Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2010/g/g2/solution

At a regular constrained extremum, choose an admissible variation with . The implicit function theorem applied to permits a compensating keeping fixed. Differentiation at zero gives for every , where . Integrating the first variation of by parts and using arbitrary compactly supported gives
Smoothness alone does not exclude an abnormal constraint: if vanishes identically, one needs the general multiplier form with two multipliers rather than automatically setting the coefficient of to one. The displayed normal form uses the usual regular-constraint hypothesis.
For the given quadratic functionals, the equation is . If the endpoint values of are free, the boundary variation gives the natural conditions , interpreted by limits at singular endpoints. Multiply the equation by and integrate. These boundary terms vanish, leaving
For two eigenfunctions, multiply their equations by the other function and subtract. Integration gives
The natural conditions remove the bracket, so distinct eigenvalues imply .
In the Legendre case, comparison of leading polynomial coefficients gives , so the degrees correspond to distinct eigenvalues. A degree-zero polynomial is . Write ; orthogonality to on gives . Write . Orthogonality to gives , and orthogonality to gives . Thus
These polynomials satisfy the natural endpoint limits because vanishes at both endpoints.

New to topics? Read the docs here!