for given coefficient functions p(x), q(x), and w(x) and an unknown function y of the free variable x. The function w(x), sometimes denoted r(x), is called the weight or density function.
All homogeneous (i.e. with the right-hand side equal to zero) second-order linear ordinary differential equations can be reduced to this form.
In the simplest case where all coefficients are continuous on the finite closed interval [a, b] and p has continuous derivative, a function y is called a solution if it is continuously differentiable on (a, b) and satisfies the equation (1) at every point in (a, b). (In the case of more general p(x), q(x), w(x), the solutions must be understood in a weak sense.) In addition, y is typically required to satisfy some boundary conditions at a and b. Each such equation (1) together with its boundary conditions constitutes a Sturm–Liouville problem.
The value of λ is not specified in the equation: finding the λ for which there exists a non-trivial solution is part of the given Sturm–Liouville problem. Such values of λ, when they exist, are called the eigenvalues of the problem, and the corresponding solutions are the eigenfunctions associated to each λ. This terminology is because the solutions correspond to the eigenvalues and eigenfunctions of a Hermitian differential operator in an appropriate function space. Sturm–Liouville theory studies the existence and asymptotic behavior of the eigenvalues, the corresponding qualitative theory of the eigenfunctions and their completeness in the function space.
This theory is important in applied mathematics, where Sturm–Liouville problems occur very frequently, particularly when dealing with separable linear partial differential equations. For example, in quantum mechanics, the one-dimensional time-independent Schrödinger equation is a Sturm–Liouville problem.
A Sturm–Liouville problem is said to be regular if p(x), w(x) > 0, and p(x), p′(x), q(x), w(x) are continuous functions over the finite interval [a,b], and the problem has separated boundary conditions of the form:
- The eigenvalues λ1, λ2, λ3, ... are real and can be numbered so that
- Corresponding to each eigenvalue λn is a unique (up to constant multiple) eigenfunction yn(x) with exactly n − 1 zeros in (a,b), called the nth fundamental solution.
- The normalized eigenfunctions form an orthonormal basis under the w-weighted inner product in the Hilbert space . That is:where δmn is the Kronecker delta.
Reduction to Sturm–Liouville form
The differential equation (1) is said to be in Sturm–Liouville form or self-adjoint form. All second-order linear ordinary differential equations can be recast in the form on the left-hand side of (1) by multiplying both sides of the equation by an appropriate integrating factor (although the same is not true of second-order partial differential equations, or if y is a vector). Some examples are below.
Example using an integrating factor
Divide throughout by x3:
Multiplying throughout by an integrating factor of
Integrating factor for general second-order equation
Multiplying through by the integrating factor
Sturm–Liouville equations as self-adjoint differential operators
The mapping defined by:
This is precisely the eigenvalue problem; that is, one seeks eigenvalues λ1, λ2, λ3,... and the corresponding eigenvectors u1, u2, u3,... of the L operator. The proper setting for this problem is the Hilbert space with scalar product
In this space L is defined on sufficiently smooth functions which satisfy the above regular boundary conditions. Moreover, L is a self-adjoint operator:
This can be seen formally by using integration by parts twice, where the boundary terms vanish by virtue of the boundary conditions. It then follows that the eigenvalues of a Sturm–Liouville operator are real and that eigenfunctions of L corresponding to different eigenvalues are orthogonal. However, this operator is unbounded and hence existence of an orthonormal basis of eigenfunctions is not evident. To overcome this problem, one looks at the resolvent
If the interval is unbounded, or if the coefficients have singularities at the boundary points, one calls L singular. In this case, the spectrum no longer consists of eigenvalues alone and can contain a continuous component. There is still an associated eigenfunction expansion (similar to Fourier series versus Fourier transform). This is important in quantum mechanics, since the one-dimensional time-independent Schrödinger equation is a special case of a Sturm–Liouville equation.
Application to inhomogeneous second-order boundary value problems
Consider a general inhomogeneous second-order linear differential equation
It suffices to solve the first two equations, which amounts to solving (Pw)′ = Qw, or
A solution is:
Given this transformation, one is left to solve:
In general, if initial conditions at some point are specified, for example y(a) = 0 and y′(a) = 0, a second order differential equation can be solved using ordinary methods and the Picard–Lindelöf theorem ensures that the differential equation has a unique solution in a neighbourhood of the point where the initial conditions have been specified.
But if in place of specifying initial values at a single point, it is desired to specify values at two different points (so-called boundary values), e.g. y(a) = 0 and y(b) = 1, the problem turns out to be much more difficult. Notice that by adding a suitable known differentiable function to y, whose values at a and b satisfy the desired boundary conditions, and injecting inside the proposed differential equation, it can be assumed without loss of generality that the boundary conditions are of the form y(a) = 0 and y(b) = 0.
Here, the Sturm–Liouville theory comes in play: indeed, a large class of functions f can be expanded in terms of a series of orthonormal eigenfunctions ui of the associated Liouville operator with corresponding eigenvalues λi:
Then a solution to the proposed equation is evidently:
This solution will be valid only over the open interval a < x < b, and may fail at the boundaries.
Example: Fourier series
Consider the Sturm–Liouville problem:
for the unknowns are λ and u(x). For boundary conditions, we take for example:
Observe that if k is any integer, then the function
Given the preceding, let us now solve the inhomogeneous problem
This particular Fourier series is troublesome because of its poor convergence properties. It is not clear a priori whether the series converges pointwise. Because of Fourier analysis, since the Fourier coefficients are "square-summable", the Fourier series converges in L2 which is all we need for this particular theory to function. We mention for the interested reader that in this case we may rely on a result which says that Fourier series converge at every point of differentiability, and at jump points (the function x, considered as a periodic function, has a jump at π) converges to the average of the left and right limits (see convergence of Fourier series).
Therefore, by using formula (4), we obtain the solution:
In this case, we could have found the answer using antidifferentiation, but this is no longer useful in most cases when the differential equation is in many variables.
Application to partial differential equations
Certain partial differential equations can be solved with the help of Sturm–Liouville theory. Suppose we are interested in the vibrational modes of a thin membrane, held in a rectangular frame, 0 ≤ x ≤ L1, 0 ≤ y ≤ L2. The equation of motion for the vertical membrane's displacement, W(x,y,t) is given by the wave equation:
The method of separation of variables suggests looking first for solutions of the simple form W = X(x) × Y(y) × T(t). For such a function W the partial differential equation becomes X″/X + Y″/Y = 1/c2 T″/T. Since the three terms of this equation are functions of x, y, t separately, they must be constants. For example, the first term gives X″ = λX for a constant λ. The boundary conditions ("held in a rectangular frame") are W = 0 when x = 0, L1 or y = 0, L2 and define the simplest possible Sturm–Liouville eigenvalue problems as in the example, yielding the "normal mode solutions" for W with harmonic time dependence,
The functions Wmn form a basis for the Hilbert space of (generalized) solutions of the wave equation; that is, an arbitrary solution W can be decomposed into a sum of these modes, which vibrate at their individual frequencies ωmn. This representation may require a convergent infinite sum.
Second-order linear equation
For a linear second-order in one spatial dimension and first-order in time of the form:
Separating variables, we assume that
Since, by definition, L̂ and X(x) are independent of time t and M̂ and T(t) are independent of position x, then both sides of the above equation must be equal to a constant:
The first of these equations must be solved as a Sturm–Liouville problem in terms of the eigenfunctions Xn(x) and eigenvalues λn. The second of these equations can be analytically solved once the eigenvalues are known.
Representation of solutions and numerical calculation
The Sturm–Liouville differential equation (1) with boundary conditions may be solved analytically, which can be exact or provide an approximation, by the Rayleigh–Ritz method, or by the matrix-variational method of Gerck et al.
Numerically, a variety of methods are also available. In difficult cases, one may need to carry out the intermediate calculations to several hundred decimal places of accuracy in order to obtain the eigenvalues correctly to a few decimal places.
Shooting methods proceed by guessing a value of λ, solving an initial value problem defined by the boundary conditions at one endpoint, say, a, of the interval [a,b], comparing the value this solution takes at the other endpoint b with the other desired boundary condition, and finally increasing or decreasing λ as necessary to correct the original value. This strategy is not applicable for locating complex eigenvalues.[clarification needed]
Spectral parameter power series method
The spectral parameter power series (SPPS) method makes use of a generalization of the following fact about homogeneous second-order linear ordinary differential equations: if y is a solution of equation (1) that does not vanish at any point of [a,b], then the function
0 (often λ∗
0 = 0; it does not need to be an eigenvalue) and any solution y0 of (1) with λ = λ∗
0 which does not vanish on [a,b]. (Discussion below of ways to find appropriate y0 and λ∗
0.) Two sequences of functions X(n)(t), X̃(n)(t) on [a,b], referred to as iterated integrals, are defined recursively as follows. First when n = 0, they are taken to be identically equal to 1 on [a,b]. To obtain the next functions they are multiplied alternately by 1/py2
0 and wy2
0 and integrated, specifically, for n > 0:
The resulting iterated integrals are now applied as coefficients in the following two power series in λ:
Next one chooses coefficients c0 and c1 so that the combination y = c0u0 + c1u1 satisfies the first boundary condition (2). This is simple to do since X(n)(a) = 0 and X̃(n)(a) = 0, for n > 0. The values of X(n)(b) and X̃(n)(b) provide the values of u0(b) and u1(b) and the derivatives u′0(b) and u′0(b), so the second boundary condition (3) becomes an equation in a power series in λ. For numerical work one may truncate this series to a finite number of terms, producing a calculable polynomial in λ whose roots are approximations of the sought-after eigenvalues.
When λ = λ0, this reduces to the original construction described above for a solution linearly independent to a given one. The representations (5) and (6) also have theoretical applications in Sturm–Liouville theory.
Construction of a nonvanishing solution
The SPPS method can, itself, be used to find a starting solution y0. Consider the equation (py′)′ = μqy; i.e., q, w, and λ are replaced in (1) by 0, −q, and μ respectively. Then the constant function 1 is a nonvanishing solution corresponding to the eigenvalue μ0 = 0. While there is no guarantee that u0 or u1 will not vanish, the complex function y0 = u0 + iu1 will never vanish because two linearly-independent solutions of a regular Sturm–Liouville equation cannot vanish simultaneously as a consequence of the Sturm separation theorem. This trick gives a solution y0 of (1) for the value λ0 = 0. In practice if (1) has real coefficients, the solutions based on y0 will have very small imaginary parts which must be discarded.
- Normal mode
- Oscillation theory
- Variation of parameters
- Spectral theory of ordinary differential equations
- Atkinson–Mingarelli theorem
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- Robert F. O'Connell, Jason A. C. Gallas, Ed Gerck. "Scaling Laws for Rydberg Atoms in Magnetic Fields." Physical Review Letters 50(5):324–327, January 1983.
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- Kravchenko, V. V.; Porter, R. M. (2010). "Spectral parameter power series for Sturm–Liouville problems". Mathematical Methods in the Applied Sciences. 33 (4): 459–468. arXiv:0811.4488. doi:10.1002/mma.1205.
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- Hartman, Philip (2002). Ordinary Differential Equations (2 ed.). Philadelphia: SIAM. ISBN 978-0-89871-510-1.
- Polyanin, A. D. & Zaitsev, V. F. (2003). Handbook of Exact Solutions for Ordinary Differential Equations (2 ed.). Boca Raton: Chapman & Hall/CRC Press. ISBN 1-58488-297-2.
- Teschl, Gerald (2012). Ordinary Differential Equations and Dynamical Systems. Providence: American Mathematical Society. ISBN 978-0-8218-8328-0. (Chapter 5)
- Teschl, Gerald (2009). Mathematical Methods in Quantum Mechanics; With Applications to Schrödinger Operators. Providence: American Mathematical Society. ISBN 978-0-8218-4660-5. (see Chapter 9 for singular Sturm–Liouville operators and connections with quantum mechanics)
- Zettl, Anton (2005). Sturm–Liouville Theory. Providence: American Mathematical Society. ISBN 0-8218-3905-5.
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