Sturm-Liouville Equations

Kalpana Mahalingam
March 2020

1 Sturm-Liouville Problem
A classical Sturm Liouville equation is a real second order linear dif-
ferential equation of the form
d dy


r(x) + q(x) + λp(x) y = 0 (1)
dx dx
In simplest of cases : all co-efficients are continuous on [a, b] (finite)
and p(x) has continuous derivatives.

1. Then, y is a solution if y is continuously differentiable on (a, b)

and satifsfies Equation 1 at every point in (a, b).
2. The function p(x) is called weight or density function.
Boundary Conditions:

k1 y(a) + k2 y 0 (a) = 0 (2)

l1 y(b) + l2 y 0 (b) = 0 (3)

1
K.Mahalingam Sturm-Liouville

The problem consisting of Equations 1, 2 and 3 is called a S-L problem.

Types of Problem:
1. A SLP is called regular if r(x) > 0 and p(x) > 0 on [a, b].
2. A SLP is called singular if r(x) > 0 on (a, b), p(x) ≥ 0 on [a, b]
and r(a) = r(b) = 0.
3. A SLP is called periodic if r(x) > 0, p(x) > 0 and p, q, r are
continuous on [a, b] along with the boundary conditions
y(a) = y(b) , y 0 (a) = y 0 (b)
.
Types 1 and 3 are the most common.

1.1 Examples of S-L Equation

Example 1 Legendre Equation
00
(1 − x2 )y − 2xy 0 + n(n + 1)y = 0. (4)
Here, r(x) = 1 − x2 , q(x) = 0, p(x) = 1 and λ = n(n + 1). Thus, the
equation is of the form:
d
(1 − x2 )y 0 + n(n + 1)y = 0


(5)
dx
Example 2 Modified Bessel Equation
00
x2 y + xy 0 + (k 2 x2 − n2 )y = 0. (6)
2
Here, r(x) = x, q(x) = −n 2
x , p(x) = x and λ = k . Thus, the equation
is of the form:
d 0 −n2
+ k 2 x)y = 0


xy + ( (7)
dx x
K.Mahalingam Sturm-Liouville

Note that Modified Bessel (6) can be converted to Bessel by taking

x = kz .

1.2 Converting a given equation in S-L form:

The equation
00
a2 (x)y + a1 (x)y 0 + a0 y = f (x) (8)
can be put in S-L form
d dy


r(x) + q(x) + λp(x) y = F (x)
dx dx
by multiplying the given Equation (8) by
r(x)
a2 (x)
where, R a1 (x)
a2 (x) dx
r(x) = e
Example 3 Convert the following in S − L form:
00
x2 y + xy 0 + 2y = 0 (9)
Note that, a2 (x) = x2 , a1 (x) = x, a0 (x) = 2, f (x) = 0. Then,
a1 (x) 1
=
a2 (x) x
and hence,
1
R
r(x) = e x dx = eln x = x
Multiplying the given equation (9) by
r(x) x 1
= 2=
a2 (x) x x
K.Mahalingam Sturm-Liouville

we get,
00 2
xy + y 0 + y = 0
x
(i.e.,)
2
[xy 0 ]0 + y = 0
x

1.3 Solutions of a S-L Problem:

• Note that, y ≡ 0 is a trivial solution.
• The value of λ for which a non-trivial solution exists is known as
an eigen value of the S-L problem.
• The corresponding y(x) is known as the eigen function.
• For any c 6= 0 (constant) cy(x) is also an eigen function.
Existence of Eigen Values : Eigen values of a S-L problem
exist under general conditions on p, q, r in Equation 1. (out of scope
of syllabus)

Properties of Eigen values and Eigen Functions:

1. The eigen values of the regular SLP are real. (Proof later)
2. Eigen functions corresponding to distinct eigen values of a regular
SLP are orthogonal w.r.t the weight function p(x) on [a, b] (i.e.,)
Z b
p(x)ym (x)yn (x)dx = 0
a

The norm ||ym || of ym is defined by

s
Z b
||ym || = 2 (x)dx
p(x)ym
a
K.Mahalingam Sturm-Liouville

The functions are called orthonormal if they are orthogonal and

have norm 1.
3. Eigen values of regular SLP are simple (i.e.,) an eigen function
that corresponds to an eigen value is unique up to a constant
multiple.
4. Periodic SLP satisfies properties 1 and 2 but eigen values of pe-
riodic SLP are not simple.
Example 4 Show that the functions ym (x) = sin mx, m = 1, 2, . . .
form an orthonormal set on the interval [−π, π].
Solution :
Z π Z π
ym (x)yn (x)dx = sin mx sin nxdx
−π −π
Z π Z π
1 1
= cos(m − n)xdx − cos(m + n)xdx = 0
2 −π 2 −π
Note that, Z π
2
||ym || = sin2 mxdx = π
−π
Thus, ym (x) and yn (x) are orthogonal but not orthonormal.

Example 6 Find all real eigen values and corresponding eigen func-
tions.
00
y + λy = 0 , y(0) = y 0 (π) = 0

Solution : The auxilary or the characteristic equation is:

m2 + λ = 0

We consider the following three cases:

K.Mahalingam Sturm-Liouville

Case 1 : λ = −µ2 < 0. Then, m2 − µ2 = 0 and m = ±µ and hence,

y(x) = Aeµx + Be−µx
Now y(x) satisfies boundary conditions which gives:
y(0) = A + B = 0
and
y 0 (π) = µAeµπ − µBe−µπ = 0
Solving the above two we get, A = B = 0 and hence y = 0, a trivial
solution. Thus, this λ is not an eigen value.
Case 2 : λ = 0. Then, m2 = 0 hence,
y(x) = Ax + B
Now y(x) satisfies boundary conditions which gives:
y(0) = B = 0 , y 0 (π) = A = 0
This gives, y(x) = 0 which is a trivial solution.
Case 3 : λ = µ2 > 0. Then, m2 + µ2 = 0 and m = ±iµ and hence,
y(x) = A cos µx + B sin µx
Now, y(x) satisfies boundary conditions which gives:
y(0) = A = 0 , y 0 (π) = µB cos µπ = 0
The S-L problem has a non-trivial solution only when B 6= 0 which
implies cos µπ = 0 and hence, µ = 2n−1
2 . Thus, the eigen values are:

(2n − 1)2
λn = , n = 0, ±1, ±2, ±3, . . .
4
and the corresponding eigen functions are (choosing Bn = 1 ),
p
φn = sin( λn x)
K.Mahalingam Sturm-Liouville

Example 8 Find all real eigen values and corresponding eigen func-
tions.
00
y + λy = 0 , y(0) − y(π) = 0 , y 0 (0) = y 0 (π) = 0

Solution : Note that the boundary conditions are not separated at

end points(hence periodic and eigen values may not be simple..). The
auxilary or the characteristic equation is:

m2 + λ = 0

We consider the following three cases:

Case 1 : λ = −µ2 < 0. Then, m2 − µ2 = 0 and m = ±µ and hence,

y(x) = Aeµx + Be−µx

Now y(x) satisfies boundary conditions which gives: A = B = 0 for

µ 6= 0 which gives us a trivial solution.
Case 2 : λ = 0. Then, m2 = 0 hence,

y(x) = Ax + B

Now y(x) satisfies boundary conditions which gives: A = 0 and B a

constant which implies λ0 = 0 and the corresponding eigen function is
φ0 = B = 1 (we take B = 1).
Case 3 : λ = µ2 > 0. Then, m2 + µ2 = 0 and m = ±iµ and hence,

y(x) = A cos µx + B sin µx

Now, y(x) satisfies boundary conditions which gives:

A(1 − cos µπ) − B sin µπ = 0

A sin µπ + B(1 − cos µπ) = 0

K.Mahalingam Sturm-Liouville

Note that a system of equations has trivial solution iff the determi-
nant of co-efficients is non-zero. So, to have non-trivial solution, the
determinant,
 
 1 − cos µπ − sin µπ  = (1 − cos µπ)2 + sin2 µπ = 0


 sin µπ 1 − cos µπ 

Thus, 2 − 2 cos µπ = 0 which implies that cos µπ = 1 and hence,

µ = 2n , n = ±1, ±2, ±3, . . .

and hence, λn = 4n2 . Taking A = B = 1, the eigen functions corre-

sponding to λn are
p p
φn = cos( λn x) , ψn = sin( λn x)

φn and ψn are lineraly independent functions corresponding to λn .

Example 10 Find all real eigen values and corresponding eigen func-
tions.
00
y + λy = 0 , y(0) = 0 , y(1) = 0

Solution : Exercise.

Example 12 Find all real eigen values and corresponding eigen func-
tions.
00
y + λy = 0 , y(0) = 0 , y(1) + y 0 (1) = 0

Solution : Exercise.
K.Mahalingam Sturm-Liouville

2 Properties: Proof
Orthogonality of Eigen Functions:
Theorem 14 Suppose that the functions p, q, r and r0 in the S-L equa-
tion (1) are real valued and continuous and p(x) > 0 on the interval
[a, b]. Let ym (x) and yn (x) be the eigen functions corresponding to
eigen values λm and λn respectively. Then, ym and yn are orthogonal
on [a, b] with respect to the weight function p(x).
Proof : Consider a regular S-L problem defined by Equations (1), (2)
and (3). Since, yn and ym are solutions of (1) we have,
(r(x)yn0 )0 + (q(x) + λn p(x))yn = 0 (10)
0 0
(r(x)ym ) + (q(x) + λm p(x))ym = 0 (11)
Then, ym × Eq.(10) − yn × Eq.(11) gives,
(r(x)yn0 )0 ym +(q(x)+λn p(x))yn ym −(r(x)ym
0 0
) yn −(q(x)+λm p(x))ym yn = 0
which implies,
(λm − λn )pym yn = ym (ryn0 )0 − yn (rym0 0
)
0 0 0
= [ym yyn − yn rym ]
= [r(ym yn0 − yn ym0
)]0
Integrating the above with respect to x both sides from a to b we get,
Z b
(λm − λn ) pym yn = [r(ym yn0 − yn ym
0
)]|ba
a
= r(b)[ym (b)yn0 (b) − yn (b)ym
0
(b)] − r(a)[ym (a)yn0 (a) − yn (a)ym
0
(a)]
The wronskian of yn and ym is
 
 y (x) yn0 (x)
∆(x) =  n

0

ym (x) ym (x) 
K.Mahalingam Sturm-Liouville

Thus,
Z b
(λm − λn ) p(x)ym (x)yn (x) dx = r(b)∆(b) − r(a)∆(a) (12)
a

Then we have the following cases:

• Case 1 : If r(a) = r(b) = 0, then R.H.S of (12) = 0. Done.
• Case 2 : If r(b) = 0, r(a) 6= 0, then R.H.S of (12) = −r(a)∆(a).
Note that, both ym and yn satisfy boundary conditions. Consider
the boundary condition (2). Then we have,

k1 yn (a) + k2 yn0 (a) = 0

0
k1 ym (a) + k2 ym (a) = 0
and multiplying these conditions with ym (a) and yn (a) respec-
tively and subtracting one from the other we get,
k2 [yn0 (a)ym (a) − ym
0
(a)yn (a)] = k2 ∆(a) = 0
If k2 6= 0, then ∆(a) = 0 and hence R.H.S of (12) = 0. Done. If
k2 = 0, then by assumption k1 6= 0 and hence, yn (a) = ym (a) = 0
which implies R.H.S of (12) = 0. Done.
• Case 3 : The case when r(a) = 0 and r(b) 6= 0 is similar to
Case 2.
• Case 4 : If r(a) 6= 0 and r(b) 6= 0, then we use both boundary
conditions and show that R.H.S. = 0.
• Case 5 : If r(a) = r(b) (Periodic case), then R.H.S. of (12)
becomes
r(a)[yn0 (b)ym (b) − ym
0
(b)yn (b) − yn0 (a)ym (a) + ym
0
(a)yn (a)] = 0
K.Mahalingam Sturm-Liouville

since, r(a) = r(b) and hence ym (a) = ym (b), yn (a) = yn (b),

0 0
ym (a) = ym (b) and yn0 (a) = yn0 (b).

Corollary 15.1 Eigen values and Eigen functions of the S-L problem
are real.

Proof : Suppose λ = α + iβ is an eigen value and let y be the corre-

sponding eigen function. Then, λ̄ = α − iβ is also an eigen value and
let ȳ be its correspoding eigen function. Then, y and ȳ satisfy the S-L
equation (1) which gives
d dy


r(x) + q(x) + λp(x) y = 0 (13)
dx dx
and,
d dȳ


r(x) + q(x) + λp(x) ȳ = 0 (14)
dx dx
along with boundary conditions. If β 6= 0, then λ and λ̄ are distinct
and hence, y and ȳ satisfy the orthogonality property (i.e.,)
Z b
¯
p(x)y(x)y(x)dx =0
a

Let y = U + iV , and ȳ = U − iV and hence,

Z b Z b
¯
p(x)y(x)y(x)dx = p(x)(U 2 + V 2 )dx
a a

But, p(x) > 0 and U 2 + V 2 > 0 and hence,

Z b
p(x)(U 2 + V 2 )dx > 0
a

a contradiction to the orthogonality property. Thus, β = 0 and λ is a

real value, y(x) is also real.
K.Mahalingam Sturm-Liouville

Orthogonality of Legendre Polynomials :

Recall that for
[(1 − x2 )y 0 ]0 + λy = 0
we have r = 1 − x2 , q = 0, p = 1 λ = n(n + 1) on [−1, 1]. Then,
Z 1
Pm Pn dx = 0
−1

Orthogonality of Modified Bessel functions :

Recall the modified Bessel equation,
00
x2 y + xy 0 + (k 2 x2 − n2 )y = 0
2
Here, r(x) = x, q(x) = −n 2
x , p(x) = x and λ = k on the interval
[0, R]. Then,
Z R
xJn (k1 x)Jn (k2 x)dx = 0
0

3 Eigen Function- Fourier Series

An expansion of a given function f (x) in terms of eigen functions of a
S-L problem is called an eigen function expansion
∞
X
f (x) = am ym (x)
m=0

To find am ’s, multiply both sides by p(x)yn (x) and integrate from a to
b. Then,
Z b ∞
X Z b
f (x)p(x)yn (x)dx = am p(x)ym (x)yn (x)dx
a m=0 a
K.Mahalingam Sturm-Liouville

Then, by orthogonality property we have,

Z b
2
||yn || an = f (x)p(x)yn (x)dx
a

where, Z b
2
||yn || = p(x)yn2 (x)dx
a
Thus, Z b
1
an = p(x)f (x)yn (x)dx , n = 0, 1, 2, . . .
||yn ||2 a

Example 17 Find the Fourier series associated with the periodic S-L
problem
00
y + λy = 0 , y(π) = y(−π) , y 0 (π) = y 0 (−π)

Solution : Solving for y we get, y = A cos µx + B sin µx for λ = µ2 ,

where µ = 0, ±1, ±2, ±3, . . .. Hence, the eigen functions corresponding
to λ are :
1, φn = cos µx, ψn = sin µx, µ = 0, 1, 2, . . .
Hence, for any f (x), the eigen function expansion is given by:
∞
X
f (x) = a0 + (an cos nx + bn sin nx)
n=1

where,
Z π
1
a0 = f (x)dx (15)
2π −π
Z π
1
= f (x)dx (16)
||1||2 −π
K.Mahalingam Sturm-Liouville

and for n = 1, 2, . . .
Z π
1
an = f (x) cos nx dx
π −π
Z π
1
bn = f (x) sin nx dx
π −π
Z π
2 2
||yn || = || cos nx|| = cos2 nx dx = π
−π
2
Similarly, || sin nx|| = π and
Z π
2
||1|| = 12 dx = 2π
−π
(
−1 : −π < x < 0
Suppose if f (x) =
1 : 0<x<π
The function f (x) is periodic since f (x + 2π) = f (x) and satisfies
conditions of Fourier series of S-L. Then,
−1 h 0
Z Z π i
1
a0 = −dx + dx = [−π + π] = 0
2π −π 0 2π
1h 0
Z Z π i
an = − cos nx dx + cos nx dx = 0
π −π 0

1h 0
Z Z π i 1 h cos nx 0 cos nx π i
bn = − sin nx dx + sin nx dx = |−π − |0
π −π 0 π n n
1 h i 2
= 2 − 2 cos nπ = [1 − cos nπ]
nπ nπ
(
4
: n − odd
nπ and hence, f (x) = π4 ∞ sin nx
P
Thus, bn = n=1 n
0 : n − even
K.Mahalingam Sturm-Liouville

Fourier-Bessel expansion :
∞
X
f (x) = am Jn (αn,m x)
m=1

We know that,
Z a
xJn (αn,m x)Jn (βn,m x) dx = 0 : αn,m 6= βn,m
0

Hence,
Z a
2
am = 2 2 xf (x)Jn (αn,m x) dx : m = 1, 2, . . .
a Jn+1 (αn,m a) 0

Example 19 Expand the function f (x) = 1 on [0, 3] into a J0 Bessel

series.
Solution : Then,
∞
X
f (x) = 1 = aj J0 (αj x)
j=1

and for t = αj x we have,

Z 3
2
aj = xJ0 (αj x) dx
9J12 (3αj ) 0
Z 3αj
2
= tJ0 (t) dt
9J12 (3αj ) 0
2
= 2 [3αj J1 (3αj )]
9J1 (3αj )
2αj
=
3J1 (3αj )
K.Mahalingam Sturm-Liouville

So for 0 < x < 3,

∞
2 X αj J0 (αj x)
1=
3 j=1 J1 (3αj )

Example 21 Expand f (x) = x2 for 0 ≤ x ≤ 1 in Fourier-Bessel

series of zeroth order (in terms of J0 ).

Solution : Exercise.