Strum Louiville

Eigenvalues and Eigenfunctions
of Sturm-Liouville Problems
Dr. T. Phaneendra
Professor of Mathematics
School of Advanced Sciences
VIT University, Vellore - 632 014 (TN)
E-mail:phaneendra.t@vit.ac.in
March 8, 2017
Regular Sturm-Liouville Problems
Sturm-Liouvilles Differential Equation
The second order linear differential equation
d h i
p(x) dy
dx + [q(x) + (x)]y = 0 for all a x b, (1.1)
dx
where
p, p0 , q and are continuous on [a, b], and
p(x) > 0 for all a < x < b,
is called the Sturm-Liouville differential equation with parameter ,
and (x) is called its weight function
Dr. T. Phaneendra (VIT) Sturm-Liouville Problems March 8, 2017 2 / 31

Example 1.1
Consider
P(x)y00 + P0 (x)y0 + [A(x) + R(x)]y = 0 for all a x b. (1.2)
Grouping the first two terms in (1.2), we get
P(x)y00 + P0 (x)y0 +[A(x) + R(x)]y = 0

| {z }
[P(x)y0 ]0
or
[P(x)y0 ]0 + [A(x) + R(x)]y = 0,
which is the Sturm Lioulle equation (1.1) with the weight function
(x) = R(x).

Example 1.2
Consider
xy00 + y0 + ny = 0, 0 < x 1, n = 0, 1, 2, ....
Grouping the first two terms, we get the Sturm-Liouville equation

h i
[x.y0 ]0 + y = 0 or dx
d
x dy
dx + ny = 0
with the weight function (x) = 1. and q = 0

Example 1.3
Consider
(sin x)y00 + (cos x)y0 + (x2 + 3x)y = 0 where sin x 6= 0.
Grouping the first two terms, in view of Example 1.1, we get the
Sturm-Liouville form
h i
dy
d
dx (sin x) dx + [x2 + 3x]y = 0
with = 3 and the weight function (x) = x.and q=x^2

Example 1.4
The Legendre differential equation of order R, given by
(1 x2 )y00 2xy0 + ( + 1)y = 0 for all 0 x 1. (1.3)
is a Sturm-Liouville equation of the form(1.3) as

h i
d 2 dy
dx (1 x ) dx + ( + 1)y = 0.
Its weight function is (x) = 1 and the parameter is = ( + 1).

Sturm-Liouville Problem
A Sturm-Liouville problem consists of a Sturm-Liouville equation

(1.1) together with some boundary conditions at x = a and x = b,
where p, p0 , q and are continuous on [a, b] and p > 0 on a < x < b.
Further, if p > 0 and r > 0 on [a, b] and the boundary conditions are
of the form
c1 y(a) + c2 y0 (a) = 0, d1 y(b) + d2 y0 (b) = 0, (1.4)
where c1 , c2 not both zero and d1 , d2 not both zero, then (1.1) and
(1.4) constitute a regular Sturm-Liouville problem.

Eigenvalues and Eigen Functions
Eigenvalues and Eigenfunctions
A regular Sturm-Liouville problem (1.1) plus (1.4), being homoge-

neous, always has a solution. In fact, y(x) = 0 for all x always satis-
fies the problem (1.1) plus (1.4), and is called a zero solution
The values of the parameter , which give rise to nonzero solutions

(y 6= 0) of a regular Sturm-Liouville problem (1.1) plus (1.4) are
called its eigenvalues, and the corresponding nonzero solutions are
known as its eigenfunctions

Properties of Eigenvalues and Eigenfunctions
Let n be the eigenvalues and n be the corresponding eigenfunctions of a

regular Sturm-Liouville problem (1.1) plus (1.4) with the weight function
(x) on [a, b], n = 1, 2, 3, .... Then
(a) The eigenvalues n are positive and 1 < 2 < with limn n =
(b) To each eigenvalue n , there corresponds one and only one linearly
independent eigenfunction
(c) the eigenfunctions corresponding to distinct eigenvalues are orthogo-
nal with respect to the weight function (x) on [a, b], that is
Z b
hj , k i = j (x)k (x)(x)dx = 0 for all j 6= k. (2.1)
a
The integral on the left hand side of (2.1) defines the inner product of the
eigenfunctions j and k with respect to the weight function (x) on [a, b].

Exercise 2.1
Show that the functions 1 (x) = 1 and 2 (x) = x are orthogonal on
the interval 1 < x < 1. Also, find the constants A and B such that
3 (x) = 1 + Ax + Bx2 is orthogonal to both 1 and 2 on [1, 1].
Solution.
A = 0 and B = 3
Exercise 2.2
Show that the functions 1 (x) = 1 x and 2 (x) = 1 2x + x2 /2 and
3 (x) = 13x+3x2 /2x3 /6 are orthogonal with respect to r(x) = ex
on the interval x 0.

Example 2.1
Find eigenvalues and eigenfunctions, and verify the orthogonality of

the eigenfunctions for the regular Sturm-Liouville problem:
y00 + y = 0, 0 < x < L, (2.2)
with
y(0) = 0 = y(L). (2.3)

Solution.
The Euxiliary Equation of (2.2) is
r2 + = 0. (2.4)
We consider three cases:
Case (a): < 0
Case (b): = 0
Case (c): > 0

Case (a): < 0

Then (2.4) has two distinct roots m = , and hence the general
solution of (2.2) is

y(x) = c1 e x
+ c2 e x
, (2.5)
where the arbitrary constants c1 and c2 are evaluated by employing

the boundary conditions (2.3).
In fact, writing x = 0 and x = L in (2.5), and then using (2.3), we
respectively get

L
c1 + c2 = y(0) = 0 and c1 e + c2 e L
= 0.
Solving these, we get c1 = c2 = 0.
Thus y 0 is the only olution for the Sturm-Liouville problem (2.2)

plus (2.3), which cannot be its eigenfunction.
Case (b): = 0
Then the general solution of (2.2) will be y(x) = c1 x + c2 , which will

satisfy the boundary conditions (2.3) only if c1 = c2 = 0. Thus y 0
is the only solution for (2.2) plus (2.3), which cannot be its
eigenfunction.

Case (c): > 0
Then the roots of the Auxiliary

Equation (2.4) are a pair of
imaginary roots m = i and hence the general solution of (2.2) is

y(x) = c1 cos x + c2 sin x, (2.6)
where c1 and c2 are arbitrary constants.

Using y(0) = 0 in (2.6), we get
c1 cos 0 = 0 or c1 = 0.
Note that if c2 is also zero (2.6) would lead to the zero solution y 0.
Therefore we assume that c2 6= 0. Then using the second condition of (2.3)
and c1 = 0 in (2.6), it follows that

sin( L) = 0 so that L = n, or = n/L, n = 0, 1, 2, .... (2.7)
Since > 0 and we are interested in linearly independent solutions, we

discard n = 0, 1, 2, ... and take c2 = 1. Thus
n = n2 2 /L2 , n = 1, 2, . . .
are the eigenvalues and

nx
n = sin , n = 1, 2, . . .
L
are the eigenfunctions of the Sturm-Liouville problem (2.2) plus (2.3).

Finally for j 6= k,
L L
jx kx
Z Z
i (x)j (x)dx = sin sin dx
0 0 L L
1 L
Z
j+k jk
= cos x cos x dx
2 0 L L
L
j+k jk
1 sin L x sin L x

=
2 (j + k)/L (j + k)/L
x=0

L sin [(j + k)] sin [(j k)]
= 2
j+k jk
= 0.
Thus the eigenfunctions 0n s corresponding to distinct eigenvalues are

orthogonal with respect to the weight function (x) = 1 on [0, L].

Exercise 2.3
Find the eigenvalues and eigenfunctions of the regular Sturm-
Liouville problem (2.2) on 0 < x < with boundary conditions
y(0) = 0 = y(). Also, verify the orthogonality of the eigenfunctions
of the problem.
Solution.
Take L = in Example 2.1. Then n = n2 are the eigenvalues of
the Sturm-Liouville problem, and n = sin nx, n = 1, 2, ... are the
corresponding eigenfunctions, which are pairwise orthogonal w. r. t.
the weight function (x) = 1 on [0, ].

Example 2.2
Find the eigenvalues and eigenfunctions of the regular Sturm-
Liouville problem (2.2) with boundary conditions
y(0) = 0, y0 (L) = 0. (2.8)
Also, verify the orthogonality of the eigenfunctions with respect to

the weight function.
Solution.
The first two cases that 0 lead to the zero solution y 0, which
satisfy the boundry conditions (2.8), as in Example 2.1.

Let > 0. Then the general solution of (2.2) is

y(x) = c1 cos x + c2 sin x, (2.9)
wich satisfies the first boundary condition y(0) = 0 only if c1 = 0.

Since the eigen functions are nonzero, we see that c2 6= 0. We assume,
without loss of generality, that c2 = 1. Thus

y(x) = sin x. (2.10)
Now differentiating this,

y0 (x) = cos x.
Using the second boundary condition y0 (L) = 0 in this, we get

cos( L) = 0 so that L = (2n 1)/2.
Thus n = (2n 1)2 2 /4L2 , n = 1, 2, 3, ... are

h the eigenvalues,
i and the
(2n1)x
corresponding eigenfunctions are m = sin 2L , n 1.
Finally for j 6= k,
Z L Z L h i h i
(2j1)x (2k1)x
i (x)j (x)dx = sin 2L sin 2L dx
0 0
L
i
1 jk
Z h
= t cos x cos j+k1 L x dx
2 0 L
h i h i L
sin (jk)x sin (j+k1)x
1 L L
=
2 (j k)/L (j + k 1)/L
x=0

L sin [(j k)] sin [(j + k 1)]
= = 0.
2 jk j+k1
This shows that the the eigenfunctions 0n s corresponding to distinct

eigenvalues are orthogonal w.r.t. the weight function (x) = 1 on [0, L].

Exercise 2.4
Find the eigenvalues and eigenfunctions and verify the orthogonal-
ity of the eigen functions for the regular Sturm-Liouville problem
(2.2) with boundary conditions
y0 (0) = 0, y0 (L) = 0. (2.11)
Solution.
Eigenvalues are n = n2 2 /L2 , and the corresponding eigenfunc-
tions are and n = cos nx
L , n = 1, 2, 3, ....

Exercise 2.5
Find the eigenvalues and eigenfunctions of the Sturm-Liouville
problem
y00 + y = 0, 0 < x < , y(0) + y0 (0) = 0, y() + y0 () = 0. (2.12)
and also verify the orthogonality of the eigenfunctions with respect

to the weight function.
Solution.
Eigenvalues are n = n2 2 and the corresponding eigen functions
are n = sin nx n cos nx, n = 1, 2, 3, ....

Exercise 2.6
Find the eigenvalues and eigenfunctions of the Sturm-Liouville problem

h i
d 3 dy
dx x dx + xy = 0, 1 < x < e, (2.13)
y(1) = y(e) = 0. (2.14)
Solution.
The equation (2.13) can be written as
2 2
x3 ddxy2 + 3x2 dy 2d y dy
dx + xy = 0 or x dx2 + 3x dx + y = 0, (2.15)
which is Cauchy-Euler differential equation. Now the Auxiliary Equation

of (2.15) is
r(r 1) + 3r + = 0 or r2 + 2r + = 0 (2.16)

Its roots are given by m = 1 1 .

Case (a): < 1
Then the roots are real and distinct:

m = 1 + 1 , m = 1 1 ,
and hence the general solution of (2.15) is

h i
y(x) = x1 c1 x 1 + c2 x 1 .
Using the boundary conditions (2.14), we see that

h i
c1 + c2 = 0 and e1 c1 e 1 + c2 e 1 = 0.
Solving these, we get c1 = c2 = 0. Thus y 0 is the only solution for the

given Sturm-Liouville problem, which cannot be an eigenfunction.

Case (b): = 1
The roots are m = 1, 1: real and coincident, and hence the

general solution of (2.15) is
y(x) = x1 (c1 + c2 log x).
Using the boundary conditions (2.14), we see that
c1 + c2 log 1 = 0 and e1 [c1 + c2 log e] = 0.
Solving these, we get c1 = c2 = 0. Thus y 0 is not an

eigenfunction for the given Sturm-Liouville problem.

Case (c): > 1

The roots are m = 1 i 1: a pair of imaginary roots.
The general solution of (2.15) is
h i
y(x) = x1 c1 cos 1 log x + c2 sin 1 log x , (2.17)
where c1 and c2 are arbitrary constants.

Using the boundary condition y(1) = 0 in (2.17), we get

0 = y(1) = y(x) = c1 cos 1 log 1 + c2 sin 1 log 1
so that c1 = 0. Taking c2 = 1 and using c1 = 0, the general solution of

(2.15) becomes
1
y(x) = sin 1 log x . (2.18)
x
Using the second boundary condition y(e) = 0, (2.18) gives

sin 1 log e = 0 or 1 = n
so that
= n = n2 2 + 1 are the eigenvalues, and
1
n = x sin (n log x) are the corresponding eigenfunctions.

Exercise 2.7
Verify that the eigenfunctions n of the problem (2.6) form an orthogonal
system on the interval [1, e].
Hint. Use the substitution log x = u and then the following formula:
Z
Au
eAu cos Bu du = A2e+B2 (A sin Bu + B cos Bu) (2.19)

Exercise 2.8
h i
d dy 2 0 0 2

dx x dx + x y = 0, 1 < x < e , y (1) = y (e ) = 0. (2.20)
Exercise 2.9
h i
d dy 0
dx dx + (1 + ) y = 0, 0 < x < l, y(0) = y (l) = 0. (2.21)
Exercise 2.10
h i
d x dy x
dx 4e dx + (1 + ) e y = 0, 0 < x < 1, y(0) = y(1) = 0. (2.22)

Exercise 2.11
h i
d dy 0

dx x dx + x y = 0, 1 < x < e, y (1) = y(e) = 0. (2.23)
Exercise 2.12
h i
d dy 0
dx dx + y = 0, 0 < x < l, y(0) = y(l) y (l) = 0. (2.24)
Exercise 2.13
h i
d dy 0 0
dx 1. dx + y = 0, < x < , y() = y(), y () = y (). (2.25)

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Eigenvalues and Eigenfunctions

Sturm-Liouvilles Differential Equation

The second order linear differential equation

Dr. T. Phaneendra (VIT) Sturm-Liouville Problems March 8, 2017 2 / 31

P(x)y00 + P0 (x)y0 + [A(x) + R(x)]y = 0 for all a x b. (1.2)

Grouping the first two terms in (1.2), we get

P(x)y00 + P0 (x)y0 +[A(x) + R(x)]y = 0

[P(x)y0 ]0 + [A(x) + R(x)]y = 0,

Dr. T. Phaneendra (VIT) Sturm-Liouville Problems March 8, 2017 3 / 31

xy00 + y0 + ny = 0, 0 < x 1, n = 0, 1, 2, ....

Grouping the first two terms, we get the Sturm-Liouville equation

with the weight function (x) = 1. and q = 0

Dr. T. Phaneendra (VIT) Sturm-Liouville Problems March 8, 2017 4 / 31

(sin x)y00 + (cos x)y0 + (x2 + 3x)y = 0 where sin x 6= 0.

with = 3 and the weight function (x) = x.and q=x^2

Dr. T. Phaneendra (VIT) Sturm-Liouville Problems March 8, 2017 5 / 31

The Legendre differential equation of order R, given by

(1 x2 )y00 2xy0 + ( + 1)y = 0 for all 0 x 1. (1.3)

is a Sturm-Liouville equation of the form(1.3) as

Its weight function is (x) = 1 and the parameter is = ( + 1).

Dr. T. Phaneendra (VIT) Sturm-Liouville Problems March 8, 2017 6 / 31

A Sturm-Liouville problem consists of a Sturm-Liouville equation

c1 y(a) + c2 y0 (a) = 0, d1 y(b) + d2 y0 (b) = 0, (1.4)

Dr. T. Phaneendra (VIT) Sturm-Liouville Problems March 8, 2017 7 / 31

Eigenvalues and Eigenfunctions

A regular Sturm-Liouville problem (1.1) plus (1.4), being homoge-

The values of the parameter , which give rise to nonzero solutions

Dr. T. Phaneendra (VIT) Sturm-Liouville Problems March 8, 2017 8 / 31

Properties of Eigenvalues and Eigenfunctions

Let n be the eigenvalues and n be the corresponding eigenfunctions of a

Dr. T. Phaneendra (VIT) Sturm-Liouville Problems March 8, 2017 9 / 31

Dr. T. Phaneendra (VIT) Sturm-Liouville Problems March 8, 2017 10 / 31

Find eigenvalues and eigenfunctions, and verify the orthogonality of

y00 + y = 0, 0 < x < L, (2.2)

y(0) = 0 = y(L). (2.3)

Dr. T. Phaneendra (VIT) Sturm-Liouville Problems March 8, 2017 11 / 31

Dr. T. Phaneendra (VIT) Sturm-Liouville Problems March 8, 2017 12 / 31

Case (a): < 0

where the arbitrary constants c1 and c2 are evaluated by employing

Solving these, we get c1 = c2 = 0.

Thus y 0 is the only olution for the Sturm-Liouville problem (2.2)

Then the general solution of (2.2) will be y(x) = c1 x + c2 , which will

Dr. T. Phaneendra (VIT) Sturm-Liouville Problems March 8, 2017 14 / 31

Case (c): > 0

Then the roots of the Auxiliary

where c1 and c2 are arbitrary constants.

Dr. T. Phaneendra (VIT) Sturm-Liouville Problems March 8, 2017 15 / 31

Using y(0) = 0 in (2.6), we get

Since > 0 and we are interested in linearly independent solutions, we

are the eigenvalues and

Dr. T. Phaneendra (VIT) Sturm-Liouville Problems March 8, 2017 16 / 31

Thus the eigenfunctions 0n s corresponding to distinct eigenvalues are

Dr. T. Phaneendra (VIT) Sturm-Liouville Problems March 8, 2017 17 / 31

Dr. T. Phaneendra (VIT) Sturm-Liouville Problems March 8, 2017 18 / 31

y(0) = 0, y0 (L) = 0. (2.8)

Also, verify the orthogonality of the eigenfunctions with respect to

Dr. T. Phaneendra (VIT) Sturm-Liouville Problems March 8, 2017 19 / 31

Let > 0. Then the general solution of (2.2) is

wich satisfies the first boundary condition y(0) = 0 only if c1 = 0.

Now differentiating this,

Using the second boundary condition y0 (L) = 0 in this, we get

Thus n = (2n 1)2 2 /4L2 , n = 1, 2, 3, ... are

This shows that the the eigenfunctions 0n s corresponding to distinct