We are required to calculate

  Z +∞
−1 1 1 1
F 2 2
= 2 2
e−iλx dλ,
λ +k 2π −∞ λ + k
in the complex λ plane. By the Residue Theorem in complex analysis
(http://mathworld.wolfram.com/ResidueTheorem.html),


1 kx

2k
e , x<0
= (113)
1 −kx

2k
e , x>0
Therefore,
+∞
1 −k|s|
Z
y(x) = − f (x − s) e ds.
−∞ 2k

B. Heat equation for an infinite rod

ut − c2 uxx = 0, −∞ < x < +∞, t>0

u(x, 0) = f (x).

We take the Fourier transform of this problem with respect to x. Let U(λ, t) = Fx [u(x, t)](λ).

Fx [ut − c2 uxx ] = 0 → Fx [ut ] − c2 Fx [uxx ] = 0.

→ (Fx [u])t − c2 (−iλ)2 Fx [u] = 0.
→ Ut + c2 λ2 U = 0.

The initial condition transforms to

Fx [u(x, 0)] = Fx [f ] → U(λ, 0) = Fx [f ].

The problem is transformed to

Ut + c2 λ2 U = 0
U(λ, 0) = Fx [f ].
2 2
The solution of this ordinary differential equation is U(λ, t) = e−c λ t F [f ](λ). Therefore,
h 2 2 i
−1 −1 −c λ t
u(x, t) = Fλ [U(λ, t)] = Fλ e F [f ](λ)
Z ∞
2 2
= f (x − s)Fλ−1 [e−c λ t ](s)ds.
−∞

121
 ∞
1
Z
2 2 2 λ2 t
Fλ−1 [e−c λ t ](x) = e−c e−iλx dλ. (114)
2π −∞

We use the Euler formula e−iλx = cos λx − i sin λx, and that the integral from −∞ to ∞ of
an odd function is zero. This yields
∞
1
Z
2 λ2 t
= e−c cos λx dλ (115)
2π −∞
∞
1
Z
2 λ2 t
= e−c cos λx dλ ≡ I(x).
π 0

We solve for I(x) by setting up an ordinary differential equation:

1 ∞
Z ∞
1
Z
′ −c2 λ2 t 2 2
I (x) = − λe sin λx dλ = 2
sin λx d(e−c λ t )
π 0 2πc t 0
 Z ∞ 
1 
−c2 λ2 t 
∞
−c2 λ2 t
= sin λx e  − x cos λx e dλ
2πc2 t 0 0
Z ∞
x 2 2 x
=− 2
x cos λx e−c λ t dx = − I(x)
2πc t 0 2πc2 t

x I ′ (x) x
→ I ′ (x) = − 2
I(x) → =−
2πc t I(x) 2πc2 t
x
→ (ln I(x))′ = −
2πc2 t
2
x x
Z
→ ln I(x) = − 2
dx + c = − 2 + c
2πc t 4c t
−x2
→ I(x) = Ce 4c2 t

Let x = 0 in above: I(0) = C and from (115),

1 ∞ −c2 λ2 t
Z
I(0) = e dλ
π −∞
2 ∞ −c2 λ2 t
Z
= e dλ
π 0
Z ∞
2 2
= √ e−y dy (116)
πc t 0
√ y
where y = λc t, or λ = c√ t
. The integral in (116) is calculated in the following. Let
Z ∞
2
ℓ= e−y dy (117)
0

122
Then
π
Z ∞ Z ∞ Z
2
2 −(x2 +y 2 ) 2
ℓ = e dx dy = dr e−r rdr dθ
Z 0∞ Z ∞0 0
π 2 π1 π
= e−r r dr = e−u du =
2 0 22 0 4
√
π
→ℓ=
2 √
1 π 1
→ I(0) = C = √ = √
πc t 2 2 πtc
Therefore,
1 −x2
I(x) = √ e 4c2 t .
2 πtc
Therefore,
∞
1
Z
−x2
u(x, t) = f (x − s) √ e 4c2 t ds
−∞ 2 πtc
∞
1
Z
−(x−s)2
= f (s) √ e 4c2 t ds
−∞ 2 πtc

C. Example: Laplace’s equation in a half-plane

uxx + uyy = 0, −∞ < x < ∞, y > 0,

u(x, 0) = f (x), u(x, y) → 0 as y → ∞.

Let U(λ, y) = Fλ [u(x, y)](λ). Take the Fourier transform with respect to x.

Fx [uxx + uyy ] = 0 ⇒ Fx [uxx ] + Fx [uyy ] = 0.

⇒ (−iλ)2 U(λ, y) + Uyy (λ, y) = 0. ⇒ Uyy − λ2 U = 0.

Boundary condition: F [u(x, 0)[= F [f ] ⇒ U(λ, 0) = F [f ].

Consider the problem

Uyy − λ2 U = 0, U(λ, 0) = F [f ].

Solution:
U(λ, y) = c1 e|λ|y + c2 e−|λ|y .

123
Since y → +∞, U(λ, y) is bounded (→ 0), then c1 = 0. Hence,

U(λ, y) = c2 e−|λ|y . U(λ, 0) = c2 = F [f ]. ⇒ U(λ, y) = F [f ]e−|λ|y .

Z ∞
−1 −|λ|y
⇒ u(x, y) = Fλ [F [f ]e ]= f (x − s)Fλ−1 [e−|λ|y ](s)ds.
−∞

Now
Z ∞
1
Fλ−1 [e−|λ|y ]
= e−|λ|y e−iλx dλ
2π −∞
Z 0 Z ∞
1 1
= eλy−iλx
dλ + e−λy−iλx dλ,
2π −∞ 2π 0
Z 0 Z ∞
1 λ(y−ix) 1
= e dλ + eλ(−y−ix) dλ,
2π −∞ 2π 0
   
1 1 λ(y−ix) 0
 1 1 λ(−y−ix)λ ∞

= e −∞
+ e 0
,
2π y − ix 2π −y − ix
 
1 1 1 1 2y y
= + = 2 2
= 2
2π y − ix y + ix 2π y + x (y + x2 )π
Z ∞
1 y
⇒ u(x, y) = f (s)ds
π −∞ (y + (x − s)2 )
2

D. Example: Laplace’s equation with Neumann boundary condition

uxx + uyy = 0, −∞ < x < ∞, y>0

uy (x, 0) = g(x).

Let v(x, y) = uy (x, y). Then the problem is transformed to

vxx + vyy = 0, −∞ < x < ∞, y>0

v(x, 0) = g(x).

Thus,

1 ∞ y
Z
v(x, y) = uy = g(s) 2 ds (118)
π −∞ y + (x − s)2
Z ∞
1 ∞
Z ∞
ỹ
Z
⇒ −u(x, y) = v(x, ỹ)dỹ = g(s) dỹ ds
y π −∞ y ỹ + (x − s)2
2
∞
1 ∞

1
Z
2 2
= g(s) ln(ỹ + (x − s) ) ds. (119)
π −∞ 2 y

124
Here, the integral diverges at ỹ = ∞. But we can get around that with an assumption on
R R
g(s). From Gauss’s divergence theorem, Ω ∇ · f dx = ∂Ω f · ndS, where Ω is a domain and
R R ∂u
∂Ω its boundary. Use f = ∇u, Ω △u dx = ∂Ω ∂n dS, where ∂u/∂n = ∂u/∂y = g(x). So a
reasonable assumption, since △u = 0, is
Z ∞
g(s)ds = 0. (120)
−∞

This allows us to add any function of ỹ to 118, so we shall add the part that cancels the bad
behavior as ỹ → ∞. 118 is equal to
1 ∞ ỹ 1
Z
g(s)[ 2 2
− ]dỹds
π −∞ ỹ + (x − s) ỹ
This changes 119 to
∞  ∞
1 1
Z
g(s) ln(ỹ 2 + (x − s)2 ) − ln ỹ ds. (121)
π −∞ 2 y

Thus, the limit at ∞ is 0 and we obtain

1 ∞ 1
Z
u(x, y) = g(s) ln(ỹ 2 + (x − s)2 )ds. (122)
π −∞ 2

E. Fourier sine and cosine transforms

R∞
Let F [f ](λ) = −∞
f (x)eiλx dx. The inverse is
Z ∞
1
f (x) = F [f ](λ)e−iλx dλ.
2π −∞

Now f (x) is defined on (0, +∞) with f (0) = 0. Then define f˜(x) as a function in (−∞, ∞)
which is an odd extension of f (x); i.e.,

 f (x), x > 0
˜ =
f(x) (123)
 −f (−x), x < 0.

Then
Z ∞ Z ∞
˜
F [f](λ) = iλx
e f˜(x)dx =
(cos λx + i sin λx)f˜(x)dx
−∞ −∞
Z ∞ Z ∞
=i ˜
sin λxf (x)dx = 2i sin λxf (x)dx.
−∞ 0
Z ∞
1 −i ∞
Z
˜
f (x) = e−iλx ˜
F [f ](λ)dλ = ˜
sin λxF [f](λ)dλ
2π −∞ π −∞

125
 R∞
Now let Fs [f ](λ) = 2i 0
sin λxf (x)dx. This is the Fourier sine transform.
The inverse Fourier sine transform is:
∞
2
Z
f (x) = sin λx Fs (λ)dλ.
π 0
R∞
Similarly, Fc [f ](λ) = 0
cos λxf (x)dx. This is the Fourier cosine transform.
The inverse Fourier cosine transform is:
2 ∞
Z
f (x) = cos λx FC (λ)dλ.
π 0
Here, note that
Z ∞
′
Fs [f ](λ) = sin λx f ′ (x)dx = −λFc [f ](λ).
0
Z ∞
Fc [f ′ ](λ) = cos λx f ′ (x)dx = −f (0) + λFs [f ](λ).
0

Repeating this procedure,

Fs [f ′′ ](λ) = −λFc [f ′ ](λ) = −λ[−f (0) + λFs [f ](λ)] = λf (0) − λ2 Fs [f ](λ).

Fc [f ′′ ](λ) = −f ′ (0) − λ2 Fc [f ](λ) = −f ′ (0) + λFs [f ′ ](λ) = −f ′ (0) + λ (−λFc [f ](λ)) .

F. Example: heat equation in a semi-infinite interval

ut − c2 uxx = 0, 0 < x < +∞, t > 0.

Initial condition u(x, 0) = f (x), 0 < x < +∞
Boundary condition u(0, t) = g(t), t > 0,
ux (0, t) = h(t).

We shall use the Fourier sine transform for u(0, t) = g(t) and the Fourier cosine transform
for the Riemann condition ux (0, t) = h(t).
Let U(λ, t) = Fs [u](λ). Then the PDE transforms to

Fs [ut − c2 uxx ] = 0
⇒ (Fs [u])t − c2 Fs [uxx ] = 0

⇒ Ut − c2 (λu(0, t) − λ2 U) = 0
⇒ Ut − c2 λg(t) + c2 λ2 U = 0
⇒ Ut + λ2 c2 U = c2 λg(t).

126
Initial condition transforms to U(λ, 0) = Fs [f ](λ). The solution is
Z t
−λ2 c2 t 2 2 2
U(λ, t) = Fs [f ](λ)e + λc e−λ c (t−τ ) g(τ )dτ.
0

Therefore,

2 +∞
Z
u(x, t) = U(λ, t) sin λx dλ
π 0
2 +∞ 2 +∞ t 2 −λ2 c2 (t−τ )
Z Z Z
−λ2 c2 t
= Fs [f ](λ)e sin λx + λc e g(τ ) sin λx dτ dλ
π 0 π 0 0
2 +∞ +∞ −λ2 c2 t
Z Z
= e sin λx sin λsf (s)dsdλ
π 0 0
2c2 +∞ t +∞ −λ2 c2 (t−τ )
Z Z Z
+ λe g(τ ) sin λx dτ dλ
π 0 0 0
1 +∞
Z Z +∞
2 2
= f (s) e−λ c t (cos(λ(x − s)) − cos(λ(x + s))dλds
π 0
Z Z0
2c2 t +∞ ∂  −λ2 c2 (t−τ ) 
+ e cos λx g(τ ) dλ dτ
π 0 0 ∂x
Z +∞ Z t
2 ∂
= f (s) (G(x − s, t) − G(x + s, t)) ds − 2c F (x, t − τ )g(τ )dτ
0 0 ∂x

where
∞
1
Z
2 c2 t
G(x, t) = cos λx e−λ dλ
π 0
1 −x2
=√ e 4c2 t .
4πc2 t

Acknowledgments

These notes are based on class notes taken by a student of S. M. Sun’s class during
2005-2006.

[1] M. Renardy and R. C. Rogers. Introduction to Partial Differential Equations. Springer Verlag
New York, 1993.

127
INDEX

autonomous, 65

ball, open, 56
basis, 8

Cauchy-Schwarz theorem, 28
closed, 56
complete metric space, 31
complete set, 37

dimension, 26
Dirichlet condition, 39
divergence theorem, 73
domain, 38

eigenvalue, 40
eigenvalue problem, matrix, 44
eigenvector, 40
equilibrium points, 65

Gronwall’s inequality, 59

heat conduction, 75
Hermitian, 41

inner product, 26
inverse function theorem, 46

kernel, 15

Laplace’s equation, 78
linear operator, 38
Lipschitz continuous, 57, 58

metric, 27
multiplicity, algebraic, 45

128
multiplicity, geometric, 41

Neumann condition, 39
norm, 27, 37
normalized, 8

open, 56
open set, 56
orthogonal, 8
orthogonality, 32
orthonormal, 50

parallelogram identity, 31
pendulum equation, 63
phase plane, 65
phase portrait, 65
Picard-Lindelof existence theorem, 57
Poisson equation, 78
projection, 32

range, 15

sequence space, 12
Sturm-Liouville problem, 102
symmetric, 40

uniqueness theorem, 60

vector space, 10

Weierstrass M-test, 113

129