Class 4: Boundary Value Problems: Sturm Liouville Theory

Linear operators and eigenvalues in function space

We saw how to define differential operators in function space:

df
D1 |f i = D1 f (x) = .
dx
Also combinations of differential operators make up linear operators: for exmaple,
a general form of a second order differential operator is
d2 f df
M|f i = A(x) 2
+ B(x) + C(x)f (x)
dx dx
with A, B, C functions. In this chapter we shall use linear spaces, eigenvalues,
eigenvectors and expansions in orthogonal function sets (like the Fourier Series),
to applications for solving differential equations on finite intervals with specified
boundary conditions. These are known as ”boundary value problems”.

Example 1: Solve the boundary value problem

y 00 + 4 y = 0, 0 ≤ x ≤ 2π
y(0) = 0 (1)
y(2π) = 0.
Solution: y(x) = A sin(2x).

Example 2: Solve the boundary value problem

y 00 + 3 y = 0, 0 ≤ x ≤ 2π
y(0) = 0 (2)
y(2π) = 0.
Solution: The only solution is the trivial one y(x) = 0.
The difference between the two problem motivates us to ask more generally: for
which values of λ does the boundary value problem has a nonzero solution:

y 00 + λ y = 0, 0 ≤ x ≤ 2π
y(0) = 0 (3)
y(2π) = 0.

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 This is an eigenvalue problem: if we define the operator M = d2 /dx2 , then the
differential equation is

M |yi + λ|yi = 0; or M |yi = −λ|yi.

It is customary to write the eigenvalue part in the left-hand-side of the equation.

Let us now solve the general problem Eq. (3). The general solution is
√ √
y(x) = a1 cos( λx) + a2 sin( λx)

And inserting the boundary conditions,

y(0) = 0 → a1 = 0
√ (4)
y(2π) = 0 → a2 sin( λ2π) = 0

Using the fact that zeros of sin(θ) are found at arguments θ = πn, we conclude
that the second boundary condition is satisfied by and infinite set of values - all λ-s
√
that obey λ = θ = πn. This defines the countably infinite set of eigenvalues and
eigenfunctions:
 n 2 n 
λn = → yn (x) = an sin x n = 1, 2, 3... (5)
2 2
Can there be also negative eigenvalues? it can be shown that, although the differ-
ential equation has solutions with negative λ-s, these cannot satisfy the boundary
conditions. Therefore, This is a full solution to our problem: we have found all val-
ues of λ (eigenvalues) for which the boundary value problem Eq. (3) can be solved,
and for each - the function that solves it (eigenfunction).

Sturm-Liouville Theory

A Sturm-Liouville (S-L) operator is a differential operator of the form

 
d d 0
L= p(x) + q(x), or Ly = [p(x)y 0 ] + q(x)
dx dx
where p(x), q(x) are functions. This looks like a special form, but in fact any second
order linear differential equation can be cast in this form. It defines a boundary
value problem by the following generalized differential equation:

L|yi + λω(x)|yi = 0, +B.C.

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where ω(x) is a weight function that generalizes the notion of an eigenvalue equa-
tion (previously we had ω(x) = 1). Identifying the different players p, q, λ, ω will
help us set up the solution to the problem.
A regular Sturm-Liouville system is defined by the equations and conditions:

[p(x)y 0 ]0 + q(x) + λ ω(x)y = 0, a ≤ x ≤ b,

0
c1 y(a) + c2 y (a) = 0,
d1 y(b) + d2 y 0 (b) = 0, (6)
(c1 , c2 ) 6= (0, 0), (c1 , c2 ) 6= (0, 0)
p, p‘, q, ω continuous and p, ω > 0 on [a, b].

Example 1: y 00 + λ y = 0, 0 ≤ x ≤ 2π, y(0) = 0, y(2π) = 0

is a regular S-L problem with ω(x) = 1, p(x) = 1, q = 0.

Example 2: Ly = (1 − x2 )y 00 − 2xy 0 + λy is a S-L operator. To see this, write

0
(1 − x2 )y 00 − 2xy 0 = (1 − x2 )y 0


and identify ω(x) = 1, p(x) = 1 − x2 , q = 0.

Example 3: Ly = x2 y 00 + x y 0 + (λ2 x2 − m2 ) y = 0, 0 ≤ x ≤ a.
The operator can be cast into a S-L form by using x[xy 0 ]0 = x2 y 00 + x y 0 . Then
dividing the equation by x we find
m2
[xy 0 ]0 − y + λ2 xy = 0.
x
which can be identified as a S-L problem with p(x) = x, q(x) = −m2 /x, ω(x) = x.
However, it is not a regular system since ω(0) = 0 and p(0) = 0. We will return
to this special equation - known as the Bessel equation - later on, because of its
importance in engineering applications.

Sturm Liouville Theorem: A Sturm-Liouville regular system defined on the space

of smooth functions f (x), x ∈ [a, b] with the inner product
Z b
hf |gi = f (x)g(x)ω(x)dx
a

has the following properties:

1. L is a self-adjoint (Hermitian) operator.

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 2. L has a countable, infinite, increasing set of real eigenvalues:

λ1 < λ2 < λ3 ... < λn ..., lim λn = ∞

n→∞

3. All eigenvalues are simple: each λn correspond to unique eigenfunction φn (x).

4. Different λ-s belong to orthogonal eigenfunctions.

5. The set of eigenfunctions constitutes an orthogonal basis. If normalized, they

make up an orthonormal basis.

6. Oscillation theorem: φn (x) has exactly n − 1 zeros inside (a, b). Between any
two zeros of φn (x) lies a zero ofφn+1 (x)

The set of eigenfunctions of a S-L problem can be used to expand a solution of

a boundary-value problem; initial conditions will determine the coefficients in this
expansion. The Fourier Series is a special case.

Example: Solve the S-L boundary value problem

y 00 + λ y = 0, 0≤x≤1
y(0) = 0 (7)
0
y(1) + y (1) = 0.

Then, expand the function f (x) = x in the basis of eigenfunctions.

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