Sturm–Liouville theory

In mathematics and its applications, classical Sturm–Liouville theory is the theory of real second-
order linear ordinary differential equations of the form:

for given coefficient functions p(x), q(x), and w(x) > 0 and an unknown function y of the free variable x.
The function w(x), sometimes denoted r(x), is called the weight or density function. All second-order
linear ordinary differential equations can be reduced to this form.

In the simplest case where all coefficients are continuous on the finite closed interval [a,b] and p has
continuous derivative, a function y is called a solution if it is continuously differentiable on (a,b) and
satisfies the equation (1) at every point in (a,b). (In the case of more general p(x), q(x), w(x), the
solutions must be understood in a weak sense.) In addition, y is typically required to satisfy some
boundary conditions at a and b. Each such equation (1) together with its boundary conditions
constitutes a Sturm-Liouville (S-L) problem.

The value of λ is not specified in the equation: finding the λ for which there exists a non-trivial solution is
part of the given S-L problem. Such values of λ, when they exist, are called the eigenvalues of the
problem, and the corresponding solutions are the eigenfunctions associated to each λ. This terminology
is because the solutions correspond to the eigenvalues and eigenfunctions of a Hermitian differential
operator in an appropriate function space. Sturm–Liouville theory studies the existence and asymptotic
behavior of the eigenvalues, the corresponding qualitative theory of the eigenfunctions and their
completeness in the function space.

This theory is important in applied mathematics, where S-L problems occur very commonly, particularly
when dealing with separable linear partial differential equations. For example, in quantum mechanics,
the one-dimensional time-independent Schrödinger equation is a S-L problem.

A Sturm-Liouville problem is said to be regular if p(x), w(x) > 0, and p(x), p′(x), q(x), w(x) are
continuous functions over the finite interval [a,b], and the problem has separated boundary conditions
of the form:

The main result of Sturm–Liouville theory states that, for the regular Sturm–Liouville problem (1),(2),
(3):

The eigenvalues λ1, λ2, λ3, ... are real and can be numbered so that

Corresponding to each eigenvalue λn is a unique (up to constant multiple) eigenfunction yn(x) with
exactly n−1 zeros in (a,b), called the nth fundamental solution.
 The normalized eigenfunctions form an orthonormal basis under the w-weighted inner product in the
Hilbert space . That is:

where δmn is the Kronecker delta.

The theory is named after Jacques Charles François Sturm (1803–1855) and Joseph Liouville (1809–
1882).

Contents
Reduction to Sturm–Liouville form
Bessel equation
Legendre equation
Example using an integrating factor
Integrating factor for general second-order equation
Sturm–Liouville equations as self-adjoint differential operators
Application to inhomogeneous second-order boundary value problems
Example: Fourier series
Application to partial differential equations
Normal modes
Second-order linear equation
Representation of solutions and numerical calculation
Construction of a nonvanishing solution
See also
References
Further reading

Reduction to Sturm–Liouville form

The differential equation (1) is said to be in Sturm–Liouville form or self-adjoint form. All
second-order linear ordinary differential equations can be recast in the form on the left-hand side of (1)
by multiplying both sides of the equation by an appropriate integrating factor (although the same is not
true of second-order partial differential equations, or if y is a vector). Some examples are below.

Bessel equation

which can be written in Sturm–Liouville form (first by dividing through by x, then by collapsing the two
terms on the left into one term) as
Legendre equation

d
which can easily be put into Sturm–Liouville form, since dx (1 − x2) = −2x, so the Legendre equation is
equivalent to

Example using an integrating factor

Divide throughout by x3:

Multiplying throughout by an integrating factor of

gives

which can be easily put into Sturm–Liouville form since

so the differential equation is equivalent to

Integrating factor for general second-order equation

Multiplying through by the integrating factor

and then collecting gives the Sturm–Liouville form:

or, explicitly:

Sturm–Liouville equations as self-adjoint differential

operators
The mapping defined by:

can be viewed as a linear operator L mapping a function u to another function Lu, and it can be studied
in the context of functional analysis. In fact, equation (1) can be written as

This is precisely the eigenvalue problem; that is, one seeks eigenvalues λ1, λ2, λ3,... and the
corresponding eigenvectors u1, u2, u3,... of the L operator. The proper setting for this problem is the
Hilbert space with scalar product

In this space L is defined on sufficiently smooth functions which satisfy the above regular boundary
conditions. Moreover, L is a self-adjoint operator:

This can be seen formally by using integration by parts twice, where the boundary terms vanish by virtue
of the boundary conditions. It then follows that the eigenvalues of a Sturm–Liouville operator are real
and that eigenfunctions of L corresponding to different eigenvalues are orthogonal. However, this
operator is unbounded and hence existence of an orthonormal basis of eigenfunctions is not evident. To
overcome this problem, one looks at the resolvent
where z is chosen to be some real number which is not an eigenvalue. Then, computing the resolvent
amounts to solving the inhomogeneous equation, which can be done using the variation of parameters
formula. This shows that the resolvent is an integral operator with a continuous symmetric kernel (the
Green's function of the problem). As a consequence of the Arzelà–Ascoli theorem, this integral operator
is compact and existence of a sequence of eigenvalues αn which converge to 0 and eigenfunctions which
form an orthonormal basis follows from the spectral theorem for compact operators. Finally, note that

are equivalent, so we may take with the same eigenfunctions.

If the interval is unbounded, or if the coefficients have singularities at the boundary points, one calls L
singular. In this case, the spectrum no longer consists of eigenvalues alone and can contain a continuous
component. There is still an associated eigenfunction expansion (similar to Fourier series versus Fourier
transform). This is important in quantum mechanics, since the one-dimensional time-independent
Schrödinger equation is a special case of a S-L equation.

Application to inhomogeneous second-order boundary

value problems
Consider a general inhomogeneous second-order linear differential equation

for given functions . As before, this can be reduced to the S-L form :
writing a general S-L operator as:

one solves the system:

It suffices to solve the first two equations, which amounts to solving (Pw)′ = Qw, or

A solution is:

Given this transformation, one is left to solve:

In general, if initial conditions at some point are specified, for example y(a) = 0 and y′(a) = 0, a second
order differential equation can be solved using ordinary methods and the Picard–Lindelöf theorem
ensures that the differential equation has a unique solution in a neighbourhood of the point where the
initial conditions have been specified.

But if in place of specifying initial values at a single point, it is desired to specify values at two different
points (so-called boundary values), e.g. y(a) = 0 and y(b) = 1, the problem turns out to be much more
difficult. Notice that by adding a suitable known differentiable function to y, whose values at a and b
satisfy the desired boundary conditions, and injecting inside the proposed differential equation, it can be
assumed without loss of generality that the boundary conditions are of the form y(a) = 0 and y(b) = 0.

Here, the Sturm–Liouville theory comes in play: indeed, a large class of functions f can be expanded in
terms of a series of orthonormal eigenfunctions ui of the associated Liouville operator with
corresponding eigenvalues λi:

Then a solution to the proposed equation is evidently:

This solution will be valid only over the open interval a < x < b, and may fail at the boundaries.

Example: Fourier series

Consider the Sturm–Liouville problem:

for the unknowns are λ and u(x). For boundary conditions, we take for example:

Observe that if k is any integer, then the function

is a solution with eigenvalue λ = k2. We know that the solutions of a S-L problem form an orthogonal
basis, and we know from Fourier series that this set of sinusoidal functions is an orthogonal basis. Since
orthogonal bases are always maximal (by definition) we conclude that the S-L problem in this case has
no other eigenvectors.

Given the preceding, let us now solve the inhomogeneous problem

with the same boundary conditions . In this case, we must expand f (x) = x as a Fourier
series. The reader may check, either by integrating ∫ eikxx dx or by consulting a table of Fourier
transforms, that we thus obtain

This particular Fourier series is troublesome because of its poor convergence properties. It is not clear a
priori whether the series converges pointwise. Because of Fourier analysis, since the Fourier coefficients
are "square-summable", the Fourier series converges in L2 which is all we need for this particular theory
to function. We mention for the interested reader that in this case we may rely on a result which says
that Fourier series converge at every point of differentiability, and at jump points (the function x,
considered as a periodic function, has a jump at π) converges to the average of the left and right limits
(see convergence of Fourier series).

Therefore, by using formula (4), we obtain the solution:

In this case, we could have found the answer using antidifferentiation, but this is no longer useful in
most cases when the differential equation is in many variables.

Application to partial differential equations

Normal modes

Certain partial differential equations can be solved with the help of S-L theory. Suppose we are
interested in the vibrational modes of a thin membrane, held in a rectangular frame, 0 ≤ x ≤ L1,
0 ≤ y ≤ L2. The equation of motion for the vertical membrane's displacement, W(x,y,t) is given by the
wave equation:

The method of separation of variables suggests looking first for solutions of the simple form
W = X(x) × Y(y) × T(t). For such a function W the partial differential equation becomes
X″ Y″ 1 T″
X + Y = c2 T . Since the three terms of this equation are functions of x, y, t separately, they must be
constants. For example, the first term gives X″ = λX for a constant λ. The boundary conditions ("held in
a rectangular frame") are W = 0 when x = 0, L1 or y = 0, L2 and define the simplest possible S-L
eigenvalue problems as in the example, yielding the "normal mode solutions" for W with harmonic time
dependence,
where m and n are non-zero integers, Amn are arbitrary constants, and

The functions Wmn form a basis for the Hilbert space of (generalized) solutions of the wave equation;
that is, an arbitrary solution W can be decomposed into a sum of these modes, which vibrate at their
individual frequencies ωmn. This representation may require a convergent infinite sum.

Second-order linear equation

For a linear second-order in one spatial dimension and first-order in time of the form:

Separating variables, we assume that

Then our above partial differential equation may be written as:

where

Since, by definition, L̂ and X(x) are independent of time t and M̂ and T(t) are independent of position x,
then both sides of the above equation must be equal to a constant:

The first of these equations must be solved as a Sturm–Liouville problem in terms of the eigenfunctions
Xn(x) and eigenvalues λn. The second of these equations can be analytically solved once the eigenvalues
are known.
where

Representation of solutions and numerical calculation

The Sturm–Liouville differential equation (1) with boundary conditions may be solved analytically,
which can be exact or provide an approximation, by the Rayleigh–Ritz method, or by the matrix-
variational method of Gerck et al.[1][2][3]

Numerically, a variety of methods are also available. In difficult cases, one may need to carry out the
intermediate calculations to several hundred decimal places of accuracy in order to obtain the
eigenvalues correctly to a few decimal places.

1. Shooting methods.[4][5] These methods proceed by guessing a value of λ, solving an initial value
problem defined by the boundary conditions at one endpoint, say, a, of the interval [a,b], comparing
the value this solution takes at the other endpoint b with the other desired boundary condition, and
finally increasing or decreasing λ as necessary to correct the original value. This strategy is not
applicable for locating complex eigenvalues.
2. Finite difference method.
3. The spectral parameter power series (SPPS) method[6] makes use of a generalization of the
following fact about second-order ordinary differential equations: if y is a solution that does not
vanish at any point of [a,b], then the function

is a solution of the same equation and is linearly independent from y. Further, all solutions
are linear combinations of these two solutions. In the SPPS algorithm, one must begin with
∗ ∗
an arbitrary value λ0 (often λ0 = 0; it does not need to be an eigenvalue) and any solution y0
∗
of (1) with λ = λ0 which does not vanish on [a,b]. (Discussion below of ways to find
∗
appropriate y0 and λ0.) Two sequences of functions X (n)(t), X̃ (n)(t) on [a,b], referred to as
iterated integrals, are defined recursively as follows. First when n = 0, they are taken to be
identically equal to 1 on [a,b]. To obtain the next functions they are multiplied alternately by
 1 2
2 and wy0 and integrated, specifically, for n > 0:
py0

The resulting iterated integrals are now applied as coefficients in the following two power
series in λ:

Then for any λ (real or complex), u0 and u1 are linearly independent solutions of the
corresponding equation (1). (The functions p(x) and q(x) take part in this construction
through their influence on the choice of y0.)

Next one chooses coefficients c0 and c1 so that the combination y = c0u0 + c1u1 satisfies
the first boundary condition (2). This is simple to do since X (n)(a) = 0 and X̃ (n)(a) = 0, for
n > 0. The values of X (n)(b) and X̃ (n)(b) provide the values of u0(b) and u1(b) and the
derivatives u′0(b) and u′0(b), so the second boundary condition (3) becomes an equation in
a power series in λ. For numerical work one may truncate this series to a finite number of
terms, producing a calculable polynomial in λ whose roots are approximations of the sought-
after eigenvalues.

When λ = λ0, this reduces to the original construction described above for a solution linearly
independent to a given one. The representations ('5') and ('6') also have theoretical
applications in Sturm–Liouville theory.[6]

Construction of a nonvanishing solution

The SPPS method can, itself, be used to find a starting solution y0. Consider the equation (py′)′ = μqy;
i.e., q, w, and λ are replaced in (1) by 0, −q, and μ respectively. Then the constant function 1 is a
nonvanishing solution corresponding to the eigenvalue μ0 = 0. While there is no guarantee that u0 or u1
will not vanish, the complex function y0 = u0 + iu1 will never vanish because two linearly-independent
solutions of a regular S-L equation cannot vanish simultaneously as a consequence of the Sturm
separation theorem. This trick gives a solution y0 of (1) for the value λ0 = 0. In practice if (1) has real
coefficients, the solutions based on y0 will have very small imaginary parts which must be discarded.
See also
Normal mode
Oscillation theory
Self-adjoint
Variation of parameters
Spectral theory of ordinary differential equations
Atkinson–Mingarelli theorem

References
1. Ed Gerck, A. B. d’Oliveira, H. F. de Carvalho. "Heavy baryons as bound states of three quarks."
Lettere al Nuovo Cimento 38(1):27–32, Sep 1983.
2. Augusto B. d’Oliveira, Ed Gerck, Jason A. C. Gallas. "Solution of the Schrödinger equation for bound
states in closed form." Physical Review A, 26:1(1), June 1982.
3. Robert F. O’Connell, Jason A. C. Gallas, Ed Gerck. "Scaling Laws for Rydberg Atoms in Magnetic
Fields." Physical Review Letters 50(5):324–327, January 1983.
4. Pryce, J. D. (1993). Numerical Solution of Sturm–Liouville Problems (https://books.google.com/book
s?id=bTDvAAAAMAAJ). Oxford: Clarendon Press. ISBN 0-19-853415-9.
5. Ledoux, V.; Van Daele, M.; Berghe, G. Vanden (2009). "Efficient computation of high index Sturm–
Liouville eigenvalues for problems in physics". Comput. Phys. Commun. 180: 532–554.
arXiv:0804.2605 (https://arxiv.org/abs/0804.2605). Bibcode:2009CoPhC.180..241L (https://ui.adsab
s.harvard.edu/abs/2009CoPhC.180..241L). doi:10.1016/j.cpc.2008.10.001 (https://doi.org/10.1016%
2Fj.cpc.2008.10.001).
6. Kravchenko, V. V.; Porter, R. M. (2010). "Spectral parameter power series for Sturm–Liouville
problems". Mathematical Methods in the Applied Sciences. 33 (4): 459–468. arXiv:0811.4488 (http
s://arxiv.org/abs/0811.4488). doi:10.1002/mma.1205 (https://doi.org/10.1002%2Fmma.1205).

Further reading
Hazewinkel, Michiel, ed. (2001) [1994], "Sturm–Liouville theory" (https://www.encyclopediaofmath.or
g/index.php?title=p/s130620), Encyclopedia of Mathematics, Springer Science+Business Media B.V.
/ Kluwer Academic Publishers, ISBN 978-1-55608-010-4
Hartman, Philip (2002). Ordinary Differential Equations (2 ed.). Philadelphia: SIAM. ISBN 978-0-
89871-510-1.
Polyanin, A. D. & Zaitsev, V. F. (2003). Handbook of Exact Solutions for Ordinary Differential
Equations (2 ed.). Boca Raton: Chapman & Hall/CRC Press. ISBN 1-58488-297-2.
Teschl, Gerald (2012). Ordinary Differential Equations and Dynamical Systems (http://www.mat.univi
e.ac.at/~gerald/ftp/book-ode/). Providence: American Mathematical Society. ISBN 978-0-8218-8328-
0. (Chapter 5)
Teschl, Gerald (2009). Mathematical Methods in Quantum Mechanics; With Applications to
Schrödinger Operators (http://www.mat.univie.ac.at/~gerald/ftp/book-schroe/). Providence: American
Mathematical Society. ISBN 978-0-8218-4660-5. (see Chapter 9 for singular S-L operators and
connections with quantum mechanics)
Zettl, Anton (2005). Sturm–Liouville Theory. Providence: American Mathematical Society. ISBN 0-
8218-3905-5.
Birkhoff, Garrett (1973). A source book in classical analysis (https://archive.org/details/sourcebookinc
las00garr). Cambridge, Massachusetts: Harvard University Press. ISBN 0-674-82245-5. (See
 Chapter 8, part B, for excerpts from the works of Sturm and Liouville and commentary on them.)

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