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which immediately provides us with an upper limit on the values assumed by f (x). To
get a better idea of what these values may be, we now integrate (6.1.1) by parts. After
n such integrations, we find
Z∞
1 1 2 (−1 )n−1 (n − 1)! e x−t
f (x) = − 2 + 3 +...+ + (−1 )n n! dt. (6.1.2)
x x x xn t n+1
x
for fixed x. Thus, the series is divergent for all finite values of x.
n
P
This is not the set-back it might seem. Letting S n (x) ≡ u m (x), we find the dif-
m=0
ference
Z∞ Z∞
e x−t dt n!
|f (x) − S n (x)| ≡ R n (x) = (n + 1)! dt < (n + 1)! = . (6.1.4)
t n+2 t n+2 x n+1
x x
this error less than any prescribed number ε > 0. So, even though divergent, the se-
ries (6.1.3) has partial sums which provide an arbitrarily good approximation for f (x),
provided only that we restrict ourselves to sufficiently large values of x. Such a series
is called an asymptotic series and its relationship to f (x) is expressed formally by
rewriting (6.1.2) to read
∞
X (−1 )m m!
f (x) ∼ . (6.1.5)
x m+1
m=0
The symbol ∼ implies approximation rather than equality and in so doing takes cog-
nizance of the divergent character of the series.
Notice that for a given value of x there is a value of n, N say, for which the upper
bound on the error associated with the approximation is a minimum. Consequently,
N!/ x N+1 is a measure of the ultimate accuracy with which f (x) can be computed. To
estimate N we note that
n! n n−1
< = e(n−1) ln n−(n+1) ln x .
x n+1 x n+1
Differentiating the right hand side of this inequality with respect to n and equating
the result to zero, we find
N
N ln +N =1 or, N ' x e(e/x−1) .
x
Thus, for x = 10, N = 5 which means that for this value of x, optimal accuracy is ob-
tained with just the first five terms in the series. The associated error is then ≤ 0.00012.
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152 | Asymptotic Expansions
∞
c m z−m , which either converges for large values of |z| or di-
P
Definition: A series
m=0
verges for all values of z, is said to be an asymptotic series for f (z),
∞
c m z−m ,
X
f (z) ∼ (6.1.6)
m=0
valid in a given range of values of arg z, if, for any positive integer n,
∞
( " #)
−m
n
X
lim z f (z) − cm z =0 (6.1.7)
|z|→∞
m=0
lim f (z) = c0
|z|→∞
lim z f (z) − c0 = c1
|z|→∞
h c i
lim z2 f (z) − c0 − 1 = c2
|z|→∞ z
...
h c c n−1 i
lim z n f (z) − c0 − 1 − . . . − n−1 = cn
|z|→∞ z z
... . (6.1.8)
This shows that a given function can only have one asymptotic series. However, knowl-
edge of an asymptotic series does not determine a corresponding function since differ-
ent functions can generate the same asymptotic series. For example, e1/z and e1/z + e−z
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Watson’s Lemma | 153
and we shall use the term asymptotic expansion to refer interchangably to both a
representation of this form as well as the more straightforward asymptotic series rep-
resentation of (6.1.6). The term c0 φ(z) in (6.1.9) is often called the dominant term of
the expansion.
Example: The exponential integral function
Z∞
e−t
Ei(x) = dt, x>0
t
x
differs from the function (6.1.1) of our first example by a factor of e x . Thus, without
further effort we deduce that Ei(x) has the asymptotic expansion =
∞
(−1 )n−1 (n − 1)! e−x X (−1 )m m!
1 1 2
Ei(x) ∼ e−x − 2 + 3 +...+ + . . . ∼ .
x x x xn x xm
m=0
(6.1.10)
−x
Comparing this result with (6.1.9), we see that Ei(x) has ex as its dominant term.
One can show that an asymptotic series can be added, multiplied and integrated
term by term. However, it is not permissable in general to perform term by term differ-
entiation.
To determine an asymptotic expansion one almost always proceeds from an in-
tegral representation of the function in which one is interested. This is due to two
exceptional results: Watson’s Lemma and the Method of Steepest Descents.
George Neville Watson (1886-1965) was noted for the application of complex analysis to
the theory of special functions. His collaboration while at Trinity College, Cambridge on
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154 | Asymptotic Expansions
the (1915) second edition of E. T. Whittaker’s A Course of Modern Analysis (1902) pro-
duced an instant classic, a text that to this day is known simply as “Whittaker and Wat-
son”. In 1922, he published a second classic text, Treatise on the Theory of Bessel Func-
tions, which is an exhaustive study of all aspects of Bessel functions including especially
their asymptotic expansions. Watson became Professor at the University of Birmingham
in 1918, where he remained until 1951.
Watson’s Lemma applies to functions f (z) that can be represented by convergent
integral transforms of the form
Z∞
f (z) ≡ e−zt g(t)dt. (6.2.1)
0
Although this makes it somewhat exclusive, it still covers many of the cases which
occur in practice. All we require is that the spectral function g(t) be holomorphic, ex-
cept possibly for a branch-point at the origin, in the disc |t| < T and admit the series
representation
∞
X
g(t) = c m t m/p−1 , |t| 6 τ < T (6.2.2)
m=1
for some p > 0. Also, let us suppose that when t is real and positive and t > T, |g(t)| <
K e bt , K > 0, b > 0. One can then show that term by term integration of the series
together with the result
Z∞ Z∞
−zt m/p−1 1 Γ(m/p)
e t dt = e−u u m/p−1 du = , (6.2.3)
z m/p z m/p
0 0
Z∞
1
f (x) = e−xv dv.
v+1
0
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The Method of Steepest Descent | 155
Moreover,
∞ ∞
1 X X
= (−v )m = (−v )m−1 , |v| < 1.
v+1
m=0 m=1
Therefore, using (6.2.4), we immediately obtain the by now familiar asymptotic series
∞ ∞
(−1 )m−1 Γ(m) x−m = (−1 )m−1 (m − 1)! x−m .
X X
f (x) ∼
m=1 m=1
can be expressed as
Z∞ Z∞
2 2
−(t2 − x2 ) 2 2 x 2
erfc(x) = √ e− x e dt = √ e− x e− x v [1 + v ]−1/2 dv.
π π 2
x 0
2 2 2
where we have set x v = t − x . Now,
v 3 v2 5 v3 35 v4
(1 − v )−1/2 = 1 − + − + −+...
2 8 16 128
∞
X (−1 )m−1 (2m − 3)!! m−1
= v , |v| < 1.
m=1
2m−1 (m − 1)!
The method of steepest descent (which is also known as the saddle point
method) provides a much more general technique for generating asymptotic expan-
sions. Such generality does not come about without some cost however; this method
is a good deal more complicated than is Watson’s Lemma.
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156 | Asymptotic Expansions
where f (t), g(t) and C have all been chosen so that the integrand is holomorphic in
some domain containing C and goes to zero at either end-point of C. It is entirely rea-
sonable to expect that the most significant contributions to F(z), for large values of
|z|, arise from those segments of C on which the real part of [zf (t)] is large and pos-
itive. However, we must be mindful of the fact that the imaginary part of [zf (t)] will
generally increase as |z| increases and that this will result in rapid oscillations of the
factor e i Im[zf (t)] and hence, in a complicated pattern of cancellations among the val-
ues assumed by the integrand. Such cancellations could make the evaluation of F(z)
a daunting if not impossible undertaking. However, we know that the integral is path
independent within the integrand’s domain of holomorphy. Therefore, we shall as-
sume that this domain permits deformation of the contour of integration C into a new
contour C0 on which Im[zf (t)] is constant whenever Re[zf (t)] assumes its largest val-
ues. Our first task then is to define C0 .
Since we want Re[zf (t)] to be large, we shall require C0 to pass through a point
t = t0 at which Re[zf (t)] has a relative maximum and hence, at which
df (t)
f 0 (t0 ) ≡ = 0. (6.3.2)
dt t=t0
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The Method of Steepest Descent | 157
where, by construction, z[f (t) − f (t0 )] is real and negative for all t on C0 except at t = t0
where it vanishes. This expression can be simplified in appearance by defining a real
function τ(t) via the identity
We then have
Z
2
F(z) = e zf (t0 ) e −| z | τ (t)
g(t)dt
C0
Z
2 dt(τ)
= e zf (t0 ) e−|z| τ g[t(τ)] dτ, (6.3.6)
Γ0 dτ
where Γ0 is the image of C0 in the τ plane. We know that Γ0 runs along the real axis
and passes through the origin τ = 0. Moreover, while its end-points will vary from
case to case, this variation is no barrier to an asymptotic evaluation of (6.3.6). For, as
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158 | Asymptotic Expansions
|z| increases, the exponential in the integrand becomes sufficiently steep that the only
significant contribution to F(z) comes from a small segment of Γ0 about τ = 0. Thus,
at the risk of committing only a negligible error we may take the end-points of Γ0 to be
±∞ and write
Z∞
2 dt
F(z) ∼ e zf (t0 ) e−|z| τ g[t(τ)] dτ. (6.3.7)
dτ
−∞
To complete the asymptotic evaluation of F(z) we need now only express g(t) and
dt
dτ as functions of τ. This is most appropriately done by means of power series expan-
sions about τ = 0. Thus, leaving aside for the moment the problem of determining the
coefficients in the series
∞
dt X
g[t(τ)] = cm τm , (6.3.8)
dτ
m=0
which brings us to within a single step of our long sought-after asymptotic expansion
for F(z). That last step is to extract the dependence on arg z from the coefficients c2k
to obtain a series in z rather than |z|. The result is
r " ∞
#
zf (t0 ) π X (2k − 1)!! 1
F(z) ∼ e a0 + a2k (6.3.11)
z
k=1
2k zk
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The Method of Steepest Descent | 159
The explicit calculation of the coefficients a2k is a tedious chore because it in-
volves expressing t − t0 as a power series in τ by inversion of equation (6.3.5) and then
substituting into the power series expansion of g(t) about t = t0 . The coefficient of the
leading term is the sole exception; it is readily determined as follows.
From (6.3.8) we know that
dt(τ) dt(τ)
c0 = g[t(τ)] = g(t0 ) . (6.3.13)
dτ τ=0 dτ τ=0
(t − t0 )2
f (t) − f (t0 ) = f 00 (t0 ) +...
2!
and so
(t − t0 )2
τ2 = − e iθ f 00 (t0 ) +... (6.3.14)
2!
where, for notational simplicity, we have set arg z = θ. Thus, inverting this series we
find to lowest order that
√
2τ
t − t0 = p +...
e i(π+θ) f 00 (t0 )
and hence,
√
dt t − t0 2
= lim = . (6.3.15)
dτ τ=0 τ→0 τ
p
e i(π+θ) f 00 (t0 )
Substitution into (6.3.13) then yields
√ √
2g(t0 ) 2g(t0 )
c0 = p or, a0 = p .
e i(π+θ) f 00 (t0 ) e iπ f 00 (t0 )
Therefore, retaining only the dominant term in the asymptotic expansion (6.3.11), we
have
e zf (t0 )
r
2π
F(z) ∼ g(t0 ) iπ 00
√ . (6.3.16)
e f (t0 ) z
To determine higher order terms we rewrite (6.3.14) as
∞
e−iθ τ2 (t) = f (t0 ) − f (t) =
X
α m (t − t0 )m (6.3.17)
m=2
(m)
where α m = − f m!(t0 ) , m > 2.
Then, since we seek a power series for (t − t0 ) about τ = 0, we set
∞
X
t − t0 = β m τ m+1 (6.3.18)
m=0
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160 | Asymptotic Expansions
and substitute this series into the right hand side of (6.3.17). Using
∞
!n ∞
X k+1
X
βk τ = γm τ m+n (6.3.19)
k=0 m=0
m
where γ0 = β0n , γm = 1
[k(n + 1) − m] β k γm−k , m > 1, this yields
P
m β0
k=1
Thus, equating coefficients of like powers of τ we obtain the following equations ex-
pressing β0 , β1 , β2 , . . . in terms of theα m , m > 2:
e−iθ = α2 β20
0 = 2 α2 β1 β0 + α3 β30
0 = α2 (β21 +2 β2 β0 ) + 3 α3 β1 β20 + α4 β40
0 = 2 α2 (β2 β1 + β3 β0 ) + 3 α3 (β21 β0 + β2 β20 ) + 4 α4 β1 β30 + α5 β50
..
. .
Solving, we find
e−iθ/2
β0 = √
α2
α3 2
β1 = − β
2 α2 0
2
5 α3 α4
β2 = − β3
8 α22 2 α2 0
3
α3 3 α3 α4 α5
β3 = − 3 + − β4
α2 α22 2 α2 0
231 α43 63 α4 α23 7 α24 7 α3 α5
α6
β4 = − + + − β5
128 α22 16 α32 8 α22 4 α22 2 α2 0
..
. . (6.3.21)
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The Method of Steepest Descent | 161
and then collect coefficients of like powers of τ. Fortunately, many interesting func-
tions have integral representations with g(t) = 1. In such cases the coefficients c m of
equation (6.3.8) are given by
c m = (m + 1) β m , m = 0, 1, 2, . . . . (6.3.22)
Combining this result with (6.3.21) and then (6.3.12), we find that the first three of the
coefficients a2k in the asymptotic expansion (6.3.11) of F(z) are
a0 = α−1/2
2
3 −3/2 5 α23 α4
a2 = α2 −
2 4 α22 α2
231 α43 63 α4 α23 7 α24 7 α3 α5 α6
5
a4 = α−5/2 − + + − (6.3.23)
2 2 64 α42 8 α32 4 α22 2 α22 α2
(m)
where we recall that α m = − f m!(t0 ) , m > 2.
Example: To illustrate the use of this formidable piece of mathematical machinery we
shall determine the asymptotic expansion of Γ(z+1). From Euler’s definition, equation
(5.2.5), we have
Z∞
Γ(z + 1) = e−u u z du, Re z > −1
0
Z∞
z+1
=z e z(ln t−t) dt, (6.3.24)
0
where we have set u = zt. Thus, in this case, f (t) = ln t − t and g(t) = 1.
Differentiating f (t) and setting the result equal to zero, f 0 (t0 ) = t10 − 1 = 0, we see
that f (t) possesses only one saddle-point located at t = t0 = 1. Hence, there is a single
path of steepest descent which, becausef (t0 ) = −1, is uniquely defined by
We do not need a more detailed identification of the path because it is already clear
that the initial contour of integration, the positive real axis, can be deformed to lie
along it without encountering singularities of f (t). Thus, it only remains to evaluate
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162 | Asymptotic Expansions
1 3/2 1 5/2
a0 = 21/2 , a2 = 2 , a4 = 2 .
12 864
Therefore, by equation (6.3.11), the asymptotic expansion of Γ(z + 1) is
√
1 1 1 1
Γ(z + 1) ∼ 2π z z+1/2 e−z 1 + + + . . . (6.3.25)
12 z 288 z2
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