Spectral theory of ordinary differential equations


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

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. 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 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 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

Reduction to standard form

Let D be the second order differential operator on given by
where p is a strictly positive continuously differentiable function and q and r are continuous
real-valued functions.
For x0 in, define the Liouville transformation ψ by
If
is the unitary operator defined by
then
and
Hence,
where
and
The term in g' can be removed using an Euler integrating factor. If S' /S = −R/2, then h = Sg
satisfies
where the potential V is given by
The differential operator can thus always be reduced to one of the form

Existence theorem

The following is a version of the classical Picard existence theorem for second order differential equations with values in a
Banach space E.
Let α, β be arbitrary elements of E, A a bounded operator on E and q a continuous function on .
Then, for c = a or b,
the differential equation
has a unique solution f in C2 satisfying the initial conditions
In fact a solution of the differential equation with these initial conditions is equivalent to a solution
of the integral equation
with T the bounded linear map on C defined by
where K is the Volterra kernel
and
Since ||Tk|| tends to 0, this integral equation has a unique solution given by the Neumann series
This iterative scheme is often called Picard iteration after the French mathematician Charles Émile Picard.

Fundamental eigenfunctions

If f is twice continuously differentiable on satisfying Df = λf, then f is called an eigenfunction of L with eigenvalue λ.
If f and g are C2 functions on, the Wronskian W is defined by
Green's formula - which in this one-dimensional case is a simple integration by parts - states that for x, y in
When q is continuous and f, g C2 on the compact interval , this formula also holds for x = a or y = b.
When f and g are eigenfunctions for the same eigenvalue, then
so that W is independent of x.

Classical Sturm–Liouville theory

Let be a finite closed interval, q a real-valued continuous function on and let H0 be the
space of C2 functions f on satisfying the Robin boundary conditions
with inner product
In practise usually one of the two standard boundary conditions:
is imposed at each endpoint c = a, b.
The differential operator D given by
acts on H0. A function f in H0 is called an eigenfunction of D if Df = λ f for some complex number λ, the corresponding eigenvalue.
By Green's formula, D is formally self-adjoint on H0, since the Wronskian W vanishes if both f,g satisfy the boundary conditions:
As a consequence, exactly as for a self-adjoint matrix in finite dimensions,
It turns out that the eigenvalues can be described by the maximum-minimum principle of Rayleigh–Ritz . In fact it is easy to see a priori that the eigenvalues are bounded below because the operator D is itself bounded below on H0:
In fact integrating by parts
For Dirichlet or Neumann boundary conditions, the first term vanishes and the inequality holds with M = inf q.
For general Robin boundary conditions the first term can be estimated using an elementary Peter-Paul version of Sobolev's inequality:
In fact, since
only an estimate for f is needed and this follows by replacing f in the above inequality by n·−n·f for n sufficiently large.

Green's function (regular case)

From the theory of ordinary differential equations, there are unique fundamental eigenfunctions φλ, χλ such that
which at each point, together with their first derivatives, depend holomorphically on λ. Let
an entire holomorphic function.
This function ω plays the rôle of the characteristic polynomial of D. Indeed, the uniqueness of the fundamental eigenfunctions implies that its zeros are precisely the eigenvalues of D and that each non-zero eigenspace is one-dimensional. In particular there are at most countably many eigenvalues of D and, if there are infinitely many, they must tend to infinity. It turns out that the zeros of ω also have mutilplicity one.
If λ is not an eigenvalue of D on H0, define the Green's function by
This kernel defines an operator on the inner product space C via
Since Gλ is continuous on x , it defines a Hilbert–Schmidt operator on the Hilbert space completion
H of C = H1, taking values in H1. This operator carries H1 into H0. When λ is real, Gλ = Gλ is also real, so defines a self-adjoint operator on H. Moreover,
Thus the operator Gλ can be identified with the resolvent −1.

Spectral theorem

Theorem. The eigenvalues of D are real of multiplicity one and form an increasing sequence λ1 < λ2 < ··· tending to infinity.
The corresponding normalised eigenfunctions form an orthonormal basis of H0.
The kth eigenvalue of D is given by the minimax principle
In particular if q1 ≤ q2, then
In fact let T = Gλ for λ large and negative. Then T defines a compact self-adjoint operator on the Hilbert space H.
By the spectral theorem for compact self-adjoint operators, H has an orthonormal basis consisting of eigenvectors ψn of T with
Tψn = μn ψn, where μn tends to zero. The range of T contains H0 so is dense. Hence 0 is not an eigenvalue of T. The resolvent properties of T imply that ψn lies in H0 and that
The minimax principle follows because if
then λ= λk for the linear span of the first k − 1 eigenfunctions. For any other -dimensional subspace G, some f in the linear span of the first k eigenvectors must be orthogonal to G. Hence λ ≤ / ≤ λk.

Wronskian as a Fredholm determinant

For simplicity, suppose that m ≤ q ≤ M on with Dirichlet boundary conditions.
The minimax principle shows that
It follows that the resolvent −1 is a trace-class operator
whenever λ is not an eigenvalue of D and hence that the Fredholm determinant
det I − μ−1 is defined.
The Dirichlet boundary conditions imply that
Using Picard iteration, Titchmarsh showed that φλ, and hence ω,
is an entire function of finite order 1/2:
At a zero μ of ω,
φμ = 0. Moreover,
satisfies ψ = φμ. Thus
This implies that
For otherwise ψ = 0, so that ψ would have to lie in H0.
But then
a contradiction.
On the other hand, the distribution of the zeros of the entire function
ω is already known from the minimax principle.
By the Hadamard factorization theorem, it follows
that
for some non-zero constant C.
Hence
In particular if 0 is not an eigenvalue of D

Tools from abstract spectral theory

Functions of bounded variation

A function ρ of bounded variation on a closed interval is a complex-valued function such that
its total variation V, the supremum
of the variations
over all dissections
is finite. The real and imaginary parts of ρ are real-valued functions of bounded variation. If ρ is real-valued and normalised so that ρ=0,
it has a canonical decomposition as the difference of two bounded non-decreasing functions:
where ρ+ and ρ– are the total positive and negative variation of ρ over .
If f is a continuous function on its Riemann–Stieltjes integral with respect to ρ
is defined to be the limit of approximating sums
as the mesh of the dissection, given by sup |xr+1 - xr|, tends to zero.
This integral satisfies
and thus defines a bounded linear functional dρ on C with norm ||dρ||=V.
Every bounded linear functional μ on C has an absolute value |μ| defined for non-negative f by
The form |μ| extends linearly to a bounded linear form on C with norm ||μ|| and satisfies the characterizing inequality
for f in C. If μ is real, i.e. is real-valued on real-valued functions, then
gives a canonical decomposition as a difference of positive forms, i.e. forms that are non-negative on non-negative functions.
Every positive form μ extends uniquely to the linear span of non-negative bounded lower semicontinuous functions g by the formula
where the non-negative continuous functions fn increase pointwise to g.
The same therefore applies to an arbitrary bounded linear form μ, so that a function ρ of bounded variation may be defined by
where χA denotes the characteristic function of a subset A of . Thus μ = dρ and ||μ|| = ||dρ||.
Moreover μ+ = dρ+ and μ– = dρ–.
This correspondence between functions of bounded variation and bounded linear forms is a special case of the Riesz representation theorem.
The support of μ = dρ is the complement of all points x in where ρ is constant on some neighborhood of x; by definition it is a closed subset A of . Moreover, μ =0, so that μ = 0 if f vanishes on A''.

Spectral measure

Let H be a Hilbert space and a self-adjoint bounded operator on H with, so that the spectrum of is contained in. If is a complex polynomial, then by the spectral mapping theorem
and hence
where denotes the uniform norm on. By the Weierstrass approximation theorem, polynomials are uniformly dense in. It follows that can be defined, with
If is a lower semicontinuous function on, for example the characteristic function of a subinterval of, then
is a pointwise increasing limit of non-negative.
According to Szőkefalvi-Nagy, if is a vector in H, then the vectors
form a Cauchy sequence in H, since, for,
and is bounded and increasing, so has a limit.
It follows that can be defined by
If and are vectors in H, then
defines a bounded linear form on H. By the Riesz representation theorem
for a unique normalised function of bounded variation on.
is called the spectral measure
determined by and.
The operator is accordingly uniquely characterised by the equation
The spectral projection is defined by
so that
It follows that
which is understood in the sense that for any vectors and,
For a single vector is a positive form on
and is non-negative and non-decreasing.
Polarisation shows that all the forms can naturally be expressed in terms of such positive forms, since
If the vector is such that the linear span of the vectors is dense in H, i.e. is a cyclic vector for
, then the map defined by
satisfies
Let denote the Hilbert space completion of associated
with the possibly degenerate inner product on the right hand side.
Thus extends to a unitary transformation of onto H. is then just multiplication by on ; and more generally is multiplication by. In this case, the support of
is exactly, so that
The eigenfunction expansion associated with singular differential operators of the form
on an open interval requires an initial analysis of the behaviour of the fundamental
eigenfunctions near the endpoints a and b to determine possible boundary conditions there. Unlike the regular Sturm–Liouville case, in some circumstances spectral values of D can have multiplicity 2. In the development outlined below standard assumptions will be imposed on p and q that guarantee that the spectrum of
D 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 D, −1 for R large and positive, is given by an operator T corresponding to a Green's function constructed from two fundamental eigenfunctions. In the classical case T was a compact self-adjoint operator; in this case T is just a self-adjoint bounded operator with 0 ≤ T ≤ I. The abstract theory of spectral measure can therefore be applied to T to give the eigenfunction expansion for D.
The central idea in the proof of Weyl and Kodaira can be explained informally as follows. Assume that the spectrum of D lies in . For an arbitrary function f define
f may be regarded as a differentiable map into the space of functions of bounded variation ρ; or equivalently as a differentiable map
into the Banach space E of bounded linear functionals dρ on C whenever is a compact subinterval of 1, ∞).
Weyl's fundamental observation was that dλ f satisfies a second order [ordinary differential equation taking values in E:
After imposing initial conditions on the first two derivatives at a fixed point c, this equation can be solved explicitly
in terms of the two fundamental eigenfunctions and the "initial value" functionals
This point of view may now be turned on its head: f and fx may be written as
where ξ1 and ξ2 are given purely in terms of the fundamental eigenfunctions.
The functions of bounded variation
determine a spectral measure on the spectrum of D and can be computed explicitly from the behaviour
of the fundamental eigenfunctions.

Limit circle and limit point for singular equations

Let q be a continuous real-valued function on
and let D be the second order differential operator
on. Fix a point c in and, for λ complex, let be the unique fundamental eigenfunctions of D on satisfying
together with the initial conditions at c
Then their Wronskian satisfies
since it is constant and equal to 1 at c.
Let λ be non-real and 0 < x < ∞. If the complex number is such that satisfies the boundary condition for some then, using integration by parts, one obtains
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 by
if x > c and by
if x < c.
Let Dx be the closed disc enclosed by the circle. By definition
these closed discs are nested and decrease as x approaches 0 or ∞. So in the limit, the circles
tend either to a limit circle or a limit point at each end. If is a
limit point or a point on the limit circle at 0 or ∞, then is
square integrable near 0 or ∞, since lies in Dx for all x>c and so is bounded independent of x. In particular:
The radius of the disc Dx can be calculated to be
and this implies that in the limit point case cannot be square integrable near 0 resp. ∞. Therefore, we have a converse to the second statement above:
On the other hand, if Dg = λ' g for another value λ', then
satisfies Dh = λh, so that
This formula may also be obtained directly by the variation of constant method from g = g.
Using this to estimate g, it follows that
More generally if Dg= g for some function r, then
From this it follows that
so that in particular
Similarly
so that in particular
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
on with q0 positive and continuous on, positive in and p0=0.
Moreover, assume that after reduction to standard form
D0 becomes the equivalent operator
on where q has a finite limit at ∞. Thus
At 0, D may be either limit circle or limit point. In either case there is an eigenfunction Φ0 with DΦ0=0 and Φ0 square integrable near 0. In the limit circle case, Φ0 determines a boundary condition at 0:
For λ complex, let Φλ and Χλ satisfy
Let
a constant which vanishes precisely when Φλ and Χλ are proportional, i.e. λ is an eigenvalue of D for these boundary conditions.
On the other hand, this cannot occur if Im λ ≠ 0 or if λ is negative.
Indeed, if D f= λf with q0 – λ ≥ δ >0, then by Green's formula =, since W is constant. So λ must be real. If f is taken to be real-valued in the D0 realization, then for 0 < x < y
Since p0 = 0 and f is integrable near 0, p0f f ' must vanish at 0. Setting x = 0, it follows that f f ' >0, so that f2 is increasing, contradicting the square integrability of f near ∞.
Thus, adding a positive scalar to q, it may be assumed that
If ω ≠ 0, the Green's function Gλ at λ is defined by
and is independent of the choice of λ and Χλ.
In the examples there will be a third "bad" eigenfunction Ψλ defined and holomorphic for λ not in 1, ∞) such that
Ψλ satisfies the boundary conditions at neither 0 nor ∞. This means that for λ not in [1, ∞)
  • W is nowhere vanishing;
  • W is nowhere vanishing.
In this case Χλ is proportional to Φλ + m Ψλ, where
  • m = – W / W.
Let H1 be the space of square integrable continuous functions on and let H0 be
Define T = G0 by
Then T D = I on H0, D T = I on H1 and the operator D is bounded below on H0:
Thus T is a self-adjoint bounded operator with 0 ≤ T ≤ I.
Formally T = D−1. The corresponding operators Gλ defined for λ not in Legendre differential operator D
on. The eigenfunctions are the Legendre functions
with eigenvalue λ ≥ 0. The two Mehler–Fock transformations are
and
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 G = SU consisting of complex matrices of the form
with determinant |α|2 − |β|2 = 1.

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

Gelfand–Levitan theory