CHAPTER 8

Integral Equations

8.1. Introduction

Integral equations appears in most applied areas and are as important as differential equations. In fact,
as we will see, many problems can be formulated (equivalently) as either a differential or an integral
equation.
Example 8.1. Examples of integral equations are:
Z x
(a) y(x) = x − (x − t)y(t)dt.
0 Z x
(b) y(x) = f (x) + λ k(x − t)y(t)dt, where f (x) and k(x) are specified functions.
Z 1 0

(c) y(x) = λ k(x,t)y(t)dt, where

0
(
x(1 − t), 0 ≤ x ≤ t,
k(x,t) =
t(1 − x), t ≤ x ≤ 1.
Z 1
(d) y(x) = λ (1 − 3xt) y(t)dt.
0 Z 1
(e) y(x) = f (x) + λ (1 − 3xt) y(t)dt.
0

♦
A general integral equation for an unknown function y(x) can be written as
Z b
f (x) = a(x)y(x) + k(x,t)y(t)dt,
a
where f (x), a(x) and k(x,t) are given functions (the function f (x) corresponds to an external force). The
function k(x,t) is called the kernel. There are different types of integral equations. We can classify a
given equation in the following three ways.
• The equation is said to be of the First kind if the unknown function only appears under the
integral sign, i.e. if a(x) ≡ 0, and otherwise of the Second kind.
• The equation is said to be a Fredholm equation if the integration limits a and b are constants,
and a Volterra equation if a and b are functions of x.
• The equation are said to be homogeneous if f (x) ≡ 0 otherwise inhomogeneous.
Example 8.2. A Fredholm equation (Ivar Fredholm):
Z b
k(x,t)y(t)dt + a(x)y(x) = f (x).
a

67
68 8. INTEGRAL EQUATIONS

♦
Example 8.3. A Volterra equation (Vito Volterra):
Z x
k(x,t)y(t)dt + a(x)y(x) = f (x).
a

♦
Example 8.4. The storekeeper’s control problem.
To use the storage space optimally a storekeeper want to keep the stores stock of goods constant. It
can be shown that to manage this there is actually an integral equation that has to be solved. Assume
that we have the following definitions:
a = number of products in stock at time t = 0,
k(t) = remainder of products in stock (in percent) at the time t,
u(t) = the velocity (products/time unit) with which new products are purchased,
u(τ)∆τ = the amount of purchased products during the time interval ∆τ.
The total amount of products at in stock at the time t is then given by:
Z t
ak(t) + k(t − τ)u(τ)dτ,
0
and the amount of products in stock is constant if, for some constant c0 , we have
Z t
ak(t) + k(t − τ)u(τ)dτ = c0 .
0

To find out how fast we need to purchase new products (i.e. u(t)) to keep the stock constant we thus need
to solve the above Volterra equation of the first kind.
♦
Example 8.5. (Potential)
Let V (x, y, z) be the potential in the point (x, y, z) coming from a mass distribution ρ(ξ, η, ζ) in
Ω (see Fig. 8.1.1). Then
Z Z Z
ρ(ξ, η, ζ)
V (x, y, z) = −G dξdηdζ.
Ω r
The inverse problem, to determine ρ from a given potential V , gives rise to an integrated equation.
Furthermore ρ and V are related via Poisson’s equation
∇2V = 4πGρ.

F IGURE 8.1.1. A potential from a mass distribution

Ω
r (ξ, η, ζ)
(x, y, z)
 8.2. INTEGRAL EQUATIONS OF CONVOLUTION TYPE 69

8.2. Integral Equations of Convolution Type

We will now consider integral equations of the following type:

Z x
y(x) = f (x) + k(x − t)y(t)dt = f (x) + k ? y(x),
0

where k ? y(x) is the convolution product of k and y (see p. 45). The most important technique when
working with convolutions is the Laplace transform (see sec. 6.2).

Example 8.6. Solve the equation

Z x
y(x) = x − (x − t)y(t)dt.
0

Solution: The equation is of convolution type with f (x) = x and k(x) = x. We observe that
1
L (x) = 2 and Laplace transforming the equation gives us
s
1 1 1 1
L [y] = 2
− L [x ? y] = 2 − L [x] L [y] = 2 − 2 L [y] , i.e.
s s s s
1
L [y] = ,
1 + s2
 
1
and thus y(x) = L −1 = sin x.
1 + s2
Answer: y(x) = sin x.

Example 8.7. Solve the equation

Z x
y(x) = f (x) + λ k(x − t)y(t)dt,
0

where f (x) and k(x) are fixed, given functions.

Solution: The equation is of convolution type, and applying the Laplace transform yields

L [y] = L [ f ] + λL [k] L [y] , i.e.

L [f]
L [y] = .
1 − λL [k]

L [f]
 
−1
Answer: y(x) = L .
1 − λL [k]

♦
70 8. INTEGRAL EQUATIONS

8.3. The Connection Between Differential and Integral Equations (First-Order)

Example 8.8. Consider the differential equation (initial value problem)
(
y0 (x) = f (x, y),
(8.3.1)
y(x0 ) = y0 .
By integrating from x0 to x we obtain
Z x Z x
y0 (t)dt = f (t, y(t))dt,
x0 x0
i.e.
Z x
(8.3.2) y(x) = y0 + f (t, y(t))dt.
x0
On the other hand, if (8.3.2) holds we see that y(x0 ) = y0 , and
y0 (x) = f (x, y(x)),
which implies that (8.3.1) holds! Thus the problems (8.3.1) and (8.3.2) are equivalent.
♦
In fact, it is possible to formulate many initial and boundary value problems as integral equations and
vice versa. In general we have:


Initial value problem 
⇒ The Volterra equation,
Dynamical system 
Boundary value problem ⇒ The Fredholm equation.

Picard’s method (Emile Picard)

Problem: Solve the initial value problem
(
y0 = f (x, y),
y(x0 ) = A.
Or equivalently, solve the integral equation :
Z x
y(x) = A + f (t, y(t))dt.
x0
We will solve this integral equation by constructing a sequence of successive approximations to y(x).
First choose an initial approximation, y0 (x) (it is common to use y0 (x) = y(x0 )), then define the sequence:
y1 (x), y2 (x), . . . , yn (x) by
Z x
y1 (x) = A + f (t, y0 (t))dt,
x
Z 0x
y2 (x) = A + f (t, y1 (t))dt,
x0
.. ..
. . Z x
yn (x) = A + f (t, yn−1 (t))dt.
x0
Our hope is now that
y(x) ≈ yn (x).
 8.3. THE CONNECTION BETWEEN DIFFERENTIAL AND INTEGRAL EQUATIONS (FIRST-ORDER) 71

By a famous theorem (Picard’s theorem) we know that under certain conditions on f (x, y) we have
y(x) = lim yn (x).
n→∞

Example 8.9. Solve the equation (

y0 (x) = 2x(1 + y),
y(0) = 0.
Solution: (With Picard’s method) We have the integral equation
Z x
y(x) = 2t(1 + y(t))dt,
0
and as the initial approximation we take y0 (x) ≡ 0. We then get
Z x Z x Z x
y1 (x) = 2t(1 + y0 (t))dt = 2t(1 + 0)dt = 2tdt = x2 ,
0 0 0
Z x Z x Z x
1
y2 (x) = 2t(1 + y1 (t))dt = 2t(1 + t 2 )dt = 2t + 2t 3 dt = x2 + x4 ,
0 0 0 2
x6
Z x
1 1
y3 (x) = 2t(1 + t 2 + t 4 )dt = x2 + x4 + ,
0 2 2 6
.. ..
. .
x4 x6 x2n
yn (x) = x2 + + +···+ .
2 6 n!
We see that
2
lim yn (x) = ex − 1.
n→∞

2
R EMARK 22. Observe that y(x) = ex − 1 is the exact solution to the equation. (Show this!)
R EMARK 23. In case one can can guess a general formula for yn (x) that formula can often be verified by,
for example, induction.
L EMMA 8.1. If f (x) is continuous for x ≥ a then:
Z xZ s Z x
f (y)dyds = f (y)(x − y)dy.
a a a
Z s
P ROOF. Let F(s) = f (y)dy. Then we see that:
a
Z xZ s Z x Z x
f (y)dyds = F(s)ds = 1 · F(s)ds
a a a
Z x a
{integration by parts} = [sF(s)]xa − sF 0 (s)ds
a
Z x
= xF(x) − aF(a) − s f (s)ds
Z x Za s
= x f (y)dy − 0 − y f (y)dy
Z sa a

= f (y)(x − y)dy.
a


72 8. INTEGRAL EQUATIONS

8.4. The Connection Between Differential and Integral Equations (Second-Order)

Example 8.10. Assume that we want to solve the initial value problem
(
u00 (x) + u(x)q(x) = f (x), x > a,
(8.4.1)
u(a) = u0 , u0 (a) = u1 .
We integrate the equation from a to x and get
Z x
u0 (x) − u1 = [ f (y) − q(y)u(y)] dy,
a
and another integration yields
Z x Z x Z xZ s
u0 (s)ds = u1 ds + [ f (y) − q(y)u(y)] dyds.
a a a a
By Lemma 8.1 we get
Z x
u(x) − u0 = u1 (x − a) + [ f (y) − q(y)u(y)] (x − y)dy,
a
which we can write as
Z x Z x
u(x) = u0 + u1 (x − a) + f (y)(x − y)dy + q(y)(y − x)u(y)dy
a a
Z x
= F(x) + k(x, y)u(y)dy,
a
where
Z x
F(x) = u0 + u1 (x − a) + f (y)(x − y)dy, and
a
k(x, y) = q(y)(y − x).
This implies that (8.4.1) can be written as Volterra equation:
Z x
u(x) = F(x) + k(x, y)u(y)dy.
a

R EMARK 24. Example 8.10 shows how an initial value problem can be transformed to an integral equa-
tion. In example 8.12 below we will show that an integral equation can be transformed to a differential
equation, but first we need a lemma.

L EMMA 8.2. (Leibniz’s formula)

Z b(t)  Z b(t)
d
u(x,t)dx = ut0 (x,t)dx + u(b(t),t)b0 (t) − u(a(t),t)a0 (t).
dt a(t) a(t)

P ROOF. Let
Z b
G(t, a, b) = u(x,t)dx,
a
where (
a = a(t),
b = b(t).
 8.4. THE CONNECTION BETWEEN DIFFERENTIAL AND INTEGRAL EQUATIONS (SECOND-ORDER) 73

The chain rule now gives

d
G = Gt0 (t, a, b) + G0a (t, a, b)a0 (t) + G0b (t, a, b)b0 (t)
dt
Z b
= ut0 (x,t)dx − u(a(t),t)a0 (t) + u(b(t),t)b0 (t).
a

Example 8.11. Let

Z t2
F(t) = √ sin(xt)dx.
t

Then
Z t2
3 1
F 0 (t) = √ cos(xt)xdx + sint 3 · 2t − sint 2 · √ .
t 2 t

Example 8.12. Consider the equation

Z 1
(*) y(x) = λ k(x,t)y(t)dt,
0

where
(
x(1 − t), x ≤ t ≤ 1,
k(x,t) =
t(1 − x), 0 ≤ t ≤ x.
I.e. we have
Z x Z 1
y(x) = λ t(1 − x)y(t)dt + λ x(1 − t)y(t)dt.
0 x

If we differentiate y(x) we get (using Leibniz’s formula)

Z x Z 1
y0 (x) = λ −ty(t)dt + λx(1 − x)y(x) + λ (1 − t)y(t)dt − λx(1 − x)y(t)
0 x
Z x Z 1
= λ −ty(t)dt + λ (1 − t)y(t)dt,
0 x

and one further differentiation gives us

y00 (x) = −λxy(x) − λ(1 − x)y(x) = −λy(x).

Furthermore we see that y(0) = y(1) = 0. Thus the integral equation (*) is equivalent to the boundary
value problem
(
y00 (x) + λy(x) = 0
y(0) = y(1) = 0.
74 8. INTEGRAL EQUATIONS

8.5. A General Technique to Solve a Fredholm Integral Equation of the Second Kind

We consider the equation:

Z b
(8.5.1) y(x) = f (x) + λ k(x, ξ)y(ξ)dξ.
a

Assume that the kernel k(x, ξ) is separable, which means that it can be written as
n
k(x, ξ) = ∑ α j (x)β j (ξ).
j=1
If we insert this into (8.5.1) we get
n Z b
y(x) = f (x) + λ ∑ α j (x) β j (ξ)y(ξ)dξ
j=1 a
n
(8.5.2) = f (x) + λ ∑ c j α j (x).
j=1

Observe that y(x) as in (8.5.2) gives us a solution to (8.5.1) as soon as we know the coefficients c j . How
can we find c j ?
Multiplying (8.5.2) with βi (x) and integrating gives us
Z b Z b n Z b
y(x)βi (x)dx = f (x)βi (x)dx + λ ∑ c j α j (x)βi (x)dx,
a a j=1 a

or equivalently
n
ci = fi + λ ∑ c j ai j .
j=1
n
Thus we have a linear system with n unknown variables: c1 , . . . , cn , and n equations ci = fi + λ ∑ c j ai j ,
j=1
1 ≤ i ≤ n. In matrix form we can write this as
(I − λA)~c = ~f ,
where      
a11 ··· a1n f1 c1
.. .. .. ..
     
A= ..  ~ 
, f =   , and ~c =  .
   
. . . . .
     
an1 ··· ann fn cn
Some well-known facts from linear algebra
Suppose that we have a linear system of equations
(*) B~x = ~b.
Depending on whether the right hand side ~b is the zero vector or not we get the following alternatives.
1. If ~b = ~0 then:
a) det B 6= 0 ⇒ ~x = ~0,
b) det B = 0 ⇒ (*) has an infinite number of solutions ~x.
2. If ~b 6= 0 then:
c) det B 6= 0 ⇒ (*) has a unique solution ~x,
d) det B = 0 ⇒ (*) has no solution or an infinite number of solutions.
 8.5. A GENERAL TECHNIQUE TO SOLVE A FREDHOLM INTEGRAL EQUATION OF THE SECOND KIND 75

The famous Fredholm Alternative Theorem is simply a reformulation of the fact stated above to the setting
of a Fredholm equation.

Example 8.13. Consider the equation

Z 1
(*) y(x) = λ (1 − 3xξ)y(ξ)dξ.
0
Here we have
k(x, ξ) = 1 − 3xξ = α1 (x)β1 (ξ) + α2 (x)β2 (ξ),
i.e. (
α1 (x) = 1, α2 (x) = −3x,
β1 (ξ) = 1, β2 (ξ) = ξ.
We thus get
 Z 1 Z 1   
3
β1 (x)α1 (x)dx β1 (x)α2 (x)dx   1 −
A =  Z0 1

Z0 1 = 1 2 
,
β2 (x)α1 (x)dx β2 (x)α2 (x)dx −1
0 0 2
and
 
3
1 − λ λ λ2
det(I − λA) = det 
 2 
 = 1− =0
1 4
−λ 1+λ
2
⇔
λ = ±2.
The Fredholm Alternative Theorem tells us that we have the following alternatives:

λ 6= ±2 then (*) has only the trivial solution y(x) = 0, and

λ=2 then the system (I − λA)~c = ~0 looks like
(
−c1 + 3c2 = 0,
−c1 + 3c2 = 0,
which has an infinite number of solutions: c2 = a and c3 = 3a, for any constant a. From
(8.5.2) we see that the solutions y(x) are
y(x) = 0 + 2(3a · 1 + a(−3x)) = 6a(1 − x)
= b(1 − x).
We conclude that every function y(x) = b(1 − x) is a solution of (*).
λ = −2 Then the system (I − λA)~c = ~0 looks like
(
3c1 − 3c2 = 0,
c1 − c2 = 0,
which has an infinite number of solutions c1 = c2 = a for any constant a. From (8.5.2) we
once again see that the solutions y(x) are
y(x) = 0 − 2(a · 1 + a(−3x)) = −2a(1 − 3x)
= b(1 − 3x),
and we see that every function y(x) of the form y(x) = b(1 − 3x) is a solution of (*).
76 8. INTEGRAL EQUATIONS

As always when solving a differential or integral equation one should test the solutions by inserting them
into the equation in question. If we insert y(x) = 1 − x and y(x) = 1 − 3x in (*) we can confirm that they
are indeed solutions corresponding to λ = 2 and −2 respectively.
♦

Example 8.14. Consider the equation

Z 1
(*) y(x) = f (x) + λ (1 − 3xξ)y(ξ)dξ.
0
Note that the basis functions α j and β j and hence the matrix A is the same as in the previous example,
and hence det(I − λA) = 0 ⇔ λ = ±2. The Fredholm Alternative Theorem gives us the following
possibilities:
Z 1 Z 1
1◦ f (x) · 1dx 6= 0 or f (x) · xdx 6= 0 and λ 6= ±2. Then (∗) has a unique solution
0 0
2
y(x) = f (x) + λ ∑ ci αi (x) = f (x) + λc1 − 3λc2 x,
i=1

where c1 and c2 is (the unique) solution of the system

Z 1
3

(1 − λ)c1 + λc2
 = f (x)dx,
2 Z0 1
− 1 λc1 + (1 + λ)c2 =

x f (x)dx.
2 0
Z 1 Z 1
2◦ f (x) · 1dx 6= 0 or f (x) · xdx 6= 0 and λ = −2. We get the system
0 0
 Z 1
3c1 − 3c2
 = f (x)dx,
Z0 1
c1 − c2

= x f (x)dx.
0
Since the left hand side of the topmost equation is a multiple of the left hand side of the
Z 1 Z 1
bottom equation there are no solutions if x f (x)dx 6= 3 f (x)dx, and there are an infinite
Z 1 Z 10 0 Z 1
number of solutions if x f (x)dx = 3 f (x)dx. Let 3c2 = a, then 3c1 = a + f (x)dx,
0 0 0
which gives the solutions
y(x) = f (x) − 2 [c1 α1 (x) + c2 α2 (x)]
a 1 1
  
a
Z
= f (x) − 2 + f (x)dx + (−3x)
3 3 0 3
Z 1  
2 2
= f (x) − f (x)dx − a − 2x .
3 0 3
Z 1 Z 1
3◦ f (x) · 1dx 6= 0 or f (x) · xdx 6= 0 and λ = 2. We get the system
0 0
 Z 1
−c1 + 3c2
 = f (x)dx,
Z0 1
−c1 + 3c2

= x f (x)dx.
0
 8.6. INTEGRAL EQUATIONS WITH SYMMETRICAL KERNELS 77

Z 1 Z 1
The left hand sides are identical so there are no solutions if x f (x)dx 6= f (x)dx, other-
0 Z 1 0

wise we have an infinite number of solutions. Let c2 = a, c1 = 3a − f (x)dx, then we get

0
the solution
1
 Z 
y(x) = f (x) + 2 3a − f (x)dx + a (−3x)
0
Z 1
= f (x) − 2 f (x)dx + 6a(1 − x).
0
Z 1 Z 1
4◦ x f (x)dx = f (x)dx = 0, λ 6= ±2. Then y(x) = f (x) is the unique solution.
Z0 1 Z0 1
5◦ x f (x)dx = f (x)dx = 0, λ = −2. We get the system
0 0
(
3c1 − 3c2 = 0,
⇔ c1 = c2 = a,
c1 − c2 = 0,
for an arbitrary constant a.We thus get an infinite number of solutions of the form
y(x) = f (x) − 2 [a · 1 + a (−3x)]
= f (x) − 2a (1 − 3x) .
Z 1 Z 1
6◦ x f (x)dx = f (x)dx = 0, λ = 2. We get the system
0 0
( (
−c1 + 3c2 = 0, c2 = a,
⇔
c1 + 3c2 = 0, c1 = 3a,
for an arbitrary constant a. We thus get an infinite number of solutions of the form
y(x) = f (x) + 2 [3a · 1 + a (−3x)]
= f (x) + 6a (1 − x) .

8.6. Integral Equations with Symmetrical Kernels

Consider the equation

Z b
(*) y(x) = λ k(x, ξ)y(ξ)dξ,
a
where
k(x, ξ) = k(ξ, x)
is real and continuous. We will now see how we can adapt the theory from the previous sections to the
case when k(x, ξ) is not separable but instead is symmetrical, i.e. k(x, ξ) = k(ξ, x). If λ and y(x) satisfy
(*) we say that λ is an eigenvalue and y(x) is the corresponding eigenfunction. We have the following
theorem.
T HEOREM 8.3. The following holds for eigenvalues and eigenfunctions of (*):
(i) if λm and λn are eigenvalues with corresponding eigenfunctions ym (x) and yn (x) then:
Z b
λn 6= λm ⇒ ym (x)yn (x)dx = 0.
a
I.e. eigenfunctions corresponding to different eigenvalues are orthogonal (ym (x) ⊥ yn (x)).
(ii) The eigenvalues λ are real.
78 8. INTEGRAL EQUATIONS

(iii) If the kernel k is not separable then there are infinitely many eigenvalues:
λ1 , λ2 , . . . , λn , . . . ,
with 0 < |λ1 | ≤ |λ2 | ≤ · · · and lim |λn | = ∞.
n→∞
(iv) To every eigenvalue corresponds at most a finite number of linearly independent
eigenfunctions.

P ROOF. (i). We have

Z b
ym (x) = λm k(x, ξ)ym (ξ)dξ, and
a
Z b
yn (x) = λn k(x, ξ)yn (ξ)dξ,
a
which gives
Z b Z b Z b
ym (x)yn (x)dx = λm yn (x) k(x, ξ)ym (ξ)dξdx
a a a
Z b Z b 
= λm yn (x)k(k, ξ)dx ym (ξ)dξ
a a
Z b Z b
 
[k(x, ξ) = k(ξ, x)] = λm k(ξ, x)yn (x)dx ym (ξ)dξ
a a
Z b  
1
= λm yn (ξ) ym (ξ)dξ
a λn
λm b
Z
= ym (ξ)yn (ξ)dξ.
λn a
We conclude that  Z b
λm
1− ym (x)yn (x)dx = 0,
λn a
Z b
and if λm 6= λn then we must have ym (x)yn (x)dx = 0. 
a
Example 8.15. Solve the equation
Z 1
y(x) = λ k(x, ξ)y(ξ)dξ,
0
where (
x(1 − ξ), x ≤ t ≤ 1,
k(x, ξ) =
ξ(1 − x), 0 ≤ ξ ≤ x.
From Example 8.12 we know that the integral equation is equivalent to
(
y00 (x) + λy(x) = 0,
y(0) = y(1) = 0.
√ √
If λ > 0√we have the solutions y(x) = c1 cos λx + c2 sin λx, y(0) = 0 ⇒ c1 = 0 and √ y(1) = 0
⇒c2 sin λ = 0, hence either c2 = 0 (which only gives the trivial solution y ≡ 0) or λ = nπ for
some integer n, i.e. λ = n2 π2 . Thus, the eigenvalues are
λn = n2 π2 ,
and the corresponding eigenfunctions are
yn (x) = sin(nπx).
 8.7. HILBERT-SCHMIDT THEORY TO SOLVE A FREDHOLM EQUATION 79

Observe that if m 6= n it is well-known that

Z 1
sin(nπx) sin(mπx)dx = 0.
0

8.7. Hilbert-Schmidt Theory to Solve a Fredholm Equation

We will now describe a method for solving a Fredholm Equation of the type:
Z b
(*) y(x) = f (x) + λ k(x,t)y(t)dt.
a

L EMMA 8.4. (Hilbert-Schmidt’s Lemma) Assume that there is a continuous function g(x) such that
Z b
F(x) = k(x,t)g(t)dt,
a

where k is symmetrical (i.e. k(x,t) = k(t, x)). Then F(x) can be expanded in a Fourier series as
∞
F(x) = ∑ cn yn (x),
n=1

where yn (x) are the normalized eigenfunctions to the equation

Z b
y(x) = λ k(x,t)y(t)dt.
a

(Cf. Thm. 8.3.)

T HEOREM 8.5. (The Hilbert-Schmidt Theorem) Assume that λ is not an eigenvalue of (*) and that y(x)
is a solution to (*). Then
∞
fn
y(x) = f (x) + λ ∑ yn (x),
n=1 λ n −λ
where λn and yn (x) are eigenvalues and eigenfunctions to the corresponding homogeneous equation (i.e.
Z b
(*) with f ≡ 0) and fn = f (x)yn (x)dx.
a

P ROOF. From (*) we see immediately that

Z b
y(x) − f (x) = λ k(x, ξ)y(ξ)dξ,
a

and according to H-S Lemma (8.4) we can expand y(x) − f (x) in a Fourier series:
∞
y(x) − f (x) = ∑ cn yn (x),
n=1

where
Z b Z b
cn = (y(x) − f (x)) yn (x)dx = y(x)yn (x)dx − fn .
a a
80 8. INTEGRAL EQUATIONS

Hence
Z b Z b
y(x)yn (x)dx = fn + (y(x) − f (x)) yn (x)dx
a a
Z b Z b 
= fn + λ k(x, ξ)y(ξ)dξ yn (x)dx
a a
Z b Z b 
{k(x, ξ) = k(ξ, x)} = fn + λ k(ξ, x)yn (x)dx y(ξ)dξ
a a
λ b
Z
= fn + yn (ξ)y(ξ)dξ.
λn a
Thus Z b
fn λn f n
y(x)yn (x)dx = = ,
a 1− λ λn − λ
λn
and we conclude that
λn fn λ fn
cn = − fn = ,
λn − λ λn − λ
i.e. we can write y(x) as
∞
fn
y(x) = f (x) + λ ∑ yn (x).
n=1 λn − λ

Example 8.16. Solve the equation

Z 1
y(x) = x + λ k(x, ξ)y(ξ)dξ,
0

where λ 6= n2 π2 , n = 1, 2, . . . , and
(
x(1 − ξ), x ≤ ξ ≤ 1,
k(x, ξ) =
ξ(1 − x), 0 ≤ ξ ≤ x.
Solution: From Example 8.15 we know that the normalized eigenfunctions to the homogeneous
equation
Z 1
y(x) = λ k(x, ξ)y(x)dξ
0
are √
yn (x) = 2 sin (nπx) ,
corresponding to the eigenvalues λn = n2 π2 , n = 1, 2, . . . . In addition we see that
Z 1 √ √
(−1)n+1 2
Z 1
fn = f (x)yn (x)dx = x 2 sin (nπx) dx = ,
0 0 nπ
hence √
2λ ∞ (−1)n+1
y(x) = x + ∑ n (n2 π2 − λ) sin (nπx) , λ 6= n2 π2 .
π n=1

♦
Finally we observe that by using practically the same ideas as before we can also prove the following
theorem (cf. (5, pp. 246-247)).
 8.7. HILBERT-SCHMIDT THEORY TO SOLVE A FREDHOLM EQUATION 81

T HEOREM 8.6. Let f and k be continuous functions and define the operator K acting on the function
y(x) by
Z x
Ky(x) = k(x, ξ)y(ξ)dξ,
a
and then define positive powers of K by
K m y(x) = K(K m−1 y)(x), m = 2, 3, . . . .

Then the equation Z x

y(x) = f (x) + λ k(x, ξ)y(ξ)dξ
a
has the solution
∞
y(x) = f (x) + ∑ λn K n ( f ).
n=1
This type of series expansion is called a Neumann series.

Example 8.17. Solve the equation

Z x
y(x) = x + λ (x − ξ) y(ξ)dξ.
0
Solution: (by Neumann series):
x3
Z x
K(x) = (x − ξ)ξdξ =
0 3!
ξ3 x5
Z x
K 2 (x) = (x − ξ) dξ =
0 3! 5!
..
.
ξ2n−1 x2n+1
Z x
K n (x) = (x − ξ) dξ = ,
0 (2n − 1)! (2n + 1)!
hence
∞
y(x) = x + ∑ λn K n (x)
n=1
x3 x5 x2n+1
= x+λ + λ2 + · · · + λn +··· .
3! 5! (2n + 1)!
Solution (by the Laplace transform): We observe that the operator
Z x
K= (x − ξ) y(ξ)dξ
0
is a convolution of the function y(x) with the identity function x 7→ x, i.e. K(x) = (t 7→ t ? y)(x),
which implies that L [K(x)] = L [x]L [y], and since y(x) = x + λK(x) we get
1 1
L (y) = L (x) + λL (x) L (y) = 2
+ λ 2 L (y)
 s s 
1 1 1 1
L (y) = 2 = √ √ − √ ,
s −λ 2 λ s− λ s+ λ
and by inverting the transform we get
1  √ √ 
y(x) = √ e λx − e− λx .
2 λ
82 8. INTEGRAL EQUATIONS

Observe that we obtain the same solution independent of method. This is easiest seen by looking
at the Taylor expansion of the second solution. More precisely we have
√ √ 1 √ 2 1 √ 3
e− λx = 1 − λx + λx − λx + · · · ,
2 3!
√ √ 1 √
  2 1 √ 3

e λx = 1 + λx + λx + λx + · · · ,
2 3!
i.e.
1  √ √ 
y(x) = √ e λx − e− λx
2 λ
 √
2 √ 3 2 √ 5

1
= √ 2 λx + λx + λx + · · ·
2 λ 3! 5!
x3 x5
= x + λ + λ2 + · · · .
3! 5!
♦

8.8. Exercises

8.1. [A] Rewrite the following second order initial values problem as an integral equation
(
u00 (x) + p(x)u0 (x) + q(x)u(x) = f (x), x > a,
u(a) = u0 , u0 (a) = u1 .

8.2. Consider the initial values problem

(
u00 (x) + ω2 u(x) = f (x), x > 0,
u(a) = 0, u0 (0) = 1.
a) Rewrite this equation as an integral equation.
b) Use the Laplace transform to give the solution for a general f (x) with Laplace transform
F(s).
c) Give the solution u(x) for f (x) = sin at with a ∈ R, a 6= ω.

8.3. [A] Rewrite the initial values problem

y00 (x) + ω2 y = 0, 0 ≤ x ≤ 1,
y(0) = 1, y0 (0) = 0
as an integral equation of Volterra type and give those solutions which also satisfy y(1) = 0.

8.4. Rewrite the boundary values problem

y00 (x) + λp(x)y = q(x), a ≤ x ≤ b,
y(a) = y(b) = 0
as an integral equation of Fredholm type. (Hint: Use y(b) = 0 to determine y0 (a).)
 8.8. EXERCISES 83

8.5. [A] Let α ≥ 0 and consider the probability that a randomly chosen integer between 1 and x has its
largest prime factor ≤ xα . As x → ∞ this probability distribution tends to a limit distribution with
the distribution function F(α), the so called Dickman function (note that F(α) = 1 for α ≥ 1). The
function F(α) is a solution of the following integral equation
Z α  
t 1
F(α) = F dt, 0 ≤ α ≤ 1.
0 1−t t
1
Compute F(α) for ≤ α ≤ 1.
2

8.6.* Consider the Volterra equation

Z x
u(x) = x + µ (x − y) u(y)dy.
0
a) Compute the first three non-zero terms in the Neumann series of the solution.
b) Give the solution of the equation (for example by using a) to guess a solution and then verify
it).

8.7. [A] Solve the following integral equation:

Z x
x= ex−ξ y(ξ)dξ.
0

8.8. Use the Laplace transform Zto solve:

x
a) y(x) = f (x) + λ ex−ξ y(ξ)dξ.
Z x 0
x−ξ
b) y(x) = 1 + e y(ξ)dξ
0

8.9. [A] Write a Neumann series for the solution of the integral equation
Z 1
u(x) = f (x) + λ u(t)dt,
0
e 1 1
and give the solution of the equation for f (x) = ex − + and λ = .
2 2 2
8.10. Solve the following integral equations:
Z 1
a) y(x) = x2 + (1 − 3xξ) y(ξ)dξ,
0
Z 1

b) y(x) = x2 + λ (1 − 3xξ) y(ξ)dξ for all values of λ.

0

8.11. [A] Solve the following integral equation

Z π
u(x) = f (x) + λ sin(x) sin (2y) u(x)dy
0
when
a) f (x) = 0,
b) f (x) = sin x,
c) f (x) = sin 2x.
84 8. INTEGRAL EQUATIONS

8.12. Consider the equation

Z x
u(x) = f (x) + λ u(t)dt, 0 ≤ x ≤ 1.
0

a) Show that for f (x) ≡ 0 the equation has only the trivial solution in C2 [0, 1].
b) Give a function f (x) such that the equation has a non-trivial solution for all values of λ
and compute this solution.

8.13. [A] Let a > 0 and consider the integral equation

Z x−a
u(x) = 1 + λ θ(x − y + a)(x − y)u(y)dy, x ≥ a.
0
Use the Laplace transform to determine the eigenvalues and the corresponding eigenfunctions of this
equation.

8.14.* The current in an LRC-circuit with L = 3, R = 2, C = 0.2 (SI-units) and where we apply a voltage
at the time t = 3 satisfies the following integral equation
Z t
I(t) = 6θ(t − 1) (t − 1) + 2t + 3 − (2 + 5 (t − y)) I(y)dy.
0
Determine I(t) using the Laplace transform.

8.15. [A] Consider (again) the salesman’s control problem (Example 8.4). Assume that the number of
products in stock at the time t = 0 is a and that the products are sold at a constant rate such that all
products are sold out in T (time units). Now let u(t) be the rate (products/time unit) with which we
have to purchase new products in order to have a constant number of a products in stock.
a) Write the integral equation which is satisfied by u(t).
b) Solve the equation from a) and find u(t).
a t/T
b) u(t) = e .
T

8.16.*
a) Write the integral equation
Z 1
(*) y(x) = λ k(x, ξ)y(ξ)dξ,
0
where (
x(1 − ξ), x ≤ ξ ≤ 1,
k(x, ξ) =
ξ(1 − x), 0 ≤ ξ ≤ x,
as a boundary value problem.
b) Find the eigenvalues and the normalized eigenvectors to the problem in a).
Solve the equation
Z 1
y(x) = f (x) + λ k(x, ξ)y(ξ)dξ,
0
where k(x, ξ) is as in a) and λ 6= n2 π2 for
c) f (x) = sin (πkx), k ∈ Z, and
d) f (x) = x2 .
 8.8. EXERCISES 85

8.17. [A] Consider the Fredholm equation

Z 2π
u(x) = f (x) + λ cos (x + t) u(t)dt.
0
Determine solutions for all values of λ and give sufficient conditions (if there are any) that f (x) has
to satisfy in order for solutions to exist.

8.18. Show that the equation Z π

g(s) = λ (sin s sin 2t) g(t)dt
0
only has the trivial solution.

8.19. [A] Solve the integral equation

Z ∗∞
1 u(t)
sin s = dt,
π −∞ t −s
Z ∗
where means that we consider the principal value of the integral (since the integrand has a
Z ∞ it
e
singularity at t = s). (Hint: Use the residue theorem on the integral dt.)
−∞ s−t
8.20. Give the Laplace transform of the non-trivial solution for the following integral equation
Z s
s2 − t 2 g(t)dt.


g(s) =
0
Hint: Rewrite the kernel in convolution form and use the differentiation rule.