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[Cambridge University Integration Bee 2023 - Relay Round]

Suppose $4f''(x) + 4f'(x) + f(x) = \frac{1}{e^x - 1}$, with $e^{\frac{x}{2}} f(x) \to 0$ as $x \to \infty$. Evaluate $\int_0^\infty f(x) dx$.

I tried to actually use differential equations, but WolframAlpha thankfully warned me this has special functions if I ever try to find the actual function. So that's a nono method.

I tried maneuvering it and I got $$\int_0^\infty f(x)dx = \int_0^\infty \frac{1}{e^x-1}-4f''(x)-4f'(x) dx = \left[ \ln|e^x-1|-x-4f'(x)-4f(x)\right]_0^\infty$$ but this leads to ambiguity still and I have no idea where else to go. Is there a sneaky move I am missing???

Silver
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    Apparently you know the correct answer (as you mentioned in a comment to my now deleted answer). That information should be present in the question. – Martin R Dec 03 '24 at 12:14

2 Answers2

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The associated homogeneous equation is $4f''(x) + 4f'(x) + f(x) = 0$. Its characteristic equation $4r^2 + 4r + 1 = 0$ gives $r = -\frac{1}{2}$ as a repeated root. Thus, the general solution to the homogeneous equation is $f_h(x) = e^{-\frac{x}{2}}(C_1 + C_2 x)$. Using the boundary condition $e^{\frac{x}{2}} f(x) \to 0$, we find $C_1 = 0$ and $C_2 = 0$, so $f_h(x) = 0$. (A more elaborated explanation can be found below.)

For the particular solution, the right-hand side $\frac{1}{e^x - 1}$ can be written as $\sum_{n=1}^\infty e^{-n x}$. Assume $f_p(x) = \sum_{n=1}^\infty A_n e^{-n x}$. Substituting into the differential equation gives $(4n^2 - 4n + 1) A_n = 1$, so $A_n = \frac{1}{(2n-1)^2}$. Thus, the solution is $f(x) = \sum_{n=1}^\infty \frac{e^{-n x}}{(2n-1)^2}$.

To evaluate $\int_0^\infty f(x) \, dx$, we compute:

$$ \int_0^\infty f(x) \, dx = \int_0^\infty \sum_{n=1}^\infty \frac{e^{-n x}}{(2n-1)^2} \, dx = \sum_{n=1}^\infty \frac{1}{(2n-1)^2} \int_0^\infty e^{-n x} \, dx. $$

The integral $\int_0^\infty e^{-n x} \, dx = \frac{1}{n}$, so:

$$ \int_0^\infty f(x) \, dx = \sum_{n=1}^\infty \frac{1}{n (2n-1)^2}. $$

Using partial fraction decomposition, $\frac{1}{n(2n-1)^2} = \frac{1}{n} - \frac{2}{2n-1} + \frac{2}{(2n-1)^2}$. Substituting this:

$$ \sum_{n=1}^\infty \frac{1}{n(2n-1)^2} = \sum_{n=1}^\infty \frac{1}{n} - \sum_{n=1}^\infty \frac{2}{2n-1} + \sum_{n=1}^\infty \frac{2}{(2n-1)^2}. $$

The series $\sum_{n=1}^\infty \frac{1}{n}$ diverges, but in combination with $-\sum_{n=1}^\infty \frac{2}{2n-1}$, the divergent parts cancel, leaving:

$$ \sum_{n=1}^\infty \left( \frac{1}{n} - \frac{2}{2n-1} \right) = -2 \ln 2. $$

The series $\sum_{n=1}^\infty \frac{2}{(2n-1)^2}$ converges to $\frac{\pi^2}{4}$. Combining these results:

$$ \int_0^\infty f(x) \, dx = -2 \ln 2 + \frac{\pi^2}{4}. $$

Thus, the value of the integral is:

$$ \boxed{\frac{\pi^2}{4} - 2 \ln 2} $$


$C_1$ and $C_2$ ARE BOTH ZERO

The homogeneous solution is $f_h(x) = e^{-\frac{x}{2}} (C_1 + C_2 x)$. Multiplying by $e^{\frac{x}{2}}$ gives $e^{\frac{x}{2}} f_h(x) = C_1 + C_2 x$. As $x \to \infty$: if $C_2 \neq 0$, the term $C_2 x$ grows without bound; if $C_2 = 0$ but $C_1 \neq 0$, the term $C_1$ remains constant. In both cases, $e^{\frac{x}{2}} f_h(x)$ does not approach zero unless both $C_1 = 0$ and $C_2 = 0$.

The particular solution is $$f_p(x) = \sum_{n=1}^\infty \frac{e^{-n x}}{(2n - 1)^2}.$$ Multiplying by $e^{\frac{x}{2}}$ yields $$e^{\frac{x}{2}} f_p(x) = \sum_{n=1}^\infty \frac{e^{-(n - \frac{1}{2})x}}{(2n - 1)^2}.$$ For each term in the series, $n - \frac{1}{2} \geq \frac{1}{2}$ since $n \geq 1$, so $e^{-(n - \frac{1}{2})x} \leq e^{-\frac{x}{2}}$. As $x \to \infty$, each term $e^{-(n - \frac{1}{2})x}$ decays exponentially to zero, implying $e^{\frac{x}{2}} f_p(x) \to 0$ as $x \to \infty$.

The general solution is $f(x) = f_h(x) + f_p(x)$. Multiplying by $e^{\frac{x}{2}}$ gives $$e^{\frac{x}{2}} f(x) = e^{\frac{x}{2}} f_h(x) + e^{\frac{x}{2}} f_p(x) = C_1 + C_2 x + e^{\frac{x}{2}} f_p(x).$$ Taking the limit as $x \to \infty$, we get $$\lim_{x \to \infty} e^{\frac{x}{2}} f(x) = \lim_{x \to \infty} (C_1 + C_2 x) + \lim_{x \to \infty} e^{\frac{x}{2}} f_p(x).$$ Since $e^{\frac{x}{2}} f_p(x) \to 0$, we find $$\lim_{x \to \infty} (C_1 + C_2 x) = 0.$$ For this to hold, $C_2$ must be zero; otherwise, $C_2 x$ grows without bound. With $C_2 = 0$, $C_1$ must also be zero to satisfy the condition.

Since neither $C_1$ nor $C_2$ can take non-zero values without violating the boundary condition, we must have $C_1 = 0$ and $C_2 = 0$. This ensures that the homogeneous solution does not contribute to the asymptotic behavior of $f(x)$, and the boundary condition is satisfied solely by the particular solution.

PaulS
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    The boundary condition $e^{\frac{x}{2}} f(x) \to 0$ as $x \to \infty$ requires that the homogeneous solution $f_h(x) = e^{-\frac{x}{2}}(C_1 + C_2 x)$ does not contribute to the behavior of $f(x)$ at infinity. – PaulS Dec 03 '24 at 12:22
  • When substituting the general solution $f(x) = f_h(x) + f_p(x)$ into the boundary condition, the terms involving $C_1$ and $C_2 x$ would otherwise grow without bound or remain constant, violating the condition unless both constants are zero. Therefore, to satisfy $e^{\frac{x}{2}} f(x) \to 0$, we must set $C_1 = 0$ and $C_2 = 0$, ensuring that the homogeneous solution vanishes and the particular solution alone dictates the asymptotic behavior of $f(x)$. – PaulS Dec 03 '24 at 12:22
  • Thanks, @MartinR, for your comments. I hope the explanation I have just added to my answer makes my solution more rigorous. – PaulS Dec 03 '24 at 12:48
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This isn't a sneaky solution but it avoids talking about special functions and gets the right answer:

Let $x=-2\log z$ where $z\in(0,1]$, and let $g(z) = f(-2\log z)$. Using dot $\dot{}$ to denote derivative with respect to $z$, we have $$ \dot g(z) = -\frac{2}{z}f'(-2\log z),\qquad \ddot g(z) = \frac{2}{z^2}f'(-2\log z)+\frac{4}{z^2}f''(-2\log z). $$ Therefore, the given differential equation becomes $$ z^2 \ddot g(z) - z \dot g(z) + g(z) = \frac{z^2}{1-z^2}. $$ Moreover, the given condition becomes $\frac{g(z)}z \to 0$ as $z\to 0$, which means $g(z) \to 0$ and $\dot g(z) \to 0$. Let us further substitute $g(z) = zh(z)$. Then, $\dot g(z) = z\dot h(z) + h(z)$ and $\ddot g(z) = z \ddot h(z) + 2\dot h(z)$, so the differential equation becomes $$ z\ddot h(z) + \dot h(z) = \frac{d}{dz}[z \dot h(z)]= \frac{1}{1-z^2} = \frac12 \left( \frac{1}{1+z} + \frac{1}{1-z} \right). $$ Integrating this equation gives $$ z \dot h(z) = \frac12 [\log(1+z) - \log(1-z)] + c. $$ The constant $c=0$ because, as $z\to 0$, we have $h(z) = \frac{g(z)}{z} \to 0$ and $z\dot h(z) = \dot g(z)-h(z) \to 0$. Therefore, integrating once again, we have $$ h(z) = \int_0^z \frac1{2s} [\log(1+s) - \log(1-s)] ~ds $$


We want to evaluate \begin{align} &\int_0^\infty f(x) ~dx = 2\int_0^1 \frac{g(z)}{z} ~dz = 2\int_0^1 h(z) ~dz \\ &= \int_0^1 \int_0^z \frac1{s} [\log(1+s) - \log(1-s)] ~ds dz \\ &= \int_0^1 \int_s^1 \frac1{s} [\log(1+s) - \log(1-s)] ~dz ds \\ &= \int_0^1 \frac{1-s}{s} [\log(1+s) - \log(1-s)] ~ ds \\ &= \int_0^1 \frac{1-s}{s} \sum_{n=1}^\infty \frac{(-1)^{n-1} + 1}{n} s^n ~ ds \\ &= 2\int_0^1 \frac{1-s}{s} \sum_{n=0}^\infty \frac{s^{2n+1}}{2n+1} ~ ds \\ &= 2\int_0^1 \sum_{n=0}^\infty \frac{s^{2n}-s^{2n+1}}{2n+1} ~ ds \\ &= 2\sum_{n=0}^\infty \left[\frac{1}{(2n+1)^2} - \frac{1}{(2n+1)(2n+2)} \right] \\ &= 2\sum_{n=0}^\infty \frac{1}{(2n+1)^2} - 2\sum_{n=0}^\infty \left(\frac{1}{2n+1} - \frac{1}{2n+2} \right) \\ &= 2 \left(1+\frac1{3^2}+\frac1{5^2}+\cdots\right) - 2 \left( 1 - \frac12 + \frac13 - \frac14 + \cdots \right) \\ &= \frac{\pi^2}{4} - 2\log 2. \end{align}

Pranay
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