Lecture XXIV

Abstract
We shall learn how to use power series to construct solutions of
second order linear differential equations whose coefficients are not
constant. In particular, we will apply them to study the Legendre
and Bessel equations.

Why should you know about the existence of the Legendre and Bessel
equations? Well, the answer is very simple: these equations play a funda-
mental role in physics and engineering. For instance the Legendre equation
appears in
1. Electrostatics and magnetostatics;
2. Fluiddynamics;
3. Heat transfer processes in a spherical object;
4. Gravitation;
5. Quantum mechanics.
Bessel equation arises in many problems of wave propagation and static po-
tentials. For instance
1. Electromagnetic waves in a cylindrical object;
2. Heat conduction in a cylindrical object;
3. Modes of vibration of a thin circular or annular artificial membrane
such as a drum or a membranophone, that is any musical instrument
which produces sound by means of a vibrating stretched membrane;
4. Signal processing (FM synthesis, Kaiser window or Bessel filter);
5. Diffusion problems on a lattice;
6. Quantum Mechanics and Gravitation.

Definition 1 A real power series is an expression of the form

∞
X
an (x − x0 )n (1)
n=0

with an ∈ R for all n ∈ N and x, x0 ∈ R.

1
Example 1
∞
X xn 1
here an = and x0 = 0,
n=0
n! n!
where n! (the factorial of n) is defined as n! = n(n − 1) · · · 3 · 2 · 1 and 0! = 1.
∞
X
(−)n+1 n(x − 2)n here an = (−)n+1 n and x0 = 2,
n=0

where the notation (−)n simply means −1 multiplied by itself n times.

The power series (1) converges at a point x if the following limit

m
X
lim an (x − x0 )n
m→∞
n=0

exists for that x. This is equivalent to say that the sequence of partial sums
converges.

Example 2 Does ∞ xn
P
n=0 n! converge at x = 2? To answer this question we
have to study the convergence of the series
∞
X 2n
.
n=0
n!

In order to be able to answer this kind of questions we need the concept

of absolute convergence together with tests for the absolute convergence of
power series. Remember that if a series converges absolutely, then the
same series also converges but the converse is not necessarily true!

Example 3 For instance, the series

∞
X
(−)n+1 n(x − 2)n
n=0

will converge at x = 3/2 if its absolute series

∞  n ∞  n ∞
X
n+1 3 X
n+1 1 X n
(−) n −2 = (−) n − = (−)2n+1 n =
n=0
2 n=0
2 n=0
2

∞ ∞ ∞ ∞
X
2n+1 n X
2n+1 n
X n X n
(−) = (−) = =
n=0
2n n=0
2n n=0
2n n=1
2n

2
converges. Notice that in the last step we used the property |(−)2n+1 | =
|(−)2n (−)| = |(−)| = 1 where (−)2n = 1 whatever choice we make for n since
2n is always an even number. In order to establish whether the series
∞
X n
n=0
2n

is convergent or not we need some convergence tests.

For our purposes the ratio test and the alternating test will be sufficient.

Ratio test
Consider the power series (1). If

1. an 6= 0 for all n ∈ N and

an+1
lim = L,
n→∞ an

2. for a fixed value of x ∈ R

an+1 (x − x0 )n+1 an+1
lim n
= |x − x0 | lim = L|x − x0 |,
n→∞ an (x − x0 ) n→∞ an
Then

∞
X  converges absolutely at x if L|x − x0 | < 1
n
an (x − x0 ) diverges at x if L|x − x0 | > 1 .
test is inconclusive if L|x − x0 | = 1

n=0

We call ρ = 1/L the radius of convergence. Finally, if ρ = 0 or

equivalently L = ∞ we say that the series converges only at x = x0 .

Alternating series test

If the terms of a series alternate in sign as for instance in

A0 − A1 + A2 − A 3 + · · ·

where the An are all positive, then the series converges if

1. An+1 < An ,

2. limn→∞ An = 0.

3
Example 4 Let us take again the series ∞ n
P
n=0 x /n!. In this case L = 0,
x0 = 0 and clearly 0 · |x| < 1 whatever value of x we choose. According to
the ratio test the series will converge for all real values of x. Notice that the
radius of convergence willPbe ρ = ∞.
Consider now the series ∞ n=0 (−)
n+1
n(x − 2)n . Since the first term in this
series is zero we can restrict our attention to the series
∞
X
(−)n+1 n(x − 2)n .
n=1

Notice that all coefficients in this series are different from zero. Hence, we
can apply the ratio test to the above series and find

(−)n+2 (n + 1)(x − 2)n+1 n+1

lim n+1 n
= |x − 2| lim = 1 · |x − 2|, L = 1.
n→∞ (−) n(x − 2) n→∞ n

The series will converge absolutely and hence converge for all x such that

|x − 2| < 1 that is for all x ∈ (1, 3)

with radius of convergence ρ = 1, whereas the series will diverge for x < 1
and x > 3. The test is inconclusive for x = 1 and x = 3. In order to study
the convergence problem at these points we have to replace each of them in
the original series and study the corresponding series. For instance, if we
choose x = 3 we get
∞
X ∞
X ∞
X
(−)n+1 n(3 − 2)n = (−)n+1 n = − (−)n n.
n=1 n=1 n=1

Notice that we end up with an alternating series and convergence can be

studied by the alternating series test. According to the notation we used for
the alternating series test we identify An with n and see immediately that the
condition An+1 < An can never be satisfied since n + 1 > n for all n ∈ N.
Therefore, we conclude that the original series diverges at x = 3. A similar
argument shows that the series diverges at x = 1 as well.

If two power series

∞
X ∞
X
n
an (x − x0 ) , bn (x − x0 )n
n=0 n=0

both converge for |x − x0 | < ρ, then

4
1. we can add and subtract the series termwise, that is
∞
X ∞
X ∞
X
n n
an (x − x0 ) ± bn (x − x0 ) = (an ± bn )(x − x0 )n ,
n=0 n=0 n=0

2. the series can be multiplied

"∞ # "∞ # ∞
X X X
n n
an (x − x0 ) · bn (x − x0 ) = cn (x − x0 )n
n=0 n=0 n=0

with n
X
cn = ak bn−k = a0 bn + a1 bn−1 + · · · + an b0 ,
k=0

3. if b0 6= 0 the series can be divided

P∞ ∞
an (x − x0 )n X
Pn=0
∞ n
= dn (x − x0 )n
n=0 bn (x − x0 ) n=0

and the unknown coefficients dn is found by considering the equivalent

relation
∞
"∞ # "∞ #
X X X
an (x − x0 )n = dn (x − x0 )n · bn (x − x0 )n .
n=0 n=0 n=0

Then, according to point 2. we have

n
X
an = dk bn−k ,
k=0

that is
a0 = d0 b0 ,
a1 = d0 b1 + d1 b0 ,
a2 = d0 b2 + d1 b1 + d2 b0 ,
···
and so on. In this way we derived a set of equations for the unknown
coefficients d0 , d1 , · · · which can be expressed in terms of the known
coefficients an and bn as follows
a0
d0 = ,
b0
a1 d0 b1 a1 a0 b 1
d1 = − = − 2 ,
b0 b0 b0 b0
···

5
Notice that a Taylor series1 around x0 for a function f (x). can be seen as
a special type of a power series ∞ n
P
n=0 n (x − x0 ) with
a

f (n) (x0 )
an = .
n!
From the above relation we see that a necessary condition in order that a
function has a Taylor series at x0 is that it is smooth at x0 , that is it has
derivatives of all orders at x0 .
Definition 2 f(x) is analytic at x0 if
1. it is smooth at x0 ,

2. it equals its Taylor expansion around any point belonging to the domain
of definition of f (x).

Example 5 Polynomials, ex , sin x and cos x are examples of analytic func-

tions. Rational functions p(x)/q(x) with p and q polynomials are analytic at
any x where q(x) 6= 0. For instance, the function tan x is not analytic at
± π2 , ± 3π
2
,···.

Example 6 Find the Taylor expansion for

f (x) = ln (1 + x) at x0 = 0.

First of all, notice that the domain of definition of f (x) is the interval
(−1, ∞). Inside this interval our function is analytic and since x0 = 0 ∈
(−1, ∞) the problem of finding the Taylor expansion around that point is
well defined. Let us compute some of the derivatives of f (x). We find

f (0) (x) = ln (1 + x) =⇒ f (0) (0) = 0,

1
f (1) (x) = =⇒ f (1) (0) = 1,
1+x
1
f (2) (x) = − =⇒ f (2) (0) = −1,
(1 + x)2
2
f (3) (x) = 3
=⇒ f (3) (0) = 2,
(1 + x)
2·3
f (4) (x) = − =⇒ f (4) (0) = −2 · 3
(1 + x)4
···
1
A Taylor series around x0 = 0 is also called a Maclaurin series. Brook Taylor
(1685-1731) was an English mathematician. Colin Maclaurin (1698-1746) was a Scottish
mathematician contemporary to Taylor.

6
In general for n = 1, 2, · · ·

(−)n+1 (n − 1)!
f (n) (x) = =⇒ f (n) (0) = (−)n+1 (n − 1)!
(1 + x)n

and since f (x) is analytic around x0 = 0 its Taylor series around that point
will be
∞ ∞ ∞
X f (n) (0) n
X (−)n+1 (n − 1)! n
X (−)n+1
f (x) = x = x = xn ,
n=1
n! n=1
n! n=1
n

where we used the following property of the factorial, namely n! = n(n − 1)!.
Concerning the convergence of the above series we can apply the ratio test
and find

(−)n+2 xn+1 n n
lim n+1 n
= |x| lim = |x|.
n→∞ n + 1 (−) x n→∞ n+1

Here, L = 1 and the radius of convergence is ρ = 1. This result suggests an

important property about convergence of Taylor series, namely that a Taylor
series of a function f (x) around a certain point x0 will converge in an interval
centered at x0 and extending till the closest discontinuity of f (x).

There are certain series which come up often enough so that you should know
what they look like. For instance,
1
= 1 + x + x2 + x3 + · · · geometric series,
1−x
x2 x3
ex = 1 + x + + + ··· ,
2! 3!
x3 x5
sin x = x − + − ··· ,
3! 5!
x2 x4
cos x = 1 − + − ··· .
2! 4!
Since Taylor series are power series we can extend to them the same consid-
erations we did for the addition, subtraction, multiplication and division of
power series provided we take care of the intervals of convergence! Finally,
if f (x) has a Taylor series around x0 given by
∞
X f (n) (x0 )
f (x) = an (x − x0 )n with an =
n=0
n!

7
we can differentiate and integrate it as follows
∞ Z ∞
df X
n−1
X an
= an n(x − x0 ) , dx f (x) = (x − x0 )n+1 + C,
dx n=0 n=0
n + 1

where C is an arbitrary constant of integration.

Example 7 Products of series can be computed in different ways. We want
to compute the Taylor series of
ex
f (x) = at x0 = 0.
1−x
You have two possibilities
1. You can compute the derivatives f (1) (0), f (2) (0), · · · but the situation
becomes soon very messy or
2. You think to f (x) as to a product of two functions, namely
1
f (x) = ex ·
1−x
and then multiply the corresponding series of ex and 1/(1 − x) at x0 =
0. Notice that the exponential function is analytic everywhere whereas
1/(1 − x) is analytic for all real x except at x = 1. Now, the Taylor
expansion is done at x0 = 0 and the closest discontinuity is at one.
This implies that the radius of convergence of the Taylor series of f (x)
at x0 = 0 will be ρ = 1. Taking into account that
∞ ∞
x
X xn 1 X
e = , = xn for |x| < 1
n=0
n! 1 − x n=0

we can write
" ∞
#" ∞
# ∞
X xn X
n
X
f (x) = x = cn xn .
n=0
n! n=0 n=0

At this point remember that the coefficients cn will be given by the for-
mula n
X
cn = ak bn−k .
k=0

In the present case we have

1
ak =
k!
8
 whereas the coefficients of the series for 1/(1 − x) are all equal one.
This implies that
n
X 1
cn = .
k=0
k!
Finally, the Taylor expansion for f (x) around x0 = 0 is
5
f (x) = 1 + 2x + x2 + · · · .
2

Example 8 Find the Taylor series of

1
f (x) = at x0 = 0
1+x
by differentiating the Taylor series for

g(x) = ln (1 + x) at x0 = 0.

From Example 6 we already know that

∞
X (−)n+1
g(x) = xn .
n=1
n

Noticing that
X (−)n+1 ∞
1 d
= ln (1 + x) = nxn−1 =
1+x dx n=1
n

∞
X ∞
X
(−)n+1 xn−1 = 1 − x + x2 − x3 + · · · = (−)n xn .
n=1 n=0

Finally, application of the ratio test shows that the series is convergent inside
the interval (−1, 1). Notice that the same problem can be easily solved by
rewriting the given function as a geometric series as follows
∞ ∞
1 1 X X
= = (−x)n = (−)n xn .
1+x 1 − (−x) n=0 n=0