FOURIER SERIES, TRANSFORMS, AND BOUNDARY VALUE PROBLEMS Second Edition J. RAY HANNA Professor Emeritus University of Wyoming Laramie, Wyoming JOHN H. ROWLAND Department of Mathematics and Department of Computer Science University of Wyoming Laramie, Wyoming @ A Wiley-Interscience Publication John Wiley & Sons, Inc. 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Rowland. p. cm. -- (Pure and applied mathematics, ISSN 0079-8185) Rev. ed. of: Fourier series and integrals of boundary value problems. c1982. “A Wiley-Interscience publication.” Includes bibliographical references (p. ISBN 0-471-61983-3 1, Boundary value problems. 2. Fourier series. I. Rowland, John H. Il. Hanna, J. Ray. Fourier series and integrals of boundary value problems. IH. Title. IV. Series: Pure and applied mathematics (John Wiley & Sons) QA379.H36 1990 515°,36--de20 89-25089 cr Printed in the United States of America 10987654321PREFACE The basic philosophy remains the same as in the first edition. The primary changes consist of the addition of new material on integral transforms, discrete and fast Fourier transforms, series solutions, harmonic analysis, spherical harmonics, and a glance at some of the numerical techniques for the solution of boundary value problems. The order of presentation of some of the material from the first edition has been rearranged to provide more flexibility in arranging courses based on this text. The book contains more than enough material for a one semester course. For this reason we have attempted to keep the later chapters relatively self-contained. The first three chapters contain basic material which would ordinarily be covered in a course of this nature. These could be followed by any combination of Chapters 4, 5, 6, and 8, except that Sections 8.11-8.13 depend on Chapter 5 and Sections 8.14 and 8.15 depend on Chapter 6. Chapter 7 depends somewhat on the theory presented in Chapter 4 and the Hankel and Legendre transforms depend on Chapters 5 and 6, respectively. Chapter 9, taken in its entirety, is dependent on all of the preceding chapters. However, instructors who prefer to interweave applications with the development of tools will find that it is possible to select pertinent topics from Chapters 8 and 9 as the necessary mathematics is developed. A one-semester course given at the University of Wyoming covers substantial portions of Chapters 1, 2, 3, 4, 7, and 8. This course has upper class and graduate students from fields such as geophysics, physics, en- gineering, computer science, and mathematics. We are indebted to Maria Taylor and Bob Hilbert for valuable editorial assistance and to many students for catching errors and suggesting improve- ments. Finally, we express our special appreciation to Janet Netzel and Mitzi Stephens for their skillful typing. J. Ray HANNA Aurora, Colorado Joun H. RowLanp Laramie, Wyoming May, 1990PREFACE TO THE FIRST EDITION This book is a result of the development of a set of notes for a course in boundary value problems, using Fourier series and integrals. Its primary objective is to acquaint students with the solutions of boundary value problems associated with natural phenomena. It is therefore necessary for the reader to understand basic concepts and manipulations of elementary calculus. Although some mathematical ideas from advanced calculus are beneficial, many of the concepts are contained in this book. A minimal background in physics will aid one in understanding the modeling of a few problems concerning heat, wave, and potential theory. This book refers to the main process for solving boundary value problems as the Fourier method. To understand the details of this procedure, topics of orthogonality, Fourier series, and integrals precede the discussion of the Fourier method. Of necessity such topics as convergence, existence, and uniqueness are included. Emphasis is placed clearly on the use of basic concepts and techniques rather than the details of developing the theory. There are many completely solved examples. These are followed by exer- cises that allow the reader ample opportunity to test his/her understanding of the material. Most exercises are accompanied with answers. Some answers are implied in the problems, while others are given in an answer section. The abbreviations used are listed in.the index. Content similar to that of this book has been used in a course of three semester hours with several classes. If a prerequisite of ordinary differential equations is prescribed, much of Chapter 1 may be omitted. To shorten the course chapters on either Bessel functions or Legendre polynomials may be deleted. Work with operators may be reduced, or other sections may be omitted without seriously affecting the continuity of the course. The prefer- ence of the instructor, the background and interests of the students, and the intensity of the course should govern the choice of subject matter. Numerous colleagues and students have influenced the form of this book. It is my pleasure to thank everyone who has offered suggestions for its improvement. I am particularly indebted to my department head, JosephPREFACE TO THE FIRST EDITION Martin, for his faithful support of the project, and to Daniel Katz, a former student, for his helpful ideas and his solutions for many of the problems. To Beatrice Shube for valuable editorial assistance, and to all of the Wiley publication staff, I am deeply grateful. Finally, I express a special apprecia- tion for the skillful typing of the manuscript by Laureda Dolan, Paula Melcher, and Pat Twitchell. Humbly I acknowledge the volumes of literature, extending from a time before J. Fourier to the present, which have influenced the composition of this book. It would be an endless task to mention each one. A list of references, by no means exhaustive, is included to aid the reader. In spite of careful proofreading, some errors are elusive and not discov- ered. I encourage readers to inform me of mistakes and to offer suggestions for the improvement of the book. J. Ray HANNA Laramie, Wyoming January 1982CONTENTS 1. Linear Differential Equations 1 Linear Operators, 1 Ordinary Differential Equations, 2 Homogeneous Linear ODE with Constant Coefficients, 5 Euler’s ODE, 7 Series Solutions, 8 Frobenius Method, 13 Numerical Solutions, 19 Linear PDEs, 23 Classification of a Linear PDE of Second Order, 23 Boundary Value Problems with PDEs, 24 Second Order Linear PDEs with Constant Coefficients, 26 Separation of Variables, 35 2. Orthogonal Sets of Functions 40 2.1. Orthogonality and Vectors, 40 2.2. Orthogonal Functions, 42 2.3. Complex Functions, 46 2.4. Additional Concepts of Orthogonality, 47 2.5. The Sturm-Liouville Boundary Value Problem, 50 2.6. Uniform Convergence of Series, 58 2.7. Series of Orthogonal Functions, 61 2.8. Approximation by Least Squares, 64 2.9. Completeness of Sets, 65 3. Fourier Series 3.1. Piecewise Continuous Functions, 68 3.2. A Basic Fourier Series, 72 3.3. Even and Odd Functions, 76CONTENTS 3.4. Fourier Sine and Cosine Series, 77 3.5. Complex Fourier Series, 80 3.6. Harmonic Analysis, 82 3.7. Uniform Convergence of Fourier Series, 89 3.8. Differentiation of Fourier Series, 92 3.9. Integration of Fourier Series, 94 3.10. Double Fourier Series, 97 Fourier Integrals 102 4.1. Uniform Convergence of Integrals, 102 4.2. A Generalization of the Fourier Series, 107 4.3. Fourier Sine and Cosine Integrals, 109 4.4. The Exponential Fourier Integral, 112 Bessel Functions 117 5.1. The Gamma Function and the Bessel Function, 117 5.2. Additional Bessel Functions, 120 5.3. Differential Equations Solvable with Bessel Functions, 122 5.4. Special Bessel Functions and Identities, 124 5.5. An Integral Form for J,(x), 130 5.6. Singular SLPs, 133 5.7. Orthogonality of Bessel Functions, 134 5.8. Orthogonal Series of Bessel Functions, 137 5.9. Bessel Functions and Cylindrical Geometry, 140 Legendre Polynomials 142 6.1. Solutions to the Legendre Equation, 142 6.2. Rodrigues’ Formula for Legendre Polynomials, 146 6.3. A Generating Function for P,(x), 149 6.4. The Legendre Polynomial P,(cos 6), 151 6.5. Orthogonality and Norms of P,(x), 152 6.6. Legendre Series, 154 6.7. Legendre Polynomials and Spherical Geometry, 158 6.8. Spherical Harmonics, 161 6.9. The Generalized Legendre Equation, 162 Integral Transforms 168 7.1. Laplace Transforms, 168 7.2. Existence of the Transform, 169 7.3. The Gamma Function and Laplace Transforms, 170 7.4. Transforms of Derivatives, 172 7.5. Derivatives of Transforms, 172 7.6. The Inverse Laplace Transform, 173CONTENTS 7.7, Solutions of ODEs and IVPs, 173 7.8. Partial Fractions, 174 7.9. The Unit Step Function, 175 7.10. Shifting Properties, 176 7.11. The Dirac Delta Function, 177 7.12. Convolution, 180 7.13. Laplace Transform Method for PDEs, 186 7.14. Finite Fourier Transforms, 189 7.15. Fourier Transforms, 191 7.16. The Discrete Fourier Transform, 197 7.17. The Fast Fourier Transform, 203 7.18. Fourier Transforms of Functions of Two Variables, 208 7.19. Hankel Transforms, 209 7.20. Legendre Transform, 214 7.21. Mellin Transform, 215 8. Application of BVPs 219 8.1. The Vibrating String, 219 8.2. Verification and Uniqueness of the Solution of the Vibrating String Problem, 225 8.3. The Vibrating String with Two Nonhomogeneous Conditions, 228 8.4. Longitudinal Vibrations along an Elastic Rod, 230 8.5. Heat Conduction, 236 8.6. Numerical Solution of the Heat Equation, 241 8.7. Verification and Uniqueness of the Solution for the Heat Problem, 242 8.8. Gravitational Potential, 246 8.9. Laplace’s Equation, 247 8.10. Numerical Solution of the Laplace Equation, 251 8.11. Temperature in a Circular Disk with Insulated Faces, 254 8.12. Steady State Temperature in a Right Semicircular Cylinder, 256 8.13. Harmonic Interior of a Right Circular Cylinder, 260 8.14. Steady State Temperature Distribution in a Sphere, 264 8.15. Potential for a Sphere, 267 9. Additional Applications 270 9.1. Mechanical and Electrical Oscillations, 270 9.2. The Vibrating Membrane, 273 9.3. Vibrations of a Circular Membrane Dependent on Distance from Center, 280 9.4. The Vibrating String with an External Force, 283 9.5. Nonhomogeneous End Temperatures in a Rod, 289 9.6. A Rod with Insulated Ends, 291xii CONTENTS 9.7. A Semi-Infinite Bar, 295 9.8. An Infinite Bar, 297 9.9. Discrete Fourier Transform Solutions, 305 9.10. A Semi-Infinite String, 307 9.11. A Semi-Infinite String with Initial Velocity, 310 References 315 Answers to Exercises 317 Appendix 1 Selected Integrals 340 Appendix 2 Table of Laplace Transforms 342 Appendix 3 Tables of Finite Fourier Transforms 344 Appendix 4 Tables of Fourier Transforms 346 Index 349FOURIER SERIES, TRANSFORMS, AND BOUNDARY VALUE PROBLEMS1 LINEAR DIFFERENTIAL EQUATIONS The primary objective of this book is to develop procedures for obtaining solutions to boundary value problems (abbreviated BVPs) containing partial differential equations (abbreviated PDEs). One of the principal solution procedures for PDEs requires some knowledge of ordinary differential equations (abbreviated ODEs) and their solutions. This chapter begins with a Teview of basic concepts for solving ODEs. The topics considered will include the superposition principle, characteristic equations, power series solutions, the Frobenius method, and numerical solutions. The remainder of the chapter will involve definitions, classifications, and solutions of PDEs. 1.1. LINEAR OPERATORS An operator is a mathematical transformation applied to a function to produce another function. If Q is an operator, the notation Qy means that Q acts upon the function y to produce a new function Qy. For Qy = y’, Gis a squaring operator. The new function is y. When Qy=Dy, Q is a derivative operator D and the transformed function is the derivative of y. A linear operator L changes each function so that for two functions y, and y, of a class L(c,y, + &2y2) = ey Ly, + e2Ly> (1.1) if c, and ¢, are constants. One finds by using (1.1) that the differential operator D is linear but the squaring operator is not linear. The sum of two linear operators L and M is defined by (L + M)y = Ly + My2 LINEAR DIFFERENTIAL EQUATIONS A product of two linear operators LM is the linear operator M acting upon y and sequentially L operating on My. This is expressed by LMy = L(My) In (1.1), ¢,y, + C2y, is called a linear combination of y, and y,. The linear operator acting upon the linear combination of y, and y, is the linear combination of Ly, and Ly,. A linear combination of a set of n functions is defined by > ce kL 1.2. ORDINARY DIFFERENTIAL EQUATIONS For a linear differential operator L=D" +a,(x)D"*++++ + a,_,(x)D + a,(x) and a function f(x) Ly=f (1.2) is a linear ODE of order n. If f =0, the equation Ly=0 (1.3) is a linear homogeneous ODE of order n. An initial value problem (abbreviated IVP) is composed of a differential equation (1.2) or (1.3) and set of n restrictions at a single point. These restrictions, called initial conditions, have the form YO) = Yor Y'Oo) = Yor + VP) =? (14) where yo, y,,..., y""» are constants. A boundary value problem (abbreviated BVP) contains a differential equation and a set of n constants called boundary conditions. These conditions are given at two or more points. At this time definitions for both the IVP and the BVP are relative to ODEs. The equation y” + 4y = 0 with restrictions y(0) = y'(0) = 1 is an IVP. The ODE y" + 4y =0 accompanied by y(0) = 1, y(a/4) =0 is a BVP. Although our main emphasis is the determination of solutions, questions of existence and uniqueness of solutions for differential equations with constraints are important. If one succeeds in finding a solution for an IVP or