1B Methods 62

.
1B METHODS
LECTURE NOTES
Richard Jozsa, DAMTP Cambridge
rj310@cam.ac.uk
October 2013
PART III:
Inhomogeneous ODEs;
Fourier transforms
1B Methods 63
6 THE DIRAC DELTA FUNCTION
The Dirac delta function and an associated construction of a so-called Greens function
will provide a powerful technique for solving inhomogeneous (forced) ODE and PDE
problems.
To motivate the introduction of the delta function consider the set F of (suitably well
behaved) real functions f : R R. Any such function g may be viewed as a map G
from F to R viz. for any f we set
G(f) =
_

g(x)f(x) dx (1)
i.e. g appears as the kernel of an integral with variable f (and here we are just assuming
that the integrals exist). Such functions of a function are called functionals. These
functionals are clearly linear in their argument f and we ask: do we get all linear maps
from F to R in this way? Well, consider the following (clearly linear) functional
L(f) = f(0).
What should the kernel be? If we call it (x) we would need
_

(x)f(x) dx = f(0) for all f. (2)

If were thinking of as being a bonade continuous function then if c = 0, we should
have (c) = 0 because if (c) = 0 we could choose an f that is nonzero only very near to
c and eq. (2) could be made to fail. Next choosing f(x) = 1 we need
_

(x) dx = 1 yet
(x) = 0 for all x = 0! Thus intuitively the graph of (x) must enclose unit area but over a
vanishingly small base i.e. we need an innite spike at x = 0. Such objects that are not
functions in the usual sense but have well dened properties such as eq. (2) are called
generalised functions or distributions. It is possible to develop a mathematically
rigorous theory of them and below well outline how to do this. But for this methods
course we will use them only via a set of rules (cf below) motivated intuitively (but the
rules can be justied in the rigorous theory).
One possible approach to making sense of the delta function is to view it as the limit of
a sequence of (ordinary, integrable) functions P
n
(x) that should have the property
lim
n
_

P
n
(x)f(x) dx = f(0) (3)
and we also normalise them to have
_

P
n
(x) dx = 1 for all n. Such sequences are
not unique it can be shown (not obvious in all cases well see eqs. (5,6) in Fourier
transforms later!) that each of the following sequences has the required properties:
1B Methods 64
1 0 1
5
0
5
10
15
20
1 0 1
5
0
5
10
15
20
1 0 1
5
0
5
10
15
20
Figure 1: P
n
(x) for the top-hat, the Gaussian, and sin(nx)/(x), showing convergence
towards the delta function, for n = 2, 4, 8, 16, 32 (thin solid, dashed, dotted, dot-dashed,
thick solid).
P
n
(x) =
_
n
2
|x| <
1
n
;
0 otherwise,
(4)
P
n
(x) =
n

e
n
2
x
2
(5)
P
n
(x) =
sin(nx)
x
. (6)
These are shown in the gure.
These examples also show that the limit in eq. (3) cannot be taken inside the integral
to form a limit kernel (x)
?
= lim
n
P
n
(x) since P
n
(0) in all cases! Note that
the sequence in eq. (6) does not even have P
n
(c) 0 for c = 0 e.g. P
n
(/2) =
sin(n/2)

2
/2
which is 2/
2
for all odd n. Indeed in eq. (3) contributions from f(c) for c = 0 are
eliminated by P
n
oscillating faster and faster near x = c and thus contributing zero eect
by increasingly exact cancellations of the oscillations with envelope f for any suitably
continuous f.
1B Methods 65
Physical signicance of delta functions
In physics the delta function models point sources in a continuum e.g. suppose we have
a unit point charge at x = 0 (in one dimension). Then its charge density (x) should
satisfy (x) = 0 for x = 0 and
_

(x) dx = total charge = 1 i.e. (x) = (x) and the

physical intuition is well modelled by the sequence eq. (4). In mechanics delta functions
model impulses e.g. for a particle in one dimension with momentum p = mv, Newtons
law gives dp/dt = F so p(t
2
) p(t
1
) =
_
t
2
t
1
F dt. If a particle is struck impulsively (e.g.
hammer blow) at t = 0 within interval (t
1
, t
2
), with force acting over a vanishingly small
time t, and resulting in a nite momentum change p = 1 say, then
_
t
2
t
1
F dt = 1 and F
is nonzero only very near t = 0. So in the limit of vanishing time interval t, F(t) = (t)
models the impulsive force. The delta function was introduced by P. A. M. Dirac in the
1930s from considerations of position and momentum in quantum mechanics.
6.1 Properties of the delta function
Note that in the basic dening property eq. (2) we can take the range of integration to
be any interval [a, b] that contains x = 0, because we can replace f by the function

f that
agrees with f on [a, b] and is zero outside [a, b] (or alternatively we can use a sequence
such as eq. (4)). If [a, b] does not contain x = 0 then the integral is zero.
Properties of the delta function can be intuitively obtained by manipulating the integral
in eq. (2) in standard ways, manipulating (x) as though it were a genuine function.
(You are asked to do some of these on exercise sheet 3). The validity of this procedure
can be justied in a rigorous theory of generalised functions.
Substituting x

= xc in the integral below we get the so-called sampling property:

_
b
a
f(x)(x c) dx =
_
f(c) a < c < b;
0 otherwise.
(7)
(i.e. (x c) has the spike at x = c).
Substituting x

= ax in the integral with kernel (ax) we get the scaling property:

if a = 0 then (ax) =
1
|a|
(x)
By this equality (and those below) we mean that both sides behave in the same way if
used as the kernel of an integral viz.
_

(ax)f(x) dx =
_

1
|a|
(x)f(x) dx.
If f(x) has simple zeroes at n isolated points x
1
, . . . , x
n
then (f(x)) will have spikes
at these x values and
(f(x)) =
n

k=1
(x x
k
)
|f

(x
k
)|
.
If g(x) is integrable and continuous around x = 0 then
g(x)(x) = g(0)(x).
1B Methods 66
Using the rst bullet point above, we can see that the integral of the delta function
is the Heaviside step function H(x):
_
x

() d = H(x) =
_
0 for x < 0
1 for x > 0
(and usually we set H(0) = 1/2).
More generally, delta functions characteristically appear in derivatives of functions with
jump discontinuities e.g. if f on [a, b] has a jump discontinuity of size K at a < c < b
and is dierentiable for x < c and x > c, then f

(x) = g(x) + K(x c) where g(x) for

x = c is the derivative of f(x) (and g(c) may be given any value). Indeed integrating
this f

to a variable upper limit x, we regain f(x) with the delta function introducing
the jump as x crosses x = c.
We can develop the notion of derivative of the delta function by formally applying
integration by parts to

and then using the dening properties of itself:

_

(x c)f(x) dx = [(x c)f(x)]

(x c)f

(x) dx
= 0 f

(c)
Similarly, provided f(x) is suciently dierentiable, we can formally derive:
_

f(x)
(n)
(x) dx = (1)
n
f
(n)
(0).
Example. Compute I =
_

(x
2
1)x
2
dx.
The substitution u = x
2
1 gives dx =
du
2

u+1
and
I =
_

1

(u)

u + 1
2
du =
_

d
du
(

u + 1
2
)
_
u=0
=
1
4
.
Towards a rigorous mathematical theory of generalised functions
and their manipulation (optional section).
A (complex valued) function on R is called a Schwartz function if ,

, . . . are all
dened and
lim
x
x
m

(n)
(x) = 0 for all m, n = 0, 1, 2, . . .. (8)
(e.g. (x) = p(x)e
x
2
for any polynomial p(x)). These conditions requiring to be
extremely well behaved asymptotically, will be needed to guarantee the convergence
(existence) of integrals from to involving modied versions of the s. Let S be
the set of all Schwartz functions.
Now let g be any continuous function on R that is slowly growing in the sense that
lim
x
g(x)
x
n
= 0 for some n = 0, 1, 2, . . . . (9)
1B Methods 67
(e.g. x
3
+ x, e
x
2
, sin x, x ln |x| but not e
x
, e
x
etc.) Then g denes a functional i.e.
linear map, from S to C via
g{} =
_

g(x)(x) dx any S (10)

(noting that the integral is guaranteed to converge by our restrictions on g and ). Next
note that the functional corresponding to g

can be related to that of g using integration

by parts:
g

{} =
_

(x)(x) dx = [g]

g(x)

(x) dx = g{

}.
The boundary terms are guaranteed to be zero by eqs. (8,9). Thus
g

{} = g{

} (11)
which is derived (correctly) by standard manipulation of integrals of honest functions.
Note that now the action of g

on any is dened wholly in terms of the action of the

original g on a suitable modied argument viz.

.
Next recall that there are more functionals on S than those arising from gs as above.
For example we argued intuitively that the functional {}
def
= (0) does not arise from
any such g. Now suppose we have any given functional G{} and we want to establish
a notion of derivative G

(or any other modied version of G) for it. The key new idea
here is the following procedure: we rst consider Gs that arise from honest functions g
and then express the action of g

(or any other modied version of g) on , entirely in

terms of the action of g itself on a suitable modied argument (as we did above in eq.
(11) for the case of derivatives). We then use the latter formula with g replaced by any
G as the denition of G

i.e. we dene G

{} to be G{

} for any G. For example we

get

{}
def
= {

} =

(0)
where the last equality used the (given) denition of itself.
The nal result is the same as what we would get (non-rigorously) if we pretended that
{} =
_

(x)(x) dx for some imagined (generalised) function (x) on R, and then

formally manipulated it the integral
_

(x)(x) dx.
Similarly the translation (x xa) and scaling (x ax) and other rules that we listed
previously can all be rigorously justied using the above Schwartz function formalism.
This formalism also extends in a very natural way to make rigorous sense of Fourier
transforms of generalised functions that well encounter in chapter 8. If youre interested
in learning more about generalised functions, Id recommend looking at chapter 7 of D.
Kammler, A rst course in Fourier analysis (CUP).
Example - warning. If we think of functionals G as generalised functions via G{} =
_

(x)(x) dx G

{} then there is a temptation to add and multiply the s just

like we do routinely for ordinary functions. For linear combinations this works ne i.e.
G
c
1

1
+c
2

2
= c
1
G

1
+ c
2
G

2
but products are problematic: G

1
{}G

2
{} = G

2
{}!
1B Methods 68
This is because the s are being used as kernels in integrals and using
1

2
as a kernel
is not the same as the product of using the two s separately as kernels (even if they
are bonade gs!). A dramatic example is
1
(x) = x and
2
(x) = (x). We have
(x){}
def
= {x} but the latter is zero for all ! (as x(x) = 0 at x = 0) i.e. we have
(x) being identically zero as a generalised function even though neither x nor are zero
as generalised functions.
Fourier series of the delta function
For f(x) = (x) on L x L we can formally consider a Fourier series (in complex
form for convenience)
f(x) =

n=
c
n
e
inx
L
with c
n
=
1
2L
_
L
L
f(x)e
inx
L
dx.
Thus eq.(2) gives c
n
=
1
2L
for all n and
(x) =
1
2L

n=
e
inx
L
.
Indeed using the RHS expression in
_
L
L
(x)f(x) dx we regain f(0) as the sum of the
complex Fourier coecients c
n
of f. Extending periodically to all R we get

m=
(x 2mL) =
1
2L

n=
e
inx
L
. (12)
(which is an example of a more general result called Poissons summation formula for
Fourier transforms).
Eigenfunction expansion of the delta function
Revisiting SL theory, let Y
n
(x) be an orthonormal family of eigenfunctions for a SL
problem on [a, b] with weight function w(x). For (a, b), (x) satises homogeneous
boundary conditions and we expect to be able to write
(x ) =

n=1
C
n
Y
n
(x)
with
C
m
=
_
b
a
w(x)Y
m
(x)(x ) dx = w()Y
m
()
so
(x ) = w()

n=1
Y
n
(x)Y
n
().
1B Methods 69
Since
w(x)
w()
(x ) = (x ) we can alternatively write
(x ) = w(x)

n=1
Y
n
(x)Y
n
(). (13)
These expressions are consistent with the sampling property since if g(x) =

m=1
D
m
Y
m
(x)
is the eigenfunction expansion of g then
_
b
a
g(x)(x )dx =

m=1

n=1
D
m
Y
n
()
_
b
a
w(x)Y
n
(x)Y
m
(x)dx,
=

m=1
D
m
Y
m
() = g(),
by orthonormality.
The eigenfunction expansion of the delta function is also intimately related to the eigen-
function expansion of the Greens function that we introduced in 2.7 (as well see later)
and our next task is to develop a theory of Greens functions for solving inhomogeneous
ODEs.
1B Methods 70
7 GREENS FUNCTIONS FOR ODEs
Using the concept of a delta function we will now develop a systematic theory of Greens
functions for ODEs. Consider a general linear second-order dierential operator L on
[a, b], i.e.
Ly(x) = (x)
d
2
dx
2
y + (x)
d
dx
y + (x)y = f(x), (14)
where , , are continuous, f(x) is bounded, and is nonzero (except perhaps at a
nite number of isolated points), and a x b (which may be ). For this operator
L, the Greens function G(x; ) is dened as the solution to the problem
LG = (x ) (15)
satisfying homogeneous boundary conditions G(a; ) = G(b; ) = 0. (Other homogeneous
BCs may be entertained too, but for clarity will will treat only the given one here.)
The Greens function has the following fundamental property (established below): the so-
lution to the inhomogeneous problem Ly = f(x) with homogeneous boundary conditions
y(a) = y(b) = 0 can be expressed as
y(x) =
_
b
a
G(x; )f()d. (16)
i.e. G is a the kernel of an integral operator that acts as an inverse to the dierential
operator L. Note that G depends on L, but not on the forcing function f, and once G is
determined, we are able to construct particular integral solutions for any f(x), directly
from the integral formula eq. (16).
We can easily establish the validity of eq. (16) as a simple consequence of (15) and the
sampling property of the delta function:
L
_
b
a
G(x; )f()d =
_
b
a
(LG) f() d,
=
_
b
a
(x )f() d = f(x)
and
y(a) =
_
b
a
G(a; )f() d = 0 =
_
b
a
G(b; )f() d = y(b)
since G(x; ) = 0 at x = a, b.
7.1 Construction of the Greens function
We now give a constructive means for determining the Greens function (without recourse
to eigenfunctions, although the two approaches must provide equivalent answers). Our
1B Methods 71
construction relies on the fact that for any x = away from , LG = 0 so G can be
constructed in terms of solutions of the homogeneous equation suitably matched across
x = (cf below). We proceed with the following steps:
(1) Solve the homogeneous equation Ly = 0 on [a, b] and nd solutions y
1
and y
2
sat-
isfying respectively the two BCs viz. y
1
(a) = 0 and y
2
(b) = 0. Note that the general
homogeneous solution satisfying y(a) = 0 is y(x) = cy
1
(x) for arbitrary constant c (and
similarly y(x) = cy
2
(x) for y(b) = 0).
(2) Now consider the interval [a, b] divided at x = . Since for each , G(x; ) is required
to satisfy the BCs viz. G(a, ) = G(b; ) = 0, we set:
G(x; ) =
_
A()y
1
(x) a x <
B()y
2
(x) < x b.
Note that the coecients A and B are independent of x but typically will depend on the
separation point .
(3) We need two further conditions on G (for each ) to x the coecients A and B.
These conditions are (see justication later):
Continuity condition: G(x; ) is continuous across x = for each so
A() y
1
() = B() y
2
(). (17)
Jump condition: for each
_
dG
dx
_
x=
+
x=

=
1
()
i.e.
lim
x
+
dG
dx
lim
x

dG
dx
=
1
()
i.e.
B() y

2
() A() y

1
() =
1
()
. (18)
Note that eqs. (17) and (18) are two linear equations for A() and B(). The solution is
easily seen to be
A() =
y
2
()
()W()
B() =
y
1
()
()W()
where
W = y
1
y

2
y
2
y

1
is the Wronskian of y
1
and y
2
, and it is evaluated at x = . Thus nally
G(x; ) =
_
y
1
(x)y
2
()
()W()
a x <
y
2
(x)y
1
()
()W()
< x b
(19)
and the solution to Ly = f is
y(x) =
_
b
a
G(x; )f()d
= y
2
(x)
_
x
a
y
1
()
()W()
f()d + y
1
(x)
_
b
x
y
2
()
()W()
f()d.
1B Methods 72
Note that the integral
_
b
a
is separated at x into two parts (i)
_
x
a
and (ii)
_
b
x
. In the
range of (i) we have < x so the second line of eq. (19) for G(x; ) applies here, even
though this expression incorporated the BC at x = b. For (ii) we have x > so we use
the G(x; ) expression from the rst line of eq. (19), that incorporated the BC at x = a.
Note: often, but not always, the operator L has (x) = 1. Also everything here assumes
that the right hand side of eq. (15) is +1 (x ) whereas some applications have
an extra factor K(x ) which must rst be scaled out before applying our formulae
above.
Remark: it is interesting to note that if L is in Sturm-Liouville form i.e. = d/dx,
then the Greens function denominator ()W() is necessarily a (non-zero) constant.
(Exercise: show this by seeing that
d
dx
((x)W(x)) is zero, using Ly
1
= Ly
2
= 0 so
y
1
Ly
2
y
2
Ly
1
= 0). Thus in this case the Greens function is symmetric in variables x
and i.e. G(x; ) = G(; x) as previously seen in 2.7 in our expression for G(x; ) in
terms of a series of eigenfunctions Y
n
viz.
G(x; ) =

n=1
Y
n
(x)Y
n
()

n
.
The conditions on G(x; ) at x =
We are constructing G(x; ) from pieces of homogeneous solutions (as required by eq.
(15) for all x = ) which are restrictions of well behaved (dierentiable) functions on
(a, b). At x = eq. (15) imposes further conditions on how the two homogeneous pieces
must match up.
The continuity condition: rst suppose there was a jump discontinuity at x = .
Then
d
dx
G (x ) and
d
2
dx
2
G

(x ). However eq. (15) shows that

d
2
dx
2
G cannot
involve a generalised function of the form

(but only ). Hence G cannot have a jump

discontinuity at x = and it must be continuous there. Note however that it is ne for
G

to have a jump discontinuity at x = , and indeed we have:

The jump condition: eq. (15) imposes a constraint on the size of any prospective jump
discontinuity in dG/dx at x = , as follows integrating eq. (15) over an arbitrarily small
interval about x = gives:
_
+

(x)
_
d
2
G
dx
2
_
dx +
_
+

(x)
_
dG
dx
_
dx +
_
+

(x)Gdx =
_
+

(x )dx = 1.
Writing the three LHS integrals as
T
1
+ T
2
+ T
3
= 1.
we have
T
3
0 as 0 (since G is continuous and is bounded);
T
2
0 as 0 (as dG/dx and are bounded).
Also is continuous and (x) () as 0 so
T
1
() lim
0
_
+

_
d
2
G
dx
2
_
dx = ()
_
dG
dx
_
x=
+
x=

,
1B Methods 73
giving the jump condition.
Example of construction of a Greens function
Consider the problem on the interval [0, 1]:
Ly = y

y = f(x) y(0) = y(1) = 0.

We follow our procedure above. The general homogeneous solution is c
1
sin x+c
2
cos x so
we can take y
1
(x) = sin x and y
2
(x) = sin(1 x) as our homogeneous solutions satisfying
the BCs respectively at x = 0 and x = 1.
Then we write
G(x; ) =
_
A() sin x 0 < x < ;
B() sin(1 x) < x < 1.
Applying the continuity condition we get
Asin = B sin(1 )
and the jump condition gives (noting that (x) = 1):
B(cos(1 )) Acos = 1.
Solving these two equations for A and B gives the Greens function to be:
G(x; ) =
_
sin(1) sin x
sin 1
0 < x <
sin(1x) sin
sin 1
< x < 1.
(Note the constant denominator sin 1 indeed L is in SL form.) And so we are able to
write down the complete solution to y

y = f(x) with y(0) = y(1) = 0 (taking care

to use the second G formula in the rst integral, and the rst G formula in the second
integral!) as:
y(x) =
sin(1 x)
sin 1
_
x
0
f() sin d +
sin x
sin 1
_
1
x
f() sin(1 )d. (20)
Greens functions for inhomogeneous BCs
Homogeneous BCs were essential to the notion of a Greens function (since in eq. (16)
the integral represents a kind of continuous superposition of solutions for individual
values). However we can also treat problems with inhomogeneous BCs using a standard
trick to reduce them to homogeneous BC problems:
(1) First nd a particular solution y
p
to the homogeneous equation Ly = 0 satisfying the
inhomogeneous BCs (usually easy).
(2) Then using the Greens function we solve
Ly
g
= f with homogeneous BCs y(a) = y(b) = 0.
1B Methods 74
(3) Then since L is linear the solution of Ly = f with the inhomogeneous BCs is given
by y = y
p
+ y
g
.
Example. Consider y

y = f(x) with inhomogeneous BCs y(0) = 0 and y(1) = 1.

The general solution of the homogeneous equation y

y = 0 is c
1
cos x + c
2
sin x and
the (inhomogeneous) BCs require c
1
= 0 and c
2
= 1/ sin 1 so y
p
= sin x/ sin 1.
Using the Greens function for this L calculated in the previous example, we can write
down y
g
(solution of Ly = f with homogeneous BCs) as given in eq. (20) and so the
nal solution is
y(x) =
sin x
sin 1
+
sin(1 x)
sin 1
_
x
0
f() sin d +
sin x
sin 1
_
1
x
f() sin(1 )d.
Equivalence of eigenfunction expansion of G(x; )
For self adjoint Ls (with homogeneous BCs) we have two dierent expressions for the
Greens function. Firstly we have eq. (19), which may be compactly written using the
Heaviside step function as
G(x; ) =
y
1
(x)y
2
()H( x) + y
2
(x)y
1
()H(x )
()W()
(21)
and secondly we had
G(x; ) =

n=1
Y
n
(x)Y
n
()

n
. (22)
The rst is in terms of homogeneous solutions y
1
and y
2
(Ly = 0) whereas the second
is in terms of eigenfunctions Y
n
and eigenvalues
n
of the corresponding SL system
LY
n
=
n
Y
n
w(x).
In 2.7 we derived eq. (22) without any mention of delta functions, but it may also be
quickly derived using the eigenfunction expansion of (x ) given in eq. (13) viz.
(x ) = w(x)

n=1
Y
n
(x)Y
n
().
Indeed viewing as a parameter and writing the Greens function as an eigenfunction
expansion
G(x; ) =

n=1
B
n
()Y
n
(x) (23)
then LG = (x ) gives
LG =

n=1
B
n
()LY
n
(x) =

n=1
B
n
()
n
w(x)Y
n
(x)
= (x ) = w(x)

n=1
Y
n
(x)Y
n
().
1B Methods 75
Multiplying the two end terms by Y
m
(x) and integrating from a to b we get (by the
weighted orthogonality of the Y
m
s)
B
m
()
m
= Y
m
()
and then eq. (23) gives the expression eq. (22).
Remark. Note that the formula eq. (22) requires that all eigenvalues be nonzero i.e.
that the homogeneous equation Ly = 0 (also being the eigenfunction equation for = 0)
should have no nontrivial solutions satisfying the BCs. Indeed the existence of such
solutions is problematic for the concept of a Greens function, as providing an inverse
operator for L: if nontrivial y
0
with Ly
0
= 0 exist, then the inhomogeneous equation
Ly = f will not have a unique solution (since if y is any solution then so is y + y
0
) and
then the operator L is not invertible. This is just the innite dimensional analogue of the
familiar situation of a system of linear equations Ax = b with non-invertible coecient
matrix A (and indeed a matrix is non-invertible i it has nontrivial eigenvectors belonging
to eigenvalue zero).
Example. As an illustrative example of the equivalence, consider again Ly = y

y
on [a, b] = [0, 1] with BCs y(0) = y(1) = 0.
The normalised eigenfunctions and corresponding eigenvalues are easily calculated to be
Y
n
(x) =

2 sin nx
n
= n
2

2
1
so by eq. (22) we have
G(x; ) = 2

n=1
sin nx sin n
n
2

2
1
. (24)
On the other hand we had in a previous example the expression constructed from homo-
geneous solutions:
G(x; ) =
sin(1 x) sin H(x ) + sin x sin(1 ) H( x)
sin 1
and using trigonometric addition formulae we get
G(x; ) = cos x sin H(x ) + sin x cos H( x) cot 1 sin x sin . (25)
Now comparing eqs (24,25) and viewing as a parameter and x as the independent
variable, we see that the equivalence of the two expressions amounts to the Fourier sine
series in eq. (24) of the function (for each ) in eq. (25)
f(x) = cos x sin H(x ) + sin x cos H( x) cot 1 sin x sin
=

n=1
b
n
() sin nx.
The Fourier coecients are given as usual by (noting that sin nx has norm 1/

2):
b
n
() = 2
_
1
0
f(x) sin nx dx
1B Methods 76
and a direct (but rather tedious) calculation (exercise?...) gives
b
n
() =
2 sin n
n
2

2
1
as expected. (In this calculation note that the Heaviside functions H(x) and H( x)
merely alter the integral limits from
_
1
0
to
_
1

and
_

0
respectively).
7.2 Physical interpretation of the Greens function
We can think of the expression
y(x) =
_
b
a
G(x; ) f() d
as a summation (integral) of individual point source eects, of strength f() with G(x; )
characterising the elementary eect (as a function of x) of a unit point source placed at
.
To illustrate with a physical example consider again the wave equation for a horizontal
elastic string with gravity and ends xed at x = 0, L. If y(x, t) is the (small) transverse
displacement we had
T

2
y
x
2
g =

2
y
t
2
0 x L y(0) = y(L) = 0.
Here T is the (constant) tension in the string and is the mass density per unit length
which may be a function of x. We consider the steady state solution y/t = 0 i.e. y(x)
is the shape of a (non-uniform) string hanging under gravity, and
d
2
y
dx
2
=
(x)g
T
f(x) (26)
is a forced self adjoint equation (albeit having a very simple Ly = y

).
Case 1 (massive uniform string): if is constant eq. (26) is easily integrated and setting
y(0) = y(L) = 0 we get the parabolic shape
y =
g
2T
x(x L).
Case 2 (light string with point mass at x = ): consider a point mass concentrated at
x = i.e. the mass density is (x) = m(x ) with = 0 for x = . For x = the
string is massless so the only force acting is the (tangential) tension so the string must be
straight either side of the point mass. To nd the location of the point mass let
1
and

2
be the angles either side. Then resolving forces vertically the equilibrium condition is
mg = T(sin
1
+ sin
2
) T(tan
1
+ tan
2
)
1B Methods 77
where we have used the small angle approximation sin tan (and y hanging, is
negative). Thus
y() =
mg
T
( L)
L
for the point mass at x = . Hence from physical principles we have derived the shape
for a point mass at :
y(x) =
mg
T

_
x(L)
L
0 x ;
(xL)
L
x L;
(27)
which is the solution of eq. (26) with forcing function f(x) =
mg
T
(x ).
Next lets calculate the Greens function for eq. (26) i.e. solve
LG =
d
2
G
dx
2
= (x ) with G(0; ) = G(L; ) = 0.
Summarising our algorithmic procedure we have successively:
(1) For 0 < x < , G = Ax + B.
(2) For < x < L, G = C(x L) + D.
(3) BC at zero implies B = 0.
(4) BC at L implies D = 0.
(5) Continuity implies C = A/( L).
(6) The jump condition gives A =
(L)
L
so nally
G =
_
x(L)
L
0 x ;
(xL)
L
x L;
and we see that eq. (27) is precisely the Greens function with a multiplicative scale for
a point source of strength mg/T.
Case 3 (continuum generalisation): if in case 2 we had several point masses m
k
at x
k
=
k
we can sum the solutions to get
y(x) =

k
m
k
g
T
G(x;
k
). (28)
For the continuum limit we imagine (N 1) masses m
k
= (
k
) placed at equal
intervals x
k
=
k
= k with = L/N and k = 1, . . . , N 1. Then by the Riemann
sum denition of integrals, as N , eq. (28) becomes
y(x) =
_
L
0
g ()
T
G(x; ) d.
If is constant this function reproduces the parabolic result of case 1 as you can check
by direct integration (exercise, taking care with the limits of integration).
1B Methods 78
7.3 Application of Greens functions to IVPs
Greens functions can also be used to solve initial value problems. Consider the problem
(viewing now the independent variable as time t)
Ly = f(t), t a, y(a) = y

(a) = 0. (29)
The method for construction of the Greens function is similar to the previous BVP
method. As before, we want to nd G such that LG = (t ). so for each G(t; )
will be a homogeneous solution away from t = .
1. Construct G for a t < as a general solution of the homogeneous equation: G =
Ay
1
(t) +By
2
(t). Here y
1
and y
2
are any chosen linearly independent homogeneous
solutions.
2. But now, apply both boundary (i.e. initial) conditions to this solution:
Ay
1
(a) + By
2
(a) = 0,
Ay

1
(a) + By

2
(a) = 0.
Since y
1
and y
2
are linearly independent the determinant of the coecient matrix
(being the Wronskian) is non-zero and we get A = B = 0, and so G(t; ) = 0 for
a t < !
3. Construct G for t, again as a general solution of the homogeneous equation:
G = Cy
1
(t) + Dy
2
(t).
4. Now apply the continuity and jump conditions at t = (noting that G = 0 for
t < ). We thus get
Cy
1
() + Dy
2
() = 0,
Cy

1
() + Dy

2
() =
1
()
,
where (t) is as usual the coecient of the second derivative in the dierential
operator L. This determines C() and D() completing the construction of the
Greens function G(t; ).
For forcing function f(t) we thus have
y(t) =
_
b
a
f()G(t; ) d
but since G = 0 for > t (by step 2 above) we get
y(t) =
_
t
a
f()G(t; ) d
1B Methods 79
i.e. the solution at time t depends only on the input (forcing) for earlier times a t.
Physically this is a causality condition.
Example of an IVP Greens function
Consider the problem
d
2
y
dt
2
+ y = f(t), y(0) = y

(0) = 0. (30)
Following our procedure above we get (exercise)
G(t; ) =
_
0 0 t ;
C cos(t ) + Dsin(t ) t .
Note our judicious choice of independent solutions for t : continuity at t = implies
simply that C = 0, while the jump condition (() = 1) implies that D = 1, and so
G(t; ) =
_
0 0 t ;
sin(t ) t ,
which gives the solution as
y(t) =
_
t
0
f() sin(t )d. (31)
7.4 Higher order dierential operators
We mention that there is a natural generalization of Greens functions to higher order
dierential operators (and indeed PDEs, as we shall see in the last part of the course).
If Ly = f(x) is a n
th
-order ODE (with the coecient of the highest derivative being 1
for simplicity, and n > 2) with homogeneous boundary conditions on [a, b], then
y(x) =
_
b
a
f()G(x; )d,
where
G satises the homogeneous boundary conditions;
LG = (x );
G and its rst n 2 derivatives continuous at x = ;
d
(n1)
G/dx
(n1)
(
+
) d
(n1)
G/dx
(n1)
(

) = 1.
See example sheet III for an example.
1B Methods 80
8 FOURIER TRANSFORMS
8.1 From Fourier series to Fourier transforms
Recall that Fourier series provide a very useful tool for working with periodic functions
(or functions on a nite domain [0, T] which may then be extended periodically) and
here we seek to generalise this facility to apply to non-periodic functions, on the innite
domain R. We begin by imagining allowing the period to tend to innity, in the Fourier
series formalism.
Suppose f has period T and Fourier series (in complex form)
f(t) =

r=
c
r
e
iwrt
(32)
where w
r
=
2r
T
. We can write w
r
= rw with frequency gap w = 2/T. The
coecients are given by
c
r
=
1
T
_
T/2
T/2
f(u)e
iwru
du =
w
2
_
T/2
T/2
f(u)e
iwru
du. (33)
For this integral to exist in the limit as T well require that
_

|f(x)| dx exists,
but then the 1/T factor implies that for each r, c
r
0 too. Nevertheless for any nite
T we can substitute eq. (33) into eq. (32) to get
f(t) =

r=
w
2
e
iwrt
_
T/2
T/2
f(u)e
iwru
du (34)
Now recall the Riemann sum denition of the integral of a function g:

r=
wg(w
r
)
_

g(w) dw
with w becoming a continuous variable. For eq. (34) we take
g(w
r
) =
e
iwrt
2
_
T/2
T/2
f(u)e
iwru
du (35)
(with t viewed as a parameter) and letting T we get
f(t) =
1
2
_

dwe
iwt
__

f(u)e
iwu
du
_
. (36)
(Actually here the function g in eq. (35) changes too, as T i.e. as w 0 but it
has a well dened limit g
w
(w
r
) g
0
(w
r
) =
_

f(u)e
iwu
du so the limit of eq. (34) is
still eq. (36) as given).
1B Methods 81
Introduce the Fourier transform (FT) of f, denoted

f:

f(w) =
_

f(t)e
iwt
dt (37)
and then eq. (36) becomes
f(t) =
1
2
_

f(w) e
iwt
dw (38)
which is Fouriers inversion theorem, recovering f from its FT

f.
Thus (glossing over issues of when the integrals converge) the FT is a mapping from
functions f(t) to functions g(w) =

f(w) where we conventionally use variable names t
and w respectively.
Warning: dierent books give slightly dierent denitions of FT. Generally we can have

f(w) = A
_

f(t)e
iwt
dt and then the inversion formula is
f(t) =
1
2A
_

f(w)e
iwt
dt
(pairing opposite signs). Quite common is A =
1

2
, symmetrically giving the same
constant for the FT and inverse FT formulas, but in this course we will always use A = 1
as above. Some other books also use e
2iwt
in the integrals.
Remarks.
The dual pair of variables t and w above are referred to by dierent names in dierent
applications. If t is time, w is frequency; if t is space x then w is often written as k
(wavenumber) or p (momentum, especially in quantum mechanics) and k-space may be
called spectral space.
the Fourier transform is an example of an integral transform with kernel e
iwt
. There
are other important integral transforms such as the Laplace transform with kernel e
st
(s real, and integration range 0 to ) that youll probably meet later.
if f has a nite jump discontinuity at t then (just as for Fourier series) the inversion
formula eq. (38) returns the average value
f(t
+
)+f(t

)
2
.
8.2 Properties of the Fourier transform
A duality property of FT and inverse FT
Note that there is a close structural similarity between the FT formula and its inverse
viz. eqs. (37,38). Indeed if a function f(t) has the function

f(w) as its FT then replacing
t by t in eq. (38) we get
f(t) =
1
2
_

f(w) e
iwt
dw.
Then from eq. (37) (with the variable names t and w interchanged) we obtain the
Duality property: if g(x) =

f(x) then g(w) = 2f(w). (39)
1B Methods 82
This is a very useful observation for obtaining new FTs: we can immediately write down
the FT of any function g if g is known to be the FT of some other function f.
Writing FT
2
for the FT of the FT we have (FT
2
f)(x) = 2f(x) or equivalently f(x) =
1
2
(

f)(x), and then FT

4
(f) = 4
2
f i.e. iterating FT four times on a function is just
the identity operation up to a constant 4
2
.
Further properties of FT
Let f and g have FTs

f and g respectively. Then the following properties follow easily
from the integral expressions eqs (37,38). (Here and are real constants).
(Linearity) f + g has FT

f + g;
(Translation) if g(x) = f(x ) then g(k) = e
ik

f(k);
(Frequency shift) if g(x) = e
ix
f(x) then g(k) =

f(k ). Note: this also follows
from the translation property and the duality in eq. (39).
(Scaling) if g(x) = f(x) then g(k) =
1
||

f(k/);
(Multiplication by x) if g(x) = xf(x) then g(k) = i

(k) (applying integration by

parts in the FT integral for g).
(FT of a derivative) dual to the multiplication rule (or applying integration by parts
to
_

(x)e
ikx
dx) we have the derivative rule: if g(x) = f

(x) then g(k) = ik

f(k) i.e.
dierentiation in physical space becomes multiplication in frequency space (as we had
for Fourier series previously).
The last property can be very useful for solving (linear) dierential equations in physical
space taking the FT of the equation can lead to a simpler equation in k-space (algebraic
equation for an ODE, or an ODE from a PDE if we FT on one or more variables cf.
exercise sheet 3, question 12). Thus we solve the simpler problem and invert the answer
back to physical space. The last step can involve dicult inverse-FT integrals, and in
some important applications techniques of complex methods/analysis are very eective.
Example. (Dirichlets discontinuous formula)
Consider the top hat (English) or boxcar (American) function
f(x) =
_
1 |x| a,
0 |x| > a
(40)
for a > 0. Its FT is easy to calculate:

f(k) =
_
a
a
e
ikx
dx =
_
a
a
cos(kx) dx =
2 sin(ka)
k
. (41)
so by the Fourier inversion theorem we get
1

e
ikx
sin ka
k
dk =
_
1 |x| < a,
0 |x| > a.
(42)
Now setting x = 0 (so the integrand is even, and rewriting the variable k as x) we get
Dirichlets discontinuous formula:
_

0
sin(ax)
x
dx =
_
_
_

2
a > 0,
0 a = 0,

2
a < 0,
(43)
1B Methods 83
=

2
sgn(a), (44)
(To get the a < 0 case weve simply used the fact that sin(ax) = sin(ax).)
The above integral (forming the basis of the inverse FT of

f) is quite tricky to do
without the above FT inversion relations. It can be done easily using the elegant methods
of complex contour integration (Cauchys integral formula) but a direct elementary
method is the following: introduce the two parameter(!) integral
I(, ) =
_

0
sin(x)
x
e
x
dx (45)
with > 0 and real. Then
I

=
_

0
cos(x)e
x
dx =
__

0
e
(+i)x
dx
_
,
=
_
e
(+i)x
+ i
_

0
=
_
1
+ i
_
=

2
+
2
.
Now integration w.r.t. gives
I(, ) = arctan
_

_
+ C()
with integration constant C() for each . But from eq. (45) I(0, ) = 0 so C() = 0.
Then considering I(, 0) = lim
0
I(, ) we have I(, 0) = lim
0
arctan(/) which
gives eq. (43).
8.3 Convolution and Parsevals theorem for FTs
In applications it is often required to take the inverse FT of a product of FTs i.e. we
want to nd h(x) such that

h(k) =

f(k) g(k) where

f and g are FTs of known functions
f and g respectively. Applying the denitions of the Fourier transform and its inverse,
we can write
h(x) =
1
2
_

f(k) g(k)e
ikx
dk,
=
1
2
_

g(k)e
ikx
__

f(u)e
iku
du
_
dk.
Now (assuming the f and g are absolutely integrable) we can change the order of inte-
gration to write
h(x) =
_

f(u)
_
1
2
_

g(k)e
ik(xu)
dk
_
du,
h(x) =
_

f(u)g(x u) du = f g, (46)
1B Methods 84
This integrated combination h = f g is called the convolution of f and g. Convolution
is called faltung (or folding) in German, which picturesquely describes the way in which
the functions are combined the graph of g is ipped (folded) about the variable
vertical line u = x/2 and then integrated against f.
By exploiting the dual structure of eq. (39) of FT and inverse FT, the above result
readily shows (exercise) that a product of functions in physical (x) space has a FT that
is the convolution of the individual FTs (with a 2 factor):
h(x) = f(x)g(x)

h(k) =
1
2
_

f(u) g(k u)du. (47)

Parsevals theorem for FTs
An important simple corollary of (46) is Parsevals theorem for FTs. Let g(x) = f

(x).
Then
g(k) =
_

(x)e
ikx
dx
=
__

f(x)e
ikx
dx
_

=
__

f(y)e
iky
dy
_

=

f

(k).
Thus by eq. (46) the inverse FT of

f(k)

f

(k) is the convolution of f(x) and f

(x) i.e.
_

f(u)f

(u x)du =
1
2
_

f(k)|
2
e
ikx
dk.
Setting x = 0 gives the Parseval formula for FTs:
_

|f(u)|
2
du =
1
2
_

f(k)|
2
dk. (48)
Thus the FT as a mapping from functions f(x) to functions

f(k) preserves the squared
norm of the function (up to a constant 1/2 factor).
8.4 The delta function and FTs
There is a natural extension of the notion of FT to generalised functions. Here we
will indicate some basic features relating to the Dirac delta function, using intuitive
arguments based on formally manipulating integrals (without worrying too much about
whether they converge or not). The results can be rigorously justied using the Schwartz
function formalism for generalised functions that we outlined in chapter 7, and we will
indicate later how this formalism embraces FTs too (optional section below).
Writing f(x) as the inverse of its FT we have
f(x) =
1
2
_

e
ikx
__

f(u)e
iku
du
_
dk,
=
_

f(u)
_
1
2
_

e
ik(xu)
dk
_
du.
1B Methods 85
Comparing this with the sampling property of the delta function, we see that the term
in the square brackets must be a representation of the delta function:
(u x) = (x u) =
1
2
_

e
ik(xu)
dk. (49)
In particular setting u = 0 we have (x) = (x) =
1
2
_

1e
ikx
dk and we get the FT
pair
f(x) = (x)

f(k) = 1. (50)
Note that this is also consistent with directly putting f(x) = (x) into the basic FT
formula

f(k) =
_

f(x)e
ikx
dx and using the sampling property of .
Eq. (50) can be used to obtain further FT pairs by formally applying basic FT rules to
it. The dual relation eq. (39) gives
f(x) = 1

f(k) =
_

e
ikx
dx = 2(k).
From the translation property of FTs (or applying the sampling property of (xa)) we
get,
f(x) = (x a)

f(k) =
_

(x a)e
ikx
dx = e
ika
and the dual relation
f(x) = e
iax

f(k) = 2(k a).
Then e
i
= cos i sin gives
f(x) = cos(x)

f(k) = [(k + ) + (k )] ,
f(x) = sin(x)

f(k) = i [(k + ) (k )] (51)
So, a highly localised signal in physical space (e.g. a delta function) has a very spread
out representation in spectral space. Conversely a highly spread out (yet periodic) signal
in physical space is highly localised in spectral space. This is illustrated too in exercise
sheet 3, in computing the FT of a Gaussian bell curve.
Towards a rigorous theory of FTs of generalised functions
(optional section)
Many of the FT integrals above actually dont technically converge! (e.g. FT(1) which
we identied as 2(k)). Here we outline how to make rigorous sense of the above results,
extending our previous discussion of generalied functions in terms of Schwartz functions.
If f is any suitably regular ordinary function on R and is any Schwartz function then
it is easy to see from the FT denition eq. (37) that
_

f(x)(x) dx =
_

f(x)

(x) dx.
1B Methods 86
Here as usual the tilde denotes FT and we have written the independent variables as x
rather than t or k. Hence if F and

F denote the functionals on S (space of Schwartz
functions) associated to f and

f then we have

F{} = F{

}
and we now dene(!) the FT of any generalised function by this formula. For example
for the delta function we get

{}
(a)
= {

}
(b)
=

(0)
(c)
=
_

1.(t) dt.
(where (a) is by denition, (b) is the action of the delta function and (c) is by setting
w = 0 in

(w) =
_

(t)e
iwt
dt). Thus comparing to the formal notation of generalised
function kernels

{}
_

(x)(x) dx
we have

(x) = 1 as expected. Similarly all our formulas above may be rigorously
established.
Example (FT of the Heaviside function H).
H(x) =
_
_
_
1 x > 0
1
2
x = 0
0 x < 0
We begin by noting that H(x) =
1
2
(sgn(x) + 1) and recalling Dirichlets discontinuous
formula
_

sin kx
k
dk = 2
_

0
sin kx
k
dk = sgn(x).
Thus for the FT of sgn(x) we have
sgn{} =
_

sgn(s)

(s) ds
=
_

(s)
sin us
u
du ds
=
_

(s)
e
ius
e
ius
2iu
du ds
=
_

1
iu
[(u) (u)] du
= 2
_

_
1
ix
_
(x) dx.
(In the second last line we have used the Fourier inversion formula, and to get the last
line we have substituted u = x and u = x respectively in the two terms of the integral).
Thus comparing with
sgn{} =
_

sgn(k)(k) dk
1B Methods 87
we get
sgn(k) =
2
ik
.
Finally (using FT(1) = 2(k)) we get

H(k) = FT
_
1
2
(sgn(x) + 1)
_
=
1
ik
+ (k).
It is interesting and instructive here to recall that H

(x) = (x) so from the dierentiation

rule for FTs we get
ik

H(k) =

(k) = 1
even though

H(k) is not
1
ik
but equals
1
ik
+(k)! However this is not inconsistent since
using the correct formula for

H(k), we have
ik

H(k) = ik(
1
ik
+ (k)) = 1 + ik(k)
and as noted previously (top of page 67) x(x) is actually the zero generalised function,
so we can correctly deduce that ik

H(k) = 1!
8.5 FTs and linear systems, transfer functions
FTs are often used in the systematic analysis of linear systems which arise in many
engineering applications. Suppose we have a linear operator L acting on input I(t) to
give output O(t) e.g. we may have an amplier that can in general change the amplitude
and phase of a signal.
Using FTs we can express the physical input signal via an inverse FT as
I(t) =
1
2
_

I(w)e
iwt
dw
which is called the synthesis of the input, expressing it as a combination of components
with various frequencies each having amplitude and phase given by the modulus and
argument respectively, of

I(w). The FT itself is known as the resolution of the pulse
(into its frequency components):

I(w) =
_

I(t)e
iwt
dt.
Now suppose that L modies the amplitudes and phases via a complex function

R(w) to
produce the output
O(t) =
1
2
_

R(w)

I(w)e
iwt
dw. (52)

R(w) is called the transfer function of the system and its inverse FT R(t) is called the
response function.
1B Methods 88
Warning: in various texts both R(t) and

R(w) are referred to as the response or transfer
function, in dierent contexts.
Thus

R(w) =
_

R(t)e
iwt
dt R(t) =
1
2
_

R(w)e
iwt
dw
and looking at eq. (52) we see that R(t) is the output O(t) of the system when the input
has

I(w) = 1 i.e. when the input is (t) i.e. LR(t) = (t). Hence R(t) is closely related
to the Greens function when L is a dierential operator.
Eq. (52) also shows that O(t) is the inverse FT of a product

R(w)

I(w) so the convolution

theorem gives
O(t) =
_

I(u)R(t u) du. (53)

Next consider the important extra physical condition of causality. Assume that there
is no input signal before t = 0 i.e. I(t) = 0 for t < 0, and suppose the system has
zero output for any t
0
if there was zero input for all t < t
0
(e.g. the amplier does not
hum..) so R(t) = 0 for t < 0 (as R(t) is output for input (t) which is zero for t < 0).
Then in eq, (53) the lower limit can be set to zero (as I(u) = 0 for u < 0) and the upper
limit to t (as R(t u) = 0 for u > t):
O(t) =
_
t
0
I(u)R(t u) du (54)
which is formally the same as our previous expressions in chapter 7.3 with Greens func-
tions for IVPs.
General form of transfer functions for ODEs
In many applications the relationship between input and output is given by a linear nite
order ODE:
L
m
[I(t)] =
_
m

j=0
b
j
d
j
dt
j
_
[I(t)] =
_
n

i=0
a
i
d
i
dt
i
_
[O(t)] = L
n
[O(t)]. (55)
For simplicity here we will consider the case m = 0 so the input acts directly as a forcing
term. Taking FTs we get

I() =
_
a
0
+ a
1
i + . . . + a
n1
(i)
n1
+ a
n
(i)
n

O()

R() =
1
[a
0
+ a
1
i + . . . + a
n1
(i)
n1
+ a
n
(i)
n
]
.
So the transfer function is a rational function with an n
th
degree polynomial as the
denominator.
The denominator of

R(w) can be factorized into a product of roots of the form (ic
j
)
k
j
for j = 1, . . . , J (allowing for repeated roots) where k
j
1 and

J
j=1
k
j
= n). Thus

R =
1
(i c
1
)
k
1
. . . (i c
J
)
k
J
1B Methods 89
and using partial fractions, this can be expressed as a simple sum of terms of the form

mj
(i c
j
)
m
, 1 m k
j
where
mj
are constants.
So we have

R() =

mj
(i c
j
)
m
and to nd the response function R(t) we need to Fourier-invert a function of the form

h
m
() =
1
(i )
m+1
, m 0.
We give the answer and check (by Fourier-transforming it) that it works.
Consider the function h
0
(t) = e
t
for t > 0, and zero otherwise i.e. h
0
(t) = 0 for t < 0.
Then

h
0
() =
_

0
e
(i)t
dt
=
_
e
(i)t
i
_

0
=
1
i
provided () < 0. So h
0
(t) is identied.
Remark: If () > 0 then the above integral is divergent. Indeed recalling the theory of
linear constant coecient ODEs, we see that the c
j
s above are the roots of the auxiliary
equation and the equation has solutions with terms e
c
j
t
which grow exponentially if
(c
j
) > 0. Such exponentially growing functions are problematic for FT and inverse
FT integrals so here we will consider only the case (c
j
) < 0 for all j, corresponding to
stable ODEs whose solutions do not grow unboundedly as t .
Next consider the function h
1
(t) = te
t
for t > 0 and zero otherwise, so h
1
(t) = th
0
(t).
Recalling the multiplication by x rule for FTs viz:
if f(x)

f(w) then xf(x) i

(w),
we get

h
1
(w) = i
d
dw
_
1
iw
_
=
1
(iw )
2
(which may also be derived directly by evaluating the FT integral
_

0
te
t
e
iwt
dt).
Similarly (or proof by induction) we have (for Re() < 0)
h
m
(t) =
_
t
m
e
t
m!
t > 0;
0 t 0


h
m
() =
1
(i )
m+1
, m 0
1B Methods 90
and so it is possible to construct the output from the input using eq. (54) for such stable
systems easily. Physically, see that functions of the form h
m
(t) always decay as t ,
but they can increase initially to some nite time maximum (at time t
m
= m/|| if < 0
and real for example). We also see that R() = 0 for < 0 so in eq. (53) the upper
integration limit can be replaced by t, so O(t) depends only on the input at earlier times,
as expected.
Example: the forced damped oscillator
The relationship between Greens functions and response functions can be nicely illus-
trated by considering the linear operator for a damped oscillator:
d
2
dt
2
y + 2p
d
dt
y + (p
2
+ q
2
)y = f(t), p > 0. (56)
Since p > 0 the drag force 2py

acts opposite to the direction of velocity so the motion

is damped. We assume that the forcing term f(t) is zero for t < 0. Also y(t) and y

(t)
are also zero for t < 0 and we have initial conditions y(0) = y

(0) = 0. Taking FTs we

get
(i)
2
y + 2ip y + (p
2
+ q
2
) y =

f
so

R

f =

2
+ 2ip + (p
2
+ q
2
)
= y
and taking inverse FTs we get
y(t) =
_
t
0
R(t )f()d,
with R(t ) =
1
2
_

e
i(t)
p
2
+ q
2
+ 2ip
2
d.
Now consider LR(t ), using this integral formulation, and assuming that formal dif-
ferentiation within the integral sign is valid
d
2
dt
2
R(t ) + 2p
d
dt
R(t ) + (p
2
+ q
2
)R(t )
=
1
2
_

_
(i)
2
+ 2ip + (p
2
+ q
2
)
p
2
+ q
2
+ 2ip
2
_
e
i(t)
d
=
1
2
_

e
i(t)
d = (t ),
using (49). Therefore, the Greens function G(t; ) is the response function R(t ) by
(mutual) denition. On sheet 3, question 1 you are asked to ll in the details, computing
both R(t) and the Greens function explicitly.
Example. FTs can also be used for ODE problems on the full line R so long as the
functions involved are required to have suitably good asymptotic properties for the FT
integrals to exist. As an example consider
d
2
y
dx
2
A
2
y = f(x) < x <
1B Methods 91
such that y 0, y

0 as |x| , and A is a positive real constant. Taking FTs we

have
y =

f
A
2
+ k
2
, (57)
and we seek to identify g(x) such that
g =
1
A
2
+ k
2
.
Consider
h(x) =
e
|x|
2
, > 0.
Since h(x) is even, its FT can be written as

h(k) =
_
1

_

0
exp [x( + ik)] dx
_
=
1

_
1
+ ik
_
=
1

2
+ k
2
so we have identied g(x) =
e
A|x|
2A
. The convolution theorem then gives
y(x) =
1
2A
_

f(u) exp(A|x u|)du. (58)

This solution is clearly in the form of a Greens function expression. Indeed the same
expression may be derived using the Greens function formalism of chapter 7, applied
to the innite domain (, ) (and imposing suitable asymptotic BCs on the Greens
function for |x| ).
8.6 FTs and discrete signal processing
Another hugely important application of FTs is to the theory and practice of discrete
signal processing i.e. the manipulation and analysis of data that is sampled at discrete
times, as occurring for example in any digital representation of music or images (CDs,
DVDs) and all computer graphics and sound les etc. Here we will give just a very brief
overview of a few fundamental ingredients of this subject, which could easily justify an
entire course on its own.
Consider a signal h(t) which is sampled at evenly spaced time intervals apart:
h
n
= h(n) n = . . . 2, 1, 0, 1, 2, . . .
The sampling rate or sampling frequency is f
s
= 1/ (samples per unit time) and
introduce the angular frequency w
s
= 2f
s
(samples per 2 time). Consider two complex
exponential signals with pure frequencies
h
1
(t) = e
iw
1
t
= e
2if
1
t
h
2
(t) = e
iw
2
t
= e
2if
2
t
.
1B Methods 92
These will have precisely the same samples when (w
1
w
2
) is an integer multiple
of 2 i.e. when (f
1
f
2
) is an integer. We can avoid this possibility by choosing
so that |f
1
f
2
| < 1. A general signal h(t) is called w
max
-bandwidth limited if its
FT

h(w) is zero for |w| > w
max
i.e.

h is supported entirely in [w
max
, w
max
]. Writing
f
max
= w
max
/2 we see that we can distinguish dierent f
max
-bandwidth limited signals
with -sampling if
2f
max
< 1 i.e. <
1
2f
max
(59)
which is called the Nyquist condition (with Nyquist frequency f = 1/2 for sampling
interval ). For a given sampling interval violation of eq. (59) leads to the phenomenon
of aliasing i.e. an inability to distinguish properties of signals with frequencies exceeding
half the sampling rate. Via the relation (f
1
f
2
) = integer, such high frequencies f
1
will be aliased onto lower frequencies f
2
within [f
max
, f
max
].
Reconstruction of a signal from its samples the sampling theorem
Suppose g is a w
max
-bandwidth limited signal and write f
max
= w
max
/2. From the
denition of the Fourier transform we have
g(w) =
_

g(t)e
iwt
dt,
and the inversion formula with the bandwidth limit gives
g(t) =
1
2
_

g(w)e
iwt
dw =
1
2
_
wmax
wmax
g(w)e
iwt
dw.
Now let us set the sampling interval to be = 1/(2f
max
) = /w
max
so samples are taken
at t
n
= n = n/w
max
giving
g(t
n
) = g
n
=
1
2
_
wmax
wmax
g(w) exp
_
inw
w
max
_
dw.
Now recalling our formulas for complex Fourier series coecients of a function on [a, b] =
[w
max
, w
max
] (cf page 12 of lecture notes) we see that the g
n
are w
max
/ times the com-
plex Fourier coecients c
n
for a function g
p
(w) which coincides with g(w) on (w
max
, w
max
)
and is extended to all R as a periodic function with period 2w
max
i.e.
g
p
(w) =

w
max

n=
g
n
exp
_
inw
w
max
_
.
Therefore the actual (bandwidth limited) Fourier transform of the original function is
the product of the periodically repeating g
p
() and a box-car function

h(w) as dened
in (40):

h(w) =
_
1 |w| w
max
,
0 otherwise.
,
g(w) = g
p
(w)

h(w)
=
_

w
max

n=
g
n
exp
_
inw
w
max
_
_

h(w),
1B Methods 93
This is an exact equality: the countably innite discrete sequence of samples g(n) = g
n
of a bandwidth-limited function g(t), completely determines its Fourier transform g(w).
We can now apply the Fourier inversion formula to exactly reconstruct the full signal g(t)
for all t, from its samples at t = n. Assuming that swapping the order of integration
and summation is ne, we have
g(t) =
1
2
_

g(w)e
iwt
dw,
=
1
2w
max

n=
g
n
_
wmax
wmax
exp
_
iw
_
t
n
w
max
__
dw,
=
1
2w
max

n=
g
n
_
_
exp(i[w
max
t n]) exp(i[w
max
t n])
i
_
t
n
wmax
_
_
_
=

n=
g
n
sin(w
max
t n)
w
max
t n
,
=

n=
g(n) sinc[w
max
(t n)]
where sinc(t) =
sin t
t
.
In summary, the bandwidth-limited function can be represented (for continuous time)
exactly by this representation in terms of its discretely sampled values, with the contin-
uous values being lled in by this expression which is known as the Shannon-Whittaker
sampling formula. This result is called the (Shannon) sampling theorem. Such full
reconstruction of bandwidth-limited functions, by multiplying by the Whittaker sinc
function or cardinal function sinc(t) centred on the sampling points and summing, is at
the heart of all digital music reproduction.
8.7 The discrete Fourier transform
For any natural number N the discrete Fourier transform (mod N) denoted DFT is
dened to be the N by N matrix with entries
[DFT]
mn
= e

2i
N
mn
m, n = 0, 1, 2, . . . , (N 1). (60)
Note that here we number rows and columns from 0 to N 1 rather than the more
conventional 1 to N. Thus the rst row and column are always all 1s and DFT is a
symmetric matrix. Some books include a 1/

N pre-factor (just like a 1/

2 factor that
we did not use in our denition of FT).
In further pure mathematical theory (group representation theory) there is a general
notion of a Fourier transform on any group G. It may be shown that the Fourier transform
of functions on R, the Fourier series of periodic nctions on R, and DFT, are all examples
of this single construction, just using dierent groups viz. respectively R with addition,
1B Methods 94
the circle group {e
i
: 0 < 2} with multiplication, and the group Z
N
of integers mod
N with addition. Correspondingly DFT enjoys a variety of nice properties analogous to
those weve seen for Fourier series and transforms. We now derive some of these from
the denition of DFT above. So far we have that DFT is a linear mapping from C
N
to
C
N
.
The inverse DFT
1

N
DFT is actually a unitary matrix i.e. the inverse is the adjoint (conjugate transpose):
_
1

N
DFT
_
1
=
_
1

N
DFT
_

so
_
1

N
DFT
_

_
1

N
DFT
_
= I
so
DFT
1
=
1
N
DFT

.
To see this write w = e
2i/N
and note that each row or column of DFT is a geometric
sequence 1, r, r
2
, . . . , r
N1
with ratio r being a power of w (depending on the choice of
row or column). Now recall the basic property of such series of N
th
roots of unity: if
r = w
a
for any a = 0 (or more generally a is not a multiple of N) then r = 1 but r
N
= 1
so
1 + r + r
2
+ . . . + r
N1
=
1 r
N
1 r
= 0
but if a = 0 (or is a multiple of N) then r = 1 so
1 + r + r
2
+ . . . + r
N1
= 1 + 1 + . . . + 1 = N.
Using this, it is easy to see (exercise) that the set of rows (or set of columns) of DFT/

N
is an orthonormal set of vectors in C
N
and hence that (
1
N
DFT

)(DFT) = I.
A Parseval equality (also known as Plancherels theorem)
For any a = (a
0
, . . . , a
N1
) C
N
, if a = ( a
0
, . . . , a
N1
) = DFTa then
a a =
1
N
a a .
This follows immediately from the general relationship of adjoints to inner products viz.
(Au, v) = (u, A

v). Hence
( a , a) = (DFTa , DFTa) = (a , DFT

DFTa) = N(a , a).

Convolution property
For any a = (a
0
, . . . , a
N1
) and b = (b
0
, . . . , b
N1
) introduce the convolution c = a b
dened by
c
k
=
N1

m=0
a
m
b
km
k = 0, . . . , N 1
1B Methods 95
(where the subscript k m is computed mod N to be in 0, . . . , N 1). Then DFT maps
convolutions into straightforward component-wise products:
c
k
= a
k

b
k
for each k = 0, . . . , N 1 .
To see this, use the DFT and convolution denitions to write
c
k
=
N1

l=0
c
l
w
kl
=
N1

m=0
N1

l=0
a
m
b
lm
w
kl
and then substitute for index l introducing p = l m mod N to get a
k

b
k
directly on
RHS (exercise).
Remark (FFT) (Optional).
DFT has a wide variety of applications in both pure and applied mathematics. One of
its most important properties is the existence of a so-called fast Fourier transform
(FFT) which refers to the following idea: suppose we want to compute DFTa for some
a C
N
and N is large. Direct matrix multiplication will require O(N
2
) basic arithmetic
operations (additions and multiplications) for each of the N components of DFTa we
need O(N) operations to compute the inner product of a row of DFT and the column
vector a. Now because of the very special structure of the DFT matrix entries (as a
pattern of roots of unity) it can be shown that if N = 2
M
is a power of 2, then there
is a faster algorithm to compute DFTa, requiring only O(N log N) basic arithmetic
operations! a dramatic exponential (N log N) saving in run time. This is the
so-called FFT algorithm (cf wikipedia for an explicit description, which we omit here),
often attributed to a paper by Cooley and Tukey from 1965, but it already appears in
the notebooks of Gauss from 1805 he invented it on the side, as an aid to speed up his
by-hand calculations of trajectories of asteroids!
An important application of FFT is to provide a super-fast algorithm for integer multi-
plication. If a = a
n1
. . . a
0
and b = b
n1
. . . b
0
are two n digit numbers (written as usual
in terms of decimal or binary digits) then the direct calculation of the product c = ab
by long multiplication takes O(n
2
) elementary arithmetic steps (additions and multipli-
cations of single digits). However if we write a =

n1
m=0
a
m
10
m
and similarly for b, then
a simple calculation shows that c =

2n2
m=0
c
m
10
m
with C = (c
0
, c
1
, . . . , c
2n2
) being the
convolution A B of the (2n 1)-dimensional vectors A = (a
0
, . . . , a
n1
, 0, . . . , 0) and
B = (b
0
, . . . , b
n1
, 0, . . . , 0) of the digits extended by zeroes. With this observation we
can construct a fast multiplication algorithm along the following lines: represent a and b
as extended vectors A and B of their digits; take DFTs (O(nlog n) steps with FFT) to
get

A and

B; form the entry-wise product (O(n) steps); nally take inverse DFT to get
the components of A B i.e. the desired result c (O(nlog n) steps again). Thus we have
O(nlog n) steps in all compared to O(n
2
) for standard long multiplication. For example
(assuming all the big-O constants to be 1) if the numbers have 1000 digits, then we get
(only!) about nlog n = 3000 steps compared to about n
2
= 1 million steps!
Example (nite sampling)
The sampling theorem showed how in some circumstances (viz. bandwidth limited sig-
nals) we can reconstruct a signal h(t) and hence also its FT exactly, from a discrete
1B Methods 96
but innite set of samples h(n). But realistically in practice we can obtain only a
nite number N of samples say h
m
= h(t
m
) for t
m
= m and m = 0, 1, . . . , N 1, and
hence expect only an approximation to its FT

h, at some points. The DFT arises in the
computation of such approximations.
Suppose h(t) is negligible outside [0, T] and we sample N points as above with = T/N.
Now consider the FT

h at w with frequency f = w/2. By approximating the FT integral
as a Riemann sum using our sampled values h
m
in [0, T], we have

h(w) =
_

h(t)e
2ift
dt (61)

N1

m=0
h
m
e
2if(m)
. (62)
Since FT is an invertible map, from our data of N samples of h(t) wed like to estimate
N samples

h(w
n
) of the FT at frequencies f
n
= w
n
/2. We know that if |f| exceeds the
Nyquist frequency f
c
= 1/2 associated to the sampling rate , then features with such
frequencies become indistinguishably aliased into frequencies with |f| < f
c
. Hence well
choose our N discrete frequency values f
n
to be equally spaced in [f
c
, f
c
] i.e.
f
n
=
n
N
n = N/2, . . . , 0, . . . , N/2 1. (63)
Substituting these into the above approximation we get

h(f
n
) =
N1

m=0
h
m
e

2i
N
mn
so if we introduce vectors

h and h whose components are the discrete values of

h and h,
then the above gives

h = DFT(h)
(the minus sign arising from the fact that in eq. (63) n runs from N/2 to N/2 1
rather than from 0 to N 1).
Remark (quantum computing) (optional)
DFT (or more precisely the unitary matrix QFT = DFT/

N) has a fundamental signi-

cance in quantum mechanics. In quantum theory, states of physical systems are described
by complex vectors (nite dimensional for many physical properties) and physical time
evolution is represented by a unitary operation on the vectors. Thus QFT represents
an allowable quantum physical state transformation and further to FFT (as a mathe-
matical transformation of a list of N complex numbers), it can be shown that QFT as
a quantum physical transformation on a physical quantum state can be physically im-
plemented in O((log N)
2
) elementary quantum steps i.e. exponentially faster than the
O(N log N)-time FFT on classical data. This is a very remarkable property with momen-
tous consequences: if we had a quantum computer that could implement elementary
quantum operations on quantum states as its computational steps (rather than the con-
ventional Boolean operations on classical bit values) then the superduper-fast QFT could
1B Methods 97
be exploited (as a consequence of a little bit of number theory...) to provide an algorithm
for integer factorisation that can factorise any integer of n digits in O(n
3
) steps, whereas
the best known classical factoring algorithm has a profoundly slower run time of about
O(e
n
1/3
) steps. Because of this time speed up, such a quantum computer would be able
to eciently (i.e. realistically in actual practice) crack currently used cryptosystems (e.g.
RSA) whose security relies on the hardness of factoring, and decipher much encrypted
secret information that exists the public domain. Because all known classical factoring
algorithms are so profoundly slower, such decryption is in practice impossible on a regu-
lar computer - it can in principle be done but would typically need an estimated running
time well exceeding the age of the universe to nish the task. The tripos part III course
titled Quantum computation provides a detailed exposition of QFT and the amazing
quantum factoring algorithm.