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FCM Laplace Transforms

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FCM Laplace Transforms Powered By Docstoc
					Mathematical Tripos Part II                                                                Michaelmas term 2007
Further Complex Methods                                                                         Dr S.T.C. Siklos

Laplace Transforms: the inversion theorem
Let f (t) = 0 for t < 0 and assume that the Laplace transform of f (t) exists — which means
that f (t) is integrable over the range [0, R], for any R, and f (t)ekt → 0 as t → ∞ for some k.
   Then the inverse transform of f (p) is
                                                     a+i∞
                                               1
                                    f (t) =                   ept f (p)dp
                                              2πi    a−i∞

where the path of integration runs to the right of all singularities of the integrand. This integral
is called the Bromwich integral.
Proof of inversion theorem
Note first that for t < 0 we can close the contour with a large semi-circle in the right half plane.
Since by definition of the Bromwich integral the integrand has no singularities to the right of
the path of integration, we have f (t) = 0 for t < 0, as required.
    Of course, this is assuming that f (p) does not tend to infinity exponentially in the right half
plane; this can be shown to be the case (and is fairly clear: just consider the behaviour of the
integrand of the Laplace transform as p → ∞).
    If the integrand is roughly e−pt0 for large p in the right half plane, then for t < t0 we can
close in the right half plane and obtain the stronger result that f (t) = 0 for t < t0 .
    Now we show that the value of the Bromwich integral is f (t).
    Starting with the right hand side, we have
                    a+i∞                      a+i∞               ∞
                           ept f (p)dp =             ept              e−pτ f (τ )dτ   dp
                   a−i∞                       a−i∞               −∞

(recall that f (t) = 0 for t < 0)
                                                     ∞       ∞
                                      = ieat                     eiy(t−τ )−aτ f (τ )dτ dy
                                                    −∞     −∞

(setting p = a + iy)
                                                     ∞                      ∞
                                      = ieat             e−aτ f (τ )            eiy(t−τ ) dy dτ
                                                    −∞                    −∞

(swapping the order of integration)
                                                         ∞
                                      = 2πieat               e−aτ f (τ )δ(t − τ )dτ
                                                      −∞

                                      = 2πif (t) .




                                                     1
To justify the use of the δ function, note that for any continuous L1 function g, we have:
              ∞     ∞                               R          ∞
                        eiyu g(u)du dy =     lim                   eiyu g(u)du dy
             −∞    −∞                       R→∞ −R         −∞

                                                    ∞                 R
                                        =    lim        g(u)              eiyu dy du
                                            R→∞ −∞                   −R

                                                    ∞
                                                                    2 sin uR
                                        =    lim        g(u)                    du
                                            R→∞ −∞                      u

                                                                   2 sin uR             1
                                        =    lim        g(u)                   du + O
                                            R→∞ −                      u                R

(by the Riemann-Lebesgue lemma)

                                                                    sin uR              1
                                        = 2g(0) lim                            du + O
                                                   R→∞ −               u                R

(expanding g(u) by Taylor series (with remainder) and using the Riemann-Lebesgue lemma)

                                                           R
                                                                     sin v              1
                                        = 2g(0) lim                            dv + O
                                                   R→∞ −R              v                R

(setting v = Ru)
                                                    ∞
                                                           sin v
                                        = 2g(0)                       dv = 2g(0) × π.
                                                   −∞        v




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DOCUMENT INFO
Description: Further Complex Methods (Cambridge), Lecture notes on Mathematical Methods (ND), Vector Calculus short extra notes, Dynamical Systems (Cambridge)