LECTURE 1

Table of Contents

• Two special equations: Bessel’s and Legendre’s equations. p. 259-268.

• Fourier-Bessel and Fourier-Legendre series. p. 453-460.

• Boundary value problems in other coordinate system. Laplace’s equation in polar coordi-
nates. p. 504-507.

• Exercises: 11.5.1-3, 11.5.1-4, 11.5.1-5, 13.1-6

Two special equations: Bessel’s and Legendre’s equations

The following linear, homogeneous differential equations of the 2nd order play an important role
in mathematical physics

x2 y 00 + xy 0 + (x2 − ν 2 )y = 0 , ν ∈ [0, ∞) , x ∈ [0, ∞) (1)

(1 − x2 )y 00 − 2xy 0 + n(n + 1)y = 0 , n = 1, 2, . . . , x ∈ (−1, 1) (2)

Eqs. (1) are named the Bessel differential equation and the Legendre differential equation, respec-
tively. The solutions of Bessel’s equations often appear for problems with rotational symmetry,
which are formulated in polar coordinates. Similarly, solutions to Legendre’s equation appear in
spherical symmetric problems formulated in spherical coordinates. The general solution of (1) and
(2) both have the form, cf. Theorem 4.2, p. 130

y(x) = c1 y1 (x) + c2 y2 (x) (3)

y1 (x) and y2 (x) are linearly independent solutions to the homogeneous differential equations, and
c1 and c2 are arbitrary constants. One should compare the Bessel equation (1) with the correspond-
ing Cauchy-Euler equation, see p. 173

x2 y 00 + xy 0 − ν 2 y = 0 (4)

The two differential equations are identical save the coefficient of y(x). However, for ν 6= 0 even
these factors become identical for x → 0. Hence, the solutions of (1) and (4) for ν 6= 0 should
become asymptotically identical as x → 0.

For ν ∈ [0, ∞) , ν 6= 0, 1, 2, . . . (i.e. ν is not integer valued) a fundamental solution system to the
Bessel equation can be shown to be

1
 ∞
X (−1)n ³ x ´2n+ν
y1 (x) = Jν (x) = (5)
n! Γ(1 + ν + n) 2
n=0

∞
X (−1)n ³ x ´2n−ν
y2 (x) = J−ν (x) = (6)
n! Γ(1 − ν + n) 2
n=0

Jν (x) is known as the Bessel function of the first kind and order ν. Γ(x) signifies the so-called
gamma function defined as, see App. 1.

Z ∞
Γ(x) = e−t tx−1 dt (7)
0

The gamma function fulfills the fundamental relation Γ(x) = (x − 1)Γ(x − 1), which can be
proved by integration by parts of (7). Obvious, Γ(1) = 1. For n = 2, 3, . . . the following relation
may then be derived recursively

Γ(n) = (n − 1)! (8)

The series solutions (5) and (6) have been systematically derived in the textbook. Alternatively,
the validity of these series may be proved simple by insertion into (1). Obviously, y1 (x) and y2 (x)
become identical for ν = 0. Actually, for integer valued ν = n it can be shown that Jn (x) and
Jn (x) become linearly dependent as follows

J−n (x) = cos(nπ)Jn (x) = (−1)n Jn (x) (9)

If ν = 0, 1, 2, . . . we can still use the solution (5). A linear independent solution can in this case
be constructed from the limit passing

cos(νπ)Jν (x) − J−ν (x)

Yn (x) = lim (10)
ν→n sin(νπ)

Throughout the limit passing the right hand side is a linear combination of the solutions J−ν (x)
and Jν (x). Hence, the Bessel equation is fulfilled at any time during the limit passing. Both the
numerator and the denominator becomes zero in the limit as seen from (9). However, a finite limit
value Yn (x) can be shown to exist, which also must be a solution to the Bessel equation. Yn (x) is
known as the Bessel function of the second kind and order n. A series solution similar to (5) and
(6) can also be derived for these functions.

2
The graphs of the lower order Bessel functions J0 (x), J1 (x), Y0 (x), Y1 (x) have been shown on
Fig. 1, along with the asymptotic form of the series solutions valid in the vicinity of x = 0

The following recursive formulas can be derived, see p. 264-265

ν 
Jν0 (x) = Jν (x) − Jν+1 (x) 

x 



n 
0
Yn (x) = Yn (x) − Yn+1 (x) 
x (11)


J00 (x) = −J1 (x) 





0
Y0 (x) = −Y1 (x)

Next, x is replaced with λx and dx with λdx in (1). This leads to the so-called parametric Bessel
equation of order ν

x2 y 00 + xy 0 + (λ2 x2 − ν 2 )y = 0 (12)

For ν = 0, 1, 2, . . . the solution becomes

y(x) = c1 Jn (λx) + c2 Yn (λx) (13)

(12) can be written in the self-adjoint form

d¡ 0 ¢ ³ 2 n2 ´
xy (x) + λ x − y(x) = 0 (14)
dx x

where ν = n has been assumed. (14) is recognized as a differential equation for a Sturm-Liouville
problem with r(x) = x, p(x) = x and q(x) = −n2 /x, see Box 1. The differential equation (14)
is solved in the interval (0, b). Since, r(0) = 0 the problem is singular at x = 0. Assume the
following boundary condition of Sturm-Liouville type is prescribed for solutions of (14) at x = b

A2 y(b) + B2 y 0 (b) = 0 (15)

It then follows from (20) that the eigenfunctions yi (x) of (14), satisfying the boundary condition
(15), fulfills the orthogonality condition (21) in Box 1 (with a = 0). Of the two solution Jn (λi x)
and Yn (λi x) only Jn (λi x) is bounded at x = 0. Here and in what follows we shall only consider
problems for which the eigenfunctions are of bounded variations, so yi (x) = Jn (λi x). Then,
Jn (λi x) are seen to be orthogonal with respect to the function p(x) = x over the interval [0, b] as
follows

3
 Z b
xJn (λi x)Jn (λj x)dx = 0 , λi 6= λj (16)
0

The boundary condition (15) attains the form

A2 Jn (λb) + B2 λJn0 (λb) = 0 (17)

In (17), A2 and B2 are given from the physics of the problem. Further, the chain rule has been
d d
used, dx Jn (λx) = Jn0 (λx) dx (λx) = λJn0 (λx). Here and in what follows Jn0 (·) denotes differen-
tiation with respect to the argument. Eigenvalues λi are determined as solutions of λ fulfilling (17).

For i = j the integral (16) can be evaluated analytically, based on simple manipulations of the
differential equation (14), see p. 456. With y(x) = Jn (λx), the result becomes

Z b
1 ³ ´2 1 µ ¶
n2 ³ ´2
x Jn2 (λx) dx = b2 Jn0 (λb) + b2 − 2 Jn (λb) (18)
0 2 2 λ

a) b) ³ x ´2
J0 (x) = 1 − + ···
2
x 1 ³ x ´3
J1 (x) = − + ···
2 2 2
2 x
Y0 (x) = ln + · · ·
π 2
21
Y1 (x) = − + ···
πx
Fig.1: a) Bessel functions of the first kind. b) Bessel functions of the second kind.

Fig. 2: Legendre polynomials.

4
Box 1: Sturm-Liouville Problems, p. 449

A Sturm-Liouville problem is defined by the two-point boundary value problem



 d¡ ¢ ¡ ¢

 r(x)y0 + q(x) + λp(x) y(x) = 0 , x ∈ (a, b)
 dx
A1 y(a) + B1 y 0 (a) = 0 (19)




 A y(b) + B y 0 (b) = 0
2 2

where p, q, r and r0 are continuous functions on the closed interval [a, b], and r(x) > 0
and p(x) > 0 in the open interval (a, b). Obviously, (19) has the trivial solution y(x) ≡ 0.
Non-trivial
¡ solutions
¢ y1 (x), y2 (x), . . . exist for discrete values λ1 , λ2 , . . . of the parameter
λ. λi , yi (x) represent the eigensolutions of the problem. ¡ Based
¢ on¡ (19) the ¢ following
identity may be proved for two different eigensolutions λi , yi (x) , λj , yj (x) , cf. p.450

Z b
¡ ¢
λi − λj p(x)yi (x)yj (x)dx =
a
³ ´ ³ ´
r(b) yi (b)yj0 (b) − yj (b)yi0 (b) − r(a) yi (a)yj0 (a) − yj (a)yi0 (a) (20)

The terms within the brackets on the right hand side of (20) vanish due to the boundary
conditions in (19). Then, the following orthogonality condition of the eigenfunctions prevail

Z b
p(x)yi (x)yj (x)dx = 0 (21)
a

Hence, the eigenfunctions of the Sturm-Liouville problem (19) are orthogonal over the
interval of definition weighted with the function p(x).

If r(a) > 0 and r(b) > 0 we talk about a regular Sturm-Liouville problem. In this case both
the boundary conditions in (19) are necessary in order to prove the orthogonality condition
(21).

However, if r(a) = 0 or r(b) = 0 it becomes indifferent whether the terms within the brack-
ets on the right hand side of (20) vanish. Hence, if r(a) = 0 or r(b) = 0 the corresponding
boundary condition at x = a or x = b needs not be fulfilled of eigenfunctions of the dif-
ferential equation, in order that the orthogonality condition (21) is valid. Such problems are
referred to as singular Sturm-Liouville problems.

5
For Legendre’s equation with the parameter n one solution can be shown to be an nth degree
polynomial

y1 (x) = Pn (x) = an xn + an−1 xn−1 + · · · + a1 x + a0 (22)

The coefficients an , an−1 , . . . , a1 , a0 are determined so Legendre’s differential equation is ful-

filled. Additional, another solution y2 (x) in terms of an infinite polynomial series may be derived.
The systematic derivation of y1 (x) and y2 (x) has been performed in the textbook, but is not that
interesting.

Pn (x) is denoted the Legendre polynomial of order n. The lower order Legendre polynomials are


P0 (x) = 1 , P1 (x) = x 


1¡ 2 ¢ 1¡ 3 ¢ 

P2 (x) = 3x − 1 , P3 (x) = 5x − 3x (23)
2 2 
1¡ ¢ 1¡ ¢


P4 (x) = 35x4 − 30x2 + 3 , P5 (x) = 63x − 70x + 15x 
5 3
8 8

The graph of the functions have been shown on Fig. 2. As seen all polynomials pass through the
point (1, 1). Further, Legendre polynomials of even order n are symmetric around the y−axis,
whereas the polynomials of odd order are all skew symmetric. The validity of the results (23) can
be proved by insertion of y(x) = Pn (x) into the relevant version of (2). The first few of these are


n=0: (1 − x2 )P000 − 2xP00 = 0 



n=1: (1 − x )P1 − 2xP1 + 2P1 = 0 
2 00 0 
(24)
n=2: (1 − x2 )P200 − 2xP20 + 6P2 = 0 




n=3: (1 − x )P − 2xP + 12P = 0 
2
3
00 0
3 3

It is not necessary to know the explicit expression for the Legendre polynomials in order to evaluate
function values. These are more efficiently obtained from the recurrence relation, p. 267

2k + 1 k
Pk+1 (x) = xPk (x) − Pk−1 (x) , k = 1, 2, . . . (25)
k+1 k+1

As an example, (25) provides for k = 1:

3 1 3 1
P2 (x) = xP1 (x) − P0 (x) = x · x − · 1 (26)
2 2 2 2

Eq. (2) can be written in the following self-adjoint form

6
 d³ ´
(1 − x2 )y 0 + n(n + 1)y = 0 , x ∈ (−1, 1) (27)
dx

The equivalence of (2) and (27) follows by carrying out the differentiation in (27). (27) is recog-
nized as a differential equation for a Sturm-Liouville problem with r(x) = (1 − x2 ), p(x) = 1,
q(x) = 0 and λ2 = n(n + 1), see Box 1. Since, r(−1) = r(1) = 0 the problem is singular at both
the boundaries x = −1 and x = 1. Then, the orthogonality condition (21) with a = −1, b = 1 and
p = 1 is fulfilled for any non-trivial solution yn (x) to (27), whatever boundary conditions these
may fulfill at x = ±1. Hence, the Legendre polynomials Pn (x) are orthogonal with respect to the
weight function p(x) = 1 over the interval [−1, 1], i.e.

Z 1
Pm (x)Pn (x) dx = 0 , m 6= n (28)
−1

For m = n the integral (28) can be evaluated analytically, p. 459

Z 1
2
Pn2 (x) dx = (29)
−1 2n + 1

Fourier-Bessel and Fourier-Legendre series

Bessel functions of the first kind Jn (λi x), and the Legendre polynomials Pn (x) have been shown
to be eigenfunctions to special, singular Sturm-Liouville eigenvalue problems. Then, it follows
that it is possible to expand a function defined on the interval of the said eigenvalue problem into
a generalized Fourier series after these eigenfunctions.

Fourier-Bessel series

We want to expand the function f (x), x ∈ [0, b] after the function system {Jn (λ1 x), Jn (λ2 x), . . .},
where the order n is common for all functions. These deviates by the eigenvalues, which are de-
termined as solutions to (17). The expansion reads

∞
X
f (x) = cj Jn (λj x) (30)
j=1

(30) is multiplied with r(x)Jn (λi x) = xJn (λi x), followed by an integration over the interval
[0, b]. From the orthogonality condition (16) follows

7
 Z b ∞
X Z b
x Jn (λi x) f (x) dx = cj x Jn (λi x)Jn (λj x) dx ⇒
0 j=1 0
Rb Rb
x J n (λ i x) f (x) dx 2 0 x Jn³
(λi x) f (x) dx
ci = 0 R b = ¡ ¢2 ´¡ ¢2 (31)
x J 2 (λi x) dx b2 J 0 (λ b) + b2 − n2 J (λ b)
0 n n i λ 2 n i
i

where (18) has been used. From (17) follows that

h bA2
Jn0 (λi b) = − Jn (λi b) , h= (32)
bλi B2

Then (31) can be written as

Rb
2λ2i
0 x Jn (λi x) f (x) dx
ci = ¡ ¢¡ ¢2 (33)
h − n2 + b2 λ2i Jn (λi b)
2

The boundary condition (32) with the result (33) for the Fourier-Bessel expansion coefficients is
referred to as Case II, p. 457.

Assume that B2 = 0 in (17), corresponding to the boundary condition

Jn (λi b) = 0 (34)

Then, from the recurrence relation (11) follows that

n
Jn0 (λi b) = Jn (λi b) − Jn+1 (λi b) = −Jn+1 (λi b) (35)
λi b

By the use of (34) and (35), (31) reduces to

Rb Rb
2 0 x Jn (λi x) f (x) dx 2 0 x Jn (λi x) f (x) dx
ci = ¡ ¢2 = ¡ ¢2 (36)
b2 Jn0 (λi b) b2 Jn+1 (λi b)

The boundary condition (34) with the result (36) for the Fourier-Bessel expansion coefficients is
referred to as Case I, p. 456.

Finally, assume that A2 = 0 and n = 0 in (17), corresponding to the boundary condition

J00 (λi b) = 0 ⇔ J1 (λi b) = 0 (37)

8
where (11) has been used. Since, J1 (0) = 0 it follows that λ1 = 0 is an eigenvalue to the boundary
condition (37). For λ2 , λ3 , . . ., which are all non-zero, (31) reduces to

Rb
2 0 x J0 (λi x) f (x) dx
ci = ¡ ¢2 , i = 2, 3, . . . (38)
b2 J0 (λi b)

For i = 1 the first statement in (31) for n = 0 and λ1 = 0 provides

Rb Rb Z b
0 x J0 (0 · x) f (x) dx 0 x f (x) dx 2
c1 = Rb = Rb = 2 x f (x) dx (39)
x J 2 (0 · x) dx b
0 0 0 x dx 0

where the result J0 (λ1 x) = J0 (0 · x) ≡ 1 has been used. The boundary condition (37) with the
results (38), (39) for the Fourier-Bessel expansion coefficients is referred to as Case III, p. 457. In
this case the Fourier-Bessel series (30) becomes

∞
X
f (x) = c1 + cj J0 (λj x) (40)
j=2

Fourier-Legendre series

We want to expand the function f (x), x ∈ [−1, 1] after the function system {P0 (x), P1 (x), P2 (x), . . .}.
The expansion reads

∞
X
f (x) = cn Pn (x) (41)
n=0

(41) is multiplied with Pm (x), followed by an integration over the interval [−1, 1]. From the
orthogonality condition (28) follows
Z 1 ∞
X Z 1
Pm (x) f (x) dx = cn Pm (x)Pn (x) dx ⇒
−1 n=0 −1
R1 Z 1
−1 Pm (x) f (x) dx 2m + 1
cm = R1 = Pm (x) f (x) dx , m = 0, 1, 2, . . . (42)
2 2
−1 Pm (x) dx −1

where (29) has been used. (41) is a power series quite similar to an truncated Taylor expansion.
The difference is that (41) exists even for a non-analytical function, for which a Taylor expansion
pr. definition does not exist.

9
Fig. 3: Fourier-Legendre approximation to non-analytical functions.

Fig. 3 shows a Fourier-Legendre approximation function truncated after the 5th term to a non-
analytical (different Taylor expansions exist for the two branches).

Theorem 11.5: Conditions for Convergence

If f (x) and f 0 (x) are piecewise continuous on the open intervals (0, b) or (−1, 1), then the
Fourier-Bessel series or the Fourier-Legendre series converge to f (x) at any point, where f (x) is
continuous, and to the average 21 [f (x− ) + f (x+ )] at a point, where f (x) is discontinuous.

10
Box 2: Gradient vector and Laplace operator in polar coordinates

Fig. 4: Differentials in polar and Cartesian coordinates.

By use of simple projections the following relations between the polar differentials dr, rdθ
and the Cartesian differentials dx and dy can be established
 ∂r ∂r
) 
dr = cos θdx + sin θdy  ∂x =
 cos θ ,
∂y
= sin θ
⇒ (43)
rdθ = − sin θdx + cos θdy 
 ∂θ 1 ∂θ 1
 = − sin θ , = cos θ
∂x r ∂y r

u = u(r, θ) is considered a function of r and θ. By the use of the chain rule of partial
differentiation the following result is obtained for the components of the gradient vector in
polar coordinates

∂u ∂u ∂r ∂u ∂θ ∂u 1 ∂u 
= + = cos θ − sin θ 

∂x ∂r ∂x ∂θ ∂x ∂r r ∂θ 
(44)
∂u ∂u ∂r ∂u ∂θ ∂u 1 ∂u 

= + = sin θ + cos θ 
∂y ∂r ∂y ∂θ ∂y ∂r r ∂θ 

Partial differentiation of the gradient components in (44) with respect to x and y and use of
the chain rule provides

∂2u 1 2 ∂u 2 ∂ u
2 1 ∂2u 2 ∂u 
= sin θ + cos θ 2 − cos θ sin θ + cos θ sin θ −
∂x2 r ∂r ∂r r ∂r∂θ r2 ∂θ  


2 2 

1 ∂ u 1 2 ∂ u 

cos θ sin θ + 2 sin θ 2 

r ∂r∂θ r ∂θ 
(45)
∂2u 1 ∂u ∂ 2u 1 ∂ 2u 2 ∂u 


= cos2 θ + sin2 θ 2 + cos θ sin θ − cos θ sin θ +
∂y 2 r ∂r ∂r r ∂r∂θ r2 ∂θ  



1 2
∂ u 1 ∂ 2 u 

cos θ sin θ 2
+ 2 cos θ 2 

r ∂r∂θ r ∂θ
finally, addition of the components in (45) provides the following result for the Laplace
operator in polar coordinates
∂2u ∂2u ∂ 2 u 1 ∂u 1 ∂2u
∇2 u = + = + + (46)
∂x2 ∂y 2 ∂r2 r ∂r r2 ∂θ2

11
Boundary value problems in other coordinate system. Laplace’s equation in polar coordi-
nates

Fig. 5: Laplace boundary value problems in Cartesian and polar coordinates.

In Section 12.2 we learned how to solve Laplace’s differential equation for a rectangular domain
by means of the separation method. The method require, that homogeneous boundary conditions
(either Dirichlet of Neumann conditions) are prescribed on two opposite sides.

In this lecture we shall learn how to solve the same equation within a segment or the entire of a
ring shaped domain with inner radius r0 and outer radius r1 . It turns out to be favorable to solve the
problem in polar coordinates. Then we consider u = u(r, θ) as a function of the polar coordinates
r and θ. Hence, the first problem is to express the Laplace operator in these coordinates. The
derivations is described in Box 2, and the result becomes

∂2u ∂2u ∂ 2 u 1 ∂u 1 ∂2u

∇2 u = + = + + =0 (47)
∂x2 ∂y 2 ∂r2 r ∂r r2 ∂θ2

Next, the boundary value problem defined in Fig. 5 can be solved by the separation method. We
search for product solutions to (47) of the type

u(r, θ) = R(r)Θ(θ) (48)

Insertion in (47) provides

∂ 2 u 1 ∂u 1 ∂2u 1 1
∇2 u = 2
+ + 2 2
= R00 (r)Θ(θ) + R0 (r)Θ(θ) + 2 R(r)Θ00 (θ) = 0 ⇒
∂r r ∂r r ∂θ r r
r2 R00 (r) + rR0 (r) Θ00 (θ)
=− = λ2 (49)
R(r) Θ(θ)

In the last statement of (49) the left hand side of the equation is a function of r, whereas the
right hand side is a function of θ. This is only possible if both sides are equal to a constant λ2 ,
the so-called separation constant, which here at first is assumed to be positive real. Then, (49) is
equivalent to the following ordinary differential equations

12
 r2 R00 (r) + rR0 (r) − λ2 R(r) = 0 (50)

Θ00 (θ) + λ2 Θ(θ) = 0 (51)

(51) has the solution

Θ(θ) = c1 cos(λθ) + c2 sin(λθ) (52)

(50) is a differential equation of Cauchy-Euler’s type, see p. 173. The solution is given as

R(r) = c3 rλ + c4 r−λ (53)

The eigenvalues λ1 , λ2 , . . . of the parameter λ is determined by (52) by insertion into the homoge-
neous boundary conditions at θ = 0 and θ = θ0 . By use of the superposition principle the general
solution can be written

∞ ³
X ´³ ´
u(r, θ) = c1,n cos(λn θ) + c2,n sin(λn θ) c3,n rλn + c4,n r−λn (54)
n=1

we shall make a distinction between the following cases:

1 : Normal case : r0 > 0 , r1 < ∞ , θ0 < 2π


 a) r0 = 0 ⇒ c4 = 0





 (r−λ → ∞ , r → 0)




 b) r = ∞ ⇒ c = 0
1 3
2 : Degenerated cases :

 λ
(r → ∞ , r → ∞)







 c) θ0 = 2π ⇒ λn = n

 ¡ ¢
u(r, θ) = u(r, θ + 2π)

13
Example: Dirichlet boundary values
The normal case is considered. u(r, 0) = 0, u(r, θ0 ) = 0 implies Θ(0) = 0, Θ(θ0 ) = 0. Insertion
of the solution (52) into the indicated boundary conditions provides


c1 cos(λ · 0) + c2 sin(λ · 0) = 0 ⇒ c1 = 0 
nπ (55)
c2 sin(λθ0 ) = 0 ⇒ λn θ0 = nπ ⇒ λn = 
θ0

Then, the solution (54) reduces to

∞ ³
X ´ µ ¶
nπ
− nπ θ
u(r, θ) = An r 0 + Bn r 0 sin nπ
θ θ (56)
θ0
n=1

An = c2 c3 and Bn = c2 c4 are determined from the non-homogeneous boundary conditions at

r = r0 and r = r1 .

14