4

Special Functions

4.1 Legendre Equation

In this chapter we discuss some special types of ODEs whose series solutions give
rise to the special functions. First, we consider the Legendre equation in its general
form. It is
(1 − 𝑥 2 )𝑦 �� − 2𝑥𝑦 � + 𝑝 (𝑝 + 1)𝑦 = 0 for |𝑥 | < 1. (4.1.1)

where 𝑝 is a constant, often called a parameter. So, this equation is actually a family
of ODEs. We should not be surprised if the nature of solutions differs for various
values of 𝑝.
The ODE in (4.1.1) has the standard form

2𝑥 𝑝 (𝑝 + 1)
𝑦 �� − 2
𝑦� + 𝑦 = 0.
1−𝑥 1 − 𝑥2

The coefficient functions −2𝑥/(1 − 𝑥 2 ) and 𝑝 (𝑝 + 1)/(1 − 𝑥 2 ) are analytic at 𝑥 = 0.

That is, 𝑥 = 0 is an ordinary point of the ODE. Thus, the ODE has a power series
solution in the form
�
∞
𝑦(𝑥) = 𝑎𝑛 𝑥 𝑛 .
𝑛=0

Substituting it in the ODE and setting the coefficients of 𝑥 𝑛 to 0, we obtain

�
∞ �
∞ �
∞
2
(1 − 𝑥 ) 𝑛(𝑛 − 1)𝑎𝑛 𝑥 𝑛−2
− 2𝑥 𝑛𝑎𝑛 𝑥 𝑛−1
+ 𝑝 (𝑝 + 1) 𝑎𝑛 𝑥 𝑛 = 0
𝑛=0 𝑛=0 𝑛=0
⇒ (𝑛 + 2)(𝑛 + 1)𝑎𝑛+2 − 𝑛(𝑛 − 1)𝑎𝑛 − 2𝑛𝑎𝑛 + 𝑝 (𝑝 + 1)𝑎𝑛 = 0
⇒ (𝑛 + 2)(𝑛 + 1)𝑎𝑛+2 = (𝑛 2 − 𝑛 + 2𝑛 − 𝑝 2 − 𝑝)𝑎𝑛 = (𝑛 2 − 𝑝 2 + 𝑛 − 𝑝)𝑎𝑛 .

It gives the recurrence relation

(𝑝 − 𝑛)(𝑝 + 𝑛 + 1)
𝑎𝑛+2 = − 𝑎𝑛 . (4.1.2)
(𝑛 + 1)(𝑛 + 2)

67
68 MA2020 Classnotes

Using this recurrence relation, the coefficients 𝑎 2, 𝑎 3, . . . can be obtained in terms

of 𝑎 0 and 𝑎 1 , which are left arbitrary. For instance,
𝑝 (𝑝 + 1) (𝑝 − 2)(𝑝 + 3) 𝑝 (𝑝 − 2)(𝑝 + 1)(𝑝 + 3)
𝑎2 = − 𝑎 0, 𝑎 4 = − = ,...
1·2 3·4 4!
(𝑝 − 1)(𝑝 + 2) (𝑝 − 3)(𝑝 + 4) (𝑝 − 1)(𝑝 − 3)(𝑝 + 2)(𝑝 + 4)
𝑎3 = − 𝑎 1, 𝑎 5 = − 𝑎3 = 𝑎 1, . . .
2·3 4·5 5!
We thus get a formal solution 𝑦(𝑥) = 𝑎 0𝑦1 (𝑥) + 𝑎 1𝑦2 (𝑥) , where
𝑝 (𝑝 + 1) 2 𝑝 (𝑝 − 2)(𝑝 + 1)(𝑝 + 3) 4
𝑦1 (𝑥) = 1 − 𝑥 + 𝑥 −···
2! 4!
(𝑝 − 1)(𝑝 + 2) 3 (𝑝 − 1)(𝑝 − 3)(𝑝 + 2)(𝑝 + 4) 5
𝑦2 (𝑥) = 𝑥 − 𝑥 + 𝑥 −···
3! 5!
When 𝑝 is not an integer, the numerators in the coefficients of powers of 𝑥 do not
vanish. In the series for 𝑦1 (𝑥), taking the absolute value of ratio of a term and its
preceding term, we find that
�𝑎 � � �
� 2𝑛+2𝑥 2𝑛+2 � � (𝑝 − 2𝑛)(𝑝 + 2𝑛 + 1)𝑥 2 �
� �=� � → |𝑥 | 2 as 𝑛 → ∞.
𝑎 2𝑛 𝑥 2𝑛 (2𝑛 + 1)(2𝑛 + 2)
Hence, the radius of convergence of the series for 𝑦1 (𝑥) is 1. Similarly, it is easy to
show that the radius of convergence for the series for 𝑦2 (𝑥) is also 1 in case 𝑝 is not
an integer. That is, the formal solution given above is a solution for −1 < 𝑥 < 1.
Notice that this is the best we can expect since the coefficient functions −2𝑥/(1−𝑥 2 )
and 𝑝 (𝑝 + 1)/(1 − 𝑥 2 ) are not analytic at 𝑥 = 1.
Next, we consider the interesting case when 𝑝 is a non-negative integer. We
consider the cases 𝑝 = 0, 𝑝 is nonzero even, and 𝑝 is nonzero odd separately.
Case 1: Suppose 𝑝 = 0. Then 𝑦1 (𝑥) = 1 and
(−1)(2) 3 (−1)(−3)(2)(4) 5
𝑦2 (𝑥) = 𝑥 − 𝑥 + 𝑥 −···
3! 5!
Here, 𝑦1 (𝑥) is a constant and 𝑦2 (𝑥) is a power series.
Case 2: Suppose 𝑝 is nonzero and even, say, 𝑝 = 2𝑘 for some 𝑘 ≥ 1. Then
2𝑘 (2𝑘 + 1) 2 2𝑘 (2𝑘 − 2) · · · (2)(2𝑘 + 1)(2𝑘 + 3) · · · (2𝑘 + 2𝑘 − 1) 2𝑘
𝑦1 (𝑥) = 1− 𝑥 +· · ·+(−1)𝑘 𝑥 .
2! (2𝑘)!
The next term in the series for 𝑦1 (𝑥) has in the numerator the factor (𝑝 − 2𝑘) = 0.
All succeeding terms are then 0. Therefore, 𝑦1 (𝑥) terminates there, and it is a
polynomial. In this case, 𝑦2 (𝑥) is a power series.
Case 3: Suppose 𝑝 is odd, say, 𝑝 = 2𝑘 + 1 for some 𝑘 ≥ 0. Then
(2𝑘)(2𝑘 + 3) 3 (2𝑘)(2𝑘 − 2) · · · (2)(2𝑘 + 3)(2𝑘 + 5) · · · (2𝑘 + 2𝑘 + 1) 2𝑘+1
𝑦2 (𝑥) = 𝑥− 𝑥 +· · ·+(−1)𝑘 𝑥 .
3! (2𝑘 + 1)!
Special Functions 69
The next term in the series for 𝑦2 (𝑥) is 0 since the numerator has a factor
(𝑝 − (2𝑘 + 1)) = 0. All succeeding terms are then 0. Therefore, 𝑦2 (𝑥) termi-
nates there, and it is a polynomial. In this case, 𝑦1 (𝑥) is a power series.
Similar things happen when 𝑝 is a negative integer. In general, we find that if 𝑝
is an integer, then exactly one of 𝑦1 (𝑥) or 𝑦2 (𝑥) is a polynomial.
When 𝑝 = 0, the ODE is (1 − 𝑥 2 )𝑦 �� − 2𝑥𝑦 � = 0. Since 𝑝 = 0, the polynomial
solution of this ODE is 𝑦1 (𝑥) = 1. This polynomial 𝑦1 (𝑥) is of degree 0 with
𝑦1 (1) = 1.
When 𝑝 = 2, the ODE is (1 − 𝑥 2 )𝑦 �� − 2𝑥𝑦 � + 6𝑦 = 0. Since 𝑝 is even, the
polynomial solution of this ODE is (with 𝑝 = 2𝑘, 𝑘 = 1)

2(3) 2
𝑦1 (𝑥) = 1 − 𝑥 = 1 − 3𝑥 2 .
2!
This polynomial 𝑦1 (𝑥) is of degree 2 with 𝑦1 (1) = 1 − 3 = −2.
It continues this way for even 𝑝. Let us look at a few cases when 𝑝 is odd.
When 𝑝 = 1, the ODE is (1−𝑥 2 )𝑦 �� −2𝑥𝑦 � +2𝑦 = 0. Since 𝑝 is odd, the polynomial
solution is (with 𝑝 = 2𝑘 + 1, 𝑘 = 0)

𝑦2 (𝑥) = 𝑥 .

This polynomial 𝑦2 (𝑥) is of degree 1 with 𝑦2 (1) = 1.

When 𝑝 = 3, the ODE is (1 − 𝑥 2 )𝑦 �� − 2𝑥𝑦 � + 12𝑦 = 0. The polynomial solution
is (with 𝑝 = 2𝑘 + 1, 𝑘 = 1)

(2)(2 + 3) 3 5
𝑦2 (𝑥) = 𝑥 − 𝑥 = 𝑥 − 𝑥 3.
3! 3
This polynomial 𝑦2 (𝑥) is of degree 3 with 𝑦2 (1) = 1 − 5/3 = −2/3.
As we see from the above cases, the polynomials when evaluated at 𝑥 = 1 give
the values as follows:
Parameter 𝑝: 0 1 2 3
Degree of polynomial: 0 1 2 3
Which solution: 𝑦1 𝑦2 𝑦1 𝑦2
Its value at 1: 1 1 −2 −2/3
Notice that since 𝑦1 (𝑥) is a solution of an appropriate Legendre equation, any
constant multiple of 𝑦1 (𝑥) is also a solution of the same Legendre equation. The
same is also true for 𝑦2 (𝑥). In particular, the polynomials and there constant
multiples are also solutions of suitable Legendre equations. Thus, we can choose to
multiply an appropriate constant in each case so that the resulting polynomial when
evaluated at 1 will give the value 1. An alternative way is discussed in the next
section.
70 MA2020 Classnotes

4.2 Legendre Polynomials

Consider Legendre equation, where the parameter 𝑝 = 𝑛, a non-negative integer.
That is,
(1 − 𝑥 2 )𝑦 �� − 2𝑥𝑦 � + 𝑛(𝑛 + 1)𝑦 = 0 for |𝑥 | < 1 (4.2.1)
As we know, this equation has a polynomial solution whose degree is 𝑛, and such a
polynomial is unique up to a constant factor. To make such a polynomial solution
of (4.2.1) unique we choose the leading coefficient 𝑎𝑛 as follows:

(2𝑛)! 1 · 3 · 5 · · · (2𝑛 − 1)
𝑎𝑛 = 2
= for 𝑛 ≥ 0.
2 (𝑛!)
𝑛 𝑛!

Using the recurrence relation (4.1.2), we have

𝑛(𝑛 − 1) 𝑛(𝑛 − 1)(2𝑛)! (2𝑛 − 2)!

𝑎𝑛−2 = − 𝑎𝑛 = − =− 𝑛 .
2(2𝑛 − 1) 2(2𝑛 − 1)(𝑛!) 2 2 (𝑛 − 1)!(𝑛 − 2)!
(𝑛 − 2)(𝑛 − 3) (2𝑛 − 4)!
𝑎𝑛−4 = − 𝑎𝑛−2 = 𝑛 .
4(2𝑛 − 3) 2 2!(𝑛 − 2)!(𝑛 − 4)!
(2𝑛 − 2𝑘)!
𝑎𝑛−2𝑘 = (−1)𝑘 𝑛 for 𝑛 ≥ 2𝑘.
2 𝑘!(𝑛 − 𝑘)!(𝑛 − 2𝑘)!

Then, the resulting polynomials are called the Legendre polynomial. That is, the
Legendre polynomial 𝑃𝑛 (𝑥) of degree 𝑛 may be written as

�
[𝑛/2]
(2𝑛 − 2𝑘)!
𝑃𝑛 (𝑥) = (−1)𝑘 𝑥 𝑛−2𝑘
2𝑛𝑘!(𝑛 − 𝑘)!(𝑛 − 2𝑘)!
𝑘=0
(2𝑛)! 𝑛 (2𝑛 − 2)!
= 𝑥 − 𝑛 𝑥 𝑛−2 + · · · (4.2.2)
2 (𝑛!)
𝑛 2 2 1!(𝑛 − 1)!(𝑛 − 2)!

A few of them are as follows:

𝑃 0 (𝑥) = = 1.
𝑃 1 (𝑥) = = 𝑥 .
𝑃 2 (𝑥) = 12 (3𝑥 2 − 1).
𝑃 3 (𝑥) = 12 (5𝑥 3 − 3𝑥).

Notice that 𝑃 0 (1) = 𝑃 1 (1) = 𝑃 2 (1) = 𝑃 3 (1) = 1. We will soon show that 𝑃𝑛 (1) = 1
for each non-negative integer 𝑛.
We find that if 𝑛 is even, then 𝑃𝑛 (𝑥) does not have any odd power of 𝑥; and if 𝑛 is
odd, then 𝑃𝑛 (𝑥) does not have any even power of 𝑥. Though 𝑃𝑛 (𝑥) is a polynomial,
Special Functions 71
it is treated as a special function because it has some nice properties and it comes
in various disguises. One of its useful form is the following:
1 𝑑𝑛 2
Rodrigue’s formula : 𝑃𝑛 (𝑥) = (𝑥 − 1)𝑛 . (4.2.3)
2 𝑛! 𝑑𝑥
𝑛 𝑛

To see that the formula is correct, notice that

𝑑 𝑛 2𝑛−2𝑘 (2𝑛 − 2𝑘)! 𝑛−2𝑘
𝑥 = 𝑥 for 0 ≤ 𝑘 ≤ 𝑚 = [𝑛/2].
𝑑𝑥 𝑛 (𝑛 − 2𝑘)!
Thus, 𝑃𝑛 (𝑥) is rewritten as
�
𝑚
(2𝑛 − 2𝑘)!
𝑃𝑛 (𝑥) = (−1)𝑘 𝑥 𝑛−2𝑘
2𝑛𝑘!(𝑛 − 𝑘)!(𝑛 − 2𝑘)!
𝑘=0
1 𝑑𝑛 �
𝑚
𝑛!
= 𝑛 (−1)𝑘 𝑥 2𝑛−2𝑘 .
2 𝑛! 𝑑𝑥 𝑛 𝑘!(𝑛 − 𝑘)!
𝑘=0

When 𝑘 > 𝑚 = [𝑛/2], any term in the sum above is a polynomial of degree less
than 𝑛 so that its 𝑛th derivative is 0. Hence, the sum above can be extended from
𝑚 + 1 to 𝑛 without changing the value on the left hand side. So,

1 𝑑𝑛 �
𝑛
𝑛! 2𝑛−2𝑘 1 𝑑𝑛 2
𝑃𝑛 (𝑥) = (−1) 𝑘
𝑥 = (𝑥 − 1)𝑛 .
2𝑛𝑛! 𝑑𝑥 𝑛 𝑘!(𝑛 − 𝑘)! 2𝑛𝑛! 𝑑𝑥 𝑛
𝑘=0

The last equality follows from the Binomial expansion of (𝑥 2 − 1)𝑛 proving Ro-
drigue’s formula.
Various useful properties of Legendre polynomials follow from Rodrigue’s for-
mula with the help of Leibniz rule for computing the 𝑛th derivative of a product of
two functions. Leibniz’s rule says that

𝑑 𝑛 (𝑓 𝑔) �
𝑛
𝑛! 𝑑 𝑘 𝑓 𝑑 𝑛−𝑘 𝑔
= ,
𝑑𝑥 𝑛 𝑘!(𝑛 − 𝑘)! 𝑑𝑥 𝑘 𝑑𝑥 𝑛−𝑘
𝑘=0

where the 0th derivative of a function is taken as the function itself.

In Rodrigue’ formula writing (𝑥 2 − 1)𝑛 = (𝑥 + 1)𝑛 (𝑥 − 1)𝑛 and applying Leibniz
rule we obtain
1 �
𝑛
𝑛! 𝑑 𝑘 [(𝑥 + 1)𝑛 ] 𝑑 𝑛−𝑘 [(𝑥 − 1)𝑛 ]
𝑃𝑛 (𝑥) = 𝑛 .
2 𝑛! 𝑘!(𝑛 − 𝑘)! 𝑑𝑥 𝑘 𝑑𝑥 𝑛−𝑘
𝑘=0

The first term in the above sum is

𝑑 0 [(𝑥 + 1)𝑛 ] 𝑑 𝑛 [(𝑥 − 1)𝑛 ]
0
· 𝑛
= (𝑥 + 1)𝑛𝑛!.
𝑑𝑥 𝑑𝑥
72 MA2020 Classnotes

Each of the remaining terms contains the factor (𝑥 − 1). Thus, when evaluated at
𝑥 = 1, each term except the first in the sum becomes 0. Thus,
1
𝑃𝑛 (1) = (1 + 1)𝑛𝑛! = 1. (4.2.4)
2𝑛𝑛!
Thus, the Legendre polynomial of degree 𝑛, denoted by 𝑃𝑛 (𝑥), may be redefined
as the polynomial of degree 𝑛 that satisfies the Legendre equation with parameter 𝑛
and the initial condition 𝑦 (1) = 1. That is, 𝑃𝑛 (𝑥) is the unique polynomial of degree
𝑛 that is a solution of the IVP:
(1 − 𝑥 2 )𝑦 �� − 2𝑥𝑦 � + 𝑛(𝑛 + 1)𝑦 = 0, 𝑦(1) = 1 for 𝑛 ∈ N ∪ {0}.
It is often helpful to get the generating function for Legendre polynomials. We
will show that the generating function is (1 − 2𝑥𝑡 + 𝑡 2 ) −1 . That is,
� � −1/2 �
∞
1 − 2𝑥𝑡 + 𝑡 2 = 𝑃𝑛 (𝑥)𝑡 𝑛 . (4.2.5)
𝑛=0

To see this, recall the Binomial theorem. It asserts that

�∞
𝑟 (𝑟 − 1) · · · (𝑟 − 𝑛 + 1) 𝑛
𝑟
(1 + 𝑧) = 𝑧 for |𝑧| < 1.
𝑛=0
𝑛!

Taking 𝑧 = 𝑡 2 − 2𝑥𝑡 = 𝑡 (𝑡 − 2𝑥) and assuming that |𝑡 2 − 2𝑥𝑡 | < 1, we obtain

�∞
(− 12 )(− 32 ) · · · (− 12 − 𝑛 + 1) 𝑛
(1 − 2𝑥𝑡 + 𝑡 2 ) −1/2 = 𝑡 (𝑡 − 2𝑥)𝑛
𝑛=0
𝑛!
�∞
(−1)𝑛 (2𝑛)! 𝑛
= 2𝑛 2
𝑡 (𝑡 − 2𝑥)𝑛
𝑛=0
2 (𝑛!)
� (−1)𝑛 (2𝑛)! 𝑛 � � �
∞ 𝑛
𝑛! 𝑘 𝑛−𝑘
= 𝑡 𝑡 (−2𝑥)
𝑛=0
22𝑛 (𝑛!) 2 𝑘!(𝑛 − 𝑘)!
𝑘=0
�
∞ �
𝑛 𝑘
(−1) (2𝑛)!
= 𝑡 𝑛+𝑘 (2𝑥)𝑛−𝑘 .
𝑛=0 𝑘=0
22𝑛𝑛!𝑘!(𝑛 − 𝑘)!

In general, if 𝐶𝑘,𝑛 is any expression depending on 𝑘 and 𝑛, we have

�
∞ �
𝑛 � �
∞ [𝑛/2]
𝐶𝑘,𝑛 𝑡 𝑛+𝑘 = 𝐶𝑘,𝑛−𝑘 𝑡 𝑛 .
𝑛=0 𝑘=0 𝑛=0 𝑘=0

Using this on the above sum, we obtain

� �
∞ [𝑛/2]
(−1)𝑘 (2𝑛 − 2𝑘)! � ∞
2 −1/2
(1 − 2𝑥𝑡 + 𝑡 ) = 𝑡 𝑛 𝑛−2𝑘
𝑥 = 𝑃𝑛 (𝑥)𝑡 𝑛 .
𝑛=0 𝑘=0
2𝑛𝑘!(𝑛 − 𝑘)!(𝑛 − 2𝑘)! 𝑛=0
Special Functions 73
An important property of Legendre polynomials is that they are orthogonal to
each other. It means
�1
𝑃𝑚 (𝑥)𝑃𝑛 (𝑥) 𝑑𝑥 = 0 for 𝑚 ≠ 𝑛. (4.2.6)
−1

To see this assume that 𝑚 ≠ 𝑛. Now, the polynomials 𝑃𝑚 (𝑥) and 𝑃𝑛 (𝑥) satisfy
(1 − 𝑥 2 )𝑦 �� − 2𝑥𝑦 � + 𝑝 (𝑝 + 1)𝑦 = 0, where 𝑝 = 𝑚, 𝑛, respectively. This equation can
be rewritten as � ��
(1 − 𝑥 2 )𝑦 � + 𝑝 (𝑝 + 1)𝑦 = 0.
Hence, 𝑃𝑚 (𝑥) and 𝑃𝑛 (𝑥) satisfy

[(1 − 𝑥 2 )𝑦 �] � + 𝑝 (𝑝 + 1)𝑦 = 0 for 𝑝 = 𝑚, 𝑛.

Therefore,

[(1 − 𝑥 2 )𝑃𝑚� (𝑥)] � + 𝑚(𝑚 + 1)𝑃𝑚 (𝑥) = 0, [(1 − 𝑥 2 )𝑃𝑛� (𝑥)] � + 𝑛(𝑛 + 1)𝑃𝑛 (𝑥) = 0.

Multiply the first with 𝑃𝑛 and the second with 𝑃𝑚 , subtract, and integrate to get
�1
� �
𝑃𝑛 [(1 − 𝑥 2 )𝑃𝑚� ] � − 𝑃𝑚 [(1 − 𝑥 2 )𝑃𝑛� ] � 𝑑𝑥
�
−1
� � 1
− 𝑚(𝑚 + 1) − 𝑛(𝑛 + 1) 𝑃𝑚 𝑃𝑛 𝑑𝑥 = 0.
−1

Evaluate the first integral by using integration by parts. It gives

�1
� �
𝑃𝑛 [(1 − 𝑥 2 )𝑃𝑚� ] � − 𝑃𝑚 [(1 − 𝑥 2 )𝑃𝑛� ] � 𝑑𝑥
� �1 �1 � �1 �1
−1

2 � 2 � 2 �
= 𝑃𝑛 (1 − 𝑥 )𝑃𝑚 − �
𝑃𝑛 (1 − 𝑥 )𝑃𝑚 𝑑𝑥 − 𝑃𝑚 (1 − 𝑥 )𝑃𝑛 + 𝑃𝑚� (1 − 𝑥 2 )𝑃𝑛� 𝑑𝑥
�1 �1
−1 −1 −1 −1

=0− 𝑃𝑛� (1 − 𝑥 2 )𝑃𝑚� 𝑑𝑥 − 0 + 𝑃𝑛� (1 − 𝑥 2 )𝑃𝑚� 𝑑𝑥 = 0.

−1 −1

Hence,
�1
� �
𝑚(𝑚 + 1) − 𝑛(𝑛 + 1) 𝑃𝑚 𝑃𝑛 𝑑𝑥 = 0.
� �
−1

Since 𝑚 ≠ 𝑛, we have 𝑚(𝑚 + 1) − 𝑛(𝑛 + 1) ≠ 0. Therefore, (4.2.6) follows.

What happens when 𝑚 = 𝑛? We use Rodrigue’s formula, integration by parts,
� � 𝑑 𝑛−1
[𝑃𝑛 (𝑥)] (𝑛) = 𝑛!𝑎𝑛 = (2𝑛)!/ 2𝑛𝑛! and the fact that 𝑥 2 −1 is a factor of 𝑛−1 (𝑥 2 −1)𝑛
𝑑𝑥
as in the following.
74 MA2020 Classnotes

�1 �1
� �2 𝑑𝑛 2
𝑃𝑛 (𝑥) 𝑑𝑥 = 𝑃𝑛 (𝑥)𝑛
(𝑥 − 1)𝑛 𝑑𝑥
𝑑𝑥
�1
1 � �1
−1 −1
𝑑 𝑛−1 2 1 𝑑 𝑛−1 2
= 𝑛 𝑃𝑛 (𝑥) 𝑛−1 (𝑥 − 1) 𝑛
− 𝑛 𝑃𝑛 (𝑥) 𝑛−1 (𝑥 − 1)𝑛 𝑑𝑥
�
2 𝑛! 𝑑𝑥 2 𝑛! −1 𝑑𝑥
�1
−1
1 𝑑 𝑛−1
=0− 𝑛 𝑃𝑛� (𝑥) 𝑛−1 (𝑥 2 − 1)𝑛 𝑑𝑥
2 𝑛! −1 𝑑𝑥
..
�
.
(−1)𝑛 1 𝑑0
= 𝑛 [𝑃𝑛 (𝑥)] (𝑛) 0 (𝑥 2 − 1)𝑛 𝑑𝑥
2 𝑛! −1 𝑑𝑥
�1
1 (2𝑛)!
= 𝑛 (1 − 𝑥 2 )𝑛 𝑑𝑥
2 𝑛! −1 2𝑛𝑛!
�
2(2𝑛)! 1
= 2𝑛 2
(1 − 𝑥 2 )𝑛 𝑑𝑥 (put 𝑥 = sin 𝜃 )
2 (𝑛!) 0
�
2(2𝑛)! 𝜋/2
= 2𝑛 cos2𝑛+1 𝜃 𝑑𝜃
2 (𝑛!) 2 0
� 𝜋/2
2(2𝑛)! 2𝑛
= 2𝑛 cos2𝑛−1 𝜃 𝑑𝜃
2 (𝑛!) 2 2𝑛 + 1 0
..
�
.
2(2𝑛)! 2𝑛 2𝑛 − 2 2 𝜋/2
= 2𝑛 ··· cos 𝜃 𝑑𝜃
2 (𝑛!) 2 2𝑛 + 1 2𝑛 − 1 3 0
2(2𝑛)! 2𝑛 2𝑛 − 2 2 2
= 2𝑛 ··· = .
2 (𝑛!) 2𝑛 + 1 2𝑛 − 1
2 3 2𝑛 + 1
Hence, �1
� 2 �2
𝑃𝑛 (𝑥)
. 𝑑𝑥 = (4.2.7)
−1 2𝑛 + 1
Many problems in engineering depend on the possibility of expanding a given
function in a series of Legendre polynomials. It is easy to see that a polynomial
can always be expanded this way. For example, consider a polynomial of degree at
most 3, say
𝑝 (𝑥) = 𝑏 0 + 𝑏 1𝑥 + 𝑏 2𝑥 2 + 𝑏 3𝑥 3 .
With 𝑃0 (𝑥) = 1, 𝑃1 (𝑥) = 𝑥, 𝑃 2 (𝑥) = 12 (3𝑥 2 − 1), 𝑃3 (𝑥) = 12 (5𝑥 3 − 3𝑥), we see that
1 2 3 2
1 = 𝑃0 (𝑥), 𝑥 = 𝑃 1 (𝑥), 𝑥 2 = 𝑃0 (𝑥) + 𝑃 2 (𝑥), 𝑥 3 = 𝑃1 (𝑥) + 𝑃3 (𝑥).
3 3 5 5
Hence,
� 𝑏2 � � 3𝑏 3 � 2𝑏 2 2𝑏 3
𝑝 (𝑥) = 𝑏 0 + 𝑃0 (𝑥) + 𝑏 1 + 𝑃1 (𝑥) + 𝑃2 (𝑥) + 𝑃 3 (𝑥).
3 5 3 5
Special Functions 75
�
Similarly, 𝑥 𝑛 can be expanded as 𝑛𝑘=0 𝑎𝑘 𝑃𝑘 (𝑥) for some constants 𝑎𝑘 . It looks that
if a function has a power series expansion, then it can also be expanded in terms of
Legendre polynomials 𝑃𝑛 (𝑥). However, some conditions my be required so that the
obtained series is convergent. We rather focus on how to compute the coefficients
in such a series expansion if it exists.
When a function 𝑓 (𝑥), for −1 < 𝑥 < 1, can be written in the form
�
∞
𝑓 (𝑥) = 𝑎𝑛 𝑃𝑛 (𝑥)
𝑛=0

we say that 𝑓 (𝑥) has a Legendre series expansion. Our question is, if 𝑓 (𝑥) has a
Legendre series expansion, then how do we compute the coefficients 𝑎𝑛 ?
We multiply the above with 𝑃𝑚 (𝑥), integrate term by term (assuming that this is
permissible), and use (4.2.6-4.2.7) to obtain
�1 �
∞ �1
2𝑎𝑚
𝑓 (𝑥)𝑃𝑚 (𝑥) 𝑑𝑥 = 𝑎𝑛 𝑃𝑚 (𝑥)𝑃𝑛 (𝑥) 𝑑𝑥 = .
−1 𝑛=0 −1 2𝑚 + 1

Therefore, �
� 1� 1
𝑎𝑛 = 𝑛 + 𝑓 (𝑥)𝑃𝑛 (𝑥) 𝑑𝑥 .
2 −1
Many other properties of Legendre polynomials are included in the exercises. As
a convention, when 𝑃𝑛 (𝑥) is treated as a function, we assume that −1 ≤ 𝑥 ≤ 1.

4.3 Exercises for § 4.1-4.2

1. Use the generating function for Legendre polynomials to prove the following:

(a) 𝑃𝑛 (1) = 1 (b) 𝑃𝑛 (−𝑥) = (−1)𝑛 𝑃𝑛 (𝑥) (c) 𝑃𝑛 (−1) = (−1)𝑛

1 · 3 · 5 · · · (2𝑛 − 1)
(d) 𝑃2𝑛+1 (0) = 0 (e) 𝑃 2𝑛 (0) = (−1)𝑛
2𝑛𝑛!
1 · 3 · 5 · · · (2𝑛 + 1)
� (0) = 0
(f) 𝑃2𝑛 (g) 𝑃 2𝑛+1
�
(0) =
2 𝑛!
𝑛
𝑛(𝑛 + 1) 𝑛(𝑛 + 1)
(h) 𝑃𝑛� (1) = (i) 𝑃𝑛� (−1) = (−1)𝑛−1 .
2 2
2. Using Rodrigue’s formula and integration by parts show the following:
∫1
(a) −1 𝑥 𝑚 𝑃𝑛 (𝑥) 𝑑𝑥 = 0, where 𝑚 < 𝑛 are non-negative integers.
∫1 2𝑛+1 (𝑛!) 2
(b) −1 𝑥 𝑛 𝑃𝑛 (𝑥) 𝑑𝑥 = .
(2𝑛 + 1)!
76 MA2020 Classnotes
∫1 (𝑛 + 2𝑘)!Γ(𝑘 + 1/2)
(c) 𝑥 𝑛+2𝑘 𝑃𝑛 (𝑥) 𝑑𝑥 = for 𝑘 = 0, 1, 2, . . .
−1 2𝑛 (2𝑘)!Γ(𝑛+ 𝑘 + 3/2)
∫1 2
(d) 𝑃 2 (𝑥) 𝑑𝑥 = .
∫1 𝑛+1
−1 𝑛

(e) 𝑃 (𝑥)𝑃𝑛+1
−1 𝑛
� (𝑥) 𝑑𝑥 =2.
3. Use integration by parts, Legendre equation and orthogonality of Legendre
polynomials to prove that
�1
2𝑛(𝑛 + 1)
(𝑥 2 − 1)𝑃𝑛−1 (𝑥)𝑃𝑛� (𝑥) 𝑑𝑥 = .
−1 (2𝑛 + 1)(2𝑛 + 3)

4. Prove the recurrence relation: (𝑛 + 1)𝑃𝑛+1 (𝑥) = (2𝑛 + 1)𝑥𝑃𝑛 (𝑥) − 𝑛𝑃𝑛−1 (𝑥).
5. Using orthogonality of Legendre polynomials and the recurrence relation in
the previous problem, show the following:
∫1 2𝑛(𝑛 + 1)
(a) 𝑥 2𝑃𝑛+1 (𝑥)𝑃𝑛−1 (𝑥) 𝑑𝑥 = .
−1 (2𝑛 − 1)(2𝑛 + 1)(2𝑛 + 3)
∫1 2𝑛
(b) −1 𝑥𝑃𝑛 (𝑥)𝑃𝑛−1 (𝑥) 𝑑𝑥 = 2 .
4𝑛 − 1
∫1 2 � (𝑛 + 1) 2 𝑛2 �
(c) −1 𝑥 2𝑃𝑛2 (𝑥) 𝑑𝑥 = + .
2𝑛 + 1 2𝑛 + 3 2𝑛 − 1
∫1 2𝑛 − 1 ∫ 1 2
(d) −1 𝑃𝑛2 (𝑥) 𝑑𝑥 = 𝑃 (𝑥) 𝑑𝑥.
2𝑛 + 1 −1 𝑛−1
∫1 2
(e) −1 𝑃𝑛2 (𝑥) 𝑑𝑥 = . (Using (d))
2𝑛 + 1
√
∫1 2 2
(f) −1 (1 − 𝑥) −1/2𝑃𝑛 (𝑥) 𝑑𝑥 = .
2𝑛 + 1
6. Prove the following identities:
(a) (2𝑛 + 1)𝑃𝑛 (𝑥) = 𝑃𝑛+1
� (𝑥) − 𝑃 � (𝑥).
�
𝑛−1
�∞
(−1)𝑘 (2𝑘)!(4𝑘 + 3) −1 for − 1 ≤ 𝑥 < 0
(b) 2𝑘+1
𝑃2𝑘+1 (𝑥) =
2 𝑘!(𝑘 + 1)! 1 for 0 < 𝑥 ≤ 1.
�1
𝑘=0
2𝑛
(c) 𝑥𝑃𝑛 (𝑥)𝑃𝑛� (𝑥) 𝑑𝑥 = .
−1 2𝑛 + 1
7. Prove the following identities:
�
𝑚
22𝑘 (4𝑘 + 1)(2𝑚)!(𝑚 + 𝑘)!
2𝑚
(a) 𝑥 = 𝑃2𝑘 (𝑥).
(2𝑚 + 2𝑘 + 1)!(𝑚 − 𝑘)!
𝑘=0
�𝑚
22𝑘+1 (4𝑘 + 3)(2𝑚 + 1)!(𝑚 + 𝑘 + 1)!
(b) 𝑥 2𝑚+1 = 𝑃2𝑘+1 (𝑥).
(2𝑚 + 2𝑘 + 3)!(𝑚 − 𝑘)!
𝑘=0
Special Functions 77
1 � (−1)𝑘−1 (4𝑘 + 1)(2𝑘 − 1)!
∞
(c) |𝑥 | = + 𝑃2𝑘 (𝑥).
2 22𝑘 (𝑘 + 1)!(𝑘 − 1)!
𝑘=1

�
∞
1 − 𝑡2
8. Prove that (2𝑛 + 1)𝑃𝑛 (𝑥)𝑡 𝑛 = � � 3/2 .
𝑛=0 1 − 2𝑡𝑥 + 𝑡 2

4.4 Bessel Functions

The linear homogeneous second order ordinary differential equation

𝑥 2𝑦 �� + 𝑥𝑦 � + (𝑥 2 − 𝜈 2 )𝑦 = 0 (4.4.1)

is called the Bessel equation with non-negative parameter 𝜈. (It is nu not vee.) It
arises many where in applications. In standard form, the equation is

𝑦� � 𝜈2 �
𝑦 + + 1 − 2 𝑦 = 0.
��
𝑥 𝑥
The point 𝑥 = 0 is a regular singular point of the ODE. Hence the ODE has a
solution in the form
�
∞
𝑦 (𝑥) = 𝑎𝑘 𝑥 𝑘+𝑟 with 𝑎 0 ≠ 0.
𝑘=0
Substituting it in (4.4.1), we obtain
�
∞ �
∞
(𝑘 + 𝑟 )(𝑘 + 𝑟 − 1)𝑎𝑘 𝑥 𝑘+𝑟 + (𝑘 + 𝑟 )𝑎𝑘 𝑥 𝑘+𝑟
𝑘=0 𝑘=0
�
∞ �
∞
2
+ 𝑎𝑘 𝑥 𝑘+𝑟 +2
−𝜈 𝑎𝑘 𝑥 𝑘+𝑟 = 0.
𝑘=0 𝑘=0

Thus coefficients of 𝑥 𝑟 , 𝑥 𝑟 +1 and 𝑥 𝑘+𝑟 for 𝑘 ≥ 2, are 0. It follows that

1. 𝑟 (𝑟 − 1)𝑎 0 + 𝑟𝑎 0 − 𝜈 2𝑎 0 = 0.
2. (𝑟 + 1)𝑟𝑎 1 + (𝑟 + 1)𝑎 1 − 𝜈 2𝑎 1 = 0.
3. (𝑘 + 𝑟 )(𝑘 + 𝑟 − 1)𝑎𝑘 + (𝑘 + 𝑟 )𝑎𝑘 + 𝑎𝑘−2 − 𝜈 2𝑎𝑘 = 0 for 𝑘 ≥ 2.
The first one gives the indical equation as (𝑟 + 𝜈)(𝑟 − 𝜈) = 0. The roots are 𝑟 1 = 𝜈
and 𝑟 2 = −𝜈. Corresponding to 𝑟 = 𝜈, the first solution of the ODE is
�
∞
𝑦1 (𝑥) = 𝑎𝑘 𝑥 𝑘+𝜈 .
𝑘=0
78 MA2020 Classnotes

We must find the coefficients 𝑎𝑘 . For 𝑟 = 𝜈 ≥ 0, the second equation above implies

(𝜈 2 + 𝜈 + 𝜈 + 1 − 𝜈 2 )𝑎 1 = (2𝜈 + 1)𝑎 1 = 0 ⇒ 𝑎 1 = 0.

Substituting 𝑟 = 𝜈 in the third equation, we obtain

(𝑘 + 𝜈)(𝑘 + 𝜈 − 1)𝑎𝑘 + (𝑘 + 𝜈)𝑎𝑘 + 𝑎𝑘−2 − 𝜈 2𝑎𝑘 = 0

� �
⇒ (𝑘 + 𝜈)(𝑘 + 𝜈 − 1 + 1) − 𝜈 2 𝑎𝑘 + 𝑎𝑘−2 = 0
⇒ 𝑘 (𝑘 + 2𝜈)𝑎𝑘 + 𝑎𝑘−2 = 0
𝑎𝑘−2
⇒ 𝑎𝑘 = −
𝑘 (𝑘 + 2𝜈)

Since 𝑎 1 = 0 it follows that all odd coefficients are 0. For even coefficients, say,
𝑘 = 2𝑚, the above recurrence looks like
𝑎 2𝑚−2
𝑎 2𝑚 = − 2
for 𝑚 = 1, 2, 3, . . .
2 𝑚(𝜈 + 𝑚)

It implies that
𝑎0 𝑎2 𝑎0
𝑎2 = − , 𝑎4 = − = ,...
22 (𝜈+ 1) 2
2 2(𝜈 + 2) 24 2!(𝜈 + 1)(𝜈 + 2)

Proceeding inductively, we get

(−1)𝑚 𝑎 0
𝑎 2𝑚 = for 𝑚 = 1, 2, 3, . . .
22𝑚 𝑚! (𝜈 + 1)(𝜈 + 2) · · · (𝜈 + 𝑚)

By choosing the constant 𝑎 0 , all even coefficients are evaluated. It is customary to

choose
1
𝑎0 = 𝜈 .
2 Γ(𝜈 + 1)
Here, �∞
Γ(𝑥) = 𝑒 −𝑡 𝑡 𝑥−1 𝑑𝑡 for 𝑥 ≥ 0.
0

Notice that Γ(𝜈 + 1) is well defined since 𝜈 is non-negative. Some useful properties
of the gamma function are as follows:
√
Γ(𝑥 + 1) = 𝑥 Γ(𝑥), Γ(1/2) = 𝜋, Γ(𝑛 + 1) = 𝑛! for 𝑛 = 0, 1, 2, . . . .

It then follows that

(𝑥 + 1)(𝑥 + 2) · · · (𝑥 + 𝑚)Γ(𝑥 + 1) = Γ(𝑥 + 𝑚 + 1) for 𝑚 ∈ N ∪ {0}.

Special Functions 79
With the above choice of 𝑎 0 , we obtain
(−1)𝑚 𝑎 0
𝑎 2𝑚 =
22𝑚 𝑚! (𝜈 + 1)(𝜈 + 2) · · · (𝜈 + 𝑚)
(−1)𝑚
= 2𝑚
2 𝑚! 2𝜈 Γ(𝜈 + 1)(𝜈 + 1)(𝜈 + 2) · · · (𝜈 + 𝑚)
(−1)𝑚
= 𝜈+2𝑚 for 𝑚 = 1, 2, 3, . . . .
2 𝑚! Γ(𝜈 + 𝑚 + 1)
�∞
With these coefficients, the solution 𝑦1 (𝑥) = 𝑘=0 𝑎𝑘 𝑥 𝑘+𝜈 is written as 𝐽𝜈 (𝑥), and is
called the Bessel function of first kind with order 𝜈. Thus,
�∞
(−1)𝑚 𝑥 2𝑚
𝐽𝜈 (𝑥) = 𝑥 𝜈
. (4.4.2)
𝑚=0
2𝜈+2𝑚 𝑚! Γ(𝜈 + 𝑚 + 1)
The absolute value of the ratio of a term to its succeeding term in the series for
𝐽𝜈 (𝑥) is given by
�𝑎 � � �
� 2𝑚−2 � � 22𝑚(𝜈 + 𝑚) �
� �=� � → ∞ for any nonzero 𝑥 .
𝑎 2𝑚 𝑥2
The ratio test implies that the series in 𝐽𝜈 (𝑥) is convergent. Notice that the con-
vergence of the series is fast since factorials are in the denominator. The series
obviously converges for 𝑥 = 0. Hence, 𝐽𝜈 (𝑥) is well defined for all 𝑥.
In particular, when 𝜈 = 𝑛 ∈ N ∪ {0}, we have Γ(𝜈 + 1) = Γ(𝑛 + 1) = 𝑛!. Thus,
1
𝑎0 =
2𝑛𝑛!
(−1)𝑚 (−1)𝑚
𝑎 2𝑚 = = for 𝑚 = 1, 2, , 3, . . . .
2𝜈+2𝑚𝑚! Γ(𝜈 + 𝑚 + 1) 2𝑛+2𝑚 𝑚! (𝑛 + 𝑚)!
The odd coefficients are 0 as earlier. Therefore, the first solution 𝑦1 (𝑥) of Bessel
equation
𝑥 2𝑦 �� + 𝑥𝑦 � + (𝑥 2 − 𝑛 2 )𝑦 = 0, 𝑛 ∈ N ∪ {0}
is given by
�
∞
(−1)𝑚 𝑥 2𝑚
𝑦1 (𝑥) = 𝐽𝑛 (𝑥) = 𝑥 𝑛
for 𝑛 ∈ N ∪ {0}. (4.4.3)
𝑚=0
2𝑛+2𝑚 𝑚!(𝑛 + 𝑚)!
Of course, this expression is directly obtained from (4.4.2) by taking 𝜈 = 𝑛. For
instance, the Bessel functions of first kind and order 0 and 1 are as follows.
�∞
(−1)𝑚 𝑥 2𝑚 𝑥2 𝑥4 𝑥6
𝐽0 (𝑥) = 2𝑚 (𝑚!) 2
= 1 − 2 (1!) 2
+ 4 (2!) 2
− +···
𝑚=0
2 2 2 26 (3!) 2

�
∞
(−1)𝑚 𝑥 2𝑚+1 𝑥 𝑥3 𝑥5 𝑥7
𝐽1 (𝑥) = = − + − +···
𝑚=0
22𝑚+1𝑚! (𝑚 + 1)! 2 23 1!2! 25 2!3! 27 3!4!
80 MA2020 Classnotes

Notice that 𝐽𝑛 (0) = 0 for 𝑛 ≥ 1. It can be shown that

� �
2 𝑛𝜋 𝜋 �
𝐽𝑛 (𝑥) ≈ cos 𝑥 − − for large 𝑥 .
𝜋𝑥 2 4
For a general solution of Bessel equation (4.4.1), we require the second solution
𝑦2 (𝑥); and for this purpose we consider two cases.
Case 1: Suppose the non-negative parameter 𝜈 is not an integer. Then the second
solution 𝑦2 (𝑥) of Bessel equation (4.4.1) is given by
�
∞
(−1)𝑚 𝑥 2𝑚−𝜈
𝑦2 (𝑥) = 𝐽−𝜈 (𝑥) = 2𝑚−𝜈 𝑚! Γ(𝑚 − 𝜈 + 1)
. (4.4.4)
𝑚=0
2

This follows from a derivation similar to that of 𝐽𝜈 (𝑥). Also, by substituting 𝜈 with
−𝜈 in (4.4.2), we obtain this expression for 𝐽−𝜈 (𝑥).
Observe that any power of 𝑥 in 𝐽𝜈 (𝑥) is 𝑥 2𝑚+𝜈 and any power of 𝑥 in 𝐽−𝜈 (𝑥) is
𝑥 2𝑚−𝜈 . Since 𝜈 is not an integer, no power of 𝑥 in 𝐽𝜈 (𝑥) matches with any power
of 𝑥 in 𝐽−𝜈 (𝑥). Hence 𝐽𝜈 (𝑥) and 𝐽−𝜈 (𝑥) are linearly independent. Therefore, any
solution 𝑦(𝑥) of Bessel equation with non-integral parameter 𝜈 is given by
𝑦(𝑥) = 𝑐 1 𝐽𝜈 (𝑥) + 𝑐 2 𝐽−𝜈 (𝑥) for 𝜈 ∉ Z.
Case 2: Suppose 𝜈 = 𝑛 is an integer. We know the first solution as 𝐽𝑛 (𝑥) for 𝑛 ≥ 0.
For the second solution, let us look at 𝐽−𝑛 (𝑥). From (4.4.4) we have
�
∞
(−1)𝑚 𝑥 2𝑚−𝑛
𝐽−𝑛 (𝑥) = . (4.4.5)
𝑚=0
22𝑚−𝑛𝑚! (𝑚 − 𝑛)!

We can also get 𝐽−𝑛 (𝑥) from (4.4.4) another way. In (4.4.4), let 𝜈 approach a positive
integer 𝑛. Then the Gamma function in the first 𝑛 terms approach ∞ so that the
coefficients in the first 𝑛 terms approach 0. The summation starts from 𝑚 = 𝑛 as
the Gamma function there is equal to Γ(𝑚 − 𝑛 + 1) = (𝑚 − 𝑛)! for 𝑚 ≥ 𝑛. Then,
shifting the index with 𝑘 = 𝑚 − 𝑛, we obtain
�
∞
(−1)𝑚 𝑥 2𝑚−𝑛 � (−1)𝑛+𝑘 𝑥 2𝑘+𝑛
∞
𝐽−𝑛 (𝑥) = = .
𝑚=𝑛
22𝑚−𝑛𝑚!(𝑚 − 𝑛)! 𝑘=0 22𝑘+𝑛 𝑘! (𝑘 + 𝑛)!
Special Functions 81
Comparing the last expression with (4.4.5) we find that it is (−1)𝑛 𝐽𝑛 (𝑥). Therefore,
𝐽−𝑛 (𝑥) = (−1)𝑛 𝐽𝑛 (𝑥) for 𝑛 ∈ Z. (4.4.6)
It implies that 𝐽𝑛 (𝑥) and 𝐽−𝑛 (𝑥) are linearly dependent. Thus, we cannot take the
second solution 𝑦2 (𝑥) as 𝐽−𝑛 (𝑥). The second solution, denoted by 𝑌𝑛 (𝑥) can be
obtained by using reduction of order; it is fairly complicated. We only mention the
final result:
2 � 𝑥 � 𝑥𝑛 � ∞
(−1)𝑚−1 (𝐻𝑚 + 𝐻𝑚+𝑛 )𝑥 2𝑚
𝑌𝑛 (𝑥) = 𝐽𝑛 (𝑥) log + 𝛾 +
𝜋 2 𝜋 𝑚=0 22𝑚+𝑛𝑚!(𝑚 + 𝑛)!

𝑥 −𝑛 � (𝑛 − 𝑚 − 1)!𝑥 2𝑚
𝑛−1
− for 𝑥 > 0 (4.4.7)
𝜋 𝑚=0 22𝑚−𝑛𝑚!

where 𝑛 = 0, 1, 2, . . ., 𝐻 0 = 0, 𝐻 1 = 1, 𝐻𝑘 = 1 + 12 + · · · + 𝑘1 , and 𝛾 = lim (𝐻𝑘 − log 𝑘)

𝑘→∞
is Euler constant. In particular,
2� � � � (−1)𝑚−1𝐻𝑚 𝑥 2𝑚 �
∞
𝑌0 (𝑥) = 𝐽0 (𝑥) log(𝑥/2) + 𝛾 + 2𝑚 (𝑚!) 2
.
𝜋 𝑚=1
2
It can be seen that 𝑌0 (𝑥) behaves like log 𝑥 for small 𝑥 and 𝑌0 (𝑥) → −∞ when
𝑥 → 0.
In fact, both the cases above can be unified to obtain a function 𝑌𝜈 (𝑥) which is a
second solution of Bessel equation. It is as follows:
� �
𝑌𝜈 (𝑥) = cosec(𝜈𝜋) 𝐽𝜈 (𝑥) cos(𝜈𝜋) − 𝐽−𝜈 (𝑥) .
With this definition, it can be seen that
lim 𝑌𝜈 (𝑥) = 𝑌𝑛 (𝑥).
𝜈→𝑛

But remember that when 𝜈 is not an integer, it does not say that 𝐽−𝜈 (𝑥) is equal to
𝑌−𝜈 (𝑥). In fact for 𝜈 ∉ Z, 𝑌−𝜈 (𝑥) = 𝑎𝐽𝜈 (𝑥) + 𝑏 𝐽−𝜈 (𝑥) for some nonzero 𝑎 and 𝑏.
Nonetheless, 𝐽𝜈 (𝑥) and 𝑌𝜈 (𝑥) are linearly independent and 𝑌𝜈 (𝑥) is also a solution
of Bessel equation (4.4.1). This function 𝑌𝜈 (𝑥) is called Bessel function of second
kind of order 𝜈. With the help of this function we thus say that the general solution
of Bessel equation (4.4.1) is given by
𝑦 (𝑥) = 𝑐 1 𝐽𝜈 (𝑥) + 𝑐 2𝑌𝜈 (𝑥)
for all values of 𝜈 and for 𝑥 > 0.
The complex solutions of Bessel equation may be given by
𝐻𝜈(1) (𝑥) = 𝐽𝜈 (𝑥) + 𝑖𝑌𝜈 (𝑥), 𝐻𝜈(2) (𝑥) = 𝐽𝜈 (𝑥) − 𝑖𝑌𝜈 (𝑥).
These two linearly independent complex solutions of Bessel equation are called
Bessel functions of third kind of order 𝜈.
82 MA2020 Classnotes

4.5 Properties of 𝐽𝜈 and 𝐽𝑛

In what follows we write 𝐽𝑛 to indicate that the parameter 𝜈 in 𝐽𝜈 is an integer 𝑛. In
this section we discuss some well known properties of 𝐽𝜈 (𝑥) and of 𝐽𝑛 (𝑥).
Multiply (4.4.2) by 𝑥 𝜈 to get
�
∞
(−1)𝑚 𝑥 2𝜈+2𝑚
𝑥 𝜈 𝐽𝜈 (𝑥) = .
𝑚=0
2𝜈+2𝑚 𝑚! Γ(𝜈 + 𝑚 + 1)

Differentiate with respect to 𝑥, cancel 2, pull out 𝑥 2𝜈−1 , and use the relation
(𝜈 + 𝑚)Γ(𝜈 + 𝑚) = Γ(𝜈 + 𝑚 + 1) to obtain

� 𝜈 �� �∞
(−1)𝑚 2(𝜈 + 𝑚)𝑥 2𝜈+2𝑚−1 𝜈 𝜈−1
�∞
(−1)𝑚 𝑥 2𝑚
𝑥 𝐽𝜈 (𝑥) = = 𝑥 𝑥 .
𝑚=0
2𝜈+2𝑚 𝑚! Γ(𝜈 + 𝑚 + 1) 𝑚=0
2𝜈+2𝑚−1 𝑚! Γ(𝜈 + 𝑚)

Comparing the last expression with (4.4.2), we find that

� 𝜈 ��
𝑥 𝐽𝜈 (𝑥) = 𝑥 𝜈 𝐽𝜈−1 (𝑥). (4.5.1)
Multiply (4.4.2) by 𝑥 −𝜈 , differentiate with respect to 𝑥, cancel 2𝑚, and shift the
index by taking 𝑚 = 𝑘 + 1, to obtain

� −𝜈 �� �
∞
(−1)𝑚 𝑥 2𝑚−1 � ∞
(−1)𝑘+1𝑥 2𝑘+1
𝑥 𝐽𝜈 (𝑥) = = .
𝑚=1
2𝜈+2𝑚−1 (𝑚 − 1)! Γ(𝜈 + 𝑚 + 1) 𝑘=0 2𝜈+2𝑘+1 𝑘! Γ(𝜈 + 𝑘 + 2)

Now, in (4.4.2) take 𝜈 as 𝜈 + 1 and 𝑚 as 𝑘 so that you get the last expression as
−𝑥 −𝜈 𝐽𝜈+1 (𝑥). Therefore,
� −𝜈 ��
𝑥 𝐽𝜈 (𝑥) = −𝑥 −𝜈 𝐽𝜈+1 (𝑥). (4.5.2)
From (4.5.1)-(4.5.2), we get
� �� � �
𝐽𝜈−1 (𝑥) = 𝑥 −𝜈 𝑥 𝜈 𝐽𝜈 (𝑥) = 𝑥 −𝜈 𝑥 𝜈 𝐽𝜈� (𝑥) + 𝜈𝑥 𝜈−1 𝐽𝜈 (𝑥) = 𝐽𝜈� (𝑥) + 𝜈𝑥 −1 𝐽𝜈 (𝑥).
� �� � �
𝐽𝜈+1 (𝑥) = −𝑥 𝜈 𝑥 −𝜈 𝐽𝜈 (𝑥) = −𝑥 𝜈 𝑥 −𝜈 𝐽𝜈� (𝑥) − 𝜈𝑥 −𝜈−1 𝐽𝜈 (𝑥) = −𝐽𝜈� (𝑥) + 𝜈𝑥 −1 𝐽𝜈 (𝑥).

Subtracting the second from the first, we obtain

𝐽𝜈−1 (𝑥) − 𝐽𝜈+1 (𝑥) = 2𝐽𝜈� (𝑥). (4.5.3)

And, adding those two equalities, we get
2𝜈
𝐽𝜈−1 (𝑥) + 𝐽𝜈+1 (𝑥) = 𝐽𝜈 (𝑥). (4.5.4)
𝑥
Special Functions 83
This identity can be rewritten as
2𝜈
𝐽𝜈+1 (𝑥) = 𝐽𝜈 (𝑥) − 𝐽𝜈−1 (𝑥). (4.5.5)
𝑥
Now, we can use it to compute
√ Bessel functions of higher order from lower ones.
Recall that Γ(1/2) = 𝜋. Then,
� ∞
√ � ∞
(−1)𝑚 𝑥 2𝑚 2� (−1)𝑚 𝑥 2𝑚+1
𝐽1/2 (𝑥) = 𝑥 = .
𝑚=0
22𝑚+1/2 𝑚! Γ(𝑚 + 3/2) 𝑥 𝑚=0 22𝑚+1 𝑚! Γ(𝑚 + 1/2)
However,
2𝑚𝑚! = 2𝑚(2𝑚 − 2) · · · 4 · 2.
2𝑚+1 Γ(𝑚 + 1/2) = 2𝑚+1 (𝑚 + 1/2)(𝑚 − 1/2) · · · (3/2) · (1/2)Γ(1/2)
√
= (2𝑚 + 1)(2𝑚 − 1) · · · 3 · 1 · 𝜋 .
√
22𝑚+1𝑚!Γ(𝑚 + 1/2) = [2𝑚𝑚!] [2𝑚+1 Γ(𝑚 + 1/2)] = (2𝑚 + 1)! 𝜋 .
Hence, � �
2 � (−1)𝑚 𝑥 2𝑚+1
∞
2
𝐽1/2 (𝑥) = √ = sin 𝑥 . (4.5.6)
𝑥 𝑚=0 (2𝑚 + 1)! 𝜋 𝜋𝑥
√
Multiply by 𝑥, differentiate with respect to 𝑥, and use (4.5.1) with 𝜈 = 1/2 to
obtain �
�√ �� 2 �√ �� √
𝑥 𝐽1/2 (𝑥) = cos 𝑥, 𝑥 𝐽1/2 (𝑥) = 𝑥 𝐽1/2−1 (𝑥).
𝜋
Therefore, �
2
𝐽−1/2 (𝑥) = cos 𝑥 . (4.5.7)
𝜋𝑥
Due to (4.5.5) 𝐽𝑘/2 (𝑥) for any integer 𝑘, can be expressed as a product of some
rational function and a trigonometric function.
To� find a generating� function for 𝐽𝑛 (𝑥) and 𝐽−𝑛 (𝑥), let us expand the function
exp 𝑡𝑥/2 − 𝑥/(2𝑡) . We find that
�∞ � �∞ �
� 𝑡𝑥 𝑥� � 1 � 𝑡𝑥 � 𝑟 � 1 � 𝑥 �𝑠
exp − =
2 2𝑡 𝑟! 2 𝑠! 2𝑡
� 𝑟∞=0
� �𝑠=0∞ �
� 1 � 𝑥 �𝑟 � (−1)𝑠 � 𝑥 � 𝑠
= 𝑡𝑟 𝑡 −𝑠
𝑟 =0
𝑟 ! 2 𝑠=0
𝑠! 2
�∞ � ∞ 𝑠 � �
(−1) 𝑥 𝑟 +𝑠 𝑟 −𝑠
= 𝑡
𝑟 =0 𝑠=0
𝑟 !𝑠! 2
∞  
� � (−1)𝑠 � 𝑥 � 𝑛+2𝑠  𝑛
∞

=  𝑡
𝑛=−∞ 𝑠=max{0,−𝑛} 
𝑠!(𝑛 + 𝑠)! 2
 
84 MA2020 Classnotes

For 𝑛 ≥ 0, the coefficient of 𝑡 𝑛 in the above expression is

� (−1)𝑠 � 𝑥 � 𝑛+2𝑠 � (−1)𝑠 𝑥 2𝑠
∞ ∞
= 𝑥𝑛 = 𝐽𝑛 (𝑥).
𝑠=0
(𝑠!(𝑛 + 𝑠)! 2 𝑠=0
2𝑛+2𝑠 𝑠!(𝑛 + 𝑠)!

And, for 𝑛 ≥ 0, the coefficient of 𝑡 −𝑛 is (shifting the index with 𝑘 = 𝑠 − 𝑛):

� (−1)𝑠 � 𝑥 � −𝑛+2𝑠 � (−1)𝑘+𝑛 � 𝑥 � 𝑛+2𝑠
∞ ∞
= = (−1)𝑛 𝐽𝑛 (𝑥) = 𝐽−𝑛 (𝑥).
𝑠=𝑛
𝑠!(𝑛 − 𝑠)! 2 (𝑛 + 𝑘)!𝑘! 2
𝑘=0

We thus conclude that the generating function for 𝐽𝑛 (𝑥) for 𝑛 ∈ Z is

� 𝑡𝑥 𝑥�
exp − .
2 2𝑡
It means
� 𝑡𝑥 𝑥� �∞
exp − = 𝐽𝑛 (𝑥)𝑡 𝑛 . (4.5.8)
2 2𝑡 𝑛=−∞

Some more properties of Bessel functions of first kind are to be found in the
exercises.
The zeros of Bessel functions of first kind play an important role in modeling
of vibrations. It is known that there are infinite number of positive zeros of 𝐽𝑛 (𝑥).
It is also known that between any two zeros of 𝐽𝑛 (𝑥) there exists a unique zero of
𝐽𝑛+1 (𝑥).

4.6 Exercises for § 4.4-4.5

1. Let 𝜈 ∉ Z. Show that the Wronskian of 𝐽𝜈 (𝑥) and 𝐽−𝜈 (𝑥) is given by
2 sin(𝜈𝜋)
𝑊 [𝐽𝜈 , 𝐽−𝜈 ] (𝑥) = − .
𝜋𝑥
Hint: Use Abel’s formula and find the limit of the Wronskian as 𝑥 → 0+.
2. Show the following identities:
sin(2𝑥) � �2 � �2 2
(a) 𝐽1/2 (𝑥)𝐽−1/2 (𝑥) = (b) 𝐽1/2 (𝑥) + 𝐽−1/2 (𝑥) = .
𝜋𝑥 𝜋𝑥
3. Using the generating function, show the following:
(a) 𝐽−𝑛 (𝑥) = (−1)𝑛 𝐽𝑛 (𝑥) (b) 𝐽𝑛 (−𝑥) = (−1)𝑛 𝐽𝑛 (𝑥).
4. Prove the following:
� 𝑥𝑡 𝑥� �∞
� �
(a) exp − = 𝐽0 (𝑥) + 𝐽𝑛 (𝑥) 𝑡 𝑛 + (−1)𝑛 𝑡 −𝑛 for 𝑡 ≠ 0.
2 2𝑡 𝑛=1
Special Functions 85
�
∞
(b) 𝐽𝑛 (𝑥 + 𝑦) = 𝐽𝑘 (𝑥) 𝐽𝑛−𝑘 (𝑦).
� �2 � �2
𝑘=−∞
�
∞
(c) 𝐽0 (2𝑥) = 𝐽0 (𝑥) + 2 (−1)𝑛 𝐽𝑛 (𝑥) .
� �2 ∞ � �2
𝑛=1
�
(d) 𝐽0 (𝑥) +2 = 1.
𝐽𝑛 (𝑥)
𝑛=1
√ √
(e) −1 ≤ 𝐽0 (𝑥) ≤ 1 and −1/ 2 ≤ 𝐽𝑛 (𝑥) ≤ 1/ 2 for all 𝑥 ∈ R and 𝑛 ∈ N.
� �
Hint: Let 𝑤 (𝑥, 𝑡) = exp 𝑥𝑡2 − 2𝑡𝑥 . Then, 𝑤 (𝑥 + 𝑦, 𝑡) = 𝑤 (𝑥, 𝑡)𝑤 (𝑦, 𝑡) and
𝑤 (𝑥, 𝑡)𝑤 (−𝑥, 𝑡) = 1.
� �
5. Show that 𝑢 = 2 exp(𝑥/2) transforms the ODE 𝑦 �� + exp(𝑥) −𝑚 2 𝑦 = 0 to the
𝑑 2𝑦 𝑑𝑦
Bessel equation 𝑢 2 2 + 𝑢 + (𝑢 2 − 4𝑚 2 )𝑦 = 0. Then, write the general
𝑑𝑢 𝑑𝑢
solution of the ODE.
√ � �
6. Show that 𝑦 = 𝑥 𝑢 (𝑥) transforms the ODE 4𝑥 2𝑦 �� + 1 + 4(𝑥 2 − 𝑘 2 ) 𝑦 = 0
to the Bessel equation 𝑥 2𝑢 �� + 𝑥𝑢 � + (𝑥 2 − 𝑘 2 )𝑢 = 0. Then, write the general
solution of the ODE.
7. Show that 𝑧 = 𝑎𝑥 𝑏 , 𝑤 = 𝑦𝑥 𝑐 transforms the Bessel equation

𝑑 2𝑤 𝑑𝑤
2
𝑧2
+𝑧 + (𝑧 2 − 𝑝 2 )𝑤 = 0
𝑑𝑧 𝑑𝑧
� �
to the ODE 𝑥 2𝑦 �� + (2𝑐 + 1)𝑥𝑦 � + 𝑎 2𝑏 2𝑥 2𝑏 + (𝑐 2 − 𝑝 2𝑏 2 𝑦 = 0. Then, write
the solution of the ODE.
8. Show that the general solution of the ODE 𝑦 �� + 𝑥𝑦 = 0 is
√ � � � � ��
𝑦(𝑥) = 𝑥 𝑐 1 𝐽1/3 23 𝑥 3/2 + 𝑐 2 𝐽−1/3 23 𝑥 3/2 .

√
9. Show that 𝑦 = 𝑥 𝑢 (𝑥 2 /2) transforms the ODE 𝑦 �� + 𝑥 2𝑦 = 0 to the Bessel
equation of order 1/4. Then, write the general solution of the ODE.
10. Show that the general solution of the ODE 𝑦 � = 𝑥 2 + 𝑦 2 is

𝐽−3/4 (𝑥 2 /2) + 𝑐 𝐽3/4 (𝑥 2 /2)

𝑦(𝑥) = 𝑥 .
𝑐 𝐽−1/4 (𝑥 2 /2) − 𝐽1/4 (𝑥 2 /2)

Hint: The transformation 𝑦 = −𝑢 �/𝑢 reduces the ODE to 𝑢 �� + 𝑥 2𝑢 = 0. Then

use Exercise 9.
11. Show the following:
𝐽𝜈−1 (𝑥) 2𝜈 𝐽𝜈+1 (𝑥)
(a) = − .
𝐽𝜈 (𝑥) 𝑥 𝐽𝜈 (𝑥)
86 MA2020 Classnotes

𝐽𝜈−1 (𝑥) 2𝜈 1
(b) = − .
𝐽𝜈 (𝑥) 𝑥 2𝜈 + 2 1
− 2𝜈+4
𝑥 𝑥 − ..
.
1
(c) tan 𝑥 = .
1 1
−
𝑥 3 1
𝑥 − 5
𝑥 − ..
.
12. Show the following identities:
� �
(a) 𝐽0�� (𝑥) = 12 𝐽2 (𝑥) − 𝐽0 (𝑥) .
(b) 𝐽1�� (𝑥) = −𝐽1 (𝑥) + 𝑥 −1 𝐽2 (𝑥).
� �� � 2 �
(c) 2𝑛 𝐽𝑛2 (𝑥) = 𝑥 𝐽𝑛−1 2 (𝑥)
� � � �
(𝑥) − 𝐽𝑛+1
(d) 𝑥 𝐽𝑛2 (𝑥) + 𝐽𝑛+1 2 (𝑥) � = 2 𝑛𝐽 2 (𝑥) − (𝑛 + 1)𝐽 2 (𝑥) .
� � � 𝑛 � 𝑛+1
(e) 𝐽4 (𝑥) = 𝑥483 − 𝑥8 𝐽1 (𝑥) + 1 − 𝑥242 𝐽0 (𝑥).
� 𝜈 ��
13. Using the�𝑟 recurrence 𝑥 𝐽𝜈 (𝑥) = 𝑥 𝜈 𝐽𝜈−1 (𝑥) show that for any 𝑎 > 0 and
𝑟
𝑟 > 0, 𝑥 𝐽0 (𝑎𝑥) 𝑑𝑥 = 𝐽1 (𝑎𝑟 ).
0 𝑎
14. Using the recurrence relation 𝑥 𝐽𝜈+1 (𝑥) = 2𝜈 𝐽𝜈 (𝑥) − 𝑥 𝐽𝜈−1 (𝑥) show that
� �
2 � sin 𝑥 � 2 � cos 𝑥 �
(a) 𝐽3/2 (𝑥) = − cos 𝑥 (b) 𝐽−3/2 (𝑥) = − + sin 𝑥 .
𝜋𝑥 𝑥 𝜋𝑥 𝑥
15. Using the fact that 𝐽𝜈 (𝑥) is a solution of Bessel equation with parameter 𝜈 and
the recurrence 𝑥 𝐽𝜈� (𝑥) = 𝜈 𝐽𝜈 (𝑥) − 𝑥 𝐽𝜈+1 (𝑥) prove that

𝑥 2 𝐽𝜈�� (𝑥) = (𝜈 2 − 𝜈 − 𝑥 2 )𝐽𝜈 (𝑥) + 𝑥 𝐽𝜈+1 (𝑥).

4.7 Sturm-Liouville problems

∫1
We have seen that Legendre polynomials are orthogonal, i.e., −1 𝑃𝑚 (𝑥)𝑃𝑛 (𝑥) 𝑑𝑥 = 0
when 𝑚 ≠ 𝑛. A similar relation holds for Bessel functions. There is a generalization
of all these types of functions that are defined by a second order ODE. We will
discuss this generalization here. Later we will conclude many useful properties
about Bessel functions using this generalized problem.
Any ODE in the following form is called a Sturm-Liouville equation:
� �� � �
𝑝 (𝑥)𝑦 � + 𝑞(𝑥) + 𝜆𝑟 (𝑥) 𝑦 = 0 for 𝑎 < 𝑥 < 𝑏 (4.7.1)

Here, 𝜆 ∈ R is a parameter.
Special Functions 87
(4.1) Example
1. The simple harmonic motion equation 𝑦 �� +𝑛 2𝑦 = 0 is a Sturm-Liouville equation
with 𝑝 (𝑥) = 1, 𝑞(𝑥) = 0, 𝑟 (𝑥) = 1 and 𝜆 = 𝑛 2 .
2. The Legendre equation (1 − 𝑥 2 )𝑦 �� − 2𝑥𝑦 � + 𝜌 (𝜌 + 1)𝑦 = 0 is a Sturm-Liouville
equation with 𝑝 (𝑥) = 1 − 𝑥 2 , 𝑞(𝑥) = 0, 𝑟 (𝑥) = 1 and 𝜆 = 𝑝 (𝑝 + 1).
3. The Bessel equation

𝑑 2𝑦 𝑑𝑦
𝑡2 2
+ 𝑡 + (𝑡 2 − 𝜈 2 )𝑦 = 0 for 𝑡 > 0
𝑑𝑡 𝑑𝑡
is a Sturm-Liouville equation. To see this, put 𝑡 = 𝑘𝑥 for 𝑘 > 0. Then, 𝑥 = 𝑡/𝑘
so that
𝑑𝑦 𝑑𝑦 𝑑𝑥 𝑦 � 𝑑 2𝑦 𝑑 𝑦� 𝑑 𝑦 � 𝑑𝑥 𝑦 ��
= = , = = = 2.
𝑑𝑡 𝑑𝑥 𝑑𝑡 𝑘 𝑑𝑡 2 𝑑𝑡 𝑘 𝑑𝑥 𝑘 𝑑𝑡 𝑘
Then the above Bessel equation is reduced to
𝑦 �� 𝑦�
𝑘 2𝑥 2 + 𝑘𝑥 + (𝑘 2𝑥 2 − 𝜈 2 )𝑦 = 0 or
𝑘2 𝑘
𝑥 2𝑦 �� + 𝑥𝑦 � + (𝑘 2𝑥 2 − 𝜈 2 )𝑦 = 0 or
𝑥 (𝑥𝑦 �) � + (𝑘 2𝑥 2 − 𝜈 2 )𝑦 = 0 or
� 𝜈2 �
(𝑥𝑦 �) � + 𝑘 2𝑥 − 𝑦 = 0 or
𝑥
� 𝜈2 �
(𝑥𝑦 �) � + − + 𝜆𝑥 𝑦 = 0 where 𝜆 = 𝑘 2 .
𝑥
This is a Sturm-Liouville equation with 𝑝 (𝑥) = 𝑥, 𝑞(𝑥) = −𝜈 2 /𝑥, 𝑟 (𝑥) = 𝑥 for
𝑥 > 0.
Notice that 𝐽𝜈 (𝜆𝑥) satisfies this ODE.

With the Sturm-Liouville equation, we associate one of the following conditions:

𝑘 1𝑦 (𝑎) + 𝑘 2𝑦 � (𝑎) = 0, ℓ1𝑦 (𝑏) + ℓ2𝑦 � (𝑏) = 0 (4.7.2)

𝑝 (𝑎) = 𝑝 (𝑏), 𝑦(𝑎) = 𝑦(𝑏), 𝑦 � (𝑎) = 𝑦 � (𝑏). (4.7.3)

𝑝 (𝑎) = 0, ℓ1𝑦(𝑏) + ℓ2𝑦 (𝑏) = 0,
�
𝑦(𝑥) remains bounded. (4.7.4)
𝑘 1𝑦(𝑎) + 𝑘 2𝑦 (𝑎) = 0,
�
𝑝 (𝑏) = 0, 𝑦(𝑥) remains bounded. (4.7.5)
Here, 𝑘 1, 𝑘 2, ℓ1, ℓ2 are constants where at least one 𝑘 is nonzero and at least one ℓ is
nonzero, 𝑝 (𝑥), 𝑝 � (𝑥), 𝑞(𝑥), 𝑟 (𝑥) are continuous on 𝑎 ≤ 𝑥 ≤ 𝑏, and 𝑝 (𝑥) is a non-zero
function. We also assume that either 𝑟 (𝑥) > 0 for all 𝑥 ∈ [𝑎, 𝑏] or 𝑟 (𝑥) < 0 for all
𝑥 ∈ [𝑎, 𝑏].
88 MA2020 Classnotes

The conditions in (4.7.2)-(4.7.5) are prescribed at two points instead of at one

single point; thus these conditions are called boundary conditions. Accordingly,
the Sturm-Liouville equation (4.7.1) along with one of these boundary conditions
is called a Sturm-Liouville problem. The names associated with these problems
are as follows:
regular Sturm-Liouville problem: (4.7.1) and (4.7.2)
periodic Sturm-Liouville problem: (4.7.1) and (4.7.3)
singular Sturm-Liouville problems: (4.7.1) with any one of (4.7.4) or (4.7.5)
We must remember that if a solution of the BVP exists, then it must be well defined
over the interval [𝑎, 𝑏].
If the zero function is a solution of a Sturm-Liouville problem, then it is called
the trivial solution. We are interested in getting non-trivial solutions.
Suppose a Sturm-Liouville problem is given. Corresponding to each value of
the parameter 𝜆, there may or may not exist a nontrivial solution of the problem.
Those values of 𝜆 for which the problem has a non-trivial solution are called
eigenvalues. Corresponding to an eigenvalue 𝜆, the non-trivial solutions 𝑦(𝑥) are
called eigenfunction.

(4.2) Example
Find the eigenvalues and eigenfunctions of the Sturm-Liouville problem

𝑦 �� + 𝜆𝑦 = 0, 𝑦(0) = 0, 𝑦(𝜋) = 0.

This is a regular Sturm-Liouville problem with 𝑎 = 0, 𝑏 = 𝜋, 𝑝 (𝑥) = 1, 𝑞(𝑥) = 0,

𝑟 (𝑥) = 1, and 𝑘 1 = ℓ1 = 1, 𝑘 2 = ℓ2 = 0. Since the boundary conditions are given
at 𝑥 = 0 and at 𝑥 = 𝜋, the eigenfunctions if exist, must be defined over the interval
[0, 𝜋].
For 𝜆 = 0, the equation is 𝑦 �� = 0 giving the general solution as 𝑦(𝑥) = 𝑐 1 + 𝑐 2𝑥.
Now, 𝑦 (0) = 0 ⇒ 𝑐 1 = 0. So, 𝑦(𝑥) = 𝑐 1𝑥. Then, 𝑦 (𝜋) = 0 ⇒ 𝑐 2 = 0.
So, 𝑦 (𝑥) = 0, the zero function. Thus, 𝜆 = 0 is not an eigenvalue; it means that
corresponding to 𝜆 = 0, there does not exist any eigenfunction (non-trivial solution).
Let 𝜆 < 0. Write 𝜆 = −𝛼 2 for nonzero 𝛼 ∈ R. The ODE is 𝑦 �� = 𝛼 2𝑦. Its general
solution is 𝑦 = 𝑐 1𝑒 𝛼𝑥 + 𝑐 2𝑒 −𝛼𝑥 . The boundary conditions imply that 𝑐 1 + 𝑐 2 = 0 and
𝑐 1𝑒 𝜋 + 𝑐 2𝑒 −𝜋 = 0. The solution of these two linear equations in 𝑐 1, 𝑐 2 is unique and
it is 𝑐 1 = 0 = 𝑐 2 . Consequently, 𝑦 (𝑥) = 0, the zero function. Hence, no negative
number is an eigenvalue of this Sturm-Liouville problem.
Let 𝜆 > 0. Write 𝜆 = 𝛽 2 for 𝛽 ≠ 0. The ODE is 𝑦 �� + 𝛽 2𝑦 = 0. Its general
solution is 𝑦 (𝑥) = 𝑐 1 cos(𝛽𝑥) + 𝑐 2 sin(𝛽𝑥). Now, 𝑦(0) = 0 implies 𝑐 1 = 0. So,
𝑦(𝑥) = 𝑐 2 sin(𝛽𝑥). Then 𝑦 (𝜋) = 𝑐 2 sin(𝛽𝜋). If 𝑐 2 = 0, then 𝑦(𝑥) = 0, the zero
function. Thus, in order that 𝑦 (𝑥) be non-trivial, we must have 𝑐 2 ≠ 0. Then,
sin(𝛽𝜋) = 0 ⇒ 𝛽 ∈ Z. Write 𝛽 = 𝑛.
Special Functions 89
As 𝛽 = 𝑛 ≠ 0, the eigenvalues are 𝜆 = 𝑛 2 for 𝑛 = 1, 2, 3, . . . and the corresponding
eigenfunctions are 𝑦(𝑥) = sin(𝑛𝑥) defined over the interval [0, 𝜋].

(4.3) Example
Find the eigenvalues and eigenfunctions of the Sturm-Liouville problem

𝑦 �� + 𝜆𝑦 = 0, 𝑦(0) = 0, 𝑦 � (𝜋) = 0.

This is again a regular Sturm-Liouville problem. As earlier, we consider three cases.

If 𝜆 = 0, then the general solution is 𝑦(𝑥) = 𝑐 1 + 𝑐 2𝑥. Now, 𝑦 (0) = 0 ⇒ 𝑐 1 = 0.
Then 𝑦 (𝑥) = 𝑐 2𝑥 ⇒ 𝑦 � (𝑥) = 𝑐 2 . Then, 𝑦 � (𝜋) = 0 ⇒ 𝑐 2 = 0. So, 𝑦(𝑥) = 0.
Therefore, 0 is not an eigenvalue.
If 𝜆 < 0, then write 𝜆 = −𝛼 2 for 𝛼 ≠ 0. The general solution is 𝑦 (𝑥) =
𝑐 1𝑒 𝛼𝑥 + 𝑐 2𝑒 −𝛼𝑥 so that 𝑦 � (𝑥) = 𝑐 1𝛼𝑒 𝛼𝑥 − 𝑐 2𝛼𝑒 −𝛼𝑥 . The boundary conditions imply
𝑐 1 + 𝑐 2 = 1 and 𝑐 1𝛼𝑒 𝛼𝜋 − 𝑐 2𝛼𝑒 −𝛼𝜋 = 0. It gives 𝑐 1 = 𝑐 2 = 0 so that 𝑦 (𝑥) = 0, the zero
function. Hence, negative numbers are not eigenvalues.
So, let 𝜆 = 𝛽 2, 𝛽 ≠ 0. The general solution is 𝑦 (𝑥) = 𝑐 1 cos(𝛽𝑥) + 𝑐 2 sin(𝛽𝑥).
Now, 𝑦 (0) = 0 ⇒ 𝑐 1 = 0 so that 𝑦 (𝑥) = 𝑐 2 sin(𝛽𝑥). Then 𝑦 � (𝑥) = 𝑐 2 𝛽 cos(𝛽𝑥). The
boundary condition 𝑦 � (𝜋) = 0 implies 𝑐 2 𝛽 cos(𝛽𝜋) = 0. Now, 𝑐 2 = 0 would give
only trivial solution. Otherwise, 𝛽 cos(𝛽𝜋) = 0 ⇒ cos(𝛽𝜋) = 0 ⇒ 𝛽 = 𝑛 + 1/2
for 𝑛 ∈ Z. Thus, the eigenvalues are

(2𝑛 + 1) 2
𝜆𝑛 = 𝛽 2 = for 𝑛 = 0, 1, 2, 3, . . .
4
Notice that negative values of 𝑛 give rise to already listed eigenvalues. The corre-
sponding eigenfunctions are

𝑦𝑛 (𝑥) = sin(𝛽𝑥) = sin(𝑛 + 1/2)𝑥 for 𝑛 = 0, 1, 2, 3, . . . .

(4.4) Example
Find the eigenvalues and eigenfunctions of the periodic Sturm-Liouville problem

𝑦 �� + 𝜆𝑦 = 0, 𝑦(0) = 𝑦(ℓ), 𝑦 � (0) = 𝑦 � (ℓ)

where ℓ > 0 is given.

If 𝜆 = 0, then the general solution is 𝑦(𝑥) = 𝑐 1 + 𝑐 2𝑥. Now, 𝑦(0) = 𝑦(ℓ) ⇒ 𝑐 1 =
𝑐 1 + 𝑐 2 ℓ ⇒ 𝑐 2 = 0 ⇒ 𝑦(𝑥) = 𝑐 1 , which is a nonzero function for 𝑐 1 ≠ 0. Thus,
𝜆 = 0 is an eigenvalue and 𝑦(𝑥) = 1 is a corresponding eigenfunction.
If 𝜆 < 0, say, 𝜆 = −𝛼 2 for 𝛼 ≠ 0, then the general solution is 𝑦 (𝑥) = 𝑐 1𝑒 𝛼𝑥 +𝑐 2𝑒 −𝛼𝑥 .
The boundary conditions imply

𝑐 1 + 𝑐 2 = 𝑐 1𝑒 𝛼ℓ + 𝑐 2𝑒 𝛼ℓ , 𝛼𝑐 1 − 𝛼𝑐 2 = 𝛼𝑐 1𝑒 𝛼ℓ − 𝛼𝑐 2𝑒 −𝛼ℓ
90 MA2020 Classnotes

⇒ 𝑐 1 (1 − 𝑒 𝛼ℓ ) = 𝑐 2 (𝑒 −𝛼ℓ − 1), 𝑐 1 (1 − 𝑒 𝛼ℓ ) = 𝑐 2 (1 − 𝑒 −𝛼ℓ ).

Solving these, we get 𝑐 1 = 0 = 𝑐 2 . This leads to the trivial solution. So, negative
numbers are not eigenvalues.
If 𝜆 > 0, write 𝜆 = 𝛽 2 for 𝛽 ≠ 0. Then, the general solution is given by
𝑦 = 𝑐 1 cos(𝛽𝑥) + 𝑐 2 sin(𝛽𝑥). The boundary conditions give

𝑐 1 = 𝑐 1 cos(𝛽ℓ) + 𝑐 2 sin(𝛽ℓ), 𝑐 2 𝛽 = −𝑐 1 𝛽 sin(𝛽ℓ) + 𝑐 2 𝛽 cos(𝛽ℓ)

� � � �
⇒ 𝑐 1 1 − cos(𝛽ℓ) = 𝑐 2 sin(𝛽ℓ), 𝑐 1 sin(𝛽ℓ) = 𝑐 2 cos(𝛽ℓ) − 1 .
� � � �2
⇒ 𝑐 2 sin(𝛽ℓ) cos(𝛽ℓ) − 1 = −𝑐 1 1 − cos(𝛽ℓ) = 𝑐 1 sin2 (𝛽ℓ)
� � �2�
⇒ 𝑐 1 sin2 (𝛽ℓ) + 1 − cos(𝛽ℓ) =0
� �
⇒ 𝑐 1 2 − 2 cos(𝛽ℓ) = 0
⇒ 𝑐1 = 0 or cos(𝛽ℓ) = 1.

If 𝑐 1 = 0, then 𝑐 2 = 0 so that 𝑦(𝑥) is the trivial solution. This does not give any
eigenvalue. So, let cos(𝛽ℓ) = 1. Then, 𝛽ℓ = 2𝑛𝜋 for 𝑛 ∈ Z. Then,

𝜆𝑛 = 𝛽 2 = 4𝑛 2 𝜋 2 /ℓ 2 for 𝑛 = 0, 1, 2, 3, . . .

are the eigenvalues. The corresponding solutions are

𝑦𝑛 (𝑥) = 𝑐 1 cos(𝛽𝑛 𝑥) + 𝑐 2 sin(𝛽𝑛 𝑥), 𝛽𝑛 = 2𝑛𝜋/ℓ for 𝑛 = 0, 1, 2, 3, . . .

Thus, both the functions cos(𝛽𝑛 𝑥) and sin(𝛽𝑛 𝑥) are eigenfunctions associated with
the eigenvalue 𝛽𝑛2 . That is, the eigenvalues and the corresponding eigenfunctions
are
4𝑛 2 𝜋 2 � 2𝑛𝜋𝑥 � � 2𝑛𝜋𝑥 �
1 2
𝜆𝑛 = , 𝑦 (𝑥) = cos , 𝑦 (𝑥) = sin
ℓ2 𝑛
ℓ 𝑛
ℓ
for 𝑛 = 0, 1, 2, 3, . . ., defined over [0, ℓ].

(4.5) Example
Find the eigenvalues and eigenfunctions of the regular Sturm-Liouville problem

𝑦 �� + 𝜆𝑦 = 0, 𝑦(0) = 𝑦 � (0), 𝑦(1) + 𝑦 � (1) = 0.

Notice that the eigenfunctions must be well defined over [0, 1]. As earlier we
consider the three cases.
If 𝜆 = 0, then the general solution is 𝑦 (𝑥) = 𝑐 1 + 𝑐 2𝑥. The boundary conditions
give 𝑐 1 = 𝑐 2, 2𝑐 1 + 𝑐 2 = 0 ⇒ 𝑐 1 = 0 = 𝑐 2 . So, 𝑦 (𝑥) = 0. Hence, 𝜆 = 0 is not an
eigenvalue.
Let 𝜆 < 0. Write 𝜆 = −𝛼 2 for 𝛼 ≠ 0. The general solution is 𝑦 (𝑥) = 𝑐 1𝑒 𝛼𝑥 +𝑐 2𝑒 −𝛼𝑥 .
The boundary conditions give

𝑐 1 + 𝑐 2 = 𝑐 1𝛼 − 𝑐 2𝛼, 𝑐 1𝑒 𝛼 + 𝑐 2𝑒 −𝛼 + 𝑐 1𝛼𝑒 𝛼 − 𝑐 2𝛼𝑒 −𝛼 = 0

Special Functions 91
⇒ 𝑐 1 (1 − 𝛼) = −𝑐 2 (1 + 𝛼), 𝑐 1 (1 + 𝛼)𝑒 𝛼 + 𝑐 2 (1 − 𝛼)𝑒 −𝛼 = 0.
If 𝛼 = 1, then the first equation gives 𝑐 2 = 0, and the second equation gives 𝑐 1 = 0. It
leads to the trivial solution. So, let 𝛼 ≠ 1. Eliminating 𝑐 2 from the above equations,
we get

−𝑐 2 (1 + 𝛼)(1 − 𝛼)𝑒 −𝛼 = 𝑐 1 (1 − 𝛼) 2𝑒 −𝛼 = 𝑐 1 (1 + 𝛼) 2𝑒 𝛼
� �
⇒ 𝑐 1 (1 − 𝛼) 2𝑒 −𝛼 − 𝑐 1 (1 + 𝛼) 2𝑒 𝛼 = 0
⇒ 𝑐 1 = 0. (The bracketed term is nonzero.)

It then follows that 𝑐 2 = 0 so that there is no non-trivial solution. In any case, no

non-trivial solution exists. So, negative numbers are not eigenvalues.
Then, consider 𝜆 > 0. Write 𝜆 = 𝛽 2 for 𝛽 ≠ 0. The general solution is
𝑦 (𝑥) = 𝑐 1 cos(𝛽𝑥) + 𝑐 2 sin(𝛽𝑥). The boundary conditions give

𝑐 1 = 𝛽𝑐 2, 𝑐 1 cos 𝛽 + 𝑐 2 sin 𝛽 − 𝛽𝑐 1 sin 𝛽 + 𝛽𝑐 2 cos 𝛽 = 0.

Eliminating 𝑐 1 , we have

𝛽𝑐 2 cos 𝛽 + 𝑐 2 sin 𝛽 − 𝛽 2𝑐 2 sin 𝛽 + 𝛽𝑐 2 cos 𝛽 = 0

� �
⇒ 𝑐 2 2𝛽 cos 𝛽 + (1 − 𝛽 2 ) sin 𝛽 = 0.

If 𝑐 2 = 0, then 𝑐 1 = 0 and it leads to the trivial solution. For a non-trivial solution,

we must have 2𝛽 cos 𝛽 + (1 − 𝛽 2 ) sin 𝛽 = 0. It gives
2𝛽
tan 𝛽 = for 𝛽 ≠ 0.
𝛽2 −1

That is, the eigenvalues are 𝛽 2 , where 𝛽 ≠ 0 satisfies the above equation. The
corresponding eigenfunctions are 𝑦 1 (𝑥) = cos(𝛽𝑥) and 𝑦 2 (𝑥) = sin(𝛽𝑥).

(4.6) Example
Find the eigenvalues and eigenfunctions of Bessel equation

𝑑 2𝑦 𝑑𝑦
𝑡2 2
+𝑡 + (𝑡 2 − 𝑛 2 )𝑦 = 0 for 𝑡 > 0.
𝑑𝑡 𝑑𝑡
As in Example 4.1(3); take 𝑡 = 𝑘𝑥 for 𝑘 > 0. Then, the ODE is transformed to the
Sturm-Liouville equation
� 𝑛2 �
(𝑥𝑦 �) � + − + 𝜆𝑥 𝑦 = 0 where 𝜆 = 𝑘 2 .
𝑥
We regard this ODE to hold on the interval (0, 𝑅), associate with this the boundary
condition 𝑦(𝑅) = 0 for a fixed positive number 𝑅 and require that solutions of
92 MA2020 Classnotes

this Sturm-Liouville problem remain bounded on the interval [0, 𝑅]. Notice that
𝑝 (𝑥) = 𝑥 so that 𝑝 (0) = 0. Hence, this is a singular Sturm-Lioville problem.
We know that the linearly independent solutions of the above Bessel equation are
𝐽𝑛 (𝑡) and 𝑌𝑛 (𝑡). Thus the general solution of the Sturm-Liouville equation is
𝑦 (𝑥) = 𝑐 1 𝐽𝑛 (𝑘𝑥) + 𝑐 2𝑌𝑛 (𝑘𝑥).
Recall that 𝑌𝑛 (𝑘𝑥) → ∞ as 𝑥 → 0. Since we need only bounded solutions, we must
set 𝑐 2 = 0. Then the required non-trivial solution of the Sturm-Liouville problem is
in the form 𝑦(𝑥) = 𝑐 1 𝐽𝑛 (𝑘𝑥), where 𝑐 1 ≠ 0 and 𝑥 ∈ [0, 𝑅].
Notice that 𝐽0 (0) = 1 and 𝐽𝑛 (0) = 0 for 𝑛 ≥ 1. The boundary condition 𝑦(𝑥) is
equal to 0 at 𝑥 = 𝑅 gives
𝐽𝑛 (𝑘𝑅) = 0 for 𝑛 ≥ 0.
Thus, 𝑘𝑅 is a zero of 𝐽𝑛 (𝑥). It is known that there are infinite number of positive
zeros of 𝐽𝑛 (𝑥). So, we denote the zeros of 𝐽𝑛 (𝑥) by 𝑧𝑛,𝑟 with 𝑟 = 1, 2, 3, . . .. Then,
the values of 𝑘 are
𝑧𝑛,𝑟
𝑘= for 𝑟 = 1, 2, 3, . . .
𝑅
As 𝜆 = 𝑘 2 , the eigenvalues and the corresponding eigenfunctions are
�𝑧 �2 �𝑧 𝑥 �
𝑛,𝑟 𝑛,𝑟
𝜆𝑟 = , 𝑦𝑟 (𝑥) = 𝐽𝑛 for 𝑟 = 1, 2, 3, . . .
𝑅 𝑅
where 𝑧𝑛,𝑟 is the 𝑟 th positive zero of 𝐽𝑛 (𝑥).

4.8 Orthogonality
The most important property of eigenfunctions of a Sturm-Liouville problem is that
the eigenfunctions are orthogonal. For the plane vectors, orthogonality is obtained
via the dot product. To generalize this notion, we introduce the so called inner
products of funtions.
Let 𝑓 (𝑥) and 𝑔(𝑥) be real valued functions defined on an interval [𝑎, 𝑏]. Let 𝑟 (𝑥)
be a positive function defined on [𝑎, 𝑏], that is, 𝑟 (𝑥) > 0 for each 𝑥 ∈ [𝑎, 𝑏]. The
inner product with weight 𝑟 (𝑥) of 𝑓 (𝑥) and 𝑔(𝑥) is denoted by �𝑓 , 𝑔� and is defined
as � 𝑏
�𝑓 , 𝑔� := 𝑟 (𝑥) 𝑓 (𝑥) 𝑔(𝑥) 𝑑𝑥 .
𝑎
It follows that �𝑓 , 𝑓 � ≥ 0. The norm of a function 𝑓 (𝑥) is denoted by �𝑓 � and is
defined as �
� �𝑏
�𝑓 � = �𝑓 , 𝑓 � = 𝑟 (𝑥) [𝑓 (𝑥)] 2 𝑑𝑥 .
𝑎
Special Functions 93
We say that two nonzero functions 𝑓 and 𝑔 are orthogonal to each other with weight
𝑟 (𝑥) iff �𝑓 , 𝑔� = 0. We generalize a bit.
The real valued nonzero functions 𝑦1 (𝑥), 𝑦2 (𝑥), . . . defined on an interval [𝑎, 𝑏]
are called orthogonal with weight 𝑟 (𝑥) iff 𝑦𝑚 (𝑥) is orthogonal to 𝑦𝑛 (𝑥) for all
𝑚, 𝑛 ∈ N, 𝑚 ≠ 𝑛.
Further, these functions 𝑦1 (𝑥), 𝑦2 (𝑥), . . . are called orthonormal with weight 𝑟 (𝑥)
iff they are orthogonal and the norm of each 𝑦 𝑗 is 1. This happens when for all
𝑚, 𝑛 ∈ N, we find that
�𝑏 �
0 if 𝑚 ≠ 𝑛
�𝑦𝑚 , 𝑦𝑛 � = 𝑟 (𝑥) 𝑦𝑚 (𝑥) 𝑦𝑛 (𝑥) 𝑑𝑥 = 𝛿𝑚,𝑛 =
𝑎 1 if 𝑚 = 𝑛.

In general, if 𝑦1 (𝑥), 𝑦2 (𝑥), 𝑦3 (𝑥), . . . are orthogonal, then the normalized functions

𝑦1 (𝑥) 𝑦2 (𝑥) 𝑦3 (𝑥)

, , , ...
�𝑦1 � �𝑦2 � �𝑦3 �
are orthonormal.

(4.7) Example
1. The functions 𝑦 𝑗 (𝑥) = sin( 𝑗𝑥), 𝑗 = 1, 2, . . . are orthogonal on the interval
[−𝜋, 𝜋] with the weight function 𝑟 (𝑥) = 1. Indeed, if 𝑚 ≠ 𝑛, then
�𝜋 � �
1 𝜋 1 𝜋
�𝑦𝑚 , 𝑦𝑛 � = sin(𝑚𝑥) sin(𝑛𝑥) 𝑑𝑥 = cos(𝑚−𝑛)𝑥 𝑑𝑥− cos(𝑚+𝑛)𝑥 𝑑𝑥 = 0.
−𝜋 2 −𝜋 2 −𝜋
�𝜋
2
Also, we find that �𝑦𝑚 � = �𝑦𝑚 , 𝑦𝑚 � = sin2 (𝑚𝑥) 𝑑𝑥 = 𝜋 .
−𝜋
sin 𝑥 sin(2𝑥) sin(3𝑥)
Hence, the functions √ , √ , √ , . . . are orthonormal.
𝜋 𝜋 𝜋
2. Similar to (1), if 𝑚 ≠ 𝑛, then
�𝜋 �𝜋 �𝜋
1 · cos(𝑚𝑥) 𝑑𝑥 = 0, 1 · sin(𝑚𝑥) 𝑑𝑥 = 0, cos(𝑚𝑥) cos(𝑛𝑥) 𝑑𝑥 = 0,
−𝜋
�𝜋 −𝜋
�𝜋 −𝜋

cos(𝑚𝑥) sin(𝑛𝑥) 𝑑𝑥 = 0, sin(𝑚𝑥) sin(𝑛𝑥) 𝑑𝑥 = 0, and

�𝜋
−𝜋
�𝜋 −𝜋
�𝜋
2
1 𝑑𝑥 = 2𝜋, cos (𝑚𝑥) 𝑑𝑥 = 𝜋, sin2 (𝑚𝑥) 𝑑𝑥 = 𝜋 .
−𝜋 −𝜋 −𝜋

1 cos(𝑚𝑥) sin(𝑚𝑥)
Hence, √ , √ , √ for 𝑚 = 1, 2, 3, . . . are orthonormal.
2𝜋 𝜋 𝜋
94 MA2020 Classnotes

We mention an important fact about Sturm-Liouville problems.

(4.8) Theorem
Consider the Sturm-Liouville problem (4.7.1) either with 𝑝 (𝑎) = 𝑝 (𝑏) = 0 or with
one of the boundary conditions in (4.7.2)-(4.7.5). Let 𝑝 (𝑥), 𝑞(𝑥), 𝑟 (𝑥), 𝑝 � (𝑥) be
continuous and 𝑟 (𝑥) > 0 on 𝑎 ≤ 𝑥 ≤ 𝑏. Then all eigenvalues are real, and they
may be arranged in order as 𝜆1 < 𝜆2 < 𝜆3 < · · · , where lim 𝜆𝑛 = ∞. Further, if
𝑛→∞
𝑦𝑚 (𝑥) and 𝑦𝑛 (𝑥) are eigenfunctions corresponding to distinct eigenvalues 𝜆𝑚 and
𝜆𝑛 , respectively, then 𝑦𝑚 and 𝑦𝑛 are orthogonal with weight function 𝑟 (𝑥). That is,
�𝑏
𝑟 (𝑥) 𝑦𝑚 (𝑥) 𝑦𝑛 (𝑥) 𝑑𝑥 = 0 for 𝑚 ≠ 𝑛.
𝑎

Proof. We prove only the orthogonality of the eigenfunctions corresponding to

distinct eigenvalues. So, let 𝜆𝑚 ≠ 𝜆𝑛 be eigenvalues with corresponding eigenfunc-
tions 𝑦𝑚 (𝑥) and 𝑦𝑛 (𝑥). These eigenfunctions satisfy the Sturm-Lioville equation.
That is,
(𝑝𝑦𝑚 ) + (𝑞 + 𝜆𝑟 )𝑦𝑚 = 0, (𝑝𝑦𝑛� ) � + (𝑞 + 𝜆𝑟 )𝑦𝑛 = 0.
� �

Multiply the first with 𝑦𝑛 , the second with −𝑦𝑚 , and add to get

(𝜆𝑚 − 𝜆𝑛 )𝑟𝑦𝑚𝑦𝑛 = 𝑦𝑚 (𝑝𝑦𝑛� ) � − 𝑦𝑛 (𝑝𝑦𝑚

� �
).

However,
� � �
�� � �� � �� � ��
𝑝 (𝑦𝑛𝑦𝑚 − 𝑦𝑚 𝑦𝑛 ) = 𝑦𝑚 (𝑝𝑦𝑛� ) − 𝑦𝑛 (𝑝𝑦𝑚 �
) = 𝑦𝑚 (𝑝𝑦𝑛� ) − 𝑦𝑛 (𝑝𝑦𝑚 �
)
�
= 𝑦𝑚 (𝑝𝑦𝑛� ) + 𝑦𝑚 (𝑝𝑦𝑛� ) � − 𝑦𝑛� (𝑝𝑦𝑚
�
) − 𝑦𝑛 (𝑝𝑦𝑚� �
) = 𝑦𝑚 (𝑝𝑦𝑛� ) � − 𝑦𝑛 (𝑝𝑦𝑚
� �
).
� �
� 𝑦 ) � . Integrating from 𝑎 to 𝑏, we obtain
Hence, (𝜆𝑚 − 𝜆𝑛 )𝑟𝑦𝑚𝑦𝑛 = 𝑝 (𝑦𝑛� 𝑦𝑚 − 𝑦𝑚 𝑛

�𝑏 � �𝑏
𝜙 := (𝜆𝑚 − 𝜆𝑛 ) 𝑟𝑦𝑚𝑦𝑛 𝑑𝑥 = 𝑝 (𝑦𝑛� 𝑦𝑚 − 𝑦𝑚�
𝑦𝑛 )
� � � � � �
𝑎 𝑎
� �
= 𝑝 (𝑏) 𝑦𝑛 (𝑏)𝑦𝑚 (𝑏) − 𝑦𝑚 (𝑏)𝑦𝑛 (𝑏) − 𝑝 (𝑎) 𝑦𝑛 (𝑎)𝑦𝑚 (𝑎) − 𝑦𝑚 (𝑎)𝑦𝑛 (𝑎) .

The orthogonality of the eigenfunction is proved if 𝜙 evaluates to 0. We show that

this is the case by breaking into following cases:
Case 1: 𝑝 (𝑎) = 0 = 𝑝 (𝑏). Then, 𝜙 = 0.
� �
Case 2: 𝑝 (𝑎) ≠ 0, 𝑝 (𝑏) = 0. Then 𝜙 = −𝑝 (𝑎) 𝑦𝑛� (𝑎)𝑦𝑚 (𝑎) − 𝑦𝑚 � (𝑎)𝑦 (𝑎) . The
𝑛
boundary conditions in (4.7.5) are applicable. Since 𝑦𝑚 and 𝑦𝑛 are solutions of the
BVP, we have
�
𝑘 1𝑦𝑚 (𝑎) + 𝑘 2𝑦𝑚 (𝑎) = 0 = 𝑘 1𝑦𝑛 (𝑎) + 𝑘 2𝑦𝑛� (𝑎).
Special Functions 95
At least one of 𝑘 1, 𝑘 2 is nonzero. Suppose 𝑘 2 ≠ 0. Multiply the first equation by
𝑦𝑚 (𝑎), the second by −𝑦𝑛 (𝑎) and add to get
� �
𝑘 2 𝑦𝑛� (𝑎)𝑦𝑚 (𝑎) − 𝑦𝑚
�
(𝑎)𝑦𝑛 (𝑎) = 0.
� �
As 𝑘 2 ≠ 0, we get 𝑦𝑛� (𝑎)𝑦𝑚 (𝑎) − 𝑦𝑚 � (𝑎)𝑦 (𝑎) = 0 so that 𝜙 = 0. A similar proof is
𝑛
given when 𝑘 1 ≠ 0.
Case 3: 𝑝 (𝑎) = 0, 𝑝 (𝑏) ≠ 0. This case is similar to Case 2.
Case 4: 𝑝 (𝑎) ≠ 0, 𝑝 (𝑏) ≠ 0, 𝑝 (𝑎) ≠ 𝑝 (𝑏). We use both the conditions in (4.7.2)
and proceed as in Case 2.
Case 5: 𝑝 (𝑎) = 𝑝 (𝑏) ≠ 0. Now, (4.7.3) says that 𝑦(𝑎) = 𝑦 (𝑏) and 𝑦 � (𝑎) = 𝑦 � (𝑏).
These are satisfied for both 𝑦 = 𝑦𝑚 and 𝑦 = 𝑦𝑛 . Then, 𝜙 evaluates to 0.

(4.9) Example
Consider the Sturm-Liouville problem in (4.3):
𝑦 �� + 𝜆𝑦 = 0, 𝑦(0) = 0, 𝑦 � (𝜋) = 0.
Here, 𝑝 (𝑥) = 1, 𝑞(𝑥) = 0 and 𝑟 (𝑥) = 1. We found the eigenvalues and eigenfunc-
tions as
(2𝑛 + 1) 2 �� � �
𝜆𝑛 = , 𝑦𝑛 (𝑥) = sin 𝑛 + 12 𝑥 , 𝑛 = 0, 1, 2, 3, . . .
4
By (4.8), we conclude that
�𝜋
�� � � �� � �
sin 𝑚 + 12 𝑥 sin 𝑛 + 12 𝑥 𝑑𝑥 = 0 for 𝑚 ≠ 𝑛.
0
Of course, it is easy to verify this directly.

(4.10) Example
Legendre’e equation (1−𝑥 2 )𝑦 �� −2𝑥𝑦 � +𝑛(𝑛 +1)𝑦 = 0 is a Sturm-Liouville equation
with 𝑝 (𝑥) = 1 − 𝑥 2 , 𝑞(𝑥) = 0, 𝑟 (𝑥) = 1 and 𝜆 = 𝑛(𝑛 + 1). Here, 𝑝 (−1) = 𝑝 (1) = 0.
Hence, this is a singular Sturm-Liouville problem on the interval −1 ≤ 𝑥 ≤ 1.
We know that 𝑃𝑛 (𝑥) is a solution of this equation, where 𝑛 = 0, 1, 2, . . .. That is,
corresponding to the eigenvalue 𝜆𝑛 = 𝑛(𝑛 + 1), the eigenfunction is 𝑃𝑛 (𝑥). By (4.8),
these eigenfunctions are orthogonal with weight 𝑟 (𝑥) = 1. It means that
�1
𝑃𝑚 (𝑥)𝑃𝑛 (𝑥) 𝑑𝑥 = 0 for 𝑚 ≠ 𝑛.
−1
We have seen that this is the case.

(4.11) Example
As we have seen in (4.6), the Bessel equation
2𝑦
2𝑑 𝑑𝑦
𝑡 +𝑡 + (𝑡 2 − 𝑛 2 )𝑦 = 0 for 𝑡 > 0
𝑑𝑡 2 𝑑𝑡
96 MA2020 Classnotes

is the Sturm-Liouville problem (Take 𝑡 = 𝑘𝑥.)

� 𝑛2 �
(𝑥𝑦 �) � + − + 𝜆𝑥 𝑦 = 0 where 𝜆 = 𝑘 2
𝑥
with the boundary conditions 𝑦 (0) = 𝑦 (𝑅) = 0 and the boundedness of solutions on
[0, 𝑅]. Its eigenvalues and eigenfunctions have been found to be
�𝑧 �2 �𝑧 𝑥 �
𝑛,𝑟 𝑛,𝑟
𝜆𝑟 = , 𝑦𝑟 (𝑥) = 𝐽𝑛 for 𝑟 = 1, 2, 3, . . .
𝑅 𝑅
where 𝑧𝑛,𝑟 is the 𝑟 th positive zero of 𝐽𝑛 (𝑥).
By (4.8), the eigenfunctions are orthogonal with weight 𝑟 (𝑥) = 𝑥 on the interval
[0, 𝑅]. That is,
�𝑅 �𝑧 𝑥 � �𝑧 𝑥 �
𝑛,𝑚 𝑛,𝑗
𝑥 𝐽𝑛 𝐽𝑛 𝑑𝑥 = 0 for 𝑚 ≠ 𝑗 .
0 𝑅 𝑅
We see that the permissible values of 𝑘 in the transformation 𝑡 = 𝑘𝑥 are 𝑧𝑛,𝑟 /𝑅.
Notice that �for fixed
𝑧𝑛,𝑚 𝑥 �
𝑛 and a fixed 𝑅 > 0, we have infinitely many orthogonal
functions 𝐽𝑛 . The positive number 𝑅 in this orthogonality relation can be
𝑅
chosen according to our convenience, but it is to be fixed.

The above example shows that there are infinitely many orthogonal sets of Bessel
functions, one for each of 𝑛 = 0, 1, 2, 3, . . . on an interval [0, 𝑅] with a fixed positive
𝑅 of our choice and with the weight function 𝑟 (𝑥) = 𝑥.
We have only proved the orthogonality of the Bessel functions. In fact, the norms
of those can also be computed from the following result, which we do not prove:
� � 𝑧 𝑥 � �2 � 𝑅 � � 𝑧 𝑥 �� 2 𝑅2 2 � �
� �
�𝐽𝑛 � =
𝑛,𝑟 𝑛,𝑟
𝑥 𝐽𝑛 𝑑𝑥 = 𝐽 𝑧𝑛,𝑟 . (4.8.1)
𝑅 0 𝑅 2 𝑛+1
Orthogonality helps in expanding functions as series of eigenfunctions just like
Fourier series. We have seen in § 4.2 how to express a function defined on [−1, 1]
as a series involving Legendre polynomials. By using orthogonality of Bessel
functions, similar series expansion can be obtained.
Fix 𝑛 ∈ N ∪ {0}. Let 𝑓 (𝑥) be a real valued peicewise smooth function defined on
an interval 0 ≤ 𝑥 ≤ 𝑅. A Fourier-Bessel series of 𝑓 (𝑥) using the Bessel function
𝐽𝑛 may be written as
�
∞ �𝑧 𝑥 � �𝑧 𝑥 � �𝑧 𝑥 �
𝑛,𝑚 𝑛,1 𝑛,2
𝑓 (𝑥) = 𝑎𝑚 𝐽𝑛 = 𝑎 1 𝐽𝑛 + 𝑎 2 𝐽𝑛 +···
𝑅 𝑅 𝑅
�𝑧 𝑥 �
𝑚=1
𝑛,ℓ
Fix ℓ ∈ N. Multiply the above equation with 𝑥 𝐽𝑛 and integrate from 0 to 𝑅
𝑅
to get
�𝑅 �𝑧 𝑥 � �∞ �𝑅 �𝑧 𝑥 � �𝑧 𝑥 �
𝑛,ℓ 𝑛,𝑚 𝑛,ℓ
𝑥 𝑓 (𝑥)𝐽𝑛 𝑑𝑥 = 𝑎𝑚 𝑥 𝐽𝑛 𝐽𝑛 𝑑𝑥 .
0 𝑅 𝑚=1 0 𝑅 𝑅
Special Functions 97
Due to orthogonality, the integral in the above summand is 0 when 𝑚 ≠ ℓ. So, we
obtain
�𝑅 �𝑧 𝑥 � �𝑅 � �
𝑛,ℓ 𝑧𝑛,ℓ 𝑥 �� 2 𝑅2 2 � �
𝑥 𝑓 (𝑥)𝐽𝑛 𝑑𝑥 = 𝑎 ℓ 𝑥 𝐽𝑛 𝑑𝑥 = 𝐽 𝑧𝑛,ℓ .
0 𝑅 0 𝑅 2 𝑛+1
The last equality follows from (4.8.1). This gives the coefficient 𝑎 ℓ for ℓ ∈ N. Thus,
the Fourier-Bessel series for 𝑓 (𝑥) on an interval [0, 𝑅] is given as follows:
�∞ �𝑧 𝑥 � �𝑅 �𝑧 𝑥 �
𝑛,𝑚 2 𝑛,𝑚
𝑓 (𝑥) = 𝑎𝑚 𝐽𝑛 , where 𝑎𝑚 = 2 2 𝑥 𝑓 (𝑥)𝐽𝑛 𝑑𝑥 .
𝑚=1
𝑅 𝑅 𝐽𝑛+1 (𝑧 𝑛,𝑚 ) 0 𝑅
(4.8.2)
Notice that we have written 𝑓 (𝑥) is equal to its Fourier-Bessel series for deriving
the coefficients. However, the series so obtained may or may not converge to the
function 𝑓 (𝑥). This question of convergence is answered by the following result,
which we mention without proof.

(4.12) Theorem (Convergence of Fourier-Bessel series)

Let 𝑓 (𝑥) be a piecewise smooth function defined on the interval 0 < 𝑥 < 𝑅. Then
the Fourier-Bessel series (4.8.2) of 𝑓 (𝑥) converges to 𝑔(𝑥), where
�
𝑓 (𝑥) if 𝑓 is continuous at x
𝑔(𝑥) = 1 � �
2 𝑓 (𝑥+) + 𝑓 (𝑥−) if 𝑓 is discontinuous at x.
It thus follows that if 𝑓 (𝑥) is continuous on 0 < 𝑥 < 𝑅, then its Fourier-Bessel
series converges to 𝑓 (𝑥).

(4.13) Example
Find the Fourier-Bessel series for the function 𝑓 (𝑥) = 1 on 0 < 𝑥 < 1.
Here, 𝑅 = 1; we choose 𝑛 = 0. By (4.8.2), the Fourier-Bessel series of 𝑓 (𝑥) = 1 is
given by (Write 𝑧 0,𝑚 as 𝑧𝑚 .)
�∞
𝑎𝑚 𝐽0 (𝑧𝑚 𝑥)
𝑚=1
where 𝑧𝑚 for 𝑚 = 1, 2, 3, . . . are the positive zeros of 𝐽0 (𝑥) and the coefficients 𝑎𝑚
are given by
�1
2
𝑎𝑚 = 2 𝑥 𝐽0 (𝑧𝑚 𝑥) 𝑑𝑥 .
𝐽1 (𝑧𝑚 ) 0
� ��
We use the identity 𝑥 𝐽1 (𝑥) = 𝑥 𝐽0 (𝑥) given in (4.5.1) to evaluate the above integral.
Substitute 𝑡 = 𝑧𝑚 𝑥. Then, 𝑑𝑡 = 𝑧𝑚 𝑑𝑥, and when 𝑥 varies from 0 to 1, 𝑡 varies from
0 to 𝑧𝑚 . Hence,
� 𝑧𝑚 � 𝑧𝑚 2𝑧 𝐽 (𝑧 )
2 2 𝑚 1 𝑚 2
𝑎𝑚 = 2 2 𝑡 𝐽0 (𝑡) 𝑑𝑡 = 2 2 𝑡 𝐽1 (𝑡) = 2 2 = .
𝑧𝑚 𝐽1 (𝑧𝑚 ) 0 𝑧𝑚 𝐽1 (𝑧𝑚 ) 0 𝑧𝑚 𝐽1 (𝑧𝑚 ) 𝑧𝑚 𝐽1 (𝑧𝑚 )
98 MA2020 Classnotes

Since 𝑓 (𝑥) is continuous everywhere on (0, 1), by the convergence theorem,

�
∞
2𝐽0 (𝑧𝑚 𝑥)
1= .
𝑧 𝐽 (𝑧 )
𝑚=1 𝑚 1 𝑚

4.9 Exercises for § 4.7-4.8

1. Find all real eigenvalues and the corresponding eigenfunctions of the follow-
ing Sturm-Liouville problems:
(a) 𝑦 �� + 𝜆𝑦 = 0, 𝑦 � (0) = 0, 𝑦 (1) + 𝑦 � (1) = 0.
Ans: 𝜆𝑛 = 𝑘𝑛2 , where tan(𝑘𝑛 ) = 1/𝑘𝑛 and 𝑘𝑛 > 0; 𝑦𝑛 (𝑥) = cos(𝑘𝑛 𝑥) for
𝑛 = 1, 2, 3, . . .
(b) 𝑦 �� + 2𝑦 � + (𝜆 + 1)𝑦 = 0, 𝑦(0) = 0, 𝑦(𝜋) = 0.
Ans: 𝜆𝑛 = 𝑛 2 ; 𝑦𝑛 (𝑥) = 𝑒 −𝑥 sin(𝑛𝑥) for 𝑛 = 1, 2, 3, . . .
(c) 𝑦 �� − 𝑦 � + 𝜆𝑦
� =2 0,2 𝑦(0)� = 𝑦(ℓ) = 0.
2 2
Ans: 𝜆𝑛 = 4𝑛 𝜋 +ℓ /(4ℓ ); 𝑦𝑛 (𝑥) = 𝑒 𝑥/2 sin(𝑛𝜋𝑥/ℓ) for 𝑛 = 1, 2, 3, . . .
(d) 𝑦 �� + 𝜆𝑦 = 0, 𝑦 (−𝜋) = 𝑦(𝜋), 𝑦 � (−𝜋) = 𝑦 � (𝜋).
Ans: 𝜆𝑛 = 𝑛 2 ; 𝑦0 (𝑥) = 1, 𝑦𝑛 (𝑥) = {cos(𝑛𝑥), sin(𝑛𝑥)} for 𝑛 = 1, 2, 3, . . ..
(e) 𝑥 2𝑦 �� + 𝑥𝑦 � + 𝜆𝑦 = 0, 𝑦(1) = 0, 𝑦(𝑒) = 0.
Ans: 𝜆𝑛 = 𝑛 2 𝜋 2 ; 𝑦𝑛 (𝑥) = sin(𝑛𝜋 log 𝑥) for 𝑛 = 1, 2, 3, . . .
(f) 𝑥 2𝑦 �� − 𝑥𝑦 � + (𝜆 + 1)𝑦 = 0, 𝑦(1) = 0, 𝑦(𝑒) = 0.
Ans: 𝜆𝑛 = 𝑛 2 𝜋 2 ; 𝑦𝑛 (𝑥) = 𝑥 sin(𝑛𝜋 log 𝑥) for 𝑛 = 1, 2, 3, . . .
� �� 𝜆
(g) (𝑥 2 + 1)𝑦 � + 2 𝑦 = 0, 𝑦(0) = 0, 𝑦(1) = 0.
𝑥 +1
Ans: 𝜆𝑛 = 16𝑛 2 ; 𝑦𝑛 (𝑥) = sin(4𝑛 tan−1 𝑥) for 𝑛 = 1, 2, 3, . . .
2. Find all positive eigenvalues and� corresponding� eigenfunctions of the Sturm-
2 2
Liouville problem 𝑥 𝑦 + 𝑥𝑦 + 𝜆𝑥 − 1/4 𝑦 = 0, 𝑦(𝜋/2) = 0, 𝑦 (3𝜋/2) = 0.
�� �

Ans: 𝜆𝑛 = 𝑛 2 ; 𝑦𝑛 (𝑥) = 𝑥 −1/2 cos(𝑛𝑥) if 𝑛 even; 𝑦𝑛 (𝑥) = 𝑥 −1/2 sin(𝑛𝑥) if 𝑛

odd; for 𝑛 = 1, 2, 3, . . .
3. Show that the Sturm-Liouville problem 𝑦 �� − 4𝜆𝑦 � + 4𝜆 2𝑦 = 0, 𝑦 (0) = 0,
𝑦 (1) + 𝑦 � (1) = 0 has exactly one eigenvalue.
Ans: 𝜆 = −1; 𝑦(𝑥) = 𝑥 exp(−2𝑥).
4. Show that every real number is an eigenvalue of the Sturm-Liouville problem
𝑦 �� + 𝜆𝑦 = 0, 𝑦(0) − 𝑦(1) = 0, 𝑦 � (0) + 𝑦 � (1) = 0.
Ans: (a) 𝜆 = 0; 𝑦0 (𝑥) = 1. (b)√𝜆 = 𝑛 2 𝜋 2 > 0; 𝑦𝜆 (𝑥) = sin(𝑛𝜋𝑥).
(c) 𝜆 > 0, 𝜆 ≠ 𝑛𝜋; with 𝜇 = 𝜆, 𝑦𝜆 (𝑥) = cos(𝜇𝑥) + tan(𝜇/2) sin(𝜇𝑥).
(d) 𝜆 = −𝜇 2 < 0; 𝑦𝜆 (𝑥) = cosh(𝜇𝑥) + tanh(𝜇/2) sinh(𝜇𝑥).
5. Show that the Sturm-Liouville problem 𝑦 �� + 𝑦 = 0, 2𝑦 (0) − 𝑦 (1) = 0,
2𝑦 � (0) + 𝑦 (1) = 0 has no real eigenvalues.
Special Functions 99
6. Expand 𝑓 (𝑥) = 𝑥 2 for 0 < 𝑥 < 1, in the Fourier-Bessel series of the form
�
∞
𝑓 (𝑥) = 𝐴𝑘 𝐽0 (𝜇𝑘 𝑥), where 𝜇𝑘 denotes the 𝑘th positive zero of 𝐽0 (𝑥).
𝑘=1
� � −1
Ans: 𝐴𝑘 = 2 (𝜇𝑘2 − 4) 𝜇𝑘−3 𝐽1 (𝜇𝑘 ) for 𝑘 = 1, 2, 3, . . .
7. Expand 𝑓 (𝑥) = 𝑥 for 0 < 𝑥 < 1, in the Fourier-Bessel series of the form
�
∞
𝑓 (𝑥) = 𝐴𝑘 𝐽1 (𝜇𝑘 𝑥), where 𝜇𝑘 denotes the 𝑘th positive zero of 𝐽1 (𝑥).
𝑘=1 � �
Ans: 𝐴𝑘 = 2/ 𝜇𝑘 𝐽2 (𝜇𝑘 ) for 𝑘 = 1, 2, 3, . . .
8. Let 𝛼 and 𝛽 be distinct positive zeros of 𝐽𝜈 (𝑥) for 𝜈 ≥ 0. Prove the following:
�ℓ � 𝛼𝑥 � � 𝛽𝑥 � � ℓ � � �� 2
𝛼𝑥 ℓ2 2
(a) 𝑥 𝐽𝜈 𝐽𝜈 𝑑𝑥 = 0 (b) 𝑥 𝐽𝜈 𝑑𝑥 = 𝐽𝜈+1 (𝛼).
0 ℓ ℓ 0 ℓ 2