Introduction

Laplace Transforms

Math 337 - Elementary Differential Equations

Lecture Notes – Laplace Transforms: Part A

Joseph M. Mahaffy,
[email protected]

Department of Mathematics and Statistics

Dynamical Systems Group
Computational Sciences Research Center
San Diego State University
San Diego, CA 92182-7720
http://www-rohan.sdsu.edu/∼jmahaffy

Spring 2020

Lecture Notes – Laplace Transforms: Part A

Joseph M. Mahaffy, [email protected] — (1/26)
 Introduction
Laplace Transforms

Outline

1 Introduction
Background

2 Laplace Transforms
Short Table of Laplace Transforms
Properties of Laplace Transform
Laplace Transform of Derivatives

Lecture Notes – Laplace Transforms: Part A

Joseph M. Mahaffy, [email protected] — (2/26)
 Introduction
Background
Laplace Transforms

Integral Transforms

Integral Transform: This is a relation

Z β
F (s) = K(t, s)f (t)dt,
α

which takes a given function f (t) and outputs another function F (s)
The function K(t, s) is the integral kernel of the transform, and the
function F (s) is the transform of f (t)

Integral Transforms allow one to find solutions of problems

(usually involving differentiation) through algebraic methods
Properties of the Integral Transform allow manipulation of
the function in the transformed to an easier expression, which
can be inverted to find a solution

Lecture Notes – Laplace Transforms: Part A

Joseph M. Mahaffy, [email protected] — (3/26)
 Introduction
Background
Laplace Transforms

Integral Transforms
Integral Transforms

There are many Integral Transforms for different problems

For Partial Differential Equations and working on the
spatial domain, the Fourier transform is most common
and defined by
Z +∞
F(u) = e−2πiux f (x)dx.
−∞

For Ordinary Differential Equations and working on

the time domain, the Laplace transform is most common
and defined by
Z ∞
L(s) = e−st f (t)dt.
0

Lecture Notes – Laplace Transforms: Part A

Joseph M. Mahaffy, [email protected] — (4/26)
 Introduction
Background
Laplace Transforms

Laplace Transforms
Laplace Transforms

Time Domain

Linear Time

Differential Domain
Equation Solution

Laplace Transform

Inverse Laplace
Transform

Laplace Algebra Laplace

Transformed
Solution
Equation

Laplace Domain or
Complex Frequency Domain

Lecture Notes – Laplace Transforms: Part A

Joseph M. Mahaffy, [email protected] — (5/26)
 Introduction
Background
Laplace Transforms

Improper Integral
Improper Integral: This should be a review
The improper integral is defined on an unbounded interval and
is defined Z ∞ Z A
f (t)dt = lim f (t)dt,
α A→∞ α
where A is a positive real number
If the limit as A → ∞ exists, then the improper integral is said to
converge to the limiting value
Otherwise, the improper integral is said to diverge
Example: Let f (t) = ect with c nonzero constant. Then
∞ A A
ect 
Z Z
1 cA
ect dt = lim ect dt = lim


= lim e −1
0 A→∞ 0 A→∞ c 0  A→∞ c

This converges for c < 0 and diverges for c ≥ 0.

Lecture Notes – Laplace Transforms: Part A
Joseph M. Mahaffy, [email protected] — (6/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

Laplace Transform

Definition (Laplace Transform)

Let f be a function on [0, ∞). The Laplace transform of f is the
function F defined by the integral,
Z ∞
F (s) = e−st f (t)dt.
0

The domain of F (s) is the set of all values of s for which this integral
converges. The Laplace transform of f is denoted by both F and
L.

Convention uses s as the independent variable and capital letters for

the transformed functions:
L[f ] = F L[y] = Y L[x] = X
L[f ](s) = F (s) L[y](s) = Y (s) L[x](s) = X(s)
Lecture Notes – Laplace Transforms: Part A
Joseph M. Mahaffy, [email protected] — (7/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

Examples: Laplace Transform

Example 1: Let f (t) = 1, t ≥ 0. The Laplace transform satisfies:
∞ A
e−st 
Z  −sA 
e 1 1
L[1] = e−st dt = − lim = − lim − = , s > 0.
0 A→∞ s 0 A→∞ s s s

Example 2: Let f (t) = eat , t ≥ 0. The Laplace transform satisfies:

Z ∞ Z ∞
−st at 1
at
L[e ] = e e dt = e−(s−a)t dt = , s > a.
0 0 s − a

Example 3: Let f (t) = e(a+bi)t , t ≥ 0. The Laplace transform

satisfies:
Z ∞ Z ∞
1
L[e(a+bi)t ] = e−st e(a+bi)t dt = e−(s−a−bi)t dt = ,
0 0 s − a − bi
s > a.
Lecture Notes – Laplace Transforms: Part A
Joseph M. Mahaffy, [email protected] — (8/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

Laplace Transform - Linearity

The Laplace transform is a linear operator

Theorem (Linearity of Laplace Transform)

Suppose the f1 and f2 are two functions where Laplace transforms
exist for s > a1 and s > a2 , respectively. Let c1 and c2 be real or
complex numbers. Then for s > max{a1 , a2 },

L[c1 f1 (t) + c2 f2 (t)] = c1 L[f1 (t)] + c2 L[f2 (t)].

The proof uses the linearity of integrals.

Lecture Notes – Laplace Transforms: Part A

Joseph M. Mahaffy, [email protected] — (9/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

Examples: Laplace Transform

Example 4: Let f (t) = sin(at), t ≥ 0. But
1 iat
e − e−iat .


sin(at) =
2i
By linearity, the Laplace transform satisfies:
 
1 iat −iat

1 1 1 a
L[sin(at)] = L[e ] − L[e ] = − = 2 ,
2i 2i s − ia s + ia s + a2

s > 0.
Example 5: Let f (t) = 2 + 5e−2t − 3 sin(4t), t ≥ 0. By linearity, the
Laplace transform satisfies:

L[2 + 5e−2t − 3 sin(4t)] = 2L[1] + 5L[e−2t ] − 3L[sin(4t)]

2 5 12
= + − , s > 0.
s s + 2 s2 + 16
Lecture Notes – Laplace Transforms: Part A
Joseph M. Mahaffy, [email protected] — (10/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

Examples: Laplace Transform

Example 6: Let f (t) = t cos(at), t ≥ 0. The Laplace transform
satisfies:
Z ∞
1 ∞  −(s−ia)t
Z 
−st
L[t cos(at)] = e t cos(at)dt = te + te−(s+ia)t dt.
0 2 0
Integration by parts gives
Z ∞  −(s−ia)t ∞
−(s−ia)t te e−(s−ia)t 1
te dt = + 2
= , s > 0.
0 s − ia (s − ia) 0 (s − ia)2
Similarly, Z ∞
1
te−(s+ia)t dt = , s > 0.
0 (s + ia)2
Thus,
s2 − a2
 
1 1 1
L[t cos(at)] = + = , s > 0.
2 (s − ia)2 (s + ia)2 (s2 + a2 )2
Lecture Notes – Laplace Transforms: Part A
Joseph M. Mahaffy, [email protected] — (11/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

Piecewise Continuous Functions

Definition (Piecewise Continuous)
A function f is said to be a piecewise continuous on an interval
α ≤ t ≤ β if the interval can be partitioned by a finite number of
points α = t0 < t1 < ... < tn = β so that:
1 f is continuous on each subinterval ti−1 < t < ti , and
2 f approaches a finite limit as the endpoints of each subinterval
are approached from within the subinterval.

The figure to the right shows the

graph of a piecewise continuous
function defined for t ∈ [α, β)
with jump discontinuities at
t = t1 and t2 .
y

It is continuous on the subintervals

(α, t1 ), (t1 , t2 ), and (t2 , β).

α t1 t2 β
t
Lecture Notes – Laplace Transforms: Part A
Joseph M. Mahaffy, [email protected] — (12/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

Examples: Laplace Transform

Example 7: Define the piecewise continuous function
 2t
e , 0 ≤ t < 1,
f (t) =
4, 1 ≤ t.

The Laplace transform satisfies:

Z ∞ Z 1 Z ∞
F (s) = e−st f (t)dt = e−st e2t dt + e−st · 4dt
0 0 1
Z 1 Z A
= e−(s−2)t dt + 4 lim e−st dt
0 A→∞ 1
1 A
e−(s−2)t  e−st 
= − − 4 lim
s − 2 t=0 A→∞ s t=1
1 e−(s−2) e−s
= − +4 , s > 0, s 6= 2.
s−2 s−2 s

Lecture Notes – Laplace Transforms: Part A

Joseph M. Mahaffy, [email protected] — (13/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

Existence of Laplace Transform

Definition (Exponential Order)
A function f (t) is of exponential order (as t → +∞) if there exist
real constants M ≥ 0, K > 0, and a, such that

|f (t)| ≤ Keat ,

when t ≥ M .

Examples:
f (t) = cos(αt) satisfies being of exponential order with M = 0, K = 1,
and a = 0
f (t) = t2 satisfies being of exponential order with a = 1, K = 1, and
M = 1. By L’Hôpital’s Rule (twice)

t2 2
lim = lim t = 0.
t→∞ et t→∞ e

2
f (t) = et is NOT of exponential order
Lecture Notes – Laplace Transforms: Part A
Joseph M. Mahaffy, [email protected] — (14/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

Existence of Laplace Transform

Theorem (Existence of Laplace Transform)
Suppose
1 f is piecewise continuous on the interval 0 ≤ t ≤ A for any
positive A
2 f is of exponential order, i.e., there exist real constants
M ≥ 0, K > 0, and a, such that

|f (t)| ≤ Keat ,

when t ≥ M .
Then the Laplace transform given by
Z ∞
L[f (t)] = F (s) = e−st f (t)dt,
0

exists for s > a.

Lecture Notes – Laplace Transforms: Part A
Joseph M. Mahaffy, [email protected] — (15/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

Short Table of Laplace Transforms

Short Table of Laplace Transforms: Below is a short table of
Laplace transforms for some elementary functions

f (t) = L−1 [F (s)] F (s) = L[f (t)]

1
1 s, s>0
1
eat s−a , s>a
n!
tn , integer n > 0 sn+1 , s>0
p Γ(p+1)
t , p > −1 sp+1 , s>0
a
sin(at) s2 +a2 , s>0
s
cos(at) s2 +a2 , s>0
a
sinh(at) s2 −a2 , s > |a|
s
cosh(at) s2 −a2 , s > |a|

Lecture Notes – Laplace Transforms: Part A

Joseph M. Mahaffy, [email protected] — (16/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

Laplace Transform - ect f (t)

Laplace Transform - ect f (t): Previously found Laplace

transforms of several basic functions

Theorem (Exponential Shift Theorem)

If F (s) = L[f (t)] exists for s > a, and if c is a constant, then

L[ect f (t)] = F (s − c), s > a + c.

Proof:
This result immediately follows from the definition:
Z ∞ Z ∞
L[ect f (t)] = e−st ect f (t)dt = e−(s−c)t f (t)dt = F (s − c),
0 0

which holds for s − c > a.

Lecture Notes – Laplace Transforms: Part A

Joseph M. Mahaffy, [email protected] — (17/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

Example

Example: Consider the function

g(t) = e−2t cos(3t).

From our Table of Laplace Transforms, if f (t) = cos(3t), then

s
F (s) = , s > 0.
s2 + 9

From our previous theorem, the Laplace transform of g(t) satisfies:

s+2
G(s) = L[e−2t f (t)] = F (s + 2) = , s > −2.
(s + 2)2 + 9

Lecture Notes – Laplace Transforms: Part A

Joseph M. Mahaffy, [email protected] — (18/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

Laplace Transform of Derivatives 1

Theorem (Laplace Transform of Derivatives)
Suppose that f is continuous and f 0 is piecewise continuous on any
interval 0 ≤ t ≤ A. Suppose that f and f 0 are of exponential order
with |f (i) (t)| ≤ Keat | for some constants K and a and i = 0, 1. Then
L[f 0 (t)] exists for s > a, and moreover

L[f 0 (t)] = sL[f (t)] − f (0).

Sketch of Proof: If f 0 (t) was continuous, then examine

Z A A Z A
e−st f 0 (t)dt = e−st f (t) + s e−st f (t)dt

0 0 0
Z A
= e−sA f (A) − f (0) + s e−st f (t)dt,
0

which simply uses integration by parts.

Lecture Notes – Laplace Transforms: Part A
Joseph M. Mahaffy, [email protected] — (19/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

Laplace Transform of Derivatives 2

Sketch of Proof (cont): From before we have

Z A Z A
e−st f 0 (t)dt = e−sA f (A) − f (0) + s e−st f (t)dt.
0 0

As A → ∞ and using the exponential order of f and f 0 , this

expression gives
L[f 0 (t)] = sL[f (t)] − f (0).
To complete the general proof with f 0 (t) being piecewise continuous,
we divide the integral into subintervals where f 0 (t) is continuous.
Each of these integrals is integrated by parts, then continuity of f (t)
collapses the end point evaluations and allows the single integral
noted on the right hand side, completing the general proof.

Lecture Notes – Laplace Transforms: Part A

Joseph M. Mahaffy, [email protected] — (20/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

Laplace Transform of Derivatives 3

Corollary (Laplace Transform of Derivatives)

Suppose that
1 The functions f , f 0 , f 00 , ..., f (n−1) are continuous and that f (n)
is piecewise continuous on any interval 0 ≤ t ≤ A
2 The functions f , f 0 , ..., f (n) are of exponential order with
|f (i) (t)| ≤ Keat for some constants K and a and 0 ≤ i ≤ n.
Then L[f (n) (t)] exists for s > a and satisfies

L[f (n) (t)] = sn L[f (t)] − sn−1 f (0) − ... − sf (n−2) (0) − f (n−1) (0).

For our 2nd order differential equations we will commonly use

L[f 00 (t)] = s2 L[f (t)] − sf (0) − f 0 (0).

Lecture Notes – Laplace Transforms: Part A

Joseph M. Mahaffy, [email protected] — (21/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

Laplace Transform of Derivatives - Example

Example: Consider
g(t) = e−2t sin(4t) with g 0 (t) = −2e−2t sin(4t) + 4e−2t cos(4t)

If f (t) = sin(4t), then

4 4
F (s) = 2 , with G(s) =
s + 16 (s + 2)2 + 16
using the exponential theorem of Laplace transforms
Our derivative theorem gives
4s
L[g 0 (t)] = sG(s) − g(0) =
(s + 2)2 + 16
However,
L[g 0 (t)] = −2L[e−2t sin(4t)] + 4L[e−2t cos(4t)]
−8 4(s + 2) 4s
= + =
(s + 2)2 + 16 (s + 2)2 + 16 (s + 2)2 + 16
Lecture Notes – Laplace Transforms: Part A
Joseph M. Mahaffy, [email protected] — (22/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

Laplace Transform of Derivatives - Example

Example: Consider the initial value problem:
y 00 + 2y 0 + 5y = e−t , y(0) = 1, y 0 (0) = −3

Taking Laplace Transforms we have

L[y 00 ] + 2L[y 0 ] + 5L[y] = L[e−t ]

With Y (s) = L[y(t)], our derivative theorems give

1
s2 Y (s) − sy(0) − y 0 (0) + 2 [sY (s) − y(0)] + 5Y (s) =
s+1
or
1
(s2 + 2s + 5)Y (s) = +s−1
s+1
We can write
1 s−1 s2
Y (s) = + 2 =
(s + 1)(s2+ 2s + 5) s + 2s + 5 2
(s + 1)(s + 2s + 5)
Lecture Notes – Laplace Transforms: Part A
Joseph M. Mahaffy, [email protected] — (23/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

Laplace Transform of Derivatives - Example

Example (cont): From before,
s2
Y (s) =
(s + 1)(s2 + 2s + 5)
An important result of the Fundamental Theorem of Algebra is
Partial Fractions Decomposition
We write
s2 A Bs + C
Y (s) = = +
(s + 1)(s2 + 2s + 5) s + 1 s2 + 2s + 5
Equivalently,
s2 = A(s2 + 2s + 5) + (Bs + C)(s + 1)
1
Let s = −1, then 1 = 4A or A = 4
3
Coefficient of s2 gives 1 = A + B, so B = 4

Coefficient of s0 gives 0 = 5A + C, so C = − 54
Lecture Notes – Laplace Transforms: Part A
Joseph M. Mahaffy, [email protected] — (24/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

Laplace Transform of Derivatives - Example

Example (cont): From the Partial Fractions Decomposition
with A = 14 , B = 34 , and C = − 54 ,
   
1 1 3s − 5 1 1 3(s + 1) − 8
Y (s) = + 2 = +
4 s + 1 s + 2s + 5 4 s + 1 (s + 1)2 + 4

Equivalently, we can write this

 
1 1 (s + 1) 2
Y (s) = +3 −4
4 s+1 (s + 1)2 + 4 (s + 1)2 + 4

However, L[e−t ] = s+1

1
, L[e−t cos(2t)] = (s+1)
s+1
2 +4 , and
−t 2
L[e sin(2t)] = (s+1)2 +4 , so inverting the Laplace transform gives

1 −t 3 −t
y(t) = e + e cos(2t) − e−t sin(2t),
4 4
solving the initial value problem
Lecture Notes – Laplace Transforms: Part A
Joseph M. Mahaffy, [email protected] — (25/26)
 Short Table of Laplace Transforms
Introduction
Properties of Laplace Transform
Laplace Transforms
Laplace Transform of Derivatives

More Laplace Transforms

Theorem
Suppose that f is (i) piecewise continuous on any interval 0 ≤ t ≤ A,
and (ii) has exponential order with exponent a. Then for any positive
integer
L[tn f (t)] = (−1)n F (n) (s), s > a.

Proof:
dn
Z ∞ ∞
∂ n −st
Z
F (n) (s) = e−st f (t)dt = (e )f (t)dt
dsn 0 0 ∂sn
Z ∞ Z ∞
= (−t)n e−st f (t)dt = (−1)n tn e−st f (t)dt
0 0
= (−1)n L[tn f (t)]

Corollary: For any integer, n ≥ 0,

n!
L[tn ] = n+1 , s > 0.
s
Lecture Notes – Laplace Transforms: Part A
Joseph M. Mahaffy, [email protected] — (26/26)