Laplace transform
Overview
 
In mathematics
Mathematics
Mathematics is the study of quantity, space, structure, and change. Mathematicians seek out patterns and formulate new conjectures. Mathematicians resolve the truth or falsity of conjectures by mathematical proofs, which are arguments sufficient to convince other mathematicians of their validity...

, the Laplace transform is a widely used integral transform. Denoted , it is a linear operator of a function f(t) with a real argument t (t ≥ 0) that transforms it to a function F(s) with a complex argument s. This transformation is essentially bijective
Bijection
A bijection is a function giving an exact pairing of the elements of two sets. A bijection from the set X to the set Y has an inverse function from Y to X. If X and Y are finite sets, then the existence of a bijection means they have the same number of elements...

 for the majority of practical uses; the respective pairs of f(t) and F(s) are matched in tables.
Encyclopedia
In mathematics
Mathematics
Mathematics is the study of quantity, space, structure, and change. Mathematicians seek out patterns and formulate new conjectures. Mathematicians resolve the truth or falsity of conjectures by mathematical proofs, which are arguments sufficient to convince other mathematicians of their validity...

, the Laplace transform is a widely used integral transform. Denoted , it is a linear operator of a function f(t) with a real argument t (t ≥ 0) that transforms it to a function F(s) with a complex argument s. This transformation is essentially bijective
Bijection
A bijection is a function giving an exact pairing of the elements of two sets. A bijection from the set X to the set Y has an inverse function from Y to X. If X and Y are finite sets, then the existence of a bijection means they have the same number of elements...

 for the majority of practical uses; the respective pairs of f(t) and F(s) are matched in tables. The Laplace transform has the useful property that many relationships and operations over the originals f(t) correspond to simpler relationships and operations over the images F(s).
The Laplace transform has many important applications throughout the sciences. It is named for Pierre-Simon Laplace
Pierre-Simon Laplace
Pierre-Simon, marquis de Laplace was a French mathematician and astronomer whose work was pivotal to the development of mathematical astronomy and statistics. He summarized and extended the work of his predecessors in his five volume Mécanique Céleste...

 who introduced the transform in his work on probability theory
Probability theory
Probability theory is the branch of mathematics concerned with analysis of random phenomena. The central objects of probability theory are random variables, stochastic processes, and events: mathematical abstractions of non-deterministic events or measured quantities that may either be single...

.

The Laplace transform is related to the Fourier transform
Fourier transform
In mathematics, Fourier analysis is a subject area which grew from the study of Fourier series. The subject began with the study of the way general functions may be represented by sums of simpler trigonometric functions...

, but whereas the Fourier transform resolves a function or signal into its modes of vibration
Vibration
Vibration refers to mechanical oscillations about an equilibrium point. The oscillations may be periodic such as the motion of a pendulum or random such as the movement of a tire on a gravel road.Vibration is occasionally "desirable"...

, the Laplace transform resolves a function into its moments
Moment (mathematics)
In mathematics, a moment is, loosely speaking, a quantitative measure of the shape of a set of points. The "second moment", for example, is widely used and measures the "width" of a set of points in one dimension or in higher dimensions measures the shape of a cloud of points as it could be fit by...

. Like the Fourier transform, the Laplace transform is used for solving differential and integral equations. In physics and engineering, it is used for analysis of linear time-invariant systems such as electrical circuits, harmonic oscillator
Harmonic oscillator
In classical mechanics, a harmonic oscillator is a system that, when displaced from its equilibrium position, experiences a restoring force, F, proportional to the displacement, x: \vec F = -k \vec x \, where k is a positive constant....

s, optical devices, and mechanical systems. In this analysis, the Laplace transform is often interpreted as a transformation from the time-domain, in which inputs and outputs are functions of time, to the frequency-domain, where the same inputs and outputs are functions of complex
Complex number
A complex number is a number consisting of a real part and an imaginary part. Complex numbers extend the idea of the one-dimensional number line to the two-dimensional complex plane by using the number line for the real part and adding a vertical axis to plot the imaginary part...

 angular frequency
Angular frequency
In physics, angular frequency ω is a scalar measure of rotation rate. Angular frequency is the magnitude of the vector quantity angular velocity...

, in radians per unit time. Given a simple mathematical or functional description of an input or output to a system, the Laplace transform provides an alternative functional description that often simplifies the process of analyzing the behavior of the system, or in synthesizing a new system based on a set of specifications.

History

The Laplace transform is named in honor of mathematician
Mathematician
A mathematician is a person whose primary area of study is the field of mathematics. Mathematicians are concerned with quantity, structure, space, and change....

 and astronomer
Astronomer
An astronomer is a scientist who studies celestial bodies such as planets, stars and galaxies.Historically, astronomy was more concerned with the classification and description of phenomena in the sky, while astrophysics attempted to explain these phenomena and the differences between them using...

 Pierre-Simon Laplace
Pierre-Simon Laplace
Pierre-Simon, marquis de Laplace was a French mathematician and astronomer whose work was pivotal to the development of mathematical astronomy and statistics. He summarized and extended the work of his predecessors in his five volume Mécanique Céleste...

, who used the transform in his work on probability theory
Probability theory
Probability theory is the branch of mathematics concerned with analysis of random phenomena. The central objects of probability theory are random variables, stochastic processes, and events: mathematical abstractions of non-deterministic events or measured quantities that may either be single...

.
From 1744, Leonhard Euler
Leonhard Euler
Leonhard Euler was a pioneering Swiss mathematician and physicist. He made important discoveries in fields as diverse as infinitesimal calculus and graph theory. He also introduced much of the modern mathematical terminology and notation, particularly for mathematical analysis, such as the notion...

 investigated integrals of the form


as solutions of differential equations but did not pursue the matter very far. Joseph Louis Lagrange
Joseph Louis Lagrange
Joseph-Louis Lagrange , born Giuseppe Lodovico Lagrangia, was a mathematician and astronomer, who was born in Turin, Piedmont, lived part of his life in Prussia and part in France, making significant contributions to all fields of analysis, to number theory, and to classical and celestial mechanics...

 was an admirer of Euler and, in his work on integrating probability density function
Probability density function
In probability theory, a probability density function , or density of a continuous random variable is a function that describes the relative likelihood for this random variable to occur at a given point. The probability for the random variable to fall within a particular region is given by the...

s, investigated expressions of the form


which some modern historians have interpreted within modern Laplace transform theory.

These types of integrals seem first to have attracted Laplace's attention in 1782 where he was following in the spirit of Euler in using the integrals themselves as solutions of equations. However, in 1785, Laplace took the critical step forward when, rather than just looking for a solution in the form of an integral, he started to apply the transforms in the sense that was later to become popular. He used an integral of the form:


akin to a Mellin transform
Mellin transform
In mathematics, the Mellin transform is an integral transform that may be regarded as the multiplicative version of the two-sided Laplace transform...

, to transform the whole of a difference equation, in order to look for solutions of the transformed equation. He then went on to apply the Laplace transform in the same way and started to derive some of its properties, beginning to appreciate its potential power.

Laplace also recognised that Joseph Fourier
Joseph Fourier
Jean Baptiste Joseph Fourier was a French mathematician and physicist best known for initiating the investigation of Fourier series and their applications to problems of heat transfer and vibrations. The Fourier transform and Fourier's Law are also named in his honour...

's method of Fourier series
Fourier series
In mathematics, a Fourier series decomposes periodic functions or periodic signals into the sum of a set of simple oscillating functions, namely sines and cosines...

 for solving the diffusion equation could only apply to a limited region of space as the solutions were periodic. In 1809, Laplace applied his transform to find solutions that diffused indefinitely in space.

Formal definition

The Laplace transform of a function
Function (mathematics)
In mathematics, a function associates one quantity, the argument of the function, also known as the input, with another quantity, the value of the function, also known as the output. A function assigns exactly one output to each input. The argument and the value may be real numbers, but they can...

 f(t), defined for all real number
Real number
In mathematics, a real number is a value that represents a quantity along a continuum, such as -5 , 4/3 , 8.6 , √2 and π...

s t ≥ 0, is the function F(s), defined by:


The parameter s is a complex number
Complex number
A complex number is a number consisting of a real part and an imaginary part. Complex numbers extend the idea of the one-dimensional number line to the two-dimensional complex plane by using the number line for the real part and adding a vertical axis to plot the imaginary part...

:
with real numbers σ and ω.


The meaning of the integral depends on types of functions of interest. A necessary condition for existence of the integral is that ƒ must be locally integrable on [0,∞). For locally integrable functions that decay at infinity or are of exponential type, the integral can be understood as a (proper) Lebesgue integral. However, for many applications it is necessary to regard it as a conditionally convergent improper integral
Improper integral
In calculus, an improper integral is the limit of a definite integral as an endpoint of the interval of integration approaches either a specified real number or ∞ or −∞ or, in some cases, as both endpoints approach limits....

 at ∞. Still more generally, the integral can be understood in a weak sense
Distribution (mathematics)
In mathematical analysis, distributions are objects that generalize functions. Distributions make it possible to differentiate functions whose derivatives do not exist in the classical sense. In particular, any locally integrable function has a distributional derivative...

, and this is dealt with below.

One can define the Laplace transform of a finite Borel measure μ by the Lebesgue integral


An important special case is where μ is a probability measure
Probability measure
In mathematics, a probability measure is a real-valued function defined on a set of events in a probability space that satisfies measure properties such as countable additivity...

 or, even more specifically, the Dirac delta function. In operational calculus
Operational calculus
Operational calculus, also known as operational analysis, is a technique by which problems in analysis, in particular differential equations, are transformed into algebraic problems, usually the problem of solving a polynomial equation.-History:...

, the Laplace transform of a measure is often treated as though the measure came from a distribution function
Distribution function
In molecular kinetic theory in physics, a particle's distribution function is a function of seven variables, f, which gives the number of particles per unit volume in phase space. It is the number of particles per unit volume having approximately the velocity near the place and time...

 ƒ. In that case, to avoid potential confusion, one often writes


where the lower limit of 0 is short notation to mean


This limit emphasizes that any point mass located at 0 is entirely captured by the Laplace transform. Although with the Lebesgue integral, it is not necessary to take such a limit, it does appear more naturally in connection with the Laplace–Stieltjes transform.

Probability theory

In pure
Probability theory
Probability theory is the branch of mathematics concerned with analysis of random phenomena. The central objects of probability theory are random variables, stochastic processes, and events: mathematical abstractions of non-deterministic events or measured quantities that may either be single...

 and applied probability
Applied probability
Much research involving probability is done under the auspices of applied probability, the application of probability theory to other scientific and engineering domains...

, the Laplace transform is defined by means of an expectation value. If X is a random variable
Random variable
In probability and statistics, a random variable or stochastic variable is, roughly speaking, a variable whose value results from a measurement on some type of random process. Formally, it is a function from a probability space, typically to the real numbers, which is measurable functionmeasurable...

 with probability density function
Probability density function
In probability theory, a probability density function , or density of a continuous random variable is a function that describes the relative likelihood for this random variable to occur at a given point. The probability for the random variable to fall within a particular region is given by the...

 ƒ, then the Laplace transform of ƒ is given by the expectation


By abuse of language
Abuse of notation
In mathematics, abuse of notation occurs when an author uses a mathematical notation in a way that is not formally correct but that seems likely to simplify the exposition or suggest the correct intuition . Abuse of notation should be contrasted with misuse of notation, which should be avoided...

, this is referred to as the Laplace transform of the random variable X itself. Replacing s by −t gives the moment generating function of X. The Laplace transform has applications throughout probability theory, including first passage times of stochastic processes such as Markov chain
Markov chain
A Markov chain, named after Andrey Markov, is a mathematical system that undergoes transitions from one state to another, between a finite or countable number of possible states. It is a random process characterized as memoryless: the next state depends only on the current state and not on the...

s, and renewal theory
Renewal theory
Renewal theory is the branch of probability theory that generalizes Poisson processes for arbitrary holding times. Applications include calculating the expected time for a monkey who is randomly tapping at a keyboard to type the word Macbeth and comparing the long-term benefits of different...

.

Bilateral Laplace transform

When one says "the Laplace transform" without qualification, the unilateral or one-sided transform is normally intended. The Laplace transform can be alternatively defined as the bilateral Laplace transform or two-sided Laplace transform
Two-sided Laplace transform
In mathematics, the two-sided Laplace transform or bilateral Laplace transform is an integral transform closely related to the Fourier transform, the Mellin transform, and the ordinary or one-sided Laplace transform...

 by extending the limits of integration to be the entire real axis. If that is done the common unilateral transform simply becomes a special case of the bilateral transform where the definition of the function being transformed is multiplied by the Heaviside step function
Heaviside step function
The Heaviside step function, or the unit step function, usually denoted by H , is a discontinuous function whose value is zero for negative argument and one for positive argument....

.

The bilateral Laplace transform is defined as follows:

Inverse Laplace transform

The inverse Laplace transform is given by the following complex
Complex number
A complex number is a number consisting of a real part and an imaginary part. Complex numbers extend the idea of the one-dimensional number line to the two-dimensional complex plane by using the number line for the real part and adding a vertical axis to plot the imaginary part...

 integral, which is known by various names (the Bromwich integral, the Fourier-Mellin integral, and Mellin's inverse formula):


where is a real number so that the contour path of integration is in the region of convergence of F(s). An alternative formula for the inverse Laplace transform is given by Post's inversion formula
Post's inversion formula
Post's inversion formula for Laplace transforms, named after Emil Post, is a simple-looking but usually impractical formula for evaluating an inverse Laplace transform....

.

Region of convergence

If ƒ is a locally integrable function (or more generally a Borel measure locally of bounded variation), then the Laplace transform F(s) of ƒ converges provided that the limit


exists. The Laplace transform converges absolutely if the integral


exists (as a proper Lebesgue integral). The Laplace transform is usually understood as conditionally convergent, meaning that it converges in the former instead of the latter sense.

The set of values for which F(s) converges absolutely is either of the form
Re{s} > a or else Re{s} ≥ a, where a is an extended real constant, −∞ ≤ a ≤ ∞. (This follows from the dominated convergence theorem
Dominated convergence theorem
In measure theory, Lebesgue's dominated convergence theorem provides sufficient conditions under which two limit processes commute, namely Lebesgue integration and almost everywhere convergence of a sequence of functions...

.) The constant a is known as the abscissa of absolute convergence, and depends on the growth behavior of ƒ(t). Analogously, the two-sided transform converges absolutely in a strip of the form a < Re{s} < b, and possibly including the lines Re{s} = a or Re{s} = b. The subset of values of s for which the Laplace transform converges absolutely is called the region of absolute convergence or the domain of absolute convergence. In the two-sided case, it is sometimes called the strip of absolute convergence. The Laplace transform is analytic
Analytic function
In mathematics, an analytic function is a function that is locally given by a convergent power series. There exist both real analytic functions and complex analytic functions, categories that are similar in some ways, but different in others...

 in the region of absolute convergence.

Similarly, the set of values for which F(s) converges (conditionally or absolutely) is known as the region of conditional convergence, or simply the region of convergence (ROC). If the Laplace transform converges (conditionally) at s = s0, then it automatically converges for all s with Re{s} > Re{s0}. Therefore the region of convergence is a half-plane of the form Re{s} > a, possibly including some points of the boundary line Re{s} = a. In the region of convergence Re{s} > Re{s0}, the Laplace transform of ƒ can be expressed by integrating by parts
Integration by parts
In calculus, and more generally in mathematical analysis, integration by parts is a rule that transforms the integral of products of functions into other integrals...

 as the integral


That is, in the region of convergence F(s) can effectively be expressed as the absolutely convergent Laplace transform of some other function. In particular, it is analytic.

A variety of theorems, in the form of Paley–Wiener theorem
Paley–Wiener theorem
In mathematics, a Paley–Wiener theorem is any theorem that relates decay properties of a function or distribution at infinity with analyticity of its Fourier transform. The theorem is named for Raymond Paley and Norbert Wiener . The original theorems did not use the language of distributions,...

s, exist concerning the relationship between the decay properties of ƒ and the properties of the Laplace transform within the region of convergence.

In engineering applications, a function corresponding to a linear time-invariant (LTI) system is stable if every bounded input produces a bounded output. This is equivalent to the absolute convergence of the Laplace transform of the impulse response function in the region Re{s} ≥ 0. As a result, LTI systems are stable provided the poles of the Laplace transform of the impulse response function have negative real part.

Properties and theorems

The Laplace transform has a number of properties that make it useful for analyzing linear dynamical system
Dynamical system
A dynamical system is a concept in mathematics where a fixed rule describes the time dependence of a point in a geometrical space. Examples include the mathematical models that describe the swinging of a clock pendulum, the flow of water in a pipe, and the number of fish each springtime in a...

s. The most significant advantage is that differentiation
Derivative
In calculus, a branch of mathematics, the derivative is a measure of how a function changes as its input changes. Loosely speaking, a derivative can be thought of as how much one quantity is changing in response to changes in some other quantity; for example, the derivative of the position of a...

 and integration
Integral
Integration is an important concept in mathematics and, together with its inverse, differentiation, is one of the two main operations in calculus...

 become multiplication and division, respectively, by s (similarly to logarithm
Logarithm
The logarithm of a number is the exponent by which another fixed value, the base, has to be raised to produce that number. For example, the logarithm of 1000 to base 10 is 3, because 1000 is 10 to the power 3: More generally, if x = by, then y is the logarithm of x to base b, and is written...

s changing multiplication of numbers to addition of their logarithms). Because of this property, the Laplace variable s is also known as operator variable in the L domain: either derivative operator or (for s−1) integration operator. The transform turns integral equation
Integral equation
In mathematics, an integral equation is an equation in which an unknown function appears under an integral sign. There is a close connection between differential and integral equations, and some problems may be formulated either way...

s and differential equation
Differential equation
A differential equation is a mathematical equation for an unknown function of one or several variables that relates the values of the function itself and its derivatives of various orders...

s to polynomial equations, which are much easier to solve. Once solved, use of the inverse Laplace transform reverts back to the time domain.

Given the functions f(t) and g(t), and their respective Laplace transforms F(s) and G(s):


the following table is a list of properties of unilateral Laplace transform:
|+ Properties of the unilateral Laplace transform
!
! Time domain
! 's' domain
! Comment
|-
! Linearity
|
|
| Can be proved using basic rules of integration.
|-
! Frequency differentiation
Frequency
Frequency is the number of occurrences of a repeating event per unit time. It is also referred to as temporal frequency.The period is the duration of one cycle in a repeating event, so the period is the reciprocal of the frequency...


|
|
| is the first derivative
Derivative
In calculus, a branch of mathematics, the derivative is a measure of how a function changes as its input changes. Loosely speaking, a derivative can be thought of as how much one quantity is changing in response to changes in some other quantity; for example, the derivative of the position of a...

 of .
|-
! Frequency differentiation
Frequency
Frequency is the number of occurrences of a repeating event per unit time. It is also referred to as temporal frequency.The period is the duration of one cycle in a repeating event, so the period is the reciprocal of the frequency...


|
|
| More general form, nth derivative of F(s).
|-
! Differentiation
Derivative
In calculus, a branch of mathematics, the derivative is a measure of how a function changes as its input changes. Loosely speaking, a derivative can be thought of as how much one quantity is changing in response to changes in some other quantity; for example, the derivative of the position of a...


|
|
| ƒ is assumed to be a differentiable function
Differentiable function
In calculus , a differentiable function is a function whose derivative exists at each point in its domain. The graph of a differentiable function must have a non-vertical tangent line at each point in its domain...

, and its derivative is assumed to be of exponential type. This can then be obtained by integration by parts
Integration by parts
In calculus, and more generally in mathematical analysis, integration by parts is a rule that transforms the integral of products of functions into other integrals...


|-
! Second Differentiation
Derivative
In calculus, a branch of mathematics, the derivative is a measure of how a function changes as its input changes. Loosely speaking, a derivative can be thought of as how much one quantity is changing in response to changes in some other quantity; for example, the derivative of the position of a...


|
|
| ƒ is assumed twice differentiable and the second derivative to be of exponential type. Follows by applying the Differentiation property to .
|-
! General Differentiation
Derivative
In calculus, a branch of mathematics, the derivative is a measure of how a function changes as its input changes. Loosely speaking, a derivative can be thought of as how much one quantity is changing in response to changes in some other quantity; for example, the derivative of the position of a...


|
|
| ƒ is assumed to be n-times differentiable, with nth derivative of exponential type. Follow by mathematical induction
Mathematical induction
Mathematical induction is a method of mathematical proof typically used to establish that a given statement is true of all natural numbers...

.
|-
! Frequency integration
Frequency
Frequency is the number of occurrences of a repeating event per unit time. It is also referred to as temporal frequency.The period is the duration of one cycle in a repeating event, so the period is the reciprocal of the frequency...


|
|
|
|-
! Integration
Integral
Integration is an important concept in mathematics and, together with its inverse, differentiation, is one of the two main operations in calculus...


|
|
| is the Heaviside step function
Heaviside step function
The Heaviside step function, or the unit step function, usually denoted by H , is a discontinuous function whose value is zero for negative argument and one for positive argument....

. Note is the convolution
Convolution
In mathematics and, in particular, functional analysis, convolution is a mathematical operation on two functions f and g, producing a third function that is typically viewed as a modified version of one of the original functions. Convolution is similar to cross-correlation...

 of and .
|-
! Time scaling
|
|
|> ! Frequency shifting
|
|
|> ! Time shifting
|
|
| is the Heaviside step function
Heaviside step function
The Heaviside step function, or the unit step function, usually denoted by H , is a discontinuous function whose value is zero for negative argument and one for positive argument....

> ! Multiplication
Multiplication
Multiplication is the mathematical operation of scaling one number by another. It is one of the four basic operations in elementary arithmetic ....


|
|
| the integration is done along the vertical line that lies entirely within the region of convergence of F.> ! Convolution
Convolution
In mathematics and, in particular, functional analysis, convolution is a mathematical operation on two functions f and g, producing a third function that is typically viewed as a modified version of one of the original functions. Convolution is similar to cross-correlation...


|
|
| ƒ(t) and g(t) are extended by zero for t < 0 in the definition of the convolution.> ! Complex conjugation
|
|
|> ! Cross-correlation
Cross-correlation
In signal processing, cross-correlation is a measure of similarity of two waveforms as a function of a time-lag applied to one of them. This is also known as a sliding dot product or sliding inner-product. It is commonly used for searching a long-duration signal for a shorter, known feature...


|
|
|> ! Periodic Function
Periodic function
In mathematics, a periodic function is a function that repeats its values in regular intervals or periods. The most important examples are the trigonometric functions, which repeat over intervals of length 2π radians. Periodic functions are used throughout science to describe oscillations,...


|
|
| is a periodic function of period
Periodic function
In mathematics, a periodic function is a function that repeats its values in regular intervals or periods. The most important examples are the trigonometric functions, which repeat over intervals of length 2π radians. Periodic functions are used throughout science to describe oscillations,...

  so that . This is the result of the time shifting property and the geometric series.>

  • Initial value theorem
    Initial value theorem
    In mathematical analysis, the initial value theorem is a theorem used to relate frequency domain expressions to the time domain behavior as time approaches zero.Let...

    :

  • Final value theorem
    Final value theorem
    In mathematical analysis, the final value theorem is one of several similar theorems used to relate frequency domain expressions to the time domain behavior as time approaches infinity...

    :
, if all poles of are in the left half-plane.
The final value theorem is useful because it gives the long-term behaviour without having to perform partial fraction
Partial fraction
In algebra, the partial fraction decomposition or partial fraction expansion is a procedure used to reduce the degree of either the numerator or the denominator of a rational function ....

 decompositions or other difficult algebra. If a function's poles are in the right-hand plane (e.g. or ) the behaviour of this formula is undefined.

Proof of the Laplace transform of a function's derivative

It is often convenient to use the differentiation property of the Laplace transform to find the transform of a function's derivative. This can be derived from the basic expression for a Laplace transform as follows:


yielding


and in the bilateral case,


The general result


where fn is the n-th derivative of f, can then be established with an inductive
Mathematical induction
Mathematical induction is a method of mathematical proof typically used to establish that a given statement is true of all natural numbers...

 argument.

Evaluating improper integrals

Let , then (see the table above)


or


Letting , we get the identity


For example,


Another example is Dirichlet integral
Dirichlet integral
In mathematics, there are several integrals known as the Dirichlet integral, after the German mathematician Peter Gustav Lejeune Dirichlet.One of those isThis can be derived from attempts to evaluate a double improper integral two different ways...

.

Laplace–Stieltjes transform

The (unilateral) Laplace–Stieltjes transform of a function g : R → R is defined by the Lebesgue–Stieltjes integral


The function g is assumed to be of bounded variation
Bounded variation
In mathematical analysis, a function of bounded variation, also known as a BV function, is a real-valued function whose total variation is bounded : the graph of a function having this property is well behaved in a precise sense...

. If g is the antiderivative
Antiderivative
In calculus, an "anti-derivative", antiderivative, primitive integral or indefinite integralof a function f is a function F whose derivative is equal to f, i.e., F ′ = f...

 of ƒ:


then the Laplace–Stieltjes transform of g and the Laplace transform of ƒ coincide. In general, the Laplace–Stieltjes transform is the Laplace transform of the Stieltjes measure associated to g. So in practice, the only distinction between the two transforms is that the Laplace transform is thought of as operating on the density function of the measure, whereas the Laplace–Stieltjes transform is thought of as operating on its cumulative distribution function
Cumulative distribution function
In probability theory and statistics, the cumulative distribution function , or just distribution function, describes the probability that a real-valued random variable X with a given probability distribution will be found at a value less than or equal to x. Intuitively, it is the "area so far"...

.

Fourier transform

The continuous Fourier transform
Continuous Fourier transform
The Fourier transform is a mathematical operation that decomposes a function into its constituent frequencies, known as a frequency spectrum. For instance, the transform of a musical chord made up of pure notes is a mathematical representation of the amplitudes of the individual notes that make...

 is equivalent to evaluating the bilateral Laplace transform with imaginary argument s = iω or s = 2πfi :


This expression excludes the scaling factor , which is often included in definitions of the Fourier transform. This relationship between the Laplace and Fourier transforms is often used to determine the frequency spectrum
Frequency spectrum
The frequency spectrum of a time-domain signal is a representation of that signal in the frequency domain. The frequency spectrum can be generated via a Fourier transform of the signal, and the resulting values are usually presented as amplitude and phase, both plotted versus frequency.Any signal...

 of a signal or dynamical system
Dynamical system
A dynamical system is a concept in mathematics where a fixed rule describes the time dependence of a point in a geometrical space. Examples include the mathematical models that describe the swinging of a clock pendulum, the flow of water in a pipe, and the number of fish each springtime in a...

.

The above relation is valid as stated if and only if the region of convergence (ROC) of F(s) contains the imaginary axis, σ = 0. For example, the function f(t) = cos(ω0t) has a Laplace transform F(s) = s/(s2 + ω02) whose ROC is Re(s) > 0. As s = iω is a pole of F(s), substituting s = iω in F(s) does not yield the Fourier transform of f(t)u(t), which is proportional to the Dirac delta-function δ(ω-ω0).

However, a relation of the form


holds under much weaker conditions. For instance, this holds for the above example provided that the limit is understood as a weak limit of measures (see vague topology
Vague topology
In mathematics, particularly in the area of functional analysis and topological vector spaces, the vague topology is an example of the weak-* topology which arises in the study of measures on locally compact Hausdorff spaces....

). General conditions relating the limit of the Laplace transform of a function on the boundary to the Fourier transform take the form of Paley-Wiener theorems.

Mellin transform

The Mellin transform
Mellin transform
In mathematics, the Mellin transform is an integral transform that may be regarded as the multiplicative version of the two-sided Laplace transform...

 and its inverse are related to the two-sided Laplace transform by a simple change of variables. If in the Mellin transform


we set θ = e-t we get a two-sided Laplace transform.

Z-transform

The unilateral or one-sided Z-transform
Z-transform
In mathematics and signal processing, the Z-transform converts a discrete time-domain signal, which is a sequence of real or complex numbers, into a complex frequency-domain representation....

 is simply the Laplace transform of an ideally sampled signal with the substitution of

where is the sampling period (in units of time e.g., seconds) and is the sampling rate
Sampling rate
The sampling rate, sample rate, or sampling frequency defines the number of samples per unit of time taken from a continuous signal to make a discrete signal. For time-domain signals, the unit for sampling rate is hertz , sometimes noted as Sa/s...

 (in samples per second or hertz
Hertz
The hertz is the SI unit of frequency defined as the number of cycles per second of a periodic phenomenon. One of its most common uses is the description of the sine wave, particularly those used in radio and audio applications....

)


Let


be a sampling impulse train (also called a Dirac comb
Dirac comb
In mathematics, a Dirac comb is a periodic Schwartz distribution constructed from Dirac delta functions...

) and


be the continuous-time representation of the sampled
are the discrete samples of .


The Laplace transform of the sampled signal is


This is precisely the definition of the unilateral Z-transform
Z-transform
In mathematics and signal processing, the Z-transform converts a discrete time-domain signal, which is a sequence of real or complex numbers, into a complex frequency-domain representation....

 of the discrete function


with the substitution of .

Comparing the last two equations, we find the relationship between the unilateral Z-transform
Z-transform
In mathematics and signal processing, the Z-transform converts a discrete time-domain signal, which is a sequence of real or complex numbers, into a complex frequency-domain representation....

 and the Laplace transform of the sampled signal:


The similarity between the Z and Laplace transforms is expanded upon in the theory of time scale calculus
Time scale calculus
In mathematics, time-scale calculus is a unification of the theory of difference equations with that of differential equations, unifying integral and differential calculus with the calculus of finite differences, offering a formalism for studying hybrid discrete–continuous dynamical systems...

.

Borel transform

The integral form of the Borel transform


is a special case of the Laplace transform for ƒ an entire function
Entire function
In complex analysis, an entire function, also called an integral function, is a complex-valued function that is holomorphic over the whole complex plane...

 of exponential type, meaning that


for some constants A and B. The generalized Borel transform allows a different weighting function to be used, rather than the exponential function, to transform functions not of exponential type. Nachbin's theorem
Nachbin's theorem
In mathematics, in the area of complex analysis, Nachbin's theorem is commonly used to establish a bound on the growth rates for an analytic function. This article will provide a brief review of growth rates, including the idea of a function of exponential type...

 gives necessary and sufficient conditions for the Borel transform to be well defined.

Fundamental relationships

Since an ordinary Laplace transform can be written as a special case
of a two-sided transform, and since the two-sided transform can be written as
the sum of two one-sided transforms, the theory of the Laplace-, Fourier-, Mellin-, and Z-transforms are at bottom the same subject. However, a different point of view and different
characteristic problems are associated with each of these four major integral transforms.

Table of selected Laplace transforms

The following table provides Laplace transforms for many common functions of a single variable. For definitions and explanations, see the Explanatory Notes at the end of the table.

Because the Laplace transform is a linear operator:
  • The Laplace transform of a sum is the sum of Laplace transforms of each term.


  • The Laplace transform of a multiple of a function is that multiple times the Laplace transformation of that function.



The unilateral Laplace transform takes as input a function whose time domain is the non-negative reals, which is why all of the time domain functions in the table below are multiples of the Heaviside step function
Heaviside step function
The Heaviside step function, or the unit step function, usually denoted by H , is a discontinuous function whose value is zero for negative argument and one for positive argument....

, u(t). The entries of the table that involve a time delay τ are required to be causal
Causal system
A causal system is a system where the output depends on past/current inputs but not future inputs i.e...

 (meaning that τ > 0). A causal system is a system where the impulse response
Impulse response
In signal processing, the impulse response, or impulse response function , of a dynamic system is its output when presented with a brief input signal, called an impulse. More generally, an impulse response refers to the reaction of any dynamic system in response to some external change...

 h(t) is zero for all time t prior to t = 0. In general, the region of convergence for causal systems is not the same as that of anticausal system
Anticausal system
An anticausal system is a hypothetical system with outputs and internal states that depend solely on future input values. Some textbooks and published research literature might define an anticausal system to be one that does not depend on past input values An anticausal system is a hypothetical...

s.
Function Time domain
Laplace s-domain
Region of convergence Reference
unit impulse
Dirac delta function
The Dirac delta function, or δ function, is a generalized function depending on a real parameter such that it is zero for all values of the parameter except when the parameter is zero, and its integral over the parameter from −∞ to ∞ is equal to one. It was introduced by theoretical...

 
inspection
delayed impulse time shift of
unit impulse
unit step
Heaviside step function
The Heaviside step function, or the unit step function, usually denoted by H , is a discontinuous function whose value is zero for negative argument and one for positive argument....

 
integrate unit impulse
delayed unit step time shift of
unit step
ramp
Ramp function
The ramp function is an elementary unary real function, easily computable as the mean of its independent variable and its absolute value.This function is applied in engineering...

 
integrate unit
impulse twice
delayed nth power
with frequency shift
Integrate unit step,
apply frequency shift,
apply time shift
nth power
( for integer n )

Integrate unit
step n times
qth power
( for complex q )

ref?
nth power with frequency shift Integrate unit step,
apply frequency shift
exponential decay  Frequency shift of
unit step
exponential approach Unit step minus
exponential decay
sine
Sine
In mathematics, the sine function is a function of an angle. In a right triangle, sine gives the ratio of the length of the side opposite to an angle to the length of the hypotenuse.Sine is usually listed first amongst the trigonometric functions....

 
ref?
cosine  ref?
hyperbolic sine  ref?
hyperbolic cosine  ref?
Exponentially-decaying
sine wave
ref?
Exponentially-decaying
cosine wave
ref?
nth root ref?
natural logarithm
Natural logarithm
The natural logarithm is the logarithm to the base e, where e is an irrational and transcendental constant approximately equal to 2.718281828...

 
ref?
Bessel function
Bessel function
In mathematics, Bessel functions, first defined by the mathematician Daniel Bernoulli and generalized by Friedrich Bessel, are canonical solutions y of Bessel's differential equation:...

 
of the first kind,
of order n

ref?
Modified Bessel function
Bessel function
In mathematics, Bessel functions, first defined by the mathematician Daniel Bernoulli and generalized by Friedrich Bessel, are canonical solutions y of Bessel's differential equation:...

 
of the first kind,
of order n
ref?
Bessel function
Bessel function
In mathematics, Bessel functions, first defined by the mathematician Daniel Bernoulli and generalized by Friedrich Bessel, are canonical solutions y of Bessel's differential equation:...

 
of the second kind,
of order 0
ref?
Modified Bessel function
Bessel function
In mathematics, Bessel functions, first defined by the mathematician Daniel Bernoulli and generalized by Friedrich Bessel, are canonical solutions y of Bessel's differential equation:...

 
of the second kind,
of order 0
    ref?
Confluent hypergeometric function
Confluent hypergeometric function
In mathematics, a confluent hypergeometric function is a solution of a confluent hypergeometric equation, which is a degenerate form of a hypergeometric differential equation where two of the three regular singularities merge into an irregular singularity...

 
ref?
Incomplete Gamma function
Incomplete gamma function
In mathematics, the gamma function is defined by a definite integral. The incomplete gamma function is defined as an integral function of the same integrand. There are two varieties of the incomplete gamma function: the upper incomplete gamma function is for the case that the lower limit of...

 
ref?
Error function
Error function
In mathematics, the error function is a special function of sigmoid shape which occurs in probability, statistics and partial differential equations...

 
ref?
Rational function
Rational function
In mathematics, a rational function is any function which can be written as the ratio of two polynomial functions. Neither the coefficients of the polynomials nor the values taken by the function are necessarily rational.-Definitions:...

 in s
Partial fraction expansion and nth power with frequency shift
Explanatory notes:
  • represents the Heaviside step function
    Heaviside step function
    The Heaviside step function, or the unit step function, usually denoted by H , is a discontinuous function whose value is zero for negative argument and one for positive argument....

    .
  • represents the Dirac delta function
    Dirac delta function
    The Dirac delta function, or δ function, is a generalized function depending on a real parameter such that it is zero for all values of the parameter except when the parameter is zero, and its integral over the parameter from −∞ to ∞ is equal to one. It was introduced by theoretical...

    .
  • represents the Gamma function
    Gamma function
    In mathematics, the gamma function is an extension of the factorial function, with its argument shifted down by 1, to real and complex numbers...

    .
  • is the Euler–Mascheroni constant.

  • , a real number, typically represents time,
    although it can represent any independent dimension.
  • is the complex
    Complex number
    A complex number is a number consisting of a real part and an imaginary part. Complex numbers extend the idea of the one-dimensional number line to the two-dimensional complex plane by using the number line for the real part and adding a vertical axis to plot the imaginary part...

     angular frequency
    Angular frequency
    In physics, angular frequency ω is a scalar measure of rotation rate. Angular frequency is the magnitude of the vector quantity angular velocity...

    , and is its real part.
  • , , , and are real numbers.
  • is an integer
    Integer
    The integers are formed by the natural numbers together with the negatives of the non-zero natural numbers .They are known as Positive and Negative Integers respectively...

    .



s-Domain equivalent circuits and impedances

The Laplace transform is often used in circuit analysis, and simple conversions to the s-Domain of circuit elements can be made. Circuit elements can be transformed into impedance
Electrical impedance
Electrical impedance, or simply impedance, is the measure of the opposition that an electrical circuit presents to the passage of a current when a voltage is applied. In quantitative terms, it is the complex ratio of the voltage to the current in an alternating current circuit...

s, very similar to phasor impedances.

Here is a summary of equivalents:


Note that the resistor is exactly the same in the time domain and the s-Domain. The sources are put in if there are initial conditions on the circuit elements. For example, if a capacitor has an initial voltage across it, or if the inductor has an initial current through it, the sources inserted in the s-Domain account for that.

The equivalents for current and voltage sources are simply derived from the transformations in the table above.

Examples: How to apply the properties and theorems

The Laplace transform is used frequently in engineering
Engineering
Engineering is the discipline, art, skill and profession of acquiring and applying scientific, mathematical, economic, social, and practical knowledge, in order to design and build structures, machines, devices, systems, materials and processes that safely realize improvements to the lives of...

 and physics
Physics
Physics is a natural science that involves the study of matter and its motion through spacetime, along with related concepts such as energy and force. More broadly, it is the general analysis of nature, conducted in order to understand how the universe behaves.Physics is one of the oldest academic...

; the output of a linear time invariant system can be calculated by convolving its unit impulse response
Impulse response
In signal processing, the impulse response, or impulse response function , of a dynamic system is its output when presented with a brief input signal, called an impulse. More generally, an impulse response refers to the reaction of any dynamic system in response to some external change...

 with the input signal. Performing this calculation in Laplace space turns the convolution
Convolution
In mathematics and, in particular, functional analysis, convolution is a mathematical operation on two functions f and g, producing a third function that is typically viewed as a modified version of one of the original functions. Convolution is similar to cross-correlation...

 into a multiplication
Multiplication
Multiplication is the mathematical operation of scaling one number by another. It is one of the four basic operations in elementary arithmetic ....

; the latter being easier to solve because of its algebraic form. For more information, see control theory
Control theory
Control theory is an interdisciplinary branch of engineering and mathematics that deals with the behavior of dynamical systems. The desired output of a system is called the reference...

.

The Laplace transform can also be used to solve differential equations and is used extensively in electrical engineering
Electrical engineering
Electrical engineering is a field of engineering that generally deals with the study and application of electricity, electronics and electromagnetism. The field first became an identifiable occupation in the late nineteenth century after commercialization of the electric telegraph and electrical...

. The Laplace transform reduces a linear differential equation
Differential equation
A differential equation is a mathematical equation for an unknown function of one or several variables that relates the values of the function itself and its derivatives of various orders...

 to an algebraic equation, which can then be solved by the formal rules of algebra. The original differential equation can then be solved by applying the inverse Laplace transform. The English electrical engineer Oliver Heaviside
Oliver Heaviside
Oliver Heaviside was a self-taught English electrical engineer, mathematician, and physicist who adapted complex numbers to the study of electrical circuits, invented mathematical techniques to the solution of differential equations , reformulated Maxwell's field equations in terms of electric and...

 first proposed a similar scheme, although without using the Laplace transform; and the resulting operational calculus
Operational calculus
Operational calculus, also known as operational analysis, is a technique by which problems in analysis, in particular differential equations, are transformed into algebraic problems, usually the problem of solving a polynomial equation.-History:...

 is credited as the Heaviside calculus.

Example 1: Solving a differential equation

In nuclear physics
Nuclear physics
Nuclear physics is the field of physics that studies the building blocks and interactions of atomic nuclei. The most commonly known applications of nuclear physics are nuclear power generation and nuclear weapons technology, but the research has provided application in many fields, including those...

, the following fundamental relationship governs radioactive decay
Radioactive decay
Radioactive decay is the process by which an atomic nucleus of an unstable atom loses energy by emitting ionizing particles . The emission is spontaneous, in that the atom decays without any physical interaction with another particle from outside the atom...

: the number of radioactive atoms N in a sample of a radioactive isotope
Isotope
Isotopes are variants of atoms of a particular chemical element, which have differing numbers of neutrons. Atoms of a particular element by definition must contain the same number of protons but may have a distinct number of neutrons which differs from atom to atom, without changing the designation...

 decays at a rate proportional to N. This leads to the first order linear differential equation


where λ is the decay constant. The Laplace transform can be used to solve this equation.

Rearranging the equation to one side, we have


Next, we take the Laplace transform of both sides of the equation:


where


and


Solving, we find


Finally, we take the inverse Laplace transform to find the general solution


which is indeed the correct form for radioactive decay.

Example 2: Deriving the complex impedance for a capacitor

In the theory of electrical circuits, the current flow in a capacitor
Capacitor
A capacitor is a passive two-terminal electrical component used to store energy in an electric field. The forms of practical capacitors vary widely, but all contain at least two electrical conductors separated by a dielectric ; for example, one common construction consists of metal foils separated...

 is proportional to the capacitance and rate of change in the electrical potential (in SI
Si
Si, si, or SI may refer to :- Measurement, mathematics and science :* International System of Units , the modern international standard version of the metric system...

 units). Symbolically, this is expressed by the differential equation


where C is the capacitance (in farads) of the capacitor, i = i(t) is the electric current
Electric current
Electric current is a flow of electric charge through a medium.This charge is typically carried by moving electrons in a conductor such as wire...

 (in amperes) through the capacitor as a function of time, and v = v(t) is the voltage (in volts) across the terminals of the capacitor, also as a function of time.

Taking the Laplace transform of this equation, we obtain


where



and


Solving for V(s) we have


The definition of the complex
Complex number
A complex number is a number consisting of a real part and an imaginary part. Complex numbers extend the idea of the one-dimensional number line to the two-dimensional complex plane by using the number line for the real part and adding a vertical axis to plot the imaginary part...

 impedance
Electrical impedance
Electrical impedance, or simply impedance, is the measure of the opposition that an electrical circuit presents to the passage of a current when a voltage is applied. In quantitative terms, it is the complex ratio of the voltage to the current in an alternating current circuit...

 Z (in ohms) is the ratio of the complex voltage V divided by the complex current I while holding the initial state Vo at zero:


Using this definition and the previous equation, we find:


which is the correct expression for the complex impedance of a capacitor.

Example 3: Method of partial fraction expansion

Consider a linear time-invariant system with transfer function
Transfer function
A transfer function is a mathematical representation, in terms of spatial or temporal frequency, of the relation between the input and output of a linear time-invariant system. With optical imaging devices, for example, it is the Fourier transform of the point spread function i.e...




The impulse response
Impulse response
In signal processing, the impulse response, or impulse response function , of a dynamic system is its output when presented with a brief input signal, called an impulse. More generally, an impulse response refers to the reaction of any dynamic system in response to some external change...

 is simply the inverse Laplace transform of this transfer function:


To evaluate this inverse transform, we begin by expanding H(s) using the method of partial fraction
Partial fraction
In algebra, the partial fraction decomposition or partial fraction expansion is a procedure used to reduce the degree of either the numerator or the denominator of a rational function ....

 expansion:


The unknown constants P and R are the residue
Residue (complex analysis)
In mathematics, more specifically complex analysis, the residue is a complex number proportional to the contour integral of a meromorphic function along a path enclosing one of its singularities...

s located at the corresponding poles of the transfer function. Each residue represents the relative contribution of that singularity
Mathematical singularity
In mathematics, a singularity is in general a point at which a given mathematical object is not defined, or a point of an exceptional set where it fails to be well-behaved in some particular way, such as differentiability...

 to the transfer function's overall shape. By the residue theorem
Residue theorem
The residue theorem, sometimes called Cauchy's Residue Theorem, in complex analysis is a powerful tool to evaluate line integrals of analytic functions over closed curves and can often be used to compute real integrals as well. It generalizes the Cauchy integral theorem and Cauchy's integral formula...

, the inverse Laplace transform depends only upon the poles and their residues. To find the residue P, we multiply both sides of the equation by s + α to get


Then by letting s = −α, the contribution from R vanishes and all that is left is


Similarly, the residue R is given by


Note that


and so the substitution of R and P into the expanded expression for H(s) gives


Finally, using the linearity property and the known transform for exponential decay (see Item #3 in the Table of Laplace Transforms, above), we can take the inverse Laplace transform of H(s) to obtain:


which is the impulse response of the system.

Example 3.2: Convolution

The same result can be achieved using convolution property as if system is a series of filters with transfer functions of 1/(s+a) and 1/(s+b). That is, inverse of


is

Example 4: Mixing sines, cosines, and exponentials

Time function Laplace transform


Starting with the Laplace transform


we find the inverse transform by first adding and subtracting the same constant α to the numerator:


By the shift-in-frequency property, we have


Finally, using the Laplace transforms for sine and cosine (see the table, above), we have


Example 5: Phase delay

Time function Laplace transform


Starting with the Laplace transform,


we find the inverse by first rearranging terms in the fraction:


We are now able to take the inverse Laplace transform of our terms:


This is just the sine of the sum of the arguments, yielding:

We can apply similar logic to find that

See also

  • Pierre-Simon Laplace
    Pierre-Simon Laplace
    Pierre-Simon, marquis de Laplace was a French mathematician and astronomer whose work was pivotal to the development of mathematical astronomy and statistics. He summarized and extended the work of his predecessors in his five volume Mécanique Céleste...

  • Laplace transform applied to differential equations
  • Moment-generating function
    Moment-generating function
    In probability theory and statistics, the moment-generating function of any random variable is an alternative definition of its probability distribution. Thus, it provides the basis of an alternative route to analytical results compared with working directly with probability density functions or...

  • Z-transform
    Z-transform
    In mathematics and signal processing, the Z-transform converts a discrete time-domain signal, which is a sequence of real or complex numbers, into a complex frequency-domain representation....

     (discrete equivalent of the Laplace transform)
  • Fourier transform
    Fourier transform
    In mathematics, Fourier analysis is a subject area which grew from the study of Fourier series. The subject began with the study of the way general functions may be represented by sums of simpler trigonometric functions...

  • Sumudu transform
    Sumudu transform
    In mathematics, the Sumudu transform, is an integral transform similar to the Laplace transform, introduced in the early 1990s by Gamage K. Watugala to solve differential equations and control engineering problems. It is equivalent to the Laplace–Carson transform with the substitution...

     or Laplace–Carson transform
  • Analog signal processing
    Analog signal processing
    Analog signal processing is any signal processing conducted on analog signals by analog means. "Analog" indicates something that is mathematically represented as a set of continuous values. This differs from "digital" which uses a series of discrete quantities to represent signal...

  • Continuous-repayment mortgage
  • Hardy–Littlewood tauberian theorem
    Hardy–Littlewood tauberian theorem
    In mathematical analysis, the Hardy–Littlewood tauberian theorem is a tauberian theorem relating the asymptotics of the partial sums of a series with the asymptotics of its Abel summation...

  • Bernstein's theorem on monotone functions
  • Symbolic integration
    Symbolic integration
    In calculus symbolic integration is the problem of finding a formula for the antiderivative, or indefinite integral, of a given function f, i.e...


Modern

... | year=1971}}... | year=1952 | journal=Comm. Sém. Math. Univ. Lund [Medd. Lunds Univ. Mat. Sem.] | volume=1952 | pages=196–206}}.. | year=1941}}. | year=1945 | journal=The American Mathematical Monthly
American Mathematical Monthly
The American Mathematical Monthly is a mathematical journal founded by Benjamin Finkel in 1894. It is currently published 10 times each year by the Mathematical Association of America....

| issn=0002-9890 | volume=52 | pages=419–425 | doi=10.2307/2305640 | issue=8 | publisher=The American Mathematical Monthly, Vol. 52, No. 8 | jstor=2305640}}.

External links

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