2011

Mathematical Methods of Physics

Here you can find a short & non-rigorous motivation and introduction to the method of steepest descent that is very important in evaluating integrals of exponent-like function, also you will find two detailed examples that will show how to use this method to find asymptotic expansion of Airy & Bessel functions. For questions or comments, email me to tms2006 on gmail.com

By : Nadeem Al-Shawaf

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Nadeem Al-Shawaf TMS 27/12/2011

Contents
1. 2. 3. 4. 5. 6. 7. 8. Introduction to Laplace Method .................................................................................................................. 2 Watson Lemma ............................................................................................................................................ 2 The Asymptotic expansion (Generalization in Real Plane) .......................................................................... 3 Extending to Complex Plain; Method of steepest descent, and Stationary Phase method ......................... 4 Jordan Lemma .............................................................................................................................................. 6 Stokes Phenomena ....................................................................................................................................... 7 Airy Functions ............................................................................................................................................... 7 Bessel Functions ......................................................................................................................................... 10

By : Nadeem Al-Shawaf

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1. Introduction to Laplace Method

In 1774 and while Laplace was trying to estimate what we call now inverse Laplace transformation, or integrals of the form: ( ) ( )
( )

Usually when we want to get asymptotic description for such a function, we integrate it by parts then we suppose that , or: ( ) ( ) ( )
( )

( )

( ) ( )

( )

But as we note if our ( ) has a stationary point ( ) in the domain of integration, we cant use this method anymore. So Laplace made the following observation: when then its easy to see that the exponential part will be the bigger contributor in the integral value, and more precisely the point where ( ) reaches its maximum value in ( ), so if we suppose that ( ) has a stationary point in this interval, we can expand it around this point : ( ) ( ) ( ) ( )

(We supposed that is a global unique maximum in ( approximately equal to the same integral in the domain , so we can write: ( ) ( )
( )

) so ( ) ) then we can say that our integral is - were is a sufficiently small number ,

( )

( )

The last integral can be reduced to the famous gauss integral as follows:

( )

( )

( )

It is important to sympathize that these results taking in account that is not equal to one of the integration bounds, in other case we will need to take a slightly different approach, anyway we do not need that case here. So finally, we have: ( ) ( ) ( ) ( ) ( ) ( ) { ( ) Also it should be noted, that we suppose that ( ) have only one maximum in , - , the same thing will be supposed along the rest of the text , anyway its obvious that if there is couple such a points, we can simply sum the asymptotic expansion around each of those points.

2. Watson Lemma
Watson was trying to find estimation for usual Laplace transform, or in general, he analyzed the integral:

By : Nadeem Al-Shawaf

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( )

( )

Now the biggest contribution will be done by ( ) instead of the exponential part, so In 1918 Watson suggested to expand this function ( ) around 0, what gives us: ( ) ( )
( )(

( )

( )

We immediately note that the last integral is very similar to Gamma function definition (except the upper bound of the integral) , so we can write: ( ) ( ) | | ( ) { ( ) Where in we take the main branch (the same will be assumed for all powers in this text).

With a more careful analysis, and after extending the results to complex plane (see below title for that) it can be shown that this will only add some conditions (beside analyticity of ( ) along integration path ) but doesnt change the expansion terms themselves), and we will get that:

( )

( )

( )(

) (

) | {

( ) | ( )

( )

Some notes: I. It should be noted that the expansion stays valid even if ( ) has singularities as long as the last condition holds. II. In addition, I will mention that Watsons lemma error is of magnitude (| | ) where is the number

III.

of terms that will be taken in the above sum. Anyway it is still asymptotic expansion what means that this error holds up to a specific only. Some authors of mathematical physics, considers and build the above result by expanding ( ( )) by powers of directly, even so its gives the same results, as I understood, from mathematical rigor point of view, its not quite right because in case is complex or negative, it will need a different approach.

3. The Asymptotic expansion (Generalization in Real Plane)

Laplace method actually is quite rough estimation, and here comes the real Importance of Watson lemma, actually the main integral ( ) can be converted to an integral of the form ( ) that used in Watson Lemma, by a tricky substitution, if we suppose that: ( )( ) ( )( ) ( ) ( ) ( ) where the last function is chosen to satisfy (it can be proven that this Then if we make a substitution, possible using Lagrange inversion theorem):

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( ) , ( )( ) { ( ) ( |
(

)
)(

)|

(last expression shows that we moved the saddle point away) , Then we will have: ( )
( )

* , ( )- ( )+

Now by Appling Watson lemma its easy to get that (also already it will include the complex functions case, see the next paragraph): ( ) , ( )
( ( ) ( ) ) )

( )( )

( )
( )

) ( )

, ( ) ( )-| ,
(

( )
(

( )
)(

( ) ) |

( ))

( )
( )

| { Where ( ) means a neighborhood to of radius.

| | | ( ) |

4. Extending to Complex Plain (Method of steepest descent, and Stationary Phase method)
In 1909, Debye while he was trying to find asymptotic approximation for Bessel functions; he proposed an extension for Laplace method on complex plane (he did that depending on Old Riemann notes in 1863). For the beginning we consider and ideal situation when both of ( ) ( ) are analytical in some open domain that includes integration path and has no singularities inside, while there is only one saddle point for which ( ) and it is not positioned on the end or the beginning of integration path , and we want to evaluate the integral: ( ) ( )
( ) ( )

In a same way as Laplace discussed, the exponential part is the most important contributor, and according to Cauchy integral theorem, and because the integrant is analytical, we can: I. Deform the integrating path to give it a shape that is most comfortable for us. II. When we do that we should keep in mind that both of the ending points of this path (if any) should be fixed. III. Deformation should be done in a way that ensures that we will not drug the integrant over any singularities. IV. Finally, we need it to go through the saddle point as will be explained below. By doing that the approximated value of our integral doesnt change (we will denote the set of all such paths ). It should be noted that it may sounds that deforming a path that is already on real axis will make the problem more complex, but actually we may find in complex plane a better saddle points that will make integrant grows faster and will make our estimation better, this makes the process of choosing the saddle point that we will go through
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seems to be very subjective, but as we will see below, there will be a specific properties to the path and saddle point that we will choose. Lets suppose that If ( ) ( ) ( ( ) ) then we can rewrite our integral in the form: ( )
( ) ( ) ( )

So to apply Laplace method, we need to make the amplitude part

to increase at maximum possible speed

( ) along our path (that going through the saddle point), while the phase part (if where complex, obviously * , ( )-+ instead, and the same is for the previous term) to change at we should discuss behavior of minimum possible speed (this is to decrease the oscillation effect of the imaginary part when we approaching the saddle point).

The Main problem in applying the Real Integral case to complex plane that behaves in different ways when it approaching its saddle point from different directions, because we are now moving on a manifold not in a flat plane as in Real Integral case (see the figure), this makes the saddle point looks like a hill when we moving on one path, and like a valley on another. Second problem, is to make the Phase part oscillates to minimum possible value to decrease its contribution on estimation. Fortunately, analytical complex functions has some futures that can in second issue, so Debye as a physicists knew that complex vector field is conservative, what means that level curves (equipotential in physical terms) of imaginary and real parts of any Meromorphic complex function will be orthogonal; this easily can be seen as follows: ( ) If ( ) ( ) then its clear from Cauchy-Riemann equations that but from gradient ( ) ( ) definition we know that , that means if we will move along imaginary equipotential, the real part of the function will grow at maximum possible speed and vice versa, and this exactly what we were looking for to apply Laplace method, what solves the second problem. I found the following two nice graphs that illustrate this concept very good:

( )

Two graphs overlapped

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, ( )What we get from this, is if we ask to satisfy , this will ensure us that at we will have a set of stationary points (this condition is not enough to determine them) that will make our amplitude part of the , ( ), ( )integrant maximized, in the same time , if we ask to have what will ensure that the real part will increase at its maximum speed as discussed above, and the phase part is not oscillating , but those both conditions combined is ( ) what means that will be a saddle point, this approach is what , ( )called the Method of Steepest Descent, in some other cases we may be interested to make , ( ), then it will be called Method of Stationary Phase the one I will not talk about here. , ( )Off course this doesnt solve the first problem, usually we overridden simply by making sure that , ( )- along all our chosen path (up to infinity if any), this will ensure that our stationary point actually is global and that our path is mountain-like. More precisely, Mathematically, the best possible path should go thought a point such as: ( ) | ( ) | But unfortunately, in general , there is no precise way to find such a path, and in some cases (even when ( ) is simple) there is no such a path at all, but even so, if we success in finding it (we will call it ) we can convert our complex integral to a real integral on some peace of our path near the saddle point (in analog to when make chanced integration bounds in Laplace method to be just near the stationary point) , by some substitution along this path, and then simply we can apply original Laplace method or Watson Lemma: ( ) ( ) and because Same as we did in the previous paragraph, If we put ( ) ( ) | ( )

(as usually we taking the main brunch of the roots) We get that: ( )
(

( )
)

( )

, ( )-

For which we can now use Watson lemma. Anyway, to have all this be right, we at first usually should make sure that our Integral coverages, this usually easy to be done by Jordan Lemma

5. Jordan Lemma
Its a known and very useful lemma to give a quick estimation for integrals, and it states: | ( )
( )

| (

)|

Where is an upper half circle of radius R that aligned on Real axis and its center in the center of coordinates. Its main application that if | ( )| and ( ) has no purely real singularities, then we can calculate easily the real integral along real axis which is actually the radius of the above half circle, or: ( ) ( )

By : Nadeem Al-Shawaf

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6. Stokes Phenomena
When steepest descent path of integration in complex plane happens to have for example two saddle points on his way, and if , it may be that the contribution of each saddle radically changes for different (such as changes to ) this leads to what called Stokes Phenomena, that forces to have different asymptotic expansions on different regions of complex plane. The above reason is not the only one for this phenomena, it can happen in a more obvious situations like if ( ) is not single valued function, or even in a less obvious situations like in the case of complementary error function": ( ) ( ) ( ) ( ) | | | | ( ) { ( )}

( ) | | { As we see that some sectors are also overlapped, and the same sector may have different expansions. This phenomenon cases a serious problems in commutability & drawing of differential equations solutions, and currently is under extensive research. A more interesting behavior of this phenomenon will be mentioned in the end of the Airys functions.

7. Airy Functions
During His research in 1838 in Optical diffraction (anyway they can be found in wave theory, electron tunneling and other fields, or scale-invariant form of the Schrodinger equation for a quantum particle under a fixed potential) he faced a need to solve equation of the form: ( ) ( )

Its solution is a linear combination of two linearly independent functions, Airys of the first and second type. Its asymptotic expansion can be found in couple ways, by steepest descent or stationary phase methods, and in both cases if we consider that we know the analytical extension to complex plane of Airys function the question became much easier, also it should be noted that because Airy Functions are a special case of Bessel functions this adds more variety on the methods that one can use. As for me, I Think the best way to understand how to make the approximation is to understand how we got the solution of the equation itself, otherwise all tries will unfruitful. Lets consider the following inverse Laplace transform of our solution: ( ) , ( )
( )

( )

Where ( ) is analytical function without any singularites, and is a counter that do not depend on and will be ( )| determine latter, and If we put the boundary condition it can be easily shown by integration by parts that: ( )
( ) ( )

( )

Now lets discuss integration contour, if it was a finite and closed contour, it will give us a trivial zero solution because the integrant has no singularities (Cauchy's integral theorem), while taking a finite unclosed contour will violate the boundary condition we put above, thus it should be infinite across the whole complex plane.
By : Nadeem Al-Shawaf

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Now to make sure that our integral will converge, we have to make sure that the integrant is decreasing while we approaching infinity, and that can happen only in three sectors; because: 0 ( )
| |

1 [ ] ]

, ( )-

( )|

, ( )[

{ But because all of this sectors are equivalent, and our contour should go from infinity to infinity, we can suppose that our counter should go through any of the two sectors, what means that we will get 3 different paths as illustrated in the figure, so we can consider 3 solutions for each of those counters. But, interestingly, we can see that if we cycle along all our three paths we will get a closed counter, then the integral along according to Cauchy vanishes as ( ) ( ) discussed above, what means that ( ) thus, actually we have only two independent solutions! And they called Airys functions of First and second kind (or regular and irregular), and defined as follows: ( )
(

( )
(

It should be noted that (as it will be showed below) we can take to be along the imaginary axis only, and If we put , then by Jordan Lemma we still have a coverage integral that can be written as: ( )
( )

And the last integral is actually the original form Airy worked with, some authors starting with it when trying to find its estimation, but I found it to be very unnatural way and preferred to build it from ground. Now we need to find the best path of integration for approximation, first to make things easier we can shrink the scale by putting ( )
(

and we get:
) ( )

( )

( )

( )

The integration counters will not change its shape because we just shrink our coordinates. Then the saddle points are: ( ) ( )

So we have actually a circle of saddle points, and its clear that they will affect our condition for steepest descent path. lets for beginning choose the easiest way and put , then we see that its not straight forward do deform to go through , while its a natural thing to do for , so we will consider this saddle for the Airys second kind functions, and for the first kind that we will work on.

By : Nadeem Al-Shawaf

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As discussed before, for our steepest descent path we have to satisfy the condition follows: ( ) ( ) ( ( ) ) ( ( ) ) ( ) [ ( ) ( )] (

[ ( )

)]

as

So this will be satisfied in two sectors (see the magnification of the figure) because: ( ) { [ [ ] ]

Those sectors are showed also in the magnification of the figure, now as discussed above; to decrease oscillations we need to make: , ( ), ( )( )

What means that our path near the saddle point will be simply parallel to imaginary axis and that will guaranty maximizing the amplitude part and vanishing the phase part. Now lets analysis how may affect the results, to satisfy the needed path as in the figure we take but ( ) we showed that the condition so from here we can easily find that this will be satisfied if | | | | , in this case it will not chage the phase part begaviour, so we can see here that Stockes phenomena may has its influence when this condition violated. So everything ready to use the above-mentioned extension to complex plane and by using Watson lemma its straight away to get that:

( )

( (

) )

Where all roots are to be taken as the main brunch. Now lets see the other case, or when , and of course to simplify things we take by direct substitution into the result we got above we get: ( ) ( ) ,

The most important change happened here is that [ ( )] what means in its turn that in this case the both saddle points should contribute in the asymptotic expansion because they have the same weight, and its easy to see how to deform to go from some complex infinity to then to move along imaginary axis again to and to infinity again, and verifying all the needed sectors as we did above will tell us that this path is valid, so basically we apply the same steps and we will get that:

( )

| | | | |.

And another important difference in this case, that we should take the roots as:

As we see, this is another sample of Stockes phenomena, and actually, if we were analyzed asymptotic expansion for ( ) , we will find that those expansions values in specific sectors exchanges with ( ) expansion! In other
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By : Nadeem Al-Shawaf

words expansion for ( ) for some values will give the other solution of the differential equation which is ( ) , this mutability actually arises because the steepest descent path changes discontinuously relative to in some positions.

8. Bessel Functions
The situation with Bessel functions is much more complicated compared to Airys , because there is different integral representation for them and different modification of these function, also the expansion of ( ) is differs for large and small one, for large arguments and small one, for Integer, half integer, Purely Imaginary etc. arguments, all of them has different treatment and asymptotic behavior, also new methods are presented till current days, so we will consider the real arguments here. Bessel functions are the solution of the following differential equation: ) ( Now we need to find its integral representation in the complex plan, below is somehow a clumsy way to do that but its true anyway. Considering our knowledge that Bessel functions are actually orthogonal functions, we can suppose that we can do the following furrier expansion:
( )

( )

We can make sure of that by simply bulging it into the diff. equation. Now we note that if we multiply the both sides by
( ) . /

and integrate them we get: ( )

( )

We note that if our integration contour will enclose the origin, then by reside theorem we get that:
( )

( is Kronecker delta) (actually we can expand set to be more than just natural numbers but its not our concern here) thus we found the following integral representation for Bessel functions of the first kind: ( )
( ) ( )

Basically we have some freedom in choosing our path, we can take it simplify as a unit circle around the origin or as illustrated in the picture, we will take the first, so we can put (this choice is comfortable because it will cancel out some terms in the calculations below). So our saddle points are:
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( )

And its quite obvious how to deform path to go through the saddle points, also Is clear that both of the points will contribute in the expansion. Now if we use a new integration parameter such as: Where we choice square root sign in such a way that will keep the direction of our path counterclockwise, also we see how our will cancel out from the exponent and no more effect our steepest descent path, and our integration path near saddle points will as showed in by arrows in the above figure. Now everything is ready to apply Watson lemma for each saddle point will give us: ( ) ( ) ( )

( ) Where:

( ( ( ( ( ) ) ) ) )

( )

, ,

( (

) ) -

And this expansion is valid for any , anyway the asymptotic actually is better in case | | otherwise it should be expanded little bit differently.

By : Nadeem Al-Shawaf

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