Mathematics for Physicists
By Philippe Dennery and André Krzywicki
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"A fine example of how to present 'classical' physical mathematics." — American Scientist
Written for advanced undergraduate and graduate students, this volume provides a thorough background in the mathematics needed to understand today's more advanced topics in physics and engineering. Without sacrificing rigor, the authors develop the theoretical material at length, in a highly readable, and, wherever possible, in an intuitive manner. Each abstract idea is accompanied by a very simple, concrete example, showing the student that the abstraction is merely a generalization from easily understood specific cases. The notation used is always that of physicists. The more specialized subjects, treated as simply as possible, appear in small print; thus, it is easy to omit them entirely or to assign them to the more ambitious student.
Among the topics covered are the theory of analytic functions, linear vector spaces and linear operators, orthogonal expansions (including Fourier series and transforms), theory of distributions, ordinary and partial differential equations and special functions: series solutions, Green's functions, eigenvalue problems, integral representations.
"An outstandingly complete collection of mathematical material of wide application in physics . . . invaluable to the reader intent on increasing his knowledge of the mathematical theories and techniques underlying physics." — Applied Optics
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Mathematics for Physicists - Philippe Dennery
PHYSICISTS
CHAPTER I
THE THEORY OF ANALYTIC FUNCTIONS
1· ELEMENTARY NOTIONS OF SET THEORY AND ANALYSIS
1.1Sets
The notion of a set is basic to all of modern mathematics. We shall mean by set a collection of objects, hereafter called elements of the set. For example, the integers 1, 2, 3, · · ·, 98, 99, 100 form a set of 100 elements. Another example of a set is given by the collection of all points on a line segment; here the number of elements is clearly infinite.
As in the case of other fundamental notions of mathematics (for instance, that of a geometrical point), it is impossible to give a truly rigorous definition of a set. We simply do not have more basic notions at our disposal. Thus, we stated that a set is a collection of objects,
but of course we would be very embarrassed if we were asked to clarify the meaning of the word collection.
The standard way to circumvent the difficulty of defining fundamental mathematical objects is to formulate a certain number of axioms, which are the rules of the game,
and which form the basis of a deductive theory. The axioms are fashioned upon the intuitive properties of very familiar objects, such as the integers or the real numbers, but once these axioms have been adopted, we need no longer appeal to our intuition. In other words, when the rules
have been specified, the question of knowing exactly what these objects represent is no longer relevant to the construction of a rigorous theory.
It is possible to develop a rigorous theory of sets based on an axiomatic formulation, but this is completely outside the scope of this book. However, since the theory of sets is now involved in almost all branches of mathematics the use, albeit very limited, of certain concepts and notations of this theory will be very useful to us. It will be quite sufficient for the reader to understand the notion of a set in its most intuitive sense.
1.2Some Notations of Set Theory
We shall usually denote sets by capital letters; e.g., A, B. Sometimes, however, other symbols will also be used. For instance, (a,b) will denote the set of real numbers satisfying the inequality
a < x < b (1.1)
will frequently be used. It is an abbreviation for belongs to.
For example, the real number x satisfying the inequality (1.1) belongs to the set (a,b); therefore, we shall write
In general,
should be read "a belongs to the set S."
Consider now two sets, A and B. When A and B are identical, we write
A = B
When each element of A is necessarily also an element of B, we say that A is included in B, or that A is a subset of B, and we write*
EXAMPLE 1
Let A be the sequence of numbers 80, 81, · · ·, 99, 100, and B the sequence 1, 2, 3, · · ·, 99, 100. Then
The set that contains all elements of A and all elements of B, but counted only once, is called the sum or the union of A and B and is denoted by
A + B
EXAMPLE 2
Let A be the sequence 1, 2, · · ·, 29, 30, and B the sequence 10, 11, · · ·, 49, 50. Then A + B is the sequence 1, 2, · · ·, 49, 50 in which the numbers 10, 11, · · ·, 29, 30, which are common to A and B, appear only once.
From the definition of the sum of sets it follows that
The set of all elements common to both A and B is called the intersection or sometimes the product, of A and B and is denoted by
EXAMPLE 3
of the two sets A and B of the preceding example is the sequence 10, 11, · · ·, 29, 30.
The set of all elements of A that are not included in B is called the difference between A and B and is denoted by
A – B
is empty.
It is convenient to introduce the notion of an empty set, i.e., a set
that has no elements at all. It plays the role of the number 0 in algebra and it is also denoted by 0 in this text.
EXAMPLE 4
The difference A – B between the sets A and B of Example 2 is the sequence 1, 2, · · ·, 8, 9, and the difference B – A is the sequence 31, 32, · · ·, 49, 50.
The operations with sets can be visualized with the aid of the diagrams of Fig. 1, where the sets resulting from the addition, intersection, and subtraction of A and B correspond to the shaded areas.
To end this subsection, we summarize in Table 1 the meaning of the symbols that have been introduced.
TABLE 1
1.3Sets of Geometrical Points
The most straightforward classification of sets consists in distinguishing between finite sets (i.e., those that have a finite number of elements) and infinite sets (i.e., those that have an infinite number of elements). A more subtle classification consists in distinguishing among infinite sets between enumerable and nonenumerable ones. A set is called enumerable if it is possible to establish a one-to-one correspondence between each of its elements and the set of integers 1, 2, 3, · · ·. Otherwise a set is called nonenumerable.
For example, any finite set is enumerable. Among infinite sets, the set of all integers 1, 2, 3, · · · , is obviously enumerable, as is the set of all even (or odd) integers, or the set of all prime numbers. In fact, prime numbers can be arranged in a series according to their magnitude, and therefore one can speak of the first prime number,
the second prime number,
· · · , "the nth prime number," etc.
On the other hand, the set of all points of a line segment is nonenumerable; one says that these points form a continuum. Other examples of nonenumerable sets are the interior of a closed curve in a plane and the interior of a closed surface in space.
In the rest of this section we shall consider only the sets of geometrical points; our discussion will apply equally well to sets of points located on a line, in a plane, or in space.
Let ρ(p,p′) denote the distance between the points p and p′. A very important notion is that of a neighborhood of a point. By a neighborhood of a given point p, we shall mean a set of points p′ satisfying.
ρ(p,p′<R)(1.2)
where R is an arbitrary positive number.
If we consider exclusively the sets of points in a plane or on a line, then we restrict p′ in (1.2) to lie on the plane or on the line. For example, the set of all points in a plane lying in the interior of an arbitrary circle centered at the point p is a neighborhood of p, whereas the interior of an arbitrary sphere centered at p stands for the neighborhood of p in space.
Using the concept of a neighborhood of a point, we can give a classification of the point sets.
S is called an isolated point of the set if there exists a neighborhood of p which does not contain any other
Fig. 2. A set of points in a plane: p1 is an isolated point, since there exists a circle centered at p1 and which does not contain any of the points of the set. On the contrary, p2 is an accumulation point.
Fig. 3. The points of the segment ab form a closed or an open set, depending upon whether the end points belong or do not belong to the set.
point belonging to S. This is in agreement with the intuitive meaning of the word isolated
; effectively, if p is an isolated point, then every element of S is located at a finite distance from p (see Fig. 2). A point, every neighborhood of which contains at least one element of S, which is not identical with the point itself, is called an accumulation point of the set. If not only a given point but also all points of some neighborhood of p belong to S, then p is called an interior point of S. Every interior point of a set is an accumulation point. The converse is not true. Moreover, an accumulation point of a set need not necessarily belong to the set.
For example, consider a set of points on a line located between two points a and b, and suppose that a and b do not belong to the set. It is obvious that any point of the set is an interior point, and consequently an accumulation point. However, the points a and b are also accumulation points of the set, since points of the set come arbitrarily close to a and b. We can now distinguish between two important classes of point sets: A set is called an open set if all its points are interior points; a set is called a closed set if it contains all its accumulation points.
Arbitrary point sets are neither open nor closed. For example, all the points lying within, but not on, a closed curve in a plane form an open set in the plane. If the points lying on the boundary curve are added to the set, it becomes closed. However, the interior points together with several isolated points in the plane form a set which is neither open nor closed.
The set of interior points of a segment ab of a line is an open one-dimensional set. But if the points a and b are added to the set, we get a closed set (see Fig. 3). There is a one-to-one correspondence between points on a line and the real numbers, and similarly one can distinguish between an open interval (a,b) that does not contain the numbers a and b and a closed interval [a,b] that does:
To end this section, let us define what we shall later mean by a region: A region is an open set, any two points of which can be connected by a continuous line that is contained entirely within the set (see Fig. 4).
1.4The Complex Plane
It is assumed that the reader is familiar with complex numbers; nevertheless we shall start with a short summary of their properties and of the notation that will be used throughout this chapter.
Fig. 4. The points belonging to either one of the shaded areas, but not lying on the boundary curves, form a region. The points p1 and p2 as well as the points p3 and p4 can be connected by a continuous curve lying within the shaded areas. When the points p1 and p3 are connected by a curve, a part of this curve necessarily lies outside the shaded areas.
A complex number z is completely specified by a pair of real numbers x and y.
z = x + i y
Manipulations with complex numbers are carried out using the usual rules of arithmetic, remembering, however, that by convention
i² = – 1
The real numbers x and y are called, respectively, the real and imaginary parts of z and are denoted by Re z and Im z:
Re z ≡ x
Im z ≡ y
The numbers x and y may be considered as the Cartesian coordinates of a point in a plane. Thus, any complex number can be represented by a point in a plane, hereafter called the complex plane. One can also represent a complex number by a pair of polar coordinates r and θ defined in the complex plane. They are related to the Cartesian coordinates (see Fig. 5) by the equations
Fig. 5. The complex number z = x + iy, represented as a point, with coordinates x and y or r and θ in the complex plane.
x = r cos θ
y = r sin θ
Hence, z can also be written as
z = x + iy = r(cos θ + i sin θ) (1.3)
where
r is called the modulus of z z . The concept of the modulus of a complex number is simply a straightforward generalization of the concept of the absolute value of a real number. θ is called the argument of z and is denoted by arg z. In fact the polar coordinate θ is determined only up to an integer multiple of 2π. Hence
(1.4)
Given two complex numbers z1 and z2, we have
(1.5)
Comparing with Eq. 1.3 we obtain
(1.6)
Each complex number z z , with components x and y, in the complex plane. The reader may easily verify that the rule of addition of complex numbers
(1.7)
can be represented graphically as the familiar geometrical rule of vector addition (see Fig. 6). Since the sum of the lengths of two sides of a triangle is larger than the length of the third side, one immediately gets the triangle inequalities
(1.8)
The numbers a = Re a + i Im a and ā = Re a − i Im a are called complex conjugates of each other and are represented by points whose positions are symmetrical with respect to the real axis. In this book a bar over any quantity will always mean that we take the complex conjugate of that quantity. The following relation is evident
(1.9)
Fig. 6. OA is parallel to BC and OB is parallel to AC. To derive inequalities 1.8, we consider the triangle OBC (or OAC).
1.5Functions
One says that a function has been defined on a set A if one has associated a number (in general, complex) with every element p A. A is then called the set of arguments of the function.
As a familiar example, one can take A to be the set of real numbers x [a,b], and then associate with every x a real number f(x). Such a function can be represented graphically as a curve in a plane (see Fig. 7); the point with Cartesian coordinates x and f(x) describes this curve as x goes from a to b.
A more general definition of a function would be to say that we associate not simply one number but some set F(p) with every p A.
As an example, consider a vector field (for example, an electric field) in space. With every point of some region in space, one associates a set of three real numbers, the components of the vector, which change from point to point.
Fig. 7.
Let a function f(p) be defined in a region R; it is irrelevant to our discussion whether R is a set of points located on a line, in a plane, or in space.
The function f(p) is said to be continuous at a point p∈R if for an arbitrary number ε > 0, one can find a number δ > 0 such that, provided the distance ρ(p,p′) between the points p and p′ is smaller than δ
p(p,p′) < δ (1.10)
one has
(1.11)
Stated less precisely, one can say that a function f(p) is continuous at a point p if, when p′ is sufficiently close to p, f(p′) is arbitrarily close
to f(p).
Consider now an infinite sequence of functions defined in R
(1.12)
One says that this sequence converges in R to the function f(p), if for any point p A and for an arbitrary ε > 0 one can find a number N = N(p,ε) such that, provided n > N, one has
(1.13)
As we have indicated, N will in general depend on both ε and p. If, however, N is independent of p throughout the set, then we say that the sequence 1.12 converges uniformly to f(p) in R.
The meaning of the uniform convergence of a sequence of functions can be easily illustrated if one considers the simple case of a real function defined on a line or (what is equivalent because of the one-to-one correspondence between points on a line and real numbers) on an interval [a,b]. If the sequence fn(x) (n = 1, 2 · · ·) converges uniformly to f(x), then for n large enough, all curves representing the functions fn(x) may be enclosed within an arbitrarily thin strip containing the curve representing f(x) (see Fig. 8).
Fig. 8. For an ε > 0, we can enclose all the curves fn(x) within the shaded strip, provided n is large enough and the sequence of functions fn(x) converges uniformly.
EXAMPLE
It is worthwhile to give an example of a sequence which does not converge uniformly. Let
as n → ∞. However,
Thus, one cannot make fn(x) arbitrarily small in the whole interval (−∞, + ∞) simply by choosing n large enough. The convergence to zero of the functions fn(x) is therefore not uniform in (−∞, +∞).
There exists an important criterion to decide whether or not a sequence of functions is uniformly convergent. This criterion is certainly known to the reader from elementary calculus. It is, however, more generally valid and holds also when the function is defined on an arbitrary set. The proof is analogous to the one given in the elementary case.
The Cauchy Criterion
A sequence of functions fn(p) (n = 1, 2, · · ·) converges uniformly on a set R if and only if for any ε > 0, one can find a real number N independent of p R and such that, provided
m > n > N
one has
(1.14)
The preceding criterion for the uniform convergence of a sequence of functions reduces to the well-known criterion for the convergence of a sequence of numbers when the functions fn(p) are constant functions.
An infinite series of functions is an expression of the type
(1.15)
One says that such a series converges to a function S(p) if the sequence of partial sums S1(p),S2(p), · · · , where
converges to S(p). Hence, the question of the convergence of an infinite series reduces to the problem of the convergence of a sequence of partial sums. In particular, one says that the infinite sum (1.15) converges uniformly to S(p) if the sequence Sn(p) (n = 1, 2, · · ·) converges uniformly to S(p).
One also has the Weierstrass criterion for the uniform convergence of the series (1.15).
The Weierstrass Criterion
The infinite series
and if the series
is convergent. The proof is again analogous to the one known from elementary calculus.
2· FUNCTIONS OF A COMPLEX ARGUMENT
We shall consider in this chapter those functions whose arguments are complex numbers. Defining a function f(z) over a set of complex numbers amounts to defining a function over a set of points in a plane, the complex plane, that is a function of two real variables. Since f(z) is assumed to take on complex values in general, it can always be written as
f(z)= u(x,y)+iv(x,y) (2.1)
where u(x,y) and v(x,y) are real functions of the real arguments x and y. It is therefore evident that the theory of functions of a complex variable would reduce trivially to the theory of functions of two real variables if the theory of functions of a complex argument was considered in its whole generality.
The theory of analytic functions deals, however, only with a restricted class of functions, namely, those functions that satisfy certain smoothness requirements or, to be specific, that are differentiable.
We shall explain presently what is meant by the differentiability of a function of a complex variable, but we may state now that although the condition of differentiability places a severe limitation on the functions that one is allowed to consider, it leads nevertheless to a theory of these functions that is both elegant and extremely powerful.
Before defining what we mean by the differentiability of a function of a complex variable, we shall make a few brief comments about the corresponding problem in the theory of functions of a real variable.
Let g(x) be a function of a real variable and suppose that it is continuous in the neighborhood of the point x = x0. Consider the two limits
(2.2)
Either of or both limits may not exist at all, even though g(x) may be continuous.* It may also happen that the two limits do exist, but that they are different. The simplest example is provided by the function g(xx . At x = 0, we have D+g(0) = 1, whereas D− g(0) = −1. More generally, D+ g(x0) ≠ D− g(x0) when g(x) has a cusp
(i.e., a sharp turning point) at x = x0. In that case, the tangent to the curve, g = g(x), tends to different limits, depending upon whether the point x = x0 is approached from the left or from the right. When the two limits are finite and equal, then
(2.3)
In that case, the function g(x) is said to be differentiable and the (unique) limit
(2.4)
is called the derivative of g(x) at x = x0 and denoted by
The derivative is a local characteristic of the function in the sense that it determines its behavior only in the infinitesimal neighborhood of a single point.
We now turn to a consideration of the differentiability of a function of a complex variable.
3· THE DIFFERENTIAL CALCULUS OF FUNCTIONS OF A COMPLEX VARIABLE
The derivative of a function of a complex variable with respect to its argument z is formally defined in the same way as it is for functions of a real variable.
(3.1)
Here the limit Δz → 0 is actually a double limit inasmuch as both the real part Δx and the imaginary part Δy of Δz must each tend separately to zero. Since there are an infinite number of ways by which Δz can tend to zero (even if for each of these ways the corresponding limit exists), there are in general an infinite number of possible values that the limits can assume. For example, to achieve the limit in Δz → 0 for any value of arg Δz (Fig. 9); but what is more likely is that the resulting derivative will depend on the particular value of arg Δz. Similarly, the limit in Eq. 3.1 will, in general, depend on the order in which Δx,Δy tend to zero.
Consider as a simple example the function f(z) = x + 2iy. We shall show that this function does not have a well-defined derivative at the origin. Its derivative at z = 0 is given by
The value of
Fig. 9. Ways of achieving the limit (Δz → 0 while letting arg Δz take on arbitrary values.
will obviously depend on the order in which the two limits are taken. If x is first held fixed while y → 0, we obtain
whereas if y is first held fixed while x → 0, we obtain
Again, suppose that x and y tend to zero along some arbitrary line, y = αx. Then
and the value of the derivative depends in this case on
In analogy to the case of functions of a real variable, we shall say that a function of a complex argument z is differentiable at a given point z = z0 if the limit
(3.2)
exists, is finite, and does not depend on the manner in which one takes the limit or, in other words, does not depend on the way one approaches the point z = z0. Whereas in the case of a real variable, one can approach a given point only in two ways (either from the left or from the right), a point in the complex plane can be reached from an infinite number of directions. Thus, instead of one requirement (Eq. 2.3), an infinite number of such requirements has to be satisfied in order to ensure the differentiability of a function of a complex argument. One can expect, therefore, that the property of being differentiable is, in the case of functions of a complex variable, very much more restrictive than it is for functions of a real variable. This is indeed the case. Without entering into the details, which will be discussed later on, we can state now that although the derivative
can still be considered as a local characteristic of the function f(z) at z = z0, the condition that a function be differentiable within some region of the complex plane implies that the local behavior of the function in that region governs its behavior at different and distant points of the region.
The formal rules of differentiation, which follow from the basic definition (Eq. 3.1), are the same as in the case of a function of a real variable. Thus, provided the derivatives on the right-hand side (RHS) exist, we have
(3.3)
The proofs are the same as in the real variable case.
It is, of course, important to have a criterion that will allow us to decide whether a function is differentiable. The necessary condition for a function to be differentiable at a given point is that, at that point, it obeys the Cauchy-Riemann conditions, which we shall now proceed to derive.
4· THE CAUCHY-RIEMANN CONDITIONS
Let u(v,y) and v(x,y) denote as before the real and imaginary parts of a function f(z) of the complex variable z
(4.1)
We shall suppose that at a point z of the complex plane, u(x,y) and v(x,y) possess first-order partial derivatives with respect to x and y. According to Eq. 3.1, the derivative df(z)/dz is
(4.2)
We now impose the condition that the right-hand side of (4.2) should yield the same result, whatever the order in which the limit Δx,Δy → 0 is taken. By first setting Δy = 0 and then taking the limit Δx → 0, we find
(4.3)
In the other case, in which we first set Δx = 0, and then take the limit Δy → 0, we find
(4.4)
By equating the real and imaginary parts of (4.3) and (4.4), one obtains the Cauchy-Riemann conditions
(4.5)
Differentiating Eq. 4.5, first with respect to x and then with respect to y, one easily obtains
(4.6)
A function h(x1, x2, · · · , xN) of N variables satisfying the equation
(4.7)
is called an harmonic function, and the differential equation, Eq. 4.7, is known as Laplace's equation. Thus, the real and imaginary parts of a differentiable function separately satisfy the Laplace equation (with N = 2) and are therefore harmonic functions of two variables. The converse is not true, however; a pair of harmonic functions does not, in general, define a differentiable function. For example, it is easy to verify that the function f(z) = x + 2iy, which does not have a well-defined derivative at the origin, also does not satisfy the Cauchy-Riemann conditions; the real and imaginary parts of this function, however, trivially satisfy Laplace's equation.
The Cauchy-Riemann conditions have been derived under rather restrictive assumptions, for of the many possible limiting processes that could have been used to deduce Eq. 4.5 from Eq. 3.1, only two specific ones were considered in which the increment of the variable z approached zero either along lines parallel to the x axis or parallel to the y axis. The result, however, is much more general than the derivation would indicate, as we shall now demonstrate by considering the sufficiency condition for f(z) to be differentiable.
Theorem. Let the real and imaginary parts u(x,y) and v(x,y) of a function of a complex variable f(z) obey the Cauchy-Riemann equations and also possess continuous first partial derivatives with respect to the two variables x and y at all points of some region of the complex plane. Then f(z) is differentiable throughout this region.
Proof. Since u(x,y) and v(x,y) have continuous first partial derivatives, there exist four positive numbers ε1,ε2, δ1, δ2, which can be made arbitrarily small as Δx and Δy tend to zero, and such that
(4.8)
Using the relations (4.8), we easily deduce
(4.9)
But since
we obtain from (4.9), on taking the limit Δz → 0,
(4.10)
which shows that f(z) is differentiable.
To give a more intuitive meaning to the Cauchy-Riemann conditions, suppose that the two real functions Re f(z) = u(x,y) and Im f(z) = v(x,y) can be expanded in a double Taylor series about a point with coordinates x0 and y0:
(4.11)
According to Eq. 4.5
Hence
Inserting this in Eq. 4.11 we obtain
(4.12)
We see that because of the Cauchy-Riemann conditions, the two real variables x and y enter into the function in the unique combination x + iy. Thus, these conditions have as a consequence that a mathematical expression defining a differentiable function can depend explicitlyonly on z = x + iy = x − iy. The preceding result was based on the assumption that a function can be expanded in a Taylor series. In fact, it should be noted that merely because an expression depends on z does not ensure the differentiability of the function. However, as we shall see later, any function that is differentiable within a neighborhood of a point can be expanded in a Taylor series about this point. Therefore the expression that defines such a function can explicitly depend only on z. For example, one immediately sees that the function f(z) = x + 2iy, considered in Sec. 3, cannot be differentiable because x + 2iy cannot be explicitly expressed in terms of z alone
The use of both z is unavoidable here.
Let w(x,y) be a real function of two real arguments x and y. One has
(4.13)
with components along the x and y axis given by
(4.14)
respectively.
with components
(4.15)
is called the gradient of w at a given point. Since dx and dy
(4.16)
Equation 4.13 can be rewritten as
(4.17)
.
In the case when the points x and y lie on the same curve
w(x,y) = constant (4.18)
one has
(4.19)
is now tangent to the curve (at a point x0,y0 is perpendicular to the curve w(x,y) = w(x0,y0).*
Consider now a differentiable function
f(z) = u(x,y)+iv(x,y)
are perpendicular at an arbitrary point x0,y0 to the curves u(x,y) = u(x0,y0) and v(x,y) = v(x0,yare perpendicular to each other
(4.20)
Hence the curves
u(x,y) = u(x0,y0) (4.21)
and
v(x,y) = v(x0,y0) (4.22)
make a right angle with each other at the point x0,y0.
In other words, the tangents to the curves
Re f(z) = Re f(z0)(4.23)
and
Im f(z) = Im f(z0)(4.24)
are perpendicular at the point z0 if f(z) is differentiable in a neighborhood of this point.
5· THE INTEGRAL CALCULUS OF FUNCTIONS OF A COMPLEX VARIABLE
The definition of the integral of a function of a complex variable is a straightforward generalization of the definition of the Riemann integral of a function of a real variable. Let f(z) be a function of the complex variable z = x + iy, and let us consider