8.

Some Additional Examples

In addition to the Fourier transform and eigenfunction expansions, it is sometimes convenient to have the use of the Laplace transform for solving certain problems in partial differential equations. We will quickly develop a few properties of the Laplace transform and use them in solving some example problems.

Laplace Transform
Definition of the Transform Starting with a given function of t, ft , we can define a new function ! fs of the variable s. This new function will have several properties which will turn out to be convenient for purposes of solving linear constant coefficient ODEs and PDEs. The definition of ! fs is as follows: Definition Let ft be defined for t 0 and let the Laplace transform of ft be defined by,
K f s Lft = X e ?st ft dt = ! 0

For example: ft = 1, -t 0, ft = e bt , -t 0,
?st K 1 t=K ! L1 = X e ?st dt = e ?s | t=0 = s = fs for s > 0 0 ?b?st K Le bt = X e ?b?st dt = e | t=K = 1 = ! fs , for s > b. 0 s?b s ? b t=0

The Laplace transform is defined for all functions of exponential type. That is, any function ft which is (a) piecewise continuous = has at most finitely many finite jump discontinuities on any interval of finite length (b) has exponential growth: for some positive constants M and k |ft | M e kt for all t 0, . Properties of the Laplace Transform The Laplace transform has the following general properties: 1. Linearity 2. Homogeneity LC 1 ft + C 2 gt = C 1 ! fs + C 2 s ! s Lfat = 1 af a for a>0

3. Transform of the Derivative

f s ? f 0 Lf v t = s ! Lf vv t = s 2 ! fs ? sf0 ? f v 0 etc 1

4. Derivative of the Transform

Lt ft = ? ! f v s f vv s etc Lt 2 ft = ?1 2 !

Some Special Transforms There are some transform pairs that are useful in solving problems involving the heat equation. The derivations are given in an appendix. S.1 S.2 S.3 Here f t = f t = k e ?k 2 /4t , t > 0 4^t 3 1 e ?k 2 /4t , t > 0 ^t k 2 t , t>0 and Lft = e ?k s , Lft = 1 e ?k s , s k>0 k0 k>0

ft = erf c

?k s Lft = 1 , se

erf cz = 1 ? erfz

erfz =

2 X z e ?x 2 dx. ^ 0

Additional Properties of the Transform Let ft be a function of exponential type and suppose that for some b > 0, h t = 0 if 0 < t < b if t>b

f t ? b

Then ht is just the function ft , delayed by the amount b. Then Lht = X ht e ?st dt = X ft ? b e ?st dt 0 b Let z = t ? b so that f s . Lht = X fz e ?sz+b dz = e ?bs X fz e ?sz dz = e ?bs ! 0 0 If we define then ht = Ht ? b ft ? b and we find 5. Transform of a Delay fs , for b > 0. LHt ? b ft ? b = e ?bs ! Ht ? b = 0 if 0 < t < b 1 if t > b
K K K K

A related results is the following

K K Le bt ft = X e bt ft e ?st dt = X ft e ?s?bt dt = ! f s ? b . 0 0

i.e., 6. Delay of a Transform Le bt ft = ! f s ? b

Results 5 and 6 assert that a delay in the function induces an exponential multiplier in the transform and, conversely, a delay in the transform is associated with an exponential multiplier for the function. A final property of the Laplace transform asserts that 7. Inverse of a Product where Lf D gt = ! fs s t f D gt := X ft ? b gb db
0

The product, f D gt , is called the convolution product of f and g. Life would be simpler if the inverse Laplace transform of ! fs s was the pointwise product ft gt , but it isnt, it is the convolution product. The convolution product has some of the same properties as the pointwise product, namely f D gt = g D ft and h D f D gt = h D f D gt .

We will not give the proof of the result 7 but will make use of it nevertheless. Applications to PDE s 1. Consider the IBVP

x > 0, t > 0, / t ux, t = k / xx ux, t ux, 0 = 0, x > 0, u0, t = ft , f0 = 0, t > 0. Laplace transform in t. x > 0,
2 U x, s = d 2 x, s dx

Let x, s = Lux, t Then sx, s ? 0 = k U x, s , 0, s = ! f s . Solving this ODE in x, we find x, s = Ae ?x

s/ k

+ Be x

s/ k

x > 0.

We want x, s to remain bounded for all positive x, which requires that B = 0. Then the boundary condition at x=0 leads to

x, s = ! fs e ?x

s/ k

x > 0.

Then S.1 together with property 7 of the Laplace transform, gives ux, t = f D Kx, 6 = X
t 0
2 x e ?x /4kt?b fb db. 4^kt ? b 3

as the unique solution of the IBVP. Suppose now that we wish to compute the flux through x=0, Flux at 0 = ?k/ x u0, t . Differentiating the integral expression for u does not seem like a pleasant prospect. However, note that L?k/ x ux, t = ?k/ x x, s = Flux at 0 = ?k/ x u0, t = L ?1 ks ! fs e ?x ks ! f s .
s/ k

and

In order to use our inversion formulas, we write ks ! f s = k ! s f s s

and, recalling that f0 = 0, we have s ! fs = Lf v t . In addition, S.2 with k=0, gives L ?1 and so, Flux at 0 = L ?1 Note that if ft = At, then Flux at 0 = k t X ^ 0 A db = 2A kt ^ . t ? b k ! s f s s = k t X ^ 0 f v b db. t ? b 1 s = 1 ^t ,

Problem 1

Show that if vx, t solves / t vx, t = k / xx vx, t vx, 0 = 0, ?k/ x v0, t = gt , x > 0, t > 0, x > 0, t > 0,

then 4

v0, t = X

t 0

gb db, ^k t ? b v0, t = 2B

t > 0, t . ^k

and if gt = B, then

2. Consider the IBVP

x > 0, t > 0, / tt ux, t = a 2 / xx ux, t x > 0, ux, 0 = / t ux, 0 = 0, u0, t = ft , t > 0. Laplace transform in t. x > 0,

Let x, s = Lux, t Then s 2 x, s ? 0 = k U x, s , 0, s = ! f s .

Solving this ODE in x, we find a general solution of the form, x x x, s = Ae a s + Be ? a s , x x, s = ! f s e a s x x, s = ! f s e ? a s

and both

solve the transformed equation and the boundary condition at x=0. To see how to choose x the correct solution, recall that for x > 0, property 5 implies that ! fs e ? a s is the transform of x x > 0. On the other hand, ! fs e a s is the transform of ft ft delayed by the amount a x > 0. Another way to say this is to say advanced in time by the amount a x f s e ? a s ux, t = L ?1 ! x H t? x , = f t? a a

represents the wave form f6 propagating from L to R into the region x > 0 while x f s e a s ux, t = L ?1 ! x H t+ x = f t+ a a

represents the wave form f6 propagating from R to L out of the region x > 0 . Then the solution that is relevant for our problem is the wave that travels from L to R into the region x > 0 . 3. Consider the IBVP / t ux, t = K / xx ux, t ux, 0 = 0, u0, t = ft / x u1, t = 0

0 < x < 1, t > 0, 0 < x < 1, t > 0.

Here, we may use the Laplace transform, or if we prefer, we can use eigenfunction expansion after a suitable modification of the problem. We will solve the problem first by this means. Since the boundary conditions are not homogeneous, the method does not apply directly but if we let vx, t = ux, t ? ft then / t vx, t = / t ux, t ? f v t = K / xx ux, t ? f v t = K / xx vx, t ? f v t , vx, 0 = ux, 0 ? f0 = 0, v0, t = u0, t ? ft = 0, / x v1, t = / x u1, t = 0. Now the method of eigenfunction expansion applies directly to the problem for vx, t since the boundary conditions are homogeneous. Since v0, t = / x v1, t = 0, it follows that the eigenfunctions are the eigenfunctions of example 6.3, namely Vn = We write where n?
K 1 2 2

^2 = W2 n,

d n x = sin n ? and

1 2

^x = sin W n x,
K

n = 1, 2, ...

v x , t = > v n t d n x
n=1 1

f v t = f v t 1 = f v t > C n d n x ,
n=1 1 2 1 2

X sin n ? 1, d n Cn = = 10 d n , d n X sin 2 n ?
0

^xdx ^xdx

4 2 . = W n 2n ? 1 ^

Substituting these expansions into the IBVP for vx, t , we conclude that
v v vn t + KW 2 n v n t = ?f t C n ,

v n 0 = 0,

-n.

and

v n t = ?C n X e ?KW n t?s f v s ds.

2

For example, if ft = mt, then

t 2 2 n e ?KW n t ? 1 v n t = ?mC n X e ?KW n t?s ds. = mC2 0 KW n

and

2 n e ?KW n t ? 1 d n x , ux, t = ft + > mC2 n=1 KW n K 2 = mt + 2m > 13 e ?KW n t ? 1 d n x . K n=1 W n

Alternatively, we may use the Laplace transform to solve this same problem. Let x, s denote the Laplace transform of ux, t . Then,

s x, s ? 0 = Kx, s ,

0, s = ! fs , v 1, s = 0.

The general solution of the equation may be written as x, s = A exp ?x s/K + B exp x s/K ,

and then the boundary conditions lead to A= Then x, s = exp ?x ? 1 s/K exp ? s/K + exp s/K ! f s + exp ?1 ? x s/K exp ? s/K + exp s/K ! f s , exp exp ? s/K s/K + exp s/K ! f s , B= exp ? s/K exp ? s/K + exp s/K ! f s .

exp ?x s/K exp ?2 s/K

exp ?2 ? x s/K ! ! f s + f s , +1 exp ?2 s/K + 1

and since the formula for the sum of a geometric series implies that, 1 exp ?2 s/K this becomes = >?1 n exp ?2n s/K ,
n=0 K

+1

x , s = ! fs >?1 n exp ?x + 2n s/K

n=0

+! fs >?1 n exp 2n + 2 ? x s/K .

n=0

It follows from (S.1) that L ?1 exp ? x K s =

2 x exp ? x 4Kt 4^Kt 3

:= Gx, Kt,

t > 0,

Then, using property 7, we find

K K

ux, t = >?1 n X Gx + 2n, Kt ? b fb db + >?1 n X G2n + 2 ? x, Kt ? b fb db

n=0 0 n=0 0

= X Gx, Kt ? b fb db + X G2 ? x, Kt ? b fb db ? X Gx + 2, Kt ? b fb db
0 0 0

Notice that this representation for the solution looks nothing at all like the eigenfunction

expansion obtained previously. However, this problem has a unique solution so the two representations must produce identical results. What can, in fact, be seen is that since each representation involves an infinite series of which only a finite number of terms can actually be computed, each representation produces only an approximate solution. Moreover, it can be shown that the Laplace transform approximation is most accurate at small values of t while the eigenfunction expansion is more accurate as t grows large.

Appendix Some Laplace Transform Formulas We will derive some Laplace transform formulas which are useful in solving problems involving the heat equation. Lemma 1 If fs , then ft = L ?1 ! L ?1 ! f s =
K 1 X 0 z e ?z 2 /4t fz dz. 4^t 3

Proof- if the lemma holds, then

K ! f s = X e ?st 0 K 1 X 0 z e ?z 2 /4t fz dz dt 4^t 3

=X Let b=

K 0

1 fz X K z e ?z 2 /4t e ?st dt dz. 0 ^ 4t 3

Then

z dt z then db = ? 1 2 4t 4t 3 2 t = z 2 and as t goes from 0 to K, b goes from K to 0. 4b

K K 2 2 2 ! f s = X 1 fz X 2e ?z s/4b e ?b db dz 0 0 ^

2 X K f z ^ 0

^ ?z e 2

dz = X fz e ?z s dz.
0

Here we used the following result,

X 0 e ?z 2 s/4b 2 e ?b 2 db =

^ ?z s e .n 2

Applications of the Lemma We have that for ft = Nt ? a Then, by lemma 1,

! fs = e ?as .

L ?1 ! f s

= L ?1 e ?a

K 1 X 0 z e ?z 2 /4t Nz ? a dz 4^t 3

L ?1 e ?a

1 a e ?a 2 /4t 4^t 3

for a 0.

(A.1)

Now, if we integrate both sides of (A.1) with respect to the parameter a from b to K, L ?1 X e ?a s da
b K

K 1 X b a e ?a 2 /4t da, 4^t 3

we get L ?1 In particular, for b = 0, L ?1 1 s = 1 . ^t 1 e ?b s

s

1 e ?b 2 /4t , ^t

b 0.

(A.2)

Integrate both sides of (A.2) with respect to the parameter b from a to K, L ?1 X Let Y=
K a

1 e ?b s db s

1 X K e ?b 2 /4t db. ^t a

b 4t L ?1 X
K a

dY = db 4t 1 e ?b s db s
?a = L ?1 1 se s

so that

2 2 XK a e ?Y dY. ^ 4t

If we define then

erfcx =

2 X K e ?Y 2 dY, ^ x
?a L ?1 1 se s

= erfc

a 4t

(A.3)

Proceeding, we integrate both sides of (A.3) with respect to the parameter a from b to K, L ?1 X
K b

1 e ?a s da s

= X erfc
b

a 4t

da.

We let and then,

Y=

a 4t

dY = da 4t

L ?1 X That is,

K b

1 e ?a s da s

= L ?1

1 e ?b 3/2

4t X b erfcY dY. 4t b 4t (A.4)

L ?1 Here ierfcx = X erfcY dY x

K

1 e ?b s 3/2

4t ierfc

denotes the so called, iterated complementary error function. It can be shown that ierfcx = 1 e ?x 2 ? x erfcx . ^

so the iterated complementary error function can be expressed in terms of other functions. Finally, there are two Laplace transform pairs that are obtainable by elementary means: L ?1 and L ?1 1 ss + c e ?as ss + c
?ct = 1 c 1 ? e

?ct?a = 1 Ht ? a := F a t . c 1 ? e

Then lemma 1 implies L ?1 e ?a s s s + c = =

K 1 X 0 z e ?z 2 /4t F a z dz. 4^t 3

K 1 ?cz?a X a z e ?z 2 /4t 1 dz. c 1 ? e 3 4^ t

Then integration by parts leads to

2 ?cz?a X a z e ?z 2 /4t 1 dz = 2te ac X a e ?cz e ?z /4t dz c 1 ? e

so L ?1 e ?a s s s + c
ac K 2 = e X e ?cz e ?z /4t dz, ^t a

10

ac K 2 2 2 2 = e X e ?z +4zct+4c t /4t e ?c t dz, a ^t ac+ct K X a e ?z+2ct 2 /4t dz, = e ^t

2

= i.e., L ?1

2 e ac+ct 2 X K a ^ 4t
2

+c t

e ?Y dY

e ?a s s s + c

= e ac+ct erfc

a +c t 4t

11