Lecture Notes on Mathematical Methods PH2130 2012/2013

Glen D. Cowan Physics Department

Last revised: October 1, 2012

Preface
The main goal of PH2130 is to learn how to use the mathematical tools that underpin a number of the core physics courses in the undergraduate programme, especially electromagnetism and quantum mechanics. To a large extent this amounts to learning more about dierential equations, and especially partial dierential equations, those involving partial derivatives with respect to more than one variable. The lecture notes contain 10 chapters and several appendices. The main body of the course covers: 1. Review of ordinary dierential equations 2. Introduction to partial dierential equations 3. Orthogonal functions 4. Fourier series 5. Sturm-Liouville theory 6. The Laplace equation 7. Series solutions to dierential equations 8. Special functions 9. Nonhomogeneous problems 10. Integral transforms We will work through roughly one chapter per week, probably spending two weeks on Chapter 8 (Special Functions) as this is substantially longer than the others. The most important appendix concerns numerical methods, and we will try to make links between this and your computing course PH2150. The most important supplementary materials for this course are the texts by Arfken [1], Boas [2], Boyce and DiPrima [3] as well as the notes from the earlier PH2130 course by B. Cowan [5] and those by K. Howell at University of Alabama, Huntsville [6]. These references as well as valuable discussions with previous PH2130 lecturers B. Cowan, J. Nicholls and V. Boisvert have have provided important input for the present set of notes.

ii It would be appreciated if corrections, suggestions and comments on these notes could be communicated to g.cowan@rhul.ac.uk. GDC September, 2012

Contents
Preface 1 Review of Ordinary Dierential Equations 1.1 1.2 1.3 Basic properties of dierential equations . . . . . . . . . . . . . . . . . . . . . . . Initial conditions and boundary conditions . . . . . . . . . . . . . . . . . . . . . . Linear ODEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.3.1 1.3.2 1.3.3 1.3.4 1.3.5 1.4 Linear dierential operators . . . . . . . . . . . . . . . . . . . . . . . . . . Complex representation for linear equations . . . . . . . . . . . . . . . . . Solving a linear homogeneous ODE with constant coecients . . . . . . . Nonhomogeneous linear ODE with constant coecients . . . . . . . . . . The method of undetermined coecients . . . . . . . . . . . . . . . . . . i 1 1 3 5 5 6 7 10 11 13 19 19 20 21 21 22 23 26 27 29 31 31 33 34

The driven harmonic oscillator . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2 Introduction to Partial Dierential Equations 2.1 2.2 2.3 Basic properties of PDES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Boundary and initial conditions . . . . . . . . . . . . . . . . . . . . . . . . . . . . The heat equation, separation of variables . . . . . . . . . . . . . . . . . . . . . . 2.3.1 2.3.2 2.3.3 2.3.4 2.3.5 2.3.6 Specifying initial and boundary conditions . . . . . . . . . . . . . . . . . . Separation of variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Determining the allowed values of . . . . . . . . . . . . . . . . . . . . . Determining the coecients bn . . . . . . . . . . . . . . . . . . . . . . . . Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Generalising the heated-rod problem . . . . . . . . . . . . . . . . . . . . .

3 Orthogonal Functions 3.1 Vectors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.1.1 3.1.2 Denition of a vector space . . . . . . . . . . . . . . . . . . . . . . . . . . Inner product space . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

iii

iv 3.2 3.3 Basis vectors, basis functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Summary on vectors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35 37 41 41 43 45 47 48 53 53 55 55 56 57 59 60 60 61 63 64 65 68 69 70 71 72 77 78 78 79

4 Fourier series 4.1 4.2 4.3 Fourier sine and cosine series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Example of Fourier series: the square-wave function . . . . . . . . . . . . . . . . Exponential form of Fourier series . . . . . . . . . . . . . . . . . . . . . . . . . . 4.3.1 4.4 Exponential form of Fourier series for a square wave . . . . . . . . . . . .

Fourier series for particular solution of an ODE . . . . . . . . . . . . . . . . . . .

5 Sturm-Liouville Theory 5.1 5.2 The Sturm-Liouville equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Self-adjoint operators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.2.1 5.2.2 5.3 Lagranges identity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Boundary conditions for the SL problem . . . . . . . . . . . . . . . . . . .

Properties of SL eigenvalues and eigenfunctions . . . . . . . . . . . . . . . . . . . 5.3.1 5.3.2 5.3.3 Real eigenvalues . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Orthogonal eigenfunctions . . . . . . . . . . . . . . . . . . . . . . . . . . . Completeness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5.4

Using Sturm-Liouville theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

6 The Laplace Equation 6.1 The Laplace equation in Cartesian coordinates . . . . . . . . . . . . . . . . . . . 6.1.1 6.1.2 6.1.3 6.2 Separation of variables in Cartesian coordinates . . . . . . . . . . . . . . . Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Why it worked in this case and wont in others . . . . . . . . . . . . . . .

The Laplace equation in 2D polar coordinates . . . . . . . . . . . . . . . . . . . . 6.2.1 6.2.2 6.2.3 The Laplacian in 2D polar coordinates . . . . . . . . . . . . . . . . . . . . Separation of variables in polar coordinates . . . . . . . . . . . . . . . . . Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

6.3

The Laplacian in cylindrical and spherical polar coordinates . . . . . . . . . . . . 6.3.1 6.3.2 Cylindrical coordinates . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Spherical polar coordinates . . . . . . . . . . . . . . . . . . . . . . . . . .

Lecture Notes on Mathematical Methods 7 Series Solutions to Dierential Equations 7.1 7.2 General idea of series solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . The Frobenius method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.2.1 7.2.2 7.2.3 7.2.4 7.2.5 Some terminology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . The Euler equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Solution near a regular singular point . . . . . . . . . . . . . . . . . . . . Illustrative example of the Frobenius method . . . . . . . . . . . . . . . . Summary of the Frobenius method . . . . . . . . . . . . . . . . . . . . . .

v 83 83 86 86 87 89 90 95 97 97 98

8 Special Functions 8.1 Bessel functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.1.1 8.1.2 8.1.3 8.1.4 8.1.5 8.1.6 8.1.7 8.1.8 8.1.9 8.2 8.2.1 8.2.2 8.2.3 8.2.4 8.2.5 8.2.6 8.2.7 8.2.8 8.2.9 8.3 8.3.1 8.3.2 8.3.3 8.3.4 8.4 The wave equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Sturm-Liouville form of the radial equation . . . . . . . . . . . . . . . . . 100 Bessels equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101 The Bessel functions Jn and Yn . . . . . . . . . . . . . . . . . . . . . . . . 102 More Bessel functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104 Justication of the sign of 2 . . . . . . . . . . . . . . . . . . . . . . . . 106 Eigenmodes of a circular drum . . . . . . . . . . . . . . . . . . . . . . . . 107 Orthogonality of Bessel functions . . . . . . . . . . . . . . . . . . . . . . . 109 Fourier-Bessel series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112 Separating the Laplace equation in spherical polar coordinates . . . . . . 116 Legendres equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117 Legendre functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118 Expansion in Legendre polynomials . . . . . . . . . . . . . . . . . . . . . 120 Associated Legendre polynomials . . . . . . . . . . . . . . . . . . . . . . . 121 Spherical harmonics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123 Combining spherical harmonics with the radial equation . . . . . . . . . . 124 Using spherical harmonics . . . . . . . . . . . . . . . . . . . . . . . . . . . 127 Spherical harmonics in quantum mechanics . . . . . . . . . . . . . . . . . 128 The quantum harmonic oscillator and Hermites equation . . . . . . . . . 129 Series solution for Hermites equation . . . . . . . . . . . . . . . . . . . . 132 Orthogonality of Hermite polynomials . . . . . . . . . . . . . . . . . . . . 134 Wavefunction of the quantum harmonic oscillator . . . . . . . . . . . . . . 135

Legendre polynomials and spherical harmonics . . . . . . . . . . . . . . . . . . . 116

Hermite polynomials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129

The gamma function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136

9 Nonhomogeneous Problems 9.1 9.2 9.3 9.4

139

Nonhomogeneous boundary conditions . . . . . . . . . . . . . . . . . . . . . . . . 139 Eigenfunction expansion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143 9.2.1 Example of eigenfunction expansion . . . . . . . . . . . . . . . . . . . . . 146 The Dirac delta function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 148 Green functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 148 9.4.1 9.4.2 Eigenfunction expansion of Green functions . . . . . . . . . . . . . . . . . 150 Example of Green function from eigenfunction expansion . . . . . . . . . 152 153

10 Integral Transforms

10.1 The semi-innite heat equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153 10.1.1 Continuous eigenvalue spectrum . . . . . . . . . . . . . . . . . . . . . . . 153 10.2 Fourier transforms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153 10.2.1 Connection with Fourier series . . . . . . . . . . . . . . . . . . . . . . . . 153 10.2.2 Convolution theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153 A Numerical Methods 155

A.1 Numerical methods for solving ODEs . . . . . . . . . . . . . . . . . . . . . . . . . 155 A.2 Solving the Laplace equation with the relaxation method . . . . . . . . . . . . . 157 B Trigonometric Relations C Getting the Right Answer 161 163

C.1 Checking units . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163 C.2 Using physical intuition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 164 C.3 Special cases and symmetries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 165 D Derivation of the Heat and Wave Equations 167

D.1 The heat equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167 D.2 The wave equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167 E The Greek Alphabet Bibliography 169 171