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You are on page 1of 203

The present book follows the first semester analytic curriculum of the

course ’Mathematics for Engineers’, Faculty of Engineering in Foreign Lan-

guages (FILS), University Politehnica Bucharest, that is why it may seem a

little strange the combination of the two principal parts: Systems of Differ-

ential Equations (SDEs) and Complex Analysis.

The book intends to bring together all the necessary elements for a pro-

found understanding of the selected mathematical notions, both theory and

applications.

In the first five chapters, the interested reader finds the definitions of

the notions, properties, theorems with complete proof, suggestive examples,

completely solved exercises and exercises with or without a hint (solving

these exercises could be a good method to verify the proper understanding

of the material). The last chapter is just an invitation for the interested

reader to use mathematical specialized software like MATLAB or MAPLE

for practical applications of the notions presented in the previous chapters.

The book wants to be a convenient source for studying Linear, Homoge-

neous and Non-homogeneous SDEs, Complex differentiation and integration

of functions of a complex variable, Residues theory and its applications, in

order to eliminate the search on the Internet or numerous trips to the library.

Even if the present book is mainly addressed to the the students in the 1st

or 2nd year of study in an Engineering faculty, it may be a useful tool for the

students attending Master studies or the students who want to participate

in a student math competition, like ’Traian Lalescu’.

The authors would like to express warm thanks to the referees that have

read the material and contributed to its improvement and to all the col-

leagues for their precious suggestions and valuable observations. A very

special thanks goes to Laurenţiu Toader who designed a significant part of

the figures.

i

ii

Contents

Foreword i

1.1 Linear and Homogenous SDEs . . . . . . . . . . . . . . . . . . 2

1.1.1 First Order Linear SDEs . . . . . . . . . . . . . . . . . 2

1.1.2 Linear and Homogeneous SDEs with Constant Coeffi-

cients . . . . . . . . . . . . . . . . . . . . . . . . . . . 6

1.2 Linear and Non-homogenous SDEs . . . . . . . . . . . . . . . 13

1.2.1 The fundamental matrix . . . . . . . . . . . . . . . . . 13

1.2.2 Non-homogenous SDEs . . . . . . . . . . . . . . . . . . 18

1.2.3 Linear Control Systems . . . . . . . . . . . . . . . . . . 23

1.3 Stability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23

1.3.1 Asymptotic stability . . . . . . . . . . . . . . . . . . . 23

1.3.2 The Routh-Hurwitz Criterion . . . . . . . . . . . . . . 27

1.3.3 The Lyapunov Equation . . . . . . . . . . . . . . . . . 28

1.3.4 Stability of Nonlinear Systems . . . . . . . . . . . . . . 31

1.4 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34

2.1 The Field C . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61

2.2 The Topology on C e . . . . . . . . . . . . . . . . . . . . . . . . 67

2.3 Examples of Functions of a Complex Variable . . . . . . . . . 69

2.4 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76

3 Complex Differentiation 83

3.1 Analytic Functions . . . . . . . . . . . . . . . . . . . . . . . . 83

3.2 Harmonic Conjugates . . . . . . . . . . . . . . . . . . . . . . . 87

3.3 Analytic Continuation . . . . . . . . . . . . . . . . . . . . . . 88

iii

3.4 Determination of Analytic Functions . . . . . . . . . . . . . . 89

3.5 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94

4.1 The Complex Line Integral . . . . . . . . . . . . . . . . . . . . 107

4.2 Cauchy’s Theorems . . . . . . . . . . . . . . . . . . . . . . . . 111

4.3 Taylor and Laurent Series . . . . . . . . . . . . . . . . . . . . 121

4.3.1 Taylor Series . . . . . . . . . . . . . . . . . . . . . . . 122

4.3.2 Laurent Series . . . . . . . . . . . . . . . . . . . . . . . 125

4.4 Classification of Singular Points . . . . . . . . . . . . . . . . . 129

4.5 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133

5.1 The Residue Theorem . . . . . . . . . . . . . . . . . . . . . . 142

5.2 Computation of Residues at Poles . . . . . . . . . . . . . . . . 144

5.3 Jordan’s Lemmas . . . . . . . . . . . . . . . . . . . . . . . . . 146

5.4 Applications of the Residue Theorem . . . . . . . . . . . . . . 149

5.5 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155

6 SOFTWARE 171

6.1 Stability with MATLAB . . . . . . . . . . . . . . . . . . . . . 171

6.2 MATLAB and MAPLE Commands for Complex Numbers and

for Functions of a Complex Variable . . . . . . . . . . . . . . . 178

6.2.1 MATLAB . . . . . . . . . . . . . . . . . . . . . . . . . 178

6.2.2 MAPLE . . . . . . . . . . . . . . . . . . . . . . . . . . 181

Bibliography 193

Index 197

iv

Chapter 1

Systems of Differential

Equations (SDEs)

scribing how drugs propagate the body in biology or defining inventory mod-

els in economy, all can be mathematically described and solved using the the-

ory of systems of differential equations (SDEs). Like single ODEs (ordinary

differential equations), SDEs are classified as linear or nonlinear, homoge-

neous or non-homogeneous, with constant coefficients or variable coefficients.

Józef Hoene Wronski, Thomas Muir [22] or Giuseppe Peano [26] are just

a few of a large number of mathematicians that developed this important

branch of mathematics. About the life and the mathematical contributions

of Wronksi, one should consult [30] (translated from Polish).

The definition of a stable SDE is due to Henri Poincaré [28], [29] (in

French) and Alexandr Lyapunov [17] (translated from Russian into French

by Édourd Davaux and from French into English by A. T. Fuller). They

noticed that the system is stable only after the initial conditions are losing

their influence.

sented in [7], [9, Chapter 5], [10], [11], [12], [13], [14, Chapters 1-5], [24].

1

1.1 Linear and Homogenous SDEs

1.1.1 First Order Linear SDEs

A linear system of differential equations (for short, a SDEs) has the nor-

mal form

0

y1 = a11 (x)y1 + a12 (x)y2 + · · · + a1n (x)yn + b1 (x)

y 0 = a (x)y + a (x)y + · · · + a (x)y + b (x)

2 21 1 22 2 2n n 2

(1.1)

· · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · ·

0

yn = an1 (x)y1 + an2 (x)y2 + · · · + ann (x)yn + bn (x)

Assume that aij : I → R and bi : I → R are continuous functions on an

interval I ⊂ R, ∀i, j = 1, n.

The system is said to be homogeneous if bi ≡ 0, ∀i = 1, n and it will be

denoted (1.10 ).

Let us consider the matrix A(x) and the vectors Y (x) and B(x),

a11 (x) a12 (x) · · · a1n (x)

a21 (x) a22 (x) · · · a2n (x)

A(x) = ···

,

··· ··· ···

an1 (x) an2 (x) · · · ann (x)

y1 (x) b1 (x)

y2 (x) b2 (x)

Y (x) =

· · · , B(x) =

.

···

yn (x) bn (x)

Then the system (1.1) can be written in the form

general solution is a solution Y (x, C1 , C2 , . . . , Cn ), where C1 , C2 , . . . , Cn are

arbitrary constants and any solution of (1.1) can be obtained from it by a

suitable choice of constants C1 , C2 , . . . , Cn .

2

An initial condition is an equality of the form

Y (x0 ) = Y0 , (1.3)

(1.10 ) which verifies (1.3) is called the initial value problem.

SDE given by Y 0 (x) = A(x)Y (x) + B(x). Then

there exists a solution Y (x) of the initial value problems (1.1), (1.3)

and (1.10 ), (1.3) respectively and this solution is unique;

ii) if A and B are continuous on I, then the initial value problems (1.1)

and (1.10 ) have unique solutions.

Proof. An idea for the proof in the case (1.10 ) is to consider the sequence of

the vector functions (Yk )k∈N , defined by

Z x

Y0 (x) = Y0 , Yk (x) = Y0 + A(t)Yk−1 (t)dt, k ≥ 1.

x0

pact interval J ⊂ I.

Let Y be the limit of the sequence (Yk )k∈N on J. Then the sequence

(AYk )k∈N is uniformly convergent to AY on J and we can take the limit, as

k → ∞, in the equality

Z x

Yk (x) = Y0 + A(t)Yk−1 (t)dt. (1.4)

x0

Z x

One obtains that Y (x) = Y0 + A(t)Y (t)dt. By deriving, it follows

x0

that Y 0 (x) = A(x)Y (x) and for x = x0 , Y (x0 ) = Y0 , hence the limit Y is the

solution of the initial value problem (in the first case i)).

Similarly, one can prove the case (1.1) by considering the sequence

Z x

Y0 (x) = Y0 , Yk (x) = Y0 + A(t)Yk−1 (t)dt + B(x), k ≥ 1.

x0

3

Now, if Y1 and Y2 are two solutions of (1.10 ) with Y1 (x0 ) = Y2 (x0 ), then

Y (x) = Y1 (x) − Y2 (x) verifies Y (x0 ) = 0 and

Z x

kY (x)k = A(t) [Y1 (t) − Y2 (t)] dt .

x0

Using some elementary computations and evaluations, one can prove that

kY (x)k is 0, so the solution is unique.

system (1.10 ) is a solution of (1.10 ).

Proof. Let Yi , i = 1, k solutions of (1.10 ), i.e. Yi0 = AYi , and some real

constants Ci , i = 1, k.

X k

Consider the linear combination Y = Ci Yi . Then

i=1

k k k

!

X X X

Y0 = Ci Yi0 = Ci AYi = A C i Yi = AY,

i=1 i=1 i=1

real linear space. Obviously, Proposition 1.1.2 remains valid in the case of

complex constants Ci .

The solutions Y1 , Y2 , . . . , Yk of (1.10 ) are linearly independent on I ⊂ R

if from C1 Y1 (x) + C2 Y2 (x) + · · · + Ck Yk (x) = 0, ∀x ∈ I one can infer that

C1 = C2 = · · · = Ck = 0.

pendent on I ⊂ R if and only if the vectors Y1 (x0 ), Y2 (x0 ), . . . , Yk (x0 ) are

linearly independent, where x0 ∈ I is an arbitrary point.

tors and C1 Y1 (x) + C2 Y2 (x) + · · · + Ck Yk (x) = 0, ∀x ∈ I, then this equality

holds for x = x0 and, by hypotheses, C1 = C2 = · · · = Ck = 0, hence

Y1 (x), Y2 (x), . . . , Yk (x) are linearly independent solutions.

4

Conversely, if we have that Y1 (x), Y2 (x), . . . , Yk (x) are linearly indepen-

dent and C1 Y1 (x0 ) + C2 Y2 (x0 ) + · · · + Ck Yk (x0 ) = 0, it follows by Proposition

1.1.2 that Y = C1 Y1 + C2 Y2 + · · · + Ck Yk is a solution of (1.10 ) which ver-

ifies Y (x0 ) = 0. But the null function Z(x) ≡ 0 obviously verifies (1.10 )

and Z(x0 ) = 0. By the Existence and Uniqueness Theorem (see Theorem

1.1.1) we have that Y (x) ≡ Z(x) ≡ 0, i.e. C1 Y1 (x) + C2 Y2 (x) + · · · +

Ck Yk (x) = 0, ∀x ∈ I, hence C1 = C2 = . . . = Ck = 0. It follows that

Y1 (x0 ), Y2 (x0 ), . . . Yk (x0 ) are linearly independent.

y11 y12 y1n

y21

, Y2 = y22 , . . . , Yn = y2n .

Y1 =

··· ··· ···

yn1 yn2 ynn

The determinant with the columns Y1 , Y2 , . . . , Yn is called the Wronskian of

the solutions Y1 , Y2 , . . . , Yn and it is denoted W (x). Hence

y11 (x) y12 (x) · · · y1n (x)

y21 (x) y22 (x) · · · y2n (x)

W (x) = .

· · · · · · · · · · · ·

yn1 (x) yn2 (x) · · · ynn (x)

pendent on I ⊂ R if and only if W (x) 6= 0, ∀x ∈ I.

if from C1 Y1 (x) + C2 Y2 (x) + · · · + Cn Yn (x) = 0, ∀x ∈ I we obtain that

C1 = C2 = · · · = Cn = 0.

This is equivalent (by the component wise equality of the above vectors)

to the fact that the linear and homogeneous system with the indeterminates

C1 , C2 , . . . , Cn

C1 y11 (x) + C2 y12 (x) + · · · + Cn y1n (x) = 0

C y (x) + C y (x) + · · · + C y (x) = 0

1 21 2 22 n 2n

(1.5)

· · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · · ·

C1 yn1 (x) + C2 yn2 (x) + · · · + Cn ynn (x) = 0

5

has only the trivial solution C1 = C2 = · · · = Cn = 0.

This is equivalent to the fact that, for any x ∈ I, the determinant of the

system (1.5) is different from 0, i.e. W (x) 6= 0, ∀x ∈ I.

that W (x0 ) 6= 0.

The Wronskian is given by Liouville’s formula

Z x

Tr A(t)dt

W (x) = W (x0 )e x0 , (1.6)

n

X

where Tr A is the trace of the matrix A, i.e. Tr A = aii , and (1.6)

i=1

underlines the above equivalence.

Wronskian is called a fundamental system of solutions of the homogeneous

SDE (1.10 ).

only if they are linearly independent as elements in the linear space of the

continuous n-vector functions on I. This means that they form a basis of the

n-dimensional subspace of the solutions of (1.10 ), i.e. any solution Y (x) can

be written uniquely as

tal system of solutions, then the general solution of (1.10 ) is (1.7), where

C1 , C2 , . . . , Cn are arbitrary real constants.

Coefficients

Consider the system

Y 0 (x) = AY (x), (1.8)

where A is a constant n × n real matrix.

6

In this case, the general solution of the SDEs can be obtained by using

the eigenvalues, the eigenvectors and the generalized eigenvectors of A.

Let us recall the necessary notions from Linear Algebra.

The characteristic polynomial of the matrix A is det(sIn − A). The roots

λ ∈ C of the characteristic polynomial are called the eigenvalues of A.

The set of the eigenvalues of A is called the spectrum of A and it is

denoted by σ(A).

A vector v ∈ Cn is an eigenvector of A, that corresponds to the eigenvalue

λ if

Av = λv and v 6= 0. (1.9)

For an eigenvalue λ, the set formed by the null-vector and by all corre-

sponding eigenvectors is called the eigenspace of λ and it is denoted Sλ (A).

The geometric multiplicity of λ, denoted by mg (λ), is the dimension of Sλ (A)

(hence mg (λ) is the maximum number of linearly independent eigenvectors

which correspond to λ). The algebraic multiplicity of λ, ma (λ), is the multi-

plicity of λ as a root of det(sIn − A). Obviously, ma (λ) ≥ mg (λ), for every

eigenvalue λ.

If ma (λ) = mg (λ), let us denote this number by m, hence λ occupies m

places in σ(A) and there are m eigenvectors v1 , v2 , · · ·, vm that verify

vectors, i.e. B = {v1 , v2 , · · ·, vm , u1 , u2 , · · ·, un−m }, and let T be the transition

matrix having as columns the vectors of B. Due to (1.10), the matrix A e=

−1

T AT , i.e. the matrix in the new basis B, has the structure

Aλ 0

A

e= ,

0 B

where

λ 0 ··· 0

0 λ ··· 0

Aλ =

···

.

··· ··· ···

0 0 ··· λ

e in

m Jordan cells of dimension 1, J1 = [λ].

7

If, for some λ ∈ σ(A), mg (λ) < ma (λ), in order to construct a new basis

B, the mg (λ) linearly independent eigenvectors are completed to a num-

ber of ma (λ) vectors by chains of generalized eigenvectors. Such a chain

{v1 , v2 , . . . , vk } starts with an eigenvector, let us say v1 , and verifies the re-

lations

Av1 = λv1 , Av2 = λv2 + v1 , . . . , Avi = λvi + vi−1 , . . . , Avk = λvk + vk−1 .

(1.11)

The vectors v2 , . . . , vk are also called principal vectors. Then, by the above

construction, due to (1.10), this chain will provide, on the block diagonal of

the matrix A,

e a Jordan cell of dimension k:

λ 1 0 ··· 0 0

0

λ 1 ··· 0 0

J = · · · · · · · · · · · · · · · · · · .

0 0 0 ··· λ 1

0 0 0 ··· 0 λ

Now, let us determine the general solution of the linear homogeneous SDE

given by (1.8).

We are going to differentiate between two cases; whether the matrix A is

diagonalizable or not.

Case I : The matrix A is diagonalizable.

By the previous discussion, this happens if and only if mg (λ) = ma (λ),

for every λ ∈ σ(A), hence the matrix A has n linearly independent eigen-

vectors v1 , v2 , . . . , vi , . . . , vn , which correspond to the eigenvalues (including

multiplicities) λ1 , λ2 , . . . , λi , . . . , λn , i.e., by (1.9),

Avi = λi vi , vi 6= 0, ∀i = 1, n. (1.12)

det[v1 , v2 , . . . , vn ] 6= 0.

8

Let us introduce the vector function Yi (x) = vi eλi x in both members of

(1.8). We first have that

0

Yi0 (x) = vi eλi x = vi λi eλi x ,

and, using (1.12), we obtain that

AYi (x) = A vi eλi x = (Avi ) eλi x = λi vi eλi x .

Therefore, Yi0 (x) = AYi (x), hence Yi (x) = vi eλi x is a solution of the system

(1.8), ∀i = 1, n.

The Wronskian of these solutions is

W (x) = det [Y1 (x), Y2 (x), . . . , Yn (x)]

= det v1 eλ1 x , v2 eλ2 x , . . . , vn eλn x

The last equality is true since eλi x is a common factor in the ith column of

the determinant.

Due to the fact that eλi x 6= 0 and det[v1 , v2 , . . . , vn ] 6= 0, it follows that

W (x) 6= 0, so we deduce that (1.13) is a fundamental system of solutions.

Using (1.12), (1.13) and (1.7) we can summarize the method of solving a

linear homogeneous SDE.

Algorithm 1.1.7 (The diagonalizable case).

det(sIn − A) = 0,

find the eigenvalues λ1 , λ2 , . . . , λn and determine their algebraic multiplicities

ma (λi );

[Stage 2 ]: For each eigenvalue λi , solve the linear homogeneous algebraic

system

(A − λi In )v = 0

and determine the corresponding eigenvectors vi . If mg (λ) = ma (λ), for all

λ ∈ σ(A), go to [Stage 3 ]. Otherwise, go to [Stage 2 ] in Algorithm 1.1.11;

[Stage 3 ]: Write the general solution as

Y (x) = C1 v1 eλ1 x + C2 v2 eλ2 x + · · · + Cn vn eλn x . (1.14)

9

Remark 1.1.8. Since mg (λ) = ma (λ), ∀λ ∈ σ(A), to any λ correspond a

number of linearly independent eigenvectors equal to the multiplicity of λ in

the spectrum of A, hence the total number of linearly independent eigenvectors

is the number n (which is the dimension of the matrix A).

Remark 1.1.9. If one considers the basis matrix T = [v1 , v2 , . . . , vn ], where

e = T −1 AT

v1 , v2 , . . . , vn are linearly independent eigenvectors, the matrix A

is a diagonal matrix with the eigenvalues λi on the main diagonal,

λ1 0 · · · 0

e = 0 λ2 · · · 0 .

A ··· ··· ··· ···

0 0 · · · λn

Therefore, ∃λ ∈ σ(A) with ma (λ) > mg (λ) and there exists a chain (or

there exist some chains) of generalized vectors which correspond to λ.

Consider the chain {v1 , v2 , . . . , vm } with

Av1 = λv1 , v1 6= 0,

Av2 = λv2 + v1 ,

·················· ,

(1.15)

Avk = λvk + vk−1 ,

·················· ,

Avm = λvm + vm−1 .

We have the following result.

Proposition 1.1.10. The following vector functions corresponding to the

chain (1.15)

Y1 (x) = v1 eλx ,

x

Y2 (x) = v1 + v2 eλx ,

1!2

x x

Y3 (x) = v1 + v2 + v3 eλx , (1.16)

2! 1!

······························ ,

xk−1 xk−2 x

Yk (x) = v1 + v2 + · · · + vk−1 + vk eλx , k ≤ m.

(k − 1)! (k − 2)! 1!

10

are linearly independent solutions of (1.8).

a solution.

Next we introduce Yi (x) in both members of (1.8). By differentiating the

terms in (1.16, one obtains, for instance that

0

xk−1 (k − 1)xk−2 xk−2

v1 = v1 = v1 ,

(k − 1)! (k − 1)! (k − 2)!

hence

xk−2 xk−3

1

Yk0 (x) = v1 + v2 + · · · + vk−1 eλx +

(k − 2)! (k − 3)! 1!

k−1 k−2

x x x

+ v1 + v2 + · · · + vk−1 + vk λeλx .

(k − 1)! (k − 2)! 1!

xk−1

x

AYk (x) = Av1 + · · · + Avk−1 + Avk eλx

(k − 1)! 1!

k−1

x x

= λv1 + · · · + (λvk−1 + vk−2 ) + (λvk + vk−1 ) eλx ,

(k − 1)! 1!

Since v1 6= 0, it follows that the solutions Y1 (x), Y2 (x), . . . , Yi (x), . . . are

vector polynomials of degrees respectively 0, 1, . . . , i − 1, . . . multiplied by

eλx 6= 0, hence they are linearly independent solutions. The eigenvectors

which correspond to distinct eigenvalues are linearly independent and this

is true for the eigenvectors which determine different chains corresponding

to the same eigenvalue. It follows that the solutions of the form (1.16) cor-

responding to different chains or eigenvalues are linearly independent, their

number is n and they form a fundamental system of solutions.

The general solution of the SDE (1.8) can be obtained in this case by the

following algorithm, in which an eigenvector without generalized eigenvectors

will be considered as a chain of length 1.

11

Algorithm 1.1.11 (The general case).

det(sIn − A) = 0,

find the eigenvalues λ1 , λ2 , . . . , λn and determine their algebraic multiplicities

ma (λi );

[Stage 2 ]: For each λi determine chains of generalized eigenvectors, by

solving the algebraic systems:

(A − λi In )v = 0,

for chains of length 1, and

(A − λi In )v1 = 0,

(A − λi In )v2 = v1 ,

(A − λi In )v3 = v2 ,

·················· ,

(A − λi In )vm = vm−1 ,

for chains of length m > 1;

[Stage 3 ]: Write the general solution of (1.8)

Y (x) = C1 Y1 (x) + C2 Y2 (x) + · · · + Ck Yk (x) + · · · + Cn Yn (x),

where

Yk (x) = vk eλk x

for chains of length 1, and

k−1

xk−2

x x

Yk (x) = v1 + v2 + · · · + vk−1 + vk eλk x ,

(k − 1)! (k − 2)! 1!

for chains of length > 1 and C1 , C2 , . . . , Cn ∈ R.

It follows from (1.13), (1.14) and (1.16) that the solutions Y (x) of the

initial value problem Y 0 (x) = AY (x) (1.10 ), Y (x0 ) = Y0 (1.3) are vectors

whose components are linear combinations of functions of the form xj eλx ,

where λ ∈ σ(A) and j ≥ 0. More exactly, one can state the following result,

which will be useful in the study of the stability of the SDE (1.10 ) (see Section

1.3.3).

12

Theorem 1.1.12. Let λ be an eigenvalue of the matrix A.

occur only functions of the form eλx ;

ii) If ma (λ) > mg (λ), then there exist some solutions Y (x) whose compo-

nents contain functions of the form xj eλx , where j ≥ 1.

1.2.1 The fundamental matrix

Consider the initial value problem which is given by (1.10 ) and (1.3):

the initial position Y0 ∈ Rn are given.

Let us denote by Y1 (x, x0 ), Y2 (x, x0 ), . . . , Yn (x, x0 ) the solutions of the

following initial problems:

0

Y1 (x, x0 ) = A(x)Y1 (x, x0 )

Y1 (x0 , x0 ) = e1 = (1, 0, 0, . . . , 0)T

0

Y2 (x, x0 ) = A(x)Y2 (x, x0 )

Y2 (x0 , x0 ) = e2 = (0, 1, 0, . . . , 0)T

·································

0

Yn (x, x0 ) = A(x)Yn (x, x0 )

Yn (x0 , x0 ) = en = (0, 0, 0, . . . , 1)T

Definition 1.2.1. The matrix formed by the columns Y1 , Y2 , . . . , Yn is called

the fundamental matrix of the SDE (1.10 ), (or of the matrix A(x)) and is

denoted Φ(x, x0 ); hence

Theorem 1.2.2. The fundamental matrix Φ(x, x0 ) has the following prop-

erties:

d

i) Φ(x, x0 ) = A(x)Φ(x, x0 ), ∀x, x0 ∈ I;

dx

13

ii) Φ(x0 , x0 ) = In , ∀x0 ∈ I;

mental matrix satisfies the semigroup property;

Z x Z x Z t1

Φ(x, x0 ) = In + A(t1 )dt1 + A(t1 ) A(t2 )dt2 dt1 + · · · +

x0 x0 x0

Z x Z t1 Z tk−1

+ A(t1 ) A(t2 ) . . . A(tk )dtk . . . dt2 dt1 + · · · .

x0 x0 x0

(1.18)

tial matrix is defined by

A(x − x0 ) A2 (x − x0 )2 Ak (x − x0 )k

eA(x−x0 ) = In + + + ··· + + ··· .

1! 2! k!

Proof. i) The derivative of a matrix is the matrix of the derivatives of all its

entries. Therefore, the derivative can be calculated for instance, by taking

the derivatives of all its columns Yi (x, x0 ) and by using (1.10 ).

d

(Φ(x, x0 )) = [Y10 (x, x0 ), Y20 (x, x0 ), . . . , Yn0 (x, x0 )]

dx

= [A(x)Y1 (x, x0 ), A(x)Y2 (x, x0 ), . . . , A(x)Yn (x, x0 )]

= A(x)[Y1 (x, x0 ), Y2 (x, x0 ), . . . , Yn (x, x0 )]

= A(x)Φ(x, x0 ).

1

The integral of a matrix A is the matrix whose entries are the integrals of the entries

of A.

14

ii) By the definition of Φ(x, x0 ) (see Definition 1.2.1), one obtains that

1 0 ··· 0

0 1 ··· 0

= [e1 , e2 , · · ·, en ] =

··· ··· ··· ···

0 0 ··· 1

= In .

iii) Introduce Ye (x) = Φ(x, x0 )Y0 in (1.10 ) and in (1.3) and use i) and ii).

We will get that

d

Ye 0 (x) = (Φ(x, x0 )) Y0 = (A(x)Φ(x, x0 )) Y0

dx

= A(x) (Φ(x, x0 )Y0 ) = A(x)Ye (x),

Also we obtain that

C1

C2

Remark 1.2.3. If Y = C = · · · , where C1 , C2 , . . . , Cn are arbitrary

Cn

constants, then Yn (x) = Φ(x, x0 )C is the general solution of SDE (1.10 ).

Remark 1.2.4. If a matrix M (x, x0 ) ∈ Rn×n has the properties i) and ii),

then Φ(x, x0 ) = M (x, x0 ).

d

Proof. Indeed, if M (x, x0 ) = A(x)M (x, x0 ) and M (x0 , x0 ) = In , then,

dx

by using the proof of iii), the vector function Yb (x) = M (x, x0 )Y0 is a solution

of initial value problem (1.10 ), (1.3). But, by the Existence and Uniqueness

Theorem (see Theorem 1.1.1), the solution of the initial value problem is

unique, hence Φ(x, x0 )Y0 = M (x, x0 ), ∀Y0 ∈ Rn , i.e. Φ(x, x0 ) = M (x, x0 ).

15

Now we go back to the proof of Theorem 1.2.2 and we continue with the

properties iv) to vii).

iv) Consider the moments x0 , x1 and x and the corresponding values of

the solution of the initial value problem (1.10 ), (1.3), respectively Y (x0 ) = Y0 ,

Y (x1 ) and Y (x) (Figure 1.1).

Figure 1.1: The Values of the Solution of the Initial Value Problem

[x0 , x], [x0 , x1 ] and [x1 , x]:

It follows that Y (x) = Φ(x, x1 )Φ(x1 , x0 )Y0 , but again the solution is unique,

hence

Φ(x, x0 )Y0 = Φ(x, x1 )Φ(x1 , x0 )Y0 , ∀Y0 ∈ Rn .

Therefore Φ(x, x0 ) = Φ(x, x1 )Φ(x1 , x0 ).

v) A matrix D is the inverse of C ∈ Rn×n if and only if DC = In . Let us

consider C = Φ(x, x0 ) and D = Φ(x0 , x). By iv) and ii), one obtains that

vi) By using the Weierstrass criterion (see pp. 115-121 in [14]), one

can show that the series in (1.18) is uniformly convergent on any interval

[x0 , x1 ] ⊂ I, hence the series has a sum M (x, x0 ) and it can be differentiated

term by term. By using the formula

Z x 0

f (t)dt = f (x),

x0

16

one obtains that

Z x

d

(M (x, x0 )) = On + A(x) + A(x) A(t2 )dt2 + · · · +

dx x0

Z x Z t2 Z tk−1

+ A(x) A(t2 ) A(t3 ) · · · A(tk )dtk · · · dt2 + · · ·

x0 x0 x0

Z x

= A(x)[In + A(t2 )dt2 + · · · +

x0

Z x Z t2 Z tk−1

+ A(t2 ) A(t3 ) · · · A(tk )dtk · · · dt2 + · · · ]

x0 x0 x0

= A(x)M (x, x0 )

and

Z x0 Z x0 Z t1

M (x0 , x0 ) = In + A(t1 )dt1 + A(t1 ) A(t2 )dt2 dt1 + · · ·

x0 x0 x0

= In + On + On + · · · = In .

Hence M (x0 , x0 ) has the properties i) and ii) and by Remark 1.2.4, we

have that

Φ(x, x0 ) = M (x, x0 ),

which is equivalent to the fact that Φ(x, x0 ) is the sum of the series (1.18).

So the Peano-Baker formula is proved.

vii) If A is a constant matrix, the Peano-Baker formula (1.18) becomes

Z x Z x Z t1

2

Φ(x, x0 ) = In + A dt1 + A dt2 dt1 + · · · +

x0 x0 x0

Z x Z t1 Z tk−1

k (1.19)

+A ··· dtk · · · dt2 dt1 + · · · .

x x x0

| 0 0 {z }

k integrals

In the following we are going to evaluate the above integrals:

Z x x x − x0

dt1 = t1 = ,

x0 x0 1!

Z x Z t1 Z x Z t1 Z x

(t1 − x0 )2 x

t1 − x0

dt2 dt1 = dt2 dt1 = dt1 =

1! 2 · 1! x0

x0 x0 x0 x0 x0

(x − x0 )2 (x0 − x0 )2 (x − x0 )2

= − = .

2 · 1! 2 · 1! 2!

17

We will finish the proof of vii) by induction. Let us assume that such a

(x − x0 )k−1

multiple integral with k − 1 integrals has the value . Then we get

(k − 1)!

that

Z x Z t1 Z tk−1 Z x Z t1 Z tk−1

... dtk . . . dt2 dt1 = ... dtk . . . dt2 dt1

x0 x0 x0 x0 x0 x0

Z x

(t1 − x0 )k−1

= dt1

x0 (k − 1)!

(t1 − x0 )k x (x − x0 )k

= = ,

k(k − 1)! x0 k!

hence this evaluation is true for k ≥ 1. By (1.19), we obtain that the funda-

mental matrix is

A(x − x0 ) A2 (x − x0 )2 Ak (x − x0 )k

Φ(x, x0 ) = In + + + ··· + + ···

1! 2! k!

= eA(x−x0 ) .

x x2 xn

with the exponential function ex = 1 + + + ··· + + ···.

1! 2! n!

Consider the linear non-homogeneous SDE given by (1.1) or by (1.2) and

the corresponding homogeneous SDE given by (1.10 ). Bare in mind that (1.1)

and (1.2) are equivalent forms of the same SDE.

Proposition 1.2.5. The general solution of the SDE (1.1) has the form

Y = Yh + Yp , (1.20)

where Yh is the general solution of the homogeneous SDE (1.10 ) and Yp is a

particular solution of the non-homogeneous SDE (1.1).

Proof. Firstly, let us show that (1.20) is a solution of SDE (1.1). We have

that

Y 0 (x) = Yh0 (x) + Yp0 (x) = A(x)Yh (x) + (A(x)Yp (x) + B(x))

= A(x) (Yh (x) + Yp (x)) + B(x) = A(x)Y (x) + B(x),

18

hence Y (x) verifies the SDE (1.1).

Now, let Y be an arbitrary solution of (1.1) and let us consider the vector

function Y − Yp . Then

= A(x) (Y (x) − Yp (x)) .

constants Ci in the expression of the general solution Yh of (1.10 ). Now we

can conclude that Y = Yh + Yp .

[Stage 1 ]: Determine a fundamental system of solutions for the SDE (1.10 )

and let us denote it by Y1 , Y2 , . . . , Yn . It follows that

6 0, ∀x ∈ I.

Then, the general solution of (1.10 ) is

Yh = C 1 Y1 + C 2 Y2 + · · · + C n Yn ,

Next we look for a solution of the non-homogeneous SDE (1.1) of the

form

where C1 (x), C2 (x), . . . , Cn (x) are functions of class C 1 (I). This represents

the so called variation of parameters.

Let us introduce the vector function (1.21) in the system (1.1). We will

use the fact that Yi0 (x) = A(x)Yi (x), ∀i = 1, n. We have that

= C1 AY1 + C2 AY2 + · · · + Cn AYn + C10 Y1 + C20 Y2 + · · · + Cn0 Yn

19

On the other hand,

= C1 AY1 + C2 AY2 + · · · + Cn AYn + B

C1

C2

Y1 Y2 · · · Yn · · · · = B,

(1.22)

Cn

where the matrix Y1 Y2 · · · Yn is nonsingular (since W (x) 6= 0);

[Stage 2 ]: Solve the system (1.22). One gets that

0

C1

C20

= Y1 Y2 · · · Yn −1 · B;

··· (1.23)

Cn0

C1 (x) Z

C2 (x) −1

···

= Y 1 (x) Y 2 (x) · · · Y n (x) · B(x)dx;

Cn (x)

of the SDE (1.1);

[Stage 5 ]: Write the general solution of SDE (1.1): Y = Yh + Yp .

[Stage 1 ]: Determine the fundamental matrix of the SDE (1.10 ),

Φ(x, x0 ) = Y1 (x, x0 ) Y2 (x, x0 ) · · · Yn (x, x0 ) ,

20

and write the general solution of SDE (1.10 ),

Yh (x) = Φ(x, x0 )C,

C1

C2

where C = · · · is an arbitrary constant n-vector (see Remark 1.2.3).

Cn

We apply the variation of parameters method and we look for a solution

of (1.1) of the form

Yp (x) = Φ(x, x0 )C(x), (1.24)

T

where C(x) = C1 (x) C2 (x) · · · C2 (x) is a C 1 (I) vector function.

We introduce Yp (x) (1.24) in the system (1.1) and we use property i) from

Theorem 1.2.2. Then

0 d

Yp (x) = Φ(x, x0 ) C(x) + Φ(x, x0 )C 0 (x)

dx

= A(x)Φ(x, x0 )C(x) + Φ(x, x0 )C 0 (x),

and

A(x)Yp (x) + B(x) = A(x)Φ(x, x0 )C(x) + B(x).

From Yp0 (x) = A(x)Yp (x) + B(x), one obtains the algebraic system

Φ(x, x0 )C 0 (x) = B(x), (1.25)

where, by property v), Theorem 1.2.2, the fundamental matrix Φ(x, x0 ) is

nonsingular and Φ(x, x0 )−1 = Φ(x0 , x);

[Stage 2 ]: Solve the system (1.25) by multiplying it with Φ(x, x0 )−1 =

Φ(x0 , x). Therefore

C 0 (x) = Φ(x0 , x)B(x); (1.26)

[Stage 3 ]: Integrate (1.26) on an interval [x0 , x] ⊂ I. So

Z x

C(x) = Φ(x0 , t)B(t)dt;

x0

[Stage 4 ]: Replace C(x) in (1.24) and use property iv) in Theorem 1.2.2

(the semigroup property). One obtains the particular solution of system (1.1)

as being

Z x Z x

Yp (x) = Φ(x, x0 ) Φ(x0 , t)B(t)dt = Φ(x, t)B(t)dt;

x0 x0

21

[Stage 5 ]: Write the general solution of (1.1), Y = Yh + Yp , hence

Z x

Y (x) = Φ(x, x0 )C + Φ(x, t)B(t)dt. (1.27)

x0

Now, let us consider the initial value problem (1.1) with the initial con-

dition (1.3). By replacing x = x0 in (1.27), one gets

Z x0

Y0 = Y (x0 ) = Φ(x0 , x0 )C + Φ(x, t)B(t)dt = In C = C,

x0

gives the solution of the initial value problem

Z x

Y (x) = Φ(x, x0 )Y0 + Φ(x, t)B(t)dt. (1.28)

x0

becomes, for x0 = 0,

Z x

Ax

Y (x) = e Y0 + eA(x−t) B(t)dt. (1.29)

0

If the elements of the vector B(x) are quasipolynomials, i.e. sums of

functions of the form

bi (x) = Pi1 (x)eαx cos βx + Pi2 (x)eαx sin βx, ∀i = 1, n,

where Pi1 (x), Pi2 (x) are polynomials, we search for a solution Yp of the non-

homogeneous system (1.1) which has elements sums of quasipolynomials

yi (x) = Qi1 (x)eαx cos βx + Qi2 (x)eαx sin βx, ∀i = 1, n,

where Qi1 (x) and Qi2 (x) have the following degrees:

deg Qij = max {deg Pij },

1≤i≤n,1≤j≤2

deg Qij = max {deg Pij } + k,

1≤i≤n,1≤j≤2

dimension k.

22

1.2.3 Linear Control Systems

A linear continuous-time control system Σ has the following state space

representation:

ẋ(t) = A(t)x(t) + B(t)u(t) the state equation (1.30)

Σ

y(t) = C(t)x(t) + D(t)u(t) the output equation (1.31)

Here A(t), B(t), C(t), D(t) are respectively n × n, n × m, p × n, p × m

continuous real matrices, x(t) ∈ Rn , u(t) ∈ Rm and y(t) ∈ Rp are respectively

the state, input (or control ) and output of the system Σ and t ∈ R is the

time.

Consider the initial condition x(t0 ) = x0 , for an initial moment t0 and an

initial state x0 . Let Φ(t, t0 ) be the fundamental matrix of the matrix A(t).

The variation of parameters formula (1.28) gives (with Y (x), Y0 , B(x)

replaced by respectively x(t), x0 , B(t)u(t)) the formula of the state of the

system Σ at the moment t

Z t

x(t) = Φ(t, t0 )x0 + Φ(t, s)B(s)u(s)ds. (1.32)

t0

By replacing the state x(t) given by (1.32) in the output equation (1.31),

one obtains the input-output map (or the general response) of the system Σ

Z t

y(t) = C(t)Φ(t, t0 )x0 + C(t)Φ(t, s)B(s)u(s)ds + D(t)u(t). (1.33)

t0

constant matrices. In this case, Φ(t, t0 ) = eA(t−t0 ) and (1.32) and (1.33)

become, for t0 = 0,

Z t

At

x(t) = e x0 + eA(t−s) Bu(s)ds, (1.34)

0

Z t

y(t) = CeAt x0 + eA(t−s) Bu(s)ds + Du(t). (1.35)

0

1.3 Stability

1.3.1 Asymptotic stability

Consider the initial value problem

Σ : Y 0 (x) = AY (x), Y (0) = Y0 , (1.36)

23

where A is a constant n × n matrix.

By Theorem 1.2.2 iii) and vii), the solution of the initial value problem

(1.36) is

Y (x) = eAx Y0 . (1.37)

hence the vector Y0 = 0 is an equilibrium position.

Definition 1.3.1. The system is said to be stable (or the zero solution is

stable) if for any > 0 there exists δ > 0 such that, for any Y0 ∈ Rn with

kY0 k < δ, the corresponding solution verifies kY (x)k < , for any x ≥ x0 .

If the system is not stable, it is called unstable.

The system is said to be asymptotically stable if it is stable and for any

Y0 ∈ Rn , lim Y (t) = 0.

t→∞

24

The next theorem establishes the conditions for the possible situations

concerning the stability of the linear homogeneous SDEs with constant coe-

fficients (the LTI systems).

of the matrix A have negative real parts (σ(A) ⊂ C− , where we have

put C− = {z ∈ C : Re z < 0});

at least an eigenvalue with Re λ = 0 and ma (λ) = mg (λ) holds for any

such eigenvalue λ, then Σ is stable, but not asymptotically stable;

Σ is unstable.

Proof. Let

J1

..

.

Â = Ji

...

Js

be the Jordan canonical form of the matrix A. This means that there exists a

nonsingular (transition) matrix T such that A = T ÂT −1 , Â has the structure

above and Ji are Jordan cells,

λi 1

..

. 1

Ji = . .

,

λi .

..

. 1

λi

where Ji ∈ Mmi , with mi > 1 if ma (λi ) > mg (λi ) and Ji = [λi ], if ma (λi ) =

mg (λi ).

25

In this case, the solution is Y (t) = eAx Y0 =T eAx T −1 Y0 and

J1 x

e

..

.

Ax Ji x

e = e ,

b

. ..

Js x

e

with

x2 xmi −1

x

1 1! 2! (mi −1)!

x .. xmi −2

1 1!

. (mi −2)!

eJi x = eλi x .. x2

,

1 . 2!

x

1!

1

if ma (λi ) > mg (λi ) and eJi x = eλi x , if ma (λi ) = mg (λi ).

Then, using the equality |ez | = eRe (z) , one obtains:

a) The system Σ is asymptotically stable if and only if

lim Y (x) = 0 ∈ Rn

x→∞

which is equivalent to

lim xk eλi x = 0, ∀i = 1, s and ∀k = 0, mi − 1.

x→∞

lim |eλi x | = 0 ⇔ lim eRe (λi )x = 0 ⇔ Re (λi ) < 0, ∀λi ∈ σ(A).

x→∞ x→∞

b) If there exists λi ∈ σ(A) with Re (λi ) > 0, then it follows that

lim |xk eλi x | = lim xk eRe (λi )x = ∞,

x→∞ x→∞

hence there exist solutions Y (x) with components which verify lim yi (x) =

x→∞

∞, therefore the system is unstable.

c) For the eigenvalues λ of the matrix A with negative real parts, we get

that

lim |xk eλx | = lim xk eRe (λ)x = 0,

x→∞ x→∞

26

hence the functions xk eλx are bounded, and for the eigenvalues which have

null real part, λ = iβ, and ma (λ) = mg (λ), the corresponding terms in the

solutions Y (x) are of the form eiβx , hence |eiβx | = 1. Therefore, the entries of

the exponential matrix eAx remain bounded, so keAx k ≤ M , for some M > 0

and the solution verifies kY (x)k ≤ M kY0 k. For an arbitrary chosen , take

δ = M . Then, for any Y0 with kY0 k < δ, we have that

kY (x)k ≤ M · = ,

M

hence kY0 k < , i.e. the system Σ is stable. But the system Σ is not

asymptotically stable since

lim |eiβx | = 1 6= 0.

x→∞

will contain functions of the form xk eiβx and since

x→∞ x→∞

matrix .

Definition 1.3.3. The polynomial p(z) = an z n +an−1 z n−1 +···+a0 is called a

Hurwitz polynomial if all the principal minors of the associate Hurwitz matrix

an−1 an 0 0 0 0 ··· 0

an−3 an−2 an−1 an

0 0 ··· 0

Hn = a n−5 a n−4 a n−3 a n−2 a n−1 a n · · · 0

··· ··· ··· ··· ··· ··· ··· ···

0 0 0 0 0 0 · · · a0

are positive, i.e.

a an

> 0, ∆2 = n−1

∆1 = an−1 > 0, . . . , ∆n = det(Hn ) > 0. (1.38)

an−3 an−2

27

Let us denote by N − , N + , N 0 the number of roots λ of p(z) respectively

with Re λ < 0, Re λ > 0 and Re λ = 0.

Hurwitz proved that if ∆i 6= 0, ∀i = 1, n, then N 0 = 0 and N + is equal

to the number of the sign changes (denoted by Nsc ) in the following finite

sequence:

∆2 ∆n

1, ∆1 , ,..., .

∆1 ∆n−1

Using this, one obtains the following result:

Theorem 1.3.4 (Routh-Hurwitz Criterion). The system Σ is asymptotically

stable if and only if the characteristic polynomial of the matrix A is a Hurwitz

polynomial.

Proof. Let p(z) = an z n + an−1 z n−1 + · · · + a0 be the characteristic polynomial

of the matrix A, where an > 0. If ∆1 > 0, ∆2 > 0, . . ., ∆n > 0, then N 0 = 0

and since 1 > 0, we have that Nsc = 0. Therefore, N + = 0 and all the

eigenvalues of the matrix A have negative real parts. According to Theorem

1.3.2, the system Σ is asymptotically stable.

Conversely, if the system Σ is asymptotically stable, then N + = 0, hence

∆2 ∆3 ∆n

1 > 0, ∆1 > 0, > 0, > 0, . . ., > 0, thus ∆j > 0, for every

∆1 ∆2 ∆n−1

j ∈ {1, 2, . . . , n}.

Remark 1.3.5. If there exists a sign change in the sequence of the coeffi-

cients of p(z): an , an−1 , . . . , a1 , a0 (i.e. the entries on the main diagonal of

the matrix Hn ), then p(z) has a real positive root, hence it is not a Hurwitz

polynomial.

There is a more general method for the evaluation of the stability of a

linear homogeneous SDEs, without the study of the characteristic polynomial

of the matrix A.

An n × n complex matrix P = [pij ] is said to be Hermitian if P = P ∗ ,

T

where P ∗ = P = [pji ]. If P is a real matrix, this condition becomes P = P T ,

i.e. P is symmetric.

An n × n complex matrix P = [pij ] is said to be positive definite and

one writes P > 0, if it is Hermitian and ν ∗ P ν > 0, ∀ν ∈ Cn , ν 6= 0. If

28

the matrix P is a real matrix, then this condition is equivalent to P = P T

and ν T P ν > 0, ∀ν ∈ Rn , ν 6= 0. For a Hermitian/symmetric matrix P , the

following statements are equivalent:

i) P is positive definite;

ii) all eigenvalues of P are positive real numbers;

iii) all principal minors of P are positive.

Theorem 1.3.6. The system Σ is asymptotically stable if and only if the

algebraic equation (called the Lyapunov equation)

AT P + P A = −Q (1.39)

has a real, symmetrical, positive definite matrix P , for a real, symmetric,

positive definite matrix Q.

Proof. Necessity. Assume that the system is asymptotically stable. For

any Q > 0, let us consider the matrix

Z ∞

T

P = eA x QeAx dx. (1.40)

0

AT x

The entries of the matrix e QeAx are linear combinations of functions

of the form xk eλx , where k ≥ 0, λ = λi + λj , λi , λj ∈ σ(A) (see the proof

of Theorem 1.1.12). Since A is a stable matrix, we have that Re (λi ) < 0,

∀λi ∈ σ(A). Then the improper integral (1.40) is convergent due to the fact

that its entries are linear combinations of convergent integrals of the form

Z ∞

1 k!

xk eλx dx = k

Γ(k + 1) = .

0 (−λ) (−λ)k

T

Moreover, lim eA x QeAx = 0n , since lim xk eλx = 0. It follows that

x→∞ x→∞

Z ∞ Z ∞

T T AT x Ax T

A P + PA = A e Qe dx + eA x QeAx Adx

Z0 ∞ 0

d AT x

Ax AT x d Ax

= e Q e + e Q (e ) dx

0 dx dx

Z ∞

d T

= eA x QeAx dx

0 dx

T T

= eA x QeAx x→∞ − eA x QeAx x=0

= −Q,

29

since eA0 = In .

Obviously P T = P , i.e. P is symmetric. For any Y ∈ Rn , Y = 6 0,

Ax Ax

it follows Zthat Z = e Y 6= 0 (since the matrix e is nonsingular), then

∞

Y TPY = Z T QZdx 6= 0, therefore P > 0.

0

Sufficiency. Let us assume that there exists a matrix P > 0 such that

AT P + P A = −Q for some matrix Q > 0.

Let λ be an eigenvalue of A and consider v to be an eigenvector corre-

sponding to the eigenvalue λ, i.e. Av = λv and v 6= 0. Then Av = λv,

hence

v T AT = λv T ,

i.e. v ∗ A = λv ∗ since the matrix A is real.

We obtain that

which implies that 2Re (λ) = λ + λ < 0 (since P > 0). In conclusion we have

that Re (λ) < 0, hence the system Σ is asymptotically stable.

there exists a quadratic form V (Y ) (called a Lyapunov function), such that:

i) V (Y ) is positive definite;

the Lyapunov equation (1.39). Then V (Y ) = Y T P Y is a positive definite

quadratic form. For any solution Y (x) 6= 0 of the system Σ, one obtains

d T

V̇ (Y (x)) = (Y (x)P Y (x))

dt

= Ẏ T (x)P Y (x) + Y T (x)P Ẏ (x)

= −Y T (x)QY (x) < 0,

30

Remark 1.3.8. If the matrix Q in Theorem 1.3.6 is only positive semi-

definite, i.e. v T Qv ≥ 0, ∀v ∈ Rn , then V̇ (Y (x)) ≤ 0 in Corollary 1.3.7, so

the system (1.36) is only stable.

equation of the form

LPe = −Q,

e (1.41)

where Pe is the n2 -dimensional column vector obtained from the columns of the

matrix P , Qe is obtained in a similar way from Q and L is a linear operator,

2 2

L : Rn → Rn of the form L = AT ⊗ I + I ⊗ AT (here A ⊗ B := [aij B]1≤i,j≤n

is the Kronecker product of the matrices A and B).

One can show that the eigenvalues of the matrix L are µij = λi + λj ,

where λi , λj ∈ σ(A), i, j = 1, n, hence µi,j 6= 0 since Re (λi ) < 0, for any

λi ∈ σ(A), and L is nonsingular. Therefore, 1.41 has a unique solution for

all Q > 0.

Lyapunov’s First Method

Consider the time invariant system Y 0 = f (Y ), where f ∈ C 2 is an

n-dimensional vector function and f has the equilibrium position Y , i.e.

f (Y ) = 0.

Using the substitution Z(x) = Y (x) − Y and denoting F (Z) := f (Z + Y ),

one obtains Z 0 = Y 0 = f (Y ) = f (Z + Y ) = F (Z) and F (0) = f (Y ) = 0,

hence the problem of the stability of the equilibrium position Y of the system

Y 0 = f (Y ) is equivalent to the problem of the stability of the equilibrium

position 0 of the system Z 0 = F (Z). Therefore, Definition 1.3.1 concern-

ing stability, instability and asymptotic stability of linear systems can be

extended to nonlinear systems of the form

Y 0 = f (Y ), f (0) = 0. (1.42)

Definition 1.3.10. The system (1.42) is said to be stable (or the zero so-

lution is stable) if for any > 0 there exists δ > 0 such that, for any Y0 ∈ Rn

with kY0 k < δ, the corresponding solution verifies kY (x)k < , for any x ≥ x0 .

If the system is not stable, it is called unstable.

31

The system (1.42) is called asymptotically stable in a neighborhood N of

the origin if it is stable and for any Y0 ∈ N , the corresponding solution Y (x)

verifies lim Y (x) = 0.

x→∞

If N is a bounded set, the asymptotic stability is local and if N =Rn it is

global .

There exist a connection between the stability of the system (1.42) and

the stability of its linearized system with respect to the equilibrium position.

One applies Taylor’s formula in a neighborhood of the origin. Let us de-

note by f 0 (Y ) the Jacobian matrix of the vector function f = [f1 , f2 , . . . , fn ]T ,

where fi = fi (Y1 , Y2 . . . , Yn ). So,

∂f1 ∂f1 ∂f1

∂Y1 ∂Y2 · · · ∂Yn

∂f ∂f2 ∂f2

2

···

f 0 (Y ) = ∂Y1 ∂Y2 ∂Y .

· · · · · · · · · · · ·n

∂fn ∂fn ∂fn

···

∂Y1 ∂Y2 ∂Yn

One says that a real function h is of order o(x) and one writes h(x) = o(x)

h(x)

if lim = 0. Then, the Taylor formula of f near 0 can be written as

x→0 x

hence f (Y ) = f 0 (0)Y + g(Y ) and the linearization of (1.42) is the system

Y 0 (x) = AY (x) + g(Y (x)), (1.43)

where A = f 0 (0) and g(kY k) = o(kY k).

One can establish the following method to check the asymptotic stability

of the nonlinear system (1.42).

Theorem 1.3.11. The following statements are equivalent:

i) The system (1.42) is asymptotically stable in a neighborhood of the

origin;

ii) The system (1.43) is asymptotically stable in a neighborhood of the

origin;

iii) The matrix A is stable.

32

Lyapunov’s Second Method

The problem of checking the stability of the system (1.44) can be reduced

to the problem of the existence and of finding of some functions with special

properties, called Lyapunov functions, without solving the system.

Let O be an open set, 0 ∈ O ⊂ Rn . Assume that f is continuous on O.

function for the system (1.44) if it has the following properties:

for any x ∈ O\{0};

n n

X ∂V X ∂V

V̇ (x(t)) = (x(t))x˙k (t) = (x(t))fk (x(t)) = grad V · f (x(t)).

k=1

∂xk k=1

∂xk

the system (1.44), then the system is stable.

function for the system (1.44) and V̇ (x(t)) ≡ grad V · f (x) < 0 on O\{0},

then the system is asymptotically stable.

there exists V , a positive definite functional on O

e with V̇ (x(t)) ≡ grad V ·

f (x) > 0 on O\{0},

e then the system (1.44) is unstable.

33

1.4 Exercises

E 1. Determine the general solution of the following SDEs, Y 0 = AY , (the

matrix A is diagonalizable), if

−3 1 1 2 1 1 3 1 0

a) A = 1 −3 1 ; b) A = 2 3 2 ; c) A = 0 3 1 .

1 1 −1 3 3 4 0 −1 3

Solution. a) [Stage 1 ]: Determine the eigenvalues of the matrix A.

−3 − λ 1 1

det(A − λI3 ) = 0 ⇔ 1 −3 − λ 1 = 0.

1 1 −1 − λ

One can expand this determinant using the triangle rule, or the Sarrus

rule or the ’zero’ rule. It is advisable to use the last one.

By subtraction of column 2 from column 1, one obtains

−4 − λ 1 1

4 + λ −3 − λ 1 = 0,

0 1 −1 − λ

−1 1 1

(4 + λ) 1 −3 − λ 1 = 0.

0 1 −1 − λ

−1 1 1

(4 + λ) 0 −2 − λ 2 = 0.

0 1 −1 − λ

So we have that

det(A − λI3 ) = 0 ⇔ −(4 + λ) (2 + λ)(1 + λ) − 2 = 0

⇔ (4 + λ)(λ2 + 3λ) = 0.

λ3 = −3.

34

[Stage 2 ]: Determine the corresponding eigenvectors for every eigenvalue

λ.

1 1 1 a 0

1. (A − λ1 I3 )v = 0 ⇔ 1 1 1 b = 0 . This is equivalent to

1 1 3 c 0

the system (

a+b+c=0

,

a + b + 3c = 0

−1

hence c = 0, a = −b and, for b = 1, 1 is an eigenvector corresponding

0

to λ1 = −4.

−3 1 1 a 0

2. (A−λ2 I3 )v = 0 ⇔ 1 −3 1 b = 0 . This is equivalent

1 1 −1 c 0

to the system

−3a + b + c = 0

a − 3b + c = 0 ,

a+b−c=0

1

hence c = 2b, a = b and, for b = 1, 1 is an eigenvector corresponding to

2

λ2 = 0.

0 1 1 a 0

3. (A − λ3 I3 )v = 0 ⇔ 1 0 1 b = 0 . Again we obtain a

1 1 2 c 0

system and in this case we have

b + c = 0

a+c=0 ,

a + b + 2c = 0

−1

hence b = −c, a = −c and, for c = 1, n − 1 is an eigenvector corre-

1

sponding to λ3 = −3.

35

[Stage 3 ]: Determine a fundamental system of solutions for the SDEs.

−1 1 −1

Y1 = e−4x 1 , Y2 = 1 , Y3 = e−3x −1

0 2 1

[Stage 4 ]: Write the general solution of the SDEs.

Y = C1 Y1 + C2 Y2 + C3 Y3

−1 1 −1

= C1 e−4x 1 + C2 1 + C3 e−3x −1 ,

0 2 1

b) [Stage 1 ]: Determine the eigenvalues of the matrix A.

2−λ 1 1

det(A − λI3 ) = 0 ⇔ 2 3−λ 2 = 0.

3 3 4−λ

Again we can expand this determinant using the triangle rule, or the

Sarrus rule or the ’zero’ rule. It is advisable to use the last one.

By multiplying by −1 column 2 and adding it to column 2, one obtains

2−λ 1 0

2

3 − λ −1 + λ = 0,

3 3 1−λ

2−λ 1 0

(1 − λ) 2

3 − λ −1 = 0.

3 3 1

2−λ 1 0

(1 − λ) 2 3 − λ −1 = 0.

5 6−λ 0

36

So we have that

det(A − λI3 ) = 0 ⇔ (1 − λ) (2 − λ)(6 − λ) − 5 = 0

⇔ (1 − λ)(λ2 − 8λ + 7) = 0.

but the algebraic multiplicitiesmultiplicity!algebraic are ma (λ1 ) = 2 and

ma (λ2 ) = 1.

[Stage 2 ]: Determine the corresponding eigenvectors for every eigenvalue

λ.

1 1 1 a 0

1. (A − λ1 I3 )v = 0 ⇔ 2 2 2

b = 0 . This is equivalent to

3 3 3 c 0

a + b + c = 0,

which is a system

with

three unknowns

and only one equation, hence a =

a −b − c −1 −1

−b − c. Since b =

b =b 1 +c

0 , it follows that the

c c 0 1

−1 −1

geometric multiplicity of λ1 is 2 and 1 , 0 are linearly indepen-

0 1

dent eigenvectors corresponding to λ1 = 1 (for b = 1, c = 0 and b = 0, c = 1

respectively).

−5 1 1 a 0

2. (A−λ2 I3 )v = 0 ⇔ 2 −4 2 b = 0 . This is equivalent

3 3 −3 c 0

to the system

−5a + b + c = 0

2a − 4b + 2c = 0 ,

3a + 3b − 3c = 0

1

hence c = 2a, b = 2a and, for a = 1, 2 is an eigenvector corresponding

3

to λ2 = 7.

37

[Stage 3 ]: Determine a fundamental system of solutions for the SDEs.

−1 −1 1

x x 7x

Y1 = e 1 , Y2 = e 0 , Y3 = e 2

0 1 3

[Stage 4 ]: Write the general solution of the SDEs.

Y = C 1 Y1 + C 2 Y2 + C 3 Y3

−1 −1 1

= C1 ex 1 + C2 ex 0 + C3 e7x 2 ,

0 1 3

c) [Stage 1 ]: Determine the eigenvalues of the matrix A.

We obtain three distinct eigenvalues, but one is real λ1 = 3 and the other

two are conjugated complex roots: λ2 = 3+i and λ3 = 3−i. Thus ma (λ) = 1,

for every eigenvalue λ.

[Stage 2 ]: Determine the corresponding eigenvectors for every eigenvalue

λ.

0 1 0 a 0

1. (A − λ1 I3 )v = 0 ⇔ 0 0 1

b = 0 . This is equivalent

0 −1 0 c 0

to the system (

b=0

,

c=0

1

hence a ∈ R and b = c = 0. Thus 0 is an eigenvector corresponding to

0

the real eigenvalue λ1 = 3 (for a = 1).

2. In case of the complex eigenvalues, since there are conjugated, it is not

necessary to use both.

38

−i 1 0 a + bi 0

(A − λ2 I3 )v = 0 ⇔ 0 −i 1 c + di = 0 , where a, b, c,

0 −1 −i e + fi 0

d, e, f are arbitrary real constants. This is equivalent to the system

b+c=0

−ai + b + c + di = 0

−a + d = 0

−ci + d + e + f i = 0 ⇔ ,

d + e = 0

−c − di − ei + f = 0

−c + f = 0

a + bi

so −b + ai , where a, b ∈ R is the complex eigenspace corresponding to

−a − bi

the complex eigenvalue λ2 .

[Stage 3 and Stage 4 ]: Determine a fundamental system of solutions for

the SDEs and write the general solution.

1

3x

First of all we have that Y1 (x) = C1 e 0 , where C1 ∈ R is a solution

0

for the SDEs.

If one considers2

a + bi a + bi

Y (x) = e(3+i)x −b + ai = e3x (cos x + i sin x) −b + ai

−a − bi −a − bi

a cos x − b sin x + i(b cos x + a sin x)

= e3x −b cos x − a sin x + i(a cos x − b sin x) ,

−a cos x + b sin x + i(−b cos x − a sin x)

both the real and the imaginary part of Y (x) are solutions for the SDEs.

The general solution, if one considers the real part of Y (x), is

C1 + a cos x − b sin x

Y (x) = Y1 (x) + Re Y (x) = e3x −b cos x − a sin x ,

−a cos x + b sin x

where C1 , a, b ∈ R.

2

The complex exponential will be studied in Chapter 2.

39

W 1. Determine the general solution of the following SDEs, Y 0 = AY , (the

matrix A is diagonalizable), if

4 −2 2 1 0 3

a) A = −5 7 −5 ; b) A = 2 1 2 ;

−6 6 −4 3 0 1

7 4 −1 1 1 1

c) A = 4 7 −1 ; d) A = 1 1 1 .

−4 −4 4 1 1 1

situations (the matrix A is not diagonalizable):

2 1 2 1 −3 3

a) A = −1 0 −2 ; b) A = −2 −6 13 .

1 1 2 −1 −4 8

Solution. a) [Stage 1 ]: Determine the eigenvalues of the matrix A.

2−λ 1 2

det(A − λI3 ) = 0 ⇔ −1 −λ −2 = 0 ⇔ (1 − λ)2 (2 − λ) = 0,

1 1 2−λ

2 and ma (λ2 ) = 1.

[Stage 2 ]: Determine the corresponding eigenvectors and principals vec-

tors for every eigenvalue λ.

1 1 2 a 0

1. (A − λ1 I3 )v = 0 ⇔ −1 −1 −2

b = 0 . This is equiva-

1 1 1 c 0

lent to the system (

a + b + 2c = 0

,

a+b+c=0

−1

hence c = 0, a = −b and, for b = 1, v1 1 is an eigenvector correspond-

0

ing to λ1 = 1. Since mg (λ1 ) = 1, it follows that one needs to obtain one prin-

cipal vector vp1 . This is due to the fact that ma (λ1 )−mg (λ1 ) = 2−1 = 1. So,

40

1 1 2 a −1

(A−λ1 I3 )vp1 = v1 ⇔ −1 −1 −2

b = 1 . This is equivalent

1 1 1 c 0

to the system (

a + b + 2c = −1

,

a+b+c=0

a 1−b −1 1

hence c = −1 and a = 1−b. Since b =

b = b 1 + 0 ,

c −1 0 −1

1

it follows that a principal vector needed is vp1 = 0 (for b = 0).

−1

0 1 2 a 0

2. (A−λ2 I3 )v = 0 ⇔ −1 −2 −2 b = 0 . This is equivalent

1 1 0 c 0

to the system

b + 2c = 0

−a − 2b − 2c = 0 ,

a+b=0

2

hence b = −2c, a = 2c and, for c = 1, v2 = −2 is an eigenvector corre-

1

sponding to λ2 = 0. Since ma (λ2 ) = mg (λ2 ) = 1, there are no corresponding

principal vectors for λ2 = 2.

[Stage 3 ]: Determine a fundamental system of solutions for the SDEs.

−1 −1 1 2

x

Y1 = ex 1 , Y2 = ex 1 + 0 , Y3 = e2x −2

1!

0 0 −1 1

is a fundamental system of solutions by Proposition 1.1.10.

[Stage 4 ]: Write the general solution of the SDEs.

Y = C 1 Y1 + C 2 Y2 + C 3 Y3

−1 −x + 1 2

= C1 ex 1 + C2 ex x + C3 e2x −2 ,

0 −1 1

41

where C1 , C2 , C3 are arbitrary real constants.

b) [Stage 1 ]: Determine the eigenvalues of the matrix A.

1−λ −3 3

det(A − λI3 ) = 0 ⇔ −2 −6 − λ 13 = 0 ⇔ (λ − 1)3 = 0,

−1 −4 8−λ

[Stage 2 ]: Determine the corresponding eigenvectors and principal vectors

for every eigenvalue λ.

0 −3 3 a 0

(A − λI3 )v = 0 ⇔ −2 −7 13 b = 0 . This is equivalent

−1 −4 7 c 0

to the system

−3b + 3c = 0

−2a − 7b + 13c = 0 ,

−a − 4b + 7c = 0

3

hence b = c and a = 3c. Putting c = 1, it follows that v1 = 1 is an

1

eigenvector corresponding to λ = 1. Since ma (λ) = 3 and = mg (λ) = 1, one

needs to obtain two principal vectors, vp1 and vp2 .

First we have that

0 −3 3 a 3

(A−λI3 )vp1 = v1 ⇔ −2 −7 13

b = 1 . This is equivalent

−1 −4 7 c 1

to the system

−3b + 3c = 3

−2a − 7b + 13c = 1 ,

−a − 4b + 7c = 1

a 3b + 6 3 6

hence c = 1+b and a = 3b+6. Since b = b = b 1 + 0 ,

c b + 1 1 1

6

it follows that a first principal vector needed is vp1 = 0 (for c = 0).

1

42

For finding the secondprincipal vector,

one solves

0 −3 3 a 6

(A − λI3 )vp2 = vp1 ⇔ −2 −7 13

b = 0 . This is equivalent

−1 −4 7 c 1

to the system

−3b + 3c = 6

−2a − 7b + 13c = 0 ,

−a − 4b + 7c = 1

a 3b + 13 3

hence c = 2 + b and a = 3b + 13. Since b = b = b 1 +

c b+2 1

13 13

0 , it follows that the second principal vector can be vp2 = 0 .

2 2

[Stage 3 ]: Determine a fundamental system of solutions for the SDEs.

3 3 6

x xx

Y1 = e 1 , Y2 = e

1 + 0 ,

1!

1 1 1

3

2 6 13

x x

Y3 = ex 1 + 0 + 0 ,

2! 1!

1 1 2

is a fundamental system of solutions by Proposition 1.1.10.

[Stage 4 ]: Write the general solution of the SDEs.

Y = C 1 Y1 + C 2 Y2 + C 3 Y3

3x2

2 + 6x + 13

3 3x + 6

x2

= C1 ex 1 + C2 ex x + C3 e x ,

1 x+1 x2 2

+x+2

2

43

W 2. Determine the general solution of the following SDEs, Y 0 = AY , in

the following situations (the matrix A is not diagonalizable):

0 1 −1 2 −1 2

a) A = 2 1 1 ; b) A = 5 −3 3 ;

0 −1 1 −1 0 −2

4 −1 1 4 1 1

c) A = 0 2 2 ; d) A = 0 2 2 .

0 −2 6 0 1 3

2 1 1

1 5

a) A = ; b) A = 2 3 2 .

5 1

3 3 4

Solution. a) We first find the eigenvalues of the matrix A by solving the

equation

1−λ 5

det(A − λI3 ) = 0 ⇔ = 0.

5 1−λ

We get that the eigenvalues are λ1 = −4 and λ2 = 6, both with algebraic

multiplicity equal to 1, hence they are equal to the corresponding geometric

multiplicities.

A corresponding eigenvector for λ1 = −4 is v1 = (1, −1)T and for λ2 = 6

is v2 = (1, 1)T .

1 1

We write the transition matrix C = [v1 v2 ] = , which has the

−1 1

1 1 −1

inverse C −1 = . We obtain that the diagonal form of matrix A

2 1 1

is

−1 −4 0

D = C AC = ,

0 6

hence

e−4x 0

Dx

e = .

0 e6x

It follows that

e−4x + e6x −e−4x + e6x

Ax Dx −1 1

e = Ce C = .

2 −e−4x + e6x e−4x + e6x

44

b) From E 1. b) we already know that the eigenvalues of A are λ1 = 1,

ma (λ1 ) = 1 and λ2 = 7, ma (λ2 ) = 1. We have also determined the corre-

sponding eigenvectors:

for λ1 = 1 wehave the linearly independent eigen-

−1 −1

vectors v1 = 1 and v2 = 0 ; for λ2 = 7 we have the eigenvector

0 1

1 −1 −1 1

v3 = 2 . We write the matrix C = 1 0 2 , which has the

3 0 1 3

−2 4 −2

−1 1

inverse C = −3 −3 3 .

6

1 1 1

Since x

e 0 0

eDx = 0 ex 0 ,

0 0 e7x

it follows that

5ex + e7x −ex + e7x −ex + e7x

1

eAx = CeDx C −1 = −2ex + 2e7x 4ex + 2e7x −2ex + 2e7x .

6

−3ex + 3e7x −3ex + 3e7x 3ex + 3e7x

3 1 1

0 −1

a) A = ; b) A = 1 3 1 .

−1 0

1 1 3

4 0 1

3 1

a) A = ; b) A = 1 3 0 .

−1 5

1 0 4

have that

3−λ 1

det(A − λI3 ) = 0 ⇔ = 0,

−1 5 − λ

45

which implies that λ = 4, ma (λ) = 2.

The eigenvector corresponding to λ is v = (1, 1)T and the needed principal

vector is vp = (0, 1)T .

1 0 −1 1 0

We build the matrix C = , which has the inverse C = .

1 1 −1 1

4 1

We have that the matrix J = C −1 AC = has one Jordan cell of

0 4

Jx 4x 1 x

dimension 2 corresponding to the eigenvalue λ = 4, hence e = e .

0 1

In conclusion,

Ax Jx −1 4x 1−x x

e = Ce C = e .

−x 1 + x

have that

det(A − λI3 ) = 0 ⇔ (3 − λ)2 (5 − λ) = 0,

hence λ1 = 3, ma (λ1 ) = 2 and λ2 = 5, ma (λ2 ) = 1 are the eigenvalues.

For λ1 one can find as an eigenvector v1 = (0, 1, 0)T and as a principal vec-

tor vp = (1, 0, −1)T and for λ2 acorresponding T

eigenvector is v2 = (2, 1, 2) .

0 1 2

As before, the matrix C = 1 0 1 , which has the inverse C −1 =

0 −1 2

−1 4 −1

1

2 0 −2 .

4

1 0 1

3 1 0

We have that the matrix J = C −1 AC = 0 3 0 has one Jordan cell

0 0 5

3 1

of dimension 2 corresponding to the eigenvalue λ1 : Jλ1 =3 = and one

0 3

Jordan cell of dimension 1: Jλ2 =5 = [5].

Jλ1 x 3x 1 x

For Jλ1 =3 we have that e =e and for Jλ2 =5 we obtain that

0 1

eJλ2 x = e5x [1], hence 3x

e xe3x 0

eJx = 0 e3x 0

0 0 e5x

46

and

2e3x + 2e5x 0 −2e3x + 2e5x

1

eAx = CeJx C −1 = (2x − 1)e3x + e5x 4e3x (−2x − 1)e3x + e5x .

4

−2e3x + 2e5x 0 2e3x + 2e5x

2 0 −6

2 1

a) A = ; b)A = 1 −1 1 ;

−1 4

1 0 −3

3 1 0 0 1 0

c) A = 0 1 −2 ; d) A = −4 4 0 .

0 2 5 −2 1 2

(

y10 = −2y1 + 2y2

a) , y1 (0) = 2, y2 (0) = 1;

y20 = y1 − y2 + e−3x

0

y1 = y1 − 3y2 + 3y3 + 3

b) y20 = −2y1 − 6y2 + 13y3 − 1 , y1 (0) = 0, y2 (0) = 0, y3 (0) = 2;

0

y3 = −y1 − 4y2 + 8y3

c) Y 0 (x) = AY (x) + B(x), where

4 −2 2 1 1

A = −5 7 −5 , B(x) = x , Y (0) = 1 .

−6 6 −4 0 1

rameters formula (see formula

(1.28)).

−2 2 0

a) We have that A = , B(x) = −3x , x0 = 0 and Y0 =

1 −1 e

2

.

1

[Stage 1 ]: We need to find eAx . The eigenvalues of the matrix A are

λ1 = 0 and λ2 = −3, hence we have a diagonalizable matrix (see E 3. a)).

47

We get that

Dx 1 0

e =

0 e−3x

and

1 + 2e−3x 2 − 2e−3x

Ax 1

e = .

3 1 − e−3x 2 + e−3x

homogenous system. We obtain that

2

Yh = = .

3 1 − e−3x 2 + e−3x 1 3 4 − e−3x

x

system: Yp = eA(x−t) B(t)dt. We have that

0

x

1 + 2e−3(x−t) 2 − 2e−3(x−t)

Z

1 0

Yp = dt

0 1 − e−3(x−t) 2 + e−3(x−t)

3 e−3t

1 x 2e−3t − 2e−3x

Z

= dt

3 0 2e−3t + e−3x

−3t x

2e −3x

x

1 −3 0 − 2e t0

= 2e−3t x x

3 −3x

+ e t

−3 0 0

2 2 −3x −3x

1 3 − 3e − 2xe

= .

2 2

3 − e−3x + xe−3x

3 3

[Stage 4 ]: Now we add up the results from the previous two stages: Y =

Yh + Yp . In conclusion,

14 4 −3x −3x

1 3 + 3e − 2xe

Y = 14 .

3 5

− e−3x + xe−3x

3 3

48

1 −3 3 3

b) We have that A = −2 −6 13 , B(x) = −1 , x0 = 0 and

−1 −4 8 0

0

Y0 = 0 .

2

[Stage 1 ]: We need to find eAx . The only eigenvalue of the matrix A is

λ = 1, ma (λ) = 3 (see E 2. b)). The matrix A is not diagonalizable and

one

3 6

can find as an eigenvector v = 1 and two principal vectors vp1 = 0 ,

1 1

13 3 6 13

vp2 = 0 (see E 2. b)). We construct the matrix C = 1 0 0 ,

2 1 1 2

0 1 0

−1

which has the inverse C = −2 −7 13 . We have that J = Jλ=1 =

1 3 −6

x2

1 1 0 1 x 2

0 1 1 and eJx = ex 0 1 x . It follows that

0 0 1 0 0 1

3x2 9x2 2

2

+ 1 2

− 3x −9x + 3x

2 2

eAx = ex x2 − 2x 3x2 + 1 − 7x 13x − 3x2 .

x 2 3x 2

2

−x 2

− 4x −3x2 + 7x + 1

homogenous system. We obtain that

3x2 9x2 2

2 +1 − 3x −9x + 3x

2 2 0

x 3x2

Yh = ex − 2x + 1 − 7x 13x − 3x 2 0

2 2 2

x2 3x2

−x − 4x −3x2 + 7x + 1

2 2

2

−9x + 3x

x

= 2e 13x − 3x2 .

−3x2 + 7x + 1

49

[Stage 3 ]: We

Z x continue with determining a particular solution of the initial

system: Yp = eA(x−t) B(t)dt. We have that

0

Z x 3 + 3(x − t)

Yp = ex−t x − t − 1 dt.

0 x−t

Z x

Since ex−t (x − t)dt = xex + 1 − ex (using integration by parts), it

0

follows that

3xex

Yp = xex − 2ex + 2 .

xex + 1 − ex

[Stage 4 ]: Now we add up the results from the previous two stages: Y =

Yh + Yp . In conclusion,

−9x2 + 3x + 3xex

Y = 13x − 3x2 + xex − 2ex + 2 .

−3x2 + 7x + xex + 2 − ex

4 −2 2 1

c) We have that A = −5 7 −5 , B(x) =

x , x0 = 0 and

−6 6 −4 0

1

Y0 = 1 .

1

[Stage 1 ]: We determine first eAx . The eigenvalues of the matrix A are

λ1 = 2, ma (λ1 ) = 2 and λ2 = 3, ma (λ2 ) = 1. The matrix A is diagonalizable

since m

g (λ1 ) = 2 and m

g (λ2) = 1. A pair of eligible eigenvectors (for λ1 ) is

1 0

v1 = 1 and v2 = 1 . For λ2 one can choose the eigenvector v3 =

0 1

−2 1 0 −2

5 . For the above selection, we have C = 1 1 5 , which has

6 0 1 6

50

−1 2 −2 2 0 0

−1

as the inverse the matrix C = 6 −6 7 . Since D = 0

2 0

2x −1 1 −1 0 0 3

e 0 0

Dx 2x

and e = 0 e 0 , it follows that

0 0 e3x

−e2x + 2e3x 2e2x − 2e3x −2e2x + 2e3x

eAx = CeDx C −1 = 5e2x − 5e3x −4e2x + 5e3x 5e2x − 5e3x .

6e2x − 6e3x −6e2x + 6e3x 7e2x − 6e3x

homogenous system. We have that

−e2x + 2e3x

Yh = 6e2x − 5e3x .

7e2x − 6e3x

[Stage

Z x 3 ]: Next we determine a particular solution of the initial system:

Yp = eA(x−t) B(t)dt. We get that

0

e2(x−t) (2t − 1) + 2e3(x−t) (1 − t)

Z x

Yp = e2(x−t) (5 − 4t) + 5e3(x−t) (t − 1) dt

0 6e2(x−t) (1 − t) + 6e3(x−t) (t − 1)

−2x + 2e3x

3 2x

3x

2x − 9 3e 10e

= + − .

6 2 3

7x 3e2x 2e3x

+ −

6 2 3

[Stage 4 ]: Now we add up the results from the previous two stages: Y =

Yh + Yp .

(

y10 = 5y1 + 2y2 + x

a) , y1 (0) = 0, y2 (0) = 1;

y20 = 2y1 + 5y2 + x

51

(

y10 = 4y1 + y2 + ex

b) , y1 (0) = 1, y2 (0) = 1;

y20 = −y1 + 2y2

0

y1 = 2y1 − 6y3 + x

c) y20 = y1 − y2 + y3 , y1 (0) = 1, y2 (0) = 1, y3 (0) = 2;

0

y3 = y1 − 3y3 + x

0

y1 = 2y1 + y2 + y3

d) y20 = y1 − 2y2 + 1 , y1 (0) = 0, y2 (0) = 0, y3 (0) = 2;

0 x

y3 = 3y1 + 3y2 + y3 + e

e) Y 0 (x) = AY (x) + B(x), where

4 0 1 0 1

A = 1 5 0 , B(x) = x , Y (0) = 4 ;

1 0 4 0 0

x

0 1 1 e 1

A = 1 0 1 , B(x) =

x , Y (0) = 1 .

1 1 0 0 2

−2 1 16 0

a) A = , Q= ;

0 −2 0 2

−3 1 0 8 7 0

b) A = −1 −3 0 , Q = 7 10 0 .

0 0 −1 0 0 2

values of the matrix A:

system is asymptotically stable.

52

Method 2 (using Theorem 1.3.4, the Routh-Hurwitz Criterion). We

have that the Hurwitz polynomial is

p(z) = det(zI2 − A) = z 2 + 4z + 4,

a1 a2 4 1

H2 = = .

0 a0 0 4

asymptotically stable.

Method

3 (using Theorem 1.3.6, the Lyapunov equation). Consider

a b

P = . Then the Lyapunov equation AT P + P A = −Q becomes

b c

−4a a − 4b −16 0

= ,

a − 4b 2b − 4c 0 −2

matrix P is positive definite and the system is asymptotically stable.

b) Method 1 (using Theorem 1.3.11). We compute the eigenvalues of

the matrix A:

Re λ2 = −3 < 0 and Re λ3 = −3 < 0, then the system is asymptotically

stable.

Method 2 (using Theorem 1.3.4, the Routh-Hurwitz Criterion). We

have that the Hurwitz polynomial is

is

a2 a3 0 7 1 0

H3 = a0 a1 a2 = 10 16 7 .

0 0 a0 0 0 10

53

Since ∆1 = 7 > 0, ∆2 = 7·16−10·1 = 102 > 0 and ∆3 = det H3 = 1020 > 0,

it follows that the system is asymptotically stable.

Method

3 (using Theorem 1.3.6, the Lyapunov equation). Consider

a b c

P = b d e . Then the Lyapunov equation AT P + P A = −Q becomes

c e f

−6a − 2b a − 6b − d −4c − e −8 −7 0

a − 6b − d 2b − 6d c − 4e = −7 −10 0 ,

−4c − e c − 4e −2f 0 0 −2

∆2 = 2 > 0 and ∆3 = 2 > 0, it follows that the system is asymptotically

stable.

−3 1 12 1

a) A = , Q= ;

−1 −3 1 24

3 − 12

−3 0 1 6

b) A = 0 −3 −1 , Q =

3 6 21 ;

0 0 −4 − 12 1

2

2

−5 −1 0 2 2 0

c) A = 1 −5 0 , Q = 2 8 0 .

0 0 −3 0 0 6

−3 1 12 4

A= and Q = ,

0 −3 4 10

T

P = eA x QeAx dx.

0

1 x

Solution. Since A is a Jordan cell, it follows that eAx = e−3x .

0 1

54

Hence

Z ∞

−6x 1 0 12 4 1 x

P = e dx

0 x 1 4 10 0 1

Z ∞

−6x 12 12x + 4

= e dx

0 12x + 4 12x2 + 8x + 10

2 1

= .

1 2

4 − 2 = 2 > 0.

−1 1 0 4 0 0

A = 0 −1 0 and Q = 0 2 0 ,

0 0 −2 0 0 12

T

P = eA x QeAx dx.

0

−1 0

A=

1 −3

2 6

Q= .

4 24

Solution. For the chosen matrix Q, the Lyapunov equation has the solu-

tion

3 2

P = .

2 4

Hence a Lyapunov function is

T 3 2 y1

V (y) = y P y = [y1 , y2 ] = 3y12 + 4y1 y2 + 4y22 .

2 4 y2

55

Indeed, V (y) = 2y12 + (y1 + 2y2 )2 > 0, for every y 6= 0 and since y10 = −y2 ,

y20 = y1 − 3y2 , we have that

V 0 (y) = 6y1 y10 + 4y10 y2 + 4y1 y20 + 8y2 y20

= −2(y12 + 4y1 y2 + 12y22 )

= −2((y1 + 2y2 )2 + 8y22 ) < 0, for every y 6= 0.

Therefore, the system is asymptotically stable.

−3 1

A=

0 −3

using the positive defined matrix

12 4

Q= .

4 10

(

y10 = −y1 + y22

y20 = −0.5y12 − y23 + 2y1 y2 − 3y1 + 2.5

Solution. The system has the form

(

y10 = f1 (y1 , y2 )

.

y20 = f2 (y1 , y2 )

We have that

f1 (1, 1) = −1 + 1 = 0, f2 (1, 1) = −0.5 − 1 + 2 − 3 + 2.5 = 0,

hence indeed Y = [1, 1]T is an equilibrium position.

The linearized system (1.44) has the matrix

∂f1 ∂f1

(1, 1) (1, 1)

∂y1 ∂y 2 −1 2

A = ∂f = .

2 ∂f2 −2 −1

(1, 1) (1, 1)

∂y1 ∂y2

56

The characteristic polynomial of A is

det(λI2 − A) = λ2 + 2λ + 5,

−1 < 0. We have that A is a stable matrix and by Theorem 1.3.11, the

nonlinear system is asymptotically stable.

(

y10 = −y2

y20 = y14 + y1 + ay2 + y24

Figure 1.3.

following relations:

max = −mg sin θ, ax = lv,

where v is the angular velocity, v = θ̈(t), hence

ax g

v= = − sin θ.

l l

57

One obtains the differential equation

g

θ̈(t) = − sin θ(t).

l

By choosing y1 (t) = θ(t) and y2 (t) = θ̇(t), the differential equation is

transformed into the following nonlinear SDEs:

(

y˙1 = y2

g .

y˙2 = − sin y1 (t)

l

Obviously, the origin is an equilibrium state of the system. The matrix

of the linearized system is

" # " #

0 1 0 1

A= g = g .

− cos y1 0 y1 =0,y2 =0 − 0

l l

r

g

The eigenvalues of A are λ1,2 = ±i . Since Re λ1,2 = 0 and ma (λ1,2 ) =

l

mg (λ1,2 ) = 1, the system is stable, but not asymptotically stable.

y˙1 0 −1 y1

= .

y˙2 1 R y2

we solve the equation λ2 − Rλ + 1 = 0, the discriminant is ∆ = R2 − 4, hence

we have the following discussion:

58

√

R 4 − R2

1. if |R| ≤ 2, the eigenvalues are λ1,2 = ±i , so we have three

2 2

possible cases:

1.2 if R ∈ (0, 2], Re λ1,2 > 0, so the system is unstable;

1.3 if R = 0, Re λ1,2 = 0 and ma (λ1,2 ) = mg (λ1,2 ) = 1, so the system

is stable, but not asymptotically stable.

√

R R2 − 4

2. if |R| > 2, then λ1,2 = ± and Re λ1,2 > 0, so the system is

2 2

unstable.

Many interesting examples and applications can be found in [6], [15], [25],

[31], with emphasis on problems given at the Students Mathematical Contest

’Traian Lalescu’ in [3] and [34].

For applications with Matlab and Maple, see [1], [4], [16].

59

60

Chapter 2

Functions of a Complex

Variable

1572, in ’Algebra’, the Italian engineer √

Rafael Bombelli suggested that the

2

equation x + 1 = 0 has a root, which is −1 and it is something imaginary.

Many mathematicians of the time disapproved the theory. René Descartes

said that imaginary was a kind of an insult, but, a few years later, in his

book ’La geometrie’, he used the terms ’real’√and ’imaginary’.

The symbol i, as we know it today for −1, is introduced in the eigh-

teenth century by Leonard Euler. Carl Friedrich Gauss gave in 1831 the geo-

metrical representation of a complex number and in 1833, William Hamilton

expressed a complex number as a pair of real numbers (a, b).

The theory of complex numbers found large applicability in relativity

theory, alternative currents, fluid dynamics, quantum mechanics, signal pro-

cessing etc..

The theory of complex functions is a natural consequence of the devel-

opment of the complex numbers and has applications in various engineering

fields (nuclear, aerospace, mechanical and electrical engineering).

One denotes by C the set R × R ={(x, y) : x, y ∈ R}. The pair z = (x, y),

x, y ∈ R is called a complex number .

On C we define the following operations: addition and multiplication.

61

The addition is denoted by ’+’ and it is defined as

using the associativity of the addition of the real numbers, one obtains

= ((x1 + x2 ) + x3 , (y1 + y2 ) + y3 )

= ((x1 + (x2 + x3 ), y1 + (y2 + y3 ))

= (x1 , y1 ) + (x2 + x3 , y2 + y3 )

= z1 + (z2 + z3 );

ii) the complex number (0, 0), which is simply denoted by 0, is the null

element: z + 0 = 0 + z = z, ∀z ∈ C. Obviously, z + 0 = (x, y) + (0, 0) =

(x + 0, y + 0) = (x, y) = z and similarly 0 + z = z;

We simply take −z = (−x, −y);

the commutativity in R:

= (x2 + x1 , y2 + y1 ) = (x2 , y2 ) + (x1 + y1 )

= z2 + z1 .

using the associativity of the multiplication of the real numbers;

62

vi) the complex number (1, 0), which is simply denoted by 1, is the unity:

z ·1 = 1·z = z, ∀z ∈ C. It is obvious that z ·1 = (x·1−y ·0, x·0+y ·1) =

(x, y) = z;

Consider z = (x, y) 6= (0, 0). Then x2 + y 2 > 0 and

−1 x −y

z = , .

x2 + y 2 x2 + y 2

Indeed,

x2 + y 2 xy − yx

−1 x −y

z·z = (x, y) , 2 = , = (1, 0) = 1,

x + y x + y2

2 2 x2 + y 2 x2 + y 2

and similarly 1 · z = 1;

commutativity in R.

The last property we need to check is

ix) distributivity of multiplication over addition: z1 · (z2 + z3 ) = (z1 · z2 ) +

(z1 · z3 ) and (z1 + z2 ) · z3 = (z1 · z3 ) + (z2 · z3 ), ∀z1 , z2 , z3 ∈ C. This is

left as an exercise for the reader.

Therefore (C, +, ·) fulfills the field axioms.

Proof. We first prove that C1 is closed with respect to addition and multi-

plication. Indeed, for every (x1 , 0), (x2 , 0) ∈ C1 , we have that

and

−z = (−x, 0) ∈ C1 ,

63

and if z 6= 0, then

−1 x −0 1

z = 2

, 2 = , 0 ∈ C1 .

x +0 x +0 x

Proof. Consider the natural map f : R → C1 , f (x) = (x, 0). Then f has the

following properties:

i) f is injective: for every x1 , x2 ∈ R, x1 6= x2 , then f (x1 ) = (x1 , 0) 6=

(x2 , 0) = f (x2 );

ii) f is surjective: for every z ∈ C1 , there exists x ∈ R such that z = (x, 0),

i.e. f (x) = z;

iii) for every x1 , x2 ∈ R, we have that

f (x1 + x2 ) = (x1 + x2 , 0) = (x1 , 0) + (x2 , 0) = f (x1 ) + f (x2 );

f (x1 x2 ) = (x1 x2 , 0) = (x1 , 0) · (x2 , 0) = f (x1 ) · f (x2 ).

From i) and ii) we obtain that f is bijective and iii) and iv) imply that f

is a morphism of fields, so f is an isomorphism of fields. It follows that the

fields R and C1 are isomorphic.

C1 by identifying x ∼

= (x, 0). Then it follows by Proposition 2.1.2 that R is

a subfield of C.

Let us denote by i the pair (0, 1) ∈ C. Then

i2 = i· = (0, 1) · (0, 1) = (0 · 0 − 1 · 1, 0 · 1 + 1 · 0) = (−1, 0) = −1,

hence i2 = −1. Again, by using the identification x = (x, 0), we obtain, for

any z ∈ C that

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

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

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

= x + iy.

64

Therefore, the isomorphism R ∼

= C1 allows a second writing for the complex

number z = (x, y), namely

z = x + iy. (2.1)

The form (2.1) is called the algebraic form of a complex number. Also x is

called the real part of the complex number z and y the imaginary part of z.

They are denoted by Re z and Im z, respectively. The x axis is called the

real axis and the y axis the imaginary axis.

We define for every complex number z = x + iy the conjugate to be

z̄ := x − iy. A very useful remark is that z z̄ = x2 + y 2 ∈ R.

Now, one associates to the complex number z = x + iy or z = (x, y)

the point M (x, y) in the xOy plane, which will be called the complex plane.

Obviously, the correspondence x + iy 7→ M (x, y) is a bijective map between

C and the set of points in the complex plane.

Also, to any point M (x, y) in the complex plane, we can associate the

polar coordinates (ρ, θ), where ρ is the distance between the point and the

origin of xOy and θ is the angle between the radius vector of the point and

the positive direction of the real axis.

y

(z)

M (x, y)

ρ

y

θ

x

0 x N

y = ρ sin θ, hence z = x + iy becomes

denote ρ by |z|, which represents the absolute value of z and θ by Arg z,

−∞ < θ < ∞, which is called the argument of z.

Again, in the right triangle M ON , we get that

p

ρ = x2 + y 2 ,

65

and

y

θ = arctan .

x

We denote by arg z the value of the argument of z for θ ∈ [0, 2π). Since

cos θ and sin θ are periodic functions of period 2π, it follows that

Now, by Euler’s formula eiθ = cos θ + i sin θ, the trigonometric form (2.2) can

be written as

z = ρeiθ , (2.3)

which is called the exponential form of the complex number z.

Since a complex number is a pair of real numbers, many concepts of real

analysis can be extended to complex analysis. For instance, one can use

|z1 − z2 | as the distance between the points which correspond to z1 and z2 in

the complex plane. Then one can define as the open disk of radius R centered

at z0 ∈ C the set

{z ∈ C : |z − z0 | < R}.

This disk is also called an R-neighborhood of z0 . Using this, one can define

the notion of convergence of a sequence of complex numbers.

Definition 2.1.4. We say that the sequence (zn )n≥1 ⊂ C is convergent and

has the limit z0 ∈ C, if ∀ > 0, ∃N ∈ N such that for ∀n ∈ N, n > N , we

have that

|zn − z0 | < .

For some problems it is necessary to extend the complex plane with one

point.

if ∀ > 0, ∃N ∈ N such that for ∀n ∈ N, n > N , we have that

|zn | > .

It follows that the above sequence has no limit. One adopts the convention

that all indefinitely increasing sequences have the limit z = ∞. This is called

the point at infinity and it represents the analogue of ±∞ from R.

Each complex number z 6= 0 is characterized by a pair (ρ, θ). But z = 0

is characterized by ρ = 0 and an undetermined θ. Since the point at infinity

66

is the limit of all indefinitely increasing sequences, one can say that these

sequences tend to ∞, hence the point at infinity is characterized by ρ = ∞

(the ’real’ infinity, i.e the limit of all increasing divergent real sequences) and

an undetermined θ.

The set C=C

e ∪ {∞} is called the extended complex plane.

e

Since a complex number is a pair of real numbers, the elements of the

usual topology on R can be extended to C. e As we have mentioned before,

one uses the fact that for z1 , z2 ∈ C, |z1 − z2 | represents the distance between

the corresponding points in the complex plane.

For z0 ∈ C and > 0, the set N (z0 ) = {z ∈ C : |z − z0 | < } is said to

be an -neighborhood of z0 . A set N (∞) = {z ∈ C : |z| > } is called an

-neighborhood of the point at infinity. Using this two concepts we have the

following definition.

e

The set of the interior points of S is called the interior of S and it is

◦ ◦

denoted by S. If S = S, then S is said to be an open set;

(where {S is the complement of the set S);

and N (z0 ) ∩ {S 6= ∅. The set of the boundary points of S is called the

boundary of S and it is denoted by ∂S.

connectedness, but we will focus on open sets, even if the general definition

of connectivity can be given for arbitrary sets.

e Then:

non-empty open sets D1 and D2 such that D = D1 ∪ D2 ;

67

2. we say that D is path-wise connected if any two points in D can be

joined by a (piecewise-smooth) curve L ⊂ D;

set;

points of self-intersection;

5. the domain D is called simply connected if any simple closed curve can

be shrunk to a point by continuous deformations without crossing the

boundary of D.

Remark 2.2.3. Regarding the last definition we can make the following

observations:

1. there is an equivalent definition of connectedness for open sets in terms

of curves: an open set D is connected if and only if any two points in

D can be joined by a curve L ⊂ D;

volves the notion of homotopy: loosely speaking, two curves are ho-

motopic if one curve can be deformed into the other by a continuous

transformation without ever leaving D; a domain D is simply connected

if any two pairs of curves in D with the same end-points are homotopic

(for more explanations on this topic, one should consult [35], pp. 93-

97);

only if both D and its complement in C e are connected;

just a domain without holes in it; as basic examples we have disks,

strips ({z ∈ C : a < Im z < b}); counterexamples: the punctured plane

(C \ {0}), the annulus ({z ∈ C : a < |z| < b}, a > 0).

A domain D is called a n-uply connected domain, n ∈ N, if its boundary

is made up of n + 1 closed contours as in Figure 2.2 (d) below. If n = 0,

then D is simply connected (Figure 2.2 (a)). If n = 1, then D is called a

doubly connected domain (Figure 2.2 (b)); if n = 2, then D is called a triply

connected domain (Figure 2.2 (c)) and so on.

68

(a) A Simply Connected Do- (b) A Doubly Connected Domain

main

The sets l1 , l2 , . . . , ln , . . ., which are not included into the domain, are

called lacunas.

able

Let D ⊂ C to be a domain. A function f : D → C is said to be a

single-valued complex function. We can use the different representations of

complex numbers to describe the function f . For instance, if z ∈ D, then z

can be written as z = (x, y) or z = x + iy or z = ρeiθ . Similarly, the values

Z = f (z) can be written as Z = (u, v), where u and v are real functions

which depend on the real variables x and y (i.e, u = u(x, y), v = v(x, y)) or

Z = u + iv or Z = ReiΘ .

The usual choice is z = x + iy and Z = u(x, y) + iv(x, y), therefore a

complex function has the representation

69

The functions u and v are called the real and the imaginary part of f

respectively and they are denoted by u = Re f and v = Im f .

Since Ce is endowed with a topology, the properties of functions defined

on a topological space can be adapted for complex functions.

For instance, the notions of limit and continuity are the following.

that

exists δ = δ() > 0 such that for every z ∈ D with |z − z0 | < δ, it

follows that |f (z) − l| < . One writes lim f (z) = l;

z→z0

exists δ = δ() > 0 such that for every z ∈ D with |z − z0 | < δ, it

follows that |f (z)| > . One writes lim f (z) = ∞;

z→z0

If we would like to encompass the case when z0 , l ∈ C,e then we have that

l is the limit of the function f at the point z0 if and only if for every sequence

(zn )n ⊂ D such that lim zn = z0 , it follows that lim f (zn ) = l.

n→∞ n→∞

exists, it is finite and f (z0 ) = lim f (z). A function f is called continuous on

z→z0

D if it is continuous in every point z0 ∈ D.

1. The linear function f : C → C,

f (z) = az + b,

nomials, both u and v are continuous real functions, hence f is a continuous

function of a complex variable in C. If we would like to extend f to C, e then

we put f (∞) := ∞ and we get that f is continuous on C. e

70

2. The inverted function f : C∗ → C,

1

f (z) = ,

z

where C∗ = C \ {0}. For z = x + iy ∈ C∗ , one obtains by multiplication with

the conjugate x − iy,

1 x − iy

f (z) = = 2 ,

x + iy x + y2

x −y

hence Re f = and Im f = 2 .

x2 +y 2 x + y2

We can use the last form indicated at the beginning at the paragraph,

namely z = ρeiθ , Z = ReiΘ . We get that

1 1 1

Z = f (z) = = iθ = e−iθ ,

z ρe ρ

1

i.e. the modulus of f (z) is R = and the argument is Θ = −θ (Figure 2.3).

ρ

ρ z

θ 1 x

0 -θ

1 1

ρ Z= z

If we would like to extend f to C,

f (z) = ez .

71

For z = x + iy and using Euler’s formula eiy = cos y + i sin y, one obtains

Since cos y and sin y are periodic functions with period 2π, we have that

The previous examples represented single-valued functions of a complex

variable.There are a multiple-valued functions too, as we will see in the fol-

lowing examples.

4. The radical function f : C → C,

√

f (z) = n z − a,

the n-th root formula, for the trigonometric form z − a = ρ(cos θ + i sin θ),

the n-th root is

√

n √ θ + 2kπ θ + 2kπ

z − a = ρ cos

n

+ i sin , k = 0, n − 1.

n n

√ θ+2kπ

f (z) = n ρei n , k = 0, n − 1.

f0 , f1 , . . . , fn−1 called the branches of the multiple-valued function f , where

√ θ+2kπ

fk (z) = f (ρeiθ + a) = n

ρei n . (2.5)

fk has the form (2.5). If z describes a circle of radius ρ centered at a, in the

trigonometric sense (see Figure 2.4), finally we get that

z = ρei(θ+2π) + a,

√ (θ+2π)+2kπ √ θ+2(k+1)π

fk (z) = n

ρei n = n

ρei n = fk+1 (z),

72

hence the branch fk goes to fk+1 .

In the same manner, we can prove that fn−1 goes to f0 , since

θ+2π+2(n−1)π θ θ

ei n = ei n +i2π = ei n .

The points a with this property are called algebraic branch points.

z

ρ

θ

a

x

O

In order to prevent passing from one branch to another, one removes from

the complex plane the cut B, that is a half-line starting at a. Therefore, the

branches fk : C \ B → C are separated and well defined. In order to prevent

passing from one branch to another, one removes from the complex plane the

cut B, that is a half-line starting at a. Therefore, the branches fk : C\B → C

are separated and well defined.

1

If we replace z by , the point at infinity becomes u = 0. Then

u

r √

n

1 n 1 1 − ua

f = −a= √ .

u u n

u

half-line in order to remove both branch points z = a and z = ∞.

Generally, a branch cut can be any continuous curve going from a to

infinity at same direction (Figure 2.5).

73

y

θ

a

x

O

√

Usually, for n

z one considers the cut on the positive real axis (Figure

2.6).

C

x

O

√ θ

n ρei n , which is the extension of the real radical

The branch f√ 0 (z) =

function f (x) = n x − a to the complex plane, is called the principal branch

of the multiple-valued function.

5. The logarithmic function. This will be defined for every z ∈ C∗ and

it will be denoted by Ln z. By definition, this function is the inverse of the

exponential function. But since the exponential function is periodic, with

period 2πi, hence it is not injective, one considers restrictions to horizontal

strips

74

On each strip Sk , the exponential is injective. The image of each hori-

zontal straight line is

Therefore, ez is bijective with the range C\R+ and it has an inverse on each

strip Sk .

6πi

S2

4πi

S1

2πi

S0

x

O

S−1

−2πi

S−2

−4πi

Ln z = Z ⇔ eZ = z, z ∈ C∗ .

( (

eu = ρ u = ln ρ

⇔ ⇔ Z = ln ρ + i(θ + 2kπ).

v = θ + 2kπ v = θ + 2kπ

branches fk : C \ R+ → Sk , fk = ln ρ + i(θ + 2kπ), k ∈ Z.

75

As in the case of the radical function, if z describes a circle of radius ρ

centered in 0 (or any closed curve that winds around 0), we will have that

z = ρei(θ+2π) , hence the branch fk would jump to fk+1 . The point 0 is said

to be a logarithmic branch point for Ln z.

1

For z = , the point at infinity corresponds to u = 0 and one obtains

u

Ln z = −Ln u, hence u = 0 is a branch point, i.e. the point at infinity is

another logarithmic point for Ln z.

Also as in the case of the radical function, R ≥ 0 is a branch cut that

forbids the movement of z around 0, hence the branches fk are separated and

well defined.

Similarly, the function Ln (z − a), a ∈ C, has the branch points z = a

and z = ∞.

2.4 Exercises

E 12. Find the real part of the complex number z (i.e. Re z), if

π

a) z = 2ei 2 + Ln (1 − i);

b) z = (1 + i)2 ei(π+i) .

π

Solution. a) We have that ei 2 = e0 (cos π2 + i sin π2 ) = i. On the other

hand,

Ln (1 − i) = ln |1 − i| + i(arg (1 − i) + 2kπ), k ∈ Z.

√

As |1 − i| = 2 and arg (1 − i) = π + π4 = 5π 4

(one associates to the complex

number 1−i the point in plane M (1, −1), which belongs to the 3rd quadrant),

it follows that

√ 5π

Ln (1 − i) = ln 2 + i( + 2kπ), k ∈ Z.

4

√ √

Since z = 2i + ln 2 + i( 5π4

+ 2kπ), we have that Re z = ln 2.

b) First of all we get that (1 + i)2 = 1 + 2i − 1 = 2i. At the same time

we have that ei(π+i) =e−1 (cos π + i sin π)=−e−1 . Then

so Re z = 0.

76

W 10. Find the imaginary part of the complex number z (i.e. Im z), if

π

a) z = e−1+2πi − 2ie1−i 2

r √

3 1 + i 3

b) z = ;

2

c) z = (−i)−i (2i + 1).

Answer. a) Im z = 0;

π 2kπ

b) Im z = sin + , k ∈ {0, 1, 2};

9 3

3π

c) (−i)−i = e(−i)Ln (−i) , so Im z = 2e 2 +2kπ , k ∈ Z.

a) f (z) = z 2 − 1 + ez̄ ;

eiz + e−iz

b) f (z) = ;

z+1

√

c) f (z) = 3 z − Ln z.

Solution. a) By taking z = x + iy, f (z) = u(x, y) + iv(x, y) and Im f =

v(x, y), we have that

= x2 − y 2 + 2xyi − 1 + ex−iy

= x2 − y 2 + 2xyi − 1 + ex (cos y − i sin y)

= x2 − y 2 − 1 + ex cos y + i(2xy − ex sin y),

b) By taking z = x + iy, one obtains

f (z) = =

x + iy + 1 (x + 1) + iy

−y

e (cos x + i sin x) + ey (cos x − i sin x)

=

(x + 1) + iy

cos x(e + e ) + i sin x(e−y − ey )

y −y

= .

(x + 1) + iy

77

ey + e−y ey − e−y

Using cosh y = and sinh y = (the hyperbolic sine and

2 2

cosine), it follows that

2 cos x cosh y − 2i sin x sinh y

f (z) = .

(x + 1) + iy

f (z) = ,

(x + 1)2 + y 2

thus

−(x + 1) sin x sinh y − y cos x cosh y

Im f = 2 .

(x + 1)2 + y 2

i sin θ), ρ = |z| and θ = argz ∈ [0, 2π), it results that f (z) = u(ρ, θ)+iv(ρ, θ).

Since

√ √ θ + 2kπ θ + 2kπ

3

z = ρ cos

3

+ i sin , k ∈ {0, 1, 2}

3 3

and

Ln z = ln ρ + i(θ + 2lπ), l ∈ Z,

one obtains

√ √ θ + 2kπ θ + 2kπ

f (z) = 3

z − Ln z =

3

ρ cos + i sin − ln ρ − i(θ + 2lπ)

3 3

√ θ + 2kπ √ θ + 2kπ

= 3 ρ cos − ln ρ + i 3 ρ sin − θ − 2lπ ,

3 3

so

√ θ + 2kπ

Im f = 3

ρ sin − θ − 2lπ, k ∈ {0, 1, 2}, l ∈ Z.

3

ez

a) f (z) = ;

z2

b) f (z) = z 2 + |z 2 − 1| − eiz ;

78

c) f (z) = z · Ln z̄.

ex (x2 − y 2 ) cos y + 2xy sin y

Answer. a) Re f (x, y) = ;

(x2 − y 2 )2 + 4x2 y 2

p

b) Re f (x, y) = x2 − y 2 + (x2 − y 2 − 1)2 + 4x2 y 2 − e−y cos x;

c) Re f (ρ, θ) = ρ ln ρ cos θ − (2k + 1)π − θ sin θ .

a) z 2 + (1 + i)z + i = 0;

√

b) z 4 − i 3 = 0;

c) eiz − e−iz = −4.

Solution. a) We will present 2 methods.

Method 1. We couple the terms of the equation in order to obtain a

common factor. It follows that

Method 2. By using the formula of the discriminant, we have that

hence

−i − 1 + 1 − i −i − 1 − 1 + i

z1 = = −i and z2 = = −1.

2 2

√ √

b) We first observe that z 4 − i 3 = 0 ⇔ z 4 = i 3. By extracting the

root of order 4, one obtains

q p

4 θ + 2kπ θ + 2kπ

z = |i 3| cos + i sin , k = 0, 3.

4 4

√ π

We have that θ = arg (i 3) = , so

2

√ π π

8 + 2kπ + 2kπ

z = 3 cos 2 + i sin 2 .

4 4

79

The solutions are obtain by making k to be 0, 1, 2 or 3:

√8

π π

z1 = 3 cos + i sin , k = 0;

8 8

√8

5π 5π

z2 = 3 cos + i sin , k = 1;

8 8

√8

9π 9π

z3 = 3 cos + i sin , k = 2;

8 8

√

8

13π 13π

z4 = 3 cos + i sin , k = 3.

8 8

Remark. The algebraic forms of the solutions are obtained r by using

π 1 + cos π4

standard trigonometric formulas and the fact that cos = =

8 2

s √

2+ 2

.

4

1

c) Let us denote t = eiz . It follows that t − = −4, so t2 + 4t − 1 = 0.

t √

Since the discriminant

√ is ∆ = 20, we have that the solutions are t1 = −2+ 5

and t2 = −2 − 5. √

From eiz = t1 = −2 + 5 we deduce that

√ √

iz = Ln (−2 + 5) = ln( 5 − 2) + i · 2kπ, k ∈ Z,

√

hence z = 2kπ − i ln( 5 −√2).

From eiz = t2 = −2 − 5 we deduce that

√ √

iz = Ln (−2 − 5) = ln( 5 + 2) + i(π + 2kπ), k ∈ Z,

√

hence z = (2k + 1)π − i ln( 5 + 2).

a) z 4 + 4z 2 + 4 = 0;

√ 3π

b) z 3 + 2ei 4 = 0;

eiz − e−iz

c) = 4i.

i(eiz + e−iz )

80

3π

√

2

Answer. a) z = ±2i; b) ei 4 = cos 3π

4

+ i sin 3π

4

= 2

(−1 + i), hence the

3

equation becomes z = 1 − i and

√ 7π

4

+ 2kπ 7π

4

+ 2kπ

z = 2 cos + i sin , k = 0, 2;

3 3

eiz − e−iz 3

c) iz −iz

= 4i ⇔ 5eiz + 3e−iz = 0 ⇒ e2iz = − , hence

i(e + e ) 5

1 3 π

z = − i ln + (2k + 1) , k ∈ Z.

2 5 2

81

82

Chapter 3

Complex Differentiation

Cauchy studied the convergence of series in the complex plane C. This is why

he is considered the creator of the theory of analytic (holomorphic) functions.

Karl Weierstrass and Bernhard Riemann have brought a major contribution

to the development of the theory. Their point of view is somewhat different

from Cauchy’s (Riemann’s is geometrical, Weierstrass is arithmetical), but

it was proved that they represent facets of the same thing.

Even if there are similarities between complex differentiability and real

differentiability, in fact there are major differences between these two the-

ories. Holomorphic functions are infinitely differentiable. On the contrary,

even if a real function is n times differentiable, it is not necessarily n + 1

times differentiable. All holomorphic functions satisfy the stronger condition

of analyticity while even infinitely differentiable real functions can be not

analytic.

Complex differentiation is one of the most important branches of complex

analysis, having numerous applications in theoretical physics, mechanics and

technology.

Let D ⊂ C be a domain and f : D → C a function of a complex variable.

Using the representation of a complex function given by (2.4) we have that

f (z) = u(x, y) + iv(x, y), z = x + iy.

83

Definition 3.1.1. We say that the function f is Fréchet differentiable at

z0 ∈ D if there exist

a ∈ C;

ω(z0 , h)

- a function ω : D × C → C with lim = 0,

h

h→0

such that for any h ∈ C, with z0 + h ∈ D, we get that

function f at the point z0 .

if and only if the real functions u and v are Fréchet differentiable at (x0 , y0 )

and they verify the Cauchy-Riemann conditions at (x0 , y0 )

∂u ∂v ∂u ∂v

(x0 , y0 ) = (x0 , y0 ), (x0 , y0 ) = − (x0 , y0 ) (3.2)

∂x ∂y ∂y ∂x

Proof. We have that a, h and ω(z, h) are complex numbers, hence they have

the form

ω ω ω ω

p 1 2

Since |ω| = ω12 + ω12 we obtain that 0 ≤ ≤ and 0 ≤ ≤ .

h h h h

This implies that ω ω

1 2

lim = 0, lim = 0. (3.3)

h→0 h h→0 h

Using Definition 3.1.1, 3.1, 3.2 and the fact that two complex numbers

are equal if and only if their real and imaginary parts are respectively equal,

one obtains the following chain of equivalent statements:

= (a1 + ia2 )(h1 + ih2 ) + ω1 + iω2 ⇔

84

(

u(x0 + h1 , y0 + h2 ) − u(x0 , y0 ) = a1 h1 − a2 h2 + ω1

v(x0 + h1 , y0 + h2 ) − v(x0 , y0 ) = a1 h2 + a2 h1 + ω2 .

We have that the previous equalities are equivalent to the fact that the real

functions u and v are Fréchet differentiable at (x0 , y0 ) and

∂u ∂u

(x0 , y0 ) = a1 , (x0 , y0 ) = −a2 ,

∂x ∂y

(3.4)

∂v ∂v

(x0 , y0 ) = a2 , (x0 , y0 ) = a1

∂x ∂y

The equalities (3.4) are equivalent to

∂u ∂v

(x0 , y0 ) = a1 = (x0 , y0 ),

∂x ∂y

∂u ∂v

(x0 , y0 ) = −a2 = − (x0 , y0 ).

∂y ∂x

the point z0 can be calculated by one of the following formulas:

∂u ∂v

i) f 0 (z0 ) = (x0 , y0 ) + i (x0 , y0 );

∂x ∂x

∂u ∂u

ii) f 0 (z0 ) = (x0 , y0 ) − i (x0 , y0 );

∂x ∂y

(3.5)

∂v ∂v

iii) f 0 (z0 ) = (x0 , y0 ) + i (x0 , y0 );

∂y ∂x

∂v ∂u

iv) f 0 (z0 ) = (x0 , y0 ) − i (x0 , y0 ).

∂y ∂y

Proof. By definition, f 0 (z0 ) = a = a1 + ia2 and a1 , a2 can be replaced by the

partial derivatives of u and v from (3.4).

on the domain D if the function f is Fréchet differentiable at any point z ∈ D.

By Theorem 3.1.2 one obtains the following characterization of analytic

functions.

85

Theorem 3.1.5. A function f : D → C, f (z) = u(x, y) + iv(x, y) is analytic

on D if and only if the real functions u and v are Fréchet differentiable on

D and they verify the Cauchy-Riemann conditions on D:

∂u ∂v ∂u ∂v

= , =− .

∂x ∂y ∂y ∂x

has first order partial derivatives, then it is differentiable at every point where

these are continuous. This gives us the following sufficient condition.

der partial derivatives on D and they verify the Cauchy-Riemann conditions,

then the complex function f = u + iv is analytic on D.

tiable to all orders and its real and imaginary parts u and v have continuous

partial derivatives to any order (u and v are of class C n , n ∈ N).

Remark 3.1.8. One can prove that the usual properties of derivatives are

true for complex functions. For instance, if f and g are analytic functions

f

on the domain D, then af + bg, a, b ∈ C, f g, (for g 6= 0) are analytic on

g

D and

0

0 0 0 0 0 0 f f 0g − f g0

(af + bg) = af + bg , (f g) = f g + f g , = ,

g g2

where a, b ∈ C.

If f : D1 → D2 is analytic on the domain D1 and g : D2 → C is analytic

on D2 , then

(g ◦ f )0 (z) = g 0 (f (z))f 0 (z).

The last formula is known as the chain rule.

If f : D1 → D2 is analytic on the domain D1 and |f 0 (z)| = 6 0 in a

−1

neighborhood of a point z0 ∈ D1 , then the inverse function f is well defined

and it is analytic on a neighborhood of a point Z0 = f (z0 ) ∈ D2 and

1

(f −1 )0 (Z0 ) = .

f 0 (z0 )

86

Remark 3.1.9. One can show that the extensions to C of the elementary

real functions are analytic and verify similar formulas. For instance,

where sin z = and cos z = .

2i 2

1

Also we have that (fk (z))0 = , for any branch fk of Ln z.

z

Definition 3.2.1. A function f : D → R, where D is an open subset of R2 ,

is said to be harmonic if it is of class C 2 (D) and it verifies Laplace’s equation

on D

∂ 2f ∂ 2f

∆f = + 2 = 0.

∂x2 ∂y

The same definition holds for a complex function f : D → C, where D is

an open subset of C.

u(x, y)+iv(x, y), z = x+iy. If f is analytic on D, then u and v are harmonic

functions in D.

Proof. Assume that u and v are of class C 2 (this is true based on Remark

3.1.7). Since u is of class C 2 (D), the mixed second order partial derivatives

are continuous and by Schwarz’s Commutativity Criterion we have that

∂ 2u ∂ 2u

= .

∂x∂y ∂y∂x

Due to the fact that f is analytic, u and v verify the Cauchy-Riemann con-

ditions, one obtains

∂ 2u ∂ 2u

∂ ∂u ∂ ∂v ∂ ∂v ∂ ∂u

= = = = − = − ,

∂x2 ∂x ∂x ∂x ∂y ∂y ∂x ∂y ∂y ∂y 2

∂ 2u ∂ 2u

hence ∆u = + = 0. Similarly, ∆v = 0.

∂x2 ∂y 2

87

Obviously, since u and v are harmonic, the function f = u+iv is harmonic

too.

It was shown that if f = u + iv is an analytic function, then u and v are

∂u ∂v

related by the Cauchy-Riemann conditions (see Theorem 3.1.5) = ,

∂x ∂y

∂u ∂v

=− and they are harmonic functions. In this case one says that v

∂y ∂x

is a harmonic conjugate of u (and u is a harmonic conjugate of v). It can

be proved that if v is a harmonic conjugate of u, then v + a is a harmonic

conjugate of u, ∀a ∈ C. This is left as an exercise for the reader.

One can deduce the following result (from a more general framework).

function f : [a, b] ⊂ R → R, then, in some domain D ⊂ C, with [a, b] ⊂ D,

there exists only one analytic function F : D → C such that F (x) = f (x),

∀x ∈ [a, b].

The function F (z) is called the analytic continuation of the function f (x)

to the domain D.

This theorem allows us to extend elementary real functions to the complex

plane. For instance, ez = ex (cos y + i sin y) is analytic and for z = x ∈ R,

i.e. for y = 0, we have that ez = ex (cos 0 + i sin 0) = ex . Therefore, ez is the

analytic continuation of ex to C. Then, starting with Euler’s formulas for the

eix − e−ix eix + e−ix

real trigonometric functions sin x = and cos x = , one

2i 2

can determine their analytic continuations, i.e. the complex trigonometric

functions defined by

eiz − e−iz

sin z = ,

2i

eiz + e−iz

cos z = .

2

One can easily prove that the fundamental formula sin2 z +cos2 z = 1 remains

valid for any complex number z.

88

3.4 Determination of Analytic Functions

One can prove the following result.

domain D, there exists a real harmonic function v in D, unique up to addition

of a constant, such that the function f = u + iv is analytic on D.

Problem 1. Given a harmonic function u in a simply connected domain

D and two points z0 ∈ D and Z0 ∈ C, determine the analytic function f on

D such that

Re f = u and f (z0 ) = Z0 .

Method 1. Let z0 = x0 + iy0 . Since f = u + iv is analytic, we have that

∂u ∂v ∂u ∂v

u and v verify the Cauchy-Riemann conditions: = , =− .

∂x ∂y ∂y ∂x

We integrate the first equation with respect to y and we obtain that

Z y

∂u

v(x, y) = (x, t)dt + C(x).

y0 ∂x

By imposing the second equation and by using the fact that u is a harmonic

function, we can show that

Z y 2 Z y 2

∂u ∂v ∂ u 0 ∂ u

(x, y) = − (x, y) = − 2

(x, t)dt − C (x) = 2

(x, t)dt − C 0 (x),

∂y ∂x y0 ∂x y0 ∂y

hence

∂u ∂u ∂u

(x, y) = (x, y) − (x, y0 ) − C 0 (x).

∂y ∂y ∂y

∂u

This implies that C 0 (x) = − (x, y0 ), so

∂y

Z x

∂u

C(x) = − (t, y0 )dt + C1 ,

x0 ∂y

Z y Z x

∂u ∂u

v(x, y) = (x, t)dt − (t, y0 )dt + C1

y0 ∂x x0 ∂y

89

and v(x0 , y0 ) = C1 , which shows that v is unique up to addition of a constant

C1 .

From f (z) = u(x, y) + iv(x, y) one obtains Z0 = f (z0 ) = u(x0 , y0 ) + iC1 ,

hence Z0 − u(x0 , y0 ) = iC1 and

Z y Z x

∂u ∂u

f (z) = u(x, y) − u(x0 , y0 ) + i (x, t)dt − (t, y0 )dt + Z0 .

y0 ∂x x0 ∂y

Method 2. We will divide this method into several steps, so we can regard

it as an actual algorithm.

∂u ∂u

Step 1. Calculate f 0 (z) = (x, y) − i (x, y) (by (3.5) ii));

∂x ∂y

Step 2. Replace y with 0 in f (z) (i.e. determine the restriction of f 0 to

0

∂u ∂u

f 0 (x) = (x, 0) − i (x, 0) =: g(x);

∂x ∂y

where G is a primitive of g and C is a constant;

Step 4. Replace x by z (i.e. use the analytic continuation of f (x)), so

f (z) = G(z) + C;

Step 5. Replace z with z0 and obtain that Z0 = f (z0 ) = G(z0 ) + C, thus

C = Z0 − G(z0 ).

The solution is f (z) = G(z) + Z0 − G(z0 ).

In the following we will show how both methods work on an example.

function f = u + iv such that f (0) = i.

Solution. No matter what method we use we should verify that u is a

harmonic function. This is an exercise for the reader.

90

Method 1. As f (0) = i, it follows that x0 = 0, y0 = 0 and Z0 = i. Then

Z y Z x

∂u ∂u

f (z) = u(x, y) − u(x0 , y0 ) + i (x, t)dt − (t, y0 )dt + Z0

y0 ∂x x0 ∂y

= ex cos y + x2 − y 2 − u(0, 0)+

Z y Z x

x t

+i (e cos t + 2x)dt − (−e sin 0 − 2 · 0)dt + i

0 0

y

= ex cos y + x2 − y 2 − 1 + i((ex sin t + 2xt)0 − 0) + i

= ex cos y + x2 − y 2 − 1 + i(ex sin y + 2xy) + i

= ex (cos y + i sin y) + x2 − y 2 + 2ixy − 1 + i

= ez + z 2 − 1 + i.

Step 1. Calculate

∂u ∂u

f 0 (z) = (x, y) − i (x, y) = ex cos y + 2x − i(−ex sin y − 2y);

∂x ∂y

Step 2. Replace y with 0 in f 0 (z). Then z = x + iy becomes z = x and

Z

f (x) = (ex + 2x)dx = ex + x2 + C,

where C is a constant;

Step 4. Replace x by z, thus f (z) = ez + z 2 + C;

Step 5. Replace z with 0, so 1 + C = i and C = i − 1.

The analytic function is f (z) = ez + z 2 + i − 1.

Problem 2. Given a harmonic function v in a simply connected domain

D and two points z0 , Z0 ∈ C, determine the analytic function f on D such

that

Im f = v and f (z0 ) = Z0 .

Similarly, by adapting Method 1, one obtains

Z x Z y

∂v ∂v

u(x, y) = (t, y0 )dt − (x, t)dt + C1 .

x0 ∂y y0 ∂x

91

For Method 2, we change Step 1 with the following:

∂v ∂v

Step 1. Calculate f 0 (z) = (x, y) + i (x, y) (by (3.5 iii)).

∂y ∂x

y

Example 3.4.3. Consider v(x, y) = − 2xy, (x, y) 6= (0, 0). Find an

x2 + y 2

analytic function f = u + iv such that f (i) = i.

Solution. No matter what method we use we should verify that v is a

harmonic function. This is an exercise for the reader.

Method 1. We have that

∂v x2 + y 2 − y · 2y x2 − y 2

(x, y) = − 2x = − 2x,

∂y (x2 + y 2 )2 (x2 + y 2 )2

and

∂v −y · 2x −2xy

(x, y) = 2 − 2y = − 2y.

∂x (x + y 2 )2 (x2 + y 2 )2

∂u ∂v

From the second Cauchy-Riemann condition, = − , it follows that

∂y ∂x

∂u −2xy

= 2 − 2y.

∂y (x + y 2 )2

Z

2xy 1

u(x, y) = 2 2 2

+ 2y dy + C(x) = −x · 2 2

+ y 2 + C(x).

(x + y ) x +y

∂u ∂v

The first Cauchy-Riemann condition, = , leads to

∂x ∂y

x2 + y 2 − 2x2 x2 − y 2

0

− + C (x) = 2 − 2x,

(x2 + y 2 )2 (x + y 2 )2

which is equivalent to

x2 − y 2 0 x2 − y 2

+ C (x) = − 2x,

(x2 + y 2 )2 (x2 + y 2 )2

92

−x

We find that u(x, y) = + y 2 − x2 + C1 and

x2

+ y2

−x 2 2 y

f (z) = u + iv = 2 + y − x + C1 + i − 2xy

x + y2 x2 + y 2

x − iy

=− 2 + y 2 − x2 − 2ixy + C1

x + y2

1

= − − z 2 + C1 .

z

1

By imposing the condition f (i) = i, one can find − − i2 + C1 = i, so

i

C1 = −1.

1

The analytic function is f (z) = − − z 2 − 1, z 6= 0.

z

Method 2. We follow the algorithm presented before.

Step 1. Calculate

∂v ∂v

f 0 (z) = (x, y) + i (x, y).

∂y ∂x

We have that

∂v x2 + y 2 − y · 2y x2 − y 2

(x, y) = − 2x = − 2x,

∂y (x2 + y 2 )2 (x2 + y 2 )2

and

∂v −y · 2x −2xy

(x, y) = 2 − 2y = − 2y,

∂x (x + y 2 )2 (x2 + y 2 )2

so

x2 − y 2

0 −2xy

f (z) = 2 − 2x + i − 2y ;

(x + y 2 )2 (x2 + y 2 )2

Step 2. Replace y with 0 in f 0 (z). Then z = x + iy becomes z = x and

x2 1

f 0 (x) = 4

− 2x + i · 0 = 2 − 2x;

x x

Step 3. Integrate f 0 (x) with respect to x. It follows that

Z

1 1

f (x) = 2

− 2x dx = − − x2 + C,

x x

93

where C is a constant;

1

Step 4. Replace x by z, thus f (z) = − − z 2 + C;

z

1 2

Step 5. Replace z with i, so − − i + C = i and C = −1.

i

1

The analytic function is f (z) = − − z 2 − 1, z 6= 0.

z

3.5 Exercises

E 15. Find the real part of the complex number z (i.e. Re z), if

a) z = (1 + i)2 sin(π + i);

2

π

b) z = cos i + .

4

Solution. a) We have that (1 + i)2 = 1 + 2i − 1 = 2i and

sin(π + i) = =

2i 2i

e−1 (cos π + i sin π) − e1 (cos π − i sin π))

=

2i

−1

e−e

= .

2i

e − e−1

Then z = (1 + i)2 sin(π + i) = 2i = e − e−1 ∈ R, so Re z = z = e − e−1 ;

2i

b) We have that

i(i+ π ) π 2 −1+i π 2 −2+i π

1−i π4 2−i π2

e 4 + e−i(i+ 4 )

e 4 + e e 2 + e +2

z= = =

2 2 4

−2 π π 2 π π

e (cos 2 + i sin 2 ) + e (cos 2 − i sin 2 ) + 2

=

4

ie−2 − ie2 + 2 e−2 − e2

1

= = +i ,

4 2 4

1

so Re z = .

2

W 13. Find the imaginary part of the complex number z (i.e. Im z), if

94

π π

a) z = (1 − 2i) cos − sin +i ;

6 4

2

π 2

π

b) z = cos i + − sin i + .

6 6

√ π π

!

3 ei( 4 +i) − e−i( 4 +i)

z = (1 − 2i) −

2 2i

√ π π

−1 π

π

!

3 cos 4

+ i sin 4

e − cos − 4

+ i sin − 4

e

= (1 − 2i) −

2 2i

√ √

2 −1

√

2 −1

!

3 (e − e) + i (e + e)

= (1 − 2i) − 2 2

,

2 2i

√ √

√ 3 2 −1 2

hence Im z = − 3 + e + e;

4 4

b) We have that

π π

e−2+i 3 + e2−i 3

z= ,

2

√

3

so Im z = − sinh 2.

2

2 cos z

a) f (z) = , z 6= −2;

z+2

eiz + e−iz

2 cos z 2 eiz + e−iz

f (z) = = 2 = .

z+2 z+2 z+2

95

By taking z = x + iy, one obtains

f (z) = =

x + iy + 2 (x + 2) + iy

−y

e (cos x + i sin x) + ey (cos x − i sin x)

=

(x + 2) + iy

cos x(e + e ) + i sin x(e−y − ey )

y −y

= .

(x + 2) + iy

ey + e−y ey − e−y

Using cosh y = and sinh y = (hyperbolic sine and cosine),

2 2

it follows that

2 cos x cosh y − 2i sin x sinh y

f (z) = .

(x + 2) + iy

By amplifying with the conjugate of (x + 2) + iy, one finds

2[(x + 2) − iy](cos x cosh y − sin x sinh y)

f (z) = ,

(x + 2)2 + y 2

so

−(x + 2) sin x sinh y − y cos x cosh y

Im f = 2 ;

(x + 2)2 + y 2

b) Using the definitions of complex functions sin and cos, it follows that

f (z) = − .

2i 2

By taking z = x + iy, then z̄ = x − iy and by replacing both into f , we

get that

e−x+iy − ex−iy e−2y+2ix + e2y−2ix

f (x, y) = −

2i 2

e−x (cos y + i sin y) − ex (cos y − i sin y)

=

2i

−2y

e (cos(2x) + i sin(2x) + e2y (cos(2x) − i sin(2x)

−

2

sin y(e−x + ex ) − i cos y(e−x − ex )

=

2

cos(2x)(e−2y + e2y + i sin(2x)(e−2y − e2y )

− ,

2

96

hence

cos y(e−x − ex ) sin(2x)(e−2y − e2y

Im f = − −

2 2

= cos y sinh x + sin(2x) sinh(2y).

sin z

b) f (z) = , z 6= 0.

z2

Answer. a) Im f = sin x(− sinh y + sinh(1 − y));

eiz − e−iz − cos x sinh y + i sin x cosh y

b) f (z) = = , hence

2iz 2 −2xy + i(x2 − y 2 )

Im f = .

(x2 + y 2 )2

a) sin z = 2i;

eiz − e−iz

= 2i ⇔ eiz − e−iz = −4.

2i

1

Denote t = eiz . It follows that t − = −4, so t2 + 4t − 1 = 0. Since

t√ √

∆ = 20, we have the solutions

√ t1 = −2 + 5 and t2 = −2 − 5.

From eiz = t1 = −2 + 5 we get that

√ √

iz = Ln (−2 + 5) = ln( 5 − 2) + i · 2kπ, k ∈ Z,

√

hence z = 2kπ − i ln( 5 − 2).

97

√

From eiz = t2 = −2 − 5 we get that

√ √

iz = Ln (−2 − 5) = ln( 5 + 2) + i(π + 2kπ), k ∈ Z,

√

hence z = (2k + 1)π − i ln( 5 + 2);

b) Using the definitions of sin and cos, the equation becomes

+i = 4i,

2 2i

π

which leads to eiz = 4i and to the solution z = −i ln 4 + + 2kπ, k ∈ Z.

2

a) cos z = 2;

π

b) tan z = 4i, z 6= + kπ, k ∈ Z.

2

√

Answer. a) z = −i ln(2 ± 3) + 2kπ, k ∈ Z;

eiz − e−iz 3

b) We have that iz −iz

= 4i ⇔ 5eiz + 3e−iz = 0 ⇒ e2iz = − ,

i(e + e ) 5

hence

1 3 π

z = − i ln + (2k + 1) , k ∈ Z.

2 5 2

a) f (z) = zez ;

b) f (z) = cos(z̄).

we can verify if the real and the imaginary parts of f are differentiable and

if the Cauchy-Riemann conditions (3.2) are fulfilled:

∂u ∂v ∂u ∂v

(x0 , y0 ) = (x0 , y0 ), (x0 , y0 ) = − (x0 , y0 )

∂x ∂y ∂y ∂x

at every (x0 , y0 ) ∈ R2 .

98

a) Taking z = x + iy, we have that

f (z) = (x + iy)ex (cos y + i sin y) = ex (x cos y − y sin y) + iex (x sin y + y cos y),

hence

u(x, y) = Re f = ex (x cos y − y sin y)

and

v(x, y) = Im f = ex (x sin y + y cos y).

Obviously, u and v are differentiable on R2 .

Now let us compute the partial derivatives necessary for Cauchy-Riemann

conditions (3.2) at an arbitrary point (x, y) ∈ R2 . We obtain that

∂u

= ex (x cos y − y sin y) + ex cos y = ex (x cos y + cos y − y sin y),

∂x

∂v

= ex (x cos y + cos y − y sin y),

∂y

∂u

= ex (−x sin y − sin y − y cos y),

∂y

∂v

= ex (x sin y + y cos y) + ex sin y = ex (x sin y + sin y + y cos y).

∂x

∂u ∂v

From the first two equalities it follows that = (i.e. the first

∂x ∂y

Cauchy-Riemann condition is satisfied) and from the last two, one obtains

∂u ∂v

+ = 0 (i.e. the second Cauchy-Riemann condition is true). Since

∂y ∂x

both Cauchy-Riemann conditions are verified at every point (x, y) ∈ R2 , the

function f is analytic in C;

b) Taking z = x + iy, we have that

ei(x−iy) + e−i(x−iy)

f (z) = cos(x + iy) = cos(x − iy) =

2

eix+y + e−ix−y ey (cos x + i sin x) + e−y (cos x − i sin x)

= =

2 2

ey + e−y ey − e−y

= cos x + i sin x = cos x cosh y + i sin x sinh y,

2 2

99

hence

∂u ∂v

If one calculates = − sin x cosh y and = sin x cosh y, obviously

∂x ∂y

∂u ∂v

6= , so the first Cauchy-Riemann condition is not verified at every

∂x ∂y

point (x, y) ∈ R2 , hence the function f is not analytic in C.

2

a) f (z) = ez + cos z;

Answer. a) f is analytic in C;

b) f is not analytic in C.

a) Re f = x cos y cosh x − y sin y sinh x, f (0) = 1;

y

b) Im f = y + arctan , (x, y) 6= (0, 0), f (i) = i.

x

Solution. For both exercises we will use Method 2 from Section 3.4 (since

it is faster). One is invited to solve the same exercises using also Method 1

(from the same section).

As a consequence of Theorem 3.4.1, one cannot determine an analytic

function f unless the given functions Re f , respectively Im f are harmonic;

so, first of all, we have to check this.

a) Let us prove that u(x, y) = Re f = x cos y cosh x − y sin y sinh x is a

∂ 2u ∂ 2u

harmonic function. For that, we calculate ∆u = + . Since

∂x2 ∂y 2

∂u

= cos y(cosh x + x sinh x) − y sin y cosh x,

∂x

∂u

= −x sin y cosh x − sinh x(sin y + y cos y),

∂y

100

∂ 2u

= 2 cos y sinh x + x cos y cosh x − y sin y sinh x,

∂x2

∂ 2u

= −x cos y cosh x − 2 cos y sinh x + y sin y sinh x,

∂y 2

we get that ∆u = 0, hence the necessary condition that u is harmonic is

fulfilled.

∂u ∂u

Step 1. Calculate f 0 (z) = (x, y) − i (x, y) (by (3.5) ii)). We have

∂x ∂y

that

f 0 (z) = cos y(cosh x + x sinh x) − y sin y cosh x−

= i(−x sin y cosh x − sinh x(sin y + y cos y));

Step 2. Replace y with 0 in f 0 (z).Then z = x + iy becomes z = x and

f 0 (x) = cosh x + x sinh x − i · 0 = cosh x + x sinh x.

Step 3. Integrate f 0 (x) with respect to x. It follows that

Z Z

f (x) = (cosh x + x sinh x)dx = sinh x + x sinh xdx.

Z Z

x sinh xdx = x(cosh x)0 dx

Z

= x cosh x − cosh xdx

= x cosh x − sinh x + C,

where C is a constant. So

f (x) = sinh x + x cosh x − sinh x + C = x cosh x + C;

Step 4. Replace x by z, thus f (z) = z cosh z + C;

Step 5. Replace z with 1, so C = 1.

The analytic function is f (z) = z cosh z + 1.

y

b) Let us prove that v(x, y) = Im f = y + arctan is a harmonic

x

2 2

∂ v ∂ v

function. For that, we calculate ∆v = + . Since

∂x2 ∂y 2

∂v 1 y 0 −y

= y 2 · = 2 ,

∂x x x x + y2

1+

x

101

∂v 1 y 0 x

=1+ y 2 · =1+ 2 ,

∂y x y x + y2

1+

x

∂ 2v y 2xy

2

= 2 2 2

· 2x = 2 ,

∂x (x + y ) (x + y 2 )2

∂ 2v −x −2xy

2

= 2 2 2

· 2y = 2 ,

∂y (x + y ) (x + y 2 )2

we get that ∆v = 0, hence the necessary condition that v is harmonic is

fulfilled.

∂v ∂v

Step 1. Calculate f 0 (z) = (x, y) + i (x, y) ((3.5) iii)). We have that

∂y ∂x

x y

f 0 (z) = 1 + −i 2 ;

x2 +y 2 x + y2

1

f 0 (x) = 1 + ;

x

Step 3. Integrate f 0 (x) with respect to x. It follows that

Z

1

f (x) = 1+ dx = x + ln x + C,

x

where C is a constant;

Step 4. Replace x by z, thus f (z) = z + Ln z + C;

Step 5. Replace z with i, so C = −Ln i.

The analytic function is f (z) = z + Ln z − Ln i, z 6= 0.

2 −y 2

c) Re f = ex cos(2xy), f (0) = 0;

ay

d) Im f = , (x, y) 6= (0, 0), a 6= 0, f (i) = 1;

x2 + y2

102

e) Im f = ex+y sin(x − y), f (0) = i;

g) Re f = ϕ(x2 − y 2 ), ϕ ∈ C 2 ;

y

h) Im f = ϕ , (x, y) 6= (0, 0), ϕ ∈ C 2 ;

x

i) Re f = x2 − y 2 + ex ϕ(y), ϕ ∈ C 2 ;

j) Re f + Im f = ϕ(x2 + y 2 ), ϕ ∈ C 2 ;

k) Re f + ϕ(Im f ) = x2 − y 2 , ϕ ∈ C 2 .

of the logarithm;

b) f (z) = −i(z sinh z + 1);

2

c) f (z) = ez ;

a

d) f (z) = − + 1 − ai;

z

e) Since

ex (sin x + cos x)

Z

ex cos dx =

2

and

ex (sin x − cos x)

Z

ex sin dx = ,

2

one can find

ez (sin z − cos z) ez (sin z + cos z)

f (z) = (1 + i) + (i − 1) + i + 1;

2 2

f) f (z) = z 2 ez ;

g) Denote by t = x2 − y 2 . Let us impose u(x, y) = Re f to be a harmonic

function. We have that

∂u ∂u

= 2xϕ0 (t), = −2yϕ0 (t),

∂x ∂y

103

and

∂ 2u 2 00 0 ∂ 2u

= 4x ϕ (t) + 2ϕ (t), = 4y 2 ϕ00 (t) − 2ϕ0 (t).

∂x2 ∂y 2

This implies that ∆u = 4tϕ00 (t) = 0, hence ϕ00 (t) = 0 and integrating with

respect to t, it follows that ϕ(t) = c1 t + c2 , where c1 and c2 are arbitrary real

constants.

If the function ϕ has not the specified above form, we can not find the

analytic function f .

If ϕ(t) = c1 t + c2 , then u(x, y) = c1 (x2 − y 2 ) + c2 and one can find

f (z) = c1 z 2 + C, C ∈ C;

y

h) Denote t = . Let us impose v(x, y) = Imf to be a harmonic function.

x

Then

∂v y 0 ∂v 1

= − 2 ϕ (t), = ϕ0 (t)

∂x x ∂y x

and

∂ 2v y 2 00 2y 0 ∂ 2v 1

2

= 4 ϕ (t) + 3 ϕ (t), 2

= 2 ϕ00 (t).

∂x x x ∂y x

2

1 y

2y

This implies that ∆u = 2 2 + 1 ϕ00 (t) + 3 ϕ0 (t) = 0 or (t2 + 1)ϕ00 (t) +

x x x

2tϕ0 (t) = 0.

ϕ00 (t) 2t

The last equation is equivalent to 0 =− 2 and integrating with

ϕ (t) t +1

respect to t, it follows that ln ϕ0 (t) = − ln(t2 + 1) + c1 , hence ln ϕ0 (t) =

c1 c1

ln 2 and ϕ0 (t) = 2 . Integrating once again with respect to t, one

t +1 t +1

obtains ϕ(t) = c1 arctan t + c2 , where c1 , c2 are arbitrary real constants.

If the function ϕ has not the specified above form, we can not find the

analytic function f .

y

If ϕ(t) = c1 arctan t + c2 , then v(x, y) = c1 arctan + c2 and one can find

x

f (z) = c1 Ln z + C, C ∈ C;

i) Let us impose u(x, y) = Re f to be a harmonic function. It follows that

∆u = ex (ϕ00 (y) + ϕ(y)) = 0, hence ϕ00 (y) + ϕ(y) = 0.

One recognizes this form as a differential equation of order 2, linear,

homogenous and with constant coefficients and having the solution ϕ(y) =

c1 cos y + c2 sin y, where c1 , c2 are arbitrary real constants.

If the function ϕ has not the specified above form, we can not find the

analytic function f .

104

If ϕ(y) = c1 cos y + c2 sin y, it follows that

u(x, y) = x2 − y 2 + ex (c1 cos y + c2 sin y)

and f (z) = z 2 + ez (c1 − ic2 ) + C, C ∈ C;

j) Denote t = x2 + y 2 . Using the hypotheses u(x, y) + v(x, y) = ϕ(t), one

can determine the following:

∂u ∂v ∂u ∂v

+ = 2xϕ0 (t), + = 2yϕ0 (t),

∂x ∂x ∂y ∂y

∂ 2u ∂ 2v 2 00 0 ∂ 2u ∂ 2v

+ = 4x ϕ (t) + 2ϕ (t), + = 4y 2 ϕ00 (t) + 2ϕ0 (t).

∂x2 ∂x2 ∂y 2 ∂y 2

It follows that ∆u + ∆v = 4tϕ00 (t) + 4ϕ0 (t). But, the functions u and v are

both harmonic functions, so ∆u = 0 and ∆v = 0, hence

ϕ00 (t) 1

tϕ00 (t) + ϕ0 (t) = 0 ⇔ 0

= − ⇔ ln ϕ0 (t) = − ln t + c1 ,

ϕ (t) t

so

c1

ϕ0 (t) = ⇒ ϕ(t) = c1 ln t + c2 ,

t

where c1 , c2 are arbitrary real constants.

So, u + v = c1 ln(x2 + y 2 ) + c2 . We derive this with respect to x and with

respect to y. One obtains

∂u ∂v 2c1 x

+ = 2

x + y2

∂x ∂x

∂u ∂v 2c1 y

+ = 2

∂y ∂y x + y2

Since the function f is analytic, using the Cauchy-Riemann conditions

(3.2), it follows that

∂u ∂u 2c1 x

− = 2

x + y2

∂x ∂y

∂u ∂u 2c1 y

+ = 2

∂y ∂x x + y2

∂u ∂u

By solving this system with the unknowns and , one obtains

∂x ∂y

∂u c1 (x + y) ∂u c1 (y − x)

= 2 2

, = 2

∂x x +y ∂y x + y2

105

and

∂u ∂u c1 (x + y) c1 (y − x)

f 0 (z) = −i = 2 2

−i 2 .

∂x ∂y x +y x + y2

It follows that f (z) = c1 (1 + i)Ln z + C, C ∈ C;

c1

k) f (z) = (1 + i)z 2 2 + C, c1 ∈ R, C ∈ C.

c1 + 1

2 2

Im f = ex −y (x2 − y 2 ).

∂v 2 2 ∂v 2 2

= 2xex −y (x2 − y 2 + 1), = −2yex −y (x2 − y 2 + 1),

∂x ∂y

∂ 2v 2 2

2

= 2ex −y (2x4 − 2x2 y 2 + 5x2 − y 2 + 1),

∂x

∂ 2v 2 2

2

= 2ex −y (−2y 4 + 2x2 y 2 + 5y 2 − x2 − 1),

∂y

2 2

one obtains ∆v = 4ex −y (x2 +y 2 )(x2 −y 2 +2) 6= 0, if x2 −y 2 +2 6= 0, hence the

function u is not harmonic on R2 and, as a consequence of Theorem 3.4.1,

one can not determine an analytic function f , unless Im f is a harmonic

function.

106

Chapter 4

Complex Integration

Z

Complex integrals f (z)dz are line integrals in the complex plane, where

Γ

f is a single-valued complex function defined on an open subset of C and it

is integrated over a piecewise smooth curve in the complex plane.

The most important relations between the analiticity of a function and

the value of a specific integral over a closed contour are given by the Cauchy

theorems (1814, 1825, 1831).

Complex line integrals are used, for example, in quantum mechanics, in

determining probability amplitudes in quantum scattering theory etc..

Let D be an open subset of C and f : D ⊂ C → C be a single-valued

complex function. According to (2.4) we have that f (z) = u(x, y) + iv(x, y),

z = x + iy.

Consider Γ ⊂ D to be a piecewise smooth curve with the parametrization

Γ : (x = x(t), y = y(t)), t ∈ [a, b]. The functions x(t) and y(t) are piecewise

C 1.

Since a complex number can be written z = (x, y) or z = x + iy, then Γ

has the equivalent parametrization z = z(t) = x(t) + iy(t), t ∈ [a, b].

Consider a partition δ = (a = t0 < t1 < · · · < tj−1 < tj < tj+1 < · · · <

tn = b) of the interval [a, b] and a set (τj ) of intermediary points τj ∈ [tj−1 , tj ],

j = 1, n.

107

We associate to f , δ and (τj ) the integral sum

n

X

σδ (f ) = f (ζj )(zj − zj−1 ),

j=1

where

zj = z(tj ) = x(tj ) + iy(tj ) =: xj + iyj

and

ζj = z(τj ) = x(τj ) + iy(τj ) =: ξj + iηj .

1≤j≤n

partition δ 0 is said to be finer than δ, and one writes δ 0 δ, if δ 0 contains all

the points tj of δ.

Now let us consider sequences of partitions (δk )k∈N∗ with lim ν(δk ) = 0

k→∞

and such that δk+1 δk , ∀k ∈ N∗ .

Definition 4.1.1. If for any sequence of partitions (δk )k∈N∗ and for any sets

of intermediary points (τjk )k∈N∗ the sequence of the integral sums σδk (f ) has

a finite limit I, then f is said Zto be integrable over the curve Γ.

The limit I is denoted by f (z)dz and it is called the (line) integral of

Γ

the function f over the curve Γ.

108

Theorem 4.1.2. If f is piecewise continuous function on Γ, then f is inte-

grable over Γ and

Z Z Z

f (z)dz = udx − vdy + i vdx + udy. (4.1)

Γ Γ Γ

Proof. Let us calculate the integral sums; the indices k are omitted, except

in δk . We have that

n

X

σδk (f ) = f (ζj )(zj − zj−1 )

j=1

Xn

= [u(ξj , ηj ) + iv(ξj , ηj )][xj − xj−1 + i(yj − yj−1 )]

j=1

Xn

= [u(ξj , ηj )(xj − xj−1 ) − v(ξj , ηj )((yj − yj−1 )]+

j=1

Xn

+i [u(ξj , ηj )(yj − yj−1 ) + v(ξj , ηj )((xj − xj−1 )].

j=1

Here we have the integral sums for two real line integrals over Γ. Since

u and v are piecewise continuous on Γ, they are integrable over Γ, hence the

limits of the

Z integral sums as Z k → ∞ exist, are finite and they are the line

integrals udx − vdy and vdx + udy. It follows that lim σδk (f ) exists,

Γ k→∞

Z Γ

is finite and it is equal to f (z)dz.

Γ

One obtains (4.1) by taking the limit as k → ∞ in the equalities above.

Remark 4.1.3. Relation (4.1) shows that the complex integral is a pair

of real line integrals. This implies that the complex integral inherits the

properties of the real one. For instance we have that

Z Z Z

f (z)dz = f (z)dz + f (z)dz,

Γ1 ∪Γ2 Γ1 Γ2

Z Z Z

(af (z) + bg(z))dz = a f (z)dz + b g(z)dz,

Γ Γ Γ

109

where a, b ∈ C, Z Z

f (z)dz = − f (z)dz,

BA AB

where AB is an arc of a curve.

The length of a curve Γ is denoted by lΓ and it is defined as the supremum

of the lengths of all inscribed polygonal paths. One can show that

Z b

lΓ = |z(t)|dt,

a

Proposition 4.1.4. If Γ is a piecewise C 1 curve, f is an integrable function

over Γ and there exists M > 0 such that |f (z)| ≤ M , for every z ∈ Γ, then

Z

f (z)dz ≤ M lΓ . (4.2)

Γ

|f (z)| ≤ M,

then

Xn

|σδk (f )| = f (ζj )(zj − zj−1 )

j=1

n

X

≤ |f (ζj )| |zj − zj−1 |

j=1

n

X

≤M |zj − zj−1 | .

j=1

Using the fact that |zj − zj−1 | is the distance between the points zj and

n

X

zj−1 , we have that |zj − zj−1 | is the length of the polygonal line corre-

j=1

sponding to the partition δk (see Figure 4.2).

These lengths form an increasing sequence and their limit is lΓ . Taking

the limit as k → ∞ (with δk+1 δk , ∀k ∈ N∗ and lim ν(δk ) = 0), one

k→∞

obtains (4.2) from the above inequality.

110

Figure 4.2: The Partition δ

sequence of piecewise class C 1 functions on Γ which converge uniformly on

Γ to the function f , then

Z Z

lim fn (z)dz = f (z)dz. (4.3)

n→∞ Γ Γ

zj ∈Γ

lim Mn = 0. Then, using (4.2), we get that

n→∞

Z Z Z

f (z)dz − fn (z)dz = (fn (z) − f (z))dz ≤ M lΓ ,

Γ Γ Γ

Two important relations between the analiticity of a function and the

value of a specific integral over a closed contour are pointed out in this

section.

Theorem 4.2.1 (Cauchy’s Fundamental Theorem). If f is an analytic func-

tion on a simply connected domain D and Γ ⊂ D is a closed contour, then

I

f (z)dz = 0. (4.4)

Γ

111

Proof. Let f (z) = u(x, y) + iv(x, y), z = x + iy, u, v ∈ C 1 (D) and ∆ the

domain bounded by Γ. (Figure 4.3)

we have that

I I I

f (z)dz = udx − vdy + i vdx + udy.

Γ Γ Γ

I ZZ

∂Q ∂P

P dx + Qdy = − dxdy,

Γ ∆ ∂x ∂y

for both real line integrals (the condition that u and v are of class C 1 on a

neighborhood of ∆ holds), hence

I ZZ ZZ

∂v ∂u ∂u ∂v

f (z)dz = − − dxdy + i − dxdy.

Γ ∆ ∂x ∂y ∆ ∂x ∂y

By hypothesis, f is analytic, hence u and v verify the Cauchy-Riemann

conditions on ∆ ⊂ D:

∂v ∂u ∂v ∂u

=− , = ,

∂x ∂y ∂y ∂x

which imply that

∂v ∂u ∂u ∂v

− − = 0, − = 0.

∂x ∂y ∂x ∂y

I

Therefore both double integrals are equal to 0 and f (z)dz = 0.

Γ

112

The following similar result holds true.

main D bounded by the closed

I contour Γ and it is continuous on the closed

domain D = D ∪ Γ, then f (z)dz = 0.

Γ

Now let us consider the case of n-uply connected domains (Figure 4.5

(a)).

f is an analytic function in a multiply connected domain D bounded from

without by the closed contour Γ and from within by the contours Γ1 , Γ2 , . . . , Γn

and f is continuous on the closed domain D, then

I n I

X

f (z)dz = f (z)dz. (4.5)

Γ j=1 Γj

Proof. We will use an induction type argument. First consider the case n = 1

(Figure 4.4 (a)).

(a) The Doubly Connected Do- (b) The Simply Connected Domain

main D D \ AB

Connected One

(Cauchy’s Fundamental Theorem). We transform D into the simply con-

nected domain D \ AB by considering a cut AB (an arc of a curve AB

(Figure 4.4 (b)).

113

Instead of Γ, the boundary of D \ AB is ∂(D \ AB) = Γ ∪ AB ∪ Γ−1 ∪ BA,

−

where the sign − on Γ1 indicates that Γ1 is traversed in clockwise sense

(because the trigonometric sense for ∂(D \ AB) is the sense for which the

domain is always on the left).

Using Proposition 4.2.2, Iwe can now apply Theorem 4.2.1 (Cauchy’s Fun-

damental Theorem), hence f (z)dz = 0, i.e.

Γ

I Z I Z

f (z)dz + f (z)dz + f (z)dz + f (z)dz = 0.

Γ AB Γ1 − BA

Z Z I I

Since f (z)dz = − f (z)dz and f (z)dz = − f (z)dz, one

BA AB Γ1 − Γ1

obtains I I

f (z)dz = f (z)dz,

Γ Γ1

Assume that formula (4.5) is true for n − 1 and let us consider the case

of n inner contours Γj (Figure 4.5 (a)). We will apply an induction type

argument, thus we begin by isolating the curve Γn by a cut AB (Figure 4.5

(b)). Z

Since Γ = BM A ∪ AN B and we can add and subtract f (z)dz and

AB

we obtain that

I Z Z

f (z)dz = f (z)dz + f (z)dz

Γ ZBM A ZAN B Z Z

= f (z)dz + f (z)dz + f (z)dz + f (z)dz

IBM A AB

I BA AN B

= f (z)dz + f (z)dz.

BM AB BAN B

Finally, we can apply the induction assumption for the first integral and

the case n = 1 for the second integral, hence

I n−1 I

X I

f (z)dz = f (z)dz + f (z)dz

Γ j=1 Γj Γn

Xn I

= f (z)dz.

j=1 Γj

114

(a) The n-uply Connected Domain D

Connected One

I

Example 4.2.4. Let us calculate the integrals In = (z − a)n dz, where

Γ

n ∈ Z and a ∈ C is an interior point of the domain bounded by the closed

contour Γ (Figure 4.6 (a)).

Case I. If n ≥ 0, then the function (z − a)n is a polynomial, hence an

analytic function in

I C. By Theorem 4.2.1 (Cauchy’s Fundamental Theorem),

the integral In = (z − a)n dz = 0.

Γ I

1 1

Case II. If n = −1, i.e. I1 = dz, then the function is

Γ z −a z−a

analytic in the domain D \ {a} which is doubly connected ({a} is a lacuna).

Consider a circle of radius r centred at a, denotedI Γ1 (Figure 4.6

I (b)).

1 1

By Theorem 4.2.3, case n = 1, we have that dz = dz.

Γ z −a Γ1 z − a

115

(a) The Point a is an In- (b) A Circle Centred in a, Included

terior Point of D in D

Z 2π Z 2π

rieiθ

I

1

dz = dθ = i dθ = 2πi,

Γ z −a 0 reiθ 0

Case III. If n < −1, then let us denote −n by m > 1. Then, as in Case

II, we have that

I I I

n dz dz

In = (z − a) dz = m

= m

Γ Γ (z − a) Γ1 (z − a)

Z 2π Z 2π

rieiθ dθ i

= m (eiθ )m

= m−1 e−i(m−1)θ dθ

0 r r 0

i 1 2π

i(1−m)θ 1

= m−1 · e = m−1 (ei(1−m)2π − e0 ).

r i(1 − m) 0 r (1 − m)

Since the exponential eiz is periodic of period 2π, we have that ei(1−m)2π = e0 ,

so In = 0.

We will see that analiticity is a strong property which establishes a con-

nection between the values of an analytic function on a closed contour and

the values of the function and its derivatives of any order in the domain

bounded by that contour.

Theorem 4.2.5 (Cauchy’s Integral Formula). Let f be an analytic function

in a simply connected domain D and Γ ⊂ D a closed contour. Denote by ∆

the domain bounded by Γ. Then, for every a ∈ ∆,

116

I

1 f (z)

f (a) = dz. (4.6)

2πi Γ z−a

Proof. Consider an arbitrary constant > 0, fixed for the entire proof.

Since f is analytic in D, it is continuous

in D, hence f is continuous at

the point a ∈ D. Then there exists δ = δ > 0 such that ∀z ∈ D with

4π

|z − a| < δ we have that |f (z) − f (a)| < .

4π

Let r be arbitrary and fixed such that 0 < r < δ and let Γr be the circle

of radius r centred in a (Figure 4.7 (b)).

∆⊂D

a

Figure 4.7: Suggestive Drawings for the Proof of the Theorem 4.2.5

Then, for any z ∈ Γr , we obtain that |z −a| = r < δ, hence |f (z)−f (a)| <

. It follows that

4π

f (z) − f (a)

z − a < 4πr .

117

Using Proposition 4.1.4 we have that

Z

f (z) − f (a) ≤ lΓr = 2πr = < .

dz

Γr z−a 4πr 4πr 2

Let us summarize what we have done so far. We have proved the following

statement: ∀ > 0, ∃δ > 0 such that ∀r > 0 with |r − 0| < δ we have that

I

f (z) − f (a)

dz − 0 < ,

Γr z−a

f (z) − f (a)

I

that is lim dz = 0.

r→0 Γ

r

z−a

f (z)

Now the function is analytic in the doubly connected domain given

z−a

by ∆ \ {a}. Using Theorem 4.2.3 we obtain that

I I I

f (z) f (z)

dz = dz = dz

Γ z −a Γr z − a Γr z−a

f (z) − f (a)

I I

1

= dz + f (a) dz.

Γr z−a Γr z − a

The last integral is equal to 2πi (see Example 4.2.4), hence, by taking the

limit as r → 0, we get that

f (z) − f (a)

I I

f (z)

lim dz = lim dz + lim 2πif (a),

r→0 Γ z − a r→0 Γ z−a r→0

r

so I

f (z)

dz = 0 + 2πif (a) = 2πif (a). (4.7)

Γ z−a

The last formula is equivalent to (4.6) and the proof is done.

Remark 4.2.6. Cauchy’s Integral Formula (4.6) shows that the values of an

analytic function f over a closed contour Γ determine the values of f in the

whole domain bounded by Γ.

From a practical point of view, (4.7) gives a method to calculate integrals

with the indicated structure simply by multiplying the value of the numerator

at a with 2πi.

118

Remark 4.2.7. The function f being analytic in D, it is continuous in D.

Therefore lim f (u) = f (a). By (4.7) we have that

u→a

I I

f (z) f (z)

lim dz = 2πi lim f (u) = 2πif (a) = dz,

u→a Γ z−u u→a Γ z−a

i.e. Cauchy’s integral is continuous at a.

analytic function in a simply connected domain D and Γ ⊂ D a closed con-

tour. Denote by ∆ the domain bounded by Γ. Then, ∀a ∈ ∆, ∀n ∈ N∗ we

get that I

(n) n! f (z)

f (a) = dz. (4.8)

2πi Γ (z − a)n+1

Proof. We will perform the proof by induction. First we consider the case

when n = 1. By Definition 3.1.1, the derivative of f at a verifies (3.1), i.e.

ω(a, h)

where lim = 0. Thus the derivative can be calculated by the usual

h→0 h

formula

f (a + h) − f (a)

f 0 (a) = lim .

h→0 h

Let us calculate the above ratio by using the integral representation (4.6)

of f . We obtain the following:

f (a + h) − f (a)

I I

1 1 f (z) 1 f (z)

= dz − dz

h h 2πi Γ z − a − h 2πi Γ z − a

I

1 1 1

= f (z) − dz

2πih Γ z−a−h z−a

I

1 h

= f (z) dz.

2πih Γ (z − a)(z − a − h)

Taking the limit as h → 0 (the limit exists since f is analytic (see Remark

4.2.7)) we have that

I

0 1! h

f (a) = f (z) dz,

2πi Γ (z − a)2

119

i.e. (4.8) is true for n = 1.

Now we prove the induction step. Let us assume that (4.8) is true for

k − 1 and we will show that it is true for k. Since f (k) (z) = (f (k−1) (z))0 , as

in case n = 1, f (k) (z) is the limit, as h → 0, of the ratio

f (k−1) (a + h) − f (k−1) (a)

.

h

Using the induction assumption, this ratio is equal to

1 (k − 1)! (k − 1)!

I I

f (z) f (z)

k

dz − k

dz =

h 2πi Γ (z − a − h) 2πi Γ (z − a)

(k − 1)!

I

1 1

= f (z) − dz.

2πih Γ (z − a − h)k (z − a)k

By the binomial formula

k k k k−1 k

(A − B) = A − A B + ··· + (−1)k B k

1 k

for ((z − a) − h)k one obtains

1 1 N

k

− k

= ,

(z − a − h) (z − a) (z − a − h)k (z − a)k

where

k kk k−1 k k−2 2 k

N = (z−a) −(z−a) + (z−a) h− (z−a) h +· · ·+ (−1)k hk ,

1 2 k

k

k−1 2

i.e. N = k(z − a) h + h C(h), where lim C(h) = − (z − a)k−2 . We can

h→0 2

reduce h and we obtain that

f (k−1) (a + h) − f (k−1) (a)

=

h

f (z)k(z − a)k−1

I

(k − 1)!

I

f (z)

= k k

dz + hC k k

dz .

2πi Γ (z − a − h) (z − a) Γ (z − a − h) (z − a)

Taking the limit as a → 0, one obtains (since k(k − 1)! = k!)

I

(k) k! f (z)

f (a) = dz,

2πi Γ (z − a)k+1

hence (4.8) is true for n ≥ 1.

120

Remark 4.2.9. The above theorem shows that an analytic function f has

derivatives of any order and the values of the function over a contour Γ

determine the values of all derivatives in the whole domain bounded by Γ.

From a practical point of view, (4.8) gives the following formula for inte-

grals of this structure

I

f (z) n! (n)

n+1

dz = f (a). (4.9)

Γ (z − a) 2πi

Because the basic theory of series of complex numbers and series of func-

tions of a complex variable is largely similar to the corresponding theory for

their counterparts from Calculus (see [33]), we will not present this theory,

but we will use some of its elements such as the Cauchy-Hadamard theorem.

series zn.

n≥0

The sequence of the partial sums is (Sn )n≥0 , where

1 − z n+1

Sn = 1 + z + z 2 + · · · + z n = , for z 6= 1.

1−z

For z = 1, Sn = n + 1 is a divergent sequence, hence the series is divergent.

Consider the sequence (z n )n≥1 . We have the following three possibilities:

n→∞ n→∞ n→∞

n→∞ n→∞ n→∞

point at infinity);

exist.

Therefore, for |z| < 1 the geometric series is convergent and its sum is

1 − z n+1 1

S = lim Sn = lim = .

n→∞ n→∞ 1 − z 1−z

121

We have obtained that X 1

zn = . (4.10)

n≥0

1−z

For |z| ≥ 1 the geometric series is divergent.

n n

Xany r ∈ (0, 1), in the disk

Moreover, for X|z| ≤ r we have that |z | ≤ r

and the series rn is convergent, hence z n is uniformly convergent in

n≥0 n≥0

any disk |z| ≤ r, thus the geometric series can be derived or integrated term

by term.

A result that is specific to the complex framework is the following theo-

rem.

Theorem 4.3.2 (Weierstrass). If the functions fn (z), n ∈ N∗ are analytic in

∞

X

a domain D and the series fn (z) is uniformly convergent to the function

n=1

f (z) in any closed subdomain D1 of D, then

i) f (z) is analytic in the domain D;

∞

X

ii) f (m)

(z) = fn(m) (z), ∀m ∈ N∗ ;

n=1

∞

X

iii) the series fn(m) (z) is uniformly convergent in any closed subdomain

n=1

D1 of D.

Let us denote by DR (a) the disk of radius R > 0 centred at the point

a ∈ C, i.e. DR (a) = {z ∈ C : |z − a| < R} (Figure 4.8 (a)).

If f is an analytic function in a disk DR (a), then a is said to be an ordinary

point of f .

Theorem 4.3.3. If f is an analytic function in DR (a), then there exists

cn ∈ C, n ∈ N, such that

∞

X

f (z) = cn (z − a)n , ∀z ∈ DR (a). (4.11)

n=0

122

Moreover,

f (n) (a)

cn = , n ∈ N. (4.12)

n!

Proof. Let z ∈ DR (a). Consider a disk Dρ (a) with ρ < R and let Γρ be its

boundary, i.e. the circle of radius ρ centred at a (Figure 4.8 (b)).

Since f is analytic, we can represent the value f (z) using Theorem 4.2.5

(Cauchy’s Integral Formula). We get that

I

1 f (u)

f (z) = du. (4.13)

2πi Γρ u − z

123

∞

z − a

< 1 and we can use the geometric series 1 =

X

u − a q n with the

1−q n=0

z−a

convergence condition |q| < 1, where q = .

u−a

1

We will expand in a power series. We have that

u−z

1 1 1 1

= = ·

u−z u − a − (z − a) u−a 1− −a z

u−a

∞ n X ∞

1 X z−a (z − a)n

= = n+1

.

u − a n=0 u − a n=0

(u − a)

∞ n

z − a |z − a| X |z − a|

Since = < 1, the real series is convergent

u − a ρ n=0

ρ

∞ n

X z−a

(again using the geometric series) and it dominates the series ,

n=0

u − a

hence the latter is uniformly convergent for u ∈ Γρ . Then we can replace

∞

1 X (z − a)n

by n+1

in (4.13) and we can integrate term by term. One

u−z n=0

(u − a)

obtains

I

1 f (u)

f (z) = du

2πi Γρ u − z

∞

(z − a)n

I

1 X

= f (u) du

2πi Γρ n=0

(u − a)n+1

∞ I !

X 1 f (u)

= n+1

du (z − a)n .

n=0

2πi Γρ (u − a)

I

1 f (u)

By denoting cn = du, one obtains

2πi Γρ (u − a)n+1

∞

X

f (z) = cn (z − a)n .

n=0

I

(n) n! f (z)

f (a) = dz,

2πi Γ (z − a)n+1

124

f (n) (a)

hence cn = .

n!

I

1 f (z)

cn = dz.

2πi Γρ (z − a)n+1

f (z)

The function is analytic on the so called punctured disk given

(z − a)n+1

by DR (a) \ {a}, which is a simply connected domain. Then, for any closed

contour Γ ⊂ DR (a) such that a belongs to the domain bounded by Γ (Figure

4.8 (c)), one obtains from Theorem 4.2.3 (Cauchy’s Theorem for Multiply

Connected Domains) the following formula:

I

1 f (z)

cn = dz. (4.14)

2πi Γ (z − a)n+1

∞

1 X

1. = z n , for |z| < 1;

1−z n=0

∞

z

X zn

2. e = , z ∈ C;

n=0

n!

∞

X (−1)n 2n+1

3. sin z = z , z ∈ C;

n=0

(2n + 1)!

∞

X (−1)n

4. cos z = z 2n , z ∈ C.

n=0

(2n)!

Consider f an analytic function in a punctured disk DR (a) \ {a}. In this

case, when f is not analytic at a, the point a is said to be an isolated singular

point (or singularity) of the function f (Figure 4.9 (a)).

125

Theorem 4.3.5. If f is an analytic function in DR (a)\{a}, then there exists

cn ∈ C, n ∈ Z, such that

∞

X

f (z) = cn (z − a)n , ∀z ∈ DR (a) \ {a}. (4.15)

n=−∞

Proof. Let z be any point in DR (a) \ {a}. Consider an annulus Aρ,r (a)

bounded by the circles Γρ and Γr centred at a, with r < ρ < R such that

z ∈ Aρ,r (a) (Figure 4.9 (b)).

y y

DR (a) DR (a)

Aρ,r (a)

Γρ

× × Γr

a a

z

x x

0 0

(a) An Isolated Singular Point (b) The Annulus

y y

DR (a) DR (a)

Γρ Γρ

z × Γr Γr ×

Γ

a ∆ a

B

A

x x

0 0

(c) Transformation into a Simply Con- (d) A Arbitrary Curve in the Annulus

nected Domain

apply Theorem 4.2.5 (Cauchy’s Integral Formula), we transform it into the

simply connected domain ∆ = Aρ,r (a) \ AB by considering a cut AB (Figure

4.9 (c)). The boundary of ∆ is ∂∆ = Γρ ∪ AB ∪ Γ− r ∪ BA. We have that

I I Z I Z !

1 f (u) 1

f (z) = du = + − + ,

2πi ∂4 u − z 2πi Γρ AB Γr BA

126

hence I I

1 f (u) 1 f (u)

f (z) = du − du. (4.16)

2πi Γρ u−z 2πi Γr u−z

From the proof of Theorem 4.3.3 we get that

I ∞

1 f (u) X

du = cn (z − a)n ,

2πi Γρ u − z n=0

where I

1 f (z)

cn = dz (4.17)

2πi Γ (z − a)n+1

and Γ is an arbitrary closed contour which encircles the point a (see Figure

4.9 (d)).

1

For the second integral in (4.16) we will write the ratio − as a

u−z

series (using the geometric

series).

Since u ∈ Γr and z ∈ Aρ,r (a), then

u − a

|u − a| < |z − a|, hence < 1.

z − a

u−a

The convergence condition, |q| < 1 for q = , holds and

z−a

1 1 1 1 1

− = = =

u−z z−u z − a − (u − a) z −a1− u−a

z−a

∞ n X ∞ n

1 X u−a (u − a)

= = .

z − a n=0 z − a n=0

(z − a)n+1

In order to unify the results that we have obtained so far with (4.17), we

change the index of summation by defining m to be −n − 1. So we have that

m = −(n + 1), m = −1 for n = 0 and m → −∞ when n → ∞. Therefore

−∞ −1 −1

1 X (u − a)−(m+1) X (z − a)m X (z − a)n

− = = = .

u − z m=−1 (z − a)−m m=−∞

(u − a)m+1 n=−∞ (u − a)n+1

1

If we replace − in (4.16) and if we integrate term by term, then

u−z

I −1 I

1 f (u) X 1 f (u)

du = n+1

du (z − a)n ,

2πi Γr u − z n=−∞

2πi Γr (u − a)

127

hence

I −1

1 f (u) X

− du = cn (z − a)n ,

2πi Γr u−z n=−∞

where I

1 f (z)

cn = dz. (4.18)

2πi Γr (z − a)n+1

f (z) f (z)

n+1

dz = n+1

dz for any closed contour Γ as in Figure

Γr (z − a) Γ (z − a)

4.9 (d). By (4.16), (4.17) and (4.18) we obtain that

∞

X −1

X

n

f (z) = cn (z − a) + cn (z − a)n , (4.19)

n=0 n=−∞

so ∞

X

f (z) = cn (z − a)n , (4.20)

n=−∞

where I

1 f (z)

cn = dz, n ∈ Z. (4.21)

2πi Γ (z − a)n+1

Remember that Γ is any closed contour such that a is the unique singular

point of f in the domain bounded by Γ.

The series (4.20) is called the Laurent Series of the function f in a punc-

tured neighborhood of a (or about a).

X∞ X−1

n

The series cn (z − a) and cn (z − a)n in (4.19) are called the

n=0 n=−∞

Taylorian Part and the Principal Part of the Laurent series, respectively.

With respect to the Taylorian part and the principal part we will be a able

to classify singular points. This follows in the next section.

128

4.4 Classification of Singular Points

Let a be a singular point of function f , i.e. f is not analytic at a.

Definition 4.4.1. The point a is called a removable singular point of f if

lim f (z) is finite.

z→a

From (4.20) we have that this is equivalent to cn = 0 for all negative

indices n, i.e. the principal part of the Laurent series is null. In this case,

lim f (z) = c0 and f can be extended to an analytic function on DR (a) by

z→a

f (a) = c0 .

sin z

Example 4.4.2. The function f (z) = has z = 0 as a removable point

z

sin z

since lim = 1. The Laurent series expansion is

z→0 z

1 z z3 z5 2n+1

sin z n z

f (z) = = − + + · · · + (−1) + ···

z z 1 3! 5! (2n + 1)!

z2 z4 z 2n

=1− + + · · · + (−1)n + ··· .

3! 5! (2n + 1)!

Therefore the principal part is null.

Poles

Definition 4.4.3. The point a is called a pole of order k of f , k ∈ N∗ , if

there exists a function h, analytic in a disk DR (a) with h(a) 6= 0 such that

h(z)

f (z) = .

(z − a)k

A pole of order k = 1 is said to be a simple pole.

Since h is analytic, it has a Taylor series expansion on DR (a), so

h(z) = c−k + c−k+1 (z − a) + · · · + c−1 (z − a)k−1 + c0 (z − a)k + c1 (z − a)k+1 + · · ·

and 0 6= h(a) = c−k . Then the Laurent series of f is

c−k c−k+1 c−1

f (z) = + + · · · + + c0 + c1 (z − a) + · · · ,

(z − a)k (z − a)k−1 (z − a)

hence the principal part of the Laurent series has a finite number of terms.

129

Essential Singular Points

Definition 4.4.4. The point a is called an essential singular point of f if it

is neither a removable singular point, nor a pole of f , hence if and only if the

principal part of the Laurent series of f has an infinite number of nonzero

terms.

1

Example 4.4.5. The function f (z) = e z−3 has z = 3 as an isolated singular

∞

1 z

X zn

point. By replacing z with into the exponential series e = , one

z−3 n=0

n!

1

obtains the Laurent series with the coefficients c−n = , n ∈ N∗ given by

n!

1 1 1 1

e z−3 = 1 + + 2

+ ··· + + ··· .

1!(z − 3) 2!(z − 3) n!(z − 3)n

It is obvious that the principal part contains an infinite number of nonzero

terms, hence z = 3 is an essential singular point of f .

There exist functions with non-isolated singular points. For instance, the

1 1 1 1

function f (z) = π has the singular points 0, 1, 2 , . . . , n , . . . and n→∞

lim =

sin n

z

0, therefore there is no punctured disk DR (0) \ {0} so that f is analytic in

it, i.e. the singular point 0 is not an isolated point.

Remark 4.4.6. So far we have discussed about Laurent series in a punctured

neighborhood of a singular point a, which can be considered as an annulus

AR,0 (a) = {z ∈ C : 0 < |z − a| < R}. The previous discussion can be

extended to different annuli and one obtains different Laurent series.

1

Example 4.4.7. Let us consider the function f (z) = 2 and

z (z − 1)(z − 2)

split this ratio into simple fractions. So

1 A B C D

= + 2+ + ,

z 2 (z − 1)(z − 2) z z z−1 z−2

3 1 1

where A = , B = , C = −1 and D = .

4 2 4

We will find Laurent series expansion in several situation using the Taylor

1

series expansion of = 1 + q + q 2 + · · · + q n + · · · , with the convergence

1−q

condition |q| < 1.

130

1. If |z| < 1, i.e. z ∈ A1,0 (0), we have that

3 1 1 1 1 1 1

f (z) = · + · 2− + ·

4 z 2 z z−1 4 z−2

3 1 1 1 1 1 1

= · + · 2+ − · .

4 z 2 z 1−z 4 2 1− z

2

z z |z| 1

Considering q = z, respectively q = , so = < < 1, it follows

2 2 2 2

that

zn

3 1 1 1 n 1

f (z) = · + · 2 + 1 + · · · + z + · · · − 1 + ··· + n + ···

4 z 2 z 8 2

3 1 1 1 7 15 1

= · + · 2+ + · z + · · · + 1 − n+3 z n + · · · .

4 z 2 z 8 16 2

the convergence condition of the Taylor series expansion, that

3 1 1 1 1 1 1

f (z) = · + · 2− + ·

4 z 2 z z−1 4 z−2

3 1 1 1 1 1 1

= · + · 2− − · .

4 z 2 z 1 4 2 1− z

z 1− 2

z

z |z|

1 1 z

For q = , so 1 < |z| ⇔ < 1, respectively q = , so = <1

z z 2 2 2

and we obtain that

3 1 1 1 1 1 1 1

f (z) = · + · 2 − 1 + + 2 + ··· + n + ··· −

4 z 2 z z z z z

2 n

1 z z z

− 1 + + 2 + ··· + n + ···

8 2 2 2

1 1 1 1 1 1 1

= · · · − n+1 − n − · · · − 3 − · 2 − ·

z z z 2 z 4 z

1 1 1 n

− − · z − · · · − n+3 · z − · · · .

8 16 2

131

3. If |z| > 2, i.e. z ∈ A∞,2 (0), we have that

3 1 1 1 1 1 1

f (z) = · + · 2− + ·

4 z 2 z z−1 4 z−2

3 1 1 1 1 1 1

= · + · 2− + · .

4 z 2 z 1 4 2

z 1− z 1−

z z

1 1 1

Now, since |z| > 2, we can take q = , so < < 1, respectively

z z 2

2 2

q = , so < 1, one obtains

z z

3 1 1 1 1 1 1 1

f (z) = · + · 2 − 1 + + 2 + ··· + n + ··· +

4 z 2 z z z z z

2 n

1 2 2 2

+ 1 + + 2 + · · + n + ···

4z z z z

1 1 1 1

= · · · + (2n−2 − 1) n+1 + (2n−3 − 1) n + · · · + 0 · 2 + 0 · .

z z z z

being convergent in another annulus.

By using Theorem 4.3.2 and the Cauchy-Hadamard Theorem (see [33]),

one can prove the following result:

∞

X

Theorem 4.4.8. The Laurent series cn (z − a)n is convergent in the

n=−∞

1

annulus AR,r (a) = {z ∈ C : r < |z − a| < R}, where r = lim sup |c−n | n and

n→∞

∞

1 X

R = 1 . If r < R, then the function f (z) = cn (z − a)n is

lim sup |cn | n

n=−∞

n→∞

analytic in AR,r (a).

132

4.5 Exercises

E 21. Determine the Laurent series expansion of function f in the following

situations:

1 1

a) f (z) = + 2 , if |z| < 2;

z−2 z

2

b) f (z) = , if |z − 2i| > 4;

z2 + 4

2

ez

c) f (z) = 5 , around a = 0;

z

cosh z

d) f (z) = , if |z| < 1.

z−1

Solution. a) The Laurent series expansion of the function f in the case

1

|z| < 2 is obviously around a = 0. We have that 2 is already a term

z

1

of this expansion belonging to the principal part and for we will use

z−2

the geometric series. We notice that the condition of convergence of the

∞

1 X

geometric expansion = q n is |q| < 1. Since we have the condition

1−q

z n=0

|z| < 2, it follows that < 1, so we can use the geometric expansion for

2

z

q = . Hence

2

z z2 zn

1 1 1 1

=− · =− 1 + + 2 + ··· + n + ··· .

z−2 2 1 − z2 2 2 2 2

We obtain that

1 1 z zn

f (z) = − − − · · · − − ··· ,

z2 2 4 2n+1

so the conclusion is that the principal part of the Laurent series expansion

of the function f has only one term and the Taylor part has an infinity of

terms, under the specified conditions;

b) Taking into consideration the restriction |z −2i| > 4, it follows that the

Laurent series expansion of the function f is to be found around the point

133

∞

1 X

at infinity. We use the alternate geometric expansion = (−1)n q n ,

1+q n=0

if |q| < 1. We first split the function into simple fractions; so

2 2 A B

f (z) = 2 = = + ,

z +4 (z − 2i)(z + 2i) z − 2i z + 2i

i i

where A = − and B = , so

2 2

i 1 1

f (z) = − .

2 z + 2i z − 2i

1

We have now two simple fractions, but is a term of the principal

z − 2i

1

part of the Laurent series expansion. For we want to use the alternate

z + 2i

geometric expansion, but we need to see for what q this is possible. The

4 4i

condition |z − 2i| > 4 leads to < 1, or < 1. Since the

|z − 2i| z − 2i

4i

condition of convergence is |q| < 1, it follows that a suitable q is q = .

z − 2i

1

We transform the ratio as follows

z + 2i

1 1 1 1

= = · .

z + 2i (z − 2i) + 4i z − 2i 4i

1+

z − 2i

Now, using the alternate geometric expansion, we get that

1 1 1

= ·

z + 2i z − 2i 4i

1+

z − 2i

42 i2 (−1)n 4n in

1 4i

= 1− + − ··· + + ···

z − 2i z − 2i (z − 2i)2 (z − 2i)n

1 4i (−1)n 4n in

= − + · · · + + ··· ,

z − 2i (z − 2i)2 (z − 2i)n+1

so

(−1)n 4n in

i 4i

f (z) = − + ··· + + ···

2 (z − 2i)2 (z − 2i)n+1

2 (−1)n 4n in+1

= + · · · + + ··· .

(z − 2i)2 2(z − 2i)n+1

134

Let us notice that in this situation there is no Taylor part, only a principal

part.

2

Another method is to isolate the singularity by writing f (z) = ·

z − 2i

1

and to multiply the expansion of the second fraction by the first one;

z + 2i

c) Consider the Taylor series expansion around a = 0 of the exponential

z z2 zn 2

function ez = 1 + + + ··· + + · · · , ∀z ∈ C. By replacing z with ,

1! 2! n! z

one obtains

2 2 22 2n

ez = 1 + + 2 + ··· + n + ···

z1! z 2! z n!

and

2

ez 1 2 22 2n

f (z) = = + + + · · · + + ··· ,

z5 z 5 z 6 1! z 7 2! z n+5 n!

which is the expansion needed, again only with an infinity of terms in the

principal part, but none into the Taylor part.

1

d) We write the function f as f (z) = cosh z · .

z−1

ez + e−z

Since cosh z = and using the Taylor series expansion of ez around

2

0, it follows that

zn (−1)n z n

z z

1 + + ··· + + ··· + 1 − + ··· + + ···

1! n! 1! n!

cosh z =

2

z2 z 2n

2+2· + ··· + 2 · + ···

2! (2n)!

=

2

z2 z 2n

=1+ + ··· + + · · · , ∀z ∈ C.

2! (2n)!

1

On the other hand, if |z| < 1, we have that admits a Taylor series

z−1

expansion around 0,

1 1

=− = −1 − z − z 2 − · · · − z n − · · · .

z−1 1−z

135

Hence

z2 z 2n

−1 − z − z 2 − · · · − z n − · · · .

f (z) = 1+ + ··· + + ···

2! (2n)!

1 1

It follows that cn = −1 − ··· − − · · · = − cosh 1, c−n = 0, ∀n ∈ Z,

2! (2n)!

n > 0 and c0 = −1.

We have obtained that the Taylor part has an infinite number of terms

and the principal part has none (since f is analytic as being the product of

two functions which are both analytic for |z| < 1).

following situations:

1 2

a) f (z) = + , if 2 < |z − 2| < 8;

z+6 z−4

2

b) f (z) = , if |z − 2i| < 4;

z2

+4

1

sin

z

c) f (z) = , around a = 0;

z

ez

d) f (z) = , if |z| > 1;

z−1

1

e) f (z) = , around a = π.

sin z

Answer. a) We have that

1 2

f (z) = +

(z − 2) + 8 (z − 2) − 2

1 1 1 1

= · + ·

8 z−2 z−2 2

1+ 1−

8 z−2

2n 2n−1 2 1

= ··· + + + · · · + +

(z − 2)n+1 (z − 2)n (z − 2)2 (z − 2)

n

1 z−2 (−1)

+ − 2 + · · · · + n+1 (z − 2)n + · · · ;

8 8 8

136

b) We obtain that

(4i)2 (4i)3 (−1)n (4i)n

i 4i

f (z) = − + − + ··· + + ··· ;

2 (z − 2i)2 (z − 2i)3 (z − 2i)4 (z − 2i)n+1

c) We get that

1 1 1 (−1)n

f (z) = − + − · · · + + ··· ;

z 2 3!z 4 5!z 6 (2n + 1)!z 2n+2

z n−1

1 z 1 1 1

f (z) = + 1 + + ··· + + ··· · 1 + + 2 + ··· + n + ··· ;

z 2! n! z z z

e) We have that

1 1 1

= = .

sin z sin ((z − π) + π) − sin(z − π)

By replacing z with z − π in the Taylor series expansion of sin z, one

z − π (z − π)3 (z − π)2n+1

obtains sin(z − π) = − + · · · + (−1)n + · · · , hence

1! 3! (2n + 1)!

1 −1 (z − π)3 (z − π)2n+1

= − + · · · + (−1)n + ···

sin z (z − π) 3! (2n + 1)!

1 1

=− · 2 2n .

z−π (z − π) n (z − π)

1− + · · · + (−1) + ···

3! (2n + 1)!

Since z = π is a first order pole of function f , it follows that

1

2

(z − π) (z − π)2n

1− + · · · + (−1)n + ···

3! (2n + 1)!

has to be the Taylor series expansion, so

1

2 =

(z − π) (z − π)2n

1− + · · · + (−1)n + ···

3! (2n + 1)!

137

= a0 + a1 (z − π) + a2 (z − π)2 + · · · + an (z − π)n + · · · ,

hence

(a0 + a1 (z − π) + · · · + an (z − π)n + · · · ) ·

(z − π)2 2n

n (z − π)

· 1− + · · · + (−1) + ··· = 1

3! (2n + 1)!

and identifying the coefficients, one obtains

a0

a0 = 1, a1 = 0, a2 − = 0, . . . .

3!

I

E 22. Calculate f (z)dz in the following cases:

Γ

cosh z

a) f (z) = , Γ : |z| = 2;

(z − 1)2

e2z + z 2

b) f (z) = , Γ : |z − i| = 1.

z2 + 3

circle centred at M (x0 , y0 ) of radius r and it is in fact the boundary of the

disk Dr (z0 ) = {z ∈ C : |z − z0 | < r}.

a) We have that |z| = 2 is the circle of radius 2, centred at the origin.

Also D2 (0) is a simply connected domain, bounded by Γ.

Since g(z) = cosh z is an analytic function in D2 (0) and a = 1 belongs to

D2 (0), one can use (4.8) and obtain that

I

cosh z 2πi 0

dz = g (1) = 2πi sinh z = 2πi sinh 1;

(z − 1) 2 1!

|z|=2 z=1

M (0, 1). Also D1 (i) is a simply connected domain, bounded by √Γ.

The isolated singular

√ points of the function√f are z = ±i 3. The first

one, let’s say

√ z = i 3, corresponds to√M1 (0, 3) ∈ D1 (i) and the second

one, z = −i 3, corresponds to M1 (0, − 3) ∈ / D1 (i).

138

e2z + z 2 g(z)

Considering g(z) = √ , one can write f (z) = √ . Since g is

z+i 3 z−i 3

an analytic function in D1 (i), using (4.7), one obtains

I I

g(z) √

f (z)dz = √ dz = 2πig(i 3)

|z−i|=1 |z−i|=1 z − i 3

√

e2i 3 − 3 π √

= 2πi √ = √ (e2i 3 − 3).

2i 3 3

139

140

Chapter 5

Residue Theory

residues of f . The residue theorem generalizes Cauchy’s theorems, giving a

more powerful formula to evaluate complex line integrals of analytic functions

over different closed paths. The residue theorem also provides an efficient

method to compute definite and improper real integrals. This computations

turn out to be very useful in practice; for example, in the Fourier analysis of

signals.

Let a be an isolated singular point of the function f .

1

Definition 5.0.1. The coefficient c−1 of in the Laurent series expan-

z−a

sion of the function f in a neighborhood of a is called the residue of f at a

and it is denoted by res(f, a).

I

1 f (z)

cn = dz, n ∈ Z,

2πi Γ (z − a)n+1

I

1

res (f, a) = f (z)dz, (5.1)

2πi Γ

5.1).

141

Figure 5.1: The Unique Singular Point a in the Domain Bounded by Γ

Theorem 5.1.1. Let f be an analytic function in a closed domain D, except

for a finite number of isolated singular points a1 , a2 , . . . , an lying inside D

and let Γ be the boundary of D. Then

I Xn

f (z)dz = 2πi res(f, aj ). (5.2)

Γ j=1

singular point aj in the domain bounded by Γj (Figure 5.2 (a)).

the Domain Bounded by Γj the Boundary of Γ

Figure 5.2: The Possible Cases of Singular Points in the Residue Theorems

I

1

res (f, aj ) = f (z)dz,

2πi Γj

142

hence I

f (z)dz = 2πi · res (f, aj ).

Γj

one obtains

I n I

X n

X

f (z)dz = f (z)dz = 2πi res (f, aj ).

Γ j=1 Γj j=1

then (Figure 5.2 (b))

I n

X m

X

f (z)dz = 2πi res (f, aj ) + πi res (f, bk ). (5.3)

Γ j=1 k=1

If z = ∞ is an isolated singular point of the function f , then the residue

1

of f at ∞ is the number −c−1 , where c−1 is the coefficient of in the

z−a

Laurent series expansion of the function f in a neighborhood of ∞, NR (∞) =

{z ∈ C : |z − a| > R}, for some a ∈ C. The sign ’−’ is justified since from the

point of view of ∞, the trigonometric sense on a closed contour is clockwise.

As in the case of finite singular points, one obtains the formula

I

1

res (f, ∞) = − f (z)dz, (5.4)

2πi Γ

where Γ is any closed contour outside of which ’∞’ is the unique singular

point of f .

Let a1 , a2 , . . . , an be the finitely many isolated singular points of the func-

tion f (Figure 5.3).

By (5.2) and (5.4) one obtains

n

1 X

res (f, ∞) = − · 2πi res (f, aj ),

2πi j=1

Xn

res (f, ∞) + res (f, aj ) = 0.

j=1

143

Figure 5.3: The Isolated Singular Points of f

Let a be a pole of order k of the function f . This implies the existence of

a function h which is holomorphic on a disk DR (a) with h(a) 6= 0 such that

h(z)

f (z) = . Then, by (5.1), one gets

(z − a)k

I I

1 1 h(z)

res (f, a) = f (z)dz = dz.

2πi Γ 2πi Γ (z − a)k

Cauchy’s Integral Formula for Derivatives (4.8) gives

(k − 1)!

I

1 h(z) 1

res (f, a) = · (k−1)+1

dz = h(k−1) (a),

(k − 1)! 2πi Γ (z − a) (k − 1)!

but h(z) = f (z)(z−a)k , hence the formula for the computation of the residues

of a function f at a pole of order k is

1

res (f, a) = lim [(z − a)k f (z)](k−1) . (5.5)

(k − 1)! z→a

becomes

res (f, a) = lim (z − a)f (z). (5.6)

z→a

ez + z

Example 5.2.1. Let us consider f (z) = . We have that z = 1 is

z−1

a simple pole of the function f since h(z) = ez + z is analytic in C and

h(1) = e + 1 6= 0. We obtain that

res (f, 1) = lim(z − 1)f (z) = lim(ez + z) = e + 1.

z→1 z→1

144

ez + z

Example 5.2.2. Now, let us take f (z) = . We have that z = 2 is

(z − 2)2

a pole of order 2 of the function f since h(z) = ez + z is analytic in C and

h(2) = e2 + 2 6= 0. We obtain that

1

res (f, 2) = lim [(z − 2)2 f (z)]0 = lim(ez + z)0 = lim(ez + 1) = e2 + 1.

1! z→2 z→2 z→1

It is not necessary for a function to have just one isolated singular point

of pole type.

ez + z

Example 5.2.3. Consider the function f (z) = . Be-

(z − 2)(z 2 − 3z + 2)

cause we have that z 2 − 3z + 2 = (z − 1)(z − 2), it follows that f has two

isolated singular points z1 = 1 and z2 = 2.

ez + z

Since z = 1 is a simple order pole of f (h(z) = is analytic in

(z − 2)2

DR (1), 0 < R < 1, h(1) = e + 1 6= 0), we obtain that

ez + z e+1

res (f, 1) = lim(z − 1)f (z) = lim = = e + 1.

z→1 z→1 (z − 2)2 1

ez + z

On the other hand, z = 2 is a pole of order 2 of function f (h(z) =

z−1

is analytic in DR (2), 0 < R < 1, h(2) = e2 + 2 6= 0), so

1

res (f, 2) = lim [(z − 2)2 f (z)]0

1!

z→1

0

ez + z

= lim

z→2 z − 1

= lim

z→2 (z − 1)2

z z

ze − 2e − 1

= lim

z→2 (z − 1)2

= −1.

P (z)

Consider the case of a simple pole a of a function f (z) = , where P

Q(z)

and Q are analytic functions in a disk DR (a). Then there exists a function

Q1 which is analytic in DR (a) that satisfies Q1 (a) 6= 0 such that Q(z) =

145

Q1 (z)(z − a). By deriving it, Q0 (z) = Q1 0 (z)(z − a) + Q1 (z) and for z = a,

we get Q0 (a) = Q1 (a).

By (5.6)(2.4.27) we have that

z→a

P (z)

= lim (z − a)

z→a Q(z)

P (z)

= lim (z − a)

z→a Q1 (z)(z − a)

P (a)

=

Q1 (a)

P (a)

= 0 ,

Q (a)

P (a)

res (f, a) = . (5.7)

Q0 (a)

sin z

Example 5.2.4. The function f (z) = tan(z) = has the poles

cos z

π

zk = + kπ, k ∈ Z (the roots of cos z = 0).

2

π

0

Since (cos z) = − sin z and sin + kπ = (−1)k 6= 0, then zk are simple

2

poles. Obviously (5.7) is preferable to (5.6) and

sin z sin z

res (f, zk ) = = = −1.

(cos z)0 zk = π2 +kπ − sin z zk = π2 +kπ

The Residue Theorem (5.1.1) provides an efficient method to compute

real definite integrals. This method uses a couple of lemmas which give

sufficient conditions for the convergence to 0 of some complex line integrals.

Let f be an analytic function in C, with the exception of a finite number

of isolated singular points.

146

Lemma 5.3.1. Let ΓR be an arc of a circle of radius R, centred at a point

a (Figure 5.4).

ΓR

z

R

I

i) If lim (z − a)f (z) = 0, then lim f (z)dz = 0;

z→a R→0 ΓR

I

ii) If lim (z − a)f (z) = 0, then lim f (z)dz = 0.

|z−a|→∞ R→∞ ΓR

Proof. i) Let > 0 be an arbitrary number, fixed for the entire proof.

Since

we have that lim (z − a)f (z) = 0, then there exists δ > 0, δ = δ such

z→a 4π

that, for every z with |z − a| < δ, we get that |(z − a)f (z)| < .

4π

Let R be an arbitrary number, fixed for the rest of the proof such that

0 < R < δ. Then, for every z ∈ ΓR , we obtain that |z − a| = R < δ, which

implies that |(z − a)f (z)| < . It follows that for every z ∈ ΓR , we have

4π

that

(z − a)f (z)

|f (z)| = < .

z − a 4πR

I

f (z)dz ≤ · lΓR = · 2πR = < .

ΓR 4πR 4πR 2

147

We have proved that for every > 0, there

I exists δ > 0 such that for

every R > 0 with |R − 0| < δ, we have that f (z)dz − 0 < , i.e.

ΓR

I

lim f (z)dz = 0.

R→0 ΓR

ii) The proof is similar to i) with the changes |z − a| > δ and R > δ, since

R = |z − a| → ∞.

The following figure(s) will turn out to be the key of understanding the

next result (Lemma5.3.2).

y y

(z) (z)

ΓR z

R

θ θ

x x

0 R 0 R

R

z

ΓR

y y

(z) (z)

z

z

R

R θ

θ

x x

0 R −R 0

ΓR ΓR

given by Im z ≥ 0 (Figure 5.5 (a)). If lim f (z) = 0 uniformly with

|z|→∞

148

respect to θ = arg z ∈ [0, π], then

I

lim f (z)eiαz dz = 0, ∀α > 0.

R→∞ ΓR

0 (Figure 5.5 (b)). If lim f (z) = 0 uniformly with respect to θ =

|z|→∞

arg z ∈ [π, 2π], then

I

lim f (z)e−iαz dz = 0, ∀α > 0.

R→∞ ΓR

Similar statements hold for ±iα, α > 0, in the right half-plane Re z ≥ 0,

or the left half-plane Re z ≤ 0, respectively (Figures 5.5 (c) and 5.5 (d)).

Z ∞

Integrals of the form f (x)dx

−∞

f (z) to the upper half-plane, which has a finite number of singular points aj ,

j = 1, n in the upper half-plane, has no singular points on the real axis and

Z ∞

lim zf (z) = 0, then the improper integral f (x)dx exists and

|z|→∞ −∞

Z ∞ n

X

f (x)dx = 2πi res (f, aj ). (5.8)

−∞ j=1

I

Proof. We consider the complex line integral f (z)dz, where the closed

Γ

contour Γ consists of the semicircle BCA of radius R, centred in 0 and the

segment AB, with R > max |aj | (Figure 5.6).

1≤j≤n

By Theorem 5.1.1 (the Residue Theorem) we have that

I n

X

f (z)dz = 2πi res (f, aj ).

Γ j=1

149

y

C (z)

Γ ×

aj

× ×

a1 an

x

A(−R) 0 B(R)

I Z I n

X

f (z)dz = f (z)dz + f (z)dz = 2πi res (f, aj ). (5.9)

Γ AB BCA j=1

get that

Z Z R

f (z)dz = f (x)dx

AB −R

Z ∞

and taking the limit as R → ∞, we obtain f (x)dx.

I −∞

|z|→∞ R→∞ BCA

ii). The right-hand side of (5.9) remains constant as R → ∞ since |aj | < R,

∀j = 1, n, therefore the sum includes all the residues of f from the beginning.

Therefore, one obtains (5.8) as the limit of (5.9) as R → ∞.

Z ∞ Z ∞

Integrals of the form f (x) cos(αx)dx and f (x) sin(αx)dx, α > 0

−∞ −∞

f (z) to the upper half-plane, which has a finite number of singular points aj ,

j = 1, n in the upper half-plane, has no singular points on the real axis and

150

lim f (z) = 0 uniformly in θ = arg z ∈ [0, π], then the improper integrals

|z|→∞

from above exist and

n

!

Z ∞ X

I1 = f (x) cos(αx)dx = Re 2πi res (f (z)eiαz , aj ) ,

−∞ j=1

n

! (5.10)

Z ∞ X

I2 = f (x) sin(αx)dx = Im 2πi res (f (z)eiαz , aj ) .

−∞ j=1

Z ∞ Z ∞

I1 + iI2 = f (x) (cos(αx) + i sin(αx)) dx = f (x)eiαx dx,

−∞ −∞

and one applies the method from the previous case to the last integral.

Using Lemma 5.3.2 i), we get that

n

X

I1 + iI2 = 2πi res (f (z)eiαz , aj ),

j=1

Remark 5.4.3. If α < 0, one uses Lemma 5.3.2 ii) (see Figure 5.5 (b)) and

one obtains, due to the trigonometric sense, the following formulas

Z ∞ n

!

X

I1 = f (x) cos(αx)dx = −Re 2πi res (f (z)eiαz , bj ) ,

−∞ j=1

n

! (5.11)

Z ∞ X

I2 = f (x) sin(αx)dx = −Im 2πi res (f (z)eiαz , bj ) ,

−∞ j=1

151

Z 2π

Integrals of the form f (cos x, sin x)dx

0

In this case we have that f is a rational function. One uses the change

of variable z = eix . Since |z| = 1 and x ∈ [0, 2π), z describes the unit circle

(Figure 5.7).

y

(z)

× z

aj

×

a1

x 1 x

0

×

an

Figure 5.7: The Unit Circle and the Interior Singular Points of f

Using Euler’s formulas cos x = and sin x = , one

2 2i

obtains

z + z1 z2 + 1 z − z1 z2 − 1

cos x = = , sin x = = ,

2 2z 2i 2iz

dz

dz = ieix dx = izdx ⇒ dx = .

iz

It follows that

Z 2π

z2 + 1 z2 − 1

I

dz

f (cos x, sin x)dx = f ,

0 |z|=1 2z 2iz iz

X n

= 2πi res (g(z), aj ),

j=1

z2 + 1 z2 − 1 1

where g(z) = f , is a rational function and aj are the

2z 2iz iz

singular points of f in the unit circle.

152

Z ∞

1

Example 5.4.4. Let us compute I = dx.

−∞ (3 + x2 )4

1

The complex function f (z) = has two isolated singular points

√ (3 + z 2 )4 √

2

z = ±i 3 (the solutions of the equation√ z √+3 = 0). Only

√ z = i 3 is located

in the upper half-plane, since Im (i 3) = 3 > 0. As i 3 is a pole of order

4 of the function f , it follows that

000 000

√ √ 4

1 1 1 1

res (f, i 3) = lim (z − i 3) 2 = lim √

3! z→i√3 (z + 3)4 6 z→i√3 (z + i 3)4

00 0

1 −4 1 20

= lim √ = lim √

6 z→i√3 (z + i 3)5 6 z→i√3 (z + i 3)6

1 −120 1 −120 5

= lim√ √ = · √ = √ · i,

6 z→i 3 (z + i 3)7 6 (2i 3)7 32 · 27 · 3

√ 5π

so I = 2πi · res(f, i 3) = √ .

432 3

Z ∞

cos 3x

Example 5.4.5. Let us compute I = dx.

0 (x2

+ 9)(x2 + 1)

cos 3x

First, let us notice that the function f (x) = 2 is even, so

(x + 9)(x2 + 1)

Z ∞

1 ∞

Z

cos 3x cos 3x

I= dx = dx.

0 (x2 + 9)(x2 + 1) 2 −∞ (x2 + 9)(x2 + 1)

e3iz

The complex function f (z) = has four isolated singular

(z 2 + 9)(z 2 + 1)

points z1,2 = ±i and z3,4 = ±3i, but only i and 3i are located in the upper

half-plane.

The value of the integral is

Z ∞

cos 3x

2 2

dx = Re (2πi(res (f, i) + res (f, 3i))

−∞ (x + 9)(x + 1)

e3iz

z 2 +9

e3iz e−3

res (f, i) = = = ,

2 0

(z + 1) z=i 2z(z 2 + 9) z=i 16i

153

e3iz

z 2 +1

e3iz e−9

res (f, 3i) = = = − .

2 0

(z + 9) z=3i 2z(z 2 + 1) z=3i 48i

We obtain that

Z ∞ −3

e−9 π(3e−3 − e−9 )

cos 3x e

2 2

dx = Re 2πi − = ,

−∞ (x + 9)(x + 1) 16i 48i 24

π(3e−3 − e−9 )

hence I = .

48

Z 2π

cos x

Example 5.4.6. Let us calculate I = dx.

0 5 + 3 sin x

Using the change of variable z = eix , we have that

x ∈ [0, 2π) → |z| = 1 (closed circle)

eix + e−ix z + z1 z2 + 1

cos x = = =

2 2 2z

eix

− e −ix z − z1 z 2

−1

sin x = = =

2i 2i 2iz

dz = ieix dx = izdx ⇒ dx = dz

iz

The integral becomes

z2 + 1

z2 + 1

I I

2z dz

I= = dz.

|z|=1 z 2 − 1 iz 2

|z|=1 z(3z + 10iz − 3)

5+3

2iz

z2 + 1

Denoting by g(z) = , one finds that the function g has

z(3z 2 + 10iz − 3)

three singular points: z = 0, z = −3i and z = − 3i (the solutions of the

equation z(3z 2 + 10iz − 3) = 0). We need to compute the residue only at

points inside the disk D1 (0): z = 0 and z = − 3i . Both are poles of order 1.

Since

z2 + 1 1

res (g, 0) = 2 =− ,

3z + 10iz − 3) z=0 3

z2 + 1 z2 + 1

i 1

res g, − = = = ,

3 3 2 0

(3z + 10iz − 3z) z=− 3 2

(9z + 20iz − 3) z=− 3 3

i

i

i

the integral is I = 2πi res (g, 0) + res g, − = 0.

3

154

5.5 Exercises

E 23. Calculate the residues of the following function:

sin(πz)

a) f (z) = ;

z(z 2 + 4)

eiz

b) f (z) = ;

z 3 − 3z + 2

cos z1

c) f (z) = ;

z2 + 1

πz

d) f (z) = (z + 1) cos .

z+1

sin(πz)

Solution. a) The isolated singular points of the function f (z) =

z(z 2 + 4)

are z = 0, z = 2i and z = −2i (these points are obtained from the equation

z(z 2 + 4) = 0).

sin(πz) 0

Since lim 2

produces the undetermined case , we first need to

z→0 z(z + 4) 0

eliminate the indeterminacy and we are going to do this using the remarkable

sin z

limit lim = 1. We arrange the terms of the limit as

z→0 z

sin(πz) sin(πz) π π

lim 2

= lim · lim 2 =1· ,

z→0 z(z + 4) z→0 πz z→0 z + 4 4

which is a finite number, so z = 0 is a removable point of the function f and

res (f, 0) = 0.

sin(πz) sin(2πi) 6= 0

In the case of lim , the limit is = = ∞. We count

z→2i z(z 2 + 4) 0 0

how many zeros are obtained at the denominator and in this case there is

only one zero, hence z = 2i is a simple pole. It follows that

sin(πz) sin(πz) sin(2πi)

res (f, 2i) = 2 0

= 2 = .

[z(z + 4)] z=2i 3z + 4 z=2i −8

sin(πz) sin(πz) sin(−2πi) sin(2πi)

res (f, −2i) = 2 0

= 2 = = .

[z(z + 4)] z=−2i 3z + 4 z=−2i −8 8

155

Remark : The poles z = 2i and z = −2i are conjugated complex numbers

and their residues are also conjugated numbers.

b) We notice that z 3 − 3z + 2 = (z − 1)2 (z + 2) (one can use Horner’s rule

to decompose it), so the isolated singular points of f are z = 1 and z = −2.

eiz eiz 6= 0

Since lim 3 =lim 2

= 2 = ∞, one obtains that

z→1 z − 3z + 2 z→1 z − 1) (z + 2) 0

z = 1 is a pole of order 2 and

0 iz 0

eiz

1 2 e

res (f, 1) = lim (z − 1) 2

= lim

1! z→1 (z − 1) (z + 2) z→1 z+2

iz iz i

ie (z + 2) − e e (3i − 1)

= lim 2

= .

z→1 (z + 2) 9

eiz eiz 6= 0

Since lim = lim = = ∞, hence z = 1 is

z→−2 z 3 − 3z + 2 z→−2 (z − 1)2 (z + 2) 0

a simple pole and

res (f, −2) = lim (z + 2) = lim = .

z→−2 (z − 1)2 (z + 2) z→−2 (z − 1)2 9

Remark : One can use to compute the residue in a simple pole either (5.6),

either (5.7).

c) The isolated singular points of f are z = 0 (inside cosine there is a

ratio with the denominator z) and z = ±i (from the equation z 2 + 1 = 0).

cos 1

When we evaluate lim 2 z , we obtain that the limit does not exist,

z→0 z + 1

so z = 0 is an essential singularity. This is the most difficult situation for

computing the residue since we need to find the coefficient c−1 of the Laurent

series expansion of f around the essential singularity.

1

In our case, using the expansion of cos z for z → and the alternate

z

2

geometric series with q = z , |q| < 1, we get that

cos z1

1 1

2

= cos · 2

z +1 z z +1

1 1 n 1

= 1− + + · · · + (−1) + ···

2!z 2 4!z 4 (2n)!z 2n

· (1 − z 2 + z 4 + · · · (−1)n z 2n + · · · ).

156

1

We know that c−1 is the coefficient of obtained from the above product

z

and it is 0. It follows that res (f, 0) = 0.

Both singular points z = i and z = −i are simple poles and using (5.6)

cos i cos i

or (5.7), one finds res (f, i) = and res (f, −i) = − ;

2i 2i

d) We have that z = −1 is the only isolated singular point of f and it is

an essential point. In order to find the Laurent series expansion of f around

z = −1, we use that

πz π(z + 1 − 1) π π

cos = cos = cos π − = − cos .

z+1 z+1 z+1 z+1

π

Using the Taylor series expansion of cos z for z → , one obtains

z+1

π2 (−1)n π 2n

f (z) = −(z + 1) 1 − + ··· + + ···

2!(z + 1)2 (2n)!(z + 1)2n

π2 π 2n

= −(z + 1) + + · · · + (−1)n+1 + ··· ,

2!(z + 1) (2n)!(z + 1)2n−1

π2 π2

hence c−1 = and also res (f, −1) = .

2! 2!

z4 + 1

a) f (z) = ;

(z − 1)(z 2 − 1)

1

cosh

z

b) f (z) = 2 ;

z − 3z + 2

1

e− z + z

c) f (z) = ;

(z − 1)2

1

d) f (z) = ;

5 − 4 cos z

z2

e) f (z) = ;

1 − cos z

157

z

f) f (z) = .

z 100 + 2100

0

z4 + 1

3

res (f, 1) = lim =

z→1 z + 1 2

1

res (f, −1) = ;

2

pole) and z = 0 (essential singular point). We obtain that

and since

1

cosh

z 1 1 1

= cosh −

z 2 − 3z + 2 z z−2 z−1

1 1

= 1+ + ··· + + ···

2!z 2 (2n)!z 2n

1 1 1 n

· 1− + 1 − 2 z + · · · + 1 − n+1 z + · · · ,

2 2 2

it follows that

1 1 1 1 1 1

res (f, 0) = 1− 2 + 1 − 4 + ··· + 1 − 2n + · · ·

2! 2 4! 2 (2n)! 2

1 1 1 1 1

= + ··· + + ··· − + + ··· + + ···

2! (2n)! 2!22 4!24 (2n)!22n

= cosh 1 − 1 − (cosh 2 − 1) = cosh 1 − cosh 2;

h 1 i0

res (f, 1) = lim e− z + z = e−1 + 1,

z→1

158

but z = 0 is an essential singularity. Since

1

e− z + z 1 1 0

−z

= e +z ·

(z − 1)2 1−z

(−1)n

1 1

= z+1− + − ··· + + ···

1!z 2!z 2 n!z n

· (1 + 2z + 3z 2 + · · · + (n + 1)z n + · · · ),

we obtain that

1 2 3 (−1)n n

res (f, 0) = − + − + ··· + + ···

1! 2! 3! n!

1 1 1 (−1)n

= −1 + − + − · · · + = −e−1 ;

1! 2! 3! (n − 1)!

k ∈ Z, all simple poles, so

1

res (f, zk ) = ;

sin zk

2kπ, k ∈ Z. Since lim f (z) is finite, it follows that z = 0 is a removable

z→0

singular point and res (f, 0) = 0. On the other hand, zk = 2kπ, k ∈ Z? are

poles of order 2, since they are solutions of the equation 1 − cos z = 0 and

(1 − cos z)0 = sin z = 0. We will use the Laurent series expansion to find the

residues at these points.

Since

z2 (z − 2kπ)2 + 4kπ(z − 2kπ) + 4k 2 π 2

=

1 − cos z (z − 2kπ)2 (z − 2kπ)4

1−1+ − + ···

2! 4!

1 (z − 2kπ)2 + 4kπ(z − 2kπ) + 4k 2 π 2

= ·

(z − 2kπ)2 1 (z − 2kπ)2

− + ···

2! 4!

1

= (a0 + a1 (z − 2kπ) + a2 (z − 2kπ)2 + · · · ),

(z − 2kπ)2

it follows that

res (f, 2kπ) = a1 = 8kπ, k ∈ Z? ;

159

f) The equation z 100 = −2100 has one hundred solutions, namely

(2k + 1)π (2k + 1)π

zk = 2 cos + i sin , k = 0, 99,

100 100

zk zk2 zk2

res (f, zk ) = = = − .

100zk99 100zk100 100 · 2100

I

E 24. Calculate f (z)dz in the following cases:

Γ

cosh z

a) f (z) = , Γ : |z| = 2;

(z − 1)2

e2z + z 2

b) f (z) = , Γ : |z − i| = 1;

z2 + 3

sin z

c) f (z) = , Γ : |z − 2| = 2;

z 2 (z− 3)

z2

d) f (z) = , Γ : |z| = 4;

(z 2 + 1)3

1

e− z

e) f (z) = 2 , Γ : x2 + 4y 2 = 4.

z +z

Solution. The first and the second integral have already been solved in the

previous chapter using Theorem 4.2.8 and formula (4.8) (Cauchy’s Integral

Formula for Derivatives) and Theorem 4.2.5 and formula (4.7) (Cauchy’s

Integral Formula).

a) We have that |z| = 2 is the circle of radius 2, centred at the origin.

Also D2 (0) is a simply connected domain, bounded by Γ. We obtain that

z = 1 is a pole of order 2 of the function f in D2 (0) and

0

cosh z

res (f, 1) = lim (z − 1) 2

= lim(cosh z)0 = lim sinh z = sinh 1,

z→1 (z − 1)2 z→1 z→1

160

hence, from (5.2), we get that

I

cosh z

2

dz = 2πires (f, 1) = 2πi sinh 1;

|z|=2 (z − 1)

M (0, 1). Also D1 (i) is a simply connected domain, bounded by √Γ.

The isolated singular

√ points of the function

√ f are z = ±i 3. The first

√ z = i 3, corresponds to√M1 (0, 3) ∈ D1 (i) and the second

one, let’s say

one, z = −i 3, corresponds

√ to M1 (0, − 3) ∈/ D1 (i).

We get that z = i 3 is a simple order pole of function f and that

√

√ e2z + z 2 e2i 3 − 3

res (f, i 3) = √ = √ .

2z z=i 3 2i 3

√

Since z = −i 3 ∈ / D1 (i), from (5.2) one obtains

I

e2z + z 2 √ π 2i√3

2

dz = 2πires (f, i 3) = √ (e − 3);

|z−i|=1 z + 3 3

M (2, 0). Also D2 (2) is a simply connected domain, bounded by Γ.

sin z

The function f (z) = 2 admits two isolated points, z = 0 and

z (z − 3)

z = 3.

sin z sin z 1 1

Since lim 2 = lim lim = lim = ∞, it follows that z = 0 is a

z→0 z z→0 z z→0 z z→0 z

simple pole and

sin z sin z

res (f, 0) = lim z · 2 = lim = 1.

z→0 z z→0 z

z = 0 belongs to Γ, using (5.3), it follows that

I

sin z sin 3

2

dz = 2πires (f, 3) + πires (f, 0) = 2πi + πi;

|z−2|=2 z (z − 3) 9

Also D4 (0) is a simply connected domain, bounded by Γ.

161

The isolated singular points of f are z = ±i, both third order poles and

both belonging to D4 (0). We get that

00 00

z2 z2

1 3 1 3

res (f, i) = lim (z − i) 2 = lim (z − i)

2! z→i (z + 1)3 2 z→i (z − i)3 (z + i)3

00 0

z2 2zi − z 2

1 1

= lim = lim

2 z→i (z + i)3 2 z→i (z + i)4

1 (2i − 2z)(z + i) − 4(2zi − z 2 ) 1

= lim 5

=

2 z→i (z + i) 16i

and

00 00

z2 z2

1 3 1 3

res (f, −i) = lim (z + i) 2 = lim (z + i)

2! z→i (z + 1)3 2 z→i (z − i)3 (z + i)3

00 0

z2 −2zi − z 2

1 1

= lim = lim

2 z→i (z − i)3 2 z→i (z − i)4

1 (2i + 2z)(z − i) − 4(2zi + z 2 ) 1

= − lim 5

=− ,

2 z→i (z − i) 16i

z2

I

dz = 2πi [res (f, i) + res (f, −i)] = 0;

|z|=4 (z 2 + 1)3

x2

e) We have that x2 + 4y 2 = 4 ⇔ + y 2 = 1 is an ellipse of semi-axes

4

a = 2 and b = 1, centred at the origin. Let ∆ be the domain bounded by

this ellipse, which is a simple connected set.

We get that z = −1 and z = 0 are the isolated singular points of f , both

belonging to ∆.

It is obvious that z = −1 is a simple pole and that

1

e− z

res (f, −1) = = −e,

z z=−1

while z = 0 is an essential singular point (e∞ does not exist in C), hence

1

res (f, 0) = c−1 , the coefficient of from the Laurent series expansion of the

z

162

function f around 0. If |z| < 1, then

1

e− z 1

f (z) = ·

z z+1

1 1

1− + · · · + (−1)n n + · · ·

= 1!z n!z · (1 − z + · · · + (−1)n z n + · · · )

z

1 n 1

= − · · · + (−1) n+1

+ · · · · (1 − z + · · · + (−1)n z n + · · · ),

z n!z

1 1 1 1

hence c−1 = 1 + − + − + ···.

1! 2! 3! 4!

1 1 1 1

Since e = 1 − + − + + · · · , it follows that c−1 = 2 − e−1 . We

−1

1! 2! 3! 4!

have obtained that

1

e− z

I

dz = 2πi [res (f, −1) + res (f, 0)] = 2 − e − e−1 .

x2 +4y 2 =4 z2 + z

I

W 20. Calculate I = f (z)dz in the following cases:

Γ

z

a) f (z) = , Γ : |z| = 2;

z4 − 1

cos(2z) − 1

b) f (z) = , Γ : |z| = R > 0;

z2

1

c) f (z) = , Γ : |z − 2| = R > 0;

z3 +8

1

d) f (z) = , n ∈ Z, n ≥ 1, Γ : |z| = 2;

(z 2 + 1)n

1

e z2

e) f (z) = , Γ : |z| = R > 0;

z−1

z

f) f (z) = , Γ : |z| = 4.

sin2 z

163

Answer. a) We get that

I

f (z)dz = 2πi [res (f, 1) + res (f, −1) + res (f, i) + res (f, −i)] = 0;

Γ

c)√The function f has three isolated singular points z1 = −2, z2,3 =

1 ± i 3. Since |z1 − 2| = 4 and |z2,3 − 2| = 2, it is necessary to discuss the

following situations:

1. if R < 2, then the integral is null due to Theorem 4.2.1 (Cauchy’s

Fundamental Theorem);

√ √ πi

2. if R = 2, then I = 2πi res (f, 1 + i 3) + res (f, 1 − i 3) = − ;

12

√ √ πi

3. if 2 < R < 4, then I=2πi res (f, 1 + i 3) + res (f, 1 − i 3) = − ;

6

√ √

4. if R = 4, then I=2πi res (f, 1 + i 3) + res (f, 1 − i 3) +

πi

πi · res (f, −2) = − ;

12

√ √

5. if R > 4, I = 2πi res (f, 1 + i 3) + res (f, 1 − i 3) + res (f, −2) =

0;

Theorem).

If n ≥ 1, then ±i are poles of order n. Since

(n−1)

(−1)n (2n − 2)!

1 1 1

res (f, i) = lim n

= 2 · ,

(n − 1)! z→i (z + i) ((n − 1)!) (2i)2n−1

(n−1)

(−1)n (2n − 2)!

1 1 1

res (f, −i) = lim n

= − 2 · ,

(n − 1)! z→−i (z − i) ((n − 1)!) (2i)2n−1

it follows that I = 0;

e) We have the following situations:

1. if R < 1, then I = 2πi · res (f, 0) = 2πi(1 − e);

164

2. if R = 1, then I = 2πi · res (f, 0) + πi · res (f, 1) = πi(2 − e);

f) We have that I = 2πi (res (f, −π) + res (f, 0) + res (f, π)) = 6πi.

Z 2π

cos x

a) I = dx;

0 (5 + 4 sin x)2

Z ∞

x2 + 2

b) I = dx;

0 x4 + 5x2 + 4

Z ∞

x sin(πx)

c) I = 2

dx;

−∞ 2x − 2x + 1

Z ∞

x sin x + cos x

d) I = dx.

0 (x2 + 1)2

x ∈ [0, 2π) → |z| = 1 (closed circle)

eix + e−ix z + z1 z2 + 1

cos x = = =

2 2 2z

e ix

− e−ix z − z1 z 2

−1

sin x = = =

2i 2i 2iz

dz = ieix dx = izdx ⇒ dx = dz

iz

The integral I becomes

z2 + 1

z2 + 1

I I

2z dz 1

I= 2 · =− dz.

z2 − 1 iz 2i |z|=1 (2z 2 + 5iz − 2)2

|z|=1

5+4

2iz

z2 + 1

Denoting by g(z) = , one finds that the function g has

(2z 2 + 5iz − 2)2

i

two isolated singular points, z = −2i and z = − (the solutions of the

2

165

equation 2z 2 + 5iz − 2 = 0). We only need to take into consideration the

i

points inside the disk D1 (0), so we choose z = − , which is a pole of order

2

2.

Since

" 2 #0

2

i 1 i z +1

res g, − = limi z+

2 1! z→− 2 2 (2z + 5iz − 2)2

2

0

2

i z2 + 1

= limi z +

2

2

z→− 2 i 2

4 z+ (z + 2i)

2

2 0

1 z +1 1 4iz − 2

= limi = lim = 0,

4 z→− 2 (z + 2i)2 4 z→− 2i (z + 2i)3

1 i

the integral is I = − · 2πi · res g, − = 0;

2i 2

x2 + 2

b) First of all, one notices that the function f (x) = is

x4 + 5x2 + 4

anZ even function (one verifies that f (−x) = f (x), ∀x ∈ R), hence I =

1 ∞ x2 + 2

dx.

2 −∞ x4 + 5x2 + 4

z2 + 2

The complex function f (z) = 4 has four isolated singular

z + 5z 2 + 4

points, z = ±i and z = ±2i (the solutions of the equation z 4 + 5z 2 + 4 =

0 ⇔ (z 2 + 1)(z 2 + 4) = 0). In the upper half-plane there are only z = i and

z = 2i, both simple poles.

Since

z 2 + 2 1

res (f, i) = 3 =

4z + 10z z=i 6i

and

z 2 + 2 1

res (f, 2i) = 3 = ,

4z + 10z z=2i 6i

1 π

it follows that I = · 2πi [res (f, i) + res (f, 2i)] = ;

2 3

Z ∞

xeiπx

c) Consider the integral I, where I = Im J and J = 2

dx.

−∞ 2x − 2x + 1

166

zeiπz

The complex function f (z) = has two isolated singular

2z 2 − 2z + 1

1±i

points, z = , the solutions of the equation 2z 2 − 2z + 1 = 0. Only

2

1+i

z= is in the upper half-plane and it is a simple pole.

2

Since

zeiπz

1+i 1 + i iπ−π

res f, = 1+i = e 2 2,

2 4z − 2 z= 2 4i

it follows that

1+i π π π

J = 2πi · res f, = (1 + i)ei 2 − 2 ,

2 2

hence

π π π

I = Im J = Im (1 + i)ei 2 − 2

2

π h π

π π i

= Im (1 + i)e− 2 cos + i sin

2 2 2

π − π2

π −π

= Im (i − 1)e = e 2;

2 2

Z ∞ Z ∞

x sin x cos x

d) Let us split the integral I = 2 2

dx+ dx. Since

0 (x + 1) 0 (x2 + 1)2

x sin x cos x

f1 (x) = 2 2

and f2 (x) = 2 are both even functions, we have

(x + 1) (x + 1)2

that Z ∞ Z ∞

1 x sin x cos x

I= 2 2

dx + 2 2

dx .

2 −∞ (x + 1) −∞ (x + 1)

Z ∞

xeix

Let us denote J1 = 2 2

dx. The complex function f1 (z) =

−∞ (x + 1)

zeiz

has into the upper half-plane only the isolated singular point z = i,

(z 2 + 1)2

which is a pole of order 2.

Since

0 0

zeiz zeiz

2

res (f1 , i) = lim (z − i) 2 = lim

z→i (z + 1)2 z→i (z + i)2

= lim = ,

z→i (z + i)3 4

167

e−1 πie−1

it follows that J1 = 2πi · = and

4 2

∞

πe−1

Z

x sin x

dx = Im (J1 ) = .

−∞ (x2 + 1)2 2

∞

eix

Z

Similarly, taking J2 = dx, one obtains J2 = πe−1 and

−∞ (x2 + 1)2

Z ∞

cos x

dx = Re (J2 ) = πe−1 .

−∞ (x2 + 1)2

1 πe−1 3πe−1

−1

I= + πe = .

2 2 4

Z 2π

1

a) I = dx;

0 sin x + 2 cos x + 3

Z 2π

1

b) I = dx;

0 (5 − 4 cos x)2

Z 2π

1

c) I = dx, n ∈ N∗ ;

0 5 − 4 cos(nx)

Z 2π

1

d) I = dx, a ∈ R, |a| > 1;

0 a + cos x

2π

(1 − a2 )einx

Z

e) I = dx, n ∈ Z+ , a ∈ R, |a| =

6 1;

0 1 − 2a cos x + a2

∞

x2 + x + 1

Z

f) I = dx;

−∞ 1 + x4

Z ∞

1

g) I = dx;

0 (2x2 + 1)3

168

∞

x4 − x3 + 1

Z

h) I = dx;

−∞ 1 + x12

∞

x3 sin x

Z

i) I = dx;

0 (x2 + 4)2

Z ∞

(x + 1) cos(πx)

j) I = dx, a ∈ R, a 6= 0;

−∞ x 2 + a2

∞

cos2 x

Z

k) I = dx;

0 x2 + 1

Z ∞

x sin(ax) + cos(bx)

l) I = , a, b, c ∈ R?+ .

0 x 2 + c2

10π 2π 2π sgn(a)

Answer. a) I = π; b) I = ; c) I = ; d) I = √ ;

27 3 a2 − 1

e) We need to discuss the values of a. If |a| < 1, a 6= 0, then I = 2πan

2π

and for |a| > 1, one obtains I = − n . In the case a = 0, we have to discuss

a

the values of n. If n ≥ 1, the integral is null and for n = 0, one obtains

I = 2π;

√

√ 3π 2 2π π π

f) I = 2π; g) I = ; h) I = cos + sin ;

32 3 12 12

π

i) I = 0; j) I = e−|a|π ;

a

Z ∞ Z ∞ Z ∞

1 + cos(2x) 1 1 cos(2x)

k) I = 2 + 1)

dx = 2+1

+ 2+1

dx . Since

Z ∞ 0 2(x Z ∞ 2 0 x 0 x

1 ∞ cos(2x)

Z

1 π cos(2x)

= and dx = dx, we easily get that

0 x2 + 1 2 0 x2 + 1 2 −∞ x2 + 1

π

I = (1 + e−2 );

4

π −ac e−bc

l) I = e + .

2 c

W 22. Let be f and g two complex functions.

ϕ(x2 − y 2 ) and f (0) = 0, f (i) = −1;

169

f (z) · e2/z

I

b) For g(z) = , compute res (g, 1), res (g, 0) and g(z)dz.

z2 − z |z|=2

W 23. Let be F : D = R × (− π2 , π2 ) → R,

Some topics which are not included in this book for lack of space can be

found in the Bibliography. For instance, limits and continuity of functions

of a complex variable, complex sequences and series or conformal mappings

are presented in [5], [20, Chapters 1 and 5], [18], [21], [24], [33], [35], [37].

170

Chapter 6

SOFTWARE

The Exponential Matrix

The linear continuous-time system with constant coefficients Y 0 (t) =

AY (t), t ∈ R and with the initial condition Y (0) = Y0 has the solution

Y (t) = eAt Y0 .

The syntax is B = expm(A) and it computes the exponential of the

matrix A.

In the case of asymptotically stable systems, the velocity of the conver-

gence to the null matrix of the exponential matrix depends on the distance

between the eigenvalues (in the left half-plane) and the imaginary axis (com-

pare examples 1-4). The eigenvalues −5, −6, −6.9 and −20 of the drift matri-

ces A have increasing distances with the imaginary axis and the entries of the

corresponding exponential matrices decrease (from 0.0067 to 10−8 × 0.2061).

for i=1:11

EA=expm(A*t(i))

end

The answer is, for i = 11 (i.e. t(i) = 1):

EA =

0.0067 0.0067

0 0.0067

171

Example 6.1.2. A = [-6 1;0 -6];

answer:

EA =

0.0025 0.0025

0 0.0025

Example 6.1.3. A = [-6.9 1;0 -6.9];

answer:

EA =

0.0010 0.0010

0 0.0010

Example 6.1.4. A = [-20 1;0 -20];

answer:

EA = 1.0e − 008∗

0.2061 0.2061

0 0.2061

Example 6.1.5. A = [-5 1;0 -5]; t = 0:1:10;

for i=1:11

EA=expm(A*t(i))

end

answer:

EA = 1.0e − 020∗

0.0193 0.0193

0 0.0193

Example 6.1.6. Solve, for t = 3, the initial value problem Y 0 (t) = AY (t),

Y (0) = Y0 ,

−2 6 1

A= , Y0 = .

3 −4 5

Solution. A = [-2 6;3 -4]; Y 0 = [1 5]0 ; Y 3 = expm(A∗ 3)∗ Y 0;

answer

239.0996

Y3= .

133.8519

Stability

The commands eig and lyap can be used to verify the stability of linear

continuous-time systems with constant coefficients Y 0 (x) = AY (x), x ∈ R,

where A is a real n × n matrix (see Theorem 1.3.2).

172

The syntax is one of the following:

1. Λ = eig(A);

2. [T, D] = eig(A);

The first command, Λ = eig(A), determines the vector Λ = {λ1 , . . . , λn }

of the eigenvalues of the matrix A.

The second command, [T, D] = eig(A), computes the diagonal matrix

D, which has on the main diagonal the eigenvalues of the matrix A and the

matrix T , which has as its columns the eigenvectors corresponding to these

eigenvalues (hence A ∗ T = T ∗ D). If all the eigenvalues λ of A have the

geometric multiplicity mg (λ) equal to the algebraic multiplicity ma (λ), then

the matrix T is nonsingular and it is the transition matrix. If mg (λ) < ma (λ),

then the columns of T which correspond to eigenvalues from a Jordan cell

of A are linearly dependent and depend on the eigenvector corresponding to

that Jordan cell.

By Theorem 1.3.2, a linear continuous SDEs is asymptotically stable if

and only if all the eigenvalues λ of the drift matrix A verify Re λ < 0.

Now we are going to present some examples. We have to check the sta-

bility of the continuous-time LTIs with the following drift matrices.

ans = −1, −2;

Answer: asymptotically stable.

ans = −1.0000 + 1.0000i, −1.0000 − 1.0000i;

Answer: asymptotically stable.

ans = −3, 0;

Answer: stable, but not asymptotically stable (why?).

ans = −5.0000, 0.5000;

Answer: unstable.

173

Now we have to determine the eigenvalues and the eigenvectors of the

following drift matrices (for continuous-time systems).

Example 6.1.11. A = [-8 -6 6;6 2 -3;1 -1 0];

Solution. [T, D] = eig(A); dT = det(T )

Answer:

T= D=

0.4516 0.2673 −0.0000 −3.0000 0 0

−0.7903 −0.8018 0.7071 0 −2.0000 0

−0.4140 −0.5345 0.7071. 0 0 −1.0000

dT = −0.0142.

Conclusion: The eigenvalues −1, −2, −3 verify the condition Re λ < 0,

hence the system is asymptotically stable. The eigenvectors (the columns of

T ) are linearly independent (since det(T ) 6= 0). We can also observe that the

eigenvalues are distinct.

Example 6.1.12. A = [1 6 -10 -8;-1 -3 -3 5;1 2 -7 -1;0 1 -4 -2];

Solution. [T, D] = eig(A)

Answer:

T= D=

0.9049 0.4264 0.4264 −0.4264 −5 0 0 0

−0.0312 −0.8528 −0.8528 0.8528 0 −2 0 0

0.2496 −0.2132 −0.2132 0.2132 0 0 −2 0

0.3432 −0.2132 −0.2132 0.2132 0 0 0 −2

Conclusion: The eigenvalues −5, −2, −2, −2 verify the condition Reλ < 0,

hence the system is asymptotically stable.

The second column of T is an eigenvector v2 corresponding to the multiple

eigenvalue λ = 2 of A (with mg (λ) = 1 < 3 = ma (λ)). The third and the

fourth columns are respectively v2 and −v2 , hence the matrix T is singular.

This situation corresponds to the following Jordan canonical form of A

J=

−5 0 0 0

0 −2 1 0

0 0 −2 1

0 0 0 −2

where the second 3 × 3 Jordan cell is associated to the eigenvector v2 .

174

Example 6.1.13. A = [0 5 0 0;-5 0 0 0;0 0 0 -5;0 0 5 0];

Solution. [T, D] = eig(A); dT = det(T )

Answer:

0.0000 − 0.7071i 0.0000 + 0.7071i 0.0000 + 0.0000i 0.0000 + 0.0000i

0.7071 + 0.0000i 0.7071 + 0.0000i 0.0000 + 0.0000i 0.0000 + 0.0000i

T = 0.0000 + 0.0000i 0.0000 + 0.0000i 0.0000 − 0.7071i

0.0000 + 0.7071i

0.0000 + 0.0000i 0.0000 + 0.0000i −0.7071 + 0.0000i −0.7071 + 0.0000i

0.0000 + 5.0000i 0.0000 + 0.0000i 0.0000 + 0.0000i 0.0000 + 0.0000i

0.0000 + 0.0000i 0.0000 − 5.0000i 0.0000 + 0.0000i 0.0000 + 0.0000i

D=

0.0000 + 0.0000i

.

0.0000 + 0.0000i 0.0000 + 5.0000i 0.0000 + 0.0000i

0.0000 + 0.0000i 0.0000 + 0.0000i 0.0000 + 0.0000i 0.0000 − 5.0000i

dT = 1.

Conclusion: The eigenvalues λ1 = 5i and λ2 = −5i have algebraic multi-

plicities ma (λi ) = 2, i ∈ {1, 2}. The corresponding eigenvectors are linearly

independent, therefore mg (λi ) = 2 = ma (λi ), ∀i ∈ {1, 2}. The system is

stable, but not asymptotically stable since Re (λ1,2 ) = 0.

The command lyap solves the Lyapunov equation AP + P A0 = −Q,

where A0 denotes the transpose of A. The syntax is P = lyap(A, Q).

In the following examples we will solve Lyapunov’s equation and we are

going to check the stability of the SDEs.

Example 6.1.14. A = [-1 0 0;1 -2 0;2 3 -1]; Q = [2 -4 1;-4 10 -4;1 -4 6];

P = lyap(A, Q)

eig(P )

The answer is

P=

1 −1 0

−1 52 0

0 0 3

ans = 0.3820, 2.6180, 3.0000.

The eigenvalues of the matrix P are positive, hence the matrix P is pos-

itive definite. It follows that A is a stable matrix (i.e. the system is asymp-

totically stable).

175

Example 6.1.15. A = [6.0000 2.0000;-16.0000 -5.0000]; Q = [1 -1;-1 2];

P = lyap(A, Q)

eig(P )

The answer is the following:

−3.7500 11.0000

P =

11.0000 −35.0000

and the eigenvalues are −38.4837 and −0.2663.

The eigenvalues of the matrix P are negative, hence the matrix P is

negative definite. It follows that A is an unstable matrix.

Now we will solve the Lyapunov equation with formula 1.41. We will

use the command kron which has the syntax K = kron(A, B). Action:

if A = [aij ]1≤i≤m;1≤j≤n is an m × n matrix and B is p × q matrix, then

K = kron(A, B) returns the Kronecker product of the matrices A and B,

i.e. the mp × nq matrix K = A ⊗ B = [aij B]1≤i≤m;1≤j≤n .

Example 6.1.16. A = [-1 2;3 -4]; B = [1 0 1;2 5 -2];

K = kron(A, B)

The answer is the following:

−1 0 −1 2 0 2

−2 −5 2 4 10 −4

K= .

3 0 3 −4 0 −4

6 15 −6 −8 −20 8

I = eye(n); & introduces the unit matrix of order n

L = kron(A0 , I) + kron(I, A0 ); & computes the matrix L = A0 ⊗ I + I ⊗ A0

q = Q(:); & writes the vector formed with the columns of the matrix Q

p = −inv(L) ∗ q; & solves the system L∗ p = −q

P = reshape(p, 2, 2); & reshapes the matrix P from the vector p

D1 = det(P(1:1)); & computes the principal minors of the matrix P

D2 = det(P(1:2,1:2)) & or D2 = det(P )

The answer is:

0 −2 −2 0

1 −3 0 −2

L=

1 0 −3 −2 ,

0 1 1 −6

176

4 3.3333

1 1.0000 3.3333 1.0000

q= , p =

1

, P = ,

1.0000 1.0000 0.6667

2 0.6667

D1 = 3.3333 > 0, D2 = 1.2222 > 0. The matrix P is positive definite, hence

the system is asymptotically stable.

For linear discrete-time systems Y (x + 1) = AY (x), x ∈ Z+ , where A

is an n × n matrix one can prove a result similar to Theorem 1.3.2, where

instead of Re λ < 0, Re λ > 0 and Re λ = 0 one writes respectively |λ| < 1,

|λ| > 1 and |λ| = 1.

In the examples we will check the stability of the discrete-time linear

time-invariant systems (LTI systems) with the following drift matrices.

ans = 0.2, −0.5;

Answer: asymptotically stable.

ans = −0.0625 + 0.7043i, −0.0625 − 0.7043i;

z(1) = −0.0625 + 0.7043i; z(2) = −0.0625 − 0.7043i;

for k = 1 : 2

mod(k) = abs(z(k)) & computes the modulus of the eigenvalues

end mod = 0.7071, mod = 0.7071;

Answer: asymptotically stable.

ans = −0.5000 + 0.8660i, −0.5000 − 0.8660i;

z(1) = −0.5000 + 0.8660i; z(2) = −0.5000 − 0.8660i;

for k = 1 : 2

mod(k) = abs(z(k))

end mod = 1.0000, mod = 1.0000;

Answer: stable but not asymptotically stable (why?).

ans = 3.0000, −0.4000;

Answer: unstable.

177

Discrete-time Lyapunov equation

The command which solves the discrete-time Lyapunov equation

AP A0 − P = −Q

Solve the following discrete-time Lyapunov equations and check the sta-

bility of the discrete-time LTIs with the following drift matrices.

P = dlyap(A, Q)

The answer is the following

2 1

P =

1 1

matrix P is positive definite. It follows that A is a stable matrix (i.e. the

discrete-time system is asymptotically stable).

Complex Numbers and for Functions of

a Complex Variable

6.2.1 MATLAB

Creating Complex Numbers

The basic imaginary unit is represented in MATLAB by either the letter

i or by the letter j. One way of creating a complex value in MATLAB

is to write the real part plus the imaginary part times i: z = x + yi or

z = x + y ∗ i (example: z = 3 + 5i). Another way is using the complex

function: z = complex(3, 5); answer: z = 3.0000 + 5.0000i. If X and Y are

matrices, then complex(A, B) returns A + B ∗ i.

Answer: A = 1.0000 + 2.0000i -1.0000+3.0000i.

178

Functions

Let z be a complex number and Z a complex array.

The function real, which is used as x = real(z) or X = real(Z) returns

the real part of z or the real part of the elements of Z.

Z = [2 − 3i 1 + 5i]; X = real(Z): X = 2 1.

the imaginary part of z or the imaginary part of the elements of Z.

Z = [2 − 3i 1 + 5i]; Y = imag(Z): Y = −3 5.

absolute value (complex modulus) of z or of the corresponding elements of

Z.

Z = [2 − 3i 1 + 5i]; R = abs(Z): R = 3.6056 5.0990.

returns the phase angle, in radians, of z or of the corresponding elements of

Z. The angle lies between −π and π. The statement Z = R ∗ exp(i ∗ T )

converts back to the original Z.

t = angle(z): t = −0.5236; z = r ∗ exp(i ∗ t): z = 1.7321 − 1.000i.

The function conj, which is used as Zbar = conj(Z) returns the complex

conjugate of the elements of Z.

Zbar = [3 + i, conj(x) + conj(y) ∗ i]

[ 5, 4 − 9 ∗ i].

Now, let us declare x and y as real variables:

syms x y real; Z = [3-i x-y ∗ i;5 4+9i]; Zbar = conj(Z): Zbar = [3+i, x+y∗i]

[ 5, 4 − 9 ∗ i].

179

Taylor Series Expansion

The command is taylor and the syntax is the following:

sym z;

taylor(f (z), z, ’ExpansionPoint’, a, ’Order’, n),

where n is the truncation order specified by the name-value pair argument

Order, a is the expansion point specified by the name-value pair argument

ExpansionPoint.

If we write taylor(f (z), z, a) it means that the default truncation order

is n = 0 and if we omit also a, so we write taylor(f (z), z), then the default

expansion point is a = 0.

Ts = taylor(f, z, ’ExpansionPoint’, 1, ’Order’, 5):

Ts = exp(1)+exp(1)∗(z −1)+(exp(1)∗(z −1)ˆ2)/2+(exp(1)∗(z −1)ˆ3)/

6 + (exp(1) ∗ (z − 1)ˆ4)/24.

Ts(z) = zˆ5/120 + zˆ4/24 + zˆ3/6 + zˆ2/2 + z + 1;

Ts(1 + i) = 22/15 + (23 ∗ i)/10.

F (z) = taylor(f, z, ’ExpansionPoint’, 0, ’Order’, 10):

F (z) = zˆ9 + zˆ8 + zˆ7 + zˆ6 + zˆ5 + zˆ4 + zˆ3 + zˆ2 + z + 1

>> F (2i) = 205 + 410 ∗ i.

integrating term by term F (z) and f (z) and by equalizing the integrals.

>> int(F (z), z);

ans = zˆ10/10 + zˆ9/9 + zˆ8/8 + zˆ7/7 + zˆ6/6 + zˆ5/5 + zˆ4/4 + zˆ3/

3 + zˆ2/2 + z

>> int(f (z), z); ans = − log(z − 1).

Actually, the geometric series is convergent for |z| < 1 and the precise

expansion is

zˆ4/24 − zˆ2/2 + 1.

180

Example 6.2.13. F (z) = taylor(sin(z), z): F (z) = zˆ9/362880−zˆ7/5040+

zˆ5/120 − zˆ3/6 + z.

zˆ4/24 + zˆ2/2 + 1.

5040 + zˆ5/120 + zˆ3/6 + z.

G(z) = sinh(1/(z − a)).

First we replace in the expansion of F (z) from Example 6.2.15, z by 1/

(z − a).

syms a; F (z) = zˆ9/362880 + zˆ7/5040 + zˆ5/120 + zˆ3/6 + z;

G(z) = F (1/(z − a)):

G(z) = −1/(a − z) − 1/(6 ∗ (a − z)ˆ3) − 1/(120 ∗ (a − z)ˆ5) − 1/(5040 ∗

(a − z)ˆ7) − 1/(362880 ∗ (a − z)ˆ9).

6.2.2 MAPLE

The basic imaginary unit is represented in MAPLE by the capital letter

I.

Functions

The function Complex is similar to the function complex in MATLAB.

z = −3 + 5I: z = −3 + 5 I.

Example 6.2.18. Matrix ([[1, −2], [0, 3]]) + Matrix ([[Pi, 12], [5, 0]]) · I:

1 + Iπ −2 + 12 I

.

5I 3

The functions Re, Im, abs, argument, conjugate are similar to the

functions real, imag, abs, angle, conj in MATLAB.

√

Example 6.2.20. Im(1 − I · sqrt(Pi)): − π.

181

√

Example 6.2.21. abs(1 − I · sqrt(Pi)): 1 + π.

√

Example 6.2.22. argument(1 − I · sqrt(Pi)): − arctan( π).

1

Example 6.2.23. argument(1 − I · sqrt(3)): − π.

3

√

Example 6.2.24. conjugate(1 − I · sqrt(Pi)): 1 + I π.

1√

Pi Pi 1

Example 6.2.29. Re sin + ·I : 2 cosh π ;

4 3 2 3

1√

Pi Pi 1

Im sin + ·I : 2 sinh π ;

4 3 2s 3

2 2

Pi Pi 1 1 1

abs sin + ·I : 2 cosh π + 2 sinh π ;

4 3 2 3 3

1

sinh π

Pi Pi 3

argument sin + ·I : arctan ;

4 3 1

cosh π

3

Pi Pi 1 1

conjugate sin + ·I : sin π − Iπ .

4 3 4 3

−1 3

Example 6.2.30. Re(Matrix ([[−1 + I, 3], [7I, −I · Pi]])): ;

0 0

1 0

Im(Matrix ([[−1 + I, 3], [7I, −I · Pi]])): ;

7 −π

√

2 3

abs(Matrix ([[−1 + I, 3], [7I, −I · Pi]])): .

7 π

The functions argument and conjugate do not apply to matrices.

In order to convert a complex number to the polar (exponential) form

we use the function polar. The syntax is polar(z), where z is a complex

182

expression, and furnishes polar(r, t), where r and t are real expressions. So,

polar converts the complex-valued expression z to its representation in polar

coordinates. The result is represented as polar(r, t), where r is the modulus

of z and t is the argument of z.

The point at infinity (complex infinity, denoted in MAPLE by cs-infinity)

has the algebraic form infinity + I · infinity = ∞ + ∞ I. and the canonical

(polar) form ∞eundefined I (i.e. r = ∞ and t = undefined).

√

1

Example 6.2.31. z := sqrt(3)−I: 3 − I; polar(z): polar 2, − π ;

6

The RootFinding package is a suite of advanced commands for finding

roots numerically. The top-level commands used for analytic functions are

Analytic and AnalyticZerosFound. These commands determine the zeros

of an analytic function of one complex variable.

The syntax is the following:

Analytic(f, z, a + c ∗ I..b + d ∗ I, . . .)

Analytic(f, z, re = a..b, im = c..d, . . .)

AnalyticZerosFound

In the previous syntax f represents an analytic function of the variable

z (or an equation defining such), z is an unknown (optional) and a, b, c, d

are real constants. Analytic finds all complex zeros of the analytic func-

tion f (z) within the rectangular region a ≤ Re z ≤ b, c ≤ Im z ≤ d in C.

AnalyticZerosFound returns a sequence of the zeros which have been lo-

cated. These may be accessed after Analytic returns, or if its computation

is interrupted.

The remaining arguments are interpreted as options.

digits := n; indicates that the accuracy of the zeros computed is usually

less than n digits; the minimum is 5.

iterations=n; indicates the number of iterations of Newton’s method to be

applied for each starting point; the default is 50.

plot; returns a plot of the zeros instead of the zeros.

When plotting, the zeros will be reduced modulo a in the real direction

and modulo b in the imaginary direction. With the option ’modulo’ they will

183

be reduced to the region 0 ≤ Re z ≤ a, 0 ≤ Im z ≤ b. With option ’modulo s’

a a b b

they will be reduced to the region − ≤ Re z ≤ , ≤ Im z ≤ .

2 2 2 2

Example 6.2.32. Load the package RootFindind.

with(RootFinding)

f := z 4 + 2 · z 3 + z 2 − 2 · z − 2

z 4 + 2z 3 + z 2 − 2z − 2

Analytic(f, z, −1 − I..1 + I)

−1.00000000000000, −1.00000000000000 − 1.00000000000000 I,

−1.00000000000000 + 1.00000000000000 I

Example 6.2.33. f := z 2 − 2 · z − 2 · I + 1

z 2 − 2z + 1 − 2 I

zeroes := Analytic(f, z, −1.5 − 1.5 · I..2 + 1.5 · I)

−1. I, 2.00000000000000 + 1.00000000000000 I

plots[complexplot](zeros, style=”point”, axes=boxed )

Example 6.2.34. Determine a polynomial with given roots and verify the

result.

Pi

zeros := 1 − I, 2 + 3 · I, , I · Pi :

2

f := mul (z − z0, z0 = zeros)

1

(z − 1 + I)(z − 2 − 3 I) z − π (z − Iπ)

2

Analytic(f, 3 · (−I)..4 + 4 · I)

1.57079632679490, 3.14159265358983I, 1.00000000000000−1.00000000000000I

2.00000000000000 + 3.00000000000000 I

184

Definite and Indefinite Integration

The command int performs definite and indefinite integration. The syn-

tax is the following: R

int(expression, x) expression dx

Rb

int(expression, x = a..b) a

expression dx

int(expression, [x, y])

int(expression, x = a..b, opt)

int(expression, [x = a..b, y = c..d, . . .], opt)

int(f, a..b, opt)

int(f, [a..b, c..d, . . .], opt)

The above parameters mean the following:

x, y - name; variables of integration

a, b, c, d - endpoints of interval on which the integral is taken

f - function, integrand

opt - (optional) a sequence of one or more points

If a and b are complex numbers, then the int routine computes the definite

integral over the straight line from a to b.

1 2z

e

2

Example 6.2.36. int(exp((2 − 3 · I) · z), z)

2 3

+ I e(2−3 I)z

13 13

sin((π − I)z)

π−I

65

4

185

Example 6.2.39. int(x3 , x = 2 + I..3 + 4 · I)

−130 − 90 I

int(f, z = 0..1)

−1 + 2 ln(2)

Example 6.2.41. f := log(z + 1):

int(f, z = I..1 − 3 · I)

1 1 1 1

− ln(2) − Iπ − I ln(2) + π + 4 I + ln(13)

2 4 2 4

3 3 3

−2 I arctan − I ln(13) − 3 arctan

2 2 2

Example 6.2.42. int(f, z = I..1 − 2 · I)

5 3 7 1

ln(2) − Iπ − I ln(2) − π − 1 + 3 I

2 4 2 4

FunctionAdvisor/analytic extension returns the definition of the a-

nalytic extension of a function, typically to the entire complex plane. If this

is not available, the FunctionAdvisor command returns NULL. The syntax

is the following:

FunctionAdvisor(analytic extension, math function)

For most functions the domain of the classical definition is the entire

complex plane.

Example 6.2.43. FunctionAdvisor (definition, Γ(x))

Z ∞

kI z−1

Γ(x) = d kI, And(0 < <(x))

0 e kI

π

Γ(z) = , And(<(z) < 0)

sin(πz)Γ(1 − z)

186

FunctionAdvisor/branch cuts returns the branch cuts of a function.

The syntax is the following:

FunctionAdvisor(branch cuts, math function name)

FunctionAdvisor(branch cuts, math function name); returns the

branch cuts of the function, if any, or the string ”No branch cuts”. If the

requested information is not available, the FunctionAdvisor command re-

turns NULL.

FunctionAdvisor/branch points returns the branch points of a func-

tion. The syntax is the following:

FunctionAdvisor(branch points, math function)

FunctionAdvisor(branch points, math function); it will return the

branch points of the function, if any, or the string ”No branch points”. If

the requested information is not available, the FunctionAdvisor command

returns NULL.

[arcsin(z), z ≤ −1, 1 ≤ z]

∞ I]

187

The branch cuts are sometimes compactly expressed in terms of Real-

Range or ComplexRange; in these cases converting the result to relation

may be of help to figure out where the cuts are.

≤ =(z), =(z) ≤ ∞)]

also the essential singularities of a function. The syntax is the following:

FunctionAdvisor(singularities, math function)

[ez , z = ∞ + ∞ I]

But the answer is wrong for composite functions, as we can see from the

following.

1

Example 6.2.50. FunctionAdvisor singularities, exp

(z − 1)

1 1

sin , =∞+∞ I

z−1 z−1

1

Example 6.2.51. FunctionAdvisor singularities, sin

(z − 1)

1 1

e z−1 , =∞+∞ I

z−1

188

Taylor and Laurent Series Expansion

For the Taylor series expansion we use the command taylor. The syntax

is the following:

taylor(expression, x = a, n)

The taylor command computes the order n Taylor series expansion of

expression, with respect to the variable x/z , about the point a.

1 1 1

e2 + e2 (x − 2) + e2 (x − 2)2 + e2 (x − 2)3 + e2 (x − 2)4

2 6 24

1 2

e (x − 2)5 + O (x − 2)6

+

120

taylor (exp(z), z = I, 5)

1 1 1

eI + eI (z − I) + eI (z − I)2 + eI (z − I)3 + eI (z − I)4

2 6 24

5

+O (z − I)

taylor (exp(z), z = 1 + I, 4)

1 1

e1+I + e1+I (z − 1 − I) + e1+I (z − 1 − I)2 + e1+I (z − 1

2 6

3 4

−I) + O (z − 1 − I)

1

Example 6.2.53. taylor exp , z = 1, 5

z

3 13 73

e − e(z − 1) + e(z − 1)2 − e(z − 1)3 + e(z − 1)4

2 6 24

+O (z − 1)5

Example 6.2.54. The following answer is provided when the function is not

analytic ata.

1

taylor exp , z = 0, 5

z

Error, (in series/exp) unable to compute series

189

Example 6.2.55. taylor (sin(z), z = 0, 10)

1 1 5 1 7 1

z − z3 + z 9 + O z 10

z − z +

6 120 5040 362880

Example 6.2.56. taylor (cos(z), z = 0, 10)

1 1 1 6 1

1 − z2 + z4 − z 8 + O z 10

z +

2 24 720 40320

1

Example 6.2.57. taylor , z = 0, 5

(1 − z)

1 + z + z 2 + z 3 + z 4 + O(z 5 )

1

Example 6.2.58. taylor , z = 1 − I, 5

(1 − z)

+O (z − 1 + I)5

1

Example 6.2.59. taylor , z = 0, 5

(1 − z)2

1 + 2z + 3z 2 + 4z 3 + 5z 4 + O z 5

1 1 1 5 4 7 5

1 + z − z2 + z3 − z + O z6

z +

2 8 16 128 256

Example 6.2.61. The answer that we get when a is a branch point.

we use numapprox[laurent]. The syntax is the following:

laurent(f, x = a, n)

laurent(f, x, n)

190

The function laurent computes, within the package numapprox, the

Laurent series expansion of the function f , with respect to the variable x/z,

about the point a, up to order n (optional).

If the result of the series function applied to the specified arguments is

a Laurent series with finite principal part (i.e. only a finite number of non-

negative powers appear in the series), then this result is returned; otherwise,

an error-return occurs.

Example 6.2.62. with(numapprox ):

1 1

f := z −→ z −→

(1 − z) 1−z

1 + z + z2 + z3 + z4 + z5 + O z6

laurent(f (z), z = 0)

1 1 7 2

z −2 + + z + O z4

Example 6.2.63. laurent ,z = 0

z · sin(z) 6 360

1

Example 6.2.64. laurent ,z = 1

z · cos(z − 1)

3 3 41 41

1 − (z − 1) + (z − 1)2 − (z − 1)3 + (z − 1)4 − (z

2 2 24 24

−1)5 + O (z − 1)6

!

1

Example 6.2.65. laurent , z = 1, 8

(z − 1)3 sin(z − 1)

1 7 31 127

(z − 1)−4 + (z − 1)−2 + + (z − 1)2 + (z

6 360 15120 604800

−1)4 + O (z − 1)5

1

Example 6.2.66. laurent 1 + , z = 1, 4 (z−1)−1 +1

(z − 1)

(z 3 + 4 · z 4 − z + 3)

Example 6.2.67. laurent , z = 1, 3

((z − 1)3 · (z + 2) · (z − 2))

7 68 400 1463

− (z − 1)−3 − (z − 1)−2 − (z − 1)−1 −

3 9 27 81

4450 13289

(z − 1)2 + O (z − 1)3

− (z − 1) −

243 729

191

(z 3 + 4 · z 4 − z + 3)

f := laurent , z = −2, 4

((z − 1)3 · (z + 2) · (z − 2))

61 163 167 7711

(z + 2)−1 − + (z + 2) + (z + 2)2

8 432 5184 186624

+O (z + 2)3

Computation of Residues

The command residue computes the algebraic residue of a function f at

an isolated singular point a. The syntax is residue(f, z = a).

(z + 1) z+1

Example 6.2.68. f := z −→ z −→

z z

residue (f (z), z = 0) 1

residue (f (z), z = infinity) −1

We have that 1 + (−1) = 0.

(4 · z 4 + z 3 − z + 3)

400

Example 6.2.69. residue , z = 1 −

((z − 1)3 · (z +2) · (z − 2)) 27

4 3

(4 · z + z − z + 3) 73

residue 3

,z = 2

((z − 1) 4· (z + 2) · (z − 2)) 4

(4 · z + z 3 − z + 3)

61

residue 3 · (z + 2) · (z − 2))

, z = −2

((z − 1) 108

4 3

(4 · z + z − z + 3)

residue , z = infinity −4

((z − 1)3 · (z + 2) · (z − 2))

400 73 61

We have that + + − 4 = 0.

27 4 108

Pi

Example 6.2.70. residue tan(z), z = −1

2

sin(z)

Example 6.2.71. residue ,z = 0 0 (z = 0 is a removable

z

singular point)

sin(z)

Example 6.2.72. residue ,z = 0 1

z2

sin(z) 1

Example 6.2.73. residue 4

,z = 0 −

z 6

192

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196

Index

65, 179 equation, 9, 12

algebraic branch point, 73 polynomial, 7, 28, 57, 58

algebraic form of a complex number, closed contour, 68

65 complex number, 61, 178

analytic (holomorphic) function, 85, complex plane, 65

98, 100 conjugate of a complex number, 65,

analytic continuation of a function, 179

88 connected set, 67

annulus, 68 continuity of a complex function, 70

argument of a complex number, 65, control of a system, 23

179 convergent sequence, 66

asymptotically stable in a neighbor-

hood of a SDEs derivative of a complex function, 84,

global, 32 85

local, 32 diagonalizable matrix, 8, 9, 34, 40,

asymptotically stable SDEs, 24, 25, 44, 45

28–30 domain, 68

doubly connected domain, 68

boundary of a set, 67

boundary point, 67 eigenspace, 7, 39

branches of a multiple-valued func- eigenvalue, 7–12, 25, 29, 34, 36, 38,

tion, 72, 187 40, 42, 44, 45, 52, 53, 171,

173–175

Cauchy’s Fundamental Theorem, 111 eigenvector, 7–11, 35, 37, 38, 40, 42,

Cauchy’s Integral Formula, 116 173, 174

Cauchy’s Integral Formula for Deriva- equilibrium position, 24, 31, 32, 56

tives, 119 Euler’s formula, 72

Cauchy’s Theorem for Multiply Con- exponential complex function, 71, 88

nected Domains, 113 exponential form of a complex num-

Cauchy-Riemann conditions, 86 ber, 66

197

extended complex plane, 67 removable, 129

exterior point, 67

Jordan cell, 7, 8, 22, 25, 46, 54, 173,

Fréchet differentiable function, 84 174

fundamental Jordan’s lemmas, 146

matrix, 13, 14, 18, 20, 21, 23

Kronecker product, 31, 176

system of solutions, 6, 8, 9, 11,

19, 36, 38, 39, 41, 43 lacuna, 69

Laurent series, 128, 133, 136, 190

general response, 23 limit of a complex function, 70

generalized eigenvector, 7, 8, 11, 12 linear and homogenous SDEs, 8

geometric series, 121 linear and homogenous SDEs with con-

Green-Riemann formula, 112 stant coefficients, 6, 171, 172

linear complex function, 70

harmonic function, 87

linear control system, 23

Hermitian matrix, 28

linear SDEs, 2

homogenous SDEs, 2, 4

linear time-invariant system, 23, 177

homogenous system, 5

linearization, 32

Hurwitz matrix, 27, 53

Liouville’s formula, 6

Hurwitz polynomial, 27, 28, 53

logarithmic branch point, 76

imaginary axis, 65 logarithmic complex function, 75

imaginary part of a complex function, Lyapunov equation, 29, 31, 53–55, 175,

70, 77, 95, 97 176

imaginary part of a complex number, Lyapunov function, 30, 55, 56

65, 77, 94, 179 Lyapunov function (for a linearized

indefinitely increasing sequence, 66 system), 33

initial condidition of a SDEs, 3

method of undetermined coefficients,

initial value problem, 3

22

input of a system, 23

multiplicity

input-output map, 23

algebraic, 7, 9, 12, 44, 173, 175

integral of a function over a curve,

geometric, 7, 37, 44, 173

108

interior of a set, 67 n-uply connected domain, 68

interior point, 67 neighborhood of a point, 66

inverted complex function, 71 neighborhood of the point at infinity,

isolated singular point, 125 67

essential, 130 non-diagonalizable matrix, 10, 40, 44,

pole of order k, 129 45, 47

198

nonlinear time invariant system, 31 stable matrix, 27, 29, 57, 175, 178

stable nonlinear time invariant sys-

open disk, 66 tem, 31

open set, 67 stable SDEs, 24, 25

ordinary point, 122 state equation, 23

output equation, 23 state of a system, 23

output of a system, 23

Taylor series, 122, 125, 189

partition, 108 the radical complex function, 72

path-wise connected set, 68 Theorem

Peano-Baker formula, 14, 17 Existence and Uniqueness of so-

point at infinity, 66 lutions of an SDEs, 3

polar coordinates, 65 of Analytic Continuation, 88

positive definite functional, 33 of Weierstrass, 122

positive definite matrix, 28 on Instability, 33

positive definite quadratic form, 30 on Local Asymptotic Stability, 33

principal branch, 74 on Local Stability, 33

principal vector, 8, 40–42, 49 trigonometric complex functions, 88

trigonometric form of a complex num-

quasipolynomials, 22 ber, 65

triply connected domain, 68

real axis, 65

real part of a complex function, 70, unstable nonlinear time invariant sys-

78 tem, 31

real part of a complex number, 65, 76, unstable SDEs, 24, 25

94, 179

residue at the point at infinity, 143 variation of parameters, 19, 21

residue of a function at a point, 141, variation of parameters formula, 20,

155, 157, 192 22, 23, 47

Residue theorem, 142

Weierstrass criterion, 16

Routh-Hurwitz criterion, 28, 53

Wronskian, 5, 6, 9

semigroup property, 14

simple pole, 129

simply connected set, 68

single-valued complex function, 69

singularity, 125

solution of a SDEs, 2, 7

spectrum, 7, 10

199

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