I.

LAPLACE TRANSFORM
A. Denition
The Laplace transform of the function f(x) is dened as
g(s) = L[f(x)] =

0
f(x)e
sx
dx (1)
There is no condition that the integral

0
f(x)dx
converges. It would be sucient that there is a constant s
0
such that the integral (1)
converges for s > s
0
. This holds if there is such an M that for large enough x the inequality
|e
s
0
x
f(x)| M.
holds. Such a function is said to be of exponential order. For example the function e
x
2
does
not satisfy this condition.
The Laplace transform does not exists for function that behave as x
n
at x 0 for n 1.
a. Examples
1. L[1] =
1
s
for s > 0;
2. L[e
kx
] =
1
s k
for s > k;
3. L[cosh kx] =
s
s
2
k
2
for s > k;
4. L[sinh kx] =
k
s
2
k
2
for s > k;
5. L[cos kx] =
s
s
2
+ k
2
;
6. L[sin kx] =
k
s
2
+ k
2
;
7. L[x
n
] =

0
e
sx
x
n
dx =
n!
s
n+1
for s > 0 and n > 1.
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1. Laplace transform of derivatives and integrals
Carrying out integration by parts we get the Laplace transform of the rst derivative,
L[f

(x)] =

0
df(x)
dx
e
sx
dx =
df(x)
dx
e
sx

0
(s)f(x)e
sx
dx = sL[f(x)] f(0).
The higher derivatives can be obtained straightforwardly.
L[f

(x)] = sL[f

(x)] f

(0) = s
2
L[f(x)] sf(0) f

(0).
and generally
L[f
(n)
(x)] = s
n
L[f(x)] s
n1
f(0) s
n2
f

(0) f
n1
(0).
To be more precise all the functions should be calculated at x +0.
Now to the integral,
L
[
x
0
f(x

)dx

]
=

0
[
x
0
f(x

)dx

]
e
sx
dx =
1
(s)

0
[
x
0
f(x

)dx

]
de
sx
dx
dx
=
1
(s)
[
x
0
f(x

)dx

]
e
sx

1
(s)

0
f(x)
de
sx
dx
dx =
1
s
L[f(x)].
2. Multiplication by x
n
We consider rst the Laplace transform of xf(x)
L(xf(x)) =

0
xf(x)e
sx
dx =

0
f(x)
d
ds
e
sx
dx =
d
ds
L(f(x)) =
d
ds
g(s)
Similarly we get
L(x
n
f(x)) =

0
x
n
f(x)e
sx
dx =

0
f(x)
(

d
ds
)
n
e
sx
dx
=
(

d
ds
)
n
L(f(x)) =
(

d
ds
)
n
g(s)
B. Inverse Laplace transform
Let us assume that we know Laplace transform g(s) and we want to nd the function
f(x) satisfying the condition
L[f(x)] = g(s),
2
i.e. we need to know the operation
L
1
[g(s)] = f(x).
We know that the function f(x) must of exponential order, i.e. it may grow with x not faster
than e
x
with a certain constant . Let us distinguish this property explicitly by writing
f(x) = e
x
f(x)
where f(x) tends to zero at x .
In the Laplace transforms we need to know f(x) and correspondingly f(x) only at x > 0.
Therefore we may safely assume that f(x) = 0 at x < 0. Now, this function can be
represented by means of the Fourier integral
f(x) =
1
2

e
iux
du

0
f(v)e
iuv
dv
and
f(x) =
e
x
2

e
iux
du

0
f(v)e
v
e
iuv
dv. (2)
Changing the variable, s = iu and ds = idu, we get

0
f(v)e
v
e
iuv
dv =

0
f(v)e
sv
dv = L[f(v)] = g(s)
Then equation (2) can be rewritten in the form of Bromwich integral
f(x) =
e
x
2

e
iux
g(s)du =
1
2i

+i
i
e
sx
g(s)ds
s is now a complex variable and the convergence of the integral requires that Re(s) .
The integration path is now a vertical line in the complex plane crossing the x axis at x = .
This constant should be chosen in such a way that all the singularities of f(x) lie to the
left of this vertical line. It also gives an idea of how this integral can be calculated. The
vertical straight line is closed by means of the large semicircle in the left half of the complex
plane. Then we have to nd all the poles of the function f(x) and sum their residues. For
more complicated singularities the procedure may become more complicated.
C. Convolution
Here we consider the convolution of two functions f
1
and f
2
in the forms
f
1
f
2
=

t
0
f
1
(t t

)f
2
(t

)dt

(3)
3
which is similar to the one consider in the Fourier transforms. Now we Laplace transform
equation (3).
L[f
1
f
2
] =

0
[
t
0
f
1
(t t

)f
2
(t

)dt

]
e
st
dt =

0
dt

dtf
1
(t t

)f
2
(t

)e
st
=

0
dt

dtf
1
(t t

)f
2
(t

)e
s(tt

)st

0
dt

f
2
(t

)e
st

0
df
1
()e
st

= L[f
1
]L[f
2
] = g
1
(s)g
2
(s). (4)
D. Linear dierential equation
Linear dierential equation
mX

(t) + bX

(t) + kX(t) = f(t)

describes the motion of a damped oscillator under the action of the time dependent force
f(t); m is the mass of a body, k is the elastic constant, b is the friction coecient. If we
assume that the initial conditions are
X(0), X

(0)
then the Laplace transform of this equation becomes
ms
2
x(s) + bsx(s) + kx(s) (b + ms)X(0) mX

(0) = f(s)
and the solution is
x(s) =
f(s)
ms
2
+ bs + k
+
b + ms
ms
2
+ bs + k
X(0) +
m
ms
2
+ bs + k

(0) (5)
where

2
1
=
k
m

b
2
4m
.
1. Calculation of an integral
Consider the function
F(t) =

0
sin tx
x
dx.
Now we calculate its Laplace transform
L{F(t)} =

0
e
st

0
sin tx
x
dxdt
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and change the order of integrations
L{F(t)} =

0
1
x
[

0
e
st
sin txdt
]
dx =

0
1
x
[

0
e
st
e
itx
e
itx
2i
dt
]
dx =
1
2i

0
1
x
[
1
s ix

1
s + ix
]
dx =

0
1
s
2
+ x
2
dx =

2s
.
Since the function 1/s is the Laplace transform of 1 we get that
F(t) =

2
, for t > 0
Using the symmetry F(t) = F(t) we get
F(t) =

2
, t > 0
0, t = 0,

2
, t < 0.
2. Bessel equation, n = 0
The Bessel equation for n = 0 reads
xf

(x) + f

(x) + xf(x) = 0 (6)

We assume the initial condition f(0) = 1. Then equation (6) at x = 0 yields f

(0) = 0.
Its Laplace transform of (6) is

d
ds
[s
2
g(s) s] + sg(s) 1
d
ds
g(s) = 0
or
(s
2
+ 1)g

(s) + sg(s) = 0
and nally
df
f
=
sds
s
2
+ 1
which leads to
ln g(s) =
1
2
ln(s
2
+ 1) + ln C g(s) =
C

s
2
+ 1
In the limit of s the solution behaves as g(s) = Cs
1
. It means that the condition
f(0) = 1 requires that C = 1.
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3. Airy equation
Airy equation has the form
y

xy = 0
Its solution is called Airy function. To get it we make a Fourier transform of the equation,
which yields
k
2
g(k) i
d
dk
g(k) = 0.
Its solution reads
g(k) = e
i
3
k
3
.
Doing the back transform we get
y(x) =

C
dke
i
3
k
3
ikx
We get seemingly one solution for the second order equation, whereas we expect to have two
solutions. Where is the second solutions? How the contour of integration can be chosen?
Let us start with the second question. The integral converges if
Re(ik
3
) < 0, Im(k
3
) > 0.
If we write k = |k|e
i
we get that this condition is fullled if
2n < 3 < + 2n
with integer n, which results in three sectors:
0 < <

3
, I
2
3
< < , II
4
3
< <
5
3
, III
There are three integration contours going from sector II to I, from sector I to III, and from
sector III to II. They provide us with three solutions: y
1
(x), y
2
(x), and y
3
(x). However only
three of them are independent, since according to the Cauchy theorem
y
1
(x) + y
2
(x) + y
3
(x) = 0.
As a result we have two independent function Airy
Ai(x) =
1

0
cos
(
1
3
k
3
+ kx
)
dk, and
Bi(x) =
1

0
[
exp
(
1
3
k
3
+ kx
)
+ sin
(
1
3
k
3
+ kx
)]
dk
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4. Summation
Consider a sum

n=
f(n)
where n is integer and f(n) tends to zero at n stronger than 1/n.
Then

n=
f(n) =
1
2i

n=

C
n
f(z) cot z
where contours C
n
encircle the points z = n. Then opening this small circles into two
straight lines parallel to the x axis, we arrive at

n=
f(n) =

i
Resf(z)

z=z
i
cot z
i
where z
i
are poles of f(z).
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