Laplace Transform of Derivative
Theorem
Let $f: \R \to \R$ or $\R \to \C$ be a continuous function, differentiable on any interval of the form $0 \le t \le A$.
Let $f$ be of exponential order $a$.
Let $\laptrans f$ denote the Laplace transform of $f$.
Let $f'$ be piecewise continuous with one-sided limits on said intervals.
Then $\laptrans f$ exists for $\map \Re s > a$, and:
- $\laptrans {\map {f'} t} = s \laptrans {\map f t} - \map f 0$
Discontinuity at $t = 0$
Let $f$ fail to be continuous at $t = 0$, but let:
- $\ds \lim_{t \mathop \to 0} \map f t = \map f {0^+}$
exist.
Then $\laptrans f$ exists for $\map \Re s > a$, and:
- $\laptrans {\map {f'} t} = s \laptrans {\map f t} - \map f {0^+}$
Discontinuity at $t = a$
Let $f$ have a jump discontinuity at $t = a$.
Then:
- $\laptrans {\map {f'} t} = s \laptrans {\map f t} - \map f 0 - e^{-a s} \paren {\map f {a^+} - \map f {a^-} }$
Finite Discontinuities at $t = a_i$ for $i = 1, 2, \ldots, n$
Let $f$ have a finite number of jump discontinuities at $t = a_i$ for $i = 1, 2, \ldots, n$.
Then:
- $\laptrans {\map {f'} t} = s \laptrans {\map f t} - \map f 0 - \ds \sum_{i \mathop = 1}^n e^{-a_i s} \paren {\map f {a_i^+} - \map f {a_i^-} }$
Proof
\(\ds \laptrans {\map {f'} t}\) | \(=\) | \(\ds \int_0^{\mathop \to +\infty} e^{-s t} \map {f'} t \rd t\) | Definition of Laplace Transform | |||||||||||
\(\ds \) | \(=\) | \(\ds \lim_{A \mathop \to +\infty} \int_0^A e^{-s t} \map {f'} t \rd t\) | Definition of Improper Integral on Closed Interval Unbounded Above |
Consider:
- $\ds \int_0^A e^{-s t} \map {f'} t \rd t$
By hypothesis, $f'$ is piecewise continuous with one-sided limits.
So by Piecewise Continuous Function with One-Sided Limits is Darboux Integrable, this integral exists.
This means that integration by parts can be invoked:
- $\ds \int h j\,' \rd t = h j - \int h' j \rd t$
Here:
\(\ds h\) | \(=\) | \(\ds e^{-s t}\) | ||||||||||||
\(\ds \leadsto \ \ \) | \(\ds h'\) | \(=\) | \(\ds -s e^{-s t}\) | |||||||||||
\(\ds j\,'\) | \(=\) | \(\ds \map {f'} t\) | ||||||||||||
\(\ds \leadsto \ \ \) | \(\ds j\) | \(=\) | \(\ds \map f t\) |
So:
\(\ds \int_0^A e^{-s t} \map {f'} t \rd t\) | \(=\) | \(\ds \bigintlimits {e^{-s t} \map f t} {t \mathop = 0} {t \mathop = A} + s \int_0^A e^{-s t} \map f t \rd t\) |
Now, take the limit as $t = A \to +\infty$:
\(\ds \laptrans {\map {f'} t}\) | \(=\) | \(\ds \lim_{A \mathop \to +\infty} e^{-s A} \map f A - \map f 0 + s \laptrans {\map f t}\) |
Recall that $f$ is of exponential order $a$:
\(\ds \size {\map f A}\) | \(<\) | \(\ds K e^{a t}\) | ||||||||||||
\(\ds \leadsto \ \ \) | \(\ds \size {\map f A} \size {e^{-s A} }\) | \(<\) | \(\ds K e^{a t} \size {e^{-s A} }\) | |||||||||||
\(\ds \leadsto \ \ \) | \(\ds \size {e^{-s A} \map f A}\) | \(<\) | \(\ds \size {K e^{a t} e^{-s A} }\) | Modulus of Product, Exponential Tends to Zero and Infinity | ||||||||||
\(\ds \) | \(=\) | \(\ds \size {K e^{\paren {a - s} t} }\) | Exponent Combination Laws, definition of $A$ | |||||||||||
\(\ds \) | \(=\) | \(\ds \size {K e^{\paren {a - \map \Re s - i \map \Im s} t} }\) | ||||||||||||
\(\ds \) | \(=\) | \(\ds \size {K e^{\paren {a - \map \Re s} t} }\) | Modulus of Exponential is Modulus of Real Part | |||||||||||
\(\ds \) | \(=\) | \(\ds K e^{\paren {a - \map \Re s} t}\) | Exponential Tends to Zero and Infinity |
This implies, from Complex Exponential Tends to Zero and the Squeeze Theorem for Functions:
- $\ds \lim_{A \mathop \to +\infty} e^{-s A} \map f A = 0$
which produces:
- $\laptrans {\map {f'} t} = s \laptrans {\map f t} - \map f 0$
$\blacksquare$
Examples
Example $1$
- $\laptrans {-3 \sin 3 t} = \dfrac {-9} {s^2 + 9}$
Also see
- Derivative of Laplace Transform
- Laplace Transform of Second Derivative
- Laplace Transform of Higher Order Derivatives
Sources
- 1965: Murray R. Spiegel: Theory and Problems of Laplace Transforms ... (previous) ... (next): Chapter $1$: The Laplace Transform: Some Important Properties of Laplace Transforms: $5$. Laplace transform of derivatives: Theorem $1 \text{-} 6$
- 1965: Murray R. Spiegel: Theory and Problems of Laplace Transforms ... (previous) ... (next): Chapter $1$: The Laplace Transform: Solved Problems: Laplace Transform of Derivative: $13$
- 1968: Murray R. Spiegel: Mathematical Handbook of Formulas and Tables ... (previous) ... (next): $\S 32$: Table of General Properties of Laplace Transforms: $32.7$
- 2009: William E. Boyce and Richard C. DiPrima: Elementary Differential Equations and Boundary Value Problems (9th ed.): $\S 6.2$
- For a video presentation of the contents of this page, visit the Khan Academy.