Internet Supplement for Basic Complex Analysis

Third Edition Jerrold E. Marsden and Michael J. Homan

November 3, 1998

ii

Preface

Preface
This document consists of a series of supplements to the third edition of our book Basic Complex Analysis . Some of the topics give additional technical details of results that were stated but not proved in the textbook while others treat additional topics and applications that may be of interest to some readers. Pasadena, CA Fall, 1998 Jerry Marsden and Mike Homan

Contents
Preface 1 Analytic Functions 2 Cauchys Theorem 3 Series Representation of Analytic Functions 4 Calculus of Residues 5 Conformal Mappings 6 Further Development of the Theory 7 Asymptotic Methods 8 Laplace Transform and Applications ii 1 7 15 21 27 29 39 49

iii

iv

Contents

Chapter 1

Analytic Functions
Uniqueness of the Complex Numbers
In the text we constructed the eld C of complex numbers, which contains the reals and in which every quadratic equation has a solution. It is only natural to ask whether there are any other such elds. We shall address this question somewhat informally. A precise explanation would be tantamount to a short course in abstract algebra. However, the student should nevertheless be able to grasp the important points. The answer is that the complex numbers are the smallest eld containing R in which all quadratic equations are solvable and any two such elds are the same. In that sense it is unique. The reason for this is quite simple. Let F be a eld containing R and in which quadratic equations are solvable. Let j be any solution in F to the equation z 2 + 1 = 0. Consider, in F , all numbers of the form a + jb for real numbers a and b. This set is, algebraically, the same as C , because of the simple fact that since j 2 = 1, j plays the role of and may be identied with i. We must also check that a + jb = c + jd implies that a = c and b = d to be sure that equality in this set coincides with that in C. Indeed, (a c) + j (b d) = 0, so we must prove that e + if = 0 implies that e = 0 and f = 0 (where e = a c and f = b d). If f = 0, then clearly e = 0 as well. But if f = 0, then j = e/f , which is real. However, no real number satises j 2 = 1 because the square of any real number is nonnegative. Therefore, f must be zero. This proves our claim. We can rephrase our result by saying that C is the smallest eld extension of R in which all quadratic equations are solvable.1
1 Another question arises at this point. We made R 2 into a eld. For what other n can R n be made into a eld? Let us demand at the outset that the algebraic operations agree with those on R, assuming that R is the x axis. The answer is, only in the case n = 2. A eldlike structure, called the quaternions , can be obtained for n = 4, except that the rule zw = wz fails. Such a structure is called a noncommutative eld . The proof of these facts can be found in an advanced abstract algebra text.

Chapter 1 Analytic Functions

Solution of a Cubic Equation

Complex numbers are often introduced by appealing to the quadratic formula, b b2 4ac , x= 2a which supplies roots for the quadratic polynomial ax2 + bx + c = 0. The text points out how leads to solutions such as 1 3 to the equation x2 + x +1, which has no real number solutions. This is done by creating imaginary square roots for negative numbers, and then all such quadratic polynomials will have roots. This is certainly very elegant and may be aesthetucally pleasing, but it may be less clear that anything really important has actually occurred. After all, the only situations in which one needs this extension to complex numbers are those for which there are no real solutions anyway. Even geometrically the graph of y = x2 + x + 1 = (x + (1/2))2 + (3/4) is a parabola that never crosses the x-axis. The situation for cubic, or third degree, equations may be more striking. Every cubic polynomial y = x3 + Ax2 + Bx + C with real coecients must have at least one real root and perhaps as many as three. Its graph must go up for large positive x and down for large negative x. By continuity it must cross the axis at least once somewhere in between. The fact that complex numbers are deeply involved in an eective way of nding these solutions may make it clearer that there is something meaningful and important going on with them. The solution to the cubic equation x3 + Ax2 + Bx + C = 0 (1)

was discovered by Scipione del Ferro and Niccolo Tartaglia in the 1500s and published by Giordano Cardano in 1545. To see how to get at the solution, consider how the coecients of the equation are related to its roots. (x )(x )(x ) = x3 ( + + )x2 + ( + + )x . That is, A = ( + + ), B = + + , and C = .

If we make the change of variables t = x + A/3, then the corresponding roots are t=+ A A , + , 3 3 and + A . 3

Chapter 1 Analytic Functions

Since these add up to 0, there should be no t2 term in the transformed equation. Indeed, substitution of x = t A/3 into (1) produces t3 + B A2 3 t+ C AB 2A3 + 3 27 = 0.

Thus we really need to be able to solve only the more special cubic equations of the form t3 + pt + q = 0. For this we need some cleverness. Letting t = u + v , equation (2) becomes (u3 + v 3 ) + (3uv + p)(u + v ) + q = 0. We will have a solution if we can pick u and v with u3 + v 3 = q and 3uv = p. (3) (2)

To solve (3), we begin by eliminating v . Since v = p/3u, we have u3 or (u3 )2 + (u3 )q Solving this quadratic for u3 gives 1 q u3 = 2 2 Thus q v 3 = q u3 = 2 We can take u=
3

p3 = q 27u3 p3 = 0. 27

q2 +

q 4p3 = 27 2

p3 q2 + . 4 27

p3 q2 + . 4 27

q + 2

p3 q2 + 4 27

and

v=

q 2

p3 q2 + . 4 27

This gives a solution t=

3

q + 2

p3 q2 + + 4 27

q 2

p3 q2 + . 4 27

This looks innocent enough, but there are a few interesting things lurking under all those radicals. First, a cubic with real coecients must have at least one real

Chapter 1 Analytic Functions

root. What happens if the quantity under the inner square root signs is negative? Second, every cubic has three solutions (if we count multiplicity and allow complex roots), and all three could be real. Where are the other two roots hiding? In the algebra section of Standard Mathematical Tables published by the Chemical Rubber Company, the roots are given as u+v ; u + v u v + 3 2 2 ; u + v u v 3. 2 2

Where do these formulas come from? Every real number has a real cube root, but, like every nonzero complex number, it actually has three complex cube roots. They are distributed at 120 intervals around a circle whose radius is the real cube root of the absolute value of the number. Thus there are three possibilities for each of the cube roots, u, u , u and v , v , v . These must be combined in appropriate pairs guided by the relation 3uv = p to get the three roots. It is instructive to consider an example with three real roots. The equation 0 = (t 3)(t + 1)(t + 2) = t3 7t 6 has roots 1, 2, and 3. Here we have p = 7 and q = 6. Our equations become u3 + v 3 = 6 and 3uv = 7. We nd 10 3 343 100 =3+ =3+ i 3 + 1.9245 i u3 = 3 + 9 27 27 9 10 3 343 100 =3 =3 i 3 1.9245 i. v3 = 3 9 27 27 9 We have u3 so |u| = |v | 1.5275. Also arg(u ) = tan
3 1 2

= v3

=9+

343 11 = 12.7037, 27 27

10 3 27

0.57rad 32.68o

arg(v 3 ) = arg(u3 ) 1 arg(u) = arg(u3 ) 10.89p 120o 3 1 arg(v ) = arg(u3 ) 10.89p 120o . 3 We get one pair from Re(u) = |u| cos(arg(u)) 1.5 Re(v ) = |v | cos(arg(v )) 1.5 Im(u) = |u| sin(arg(u)) 0.28867 Im(v ) = |u| sin(arg(v )) 0.28867.

Chapter 1 Analytic Functions

This pair gives the root u + v = 3. These and the other two pairs are plotted in Figure 1.1. Notice that none of these are real. Nevertheless, when combined in the proper pairs, they produce the three real roots, 1, 1, and 3, of our equation. This ability of complex numbers to produce the real roots for a polynomial equation with real coecients was more convincing to many that there really was something important going on here than were the purely formal complex solutions to quadratics which did not have any real roots anyway.

v'' u' u 2 v' u'' 1 1 v 2 3

Figure 1.1: Solution of a cubic polynomial.

Chapter 1 Analytic Functions

Chapter 2

Cauchys Theorem
Riemann Sums
The theory of complex contour integrals can be based directly on a denition in terms of approximation by Riemann sums, as in calculus. If is a curve from a to b in the complex plane and f is a function dened along , we can choose intermediate points a = z0 , z1 , z2 , . . . , zn1 , zn = b on and form the sum
n

f (zk )(zk zk1 )

k=1

(see Figure 2.1). As in calculus, if these sums approach a limit as the maximum of the oriented arc length from zk1 to zk tends toward 0, we take that limit to be the value of the integral f (z )dz . The properties of the integral given in Proposition 2.1.3 follow from this approach much as the corresponding properties in real-variable calculus. To see that this leads to the same result as Denition 2.1.1 when is a C 1 curve, suppose that z (t) = u(t) + iv (t) is a continuously dierentiable parametrization of with z (tk ) = zk . The mean value theorem guarantees numbers tk and tk between tk1 and tk such that zk zk1 = [u (tk ) + iv (tk )](tk tk1 ). Thus, the Riemann sums f (zk )(zk zk1 ) correspond to Riemann sums for f ( (t)) (t)dt after sorting out real and imaginary parts. This approach to the integral allows the use of more general curves and is sometimes useful in writing approximations to the integral. For example, Proposition 2.1.6 may be established by using the triangle inequality: for any approximating Riemann sum, we have f (zk )(zk zk1 ) M |f (zk )||zk zk1 | |zk zk1 |

M l( ). 7

8
y

Chapter 2 Cauchys Theorem

b z3 z1 z2 g

Figure 2.1: A polygonal approximation of . The last step uses the fact that |zk zk1 | is the length of the line segment from zk1 to zk , which is no greater than the distance between them along . Since the estimate holds for each approximating sum, it must hold for the integral, which is their limit.

A More General Denition of the Integral

The topics here are separated from the body of the section because they are essential to neither an understanding of Cauchys Theorem nor of the material in subsequent chapters. We supply the material promised in the texts discussion of the Deformation Theorem. The Smooth Deformation Theorem is used to show how the integral of an analytic function may be dened along a curve which is continuous but not necessarily piecewise C 1 . This denition and the Smooth Deformation Theorem itself are used to nish the proof of the Deformation Theorem. Following this, we explore, without proof, the relationship of Cauchys Theorem to a geometric result known as the Jordan Curve Theorem, which discusses what we mean by the inside and outside of a simple continuous closed curve. Integrals along Continuous Curves In the proof of the Deformation Theorem, that is, the homotopy version of Cauchys Theorem, we made the provisional assumption that the deformation was smooth in the sense that each intermediate curve s (t) = H (s, t) and each cross curve t (s) = H (s, t), thought of as curves traced out by the point H (s, t) as either s or t, respectively, is held constant, are piecewise C 1 . It was stated that the condition of being C 1 is not actually neces-

2.1 Contour Integrals

sary. We really need only to assume that H (s, t) is a continuous function of s and t (which implies that each s (t) is a continuous curve). For the time being we will refer to the theorem with the C 1 assumption as the Smooth Deformation Theorem. The main reason for the assumption was that our whole denition of contour integrals was based on piecewise C 1 curvesafter all, the derivative of the curve appears explicitly in the denition! In general we do not know what the integral of a function along a curve which is continuous but not piecewise C 1 really is. In fact, such a general theory is not within our grasp. However, the situation is saved by the fact that we are interested not in general functions but in analytic functions. This extra assumption about the function to be integrated makes up for the weaker information about the curve along which it is to be integrated. The approach taken here to overcome this diculty may not be the most direct route to the Deformation Theorem, but it has the advantage of showing how we can make sense of the integral of an analytic function along a continuous curve. It also has the interesting feature of using the Smooth Deformation Theorem in the process of showing that the smoothness assumption is not really needed.1 Suppose f is an analytic function on an open set G and that : [0, 1] G is a continuous (but not necessarily piecewise C 1 ) curve from z0 to z1 in G. We want to nd a reasonable way to dene f . The outline of the program is this: (i) We know what

f means if is a piecewise C 1 curve in G from z0 to z1 .

(ii) We show that there is at least one such that is close to by using the Path-covering Lemma 1.4.24. (iii) We show that if 0 and 1 are two such curves that are close to , then they are close to each other, and we use the Smooth Deformation Theorem to show that 0 f = 1 f . (iv) Because of (iii), f is the same for all the piecewise C 1 curves that are close to with the same endpoints, and we can take that common value as a reasonable denition for . To carry out this program, we must rst dene close to. To do this, we dene a type of distance between two parametrized curves with the same parameter interval by moving out along both curves, recording at each parameter value t the distance between the corresponding points in the curves and then taking the largest of these distances. This is illustrated in Figure 2.2. Denition of the distance between curves C are parametrized curves in C, let If : [0, 1] C and : [0, 1]

dist(, ) = max{|(t) (t)| such that 0 t 1}.

1 Many of the ideas here are presented more completely and a bit dierently in the paper by R. Redheer, The homotopy theorems of function theory, American Mathematical Monthly , 76 (1969), 778787, and are used there to do several other interesting things.

10
y

Chapter 2 Cauchys Theorem

l(1) l(t) l(0) g(0) g(t) g(1)

Figure 2.2: A distance between parametrized curves. Now suppose G is an open set in C and : [0, 1] G is a continuous curve from z0 to z1 in G. By the Distance Lemma 1.4.21, there is a positive distance between the compact image of and the closed complement of G, that is, | (t) w| for w C\G, so | (t) z | < implies that z is in G. The Path-covering Lemma 1.4.24 provides a covering of the curve by a nite number of disks centered at points (tk ) along the curve in such a way that each disk is contained in G and each contains the centers of the succeeding and preceding disks. The radius of these disks may be taken to be for purposes of this proof. We construct a piecewise C 1 curve in G by putting (tk ) = (tk ) for k = 0, 1, 2, . . . , n and then connecting these points by straight-line segments. More precisely, for tk1 t tk , we put (t) = (t tk1 )(tk ) + (tk t)(tk1 ) . tk tk1

Since the numbers (t tk1 )/(tk tk1 ) and (tk t)/(tk tk1 ) are positive and add up to 1, the point (t) traces out the straight line segment from (tk1 ) to (tk ) as t goes from tk1 to tk , as in Figure 2.3. The function (t) is linear and therefore is a dierentiable function of t between tk1 and tk , so is a piecewise C 1 path from z0 to z1 . Furthermore, for each t, the points (t) and (t) both lie in the disk D( (tk1 ; ), so the curve lies in the set G and dist(, ) 2. In fact, since (t) is on the line between the centers and (t) is in both disks D( (tk1 ); ) and D( (tk ); ), we have dist(, ) . Since all three sides of the triangle shown have length less than , the distance from (t) to (t) is also less than . (See Figure 2.4.) This gives us the existence of at least one piecewise C 1 path that is close to . Step (iii) of the program outlined earlier is to show that the integrals along all such paths are the same. Suppose 0 and 1 are piecewise C 1 paths from z0 to z1 such that dist(0 , ) < and dist(1 , ) < . Then both 0 and 1 lie in G. The Smooth Deformation Theorem can be used to show that 0 f = 1 f . The required homotopy between the two curves can be accomplished by following the straight line from 0 (t) to 1 (t). (See Figure 2.5.) For s and t between 0 and 1,

2.1 Contour Integrals

y

11

l g G

Figure 2.3: A piecewise smooth, in fact linear, approximation to a continuous curve.

g(t)

l(t)

Figure 2.4: dist(, ) < . dene H (s, t) = s1 (t) + (1 s)0 (t). The function H (s, t) is a piecewise C 1 function of s and of t. Trouble can occur only when t = tk , k = 0, 1, 2, . . . n, so we need only check that the image always lies in G. But |H (s, t) (t)| = = |s1 (t) + (1 s)0 (t) (t)| |s[1 (t) (t)] + (1 s)[0 (t) (t)]| s|1 (t) (t)| + (1 s)|0 (t) (t)| s + (1 s) = .

Thus H (s, t) D( (t); ) G, so the Smooth Deformation Theorem applies to 0 and 1 and shows that 0 f = 1 f . This completes step (iii) of the program and shows that it makes sense to dene the integral of an analytic function along a continuous curve as follows. Denition of the integral along continuous curves Suppose that f is analytic on an open set G and that : [0, 1] G is a continuous curve in G. If

12

Chapter 2 Cauchys Theorem

l0(t)

H(s, t) l1(t)

Figure 2.5: Smooth homotopy from 0 to 1 . the distance from to the complement of G is , let f = f , where is any piecewise C 1 curve in G that has the same endpoints as and that is close to in the sense that dist(, ) < . The Deformation Theorem With a bit of care, essentially the same idea used in the proof of step (iii) can be used to obtain the deformation theorem (for both xed endpoints and closed curves) from the Smooth Deformation Theorem. If H is a continuous homotopy from 0 to 1 , then for s close to s, s (t) is close to s (t), so s is close tos . If we choose piecewise C 1 curves and suciently close to s and s , respectively, then will be close to , and following along the short straight-line segment between (t) and (t) will provide a smooth deformation from to . (See Figure 2.6.)
y l(t) G gs(t) gs*(t) m(t)

Figure 2.6: The deformation theorems can be obtained from the Smooth Deformation Theorem. The Smooth Deformation Theorem says that f = f , so the integral along s is the same as that along s . Thus if we shift s from 0 to 1 in steps suciently

2.1 Contour Integrals

13

small that this argument applies at every step, the integral will never change and the integral along 0 will be the same as that along 1 . That this actually can be done in a nite number of suciently small steps follows because H is a continuous function from the compact square [0, 1] [0, 1], so its image is a compact subset of G and lies at a positive distance from the closed complement of G.

The Jordan Curve Theorem

An understanding of the Jordan Curve Theorem is not essential to an understanding of Cauchys Theorem or of the material in subsequent chapters. However, the Jordan Curve Theorem is closely related to the hypotheses in Cauchys Theorem, and therefore it is briey considered here. In many practical examples the result of the Jordan Curve Theorem is geometrically obvious and can usually be proven directly. The general case of the theorem is quite dicult and is not be proven here. Jordan Curve Theorem Let : [a, b] C be a simple closed continuous curve in C. Then C\ ([a, b]) can be written uniquely as the disjoint union of two regions I and O such that I is bounded (that is, lies in some large disk). The region I is called the inside of and O is called the outside . Region I is simply connected and is contractible to any point in I ([a, b]). The boundary of each of the two regions is ([a, b]). The proof of this theorem uses more advanced mathematics and is beyond the scope of this book.2 Thus the Jordan Curve Theorem, combined with Cauchys Theorem, yields the following: If f is analytic on a region A and is a simple closed curve in A and the inside of lies in A, then f = 0. This is one classical way of stating Cauchys Theorem. Although convenient in practice, it is theoretically awkward for two reasons: (1) It depends on the Jordan Curve Theorem for dening the concept of inside; (2) is restricted to being a simple curve. The versions of Cauchys Theorem stated in 2.3 do not depend on the dicult Jordan Curve Theorem, are more general, and are just as easy to apply. On the other hand, the Jordan Curve Theorem reassures us that regions we intuitively expect to be simply connected indeed are. (There is another way to describe the inside of a simple closed curve using the index, or winding number, of a curve; this method is discussed in the next section.) By applying the Jordan Curve Theorem, one can prove that a region is simply connected i, for every simple closed curve in A, the inside of also lies in A. This conclusion should seem reasonable. We can also apply the theorem to prove that the inside of a simple closed curve is simply connected.
2 See, for example, G. T. Whyburn, Topological Analysis (Princeton, N.J.: Princeton University Press, 1964).

14

Chapter 2 Cauchys Theorem

The general philosophy of this text is that we should use our geometric intuition to justify that a given region is simply connected or that two curves are homotopic but with the realization that such knowledge is based on intuition and that to attempt to make it precise could be tedious. On the other hand, a precise argument should be used whenever possible and practical (see, for instance, the argument in the text that a convex region is simply connected).

Chapter 3

Series Representation of Analytic Functions

The following two results illustrate how the Cauchy integral formula can sometimes be used to obtain uniformity where it might not be expected. We begin with some useful terminology. Denition 3.1 A family of functions S dened on a set G is said to be uniformly bounded on closed disks in G if for each closed disk B G there is a number M (B ) such that |f (z )| M (B ) for all z in B and for all f in S . The word uniformly refers to the fact that the constant M (B ) does not depend on the particular function used from the family, but may depend on the family S itself and on the disk B chosen. Theorem 3.2 If f1 , f2 , f3 , . . . is a sequence of functions analytic on a region G that is uniformly bounded on closed disks in G, then the sequence of derivatives f1 , f2 , f3 , . . . is also uniformly bounded on closed disks in G. Proof Suppose B = {z such that |z z0 | r} is a closed disk in G. Since B is closed and G is open, Worked Example 1.4.27 shows that there is a number with B D(z0 ; ) G. Let R = (r + )/2 and D = {z such that |z z0 | R}. By hypothesis, there is a number N (D) such that |fn (z )| N (D) for all n and all z in D. If is the boundary circle of D, the Cauchy integral formula for derivatives gives, for any z in B , |fn (z )| = 1 2i 1 N (D) fn ( ) d 2R. ( z )2 2 (R r)2

Thus, if we put M (B ) = N (D)R/(R r)2 , we will have |fn (z )| M (B ) for all n and for all z in B , as desired. 15

16

Chapter 3 Series Representation of Analytic Functions

Denition 3.3 A family of functions S dened on a set B is said to be uniformly equicontinuous on B if for each > 0 there is a number > 0 such that |f ( ) f ( )| < for all f in S whenever and are in B and | | < . That is, for each , the same can be made to work for all functions in the family S and everywhere in the set B . The following shows how one can use Cauchys Theorem to verify that a given family is uniformly equicontinuous. Why one would want to do so will become clear in the supplementary material for Chapter 6. Theorem 3.4 Prove that if f1 , f2 , f3 , . . . is a sequence of functions analytic on a region G that is uniformly bounded on closed disks in G, then this family of functions is uniformly equicontinuous on every closed disk in G. Proof Let B be a closed disk in G. By the last example, there is a number M (B ) such that |fn (z )| M (B ) for every n and for all z in B . Let be the straight line from to in B . Since that straight line is contained in B , we have |fn ( ) fn ( )| = |

fn (z )dz |

|fn (z )||dz | M (B )| |.

Thus, given > 0, we can satisfy the denition of uniform equicontinuity on B by setting = /M (B ). Some applications of these results are given in the supplementary material for Chapter 6.

Power Series via Hadamards Formula

In this section, the basic facts about convergence of a power series are proved by directly involving a formula due to Hadamard for the radius of convergence. A sketch is given showing how these ideas can be applied to operator theory, in particular to the spectral radius of a matrix or continuous linear operator. This can be used to link the material here with other analysis courses the student may be taking. The basic facts about power series can be developed in a way that also supplies a formula for the radius of convergence with the help of a few facts from intermediate analysis. The notion needed is that of the limit superior of a sequence of real numbers. If c1 , c2 , c3 , . . . is a sequence in R, then the largest cluster point (possibly innite) of the sequence is called the limit superior , and the smallest is called the limit inferior . More precisely, lim sup ck = lim [sup{ck+1 , ck+2 , ck+3 , . . . }]
k k k

lim inf ck = lim [inf {ck+1 , ck+2 , ck+3 , . . . }] .

k

These could be innite. The facts we need are

3.1 Convergent Series of Analytic Functions (i) If B < lim supk ck , then ck > B for innitely many values of k .

17

(ii) If B > lim supk ck , then there is an index N such that ck < B whenever k N. These facts are proved in, for example, J. Marsden and M. Homan Elementary Classical Analysis , Second Edition (New York: W. H. Freeman and Company, 1993). To apply this concept, we use the following: (iii) If a sequence f0 , f1 , f2 , f3 , . . . of functions with values in a complete space such as R or C is uniformly Cauchy on a domain A in the sense that for each there is an index N ( ) such that |fn+p (z ) fn (z )| < for every z in A whenever n N ( ) and p > 0, then there is a function f to which the sequence converges uniformly on A. (iv) If a series whose terms are functions on a domain A with values in a complete space such as R or C is such that the series of absolute values converges uniformly on A, then the series itself converges uniformly on A. Fact (iii) is used to obtain (iv) by taking the partial sums of the series as the fn . They are then used to obtain the Weierstrass M test . Proposition 3.5 Suppose g0 , g1 , g2 , g3 , . . . are functions on a domain A with values in a complete space such as R or C. If there is a sequence of positive constants Mk such that k=0 Mk converges and |gk (z )| Mk for every z in A and for every k , then the series k=0 gk (z ) converges uniformly and absolutely on A. Proof Let > 0. The partial sums of the series Mk form a uniformly Cauchy n+p sequence in R, so there is an index N ( ) such that k=n+1 Mk < whenever n N and p > 0. For such n and for z in A, we have both
n+p n n+p n+p n+p

gk (z )
k=0 k=0

gk (z ) =
k=n+1

gk (z )
k=n+1

|gk (z )|
k=n+1

Mk <

and
n+p n n+p n+p

|gk (z )|
k=0 k=0

|gk (z )| =
k=n+1

|gk (z )|
k=n+1

Mk < .

The series of absolute values and the series itself are uniformly Cauchy and hence uniformly convergent on the domain A. We are now ready to obtain the fundamental theorem about power series.

18

Chapter 3 Series Representation of Analytic Functions

Theorem 3.6 Suppose k=0 ak (z z0 )k is a power series in a complez variable z 1/k and dene R by with complex coecients ak . Let L = lim supk |ak | 0 R = 1/L + if L = + if 0 < L < + . if L = 0

Then the series converges absolutely if |z z0 | < R and diverges if |z z0 | > R. Furthermore, (i) If R = 0, the series converges only for z = z0 . (ii) If R = +, the convergence is absolute and uniform on each closed disk Dr = {z C | |z z0 | r} with 0 < r < . (iii) If 0 < R < +, the convergence is absolute and uniform on each closed disk Dr = {z C | |z z0 | r} with 0 < r < R. Proof If z = z0 , the only non-zero term is a0 , and the series certainly converges. Consider divergence rst. If |z z0 | > R, we can select a nonzero number with |z z0 | > > R such that 1 1 1/k < < lim sup |ak | . |z z0 | k Thus 1 1 1/k < < |ak | |z z0 |
k

for innitely many values of k . Taking k th powers and multiplying by |z z0 | gives 1 < ak (z z0 )k

for those values of k . The terms cannot converge to 0 and the series must diverge. This settles the divergence and case (i). For the general convergence claim and (ii) and (iii), it suces to show uniform absolute convergence on each disk Dr with 0 < r < R since any z with |z z0 | < R is contained in such a disk. If |z z0 | r < R, we can select a nite nonzero number with |z z0 | r < < R. Then 1 1 1/k > > lim sup |ak | . r k There is an index N such that 1 1 1/k > > |ak | r

3.1 Convergent Series of Analytic Functions whenever k N . Multiplying by r and taking k th powers gives 1> 1> r 1/k 1/k > |ak | r |ak | |z z0 | r
k

19

|ak | |z z0 | = ak (z z0 )k .

Sine r/ < 1, the series k=N (r/)k converges. Thus, k=N ak (z z0 )k converges uniformly and absolutely on Dr by the Weierstrass M test. Adding in the nitely many terms for k = 0, 1, 2, 3, . . . does not change this conclusion. . The formula 1 R= 1/k lim supk |ak | for the radius of convergence of the power series k=0 ak (z z0 )k is usually called Hadamards Formula after the French mathematician Jacques Hadamard who lived from 1865 to 1963. For any particular series, direct appeal to the ratio test or the root test may well be a more practical way of actually nding the radius of convergence, but this formula is often valuable, particularly as a theoretical tool. Application in Operator Theory: The Spectral Radius The preceding argument does not really demand that the coecients ak be numbers. What is required is something corresponding to the absolute value. This can be the norm or length of a vector much as the absolute value of a complex number is the same as its length as a vector in the plane. We also want the terms of the series to be in a complete space, so the statements about the Cauchy property implying convergence apply. A setting in which this is particularly useful is that of the space of square matrices or of continuous linear operators on a normed vector space. In this setting one wants to know as much as possible about invertibility of the matrices or operators. If T is a matrix or operator, I is the identity matrix or operator, and is a number, one studies the invertibilty of I T . The set of numbers for which this is not invertible is called the spectrum of T , and for square matrices it is the same as the set of eigenvalues. It is tempting to try to use a geometric series. Will this work? (I T )1 = 1 I 1 T
1

I+

1 1 1 T + 2T2 + 3T3 + ...

To study this, one can dene the operator norm of a matrix or operator T as the maximum amount it can stretch a unit vector. T = sup{ T u | u is a unit vector}

This turns out to have the usual properties of a norm or length for a vector, namely, 1. 2. T T 0 = 0 if and only if T = 0

20 3. 4. T

Chapter 3 Series Representation of Analytic Functions = || T for every number

S+T

S + T

in additional to a particularly useful property relating it to products; 5. ST S T

It is not too hard to show that if the series converges with respect to this norm, then it gives the desired inverse. Furthermore, properties 3. and 5. show that 1 k T k 1 ||
k

Tk

1 ||
k

1 T ||

Thus, if || > T , the series of norms converges by comparison to a geometric series of numbers. Once we know that the space of matrices or of operators is complete, we can use the fact that absolute convergence implies convergence in any complete space to conclude that our series converges. However, if we use Hadamards Formula or the techniques that lead to it, we get a much sharper result. The series converges if || > lim sup As a consequence we have the following. Proposition 3.7 If is an eigenvalue of a square matrix T (or is in the spectrum of a continuous linear operator T ), then || lim sup Tk
1/k

Tk

1/k

Further use of ideas from complex analysis such as the Laurent series expansion and Liouvilles theorem show that this estimate is precise. The number (T ) = lim sup Tk
1/k

is called the spectral radius of T and is equal to the largest absolute value of points in the spectrum.

Chapter 4

Calculus of Residues
Technical Lemma In the text, the following technical lemma was of interest in the evaluation of denite integrals along the whole real line. We provide a proof here. Lemma 4.1 If
B A,B

lim

f (x) dx
A

exists, then

f (x) dx

exists and is equal to this limit. Proof To say that the limit exists and is L is to say that for each an R( ) such that
B

> 0 there is

f (x) dx <
A

whenever A R( ) and B R( ). The assertion is that this implies the indepen0 B dent existence of the two limits limA A f (x) dx and limB 0 f (x) dx. We show how to do the second of these. The rst is similar. Notice that if and are both larger than R( ), then

f (x) dx =
R( )

f (x) dx L

R( )

f (x) dx L f (x) dx < 2 .

R( )

f (x) dx + L

R( )

21

22

Chapter 4 Calculus of Residues

We use this observation twice. First suppose b1 , b2 , b3 , . . . is any sequence tendb ing to +. The observation shows that the integrals 0 k f (x) dx form a Cauchy sequence and must converge to some limit. Our desired conclusion follows if the value of that limit is independent of the particular sequence used. Suppose b1 , b2 , b3 , + 1 , 2 , 3 , +
bk

and
0 k

f (x) dx Lb f (x) dx L .

and
0

If k is large enough such that bk and k are both larger than R( ) and each of the integrals is within of its respective limit, then |Lb L | Lb
0 bk bk k

f (x) dx +
0

f (x) dx L

+
0

f (x) dx
0 bk

f (x) dx

+ +

f (x) dx < 4 .
k

Since this is true for every positive , we must have Lb = L as required.

Fresnel Integrals Next we treat some special integrals that can be evaluated using the methods of contour integrals. These types of integrals are useful in optics. Example 4.2 (Fresnel Integrals) Show that

cos(x2 )dx

and

sin(x2 )dx

both exist and equal

/2.

Solution First we show the integrals exist. Observe that sin(x2 ) has zeros at xn = n for integers n. Since n + 1 n = 1/( n + 1 + n), the distance between these zeros shrinks to zero as n increases, so the quantities
xn

an =
xn1

sin(x2 )dx

Chapter 4 Calculus of Residues

23

decrease monotonically to 0. Thus, 0 (1)n an converges by the alternating series test to some number A. If R is any real number, then xN 1 R < xN for a unique R N , and 0 sin(x2 )dx is between the partial sums
N 1 N

(1)n an
0 R

and
0

(1)n an .
R 0

Thus, limR 0 sin(x2 )dx exists and is equal to A. Similarly, limR exists. 2 Consider the integral of f (z ) = eiz / sin( z ) around the contour = I + II + III + IV shown in Figure 4.1.

cos(x2 )dx

Figure 4.1: Contour used for evaluating the Fresnel integrals. The function f has a simple pole at 0 inside with residue 1/ , so f = 2 i.

Along I, z = x Ri, so |eiz | = |ei(x

2 2

2RixR2 )

| = e2Rx

24 and

Chapter 4 Calculus of Residues

1 1 | sin z | = |ei xR ei x+R | (eR 1). 2 2

Thus, along I we have f

I

/2

eR

/2

e2Rx dx =

1 eR eR R eR 1

which goes to 0 as R . Similarly f 0

III

as

R .

The contribution from the vertical sides is

R

f+
II IV

=
R R

ei( /2+iy) idy + sin(/2 + yi) ei(/4y ) (e y + e cos(i y )

2

R R

ei( /2+iy) idy sin(/2 + yi)

2

=
R

idy = 2i
R

ei(/4y ) dy
2

= =

2e3i/4
R

eiy dy
2

2(1 + i)

cos(x2 )dx i

sin(x2 )dx .
R

Letting R , we obtain 2 i = 2(1 + i) and 2i =

cos(x2 )dx i

sin(x2 )dx

cos(x2 )dx +

sin(x2 )dx + i

cos(x2 )dx +

sin(x2 )dx .

The real part of this equation shows that our integrals are equal, while the imaginary part shows that their common value is 2/2 = /2. Example 4.3 Show that

ex dx =
2

Chapter 4 Calculus of Residues

25

Figure 4.2: Contour for

2

2 ex dx.

Solution1 Let f (z ) = ez and consider the integral of f along the contour = I + II + III shown in Figure 4.2. Notice that
R

f=
I 0

ex dx
2

and
0

f=
III R

eir ei/4 dr = e5i/4

2

(cos r2 i sin r2 )dr.

0

Along II, z = Rei , so |f (z )| = |eR

2

(cos 2 +i sin 2 )

| = eR

cos 2

But for 0 /4, we have cos 2 1 4/ (see Figure 4.3). Therefore, |f (z )| eR e4R
2 2

and thus
/4

f
II 0

eR e4R
2

|iRei |d = ReR

2 2 (1 eR ). (eR 1) = 2 4R 4R

This goes to 0 as R . Since f is entire, 0=

I
1 The

f+
II

f+
III

f.

method that follows is usually attributed to R. Courant.

26

Chapter 4 Calculus of Residues

Figure 4.3: Proof that cos 2 1 4/ . Letting R , we obtain

0=
0

2 1+i ex dx 2

cos(x2 )dx i
0

sin(x2 )dx ,

since we already know from the last example that both of these integrals exist. Both integrands are even, and by the last example, both integrals equal /2 2. We are left with 1+i x2 . e dx = (1 i) = 2 2 2 2 0 Again, the integrand is even, so

ex dx = 2
2

ex dx =
2

Chapter 5

Conformal Mappings
The main supplementary material for this chapter is the proof of the Riemann Mapping Theorem. However, the proof we use requires some tools from Chapter 6, so it is deferred to the next chapter.

27

28

Chapter 5 Conformal Mappings

Chapter 6

Further Development of the Theory

Normal Families and the Riemann Mapping Theorem
The main objective of this supplement is to outline a proof of the Riemann Mapping Theorem. The material is separated from the main text since it is somewhat more advanced than the rest of the chapter and is not needed for understanding or using the theorem in succeeding chapters. However, it does illustrate several powerful tools and techniques of complex analysis. Throughout this section, G represents a connected, simply connected open set properly contained in the complex plane C, and D, the open unit disk D = D(0; 1) = {z such that |z | < 1}. Given z0 C, the Riemann Mapping Theorem asserts: There is a function f that is analytic on G and maps G one-to-one onto D with f (z0 ) = 0. Furthermore, if it is required that f (z0 ) > 0, then there is exactly one such function . The uniqueness has already been established in Chapter 5; that is, there can be no more than one such function. We still need to show there is at least one. The idea of the proof is to look at all the analytic functions that map G one-to-one into D taking z0 to 0 with positive derivative at z0 , nd one among them that maximizes f (z0 ), and show that this function must take G onto D. Montels Theorem on Normal Families The proof of the existence of a function that maximizes f (z0 ) rests on the material of 3.1 concerning uniform convergence on closed disks. We learned there that if a sequence of analytic functions on a region converges uniformly on closed disks contained in the region, then the 29

30

Chapter 6 Further Development of the Theory

limit function must be analytic. The existence of such sequences is addressed by the theorem of Montel on normal families. Denition 6.1 (Denition of Normal Family) If A is an open subset of C, a set S of functions analytic on A is called a normal family if every sequence of functions in S has a subsequence that converges uniformly on closed disks in A. By the Analytic Convergence Theorem, the limit of such a subsequence must be analytic on A. Theorem 6.2 (Montels Theorem) If A is an open subset of C and S is a set of functions analytic on A that is uniformly bounded on closed disks in A, then every sequence of functions in S has a subsequence that converges uniformly on closed disks in A. That is, S is a normal family. Proof The plan of attack is as follows:1

(i) Select a countable set of points C = {z1 , z2 , z3 , . . . } that are scattered densely throughout A in the sense that A cl (C ). (ii) Show that there is a subsequence of the original sequence of functions that converges at all of these points. (iii) Show that convergence on this dense set of points is enough to force the subsequence to converge at all points of A. (iv) Check that this convergence is uniform on every closed disk in A. The rst step may be accomplished by taking those points whose real and imaginary parts are both rational numbers. There are only countably many of these, so they may be arranged in a sequence, and they are scattered densely in A in the sense that some of them are arbitrarily close to anything in A. Let f1 , f2 , f3 , . . . be a sequence of functions in S . The assumption of uniform boundedness on closed disks is that for each closed disk B A, there is a number M (B ) such that |fn (z )| < M (B ) for all n and for all z in B . In particular, the numbers f1 (z1 ), f2 (z1 ), f3 (z1 ), . . . are all smaller than M ({z1 }). Thus there must be a subsequence of them that converges to a point w1 with |w1 | M ({z1 }). Relabel this subsequence as f1,1 (z1 ), f1,2 (z1 ), f1,3 (z1 ), . . . w1 . Evaluating these functions at z2 gives another sequence of numbers, f1,1 (z2 ), f1,2 (z2 ), f1,3 (z2 ), . . . ,
1 The student who has seen the Arzela-Ascoli theorem (see, for example, J. Marsden and M. Homann, Elementary Classical Analysis , Second Edition (New York: W. H. Freeman and Company, 1993)) can give a quick proof of Montels theorem by using the assumed uniform boundedness and Worked Example 3.1.19 of this book to prove equicontinuity.

Chapter 6 Further Development of the Theory

31

which are bounded by M ({z2 }). Some subsequence of these must converge to a point w2 . Relabel this subsubsequence as f2,1 (z2 ), f2,2 (z2 ), f2,3 (z2 ), . . . w2 . It is important to notice that the functions f2,1 , f2,2 , f2,3 , . . . are selected from among f1,1 , f1,2 , f1,3 , . . . . Continuing in this way, selecting subsequences of subsequences, produces an array, f1,1 (z1 ), f1,2 (z1 ), f1,3 (z1 ), . . . w1 f2,1 (z2 ), f2,2 (z2 ), f2,3 (z2 ), . . . w2 f3,1 (z3 ), f3,2 (z3 ), f3,3 (z3 ), . . . w3 f4,1 (z4 ), f4,2 (z4 ), f4,3 (z4 ), . . . w4 . . . . . . . . . . . . . . . in which the k th horizontal row converges to some complex number wk and the functions used in each row are selected from among those in the row above. The proof uses a procedure, called the diagonal construction , which is sometimes useful in other contexts. Let gn = fn,n . Then g1 , g2 , g3 , . . . is a subsequence of the original sequence of functions, and liml gl (zk ) = wk for each k . This is because gn = fn,n is a subsequence of fk,1 , fk,2 , fk,3 , . . . as soon as n > k . Thus the subsequence gn converges at a set of points that are scattered densely throughout A. Steps (iii) and (iv) of the program are to show that the fact that the gn s are uniformly bounded on closed disks in A is enough to force them to converge everywhere in G and in fact to do so uniformly on closed disks in A. We accomplish this by showing that the sequence satises the Cauchy condition uniformly on closed disks. Let B be a closed disk contained in A, and let > 0. By the supplementary results for Chapter 3 (see Theorem 3.4 in this Supplement), the functions gn are uniformly equicontinuous on B ; that is, there is a number > 0 such that |gl ( ) gl ( )| < /3 for all l whenever and are in B and | | < . By using only nitely many of the points zk we can guarantee that everything in B is within a distance of at least one of them. That is, there is an integer K (B ) such that for each z B there is at least one k {1, 2, 3, . . . , K (B )} with |z zk | < and hence |gl (z ) gl (zk )| < /3 for all l. One way to do this would be to take a square grid of points with rational coordinates and separation less than (see Figure 6.1). Since liml gl (zk ) = wk for each k , each of these sequences satises the Cauchy condition, and as there are only nitely many of them, there is an integer N (B ) such that |gn (zk ) gm (zk )| < /3 whenever n N (B ), m N (B ), and 1 k K (B ). Putting all this together, suppose n N (B ) and m N (B ). If z A, then z is within of zk for some k K (B ), so |gn (z ) gm (z )| |gn (z ) gn (zk )| + |gn (zk ) gm (zk )| + |gm (zk ) gm (z )| + + = . 3 3 3 The sequence gn thus uniformly satises the Cauchy condition on B , so converges uniformly on B to some limit function, as desired.

32

Chapter 6 Further Development of the Theory

Figure 6.1: Finitely many of the zk s give one within of anything in B . Proof of the Riemann Mapping Theorem We are now in a position to prove the Riemann Mapping Theorem. Let G be a connected, simply connected, open set properly contained in the complex plane C. Let z0 G, and let D = D(0; 1) be the open unit disk. We must show that there is a function f analytic on G that maps G one-to-one onto D with f (z0 ) = 0 and f (z0 ) > 0. To do this, let S = {f : G D | f is analytic and one-to-one on G, f (z0 ) = 0, and f (z0 ) > 0}. The main steps of the proof are: (i) Show that S is not empty. (ii) Show that the numbers {f (z0 ) | f S} are bounded above, so have a nite least upper bound M . (iii) Use Montels theorem to extract from a sequence of functions in S whose derivatives at z0 converge to M a subsequence that converges uniformly on closed disks in G. The limit function f is analytic in G and f (z0 ) = M . (iv) Show that f S . (v) Show that f must map G onto D. To show that S is not empty, it is enough to show that we can map G analytically into the unit disk. Once that is done, we need only compose with a linear fractional transformation of the disk onto itself, which takes z0 to 0, and then multiply by a constant ei , chosen so that the derivative of the resulting map at z0 is positive. If G is bounded, for example, if |z z0 | < R for all z in G, the map z (z z0 )/R does the job. If G is not bounded, it at least omits a point a. The translation

Chapter 6 Further Development of the Theory

33

z z a takes G to a simply connected region G1 not containing 0. By Theorem 2.2.6, there is a branch of logarithm dened on G1 , which we will call F . Then the map g dened by z e(1/2)F (z) is a branch of the square root function; by the open mapping or inverse mapping theorem, one sees that G2 = g (G1 ) contains some disk D(b; r). By properties of the square root function, D(b; r) fails to meet G2 . The map f (z ) = r/[b + z ] then maps G2 into the unit disk. See Figure 6.2.

Figure 6.2: Mapping G into the unit disk. Having shown that S is not empty, we must establish step (ii). The family S is uniformly bounded by 1 on G, so by the supplementary Theorem 3.2, the derivatives are uniformly bounded on closed disks in G. In particular, there is a nite number M ({z0 }) such that f (z0 ) M ({z0 }) for all f in S . Let M be the least upper bound of these derivatives. There must be a sequence f1 , f2 , f3 , . . . of functions in S with the property that limn fn (z0 ) = M . Since the family S is uniformly bounded, it is normal by Montels Theorem and there must be a subsequence that converges uniformly on closed disks in G. We may as well throw away the functions we dont need and assume that we have a sequence that converges uniformly on closed disks in G. By the Analytic Convergence Theorem 3.1.8 they converge to a limit function f , which is analytic on G and f (z0 ) = M . We next want to know that f is a member of S . Each of the functions fn maps G into the open unit disk, so f certainly maps G into the closed unit disk. Since f is not constant, the Maximum Modulus Principle says that |f (z )| cannot have a maximum anywhere in G, so the image never touches the boundary of the disk and

34

Chapter 6 Further Development of the Theory

f maps G into D. Certainly f (z0 ) = limn fn (z0 ) = 0. Finally, the corollary of Hurwitz Theorem 6.2.8 shows that f must be one-to-one since it is a nonconstant limit of one-to-one functions that converge uniformly on closed disks. Thus, f S . The nal step, (iv), is to show that f must actually map G onto D. This follows from the following assertion. Claim If A is a connected and simply connected open set properly contained in D and 0 A, then there is a function F analytic on A that maps A one-to-one into D with F (0) = 0 and F (0) > 1. To see how (iv) follows from this assertion, suppose that f does not map G onto D. Then A = f (G) satises the conditions of the claim. (That A is open follows from the Open Mapping Theorem 6.3.3. Consider g (z ) = F (f (z )). Then g S , but g (z0 ) = F (f (z0 ))f (z0 ) = F (0)M > M , contradicting the maximality of M . Thus it remains to check the claim. The construction is a bit like that used in step (i) and is seen by following the diagrams in Figure 6.3. The region A is shaded by diagonal lines in the rst diagram. It misses a point a indicated by an open circle in the diagram. The successive images of a and 0 are indicated by open dots and solid dots, respectively, in each of the following diagrams. Map F1 is a linear fractional transformation of the disk to itself taking a to 0 and 0 somewhere. The purpose of map F2 is to guarantee a situation in which the image of A misses a neighborhood of a point on the boundary circle. This is done just as in step (i) by using a branch of logarithm on the simply connected region F1 (A) that misses 0. Map F3 is another linear fractional transformation that returns the image of 0 to 0. At this stage the image of A misses a small circle that intersects the unit circle C at right angles at two points. An appropriate linear fractional transformation F4 taking these points to 0 and will take the circles to lines through 0 and and the region between them to a quarter plane. Squaring F5 opens this up to a half plane. Finally another linear fractional transformation takes the half plane to the unit disk with the black dot going to 0 and the correct rotation making the derivative of the whole thing at 0 positive. The function F is F (z ) = F6 (F5 (F4 (F3 (F2 (F1 (z )))))) = w. The inverse function g (w) = F 1 (w) = z satises the conditions of the Schwarz Lemma. Since it is not a rotation, we have strict inequality |g (0)| < 1 by the Schwarz Lemma, but F (0) = 1/g (0). Therefore, F (0) > 1, as required. All the pieces have been assembled, so the proof of the Riemann Mapping Theorem is now complete.


  ,       ,
    ,      ,     ,
       
,
     ,          
 
       
,
   ,
   
Figure 6.3: Construction for the claim in the proof of the Riemann Mapping Theorem.

Chapter 6 Further Development of the Theory

35

Dynamics of Complex Analytic Mappings

The pictures shown in Figure 6.4 are representations of the dynamics of complex analytic mappings. The purpose of this section is to provide a brief introduction to this subjectmainly to inspire the reader to nd out more by consulting a reference on the subject.2 The subject we will be looking at has to do with the way points in the complex plane behave under iteration of an analytic function. It has its origins in classical
2 Such as R. L. Devany, An Introduction to Chaotic Dynamical Systems (Reading, Mass.: Addison-Wesley, 1985); P. Blanchard, Complex dynamics on the Riemann sphere, Bulletin of the American Mathematical Society , 11 (1984), 85141; or B. Mandelbrot, The Fractal Geometry of Nature (New York: W. H. Freeman and Company, 1982).

36

Chapter 6 Further Development of the Theory

(a)

(b)

Figure 6.4: The dierent shadings represent the rate of approach of points to innity under iteration of the mapping; the black region (assuming that you are viewing the gure in color) consists of stable points that remain bounded under iteration. In part (a) the mapping is (1+0.1i) sin z , while in (b) it is (1+0.2i) sin z . (Courtesy of R. Devany of Boston University, with the assistance of C. Mayberry, C. Small, and S. Smith ) and beautiful work of G. Julia3 and P. Fatou.4 In this study normal families play an important role. In fact, Montel himself was interested in these questions.5 Let us x an entire function f : C C. We need a little terminology to get going. Given a point z C, the orbit of z is the sequence of points z, f (z ), f (f (z )), f (f (f (z ))), . . . , which we also write as z, f (z ), f 2 (z ), f 3 (z ), . . . . We think of the point z as moving successively under the mapping f to new locations. A xed point is a point z such that f (z ) = z , that is, a point z that does not move when we apply f . A periodic point is a point z such that f n (z ) = z for some integer n (called the period), where f n means f composed with itself n times. A xed point z is called an attracting xed point if |f (z )| < 1. The reason for this terminology is that the orbits of nearby points converge to z ; this is so because near z, f behaves like a mapping that rotates by an amount arg f (z ) and magnies by an amount |f (z )|, so every time f is applied, points will be pulled toward z by a factor |f (z )|, so as this is repeated, the point tends to z . Likewise,
sur lit erations des fonctions rationelles, J. Math ., 8 (1918), 47245. lit erations des fonctions transcendantes enti` ere, Acta Math ., 47 (1926), 337370. 5 See his Le cons sur les familles normales de fonctions analytiques et leurs applications (1927; reprinted New York: Chelsea, 1974), Chapter VIII.
4 Sur 3 Memoir e

Chapter 6 Further Development of the Theory

37

a point z is called a repelling xed point if |f (z )| > 1; points near repelling points will be pushed away under iteration of the function f . Similarly, a periodic point z with period n is called an attracting periodic point if |(f n ) (z )| < 1; such points have the property that the orbits of points close to z tend to the orbit of z . Likewise, a repelling periodic point has the property that |(f n ) (z )| > 1; orbits of points near such points will be shoved away from the orbit of z . The Julia set J (f ) of f is dened to be the closure of the set of repelling periodic points of f . This set can have remarkable and beautiful complexity usually called a fractal ; in fact, in the picture in Figure 6.4 the nonblack region is the Julia set. This statement rests on a theorem, which we shall not prove, stating that the Julia set is the closure of the points that go to innity under iteration of f . It is this characterization that is useful for computational purposes. Figure 6.5 shows two more Julia sets for quadratic maps.

Figure 6.5: (a) Julia set of f (z ) = z 2 + 1 2 i, which is a simple closed curve but is nowhere dierentiable. (b) Julia set of f (z ) = z 2 1, which contains innitely many closed curves. As far as complex analysis is concerned, one of the most important results is the following: The Julia set of f is the set of points at which the family of functions f n is not normal. This result can be used as an alternative denition for the Julia set, and in fact this was the original denition of Fatou and Julia. We will prove only the following statement here to give a avor of how the arguments go: If f is a repelling xed point of f (and therefore is in the Julia set), then the family of iterates f n fails to be normal at z . Let us assume that this family is normal at z and derive a contradiction. Normal at z means normal in a neighborhood of z , in the same way we used the terminology analytic at z . By Denition 6.1, the family f n has a subsequence that converges

38

Chapter 6 Further Development of the Theory

uniformly on a neighborhood of z . Since f (z ) = z and |f (z )| > 1, it follows from the chain rule that |f n (z )| = |f (z )|n , that is, that the sequence of derivatives of f n evaluated at z must tend to innity as n . However, the sequence of derivatives must converge to the derivative of the limit function by the Analytic Convergence Theorem 3.1.8, which is nite, giving us the required contradiction. This discussion represents only the tip of a large collection of very interesting and beautiful results. We hope the reader will be inspired to look up some of the references on the subject we have given as well as further references found in those sources and will explore the subject further. We hasten to point out that the iteration of complex mappings is just one part of a larger and growing eld called chaotic dynamics . For the more general aspects, the reader can consult Devanys book cited in footnote 2 or the book Nonlinear Oscillations, Dynamical Systems, and Bifurcation of Vector Fields , by J. Guckenheimer and P. Holmes (New York: Springer-Verlag, 1983).

Chapter 7

Asymptotic Methods
Proof of the Steepest Descent Theorem
The goal of this section is to provide the proof of the Steepest Descent Theorem that we omitted in the textbook. We rst recall the statement of the theorem. Theorem 7.1 (Steepest Descent Theorem) Let : ] , [ C be a C 1 curve. ( may also be dened only on a nite interval.) Let 0 = (t0 ) be a point on and let h( ) be a function continuous along and analytic at 0 . Make the following hypotheses: For |z | R and arg z xed, (i) The integral f (z ) =

ezh( ) d

converges absolutely. (ii) h (0 ) = 0; h (0 ) = 0. (iii) Im[zh( )] is constant for on in some neighborhood of 0 . (iv) Re[zh( )] has a strict maximum at 0 along the entire curve . Then ezh(0 ) 2 f (z ) z h (0 ) as z , arg z xed. The sign of the square root is chosen such that z h (0 ) (t0 ) > 0. 39

40

Chapter 7 Asymptotic Methods

Proof We begin by breaking up the curve into three portions, 1 , C , and 2 , as illustrated in Figure 7.1. Choose C such that it lies in a neighborhood of 0 small enough that h( ) is analytic and that condition (iii) holds. Clearly, f (z ) = I1 (z ) + I2 (z ) + J (z ), where we use the notations J (z ) =
C

ezh( ) d

and Ik (z ) =
k

ezh( ) d, k = 1, 2.

Figure 7.1: Method of steepest descent. We will show that for large z the part of the integral that really matters is J (z ) so that an asymptotic approximation for J (z ) will also give one for f (z ). Worked Example 7.2.12 says that to do this, it is enough to show that Ik (z ) =O J (z ) for all positive n. To prove this, note that |Ik (z )| =
k

1 zn

ezh( ) d
k

eRe zh( ) |d |.

However, J (z ) =
C

ezh( ) d =
C

eRe zh( ) ei Im zh( ) d.

Since Im[zh( )] is constant on C , we get |J (z )| =

C

eRe zh( ) d .

If C is short enough that arg( ) changes by less than /4 along C , then we obtain |J (z )| > (1/ 2)
C

eRe zh( ) |d |.

Thus, Ik (z ) J (z )
k C

eRe zh( ) |d | eRe zh( ) |d |

2.

7.1 Innite Products be a strictly smaller subinterval of C , centered at 0 . Then Let C Ik (z ) J (z )

k C

41

eRe zh( ) |d | eRe zh( ) |d |

2.

. There is an > 0 such that Fix z0 and let be the minimum of Re[(zh( )] on C Re[(z0 h( )] for all k . Thus, using the fact that z lies on the same ray as z0 ,
k C

eRe zh( ) |d | eRe zh( ) |d |

k C

eRe z0 h( ) eRe(zz0 )h( ) |d | eRe z0 h( ) eRe(zz0 )h( ) |d | eRe z0 h( ) |d | e|zz0 |(

C )/|z0 |

eRe z0 h( ) |d | e|zz0 |/|z0 |

This expression is a constant factor, say M , times e|zz0 | /|z0 | . The latter is certainly O(1/z ) (and in fact is O(1/z n ) for all n 1), so we have proved that Ik (z )/J (z ) = O(1/z n ) for all n 1. This localizes the problem to a neighborhood around 0 where the bulk of the contribution to the integral is made. Also, we can shrink the length of C without aecting the conclusion that f (z ) J (z ) as z . Next, we write h( ) = h(0 ) w( )2 , where w( ) is analytic and invertible (abusing notation, we denote the inverse by (w)), where w(0 ) = 0, and where [w (0 )]2 = (see Worked Example 6.3.7). Since Im(zh( )) = Im[zh(0 )] on C and Re[zh( )] < Re[zh(0 )], is real and greater than zero on C ; also, by our choice of branch we see that z [w( )]2 for the square root, zw( ) is real and, as a function of the curve parameter t, has positive derivative at t0 . Thus, by shrinking C if necessary, we can assume that zw( ) is increasing along C . Note that J (z ) =
C

h (0 ) 2

ezh( ) d =
C

ezh(0 ) ezw( ) d = ezh(0 )

2

ez[w( )] d.
2

42 We change variables by setting J (z ) = e

zh(0 ) |z |
2

Chapter 7 Asymptotic Methods zw( ) = y , and we get e

|z |
1

y 2

ezh(0 ) d dy = dw z z

|z | |z |

ey

d dy, dw |z | 2 ]

since y is real on C ; we choose positive numbers 1 and 2 such that [ |z | 1 , is in the range of y corresponding to on C . Next we write = 0 + a1 w + a2 w2 + . . . , so d = a1 + 2a2 w + 3a3 w2 + . . . , dw
k1

where w = y/ z . Thus, J (z ) z ezh(0 ) =

|z | |z |

ey

kak
k=1 N

1 2

y z

dy y z dy
k

|z |

e
|z |
1

y 2 k=0

(k + 1)ak+1
2

dy

|z | |z |

+
N

ey O

y z
|z | |z |
2

N +1

(k + 1)ak+1 ( z )k k=0
|z |
2

ey y k dy
2

+ By Exercise 7,

ey O
2

|z |

y z

N +1

dy.

ey y k dy =
2

(2m)! m!22m

if k = 2m is even and it is zero if k = 2m + 1 is odd, so we are led to the series (2m)! (2m + 1)a2m+1 (k + 1)ak+1 y2 k k e y dy = . S m!22m zm ( z) m=0 This gives J (z ) SM ezh(0 ) / z (k + 1)ak+1 = ( z )k k=0
|z |
2

2M

|z |

ey y k dy +
2

|z |
2

ey y k dy
2

ey O
2

|z |

y z

2M +1

dy.

7.1 Innite Products

43

2 The rst two integrals are o(1/( z )2M ) by Proposition 7.2.3(v), since ey y k = o(1/y 2M +1 ). In the third, there is a constant BM such that the integrand is bounded by BM ey |y |2M +1 = | z |2M +1
2

BM |z |M

1 |z |

ey |y |2M +1 .
2

Since

ey |y |2M +1 dy < ,
2

this term is also o(1/|z |M ). Thus, J (z ) ezh(0 ) S , z

and by Worked Example 7.2.12, the same is true of f (z ). Thus, f (z ) ezh(0 ) z a1 + 1 3 5a5 1 3a3 + + ... z z2 .

To complete the proof, note that d (0) = a1 = dw so 1 = dw d (0 ) 2 h (0 ) ,

ezh(0 ) 2 , f (z ) z h (0 )

as desired.

Bounded Variation and the Stationary Phase Formula

We saw in the method of stationary phase that we needed to impose a condition on the amplitude that limits the amount of high-frequency oscillation. This type of condition is often needed in theory involving integrals; the notion of bounded variation provides the appropriate tools. We will then use it to prove the Stationary Phase Formula. Denition 7.2 Suppose f : [a, b] R. (i) If P is a partition of [a, b] given by a = t0 < t1 < . . . < tn = b, then the variation of f on [a, b] relative to P is dened to be
n

VP f =
k=1

|f (tk ) f (tk1 )|.

44

Chapter 7 Asymptotic Methods

(ii) The total variation of f on [a, b] is V[a,b] f = sup{VP f }, where the least upper bound is taken over all possible partitions. (It might be +.) (iii) If V[a,b] f < we say that f is of bounded variation and write f BV ([a, b]). Some important examples of such functions are included in the following. Proposition 7.3 (i) If f is monotone and bounded on [a, b], then f BV ([a, b]) and V[a,b] f = |f (b) f (a)|. (ii) If f is dierentiable on a bounded interval [a, b] and |f (x)| < M for all x [a, b], then f BV ([a, b]) and V[a,b] f |b a|M . (iii) If f has a continuous derivative on the bounded interval [a, b]that is, if f C 1 ([a, b])then f BV ([a, b]). Proof The rst result holds since the succeeding dierences from point to point along any partition are all of the same sign and values at intermediate points cancel out. The second is shown by applying the mean value theorem to each subinterval of any partition, and the third follows from it since if f is continuous on the compact interval [a, b], then it is bounded. It is possible for a continuous function not to have bounded variation. On [1, 1] set f (0) = 0 and f (x) = x cos(1/x) for x = 0. (See Figure 7.2.) Then we have |f (1/n ) f (1/(n + 1) )| = (2n + 1)/n(n + 1) > 1/n. Since the harmonic series diverges, partitions may be created using these points that give arbitrarily large variation.

Figure 7.2: The continuous function x cos(1/x) has unbounded variation. Some of the important properties of functions of bounded variation are outlined in the following proposition.

7.1 Innite Products Proposition 7.4 Suppose f BV ([a, b]). (i) If [c, d] [a, b], then f BV ([c, d]) and V[c,d] f V[a,b] f . (ii) V[a,c] f + V[c,b] f = V[a,b] f if a < c < b.

45

(iii) (V f )(x) = V[a,x] f is a bounded increasing function on [a, b] with (V f )(a) = 0 and (V f )(b) = V[a,b] f . (iv) If a x y b, then (V f )(y ) (V f )(x) = V[x,y] f . (v) f is the dierence of two bounded increasing functions: f = f1 f2 with f1 = (V f + f )/2 and f2 = (V f f )/2. Proof The rst assertion follows since any partition of [c, d] can be extended by the intervals [a, c] and [d, b] to obtain a partition of [a, b] oering a larger candidate for V[a,b] f . For the second, adjoin partitions of [a, c] and [c, b] to get a partition of [a, b] and show V[a,c] f + V[c,b] f V[a,b] f . For the opposite inequality let a = t0 < t1 < . . . < tn = b be any partition of [a, b] with
n

|f (tk ) f (tk1 )| > V[a,b] f .

k=1

Pick N with tN c tN +1 . Then

N N +1

V[a,b] f

<
k=0 N

|f (tk ) f (tk1 )| +
k=N

|f (tk ) f (tk1 )| +

<
k=0

|f (tk ) f (tk1 )| + |f (c) f (tN )| + |f (tN +1 ) f (c)|

n

+
k=N +2

|f (tk ) f (tk1 )| +

V[a,c] f + V[c,b] f + . Since this holds for any 0, we have the desired inequality. The third assertion is clear and the fourth follows from it and the second. For the last assertion, use (iv) to show that the functions indicated are increasing. The last property will be the one directly utilized in the proof of Theorem 7.2.10. The tool by which we will use it is the second mean value theorem for integrals. Theorem 7.5 (Second Mean Value Theorem for Integrals) If f is bounded and increasing on [a, b] and g is integrable, then there is a point c in [a, b] such that
b c b

f (t)g (t)dt = f (a)

a a

g (t)dt + f (b)
c

g (t)dt.

46 Proof Let
x

Chapter 7 Asymptotic Methods

F (x) = f (a)
a

g (t)dt + f (b)
x

g (t)dt.

Then
b b

F (a) = f (b)
a

g (t)dt

and F (b) = f (a)

a

g (t)dt

and
b b b

f (a)
a

g (t)dt
a

f (t)g (t)dt f (b)

a

g (t)dt.

Since F is continuous on [a, b], the conclusion follows from the intermediate value theorem. We will also need the following estimates. Lemma 7.6 If f is dierentiable on [a, b] and |f (x)| M for all x in [a, b], then |f (y ) f (x)|, |(V f )(y ) (V f )(x)|, |f1 (y ) f1 (x)|, and |f2 (y ) f2 (x)| are each bounded above by M |y x|. Proof The rst conclusion follows from the mean value theorem and the second from Proposition 7.3(ii) and Proposition 7.4(iv). The last two follow from the rst two and the formulas for f1 and f2 given in Proposition 7.4(v). The rst step in the intuitive derivation of Theorem 7.2.10 was that contributions to the integral from parts of the interval away from t0 tended to cancel out and could be neglected by comparison with the contribution from a short interval near t0 . The only critical point of h was at t0 and h and h were continuous, so away from t0 the derivative stays away from 0 and we can apply the following lemma. Lemma 7.7 Suppose h has a continuous second derivative on [a, b], that h (x) is never 0 in [a, b], and that g has a continuous derivative on [a, b]. Then
b

eizh(t) g (t)dt = O(1/z ).

a

Proof The function (x) = g (x)/h (x) has a continuous derivative on [a, b] and thus has bounded variation and may be written as a dierence of two increasing functions, = 1 2 . Then
b

eizh(t) g (t)dt
a

1 z 1 z

1 (t) cos(zh(t))zh (t)dt +

a b

i z i z

1 (t) sin(zh(t))zh (t)dt

a b

2 (t) cos(zh(t))zh (t)dt

a

2 (t) sin(zh(t))zh (t)dt.

a

7.1 Innite Products

47

Each of these integrals may be estimated using the second mean value theorem for integrals. There is a point x between a and b with
b x

1 (t) cos(zh(t))zh (t)dt

a

1 (a)
a

cos(zh(t))zh (t)dt
b

+1 (b)
x

cos(zh(t))zh (t)dt

= |1 (a)[sin(zh(x)) sin(zh(a))] + 1 (b)[sin(zh(b)) sin(zh(x))]| 2|1 (a)| + 2|1 (b)|. The others are treated similarly to obtain
b

eizh(t) g (t)dt
a

4 [|1 (a)| + |1 (b)| + |2 (a)| + |2 (b)|], z

as needed. We now complete the proof of Theorem 7.2.10. Since t0 is the only critical point of h in [a, b], we know that for any > 0, h (t) is never 0 on [a, t0 ] or [t0 + , b ], so by the last lemma, the integrals of eizh(t) g (t) over each are O(1/z ), so are o(1/ z ). Thus, to establish Theorem 7.2.10 it is enough to show that ih(t0 ) 2 izh(t) ei/4 g (t0 ), e g (t)dt = lim ze z h (t0 ) J where J = [t0 , t0 + ]. We may x as small as we please as long as its choice does not depend on z . In the course of the proof we shall nd conditions for that choice. We know h is analytic in a neighborhood of t0 . By Worked Example 6.3.7 there is an analytic function w(t) such that h(t) = h(t0 ) [w(t)]2 for t near t0 and w is locally one-to-one. We may choose w to be real and strictly increasing on J if is selected small enough. This is our rst criterion for . We choose the plus sign if h (t0 ) > 0 and the minus sign if h (t0 ) < 0. Since w(t0 ) = 0 and w is continuous, w(t0 + ) = c and w(t0 ) = d, where c < 0 < d. The change of variables x = w(t) gives
d

eizh(t) g (t)dt = eizh(t0 )

J c

eizx (x)dx,
2

where (x) = g (w1 (x))/(w1 ) (x). The function has a continuous derivative on [c, d]. The point x = 0 corresponds to t = t0 , and h (t0 ) = 2w(t0 )w (t0 ) 2[w (t0 )]2 .

48

Chapter 7 Asymptotic Methods

Thus, (w1 ) (0) = 1/w (t0 ) = h (t0 )/2. Since is continuous, has bounded variation and can be written as a dierence 1 2 of two increasing functions. Let > 0. Since c and d got to 0 as 0, we can use Lemma 7.6 to select small enough so that the quantities |1 (c) 1 (0)|, |1 (d) 1 (0)|, |2 (c) 2 (0)|, and |2 (d) 2 (0)| are all smaller than . Thus, zeizh(t0 )
J d

eizh(t) g (t)dt

= =

z
c

eizx (x)dx
2

cos(zx2 )1 (x) zdx i

c d

sin(zx2 )1 (x) zdx

d c

cos(zx2 )2 (x) zdx i

sin(zx2 )2 (x) zdx.

As in the proof of Lemma 7.7, each integral may be handled by the second mean value theorem for integrals and the rst is typical. There is a point y between c and d such that
d c

cos(zx2 )1 (x) zdx

= 1 (c)
c

cos(zx2 ) zdx + 1 (d) cos(u2 )du + 1 (d)

cos(zx2 ) zdx cos(u2 )du.

y z

y d z y z

= 1 (c)

c z

Using the Fresnel integrals from the above supplementary material for Chapter 4, these integrals converge as z goes to +. Since c < 0 < d, the limit is 1 (d) /2 if y < 0, is 1 (c) /2 if y > 0, and is {[1 (c) + 1 (d)]/2} /2 if y = 0. But /2 of 1 (0) /2. Similar arguments for the other three each of these is within integrals show that the whole sum converges to a limit that is 1 (0) i1 (0) 2 2 (0) 2 i2 (0) 2 , 2

/2 in each term. Thus, we do get a limit that is with an error of no more than no more than 2 2 away from the point [1 (0) 2 (0)](1 i) /2 = (0) ei/4 = 2g (t0 )ei/4 / h (t0 ) , just as desired. This completes the proof of Theorem 7.2.10.

Chapter 8

Laplace Transform and Applications

Fourier Transform and Wave Equation
The Fourier transform, which was introduced in 4.3, provides an alternative to the Laplace transform for solving dierential equations. We illustrate this use and the role of complex variables by focusing on the wave equation. Our discussion will be somewhat informal and we shall forgo the rigorous formulation of theorems. Wave Equation The wave equation is the equation of motion that describes the development of a wave disturbance propagating in a medium. It describes, for example, the vertical displacement of a vibrating string (see Figure 8.1), the propagation of an electromagnetic wave through space and of a sound wave in a concert hall, and some types of water wave motion.
velocity = c

Figure 8.1: is the wave amplitude. First consider the homogeneous problem, the simplest case of which is a wave traveling down a string of constant density and under constant tension T . The vertical displacement (x, t) at position x and time t satises the wave equation 2 1 2 2 = , 2 c t x2 where c = T / is the velocity of propagation, a constant. We accept this fact from elementary physics. (The derivation assumes that the amplitude is small.) 49

50

Chapter 8 Laplace Transform and Applications

Note that if we were to have c = 1 in the wave equation, we would recover the Laplace equation (see 2.5 and 5.3). Indeed, just as that equation admitted solutions of the form f (x 1y ), the solutions to the wave equation take the form f (x ct). The fact that the wave equation is of second order in the t variable suggests that a solution is uniquely given when two pieces of initial data at t = 0 are specied. These data consist of (x, 0) and d/dt at (x, 0); the wave equation then gives the development of (x, t) for subsequent t. To solve the wave equation, we perform a transform on the x variable to obtain a simpler equation involving the transform variable k . However, here x runs from to +, so instead of using the Laplace transform we use the Fourier transform. of f is dened by Let f : R C; the Fourier transform f (k ) = f
+

eikx f (x) dx.

There is an inversion formula that is analogous to the Laplace inversion formula: f (x) = 1 2
+

(k ) dk. eikx f

The Fourier transform of the function (x, t) is dened by (k, t) =

+

eikx (x, t) dx.

Here we perform the integral with respect to the x variable, regarding t as a xed parameter. The Fourier inversion formula now reads (x, t) = 1 2
+

(k, t) dk. eikx

We are now ready to solve the wave equation. Taking the Fourier transform and dierentiating under the integral, we obtain 1 2 (k, t) = 0. 2 (k, t) + k 2 2 c t In other words, our transformation technique has replaced the partial dierential (k, t), which is easily equation for (x, t) with an ordinary dierential equation for solved. The solution is (k, t) = A(k )eikct + B (k )eikct , where A(k ), B (k ) are two constants of integration that may depend on the parameter k . Applying the inversion formula, we get (x, t) = 1 2
+

[A(k )eik(x+ct) + B (k )eik(xct) ] dk.

Laplace Transform and Applications

51

This is our solution to the wave equation. The functions A(k ), B (k ) are determined by the initial data (x, 0) and (x, 0)/t. Note that the rst integral in this solution depends only on the variable x + ct, whereas the second depends only on x ct; that is, (x, t) has the form (x, t) = f (x + ct) + g (x ct), where the functions, f, g are again determined by and /t at t = 0. We can verify by substitution that this formula for does indeed give a solution of the wave equation. Some special solutions deserve separate attention. These are monochromatic (single-frequency) waves and are of the form (x, t) = ei(x/ct) , where is the frequency. This represents a wave of frequency traveling to the right down the string. Generally, f (x + ct) is a wave moving to the left whose shape is that of the graph of f , with velocity c. Similarly, g (x ct) is a wave moving to the right. Next we shall deal with the inhomogeneous problem, which occurs when an external force is applied to the wave. For example, suppose that the string illustrated in Figure 8.1 were given a constant charge density q and then placed in an external electric eld E (x, t) pointing in the y direction. This would result in the application to the string of a force F (x, t) proportional to qE (x, t). We must then solve the following equation of motion for the displacement (x, t), which is called the inhomogeneous wave equation: 2 1 2 2 = + F (x, t). 2 c t x2 For simplicity, we take F (x, t) to be periodic with frequency : F = f (x, )eit . This allows us to consider the simpler problem 2 1 2 = + f (x, )eit . c2 t2 x2 We write the solution as (x, t, ). Once we have solved this simpler problem, we can deal with the problem of a general force F (x, t). First we Fourier-analyze it; that is, we write F as follows: F (x, t) = where
+

1 2

f (x, )eit d,

f (x, ) =

F (x, t)eit dt.

52

Chapter 8 Laplace Transform and Applications

We then superimpose the solutions of the simpler problem to obtain (x, t) = 1 2

+

(x, t, ) d.

We solve the simpler inhomogeneous wave equation by taking the Fourier transform with respect to the variable x to get 1 2 =f (k, )eit , 2 + k2 2 c t where (k, ) = f
+

eikx f (x, ) dx.

This is a simple inhomogeneous second-order dierential equation. Adding the particular solution (k, )eit f k 2 (/c)2 to the homogeneous solutions obtained earlier, we obtain the general solution (t, ) = A(k )eikct + B (k )eikct + The solution is thus (x, t, ) = h(x + ct) + g (x ct) + (G f )eit . The terms in this equation are explained as follows. The rst two terms are solutions to the homogeneous wave equation, and again they are to be chosen so that the initial data at t = 0 are satised. The last term, a particular solution to the inhomogeneous equation, is given by taking the inverse Fourier transform of : the last term in the expression for 1 2
+

k2

(k, ) f eit . (/c)2

eikx

(k, ) f dk. k 2 (/c)2

As with the Laplace transform, this term is the convolution of G and f where plays a central role in the theory of partial = 1/[k 2 (/c)2 ]. This function G G dierential equations. Its transform, G(x, ) = 1 2
+

eikx k 2 (/c)2

dk,

Laplace Transform and Applications

53

is called the Greens function1 , and we can use contour integration to evaluate it in closed form as follows. The integrand of G(x, ) has simple poles at k = (/c). In its present form, the integral is not convergent. To specify its value, we use the Cauchy principal value. Several possible values may be obtained depending on how we interpret our integrals. To select the value we want, we shall evaluate the integral by closing the contour of integration in the upper half of the complex k plane for x > 0 and in the lower half of the plane for x < 0. This is necessary if the integral over the semicircle is to approach zero as the radius approaches innity. By Cauchys Theorem, we pick up the residues of the enclosed poles. We still must specify how we are to go around the singularities at k = /c. Dierent choices will lead to dierent but still mathematically acceptable values of G. Our nal choice is determined by the asymptotic behavior we want G to have as x . The homogeneous solutions to the wave equation in which we are interested behave like exp(ikx) as a function of x, and we will require the same behavior of G. This can be specied by the i prescription: G(x, ) = lim 1 >0 2
+

0,

eikx k 2 (/c i )2

dk,

in which we still close the contour (as shown in Figure 8.2) according to the sign of x.

Figure 8.2: Contours for G(x, ). We can now evaluate G(x, ). From the preceding equation and the Residue Theorem we obtain, for x > 0, eix(i +/c) ic 1 2i = eix/c . >0 2 2(/c i ) 2

G(x, ) =

0,

lim

1 Gramatically, the use of the term the Greens function is incorrect, just as it would be to say the Cauchys Theorem, but it is, unfortunately, how it is commonly expressed.

54

Chapter 8 Laplace Transform and Applications

Making a similar computation for x < 0 and using the contour at the right in Figure 8.2, we obtain ic eix/c x>0 2 . G(x, ) = ic eix/c x < 0 2 Equivalently, G(x, ) = c i|x|/c . e 2i

In textbooks on dierential equations, G is often obtained as the solution to d2 G + 2 G = (x y ), dx2 where is the Dirac function. The solution is found by the general formula G(x, y, ) = u(x)v (y )/w u(y )v (x)/w x>y . xy

Here u, v are solutions of the corresponding homogeneous equations and w is their Wronskian, w = uv vu . In this case, we have u = eix and v = eix . We recover the formula for G(x, ) by setting y = 0. Scattering Problem When the medium through which the wave propagates is not homogeneous, we encounter the scattering problem. For example, suppose that the vibrating string of Figure 8.1 now consist of three pieces smoothly joined together, with one piece, of length a, having a density of 2 (region II in Figure 8.3) and the other two pieces each having a density of 1 (region I, III in Figure 8.3).

Figure 8.3: One-dimensional scattering. Let c1 and c2 denote the corresponding velocities of propagation. Assume that 2 > 1 . Imagine that an incident wave ei(x/c1 t) from the left travels down the string. As the wave moves onto the denser material at x = 0, part of it will be reected backward, while part will be transmitted onward. At x = a, some of the wave will again be reected backward while the rest travels forward (see Figure 8.4).

Laplace Transform and Applications

55

Figure 8.4: Reection in one-dimensional scattering. We must solve the wave equation in each region: 2 x2 2 x2 1 2 2 c2 t 1 1 2 = 2 2 c2 t = for regions I, III for region II.

It is not unreasonable to expect solutions of the following forms: I (x, t) II (x, t) III (x, t) = ei(x/c1 t) + Rei(x/c1 t) = Aei(x/c2 t) + Bei(x/c2 t) = T ei(x/c1 t) .

We shall require that, at x = 0 and x = a, the solutions continuously join each other and have no sharp bend. Mathematically, this means that we impose the boundary conditions that and /x be continuous at x = 0, a. In other words, = II (0, t) II (a, t) = III (a, t) I (0, t) III I II II (0, t) = (a, t). (0, t) (a, t) = x x x x These four equations allow us to solve for the coecients R, A, B, T . We are particularly interested in T . After performing some algebraic manipulations we nd that T = 4c1 c2 eit[(1/c2 )(1/c1 )]a (c1 + c2 )2 (c1 c2 )2 e2ia/c2

(see Exercise 5). The quantity T is called the scattering amplitude, and the square of its absolute value represents the intensity of the wave transmitted into region III. We now allow in this equation to become a complex variable, and we see that T ( ) has the following property: (i) T is meromorphic in and has poles in the lower half plane at = (c2 /a)(n i), where is determined by e2 = (c1 + c2 )2 /(c1 c2 )2 . (ii) T has absolute value 1 at those values of for which e2i/c2 = 1. (iii) As +i, T 0. (iv) As i, T .

56

Chapter 8 Laplace Transform and Applications

Dispersion Relations When a function of a complex variable f (z ) shares the same four properties as T ( ), the Cauchy theorem can be used to obtain an interesting and useful representation for f (z ), as shown in the following. Theorem 8.1 (Hilbert Transform Theorem) If f (z ) is analytic for Im(z ) 0 and f (z ) 0 uniformly as z in the half plane 0 < arg z < , then f (z ) satises the following integral relationships. (i) If z0 = x0 + iy0 with y0 > 0, then f (z0 ) = and f (z0 ) = (ii) If z0 = x0 is real, then f (z0 ) = 1 i
+

y0

f (x, 0) 2 dx (x0 x)2 + y0 f (x, 0)(x x0 ) 2 dx. (x x0 )2 + y0

1 i

f (x, 0) dx. x x0

Proof Because of the assumptions, we can apply Cauchys Theorem, using a large semicircle in the upper half plane, to give f (z0 ) = (see 4.3). We also have 0= 1 2i
+

1 2i

f (x, 0) dx x z0

f (x, 0) dx, x z0

where z 0 lies in the lower half plane. If we subtract the last two equations we obtain the rst equation for f (z0 ); if we add them we get the second. The third follows from formula 6 of Table 4.2.1. As a corollary, by taking real and imaginary parts of each side of the rst equation for f (z0 ), we get u(x0 , y0 ) = y0
+

u(x, 0) 2 dx, (x x0 )2 + y0

where f = u + iv ; a similar equation holds for v (x, y ). From the second we have u(x0 , y0 ) v (x0 , y0 ) = 1
+

1 =

(x x0 )v (x, 0) 2 dx (x x0 )2 + y0 (x x0 )u(x, 0) 2 dx. (x x0 )2 + y0

Laplace Transform and Applications Finally, from the third, we obtain u(x0 , 0) v (x0 , 0) = = 1 P. V. 1 P. V.
+

57

v (x, 0) dx x x0 u(x, 0) dx. x x0

The rst formula for u(x0 , y0 ) gives us the values of a harmonic function in the upper half plane, in terms of its boundary values on the real axis, and thus provides a solution to the Laplace equation in the upper half plane. Note that if f (z ) satises the symmetry property f (x) = f (x), then we can write Re f (x0 ) = 2 P. V.
0

Im f (x) x dx, x2 x2 0

whereas if f (z ) satises f (x) = f (x), then Re f (x0 ) = 2x0 P. V.

0

Im f (x) dx. x2 x2 0

These equations for u and v can be regarded as integral versions of the CauchyRiemann equations; they simply tell us, for example, the values that the real part of an analytic function must take when the imaginary part is specied. When functions u, v satisfy these equations, we say that u and v are Hilbert transforms of each other. Historically, the Hilbert transforms were the forerunners of a series of such relations called dispersion relations. They were rst observed to hold for the complex dielectric constant as a function of incident frequency by H. A. Kramers and R. de L. Kronig in 1924. Since approximately 1950, they have been systematically studied and applied to the scattering amplitude T ( ) and to quite general classes of scattering problems for which this amplitude is dened. The extension of these relations to three-dimensional scattering problems will be considered later in this supplement. The relations derived assumed that f (z ) is analytic only for Im z 0. However, there is a second class of dispersion relations for functions that are analytic in the z plane except for a branch line along the real axis. Proposition 8.2 If f (z ) is analytic in the z plane with a branch line from z = a to , and if |f (z )| = O(1/z ), then f (z ) = lim 1 0+ 2i
a

1 [f (x + i ) f (x i )] dx. xz
0+

(The notation O(1/z ) is explained in 7.2 and lim through > 0.)

means the limit is taken

58

Chapter 8 Laplace Transform and Applications

Figure 8.5: Contour used in the proof of the preceding proposition. Proof Take the contour of Figure 8.5 and apply the Cauchy Theorem to the function f ( )/( z ). If, in addition to the hypotheses of the preceding proposition, f (z ) also satises the relation f (z ) = f (z ), that is, if u(x, ) + iv (x, ) = u(x, ) iv (x, ), so the real part of f is continuous across the real axis whereas the imaginary part is discontinuous, then we obtain f (z ) = lim 1 0+
a

1 Im f (x + i ) dx. xz

When z actually moves onto the real axis, we can take real parts of each side of the preceding equation to obtain Re f (x0 ) = lim P.V. 0+
+ a

1 Im f (x + i ) dx. x x0

Wave Equation in Three Dimensions The ideas that have been developed thus far in this section for wave motion in one dimension can easily be extended to higher-dimensional problems. In two dimensions the vibrating string is replaced by a vibrating membrane. In three dimensions we can think of sound waves propagating in air. The pressure (r, t) then satises the equation of motion, 1 2 (r, t) = 2 (r, t) + F (r, t), c2 t2 where F represents some external source of waves, r = (x, y, z ), and 2 = 2 2 2 + + x2 y 2 z 2

is the Laplace operator. When the equation of motion is expressed in terms of rectangular coordinates, its homogeneous and inhomogeneous solutions are obtained

Laplace Transform and Applications

59

in much the same way they were previously. The really new and exciting features not present in one dimension arise in the scattering problem, and these are most interesting and tractable when the scattering medium has spherical symmetry. Consider an incident plane wave ei(x/c)t traveling from the left down the x axis that impinges on a ball located at the origin (Figure 8.6). Part of the wave may penetrate the ball, part of the wave is scattered by the surface of the ball and then travels radially outward, and the remainder of the wave simply bypasses the ball. To solve for , we proceed as previously. We rst obtain the solutions for in region I and region II separately and then require that and the radial derivative /r be continuous at the surface of the ball. This procedure eventually species the total wave in region I that results from the impurity of the medium in region II.

Figure 8.6: Scattering of a wave by a spherical obstacle. These calculations are not detailed here, because such a task would take us too far aeld into the subject of partial dierential equations. However, the form of the nal result is not too dicult to anticipate. The wave in region I will be a sum of incident wave and the outgoing radial wave, and this will take the asymptotic form I (r, t) eix/c + eir/c f (, ) eit r

as |r| = r . Here f (, ) is the amount of scattering wave that is traveling outward at an angle to the axis of symmetry (see Figure 8.6); it is the three-dimensional analogue of the scattering amplitude T ( ) of the one-dimensional problem discussed earlier in the section. Note that f is now a function of two complex variables, and . Physically observable scattering occurs, of course, only when and are real with 0 . But by studying the properties of f for complex values of and , as we will do in

60

Chapter 8 Laplace Transform and Applications

the following paragraphs, we do gain a deeper understanding of the characteristics of f . It will be convenient to change variables as follows: s= 4 2 c2 t = 2 2 (1 cos ). c2

Dene the funtion A of the two complex variables s, t by A(s, t) = f (, ). For a large class of scattering problems, it can be shown that A has the following properties: (i) A(s, t) is analytic in the two complex variables s and t with branch lines from s = a to and t = b to . (ii) A(s, t) = O(1/s) as s for each t. (iii) A(s, t) = A(s, t) for t real. Applying the preceding proposition, lim A(s0 , t0 ) = lim
0+ 0+ 1 1 [A(s + i , t0 ) A(s i , t0 )] ds 2i a s s0 1 1 Im A(s + i , t0 ) ds b s s0

s0 , t0 in C . t0 real

In the rst equation for A(s0 , t0 ), we are integrating A(, t) for slightly above and below the real axis. Now consider the integrand. By property (i) of A(s, t) we can write a dispersion relation in the t variable as follows: A(s + i , t0 ) = lim 1 0+ 2i
b

1 [A(s + i , t + i ) A(s + i , t i )] dt. t t0

Using a similar representation for the second term in the rst equation for A(s0 , t0 ), we nally obtain the double dispersion relation A(s0 , t0 ) = where (s, t) = lim 1 2i
2

1 2

1 s s0

1 (s, t) dt ds, t t0

, 0+

[A(s + i , t + i ) A(s + i , t i ) A(s i , t + i ) + A(s i , t i )].

The equation for A(s0 , t0 ) is a representation rst obtained by S. Mandelstam in 1958.

Laplace Transform and Applications

61

Exercises for Supplement to Chapter 8

1. Apply the boundary conditions = II (0, t) I (0, t) I II (0, t) = x (0, t) x II (a, t)
II x (a, t)

= III (a, t) III (a, t) = x

to obtain expressions for T ( ), R( ), A( ), B ( ). Verify that when is real, |T ( )|2 + |R( )|2 = 1. (This relation expresses conservation of intensity: In a medium without dissipative loss, the unit intensity of the incident wave of Figure 8.4 is equal to the sum of the intensity of the wave R reected back into region I and intensity of the wave T transmitted into region III.) 2. Since f (z0 ) = y0
+

f (x, 0) 2 dx (x0 x)2 + y0

solves the Dirichlet problem for the upper half plane, apply it to the problem illustrated at the right in Figure 5.3.5 of the text and obtain the same solution as in Example 5.3.1. Thus, we have two methods for solving Laplaces equation: conformal mapping and integral relations of the type described by the preceding displayed equation. 3. As an application of the Hilbert Transform, let 1 f (z ) = = r1/2 ei/2 z for 0 < < 2

be dened on the z plane with a branch line along the positive real axis. What equality results? 4. As yet another way to solve the Laplace equation, take Fourier transforms of 2u 2u (x, y ) + 2 (x, y ) = 0 2 x y (8.1)

with respect to the variable x (use the method described in the Wave Equation subsection); show that this method gives the ordinary dierential equation 2u (k, y ) k 2 u (k, y ) = 0. y 2 (8.2)

By solving, summing over all solutions, and keeping only those that decay exponentially in the limit y +, obtain the formula u(x, y ) = 1 2
+

A(k )eikxk/y dk.

(8.3)

62

Chapter 8 Laplace Transform and Applications With relative ease, A(k ) can now be evaluated in terms of the boundary data at y = 0. Since at y = 0, equation (8.2) reduces to u(x, 0) = 1 2
+

A(k )eikx dk,

A(k ) must in fact be the Fourier transform of u(x, 0). Using this result, substituting in equation (8.2), and interchanging orders of integration, obtain
+

u(x, y ) =

u(z, 0)

1 2

eik(xz)|k|/y dk dz.

Perform the integral on k to get

+

u(x, y ) =

u(z, 0)

1 1 dz. (x z )2 + y 2

(8.4)

Referring to equation (8.4), show that y = G(x, y |z, w) (x z )2 + y 2 w where G(x, y |z, w) = log |r r | with r = x + iy, r = z + iw. (The function G is the Greens function and equals the potential at r caused by a unit charge at the point r in the plane.) 5. Many problems in applied mathematics include an innite series

,
w=0

F (z ) =
n=0

fn (z )

in which the function F (z ) has singularities in addition to all those of each fn (z ). These singularities are introduced by the failure of the series to converge. The simplest example of this type of series is 1 = 1 + z + z2 + . . . . 1z The individual terms on the right of the equation are entire functions; the function their sum denes has a simple pole at z = 1. As a second example, consider 1 1 z = 1 + + 2 + ... . z1 z z The terms on the right of this equation have singularities at z = 0; their sum is singular at z = 1.

Laplace Transform and Applications Consider

63

F (z ) =
n=0

[g log(z )]n ,

where , g are constants. (a) What are the analytic properties of the individual terms on the right side of the last equation? (b) By summing the series in closed form, verify that the sum in this equation has a pole at z = + e1/g . Comments on Selected Exercises 1. Substituting the expressions for I , II , III into the boundary conditions that follow, we have 1+R=A+B 1R= c1 (A B ) c2 (8.5) (8.6)

Aeia/c2 + Beia/c2 = T eia/c1 Aeia/c2 Beia/c2 = Solve Equations (8.7) and (8.8) to get A=T c1 + c2 2c1 c1 c2 2c1 eia(1/c1 1/c2 ) c2 ia/c1 Te . c1

(8.7) (8.8)

(8.9)

B=T

eia(1/c1 +1/c2 ) .

(8.10)

Adding equations (8.5) and (8.6) gives 2=A c1 + c2 2 +B c2 c1 c2 . (8.11)

Now substitute (8.9), and (8.10) into (8.11) to obtain the expression for T in the text. If we subtract (8.5) and (8.6), we have 2R = A c2 c1 c2 +B c2 + c1 c2 . (8.12)

64

Chapter 8 Laplace Transform and Applications

Substituting (8.9) and (8.10) into (8.12) gives R in terms of T , R= T 2ic1 c2

2 ia/c1 sin (c2 2 c1 )e

a c2 a c2

We can now obtain the desired result. We have |T |2 + |R|2 = |T |2 1 + The denominator of |T |2 is
2 2 2ia/c2 + e2ia/c2 ) (c1 + c2 )2 + (c1 c2 )4 (c2 1 c2 ) (e 2 2 (c2 1 c2 ) sin2 2 2 4c1 c2

(8.13)

= = = Thus,

2 2 2 (c1 + c2 )4 + (c1 c2 )4 (c2 1 c2 ) 2 1 2 sin 2 2 2 [(c1 + c2 )2 (c1 c2 )2 ]2 + 4(c2 1 c2 ) sin 2 2 2 2 2 4 4c 2 1 c2 + (c1 c2 ) sin

a c2

a c2

a c2

|T |2 =

2 4c2 1 c2 2 2 2 2 2 4c2 1 c2 + (c1 c2 ) sin a c2

This, with Equation (8.13), gives the desired result. 3. By Proposition 8.3.5, f (z0 ) = lim where ei/2 1 f (z ) = = , 0 < < 2. z r Now 1 f (x + i ) as 0+ x and 1 f (x i ) as 0+, x so the identity which results is 1 1 = f (x0 + iy0 ) = z0 i
0 0

1 0 2i

dx [f (x + i ) f (x i )], x z0

i dx 1 = x z0 x

dx 1 . x z0 x

Laplace Transform and Applications This can be veried directly by changing variables using w2 = x.

65

2i dw dx 1 dw i = = . 2z 2z x z w w x 0 0 0 0 0 This has poles at z0 . If z0 is not positive real, one is in the upper half plane and one in the lower with residues 1/(2 z0 ). The last expression becomes i as before. 4. We have G(x, y |z, w) = log[(x z )2 + (y w)2 ]1/2 . Then wy G = w (x z )2 + (y w)2 and hence
G w w=0

w2

dw = z0

(2i)

1 2 z0

1 = z0

is the desired expression. Thus, u(x0 , y0 ) = y0

+

u(x, 0) 2 dx, (x x0 )2 + y0

becomes u(x, y ) =
+

u(z, 0)

1 G (x, y |z, 0). w

This expression for the solution to Laplaces equation is a special case of the Greens function solution obtained in courses on partial dierential equations. 5. Each term of the series has a logarithmic singularity at z = . Provided |g log(z )| < 1, we can use the geometric series to exactly sum the series as F (z ) = 1 . 1 g log(z )

The denominator is 0 at z = + e1/g , but its derivative, g/(z ), is not 0 there. Thus, there is a pole of order 1 at z = + e1/g .