Definition and properties of Laplace

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Mathematical analysis 3
Chapter 2 : Integral transformations

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Part 2: Laplace transform

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2023/2024

Mathematical analysis 3 Chapter 2 : Integral transformations Part 2: Lap

 Definition and properties of Laplace

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Course outline

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1 Definition and properties of Laplace
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Mathematical analysis 3 Chapter 2 : Integral transformations Part 2: Lap

 Definition and properties of Laplace

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Definition of Laplace transform

Definition
Let t 7→ f (t) be a function from R+ to R. The Laplace transform of f ,

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denoted by L(f ) or L (f ), is defined by:

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Z +∞
L(f )(x) = f (t)e−xt dt.
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Remark
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1 We also use the notation F to denote L(f ). F is called the image

of f and f is called the original of F.

2 The Laplace transform is defined in the same way for complex x.
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Mathematical analysis 3 Chapter 2 : Integral transformations Part 2: Lap

 Definition and properties of Laplace

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Definition of Laplace transform

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Example.
If U (t) = 1 for t ≥ 0 and is zero for t < 0 (called the unit step function

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or Heaviside function), then the Laplace transform of U is defined if
x > 0 and we have:
Z +∞ 1
L(U )(x) = e−xt dt = .
es 0 x
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Mathematical analysis 3 Chapter 2 : Integral transformations Part 2: Lap

 Definition and properties of Laplace

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Existence

The function F only exists if the integral defining it is convergent.

Definition

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A function f is said to be of exponential order at infinity if for
sufficiently large t we have:

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|f (t)| ≤ Meρ t ,

where ρ ∈ R and M > 0 are constants.

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Practical remark
1 f is of exponential order at infinity if and only if there exists

k ∈ R such that lim e−kt f (t) = 0.

t→+∞
2 If the constants M and ρ exist, they are not unique.
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Mathematical analysis 3 Chapter 2 : Integral transformations Part 2: Lap

 Definition and properties of Laplace

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Existence

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Example:
Bounded functions (such as sine and cosine) are of exponential order

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at infinity. Indeed, if f is bounded by a constant C, then

|f (t)e−t | ≤ Ce−t → 0, as t → +∞.

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Mathematical analysis 3 Chapter 2 : Integral transformations Part 2: Lap

 Definition and properties of Laplace

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Existence

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Theorem
If f satisfies the following two conditions:

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f is piecewise continuous on every interval [0, L] ⊂ [0, +∞[,
f is of exponential order ρ at infinity,
then the Laplace transform of f exists for all x > ρ and
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lim L(f )(x) = 0.
x→+∞
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Mathematical analysis 3 Chapter 2 : Integral transformations Part 2: Lap

 Definition and properties of Laplace

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Abscissa of convergence

Theorem
Z +∞
Suppose there exists x ∈ R such that f (t)e−xt dt converges.
0

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Z +∞
−x0 t
Then, for any x0 > x, f (t)e dt also converges.
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Theorem (Abscissa of convergence)
Let f be a function from R+ to R that is continuous. Then, there exists
a unique ρ ∈ R (called Abscissa of convergence) such that
es Z +∞
x>ρ⇒ f (t)e−xt dt converges (L(f ) exists).
0

Z +∞
x<ρ⇒ f (t)e−xt dt diverges (L(f ) does not exist).
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Mathematical analysis 3 Chapter 2 : Integral transformations Part 2: Lap

 Definition and properties of Laplace

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Examples
For f (t) = 0 for all t < 0

L’origine f en t L’image F = L (f ) en x Conditions d’existence

1
1 x>0

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x
n!
tn x>0
xn+1
p 1qπ

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t x>0
2 r x3
1 π
p x>0
t x
1
eat x>a
x−a
1
teat x>a

cos(at)
es (x − a)2
x
x>0
x2 +aa
2
sin(at) x>0
x2 +
xa
2
ch(at) x > |a|
x2 −
aa
2
sh(at) x > |a|
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x2 − a2

Mathematical analysis 3 Chapter 2 : Integral transformations Part 2: Lap

 Definition and properties of Laplace

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Properties of Laplace Transform

Proposition (Linearity)
Let f and g be two causal functions admitting Laplace transforms L(f )
and L(g) respectively, such that

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L(f ) exists for x > ρ 1 ,
L(g) exists for x > ρ 2 .

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Then, for any α, β ∈ R, we have
L(αf + βg)(x) = αL(f )(x) + βL(g)(x), ∀x > max(ρ 1 , ρ 2 )
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Example: Calculate the Laplace transform of the function

f (t) = 3 cos(t) − 2t.

We have
3x 2
L(f )(x) = 3L(cos(t))(x) − 2L(t)(x) = − 2, ∀x > 0.
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x2 + 1 x

Mathematical analysis 3 Chapter 2 : Integral transformations Part 2: Lap

 Definition and properties of Laplace

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Properties of Laplace Transform

Proposition (Laplace Transform of Translation)

For any α > 0, we have L(f (t − α))(x) = e−αx F (x), for all x > ρ .
1

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Example: Since L(sin(t))(x) = for all x > 0, then
x2 + 1

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e−3x
L(sin(t − 3))(x) = , for all x > 0
x2 + 1
.
Proposition (Translated Laplace Transform)
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For any α ∈ R, we have L(eαt f (t))(x) = F (x − α), for all x > ρ + α.
x
Example: Since L(cos(t))(x) = 2 for all x > 0, then
x +1
x−2
L(e2t cos(t))(x) = , ∀x > 2
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(x − 2)2 + 1

Mathematical analysis 3 Chapter 2 : Integral transformations Part 2: Lap

 Definition and properties of Laplace

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Properties of Laplace Transform

Proposition
For any α > 0,
1 ³x´

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L(f (αt))(x) = F , ∀x > αρ
α α
.

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1
Example: Since L(sin(t))(x) = for all x > 0, then
x2 + 1
2
L(sin(2t))(x) = , ∀x > 0
x2 + 4
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x
. Since L(cos(t))(x) = for all x > 0, then
x2 + 1
x
L(cos(3t))(x) = , ∀x > 0
x2 + 9
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Mathematical analysis 3 Chapter 2 : Integral transformations Part 2: Lap
 Definition and properties of Laplace

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Properties of Laplace Transform

Proposition (Laplace Transform of the Derivative)

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Let f be a function from R+ to R such that
f is piecewise continuous on each interval [0, N ] ⊂ R+ .

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f is of exponential order at the infinity.
f differentiable on R+ .
f 0 piecewise continuous on each interval [0, N ] ⊂ R+
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and if L(f )(x) = F (x) for all x > ρ . Then

L(f 0 (t))(x) = xF (x) − f (0+ ), ∀x > ρ

.
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Mathematical analysis 3 Chapter 2 : Integral transformations Part 2: Lap

 Definition and properties of Laplace

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Properties of Laplace Transform

Proposition (Generalization)

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Let f be a function from R+ to R.
For all k ∈ {0, . . . , n}, f (k) exists and is piecewise continuous on R+ .

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For all k ∈ {0, . . . , n − 1}, there exist M and ρ ∈ R such that
|f (k) (t)| ≤ Meρ t for t large enough.
Then, for all x > ρ , we have
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L(f (n) (t))(x) = xn F (x) − xn−1 f (0+ ) − . . . − xf (n−2) (0+ ) − f (n−1) (0+ ).
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Mathematical analysis 3 Chapter 2 : Integral transformations Part 2: Lap

 Definition and properties of Laplace

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Properties of Laplace Transform

Proposition (Derivative of the Laplace Transform)

If f : R+ → R such that L(f )(x) = F (x) for x > ρ , then F is C∞ on

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]ρ, +∞[ and for all n ∈ N we have

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F (n) (x) = (−1)n L(tn f (t))(x), ∀x > ρ.

Example. Calculate L(t2 sin(t)).

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We set : f (t) = sin(t), then we have F (x) = L(f (t)) = x21+1 for x > 0. So
³ ´00
1
L[t2 sin(t)] = (−1)2 F 00 (x) = (x2 +1)
for x > 0.
6x2 − 2
L[t2 sin(t)] = for x > 0.
(x2 + 1)3
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Mathematical analysis 3 Chapter 2 : Integral transformations Part 2: Lap

 Definition and properties of Laplace

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Properties of Laplace Transform

Proposition (Integration of the Laplace Transform)

f (t)
If f : R+ → R such that L(f )(x) = F (x) for x > ρ and lim+

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is finite,
t→0 t
then ∞ µ ¶
f (t )
Z

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F (s) ds = L (x), ∀x > ρ.
x t

Proposition (Transform of the Primitive)

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Let f be a function from R+ to R such that L(f ) = F for x > ρ . Then,
µZ t ¶
F (x )
L f (s) ds (x) = , ∀x > max(0, ρ).
0 x
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Mathematical analysis 3 Chapter 2 : Integral transformations Part 2: Lap

 Definition and properties of Laplace

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Properties of Laplace Transform

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Proposition

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If f is a T-periodic function, defined, continuous, and bounded on R+ ,
then RT
f (t)e−xt
L(f )(x) = 0 dt, ∀x > max(0, ρ).
1 − e−xT
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Mathematical analysis 3 Chapter 2 : Integral transformations Part 2: Lap

 Definition and properties of Laplace

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Initial and final value

Proposition
Suppose f and f 0 are piecewise continuous on the interval [0, L] and of

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exponential order.
1) If f has a Laplace transform L(f ) = F for x > ρ , then

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lim xL(f )(x) = lim f (t).
x→+∞ t→0

2) If f has a Laplace transform L(f ) = F for x > ρ with ρ < 0, and

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lim f (t) exists, then
t→+∞

lim xL(f )(x) = lim f (t).

x→0 t→+∞
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Mathematical analysis 3 Chapter 2 : Integral transformations Part 2: Lap

 Definition and properties of Laplace

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Laplace transform of the convolution product

Definition
The convolution product of two functions f and g is defined by:

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Z ∞
(f ∗ g)(t) = f (u)g(t − u) du

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−∞

Proposition (Laplace Transform of the Convolution Product)

Let f and g be two functions from R+ to R such that L(f ) = F and
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L(g) = G respectively for x > ρ 1 and x > ρ 2 respectively. Then,

L(f ∗ g)(x) = F (x)G(x), ∀x > max(ρ 1 , ρ 2 )

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Mathematical analysis 3 Chapter 2 : Integral transformations Part 2: Lap