Chapter 7

INTEGRAL EQUATIONS
Chapter 7 INTEGRAL EQUATIONS

Chapter 7 Integral Equations

7.1 Normed Vector Spaces

1. Euclidian vector space \ n
2. Vector space of continuous functions C G ( )
3. Vector Space L2 ( G )
4. Cauchy-Bunyakowski inequality
5. Minkowski inequality

7.2 Linear Operators

- continuous operators
- bounded operators
- Lipschitz condition
- contraction operator
- successive approximations
- Banach fixed point theorem

7.3 Integral Operator

7.4 Integral equations

- Fredholm integral equations
- Volterra integral equations
- integro-differential equations
- solution of integral equation

7.5 Solution Methods for Integral Equations

1. Method of successive approximations for Fredholm IE
(Neumann series)
2. Method of successive substitutions for Fredholm IE
(Resolvent method)
3. Method of successive approximations for Volterra IE

7.6 Connection between integral equations and initial and boundary value
problems

1. Reduction of IVP to the Volterra IE

2. Reduction of the Volterra IE to IVP
3. Reduction of BVP to the Fredholm IE

7.7 Exercises

Future Topics:

7.7 Fixed point theorem (see [Hochstadt Integral equations, p.25]) (added in 7.2)
Elementary existence theorems

7.8 Practical applications (see [Jerri Introduction to Integral Equations with Applications])

7.9 Inverse problems (see [ Jerri, p.17])

7.10 Fredholms alternatives

Chapter 7 INTEGRAL EQUATIONS

7.1 Normed Vector Spaces

We will start with some definitions and results from the theory of normed vector
spaces which will be needed in this chapter (see more details in Chapter 10).

1. Euclidian vector space \ n The n-dimensional Euclidian vector space consists of all points
{
\ n = x = ( x1 ,x2 ,...,xn ) xk \ }
for which the following operations are defined:

Scalar product ( x, y ) = x1 y1 + x2 y2 + ... + xn yn x, y \ n

Norm x = ( x,x ) = x12 + x22 + ... + xn2

Distance ( x, y ) = x y
Convergence lim xk = x if lim x xk = 0
k k
n
\ is a complete vector space (Banach space) relative to defined norm x .

2. Vector space C G( ) ( )
Vector space C G consists of all real valued continuous functions defined on
the closed domain G \ n :
( ) {
C G = f ( x ) : D \ n \ continuous }
Norm f C
= max f ( x )
xG

Convergence lim f k = f if lim f f k C

=0
k k

( )
C G is a complete vector space (Banach space) relative to defined norm f C
.

3. Vector space L2 ( G ) The space of functions integrable according to Lebesgue (see Section 3.1)

L2 ( G ) = f ( x ) : G \ n ^ f ( x)
2
dx <
G
Inner product ( f ,g ) = f ( x ) g ( x )dx
G

( f , f ) = f ( x)
2
Norm f 2
= dx
G
The following property follows from the definition of the Lebesgue integral

f (x )dx f (x )dx
G G

L2 ( G ) is a complete normed vectors spaces (Banach spaces) relative to f 2

.

4. Cauchy-Bunyakovsky-Schwarz Inequality (see also Theorem 10.1, p.257)

( f ,g ) f 2
g 2
for all f ,g L2 ( G )

Proof:
If f ,g L2 ( G ) , then functions f , g and any combination f + g are
also integrable and therefore belong to L 2 (G ) .
Consider

f + g L 2 (G ) , R for which we have

Chapter 7 INTEGRAL EQUATIONS

0 ( f + g ) dx = f dx + 2 fg dx + 2 g dx
2 2 2

G G G G

The right hand side is a quadratic function of . Because this function is non-
negative, its discrimenant ( D = b 2 4ac ) is non-positive

2
2 2
4 fg dx 4 f dx g dx 0

G G G
2
2 2

fg dx f dx g dx
G
G G

and because ( f , g ) = fgdx fg dx f g dx ,

G G G

( f ,g)
2 2 2
f 2
g 2

from which the claimed inequality yields

( f ,g) f 2
g 2

5. Minkowski Inequality (3rd property of the norm Triangle Inequality), (see Example 10.7 on p.257)

f +g 2
f 2
+ g 2
for all f ,g L2 ( G )

Proof:

= ( f + g, f + g)
2
Consider f +g 2

= ( f , f ) + ( f , g ) + (g , f ) + (g , g )
+ ( f , g ) + (g , f ) + g
2 2
f 2 2
2 2
f 2
+2 f 2
g 2
+ g 2
from C-B inequality

= f ( 2
+ g 2
) 2

Then extraction of the square root yields the claimed result.

Note that the Minkowski inequality reduces to equality only if functions f and
g are equal up to the scalar multiple, f = g , R (why?).
Chapter 7 INTEGRAL EQUATIONS

7.2 Linear Operators

Let M and N be two complete normed vectors spaces (Banach spaces, see
Ch.10) with norms M and N , correspondingly. We define an operator L as
a map (function) from the vector space M to the vector space N :

L:M N

Introduce the following definitions concerning the operators in the vector

spaces:

Operator L : M N is linear if L(f + g ) = Lf + Lg

for all f , g M and all , R

Operator L : M N is continuous if from f k f in M

follows Lf k Lf in N
(the image of the convergent sequence
in M is a convergent sequence in N )

Operator L : M N is bounded if there exists c > 0 such that

Lf N c f M for all f M

The norm of operator L : M N can be defined as the greatest lower bound

of such constant c
Lf N
L = sup
f 0 f M

Theorem 7.1 If linear operator L : M N is bounded then it is continuous

Proof:
Let operator L : M N be bounded, then according to the definition there
exists c > 0 such that Lf N c f M .

Let f k f in M . That means that lim f k f M

= 0 . From the definition of
k

the limit it follows that for any > 0 there exists k N such that
fk f M
< for all k k .

To prove the theorem, show now that Lf k Lf in N or that

lim Lf k Lf N
= 0 . We have to show that for any > 0 there exists K N
k

such that Lf k Lf N
< for all k K .

Choose = , then
c

Lf k Lf N
= L( f k f ) N
c fk f M
< c = for all k k c = K .
c

Remark: It is also true that if linear operator is continuous then it is bounded

(prove as an exercise). Therefore, for linear operators, properties continuous
and bounded are equivalent.
Chapter 7 INTEGRAL EQUATIONS

Definition Linear operator L : M N satisfies the Lipschitz condition

with constant k 0 if

Lf Lg k f g for all f ,g M

Obviously that if linear operator satisfies the Lipschitz

condition (it is called a Lipschitz operator) then it is bounded
(take vector g = 0 ) and, therefore, it is continuous.

Definition Linear operator L : M N is a contraction if it satisfies the

Lipschitz condition with constant k < 1 .

distance between images

becomes smaller

Let S be a closed subset of Banach space M , S M , and

let L : S S be an operator.

Definition Solution of operator equation f = Lf is called a

fixed point of operator L .

Definition Successive approximations is a sequence { f0 , f1 , f 2 ,...}

constructed in the following way:

f0 S is a starting point

f1 = Lf0
f 2 = Lf1
#
f n +1 = Lf n
#

Schematic visualization of successive approximations:

Chapter 7 INTEGRAL EQUATIONS

Successive approximations can be used for solution of operator equation

f = Lf
For example, in this case, the successive approximations converge to the fixed
point:

But they do not always converge to the fixed point of operator equation. This
example shows that even the choice of the starting point close to the fixed point
yields the divergent sequence of successive approximations (apparently they are
not very successive / ):

The following theorem establishes the sufficient condition for convergence of

successive approximations to the fixed point of operator equation.
Chapter 7 INTEGRAL EQUATIONS

Theorem (Banach Fixed Point Theorem, 1922)

Let S be a non-empty closed subset of Banach space M ,

S M , S .
And let L : S S be a contraction operator with constant
k < 1.
Then the sequence of successive approximations
{ f n f n = Lf n 1 , f0 S} converges to the unique fixed point
f S , f=Lf for any starting point f0 S
fn f
and the following estimate is valid
1 kn
fn f f n f n +1 f0 f 1
k 1 k
Proof:

Using mathematical induction, show that f n f n + 1 k n f 0 f1 ()

Verify for n=0 f0 f1 = k 0 f0 f 1 = f 0 f1 true

Assume for n : f n f n + 1 k n f 0 f1

Show for n+1: f n + 1 f n + 2 k n + 1 f0 f 1

Indeed, f n +1 f n + 2 = Lf n Lf n +1 definition of s.a.

k f n f n +1 Lipschitz condition
k k n
f0 f 1 assumption
= k n + 1 f0 f 1

Show that { fn } is a Cauchy sequence, i.e. lim

n ,m
fm fn = 0

Consider

f m f n = f m Lf m + Lf m Lf n + Lf n f n (add and subtract)

Apply Minkowski inequality twice:

fm fn f m Lf m + Lf m Lf n + Lf n f n

f m Lf m + k f m f n + Lf n f n Lipschitz condition

f m Lf m + Lf n f n

1 k
f m f m +1 + f n f n +1
definition of s.a.
1 k
km f 0 f1 + k n f0 f1
equation ()
1 k

km + kn
= f0 f 1 0 when m,n
1 k
Chapter 7 INTEGRAL EQUATIONS

Because vector space M is complete, Cauchy sequence { fn } converges to

some f M . And because f n S and set S is closed (includes all limiting
points), f S . Therefore in a limit, equation of successive approximations
f n +1 = Lf n lim f n +1 = lim Lf n
n n

(
lim f n +1 = L lim f n
n n
)
converges to
f = Lf
And therefore, f S is a fixed point.

(Uniqueness) Let f ,g S be two fixed points of operator L :

f = Lf
g = Lg
Then from
f g = Lf Lg k f g
yields
(1 k ) f g 0
Because 1 k > 0
f g 0
That is possible only if
f g =0
Therefore, f =g
So the fixed point is unique.

Hugo Steinhaus, the colleague and friend of Stefan Banach, formulated the fixed
point theorem in the following way:

hedgehog cannot be combed

Chapter 7 INTEGRAL EQUATIONS

7.3 Integral Operator

Consider an operator called an integral operator given by the equation

Kf = K (x , y ) f ( y )dy xG Rn
G

Obviously, that integral operator is linear.

Function K (x , y ) is called a kernel of the integral operator. We will consider

kernels K (x , y ) L2 (G G ) , therefore

K (x , y )
2
dxdy <
GG

In a case of G R , the domain G = (a , b ) , where a , b can be finite or infinite.

Theorem 7.2 Let K be the integral operator with a kernel K (x , y )

continuous in [a , b] [a , b] . Then operator K is bounded,
and, therefore, continuous. Moreover:

1) K : L 2 (a , b ) C [a , b] Kf C
M ba f 2
for f L 2 (a , b )

2) K : L 2 (a , b ) L2 (a , b ) Kf 2
M (b a ) f 2
for f L 2 (a , b )

3) K : C [a , b ] C [a , b] Kf C
M (b a ) f C
for f C [a , b]

Proof:
Since K (x , y ) is continuous in the closed domain [a , b ] [a , b ] , there exists
M > 0 such that M = max K (x , y ) .
x , y[a ,b ]

1) Let f L 2 (a , b ) . Then because function K (x , y ) is continuous in

[a , b] [a , b] , the function (Kf )(x ) is continuous in [a , b] , and, therefore
K : L 2 (a , b ) C [a , b] . Consider

Kf = max ( Kf )( x ) definition of norm in C [ a,b ]

C x[ a ,b ]

b
= max
x[ a ,b ] K ( x, y ) f ( y )dy definition of integral operator
a

= max
x[ a ,b ]
( K ( x, y ) , f ( y ) ) inner product in L2 ( a,b )

max K f Cauchy-Bunyakowski inequality

x[ a ,b] 2 2

12
b
K ( x, y ) dy definition of norm in L2 ( a,b )
2
2 x[ a ,b ]
f max
a
12
b
f max M 2 dy replace by M = max K (x , y )
2 x[ a ,b ] x , y[a ,b ]
a

= M ba f 2
calculating definite integral
Chapter 7 INTEGRAL EQUATIONS

= ((Kf )(x ), (Kf )(x )) definition of norm in L2 ( a,b )

12
2) Kf 2

12
b
= (Kf )(x ) dx inner product in L2 ( a,b )
2

12
b b 2

= K (x , y ) f ( y )dy dx definition of integral operator
a a

12
b 2
2
K 2
f 2 dx Cauchy-Bunyakowski inequality
a

12
b b
= f 2 K (x , y ) dy dx
2
factoring f 2
a a

12
b b
f 2 M 2 dy dx replace by M = max K (x , y )
x , y[a ,b ]
a a

12
b b
M f 2 dy dx calculating definite integral
a a

=M f 2
(b a )

3) Kf = max ( Kf )( x ) definition of norm in C [ a,b ]

C x[ a ,b ]

b
= max
x[ a ,b ] K ( x, y ) f ( y )dy definition of integral operator
a
b
max K ( x, y ) f ( y ) dy
x[ a ,b]
a
b
max M f ( y ) dy replace by M = max K (x , y )
x[ a ,b] x , y[a ,b ]
a
b
= M f ( y ) dy does not depend on x
a
b
M max f ( y ) dy
y[ a ,b ]
a
b
M f C
dy definition of norm in C [ a,b ]
a
b

C
M f dy
a

= M (b a ) f C
calculating definite integral

Chapter 7 INTEGRAL EQUATIONS

7.4 Integral Equations

Integral equations are equations in which the unknown function is under the
integral sign. The typical integral equations for unknown function u (x ) ,
x G \ n (in this chapter , we consider x ( a,b ) \ ) include integral term
in the form of integral operator with the kernel K (x , y )
b( x )

Ku = K ( x, y ) u ( y ) dy
a

The main types of integral equations are the following:

I Fredholm integral equation 1) Fredholms integral equation of the 1st kind:

K ( x, y ) u ( y ) dy = f ( x ) Ku = f non-homogeneous eqn
a
b

K ( x, y ) u ( y ) dy = 0 Ku = 0 homogeneous eqn
a

2) Fredholms integral equation of the 2nd kind: C is a parameter

b
u ( x ) = K ( x, y ) u ( y ) dy + f ( x ) u = Ku + f non-homogeneous eqn
a
b
u ( x ) = K ( x, y ) u ( y ) dy u = Ku homogeneous eqn
a

II Volterra integral equation 1) Volterras integral equation of the 1st kind:

K (x , y )u( y )dy = f (x )
0

2) Volterras integral equation of the 2nd kind:

x
u (x ) = K (x , y )u ( y )dy + f (x )
0

Note that Volterras equations can be viewed as a special case of Fredholms

equations with K (x , y ) = 0 for 0 < x < y < a (it is called a Volterra kernel).
y

0 a x
Chapter 7 INTEGRAL EQUATIONS

III Integro-Differential Equation includes an unknown function under the integral sign and also any derivative of
the unknown function. For example:
du
= u (x ) + K (x , y )u ( y )dy + f (x )
dx G
An important representation of the integro-differential equation is a Radiative
Transfer Equation describing energy transport in the absorbing, emitting and
scattering media (analogous equations appear in the theory of neutron transport).

Solution of integral equation is any function u (x ) satisfying this equation:

u = Ku + f non-homogeneous equation

u = Ku homogeneous equation

The value of the parameter C for which the homogeneous integral equation
has a non-trivial solution u L 2 which is called an eigenvalue of the kernel
K (x , y ) , and the corresponding solution is called an eigenfunction of this
kernel.

Eigenvalue problem We will distinguish eigenvalue problems for the integral kernel (integral
equation):
u = Ku

and for the integral operator

1
Ku = u

The eigenvalues of the integral operator are recipical to eigenvalues of the
integral kernel, and eigenfunctions are the same in both cases.

Existence of the solution of Fredholms integral equation

Consider Fredholms integral equation of the 2nd kind:

u = Ku + f ()
with bounded integral operator K which also satisfies the Lipschitz condition:
Ku1 Ku2 k u1 u2 , k 0
Rewrite integral equation in the form
u = Tu ()
where operator T is defined by
Tu = Ku + f
Note that operator T is not linear. Obviously, if u is a fixed point of operator
equation (), then u is a solution of integral equation ().
Consider
Tu1 Tu2 = Ku1 + f ( Ku2 + f )
= Ku1 Ku2
= K ( u1 u2 )
k u1 u2
If k < 1 , then operator T is a contraction and according to Banach fixed point
theorem , there exist a unique fixed point of equation () . This unique fixed
point is also a solution of Fredholms equation (). Therefore, the following
conclusion can be made: Fredholms integral equation of the 2nd kind with
bounded kernel has a unique solution for sufficiently small , in fact < 1 k .
Chapter 7 INTEGRAL EQUATIONS

7.5 Solution Methods for Integral Equations

1. The Method of Successive Approximations for Fredholms Integral Equation

For the integral equation

u = Ku + f

the following iterations of the method of successive approximations are set by:

u 0 (x ) = f (x )

u n (x ) = Ku n 1 + f n = 1,2 ,...

n
Lemma 7.1 u n (x ) = k K k f K (
where K k =  K ("

K ))
k =0
k times

Proof by mathematical induction (assume that the formula for n is true):

n=0 u 0 (x ) = 0 K 0 f = f ( x ) confirmed

n = n+1 un +1 ( x ) = Ku n + f by definition

n
= K k K k f + f by assumption
k =0
n
= f + k +1 K k +1 f linearity
k =0
n +1
= f + p K p f change of index p = k + 1
p =1
n +1
= 0 K 0 f + p K p f
p =1
n +1
= p K p f
p =0
n +1
= k K k f change of index p = k
k =0

Neumann Series k K k f is called to be the Neumann Series
k =0

Estimation of iterations Kn f
C
(
= K K n 1 f ) C

M (b a ) K n 1 f Theorem 7.2 (3)

C

M 2 (b a ) K n 2 f
2
C

M n (b a ) f
n
C
Chapter 7 INTEGRAL EQUATIONS

k K k f k Kk f Cauchy-Bunyakovsky inequality
C
k =0 C k =0

M k (b a )
k k
f C
Theorem 7.2 3)
k =0

[ M (b a )]

k
= f C
geometric series
k =0

1
converges if <
M (b a )
f
= C

1 M (b a )

1
Therefore, the Neumann series k K k f converges for <
M (b a )
.
k =0

Denote the sum of the Neumann series as a function u (x ) :

u (x ) = k K k f
k =0

Show that this function satisfies the integral equation u = Ku + f . Consider

iterations
u n (x ) = Ku n 1 + f
then
u (x ) = lim u n (x )
n

= K lim u n 1 (x ) + f
n
b
= K (x , y ) lim u n 1 ( y )dy + f
n
a
b
= K (x , y )u ( y )dy + f
a

f
And , recalling estimation, u (x ) C C

1 M (b a )

show that this solution is unique. For that, it is enough to show that the
homogeneous equation u = Ku has only a trivial solution. Indeed, if
u 0 = Ku 0 , then u 0 C [a , b] and , according to Theorem 6.2 3),
u0 C
M (b a ) u 0 C
, then
[1 M (b a )] u 0 C 0

Because <
1
M (b a )
[ ]
, 1 M (b a ) > 0 and, therefore, u 0 C = 0 . That

yields, that u (x ) = 0 for all x [a , b] . So, only the trivial solution exists for the
homogeneous equation.

The non-homogeneous equation u = Ku + f can be rewritten in the form

(I K )u = f
where I is an identity operator
Then solution of this equation can be treated as an inversion of the operator
u = ( I K ) f
1

1
, then there exists an inverse operator (I K ) .
1
Therefore, if <
M (b a )

The above mentioned results can be formulated in the following theorem:

Chapter 7 INTEGRAL EQUATIONS

Theorem 7.3 Fredholms integral equation

u = Ku + f
1
with < and continuous kernel K (x , y ) has a
M (b a )
unique solution u (x ) C [a , b] for any f (x ) C [a , b] .
This solution is given by a convergent Neumann series

u (x ) = k K k f
k =0
and satisfies
f
u (x ) C C
.
1 M (b a )
1
If < , then there exists an inverse operator
M (b a )
(I K )1 .

Conditions of Theorem 7.3 are only just sufficient conditions; if these conditions
are not satisfied, solution of the integral equation still can exists and the
Neumann series can be convergent.

Example 7.1 Find the solution of the integral equation

11
u (x ) = e x + u ( y )dy
e0
by the method of successive approximations and in the form
of the Neumann series.

Identify: K (x , y ) = 1 f (x ) = e x ba =1
1
M =1 =
e

1 1 1
Check condition: < < <1
M (b a ) e 11

1) iterations:

u 0 (x ) = ex

u 1 (x ) = ex +
11
e 0
u 0 ( y )dy = ex +
11 x
e 0
e dy = ex +
e
[ ]
1 x
e
1
0 = ex + 1
1
e
11 1 1 x 1 1
u 2 (x ) u 1 ( y )dy
e 0 e 0
= ex + = ex + e + 1 dy = e + 1 2
x

e e

11 1
u n (x ) u n 1 ( y )dy
e 0
= ex + = ex + 1
en

Then solution of the integral equation is a limit of iterations

1
u (x ) = lim u n (x ) = lim e x + 1 n = e x + 1
n n
e

This result can be validated by a direct substitution into the given integral
equation.
Chapter 7 INTEGRAL EQUATIONS

2) Neumann series:

u (x ) = k K k f = f ( x ) + 1 K 1 f + 2 K 2 f + "
k =0

f (x ) = ex
1
Kf = e x dy = e 1
0
1
K2 f = (e 1)dy = e 1
0

Kn f = e 1

Then the Neumann series is

1
u (x ) = ex + (e 1) + 12 (e 1) + " + 1n (e 1) + "
e e e

1 1 1
= e x ( e 1) + ( e 1) + ( e 1) + 2 ( e 1) + " + n ( e 1 ) + "
e e e

1
= e x (e 1) + (e 1) n
n =0 e

= ex e +1+
(e 1)
1
1
e

= ex e + 1+ e

= ex +1

So, the Neumann series approach produces the same solution.

Chapter 7 INTEGRAL EQUATIONS

2. The Method of Successive Substitutions for Fredholms Integral Equation (the Resolvent Method)

Iterated kernel Let integral operator K has a continuous kernel K (x , y ) , then define:

Repeated operator ( ) (
K n = K K n 1 = K n 1 K ) n = 2 ,3 ,...

It has a kernel K n (x , y ) = K (x , y )K n 1 ( y , y )dy

G

Indeed, ( K f )( x)
1
= K ( x, y ) f ( y ) dy

 

G
K1 ( x ,y )

(K f )(x )
2
= [K (Kf )](x )

= K (x , y ) K ( y , y ) f ( y )dy dy
G G

= K ( x, y ) K ( y , y )dy f ( y ) dy
G G
 

K 2 ( x ,y )

Kernel K n (x , y ) = K (x , y )K n 1 ( y , y )dy
G

= K n 1 (x , y )K ( y , y )dy
G

is called an iterated kernel. Kernels K n (x , y ) are continuous, and if domain

G = (a , b ) , then
K n (x , y ) M n (b a )
n 1

Resolvent Function defined by the infinite series

R(x , y , ) = k K k +1 (x , y )
k =0
is called a resolvent.

Theorem 7.4 Solution of integral equation u = Ku + f with continuous

1
kernel K (x , y ) is unique in C [a , b] for < , and for
M (b a )
any f C [a , b] is given by

b
u (x ) = f (x ) + R(x , y , ) f ( y )dy
a

i.e. there exists inverse operator

1
( I K ) 1 = I + R , <
M (b a )
Chapter 7 INTEGRAL EQUATIONS

Example 7.2 Find solution of integral equation

23 11
u (x ) = x + xyu( y )dy
6 80
by the resolvent method .

23
Identify: K (x , y ) = xy f (x ) = x ba =1
6
1
M =1 =
8

1 1 1
Check condition: < < <1
M (b a ) 8 11
Iterated kernels:

K 1 (x , y ) = xy
1
1 1
y3 xy
K 2 (x , y ) = K ( x, y )K1 ( y , y ) dy = xy y ydy = xy =
0 0 3 0 3
1
1 1
xy xy y 3 xy
K 3 (x , y ) = K 2 ( x, y )K 2 ( y , y ) dy = y ydy = =
0 0 3 3 3 0 32

xy
K n (x , y ) =
3 n 1

Resolvent:

R(x , y , ) = k K k +1 (x , y )
k =0

1 xy 1 xy 1 xy 1 xy
= xy + + 2 2 + 3 3 + ... + n n + ...
8 3 8 3 8 3 8 3
11 1 1 1 1 1 1
= xy 1 + + 2 2 + 3 3 + ... + n n + ...
8 3 8 3 8 3 8 3
1
= xy
1
1
24
24
= xy
23

Solution:
b
u (x ) = f (x ) + R(x , y , ) f ( y )dy
a

23 1 1 24 23
= x + xy ydy
6 8 0 23 6
23 1 1
= x + x y 2 dy
6 2 0
1
23 1 y3
= x+ x
6 2 3 0

= 4x
Chapter 7 INTEGRAL EQUATIONS

3. The Method of Successive Approximations for the Volterra Integral Equation of the 2nd kind

Consider the Volterra integral equation of the 2nd kind

x
u ( x ) = K ( x, y ) u ( y ) dy + f ( x )
0

where K (x , y ) is a continuous kernel, K ( x, y ) C ([ a,b ] [ a,b ]) .

The method of successive approximation is defined by the following iterations:

u 0 (x ) = f (x )
n
u n (x ) = n K k f = Ku n 1 + f
k =0

Theorem 7.5 The Volterra integral equation of the 2nd kind

x
u ( x ) = K ( x, y ) u ( y ) dy + f ( x )
0

with continuous kernel K (x , y ) and with any R

has a unique solution u (x ) C [0 , a ] for any f (x ) C [0 , a ] .

This solution is given by a uniformly convergent Neumann
series
( )

u (x ) = n K k f (x )
k =0
and its norm satisfies
u (x ) C f
Ma
C
e

Example 7.3 Find solution of integral equation

x
u (x ) = 1 + u ( y )dy
0
by the method of successive approximations.

Identify: K (x , y ) = 1 f (x ) = 1
M =1 =1

K0 f = f (x ) = 1

( )
x x
= K (x , y ) K 0 f ( y )dy = 1 1dy = [ y ]0
x
K1 f =x
0 0
x
y2
( )
x x
x2
K2 f = K (x , y ) K 1 f ( y )dy = 1 ydy = =
0 0 2 0 2
x
1 y3
( ) y2
x x
x3
K3 f = K (x , y ) K 2 f ( y )dy = 1 dy = =
0 0 2 2 3 0 23

xn
Kn f =
n!

( ) xk

Solution: u (x ) = n K k f (x ) = = ex
k =0 k =0 k!
Chapter 7 INTEGRAL EQUATIONS

7.6 Connection between integral equations and initial and boundary value problems

1. Reduction of IVP to the Volterra integral equation

Example 7.4 Reduce IVP

u 3x 2 u = 0 u (0 ) = 1
to the Volterra integral equation.

Integrate the differential equation from 0 to x :

u ( y ) 3 y u ( y )dy = 0
2

0
x x

( u )dy ( 3 y u )dy = 0
2

0 0
x
u ( x ) u ( 0 ) 3 y 2 u ( y )dy = 0 use the initial condition u (0 ) = 1
0
x
u ( x ) = 1 + 3 y 2 u ( y )dy is a Volterra equation with K ( x, y ) = y 2
0

2. Reduction of the Volterra integral equation to IVP

Recall the Liebnitz rule for differentiation of expressions with integrals:

d
b(x ) b( x )
g ( x, y ) db ( x ) da ( x )
g (x , y )dy dy + g x,b ( x ) g x,a ( x )
dx a ( x )
=
a( x) x dx dx

In particularly,

d x
g ( y )dy = g (x )
dx 0

d x x
g (x , y )
g (x , y )dy dy + g (x , x )
dx 0
=
0 x

Reduction of the Volterra integral equation to IVP is performed by consecutive

differentiation of the integral equation with respect to variable x and
substitution x = 0 for setting of the initial conditions.

Example 7.5 Reduce the Volterra integral equation

x
u (x ) = x 3 + (x y ) u ( y )dy
2

0
initial value problem.

substitute x = 0 to get initial condition

x 0
u (x ) = x 3 + (x y ) u ( y )dy u ( 0 ) = 0 3 + ( x y ) u ( y ) dy u (0 ) = 0
2 2

0

0
 

0
Chapter 7 INTEGRAL EQUATIONS

x 0
u (x ) = 3 x 2 + 2(x y )u ( y )dy u (0 ) = 30 2 + 2(x y )u ( y )dy u (0 ) = 0
0 0
x x
u (x ) = 3 x 2 + 2 u ( y )dy u (0 ) = 30 2 + 2 u ( y )dy u (0 ) = 0
0 0

u (x ) = 6 x + 2u (x )

Therefore, the integral equation is reduced to IVP for 3rd order ODE:

u 2u = 6 x u (0 ) = 0
u (0 ) = 0
u (0 ) = 0

3. Reduction of BVP to the Fredholm integral equation

Recall repeated integration formula:

x tn t3 t 2 x
1
" f ( t1 )dt1 dt2 " dtn 1 dtn = ( x t ) f ( t ) dt
n 1

0 0 0 0 ( n 1) ! 0

Example 7.6 Reduce the boundary value problem

y (x ) + y (x ) = x x (0 , )
y (0 ) = 1
y ( ) = 1
to the Fredholm integral equation.

Set y (x ) = u (x )

x x
integrate y (t )dt = u (t )dt
0 0
x
y (x ) y (0 ) = u (t )dt
0

x x t 2
integrate [y (t 2 ) y (0 )]dt 2 = u (t 1 )dt 1 dt 2
0
0 0

x t 2
y (x ) y (0 ) y (0 )x = u (t 1 )dt 1 dt 2
0
0
x
y (x ) y (0 ) y (0 )x = (x t )u (t )dt repeated integration
0

Use the first boundary condition

x
y (x ) = 1 + y (0 )x + (x t )u (t )dt
0

In this expression, y (0 ) is not known. Substitute x = and apply the second

boundary condition
Chapter 7 INTEGRAL EQUATIONS

y ( ) = 1 + y (0 ) + ( t )u (t )dt
0

1 = 1 + y (0 ) + ( t )u (t )dt
0

Solve for y (0 )

2 1
y (0 ) = 1 ( t )u(t )dt
0
Then
2 1 x
y (x ) = 1 + 1 ( t )u (t )dt x + (x t )u (t )dt
0 0
x
2 x
= 1 + x x ( t )u (t )dt + (x t )u (t )dt
0 0

Now substitute this expression for y (x ) and y (x ) = u (x ) into the original

differential equation

x
2 x
u +1+ x

x
( t )u (t )dt + (x t )u(t )dt = x
0 0
x
2 x
u +1

x
( t )u (t )dt + (x t )u (t )dt = 0
0 0
x
2 x
u = 1 +

x+
( t )u (t )dt (x t )u (t )dt
0 0
x x
2 x x
u = 1 +

x+
( t )u (t )dt + ( t )u (t )dt (x t )u(t )dt

0 x 0

2 x x x
x
u= x 1 + ( t )u (t )dt (x t )u (t )dt + ( t )u (t )dt
0 0 x
2 x x x
x( t )
u= x 1 + ( t )u (t )dt (x t )u (t )dt + u (t )dt
0 0 x
2 x
x

x( t )
u= x 1 + ( t ) (x t )u (t )dt + u (t )dt
0 x
2 x
t ( x )
x( t )
u= x 1+ u (t )dt + u (t )dt
0 x

It yields a Fredholm integral equation

2
u= x 1 + K ( x,t )u ( t ) dt
0

with a kernel

t ( x )
0t x
K (x , t ) =
x( t )
x t

Chapter 7 INTEGRAL EQUATIONS

7.7 Exercises

1. Prove part 3) of the Theorem 7.2.

2. Classify each of the following integral equations as Fredholm or Volterra

integral equation, linear or non-linear, homogeneous or non-homogeneous,
identify the parameter and the kernel K ( x, y ) :
1
a) u ( x ) = x + xyu( y )dy
0
x
b) u ( x ) = 1 + x 2 + ( x y ) u( y )dy
0
x
c) u ( x ) = e x + yu 2 ( y )dy
0
1
u ( x ) = ( x y ) u( y )dy
2
d)
0

x1 1 1
e) u ( x) = 1 + dy
4 0 x + y u( y )

3. Reduce the following integral equation to an initial value problem

x
u ( x ) = x + ( y x ) u ( y ) dy
0

4. Find the equivalent Volterra integral equation to the following initial value
problem

y ( x ) + y ( x ) = cos x y (0 ) = 0 y (0 ) = 1

5. Derive the equivalent Fredholm integral equation for the following

boundary value problem

y + y = x x ( 0,1) y (0 ) = 1 y ( 1) = 0

6. Solve the following integral equations by using the successive

approximation method and the resolvent method:

1
a) u ( x ) = x + xyu ( y ) dy
0

12
b) u ( x ) = x + cos xu ( y ) dy
40

7. Solve the following integral equation by using the successive

approximations method

x
u ( x ) = 1 ( y x ) u ( y ) dy
0
Chapter 7 INTEGRAL EQUATIONS

8. Solve the following integral equations:

x
a) u ( x ) = sin 2x + u ( x s ) sin ( s ) ds
0
x
b) u ( x ) = x 2 + u ( x s ) e as ds u (0 ) = 0
0

9. Using mathematical induction prove identity for iterated kernel (7.5 2):

K n (x , y ) = K (x , y )K n 1 ( y , y )dy
G

10. Using mathematical induction verify the following estimate for iterated
kernels (7.5 2):

K n (x , y ) M n (b a )
n 1

11. Verify result of Example 7.4 by solving both IVP and derived integral
equation.
Chapter 7 INTEGRAL EQUATIONS

Stefan Banach (1892 -1945) Scottish Caf Lvov

The Scottish caf in Lvov (Ukraine) was a meeting place for many mathematicians including Banach, Steinhaus,
Ulam, Mazur, Kac, Schauder, Kaczmarz and others. Problems were written in a book kept by the landlord. A
collection of these problems appeared later as the Scottish Book. R D Mauldin, The Scottish Book, Mathematics
from the Scottish Caf (1981) contains the problems as well as some solutions and commentaries.

Ivar Fredholm (1866 1927)

Fredholm is best remembered for his work on integral equations and spectral theory.
Find out more at: http://www-history.mcs.st-andrews.ac.uk/history/Mathematicians/Fredholm.html

Vito Volterra (1860 - 1940)

Volterra published papers on partial differential equations, particularly the equation of cylindrical
waves. His most famous work was done on integral equations. He published many papers on what is
now called 'an integral equation of Volterra type'.
Find out more at: http://www-history.mcs.st-andrews.ac.uk/history/Mathematicians/Volterra.html