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AHLFORS
Complex Analysis
of Differentia]
BELLMAN
BUCK
Equations
The Theory
Elementary Theory
Numbers
HILDEBRAND
HOUSEHOLDER
LASS
*
Elements
LASS
LEIGHTON
An
NEHARI
Conformal Mapping
Vector Analysis
NEWELL
ROSSER Logic for Mathematicians RUDIN Principles of Mathematical Analysis SNEDDON Elements of Partial Differential Equations
SNEDDON
STOLL
Fourier Transforms
WEINSTOCK
Calculus of Variations
19
1-1
-1
2
10
33
10
9
(1-42)
11 001 00-46
t
uuc otage we interchanged rows two and The equivalent system of equations is
three.
From
iduction or otherwise that a system of n linear homogeneous equations i 771 unknowns always possesses a nontrivial solution if ra > n.
\
We now
=
t,
1
n.
The system
1, 2,
=
or
(1.44)
,the
unique
1.10.
trivial solution
=
=
if
|aj|
5^
from
o
|,mple
The only
the case
0.
Let
bl
000
;h implies 6j
=
0,
If (no summation) for at least one value of i. original system to one containing more If
0,
then x n
again exists. Continuing, we see the vanishing of at least one element along the main diagonal ies the existence of a nontrivial solution.
ample 1.23.
The determinant
system
x+y+z+uQ
5x
y -f
(1.45)
20
vanishes.
-3
System
?>y
(1.45)
z
0,
becomes
so that z
?>u
7u
3A, y
2\,
0,
o
and we have x
-\-
-\-
=0,
<
< +
oo.
On
y y
y
2x x
+ +
= = -
(1.46)
exists. see immediately that only the trivial solution x = y = of linear a system Generally speaking, homogeneous equations in n unknowns, > n, does not possess a, nontnvial solution. The reader
we
is
case.
referred to Ferrar's text on algebra for the complete discussion of this The rank of a matrix plays an important role in discussing solu-
For a discussion
of the
Example
.24.
will
he called a vector
The number
JC"
thejth component of X. We call the number, n, the dimensionality of the The determinant of the matrix X r X is called the square of the magnitude of space. 7 the vector X. If the x', ? = 1,2, r?, are complex numbers, we define ]X X| as n = conjugate comthe square of the magnitude of X, where X 7 = Ha; ;? 2
x
}
is
called
'
||,
plex of
a?.
The system
of vectors
X =
r
1,2,
(1.47)
is
said to be linearly
all
dependent
if
X2
. ,
Xw
not
XX a =
An
\i
(1.48)
is
the following:
if
The
independent system
X2
\m
0.
21
We now
Any
n.
vectors in an n-dimenis
m>
The proof
1
,
.
as follows:
is
homogeneous equations
a xl a\
in the
m
. ,
1, 2,
n] a
1, 2,
m
Q.E.D.
for
m >
n.
&r
2y
-f 3z
4w
u
= =
2x+y-z+u=Q y
2z
2.
x
3.
2/y
;(/
2.r
+2+
3w = 4w =
u
<
=
o
4//
?/
5x
4.
2s
82
2w 3w
= =
will
Determine
:
system
solve
\x
\y
1
= 4r + y = -2x + X
y
1
6.
Show that
the vectors Xi
1
,
2
erit.
Given
X =
II
1
,
X-2,
Xs
such that
1.6.
P(x,
y, z)
Quadratic Forms. The square of the distance between a point and the origin 0(0, 0, 0) in a Euclidean space is given by
L =
2
x2
(1.49)
The
generalization of (1.49) to
u-
=
l
(1.50)
1,2,
n, \a]
9* 0, yields,
from
(1.50),
n
=l
22
If
we
?/'s
system, we need
Comparing
=
t=
1
Ij* a
if
^
P
' (153) v
The system
of Eqs. (1.53) in
A^A = AA r = E
Equation
is
A =
A r = A"
If AI,
0.
1
||aj||
(1.54)
A
2
matrix
are
any two
satisfying different
We
perpendicular.
(1.50)
becomes L 2
y
t=i
x'x*,
and
for the
A must
satisfy
a].
We now
Q =
and ask whether
a a px a xP
a aj9
real; a,
1, 2,
(1.55)
X = BY
it is possible to find an orthogonal transformation such that (1.55) reduces to the canonical form
Q =
Let the student note that (1.55)
X,(2/')
(1.56)
may
Q = X TAX
r noting that X AX is a matrix of just one element and so is written as a scalar. Under the transformation X = BY, (1.57) becomes
(1.58)
23
and only
if
(1.59)
that
is,
B^AB must be
a diagonal matrix.
B-'AB = HA.SJ
or
AB =
1
(1.60)
B||X,J|
since
tion.
s=
B r = B" is required if X = BY is to be an orthogonal transformaWe may consider A to be a symmetric matrix, A = A r since X r [^-(A + A T )]X + X r [-|(A - A r )]X, and X T [|(A - A r )]X = (see
,
Prob.
9, Sec. 1.1),
while ^(A
A.
T
)
is
a symmetric matrix.
We now
B =
l|6 w
||,
satisfying (1.60).
If
aj
i,j
1, 2,
,n
(1.61)
For j
we have
n
or
X,
(1.62)
If
BI
is
(1.62)
may
be written
XBi
=
(1.63)
or
(A
XE)Bi
24
Equation (1 .63) represents a system of n linear homogeneous equations n unknowns comprising the column matrix BI. From Sec. 1.4 a necessary and sufficient condition that nontrivial solutions exist is that
in the
|A
XE|
=
a 2n
an
a 22
or
=
X
(1.64)
the characteristic equation of the matrix A. It is a so n in X of has X roots X n the 2 degree n, polynomial equation Xi, X t real or complex. The roots X], X 2 X n determine the column
call
(1
We
.64)
.
,
Bn
is,
B =
The
solution BI of
BJ<
a square matrix
is called an eigenf unction, eigenvector, called the eigenvalue, or latent root, or charXi If B! is a solution acteristic root corresponding to the eigenfunction Bj. of (1 .63), so is Bi/length of BI, a vector of unit length. If the B r i = 1 2,
ABi = X]Bi
is
or characteristic vector.
.
,
is
an
orthogonal matrix.
Let
AB =
2
1
X 2B 2
X!
X2
(1.65)
Then (ABO* s= BfA = BfA = XJBf so that BfAB 2 = XjBfB 2 and B[B 2 = 0. over Bf AB 2 = X 2BfB 2 so that (Xi - X 2 )B[B 2 =
71
. ,
MoreIf
the
i
,
1
,
2,
the matrix
is
an orthogonal
matrix.
Example
1.25.
We now
Q
firxd
7x 2 +
7?/
the linear orthogonal transformation which transforms 2 We have -\- 7z* -f 6x/y -f- 8?/z into canonical form.
7
QThe
characteristic equation
is
374 047
3
X
0|
3
7
X
7
which reduces to
\i
(7
X)(X
12) (X
2)
so that Xi
=
0.
7,
X2
12, X 3
2.
For
7 Eq. (1.63)
becomes 36 2 =
0, 36i -f 46.
0,
46 2
25
components
b 1;
b>2 ,
b 3 satisfy these
equations
is
Bi
=
_
3 5
For X 2
12 Eq. (1.63)
5 \/2
becomes -56i
36 2
0,
36i
56 2 -f 46 3
0,
46 2
56 3
0,
so that
_1
2
V2
4
5 \/2
5 \/2
For A 3
we obtain B
V2
so that
7y
-}-
7z 2
GJ-?/
Syz be(;omes
Q =
7it 2
12^ 2
2w 2
(J.66).
Each root X,
1, 2,
.
,
n, of |A
XE|
determined a column
If multiple roots of |A vector of the orthogonal matrix B. XE| occur, it appears at first glance that we cannot complete the full matrix B.
=0
However, we can show that an orthogonal matrix F exists such that the Q = X T AX, A = A r is canonical in form for the trans-
FW.
orthogonal formation.
is
X = BY, Y = CZ are = (BC)Z is an orthogonal transtransformations, then X We have (BC) T = C TB T = C^B- = (BC)" so that BC
1 1
,
an orthogonal matrix. In other words, the matrix product of orthogonal matrices is an orthogonal matrix. Next we note that, if B is an
26
<
n,
then
C =
an orthogonal matrix for the n-dimensional space. The reader can easily verify that C has the necessary properties for an orthogonal matrix.
is
and conversely.
From B~ AB - XE
1
XE|
= B-^A 1
XE|
0,
XE)B we have
|B-
AB -
XE|
= IB-KA - XE)B| = JB- |A - XE| |B| = IB- |B| |A - XE = |B-'B| |A - XE| = |A - XE|
1
)
Now
is
Y 6A =
2
0.
This
. .
is
a single homogeneous
1=1
1,
2,
n.
We know
n
1
that
t
we
1.
To
we need \
*i
6 t i6 t3
0,
N
t=i
6 t2 fr t3
0.
normalized nontrivial solution exists for n > process we construct an orthogonal matrix B.
1 involves a system of n solution exists. From the construction of
2.
By
continuing this
it
follows that
B -1 AB
has Xi
first
row and
first
27
From
1
(B~ AB)
= B rA T (BB~ AB
!
r
)
= B-'ACB 7 )- = B^ACB1
)-
= B^AB
we note
that
that
T
,
is
1
We have used the facts a symmetric matrix. Hence under the orthogonal transformation
Q = X rAX - Y T (B 'ABjY
Xi
'
2
//
\\y
//"I;
The
a p\\ \\c'
-
B~ AB
]
satisfy
\
6*22
~
c 32
C n2
C nn
of |A
r2a
XE|
*
*
=0 satisfy
'
c 2n
By
we can reduce
c a py"y ft
to the
form
a,^
=3
so that
Q becomes Q =
\i(z
2
)
X 2 ^ 2) 2
with Xi
X2
if
Xi
28
is
to canonical form.
Q.E.D.
Positive -definite Quadratic Forms.
Inverse of a Matrix.
Let us
Q = X r (S T S)X
where S
is
(1.67)
a triangular matrix,
S =
=
||sj||,
s]
for i
>
j.
From
(1.67)
It is
obvious that
Q >
this
unless
tf
Qx
0,
1,
2,
. ,
n.
If
|sj|
0,
we know that
system
=
Thus the special quadratic form
unless x
1
xn
=
has the property
unless
(1
x2
ri
0.
Q >
0,
it
Q = X AX >
X =
we
can
|a
>
an
an
012
a-21
ai2 022
>
=
|A|
>
(1.68)
(see
(1 .68)
W. L. Ferrar, Oxford University Press). Conversely, implies that Q is positive-definite. The above considerations suggest that, if Q is a positive-definite form,
"Algebra," by
Q
SrS
exists a triangular
this is true.
implies
I
For
i
ij =
1,2,
,n
For
i
(1.69)
we have s^ = an
aij since
2i
so that Su
Ssi
we obtain
SnSij
"
= =
(an)*.
sn i
I,
>
0, so that
2, 3,
n.
For
jf
=
/
I
2 we have (i 2 ) 2
+
an
I
(22)
a 22 so that
$22
(a 22
*J 2 )*
22
a y --I
2
/I
I
a i2 a 22
V
I
a2i
/
Remember
that o#
o,-.
For
2, j
>
we have
s^Sij
S 22 s 2y
29
(a 2j
Si2Sij)/S22.
set of equations
n =
(flu)*
$22
=
(1-70)
+
Ski
?-,.*)]>
0H - -
Given the numbers a the elements s from (1.70). Let the reader show that
tj
,
tj
(1 1 1
(1
(1-71)
011 021
012 022
for determining
7> 1 71
S can be used to
1
A provided X AX is positive-definite Since A = S^S, we = To find S- from S, we proceed as have AS^S 7 )" - S^S" = 0, i > j. From TS = E we obtain follows: Let T = S"
)
-
t i3
7t
^
=
1,
= 5,
i,./
1,2,
,n
Thus t^Su =
612
.
.
(1.72)
Equation
tn
t\i
(1.72)
t tj .
1,
or
= =
l/'&'ii.
For
tnSi2/s 2 2.
=
,
so that
fat,
ti n ,
^23,
Example
1.20.
We
253
1
4
s 33
From
*12
(1.70)
^13
sn
1,
s 12
2,
1S
1,
s 23
1,
A/2.
1, <23
From
1
= -2,
-01lSi8
^12fi23)/33
l/A/2,
/22
= -
(1.72)
<33
u -
1,
/ \/2,
l/\/2.
Thus
30
and
11
-5
3
A' - S-'(S1
r
)
-1
-1
has the property that Ki2B is a new matrix which can be obtained by multiplying the second row of B by k and adding these elements to the corresponding elements of the
first
row
of B.
Thus
k
l
1
b\\
612
Let the reader show that placing k in the rth row and sth column of the unit matrix E produces a matrix E r , such that E r ,B is a matrix identical to B except that the elements
b rct)
a =
1, 2,
n, are
replaced
by
b ra
kb fa
r 7* s.
5^ 0.
r 7* s.
Now
let
C -
||A, B||.
For the
in
Example
1.26
(1.73)
We manipulate C by operations on the rows until the first three rows and columns of C
EM
These operations are equivalent to multiplying C on the discussed above. Let B be the product of all the E ra
left
.
by matrices Then
BC Hence
HBA, BEII
HE, B||
BA C
E,
first
and B
with the
of (1.73),
subtract the
We obtain B from ||E, B||. For example, starting 2 and add to the second row, and multiply the first row by row from the third row. This yields
1
.
= A"
we
011-210 013-101
121
100
31
We can have
We
now
01 00
Adding ^ the row yields
third
10-1
1-2
5-20 10 1-11
-3-
row
to the first
2
1
002
1-1
1 2
1 2
1
100 010
oo
II L
11-5
1
-1
1.7. Differential
Equations.
We now
ential equations
-7-2-
a,
ax
a
i,
a =
1, 2,
n\ a]
a{
constants
^ = AX
We
X = BY,
(B~
1
A = A^
(1.74)
look for a linear transformation which will simplify (1.74). so that (1.74) becomes
Let
AB)Y
(1.75)
From previous considerations we have shown that it is possible to find a matrix B such that B~ 1 AB is diagonal (nondiagonal terms are zero).
For
this matrix
B we have
no summation on
i
(1.76)
since
B-'AB =
32
The
+
From X = BY we can
.
.
D*e -V^
x*(t), i
1, 2,
n
y\
i
(1.77)
solve for
1, 2,
n.
The
1, 2,
Let us consider two particles of masses m\ ra 2 respectively, moving continuum, coupled in such a way that equal and opposite forces proportional to their distance apart act on the particles. The differential equations of motion are d Xi , -
Example
in a one-dimensional
(-JP
,-Jj?
a(xi
(1.78)
.afo
= \^m
a
2
~a: 2
**>
For convenience,
let y\
= \/m\
xi,
2/2
">\
a /mi,
a/ra 2
k,
-jgT
2 - -?yi
H-
d*yi
df 2
_ "
W~
characteristic equation
*\
k
"2
|
y\
I
AY
di*
2/2
1|
2/2
The
is
-co?
so that Xi
-|
(w? -f
col)
[(i
w2) 2
4A; 2 ]i
yi(t),
t/ 2
(0,
and
hence
xi(t),
x z (t).
A matrix A may be subdivided into in turn each being thought of as a matrix. For array rectangular arrays,
1.8.
Subdivision of a Matrix.
example,
33
The
linear
system
y
i
= a^
i,
1, 2,
may be
written
k
x<x
a X"
1, 2, 3,
fc,
1,
In matrix form
y
1
'
-
a}
a\
al
2 2
al
k+l
y
or
Xl
Y2
Hence
AX
2
A
If
Xi
(1.79)
we
M
,
xn
we can
so that
We X = A^CY, - A XO Xi = (A! - A A A )2
3 1
|A 4
1
r<
(Y
a]
In a mesh circuit the y* are the impressed voltages, the l ances, and the x are the currents.
1.9.
Conclusion.
ax,
con-
stant,
is
/7Y
xoc
at
.
Can we
= AX?
We
form
How
= }
would be led to consider matrices of the should we go about defining such a matrix? From the
% n /n\.
calculus e*
define
if
is
a square matrix
we
n-O
34
+B+
B*
+
sum
of
(1.80)
number
an
infinite
B
as the rth partial
^E + B+~B +
2
+ ~ B'
r
sum
of (1.80).
If
lim
r
each
so
element of
Br
converges,
we
define
e*
lim
r
>
If
is
65
.
that
is,
< A =
constant, for
i,
1,
2,
n,
2
.
then
lim
r
oo
Its elements The proof is as follows: Consider the matrix B l Thus each element of B 2 in absolute value is less are of the form b j)f.
exists.
than
nA
3
2
.
by
nM
element of
The elements of B 3 are of the form blfiffi which are bounded The elements of E k are bounded by n k ~ A k Hence every B r E is bounded by the series
1
.
V
Li
nk lAh
_ ~~
E is a series bounded
r
Y
L*l
(n A ) /k
k
=1
which converges to
sin B.
Is sin
2
(\/ri)e
B +
cos
B = E?
at
oo Let the reader define cos Let the reader also show that
B and
for
a constant matrix B.
Problems
1.
AX
2.
if
a,
is
+ 1X2,
Hint: Consider
0.
=*
such
3.
Consider the quadratic form Q = a a & a x&, the s aj complex. We may write X rAX. If A =* A T show that Q is real by showing that Q = Q. A matrix A that A A r is called a Hermitian matrix. If A and B are Hermitian (see Prob. 2), show that AB -f BA and t(AB BA) are
,
Hermitian.
4.
if
A is
Hermitian.
35
to canonical form.
6.
Show
are the
same as those
of the
w -T^r +
He-J7 = Ee
in the matrix
form
where
Let
X -
CY,
|C|
0,
and
find
becomes
d2Y
W +.Hell ^\0
Oi
v Y
->|
=2U
*4
jr 4
tl
-i
-111
t||j
J-2
+ x* + + x, -
for xi Xz
t
by
first
eliminating
xi,
0-4.
9.
d2X
dt*
^A
rfX
dt
+ BA
""
Let
ss
e*C!
constant
and show that a; satisfies \w z d* + ^a] -f 6)| = if C is not the zero vector. 10. The characteristic equation of A is the determinant |A 0. This XE|
polynomial in
X,
is
written
See Dickson,
istic
"Modern
is,
equation, that
An
This
is
-f fciA"-
+ 6 A~ +
2
ZuE
36
REFERENCES
Aitken, A. C.: "Determinants and Matrices," Oliver & Boyd, Ltd., London, 1942. Albert, A. A.: "Introduction to Algebraic Theories," University of Chicago Press, Chicago, 1941.
S. MacLane: "A Survey of Modern Algebra," The Macmillan ComYork, 1941. Ferrar, W. L.: "Algebra," Oxford University Press, New York, 1941. Michal, A. D.: "Matrix and Tensor Calculus," John Wiley & Sons, Inc., New York,
Birkhoff, G.,
and
pany,
New
1947.
New
York, 1933.
CHAPTER 2
VECTOR ANALYSIS
2.1. Introduction.
line segments.
The
reader
Elementary vector analysis is a study of directed is well aware that displacements, velocities,
accelerations, forces, etc., require for their description a direction as well as a magnitude. One cannot completely describe the motion of a particle
by simply
upon
it.
The
direction of
the applied force must be stipulated with reference to a particular coordinate system. In much the same manner the knowledge that a particle has a speed of 3 fps relative to a given observer does not yield all the
pertinent information as regards the motion of the particle with respect to the observer. One must know the direction of motion of the particle.
A vector, by definition, is a directed line segment. Any physical quantity which can be represented by a vector will also be designated as a vector. The length of a vector when compared with a unit of length The magnitude of a vector will be called the magnitude of the vector. is thus a scalar. A scalar differs from a vector in that no direction is associated with a scalar. Speed, temperature, _ volume, etc., including elements of the real- La a ?>
>
number system,
Vectors will be represented by arrows (see Fig. 2.1), and boldface type will be used to distinguish a vector from a scalar. The student
will
"""FIG
21
his own notation for describing a vector in writing. vector of length 1 is called a unit vector. There are an infinity of unit vectors since the direction of a unit vector is arbitrary. If a
have to adopt
If |a| s= 0, we represents the length of a vector, we shall write a |a|. = a is zero that a a 0. say vector, 2.2. Equality of Vectors. Two vectors will be denned to be equal if, and only if, they are parallel, have the same sense of direction, and are of equal magnitude. The starting points of the vectors are immaterial. This does not imply that two forces which are equal will produce the same physical result. Our definition of equality is purely a mathematical definition. We write a = b if the vectors are equal. Moreover, we imply further that if a = b we may replace a in any vector equation by b
37
38
and, conversely,
we may
a,
by a. Figure 2.2 shows two vectors b which are equal to each other. 2.3. Multiplication of a Vector by a Scalar. If we multiply a vector a by a real number x, we define the product xa. to be a new vector
replace b
parallel to a; the
FIG. 2.2
is
magnitude
of xa. is
\x\
times
the magnitude of a. If x > 0, xa is parallel to and has the same direction as a. If x < 0, xa.
of a (see Fig. 2.3).
parallel to
We note
that
x(y&)
Oa
= =
(xy)a.
= xya
It is immediately evident that two vectors are parallel if, and only one of them can be written as a scalar multiple of the other.
if,
(atb)-f-c
FIG. 2.3
FIG. 2.4
Let us suppose we have two vectors given, 2.4. Addition of Vectors. b, is defined as follows: A say a and b. The vector sum, written a triangle is constructed with a and b forming two sides of the triangle. The vector drawn from the starting point of a to the arrow of b is defined
as the vector
(a
+b = + b) + c = 3 (a + b) =
a
b
a
+a
c)
(2.1)
(2.2) (2.3)
+ (b + xa + xb
xa
Furthermore, a c = b a d.
a, (x
y)a.
?/a,
and
if
b, c
d,
then
statements.
(-b)
VECTOR ANALYSIS
39
An equivalent
c such that c
definition of a
2.5. Applications to
origin
b (see Fig. 2.5). be vectors with a common Geometry. whose end points A, B, C, respectively, lie on a straight line.
a.
A
-b
FIG. 2.5
Let C divide in the ratio x:y, x y = 1 (see Fig. 2.6). propose to determine c as a linear combination of a and b. It is evident that
AB
We
AC.
But
(2.4)
Conversely,
origin 0,
c
let c
xb, x
1.
If a, b, c
have a common
we show that
z)a
(1
end points lie on a straight line. xb so that c = a + x(b - a). Since x(b
their
We
a)
write
is
a vector parallel to the vector b of vector addition that the end point
= AB, we
lies
on the
line joining
to B.
Q.E.D. Equation
(2.4)
is
very useful in
Example 2.1. The diagonals of a parallelogram bisect each other. Let ABCD be be any point any parallelogram, and let in space (see Fig. 2.7). The statement a defines the parallelogram c d = b
ABCD.
i/
_i_
Hence
o\
+ +
- b
I/K
_i_
A\
FIG. 2.7
The vector
Eq.
(2.4)].
(a
The vector
is
BD.
There
p.
has its end point on the line joining c)/2 with origin at [see has its end point on the line joining (b d) /2 with origin at whose end point lies on these two lines, namely, only one vector from
AC
the vector
Hence
P bisects AC
and BD.
40
Example
3:2.
In Fig. 2.8, D divides CB in the ratio 3 1 does P divide CE AD? Imagine vectors a, b, c, d, e, p drawn from a fixed point
How
E, P, respectively.
From Eq.
e
(2.4)
we
have
d
c
+3b __
_ -
2a
+ 3b
5
also
This
4d
or
[
-f
2a
=
=
5e 4- c
5
2.8
_L 2 a
_i_
The vector -d
Similarly -|e
must have its end point lying on the line AD. These two vectors have lying on the line EC.
- |d
+ fa :
|e
+ -Jc
CE
Why?
in the ratio 5:1.
Thus
divides
AD
in the ratio 2
and divides
Problems
1.
Interpret
a, b,
-,
2.
What
is
their vector
sum?
- b| ^ |a| - |b| |. graphically that |a| |b| ^ |a b|, |a that the midpoints of the lines which join the midpoints of the opposite The four sides of the quadrilateral are not necessides of a quadrilateral coincide.
5. 6.
a and b are consecutive vectors of a parallelogram. Express the diagonal vectors terms of a and b. If xa. -f 2/b = la + wb, show that x 4. a and b are not parallel. m. I, y
3.
Show Show
sarily coplanar.
7.
Show
lie in a plane. that, if two triangles in space are so situated that the three points of intersection of corresponding sides lie on a line, then the lines joining the corresponding vertices pass through a common point, and conversely. This is Desargues' theorem.
Show
2.6. Coordinate Systems. The reader is already familiar with the Euclidean space of three dimensions encountered in the analytic geometry and the calculus. The cartesian coordinate system is frequently used for describing the position of a point in this space. The reader, no doubt, also is acquainted with other coordinate systems, e.g., cylindrical
VECTOR ANALYSIS
41
We let
i, j,
k be
respectively.
(see Fig. 2.9)
If r is
the three unit vectors along the positive #, y, and z axes the vector from the origin to a point P(x y, z), then
y
xi
yj
zk
r.
(2.5)
The numbers
x, y, z
Note
z axes,
that they represent the projections of the vector r on the r is called the position vector of the point P.
and
FIG. 2.9
By
any vector
coordinate system
AI,
2,
As
are the
A = AJ + A projections of A on
Ask
x, y,
(2.6)
the
and
z axes, respectively.
They
are called the components of A. Let us now consider the motion of a fluid covering
y, z)
all of
space.
At
with components
V =
The
u(x, y,
z, t)i
v(x, y,
z, t)j
w(x,
y, z, t)k
(2.7)
depend on the point velocity components u, v, The most and the time t. vector encountered will be general P(x, y, z) describes of the form given by (2.7). a vector field. Equation (2.7) If we fix t, we obtain an instantaneous view of the vector field. Every point in space has a vector associated with it. As time goes on, the
will, in general,
is
the vector
y,
field
V =
is
u(x, y, z)i
v(x, y, z)j
w(x,
z)k
(2.8)
Equation (2.8) describes a steady-state vector field. The vector field independent of the time, but the components depend on the coordinates
of the point P(x, y, z).
42
field
occurs
of
V are constant
space.
Example 2.3. A particle of mass ra is placed at the origin. The force of attraction which the mass would exert on a unit mass placed at the point P(x, y, z) is
Gmr F . _
This
is
_ _____
si
Newton's law
of attraction.
if
Note that F
is
a steady-state vector
field.
f tnen
)j
(A*
)k
yB 2 )j
(xA,
2.7. Scalar, or
Dot, Product.
We
ss
a| |b|
cos 6
(2.9)
where
a
6 is
the angle between the two vectors when they are drawn from
6
common origin. Since cos how is chosen. From (2.9) it follows that
cos
0),
there
is
no ambiguity as to
(2.10)
2
== b, c
implies
d
if
is
7* 0,
Conversely,
0,
cos0-J
FIG. 2.10
Now a
of
is
Thus
a-b =
With
this in
(proj b a)|b|
(proj a b)|a|
distributive law,
(2.11)
c)
=a-b + a-c
VECTOR ANALYSIS
43
From
Fig. 2.11
it is
apparent that
(b
c)
= = =
(b
(proja
= a-b
A
+ a-c
(c
b)
(c
d)
d)
(c
d)
c=b-a
a
FIG. 2.11 FIG. 2.12
of Trigonometry (Fip 2.12)
c c
*
Example
2.4.
Cosine
Law
r2
Example
2.5.
= k
==
=
2j
k
3
= k
=0.
Hence
if
A B =
#ii
-I-
Aii
+A
-f
Ak
B 2j
-h
^sk, then
A B =
Formula
(2.12)
2.6.
is
+ AB +
2
2
l
(2.12)
very useful. It should be memorized. Let Ox l x*x 3 and Ox x 2 x 3 be orthogonal rectangular cartesian coordinate systems with common origin 0. We now use the superscript convention of Chap. 1. The unit vectors along the x axes, j = 1, 2, 3, are designated by i,. Simij Let a be the cosine of the larly Iy, j = 1, 2, 3, is the set of unit vectors along the x axes. = 1, 2, 3. The projections of ii on the $*, 2 x* angle between the vectors i, 10, a, Let the axes are aj, a*, a?, respectively. Hence ii = a}ii -f o?i 2 + ajig afla
Example
We have
(Fig. 2.13) r
r,
so that x a i
- ^a.
ft
From
1, 2,
(2.13)
x^lft
so that
(2.14)
44
Equation
coordinate systems.
In matrix form,
X =
77
AX.
From } x x = ^ &x
l
l
it
follows
that
in turn implies
A A = E
If
or
A 7 = A"
"
1
.
-3 -i i -2 ^3 (x , x , x )
U* are the components of a vector when referred to the x coordinate 2 system, and if t/ U U* are the components the same vector when referred to the x
1
This result
is
manner
in
which Eq.
^
was derived.
From
(2.14),
so that (2.15)
maybe
written
(2.16)
Equation
field (see
(2.16) will
Chap.
3).
Problems
1. Add and subtract the vectors a = 2i 2k. Show -2i 3j 5k, b 2j that the vectors are perpendicular. 2. Find the angle between the vectors a = 2i - 3j -f k, b = 3i - j - 2k. 3. Let a and b be unit vectors in the xy plane making angles a and with the x axis.
Show
that a
cos a
-f-
sin
j,
cos
ft i
+ sin
/3
j,
cos (a
4.
j8)
cos a cos
-f sin
that the equation of a sphere with center at PQ(XQ, r/o, zo) and radius a is - y )2 (z- *o) 2 = a 2 (y 5. Show that the equation of the plane passing through the point PO(XO, 2/0, 20) normal to the vector Ai -f Bj Ck is
(x
Show
2
x<>)
A (x 6.
B(y
parallel
Show
to the vector
-f raj -f
nk
is
the
Prove that the sum of the squares of the diagonals of a parallelogram is equal sum of the squares of its sides. 8. Show that the shortest distance from the point PQ(XQ, yo, ZQ) to the plane
1.
to
Ax
VECTOR ANALYSIS
3
9.
45
For Eq.
(2.14),
Y
0=1
3*3?
Y
0=1
&&.
Show
L<
Y aX T
= =
if
? 1
l if
a a
*
-*
J 7
agF^, then
10.
U a = J^, F a =
3
Z
:
V ^"^
1
V
a=
aya
2,
1
2.8. Vector, or Cross, Product. One can construct a vector c from two given vectors a, b as follows Let a and b be translated so that they have a common origin, and let them form
A =
We
plane
of
this
parallelogram
with
of the
The
direction of c
FIG. 2.14
product of a and
c
b,
written
X b =
0.
|a[
|b|
sin 6
(2.17)
with |E
1,
E-a = E-b =
vector product occurs frequently in mechanics and electricity, but for the present we discuss its algebraic behavior. It follows that
The
a
so that the vector product
X b = -b X
a X b vided
=
|a|
0. 9*
is not commutative. If a and b are parallel, Conversely, if a X b = 0, then a and b are parallel proIn particular a X a = 0. 0, |b| 5* 0.
The
can be shown to
We
0.
v u
(b
c)
(a
b)
(a
c)
(2.18)
46
for arbitrary v.
be shown that
c
(b
c)
(a
b)
Thus
(2.18)
may be
(v
(v
written
(b
u =
= =
X X
a) a)
+ c) - (v X a) b - (v X a) c + (v x a) c - (v X a) b - (v X
a)
or v J_ u. Since v can be chosen arbitrarily, This implies that u = = so that to arid hence picked not perpendicular u, it follows that u
c)=axb
k
(2.19)
i, 0,k X k = 0,i X j - k, j X k Example2.7. Oneseesthati X i = 0, j X j X i * j- For the vectors a = aii + a^j -h #&k, b = 6ii + bzj -\- &ak we obtain a 3 ?>2)i -f- (a^bi a X b = (a 2 ba aib 3 )j -f- (ai6 2 a2^i)k from the distributive law.
Symbolically
i
k
as
bz
cii
a2
bz
(2.20)
b\
Equation
(2.20)
is
to
of determinants.
Example
2.8
3j
+
j 1
2k
=
7i
4i
+ j
3k
13k
k
2
a
(a
b
a
-3
llj
+
b)
-3
b)
33
26
(a
-b
28
11
39
Example
2.9.
Rotation of a Particle.
fixed line
that the shortest distance of the particle from remains constant. Let us define the angular velocity of the particle as the vector, <*>,
is along L and whose length choose the direction of c* in the usual sense of a right-hand-screw advance Let r be the position vector (see Fig. 2.15). of P with origin on the line L. It is a simple matter for the reader to show that the velocity of P, say V, is parallel to, and has the
whose direction
is
w.
We
same magnitude as, <> X r. Thus V = X r. Example 2. 10. Motion of a Rigid Body with One Fixed Point. Let Oxyz be a fixed coordinate system, and OxyZ a coordinate system attached to the rigid body whose fixed point
<*>
FIG. 2.15
is
the origin 0.
Let
P be
body.
x
,
#, 2
moving frame.
remain constant since the Oxijz coordinate system From (2.14) we have & Hence ajz'.
VECTOR ANALYSIS
d&
da!
47
-*---**
so
+a *-S
1
dx'
that^~
-At~jx>,
AX
,*,
or
\\A}\\
Ha;!!"
If
we define
--Aj^
(2 - 21)
we have
- -?"
3
v~^
8
^TA
However, y
3
to
P so that y
dx^
x* -TT-
and y
can
to*J 2 T*
0.
From Example
1.2
it
follows that w*
wj.
Equation
(2.21)
now be
written as
dr
so that v
^j.1
rr
^j2
-TT- j
~ir k
^3
<*>
r,
o>
It follows
from
the result of Example 2.9 that the motion of a rigid body with one point fixed can be characterized as follows There exists an angular velocity vector co whose components, in general, change with time, such that at any instant the motion of the rigid body is
:
one of pure rotation with angular velocity o>. This property is very important in the study of the motion of a gyroscope. It can easily be shown that the most general rigid-body motion consists of a translation plus a pure rotation.
2.9. Multiple Scalar and Vector Products. The triple scalar product a (b X c) has a simple geometric interpretation. This scalar represents the volume of the parallelepiped formed by the coterminous sides a, b, c,
since
(b
c)
cos a
where
is
is
the
altitude of the parallelepiped (see Fig. 2.16). Hence (a X b) c represents the same volume.
it is permissible to interscalar in cross the dot and the triple product. Since there can change be no confusion as to the meaning of a (b X c), it is usually written as The expression a X (b c) is meaningless. Why? We let the (abc).
(abc)
(2.22)
48
From determinant
(abc)
It is easy to
lie
theory, or otherwise,
it
follows that
(cab)
(bca)
in the
show that a necessary and sufficient condition that a, b, c same plane when they have a common origin is that (abc) = 0.
In particular, (aac)
0.
bxc
FIG. 2.16
product a X (b X c) is an important vector. It is call a it V, since it is the vector product of a and b X c. certainly vector, We know that V is perpendicular to the vector b X c. However, b X c
The
triple vector
is
c.
perpendicular to the plane of b and c so that V lies in the plane of b and If b and c are not parallel, then V = Xb If b and c are parallel, juc.
0.
V =
Since
0,
we have X(b
Xj[(c
1
a)
+ + M(C
a)
so that
V =
It
a)b
(b
a)c]
s
(b
so that
c)
x X
=
X
(a
c) is
c)b
(a
b)c
(2.23)
The expansion
middle factor.
(2.23) of a
(b
Similarly
(a
b)
(a
c)b
(b
c)a
(2.24)
More complicated products can be simplified by use of the triple For example, we can expand (a X b) X (c X d) by considerproducts.
ing a
(2.23).
b)
(c
d)
= =
(a
(abd)c
d)c
(a
c)d
(abc)d
VECTOR ANALYSIS
Also
(a
49
d
c)a]
b)
(c
d)
d
d)
(b.c)(a
b-c
Example
dius
(a
1.
b-d
ABC
2. 11.
Now
(a
X b)
c)
= b
(a
b)(a
c)
a = 1. The angle between a X b and a X C is the same as the dihedral angle A between the planes OAC and OAB, since a X b is perpendicular to tjie plane of OAB and since a X c is perpendicular to the plane of OAC. Hence
since a
sin
7 sin
cos
A =
cos a
cos 7 cos
/3
Problems
1.
=
2.
+ 2k,
= -12i +
4j
8k are
parallel.
Fio. 2.17 Find a unit vector perpendicular to the = i - j -f 2k, b = 3i + j - k. * 0. 3. If a, b, c, d have a common origin, interpret the equation (a X b) (c X d) 4. Write a vector equation which specifies that the plane through a and b is parallel to the plane through c and d. 6. Show that d X (a X b) (a X c) = (abc)(a d).
vectors a
6. 7. 8.
(a
X b) (b X c) X X (b X c) + b X
(c
(c
X X
a)
a)
(abc)
c
2
.
(a
b)
0.
Find an expression for the shortest distance from the end point of the vector ri, to the plane passing through the end points of the vectors r 2 r,j, 14. All four vectors have a common origin 0. Let d = xa + j/b -f zc. Show that 9. Assume (abc) -^ 0.
*
(abc)
10. If (abc)
i(adc)
(abd)
(abc)
(abc)
0,
show that
"
c-d
(abc)
X ~
b "
-*
b
(abc)
(abc)
11.
-f Ciz
=
(2.25)
50
Let a
oil
+ azj
-
-f ask, etc.,
(2.25)
can be written as
+
0.
by
-f cz
Show that
etc., (abc)
2.10. Differentiation
of Vectors.
field
u = Ai(x,
y, 2,
Oi
+ ^ 2(3,
2, t)j
A*(x, y,
z,
t)k
(2.26)
If
y, z)
t,
we
keep P fixed, the vector u can still change because of the time dependence
fixed,
we note
that
+ dy, z +
y, z) will, in general, differ from the vector at Q(x dx, Now, in the calculus, the student has learned how to
z,
t.
find the
change
What
do we encounter in the case of a vector? Actually none, since we easily note that u will change (in magnitude and/or direction) if and only if the components of u change. The vectors i, j, k are assumed fixed
difficulties
in space
We
:
= dA^i
,
.
dA 2
,
+ dA
k
,.
.
(2.27)
where
dAA = dA r dx
,
dx
+ dAi dy + -^ dy
t,
dAt
-r
dz
dz
dA
dt -^dt
rt
1, 2,
If x, y, z are
functions of
then
<
2 29 >
-
In particular,
let r == xi
yj
+ zk
Then
and
Equations
If
dv as ^
(2.30)
^=dp
by
d 2r
d*x.
1
+
,
^ + ^k
.
.
d*y
dh
(2 - 31)
/001X
and
(2.31) are,
and accelera-
t,
we can
u(Q
define
du
dt
_ Um
u(t
A*)
VECTOR ANALYSIS
u(f+At)
ttff)
51
FIG. 2.18
If
u =
then
u(x, y,
z,
.)
du
du
i;
lim
ufo
Ax, y,z,
.)
u(x, y,
z,
^ = -aF
Afl
dAi.
1
dA 2
-dF
dAi. k + 17
Consider
/
'
(2 33)
QQ\
v(t)
Hence
and
or
^ + AO
v(t
-j#*
= u(< + A<) v(< + A<) - u(0 v(<) = (u(<) + Au) (v(<) + Av) - u(0 = u Av + v Au + Au Av
<p(t)
_J_J^
= u Av
.
Au Av _+v _ + Au _
.
lim
AJ-+O
^
d
(
At
\
^= u
dv
-j
_
.
w
ar
at
,
-r-
(u
v)
h v
du
-j-
(2.34)
Equation
(2.34) also
ponent form.
Thus
<p
/ u / ^
vt ,
at
=
dv
33
+
du
7 u% / at j
/ / j
v l -rr>
at
d<p __
Similarly
(u
v)
= u X
(2 35)
Example
2.12.
u.
Then u u
w 8 so that
This
jg-
is
In particular,
if
and u
-rr
0.
perpendicular to u,
if
52
|u|
constant and
0.
statement.
Example 2.13. Motion in a Plane. Let r be the moving in a plane having polar coordinates (r, 6) (see
unit vector.
P
a
j.
Now
r
i
rR,
Since
R =
cos 6
-f sin
j,
we have P =
=
-^-
sin 6
-f cos 6
Why
r
is
perpendicular to
R?
dr
Notice that
dr
is
Differentiating
= rR
yields
dR
dr
dR
d0
and
dv_dV ~
dt
dl*
~*~
drdR^
dt
is
c/rc^
do dt^~ dtdt
~^~
^0
dt 2
dedPdO
^~ r
dt
dO dt
(2.38)
since -r-
dB
cos
f
sin 0j
R.
2
If
the particle
so that
dt is
of a
/R, then
^ (r
^=
-|-r
constant.
r-
The
^ and
;
dA = ^r 2
This
d0, so that
is
equal areas are swept out in equal periods of time. planetary motion.
t
Kepler's
first
law of
FIG. 2.19
FIG. 2.20
Example 2.14. Frenet-Serret Formulas. A three-dimensional curve, T, in a Euclidean space can be represented by the locus of the end point of the position vector given by (2.39) r(0 - x(t)i y(t)j -f- z()k
where
is
ds
-r
ds
to
^
1
fa.
If
is
Since
VECTOR ANALYSIS
t
53
'
to t. a unit vector, -y- is perpendicular tells us how fast the Moreover, ~r * * ds ds Hence we define the curvature, direction of t is changing with respect to arc length s.
-r ds
is
K,
r by
*2
-7-
-j--
**,
in general,
is
a function of
*,
and hence
F
K
is
The
;
Thus
*n
(2.40)
The reciprocal of the curvature is called the radius of curvature, /> *= I/*. At any point P on r we now have two vectors t and n at right angles to each other. This enables us to set up a local coordinate system at P by defining a third vector at right We define as the btnormal the vector b = t X n. The three angles to t and n.
fundamental vectors t, n, b form a trihedral at P; any vector associated with the space curve r can be written as a linear combination of t, n, b.
Let us
_ ds
.
now
evaluate
-y-
as
and
-y-
as ds
From b
-y- is
we
obtain
t.
-7-
as
ds
t -f-
-r-
as
or
since
is
b n =
0.
Hence
to perpendicular ^
Since
-=- is also
perpendic* *
ular to b (b
-r-
a unit vector),
r
we
is
must be
parallel to n.
Consequently
^n,
where
by
definition
curve T.
To
obtain
-y->
as
we note
that n
= b X
b
so that
*! = b
ds
+ ? ds
ds
-en
+m X
= -t -rb
The famous
3ds
Kll
*!. -(rt+rb)
db
(2.41)
As an example
of (2.41)
we
r
by
a cos
t i
-f-
a sin
4- bfk
We have t
T-
a sin ti
+ a cos
t j
-f 6k)
-7--
From
we
obtain
so that
t
i
(-a
f i
sin ti
+ a cos
j)
2 6k)(a* -f 6 )-*
Thus *n -
- ( -a cos
a sin
(a
-f-
b 2 )" 1 ,
and
a(a
+b
)-
1
,
since *
yj*
54
From b
X
(6
let
t
=
,
(b
am
6(a*
ti
b cos
1
t j
ak)(a
s -f & )~i,
Q . rn Example
cos
+ 6 sin
j)(a
6')-
+6
)"
1
.
2.15.
Pursuit Problems.
Let us consider the problem of a missile pursuing a target T, the motion taking place in the xy plane. TT and VT are the position and velocity vectors of the target; FA/
and VA/ are the position and velocity vectors of the missile; 0, <p, $ are defined by Fig. 2.21.
Let
r
IT
TA/
so that -^
at
r
VT
Thus
VA/
r
and
~
eu
=
(p
VT rV M
cos
VA/.
6,
-^
ar
= rFT
FIG. 2.21
Differentiating the identity r
-
cos
cos
and
(2.42)
^
VT = rFr
VA/)
- FT
FA/ cos
cos
<p
yields
(V r
VT - V T ^
(r
cos
cos
(2.43)
If
t is
by the
and
dt A i^ -n so that
(2.43)
^Vy
p-
^FT -
Tr
-f
F r -57
target, then
rft
VT
rft
Fyt
(see
since
-r-
dt
dt
Example
r
2.14).
Equation
sin
becomes
cos
^>
- rV T -
-f
V, -
<p)
- FT
^ (r cos
+
r
y?)
cos ?
(2.44)
^
(<p
0, (2.44)
become
cos
rVr
-IT sin
-f Fj,
FA/FT cos
6)
FT
-r.
(r
<
(2.45)
Let us apply (2.42), (2.45) to the dog-rabbit problem. At i the rabbit starts at the origin and runs along the positive y axis with constant speed VT- A dog starts at = and pursues the rabbit in such a manner (direct pursuit) that = (a, 0) at t
throughout the motion.
of the
dog
is
Fj/.
We
have
j
V\i
- FT
VT
cos
c*
FA/
(2.46)
FA/FT cos
(2.46)
<f>
j,
cos
snce
r/2.
Equations
can be written as
Fr
(r
cos
+ y*
ir/2,
Integration yields Frr cos <p 4- FA^ a, ^> Fiv)^ -f FA/C, since r (Fj, - Vj.)-. at e 0. The rabbit is caught when r - 0, or at t FA/a(Fj,
VECTOR ANALYSIS
Problems
1.
55
Prove
(2.35), (2.36).
2.
Show
3. r
^ (r X ^Q a cos wt + b sin
that
^
Prove that
r
u><;
a, b,
u are constants.
-r.
o>a
X
r
-
b and
4.
|r|
Show
(a
that
R X dR
r
f
5. If
a
ae"'
a,
~=wX
,
b,
show that
b)
X
w
s
(a
X
0.
b).
6. If r 7.
be~wf
a, b,
w constants, show
g+2A*? + Bu
A, B constants. constant scalar.
are roots of
8.
w; 2
f
(2.47)
Assume a solution of the form u(0 = Ce wt C a constant vector, w a Show that u(t) = Cie^i* + C2e 2 is a solution of (2.47) where toi, ?z
,
'
4-
2Aw;
-f
0.
What
-gj
if
MI
1^2?
satisfies
-^
3J 2 , 2
-rr
such that u
i,
j,
9.
3t
<*,
3<
t*
show that
10.
Show
that
- d
8
+ d* n -
*crb.
11. Four particles on the corners of a square (sides -= 6) begin to move toward each other in a clockwise fashion in a direct-pursuit course. Each has constant speed V. Show that they move a distance 6 before contact takes place.
12.
In
navigational
0,
pursuit
VM
sin
= VT
sin
<p.
Interpret
this
result
geo-
metrically, assuming
^ constants. 13. A target moves on the circumference of a circle with constant speed V. A missile starts at the center of this circle and pursues the target. The speed of the The pursuit is such that the center of the circle, the missile, and the missile is also V.
Show that the target target are collinear. to the moment of capture.
2.12.
tion.
moves one-fourth
of the circumference
up
<p(z,
2/,
z)
*-& b+ 5* + S*
+
(2 48)
-
The right-hand side of (2.48) suggests that the scalar product of two If r = xi vectors might be involved. zk is the position vector of yj the point P(x, y, z), then dr = dx i k. dz dy j Hence, to express d<?
+ +
56
as a scalar product, one need only define the vector with components
-r^>
>
ox
~
dz
This vector
is
(?(x.
y,
z),
written
dy
<p
del
3= V<p.
We
define
"K
so that
d<f>
+ 5 + S*
1
<
2 49 '
'
dr
V<?
d<?
(2.50)
The
in
<p
dy, z dz), except higher order. Equation (2.50) states that this change in <p can be obtained by evaluating the gradient of <p at P and computing the scalar product of V<? and dr, dr being the vector from
y, z)
to Q(x
+ dx,
for infinitesimals
Pto
Q.
From <p(x, y, z) we give a geometrical interpretation of V<p. can form a family of surfaces <p(x, y, z) = constant. The surface S
given by <p(x, y, z) = <p(z 2/o, 20) contains the point P(z 2/o, ZQ). <p(x, y, 2) has the constant value <f>(x$, y^ ZQ) if we remain on this particular sur,
,
We now
face S.
Now
let
Q be any
point on
S near
P.
Since dy
0,
from
at P,
sarily
(2.50), di
is
V<p
all
0.
Hence
normal to
must be normal to the surface <p(x, y, z) = ^(z 2/o, 20) at P(ZO, 2/0, 20). This is a highly important result and should be thoroughly understood
by the
reader.
Let us
now
return to (2.50).
If
ds
|dr|,
= J-V^ = u-V^ ^ ds ds
where
|u|
7 (2.50') v
1.
Hence
-^ds
|V?>|
cos
0,
where
is
u and
V<p.
maximum when
0,
The
V<p,
greatest change in
<p(x, y, z)
at
P(x 0t
is
z/
zo)
that
is,
<p
occurs
surface
<p(x, y, z)
^>(z
2/o,
zg).
This
to be expected.
show that
Example
V(^>i
^2)
V^i
+
x9
2.16.
xy
+ yz
VECTOR ANALYSIS
at the point F(l, 1,1).
57
and
Here
<f>(x,
y, z)
z2
xy
(*
+ yz,
V* -
(2x
y)i
x)J
+ yk
Vv>
-f
at P(l,
1, 1)
Example
2.17.
By
by a
direct
different
(x*
+#
is
2 4- z )*.
We
constant
*
a sphere with
Since Vr
dr
ft.
Now
Vr
dr
ft
dt
/r dr
so that/
1/r.
Q.E.D.
Consider V/(w),
?*
Example
2.18.
u(x, y, z).
We
have
where
/'(w)
2.19.
Hence V/(w)
f'(u)Vu.
del,
Example
The operator
in
V = ida*
hjr
a//
>
is
o2
a useful concept.
It is helpful to
keep
mind that V
and as a vector
in
some
sense.
ThusV, =
V(Civ>i -F
C 2 ^2)
(!+,+) =
CiV<^i -h
=
Ci,
,J?
jg + kgp2V^i
ItiBea.ytoshowthat
C 2V<p
if
C2
are constants.
V(^i^ 2 )
Notice
<piV<p2 -f
how
(2.51)
Problems
1.
at the point
(2, 1, 1).
2.
Show
that V(a
(z
2
r)
2
a,
where a
is
a constant vector.
3. If r 4.
-f
t/
-f z*)*,
(r
If *
(r
a)
(r
a) -f a
X
r2
(r
b)
when a
vectors.
Show
r2
c\
ri
c 2 intersect at
right angles
6.
foci.
yx
7.
Find the change of <p = x*y -f- yz* X y 2 -f z*y = 3 at the point P(l, 1, Prove (2.51).
8. If
/(MI, W2,
Wn), w*
w*(x,
T/,
2),
fc
1, 2,
n,
show that
-/-I
9. If
>
*?(x, y, 2, 1),
show that
=
gf
^f
+^
58
10.
an
ellipse is
-f-
r2
constant.
Why
is
is
V(n
r 2)
T ^*0
if
T is a unit tangent to
V(ri
P?
V(ri -f r 2 )
computed at P.
From
+ r) =
Vri -h Vr 2 Vri
>
Vr 2 *
V(ri
r2)
T =
Let us consider the motion of a z, t), the veloc-
2.13.
The Divergence
of a Vector.
as
V =
f
V(x, y,z,
Let
= pv = Xi
Yj
Zk
E
y
concentrate on the flow of through a small parallelogram ABCDEFGH (Fig. 2.22) of dimensions At time t let us calcudx, dy, dz.
fluid
We now
2 22
late the
amount
ABCD.
L =
The
ABCD.
Now
Y(x,
y, z, t)
j^, M
l
mass,
length,
time. Thus Y dx dz has the dimension MT~ and denotes the gain mass per unit time by the box because of flow through the face ABCD. dY \ f Similarly ( Y + dy 1 dx dz represents the loss of mass per unit time
of
T =
EFGH
dz.
at the
If
same time
t.
The
loss
is
thus
dY
-r
dx dy
we
dy
we
mass per
unit time
is
A7\ ~ + ^- + (AY
f)V
dx
dy
-fdz
dx dy dz
(2.52)
Hence
dX
dx
dY
h T
d7
h -rdz
\
is
dy
r\
ILT
\r
rr
The
scalar -^
dx
dy
-z-~ is
dz
written
divf
g+^+f
v
*v \
(2.53)
V = 1^
VECTOR ANALYSIS
59
as both a vector
and a
differential operator.
Let
V
Example
2.20.
f
Of)
yj
r
v?V
+
3.
V<f>
(2.55)
For
xi
zk,
For
r
r-r,
V
(see
- r~V
+
is
Vr~ 3
3r~ 8
3r~ 4 Vr
3r~ 3
Sr" 5!
is
<p(x,
t/,
2).
VV =
+f +
(2-56)
Let u,, i = 1, 2, 3, be the components of 2.14. The Curl of a Vector. Euclidean coordinate system. The the velocity of a fluid in an x differential change in the components of v is given by
l
xV
dv\
dx
(dv,
dVj\
dx
dvt
dt
-Bi
(2 57)
'
The terms
s j;
= T~
i,j
1, 2, 3,
now occupy
our attention.
The
As a
"
-
^ ~
3
** v *
dx 1
~dx*
W ~ 5? _ " " dF w
d?>2
dvi
The vector
^i
t$
tjs. is
v.
Using the
60
may
be written
j
k
o
dz
V*
curl
= V X
(2.59)
Example
2.22.
Let
x yzi
i
2xyz
y zk.
Xf =
-2xyz*
z y z
-
Example
2.23.
(2.7/2
x z t/j
(2yz
f
+
?/i
z 2 *)k
Consider V
We
have, for
*>j
wk,
(2.60)
To obtain
f
the curl of
<pf,
keep
<p
fixed,
and
let
V operate on
V<p,
f,
yielding <?V
then keep
fixed,
<p,
yielding
(v>)
Example
2.24.
JL.
dx
d<f>
A A dz
dy dy
d<f> d<f>
dx
.
dz
ay _
a
J
i
4.
dz dx
dx dz
dx dy
provided
^>
We
d_
**di
'dy
**~te
(2.61)
We
then have
,-
dv
VECTOR ANALYSIS
61
Let us now investigate u X (V X v). Assuming that we can expand term by the rule of the middle factor [remember that the expansion a X (b X c) = (a c)b (a b)c holds true only for vectors; V, strictly speaking, is not a vector], we have
this
u X (V X
v)
V,,(u
v)
U V)v
V,.
(2.62)
The
v)
means that
components
Thus
v)
V.(u
= V ,(u x r T
t
?VV
*/*>'*)
(V
u)
= V
tt
(u
v)
(v
V)u
(2.(>3)
Adding
(2.62)
and
(2.63) results in
V M (u
and
V(u
v)
V v (u
v)
= u X
(V
v)
(V
u)
+
+
(u
V)v
+
v)
(v
V)u
= u X
(V
v)
(V
u)
(u
V)v
(v
V)ti
(2.64)
it
The above analysis in no way constitutes a proof of (2.64). leave The same remarks to the reader to verify (2.64) by direct expansion.
We
V X
(u
v)
V)WL (2.65)
(2.66)
We now
'(1)
list
some important
identities
V(uv) = uVv + vVu V (v?u) = <pV u + (V?) u <3) V X (<pu) = <?V X u + (V?) X u <4) V X (V<f>) = V (V X u) = J5) - (V X v) u (6) V (u X v) = (V X u) v - v(V = (7) V X (u X v) (v V)u + (u V)v = u X (V X v) + v X (V X u) + (8) V(u v) = V(V u) - V 2u <9) V X (V X u) = u (10) (u V)r V-r = 3
t2)
u)
(u
u(V v) V)v + (v
V)u
62
(12)
V X
=
V?>
(13)
d? = dr
+ ^ dt
(14) dt
(15)
(dr- V)f
8
+ j dt
t
(r~ r)
=
Problems
1.
2.
3.
Show
is
zero.
axi
/>//j
ttzk,
yj/x -f y, of x cos zi r) = 2 A.
2 4- * )*.
+ y\nxj
z 2k.
4.
6. 6.
Show Show
If f
7. 8. 9.
Show
If
If
that (v V)v - -g-Vv 2 - v X (V X v). is a constant unit vector show that A [V(A v) xi -f yj -f zk, show that is a constant vector, r
2
?/
0,
u not constant.
10.
Show Show
Show
that
(u
X
(dr
v)
(V
X
ol
u)
V X (v V X (w
X X
A)]
r)
V
2w.
v.
(V
v)
u.
11.
12.
that dt that
V)f -f
^ dt
if f
f(x, y, z, t).
2
V u. u) - V(V u) Vv = 0. Let dr be the 13. Let u u(x, y, z), v * v(x, y, z), and assume Vu to Q; and Q are points on the surface u(x t y, z) constant. From vector from dv ** dr Vv, show that dv = and hence that v remains constant when u is constant. V
(V
v
v)
f(u) or F(w, v)
0.
Show
0.
conversely that
v)
if
F(u
=
and
then
Vu
X Vv =
Hiw<* vFCw,
identically.
oli
oV
We
assume that
dF du
dF
dv
14. Prove that a necessary and sufficient condition that u, F (w, v, uO *" \s that Vu Vi; Vw 0, or
v,
satisfy
an equation
"ch*
dw
djy
dw
dz
dx
dr
*, V,
dv
dv dz
dx
dy
dw
dx This determinant 15. Let A - V
16.
is
dw
dy
dw
Hz
(a;,
Show
that
X W), VV * (V X f) (u X
v)
y, z).
A V XA -
0.
2.16.
Orthogonal Curvilinear Coordinates. Up to the present moment for the gradient, divergence, curl, and
Laplacian in the familiar rectangular cartesian coordinate system. It is often quite necessary to express the above quantities in other coordinate
systems.
For example,
if
F =
subject to the
+ z* =
a2
in spherical coordinates.
VECTOR ANALYSIS
63
The boundary conditions of a physical problem dictate to a great extent the coordinate system to be used. Let us now consider a spherical coordinate system (see Fig. 2.23).
The
relationships between x, y, z
and
r, 0, <?
are
cos"
+
1L
(2.67)
tanand
x
y
z
x
sin
r sin 6 cos
r sin
<
(2.68)
r cos
Let us note the following pertinent facts: Through any point P(x, y 2), other than the origin, there pass the sphere r = constant, the cone = 6 = constant, and the plane
}
<f>
These surfaces intersect in pairs which yield three curves through P. The intersection of the sphere and the cone is a circle. Along this curve only <p can change, This since r and are constant.
constant.
*)
curve
<p
is
called
curve.
,
At
P we
The
direction of positive increase in <p. The Similarly one obtains e r and e. reader can easily verify that these unit tangents form an orthogonal trihedral at
FIG. 2.23
such that e r
e*
e^.
form a basis for spherical coordinates in exactly the same manner that i, j, k form a basis for rectangular coordinates. Any vector at P may be written f = /re r + fee 9 + /*&<?, where /r /*, f, are the projections of f on the vectors e r e*, e v respectively. Unlike vectors e r e*, e v change directions as we move from point to i, j, k the Thus we may expect to find more complicated formulas arising point.
vectors e r
,
The
e,
e^,
is
divergence, etc., are computed in spherical coordinates. perpendicular to the surface r = constant, Vr is parallel
is parallel
Similarly V0
to e,; V^>
is
parallel to e,.
Thus
er
e*
hrVr
heVB
(2.69)
64
Then dr = dr Vr [see Let dr be a vector of length ds parallel to e r = = = dr h dr e ds. Vr Since so that h dr dr = ds, we have r r r (2.50)], Now let dr be a vector of length ds parallel to e$. We have h r = 1. d0 = dr V0, ft* d0 = dr heVO = dr e$ = ds. It is seen that he is that Thus factor which must be multiplied into dO to yield arc length.
he
r,
and similarly h?
ds
2
=
=
r sin 0.
2
In spherical coordinates dO 2
dr
r 2 sin 2 6 d<p z
,
The
respectively.
We
can
now
write
er
e
e<p
= = =
er
ee
rVr
X V<p X Vr X V0
(2.70)
The
differential of
volume
dV = di d2
It is easy to
dsg
= =
hrhehp dr dO
r 2 sin
dp
d<^
2
dr d0
1
show that Vr V0 X
Vv?
(hrheh^}'
<p)
.
(r
sin 0)" 1
Now we
/(r, 0,
We
have
Equation
of-
To compute
f
the divergence of
z
= /re r
e
frr
sin 0V0
V<p
+ f r sin
from
(2.70).
r
Then
+ V(/*r sin 0)
[see
2
V^>
Vr
+ V(./
v)].
Vr
formula for
sin 0)V0
(u
But
sin 0)
V0
X V^ =
ou
(fr r
V0
ra;
(/'r2 sin e)
"
8in
VECTOR ANALYSIS
65
We
thus obtain
= T 4-^ r sin B
-
~ (f
r r~
sin B)
idr
-^ 36
(./> sin B)
(/,r)
(2.72)
d<p
f in
spherical coordinates.
= VF, we
obtain
V2 F =
r
1
2
sin B
r \T Idr ( \
*
+ dO ( 8in ' 60 ) + ?) dr / \ /
,
d<p
(^ (^ \sm I-)]
B d<p
/J
Equation
To
easily
(2.73) is the Laplacian of F in spherical coordinates. obtain the curl of f let f = frh rVr feh e VB f^V^. It can be
shown that
hr e r
V X
A
6V
krfr
A
'dB
d
(2.74)
For the general orthogonal curvilinear coordinate system where ds 2 = /if du\ + hi du\ + h\ du\ we list without proof
(HI,
u Zj
V-f =
(2.75)
V X
=
h sfz
V/ =
2
1
I
|-
j-
oiii
\ h\ dui/
du% \ hi
du^/
du$ \ h$
du$
It
Problems
1.
For x
r sin 6
cos
^>,
2/
r sin
2
sin
<p t
2
2
=
-f
cos
2
rfs
dx
+ di/
rfz
becomes d* 2. For x
3.
dr 2
r
+
<f> t
r2
d0 2 -f
r 2 sin 2
^>,
cos
r sin
show that
(is
dr 2
-f-
r 2 d^> 2
Express
V/,
f,
f in
66
4.
6. 6.
7.
V
if
V(r).
in cylindrical coordinates
[/Mr]
By making
use of
= 0, r a V 2V - V(V
V)
-V X
(V
V), find
V 2V
for
V -
v(r)e r,
purely radial in spherical coordinates. 2 = /(r)e r -f v(z)e 2 , in cylindrical coordinates. 8. Express V V, for
0.
/z)V(V
S)
juV'S
j
1
\, p,
p constants.
Assume
s =* ^ tpt Si,
p constant,
s,)
\/
an d show that
(x -f
M )v(v
2
(M
Si)
+
-
PP*)SI
0,
[V
+
J
(/i
+ PP )/X -f VV - 0, ^ 1
,
/*](?
X -f M
0.
R(r)Q(9)*(<p),
show that A V
XA -
0.
Is it
11. If
<fc
da;
daf,
2
t/
,
8
?/
),
1, 2, 3,
show that
where
12. 13.
Derive Derive
(2.74).
(2.75).
2.17.
The Line
Integral.
We start
with a vector
f
field
X(x,
y, z)i
Y(x,
y, z)j
AS
Let
a
r(0
t
+
=
b
y
Z(x,
y,
x(t)i
y(t)j
+
One may
be a space curve T jointhe ing points A and B with position vectors r(a), r(6).
into
Fir,.
2.24
t3
<
'
<
tn
Lot Ar,
r(^)
,_i),
and
let
;j)>
that
tj-i
vector f(&).
We
*(;)>
(2.76)
If lira
S. exists independent of
how
the
VECTOR ANALYSIS
|
67
f
AT,
>
|
as n
oo
,
we
along
to B.
As
written
If f is
if
is, -T- is
ds
Riemann
integration theory
f Ja
i
\
v\
dx
v\
'
du
dt
dt
It
(2.77')
We
some vector
use (2.77') as a means of evaluating the line integral. fields for which the line integral from A to
pendent of the curve T joining A and B. Such vector fields are said If f is a force field, (2.77) defines the work done by to be conservative. the force field as one moves a unit particle (mass or charge) from A to J5. We now work out a few examples and then take up the case of conservative vector fields.
Example
curve x
P(l,
= -
1, 1),
xyi xyzk, and let the path of integration be the zj the integration performed from the origin to the point 4 the range of t being given by ( k, ^ t ^ 1. Along the curve, f = f*i tj
2.25.
Let
,
t,
y =
/,
and dr
dt
(i
rfr
(<*
+ 2/ 2
t )
dt.
Hence
-dl
=
2 (<
-ft,
If
we choose the
1, 1),
straight-line
/"
path x
F
1
y
<
ty
=
=
P(l,
we obtain
dr
<
) eft
V
^
It
is
field f is
not conservative.
x*i
1).
+ y*j,
Let x
and
let
so that y
2
,
1,
and
For the same f let us compute the line integral by moving along the x axis from x 1 from t/ to x J and then moving along the line x to y 1. Although the continuous curve does not have a continuous tangent at the point (1, 0), we need not be concerned since one point of discontinuity does not affec,t the Riemann integral
68
provided
-j-.
bounded
in the
We
have
mi)
/
f(i,o)
/
dr
+
dx
dr
7(0,0;
7(o,o)
t, t,
0,
dt,
dy
= 0.
dy
z
=
dt
dt,
and
ri
t
dr
n
7o
/
t
dt
7(o,o)
7o
Tg12
We
f is
conservative.
Notice that
,4
?
(j-3
34
4-
y4
4-
'-r
constant
/
that
= V>
^>
j3
-5--f-
34
1
T-|- constant
Hence
dr
V<^
dr
d<? so
- vU)
/B
valued, then
f is
dr depends only
limits and is independent of the path of integration from A to B. have just seen from Example 2.26 that if Example 2.27.
f = V>, <p singleWe a conservative vector field. Conversely, let us assume that /f dr is independent of the path. We show that f is the gradient of a scalar. Define
<p(x,
?/,
2)
=
/
.,
f
dr
JPo(xn,yn,zo)
The value
of
<f>
fixed).
Then
<p(x -f
Ax,
y, z)
fQ(x + Ax,y,z)
J P(ro,yo,zo)
\
dr
and
sp(x 4-
Ax,
i/,
2)
<^(x, y, 2)
'
X(x,
//,
2)
dx
4~ Y(x, y, 2)
dy
yp(x,y,2)
4- Z(x, y, z} dz
We
dy
to
Then
dz
*=*
0,
and
/x-f
Applying the theorem of the mean for integrals yields
<p(x -f
X(x,
y, z)
dx
Ax,
y, z)
<p(x, y, z)
1 -'-LtL
= X(,
^
'
'
y, z)
Ax
lim
^
?/.
x -f Ax
so that
T^
lim
==
A'(.
z)
X(x.
y. 2)
assuming
continuous.
Similarly
Y *
-^,
d?y
7 =
-^, so that dz
,.
+y +
J
ft.i +j+k
Q.E.D.
VECTOR ANALYSIS
69
A
Note
quick test to determine whether f is conservative is the following: = V<p, then V X f = 0. Conversely, assume V X f = 0. that, if f
for f
Then
= Xi
Yj
Zk we have
dX = dF
dy dx
w-f
dx
dz
dZ = dX
Let
<p(x, y, z)
=
/ Jxo
X(x, y,z) dx
f Jyo
F(x
y, z)
dy
Jzo
Z(x,,
2/0,
z)
dz
(2.79)
We now
=
show that
V<p.
From
the calculus
X(x,
y, z)
Y(X
'
'
z}
dx
= =
Y(x,
Y(x,
y, z)
Y(x,
v
y, 2)
Y(x
y, z)
y, z)
,
dX
dY
= =
Hence
Z(x, Z(x,
y, z)
y, z) f
Z(x<>, y, z)
Z(x,
y, z)
Z(x
ye, z)
Z(x<>,
z)
= Xi
Yj
Zk =
gi +
|?
+ gk = Vv
f
The constants x
We have
f
y^ ZQ can be chosen arbitrarily. proved that a necessary and sufficient condition that
,
be the
gradient of a scalar
is
that
V X
0.
Thus
for f conservative
we have
V<p or
V X
0.
We
an
f is
an irrotational
vector
field.
Example
2.28.
It is easy to
show that
2xye*i
Then
<p(x, y, z)
and
f* 2xye'
dx
+ fj We* dy + f* O
e*
dz
-f
constant)
70
1.
Given
(y
e*i
xyj,
evaluate /f
cos zk.
the point
2. f
(2, 8).
+ sin
j/i
z)i
+ zj + x
Show
that
f is
<f>
that
3.
V*>.
f
Let
-f xj.
Evaluate
<p
Jf
and radius
4.
a.
if f
Show that
=
-j-
V<f>,
written
5.
fi
f
dr, vanishes.
Let
(-j/i
xj)/x
Show
that
* V
tan~
origin,
ft
di
2ir
does this integral not vanish? See Prob. 4. Notice that f is not defined at the The curve of integration contains the origin in its interior. This will be important in complex-variable theory. 6. If A is a constant vector, why is it true that dr = 0?
origin.
Why
^A
2.18. Stokes' s
Theorem.
We
x(u, v)i
y(u, v)j
z(u, v}k
(2.80)
where u and v range over a continuous set of values and x, y, z are assumed to have continuous partial derivatives in u and v. For a fixed v = VQ the end points of r trace a space curve as we let u vary continuously.
For each
a space curve
of space curves
exists, and if we let u vary, we obtain a locus which collectively form a surface. The curves obtained
by by
setting v
setting
= constant are called the u curves, and the curves obtained u = constant are called the v curves. We thus have a two-
parameter family of curves forming the surface. A simple example will illustrate what we have been talking about. Consider
r
r sin 6 cos
<p i
r sin 9 sin
cos 6 k
= g g
constant
<p
2*
TT
>
(2.81)
We use
For
and
<p
instead of u and
r, namely, 2* the end points of r trace out a circle of latitude. The curves are thus circles of latitude. It is easy to show that the 6 curves are the meridians of longitude. We can show that the 6 curves intersect
,
v. Let us notice that r r end points of the vector r lie on a sphere of radius
r.
the z component of
r cos
is
constant.
<?
<f>
\_
the
<p
curves orthogonally.
The expression
to a 6 curve, while
curve.
From
VECTOR ANALYSIS
\_
71
=
ou
cos
cos
<p i
cos
sin
^> j
r sin
=
d^>
r sin
sin
^? i
+
-
r sin
cos
we have
If
* RD
n-.
v)
to the point
\-.
Q(u
cfo.
tfr
= PQ =
dr
-
dv
=
where ds
Let us
is
rfr
dr
dn*
+
,
ft
dr
dr
rf?/
+
.
dr
a?'
ar
-ra?;
arc length.
r2
dO 2
r 2 sin 2
now
consider a surface of the type given by (2.80) bounded lies on the surface (see Fig. 2.25).
by
The
vector
du
is
dr
du
and
-r-
dv
move along
curve
-r->
dv
we keep r
to our
left.
It is this surface,
with which we keep in touch. F will be called the boundary of >S. We neglect the rest of the surface
r(u, v).
We now
v curve
consider a
mesh
,
collec-
The mesh
that,
will
u and be taken
are the
fine
enough so
FIG. 2.25
if (u, v)
dv), (u, v
Now
consider
ABCD
ftdT
du,
r)
;
The value
v
of f at
is f (u, v)
at
+ dv)
at
D it is t(u, v +
f(u
dv).
v)
B it is f(u + Now
at
it is f (u
+ du,
du,
f(u, v)
f(u, v)
+ dfu + du du
TT
'
72
+ dv) =
f (w,
v\
dv
V
J
ABCD
f.
dv
du ? dv .v)t\. / j du
(V
v
Xf)' du
r\-
Xdudy, dv
The vector
is
-r-
du
du
-r- rfy is
S.
Its
dv
magnitude
A BCD,
d6=
since
ABCD
is,
strictly speaking,
du
^X^dudv dv
dr
so that
(>
j
ABCD
= V X
dd
except for infinitesimals of higher order. We now sum over the entire network.
&
X
dr.
Also
(V
f)
dtf
-*
(V
f)
rfd
as the
mesh
gets finer
and
<
finer.
We
=fl ^
f.rfr
f)-d<J
(2.83)
Corwmente
1. Since r may not be a parametric curve, (2.82) may not hold for a mesh circuit containing r as part of its boundary. This is true, but fortunately we need not worry about the inequality. The line integrals cancel out in pairs no matter what sub-
division
we
use,
and
//
for a fine
tribute little to
dd.
The
negligence.
VECTOR ANALYSIS
2.
73
The theorem
Stokes's theorem has been proved for a surface of the type r(w, v) [see (2.80)]. is easily seen to be true if we have a finite number of these surfaces con-
The
case of an infinite
number
3. Stokes's theorem is also true for a surface containing a conical point where no dti can be defined. We just neglect to integrate over a small area covering this point. Since the area can be made arbitrarily small, it cannot affect the integral. 4. The reader is referred to the text of Kellogg, "Foundations of Potential Theory," for a more rigorous proof of Stokes's theorem. It 5. The tremendous importance of Stokes's theorem cannot be overemphasized. relates a line integral to a surface integral, and conversely. 6. In order to apply Stokes's theorem it is necessary that V X f exist and be integrable over the surface S.
Examples of
Example
2.29.
Stokes's
Let
f
Theorem
yi -f
-rj,
and
let
us evaluate
(p
dr,
F any
rectifiable
we have
-
di
= //(V X
8
F, is
f)
k dy dx - //2k k dy dx - 2A
S
For the
dy
ellipse
t
a cos
t,
b cos
dt,
and
A
V
(2.84)
have dx
a sin
dt,
f = everywhere, it follows from Stokes's theorem that around every closed path. Conversely, assume $i dr = around every closed path, and assume V X f is continuous. If V X f ^ 0, then V X f T* at some in some neighborhood of P and V X f point P. From continuity we have V X f ^ Choose a small plane surface S nearly parallel to (V X f)p in this neighborhood. through P with boundary F in this neighborhood of P. The normal to the plane is
Example
di
2.30.
If
fi
chosen parallel to (V
f)p.
Then
(p
dr
//
dd
>
0,
a contradiction.
An
irrotational field
(i) (ii)
(iii)
is
characterized
by any
V X
= V^ f = i dr =
(2.85)
for every closed
path
Any
Example
Let
f(x, y, z)a,
where a
is
Applying
/a-dr - /Tv
S
<f)fdT
(/a)-dd
(I vf
rfd
(f dd
V/
74
so that a
f
V/J
0.
Since a
is
(f)fdi
// dd
Vf
(2.86)
It
//
(rfd
V)
* f
(2.87)
The
asterisk can denote scalar, vector, or ordinary multiplication. f becomes the scalar /.
In
Problems
1.
(h r
dr
=
dr
by two methods.
**
2.
(p
2a
//
dd
if
is
constant.
s
5. 4.
By
Stokes's theorem
show
that
VSP
0.
dr
dr
//
Vw
Vv
dr.
dd.
5
6.
6.
fuVv
// i
fvVu
x(l -f- sin //)j, find the value of center at the origin and radius r.
cos
47.
^f
If
(f)
dr
- V
-f
C ot
JJ S
//
dd for
all
surfaces
S show
that
XE - -
~
at
C ot
8.
Show
f
that
2
y/
II
dd
if
is
a closed surface.
dr
S
9.
(#
)i
2-r^/j.
Find
y*f
around
the
square
with
vertices
(0, 0),
Do
this
by two methods.
is
10. If a vector is normal to a surface at every point, show that its curl tangent to the surface at each point. 11. Let f = a X g, a any constant vector. Apply Stokes's theorem to
zero or
is
f,
and show
that <T)dT
JJ
S
(dd
V)
g.
12.
Assume V
&
0.
Show
that,
if
a scalar /(*,
)
y, *0
exists
such that
V
then
f
V X f - 0. dt X r| taken around a closed curve in the xy plane is twice the 13. Show that area enclosed by the curve. 14. Let f X(x, y}i -f Y(x, y)j, and let S be the area bounded by the closed curves Show that Fi and T* lying on the xy plane, Fi interior to F 2
|
// f-dd
f-dr
Both
VECTOR ANALYSIS
2.19.
75
Let
S be
a closed surface
F in
its interior.
normal almost everywhere. We now subdivide the volume into many elementary volumes. From Sec. 2.13 we note that except for infinitesimals of higher order
II
AS
dd
= V
AT
where A$
is
the entire surface bounding the elementary volume AT. all volumes and pass to the limit as the maximum AT
If
0,
"
f
-dd
/// Iff
V-fdT
(2.88)
the divergence theorem of Gauss. It relates a surface integral to a volume integral. It has tremendous applications In the derivation of (2.88) use has been to the various fields of science.
Equation
(2.88)
is
made
surface
as a contributing factor.
(2.88) may be interpreted as follows: Any vector field f may be looked upon as representing the flow of a fluid, f = pv. From Sec.. The 2.13 V f represents the loss of fluid per unit volume per unit time.
Equation
time throughout
is
f/J
f dT.
Now
if
and V f are continuous in F, there cannot be any sources or sinks in F which would create or destroy matter. Consequently the total loss of fluid per unit time must be due to the fluid leaving the surface S. We might station a great many observers on the boundary S, let each observer measure the outward flow of fluid, and then sum up their recorded data. At a point on the surface with normal vector area dd the component of the velocity normal to the surface is v N, and pv dd = f dd represents the outward flow of mass per unit time. The total loss of mass
per unit time
detailed
is
1 1
dd,
and thus
(2.88) is obtained.
For a more
and rigorous proof of Gauss's theorem, see Kellogg, " tions of Potential Theory.
Example
2.32.
"Founda-
Let
gr/r
s
,
and
let
boundary
surface S.
We
wish to compute
dd.
We
this difficulty
0. is discontinuous at r gence theorem to the region V since V by surrounding the origin by a small sphere S of radius
We
overcome
with center at
76
(V
The divergence theorem can be applied S sphere) with boundaries S and S. Thus
to the region
//*+//*-///*(?)* V
S
S
We
(</r/r
0, r 7* 0,
so that
//"--//**
,s
Now
on
S, r
**
e,
r/d
(<?r/r
dd
=*
(-g/e
2 )
d& and
Hence
//
5
gr/r
8
r/d
47rg
is
the electrostatic
field
origin.
For a con-
FKJ 2.26
tinuous distribution of charge of density p in S
it
E'
Assuming that the divergence theorem can be applied Potential Theory" for proof of this fact), then
(see Kellogg's
"
Foundations
of
p dr
(2.89)
IJI
Since (2.89) holds for all volumes we must have V In a uniform dielectric medium V D
continuous.
one has V
equations.
B *
It
4irp,
E =
0.
E = 4irp, provided V E 4-n-p is = 4irp, D = *E. For magnetism V B = comprise two of Maxwell's VV for an inverse-square force. In
empty space
so that
V2 F
0.
V2 F *
VECTOR ANALYSIS
Example
obtain
dr
2.33.
77
fi
Green's Theorem.
We
apply (2.88) to
= uVv and
/I uVv
f2
t>Vw
and
HI
JNhj
(uV*V
+
+
Vw
V0) dr
dd
(2.90)
/// V
(Wu)
dr
(t>V
Vt;
Vw) dr
JJvVu-fa
Subtracting,
we
obtain
f
Equations
(2.90)
//
(uVt>
t;Vw)
dd
(2.91)
(2.91) are Green's formulas. Uniqueness Theorem. Let ^> and ^ satisfy Laplace's equation We show that = ^. Let inside a region R, and let <p = ^ on the boundary S of #. - VV =" in #, and s on 5. Applying (2.90) = <p - $. Hence V 2 = = yields with w t;
and
Example
2.34.
<f>
([ eve
so that
i
///
(ve
in
V0) dr
= =
0.
Since V0
is
continuous (V 2
<p
is
assumed
to exist),
we
have ve
and
constant.
Thus
\j/
constant.
<?
Assuming
^>
^>
continuous as
we approach
Let
f
the boundary,
2) a,
we must have
is
^, since
= ^
^ is on the
boundary.
Example
yields
2.35.
/(x,
t/,
where a
Applying (2.88)
fdd =
Hence
HI
(/a) dr
JJJ
ff
leave
it
fd" ~
Iff
Vfdr
We
to the reader to
show that
dd
* f
II
Example
vanishes
is
/77 (V
* f ) dr
(2.92)
2.36.
vector
field f
whose
flux I
up f
it
dd
From
(2.88)
g)
If
assume
= V X
is
so that
solenoidal vector.
= V
=
V
0.
f
"yes," and we call g the vector potential of f. Notice that g cannot be V X g. We now exhibit a method for determining g. unique for V X (g -f v>) Let f Xi -f Yj -f Zk, and assume g = ai -f 0j We wish to determine g so 7k. that V f provided V f 0. Thus a, ft 7 must satisfy g
The answer
78
_
dz
**
%
(2.93)
|2 dz
I? dx
_ y
We
are to determine a,
0, 7.
Assume a *
y
0.
Then
_!
dz
dy
Of necessity,
0(x, y, z)
/J
(x, y, z)
dx
x)
+ <r(y,
dx
,
z)
r(x, y, z)
J XO
/"*
/
(a:,
y,
-f r(y, z}
.
Hence
dy
-a/J
/aF
,
,
dZ\
dr
dr
d<r
/
since
-r- dx
;o
dX
dx
do
dz
-\
dy
0.
Therefore
<r
and
r so that
"
dy
r(y, z)
dz
A (xo,
,
y. 2).
Let
<r
and
- fv
/
X(aj
y, z) dt/
y^o
x*
and
j/o
Hence
?/ ,
1^ Z(x,
y, z)
dx
+
<f>
k
[r(
is
^)
|J
F(x,
|/,
z)
dx
J
V*
(2.94)
arbitrary.
f
xzk so that V
0.
Choosing xo
yo
- ["tidy yO
0,
ya;o
- ~(zxV2), f Z dx - -z 7o f *x dx
2 and g (zW2)j -h (t/x /2)k + Vy>. It is to verify that f - V X g. Example 2.37. Integration of Laplace's Equation. Let S be the surface of a region R for which VV " 0- Let P be any point of R, and let r be the distance from P to any point Q in R or on 5. We make use of Green's formula
dr
VECTOR ANALYSIS
79
which yields a discontinuity inside R, namely, In order to overcome this difficulty, we proceed as Surround P by a sphere S of radius e. Using the in Example 2.32. 1 in R (R less the S sphere) yields fact that VV = VY =
choose ^
1/r,
We
at P, where r
0.
We
and
leave
it
to the reader to
show
that, as
0,
dd jf (l/r)Vp
2
>
// ?V(l/r)
dt -> -4r^(P).
Hence
(2 ' 95)
<f>
at
any point
in 72 is deter-
of
v?
a and
V^>
N =
on
N is the
If f
xi
yj
(z*
//
dti
0, z
-f-
1,
2
-f
?/
1.
Show
that xi -f t/j/x 2
//
is
solenoidal.
Prove that
dd
if
is
a closed surface.
4.
Prove that
1 1
dd
III
f dr.
5.
Show
If
that
ifI
V*> dr
// ^f
dd
///
^>V
f dr.
6.
w =
-g-V
X
V
v,
* V X
u,
show that
rrr
Iff
v * dr =-*
ff
(uXv)'dt
u wdr
7.
If
v>,
VV
*=
0,
show that
///
v 2 dr
//
^>v
rfd.
8.
9.
and f 2 are irrotational, show that f i X ft is solenoidal. Find a vector g such that yzi - zx] 4- (z* -f y 2 )k - V X g. 10. Find a vector g such that r/r s V X g.
If fi
11. If
pv
dd
dT for
a11
surfaces,
show that
+V
( P v)
0.
12.
Find a vector
such that
V*f-2z+y-l,VXf-a.
80
REFERENCES
Brand, L.: "Vector and Tensor Analysis," John Wiley & Sons, Inc., New York, 1947. " Kellogg, O. D.: Foundations of Potential Theory," John Murray, London, 1929. Lass, H.: "Vector and Tensor Analysis," McGraw-Hill Book Company, Inc., New
York, 1950. H. B.: "Vector Analysis," John Wiley & Sons, Inc., New York, 1933. Rutherford, D. E.: "Vector Methods," Oliver & Boyd, Ltd., London, 1944 Weatherburn, C. E.: "Elementary Vector Analysis," George Bell & Sons, Ltd.,
Phillips,
London, 1921.
:
Bell
&
CHAPTER
TENSOR ANALYSIS
In this chapter we wish to generalize the notion In Chap. 2 the concept of a vector was highly geometric This spatial since we looked upon a vector as a directed line segment. is understood for a of vector of a easily space one, two, or three concept dimensions. To extend the idea of a vector to a space of dimension higher than 3 (whatever that may be) becomes rather difficult if we hold to the simple idea that a vector is to be a directed line segment. To avoid this difficulty, we look for an algebraic viewpoint of a vector. This can be done in the following manner: In Euclidean coordinates the vector A can be written A = Aii A&. We can represent the Azj vector A by the number triple (Ai, A%, As) and write A = (Ai, A 2 A*). The unit vectors i, j, k can be represented by the triples (1, 0, 0), (0, 1, 0), We define addition of number triples and multi(0, 0, 1), respectively. plication of a number triple by a real number a as follows:
3.1. Introduction.
of a vector.
= -
(A l
Bi,
,
A2
+
3)
B,,
A*
+ B,)
(aAi,
aA 2 aA
( ^
'
Equations
(3.1) define
We
1,
note that
(Ai, A,,
8)
Ai(l,
of
0, 0)
A,(0,
0)
A,(0,
0, 1)
(3.2)
The elements
triple.
AI,
2,
As
A
we
number
Throughout
this chapter
at times, for convenience, the superscript convention, of Chap. continue our discussion of vectors, let A = (Ai, A 2 A 8 ), B = (B 1
,
To
8
)
B B
triples.
We
A B = A aB
The square
of the
(3.3)
norm
i
is
defined to be
L 2 = A a A, Ai = A\
If
L2 =
is
1,
is
a unit vector.
The
two vectors
81
defined
by
82
It is
not
difficult
to
show that
|cos
0|
1.
We
A^BjB* ^
Let us consider
3
(A a
BY
)>
y
for
^
(A ax
(3.6)
real.
2
BjB represents a parabola. Since y ^ has no real roots or two equal real roots. Hence Let the reader show that, (3.5), the Schwarz-Cauchy inequality, holds. a = 1, 2, 3. If if the equality sign holds in (3.5), then A a = \B a
J
Now y = ^l^z
2A a JS ao:
>
0,
cos 6
1.
If
<
0,
cos
1.
If
cos 6
0,
that
is,
A aB =
we say
that
can define the vector, or cross, product of A and B algebraically as follows: Let A\ B\ i = 1, 2, 3, be the components of A and B, respecLet Ck, k = 1, 2, 3, be the components of the number triple tively. C = (Ci, C 2 C 8 ), where
We
Ck =
The
t, 3k
A'B>
(3.7)
We
note that
C\
= A*B C 8 = A B* - A*B>
l
1
A and
<-
C.
We
have
A-C = A k C k =
But
If
kji
lJk
A*A k B>
-rr> -rr
at
If
2 8 ^(^S 3 ^ )
is
a scalar function of
T^ *
1J
;
TT
T^ * ;
y *
T' *
;
/
<f>
the gradient of
is
A,* \
(3.9)
TENSOR ANALYSIS
It is easy to define the divergence
83
and
number
triples.
V X
A.
The divergence
AA
of
is
the scalar
V'A =
The
definitions
(3.11)
above
refer to
Euclidean coordinates.
In the above presentation geometry has been omitted. Everything depends on the rules for manipulating the number triples. One need
A =
The
of n-tuples.
(A l9 A,, A,,
A n)
(3.12)
definitions for manipulating triples are easily extended to the case There is some difficulty in connection with the vector
product and the curl. This will be discussed later. Let us jhope that the reader does not feel that it is absolutely necessary to visualize a vector in a four-dimensional space in order to speak of such a vector. He may feel that an abstract idea can have no place in the realm of science. This is not the case. No one can visualize a fourdimensional space. Yet the general theory of relativity is essentially a theory of a fbur-dimensional Riemannian geometry. One further generalization before we take up tensor formalism. Let S be a deformable body^tfhich is in a given state of rest. Let P(x 1 x z # 8 ) be any point of this body. Now assume that the body is displaced from Let 8i(x l z 2 x 8 ), i = 1, 2, 3, represent the its position to a new position. displacement vector of the point P. The displacement vector at a nearby 1 8 8 dx re 2 point Q(x dx\ z + rfx ) is
9
,
*,*')+
except for infinitesimals of higher order.
2*.
d*
(3.13)
We
1 (*
2
can write
d*
The nine terms
of
= ~
I (***
2
\to
.
M 5/ +
i,
Vto
M
a?/
n
(
i-n ;
T~
T~ V
1, 2, 3,
deformation theory. It is convenient to represent these nine terms as the elements of a 3 by 3 matrix. A simple generalization tells us that
84
we may wish
by
/g
t,j,
fc,
a, 6,
r >>>*'/ =
n\
.
.
,
1, 2, 3,
.
,
j\
This
sors,
Before we speak of tenis our first introduction to tensors. we must say a word about coordinate systems and coordinate
2 1 totality of n-tuples (x x
,
.
.
.
transformations.
x n ) forms the arithmetic n-space, n. the x* real, i = 1, 2, By a space of n dimensions we mean any set of objects which can be put into one-to-one correspondence with the
The
arithmetic n-space.
Thus
<->
(x
x2
x)
(3.16)
The correspondence (3.16) attaches an n-tuple to each point P of our We look upon (3.16) as a coordinate system imposed on the space. elements P. We now consider the n equations of space
y*
= yK*
1
,
**,
*w )
l
1, 2,
. ,
(3.17)
We assume that (3J7) and (3.18) are single- valued. The reader may read that excellent text, "Mathematical Analysis/ by Goursat-Hedrick on the conditions imposed upon (3.17) in order that (3.18) exists. The
7
n-space of which P is a point can also be put into one-to-one correspondn ence with the set of n-tuples of the form (y l y 2 y \ so that a new coordinate system has been imposed on our n-space. The point P has not changed, but we have a new method for attaching coordinates to the
, , .
elements P of our n-space. It transformation of coordinates. 3.2. Contravariant Vectors. define a space curve, F, fri this
ri x p.
__
is
We
n space and
V n by
i
1
r t(A x\i)
O
. .
i, ^,
n n
,g
g.
~W ~HT' ~W
Generalizing,
we
-,
-^-,
^Y
.
written
dxi
-57
i
1, 2,
(3.20)
TENSOR ANALYSIS
85
The elements of (3.20) are the components of a tangent vector to the space curve (3.19). Now let us consider an allowable (one-to-one and singlevalued) coordinate transformation of the type given by (3.17). We
immediately see that
y^
i
i y (x ^ x
x")
= y^(t\
x*(t\
.
,
a?(0]
tf(t)
(3.21)
described
n. Equation (3.21) represents the space curve F as the coordinate y by system. An observer using the y coordinate system will say that the components of the tangent vector to F are
1,
2,
given by
^
Remember
that the points of
1, 2,
(3.22)
Needless to say, the x coordinate system describing F is no more important than the y coordinate system used to describe the same curve.
We
j->
/ /77/1
-^
(JlJ
>
-%J
(HlJ
\ )
is
we can say
that
r > -|-> at at
(it
is
transformations,
If we were to consider all allowable coordinate we would obtain the whole class of tangent elements,
each element claiming to be a tangent vector for that particular coordinate system. It is the abstract collection of all these elements which is said
now ask what relationship exists between to be the tangent vector. the components of the tangent vector in the x coordinate system and the
components of the tangent vector answer this question since
in the y coordinate system.
We
We easily
dj_wdx^ ~
dt
dx
dt
1,
(4-M)
We
is
dip
dy a
=- since
it
the index a
summed from
to n.
We
leave
to the reader to
show that
'
dt
dy
dt
l
We now make
. .
x n ),
1,
the following generalization: The numbers A (x l n, which transform according to the law 2,
. .
x 2,
A'(x\
x*,
*)
i=l,2, ... ,n
(3.25)
86
= &(x x\
l
,
xn)
1, 2,
(3.26)
The contraare said to be the components of a contravariant vector. variant vector is not just the set of components in one coordinate system
but is rather the abstract quantity which is represented in each coordinate system x by the set of components A'(x). One can manufacture as many contravariant vector fields as one desires. A n (x)) be any n-tuple in an Let (A (x), A 2 (x),
l
.
.
(x*,
:r
.
,
rr)
In any x coordinate system related to the x coordicoordinate system. nate system by (3.26), define the A i = 1, 2, n, as in (3.25). We have constructed a contravariant vector field by this device. If the components of a contravariant vector are known in one coordinate system,
1
. . .
then the components are known in all other allowable coordinate systems, by (3.25). A coordinate transformation does not yield a new vector; it merely changes the components of the same vector. We say that a
contravariant vector
is
An
If
The point does not change under a coordithat a point is an invariant. nate transformation; the description of the point changes. The law of transformation for a contravariant vector is transitive.
Let
Then
^t
dx
1
dy
dz
where
z.
is
not
correct dimen-
TENSOR ANALYSIS
87
sions. (Rj rO, Z) are the physical components of the vector as distinguished from the vector components (R, 0, Z). R, rO, and Z are the projections of the vector
A - Xi +
on the unit vectors e r
,
Fj
Zk
e0, e t
k, respectively.
Problems
Show that, the components of a contravariant vector vanish in one coordinate system, they vanish in all coordinate systems. 2. If A 1 and B* are contravariant vector fields (the A* and B l i are 1, 2, , n,
1.
if
,
. . .
really the
fields),
show that
A*
B*
is
also
a contra-
variant vector
3.
What can be said of two contravariant vectors whose components are equal in one
coordinate system? 4. If X, Y, Z are the components given in Example 3.1, find the components in a By what must 6 and 4 be multiplied to yield the spherical coordinate system.
physical components?
5.
Let
A and
1
C*'(x)
A*(x)B>(x),
fields.
Define
6.
Referring to Prob.
5,
show that
3.3.
l
Covariant
. . .
Vectors.
is
We
consider
the
1
scalar
point
l
,
function
in that
. ,
<p(x
x2
x n ), which
n,
= &(x
x2
x w ),
1, 2,
. ,
(3.27)
where x
(x)
x l (x l
x2
x n ),
1,
2,
n,
is
the inverse
transformation of (3.26).
We
d^
'
a?y
of the gradient of
<p.
/o ofi^ (3 28)
'
which
is
an obvious generalization
Differentiating
(3.27) yields
Equation (3.29) relates the components of grad <p in the x coordinate system with the components of grad (# = <p) in the 5 coordinate system.
88
More
generally, the
numbers Ai(x l x 2
,
x n ),
1, 2,
S) =
dx a
A a (x\ z 2
.
. ,
x)
(3 3Q)
1, 2,
n
field.
The remarks
of Sec. 3.2 concerning contravariant vectors apply here as well. One may ask what the difference is between a covariant and a contravariant vector.
It is the
law
of transformation.
Scalar Product of
Two
Vectors.
(x)
and
(x)
be the com-
and a covariant
vector.
We
consider
sum A aB a
letter x is
What
is
the form of
A aB a
in the
,
The
an abbreviation
x2
Ba
so that
A aB a
7*
dX a
= A"B a
Hence the form
tion.
of
of the
two vectors
A
,
and B.
Problems
dX a dx l
r
rf 1. If
2. If
A =
t
Aa
<p
and ^ are
scalar invariants
show that
<p
* =
grad ^ -f ^ grad ^
<f>
F'(^) grad
If
At and
t
C t; =
A Bj
B are the components of two covariant vector transforms according to the law
fields,
show that
4.
Show that
CJ
==
CJ(x)
r-^-
A* and
tively.
TENSOR ANALYSIS
6.
89
fields A*.
Assume
that
6.
is
all
contravariant vector
Show
Let
Sa^pr
Show
that
3.5.
Tensors.
are special cases of differential invariants called tensors. ponents of the tensor are of the form
The com-
ai,
a2
.
,
. ,
ar
frl,
62,
b,
(3.32)
The exponent
If
dx
A/"
of the Jacobian
'dx
is
0,
we say
is
field is relative of
The
tensor of
s.
For N = 1 we have a tensor density. weight is said to be contravariant of order r and covariant (3.32)
of order
If s
is
purely contravariant,
and if r = (no superscripts), the tensor is purely covariant; otherwise we have a mixed tensor. The vectors of Sees. 3.2 and 3.3 are absolute If no indices occur, we are speaking of a scalar. tensors. At times we shall call T^l'.'.'.^(x) a tensor, although strictly speaking
the various T'& are the components of the tensor in the x coordinate
system.
Two tensors are said to be of the same kind if the tensors have the same number of covariant indices, the same number of contravariant Let the reader show that the sum of two indices, and the same weight. tensors of the same kind is again a tensor of the same kind.
We
(a)
difference of
two tensors
is
of the
same kind
are again
of
two tensors
a tensor.
case.
so that
90
(c)
We
(3-33)
have
^) = ^(*)gg
The elements
of A] may be looked upon as the elements of a matrix. Let us assume that we are interested in the sum of the diagonal terms, In (3.33) let j = i, and sum. We obtain A\.
= A(x) =
Hence A\(x)
alue).
3ript to
is
A\(x)
a scalar invariant (invariant in both form and numerical obtained a scalar by equating a super-
Iv = A klm
pffT
dx a dx* dx k dx dxm
l
Now
let
j,
and sum.
We
obtain
^^
= ~
A a*
pffT
Q_ k
ak
dx~"
x ^
pffT
dx1
A
=
e
pffr
^!^!^! m
dx dx k dx
dx" dx k dx m
ftOT
so that
write
A
==
We may
B
Ba pr
o-
is
summed from
to
n and hence
a Notice that the contravariant and covariant orders of disappears. pr It is not difficult to see why this method are one less than those of Aj$ m of producing a new tensor from a given one is called the method of
.
contraction.
One may wish to show that the elements B/(z) (d) Quotient Law. Assume that it is known that A 4Bjk is a are the elements of a tensor.
tensor for arbitrary contravariant vectors
A\
Then
dxk
TENSOR ANALYSIS
SO that
91
is
Bjk
Bp y
1
j-
0.
Since A*
arbitrary,
we must have
This
fijb
.'.'.'
is
If A*Bi..'. is
is
a tensor.
This
is
Excynple 3.2,
The Kronecker
t >
6] (see
Sec. 1.1)
is
ax' ox**
ox* ox^
~d
dx" Jx7
^(ar)
is
"
ax*
^ "
dx*
d
scalar,
If ^(a: 1 ,
a;
2
,
.
xn )
an absolute
tf>(x)
an
absolute mixed tensor whose components in the x coordinate system equal the corresponding components in the x coordinate system. Conversely, let Aj(x) be an = A](x). Theix isotropic tensor, that is, A](x(x}}
.
dx
dx"
fix" dx>
Since
uX a
it
follows that
for all
i, j,
?'
a,
j,
choose
occurring.
A*
^>5}.
a, it follows that A] Choosing i 5^ j and a a no summation intended. Then A <r, Hence the diagonal elements of A] are equal to Let the reader show that if A^ is isotropic then ^
<r.
t
f.
Now
that
nmation
^o
Example
3.3.
and
If
gr a<r
g ffai
we
and
Now if A
and
**
Aa
fix"
dx_
dx
92
i
Assume
a g a & dx dx&
is,
g a $ dx
dx*
a g a dx dx?
g$a.
From dx a
dX a
d& we
have
Gap
1~ !^ dx
dx
dx dx*
for arbitrary
da;'*.
It follows
from Example
1.2,
that
Hence the
Example
that
0a/s(z)
subscripts).
3.5.
Let Ai and
is
of
C/.
For a three-dimen-
sional space
A iB'2 2
A 2 Bi)
to the
Problems
1. If the components of a tensor are zero in one coordinate system, show that the components are zero in all coordinate systems.
2. If 0*0 3.
g a&
gp a
and g t) =
dx a dx&
ga p
>
show that $
t,
g jt
From
gfa),
show that
)
j(g a p
+ gpa
dx dx*
scalar.
is
4. If
6.
If
an absolute
6",
an absolute
tensor.
The two tensors are said to be reciprocal. 6. Show that the cof actors of the determinant |o,| are tensor of weight 2 if o u is an absolute covariant tensor.
-
7. If
8.
A*
is
is
Assume
Use
an
isotropic tensor.
Show that
show that
(3.34) holds.
9.
(1.26)
and
|^,l
I0.il
dx dx
to
|0,/|t ci,k is
an absolute tensor.
TENSOR ANALYSIS
3.6. The Line Element. we have
<fe
2
93
dx z
+ dy* + +
dz*
(3.35)
The simple
ds*
= =
(dx
b a ft
(dx dx dx?
)
+
5 a/3
(dx
n
)
if
0;
S^ =
i
1 if
l
,
a
#
2
=
,
.
|8
(3.36)
n
.
,
If
i
we apply a
coordinate transformation, x
n,
x*(x
),
1, 2,
we have
dz<*
a dx-
uX
d&, dx*
dx&
-
uX
d$
v
,
so that (3.36)
=
3
(7 M ,
dx" dx"
(3.37)
where ^Mv
= 60 5x
^^ =
dx^
\ A Qx a dx a
y
a=
l
^ ^'
gafi(x)
quadratic form
ds*
dx" dx*
is
(3.38)
The
called a Riemannian components of the metric tensor (see Examspace characterized by the metric (3.38) is called a Rie-
(the line
element ds 2 )
this
Riemannian space
it
(3.38),
formation exists such that ds* = d ap dy a dy&. If there is a coordinate z n a transformation x % = x l (y l y 2 y ), such that ds = d apdy dyP, we the is The that Euclidean. Riemannian coordinate space y say system is
.
said to be a Euclidean coordinate system. Any coordinate system for which the gt} are constants is called a cartesian coordinate system (after
Descartes).
We
and Tj(Qij ~ 9ji) dx dx = 0. The terms ^(gl} + gi% ) are symmetric. assume that the quadratic form is positive-definite (see Sec. 1.6).
1
3
We
Example
one has
3.6.
so that
(dx
2 )
-f (dx
2
)
\\ga\\
4- (dx
8 2
)
94
r sin
cos
sin
<? <p
xl
= =
r sin r
cos 6
cos
2
2/
The
AI&
d(y
Hence
d\\
-
l
,
y*,
2/
a.
ain for
2
?/
2
)
?^
We
obtain
(di/i)
4-
^(dy^ +
2 2 -f r sin
to
sin
2
7/
2 )
(%)
dr 2 -f r 2
is
#22 5^
,
constant.
Example
Prob. of the
5,
gtj.
3.7.
We
lj
Sec. 3.5).
as the reciprocal tensor to g %1 that is, g ll gjk 5j (see The g* } are the signed minors of the g n divided by the determinant are the elements of the inverse matrix of the matrix \\g %J ||. For the
define
$7*''
Example
3.6
we have
Example
3.8.
We
of a vector
A*
in a
quadratic form
L 2 = gc<0AA 8
The
associated vector of A*
is
A'
0*0 A0 so
that
a/
L2 The
cosine of the angle between
jAA*
A*, B*
is
(3.40)
two vectors
defined by
(3.41)
|cos
0\
1.
Problems
1.
Prove
(3.40).
2.
Show
that |cos
9\
1,
cos e defined
by
(3.41).
TENSOR ANALYSIS
3.
95
X8
[(y l),
(,)]
Show
that
Consider the hypersurface x* &(u l w 2 ) embedded in a Riemannian 3-space. l l 2 u obtain the space curve x l we fixed, x(wj, w ), called the w 2 wj, i l curve. Similarly a;* = x (u ul) represents a u\ curve on this surface. These curves Show that the metric for the surface are called the coordinate curves of the surface.
4.
t
If
we keep u
is
ds z
h%t du*
du
j ',
where
if
,
hit
OU QU
coordinate curves
intersect orthogonally
6.
hu =
x*,
.
,
0.
.
a^)
determines a hypersurface of a
Vn
Show
that the
6.
-~
oX
Show Show
that -r-
a g a p dx dxP.
7.
that the unit vectors tangent to the u l and w 2 curves of Prob. 4 are given
,
d*
dx*
r
by
8.
An"*
dw 1
^22~*
dW 2
4,
If ^ is
show that
If a space curve in a Rie3.7. Geodesies in a Riemannian Space. mannian space is given by x { = z*(), we can compute the distance between two points of the curve by the formula
The
x^ti)
geodesic
is
x*(t)
joining x^to)
and
(3.42). determining the to in the of We apply reduces a calculus variations. geodesic problem the Euler-Lagrange formula to (3.42) (see Sec. 7.6). The differential
which extremalizes
The problem
of
equation of Euler-Lagrange
is
where /
(g^&&)*.
Now
d^
~
i 2/ dx
96
If
as a parameter
df
dx*
we switch
to arc length
s,
then
and/ =
Hence
_ ~
##) (3.43)
becomes
Multiplying by g
and summing on
-I-
i yields
d9a/>
dV + 4 d? **
or
( d0a{
\d?
dx" da^
+ *&>da"
"
_
} to*/
W
rt
dx "
dx<>
~
. ,
dF
. .
H
n
441 (d>44j
d x
r
,
dF U'O
1, 2,
where
,.^
(3.44')
Equations (3.44) are the second-order differential equations of the geodesies or paths. The functions F^ are called the Christoffel symbols of the second kind.
Example
3.9.
constant so that
-^ =
=
a Ts
and
,
(3.44') yields
r^ =
0.
-ry
0,
or X T
3.10.
+
=
b T linear paths.
live
[(x
1
Example
Assume that we
(dx
1
on the surface
2
)
of a right helicoid
immersed
in a
2
)
c 2 ](dz 2 ) 2
We
have
Applying
(3.44'),
we have
Since g 21
unless
2,
we have
Similarly,
nl
1
f\
11
Ui
rn
fit
**
f\
v,
Til 12
-pi 2i
__
f\
o,
r 22
fil
_j -x
x
,
-p2 22
__
/\
u,
ip2 r 12
__ -p2 1 2l
,
r
n2
TENSOR ANALYSIS
The
differential equations of the geodesies are
97
ds z
^
(x
2*1
1
dxldx 2
2 )
4-
2 )
-j- [(x
c2]
constant
= A
) \ as /
r~
4- 7 1 rv^ 2 (x )
+
;
c2
constant.
Problems
1.
2.
Derive the Tg T of Example 3.10 Find the differential equations of the geodesies
element
initial
conditions x 1
On,
x2
dx l
<po,
dx*
1,
~T-
-5
at
=
3.
0.
= Show that Y r a8
rj fl
4.
the surface
x2 x3
= u = u =
cos u z
sin
uz
The
surface
is
the plane x 8
0,
5.
From
(3.44')
show that
6.
Let ds 2
i7
dw 2
2F
rfw
dv
7. If f},(5)
8.
rj7 (x)
gg^
fc
Obtain the Christoffel symbols for a Euclidean space using cylindrical and
first
kind are
(t,
jk]
g^jk'
Show that
98
3.8.
Law
Let the
by
N
w + T*
,
dx dxk
3
{x}
Ts dF
k
/0 CN (3 45)
. '
j and
for the
find
<**#
^+
i
r,
!%(*)
,-,d2'dx
....
Tg -^
l
(3.4(0
two coordinate systems x\ x in a Riemannian space. We now From x = x*(x) we have a relationship between the rj* and the T] k
.
~
ds
a^ a ds
= "
ds 2
dx^ dx a ds
ds
dx a ds 2
dV
ds
2
6 2 ff
ds* dx
dx^ dx* ds ds
ff
?fc
dx
summing on
i)
3k
dx
dx<*
d#
=
dx? dx" dx>) ds
ds
Comparing with
(3.45),
we have
(3.47) is the law of transformation for the Christoffel symbols. the Note that Tjk are not the components of a mixed tensor so that T) k (x) may be zero in one coordinate system but not in all coordinate systems.
Equation
Example
3.11.
From
Prob.
4,
Sec. 1.2,
and the
definition of the
tf*
we have
From Prob.
5, Sec. 3.7,
s
TjjjT
so that
~^!
Hence
ft
(3.49)
TENSOR ANALYSIS
Example
3.12.
99
In
this coordinate
system T] k (x)
From
,*x
(3.48)
P T
x coordinate system.
>
k(x}
d **
k
^
then
for the
of necessity, so
that
ff
aj
-f 6"
where a*, b* are constants of integration. Hence the coordinate transformation between two cartesian coordinate systems is linear. If the transformation is orthogonal,
n
y
a=
[see (1.53)].
1
>? - &*
=
g* }
ga p
-r-r;
-rr-
CrX
oX
reduces to
80that
.,
6"
d' =
^dx"
Now
vectors.
let
We
have
Making use
of (3.50) yields
n
\*\
.a
ra
(3.52)
cr-1
so that orthogonal transformations affect contravariant vectors exactly the way covariant vectors are affected. This is why there was no distinction
same
made
in
Problems
1.
Prove
(3.48).
2.
By
8)
show that
3.
4.
Show
that the law of transformation for the Christoffel symbols is transitive. Derive the law of transformation for the Christoffel symbols from
100
6.
p(x)gi,(x).
Show that
where
<pa
~
ft
uX
and
r*J, TJ fc
{/*,-,
#*,,
respectively.
3.9.
Covariant Differentiation.
by the transformation
obtain
dAj
_ dA
dx
aV
i
dx k
since
t.
It is at
once apparent
wish to determine a vector (covariant) which will reduce to the ordinary We accomderivative in a Euclidean space using Euclidean coordinates. plish this in the following manner by making use of the transformation
We
dx dx* dx A -^ = A M -^-jjl
dx k
dx dx*
dx-*
d& d3 k
dxd&
d*x*
dx k
rjY A a -^-
Hence
dA
--^~
T%y A a -rr
dx^
is
a covariant vector.
s=
becomes
rr-
We
to
t.
at
TT
"
a rj^A MT
at
=7-
the intrinsic
A^ with respect
it
Its value
we choose
since
involves ~rrat
We
write
dt
"
dt
Since
TENSOR ANALYSIS
is
101
it
d^*M
a A p l^A.
fi ld.W
is
2.
We
call (3.56)
of
Ap and we
y
write
(3<57)
differentiation.
AT,
A = We
have
ax
dx
ax ax
ax* a
From
Prob.
9, Sec. 1.2,
we have
a
ax dx dx" N dx"
3
so that
=
= TL
"-
dx
(3.58)
Multiplying r-,
+
dx
dx
ax
;
by
ax
and sub-
- NAT'* =
J
\ idA _ NATff
dx
dA
(in
form),
ox
NAT aa
- NAT ao
ff
is
a covariant vector of
We
write
A, a
SE
(3.59)
We call A, a the covariant derivative of A. The comma in A, a denotes = and covariant differentiation. If A is an absolute scalar,
~ A * -the gradient of A.
102
if
T0 $:::(x)
is
a relative tensor of
rpftixt
I"
^0101
atr-p/t
ar-pai 0.1 Mm
-T
_t_
nrr
meriaz
1
,40,
.
. .
ft,
im
motiaj 1 ft
:::zr:m
is
(3.60)
r**
^'m
We
AT",
is
called
.'.'-X-
differ-
Example
3.13.
gr,.
We
have
from Prob.
5, Sec. 3.7.
Example have
3.14.
Curl of a Vector.
Let
We
A "' * IF ~ ^
so that At,,
A,, t
r?'
and
A-
~ 4 r "'
ox'
^ Ar
ft
A
r
is
a tensor.
ox*
and
is
covariant tensor of rank 2. Strictly speaking, the curl is not a vector but a tensor of rank 2. In a three-dimensional space, however, the curl may be looked upon as a
If
Ai
dto
0.
Conversely,
if
curl
At
0,
then
A.
|^
where
[see (2.79)]
<p(x\
x\
x) - [* Ai(x\ yxo
1
x*,
1 a?) da:
rx*
J
/
Ai(sj,
ajo*
a:
2
,
. .
a;
w
)
dx*
1
A,,(zJ, xj,
xj-
x) dx n
(3.61)
The constants
Example
variant vector
xj, xj,
xj can
be chosen
arbitrarily.
3.15.
is
Divergence of a Vector. The divergence of an absolute contradefined as the contraction of its covariant derivative. Hence
div A*
A^
-~ + ATJrt
From
(3.49),
ra<
"gft,
j. = dlvA
...
"A-a
-ZZT
+
i
\<?\~*
A \9 A "-7T^
'
(3.62)
TENSOR ANALYSIS
If
1
103
.
a we wish to obtain the divergence of A,, we consider the associated vector A* g* A The A" of (3.62) are the vector components of A. To keep div A dimensionally corFor rect, we replace the vector components of A* by the physical components of A*.
spherical coordinates
1
101*-
Or
r 2 sin
r 2 sin 2 6
so that div A*
u \_oT _
(r
sin $A')
+^ (r ou
sin OA')
+ -~ o<p
sm
and chang-
4, Sec. 3.2)
div A<
(rs sin
(r 8in
Example
invariant
<f>
3.16.
is
The Laplacian of a Scalar Invariant. The Laplacian of the scalar defined as the divergence of the gradient of <f>We consider the asso<f>,
namely, g
a&
-^
Applying
(3.62) to g"&
^ yields
the Laplacian
Lap
In spherical coordinates
<f>
3=
VV =
rr
j
(3.63)
r 2 sin
1
r 2 sin 2
r
*
8m 'Problems
1.
Starting with A*
Aa
4.
is
a mixed tensor
without recourse to
2.
3.
(3.60).
?f *
4.
5.
that
(A%),* - A*B
^A ar
A; B,.
fc
0.
6. 7.
in cylindrical coordinates.
rj< AJ
Show that
for
recourse to (3.60).
8.
Show
that
A? a -
Jj
(|^|Uf )
- A|r?
tt
10. If
*
A0c.
is
t)
is
-^ ot
=
at
+A
tf
-37at
Show
that
vi
is
dt
104
3.10.
the components of a tensor, it may be possible to find a coordinate system We now show that in the neighborhood of x i = q i such that T] k (q) = 0. Let this can be done.
(3.64)
so that
xu
5}
and
=
The
1.
Hence
(3.64)
l
is
nonsingular in a
neighborhood of x
*'
q.
l point x
0,
that
is,
the point x
now becomes
nate system.
(3.65)
since
T ^(q) = T^(
l
Thus
55
g
+
Differentiating
(3.65)
with
k respect to x yields
so that
dx k
d&
Now
and evaluating at zl
- r i
dx? dx *
d&
dx*
0, yields
- r;() =
o.
Q.E.D.
Any system of coordinates for which (T}k) P = at a point P IB called a geodesic coordinate system. In such a system of coordinates the covariant derivative, when evaluated at P, becomes the ordinary derivative when evaluated at P. For example,
-^7]
snce (r
system.
0, if
the
a;
TENSOR ANALYSIS
105
We now
show that
System (3.66) is true in geodesic coordinates at any point P. But if two tensors are equal to each other (components are equal) in one coordinate system, they are equal to each other in all coordinate systems. Hence
(3.66) holds for all coordinate
Equation
infinitely
(3.64)
many
yields one geodesic coordinate system. such systems since we could have added
There are
to the right-hand side of (3.64) and still have obtained 1^(0) = 0. A special type of geodesic coordinate system is the following: Let us consider the family of geodesies passing through the point P, x* = xj.
Each
dx l
-jds
This
follows since the differential equations of the geodesies are of second order. Suitable restrictions (say, analyticity) on the T*k (x) guarantee a unique
initial
solution of the second-order system of differential equations when the conditions are proposed. The & are the components of the tan-
gent vector of the geodesic through P. We now move along the geodesic (determined by *) a distance s. This determines a unique point Q. Conversely, if Q is near P, there is a unique geodesic passing through P and Q which determines a unique * and s. We define
x*
l
p8
(3.67)
The x are called Riemannian coordinates. A simple example of Riemannian coordinates occurs in a two-dimensional Euclidean space.
There
The
x
2
= tan 6. a unique geodesic through the origin with slope r coordinate of polar coordinates corresponds to the s of Riemannian
is
coordinates.
Thus
cos
6,
sin 6),
s,
and x l =
r cos
,
0,
In this case the Riemannian coordinate system (x 1 x 2 ) corresponds to the Euclidean coordinate system (x, y). The differential equations of the geodesies in Riemannian coordinates
r sin
6.
are
d 2x
l
,
,_ N
dx dxk
j
But
=
ds
ft
=
ds 2
'
0, '
so that
=
Since (3.68) holds at the point
(3.68)
Riemannian coordinate
106
system,
3.11.
2*
0) for arbitrary
',
is
Hence a 0. it follows that 1^(0) a geodesic coordinate system. We consider the absolute vector V\
mixed tensor
4l
= 7. 3
'
_ ^ VT
dx>
a3
On
V* Y ,1k
we obtain
= dVk
l
>J
4'
Vr
v l
,j
a V* L Y ,a T jk
,
where
R^, k
^ ^+^
-
a]
T' ek
- T^T'9]
is
(3.70)
It follows
necessary and sufficient condition that V\ lk = V\ kl from (3.69) and the quotient law that R ajk
l
0.
is
The
tensor depends only on the metric tensor of the space. It is called the curvature tensor. Its name and importance will become apparent
in the next
R^
two paragraphs.
tensor
v*>-
u*/
(3.71)
is
theory
The
tensor
scalar invariant
R=
R^
is
The
(3 72)
Rh
is
Qh R*'
Problems
1.
2. 3. 4.
Show that, for Riemannian coordinates, f k ()&& Show that (A] + B]), k - A] tk -f B} tk Show that JB, - #, Show that R akjt0 -f- #,* + /%*,, - 0. This is
j
.
0.
Hint:
Show that
R\\]k
Rikjk "^
Rh\ki>
-Rj*
0, K\jkk
6. If Rvj
kgij,
show that
nk,
space.
TENSOR ANALYSIS
107
If a space is Euclidean, there exists 3.12. Euclidean, or Flat, Space. a coordinate system for which the g^ are constants, so that r] (x) 2= 0,
fc
dr*-
-T-J
(all
=
its
0.
components are
We now
If
the
curvature tensor is zero, the space is Euclidean. Let us first note that if an x coordinate system exists such that the g tj (x) are constants then If there is an x coordinate system for which r* (x) = 0, and conversely.
fc
rjtCr)
0,
then
and conversely,
if
=
.
0.
l
to the following: Given the Christoffel symbols Tjk (y) in any y coordinate n, satisfying (3.73)? system, can we find a set of x\ i = 1, 2, 3,
. .
The system
'
(3.74)
We
Let
(3 75)
-
so that
w" ^=
ftn
"
u\T] k (y)
(3.7(5)
For each a we have the first-order system of differential equations given by (3.75) and (3.76). These equations are special cases of the more general system
(3.77)
with
z
*
fc
=
.
1,
. .
2,
,
1;
1,
2,
. ,
n.
If
we
let
zl
= x,
=
If
ul,
z n+1
= u^
a solution of (3.77) exists, then of necessity (assuming differentiability and continuity of the second mixed derivatives)
,
dy
+dz* dy
l
=
dy>
+*
dz
dy
If
the
Fk are
j
analytic,
it
conditions z k
zj
can be shown that the integrability conditions unique solution satisfying the a ^ 2/ ^ 111- The reader is referred to the
r
108
Gauthier-Villars, Paris,
1910.
(3.78)
when
TfouZ
referred to (3.75),
(3.76)
RW
The
first
T?M =
=
.
'
(3 79)
from the symmetry of the T*k Hence a necessary and sufficient condition that a Riemaimian space be Euclidean is that the curvature
equation of (3.79)
is
is
satisfied
0.
satisfied
if
= Ufa
tensor vanish.
3.13. Parallel
travariant vector
yields T*k (x)
Displacement of a Vector. Consider an absolute conA 1 in a Euclidean space. Using cartesian coordinates We assume further that the A % are constant. From 0.
we have
__
A a
IV
t/t
,
L/
._
Oft dx a dx y 6
Moreover
Ty
=
ff
since
d*x l
dx& dx a
dx? dx dxt dx
from Example
1.4.
Hence
dA = - A'T^
i
dfr
(3.80)
Now the A\ being constant in a Euclidean space, can be looked upon as yielding a uniform or parallel vector field. Equation (3.80) describes how the components of this parallel vector field change in various coordinate
systems. Since, generally, a Riemannian space use (3.80) to define parallelism of a vector field.
is
We
Vn
i say that A is parallelly displaced with respect to the Riemannian i l along the curve x = x (s) if
TENSOR ANALYSIS
109
say that the vector suffers a parallel displacement along the curve. a vector suffers a parallel displacement along all curves, then from Ai A A i /7/T0 fj - ,, tt^l (IX* = u/1 -j -7T-R -T- it follows that as dx* ds
If
.
We
=
~dxP
~~
or
A^ =
Example
0.
3.17.
1
,
=
dA
,
.
and
_L_2
5 (cos B)
.
=
D W _^ +WA
.
dBP
since g a p,y
0,
OS
0,
0.
uS
Hence,
if
undergo parallel displacements along a curve, they are inclined at a constant angle.
Two
vectors at a point are said to be parallel if their corresponding If A 1 is a vector of constant magnitude,
B =
l
<pA\
<p
If
A*
is
l
also parallel
0.
x { (s),
8A we have -r =
OS
Now
ds
ds
ds
ds
--%* as
<p
We desire B
Hence
type
(3.82)
must
satisfy an equation
^=
if it is
f(*)B*
tensor arises under the following considerations: be an infinitesimal closed path. The change in the components of a contravariant vector on being parallelly displaced along this closed path is
Example
l
The curvature
t
Let x
x l (t),
1,
If
we expand A",
it
higher order,
(3.83)
where
R^ y
is
110
1.
for
which
ds*
dO*
-\-
sin 2 9
d^
is
not Eu-
clidean.
2.
3.
Show that
If
satisfies (3.82),
0.
show by
letting #*
= ^A*
that
it is
possible to find
so
that
6.
^
8s
Derive
(3.83).
3.14.
Let
. .
L be an
,
absolute scalar
invariant of the space coordinates (x .r 2 x n ), and the invariant time tives (i, #2,
. .
t,
I.
Hence
L(x\ x\
x, x
1
,
2
.
.
,
x*,
t)
= ^(x\x = f
2
.
,x")
1,2,
,n
(3 84)
'
From
(3.84)
dx
6^~o^6^"~aS"
when
as
it is
dx a^ a
4
dx*
J
dx
~dS
fr are
is
concerned.
Now
d*
aL ~ = ^Ldx^
dx a dx
l
dLfrr*
dx a dx*
dL
d*x
Also
,,
,
^=~
-jf [ -^r,
SO that
at
d (dL\ ] \ox /
^7 at
dL
di,
TENSOR ANALYSIS
Equation
(3.87) implies
111
immediately that
dt
is
\dx /
dx a
an absolute covariant tensor. Let us consider a system of n particles, the mass m,, i = 1, 2, n, We assume that the coordinates located at the point x", a = 1, 2, 3. Let are Euclidean and that Newtonian mechanics apply.
.
V(x
x 2 x* x 1 x 2 x 3
j2
r8)
""
<dx]
component
s
s.
In
= Newtonian mechanics F r s
kinetic energy of the
m -~
is
d zxr
for
Euclidean
coordinates.
The
system
defined as
where g a $
5 a/9.
The Lagrangian
of the
system
is
defined
by
L = T - V
xfx ,
- V
Thus
m g a rX =
a
80 ., that
fdL\
a\wj
dL =
-dx]
Since -^
m x + dV =
..
r
*
a*.
is a vector, it vanishes T ) -r-: dx r 9 \dxj/ in all coordinate systems. We replace the x 9r by any system of coordinates n 1 2 (j g , g ) which completely specifies the configuration of the
for
Newtonian mechanics.
a<
112
system
#\**i
F =
Example vF.
3.19.
dL ~ ^
"
1, 2,
.... n
upon by the
(3.88)
We
force field
We
L - T - V so that
m(r 2
2 -f r
+2 - F
2 )
=
d fdL\
m(rd*)
and one
of Lagrange's equations of
motion
mrd*
is
mr
Since
tion.
= + -rOT
r0 2
OT
must be the
radial accelera-
If no potential function exists, or if it is difficult to obtain the potential function, we can modify Lagrange's equations as follows: Since the kinetic energy is a scalar invariant, we have that
*-*()is
**
a covariant vector. Let the reader show that if the x l are Euclidean If /r is the force in a y coordinates, then Q r is the Newtonian force. then coordinate system, Qr
so that
ia
&
r Qr d *
/a
f?
dxr
fa dya
dxr
is
dW, and
We
.
.
.
obtain Q+ "1
,
by allowing
1
x*"
"1
. ,
. . ,
x* to vary by an amount Ao:*, keeping x # x n fixed, calculate the work ATT done by the
l
forces acting
r lim
*
not
summed
Example
speed w. and bead.
3.20.
A bead
hoop rotates about a vertical diameter with constant angular to slide on the wire hoop, and there is no friction between hoop Gravity acts on the bead of mass m. We set up the equations of motion
is free
TENSOR ANALYSIS
of the bead, using spherical coordinates.
113
hoop on the bead
is
is
The
force of the
given
by F = Re r
Hence
+ $6^,
R,
3>
force of gravity
*B
mg
r
cos 0e r
mg
cos
sin 0e0
r2
+
I
r 2 sin 2
0<
),
we have
7
f/y
if
u***
"
)
7
'
if
("a
rf
= mr
l
dT = mr 2
-
sin
cos
. 2
/dT fdT\ = d
:
\dd /
(ft
d^>
d^ \c
Equation
(3.89) yields
-57; 2
dt
(r^
2
+ r sin
2
v? )
g *
cos
-T
(r ^)
r 2 sin
cos B
2
<p*
gr sin
r sin
(3.90)
4, (r at
sin 2
tf>)
= -
The geometry of the configuration yields = 0. The solution of the problem consists <p
equation of (3.90). Once this is done, Let the reader show that equations.
constant
ro,
0,
co f
in finding 0(0
4>
R and
by
g-rj
( -17
-g-rjto
sin 2
0r
cos
constant
(3.91)
3.15.
From
x,
t)
we
define
Pl
=
|^
t
1, 2,
(3.92)
We
show that
Since
p?,
is
momentum
vector.
L =
we have
dL _ dL
d:c
_ ^L
ax
tt
ax a
We
shall
now
use
q*
The Hamiltonian
is
instead of x i to repredefined by
(3.93)
- pa q" -
L(j,
(?,
114
From
i
=
.
. .
ss
F(g,
g,
t)
we assume
t,
that
we can
1,2,
n, in
Hence
dH
-p _-_-_ ^
do
01
H
a
H(p,
q, t)
dL
dJu
dq
=
since
T-TOff*
~*T
equations of motion,
/
I c
= p.
From Lagrange's
dL _ a ~~
%
rv
~dq
.,
,
di\t
so that
dp,
-j-
=
=
dH
^-^
g* *i~
Also
dpt
PO
^PI
d(f~
~
from
(3.92)
ql
~di
and
(3.93).
= dH
dp T
d& =
dt
_dH
dq
l
Whereas Lagrange's equations of motion are, in general, a system of n second-order differential equations, Hamilton's equations are a system
of
2n
Example
Pr
- dL - mr
qr
p - -
Pe
= &L * mf
pe
~-
d? 9L
*'
PQ 2 mr"
.
=mz
.
**=*=n
pt
and
- pg - L
TENSOK ANALYSIS
Hamilton's equations are
115
mr*
dr
__
Hence
d*r
r//
2
=
m
r
p}
dV
dr
r2
wr 3
(I
= mr Sde\z
[
I
dV
dr
\dt /
d0\
_ ~ ~
dV
dt\
dt)
>n
rlie
d zz _ ~
~dfi
~ dV
~dz
Problems
1.
in spherical coordinates
and
in
03.
which rotates in a horizontal plane with Neglecting gravity, find the reaction between the tube
n a & q )q q
If
T =
a a p(q l q z
,
show
that
2T =
moving
ISO
.
q".
Set
up Hamilton's equations
force,
for a particle
in
Hooke's law
5.
k*x.
Equations of Motion. We discuss the motion of a rigid The reader is urged to read Example with one fixed point. body The x coordinate system 2.10 the results of which we shall use. will be fixed in space, and the x coordinate system will be rigidly attached We shall use the S sign to represent an integration to the moving body.
3.16. Euler's
over the complete rigid body. In vector notation the angular-momentum vector
is
defined to be
H
and
in tensor notation
Sr
X mv
t j k x'
t
H
From
(3.95)
= 2me
(3.95)
dHk =
dt
2^m^,
*x k xx ""
(3.96)
i-,
^me,
/
ik
*ti**'
i_'y*T 7
>
~* il
"
116
The moment
defined as
d 2r
-^ **
(3.97)
Hence
at
T = Lk
Since
(3.98)
Now
since
/:/*
# =
>z
co/a
[see (2.21)].
e ijfc
and
o>f(0 are
independent of the
space coordinates,
we
write
H
We
define
/*'
e^fc
= Sra#^ as the
inertia tensor.
Since x l
= A\x a we
^
have
dx
d&
moving frame
The components
This
time. time.
this
is
rigidly attached to the rigid body. not the case for the I d since the o are, in general, functions of
Remember
Thus
it will
that the a^ are the direction cosines, which vary with be useful to deal with the x coordinate system. In
frame
H
transformations since
-
= e^wf
of
1
(3.99)
\a]\
=
jj
[see (1.25)].
Moreover
dX a
_
,
Aa rr
dHk _ Aa dH
dt
dt
dA%
dt
jj
From A?aa =
l
6},
d}
= - A* da*
Ctt
it
follows that
x7
Ja
= A? AKZ
so that
117
~
Equation (3.100)
%1
Lk
(3.100)
one form of Euler's equations of motion. Since I is a quadratic form, we can find an orthogonal transformation which Let us now use this diagonalizes this tensor or matrix (see Sec. 1.5). is also fixed in the new coordinate system (it moving body). We omit have We the bars of (3.100) for convenience.
is
7i
00/3
It is easy to see that I\
z axis,
72
72
= A
=
the
moment
is
of inertia
about the
etc.
The
fixed in the
moving body.
= Li
UW Z
(/2
.
I
IY/22
/ll)
,
(/3
or
.
dux
Similarly
du,, A v~"Ti
j..
A 4 ~ A A X
)u z u x
Ly
L,
(3.101)
=
Problems
1.
For a
free
body, L
0,
show that
l -f
and
follow from (3.101).
2.
l&l
+ Aw^ = = +
co x
constant constant
Assume
for
2
that, at
for
a free body,
= w
ww
.
co
0.
Describe the
motion
3.
>
0.
,
4.
Show
Solve for o^, co y o>* for the free body with A x = A v that the body of Prob. 3 precesses with constant angular speed about the
vector.
angular-momentum
5.
3.17.
of
Motion
Let us
118
P(x) of the
g va
ua
The
dx)
(x
dx)
= u
-
(x)
*(*>
+ +
du
***
1
/du,
i
?i V
2\a.r
du a \ '"./"*'
,
1
i^
/ da
I
d,,.\
'
<i
I"
r).r'/
2\d.r
&r /
i
r/.r
The
du,
Strictly speaking,
not a vector, so that we should be concerned with the intrinsic The above can be written differential du
t
.
?y ( (I>^^1/
_I_ fj \ |^ \bJU
r)
~~
?y
\ ( f>7^.t /
J_
|^
(1 i ^\''*"i.,a
>ii
"'cr,i/
} f] Ta i*wl/
_L l/ ?y j^ ^\' *'t,ff
;
We now
1.
Q is
the
sum
u
t
of
three terms:
(x),
is
(x)
is
a translational
2.
The term
= ?V X u. A sphere in the neighborhood of with center velocity <o would be translated and rotated under the action of terms 1 and 2. at
It follows that
3.
terms 1 and 2 are rigid-body motions. Hence the term ^(u lta + u a>l ) dx a must be responsible if any deforma-
We
*tf
=
1
i(ttw
*M)
(3.103)
x i temporarily, that is, let P be the origin of our coordinate system, x the coordinates of the nearby point Q. We can write stj x l = ^V(s t; x x ) using Euclidean coordinates. However,
Let dx
7
s tjX
is
9 =
Sn^
M^ +
2
M (*
8
)
under an orthogonal coordinate transformation. In the system, Vp = Su&i + s 22 2j + Ss3^ 8k. Thus, along with the rigid-body motions of terms 1 and 2, occurs a velocity whose components in the 5 1 5 2 x* The sphere surdirections are proportional to 5 1 5 2 5 8 respectively. rounding P tends to grow into an ellipsoid whose principal axes are the
, ,
35
2
,
8
,
axes.
1, 2,
Terms
of
fluid completely.
In
order to discuss the dynamics of a fluid, one tensor iff. The face refer to Fig. 2.22.
stress
We
ABCD is in
contact with a
TENSOR ANALYSIS
119
part of the fluid. This part exerts a force on the face. This force per unit area has components *", t w t* v The y refers to the fact that the normal to the face in the points y direction. By considering
. ,
ABCD
the other two principal faces one is led to the stress tensor P',i,j The total force on a closed surface S is given by
1,2,3.
(3.104)
where
is
show that
t$dr
(3.105)
so that
9 if .
t\\
The
represents the force per unit volume due to the stress tensor equality of (3.104) and (3.105) is essentially the divergence
ajg2
(3.106)
We
is
(see
Example Combining
3.2).
(3.106)
and
(3.107) yields
and
In hydrostatics
t\
= =
k(x)b]s
Zks\
+
ls\
l(x)s]
(3fc
(3.108)
I)l
-pOO -p
-p
so that
t\
3p.
The
pressure p
is
defined to be
p =
$t\ for
the
general case.
Thus
I
.
120
and
or
tj ti
pj
~ s% tj
ls} ti
j if
= -pj I
0-^db,,
J0*8jfcf
(3.109)
From
Sj ktt
iw,, fcl
+ JM*,* and =
=
t<
2v, (3.109)
ak
becomes
4- vg
kl
Fj
p, 3
Tsvg
u a ,k}
jt ki
(3.110)
In vector form
F = -Vp
where F
is
+o ~V(V-u) +
i>V
(3.111)
t].
Let
be the external force per unit mass so that (F + pf) dr is the total force Newton's second law of motion states that acting on the element dr.
j
t
(p dr u)
=
=
(F
(F
pf ) dr
or
p dr -TJ
is
pf ) dr
since p dr
Hence
-
*J (/r
pf
_ vp +
V(V ^ o
u)
V'2 u
(3.1 12)
where
v is
fluid.
Equation (3.112)
fluid.
is
the Navier-
For an incompressible
fluid
show that
.
du _
2.
tube of radius
Let u
=
2
2 w(r)k, r
z* -f
2
2/
.
Show that p =
p(z),
vV 2w
j-
(r
a 2 ), ~-
A =
constant.
Solve for the steady-state motion of an incompressible viscous fluid between two one of the plates being fixed, the other moving at a constant velocity, the distance between the two plates remaining constant.
sphere which
Find the steady-state motion of an incompressible viscous fluid surrounding a is rotating about a diameter with constant angular velocity. No
TENSOR ANALYSIS
121
REFERENCES
Brand, L.: "Vector and Tensor Analysis," John Wiley & Sons, Inc., New York, 1947. Brillouin, L.: "Les Tenseurs," Dover Publications, New York, 1946. Lass, H.: "Vector and Tensor Analysis," McGraw-Hill Book Company, Inc., New
York, 1950. McConnell, A. J.: "Applications of the Absolute Differential Calculus," Blackie & Son, Ltd., Glasgow, 1931. Michal, A. D.: "Matrix and Tensor Calculus," John Wiley & Sons, Inc., New York,
1947.
of Generalized Spaces,"
Cambridge Univer-
York, 1934. Veblen, 0.: "Invariants of Quadratic Differential Forms," Cambridge University
Press, New York, 1933. Weatherburn, C. E.: "Riemannian Geometry," Cambridge University Press, York, 1942.
New
New
CHAPTER 4
COMPLEX-VARIABLE THEORY
4.1. Introduction.
The
reader
enter
is
of
complex numbers.
We
now
2 \/ 1. We say that i is an number, i, such that z + 1 = 0, or i order number in to distinguish it from elements of the realimaginary number field (see Chap. 10 for a discussion of this field). The solution of the quadratic equation ax 2 + bx + c = 0, a 9* 0, requires a discussion The set of all such of complex numbers of the form a + pi, a and ft real. complex numbers subject to certain rules and operations listed below is called the complex-number field, an extension of the real-number field. We note that the complex numbers are to satisfy the following set of rules or postulates with respect to the operations of addition and multiplication 1. Addition is closed, that is, the sum of two complex numbers is a complex number.
:
In order to attach a solution simpler properties of complex numbers. 1 = 0, the to the equation x* mathematician^ forced to invent a new
(a
2.
bi)
(c
di)
(a
c)
+
=
2s
If z\
+ d)i a\ + bit, 2 =
(6
2
a2
bzi,
21
3.
+
2
(22
2 8)
(zi
z*)
+
for
z*
The unique
=
4.
+
z
0-2
and
+ 2=2
that
Every complex number z has a unique negative, written + (-z) = (-z) +2 = 0. If 2 = a + fo, then
such
-2 = (-a)
5.
(-fr)i
= -a -
bi
Addition
is
commutative.
6.
Multiplication
is
defined as follows: If z\
a\
bii, z*
a*
bji,
then
ziz*
(aia 2
fci6 2 )
(aib 2
a 2 bi)i
122
COMPLEX-VARIABLE THEORY
123
The product
is
of two complex numbers is again a complex number. the closure property for multiplication. 7. Multiplication obeys the associative law.
1(2223)
This
=
1
(2i2 2 )2 3
i
2i2a23
8.
=
=
2
+
1
9.
z~ l z
1.
If z
a2
10. Multiplication is
62
a2
b2
commutative.
11.
The
2i(2 2
2 3)
2i2 2
2i2 3
(Z\
2 2 )2;
=
z
2i2 3
4.2.
+ + iy admits of a
very simple geometric representation. whose origin is the origin of the Euclidean xy plane of analytic geometry and whose terminus is the point P with abscissa x and ordinate y. The
We may
consider z as a vector
mapping
of
complex numbers
in this
manner
yields the
Argand
z plane.
Addition of complex numbers obeys the parallelogram law of addition of vectors. We call x the real part of z, written x = III 2, and we call y
the imaginary component of
2,
written
= Im
The length
ing z
of
2,
written
mod z =
of the
^/^
y =Imz
(x
+y
)*.
The argument
2 is
complex number
_
I0
' '
the angle between the real x axis and the vector 2, measured in the
sense.
counterclockwise
The arguif
ment
arg
2,
then
2rn
is
also the
We
by the inequality
Example 4.1. - 1, Arg 2 Example 4.2.
If z
T.
TT
< Arg
1
?r.
-f
i,
then
\z\
-y/2,
1,
||
If 2
-2, then
|*|
If z
1,
then
If
we use
polar coordinates,
2
we may
iy
''(cos
i sin 0)
124
\z\
arg z
0.
If z\
ri(cos 0i
sin 00, 2 2
r 2 (cos
sin
2 ),
we leave
it
to the reader to
show that
ZiZt
+
-
#2)
2)
- =
22
r2
[cos (0i
+ +
sin (0i
t
+
-
2 )]
sin (0i
2 )]
r 2 7*
x-
Im
arg
ziZz
r2
+2 +2 =
2)
Rl
2i
+
|2 2
|
Rl
22
z2
2)
Im
|2i|
zi -f
Im
\Z\Z*\
=
z2
arg arg
21 -f
arg z z
2irn 2irn
n an integer
arg
2l
_
^
a rg
-W ^Rl2
-|2|
|2|
|2|
^ Im
If 2
z
+
i.
x
i
iy.
^2/> we define the complex conjugate of z by the equation The conjugate of a complex number is obtained by replac-
ing
by
Obviously
z z
2 Rl z
2i
zz
= =
Im
x*
22)
y*
=
let
\zi
2
|z|
From
\z\
|si
22
|
2
|
(^i
22) (21
we
+
Z2.
zz\
|^i
\Zz\y
and from
this that
\Zi\
\z*\
for all
Zl,
4.3. Simple Mappings. Henceforth the complex number z will stand always for the complex number x + iy> We now examine the complex number w = z 2 = (x + iy) z = x 2 It will be highly beney* + 2xyi. ficial to construct a new Argand plane, called the w plane, with
w
u and
v
= u
iv
Euclidean coordinates. The equation w = z 2 may be looked upon as a mapping of the complex numbers of the z plane into complex numbers of the w plane. The transformation w = z 2 maps the point P with coordinates (x, y) of the z plane into the point Q of the w plane whose 2 v = 2xy. coordinates are u = x 2 A curve in the xy plane will, in i/ For example, the transformageneral, map into a curve in the uv plane. <x> tion w = z 2 maps the straight line x = t, y = mi, < t < oo , into
,
= =
(1
m
map
), v
constant
map
** c
2c.
COMPLEX-VARIABLE THEORY
Example
z =s r(cos
125
z
4.4.
-f- i
transformation w =
1/z, z
0.
We have
w =
iv
-\-
iv,
so that
u
and
-\-
r(cos
+
?/
sin 0)
-
-f-
(cos 6
sin 0)
= (r
=
(r
-f
J
)
cos
sin
?'
--
From
cos 2
sin 2
we have
2
_
__
(r
f/r)
(r
__
I//)
The
circles r
7* 1
map
(a
I/a)
Ma
I/a)'
r
1
of the uv plane.
map?
Problems
1.
If
7>?
c -f di, a, 6, r,
2
=
</
2.
Show that
for all z
definition of
z2
(zi
-\-
+
i
2 2 )(2i
+
=
22)
show that
|zi
-f 22!
|i|
-f-
|22|.
(cos 6
sin B) n
cos (n6)
sin (n0),
n an
formula of
2s
=
6. 6.
De Moivrc. = 1? 2 6 i,
40.
Examine the transformation w = z 1/z in the manner of Example 4.4. = z -f h, b complex, w = Examine the transformations w az, a complex, w Examine the important bilinear transformation w (az -f- b)/(cz + rf), a, 6,
complex.
4.4. Definition of
1/z.
c,
a Complex Function.
Let
some manner.
Now
Z =
by exhausting We thus have a mapping Z > which defines a complex the set Z. The correspondence between the element z function of z over the set Z. and the element w is usually written
there corresponds a unique complex number w,j^nd be the totality of complex numbers obtained in this manner
\w\
w=f(z)
It is
(4.1)
z.
customary to consider
f(z) as the
complex function of
We
can
write f(z) = u(x, y) iv(x, y), since, given z, we are given x and t/, which in turn yield the real and imaginary parts of w, called u(x, y) and
120
Example
Let
>
correspondence
Z be the set of complex numbers z such w such that w ** z/(\z\ 1) defines a complex
z.
that
\z\
>
1.
The
domain
of definition of
In this case
U(X. U) y
Vx^TV
x2
V(X V)
t
vV
,
.:::....
+
z
with
2
?y
>
Example
2
1
4.6.
Let
Z be
2 correspond to ?r = 1 correspond to ir =* 5, 2 a complex function of z defined over the set Z. Example 4.7. Lot Z be the set of real integers, and
i.
let z of
constant
for all z of Z.
Note that
this case
corresponds to the same value w. A complex function can be a many-to-one mapping. Remember, however, that only one w corresponds to each z. This is what we mean by a single-valued function of z.
We define continuity of a single-valued 4.6. Continuous Functions. complex function in the following manner Let the points z of Z be mapped into the points w of W, and consider the two Argand planes, the z plane
:
z z in Z, if the following holds: Consider any circle C of nonzero radius with center at WQ = /(zo). We must be able to determine a circle C' of nonzero radius
is
continuous at
with center at
point
zo
Analytically this > (the radius of the circle C), there exists a circle CO such that
of
z of
interior to C"
maps
into a
interior to C.
means
6
>
I/CO
for all z of
-/(Z
)|
<
is
such that
|z
z
|
<
5.
This
the usual
definition of
If /(z) is continuous at every point continuity of real-variable theory. z of Z, we say that /(z) is continuous over Z.
If
Zij
1, 2, 3,
limit, Zo in Z,
is an infinite sequence of Z tending to zo as a then the above definition of continuity implies that
.
lim /(z)
e
*o
/(z
this.
easily note that this function is continuous for every choice of e 0. defined over the same set Z [z\, and assume
Let f(z)
z for all z.
We
we need only
pick
>
Example 4.9. Let/(z) and g(z) be We now show that/(z) that/(2) and g(z) are continuous at the point z in Z. is continuous at z Choose any e > 0, and consider e/2 > 0. Since f(z) tinuous at ZQ there exists a 61 > z such that \f(z) < f(z )\ < e/2 for \z
.
\
4- g(z)
is
conin
61, z
Z.
similar statement holds for g(z), with 5 2 replacing able to show that \(f(z) g(z)) (/( ) 0(o))| < c for
61.
\z
The
reader should be
<
a,
z in Z,
the
smaller of
5i, 6j.
COMPLEX-VARIABLE THEORY
Example 4.10. Let the reader prove the following statements: Let/() and denned over Z, and assume /(z) and g(z) continuous at ZQ in Z. Then
!
127
g(z)
be
2. f(z)g(z) is 3.
0( z ) is
0.
Problems
1.
4.10.
2.
Show
z,
that/(z)
aoz
aiz
n-1
-f
o n n a positive integer,
,
is
continuoun
for all
3.
^
-
oo
Show
Let
1.
that the /(z) of Examples 4.6 and 4.7 are continuous over their domain of
8
(
definition.
4.
/(z)
l)/(z
1), z 5* 1,
/(I)
3.
Show that
/(z) is
continuous at
Show that /(z) is uni5. Let /(z) be continuous over a closed and bounded set. formly continuous (see Sec. 10.12 for the definition of uniform continuity). 1. Show that /(z) is discontinuous at z 5. 6. Let/(z) = 1/(1 z), z 7* !,/(!) x sin (1/x) -f ly, x 7* 0, /(O) = 0, is continuous at the origin 7. Show that /(z)
(0, 0).
4.6. Differentiability.
z
Let
/(z)
.
of elements of
.
be a point of Z, and let Zi, Z2, 3, Z which tend to z as a limit. None of the z,, i = ], 2, We say that /(z) is differentiate at z if is to be equal to z
. . ,
.
3,
Jin,
/fa)
/^
.
(4.2)
exists
differentiability in
if
We can state independent of the sequential approach to z an equivalent manner, /(z) is differentiate at ZQ
any
there exists a constant, written/' (20), so that for > such that
>
there exists
/CO
z
/(go)
zo
ZQ.
<
whenever
|z
ZQ|
<
5 for z in
Z, z ?^
In the cases
we
shall
be interested
in, ZQ will
an
interior point.
becomes
/(2o)
lim
(4.3)
Let us consider
w(x, y)
iv(x, y)
will
be imposed on u(x,
y)
and
v(x, y)
128
in order that
shall exist
We
have
Ag
f(z
= Ax
u(x
so that
+ +
Ay
Ax, y
?/(x
/(g)
Ax, y
Ay)
w(x, y)
ay
^
First
v(x
Ax, y
+ Ay) Ax + Ay
t
v(x, y)
..
(4 ^
'
'
we
let
Ag
>
is,
Ag
Ax,
Ay =
0.
Then
/(g
(4.4)
becomes
Ag)
/(g)
u(x
Ax, y)
u(x, y)
/<x
Ax, y)
y(x, y)
Ax
and
hm /JiMlI/<E>
and
c/x
*Az
-
Ax
provided
that
is,
exist.
ox
Now we
Then
let
by keeping x constant,
Ax =
0,
kz
=
11 111
Ay.
/(*
f(z)
_ldu -i
dv
-p
.
Az
~7r~
dy
dy
dv
du
provided
and Tay ay
exist.
Assuming
dtt
--
dy
^
ax
so that
^i_
,
1-
a/
du
dy
/4
ax
&u
dy
&v
=
___
-N
dx
dv
dy
(4.o)
du
dy
dx
The Cauchy-Riemann
differentiable.
conditions (4.5) are necessary if /(g) is to be have, however, neglected the infinity of other methods by which Ag may approach zero. But it will turn out that the
We
provided
Cauchy-Riemann equations (4.5) will be sufficient for differentiability we further assume that the partial derivatives of (4.5) are
Let us proceed to prove this statement.
continuous.
The right-hand
COMPLEX-VARIABLE THEOltY
side of (4.4)
129
may
be written
u(x
+
-L. -
Ar, y
*'(
+ A//) + u(x, y + Ay) - u(x, y) Ax + i A// + As, y + A?y) - r(j, y + A//) + r(x, + Ay) - v(x, y) Ax + 'Ay Ax (0tt/a.r + tO + Ay (du/dy + fa) s AJ + A?/ Ax (frj/to + fa) + Ay (dv/dij + Ax + i Ay +
"
A,y)
?/Q, y
"
'
?/
fa)
"*" l
where
of the
tend to zero as Az
>
0.
mean
>
if
we assume con-
of the
Cauchy-Riemann
equations yields
f(z
Az)
f(z)
= du
(9.r
dv
<3.r
fa
We
leave
it
to the reader to
show that
-
H,n in
11
r Hence lim
TT
f( z
+
fa
.
.
fa
Ay + f (fa Ax Ax + i Ay
fa
Ay)
Ay)
Az)
Az
du and equals ,
dv
dx
\-
i -^-
dx
of independent ^
the manner of approach to zero of Az. We have proved Theorem 4.1. THEOREM 4.1. f(z) = u iv is differentiate if u and v satisfy the
Cauchy-Riemann equations and if, furthermore, the four first partial derivatives of u and with respect to x and y are continuous. The following example shows that we cannot, in general, discard the
/'
Let
Here
u(x, y)
w(0, 0)
=
=
(*,
2/)
[-^77!
KO, 0)
Moreover
dx
0,0
*
^
1
>
Similarly
= -1,
1,
T =
=
0.
at 2
0,
so that the
/'(O)
Cauchy-
at z
However,
depends on the
130
approach to the
f(z}
x(\
- =
mx, so that
i)
xm
nr^
(l
i)
along y
rax,
and
^2-0
the origin
,./(*) -/(O)
= rm
(1
(1
x x
(1
+ f) - m (l (1 + m)(l + mi)
3
t)
which depends on m.
is
dx
discontinuous at
DEFINITION 4.1. Let/Os) be differentiable at z = 20. If, furthermore, there exists a circle with center at ZQ such that /() is differentiable at every interior point of that circle, we say that f(z) is regular, or analytic,
ZQ. Analyticity at a point is stronger than mere differentiability at If /(z) is not analytic at 20, we that point (see Prob. 10 of this section). is that a of ZQ say f(z). singular point
at
Example
f(z)
(x 4-
4.11.
2
t'/y)
We
=
show that
v
2
/(z)
z*
?/
is
differentiable
everywhere.
Since
x2
-f 2tf?/i,
we have
r
j
=*
x2
2
,
t>
2xy.
Hence
//
_ ~
_ ~
_ ~
~~
rt
_ _
it is
so that the
Cauchy-Riemann equations
hold.
Moreover
\-
Thus
f'(z)
c/X
=
c/3J
2x
-f 2yi
^2/)
" 2z.
We
f'(z) exists
if
/(z)
zn ,
n an
integer,
then/
(z)
nz!*~ l .
Example
4.12.
verify that
exist,
then
(1)
~
~
g(.
(2)
[/(s)(/(r)]i
We
assume that
/(z)
and
0(2)
definition.
If
(4.5)
and
if
V*t;
0.
du du
dx dy
dv dv
dx dy
COMPLEX-VARIABLE THEORY
Give a geometric interpretation of
this last equation.
.
131
that
Remember
_ - du Vu
is
+
.
du j-
constant.
satisfy Laplace's equation proves to be useful in the application of complex-variable theory to electricity and hydrodynamics.
The
2.
fact that
u and
must
Let
.
f(z)
,
u
x
+
=
Show
~.
that v(x, y)
be differentiate, and assume u is given such that V*u fy du(xQ. y) du(x. y) T dx + / . r Let ay. / dx dy Jyo Jxo
iv
0.
fx
f(z)
x*
3xy* -f
iv(x, y)
be differentiate.
3. 4.
Find
v(x, y).
Note that V 2 (x a
not differentiate.
z
Sxy 2 ) =
0.
Show Show
that f(z)
that/(z)
z*.
= -
x
x*
iy
is
3xy
iy)
-f t(3x*y
.v)
j/*) is
analytic everywhere.
?^(z,
Then show
0) -f
it;(2,
that/(2)
5.
lif(x
?/
u(x,
*v(x, y),
y.
show that/(z)
that sin 2
0).
Let sin
sin
x cosh
-f- ^
cos x sinh
Show
is
analytic every-
where.
Define cos z
dz
and
show that
7.
sin
z -f cos
2
z,
1.
6. If f'(z)
8.
If/00
a n z n -f an-ix"- 1 -f
-f
V
Ar-O
a*^,
Y
na n 2 n
~1
for
9.
If
/()
a2
tt
converges for
|z|
<
g\z\
10. 11.
<R
//
Show that /(2) = x 2 2 is differentiable only at the Assume /'(a) and g'(a) exist, g'(a) ^ 0. If /(a)
z-+a g(z)
origin.
gr(a)
0,
show that
g'(a,y
4.7. The Definite Integral. The reader is urged to read first those sections of Chap. 10 concerning the uniform continuity of a continuous
the
Riemann
integral,
and Cauchy
sequences.
Jordan
z
a, z
ft.
Let
f(z)
be a continu-
ous complex function defined on F. We are not concerned with the definition of f(z) elsewhere.
Neither do
o
FKJ. 4.2
whatsoever.
1
defined as follows: Subdivide F into n parts in any Call the points of the subdivision a = zo, z\, z%,
.
manner
.
Zk,
132
. .
2n
i
On
1,
zoZi, ZiZ 2
.
I,
*,
&+i,
.
,
n,
and
form the
partial
sum
If
lim
n
>
Jn = J
exists
and
is
&
as
and independent of the method of subdividing F provided only that, n tends to infinity, the maximum of the arc lengths from z*_i to z*,
2,
is
Riemann-integrable
j =
Jot
y(D
P P
f( 2 )
over T
(4.7)
/(*)& = yr if(z)dz
This definition agrees with the definition of the Riemann integral of realvariable theory if F is a section of the real axis, F: a ^ x ^ 0, and if f(z) is a real function of x. We now show that, if f(z) is continuous on the rectifiable Jordan arc
given by x = /(/), ?/ = ^(0> ^o ^ ^ ^ <i, then the Riemann integral of /(z) over F exists. The proof proceeds as follows: Let us first look at any b and consider arc of F joining z = a to z
where
is
arc joining z
a, zi, Z2,
.
=
.
a
,
and
b.
further sub-
zn
sum
defined as in (4.6),
n
Now 5 =
so that
2*-,)
/({)(&
a)
/(()
w
V
k=l
(^
_ ^,) =
k
-1
S - Sn =
(/({)
/(&))(*
*-i)
If
maximum
a,
|S
- 8n
\f(&
/(&)| |*
ft-il
<r
k*
-i|
<rL
(4.8)
COMPLEX-VARIABLE THEORY
where L
is
133
a to
6.
Why
is
he important in what follows. Now we use the property uniformly continuous on F. Choose a subdivision of F so maximum variation of /(z) on any segmental arc of the suband obtain J\ [see (4.6)]. Now impose a finer subdivision is less than This result
will
is
on the previous subdivision such that the maximum variation of f(z) on any segmental arc of the new subdivision is less than 1/2 2 and form a J 2 for this subdivision. Continue this process. For </ the subdivisions are so fine that the maximum variation of /(z) on any segMoreover the maximum subdivision tends mental arc is less than l/2 n
division
,
to zero in size.
We
J2 J8
,
. ,
,/,
(4.9)
We now
of F.
exists.
Choose any
>
0.
is
We
can find an
Now
for
m ^
no,
where L
Jn\
<^L L
<
(4.9) is
Cauchy sequence
and
Jn = J
We
&.
is
of the
& we
.
the same limit for any other choice of the obtain the sequence
If
. . ,
Tf
j,
Jf
2,
t/
n,
and by
exactly the
same reasoning
n>*>
as above
we have
lim J' n
J'
But
\J n
J'n\
leave
it
to the reader to
show that
this
implies
J =
J'.
The final step is to show that the same limit J occurs for any other method of subdividing provided the maximum length of the subdivisions K n ... of partial tends to zero. For any other sequence K\, K*, sums of the form (4.6) we can superimpose the subdivisions which yield
.
.
134
K n on the subdivisions of J n of
Then
from
(4.8).
We
leave
it
to the reader to
Kn
lim
n
*
Jn
The reader is referred to that excellent text Dover Publications, 1945, for a much by Knopp, "Theory clearer expository of the Riemann integral. For the reader who has trouble in understanding what has been attempted let us note that if /(z) = u(x, y) + iv(x, y) and if T is given by
This concludes the proof.
of Functions,"
x(i),
y(t), to
fa,
then dz
= dx
dy,
f(z) dz
u(x, y) dx
v(x, y)
dy
i[u(x, y)
dy
v(x, y) dx]
so that
it
would be
logical to define
fr f(z)
dz
jr u(x,
y)
dx
v(x, y)
dy
i
+
where
theory.
I
[|r
u(x, y) dy
v(x, y)
dx]
(4.10)
u(x, y) dx, etc., are the ordinary line integrals of real- variable
It is
not very
difficult to
show that
this definition
and existence
with that discussed above for a continuous and hence a continuous u(x, y), v(x, y). In particular if the Jordan
is
curve
-rr
(4.10)
becomes
'
dz
(*(<), y(t))
^
f(z) dz,
v(x(t),
y(0)
dt
j
(x(0, y(t))
where
v(x(f), y(t))
dt
(4.11)
Example
4.13.
We
1.
evaluate
/(z)
is
given as
(3, 4).
F may be written x
3,
4J,
Along F
/()
x -f ty
is z
(3 4- 4i)(
z to the
curve
(3 -f 4i)i so
that dz
(3
-f-
4t)
rf<
and
(3
4)"<
dt.
COMPLEX-VARIABLE THEORY
135
We
all this
work
rp
if
we knew
that
f
for
zdz
a to
z
.
=
.
/3.
.
is
true.
z\,
z,
n
zw
0,
and consider
Zt_.(Zt
Zi-l
Show that J w
4- J' n
2
/3
a 2 and
,
let
z
>
In this example
we
notice that
and not
on r
itself.
The
4.14.
become apparent
Example
from
(0,
We
evaluate
iy
*
line
0) to (1, 1).
Here x
t,
^
(1
1, 2
O/
dz
(1
t) ctt
so that
Jr /(z)
For the same/(z)
(0, 0)
dz
=
JJ
?)(!
^ =
to
(1, 0),
let us take F as the sum of the two straight-line segments, one from the second from (1, 0) to (1, 1). For the first path x = t, y * 0, ^ t
^ l,sothatdz = d dx = 0, y ,
dt
and/(z)
=
t
and
1,
f(z) dz
\.
a:
1,
yi'i
=* i dt,
^
dz
and
/(z)
- 1
i<
JTs
Hence
r
/GO
i
Thus, for
/(z)
iy,
is
x
**
ly
not independent of the path. One may may be the answer. The next section
is
Example
4.15.
The
function /(z)
1/z
except at the origin. Let us compute ff(z) dz, where F is a sin center at the origin. It is easy to see that z = a (cos 4Hence dz sin sents the circle. + i cos 0} d0, and a(
i
:S
2ir,
repre-
sin
cos 8
9+ i cos + i sin 8
=
'2r
8in(>
c08(, )(cosfl
_i 8ine)(W
shall see that the Even though /(z) is analytic on F, //(z) dz 5^ 0, in this case. accounts for this fact. Notice that the singularity of /(z) at the interior point z value of the integral is not dependent on the radius of F. Indeed, it will be shown
We
136
one has
r z
Problems
ft
1.
Show
Show
that f
z*dz
z
=
)
Ja
i(/3
27rt
).
2.
that
f(z -
m dz
if ra
if
^ w = -
1
1
a positive or negative integer, if the integration is performed around the circle F with radius a and center z The integration is performed in the counterclockwise
.
sense.
3.
Define t
|/(z)| \dz\,
\Jr f(z)dz
4.
fr
\f(z)\\dz\
Show
that
J <x
6.
ff&dz
= -
f
J&
f(z)dz.
(r)
If \f(z}\
M along F and L
(F)
is
the length of
F,
show that
f(z]
dz
LM
for r constant?
6.
Why
is it
that
cf(z) dz
/(z)
f/2
7.
Why
is it
that
/
8.
Evaluate
^ 2 dz = + / 2 d? Jr /iGO + f^f*(z) Jr [/i( (z + ||) dz, where F is the straight line from (0, 0)
)
2(
)]
to (1, 1).
Do
the
9.
same
4.14.
is
Evaluate
the straight
line
from
(1,
0) to
(|z
|,
0)
and Fs
is
(|z
|,
0) to z with center
at the origin.
4.8.
plex-variable theory
Cauchy's Integral Theorem. The fundamental theorem of comis due to Cauehy. There are various forms of this theorem. We present now a proof y) C(x, y) of one form. Let S be a simply connected open region such that the partial
derivatives of u(x, y} and v(x, y) are continuous and satisfy the
Cauchy-Riemann equations,
f(z)
u(x, y)
iv(x, y)
at every point of S.
for f(z) to
In Sec. 4.6 we saw that] these conditions were sufficient be analytic in S. We shall show that, if T is any closed simple
COMPLEX-VARIABLE THEORY
curve inside S, then
j) T
137
f(z)dz
=
Cauchy's integral theorem.
(4.12)
(4.12) is
We
that $J(z) dz
contained
real var-
entirely in S.
We
iables x
and y by defining
F( x
y)
f(t
ij/o)
dt
y i
f(x
it)
dt
F(XJ y)
is
the
sum
AB
and
BC.
obtained by integrating /(z) along and DC. The integration of /(z) around the rectangle C in the counterclockwise sense is
Similarly G(x, y)
<f>
AD
c f(z)
'
dz
F(x, y)
G(x, y)
where
If
G(x, y)
I
Jyo
f(x,
it)
dt
I*
Jxo
f(t
iy) dt
F(x, y)
G(x,
?y),
then
/(z) (p J c
dz
0.
U*
(4.13)
J yo I/O
We
need
4-1 dx
f(*
Jx
+ W)
dt
/(x
iy
dx J yo
in order to obtain (4.13).
J yo
dx
real.
These statements are proved in Chap. 10 for write / = u + iv and apply the theorems
u and
v
of real-variable theory to
is
separately.
The continuity
of
ox
Also
we have
dF = jj
dC
1
if(x
iy)
=
=
.
.
if(z)
f(x
...
+ iy)
.
/(*)
*
dG Ty
** + *)
.
^^
df(t
(4.14)
iy)
138
As
yet,
of the
Cauchy-Riemann equations.
.
Thus
du dx
f(jc
dv
dv
du
dy
__
du
dv
dx
dx
,
'
dy
f v df(x
\dy
it)
Hence
dF =
+
dt
L
is
dt
f(x
+
c.
iy)
(4.15)
Similarly
at
^,
Since
a)
F = G =
(#o, 2/o),
the constant c
(ft
f(z) dz
0.
We now consider
/()
where Fo
any closed
rectifiable
Jordon
curve lying inside the rectangle ABCD. Parts of the curve may be segments of the sides of the rectangle (see Fig. 4.4). Let P(x, y) be any point on F and define F(x, y) at P in exactly the same manner in which
,
F was
From
dx
(4.14)
and
f(z)
(4.15)
dF
+ = f(z) (dx +
dz
dy
i
dx
+
i
if(z)
dy
dy}
J
=
(f>
I'o
f(z) dz
Hence
where
<f>
jTo
f(z)
(f)
dF -
r/T
/ To
<f>
dV =
To
Certainly /df = fdV = 0. The final part of the proof uses the following reasoning: Let F be any closed simple curve in S. F is a closed set of points. Now S was assumed
f
F =
zT.
to be an open set.
its
boundary
a
of 8, say, F.
There
will
be
minimum
fore
A
/
mesh
consists of rectangles) so
0>
The
points of F will be entirely in S. over all integration rectangles interior to F plus the integration of f(z) over those boundaries which include F vanish from the above
results.
However,
all
=
u and
=
(4.16)
v
The
be continuous
The proof
COMPLEX-VARIABLE THEORY
139
as follows
:
C under
First
S can be shown
assume
/(z) dz 7* 0.
(C and
its interior)
into four
new
by halving the
Now
pairs.
(p
sum
of the four
new
Hence at
regions since the internal integrations cancel each other in least one of the four integrals does not vanish. We
(p Ci /(z)
J
dz
Again we subdivide, choose C 2 and continue obtain a sequence of regions /?, Ri, ff 2 such that ,C W C, Ci, C 2 C 3
.
We
/?,
with boundaries
(D
2,
f(z) dz 7* 0.
The regions R n n =
,
I,
... are closed and bounded sets, and the diameter of R n tends to zero From the theorem of nested as n > oo
.
,
-H--
Chap. 10) there exists a unique Fio 4.5 point P which belongs to every R n J = 7 n be the point z Let Obviously z is interior to 1, 2, 3, or zo lies on C. Hence /(z) is differentiate at z = zo so that
sets (see
.
.
/?,
/(*)
/(*o)
+/'(2o)(z
*)
z
.
e(z, z )(z
fl
where
t(z, zo)
>
0,
we
Rn
with boundary
C n such
<
eo
for all z
But
Cn
cfe
f
./Cn
f'(z*)(z
dz
so that
<fc
dz c n /(z)
yCn
e(z
)(
o)
Remember
that
$ dz
0,
j>z dz
0.
eo
|c(z, ZQ)|
<
,
for all z
Cn
\z
then
z
|
|dz|
since l n
= L/2 W where L
,
is
Hence
<
4n
4L
L2
140
Since
zero.
eo
/(z) dz
must be
The proof of Cauchy's theorem follows then the same manner as demonstrated above. This proof is due
Q.E.D.
in exactly to Bliss in
A very strong statement of Cauchy's theorem is as follows: Let F be a simple closed path such that /(z) is analytic in the interior R of F and such that /(z) is continuous on F. Then
ff(z) dz
=
of /(z) on
The proof is not trivial and is omitted here. Continuity this case means lim /(z) = /(f ), f on F, z on F or in R.
in
We now
theorem
z
:
state
of
Cauchy's integral
For
a,
0, in
R,
independent of the simple path chosen from z = a to z = /3 provided the path lies entirely in R. Let the reader verify this statement. B. Let /(z) be analytic in a region R bounded by two simple closed
is
4.6).
Then
(p
/(z) dz
C'i
(D
J Ci
/(z) dz
'
provided
Fi.
sense.
4.6
Fig. 4.7).
AB
and
EF
(see
Adding yields
and
/(,) dz
/(,)
COMPLEX-VARIABLE THEORY
141
C%.
Notice that nothing need be known about f(z) outside of Ci or inside of and C*. We have assumed f(z) continuous on C. For Fig. 4.8 let the reader show that
<j>
T%
f(z) dz
dz
+
<f>
r j(z)
dz
is
F
FI,
continuous on
F2
ment
.
,
and consider
=
where
zo
f'f(t)dt Jzo
and
is
z are in
of integration is
FIG. 4.8
integral
F(z
F(z)
f
Jz
f(t) dt
dt
We choose
tion.
Then
F(z
f(z
Since f(z)
is
analytic at
/'(*
and
where
lei
f(z
+ n Az) = f(z) +
>
Az
(4.16')
as &z
0.
Hence
Jo
It is
rd + r Azff(g) Jo
+^ r
Jo
obvious that
so that F(z) is analytic in R. E. Let f(z) be continuous inside a simply connected open region
and assume
F(z)
f'f(t) dt
142
is
The reader can prove this statement easily variable of integration. D. Continuity implies that as in enough by proceeding
f(z
z)
=/(z) +r,
(4.16")
where
>
17
as Az
0.
In the proof of D it was not necessary to use We could have used (4.16") in place of
of the integral calculus applies equally
F.
variables.
F(z)
/(*) dt
/(a)
f(z).
Then
j|
G'(*))
C.
Hence G(z)
G( Zo )
- C =
Jzo
f* f(l)
dt,
- C =
l'"f(0dt
so that
0(z)
-G(*o) = Jf'f(t)dt 20
2
As a simple example,
dz
1(0
a 8 ) since
-7-
^2
(|0
2
.
Problems
1.
Show
that
(7)
^
Z
ZQ
=
if
2iri for
r, z
in the interior of T.
Show that
2.
u)
--Z
ZQ is exterior to F.
Evaluate u) ----- for any simple closed curve F enclosing the circle r
1.
Use
8.
for all simple closed paths, /(z) not analytic. Docs this contradict Cauchy's theorem? 4. Let/(z, /) be a complex function of the complex variable z and the real variable /.
1)
1/2.
f(z) dz
Assume J(z
t)
and
-^-^
analytic in z for
U ^
^
dz
t\ t
and consider
F(t)
f'f(z,
/)
COMPLEX-VARIABLE THEORY
If,
143
furthermore, -^ vt
(z, t) is
continuous in
and
t,
show that
f*G(u)du -
F(t)
F(t
i
6.
/>/.*&*
in a
Let
/(z)
and
#(z)
be analytic
From
+ f'(z)g(z)
show that
-/()?() - [* Ja
The path
of integration
g(z)f'(z)dz
from
a to
|8
lies in 72.
A truly fundamental consequence of 4.9. Cauchy's Integral Formula. Cauchy's integral theorem of Sec. 4.8 is the following formula due to Cauchy Let /(z) be analytic in the simply connected open region R, and Then let F be a simple closed curve in R.
:
a is an interior point of F. The sense of integration around F z such that as we move around F the region containing z = a lies to our left. The proof is as follows: From Sec. 4.8B we can replace the curve of integration F by any circle F with center at z = a, F interior to F.
if
is
Then
27rz
jYz
2iri
/TO
!_
f(z)b(- sin
b (cos 8
2*i Jo o
+ icos 6) dB + i sin 6)
+
i siri ^)1
rf<9
+
since 2
6 ( cos ^
17/ )
fr(cos B
.
i sin 6),
is
^
i
27r,
is
the ecjuation of
a,
the radius of F
Since /(z)
/[a
continuous at z
we have
i\
6(cos ^
sin 0)]
/(a)
where
17
>
as
fe
* 0.
Hence
f
>2r
sin B)] dB
2ir/(a)
+
=
**
17
d0
and
/
I
lim ^*v
^o
f[a
Jo
6(cos
+ i sin
B)]
dB
/(a)
144
Since the left-hand side of (4.17') is independent of 6, (4.17) must result. We can now observe one important consequence of analyticity. To evaluate the right-hand side of (4.17), one needs only to know the value
performed, the value to be analytic inside F, if /(z) is continuous on F so that Cauchy's theorem holds, then the values of f(z) interior to F can be determined if we know only the values of /(z) on F. Analyticity is, indeed, a powerful condition. Since /'(a) is known to exist, we may hope that /'(a) <<an be obtained from (4.17) by differentiating underneath the integral. If this were
of /(z)
on the boundary
F.
is
of /(z) is
known
in the interior of F.
Thus,
if
f(z) is
known
possible,
we would obtain
() d*
r (z
a)
' v (4.18)
is
correct.
We
have
dz
f(a
/(a
+ +
=
ft)
h)
- /() = - /(a)
Since /'(a)
lim
Ji->0
-^
r J^ 2iriT
_
(z
f(z) dz
a)(z
_
h)
(z
to obtain (4.18).
a) (2
a)
h)
a)
Consider
'.
a)(z
ft)
(z
(z
a)*(z
h)
For
ft
IS
By
on F, so that as h > (4.19) holds, which in mathematical induction let the reader show that
(4.20)
Equation
(4.20) derivatives. It
embraces Cauchy's integral formula for /(a) and all its is important to note that analyticity of f(z) is strong enough to guarantee the existence of all derivatives of /(z). In realvariable theory the existence of f'(x) in a neighborhood of x = a in no way yields any information about the existence of further derivatives of f (x) at x as a.
COMPLEX-VARIABLE THEORY
Problems
1.
145
C.
Let f(z) be analytic within a circle C of radius R and center be an upper bound of |/()| on C. Show that Let
a, f(z)
continuous on
Prob.
to
show that an
a constant
entire
bounded
if
be an entire function. Use the results of bounded function must be a constant, /(z) is said to be exists such that |/(z)| < J\f for all z. Hence prove the first
theorem of Liouville that a nonconstant entire function assumes arbitrarily large values (in absolute value) outside every circle with center at z = 0.
3.
aoz
aiz*"
a 2 z"- 2
an
Show
that
I/WI
there exists an 7? such that, for z\ > R, \f(z)\ > M. for all z, and consider be the polynomial of Prob. 3. Assume /(z) 5^ = l//(z). Why is g(z) an entire function? Use the result of Prob. 3 to show g(z) that g(z) is a bounded entire function. Since g(z] ^ constant, use the result of Prob. 2 to deduce that a z exists such that /(z ) = 0. This is the fundamental theorem of algebra (Gauss). Deduce that /(z) has n zeros. 6. Prove Morera's theorem: If /(z) is continuous in a simply connected region R and if y/(z) dz for every simple closed path in R, then /(z) is analytic in R. 6. Prove (4.20) for n = 2. be a sequence of functions analytic inside and on 7. Let n (z), n 1, 2, 3, the simple closed curve T which converges uniformly to <p(z}. Show that <p(z) is
Let
/(z)
()
<f>
analytic inside T.
For example,
+
I
+
I
**'
jr-.
2!
+
I
+.+
I
**'
n\
\ = / Lj
**
,
n\
00
""
V
n-O
n (-i) ^ 2n+i
LI
(2n
1)!
In
(!+)-,
-++
T2
T3
+ LC
1V
~1
J-"
+"n
n-1
The
function /(x)
/(O)
e~ l/xt x
,
0, /(O)
0, is
such that
=/(0) -/"(O) =
/<>(0)
146
However,
0.
We
shall find,
however, that
f(z) is analytic at z
a,
a Taylor-series
expansion will exist for f(z) at z = a. Remember that analyticity of /CO at z = a means differentiability of /CO for all points in some neighborhood Before proving this result the student should review the of z = a.
and theorems involving infinite series (see Chap. 10). The and uniform convergence of series, and the theorems regarding term-by-term integration and differentiation of a series, apply equally well for an infinite series whose terms are complex.
definitions definitions of convergence
We now proceed to the development of Taylor's theorem. Let f(z) be a function analytic in an open region /?, and let zo be an interior point
00
of R.
There
exists a
unique power
series
} a n (z
n
ZQ)
such that
n=0
(4.21)
for all z in
some neighborhood
of z
The
/CO con-
inside a circle
surrounding z
ference of
larities of /(z)
ZQ.
point
said to be a
if
/(z) is
not
at least
/(z) is
not
Moreover
/(z) is analytic
FIG. 4.9
every interior point of C. Now be any interior point of C, and construct a circle F with center ZQ
let z
containing z in
its interior,
F.
_df
z
_
2
7r
(f
so)
(z
(*
.)/(f
(4.22)
*.)]
COMPLEX-VARIABLE THEORY
Z
147
Since
r
2o
<K <
we have
Equation
(4.22)
(Z
2o)/(f
___ 2
( >)
LZJ?V
n-0
becomes
00
of the series
y
n=
\n+i
>
^ ^^ e variable of
summation.
and z Hence
fixed,
oo
= ^
a n (z
20)"
To show
uniqueness, assume
/(*)
=
n
=
60,
For
20
we have a =
n
)
so that
>
6 n (2
2 )"
(4.23)
But
00
(4.23) implies
(Z
2o)
>
a n (2
2o)
n~ 1
(2
2o)
148
a n (z
so)-
= =
ZQ.
Hence
lim
2
Zll
Y
^*
H
3= 1
a n (z
2o)"~
liin
Y
*-^
f)
6,,0
1
w
5-0)
Z~2o
so that
?>i.
By mathematical
.
on
6n
n =
4.16.
0, 1, 2,
Q.E.D.
defined
cos
Example
The
function
./(z)
by
-f /r*
/(z)
is
= K
//
sm
?/
easily seen to
be analytic everywhere.
/'(z)
We
er
have
=7: nj"
~
dx
/(z)
so that
/(z)
1.
Hence
Z2
We define /(z)
to be
e* s= e x c iv .
=
j
e T (cos
sin
iy)
We note that,
ez
reduces to e x By direct can be shown that e z e*i e****. An easier way is the following: Let the reader
if
z is real, /(z)
p*i
and
it
show that
a.
-jdz
f"~ z
e a ~* for
any constant
Then
__
(
Q
"*
so
2
that
e*e a
is
= =
0,
and we have
so that
2 -f Zi
e*+*i.
From
this
result
|
we havpe*"
FIG. 4.10
Euler's also holds for y complex. Example 4.17. Let us define Ln z as follows.
than
0,
r(cos
sin 0)
re*
Let z be any complex number other from Example 4.16, TT < ^ IT. We
evaluate
Ln
the negative x axis (see Fig. 4.10). We can replace T by the path from x followed by the arc of the circle with radius r and center at z = until
to
= r
2.
we reach
COMPLEX-VARIABLE THEORY
This yields
T
r
149
Ln2 =
= = Ln
2 is single-valued
f
/
Ji
In r
dx x
-f-
h
iO
e ire"? d<f>
Jo
re ttf>
T~
In
\z\
-f i
Arg
since
-7
-.
For
real
and
positive,
Ln
x.
It
is
d*
Ln
r/2
2
_
=
fc
I
'
dn
'
z2
z
1 )
dz n
z
Lnz _
1)2
'
(n
sn
__
1)!
j^+i
'
so that
Ln
_
~
(z
^T
1)3 ~
"
Why
If
does the series expansion for Ln 2 converge only for \z ir < 6 ^ TT, then Ln the condition
1|
<
1?
single-valued.
In z
= f*Q = l n
z
\
-f t '(Arg z -f 27rn)
where n
integer.
is
integration
path of integration r encircles the origin. If the a clockwise fashion, n is negative; otherwise n is a positive Let the reader show that
the
is
number
of times the
in
performed
-f*
2
zirifi
x\
>
0,
xz
>
Ln 2 is called the principal value of In z. We imagine a cut exists along the negative a x axis which forbids us from crossing the negative x axis. We call the point z branch point of In 2. If we wish to pass from Ln z to In 2, we need only imagine that as we approach the cut from the top half of the z plane we have the ability to slide
under the cut into a new
z plane.
ln (1) 2
If
= Ln
2iri
origin
and
slide into
a new surface,
4rt
we have
ln (2 > 2
= Ln
On
- Ln
2 -f
a single-valued function. 1/(1 Example 4.18. The function f(z) please, has for its only singularity the point
/(z)
2), z 7* 1,
/(I) defined in
any way we
1.
The
Taylor-series expansion of
about
must converge
for
|z|
<
1.
Indeed
f(z)
(4.24)
n~0
converges for
|z|
<
z) for
|z|
<
1.
Let the
150
d"
nldz* \l 1
z)
\l
zj
Uo
n =
z
0, 1, 2,
...
The
from
1
We
= ?/2 write
I
is
\/5/2 units
-z
i/2
nb !
The
circles of
:
(
2]
*
=
1
convergence,
,
and
In this shaded region of overlapping, (4.24) and (4.25) converge to the same value of 1/(1 z). Equations (4.21) and (4.25) are said to be analytic continuations of
each other.
Problems
Obtain the Taylor-series expansion of sinh 0. same for cosh z s (e* -f e~ f )/2 about z
1.
~j-
z s= (e*
e~*)/2 about
2=0. The
1
2 -f sinh
Show
that
cosh 2
z,
sinh z
cosh
z, -7-
cosh z
sinh
z.
2.
Show
that
Ln
00
(1
+
n
(-1)"
2)
w
(z /n\) converges for all
z.
B.
Show
that
^ n-0
n (z /w')
and
00
I
4. If
to obtain
e*e*i
1 by tan"
= f
>
,
what
difficulties
occur?
How
n an
a single-valued function?
1 if
Show
that
is
an
integer.
If e +a
*,
show that a =
2irni,
integer.
6. Define w \fz as that function w such that w* = z. If z = re**, w? r also. that p - \/7, ^> - r/2. Since z - re *+ 2T) show that ? 0/2 show that w is double-valued. Construct a Riemann surface so that
(
,
pe i<p
show
For
0,
is
single-
valued.
7.
Is the origin
a branch point?
z
If
w - Ln
z,
show that
e-.
Hint:
Ln
In
\z\
-f i0,
"
<aU!+*.
COMPLEX-VARIABLE THEORY
8.
IP
151
e" "'.
1
Define
sP,
z"
.
single-valued?
Show
as** 1
9.
|z|
<
JR,/()
Y
n-0
a*
n.
Show
that, for r
< R
n-0
be analytic in a simply connected region 7? bounded by a simple closed be an interior on r, so that Cauchy's theorem applies. Let continuous path T, f(z)
10.
Let
/(z)
00
point of
radius
so that f(z)
^ a n (z
n=
n
( >)
.
Let
be a
circle
with center at
z<>
and
it
is
r,
inside
r.
Show that
f r
|o
\Qi\*r*
|a 2
r 4 -f
|a
|'
if
all
R>
4.11.
that,
if
exists.
An Identity Theorem. Analytic Continuation. We have seen a function f(z) is analytic? at a point 20, a Taylor-series expansion If one desires, then, one could define the class of analytic func00
form
N a n (z
n=
n
)
with nonzero
of each other.
Some of the series would be analytic continuations Thus one could start with a particular analytic function
f(z)
Now
H a n (z ZQ) which converges for all z such that \z 2o| < r 7* 0. n-O choose a point, z\ inside this circle. Since /(z) is analytic at z\, we
t
in the
form
Y
n=0
b n (z
Zi)
which
converges for
\z
all z
such that
ri
zi\
<
This new region of convergence may extend beyond the original circle of
p an analytic continuaAll of them represent the original tion of its predecessor, and conversely. One f(z), which has now been extended to other portions of the z plane. might naturally ask, if a point z = f is reached by two different paths of analytic continuation, do the two series representations thus obtained
Each
152
converge to the same value in their common region of convergence? We cannot answer this question until we prove Theorem 4.2. THEOREM 4.2. Let f(z) and g(z) be analytic in a simply connected open region R. Assume f(z) = g(z) for a sequence of points z\, zz, zn in R. having z as a limit point, z t i = 0, 1, 2, n,
.
.
lim /(zn)
n
zo,
lim g(z n )
n
>
as follows: First note that f(z n ) = g(z n ) so that = 0(z ). Moreover, since /(z) and 0(3) are
analytic at
g(z)
=
fc-0
b t (z
and
/(ZQ)
0(20) implies ao
/>o.
Hence
(Z n
Zo)
y
Ar-1
. .
fr
(2 n
So)*"
(Z n
So)
/
Ar-1
for
n =
1, 2, 3,
This implies
for
n =
1, 2, 3,
....
oo
Hence
lim
a t (2 B
zo)*"
lim
b k (z n
which implies ai = 61. By mathematical induction the reader can show This shows that /(z) s= gf(z) for some that a n = 6 n n = 0, 1, 2; neighborhood of ZQ. This neighborhood (a circle) extends up to the
.
. .
.
Now
let f
z$
boundary
p.
of
from F to
F,
radius of convergence of f(z) about z = 20 is ^ p. Why? Now choose a point Zi on F interior to the circle of convergence of /(z) and
The
Since /(z) and g(z) are identical in a neighborhood of z\ ZQ. prove in exactly the same manner as above that /(z) = g(z) for some circle of convergence about z\ whose radius is greater than or equal to p. Let the reader show that z = f can be reached in a finite number of steps. When f is interior to one of the circles of convergence,
g(z)
about
we
easily
COMPLEX-VARIABLE THEORY
/(f)
153
It is important to note that at 0(f)> which proves the theorem. each point zo, Zi, 22, Zk the actual given function /(z) and its derivatives are used to obtain the Taylor series expansion of /(z). Analytic continuation is not used since we are not at all sure that the value of
,
FIG. 4.13
/(z) at z
would be equal to the value at z = f obtained by analytic That this is true for a simply connected region requires continuation. some proof. This is essentially the rnonodromy theorem, whose proof we omit. The formal statement of the monodromy theorem is this:
00
Let
let f(z)
= ^ a n (z
Zo)
w0
have a nonzero radius of convergence. If f(z) can be continued analytically from z along every path in 7?, then this continuation gives rise to a function which is single-valued and analytic in R. We now state some consequences of the identity theorem (a) The identity theorem holds for a connected region.
:
Let zi, z 2 z 3 be analytic at z = z zn sequence of points which tend to z as a limit such that/(z n ) = Then f(z) = in a neighborhood of z ZQ. 2, 3, ....
(6)
Let
f(z)
be a
0,
1,
Let /(z) be analytic at z f(z) ^ constant. A neighborhood, N, of z zo can be found such that /(zi) ^ /(z ) for z\ in N, z\ 7* ZQ. (d) Let /(z) and g(z) be analytic in an open connected region R. z in #. It can be shown Assume / (n) (zo) = ^ (n) (^o), n = 0, 1, 2, .
(c)
,
that
Problems
1.
2. 3.
4.
(a).
(6).
(c).
(d).
154
5.
sin
1
1.
-*
\z\
<
1.
Show
number
of
Does this contradict (6)? zeros in the region |z| < b. Show that, 6. Let ?(x) be a real-valued function of the real variable x, a ^ x if it is at all possible to continue <p(x) analytically into the z plane, the continuation is
unique.
7.
Use the
Hint: Assume /(z) and g(z) analytic for z real, a results of Prob. 6 to show that
6,/(x)
^(3)
g(x).
><
n-0
is
is
and returning
to
z,
ft as the operator of continuation by starting at the path of continuation encircling the origin. Show that
Hint'
9.
Ln
Let
In
|z|
-f-
t'0.
* In
|z|
+
2o)
^0
n
2iri.
/(z)
be analytic at
Zo
so that /(z)
=*
y a(2
n-O
converges for
|z
2o|
<
/2.
0^5^
2r.
Show that/(z) has at least one singular point on the circle z = Zo -f Re* e Hint: Assume /(z) analytic at each point of the circle, obtain a circle of convergence at each point, apply the Heine-Borel theorem, and extend the radius of convergence, a contradiction.
,
4.12. Laurent's
Expansion.
an annular ring bounded by the two circles KI, Kz with common center
z
a.
Nothing
is
2
KI
or outside
and construct
Cz with centers at z
(4.26)
This result can be obtained easily by using the method found in Sec. 4.8B.
Now
(f
O)
(2
O)
__
(f
0)[1
/(f)
(2
o)/(f
O)]
Since
~~~
COMPLEX-VARIABLE THEORY
155
CL
<
<
1 for
f on
C^ we
write
(z
a)/(f
a)
n0
<*
of integration
series.
of the
This yields
(42?)
-B^8^n
For the second integral
c,
-*',*...
_
2
7c, (f
a)
(2
a)
(z
o)[
(f
o)/(
a)]
Since
<
<
1 f or
on
t'i,
we
write
(f
a)/( 2
a)
Zv
o.
2.
Ci
CO
(r
a)-'/(f) df
00
n =
a_ n (2
a)
00
1, 2, 3,
Hence
f(z)
= Y
n=0
a n (z
a)
+ V
n-1
2 fc
a)~
=
where
Si(z
a)
Sj (z
00
a)
+
a)
n
= Y
and
.
.
a n (z
a)
Y
n-l
a^ n (z
a)~
S*(z
a)
Since
(2
a)~
(w-f !)
/(2)
n~ l
(z
annular ring
between KI and
an n
,
0,
1,
K^ we can choose any path of integration to calculate the 2, provided the path F encircles the point z * a
.
156
exactly once.
/(z)
>
a n (z
a)"
(4.29)
/(f ) df
(f
n-O
^ -
U,
+1 1, +2 J,
a)
Equation (4.29) is the Laurent expansion of /(z) valid for all z in the annular ring between K\ and 2 We leave it as an exercise for the reader to show that &\(z) converges
and that
The
common
Example
all z
region of
convergence
4.19. Consider /(z) = l/(z l)(z 2). Certainly /(z) is analytic for such that 1 < |z| < 2. Let us find the Laurent expansion for/(z) in this region. We wish to write /(z) as the sum of two It is not necessary to find the a n of (4.29). We write series, one series converging for |z| < 2, the other for |z| > 1.
1
(-l)(s-2)
z-2
oo
11
n+l L, 2
z-l
ac
1111
for
|z|
21-Z/2
Li n = 1
zn
zl-l/z
, _
V ^L- V
2
n^()
The
first series
converges for
\z\
<
>
1.
answer by using
er r,.
where T
|z|
is
2.
We
origin
circles
|z|
1,
__^_+_A_++^+ ^^
2
+_!_ ^
MSO^
l ;
IIence
_L.
^ ^^--^L,..
. A
Why?
find A, multiply (4.30) by f - 1, and then let f -^ 1. ** To find C, multiply (4.30) l/2 n+1 easy to see that n+1 Hence have Cso that C - 1
To
We obtain - 1 =
by
f,
A.
.
It
is
and
0-A+JS +
^
let r -^
We
l/2
53
=
1
for
<
0.
We had previously stated that z is a singular 4.13. Singular Points. point of f(z) if /(z) is not analytic at 20. If, moreover, f(z) is analytic for some neighborhood of 2 with the exception of 2 we say that 20 is an
,
COMPLEX-VARIABLE THEORY
isolated singular point. Zo| verges for \z
157
<
<
In this case the Laurent expansion of f(z) conr, where r is the distance from ZQ to the nearest
We distinguish singular point of /(z) other than z itself. 3 types of functions which have isolated singular points.
00
now between
Case
1.
The
series f(z)
a n (z
Z O ) M is
such that a n
0, for all
w-0
L-i
n <
at z
0.
We need only redefine f(z) at z to be a and/(z) becomes analytic A singularity of this type is said to be a removable singularzo.
00
ity.
Thus
f(z)
= Y
n~0
(z
/n\) for z
00
^
n
0, /(O)
2 can be
made
analytic
at z
by
2.
defining /(O)
lim
*-+o
T ^ n n=0
(z
/nl)
1.
Case
case
number
/(z).
of the a n
<
0,
vanish.
In this
we say
that
ZQ is
a pole of
We
write
'
(z
'
*)"
be a pole of order n.
If
and
zo is said to
ZQ is said to
be a simple pole of
easily verify that
is
/(z)
|/(z)|
becomes unbounded as
zo is
a pole.
3.
Case
case
An
likewise called a nonessential singular point. infinite number of the a n n < 0, do not vanish. In this
,
A pole
is
we say
that zo
For example,
Theorem
4.3,
out proof.
THEOREM 4.3. In any neighborhood of an essential singularity a single-valued function takes on every value, with one possible exception, an infinity of times.
Let us consider
e 1/z at z
as an example.
Are there an
infinite
number
answer
of z in
is
The
equality
158
holds
limit
if
2wni
50, or z n
infinite
e 60
.
1/(50
2irni).
3, etc.,
and we have an
sequence of z n
1,
2,
=
is
as a
zero.
to e
l/*
=
is
i.
The
for
which
e 1/z
0.
Let the
development
all z
5 that the point at infinity will play an important of differential equations in the complex domain.
of infinity is
\z\
t
First
is
if
f(z)
analytic for
1/t
such that
/(I//) at
> H >
=
0.
by
The
o>
.
We
=
t,
Example
4.20.
.
(a) /(z)
1/z,
/(I/O
so that,
if
we
t,
define
analytic at z
t
(6) /(z)
1/z, /(I//)
/() =0,
(c) /(z)
/(z) is
00
\/t
** 0.
We
00
= N
7J-0
>
Zl n-O
?
we say
that f(z)
lias
an
essential singularity at z
= w
Problems
1.
f(z)
l/(z
-f l)(z
2) for 1
4. o\
^or
<
|z|
<
2.
^ or
2.
1
/(z)
-^
^pry?
< M ^
<
8. 4.
6.
<
2; for
|z|
>
2.
Show that
the coefficients in the Laurent expansion (4.29) are unique. i. the roots of e*
/(z)
(e*
0, z
1,
and
>
6.
+ +
~*)/2.
Show that
cosh (z
=
*)
an =
fl
+
JO
/
Y
n rl
rt~
>"*
cos
cos
9)
for
|z|
>
0.
7.
Let
f(z)
ZQ,
/(z)
=
Z
^ + ZQ
lira
>
a(z
/
Zo)
n
.
We call
n-0
a_i the residue of /(z) at z
8.
Show
A-
that o_i
z
.
(z
zo)f(z).
2-+ZQ
at z
residue a_i
is
given
by
ffl
*V(c
COMPLEX-VARIABLE THEORY
10.
11. Let/(z,
159
~l+z+z*B,tz~
of f(z,
t)
for
|*|
>
is
/(Z,
t)
where
,/
= (-!)./(-
cos (w0
sin 0)
12.
Let
/(z)
be analytic in the
f(z
Assume
/(z)
2ir).
By
Im
<
a,
>
0.
13.
z
oo
Let /(z) be an entire function (analytic everywhere) with a pole of order n at and show that Obtain the Laurent expansion of /(z) for ^ |z| <
.
<*>
/(z)
-f Qiz
a n zn
14.
Let
z 2,
,
.
/(z)
. .
at
.
zi,
.
n.
be analytic everywhere with the exception of a finite number of poles >. The order of the pole at z is a,, z zt and a pole at z 1, 2, Consider
,
<^(z)
(z
z,)i(z
z 2 )s
(z
z*)*/(z)
is
The result
of Prob. 13 is useful.
Let p(z) have simple poles at the finite points z oo Consider z*p(z) is analytic at z
.
f.
at
most
of the order 2 at z
oo.
A
z
\
_J*_
z
17
C
z
where A, B,
4.14.
C are
constants.
Residue Theorem.
region
<
\z
3o|
< R
Contour Integration. Let z = z be an isoFor /(z) single-valued and analytic in the we have the Laurent expansion
<
*o|
<
ft.
Then
160
<I>/(z)
dz
<
Y
ao
a n (z
n
)
dz
J!
since (n
y r
n
(z
zo)
dz
for
?*
1,
and
(p Y
=
z
ZQ
2wi.
The
inter-
change of integration and summation can be justified. We leave this as an exercise for the reader. The constant a_i is called the residue of
/(z) at z
Theorem
4.4.
be a simply connected open set, and let T be a THEOREM in Let /(z) be single-valued and analytic in R R. closed path simple number of isolated singular points. Then finite of a the with exception
Let
(f)
/(z) dz
2iri
(sum
is
(4.31)
The
definite integrals.
We
some examples.
dx
/
Example
4.21.
Let us evaluate
r-
We
= r4-.,
Now f(z) has a simple pole at z i. To apply the residue theorem, we look for a path containing z = i in its interior. At the same time we desire that part of the simWe ple closed path be part of the real axis. choose as T the straight-line segment exR to x ** R and the tending from x =
upper semicircle
Since /(z)
1/(1 -f
2
)
\z\
=R >
it
is
lim^ 1
z-+i
-rJ
lim
^
rfx
(see
Prob.
7, Sec. 4.13)
Hence
f*Rie**de
Jo
i
+
Jo
iw
\l
_ "
de
Jrl
2i
"
(4.32)
Now
since
\R*e**
e
f7o
1
M* M
e
R*e** 9
</?/"' K fl
-f R*e**
fl
9
\
^ R* = R* we
-f
1|
1,
>
1.
If
allow
to
become
infinite, (4.32)
becomes
dx
since
lim R*/(R*
+a
1)
0.
COMPLEX-VARIABLE THEORY
The method used above
is
161
This method can be used
known
as contour integration.
/
f(x) dx.
80
The
always apparent.
Example
(z
4.22.
2
Let us evaluate
2
)
sin z)/(z
+a
we
consider /(z)
e is
= =
lt
ze"/(z
-f
i
).
Remember
cos x -f
sin x
sin x.
is
much
easier to handle
than sin
a,
z.
As the con-
tour of integration let us use that of Example 4.21 with R > = ai. We apply the residue theorem and obtain pole at z
T J-Kx +o
/
xelt
;
o 2
j dx
-f
+a
i
/<we*
I
(a
.
27T*
2at
\ = 1 /
tire
fl a
where C
is
On
will
C, z
1
/te', dz
flie'' de,
so that
Z
= -f^rA 2 Z H- a 2
*
le We ^X? a /t + 4^'
z
,
see that
it
be
difficult to
determine lim
fl-oo
JC z*
f -f
.
a2
72,
0),
(/?,
0),
(/2,
#0, (-R,
xe
>
-R +
+
r
/?).
Then
>
riz
J-R x* +
o2
Jo
^w}^^i_dy r
(ft
dx
?//)
fl
xe tf dx
/ftft
B
3"
2 "_,
i~
fl
so that
x2
a2
efo
""
"
and
f
/
T sin x ~~~jl
sT
TC
"
of the residue
theorem consider
/(Z)
(2
2o)"
A
^>(z)
Ot(z
2o)*
Oo
^
2 )*VC0 9 that there
We say that z = z is an nth-order zero of /(z). We can also write /(z) * (z Let the reader show ^(zo) ^ 0, tp(z) analytic in a neighborhood of z
.
exists a
neighborhood of
such that
5^
Then
(z)
n(z - z - Zo) (z
w
)
-V(2)
(z
zo)V(z)
We
see that z
is
an (n
* 0.
Moreover
g(z)
/(z)
(z
- ZoMz)
162
so that z
9* 0.
path F surrounding
which
<?(&)
closed
a* (*
so)* so that
^>(z)
analytic in a neighborhood of
*
^(z
a-m
4.5.
5^ 0.
/'(z)//(z)
w/(z
-f v'(z)/<(>(z).
is
2,,.
able to prove
Theorem
THEOREM 4.5. Let f(z) be analytic in a simply connected set R with the possible exception of isolated singular points. Let C be a simple closed path in R enclosing a finite number of these isolated singular
points which are poles, f(z) j
on C.
Then
(4.33)
where is the number of zeros of /(z) inside C, the order of each zero counted in determining JV, and P is the number of poles, the order of each pole counted in determining P.
Problems
1.
Show
that
x*dx
-oo (Z*
0*)
2.
3.
R,
Ri indented
at the origin,
oo
dx
TT,
-r
Or
R
let
FIG. 4.16
4.
5.
-f
"' 1
-f
-f On,
and
dz
be a
circle
\z\
such that
1/00
>
1 for
\z\
>
0.
r.
n.
From
(4.33) state a
theorem
concerning f(z)
COMPLEX-VARIABLE THEORY
6.
163
Consider
e*
cos B
sin
(l/2i) (*
sin
1/2).
/
Use
7.
Integrate
b
e~**
=.
db
6.
Show
-
that cos 9
?(z -f l/),
ft,
#, y
0,
>
0,
cos 2bx dx
e-**
dx
e~ z dx
=
(
e~** uos
2bx
dx)
from
8.
(6.78).
For
<
<
f
2 show that
111
f
-^~~
2
dx =
TT
^2
sin
~\
9.
Show
that
(1 ~
.
~f- 3*)
Jo
10.
11.
-h
~- dx #2
Jo x4
= v
In 2.
For a
> >
show that f
0, 6
^
+
a4
2\/2a
For a
>
show that
r(o -f 26)
i& 3 (a -f 6) 2
12.
For a
>
>
show that
_
?>
. _^_JL^
2
)
/^
\
6
_ CL\
a /
a2
b*
4.15.
Let us consider a
closed polygon
w plane.
We
We
F(w) or w = f(z) which maps the polygon into the real axis of the Let PI be mapped into z plane. As we (xi, 0), Pz into (rr 2 0), etc.
z
move along the polygon in the w plane, we move to the right along
the x axis in the z plane. Now if such a transformation exists, then dw arg dz.
Q
FIG 4.17
f'(z)
<Lr
dz
and arg dw
arg/' (2)
arg
0, so that
dw - arg/' (2)
Hence
arg
dw = A
arg
f'(z)
164
along the polygon, where A represents an abrupt change in the value of arg dw. This occurs, for example, at PI. As we turn the corner at PI, Now con1 < a < +1. arg dw changes abruptly by an amount ai^r,
sider f'(z)
=
A
(z
zi)-
ai
,
real,
arg
(z
zi).
Thus
arg/'(z)
Zi)
zO
iri
arg f<Zl
(z
Zi)]
satisfies
dw
The reader can
A(z-
xi)*(z
(2
z n )- a
(4.34)
A
It
arg
dw = A arg/' (2)
1, 2,
.
,
(4.35)
= A
(z
xi)*(z
-"
(*-
x n )-n dz
+B
(4.36)
is
A and B
by
It
maps
Since
7 a, ffi
2,
the reader
w(oo)
(4.34)
exist.
By
integrating
around the closed path of Fig. 4.18, allowing the radii of the small semicircles to tend to zero, and allowing the radius of the large semicircle to become infinite, the reader can verify = tt?( oo ) not neglecting the fact that 1 < a t < + 1 i = 1 oo that w( )
,
2,
. ,
n.
If
we
z
When
desire that x n be the point at infinity, we define z = z n 1/f = x, f = . Moreover dz = (1/f 2 ) df so that (4.36) becomes
-
(f
Oi)-(f
ai)a
>(*
o,)
(f
an-
Jo
(z
a 2 )-a '
(4.37)
COMPLEX-VARIABLE THEORY
since
165
^
i-i
at
2.
The a
1, 2,
. ,
are constants.
Equaomitted
form
of (4.36)
>
Example
4.24.
We
Two
into
(
and Q
consider the polygon of Fig. 4.19. *>i ir/2 ir/2 polygon are at into (a, 0) of the z plane. At P, a\ ~
+001.
,
Let us
,
map P
so that
at Q,
(4.36)
can be written
w(z)
A
yo
(z
+
z*
a)-l(z
a)~* dz
+B
\
M
a2
The transformation
dit,
a sin
w,
dz
rot-
oi cos w, yields
,
sin" 1
i
B
a,
rt
From
(z
the conditions
a,
(z
=*
7T/2)
we have
2
sin" 1 1
a sin
10
(4.38)
If we let 10 = ir/2 *#, then 2 = a ir/2 -f- iR, we see that 2 Similarly if we let w = tion (4.38) unfolds the polygon. For z = j 4- t//,
oo
as
ti?
/^
-|-
The transforma-
w
v
-{-
w, (4.38) becomes
t;
-f iy
x
V
= =
a sin (u
a cos
i/
w)
t;
a sin u cosh
KI cos a sinh
a sin w cosh
sinh
Hence x 2 /(a 2
sin 2 u)
2 y*/(a? cos w)
M
v*
Uo
^
,/
map
map
into
Example
4.25.
The
Schwarz-Christoffel transformation
an analytic function,
(see Prob.
/(z)
w(z, y)
-f-
iv(x, y),
we have V 2 u
and V 2
t;
0,
the electrostatic potential, then V*v 0. The 1, lines of force, w(2, y) =* constant, are at right angles to the equipotential curves, u But for the analytic function, w constant. ^> we know that the v(x> y)
Sec. 4.6).
If f(z, y) is
constant at right angles curves w(x, y) * constant intersect the curves v(x, y) (see Prob. 1, Sec. 4.6). Thus, to solve a two-dimensional electrostatic problem, we need only find w = /(z) * u -h iv such that v(x y} satisfies the electrostatic boundary
t
conditions.
Once
this
is
done,
Vv yields the
electric field.
Moreover
du?
m
Now
origin.
let
- i^.
d2
It
us consider an infinite line charge q whose projection in the xy plane is the 2 2 is easy to show that V w - 0, u - u(r), r - (z y)i, has the solution
166
u(r)
If
we
consider
2qi In
z,
we have
i2q In r
If
q,
u
so that v
u> *
it>
2gi In
(re**)
2q$
z
,
2g In r
(z ZQ).
is
2#t In
then
w
The
field
2<7?
In (2
(ran
be obtained from
(z
w *
2qi In
2^i In
(z
2o)
=
If
z
2<?i
In
ZQ
(4.39)
we
x,
then
In
x x
ZQ
-z
for the x axis.
is real,
so that v
Hence
an
infinite
infinite line
satisfies Laplace's
charge placed at ZQ. Remember equation and satisfies the boundary condition v
grounded plane (the x axis) due to an that the imaginary part of w of (4.39)
when y
shall
0.
Now we
consider a
make
semi-
Consider
two
charge q placed at ZQ First we find the (see Fig. 4.20). transformation which maps the polygon AOB into the line v(x, y) = 0, which is the u axis. We need only
*
FIG. 4.20
= AoW'*" 1 dw and z = Aw*'*, w = Bz T/*. ^>)/T <?/*, so that dz (w The charge at ZQ maps into WQ = BZQ*'*. The complex function for an infinite grounded plane with charge at WQ has been worked out above.
=
1
changed.
We map
into
w =
apply the Schwarz-Christoffel transformation (4.36) with z and w inter= 0, is easily seen to be 0. a, at z
It is
w
so that
W
is
- U
+ iV
2qi In
% Z
**
""""
(4.40)
ZQ
V(x, y)
COMPLEX-VARIABLE THEORY
167
(4.40)
As a
v>
*, 20
r &-
Equation
becomes
+ iV
= =
2qi In
LZ_
Z T" Tot
2gz[ln (z
2<^'[ln
\z
t)
In (z
+
(2
r t)]
t>
)]
t>o|
arg
Hence
V =
=
2q[ln
\z
ir
\
In
\z
ir
\]
g In
For
t/
0,
F =
g In
0.
Problems
electrostatic problem is solved by the transformation (4.38)? the rectangle of Fig. 4.21 with two vertices at infinity into the real axis of 1 Show that w the z plane. (a/V) cosh" z.
1.
What
2.
Map
3.
Find the
electric field
due to a charge
q placed
infinite
grounded planes
(w)
B(o, a)
(2)
-1
1 7T>
o c
FIG. 4.21
FIG. 4.22
B(o, h)
-1
C
FIG. 4.23
the polygon of Fig. 4.23 into the real axis of the z plane, and show that 1 (&/r)(Vc* - 1 + cosh" z). 5. Consider a closed curve C given parametrically by x - /(O, I/ 6. *>(0, a ^ * Consider the transformation z x -f iy Show that under this /(to) -f tV(to).
4.
Map
axis of the
w plane.
168
4.16.
The Gamma Function. The Beta Function. It was Euler who obtained a function of the real variable x which is continuous for x = n, a positive integer. We positive and which reduces to nl when x
first
consider
e-'t*1
dt
(4.41)
The
t
existence of the integral depends on the behavior of the integrand at first write and at t = <x
.
We
=
T(x)
f
l
1 e-'t*" dt
+
>
I"
like
e-tt*- 1 dt
x~ l
For x
well
>
we have
that
Jo
/
that e~
t
x~ l
behaves
x
for
near zero.
It is
known
x~ l
dt exists f or
since
lim
x ~i
^o
dt
lim
*-+o
- x/
"
z
>
To
we note that
ij
-</ 2
(<r-'/2^-i)
e-/2j*-i
Hence
Since
/
for
^
1
A such
e^t^
1
that le"^" 1
<
Ae~' /2
Ae~ ^
dt exists, of necessity
dt exists.
We now inte-
grate (4.41)
Jx
t
'"* <-00
+
'
f"
Jo
/ /
- dt e-iV <r
x
t 1
>
(4.42)
<-o
-if x Jo
Thus T(x
F(n
er'Fdt
r(x
1)
+
=
1)
xT(x).
If
is
a positive integer, x
1)
n,
we have
1)
nF(n)
n(n~
l)T(n
and,
by repeated
2
applications,
we obtain
p(n
since T(l)
1)
n(n
l)(n
2)
ir(l)
n!
(4.43)
1.
of a
complex variable
e-'t'- 1 dt
z is defined
by
(4.44)
t*~~
is
defined as ^~
t.
of In
By
where Ln t is the principal value ', the same reasoning as above one deduces that T(z) exists for
1
eln
*'~ l
c ( *~ 1)Ln
COMPLEX-VARIABLE THEORY
169
We
can write
T(z)
Jo
e-'t*- 1 dt
+
Ji
e-'t*- 1 dt
j_^
t
V(_lUfc+-l ^
/C
'
converges uniformly on
(0, 1) for
Rl
>
0,
we can
Hence
t/:
/""
V^
c~
l
Now
t*-
z,
and
n,
>
(_ rA
. . .
i)*
,v
,
converges for
all z
k~0
Hence T(z) defined by = 0, 1, 2, = at z n At analytic everywhere except w, (4.45) defined a is has the 2 = simple pole. r(s) by (4.45) analytic ft, r(z) continuation of T(z) as defined by (4.44).
other than z
is
0,
1,
2,
The function
. . .
<p(z)
= T (z)T( -z)
.
.
0,
1,
2,
3,
and
is
analytic elsewhere.
1,
at z
0,
2,
and
is
I/ (sin vz) has simple poles elsewhere. It can be shown that analytic
The function
(4 46)
'
Now the right-hand side of (4.46) never vanishes. Hence, if a zo exists such that r(z ) = 0, then, of necessity, F(l ZQ) could not be finite so ft and zo = 1 + n, Hence 1 z = that 1 ZQ is a pole of F(z). = = n! a Thus contradiction. ?^ n) T(z) has no zeros. F(ZO) T(l 0,
We state
i)
170
An important
torn
large.
It is
n\
V2irn(~
(4.48)
This result
will
by
B(p,
is
q)
=
fc
V>~ l (l
O'-
dt
(4.49)
gamma
q
function.
The convergence
of (4.49)
exists
Rl p
>
and Rl
>
0.
We
choose
labor that
The
substitution u
(1
- OA
v
-
or
1/(1
+
l
w) in (4.49) yields
9)
up
(T
du
Jo
Thus
r(*)r(l
e'
z)
=
Jo
I
~du +u
I
The
substitution u
yields
To
evaluate
//
^
-*
J
closed rectangle
"i
^t
dt
with vertices at
#,
S,
= S
27ri,
ft
and S
real
and
pole of e"/(l
+
<
The positive, / the complex variable of integration. in. The residue of e') inside this contour exists at t
eO at
id
is
By letting R and S tend to infinity and using the fact that < Rl z < 1 one can obtain T(z)T(l - z) = T/sin ** [see (4.46)]. By analytic con-
COMPLEX-VARIABLE THEORY
tinuation
of I/sin
it
171
domain
of definition
irz.
Problems
1.
Show
2.
)*-*.
3.
4.
From
show that
jr
lim
*
(z -f
n)V(z)
=*
l)"/n!,
n a positive
integer.
Show that
/2
.
/T
for
sin 2 ""
cos 2 "
0dO = ?R(p,
q]
Rl p
>
0,
Rl ?
>
0.
l l Integrate t*~ e~ around the complete boundary of a quadrant of a circle indented at the origin, and show that
5.
for
6.
<
Rl
<
1.
Show that
REFERENCES
Ahlfors, L. V.: 1953. "
Inc.,
New
York,
York, 1948. Copson, E. T.: "Theory of Functions of a Complex Variable," Oxford University Press, New York, 1935. Knopp, K.: "Theory of Functions," Dover Publications, New York, 1945. MacRobert, T. M.: "Functions of a Complex Variable," St. Martin's Press, Inc.,
Inc.,
Book Company,
New
York, 1938. "Functions of a Complex Variable," Intel-science Publishers, Inc., New York, 1943. Titchmarsh, E. C.: "The Theory of Functions," Oxford University Press, New York,
Phillips, E. G.:
New
1932.
"
1944.
CHAPTER
DIFFERENTIAL EQUATIONS
General Remarks. A differential equation is any equation involvderivatives of a dependent variable with respect to one or more ing
6.1,
independent variables.
Thus
+
+
x
= &
(5.4)
are classified as differential equations. Equation (5.3) is called a partial differential equation for obvious reasons. The others are called ordinary differential equations. One may have a system of differential equations
(5.5)],
*L
(5 5)
'
In addition to their own mathematical interest differential equations are particularly important since the scientist attempts to describe the behavior of certain aspects of the universe in terms of differential equations.
We
list
dx
-
= Acoso)t
(5.7)
(58) (i} -* }
-0
a
(5-9)
(5.10)
172
DIFFERENTIAL EQUATIONS
173
The order
is
called the order of the differential equation. Initial 5.2. Solution of a Differential Equation.
Let a differential equation be given involving the dependent variable <p and the independent variables x and y. Any function <p(x, y) which satisfies the differential equation is called a solution of the differditions.
ential equation.
satisfies
For example,
-r
it is
<?(x, y)
e* sin
VV =
It is
ax 1
0-
We
say that
e* sin
is
a solution of
dy*
VV =
important to realize that a differential equation has, in For example, y" = admits any general, infinitely many solutions. function y = ax + b as a solution, where a and b are constants which can be chosen arbitrarily. To specify a particular solution, either initial
0.
conditions like
y
or
2,
T/'
when x
= 3
boundary conditions
y
like
=
is
when x
and
4 when x
must be given
y the solution.
\
In the first case in addition to the differential equation. is the solution, and in the second case y = ?x A full study of a differential equation implies the deter-
elements which
mination of the most general solution of the equation (involving arbitrary may or may not be constants) and a discussion of how conditions must be imposed in order to fix uniquely the additional many
Without attempting arbitrary elements entering in the general solution. an exact statement or proof, at the moment, we state the fact that "in
the most general solution of an ordinary differential equation n contains exactly n arbitrary constants to be uniquely determined by n initial conditions.
general' of order
'
Problems
1.
Verify that the following functions arc solutions of the corresponding differential
equations:
(a)
...
= z2 9
e*
y'"
+
.
xy"
+|
-
i
,, 1
)
*(!
e*)
(6)
(c)
u-x*-y
y
d zu
+x +
w+*Txdj
(y
du du - 0/ , 2(1
-*
=
x}y'
(y*
x 2)
2.
Verify that y
ae x 4- be**
is
y"
3i/'
2y
the
initial
satisfies
conditions y
initial
**
0, y'
3
1
0.
y'
3.
3xe*
which
satisfies
the
condition y
when x *
174
5.3.
The
Differential Equation of a
Family of Curves.
where a and 6 are arbitrary constants. select one member of the family, that
straight line
all
is,
to
fix
differential equation y" = OJs among called the differential equation of this family of straight lines because b satisfies this equation and, conevery function of the form y = ax
the others.
The
= is a member of the family y = ax b. versely, every solution of y" The differential equation y" = characterizes the family as a whole without specific reference to the particular members. More generally, a family of curves can be described by
/(x, ai, a 2
. .
. ,
a)
a n ) = 0, in which n arbitrary conor implicitly by F(x, y, ai, a 2 The differential equation of the family is obtained by stants appear. successively differentiating n times and eliminating the constants
,
.
relations.
The
Example
5.1.
To
~ -
ax
a
26
+ +
bx*
we
2bx
y"
The
tion.
last
equation is solved for b, and the result is substituted into the previous equaThis equation is solved for a, and the expressions for a and b are substituted into ax + bx*. The result is the differential equation
y
xy'
\x*y"
The
by considering the
equations
xa
tt
(-!/")!
(a, 6, 1) is
as a system of
trivial,
homogeneous linear equations m a, 6, 1. The solution and hence the determinant of the coefficients vanishes.
x
I
non-
xz 2x
2
-y'
-y"
Problems
Find the
1.
differential equations
2.
y y
Cie*
C*r*
Ci cos 2x -f C* sin 2x
DIFFERENTIAL EQUATIONS
3.
175
*(Ci + C 2z) y Find the differential equation of all circles which have their centers on the y axis. 5. Find the differential equation of all circles in the plane. 6. Find the differential equation of all parabolas whose principal axes are parallel to the x axis. 7. Find the differential equation of all straight lines whose intercepts total 1.
4.
Ordinary Differential Equations of the First Order and First Degree. Let y be the dependent variable, and let x be the independent The most general equation of the first order is any equation variable.
6.4.
If y' enters in the equation only linearly, that is, involving x, y, and y'. the first in the only equation is said to be of the first degree. Such power, an equation can be written in the form
under suitable restrictions on f(x, y) there always exists a unique solution y = <p(x), such that 2/0 = ^(#o) and
shall see later that
We
The
present
(a) f(x, y)
a(x)0(y).
(fr) f(x, y) is
homogeneous
is,
f(tx ty)
y
f(x, y),
0.
(c)
Exact equations.
Integrating factors.
(d)
(e) f(x, y)
= -p(x)y +
q(x).
If
Case
(a):
Separation of Variables.
dy
M(x)
.
.
then M(x) dx
+
9
N(y) dy
y)
0.
Consider
F(x
dx |* M(x)
+ f
N(y) dy
constant
(5.13)
We wish to integrals in (5.13) are indefinite (no lower limit). that y as a function of x given implicitly by (5.13) satisfies (5.12).
The
have
dx
show
We
^ + ^^ = dx
dy
dy dx
8
- dF/dX
dF /dy
5*0
dy
But
I?
*&
"<*>
that
%--'
RD
Con "
176
versely, let y
y(x) be
any solution
dy(x)
of (5.12), so that
_ _M(x)
dx
Consider F(x, y(x)}
dx f* M(x)
+ f
y(x)
N(y) dy.
We
have
Hence any solution of (5.12) from (5.14) so that F(x, y(x}} constant. can be obtained from (5.13) by solving implicitly for y in terms of x.
Example 5.2. ables, we have
We
solve y dx -f
(1
-f
x 2 ) tan"
x dy
0.
dx
(1
1 Integration yields In tan" x
dy
y
_ ~
x*)
=
tan- 1 x
C\
In y
In
1
C2
so that y tan -1 x
1
- C
or
Cjftan- x)'
Problems
dy =_0 2
y(x*
VxeW dy
+
1)
d#
= -
6. For what curves is the portion of the tangent between the axes bisected at the point of contact? 6. Find the general equation of all curves for which the tangent makes a constant angle ^> with the radius vector. = 4, and 7. Find the function which is equal to zero when x 1, and to 1 when x
whose rate
8.
9.
of
change
if
is
inversely proportional to
its
value.
Find
r(x)
ax
v^7 ^.
angles for
10.
Find the family of curves intersecting the family of parabolas y* ** 4px at right all p. These curves are called the orthogonal trajectories of the system of
parabolas.
The
area bounded
is
variable ordinate
tion of the curve.
11.
by the x axis, the arc of a curve, a fixed ordinate, and a proportional to the arc between these ordinates. Find the equa(sphere) of liquid evaporates at a rate proportional to its
area of surface.
12.
tank
Brine containing 2 Ib of salt per gallon runs at the rate of 3 gpm into a 10-gal with fresh water. The mixture is stirred uniformly and flows out Find the amount of the salt in the tank at the end of 1 hr. at the same rate. 13. It begins to snow some time before noon and continues to snow at a constant rate throughout the day. At noon a machine begins to shovel at a constant rate. By 1400 two blocks of snow have been cleared, and by 1600 one more block of snow is
initially filled
cleared.
What time
it
begin to snow?
Assume width
of street
constant.
DIFFERENTIAL EQUATIONS
Case
(6).
177
We
=
n
t
if f(tx, ty)
say that /(z, y) is homogeneous in x and y of degree n 2 For example, f(x, y) = x 2 f(x, y). y is homogeneous
+
i/
= tV
t*y
(z
2 )
f(x, y).
We
(5 15)
'
now
consider
=
Tx where
/(to,
ty)
/( *> y)
<
/(x,
n
y).
<)
We
let
T/
to,
so
that -p &X
x-j uX
Moreover /(x,
to)
x /(l,
=
Tx
(1 '' )
5 16 )
-
If
n =
0,
that
is, if
/(x, y) is dt
homogeneous
dx x
/(I,
of degree zero,
then
/(I,
t)
-t
<
*
t
(5.17)
We
if
t(x),
and
In particular,
dy dx
= M(x,
N(x,
y) y)
and M(x, ?/), N(x, y) are homogeneous of the same degree, then M/N is homogeneous of degree zero, so that the substitution y = to yields an equation in t and x with variables separable.
Example
5.3.
Consider
.
dx
x> y)
(x 4- 2/)/(z
T/)
is
homogeneous
,
,
of degree zero.
Let y
1
te,
so that
_ x
fcr
-f- /
tan~ l
tan- x
1
-?
In (1
( 1
\ In
+ +x ^)
t
In x -f In In
Cx
Problems
^
2 S
dy
6tX
=
X
yi_
~~"
^
^
d!x rfy
'
y 4-
x*
_ ~
+
x
dx
178
4.
+y + y T
Hint: Let x
* -f
a,
6,
and
find a
and
6 so that
5.
Discuss (5.15)
(c):
if
/(I,
in (5.17).
Case
Exact Equations.
We
consider
_
or
d* M(x, y) dx
(5.18)
is
tf (*, y)
N(x,
y)
dy
=
<p(x, y)
(5.18)
exact
if
such that
(5.19)
d<p(x, y)
= M(x,
dx
+
y)
N(x,
y)
dy
is
If (5.18) is exact,
then
d<p
and
<p(x,
constant
a solution of
(5.18).
From
the calculus
we must have
|f
= M(x,
y)
(5.21)
ay
dy dx
If
ay
dy
dx dy
dx
(5.22)
we assume
dx
Equation
(5.23)
is
Conversely, assume
=
dy
-T
ox
exists
such that
d<p
M dx + N dy.
(5.24)
and
t/o
Then
DIFFERENTIAL EQUATIONS
179
^ = M(x,
**
dy
y)
Jxo
r -^
dx
N(XQ, y)
-r.
= =
N(x, N(x,
y)
ij)
y)
N(x,
y)
Hence
seems familiar, there is a good reason, since the same material was covered in Chap. 2, Vector Analysis. Let f = M(x, y)i + N(x, y)j. dx + N dy. If f = V<p, then dtp = dx + N dy. But Then f dr = f = V<p implies V X V<p = 0, which is statement (5.23).
If this
Example
5.4.
Consider
(In
+\ny +
I ,
})dx
-dy
]
=0
.
(5.25)
In
In
+
,
-,
1,
dM =
dy
TV
X
->
-r
dN =
dx
dM = -r
dy
>
so that
._
__ N
(5.25)
is
exact
y)
(In
+ln
I)
dx
dy = constant
Integration yields
<?(j, y)
*
In
x In
a:
a;
In
|a?
+
1
y.y
a:
l+xiny
\ny-\-x
\-}-\ny**c
x In (xy)
c 0.
We
chose the lower limits to be 1 rather than zero since In x easily that
d[x In (xy)}
-f In
is
not defined at x
(In
a-
1)
d*
Problems
1.
(xe* -f
\
2 cos
o 2
i/)
dx
/
2x sin y dy
2.
**'
4-
2/)
(x
v
= o
;
3. sin y e wn
x
dx
-f (ze
x Bin w
cos y
2 cos y sin y) dy
Q
is
Case
It
may
-r
dy
ox
y)
Perhaps
dx
+ uNJy =
(5.26)
180
is
now
We call p(x,
y)
an integrating factor
of (5.18).
flii
The
soluii/f
ax N In general it is very difficult to find an integrating factor. There are two Let us cases, however, for which an integrating factor can be found. determine the condition on such that \L = n(y) is an integrating and factor. Of necessity
*&
and
so that
dp
_M +
,,
,
dM = __
t
dN __
"
nay
If
5=
= " T/
'
"
(5.27)
Tf
is
?/,
<M
M(?/)
_dM
-
XP
f /
dx
dy
dy
Example
5.5.
Consider
-ydx + xdy =
(5.28)
We
have
1,
-- =
1
1,
so that (5.28)
is
not exact.
2
However,
dN/dx
- dM/dy __ ~
__
Multiplying (5.28) by
1/V
yields
- dx
-f
- d^ =0
2
(5.29)
The
solution of (5.29)
is
x/y
con-
which is also a solution of (5.28). For an integrating factor of the type n(x), one needs of necessity
--
dM/dy - dN/dx
Problems
1.
ss <p(jc)
(5.30)
2xy dx
(x
2.
(2/2
3x 2 )
<fy
xy*)
dx
-f x*y
dy
DIFFERENTIAL EQUATIONS
3.
181
(5.30).
Case
(e):
Linear Equations of
The equation
(5.31)
j|
is
P(x)y
q(x)
The expression called a linear differential equation of the first order. "linear" refers to the fact that both y and y occur linearly in (5.31). The functions p(x) and q(x) need not be linear in x. If q(x) = 0, (5.31)
f
is
said to be
The
solution of the
j|
is trivial
p(x)y
=
Hence
(5.32)
is
separable.
= A
exp
/p(x) dx]
A is a constant of integration, fp(x) dx is an indefinite integral. Now we attempt to use (5.32) in order to find a solution of (5.31). We
where
introduce a
new
variable z(x)
by the equation
z
y
or
z
is
= =
y exp Jp(x) dx
where y(x)
a solution of (5.31).
Then
p(
=
Jx
df 6Xp j P
^ dx + yp exp J
+
But
q(x)
-J?
p2/)
exp
/
pdx
py exp
exp
Hence
so that
y(x)
z(x)
q(x)
(exp
+C +C
J
exp
p(x) dx]
\J
q(x)
(exp J
p(x)
dxjdx
(5.33)
easily
show that
(5.33) is
a solution
of (5.31).
182
Example
Consider
-f-
dy ax
y cot x
x l csc x
Here p(j)
y(x)
cot x, ?(x)
*
/
becomes
= exp
f
/
cot j
dxj
o
(exp
cot x dx
dx
-f
fe lnn- fa 4.
Example
5.7
We now
investigate (5 IW) in
dj] -f
more
detail.
We
have
l/(x)
exp [-Jp(x)
rfx][J(/(x)
We
notice that
C exp ~/p(x)
0.
dxj
is
equation
-f-
p(x)y
Moreover
j/a(x) is
from
(5.33)
by choosing
5.1.
In other words
we have Theorem
5.1.
THEOREM
tion
is
The most
the
sum
corresponding homogeneous equation. This important result is valid also for linear equations of higher order and is discussed later. In simple cases a particular solution can be found by inspection. For example, consider
te
+ y-*
=
ax
5 34 )
-
We
b.
Then
aj
6
6
= =
x
1
.
holds
if
0,
a =.
so that
Hence y
is
This method of obtaining a particular particular solution of (5.34). solution is called the method of undetermined coefficients. The general
solution of the corresponding
homogeneous equation,
<#-f
~+y=
0,
is
*=
ce~~*,
so that
y
is
DIFFERENTIAL EQUATIONS
8.
183
x -r ox
* c08 x
4.
Change
+ p(x)y
if
by the substitution
"",
P* 1.
What
1?
Review Problems
2.
A body
falls
because of gravity.
There
If
is a retarding force of 1 riot ion proporthe body starts from rest, find the distance
x 1 cos (xy) dy - x*y) dy t-**(2xy 6. Brine containing 2 Ib of salt per gallon runs at the rate of 3 gpm into a 10-gal tank initially filled and containing 15 Ib of salt. The mixture is stirred uniformly and flows out at the same rate into another 10-gal tank initially filled with pure water. This mixture is also uniformly stirred and is emptied at the rate of 3 gpm Find the amount of brine in the second tank at any time (.
-f-
5.
- 2*V)
cte 4-
<T*'*(3x
6.6.
An
Existence Theorem.
We
-
5-
f(x, y)
(5.35)
/(x, y) is suitably restricted in a neighborhood there exists a unique function y = y(x) which 2/o) satisfies (5.35) such that y = t/(xo). The restriction we impose on is the Assume a that constant ^ QO exists such that /(x, y) following:
if
We
some neighborhood
of
O (XO,
yo)
we have
(5.36)
!/(*,) -f(x,y)\
<M\z-y\
is
A function /(x,
An immediate
consequence of (5.36)
2/0),
the following:
If
exists in
dy
neighborhood of PO(X O
then
is
uniformly bounded
in
that neigh-
lim
;/(.) -f(x,
I
y)
<M
yo),
Conversely,
if
is
then /(x, y) satisfies the Lipschitz criterion for that neighborhood. Remember that a continuous function on a closed and bounded set is
uniformly bounded over the set. We assume further that /(x, y) continuous so that the integrals of (5.37) exist.
is
184
The proof of the existence of a solution of (5.35) is based upon Picard's method of successive approximations. Define the sequence of functions
yi(x), y*(x),
. .
i/nGr),
...
as follows:
*
/ Jxo
f( x
2/o)
dx
+
dx dx
2/0
2/200
=
/,*/(*>
yi(*})
2
2/0
y z (x)
+ .................
[*f(x, Jxo
(j))
</o
(5.37)
?/
n -i(x)
=
/
J/nCr)
Jxo *
Ja-o
*/(r, 2/n-2(x))
f(x, ?/n-iOr))
dx
^+
2/0
The
obtain
y/,(a-),
1,
?/)
2,
.
,
n,
manner.
integrate,
In /(j,
we
replaco y by the
constant
?/
integrate,
and
z/o. ?/i(x ) replace y inf(x, y) by */iU), and obtain i/z(x). This process is continued indefinitely. The next endeavor is to show that the sequence thus obtained converges to a Let us note that function t/(x) which we hope is the solution of (5.35).
t/i(j)
such that
We now
y n (x)
//o
(?/,
|/
(2/2
y\)
'
'
(//n
l/n-l)
of the
(2/1
2/o)
(2/2
yi)
'
'
(2/
//-i)
(5.38)
for
Let A' be an upper bound of f(x, y} in the neighborhood of PoCr which the Lipschitz condition holds. Then from (5.37)
2/o)
A> -
(5.39)
(r)\
[f(x,
,)
Applying
(5.39) yields
J/I(JT)|
<
-WA'
j
f*
|*
ioi rfx
<
" tK TT
DIFFERENTIAL EQUATIONS
Let the reader show that
185
~
in
(5.40)
is
hounded
Since the series for M]T rof converge?; uniformly in any closed and bounded set, the series (5.38) converges uniformly for those x in the region We have for which the Lipschitz condition holds.
<>
lim y n (x)
n
//(x)
is
uniform.
From
/(J",
y*(x)
T
/ Jxo
2/-iGr))
dx
y<>
we have
y(x)
lim y n (x)
lim
Jr
*f(Xi //n-i(:r)) dx
c/x
+
+
y
i/o
jj
because of uniform convergence. The Lipschitz condition (5.36) also guarantees continuity of /(x, y) with respect to y, for
lim
since 3/|s
|/(x, 2)
/(x, y)\
y\
>
as z
y.
Hence
f(x, i/(x))
dx
)
+
*
i/o
and
/(x, y(x))
y(x
2/0
so that y(x) satisfies (5.35) and the initial condition. Q.E.D. must now show that y(x) is unique. Let z(x) be a solution of (5.35) Then such that Z(XQ) y*.
We
/(x, ^(x))
186
and integration
x *(*)) dx
>
y*
Hence
z(x)
\z(jc)
y(x)
[/(*, 2(2:))
/(s, t/(*))]
-y(x)\
<M
-
(5.41)
\z(x)
-y(z)\dx
Let
L he an upper bound
xo|
of
y(x)\
< ML\x -
we obtain
\z(x)
y(x)\
|z(ar)
y(x)\
< M"L
L
""
<>
a Since
.
n
.
is
V /
-
;?
/^
,
-,
u- u which
is
known
i
to
converge,
we have
,
-*
w!
for
any
fix( k d
.r.
Hence the difference between z(x) and y(x) can be made l"his means that z(x) s= y(x). Q.E.D.
f
Problems
1.
2.
8.
/(x,
!/)
x?/ satisfies
|x|
< A <
(5 40) holds.
/(J,
//)
J"
sin
?/
all x.
4.
Consider ~
j/,
y(0)
1.
(5.37),
hm
-*
j/nU)
e*
6. 6.
CoiiHider
- x
-f
f
t/
,
j/(0)
Obtain y
(x),
y t (x), y s (x),
j/*(x)
from
(5.37).
g-.ru.,,*>
Impose suitable restrictions on /(x, y, 1} and ^(j, y, f ) in a neighborhood of the point and ^(ir, Vo, *), and obtain a sequence of functions j/i(x), Vi(x), y.(x),
.
DIFFERENTIAL EQUATIONS
a sequence of functions
lim
n
z n (x)
if
187
lira
Zi(x), z*(x),
t/(x)
*(),
such that
y(x)
j/(x),
z(x) t
)
where
yo,
and
Show
unique
5.6.
y(x
z(x
2 o-
Linear Dependence. The Wronskian. A system of functions 2/n(#), o ^ ^ ^ 6, are said to be linearly dependent y\(x), 2/2(2;), cn over the interval (a, 6) if there exists a set of constants r jt r 2
.
not
all zero,
such that
n
c^(x)
(5.43)
x on (a, 6). Otherwise we say that the y(x) are linearly independent. Equation (5.43) implies that at least one of the functions can be written as a linear combination of the others. Thus, if c\ ^ 0, then
for all
Linear dependence will be important in the study of linear differential Let us find a criterion for linear dependence. Assume the equations.
y,(x) of (5.43) differentiate
times.
Then
n
y(x)
0,
1,
2,
(5.44)
by successive differentiations. The system (5.44) may be looked upon as a system of n linear homogeneous equations in the unknowns r,, i = 1,2, . n. Since a nontrivial solution exists (remember not all c vanish),
.
we must have
\y?(*)\
= o
or
W(y
/,(*)
t
,y,,
(5.45)
Determinant (5.45) is a necessary condition that the ?y,(j) be linearly dependent on a <J x ^ 6. This important determinant is called the If W(yi, ?/ 2 Wronskian of y it y^ yn //) ^ 0, the # are
. .
linearly independent.
We take first an
easy cae.
Let
188
for
for a < x g b. The same b. Assume yi(x) ^ a g x Then 6. would be obtained if we assumed y*(x) -^ for a g x
2/12/2
y\
2/22/1
and i~
dx
~ =
)
so that
2/ 2
cy\.
y\
and
are linearly
\2/i/
dependent. The proof for the general case is not so easy. We assume that (5.45) holds for a ^ x g 6. Furthermore we assume continuity of the derivatives, along with the assumption that at least one of the minors of the last
row
of (5.45) does
6.
2/3(2)
0(2)
.n
2/3
show that under these conditions the y are ^ g over the range a ^ x ^ 6. First expand (5.45) about linearly dependent the first column to obtain
for a
6.
We now
=
Hence
is
pi
dx n
~l
+ -r
y[(x)
(5.46)
Moreover,
if
we
replace y\(x)
by y^x),
by
,
by
7/J(x), etc.,
in the first
column
same.
of (5.46), the
we
reader can verify easily that any linear combination of y^ t/ 2 yn Now we fix our attention at a point 2 is also a solution of (5.46).
,
XQ
b.
We
have
2/2(20)
2/1(^0)
homogeneous equations
/^ Ct^'(#o)
=0
c,-.
0, 1, 2,
(5.47)
f-1
all
zero which
DIFFERENTIAL EQUATIONS
satisfies (5.47),
189
and form
n
y(x)
^ c*^x
(n
5 48 )
-
Equation
(n
.
.
~ 2)
2/
as well as y
" 1)
Moreover y(x Q ) =
(xo)
0, y'(x
0,
0.
It
will
1
be shown in
initial
when n
condiso
Now
=
is
y(x)
=
=
certainly satisfies
(5.46)
(n
and the
)
conditions y(xo)
= ^
=
x
~ 2)
i/
(x
0,
b.
Hence
J
for a
c#
(x)
b.
Q.E.D.
Problems
1.
2.
Assuming
e**/ 2
i,
show
that
3.
1
7/1
cos x
sin x.
,
Consider yi = x 2 ^ 2 - x|x|, -1 ^ x ^ 1. Show that Tf (y lf y 2 ) for x ^ 1. Does this imply that y\ and ?/ 2 are linearly dependent? Show that 1 ^ x ^ 1. and yz are not linearly dependent on the range Does this contradict
Let
i/i
(x)
of
+
1?
p(x)y' -f q(x)y
=
=
and hence that
for a
b.
Show
that
-^
+
A
p(x)TT(?/i,
|/ 2 )
W(y\,
y>t)
exp
p(x) dx]
for a: = x then TF = for all x on a ^ x ^ Show that if determine the constant A ? Show that if for x = #0 then 7* a g x ^ 6. 5. Let 2/1 (x), yz(x) be linearly independent solutions of
b.
y"
for a
P(x)y
Show
that
(5.49)
6.
(5.49).
-f
(:
Show
that W(yi, y* y t )
2/ 2 (x),
. . .
for
6.
6.
Let x ^
yi(x),
6) of
y(x) be
range
(5.50)
190
If y(x) is
show that
CkVk(x)
k^l
for
b.
6.7.
The
differential equation
is
called
an nth-order linear
y"(zo)
differential equation.
(n
about
tf'(zo)
? Assume y^x) a can written as a system of n We note that (5.51) be solution of (5.51). of 1 new first-order equations by the simple device introducing n follows: Define as variables. y z y*, yn
(
2/J,
2/'o',
- !)
2/
(zo)
n - 1)
2/
(5.52)
dx
equation of the system (5.52) is (5.51) in terms of 2/1, 2/2, . . . y n (x)] is a solution of (5.52), then Conversely, if [i/i(x), y*(x), yn Now (5.52) is a special case be solution of seen to a is (5.51). y\(x) easily
last
,
. . . .
The
=
3J
P(x, y
l
,
y*,
>
2/
1, 2,
(5.53)
As in Sec. 5.5 it can be shown that, if the/* satisfy the suitable Lipschitz 1 y*(x) of conditions, there exists a unique solution y (x) y*(x),
1 . .
.
(5.53) satisfying the initial conditions y*(x The Lipschitz condition for the /* is
n
>
yl,
=
n
1,
2,
w.
!/*(, 2/S
""
)
2/
>
2/
2 1 /^(^, 2 , ^ ,
z n )|
<
Af
V
t-i
|i/*
2*|
(5.54)
for all
1
x in a neighborhood of x
Xo,
Af
fixed.
The exponents
DIFFERENTIAL EQUATIONS
If p(x), Pi(x), f
. . . ,
191
= 1, 2, n of (5.52) are continuous in a neighborHence (5.51) has a then is (5.54) XQ, easily seen to hold. the n above. to initial conditions stated solution subject unique The reader can show easily that if 2/1 Or), yz(x), n y (x) are linearly
hood
of x
homogeneous equation
and
if
y(x) is
of (5.51), then
y(x)
<W,(*)
(*)
(5-56)
is
d
n
the most general solution of (5.51). Let the reader show that the are uniquely determined from the initial conditions on y and its first 1 derivatives at x XQ.
In general it is very difficult to find the solution to (5.51), and it is necessary at times to use infinite series in the attempt. This method There is one case, however, will be discussed in a later paragraph.
which
is
the simplest by
solving (5.51) to
constants.
We
far. Naturally, one expects the difficulties in be alleviated to some extent if the p (x) of (5.51) are study now this case. The homogeneous equation
t
pt = constant:
1, 2,
(5.57)
emx .
Sub-
piin*-
+
1
p 2m
n -*
+
2
pn )
Hence
if
Pn
(5.58)
then y
from
(5.57).
One
a solution of (5.57). dk v
replaces -p[
Equation
zk , k
(5.58) is easily
2,
. . . .
obtained
If
by
0,
2,
.
1,
n.
the n
them
mi,
mn
T
w* are
distinct,
(5.59)
if
the
then
192
ra 2
mn
(5.60)
W=
Next
let
exp
x }
mk\
/
ml
*i
F(u)
is
in u.
1 distinct
ra 2
ra 3
. ,
mn
Why?
Continuing with this line of reasoning, the reader can show that as a = one finally obtains consequence of assuming
a contradiction, since
ra n 5^ ra n _i.
separately.
of the roots of (5.58) are equal must be treated Before attacking this problem we shall find it beneficial to introduce the operator
The
some
d jdx
(5.61)
The notation
sf(x)
means 3- f(x) = ax
*/(*)
f'(x).
Similarly,
s[sf(x)}
[/'(*)]
f"(x)
and
for
s"
s ~. We
scalar a.
define
(s
+ a)f(x) =
sf(x)
af(x)
f'(x)
af(x)
any
DIFFERENTIAL EQUATIONS
if
193
Equation p 2s
n~ 2
(5.57)
can be written
Pn-is
pis"(s
+
2) (
p n )y
(5.63)
or
m-i)(s
If
m
a
e ax sy
m n )y
e ax (s
(5.64)
is
constant,
we have
y)
+ aeaxy =
=
e
x
a)y
+ a) n y
,
(5.65)
Now
w*
let
of multiplicity
us assume that (5.58) has the distinct roots mi, w 2 3 a* so that (5.64) can be written i, a 2
,
.
,
/()y =
(s
rai)*
^ - m
(s
)'
ak
We
note that,
if
y(x) satisfies
e -mk*( s
nik)
y(x)
(5.66)
satisfies
(5.66).
Now
- mk
ak
)
y(x)
from
(5.65), so that any y(x) which satisfies (s Hence satisfies s ait (e~-mkx y} 0, and conversely.
k)
ak
y(x)
also
so that
y(x)
e m "*(d
C*x
C^-iz"-
(5.67)
If
ak
1,
then
Cie y(x) Equation (5.67) contains a k constants of integration. the same reasoning to the remaining roots yields n constants of Applying We omit the proof that the solutions thus obtained, integration.
.
mkx
namely,
Example
if
5.8.
The
differential
1.
equation y"
em *
or
The most
y
general solution
Cie* -f
If
C 2e~*
If
Ci
^,
C 2 = ~y, then
t/
sinh x.
Ci
C2
?,
then
j/
cosh
x.
It is
easy
to verify that sinh x and cosh x are linearly independent. can also be written in the form
The most
general solution
Ai sinh x f
cosh
a:
Example
5.9.
We
n,
0, 2/'(0)
wish to solve y" -f n 8 i/ subject to the initial condition if m* -f n* real. c w * is a solution of y" + n*y or
194
m
From
is
y
(x
Aeni*
+ Be-*'*
(x
*
0,
0)
we have
0,
?/'
n)
we have
or
B
n*y
Hence
yl
=
sin
5",
and
j/(x)
is
(*>"*
e~ nt *)
sin nx.
nx
+B
cos nx
0.
Example
5.10.
Consider
6 Jg+J*_ dx
rfr
6 4
S
<&r 8
4*-0 dj*
-
(5.68)
+* 4
6*
4* 2 )s/
or
.
e
l) (s* -f
+
1
4)y
0.
are
m
y
0, 0, 1, 1,
\/3
+ 2m +
4)
(A
-f
Bs)
+ e-(C +
-f
Dx)
or
y
It
- A + Ex +
(C
/>*)*
+ E exp
[(-1
\/Zi)x]
-v/3^>]
has been explained before that the most general solution of an inhomogeneous equation can be written provided
:
(i) particular solution is known. (ii) The general solution of the homogeneous equation is known. The second part has just been considered. It remains to study meth-
ods by which a particular solution can be found. Here any guess can be made, and, if successful, no further justification is needed. Quite
often a particular solution can be determined by inspection. The involves finding certain undetermined coefficients. For example: (a) If p(x) of (5.57) is a polynomial, try a polynomial of the
degree.
(6)
(c)
work
same
If p(x) If p(x)
= =
Aerx
& cos
(*>#,
try
sin <ax
+B
cos
<#x.
y"
y'
+y
6
-4-
""
2x 2
0,
-f-
bx
+ ex*.
Then
c 2,
+ 2cz, +y
**
2c
a
y
60.
2e**.
2c so that of necessity 2c -f a -f bx -f ex* == 2z* and Hence t/ 4 is the general A sin x 4- 5 cos x -f 2x*
solution of y"
(b)
** 2x*.
y"
Assume a
y
a -h &z 4-
cc s *
Then
j/'
-f-
2r^ >r
t/"
4ce lz
and
1.
This yields 3c
2,
0, 6
bx
is
cc 1 *
2e f *.
DIFFERENTIAL EQUATIONS
(c) y" + form y = a
4j/'
195
in the
2y
x
2 sin x
3e* 4-
2x.
sin
+ 6 cos x + ce* + d + /x
-f ce* -f
Of necessity
a sin x
6 cos
3c
4a cos x 26 cos x
46 sin x
2ce*
+
2d
4ce*
4/
2fx
ls
2x
0,
e*, etc., yields Equating - -3, 4f - 2d - 1, -2/ - -2, so that a - -^, The reader can verify that y sin x 1. /
3a
6
46
cos x
-36
c
- -^,
"~ e x
-f 4a -1, d ? +x
|,
particular solution of
(c).
Although in many cases a particular solution is easily obtained by it is important to have a formula The problem is to find a particular solution of the valid in all cases.
the method of undetermined coefficients,
equation
g+* 3+
+..*+
which
satisfies
"->
g+
-*
PW
(5-69)
+-2 +
= f<-(0) =
-0
0<-(0) -
(5.70)
the
initial
conditions
0(0)
0'(0)
g"(0)
We
prove that
y(x)
=
fc
g(x
t)p(t) dt
(5.71)
is
a particular solution of
y'(x)
(5.69).
g(x
x)p(x)
* g( *
j*
(x-t)
since g'(0)
0.
i}
/;
dx
P (t)
dt
196
since
(n
=
l)
1-
If
obtains
yW(x)
+ aiy^
p(x}
*vo + ^po +
ai
(x)
a n y(x)
The
expression
(*
The
t.
evaluated at x
x we certainly (5.71) is a
are
2,
n, of (5.69)
Example
yields
gr(0)
5.11.
Consider y"
g(x)
the solution
0, gr'(O)
gr(a:)
= Ae x + =
sinh x.
x
sin y Be~*.
0,
which
conditions
1.
This yields
e"*)
A +B =
A
A - B =
1,
so that
A
y
Thus
^-(e*
^, sin x
B = -^.
is
\(^
^ l
~
The complete
solution
PX
rx
\ 2 Jo
e~
sm
dt
~- p~
2
f o Jo
/
sin
is
= =
Ae*
Aie 1
-f
Be~*
-f
Bif" 7
- ^ sin x -f - | sin x
=
\e
\e~*
Example
5.12.
it/'"
3j/"
+
y'"
ty'
2y
3j/"
e x sec x.
The
solution of
+
-f
4y'
2y
is
2/
=x
^(x)
Ae x
1,
e*(B sin x
+ C cos x)
If gr(0)
0, 0r'(0)
0,
^"(0)
we must have
A
A
which yields
4-
-f
C *
o
1
+B
2B -
A
B 0,
-f
A j
1,
C -
-1.
Thus
**
[e*-*
e*-* cos (x
t)]<*
sec
dt
e*
sec tdt
e*
I*
(cos x -f sin
a;
tan
t)
dt
a;
e* In (sec
+ tan x)
xc* cos x
+ c* sin
x In cos
DIFFERENTIAL EQUATIONS
The
y
general solution
=
is
197
e*[A
+ B sin x +
cos z -f In (sec x
+ tan z)
We
x cos
+ sin x In oos #1
Example 5.13. Method of Variation of Parameters. particular solution of (5.69) for constant coefficients. tion of
Equation
+ pi(x}
To
simplify things,
pt(x}
p " (x)y
p(x)
we
S+
3
Pl(x)
S+
P2(X)
Tx
pi(x}y
P(X)
(5 ' 73)
Let 3/i(.c), 2/2(2*), 2/a(a;) be linearly independent solutions of the homogeneous equation derived from (5.73).
We
tion.
know
that y
i
^
=i
yl
is
The method
1, 2, 3,
that
is,
Assume
(5.74)
uiyi
uzyz
u z yz
We
shall
-5-^ i
1, 2, 3.
Two
Differentiating (5.74)
of (5.75) yields
3
(5.76)
Differentiating again
(5.75) yields
3
-7
dx
Finally
: z
>
Ui
Lf
-j^ dx*
we have
3
-~ = We
multiply (5.77)
-T-* -f
Y -j1 -{
by
p*(x)
(5.78)
by pi(x\
(5.76)
by p z (x),
(5.74)
results to
(5.78).
If y(x) is to
be a solution of
(5.73), of necessity
198
Equations (5.75) and (5.79) are three linear equations in the unknowns
Solving for
~i i
1, 2, 3.
-~
yields
2/2
1/2
/
2/ 2/3
"
"
du\
~dx
p(x)
2/i
2/2
y*
(580)
2/2
2/3
2/3
2/3
,
2/2,
y(
//
2/2
2/2
vi
yz, #3)
y\,
2/2, 2/a
.()
i,
2/2,
and
in general
r^ Ut(X)
"
Ja
,,
^dx
2/2,
(5.81)
1/3)
where
2/4(2;)
?/iCr),
?/ B
(^)
2/2(x).
verify that
),
y.+2)
(5.82)
i:
is
a particular solution of (5.73). 2 x. (l/x }y Example 5.14. We consider y" -f (1/J")?/' 1 /x are linearly independent solutions of #" x, 2/2(0;) 2/i(x)
(1/x
)?/
0.
We
have
-2/a
particular solution
is
is
(x /4)(x)
x 4 /8)(l/a:)
x 8 /8.
The complete
solu-
tion
* Ax
h isO
Problems
1.
Ly"
-f ^2/' -f
(I/O?/
0, L, 1?,
constants.
~|
0.
2.
3.
4.
5 sin 2x
DIFFERENTIAL EQUATIONS
5.
199
y"'
- e* 4 sin x 5j/ a particular solution of y" -f p(x)y' -f ?(aOy ** nOc) and 1/2 is a particular r 2 (x), show that 1/1 + ?/ 2 is a particular solution of solution of y" -f p(x)y -\- q(x)y
6.
7.
y"
If
+
is
y
4j/'
2 sin x
t/i
y"
+
10.
p(a;)y'
+
**
(*)y
- n()
cos 2 x
+ r*(x).
8. 9.
y"
]/"
+y
-
tan
-1- i/
a:
2#'
y"
4y'
+ 4y =
y"
2xe*
1
+x
-f sin
We
(a)
If p(x)
and
of
on a
cit/
6,
solution
y'(xo)
y(x)
y' Q
,
6.
Moreover -^ ctx
is
"ii
is
exists.
proof is as follows: Assume y(x) vanishes infinitely often on the interval a ^ x ^ 6. From the Weierstrass-Bolzano theorem there exists a limit We can pick out a subsequence xi, x$, xn point c, a ^ c ^ 6. which converges to c such that y(x n ) = 0, n = 1, 2, From
. .
mean
y(x n )
1, 2,
.
y(x n -i)
. . .
(x n
a?n-i)y'(fm)
y'(c)
so that
0,
Xn-i
{n
n,
n =
a:
Hence
lim y'({ B )
n
*
since the
n also
approach
at
c.
Moreover
y(c)
y(c)
= =
=
c as
is
continuous
satisfies
lim
n *w
0.
is
But
y(x)
=0
(5.83),
and
0.
0, j/'(c)
0.
Since y(x)
unique,
we must have
y(x)
(6)
y*(x)
Let
t/i(ci)
2/1(^2)
=
0, Ci
be linearly independent solutions of (5.83). and 2/1(3) 5^ for a ^ ci < x < c 2 ^ fe. We
c
show that
1/2(0)
<
<
c2
that
is,
Assume
y<t(x) j*
for c\
<
<
c2.
Then
!/2(c) 5^
c2
Why
=
0.
is
it
true that
2/2(^1)
0,
^>(c 2 )
From
mean
for Ci
c2
But
200
for a
Since yi(x) and y*(x) are linearly independent, we know that W(yi, t/ 2 ) ^ ^ x ^ 6. Hence ^'(f) cannot be zero, a contradiction. y*(x) must
.
be zero for some x, Ci < x < c 2 Q.E.D. (c) We can write (5.83) in the form
<K*)V-0
(5.84)
We
^* p(t) dt}
|]
and write
p(t)
dt)
q(x)
eft)
^ An
exp f
p(t) dt,
Q(x)
=
is
q(x)
exp
/"*
p(t) dt.
K(x)
|_
Qjjj
CLX J
Xg(x)i/
=
0, arid let yi(x,
(5.85)
where X
is
a parameter.
XO be a
Xi,
2 (x,
X2
We
Xi
X2
(5.86)
We
have
(5.87)
subtract.
Multiply the first equation .of (5.87) by y 2 and the second by This yields
2/1,
and
dx
[_
dx
if
CLX I
integrate (5.88) over the range a g x ^ 6. orthogonality property (5.86) will be discussed in greater detail in Chap. 6 dealing with orthogonal polynomials.
Equation
(5.86) follows
we
The
(d)
+ Gi(x)y =
We
0,
and
tion of y"
2/i(a)
+ G*(x)y
(a)
let y*(x)
be a solu-
0.
2/ 2
=
a.
ft
GI
<
Assume further that y^a) = ?/ 2 (a) = a > 0, G 2 We show that y*(x) vanishes before yi(x)
.
vanishes, x
>
The proof
is
as follows:
have
y{'
+ Gi(x)yi =
0,
DIFFERENTIAL EQUATIONS
2/2'
201
+G
2 (x)2/2
so that
2/22/1'
~
"
2/12/2'
jz
(y*y(
y&*) dx
c
+ +
=
(G\
(
~~
(72)2/12/2
=
=
o
Gi
c
#2)^12/2
d T~ X Ja f
I
f
I
(2/22/1
2/12/D
Gi)yi(x)y t (x) dx
Ja
re
2/22/1
~
a
)
^
Ja
a/3
#1)2/12/2
dx
>
a/3
=
Jo
/
(G,
- GJy^dx
?^
(5.89)
Let
be the
(5.89)
first
zero of y\(x), c
2/i(c)
a,
and assume
2/2(2;)
for a
c.
From
and
we have
2/ 2
(c)2/((c)
= g
x
(02
G02/12/2
dx
x
(5.90)
Now(? 2 (x)
for a
~
g
(?i(x)
c.
>
for a
Hence
y<i(c)y((c)
But
a;
c *^
ar<c
x<c
since
result
Ci
> and x < c. This is a contradiction. Q.E.D. The same would have been obtained if 2/1(0) = 2/2(0) = a < 0. Let the reader show that, if y\(c\) = 0, y\(ci) = 0, y\(x) T for < x < c 2 then y^(x) = for some x on Ci g x ^ c 2
2/1(2;)
. ,
Problems
1.
Consider y"
p(x)2/'
+ g(x)2/
0.
Let
?/
uv,
(1
x2)
S^
i
2x
fx
+ n(n +
n
=*
l)y
=
/3,
(5 91)
*
Let yi(x,
a),
2/ 2 (x,
/3)
be solutions of
(5.91) for
a and n
7^
/3.
Show that
dx
3.
4.
(d).
we have
Equations in the Complex Domain. Up to the present discussed differential equations from a real-variable view. Greater insight into the solutions of differential equations can be obtained
5.9. Differential
202
if
view.
we study the differential equations from a complex-variable point The reader may recall that the Taylor-series expansion of
/(*)
=
1
X2
about x
1/(1
converges only for \x\ < 1. In a way this is puzzling since x z ) has no singularities on the real axis. However, the analytic
=
i
1/(1
z
z 2)
+
=
), is
known
and
from z about z =
i
has a radius of
The
without
simplest first-order linear differential equation may be considered If p(z) is analytic at z = zo, the solution of difficulty.
^ + p(z)w =
is
(5.92)
w(z)
= WQ exp
first
I* p(t) dt
and w(z)
is
analytic at z
zo.
The
non
equation
5 93 >
-
~+
fiitj
P(z}
^ + *W W =
z
This equation
is
More-
over, the methods used for solving it apply equally well to higher-order In attempting to solve (5.93) we must obviously consider equations.
Let
zo
Remember
this
means that
p(z)
and
q(z)
some neighborhood
of z
ZQ.
point z
of this
type
is
Let
two
z
radii of
.
convergence
about
= z We shall now prove Theorem 5.2. THEOREM 5.2. For any two complex numbers w
|
wj there
exists a
unique function w(z) satisfying (5.93) such that w(zo) z Moreover w(z) is analytic for |z < R.
WQ, W'(ZQ)
w'
We
Let
w =
u and
undefined as yet.
,
Then
du dv
,
-r-
dz
= u -ydz
2
v -T->
dz
d u
du\ dv
(d*u
du
DIFFERENTIAL EQUATIONS
If
203
we
set
pu
-r =
0,
we
see that
u(z)
Thus the
substitution
w =
exp
-%
^+
w =
is
,/(*),'
(5.94)
Let the reader show that J(z) is analytic for \z the reader can also show that if v(z) is a solution
v
z
\
<
It.
Moreover
of (5.94)
then
exp
I"
-^
I* p(t) dt\
(5.94) to
a solution of (5.93).
an integral
V'(ZQ)
equation.
Assume
V(ZQ)
VQ,
v' Q.
Then
or
-^ az
V'Q
= J 2o
/
J(r)v(r) dr
vo
v' 9 (z
zo)
= -
I
J
20
yo
J(r)v(r) dr d{
where
^>(f)
JMvM dr.
Note that
<p(2
0.
We now
Jzo
integrate
and
()
1*0
P,(
20)
+ Jzo f
(r
2)-/(f)''(D
df
(5.95)
if v(z) satisfies (5.95) then v(z) also satisfies (5.95) is a Volterra integral equation of the first kind. It is a special case of the integral equation
Equation
v(z)
= A (z)
k(z, f)v(f)
df
(5.96)
To find
a solution of (5.95),
(sfce
we apply
Sec. 5.5).
204
1/1(2),
v n (z),
...
as follows:
(r
(5.97)
S(
20)
(f
Now
\v n (z)
+
-
\Vk+i(z)
v k (z)].
We
can write
v k (z)
J Zo
(f
w*_i(r)]
df
(5.98)
We choose as our path of integration the straight line joining z o to z so - 20), ^ t ^ 1, that f = ZQ t(z
with f
ZQ
t(z (z
ZQ)
and
df
ZQ) dt
Let
be the
circle of analyticity
ZQ,
and
let z
be an interior point. We construct a circle S with center at ZQ interior to C and containing the given
point z in its interior (see Fig. 5.1). z are analytic Since J(f) and f
FIG. 5
1
is,
\J(f)(f
*)\
<
M for
all z, f in
z)
,
is
that
'(r-
where M
is
of v$(z) in
and on
*S.
Similarly
DIFFERENTIAL EQUATIONS
205
(' yo
i*
ir
2.1
^oi
Jo
r
~
, **
By
Thus the
v k (z)\
bounded by the
k
series
yM
k
\z
z,\
fc-O
which
in turn is
bounded by the
series of constant
terms
/z
}
m*J
^
7 ^ K
I
since
*-0
that the latter series converges to e MR so test the series representing v n +i(z) converges that from the Weierstrass
R >
\z
zo|.
We know
Since each term of the series representing v n +i(z) is analytic, v n +i(z) converges to an analytic function t>(z) (see Prob. 7, Sec. 4.9). We now show that the limiting function, v(z\ satisfies (5.95). From (5.97)
uniformly.
lim
n
*
v n +i(z)
= =
vQ
+ +
v' Q (z
ZQ)
+ +
lim
n
*
/ *o J
(f
v(z)
^o
^o(z
ZQ)
lim (f
It is possible to take the limit process inside the integral because of the uniform convergence of v n (z) to v(z). Next we prove that v(z) is unique. Let u(z) also satisfy (5.95). It is u(z) satisfies easy to verify that r(z) = v(z)
r(z)
yo
(r
*V(f)r(r)
*
is
(5.100)
Since w(s) and v(z) are analytic in and on S, the function r(z) by some constant K, |r(f)| < K. From (5.100) we have
bounded
|r(*)|
<
MK ^
\df\
= MK\z -
206
Applying
|r(f)| |df|
< M*K
|f
,|
\df\
2!
< KM*
'
n\
""
!
Since lim
n
*
*' g
<go
'
0,
we can make
so that u(z)
\r(z)\
as small as
we please.
This
is
possible only
if r(z) s=
v(z).
Q.E.D.
Example
point.
is
5.15.
00
We
c nzn .
consider
is
An
analytic solution
w" zw known to
w
exist.
=* 0.
Certainly 2
easiest
is
an ordinary
The
way
to let
The
cn
are to be determined
satisfy
n-O
w"
zw'
** 0.
We
'
have
00
M
nCn2!n
W "
*
so that
A
n-l
~1
W"
00
""
A
n-2
n ^n
00
"
V* / n(n
n l)c n z
~~
V*
/
V*
nCnZ*
>
cnzn
n^2
n-l
if
-0
the coefficients of z n , n
A power
. .
series in z
0, 1, 2,
vanish.
Hence
(n
2)(n
l)c n +2
(n
l)c n
=0
n -
0, 1, 2,
...
We
cn+t
=^2
c 2 /4 c /(2
n =0,1,2, ...
-
We
note that
c2
c /2, c 4
4)
c /2 2 2!,
__ ~
C6
""
Co
Co
6
Ci/3,
(2-4-6)
23!
cjn
/2
nn!.
Also
ci
d "
c 8 /5 C
- d/(l
5
-3-5),
C7
C(
"7
(1
7)
ci/(2n
1)!!,
where
(2n
(2n
1)!!
l)(2n
l)(2n
3)
DIFFERENTIAL EQUATIONS
The constants CQ and w zw' of w"
=
207
The
general solution
c\
is
n0
Problems
1.
(2n
1)!!
Show
Prove
Solve
that,
if
then
t>(z )
VQ
V'(ZQ)
tv
(5.99)
by mathematical
z*w
f
induction.
3.
4.
Solve
w" w"
zw
=*
for w(z) in a
IP
-h 1/(1
z)w' -h
in a
Let z a be an isolated singularity of either 6.10. Singular Points. =* a by a circle, C, of radius p, p(z) or q(z) in (5.93), and surround z
such that p(z) and g(z) are analytic < an ordinary point of (5.93),
for
\ZQ
<
a|
\z
a|
<
p.
Now
let zo
be
<
From
of of
which
analytic in a neighbor-
hood
Wi(z)
p(z)
of z
=
and
Wi(z, ZQ)
q(z) 9
a or a point on the circle C. In Fig. 5.2 C' is the circle of convergence. Now let F be any simple closed curve through ZQ lying inside C and surrounding z = a (see Fig. 5.2). We choose a point z\ on F, z\ inside C". Since w>i(z, ZQ) is defined at zi, we can compute Wi(z\, zo), w((zi, ZQ). Since z\ is an ordinary point of (5.93), there exists a unique function Wu(z) such that Wu(z) satisfies = M>I(ZI, ZQ), w(i(zi) = M((ZI, z ). w u (z) is an analytic (5.93) and Wn(zi)
z
continuation of Wi(z ZQ). Its domain of definition is the interior of the circle
9
C" (see Fig. 5.2). This process of analytic continuation can be continued, and the reader can show that
in a finite
tions
the analytic function which is the analytic continuation of Wi(z), both Wi(z)
in a
neighborhood
We
FIG. 5.2
show
Wi(z)
and
w z (z)
are lin-
early independent solutions of (5.93) for some neighborhood of z then Ate?i(z) and Aw 2 (z) are also linearly independent.
o,
Since
is
208
hw\(z)
Let us
now attempt
Aw(z)
such that
\w(z)
(5.101)
If
Wi(z) and w^(z) are linearly independent solutions of (5.93) for a neighborhood of z = 20, we have
w(z)
The
last
In other words,
is
a linear operator.
fact.
From
(5.101)
and
(5.102)
which
in turn implies
X)
+
if
c 2a 2 i
=0
=
if
.-
Cia 12
+
-
c 2 (a 22
X)
nontrivial solution in
ci, c 2
exists
and only
n
Equation (5.104)
roots or
is
i2
o a 22
X
X,
(g
a quadratic equation in
so possesses
two
distinct
two equal
1.
roots.
^> 2 (z) be the functions of (5.101) corresponding to X 2 that is,
,
Case
Let
<f>i(z),
Xi,
A^r=
It is
X,v?,
1,
(5.105)
an easy task to show that <f>\ and <p z are linearly independent. ie a = \z Let us note the following: Let z a\e and
(2
a) a
(z
=
a)
|z
alV*'
6
The
analytic continuation of
around F increases
by
2ir
so that
We
choose
ay,
1, 2,
so that
e** =
Xy(
X,,
=
j
1, 2.
Hence
2
(5.106)
A(*
a)i
a)*
1,
DIFFERENTIAL EQUATIONS
209
Combining
(5.105)
A[(z
and
(5.106) yields
a)-^(z)] = A(z
a)-<A^(*)
Why?
=
= ^
(z
- d)^\j9j (z)
a)-><pj(z)
a
><ft(z),
1,
(5.107)
a.
sion theorem
we have
(z
a)- ^(z)
=
n=
00 ao
b n (z
a)"
(z
d)-
a
*<p<L(z)
c n (z
a)
or
=
Thus both
Case
2.
(2
a)
a"
Y
n=
oo
c n (2
a)
(f>\(z)
and
singularity at z
=
if
a.
is
The reader
\i
referred to
.
MacRobert, "Functions
Com-
plex Variable,"
X2
In this case
<p(z)
(z
a)"
[t0,(2)
^
j
In (2
a)]
(5.109)
where Wi(z) and w^(z) are analytic at z = a. An important case occurs when the functions <0i(z), <p*(z) have no essential singularities. In this case we can write
*,(*)
of (5.108)
(z
a)"fc(*)
1,
(5.110)
where
$j(z) is analytic at z
a; #/(a) 5^ 0.
Now
=
so that
<f> 2 <f>{'
^1^2'
p(^)(^2^{
<Pi^ 2 )
Thus
and
j
-T-
(^2^1
/
x
^1^2)
p(z)
= - ^7
-i
p(z)(<f>*<P\
dW(<pi, j dz
^w/
(5.H2) ^ '
'
<pz)
210
Making use
show that
+ P*M
(5.113)
a.
The same
<p(z)
of
We
a and
notice that p(z) of (5.113) has at most a simple pole at = a. This suggests the q(z) has at most a double pole at z
5.1.
following definition:
DEFINITION
is
w"
if:
(i)
p(z)w
+
2
q(z)w
(5.114)
ZQ is
(z
(ii)
(iii)
(2
We now
Let w(z)
To
The transformation
z'
=
a
z a u(z),
a an unknown constant,
z u'(z) z
w =
z*u
we have w' =
az a
~l
For
u,
w =
"
u"
2az-
u'
a(a
z*u"
[2az
p(z)z*]u'
NOW
Zp(z)
z 2 q(z)
(5.115)
P(z)u'(z)
Q(z)u(z)
(5.116)
provided a
is
a(a
with
P(z)
Q(z)
1)
(5.117)
'
'
'
Conversely,
if
zu(z)
provided a satisfies (5.117). The existence of a solution of (5.114) hinges on the existence of a solution of (5.116). If u(z) satisfies (5.116),
u(0)
= w
DIFFERENTIAL EQUATIONS
then a double integration of (5.116) yields
211
zu(z)
[P(0)
l]u*
+
2
[* Jo
I]u
[2
P(r)
+
(z >
(T
z)(Q(r)
P'(T))]I*(T) dr
and
With
u(z)
[P(0)
+\j B
P(r)
MO dr
-
B(Z, r)
it
+(r -
*)[$(T)
P'(r)]
We leave
To do
to the reader to
satisfies (5.116).
show that, if u(z) satisfies (5.118), then u(z) The reader can also show that if we define u(Q) = UQ
z
so that (5.118) holds for then u(z) of (5.118) is analytic at z = = w this, the reader must show that lim u(z)
.
0.
z->0
Now
P(0)
=
If
2a
i
+
=
po
2,
and a\
a2
=
1
of (5.117).
then P(0)
1*00
i ^ z
Jo
B(z, r)u(r) dr
(5.119)
If we attempt to prove the existence of a solution of (5.119) by Picard's method of successive approximations, we might expect trouble at z = 0. Let our first approximation be UQ(Z) = uo, and define
1
Let the reader show that lim Ui(z) = i/ so that, if we define = 0. Continuing Ui(z) becomes continuous and, indeed, analytic at z
,
u n (z)
with Mn(O)
write P(r)
=
1,
B(z, r)Wn-i(r) dr
. . .
(5.120)
= w
=
1
n =
0,
2,
We
=
1
define
0.
u n (0)
(r
and the
1,
is
analytic at z
r)
+ rf(r)
2 for
=
and B(z,
Since P(0)
we can
P'(r)].
r/(r)
z)[Q(r)
We
"
\B(z, T)|
< R <
all 2, r
\Ul(z)
UQ(Z)\
P(r)
+
(r
(r
z)[Q(r)
P'(r)]\ dr
-rf(r)
If
z)[Q(r)
P'(r)]) dr
it is
we
let r
te,
<
1,
easy to
see that
\Ui(z)
UQ(Z)\
<
A\z\
A =
constant
212
Since
\u?,(z)
\ z Jo
f
AR
/
T)[UI(T)
UO(T)] dr
we have
Continuing,
ui(z)\
|r|
\dr
we obtain
\u n (z)
u n -\(z)\
< A
(ir
Y
n=l
(R/2)
n~ 1
remember R < 2, the sequence {w n (z) converges uniformly to an analytic function u(z). As was done in Sec. 5.9 for z = o an ordinary point, it can be shown that u(z) satisfies (5.116) and (5.115). It is then trivial to show that w(z) = z*u(z) satisfies (5.114).
Example
p(z)
1/z,
5.16.
q(z)
zw"
+ w'
l/z and
w =
zp(z)
or
w"
(l/z)w
z
(1/2)10
=
is
1,
z 2 q(z)
so that z
= 0. =
In this case
is
a regular
singular point.
satisfies
We know
z a u(z),
where a
=0.
One
00
of the simplest
ways
of determining u(z)
to
assume
w'
u(z)
c r,z n ,
w(z)
c n z n+a .
The
series for
n=0
w(z]
is
n=0
coefficient of
-j-
w =
0,
and the
each power of z
is
equated to zero
no
More
specifically,
we have
oo
w'(z)
Y
n=0
c n (n
a)z+
a- 1
w"(z]
Y
n=0
c n (n
+ a)(n -fa-
l)z
n +a -*
00
^ c n z n+a satisfies
y
n=
zw"
00
-f w'
10
if
and only
00
if
Y
n=0
c n (n
)(n
+
of z
- D^^- +
1
Y
n=0
c n (n
a)z
n+a ~ l
Y
n=0
c n z n+a
(5.121)
which occurs
1)
in (5.121)
is
a~ l
.
The
coefficient of z
a~ l
is
c [a(a
].
If (5.121) is to
be
satisfied,
we must have
C [a(a
Co is to
1)
(indicial)
equation
a(a
1) -f
DIFFERENTIAL EQUATIONS
or a =
2
213
The
~ coefficient of zn+a l
0.
is
The
a =
0, 0.
(5.121)
c n (n
+
be
a)(n
+-!)+
+
a)(n
Cn (n
a)
C H -I
1, 2, 3,
If (5.121) is to
satisfied,
c n (n
we must have
+-!)+
(^qf^yi
c n (n
a)
c n -i
(5.122)
or
cn
n =
1, 2, 3,
...
1, 2,
.
Equation have
(5.122)
is
Since a
0,
we
cn
.,
,
=
Ci
^
_ Co
-
n -
1, 2,
so that
Ci
_ -
Co
C2
_ -
c3
_ -
C
7
_
zw"
Co
_
10
Co (37)2
and by induction
cn
c /(n!) 2 .
Hence a solution
of
10'
is
w(z)
= A
n=
(
Co
= A
We
zw"
00
-\-
w'
w ^
|z|
Zz
,
n
,
n=
(n!)
NO z
converges for
2 2 g(2;)
<
This
is
exactly the
1,
z.
The reader can find a proof in Copson, " Theory of Functions of a Complex Variable," that, if zp(z) and z q(z) are analytic for \z\ < R,
2
00
then
w"
00
p(z)w'
q(z)w
= ^
n=
c n z n+a
and the
series
N
n=
c n2 w
|z|
<
/J.
The
5.17.
zw"
(z
l)w'
w =
00
0.
Let w(z)
Cn^* "",
so that
Cn (n -h
a)^"^- 1
n-0
00
w"(z)
V
n-0
c n (n -f
a)(n
l)z
w +a ~ 2
.
Substituting into
214
(z
l)w'
+w oo
yields
c n (n
)( n
- 2)z+-i +
Y
,
c n (n
<*
l)*
n +a
(5.123)
The
is
must be equated
to zero.
Thus
ro(a
and a
2)
satisfies the indicial equation a(a We shall see 2) =0, so that a 0, 2. that the larger of these two roots produces no difficulty, the smaller of these two roots doGH produce a difficulty. ~ in (5.123) must he sot equal to zero. This The coefficient of z n+a n = 1, 2,
l
c(n
C
)(n
2)
r n -i(n
=-n^~2
cn c n ~\/(n r w _i/n, so
"-1,2,3,...
2)
If
we
and
c
,
C2
r2
becomes meaningless.
We
try
that
c\
n/2 =
r /2,
Ct/4
Co/4!,
and by induction
rw
n I) (c /w!).
Hence
(-!). =
is
Az*e~*
a solution of zw"
It is
(z
I)t0' H- to
0.
not very
difficult to see
by the method of series solution used in Examples 5.16 and 5.17 when the roots of the indicial equation differ by an integer. When the roots do differ by an integer the larger of the two roots presents no difficulty.
ao
Let w(z)
00
= y
n=0
c n z n+a
be a solution of (5.114).
00
Then
w'(z)
<x)*
n+ ~ l
w"(z)
= y
n=0
c n (n
+ a)(n +
l)z
n+a ~*
(5.114) yields
a)(n
l)*+*~
_|_
pfy
n^O
n^O
q(z)
cn
2+ =
2^ =o
(5.124)
DIFFERENTIAL EQUATIONS
Since zp(z)
215
po
+ piz +
+
p&*
z q(z)
+ q& + q& +
2
we have
[c n (n
a)(n
-!)+ cn (n +
a)(p
Pi
+
$!*+
+
Of necessity
a(a
1)
Cn(?0
O^-
+
2
ap
+
+
<?o
indicial
equation
The
c n [(n
coefficient of 2 n
+1)
must be
zero,
which implies
go]
a)(n
(n
a)p
+
+
n-l
c.[(
a)p n -.
+ g-J
cn
,
n ^
(5.125)
Equation
will
determine
cw
n =
1, 2,
in terms of Co unless
F(a, n) zz (n
=
for
(n
If
1
+ a)(n + + a)(n +
QJ,
i
a
a.
1)
1
+ (n + a)p<> + + p + ^o =
)
some
integer n.
we have a
po,
ai =
= =
(n
i,
F(a, n)
n(n
+ a) +a
(ft
<*i)
i)
Since a
ai
^ ai, F(a, n) 5^ f or n ^ 1. The only difficulty would occur if = negative integer. To obtain a second solution when the roots
by an
integer,
we turn
to the
method
.
of
Frobenius.
...
We
a.
The
cn ,
The
series
10(2,
=
n-0
a ) 2"+
satisfies
5 126 )
-
+
,
P(z)
dw(z. a) dz
+
,
?(*)(,
=
where a\ and
2
C (a
i)(a
a 2 )2 a
~2
(5.127)
c n (a) of
The
two
Now let
216
Co
= A (a
z,
a)
to
ax)(a
atfz~*
(5.128)
. .
.
to
A (a
ci, c 2 ,
by A (a
z
We
it is
Since a and
we have
il
Evaluating at a
_ f
yields
_JfM
_|_
p(%)
+
is
q(z) (
=
)
(5.129)
\OQL /
) J
a solution of (5.114).
a^a-i
5.18.
Co
'
(1 -f a)
C2
=
(2
Ci
~
2
Co (1 -f
+ a)
a) (2
+ a)
Cn
'
'
'
2>
'
Co
'
(1 -f
a) (2 "+)""
."
2 (n -f a)
so that
*,
a)
+ ^
To compute (T
J
?!
(1 H2
)
(2
2
)
(n
+ + a) ^
2
.1
we need
to
compute
i
AT
da 1(1
Let y
+ a)
-
(2
a)
(n
1 2 a) J
(1
a)-*(2 -f a)-*
2 (n -f <*)~ so that
In y
- -2
In (*
and
&=
dot
-5
DIFFERENTIAL EQUATIONS
1
217
where F(n)
n=0
The second
solution of
zw"
w'
w =
is
Example
Cl
5.19.
Referring to
Example
Co
5.17,
we have
C2
* ~
Co
C2
_ ~ ~
"n
Ci
_ ~
'
_
...
(a
l)a(a
1)'
(a
- !)( +
1)
2)
We
replace TO
[y2
a
by Aa and
^
a
obtain
r
Z H
T 1
y3 -__-__
7
(a
l)(a
-|-
1)
+ ~ 1)n
(
(^=T)Ti "+"!)(
compute
l
+2) ...
(a"
+ ^^2) +
'
'
To compute
\OCK /
a0
>
we need
to
AT
da L(
Let y
-"!)(
+
1
!)(
+
2)"
2)
1
(a
w , 2
2)J a .
1
,
(a
1)-K
l)'
^+
-
...(+ n
n-2
2)-
so that
In y
In
1)
In (a
+ k)
n-2
n-2
dy
_
If
kj
(n
-2)1
n =
3,
=0.
Hence
n-2
w =4
The second
solution of zw" -f
(z
1)
w + w =
f
is
w(z)
- 5
6-* In 2
z*
z*
where F(n)
-(-!)"
218
1.
Derive (5.113).
2. 8.
4.
Show
that
if
S N-0
zn+l
nl(n
00
1)!
[V _
ln Z
5.
z n+l
2
1!2!
n-O
2, nl(n
. JL
Solve
2 2 (1
( 2!3!\1
in
2 2
+n ^ + ^3/
1 ]
z)w"
-f-
2(1
Zz)w'
f
for
10(2)
the neighborhood of
2
0. 0.
2=0.
6.
7.
/'
z)w" + 4zw
(1
f
+ z)w H- w + l)w
J
for
if;(2)
in the
neighborhood of neighborhood of 2
To 5.11. The Point at Infinity and the Hypergeometric Function, determine whether the point at infinity is an ordinary or regular singular = l/t and investigate the point t = 0. We have point, we let z
dw _ ~ dwdt^ __ ~ ~
Ih
dw
~di
llidz
=
az*
/4
_^
dt 2
2p
dt
so that
w"
p(z)w'
q(z)w
becomes
Hence
oo
is
an ordinary "point
2i
(i)
if
is
analytic alytic
at
=
(5.131)
(ii) (i
-4
is
analytic
at
For
oo
is
if
oo
is
not an ordinary
DIFFERENTIAL EQUATIONS
2t
(iii)
219
/
~
is
analytic
at
(5 132)
'
1 (iv) 72 *
l\ # \7 I
v/
is
analytic
at
This implies
MOothat
/A
Pit
pzt*
'
'
If,
we must have
Example
that
5.20.
po/z,
<?(z)
<?o/z
We
look for the differential equation (of second order) which has In this case z * is an ordinary point so z = 0.
and
n(*> - 2
= =
'
Pi
0,
= =
00
01
'
tfn
-;
Hence
g(z)
and
p(z)
2/2, so that
now the following problem: We look for the differential which has exactly three regular singular points at z = 0, 1, equation all other points are to be ordinary points. Since p(z) has at most simple = = z we know that at z z(l poles 0, z)p(z) is an entire function. 1,
We
consider
Hence
2(1
2) P (2)
n-0
"
(5.133)
for all
z.
Since z
=
From
is
(iii)
must be upheld.
(5.133)
220
(0
y
must be analytic
at
MO;
0.
This
is
possible
if
and only
if
an
0,
>
1.
Thus
and
z(l
2)p(z)
p(z)
+
<s
ai-s
r-A_
l
(5.134)
show that
Let the roots of the indicial equation at z = <*> be a = a, a == 6. and also impose the condition that the indicial equations at z = 2 = 1 have at least one root equal to zero. Now at z = we have = lim zp(z) = c from (5.134). Also q<> = lim z 2 q(z) = pvB. The 7>o
We
*-o
s-o
indicial equation at 2
=
a(a
is
1)
ca
+ \ivB =
If
is
\i
we pick
is
we must have iivB so that desire q(z) The other root is a = 1 0. c. Let = 1 that, if one of the roots of the indicial equation at z we
+A
and
(5 - 136)
At
=
2t
oo
we have
p(l/t)
2t
M - i^i)
lim
t-^Q
ct
2t
tA/(t
t*
1)
A/(t
t
1)
and
Similarly g
po
~
I
+A
oo
is
a(a
or
If
1)
+ +
(2
(1
+ c +
c
6,
A)a A)a
+B = +B =
A
we must have
-1
+c-
DIFFERENTIAL EQUATIONS
ab
221
B, so that
A=a + b +
(c
\z
is
c.
Our
differential equation is
d?w
dz*
l-c + a +
z
1
b\ dw
/ dz
z(z
ab
1)
Equation (5.137)
form
(after Paperitz)
oo
w(z)
= P
( I
a
c
z\
c
(5.138)
\1
regular singular points, and the other rows contain the roots of the indicial equations at each singular point. Note that the sum of the roots is unity.
The operator 6 =
by
series
z-r-
due to Boole
is
methods.
The
9 has the
following
properties,
e n (z<f>(z)) =
where 6V =
z a (e
+
n
a)v
B(O^),
etc.,
and (0
)V = /^
r
{) a
+
n~ r
BV.
The
6(6
+c-
l)w
z(6
a) (8
b)w
(5.140)
We
by
series.
Let
W =
Then
>
Cfc*+
Qw =
*=o
(6
c*6z*+
=
fc=o
c*(fc
a)z
k+
+
+
V)w
= 7
ffo
00
fc
(fc
b)z
9(0
6)w
Y
*%
00
ck (k
+ b)(k +
a)z
z(B
a) (6
b)w
= y
c*(fc
+ a + b)(k +
a)2^
+1
(5.141)
222
Also
+c-
l)w
=
ib-O
c*(k
<**)(k
+c-
l)z
k+a
(5.142)
(5.142),
we obtain the
recursion formula
l)(fc
c)
c k (k
a)(k
b)
a(a
+c+
b)
1)
For a =
we have
(k
+
Co
a)(k
so that
^i
Ci
(a
C2
1)(6
1)
(a
l)q(6
1)6 Co
2!
2(c
+1)
(c
l)c
and, in general,
(
+^~
1)
(c
Cn
- TT 7 7 " 7 ^
"
a(b
1 )
b C
_
where F(a) is the solution of (5.137)
r(o ~
n)r(b
T(c
n)
n) _^ w!
4.
gamma,
is
formal
w(z) W(Z}
- A ~
Li n-O
n) 2n
T (
a, 6, c
We
6; c; z)
by the equation
n) i"
,
n)T(b
+
)
,
Problems
1.
r(c
+
z
(5J44)
AA .
2. 8*
2w'
neighborhood of
differential
0.
equation
DIFFERENTIAL EQUATIONS
Show
that
223
-1
w(z)
oo
- P (1 {0
(O
-f
z\
|
-n
4.
6.
Verify (5.139).
If c is
is
w(z)
~ ,-c
T(n
n-0
6.
7.
T(n
c)r(w 42 - c)
c) z
n\
What
Show
is
that
by expanding the left-hand sides in Taylor-series expansions. 8. Show that when c = 1 the second independent solution
of (5.137)
is
r(a)r(b)F(a,
b; 1; ,) In
r
where
sr
V
Li
n=*l
/
/
[
\a
_ -- _ --1
2\
I
4-
7
1
-f
+
;
7
1
n)
5.12. The Confluence of Singularities. Laguerre Polynomials. In the discussion of the hypergeometric function and its associated differwere distinct. It ential equation the regular singular points 0, 1, when consider be useful to two or more what happens turns out to
regular singular points approach coincidence, a process usually referred " " The reader is referred to Chap. to as the confluence of singularities.
XX of Ince's text on differential equations for more details and for a very
useful classification of linear second-order differential equations according to the number, nature, and genesis of their singularities by confluence.
by way
of illustration.
Rummer's
geometric function
w(z)
*Fi(a, b; c; z)
1)
'
'
(o
c(c
n0
for
\z\
+ * - 1)W + 1) + 1) (c 4- n
-
1)
(6
+n-
1) af
n\
(5 '
fi
<
1,
which
satisfies
2(1
z)w"
[c
(a -f b -f l)z]w'
- abw -
(5.146)
224
Now
=
g
bz,
z'
by
z.
We
obtain
fa, b;
c;
fc
1)
(q
l)b(b
(c
=
for
\z\
c(c -f 1)
+ 1) +n -
(6
1) g
,.-.(6 147)
*
1)6
SI
which converges
< -
6.
2^1 satisfies
(l
If
Q w" + (c
V
n=
|z|
+ +
fr
tf
g)
aw -
(5.148)
we
let 6
>
oo
we
F ,. A _ fi(a,c,*)
.
q(q
c(c
+ 1) + 1}
(fl
.
(c
+ n - 1) 2" + w . 1} -,
,.
(
14Q ) 5 149
-
for
<
1.
Moreover
it
iFi(a; c; 2)
zw"
+
.
(c
z)w'
- aw -
(5.150)
oo obtained formally by letting fr Equation (5.150) is Kummer's confluent hyperis an geometric equation. It has a regular singular point at z = 0, but z = irregular point, that is, z = oo is neither an ordinary point nor a regular singular point. If c is not an integer, the other solution of (5.150) is
zl
~f
iFi(a
r; z)
(5.151)
If r is a negative integer or zero, (5.149) becomes meaningless, while if c is a positive If c = 1, both solutions coininteger greater than 1, (5.151) becomes meaningless. The second solution can then be obtained by the method of Frobenius. cide.
now consider the function iFi(a; c tion of iFi(a; c 1; z) will terminate if a the coefficient of z m+1 is
We
z).
The
series representa-
is
a negative integer,
w, for
(c
l)(c
+ 2)
if
(c
Hence
iFi(
n, c
a polynomial of degree n
co
is
a positive integer.
(c
We
define
(c
D(c
2)
/C" I
+ n)
iFi{
_n
1; g)
n a
positive integer.
The reader
p + fr.M-oSa+.vw..
(6 153 )
.
DIFFERENTIAL EQUATIONS
225
We show now
that
we can
write
n
(e-*z+<)
(5.154)
Let
v(z)
e-*z n+c so
that
~
z
<r\(n
+ c)zn+c~ l
i
z n+c ]
and
dv j-
(n -f c
z)v
Differentiating
z yields
If
we
let
d v u = T~ we have
>
"
C)
(n
1}l"
(5 155)
*
Now
it is
let
w(z)
= e^~ w(g) =
c
dn
z~
-^
=
z n+c ). (e~ z
If
is
a positive integer,
is
a polynomial of degree n.
u(z)
From
w(z)e~
and the
satisfies
show that
+
Since (5.156)
is
(c
"
0)
nw =
(5>156)
exactly the
same
as (5.153),
we must have
(e~*z
Lf(z)
Let
z
= Kw(z) =
Ke*z~ c
n+c
)
0.
From
show that
(*
norm -
1)(c
2) -
+ n) ~
=
=
1
(c
D(c
2)
(c
n)
so that
n\
226
The
tant property
e-*x cL%(x)U*(x) dx
m^
(5.157)
To prove
(5.157),
f*
If (5.158) holds,
Dn
c)
(x)
dx
f or
m<
(5.158)
is valid, for L*(x) is a polynomial of degree a (5.157) simply linear sum of integrals of the type (5.158). be obtained by integrating by parts m times after can Equation (5.158)
then (5.157)
is
m<
n and
replacing
U(x)
in (5.158)
by
(5.154).
Problems
1.
2.
3.
Show Show
c; z) satisfies (5.150).
L nc) (*)
(
satisfies (5.153).
(0)
4.
6.
Show
that
r(c)
dx
T(c
+n +
1)
/. Hint: Evaluate
6.
e~*x x L% /./_
(x) dx.
Show
that
}
n>L^ (z)
(2n
zJL^^z)
(n
-\-
n ^ 2
W
0)
dx
WW -LSIM
is
7.
Show
that
L(z)
r-O
5.13. Laplace's
Equation.
We
discuss
is
This equation
of
V2 F =
in rectangular coordinates,
(5.159)
V/.C-
^^i/
VXfc>
X(x)Y(y)Z(z)
(5.160)
DIFFERENTIAL EQUATIONS
227
This attempt at finding a solution of (5.159) is called the method of separation of variables. Applying (5.160) to (5.159) yields
^=
division
1
For
7*
we have upon
1
by V
d*X
dx*
X
Thus
+ Y
d2 F
dy*
+Z
d*Z
dz*
-J^ YW + Zd^
==
ld*X
ld*Y
ld*Z
(
The
equality in (5.161) cannot hold unless both sides of (5.161) are conu(x)
starit, for if
flu
v(y, z),
then
=
.
and u
.
SE
constant.
Hence
~ V-J-T = X ax
2
constant
A-
M
(5.162)
or
jj^
solutions of (5.162) are
k*X =
The
or
or
X X X
Similarly
kx
(5.163)
and
or
or
/?/
(5.164)
Finally
or
^f + +
(
.
fc
)Z
=
and
I
(5,165)
2
The
and the
The
of the physical
problem.
We
illustrate
Example
5.22.
We consider a two0. For steady-state heat flow we have V*T The edge given by x 0, Q y < ois is the edge given by a: a, # < co.
228
The base of the slab given by y ^ x ^ a is kept 0, For the steady-state case we have by T /(x).
d*T
a?
If
,d*T_ ~
"ay*
we
let 2T
^"(a:)F(j/),
we obtain
1
as above
d*X
ld*Y
we have X T when
-j-
Our bound-
a for
all y.
if
Ake kx
BkC~ kx unless Ak
Bk
0.
However,
_-= X
dx*
= A k cos for -f #* sin kx. Since sin (rnrx/a) vanishes for x then provided n is an integer, it seems proper to consider
nirx v = B n X n sin a
.
and x
where
fc
rwr/a.
It follows that
d*Y
dy*
so that
nV *
a*
*
Y = Cn e (nir/a)v + D n e~ (nv/a}v
t/
We
infinite as
becomes
infinite
so
we choose Cn
Hence
r(or, y)
= B n D*e-<*'**
sin
~
(5.166)
where n
The final boundary condition is T(x, 0) =/(z). Equation is an integer. (5.166) cannot, in general, satisfy this boundary condition, unless, by choice, we pick V*T is a linear partial differential equation, and it is sin (nirx /a). (x)
Now
an easy thing
to
show that
00
T(x, y)
T A ^ n=0
(5.167)
is
also a solution of
twice term
by
term.
V 2 !T To
satisfy the
provided the series converges and can be differentiated boundary condition T(x, 0) f(x), we need
00
f(x)
=
n -
Y
n=0
L*
^sin
(5.168)
An
0, 1, 2,
DIFFERENTIAL EQUATIONS
Problem
for y
1.
229
for
Find a solution of V 2 F
6,
such that
V -
0,
0,
y
2.
F
the
o,
V -
for z
-f
Problem
By
method
d*V
dx 2
"*"
a*F
ay
2
67
a*
Assume 7(s,
Problem
3.
y,
Do
X(x)Y(y)T(t).
+ ~^ as
2
^
ay
2
- 4 ^?c 2 a* 2
in spherical coordinates
We
the
find
now
a solution of
V2 F =
method
is
of separation of variables.
equation
'
3V
I
.4-4-
ait, ,
R
/I
_
.
J. -L-
___
division
1
*tr
Assuming
F(r,
sin 2
0, <p)
=
2
'
JB(r)9(0)^(^),
we obtain upon
/ sm
I
_
by
d (
TT~ \ \
d#\
"^7~ )
/
sin
rf
c?6\
twv
)
~l
constant
Now
physically
we expect and
V(r,
desire that
B, <p)
7(r,
0,
2r)
Let the reader show that this implies that the constant be chosen as the square of an integer, that is,
Thus
$>
= An
1
cos n<p
+ B n sin n<p.
= "
1
fi
d ( 2 dfl\ V*
^J
1
eSO
de\
3 j
'
+
,
n2
/c
(
SETS
and
d ( 2 , r
RTr(
fc
r^ + 2r^-*.0
To
solve (5.171),
(5.171)
we assume
1)
m yields r [m(m
2m -
fc]
0.
Hence rm
is
rm
230
provided k = m(m
is
m(m
1)
1).
The
(m+1) is a solution of (5.171) for Similarly rmost general solution of (5.171) for k = m(m 1)
fc.
R(r)
= Cm r-
+ D m r-<+
(5.172)
need not have guessed at a solution of (5.171), for it is immediately The series r = is a regular singular point of (5.171). method of Sec. 5.10 could be used to obtain (5.172). Equation (5.170)
obvious that
We
now becomes
sin 6
~
(sin
0,
^J +
sin
[m(m
1) sin
- n
]9
(5.173)
If
we
let
fji
cos
dp
=
M2)
d6, (5.173)
can be written
~
(1
[m(m
2^0 +
[m(m
1)
J-5L-J
9 -
(5.174)
Legendre
differential equation.
(5.175)
Problem Problem
4.
6.
Deduce
If
(5.175).
<?,
is
independent of
that
is,
0, (5.174)
becomes
(5.176)
(1
2M
+ m(w
H-
1)P
with 6 replaced by P. For m an integer show that the solution of (5.176) in the Also show that 0, written P,(M), is a polynomial of degree m. neighborhood of n
^-0*)P(M) ^M -
for
5*
The
Pm (/*), m
more
is
0, 1, 2,
great deal
V -
F(r, 0)
V(r, B)
(A mr
B,,r-<-+'>)P,
(cos 9)
(5.177)
We have seen that the solution of Laplace's equation in spherical coordinates led to Legendre polynomials. The solution of Laplace's equation in cylindrical coordinates yields the Bessel function. In cylindrical coordinates
V2 F
becomes
DIFFERENTIAL EQUATIONS
231
,_
W
Assuming
V(r,
6, z)
3*F = . Q
(5 178)
'
,_
R(r)Q(B)Z(z) yields
Rdr\
If
dr
dz*
9
we need
an integer
v
(5179) *' l
we
desire F(r,
0, 2;)
F(r,
+
y
2ir, z),
9
so that B(^)
1
d02-
= A,
cos
^+B
i
sin
(5.180)
Similarly
d *z
7
so that
TT ~
^2
/
Z() = C**If
fc
+
if
D*e-*'
(5.181)
is
is real,
Z(^)
is
exponential,
(5.179)
and
is
trigonometric.
Equation
now becomes
If
we
let z
fcr,
/?
w, (5.182)
becomes
This
is
We
see that z
is
a regular
singular point.
Problem Problem
z
1
6. 7.
and
an integer.
v
the cases
integer,
integer.
Hint: Let
4s,
-T-,
and write
(5.183) as
(02
oe
-J-,,2)
w + xw a
Let
10
x*
o rxr
Wi(x)
Ax v/
'
(~x)
r-O
If p is
is
232
We define
kind of order
to be
An
is
+l (z)
J,(z)
(5.185)
To prove
(5.185),
we note that
/A"
V (-l)-(s/2)*
r-O
LI r!l>
r)
rv LI
oo
(-:
r\T(v
+r+
2)
\
r=0
r-O
Z / 4j
V
r=l
1
'
+
r\T(i>
r"+
\)
^2/
IT(v)
Ll
+r+
(-2
r\T(v
1)
However,
?! j (g) Jr(Z)
z
_ -
2j; /*v
W
^
lT(v
+
1)
V
Li
ao
/4)--
+r+
1)
4.
v
r-1
2J
Equation (5.185)
Problem
8.
is
1)
Show
that
/,_,(*)
- J,(g) -
2J' t (z)
(5.186)
DIFFERENTIAL EQUATIONS
Problem
9.
233
From
(5.185)
and
(5.186)
show that
\J v (z)
Problem
10.
-J'v (z) =
\i
Show
that
(2 j
Problem
11.
sinz
Show
that,
if
7*
ft,
>
X
1,
(' - 0)
JoV,(rf)J,(0)
dl
= -
[j
v (ax)
^^1 _ /
)[/,(ax)]
2
2a 2 f*t[J,(at)]*dt
(* -
-f
Problem
12.
From
tf,(at)J,(0t) dt
provided J(a)
J(ft)
0,
5^
j8,
>
1.
f*t[J,(at)]*dt
=[/v+i()P
differential equation
5.14.
Hermite Polynomials.
The
$ -,* +
arises in
(5.187)
quantum mechanics
oscillator.
harmonic
We
by
Hn
satisfy (5.187) for
(t)
(~l)VV2^g!_
n.
(5 188)
.
verify that
Hn
(t] is
From
so that
= n^B _i(<)
1.
(5.189)
Problem
Show
that
(5.190)
234
Problem
2.
show that
~? -
f + nH n
0.
From
(5.189)
we have
and, in general,
dr
Hn
dP
(f)
n(n
1N 1)
(w
+
,
and
=_H_
(0
(5.191)
From
we
obtain
<p(z, i)
v(z,
t)
//(/)
(5.193)
If v?(^,
can be found, then the Taylor-series expansion of <p(z, Hermite polynomials. If <p(z, f) does
t)
in
exist,
From
(5.189)
we have
n=l
n-1
Integration yields
^>(z, t)
=
where
M(Z) is
Thus
_|_
p'(z)]
(5.194)
DIFFERENTIAL EQUATIONS
235
From
(5.193)
we have formally
n=l
n=0
if //B+2(0
z m JH "
V
Li
so that
=
w-0
tHn+l(i)]
00
n-0
<n
eta
+ !)#) rr
(p
=
Making use
of (5.194) yields
M "(z)
Since z and
t
[M'(*)l
+
we
(^
f)fjL
(z)
+ zt =
must
-1
satisfy //
(5.195)
are independent,
0.
Now
/i(z)
2 2 /2 satisfies (5.195).
The
function
(5.196)
^(2,
/)
<-/*+*
There is no can be shown to be the generating function for the n (t). trouble in differentiating the series expansion of <p(z, t) term by term since <p(z, t) is analytic for all 2, t in the complex domain.
Finally,
we show
that
JS
Jjt
t}dt
=
n\
if
7*
ifm = n
5 197 )
'
We
consider
1=1 J
by parts
-*>
e-^H^HnW dt
/7mp-V
^C-D-H-W^r/*
Integration
jdelds
f^oo
rf<
(-l)-i n
tO
Hn -i(t)~^^-dt wW
Why?
236
If
m>
n, let
0.
/*^ dt If m = n,
n!
REFERENCES
Differential Equations," McGraw-Hill Book Company, Inc., New York, 1942. " Partial Differential Equations of Mathematical Physics," Dover Bateman, H.:
Agnew, R.
P.:
"
Publications, New York, 1944. " Cohen, A.: Differential Equations," D. C. Heath and Company, Boston, 1933. Goursat, E.: "Differential Equations," Gmn & Company, Boston, 1917. Ince, E. L.: "Ordinary Differential Equations," Dover Publications, New York,
1944.
Kells, L.
Inc.,
New
York, 1947.
John Wiley
&
Sons, Inc.,
New
York,
1941.
Petrovsky,
I.
lishers, Inc.,
CHAPTER 6
SERIES,
A function f(x) defined over the be thought of as an infinite dimensional vector. = x Let g(x) be defined also over f(xo) is the component of f(x) at x In vector analysis one obtained the scalar, dot, or the interval (a, 6). inner product of two vectors in a cartesian coordinate system by multiplying corresponding components and summing. Obviously we cannot sumf(x)g(x) for all x, a ^ x ^ b. The next best thing is to define
6.1.
Orthogonality of Functions.
(a,
interval
b)
may
S(f,g)
as the scalar product of /
f' f(x)g(x)
If S(f, g)
dx
0,
if
(6.1)
and
r&
g.
g are
(a, b).
Generalizing,
/ Ja
p(x)f(x)g(x} dx
(6.2)
we say that / and g are orthogonal relative to the weight, or density, function, p(x), on the interval (a, b). In Chap. 5 we noticed that 6.2. Generating Orthogonal Polynomials.
important classes of polynomials such as the Legendre, Laguerre, and Hermite polynomials arose in connection with the solutions of various In this section we shall show how to generate differential equations. orthogonal polynomials. The various theorems proved here will apply
to every type of polynomial generated. Let (a, b) be any closed interval,
p(x)
We
oo
let
f\ P(X) /
for a
>
for a
< g
< <
b
ft
The moments
Ja
by
x p(x) dx
n =
2,
0, 1, 2,
...
call p(x)
exist
and are
finite for
n =
0,
1,
....
We
a weight, or
238
We now
such that
P O (X) s
i,
/MZ),
/>,(*),
p n ( X ),
'
P(X) =
and such that
b
Z"
(TnX"-
(6.4)
f yo
3*
(6.5)
Condition
(6.5) states
that
P m (x)
and
P n (x)
the family
{Pn (x)\.
We
P n (x) has its leading mathematical induction to generate have already defined Po(x) = 1. Let
Note that
We
Pl(z)
ffi
To
fulfill
condition (6.5),
we need
fp(x)(x
<n)dx
(6.6)
The
limits of integration are omitted with the understanding that they remain fixed throughout the discussion. Equation (6.6) yields
[see
(ii)
and
(iii)
of (6.3)].
This choice of
o-i
Now assume that we have constructed the sequence of orthogonal Po(x). Pk(x) satisfying (6.5). We know polynomials P (x), PI(X), P (x),
2
. . .
that k
is
at least
We now
P k +\(x)
Let
while preserving
Pk+1 (x)
where
desire
cr
,
x*+'
+
+
1
cr
r (x)
(6.7)
0, 1, 2,
fc,
are
fc
undetermined constants.
We
(6.8)
Jp(aOP.(x)P*+i(x) dx
0, 1, 2,
With the
becomes
I
However, for
x k +*p(x)
(6.9)
provided
fc,
239
of
fc,
P*(#).
Hence
necessity
C
~ _
fs*
+1
p(x)
dx ) dx
_ - <U>
2,
.
,
( (6.10)
is
of c s exists [see (iii) of (6.3)], and the denominator of c from zero and is a linear combination of various moments of We leave this as an exercise for the reader. p(x), each of which exists. It is a trivial procedure to reverse the steps taken to derive the c a s = 0, of (6.10) are substituted into (6.7), one fc; that is, if the c 1, 2, P is shows that k+i (x) orthogonal to P r (#), r = 0, 1, 2, k, easily The principle of finite mathematical induction states relative to p(x).
The numerator
different
Pn(%),
Problem
\P n (x}
\
is
1. Prove by mathematical induction that the sequence of polynomials unique relative to the interval (a, b) and the density function p(x).
(0, 1)
and
for p(x)
We
generate
now
PI(#), P*(x).
""5 """T"^" Jo
so that l\(x)
|.
T.et
l\(x)
x*
+
=
a^Pi
A P
From
P
we have
/
Pi dx
x 2 dx
do
dx
so that ao
-J.
From
we have
Thus
(x
^)jc
2
dx
a\
(x
2 a-
dx
0,
so that ai
1.
P,(a:)
(x
i)
+I
Problem 2. For the interval (0, o) and for p(x] == e~* generate Li(x) and These are the Laguerre polynomials. Problem 3. Construct the Hermite polynomials HI(X), Hi(x) for the interval
(-00,
oo),
An interesting result concerning orthogonal polynomials is the followThere exists a unique set ing: Let Q(z) be any polynomial of degree n.
240
of constants
cn
such that
n
Q(X)
J C P (x)
r
Cn
discussion.
The constants depend, of course, on the family of polynomials under The proof is by induction. If Q(x) is of degree zero, say = then Q(x) = aPo(x). Assume the theorem true for all polyQ(x) a,
nomials of degree g k. Now let Q(x) be any polynomial of degree k k+1 a ^ 0. Then Q(x) aix Ofc+i, 1, Q(x) = aox k. our is of a By assumption degree ^ a<>Pk+i(x) polynomial
k
Q(x)
P k+ i(x) =
cr
so that
Q(x)
= Y
T (x)
c k +\
00
Problem
unique.
4.
Show
that
r ri r
0, 1, 2, 3,
],
Problem Problem
5.
Show
If
6.
Q(x)
for that $ P (x)x nP m (x) dx = > n. is a polynomial of degree < n, show that
{p(x)Q(x)Pn(x) dx
Problem
7.
Show
fp(x)x
P n (x)
dx
xn
1, 2,
(6.11)
P n (aO =
-f o*,,^"
Hrfx
and that
m 7* n if P m (x) is generated^ in the same manner. Equation (6.11) could have been taken as the starting point for developing orthogonal polynomials. & F* +< find a linear transformation x = rx -\- s such Problem 8. For a 7* 6=s -f> find a linear when x = a, x = 1 when x = 6. For a? that into f transformation which maps x = a into x = 0, x = + + oo Problem 9. Show that JxP B _iP n p dx JP^p dx.
for
<
5=0
>
6.3.
Normalizing
7*
Factors.
Examples
of
Orthogonal
Polynomials.
The constants
JPJ()p(a:) dx
n =
0, 1, 2,
...
(6.12)
Pn (x).
It follows that
241
We
by
.
<p n (x)
=
Tn
\/pW
Pn(x)
n =
0, 1, 2,
(6.13)
The
<p n (x)
They
property
^ dx
if i 7*
.
^.
The {<p n (x)} form what is known as a normalized orthogonal system of functions associated with the family of orthogonal polynomials {P n (x)}.
We now
list
Example
6.1.
Let a
0, &
=
1
with
p(ar)
1.
We
choose
-f
P n (x) From
/
4- a,jr
a 2x 2
x k P n (x) dx
=
^
for k
< n we have
yo
fc
^Ib
+2
k 4
j-
T =0
,
for k
0, 1, 2,
We
have
1, 2,
n, as follows:
We
+
.
^
is
<"+...+ +2
of necessity
"
-f
1
(k
l)(fc
+2)
+
A;
1)
frhere Q(k)
2,
. .
0, 1,
(see
2)
(k
-n +
1)
Lemma
1,
Sec. 6.4).
Thus
- n + 1) + (k 'k+n + l^(k+2)---(k+n + l)
fe
If
we
set k
l,
we
obtain
C(-D(-2)
1-2-3
242
so that
Thus
t~\
(0
l + ai 4. + l^fc + 2^
...
a + ^ +r+
'
A;
4. ^
...
4. +
fc
n . (-l) fe(fe
+n+
1
(A;
-
1)
.
-n
(r
(* -h 1)(* -f 2)
(fc+n
To
solve for o r
+r+
. .
.
and then
n)(-l)
2
set
A;
1).
This yields
(r
(-1)1
(n
r)
r!r!(n n
r)!
Hence
Pn (x)
^ r0
^ r-0
" 1)r
(r) (
is
U;We now
determine
/
F^(x)p(x)
c/x.
We
have
Pn (x)
2
dx
I*
aw
a H x n f\(x) dx
n
7=0
^w
ar
yo
n (~l) n!n! (2n + D!
J '^
r
Qr
r0
from
(a) above.
n+r +
n!yt!
_ ~
1
Thus
2
n)\n)
6.4.
^ /"^ (2n
(2")!
-f 1)!
(2n
.
2n
1)!
H- 1
The Zeros
the zeros of
interval.
of the Orthogonal Polynomials. We wish to show that P n (#) of Sec. 6.2 are real, distinct, and lie in the fundamental We first state and prove two lemmas.
If
LEMMA
1.
r is
a root of P(#)
0,
then x
r is
a factor of
The proof
is
as follows:
=
x
or
If
Q(#) H
-x
r
J?
P(x)
P(r)
Q(x}(x
-r)
+R
r).
0,
then
R =
so that P(x)
Q(x)(x
Q.E.D.
243
LEMMA
real,
2.
If
i
+i
+
-
then a
P(a P(a
Since P(a
ib)
ib)
= =
U(a, b)
+
-
iV(a, b) iV(a, b)
U(a,
b)
ib)
0,
we have
U = V =
so that
P(a
ib)
0.
the general theorem stated above. Let P n (x) be a real = If a b x is a of P n (x), then zero j* 0, ib, orthogonal polynomial. 2 2 s P n (x). This 6 is a factor of (a a) ib)] (x [x (a ib)][x
We now prove
factor
is
fundamental interval
(a, b).
Now
y
let
x\,
x2
. ,
This is true x = XN
.
P n (x)
=
(x
n.
(a, b).
Q(x)
xi)(x
x,)
(x
Ztf)Pn(z)
Let the reader deduce that Q(x) > ZArorQ(z) < for all x on 2, We have, however,
. . ,
for all x
(a, b)
on
(a, 6)
except for x
=
.
xi,
except for x
i, 2:2,
,XN.
p(x)Q(x) dx
since (x
x\)(x
=
Ja
0^2)
p(x)(x
*
*
(x
b
xi)
is
(x
- a*)PCc)
b
d^
(6.14)
XN)
polynomial of degree
or f
Ja
N<
<
w,
p(x)Q(x) dx
(6.14).
Hence
and
We obtain 6.5. The Difference Equation for Orthogonal Polynomials. now an equation involving P n _i(#), P n (x), and P n +i(z). We have
P n+ l(x) = X n+l + n +lX n + P n (x) = X w + (Tn^- + xP n (x) = n +l - n }x n + Pn+l(x) ~ Pn+i(z) xPn(x)
<T
'
'
'
SO that
(<T
ff
'
'
'
and
since x n
= P n (x)
(r n
xn
~l
.
Hence
P n+ l(x) - xP n (x) is
(*+,
(T n
)Pn(x)
= P n+l(x) 1.
(x
'
From
n-l
a previous theorem
P-M(Z)
(X
<r n
+!
(T n
)P n (z) =
Y
r0
Cr
P r (z)
n-2
'n^!
+ Y
C rPr(x)
(6.15)
244
multiply (6.15) by p(x)P n -i(x) and integrate over the interval Using the orthogonality property and the fact that
We
7*
we obtain
y*
c n _i7_i-
Thus
n-2
Cr
r (x)
(6.16)
r-0
is
r s
= 0, g n
for To show that c r = 2. a polynomial of degree at most n need n only multiply (6.16) by p(x)P 9 (x) 2, one 1, 2, Hence 2, and perform an integration over (a, fe).
. . .
P n+1 (x) -
(x
er
n+1
<r n
)P n (z)
+ -- Pn-i(x) B
Tn
1
n ^
(6.17)
Equation
polynomials.
Using
t/i
(6.17), it is
possible to
< x n are the zeros Pn+i(x) interlace in the sense that, if x\ < x < of P w (x) and if < y* < < y n < yn+i are the zeros of P M +i(a;), < y n < x n < n +i < b. We omit < X* < then a < yi < xi <
y<t
z/
this proof.
6.6.
The Christoffel-Darboux
Identity.
From
(6.17)
we have
(6.18)
P
so that
tt
+!(0
(t
<Tn+l
<Tn)Pn(t)
^
Tn-1
P-l(0 =
Pn (OPn+i(z) -(x
-
(t
l(0
dividing
P n (t)
and
(6.18)
by
P n (a;).
Subtracting and
..
Tn
nil
-
(6>20)
We
have also
Pi(x)Po(Q
To
Pi(QPo(g)
(s
<rj
To
en)
^ *
(x
QPo(g)P,(Q
To
(6.21)
245
we
let
1, 2, 3,
make use
of (6.21),
we
obtain
W (QP(X)
V
n-0
Pn(x)P n (t)
-0
Equation
kernel,
(6.22)
k (x; t),
is
We
define the
by the equation
Kk ( X
VA r p
n-0
X ^
r \p
'Wf' in
W
(f\
(6-23)
Problem Problem
10. 11.
Evaluate Kk(x; x) by L'Hospital's rule. d are distinct zeros of Pjb(), show that If x = c, x
k (c',
d)
0.
What
if
dl
Problem
12.
Prove that
f*
6.7.
k (x-, t) P (t)
dt
(6.24)
We may
redefine the
*
6 mn
if
HI
(6 ' 25)
1
by simply
= (l/7n)Pn(x), n = 0, 1, 2, ... (see Sec. 6.3). letting p n (x) Now let us consider a real- valued function of x whose Taylor-series expanWe have sion about x = exists.
6 26 )
-
We
x2 x8
,
. ,
xn
f(x)
=
n-0
(6.27)
It seems logical to ask whether a given function f(x) can be expanded in terms of the infinite sequence of polynomials
po(aO, Pi(a0, p(*),
. .
Pn(x),
(6.28)
246
If this is
we may
write
/(*)
=
n-0
To determine
the coefficients c n n
,
0, 1, 2,
we multiply
(6.29)
by
This yields
p(x)p k (x)f(x) dx
=
ja
c n p(x)pk(x)p n (x)
dx
(6.30)
n-0
(a, 6)
series
p(x)p k (x)f(x) dx
= y
n-0
cn f
ck
(6.31)
The
ck , k == 0, 1, 2,
If
I
"Fourier"
coeffi-
cients of f(x).
p(x)f*(x)
dx
exists,
we have
b
Ja
I" P (x)f*(x) dx l
J&
P (x)pl(x) dx
(6.32)
Thus
c*,
given by
ck
I p(x)pk(x)f(x) dx
2 p(x)f (x) dx exists.
0, 1, 2,
(6.33)
exists provided
Ja
of the Fourier
coefficients of f(x) regardless of the existence or nonexistence of the expansion of f(x) in the form given by (6.29). If the ck k = 0, 1, 2, . . n, of (6.33) exist, we can form the series
,
s n (x) is called
f(x).
With the
the nth partial sum of the Fourier series associated with aid of (6.23) and (6.33) we have
(6.35)
247
The
difference
s n (x) is called
- /(x) - (*) = b f(x)K n (x; t)p(t) dt K n (x; fa f' = f' K n (x;t)p(t)[f(x) -f(t)] dt
>
t)f(t)p(t) dt
(6.36)
JO,
since f
K n (x; t)p(t) dt
[see (6.24)].
Now
Jo.
so that
fn
(^ (pn+l(x} Pn (0 ja
p n +l(t) Pn (x)]
f(X}
f(t)
C
P (t) dt
(6.37)
The
x.
If
R n (x) =
the Fourier
6.8.
series,
Y
n-O
c n p n (^),
converges to/(x).
We
1, 2,
show
. .
first
,
that
R n (x) =
have
f(x)
s n (x) is
n.
We
Ja
[/(*)
s n (x)]p k (x)p(x)
dx
[ Ja
f(x)p k (x)p(x) dx
n
Ci
pt(x)p k (x)p(x) dx
i-O
c fc
t-0
c*
=
n
(6.38)
We
dx
fe
t-o
t|
(6.39)
The proof
is
as follows: Clearly
[/(x)
s(x)]V(x) dx
so that
l*j*(x)p(x)
dx-2
f(x)Sn(x)p(x) dx
f*
sl(x)p(x)
dx
(6.40)
248
However,
f(x)s n (x)p(x) dx
ck
f(x)p k (x)p(x) dx
-I
n
fc^O n
fc
and
s*(x)p(x) dx
= Y Y
c^c*
Pj(x)p k (x)p(x) dx
all n,
the
sequence sequence
tn
ef,
n =
0,
1,
2,
is
bounded.
Moreover, this
tn
is
monotonic nondecreasing.
exists.
f*(x)p(x)
dx^
cl
(6.41)
Formula
Problem
Why
is it
0?
n,
Problem
If f(x) is a
polynomial of degree
show that
dx
Problem
15.
For
(a, 0)
such that a
^ a ^
/8
assume that
^n
f
/
g(x)pn(x)p(x) dx
Jot
exists.
Let f(x)
g(x) for
a ^ x ^
/3,
/(r)
otherwise.
Show
that lim d n
0.
6.9. A Minimal Property of the Partial Fourier Sums. polynomial Q(x) of degree g n such that
We
look for a
/= f [/(*) -
Q(x)]*p(x)dx
249
f(x).
be a minimum.
Let
s n (x)
Then
Ja
P [/(*)
[/(*)
(*)
(*)
Q(x)]*p(x) dx
2 s(z)] p(*) dx
2 ["
ya
The second
s n (x)
integral vanishes
is
from the
Q(x)
a polynomial of degree
will
n.
The
Ja
/
first
integral has a
fixed value.
is
Hence /
be a
minimum when
[s n (x)
Q(x)]*p(x) dx
is
we choose
Q(x)
s n (x).
This
Let
is
Q n (x) be
to
/b
Ql(x)p(x) dx
17.
=
a
P(x).
Problem
to unity,
Let {P n (x)
of degree
P n (x)
n such that
Ja
P*(x)p(x) dx
is
minimum.
Without using
Ja
P.(x)P,(x)p(x) dx
if i
*j
(
Problem
18.
Show
that
-yj +1
<
7* for the
fundamental interval
1,
1).
Pl+i(x)p(x) dx
xP;(a!)p(x) dx
<
Pl(x) P (x) dx
6.10.
of
said to be complete
lim
dx = I* R*(x)p(x)
(6.42)
where
R n (x)
is
defined
b
by
(6.36).
From
2
Sec. 6.8
we have
n
[ Rl(x) P (x) dx Ja
so that (6.42)
is
ff (x) P (x) dx - Lj y Ja
00
c|
f Ja
f(x) P (x) dx
Lj
y d
(6.43)
We shall prove in Sec. 6.11 that the orthogonal polynomials generated above are complete for any finite range (a, b).
250
DEFINITION
implies f(x)
the vanishing of
A set of orthogonal polynomials is said to be closed if the Fourier coefficients of a continuous function f(x)
if
0.
b
In other words,
f(x)
is
continuous and
if
Jo.
I f(x)p n (x)p(x) dx
n -
0, 1, 2,
(6.44)
then f(x)
Problem
s
19.
0.
Show
is
a closed
set.
/b
*
.
.
x nf(x)p(x) dx
forn
0, 1, 2,
and conversely.
Completeness of the Orthogonal Polynomials for a Finite Range. (a, 6) can be reduced to the interval l^zglifa and b are finite. The famous Weierstrass approximation theorem states that a continuous function on a closed interval can be approximated arbitrarily closely by a polynomial (see " Courant-Hilbert, Mathematische Physik," vol. 1). In our case we wish 1 g x g 1 to within to approximate a continuous function f(x) on VV^o, where * is an assigned positive number and MO is the first moment,
6.11.
/i
f
is
P(X) dx.
states that
there
!/(*)
Q(x)\
<
-1 ^
(6.45)
We
Q by
m so that,
dx
m,
I J-l
and
[f(x)
^
-l
[/(*)
Q(x)]* P (x) dx
[f(x)
Sn(x)] p(^)
dx<
P (x) dx
Expanding
[/(x)
s n (x)]*p(x)
dx as
in Sec. 6.8,
we have
Jb-O
But
Y
t-o
c|
c|
<
f or
t-o
251
Since
J ~l
/
f*(x)p(x) dx
and
Y
o
cl
f^f*(x)p(x)dx=
This completes the proof
follows that for f(x)
[see
(6.43)].
1 =
cl
As an immediate
[
corollary
it
x nf(x)p(x) dx
0,
imply f(x) = 0. 6.12. The Local Character of Convergence of the Fourier Series off(x). We are now in a position to examine the Fourier remainder R n (x) [see Let us assume that the p n (x) are 1 g x ^ 1. (6.36)] for the range < <x>, uniformly bounded on this range. This means that |p n (z)| < a constant. Let 6 be any small positive num1 g x g 1, for all n,
n =
0, 1, 2,
ber.
Then
for
-1 g
/"so-
x*
f
\
U-1
Mn(,
&+
[xo+8
fl
*>(*,
7xo-5
Odt+
yxo-h
/info
*
J
(6.46)
where
XQ
[see
(6.37)].
o
"
is
2
-1 g
5,
g ^g
the
function
well behaved.
Hence
lim
n
>
oo
n (x,()dt = r*~\ ~
1
l
n_
lim f
y*o+
p n (x,
t)
dt
Hence
lim
n
>
# n (zo)
I!
We
need not worry about lim y n+i/y n since
n
*
<
=
y n +i/Vn
<
(see Prob.
Whether lim
n-n
f(t) in
R n (x<>)
is
the behavior of
the neighborhood of
If,
for example,
252
A =
n
near
XQ,
then
\R n (xo)\
for
sufficiently large.
$ 6M 2 A5 M o
it
Since
follows
that lim
n
R n (xo) =
0.
For a complete discussion of orthogonal polynomials the reader is urged to read G. Szego, "Orthogonal Polynomials," American Mathematical Society Colloquium Publications, vol. 23. 6.13. Fourier Series of Trigonometric Functions.
In the early part of the nineteenth century the French mathematician Fourier made a tremendous contribution to the field of mathematical physics. A study
of heat
motion
(see
Example
22,
Chap.
5) led
ao
+ +
fli
cos x
61 sin
to
+ a cos 2x + + bi sin 2x +
2
oo
=
At the moment
is-ao
+ X
n-l
a n cos nx
+ Y
n-l
6 n sin
nx
(6.47)
We
let us not concern ourselves with the validity of wish to determine a, n = 0, 1, 2, and 6 n n = 1, 2, From were valid. we have (6.47) trigonometry
. .
(6.47).
.
.
if
so that
-*
sin
nx
sin
mx
dx
TT
if
n n
7*
m
(6.48)
= m
/: r
sin
nx cos
mx dx =
mx ax =
7
/;
provided
If
cos nx cos
if
.ii
n n
5^
==
m m
m and
n are
integers.
multiply (6.47) by cos mx and integrate term by term (we are not concerned at present with the validity of term-by-term integration),
we
we obtain by use
of (6.48)
cos mxf(x) dx
m= m=
0, 1, 2,
...
(6.49)
Similarly
bm
r* - / sin mxf(x) dx T y ~T
i
1, 2, 3,
253
and
&'s of (6.49)
"
coefficients" of f(x).
These
the integrals of (6.49X.exist] regardless of the We can possibility of expanding f(x) in the series given by (6.47). The replace the interval ( TT, v) by the interval (0, 2x) if we so desire.
coefficients
can exist
results of (6.48)
and
Example
series
6.2.
We
1
x t for
v ^ x
^
by
ir,
has a Fourier-
development.
am
We
*
(6.49).
,
[
/
x cos
mx dx
cos
(
ir
(x
I
sin rax *
irJ-T
TT
5 2
[os mir
mir)]
m =0
-*
my-r
5^
If*. sm mx dx \
I
xdx sin
-;/.: x
Hence
f(x)
mx =
2
cos
m
2
for
m even m odd
m
2(sin
for
-|
sin
is
2x
sin
graph
sin
4x
(6.50)
periodic, its
is
given by Fig.
6.1.
We note
FIG. 6.1
that /(ir/2)
x/2
2(1
+J -
).
from
provided the series can be integrated term by term. Example 6.3. The function f(x) given by
f(x)
/Or)
will
-a:
-TT
x
or
^T
The Fourier
coefficientl of f(x)
i
254
fln
iry-ir
fen
cos
nx dx
+ T./0 f
x cos nx dx
n -i[(~l) 7&V
1]
/.
a;
sin
nx dx
=
a;
d#
Thus
Z/ L
00
^ w2
cos (2n
cos
00
l)x
I)
2
r
H
^ =
(2n
l
(-!)"
sin
(6.51)
For x
n-1
ao
Is
V /
n-l
/.^
1
7?:
?T
TT4
I)
"
"S"?
(^7i
In
complex-variable theory
it
(n
If
we
we
obtain
VI
00
TT
l^
71=0
limit process can
-^
~5~>
^ ne desired result.
The
be
justified.
TT
For x
?r
and x *
T Z/ n-1
(2n
I)
4
7T
'
^ =
(2w
1
I)
27T 2
Notice that^
r)
"^/W . The right-hand ?L^Z . = T, yields the mean of f(x) point, "#
JL
side of (6.51)
when
evalu-
The
is
given
by
Fig. 6.2.
2r
FIG. 6.2
3r
a;
255
\z\
>
0.
Then
/(*)
a nz n
(6.52)
where
that
circle
\z\
** 1.
On C we have
= e%
ie** d<p, so
00
/(*)
y
27rjo
a nz
a"
For
on the unit
circle
|z|
we have
= c* and
(6.53)
If
we
define
g'(^)
=s f(e t9 ), (6.53)
becomes
(6.54)
1
r 2*
2ir
Jo
Example
6.5.
We can
A
employ the
cients of f(x).
particular solution of
y"
is
4- n*y
- /()
(6.55)
given by
y(x)
f*f(t)g(x
0, 0(0)
di
where 0(x)
is
a solution of y"
-f
n2y
0, 0'(0)
=
dt
1.
Thus
(6.56)
sin n(x
t)
is
0, y'(Q)
0.
Evaluating (6.56) at x
2ir
yields
so that
6.
/(0 sin nt
dt
~ $|57)
initial
An
y(0)
0, y'(0)
0.
256
The height of the ordinate &tx = 2ir graphical solution can be obtained for y(x). Differentiating (6.56) and evaluating yields y(2ir), which in turn yields b n of (6.57). at x 2ir yields
f(t)
cos nt dt
y'(2ir)
(6.58)
Problems
Find the Fourier
x <ir:
1. f( x )
TT
<
= = = =
< x ^ 0, f(x) - 1 for < x < <x < e* for -TT < z < cos x for <x < cos a for ^ a 5^ 0, /(x) = cos x otherwise
for -TT
ir
|s
for
--n-
ir
ir
TT
ir
|a:|
6.
is,
f(x)
= f(x).
Show
that
ir
f(x)
TT
sm nx dx =
7.
is,
f(x)
f(x).
Show
that
an
7T
/"*
J -TT
/(x) cos
nx dx
=
of
8.
written as the
sum
function.
9.
|sin x\,
IT
^ x ^
6.14.
Convergence
We wish now
i^o
+ y
l
a n cos nx
+ V
b n sin
nx
(6.59)
an
1 f = /
* J
7T
cos
-
?ii
d<
n =
0, 1, 2,
...
-ir
/"*
bn
1 = _
/() sin
First let us consider
J -TT
Some preliminary
lim
r ~
F(t) sinktdt
(6.60)
we feel that for very large k the function F(x) sin kx will be about as often as it is negative (with the same absolute value) positive since sin kx will oscillate very rapidly for large fc. Since the integral
Intuitively
~* /F(f)
,*
sin kt dt represents
an
area,
we
shall not
be surprised
if
lim
&
(6.61)
257
It is easy to see that Certainly much will depend on the nature of F(x). w ^ x ^ TT. (6.61) holds true if F(x) has a continuous first derivative for
Integration
by parts
\
7
yields
j
f*
/
F(x) sin kx dx
EI/
J -IT
F(x) ^~ cos kx #
fc
+
.
y /C
f* F'(z) cos y _.
fcx
dx
From
it
jF'(z) is
interval
TT^X^TT
follows immediately that (6.61) holds true. Actually we can weaken or make less stringent the conditions on F(x) in order that (6.61) hold true. Nothing need be said about F'(x). Let 2 be on the interval TT ^ x ^ TT. now and F(x) [F(x)] integrable
We
define
s n (x)
by
cos
'
fcx
+
A-l
kt dt
6 A sin
fco:
(6.62)
ak
= =
bk
1 ^"
/"*
J ~T
F(t) sin
fc<
s n (x) is
sum
of F(x).
Note that
s n (x) is
finite
trigonometric
(F(x)
Moreover
s n (x) is
continuous.
From
(*)]
[*(*)]*
2F(x) Sn (x)
we have
sn
)P<fc
/* y-ir
[F)]
ctt
One can
easily
show
r " F(o.(o ^
^+ y
,
(oj
+T
From
"
-(aj
[F(t)
s n (t)] 2 dt
we deduce that
258
The
is
is
bounded by
the constant*"
[F(i)]*dt.
Hence
This
is
verges, of necessity,
lim a*
fc-oo
lim 6*
fc-*
lim bk
*-*<>
is
simple class of functions which are both integrable and integrable square is the set of functions which have a finite number of bounded discontinuities in the sense that
if
a:
c is
/(a;)
and lim
X
C
/(a;)
X<C
write
X>C
lim /(*)
x
e
= /(c-0)
=/(c
lim /Or)
X
*C
+ 0)
x>c
A function which has a finite number of bounded discontinuities of the type described above is said to be sectionally, or piecewise, continuous. Now let/(z) be sectionally continuous for TT ^ x ^ ?r, and assume that = f(x). We make use of the 2?r) f(x) has the period 2v, that is, f(x It is not necessary, however, that periodicity of f(x) in (6.67) below. = /( TT), since the value of f(x) at one point does not affect the value /(IT) In most cases /(x) is defined only for the of the integral [see (6.67)].
interval
IT
at other values of x
IT. We*easily make f(x) periodic by by the condition f(x + 2ir) = f(x).
defining f(x)
partial
sum
of f(x)
can be written as
s n (x)
-^
f(t) dt
f(t)
cos kt cos kx dt
sin
j /_'/(0 [j
cos
Jb
x)]
<
259
s n (x) is
possible to
s n (x) is a finite trigonometric series and that As long as the Fourier coefficients exist, it is always construct s n (x). Thus s n (x) exists independent of the possible
development of f(x) as a Fourier series. We desire to show that, under suitable restrictions concerning the
derivative of /(#),
first
lim 8n(x)
n
i[/(s
+ 0) + f(x x) x)
-j-
0)]
(6.65)
From
e wci-)
x)
_
__
i s i n fry
i
sin ^(1
_ _
x) x)
/(x + if JIT
.)
*LfrL+ 2 sm (w/2)
(6.67) v '
The last integral results from the fact that the integrand has period From (6.66) the reader can deduce that
:
2*-.
v j _ T z sm (u/z)
so that
du
/ (x)
Gin
(in
JL
2 _
1 /"*
/
and
.(x)
- /(*) =
[/(*
+
!
- /(x)]
/(x)
7T~-
/(x
v J -r
M -+-u-^ 7/n\ sm
w) -
sin (w/2)
/ ( v
and define
~
will
M
if
2 sin (w/2)
/'(x) exists, for in this case
be sectionally continuous
lim F(u)
*
/'(x)
sin (n
+ ?)u du =
(see Prob.
2 of this section).
260
if
TT g x g ?r and is sectionally continuous for /(x) has a period 2w, then, at any point x such that /'(x) exists, the Fourier series of }(x) given by (6.59) converges to/(x). It may be that/'(x) does not exist at the point x but that
lim u-0
;i
/(*
u)
f( X
0)
= f(f
+ Q)
u-,0
= l/(.+u)-/(x-o) W
W<0
do exist separately. We call f'(x + 0) and f'(x 0) the right- and lefthand derivatives of /(x), respectively. Now let the reader show that
f(x
+ u)~ f(x +
w
/(
T Jo o
TT
- + )-/(-0)w
and/'(z
j-^
- !
0)
T/ w
.
u
7T-'
sm
T~AV; s (w/2)
n(n
It follows that
if
f'(x
0)
0) exist
then
0)]
lim 8n (x)
n
= Hf(x
0)
+ f(x -
(6.68)
We formulate
THEOREM
and
let /(x)
6.1.
the above results in the following statement: Let f(x) be sectionally continuous for TT
?r,
/(x)
has both a right- and left-hand derivative the Fourier series of /(x) will 0) converge to the mean value of /(x) at x defined by |[/(x /(x 0)]. It should be emphasized that a sufficient condition for /(x) to be
written as a Fourier series has been given. There are no known necessary and sufficient conditions for /(x) to be developed in terms of a Fourier
Study of the Lebesgue integral yields greater insight into the development of Fourier series. References to this line of study are given at the end of this chapter.
series.
.
Problems
1.
From
the identity
2 sin
cos ku ^ z
sin (k -f
?)u
sin (k
i)w
deduce that
n
Lj
fc-i
V /
n,
cos ku
- -
+
,
sin (n -f i)u *
n 2 sin (w/2)
.
.
Hint: Let k
1, 2,
and add.
261
Under the
and
lim
n-*oo
/ /-
F(t) sin nt
lim
n _>,c ./-*
is it
/ y-T
0?
Show
that
./
f* F(0 -
sin (n
+ ?)t dt -
0.
Let f(x) have a continuous derivative for v ^ x ir, so that x ^ w. Show that the Fourier coefficients of /(x) satisfy
|/'(x)|
<
Af for
|o*|
< ?M
1, 2, 3,
What
4.
upon
f(x) so that
TT
|6*|
< 2M/kt
T.
Let/(x) and
[/(x)]
Consider the
finite
trigonometric series
n dk cos
fcx
Sn (x) =
-|ao -f
^
k=l
2^
6* sin
kx
k=l
a
Show
that
j -if
<*fc
[/(x)
S n (x)] 2
^
J -7T
/"* y -TT
/
rfx is
minimum
rfa:
A:
for
= ~
7T
/(^) cos
fcx
=
=
0, 1, 2,
...
.
b*
TT
/()
sin kx
dx
1, 2, 3,
6.
6.
Let/(x)
TT
sin (1/x),
If /'(x) is sectionally
1.
TT
for
7.
<
<
is
TT.
If /(x)
+ T/3) = /(x),
show that
its
-jr
nl
8.
41
y an
cos 6nx -f
y n n=l
sin 6nx
0(x).
Let (a n b n ) be the Fourier coefficients of /(x), ja n 0n! the Fourier coefficients of Find the Fourier coefficients of
,
,
MX) 9.
/(^ -t)g(t)dt
into a
^ x ^
6.
//
i
(x) sin
ax dx
/ ^W
/(x) sin
ax dx
n
Jxi-i
i-i
n
"
**
/ Lt t-1
Jxi-i
[/(*)
""
/fo-0]
sin
ax dx
+ Y
L~t
*'
Jxt-i
t-1
262
From
..
/6
l
ax dx
~
x
6.
Extend
on a
6.16. Differentiation
We
and Integration of Trigonometric Fourier Series. have seen that under suitable restrictions the trigonometric Fourier
converge to /(#). of a Fourier
00
Now we
series.
term differentiation
series
expansion of f(z).
00
If
n-0
LJ
>
^
r.
\z\
<
r.
we
know
that
n
V
=
l
a n nz n
will
\z\
<
In the case
of Fourier series, however, a simple example illustrates that the new Fourier series obtained by term-by-term differentiation may not converge The Fourier series of /(x) = x, IT < to/'(x) even though f'(x) exists.
?r,
is
given by
2(sin x
^ sin 2x
+ +
sin
3x
-j
sin
4x
+
)
Term-by-term
differentiation yields
2(cos x
cos 2x
cos 3x
cos 4x
This series cannot converge since cos nx does not tend to zero as n
becomes
infinite.
Certainly term-by-term differentiation of a Fourier series leads to a new Fourier series. If this new series converges to/'(x), we shall wish to
make certain that /'(a;) has a convergent Fourier we have seen that a sufficient condition for this is
/'(
series.
From
Sec. 6.14
continuous and that /'(x) have periodicity 2ir. Let the reader show that, if f(x) is sectionally con?r) =/'(TT). Furthermore if /'(x) has periodicity tinuous, then f(x) is continuous.
the reader can
6.2.
2?r,
show that/(
2?r.
TT)
/(TT) is sufficient
to guarantee that
:
We state
THEOREM
Let f(x)
and prove now the following theorem be continuous in the interval TT g x ^ TT,
/(ir) = /(TT), and let/'(x) be sectionally continuous with periodicity 2ir. At each point x for which f"(x) exists the Fourier series of /(x) can be differentiated term by term, and the resulting Fourier series will converge
tof(x).
The proof
is
as follows:
From
00
/'(x)
aj
+ Y
nl
a' n cos
nx
+ Y
n-l
b' n
sin
nx
263
f'
I
/'(x) cos
nxdx
nx dx
0,
1,2,..
.
.
.
J
/
IT
&n
1 -
/"*
/'(*) s in
n =
1, 2, 3,
IT./-*
a' n
= =
/(x) cos nx ~ 7T
|
* J -v /(x)
sin
nx dx
f'IT
T
since /(
TT)
J -7T
nx
rfx
= nb n
/(?r)
by assumption.
b' n
oo
of/(x).
Similarly
= -na n
oo
so that
/'(x)
=
2,
~~
na n
sin
nx
+ Y
nl
nfr n
cos nx
(6.69)
n-l
The Fourier
series of (6.69),
however,
is
term-by-term differentiation of
00
00
/(x)
-^a
+ X
fln
cos nx "^
L,
nx
This proves the theorem stated above. We turn now to the question of term-by-term integration of a Fourier series. The reader knows from real-variable theory that integration tends to smooth out discontinuities, whereas differentiation tends to introduce discontinuities. As an example, consider the function /(x)
defined as follows
:
/(x)
=0
=
x
for-oo<z^0
for for
1
/(x) /(x)
=2
^ <
x x
g <
1 oo
and at x = 1. Moreover /(x) is disconf(x) does not exist at x = = tinuous at x 1. However, the Riemann integral of /(x) defined by
is
continuous for
does not
exist.
oo
discontinuity of /(x)]
/'(O)
x < At any point x y 1 [x = 1 is the only we have F'(x) = /(x). Thus F'(Q) exists, whereas Let the reader show that F'(l) does not exist.
<
264
term.
We find that very little is required to integrate a Fourier series term by We state and prove the following theorem:
6.3.
THEOREM
If s-a
?r
TT.
+ Y
n-l
a n cos nx
n-l
2&
oo
sin
nx
is
oo
/(x)
dx
(x
TT)
+ y
sin
nx
nl
nl
(6.70)
(cos
nx
cos
/ITT)
whether the Fourier series corresponding to /(x) or not. converges Equation (6.70) is not a Fourier series unless a = 0. The proof is as follows: Since /(x) is sectionally continuous and hence
Equation
(6.70) holds
Riemann-integrable,
we note
F(x)
by
(6.71)
|aox
is
continuous.
Moreover F'(x) =
If
From (6.71) it can easily verify that F'(c - 0) and F'(c 0) exist. follows that F(TT) = F(w) = ^aw. F(x) can be made periodic by
continuity of /(x).
c is
/(x) ^ao except at points of disa point of discontinuity of /(x), the reader
defining F(x)
for
|x|
>
TT
2w)
F(x).
From
0)
+ F(x -
0)]
- ^A Q
+
cos nx
An
cos nx
sin
nx
or
F(x)
- $A +,
An
J5 n sin
nx
(6.72)
since
F(x
0)
= F(x
0)
Integration
by
parts yields
An =
F(x) cos nx dx
sm nx
1
/"*
/
~
3
f*
F"(x) sin
mr J/ _ T
^ ao
]
nx
WK J
[j"(^)
sin
TXJJ
dx
_1
mnxdx= -i n
265
Bn =
(l/n)a w
We now
00
write
00
(%)
= i^o
/
L~i
- 6
cos nx
/
L-4
- an
si sn nx
00
From
F(ir)
= ^a Gir we deduce
that AQ
7r
/ ^ ^V =
l
- 6 n cos
TITT.
Using
Q.E.D.
Problems
1.
Differentiate
3, 4, 5, 9, Sec. 6.13, 2.
1, 2,
Sum
the series
1
-I +1_I+ 5 33 73
-T
3
1-
+_T+11_
1
t-
+ f
'
'
'
(2/t
j),
3. It
/' (x) is
= /( TT), and if can be shown that if f(x) is continuous for TT ^ x ^ TT, f(ir) TT ^ x ^ TT, then the Fourier series of f(x) consectionally continuous for
TT
TT.
Multiply
oo
fW
by
iao
+
n
/ =1
an cos rue
-f-
y
n=
1
6 n sin
nx
is
new
series
converges
dx
This identity
6.16.
oo
is
due to Parseval.
Integral.
is
If f(x) is defined for x on the range not periodic, it is obvious that we cannot f(x) a trigonometric Fourier series since such series, of represent f(x) by We shall show, however, that under certain be must periodic. necessity, conditions it will be possible to obtain a Fourier integral representation
The Fourier
<
<
oo
and
if
of/(x).
THEOREM
interval
oo
6.4.
fr),
finite
(a,
range
x,
<
x
x
< <
oo,
oo
,
J ~oo
its
|/0*OI
dx
= A <
oo.
At every point
oo
<
is
represented
by
\\f(x
+ 0) + f(x -
0)]
da
f(t)
cos a(t
x) dt
(6.73)
266
We
i[/(x
0)
+ /((x which
())]
lim - I
a-*
oo
dt
(6.74)
7T
Ja
at
any point x
for
<
<
b.
Now we
/_/<'>
For a
^T^hr
(6.75)
<
x we observe that
sin a(t
dt
<
for
\f(t)\dt
The convergence
such that f or a
of
/ 7oo
|/(OI dt
shows that
any e/2
>
an
exists
^ A
f(t) sin a(t
,
x)
dl
<5
>
a number
independent of a. Similarly one shows that for any e/2 exists such that f or b ^ B
f
f(i) sin
A
independent of
differ
a.
rr
side of (6.74j can be
a(
made
to
from
dt
oo
7T
by any arbitrary
*[/(*
0)
+ f(x x)
0)]
Urn ax 7T /""oo
J
sm
f(t)
<*(*
I
~
X
*)
dt
(6J6)
Now
i[/(
cos p(t
dp
=
=
Jo
^
t
x
/""
so that (6.76)
a
may
be written
0)
+ f(x -
0)]
lim ->
TT
f
f(t) dt
/
_,
?
cos
/*(*
x)
dp
yo
(6.77)
Before
we pass
to the limit as a
we wonder
if
we can interchange
267
Let us
cos n(t
first
consider
f(t)
x) dt
Y
x a parameter and
a,
fixed.
is
continuous.
For
fj.
MO
we have
(t
x)
cos M o(^
r)]
/y
/(J)lcos M(
cos MO(
cos no(t
x)] dt
f(t)[co8 n(t
ip
x)
a;)]
dt
|/00
dt,
and the
I
than 2
j
\f(t)\ dt.
Since
we
|/(/)| dt exists,
T can
less
>
0.
is
obtained after
x)
M,
e is
chosen.
x)
From
cos n(t
p.
cos
/IQ(
(fj,
/xo)
sin
ji(t
x)
between
/i
and
we note
is less
than
Since f
\f(t)\
dt
is
= A
is
finite
number, we can
po\
find
6
>
so that the
middle integral
<
<
e/3A.
Hence
for
any
>
there exists a
>
such that
|G(M)
-GG*o)|
<
for
\fjL
/x
<
/x
5.
This
JJLQ
is
is
continuous at
Hence
x) dt
H(a)
dp
f(t)
cos p(t
exists,
and
dH = -7
ttOf
/**
/
f(t)
00
cos n(t
x)
dt.
By
/.(
considering
/(<)
cos
x)
dn
let
-3
Since X(0)
H(0), of necessity
COS M
268
by
(6.73).
If f(x) is
continuous at
x, (6.73)
may
be written
f( x )
da I / * JO J-
f(t)
cos a(t
x) dt
(6.78)
From
cos a(t
x)
= Ke^'-o
e-*<*-'>)
}(x)
^
ZTT
^
/
da
e
j^ /(Oe*<-'>
da
7 -
dt
= _L
Equation
(6.79)
j _
f(t)e-*< dt
(6.79)
oo
=
=
"75=
g(a}
is
f(x) is called the inverse Fourier transform of g(a). more rigorous treatment of the Fourier integral requires the use of the Lebesgue integral.
Example
and/(x)
6.6.
We
e~ 0x for x
consider the function f(x) defined as follows: f(x) = for x < Fourier's integral certainly applies to this function, 0, ft > 0.
/
g(a)
|/(x)|
dx
exists.
From
(6.79)
= -4=
-"-* dt = -4=
TTT^-
ft
cos
ax
-f
Q sin ax
sin
'
From
i
7T
JO
r
o
cos ax
+
>
I
ax
~
1
TT
;o
[
aX
4-
sin
ax
,
COS ax _
a_ sin ax
269
v JL
a -Bx
cos ax aa; j
2
1 ,
p* -f-*
T ~** e
2
/"
-asinax,
"
Jo
Let the reader obtain (6.81) directly by contour integration. Example 6.7. Suppose /(x) is an even function. Equation (6.78) can be written
o
/(x)
/*
oo
oo
da
oo
f(t)
COS
/
COS aX
eft
=
If
O TT
/*
oo
cos
ax dx
f(t)
cos at dt
;o
Jo
(6.82)
we wish
e~
= f*
cos a^/(0
rf/
for /(x),
we apply
(6.82)
and obtain
/(x)
2
7T
/"
JO
e~ a cos
rfj
TT!
X2
Notice that /(x) is an even function and that this function for the application of the Fourier integral formula.
Example
6.8.
Let p
is
-^
aop
lfjlt
simple example
Z(p)
-f a\p
n~l
++
= 0(0
r
/
Z(iu>)e^
t
.
A
etc.
a n -\p
a n where p 2
,
d2
-,-->
We
Z(p)0
t
(t)
(6.83)
We assume that the input O (0 is given, and we output that (6.83) will hold. Let tf(w) and (w) be the Fourier transforms of
desire to find the
(0 such
t
(0
and
(0, respectively.
Then
i
=
27T
ff
! () = ~7^:
(6.84)
2r J V VJ
i
6-*'e (0 d
e
li
and
r
/
Q,(Z)
/=
=
"H
(u)
du
'
eo(0
Substituting into (6.83) yields
^/-.
H *^
dw
" //oMd
Z(p)
)_
elt
tto
]_
^.() d"
may
HoM du
**
e ttu
d<*
270
range of
t,
it
Hence
0.(l)
Z(p)
is
and
its reciprocal,
Y(p),
is
called the
transfer function.
We now
8
fl
have
-
(0
c"jSr,(
Making use
of (6.84) yields
^ =
where
y(t
Too
Too
JTT
-*
Bi(T)F(?w)6UU
oc
(t
r)drrfco
f y-oo
e,(r)j/(/
-r)</r
(6.85)
r)
ZTT
oo
F^)^'-^ dco
Equation
We
(6.85)
have assumed that the order of integration could be interchanged. can be written
(0
9.0
r)y(r) dr
(6.86)
Let t (< T). y(r) is appropriately called the memory function because of the term the reader compare (6.86) with the particular solution of a linear differential equation with constant coefficients given by (5.71).
No attempt
made
example.
Problems
1.
is
an even function.
Show that
x
?[f(x -f 0) -f f(x
0)]
r
I
da f
f(t)
cos at cos ax dt
If /(.r) is
?lf(x -f 0) -f f(x
0)]
? f
"
rfa
f" jf(0
sin a* sin
ax
dt
2.
for
Find the Fourier transform g(a) of the function /(x) defined as follows :/(x) for x > a. < 0, /(x) = I/a for ^ x ^ a, /(x) Find lim g(a).
3.
/(x)
for /(x)
denned as follows:
/(x)
=*
for
<
0,
for x
* cos ax
-f-
sin
ax
-w
< _
>
ve~ x
for
271
Consider g(a)
/ J-
f(x)
0.
Show
that
g(a)
la
6.17.
We
differential equation
^)
which can be written as the system dx di
di/ -j.
(6-87)
= =y y
= -x is
(6.88)
rf(x, y)
The
solution of (6.87)
f or
= A
cos
(t
B),
^=
-Asin(t
+
A
B)
The method
and J5 in the hope that an of Kryloff-Bogoliuboff is to vary be found. This is essentially the to solution (6.88) may approximate
variation-of-parameter method discussed in Chap. We write
5.
x
y
= =
r cos 8 r sin B
and obtain
dx
-7-
dr
-j-
cos
.
r
.
sm
-dB
6 -rr dt
.
dt
dt
dB dr dy = __ _ sm<,_ rcos 0_
cos B
sin B
r sin
-77
=
=
r sin B
dt
-r(Zt
at
r cos
-77-
r cos
dv
M/(^ cos
r sin 0)
0,
r sin 0)
dr
so that
-77
0,
-r
For the range
<W j-
(6.89)
= -r -
0,
-r sin
0)
of values
(r, 0)
such that
cos
0,
fj,f(r
r sin 0) <3C 1
272
one has to a
approximation
(6
M)
Integration yields 6
do
t.
We
replace
of (6.89)
by
+
0)
so that
~
Since
interval
-^-
sm
(0o
t)f(r cos (0
t),
-r
sin (0
(6.91)
<C
en
1,
27r). Integrating (6.91) on this basis (t, t stant on the right-hand side of (6.91)] yields
assumed con-
r(t+2ar)-r(t)
=M
t
&& (0o+0/fr
^ f(r cos
^,
cos (0
+0,-rsin
d^
(6.92)
I"
sin
r sin ^)
=
where
MF(r)
F(r)
=
\fr
r 2v
I
sin
\l/
f(r cos ^,
r sin ^)
r sin ^) <i^
(6.93)
The
periodicity of sin
integration.
Thus
- -UK
t
-r(t
f(r cos ^,
introduced the
new
limits of
27r)
r(Q
a?
"S^W
r(t) for
t
ranging
from t to
dr
27T.
Since
<K
1,
r(t)
can be replaced
by
-^r itself,
This yields
~ F(r)
r(t).
(6.94)
The integration of (6.94) yields the first approximation for same method applied to the second equation of (6.89) yields
-
The
-f
ZiTTT
/
I
cos
o
\f/f(r
cos
\I/.
r sin ^)
d\I/
(It
and
with
G(r)
=
I
+ ^;<?(r) 1
^-,
<
(6.95)
*cos^/(r cos
rsin^)d^
(6.96)
273
tions,
Example
Van
is
Here f(x,
y) =
(1
x z )y, and
f(r cos t,
r sin
*
^)
=
r2
(1
r 2 cos 2
^)r sin ^
so that
F(r)
P* sin
^(1
cos 2
tf)
d^
nr
- (l
Equation
(6.94)
becomes
whose solution
is
r(0
r===2
(6.97)
At
0, r(0)
For
5^
we have
lim r(0
Since
r2
x 2 -f
37
j
2
2/
>
we note
that to a
first
plane
x,
2 *
r2
4.
From
(6.95)
we
obtain G(r)
so that
0o -h
t,
To
Let
x (t)
we proceed
as follows:
r(t)
cos ^(0
fux(r)
a n (r) cos n
sn
*and let us attempt to make (6.98) a solution of (6.87). r(t) and 0(i) will be taken as the first approximation given by the solution of (6.94) along
with
4,
(6.95).
We
shall
....
Terms involving
dx
dr
n (r), n = 2, 3, attempt to find (r), a n (r), 2 From (6.98) we obtain will be ignored. /*
sm
d6
-TT
\^
M
dt
L^
00
ttn
n sm nO -j.
dd
dt
Zjn
n$ n cos n0 j-
(6.99)
274
mi
at
1S
dr
tne order of M
j and so
is
"Wdt
da n dr _ ~~
dp n dr
__
da n nrj Zx dr
ju
,
dp n
__
M dp n
<
dt 2
= -2 ~ -.7
dt dt
sin
r cos
n
-2
sin n^?
(6.100)
Terms involving
>
Moreover
at
irr
G(r)
d<
27T
when we
d r
2
M(r)
-F(r)
7T
sin
-C?(r) cos
7T
ju
n2
l)/3 n
~~q
(n
l)
cos nd
sin M0
nf(r cos
0,
-r
sin 0)
(6.101)
n-2
In the term p,f(x, x) we have replaced x by r cos 0, x by 2 neglecting terms of the order of M Since the left-hand side of (6.101) is a Fourier series,
-
r sin 0,
again
the
we expand
series,
00
/(r cos
0,
-r
sin 0)
(r)
+ V
n-l
a n (r) cos nB
+ V
n-1
6 n (r) sin
n0
275
= =
H~
1 TT
^ Jo
/ /
{*
f( r cos
~~~
0>
r 8 ^ n 0)
^
dd
a n (r)
P*
Jo
0,
r sin 0)
n =
1, 2, 3,
...
&n(r)
i p* sin = / * Jo
ndf(r cos
0,
r sin 6)
dd
Equating
F(r)
coefficients of cos
= /p*
Jo
6,
-r
sin 6) dd
G( r )
= P*
/
0,
r sin 0)
d0
yo
a (r) a n (r)
= =
JZTT
r~2
ir(n
0n(r)
-7-5
Jo
rr
*/( r cos
0,
-r
sin 0) d0
(6.102)
cos
710
L)
JQ
r 2ir
/
/(r cos
0,
r sin 0)
dB
n - 9 J,
sin
~
tJ,
4,
TT
1)
nOf(r cos
0,
-r
sin 0) dB
TT(n*
JQ
The
definitions.
values of F(r), G(r) given by (6.102) agree with their previous It can be shown that x(t) given by (6.98) satisfies (6.87)
2
/u
for
<
-
<*>
In Example
6.9, f(x, x)
(x
l)i, so
that
s
(r
r
\
J
r8
sin &
sin
36
- -
n -
2, 3, 4,
*(r)
/3(r)
g
n is
=0
2, 4, 5,
first
approximation
x(t)
r(0 cos
(tfo
-M
sin 3(d
(6.97).
Problems
1.
The
^
differential equation of
s
tf
a simple pendulum
is
&
-f-
(g/l) sin
0.
Take
sin a
/6,
of oscillation
amplitude. 2. Solve x
3.
+ x + iub\\
4H- ^(sign
1,
for the
1,
Solve
0,
A(
for the
276
4.
Show
6.
-f
Mx 2
(6.103)
dx
-dt
=y
(6.104)
---,
such that, at
t
=
,
= x,
i/
i/o,
ZD.
Tin solution of x
1
4- x
is
x(t)
= A
-77
-f
B
B
cos
(/
-f
C)
/f
gin
-f-
0),
cos
(/
-f
Tins
suggests
the
trans-
formation
x
y
z
w
= =
7
/
cos
sin
cos 6
(6 104)
in
first
= WT
dt
and
iu(0
~~
o
"
~
r
Wltil
^ +
^o)
REFERENCES
Carslaw, H. S.: "Introduction to the-Fouiier's Series and Integrals/' Dover Publications, Inc.,
New
York, 1930.
Chin chill, R. V.: "Fourier Scries and Boundary Value Problems," McGraw-Hill Book Company, Inc New York, 1941. Conrant, R., and D. Hilbert: "Methoden dcr Mathematischen Physik," Springer,
Veilag OHG, Berlin, 1931. Franklin, P.: "Fourier Methods," McGraw-Hill 1949.
Book Company,
Inc.,
New
York,
W. Edwards,
Publisher,
Ann
Sneddon, I. Company, Inc., New York, 1951. Stoker, J J.; "Nonlinear Vibrations," Interscience Publishers, Inc New York, 1950. Szego, G.: Orthogonal Polynomials, American Mathematical Society Colloquium,
,
CHAPTER
Functions of Bounded Variation. In an attempt to define arc length of a curve one is led to consider functions of bounded variation. Let us consider a simple curve, F, given parametrically by x = f(t), Two distinct values of i are assumed to yield two <p(), a ^ I ^ /3. y distinct points on F, so that as t varies from a to 0, the point P with coordinates x = f(t), y <p(i) moves continuously from one end of the curve to the other without retracing its motion. We now subdivide the
7.1.
=
tk
to
<
=
ti
<
tz
<
'
<
tk
<
k+ i
<
'
<
Jn-i
<
in
=
=
<p(4),
For t Pit on
Pk
with coordinates x k
f(tk), yk
F,
A*
n.
The
Pk
is
given by
The sum
is
Now
if
?(fc-i)]
}*
(7.1)
for
all
manner
of subdivisions of
ft
a constant
exists
such that
71
*"'
(7.2)
sity,
< \/2 A. Since the set of numbers {S n is bounded, of necesa least upper bound (supremum), L, will exist for this set. We define L as the length of arc of F. For a discussion of the supremum see Chap. 10. Conversely, one easily shows that if the {S n are bounded for
then
<S W
}
278
all
divisions.
A exists satisfying (7.2) for all subinequality of (7.2) leads to the following definition: Let f(x) be defined on the bounded interval a ^ x ^ I). If a constant exists such that for all possible finite subdivisions of (a, b) into
The
XQ
<
Xi
<
x2
<
'
'
xk
<
<
x n -i
<
xn
we have
n
fc-1
T W
/(.r*)
-/(A
,)|
< A
(7.3)
we say that /(x) is of bounded variation on a ^ x ^ b. A bounded monotonic nondecreasing or nonincreasing function is always of bounded variation. If f(x) is a monotonic nondecreasing function,
then
!/(**)
/(**-i)|
[/(**)
/(**_,)]
/(&)
/(a)
Thus
A >
is
f(b)
/(a).
Another example
of a func-
tion of
bounded variation
the following:
Assume
f(jr)
has a continuous
derivative for a
/>.
Then
A-i)/'(fe)|
~ -/to-i)| = |to
since |f(x)|
< M(x k -
.r,
<
Jf for a
b.
Thus
n
I/to)
/to_0| <
- ^-i = M(b -
a)
^x g
2/7T.
= =
lim
a
|x|
/(O)
/(x) is continuous at x
for
Moreover /(x)
/
(
is
7^ 0.
Let us subdivide
0.
2\ -
/
into
(
'
0,
7T/
~2
2n?r'
2\ '
).
TT/
Then
279
Since
fc
Lj =
V / ^
00
2fc
~T~
modes
of subdivision.
fundamental result concerning functions of bounded variation is the following theorem A necessary and sufficient condition that /(x) be of bounded variation on a ^ x ^ b is that f(x) be written as the difference of two positive That the condition is sufficient moiiotonic nondecr easing functions. follows almost immediately from previous considerations concerning Now let us assume that f(x) is of moiiotonic nondecreasing functions. bounded variation on (a, 6). Let x be any number on the interval (a, 6). Let us subdivide (a, x) into
:
Xo
<
Xi
<
X2
<
n
'
'
'
<
Xk-l
<
Xk
<
'
'
'
<
Xn
= X
Then
)l
< A
(7.4)
Some
of the
<
/(x_i).
We
Kn =
write
Pn +
n
T
where
P n is
sum
of
pn - Nn =
sum of terms of 8 n for which f(x r ^ /(x,_i) and A M is the terms of S n for which /(x ) < /(x __i). One easily shows that
the
)
fc
f(x)
/(a) so that
Sn =
Sn
/(x)
/(a)
-/(X) +/(a)
+ 2N +2P
n
U
n
'
Since S n < A for all methods of subdividing the interval (a, x), we know from real-variable theory (see Chap. 10) that a least upper bound exists We call this least upper bound, F(a, x), the total for the set [S n \. The suprema (least upper variation of f(x) on the interval (a, x). bounds) of {N n and {P n are written as N(a, x), P(a, x), respectively. From (7.5) we have
}
/(a)
P(a, x)
'
2P(a, x)
(7.7)
AT(a, x)
From the very definitions of P(a, x), JV(a, x) we note that they are monotonic nondecreasing functions of x [see (7.6)]. /(a) + P(a, x) is monotonic nondecreasing, which proves the theorem.
280
Problem 1. Let f(x) = sin x for ^ x ^ 27r. Write f(x) as the difference of two monotonic nondecreasmg functions of x for this interval. Problem 2. If f(x) is of bounded variation and continuous for a ^ x ^ b, show that P(a, x) and N(a, x) are continuous for a ^ x ^ b.
An important generalization of the RieThe Stieltjes integral is defined the Stieltjes integral. integral as follows: Let f(x) and g(x) be real-valued functions of the real variable
7.2.
The
Stieltjes Integral.
is
mann
x for a a
x
#o
b.
(a, b)
into
<
Xi
<
Xz
<
<
x k -i
<
xk
<
fc
<
=
1, 2,
.
=
.
.
of the
numbers x k
n
x k -i,
n.
Now
)]
(7.8)
where
is
j>-i
{*
j^.
If
lim
7? >
8n
exists
OO
independent of the choice of the & and the method of subdivision, provided 5 > 0, we call this limit the Stieltjes integral of /(x) relative to g(x) on (a, b), written
b
Ja
f f(x)dg(x)
(7.9)
x, (7.9)
if
reduces to the
bounded and
x,
g(x) is a
function of
then S n of
(7.8) satisfies
m[g(b)
g(a)]
k [g(x k )
g(a)\
k=l
where
0:^-1,
k is
the
AT*
is
the
are
m
a
and
M
b.
infemum (greatest lower bound) of f(x) for x k -\ ^ x g supremum (least upper bound) of /(#) for x _i g x g x^, the infemum and supremum of f(x), respectively, for
fc
^
n
The supremum
of the
sums
nik[g(xk)
*-'
called the lower Darboux-Stieltjes integral, L,
sums ^
k \g(xk)
g(xk-i)]
281
that the
we say
Riemann-
= [/=
f Ja
f(x)dg(x)
This definition is easily seen to be equivalent to the one given above. ~ U. If f(x) is continuous in (a, 6), it is a simple matter to prove that L Now if g(x) is a function of bounded variation, it can be written as the It follows immedifference of two monotonic nondecreasing functions. diately that (7.9) exists if f(x) is continuous and g(x) is of bounded
variation.
g(x)
= OforO ^ x < -5-, Let f(x) be continuous for ^ x 1, and let g(x) x ^ 1. For any subdivision not containing x = g we have dg(x] = 0. 1. Thus S n is any The subdivision covering x = ^ yields dg(x) /(), where
Example!. 1.
Ifor-g-
number near x =
Problem
3.
\.
Since
hm
7J
/() =
i/(x)
/(g-),
2
we have
f(x) dg(x]
1
/(--)
./O
Let/(z)
+ i,
x for
Show
that
f(x) dg(jr)
=1
^
x
Problem
4.
If f(x)
and
<7'(^)
b
h,
show that
f Ja
f(x] dg(x]
f f(x)g'(x)dx Ja
The last integral is a Ricmann integral Problem 6. If f(x) and g(x) have a common point
Stieltjes integral off(x) relative to g(x)
of discontinuity, show that the does not exist provided the range of integration
covers the point of discontinuity. Problem 6. If h(x) is nondecreasing, f(x) and g(x) continuous with f(x)
b
g(x),
show that f
Ja
f(x) dh(x)
Ja
[*
n
g(x) dh(x).
Problem
7.
Let
Sn =
Y
i
g(h)[f(x k )
/(arfc-i)],
Xk-i
^ & ^
xk
Show
that
n-l
with #o
a, x,t
6.
Assume
g(x) of
bounded
that
and
continuous at x
a and x
6.
Show
Problem
a(x)
8.
/3(x) -f
Let /(#) = g(x} H- *^(a;) be continuous for a Show that ^T(^) to be of bounded variation.
fc,
and assume
da(x)
P
Ja
fir(a;)
d|3(a:)
Ja
T h(x) dy(x)
+ i Ja f* g(x)
dy(x)
Ja
h(x)
282
Problem
00
1, 2,
Assume
6,
and
let g(x)
be of bounded
Show
that
00
f
Jo,
Y
lm*i
V
1*4
f
Ja
/oo
i
would
7.3.
real variable
defined for
0.
Let Let
g(t) g(t)
finite interval
is
^
t,
continuous for
all
iy
(7.10)
complex
z.
It
may
lim
z,
f*
e~ zt dg(t)
(7.11)
exists.
If this is
the case,
we
write
Jo
Equation
(7.12)
is
6" dg(t)
Jim f*
<r
dg(t)
(7.12)
(7.12) is called an improper integral, arid the right-hand side of called the Cauchy value of the improper integral.
Those values
of z for
which
2,
written
(7.13) f(z) is called the Laplace-Stieltjes transform of g(t). consider now the region of z for which /(z) of (7.13) exists.
We
First
is
we
Let
g(f)
arbitrary.
Since dg(t)
,
.
,
=
/
et
dt,
of bounded we have
,
variation for
72,
fR
/
e -(*+*v)t e *' dt
-.
fR
Jo
e e<-xt
Jo
cos yt J dt
for
fR
e
xt
Jo
sin yt J dt
Since
e*
xt increases
beyond bound
F
any
fixed x,
we leave
all z.
it
to the
R
e~ zt e et dt fails to exist for
As a second
283
/ JQ
e~~
du.
yo
er** dg(t)
t,
so that
f
lira
/
R
e~ zt dg(t)
R
cr zt dt
lim
=
=
lim
z
-*&
.
provided x
Rl
>
0.
Hence
e~ z
'
ctt
Rl
f
/
>
Zi)i
0.
Let us consider
exists,
now
a general case.
IIJQ.
We
assume that
e~~
dg(i)
exists
XQ
e-"
tor
dg(()
< A
(7.14)
0.
"
|o
c-'- dg(t)
e 1* dh(t).
(7.15)
so that dh(u)
p- z
"
</ST(M)
and
^(0 =
B
Then
(7.16)
e- dg(t) =
Integration by parts (see Prob.
K
[
7,
|o
e-f
"
dA)
c~ 2t dg(t)
e~ (z
~z
)R
f*
cr*<*
(z
f* A(0csince
"
o)
dt
If
Rl
>
111 2
then
lira ^-^oo
e- (M8) * f
70
B e- 20< dg(t)
0,
lim
R-*
oo
and
r
f-'
dg(t)
< A
for
all
R.
Moreover
h(t)<r
/f
*- zo)t
dt
lAWIc-^-'^'rf^
<
A/(x
),
for x
>
Allowing
to
become
(2
20)
for
Rl
>
Rl
20.
Thus
f(z)
r-"
rfj/(/)
(7.17)
exists for
2-0
Rl
>
Rl
20.
We
if
#o
XQ.
+
y
iyo,
then/(2) of (7.17)
well defined
f or
+
js
iz/
provided
XQ
>
There
<
<
oo
,
may
line
iy,
284
L[/(0]
erf(t) dt
(7.18)
provided the improper integral exists. If the Laplace transform of also exists, one can integrate by parts to obtain
f'(f)
W(*)] = JO L ^"/'(O
jLF/*'^)]
dt
e-'/(0
+
/(O)
70
e-/(0
d*
/y Xty jgx / v'*
zZJ/Yrtl
provided
lim e-f(t)
=
\f(f)\
(7.20)
Equation Rl z > 0.
if
is
bounded
for
and
if
= =
zL[f'(t)]
z*L(f(t)]
~ /'(O) - zf(0)
-/'(O)
/(/) is
(7.21)
the Laplace transform of f(t), we say that of F(z), written f(t) = L" 1 ^^)]. transform Laplace
If F(2) is
the inverse
Example
7.2.
We
sm
at.
We
have
F(z)
e~ zt sin at dt
Integration
by parts
yields
zi
/e~
)
sin at dt
a 2 -f
^.-~ 2
z
(~~z sin at
a cos
at}
t=o
If
Rl
>
0,
we have
r
I
oo
e~ zt sin at dt
a
a 2 H;
Jo
22
Table
7.1 lists
11. 12.
7.3.
Problem Problem
Example
Show
= aL\f(t)] -f that L[af(t) bg(t)] bL[g(l)]. Let us consider the differential equation
of (7.22)
(7.19)
subject to the initial conditions y(0) = i/o, 2/'(0) = t/oAssuming that the solution and its derivatives are such that their Laplace transforms exist, we can apply
and
(7.21)
and the
z*L[y(t)\
so that
,,,
rr /A1 L[y(t)]
(z
.
(z
-f4)(z
2/o
w -1) o
zy*
rr
y'
+ 3zL[y(t)] -
- --+
Q
3y Q
4
-h
4L[y(t)}
2-1
3/05
mi
L[<pi(t)]
+
,
4 2/o
+
5
2/o
285
7.1
we
see that
<f>i(t)
e" 4*,
<f> z (t)
e*,
y(Q
(7.23)
It is to be noted that the easily checks that y(t) of (7.23) is the required solution. Laplace-transform method for solving (7.22) introduces the initial conditions in a natural manner.
One
TABLE
7.1
Problem
13.
Solve
1.
-j-|
2^
<
/"
= l~3a; by
0.
the
Laplace-transform
method,
0, 7/'(0)
Problem
14.
Let /(Q
for
Show that
"
*) dt
6~^/(
*
05)
d<
e-
e~ rf
exist.
286
Example
wave equation
---\
-^
~
t)
=
t)
~
~
for all x,
and
y(Q,
f(t)
0.
We
assume
from x
y(,
~
t)
for
0.
Physically,
we have
an
elastic string
to x
At the
t
move in such a manner that y(Q, t) = /(/), f(t) a given to If we multiply the wave equation by e~ xt and integrate from
constrained to
oo
f
we obtain
~
8
f*
y(x,
0*-"
dt
-*
z*L\ii(x,
t}}
y(jc,
t)er
zt
dt
=
=
'
--f>
e'^
dt.
JQ
Thus
Lf?/| satisfies
,L(y]
/,(//]
(7.24)
A solution
of (7.24)
is
t)c-
dt
- Xe
t/(ar,
/e )
Be-<">*
(7,25)
where
^4.
and
B can be functions of z.
0.
Since
we choose A -
At x
we need
f
From
Prob. 14
e'" dt
we have
2/(a;,
"
Oe""
rt
dt
c~w / c
"
/"
/(O*"*
Equation
for
t
<
wave
- a;/c) for t ^ a?/c provided f(t - /c) (7.26) suggests that 2/(z, /) - /(/ x/c (see Prob. 14). It is a simple matter to show that/(* x/c) satisfies the equation and the boundary conditions. Of course one needs the fact that f(t) be
7.5.
twice differentiable.
Example
We wish
ftt)e-dt
(2
1)-!
00
(7.27)
a nt n
Without
justifica-
nt'o
is
permissible.
Hence
n0
Now
for
\z\
>
we know
1
that
^ "
2
x/inri
Vi -
^ *
(i/2)
2
Wl
V ^ ^U
(2m)!
287
if
we
-
see that a n
=*
is
odd and,
if
2m,
80 that
jjjoam'
oo
^-j~j
QV
where
J"
? 28 )
-
We
note that/(tO
==
f
kind.
~f~T
(~\
Jo(t),
(0
is
first
One can
Problems
1.
Solve
^r*
(
sin x
with
j/(0)
0, j/'(0)
=
=
0.
2.
Solve
-~ 2
4//
3e zx with y(0)
= -
0, y (0)
1.
3.
Solve 2x
2z,
2/(z,
0)
1
1, t/(0,
<
t
1,
for y(x,
t).
Am.
4.
y(x,
t)
for
<
x* y y(x,
if
t)
x 2 for
>
x2
By
Ans.
5.
f(t)
sin a* (see
Table
7.1).
From
e~~
zi
cos a< CM
yo
6.
22 T~T~I 2
(2
a2
9 2 2 )
+ o ?T
Find
f(t)
such that
I* e-J(t)dA 7.4.
Z
.
0W
(see Sec. 6.16).
1 = o-
/ zrj -
dy
J-oo
*
I
^(0 cos
y (^ ""
dt
(7.29)
We
assume that
t
f(w)
dw converges
t
absolutely,
and
choose ^(0
e-**f(() for
0,
flf(0)
for
<
0.
Since
=
we have
2arJ-*
i
/
o~
dv
J.
g(t) sin
v(w
f)
dt
iw
r-
-i r+-*]' Z*JJo
O
288
Now
exists for
Rl
z
IV
>
0.
Then
F(z)e* dz
iy
= =
x+iv ( Jx~iy
e
"
e> dz f JO
e-'f(t) dt
(7.31)
on letting
become
infinite
x + iv, v a new variable of integration. On letting y and comparing (7.31) with (7.30) we see that
/<) = 0=
If F(z) is
F(z)e
wz
dz
(7.32)
in
the Laplace transform of f(w), (7.32) enables one to find /(it?) terms of F(z). This is the Laplace-transform inversion theorem. Equation (7.32) can often be evaluated by the calculus of residues.
Example Then from
7.6.
Let
F(z)
=
wt
l/(z
1)
(7.32)
I-
with x
>
0.
We consider U)
dz around
Fig. 7.1.
show that, as the radius of the semicircle becomes infinite, the integrals of e wz /(z + 1) tend to zero along BC, CDE, EA. The resiThus due of e m /(z + 1) at z = -1 is e~ w
.
f(w)
=
2~^
I2irt~"1
*~~
7.5.
The Calculus
of
Variations.
The
the problem of the brachistochrone (shortest time). A problem of a similar nature is the following: What curve joining two fixed points is such that its rotation about a fixed line will yield a minimum surface of revolu-
289
This is the soap-film problem. A third problem asks the following What curve lying on a sphere and joining two fixed points of the sphere is such that the distance along the curve from one point to the other is a minimum? This is the problem of geodesies. Let us obtain a mathematical formulation of these problems. Let the particle P move along any curve given by 1. Brachistochrone.
question:
The speed
by
2gy
or -y
\/2g
ds
y*.
Hence
dy
2
T~(2/T dx
= -!_
(y'Y'
dx
(7.33)
FIG. 7.2
To
must
which makes
2.
minimum.
Minimum
is
x axis
this
If the curve y(x) lying above the Surface of Revolution. rotated about the x axis, the surface of revolution generated in
is
manner
S =
27T
y ds
27r
(y'Ydx
(7.34)
To
is
must
find y(x)
a
3.
minimum.
Geodesies of a Sphere.
ds*
In a Euclidean space
we have
dx 2
<p,
+
=
=
dy
dz z
sin ^,
2
For a sphere x
ds 2
r sin
cos
z/
r sin
cos
0,
so that
r 2 (d#
sin 2
d^
2 )
r2
sin 2
(^j
dd 2
If
<^?(0)
is
any curve on the sphere, the distance between two points by ^ = <p(8) is given by
L =
dO
(7.35)
290
To
<?(6)
such that
of (7.35) is a
minimum.
more general
1
Formulas
f(x, y, y')
case.
Let
mine y
be a function of the three variables x, = y'(x), such that y(x), and hence y'
?/,
'.
We wish
to deter-
=
will
n f(x,y,y'.) dx f j 71
(7.36)
be an extremal (minimum or
maximum)
y(xi)
//,,
yfa)
2/2.
For
we have
f(x,
!/,
y')
=
<p,
2wy[l
(2/')
P,
/(*,
2/,
2/0
A/T+sin 2
z(2/')
dx with
6,
respectively.
Let us see how a problem in the calculus of variations differs from an extremal problem of the ordinary calculus. In the latter case we are given the function y = y(x). For each real x there corresponds a unique Thus y = y(x) maps a set of real numbers into another real number y. The relation y = I/a:, < x g 1, maps the set of real numbers.
interval
< x ^ 1 into the interval y ^ 1. A simple problem in the ordinary calculus is to find a number x which yields the minimum or Now (7.36) may also be looked upon as a maximum value of y y(x). mapping. For any function y(x), (7.36) defines a real number /. Thus
a mapping of a function space [the space of y(x)] into the realOur problem is to select a member of the function space which yields a minimum or maximum value for / of (7.36). To resolve this question, we reduce the problem to one of the ordinary calculus. Let us assume that there exists a 7.6. The Euler-Lagrange Equation.
(7.36) is
number
space.
makes I
of (7.36)
an extremal.
Y(x, X)
y(x)
\n(x)
an arbitrary differentiate function such that r\(x\) = 0, and X is a real parameter. We have Y(x\, X) = y(xi) = T/I, r?(x 2 ) = = 2/2. For X = we have Y(x, 0) = y(x). As we vary y(x%) F(# 2 X) X and rj(x), we obtain a family of curves passing through the two = yields the desired given points PI(XI, y\}> Pi(x^ 2/2). Moreover X = The value of / for any member of (7.37) is y(x). curve, y
where
77(2)
is
/(X)
Jx\
f **f(x, y
7(X)
+
is
Xn,
XT/')
dx
(7.38)
For any
fixed rj(x]
we know that
an extremal for X
0.
From
the
291
/)/
=
x~o
r)/
0.
Assuming continuity
of
and
dy
dy'
we have
d\
51
^-r>dx
_
rj(xi)
fXt
/
J / 3f
^ (7.39)
(| J XI dx \dy'
=
0,
upon integration by
parts.
Since
77(0:2)
we have
it is a
if
M(x)
is
continuous on Xi
??(x)
if
^ x^
yri
implies
is
M(x)
0.
We
must
Hence
the required
_da;
\dy'J
dy
It
(7.41)
is the important Euler-Lagrange equation. written as a second-order differential equation in the form
Equation (7.41)
can be
a 2/
i/
I
./
*-*
j
{
_
dy
=n
dy 'fy'dx
If
dx~ y'
(7.42)
we
differentiate /
-1
-,
satisfying (7.41),
we obtain
~
dx
dij
a//'
dy'
dx\dy'
dx
by
makiiifi;
use of (7.41).
Thus
d
(7 43)
'
for
an extremal.
If/
is
explicitly
independent
If
of y,
one has a
first
integral
x,
of (7.41)
given by
-,
constant.
is
explicitly
independent of
=
j-
and
y'
constant
(7.44)
292
y(x
(x
=
c/A
2(x
+
+
\ dx) X dx) 2 dx
3(x
2 dx, so
=
dy
(3x*
2)
dx
dy,
th. differential
of y.
Now
(7.36)
of a function
space into a real-number space. We call this mapping a functional of y, written 7 = I[y], The first variation, or differential, of 7 may be
defined as
lim
OA
(7.45)
where 8y(x)
is
any variation
in y(x).
Applying
I[y
+ \8y]=
dl
\
'
f(x,
+ \dy,y'+\ dy')
dx
(7.46)
=
Jxi
/"'
Integrating
7 8y'
dx by parts yields
provided 8y(xi)
67
8y(x 2 )
0^
Equation
if
In the calculus it is necessary to examine the second derivative of y(x), and, at times, higher derivatives, in order to determine the type of extremal (maximum, minimum, point of inflection) encountered at the
fij
point x
it is
for
which
-^-
0.
necessary to examine the second variation in 7 to determine what type of extremal is obtained from the solution of the Euler-Lagrange Let the reader show that the second variation of 7 can be equation.
written as
527
'
5y
dx
(7 47)
-
293
g(y)
vi +
(y')*dx
We have/ =
g(y)
[1
-f (y')
]l,
~
ax
0,
is
f ^L==^.
constant
From tan
we have
cos
l/\/l
</(*/)
-j-
(?/)
so that
(7.48)
a sec
Moreover
gr'(?/)
dy
a sec
tan
cot
dy so that
dx
yielding
a sec ---77
dO
g (y)
\~
-6 +
Given
0(t/),
Jo
' (7.49)
^
g'(y)
one solves
0.
j as a function of
Then integration of (7.49) yields (7 48) for y as a function of 0. This parametric representation of x and y as functions of yields
/.
y~~%,
*
so that
?/
cos 2
,
I/a
2
,
from
(7.48).
Thus
b
/(*/)
-|//
= (-2r*
b
cos 3 0)~ l
and
--
(1
re
2c
C
\
cos 2
0d0 =
re
c
(1
-f cos 20)
d0
Jo
x(o)
7/(0)
Jo
=
=
(20
sin 20)
(7.50)
cos 20)
Equation
y
We
y, y')
are
given
the
fixed
curve T,
fx 2 = b
/ Jxi
F(x,
dx
where
If
\Ve wish to find the curve y y(x) joining the fixed point A(XI, y\) and B(b, <f>(b)), B is a point on F such that 7 is an extremal. The coordinate x = b is unknown.
we
we have
fe y
r
4- *y,
2/
H- fy')
^
is
The upper
on y
limit has
^>(#).
changed since the end point of y(x) Let the reader show that
8y(x)
constrained to
lie
8y]
/[y]
Jxi
[F(x, y
by, y'
by')
F(x,
y, y')}
dx
By, y'
F(x, y
-f-
y') cte
(7.51)
294
From
logical to define 57
by
y, y')
SI
= f
(~ dy + |^ By'} dx + F(x,
We
must compute
dx) -f dy(b
dx
(7.52)
Now
dy
at x
a.
by at x
b.
We
dx)
have
y(b
y(b)
+
SJT)
Sx)
<p(b
<p(b).
Thus
y(b -f
y(b)
dy(b
+
-
dx)
<p(b
te)
*>(&).
Applying
mean one
easily
shows that
=
b
[v'(b)
y'(b)} dx
6/
=0 for arbitrary
8z/,
of necessity
\F L
(^'
y')
IJ1 o^ Ja; = 6
=0
(7.53)
along with the Euler-Lagrange equation. Let us apply (7.53) to the problem of the
arbitrary.
minimum
2
<p(x)
We
have F(x,
y, y')
y\l
dF
]^,
fe')
^7
becomes
!?/[!
-f (y')*\*
6.
yi/'[i
+ (v'W-W -
)\*-i,
o
<p(x)
or
t/
at x
intersect
at right angles.
Problems
1.
Show
Show
Show
is
a cosh
2.
3.
Derive
4.
dx*
5.
-. dx
=
\dy'J
dy
Show
l[y]
6.
/ Jxi
y dx
/
Jt\
f(xi, x%,
x,
xi t
x2
xn
t)
dt
295
Explain
f(Xi, Xi,
7.
why
it is
necessary that
t
Xn
XJl, XJ* 2
X.T rt ,
A/(:ri, 0-2,
XM
J'i,
i,
Xn
t)
Apply
(7 54) of
Proh 6 to
8.
In Chap. 3
we saw
dt
\dqtj
dqi
motion.
-f
V =
/tz
/
dt is
constant 2 T dt
=
is
motion
system
is
such that
an extremal subject
condition
9.
-f
V =
constant
I[z]
II
I x,
y,
z,
J
its
as
boundary.
Show
that, foi
to
be an extremal,
z(x,
//)
must
satisfy
dF
dz
d ZF
_
=
dx Op
p r
dz = ~>
^ dx q
J>*F_ dy dq dz
in
with
r F
dy
7.7.
The Problem
of Constraints.
Given the function of two variables, z = f(Xj y), at what point P(x, y) is z an extremal subject to the conWe Enow that if /(x, 2/JT.s continuous on straint <p(x, y) = constant? the closed and bounded curve C, ^(x, y) = constant, there will exist points on C at which z takes on minimum and maximum values. One way to solve this problem is to solve for y from <p(x y) = constant, obtaining = /(x, ^(x)), a one-dimensional proby = \l/(x), and then to extremalize z
problems
of the following type:
y
lem.
Another method
is
due to Lagrange.
0,
so that
dx
-^~ -r-
0-
dy dx
Consider
as
if
w =
/(x, y)
z/),
X a parameter.
Compute
two
and
partial
Setting these
296
dx
dx
dy
dx dy
^ = ^- + X^ =
dij
Eliminating X yields
dx
|
dy \ d<p/dy
constant,
<p(x, ,
y y)
we have -^
of
+
X
-JT
~T-
0,
so that
~dx
dx
multipliers
yields
dy ax
-y
0,
The
following:
simplest constraint problem in the calculus of variations We wish to extremalize the functional
the
/[?/]
j Ja
f(x,y,y')dx
(7,55)
Ja
<P( X , y, y'}
dx
constant
(7.56)
As
in Sec
7.6
we
let F(x, X)
y(x)
X^^x)
X 2T7 2 (#),
and we
desire to extremalize
/(Xi, X 2 )
Ja
f(x,
XIT?!
X 2 ?72, y
XirjJ
+ X^)
=
dx
/
Ja.
<P(XJ
XIT?I
X 2 r?2,
y'
+
=
X^i
0.
X 2 77 2 ) dx
constant
/(Xi,
X 2)
is
to be an extremal at Xi
X2
dx
'
\^dy
is
dy
X.
The
Example
~ =
fa
/
y dx
is
an
v +
1
(y')
dx
constant
b.
Since the
constraint states that the length of arc of the curve v(x] be a constant, this tvne of
297
\<p
called
an isopenmetric problem.
We
have /
= =
X \/l
(?/')
>
(f
<
X*>)
Vi +
_ J^L=,
2
e</')
A
d ?/
-
(f
A*,)
<fo L
__ VI +
(?/
or y"/[l
2 3
(?/')
1/X.
We
recall that
y" /[I
(y')*\l
is
tlie
of a circle.
\/\
-f-
(y')i
dx
=
is
b.
Example
the
(x
l
,
Riemanman
x2
.
.
extremahzed subject
1,2,
3, 4, is
to
<p a
xn )
dx a
(18
j
/*i
:
ds,
where
<p a ,
==
in
electromagnetic;
d*x*
field,
d?
+ r ^ "^
dx> dx k
+ m **
dx a
~fc
~
'
Problems
1.
/[//)
rb
2
Ja
constraint
2.
(?/)
dx subject to the
I xy dx = constant. Ja Find the curve of constant length joining two fixed points with the lowest center
of mass.
3.
the curve y
f(x)
from x
a to x
is
rotated about
/b y dx
i
constant
c.
4.
Derive
(7.57).
REFERENCES
Bliss,
G. A.:
"
Carslaw,
II. S.:
"Conduction of Heat
"
in Solids,"
New
York,
1947.
Modern Operational Mathematics in Engineering," McGraw-Hill Book Company, Inc., New York, 1944. Doetsche, G.: "Handbuch der Laplace Transformation," Birkhauser, Basel, 1950. Jaeger, J. C.: "An Introduction to the Laplace Transformation," Methuen & Co.,
Churchill, R. V.:
Ltd.,
London, 1949
New
York, 1952.
CHAPTER 8
8.1. Introduction. The study of groups owes its beginning in an attempt to solve algebraic equations of degree higher than 4. The linear The solub/a. equation ax + b = 0, a 7* 0, has for its solution x = tion of the quadratic equation ax 2 + bx + c = 0, a ^ 0, is known to be
4ac).
We
finite
involving addition, subtraction, multiplication, The operations are performed on the coefficients of the quadtions. We say that the quadratic equation is solvable by radiratic equation. cals. The cubic and quartic equations are solvable also by radicals.
Lagrange attempted to extend this result to algebraic equations of degree higher than 4. He was unsuccessful, but his work laid the foundation which enabled Galois and Abel in the early part of the nineteenth century In general, an algebraic equato grapple successfully with this problem. The equation tion of degree higher than 4 cannot be solved by radicals. 1 = can be solved by radicals, however. It remained for Cauchy x6
The theory of to systematically begin the study of group theory proper. groups plays an outstanding role in the unification of mathematics. Its applications in mathematics are widespread, and, moreover, it has served an important role in the development of the modern quantum theory of
physics. 8.2. Definition of
a Group. ^
We
consider
first
Let us consider the set of all rationale, excluding zero, ples of groups. note that the product of two subject to the rule of multiplication.
We
rationals is again a rational. If a, b, c are rationale, then the associative The unique rational 1 has the property that law, (a6)c = a(6c), holds.
1
a, f or all rationals a.
,
Finally, for
a unique rational, I/a = or 1 such that ocr 1 = cr*a = 1. Let the reader show that the four elements (1, i) possess these same 1, i, Let us consider the properties under the operation of multiplication. rotations in a plane about a fixed point. 90, 180, 270, and 360 Let us denote these rotations by AI, A%, A 3, and A 4 = E, respectively. By AiAi we mean a 90 rotation followed by a 180 rotation, etc. We
exists
any
rational a, there
298
299
note that A*A,A 270 rotation followed by a 180 rotation is A*. equivalent to a 450 = 90 rotation. Moreover A>E = EAi = Ai foi* E is the identity element in the sense that the i 1, 2, 3, 4.
E leaves a body A A = E, EE =
2
2
invariant.
E, so that
We
rotatldij
the reader deduce a correspondence between the rotations discussed above and the four elements (1, The i) under multiplication. 1, f, examples above lead us to the formal definition of a group. A discussion of sets can be found in Sec. 10.7. Let G consist of a set of objects A, B, C, An operator, is B. For conassociated with every pair of elements of G, (A, B) = A B = AB. venience we call the operator <8> multiplication and write A The set G is said to be a group relative to the operator if: I. For every A and BofG,AB = C implies C is a member of G. This is the closure property under <S> II. For all A, B, and C of G,
let
.
(AB)C = A(BC)
This
is
III.
There
exists a
AE = EA = A
for all
inG.
E is called the identity, or unit, element. A of G there exists a unique element, written
1
A"" 1 such
,
AA~ = A~ A = E
l 1
'
We call A~
One can
III'.
the inverse of A.
It follows that
is
IV by:
For every
B,
A
B.
and
AX By
and
YA 1?
choosing
= A we
from
.
Thus AEi = A, E 2 A = A. We show = jE 2 A#2 now that EI Now A(S 2 A) = A A = (AJE 2)A, so that A from (III'). Hence # 2 #1 from (III'). We show next that the idenWe have tity element for A is the same as that for B for all A and J5.
left identity,
(III').
AEA - EA A -
5#* - #BB - B. NowB(E B A) - (5#*)A - 5A, = A, which implies EB JS^. Let the reader (III'), EaA
A,
300
Example
We
.
Let x and y be elements of a set such that x* - e, y 3 = e, yxy 8.1. consider the set of elements (x, y, y 2 = y y, xy, xy 2 e), e the unit element.
,
Let
y*,
us construct a multiplication table for these elements. 3 From x 2 s= e we note that x is its y y y = i/ etc.
.
We write x
own
inverse,
(xy*)x,
x2 y
,
and from y 3
we
note that
2
t/
is
the inverse of
z
y.
If
we
desire to
compute
we note
ey
that
(xy )x
(see
(xy*)(yxy)
xy*xy
xexy
xxy
=*
x*y
Table
8.1).
each row and column of Table 8.1 contains the six elements of our set with no repetitions. If x ^ e, y ^ e let the reader show that the six elements are distinct, and hence form a group.
t
We note that
TABLE
8.1
Problems
1.
2. |a t ,| 3.
Verify Table 8.1. Consider the set of square matrices, ||a l; ||, i, j = 1, 2, n, such that Show that this set of matrices is a group under multiplication. 5^ 0.
.
.
An
of
Example
4.
Abelian group is one for which AB = BA for all A and B of G. Is the group 8.1 an Abelian group? Show that the group of Prob. 2 is non- Abelian. finite group is one containing a finite number of distinct elements. Show that
replace (III)
we can
implies
and (IV) by
,
(III"):
AB - AC
implies
B -
C,
and
BA = CA
B =
5. We define a a = a 2 a a a~*= a 3 etc. A group is said to be cyclic if a single element generates every element of the group, that is, an element a exists such that, n if x is any element of the group, then x = a for some positive integer n. Give an
example of a
6. 7.
cyclic group.
Show
If
that
A - (A"
)"
1
.
and
1
.
Generalize
this result.
8.
form a group relative to the operation of addition. Do the set of rational integers form a group relative to the operation of multiplication?
zero)
8.3. Finite
Groups.
finite
number
of distinct elements.
group is a group consisting of a finite deduce now some theorems concerneach theorem with an example.
We
301
The order of a subgroup is a divisor of the order of the order of a group is the number of distinct elements H is a subgroup of G if is a group and if, furthermore, every element of // belongs to G. If at least one member of G is not a member of //, we say that H is a proper subgroup of G. The proof of consist of the elements E, A, B, F. Theorem 8.1 is as follows: Let Assume H a proper subgroup of (?, and If // s= G, there is no problem. Construct the set HI of elements let X be any element of G not in H. XF. Let the reader show that these elements are XE, XA, XB, BA~ is a member of H distinct. Moreover, if XA = B, then member is not a of // so that XA ? B. But since H is a group. of is distinct from Hence every element HI every element of H. If the = // of then and exhaust members HI (?, g 2/i, where g is the order of G H. If this is not the the order of h is and case, let F be a member of
8.1.
THEOREM
The
not in // or HI. We now construct the set II 2 consisting of YE, YF. One easily shows that the members of 7/2 are distinct YA, and HI. If from each other and are distinct from the elements of If we then 3h. in exhaust continue the same G, g not, //, HI, HZ
.
manner.
elements.
G
g.
since
has a
finite
number
of
Thus
Example
group
of
is
G is
The group of Table 8.1 consists of six elements. A subgroup of this 8.2. Another proper subgroup H(x, x* = e). The order of H is 2, and 2 K(y, y y* = e), 6 =3-2. Is it possible for G to have a subgroup of order 4?
6=23.
THEOREM
A,
8.2.
definition of a cyclic
2
. .
. ,
A
s
. .
Every subgroup of a cyclic group is a cyclic group. The group is given in Prob. 5, Sec. 8.2. Let G consist of = E. Let be a proper subgroup of G with elements
A\ A
Since 61
b
.
A 2&
b\
A = E
r
<
1),
<
<
>
6,
we have
qb
s,
<
b.
Then
yj 61
__
^
8
and
in
bl
~ qb
since b
H.
= A If s ^ 0, then A is a member of H, a contradiction, was assumed to be the smallest exponent of A such that A b is Hence s = 0, and 61 = qb = 2b, since A b A b = A 2b is in H. The
8
.
A mb
so that //
8,
is cyclic.
Let
so that
a 2 a3 a4 a5 a6 a7 a8
,
=
,
e)
(a
2 )
e).
We note that H
302
A criterion for a subgroup is the following: Let G be 8.3. group, and let S be a subset of G such that the product of any two elements of S is again an element of S. Then S is a subgroup of G. Certainly the closure and associative properties hold for S. Now
THEOREM
a
finite
AT be any element of S. Then A, A 2 belong to S. There can exist only a finite number of distinct elements of the type A k Thus A n = A m for n > m and A n ~ m = E belongs to S. Moreover AA n-- 1 = E, so that A n~m~ = A~ l belongs to S. Q.E.D.
let
Example 8.4. Let us consider the permutations of the integers (1, 2, 3). \\e obtain the six permutations (1, 2, 3), (1,3, 2), (2, 1, 3), (2, 3, 1), (3, 1, 2), (3, 2, 1). We can consider the particular permutation (2, 1) as being obtained from a subi-J,
/ (123\
In this way
we obtain
123\
= /123\
\132/
Sl
fm\ = /123\
V213/
&4
A23\ = /123\
\231/>
/123\
/123
If we consider a triangle with vertices labeled 1, 2, 3, respectively, then $6 states that we interchange the labels 1 and 3 and leave label 2 invariant. Let us consider any The operation of 82 on f yields function of three variables, f(xi, x%, xa)
rs)
tfjfCri,
3*2,
If
we
follow this
}yy
the operation
J'a, J^.t)
*S 6 ,
we obtain
$bf(f}, ft, xt)
2.
Nftjf(.r],
=
1,
/(o- 3 ,
x-2, j*i)
since
>S6
permutes
into 3, 2 into
and 3 into
Thus
and
it is
natural to define
'
*S 6J S 2
'
^Se,
written
1097
\Wi/"
^
1
can
'^
upon
1 ,
we see that
goes into
then,
1
moving
into 3.
tion of
3 goes into 2,
\
The left, we see that 1 goes into 3. Again, on the right-hand side, 2 goes into so that the end result is to leave 2 invariant.
to the
final result is
3,
the permutaleft,
>
iclds 3
* 1.
The product
'
yields
Si.
and we leave it as an exercise to show that the ele1 ments Si, i 6, do, indeed, form a group relative to multiplication 2, Let the reader obtain a generalizaThe order of the group is 3! = 6 defined above. tion for the permutation group of order n\ often called the symmetric group.
the identity element of the group,
. .
We
consider
now
the function
f(Xi,
2,
Xa)
= Oi -
3- 2
)(j2
X.i)(Xt
0*i)
We
note that Sif = /, Stf - -/, SV = -/, *S</ = /, Xt>f = /, Stf - -/, so that Si, It is / invariant. These elements are called the even permutations.
303
a simple matter to show that the product of two even permutations is again an even permutation. Hence, from Theorem 8.3, the set (S\, St $5) is a subgroup of the symmetric group of order 3!. Do (82, Sz, $e) form a group? These are the odd
t
permutations.
Any subgroup
of a
symmetric group
is
Problems
1. Show that the elements of Example 8 4 form a group. Construct the multiplication table for this group Is this group Abelian? Construct all the proper subgroups. 2. Show that the product of two even permutations is an even permutation. Con-
We
can write S 4
Y
oo
= (m)
Do
2 2
>
3 H
can be written
4.
*S 6
(1^)(2)
Show that the permutation group of order n contains a subgroup of order n!/2. 6. C is called the commutator of two elements A and B of a group if C = (AB)~ BA. For any element X of G show that A"" ('X is the commutator of X~ 1 AX and X~ BX.
1
}
8.4.
Isomorphisms.
(7 2
If
A'
B
implies
<->
AB<-> A'B'
(7 2 are isomorphic belong to GV An isomorphism of two groups implies that the two groups are equivalent in the sense that we are using two different languages to describe It is apparent that any theorem obtained the elements of the groups.
for
all
A and B
in
(V 2
A', B',
Y i
is
(? 2 .
8.5. We consider a cyclic group of order 4 with elements A, A z A 3 along with a subgroup of the symmetric group of order 4' Let the reader show that the elements
,
A = E
4
1234\
form a
group with 82
/1234\
Y
/1234
It is
cyclic,
flj,
S.\
<S ],
S*
= E
4
S\.
a simple matter to
1, 2, 3,
an isomorphism.
We
An important theorem due to Cayley is stated as follows: THEOREM 8.4. Every finite group G is isomorphic to a regular permutation group. Let the elements of the group be written as E = Ai, A%,
304
.
.
An
Let
A k be any member
of
(?,
A k Ai A k A<i,
9
AkA
AkA n
,
Since A* A
belongs to
(?, it
must be equal
Let
to an
A r and by A k we mean
\
r.
Similarly
A k A% =
Akt, etc.
Ak
correspond to
''
L)
for k
1,
2,
. ,
n.
We
(8.1) represents
an
iso-
morphism.
We
have from
(8.1)
l
2
J'2
'
'
'
'\
'
'
'
jn)
/I
2
' '
w\ /
VI
J'2
JM/VA-1
The isomorphism
of
Example
8.5
was established
of an
in this fashion.
is
an isomorphism of a group with itself. A simple n be automorphism is as follows: Let A^ i 1, 2, example be any element of G. For conventhe elements of a group (?, and let Let us construct the elements X~ A X^ i ience we choose X ^ E. 1, = A,E = 4 If is n. G Abelian, we have X~ A,X = ^ X~ 2, Let us assume that (7 is non-Abelian. Generally, then, X~ A*X ^ A,. It is a simple matter to prove, in any case, that X~~ A X T X"~ A J i ^ j, for if X~ A,X = X~ AjX, then
An automorphism
t.
'
a contradiction
2,
.
if
i 9* j.
of
elements
X~ A
l
X,
=
of
1,
belongs
n, contains to G, S == G.
,
n distant elements and since every member We show now that the correspondence
<->
A
is
X- A,X
1
1, 2,
1
(8.2)
an automorphism.
We
have
<->
A^ ^^,
Problems
1.
If GI
and
(?2
if
G\
is cyclic,
2.
is
8. 1.
305
Show that all cyclic groups of order n are isomorphic (see Prob. 1). 4. An automorphism of the type (8.2) of the last paragraph is called an inner automorphism. Show that the only inner automorphism of a cyclic group is the
i = 1, 2, n. This is called the identity automorphism, A, <-> A automorphism. Hint: If 6. Prove that the product of two automorphisms is an automorphism. A* <-> A( is an automorphism and A t < > A/ is an automorphism, then under the second automorphism we have A( <-> (A|)", so that A <- (A,')" is another corre(A )" spondence, called the product of the two automorphisms. Show that A < represents an automorphism. 6. Show that the inner automorphisms of a group form a group. 7. Show that the automorphisms of a group form a group 8. Find the inner automorphisms of the group given in Table 8.1.
trivial
t,
)>
8.5. Cosets. Conjugate Subgroups. Normal Subgroups. Let G be a group and H a proper subgroup of G. Let the elements of 77 be HI, 7/ 2 We consider the ele77 m and let A be an element of G not in H n A. The reader can quickly verify that ments HiA, H 2 A, A ^ H,. If H A = H,, then A = H~ 1 H3 H>A * 3 A for i ^ j, and Thus the set of elements H A i = I, 2, is in 77, a contradiction. This n, are distinct and do not belong to 77 if A does not belong to 77. set is not a subgroup of G since it does not contain the identity element We call this set a coset, written as HA If the elements of 77 and E. HA exhaust G, we can write G = H + 77A. If not, we consider an element B of (7, B not in II and HA. We construct the coset HE and omit the proof that the elements of 777? are distinct from the elements We can continue this process until we exhaust (?, if G of H and 77 A.
,
.
is
a finite group.
Thus
G =
Example
8.6.
77
+ HA +
IIB
+ HC
4!.
(8.3)
We
Let
H consist of the
Now
2 3 4\
01 A >3 ) (1 2 1 4 o/
Note that
i
SA
H
or
5^ >S,A,
j,
and that S
A ^ S
for all
t,
j.
1, 2, 3, 4,
are
members
of the coset
HA.
The element 5 =
is
not a
member
of
HA.
We
consider
306
5sfls "
^
&4/ *
V3412A2413/
/1234\/1234\ = /1234\
1,
2, 3, 4,
j,
7*
z, .;,
&#
G =
H + HA + HB + HC + ED
8.5.
of the coset
for
i 7* j.
HB.
Note that S
5*
5,
Continuing,
we can
obtain
THEOREM
if
The dements
member of //, so that XY~ = HI, H in H. Then .Y //,7, and H,X = HJ],Y = H,Y for all f, with = HJHi. Thus every member of II X is a member of HY. From fly = 7 H^X, H,Y = HJI^X = II k X for all i, we have that every member of # F belongs to HX. Thus flX = 7/F. Conversely, if HX = HY, = H 2 Y so that XY~ = H^H^ then HI and ff 2 exist such that HiX a member of fl. Q.E.D. DEFINITION 8.1. If B = X~ AX, we say that B is conjugate to A,
XY~
is in II.
Assume
XY~
with 4, B,
1.
Every element
If
-XjBJST-
itself,
is
1
.
E~ AE.
1
B is = implies A
2. 3.
(Jf- )-
^-
conjugate to B, since
B = X~
AX
We
If ^1
and
A and B
are conjugate.
have
A = X~ CX
1
F)
B,
of G consisting of the elements E, A, Let us consider a subgroup Let .Y be a member of G not in PI. We form the elements
.
X~ EX =
1
E,
and designate
this set as
X~ HX.
1
Since
(X- AX)(X-*BX) 1
X~ (AB)X
l
is a subgroup of G. We have used the fact that // is a group, which implies that AB is in if A and B are in //. We call H and X~ HX conjugate subgroups. By considering Y^HY, etc., one can construct the complete set of conjugate subgroups of H. DEFINITION 8.2. If // is identical with all its conjugate subgroups, then
X~
1
HX
H is called
307
Example 8.7. The even permutations of a symmetric group form a subgroup, H. X is any odd permutation, X~ 1 AX is an even permutation if A is an even permutation. Thus X~ 1 HX = H for all X so that H is a normal subgroup of G.
THEOREM 8.G. The intersection of two normal subgroups is a normal By the intersection of two subgroups HI, 77 2 we mean the subgroup. set of elements belonging to both HI and 77 2 written HI P\ H%. It is
,
obvious that the identity clement E belongs to HI C\ 77 2 If A and B 77 C\ to then AB to and 77 to HI 2 so that AB belongs HI belong 2 belongs to 77 1 Pi From Theorem 8.3, C\ 77 is a 2 of the finite l 2 subgroup
. ,
must show now that 77 C\ 77 2 is a normal subgroup if HI and //2 are normal subgroups. The set of elements X"~ (Hi C\ H^X belong to HI since any element of HI C\ 77 2 belongs to 77 and, moreover, HI is normal. The same statement applies to 77 2 so that every element of X~ (H l C\ H 2 )X belongs to //i Pi H 2 Thus H L C\ 77 2 is identical with
group G.
1
l
We
all its
Pi 77 2
is
normal.
Problems
form a subgroup // of the symmetric group of 2 '^J ^j Find the right-hand resets II X of G. Find the left-hand cosets of G. Show that H is not a noi mal subgroup of G 2. Show that the subgroup //, consisting of the elements = <S, 2, 3, 4 of FAamplo 8.5, is a normal subgroup of the symmetric group of order 4' 3. If H is a subgroup of a cyclic group G, show that H is normal. 4. A group G is said to be simple if it contains no proper normal subgroups. Show that all groups of prime order arc simple Show that all simple- Abehari groups are of prime order. 6. Let and N be normal subgroups of G containing only the identity E in common Show that if i and N\ are any two elements of and A respectively, then MiNi = NiMi. Hint Consider C = Mi l N^ l MiNi, and show that C = E. l 6. Consider the set of elements E, Ai, A 2 of G such that A~ XA = for all X of G. Show that this set is an Abehan subgroup of (7, called the central of (7. Show that the central of G is normal. Find the central of the group given by Table 8.1. Find the central of the symmetric group of order 3'.
1.
The elements
3!.
order
XH
8.6. Factor, or Quotient, Groups. The set of rational integers form a group relative to addition (see Prob. 8, Sec. 8.2). The zero element A proper subgroup of this plays the role of the identity element.
group
the set of even integers including zero. The odd integers yield a coset of the group of even integers, so that 7 = 7 /i, where 7 is the group
is
of rational integers, 7
odd
integers.
7i is
the group of even integers, and I I is the set of obviously not a group relative to addition since 7 t
is
normal subgroup of
of 7
If
,
7.
If
of
we obtain another element of 7 We may thus write 7 + 7 = 7 we add any element of 7 to any element of 7 b we obtain an element 7i, so that 7 + 7i = 7, + 7 = Ii. Thus if Finally 7 + 7i = 7
X
.
308
we
we denote
all
odd integers by the single element 7i, we note I\ form a group relative to addition, with 7o
We
of the
We
,NA
(8.4)
N is normal, we have X~*NX ~ N, that every element of the NX belongs to N, and, conversely, every element of N belongs to X-WX. Thus NX XN, and NA A N, = so that 2, the right cosets of N are equivalent to the left cosets of N. Let us conSince
is,
set
X~
1,
r,
two cosets
1
of
N.
We
have
(NA )(NA
t
3)
= N(A N)A,
N(NA.)Aj = NN(A,A 3 ) =
Conversely,
with
N(A A
%
3)
another coset of N.
1
N(A A
3 )
= NN(A A
1
J)
= N(NA
)A,
(NA
)(NA,)
If we look upon a coset as a single element, we note that the set (8.4) forms a group. The element TV is the identity element for this group abstracted from the group G and the normal subgroup N. DEFINITION 8.3. The group whose elements are constructed from the normal subgroup of G and the cosets of is called the factor group, or
The order, or quotient group, of N, written G/N. of G/N is called the index of the factor group.
number
of elements,
THEOREM
8.7.
N
1
H C G. If C G/N.
is
is
normal subgroup
of the
subgroup
//,
NC
H
andG/77 =
(N,
=
ly
N + NA + NAz +
. . .
,
+ NA.
NA
1
NA.).
Now
G =
with
N + NA + NA, +
(N,
+ NA, + NX +
.
+ NY
obvious that
G/N =
NA,,
,NA.,NX,
,NY).
It is
G/H C G/N.
DEFINITION
8.4.
The product
,
hi
THEOREM 8.8. If 77 and K are normal subgroups of G, their product L = HK is a normal subgroup of G. First we show that HK is a subgroup of G and that HK ~ KH. Certainly the associative law holds since H and K are in G. Moreover kihjcr = h s since H is normal,
1
309
h^ki
and
(/h/Ci)(/i 2 /c 2 )
(hih^)(kik^)
hk
77JL
The
HK HK
l
is e,
the identity element of G. We leave it to ~ KII and that the inverse of every element
HK
is
again an element of
l
HK.
l
Finally, for
1
any element
1
of G,
777
and K are normal. Thus 777v is identical with all its conjugate is normal. subgroups so that of G one understands DEFINITION 8.5. By a maximal normal group is not contained properly in any normal subgroup of G other than that
HK
itself.
THEOREM
8.9.
Let
of
(?,
D = NI
P\
AV Then
G/N*
GYAT,
^ A/VZ>
^ AT
2 /7;>
(8.5)
intersection of two subgroups of G is the set of elements common to both NI and AY D is nonvacuous since the identity element obviously belongs to D. The reader should refer to Sec. 8.4 for the definition of an
The
isomorphism.
From Theorem 8.8 the product NiNz is a normal NiNz contains both NI and N z Since NI and A Since any subgroup of necessary that NiNz = G.
T
.
normal,
it
makes sense
to speak of
/D.
Z
Now
-
Ni =
with A,
7*
D + DAi + DA +
NzA
lf
+ DA
.
. .
(8.0)
for i -^ j,
distinct.
,
Let L be the
so that
1, 2,
r,
L = N*
NzAi
+NA +
Z
Z
+ NiA
We
show
first
that
2
G.
We
1
have
G = NiN
since ]V 2
NN
2
= N,(D
+ DA^ +
.
+ DA
r)
A^A ~ A
is
~ This implies DA 1 A~ D, 7)^ t diction to (8.6). The correspondence of cosets, DA, <- A^ 2 yields the 2, r, with 7) isomorphism JVi/D
and hence to D.
.
The cosets A^ 2 A z = 1, 2, r, are distinct, for '~ A^ 2 which further implies that A A J 2 ^4 implies N^A^Aj~ a member of A" 2 Moreover A A J is a member of NI since A, arid ~ belong to NI [see (8.6)]. Thus A A J belongs to both NI and A^ 2
N%.
t
,
^ ~
r
7)^4y,
->
a contra,
A^ 2 ^4 t
1,
larly JV 2 /D
^ G/Ni.
= G/N
2.
Simi-
Q.E.D.
310
Example
a6 a6
,
We
G of order
,
6 with elements
,
a,
a2 a8 a4
,
,
three proper subgroups of G are Ni(a z a 4 a 6 = e), AT 2 (a 3 , a 6 reader the show that Ar and A^ are maximal normal subgroups of G. Let Ns(e). = N* We have also have that JVi A^.
e.
The
e),
O
,
We
(a (a
2
,
a4
e)
,
e)
+
(a
4
,
(a
2
,
a 4 e)a
,
(a
2
,
a4
e e)
3
,
8
,
+
,
e)a
+
,
(a
3
,
e)a*
(a
e)
+ (a, a + (a
4
3
,
a6)
a)
(a*,
a2 )
[(a
[(a [(a [(a
2 3
,
a4
6), (a,
a3
a')]
e), (a
a), (a',
]
a 2 )]
2 ),
3
(a
4
),
),
(e)]
< 2
G/Ni.
,
an isomorphism, N^/ D == we mean all elements obtained by multiplying elements of (a 2 a 4 e) with elements of (a, a 3 a 6 ). Note that 4 3 2 a 6 ) = (a, a 3 a 6 ) so that the element [(a 2 ), (a 4 ), (e)] is the unit element (a a e) (a, a
The correspondence
Similarly
(e)
(a
a4
2
e),
(a
<
>
(a,
a3 a6)
,
is
,
N\/D ~G/N>
,
By
(a
a4
e)
(a,
a3
a5)
of
G/N
1.
i.
Problems
Find the maximal normal subgroups of the cyclic group of order 12. Consider any two such maximal normal subgroups, and show the isomorphism (8.5) by constructing their cosets and finding their intersection. 2. Find the normal subgroups of the group of Table 8.1. 3. A group is said to be simple if it has no normal subgroup other than itself and the Show that any group of prime order is simple. identity element 4. Show that G/H is simple if and only if // is maximal Let D = H C\ N, 6. Let N be a normal subgroup of G, H any subgroup of G. H /D. is a group, D a normal subgroup of H, L/N L HN. Show that 6. Find the maximal normal subgroups of the symmetric group of order 24.
HN
8.7. Series of Composition. The Jordan-Holder Theorem. Let be a normal subgroup of G. One then obtains the factor, or quotient, group
G/N =
where
[N,
.
,
NA NA^
l9
.
,
NA
r]
NA
lt
1, 2,
r, is
Let
T =
N,Ai
be a
[N,
NBi,
NB
8]
normal subgroup
of
THEOREM
8.10.
G/N. We prove the following theorem: Every normal group of a factor group G/N
yields a
normal group of G; each normal group of G which contains Af corresponds The first part of Theorem 8.10 to a normal group of the factor group.
states that the set
H
is
N + NB +
1
+ NB
a normal subgroup of G.
Now
X~
Since
mal,
HX = X~
= X~
NX +
1
(N
AT^!
+ NB )X
8
is
normal,
we have X~
T.
NX ^ N for all X in G.
Thus X~ (BiN)X
l
Since
is
noris
(NX^-^NB^NX is in
is in
T and
hence
an
311
(?,
HX an element of H for all X of which H is normal. It obvious that G D H D N. Now assume D H D N with both // and AT normal. From H = N + NA + NA + + NA G = N + NA, + NA + + NA. + NA, +1 + + NA
Thus X~
1
is
is
it
follows that H/N C G/N. We wish to show that H/N is a normal subgroup of G/N. From the fact that H is normal and that A belongs we have that A~ 1 A^A 3 belongs to H. Thus to
%
is is
normal normal
of
H/N
1
are
T
members
of
N(A~ A
l
A,)
may = NE = N.
be that
A~ A A =
3
H/N
so that ///AT
is
Q.E.D.
. .
DEFINITION 8.6. Let Ni be a maximal normal subgroup of (?, N* a maximal normal subgroup of NI, etc. We obtain a series G, JVi, N 2
.
,
k -i/N k are all simple groups the Prob. Sec. for of definition a 8.6) % /N l+ i (see 3, simple group. If were not simple, Theorem 8.10 states that a normal group would
. . .
N 3
l
MD
.
maximal
relative to Af z
JVt+i, a contradiction, since N l+ is assumed These simple groups are called the prime factors The orders of G/Ni, Ni/N z are called the
i
,
.
. .
THEOREM 8.11. (Jordan-Holder). For two series finite group G the prime-factor groups are isomorphic.
This means that
G, say
if
of composition of
we
G = G =
with prime-factor groups
i,
X-2,
H =E K =E
r
8
_,
Hi/Hi,
Hr-i/H r
then r
i 4-4
HJH^ ^ K /KJ+l
with
i
to
r.
312
The theorem is evidently true if the order of G is prime, for in this case there exists only one normal subgroup of G, the identity element, and G/E G/E. The proof of Theorem 8.11 is by induction. Assume the
for any group G whose order, g, can be written as the product of n prime factors or less. We know that the theorem is true for n = 1. Now let G be any group whose order can be written as the prod1 prime factors, arid let us consider two arbitrary series of uct of n
theorem true
= KI, then G/H l 1 l and composition [see (8.7) and (8.8)]. If the set of elements of HI is a group whose order contains at most n prime
H
}
^G/K
We
factors.
By
hypothesis
H /H
T
l+ i
^ K /K
J+}
for
1.
assume,
of G.
therefore, that
HI and KI
8.9
are distinct
From Theorem
G///I
^ K./D,
i
G/Ki
^ H /D
l
(8.10)
where DI = HI C\ KI. Since G/H and G/Ki are simple, Ki/Di and Hi/Di are simple. Hence DI i,s maximal (see Now form the series of composition 8.6).
G, //
of necessity,
Pro}). 4, Sec.
7>n ;; 2| DI,
. ,
/> w
= E
1S
-
G,
A'i,
2,
. ,
Dm = E
IU
From
and the fact that DJDz^D^D*, D 2 /D 3 we see that the two series of (8.11) satisfy Theorem 8.11.
(8.10)
.
. .
^ D. /D
2
.
9,
etc.,
HJ,
(Hi, DI,
,
.
do
2,
But the series D m ) satisfy Theorem 8.11 by assumpD TO ). Thus K r), (Ki, DI,
.
Theorem
two
series (Hi,
2,
r ),
(Ki,
K
+
2,
so that with (8.10) it is seen that the Jordan-Holder theorem holds 1 prime for any group G whose order can be written as a product of n
r ),
factors.
Example
8.8
is
an
are u l v j
(i
0,
Construct the multiplication table for the octic group whose elements = 0, l)^with u* = 1, v z = 1, vu = u*v Find the different 1, 2, 3; j
series of composition and prime-factor groups for the octic group, and show that the Jordan-Holder theorem applies.
8.8.
ment
s of
X(s)X(t)
X(st)
of the
(8.12)
we say we call
that
a group character.
group and
X(se)
X(s)
313
A
== e.
trivial
Example
define
8.9.
Let
G be
an
Let us
X(a r =
)
^2*,/
rt
)r
1,
2,
(8.13)
We have A"(a )A(a ) = ?<2,n/) V (2T,/). = f ,(2ir,/)cr+.) = A set of characters A\ A\ a character of the group
r
8
A(a r +'),
. .
X n -\
1
can be defined by
(8.14)
A'^(a
e<
""
ir
0, 1, 2,
(8.15)
?=1
r=l
(8 14) are
Moreover
n-l
AVa-)A->') M=0
Let us
J <'"'"><M=0
o
If'
I }
(8^)
now
/i,
consider a set of n
.
elements that
</2,
fin
We
A n and a group G with X n matrices AI, A 2 assume that a one-to-one correspondence exists such
, .
.
implies
AA
t
<-> g g,
t
easy to show that the set ol matrices is a group, A, isomorphic say that the group of matrices, A, is a representation of the group G. Any matrix A = ||aj can be thought of as representing an affine (linear) transformation y l = a]x (see Chap. 1), so that a representation of a group implies that a group of afhne transformations is isomorphic to the group G. Let the reader show that, if g % <-> A t is a representation of G, then g t <- B~ A 1 B is also a representation
If su(;li is
the case,
it is
to the
group G.
We
||
of G, |B|
0.
Example 8.10
struct.
is
easy to con-
The
identity permutation
of coordinates x
x, y
y, z
z,
or
x
y
z
= l:r = Ox = Ox
+ + +
1
O//
I//
()(/
+ + +
02
Oz
\z
Ai
1
1
2 3\
'
(1
314
= = =
ij
x
z
= = =
Ox
1X
4-
l/y
+
-I-
Oz
0,2
Oj-
+ 0/y + O//
1
-f
100
1
I.et
8.5),
Since every finite group is isornorphic to a regular permutation group (see Theorem it follows very simply from Kxample 8 10 that one can always obtain a representa-
It
may happen
that a matrix
B^^B
1, 2,
(8.17)
where
(A,), r
=
is
1,2,.
. ,
/c,
are matrices
If this is so,
the original
set of
said to be reducible.
One
is
easily
(A 2 ),
. ,
(A n )j
(8.17) yields k new representations of G. If not, the representation given by (8.17) tions are possible. In this case the correspondence is written irreducible.
said to be
+B
where the sum
2 (A,)
(8.18)
in (8.18) denotes the matrix (8.17). Methods for determining the irreducible representations of a group are laborious. The reader may consult the references cited at the end of this chapter for detailed information on irreducible representations.
Problems
Derive (8. 16). 2. Find a representation for the group of Table 8.1 3. If the correspondence g <-> A, is a representation, show that X(g ) = |A| is a character of the group G. 4. Find a character for the group given by Table 8.1 other than the trivial character
1.
l
X(g
for all g % of G.
(8.19)
315
is
The transformation
a parameter ranging continuously over a given range of values. (8.19) will be said to be a one-parameter transfor-
= =
/Or,
//;M
This value of
t,
to,
(x, y)
invariant.
This corresponds
is
identical
to a third transformation of the family given that if x 2 = f(xi, 2/1 O, 2/z = ^(^i, yi' ti) then
; 9
by
(8.19).
This implies
za
z/2
= =
/(/Or,
/y;
0,
v>(z,
/y;
fi)
<K/(-^
t
/y; t),
J 2)
//; / 2 )
where
3.
is
a function of
and
].
4.
hold.
we
?y
(f>(xi, 2/1
/i)
with
^i
some
func^tion of
^.
Example
for a
8.11.
The
translations
j-j
/>,
//i
y H-
2/>
satisfy the
requirements
The
0,
and the
The
rotations
j*i
?/i
= =
jc
cos 6
sin
t/
sin
.r
//
cos
If
sin 0i
t/2
2:1
sin
0i
+
(0
'
Vi
os
0i>
then
.v
x2
x cos
+
is
00
sin (0
0i
Hi
x sin
(0,
-f
2)
-f-
/y
cos
(0i
2)
The parameter
A third example is the group x = ax, a y. The identity transformation occurs for a s 1. The parameter is multiplicative for two successive transformations.
Infinitesimal transformations can be found as follows: Let
to
be that
Then
(8>20)
^-M//,/)
y
Tf (8.19) is
<p(x,
/y; /o)
continuous
in
,
a small change in
will yield
a transformation
316
differing
by a small amount.
The transformation
*i-/(*,y;fe
yi
is
v(x, y\t*
+ +
e)
and
y\ differ
from x and
y,
respectively,
(8.20)
e is
sufficiently small.
Subtracting
from
5x
by
If
= =
Xi
//i
x
y
= =
/(;r,
y;
//;
U
o
*>0r,
+ +
e)
e)
f(x,
?/; / )
/ and
(p
tQ,
one has
8x
(0"
= ^x
'
?^
^
(8.22)
5t.
-^ ) \o6/ 0=.o
y,
(^ oU/ O-o
J
x,
so that (8.22)
becomes
8x
bt
by
bt
Let us consider the change in the value of a function F(x, y) when the point (#, y) undergoes an infinitesimal transformation. One has
8F
F( Xl
yi )
F(x, y)
dF ~
3x
dF
Sy
From
(8.22)
one obtains
The operator
""Os + 'D"
defined by
23 >
is
t
very useful. Equation (8.23) can be written as dF = (UF) dt. If corresponds to the identity transformation, we can replace 6 by 2,
t
remembering that
equations
is
small.
It is interesting to
note that
if
one
is
= =
x
(8.25)
317
= =
/(z, 2/;0
(8.26)
<f>(x,y;t)
is
(8.26) yields a
2/i
To show this, a one-parameter group additive in t. curve starting at the fixed point (x, y).
vary
(see Fig. 8.1).
let
Now
2,
2/2)
= =
Xi at
ti
=
=
(8.27)
dy*
/2)
2/2
2/i
at
/i
If
we
let
tz
ti
t,
fixed, (8.27)
becomes
Xz
,1*^
(2)
ctt 2
=
=
x\ at
tz
=
(8.28)
^2/2
^2) 2/2
2/i
at
tz
=
conditions as (8.25),
initial
f(xi,
2/1; t z )
/Cri,
2/1
'i
,g 29)
= x\, 2/2 = 2/iAt t ti we have x% same curve as given in Fig. 8.1, and for > t we obtain an extension of T to the point (# 2 2/2). Thus the product of two transformations belongs to the group, and the parameThe establishment ter t is additive.
1
,
It
i>
(x l9
yj at
is left
to the reader.
Let us now begin with a group transformation given by (8.19) and attempt to establish a system of
differential
and t. we have
2/i,
From
o
FIG. 8.1
=/(x, y,p(t,
ti)
<P(X,
1/3(1, ti
= f(xi, = <P(XI,
2/1
h
(8.30)
7/1;
when
t
Xi
and 2/1 are replaced by the values as given by (8.19). choose as that value of the parameter which yields the identity element.
We
318
since /(zi, y^ 0) = Xi = f(x, y\ entiate (8.30) with respect to h, keeping x, y, and t fixed.
Of
necessity, 0(t, 0)
t,
t).
We
differ-
Thus
Evaluating at
t\
yields
dt
d<p(x, y,t)
dt
\dtj tl
!
From
(8.19),
^ = feliJl,
at
dt
j, so that
(8.31)
where
X(0
X(<)
1
LVflii/i.-oJ
(^
If
is
additive,
we have
&(t, ti)
and
(8.31)
becomes
(8.25).
In
any case
0&i, 2/0
i?C&i, 2/i)
so that the change of variable, u = J\(/) dZ, reduces (8.32) to (8.25). Thus one can always find a new parameter such that the group transfor-
mation
is
Example
solution
is
We consider -~
x/(l
xt), y\
xj,
-~ =
1,
with
xi **
x,yi
**
y &tt
Q.
The
Xi
=<"+?/.
consider an arbitrary function of x and i/, say, F(x, y). F(x\, y\) for t small can be obtained as follows: Since
t), <p(x,
2/i)
F(f(x, y,
0,
is
in a
dF(xi,
2/1)
*i
F(XI,
d^
7,9
(8.33)
Now F(xi,
y t)
y).
Also
319
dt
dyi dt
dF
dF
is
additive.
Moreover
dt 2
From
= U 2F(x,
y).
By
mathematical
induction
it
dF(x
l9
yi
dt n
= UF(x,
y)
Equation
(8.33)
F(x l9
yi)
F(x, y)
+
x\
(UF)t
(U*F)
(8.34)
For the
we have
%i(x, y>
f)
(Ux)t
(U
x)
Example 8
14.
For
(x, y)
y, ij(x, y)
x we have
-2,
so *U that
4.
Ux = -y
U*x
- -x
U*x
**
\
t
21
+4!
y sin
---)-H'~3! + 5!
/^,
i <
,
\
)
x cos
Similarly y\
x sin
-}-
y cos
/,
is
obtained.
320
1.
Show
_ ~
V/c 2 x
Note that the parameter V is not additive. 2. Find the transformation group obtained by integrating
3.
If Sl(x, y) is
ll(x, y)
=
z
to(xi,
y\\ show
-f y
is
an invariant
Given
(x, y)
y, r)(x, y)
=
=
/
x, find
6.
The
differential
equation
~
(
-j-
formation x
txi,
tyi,
for all
/,
since
=
Xi
and -~ =
dx
^
dxi
Let
dxi
In
In
i/i
+ In
Vi 4- a,
In
The equation -- = /
becomes
I u, v, ~r~ j
=0, and F
( u, v,
~
J
is
MI, v
v\
+
( u,
^,
of
y,
so that FI
fly --
Integrate
^
^2
dx
_1_
j-
=0
can be integrated by
--
8.10.
Symmetric Functions.
x\, x^,
. .
A
,
function F(XI,
if
x%,
xn)
is
a sym-
metric fuiKition in
1,2,
o; n
... ,n
leaves / invariant.
f(Xi,
The function
^10:20:3
X2
#3)
+
y
X\
X\
X
If
is
invariant under the symmetric group of order 6. Xi)(x Xn) we obtain product (x xz) (x
-
we expand the
(X
Xi)(x
'
'
'
Xz)
(X
Xn) xn
<TiX
n~ l
o- 2
xn
-2
<r 3 o:
n- 8
-lV
321
= = =
=
xi 4-
XiX 2
x + x + + XiX +
2
3
3
'
'
'
+ xn + XiX n + X X +
'
'
'
+ X n_lXn
(8.35)
ZxtXjXk
^j
Xn
;*
k 7*
(7 n
XiX 2 X 3
1, 2,
. .
'
The
(7 t ,
functions.
function.
true.
We
=
fundamental symmetric apparent that any function of the o-'s is a symmetric A few examples lead us to suspect that the converse is also note that/(x x 2 ) = x? + x\ can be written as
. ,
It is
3 ,
(Xi
+
^2
0*2)
with
(7i
x\
2,
=
,
XiX 2
/(Xi,
X 2 X 3)
,
xfx
(xiX 2 x 3 )(#i
+
.
x2
+
.
x*)
o- 3 <7i.
The Fundamental Theorem of Symmetric Functions. x n ) is a symmetric function (multinomial) in Xi, x<t, If f(xi, x 2 <r n x w ) = g(<ri, o- 2 then /(si, x 2 o: n ), that is, / can be written as a multinomial in the fundamental symmetric functions <7i,
8.12.
-
THEOREM
,
0*2,
o'n-
The proof
is
of the
theorem
is
by mathematical
induction.
The theorem
Let certainly true for a function of one variable since f(xi) = /(0"i). 1 variables. us assume the theorem true for a function of n Thus if
f(xi,
xz
. ,
. ,
Zn-i)
. . ,
.
,
a n ~\).
Now
x^
Then
;
.
f(xi,
x n -i, 0) is a symmetric function in Xi, 0^2, x n -i, 0) = g((ffi) Q tion we can write /(xi, x 2 x2 x2 x n ((n)o = xi where vi = Xi
.
. . . ,
x n -i so by assump. .
,
(cr 2 )o,
(o- n -i)o),
+
-
+
.
+
=
0,
x n _!
+
1,
0,
etc.,
.
that
,
is,
(0-^)0
is
the value of
<r,
evaluated at x n
is
for j
2,
n.
Now if f(xi,
x^
==
a(xi
x<z
+
.
+
Xn)
x n ),
xn)
assume the theorem true for any symmetric multinomial This is a double mathematical induction type of proof.
sider h(Xi, X 2
It is
.
. ,
of degree
<
<T n
k.
Now we
.
con_i).
3= /(Xi,
X2
. ,
. ,
Xn )
g(ffi,
0- 2
. ,
obvious that h
is
also symmetric.
Now
.
h(Xi,
X2
Xn-l, 0)
/(Xi,
X2
.
,
X n _i, 0)
.
(cTn-l)o)
so that x n
is
a zero of A(XI, x 2
is
factor of h.
factors of h.
h(Xi,
Since h
Thus
X2
,
.
Xn)
XiX 2
'
'
X n 8(Xi, X 2
. ,
Xn )
ff n 8
322
where
l,
#2,
Xn)
g((Ti,
(T 2
.
,
<T n -l)
ff n
s(Xi
Z2
.
,
XH)
The degree
s(xi,
J*2,
.
.
of s is k
.
,
n < k, so that, by the induction hypothesis, x n ) can be expressed in terms of the fundamental symmetric
functions, yielding
2,
.
,
#n
00" 1,
0*2,
OVi-l
<r n /(Ti,
<T2,
<T n
Example 8
/(a?,,
15.
We
consider
x2
*,)
r?
a?i
s? -f
2ar,aj s
2x,r 8 -f 2r 2 o- 3
^\x\x.
3.r?r>2
is
symmetric.
Let us consider
(ar,
x\
*l
2xix t
xtf =
[(r,)
2
]
The function
a\
We
note that
/
so
o\
3x 1X2X3(2; \xi
0*2X8)
3<r2<rji
that / =
<rf
3o- 2o- 3 .
Problems
1.
Show
that
(1
-f j-?)(l
-f xj)(l
arj)
+
-\~
<r?
2<r 2
+^ H?
2cr,r 8
2
o3
2.
Let
/3,
xz
,
px
2
+
=
<?x
Show that
2
al+JH
~-~
2,
4.
72
P* 4- T
V~~
2p <y pq
-f
r
4pr
3.
Referring to Prob.
show that
2
/3
+
=
<*V
Xi
+
X2
X\
2
)3
72
q*
-f
2pr
Xn
4.
Consider
Sl
-f
X\
Express a* in terms of
Si, 82, s 3 .
8.11. Polynomials.
n
We
ckx
k
shall
p(x)
Y
fc-O
Co
+
.
.
Cix
dx*
'
'
'
c nx
(8.36)
0, 1, 2,
n, are
assumed to belong to a
field.
field F.
If
a set
we can perform the simple operations of The and their inverses on these elements. addition, multiplication, zero element and unit element belong to a field and the distributive laws, The complex numbers a(b + c) = ab + ac, (6 + c)a = ba + ca, hold. form a field. A subfield of the field of complex numbers is the field of The rational numbers form a subfield of the field of real numbers. Let us consider the set of real numbers of the form real numbers. a + b \/2> where a and b are rational numbers. The sum and product The unit element of two such numbers is evidently a number of this set. = is is 1 = 1 + and the zero element We must + -\/2. \/2, show that every nonzero number has a unique inverse. From the fact if and only if a = b = 0. that \/2 is irrational we have a + b \/2 =
of elements belong to a field,
Assume a
[(
6) /a
2fr
2 26 2 + \/2 7^ 0. Then it is easy to show that [a/a \/2 is the unique inverse of a + b -\/2. Let the reader
]
solve
(a
V2)(rc
0.
y A/2)
\/2
for x
and
?/,
2b*
We
an algebraic extension of
the field of rationals, written R(\/2). sions of a field in the next section.
We
If f(x) and g(x) are polynomials with coefficients in a field F, we say that g(x) divides f(x) if a polynomial h(x) with coefficients in F exists such that f(x) = g(x)h(x). An important theorem concerning poly-
nomials is as follows: Given two polynomials with coefficients in F, say, f(x) of degree m, g(x) of degree n, there exist two polynomials with coefficients in F, r(x) of degree < n, s(x) of degree m, such that
<
r(x)f(x)
s(x)g(x)
d(x)
(8.37)
is the greatest common divisor of f(x) and g(x). All other divisors of both f(x) and g(x) are divisors of d(x). The coefficients of d(x) are in F.
where d(x)
b(x)g(x)
We consider the set of all polynomials of the form a(x)f(x) + with a(x) and b(x) arbitrary. These polynomials have degrees (exponent of highest power of x) greater than or equal to zero. A conProof.
t
stant
a polynomial of degree zero. Let a(x) = those polynomials for which the degree of a(x)f(x) imum, but not identically zero, and let
is
r(x), b(x)
=
is
s(x)
be
b(x)g(x)
a min-
d(x)
r(x)f(x)
is
s(x)g(x)
Any now
and
q(x)d(x)
t(x)
degree of
t(x)
<
degree of d(x)
324
d(x)
0.
Hence qd =
qrf
qsg
=/
t,
and
(8.38)
From
is
impossible unless
t(x)
0,
so that
Similarly d(x)/g(x).
<
<
1)
degree off(x).
8.16.
Let f(x)
the greatest
= x 2 + 1, common divisor
x.
Then
g(x).
(x
(~x)x
1,
so
and
We
relatively prime.
Problems
that the integers do not form a field. that the set of numbers x ly -%/3> x an(l y ranging over numbers, forms a field 1 is the greatest common divisor of f(x) = x z -f 1, g(x) 3. Show that x
1.
2.
Show Show
all
rational
(x
I)
2
.
such that r(x)f(x) + s(x)g(x} = x + I. Are r(x] and s(x) unique ? 4. Let f(x) and 0(:r) be polynomials with coefficients in a field Fi, with F\ a sub field of the field F. If f(x) and r;O) are relatively prime with respect to the fipld /<\ show that f(x] and g(x) are relatively prime relative to the field F. How does this apply to Prob. 3? 6. Do the set of numbers a -j- b \/2 + c \/3, a, 6, c rational, form a field? What of a + 6 + c V3 + d >/6 ? 6. Let F be any field. If we label the zero and unit elements and 1, respectively,
Find
r(x)
and
s(x)
V2
and
define
1+1
=2,
etc.,
field
8.12.
of a Field F.
Let p(x)
in
polynomial with coefficients in a field F. We say that p(x) is irreducible F if p(x) cannot be written as a product (nontrivial) of two polynoWe say that p is a zero of p(x) or a root of mials with coefficients in F. Kronecker has shown that one can always extend if p(p) = 0. p(x)
=0
the
p(p)
field
F
i
in
0.
The
such a fashion that a new number p is introduced, yielding 1 = solution of x 2 involves the invention of the
number
p(p)
\/~~
THEOREM 8.13. Let p(x) be an irreducible polynomial = 0. If q(x) has coefficients in F, then q(p) =
Since p(x)
is
in
such that
implies that
g(x) are rel-
Proof.
atively prime.
From
and
A(x)p(x)
for
B(x)q(x)
some A(x), B(x). Thus A(p)p(p) + B(p)q(p) =0 = diction. Thus p(x) divides q(x). Two corollaries follow immediately from Theorem 8.13.
1,
a contra-
325
COROLLARY
such that p(p)
1.
p(x)
0.
is
=
2.
COROLLARY
p(x)
If
n~ l
we make the
unity,
xn
c n -ix
Co,
then p(x)
unique.
. . .
DEFINITION
8.7.
The n zeros of p(x), say, pi, p 2 p n are called The zeros of x 2 2, namely, \/2, \/2> arc It follows from Theorem 8.13 that any one of
,
,
the n conjugates of p(x) determines p(x) uniquely, assuming that the leading coefficient of p(x)
is
unity.
THEOREM
8.14.
Let
with coefficients in a
field
The numbers
if
p,
are lin.
.
.
-1
constants c,
=
1
0, 1, 2,
n-
1,
exist in
such that
c^p*
=
=
0,
then
t(x)
y
fc=o
c*a;* is
a poly*
nomial in
0, a contradiction to Corollary 1. the following: Given the irreducible polynomial = 0, one can obtain a field F\ p(x) with coefficients in F such that p(p) We call F\ an algebraic containing p such that F is a subfield of F\.
of degree
<
An important
result
is
extension of
F and
write F\
F(p).
The elements
T
form
I
(8.39)
with
6; p 7 7^ 0, a t in F, b3 in F.
j=0 Let the reader show that the elements of the type given by (8.39) form n~ l c n -ip a field. By using the fact that p n one has CQ =
+
11
'
'
'
- ~ (Co +
Cip
+
2
'
'
'
+
'
"
Cn-lp
= - (Cop +
Cip
'
C n -2p
n~ 1
)
+
so that powers of p higher than
C n _i(Co
Cip
'
'
'
Cn-lp"-
n
1
powers.
P
3
For example,
if
+p+
2 6
= -(P
1)
-P-P
= -p 2
= -P
+p+
etc.
We
be written as
326
polynomials in
p.
The denominator
=
of (8.39) is
b3 p3
Let
h(x)
y-o
Since h(p)
Sec. 8.11
0, of
necessity h(x)
relatively prime.
From
we have
A(x)h(x)
A(p)h(p)
+ +
is
B(x)p(x)
B(p)p( P )
A(p).
r
= =
A(p)h(p)
Thus
n-1
t-0
p.
a(p)
= A(p)~
t=0
by using the
Example
p
\/2.
all
cases.
The field R(\/2) is obtained by considering x z - 2 = 0, p 2 - 2 * 0, This is not true for The same field is obtained if we consider p = -\/22 belong to the field of rationale. The elements of The coefficients of x z
8.17.
a -h b \/2, a and b rational. bp /2(\/2) are of the type a It is easy to show 3 = 0. Next we consider the polynomial equation p(x) = x 2 that p(x] is irreducible in the field R(-\/2) since \/3 = a -f & \/2, a and 6 rational, is
Let the reader show this. Now the coefficients of x* 3, namely, 1 and belong to R(\/2). Hence we obtain an algebraic extension of R(-\/2) by conb \/2) -f- (c 4- d \/2) \/3> a ^> c d sidering the set of numbers of the type (a This is the field /(\/2, \/3)> and its elements are of the form a -f- b \/2 -h rational. c \/3 d \/6, a, b, c, d rational. In a similar manner we could construct R(\/3 \/2).
impossible.
3,
>
be any number of the algebraic extension F(p) Then a is the zero of a polynomial f(x) with coefficients in F. We say that f(x) = is the principal equation of x = a. Let the conjugates of p(x) = be p = pi, p 2 p 3 Proof. pn
8.15.
THEOREM
Let
0.
Since a
is
in F(p), of necessity,
ai
a
of
i
We
defined
by
= =
+ +
ip2
flips
+ +
a 2 pl
2p3
+ +
'
'
'
'
+ +
an-ipS"
fln-lpS"
1 1
/o
.QX
Certainly f(x)
(re
ai)(x
x2)
(x
n)
has
as a zero.
We
327
Now
xn
Moreover 2ct,, S<x,a*, etc., are certainly symmetric in the p, i = i, 2, n, and so can be written as polynomials involving the fundamental
. . . ,
symmetric functions,
+ P2 4Plp2 + Plp3 +
Pi
PlP'2
"
4- Pn
*
'
'
Pn-lpn
(8.41)
'
'
'
pn
The elements
Thus the
Example
of (8.41) are
simply the coefficients of p(x), except for some by expanding (x p2) pi)(x (# p n ).
Referring to
Then
Example
8.17,
we
consider
a.
=
4
on
4 \/2.
4 \/2,
and
f(x)
(x (x
x2
ai)(x
3)
6.r
2
- 32 - 23
2)
(x
3 4- 4
V2)(x
-v/2)
The
Example
of p(x) f(x)
8.19.
=
[x
x*
+
(I
[3
3x
Let us find the principal equation of a 1 -f- p 2 where p Let the zeros of p(x) be p = pi, p 2 p 3 Then 4- 2.
, ,
.
is
a zero
= x8
2
3 )]
-f p
+
3
(1 4-
p )(l 4- p
2
)
From
ai
0"2
<T3
= = =
pi 4" p2 4" PS
=
P3pl
P1P2 4- P2P3
+
2
2
P1P2P3
we have
Pl
+ P2
4- P?
-0 -
(Pl 4- P2 4- P3)
2-3 - -6
Also
(1 4- P?)(l
+
2
2
<rj
2<r 2
4- a\
2o"io- 3
rj
8 (see Prob.
1,
Sec. 8.10).
2
Moreover
2 2
(1 -f
P )(l 4- P 2 ) 4- (1
P 3 ) -f (1 4- pi)(l 4- P 3 )
)
==34-
2(pf 4- P 2 4- P
4- (pip2 4- PIPS
psp2)
Hence
f(x)
x3
+2(-6) 2 8. 4- 3x
+9-0
We
2 )
check that
3
1
2
+
2
)
satisfies
(1 4- P
4- 3(1 4- P
-8 =
3p)
We
have
/(I 4- P
2 )
since p 8 4- 3p 4- 2
0,
+ 9p - 4 2
328
1.
Show that
1,
x s -f x
zero of p(x)
m
is
= n =
xs
+
1.
Hint: Assume x = m/n is a Show that of necessity n integers m lowest form 1 show that p(x) has no rational zeros Why By testing x =
=0
-f-
1,
m and
x4
The polynomial
is
p(x]
-f
x3
2x 2
-f
-f-
How-
ever, p(x)
reducible
the
field of
rationals since
Is this a contradiction ?
2 x 3 -f x -f 1 (see Prob. 1). Let p be a zero of p(x) p Express 1 + p + P /1 as a second-degree polynomial in p n If a 4. Let /(x) = ao -h flnZ + n, integers a, t = 0, 1 2, 2 prime number p exists such that p does not divide a n p divides o for i < r?, /> does not divide c?o, then /(x) is irreducible in the field of rationals. This criterion is due to Eisenstein. Show that x n p is irreducible in the field of rationals, p a prime. Show the field of rationals. that f(x -f 1) = x* + 2x + 2 = (x + I) 2 + 1 is irreducible Why can one immediately make the same statement for f(x) x~ -f- 1 ? 4 2 <r Let the zeros of p(x) be p, Show 6. Consider p(x) = x -f- 3x -f- 9. p,<r,
3.
+p
1 -f
Op
is/(.c)
[(a;
I)
81
2
] .
7.
A
is
polynomial
irreducible
is
0, and obtain the field R(\^2, \/2). Show that said to be separable if it has no multiple zeros
if
p(x)
8.
it is
separable.
(x
Consider f(x)
is
ai)(x
2)
.
(j
),
the
defined
by
(8 40)
If
f(x)
[/(a:)]
If /(x) is reduci])lc in F,
then
Assume
which /i(i)
r=
0,
so that f\(a\(x}}
is
is
zeio for x
pi, P2,
.
=
.
pi.
zero for
j"
pn
f(a n )
0.
If
/W =
x
[/i (x)l
k
,
otherwise f(x)
fi(x).
8.13.
a.
We
say that a
8.16.
If
is
in F.
THEOREM
is
a primitive
F(p)
number
of F(p),
then
F (a) =
that
is,
every number of F(#) belongs to F(p), and conversely. a n ) be the principal Let f(x) (x at) (x a\)(x Proof. = Define of a a\. <p(x) by equation
-
^-^Vx-a.'x-a,
The
p,
i
-.,
Then
1, 2,
n, are the
Since f(x)
is
assumed
irreducible, /'(ai) ?^
(see Prob.
6,
Sec. 8.12).
329
of
it
<f>(ai)/f'(ai),
so that pi
is
number
in F(cti).
Any number
pi,
Why? Since i is a polynomial in F(pi) thus belongs to F(ai). follows that any number in F(ai) is a number in F(pi). Q.E.D.
THEOREM 8.17. Let pi be a zero of pi(x), a\ a zero of pz(x), Pi(x) and can form the fields JP(pi), F(cri). If pz(x) pz(x) irreducible in F. is reducible in F(pi), we consider the irreducible factor of pz(x) having In this way we can form F(pi, a\) (see Example 8.17). (TI as a zero.
We
Let the reader show that F(pi, a\) = F(cri, pi). We show that an irreducible polynomial in F exists yielding a field F(r) such that F(T) = F(pi, <TI). Let Proof.
TI
T2
= =
api
Oipi
+ +
jSdi
/3CT 2
with a and
in F.
The
p,,
t
.
=
.
1,
.
2,
,
.
,
= 1, 2, = 0. n, are the conjugates of ^(x) 0, and the o-,, t Pi(x) We (;hoose a and so that the r,, j = 1, 2, ran, are all distinct. This can be done since, if ap + fay = ap k + fa then
=
.
t,
,-
fc
(8.42)
P^
Pk
There are only a finite number of ratios in (8.42), so that a and ft can be chosen such that (8.42) fails to hold for all i p^ A:, j ^ I. For i = k we have faj 7^ fa if <r3 7^ (TI. For j = I we have ap, ^ ap^ for i 7^ k. Next
i
we form
g(x)
= =
(x
x wn
n)(x - r - (SrOz- +
2)
1
(x
r mn )
(-I)
mn
rir 2
T mn
(8.43)
Any interchange of two p's leaves the coefficients of g(x) invariant, as does any interchange of two o-'s. Thus the coefficients of g(x) are in F. That factor of g(x) irreducible in F having TI as a zero generates F(TI)
with
TI
api
fai-
Since
TI
api
ry
+
T?
fai, F(TI) is
0*1)
a subfield ofF(pi,
(TI).
We now
F(n) =
of jF(pi,
is
F(pi,
(o
If
r;
is
in F(pi,
o-i),
+
n
1
(60
+
'
6ipi
'
+
1
+ + bm-ipf' )^ + (C + Ctpi + +
1
'
Cm-ipf- )^?-
;-=0
i=0
330
with the d l} in F.
replacing p\
The mn
,
1
. ,
by
p2
p3
pm
and
<r\
by
cr 2
0-3,
<r n
in all possible
ways.
We
define (p(x)
by
(8.44)
Let the reader show that 771 = <f>(ri)/g'(Ti), g'(ri) 7* 0, since g(x) no multiple roots. Hence 771 belongs to F(r\). Q.E.D.
Example
8.20.
has
We form n =
No two
We
consider x*
\/2
+
-
\/3, r 2
_= \/2 -
=_(),
r2
\/3, r 3
\/3-
\/3-
Then
n)(x
n)(x
TI)(X
T4)
x4
lOo- 2 4-
The
is
It
-f*
irreducible in F.
Thus
g(x)
generates F(\/2
the form
6(\/2
-f
\/3)
2 c(A/2 -f A/3)
d(\/2
-f
V3) 3 =
+ V2
?y
-h
?*
\/3
-f
w\/6
j, y, u, v rational.
Thus F(\/2
\/3)
/^(
V2,
p%(x)
and
p\ ?* a\
P2-
can be generated.
Continuing,
,
.
we can
adjoin to
all
the roots of p(x) = 0, obtaining F(pi, p 2 A single number r p n ). The irreducible polynomial exists such that F(r) = F(pi, p 2 p n ). It is a poly0. having r as a zero is called the Galois resolvent of p(x)
. .
,
. .
nomial of degree
n
n!, since
we need only
such that
T'S
permutations of
the
in
p^s
The
Theorem
DEFINITION
F( Pl )
= Ffa) =
= F( Pn
is said to be normal and F(p) is called a normal then p(x) or p(x) In this case F(pi) = F(pi, p 2 extension of F. p n ) and p(x) is its own Galois resolvent.
,
. .
.
=0
Example
division
8.21.
Consider p(x)
-f 1
x8
2
3x
-f 1
=0.
3).
x8
are
3x
pi, 2
By
of
(x
p)(x
-f
px -f p 2
The
other
two
2
roots
p(x)
- (-1
Vl2 -
52
-f-
3c 2
-f"
2ac.
It is
a perfect 2 2 2 bp -H cp ) a, 6, c rational. 3p = (a Using the fact - p, we have 12 = a 2 - 26c, = -c 2 -|- 2ab 66c, = 2 is a rational easy to check that a = 4, b I, c
2 3p )/2.
We
show that 12
,
3/>
is
+
2
solution so that pi
2
,
p2
2,
F(pi)
F(pt),
and p(x)
is
normal.
331
2 = 0, p 2 (x) = x 4 Consider p\(x) = x* 2 = 0, with pi(rc), p z (x) irreducible in the field R of rationals. Find 7?(\/2, v^) 2. Find a Galois resolvent for p(x} = x 3 + 2x + 1. 2 3. Show that p(a*) = j 8 3s 2 ) j* + 2r(r* -j- 3s 2 ) is normal for r and s integers 3(r in is irreducible the field of rationals. provided p(x) 3 2 4. The discriminant of p(x} = x 3 Show that the px 9 is A = 4p 27</ discriminant of p(x) of Prob. 3 is a perfect square. 5. Show that 171 *>(ri)/0'(n), ?(z) defined by (8.44).
1.
Automorphisms. The Galois Group. Let us consider the field R(\/2) composed of all elements of the form a + b \/2, a and b rational. We consider the one-to-one correspondence between a + b \/2 and its b \/2, written a + b \/2 <-> a 6 \/2. Let us look conjugate, a
8.14.
more
If
u
then
(x
+y +v
=
\/2 \/2
*-+
<->
x u
y \/2
v
\/2
+
(x
y v/2)
(u
+
+
\/2)
(x
u)
+
<-*
(y (x
+ v) \/2 + u) - (y +
(x
v)
\/2
(7/
y -v/2)
\/2)
y \/2)(u
v -x/2)
(xu
2yv)
->
(xw
+ +
(xv
+
(x
yu) \/2
2yv)
- yV2)(u <->
',
(xv
yu) \/2
v -s/2)
written a
or a!
/(a),
a/3 <~>
),
a',
<is
a and
of
it,
of the field,
0',
of the field.
From above we
morphism
attached to
all
b -\/Z is an automapping a + b \/2 <-> a R(\/2). Every field has at least one automorphism the identity mapping, <-, for all a of the field. Not
one-to-one mappings of a field into itself yield an automorphism. Witness the mapping x <- 2x, with x ranging over the field of real num-
For y <- 2y we have xy <- 2(xy) ^ (2x)(2y). Under an automorphism the zero element maps into itself, as does the unit element, for = a <-> a' + x = a', so that x = 0, and <-> a <-> a', x, imply a + = a <-> a', 1 <-> y, imply a 1 a *-* a'y = a', so that t/ = 1. We say that and 1 are left invariant under any automorphism. Let the reader show that the rationals of a field F remain invariant for all automorphisms of It is also a simple matter to show that the automorphisms of a field F. = fz (y) are automorphisms AI and A^ form a group. If a = /i(/3), we define A^Ai as the automorphism a = fi(fz(y)) = /S(T). Let the reader show that under this definition of multiplication the set of autobers.
-
332
morphisms
form a group.
The
is
the
identity automorphism. Let us return to the irreducible polynomial p(x) with coefficients in F. = F(pi, p 2 shall be interested in the extension field p n ) with = = 0. consider only those autopt i 1, 2, ft, such that p(p ]
We
,
We
p n ) which leave the elements of F invariant. automorphism is one of this type. Let the reader show that the set of all automorphisms of F(pi, P2, pn) leaving the elements of F invariant form a group. DEFINITION 8.9. The group G of automorphisms of F(pi, p2, p)
morphisms
of F(pi, p 2
The
identity
leaving
invariant
.
,
is
.
0,
or the Galois
group of F(pij p 2
p n ) relative to F.
is
THEOREM
8.18.
If
p(x)
normal
group of
Pn)
= F( Pl = F( P z) =
)
^^
'
= f (p n
fc
,
since p(j)
is
assumed normal.
of the Galois
Jf
p(x]
fc
N
=
a^'
pi
ri
then a*
<-
A-
for
any
automorphism automorphism
be a zero of
group G.
TJ
Let
<->
of G.
Then Thus
N
fc=0
akp\
y
Jfc=0
a^
.
.
=
. ,
0,
so that
cr
must
q(x).
(pj <~^P2J,
(PI <->
p n ) are the
We must remember that (pi *-* p t ) comonly possible elements of 6 pletely determines an automorphism of G since any element of F(pi, p 2 n-l
,
pn)
is
of the
form N
k*=0
b^pj,
with
?>*,
fc
0, 1, 2,
in F.
If p(#) were not normal, we could not make this statement. If p(x) is not normal, the order of G is less than or equal to n\ Why? Finally, we shall wish to use the faet that the Galois group G can be made iso-
morphic to a regular permutation group (see Theorem 8.4). THEOREM 8.19. Let p(x) be normal. If a is any element of F(p = pi) which remains invariant under all automorphisms of (?, then a is an ele-
ment
of F.
Proof.
We
know
that
all
elements of
if
F remain
Then
invariant under G.
We
p(x)
is
normal.
Let a
a\ be
an
ele-
ment
and consider
ai
its
conjugates.
bQ
333
and f(x) a n ) is the principal equation of (x ai)(x az) (x a = a\ (see Theorem 8.15), and the coefficients of f(x) are in F. But = a2 = = oi n since a\ is left invariant under G. Thus i
' ' '
f(x)
(x
n
oi)
xn
nax n
~1
n
(
l)
an
so that
na is in F, which implies that a is in F. Q.E.D. DEFINITION 8.10. If the Galois group is cyclic, the equation p(x)
7?
is
said to be cyclic.
THEOKEM
8.20.
If p(x)
dkX
is
cyclic
by a finite number of rational operations and root extractions on elements of F(w), (addition, multiplication, etc.) The degree of p(x) is n, and the where w n = 1, w ^ 1, arg w 2ir/n. It can also be shown that F(w) can be coefficients of p(x] are in F. generated by a finite number of rational operations and root extractions on the elements of F. We omit proof of this latter statement. Since p(x) is normal, G is composed of exactly n elements. Proof. Moreover G is assumed to be cyclic, so that a single element generates G.
solve for the roots of p(x)
=0
Let
J.
= = -
PI
'2
Pl
p,
fc
+ + +
III+
P2 4- Pi
Wp<>
-r Pn
_L
=
l
Q>n-l
"
+ W"~ p n + -'>p.
/0 Ar ^ (8 45)
'
The
P(f 2 )
in
2.
1,
2,
n, certainly
P2
+ wpt +
ri
+
=
Thus
2
raising
is
w pi = 2/1^, since w n = 1.
n~ l
pi.
Now
as a parameter But [P( 2 )] n = P(?) since n then permuting the indices 1,2,
.
.
equivalent to first permuting the p's and then raising the new entity Thus P( 2 ) = 2 so that ^ is invariant under P of G. to the Tith power. 2 = is invariant From P (?) P[P(2)1 = P(?) = 2, etc., we see that
for all
elements of G.
The same
result applies to
7,
5,
J,
Now
2
tto(pl, P2,
>
Pn)
,
+
by
of
Ol(pl, P2,
Pn)W
+
n
is
'
'
'
a n _i(pi, p 2
. ,
Pn)^""
iy
2
=
a2
,
1.
We
. .
in /^(ty).
.
G we
have a
<->
a2
<-^
a n _i
<->
a^.
Since
^ is
334
invariant under
we have
+
=
for all
a n ~\w n
aj
a[w
+
-
aX +
+
l
.
+
=
a'^w*-
(8.46)
such that
wn =
1.
Now
b,x
the equation
q(x)
=b +
1,
n
+
.
. ,
kn-i^- 1
has exactly n
for all
Oo, ai,
roots.
Equation
w,
2
.
w satisfying w =
.
1 if
wn ~ = aj, ai =
(r,
(8.46) is of this
Thus
a[,
. . .
(8.46)
,
a n -i
a^-i.
Hence
Hence
t,
2 is 1, 2,
in F(w).
.
.
.
The same
F by Theorem 8.19.
3,
,
nth roots of elements inF(w), w = e 2?ri/n We now look upon (8.45) as a linear system of equations in the This system has a unique solution provided unknowns pi, p 2 pn the Vandermonde determinant
i
&
The
.
n, of (8.45) are
D(w) =
w w
w4
(8.47)
wn
is
different
from
zero.
D(w) =
H
,
(w
w>) T* 0, j
>
Hence the
t ,
1, 2,
n,
8.22.
In Example 8.21
we saw
is
group
r
of order 3.
=0
Then
PI
4- pa H- PS
=
(8.48)
f2
PI -h
WPJ
f
^ =
with
Pl
+ W*PJ p2 + ?P3
w =
3
1,
w;
5^ 1,
w2
+
==
-f
3, pip2p.<
=
==
P?
(pi
P2 P2
pi 4P.O
2
(W
Pa
-
-f (P1P2
P'2p.{
P3pl)(?
?# 2
2)
g+
~
8 2
^3
^)
= 9 - 2(p'] + P 2 4- Pj) - 3(P!P2 + P2P3 -f P'PI -f PIP. -f P = 2(p] + p2 -h p-j) 0(pi -j- p -f ps)(pip2 + P2pt 4= -27 = (& 4- ^) - 4gg - (-27)2 _ 4(9)3 = _ 2)18 7
3
+
i)
P?P 8 )
4- 27pip2ps
-^
-27 V3*
335
g = -27
|,
3
y-' 6
It is
= -27
so that
2
lL-..
s
Note that
l
gg and
p2
,
9.
The
cube roots of
omit.
must be chosen
9.
Note that
belong to
R(w) = J?(\/3
t).
now
pi,
pa,
which we
sider p(x) 9 of x 4
Before concluding this chapter let us consider the following: We con= x 4 + 9, irreducible in the field of rationals. Let the roots = be p, cr. From p( p)<r( <r) = 9 we see that p, (7,
o-
3 3 4 Hence p(x) is normal. The automor3p /p = Tip p), phisms comprising the Galois group of p(x) are (p<-p), (p<(p <-><r), (p <-> o-), and we can represent (7 by the permutation group
3/p
/1234\ _/1234\ P *" P3 _/1234\ ~V3412/ \432iy ~\2143/ V1234/ = = This group is not cyclic. The with pi = p, p 2 = P4 p, PS = certain number of elements of leaves invariant a Gi subgroup (Pi, A)
Pl
_/1234\ ~
0",
o".
Let us see which of these elements are invariant under G\. PI F(p). 2 8 If a = a leaves all elements invariant. bp dp is left invaricp ant under P%, of necessity
bp
cp*
+
=
is
)
dp
=
0.
+ fe(-p) +
c(-p)
d(-p)
It is
Hence the elements a + 6p 2 are left easy to show that these elements form a subgroup of F(p) relative
F(p
2
)
of F(p).
Gi
2
D F(p 3 F.
+
2
The
principal equation of a
6p
is
2
= = =
so that a
[x
ba*)][x
(a
6cr )]
2 2
]
satisfies a quadratic equation [of lower degree than p(x)] with coefficients in F. Thus we can solve a quadratic equation for p 2 2 obtaining p in terms of rational operations and extractions of roots of
6p
elements in F.
this in
Another square root yields p. Of course we know all advance since it is trivial to solve for the roots of x 4 + 9 = 0. Let us note, however, that Gi in the above example is a maximal normal subgroup of G and that E is a maximal normal subgroup of G\. The factor groups G/G\ and G\/E are of order 2 (a prime number). The fact that 2 is a prime number and that a group whose order is prime is cyclic
(see
Theorem
8.20 for the importance of this fact) leads to the all-imporwe state without proof.
If
THEOREM
tive to its
the Galois group of an equation p(x) = relacoefficient field F, a necessary and sufficient condition that
8.21.
G is
336
p(x)
position of
is
It can be shown that in general a polynomial of degree greater than 4 1 = 0, however, can cannot be solved by radicals. The equation x b be solved by radicals. Factoring, we have
(x
4 Considering x
l)(.r
+
x
a:
x*
J)
x3
x2
=0,
let
so that
upon
division
1 by x one has
if-
0.
One
solves for y
and then
for x
from x
yx
0,
Problems
1.
2.
3.
Solvo the quadratic x -f- bx + c by the method of this section. Show that the automorphisms of a field form a group. Show that D(w) of (8 47) is given by D(w) = IT(w - w>), j > i
2
4.
5.
.r
having
P
as a zero.
= \/\/2 +
REFERENCES
Albert, A. A.: "
:
"Modern Highei Algebra," University of Chicago Press, Chicago, 1937. Introduction to Algebraic Theories," University of Chicago Pi ess, Chicago,
"
1941.
Artin, E.:
Galois Theory,"
Edward
Brothers, Inc
of
Birkhoff, G.,
and S MacLane:
"A
Survey
pany, New York, 1941. Dickson, L. E.: "First Course in the Theory of Equations," John Wiley
&
Sons, Inc.,
New
:
York, 1922.
"Modern
MacDuffee, C. C.:
New
Sanborn & Co., Chicago, 1930. Algebraic Theories," Benj. "An Introduction to Abstract Algebra," John Wiley & Sons, Inc., York, 1940
C.:
Murnaghan, F.
"The Theory
of
Press,
Baltimore, 1938.
Poritrjagin, L.: "Topological
1946.
Van
"Modern Algebra," Frederick Ungar Publishing Company, York, 1940. Weisner, L.: "Introduction to the Theory of Equations," The Macmillan Company, New York, 1938. Weyl, H.: "The Classical Groups," Princeton University Press, Princeton, N.J., 1946.
der Waerden, B. L.:
New
CHAPTER
It appears that the mathematical theory of probformation to the inquisitiveiiess of a professional gambler. In the seventeenth century Antoine Gombaud, Chevalier de Mere, proposed some simple problems involving games of chance to the famous French philosopher, writer, and mathematician, Blaise Pascal. It is to mathematicians Pascal and Fcrmat that probability theory owes its origin, though since their early works a great number of mathematicians have contributed to its development. Its applications range from sta9.1. Introduction.
ability
owes
its
An understanding of probability theory is tistics to quantum theory. necessary to undertake studies of the modern theory of games and information theory. It will be useful, however, to consider some elementary
combinatorial analysis before we attempt a definition of probability. Let us assume that we have a 9.2. Permutations and Combinations. collection of white balls numbered 1 to m and a collection of red balls
n.
In
ball?
how many ways can we choose exactly one red To each white ball we can associate n red balls.
white balls, it appears that there are n ways of In this example we note choosing exactly one white and one red ball. that the choice of a white ball does not affect the choice of a red ball, and conversely. The events are said to be independent. We state without formal proof the following theorem: THEOREM 9.1. If there are m ways of performing a first event and n n ways of w#ys of performing an independent second event, there are
-
The use
of
Theorem
Given a group
placed
of objects
9.1 enables us to solve the following problem: numbered 1 to n, in how many ways can we
order these objects? We have n choices for the object which is to be first in our order. After a choice has been made there are n 1
choices for the object that is to be placed second in the order. Conwe see that there are n(n 2-1 = n' ways of l)(n 2) If we wish to consider the number arranging or permuting the objects.
tinuing,
of
r at a time,
we
arrive
(n
1).
We
write
337
338
n
r
P = nP = P n =
n(n n(n
1 )
(n
2)
'
1)
(n
r)!
r)(n
(n
r
r
1)
1)
r)
1
l)(n
(9.1)
Example
1,2,
.
9.1.
,9, using
If
answer.
four-digit numbers can be formed from the integers any integer at most once? We have Pj == 9 /5! = 3,024 as our we were to use the integers as many times as we pleased, our answer would
f
How many
be9 4
can
6,561.
9.2.
Given 3 red flags, 4 white flags, and 6 black flags, how many signals using the 13 flags? Let us assume for the moment that we can distinguish between the red flags by numbering them 1, 2, 3, with the same statement concerning the white and black flags. It is then obvious that 13! different signals
Example
we send
the red flags can be permuted in 3' == 6 ways. Each permutaWe must tion, however, yields no new signal if the red flags are indistinguishable. divide 13! by 3! to account for this characteristic of the red flags. By considering the
could be sent.
Now
flags
we
The permutations
listed
of the integers
1,
2,
3,
below:
12 21
13 31
14 41
23 32
24 42
34 43
A particular arrangement of objects considered independent of their We see that there are 6 order or permutation is called a combination.
combinations of the integers 1 2, 3, 4 taken two at a time. Although 12 different permutations, they yield a single combination. If we wish to hire 3 secretaries from a group of 12, we are usually not Now let us see in how interested in the order of hiring the secretaries. we r from order of the choices can choose the objects among n, many ways
,
and 21 are
being immaterial.
Call
this
number
Cr
"C r
H
=
r\
C?
=
r
J.
Every
combination
will yield r!
permutations.
nl
Thus C r
= HP
so that
' v (9.2)
r\(n
r)!
Note that
n (?o
=
J
n!/n!0! so that 0!
is
chosen to be
1.
What
does
signify?
9.3.
among 52 cards in draw poker we are not Thus there are 52 6 combinations of cards which can be dealt. Let the reader show that 62 C 6 = 2,598,960. Let us determine how many full houses (three of a kind and a pair) can be dealt. If we consider the particular full house consisting of a pair of fives and three aces, we note that
Example
In obtaining 5 cards from
interested in the order in which the cards are dealt.
339
4
Ct ways combinations yielding three ares and a pair of fives. But there are 13 choices for the rank of the card yielding three of a kind, and then 12 choices remain for the choice of the rank of the pair. Thus there are 24 13 12 = 3,744 different full houses that can be dealt. Example 9.4. Let us consider a rectangular m X n grid. If we start at the lower left-hand corner and are allowed to move only to the right and up, how many different paths can we traverse to reach the upper right-hand corner? Ail told, we must move Once we choose any m blocks from among the m -f- n blocks a total of m -f- n blocks. for our horizontal motions, of necessity, the remaining n blocks will be vertical motions. Thus there are m4n ( w = (m -f ri)\/m\n^ different paths. Note that the answer is symmetric in m and n. n n a positive integer. In the product Example 9.5. Let us consider (x -f- y) r H will occur. Since a (x -f- y)(x + y} (x + */) we note that terms of the type x term from each factor must be used exactly once, of necessity, r + s = n. The term x r y 8 can occur in exactly n C r ways since we can choose x from any r of the n factors.
t
Thus
there are 6
24 different
'
'
'
i/
Thus
(x
y)
=
2^ ('*)
7
xr y n
-r
.
If
we choose x =
1,
we have
2n
^
r=0
=0
AJ
From
(1
+ x)
Y (") V/ w
<+->- lO")=
fc
Equating
coefficients of
a-*
yields
7-
Problems
1.
2. 3.
how many ways can an ordered pair of dice be rolled? Which number will occur most often when a pair of dice is rolled? How many handshakes can 10 people perform two at a time?
In
4.
How many
Ans. 3(> Ans. 7 Ans. 45 five-card poker hands can be dealt consisting of exactly one pair
A ns.
show that the
l)mn
grid contains
1,098,240
(m
rectangles.
6.
-f-
l)(n -f 4
How many
is
formed?
The
,
grid of
Example
n
9.4
useful
if
we
by
xi,
2,
xp
1.
By
differentiating (1 -f x)
show that
(*)
= (* ~
j)
)'
n
8.
Show
that
((~l) r
=0.
340
9.
(l
x)
(1
x z ) n show that
2k
10. In how many ways can the integers 1, 2, 3, 4, 5 be ordered such that 110 mtegei corresponds to its order in the sequence? For example, 21453 is such an ordering, while 21354 is not, since 3 occupies the third position in the sequence.
An,r'
'
'
Whereas the 9.3. The Meaning and Postulates of Probability Theory. psychologist, economist, political scientist, etc., can, with some measure of success, communicate their ideas to the layman, the mathematician,
unfortunately, realizes that he has no hope of describing his chief mathematical fields of interest with a reasonable prospect of being understood.
of hope prevails when we consider probability theory from most elementary viewpoint. It is rare indeed to find a man who has not evinced interest at one time or another in breaking the bank at Monte Carlo. However, one need only consider the vast number of persons who believe that someday they will discover an invincible system of gambling, to realize how little the layman actually understands
its
A modicum
two persons
is
Probability theory has been called the case, it is strange indeed that
differ so greatly
in
solving a problem involving probability theory. Let us now investigate the meaning of the word "probability." Webster's New International Dictionary states that probability is "the like-
lihood of the occurrence of any particular form of an event, estimated as the ratio of the number of ways in which that form might occur to the
whole number of ways in which the event might occur in any form." The same dictionary defines "likelihood" as "Probability; as, it will rain
1 in all likelihood."
that
it will
Let us consider the question, What To rain on Sept. 9, 1957, in Los Angeles?
is
the probability
some mathemati-
There is only one Sept. 9, 1957. cians this question is meaningless. cannot compute the ratio of the number of times it has rained on Sept. 9, 1957, to the total number of days comprising Sept. 9, 1957, rain or shine,
We
at least not before Sept. 9, 1957. After Sept. 9, 1957, the ratio would be zero or 1 depending on the weather. It is up to the meteorologist to give
us a precise answer.
Los Angeles.
Sept. 8,
1
it will or it will not rain on Sept. 9, 1957, in no front within 1,000 miles of Los Angeles on 1957, the meteorologist would predict no rain with a high degree
Either
is
If
there
By
permission.
341
But the word probability would not be used as a of "probability." mathematician defines probability. Let us now ask, What is the probThis question is, in a sense, ability that a five occur if a die be rolled? very much like the question asked above. Theoretically, if we knew the initial position of the die and if we knew the stresses and strains of the die along with the external forces, we could predict exactly which of the The same statement can six numbers of the die would occur face up. be made about the weather. Unfortunately for the meteorologist there
are too
many
of the weather.
variables involved in attempting to predict the exact state The hope of the meteorologist is to reduce the number
of relevant factors to a
minimum
in
The die problem differs from the weather problem in the following way: If we have the patience and time, we can continue to roll the die as often If after n throws we note that the number five has as we please. occurred r n times, we can form the ratio r n /n. One would be naive in
calling r n /n the probability of rolling a five, even if n is large. are some who would define the probability of rolling a five as
There
p =
hm n
*
(9.3)
oo
11
limit of a sequence cannot be found unless one knows every term of the sequence (the nth term of the sequence must be given for all n) To
The
infinite
number
of exper-
Let us turn, for the moment, to the science of physics. Newton's second law of motion states that the force acting on a particle is proportional to the time rate of change of momentum of the particle. The No particle of Newton's second law of motion is an idealized point mass. such mass occurs in nature. This does not act as a deterrent to the The motion of a gyroscope is computed on the basis that ideal physicist.
rigid bodies exist.
The
close correlation
ematician working with probability theory encounters the same difficulty. He realizes that a die or a roulette wheel is not perfect. Man, however, has the ability to make abstractions. He visualizes a perfect die, and, furthermore, he postulates that if a die be rolled all the six numbers on " the die are It is, of course, impossible to equally likely" to occur. prove that the occurrence of each number of a die is equally likely.
With these
idealized assumptions
and
definitions the
mathematician can
The success of the gambling predict the probability of winning at dice. houses in Las Vegas is sufficient evidence to the professional gambler that
the idealized science of probability theory is on firm ground. The pure mathematician is not interested in games of chance, per se. Probability
342
theory, to the pure mathematician, is simply a set of axioms and defininow tions from which he derives certain consequences or theorems. The reader is urged to read consider the axioms of probability theory.
We
Sec. 10.7 concerning the union, intersection, complement, etc., of sets. shall find it advantageous to consider a simple example before treat-
We
ing the general case. If a pair of dice are rolled, the following events can happen as listed
below:
E:
(1,6)
(2,6)
(3,6)
(4,6)
(5,6)
(6,6)
The elements of are called all possible events. is the set of events. subset of events elementary E, say, FI, guaranteeing the occurrence of the number 1 on at least, one of the two dice.
is
the collection of
/-V
1),
(4,1),
(5,
1),
(C>,
1)
Another subset of E is the set F 2 consisting of the events (1, 2), (2, 1), and (6, 6). The union, or sum, of F\ and F is the set of all events or elements belonging to either FI or F 2 or both, written F\ F2 F\ + F 2 In this example FI + F 2 consists of all the elements of FI plus the event The intersection, or product, of FI and F 2 written FI P F 2 = FiF 2 (6, 6). is the set of elements belonging to both FI and F 2 In this example FiF 2 is composed of the elements (1, 2) and (2, 1). If two sets FI and F 2 have no elements in common, we say that their intersection is the null set,
written
FiF 2 =
0.
The complement
is
of a set
is
the complement of the set FI defined above? The complement of the full set E is the null set 0. Now let G be the set of all subsets of E including E and the null set 0. The elements of G are
in F.
E not
What
G is said to be a field of sets in the sense that the called random events. sum, product, and complement are again elements of G. Let us now attach to each element of E (these elementary individual events are also elements of G) the nonnegative number -$. There is no mystery as to the choice of the number -^. First we note that E is composed of 36 elements. The assumption that all 36 events are equally likely implies that any single event has a probability of -$ of occurring. If A is any
subset of
ment P(E)
E consisting of r events, we define the probability of an eleA occurring as p(A) = r/36. Thus P(Fi) = P(F = ^, = 1. We define P(0) = & = 0. Thus to each set A of G we
of
,
2)
343
have defined a
in
real
B
:
have no element
be any colFormally, a field of probability is denned as follows Let which are called elementary events, lection of elements x, y, z, and let G be a collection of subsets of E. Assume that the following
. .
III.
written P(A).
is
ment
of
will occur.
that
of
is,
G have no
P(A
B)
= P(A)
P(B)
The
is
composed
single toss of a coin is a simple example of a field of probability. of the elements G con(for heads) and T (for tails).
H
=
E =
0.
(H, T),
0.
1
p(H, T)
1,
p(0)
p(E)
We
define
tainly occur.
Events, such as tossing a coin, rolling dice, spinning a roulette wheel, yield finite probability fields since there are only a finite number of difIf 5 cards are dealt from a pack of 52 ferent events which can occur.
52 It is events which can occur. 6 different cards, there are exactly logical to postulate that the probability of any single event occurring
from among the 52 C & different events be given by p = 1/ 52 CV This is what is meant by an "honest" deal. It is important that the reader understand Postulate V. In rolling a die the event A = (1, 3) means that A occurs if a one or a three is face up on the die. The event B = (4) means that B occurs if a four is face Now A and B have no elements in common, that is, if A occurs, up. B cannot occur, and conversely. We say that A and B are mutually For a perfect die, p(l, 3) = f p(4) = exclusive events. so that Posy
,
tulate
states that
p(A
B)
one, three, or four occurs is |, rule for the reader is the following: RULE 1. If A and are mutually exclusive events with probabilities p(A) and p(B), respectively, then the probability that either A or
occurs
is
p(A
+B) =
p(A)
p(B)
The
p(B).
p(A
B)
<
p(A)
344
1.
2.
What What
is is
the probability of throwing a seven with two dice? Ans. the probability of throwing a four, eight, or twelve with two dice?
Ans. -JFive cards are dealt from a deck of 52 cards. Find the probability of obtaining the following poker hands: three of a kind, a flush, a straight. 88 33 10 4 6
3.
-
4.
A
of
at
random.
6.
numbered from to 20. Two balls are drawn simultaneously What is the probability that their sum is 14? Hint: There are 20 C 2 = 190
1
Ans. $$ the probability that the sum of the two numbers is 14 if a ball is drawn and replaced and then a second ball is drawn? Ans. -j^ 6. Five coins are tossed. What is the probability that exactly three heads occur? What is the probability that more than two heads occur? Ans. 6-, ^
In Prob. 4
wrys
drawing two
balls.
what
is
7.
If
n coins are
tossed,
heads occur
is
Cr /2".
8.
If a coin is tossed
and a pair
is
what
is
rolled?
Ans.
Show that
Postulates
IV and
V imply
p(0)
10.
p(A)
11.
= by A so
If
that
A + A =
E.
Show
that
p(A)
9* 0, define
p A (B) by
PA(B)
is
Show
that
p B (A)p(B)
=
A and B
are point sets in a plane
:
Theorem
of Bayes.
Let us consider the following simple example Assume that one throws a dart at a target whose area is taken to be 1.
We
is
sure to strike the target and that the dart is equally likely to strike any-
where on the
that if
target.
This means
the probability that the dart strikes a point of A is simply the area of A, written p(A). Now let A and B be
FIG. 9.1
will
be given by p(A).
345
fallen
thrown our second person asks the following question Has the dart
:
in the area
B?
He
How does this receives the truthful answer, "yes." opinion as to the probability that the dart has also
:
fallen in
fairly
it
A?
We
obvious that
can answer this question in the following manner It is if it is known that the dart lies in B then the only way
can also lie in A is for the dart to have struck the region A C\ J3, and the probability of this happening before it is known that the dart has fallen in B is simply the area of A B, written p(A C\ B). Since the dart is known to be somewhere in B, it appears that the ratio of the area
of
C\
to the area of
lies in
C\ B.
For example,
is in
C\
C\
if it is
known
P(B)
*
A
has happened
also say that
(9.4)
and
is
define
if it
known
B has happened.
We may
ps(A)
is
the conditional probability of the event A under the condition B. It is to be noted that (9.4) is a definition and requires no proof. Experi-
mentally, however, one might attempt to verify (9.4) to some extent. is in JB, he records whether
for
A or is not in A. He is not concerned with those experiwhich the dart lies outside of B. The ratio of the number of successes to the total number of tries (the dart must be in B} yields a fraction lying between zero and 1. For a large number of experiments
ments
it is
number
is
close to the
number p B (A).
(9.4)
and
P(A)
(9.5)
Combining
(9.4)
and
(9.5) yields
since
p(B C\ A) = p(A C\
that
occurs, whereas
occurs under
is called the a priori probability called the a posteriori probability that the hypothesis that occurs.
B).
p(A)
ps(A)
is
A group of 100 girls contains 30 blondes and 70 brunettes. Twenty9.6. the blondes are blue-eyed, and the rest are brown-eyed, whereas 55 of the brunettes are brown-eyed, and the rest are blue-eyed. A girl is picked at random.
Example
five of
The a
girl
at
If we pick a priori probability that she is a blonde and blue-eyed is -j^nr = -J. random and find out that she is blue-eyed, what is the probability that she is
346
blonde? Let x denote the quality of being blonde and y denote the quality of being We are interested in determining p y (x). Now p(y) = 3^^ == 0.4, since blue-eyed. 40 of the 100 girls are blue-eyed. Moreover, p(x C\ y) = -J-. Applying (9.4) yields
P(y)
Note that there are 25 blue-eyed blondes and 15 blue-eyed brunettes, so that the appearance of a blue-eyed girl means that the probability of the girl being a blonde is = In information theory one determines the ratio of the conditional probability to the a priori probability and defines the amount of "bits" of information as
.
In this example, /
(9.5) as follows:
.
Iog2
Iog2 -pf
1.
We
.
.
Let
be a collection of
An
with the
l,
1,
E = A + A,+
l
An = VJ A,
Now
let
be any subset of E.
Then
C\
%,
1,
2,
n, are
mutually
Thus
p(B)
= p(B
C\ .40
+
A.)
p(B C\ A.)
p(B C\
A n)
(9.8)
p(B
Applying
(9.5) yields
p(B)
(9.9)
(9. 6) "yields
Bayes's formula,
P(A,) = ~~
J
It is
p(A )p At (B)
t
important to realize that the event B need not be a subset of E For example, the events A x A 2 A n might be different urns containing various assortments of red and white balls. The event B could be the successive drawing of three red balls from any particular urn, each ball being returned to its urn before the next drawFormulas (9.7) to (9.10) would still hold. By B Al = Al B ing.
in the ordinary sense.
,
347
of choosing
Example 9.7. Let us consider two urns. Urn I contains three red and five white and urn II contains two red and five white balls. An urn is chosen at random -1 (p(Ij) = p(I 2 ) = ^), and a ball chosen at random from this urn turns out to be red What is the a posteriori probability that the red ball came (pi(K) - |, pn(R) = y). from urn I? Applying (9.10) yields
balls,
?
1
_
.__a_j[
91
ff
Two balls are placed in an urn as follows: A coin is tossed twice, and placed in the urn if a head occurs, with a red ball placed in the urn if a Let Ao, AI, A 2 represent the events of the urn containing none, one, and tail occurs. two red balls, respectively. Balls are drawn from the urn three times in succession
Example
9.8.
is
a white ball
(always returned before the next drawing), and it is found that on all three occasions a red ball was drawn. What is the probability that both balls in the urn are red? Let B be the event of drawing three successive red balls. We are interested in com-
puting PB(AZ).
Applying
(9.10) yields
p(A
,
)p Ao (B)
p(Ai)p Al (B)
p(A<t}pAi(B)
p(A 2 = T, p A9 (B) = 0,p Al (B) = (^) 3 = ?,p At (B) = 1, Fromp(Ao) = ?,p(Ai) = we obtain pB(A 2 =3-. Let the reader show that, if B n represents the successive
)
Is this reasonable to expect? drawing of n red balls, then pB n (A>i) tends to 1 as n * We note that pAl (B) represents the probability of drawing three successive red balls from an urn containing one red and one white ball. We liken this problem to that of The event space for this finding the probability of tossing three successive heads.
.
case
is (H, H, //), (H, H, T), (H, T, H), (//, T, T), (T, H, H), (T, H, T), (T, T, H), The a priori probability of the event (T, T, T), involving eight equally likely events. note that, for a single toss of the com, p(H) Is it reasonable (H, H, H} is |-. -%.
We
p(H, H, H)
p(H}p(H}p(PT)t
This question
is
answered
in the next
Problems
Three urns contain, respectively, 2 red arid 3 black balls, 1 red and 4 black balls, and 1 black ball. An urn is chosen at random and a ball drawn from it. If the ball is red, what is the probability that it came from the first or second urn? Ans. ^ %f Urn I contains two red and three black balls. Urn II contains three red and two black balls. A ball is chosen at random from urn I and placed in urn II. A ball is then chosen at random from urn II. If this ball is red, what is the probability that a red ball was transferred from urn I to urn II? Ans. y\
1.
3 red
9.5.
If
we
p(A
Formula
the probability that
O B)
= p(A)pA (E)
both
(9.11)
and
A happens
will
happen is happen
348
if
necessity,
What can we surmise if p(A r\ B) = p(A)p(B)t Of PA(B) = p(B), so that the a priori probability of B happening,
p(B), does not depend on the event A. We say that A and pendent events. Two events are independent, by definition,
B
if
are inde-
set of probability
if
(9.12)
Tl)
independent
p(A C\
t
A,)
= p(AJp(A,)
*j
(9.13)
for
i,
1, 2,
n.
If
die,
(H,2)
(T, 2)
(#,3)
(T, 3)
(ff,4)
(7',
(H, 5)
(T, 5)
(H, 6)
(T, 6)
4)
We
ability that a
can assign the a priori probability of head occurs and a six occurs
rolling of a die as completely
^ to each event.
is
taken to be
^.
upon the
coin,
we note
that p(H)
=
,
p(6)
and p(77 Pi
6)
is
A die is rolled n times. We compute the probability that a six occur The a priori probability of failing to throw a six on any given toss of the If we assume that each successive roll of the die is independent of the die is -^. Hence the previous throws, the probability of not obtaining a six in n throws is ()
at least once.
Tt
.
1 six
m n tosses is
(-)"
For n
3,
<
-$,
while for
p > Example 9.10. The game of craps is played as follows: A pair of dice is rolled, and He loses if a two, three, or the player wins immediately if a seven or eleven occurs. twelve arises on the first throw. If a four, five, six, eight, nine, or ten is thrown, the player continues to roll the dice until he duplicates his first toss or until a seven occurs.
n
4,
.
The numbers two, three, eleven, twelve are disregarded after the first toss. If the We player duplicates his first toss before rolling a seven, he wins; otherwise he loses. compute the probability that the man rolling the dice will win. At gambling establishments an opponent of the roller of the dice (except the establishment) does not win The probability of winning on the first toss is if the player rolls a twelve.
p(7)
since there are 6
+p(ll) =
ways of rolling a seven, 2 ways of rolling an eleven, and 36 total two dice. The player can also win by rolling a four and then rolling a four before a seven. The probability of rolling a four is ^, and the probability of Thus the probability of rolling a four and then rolling a four before a seven is The same reasoning for the numrolling another four before a seven is -/g % = ^g.
possible throws of
. -
bers
five, six,
49292
349
Let p be the probability of success of a certain p the probability of its failure. Assume that the experiment is performed n times, the probability of success remaining constant, while the result of each experiment is independent of all the others. Such a sequence is called a BerThe simplest example is illustrated by the repeated toss of a coin. noulli sequence. We determine now the probability of attaining exactly r successes in n trials. In the case of the coin problem a particular successful sequence would be the sequence H T T\L\ Tn -r if we were interested in obtaining exactly r heads. H\Hi There are obviously n C r different sequences containing exactly r heads and n r tails.
Bernoulli Trials.
experiment, q
'
n probability of obtaining any particular sequence is (-g-) heads in n tosses of a coin is given by show that r n-r = n
The
of obtaining exactly r
p q
(9.14)
is
sequence.
number
which makes
maximum
for a
given n and p is the greatest integer less than or equal to (n -\- l}p.
We now
A
.
An
The A
t,
l
f
n,
Certainly
FIG. 9.2
since there
is
may
be overlapping regions of
iy
2,
Geometrically,
it
Ai\J A 2
A* = AI
+A +A 2
3
- A
AiC\ A* - A 2 H A 3 n A + A C\ A 2 r\ A 3
3
I
(9.15)
In AI
Ai
nA
s
+A
we have counted AI C\ A 2 twice; so we substract 2 3 with a similar statement for AI Pi A 3 A% C\ A z In AI A2 we have counted AiC\ A^C\ A 3 three times, and then we have
2,
,
.
+A +A
Thus we add
* <ssl
(9.16)
350
Example
1 to n,
Balls
numbered
What
ball corresponds to the number of having the ith ball in the ith urn regardless of the distribution of the rest of the balls. n. Then p(A t ) = 1/n for i 1, 2, , p(A t C\ Aj} represents the probability that both the ith and jth ball be in their proper urns. From (9.5),
. . .
n are placed at random in n urns numbered the probability that the number of at least one of the urn in which it is placed? Let A t be the event
1 to
is
p(A
n A,)
p(A,)pA,(A.)
Now pA.(At) l/(n 1), since, if it is known that the jth ball is in the proper 1 Thus that the ?th ball will bo in its proper urn urn, there is one chance in n We note also that there arc "C 2 different A* C\ A 1). l/n(n p(Ai C\ Aj)
}
.
Continuing,
it is
P -
n
i
W __
\2/ n(n -
+
1)
.
____ ^ W ____
n(n
l)(n
4-
2)
L_j__l
21+3!
n
*
__i 41^
_i-
4. ^
(__i)n+i L) (
_i
n!
Pn =
(e
l)/e.
We
random-walk problem.
conclude this section by considering the simple one-dimensional Assume that a person starts at the origin. A
coin is tossed, with the result that if a head occurs the person will move one unit to the right and if a tail occurs the person will move one unit to the The process is repeated n times. What is the probability that the left. final position is located at x = r? Let u be the number of moves to the right and v the number of moves to the left that can occur so that v = r, u v = n, so that the final position will be at x = r. Then u n u = (r + ri)/2, v There are C different u r)/2. (n ways in which one can move to the right, the rest of the moves being to the left. The r is thus n C r+n )/2/2 w This problem is probability of ending at x
similar to that of
Example
9.4.
Problems
1.
What
is
dice?
2. 3.
the probability that -a seven occurs at least once in n tosses of a pair of n Ans. 1 - (|)
Derive
(9.14).
Show that
P[AI r\ (A 2
uA
n
3 )i
P<A!
n AO
if
+
2,
P<AI
nA
8)
P(A,
nA
r\
A 3)
this
formula reduce to
Ai,
A and As
noulli trials is
P =
pq
n~i
.
5.
Show that
>
( i )
(l
- p)~ -
1.
t-0
351
A com
is
m
n
heads before n
1 tosses of
tossed in a Bernoulli sequence. What is the probability of obtaining tails appear? heads in the first Hint: If there are at least
m +
game
is
won.
^
1
m-\-n
/m+n-l\
(
r
)
-|
r<*m
7.
for
8.
A and B
What
is
taneously,
9.
what
will
and n coins. If they toss their coins simulhave more heads than B? Ans. p = -%
10. Coin 1 has a probability of p of getting a head, and coin 2 has a probability of q of getting a tail. start with coin 1 and keep tossing it until a tail occurs, whereupon we switch to coin 2. Whenever a tail occurs on coin 2, we switch to coin 1, etc.
We
What is the probability that the nth toss will be performed on com 1? Hint: Let = P n p -f (1 P n )</, P\ = 1. Show that be the desired probability so that P n
\
Pn
PM-I
- Pn =
(p
q)(Pn
- P-i) =
+q -
In previous 9.6. Continuous Probability and Distribution Functions. discussions the probability event space consisted of a finite number of elementary events. A simple example illustrates the extension of this
idea.
We
is
consider an idealized spinner whose pointer can assume any ^ x < 2ir, x measured in radians. We say that
zero probability that the direction of the pointer be less than zero or greater than 2ir since we are concerned only with angles between zero
The direction of the pointer has been put into a correwith the real-number system. The set of all possible direcspondence tions is called a one-dimensional random, or stochastic, variable, usually In this example it makes very little sense to ask the denoted by
and 2w radians.
.
following question: What is the probability that a random spin yields ? the direction #o is just one possible event of an infinite number of different events which may occur. It does make sense to ask the follow-
ing question What is the probability that the random event be less than We define the a priori distribution function F(x) as or equal to x?
:
F(x)
for x
<
-
F(x)
F(x)
= P( g x} = = 1 for x ^
for
<
2*
(9.17)
JjTT
2?r
Figure 9.3 shows a graphic representation of F(x). For any x and y we note that (9.17) yields
P(xSy)
F(y)
F(x]
352
x + Ax) = F(x + Ax) - F(x) = AF. AF is the probability that lies between x and x + Ax. We also note that F(x) is a monotonic nondecreasing function of x with F( <) =0,
For y
+ Ax we have P(x ^
1.
F(+oo) =
FIG 9.3
For the more general case we consider a nonnegative function p(x) lie such that p(x) dx represents the probability that the random event We between x and x dx, except for infinitesimals of higher order.
further desire
p(x] dx
=
random
variable
.
(9.18)
The
F(x)
= P( ^
x)
J-OO
is
/"'
7>(x)
dx
(9.19)
is
nonnegative, with
F(-oo) =
dF(x)
F(oo)
p(x) dx
is
lies
is
between x and x
p(x)
+
>
dx.
= 7T
y 1
rj~
with
of a distribution
is
defined
by
("^
x n p(x) dx
n =
0, 1, 2,
...
exists.
(9.20)
exist.
For p(x)
7T
^ A
j~~f~
a X ^ only
From
p(x) dx
we can
n ^n
/
/
write
n r k r!F(r} t v**'/
*'-'
n '^
">
1 *j
9 ^j
fQ91"!
^J/.^i^l
Equation (9.21) is the Stieltjes integral of Chap. 7. The discrete case can be handled by use of this integral. Let x = 1 represent the occurrence of a head and x = 2 the occurrence of a tail when a coin is tossed
353
^0*0
Then F(x) = for x < 1, otherwise. with p(l) = p(2) = p(x) = = I f or 1 ^ # < 2, /^(x) = 1 for x ^ 2. We can consider that two From dF(x) point masses contribute to the probability function. for 1 < x < 2, dF = J at a; = 2, for x < 1, dF = 1 at x = 1, dF = dF = f or x > 2, we note that
for
<
=
1 1
dF = f
for x
for 1 for x
<
>
is
x
2
<
=
Geometrically (see Fig.
ing.
9.4),
we note
that F(x)
1,
2,
F(x)
F(x)=Q
1
Fi(i
9 4
To compute
i,
we note
that
=
1
,
Had we
chosen x\
x-i
Note that
Example
#?/
|-
is
the
9.13. TTi? Gaussian Distribution. Let us assume that a dart is thrown at plane under the following assumptions: I. If p(x, y) dy dx is the probability that the dart fall in the area bounded by x and x -h dx, y and y -f- rfy, then p(x, y) depends only on the distance of (x, y) from the = tan" (y/x). Thus origin and is independent of
the
p(x, y} dy dx
p(x, y)
q(r*)r dr dB
q(x
dx
q(x
2 -\i/
2
)
We
II.
III.
1^
p(x,y)dydx =
1.
We
y).
First
we note that
/_ oo
^ ^
^ /- - P X)
^ dx
'
dy
354
since PI(X
+
<
dx,
<
oo,
<
<rj
oo)
p(x, y) dy
dx,
P (2
oo
<
^ ^
^ ^ =
y -f dy)
y
r
/
dx ^ p(x, y)
p(z, y)
dy
and
P(x ^
^ x
p(z,
dx, y
r,
+
oo
dy)
= P,P Z =
dy dx
?/) dt/,
S(//)
/oo
?Gr
Differentiating (9.22) yields
2
?/
(9.22)
and
yS(j/)
.
dy
f
,
,
o;/2(x)
2
dx
constailt
fl
(9.23)
From
(9.23), JB(a;)
= Ae
S(y)
= Be a ^ and
,
p(x, y)
g(x
2
?/
)
= (V<' i+ *
we choose
>
(9.24)
is
negative
If
l/2<r
2
,
of necessity,
1/2*
from condition
III.
Thus
P(X, y)
^Trer^
o^-, f-d^DCjrt-l-yl)
9 25)
Equation
(9.25) is the
0-
X/27T
where
(a;
Thus <r 2 is the second moment of <p(x) relative to the center m. Example 9.14. Tchebyscheff's Theorem. Let be a random variable with a probaLet g() be a nonnegative function of 4, and let S be the set of bility function p(x). 5 will denote the rest of the real axis. The expected points such that g() ^ K > 0. or mean value of g() is denned as
E[g(&]
- [ J
"
g(x)p(x) dx
00
The
K when
is
chosen at random
==
/
is
be found
in S, so that
P[g()
^ K]
p(x) dx.
Now
7*s
- [O g(x)p(x)dx+ Lg(x)p(x)dx JS JS
g(x)p(x)
dx^K
p(x) dx
355
We
6 K] 5
j-
(9.27)
What
If
difficulties arise
first
if
m is the
moment
g(x) or
for
irrational, </(x)
for x rational,
K =
^?
mean
of
and a 2
is
the variance of
defined
by
(x
>
m) 2 p(x) dx
let
P(\t
~ w ^
A'V 2
.
ka)
^ ^
(9.28)
if
we choose #() =
Example
9.15.
7
2 (
7
?/i)
>
A'
Buffon, Needle Problem. A board is ruled by equidistant A needle of length a < d is parallel lines, two consecutive lines being d units apart. What is the probability that the needle will intersect thrown at random on the board one of the lines? Let x and y describe the position of the needle (see Fig. 9.5).
/?f
r.JfLj?.
FKI 9.5
If y ^ a sin x, our situation is favorable, while if d > i/ > a sin x, an unfavorable We assume that x and y are independent random variables Thus case occurs
Pi(x
^ =
dx)
=
7T
pz(y
rj
y -f dy)
in
=
'-f (/
and
a
p(x,
x),
y)
dy dx
is
(l/ird)
dy dx.
We
are interested
F(0 ^ x ^
?r,
?/
sm
which
defined
by
x
}
C TT
fa sm
Jo
Cv
ra
sm
Jo
"
p(x
>
y)dydx
=^d]o
d
Jo
2a
Example
probability that
P(XI) dx\.
x2
dx 2
is
be a random variable with a probability function p(x). The x\ and x\ -\- dx\ as the result of a single experiment is lies between x 2 and If we repeat the experiment, the probability that p(x z ) dxi. The joint probability that both results happen as the result of
9.16.
Let
lies
between
is
pCrOpOrz) dxi dx 2
(9.29)
Equation
random variable (,
rj)
with probability
We
note that
r
/
p(xi)p(x z ) dxi dx 2
356
We now
experiments, x\
=A- X
FIG. 9 6
lie
above the
line x\
-\~
Xi
K, so that
P(XI -f x z
^ K) =
/ 7-
JK-xi
(9.30)
From
(9.30)
we have
Pfa+xt^K+dK)
so that
X!
f
y
oo
[" ^A+d/v
oo
(9.31)
xi
x*
K +
(9.30)
dK) =
f
/
fK+dK-xi fK+
JK-JTi
/
i
[
/
dx^
(9 32)
oo
K+dK-xi
pCr 2 )
xi
by subtracting
(9.31)
from
Since
da: 2
~ p(K
x\)
dK,
xi -f Xz
= u
is
p(w)
/_
(9.33)
Problems
^(x) (9.26) [ Derive (9.28). 3. Find the four-dimensional joint probability function for the two-needle Buffon problem.
i
1.
Show
that
<
of
satisfies
1.
2.
4.
5.
Show that
Let
<r
&
(z
ra)
p(z) dx
a2
-m
2
,
a 2 denned by
(9.20).
= 0). 17 be random variables with Gaussian probability functions (m + 17 has a Gaussian distribution. 6. Find en, a 2 a 3 for ^>(x) of (9.26). See (9.20) for the definition of a t i = 1, 2, 3, 7. If is a random variable with a Gaussian distribution (m =0), find the proba2 Hint: Let u = 2 so that bility function for the random variable
and Show that u ~
,
,
.
.
./-co
P(u
P(\t\
-f
357
+ dt)
(l/<r
\/2irO
e~</
2<r2
eft,
so that
for
>
p(Q
for
g
Let u
8.
Let
= w() be
Show
for the
random
variable
is
q (u)
p(x(u))
du
where x(u}
Apply this result to Prob. 7. Consider a distribution of points in the plane with a density function given by each point moves in a direction <p with speed V and with a probaAt t = (9.25). = <p/2w, ^ < 2?r. Show that at time t the probability funcbility function p(<p)
of u(x).
9.
<f>
is
given by
(,-( 1/2(T2)
Show
that p(r,
v
6, <?, t}
satisfies
~+V
<p j
(pv)
=
(<p
witli
= V
cos
(p i
sin
= V
cos
0)e r
-f-
^ sm
(^>
0)e0
9.7.
The
Characteristic Function.
Bernoulli's
Theorem.
The Cen-
tral-limit
Theorem.
function p(x).
Let J be a random variable with a probability Let us assume that the Fourier integral of p(x) exists.
c**p(x) dx
Then
(9.34)
t
is
real.
We
note that
<p(0)
00
p(x) dx
1.
For
real,
n a positive
2n x' p(x)
integer,
we have
y-oo
x zn e* xp(x) dx
f y -oo
dx
a 2n
If
we can
=
Hence, if we can find from (9.35).
Example
9.17.
<p(t),
x n p(x) dx
an
(9.35)
it will
moment
Let p(x)
e~ x for x
0,
p(x)
-n
=0 otherwise.
-^
Then
=
/.'
"dt
d*<f>
=
t-o
(1
dt*
-2 -i
358
so that ai
a2
2.
00
Since
__J_ =
we have
V
n=0
n!
^>
(n)
(0)
and a n =
r(n
n'.
This result
is
1)
=
yo
x n e'*dx
n'
Example
9.18.
Bernoulli's Theorem.
P =
r
"p
a ~
P)
n-r
(9.36)
for the probability of obtaining exactly r successes [see (9.14)] The analogue of (9.34) for the discrete case is
2
Applying
(9 36) yields
(>inp >
-oo
c*dF(x)
(9.37)
=
Thus
a2
>(0)
[pc
-f (1
n(n
P)]
1,
2
n(n
l)p
w- 2
ai
4,
= m = p
Sec. 9.6).
\-7j-y
np|
>
0,
yields
P(l
en)
^
is
^n
(9.38)
since p(l
p)
-J-
for
^ p ^
1.
Formula
(9.38)
equivalent to
(9 - 39)
In other words, the probability that Kormula (9.39) is a form of Bernoulli's theorem the frequence of occurrence, /n, differs from its mean value p by a quantity of absolute value at least equal to e tends to zero as n > however small e is chosen. This essentially means that the greater n is the more certain we are that /n differs
little
from
p,
where
is
the total
number
of successes in
trials.
From
(9.34)
we note
that,
known, then
i
r
t
(9.40)
359
Hence p(x) is uniquely determined if the characteristic function is known. and 17 Equation (9.40) follows from the Fourier integral theorem. If are independent stochastic variables with probability functions pi(x), p*(y), respectively, it follows from the method of Example 9.16 that
p(u)
is
=
J
I
co
pi(x)pi(u
x)
dx
(9.41)
y-
The
char-
<p(t)
=
J
00
c ltu p(u)
du
1
x
J
00
e^p
<X>
(x)p 2 (u
x)
dx du
(9.42)
Now
<pi()
e**pi(x)dx
so that
?i(<WO =
=
00
f_
00
oo
f 7-00
^
c^ r+ ^p
(x)p^(y)
dy dx
oo
00
e ttu pi(x)p z (u
x)
du dx
(9.43)
by
letting
?/
?/.
provided the order of integration can be interchanged. Another interesting result is the following: If <pi(t),
<p n (f),
<pz(t),
.
,
a sequence of characteristic functions which converges to <p(t), obtained from a sequence of probability functions pi(x), p*(x), it may be possible that p n (x),
is
. .
. ,
...
r-*v(t) dt
ao
(9.45)
where
<p(t)
that (9.45)
In order
p(x)
lim p n (x)
7}
= Hm
n
oo
1
'
T
J
/
00
e~*<p n (i) dt
<*>
oo
7r
**R J/
f"
e-*v(0
oo
*
(9.45')
The reader is referred to Sec. 10.22 for a discussion of this type of problem. Let us consider now the following example, which will illustrate one
random
be a aspect of the central-limit theorem involving probabilities. Let the be to we shall consider momentarily specific, variable, and,
toss of a coin.
The random
variable
will
if
1 if
tail occurs.
we
360
five times,
1
or
1, i
we can record the numbers (xi, x^ #3, x^, x$) with Xi equal to = 1, 2, 3, 4, 5. The set (#1, #2, #3, #4, x$) represents a point
in a five-dimensional space.
five coins as often as
x\, xi), i
We
we
.
please
and obtain a
1, 2,
as a set of results yielding information about the random variable same statement can be made concerning the set x\, x\, x\, x\,
. ,
The
.
. ,
etc.
The set
upon
as defining a
new random
For the more general case we let p(x) be the probability funcrandom variable and we consider the n-tuple of independent events (x\, x^ x n ). The probability that a point lie in the volume bounded by x\ and Xi + dxi, 0*2 and Xi + dxt, x n and x n + dx n is given by
variable.
p(xi)p(x 2 )
'
'
'
p(x n ) dxi dx z
'
'
'
dx n
n
If
8n
is
the
random
variable
t,
an extension
is
of
Example
9.16 shows
ii
that the probability function for
>Sf w
given by
/>
l-l
x.)
n-1
=
f~^
'
f~^
p(jci)p(x$
'
'
'
p (u
^ x^ dxn-i 1-1
'
'
'
dx l
(9.46)
The
characteristic function
is
^(hi
C+**
by
letting
-**-> f
p(x,)
P(x n )dx 1
dx n
(9.47)
#1
#2
'
x n du
,
of integration.
Equation
(9.47)
becomes
(9.48)
with
p(x)
x/
<p(t)
=
2
<r
.
w p(x)e
2 o-
itx
dx.
first
moment
of
is
zero so that
==
is its
^ (0) = hood of t
If <p(f)
second moment. Thus ^(0) 1, ^'(0) ^7 has a continuous third derivative in a neighbor-
0,
then
with
\a(t)\
<
A^ 3
361
Tn
is
the
random
variable
Tn
is
\l/
Hence
with \a(t/a
Vn)\ <
At*/<r*n*.
From
In (1
+ +
z)
=
/
/3(z)
with
\p(z)\
<
Bz
for z small,
[2
1
\~|
)
o-
^^
"-7=
= -
\<7
V^/ J
o ^
(9.49)
From
(9 49) it follows
that
lim $ n (t)
e~* 2/2
The
e~ tz/z
P
If
^=i T
~'^" X di =
77^z
1,
'^ /2
(9-50)
we accept (9.45'), we have shown that if 2, random variables with the same probability function
equal to zero and second
is
n,
are
p(x), with a
n
mean
moment
equal to
2
o,
then
T n = Y f/
t~i
a random variable whose probability function approaches the normal ~ / distribution (l/v ^") e a 2/2 as n becomes infinite. We say that the sequence of random variables obeys the central-limit law.
"
Problems
1.
2. 3.
Derive Derive
(9.49). (9.50).
Show
that the
characteristic
function
for
4.
Let p(x)
for
J-
^, p(x}
=0 otherwise.
sin
Show that
<p(t)
= -
g
is
6. If is a random variable with characteristic function p(t) t show that e~* ta <f>(t) = constant. the characteristic function for the random variable a, a 6.
Consider a sequence of 1,000 Bernoulli trials with p = ^. Show that the probaexperimental ratio r/n will differ from % by less than 0.01 is greater than or equal to fbility that the
.
362
9.8.
The x 2
Distribution.
tion of the
gamma
From
the defini-
Jo
a*
/
I
Jo
/"
so that
&
r-r
Jo
e-^y*- dy
>
(9.51)
r(z)
The function
/(*/; a, 2)
=
-^j
~ al/
2/
~1
for
for
?/
>
^
(9.52)
=
/oo upon/(?/; a, 2) as a probability function.
T/
/(?/; a, 2)
r/;/y
1.
We
can look
a*
(a
i/)T(z) Jo
(a
?/)*
(1
i//a)
Now
let
= (~\
2 = ( l/V27ro:) e~ x/2 for x > 0, probability function for f is P(x) = If 1, 2, otherwise (see Prob. 7, Sec. 9.6). n are n indeP(x) pendent random variables with the same probability function p(x) given
The
random
variable
(9.54)
is
the product of the characteristic functions for each random variable n [see (9.44)]. Now the characteristic function for P(x) 1,2,
. . .
2
t
,
is
-x/2
<S**
dx
Too
.-(J-i
363
The
is
(1
2^)~
/2
(9.55)
Comparing
we note
that z
random
=
?2)
zr""<r""
for , for
/y
>
(9.,%)
=
The
distribution function for
/'(,'/)
is
^"
-""
(9-57)
The
distribution defined
by
K n (x)
is
The x 2 test of significance arises in the following manner: Let be a random variable with a known probability function p(x). Let us divide
the interval
<*>
<
x
<
oo
.
oo
into
parts, say,
oc
<
< x^
Xi
x^
m _i
<
We
have
with
T
>
P =
t
1.
Let
N be
the
number
of times
we sample
the result
=l
The expected of any sample being independent of the previous samples. number of samples which fall in the iih interval is given by NP,. If r is the actual number of samples falling in the ^th interval, then
l
(r,
certainly constitutes
some measure
and experimental
results.
^yielded a practical
(9-58)
means
for
measuring the
(rt
l
mental
results.
If
we
let y,
- NP )/\/WP
%,
then X
V*,
and
364
t-i
LI
m
V
/
I/,
VP* = -4variables
V VN t=i LI
?/ 4
mm
r*
VN V ^ =
LI
Vtf The
y%
VN =
lie
0.
Hence the
hyperplane
It
random
y%
in the
\^Pi
0,
t-i
can be shown that, as becomes infinite (N is the total number of or then the distribution of x 2 approaches m ~\(x) [see samples trials), The reader referred to Cramer, "Mathematical Methods of is (9.57)]. Thus Statistics," Chap. 30, for proof of this statement.
lim P( x 2
xS)
---
----*
(m ~ z
^e-v"dy
(9.59)
from a table
of the
distribution.
It is
(9.59) is
independent of
Example 9.19. A coin was tossed 5,000 times and heads appeared 2,512 times. m = 2, Under the assumption that the coin is "true," we have p(H) = -, p(T) -%, N = 5,000, Pi - P 2 - |; n = 2,512, r 2 = 2,488. Hence
= (2,512 *2 "
0.115
2,500)
2^500
(2,488 "
2,500)
2,500
found that the probability that x 2 exceed 3.841 that there is no inconsistency in the assumption that the coin is true. The 5 per cent level is taken as a fairly significant level. In the tables one also finds that P(x 2 ^ 0.115) is about 0.73, which means that we have a probability of about 73 per cent of obtaining a deviation from the expected result at We are therefore not too worried about least as great as that actually observed. the fact that experimentally we obtained x 2 = 0.115.
it is
is
Since 0.115
<
3.841,
we
feel
Problems
1.
A
A
coin
is
Evaluate x 2 for
1,
this experiment. Would you be suspicious that the coin is "true"? 2. die is rolled 6,000 times with the following occurrences: the number of times
2, 3, 4, 5,
X2
=
3.
6 occurred, respectively, was 1,020; 1,032; 981; 977; 1,011; 979. 2.876. What is your opinion as to the "truthness" of the die?
variable
Show
*
that
If in
has the probability function p(x) = (l/\/27r)e~x and 466 values of x ^ 1,000 experiments one obtained 534 values of x < you consider that the experiment was biased?
A random
/2 .
0,
would
9.9. Monte Carlo Methods and the Theory of Games. The method of Monte Carlo is essentially a device for making use of probability theory
365
to approximate the solution of a mathematical or physical problem. A few examples will illustrate the method. Let p(x) be the probability function of a random variable, defined
,
on the range a
interval (a,
fe).
6,
with
Ja
p(x) dx
1,
p(x)
for
x outside the
The
/=
A sequence
. .
f* f(x)p(x)
.
dx
of values xi, Xi, x n is chosen at random subject to the lie between x condition that the probability that the random variable dx be given by p(x) dx. For n large one hopes that and x
,
,
(x>)
(9.60)
rb
If
we wish
F(x) dx,
we note
that
Ja
I" Ja
so that/(x) = F(x)/p(x). The choice p(x) = I/ (6
(9.61)
simple choice for p(x) is p(x) = 1/(Z> a). a) implies that one can construct an experiinterval
(a, 6)
have equal likelihood of such an experiment can be devised. The toss of a single coin can be used to generate the number An infinite number zero if a head occurs, the number 1 if a tail occurs. of ordered tosses of a single coin, or an infinite number of ordered coins tossed simultaneously, would yield a sequence ao, ai, 2, an or 1 for all n ^ 0. with a n = This, in turn, yields the number
all
numbers on the
with
able
1.
numbers
to avoid the
cumbersome process
of obtaining a
by experiment. N
by use
balls,
of a bowl, containing
an equal number
N+
ordered holes.
366
-%-%
%*
0.5030,
reasonably close to
We now
The game to be played conconsider a less trivial example. If a pointer comes to rest in the area
III
If designated by p, ; we move from the &th spinner to the jth spinner. the pointer comes to rest in the area x i = 1, 2, 3, the game is over.
%,
The
p's
Y
;-i
l3 ,
1,
2, 3,
and the
and
We
we begin the game at spinner I, what is the probability, /n, game will end at spinner I? We can be successful as follows:
1.
Xi occurs
on the
first spin.
pn occurs?! times in succession, and then Xi occurs, n = 1,2, 3, .... 3. ^12 occurs followed by the probability, /2 i, that if we are at spinner II the game will end at spinner I.
2.
4.
5.
pa
1,
and then
(3) occurs.
and
(4)
by p i3 and/3 i.
(Xi
'
'
')
- Pn
show that
i
By
1, 2,
3
(9.63)
i=
1, 2,
367
From
(9.63)
one obtains
(Pll
1)/12
P21/12
P31/12
If
+ +
(p22
P12/22
l)/22
+ +
Pi 3/32
P23/32
l)/32
p,{2/22
(P,I3
= = ~^ =
we
solve for/i 2
we have
Pl3
so that
3021
in the matrix
Pl3
??23
Pl2
P22
P21 P31
P32
P33
element
for
to approxi-
The quanti-
and the two-dimensional random-walk problem. Suppose that a particle located at (x, y) moves to one of the four positions (x + 1, ?/), (x 1, y), (x, = |. What is the probay 1), with equal probability, p 1), (x, y
1, 2, 3, are obtained by experiment. fl} i, j An analogy exists between the diffusion process of heat motion
,
bility P(x, y,
t)
that a particle will arrive at (x, y) after t steps if it starts For a particle to arrive at (x, y) in t steps, it is (0, 0) ?
it will
1), (x,
1), (x
1, y),
(x
1)
1,
+
*
1,
y)
m t
steps.
1)
1,
Thus
P(x,y;t)
= ^P(x,y - 1;<-
+
Let us subtract P(x,
P(x,y\t)
y\
P(x
t
y;
1)J
(9.64)
1)
of (9.64).
Then
%P(x,
y+l]t-\) -
1) P(x,y;t l,i/;J- 1)
2P(x,y;t
t
1)
ar
2P(x, y]
if
1)
l,i/;f
;
1)]
tg
x
1)]
(9.65)
f"(x)
2h)
is
continuous f or a
2f(x
/>,
then
linr
h)
+ f(x)
(9.66)
368
[see (10.22)].
2f(x
+
1)
1)
+ f(x)]
/(*
In the calculus of finite differences the expression [f(x Thus represents the second difference of /(#).
2)
Af(x
+ 2) - f(x +
1)
2)
(9.67)
Thus
(9.65)
may
be written
AJP)
(9.68)
which
may
of space
in order
One
large number of particles with initial lattice distributions to obtain the These histories yield an distributions after a given number of steps.
approximate solution to
(9.69).
with a brief discussion of the theory of games. simple example illustrates the basic factors encountered in the theory We consider a two-person zero-sum game as exemplified by of games.
(9.70)
X and Y choose a row and column, respectively, and the choice of each is
made without any
in the tth
The number express knowledge of the other's choice. and F, respectively) j'th column (the choices of If a tj < 0, then designates the number of units that Y must pay X.
row and
The total sum earned by and Y is zero, pays Y an amount \a%J and it is in this sense that we have a two-person zero-sum game. We assume that will attempt to earn as much as possible and that Y will
\.
game the
actions,
X and
and the objectives of X and F games seeks to analyze objectively the conflict of X and F and, moreover, attempts to determine an optimal course of action for each player.
that in this particular F, the consequences of these are fully known. The theory of
We see
369
The game given by (9.70) 6. the least he can gain is 4 units. Since 4 > 6, it
chooses row 1, very easily analyzed. If he chooses row 2, the least he can gain is will always gain at least is obvious that 4 units by choosing row 2, no matter what the choice of F. Since Y will always choose row 2, of necessity, Y will always choose knows that and Y will always column 2 to hold his losses to a minimum. Since choose row 2 and column 2, respectively, with probability 1, we say that and Y use pure strategies. Let us note the following Let f(x, y) denote the quantity in row x and column y. The smallest number in row x is designated by rnin f(x, y).
is
If
The
largest of these
numbers
is
written
U = max
x
min
y
f(x, y)
(9.71)
Thus
least
U =
U
min f(x Q
y
y)
^ min
y
will always earn at XQ by guarantees that Let us determine the maximum amount Y can possibly The largest number in lose if he plays wisely whatever the action of X. row y is designated by max f(x, y). The smallest of all such numbers
obtained by varying y
is
F =
Thus
min max
y
f(x, y)
(9.72)
V = max f(x,
X
yd)
^ max
X
that the choice of y y$ will enable F to hold his loss to an most V. For the square array given by (9.70) we have
amount
at
U = V =
and
it is
/(2, 2)
because of this that always chooses the second row and the chooses second column. Let us note that the element always = 4 is the minimum element of second row and the maximum the /(2, 2) element of the second column. It is for this reason that /(2, 2) is called
Let the reader deduce that the existence of a saddle element implies that U = V. In any case one always has U ^ V. The proof proceeds as follows: Let g(x) = min f(x, y), U = g(xd) = max g(x),
a saddle element.
y
h(y)
= max/Cc,
g(xd)
y),
V =
g(x)
h(yd)
= min
h(y).
Then
,
U =
= max
= max
[min/(x,
y
2/
g
The
reader
is
/(x
(9.73)
(9.73).
370
We now
U <
V, given
2
by
(9.74).
(9.74)
-1
Let the reader note the noncxistence of a saddle element with
U =
Thus
< V =
is sure to win 2 units per game if he always chooses x = 1, while can never lose more than 3 units if he always chooses y = 1. If Y were to notice, however, that 1, then it would be always chose x = for to Y choose 2. it for Can to y change his strategy pay expedient The so that he can realize more than 2 units per game on the average? answer is "yes"! Let us suppose that X and Y use mixed strategies in 2 chooses x = 1 with probability p and chooses x the following sense: = 1 Y chooses with and chooses with probability 1 y probability q p;
2 with probability
<?
The
2p
total expectation of
X is
B =
=
3p<?
q(6p
2p(l
5)
g)
+ (-1)0 -
p)g
4(1
p)(l
q)
(9.75)
For Op 5 = or p = f = we have J independent of q. Thus, no matter what the strategy of a unit per game by mixing his can be assured of earning of 7, X chooses row 2 if a six occurs on a die and otherwise chooses strategy. row 1. Let the reader show that Y can choose a mixed strategy such of a unit per game no matter what that he will never lose more than the strategy of X.
now reasons as follows: What mixed strategy should I use in order to guarantee a given expectation no matter what the mixed strategy or p > |, then E is a minimum for 5 > employed by F? If ftp = 0, so that E = 4 On the other hand, if p < f, is a 2p < q
.
minimum
f or
so that
E =
4p
<
Let us
a
now
game
>
0, 6
>
0:
(9.76)
371
pz, 1
1, 2, 3,
(pi
respectively,
p 2 ) be the probabilities associated with the choices and let gi, g 2 1 (gi + #2) be the proba,
bilities
1,
2,
3,
respectively.
The
expectation of
E =
pi(gi
X is - g + p2(
2)
(72)
<? 2 )
5(1
(0!
g 2 ))]
2 )]
2 )]
5(1
pi
p2)
(9.77)
Let us examine
E
=
of (9.77).
X
3
pendent cannot
of gi
and
g
2
2.
E =
Q indesuch that
lose or gain.
gi
1.
g for
1
is
has a good strategy (pure) with q\ = g 2 = 0, Why is it obvious that the only good strategy
the mixed strategy discussed above? However, we can show that good strategies exist for Y other than q\ We can g 2 = 0, ga = 1. write
E =
- a pj(l + P2[-(1 +
obvious that
B)qi
-(!+
(1
+ %i +
E
will
+
a
)g
+
5)g 2
5]
6]
(a
+
if
d)( qi
g 2)
It is
be independent of p\ and p 2
the coefficients
of pi
q\
and pz are
g2
zero.
5),
The
solutions of these
d/2(a
no
exists for Y.
which in turn yields E so that Y can suffer and q%. Thus a good strategy which is mixed Let the reader show that, if gi = g 2 < d/2 (a + 6), then
E =
(1
pi
p 2 )[2(a
+
of
5)gi
6]
that an infinite
number
and p 2 so
,
2.
If
Generalize the results of (9.63) for the case of n spinners. Let f(x) be a continuous rnonotomc increasing function defined for ^ x ^ 1. a random variable be chosen from (0, 1), show that the probability that/() ^ y Q
1.
,
/(O)
Use this method to find given by p = f~ (yo), so that/(p) = j/ an approximate value of \/2 by use of a table of random numbers. 3. Let us consider the plane of a two-dimensional random-walk problem with
3/0
/(I)
is
boundary points at
value U(xi, y % ).
at (x y}
t
r. To each point (#, f/ t ) we associate a (xi, ?A), i 1, 2, Let V(x, y) be the expected value of a particle whose motion starts and eventually ends at one of the boundary points. Show that
.
with
i/ t )
if it
begins at
(x, y).
Also
show that
1,
y)
F(x
1,
y)
F(x, y
1)
V(x, y
1)]
and compare
this result
with
-^ +
^2 F
d*V - -
0.
372
4.
exemplified
by the matrix
below.
REFERENCES
Cramer, H.:
"
Mathematical Methods
,
of Statistics,"
&
Sons, Inc
W.: "Introduction
to Probability Theory,"
John Wiley
New
York, 1950. Mood, A. M.: "Introduction to the Theory of Statistics," McGraw-Hill Book Company, Inc., New York, 1950. Morgenstern, O., and J. von Neumann: "Theory of Games and Economic Behavior," Princeton University Press, Princeton, N.J., 1947.
Inc.,
New
Uspensky,
J. V.:
Company,
Inc.,
New
York, 1937.
CHAPTER 10
REAL-VARIABLE THEORY
We desire to preface the study of the real-number introducing a brief view of our philosophy of mathematics and science. Historians are generally in agreement that in many ways Greek mathematics was the precursor to modern mathematics. One begins the study of geometry with a set of postulates or axioms along
10.1. Introduction.
first
system by
with some definitions of the fundamental entities in which one is interFrom this beginning one deduces through the use of Aristotelian To the novice logic the many theorems concerning triangles, circles, etc. the axioms appear to be self-evident truths. We do not hold to this view a postulate is nothing more than a man-invented rule of the game, the game in this case being mathematics. Actually the mathematician is not interested in the truth, per se, of his postulates. The postulates of a mathematical system can be chosen arbitrarily subject to the condition that they be consistent with each other. The proof of the self-consistency of the postulates is no easy task, if, indeed, such proofs exist. A discussion of such matters lies beyond the scope of this text. Finally, we should like to add that any theorems deducible from the We admit postulates are a consequence of the postulates themselves. this is a trivial and obvious remark. Too often, however, the scientist He is prone to believe that the laws of nature are disforgets this fact. covered. It is our personal belief that this is not the case. We lean toward the more esoteric point of view that the so-called laws of nature are invented by man. Newton described the motion of the planet relative to the sun in a fairly accurate manner by use of f = ma Mercury and f = (GmM/r*)r. Because of this one feels that these two equations are laws of nature discovered by Newton. On the other hand, by postulating that a gravitational point mass yields a four-dimensional Riemannian space and that a particle moves along a geodesic of this space, Einstein also obtained the motion of Mercury relative to the sun. It is well known that Einstein's predicted motion of Mercury is more accurate than Newton's predicted motion. Are we to assume that from the time of Newton to Einstein we had a "true" law of nature and that now we discard this law and accept Einstein's theory as the truth? It is
ested.
:
373
374
just a matter of time before a physicist will invent a new set of postulates which will explain more fully the physical results obtained by experiment.
Moreover
of nature.
10.2.
it is
The
first
tem by
view.
The
Positive Integers. begin a study of the real-number sysdiscussing the positive integers from a postulational point of positive integers will be undefined in the sense that they can
We
be anything the reader desires subject to the condition that they satisfy We shall attempt to be rigorous, but the postulates set forth below.
First we do not feel qualinot be as rigorous as might be possible. attempt this task, and second it would require a treatise in itself to elaborate on the logical and philosophical aspects and implications of
shall
fied to
we
shall discourse
The
following postulates: TV- There exists a positive integer, called one, and written P b Every positive integer x has a unique successor x
f
:
There
is
x'
1.
Pd'. If x'
then x
y.
If
contains the
integer 1, and if, moreover, any integer x of S is the complete collection of integers, /.
8 implies that
at least one
x' is in S,
then
The
postulate
Pa
is
member
of our
we may
(
all
we can talk about. The equal sign = ) of Pd means that x and y are identical elements in the sense that we may The replace x by y or y by x in any operation concerning these integers. some from the other P in P differs e is a respects postulates. postulate rule for determining when we have the complete set of integers at hand, and is used chiefly m deducing new laws which the integers obey. As postulated above, the integers could be any sequence (0,1, a*,
e
.
an
It is in
It is obvious that more will have to be said before we can identify the collection of integers defined above with the ordinary integers of our everyday working world. We shall accept as intuitive the notion and idea of a set, or collection, of The Peano postulates will make themselves clearer to the stuobjects.
text.
Aa Ab
= +V =
a'
a
(a
+1 + &)'
The
is
REAL-VARIABLE THEORY
375
We
are
now
in a position to
positive integers.
THEOREM
10.1.
Addition
is associative
z,
+
.
6)
We let S be the
integers a
6)
(b
x) for all
and
b.
We
first
show that
1
is
an element of
S.
Now
(a
6)
= = =
(a
+ bY +V + (b +
a*
1)
Aa
A Aa
b
so that
that (a
belongs to R. x = a b}
Now
(b
let
be any element of S.
This means
+
x
7
x) for all a
and
1
6.
Now
4
fc
(a
6)
= = = =
from
since x
is
in
/S
from from
Aa
^1 6
S whenever x
Q.E.D.
is
in S.
From P
is
the complete
(see Prob. 1).
s= /.
THEOREM THEOREM
10.2. 10.3.
Addition
commutative a
If
Law
of Cancellation.
a.
+b = b+a a + b = a +
c,
then
/>
c.
We
proceed by induction on
First,
if
+
1
then
6'
= = =
c
c'
Now let
then b
Now
assume x
#'
c.
Then
+ (b + 3)' b + x x + 6
6
a:'
= = = =
+ #' + x)' c + x x + c
c
(c
== c
in
/S
to S.
From P e S
,
s= /.
Q.E.D.
THEOREM
10.4.
If b
a be
a,
then b
=
c
c (See
Prob.
2).
In what follows
we
symbol
(=>)
to
mean
c.
"implies."
Thus Theorem
10.4
may
b
written &
a=>6 =
Thus
Implica-
by
(<=).
c
+ a = c + a <=>& =
376
that
The reader should realize that b = c=*b + a = c + a does not mean we have introduced the axiom about adding equals to equals. All we have done to the expression b + a is to replace b by c (permissible
Equality
(
relations.
We
of equality of two integers). belongs to the class of relations, R, called equivalence note that
a a
a
a
c
=
b,b
b <=$ b
=
is
.
= a = c=*a
R
.
called
)
an equivalence
relation relative to
if
aRa
reflexive
R%
R-A
aRb^bRa
aRb, bRc
=^>
symmetric
aRc
transitive
R enables one to distinguish between various For example, we say that aRb holds if and only if a and b yield the same remainder when divided by 2. Thus any integer belongs either to the class of even integers or to the class of odd integers. The reader should check that the elements of the class of even integers
An
equivalence relation
classes of elements.
satisfy
R^ R^
R-*.
We
write
aRb
a
a
<=>
mod
2.
Now we
M
Mb
-
a
f
Mb'
assumes that a b is an integer for all a and b. We shall omit the dot whenever it is convenient to do so. Thus Mb can be written ab = ab + a.
f
THEOREM
tion,
10.5.
c)
Multiplication
is left-distributive
with respect
to
addic.
a(b
ab
ac.
We
aft
for x in
x)
ab
+
a
ax
S and
for
all
a and
b.
First
a(b
+
1
1)
is
ab'
afr
+
let
a?>
+
Ab Mb
is
a-l
from
b.
Thus
in S.
Now
f
x be in S.
We
have
a(b
x')
= = =
=
from from
since x
in
S
10.1
ab 4- ax'
in S.
so that x'
is
in
if
is
Thus S =
REAL-VARIABLE THEORY
377
THEOREM THEOREM
4).
10.6.
10.7.
a (see Prob.
3).
Multiplication Multiplication
Multiplication
(b
is associative, (ab)c
THEOREM THEOREM
10.8. 10.9.
is is
commutative, ab
right-commutative,
+
b
c)a
ba
ca
DEFINITION
that b
is less
10.1.
a,
If
+
>
c,
we say
that a
is
than
written a
b or b
<
a,
respectively.
Oa
O Od
c
'.
Oi\
:
given
=>a =
>
=* ac
>
be
(see Probs. 7
We leave these theorems as exercises for the reader A set obeying O a is said to be totally ordered.
To
we now postulate that the
postulates,
,
and
12).
place the integers in the realm of our everyday working experiences, integer 1 which occurred in the first of Peaiio's
be the adjective which reasonable, sane, prudent human beings attach to single entities when they speak intelligently of one book, one day, one world, etc. Of course the number 1 as given in Peano's postulates is a noun, not an adjective. B. Russell associates "one" with the class of all single entities. Trouble occurs, however, when one tries to define a class of elements.
,
will
successor of one, namely, 1' 1 1, will be called the integer written and addition will 2, two, again mean what we wish it to mean, namely, that one book plus one book implies two books. We now feel
free to speak of the class of positive integers 7(1, 2, 3,
.
The
n,
).
Problems
.
1.
2.
3.
4.
6.
6.
7.
8. 9.
10.2.
-f-
-f
a for
all a.
10.4.
10.6.
10.7.
10.8.
10.9.
Ot>,
Oc O d
,
that b'a
ba
-f-
a.
all
> b, show that a > b or a = 6. Using the results of Probs. 10, 11, prove
Oa
378
13.
First
define
what
is
meant by a smallest
10.3.
The Rational
Integers.
An
which includes the zero element and the negative integers is obtained in the following manner: Given any pair of positive integers, we postulate the existence of a difference function d which operates on the positive
integers a, b subject to the condition that
d(a, b)
if
d(.r,
//)
(10.1)
)
and only if a + y b + x. Equality as defined by (10.1 certainly is an equivalence relation. We note that the above definition depends only on addition of positive integers (Sec. 10.2). Let us see what properties are possessed by d. Obviously
d(a, a)
d(fe, b)
Moreover d(a
like b
c,
c)
d(a, b).
If
we
dfcr, y)
d(<i
+
b
x, b
+
=
y)
(10.2)
We now
note that
d(a, 6)
d(c, c)
rf(a
c,
c)
d(a, b)
(10.3)
from (10.2) arid (10.1). Hence d(c, c) has the property element for the operation of addition ( + ).
of being a zero
We
What
define multiplication
d(a, b)d(x, y}
by the following
rule:
d(ay
+
1)?
bx, by
ax)
d(x, y)d(a, b)
(10.4)
of the
number
d(a, a
We
see that
d(x, y)d(a, a
1)-= d(xa
d(x, y)
d(a, a
+ x + ya, ax + + l)d(x, y)
ya
y)
(L
so that d(a, a
It
1)
now can easily be shown that the collection of elements d(l, x + 1) when x ranges over the set of positive integers will satisfy all the Peano The set of numbers d(a, b) contains the postulates outlined in Sec. 10.2.
positive integers as a subclass and in its totality represents the class of rational integers (positive integers, negative integers, and the zero let the reader show that the zero element d(a, a) has the element).
We
properties
d(a, a)d(x, y) d(x, y)
d(y, x)
= =
d(a, a) d(a, a)
nn uu
.
'
b;
REAL-VARIABLE THEORY
379
x) is the negative of d(x, ?/), and conversely. may, = 0, d(l, a = a, d(a = a, 1) 1, 1) please, write d(a, a) = 6 a. The ordering postulates can easily be extended to d(a, 6) cover the new collection d(a, 6). say that
if
We
We
> >
d(o, 6)
if
d(x, y)
and only
if
d(a, 6)
d(x, y)
d(x, y}
d(x,
i/)
=> d(a, 6) + d(u, v) > d(x, y) + d(u, v) => d(a, 6)d(z, w + z) > d(x, y)d(z, u + z) => rf(x, y)d(u + z, z) > d(a, b)d(u + z, z)
(10.7)
is the ordinary meaning of (10.7)? Let us note some properties of the rational integers as outlined above. Associated First we have a set of elements called the rational integers. with this set of elements are two operations called addition and multipliThe elements satisfy the following properties relative to the cation. operations defined above: 1. Closure properties: a + b, ab arc elements of our set when a, b are elements of the set. 2. Associative laws: a + (b + c) = (a + 6) + c, a(bc) = (ab)c. = a = + a, a-1 = = 1 a. 3. Unit elements: a +
What
4.
5.
An
is,
= ac = ab be. Distributive laws: a(b c) ac, (a b)c inverse element exists for each element relative to addition,
= ( a) a a = for all a. ( a) say that the rational integers form a ring with unit element also note that, if ab = 0, then a = or b = 0. Why?
that
We
1.
We
We
or b
does not imply a = give an example of a ring such that ab = 0. Such rings are said to have zero divisors. Let us consider the
six following classes: Into class one we place all integers which yield a remainder 1 upon division by 6. Class two contains all integers which Class y has the obvious property yield a remainder 2 upon division by 6. that it consists of those integers which yield a remainder j upon division
6. We represent these various classes by the symbols 1, 2, 3, 4, 5, 0. Addition and multiplication are defined in the ordinary way. Thus 2 5 = 10 = 4 mod 6, since 10 yields a remainder of 4 when divided by 6. 3 + 4 = 7 = 1 mod 6, etc. It is obvious that mod 6, but
by
2-3=0
neither
integers
10.4.
2=0 mod
modulo
6.
6 nor
3=0
mod
6.
can extend the ring of rational integers by postulating the existence of a rational function /?(a, b) where 0. a, 6 are any two rational integers, a postulate that R is to
We
We
380
R(x, y)
R(x, y)
*=>
bx
+
> >
ay R(ax, bx
ay)
(10.8)
R(a, b)R(x, y)
b) b)
R(ax, by)
R(x, y)
R(x, y)
<^bx
*=*
R(a,
bx
> <
ay
if
ay
if
ax ax
> <
For
all
We
leave
it
to the reader to
practical
a further property not possessed R(a, b) = b/a. For of rational the integers. every R(a, b), b ^ 0, a ^ 0, there ring by exists a rational R(b, a) such that
7?(a,
and we
b)R(b, a)
R(ab, bo)
/?(!, 1)
We
respect to multiplication. form field. the rationals a that say The reader should have no trouble showing that the integers modulo 7
field.
form a
The
inverse of 2
is
4 since
2-4 =
field.
mod
7.
The
rationals
We
feel,
however, that
the rationals are not complete in the sense that we should like to deal with numbers like \/2, e, w, etc. For the irrationality of \/2> see Sec. 10.5. We shall have to extend the field of rationals. This will be
done in Sec.
10.6.
10.6.
h,
Some Theorems Concerning the Integers THEOREM 10.10. Let /, g be positive integers. There exist integers r such that / = gh + r, ^ r < g. Our proof is by induction on /.
1.
Let/ =
Then
1
1
= 1.1+0 = 0-0 + 1
if if
g
g
so that h
1,
>
for
r
(r
Now
and
/.
Then
+ 1) Since r < g, we have r + 1 < g or r + 1 = g. If r + I < g, the theorem holds. If r + 1 = g, then/ + 1 = g(h + I) + and Theorem 10.10
/+
= gh + = gh+
<
is
true for
all
r of
Theorem
We
it
as
form ax
by
>
ax
0.
fa/o
>
REAL-VARIABLE THEORY
is
381
common
a
First
ds
+ r,Q<r<d
We now show that d is the greatest assume that d does not divide a. Then from Theorem 10.10. Thus
s
ax
by
ds
and (1 Xos)a + ( y s)b = r, a contradiction since r < d, unless r = 0, which case d divides a, d/a. Similarly d/b. Now any other divisor, Therefore d\, of a and b must divide ax Q + by Q (why?), and hence di/d. d is the greatest common divisor of a and 6, written d = (a, b). As an immediate corollary, if a and b are relatively prime, d = 1 and there
in
exist integers x, y
such that ax
If (a, 6)
I
+
1
by
= =
1.
THEOREM
Proof,
6c
10.12.
and
b)
ax
by
since
(a,
fa/c
c.
But
ad since a/be.
10.13.
Hence a(xe
yd)
c,
which
in
a/c.
THEOREM
Proof.
of Arithmetic.
An integer
N can be written
Assume
N
It is
p^
pr
=
t
?i02
,
q8
factor can
obvious that we can consider the p q} as primes since a nonprime be broken into further factors. Continuing this process into primes. Furthermore this can eventually reduces all factors of
}>e
done only a
finite
number
1,
or equal to 2.
q&.
'
'
If (pi, #1)
Why?
Since
</ t
If (pi, qi)
then pi/q 2 q*
qs
=
.
q^
We
,
s.
assumed prime, we must have p^ = q We now cancel these In this equal factors and continue our reasoning in the same manner. way we obviously exhaust all the p and #,. Thus, except for the order,
%
the
number
N is factored
'
The \/2 is irrational. 10.14. Assume \/2 rational so that \/2 = p/q. From Theorem have p = pip z pr q = q\q% <?, with the p g, unique. Thus upon squaring we have
Proof. 10.13 we
'
THEOREM
'
'
'
'
'
'
2qiqiq 2 q2
qs q*
Pipip^p*
'
'
'
prpr
Since the prime factor 2 must occur an odd number of times on the left and can occur only an even number of times on the right, a contradiction
occurs.
Q.E.D.
Problems
1.
Show that
a,
elements
the collection of elements d(a b) satisfies the Peano postulates as the 6 range over the Peano integers.
t
382
2.
3. 4.
(10.6).
Show
6.
all
integers
6.
6. 7.
field.
8.
that \/p is irrational for p prime. that \/2 4- \/3 is irrational. Consider the set of polynomials with rational coefficients.
Deduce theorems
for
10.6.
An
The
1.
rationales
2.
They They
the other hand, the rationale are not complete. Pythagoras realized that there existed so-called numbers, \/2> e ^c., which are not rational numbers. If we wish to include the \/2 into our number system, we
On
R. Dedekind gave a fairly satisfacfield of rationals. discuss an extension of the rationals We of irrationals. treatment tory which differs little from Dedekind's approach and which is due to
Russell.
DEFINITION
.
10.2.
RusseM number
is
is
set,
ft,
of rationals
having
nonempty.
R
If
all
the rationals.
a is a rational in R and if ft is a rational less than a, then ft is in /?. examples of Russell numbers are given as follows: 1. The set of all rationals ^1 is a Russell number. It will turn out to be the unit of our constructed field of real numbers.
3.
Two
2.
The negative
rationals
and
all
positive rationals
less
We
shall designate it
symbol \/2. DEFINITION 10.3. Two Russell numbers are said to be equal or equivalent if and only if every rational of Ri is contained in 7 2 and conversely,
,
The
two,
is
set of all rationals less than 2, which defines the Russell number, equivalent to the Russell number consisting of all rationals less
than or equal to 2. The only member of the second Russell number not found in the first Russell number is the rational two.
DEFINITION
the Russell
The Russell number Ri is said to be greater than 10.4. number R^ if, and only if, at least two rationals of Ri are not
2. 2y
members
only one of Ri
= R^ Ri > R 2 R < R 2
,
can occur.
We must now define addition of two R numbers in such a way that the
REAL-VARIABLE THEORY
383
Let R\ and ft 2 be two R numbers. Conresult will yield an R number. struct the set of rationals obtained by adding in all possible ways the leave it to the reader to show that rationals of Ri with those of ft 2
.
We
an R number. What property will the Is this Russell number needed set of all rationals less than zero have? Does every R number have a negative? The student should for a field? readily answer these questions.
this
new
We shall define It is a bit more difficult to define multiplication. multiplication for two Russell numbers. ft i, R% which are greater than We first delete the negatives of fti and R 2 the zero Russell number. Then we multiply the positive rationals of R with the positive rationals
.
of
Ri
To
we
show that the newly acquired An equivalent definition would be the following: set is a Russell number. Let C(Ri), the complement of fti, be the set of rationals not in fti. Show
rationals.
We
leave
it
to the reader to
that
C(Ri) C(R%) we mean the complete set of rationals obtained by the product of rationals of C(R\) with rationals of C(Rz) in all possible ways. We leave it to the reader to extend the definition for the other cases of R} and 7? 2 It is now an easy problem to show that the complete set of Russell numbers form a totally ordered field which contains the rationals as a subfield. Everything hinges essentially on the fact that we reduce our computations to the field of rationals. Let the reader show that the set of Russell numbers forms a totally ordered field. The field of Russell numbers has an additional property not possessed
is
a Russell number.
By
by the
(least
rationals.
To
we
first
define the
supremum
of
upper bound) of a set of numbers (Russell). DEFINITION 10.5. The number s is said to be the supremum numbers S: (x, y, z, .) if and only if: 1. s ^ x for all x in S. 2. If t < s, there exists an element y of S such that y > t.
. .
a set of
We
leave
it
to the reader to
show that
\/2
is
1 is
less
than
1.
Also,
the
supremum of the set of all rationals supremum of the set of all rationals whose
the
squares are less than 2. Let the reader show that a set of numbers cannot have two distinct suprema. Let the reader also define the infemum
(greatest lower
bound)
10.6.
of a set.
set, S, of
DEFINITION
Russell
numbers
x for
all
is
bounded above
if
N>
x in S.
THEOREM
10.15.
set of
numbers which
384
Our proof
above by N.
as follows: Let
We
construct a
S be a set of Russell numbers bounded new Russell number as follows Let s conwhich belong to any Russell number of S. We first
:
show that
1.
s is
a Russell number.
obviously contains only rationals and is not the empty set. 2. Since contains rationals not in any of the Russell numbers of S, there are rationals not in s.
s
3.
Let a be a rational of
and
ft
a rational <a.
Since a belongs to a
ft
ft
belongs
Thus
1.
s is
a Russell
is
strate that s
s
the
10.5).
We
next demon-
Si, of
^ all numbers of S, for otherwise there is at least one element, S such that Si > s. This implies that Si contains a rational not
in
which is impossible from the construction of s. Let r be a Russell number less than s, and let ft, y be elements of This is possible since s > r. Now ft, 7 belong to at least 8 not in r. one set, Si, of S from the construction of 8. It is easy to see that Si > r.
s,
2.
From Definition 10.5, s is the supremum The set of Russell numbers thus 1. Forms a field.
(A)
2. 3.
of the set S.
Is totally ordered.
Satisfies the
property that a
supremum
unique they differ from the Russell numbers in name only. Thus the real-number system as set forth above is unique as regards its
construction.
Any
To show
this uniqueness,
we
let
S and S be two
first
We
0<->0
rational integers,
Then we match
the rationals,
REAL-VARIABLE THEORY
385
Now consider any element, s, of S which has not as yet been put into We consider the set one-to-one correspondence with an element of 8. It is obvious that s is the supremum of all rationals of S less than s.
of this set.
The
rationals of
set of rationals of
will
We match s <- s. Thus every member of 8 can will exist for this set. be mapped into a number of S. We leave it to the reader to show that every number of S is exhausted (mapped completely) by this method. Under the above mapping we realize that
implies
->
<~>
(JT+~B)
(ab)
=
db
ab
Such a correspondence, or mapping, is called an isomorphism, and this sense that we say the sets 8 and S are equivalent. We can now prove the Archimidean ordering postulate by use supremum. Let r > 0, and consider the sequence of numbers
r,
it is in
of the
2r, 3r,
.
,
nr,
is an integer such that mr > 1. If this were the sequence constructed above would be bounded above and so a supremum s would exist for the sequence. From the properties of s we
We
not
so,
have
exists
nr for
all
n.
Now
t
consider
r.
<
s
s.
An
element pr
l)r
such that pr
list
>
Thus pr
>
or (p
>
s,
contradiction.
We
Any one
>
>
(3 == there exists,
that.)
AO*: a A0 3 a
:
> >
a.
ft
> =
3 rational
r
3
>
a
r
3 rational
If
> >
r
0.
>
ft.
A0
then
(Eudoxus)
>
ft
it
follows that r
>
a,
ft
We now prove A0 2 from AOi. If a > AOi an integer n exists such that n(a
/3
>
est of
> 0, then a > 0. From > I or na > nft + 1. Now Let m be the smallso that an integer m exists such that m > ftn. 1, Hence Thus m > ftn ^ m all such integers.
ft
ft)
na
so that
>
nft
m>
nft
.>=>,
386
1.
If b is
a Russell number
5^ 0,
find the
Mri =
b- l b
1?
2. Extend the definition of multiplication of two Russell numbers for the cases for which both numbers are not positive. 3. Show that the Russell numbers form a field. 4. Show from the definition of the supremum that it is unique for a set of elements.
6. 6.
set.
4
AO^ A0
Theory.
A0
4.
10.7. Point-set
For convenience, we
shall
consider
only
Any set points or elements of the real-number system in what follows. The field of real numbers can of real numbers will be called a linear set.
be put into one-to-one correspondence with the points of a straight line in the usual fashion encountered in analytic geometry and the calculus. All
the definitions and theorems here proved for linear sets can easily be extended to finite-dimensional spaces. DEFINITION 10.7. The set of points \x\ satisfying a ^ x g &, a, b If we omit the end points, that is, finite, will be called a closed interval. consider those x which satisfy a < x < b, we say that the interval is ^ x ^ 1 is a closed interval, open (open at both ends). For example,
while
if
< x < 1 is an open interval. DEFINITION 10.8. A linear set of points there exists an open interval containing the
oo
will
set.
that the ends of the interval are to be finite numbers, thus excluding
and
+ oo
alternative definition would be the following set such that bers is bounded if there exists a finite number
:
An
of real
N<x<N
num-
for all x in S.
less than 3 is certainly bounded, then 2 x 2. < < 3, obviously However, the set of numbers whose cubes are less than 3 i unbounded, for # 3 < 3 is at least satisfied by all the negative numbers. This set, however, is bounded above. By this we mean that there exists a finite number such that x < if 3 = 2 does the trick. Generally speaking, a set S .r < 3. Certainly of elements is bounded above if a finite number exists such that x <
The
if
set of
for
x2
<
for
all
x in S.
below.
We shall,
number
in the main,
infinite
of distinct points.
The
rational
numbers
p
will
in the interval
<
<
of
A point
a set S
p contains an infinite
number
REAL-VARIABLE THEORY
For example,
let
387
S be the sequence
of
i
numbers
/iii
V 2'
It is easy to verify that
r
' ' ' '
\
)
origin
3' 4'
con-
is a limit point of elements of S. Thus does not belong to S. the set S. Note that in this case the limit point It is also at once apparent that a set S containing only a finite number of points cannot have a limit point. Let the reader show that a point q is not a limit point of a set S if
tains an infinite
number
at least one open interval containing q exists such that (except possibly q itself) are in this open interval.
no points
is
of
DEFINITION
10.10.
Neighborhood.
deleted neighborhood p of p is open interval containing that point. a set of points belonging to a neighborhood of p with the point p removed.
A A
neighborhood of a point
any
The
hood
<
<
T&, x
-nnr, is
a deleted neighbor-
The
definition of a limit point can be reframed to read: p is a limit S if every deleted neighborhood of p contains at least one
10.1
DEFINITION
point of a set
of
1.
Interior Point.
if
a neighborhood
1
Np belongs to S.
1,
then
1
or
Does p belong to S? If S is the set of points ^ x are not interior points since every neighborhood of contains points that are not in S. All other points of this set, howand
A point p is a boundary point of every neighborhood of p contains points in S and points not in S. If S is the set ^ x ^ 1 then and 1 are the only boundary points. A boundary point need not belong to the set. 1 is the only boundary point of the set S which consists of points x such that x > 1.
a set
if
a set
is
10.13. Exterior Point. A point p is an exterior point of not an interior or boundary point of S. DEFINITION 10.14. Complement of a Set. The complement of a set S the set of points not in S. The complement C(S) has a relative mean-
DEFINITION
if it is
ing, for
is
it
depends on the
set
of
to the real-number system is the set of points \x\ 1 ^ x ^ 1 1 x ^ 1 relative to the set
>
is
1.
The complement
the null set (no elecomplement of the set of rationals relative to the reals is
10.15.
DEFINITION
Open
Set.
if
set
is
every point of S
388
For example, the set of points {x\ which satisfies either 6 < x < 8 is an open set. DEFINITION 10.16. Closed Set. A set which contains For example, the set points is called a closed set.
/
<
all
<
or
its
limit
V
is
2'
4'
is 0,
DEFINITION
to Si or 82
is
which
it
contains.
all
points (or elements) which belong 2 ) or sum (Si 2 ) of the two sets
The shaded area below is S Si + 2 (see Fig. 10.1). The union, S = VJ S a of any number of sets,
Si, 82.
,
()
{S a \,
is
the set of
all
points {x}, x
in at least
one of the
Sa
S (JS2
l
DEFINITION 10.18. The set of all points which belong to both Si and /S>2 simultaneously is called the
intersection,
or
-
5i
Siy
nS
S%.
is
product,
82, of the
written
or Si
two
sets
area
Graphically, Si C\ Sz.
of sets
the shaded
The theory
cation
to logic
lish
FIG
10.1
2 belongs to Sz, and conversely. If Si If 82 is a subset of Si and if, that 82 is a subset of Si, written Si S%. furthermore, at least one element of Si is not in 8%, we say that 82 is a proper subset of Si, written
,
Two sets Si, 82 are said to be equal = 82, if every element of >S\ contains every element of $ we say
,
81
Si
D
+
8,
or
Si
Some obvious
(1) (2) (3) (4) (5) (6)
A +B = B
+A
= A
(B
AB = BA
A + A = A C A +
(A+B)+C
A,
B,
C)
(AB)C = A(BC)
AA = A AB C A, AB C B
REAL-VARIABLE THEORY
(7)
389
A C
C,
CC=*A +B CC
+
C)
(8) (9)
AB
A^C,B2C=*ABD<r
(I
A(B
(10)
A(B
C)
= AB + AC
We proceed to prove (10). Let x be any element of A(B C). Then x belongs to A and to either B or C. Thus x belongs to either AB or AC AC. Thus A(J5 so that x is an element of AB AC. C) (I ,4
Conversely,
AB
(I
A(
0),
AC C A(# +
A(B
^
C) from
(9")7
From
(7),
AB + AC C A (5 +
1.
C), so that
+
x
C)
= AB
AC.
Problems
What
1?
open?
What
are the
2.
3.
boundary points? The same as Prob. 1 with the point x = ^ removed. Show that the set of all boundary points (the boundary
Prove that the
its
of a set) of a set
is
closed set
4.
of
S and
6.
limit points
set of all limit points of a set S is a closed set. The set Is S a closed set? is called the closure of S.
consisting
Prove that the complement of a closed set is an open set, and conversely. WT hy is a set S which contains only a finite number of elements a closed set? 7. Prove that the intersection of any number of closed sets is a closed set. 8. Prove that the union of any number of open sets is an open set. 9. A union of an infinite number of closed sets is not necessarily closed. Give an example which verifies this 10. An intersection of an infinite numbei of open sets is not necessarily open. Give an example which verifies this 11. Show that (A + ) (A + C) = A + BC. 12. The set of elements of A which are not in B is repiesented by A B. Show
6.
that
(A
B)
A(B - C) = AB - AC + (B - A) = (A + B) - AB
A(B - A) =
R,
A +
Show
is
(B-A}=A+B
AX =
0,
13.
that,
if
A + X =
0.
then
f(A).
of
The
null
set
(no
elements)
14.
If
~~
C S,
represented by
we
call
relative to S.
Show
that
C(T+B) =
C(AB) = C(A)
C(B)
10.8. The Weierstrass -Bolzano Theorem. We are now in a position to determine a sufficient condition for the existence of a limit point.
THEOREM
10.16.
limit point
exists for
every
infinite
bounded
as follows:
We
construct a
T.
Into
T we
of points of S.
390
T is not empty since S is bounded below. Moreover T is bounded above, S is bounded above. From Theorem 10.15 a supremum p exists for the set T. We now show that p is a limit point of the set S. Consider
for
any neighborhood
of p, say,
p-e<x<p+5
Since p
less
e
>0
6>0
than an
an
infinite
is a member t of T such that t > p e. Since t is e is less than number of elements of S (why?), p number of S. Thus an infinite number of points of S lie to
<
p,
there
infinite
the right of the point p 5 has On the other hand, the point p e. 6 only a finite number of points of S greater than it, for otherwise p would be a member of T, a contradiction, since p is the supremum of the
set T.
interval
p
contains an infinite
<
of
< p
number
elements of S.
Since
e,
are arbitrary,
every open interval containing p contains an infinite number of elements This proves the existence of a limit point p. of S.
Problems
1.
Show
Theorem
JO. Hi is the
supremum
infinite
of
all
limit
points of S.
2.
for
an
bounded
unique
linear
set S.
3.
Show
limit.
0+0'
n =
1, 2, 3,
has a unique limit. We call it e. Consider the totality of 4. Let Si and $2 be two closed and bounded linear sets. distances obtained by finding the distance from any point si in S\ to any point 2 in S<2 s Show that there exist two points 5 J; s 2 of Si and <S 2 respectively, such that |s 2 is the maximum distance between the two sets. Define the diameter of the set, and show 5. Let S be a closed and bounded set. is the maximum distance between that two points *i, s^ of S exist such that \sz i|
.
of S.
Consider the infinite dimension linear vector space whose elements are of the
00
form a
(ai,
a2
a,,,
.),
af converges, written
V
i-i
2 at
If
*=
(61,
6 2,
&n,
with
>
6?
<B
j*
oo,
then by definition
t-i
REAL-VARIABLE THEORY
a
-f
391
, . .
b
.
=
.
(01
+
,
.
61,
a 2 H-
62,
a n -H b n
.)
xa n and xa. We can define the distance .). (xai, xa z two elements of this space (Hilbert] by the formula
, .
p(a, b)
between
p(a, b)
=
[
^ =
(&
l
~
)']*
Show
sum
V
wl
oo
(\a n
ao
oo
or
^ =
a*)
1
(^ n*=l
X
a,,/>,,)
inequality,
d
Also
(1)
-")'
show that
P (a, b)
(2)
P (a, b)
= =
t=* a
= ^
b
P (a, c)
P (b, a)
P (b, c)
(3) P (a, b)
Show
P2
(i, o, o,
o,
0,
.) .)
(0, 1, 0,
gn
(0, 0, 0,
1, 0,
.)
By a
P
p M|
we mean the
which
satisfy
set of points
(xi,
1-2,
,*,...)
7.
Let
S.
,
Show
. .
.
ments from
sn ,
Hm
n
>
sn
L
an infinite number of the s t Furan approach a sequential approach
.
in the sense that every neighborhood of L contains We call such thermore s n +i is closer to L than s
r,
.
toL.
392
10.9.
M
If
... be a Nested Sets. Let Mi, Af 2 n such that bounded sets and 2 M$ MI D D 3 D sequence We show that there is at least one point p which belongs n D First we choose an element p\ to all the sets MI, M%, n .... The set of points from MI, then p 2 from 71/2, n etc. p n from This set is bounded since MI is ) belongs to Mi. pn (pi, p 2 bounded. From the Weierstrass-Bolzano theorem the set has at least one limit point p which belongs to MI, since MI is closed. Similarly p is These points belong to a limit point of the set (p 2 PS, ) pn
Theorem
'
of
of closed
'
'
M
.
so that peAT 2
Finally p
is
)
. . .
.
so that
peM n
Thus p belongs
M
.
1,
2,
n,
is
unique
(see Prob. 5,
Sec. 10.8) for the definition of the diameter of a set. Some mathematicians believe it necessary to postulate the existence of
More generally they desire the followthe set (pi, p 2 ). pn Then there exists ing postulate: Let S = {8 a be any collection of sets. a set P of elements \p a such that a point p otP exists for each set /S of S, p This is essentially the axiom of choice (Zermelo). belonging to the set S %
. .
.
10.10.
set,
be any collection of open intervals having the property that, if x is an element of S, then there exists an open interval T x of the collection T such that x is an element of T x The Hcine-Borel theorem states that there exists a sub collection T of T which contains a finite
.
and
of open intervals and such that every element x of S is contained one of the finite collection of open intervals that comprise T' Before proceeding to the proof we point out the following: 1. Both the set S and the collection of open sets T are given beforehand, since it is a simple matter to choose a single open interval which completely covers a bounded set 8. 2. 8 is to be closed, for consider the set 8(\, 1, 7, 1/X .), and let T consist of the following open intervals:
number
in
Tn
JL
It is
S by
eliminating
any of the given T n for there is no overlapping Each Tj is required to cover the point l/j of S.
of these
open intervals.
REAL-VARIABLE THEORY
393
Proof of the Theorem. Let S be contained in the interval This is possible since S is assumed bounded. Now divide this interval into the two intervals (1) ^ x ^ 0, (2) ^ x ^ N. Any element is in S, then lies in both x of S lies in either (1) or (2). If the origin The points of S in (1) form a closed set, as do the points of (1) and (2). S in (2). Why? Now if the theorem is false, it will not be possible to
N^x^N.
intervals
S in both (1) and (2) by a finite number of open which form a subset of T. Thus the points of S in either (1) or (2), or possibly both, require an infinite number of covering sets of T. Assume the elements of S in (1) still require an infinite covering; call
cover the points of
Do the same for Si by subdividing the interval these points the set Si. into two parts. Continue this process, repeating the ^ x ^ argument used above. In this way we construct a sequence of sets
S,
8*
D tin D
such that each S ^ is a closed set (proof left to reader) and such that From the theorem of nested sets as n > oo diameters of the S n * (Sec. 10.9) there exists a unique point p which is contained in every /S\, and ptS. Since p is in S, an open interval Tp exists i = 1, 2, which covers p. This T p has a finite nonzero diameter, so that eventuWhy? But by ally one of the /S,, say, S m will be contained in T p assumption all the elements of S m require an infinite number of the {T} This is a direct contradiction to the fact that a single to cover them.
.
T p covers them. Hence our original assumption was wrong, and the theorem is proved. Note that our proof was by contradiction. Certain mathematicians from the intuitional school of thought object to this type of proof. They 7 r exhibited, wish to have the finite subset of T\ say, TI, 7 2, such that every point p of S belongs to at least one of the T3 j = 1,
7
T
. .
2,
,r.
Problem. Assuming the Heine-Borel theorem, show that the Weierstrass-Bolzano theorem holds. Hint: If S has no limit points, it is a closed set. If p is a point of S and is not a limit point, a neighborhood N p of p exists such that N p contains no points Continue the proof. of S other than p itself.
now show that, if we assume the Heine-Borel theorem true for any linear point set, then the existence of the suprernum can be established. be an infinite bounded set of real numbers. can we dispense Let
A
We
Why
number
of
elements?
set
bounded above by an integer N, we can speak of the consisting of all numbers x such that x ^ every s of S, x ^ N.
is
T
if
The
and
is
bounded.
Is
closed?
Yes, for
if
394
t
then we can find a neighborhood of t which excludes so, so that T in this neighborhood are less than SQ, a contradiction. Thus 7 and 7 is closed. Every member of T satisfies the t ^ SoeS, so that ttT first criterion for the existence of a supremum. Hence, if no member of T is the actual supremum of the set S, the second criterion for the existSoeS,
<
the points of
ence of a supremum must be violated for every member of T. Thus such that no member t every point teT is contained in a neighborhood These neighborhoods form a covering of T. of S is in this neighborhood. Assuming the Heine-Borel theorem, we can remove all but a finite number of these neighborhoods and still cover the set T. Let the finite
by
1, 2, 3,
.
N:
at
<
<
bl
r. We assert that a Let a u be the smallest of the a, i = 1, 2, this. Then the to T. Let the reader neighborhood to verify belongs which a u originally belonged has the property that no point of S is in this neighborhood. This is a contradiction since those points to the left of a u (<a u ) are not covered by the neighborhoods N. Hence there must be a supremum of the set S. Q.E.D. 10.11. Cardinal Numbers. We conclude the study of point sets with a brief discussion of the Cantor theory of countable and uncountable sets. DEFINITION 10.19. If two sets A and B are such that a correspondence exists between their elements in such a way that for each x in A there
.
corresponds a unique y in B, and conversely, we say that the two sets are in one-to-one correspondence and that they have the same cardinal
number.
Thus, without counting, a savage having 7 goats can make a fair trade with one having 7 wives. They need only pair each goat with each wife. DEFINITION 10.20. A set in one-to-one correspondence with the set
of integers (1, 2, 3,
.
n}
is
number
n.
DEFINITION
10.21.
said to be countable, or
denumerable, or countably infinite, or denumerably infinite. We note that the set of integers I 2 2 2 3 2 , . . n 2 is, countably infinite and at the same time is a subset of all the positive integers.
, ,
The
cardinal
number
not denumerable
is
A countable collection of countable sets is a count10.17. Let the sets be Si, $2, Sn This can be arranged since we have a countable collection of sets {$}. Since the elements of
THEOREM
able set.
. .
. ,
as follows:
REAL-VARIABLE THEORY
Similarly
Now
2(-l),
0r,l,
we have a first element, a second sequence exhausts every element of {S}. This Thus the proof of the theorem is is done by a diagonalization process. demonstrated. We can now easily prove that the set of rationals on the interval ^ x ^ 1 is countable. Into the set S we place all fractions m/i,
This collection
is
countable since
this
element, etc.
But
^
The complete
m^
1, 2, 3,
of
S each containing a
finite
number
of
being countable.
oo
Now
let
<*>
the set of rationals, {r}, for which Cantor showed that the set of real
is
<r<
is
a countable
set.
numbers
in the interval
not a countable set. Assume the set countable. ^ x ^ 1 can be arranged in a sequence
S}
of
S2
= =
'
'
'
01n
'
'
'
'
02n
'
'
Sn
0.0 n i
n2
0n3
"
0nn
'
'
9.
The
Now
bl
.
,
n,
O.&i 62
where
nn
011
2
if
62
= =
.
022
2
9.
,
...
bn b
=
is
... among
the
-2 occurring
8 or
.
.
The number
.
certainly not
from every one of these Sj. But the collection {$,} was supposed to exhaust the real numbers on the interval ^ x ^ 1. Thus a contradiction occurs, and
any
of the s3 j
,
1, 2, 3,
n,
since
it differs
396
that the set of algebraic numbers, those numbers which satisfy polynomial equations with integral coefficients, is a countable set. 2. Why are the irrationals uncountable?
1.
Show
3.
From
the interval
delete
the middle third, leaving; the end points ^, ^. Repeat this process for the remaining The set that remains after a countable intervals, always keeping the end points.
number of such operations is the Cantor set. Since each removed set is open, show If the numbers that the Cantor set is a closed set. ^ x ^ 1 are written as decimal
expansions to the base
3,
set of reals
show that the Cantor set can be put into one-to-one correon ^ x 5s 1 when these numbers aie written as
decimal expansions to the base 2. Show that every point of the Cantor set is a limit point of the set. 4. Show that a limit point exists for a nondenumerable collection 8 of linear points.
The
set
need not be bounded. Hint' Consider the intervals N ^ x ^ N + 1 for the At least one of these intervals must contain a nondenumorable
that a limit point exists and belongs to a nondenumerable collection
Show
of
linear points.
Limits and Continuity. Let G 10.12. Functions of a Real Variable. be any linear set of real numbers. G may be an open or closed set, a finite We write G = {x}, set of points, the continuum, a closed interval, etc. x of Assume that to each of G there correis element G. where x any
{y} be the totality of sponds a unique real number y, x > y, and let H numbers obtained through the correspondence. This mapping of the set G into the set // defines a real-valued function, usually written
real
f(%)
mG
We
say that y is a function of x in the sense that for each x there exists a rule for determining the corresponding y. The notation f(x) simply means that / operates on x according to some predetermined rule. For
2 3 ^ x < 5, the rule for determining y given example, if y = f(x) = x x the set 3 5 simply is to square the given number x. of < x ^ any Consider Table 10.1. The set G consists of the numbers x = 1, 2, 5, 14,
,
TABLE
10.1
and the
set
respectively.
consists of the corresponding values y = 3, 8, 2, 0, The table defines y = /(x), x in G. The reader is familiar
=/(*)
REAL-VARIABLE THEORY
397
is
An important
One reason why
the student of elementary calculus encounters difficulty in understanding the theory of limits is simply that the concept of a
limit rarely occurs in physical reality.
x\
is
be
Xo is
is
the novice this statement appears to It must be understood XQ? xl an abstract entity invented by man. We
To
when x =
a manner that the difference between x and XQ tends to zero. us to the following definition
:
This leads
DEFINITION
zero as a limit.
less
If
10.23.
77
is
An infinitesimal is a variable which approaches said to be an infinitesimal if \tj\ becomes and remains
e
>
0.
and
772
for arbitrary
are infinitesimals, then eventually \TH\ > 0, so that \rii < e, ^ \rji\ 772] 772!
<
c/2,
771
|r/2
<
is
e/2,
and
772
also
an infinitesimal. Let the reader show that the difference and product of two infinitesimals are again infinitesimals and that the product of a bounded function with an infinitesimal is again an infinitesimal. Let x be a variable which m succession takes on the values 1, 3, ,..., as n becomes Certainly x is an infinitesimal since l/n > 1/n, For any value of x the sum S x -\- x -\- x -{'is infinite. infinite. On the other hand each term of $ tends to zero. Hence an infinite sum For another example, let x of infinitesimals need not be an infinitesimal. be an infinitesimal, so that # 3 /(l + x 2 ) n is also an infinitesimal for n = 0,
.
'
'
1, 2,
....
Now
an infinitesimal. An infinite sum of infinitesimals may Let the reader show by specific examples that the quotient of two infinitesimals may or may not be an infinitesimal. Let us return to the statement lim x 2 = #. To show that this
so that
or
is
also
may
not be an infinitesimal.
>0
statement holds, we must prove that x 2 x$ is an infinitesimal whenever 2 = \x an infinitesimal. Now is x #o \x \x x\\ XQ\ #o|, and x is an infinitesimal (by Since \x a: + XQ\ is bounded for x near XQ. 1 our choice), of necessity x 2 x\ is an infinitesimal, so that x x\ > 0, or x 2 * .TO, whenever x > XQ.
If
= M,
lim g(x)
398
then
(1)
(2)
lim [/(x)
g(x)}
M N
N
5*0
Ito [/(x)0(x)]
= MAT
M
N
of a function.
A knowledge of limits enables us to introduce the concept of continuity We consider the functional relationship y = /(x), and
).
What
shall
we mean when
feel that,
of
which
is
close to x
y
y =/(*)/
Intuitively
we
is
if
said
for
to be continuous at x
any
>
there exists a
5(e)
>
such that
|/(X)
-/(So)
|
<6
whenever
x < 6, x in G. |x Let us look at the graph of Pig. For any c > we construct 10.2.
horizontal
lines
the
FIG. 10.2
c,
XQ
+
6
,
5,
open interval XQ
) c,
<
between /(x
/(x
x = XQ ~ 6 such that, for every point x of G x < XQ + 5, /(x) has a numerical value lying we say that /(x) is continuous at x = XQ.
exist for every
c.
yQ
If
The
must
>
0.
maximum
have to
depend on
The
smaller
e is,
the smaller
The p"oint x will influence the value of 6. the the smaller 5 becomes. steeper curve, Two equivalent definitions of continuity are as follows: /(x) is conbe.
Moreover the
tinuous at x
(a)
(b)
X-+XO
if:
lim /(x)
/(x
),
x in G.
6
f(xz)
in
of XQ.
Functions are discontinuous for two reasons: 1. lim /(x) does not exist.
x *xo
2.
is
).
REAL-VARIABLE THEORY
Example
10.1.
399
5.
Consider /(x)
1,
*
1)
2,/(2)
We
have
hm
x-+2
(x
However /(2) = 5 ^ 3, so that /(a;) is discontinuous at x = 2. If we were to redefine the value of /(x) at x = 2 to be 3 instead of 5, we would remove the discontinuity. In this example f(x) has a removable type of discontinuity.
Ol/x
Example
10.2.
Consider /(x)
2 1 /* 9 2 1/x
>
5* 0, /(O)
1.
We
have
lim
x->0
1
2 1/z
1
hrn
"T
_>() 1
7-37^. -T 2 1/T
z>0
Hence lim x-0
/(x) does not exist for all
j<0
manner
of
approach of x to zero
It is
obvious
that f(x) does not have a removable type of discontinuity at x ~ 0. Example 10.3. f(x) = sin (l/x), x ^ 0, /(O) = 2. Since /(x) oscillates between = 0. > 1 and -h 1 as x 0, lim /(x) does not exist and f(x) is discontinuous at x
x-*0
Example
is
/(x) discontinuous at x
is
10.4.
=
=
l/x,
=
by
41
zero
Some authors
is
undefined.
f(x) /(x)
(x
2
discontinuous at x
(x
2
l)/(x
1) is
1),
since hrn l/x does not exist. On the other hand z->0 2 is continuous at x = 1 even though x 7^ 0, /(O)
In this example
l)/(x
undefined at x
1.
^ x ^ 1, we note that /(x) is continuous everyExample 10.5. If /(x) = x 2 for and x = l? If a; =* c is a where on this interval. Why is /(x) continuous at x = 2 2 = \x r' so that |x -f c\ < 3|x c\ point of this interval, we have x c| 2 = 6. We have found a value of 5 independent c 2 < * whenever |x r| < e/3 |x We say, therefore, that /(x) = x 2 is uniformly continuous on the of the point x = c. 1. x interval ^ ^ Example 10.6. Let/(x) = l/x for a ^ x ^ 1, a > 0. It is easily seen that/(x) is c we have continuous for every x of this range. For x
|
__
Thus
ent of x =
1
J
1
if
-j
|x
c|
<
<
or
|x
c|
<
5.
Since 5
= a 2 e is independ-
c,
we have uniform
>
continuity.
On
But /(x)
the other hand /(x) is also continuous is not uniformly continuous on this
find
range since
as
a
c|
>
0.
For any
>
we cannot
a
1.
>
such that
< <
whenever
x
\x
<
d for all c
on the range
<
1 is
not a closed
set.
DEFINITION 10.25. Let f(x) be defined over the range G. f(x) is said to be uniformly continuous on G if for every > there exists a
5
5(c)
such that
l/(*i)
-/(a*)!
in G.
<
whenever
\xi
#2!
<
5,
x\
is
and #2
THEOREM
10.18.
If
if
f(x) is con-
uniformly continuous on G.
400
Proof.
We
theorem.
First let us
base the proof of this theorem on the Weierstrass-Bolzano assume that f(x) is not uniformly continuous on
This means that there exists at least one there will exist Xi, Xi such that |/(xO such that for any 5 > We take 5 = 1 and obtain the pair of Xi\ < 6. /(xi)| > eo with |xi and obtain the pair (x 2 x 2 ). For numbers x\, x\. Then we take 6 = 5 = 1/ri we have the pair (x n x n ) such that \f(x n ) /(x n )| > e with
the closed and bounded set G.
-J-
\x n
xn X2
,
<
.
.
(Xi,
l/n = Xn
,
5.
.
By
.),
(
this process
5 1, X 2
Xn
.
)
. . ,
,
ShlCC
IB
& dosed
xn the sequence (xi, x 2 .) has a limit point x = c belonging to G. We pick out a subsequence which converges = c. The corresponding points from the sequence [x n sequentially to x
set,
,
.
.
and bounded
=
\,
c,since|o;n
n \x'
}.
xw
<
is
I/GO I/OO
/(*n )|
- /Ml < o/2, |/($ n - /(c)| < a contradiction, -~/(Zn)l < c > Q.E.D.
)
o,
Since /(x)
eo/2, for
sufficiently large.
Thus
THEOREM
10.19.
If /(x)
and
0(x)
are continuous at x
a,
then
/(x) g(x), /(x)0(x), f(x)/g(x) with 0(a) The proof is left to the reader.
0, are continuous at x
a.
THEOREM
G, then /(x)
Proof.
10.20.
is
If /(x) is
bounded.
There exists an x\ such that /(x) is not bounded. an x such that an x n such that /(x n ) > n, > 2 /(x 2 ) 1, /(xi) 2, The set (xi, x 2 has a limit point x belonging .) x, to G since (? is a closed and bounded set. There exists a subsequence Thus from .) which converges sequentially to x. (xj, Xg, x^,
Assume
>
continuity
lim /(x;)
Xn'
/(x)
But /(xn )
value at x
>
co
as x^
>
x,
x.
G, then a point x of
continuous on a closed and bounded set such that /(x ) S /(x) for all x of G. From Theorem 10.20/(x) is bounded above as x ranges over G. Proof. Thus the set of values {/(x) has a supremum, say, S. Thus S ^ /(x) for all x of G. Choose Xi such that /(xi) > S 1, x 2 such that /(x 2 ) > x S such that S .... n I, /(x n ) > l/n, Why is this possible? The set (xi, x 2 xn We .) has a limit x belonging to G. pick out a subsequence {xn which converges sequentially to x, with x^ = x m Now/(x m ) > /S 1/m, so that
10.21.
If /(x) is
THEOREM
exists
lim f(xm)
lim
- = S (*-!)V /
}
REAL-VARIABLE THEORY
401
From
S ^
/(z), so that/(s)
5.
m * Q.E.D.
oo
lim f(x m )
S.
But
Let f(x) be continuous on the range a ^ x ^ 6. If there exists a point c such that /(c) = with a < c < b. < > 0,/(6) 0, /(a) T the Let be set of a of x 6 such that ^ ^ Proof. points /Or) < 0, and We speak only of x on the range if f(xi) < 0, x z < Xi, then /(z 2 ) < 0. a ^ x g Z>. T is not empty since x = a belongs to T. T is bounded above since x = b does not belong to T. Hence T has a supremum;
10.22.
call
THEOREM
itx
c.
Now/(c) =
0,
or/(c)
>
0,
or/(c)
<
0.
Assume /(c)
>
0.
Since f(x)
is
continuous at x
c,
we can
> 0. Thus/(z) > /(c)/2 > whenever |x - c| Let the < 5. But /(a;) < for x < c, a contradiction, so that/(c) g cannot occur, so that /(c) = 0. reader show that /(c) <
whenever
|jc
c\
<
5, 5
Problems
1.
\x\
5(e)
such that
\f(xi)
f(x 2 )}
<
whenever
(a) /(JT)
(b) /( X )
(r)
= =
2x*
sin
for
x
a: 2
for for
f(x)
-v^l"^
-1 g JT ^ 1 ^ j- ^ 27r - 1 g a; ^ 1
0.
2.
3.
is
is
< x ^ 1. Find an example of a function /(x) which is continuous on a bounded set, but /(a) not bounded. 6. Find an example of a function f(x) which is continuous on a closed set, but f(x) not bounded. 6. Prove Theorem 10.19.
4.
7.
Show Show
that g(x) = x sin (I/a*), x 5^ 0, /(O) = 0, is continuous at x = that y = sin (1/jr) is not uniformly continuous on the range
when x
is
rational, f(x)
when
is
irra-
tional, /(O)
8.
0.
Let f(x)
is
that f(x)
points.
(PJ #)
when x is irrational, f(x) Show l/q when x = p/q, (p, (/)=!. discontinuous at the rational points and is continuous at the irrational Hint: Show that there are only a finite number of rational numbers p/q with
9.
=* 1 such that > 0. l/q > e for any Prove Theorem 10.18 by making use of the Heine-Borcl theorem. 10. Prove Theorem 10.20 by making use of Theorem 10.18. 11. Let f(x) If f(x) and g(x) are continuous for g(x] for x rational.
all x,
show
if
that /(x)
12.
^ x ^
6.
Let h(x)
f(x)
f(x)
g(x)
if
g(x)
f(x).
Show
flf(x))
that
0(x)|
feW = iCfW
+ i|/(or) x,
Also show that h(x) is continuous for a ^ x ^ b. 13. If /(x) is defined only for a finite set of values of
at these points.
is
continuous
402
exists such that, 14. If f(x) is continuous at x c with/(c) 0, show that a 5 for \x - c\ < 5, f(x) > 0, x in G. 15. If f(x) is continuous on a closed and bounded set G, show that a point X Q of G exists such that f(xo) ^ f(x) for all x in G.
>
>
10.13.
The
Derivative.
a limit point of G.
say, {x n }.
We
Next we compute
/(c)
c
(10.9)
and is independent of the particular sequence which to we represent c, say that /(x) is differentiable at x ~ c. converges this limit or first derivative by /'(c).
If this limit exists
We
The
y
definition
above
is
equivalent to the statement that for any e > there exists a 6 > and a number,
f'(c),
such that
f(c)
c
<
c\
whenever
It
it
0< \x
<
6,
x in G.
.1
c,
for
o
FKJ
\f(x)
10.3
~/
c implies /(a;)
>
c)
>
as
JT
>
/(c) as
a:
c.
The reader
is
well
aware
In Fig. 10.3,
PR =
A*
f(x
+
Q
is"
f(x)
L joining P
to
-/(a?)
the slope
called the
tangent line
is
defined as
/' (x),
and
RS =
f(x) Ax
is
differential of /(x).
Example
10.7.
Let /(x)
x 2 sin (1/x), x
0, /(O)
0.
To
is
differentiable at x
=0, we compute
.
lim
lim
= hm
x->Q
is
x sin X
=
=
by showing
Hence /'(O)
=* 0.
not continuous at x
REAL-VARIABLE THEORY
The reader can
verify that,
if
403
f(x)
and
c,
then
jx
[/(*)
0(*)]
f(c)
+ g'(c)
+
0(f)/'(c)
lr-e
f(c)g'(c)
(10.10)
The
known
to hold:
d (constant) ^ dx dx n dx d sin x y dx
,
n =0
>^
d cos x dx
.
cos x
dx d In x j dx
If y
.-
ex
1
-
Example
10.8.
Implicit Differentiation.
x.
/(M)
and u
<p(x),
we say u =
that y
MO,
depends implicitly on
exists at
Let MO
<P(XO),
-^
exists at
-?
xo.
We
show that
dy dx
df
d<p
du dx
dy du dy dx
at x
Jo,
no.
From
A?/
/(w
-f
AM) -/(MO)
we have
A//
/(MO -f A?^) _
Ax
If,
/(MQ) y?(x
-f Ax) __
^(x
A// p^
) t
AM
Ax
Ax
^
AM
(lu.ll
as
Ax
0,
7^ 0,
and
lim
<
is
On
we cannot apply
-j-
the product of the respective limits, provided they exist. 0. For (10.11) if AM == infinitely often as Ax
this case,
however,
dx
= hm
A
=
Ax
o,
0.
But
Ax
for
which AM
we have *H .
Ax
fMAx
Ax
0.
Hence
dx
dy dx
still
holds
Example
10.9.
The Rule of
Leibnitz.
The
=
is
-j- (uv)
d dx
dv
-j
dx
h v -j-
du dx
2 3^ ax ax
If
we
differentiate again,
we obtain
ox
-r-r (MV) 38
= u -r-9 z
ax
4-
+ v -~ ax
z
Let the
404
reader prove
or otherwise that
5?
(UV)
_ W "
d^ +
d "v
_L
+ Vl/ Sd?=
( n \ du dn
lv
_L
fn\
d* u d "~ 2v
dx*
d*- 2
-i.
'
'
with -77 dx
l}
w, -TT
dx
f.
(}
As an example
of Leibnitz's rule
we
1 - ^-. Til
i
(x 2
.
l)
>P
(x)
1,
n =
0, 1, 2,
(IX
We
have
n -W + 2*-in
/
dx
dx
(n
(1013)
Moreover
r^
,
^r*M
f/
4.
nP n -i(Jc)
dH
._
2"n! L
r 2 __
i \
dx n
(^
T2
IV*" 1 4- 2r>r ;
(r 2
dx"- 1
1 IV'" j
w + .g
1
+fJ
..
,,,
^ [(1
Equation (10.15)
is
- x)
^^]
W(TI
(10.15)
From Theorem 10.21 we readily prove Theorem 10.23 due to Rolle. THEOREM 10.23. Rolle's Theorem. Let f(x) be continuous in the
interval a
^ =
6,
and
this interval.
If /(a)
0.
f(b)
0,
such that
/'(c)
REAL-VARIABLE THEORY
Proof.
405
From Theorem
such
that f(c)
f(x) for a
Now
Ac) -lim
fc-o
# + *>--&-> 5=0
ft
since /(c
/O
/(c)
Moreover
/(c) a local Let the reader give a geometric; interpretation of Rollers theorem, and let him construct an example of a continuous function, /(#), /(a) = /(&) = 0, such that nowhere is f(x) = 0, a ^ x ^ b. Law of the Mean. Let f(x) and <p(x) be differentiable functions on the interval a ^ x ^ b. We show that a point x c exists such that
c,
Of necessity, /'(c) = 0. Q.E.D. The condition be weakened by assuming that /'(c) exist at x
or inf emum of f(x)
.
of the
theorem can
with
supremum
v (b)
*(a)]f (c)
[/(&)
f(a)] v '(c)
(10.16)
The
function
vanishes for x
/(a)]
/(*)[?(&)
*(a)]
- v (a)f(b) +
<t(b)f(a)
a and x b. $(x) was obtained by finding A, B, C = a, x = 6. Applysuch that $(x) = A<p(x) J5/(x) + C vanishes for x As a special ing Rollers theorem to \f/(x) yields the theorem of the mean. case, choose <p(x) = x, so that (10.16) becomes
/(&)
- /() =
(c)(6
a)
<c <b
(10.17)
Let the reader give a geometric interpretation of (10.17). L' Hospital' s Rule. From (10.16) we have
/(b)
- /(a) _ - <p(a)
^>'(c)
/'(c)
<
<
(10.18)
provided
<p(a)
<p(b)
<p(a) -^ 0,
?^ 0.
0,
0, so that
and
since a
lim
lim
;>_
=
(p'(c)
lim
f
_ ^ '(C)
<
<
6.
We
^f( =
lim
f&
'
(10.20)
406
= 0, L'HospitaFs rule. We cannot apply (10.20) unless /(a) = = 0? If /' (x) and <p'(x) What can be done if /' (a) 0, /(a) *(a) = 0. are continuous at x = a, and if <p'(a) 9* 0, then (10.20) can be written
which
(10.21)
provided /(a)
Example 10.10
0,
<p(a)
=
x
0.
lim
sm
-x
z 3 /6
r"
lim -0
4
a* cos ---
+
4
5.r
Now g(x) =
able.
cos r
Reapplymg
hm
..
sin
-1
-h
# 2 /2 and h(x)
= 5x both
vanish at x
(10.20) yields
x 7 x
+x
/Q
Inn *->o
,
.
- -sin x
-f
,
.
,.
lim
=
1
x --r- = hm hm sm
J^H-O
cos x ^r120
J^T 120
We complete this section with a discussion of the second derivative. Let f(x) be differentiate in a neighborhood of a: = c. The second derivative of f(x) at x = c is defined as
exists.
Now
f'(.r)
lim*^-----^
^-- so that
f'(c)
/.-.O
lim^
ft
/'(c
'
*)
= Um
A->0
and
f"(c)
lim
nm
The
im
/(c
h)
- f(c +
is
k)
f(c
ft)
+ /(c)
can be shown,
order in which
we take
these limits
important.
It
is
necessary.
we can
/" (c)
lim
f(c
+ 2k)-2f(c + h) + f(c)
(10>22)
We now investigate under what conditions (10.22) yields /"(c). - /(c), U(c + K) = f(c + 2h) - f(c + h),so that U(c) = f(c + A)
U(c
Let
+ A) -
C7(c)
/(c
2A)
2/(c
+ A) + /(c)
REAL-VARIABLE THEORY
Applying the law
hU'(c)
of the
407
mean
h)
as given
by
(10.17) yields
h[f'(C
/'(c)]
/(c
2/0
2/(c
h)
+ /(c)
(10.23)
hT(c) =
with c
in a
f(c
+
If,
2ft)
2/(c
ft)
+ /(c)
is
<
<
h.
To
obtain (10.23),
we assumed
moreover, f"(x)
Problems
continuous at
c,
1.
2.
Show
that
if
x m/n ,
x m/n
fl
~l
by assuming
wa
.n
for
any
cii
3.
Show
^ that hm
=
+X
1
/2
r^x.
4.
Let w(z)
2, 3, 4,
.
tan^ 1
,
From
(1
z 2)
-7-^ -f
dx
2x
~ dx
D ~
find
-^ dx n
/) 2
at z
for
=
5.
by the use
ax
(e
of Leibnitz's rule
e
Show that
-j
f(x))
aT
(D
-f a)
(n)
f(x)
with
^->
-r-v
fc-o
6. 7.
8. 9.
Find an expression for D [f(x} cos \x]. Prove Leibnitz's rule by mathematical induction. = constant If f(x) Qfor a x b, show that/(x) Show that (10.17) can be written as /(6) -/(a) =
n
for
(6
b.
a)/'(a
0(6
a)),
<
<
1.
10.14. Functions of Two or More Variables. We say that /(x, y) is continuous at x = #o, y = 2/o if for any > there exists a 5 > such
that
l/(z, y)
-/(zo,
2/0)
<
e
whenever
|x
2
|
+
x^,
t..
|y
.
2/o|
.
.
<
5.
In general
f(xi, #2,
#w )
ig
(#?,
x^) if for
\
any
>
there exists a 6
/.(r\ | Jsft)
I
>
/*.
If J/2,
J/nJ
s* V.
whenever
\Xi
x$\
<
8.
10.21 can be
finite.
shown to be true
for
a continuous
function of n variables, n
408
An example
y but
is
xy
/(O, 0)
x2
7*
= =
0)
lim
r->0
0= /(O,
0), so
that f(x, y)
is
continuous in x
at
(0, 0).
y.
However,
= mx,
Since
V-0
0,
/(x, y)
fTLX^
lim -^ 2 *-+o *
+
,
ra
, 2
x2
Vfli
m is
One
follows
2/0)
as
/iOo,
Z/o)
=
o
==:
lim
Ax
/AX
A?/)
(10.24)
A//
exist.
we
write
/u =
Example
10.11.
d 2/
UJU
d 2/
f /22
=
2
dy
x 3y
Consider
/(O, 0)
=
/>-><)
*+l
Then
/i(0, 0)
^
/
/i(o, y)
/2l(0, 0)
0,0
L MLIL^^T
/_*n
"
lim
o^
A
Ji_kft "-
o,
o)
A(o,o)-|
0,0
,. lim T A-^O'1
0, '
0) y
dxdy
r-~V-
lim r
0,0
fc_*n
REAL-VARIABLE THEORY
dy dx are continuous, then /i-2 Define Proof.
In this example,
a 2/
.
409
if fi%
0,0
==
dx dy
We
and
/2i,
0,0
/2 i.
U =
*(y
so that
If -f
f(x
/(*
+ +
Ax, y Ax, y)
A?/)
f(x, y
+
-
Ay)
/(x
Ax, y)
+ /(z,
y)
/(x, y)
A?/)
Ay)
/(a, -f
Ax, y -f
(7
/(x, y 4-
Ay)
*(y)
*(y
Ay)
we apply
mean
to U,
we have
p.
Again applying the law of the mean to the variable x constant as far as x is concerned) yields
(y -f 0i
Ay can be considered as a
U = AJ
By
Arr
d 2/(*
+ ^ Ax,
B,
Ay)
dx dy
A. Ay A - Ax
6*
AX
>
^^
04
A '^)
<
and
<
Ax,
finally allowing
Ax
->
0,
Ay
0,
we obtain
dy dx
dx dy
provided these partial derivatives are continuous. Example 10.12. Total Differentials. Let z = /(x, y) have continuous
derivatives.
z 4-
first
partial
Now
= = =
/(x -f Ax, y /(x
Az Az
Ay)j
[/(x,
y -f Ay)
f(x, y)}
If
we apply
we
obtain
Az
with
M* +
* A *>
^x
A ?/)
Ax
*/(* y
+
Oy
*y)
Av
0<^i<l,0<02<l.
we have
df(x
derivatives
Ax, y _
2/
+
^2
Ay)
y) df(x, __ _ _____
-r-
Ay)
a/(x, y)
2
where
ei
>
0, c 2
>
as
Ax
>
0,
Ay Ax
>
0.
Hence Az becomes
,
A,
^M
3/M AJ
Ax
Av
(10 26 )
.
410
The
is
defined to be
If z
f(x, y)
x, dz
do;.
Af ~
i/
1
,
ox
TT ay
0,
and Ax =
dz.
Similarly
Ay =
dy, so that
dz
+ fdy fdx dx dy
jZdx dx
dy %dy
/,
(10.26)
where dz
(10.25)
is
If
then from
^
A/
A
A^
<V(,j[) AV "^
,
^
l
a//
A*
A<
*2
^/
A/
If
~ and
exist,
we
obtain
cte
_ '
df dx
df dy
since
>
0,
e2
as A/
->
0.
Remember
. .
that
if
>
of necessity
is
Ax
* 0,
if
u = /(x 1 x 2
,
defined as
The
is
d[
\= dx-~\
}+dy-jt[
(10.29)
of x
and
y.
In particular,
and
-
^=
ox dy
{
T~~{~~'
rf((fe)
rfa:
rfx
dy
-f
d?/
(10,30)
provided
dy dx
Symbolically,
Jt
we can
,
^-LaS^ + ai
,
[dz
d*
In general
REAL-VARIABLE THEORY
Example
v.
411
10.13.
of coordinates given
Change of Coordinates. Let z = f(x, y), and consider the change x(u, v), y by x y(u, v), so that z depends implicitly on u and
From
(10.25)
^ Aw
d/(*,
//)
dx
A Aw
"" a/(j, y)
,
dy
Ay Aw
"^ Cl
Ax Aw
A Aw
//
du
Similarly,
dz
dx du dx df_ dx dv
dy dy ay
_^ df_
dv
Symbolically,
of x
//
depending on
In particular
any variable
Of course ~ and ~~ must, in general, be continuous. dz\ ~~ _ dx d_ (dz\ ~ '\~ I a-. fk~.l M i dx \dx) du ^i/
\
#//
/^A
*\~.
_ ~
d
d*z_
'dx 2
dx du
du dy\dx) d*z dy dy dx du
"i
,d]/d_ (dz\
d 2 z dy
du dy \dy)
dx dy du
-f
dy* dn
r
Example
dz dr
10.14.
Consider
dz
=
dz
z(x, y},
cos
0,
sin 6
Then
dz dx
dx dr
d
_j_^ dy dr
_
dt/
dx
d dr
os
-.
,
dz
fdZ\ (dx)
+
.
Sm
dr
(dZ\ (dy)
'
osu ln ..,
dydxdr ^
~"
\_
dxdydr
ya r j
COS
^. r
dO
sm
cos
dz
dx
dz ,,~
f_
r cog
dz n __
_=
d*z
=s
dy
-r
dz *,
r
dO*
dx
cos
sm
0\
d*z
r
sm
dy
+
,
72
a 2c
cos
~i
[a
-
2
r
ax ay
sin
-f 7
f)
Z
; 2
?*
cos
1
I
ay
412
1.
Let
T
i
=
=
2
,
x
v
=
=
e',
y
.
sin
r,
T/.
t.
Find
-j>
by two methods
,
* >
2.
Let u
xz
o
?/
o 2
,
-f
j find
dx dy dx --i and dy dv du du dv
dx du
rt
Hint
Tr
du 7 du
2x
O?/ - >
2?/
du
=
oZJ
2x
^ a#
2y ay
cos
^
2
etc.
<f>,
Why
=
r sin
is it
0?
If
3.
Let x
r sin
sin p, 2
cos
0.
V =
V(x,
y, 2),
show
that
,*!r
*!i
a?/
+ ^
*!r
d2 2
'
dV
4.
Let
/(xi,
X2
x n ) be homogeneous of degree
k,
that
is,
/,
set
1,
and prove a
result
due to Euler,
*/
6.
6.
If f(xi,
(see
Prob.
4),
show by mathe-
1)
(k
I)
Theorems
THEOREM
10.24.
r\ 77T
Let x
*\ T7I
yo satisfy F(x, y)
0,
and
let
us
that F. suppose *^
'
dx
and
dy
XQ\
=
=
, '
?/o,
say, for \x
<
I,
y<>\
<
1.
If
at x
XQ,
y<>,
there exists one and only one continuous function of the independent with ?/o = /(ZQ). In variable x, say, y = f(x), such that F(x, /(#)) = other words, if Xi is any number near XQ, there exists a unique ?/i such that
/(#!,
2/i)
0.
we speak
of y as a function of x.
Proof.
Assume
dF
>
at
P(x Q y Q ).
,
applies to
the case
<
0.
From
continuity of
hood
SF
of P(x*>
2/0)
such that -^
> Q >
0,
fixed.
We
REAL-VARIABLE THEORY
size of this
~~
l>
413
\y
2/o|
neighborhood, if necessary, so that it is bounded by \x XQ\ < < 1. In this new neighborhood of x = XQ, y = 2/0, given by
f$J?
IQ,
a;
|
XQ\
<
\y
yo\
<
AJ?
>
A//
/o,
we have
F,
ox
continuous and ^ oy dy
>
Q >
0.
Let
R >
2/
dF
dx
2/o
in this
neighborhood.
satisfying
XQ\
<
?/)
IQ,
\y
<
IQ
we have
y)
F(x, y)
F(x
2/0)
F(z,
F(x*, y)
+ F(x,
F(x,
*/)
Let y
/-
t,
<
<
^
Then
'
- IT X )-(
xo)
dF( 3
>
e ^'
Since eQ
>
0,
we
shall
have F(x,
for
|o:
<
0.
if \x - x < eQ/R. Simiyo + e) > < eQ//?. From Theorem 10.22 a We have shown that, for any x satisfying
\
a-
?y
\x
that y
for
We say 0. IQ, a number y exists such that F(x, y) a function of x and write y = /(x), so that F(x /(#)) = 0. Next we show that y is a single-valued function of x. Assume that,
XQ\
< eQ/R ^
is
bers
xo any number x\ satisfying x = ?/i and 2/2 such that /'X^i, 2/i)
|
< eQ/R ^
and
F(XI,
IQ,
7/ 2 )
num-
0.
} ,
y-z)
F(XI, y\)
Applying the
yields
Since
>
2/2)
0, of
is
necessity
1/2
2/i>
that y
x,
/(x) is single-valued.
if
To
0,
show that y
F(x z
we note that
2/2)
F(x\, yi)
0,
_
^
rlJ?
F(X!,
.
+ F(x
l}
2/2)
.dF(x lyyi
i
+e
__
2 (y 2
F^!,
2/1)
= _
y,))
flW
Since
and
is
oy
ox
bounded,
it is
obvious that
2/2
y\ as # 2
>
x\.
This
is
Theorem
conditions
1.
:
THEOREM
Let F(XI, z 2
xn
z)
satisfy
the following
is
P(a,i,
a2
. ,
an
ZQ).
2.
The
partial derivatives of
exist at
414
3. F(di, 4.
. ,
an 2
,
0.
dF 2L
dz
at P.
By the method
hood
of Po(ai, a 2
. .
.
F(Xi,Xt,
used in Theorem 10.24 it can be shown that a neighbora n ) exists such that z = J(x\, x z x n ) and On) With ZQ = /(i, 2 ,X n )) = ,X n ,f(Xi,Xz xn a continuous function in the variables xi, #2,
.
>
/y,
2)
0, z
/Or,
//),
F(a,
if
fe,
c)
=
/(.r,
we have
/y)
f (a?,
so that
?y,
2)
/<>,
6, c)
=
F(a,
b, z)
F(x,
y, z}
F(a,
y, z)
+ F(a, y, z) ~
.
+ F(a, 6, z) ~
F(a,
6, c)
^ ^ ^ - a)
=
dF (
e ^x
a )>
y> z ^ 4. -h
^(^ b + ^_M oj
/
1
^(?y
ft),
g)
'
dz
If
6,
we have
lim
A^
^
fy
lim
7~Z~^
~~
air /a*
(10.35)
Similarly
Example
have F(l,
z as
1,
10.15.
0)
Consider F(x,
0,
y, z]
xe*
7*
yz
y.
At the point
(1,
1,
0)
we
and ~-
xe*
at
(I, 1, 0).
Thus
(1, 1)
F(x,
y, z)
defines
a function of x and
neighborhood of
t
such that
=/(!,!).
xe
7~\~~
= xe' -f y, so that = = e* we use (10.35). Thus To compute oz ox ox ox Notice that we do not claim to solve for z explicitly in terms of x and y.
THEOREM
10.26.
Let F\{x,
u, v)
(x, u, v).
F%(x, u, v)
0,
0.
FI and F% have continuous first partial derivatives for a neighborhood of (XQ; MO, ^o). Of necessity FI and F% are continuous. 3. The Jacobian of FI and F 2 relative to u and v, written
2.
or
% 77T i
or
*\ JTf
du du
does not vanish at (x^ u$,
VQ).
dv
dv
KEAL-VARIABLE THEORY
415
exists
u
such that F(x,
VQ
<pi(x),
<? 2 (x))
=
2
0,
F 2 (x,
or
-
s=
with UQ
<PI(X O ),
^> 2 (Xo).
Proof.
If
./
7* 0,
then
Also
of (x
on
dv
^
is
0.
Without
loss of generality
we take
-^
0.
we note
;
that J
continuous, so that J
5^
for
some neighborhood
hood
of (XG; UQ,
VQ).
WG,
*>o),
for a neighbor/>
From Theorem
v
function of x and u,
10.25 we can solve for such that F%(x, u, /(x, u)) /(x, u),
as a unique
0.
Hence
u.
From
F\(x, u,
v), v
/(x, u)
?^,
so that
dFi
di/
i
= constant
= constant
constant
"i
x = constant = constant
|x
constant
dFi
x = constant v constant
r- constant -constant L
i
r_
oifVdw
^rr /n OP %/ OV
dF 2/dv
Since
0,
we have
ifa **>/(*>"))
so that from
Theorem
10.24
we can
v
=
u, v)
for
<PI(X), <p\(x)
/(x, u)
/(x,
,
^(x))
.
.
=
,
<p 2 (x).
,
Q.E.D.
Theorem
x2
. .
consider FI(XI, x 2
xn
0,
F 2 (xi,
xn
u, v)
0.
in the
of
Theorem
10.25.
==
f(u, v}, y
^/
(x,
i/,
w, v)
ss ^>(w, v)
0.
We
i/
provided
l)u
IhT
dv
du
d<p
dv
d<p
dx du
dy
dx
dv
(10.36)
dy_
du
along with the condition that the
first
du
dv
du
dv
partials of x
and y be continuous.
If
cos
0,
416
y
then
dx dx
d0
cos
sin
r
dr
cty
r sin
dy
d6
cos
dr
For
r 7^
we can
o
solve for r
and
uniquely
any point
ro
cos
0o, 2/0
=
2/
fo sin 9o.
Indeed,
(x* -f
)*
tan- 1 ^ x
<
TT
10.26.
mathematical induction one can extend the results of Theorem We state Theorem 10.27 but give no proof. x m ?<i, y>2, THEOREM 10.27. Let f = f (xi, x 2 ^n), = 1,2, n satisfy the following requirements: n has continuous first partial derivatives 1. Each /t i = 1, 2,
By
aw
.
61, 6 2
,
.
,
b n ).
1, 2,
n.
3.
at P.
exists
There
which
a satisfy (2) such that <p t (ai, a 2 Example 10.17. For the coordinate transformation
.
.
771
6t
1, 2,
n.
we note
tion of
l,hat
F =
t
,
. .
.
fi(xi, x<2 ,
,
xn )
?y
0, so
that
we can
7/1,
y2
y n provided
dF\
assuming that the first partials are continuous. For the system of linear equations y = a ax a
1 l
1, 2,
n,
we have
dx>
Kl
,
so that
\a]\
we can solve
for x*,
1, 2,
n, as
a function of y 1
2
,
n
,
.
.
t/
t/
provided
THEOREM
10.28.
Let u
/,(xi,
x2
x w ),
.
i
.
=
.
1,
2,
n,
have continuous first partial derivatives at P(xJ, #, ,x). A necessary and sufficient condition that a functional relationship of the form wn) s exist is that F(UI, u<t,
.
.
(10.37)
REAL-VARIABLE THEORY
Proof.
First
417
un)
0.
Then
5*
dF ~
V
2,
dF du
a
*
"
10 ...,n J-1,2,
(10.38)
Since
=
n
tions in the
quantities,
dF a
>
du a
1.2.
.n, with
dF du a
for at least
one a of necessity,
z*.
(10.39) has been shown to be a necessary condition functional for the existence of a relationship involving the u^ i 1, 2,
(see Sec. 1.4).
Hence
dF
is
-
.
,
n.
Why
for at least
one a?
Conversely,
let
dx l
a/2
dx<2
2 a/_
dx n
(10.39)
dfn
dx n
of simplicity
of
uX n
does not
vanish, so that
3/1
d/2
<tf*
a/2
dXi
8X2
dXn_i
(10.40)
dx n -i
Now
let
1/1 1/2
= =
Ui
U%
= =
/i(Xi, X2,
Xn)
Xn)
(10.4
/2(Xi, X2,
n_l
/i i
= W n -l =
ff ^n
/n-l(Xi,
X2
Xn )
yn
418
From
and
(10.41)
we have
a/i a/i
6x2
a/2
dfr
(y\, y*,
\Xi, Xt,
.
. .
>
y*\ Xn)
dx n
dfn
1
From Theorem
tions of the
?/,
,
10.27
z
we can
2,
.
1, 2,
n, as func-
n, so
-
that
i
Xi
?t (2/i,
2/2,
,
2/)
1, 2,
2/2,
(10.42)
and
Un = /n (Xi, X 2
3n)
,
^(2/1,
2/n)
along with Ui
1/1,
w2 =
2/2,
^n-i
From
so that
dF T
and w n =
1/2,
Thus
functional relationship predicted
0.
(? is
the
by the theorem.
y
Q.E.D.
z,
Example
10.18.
Consider
u - x
u,
*>
v,
2/>
+
1
z,
x
1
w =
2x.
Then
w\
z/
200
1
-1
-1
Tt is
v,
w)
**u+v
=
wzzQ.
Problems
1.
Let x
r sin
cos
$>,
r sin 6 sin
<p t
r cos
0.
Show
that
2.
In Prob.
solve
r, 0, ^>
in
terms of
x, y,
z.
REAL-VARIABLE THEORY
3.
419
Show
that
Let u
=* xyz, v
xy
yz
zx,
***
z.
4.
For J
j&
du
we can
solve for
x, y, z
in
terms of
u,
w since /
du
/i/l.
7* 0,
_ ~
_ ~
/)/9
Thi
yz
,
xy
g
-. O . dw _ dx _ _ __
dv
(v
__
dx )- +
.
.
dy ).
)-
dz
dz <)?/ __ -!___
du
Let u
x -f
?y
-f
2,
x?/
,//2
-f-
2
2/
+2
2
-
Show that
u, v, w.
.
.r
M
),
say,
/(a;
x2
x n ).
We define
ay
Under the coordinate transformation
.
.
z
,
n
).
Show
that
dy
dx
10.16.
The Riemann
\f(x)\
Integral.
^ x ^
but we desire
<
A.
We
6)
into
arbi-
trary subdivisions,
#o
<
x\
<
<
Xn
where
is
the
supremum
xt
The
sum Sn
obviously will depend on the manner in which we subdivide the interval (a, 6). The infemum of all such sums obtained in this manner is called the upper Darboux integral of /(#), written
&
(10.44)
420
Since
Sn
<=
A (b
a)
bounded functions.
Similarly,
we can form
the
sum
sn
m^x,
ov_i)
(10.45)
with
the
infemum
of f(x)
^
is
av_i.
The
supremum
of all such
sums obtained
manner
Darboux integral
of /(#), written
x)dx
(10.46)
The reader can easily verify that S ^ S. If S S, we say that /(x) is Riemann-integrable we write
(7^-integrable)
and
l
Ja
f(x)dx
for
(10.47)
We now
1.
investigate
Let/(;r)
constant
n
which
f(x) is jft-integrable.
Sn =
6'
Y
t=l
c(b
c(x
ov_i)
Y
T-l
fa
Xi-i)
c(fe
a)
a)
so that
2.
a)
=
x
I Ja
cdx.
1.
We
1.
<
l/n
<
2/n
<
<
i
i/n
<
i
<
Then
Sn ~
-^
\"
1
2
+ l)_l/i Vf-*(n2^ 2
^
is
The infemum
be
^.
of all
divisions
seen to
Similarly
= S =
-g-
manners
x dx
3.
^.
is
continuous function
(a, b).
REAL-VARIABLE THEORY
Proof.
421
Since f(x)
is
continuous,
it is
Hence
for
any
>
6 such
of f(x)
on any
is less
This yields
\S n
sn
<
(b
a)
= r-^~ d
$ n < e, |& necessary we subdivide further so that |*S Sn| < e. can this be done? One must recall the definitions and properties This is left for the reader. Hence of the supremum and infemum.
If
Why
\S
S\
<
3e.
Since
S
fixed
4.
S =
0,
Q.E.D.
can be chosen arbitrarily small, of necessity It must be remembered that *S and are
numbers.
increasing or decreasing function is R-iutegrable (see Prob. 10). 5. An example of a function which is not /Mntegrable is as follows:
f(x)
for x rational,
:g
1.
Let the
reader
We
integral.
It is
assumed that
(1) (2)
(3)
fcf(x)dx Ja
b
[ Ja
f(x)dx
Ja
f
Jc
f(x)
dx
lif(x)
"
0,
then f f(x) dx Ja
<p(x)}
^
dx
for b
^
b
a.
[ Ja
b
(f(x)
+
dx
dx
b
ff(x) Ja
+
b
(
Ja
*(x) dx
[ Ja
\f(x)\
b
Ja
f f(x)
2
dx,b^a
<p\x) dx
(7)
fa
f*(x)
dx
Proof.
b
l Ja
\fr,(x)
+ /(x)]
dx
X 2 f <p\x) dx Ja
+
for 6
2X f Ja
<p(x)f(x)
dx
( Ja
p(x) dx
>
a.
If
25X
= AX 2 + 2J5X + C ^ for all real values = has either two equal real roots or no C
y
of X, then
real roots.
422
Of necessity
B - 4 AC ^
2
0,
which yields
2
[f*
(8)
(9)
<p(x)f(x)
dx]
a|,
g I*
<p*(x)
dx
f' /
(x)
dx
(10.48)
Ja
f(x) dx
^ M\b
x
b
r/ie Firs/
Theorem of
the
on the range a
^
y
ft,
then
[ f(x)dx
(6
a)/(f)
fr
The proof
(10)
of (9) is left as
an exercise
['f(x)dx Ja
=
if
We
(a, 6),
f(x)
is
/t'-integrable
on the range
f
Ja
f(x)dx
Ja
f f(t)dt
depend on the variable which is Of course 7 depends on the upper arid lower limits, Moreover / does depend on the form of f(x). b and a, respectively. Once f(x) is chosen, however, we need not use x as the variable of intesince the value of the integral does not
.
gration.
for a
the range
(a, 6),
then
I
Ja Ja
f(f) dt exists
6.
Each value
of x determines a value of
t
f(f) dt,
so that
Ja
f'f(t)dt
(10.49)
We
Ja
f(x) dx,
but confusion
is
avoided
if
we use
(10.49).
From
F(.r
(10.49)
we Have
X
+
-
A.r,)
Ja
r^
+
f(t)dt
and
F(x
Ax)
F(x)
[' Ja
"f()
dt
Ja
r/(t)
dt
dt
(10 50)
*
Since
/(.r) is
bounded
for a
6,
we have
F(x)|
|F(x
Ax)
^
>
^.
Ax
0.
(10.51)
Hence F(x)
is
Ax)
F(x) as Ax ~>
REAL-VARIABLE THEORY
423
From
(10.50)
we note
that
F(x
[see (9) above],
Ax)
F(x)
= /() Ax
is
^
(x,
^
x
Ax
Hence
provided /(x)
continuous on
Ax).
dx
AS-+O
Ax
AT-+O
.. "X 7ff(f)dt a
f(.r)
(10.52)
We
have
*
We
W(v \**
x
1^
AT*"| LA^/y
F(^\ \Js)
j>/ ,_\
1 A
/*z-f
/
Az
//j\
jj
r/
^j
x + Az
[/(O
/(x)]
A
for
\t
If f(f) is
continuous at
x|
x,
we have
\f(t}
/(x)|
<
x\
<
8.
Choose
<
so that
F(x
Aa;)
F(x)
Ax
Since
c
/(a-)
r
:
F'(x)
lim
We obtain the fundamental theorem of the integral calculus as follows Let G(x) be any function whose derivative is/(x), /(x) continuous. Then = F'(x) for a g x ^ 6. From Prob. 8, Sec, 10.13, we note that (?'(x)
F(x)
G(x)
C,
C =
constant.
Hence
For x
a we have G(d)
+C =
so that
G(x)
~G(a) =
For x
we
obtain
G(b)
-G(a) =
we
ya
( f(x}dx
(10.53)
Hence, to evaluate
tive
is
Ja
/(x) dx,
find
f(x)
/(x) dx.
424
1.
From
n
(k
I)
fc
2k
we have
Y
0/2.
K*
*)
Afl
** so
that
^[(n
I)
n]
=
3
w(w
3
+
-
Consider
(A;
+ +
I)
/c
3A: 2
3A:
fr
n(n
l)(2n -f
1)
show that
x 2 dx
3.
-g
If /(x) is
6.
>
a,
and
if
Ja
f(t) dt
for all x
on
(a, b),
show
that/(.c)
0.
(a, 6), b
4.
If f(x) is
continuous on
>
a,
and
if,
for
^(rr),
fb
Ja
6.
/
/(j-)^(o-)
0,
show that
/(a-)
=
^
b 6,
on
/>
(a, b).
If /(x) is
continuous for a
>
a,
and
if /(.r)
on
(a, b),
Ja
= f f(x)dx =
2 for
show that/Cc)
6.
Let
/(a;)
= = 1
on
for
(a, b).
5, /(.T)
^ < x g
1,
and consider
a?
1.
not exist at x
= ^?
Does
this
I/?
if
72-integrable
8.
<p(x)
on ^ x Prove the first theorem of the mean for integrals. If /(x) is continuous on 72-mtegrable on (a, 6), and <p(x) of the same sign on (a, 6), then
b
^ x f L = p/(?, p and g ^ 1.
Define /(x) as follows: /(x) = if x is irraShow that /(x) is integers in lowest form.
(a, b),
Ja
9.
( /(x)*>(x) dx
/(
Ja
^
6
*>(x) rfx
If /'(x)
and
b
show that
f
Ja
f(x)<f>'(x)
dx
/(x)^(x)
Ja
r vW(x) dx
b
/(a)^(a)
Jo
f v(x)f\x) dx
(10.54)
Equation (10.54) represents an integration by parts. 10. Prove that any bounded monotonic function is -R-integrable.
REAL-VARIABLE THEORY
10.17. Integrals with a
425
Parameter.
b
F(t)
Ja
f f( x t)dx
,
U ^
ti
(10.55)
integrated with respect to x, what remains depends on the ^ i ^ t\- Of course F(t) depends also on a and b, but for parameter /, the present we assume that these numbers are fixed and finite. For
After f(x,
i) is
tQ
example,
is
a well-defined function of
for
>
0.
We now We desire
will
be continuous
\irnF (t)
t-St
F(t)
l
Ja
'
f(x,
t}
dx
(10.56)
If
exists
i
and
is
at
x for
U ^
t\,
then
b
[f(x,t)
-f(x,l)]dx
= \t-t\
^ M\t -
(10.57)
From (10.57) we see /(#, t). by applying the law of the mean to/(x, t) that lim F(t) = F(t). A less stringent condition which does not imply
t->~t
of
so that for
\f(Xj t)
any
f(x,
T)\
> <
be uniformly continuous in t with respect to x 6 > 0, 5 independent of x, such that whenever \t 6. One notes immediately that t\ <
there exists a
\F(t)
F(t)\
\dx\
e\b
a\
Since
can be chosen arbitrarily small, we see that F(i) > F(t) as Of more particular interest is the possibility of showing that
c
> t.
dF(t)
dt
= ~
'
is
continuous for a
a:
/
;
<i-
We
426
define 0(t)
Then
f
/
G(t) dt
= f
/
f df(x J
/
t} J
\!
O*
dx
dt
f
I
f
/
Jto
Jto
Ja
7a
./Jo
P
/
[M
F(i
/(*,
*o)]
dx
(10.59)
continuous.
dF(t)
c?^
From
(10.52)
we obtain
~(
Example
10.19.
We
consider
F(t)
*">**
j
f'
(is
\t\
< T
in x
(10.60)
It is
|<|
obvious that
2
T
~-
t(>nn:r
(e
cos x
tosj
\Q
continuous
and
for
2S TT,
<
so that
^
-j7
/v Jo
/
cos x e1
COB x
dj
dt
d*!F_
rf?
Jo
F(t)
/
sin 2 x
e*
08 *
dx
]
F(t)
+ /sin Jo
xd
\<
eto BX -
/
1
/
I
-o
7
*
cos x
e*
CU8 x
dx
Jo
n =
is
-f -j^ -j^ a z 2 oz
-f
0.
If
i<,
we have
-p
-f
-^-
w?
0,
which
is
satisfied
by F(t)
of (10.60).
Problems
1.
Show
that f J
1
dx
(
/6
1
cos /x dx
/"6
(1/0 (sin
6<
sin a<)
compute
x2
''
cos to
JO
(/x,
p a
posi-
tive integer.
REAL-VARIABLE THEORY
3.
427
Show
that
sin
x dx
a;
~
4.
< a
a cos
+a
a
Given F(t)
= f y*(fl
/(*,
dt,
show that
on
-l^-'--
<
^(/) ? ^(/).
J
10.18.
a:
f'
(2x
dx
4< 3 4- 3/ 2
4/
Improper and
Infinite
Integrals.
The function
f(x)
or*,
is
>
0, /(O)
1, is
1.
Since /(x)
not bounded on
this range.
^
for
1,
we
it is
/Mntegrable on
However,
<
1,
we have
As
>
0, F(e)
>
2 and we define
r^. Jo V%
We
lim
r:2
r ^
*
v*
x -
integral
fails
to exist.
Practical Rule.
c
for all
>
0.
+ ^
e
6,
1.
If for
/
11
<
we have
\\l/(x)\
<
constant for a
b,
then
e-0 ^ a + >0
2.
lim
f(x) dx exists.
If f or
jit
we have
\$(x)\
> m >
/(x)
for a
f),
then
lim f
dx
fails to exist.
428
that lim
One
/u
easily sees
1.
-o
-,
J a+t
(x
exists
<
b
and
fails to exist if
>
6,
a)*
If f(x) is
continuous for a
b
x
C
^
~(
except at x
c,
b
<
<
we
define
Ja
f f(x) dx
lim I a
_>
f(x)
dx
e>0
(10.62)
exist.
It is
important that
Anf
and
approach zero
We consider
xY
a.
ra
Jo
-r=^=-y/a 2
The upper
<//O)
limit
may
give us trouble.
f(x)
bounded
for
= (a ^ x ^
*(a -f
.r)*,
so
x2 that
(a
x)*f(x)
(a
x)*
is
Since M
= i
/"a
dx
_ ~
TT
Jo
Va^^P
g
x
The
integral
Ja
f(jr)
dx
is
and
is
defined as
g X,
X arbitrary. We define
(10.63)
[~f(x)dx= Jo
provided this limit
exists.
lim
X-*
Ja
[*f(x)dx
For example,
r ^
i
yo
+
,
x-
r lim
x-+
7o
P r dx
1
v im tan" 1
j
v A
If
TT
70
Ja
\f(x)\
dx
is
absolutely integrable.
From
any
> <
for
an XQ
Ja
f(x) dx
- P/Cr) Ja
f(x)
dx
e
for
X
(10.64)
or
^ x
dx
<
/
X
Ja
\
One
since
if
Ja
\f(x)\
dx exists then
f(x) dx exists,
\[~f(x)dx J
-A-
J -A.
f"\f(x)\dx
*
/
Ja
f(x) dx is as
\<p(x)\
dx converges, and
REAL-VARIABLE THEORY
if
429
\<p(x)\
>
|/Cr)|
for x
a,
then
Ja
f(x) dx converges.
We
leave the
proof of this statement as a simple exercise for the reader. Another simple test for the convergence of an infinite integral
is
based
From
u(a)v(d)
= u(X)KX) -
Ja
t>(x)
du(x)
we note
that,
if
x-
if
Ja
then
/u(x)
i
dv(x) exists.
10.21
t,
r
Example
lim
,
We
We
r
,
consider
dx.
The
origin
sin
=
f
I
1.
have
sill
Jir/2
dx
=
,
/*
I
- a
COS
(
cos x)
X
/" /
/"
COS x
X*
JTT/2X
,.
,
^r X
J r /2
dx
~.
Now
TWT
i-
lim
X-+co
cos
^7
X =
arid
X ->
lim
dx exists since
x
dx
2
r exists,
omce
Jir/2
JTT/2X
/W2
Jo
exists,
**
we
see that
Jo
dx exists
Its value
is
We now
Let
<p(t)
be defined by
^(0
~
/
f( x
t)
dx
to
^ ^
t
(10.65)
We
for
range
U ^
e
t\.
If
any
>
an XQ
of (10.65) exists for each value of our attention on a specific value of t, such that
on the
we
fix
we have
/v yX
/(x,
ds
<
X
t.
(10.66)
The value
o
of
there exists an
== t
Xv (for a fixed e) may well depend on If, for any e > 0, XQ independent of such that (10.66) holds for all on the ^ <i, we say that the infinite integral converges uniformly
t
if
g(x)
t)
\f(x,
t)\
for
tQ
fa,
and
if
/g(x)
i
dx
exists,
then
Ja
f(x,
dx converges uniformly,
/
Example
for all
t
10.22.
We
/
consider F(l)
*
Since e~ x *
<.
x*
\e~
cos
xt\
and
since
e~x dx
\/ir/2 exists,
F(0
430
X
/
finite
<p(t)
f(x,
dx converges uniformly.
t
We
have
[f(x,t
U) -f(x,t)]dx
+ /x
From uniform convergence we have
f(x,
t
"
/(*,
i
+ A<) dx >
t)
/(x,
dx
for
any
e/3
an
dx
such that
M) dx
that for any e/3
f(x,
From
Sec. 10.17
we note
>
>
exists
such that
[/Or,
A0 -
f(x, 0] cte
for |A|
<
5.
This
is
Ja
f(x,
t)
dx
is
continuous in
/,
finite.
Hence
\<p(t
A)
<p(0l
<
for |A| 5, d > 0, so that <p(t) is continuous. It is interesting to find a sufficient condition
<
(10.67)
first
show
that,
if
G(t)
7a
/*< I
ot
converges uni-
/v
>
/oo
./fc
^^
^
(10.68)
G(0
provided
^=
a;
is
continuous for
a,
<
<
<i
[see (10.59)].
Dif-
Example
10.23.
We
Example
cos 2x<
10.22.
From
e-*
we have
~
vt
2x6"** sin
2a;<,
To show
that
JO
dt
REAL-VARIABLE THEORY
all
t,
431
Hence
we note
that
yo
dj(xt) dx
d
jo
2:ce-*
2
sin
=
=
Integration yields F(t]
oo
yo
= ~2/
g" xl cos
-2lF(t)
Ae~ iZ =
e~*
cos 2xt dx
At
we have
so that
x * cos 2xt dx e~ e ~"
'
/o"
Problems
/i
O SJKnw *' bh W that
3.
aH* -
dt exists for
<
^^
JO
/7T/2
V(l ~
In sin x
7=r_:
T 2 )(l
exists
frX)
Show Show
that
Jo
4.
dx exists
that 7r/2
tan"
r
/
(1
^
Evaluate this integral
.C COS ___
^j.
/oo
all/.
by contour
6.
integration.
Show
Let
that
x sin
xt.
ex
dx
xe~ x d(
Jo
7.
/(JT,
Jo
Show
that
/o" /-i
.
f(x
>
*^
dx,
*i
Consider F(y}
10.19.
Methods
of Integration.
We first
integral
In the elementary calculus the reader was told to expand 1 (x 2)" in partial fractions, obtaining
1
(.r
I)"
Ax
(x
l)(:r
2)
x2
+B +1
(A
C
'
2
2
C)x
(B
- 2A)x + C -2B
X
, 9 L)
(10.70)
432
Since
holds for
so that
all
C - 2B =
x,
one has
A =
I
-|,
B =
-|,
can be written
/dx
(
X2
_i_
f)TjT
_
~~
~~
f
/
x dx x2
"""
2 f
5
/
1
1
f
/
2)
= -
^r lu
In
+1 (x +
2
x2
+
1
~
x
(x
dx dx__
1)
tan" x \ o
In ^ o
2)
+
The
x
constant
Since x 2 results of Sec. 8.11 justify the expansion (10.70). 2 are relatively prime (there is no polynomial of degree ^
+
1
1 and which
divides both x 2
and x
2),
there exist
such that
Thus P(x) =
2
C, Q(x)
2).
(x
l)(z
To
x
2
cto
(.T
+
__
1)(X
2)
(x
~ _
x2
2
5
2
a:
"
l)(x"- 2)
5 x2
___ - 2
a:
x
so that
-Z
C!T
i tan-' x
$ In (x*
1)
+ f In
(z
2)
+C
If
$$**
provided Q(x)
is
(10.71)
a polynomial.
A
i
One
i
writes
"
P(x)
with a k
r^ + ^=7; +
*
w^
+
j_
.
T=T +
k
~i~
+ ^~=T n
j_
lim
p(
fc
1,
2,
n.
One then
divides Q(z)
by
,
rk
and performs a
1, 2,
n.
REAL-VARIABLE THEORY
If
433
a
A;th-fold zero of
P(x)
is
r is
P(x)
we have
P( X )
=
(x
Thus
and
P'(r)
P'(x)
- r)*Q(oO (x - r^-WOr) +
Q(r)
(x
*
r)Q'(z)]
(x)
latter
= provided k > 1. For fc = 1, P'(r) ^ 0, so that P(x) and have no zeros in common if P(x) has no multiple zeros. In this case P(x) and P'(x) are relatively prime so that polynomials A(x)
exist such that
and B(x)
A(x)P(x)
B(x)P
(x)
(10.72)
To
J
provided P(x) has no multiple zeros, we make use of (10.72).
C(x)
[P(x)]
Thus
A(x)C(x)
(P(x)]<-i
""
B(x)P'(x)C(x)
[P(xf]-~
and
f C( x} J fP(x)]"
-
f J [P(x)]"-
A^^)
1
rfr
"*"
__J
1
-"m
^KI(?)
[P(x)]"-'
Since
of the
m has
been reduced by
1,
we can
Example
We
~
consider
z
/ " (X ) (x>
f Jo
dt
2
(<
+
=
~
l)"
1.
f Jo
dt
2
(<
l)"-
f Jo
/2 )
2 (<
"
2t di
l)"
since
(V
1)
(</2)(2<)
Integration
(t*
by parts
yields
1)'-"
I*
f*
dt
From
/i(x)
2(n
1)(
I)-z
^ tan" x
(2n
.
+ ^x/(x +
.
1).
Repeated applica-
^W
T
i \
3)
2-4.6..
j.
(2n-2)
^^ * + R(X)
.
,
where
/2(x) is
a rational function of
434
If
a polynomial,
it
F(x)
= X,X\
-
. ,
Xm
X\
is
relatively
A(x)Xi+B(x)Xl
..
.
X
2 Y 1^ Y2 ^
=
1
so that
B(x)
*\
i
~Y +
,
A(x) ^
^\
Y^ Y3
2 2
Ym ^ m
Ym A w
prime to X\
X%
is
relatively
'
'
'
F(x)
if f(x) is
X,
X\ The
evaluation of
XZ
also
a polynomial.
dx
F(x)
is
reduced to an evaluation of integrals of the type given by (10.73), which in turn can be reduced to the simpler form given by (10.71). Let R(x, y) be a rational function of x and T/,
y)
'~^r
y_0 t-0
(10.76)
2 2
MV
do:
2
To
evaluate
TB)
(10.77)
dx
with y #, one notes that the change of variable t B, = (2tdt)/A, x = (t 2 - B)/A, reduces (10.77) to an integral of the type discussed above.
Example
10.25.
= \/Ax
= Ax
To
evaluate
dx / ~^f^
(10J8)
we
let
P -
4- 1, 2< dt
becomes
aad
REAL-VARIABLE THEORY
435
We
can evaluate
fR(x,
V^nr^+~c) dx
Let x
(10.79)
provided
is
a rational function.
a,
satisfy
A a2
+ Ba +
y
ft
C.
t(x
The equation
a.)
2
/y
ft) is
with
curve
of the straight line through the slope. The intersection Ax'2 Bx C is easily seen to
/
y
Since
ft
(B
+ 2Aa 2-_L~4
of
(1
'
80)
20t)t
x, T/, and da: are rational functions by the methods discussed above.
t,
Example
10.26.
2
,
We
evaluate
/
/
**
0,
C = p
x + p v-^=^.
2
We
p.
have
2
?/
x2
2
,
A -
1,
and we choose
2pt
so that &
From
(10 80)
+
-
'-i-7.
so that
-P!--/i
]
x \/x 2
-^L^ +
p*
is
dt
t
[ P J
In
-P ^
^
*
>"P + r
The
integral (10.79)
Suppose R(x, y) is a rational function of x and ?/, with y depending If the curve f(x, y) = implicitly on x through the relation f(x, y) = 0. is unicursal in the sense that we can describe the curve parametrically by x = <p(t), y = \l/(t) with v(t) and \(/(t) rational functions of t, then
JR(x, y) dx
fR(v(t),
WW() dt
:
(10.81)
and
this integral
A
by
rational function of the trigonometric functions can be integrated the use of the following change of variable
=
"
X tan -
/I
COS X
rrr^
2<
(10-82)
436
For example,
elliptic integral of the second kind appears in a natural manner one attempts to find the arc length of an ellipse. Let x a sin <p, b cos <p, ^ v? < 2ir be the parametric representation of an ellipse. y Then ds 2 = dx 2 + dy* = (a 2 cos 2 <p + b 2 sin 2 <p) d<p 2 so that
if
,
The
L =
withe 2 = (a 2 6 2 )/a 2 kind is denned as
a
if
\/\
sin 2
(p
d<p
<
=
62
<
a2
The
elliptic integral of
the second
E
The
by
2 (k,
<?)
\/l
~ W smT7 d<p
\k\
<
(10.83)
first
period of a simple
pendulum
kind, given
sn
|fc|
<
(10.84)
Extensive tables can be found in the literature for the evaluation of these
important
elliptic integrals.
Problems
Integrate the following:
/"
.
-\-
b cos cz
-f
for a
c
>
0,
<
52
bx -f
f or
ai
>
52
a2
<
y 10.
a sic sin ex
b cos cz
Let a and
-f
Bx
(a?
+C ft)
0.
Show
:
that
Bx
+C-
\!A
3:
REAL-VARIABLE THEORY
and that
t
437
t.
^A
=
/
-~~
defines
a:
as a rational function of
Apply
this result to
evaluate / \/x*~~- 3x
11.
2 dx.
Let I m
fir/2
sin
x dx.
Show that
yo
L2P
(2p)M
with (2p)t
2
1
-
Jlptl
(2p 5
(2p
+
1).
l)!l
=246
(2p), (2p
1)!!
10.20.
A
-
Sn,
(10.85)
simply a set of numbers which can be put into one-to-one correspondence with the positive integers. To completely determine the sequence, we must be given the specific rule for determining the nth
is
term, n
1,
2, 3,
We may
also look
{s n },
sn ,
The sequence
lim
n
* oo
of
terms
{s n
is
said to converge
if
number S
= S
e
(10.80)
for each
^ N(e). |iS the greater is the corresponding N. the given e implies that the sequence becomes and remains within an distance of S.
sn
t
<
for n
> there exists an integer AT(e) In general, the smaller e is chosen, The existence of an integer jV for
e
1 Example 10. 27. It is easy to show that the sequence 2, l-J, 1-J-, 1/n, We have w - 1| = |l/n| < eif n > 1/c, so that N(c) = [l/], converges to the limit 1. where [l/e] is the first integer greater than l/.
.
.
|.s
In most cases we cannot readily determine the limit of the sequence even though the sequence converges. Cauchy obtained a criterion for the convergence of a sequence which does not depend on knowing the
limit of the sequence. Cauchy' s Criterion.
\s n+p
If,
for
any
all
>
0, 0,
an integer
jV exists
[s n
\
such that
sn
<
for
N and
p ^
the sequence
if
converges to
lim s n
n
*<
S,
then \S
\s n+p
sn
< <
p
/2 for n
e f
^ N,
\S
0.
s n+p
<
e/2
forn
N, p
0,
so that
sn
orn ^ N, p ^
Hence
fies
Cauchy's
0.
criterion.
\SN I+P
Conversely, assume that a given sequence satiss n < 1 for n ^ NI, Choose e = 1, so that \s n + p
\
sjyj
<
for
0,
and
all
438
There are only a finite following SN, are within a unit distance of SN^ number of terms preceding SN V so that the sequence must be bounded. From the Weierstrass-Bolzano theorem at least one limit point exists for
the infinite set of numbers
exist, say,
|.$ n
{s n
}.
S and
\
+p
$n
<
T, for n
S <
*z
T.
We
^
0.
Let us assume that two limit points choose e = (T - R)/2 and note that
This means that after SN the terms
N, p
sequence are clustered within an e distance of each other. Let the reader conclude that, if S is a limit point of the set {s n j, then T cannot be a limit point, and conversely. Thus Cauchy's criterion guarantees
of the
Km
n
>
sn
S.
It
should be
oo
we showed that the sequence understood that by first considering e = we Then that bounded. deduced was only one limit point could exist.
Example
10.28.
If
we
Example
24,
we note
that
.P n(n + p)
.
n
[1/e].
if
>
l/, p
0, since
p/(p
-f n)
<
1.
Again
By applying the Weierstrass-Bolzano theorem it is very easy to prove that a bounded monotonic nondecreasing sequence of real numbers always As an example of the use of this result, we consider the converges.
sequence
n = 1,2,3, ...
We
show
first
is
bounded.
We
binomial expansion
Sn
~
-
+
-h
I
JL
1 l
"
'
'
+^
-L
so that
5n
<l +
l+^ + ^+
of the
<l + l+| + ^ + ^+
is less
'-
=3
>
s-i,
Every term
sequence
than
3.
sn
so that the sequence is monotonic increasing. if a. and ft are any two numbers such that a >
0,
then from
we obtain
REAL-VARIABLE THEORY
439
Now
let
a =
+
>
-) n/
l/(n
1)
n~
l
>
(a
ft
+
=
1/n,
n
fi
an
- na
>
ft)
a^a
n
yields
Sn
=
(
_i (
-U:
1
~~
I/
_!
>
e.
+
U2
n/
2.71828
The
infinite series
Ui
'
'
+
.
Un
'
(10.87)
if
.
n =
1, 2,
we
.
,
We define Si =
n =
1, 2, 3,
HI
HI,
i.
...
(10.88)
If
the sequence
sn
we say
converges to
S and
S =
If
w,
(10.89)
the sequence
fails to
converge,
2.
3.
Example
10.29.
The
series
m m <
j
,
1,
m)
since
8n
) m' ^ j-0
.
. .
(1
ra +1 )/(l
wi)
->
7j (1
as
w->
oo.
The The
series
m)
since s n
+
1
]
1 -f
_|_
_|_
.
_|>
increases
.
beyond bound
n.
series 1
(
_j_
_j_
converge.
does not converge since (_i)n+i _|_ The terms of the sequence oscillate between
.
.
^[1 -f
1
l)
n+1
fails
to
and
zero.
n
If
we apply
.
.
the
Cauchy
= ^ uiy n =
1,
2,
440
>
an integer
N exists such
"
u,
<
(10.90)
n-\-p
for
n ^
AT, all
>
0,
since s n + P
>
u jy
is
= Y jI any e >
sn
"
?v
Formula
(10.90)
exists
an integer
such that
<
for
^ A
If
we
write
.7
with
Rn
find
Uj,
we note that
Af
if
for
any
>
e
we can
for
If
an integer
such that
remainders,
R nj
=
for
n ^ N.
we apply
e
p
e
1,
we note
that
for
any
>
an integer
N exists such
that
\u n+ i\
<
n ^ N.
Thus
a necessary condition that a series converge is that the nth term of the series tends to zero as n becomes infinite. However, the harmonic series
00
L^mJ
V /
i
n-i
n-1
Zl
Yt
diverges
is
seen
by writing
---++--a+
We now
positive
1.
*)
(i
+ +
(i
i)
+ A) +
consider
some
terms converges or
Since u n
is
0,
sn
u}
j-i
n =
1.
2,
3,
...
monotonic riondecreasing.
a constant,
M,
exists
such that
REAL-VARIABLE THEORY
sn
441
u3
<
M for
all n,
the sequence
is
Thus the
series
V
)
-^
converges since
n
=1
,.
;p
00
<! + >+;!-,-... =2
00
for all n.
2.
If v n
^ un ^
test
and N
w
vn
1
converges, then N
n
w n converges.
1
This
is
the comparison
of Weierstrass.
The proof
if
is trivial
and
if
is left
as an
Conversely,
00
un
vn
0,
and
vn
diverges,
then
for n
3.
/
n=l
u n diverges.
The
series
/
n
<
<
1,
>
l/n
1
,
2,
The Integral
Test.
2>
1
^
From
(10.91) the reader can
^(2)
^(3)
^>(w)
(10.91)
deduce that
W
}
l_j
<p(n)
l
converges or diverges
according to whether
00
(p(x)
dx exists or not.
The
series
V
)
i
,
>
1,
is
(p(x)
is
mono-
H=l
tonic decreasing
4.
and
lirn
^oo
Jj
xa
for
\
>
exists
such that
a AT +1
f or
^ A we have
r
a n+ i/a n
<
d.
If
<
1,
nl
a^,
aAT +2
a n converges.
From
<
00
da N +\
rf
<
d 2aN
a^ +p
00
<
an
<
ajv
r
y
=
a^/(l
d).
Thus y a n
442
verges.
If
a n +i/a n
>
it
for
^
n-l
diverges.
At times
may
be useful to consider
lim
TJ
?=! = d
^n
(10.92)
oo
If
<
1
1,
converges.
is
then a n +i/a n < d' < 1 for n ^ JV. Why? Thus the series If d > 1, the series can be shown to diverge. The case indeterminate since examples can be found for which both con-
fc
<
1.
Then
Since
^ N we
w
have \/a n
<
fc'
<
1,
so that a n
00
<
n for (fc')
n ^ N.
n-V
show
that,
if
L<
(fc')
converges, of necessity
n-l
) a n converges. L*
00
lim \fa n
rl
fc
>
^
1,
then
__
/ an T?
^^J
diverges.
The
series
L.^J
^
l
,:TI
00
Raabe's Test.
We
^
n-l
an a n
,
>
0.
If
(10.93)
0,
then
y +4
n
1
o-
>
or
or
1.
From
(10.93)
we have
lim
n n ~ \n~ a n+
i
(n
1)
=
J
er
Assume a
>
so that
<r
fc
>
(
0.
For n
^
I
we have
n fjL
or
[na n
_
(n
1)
> >
+
.
I)a n4-i]
n+i
(10.94)
Let n
AT,
]\T
1,
AT
2,
N+
1,
in
(10.94),
and add.
We
obtain
REAL-VARIABLE THEORY
443
N+p-l
^
Since (2/k)NdN
is
00
a n+1
<
? (Na N
- (N +
p)a N + p ]
<
\ k
Na N
bounded
N + p-l
a fixed number, the series
V
n?N
a n+
is
for
all p.
Hence
an
is
If
<
1,
then for
n ^
N
^
we have a n +i >
N
aAT '
aN+2
+ n +1 ^ N "~ ^ aAr4
n
-,,
.
Thus
"
^ >
so that
00
and
y
n-l
a n diverges.
It
ar,
diverges
if
As an example we consider
V
>
We
have
a W 4-i
Since
oo
n2
n2
o-
n2
lim n
^ "
and
>
The
series
V
y
i di diverges since
(7
1.
series
We
consider
(10.95)
00
In order that
l)
n+1 a
converge, of necessity, a n
>
as
oo.
a n for w
1, 2,
We show that
444
= (i = ai
02)
(a 3
a4 )
(cu
+
as)
. . . ,
+
,
(a 2w ~i
a 2n )
^
a 2n -i)
~"
(a 2
as)
(&2n-2
a 2n
#1
82, 8*,
$ 2n ...
is
monotonic nondecreas-
Moreover ing and bounded, and thus converges to a unique limit S. lim $ 2n +i = S since lim a 2n -fi = ct2n+i, so that by $2n+i = Sz n
oo
oo
assumption.
Thus the
8
If
0.
00
/
n
a n diverges,
1
series is
-1
If
conditionally convergent.
^
n~l
a n converges,
alternating
1.
Apply the
TT->
j-r.
series con-
>
or a
Show Show
^-f^ Z 3
7+4
--f
l)
n+1 - -f
converges.
00
3.
y =
an
l
is
>
an integer
|r|
a n +i -f a n + 2 H~
n+ l
\r\
+
n
flm+i|
<
for
m ^
4.
^ ^
that, for
Show
<
__
1,
0.
//m:
|r|
|r|
<
n
|r
6.
Show
Show
i
,
that lim \l -7
n-4oo
*n\
so that
n
>
L4 n\
converges.
6.
"*"
^
T
if
+
-f-
1)0(0
1)
a(
!)(
"7(7 +
>
a
"^
2)/8tf
1)2'
T"(T -f 1)(7
+ DQ8 + + 2)3!
2) -r
'
' '
converges
7.
Show
n**l
>
__
n \/n
.
diverges.
8.
,,
w nl
1).
V >
|"(2^
...
(2n)!!
- 2-4-6
(2n)
(2n
1)!!
- 1-3-5
(2n
REAL-VARIABLE THEORY
00
445
y an n-l
9.
Assume a n ^ a n +i >
for
1,
2, 3,
converges.
oo
Show
=
oo
0.
Why
does
n-l
n
tn
/ ^
n diverge?
n
10.
Let
n
y
=
1
sn
converge to S, y n=
cr n
converge to T.
Define <r n
=
(
/
1
*)
(
.;
/
1
^)>
hm
ST.
00
11.
Show
V
n=l
Lj
/
l)
n+1
is
conditionally convergent.
Is
it
possible
to rearrange the terms of this sequence so that the resulting sequence to TT or any other number?
12.
would converge
2
%
k\,
k^
ku
defined
by
k l+ i
1
\///l
1, 2,
.
-f k lt
. .
.
<
ki
<
1,
1, 2,
k>
and
<
fc,
<
for
fc
1.
Consider the sequence of complex numbers, a n b n i, n = 1, the sequence ja n converges to a and the sequence {b n converges to sequence \a n -h ^n*J converges to a + 6i in the sense that for any N(e) exists such that
13.
2, 3,
6,
....
If
(a
bi)
(on -h
Ml
<
forn
^ N
to
14. Show that the convergence of a sequence can be vergence of a series. Hint:
made
Sn
S]
(S 2
S)) -h
(3
S Z)
'
'
S n _i)
10.21.
Let us consider a
sequence of functions
/i(x),/,(x),
. .
.
,fn (x),
(10.96)
defined on the range a ^ x ^ 6. For any interval (a, b) we can investigate the convergence
. . . ,
,/(c),
(10.97)
If
we can
write
lim fn (c)
n
= A
(10.98)
A c is a constant which obviously depends on the number x = c. the sequence of (10.96) converges for all x on the interval (a, 6), we obtain a set of numbers [A x which defines a function of x on (a, ft),
where
If
\
446
for to
Ax
a
We
x
write
b
f(x)
(10.99)
= Ax
Example n - 1, 2,
.
10.30.
.
.
We
x
consider
the
sequence
|/n (/)l
with fn (x)
=
.
x/(\
.
1.
At x it is
we have /,,(()) =
n
>
0, n
==
=
n->
1, 2, 3,
nx), so that
hm
n->
oo
/n (0)
0.
For x
obvious that
lim /n (.r) *
1.
lim
oo
r-^ * nx
'
0.
The
^ x ^
.
If
JT
hm
H
>
/(())
= hm
71
>
oo
oo
whereas, for x
defined
j& 0,
Inn fn (x) *
=
;
0.
The
is
This function is discontinuous at x by /(x) = OforO < x ^ 1 /(0) = 1 Let the reader graph a few terms of this sequence. Example 10.31. Let us see how rapidly the sequence \x/(\ -f nx) converges to as 0, the convergence occurs immediately since f (0) = x ^ 1. At x f(x) For x ^ we have for M 1, 2, 3, ....
}
:
fl
!/(*)
/(x)|
=
l
<
do.ioo)
> and arbitrary, provided (I (10.100) will hold since l/e > 1/e
have
\fn (x)
nx)/x
1
<
If
/x
Thus for n. > 1/c 1/cor n > A I/JT A is the first integer greater than 1/e, we
1
r
shall
f(x)\
is
is
converges uniformly to
DEFINITION
10.27.
The sequence
if
b is said
for
any >
-f(x)\
.
an integer
\fn (x)
<
holds for
If
surrounds f(x) throughout the a circular tube of arbitrary radius e > of definition of then uniform the f(x), convergence guarantees that length
an integer can be found such that, for n ^ fn (x) will also lie inside In other words, all terms of the sequence the tube for all x on (a, b). from the Nth term onward lie inside the e tube throughout the length of the tube. The value of N, in general, depends on c. Since the curves = n are two-dimensional, the tube need only be /n (x), 1, 2, 3, two-dimensional. It is not necessary that /(x), and hence the tube, be
t
. .
.
continuous.
Example
for
10.32.
jl
x n \, n
that
1, 2, 3,
defined
|.
-J.
From
Prob.
4, Sec. 10.20,
we have
lim x n
if \x\
REAL-VARIABLE THEORY
Thus
J(x)
447
.
lim fn (x)
n
>
lim
n
oo
(1
is
xn )
for
We
wish to deter,
uniform.
our range of definition. choose n sufficiently large so that ( ) n In 3) for In /(ln 2 < < 1. If e ^
is
^ ^
= |x| n < (|-) n have |/n (o?) f(x)\ Hence we can make \fn (x) if we f(x)\ < < e. This can be done if we choose n > Thus the sequence 1, we can choose n ^ 1
We
[fn(x)\ converges uniformly to f(x) on the range J- ^ consider the sequence \nxe~ nT Example 10.33.
^-.
We
denned
for
^ x ^
I,
Let
=
n
lim
*
nxe~ n *
=0
We show, however, that the sequence does not converge uniformly to f(x). note that
\fn (x)
First
we
-/(*)!
=nxe~*
^x ^l
the convergence were uniform, then for e 0.01 we would be able to find an integer arid for all x on such that nxe~ nx < 0.01 for n ^ ^ a: ^ 1. In particular Nxe~ Nx would be less than 0.01 for all x on If we choose x = we have
If
(0, 1).
l/N,
N e~ > 0.01, a contradiction. (l/N)e~ (l/N) ^ x ^ 1 verge uniformly to f(x) on the range
'
fails to
con-
The
convergence
defined for a
Let (fn (x)} be a sequence of continuous functions If the sequence converges uniformly to f(x) on (a, b), then/(#) is continuous on (a, 6). The proof is simple. Let x = c be any point of (a, 6), and choose any
10.29.
THEOREM
6.
>
0.
From
ft)
f(c
/(c)
[/(c
h)
fn (c
+ h)] + [U(C +
h)
fn ( C )]
(fn (c)
/(C)]
we have
+
\
|/.(c
+ A) - /.(c)| +
|/m ( c )
/(c)|
(10.102)
From uniform convergence we note that an f(x) < e/3 forn ^ N and for all x on \fn(x)
to (10.102) yields
|/(c
integer
(a, b).
exists
such that
this result
Applying
h)
/(c)|
<
c, e
+
a
6
|/^(c
h)
- /*(c)|
h)
/AT(C)|
Since /N(X)
|A|
is
continuous at x
we have
\/N(C
<
/3 for
<
6,
5
6
>
for
0.
|&|
>
>
exists
such that
|/(c
h)
/(c)|
Q.E.D. Example 10.33 shows that f(x) can be continuous even though the convergence is not uniform. Uniform convergence is a sufficient condition for continuity to occur, but is not necessary.
8.
<
<
448
THEOREM
defined for a
^
b
6.
Let \fn (x)} be a sequence of continuous functions If the sequence converges uniformly to/(x), then
f Ja
f(x)
dx
f Ja
lim fn (x) dx
_>
lim
__>,
f Ja
fn (x) dx
(10.103)
The proof
R n (x) by
(10.104)
is
=
Since /(x)
ous, for
it is
/(*)
R*(x)
continuous from the previous theorem, R n (x) is the difference of two continuous functions.
b
also continu-
From
(10.104)
we have
Ja
b
f f(x) dx
f(x)
l Ja
b
fn (x) dx
+
=
f Ja
b
R n (x) R n (x)
dx dx
\
or
\[ Ja
I
dx
f Ja
fn (x) dx
l Ja
>
0,
N and for
Ja
N
b).
b
exists
note that for any e > 0, and hence for such that \R n (x}\ < t/(b a) for
Thus
Ja
f f(x) dx
Ja
f fn (x) dx
r \R
n (x)\
dx
<
for
f
N.
Ja
fn (x) dx (Converges to
should be emphasized
Q.E.D.
It
that
Theorem
10.34.
10.30 was
shown
to be true provided a
and
b are finite.
Example
We
f / JO
Example
1
10.31
We
\ dx i
I
have
Inn
1+nx
-.--.
x - 7 dx
= r hm
1 -
f
/
/\ 1
(
.--
n^^njo
1+nx/
/I
f(x)
dx
0,
results of
Theorem 10.30
since the convergence was seen to be uniform. nx Example 10.35. Let the reader show that the sequence \nxe~ *\ does not converge s x ^ 1 but does converge to f(x) 2= 0. uniformly on the range
Now
f
so that
nxe~ nx dx
*
-^" n '
=
f
'^
|(1
- -)
=
lim
n
>
oo
f '^
nxe~ nx dx
=^ ^
j
f(x) dx
On
range
the other hand, the sequence \nx/(\ -\- n 2 x 2 ) does not converge uniformly on the ^ x ^ 1 but does converge to f(x) s (), and
REAL-VARIABLE THEORY
Uniform convergence
sary condition.
is
449
it is
not a neces-
THEOREM
which
is
10.31.
known
c,
^ x^ b ^ c ^ b.
Assume
on (a, b) with/^(x) continuous on (a, 6) for n = 1, 2, .... We show that the sequence \fn (x) converges uniformly to a function f(x] such that /'Or) = g(x) for a ^ x ^ 6, that is,
}
f'(x)
(*X
lim fn (x)]
n
oo
(10.105)
Theorem
n \f'
(x)}
we have from
g(x)dx
lim
n -+ x Jc
n (x)dx f'
fn (c)}
(10.106)
From
lim fn (x)
n->oo
= f'g(x)dx+f(e) Jc
and since
g(x)
is
/(x)
exists,
continuous,
we have
f(x) = g(x). From /'() = /;() let the reader show that the sequence
If
/n (x), n
oo
1,
2, 3,
is
with |B n (a?)| < e for n ^ ^V converges tof(x) uniformly. defined for a ^ x ^ J>, we say that the
\fn (x)
}
+ R n (x)
oo
series
N /n (x) converges at
n-l
a:
c if
Y
n-l
/n (c)
converges, a
b.
We
write /(c)
Y
n-l
/n(c),
where
/(c)
00
lim
^-
/4 (c)
ffi
If
^
n=l
on
(a, 6),
we
write
n
f(x)
= Y
n
^.1
/(*) =
lim
n
>
V MX)
,^, fc=l
(10.107)
It
is
finite series
450
number
of terms,
R *W
with
(10.108)
R n (x) =
10.28.
for
fk (x).
DEFINITION
f(x)
The series
e
fn (x)
is
on
(a, b) if
any
>
e
an integer
for
such that
.r
\R n (x)\
<
N,
In terms of the Cauchy criterion we note that uniform convergence exists exists such that if for any c > an integer
\S n+p (x)
8 n (x)\
<
n
(10.109)
for
n ^ N,
all
>
0,
and
for all x
on
(a, 6),
with
s n (x)
fk(x).
results concerning continuity, integration, and differentiation of uniformly convergent sequences apply equally well to any uniformly con-
The
vergent
series.
To prove
Before constructing a few tests for determining the uniform converun gence of a series we prove a result due to Abel. Let Ui, Uz, be a monotonic nonincreasing sequence of positive terms, u3 +\ ^ u3 a n be any set of numbers, with Let ai, a 2 and m the Uj > 0.
.
4" ^3)
tt <
We
show that
n
mu,
^ Y OM g Mui
n
(10.110)
Proof.
Let
~~
Si,
si
= =
ai,
+
,
02,
sn
= N
a t so that ai
-,
si,
a2
n
a3
6*3
$2,
aw
sn
$ n -i.
We write
Z^r\
djUj
/w
(Sj
Sji)U3
So ==
'
-f
(S n
n-l)Wn
REAL-VARIABLE THEORY
Since u3+ i
451
u}
for j
1,
2,
1,
and since w n
>
0,
we note that
w2)
+ M(^
+
m(u z
MS)
V
L,
3 3
71
> =
u2)
u s)
Uniform Convergence.
y
r/-l
formly on
00
(a, 6) if
N a n converges.
n=l
2.
3.
w n (x)
|wi(x)|
> <
A;
fe,
1.
Proof.
Since N
<
c//c
for all
>
From
(10.110), Abel's
lemma, we have
N+p
a n u n (x)
x)
Ui(x)
for all
>
0.
Q.E.D.
B. The Weierstrass
M
^
Test.
Assume
00
|w n (^)|
M
e
constant, for
00
n =
1,
2,
3,
.
,
x
(a,
6.
If
n
N Af n converges, then
\
Y
n
1
w n (x)
exists
6).
Proof.
For any
>
an integer
M
But
<
for all
>
Q.E.D.
C.
^ u n (^)'
n-l
n(^) is
uniformly convergent on
(a, b) if:
452
n
1.
(x)
<
'A
ao
constant, for
all
n and
for all x
on
(a, 6).
2.
^
|
y n + i(#)
v n (x)\ is
uniformly convergent on
*
QO
.
(a, 6).
n-l
3. v n (x)
>
uniformly as n
n
Proof.
Let
s n (z)
= }
(x)
\s n (x)\
<
M from
(1)
t-1
Now
= =
(Sn+i Sn)V n +l
SnVn+1
Sn+l
'
'
S n+pV n+p
n+p-1
- Sn ^
\
|i'
n +l|
+
n + p-1
Vr
kn
Vr+i\
Since
y w (a;)
uniformly as n
A^I.
>
oo
?
we have
|v w+ i|
<
e/3Af,
|^ n +p|
<
n + p-l
e/3Mforn ^
From
(2),
V
r = n-f 1 2
1^
2.
For
we have
- Sn <
\
n^
N,
all
>
Q.E.D.
Example
10.36.
We
consider
for
<
R.
We
have
<p(j
(1)
a,
=
/nH
1)-
<
(2)
K -,!+I
00
x
Jn
>
Zv
00
+1)
~ R
n-1
REAL-VARIABLE THEORY
00
00
453
^ n-l
con-
Since
\ n-l
\v n+ i
vn
<
#.
so that
n~ x ^ n~ 5 ->
n~* ->
5*
uniformly
From
<
/2.
An important
type of series
is
P(x)
(10.111)
If
we apply the
ratio test,
we note
lim
if
a nx n
lim
(10.112)
or
\x\
<
We
call
series.
comes
z
into play
we
= Y
n-O
\x\
anz n
<
00
R.
If
n
<
/^,
it
= }
n=
\a n \x
\x\
< R
end
R)
n
[see (10.112)].
The
R, x
points x
R.
The convergence
of
Y a n R n and Y a n n0 n=0
00
of Sec. 10.20 or
by other means.
x n converges
Example
10.37.
(1)
y n\x n=0
0.
(2)
n=0
all finite x.
for
<
<
(3)
V }
xn
converges for
If
P(x)
=
n=
a n x n converges for
\x\
<
R,
it is
x\
^ R\ <
fi.
We
have
for
\x\
/?i
n-O
454
that \a nx n
kn|/Zj,
1, 2, 3,
and since }
n-O
a *\R* converges,
Since each term of test yields uniform convergence. continuous, P(x) is continuous inside its region of converLet the reader show that P'(x) has the same radius of conver00
gence as P(x).
Why
is it
that P'(x)
= Y na nx n- lt!
n-l
series
A
If
result
00
Y
n-O
a n converges to
00
s,
then
Y
n-O
8.
a nx n
is
1,
and lim
*-!
W n
a nx n
00
The
given by
(10.110).
Since
>
AT,
is
all
an integer N exists such that |a n + a n +i + ^ a; ^ 1 we know that x w n p ^ 0. For monotonic nonincr easing sequence, so that
,
+
=
a n +p|
<
e f or
. .
n ^
.
0, 1, 2, 3,
^
Hence the
oo
ex"
[see (10.110)].
series is
g
1.
sothatPOr) =
Y
n-O
a nx n
oo
is
Hence
lim P(x)
X >1
P(l)
= Y
~*
n
an
s.
For example,
it is
known
that
to
(i+*).V(-i)^
n-l
V"V
V^
for
\x\
<
1.
Since
>
(_]_)n-fl -
converges,
we have
In 2
=
00
/_^]n-fl ----
s.
n-l
n-l
The converse
of Abel's
theorem
is
not true.
00
If
P(x)
= Y
n^O
a nx n con-
verges to s as x -*
1,
we cannot say
that
Y
n-l
a n converges to
An
REAL-VARIABLE THEORY
00
455
n n
is
as follows: P(x)
00
l)
1/(1
+ x)
However,
^ w-0
}
l)
is
not convergent.
Problems
oo
1.
Show that
1/(1
-M
2 )
=
/^
for
<
1.
n-O
Integrate,
n0
,.
4
-^5rn
1
y (-1)-^ 2n 4^
00
2.
If
lim \/ch, w n
exists,
^rt
a n (z
zo)
converges for
|z
-2c|
3.
?V N
(x) is
^z ^
if
nO
n-1
Z#
n (1
.
~t~
x $)
\x\
is
absolutely convergent
1.
for
|
a:
|
is
4.
Show
that
Sm
Z^
)
n
.
zn
ir/2
H- 1
is
7r/4
<
3^/4.
By considering ^ 3ir/4.
5.
<j
Show
that
/"
In
=
Jo
x x
rfx
V T ) Lt Jo n0
/
X n In
i
a?
j dx
n-O
Li
V )
(n
1 r
rr^ 2 I)
TZ
6
00
6.
series
V^ >
rrI
iT^
~r
w x
.
z-i is
all x.
7.
Prove that
o
I
x x
8.
Let S(x)
v^ >
&,
n-l
456
that lim
a->e
un (x)
Ln
for all n,
If
Ln
con-
n-1
^-*
verges,
9.
y^ L n n-1
.
.
Let a mn
for
1, 2, 3,
1, 2, 3,
00
00
for all
M, N.
Show
that
*mn
n=
(10.113)
lm
T/I
=1 n
as a square array,
and interpret
(10.113).
10. If P(z)
y
n-O
a n z n and
P(z
w) -
a=0
r-0
r
is,
^ ^ n-0 r =
00
|a n
T
|
n~r
|0|
rj
|?i;|
00
P(z
w)
a s+rz'^
(10.114)
n=0
L^
fi
J57(
w;)
E(z)E(w).
11.
series
00
^ w n (^)
is
said to be
"boundedly convergent"
nl
a
if
y u n (x)
converges for
all
x on
(a, b)
and
if
a constant
<
n^l
(a, 6)
M for
all
x on
(a, 6).
The
series is said to
be uniformly continuous on
8,
x except for the point c if the series converges uniformly on the intervals a c 8 ^ x ^6, however small 5 may be, 8 > 0. Show that if a series
is
REAL-VARIABLE THEORY
457
uniformly convergent on a ^ x ^ b except for a finite number of points and if the series is also boundedly convergent then the series may be integrated term by teflm. 12. For what ranges of x do the following series converge uniformly?
V
n-l
13.
L, x*
+n
Y J_
2
n-1
Lf x*n*
Second
Law
of the
Mean for
Integrals (Bonnet).
Consider
n-l
/
f(x)<f>(x)
dx
}
y-o
Let
<p(x)
(a, 6),
set of
numbers
S Q =f(a)(xi Si
f(a)(xi
a)
a)
,=0
Let
t,
0, 1, 2,
n,
If f(x) is
f jo
f(x)<f>(x)
dx
^(a)
Ja
P/W ^
+
^
and
6
Consider
^>(x)
<p(b)
3* 0,
positive,
dx
v(a)
P/(*) dx
^(6)
/W dx
A simple example shows that (10.103) does 10.22. Dini's Conditions. not necessarily hold if one of the limits of integration is infinite. Let us /n n = 1, 2, 3, consider the sequence j/n (x) with fn (x) (2x/n*)e~** = f(x) s Oforx ^ 0. ,withx ^0. It is easy to see that lim fn (x)
}
*,
>
By
for
f or
maximum
value of fn (x)
occurs at x
= n/\/2
0.
n ^
N=1+
=
lim
for
r
V^A (l/^)
<
1/w
<
[1/e].
its
limit f(x)
On
n-*w JO
/n (x)dx
or
lim
n
JO
^e-* ^
!/
"'<fe
=
"
/
lim
n
>
= =
I
yo
lim /(*) -
do;
dx
yo
458
We now
and prove a
result
due to Dini.
We
can write
(10.116)
n^\
if
n^ I
fulfilled
2> a,
:
lim v n (x)
yn
()
exists for
n = 1, 2, 3, n = 1, 2, 3,
u n (t)
dt
with
3.
Y
n-l
00
-Sf ,
4.
2,
v n(x)
a.
n-l
Proof.
From
and
f /y
(2)
we can
eo
write
oo
/X
I
V \ /
L-4
oo
/)/
"""
V* \
Lf
nl
Hence
/V
y
Wnv*^)
^ dx
r lim
V y
^n\x) dx
/\^_r lim
00
V
y
00
To
prove- (10.116),
we must show
u n (x)dx.
of (2)
that lim
X~~>8 n-l
y n (X)
= Y
n-l
yn
(),
since
n-l
Lj
y yn() = Lj y
It is first necessary to
(4).
show that
n-l
Jo.
exists
by making use
oo
and
From
(4)
an integer
Li
yn
()
such that
N
C
^ 4
for all
n-l
n-l
X
AT
From
(2),
lim
v n (X)
yn (oo)forw
1,2,3,
... ,tf,sothat
K(X)
sum
of
<
c/4 for
sum
is
the
The
identity
N
n-l
N
n-l
N
n-l
n-l
n-l
REAL-VARIABLE THEORY
459
shows that
that
for
any
>
we can
find
an integer
N and then
an XQ such
N
^n(oo)
<|
(10.117)
n-l
for
XQ.
By
we have
N+P
V
n-l
for
i;
n (X)
V
n-l
fixed integer.
Choosing any
X larger
than
<
(10.118)
any
exists
>
0.
This
exists.
is
exactly the
Cauchy
^n()
Hence
for 6/2
>
an integer NI
such that
n-l
~Z" n-l
(10.117)
(10.119)
N of
00
and
00
(10.119)
(10.120)
n-l
for
n-l
is
XQ.
Formula
(10.120)
lim
Q.E.D.
Example
10.38.
We
n-0
and show that
/
e"*Jo(x) dx
I/ A/2.
is
yo
460
u n (x)
e~*
>
is
continuous for x
0.
Also
and
,(-)-
"""
0.
j\j
2 2n n!n!
vn (
By
it is
easy to determine
o(a;)
n converges for
K*>
|z|
X,
X
^
arbitrary.
v n (x)
0.
If
we
write
n-0
n0
we cannot show uniform convergence
diverges.
since the series of constant terms in (10.121) However, through integration by parts the reader can readily verify that
M /o*
so that
y
0,
00
v n (x) is
|t>
n +i(:c)|
<
|t>
n (#)|
for x
>
0,
y n (0)
BS
0, 1, 2,
For such a
series the
series
v n (x)
\Rn(x)\
\Vn+l(x)\
02n + 2 /;
? nT/J
1 S"l
(10.122)
we note that
0.
n-0
/"* e
Jo
tf:c
V
n-0
2,
(^D n (2n)
2 2 n!n!
n-0
For x
*
1
we have
yo
e~ x Jo(x) dx
REAL-VARIABLE THEORY
Problems
go
461
00
1.
Let S(x)
n-l
2.
y Li
*
,
>
a;
(x 4- n)
0.
Show
that f JO
S(x) dx
- i
2
n-l
y Li
1n*
We
oo
Assume
f(x)
3.
/
f(x)
y
Then
a n :c n integrate formally,
,
make
JQ(X).
justify
your work.
,
Consider fn (x)
= n
xe~ nx
n =
1,
2,
3,
show that
lim n >
/n (x) dx
oo
jo
4.
lim /n (#) rfa;, and determine which one of Dini's conditions is not fulfilled, M n*x 2 ), n == 1, 2, 3, Consider fn (x) = nx/(l and show that
+
/
lim
/n (z) dx
f
\
JO
li lim /n (x)
da;
Do
JM c^a^x^dorc^x^a^-d,
.
.
Let f(x) be a function denned on c ^ x ^ d n (x) exist on (c, d) with/< >(:r) fl-integrable.
Ja t*
/
/ (n) (0
x
* =
dt
(n
~ l)
(x)
(n
- l}
(a)
dx
f
/
/->(0
/<"- >(z)
"- 2
>(a)
yo
I
Ja
"-"(a)(a;
a)
dx
Ja
Ja
dx
a)
dx t dx
Ja
r
Ja
"V-HO
"'
V
'
dt
f(x)
- /(a) -
f'(a)(x
- a)
3!
a)r
so that
/(re)
V /W(
Ja
(x
)
^
'
+
(10.124)
x
-
.(*)
r dx Ja [
dx
r
Ja
f f^(t)dt
Ja
462
If
any bound
of |/ (w) (#)l
on the interval
*
(a, x),
we have
\R n (x)\
Ja
r\dx\ r\dx\ i Ja Ja
of
r M\dt\
Ja
if
\*
">
q|
(10.125)
Another form
R n (x)
1
can be obtained
(n
(-*
1)!
Ja
yields
p>(x)
=
==:
fM(t)(x
1)"^ dt
F'(a)
=
==
/*
v*^/
7
(^71
oj
Q\"f
!
'
^*^
'
\^/
Ja
by applying the
Integrating
FW(x) =
times over the range
(a,
/""(a;)
x) yields F(x)
= R n (x),
so that
(10.126)
The
If it is
inequality of (10.125) results immediately from (10.126). known that f(x) has derivatives of all orders and if
it
can be
R n (x) =
0,
=
00
a,
/(*)
V/
oo
(r)
()
^r^
10.41).
(10.127)
an expression
for
(see
Example
special case of
(10.127) occurs
if
0,
with
f(x)
(r)
(0)
(10.128)
Equation (10.128)
origin.
is
REAL-VARIABLE THEORY
for
463
Example \x\ ^ X,
10.39.
Consider f(x)
e*
X arbitrary.
For
\x\
with a we have
0.
|/
>(z)|
\e*\
ex,
so that
verify that
lim n_>flo
0.
ni
occurs
if
) p which is seen to converge by w! n*0 Thus |/? n (x)| necessity, must tend to zero.
series,
V Xn
Hence
for all z,
LJ
>
and
"
^ ^ since /
{r)
() -
for r
0, 1, 2,
Consider
/(a;)
(1
-h a?)~i.
verify that
0, 1, 2, 3,
Moreover
1,00(3)1-
M.',
and
for
|o;|
<r
<
we have
R n (x) =
0.
Thus
n-0
The
series of (10.130) converges for
x =
and diverges
for x
1.
R n (l)
0.
Example
10.41.
Consider /(z)
g- 1 /*^ ^
0, /(O)
0.
We
have
To compute /
'(0),
we note that
x_>0
a:
3.^0
a;
It
for
all
0,
1,
2, 3,
series
V /
n-0
4-4
/ (a) (0)
xn
;
fl!
zero.
Rn (x)
Returning to (10.124), we note that f(x) does not tend to zero as n becomes infinite.
e"* 1/*
- R n (x)
for all
n so that
does
The Maclaurin
series of f(x)
464
not converge to f(x) for this example. We note that the convergence of a Taylorseries expansion of a function /(z) does not guarantee that the series converges to /(a;).
R n (x).
can be obtained
if
Another form
a
of the
Taylor
series
we
replace x
by
hj
so that
<r)
(a)*
(10.131)
If
we allow a
to vary
by replacing a by
#,
we
obtain
/(*
+ A) -/<"(*)
r-0
*J
(10.132)
(r) Equation (10.131) is very useful if we know / (a) for all r and if we wish to find an approximate value of f(a + h). If only a finite number of terms of the Taylor series are used in approximating /(a + A), an estimate of the size of the error can be obtained from (10.125).
Example
10.42.
In Example 10.39
*,
laurin-series expansion of
\x\
^ X.
we
let
we saw that \R n (x)\ ^ e*\x\ n /n\ for the MacIf we wish to find an approximate value of e, For n = 8 we have |# 8 (1)| < e/n\ < 3/n!.
e
3/8!
<
0.0001, so that
r
}
=
-^
Actually
2.71828
....
more than one variable is x n ) as a function of the n h n be any set of constants,
The
not very
variables x 1 x 2
,
and define
p(f)
l
by
= =
f(x
+
,
h l t, x*
2
,
.
+
,
h*t,
xn
/(u
n
)
u*
+ hn +M
t)
1, 2,
n
(10.133)
x as constants temporarily so that p(t) is We consider x x*, looked upon as a function of the single variable L Let us assume that = 1. We tp(t) has a Maclaurin-series expansion which converges for t
1
have
<"
n-O
n!
Now *
du" _ <b_dj_ ~
dt
df
du* ^T~~toT"
REAL-VARIABLE THEORY
and, at
t
465
0,
-*
and
(
=
-^2 )
tt
h a W.
For
we
obtain
x"
-
A) =
f(x\ x\
-^
For a function
of
'
dO.134)
f(x
where
*
r-O
Problems
1.
Show
that sin x
V
>
00
I)
n x 2n+1
n-O
00
Li
-775
(*n
TTTT + 1)1
holds for
all
values of
x.
2.
Show
that cos
Y* ) n=
_ l)a;2n
/0 N (/n;
.
i
^
00
holds for
all
values of
00
x.
3.
Show
that sinh x
v^
x 2n+1
75
(^Jw
7-=^-.
-t~
and cosh x
n0
Of X.
4.
xlv
1;!
a;
2n
all
values
00
Show
that In
(1 -f x)
C^ 1 )*"" 1**
holds for
-1 <
a:
1.
466
5.
-qrj
N<
1.
If tf
j-^~
>
0,show
Determine In 5 accurate to four places. terms in the Taylor-series expansion of sin x about x ir/6 are needed to determine sin 31 accurate to six places? Evaluate sin 31 accurate to six
that
6.
places.
7.
8.
1/(1
x.
np-
n-0
(2n -f 1)(2*
*
!)**+*
>0
x.
9.
what range
four terms of the Maclaurin-series expansion of In cos the series valid? 10. Find the Taylor series of cos 2 x about x ir/3. 1L lff(n) (x) is continuous on (a, x), show that
first
is
Find the
For
of x
/&.()
f (n) (a
-h 0(s
(x
a)
"
a))
by making use
10.24.
of (10.126).
Extrema
of Functions.
One says
for
|A|
that f(x) has an extremum at a point x = c if an 17 - f(c) has the same sign for \h\ < 17. If /(c such that/(c h)
of Multipliers. exists
>
+ h) ^ /(c)
has a local maximum at x => c. If A) ^ /(c) for |h| < 17, we say that /(c) has a local minimum at x = c. /(c If an extremum of /(x) at x = c exists and if /(#) is differentiable at x = c, we have
<
17,
we say that
f(x)
(10.136)
or
= assume f(c) = (c) =/<-D( c ) = 0, (n) / (c) 5^ 0, and further assume that / (a;) is continuous in a neighborhood of x = c. Applying (10.124) and the result of Prob. 11, Sec. 10.23, we have
so that /'(c)
(n)
0.
Now
5^
(n)
and since
(c)
>
as h
0,
small so that /
is
one-signed.
Hence
h)
/(c) will
be
REAL-VARIABLE THEORY
one-signed provided
467
is
even
(h
Thus a
necessary and
is
and the first that /'(c) = be of even order. If / (w) (c) > a maximum occurs. Why? For a function of two variables we have
/(*
have an extremum at x = c nonvanishing derivative of f(x) at x = c (w) (c) < 0, 0, a minimum occurs, while if /
+ *, + *)- f(x,
y)
2fxvhk
2 8 neglect the higher-order terms (A A fc,
,
If
we
.),
we note that/(#
+
z
ft,
flf
k)
f(x, y) will
be one-signed provided
0,
r)f
0,
and
(fxxh
2fxV hk
+/
yi,fc )
does not change sign for arbitrarily small positive and k. Let the reader deduce that f(x, y) has an
ftf
extremal at
(x, y)
provided ux
r)/
0,
oy
0,
and
fxx
>
or/yy
>
0,
minimum
z
occurs,
and
if
fxx
<
or/^
<
0,
a maxi-
f(x, y) to
condition
constant.
If p(x, y) is
lus
we consider the minimum value of /(x, y). Now in the elementary calcuwe would solve <p(x, y) = c for y as a function of x, say, y = ^(#),
substitute y
$(x) into z
/(x,
?/),
to obtain z
f(x, ^(#)),
and then
We would
set -=-
= _ -
ax
0.
We
also
have
df
dz
df
dfdy
~ v/dxl df\-d
/i
since
-^
+ -~
~-
0.
We
due to Lagrange.
U - f(x,
y)
+ X*(x, y)
and
2/,
(10.139)
We
468
dU =
considered as a parameter.
Setting
A dU = ,-
A 0yields
.
+x
dy
==
5+ 5 =
*dy
Eliminating X in (10.140) yields (10.138).
multipliers.
(iai4o)
This
is
is
Lagrange's method of
#n )
ct
,
to be extremalized subject
1, 2,
. .
#) =
m
.
,
m, we form
U =
and we
set
/(#!, #2,
#n)
+ /
X t ^>
(#i,
2,
#n)
dU
te
.
df
a~
/.-,,
1,2,
,rc
(10.141)
The
.
. .
elimination of the X t
#2,
,
,
. .
i i
^(#i,
xn )
ct
= 1, 2, = 1, 2,
?/.
.
,
m, along with the equations ra, yields the values of xi, #2,
x n which extremalize
10.43.
Example
We wish to
V
irx
2
maximum volume
y
2
)
find the ratio of altitude to radius of a cylindrical glass have for a fixed surface area.
We
2irxy
+ irx =
2
constant
From
ira; !/
-f X(27ro;i/
+ trx
we have
1.
It is
yields a
maximum
Problems
1. Consider a cylindrical buoy with two conical ends. Let x be the radius of the Show that cylinder, y the altitude of the cylinder, and z the altitude of the cones.
x:y:z
2.
-;r-:
yields a
maximum volume
for
Find the maximum distance from the origin to the curve x 3 -{- y* 3xy = 0. 8. Derive (10.137) if fxx h* + 2fxv hk + fyy k 2 does not change sign for arbitrary values of h and &. 4. A rectangular box has dimensions x, y t z. Show that x y:z = 1:1:1 yields a minimum surface area for a fixed volume.
:
REAL-VARIABLE THEORY
6.
469
y(x)
aix
a 2x
+
.
+ a m xm
.
m <
n.
Show
a*, i
0, 1, 2,
w, which extremalize
n
s l+k a l
fo
n
xj, fo
satisfy
}
t-0
with
S*
= ^
= ^
y-o
yyx*.
Numerical Methods. Let us assume that we wish to find a root 0, and let us further assume that /'(x) exists. We can plot a rough graph of y = /(x) and attempt to read the value of x at which the curve crosses the x axis, y = (see
10.25.
of /(x)
Fig. 10.4).
If we choose a point Xi not far removed from x, f(x) == 0, we note that
'V
the equation of the tangent line at (xi, /to)) is y -/(scO =f'(x 1 )(x-z l ). This line, L, intersects the x axis at the point x 2 = Zi f(xi)/f'(xi), /'(zi)
FIG. 10.4
5^ 0,
obtained by setting
2/
0.
=
. .
Xn
- ~
f'M
,
(10.142)
If
the sequence
c,
Xi, X2,
xn
limit
then
lim x n +i
lim x n
lim y,
f(x n/ )
.
and
=
c
0,
tinuous at x
c,
/'(c) 5^ 0.
if
Thus
= x =
near x
>
difficulties will
occur
/'(x) is small
x.
Example
10.44.
For/(x)
we
have/'(x)
2x,
Xn+I
_
<
^
if
iL2
>
xi
2,
From
(10.143)
we note
that
if
<
>
2.
xn +i
xn provided x%
xn
2,
>
0.
deduce that xj +1
>
x\
Thus
we choose
470
mono tonic
to a solution of # 2
The
is
1.41412.
<p(x)
or
< A <
1, 2, 3,
1.
We
define x n +i
by
n =
with Xi arbitrary.
...
(10.144)
Thus
with
fn lying
of the
mean.
Thus
Kfi -
=
\
\x n
a? n -i|
|^({)|
l)
<
'
'
\x n
x n - \A
t
(10.145)
NOW
and
.4
Xn
=
00
XQ
(Xi
(2
'
(#
n-i)
XQ
+ Y
k*i
|x*
Xk~~i
Xn
!L
'
Xn - 1
<
<
1,
from
(10.145).
Thus
n
lim x n
n
lim
w
<
Y
*W
(x
fc
x k -i)
exists.
From
(10.144)
of <p(x)
we have
lim x n
lim
and f
is
<p(x).
Example
We
find a root of
-J-
sin
-f 1, ^(a?)
^-
sin
-f 1,
The computation
is
arranged as follows:
REAL-VARIABLE THEORY
471
We started with xi = and obtained the desired root, x decimal places. Had we graphed y = x and y = -J- sin x -h that Xi = 1.5 would be a good starting point.
we would have
noticed
It is often useful to replace a given function by a polynomial which approximates the given function to a high degree of accuracy. Such a polynomial is called an interpolating function. Let f(x) be a function defined for xo ^ x ^ x n and let us assume that we have evaluated f(x) x n obtaining the n + 1 values y% = /(x), i = 0, 1, at x Xi X2, A simple way of constructing a polynomial of degree n, 7i. 2, L n (x), which satisfies L n (x t ) = y^ i = 0, 1, 2, n, is due to Lagrange. Let us note that the polynomial
,
(x (x
- xi)(x - Xi)(x
=
Xi, #2,
x2) x 2)
,
(X
Xn)
?/o
at x
XQ.
A sum
of
s interpolating
polynomial,
L n (x) =
xi)(x
x 2)
Xg)
(X
Xn)
2/0
(x
^n
x )(x
Xo)(x n
' '
'
(X
Xi)
X n -i)
X n _i)
(10.146)
(X n
(x n
One
i
naturally inquires
.
.
0, 1, 2,
n.
how closely L n (x) approximates /(x) for x ^ x To answer this question, we construct F(x) defined
t
,
By
F(x)
= /(x) - L n (x) ,
R(x
x )(x
xi)
(x
xn)
(10.147)
,
with
.
a constant. Let us note that F(x) vanishes for x Xo, Xi, x 2 n. Now let us choose x n since /(x) = L(x ), i = 0, 1, 2, xn any point x of the interval xo ^ x ^ x n other than Xo, Xi, X2, and determine R so that F(x) = 0, that is,
.
.
/(*)
- L n (55) -
R(Z
x )(f
*i)
- *) If
,
(10.148)
Up
we assume that
x n then
F (x)
is differ-
472
If we apply the entiable on this range. theorem) to the intervals (#0, #i), (zi, 2 ),
of the
(#t,
mean
If
(or Rollers
-
(x n -i,
x), we note
(n+1)
n
XQ
points.
we
,
further
(w+1)
(s) exist
(x) will
vanish at a point x
=
,
a polynomial of degree n,
obtain
we have
^
1)!
F<+() =
^n+l since -r-^+i [(#
#o)(#
f (n +(s)
Xi)
- #(n +
(x
z
(n
x n )]
1)1.
Substituting
R =
/c-+i)()/(n
/(n+D/o
xO
(- x.)
.
(10.149)
Equation (10.149) holds for any value of x in the interval XQ ^ x although (10.149) was obtained by choosing x ^ x, i = 0, 1, 2, for one notes that/(x ) = L n (x ) is consistent with (10.149). is any upper bound of |/ (n+1) (^)l on XQ ^ x g xi, we have If
.
^
.
,
xn
n,
L n (x)| ^
The
inequality (10.150)
is
\x
| |
sxl
|x
xn
(10.150)
bound
to the differ-
L n (x).
(0,
10.46.
The
5),
-3),
(2,
-1),
(3, 7) is
2)(*-3)
x(x
"*"
^
g(ar
x(x-2)(x-2)
l)(x
-3)
2-f
Example
10.47.
a;
3z 2
(-1) 4x"- 5
l)(x
-2)
3-2-1
=* 0>
sin
a;
ir.
Since
dx 7
Af
we have
"4
*f
*-/
0\
t*/
/|
=
we have
wi
For x
40 or
TTTT
(?)
<
Thus the use
of L(fir)
0.00005
i
(i)'
REAL-VARIABLE THEORY
Let us consider a function f(x) defined on struct the polynomial Li(x\ which coincides with f(x) at x
473
h^x^h. We
=
con-
h, 0, h.
From
(10.146)
we have
4r
A'
i(tt\
+
[f(-h)
-ft)
and
y-/
t
L,(x) dx
=
^
[/(-A)
4/(0)
+ /(fc)]
J
/
(10.151)
We may
well inquire
is
how
f(x) dx.
This difference
= !
J-
f(x)
dx-
4/(0)
We
f
(lv)
note that
(x) exist.
Let us assume that f(x\ f"(x), /'"(x), and Differentiating <?(/&) with respect to A yields
<p(0)
0.
+ 4/(0)
|
[/'(A)
f(-ft)]
and
^'(0)
0.
-f(-A)] - I
-/'(-A)]
so that <^"(0)
[/'(A)
-/'(-A)]
[/"(A)
+/"(-*)]
more
yields
0.
Differentiating once
"
"
/'"(-A)]
Now
/"(A) dA =
If
dh
ft
dh
x
(-I)A^'(A) dh
ft,
is
of |/ (lv) (^)l
on
we have
(10.152)
474
The
we use
f(x) dx.
We
note that Simpson's rule is exact if f(x) is a polynomial of degree less than or equal to 3 since f (x) = 0. Since (10.151) depends only on the values of /(x) at the equally spaced points h, 0, /&, we can extend (10.151) to the interval a ^ x ^ b by subdividing (a, b) into an even
number
a,
of intervals
hj
2h, a
3A,
. ,
(n
l)h,
nh = b
2/0, (a
2A, a
4/0,
(a
(n
2)A, a
nA)
and adding.
d*
This yields
'/(x)
=
|
[/(a)
4/(a
h)
+ /(a +
+
3*)
2/01
+ +
|
[/(
+ +
2/0
+
-
4/(a
+ /(a +
+
(n
4A)J
[/(a
(n
2)/0
4/(a
1)/0
+ /(ft)] +
+ ^(a +.A) + 2/(a + 2/i) + 4/(a + 3fc) + 4/(6 - A) + /(&)] + ^ + 2/(a + 4A) +
[/(a)
(10.153)
...
with
w m
-
t.
a) '
/1A1K ^
(10.154)
jgQ
any upper bound of |/ (lv) (x) on the interval a ^ x ^ b. The greater number of subdivisions chosen and hence the smaller the value of A, the more accurate becomes Simpson's rule for approximating an integral.
is
\
the
Example
\E\
10.48.
-
If
we apply Simpson's
C
-
rule to In 2
r2
/
fi
>
Ji
n ~
10,
we note
that
^^
Yon
1) 4
<
0.0002, so that
we can expect
to obtain a value of In 2
ln2w
^( 1+ O
0.69314
with a discussion of the Euler-Maclaurin sum Let us suppose that f(x) has continuous derivatives at least to
REAL-VARIABLE THEORY
the order r on the interval
475
g
X
1.
If
f*f(x)
dx
=
=
x/(x) I
/(I)
/o of (x)
x/'(x)
dx
dx
i[/(l)
/(I)]
/(I)]
+
x
/(O)]
x/'(x) ete
+i
/'(*)
dx
dx f* xf(x)
dx
(10.155)
i[/(0)
+/(!)]
(x
*)/'(*)
We define B
Bz(x)
ing
z (x) 2
4",
#2(1)
0.
Integration yields
^(x
Replacing x
^by
B((x) in (10.155)
and integrat-
by parts
yields
l
fQ
f(x)
dx
i[/(0)
+ /(I)] + fQ
f
B*(x)f"(x) dx
(10.156)
B s (x) such that B (x) = B 2 (x) + 6 2 with the stipulation = JB (1) = 0. Thus B (x) = z 3 /6 - x 2 /4 + b x + c, and that 5 (0) = = c ^2 we have upon integration A- From -82^) = BS(^) 0, 62
We now
3
define
by parts
l
fo
f(x)
dx
i[/(0)
+/(!)]
6 2 [f(l)
/'(O)]
dx J* Bt(x)f'"(x)
This process is continued so that a sequence of polynomials (Bernoulli) and a sequence of constants (Bernoulli) are generated. We have
B' k (x)
6 4 _x
A;
S3
dx
and
6 2 [/'(l)
- /'(O)] +
bj/"(l)
B^,(x)/
(r)
(x)
(10.158)
was made
Bi(x)
In the generation of the Bernoulli polynomials and constants no mention of J5o, -Bi, 61, 60. For convenience we choose B Q (x) = 0,
x, 6
1,
61
0.
it is
possible to find
t),
<p(t),
~
(10.159)
r-O
476
If $(x, t) and <p(t) exist satisfying (10.159), we call them the generating functions of the Bernoulli polynomials and Bernoulli numbers, respec-
tively.
The
series
(see Sec.
10.23), so that b r
(r)
*>
(0)/r!,
r (x)
= 4l r!
ff dr
^)
For-
/t-o
mally we have
r-O
oo
B((x)t
B't(x)t*
I-
B' r (x)t
(x
l)^
(B.(x)
6.
t&(x,t)
t<p(t)
^
-
(10.160)
so that
A(t)e*
t.
*(*)
+^
t)
with
A(0 an
arbitrary function of
Now
<i>(0,
since
fi r (0)
0,
so that A(<)
<p(t)
^, and
Finally $(1,
=
-}/](e
Br(l)^
since JS^l)
1,
r (l)
0,
1.
Hence
[*>(0
1)
1,
and
10 161 >
-
consider
<p(f)
and
$(a;, t) of
(10.161)
and
REAL-VARIABLE THEORY
(10.160).
477
is
valid
and that B
(x)
=>
0,
BI(X)
1, bi
0.
We
*
omit proof of
is
this fact.
if
An
important
discernible
we note
that
- 2
t
_
.
2
* *
te
__ ____ + __ __- + +
.
.
*-'-!""
,
*
,
Hence
If
<p(t) is
we take
l
an even function so that &2r+i = for all r [see (10.159)]. 2s + 1 and apply (10.157) to (10.158), we obtain
+/(!)]
f f(x) dx
i[/(0)
W(D
+
-/'"(O)]
----B
2.
/'(O)]
^[/"
<2 ' +1)
+ iW/
W dx
(10.162)
If
we apply
g(x)
(10.162) to g(x)
f(x
1),
we
obtain
dx
f(x
l)dx =
*f(x) dx
and adding
(x)
Continuing this process for the intervals (2, 3), yields the Euler-Maclaurin formula,
(3, 4),
,(
!,
n)
dx
=
6 2 [/'(n)
+ i/(n) -
/'(O)]
(1
6i.[/
The
from (10.157) or
decreasing for
sign
Bernoulli polynomials and constants of (10.163) can be calculated It can be shown that if / (28+1) (x) is monotonic (10.161).
same
on
^
1)
n,
lies
between
+
n-l
+ f(n
with
/(w) in (10.163).
terms of the series following ^/(O) For this case we need not be concerned
+/(!)+*
m+1
2 /m m-0
Example
10.49.
Stirling's
Bw(x - nW-(x) dx
For f(x)
In (x -f 1)
Formula.
we note
that
(x
478
for
is
monotonic decreasing on
In (x
a;
n.
Integration
by
parts yields
(n
1) In (n
1)
n n
f
6,
1)
dx
In 1
64
+ In 2 + In 3
2)
4-
+ ln
Now
(n
(n
1)
+*ln
1)
(^ [n (l
1)
l)
(^fyy,
(n
----
(10.164)
1) In
(n
1) In
+ ^)] +
1) In
1) In
+
and, for large w, (n H- 1) In (n -H
Urn
n
* oe
(n
I) In
(l
(n
ft>
since
(n
1) In
(l ^
+
>
w) /
,
we note from
+ T)
ln
ln n!
where C is the sum of the constant terms in (10.164). In 2*. Thus with (10.165) to show that C ,
In
v
n!
nn
n!
2am
ft
V2irnn n e-
V^m (-)
n
large.
(10.166)
Formula meaning
The
true
lim
Problems
and x = 1, accurate to six 3 -f 1 1. Find a root of x* lying between x decimal places. In (x 2. Find a root of x 1) 4- 1, accurate to five decimal places. - 2, p(3) 3. Find a polynomial p(x) such that p(0) - 0, p(l) 1, p(2) 3,
=0
p(4)
4.
11.
Apply Simpson's
for
approximate
--
Do
the
same
6.
Jo
V% ,
x
2x*
Show that
Show that
64
6.
+ x*).
10.26. The Lebesgue Integral. It is rather obvious that not all functions are Riemann-integrable (J?-integrable). consider the interval 1 and define /(x) = 1 if x is irrational, f(x) = 2 if x is rational. g x
We
integral
is
seen to be
is
Thus f(x)
However,
let
rationals are
REAL-VARIABLE THEORY
countable (see Sec. 10.11), so that
interval
479
rationals
1,
on the
r3,
rn ,
define /2 (x)
x g 1 by /i(z) = 1 for x = /(r 2 ) = by / (z) 1, x 5^ ri, r 2 ,/(ri) a of functions we construct sequence manner,
We
define /i(x) on
2
*
2.
n, /i(n)
2.
We
Proceeding in this
/i(*),/(*),
,/(*),
. .
(10.167)
points,
with /n (a;)
except at x
=
=
ri,
r2 ,
rn ,
fn (x)
2.
It is
apparent that
lim fn (x)
/(x)
for
f or
2
}
x irrational x rational
Moreover the sequence \fn (x) is monotonic nondecr easing as n increases, and we write fn (x) /*/(z). The reader can easily prove that every function of the sequence \fn (x)
}
is
fi-integrable,
with
fn (x) dx
1 for all n.
We
f JQ
is
f(x)dx
SE
lim
n
f w JQ
fn (x)dx
lim
n-
(10.168)
not /Wntegrable, it is Lebesgue integrable (Z/-inteof its Lebesgue integral is defined by (10.168). grable), More generally, we have the following situation Let C be the class of all J?-integrable functions on the range a ^ x ^ 6, and let f(x) be the of functions belonglimit of a monotonic nondecreasing sequence, {/n (#)
f(x)
Even though
ing to C.
We
by
(10.169)
L(/)
b
jo,
f f(x)dx
f n-t* Ja
lim
fn (x)dx
all
exists.
Let
C denote
the class of
is
Any = fn (x)
b
function which
lim
n-K
J"
f f(x)dx
f J*
f(x)dx
L-integrable,
a proper subset of C. Any function which is JB-integrable is and the values of the two integrals are the same. It can be shown that if /(x) is a limit of a monotonic nondecreasing sequence of
is
Thus C
functions belonging to C then/(x) also belongs to C. An analogous situWe define the irrational numation occurs in the real-number system.
bers as the limits of
of a
real
bounded sequences of rational numbers. The limit bounded sequence of irrational and/or rational numbers is again a number, rational or irrational.
480
To
we
Ci
if
in order to
embrace a larger
is
function f(x)
any
>
we can
g(x)
find
two functions,
h(x)
for a
g(x)
and
h(x), belonging to
such that
f(x)
and
If /(x)
belongs to Ci
(/)
we
by
(10.171)
J*
f f(x) dx
= supLfo) =
geC
inf L(h)
h*C
(10.170).
easily verify
f(x) belongs to C then f(x) belongs to Ci and L(f) set Ci contains all Lebesgue-integrable functions.
that
if
<(/).
The
ideas contained above lead to the concepts of measurable funcand measurable sets. In most texts one begins with the definition of the measure of a set, and afterward the Lebesgue integral is defined. We omit a discussion of measure, but we do emphasize that the theory The of measure is of prime importance in modern probability theory. Lebesgue integral plays an important role in modern mathematical analytions
sis
The
with
its
theory,
and other
REFERENCES
Burington, R.
S.,
New York, 1939. Courant, R.: "Differential and Integral Calculus," Interscience Publishers, Inc., New York, 1947. Franklin, P.: "A Treatise on Advanced Calculus," John Wiley & Sons, Inc., New
Company,
Inc.,
York, 1940.
Goursat, E.:
"A
F.
Hildebrand,
Course in Mathematical Analysis," Ginn & Company, Boston, 1904. B.: "Introduction to Numerical Analysis," McGraw-Hill Book
Company, Inc., New York, 1956. Householder, A. S.: "Principles of Numerical Analysis," McGraw-Hill Book pany, Inc., New York, 1953.
Com-
Kamke, E.: "Theory of Sets," Dover Publications, New York, 1950. Milne, W. E.: "Numerical Calculus," Princeton University Press, Princeton, N.
1949.
J.,
Munroe, M. E.: "Introduction to Measure and Integration," Addison- Wesley Publishing Company, Cambridge, Mass., 1953. Newman, M. H. A.: "Topology of Plane Sets," Cambridge University Press, New
York, 1939. Titchmarsh, M. A.: "The Theory of Functions," Oxford University Press,
1939.
New
York,
Widder, D. V.:
Wilson, E. B,:
Advanced Calculus," Prentice-Hall, Inc., New York, 1947. "Advanced Calculus," Ginn & Company, Boston, 1912.
"
INDEX
A A
posteriori probability, 345 priori probability, 345
Bessel's equation, 231 Bessel's inequality, 247, Beta function, 170
258
Abelian group, 300 Abel's lemma, 450 Abel's test for uniform convergence, 451 Absolute convergence, 444, 455 Absolute tensors, 89 Absolute value of complex number, 123 Acceleration, 50, 52 Addition, parallelogram law of, 38, 123 of tensors, 89 of vectors, 38 Affine transformation, 313
Binomial coefficient, 339 Binomial theorem, 339 Binormal, 53 "Bits" of information, 346 Bonnet, second law of the mean for integrals, 457 Boole, G., 388
Aleph
zero,
394
field,
324-326
Boolean operator, 6
dz
,221
Amplitude
of
Boundary of a set, 389 Boundary point, 387 Bounded set, 386 Bounded variation, 277
Brachistochrone, 289, 293 Branch point, 149 Buffon needle problem, 355
Angular velocity, 46 Arc length, 52 Archimedean ordering postulates, 385 Arcs, rectifiable, 277
Calculus of variations, 288 problem of constraint in, 295 variable end-point problem in, 293
of, 375 396 Cantor's theory of sets, 394r-396 Cardinal numbers, 394 Cartesian coordinate system, 93 Cauchy, convergence criterion for quence, 437
Cancellation, law
set,
Cantor
230
Associated vector, 94
Automorphism, 304
of a field, 331 of a group, 304
se-
Axiom
392
inequality
of,
391
Bayes's formula, 346 Bayes's theorem, 344-346 Bernoulli numbers, 475-477 Bernoulli polynomials, 475-477 Bernoulli trials, 349
Bernoulli's theorem, 358 Bessel function, 232
nth-root test of, 442 Cauchy's distribution function, 361 Cauchy-Riemann equations, 148 Cayley's theorem, 303 Central of a group, 307 Central-limit theorem, 359-361 Character of a group, 312 Characteristic function, 357
481
482
Closed interval, 386 Closed set, 386, 388 of orthogonal polynomials, 249 Closure of a set, 389 Coefficients, Fourier, 245, 252 Cofactor, 9
Combinations, 338
Commutative
of vector addition,
38
Commutator, 303 Comparison test for series, 441 Complement of a set, 387 Complete set of orthogonal polynomials,
249-250
Complex
(See also Complex variable) Complex-number field, 122 Complex numbers, 122
absolute value of, 123 argument of, 124 conjugate of, 124 modulus of, 123 vector representation of, 123 Complex variable, functions of, 125 analytic or regular, 130 derivative of, 127
integration of, 131-136 Taylor's expansion of, 145
Laplacian
Continuous function, 398 Continuous transformation groups, 314315 Contour integration, 160-162 Contraction of a tensor, 90 Contravariant tensor, 89
65
Darboux
INDEX
Definite integral, 131, 419-424 mean-value theorems for, 422, 457
483
wave, 172, 286
57 De Moivre, formula of, 125 Density or weight function, 237 Dependence, linear, 20, 187 Derivative, 402 co variant, 100 of a determinant, 8 of an integral, 142
(V),
Del
Differential operator, s
ax
192
Differentiation, 402
of matrix, 13
50 Desargues' theorem, 40 Determinant, cof actors of, 9 derivative of, 8 expansion of, 9
of matrix, 5, 13
of vectors, 50, 61 Diffusion equation, 367-368 Dini's conditions, 457-459 Direction cosines, 43 Directional derivative, 56
minors
order
of,
10
of,
moment
of,
352
Vandermonde, 334
Wronskian, 187 Determinants, 5
multiplication of, 9 properties of, 7-10 solution of equations by,
Distribution function, 351 Cauchy's, 361 Distributive law, 376 Divergence, 58, 102 of a curl, 61
1
Diameter of a set, 390 Dice (craps), 348 Differential, 402 operator, 410 total, 409
Differential equations, 172
Bessel's, 231 in complex domain, 201
59
degree
of,
175
175
exact, 178
first-order,
homogeneous, 177
hypergeometric, 221
integrating factors of, Laplace's, 226 Legendre's, 201, 222
tions)
1
79
Elliptic integrals,
436
Euler-Lagrange, 290
exact, 178-179
indicial,
integral,
in,
210 203
175
uniqueness
of,
185
Sturm-Liouville, 200
Hamilton's, 113
484
248
of,
systems
of, 2,
4
linear, 17
homogeneous
251, 256
Equivalence relation, 376 Error, in Simpson's rule, 473-474 in Taylor's series, 462
Essential singularity, 157 Euclidean coordinates, 93
expansion
partial,
in,
252, 260
of,
integration
248
Fourier transform, 268 Frenet-Serret formulas, 52-53 Frobenius, method of, 215 Function, analytic, 130
Bessel, 232 beta, 170 of bounded variation, 277 characteristic, 357 of a complex variable (see
Complex
variable)
expansion)
Expectation, 354 Exterior point, 387 Extrerna of functions, 466-468
uniformly, 399
density, or weight, 237
145
of,
even, 256
expansion
145
477-478
extrema
of,
466-468
factorial, or
gamma, 168
380
of, 331 165 extension of, algebraic, 324-326 normal, 330 of probability, 343 of sets, 342 steady-state, 41 vector, conservative, 67 irrotational, 69, 73 solenoidal, 77 steady-state, 41 uniform, 42
automorphisms
electric,
478-480
Riemann, 419-424
square, 246, 257
limit of,
397-398
variable, 407
396
regular, 130
integral, 143
477-478
Fourier coefficients, 245, 252 Fourier integral, 265 Fourier partial sum, 245, 258
(Gauss), 145
of arithmetic, 381 of the integral calculus, 142,
423
INDEX
Galois group, 332 Galois resolvent, 330
theory, 368-372 Gamma function, 168-171
Helix, 53
485
Game
Hermite polynomials, 233, 239, 241 generating function for, 234 Hermitian matrix, 34 Hessian, 419
Hilbert space, 391 Homogeneous function, 177 Homogeneous linear equation, 17 Hyperbolic cosine, 150, 158
Hyperbolic sine, 150 Hypergeometric equation, 221 Hypergeometric function, 222 of Kummer, 223 Hypersurface, 95
Impedance, 270
304
Implicit differentiation, 403 Implicit function theorems, 412-419 Improper integral, 282, 427
automorphism
inner,
of,
305
character of, 312 conjugate elements of, 306 conjugate subgroups of, 306 continuous transformation, 314-315 cyclic, 300
298 307 index of, 308 finite, 300 Galois, 332 octic, 312 order of, 301 quotient, 307 index of, 308
definition of,
factor,
Cauchy value of, 282 Independence, linear, 187 Independent events, 347-348 Index of factor group, 308 Indicial equation, 210 Inertia, moment of, 117 tensor, 116 Infemum, 383 Infinite integral, 428 uniform convergence of, 429 Infinite series, of constants, 439
convergence
test for,
of, absolute, 444, 455 conditional, 444
440-444
subgroup
of,
301
invariant, 306
normal, 306
maximal, 309 symmetric, 302 Groups, intersection of, 307 isomorphism of, 303 prime-factor, 311 product of, 308
properties
rational,
Hamilton-Cayley theorem, 35 Hamiltonian, 113 Hamilton's equations of motion, 113 Harmonic series, 440 Heat flow, 227 Heine-Borel theorem, 392-393
derivative
elliptic,
486
429 Lebesgue, 478-480 line, 66 mean-value theorem, 422, 457 Riemann, 131, 419 Stieltje, 280 test for convergence, 441 theorem of Cauchy, 136 Integral equation of Volterra, 203 Integrals with a parameter, 142, 425-426 Integrating factors, 179 Integration, of a complex variable, 131136 contour, 160-162 of Fourier series, 264 of Laplace's equation, 78 methods of, 431-436 numerical, 474-477 by parts, 143, 424 of a real variable, 419-420 of series, 450, 458 term-by-term, 448, 458 Interior point, 387 Interlacing of zeros, 199, 244 Interpolation formula of Lagrange, 471472 Intersection of sets, 388 Interval, closed, 386 of convergence, 386, 453 open, 386 Invariant, 320 subgroup, 306 Irreducible polynomial, 324 Irrotational vector field, 69, 73
infinite, 428,
Laplace's equation, 76, 226 integration of, 78 solution of, 226 Laplacian, 59, 103
in cylindrical coordinates, 65 in orthogonal coordinate system, 65 in spherical coordinates, 103
in tensor form, 103
Laurent expansion, 154 Law of the mean, for differential calculus, 405 for integral calculus, 422, 424, 457 Lebesgue integral, 478-480 Legendre polynomial, 230, 239, 404 associated, 230
Legendre's duplication formula, 169 Legendre's equation, 230, 404 Leibniz, rule of, 403 Length of arc, 52, 95
L'HospitaPs rule, 405 Limit, 397-398 Limit cycle, 273 Limit point, 386 Line element, 93 Line integral, 66 Linear dependence, 20, 187 Linear differential equations, with constant coefficients, 191
definition of, 175
of,
183
177
general solution of, 182, 191 second-order, 199, 202 indicial equation, 210
Kronecker, 324
Kronecker
delta, 3, 9
homogeneous, 17 Linear independence, 187 Liouville's theorem, 145 Lipschitz criterion, 183 Ln 2, 148
471-472
462
INDEX
Matrices, 11
487
comparable, 12
equality of, 11 multiplication of, 12-13 sum of, 12
of,
24
column, 20
derivative
of,
13
5,
13
Nonlinear differential equations, 271 Normal to a surface, 56, 71 Normal acceleration, 52 Normal coordinates, 32 Normal derivative, 56 Normal distribution of Gauss, 353 Normal extension of a field, 330 Normal subgroup, 306 maximal, 309 Normalizing factors, 240 Null set, 389 Numbers, algebraic, 396 Bernoulli, 475-477 cardinal, 394 complex, 122-124 conjugate, 325 primitive, 328 real, 382 triples, 81 Numerical integration, 474-477 Numerical methods, 469-478
Odd
Maximal normal subgroup, 309 Maximum-modulus theorem, 151 Mean, law of, 405, 422, 424, 457
Open Open
interval,
set,
386
387
Mean or Memory
Methods
431-436
Metric tensor, 93 Minimal property of partial Fourier series, 248 Mixed strategy, 370 Moment, of a distribution, 352 force, 116 of inertia, 117 Momentum, angular, 115 generalized, 113 Monodromy theorem, 153 Monte Carlo methods, 364-368 Xlorera's theorem, 145
nomials)
Orthogonal trajectories, 176 Orthogonal transformations, 22 Orthogonal vectors, 82 Orthonormal set, 241
Motion, equations of (see Equations) in a plane, 52 of rigid body, 46-47 Multipliers of Lagrange, 296, 467 Mutually exclusive events, 343
Paperitz, 221
Navier-Stokes equation of motion, 117 Neighborhood, deleted, 387 spherical, 391 Nested sets, theorem of, 392 Newton's binomial expansion, 339 Nonessential singular point, 157
variation of, 197 Parseval's identity, 265 Partial derivative, 408 Partial differential equations, Fourier's method of solving, 226-228
equa-
Power
series,
convergence
of,
radius of,
368
453
uniform, 453-454
differentiation of,
454
mations, 184, 203 Picard's theorem, 157 Piecewise continuous function, 258
Point, boundary, 387
Primitive number, 328 Principal directions, 118 Principal equation, 326 Probability, a posteriori, 345
priori,
345
of, of,
branch, 149
exterior, 387 at infinity, 158,
interior,
axiomatic definition
central-limit
218 387 x limit, 386 neighborhood of, 387 deleted, 387 ordinary, 202 set theory, 386-389
singular, 156, 157 of differential equation,
essential,
343 359-361
continuous, 351
343
of,
function
352
353
355
Pursuit problem, 54
207 J*
Quadratic forms, 21 positive-definite, 28 Quotient group, 307 index of, 308
157
removable, 157
Raabe's
test,
442
324
Lagrange's interpolation, 471-472 Laguerre, 224, 226, 239, 241 Legendre, 230, 239, 404 normal, 330 orthogonal, 237
closed sets of, 249 complete sets of, 249 completeness of, 250 difference equation for, 243 expansions in, 246, 251 zeros of, 242 relatively prime, 324 separable, 328 Tchebysheff, 241
Positive-definite quadratic form, Positive integers, 374-377
Random-walk problem,
350,
367
28
Ratio test of D'Alembert, 441 Rational function, 434 Rational integers, 378-379 Rational numbers, 379-380 Real-number system, 382-385 Recapitulation of vector differential for mulas, 61 Reciprocal tensors, 92, 94 Rectifiabte path, 277 Recursion formula, 202 Regular function, 130 Regular permutation group, 303 Regular singular point, 210 Relative tensors, 89 Relative velocity, 54
Power
series,
453
of,
Remainder
453
462
convergence
INDEX
Residue, 158, 160 Ricci tensor, 106
489
Riemann
integral, complex-variable
Riemann
geodesies in, 95 Rigid body, motion of, 46-47 Ring, 379 Rolle's theorem, 404 Rule, Cramer's, 10 Simpson's, 473-474
Russell number, 382-385
47
expansion) uniformly convergent, 450 Set, boundary of, 389 bounded, 383, 386 Cantor, 396 closed, 386, 388 closure of, 389 complement of, 387 countable, 394 denumerable, 394 diameter of, 390 infemum of, 383 limit point of, 386, 389 nondenumerable, 394 null, 389 open, 387 ordered, 377 orthonormal, 241 supremum of, 383 totally ordered, 377 uncountable, 394 Sets, Cantor's theory of, 394-396 field of, 342 intersection of, 388 nested, theorem of, 392 of, 388
un^|
Second-order differential equations, 199, 202 properties of, 199-201 Sectionally continuous function, 258 Separation of variables, method of, 227 Sequence, 437
Simple closed curve, 131 Simple group, 307, 310 Simple mappings, 124 Simpson's rule, 473-474 Simultaneous differential equations, 190
Sine
z,
131
Sinh
2,
150
convergence 437
of,
Cauchy
criterion for,
Slope, 402
Space curve, 52
arc length of, 52
439
for,
alternating, 443
comparison test
convergent, 439
441
of composition, 311
differentiation of,
450
curvature of, 53 Jordan, 131 tangent to, 52 torsion of, 53 unit binormal of, 53 unit principal normal of, 53 Spherical coordinates, 63 Steady-state vector field, 41
Stieltje's integral,
280
477-478
harmonic, 440
infinite (see Infinite series)
integration
of,
450, 458
Stochastic variable, 351 Stokes's theorem, 70 Strain tensor, 118 Stress tensor, 118
power
(see
Power
sum
invariant, 306
of,
439
normal, 306
ELE\
Rub
Su>
-act*'''
i
ITS
.tors,
38
1
of a
t
t^
v
439
^pnvention,
l
fe,
.premum, 383 70 normal to, 56, 71 Symmetric functions, 320 fundamental theorem of, 321 Symmetric group, 302 System of equations, 4
orface,
Tan- 1
z y 150
52,
84
of
variables,
464-465
remainder in, 462 uniqueness of, 147 Tehebysheff's theorem, 354 Tensor, components, 89 contraction, 90 contravariant, 89 covariant, 89 curvature, 89 density, 89 inertia, 116
iso tropic,
Uniform continuity, 399 Uniform convergence, Abel's of a sequence, 446 of a series, 450
Weierstrass
test for,
M test
for,
451
Union
of
two
sets,
388
Unitary matrix, 22
91
Van
metric, 93
der Pol's equation, 273 Variation, bounded, 386 calculus of (see Calculus of variatioi
of parameters, 197 Vector, 37 associated, 94 binormal, 53 characteristic,
118 118
of,
weight
89
24
81
Tensors, absolute, 89 addition of, 89 product of, 89 quotient law of, 90 reciprocal, 92, 94 relative, 89
column, 20
components
of, 41,
Termwise
differentiation
and
physical, 87 conservative, 67 contravariant, 84 curl of, 59, 83, 102 derivative of, 50
integration,
of, 58, 102 irrotational, 69, 73
448-450, 458 Theorem of the mean, differential calculus, 405 integral calculus, 422, 423, 457 Theory of games, 368-372
divergence
Torque, 116 Torsion of a space curve, 53 Total differential, 409 Totally ordered set, 377 Trajectories, orthogonal, 176 Transfer function, 270
of,
108
tangent, 52
unit, 37, 81
zero,
37
INDEX
otor field (see Field)
-
Velocity, relative,
tors,
addition
of,
38
j^
etJ
-ngle between, 42
Wave
39
orthogonal, 82
parallel, 38,
108-109
of,
equation, 172, 4. Weierstrass approximat thuW ^" 250 "** Weierstrass test, 451 Weierstrass-Bolzano theorem, 389 L Work, 112 Wronskian, 187
1
It!
*'
'<-
38 product of, 47 triple vector product of, 48 unit, fundamental, 41 vector or CTORS product of, 45 elocity, 50 angular, 46
subtraction
triple scalar