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    44 Probability Exercise

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    Lopez Shian Ervin
    The document provides an overview of the Laplace transform including: 1) The definition and examples of the Laplace transform of basic functions. 2) Conditions for the Laplace transform to exist. 3) Properties including linearity and how derivatives in the time domain relate to multiplication in the Laplace domain. 4) Convolution integrals and how the Laplace transform of the convolution of two functions is equal to the product of their individual Laplace transforms.

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    44 Probability Exercise

    Uploaded by

    Lopez Shian Ervin
    43 views3 pages
    The document provides an overview of the Laplace transform including: 1) The definition and examples of the Laplace transform of basic functions. 2) Conditions for the Laplace transform to exist. 3) Properties including linearity and how derivatives in the time domain relate to multiplication in the Laplace domain. 4) Convolution integrals and how the Laplace transform of the convolution of two functions is equal to the product of their individual Laplace transforms.

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    The document provides an overview of the Laplace transform including: 1) The definition and examples of the Laplace transform of basic functions. 2) Conditions for the Laplace transform to exist. 3) Properties including linearity and how derivatives in the time domain relate to multiplication in the Laplace domain. 4) Convolution integrals and how the Laplace transform of the convolution of two functions is equal to the product of their individual Laplace transforms.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    43 views3 pages

    44 Probability Exercise

    Uploaded by

    Lopez Shian Ervin
    The document provides an overview of the Laplace transform including: 1) The definition and examples of the Laplace transform of basic functions. 2) Conditions for the Laplace transform to exist. 3) Properties including linearity and how derivatives in the time domain relate to multiplication in the Laplace domain. 4) Convolution integrals and how the Laplace transform of the convolution of two functions is equal to the product of their individual Laplace transforms.

    Copyright:

    © All Rights Reserved
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    Download as pdf or txt
    of 3

    ACM95b/100b Lecture Notes

    Caltech 2004

    Laplace Transform
    Z ∞
    L{f (t)} ≡ F (s) ≡ e−st f (t) dt (1)
    0
    Examples
    a) f (t) = 1, t ≥ 0
    b
    e−st
    Z ∞
    −st 1
    L{1} = e dt = lim =
    0 b→∞ −s s
    0

    b) f (t) = eat , t ≥ 0
    Z ∞ Z ∞
    −st at 1
    at
    L{e } = e e dt = e−(s−a)t dt = , s>a
    0 0 s−a

    Existence
    The Laplace transform exists for s > a if:

    (1a) f is piecewise continuous on 0 ≤ t ≤ M

    (2a) f is of exponential order as t → ∞


    (i.e. |f (t)| ≤ Keat , t ≥ M , with K, a, M constant)

    Writing Z Z Z
    ∞ M ∞
    e−st f (t) dt = e−st f (t) dt + e−st f (t) dt, (2)
    0 0 M

    the first integral exists by (1a) and |e−st f (t)| ≤ Ke(a−s)t for t ≥ M so if s > a, the second integral
    exists by (2a).

    Linearity

    L{c1 f (t) + c2 g(t)} = c1 L{f (t)} + c2 L{g(t)} (3)

    Transforms of Derivatives
    For existence of L{f 0 (t)} for s > a we require

    (1b) f is continuous with f 0 piecewise continuous on 0 ≤ t ≤ M

    (2b) f is of exponential order as t → ∞.


    (i.e. |f (t)| ≤ Keat , t ≥ M , with K, a, M constant)
    If the discontintuities in f 0 (t) are located at t1 , t2 , · · · tn then
    Z ∞ Z t1 Z t2 Z ∞
    0 −st 0
    L{f (t)} = e f (t) dt = + +··· + e−st f 0 (t) dt (4)
    0 0 t1 tn
    | {z }
    integrate by parts
    ( t 2 ∞ )
    t 1
    Z ∞
    −st

    = e f (t) + + · · · +

    +s e−st f (t) dt (5)
    0 t1 tn 0
    | {z }
    telescope using (1b)
    ∞ Z ∞
    −st
    e−st f (t) dt

    = e f (t) +s (6)
    0 0
    | {z } | {z }
    use (2b) and s>a L{f (t)}
    = −f (0) + sL{f (t)}, s>a (7)

    L{f 0 (t)} = sL{f (t)} − f (0), s>a

    For existence of L{f (n) (t)} for s > a we require

    (1c) f (t), · · · , f (n−1) (t) is continuous with f (n) piecewise continuous on 0 ≤ t ≤ M

    (2c) f (t), · · · , f (n−1) (t) are of exponential order as t → ∞.


    (i.e. |f (t)|, · · · , |f (n−1) (t)| ≤ Keat , t ≥ M , with K, a, M constant)

    and by induction we obtain

    L{f (n) (t)} = sn L{f (t)} − sn−1 f (0) − · · · − sf (n−2) (0) − f (n−1) (0), s>a

    Note that if f (t), · · · , f (n−1) (t) vanish at t = 0 then

    L{f (n) (t)} = sn L{f (t)} (8)

    so differentiation in t space corresponds to multiplication in s space.

    Convolution Integrals
    Suppose f (t), g(t), and h(t) have transforms F (s), G(s), and H(s) for s > a ≥ 0. If

    H(s) = F (s)G(s) (9)

    then h(t) is the convolution of f (t) and g(t)


    Rt
    h(t) = f ∗ g = 0 f (t − τ )g(τ )dτ,
    Rt (10)
    = g∗f = 0 f (τ )g(t − τ )dτ.

    Hence, if H(s) can be expressed as a product of known transforms, h(t) can be expressed as a
    convolution integral. To sketch the proof of (10) we start with the product of transforms (9) and
    seek to identify the form of h(t).
    Z ∞ Z ∞
    H(s) = F (s)G(s) = e−sξ f (ξ) dξ · e−sτ g(τ )dτ (11)
    0 0
    Z ∞ Z ∞ 
    = g(τ ) e−s(ξ+τ ) f (ξ) dξ dτ (12)
    0 0
    (let ξ=t−τ so dξ=dt)
    Z ∞ Z ∞ 
    = g(τ ) e−st f (t − τ ) dt dτ (13)
    0 τ
    (reverse order of integration over triangular region)
    Z ∞ Z t 
    −st
    = e f (t − τ )g(τ )dτ dt (14)
    0 0
    | {z }
    L−1 {H(s)} by definition
    Z ∞
    = e−st h(t) dt (15)
    0

    Reverse order of integration over triangular region

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