Chapter 4

Sturm-Liouville Eigen Value

Problem
4.1
4.1.1

Sturm-Liouville Eigen Value Problem

Introduction

For this course, the technique used to solve Partial Differential Equation (PDE)
is the separation of variable method. As we will see in Chapter 5, this method
will reduce PDE into two (or more) Ordinary Differential Equation (ODE) which
is in the form of
f1 (x)

dy
d2 y
+ f2 (x) + f3 (x)y + y = 0.
2
dx
dx

(4.1)

If we introduce
p(x) = exp

(Z

f2 (t)
dt
f1 (t)

f3 (t)
p(x)
f1 (t)
p(x)
r(x) =
,
f1 (t)

q(x) =

(4.2)

and substitute into Eq.(4.1), we get

"

d
d
p(x) y(x) + q(x)y(x) + r(x)y(x) = 0.
dx
dx

(4.3)

Eq.(4.3) is known as the Sturm-Liouville equation, for a x b. is a number

that does not depends on x, and p, q, r are real functions x.
77

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CHAPTER 4. STURM-LIOUVILLE EIGEN VALUE PROBLEM

Assume that p, q, r, p0 are continuous in [a, b] or at least continuous in (a, b),

and p(x) > 0, r(x) > 0 in (a, b). If L is a differential operator in the form of
"

d
d
p(x)
+ q(x),
L
dx
dx

(4.4)

Eq.(4.3) can be written as

Ly(x) + r(x)y(x) = 0.

(4.5)

The form of differential operator L in Eq.(4.4) is general because we can obtain

the second order linear PDE in Eq.(4.5) if it is multiplied with a suitable factor.
The Sturm-Liouville eigen value problem consists of Sturm-Liouville equation when the boundary conditions are applied. To solve the Sturm-Liouville
eigen value problem, only the non-trivial solution is determined. The solution, if
exists, is known as the eigen function and the corresponding is known as the
eigen value.
There are several types of Sturm-Liouville eigen value problem:
(a) Ordinary Sturm-Liouville eigen value problem.
(b) Periodic Sturm-Liouville eigen value problem.
(c) Singular Sturm-Liouville eigen value problem.
The first kind in (a) is the most frequently used.

4.1.2

Ordinary Sturm-Liouville Eigen Value Problem

Ordinary Sturm-Liouville eigen value problem consists of Sturm-Liouville equation (4.3) for a x b when the ordinary boundary conditions are applied,
which is in the form of
a1 y(a) + a2 y 0 (a) = 0,
a3 y(b) + a4 y 0 (b) = 0.

(4.6)

a1 , a2 , a3 , a4 are constants. The pair of a1 , a2 and a3 , a4 are not both zero. Some of
the theorem of ordinary Sturm-Liouville eigen value problem are given as below:

4.1. STURM-LIOUVILLE EIGEN VALUE PROBLEM

79

(1) All the eigen values are real.

(2) The numbers of eigen values are infinite:
1 < 2 < ... < n < n+1 < ...

(4.7)

The smallest eigen value is 1 and there is no largest eigen value, which means
that n when n .
(3) For each eigen value n , there is a corresponding eigen function n (x) that is
unique and has n 1 zeros for a < x < b.
(4) Eigen functions n (x) form a complete set, which means that any function
f (x) can be represented with any Fourier series expansion, in terms of eigen
function:
f (x)

an n (x).

(4.8)

n=1

(5) The eigen function that corresponds to an eigen value are orthogonal between
each other.
Z b
Z

a
b

n (x)m (x) dx = 0;

n 6= m

n (x)m (x) dx 6= 0;

n = m .

(4.9)

Example:
1. Determine the eigen values and the corresponding eigen functions for the
following Sturm-Liouville eigen value problem:
y 00 + y = 0;

[0, L]

y(0) = 0, y(L) = 0.
Solution:

(4.10)

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CHAPTER 4. STURM-LIOUVILLE EIGEN VALUE PROBLEM

Case 1: When = 0, we have

y 00 + y = 0;
y 00 = 0,
y 0 = c1 ,
y = c1 x + c2 .

(4.11)

where y is a general solution.

Apply the boundary condition
y(0) = 0
0 = c2 .

(4.12)

Hence, we obtain
y = c1 x.

(4.13)

Apply another boundary condition

y(L) = 0,
0 = c1 L,
c1 = 0,

as L cannot be zero.

(4.14)

Hence we obtain
y(x) = 0,

(4.15)

which is a trivial solution.

Case 2: When < 0 (say k 2 , k > 0), we have
y 00 + y = 0,
y 00 k 2 y = 0.

(4.16)

Let
y = erx , y 0 = rerx , y 00 = r2 erx ,

(4.17)

4.1. STURM-LIOUVILLE EIGEN VALUE PROBLEM

81

we then have
(r2 k 2 )erx = 0,

(4.18)

and because erx 6= 0, we have

r2 k2 = 0
r = k.

(4.19)

y = k1 ekx + k2 ekx ,

(4.20)

y(x) = c1 cosh(kx) + c2 sinh(kx)

(4.21)

Hence

and we have

as the general solution, where k1 = c1 + c2 and k2 = c1 c2 .

Apply the boundary conditions
y(0) = 0
0 = c1 ,

(4.22)

and we have
y(x) = c2 sinh(kx).

(4.23)

Applying another boundary condition

y(L) = 0,
0 = c2 sinh(kL),

(4.24)

and because
kL > 0,
sinh(kL) > 0,
c2 = 0,

(4.25)

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CHAPTER 4. STURM-LIOUVILLE EIGEN VALUE PROBLEM

hence we have
y(x) = 0,

(4.26)

which is a trivial solution.

Case 3: When > 0 (say k 2 , k > 0), we have
y 00 + y = 0,
y 00 + k 2 y = 0.

(4.27)

Let
y = erx , y 0 = rerx , y 00 = r2 erx ,

(4.28)

(r2 + k 2 )erx = 0,

(4.29)

we then have

and because erx 6= 0, we have

r2 + k2 = 0
r = ik.

(4.30)

y = k1 eikx + k2 eikx ,

(4.31)

y(x) = c1 sin(kx) + c2 cos(kx)

(4.32)

Hence

and we have

as the general solution.

Apply the boundary conditions:
y(0) = 0,
0 = c2 ,

(4.33)

4.1. STURM-LIOUVILLE EIGEN VALUE PROBLEM

83

hence we have
y(x) = c1 sin(kx).

(4.34)

Applying another boundary condition

y(L) = 0
0 = c1 sin(kL),

(4.35)

and because
c1 6= 0,
sin(kL) = 0,
kL = n,

n = 1, 2, 3, ...

(4.36)

hence we have
k=

n
.
L

(4.37)

The eigen values are

n = kn2 =

n2 2
,
L2

(4.38)

and the eigen function is

n
x ,
yn = C sin
L


(4.39)

where n = 1, 2, 3, ....
The analysis:
1. Real eigen value. We have seen three cases for real , and obtained that the
eigen value is n =

n2 2
.
L2

If we try to look for complex , no new eigen value will

be obtained, except n =
to be considered.

n2 2
.
L2

Theorem 1 ensures that complex do not need

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CHAPTER 4. STURM-LIOUVILLE EIGEN VALUE PROBLEM

2. Eigen value sequences. The number of eigen values are infinite.

n2 2
,
L2

n =

and the smallest value is 1 =

2
.
L2

n = 1, 2, 3, ...

(4.40)

As stated in Theorem 2, there is no largest

value.
3. Zeros for the eigen function. From the above example, the eigen function is
n
n = sin
x .
L


(4.41)

It is very easy to see from the skecth of several eigen functions 1 = sin
2 = sin

2
x
L

and 3 = sin

3
x
L

x
L

that these eigen fucntions has n 1 zeros in

the range of (0, L), as stated in Theorem 3.

4. Eigen function series. According to Theorem 4, eigen function can be used to
represent any function f (x) as
f (x)

an n .

(4.42)

n=1

In the above example:

n
an sin
f (x)
x
L
n=1


(4.43)

which is known as the Fourier sine series. Eq.(4.42) is referred as expansion of

function f (x) in terms of eigen function n or in short, eigen function expansion.
In the above example. the eigen function is a sine function, hence we consider the
expansion of Fourier sine series. Sometimes the eigen function involves Legendre
function or Bessel function, and we will need to consider expansion of FourierLegendre series or Fourier-Bessel series.
5. Orthogonal eigen function. From 4, we see that a function can be represented
by expansion of eigen function. The constant for the series can be determined by
using Theorem 5 which is related to the orthogonality of eigen function.

4.1. STURM-LIOUVILLE EIGEN VALUE PROBLEM

85

2. Determine the eigen values and the corresponding eigen functions for the
following Sturm-Liouville eigen value problem:
y 00 + y = 0;

[0, ]

y 0 (0) = 0, y 0 () = 0.

(4.44)

Solution:
Case 1: When = 0, we have
y 00 + y = 0;
y 00 = 0,
y 0 = c1 ,
y = c1 x + c2 ,

(4.45)

here y is a general solution.

Apply the boundary condition
y 0 (0) = 0
0 = c2 .

(4.46)

Hence, we obtain
y(x) = c2 .

(4.47)

Notice that the solution y(x) = c2 satifies both the boundary conditions. Hence
= 0 can be accepted as an eigen value with its corresponding eigen function
y(x) = c.
Case 2: When < 0 (say k 2 , k > 0), we have
y 00 + y = 0,
y 00 k 2 y = 0.

(4.48)

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CHAPTER 4. STURM-LIOUVILLE EIGEN VALUE PROBLEM

Let
y = erx , y 0 = rerx , y 00 = r2 erx ,

(4.49)

(r2 k 2 )erx = 0,

(4.50)

we then have

and because erx 6= 0, we have

r2 k2 = 0
r = k.

(4.51)

y = k1 ekx + k2 ekx ,

(4.52)

y(x) = c1 cosh(kx) + c2 sinh(kx)

(4.53)

Hence

and we have

as the general solution, where k1 = c1 + c2 and k2 = c1 c2 .

Differentiate the above equation,
y 0 (x) = c1 k sinh(kx) + c2 k cosh(kx)

(4.54)

Apply the boundary conditions

y 0 (0) = 0
0 = c2 k,

(4.55)

y(x) = c1 sinh(kx).

(4.56)

and we have

Applying another boundary condition

y 0 () = 0,
0 = c1 k sinh(k),

(4.57)

4.1. STURM-LIOUVILLE EIGEN VALUE PROBLEM

87

and because
k > 0,
sinh(k) > 0,
c1 = 0,

(4.58)

hence we have
y(x) = 0,

(4.59)

which is a trivial solution.

Case 3: When > 0 (say k 2 , k > 0), we have
y 00 + y = 0,
y 00 + k 2 y = 0.

(4.60)

Let
y = erx , y 0 = rerx , y 00 = r2 erx ,

(4.61)

(r2 + k 2 )erx = 0,

(4.62)

we then have

and because erx 6= 0, we have

r2 + k2 = 0
r = ik.

(4.63)

y = k1 eikx + k2 eikx ,

(4.64)

y(x) = c1 cos(kx) + c2 sin(kx)

(4.65)

Hence

and we have

88

CHAPTER 4. STURM-LIOUVILLE EIGEN VALUE PROBLEM

as the general solution.

Differentiate the above equation, we have
y(x) = c1 k sin(kx) + c2 k cos(kx)

(4.66)

Apply the boundary conditions:

y 0 (0) = 0,
0 = c2 k,
c2 = 0,

(4.67)

hence we have
y(x) = c1 cos(kx).

(4.68)

Applying another boundary condition

y 0 (x) = c1 k sin(kx)
y 0 () = 0
0 = c1 k sin(k),

(4.69)

and because
c1 6= 0,
sin(k) = 0,
k = n,
k = n,

n = 1, 2, 3, ...

(4.70)

Combine case 1 and case 3, hence for eigen values we have

n = kn2 = n2 ,

(4.71)

and for eigen functions we have

yn = C cos (nx) ,
where n = 0, 1, 2, 3, ....

(4.72)

4.1. STURM-LIOUVILLE EIGEN VALUE PROBLEM

4.1.3

89

Periodic Sturm-Liouville Eigen Value Problem

Periodic Sturm-Liouville eigen value problem consists of Sturm-Liouville equation

(4.2) for a x b and p(a) = p(b) with periodic boundary conditions, which
is in the form of
y(a) = y(b),
y 0 (a) = y 0 (b).

(4.73)

a1 , a2 , a3 , a4 are constants. a1 , a2 and a3 , a4 are not both zero.

Example:
Determine the eigen values and the corresponding eigen functions for the following
periodic Sturm-Liouville eigen value problem:
y 00 + y = 0;

[L, L]

y(L) = y(L); y 0 (L) = y 0 (L).

(4.74)

Solution:
Case 1: When = 0, we have
y 00 + y = 0,
y 00 = 0,
y 0 = c1 ,
y = c1 x + c2 ,

(4.75)

where y is the general solution.

Apply the boundary condition
y(L) = y(L)
Lc1 + c2 = c1 L + c2
c1 = 0.

(4.76)

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CHAPTER 4. STURM-LIOUVILLE EIGEN VALUE PROBLEM

we have
y(x) = c2 .

(4.77)

Hence y(x) = c satisfies both the boundary conditions, and = 0 is an eigen

value with y = c as the corresponding eigen function.
Case 2: When < 0 (say k 2 , k > 0), we have
y 00 + y = 0,
y 00 k 2 y = 0.

(4.78)

Let
y = erx , y 0 = rerx , y 00 = r2 erx ,

(4.79)

(r2 k 2 )erx = 0,

(4.80)

we then have

and because erx 6= 0, we have

r2 k 2 = 0,
r = k.

(4.81)

y = k1 ekx + k2 ekx ,

(4.82)

y(x) = c1 cosh(kx) + c2 sinh(kx)

(4.83)

Hence

and we have

as the general solution.

Apply the boundary conditions
y(L) = y(L),
c1 cosh(Lk) + c2 sinh(Lk) = c1 cosh(Lk) + c2 sinh(Lk),
2c2 sinh(kL) = 0.

(4.84)

4.1. STURM-LIOUVILLE EIGEN VALUE PROBLEM

91

As kL > 0, we have sinh(kL) > 0 and this implies c2 = 0, hence

y(x) = c1 cosh(kx),

(4.85)

y 0 (x) = kc1 sinh(kx).

(4.86)

and

Apply another boundary condition

y 0 (L) = y 0 (L)
kc1 sinh(kL) = kc1 sinh(kL)
2kc1 sinh(kL) = 0.

(4.87)

and because kL > 0, we have sinh(kL) > 0 and this implies c1 = 0, hence
y(x) = 0.

(4.88)

Case 3: When > 0 (say k 2 , k > 0), we have

y 00 + y = 0,
y 00 + k 2 y = 0.

(4.89)

Let
y = erx , y 0 = rerx , y 00 = r2 erx ,

(4.90)

(r2 + k 2 )erx = 0,

(4.91)

we then have

and because erx 6= 0, we have

r2 + k2 = 0
r = ik.

(4.92)

y = k1 eikx + k2 eikx ,

(4.93)

Hence

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CHAPTER 4. STURM-LIOUVILLE EIGEN VALUE PROBLEM

and we have
y(x) = c1 cos(kx) + c2 sin(kx)

(4.94)

as the general solution.

Apply the boundary conditions
y(L) = y(L),
c1 cos(Lk) + c2 sin(Lk) = c2 cos(Lk) + c2 sin(Lk),
2c2 sin(kL) = 0.

(4.95)

and also
y 0 (x) = kc1 sin(kx) + kc2 cos(kx)

(4.96)

Apply another boundary conditions

y 0 (L) = y 0 (L),
kc1 sin(kL) + kc2 cos(kL) = kc1 sin(kL) + kc2 cos(kL),
2kc1 sin(kL) = 0.

(4.97)

From Eq.(4.95) and (4.97), c1 6= 0, c2 6= 0, hence

sin(kL) = 0,
kL = n,
k=

n
,
L

n = 1, 2, 3, ....

(4.98)

n2 2
L2

(4.99)

The eigen value is

n = kn2 =
and the eigen function is
nx
nx
yn = c1 cos
+ c2 sin
,
L
L


where n = 0, 1, 2, 3, ...

(4.100)

4.1. STURM-LIOUVILLE EIGEN VALUE PROBLEM

4.1.4

93

Singular Sturm-Liouville Eigen Value Problem

Singular Sturm-Liouville eigen value problem consists of Sturm-Liouville equation

(4.3) for a x b with three kinds of boundary conditions.
Type I: p(a) = 0
There is no boundary condition on a, whereas the boundary condition on b is
a3 y(b) + a4 y 0 (b) = 0,

(4.101)

where a3 , a4 are constants and they are not both zero.

Type II: p(b) = 0
There is no boundary condition on b, whereas the boundary condition on a is
a1 y(a) + a2 y 0 (a) = 0,

(4.102)

where a1 , a2 are constants and they are not both zero.

Type III: p(a) = p(b) = 0
There is no boundary condition on a or b. The solutions consist of finite and
bounded function in (a, b).
Example:
Determine the eigen values and the corresponding eigen functions for the following
singular Sturm-Liouville eigen value problem:
2
(xy ) + x
y = 0;
x
!

0 0

(0, R)
(4.103)

where > 0, R, R > 0

Solution:
Compare the above equation with Eq.(4.3), we see that
p(x) = x,

r(x) = x,

(4.104)

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CHAPTER 4. STURM-LIOUVILLE EIGEN VALUE PROBLEM

and also
p(a) = p(0) = 0,

p(b) = p(R) = R.

(4.105)

There is no boundary condition at a = 0. Let the boundary condition at b = R

as
y(R) = 0.

(4.106)

Now determine the general solution for Eq.(4.103),

y 0 + xy 00 + xy

2
y = 0,
x
!

1
2
y 00 + y 0 + 2 y = 0.
x
x

(4.107)

This is Bessel equation, with the following general solution

y(x) = c1 J ( x) + c2 Y ( x)

(4.108)

if we consider the assumption

(1 2a) = 1 a = 0,
2c 2 = 0 c = 1,

b2 c2 = b = .

(4.109)

Notice that when x 0, Y . Hence to obtain finite solution, we

choose c2 = 0. Then

y(x) = c1 J ( x).

(4.110)

Apply the boundary condition

y(R) = 0,

0 = c1 J ( R)

(4.111)

and because c1 6= 0, we have

J ( R) = 0.

(4.112)

4.1. STURM-LIOUVILLE EIGEN VALUE PROBLEM

95

If the positive roots for J is jn for n = 1, 2, 3, ..., then

( R) = jn ,

jn
=
.
R

(4.113)

Hence the eigen value is

n =

jn2
R2

(4.114)

and the eigen function is



yn = c1 J

4.1.5

jn x
,
R


n = 1, 2, 3, ...

(4.115)

Eigen Function Expansion

From Theorem 4, eigen function n forms a complete set. This means that any
function f (x) can be represented by an eigen function expansion as
f (x)

an n ,

(4.116)

n=1

where an is the constant for that series. The constant an in the above series can
be determined by using the orthogonality of the eigen function.
Multiply Eq.(4.116) with m and assume that this operation is valid for
this infinite series, hence
f (x)m =

an n m .

(4.117)

n=1

Integrate Eq.(4.117) with x from x = a to x = b, assuming that the series can be

integrated term by term,
Z b
a

f (x)m dx =

X
n=1

an

Z b
a

n m dx.

(4.118)

From Theorem 5, we have

Z b
a

n (x)m (x) dx = 0,

(4.119)

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CHAPTER 4. STURM-LIOUVILLE EIGEN VALUE PROBLEM

when n 6= m, but it is non-zero when n = m. Hence from Eq.(4.118),

Z b
a

f (x)m dx = am

Z b
a

[m ]2 dx.

(4.120)

Substituting back m = n into the above equation. Hence the constant an in the
series (4.116) is given by
Rb

f (x)n dx
an = aR b
.
2
a [n ] dx

(4.121)

The integration in Eq.(4.121) is often very difficult and calculation with

the help of computer is needed to determine the value for an . However if the eigen
function is a sine function (or cosine), Fourier sine (or cosine) series is obtained,

nx
;
an sin
f (x)
L
n=1


0 < x < L.

(4.122)

With Eq.(4.121), the constant an for the Fourier sine series is given as
RL

an =
an =

2
L

nx
L


RL
2 nx
0 sin
L


Z L
nx

f (x) sin

f (x) sin

(4.123)

If the eigen function is Bessel function, then Fourier Bessel series is considered:
f (x)

cm Jn (jmn x)

m=1

= c1 Jn (j1n x) + c1 Jn (j1n x) + c1 Jn (j1n x) + ...

(4.124)

where 0 x 1. With the same method, the coefficients are given by

R1

an =

xf (x)Jn (jmn x) dx
RL
0

an

2
=
L

Z L
0

sin2

nx
L

nx
f (x) sin
.
L


(4.125)

If the eigen function is Legendre polynomial, then Fourier Legendre series is

considered:
f (x)

X
n=0

cn Pn ;

1 x 1.

(4.126)

4.1. STURM-LIOUVILLE EIGEN VALUE PROBLEM

97

With the same method, the coefficients are given by

R1

f (x)Pn (x) dx
2
1 [Pn (x)]
Z 1
2n + 1
f (x)Pn (x) dx.
=
2
1

cn =

R1

(4.127)