Chapter 5

Sturm-Liouville Theory
5.1 Oscillation and Separation Theory
Consider the dierential equation
a
2
(x)y

+ a
1
(x)y

+ a
0
(x)y = 0 (5.1.1)
where a
2
(x) is not zero for all x [a, b] , a
i
(x) C[a, b]. Rewrite (5.1.1) in the form
y

+
a
1
a
2
y

+
a
0
a
2
y = y

+ p(x)y

+ q(x)y = 0
Dene
k(x) = e
_
p(s)ds
,
Then
d
dx
(k(x)y

) + k(x)q(x)y = 0
or
(ky

+ g(x)y = 0 (5.1.2)
Dene the dierential operators
L(y) = (ky

+ g(x)y
M(y) = a
2
y

+ a
1
y

+ a
0
y (5.1.3)
The adjoint of M is dened by
M(y) = (a
2
y)

(a
1
y)

+ a
0
y
1
2 CHAPTER 5. STURM-LIOUVILLE THEORY
M(y) = a
2
y

+ (2a

2
a
1
)y

+ (a

2
a

1
+ a
0
)y.
After some manipulation it is easy to show that
vM(u) uM(v) = [(a
1
a

2
)vu + a
2
(vu

uv

)]

.
This result is called LaGranges identity and we rewrite it as
vM(u) uM(v) =
d
dx
P(u, v).
By an integration we obtain Greens formula ,
_
b
a
_
vM(u) uM(v)

dx = P(u, v)|
b
a
If M(u) = M(u), the equation M(u) = 0 is said to be self-adjoint. Hence M(u) = 0 is
self-adjoint if
a

2
= a
1
.
In this case Lagranges identity becomes
vM(u) uM(v) = [a
2
(vu

uv

)]

= [a
2
(x)N(v, u)]

and
M(u) = (a
2
u

+ a
0
u
Clearly the operator L dened by (5.1.3) is self-adjoint and the discussion preceding (5.1.2)
shows every general linear equation can be put into self adjoint form.
5.1.1 Separation theorems
Theorem 5.1.1. [Sturm Separation Theorem]
1. A nontrivial solution of M(y) = 0 can have at most a nite number of zeros on [a, b].
2. All zeros of a solution are simple.
3. If u
1
(x), u
2
(x) are linearly independent solutions of M(y) = 0 then between any two
zeros of u
1
(x) there is precisely one zero of u
2
(x).
Proof. 1. Suppose there exists innitely many zeros,{z
n
}, select a subsequence {x
n
} such
that x
n
x. Then
0 = lim
n
y(x
n
) = y( x).
Also,
y

( x) = lim
n
y(x
n
) y( x)
x
n
x
= 0
and so y(x) = 0 by uniqueness.
5.1. OSCILLATION AND SEPARATION THEORY 3
2. The proof of this was a much earlier exercise.
3. Suppose x
0
, x
1
are consecutive zeros of u
1
(x), and assume thatx
0
< x
1
. Then u
2
(x
0
) =
0 and u
2
(x
1
) = 0, or else W(u
1
, u
2
)(x
i
) = 0, i = 0, 1. So without loss of generality
assume u
1
(x) > 0, x (x
0
, x
1
), u
2
(x
0
) > 0. Now
W(u
1
, u
2
)(x
0
) = u

1
(x
0
)u
2
(x
0
)
W(u
1
, u
2
)(x
1
) = u

1
(x
1
)u
2
(x
1
)
Since u

1
(x
0
) > 0, W(x
0
) < 0. Because the Wronskian of u
1
, u
2
cannot change sign,
W(x
1
) < 0. But u

1
(x
1
) < 0 so this would require that u
2
(x
1
) < 0. Hence u
2
(x) must
vanish in (x
0
, x
1
).
If we apply the argument with the roles of u
1
and u
2
interchanged, we see that between
two consecutive zeros of u
2
there must be a zero of u
1
(x). Hence the zeros of u
1
and
u
2
must interface.
Roughly speaking, the Sturm Separation theorem states that linearly independent solu-
tions have the same number of zeros. If we consider two dierent equations, for example
y

+ y = 0, y

+ 4y = 0
then solutions of the second equation oscillate more rapidly than those of the rst. More
generally, Sturm Comparison theorems address the rate of oscillation of solutions of dierent
equations.
5.1.2 Oscillation Theory
Here we shall consider equations of the form
L(y) = (ky

+ gy = 0, a < x < b
where k C
1
(a, b), g C
0
[a, b], and k > 0 on [a, b].
Theorem 5.1.2. Let L
i
(y) = (ky

+ g
i
y = 0 where g
2
> g
1
and g
2
is not identically equal
to g
1
on any subinterval of (a, b). If L
1
(u
1
) = 0 and L
2
(u
2
) = 0, then between any two
consecutive zeros of u
1
(x) there is a zero of u
2
(x).
4 CHAPTER 5. STURM-LIOUVILLE THEORY
Proof. Suppose u
1
(x
1
) = u
1
(x
2
) = 0 and u
2
(x) = 0 on (x
1
, x
2
). Without loss of generality
take u
1
, u
2
> 0 on (x
1
, x
2
) Lagranges identity gives
u
2
L
1
(u
1
) u
1
L
1
(u
2
) =
d
dx
(k(x)(u
2
u

1
u
1
u

2
).
We also have
L
1
(u
2
) L
2
(u
2
) = (g
1
g
2
)u
2
.
Hence
u
2
L
1
(u
1
) u
1
[L
2
(u
2
) + (g
1
g
2
)u
2
] = (k(x)(u
2
u

1
u
1
u

2
))

or
k(x)(u
2
u

1
u
1
u

2
)|
x
2
x
1
=
_
x
2
x
1
(g
2
g
1
)u
1
u
2
dx > 0.
However, the left hand side reduces to
k(x
2
)u
2
(x
2
)u

1
(x
2
) k(x
1
)u
2
(x
1
)u

1
(x
1
). (*)
Since u
2
(x
2
) 0, u

1
(x
2
) < 0 and u
2
(x
1
) 0, u

1
(x
1
) > 0 the above expression is nonpositive
and hence we obtain a contradiction.
Suppose that we assumed u
2
(x
1
) = 0, then in the above proof expression () becomes
k(x
2
)u

1
(x
2
)u
2
(x
2
).
If u
2
(x
2
) 0, then again () 0 and a contradiction would be obtained. Thus Theorem
5.1.2 could be restated: If k C
1
(a, b), g C
0
[a, b], k > 0 on [a, b] and u
1
(a) = u
2
(a) = 0
and u
1
(x
1
) = 0, a < x
1
< b, then there exists z, a < z < x
1
such that u
2
(z) = 0. Thus u
2
(x)
has at least as many zeros as u
1
(x) on [a, b].
A more general version of this theorem is
Theorem 5.1.3. Assume p, q C
0
[a, b] and z(x) is a non trivial solution of
z

+ q(x)z = 0
where
z(a) = z(b) = 0.
If
_
b
a
(p q)z
2
dx 0
5.1. OSCILLATION AND SEPARATION THEORY 5
then a nontrivial solution of
y

+ p(x)y = 0
y(a) = 0
has a zero in the interval (a, b].
Proof. Suppose y(x) = 0 in (a, b]. Then
z(z

+ qz) = 0
z
2
y
(y

+ py) = 0
or
zz

z
2
y

y
= z
2
(p q)
or
z
y
(yz

zy

= z
2
(p q).
Now note that
lim
xa
z(x)
y(x)
= lim
za
z

(a)
y

(a)
and since z

(a) = 0, y

(a) = 0, z

, y

C[a, b], this limit exists and is nite. Hence it makes

sense to write
_
b
a
z
y
(yz

zy

dx =
_
b
a
z
2
(p q)dx 0.
Now integrate by parts and since z(b) = 0, y(b) = 0, z(a) = y(a) = 0,
z
y
(yz

zy

)|
b
a

_
b
a
(yz

zy

)(
z
y
)

=
_
b
a
z
2
(p q)dx 0, ()
or

_
b
a
(yz

zy

)
2
y
2
dx 0
or
0
_
b
a
(yz

zy

)
2
y
2
dx.
The right hand side is identically zero if y(x) = cz(x) in which case the result is trivially
true. So if y(x) = cz(x), the right hand side is positive and we get a contradiction. Hence
y(x) must vanish in (a, b].
6 CHAPTER 5. STURM-LIOUVILLE THEORY
The proof shows that if p(x) = q(x) then
_
b
a
z
2
(p q)dx > 0.
In this case y(x) must have a zero in (a, b). If not, then just as before we could derive (*) by
dividing by y(x) and the boundary term in (*) would vanish since y(b) = 0, and we would
obtain
_
b
a
(yz

zy

)
2
y
2
dx < 0,
which is a contradiction.
We conclude with a generalization of these results.
Theorem 5.1.4. Let k
i
C
1
[a, b], g
i
C[a, b] with k
i
> 0. If z is a nontrivial solution of
(k
1
z)

+ g
1
z = 0
z(a) = z(b) = 0,
and y is a non trivial solution of
(k
2
y

+ g
2
y = 0
y(a) = 0
and
_
b
a
(k
1
k
2
)(z

)
2
+ (g
2
g
1
)z
2
dx 0,
then y(x) has a zero in (a, b]. If the inequality is strict, the zero is in the open interval (a, b).
Proof. Multiply the rst equation by z and subtract the second multiplied by (z
2
/y) to
obtain the Picone formula,
_
b
a
(k
1
k
2
)(z

)
2
+ (g
2
g
1
)z
2
dx +
_
b
a
k
2
(
yz

zy

y
)
2
dx =
z
y
(k
1
yz

k
2
y

z)|
b
a
and proceed as before.
As an immediate consequence of this theorem we obtain
Theorem 5.1.5. [Sturm-Picone Theorem] Suppose
(k
1
z

+ g
1
z = 0
(k
2
y

+ g
2
y = 0
where g
2
g
1
and k
1
k
2
> 0 and g
2
g
1
,k
2
k
1
on [a, b] and
z(a) = z(b) = 0.
then y(x) has a zero in (a, b).
5.2. BOUNDARY VALUE PROBLEMS 7
5.2 Boundary Value Problems
We consider the problem of solving
M(y) = a
2
y

+ a
1
y

+ a
0
y = f(x), a < x < b (5.1.4)
subject to the boundary conditions
B
1
(y) =
11
y(a) +
12
y

(a) +
11
y(b) +
12
y

(b) =
1
(5.1.5)
B
2
(y) =
21
y(a) +
22
y

(a) +
21
y(b) +
22
y

(b) =
2
.
Here a
2
, a
1
, a
0
C[a, b], a
2
(x) = 0,
ij
,
ij
,
i
are constants. Equations (5.1.4) and (5.1.5)
constitute what is called a boundary value problem(BVP). If
11
=
12
= 0 and
21
=

22
= 0, the boundary conditions are separated. If
12
=
12
= 0 and
21
=
21
= 0, and

1
=
2
= 0 the boundary conditions are periodic. If
12
=
11
=
12
=
21
=
21
=
22
= 0
we have the initial conditions y(a) =

1

11
, y

(a) =

2

21
. Note that the boundary operators B
i
are linear. We refer to {f(x),
1
,
2
} as the data of the BVP.
Theorem 5.1.1. The BVP (5.1.4)-(5.1.5) with data {0,
1
,
2
} has a unique solution i the
BVP with data {0, 0, 0} has only the trivial solution.
Proof. Assume rst that we know that solutions to the BVP (5.1.4), (5.1.5) are unique and
suppose y
1
, y
2
are linearly independent solutions of (5.1.4). If u is any solution of M(y) = 0,
with data {0,
1
,
2
}, then, since every solution must be a linear combination of y
1
and y
2
,
there exist unique
1
,
2
so that
u =
1
y
1
+
2
y
2
.
Then

1
B
1
(y
1
) +
2
B
1
(y
2
) =
1

1
B
2
(y
1
) +
2
B
2
(y
2
) =
2
,
or
_
B
1
(y
1
) B
1
(y
2
)
B
2
(y
1
) B
2
(y
2
)
__

1

2
_
=
_

1

2
_
(5.1.6)
Since
1
,
2
are unique,
det
_
B
1
(y
1
) B
1
(y
2
)
B
2
(y
1
) B
2
(y
2
)
_
= 0. (5.1.7)
8 CHAPTER 5. STURM-LIOUVILLE THEORY
Now let us suppose that w solves the boundary value problem with data {0, 0, 0} and we
write
w =
1
y
1
+
2
y
2
(5.1.8)
then as above we get
_
B
1
(y
1
) B
1
(y
2
)
B
2
(y
1
) B
2
(y
2
)
__

1

2
_
=
_
0
0
_
and since the coecient matrix is nonsingular we must have
1
=
2
= 0 by (5.1.7).
Conversely, if the BVP with data{0, 0, 0} has only the trivial solution then from (5.1.8)
we conclude that (5.1.7) holds and hence (5.1.6) has a unique solution.
Theorem 5.1.2. The BVP
M(y) = f, x (a, b)
B
1
(y) =
1
, B
2
(y) =
2
has a unique solution if the BVP with data {0,0,0} has only the trivial solution.
Proof. Let u
1
, u
2
be linearly independent solutions of M(y) = 0 and let y
p
be a particular
solution of M(y) = f. Seek a solution of the BVP in the form
y =
1
u
1
+
2
u
2
+ y
p
.
Solve for
1
,
2
such that
B
1
(y) =
1
B
1
(u
1
) +
2
B
1
(u
2
) + B
1
(y
p
) =
1
B
2
(y) =
1
B
2
(u
1
) +
2
B
2
(u
2
) + B
2
(y
p
) =
2
or
_
B
1
(u
1
) B
1
(u
2
)
B
2
(u
1
) B
2
(u
2
)
__

1

2
_
=
_

1
B
1
(y
p
)

2
B
2
(y
p
)
_
.
Since the homogeneous problem has only the trivial solution the matrix is invertible and so
_

1

2
_
=
_
B
1
(u
1
) B
1
(u
2
)
B
2
(u
1
) B
2
(u
2
)
_
1
_

1
B
1
(y
p
)

2
B
2
(y
p
)
_
.
5.2. STURM-LIOUVILLE BOUNDARY VALUE PROBLEMS 9
5.2 Sturm-Liouville Boundary Value Problems
In paractice one often encounters a second order dierential equation in so-called self-adjoint
form and generally one nds that the most common boundary conditions are either separated
or periodic. A second order operator L is in self-adjoint form if
L(y) = (ky

+ g(x)y.
We are particularly interested in BVPs of the form
L(y) + p(x)y = 0, a < x < b, (5.2.9)
B
1
(y) = 0, B
2
(y) = 0, (5.2.10)
where k, k

, g, p are real and continuous on [a, b], and k, p > 0 on [a, b]. The correponding
separated boundary conditions are given by
B
1
(y) =
1
y(a) +
2
y

(a) = 0 (5.2.11)
B
2
(y) =
1
y(b) +
2
y

(b) = 0. (5.2.12)
The BVP (5.2.9)-(5.2.12) is called a Regular Sturm-Liouville Eigenvalue Problem. The values
of for which the BVP has a nontrivial solution are called eigenvalues.
For a general Ly = a
0
y

+ a
1
y

+ a
2
y, the BVP
L(y) + p(x)y = 0
B
1
(y) = 0, B
2
(y) = 0
is said to be self-adjoint provided
_
b
a
[uL(v) vL(u)]dx = 0
for all u, v that satisfy the above boundary conditions (5.2.11)-(5.2.12).
Theorem 5.2.1. The BVP corresponding to the regular SLBVP
L(u) + pu = 0

1
y(a) +
2
y

(a) = 0

1
y(b) +
2
y

(b) = 0
is self-adjoint.
10 CHAPTER 5. STURM-LIOUVILLE THEORY
Proof. Integration by parts yields the so-called Greens formula
_
b
a
[vL(u) uL(v)]dx = k(x) (u

v v

u) |
b
a
P(u, v)|
b
a
(5.2.13)
If u and v satisfy the boundary conditions at x = a, then
_
v(a) v

(a)
u(a) u

(a)
__

1

2
_
=
_
0
0
_
.
Since
2
1
+
2
2
= 0, we have
u

(a)v(a) v

(a)u(a) = 0.
In the same way we see that if u and v satisfy the conditions at x = b, then
u

(b)v(b) v

(b)u(b) = 0.
From this we see that P(u, v)|
b
a
= 0 and the result follows.
Note that the above proof shows, in general, that if u, v satisfy separated B.Cs, then
P(u, v)|
b
a
= 0. The next theorem states that eigenfunctions corresponding to dierent
eigenvalues are orthogonal with respect to the weight p(x).
Theorem 5.2.2. Let (, u), (, v) denote an eigenpair of the RSLBVP,
L(y) + p(x)y = 0

1
y(a) +
2
y

(a) = 0

1
y(b) +
2
y

(b) = 0.
Then
( )
_
b
a
u(x)v(x)p(x)dx = 0,
i.e., u and v are orthogonal with respect to the weight p.
Proof. From Greens formula (5.2.13), we know that
( )
_
b
a
uvp(x)dx =
_
b
a
[u(L(v) v(L(u)] dx =
= k(x) (u

v v

u) |
b
a
= 0.
Theorem 5.2.3. The eigenvalues of the RSLBVP are real.
5.2. STURM-LIOUVILLE BOUNDARY VALUE PROBLEMS 11
Proof. If
L(u) + pu = 0,
then
L(u) + pu = 0,
or
L(u) + pu = 0
and clearly
B
1
(y) = 0 = B
2
(y).
Thus (, ) is an eigenpair and so
( )
_
b
a
uupdx = 0,
or
( )
_
b
a
|u|
2
pdx = 0.
Since p > 0, and |u|
2
0 (since u is an eigenfunction), we must have = .
An eigenvalue is said to be simple if the dimension of the null space of L

is one, i.e.,
the diemnsion of { : L

= 0} is one. Otherwise is a multiple eigenvalue.

Theorem 5.2.4. The eigenvalues of the RSLBVP are simple.
Proof. Suppose u, v are eigenfunctions corresponding to the same eigenvalue . Then
_
u(a) v(a)
u

(a) v

(a)
__

1

2
_
=
_
0
0
_
where u, v satisfy
L(y) + py = 0.
Since
2
1
+
2
2
= 0, the determinant of the coecient matrix must be zero (i.e., the ho-
mogeneous equation has nonzero solutions) and hence u, v must be linearly dependent, i.e,
v(x) = cu(x).
If k(a) = k(b) and instead of the separated boundary conditions, we consider the periodic
boundary conditions,
y(a) = y(b), y

(a) = y

(b),
then Theorems 5.2.1-5.2.3 are still true Theorem 5.2.4 is no longer true.
We have yet to address whether the RSLBVP has any eigenvalues. The following exam-
ples indicate that there are innite, but a countable number, of eigenvalues.
12 CHAPTER 5. STURM-LIOUVILLE THEORY
Example 5.2.5. Find the eigenvalues and eigenfunctions for
y

+ y = 0, 0 < x < l
with the boundary conditions
1. y(0) = 0, y(l) = 0.
If = 0, y(x) = ax + b and the boundary conditions imply a = b = 0. If < 0, say
=
2
, then
y(x) = a sinh(x) + b cosh(x).
Then y(0) = 0 only if b = 0 and y(l) = 0 only if a = 0.
If > 0, say =
2
, then
y(x) = a sin(x) + b cos(x).
and y(0) = 0 if b = 0. To satisfy the boundary condition at x = l we need
a sin(l) = 0.
We get a nontrivial solution if
l = n, n = 1, 2, 3.....
Hence the eigenvalues and eigenfunctions are given by

n
= (n/l)
2
, y
n
(x) = sin(nx/l), n = 1, 2, 3, ...
2. y(0) = 0, y

(l) = 0
As above it is easy to verify that eigenvalues must be positive. If =
2
> 0, then
y(x) = a sin(x) + b cos(x).
and y(0) = 0 if b = 0. The second boundary condition gives
acos(l) = 0
or
l =
_
n +
1
2
_
, n = 0, 1, 2,
or

n
=
__
n +
1
2
_

l
_
2
, n = 0, 1, 2,
and
y
n
(x) = sin
__
n +
1
2
_

l
x
_
.
5.2. STURM-LIOUVILLE BOUNDARY VALUE PROBLEMS 13
3. y

(0) = y

(l) = 0
If = 0, then y = ax + b and y

(0) = y

(l) = 0 if a = 0. Hence the constant

function is an eigenfunction corresponding to the eigenvalue 0. It is easy to verify
than an eigenvalue for this problem cannot be negative. If =
2
> 0, then y(x) =
a cos x + b sin x and y

(0) = 0 if b = 0. Then
y

(l) = asin l = 0
if
l = n, n = 0, 1, 2,
Hence eigenvalues and eigenfunctions are given by

n
=
_
n
l
_
2
, y
n
(x) = sin
_
n
l
x
_
, n = 0, 1, 2,
4. y(0) + y

(0) = 0, y(l) = 0
If =
2
< 0, > 0 then
y(x) = ae
x
+ be
x
and the boundary conditions require that
y(0) + y

(0) = (a + b) + (a b) = 0
y(l) = ae
l
+ be
l
= 0
which implies b = exp(2l)a and
a[(1 e
2l
) + (1 + e
2l
)] = 0.
This can be written as
e
2l
=
1
1 +
and by graphing each side it is easy to see that this equation is satised only when
= 0. Thus we have a = 0 and hence b = 0. If = 0, y = ax + b and the boundary
conditions require that
y(0) + y

(0) = b + a = 0
a(l 1) = 0
If l = 1, then a is arbitrary and an eigenfunction is y(x) = x 1. If l = 1, then
a = 0 and hence b = 0 and so = 0 is not an eigenvalue. If =
2
> 0 then
y = a cos x + b sin x and to satisfy the boundary conditions we need
a + b = 0, a cos l + b sin l = 0
14 CHAPTER 5. STURM-LIOUVILLE THEORY
or
tan l = .
It is easy to see that there are innitely many eigenvalues
n
that satisfy
_

n
= tan
_

n
l
with corresponding eigenfunctions
y
n
(x) = sin
_

n
x
_

n
cos
_

n
x.
5. y(0) = y(l), y

(0) = y

(l)
If =
2
< 0, then
y(x) = a sinh x + b cosh x
and
y(0) = b = y(l) = a sinh l + b cosh l
while
y

(0) = a = y

(l) = acosh l + bsinh l

or
_
sinh l cosh l 1
(cosh l 1) sinh l
__
a
b
_
=
_
0
0
_
.
The determinant of he coecient matrix is 2(cosh l 1) which vanishes only if = 0
and so a = b = 0. If = 0, an obvious eigenfunction is y = 1. If =
2
> 0, then
y(x) = a sin x + b cos x.
We see that
y(0) y(l) = 0 if b (a sin l + b cos l) = 0
and
y

(0) y

(l) = 0 if a (acos l bsin l) = 0

or
_
sin l 1 cos l
(1 cos l) sin l
__
a
b
_
=
_
0
0
_
.
We obtain a nontrivial solution if
sin
2
l (1 cos l)
2
= 0.
5.3. GREENS FUNCTIONS 15
Expanding the second term and simplifying we arrive at cos l = 1 and so
=
2n
l
, n = 1, 2,
In this case a, b are arbitrary and so to each eigenvalue

n
=
_
2n
l
_
n = 1, 2,
there are two linearly independent eigenfunctions
y
n
(x) = a
n
sin
2n
l
x + b
n
cos
2n
l
x
5.3 Greens Functions
In this section we present an elementary introduction to the notion of a Greens function
for the class of regular Sturm Liouville systems studied in the last section. In particular we
interested in solving a RSLBVP when the dierential equation has an extra nonhomogeneous
right hand side. In order to simplify matters a bit, let us assume that the weight function
in the previous sections is p(x) 1, so we consider the BVP

(y) = (ky

+ g(x)y + y = 0, a < x < b

B
1
(y) = 0
B
2
(y) = 0
where
B
i
(y) =
i1
(a) +
i2
y

(a) +
i3
y(b) +
i2
y

(b)
and k C
1
(a, b), k(x) > 0, x [a, b].
Denition 5.3.1. A Greens function for BVP

is a function G(x, , ) for (x, ) [a, b]

[a, b] such that
1. The following hold
(a) G(, , ) is continuous on [a, b] [a, b],
(b)
G
x
(, , ) is continuous on [a, ) (, b], and,
(c)
G(x, , )
x

x=
+
x=

G
x
(
+
, , )
G
x
(

, , ) =
1
k()
16 CHAPTER 5. STURM-LIOUVILLE THEORY
2. for all [a, b], G(x, , ) solves L

(G) = 0, x = .
3. for all (a, b), B
i
(G) = 0.
Theorem 5.3.2. If is not an eigenvalue of BVP

, then the boundary value problem has

a unique Greens function G(x, , ) and it is symmetric, i.e., G(x, , ) = G(x, , ).
Proof. We provide a proof by construction for two special cases, (I.) Separated Boundary
Conditions, (II.) Periodic Boundary Conditions (which are unseparated):
I.) Separated boundary conditions,
B
1
(y) =
1
y(a) +
2
y

(a) = 0
B
2
(y) =
1
y(b) +
2
y

(b) = 0.
Choose u
i
such that L

(u
i
) = 0 and B
i
(u
i
) = 0. This can be done as this amounts to
solving an initial value problem corresponding to initial conditions specied at x = a
and x = b. The solutions u
1
, u
2
must be linearly independent. Indeed, suppose w =
c
1
u
1
+ c
2
u
2
0. Then
B
1
(w) = c
2
B
1
(u
2
) = 0
B
2
(w) = c
1
B
2
(u
1
) = 0.
If B
1
(u
2
) = 0 then u
2
would be an eigenfunction, but is not an eigenvalue. Hence we
must have c
2
= 0. Similarly, c
1
= 0.
Now seek G(x, , ) in the form
G(x, , ) =
_
Au
1
(x) a x
Bu
2
(x) x b.
We need
Au
1
() = Bu
2
()
and
Bu

2
() Au

1
() =
1
k()
.
By Cramers rule, one obtains
A =
u
2
()
k()W(u
1
, u
2
)()
B =
u
1
()
k()W(u
1
, u
2
)()
5.3. GREENS FUNCTIONS 17
and hence
G(x, , ) =
_

_
u
1
(x)u
2
()
k()W(u
1
, u
2
)()
a x
u
1
()u
2
(x)
k()W(u
1
, u
2
)()
x b.
To see that G is symmetric, recall that Abels formula states that
W(u
1
, u
2
)() = W(x
0
) exp
_

_

x
0
k

(x)
k(x)
dx
_
= W(x
0
)
k(x
0
)
k()
.
Hence
W(u
1
, u
2
)()k() = constant.
Example 5.3.3. Find the Greens function for
y

= 0, 0 < x < 1
y(0) = 0, y(1) = 0.
Here L

= L
0
and it is easy to verify that = 0 is not an eigenvalue. Take u
1
(x) =
x, u
2
(x) = x 1 and
W(u
1
, u
2
) =

x x 1
1 1

= 1
Hence
G(x, , ) =
_
x( 1) 0 x
(x 1) x 1.
Example 5.3.4. Find the Greens function for
y

+ y = 0, > 0, 0 < x <

y(0) = 0, y() = 0.
Here we regard L(y) = y

and L

(y) = y

+y. We know the eigenvalues are given by

n
= n
2
, n = 1, 2, 3
If = n, take u
1
(x) = sin

x, u
2
(x) = sin

(x )x. Then
k(0)W(u
1
, u
2
)(0) =

0 sin

cos

sin

18 CHAPTER 5. STURM-LIOUVILLE THEORY

and so
G(x, , ) =
_

sin

x sin

( )

sin

0 x

sin

sin

(x )

sin

x 1.
II.) For our second example we consider the special case of Initial Value Problems. That
is, in the special case in which the boundary conditions reduce to the initial values
B
1
(u) = u(a)
B
2
(u) = u

(a)
In this case we seek
G(x, , ) =
_
0 a x
Au
1
(x) + Bu
2
(x) x
where u
1
, u
2
are linearly independent solutions of L

= 0. In this case the continuity

and jump condition give
Au
1
() + Bu
2
() = 0
and
Au

1
() + Bu

2
() =
1
k()
.
and so
A =
u
2
()
k()W(u
1
, u
2
)()
, B =
u
1
()
k()W(u
1
, u
2
)()
.
Hence
G(x, , ) =
_

_
0 a x
u
1
()u
2
(x) u
1
(x)u
2
()
k()W(u
1
, u
2
)()
x.
Recall that the Heaviside function is dened by
H(x) =
_
1 x > 0
0 x < 0
Let u

(x) denote the solution of

L

(u

(x)) = 0
u

() = 0
u

() =
1
k()
.
5.3. GREENS FUNCTIONS 19
Thus we see that the Greens function for the initial value problem satises
G(x, ) = H(x )u

(x).
Such a Greens function is often referred to as the causal fundamental solution.
For more general boundary conditions, we might seek G(x, ) in the form
G(x, ) = H(x )u

+ Au
1
(x) + Bu
2
(x)
where u
1
, u
2
are linearly independent solutions of L

= 0.
Example 5.3.5. Construct the Greens function for
u

= 0, 0 < x < 1
u(0) + u(1) = 0
u

(0) + u

(1) = 0
Seek
G(x, ) = H(x )u

(x) + Ax + B E(x, ) + Ax + B
where
u

= 0, x > > 0
u

(
+
) = 0, u

(
+
) = 1.
Then
E(x, )) =
_
0 0 x
x x 1
and
B
1
(G) = (E(0, ) + B) + (E(1, ) + A + B)
= 2B + A + (1 + ) = 0,
B
2
(G) = (0 + A) + (1 + A)
Solving, one obtains
A = 1/2, B = 1/4 + /2
and hence
G(x, ) =
_
_
_
1
2
x
1
4
+

2
, 0 x
(x )
1
4
+

2

x
2
, x < 1
or
G(x, ) =
1
4
+
|x |
2
20 CHAPTER 5. STURM-LIOUVILLE THEORY
We now turn to the main application of Greens function in this section. Namely, we
consider the nonhomogeneous BVP.
L

(y) = (ky

+ g(x)y + y = f(x), a < x < b

B
1
(y) = 0
B
2
(y) = 0
where
B
i
(y) =
i1
(a) +
i2
y

(a) +
i3
y(b) +
i2
y

(b)
and k C
1
(a, b), k(x) > 0, x [a, b].
First we recall a classical formula whose general counterpart has far reaching consequences
in the theory of ordinary and partial dierential equations and the theory of weak solutions.
At this point we will only consider a very special case. Namely, given any two functions u
and v, a straightforward calculation gives the so-called Lagrange Identity:
vL

(u) uL

(v) =
d
dx
P(u, v)
where (see (5.2.13))
P(u, v) = k (u

v uv

)
and we note that integration gives the Greens formula
_
b
a
[vL

(u) uL

(v)] = P(u, v)|

x=b
x=a
Let G(x, ) denote the Greens function for the homogeneous BVP

. From Lagranges
identity, for x =
G(x, )L

(y) yL

(G(x, )) =
d
dx
[k(Gy

yG

)]
which implies
_

a
GL

(y)dx = k(Gy

y)]

a
and
_
b

+
GL

(y)dx = k(Gy

y)]
b

+.
5.3. GREENS FUNCTIONS 21
Hence
_
b
a
GL

(y)dx = k(Gy

y)]
b
a
k(Gy

y)]

.
Suppose that B
1
, B
2
are boundary conditions with the property that if u, v satisfy B
1
(u) =
0 = B
2
(v), then
[k(Gy

y)]
b
a
= 0
Let us refer to such boundary conditions as regular boundary conditions. We have seen for
example that separated boundary conditions are regular and regular boundary conditions
result in a self-adjoint boundary value problem. Assume the the boundary conditions are
regular and B
(
y) = B
2
(y) = 0. Then
_
b
a
GL

(y)dx = [k(Gy

y)]

= k[
G
x
(
+
, )
G
x
(

, )]y()
= y().
Thus, formally at least, if y satises L(y) = f, then we should have y(x) =
_
b
a
G(x, , )f() d.
That is, again on a purely formal level, we have
_
b
a
G(x, )L

(y)(x)dx =
_
b
a
L

G(x, )(y)(x)dx = y()

which suggest that L

G(x, ) = (x ), i.e., the solution to

L

(y) = f
B
i
(y) = 0
would be given by
y(x) =
_
b
a
G(x, )f()d
provided that is not an eigenvalue. This is indeed the case and we will argue this for
separated boundary conditions.
Theorem 5.3.6. If is not and eigenvalue of BVP

where the boundary conditions are

separated, that is
B
1
(y) = y(a) + y

(a)
B
2
(y) = y(b) + y

(b),
22 CHAPTER 5. STURM-LIOUVILLE THEORY
then the unique solution of
L

(y) = f
B
1
(y) =
1
, B
2
(y) =
2
is given by
y(x) =

2
B
2
(y
1
)
y
1
(x) +

1
B
1
(y
2
)
y
2
(x) +
_
b
a
G(x, )f()d
where y
1
, y
2
are (not identically zero) solutions of
L(y) = 0
B
1
(y
1
) = 0, B
2
(y
2
) = 0.
(Note that since y
1
and y
2
are not identically zero, we must have B
1
(y
2
) = 0 and B
2
(y
1
) = 0.
Proof. Since B
1
(G) = B
2
(G) = 0,
B
1
(y) =

1
B
1
(y
2
)
B
1
(y
2
) =
1
and similarly B
2
(y) =
2
To see that the nonhomogeneous dierential equation is satised, we consider
u(x) =
_
b
a
G(x, )f()d
=
_
x
a
G(x, )f()d +
_
b
x
G(x, )f()d
Then
u

(x) =
_
x

a
G
x
fd + G(x, x

)f(x

)
+
_
b
x
+
G
x
fd G(x, x
+
)f(x
+
)
=
_
x
a
G
x
(x, )f()d +
_
b
x
G
x
(x, )f()d.
Dierentiating again we have
u

(x) =
_
x

a
G
xx
(x, )f()d + G
x
(x, x

)f(x

)
+
_
b
x
+
G
xx
(x, )f()d G
x
(x, x
+
)f(x
+
).
We need the following observation,
G
x
(x, x

) =
G
x
(x
+
, x)
G
x
(x, x
+
) =
G
x
(x

, x).
5.3. GREENS FUNCTIONS 23
For example, to verify the rst of these claims, note that
G
x
(x, x

) = lim
0
+
G
x
(x, x )
= lim
0
+
lim
h0
G(x + h, x ) G(x, x )
h
.
The partials exist because we are in the open region x > away from the diagonal (x = )
where only one-sided derivatives exist. Moreover, because G is smooth when x > we may
interchange the order of limits to obtain
G
x
(x, x

) = lim
0
+
lim
h0
+
G(x + h, x ) G(x, x )
h
= lim
h0
+
lim
0
+
G(x + h, x ) G(x, x )
h
= lim
h0
+
G(x + h, x) G(x, x)
h
=
G
x
(x
+
, x)
Similarly for the other statement. Hence we have
u

(x) =
_
b
a
G
xx
(x, )f()d + [G
x
(x+, x) G
x
(x

, x)]f(x

)
=
_
b
a
G
xx
(x, )f()d + f(x)/k(x).
Thus
L

(u) = ku

+ k

+ gu + u
=
_
b
a
_
k(x)G
xx
(x, ) + k

(x)G
x
(x, ) + g(x)G(x, )
+ G(x, )
_
f()d +
k(x)f(x)
k(x)
=
_
b
a
L

G(x, )y() d + f(x)

= f(x)
since L

(G) = 0.
24 CHAPTER 5. STURM-LIOUVILLE THEORY
Recall that we previously argued that the nonhomogeneous BVP
L(y) = f
B
1
(y) =
1
, B
2
(y) =
2
has a unique solution if the BVP with the data 0, 0, 0 has only the trivial solution. In light
of the previous theorem we see that this is merely the statement that if = 0 is not an
eigenvalue of BVP

, the nonhomogeneous BVP is uniquely solvable.

Theorem 5.3.6 is often phrased in the following equivalent form: Either the BVP
L

(u) = f
B
1
(u) =
1
, B
2
(u) =
2
has a unique solution for each f or else the associated homogeneous problem has a nontrivial
solution. This statement is referred to as the Fredholm Alternative.
Our results do not say that if is an eigenvalue the nonhomogeneous BVP is not solvable,
and we address this situation now. First consider the analogy from linear algebra.
Remark 5.3.7. Suppose A is an n n matrix and we want to solve Ax = b. Then we have
Theorem: (uniqueness) The solution to Ax = b (if it exists) is unique if and only if Ax = 0
implies that x = 0.
On the other hand the Fredholm Alternative gives an explicit criteria for existence.
Theorem: (existence) The equation Ax = b has a solution if and only if < b, v >= 0 for
every v satisfying A

v = 0.
Now suppose A = A
T
and let M = A I. Then M
y
() = f is solvable if and only if
f N(M
T
) (the nullspace of M
T
). Since M
T
= M and N(M) = {v|Av = v}, we have
(AI)y = f is solvable if and only if y v, where Av = v. That is, if is an eigenvalue
of A, then (A I)y = f has a solution if and only if f is orthogonal to the eigenspace
corresponding to .
For the dierential operator L

we have an analogous result. Again, we restrict our

attention to separated boundary conditions.
Theorem 5.3.8. Suppose that (, v) is an eigenpair for
L

(y) = 0
B
i
(y) = 0, i = 1, 2.
Then the nonhomogeneous problem
L

(y) = f, B
i
(y) = 0, i = 1, 2,
has a solution if and only if
_
b
a
f(x)v(x)dx = 0.
5.3. GREENS FUNCTIONS 25
Proof. Suppose u is a solution of the nonhomogeneous problem. Since u, v satisfy the ho-
mogeneous boundary conditions, we have
P(u, v) = k(uv

v)

b
a
= 0
Greens formula (5.2.13) gives
_
b
a
vfdx =
_
b
a
[0 vf] dx =
_
b
a
[uL

(v) vL

(u)]dx = 0.
Now suppose
_
b
a
vfdx = 0 and let us choose u to the IVP solve L

(u) = f with the initial

conditions
u(a) = v(a), u

(a) = v

(a).
Then B
1
(u) = 0 since B
1
(v) = 0. We need to show that B
2
(u) = 0 =
1
u(b) +
2
u

(b).
Greens formula gives
_
b
a
vfdx =
_
b
a
[uL

(v) vL

(u)]dx = k[uv

vu

]|
b
a
.
But we already know that B
1
(u) = 0 so this gives
0 =
_
b
a
vfdx = k(b)[u(b)v

(b) v(b)u

(b)].
Since
2
1
+
2
2
= 0, without loss of generality assume
1
= 0. If
2
= 0, then
1
v(b) = 0 so
v(b) = 0 and hence u(b) = 0 and so B
2
(u) = 0. If
2
= 0, then
1
/
2
v(b) = v

(b). Since v
is a nontrivial solution of L

(y) = 0, we see from the previous relations that v(b) = 0 and

v

(b) = 0. Thus is follows that

u(b) =
v(b)u

(b)
v

(b)
and so

1
u(b) +
2
u

(b) =
1
v(b)
v

(b)
u

(b) +
2
u

(b)
= u

(b)
_

1
v(b)
v

(b)
+
2
_
= 0
and hence B
2
(u) = 0. Thus u solves the nonhomogeneous boundary value problem.
26 CHAPTER 5. STURM-LIOUVILLE THEORY
Exercises for Chapter 5
1. Consider
k
0
y

+ g(x)y = 0 ()
where
k
0
> 0, 0 < g
1
< g(x) < g
2
.
If z
1
, z
2
are consecutive zeros of a solution to (*), show that

k
0
g
2
(z
2
z
1
)

k
0
g
1
.
2. Suppose that y(x) is a solution of
y

+ a(x)y = 0.
(a) If a(x) m > 0, x
0
x , show that y(x) has innitely many zeros but if
a(x) < 0, x
0
x , then y(x) has at most one zero.
(b) If
lim
x
a(x) = a
0
> 0,
prove that the distance between consecutive zeros tends to /

a
0
as the zeros
tend to innity.
3. Find the eigenvalues and eigenfunctions of u

+u = 0 with the boundary conditions:

(a) u(0) = u(1) = 0,
(b) u

(0) = u

(1) = 0,
(c) u(0) = 0, u(1) u

(1) = 0 .
4. Find the Greens function for
y

2
y = 0, y

(0) = 0, y(1) = 0, > 0.

5. Find the eigenvalues and eigenfunctions for the following boundary value problem and
then construct the Greens function.
d
dx
_
x
dy
dx
_
+

x
y = 0, 1 < x < e
u(1) = 0, u(e) = 0.
5.3. GREENS FUNCTIONS 27
6. Do parts a) through c):
(a) Show that the eigenvalues and eigenfunctions of the boundary value problem
d
dx
_
(1 + x)
2
d
dx
(u)
_
+ u = 0, 0 < x < 1
u(0) = u(1) = 0
are given by

n
=
_
n
ln 2
_
2
+
1
4
, n = 1, 2, 3, . . .
u
n
(x) =
sin ((n ln(1 + x))/(ln 2))

1 + x
.
(b) Construct the Greens function for this problem.
(c) If
f(x) =
1

1 + x
, =
1
4
+
_

ln 2
_
2
,
does
L(u) + u = f(x)
u(0) = u(1) = 0
have a solution? If so, is it unique?
28 CHAPTER 5. STURM-LIOUVILLE THEORY
Bibliography
[1] D.A. Sanchez, Ordinay Dierential Equations and Stability Theory: An Introduction,
W.H. Freeman and Company, 1968.
[2] F. Brauer, J.A. Nohel, Qualitative Theory of Ordinary Dierential Equtions, Dover,
1969.
[3] I. Stakgold, Greens Functions and Boundary Value Problems, Wiley-Interscience,
1979.
[4] H. Sagan, Boundary and Eigenvalue Problems in Mathematical Physics, J. Wiley &
Sons, Inc, New York, 1961.
29