Self-Adjoint Differential Equations I

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Let $\mathcal{L}$ be the second-order linear differential operator
$$\mathcal{L}=p_0(x)\frac{d^2}{dx^2}+p_1(x)\frac{d}{dx}+p_2(x)$$
which acts on a function $u(x)$ as
\begin{equation}\label{eq:ldo}\mathcal{L}u(x)=p_0(x)\frac{d^2u(x)}{dx^2}+p_1(x)\frac{du(x)}{dx}+p_2(x)u(x).\end{equation}

Define an adjoint operator $\bar{\mathcal{L}}$ by
\begin{align*}
\bar{\mathcal{L}}&:=\frac{d^2}{dx^2}[p_0u]-\frac{d}{dx}[p_1u]+p_2u\\
&=p_0\frac{d^2u}{dx^2}+(2p_0^\prime-p_1)\frac{du}{dx}+(p_0^{\prime\prime}-p_1^\prime+p_2)u.
\end{align*}
If $\mathcal{L}=\bar{\mathcal{L}}$, $\mathcal{L}$ is said to be self-adjoint. One can immediately see that $\mathcal{L}=\bar{\mathcal{L}}$ if and only if \begin{equation}\label{eq:self-adjoint}p_0^\prime=p_1.\end{equation} Let $p(x)=p_0(x)$ and $q(x)=p_2(x)$. Then
\begin{align*}
\mathcal{L}=\bar{\mathcal{L}}&=p\frac{d^2u}{dx^2}+\frac{dp}{dx}\frac{du}{dx}+qu\\
&=\frac{d}{dx}\left[p(x)\frac{du(x)}{dx}\right]+qu(x).
\end{align*}
Note that one can transform a non-self-adjoint 2nd-order linear differential operator to a self-adjoint one. The idea is similar to that of finding a integrating factor to transform a non-separable first-order linear differential equation to a separable one.

Suppose that \eqref{eq:ldo} is not self-adjoint, i.e. $p_1\ne p_0’$. Multiply $\mathcal{L}$ by $\frac{f(x)}{p_0(x)}$. Then
$$\mathcal{L}’:=\frac{f}{p_0}\mathcal{L}=f\frac{d^2u}{dx^2}+f\frac{p_1}{p_0}\frac{du}{dx}+f\frac{p_2}{p_0}u.$$
Suppose $\mathcal{L}’$ is self-adjoint. Then by \eqref{eq:self-adjoint}
$$f’=f\frac{p_1}{p_0}.$$
That is,
$$f(x)=\exp\left[\int^x\frac{p_(t)}{p_0(t)}dt\right].$$
If $p_1=p_0’$, then
\begin{align*}
\frac{f(x)}{p_0}&=\frac{1}{p_0}\exp\left[\int^x\frac{p_1}{p_0}dt\right]\\
&=\frac{1}{p_0}\exp\left[\int^x\frac{p_0^\prime}{p_0}dt\right]\\
&=\frac{1}{p_0}\exp(\ln p_0(x))\\
&=\frac{1}{p_0(x)}\cdot p_0\\
&=1
\end{align*}
i.e. $f(x)=p_0(x)$ as expected.

Eigenfunctions, Eigenvalues

From separation of variables or directly from a physical problem, we have second-order linear differential equation of the form
\begin{equation}\label{eq:sl}\mathcal{L}u(x)+\lambda w(x)u(x)=0,\end{equation}
where $\lambda$ is a constant and $w(x)>0$ is a function called a density or weighting function. The constant $\lambda$ is called an eigenvalue and $u(x)$ is called an eigenfunction.

Example. [Schrödinger Equation]

The Schrödinger equation
$$H\psi=E\psi$$
is of the form \eqref{eq:sl}. Recall that $H$ is the Hamiltonian operator
$$H=-\frac{\hbar^2}{2m}\frac{d^2}{dx^2}+V(x)$$
where $V(x)$ is a potential. So $H$ is a second-order linear differential operator. The weight function $w(x)=-1$ and $E$ is energy as an eigenvalue. Clearly Schrödinger equation is self-adjoint.

Example. [Legendre’s Equations]

Legendre’s equation
$$(1-x^2)y^{\prime\prime}-2xy’+n(n+1)y=0$$ is of the form \eqref{eq:sl}, where $\mathcal{L}y=(1-x^2)y^{\prime\prime}-2xy’$, $w(x)=1$, and $\lambda=n(n+1)$. Since $p_0^\prime=-2x=p_1$, Legendre’s equations are self-adjoint.

Graphing Polynomial Functions

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Polynomial functions have the following important property:

“Every polynomial function of degree $n$ has at most $n$ real zeros.”

This property is called the Fundamental Theorem of Algebra.

As an application of this property, we see that a polynomial function of degree $n$ can have at most $n$ $x$-intercepts and at most $(n-1)$ turning points (local maximum and local minimum values).

Example. The function $f(x)=x^4-7x^3+12x^2+4x-16$ has three turning points that are two local minimum values and one local maximum value.

Graphing a Polynomial Function $p(x)$

  1. First find all zeros of $p(x)$
  2. Considering the even or odd multiplicity of each factor of $p(x)$, we can see the graph is crossing or touching the $x$-axis at each zero.
  3. Use the leading-term test to determine the end behavior.
  4. Use the $y$-intercept.

Example. Consider $f(x)=x^4-7x^3+12x^2+4x-16$. It can be factored as $f(x)=(x+1)(x-2)^2(x-4)$. (At this moment you don’t have to worry about how we get the facotring. We will discuss this in Sections 3.3 and 3.4.) So we find three zeros $-1$, $2$ (with multiplicity 2), and $4$. We can tell that the graph crosses at $-1$ and $4$ and touches the graph without crossing at $2$. Since the degree is $4$, an even number the graph goes up when $x\to -\infty$ and $x\to\infty$. These findings are all featured in the above graph.

The Intermediate Value Theorem

Let $p(x)$ be a polynomial (with real coefficients). Suppose that $p(a)$ and $p(b)$ have different signs for two distinct numbers $a$ and $b$. Then the graph of $p(x)$ must cross the $x$-axis between $a$ and $b$, i.e. $p(x)$ must have a zero between $a$ and $b$. This property is called the Intermediate Value Theorem.

Example. (a) Use the Intermediate Value Theorem to determine if
$$f(x)=x^3+3x^2-9x-13$$
has a zero between $a=1$ and $b=2$.

Solution. All you have to do is to evaluate $f(x)$ at $x=1$ and $x=2$, i.e. calculate $f(1)$ and $f(2)$ and see if they are different.
\begin{align*}
f(1)&=(1)^3+3(1)^2-9(1)-13=-18,\\
f(2)&=(2)^3+3(2)^2-9(2)-13=-11.
\end{align*}
$f(1)$ and $f(2)$ have the same sign, so the Intermediate Value Theorem won’t tell if $f(x)$ has a zero between $1$ and $2$. The following graph shows that it actually does not.


(b) Does $f(x)$ has a zero between $a=-5$ and $b=-4$?

Solution. $f(-5)=-18$ and $f(-4)=7$. Since their signs are different, by the Intermediate Value Theorem, there must be a zero between $-5$ and $-4$. The following graph confirms it.

Legendre Functions III: Special Values, Parity, Orthogonality

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Special Values

From the generating function
$$g(x,t)=\frac{1}{(1-2xt+t^2)^{1/2}},$$
when $x=1$ we obtain
\begin{align*}
g(1,t)&=\frac{1}{(1-2t+t^2)^{1/2}}\\
&=\frac{1}{1-t}\\
&=\sum_{n=0}^\infty t^n,
\end{align*}
since $|t|<1$. On the other hand,
$$g(1,t)=\sum_{n=0}^\infty P_n(1)t^n.$$
So by comparison we get
$$P_n(1)=1.$$ Similarly, if we let $x=-1$,
$$P_n(-1)=(-1)^n.$$
For $x=0$, the generating function results
$$(1+t^2)^{-1/2}=1-\frac{1}{2}t^2+\frac{3}{8}t^4+\cdots+(-1)^n\frac{1\cdot 3\cdots (2n-1)}{2^nn!}t^{2n}+\cdots.$$
Thus we obtain
\begin{align*}
P_{2n}(0)&=(-1)^n\frac{1\cdot 3\cdots (2n-1)}{2^nn!}=(-1)^n\frac{(2n-1)!!}{(2n)!!},\\
P_{2n+1}(0)&=0,\ n=0,1,2,\cdots.
\end{align*}
Recall that the double factorial !! is defined by
\begin{align*}
(2n)!!&=2\cdot 4\cdot 6\cdots (2n),\\
(2n-1)!!&=1\cdot 3\cdot 5\cdots (2n-1).
\end{align*}

Parity

$g(t,x)=g(-t,-x)$, that is
$$\sum_{n=0}^\infty P_n(x)t^n=\sum_{n=0}^\infty P_n(-x)(-t)^n$$
which results the parity
$$P_n(-x)=(-1)^nP_n(x).\ \ \ \ \ (1)$$
(1) tells that if $n$ is even, $P_n(x)$ is an even function and if $n$ is odd, $P_n(x)$ is an odd function.

Orthogonality

Multiply the Legendre’s diferential equation
$$\frac{d}{dx}[(1-x^2)P_n'(x)]+n(n+1)P_n(x)=0\ \ \ \ \ (2)$$ by $P_m(x)$.
$$P_m(x)\frac{d}{dx}[(1-x^2)P_n'(x)]+n(n+1)P_m(x)P_n(x)=0.\ \ \ \ \ (3)$$
Replace $n$ by $m$ in (2) and then multiply the resulting equation by $P_n(x)$.
$$P_n(x)\frac{d}{dx}[(1-x^2)P_m'(x)]+m(m+1)P_m(x)P_n(x)=0.\ \ \ \ \ (4)$$
Subtract (4) from (3) and integrate the resulting equation with respect to $x$ from $-1$ to 1.
\begin{align*}
\int_{-1}^1&\left\{P_m(x)\frac{d}{dx}[(1-x^2)P_n'(x)]-P_n(x)\frac{d}{dx}[(1-x^2)P_m'(x)]\right\}dx\\
&=[m(m+1)P_m(x)P_n(x)-n(n+1)P_m(x)P_n(x)].\end{align*}
Using integration by parts,
\begin{align*}
\int_{-1}^1P_m(x)\frac{d}{dx}[(1-x^2)P_n'(x)]dx&=\\&(1-x^2)P_m(x)P_n'(x)|_{-1}^1-\int_{-1}^1P_m(x)P_n(x)dx\\
&=-\int_{-1}^1P_m(x)P_n(x)dx.
\end{align*}
Since the integration of the second term inside $\{\ \ \}$ would have the same value, the LHS vanishes.
Hence for $m\ne n$,
$$\int_{-1}^1P_m(x)P_n(x)dx=0.\ \ \ \ \ (5)$$
That is, $P_m(x)$ and $P_n(x)$ are orthogonal for the interval $[-1,1]$.
For $x=\cos\theta$, the orthogonality (5) is given by
$$\int_0^\pi P_n(\cos\theta)P_m(\cos\theta)\sin\theta d\theta=0.$$

Integrate
$$(1-2xt+t^2)^{-1}=\left[\sum_{n=0}^\infty P_n(x)t^n\right]^2$$
with respect to $x$ from $-1$ to $1$. Due to the orthogonality (5), the integration of all the crossing terms in the RHS will vanish, and so we obtain
$$\int_{-1}^1\frac{dx}{1-2xt+t^2}=\sum_{n=0}^\infty \left\{\int_{-1}^1[P_n(x)]^2dx\right\}t^{2n}.$$
\begin{align*}
\int_{-1}^1\frac{dx}{1-2xt+t^2}&=\frac{1}{2t}\int_{(1-t)^2}^{(1+t)^2}\frac{dy}{y}\\
&=\frac{1}{t}\ln\left(\frac{1+t}{1-t}\right)\\
&=\sum_{n=0}^\infty\frac{2}{2n+1}t^{2n}\ (\mbox{since $|t|<1$}).
\end{align*}
Therefore we have the normalizer of Legendre polynomial $P_n(x)$
$$\int_{-1}^1[P_n(x)]^2dx=\frac{2}{2n+1}.$$

Expansion of Functions

Suppose that
$$\sum_{n=0}^\infty a_nP_n(x)=f(x).\ \ \ \ \ (6)$$
Multiply (6) by $P_m(x)$ and integrate with respect to $x$ from $-1$ to 1:
$$\sum_{n=0}^\infty a_n\int_{-1}^1 P_n(x)P_m(x)dx=\int_{-1}^1f(x)P_m(x)dx.$$
By the orthogonality (5), we obtain
$$\frac{2}{2m+1}a_m=\int_{-1}^1f(x)P_m(x)dx\ \ \ \ \ (7)$$
and hence $f(x)$ can be written as
$$f(x)=\sum_{n=0}^\infty\frac{2n+1}{2}\left(\int_{-1}^1 f(t)P_m(t)dt\right)P_n(x).\ \ \ \ \ (8)$$
This expansion in a series of Legendre polynomials is called a Legendre series. Clearly if $f(x)$ is continuous (or integrable) on the interval $[-1,1]$, it can be expanded as a Legendre series.

(7) can be considered as an integral transform, a finite Legendre transform and (8) can be considered as the inverse transform.

Let us consider the integral operator
$$\mathcal{P}_m:=P_m(x)\frac{2m+1}{2}\int_{-1}^1P_m(t)[\ \cdot\ ]dt.\ \ \ \ \ (9)$$
Then
$$\mathcal{P}_mf(t)=a_mP_m(x).$$
The operator (9) projects out the $m$th component of the function $f(x)$.

Structural Equations

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Definition. The dual 1-forms $\theta_1,\theta_2,\theta_3$ of a frame $E_1,E_2,E_3$ on $\mathbb{E}^3$ are defined by
$$\theta_i(v)=v\cdot E_i(p),\ v\in T_p\mathbb{E}^3.$$
Clearly $\theta_i$ is linear.

Example. The dual 1-forms of the natural frame $U_1,U_2,U_3$ are $dx_1$, $dx_2$, $dx_3$ since
$$dx_i(v)=v_i=v\cdot U_i(p)$$
for each $v\in T_p\mathbb{E}^3$.

For any vector field $V$ on $\mathbb{E}^3$,
$$V=\sum_i\theta_i(V)E_i.$$
To see this, let us calculate for each $V(p)\in T_p\mathbb{E}^3$
\begin{align*}
\sum_i\theta_i(V(p))E_i(p)&=\sum_i(V(p)\cdot E_i(p))E_i(p)\\
&=\sum_iV_i(p)E_i(p)\\
&=V(p).
\end{align*}

Lemma. Let $\theta_1,\theta_2,\theta_3$ be the dual 1-forms of a frame $E_1, E_2, E_3$. Then any 1-form $\phi$ on $\mathbb{E}^3$ has a unique expression
$$\phi=\sum_i\phi(E_i)\theta_i.$$

Proof. Let $V$ be any vector field on $\mathbb{E}^3$. Then
\begin{align*}
\sum_i\phi(E_i)\theta_i(V)&=\sum_i\phi(E_i)\theta_i(V)\\
&=\phi(\sum_i\theta_i(V)E_i)\ \mbox{by linearity of $phi$}\\
&=\phi(V).
\end{align*}
Let $A=(a_{ij})$ be the attitude matrix of a frame field $E_1$, $E_2$, $E_3$, i.e.
\begin{equation}\label{eq:frame}E_i=\sum_ja_{ij}U_j,\ i=1,2,3.\end{equation}
Clearly $\theta_i=\sum_j\theta_i(U_j)dx_j$. On the other hand,
$$\theta_i(U_j)=E_i\cdot U_j=\left(\sum_ka_{ik}U_k\right)\cdot U_j=a_{ij}.$$ Hence the dual formulation of \eqref{eq:frame} is
\begin{equation}\label{eq:dualframe}\theta_i=\sum_ja_{ij}dx_j.\end{equation}

Theorem. [Cartan Structural Equations] Let $E_1$, $E_2$, $E_3$ be a frame field on $\mathbb{E}^3$ with dual 1-forms $\theta_1$, $\theta_2$, $\theta_3$ and connection forms $\omega_{ij}$, $i,j=1,2,3$. Then

  1. The First Structural Equations: $$d\theta_i=\sum_j\omega_{ij}\wedge\theta_j.$$
  2. The Second Structural Equations: $$d\omega_{ij}=\sum_k\omega_{ik}\wedge\omega_{kj}.$$

Proof. The exterior derivative of \eqref{eq:dualframe} is
$$d\theta_i=\sum_jda_{ij}\wedge dx_j.$$ Since $\omega=dA\cdot{}^tA$ and ${}^tA=A^{-1}$ (recall that $A$ is an orthogonal matrix), $dA=\omega\cdot A$, i.e.
$$da_{ij}=\sum_k\omega_{ik}a_{kj}.$$
So,
\begin{align*}
d\theta_i&=\sum_j\left\{\left(\sum_k\omega_{ik}a_{kj}\right)\wedge dx_j\right\}\\
&=\sum_k\left\{\omega_{ik}\wedge\sum_j a_{kj}dx_j\right\}\\
&=\sum_k\omega_{ik}\wedge\theta_k.
\end{align*}

From $\omega=dA\cdot{}^tA$,
\begin{equation}\label{eq:connectform}\omega_{ij}=\sum_kda_{ik}a_{jk}.\end{equation}
The exterior derivative of \eqref{eq:connectform} is
\begin{align*}
d\omega_{ij}&=\sum_k da_{jk}\wedge d_{ik}\\
&=-\sum_k da_{ik}\wedge da_{jk},
\end{align*}
i.e.
\begin{align*}
d\omega&=-dA\wedge{}^t(dA)\\
&=-(\omega\cdot A)\cdot({}^tA\cdot{}^t\omega)\\
&=-\omega\cdot (A\cdot{}^tA)\cdot{}^t\omega\\
&=-\omega\cdot{}^t\omega\ \ \ (A\cdot{}^tA=I)\\
&=\omega\cdot\omega.\ \ \ (\mbox{$\omega$ is skew-symmetric.})
\end{align*}
This is equivalent to the second structural equations.

Example. [Structural Equations for the Spherical Frame Field] Let us first calculate the dual forms and connection forms.

From the spherical coordinates
\begin{align*}
x_1&=\rho\cos\varphi\cos\theta,\\
x_2&=\rho\cos\varphi\sin\theta,\\
x_3&=\rho\sin\varphi,
\end{align*}
we obtain differentials
\begin{align*}
dx_1&=\cos\varphi\cos\theta d\rho-\rho\sin\varphi\cos\theta d\varphi-\rho\cos\varphi\sin\theta d\theta,\\
dx_2&=\cos\varphi\sin\theta d\rho-\rho\sin\varphi\sin\theta d\varphi+\rho\cos\varphi\cos\theta d\theta,\\
dx_3&=\sin\varphi d\rho+\rho\cos\varphi d\varphi.
\end{align*}
From the spherical frame field $F_1$, $F_2$, $F_3$ discussed here, we find its attitude matrix
$$A=\begin{pmatrix}
\cos\varphi\cos\theta & \cos\varphi\sin\theta & \sin\varphi\\
-\sin\theta & \cos\theta & 0\\
-\sin\varphi\cos\theta & -\sin\varphi\sin\theta & \cos\varphi
\end{pmatrix}.$$
Thus by (2) we find the dual 1-forms
\begin{align*}
\begin{pmatrix}
\theta_1\\
\theta_2\\
\theta_3
\end{pmatrix}&=\begin{pmatrix}
\cos\varphi\cos\theta & \cos\varphi\sin\theta & \sin\varphi\\
-\sin\theta & \cos\theta & 0\\
-\sin\varphi\cos\theta & -\sin\varphi\sin\theta & \cos\varphi
\end{pmatrix}\begin{pmatrix}
dx_1\\
dx_2\\
dx_3
\end{pmatrix}\\
&=\begin{pmatrix}
d\rho\\
\rho\cos\theta d\theta\\
\rho d\varphi
\end{pmatrix}.
\end{align*}
\begin{align*}
&dA=\\
&\begin{bmatrix}
-\sin\varphi\cos\theta d\varphi-\cos\varphi\sin\theta d\theta & -\sin\varphi\sin\theta d\varphi+\cos\varphi\cos\theta d\theta & \cos\varphi d\varphi\\
-\cos\theta d\theta & -\sin\theta d\theta & 0\\
-\cos\varphi\cos\theta d\varphi+\sin\varphi\sin\theta d\theta & -\cos\varphi\sin\theta d\varphi-\sin\varphi\sin\theta d\theta & -\sin\varphi d\varphi
\end{bmatrix}\end{align*}
and so,
\begin{align*}
\omega&=\begin{pmatrix}
0 & \omega_{12} & \omega_{13}\\
-\omega_{12} & 0 & \omega_{23}\\
-\omega_{13} & -\omega_{23} & 0
\end{pmatrix}\\
&=dA\cdot{}^tA\\
&=\begin{pmatrix}
0 & \cos\varphi d\theta & d\varphi\\
-\cos\varphi d\theta & 0 & \sin\varphi d\theta\\
-d\varphi & -\sin\varphi d\theta & 0
\end{pmatrix}.
\end{align*}
From these dual 1-forms and connections forms one can immediately verify the first and the second structural equations.

Polynomial Functions and Models

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A polynomial is a function of the form
$$P(x)=a_nx^n+a_{n-1}x^{n-1}+\cdots+a_1x+a_0.$$ The number $n$ is called the degree of the polynomial $P(x)$. The term $a_nx^n$ is called the leading term and $a_n$ is called the leading coefficient. The number $a_0$ is called the constant term. $P(x)$ is called linear if $n=1$, quadratic if $n=2$, cubic if $n=3$, quartic if $n=4$, quintic if $n=5$, sextic if $n=6$, septic if $n=7$, and so on so forth. You don’t really have to worry about memorizing these jargons. Names are less important. However you need to remember at least what the degree is and what the leading coefficient is.

The Leading Term Test

There is a pattern for the long term behavior of a polynomial, i.e. the behavior of a polynomial when $x\to\infty$ or $x\to -\infty$. The behavior can be characterized as follows.

  • $n=\mbox{even}$ and $a_n>0$:

Example. $f(x)=3x^4-2x^3+3$

  • $n=\mbox{even}$ and $a_n<0$:

Example. $f(x)=-x^6+x^5-4x^3$

  • $n=\mbox{odd}$ and $a_n>0$:

Example. $f(x)=x^5+\frac{1}{4}x+1$

  • $n=\mbox{odd}$ and $a_n<0$:


Example. $f(x)=-5x^3-x^2+4x+2$


Finding zeros of a polynomial $P(x)$

By factoring, solve the equation $P(x)=0$. The solutions are the zeros of $P(x)$.

Example. Find the zeros of $P(x)=x^3+2x^2-5x-6$.

Solution. \begin{align*}
P(x)&=x^3+2x^2-5x-6\\
&=(x^3+x^2)+(x^2-5x-6)\ \mbox{(grouping)}\\
&=x^2(x+1)+(x-6)(x+1)\\
&=(x+1)(x^2+x-6)\\
&=(x+1)(x+3)(x-2).
\end{align*}
Hence, $P(x)$ has zeros $x=-3,-1,2$.

How do we determine whether $x=a$ is a zero of a polynomial $P(x)$?

To only check whether $x=a$ is a zero of $P(x)$, you don’t really have to factor $P(x)$. This is what you need to know. If $P(a)=0$, then $x=a$ is a zero of the polynomial $P(x)$.

Example. Consider $P(x)=x^3+x^2-17x+15$. Determine whether each of numbers 2 and $-5$ is a zero of $P(x)$.

Solution. $P(2)=(2)^3+(2)^2-17(2)+15=-7$, so $x=2$ is not a zero. $P(-5)=(-5)^3+(-5)^2-17(-5)+15=0$, so $x=-5$ is a zero of $P(x)$.

Even and Odd Multiplicity

Even and odd multiplicity is an important property for sketching the graph of a polynomial function. Suppose that $k$ is the largest integer such that $(x-c)^k$ is a factor of $P(x)$. The number $k$ is called the multiplicity of the factor $x-c$.

  1. If $k$ is odd, the graph of $P(x)$ crosses the $x$-axis at $(c,0)$.
  2. If $k$ is even, then the graph of $P(x)$ is tangent to the $x$-axis, i.e. touches the $x$-axis without crossing at $(c,0)$.

Example. Consider $f(x)=x^2(x+3)^2(x-4)(x+1)^4$. The factors $x$ and $x+3$ have multiplicity 2 and the factor $x+1$ has multiplicity 4. Hence the graph of $f(x)$ touches the $x$-axis without crossing at $x=0$, $x=-3$ and $x=-1$. The factor $x-4$ has multiplicity 1, so the graph crosses the $x$-axis at $x=4$. This is also shown in the following figure.