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Lecture Notes on Asymptotics
A.S. Fokas
March 2014
1 Introduction
Several interesting functions are dened in terms of integrals.
Example
m! = (m + 1), (z) =
_

0
e
t
t
z1
dt, Re z > 0.
What is the behavior of m! as m ? It will be shown later that
m! =

2m
_
m
e
_
m
_
1 +
1
12
1
m
+
_
.
Many physical phenomena are modeled by either ODEs or PDEs.
Example The modied Bessel function of order zero, denoted by I
0
(x), sat-
ises the ODE
d
2
w
dx
2
+
1
x
dw
dx
w = 0,
as well as appropriate boundary conditions. It has the following Taylor series
expansion about x = 0:
I
0
(x) =

m=0
1
(m!)
2
_
x
2
_
2m
. (1.1)
It will be shown that the large x behavior of I
0
(x), is given by
I
0
(x) =
1

2x
e
x
_
1 +
1
1!8x
+
1 3
2
2!(8x)
2
+
1 3
2
5
2
3!(8x)
3
+
_
. (1.2)
For xed x, the Nth term of the above series grows like N!, thus it is not a
convergent series. This is consistent with the fact that x = is an irregular
singular point, thus there does not exist a Taylor series expansion near x = .
Actually, in the vicinity of x = there exists the so-called Stokes phenomenon:
1
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1 INTRODUCTION 2
suppose that I
0
(z) is indeed given by (1.2) near z = in some sector in the
complex z-plane. Then, in the next sector, I
0
(z) is given by (1.2) times an
appropriate constant.
An ecient way for obtaining (1.2) is to use that ODEs admit integral
representations, see the next example.
Example The Hankel function of the rst kind of order v, denoted by H
(1)
v
(z),
satises the ODE
d
2
w
dz
2
+
1
z
dw
dz
+
_
1
v
2
z
2
_
w = 0,
as well as appropriate boundary conditions. It admits the integral representation
H
(1)
v
(z) =
1

_
L
e
iz cos +iv(

2
)
d,
where the contour L is depicted in gure 1.
Using the above integral representation it is straightforward to determine the
behavior of H
(1)
v
(z) as z .
Example The solution of the initial value problem of the zero-potential Schrodinger
equation, formulated on the real line, i.e.
i
t
+
xx
= 0, x R, t > 0, (x, 0) =
0
(x),
is given by
(x, t) =
1
2
_

0
(k)e
ikxik
2
t
dk,
where

0
(k) =
_

0
(x)e
ikx
dx.
The study of the large t behavior of (x, t) leads to the investigation of
Fourier-type integrals. Similarly, the expressions obtained using the Laplace
transform leads to the investigation of Laplace-type integrals. In this course
we will study the methodologies needed for the study of the above integrals.
Furthermore, we will study a certain generalization of these two methodologies,
which is called the steepest descent method. In certain cases, it is easier to
analyze the relevant ODE directly instead of analyzing the associated integral
representation of the solution. The relevant method is called the WKBJ method.
A typical example is given below.
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2 BASIC NOTIONS 3
Example The so-called Airy equation is given by
d
2
w
dx
2
+ xw = 0.
If x > 0, we expect that w behaves like e
ix
, while if x < 0, we expect that w
behaves like e
x
. Thus near x = 0, which is called a turning point, we expect
that the behavior of the solution changes character. The WKBJ method will
allow us to connect these two dierent behaviors.
In summary, in this course we will study: Laplace-type integrals, Fourier-
type integrals, the steepest descent method, the WKBJ method, and Stokes
phenomena. However, it must be noted that many integrals can be studied
directly using integration by parts, which will be the rst technique to be intro-
duced. Before discussing this technique, we rst present certain notations and
basic notions.
Remark. There exist several important open problems in asymptotics, in-
cluding the so-called Lindelofs hypothesis.
2 Basic Notions
1. f(k) = O(g(k)), k k
0
|f(k)| M|g(k)|, M > 0.
f(k) is of order g(k) as k k
0
.
Example 2x + 4x
2
is of order x as x 0, since |2x + 4x
2
| 3|x|, x 0.
2. f(k) g(k), k k
0
lim
kk
0

f(k)
g(k)

= 0.
Example x
2
x, x 0, since

x
2
x

= |x| 0 as x 0.
3. f(k) is an approximation of I(k) correct to order (k) as k k
0

lim
kk
0
f(k)(k)
(k)
= 0.
Example 1 +x is an approximation of 1/(1 x) correct to order x as x 0,
since
1
1x
x
x
=
1 + x + x
2
+ x
x
= x 0 as x 0.
4. The ordered sequence of the functions {
j
(k)}, j = 1, 2, , is called an
asymptotic sequence as k k
0
, if

j+1
(k)
j
(k), k k
0
.
5. Let I(k) be continuous. Let
j
(k) be an asymptotic sequence as k k
0
. The
formal series
N

1
a
j

j
(k), a
j
constants,
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3 INTEGRATION BY PARTS 4
is called an asymptotic expansions of I(k) as k k
0
valid to order
N
(k) as
k k
0
, if
I(k) =
m

j=1
a
j

j
(k) + O(
m+1
(k)), k k
0
,
where m = 1, 2, , N.
6.
I(k) (k), k k
0
lim
kk
0
)
I(k)
(k)
= 1.
3 Integration By Parts
Example
I(k) =
_

0
e
kt
1 + t
dt, k .
The above integrand is exponentially small as k , unless t = 0, thus we
expect the main contribution comes from the neighborhood of t = 0. This
contribution can be captured using integration by parts:
I(k)
e
kt
k
1
1 + t

1
k
_

0
e
kt
(1 + t)
2
dt
1
k
.
Letting kt = we nd
I(k) =
_

0
e

1 +
d, =
1
k
.
Thus, the following integral can also be evaluated using integration by parts:
Example
I() =
_

0
e
t
1 + t
dt, 0.
I() = 1
_

0
e
t
(1 + t)
2
dt =
= 1 + 2!
2
+ (1)
N
N!
N
+ (1)
N+1
(N + 1)
N+1
_

0
e
t
dt
(1 + t)
N+2
.
The error can easily be bounded noting that since > 0 and 0 < t < , we nd
1 + t 1, or
1
1 + t
1, or
_

0
e
t
dt
(1 + t)
N+2

_

e
t
= 1.
Thus,

(1)
N+1
(N + 1)
N+1
_

0
e
t
dt
(1 + t)
N+2

N!
N
.
For xed, N!
N
as N , but for N xed, N!
N
vanishes as 0.
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3 INTEGRATION BY PARTS 5
Example
I(k) =
_

k
e
t
2
dt, k .
The largest value of the integrand occurs at t = k, thus we expect integration
by parts will work:
I(k) =
_

1
2
__

k
_
2te
t
2
_
dt
t
=
1
2
e
k
2
k

_

k
e
t
2 dt
t
2
=
1
2
e
k
2
k
+ O
_
e
k
2
k
3
_
, k .
Example
I(k) =
_
k
0
t

1
2
e
t
dk, k .
I(k) =
_

0
t

1
2
e
t
dt
_

k
t

1
2
e
t
dt.
The rst integral can be computed exactly and the second integral can be eval-
uated using integration by parts. Thus,
I(k) =

e
k

k
+ O
_
e
k
k
3/2
_
, k .
Example
I() =
_

e
t
2
dt, 0.
I() =
_

0
e
t
2
dt
_

0
e
t
2
dt.
The rst integral can be computed exactly and the second integral can be com-
puted by employing a Taylor series:
_

0
e
t
2
dt =

2
;
also
_

0
e
t
2
dt =
1
2
_

0
e
s
s

1
2
ds =
1
2
(
1
2
) =

2
.
_

0
e
t
2
dt =
_

0
_
1 t
2
+
t
4
2
+
_
= +

3
3
+ O(
5
), 0.
Thus,
I() =

2
+

3
3
+ O(
5
), 0.
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4 LAPLACE TYPE INTEGRALS 6
4 Laplace Type Integrals
I(k) =
_
b
a
f(t)e
k(t)
dt, b > a 0, k > 0, (4.1)
where f and are real dierentiable functions.
If (t) = t, a = 0, b = , then I(k) is the Laplace transform of f(t).
If (t) is monotonic in [a, b] then the maximum of e
k
occurs at the bound-
ary, thus we can use integration by parts.
Example
I(k) =
_

0
(1 + t)
1
e
k(t+2)
2
dt, k .
I(k) =
_

0
_
d
dt
e
k(t+2)
2
_
(1 + t)
1
2k(t + 2)
dt
= e
k(t+2)
2 (1 + t)
1
2k(t + 2)

0
+
1
2k
_

0
e
k(t+2)
2
_
(1 + t)
1
t + 2
_

=
e
4k
4k
+ O
_
e
4k
k
2
_
.
Example
I(k) =
_
2
1
e
k cosh t
dt, k
=
_
2
1
_
d
dt
e
k cosh t
_
1
k sinh t

e
k cosh 2
k sinh 2

e
k cosh 1
k sinh 1

e
k cosh 2
k sinh 2
,
since e
k cosh 1
is exponentially small in comparison to e
k cosh 2
.
The above examples are generalized in the following lemma.
Lemma (Integration by parts). Consider
I(k) =
_
b
a
f(t)e
kt
dt, b > a > 0, k > 0. (4.2)
Assume that in [a, b], f(t) has N + 1 continuous derivatives and that f
(N+2)
(t)
is piecewise continuous. Furthermore if b = assume that f(t) = O(e
at
), as
t . Then,
I(k)
N

m=0
e
ka
k
m+1
f
(m)
(a), t .
Proof See A+F, page 425.
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4 LAPLACE TYPE INTEGRALS 7
Example
I() =
_

0
(1 + t)
1
e
t
dt, 0,
t = , I(k) = k
_

0
(1 + )
1
e
k
, k , k = 1/.
Thus,
f() = (1 + )
1
, f
(m)
(0) = (1)
m
m!
Hence,
I()
N

m=0
(1)
m
m!
m
, 0.
Remark. If (t) is monotonic, then the change of variables z = (t) maps
(4.1) to (4.2). However, if

(t) vanishes in [a, b], then the above change of

variables yields a function f(t) with an integrable singularity, as illustrated by
the example below.
Example
I(k) =
_
5
0
(t
2
+ 2t)

1
2
e
kt
dt, k . (4.3)
Since e
kt
attains its maximum value at t = 0, we expect that the main contri-
bution comes from the neighborhood of t = 0. Thus we expect that
I(k)
_
5
0
(2t)

1
2
e
kt
dt, k . (4.4)
But the above integral has an integrable singularity at t = 0, thus integration by
parts fails. However, the integral (4.4) can be evaluated using Watsons lemma.
Actually, in order to justify (4.4) we split (4.3) as follows:
I(k) =
_
R
0
(t
2
+ 2t)

1
2
e
kt
dt +
_
5
R
(t
2
+ 2t)

1
2
e
kt
dt, (4.5)
where R is suciently small so that we can expand (t
2
+ 2t)

1
2
near t = 0, i.e.
R < 2. Denoting the integrals in (4.5) by I
1
and I
2
we nd the following:
I
1
=
_
R
0
(2t)

1
2
_
1 +
t
2
_

1
2
e
kt
dt =
_
R
0
(2t)

1
2
_
1
t
4
+ O(t
2
)
_
e
kt
dt
=
_

0
(2t)

1
2
_
1
t
4
+ O(t
2
)
_
e
kt
dt
_

R
(2t)

1
2
_
1
t
4
+ O(t
2
)
_
e
kt
dt.
The second integral above as well as the integral I
2
(k) can be evaluated using
integration by parts. Thus we expect that
I(k)
_

0
(2t)

1
2
e
kt
dt =
kt=
1
(2k)
1
2
_

0

1
2
e

d =
(
1
2
)

2k
.
The above is rigorously justied by Watsons lemma.
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4 LAPLACE TYPE INTEGRALS 8
Watsons Lemma Consider
I(k) =
_
b
0
f(t)e
kt
dt, k > 0.
Assume that
(i)
f(t) t

m=0
a
m
t
m
, t 0
+
, > 1, > 0, a
m
constants.
(ii) The integral converges throughout its range for all suciently large k.
Proof. See A+F, page 427.
Example
I(k) =
_

0
(t
2
+ 2t)

1
2
e
kt
dt, k .
f(t) = (2t)

1
2
_
1 +
t
2
_

1
2
.
But, the formula
(1 + z)

m=0
c
m
z
m
, c
m
=
( + 1)
(m + 1)!( + 1 m)
,
implies
_
1 +
t
2
_

1
2
=

m=0
c
m
_
t
2
_
m
, c
m
=
(
1
2
)
(m + 1)!(
1
2
m)
.
Thus,
f(t) =
1

2
t

1
2

m=0
t
m
c
m
2
m
,
hence, =
1
2
, = 1, thus
I(k)

m=0
a
m
(
1
2
+ m)
k
1
2
+m
, k .
Lemma (Laplaces Method) Consider
I(k) =
_
b
a
f(t)e
k(t)
dt, b > a 0, k > 0.
Assume:
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4 LAPLACE TYPE INTEGRALS 9
(i)

(c) = 0,

(c) > 0, a < c < b.

(ii)

(t) = 0 for every t [a, b] except t = c.

(iii) c
4
[a, b], f c
2
[a, b].
Then,
I(k) = e
k(c)
f(c)

2
k

(c)
+ O
_
e
k(c)
k
3/2
_
.
Furthermore, if c is an end point, then
I(k) = e
k(c)
f(c)
_

2k

(c)
+ O
_
e
k(c)
k
_
.
Proof See A+F, page 431.
Example Consider
I(k) =
_
b
a
f(t)e
k(t)
dt, k , (4.6)
where (t) has a unique maximum at t = 0. Then, using the change of variables
= (t c)
_
k

(c)
2
,
we nd
I(k) f(c)e
k(c)

2
k|

(c)|
. (4.7)
Example Consider the L
p
norm of g, i.e.
||g||
p
=
_
_
b
a
|g(t)|
p
dt
_1
p
.
Assume that |g(t)| c
4
and that it has a unique maximum at t = c. Then,
using (4.7) with
(t) = ln |g(t)|, f = 1,

=
g

g
,

=
g

g

g
2
g
2
,

(c) = 0,
we nd
_
b
a
|g(t)|
p
dt

2
p
|g(c)|
|g

(c)|
e
p ln |g(c)|
_
1 + O
_
1
p
3/2
__
= Ap

1
2
|g(c)|
p
_
1 + O
_
1
p
3/2
__
.
C
o
p
y
r
i
g
h
t

2
0
1
4

U
n
i
v
e
r
s
i
t
y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

w
i
t
h
o
u
t

p
e
r
m
i
s
s
i
o
n
.
4 LAPLACE TYPE INTEGRALS 10
Hence,
||g||
p
A
1
p
|g(c)|p

1
2p
.
Thus, using
p

1
2p
= e

1
2p
ln p
1 + O
_
ln p
p
_
, A
1
p
= e
1
p
ln A
= 1 + O
_
1
p
_
,
we nd
||g||
p
|g(c)|.
Example
I(k) =
_
R
0
sin te
k(sinh t)
4
dt.
Thus,
I(k)
_
R
0
te
kt
4
dt =
1

k
_
k
1
4 R
0
e

4
d
=
1
2

k
_

0
e
x
2
dx =
1
4
_

k
, k ,
where
2
= x.
Moving Critical Points
I(k) =
_

0
e

1
t
e
kt
dt, k .
e
kt
has a maximum at t = 0, but e

1
t
vanishes exponentially at t = 0. Thus,
we look at the maximum of e
(kt+
1
t
)
. The minimum of kt +
1
t
occurs at
k
1
t
2
= 0, or t =
1

k
,
thus the critical point is not xed but it depends on k. In order to x this
critical point we let t = s/

k. Thus,
I(k) =
1

k
_

0
e

k(s+
1
s
)
ds.
Now,
(s) = s +
1
s
,

(s) = 1
1
s
2
,
thus, s = 1 is the critical point. Letting s = 1 + , we nd
I(k) =
1

k
_

1
e

k(1++1+
2
+O(
3
))
d

e
2

k
_

1
e

k
2
d =
k
1
4 =x
e
2

k
k
3/4
_

e
x
2
dx =

e
2

k
k
3/4
, k .
C
o
p
y
r
i
g
h
t

2
0
1
4

U
n
i
v
e
r
s
i
t
y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

w
i
t
h
o
u
t

p
e
r
m
i
s
s
i
o
n
.
5 FOURIER TYPE INTEGRALS 11
Example
(k + 1) =
_

0
e
t
t
k
dt =
_

0
e
t+k ln t
dt.
1 +
k
t
= 0, or k = t, thus t = ks. Hence
(k + 1) =
_

0
e
ks
k
k
s
k
ds = k
k+1
_

0
e
ks+k ln s
ds.
Using s = 1 + , we nd
(k + 1) = k
k+1
_

1
e
k(1+)+k(

2
2
+O(
3
))
dt e
k
k
k+1
_

1
e

k
2
2
d =

2k
_
k
e
_
k
, k ,
where
_
k
2
= x.
5 Fourier Type Integrals
Consider
I(k) =
_
b
a
f(t)e
ik(t)
dt, b > a 0, k > 0 (5.1),
where f(t) and (t) are real valued functions. If f L
1
, then under minimal
conditions on (t) it can be shown that I(k) 0 as k . This is the
consequence of the Riemann Lebesgue Lemma, which is given in the Appendix.
If (t) is a monotonic function in [a, b], then using a simple change of vari-
ables, I(k) can be evaluated using the following result:
Lemma (Integration by Parts)
Consider
I(k) =
_
b
a
f(t)e
ikt
dt, b > a 0, b < , k > 0.
Assume that in [a, b], f(t) has N + 1 continuous derivatives and that f
(N+2)
is
piecewise continuous. Then,
I(k)
N

m=0
(1)
m
(ik)
m+1
_
f
(m)
(b)e
ikb
f
(m)
(a)e
ika
_
, k .
C
o
p
y
r
i
g
h
t

2
0
1
4

U
n
i
v
e
r
s
i
t
y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

w
i
t
h
o
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t

p
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i
s
s
i
o
n
.
5 FOURIER TYPE INTEGRALS 12
Proof Similar with the analogous proof for Laplace type integrals. QED
Recall that for Laplace type integrals, if (t) vanishes in [a, b], then after a
simple transformation we obtain a function f(t) which has an integrable sin-
gularity. This case can be analyzed using Watsons lemma, which in turn is
based on the Gamma function. Now, instead of the Gamma function we obtain
an integral which involves exp(it) (instead of exp(t)). This integral can be
mapped to the Gamma function via complexication. However, this requires
employing Jordans lemma, which for completeness is stated below.
Jordans Lemma Let C
R
denote the semi-circle of radius R in the upper half
complex z-plane centered at the origin, i.e.
C
R
: {z = Re
i
, 0 < < , R > 0}.
Let f(z) be an analytic function which vanishes on C
R
as R , i.e.
|f(z)| < K(R), z C
R
; K(R) 0 as R .
Then
lim
R
_
C
R
e
iz
f(z)dz = 0, > 0.
Remark Recall that without exp(iza), in order for the integral of f(z) to
vanish, we require |f(z)| < k(R)/R.
Preliminary Example 1
_

0
t
1
e
it
dt = e
i
2
(), 0 < < 1. (5.2)
The requirements of > 0 and < 1 ensure that the above integral converges
at t = 0 and t = respectively.
In order to derive the above result we apply Jordans lemma in the rst
quadrant of the complex z-plane for the analytic function z
1
e
iz
:
If J() denotes the LHS of (5.2) we nd
_

0
_
e
i
2

_
1
e

e
i
2
d = e
i
2
_

0

1
e

d,
which is equation (5.2).
Preliminary Example 2
_

0
t

e
ivt
p
dt =
_
1
|v|
_
+1
p

_
+ 1
p
_
e
i
2
(+1)
sgn(v)
p
, p > 0, 1 < < 0, v R.
(5.3)
C
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g
h
t

2
0
1
4

U
n
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v
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r
s
i
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y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

w
i
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t

p
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s
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o
n
.
5 FOURIER TYPE INTEGRALS 13
In order to derive (5.3) we rst assume that v > 0 and apply Jordans lemma
in the sector of the upper half complex plane bounded by the real axis and the
ray e
i
2p
. Thus, if J(, v, p) denotes the LHS of (5.3) we nd the following:
J =
_

0
_
e
i
2

e
v
p
e
i
2p
d = e
i
2p
(+1)
_

0

e
v
p
d. (5.4)
Using the change of variables v
p
= u, we nd
_

0

e
v
p
d =
1
v
+1
p
1
p
_

0
u
+1
p
1
e
u
,
and then (5.4) becomes (5.3) for v > 0.
The case v < 0 can be analyzed in a similar way, where the relevant ray is
now e
i/2p
.
The Formal Derivation Suppose that in [a, b],

(t) vanishes at the single

point c, which is an interior point. Assuming that the main contribution to the
integral I(k) dened in (5.1) comes from the neighborhood of c we nd:
I(k)
_
C+R
CR
f(c)e
ik[(c)+
(tc)
2
2

(c)]
dt, k .
Letting v = sgn

(c), and employing the change of variables

v
2
= (t c)
2

(c)k
2
, or = (t c)
_
|

(c)|k
2
,
we nd
I(k)

2
k|

(c)|
e
ik(c)
_

e
iv
2
d.
But,
_

e
iv
2
d = 2
_

0
e
iv
2
d =

e
iv
4
,
where we have used (5.3). Hence,
I(k)

2
k|

(c)|
e
ik(c)
e
i
4
sgn

(c)
, k . (5.5)
By imposing appropriate restrictions of the functions f(t) and (t) it is possible
to justify rigorously the above formula. A generalization of equation (5.5), where
f(t) is allowed to be singular, is presented below (the proof is similar with the
analogous result valid for Laplace type integrals).
In many applications the functions f(t) and (t) are analytic and then it is
possible to map the relevant integral to a Laplace type integral, via complexi-
cation, see section 6.
C
o
p
y
r
i
g
h
t

2
0
1
4

U
n
i
v
e
r
s
i
t
y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

w
i
t
h
o
u
t

p
e
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m
i
s
s
i
o
n
.
5 FOURIER TYPE INTEGRALS 14
Lemma Consider
I(k) =
_
b
a
f(t)e
ik(t)
dt, a < b < .
Assume that:
1. In the interval (a, b):

(t) and f(t) are continous,

(t) > 0, and

(t), f

(t)
become discontinous on innity at most a nite number of points.
2. As t a
+
: (t) (a) (t a)

, f(t) (t a)
1
F, < , where
, F, , are positive constants, the rst condition is twice dierentiate,
and the second condition is dierentiable.
3.
_
b
R
|
f(t)

(t)
|dt is nite for all R (a, b).
4. As t b

:
f(t)

(t)
tends to a nite limit.
Then,
I(k) e
i
2
F

_
e
ik(a)
(k)
(/)
, k . (5.6)
5.1 Sketch of Proof
Assumption (2) implies convergence at a, whereas (3) and (4) imply convergence
at b. Then, local consideration in the neighbourhood of a, imply equation (5.6)
via the change of variables = (t) (a).
Example Consider
I(k) =
_
2
0
e
ik cos t
dt, k .
Here

(t) = sin t, thus the main contribution comes from the neighborhood of
t = 0. Hence,
I(k) =
_
2
0
e
ik(1
t
2
2
+O(t
4
))
dt e
ik
_
2
0
e

ikt
2
2
dt, k .
Using the substitution
kt
2
2
=
2
, or
_
k
2
t = ,
we nd (see (5.4))
I(k) e
ik
_
2
k
_

0
e
i
2
d =
_

2k
e
i(k

4
)
, k .
C
o
p
y
r
i
g
h
t

2
0
1
4

U
n
i
v
e
r
s
i
t
y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

w
i
t
h
o
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t

p
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i
s
s
i
o
n
.
6 THE METHOD OF STEEPEST DESCENT 15
Example Consider the Bessel function of order n:
J
n
(x) =
1

Re
_

0
e
i(x sin tnt)
dt.
Hence
J
n
(n) =
1

Re
_

0
e
in(sin tt)
dt.
In order to evaluate the large n behavior of the above function we note that
(t) = sin t t, thus again the main contribution comes from the neighborhood
of t = 0:
J
n
(n) =
1

Re
_

0
e
in(
t
3
6
+O(t
5
))
dt.
Using the substitution
nt
3
6
=
3
, or
_
n
6
_1
3
t = ,
we nd
J
n
(n)
1

_
6
n
_1
3
_

0
e
i
3
d, n .
Using (5.4) we nd
_

0
e
i
3
d =
1
3
e

i
6

_
1
3
_
.
Thus,
J
n
(n)
1
3
cos
_

6
_

_
1
3
__
6
n
_1
3
, n .
6 The Method of Steepest Descent
Consider
I(k) =
_
C
f(z)e
k(z)
dz, (6.1)
where f(z) and (z) are analytic functions. Let
(z) = u(x, y) + iv(x, y),
where u and v are real functions. The key step of the method of steepest
descent is to use Cauchys theorem to deform C to a new contour C

on which
v is constant,
v(x, y) = v(x
0
, y
0
). (6.2)
Then (6.1) becomes
I(k) = e
ikv(x
0
,y
0
)
_
C

f(z)e
ku(x,y)
dz. (6.3)
Thus, the method of steepest descent provides the extension of the Laplace
method to the complex plane.
It turns out that curves along which v is constant are also steepest curves,
namely curves along which the change of u(x, y) is maximal:
C
o
p
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r
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g
h
t

2
0
1
4

U
n
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v
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r
s
i
t
y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

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.
6 THE METHOD OF STEEPEST DESCENT 16
(i) The curves dened by (6.2) are steepest curves.
Indeed, the direction orthogonal to these curves is given by v. But v =
(v
x
, v
y
) = (u
y
, u
x
), where we have used the Cauchy Riemann relations. Thus,
the direction along these curves is given by (u
x
, y
y
) = u. However, the direc-
tion of the vector u is the direction of the maximal change of u(x, y).
(ii) The steepest curves are given by (6.2).
Let
= (z) (z
0
) = u + iv.
Thus,
||
2
= |u|
2
+|v|
2
, or |u| ||,
and equality is achieved when v = 0.
Saddle Points The point z
0
is called a saddle point of order N if the rst N
derivatives of (z) vanishes at z
0
and the N +1 derivative is dierent than zero:
d
m
(z)
dz
m

z=z
0
= 0, m = 1, , N,
d
N+1
(z)
dz
N+1

z=z
0
= ae
i
, a > 0, R.
If N = 1, z
0
is a simple saddle point. The directions of the steepest descent and
of steepest ascent are dened respectively by
=

N + 1
+ (2m + 1)

N + 1
, m = 0, 1, ..., N
and
=

N + 1
+ 2m

N + 1
, m = 0, 1, , N.
Indeed,
(z) (z
0
)
(z z
0
)
N+1
(N + 1)!
d
N+1
(z)
dz
N+1

z=z
0
=
(e
i
)
N+1
(N + 1)!
ae
i
, z z
0
.
Thus,
(z) (z
0
)

N+1
a
(N + 1)!
[cos( + (N + 1)) + i sin( + (N + 1))] , z z
0
.
Hence, the paths of steepest descent are dened by
sin( + (N + 1)) = 0, cos( + (N + 1)) < 0,
whereas for the paths of steepest descent the cos above is positive. If N = 1,
then the paths of steepest descent and ascent are given respectively by
=

2
+

2
,

2
+
3
2
and
=

2
,

2
+ .
C
o
p
y
r
i
g
h
t

2
0
1
4

U
n
i
v
e
r
s
i
t
y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

w
i
t
h
o
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t

p
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i
s
s
i
o
n
.
6 THE METHOD OF STEEPEST DESCENT 17
Example
(z) = z
z
3
3
,

(z) = 1 z
2
,

(z) = 2z.
z = 1 :

|
1
= z = 2e
i
, = ,
thus, the paths of steepest descent are = 0 and = .
z = 1 :

|
1
= z = 2, = 0,
thus, the paths of steepest descent are =

2
and =
3
2
.
Laplaces Method for Complex Contours
Let us assume that
f(z) f
0
(z z
0
)
1
, Re > 0, z z
0
.
We introduce the change of variables
(z) (z
0
) = t, t > 0. (6.4)
Using
(z) (z
0
) = (z z
0
)
N+1
(z),
where (z) is analytic in the neighborhood of z
0
, we can use the implicit function
theorem to solve the equation
(z z
0
)
N+1
(z) = t
for t as a function of z. In what follows we only concentrate on the leading order
term:
(z z
0
)
N+1
(N + 1)!

N+1
(z
0
)

e
i
= t. (6.5)
Taking the absolute value of this equation and then solving for |z z
0
| we nd
|z z
0
| =
_
(N + 1)!
|
N+1
(z
0
)|
_ 1
N+1
t
1
N+1
. (6.6)
Using in (6.3) the change of variables (6.1) we nd
I(k) e
k(z
0
)
_

0
f(z)

(z)
e
kt
dt, k . (6.7)
But,
f(z)

(z)

f
0
(z z
0
)
1
(zz
0
)
N
N!

N+1
(z
0
)
= N!
f
0
(z z
0
)
N1

N+1
(z
0
)
=
N!f
0
(|z z
0
|e
i
)
N1
|
N+1
(z
0
)|e
i
=
N!f
0
|
N+1
(z
0
)|
e
i(N1)
e
i
_
(N + 1)!
|
N+1
(z
0
)|
_
(N+1)
N+1
t
(N+1)
t
N+1
.
C
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h
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2
0
1
4

U
n
i
v
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s
i
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y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

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p
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i
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s
i
o
n
.
6 THE METHOD OF STEEPEST DESCENT 18
Using N! = (N + 1)!/(N + 1) and simplifying we nd
f(z)

(z)

f
0
N + 1
_
(N + 1)!
|
N+1
(z
0
)|
_

N+1
t

N+1
1
e
i[(+(N+1))]
.
Using
e
i(+(N+1))
= 1
and substituting the resulting expression for f(z)/

(z) in (6.7) we nd
I(k) e
k(z
0
)
f
0
N + 1
_
(N + 1)!
|
N+1
(z
0
)|
_

N+1
e
i
(

N+1
)
k

N+1
, k , (6.8)
where we have employed the identity
_

0
e
kt
t

N+1
1
dt =
(

N+1
)
k

N+1
.
In general, the implementation of the steepest descent method involves the
following steps:
(i) Identify the relevant critical points, namely saddle points, end points,
and singularities.
(ii) Deform C to the steepest contour (or contours). For the computation of
the leading behavior it is sucient to deform to asymptotically steepest descent
contours, namely to contours which coincide with the steepest descent contours
only in the neighborhood of the saddle points.
(iii) Apply the Laplace method in the complex plane.
Example Consider
I(k) =
_
1
0
ln te
ikt
dt
Figure 2
The complexication of the above integral suggests

I(k) =
_
C
ln ze
ikz
dz.
Thus (z) = z,

(z) = 1, and hence there do not exist saddle points. Thus

we expect the main contribution will come from the end points. If z = i and
C
o
p
y
r
i
g
h
t

2
0
1
4

U
n
i
v
e
r
s
i
t
y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

w
i
t
h
o
u
t

p
e
r
m
i
s
s
i
o
n
.
6 THE METHOD OF STEEPEST DESCENT 19
z = 1 + i we obtain Laplace type integrals, thus we take C to be the union of
the contours shown in Figure 2. Hence,
I(k) = i
_
R
0
ln(i)e
k
d+
_
1
0
ln(x+iR)e
ik(x+iR)
dxie
ik
_
R
0
ln(1+i)
k
d.
Letting R we nd
I(k) = i
_

0
ln(i)e
ik
d ie
ik
_

0
ln(1 + i)e
k
d = I
1
(k) + I
2
(k).
In I
1
we use the substitution k = , thus
I
1
(k) =
i
k
_

0
ln
_
i
k
_
e

d =
i
k
_
ln
_
i
k
__

0
e

d +
_

0
ln e

d
_
.
Thus,
I
1
(k) =
i
k
_
i
2
ln k
_
=
i ln k
k

_
i +

2
_
k
.
The integral I
2
can be computed via Watsons lemma:
ln(1 + i) =

m=1
(i)
m
m
.
Thus
I
2
(k) ie
ik

m=1
(i)
m
(m1)!
k
m+1
.
Hence,
I(k)
i ln k
k

i + /2
k
+ ie
ik

m=1
(i)
m
(m1)!
k
m+1
, k .
Example Consider
I(k) =
_
C
e
k(sech v sinh zz)
dz, v = 0, k > 0,
where C is the so-called Sommerfeld contour depicted in Figure 3
It turns out that
I(k) =
J
k
(ksech v)
2i
,
C
o
p
y
r
i
g
h
t

2
0
1
4

U
n
i
v
e
r
s
i
t
y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

w
i
t
h
o
u
t

p
e
r
m
i
s
s
i
o
n
.
6 THE METHOD OF STEEPEST DESCENT 20
where J
k
is the Bessel function of order k. Debye in 1954 rediscovered the
method of steepest descent by studying the above integral (this method was
introduced earlier by Riemann in connection with the hypergeometric function).
In the above case
(z) = sech v sinh z z,

(z) = sech v cosh z 1, z

0
= v.
Thus, we expect that the main contribution will come from the neighborhood
of z = v. Letting z = v + e
i
, we nd
(z) = sech v[sinhv cosh(e
i
) + cosh v sinh(e
i
)] e
i
v.
But
cosh =
e

+ e

2
= 1 +

2
2
+ O(
4
), sinh = + O(
3
), 0.
Hence,
(z) = v + tanh v
_
1 +

2
2
e
2i
+ O(
4
)
_
+ e
i
+ O(
3
) e
i
= v + tanh v + tanh v

2
2
(cos 2 + i sin 2) + O(
3
), 0.
The conditions sin 2 = 0, cos 2 < 0, imply = /2 and = 3/2. For
= /2 we nd the following contribution:
ie
k(tanh vv)
_
R
0
e
k tanh v

2
2
d ie
k(tanh vv)
_
2
k tanh v
_

0
e

2
d, k ,
whee we have used the substitution k tanh v
2
/2 =
2
. Adding to the above the
contribution from = 3/2 we nd
I(k) i
_
2
k tanh v
e
k(tanh vv)
, k .
Example Consider the Hankel function of order n dened by
H
(1)
v
(k) =
1

_
C
e
ik cos z
e
iv(z

2
)
dz, v R, k > 0,
where C is depicted in Figure 1.
In this case
(z) = i cos z,

(z) = i sin z, z
0
= 0.
Letting z = e
i
, we nd
e
ik cos z
= e
ik+
k
2
2
(sin 2i cos 2)+O(
4
)
.
C
o
p
y
r
i
g
h
t

2
0
1
4

U
n
i
v
e
r
s
i
t
y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

w
i
t
h
o
u
t

p
e
r
m
i
s
s
i
o
n
.
6 THE METHOD OF STEEPEST DESCENT 21
The conditions cos 2 = 0, sin 2 < 0, imply = 3/4 and = /4. For
= 3/4 we nd to the leading order the contribution

e
ik

_
R
0
e

k
2
2
e
iv[e
3i/4

2
]
e
3i
4
d
e
i(k

v
2
)

_
2
k
_

0
e

2
d, k .
Adding to the above, the contribution from = /4, we nd
H
(1)
v
(k)
_
2
k
e
i(k

v
2
)
, k .
In what follows we indicate briey how to obtain higher order terms (and
how to justify rigorously the above formal analysis). The steepest paths going
through z
0
= 0 are dened by
Im[i cos(x + iy)] = Im[i].
Thus
Re [cos(x) cos(iy) sin(x) sin(iy)] = 1,
or using
cos(iy) = cosh y and sin(iy) = i sin hy,
cos xcosh y = 1.
For small x, y we nd
_
1
x
2
2
+ O(x
4
)
__
1 +
y
2
2
+ O(y
4
)
_
= 1, x 0, y 0.
Hence,
y
2
2

x
2
2
0, x 0, y 0
and the steepest descent curve is y x. The equation
cos x =
2
e
y
+ e
y
,
implying cos x 2e
y
as y +, hence x /2, y . Thus the steepest
descent curve denoted by C

is depicted in Figure 4
Figure 4
The global change of variables (z) (z
0
) = t, t > 0, implies
i(cos z 1) = t,
C
o
p
y
r
i
g
h
t

2
0
1
4

U
n
i
v
e
r
s
i
t
y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

w
i
t
h
o
u
t

p
e
r
m
i
s
s
i
o
n
.
7 THE WKB(J) METHOD 22
or
1 cos z = e

i
2
t, or
z
2
2
_
1
z
2
12
+ O(z
4
)
_
= e

i
2
t, z 0.
Hence,
z

2
_
1
z
2
24
+ O(z
4
)
_
= e

i
4
t
1
2
, t > 0, z 0.
Hence,
z =

2e

i
4
t
1
2
_
1 +
z
2
24
+ O(z
4
)
_
, z 0.
Thus
z =

2e

i
4
t
1
2
_
1 +
2e

i
2
t
24
+
_
, t 0,
or
z =

2e

i
4
t
1
2
+

2
12
e

3i
4
t
3
2
+ , t 0. (6.9)
Hence,
H
(1)
v
(k)
1

_
C

e
ikkt
iv
2
e
ivz(t)
dz(t)
dt
dt
=
1

e
i(k
v
2
)
_
C

e
kt
_
1 + ivz +
(ivz)
2
2!
+
(ivz)
3
3!
+ O(z
4
)
_
dz
dt
dt.
Splitting the steepest descent contour into two parts and using (6.9) to replace
z by t we nd
H
(1)
v
(k)
2

e
i(k
v
2
)
_

0
e
kt
_
c
0
t

1
2
+ c
1
+ c
2
t
1
2
+ c
3
t + O
_
t
3
2
__
dt,
where {C
j
}
3
0
are particular constants. Thus,
H
(1)
v
(k)
2

e
i(k
v
2
)
_
_

2
e

i
4
k
1
2
+
v
k
+

2
4
(
1
4
v
2
)e

3i
4
k
3
2
+
iv(v
2
1)
3k
2
+ O
_
1
k
5
2
_
_
, k ,
where we have used

_
1
2
_
=

,
_
3
2
_
=
1
2

_
1
2
_
.
7 The WKB(J) Method
It was shown earlier that the steepest descent method provides an eective
method for evaluating the asymptotics of the Hankel and the Bessel functions.
On the other hand, these function satisfy certain second order linear ODEs.
Thus, the following question arises: is it possible to obtain similar results by
analyzing directly the given ODE instead of the relevant integral representation?
C
o
p
y
r
i
g
h
t

2
0
1
4

U
n
i
v
e
r
s
i
t
y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

w
i
t
h
o
u
t

p
e
r
m
i
s
s
i
o
n
.
7 THE WKB(J) METHOD 23
The answer to this question is armative. In order to introduce the associated
method, called WKB(J) we consider the Airy function:
Ai(x) =
1
2
_

e
i(xs+
1
3
s
3
)
ds, x R. (7.1)
Let us complexify the integrand of the above integral, z = |z| exp(i). For
large |z| convergence requires sin(3) 0, or
0

3
and
2
3
.
Thus, we can deform the contour along the real axis to a contour which for large
|z| lies in the shaded domains below
Noting that
_
d
2
dx
2
x
_
Ai(x) =
1
2
_
C
(z
2
+ x)e
i(xz+
1
3
z
3
)
dz =
i
2
_
C
_
d
dz
e
i

xz+
z
2
3
_
dz,
it follows that Ai(x) satises the Airy equation

d
2
y
dx
2
+ xy = 0. (7.2)
The point x = 0 is an ordinary point and the only singular point of (7.2) is
x = . Thus, there exists a Taylor series at x = 0 with innite radius of
convergence:
y(x) = a
0
_
1 +
x
3
3.2
+
x
6
6.5.3.2
+
_
+ a
1
_
x +
x
4
4.3
+
x
7
7.6.4.3
+
_
. (7.3)
In order to computer the large x asymptotics of Ai(x), we note that
(z) = i
_
xz +
z
3
3
_
,

(z) = i(x + z
2
).
Thus, z

0
= ix
1
2
are moving small points. Hence, letting z = x
1
2
we nd
Ai(x) =
x
1
2
2
_
C
e
ix
3
2

3
3

d.
Now,

0
= i, and we deform the contour to pass through
0
= i:
= i + e
i
.
C
o
p
y
r
i
g
h
t

2
0
1
4

U
n
i
v
e
r
s
i
t
y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

w
i
t
h
o
u
t

p
e
r
m
i
s
s
i
o
n
.
7 THE WKB(J) METHOD 24
Thus,
+

3
3
= i + e
i
+
1
3
_
i
3
+ 3i
2
e
i
+ 3i
2
e
2i
_
+ O(
3
), 0
=
2i
3
+
2
(i cos 2 sin 2) + O(
3
), 0.
The conditions
sin 2 = 0, cos 2 > 0,
imply = 0 = . The contribution from = 0 yields
x
1
2
2
e

2
3
x
3
2
_

0
e
x
3
2
2
d =
x
1
2
x
3
4
1
2
e

2
3
x
3
2
_

0
e

2
d =
e

2
3
x
3
2
4x
1
2
1

.
Thus,
Ai(x)
e

2
3
x
3
2
2

x
1
4
, x +. (7.4)
Similarly,
Ai(x)
cos
_
2
3
|x|
3
2


4
_

|x|
1
4
, x . (7.5)
Thus
Equation (7.2) can be interpreted as the Schrodinger equation of potential
V (x) = x with energy E = 0.
In general consider the ODE
d
2
y
dx
2
+
2
u(x)y = 0, (7.6)
where is a large parallel and x is real.
We look for solutions in the form
y(x) = e
S(x)
(z
0
(x) +
1

z
1
(x
1
) + ).
Then (7.6) yields

2
(S
2
+ u)
_
z
0
+
1

z
1
+
1

2
z
2
+
_
+(2S

0
+ S

z
0
) + O(1) = 0.
C
o
p
y
r
i
g
h
t

2
0
1
4

U
n
i
v
e
r
s
i
t
y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

w
i
t
h
o
u
t

p
e
r
m
i
s
s
i
o
n
.
7 THE WKB(J) METHOD 25
O(
2
) : S
2
= u, or S

= i
_
u
1
2
(x)dx.
O() : 2S

0
+ S

z
0
= 0, or
z

0
z
0
=
S

2S

, or z
0
=
C

u
1
2
.
Hence, for u(x) = 0, we nd
y(x)
1
u
1
4
(x)
_
C
+
e
i
R
u
1
2 dx
+ C

e
i
R
u
1
2 dx
_
. (7.7)
If u(x) has a zero, then there exists a transition domain. We consider the
simplest case where u(x) has a simple zero at x = 0. Then, assuming that
u(x) kx, x 0, k > 0, (7.8)
equation (7.6) can be approximated by the Airy equation. Letting z =
2
3
k
1
3
x,
(7.6) is approximated by
d
2
y
dz
2
zy = 0. (7.9)
In addition to the solution Ai(x) which satises (7.4) and (7.5), we also introduce
B
i
(x), where
B
i
(x)
e
2
3
x
3
2

x
1
4
, x (7.10)
and
B
i
(x)
1

(x)
1
4
cos
_
2
3
(x)
3
2
+

4
_
, x . (7.11)
Thus,
y
L
(x)
1
|u(x)|
1
4
_
C
L
+
e
i
R
x
0
u(t)
1
2 dx
+ C
L

e
i
R
x
0
u(t)
1
2 dx
_
,
y
C
(x) C
1
Ai
_
k
1
3

2
3
x
_
+ C
2
B
i
_
k
1
3

2
3
x
_
,
y
R
(x)
1
(u(x))
1
4
_
C
R
+
e

R
x
0
(u(t))
1
2 dt
+ C
R

R
x
0
(u(t))
1
2 dt
_
.
Letting =
2
3
k
1
2
|x|
3
2
, taking the outer limit of the inner solution and the inner
solution of the outer solution, it is straightforward to determine C
R

and C
L

in
terms of C
1
and C
2
, see A+F, page 503.
Remark Consider the case of two turning points shown in the gure below,
namely consider u(x) < 0 for A < x < B and u(x) > 0 outside [A, B]. Further-
more, assume u(x) = O(x
2
), x .
C
o
p
y
r
i
g
h
t

2
0
1
4

U
n
i
v
e
r
s
i
t
y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

w
i
t
h
o
u
t

p
e
r
m
i
s
s
i
o
n
.
8 STOKES PHENOMENON 26
The one-turning point solution which decays like
C
1
(u(x))
1
4
e

R
x
B
u
1
2 (t)dt
, x ,
behaves like
2C
1
(u(x))
1
4
sin
_

_
B
x
(u(t))
1
2
dt +

4
_
, A < x < B.
Similarly, the one-turning point solution which decays like
C
2
(u(x))
1
4
e

R
A
x
u
1
2 (t)dt
, x ,
behaves like
2C
2
(u(x))
1
4
sin
_

_
x
A
(u(t))
1
2
dt +

4
_
, A < x < B.
In order to match the above solutions in A < x < B we note that
sin
_

_
B
x
adt +

4
_
= sin
_

_
x
B
adt

4
_
= sin
_

_
x
A
adt +

4

_

_
B
A
adt +

2
__
.
Thus, we require the constraint

_
B
A
(u(x))
1
2
dx +

2
= integer multiple of .
If u(x) = V (x) E, then

_
B
A
_
E V (x)dx = (n +
1
2
), n = 0, 1, .
8 Stokes Phenomenon
Let us consider the asymptotic behavior of sinh(z
1
), as z 0, in the complex
plane. Letting z = e
i
, we nd
sinh
_
e
i

_
=
1
2
e
1

(cos i sin )

1
2
e

(cos i sin )
.
Thus,
sinh
_
z
1
_

_
1
2
e
z
1
, cos > 0

1
2
e
z
1
, cos < 0
, z 0.
C
o
p
y
r
i
g
h
t

2
0
1
4

U
n
i
v
e
r
s
i
t
y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

w
i
t
h
o
u
t

p
e
r
m
i
s
s
i
o
n
.
9 REVIEW OF USEFUL DEFINITIONS AND THEOREMS 27
Hence, the asymptotic expansion changes discontinuously across the rays =

2
,
3
2
. This phenomenon, called Stokes phenomenon, occurs often in applications.
In particular, it occurs in connection to the asymptotic expansion of linear ODEs
in the vicinity of an irregular singular point.
Example
I(z) =
_

0
e
zt
1 + t
4
dt, z C, |z| .
Letting z = e
i
, it follows that if cos > 0, i.e. || <

2
, then the integral decays
exponentially for large |z| unless t 0. Thus, we expect the main contribution
comes from the neighborhood of the origin:
I(z)
_

0
e
zt
dt
_

0
e
zt
t
4
dt, z
and
I(z)
1
z

4!
z
5
, z , | arg z| <

2
.
The constraint | arg z| <

2
is a consequence of the requirement that Re (zt) > 0.
Thus, by complexifying t we will obtain a dierent constraint on z. For example,
deforming the contour of integration to the lower imaginary axis and using
Cauchys theorem in the fourth quadrant of the complex z-plane we nd
I(z) =
_
e

i
2
0
e
z
1 +
4
d +
i
2
e
ze

i
4
e

3i
4
. (7.11)
Now convergence requires Re (z) > 0, or cos
_


2
_
> 0, or 0 < < . The
LHS of (7.11) is well dened for arg z
_

2
,

2
_
, while the rhs for arg z (0, )
(for Cauchys theorem we need 0 < z <

2
). Thus, we can compute I(z) for
arg z (

2
, ).
The pole contribution is exponentially small in arg z (

4
,
3
4
) and expo-
nentially large in (
3
4
, ). Thus,
I(z)
_

_
1
z

4!
z
5
, arg z
_

4
,
3
4
_
,
i
2
e
3i
4
e
ze
i
4
, arg z
_
3
4
,
_

2
,

4
_
, |z| .
9 Review of Useful Denitions and Theorems
9.1 Partition
Consider the interval [a, b], where a < b, a partition of [a, b] is a nite set
P = {a
0
, ..., a
n
: a = a
0
< a
1
, ... < a
n
= b}.
C
o
p
y
r
i
g
h
t

2
0
1
4

U
n
i
v
e
r
s
i
t
y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

w
i
t
h
o
u
t

p
e
r
m
i
s
s
i
o
n
.
10 RIEMANN LEBESGUE LEMMA 28
9.2 Renement of a Partition
We say that P is a renement of P if P P (that is every point of P is a
point of P). Given, two partitions, P
1
and P
2
, we say that P = P
1
P
2
is
their common renement.
9.3 Upper and Lower Riemann Sums
Let f : [a, b] R, be a bounded real function. The partition P gives rise to the
following upper and lower Riemann sums:
U(P, f) :=
n

i=1
M
i
a
i
, L(P, f) =
n

i=1
m
i
a
i
where a
i
= a
i
a
i1
, and for every i n,
M
i
:= sup{f(x) : a
i1
x a
i
} m
i
:= inf{f(x) : a
i1
x a
i
},
and also
_
b
a
f(x)dx := inf{U(P, f) : P is a partition of [a, b]} (1)
_
b
a
f(x)dx := sup{U(P, f) : P is a partition of [a, b]}. (2)
Here, inf and sup are taken over all partitions of [a, b]. The quantity
_
b
a
f(x)dx
is called the upper and
_
b
a
f(x)dx is called the lower Riemann integrals of f
over [a, b]. Now, if
_
b
a
f(x)dx =
_
b
a
f(x)dx (3)
then, we say f is Riemann integrable on [a,b]. We denote this common value
by
_
b
a
f(x)dx =
_
b
a
f(x)dx =
_
b
a
f(x)dx (4)
9.4 Riemann Criterion
The function f : [a, b] R is Riemann-integrable if and only if (), if for
every > 0, a partition P

such that U(P

, f) L(P

, f) < .
10 Riemann Lebesgue Lemma
10.1 A brief statement on the proof of Riemann Lebesgue
Lemma
The proof of the Riemann Lebesgue lemma is straightforward, using integration
by parts in the case that f(t) is a continously dierentiable. In the general case,
C
o
p
y
r
i
g
h
t

2
0
1
4

U
n
i
v
e
r
s
i
t
y

o
f

C
a
m
b
r
i
d
g
e
.

N
o
t

t
o

b
e

q
u
o
t
e
d

o
r

r
e
p
r
o
d
u
c
e
d

w
i
t
h
o
u
t

p
e
r
m
i
s
s
i
o
n
.
10 RIEMANN LEBESGUE LEMMA 29
the proof is a consequence of the fact that a Riemann integrable function can
be approximated by a piecewise constant function.
10.2 Riemann Lebesgue Lemma
Let the function f : [a, b] R be Riemann-integrable, and k R.
The function I(k) is dened by
I(k) =
_
b
a
f(t)e
ikt
dt. (5)
Then
lim
|k|
I(k) = 0. (6)
Proof
Since, f(x) is Riemann Integrable for every > 0, a partition
P

such that U(P

, f) L(P

, f) < , (For P and every renement P).

Moreover , sup{U(P, f) : P} = inf{U(P, f) : P} =
_
b
a
f(x)dx.
e
ikt
is a smooth bounded function and hence f(t)e
ikt
is also Riemann
Integrable. So I(k) exists, and can be estimated using an appropriate
partition.
Given a > 0, a partition P

such that U(P

, f) L(P

, f) < .
Rewrite U(P

, f) =
_
b
a
M(t)dt, where M
i
:= sup{f(x) : a
i1
x a
i
}.
Rewrite L(P

, f) =
_
b
a
m(t)dt, where m
i
:= inf{f(x) : a
i1
x a
i
}.
M(t) f(t) m(t).
U(P

, f) L(P

, f) =
_
b
a
_
M(t) m(t)
_
dt < .
|
_
b
a
e
ikt
_
f(t) m(t)
_
dt|
_
b
a
|[M(t) m(t)]|dt < , since |e
ikt
| = 1.
The function m(t) is a piecewise continous function. Thus, for this func-
tion, integration by parts immediately implies Riemann Lebesgue Lemma.
Hence given the above > 0, we can nd a K such that |k| > K,
|
_
b
a
m(t)e
ikt
dt| < .
Combining the two statements ,|k| > K, |
_
b
a
m(t)e
ikt
dt| < , and |
_
b
a
e
ikt
_
f(t)
m(t)
_
dt|
_
b
a
|[M(t) m(t)]|dt < , we nd that |k| > K,
_
b
a
f(t)e
ikt
<
2. This is equivalent to lim
|k|
I(k) = 0.