MA-108 Differential Equations I

Ronnie Sebastian

Department of Mathematics
Indian Institute of Technology Bombay
Powai, Mumbai - 76

12th April, 2018

D4 - Lecture 11

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Definition (Convolution)
The convolution f ∗ g of two functions f and g is defined by
Z t
(f ∗ g)(t) = f (τ )g(t − τ ) dτ
0

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Theorem (Convolution Theorem)
If L(f ) = F (s) and L(g) = G(s), then L(f ∗ g) exists, and
Z t 
L(f ∗ g) = L f (τ )g(t − τ ) dτ = F (s)G(s)
0

Proof.
Let us assume that the Laplace transform of f ∗ g exists.
We will prove the formula.

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continued ...
Z ∞ Z t 
−st
L(f ∗ g) = e f (τ )g(t − τ ) dτ dt
0 0
Interchanging the order of integration gives us the following
Z ∞ Z ∞ 
−st
= f (τ ) e g(t − τ ) dt dτ
0 τ
Z ∞ Z ∞ 
−s(x+τ )
= f (τ ) e g(x) dx dτ
Z0 ∞ 0

= f (τ )e−sτ G(s)dτ
0
= G(s)F (s)

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Example
Let us verify the result for f (t) = eat and g(t) = ebt .
Z t
(f ∗ g)(t) = f (τ )g(t − τ ) dτ
0
Z t Z t
aτ b(t−τ )
= e e dτ = e(a−b)τ ebt dτ
0 0
!
e(a−b)t
bt 1 eat ebt
= e − = −
a−b a−b a−b a−b
 
1 1 1
L(f ∗ g) = −
a−b s−a s−b
= F (s)G(s)
= L(f )L(g)

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Example
Let us use Laplace transform to solve IVP.

y 0 − ay = f (t), y(0) = 0
(s − a)Y (s) = F (s)
1
=⇒ Y (s) = F (s)
s−a
= F (s)G(s), g(t) = eat
=⇒ y(t) = L−1 (F (s)G(s))
Z t
= f (τ )g(t − τ ) dτ
0

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Show the followings.
1 f ∗ g = g ∗ f.
2 f ∗ (g1 + g2 ) = f ∗ g1 + f ∗ g2
3 (f ∗ g) ∗ h = f ∗ (g ∗ h)
4 f ∗0=0∗f =0
5 f ∗ 1 6= f ,
e.g. sin t ∗ 1 = 1 − cos t.

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Example

y 00 + 3y 0 + 2y = f (t), y(0) = 0, y 0 (0) = 0

Applying Laplace transform, we get

(s2 + 3s + 2)L(y) = F (s)

F (s)
Y (s) =
(s + 2)(s + 1)
 
1 1
= F (s) −
s+1 s+2
y(t) = f ∗ (e−t − e−2t )
Z t
= f (t − τ )(e−τ − e−2τ ) dτ
0

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Example
Give a formula for the solution of the IVP.

y 00 + 4y = f (t), y(0) = a, y 0 (0) = b

(s2 + 4)Y (s) = F (s) + b + as
1 b + as
Y (s) = 2 F (s) + 2
s +4 s +4
1 t
Z
b
y(t) = f (t − τ ) sin 2τ dτ + sin 2t + a cos 2t
2 0 2

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Example
Give a formula for the solution of the IVP.

y 00 + 2y 0 + 2y = f (t), y(0) = a, y 0 (0) = b

Taking Laplace transform gives,

(s2 + 2s + 2)Y (s) = F (s) + b + as + 2a.
Therefore,
1 b + a + a(s + 1)
Y (s) = F (s) +
s2 + 2s + 2 s2 + 2s + 2

1
= L(e−t sin t),
s2 + 2s + 2
Hence
Z t
y(t) = f (t − τ )e−τ sin τ dτ + e−t [(b + a) sin t + a cos t]
0
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Evaluating Convolution Integrals
Rt
Def. An integral of the form 0 f (τ )g(t − τ ) dτ is called a
convolution integral.

Example
Evaluate the integral using convolution theorem.
Z t
h(t) = (t − τ )5 τ 7 dτ
0
h(t) = (f ∗ g)(t) f (t) = t5 g(t) = t7
H(s) = L(t5 )L(t7 )
5! 7!
= 6 8
s s  
−1 5! 7! 5! 7! 13
h(t) = L 14
= t
s 13!

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Example
Evaluate the following integral
Z t
h(t) = sin a(t − τ ) cos bτ dτ, |a| =
6 |b|
0

Note that
h(t) = (f ∗ g)(t) f (t) = sin(at) g(t) = cos(bt).
Hence

H(s) = L(sin at)L(cos bt)

a s
= 2
s + a s + b2
2 2

a s s
= 2 −
b − a2 s2 + a2 s2 + b2

Therefore,
a
h(t) = (cos at − cos bt)
b2 − a2
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Volterra Integral Equations

An integral equation of the form

Z t
y(t) = f (t) + k(t − τ )y(τ ) dτ
0

is called a Volterra integral equation.

Here f (t) and k(t) are known functions and y is unknown.
We can solve them using convolution theorem.
Taking Laplace transform, we get

Y (s) = F (s) + K(s)Y (s)

F (s)
=⇒ Y (s) =
1 − K(s)

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Example
Solve the integral equation
Z t
y(t) = 1 + 2 e−2(t−τ ) y(τ ) dτ
0

Taking Laplace transform, we get

1 2
Y (s) = + Y (s)
  s s+2
2 1
Y (s) 1 − =
s+2 s
s 1
Y (s) =
s+2 s
1 2
Y (s) = + 2
s s
=⇒ y(t) = 1 + 2t

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Additional Properties of Laplace Transform

f, f 0 : piecewise continuous and of exponential order. Then

lims→∞ sF (s) = f (0).
If f is piecewise continuous and periodic of period T , then
1 RT −st dt, s > 0
L(f (t)) = −sT 0 f (T )e
1−e

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Additional Properties of Laplace Transform

Theorem
If F (s) exists for s > s0 , then
Z t 
F (s)
L f (τ ) dτ = , s > max{0, s0 }
0 s

Proof.
Z t 
L f (τ )dτ = L(f ∗ 1)
0
= L(f )L(1)
F (s)
=
s
for s > max{0, s0 }.

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Example
 
1
Compute L−1 n+1
.
s
Let us
 assume by induction that (for n ≥ 1)
tn−1

1
L−1 =
sn (n − 1)!
By our previous theorem we know that
Z t
−1 1
 1 xn−1 tn
L · = dx =
sn s 0 (n − 1)! n!

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Example
Find  
−1 1
L
s2 (s2 + 1)
1
Since L(sin t) = ,
s2 +1
  Z tZ t
−1 1
L = sin t dt
s2 (s2 + 1) 0 0
Z t
= (1 − cos t) dt = t − sin t
0

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Theorem
If F (s) exists for s > s0 , then

dF (s)
L(tf (t)) = − , s > s0 .
ds

In general, L(tk f (t)) = (−1)k F (k) (s), s > s0 , k > 0.

Proof.
Z ∞ 
dF (s) d
= f (t)e−st dt
ds ds
Z ∞ Z ∞ 0
∂ −st
= (e )f (t) dt = −te−st f (t) dt
0 ∂s 0
= −L(tf (t)).

How to justify the interchanging of differentiation and

integration?
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Example
 
s
Find L−1 .
(s2 + 4)2
1 1
If F (s) = , then f (t) = sin 2t. Hence
s2 + 4 2
dF (s) 2s
L(tf (t)) = − = 2 .
ds (s + 4)2
 
s 1
Therefore, L−1 = t sin 2t.
(s2 + 4)2 4
 
s
Exercise. Find L−1 .
(s2 + 4)3

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Theorem
Assume
F (s) exists for s > s0 ,
f (t)
limt→0 exists and is finite.
 t
f
Then L exists, and
t
  Z ∞
f (t)
L = F (x) dx, s > s0
t s

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Proof.
Z ∞ Z ∞ Z ∞ 
−xt
F (x) dx = f (t)e dt dx
s s 0
Z ∞ Z ∞ 
= f (t) e−xt dx dt
0 s
Z ∞
f (t) −st
= e dt
0 t
 
f (t)
= L
t

By Fubini’s Theorem
Z Z Z Z Z Z
|f (x, y)| dx dy < ∞ =⇒ f dx dy = f dy dx

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Example
Find  
−1 s−a
L (F (s)), F (s) = ln , a 6= b ∈ R
s−b
F (s) exists for s > s0 = max{|a|, |b|}
Let us note that
Z ∞
1 1 1 
F (s) = − dx
a−b s x−a x−b
 1 1 
L−1 − = eat − ebt
s−a s−b
eat − ebt
Since limt→0 exists and is finite, we can use the theorem
t
and we get
1 eat − ebt
L−1 (F ) =
a−b t

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Theorem
If f is piecewise continuous and of exponential order, then
(i) lims→∞ F (s) = 0, (ii) lims→∞ sF (s) < ∞.

Proof. |f (t)| ≤ M es0 t for t ≥ t0 . Further we may assume

|f (t)| ≤ K for t ∈ [0, t0 ].
Z ∞  Z ∞
−st
|f (t)|e−st dt
 
|F (s)| =  f (t)e dt ≤
0 0
Z t0 Z ∞
= |f (t)|e−st dt + |f (t)|e−st dt
0 t0
Z t0 Z ∞
≤ Ke−st dt + M e−(s−s0 )t dt
0 t0
1 − e−st0 M
= K + , for all s > s0
s s − s0
=⇒ lim F (s) = 0, and lim sF (s) = K + M < ∞
s→∞ s→∞

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Theorem
Assume f and f 0 both are piecewise continuous and of exponential
order. Then
lim sF (s) = f (0).
s→∞

Proof.
L(f 0 (t)) = sL(f (t)) − f (0)
Since f and f 0 both are piecewise continuous and of exponential
order, we get

lim L(f 0 (t)) = 0, and lim sF (s) < ∞

s→∞ s→∞

Therefore,
lim sF (s) = f (0)
s→∞

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Example
 
1 − s(5 + 3s)
Let f (t) = L−1 . Find f (0).
s((s + 1)2 + 1)
We can find f (t) by partial fraction. Hence we know that f and f 0
are continuous and of exponential order. Therefore,

f (0) = lim sF (s)

s→∞
1 − s(5 + 3s)
= lim
s→∞ ((s + 1)2 + 1)

1 − 5s − 3s2
= lim 2
s→∞ s + 2s + 2
= −3

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Theorem
If f is piecewise continuous and periodic of period T , then
Z T
1
L(f (t)) = f (T )e−st dt, s > 0
1 − e−sT 0

Proof.
Z T Z 2T
−st
L(f (t)) = f (t)e dt + f (t)e−st dt + . . .
0 T
Z T Z T
= f (t)e−st dt + f (t + T )e−s(t+T ) dt + . . .
0 0
Z T
f (t)e−st dt 1 + e−sT + e−2sT + . . .


=
0
Z T
1
= f (t)e−st dt , s > 0
(1 − e−sT ) 0

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Example
Find the Laplace transform of periodic function
(
t, 0 ≤ t < 1
f (t) = , f (t + 2) = f (t)
0, 1 ≤ t < 2
Z 2
1
L(f (t)) = f (t)e−st dt
(1 − e−2s ) 0
Z 1
1
= te−st dt
(1 − e−2s ) 0
 −st Z 1 −st 
1 e 1 e
= t | − dt
(1 − e−2s ) −s 0 0 −s
 −s 
1 e 1 −s
= − 2 (e − 1)
(1 − e−2s ) −s s

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 L e−at f (t) = F (s + a), s > s0 + a.


1

2 L(u(t − a)f (t − a)) = e−as F (s), s > s0 , a > 0.

R  F (s)
t
3 L 0 f (τ ) dτ = , s > max{0, s0 }.
s
4 L(tf (t)) = −F (1) (s), s > s0 .
 
f (t) R∞
5 L = s F (s0 )ds0 , s > s0 .
t
6 Assume f is piecewise continuous and of exponential order.
Then
(i) lims→∞ F (s) = 0, (ii) lims→∞ sF (s) is bounded.
7 Assume f and f 0 both are piecewise continuous and of
exponential order. Then lims→∞ sF (s) = f (0).
8 If f is piecewise continuous and periodic of period T , then
1 RT
L(f (t)) = f (t)e−st dt, s > 0
1 − e−sT 0

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Exercise. Find Inverse Laplace transform and verify, whether
lims→∞ sF (s) = f (0). If not, then state why it is not.
s s
(i) , (ii)
(s2 +a ) 2 2 (s − a2 )2
2

s2 1
(iii) 3
, (iv) √
(s + 1) s+1
s s
(v) , (vi)
(s − a)3/2 (s + 4)6
e−s e−2s
(vii) , (viii)
s5 (s + 1)2
a2 a2
   
(ix) ln 1 + 2 , (x) ln 1 − 2 ,
s s
1 1
(xi) , (xii)
s(1 − e−s ) s(1 + e−s )
1
(xiii)
(s + 1)(1 − e−2s )

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