Sturm–Liouville theory
In mathematics and its applications, a Sturm–Liouville problem is a secondorder linear ordinary differential equation of the form:
 To find the λ for which there exists a nontrivial solution to the problem. Such values λ are called the eigenvalues of the problem.
 For each eigenvalue λ, to find the corresponding solution of the problem. Such functions are called the eigenfunctions associated to each λ.
Sturm–Liouville theory is the general study of Sturm–Liouville problems. In particular, for a "regular" Sturm–Liouville problem, it can be shown that there are an infinite number of eigenvalues each with a unique eigenfunction, and that these eigenfunctions form an orthonormal basis of a certain Hilbert space of functions.
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 onedimensional timeindependent Schrödinger equation is a Sturm–Liouville problem.
Sturm–Liouville theory is named after Jacques Charles François Sturm (1803–1855) and Joseph Liouville (1809–1882) who developed the theory.
Main results[edit]
The main results in Sturm–Liouville theory apply to a Sturm–Liouville problem

(1) 
on a finite interval that is "regular". The problem is said to be regular if:
 the coefficient functions and the derivative are all continuous on ;
 and for all ;
 the problem has separated boundary conditions of the form:

(2) 

(3) 
The function , sometimes denoted , is called the weight or density function.
The goals of a Sturm–Liouville problem are:
 to find the eigenvalues: those λ for which there exists a nontrivial solution;
 for each eigenvalue λ, to find the corresponding eigenfunction .
For a regular Sturm–Liouville problem, a function is called a solution if it is continuously differentiable and satisfies the equation (1) at every . In the case of more general , the solutions must be understood in a weak sense.
The terms eigenvalue and eigenvector are used because the solutions correspond to the eigenvalues and eigenfunctions of a Hermitian differential operator in an appropriate Hilbert space of functions with inner product defined using the weight function. 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.
The main result of Sturm–Liouville theory states that, for any regular Sturm–Liouville problem:
 The eigenvalues are real and can be numbered so that
 Corresponding to each eigenvalue is a unique (up to constant multiple) eigenfunction with exactly zeros in , called the nth fundamental solution.
 The normalized eigenfunctions form an orthonormal basis under the wweighted inner product in the Hilbert space ; that is, where is the Kronecker delta.
Reduction to Sturm–Liouville form[edit]
The differential equation (1) is said to be in Sturm–Liouville form or selfadjoint form. All secondorder linear homogenous ordinary differential equations can be recast in the form on the lefthand side of (1) by multiplying both sides of the equation by an appropriate integrating factor (although the same is not true of secondorder partial differential equations, or if y is a vector). Some examples are below.
Bessel equation[edit]
Legendre equation[edit]
Example using an integrating factor[edit]
Divide throughout by x^{3}:
Multiplying throughout by an integrating factor of
Integrating factor for general secondorder homogenous equation[edit]
Multiplying through by the integrating factor
Sturm–Liouville equations as selfadjoint differential operators[edit]
The mapping defined by:
This is precisely the eigenvalue problem; that is, one seeks eigenvalues λ_{1}, λ_{2}, λ_{3},... and the corresponding eigenvectors u_{1}, u_{2}, u_{3},... 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 selfadjoint 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 onedimensional timeindependent Schrödinger equation is a special case of a Sturm–Liouville equation.
Application to inhomogeneous secondorder boundary value problems[edit]
Consider a general inhomogeneous secondorder 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 (socalled 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 u_{i} of the associated Liouville operator with corresponding eigenvalues λ_{i}:
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[edit]
Consider the Sturm–Liouville problem:

(4) 
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 "squaresummable", the Fourier series converges in L^{2} 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[edit]
Normal modes[edit]
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 ≤ L_{1}, 0 ≤ y ≤ L_{2}. 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/c^{2} 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, L_{1} or y = 0, L_{2} 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 W_{mn} 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 ω_{mn}. This representation may require a convergent infinite sum.
Secondorder linear equation[edit]
Consider a linear secondorder differential equation in one spatial dimension and firstorder 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 X_{n}(x) and eigenvalues λ_{n}. The second of these equations can be analytically solved once the eigenvalues are known.
where
Representation of solutions and numerical calculation[edit]
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 matrixvariational method of Gerck et al.^{[1]}^{[2]}^{[3]}
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^{[4]}^{[5]}
 Finite difference method
 Spectral parameter power series method^{[6]}
Shooting methods[edit]
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[edit]
The spectral parameter power series (SPPS) method makes use of a generalization of the following fact about homogeneous secondorder 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 y_{0} of (1) with λ = λ^{∗}
_{0} which does not vanish on [a,b]. (Discussion below of ways to find appropriate y_{0} 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/py^{2}
_{0} and wy^{2}
_{0} and integrated, specifically, for n > 0:

(5) 

(6) 
The resulting iterated integrals are now applied as coefficients in the following two power series in λ:
Next one chooses coefficients c_{0} and c_{1} so that the combination y = c_{0}u_{0} + c_{1}u_{1} 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 u_{0}(b) and u_{1}(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 soughtafter eigenvalues.
When λ = λ_{0}, 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.^{[6]}
Construction of a nonvanishing solution[edit]
The SPPS method can, itself, be used to find a starting solution y_{0}. 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 μ_{0} = 0. While there is no guarantee that u_{0} or u_{1} will not vanish, the complex function y_{0} = u_{0} + iu_{1} will never vanish because two linearlyindependent solutions of a regular Sturm–Liouville equation cannot vanish simultaneously as a consequence of the Sturm separation theorem. This trick gives a solution y_{0} of (1) for the value λ_{0} = 0. In practice if (1) has real coefficients, the solutions based on y_{0} will have very small imaginary parts which must be discarded.
See also[edit]
 Normal mode
 Oscillation theory
 Selfadjoint
 Variation of parameters
 Spectral theory of ordinary differential equations
 Atkinson–Mingarelli theorem
References[edit]
 ^ Ed Gerck, A. B. d'Oliveira, H. F. de Carvalho. "Heavy baryons as bound states of three quarks." Lettere al Nuovo Cimento 38(1):27–32, Sep 1983.
 ^ Augusto B. d'Oliveira, Ed Gerck, Jason A. C. Gallas. "Solution of the Schrödinger equation for bound states in closed form." Physical Review A, 26:1(1), June 1982.
 ^ 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.
 ^ Pryce, J. D. (1993). Numerical Solution of Sturm–Liouville Problems. Oxford: Clarendon Press. ISBN 0198534159.
 ^ Ledoux, V.; Van Daele, M.; Berghe, G. Vanden (2009). "Efficient computation of high index Sturm–Liouville eigenvalues for problems in physics". Comput. Phys. Commun. 180 (2): 532–554. arXiv:0804.2605. Bibcode:2009CoPhC.180..241L. doi:10.1016/j.cpc.2008.10.001. S2CID 13955991.
 ^ ^{a} ^{b} 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. Bibcode:2010MMAS...33..459K. doi:10.1002/mma.1205. S2CID 17029224.
Further reading[edit]
 "Sturm–Liouville theory", Encyclopedia of Mathematics, EMS Press, 2001 [1994]
 Hartman, Philip (2002). Ordinary Differential Equations (2 ed.). Philadelphia: SIAM. ISBN 9780898715101.
 Polyanin, A. D. & Zaitsev, V. F. (2003). Handbook of Exact Solutions for Ordinary Differential Equations (2 ed.). Boca Raton: Chapman & Hall/CRC Press. ISBN 1584882972.
 Teschl, Gerald (2012). Ordinary Differential Equations and Dynamical Systems. Providence: American Mathematical Society. ISBN 9780821883280. (Chapter 5)
 Teschl, Gerald (2009). Mathematical Methods in Quantum Mechanics; With Applications to Schrödinger Operators. Providence: American Mathematical Society. ISBN 9780821846605. (see Chapter 9 for singular Sturm–Liouville operators and connections with quantum mechanics)
 Zettl, Anton (2005). Sturm–Liouville Theory. Providence: American Mathematical Society. ISBN 0821839055.
 Birkhoff, Garrett (1973). A source book in classical analysis. Cambridge, Massachusetts: Harvard University Press. ISBN 0674822455. (See Chapter 8, part B, for excerpts from the works of Sturm and Liouville and commentary on them.)
 Kravchenko, Vladislav (2020). Direct and Inverse SturmLiouville Problems: A Method of Solution. Cham: Birkhäuser. ISBN 9783030478483.