Spectral theory of ordinary differential equations explained

In mathematics, the spectral theory of ordinary differential equations is the part of spectral theory concerned with the determination of the spectrum and eigenfunction expansion associated with a linear ordinary differential equation. In his dissertation, Hermann Weyl generalized the classical Sturm–Liouville theory on a finite closed interval to second order differential operators with singularities at the endpoints of the interval, possibly semi-infinite or infinite. Unlike the classical case, the spectrum may no longer consist of just a countable set of eigenvalues, but may also contain a continuous part. In this case the eigenfunction expansion involves an integral over the continuous part with respect to a spectral measure, given by the Titchmarsh–Kodaira formula. The theory was put in its final simplified form for singular differential equations of even degree by Kodaira and others, using von Neumann's spectral theorem. It has had important applications in quantum mechanics, operator theory and harmonic analysis on semisimple Lie groups.

Introduction

Spectral theory for second order ordinary differential equations on a compact interval was developed by Jacques Charles François Sturm and Joseph Liouville in the nineteenth century and is now known as Sturm–Liouville theory. In modern language, it is an application of the spectral theorem for compact operators due to David Hilbert. In his dissertation, published in 1910, Hermann Weyl extended this theory to second order ordinary differential equations with singularities at the endpoints of the interval, now allowed to be infinite or semi-infinite. He simultaneously developed a spectral theory adapted to these special operators and introduced boundary conditions in terms of his celebrated dichotomy between limit points and limit circles.

In the 1920s, John von Neumann established a general spectral theorem for unbounded self-adjoint operators, which Kunihiko Kodaira used to streamline Weyl's method. Kodaira also generalised Weyl's method to singular ordinary differential equations of even order and obtained a simple formula for the spectral measure. The same formula had also been obtained independently by E. C. Titchmarsh in 1946 (scientific communication between Japan and the United Kingdom had been interrupted by World War II). Titchmarsh had followed the method of the German mathematician Emil Hilb, who derived the eigenfunction expansions using complex function theory instead of operator theory. Other methods avoiding the spectral theorem were later developed independently by Levitan, Levinson and Yoshida, who used the fact that the resolvent of the singular differential operator could be approximated by compact resolvents corresponding to Sturm–Liouville problems for proper subintervals. Another method was found by Mark Grigoryevich Krein; his use of direction functionals was subsequently generalised by Izrail Glazman to arbitrary ordinary differential equations of even order.

Weyl applied his theory to Carl Friedrich Gauss's hypergeometric differential equation, thus obtaining a far-reaching generalisation of the transform formula of Gustav Ferdinand Mehler (1881) for the Legendre differential equation, rediscovered by the Russian physicist Vladimir Fock in 1943, and usually called the Mehler–Fock transform. The corresponding ordinary differential operator is the radial part of the Laplacian operator on 2-dimensional hyperbolic space. More generally, the Plancherel theorem for SL(2,R) of Harish Chandra and Gelfand–Naimark can be deduced from Weyl's theory for the hypergeometric equation, as can the theory of spherical functions for the isometry groups of higher dimensional hyperbolic spaces. Harish Chandra's later development of the Plancherel theorem for general real semisimple Lie groups was strongly influenced by the methods Weyl developed for eigenfunction expansions associated with singular ordinary differential equations. Equally importantly the theory also laid the mathematical foundations for the analysis of the Schrödinger equation and scattering matrix in quantum mechanics.

Solutions of ordinary differential equations

See main article: Ordinary differential equations.

Reduction to standard form

Let be the second order differential operator on given by$$Df(x)\; =\; -p(x)\; f$$(x) + r(x) f'(x) + q(x) f(x),where is a strictly positive continuously differentiable function and and are continuous real-valued functions.

For in, define the Liouville transformation by$$\backslash psi(x)\; =\; \backslash int\_^x\; p(t)^\backslash ,\; dt$$

If$$U:\; L^2(a,\; b)\; \backslash mapsto\; L^2(\backslash psi(a),\; \backslash psi(b))$$is the unitary operator defined by$$(Uf)(\backslash psi(x))\; =\; f(x)\; \backslash times\; \backslash left(\backslash psi\text{'}(x)\backslash right)^,\backslash \; \backslash \; \backslash forall\; x\; \backslash in\; (a,\; b)$$then$$U\; \backslash frac\; U^\; g\; =\; g\text{'}\; \backslash psi\text{'}\; +\; \backslash frac\; 1\; 2\; g\; \backslash frac$$and \psi'^2 + 2 g' \psi + \frac 12 g \cdot \left[\frac{\psi'''}{\psi'} - \frac 1 2 \frac {\psi''^2}{\psi'^2} \right]\end

Hence,$$UDU^\; g=\; -g$$ + R g' + Q g,where$$R\; =\; \backslash frac$$and$$Q\; =\; q\; -\; \backslash frac\; +\; \backslash frac\; 4\; -\; \backslash frac$$

The term in can be removed using an Euler integrating factor. If, then satisfies$$(S\; U\; D\; U^\; S^)\; h\; =\; -h$$ + V h,where the potential V is given by$$V\; =\; Q\; +\; \backslash frac$$

The differential operator can thus always be reduced to one of the form $$Df\; =\; -\; f$$ + qf.

Existence theorem

The following is a version of the classical Picard existence theorem for second order differential equations with values in a Banach space .

Let, be arbitrary elements of, a bounded operator on and a continuous function on .

Then, for or, the differential equation$$D\; f\; =\; A\; f$$has a unique solution in satisfying the initial conditions$$f(c)\; =\; \backslash beta\; \backslash ,,\; \backslash ;\; f\text{'}(c)\; =\; \backslash alpha.$$

In fact a solution of the differential equation with these initial conditions is equivalent to a solutionof the integral equation$$f\; =\; h\; +\; T\; f$$with the bounded linear map on defined by$$Tf(x)\; =\; \backslash int\_c^x\; K(x,y)f(y)\; \backslash ,\; dy,$$where is the Volterra kernel$$K(x,\; t)\; =\; (x\; -\; t)\; (q(t)\; -\; A)$$and$$h(x)\; =\; \backslash alpha\; (x\; -\; c)\; +\; \backslash beta.$$

Since tends to 0, this integral equation has a unique solution given by the Neumann series$$f\; =\; (I\; -\; T)^\; h\; =\; h\; +\; T\; h\; +\; T^2\; h\; +\; T^3\; h\; +\; \backslash cdots$$

This iterative scheme is often called Picard iteration after the French mathematician Charles Émile Picard.

Fundamental eigenfunctions

If is twice continuously differentiable (i.e.) on satisfying, then is called an eigenfunction of with eigenvalue .

• In the case of a compact interval and continuous on, the existence theorem implies that for or and every complex number there a unique eigenfunction on with and prescribed. Moreover, for each in, and are holomorphic functions of .
• For an arbitrary interval and continuous on, the existence theorem implies that for in and every complex number there a unique eigenfunction on with and prescribed. Moreover, for each in, and are holomorphic functions of .

Green's formula

If and are functions on, the Wronskian is defined by$$W(f,\; g)\; (x)\; =\; f(x)\; g\text{'}(x)\; -\; f\text{'}(x)\; g(x).$$

Green's formula - which in this one-dimensional case is a simple integration by parts - states that for, in $$\backslash int\_x^y\; (Df)\; g\; -\; f\; (Dg)\; \backslash ,\; dt\; =\; W(f,g)(y)\; -\; W(f,g)(x).$$

When is continuous and, are on the compact interval, this formula also holds for or .

When and are eigenfunctions for the same eigenvalue, then$$\backslash frac\; W(f,g)\; =\; 0,$$so that is independent of .

Classical Sturm–Liouville theory

See main article: Sturm–Liouville theory. Let be a finite closed interval, a real-valued continuous function on and let be the space of functions on satisfying the Robin boundary conditions$$\backslash begin\; \backslash cos\; \backslash alpha\; \backslash ,f(a)\; -\; \backslash sin\; \backslash alpha\; \backslash ,f\text{'}(a)=0,\; \backslash \backslash [0.5ex]\; \backslash cos\; \backslash beta\; \backslash ,f(b)\; -\; \backslash sin\; \backslash beta\; \backslash ,\; f\text{'}(b)=0,\backslash end$$with inner product$$(f,g)\; =\; \backslash int\_a^b\; f(x)\; \backslash overline\; \backslash ,\; dx.$$

In practice usually one of the two standard boundary conditions:

is imposed at each endpoint .

The differential operator given by$$Df\; =\; -f$$ + qf acts on . A function in is called an eigenfunction of (for the above choice of boundary values) if for some complex number, the corresponding eigenvalue. By Green's formula, is formally self-adjoint on, since the Wronskian vanishes if both, satisfy the boundary conditions:$$(Df,\; g)\; =\; (f,\; Dg),\; \backslash quad\; \backslash text\; f,\; g\; \backslash in\; H\_0.$$

As a consequence, exactly as for a self-adjoint matrix in finite dimensions,

• the eigenvalues of are real;
• the eigenspaces for distinct eigenvalues are orthogonal.

It turns out that the eigenvalues can be described by the maximum-minimum principle of Rayleigh–Ritz (see below). In fact it is easy to see a priori that the eigenvalues are bounded below because the operator is itself bounded below on :

In fact, integrating by parts,$$(Df,f)\; =\; \backslash left[-f\text{'}\; \backslash overline\{f\}\backslash right]\_a^b\; +\; \backslash int\; |f\text{'}|^2\; +\; \backslash int\; q\; |f|^2.$$

For Dirichlet or Neumann boundary conditions, the first term vanishes and the inequality holds with .

For general Robin boundary conditions the first term can be estimated using an elementary Peter-Paul version of Sobolev's inequality:

"Given, there is constant such that for all in ."

In fact, since$$|f(b)\; -\; f(x)|\; \backslash leq\; (b-a)^\; \backslash cdot\; \backslash |\; f\text{'}\; \backslash |\_2,$$only an estimate for is needed and this follows by replacing in the above inequality by for sufficiently large.

Green's function (regular case)

From the theory of ordinary differential equations, there are unique fundamental eigenfunctions, such that

• ,,
• ,,

which at each point, together with their first derivatives, depend holomorphically on . Let$$\backslash omega(\backslash lambda)\; =\; W(\backslash phi\_\backslash lambda,\; \backslash chi\_\backslash lambda),$$be an entire holomorphic function.

This function plays the role of the characteristic polynomial of . Indeed, the uniqueness of the fundamental eigenfunctions implies that its zeros are precisely the eigenvalues of and that each non-zero eigenspace is one-dimensional. In particular there are at most countably many eigenvalues of and, if there are infinitely many, they must tend to infinity. It turns out that the zeros of also have mutilplicity one (see below).

If is not an eigenvalue of on, define the Green's function by

This kernel defines an operator on the inner product space via$$(G\_\backslash lambda\; f)(x)\; =\backslash int\_a^b\; G\_\backslash lambda(x,y)\; f(y)\backslash ,\; dy.$$

Since is continuous on, it defines a Hilbert–Schmidt operator on the Hilbert space completion of (or equivalently of the dense subspace), taking values in . This operator carries into . When is real, is also real, so defines a self-adjoint operator on . Moreover,

• on
• carries into, and on .

Thus the operator can be identified with the resolvent .

Spectral theorem

In fact let for large and negative. Then defines a compact self-adjoint operator on the Hilbert space .By the spectral theorem for compact self-adjoint operators, has an orthonormal basis consisting of eigenvectors of with, where tends to zero. The range of contains so is dense. Hence 0 is not an eigenvalue of . The resolvent properties of imply that lies in and that$$D\; \backslash psi\_n\; =\; \backslash left(\backslash lambda\; +\; \backslash frac\backslash right)\; \backslash psi\_n$$

The minimax principle follows because if$$\backslash lambda(G)\; =\; \backslash min\_\; \backslash frac,$$then for the linear span of the first eigenfunctions. For any other -dimensional subspace, some in the linear span of the first eigenvectors must be orthogonal to . Hence .

Wronskian as a Fredholm determinant

For simplicity, suppose that on with Dirichlet boundary conditions. The minimax principle shows that$$n^2\; +\; m\; \backslash le\; \backslash lambda\_n(D)\; \backslash le\; n^2\; +\; M.$$

It follows that the resolvent is a trace-class operator whenever is not an eigenvalue of and hence that the Fredholm determinant is defined.

The Dirichlet boundary conditions imply that$$\backslash omega(\backslash lambda)\; =\; \backslash phi\_\backslash lambda(b).$$

Using Picard iteration, Titchmarsh showed that, and hence, is an entire function of finite order :$$\backslash omega(\backslash lambda)\; =\; \backslash mathcal\; O\backslash left(e^\backslash right)$$

At a zero of, . Moreover,$$\backslash psi(x)=\backslash partial\_\backslash lambda\; \backslash varphi\_\backslash lambda(x)|\_$$satisfies . Thus$$\backslash omega(\backslash lambda)\; =\; (\backslash lambda\; -\; \backslash mu)\; \backslash psi(b)\; +\; \backslash mathcal\; O((\backslash lambda\; -\; \backslash mu)^2)$$

This implies that

For otherwise, so that would have to lie in . But then$$(\backslash phi\_\backslash mu,\; \backslash phi\_\backslash mu)\; =\; ((D\; -\; \backslash mu)\backslash psi,\; \backslash phi\_\backslash mu)\; =\; (\backslash psi,\; (D\; -\; \backslash mu)\; \backslash phi\_\backslash mu)\; =\; 0,$$a contradiction.

On the other hand, the distribution of the zeros of the entire function ω(λ) is already known from the minimax principle.

By the Hadamard factorization theorem, it follows that$$\backslash omega(\backslash lambda)\; =\; C\; \backslash prod\; (1\; -\backslash lambda/\backslash lambda\_n),$$for some non-zero constant .

Hence$$\backslash det\; (I\; -\; \backslash mu(D\; -\; \backslash lambda)^)\; =\; \backslash prod\; \backslash left(1\; -\; \backslash right)\; =\; \backslash prod\; =\; .$$

In particular if 0 is not an eigenvalue of $$\backslash omega(\backslash mu)\; =\; \backslash omega(0)\; \backslash cdot\; \backslash det\; (I\; -\; \backslash mu\; D^)\; .$$

Tools from abstract spectral theory

Functions of bounded variation

See also: Bounded variation, Lebesgue–Stieltjes integration and Riesz representation theorem. A function of bounded variation on a closed interval is a complex-valued function such that its total variation, the supremum of the variations$$\backslash sum\_^\; |\backslash rho(x\_)\; -\; \backslash rho(x\_r)|$$over all dissectionsis finite. The real and imaginary parts of are real-valued functions of bounded variation. If is real-valued and normalised so that, it has a canonical decomposition as the difference of two bounded non-decreasing functions:$$\backslash rho(x)\; =\; \backslash rho\_+(x)\; -\; \backslash rho\_-(x),$$where and are the total positive and negative variation of over .

If is a continuous function on its Riemann–Stieltjes integral with respect to $$\backslash int\_a^b\; f(x)\backslash ,\; d\backslash rho(x)$$is defined to be the limit of approximating sums$$\backslash sum\_^\; f(x\_r)(\backslash rho(x\_)-\backslash rho(x\_r))$$as the mesh of the dissection, given by, tends to zero.

This integral satisfies$$\backslash left|\backslash int\_a^b\; f(x)\backslash ,\; d\backslash rho(x)\backslash right|\backslash le\; V(\backslash rho)\backslash cdot\; \backslash |f\backslash |\_\backslash infty$$

and thus defines a bounded linear functional on with norm .

Every bounded linear functional on has an absolute value |μ| defined for non-negative by$$|\backslash mu|(f)\; =\; \backslash sup\_\; |\backslash mu(g)|.$$

The form extends linearly to a bounded linear form on with norm and satisfies the characterizing inequality$$|\backslash mu(f)|\; \backslash leq\; |\backslash mu|\; (|f|)$$for in . If is real, i.e. is real-valued on real-valued functions, then$$\backslash mu\; =\; |\backslash mu|\; -\; (|\backslash mu|\; -\backslash mu)\backslash equiv\; \backslash mu\_+-\backslash mu\_-$$gives a canonical decomposition as a difference of positive forms, i.e. forms that are non-negative on non-negative functions.

Every positive form extends uniquely to the linear span of non-negative bounded lower semicontinuous functions by the formula$$\backslash mu(g)\; =\; \backslash lim\; \backslash mu(f\_n),$$where the non-negative continuous functions increase pointwise to .

The same therefore applies to an arbitrary bounded linear form, so that a function of bounded variation may be defined by$$\backslash rho(x)\; =\; \backslash mu(\backslash chi\_),$$where denotes the characteristic function of a subset of . Thus and .Moreover and .

This correspondence between functions of bounded variation and bounded linear forms is a special case of the Riesz representation theorem.

The support of is the complement of all points in where is constant on some neighborhood of ; by definition it is a closed subset of . Moreover,, so that if vanishes on .

Spectral measure

See also: Spectral theorem and Projection-valued measure. Let be a Hilbert space and

T a self-adjoint bounded operator on with 0 \leq T \leq I , so that the spectrum \sigma(T) of T is contained in [ 0 , 1 ] . If p(t) is a complex polynomial, then by the spectral mapping theorem$$\backslash sigma\; (p(T))\; =\; p\; (\backslash sigma(T))$$and hence$$\backslash |p(T)\backslash |\; \backslash leq\; \backslash |p\backslash |\_\backslash infty$$where \| ⋅ \| _{infty} denotes the uniform norm on . By the Weierstrass approximation theorem, polynomials are uniformly dense in . It follows that f(T) can be defined \forall f \in C[ 0 , 1 ] , with$$\backslash sigma\; (f(T))\; =\; f(\backslash sigma(T))$$ and $$\backslash |\; f(T)\; \backslash |\; \backslash leq\; \backslash |f\backslash |\_\backslash infty.$$

If

0 \leq g \leq 1 is a lower semicontinuous function on, for example the characteristic function \chi _{[0,\alpha]} of a subinterval of, theng is a pointwise increasing limit of non-negative f _{n} \in C[ 0 , 1 ] .

If

\xi is a vector in, then the vectors$$\backslash eta\_n\; =\; f\_n(T)\backslash xi$$form a Cauchy sequence in, since, for n \geq m ,$$\backslash |\backslash eta\_n-\backslash eta\_m\backslash |^2\; \backslash le\; (\backslash eta\_n,\backslash xi)\; -\; (\backslash eta\_m,\backslash xi),$$and ( η _{n,} \xi) = (f _{n(T)\xi,} \xi) is bounded and increasing, so has a limit.

It follows that

g(T) can be defined by$$g(T)\backslash xi\; =\; \backslash lim\; f\_n(T)\backslash xi.$$

If

\xi and are vectors in, then$$\backslash mu\_(f)\; =\; (f(T)\; \backslash xi,\backslash eta)$$defines a bounded linear form \mu _{\xi,} on . By the Riesz representation theorem$$\backslash mu\_\; =\; d\backslash rho\_$$for a unique normalised function \rho _{\xi,} of bounded variation on .d\rho _{\xi,} (or sometimes slightly incorrectly \rho _{\xi,} itself) is called the spectral measure determined by \xi and .

The operator

g(T) is accordingly uniquely characterised by the equation$$(g(T)\backslash xi,\backslash eta)\; =\; \backslash mu\_(g)\; =\; \backslash int\_0^1\; g(\backslash lambda)\; \backslash ,\; d\backslash rho\_(\backslash lambda).$$E( λ ) is defined by$$E(\backslash lambda)\; =\; \backslash chi\_(T),$$so that$$\backslash rho\_(\backslash lambda)\; =\; (E(\backslash lambda)\backslash xi,\backslash eta).$$

It follows that$$g(T)\; =\; \backslash int\_0^1\; g(\backslash lambda)\; \backslash ,\; dE(\backslash lambda),$$which is understood in the sense that for any vectors

\xi and η ,$$(g(T)\backslash xi,\backslash eta)\; =\; \backslash int\_0^1\; g(\backslash lambda)\backslash ,\; d(E(\backslash lambda)\backslash xi,\backslash eta)\; =\; \backslash int\_0^1\; g(\backslash lambda)\backslash ,\; d\backslash rho\_\; (\backslash lambda).$$

For a single vector

\xi, \mu _{\xi} = \mu _{\xi,} is a positive form on (in other words proportional to a probability measure on) and \rho _{\xi} = \rho _{\xi,} is non-negative and non-decreasing. Polarisation shows that all the forms \mu _{\xi,} can naturally be expressed in terms of such positive forms, since$$\backslash mu\_\; =\; \backslash frac\backslash left(\backslash mu\_+i\backslash mu\_-\backslash mu\_-i\backslash mu\_\backslash right)$$

If the vector

\xi is such that the linear span of the vectors (T ^{n\xi)} is dense in, i.e. \xi is a cyclic vector for T , then the map U defined by$$U(f)\; =\; f(T)\backslash xi,\; \backslash ,\; C[0,1]\; \backslash rightarrow\; H$$satisfies$$(Uf\_1,Uf\_2)=\; \backslash int\_0^1\; f\_1(\backslash lambda)\; \backslash overline\; \backslash ,\; d\backslash rho\_\backslash xi(\backslash lambda).$$

Let

L _{2([0,1],} d\rho _{\xi)} denote the Hilbert space completion of C[ 0 , 1 ] associated with the possibly degenerate inner product on the right hand side. Thus U extends to a unitary transformation of L _{2([0,1],} \rho _{\xi)} onto . U T U ^{\ast} is then just multiplication by λ on L _{2([0,1],} d\rho _{\xi)} ; and more generally U f(T) U ^{\ast} is multiplication by f( λ ) . In this case, the support of d\rho _{\xi} is exactly \sigma(T) , so that

Weyl–Titchmarsh–Kodaira theory

The eigenfunction expansion associated with singular differential operators of the form$$Df\; =\; -(pf\text{'})\text{'}\; +\; qf$$on an open interval requires an initial analysis of the behaviour of the fundamental eigenfunctions near the endpoints and to determine possible boundary conditions there. Unlike the regular Sturm–Liouville case, in some circumstances spectral values of can have multiplicity 2. In the development outlined below standard assumptions will be imposed on and that guarantee that the spectrum of has multiplicity one everywhere and is bounded below. This includes almost all important applications; modifications required for the more general case will be discussed later.

Having chosen the boundary conditions, as in the classical theory the resolvent of, for large and positive, is given by an operator corresponding to a Green's function constructed from two fundamental eigenfunctions. In the classical case was a compact self-adjoint operator; in this case is just a self-adjoint bounded operator with . The abstract theory of spectral measure can therefore be applied to to give the eigenfunction expansion for .

The central idea in the proof of Weyl and Kodaira can be explained informally as follows. Assume that the spectrum of lies in and that and let$$E(\backslash lambda)\; =\; \backslash chi\_(T)$$be the spectral projection of corresponding to the interval . For an arbitrary function define$$f(x,\backslash lambda)\; =\; (E(\backslash lambda)f)(x).$$ may be regarded as a differentiable map into the space of functions of bounded variation ρ; or equivalently as a differentiable map$$x\backslash mapsto\; (d\_\backslash lambda\; f)(x)$$into the Banach space of bounded linear functionals on whenever is a compact subinterval of .

Weyl's fundamental observation was that satisfies a second order ordinary differential equation taking values in :$$D\; (d\_\backslash lambda\; f)\; =\; \backslash lambda\; \backslash cdot\; d\_\backslash lambda\; f.$$

After imposing initial conditions on the first two derivatives at a fixed point, this equation can be solved explicitly in terms of the two fundamental eigenfunctions and the "initial value" functionals$$(d\_\backslash lambda\; f)(c)\; =\; d\_\backslash lambda\; f(c,\backslash cdot),\; \backslash quad\; (d\_\backslash lambda\; f)^\backslash prime(c)\; =\; d\_\backslash lambda\; f\_x(c,\backslash cdot).$$

This point of view may now be turned on its head: and may be written as$$f(c,\backslash lambda)\; =\; (f,\backslash xi\_1(\backslash lambda)),\; \backslash quad\; f\_x(c,\backslash lambda)\; =\; (f,\backslash xi\_2(\backslash lambda)),$$where and are given purely in terms of the fundamental eigenfunctions.The functions of bounded variation$$\backslash sigma\_(\backslash lambda)\; =\; (\backslash xi\_i(\backslash lambda),\backslash xi\_j(\backslash lambda))$$determine a spectral measure on the spectrum of and can be computed explicitly from the behaviour of the fundamental eigenfunctions (the Titchmarsh–Kodaira formula).

Limit circle and limit point for singular equations

Let be a continuous real-valued function on and let be the second order differential operator$$Df\; =\; -f$$ + qfon . Fix a point in and, for complex, let

\varphi _{λ,} \theta _{λ} be the unique fundamental eigenfunctions of on satisfying$$(D-\backslash lambda)\backslash varphi\_\backslash lambda\; =\; 0,\; \backslash quad\; (D-\backslash lambda)\backslash theta\_\backslash lambda\; =0$$together with the initial conditions at $$\backslash varphi\_\backslash lambda(c)\; =\; 1,\backslash ,\; \backslash varphi\_\backslash lambda\text{'}(c)\; =\; 0,\; \backslash ,\; \backslash theta\_\backslash lambda(c)\; =\; 0,\; \backslash ,\; \backslash theta\_\backslash lambda\text{'}(c)\; =\; 1.$$

Then their Wronskian satisfies$$W(\backslash varphi\_\backslash lambda,\backslash theta\_\backslash lambda)\; =\; \backslash varphi\_\backslash lambda\backslash theta\_\backslash lambda\text{'}-\; \backslash theta\_\backslash lambda\; \backslash varphi\_\backslash lambda\text{'}\; \backslash equiv\; 1,$$

since it is constant and equal to 1 at .

Let be non-real and . If the complex number

\mu is such that f = \varphi + \mu \theta satisfies the boundary condition \cos\beta f(x) - \sin\beta f'(x) = 0 for some \beta (or, equivalently, f'(x) / f(x) is real) then, using integration by parts, one obtains$$\backslash operatorname(\backslash lambda)\; \backslash int\_c^x\; |\backslash varphi\; +\backslash mu\; \backslash theta|^2\; =\; \backslash operatorname(\backslash mu).$$

Therefore, the set of satisfying this equation is not empty. This set is a circle in the complex -plane. Points in its interior are characterized byif and byif .

Let be the closed disc enclosed by the circle. By definition these closed discs are nested and decrease as approaches or . So in the limit, the circles tend either to a limit circle or a limit point at each end. If

\mu is a limit point or a point on the limit circle at or, then f = \varphi + \mu\theta is square integrable near or, since \mu lies in for all (in the ∞ case) and so \int ^{x} _{c} | \varphi + \mu \theta| ^{2} < { \operatorname{Im}(\mu) \over \operatorname{Im}( λ )} is bounded independent of . In particular:^[1]

• there are always non-zero solutions of which are square integrable near resp. ;
• in the limit circle case all solutions of are square integrable near resp. .

The radius of the disc can be calculated to be $$\backslash left|\backslash right|$$and this implies that in the limit point case

\theta cannot be square integrable near resp. . Therefore, we have a converse to the second statement above:

• in the limit point case there is exactly one non-zero solution (up to scalar multiples) of Df = λf which is square integrable near resp. .

On the other hand, if for another value, then$$h(x)\; =\; g(x)\; -(\backslash lambda^\backslash prime-\backslash lambda)\; \backslash int\_c^x\; (\backslash varphi\_\backslash lambda(x)\; \backslash theta\_\backslash lambda(y)\; -\; \backslash theta\_\backslash lambda(x)\backslash varphi\_\backslash lambda(y))g(y)\backslash ,\; dy$$satisfies, so that$$g(x)=\; c\_1\; \backslash varphi\_\backslash lambda\; +\; c\_2\; \backslash theta\_\backslash lambda\; +\; (\backslash lambda^\backslash prime-\backslash lambda)\; \backslash int\_c^x\; (\backslash varphi\_\backslash lambda(x)\; \backslash theta\_\backslash lambda(y)\; -\; \backslash theta\_\backslash lambda(x)\backslash varphi\_\backslash lambda(y))g(y)\backslash ,\; dy.$$

This formula may also be obtained directly by the variation of constant method from .Using this to estimate, it follows that^[1]

• the limit point/limit circle behaviour at or is independent of the choice of .

More generally if for some function, then$$g(x)=c\_1\; \backslash varphi\_\backslash lambda\; +\; c\_2\; \backslash theta\_\backslash lambda\; -\; \backslash int\_c^x\; (\backslash varphi\_\backslash lambda(x)\; \backslash theta\_\backslash lambda(y)\; -\; \backslash theta\_\backslash lambda(x)\; \backslash varphi\_\backslash lambda(y))\; r(y)\; g(y)\backslash ,\; dy.$$

From this it follows that

• if is continuous at, then is limit point or limit circle at precisely when is,

so that in particular

• if is continuous at, then is limit point at if and only if .

Similarly

• if has a finite limit at, then is limit point or limit circle at precisely when is,

so that in particular

• if has a finite limit at, then is limit point at .

Many more elaborate criteria to be limit point or limit circle can be found in the mathematical literature.

Green's function (singular case)

Consider the differential operator$$D\_0\; f\; =\; -(p\_0\; f\text{'})\text{'}\; +\; q\_0\; f$$on with positive and continuous on and continuously differentiable in, positive in and .

Moreover, assume that after reduction to standard form becomes the equivalent operator$$Df=\; -f$$ + qfon where has a finite limit at . Thus

• is limit point at .

At 0, may be either limit circle or limit point. In either case there is an eigenfunction with and square integrable near . In the limit circle case, determines a boundary condition at :$$W(f,\backslash Phi\_0)(0)\; =\; 0.$$

For complex, let and satisfy

• ,
• square integrable near infinity
• square integrable at if is limit point
• satisfies the boundary condition above if is limit circle.

Let$$\backslash omega(\backslash lambda)\; =\; W(\backslash Phi\_\backslash lambda,\backslash Chi\_\backslash lambda),$$a constant which vanishes precisely when and are proportional, i.e. is an eigenvalue of for these boundary conditions.

On the other hand, this cannot occur if or if is negative.^[1]

Indeed, if with, then by Green's formula, since is constant. So must be real. If is taken to be real-valued in the realization, then for $$[p\_0\; f\; f\text{'}]\_x^y\; =\; \backslash int\_x^y\; (q\_0\; -\backslash lambda)|f|^2\; +\; p\_0\; (f\text{'})^2\; .$$

Since and is integrable near, must vanish at . Setting, it follows that, so that is increasing, contradicting the square integrability of near .

Thus, adding a positive scalar to, it may be assumed that at is defined byand is independent of the choice of and .

In the examples there will be a third "bad" eigenfunction defined and holomorphic for not in such that satisfies the boundary conditions at neither nor . This means that for not in

• is nowhere vanishing;
• is nowhere vanishing.

In this case is proportional to, where$$m(\backslash lambda)\; =\; -\; W(\backslash Phi\_\backslash lambda,\; \backslash Chi\_\backslash lambda)\; /\; W(\backslash Psi\_\backslash lambda,\; \backslash Chi\_\backslash lambda).$$

Let be the space of square integrable continuous functions on and let be

• the space of functions on of compact support if is limit point at
• the space of functions on with at and with near if is limit circle at .

Define by$$(Tf)(x)\; =\backslash int\_0^\backslash infty\; G\_0(x,y)f(y)\; \backslash ,\; dy.$$

Then on, on and the operator is bounded below on :$$(Df,f)\; \backslash ge\; (f,f).$$

Thus is a self-adjoint bounded operator with .

Formally . The corresponding operators defined for not in can be formally identified with$$(D-\backslash lambda)^\; =\; T(I-\backslash lambda\; T)^$$and satisfy on, on .

Spectral theorem and Titchmarsh–Kodaira formula

Kodaira gave a streamlined version^[2] of Weyl's original proof.^[1] (M.H. Stone had previously shown how part of Weyl's work could be simplified using von Neumann's spectral theorem.)

In fact for with, the spectral projection of is defined by$$E(\backslash lambda)\; =\backslash chi\_(T)$$

It is also the spectral projection of corresponding to the interval .

For in define$$f(x,\backslash lambda)\; =\; (E(\backslash lambda)f)(x).$$

may be regarded as a differentiable map into the space of functions of bounded variation; or equivalently as a differentiable map$$x\; \backslash mapsto\; (d\_\backslash lambda\; f)(x)$$into the Banach space of bounded linear functionals on for any compact subinterval of .

The functionals (or measures) satisfies the following -valued second order ordinary differential equation:$$D\; (d\_\backslash lambda\; f)\; =\; \backslash lambda\; \backslash cdot\; d\_\backslash lambda\; f,$$with initial conditions at in $$(d\_\backslash lambda\; f)(c)=\; d\_\backslash lambda\; f(c,\backslash cdot)=\backslash mu^,\; \backslash quad\; (d\_\backslash lambda\; f)^\backslash prime(c)=\; d\_\backslash lambda\; f\_x(c,\backslash cdot)=\backslash mu^.$$

If and are the special eigenfunctions adapted to, then$$d\_\backslash lambda\; f\; (x)\; =\; \backslash varphi\_\backslash lambda(x)\; \backslash mu^\; +\; \backslash chi\_\backslash lambda(x)\; \backslash mu^.$$

Moreover,$$\backslash mu^=\; d\_\backslash lambda\; (f,\backslash xi^\_\backslash lambda),$$where$$\backslash xi^\_\backslash lambda\; =\; D\; E(\backslash lambda)\; \backslash eta^,$$with

Direct calculation shows that$$(\backslash eta\_z^,\backslash eta\_z^)\; =\; \backslash operatorname\; M\_(z)/\; \backslash operatorname\; z,$$where the so-called is given by$$M\_(z)=\; \backslash frac,\backslash ,\backslash ,\; M\_(z)\; =\; M\_(z)\; =\; \backslash frac,\; \backslash ,\backslash ,\; M\_(z)\; =\; \backslash frac.$$

Hence$$\backslash int\_^\backslash infty\; (\backslash operatorname\; z)\backslash cdot|\backslash lambda-z|^\backslash ,\; d\backslash sigma\_(\backslash lambda)\; =\; \backslash operatorname\; M\_(z),$$which immediately implies$$\backslash sigma\_(\backslash lambda)\; =\; \backslash lim\_\; \backslash lim\_\; \backslash int\_\backslash delta^\; \backslash operatorname\; M\_(t\; +i\backslash varepsilon)\backslash ,\; dt.$$(This is a special case of the "Stieltjes inversion formula".)

Setting and, it follows that$$(E(\backslash mu)f)(x)\; =\; \backslash sum\_\backslash int\_0^\backslash mu\; \backslash int\_0^\backslash infty\backslash psi^\_\backslash lambda(x)\backslash psi^\_\backslash lambda(y)\; f(y)\; \backslash ,\; dy\; \backslash ,\; d\backslash sigma\_(\backslash lambda)\; =\; \backslash int\_0^\backslash mu\; \backslash int\_0^\backslash infty\backslash Phi\_\backslash lambda(x)\; \backslash Phi\_\backslash lambda(y)\; f(y)\backslash ,\; dy\; \backslash ,\; d\backslash rho(\backslash lambda).$$

This identity is equivalent to the spectral theorem and Titchmarsh–Kodaira formula.

Application to the hypergeometric equation

See also: Legendre equation and Hypergeometric equation. The Mehler–Fock transform concerns the eigenfunction expansion associated with the Legendre differential operator $$Df\; =\; -((x^2-1)\; f\text{'})\text{'}\; =-(x^2-1)f$$ -2x f' on . The eigenfunctions are the Legendre functions$$P\_(\backslash cosh\; r)\; =\; \backslash int\_0^\; \backslash left(\backslash right)^\backslash ,\; d\backslash theta$$with eigenvalue . The two Mehler–Fock transformations are$$Uf(\backslash lambda)\; =\; \backslash int\_1^\backslash infty\; f(x)\backslash ,\; P\_(x)\; \backslash ,\; dx$$and$$U^g(x)=\backslash int\_0^\backslash infty\; g(\backslash lambda)\; \backslash ,\; \backslash tanh\; \backslash pi\; \backslash sqrt\backslash ,d\backslash lambda.$$

(Often this is written in terms of the variable .)

Mehler and Fock studied this differential operator because it arose as the radial component of the Laplacian on 2-dimensional hyperbolic space. More generally, consider the group consisting of complex matrices of the form

with determinant .

Application to the hydrogen atom

See also: Hydrogen atom.

Generalisations and alternative approaches

A Weyl function can be defined at a singular endpoint giving rise to a singular version of Weyl–Titchmarsh–Kodaira theory. this applies for example to the case of radial Schrödinger operators$$Df\; =\; -f$$ + \frac f+ V(x) f, \qquad x\in(0,\infty)

The whole theory can also be extended to the case where the coefficients are allowed to be measures.

Gelfand–Levitan theory

See also: Inverse scattering theory.

References

Bibliography

• • • • • • • • • • • • • Book: A.N.. Kolmogorov. S.V.. Fomin. Introductory Real Analysis. 978-0-486-61226-3 . Dover. 1975 . registration .
          • Book: Frigyes . Riesz . Béla . Szőkefalvi-Nagy . Functional Analysis . 1990 . Dover Publications . 0-486-66289-6 .
    • Book: Teschl, Gerald. Gerald Teschl. Mathematical Methods in Quantum Mechanics; With Applications to Schrödinger Operators. AMS Graduate Studies in Mathematics. 99. 2009. 978-0-8218-4660-5.
• Book: Teschl, Gerald. Gerald Teschl. Ordinary Differential Equations and Dynamical Systems. AMS Graduate Studies in Mathematics. 140. 2012. 978-0-8218-8328-0.
  • • • • Book: Vilenkin, Naoum Iakovlevitch. Special Functions and the Theory of Group Representations . Translations of Mathematical Monographs. 22. 1968. . 978-0-8218-1572-4.
• Book: Weidmann, Joachim. 1987. Spectral Theory of Ordinary Differential Operators . Lecture Notes in Mathematics. 1258. Springer-Verlag. 978-0-387-17902-5.

Notes and References

1. .

2. for omitted details, see