly at points where f (x) is discontinuous. At any such point x0 of discontinuity, the Fourier series converges to 1 lim f (x) + lim+ f (x) . 2 xx0 xx0
We now apply Theorem 3.8 to the answers in Example 3.5: Example 3.9. Show that the Fourier series
of the function converges to function g(x) =
n=1
2( 1)n+1 sin nx n and f (x + 2) = f (x)
(3.17)
f (x) = x where < x x 0 when < x < when x =
and
g(x + 2) = g(x).
(3.18)
Answer: We rst show that f (x) satises the hypotheses of Theorem 3.8. By the denition of f (x) we have f (x + 2) = f (x) and so f (x) is periodic with period 2. From the graph of f (x)
Figure 3.6. Graph of f (x)
, , , 3, 5, . At the it is clear f (x) = 1 and is hence is dierentiable at each point x points of discontinuity, that is for x = (2k + 1) where k is an integer, the left hand derivative exists: f ((2k + 1) + ) limx(2k+1) f (x)) 0 + = lim 0 = lim 1 lim
0
=1
120
Fourier series
and is equal to 1. Alternatively one can clearly see that the slope of the curve just before the point x = (2k + 1) is equal to 1. Similarly the right hand derivative exists and is equal to 1 at each point of discontinuity x = (2k + 1). Hence we may apply Theorem 3.8 and let g(x) be the function that the Fourier series (3.17) converges to. Then according to Theorem 3.8, g(x) is equal to f (x) everywhere f (x) is continuous and so g(x) = x when < x < g(x + 2) = g(x) (3.19)
At the point of discontinuity x = according to Theorem 3.8 g(x) = 1 lim f (x) + lim f (x) 2 x x + 1 = ( + ( )) 2 =0
and this repeats every 2 so g() = 0 g(x + 2) = g(x) (3.20)
and combining (3.19) and (3.20) we get our desired answer (3.18).
Therefore the Fourier series (3.17) converges to (in other words, is equal to) g(x). The graph of g(x) is
Figure 3.7. Graph of g(x)
and notice this almost identical to the graph of f (x) in Figure 3.6. Example 3.9 illustrates that a Fourier series of a function f can be identical to the function f for almost all values of x.
3.3 Even and odd functions
121

If a function is even or odd we can save some work when computing its Fourier series.
Denition 3.10. i. A function f (x) is said to be even if f ( x) = f (x) for all values of x. ii. A function f (x) is said to be odd if f ( x) = f (x) for all values of x.
Example 3.11. Determine if the following functions are even, odd or neither. i. f (x) = x3 ii. g(x) = x4 iii. h(x) = x3 + x4 iv. k(x) = cos (2x) + 5x2 11x4 + |x| Answer: i. Replacing the x in f (x) = x3 by x we have which implies f ( x) = ( x)3 f ( x) = x3 (3.21)
Comparing the right hand side of (3.21) to the denition of the original function f (x) = x3 we see that so f (x) = x is an odd function.
3
f ( x) = f (x)
ii. Replace the x in g(x) = x4 by x to get which implies g( x) = ( x)4 g( x) = x4 (3.22)
Comparing the right hand side of (3.22) to the denition of the original function g(x) = x4 we see that so g(x) = x is an even function.
4
g( x) = g(x)
iii. Replace the x in h(x) = x3 + x4 by x to get which implies In this case, notice that h( x) = ( x)3 + ( x)4 h( x) = x3 + x4 h(x) = x3 + x4 and h(x) = x3 x4 (3.23)
and that the right hand side of (3.23) is equal to neither of these. Therefore h(x) is neither even nor odd.
122
Fourier series
iv. Replace the x in by x to get k(x) = cos (2x) + 5x2 11x4 + |x| k( x) = cos( 2x) + 5( x)2 11( x)4 + | x| = cos(2x) + 5x2 11x4 + |x| = k(x)
and so k(x) is an even function. It is slightly more dicult to determine if a periodic function that is piecewise dened is even or odd. To determine if such a function, for example g(x) = x 0 when < x < when x = and g(x + 2) = g(x).
is even or odd, one may check the function on one period as the following lemma states.
Lemma 3.12. i. A periodic function of period 2L is even if f ( x) = f (x) on the interval L ii. A periodic function of period 2L is odd if f ( x) = f (x) on the interval L Proof. Not required. x x L. L
Example 3.13. Show that the function g(x) = is odd. Answer: For any value of x in the interval < x < we have and when x = or and hence g( x) = x = g(x) g( x) = 0 = g(x) g( x) = g(x) on the interval given in Figure 3.7). x and it follows from Lemma 3.12 that g(x) is odd. (the graph of g(x) is x 0 when < x < when x = and g(x + 2) = g(x)
Lemma 3.14. Let f (x) be an odd function. Then for any L > 0
L
f (x)dx = 0.
L
Proof. Using a property of denite integrals

L 0 L
f (x)dx =
L L
f (x)dx +
0
f (x)dx
(3.24)
123
From a change of variables u = x on the rst integral on the right of (3.24) we have
0 0
f (x)dx =
L L 0
f ( u)( du) f (u)( du) f (u)du
=
L 0
=
L
= = and using this in (3.24) we have

L L L
f (u)du
0 L
f (x)dx
0 L
f (x)dx =
f (x)dx +
0 0
f (x)dx = 0.
A more intuitive reason for Lemma 3.14 follows from the graph of an odd function f (x)
f (x)dx. The area to the left represents L f (x)dx in which the total shaded area represents L and is equal in magnitude but opposite in sign to the area on the right which represents L f (x)dx; clearly these two cancel each other in equation (3.24). 0 Lemma 3.15. The Fourier series of an even function f (x) has no sine terms, that is, bn = 0 for each n = 1, 2, 3, . Proof. Let a0 + 2
n=1
ancos
nx nx + bnsin L L
be the Fourier series of the even function f (x). From Eulers formulae bn = As f (x) is even and sin L
nx
1 L
f (x)sin
L
nx dx L
where n = 1, 2, 3,
is odd f ( x)sin n( x) L nx L nx = f (x)sin L = f (x) sin
therefore f (x)sin L is an odd function. From Lemma 3.14 L nx f (x)sin dx = 0 L L
nx
124
Fourier series
and clearly this implies bn = 0 for each n = 1, 2, 3,
So we have The Fourier series of an even function takes the form a0 + 2 Similarly, we can prove Lemma 3.16. The Fourier series of an odd function f (x) has no cosine terms, that is, an = 0 for each n = 0, 1, 2, 3, . Therefore we also have The Fourier series of an odd function takes the form
n=1 n=1
ancos
nx L
bnsin
nx L
Example 3.17. Let f (x) = 1 x2 where 1 < x 1 and f (x + 2) = f (x) (3.25)
Sketch the graph of f (x) and nd the Fourier series of f (x). Answer: The graph of f (x) is obtained by rst drawing f (x) = 1 x2 on the interval 1 < x and then repeatedly shifting this drawing by multiples of 2. 1
f (x) is clearly periodic with period 2L = 2. Notice that f ( x) = 1 ( x)2 = 1 x2 = f (x) when 1 x 1 and from Lemma 3.12 f (x) is even. Therefore from Lemma 3.15, the Fourier series of f (x) takes the form nx a0 + ancos (3.26) 2 L
n=1
125
that is, bn = 0 when n = 1, 2, 3, . We use Eulers formula to determine an. Split the case of an into two subcases n = 0 and n = 1, 2, a0 = 1 L 1 = 1
L L 1 1
(1 x2) cos
0x dx L as L = 1
(1 x2)dx
3 1 1
= x = Now determine the an when n = 1, 2, an = 1 L 1 = 1
x 3
4 3
L
nx dx L L 1 nx dx (1 x2) cos 1 1 (1 x2) cos (1 x2) cos nx dx du = cos nxdx sin nx u= n

1 1 1
= Integrating by parts with
v = 1 x2 gives an = dv = 2x dx
(1 x2) sin nx n 1 1 2x sin nx =0+ dx n 1 v = 2x dv = 2 dx
2x sin nx dx n
Integrating by parts again with du = sin nx dx n cos nx u= n 2 2
gives an = 2x sin nx dx n 1 1 2x cos nx = n2 2 1

1 1
1 1
2cos nx dx n 2 2
1
2sin nx 2x cos nx + = n 3 3 n2 2 1 1 2cos n 2( 1) cos ( n ) = 2 2 n n 2 2 and recall when n is an integer expression value sin n 0 sin ( n) 0 cos n ( 1)n cos ( n) ( 1)n an = Hence the Fourier series of f (x) is 2 + 3 4( 1)n n 2 2
n=1
2sin n 2sin ( n) n3 3 n 3 3
and therefore
when n = 1, 2,
4( 1)n cos nx. n 2 2
126
Fourier series
3.4 Half range expansions

Let a function f (x) be dened on an interval 0 x L. We want to be able to represent f (x) by two types of Fourier series a Fourier series that consists of cosine terms only or a Fourier series that consists of sine terms only.3.5 Essentially, this may be done because we only want the Fourier series to represent the function for half of the period L x L. Example 3.18. Let f (x) = x on the interval 0 x . Then we will show in Example 3.24 that we can represent this function f (x) by a Fourier series that consists of cosine terms only, which in this case is ( 1)n 1 2 x= + cos nx n2 2
n=1
and this equality holds when 0 x . We can also represent f (x) by a Fourier series that consists of sine terms only, which in this case is x=2 and this equality holds when 0 Denition 3.19. i. A Fourier series that consists of cosine terms only is called a Fourier cosine series. ii. A Fourier series that consists of sine terms only is called a Fourier sine series. Hence, given a function f (x) dened on an interval 0 x by either a Fourier cosine series or a Fourier sine series. L, we want to be able to represent f (x) x < .
n=1
( 1)n+1 sin nx n
Recall from Lemma 3.15 that the Fourier series of an even function consists of cosine terms only, in other words, the Fourier series of an even function is a Fourier cosine series. Also recall from Lemma 3.16 that the Fourier series of an odd function is a Fourier sine series. We use these facts to obtain our desired representation of f (x) by either a Fourier cosine series or a Fourier sine series. We obtain the representation of f (x) by a Fourier cosine series by rst constructing an even periodic function that is equal to f (x) on the interval 0 x L. Such a function is called an even periodic extension of f (x). Similarly we obtain the representation of f (x) by a Fourier sine series by constructing an odd periodic function that is equal to f (x) on the interval 0 x L. In this case, such a function is called an odd periodic extension of f (x).
Denition 3.20. Let a function f (x) be dened on an interval 0 i. the function dened as E(x) = f (x) f ( x) 0 x L L<x<0 ,
L. Then
E(x + 2L) = E(x)
is the even periodic extension of f (x) of period 2L. ii. the function dened as O(x) = f (x) f ( x) 0 x L L<x<0 , O(x + 2L) = O(x)
is the odd periodic extension of f (x) of period 2L.
3.5. We will use this when solving partial dierential equations.
127
Example 3.21. Let f (x) = x on the interval 0 i. the even periodic extension of f (x) is E(x) = and from the graph of E(x) x x
. Then
0 x <x<0
E(x + 2) = E(x)
we see that E(x) is an even periodic function of period 2. Also note that E(x) = f (x) ii. the odd periodic extension of f (x) is O(x) = and from the graph of O(x) x ( x) 0 x <x<0 , O(x + 2) = O(x) when 0 x .
we see that O(x) is an even periodic function of period 2. Also note that O(x) = f (x) when 0 x .
We now dene the half-range expansions of a function f (x). Denition 3.22. Let f (x) be dened on an interval 0 x L.
i. The Fourier series of the even periodic extension E(x) of f (x) is called the cosine halfrange expansion of f (x) or Fourier cosine series of f (x). ii. The Fourier series of the odd periodic extension O(x) of f (x) is called the sine half-range expansion of f (x) or Fourier sine series of f (x).
128
Fourier series
We explain the idea of Denition 3.22. Consider the case of the cosine half-range expansion of f (x). Recall from Theorem 3.8, that under certain conditions, the Fourier series of any periodic function g(x) is equal to g(x). As E(x) is, by denition a periodic function, the Fourier series of the even periodic extension E(x) is equal to E(x) on the interval L x L and hence the Fourier series of the even periodic extension E(x) is equal to f (x) on the interval 0 x L as E(x) = f (x) when 0 x L.
As E(x) is even, its Fourier series consist of cosine terms only. Summarizing, the Fourier series of the even periodic extension E(x) is a cosine series that is equal to f (x)3.6 on the interval 0 x L. By a similar reasoning, the Fourier series of the odd periodic extension O(x) is a sine series that is equal to f (x) on the interval 0 x < L.
The following result gives formulae for the cosine and sine half-range expansions of a function. Lemma 3.23. Let f (x) be dened on an interval 0
n=1
L. Then
i. the cosine half-range expansion of f (x) is given by a0 + 2 where an = 2 L

L
ancos
nx L
f (x)cos
0
nx dx L
where n = 0, 1, 2, 3,
ii. the sine half-range expansion of f (x) is given by
bnsin
where bn = 2 L
L 0
n=1
nx L where n = 1, 2, 3,
f (x)sin
nx dx L
Proof. i. By denition, the cosine half-range expansion of f (x) is the Fourier series of the even periodic extension E(x) of f (x). As E(x) is an even function, by Lemma 3.15 the Fourier series of E(x) consists of cosine terms only and hence is of the form a0 + 2 where an = for n = 0, 1, 2, 3, . But we know that E(x) = f (x) f ( x) 0 x L L<x<0 1 L
L n=1
ancos
nx L
E(x)cos
L
nx dx L
and so we may determine an directly from f (x): an = = = 1 L 1 L 1 L

L
E(x)cos
L 0
nx dx L nx dx + L
L
E(x)cos
L 0 L
E(x)cos
0 L
nx dx L nx dx L
f ( x)cos
x
nx dx + L
f (x)cos
0
3.6. provided f (x) is continuous on the interval 0
L, which we will assume in this class.
129
Using the trigonometry identity cos( x) = cos x we have that

0 L
f ( x)cos
nx dx = L
nx dx L L 0 nu = f (u)cos du by the substitution u = x L L L nu du = f (u)cos L 0 L nx = f (x)cos dx as u is dummy variable L 0 f ( x)cos

0
and therefore an = = = which is our desired result. The proof of ii) is similar to that of i). 1 L 1 L 2 L
0 L L
f ( x)cos f (x)cos
nx dx + L
L
f (x)cos
0
nx dx L
0 L
nx dx + L
f (x)cos
0
nx dx L
f (x)cos
nx dx L
Example 3.24. Find the i. cosine half-range expansion ii. sine half-range expansion of the function f (x) = x on the interval 0 Answer: i. In this case L = . From the formulae in Lemma 3.23 the cosine half-range expansion of f (x) is given by a0 + ancos nx 2 n=1 where 2 f (x)cos nx dx an = 0 2 = x cos nx dx 0 Split into the case of n = 0 a0 = and the case of n = 1, 2, an = 2
0
x dx =
2 x cos nx dx 0 2 x sin nx sin nx = dx n n 0 0 2 cos nx x sin nx = + n2 0 n 0 n 1 2 ( 1) 2 = n n2
130
Fourier series
and therefore the cosine half-range expansion of f (x) is 2 + 2

n=1
( 1)n 1 cos nx . n2
ii. From the formulae in Lemma 3.23 the sine half-range expansion of f (x) is given by
bnsin nx
where bn =
n=1
2 f (x)sin nx dx 0 2 x sin nx dx = 0 2 x cos nx cos nx = dx + n 0 n 0 2 x cos nx sin nx = + n 0 n2 0 n+1 2( 1) = n
and therefore the sine half-range expansion of f (x) is 2

n=1
( 1)n+1 sin nx . n
Chapter 4 Partial Dierential Equations
4.1 Denitions
Denition 4.1. An equation involving one or more partial derivatives of an unknown function of two or more variables is called a partial dierential equation or p.d.e. . The unknown function is called the dependent variable. The order of the highest derivative is called the order of the partial dierential equation. Example 4.2. i. x
u
u is a rst order p.d.e. t u is a second order p.d.e. t
ii. x2
2u
Denition 4.3. A partial dierential equation is said to be linear if it is of rst degree in the unknown function and its partial derivatives.
Example 4.4. i. x ii.

u
u , t 2
2u x2 u , t
u 2u , x2 t
2u = 0 are each linear p.d.e. t2
u x
u u . x t
= x2 are each non-linear p.d.e.
2u
iii. Let u(x, t) be a function of the two variables. Then the general form of a second order linear p.d.e. is a(x, t) 2u 2u 2u 2u u u + b(x, t) 2 + c(x, t) + d(x, t) + e(x, t) + f (x, t) + g(x, t)u = h(x, t) x2 t xt tx x t
where a, b, c, d, e, f , g and h are given functions of x and t.
Denition 4.5. If each term of a partial dierential equation contains the dependent variable or its partial derivatives then the equation is said to be homogeneous, otherwise it is said to be inhomogeneous. Example 4.6. i. x2 ii.
2u
+ +
2u = 0 is a homogeneous p.d.e. t2 2u = x2t is an inhomogeneous p.d.e. t2
2u x2
131
132
Partial Differential Equations
Consider a function u(x, y) of the two independent variables x and y. The domain of the function u(x, y) will be a subset of the xy-plane. For example the real-valued function u(x, y) = has domain equal to which is a closed disc of radius 1: 1 (x2 + y2) 1}
{(x, y)|x2 + y 2
The closed disc above is an example of a subset in the space of independent variables x and y of the function u(x, y). Note in this example, the space of independent variables x and y is simply the xy-plane. Denition 4.7. A solution of a partial dierential equation in a subset R of the space of independent variables is a function for which all the partial derivatives that appear in the equation exist and satises the equation everywhere in R.
Example 4.8. i. Show that the function u(x, y) = x2 y 2 is a solution of the p.d.e. x2 R = xy-plane.
2u 2u
2u = 0 in the set y 2
Answer: When u(x, y) = x2 y 2, the second partial derivatives x2 and y 2 are 2u =2 x2 2u =2 y 2 (4.1)
2u
and so for u(x, y) = x2 y 2
2u 2u + = 2 + ( 2) x2 y2 =0
and notice that the second partial derivatives in (4.1) exist for all points in the xy-plane and also these second partial derivatives satisfy the p.d.e for all points in the xy-plane. Therefore, by Denition 4.7, u(x, y) = x2 y 2 is a solution of the p.d.e. x2 y) in the xy-plane.
2u
2u = 0 at each point (x, y 2
ii. Show that the function u(x, y) = ln(x2 + y 2) is a solution of the p.d.e.
set R = {xy-plane (0, 0)}, in other words, u(x, y) = ln(x2 + y 2) is a solution of the given p.d.e. at all points on the xy-plane except at the origin.
2u x2
2u = 0 in the y2
4.1 Definitions
133
Answer: When u(x, y) = ln(x2 + y2), the second partial derivatives 2u 2y 2 2x2 = x2 (x2 + y2)2 and so for u(x, y) = ln(x2 + y2), 2y2 2x2 2u 2u + 2= (x2 + y 2)2 x2 y =0 + 2x2 2y 2 (x2 + y2)2 2u 2x2 2y 2 = y 2 (x2 + y2)2
2u 2u and 2 are x2 y
(4.2)
however, notice that the second partial derivatives in (4.2) exists for all points except when (x, y) = (0, 0), therefore by Denition 4.7, u(x, y) = ln(x2 + y 2) is a solution of the p.d.e.
2u x2
2u = 0 at each point (x, y) in the xy-plane except when (x, y) = (0, 0). y 2
Theorem 4.9. (Superposition principle I) If u1 and u2 are solutions of a linear homogeneous partial dierential equation in some subset R in the space of independent variables then, for any scalars c1 and c2 u = c1u1 + c2u2 is also a solution of that partial dierential equation in the subset R. Proof. (Not required).
Example 4.10. From Example 4.8 we have that u1 = x2 y 2 are solutions of the p.d.e. x2 position principle I
2u x2 2u
and
u2 = ln(x2 + y 2)
2u = 0 in the set R = {xy-plane (0, 0)}. Therefore by the Supery 2
is a solution of
2u = 0 in the set R = {xy-plane (0, 0)}. y 2
u = 15(x2 y 2) + 9ln(x2 + y 2)
We shall see later that we will usually obtain an innite set of solutions u1, u2, u3, to a given linear homogeneous p.d.e. . The following theorem states, that under certain conditions, the sum of such an innite set of solutions is also a solution. Theorem 4.11. (Superposition Principle II) If each function of an innite set u1, u2, u3, is a solution of a linear homogeneous partial dierential equation in some subset R in the space of independent variables then the function u=
n=1
cnun = c1u1 + c2u2 +
(4.3)
is also a solution of that partial dierential equation in the subset R provided the series (4.3) converges at each point in R. Proof. (Not required).
134
Note 4.12. In this class, we shall use a method of solving p.d.e. that determine constants cn that will ensure that the series u=
cnun = c1u1 + c2u2 +
n=1
converges. This method is based on Theorem 3.8 on page 118. We will not directly test for convergence, our method will automatically guarantee convergence.
Example 4.13. One can check each of the functions etcos x, e9tcos 3x, e25tcos 5x, is a solution of u 2u = t x2 in the subset R = {(x, t)|t 0}. It is possible to prove
4.1that
, e(2n+1) tcos(2n + 1)x, (4.4) the series
2 1 e(2n1) tcos(2n 1)x (2n 1)2 n=1 1 1 = etcos x + e9tcos 3x + e25tcos 5x + 25 9
(4.5)
converges at each point in the subset R = {(x, t)|t 0}, therefore by the Superposition Principle II the series (4.5) is a solution of the partial dierential equation (4.4) in the subset R = {(x, t)|t 0}. We shall be interested in the following linear homogeneous partial dierential equation of the second order:
u t 2u t2 2u x2 2u r 2 2u r 2 1 r2 r
= c2 x2
2u
2u 2u
one dimensional heat equation one dimensional wave equation two dimensional Laplaces equation Laplaces equation in polar coordinates Laplaces equation in cylindrical coordinates
1 2u
= c2 x2
+ x2 = 0
1 2u 1 2u 2u z 2
+ r r + r2 2 = 0
1 u 1
1 u
+ r r + r2 2 +
=0
r2 r
+ sin sin + sin2 2 = 0 Laplaces equation in spherical coordinates
4.1. A direct proof of this convergence is beyond the scope of this class
4.2 The Heat Equation
135
4.2.1 A derivation of the heat equation

We illustrate how the one-dimensional heat equation u 2u = c2 2 t x (4.6)
models a certain physical situation.
Consider a bar of metal of length L. We wish to describe how the temperature of this bar changes with time t. To simplify our model we assume that our rod is one-dimensional, that is, it has no thickness. Assume also that the metal bar is insulated along the sides. We place our bar of length L along the x-axis as follows.
Notice that as the bar is insulated along the sides, heat may escape the bar only at points x=0 and x = L,
that is, heat can only escape at the ends of the bar. Let u(x, t) denote the temperature of the bar at a point x and at time t. Note that the domain of this temperature function u(x, t) is 0 x L and 0 t < .
We wish to model the following problem. The metal bar has an initial temperature distribution, which is not necessarily uniform along the bar. That is, at time t = 0, the bar has a temperature that varies along the length of the bar, so this initial temperature distribution varies with x and can be stated as u(x, 0) = f (x) where 0 x L (4.7)
where the function f (x) describes the initial temperature distribution along the bar. The equation (4.7) is an example of an initial condition. For simplicity, we assume in this particular problem that the ends of the bar will be at zero temperature for all time t 0. This may be stated as u(0, t) = 0 u(L, t) = 0 for any t for any t 0 0 (4.8) (4.9)
Equations (4.8) and (4.9) are examples of boundary conditions.
136
Summarizing so far, our physical problem is as follows. We have a bar that has an initial temperature that is given by equation (4.7). We insulate the bar along the sides and allow the heat to escape from the ends. Therefore the temperature of the bar will change with time. We wish to nd the temperature function u(x, t) that describes this change and will show that such a u(x, t) will be a solution of the heat equation (4.6).
To derive the heat equation, we consider a small segment of the metal bar that lies between the point x and x + x where x represents a small positive number. We represent this segment by the grey area in the following diagram of the metal bar.4.2
As the bar is insulated along the sides, the heat ow out of the segment is only in the indicated direction of the arrows A and B. Recall that heat ows from one point to another point if these points are at dierent temperatures. Now the temperature at a point x on our metal bar at time t is given by the function u(x, t). Note that a dierence in temperature u(x, t) from one point to the next is measured by the change of the function u(x, t) with respect to x. By the denition of partial derivatives, such a change in u u with respect to x is given by the partial derivative x . And as heat ow occurs when we have temperature change, we expect that heat ow at the point x + x on the metal bar at time t should be u proportional to the partial derivative x (x + x, t). This is in fact true the Law of Heat Conduction from physics tells us that the rate of heat ow at the point x + x at time t (indicated by arrow A) is given by u k (x + x, t) (4.10) x from points of high temperature to points of low temperature while x is positive when temperature increases with distance x. Similarly the rate of heat ow at the point x at time t (as indicated by arrow B) is given by k u (x, t). x (4.11) where k is the thermal conductivity of the metal. The sign appears in (4.10) because heat ows
u
Notice that the sign of (4.11) is opposite to that of (4.10) because arrow B points in the opposite direction of arrow A. Now as heat ows out of the segment only in the direction of arrows A and B, we have that u u (4.12) rate of heat loss in segment = k (x, t) k (x + x, t) x x
4.2. We draw our one dimensional metal bar as having width and height ONLY for illustrative purposes.
137
We can determine the rate of heat loss in the segment by another means. Recall that the more the temperature of an object increases, the more heat it will contain. In fact if an object has mass m, specic heat capacity C and temperature T (t) then, also from physics: rate of heat increase of object = mass specic heat capacity rate of temperature increase dT = mC . dt Using the above physical law, it is possible to show4.3 that rate of heat increase in segment = C u( , t) x t where x x + x
where is the mass per unit length of the metal bar and C is the specic heat capacity of the metal bar. Therefore rate of heat loss in segment = C u( , t) x t where x x + x (4.13)
and so from equations (4.12) and (4.13) we have C u(, t) u u x = k (x, t) k (x + x, t). t x x (4.14)
Rearranging equation (4.14) gives k u( , t) = C t

u u (x + x, t) x (x, t) x
(4.15)
and taking the limit of (4.15) as x 0 gives k u( , t) = lim C x0 t x0 lim Now because x
u u (x + x, t) x (x, t) x
(4.16)
x + x we have that x as x 0 and therefore

x0
lim
u( , t) u(x, t) = . t t 2u(x, t) u (x, t) = x2 x
By denition of the partial derivative lim

u u (x + x, t) x (x, t) x
x0
and so from equation (4.16) we obtain k 2u(x, t) u(x, t) = C x2 t (4.17)
and as k, and C are positive constants we may write equation (4.17) in the standard form of the heat equation 2u u = c2 2 x t where c is a constant.
4.3. by using a Mean Value theorem to obtain

x+x
C
x
u(, t) u(s, t) ds = C x where x t t
x + x
138
We have shown that the temperature u(x, t) of our metal bar satisifes the partial differential equation u 2u = c2 2 t x subject to the initial condition u(x, 0) = f (x) and boundary conditions u(0, t) = 0 u(L, t) = 0 where t 0. where 0 x L
In the next section we give a technique for obtaining a solution of such partial dierential equations.
4.2.2 Solution of the heat equation by seperation of variables

We illustrate the use of the seperation of variables technique in the solution of the following onedimensional heat equation. Example 4.14. Let u(x, t) denote the temperature of a thin metal bar of length 1 that is insulated along the sides. Let the temperature along the length of the bar at time t = 0 be given by u(x, 0) = 4x(1 x) u(0, t) = 0 u(1, t) = 0 where 0 x 1.
The ends of the bar are kept at a constant temperature of 0, that is where t 0.
Determine the temperature u(x, t) of the bar by solving the following heat equation 2u u = c2 2 x t where c is a xed constant that depends on the physical properties of the bar. Answer: The method of seperation of variables begins with the assumption that our solution u(x, t) takes the form u(x, t) = X(x)T (t), (4.19) that is, the function of two variables u(x, t) is seperated into a product of a single variable function X(x) and a single variable function T (t). Substituting the solution (4.19) into heat equation (4.18) gives 2 (4.20) (X(x)T (t)) = c2 2 (X(x)T (t)). x t Recall that to dierentiate partially with respect to t, we treat the variable x as a constant. Therefore, when dierentiating X(x)T (t) with respect to t, the function X(x) behaves as a constant and we have (X(x)T (t)) = X(x)T (t) t where T (t) denotes the (ordinary) derivative of T (t). Similarly 2 (X(x)T (t)) = X (x)T (t) x2 (4.18)
139
and so from equation (4.20) we have X(x)T (t) = c2X (x)T (t)
T (t)
T (t) X (x) = 2T (t) c X(x)

X (x)
(4.21)
The left side c2T (t) of equation (4.21) is a function of the variable t; the right side X(x) of (4.21) is a function of a dierent variable x. If T (t) constant c2T (t) then the value of the function c2T (t) will vary with t. Similarly, if X (x) constant X(x) then the value of the function X(x) will vary with x and, in fact, equation (4.21) will be false T (t) X (x) because we can choose values of t and x such that 2 and take dierent values. The only
X (x) T (t)
c T (t) X(x) T (t) X (x) way for equation (4.21) to hold is if c2T (t) and X(x) are both constant functions and are equal to
the same constant k. So we have
T (t) X (x) = = k. 2T (t) c X(x)
(4.22)
We now need to determine if this constant k is zero, positive or negative. That is, we need to determine if k = 0, a2 or a2 where a 0. Using the boundary conditions u(0, t) = 0 u(1, t) = 0 where t 0 (4.23)
we show that the only non-zero solutions of the heat equation (4.18) with these particular boundary conditions 4.4occurs when k = a2 : k=0 If k = 0 then from equation (4.22) we obtain two ordinary dierential equations T (t) = 0 X (x) = 0. Solving these gives T (t) = A where A , B and C are constants. X(x) = B x + C (4.24)
Substituting equations (4.24) into equation (4.19) gives u(x, t) = X(x)T (t) = Ex + F where E = A B and F = A C . From the rst boundary condition of (4.23) we get u(0, t) = E(0) + F = 0 F =0

(4.25)
4.4. In Example 4.15 we will see that the value k = 0 will give a non-zero solution because the boundary conditions of that example are dierent from the boundary conditions of this example.
140
The second boundary condition gives u(1, t) = E(1) + 0 = 0 E=0
As E = F = 0 in (4.25), we have that the solution (4.25) of our heat equation corresponding to k = 0 must be identically equal to zero. k = a2 If k = a2 then from equation (4.22) we have X (x) = a2 X(x) X (x) a2X(x) = 0 X(x) = C cosh (ax) + D sinh (ax) where C and D are constants. From equation (4.19) we have u(x, t) = (C cosh (ax) + D sinh (ax))T (t). From the rst boundary condition of (4.23) we get u(0, t) = (C cosh(0) + D sinh(0))T (t) = 0 (C(1) + D(0))T (t) 0 CT (t) 0 and this implies C = 0. The second boundary condition gives u(1, t) = D sinh(a)T (t) 0 (4.27) (4.26)
and as sinh a 0 when a 0, equation (4.27) implies that D = 0. As C = D = 0, we have that the solution (4.26) obtained when k = a2 is identically equal to zero.
The last possibility of k = a2 will lead to non-zero solutions of the heat equation (4.18). Subsituting k = a2 into equation (4.22) gives X (x) T (t) = = a2 2T (t) X(x) c T (t) + c2a2T (t) = 0 X (x) + a2X(x) = 0 and this is the point of the seperation of variables method, the assumption u(x, t) = X(x)T (t) converts the partial dierential equation 2u u = c2 2 x t into two ordinary dierential equations (4.28) and (4.29) which can be easily solved. By using the D-operator method, the general solution of (4.28) is T (t) = Cec a t and the general solution of (4.29) is X(x) = D cos(ax) + E sin(ax).
2 2
from which we obtain
(4.28) (4.29)
141
And so we have solutions of the heat equation (4.18) of the form u(x, t) = ec a t(A cos (ax) + B sin (ax)) where the arbitrary constants A = CD and B = CE. Note that a is also an arbitrary constant. We now impose the boundary conditions on equation (4.30). From the rst boundary condition of (4.23) we get u(0, t) = ec a t(A cos(0) + B sin (0)) 0 Aec a t 0 A = 0. Substituting A = 0 into (4.30) implies that our solution of the heat equation (4.18) is of the form u(x, t) = Bec a tsin(ax). Imposing the second boundary condition of (4.23) on equation (4.31) gives u(1, t) = Bec a tsin(a) 0 sin(a) = 0 and so the second boundary condition forces a = k where k = 1, 2, 3, (4.32)
2 2 2 2 2 2 2 2 2 2
(4.30)
(4.31)
(note we do not consider k = 0 as this leads to the zero solution; k = 1, 2, do not give solutions ). Substituting each of that are linearly independent of the solutions corresponding to k = 1, 2, these dierent values of a into equation (4.31) implies that ec tsin(x), ec (2) tsin(2x), ec (3) tsin(3x), are each solutions of the heat equation (4.18). So from by the Superposition Principle II on page 133 we have that u(x, t) =
2 2 2 2 2 2
bnec (n) tsin(nx)
(4.33)
n=1
is a solution of the heat equation (4.18) which, by construction, satises the boundary conditions. Finally, we use the given initial condition u(x, 0) = 4x(1 x)
n=1
where 0
to determine the constants bn of equation (4.33). Setting t = 0 in (4.33) gives u(x, 0) =

n=1
bnec (n) 0sin(nx) = 4x(1 x) when 0
when 0
bnsin(nx) = 4x(1 x)
(4.34)
The left side of equation (4.34) is nothing but a Fourier sine series that represents the function 4x(1 x) on the interval 0 x 1. Recall that such a sine series is called the sine half-range expansion of the function 4x(1 x) on the interval 0 x 1 and from Lemma 3.23 on page 128, the coecients bn of the left side of (4.34) are given by bn = 2 L
L
f (x)sin
0 1
nx dx L
bn = 2
0
4x(1 x)sin (nx) dx
142
Integrating by parts with v = 4x(1 x) gives bn = 2 dv = (4 8x) dx du = sin(nx)dx cos (nx) u= n

1 0
4x(1 x)cos (nx) 1 +2 n 0 1 (4 8x)cos (nx) =0+2 dx n 0
(4 8x)cos (nx) dx n
Integrating by parts again with v = (4 8x) gives dv = 8 dx bn = 2 (4 8x)sin (nx) n 2 2 8cos (nx) =0+2 n 3 3
1
du =
cos (nx) dx n sin (nx) u= n 2 2

1
+2
0 1 0 0
8sin (nx) dx n 2 2
Substituting these values for bn into (4.33) and writing the odd values of n as 2k + 1 gives our solution u(x, t) =
k=0
2 2 32 ec ((2k+1)) tsin((2k + 1)x) 3 3 (2k + 1)
8( 1)n 8 =2 + 3 3 n 3 3 n 0 when n is even = 32 3 3 when n is odd n
(4.35)
that satises the heat equation (4.18) subject to the given boundary and initial conditions.
In the above problem, the metal bar initially had a non-zero temperature distribution given by the initial condition u(x, 0) = 4x(1 x) where 0 x 1
and the ends of the bar are held at zero temperature. As heat ows from a high temperature to a lower temperature, we expect the initial heat contained in the bar to ow out of the bar through the ends which are held at zero temperature. Therefore the bar should eventually lose its heat and hence each point in the bar should have zero temperature. This physical expectation actually agrees with the solution (4.35) above. First notice that lim 32 c22t e sin(x) = 3 =0 where
t
lim
32 c2 2t e 3
lim sin(x)
= 0. lim sin(x)
t
lim ec t = 0
2 2
143
as the coecient c2 2 of t in ec t is negative. Similarly the limit of each term in the solution (4.35) is zero as each term in u(x, t) =
2 2 32 ec ((2k+1)) tsin((2k + 1)x) 3 3 (2k + 1) k=0 32 c22t 32 c2(2)2t 32 c2(3)2t = 3e sin(x) + e sin(2x) + e sin(3x) + 27 3 125 3
2 2
(4.36)
contains a exponential with a negative coecient. Therefore we have lim u(x, t) = lim = lim
k=0
2 2 32 ec ((2k+1)) tsin((2k + 1)x) (2k + 1)3 3
32 c22t 32 c2(2)2t 32 c2(3)2t e sin(x) + e sin(2x) + e sin(3x) + 3 27 3 125 3 32 c2(2)2t 32 c2(3)2t 32 2 2 e sin(2x) + lim e sin(3x) + = lim 3 ec tsin(x) + lim 3 3 t 27 t 125 t =0+0+0+ = 0.
t
and note
t
lim u(x, t) = 0
can be interpreted as meaning that the temperature of the bar u(x, t) eventually becomes zero.
4.2.3 The heat equation with insulated ends as boundary conditions

We now consider a similar heat conduction problem in a thin metal bar that is insulated along the sides of the bar. Again we assume the bar has a initial non-zero temperature distribution. However, unlike Example 4.14, we do not hold the ends of the bar at temperature zero. In this case we assume the ends of the bar to be insulated (so that the bar is entirely insulated). Recall from equation (4.10) on page 136, that the heat ow at point x on the bar is given by k u (x, t). x
If the ends x = 0 and x = L of a bar of length L are insulated then there is no heat ow at these points and therefore u u and k (L, t) = 0, k (0, t) = 0 x x and hence the insulation of the ends of a bar of length L can be mathematically stated as u (0, t) = 0 x u (L, t) = 0. x The equations (4.37) is another example of boundary conditions. Example 4.15. Let u(x, t) denote the temperature of a thin metal bar of length that is insulated along the sides. Let the temperature along the length of the bar at time t = 0 be given by u(x, 0) = 1 The ends of the bar are insulated for time t x where 0 x . (4.37)
0 and therefore where t 0.
u (0, t) = 0 x u (, t) = 0 x
144
Determine the temperature u(x, t) of the bar by solving the following heat equation u 2u = c2 2 t x where c is a xed constant that depends on the physical properties of the bar. Answer: We use the method of seperation of variables and therefore assume that our solution u(x, t) takes the form u(x, t) = X(x)T (t). Substituting the solution (4.39) into heat equation (4.38) gives 2 (X(x)T (t)) = c2 2 (X(x)T (t)) x t X(x)T (t) = c2X (x)T (t) T (t) X (x) = 2T (t) c X(x)
T (t) X (x)
(4.38)
(4.39)
(4.40)
and the only way for equation (4.40) to hold is if 2 and are both constant functions and c T (t) X(x) are equal to the same constant k. So we have X (x) T (t) = =k 2T (t) X(x) c where the constant k can be zero, negative or positive, that is k = 0, a2 or a2 where a 0. We now use the boundary conditions u (0, t) = 0 x u (, t) = 0 x (4.41)
where t
(4.42)
to show that the only non-zero solutions of the heat equation (4.38) with the boundary conditions (4.42) occur when k = 0 and k = a2. k = a2 If k = a2 then from equation (4.41) we have X (x) = a2 X(x) X (x) a2X(x) = 0 X(x) = C cosh (ax) + D sinh (ax) where C and D are constants. From equation (4.39) we have u(x, t) = (C cosh (ax) + D sinh (ax))T (t). which implies u (x, t) = (aC sinh (ax) + aD cosh (ax))T (t) x From the rst boundary condition of (4.23) we get u (0, t) = (aC sinh (0) + aD cosh (0))T (t) x (aC(0) + aD(1))T (t) 0 a DT (t) 0 (4.44) (4.43)
145
and this implies D = 0. The second boundary condition gives u (, t) = aC sinh(a)T (t) 0 x (4.45)
and as sinh (a) 0 when a 0, equation (4.45) implies that C = 0. As C = D = 0, we have that the solution (4.43) obtained when k = a2 is identically equal to zero. k=0 If k = 0 then from equation (4.41) we obtain two ordinary dierential equations T (t) = 0 X (x) = 0. Solving these gives T (t) = A where A , B and C are constants. X(x) = B x + C (4.46)
Substituting equations (4.46) into equation (4.39) gives u(x, t) = Ex + F where E = A B and F = A C . Taking the partial derivative gives u (x, t) = E x From the rst boundary condition of (4.42) we get u (0, t) = E = 0. x The second boundary condition also gives u (, t) = E = 0. x Notice that the boundary conditions (4.42) do not give any information about the constant F in equation (4.47), so it is possible that F 0, and therefore when k = 0 the heat equation (4.38) may have a non-zero solution of the form u(x, t) = F . (4.49) (4.48) (4.47)
k = a2 The last possibility of k = a2 will also lead to non-zero solutions. Subsituting k = a2 into equation (4.41) gives T (t) X (x) = = a2 c2T (t) X(x) from which we obtain the two ordinary dierential equations T (t) + c2a2T (t) = 0 X (x) + a2X(x) = 0 By using the D-operator method, the general solution of (4.50) is T (t) = Cec a t
2 2
(4.50) (4.51)
146
and the general solution of (4.51) is X(x) = D cos(ax) + E sin(ax). And so we have solutions of the heat equation of the form u(x, t) = ec a t(A cos (ax) + B sin (ax))
2 2
(4.52)
where the arbitrary constants A = C D and B = C E. Note that a is also an arbitrary constant. By taking the partial derivative of (4.52) we get
2 2 u (x, t) = ec a t( aA sin (ax) + aB cos (ax)) x
(4.53)
and we now impose the boundary conditions on equation (4.53). From the rst boundary condition of (4.42) we get u 2 2 (0, t) = ec a t( aA sin(0) + aB cos (0)) 0 x aBec a t 0 Substituting B = 0 into (4.30) implies that the solutions corresponding to k = a2 is of the form u(x, t) = Aec a tcos(ax)
2 2 u (x, t) = ec a t( aA sin (ax)) x 2 2 2 2
B = 0.
(4.54)
Imposing the second boundary condition of (4.42) on equation (4.54) gives u 2 2 (, t) = ec a t( aA sin (a)) 0 x sin(a) = 0 and so the second boundary condition forces a=k where k = 1, 2, 3,
(note we do not consider k = 0 as this leads to the zero solution; k = 1, 2, do not give solutions that are linearly independent of those corresponding to k = 1, 2, ). Substituting each of these different values of a into equation (4.53) implies that ec tcos(x), ec 2 tcos(2x), ec 3 tcos(3x), are each solutions of the heat equation with the given boundary conditions. So from by the Superposition Principle II on page 133 we have that u(x, t) =
n=1
2 2 2 2 2
anec n tcos(nx)
2 2
(4.55)
is a solution of the heat equation that corresponds to k = a2. From equation (4.49) u(x, t) = a0 2 (4.56)
is also a solution of the heat equation (that corresponds to k = 0) where we rename the constant F a0 as 2 . Since both (4.55) and (4.56) are solutions, by the Superposition Principle their sum u(x, t) = is a solution of the heat equation. a0 + 2
n=1
anec n tcos(nx)
2 2
(4.57)
147
Finally, we use the given initial condition u(x, 0) = 1

n=1
where 0
to determine the constants an of equation (4.57). Setting t = 0 in (4.57) gives u(x, 0) = a0 + 2 anec (n) 0cos(n x) = 1 x
2 2
x x
when 0
a0 + 2
n=1
ancos(n x) = 1
when 0
(4.58)
The left side of equation (4.34) is nothing but a Fourier cosine series that represents the function x 1 on the interval 0 x . Such a cosine series is called the cosine half-range expansion of x the function 1 on the interval 0 x and from Lemma 3.23 on page 128, the coecients an of the left side of (4.58) are given by an = an = 2 L 2
L
f (x)cos
0 0
nx dx L
where n = 0, 1, 2,
When n = 0 we have
1 a0 =
x cos (nx) dx where n = 0, 1, 2,
2 x 1 dx 0 2 x2 = x 2 0 =1
When n = 1, 2,
then applying integration by parts to an = 2 x

0
with v=1 gives an = dv = 2
x cos (nx) dx du = cos(nx)dx u=
1 dx
sin (nx) n
0
Substituting these values for an into (4.58) and writing the odd values of n as 2k + 1 gives our solution 2 2 1 4 u(x, t) = + ec (2k+1) tcos((2k + 1)x) (4.59) 2 2 2 (2k + 1)
k=0
2 x sin (nx) + 2 n 0 2 cos (nx) =0 2 n2 0 0 when n is even = 4 2 2 when n is odd n 1
sin (nx) dx n
that satises the heat equation (4.38) subject to the given boundary and initial conditions.
In the previous problem, the metal bar initially had a non-zero temperature distribution given by the initial condition x where 0 x . u(x, 0) = 1
148
At time t = 0 the ends of the bar were insulated. As the bar is also insulated along the sides, this implies that the bar is entirely insulated for time t 0. Hence we expect no heat loss from the bar; furthermore we expect the initial heat of the bar to eventually distribute itself evenly throughout the length of the bar. So we expect as time t , that each point of the bar should have the same temperature. This physical expectation agrees with the solution (4.59) above, because lim u(x, t) = lim
2 2 4 1 + ec (2k+1) tcos((2k + 1)x) 2 2 (2k + 1) t 2 k=0 1 4 c2t 4 2 4 2 = + lim 2 e cos(x) + lim 2 2 e9c tcos(3x) + lim 2 2 e25c tcos(5x) + 2 t t 3 t 5 1 = +0+0+0+ 2 1 = 2
and note
t
lim u(x, t) =
1 2
can be interpreted as meaning that the temperature of each point on the bar u(x, t) eventually becomes equal to 2 . Also notice that 2 is the average of the initial temperature distribution x u(x, 0) = 1 where 0 x as x x 1 dx 1 dx 0 0 1 = = . length of bar 2
1 1
4.2.4 The heat equation with nonhomogeneous boundary conditions

The boundary conditions of the Example 4.14 u(0, t) = 0 u(1, t) = 0 and the boundary conditions of Example 4.15 u (0, t) = 0 x u (, t) = 0 x where t 0
where t
are examples of homogeneous boundary conditions. Denition 4.16. If the boundary conditions of the one-dimensional heat equation 2u u = c2 2 x t u(0, t) + where 0 < x < a and t > 0
can be written in the form
u (0, t) = 0 x u u(a, t) + (a, t) = 0 x
where t
where , , and are constants, then such boundary conditions are said to be homogeneous. Otherwise, the boundary conditions are called nonhomogeneous.
149
Consider the following heat equation with nonhomogeneous boundary conditions. Example 4.17. Let u(x, t) denote the temperature of a thin metal bar of length 10 that is insulated along the sides. Let the temperature along the length of the bar at time t = 0 be given by u(x, 0) = x2 where 0 x 10.
Let the temperature of the end of the bar corresponding to x = 0 be held at 0 degrees; let the other end be held at 100 degrees that is u(0, t) = 0 u(10, t) = 100 where t 0
Determine the temperature u(x, t) of the bar by solving the following heat equation u 2u = c2 2 t x where c is a xed constant that depends on the physical properties of the bar. Answer: We will use a substitution of the form u(x, t) = us(x, t) + U (x, t) to convert this heat equation with nonhomogeneous boundary conditions to a heat equation with homogeneous boundary conditions as in Example 4.14. We do this because the seperation of variables method fails in the case of nonhomogeneous boundary conditions. Consider the following function us(x, t) = 10x. (4.61) This function us can be interpreted as a linear increase in temperature from the end x = 0 which is at temperature 0 to the end x = 10 at temperature 100. (4.60)
We dene our substitution U(x, t) by the equation U (x, t) = u(x, t) us(x, t), (4.62)
the idea being to use us to subtract the boundary condition from u(x, t) so that U (x, t) has zero temperature at both ends, that is, the boundary conditions for U are homogeneous: U (0, t) = u(0, t) us(0, t) =00 U (10, t) = u(10, t) us(10, t) = 100 10(10)
where t
150
The function us was also chosen to be a solution of the heat equation. By dierentiating (4.61) partially it is easy to see that us 2u = c2 2s (4.63) t x and because (4.63) holds, we have that U (x, t) also satises the heat equation: substituting u(x, t) = U (x, t) + us(x, t) into gives 2u u = c2 2 x t (U + us) 2(U + us) = c2 t x2 U us 2u 2U + = c2 2s + c2 2 t t x x (4.64)
and subtracting (4.63) from (4.64) gives U 2U = c2 2 . t x (4.65)
(If the function us were not a solution of the heat equation, then the partial dierential equation in U obtained would not take the standard form of the heat equation (4.65) ). From equation (4.62) we can also determine the initial condition for U(x, t) u(x, 0) = 10x + U (x, 0) U (x, 0) = x2 10x for 0 x 10.
Therefore we have that the substitution (4.62) converts the heat equation 2u u = c2 2 x t subject to the nonhomogeneous boundary conditions u(0, t) = 0 u(10, t) = 100 and initial condition u(x, 0) = x2 where 0 x 10 where t 0
to another heat equation 2U U = c2 2 x t subject to the homogeneous boundary conditions U (0, t) = 0 U (10, t) = 0 and initial condition U (x, 0) = x2 10x where 0 x 10 where t 0 (4.66)
151
Now the heat equation (4.66) has boundary conditions exactly of the type considered in Example 4.14 and so the technique of solving (4.66) is exactly as the technique used to solve Example 4.14. We use the method of seperation of variables and therefore assume that the solution U (x, t) of (4.66) takes the form U (x, t) = X(x)T (t). Substituting this into heat equation (4.66) gives 2 (X(x)T (t)) = c2 2 (X(x)T (t)) t x X (x) T (t) = =k 2 X(x) c T (t) and, exactly as in Example 4.14, the boundary conditions for U (x, t) imply that the only non-zero solutions are obtained when k = a2 T (t) X (x) = = a2 2T (t) c X(x) from which we obtain the two ordinary dierential equations T (t) + c2a2T (t) = 0 X (x) + a2X(x) = 0 By using the D-operator method, the general solution of (4.67) is T (t) = Cec a t and the general solution of (4.68) is X(x) = D cos(ax) + E sin(ax). And so the solutions of the heat equation take the form U (x, t) = ec a t(A cos (ax) + B sin (ax))
2 2 2 2
(4.67) (4.68)
(4.69)
where the arbitrary constants A = CD and B = CE. We impose the boundary conditions on equation (4.69). From the rst boundary condition of (4.66) we get 2 2 U(0, t) = ec a t(A cos(0) + B sin (0)) 0 Aec a t 0 Substituting A = 0 into (4.69) implies that our solutions are of the form U (x, t) = Bec a tsin(ax). Imposing the second boundary condition on equation (4.70) gives U (10, t) = Bec a tsin(10a) 0 and so the second boundary condition forces 10a = k sin(10a) = 0 where k = 1, 2, 3,
2 2 2 2 2 2
A = 0.
(4.70)
Substituting each of these dierent values of a into equation (4.70) implies that e
c2
2 t 10
sin(
2 3 2x 3x x c2( 10 )2t c2( 10 )2t sin( sin( ), e ), e ), 10 10 10
are each solutions of the heat equation . So from by the Superposition Principle we have that U(x, t) =
n=1
bne
c2
n 2 t 10
sin
nx 10
(4.71)
152
is a solution of the heat equation (4.66) which, by construction, satises the boundary conditions. We use the initial condition U (x, 0) = x2 10x
n=1 c2
n 2 0 10
where 0
10
to determine the constants bn of equation (4.71). Setting t = 0 in (4.71) gives U(x, 0) =

n=1
bne
sin
nx = x2 10x when 0 10 x 10
10
bnsin
nx = x2 10x when 0 10
(4.72)
The left side of equation (4.72) is a Fourier sine series that represents the function x2 10x on the interval 0 x 10. From Lemma 3.23 on page 128, the coecients bn are given by bn = Integrating by parts with v = x2 10x gives bn = dv = (2x 10) dx
10
2 L
f (x)sin
0 10 0
nx dx L nx dx 10
bn =
2 10
(x2 10x)sin
du = sin
nx dx 10 10 nx u= cos n 10
10 0
nx 1 2 10(x2 10x) cos + 10 5 n n 0 10 2 nx =0+ (2x 10) cos dx n 0 10
(2x 10) cos
nx dx 10
Integrating by parts again with v = 2x 10 dv = 2dx gives bn = 2 n nx 10(2x 10) sin 10 n

10 0
du = cos
nx dx 10 nx 10 u= sin 10 n
10 0 10
20 nx sin dx n 10
2 200 nx = cos 2 2 n n 10
Substituting these values for bn into (4.71) and writing the odd values of n as 2k + 1 gives our solution for U (x, t) (2k+1) 2 c2 t (2k + 1)x 800 10 e sin . U (x, t) = 10 (2k + 1)3 3
k=0
200 2 200( 1)n 2 2 = n n 2 2 n 0 when n is even = 800 when n is odd n 3 3
and since u(x, t) = us(x, t) + U (x, t) we obtain the solution of our nonhomogeneous problem
153
u(x, t) = 10x
k=0
c2 800 e (2k + 1)3 3
(2k+1) 10
sin
(2k + 1)x 10
(4.73)
In Example 4.17, holding one end at temperature zero in eect creates a heat sink. Holding the other end at temperature 100 creates a heat source, and we should expect that as time t that the presence of this source and sink to dominate the temperature distribution along the length of the bar. As this source and sink does not change with time (because the temperature at the ends of the bar are xed) we should also expect that the temperature distribution along the bar to stabilize, that is, each point in the bar should as time t to have a temperature that is independent of time. This physical expectation agrees with the solution (4.73) of Example 4.17 as lim u(x, t) = lim 10x
k=0 c2 800 e 3 3 (2k + 1)
(2k+1) 10 2
sin
2
(2k + 1)x 10
(2k+1) c2 t 800 (2k + 1)x 10 e sin 3 3 (2k + 1) 10 t t k=0 x 800 c2 10 2t 2x 800 c2( 2 )2t 10 sin( ) lim 3 3 e = lim 10x lim 3 e sin( ) 10 10 3 t t t = lim 10x 0 0
= lim 10x lim
= 10x and note

t
lim u(x, t) = 10x x 10)
can be interpreted as meaning that the temperature at any point x on the bar (where 0 will eventually reach the value of 10x. Also note that the temperature distribution 10x is independent of time.
154
4.3 The Wave Equation

4.3.1 A derivation of the wave equation
Consider an elastic string that is stretched taut along the x-axis, with one end of the string xed at the point x = 0 and the other end xed at the point x = L.
The string is then distorted at time t = 0
and because the string is under tension, when the string is released it will oscillate about the x axis with the endpoints of the string being stationary. We make the assumption that each point on the string travels vertically under this oscillation. Therefore we can identify each point on the string by an x value and we let the displacement of this point from the horizontal axis at time t be given by the function value u(x, t).
Note that as the ends of the string (which correspond to the points x = 0 and x = L) are xed we have the boundary conditions u(0, t) = 0 for all t 0. (4.74) u(L, t) = 0 If the distortion of the string at time t = 0 is given by the function f (x) where 0 have an initial condition u(x, 0) = f (x) where 0 x L. x L, then we (4.75)
155
Now if u(x, t) = displacement of point x at time t then u (x, t) = velocity of point x at time t. t Therefore if the velocity of each point x on the string is given by the function g(x) where 0 then we have a second initial condition u (x, 0) = g(x) where 0 t x L. x L,
(4.76)
Summarizing, our physical problem is as follows. We have a string that is stretched horizontally between two points that are at a distance L apart. The string has an initial distortion given by equation (4.75) and an initial velocity given by (4.76). Each point on the string can be identied with a point x where 0 x L. We wish to nd a function u(x, t) that measures the displacement of each point on the string from the horizontal axis at time t. This function u(x, t) will be a solution of the wave equation.
To derive the wave equation we consider, at time t, a small segment AB of the string which consists of the points that correspond to the x values that lie between x and x + x where x represents a small positive number:
In the above diagram T1 denotes the tension in the string at the point A; T2 denotes the tension at point B. When x is small enough we may assume that the segment of string A B does not move horizontally, this implies that the net horizontal force on the segment A B is zero. By considering the horizontal components of the tensions T1 and T2 we have T1cos = T2 cos and so T1cos and T2 cos have a common value which we call T , therefore T1cos = T2 cos = T . (4.77)
For x small enough we may also assume that the segment of string A B moves as a particle. The displacement of this particle from the horizontal axis is given by u(x, t), therefore the velocity of this particle in the vertical direction is t (x, t) and the acceleration in the vertical direction is t2 (x, t). By considering the vertical components of the tensions T1 and T2, from Newtons Second Law we have 2u T2 sin T1sin = (x) 2 (4.78) t
u 2u
156
where is the mass per unit length of the string. Dividing equation (4.78) by the value T from equation (4.77) we have T2 sin T1sin x 2u =( ) T T T t2 and using the expressions for T from equation (4.77) we have T2 sin T1sin x 2u =( ) T2cos T1cos T t2 x 2u tan tan = ( ) . T t2
(4.79)
In the following diagram the line segment B C is tangent to the curve u(x, t) at the point B (note that we regard the t variable as being xed).
By the denition of slope we have slope of tangent BC = However, from the denition of the partial derivative slope of tangent BC = and therefore the slope of the tangent at B is u (x + x, t) = tan . x Similarly the slope of the tangent at A is and from the equations of (4.79) we have u (x, t) = tan x u (x + x, t) x CD = tan . BD
u u x 2u (x + x, t) (x, t) = ( ) . x x T t2 Rearranging this equation gives

u u (x + x, t) x (x, t) x
2u =( ) 2 T t
(4.80)
and we take the limit of (4.80) as x 0 to get

x0
lim
u u (x + x, t) x (x, t) x
2u =( ) 2. T t
(4.81)
157
By denition of the partial derivative lim

u u (x + x, t) x (x, t) x
x0
2u(x, t) u (x, t) = x2 x
and so from equation (4.81) we obtain 2u(x, t) 2u =( ) 2 2 x T t (4.82)
and as and T are positive constants we may write equation (4.82) in the standard form of the wave equation 2u 2u = c2 2 2 x t where c is a constant.
4.3.2 Solution of the wave equation by seperation of variables

The solution of the wave equation by the method of seperation of variables is similar to the solution of the heat equation by seperation of variables that was done in Section 4.2.2. In solving the wave equation we shall assume a solution of the form u(x, t) = X(x)T (t) substitute this solution into the wave equation to obtain T (t) X (x) = =k X(x) c2T (t) consider the cases of k = a2, 0, a2 and use boundary conditions to determine which of these cases of k lead to nonzero solutions of the wave equation use the Superposition Principle to write these non-zero solutions in expressions that resemble4.5 nct nx nct + bnsin sin u(x, t) = ancos L L L
n=1
use initial conditions and the half-range cosine/sine formulae an = 2 L

L
f (x)sin
0 L
nx dx L nx dx L
ncbn 2 = L L
g(x)sin
0
to determine the constants an and bn, where f (x) and g(x) describe the initial displacement and velocity.
4.5. solutions may not always take this form
158
We illustrate the solution of the wave equation by the following example. Example 4.18. Solve the wave equation 2u 2u = 2 t2 x u(0, t) = 0 u(, t) = 0 and initial conditions 1 u(x, 0) = sin x sin 2x 2 u (x, 0) = 0 t where 0 x . (4.83)
subject to the boundary conditions
Answer: We use the method of seperation of variables and therefore assume that our solution u(x, t) takes the form u(x, t) = X(x)T (t). Substituting the solution (4.84) into wave equation (4.83) gives 2 2 (X(x)T (t)) = 2 (X(x)T (t)) 2 t x X(x)T (t) = X (x)T (t) T (t) X (x) = X(x) T (t)
T (t) X (x)
(4.84)
(4.85)
and the only way for equation (4.85) to hold is if T (t) and X(x) are both constant functions and are equal to the same constant k. So we have T (t) X (x) = =k X(x) T (t) where the constant k can be zero, negative or positive, that is k = 0, a2 or a2 where a 0. We now use the boundary conditions u(0, t) = 0 u(L, t) = 0 where t 0 (4.87) (4.86)
to show that the only non-zero solutions of the wave equation (4.83) with the boundary conditions (4.87) occur when k = a2. k=0 If k = 0 then from equation (4.84) we obtain two ordinary dierential equations T (t) = 0 X (x) = 0. Solving these gives T (t) = A t + B X(x) = C x + D where A , B ,C and D are constants. (4.88)
159
Substituting equations (4.88) into equation (4.84) gives u(x, t) = (C x + D )(A t + B ) From the rst boundary condition of (4.87) we get u(0, t) = D (A t + B ) 0 for all values of t 0, which implies that D = 0. The second boundary condition gives u(, t) = C (A t + B ) 0 for all values of t 0, which implies that C = 0. As the boundary conditions imply that C = 0 D = 0 we have that when k = 0, the corresponding solution (4.89) is identically equal to zero. k = a2 If k = a2 then from equation (4.84) we obtain two ordinary dierential equations T (t) a2T (t) = 0 Solving these gives X (x) a2X(x) = 0. T (t) = A cosh(at) + B sinh(at) X(x) = C cosh(ax) + D sinh(ax) where A , B ,C and D are constants. Substituting equations (4.90) into equation (4.84) gives u(x, t) = (C cosh(ax) + D sinh(ax))(A cosh(at) + B sinh(at)) From the rst boundary condition of (4.87) we get u(0, t) = (C (1) + D (0))(A cosh(at) + B sinh(at)) 0 for all values of t 0, which implies that C = 0. The second boundary condition gives u(, t) = (D sinh(a))(A cosh(at) + B sinh(at)) 0 for all values of t 0, and as sinh(a) 0 when a 0, this implies that D = 0. As the boundary conditions imply that C = 0 D = 0 we have that when k = a2, the corresponding solution (4.91) is identically equal to zero. (4.91) (4.90) (4.89)
160
k = a2 The last possibility of k = a2 will lead to non-zero solutions. Subsituting k = a2 into equation (4.86) gives T (t) X (x) = = a2 T (t) X(x) from which we obtain the two ordinary dierential equations T (t) + a2T (t) = 0 X (x) + a2X(x) = 0 By using the D-operator method, the general solution of (4.92) is T (t) = A cos(at) + B sin(at) and the general solution of (4.93) is X(x) = C cos(ax) + D sin(ax). So we have solutions of the wave equation of the form u(x, t) = (A cos(at) + B sin(at))(C cos (ax) + D sin (ax)). From the rst boundary condition we get u(0, t) = (A cos(at) + B sin(at))(C(1) + D(0)) 0 C(A cos(at) + B sin(at)) 0 C =0 (4.94) (4.92) (4.93)
and therefore the solutions take the form u(x, t) = (a cos(at) + b sin(at))sin (ax) where a = AD and b = BD. Imposing the second boundary condition on equation (4.95) gives u(, t) = (a cos(at) + b sin(at))sin (a) 0 and so the second boundary condition forces a=k sin(a) = 0 where k = 1, 2, 3, (4.95)
(note we do not consider k = 0 as this leads to the zero solution; k = 1, 2, do not give solutions that are linearly independent of those corresponding to k = 1, 2, ). Substituting each of these different values of a into equation (4.95) implies that (a1cos(t) + b1sin(t))sin(x) , (a2cos(2t) + b2sin(2t))sin(2x) , (a3cos(3t) + b3sin(3t))sin(3x), are each solutions of the wave equation (4.83). So from by the Superposition Principle II on page 133 we have that u(x, t) =
(ancos(nt) + bnsin(nt))sin(nx)
(4.96)
n=1
is a solution of the wave equation (4.83) which, by construction, satises the boundary conditions. Finally, we use the given initial conditions 1 u(x, 0) = sin x sin 2x 2 u (x, 0) = 0 x where 0 x .
161
to determine the coecients an , bn of the solution (4.96). Setting t = 0 in (4.96) gives u(x, 0) =
n=1
1 (ancos(0) + bnsin(0))sin(n x) = sin x sin 2x 2
when 0
n=1
1 ansin(n x) = sin x sin 2x 2
when 0
(4.97)
The left side of equation (4.97) is a Fourier sine series that represents the function sin x 2 sin 2x on the interval 0 x . Such a sine series is called the sine half-range expansion of the function 1 sin x 2 sin 2x on the interval 0 x and from Lemma 3.23 on page 128, the coecients an of the left side of (4.97) are given by an = an = 2
2 L
f (x)sin
0
nx dx L
where n = 1, 2,
1 sin x sin 2x sin (nx) dx where n = 1, 2, 2
Now if n is an integer, then sin(nx)sin (nx) dx =

0 0
sin2(nx) dx 1 cos(2nx) dx 2
= = and when n m are both integers

sin(nx)sin (mx) dx =
0 0
cos(m n)x cos(m + n)x dx 2
= 0. Therefore we have a1 = 1 2 sin x sin 2x sin x dx 2 0 1 2 sin x sin x dx sin 2x sin x dx = 0 0 2 1 = . .0 2 =1
and similarly a2 = 1 2 sin x sin 2x sin 2x dx 2 0 2 1 = sin x sin2x dx sin 2x sin2x dx 0 0 2 1 = .0 . 2 1 = . 2
For ak where k > 2 we have ak = 2 1 sin x sin 2x sin kx dx 0 2 2 1 = sin x sin kx dx sin 2x sin kx dx 0 0 2 1 = .0 .0 =0
162
and therefore we have determined the an a1 = 1 a2 =

n=1
1 2
and an = 0 for all n > 2.
(4.98)
Dierentiating the solution (4.96) partially with respect to t gives u (x, t) = t ( nansin(nt) + nbncos(nt))sin(nx)
and from the second initial condition we have u (x, 0) = t which implies
n=1
( nansin(0) + nbncos(0))sin(nx) 0
n=1
when 0
nbnsin(nx) 0
(4.99)
The left side of equation (4.99) is a Fourier sine series that represents the function 0 on the interval 0 x and from Lemma 3.23 on page 128, the coecients nbn of the left side of (4.99) are given by 2 L nx dx where n = 1, 2, nbn = f (x)sin L 0 L nbn = 2
(0)sin (nx) dx where n = 1, 2,

0
nbn = 0 bn = 0 where n = 1, 2, (4.100)
Substituting the values of the coecients an and bn given by (4.98) and (4.100) into (4.96) we obtain our solution 1 u(x, t) = cos(t)sin(x) cos(2t)sin(2x) 2 of the wave equation (4.83) that satises the given boundary and initial conditions.
4.4 Laplaces equation
163

Laplaces equation is a partial dierential equation that does not involve the time variable t. In Cartesian coordinates, the form of Laplaces equation depends on dimension: d 2u =0 dx2 2u 2u + =0 x2 y 2 2u 2u 2u + + =0 x2 y 2 y 2
Laplace s equation in 1 dimension
Laplace s equation in 2 dimensions
Laplace s equation in 3 dimensions
Laplaces equation arises when one considers solutions of physical problems that are independent of time. Solutions that are independent of time are called steady state solutions.
Example 4.19. In Example 4.17 we showed on page 150 that us(x, t) = 10x is a solution of the heat equation 2u u = c2 2 x t subject to the nonhomogeneous boundary conditions u(0, t) = 0 u(10, t) = 100 where t 0
Notice that the solution us does not involve the t variable, so us is an example of a steady-state solution. As us is a solution of this heat equation we clearly have 2u us = c2 2s . x t (4.101)
Furthermore as us is independent of the time variable t, when we dierentiate partially with respect to t we have us =0 (4.102) t and substituting (4.102) into (4.101) we have that, after dividing by c2, that 2us =0 x2 and as us is a function of x only we have that d2us =0 dx2 which is Laplaces equation in one dimension. So we see that us is an example of a steady-state solution of a one-dimensional heat equation being a solution of Laplaces equation in one-dimension. To be precise, us is a solution of the Laplaces equation together with specied boundary conditions:
164
d2u =0 dx2 subject to the boundary conditions u(0) = 0 u(10) = 100 Finally, recall that the limit of the solution of the heat equation in Example 4.17 lim u(x, t) = lim 10x
k=0 c2 800 e 3 3 (2k + 1)
(2k+1) 10 2
sin
(2k + 1)x 10
= 10x = us(x, t) So we see that the steady-state solution us of the the heat equation in Example 4.17 gives the temperature distribution that the metal bar eventually stabilizes to. As us is a solution of a Laplaces equation, we have that the limiting temperature distribution of the solution of a heat equation can sometimes be obtained as a solution of a corresponding Laplaces equation with the appropriate boundary conditions.
We see an example of this in the following Example 4.20. From Example 4.14 we saw the solution of the following heat equation problem Let u(x, t) denote the temperature of a thin metal bar of length 1 that is insulated along the sides. Let the temperature along the length of the bar at time t = 0 be given by u(x, 0) = 4x(1 x) u(0, t) = 0 u(1, t) = 0 is given by u(x, t) = where 0 x 1. The ends of the bar are kept at a constant temperature of 0, that is where t 0.
k=0
2 2 32 ec ((2k+1)) tsin((2k + 1)x) 3 3 (2k + 1)
and this temperature function eventually stablilizes to

t
lim u(x, t) = 0
(4.103)
as we would expect because all the initial heat in the bar ows out of the ends of the bar which are at zero temperature. Notice that this limiting temperature distribution of zero (4.103) is identical to the solution of a corresponding one-dimensional Laplaces equation with the same boundary conditions as the heat equation d2u =0 dx2 subject to the boundary conditions u(0) = 0 u(1) = 0
165
because the solution of the above Laplaces equation is easily shown to be zero: d2u =0 dx2 u(x) = Ax + B u(0) = 0 u(1) = 0 A=B =0 hence u = 0. which is the limiting temperature distribution of (4.103). The previous two examples provide evidence that Laplaces equation in one dimension can be interpreted as a steady-state heat ow problem in one dimension, that is, a problem of nding a steady-state solution of a one dimensional heat equation that satises some given boundary conditions. In this section we shall be interested in solving the two dimensional Laplaces equation over a rectangular domain. The following lemma implies that Laplaces equation in two dimensions can also be interpreted as a steady-state heat ow problem in two dimensions, that is, a problem of nding a steady-state solution of a two dimensional heat equation that satises certain conditions on the boundary of the domain. Lemma 4.21. Let us be a steady-state solution of the two dimensional heat equation 2u 2u u . = c2 + x2 y 2 t Then us is a solution of Laplaces equation in two dimensions 2u 2u + = 0. x2 y 2 Proof. As us is a solution of this heat equation we clearly have 2us 2us us = c2 + x2 y 2 t As us is steady-state, it is independent of the time variable t and therefore us =0 t and by substituting (4.106) into (4.105) and dividing by c2 we have that 2us 2us + =0 y 2 x2 and therefore us is a solution of Laplaces equation in two dimensions. (4.106) (4.105) (4.104)
and the boundary conditions imply that
166
4.4.1 Solving Laplaces equation by seperation of variables

We illustrate the solution of Laplaces equation over a rectangular domain with prescribed boundary conditions by the following example. Example 4.22. By solving Laplaces equation 2u 2u + =0 x2 y 2 in the square domain {(x, y)| 0 x 1 and 0 y 1}, (4.107)
nd the steady-state temperature u(x, y) of a thin square metal plate of length 1 which has each of its four sides at temperatures that are given by the following boundary conditions u(0, y) = 0 u(1, y) = 0 where 0 u(x, 0) = 0 u(x, 1) = x(1 x)
1 and 0
1.
(4.108)
Answer: The following diagram illustrates the boundary conditions around the square plate:
We solve this Laplaces equation by using seperation of variables and therefore assume that our solution u(x, y) takes the form u(x, y) = X(x)Y (y). Substituting the solution (4.109) into Laplaces equation (4.107) gives 2 2 (X(x)Y (y)) + 2 (X(x)Y (y)) = 0 2 x y X (x)Y (y) + X(x)Y (y) = 0 Y (y) X (x) = Y (y) X(x) (4.110) (4.109)
167
and the only way for equation (4.85) to hold is if and are equal to the same constant k. So we have
X (x) and X(x)
Y (y) are both constant functions Y (y)
Y (y) X (x) = =k Y (y) X(x) where the constant k can be zero, negative or positive, that is k = 0, a2 or a2
(4.111)
where a 0. As with the heat and wave equations, we use the boundary conditions (4.108) to determine which of the k = 0, a2 or a2 will give non-zero solutions. k=0 If k = 0 then from equation (4.111) we obtain two ordinary dierential equations X (x) = 0 Y (y) = 0. Solving these gives X(x) = A x + B Y (y) = C y + D where A , B ,C and D are constants. Substituting equations (4.112) into equation (4.109) gives u(x, y) = (A x + B )(C y + D ) and it is easy to check that the boundary conditions u(0, y) = 0 u(1, y) = 0 imply that A = B = 0 and hence the only solution u(x, y) corresponding to k = 0 is the zero solution u(x, y) = 0. (4.112)
k = a2 If k = a2 then from equation (4.111) we obtain two ordinary dierential equations X (x) a2X(x) = 0 Solving these gives Y (y) a2Y (y) = 0. X(x) = A cosh(ax) + B sinh(ax) Y (y) = C cosh(ay) + D sinh(ay) where A , B ,C and D are constants. Substituting equations (4.113) into equation (4.111) gives u(x, y) = (A cosh(ax) + B sinh(ax))(C cosh(ay) + D sinh(ay)) and again it is easy to check that the boundary conditions u(0, y) = 0 u(1, y) = 0 (4.113)
168
imply that A = B = 0 and hence the only solution u(x, y) corresponding to k = a2 is the zero solution u(x, y) = 0. k = a2 The last possibility of k = a2 will lead to non-zero solutions. Subsituting k = a2 into equation (4.111) gives X (x) Y (y) = = a2 X(x) Y (y) from which we obtain the two ordinary dierential equations X (x) + a2X(x) = 0 Solving these gives Y (y) a2Y (y) = 0 X(x) = A cos(ax) + B sin(ax) Y (y) = C cosh(ay) + D sinh (ay) where A, B, C and D are constant. Substituting (4.114) into (4.109) gives u(x, y) = (A cos(ax) + B sin(ax))(C cosh(ay) + D sinh (ay)). From the rst boundary condition u(0, y) = 0 of (4.108) we have u(0, y) = (A cos(0) + B sin(0))(C cosh(ay) + D sinh (ay)) 0 A(C cosh(ay) + D sinh (ay)) 0 and therefore our solution u(x, y) takes the form u(x, y) = sin(ax)(a cosh(ay) + b sinh(ay)) where a = BC and b = BD. Imposing the second boundary condition u(1, y) = 0 on the solution (4.115) gives u(1, y) = sin(a)(a cosh(ay) + b sinh(ay)) 0 and so the second boundary condition forces a = k sin(a) = 0 where k = 1, 2, 3, (4.115) A=0 (4.114)
Substituting each of these dierent values of a into (4.115) implies that sin(x)(a1cosh(y) + b1sinh(y)) sin(2x)(a2cosh(2y) + b2sinh(2y)) sin(3x)(a3cosh(3y) + b3sinh(3y)) are each solutions of Laplaces equation. So from the Superposition Principle we have that u(x, y) =
n=1
sin(nx)(ancosh(ny) + bnsinh(ny))
(4.116)
is a general form of the solution of Laplaces equation which, by construction, satises the rst two boundary conditions of (4.108).
169
Finally, we use the other two boundary conditions u(x, 0) = 0 u(x, 1) = x(1 x) when 0 x 1
to determine the coecients an , bn of the solution (4.116). From u(x, 0) = 0 we have u(x, 0) =
n=1
sin(nx)(ancosh(0) + bnsinh(0)) = 0
sin(nx)(an(1) + bn(0)) = 0 when 0 x 1. (4.117)
n=1 n=1
ansin(nx) = 0
The left side of equation (4.117) is a Fourier sine series that represents the function 0 on the interval 0 x 1 and from Lemma 3.23 on page 128, the coecients an on the left side of (4.117) are given by 2 L nx an = f (x)sin dx where n = 1, 2, L 0 L an = 2 1 (0)sin nx dx where n = 1, 2, 1 0 an = 0 where n = 1, 2,
n=1
and so we have that our solution (4.116) of Laplaces equation simplies to u(x, y) = From the fourth boundary condition we have u(x, 1) =
n=1
bnsin(nx)sinh(ny).
(4.118)
u(x, 1) = x(1 x)
n=1
bnsin(nx)sinh(n ) = x(1 x) when 0
(bnsinh (n))sin(nx) = x(1 x) when 0 bnsinh(n)
1.
(4.119)
The left side of equation (4.119) is a Fourier sine series with coecients that represents the function x(1 x) on the interval 0 x 1 and from Lemma 3.23 on page 128, the coecients bnsinh(n) on the left side of (4.119) are given by bnsinh(n) = Integrating by parts with 2 1
1 0
x(1 x)sin
1
nx dx 1
where n = 1, 2,
2
0
x(1 x)sin (nx)dx du = sin(nx)dx cos (nx) u= n

1
v = x(1 x) gives dv = (1 2x) dx bnsinh(n) = 2
1 (1 2x)cos (nx) x(1 x)cos (nx) dx +2 n n 0 0 1 (1 2x)cos (nx) =0+2 dx n 0
170
Integrating by parts again with v = (1 2x) gives dv = 2 dx bnsinh(n) = 2 du = cos (nx) dx n sin (nx) u= n 2 2
1 1
(1 2x)sin (nx) n 2 2 2cos (nx) =0+2 n 3 3
+2
0 1 0 0
2sin (nx) dx n 2 2
and therefore
Substituting these values for bn into (4.118) and writing the odd values of n as 2k + 1 gives our solution for u(x, y) u(x, y) =
k=0
2( 1)n 2 =2 + 3 3 n3 3 n 0 when n is even = 8 3 3 when n is odd n 0 when n is even bn = 8 when n is odd 3 3 n sinh(n)
8 sin((2k + 1)x)sinh((2k + 1)y) (2k + 1)3 3sinh((2k + 1))
(4.120)
which gives the steady-state temperature distribution of the square plate with the given boundary conditions. The following contour plot, drawn with the computer program Maple, shows a plot of the solution (4.120) that represents a temperature distribution of the square plate (for example, all points on the curve labelled u = .04 have temperature equal to .04). Note that the maximum temperature of .25 on the square plate is achieved at the point (x, y) = (.5, 1) which lies on the top edge of the plate.
Figure 4.1. Contour plot showing steady-state solution to Example 4.22
4.5 Laplaces equation in polar coordinates
171

In the last section we used Laplaces equation 2 u 2u + =0 x2 y 2 (4.121)
to solve a steady-state heat ow problem in a square plate. If we wish to solve similar problems in circular plates, it is sometimes easier to work with polar coordinates (r, ) than with Cartesian coordinates (x, y). Recall that a point may be located in the plane by its Cartesian coordinates (x, y). The location of this same point may also be given by the polar coordinates (r, )
Figure 4.2.
where r is the distance of the point (x, y) from the origin and is the angle that the line connecting the point (x, y) with the origin makes with the x axis. By considering the above right-angled triangle, clearly we have x = r cos y = r sin . (4.122) (4.123)
Let u(x, y) (4.124)
be a solution of the two-dimensional Laplaces equation (4.121). Then if we replace x in the solution u(x, y) by equation (4.122) and replace y by equation (4.123) we obtain a function u(r cos , r sin ) (4.125)
in the variables r and . We will prove in Lemma 4.27 that the function (4.125) is a solution of the partial dierential equation 2u 1 u 1 2u + + =0 (4.126) r2 r r r2 2 and the equation (4.126) is called Laplaces equation in polar coordinates. The opposite is also true (we will not prove this). If w(r, ) is a solution of Laplaces equation in polar coordinates, then by using the substitutions r = (x2 + y 2) 2 = tan1 y . x
1 1
(4.127) (4.128)
we can convert w(r, ) into a function of the variables x and y w((x2 + y 2) 2 , tan1 y ) x
172
and this function will be a solution of Laplaces equation (4.121) in Cartesian coordinates.
Example 4.23. By dierentiating partially, it is easy to check that the function u(x, y) = x is a solution of Laplaces equation 2u 2 u + = 0. x2 y2 Expressing this solution u in polar coordinates gives u(r, ) = r cos and this function of (r, ) satises Laplaces equation (4.121) in polar coordinates 2u 1 u 1 2u + + r2 r r r2 2 2 1 1 2 = 2 (r cos ) + (r cos ) + 2 2 (r cos ) r r r r 1 1 = 0 + (cos ) + 2 ( r cos ) r r =0
Recall the following basic result for derivatives of functions of one variable. Lemma 4.24. (Chain Rule) If y = f (u) and u = g(x) are both dierentiable functions then y = f (g(x)) is a dierentiable function of x and dy dy du = dx du dx Example 4.25. Let y = u10 and u = x2 + x. Then from Lemma 4.24 y = (x2 + x)10 is a dierentiable function of x and dy = 10u9 (2x + 1) dx = 10(x2 + x)9(2x + 1).
For functions of two variables, there is also a version of the Chain Rule which we will state in the form that we shall need. Lemma 4.26. Suppose that u(r, ) is a dierentiable function of r and . Let r = g(x, y) = h(x, y) r r , , and x y x y u(g(x, y), h(x, y)) is a dierentiable function of x and y and u u r u = + x r x x u u r u = + y r y y
and suppose that the partial derivatives exist. Then
173
We now show that a solution u(x, y) of Laplaces equation in Cartesian coordinates corresponds to a solution u(r cos , r sin ) of Laplaces equation in polar coordinates. Lemma 4.27. Let u(x, y) be a solution of Laplaces equation 2u 2 u + = 0. x2 y2 Then the function u(r cos , r sin ) 4.6 is a solution of 2u 1 u 1 2u + + =0 r2 r r r2 2 which is Laplaces equation in polar coordinates. Proof. Let u(x, y) be a solution of Laplaces equation. If we replace x, y in u(x, y) by x = r cos y = r sin u(r cos , r sin ). (4.129)
we obtain the function
We shall apply Lemma 4.26 to the function (4.129). The corresponding functions r, of Lemma 4.26 shall be r = (x2 + y 2) 2 = tan1 From Figure 4.2 we have cos = sin = y x
1
(4.130) (4.131)
adjacent x = hypotenuse (x2 + y 2) 1 2 opposite y = hypotenuse (x2 + y 2) 1 2
Substituting (4.130) and (4.131) into (4.129) gives u(r cos , r sin ) = u (x2 + y2) 2
1
x (x2 + y 2)
1 2
, (x2 + y 2) 2
y (x2 + y 2) 2
1
(4.132)
and notice that the function of x and y given in (4.132) is nothing but the solution u(x, y) of Laplaces equation 1 1 x y 2 2 2 = u(x, y). u (x2 + y 2) 2 1 , (x + y ) 1 2 + y 2) 2 2 + y 2) 2 (x (x Applying Lemma 4.26 to (4.132) gives u u r u = + x r x x u x u = + r (x2 + y 2) 1 2 u u x u = + x r r y r2
y (x2 + y 2) (4.133)
where r is as given in (4.130).
4.6. The functions u(x, y) and u(r cos , r sin ) are the same function expressed in dierent coordinates.
174
Also u u r u = + y r y y u y u = + r (x2 + y 2) 1 2 u u y u x = + y r r r2
x (x2 + y 2) (4.134)
Notice that equations (4.133) and (4.134) express the partial derivatives of the solution u(x, y) in terms of the partial derivatives of u(r cos , r sin ). Similarly, we want to express the second partial derivatives 2u 2u , x2 y 2 of the solution u(x, y) in terms of the second partial derivatives of u(r cos , r sin ). Then the equation 2u 2 u + =0 x2 y2 will give a relationship among the second partial derivatives of u(r cos , r sin ), this relationship will be exactly Laplaces equation in polar coordinates 2u 1 u 1 2u + + =0 r2 r r r2 2 and the fact that the partial derivatives of u(r cos , r sin ) satisfy this relationship means that u(r cos , r sin ) is a solution of Laplaces equation in polar coordinates. So we dierentiate (4.133) with respect to x, by rst applying the product rule and then chain rule in the form of Lemma 4.26 u u 2u y x u x u y = + + + x r r x r x r 2 x2 x r r2 u y x u y 2 u 2xy u + + + = r r r3 x r4 x r r2 x u y 2 2u x y 2u x 2u y 2u + = + 3+ + 2 2 r 2 r r r r r r r r r2 2u 2u x2 2u 2xy 2u y 2 u y 2 u 2xy = 2 2 + 2 4+ + r r3 r r r3 r4 x2 r r
y r2
u 2xy r4
(4.135)
Similarly, by dierentiating (4.134) with respect to y gives 2u 2xy 2u x2 u x2 u 2xy 2u 2u y 2 = 2 2+ + 2 4+ r r3 r r r3 r4 y 2 r r by adding (4.135) and (4.136) we have 2u 2 u + = x2 y 2 x2 + y2 2u + r2 r 2 x2 + y 2 u + r3 r x 2 + y 2 2u . r4 2 (4.137) (4.136)
The function u(x, y) on the left of (4.137) which is a solution of Laplaces equation by hypothesis 2u 2 u + =0 x2 y2 and substituting this in (4.137) and using the equation r2 = x2 + y 2
175
gives the following relationship between the partial derivatives of u(r cos , r sin ) 2u 1 u 1 2u + + =0 r2 r r r2 2 which implies that u(r cos , r sin ) is a solution of Laplaces equation in polar coordinates.
We illustrate Laplaces equation in polar coordinates by the following example. Example. By solving Laplaces equation in polar coordinates 2u 1 u 1 2u + + =0 r2 r r r2 2 {(r, )|r 1} (4.138)
in the circular domain
nd the steady-state temperature of a thin metal disc of radius 1 which has boundary temperature specied by u(1, ) = sin3 0 2. (4.139) Answer: The following diagram illustrates the boundary condition around the metal disc
We use the method of seperation of variables and therefore assume that our solution u(r, ) takes the form u(r, ) = R(r)(). (4.140) Substituting the solution (4.84) into Laplaces equation in polar coordinates (4.138) gives 2 1 1 2 (R(r)()) + (R(r)()) + 2 2 (R(r)()) = 0 2 r r r r 1 1 R (r)() + R (r)() + 2 R(r) () = 0 r r (r2 R (r) + rR (r))() = R(r) () r 2 R (r) + rR (r) () = R(r) ()
r 2 R (r) + rR (r) and R(r)
(4.141)
and the only way for equation (4.85) to hold is if
functions and are equal to the same constant k. So we have r2 R (r) + rR (r) () = =k R(r) ()
() are both constant ()
(4.142)
176
where the constant k can be zero, negative or positive, that is k = 0, a2 or a2
where a > 0. Now notice that
(r, ), (r, + 2), (r, + 4), speciy exactly the same point in polar coordinates. It follows that the function u(r, ) should have the following property u(r, ) = u(r, + 2k) where k is an integer. Therefore from equation (4.140) we have R(r)() = R(r)( + 2k) () = ( + 2k)
that is, the function () must be periodic with period 2. This fact implies that the constant k of equation (4.142) cannot be negative, that is k a2, because () = a2 ()
() a2 () = 0 and this function is only periodic if A = B = 0.
() = Aea + Bea
We now consider the other two possibilities k = 0 and k = a2 . k=0 If k = 0 then from equation (4.142) we obtain two ordinary dierential equations r2 R (r) + rR (r) = 0 () = 0 Solving these
4.7
gives R(r) = A + B ln r () = C + D (4.143) (4.144)
where A , B ,C and D are constants. Now from above, the function () must be periodic, and therefore D = 0, hence () = C (note that a constant function is periodic). Substituting equations (4.143) and (4.145) into equation (4.140) gives u(r, ) = a + b ln r where a = A C and b = B C . Now for this steady-state heat problem, we expect that the temperature at r = 0 (that is at the center of the disc) to have some nite value as the condition u(1, ) = sin3 0 2 (4.146) (4.145)
4.7. We can solve r2 R (r) + rR (r) = 0 by using the substitution w = R (r) and then seperating variables.
177
imposes nite temperature on the boundary. Note however, that if b

r0+
0 in the solution (4.146) then
depending on the sign of b because
lim a + b ln r =
r0+
lim ln r = .
Because we expect nite temperature at r = 0, we have that b = 0 in (4.146) and therefore u(r, ) = a is the only possible solution of Laplaces equation in polar coordinates when the constant k = 0 in equation (4.142). Because we shall eventually use Fourier series, we write this solution as u(r, ) = k = a2 If k = a2 then from equation (4.142) we obtain two ordinary dierential equations r2 R (r) + rR (r) a2R(r) = 0 () + a2() = 0 The solution of (4.149) is () = A cos(a) + B sin(a). and because () must be periodic with period 2, it follows that a = n = 1, 2, 3, Substituting a = n into (4.148) gives r2 R (r) + rR (r) n2R(r) = 0 and this dierential equation is called Eulers equation. By substitution it is easy to check that the general solution of Eulers equation is R(r) = C rn + D r n and so, by substituting in (4.140), for each value of n = 1, 2, 3, we have a corresponding solution (4.150) (4.148) (4.149) a0 . 2 (4.147)
un(r, ) = (Cn rn + Dn r n)(Ancos(n) + Bn sin(n))
As discussed above, we expect that the temperature at r = 0 (that is at the center of the disc) to have some nite value. Note however, that
r0+
lim r n = ,
Dn = 0
this implies that for each n = 1, 2, 3,
we have that the constant
and so for each value of n = 1, 2, 3,
we have the corresponding solution
un(r, ) = rn(ancos(n) + bnsin(n))

where an = Cn An and bn = Cn Bn .
So we see that for k = 0 and k = 1, 2, the functions a0 , r(a1cos() + b1sin()), r2(a2cos(2) + b2sin(2)), 2
178
are each solutions of this particular Laplaces equation in polar coordinates. So from the Superposition Principle we have that u(r, ) = a0 + 2
n=1
rn(ancos(n) + bnsin(n))
(4.151)
is the form of the solution of our Laplaces equation in polar coordinates. We determine the constants an and bn of (4.151) from the given boundary condition u(1, ) = sin3 Substituting r = 1 into (4.151) implies that a0 + 2
n=1
when 0
2.
(ancos(n) + bnsin(n)) = sin3
when 0
2.
(4.152) 2. There-
The left side of (4.152) is nothing but the Fourier series of sin3 for the interval 0 fore, from the Eulers formulae for a Fourier series we have an = bn = Notice that the function 1 1

sin3cos(n) d sin3 sin(n)d sin3
where n = 0, 1, 2, 3, where n = 1, 2, 3,
is an odd function, therefore we have that an = 0 for each n = 0, 1, 2, 3,
To determine the bn we recall the triple angle formula sin 3 = 3sin 4sin3 3 1 sin3 = sin sin 3 4 4 Also recall that if n is an integer, then

sin(n)sin (n) d =

sin2(n) d 1 cos(2n) d 2
= = and when n m are both integers

sin(n )sin (m) d =
= 0.
cos(m n) cos(m + n) d 2
(4.153)
Therefore we have b1 = 1 sin3 sin d 1 1 3 ( sin sin 3) sin d = 4 4 1 3 1 1 = sin sin d sin 3 sin d 4 4 1 1 3 = . .0 4 3 = 4
179
and similarly b3 = 1 sin3 sin 3 d 1 1 3 ( sin sin 3) sin 3 d = 4 4 1 3 1 1 = sin sin 3 d sin 3 sin3 d 4 4 1 1 1 = .0 . 4 1 = . 4 1, 3 we have 1 sin3 sin n d 1 3 1 = ( sin sin 3) sin n d 4 4 3 1 1 1 sin sin n d sin 3 sin n d = 4 4 1 1 = .0 .0 (from the identity (4.153)) =0 an = 0 for each n = 0, 1, 2, 3, 3 n=1 4 4 0
1
For any positive integer n
bn =
and substituting
bn =
n=3
otherwise
into (4.151) we obtain the solution of Laplaces equation in polar coordinates u(r, ) = 1 3 r sin r3 sin 3 4 4
that satises the given boundary condition (4.139).
180

Lecture Notes For MATH2230: Neil Ramsamooj

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Lecture Notes for MATH2230

4 Partial Dierential Equations

138 143 148 154 154 157 163 166 171

Chapter 1 Vector Calculus

Denition 1.4. A parametric curve r(t) = f (t)i + g(t)j where a t b

Example 1.6. Sketch the parametric curve r(t) = ti + tj + (1 t)k where 0 t 1.

1.1 Parametric curves and arc length

( sin t) + (cos t) dt sin2 t + cos2 t dt 1 dt

1.2 Review of partial differentiation

1.2 Review of partial dierentiation

1.2 Review of partial differentiation

f ( 2 , 0) above the xy-

1.2 Review of partial differentiation

1.3 Vector Fields

1.3.1 Divergence and curl of a vector eld

1.3 Vector Fields

ii. div(G) = P Q + x x = (3x2) + (0) x x = 6x

1.3 Vector Fields

1.3.2 Gradient of a function

Figure 1.1. Contour plot of f (x, y) = x2 + y 2

1.3 Vector Fields

and at the point (x, y) =

, grad(f ) is equal to grad(f ) = 2xi + 8yj 2 8 = i+ j 2 2 2 = 2i + 2 2 j

which, by Theorem 1.31 is a normal vector to x2 + 4y 2 = 1 at the point

Figure 1.2. Diagram of the domain of the function f

and the required directional derivative is Duf = u grad(f ) 1 1 = i j (2i + 4j) 2 2 = 2.

1.3 Vector Fields

1.4 Line integrals and double integrals

1.4 Line integrals and double integrals

F (x(t), y(t)) (x (t)i + y (t)j ) dt

F (x(t), y(t), z(t)) (x (t)i + y (t)j + z (t)k ) dt.

Example 1.45. Evaluate

1.4 Line integrals and double integrals

Answer: From Denition 1.44 above, we have

1.4.2 Path independence and conservative vector elds

Answer: a) In the case of C1, we have

Figure 1.5. Sketch of curves C1 and C2

b) Using the denition of the line integral, we have

Denition 1.48. A curve C is called a piecewise smooth curve if it is a nite union C = C1 C2 Cn

1.4 Line integrals and double integrals

of smooth curves C1, C2,

, Cn such that the terminal point of Ci is the initial point of Ci+1.

Figure 1.6. A piecewise smooth C = C1 C2 C3

Denition 1.50. A line integral is said to be independent of path if

1.4. see Example 1.59 on page 31

1.4 Line integrals and double integrals

As so it follows that F is conservative.

where K is a constant of integration. We have f (x, y) = and by choosing K = 0 we have that f =

is a potential function for the vector eld F .

F dr = f (r2) f (r1) = f (1, 2) f (0, 1) = 1 4 2 4 0 41 4 4 4 = 4.

1.4.3 Double integrals

1.4 Line integrals and double integrals

f (x, y)dA = lim

if this limit exists.

xy 2 y=2 2 y=1 x22 x12 = 2 2 3x = . 2

We can also integrate partially with respect to x: Example 1.60.

sin(xy) x=4 y x=3 sin(4 y) sin(3 y) = y y

f (x, y)dx dy.

where R is the rectangular region R = {(x, y)| 0 Answer: By Fubinis Theorem x2 y dA =

x3 2 27 = . 2 = Notation 1.63. i. The integral

f (x, y)dx dy is usually denoted as f (x, y)dxdy.

1.4 Line integrals and double integrals

where k(y) and h(y) are continuous functions of y.