THE METHOD OF TRANSMUTATIONS by REUBEN HERSH D e p a r t m e n t of M a t h e m a t i c s and Statistics U n i v e r s i t y of New M e x i c o A l b u q u e r q u e , New M e x i c o 87131 l. INTRODUCTION A standard m a t h e m a t i c a l new problem, strategy, when faced with a is to reduce it to a p r e v i o u s l y lem, or at least to a simpler problem. For example, reduce a p r o b l e m with a s i n g u l a r c o e f f i c i e n t regular c o e f f i c i e n t s ; solved probto to one with to reduce a p r o b l e m c o n t a i n i n g a small p a r a m e t e r to one i n d e p e n d e n t of the parameter; to transform a second-order e q u a t i o n into a f i r s t - o r d e r equation, to t r a n s f o r m a G o u r s a t p r o b l e m or vice versa; into a C a u c h y problem, or vice versa. U s u a l l y it is not hard to v e r i f y such a t r a n s f o r m a t i o n , the p r o p e r t i e s once it has b e e n found. lem is to find the right t r a n s f o r m a t i o n lem. tic m e t h o d to find such a t r a n s f o r m a t i o n . the task of c o n s t r u c t i n g no h a r d e r than the task of v e r i f y i n g The prob- into an old prob- In this note we will show that there often makes of is a s y s t e m a This m e t h o d the t r a n s f o r m a t i o n its p r o p e r t i e s . will also d i s c u s s the c o n n e c t i o n of our m e t h o d with We HERSH probability theory. 265 It often happens that the transfor- mation we seek can be expressed as the expected value of a suitable random variable; in a probabilistic found. indeed, context that they have first been We start out by listing cludes as particular examples. we mention tion of the Euler-Poisson-Darboux Lions, Our method in- examples many formulas scattered through the literature: equation, it has sometimes been the "transmutation equation to the wave of Bragg and Dettman, of S. Rosencrans, mulas of A. Weinstein, reduc- operators" of Delsarte and the "related equations" "diffusion transform" the classical J. Donaldson, and various the for- W. Roth, M° Kac and S. Kaplan. We will not discuss formulas, the rigorous verification or give precise conditions for their validity, for this has been done in the references we cite, this score we have nothing new to say. can be obtained by a single technique, seen, approach. and on Our purpose here is to show that these seemingly scattered uniform heuristic of our formulas all which provides a This technique, as will be is simply an operational version of the methods of classical transform theory including form, Hankel transform, the Fourier trans- and Laplace transform. The paper falls into four sections. following this introduction, of transmutation these examples formulas. we collect five examples In the third section, we use to explain our general method for con- structing transmutation formulas. In the last section we comment briefly on the probabilistic formulas, In Section 2, aspect of these and also on the application of transmutation formulas to problems on regular and singular perturbations. 266 2. HERSH EXAMPLES EXAMPLE i. The method of spherical means, and Darbov~ equation In the s e c o n d 13, volume it is shown, using differentiation, that of C o u r a n t - H i l b e r t , spherical if means u(x,t) and and Ch. VI, par. fractional v(x,t) are c o n - n e c t e d b y the f o r m u l a v(x,t) where = ~i u(x,t~) (i _ 2) (n-3)/2 d~, x = (x ! , .... x ), and if n dimensional wave equation, utt then v gu, satisfies u(x,0) The Darboux Av, equation example we solve ut(x,0) the n- = 0 equation, v(x,0) is s i n g u l a r a singular satisfies = f, the D a r b o u x n-i vtt + -~--v t u = f, at vt(x,0) t = 0, equation 0. so in this in terms of a r e g u - lar e q u a t i o n . EXAMPLE and Lions Let r(t) The transmutation operators of Delsarte 2. [2,3] D = d/dt. and operator q(t) a solution of L = D are g i v e n independent tial o p e r a t o r t i o n of Let with of t 2 + r(t) D + q(t) , functions. (usually space-dependent D2u + Au = 0 Lv + Av = 0 by Let a partial be an differen- coefficients)° is t r a n s f o r m e d setting A where v = Hu, Then into a s o l u where the HERSH operator H = 0 v = Hu, and satisfies HD 2 then, = 267 LH. In fact, assuming A if D 2u + Au c o m m u t e s with H, we h a v e Lv + Av = ( L + A ) H u To c o n s t r u c t the = H(D2+A)u "transmutation operator" sarte and Lions seek a kernel action of H is given by h(s,t) , Hf = tuting this r e p r e s e n t a t i o n of HD 2 = LH, = 0. H, Del- so that the l h ( s , t ) f(t)dt. H Substi- into the e q u a t i o n and i n t e g r a t i n g b y parts, one easily d e r i v e s a n e c e s s a r y and s u f f i c i e n t c o n d i t i o n for h(s,t) : h = h + r(s)h + q(s) h, with boundary conditions tt ss s d e t e r m i n e d b y the side c o n d i t i o n s of the two o p e r a t o r s D2 and L. hyperbolic Since h.s,t),' satisfies a second-order e q u a t i o n in two i n d e p e n d e n t v a r i a b l e s , be e x p r e s s e d in terms of the R i e m a n n equation. f u n c t i o n of that In particu].ar, if we specialize A = -A, - r(t) n-i t , it c a n q(t) -: 0, then the R i e m a n n func~-ion is e x p r e s s i b l e e x p l i c i t l y elementary Example terms, and we r e c o v e r in the same formula as in i. EXAMPLE 3. From a second-order to a first-order equation If u(t) is a v e c t o r - v a l u e d abstract Cauchy problem {utt function, satisfying Au, = f, u(0) then v(t) = l/ ~-~-/0 ~ u(s) e -s 2/4 t ds the ut(0) = 0 } , 268 HERSH satisfies v(0) the a b s t r a c t = f}. edly; see This f o r m u l a problem has been {v t = Av, rediscovered repeat- [5-9]. A = d2/dx 2 ' If Cauchy our f o r m u l a u = ~1 (f(x+t) then reduces to the c l a s s i c a l + f(x-t)) , Poisson and solution of the h e a t e q u a t i o n , v = v t 1 v EXAMPLE = - - , xx v(0) = f, -s2/4t L e f(s+x) ds. From a Cauchy problem to a Goursat 4. problem, and back In the t h e s i s u(t) of W. J. R o t h is a v e c t o r - v a l u e d linear operator, and [4] it is s h o w n function {utt Au, and A u(0) t h a t if is a c l o s e d f, ut(0) 0}, then 2 f~/2 v(r,s) satisfies s > 0, from u(t) = v(r,0) r/~s sin O)dO {v = Av if r > 0, rs and m o r e o v e r w e r e c o v e r = f} u b y the f o r m u l a - dt ~0 (By a m o d i f i c a t i o n alize u(2 7~ 0 the G o u r s a t p r o b l e m v(0,s) v = t sin v of D u h a m e l ' s to the c a s e w h e r e and a r b i t r a r y . ) 0 v(r,0) (tsn sn0) 2 ' formula, and 2 dO " one c a n g e n e r - v(0,s) are unequal HERSH EXAMPLE 269 From a first-order equation to a family of 5. higher-order equations Suppose u(t) -~ < t < ~ A is a v e c t o r - v a l u e d and satisfies is closed and P(d/dt, d/dx) {u t = Au, f £ ~0(A~) . is a hyperbolic differential be t-dependent.) P(d/dt, u(0) Let gk(t,x) -d/dX) gk = 0, where operator, or (Its coefficients m a y be a fundamental solution all of whose Cauchy data vanish except for the k'th; let Then it is easily verified (see v(t) = = f}, Suppose m o r e o v e r that is parabolic of positive genus. of function for L (d/dt) k g k (0,x) = 6(x) . [i0]) that U(S) gk (t,s) ds is a solution of {P(d/dt,A) v = 0 , v(0) = f, v(0) = 0 if j ~k}. If P(d/dt,A) = d / d t - A 2, then one has g0 = 2 -s /4t (1/2 / ~ ) e , almost as in Example 3 above. If 1 P (d/dt, A) d2/dt 2 A 2 , one has _ q0 t, s) = ~ (@ (s+t) + = - (s-t)) , i/2 Is < t 0 fs > t %l(t,s) : so that {Vtt = A2v, V(0) = v 0 , v(0) v(t) = [u0(s) g0(t,s) = v I} is solved by + Ul(S)gl(t,s) ]ds --00 = ~ [u0(t) + U0(-t) + Ul(S) ds] t where 270 HERSH du O dt = Au0 ' u0(0) = v0 du 1 dt - AUl ' ul(0) = Vl" 3. A S Y S T E M A T I C A P P R O A C H TO D I S C O V E R Y OF T R A N S M U T A T I O N FORMULAS In the references above cited for the five examples given (and in many other such works) rigorous proof that the f u n c t i o n terms of u(t) there is p r o v i d e d v(t) , expressed by the given t r a n s m u t a t i o n indeed satisfy the conditions on v. formula, in does What is often lack- ing is a clue to explain how such formulas may be d i s c o v ered. Or in some cases, as in E x a m p l e i, a d e r i v a t i o n given which is quite special, leaving no clue how to pro- ceed to relate a d i f f e r e n t pair of p r o b l e m s and is for u(t) v(t). Our p u r p o s e h e r e is to d e s c r i b e a u n i f o r m a p p r o a c h discovering formulas such as those of Examples 1-5; the task of v e r i f y i n g the formula, is often s t r a i g h t f o r w a r d . we h a v e nothing In general, to once it is w r i t t e n down, On this score, in any case, to add to the cited references. a transmutation formula can be r e g a r d e d in the following light: We have solution two p r o b l e m s to the first problem, function of A, u = u(t,A) . Similarly, tion v involving some o p e r a t o r d e p e n d i n g on depends on A, u(t) , t A. The we regard as a as a p a r a m e t e r : in the second problem, the solu- as well as on a p a r a m e t e r HERSH s: v = v(s,A) . sent v Then, in t e r m s of t h e function family of to t r a n s m u t e of u the kernel a distribution, the given couple of o u r examples. In Example i, l e t u s number--i.e., for A. Then we a representation of t h e o n e - p a r a m e t e r assume can a genuine function is u l t i m a t e l y A. regard operate to b e L e t us w o r k the operator as if i t w e r e we have express u(t) To f i n d 1 operator we can we find v -- to r e p r e - u(t,l)dt may be and where by on w h i c h : fh(s,t) h(s,t) placed bol in terms to u(t,-) : v(s,l) where u -- we m u s t v(s,.) functions 271 re- through A a as a s y m - a complex a functional u(t) or calculus symbolically, = cos(t/~f. a comparable e x p r e s s i o n for v, we can reduce n-i the e q u a t i o n v + -v - Av = 0 to a f o r m a l " B e s s e l tt t t e q u a t i o n " of o r d e r ((n/2) - i) by the "substitution" w(z) Therefore = t ((n/2) -i) v(t) , l-(n/2) J of t h e sions for to t h e s e method /~. we have v = ct where z = t ((n/2 - i) (z) is as u s u a l first kind. u (t(n/2)-i and v; expressions. is to u s e /~) f J(n/2)-i these the Bessel So f a r w e h a v e function two formal the p r o b l e m is to g i v e The essence of two formal the of o r d e r expres- a meaning transmutation expressions to r e l a t e 272 v HERSH to u; then v(t) is known if The problem of expressing u(t) v(t) is known. in terms of u(t) is evidently the problem of expressing a Bessel function in terms of cosine; this, however, is well-known; we have the standard formula 1 J (z) (see (z/2) v I / 2 F ( ~ +i) = I± ( l - s 2) ~---2 cos(zs) ds J0 [Ii], formula 3.7) . Now, if we replace cos(st (n/2)-I / ~ ) z by cited in Example 1. by t(n/2)-i / ~ u(st (n/2)-l) and we get the formula This approach to the Euler-Poisson- Darboux equation is similar to that used by J. Donaldson [12]. Example 4 is closely related to the first example. As Roth v(r,s), into [4] points out, his formula for transforming the solution for an interior Goursat problem, u(t), the solution of a Cauchy problem, can be obtained by formally "solving" {utt = Au, by u(0) = f, ut(0) } u = cos(t/A) f and "solving" {v rs = Av, by To express u and v(0,s) = v(r,0) = f} v : J0 (2 r/~sA) f. v in terms of each other, again we resort to classical identities from the theory of Bessel H E RSH functions. clear That v can be expressed from the c o m p l e t e n e s s essentially, to asking the cosine to express for a Hankel the r e p r e s e n t a t i o n s u of transform v cos ~. in Example u is functions; in terms of transform given in terms of of the cosine one is seeking and conversely, 2 73 of J0; amounts We obtain 4 above by using the identities f /2 2 = -~ J0 J0 (~) d. cos(~sin f~/2 cos ~ - d ~ j 0 If in these v, formulas according we obtain A we replace cos by "solutions" the transmutations symbolic sin 8)de. from u u written to expressions and v J0 by above, and back; for functions of drop out of our formulas. These general two examples may be enough u(t,A) special u(s,l) >~. A case, v(t,l) , A, I, and let of Problem is m u l t i p l i c a t i o n Similarly, it is enough A = I. special the let v(t,A) II. be the solution struct a t r a n s m u t a t i o n where clear an operator of Problem of Problem case where complex number u(s,A), involving be the solution be the solution Let to make pattern: Given two p r o b l e m s and ~ sin 8 J0(~ to the formal the questionable @)d@, define to represent to consider For if we can solve I in the by a real or v(t,l). v(t,A) in terms of this special I and if the c o m p l e x - v a l u e d are related b y a kernel, and To con- II case in this functions u(s,l) 274 HERSH v(t,l) where F is some curve, usually an interval on the real axis, then, for = ]F g(s,t) u(s,l)ds if v(t,A), u(s,A) exists for s c F, the candidate the solution of Problem II, is evidently F g(s,t) u(s,A)ds. The integral is a Bochner is a classical function. integral If function or "distribution", integral if the kernel g(s,t) g(s,t) is a generalized as in Example 5 above, the is "symbolic" and may be interpreted b y a formal integration by parts. It should be emphasized is applicable that the transmutation method even if neither Problem I nor Problem I! is "well-posed". The existence of a transmutation operator implies that the class of admissible data for Problem II includes the admissible is a complete posed--then data for Problem I. linear space--i.e., so is Problem II. If this second class if Problem I is well- On the other hand, the method retains its validity even if the data are highly restricted. For instance, b y choosing A = -£, we see from Example 3 that the admissible data for the backward heat equation include the admissible data for Cauchy's problem for the Laplace equation. We have in this instance properly posed problem a transmutation of one im- to a second improperly posed problem. Let us go on to show how our method yields the formula of Example 3. Problem I is HE RSH {U Problem = tt AU, u(0) : f, ut(0) v(0) = f}. = 0}. II is {V t = Au, Again we have at l e a s t Now, 2 75 if u = cos A = I t / Z A f, is a c o m p l e x in the F o u r i e r v = etAf, and e v i d e n t l y number. transform formula 2 --S e substitute Example I = /Z~, e cos and we o b t a i n sl ds the f o r m u l a of 3. A slightly Dettman - [6]; I, s e t t i n g different formula they c h o o s e u(0) = 0, As in the o t h e r is g i v e n b y B r a g g the d a t a d i f f e r e n t l y ut(0) examples, and in P r o b l e m = f. the v e r i f i c a t i o n is straightforward. Example For 5 is similar. We n o w h a v e the sake of s i m p l i c i t y , roots T. (A) ; 3 assume u(t,s) P(T,A) : etAf. has then v(t,A) =Lc.e j 3 tT. (A) 3 f where k T. c : 6 3 3 j,k" Then v(t,il) : ~c.e j 3 T. (il) 3 f = f e isl g(t,s) ds simple 276 HERSH where g(t,s) is the F o u r i e r The e x i s t e n c e lows of g(t,s) f r o m the a s s u m e d tuting A for Finally, Lions. il, transform hyperbolicity be {Lv + 1 2 v : v + r(t)v v(o,~) u(t,i) = i, = cos h(t,s) Since tl, formula. of D e l s a r t e - of + q(t)v + 12v = 0 (o,I) = 0}. of = = I, u t (0,x) = 0}. fh(t,s) u(s,l)ds is the F o u r i e r cosine it f o l l o w s Lh - h an o p e r a t o r and s u b s t i - and w e h a v e L v + 1 2 v = 0, Define t u(0,1) v(t,l) where v b e the s o l u t i o n u(t,l) fol- t {D2u + 12u = 0, Then P, 2, the p r o b l e m the s o l u t i o n tt Let of we get the desired v(t,~) . T.(il) >....~~c.e 3 f. 3 distribution as a S c h w a r t z w e l o o k at E x a m p l e Let of H ss transform of v(t,l). that = 0. by Hf = f h ( t , s ) f ( s ) d s . Then, from tegrations Lh = h by parts , it f o l l o w s , ss o n the left, t h a t on u s i n g two in- LH = HD 2. This is the f o r m u l a b y w h i c h L i o n s fine t h e i r transmutation b y our m e t h o d case. operator we can recover H; and D e l s a r t e de- t h u s w e see t h a t their procedure as a s p e c i a l HERSH 277 4. P R O B A B I L I S T I C INTERPRETATIONS; ON A SMALL P A R A M E T E R In some of the principal it is possible where T(t) For instance, mean 0 t, as a Gaussian its density expectation = E{u(T)} time, d i s t r i b u - probability law, and 3, the appropriate normal T random variable, is with Such a random variable has as 2 1 -s /4t St(s) = ~ e , and so, by elementary formula of a function v(t) v(t) t. function the familiar as operator. in Example and variance DEPENDING of transmutations, a random to some appropriate is the e x p e c t e d - v a l u e distributed examples the formula is, for each ted according E to rewrite EQUATIONS = E[u(T)] in p r o b a b i l i t y for the of a random variable, = u(s) St(s)ds. --OO In fact, it was that the formula with a limit An earlier in this p r o b a b i l i s t i c in Example theorem 3 arose in on random example representation [7], in connection evolutions. is due to M. Kac [13]. He found that if T = where N(s) and if u is a P o i s s o n process v(t) ds, with intensity satisfies {utt and (-l) N(s) Au, = E{u(T) }, u(0) then : f, v Ut(0) satisfies = 0} a, 278 HERSH {vtt + 2a v t = Av, v(O) = f, v t(O) = This formula was g e n e r a l i z e d by K a p l a n case w h e r e a = a(t), 0}. [14] to the a given f u n c t i o n of t; Kaplan points out that by use of the d e n s i t y function as a k e r nel, v(t) can be w r i t t e n in terms of gral over the real axis, u(t) as an inte- and in that form the K a c - K a p l a n result is a special case of the D e l s a r t e transmutation method. In the work on random e v o l u t i o n s were e x t e n d e d to more general ables. [7], these results operators A systematic p r o b a b i l i s t i c the K a c - K a p l a n and H e r s h - G r i e g o and random vari- approach w h i c h u n i f i e s examples, and gives new and more general results by systematic Lemma, was given by S. Rosencrans, diffusion transform use of Ito's in his work on the [15]. From the v i e w p o i n t of the p r e s e n t paper, listic r e p r e s e n t a t i o n s where the kernel to be a d e l t a function, singular part.) comprise g(s,t) tive with respect s the p r o b a b i - just those transmutations is, for each t, the d e r i v a - of a finite m e a s u r e . (g could if the p r o b a b i l i t y m e a s u r e has a Any such kernel g(s,t) as the d e n s i t y of a s u i t a b l y c o n s t r u c t e d TCt) some can be r e g a r d e d random time . Thus R o s e n c r a n s was able representation to give a p r o b a b i l i s t i c to the formulas of our Example solution of the E u l e r - P o i s s o n - D a r b o u x equation i; the is ob- tained as the m e a n of s o l u t i o n s of the wave equation, e v a l u a t e d at a c e r t a i n random time. A probabilistic use p r o b a b i l i s t i c r e p r e s e n t a t i o n makes limit theorems it p o s s i b l e to (laws of large numbers, HERSH central limit theorems) for solutions see 279 to prove of such equations asymptotic as estimates sutt + au t = Au; [18]. However, for such purposes tions itself provides quite aside an equation the m e t h o d a convenient and powerful from its p r o b a b i l i s t i c connections. in an operator A it m a y be possible v Thus the p r o b l e m kernel h(s,t) : of sending function s to zero is reduced function h s the results v ; are independent operator stitute This p r o g r a m was carried P. A wide class of p o l y n o m i a l s P the singular p e r t u r b a t i o n which one happens in is solved by transmuting vs(t,L) out for a [16]; in particular, s÷0 to u(t,L) , the of u In to sub- problem evtt + v t = Lv, solution to instead of a of the p a r t i c u l a r into is entirely = f h s ( s , t ) u(t,A)dt. the study of a real-valued vector-valued s, to some function in such a way that the s-dependence vs(S,A) Given = 0, to t r a n s m u t e carried by the transmutation approach, and a small p a r a m e t e r P £ (d/dt,A)v u(t,A), of transmuta- tt [17], the singularly = Lu. perturbed singular equations 280 HERSH U + --U : U t t XX tt and cu were studied In the method tial second the time : t U XX c ÷ 0. of t h e s e loss singularity tt --U t > 0, simultaneously tions: the for 1 t + two equations, overcomes of an i n i t i a l a transmutation two d i s t i n c t condition of t h e c o e f f i c i e n t of u as t complica~ ÷ 0, at the and ini- t = 0. 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