Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2008/g/2/solution

Assume the regular Sturm–Liouville setting: real coefficients with , and sufficient continuity and differentiability for the integrations below. Apply a multiplier to . Its first variation in the direction is
Variations vanishing at both endpoints and the supplied fundamental lemma give
At a free endpoint the value of is arbitrary, so the natural condition is there. At a fixed endpoint , so no such derivative condition is imposed; the prescribed endpoint value is imposed instead. This distinction also allows one endpoint of each type.
For eigenfunctions of distinct eigenvalues under the same homogeneous self-adjoint endpoint conditions, multiply their equations by and subtract. Integration gives
The boundary expression vanishes for both natural conditions and homogeneous fixed-value conditions. Thus for different eigenvalues.
In the specified fixed-endpoint case the eigenproblem is , . There are no nonzero solutions when ; the elementary exponential or affine solutions and the two endpoint conditions prove this. For , the first condition leaves a sine and the second requires frequency . The normalized stationary functions and eigenvalues are
Distinct sine modes are orthogonal by the product-to-sum formula, or by the preceding Green second identity. Although they need not satisfy the natural derivative conditions, their fixed zero values also annihilate the boundary expression, so orthogonality is expected.
The Wirtinger inequality gives . For completeness it follows by writing for a smooth function supported away from the endpoints and integrating the cross term: . Approximation extends it to the Dirichlet Sobolev class. Equality is attained by the first sine mode; the eigenproblem or equality condition gives only its scalar multiples. Hence the two normalized minimizers are and the minimum is .
There is a wording distinction in the source: the two sign choices of the minimum are not orthogonal to each other, since their inner product is . Orthogonality applies to the stationary modes with different eigenvalues, not to both signs of the same minimizer.

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