In
mathematics
Mathematics is an area of knowledge that includes the topics of numbers, formulas and related structures, shapes and the spaces in which they are contained, and quantities and their changes. These topics are represented in modern mathematics ...
, specifically in
calculus
Calculus, originally called infinitesimal calculus or "the calculus of infinitesimals", is the mathematical study of continuous change, in the same way that geometry is the study of shape, and algebra is the study of generalizations of arithm ...
and
complex analysis
Complex analysis, traditionally known as the theory of functions of a complex variable, is the branch of mathematical analysis that investigates Function (mathematics), functions of complex numbers. It is helpful in many branches of mathemati ...
, the logarithmic derivative of a
function
Function or functionality may refer to:
Computing
* Function key, a type of key on computer keyboards
* Function model, a structured representation of processes in a system
* Function object or functor or functionoid, a concept of object-oriente ...
''f'' is defined by the formula
where
is the
derivative
In mathematics, the derivative of a function of a real variable measures the sensitivity to change of the function value (output value) with respect to a change in its argument (input value). Derivatives are a fundamental tool of calculus. F ...
of ''f''.
Intuitively, this is the infinitesimal
relative change In any quantitative science, the terms relative change and relative difference are used to compare two quantities while taking into account the "sizes" of the things being compared, i.e. dividing by a ''standard'' or ''reference'' or ''starting'' va ...
in ''f''; that is, the infinitesimal absolute change in ''f,'' namely
scaled by the current value of ''f.''
When ''f'' is a function ''f''(''x'') of a real variable ''x'', and takes
real
Real may refer to:
Currencies
* Brazilian real (R$)
* Central American Republic real
* Mexican real
* Portuguese real
* Spanish real
* Spanish colonial real
Music Albums
* ''Real'' (L'Arc-en-Ciel album) (2000)
* ''Real'' (Bright album) (2010) ...
, strictly
positive
Positive is a property of positivity and may refer to:
Mathematics and science
* Positive formula, a logical formula not containing negation
* Positive number, a number that is greater than 0
* Plus sign, the sign "+" used to indicate a posi ...
values, this is equal to the derivative of ln(''f''), or the
natural logarithm
The natural logarithm of a number is its logarithm to the base of the mathematical constant , which is an irrational and transcendental number approximately equal to . The natural logarithm of is generally written as , , or sometimes, if ...
of ''f''. This follows directly from the
chain rule
In calculus, the chain rule is a formula that expresses the derivative of the composition of two differentiable functions and in terms of the derivatives of and . More precisely, if h=f\circ g is the function such that h(x)=f(g(x)) for every , ...
:
Basic properties
Many properties of the real logarithm also apply to the logarithmic derivative, even when the function does ''not'' take values in the positive reals. For example, since the logarithm of a product is the sum of the logarithms of the factors, we have
So for positive-real-valued functions, the logarithmic derivative of a product is the sum of the logarithmic derivatives of the factors. But we can also use the
Leibniz law for the derivative of a product to get
Thus, it is true for ''any'' function that the logarithmic derivative of a product is the sum of the logarithmic derivatives of the factors (when they are defined).
A
corollary
In mathematics and logic, a corollary ( , ) is a theorem of less importance which can be readily deduced from a previous, more notable statement. A corollary could, for instance, be a proposition which is incidentally proved while proving another ...
to this is that the logarithmic derivative of the reciprocal of a function is the negation of the logarithmic derivative of the function:
just as the logarithm of the reciprocal of a positive real number is the negation of the logarithm of the number.
More generally, the logarithmic derivative of a quotient is the difference of the logarithmic derivatives of the dividend and the divisor:
just as the logarithm of a quotient is the difference of the logarithms of the dividend and the divisor.
Generalising in another direction, the logarithmic derivative of a power (with constant real exponent) is the product of the exponent and the logarithmic derivative of the base:
just as the logarithm of a power is the product of the exponent and the logarithm of the base.
In summary, both derivatives and logarithms have a
product rule
In calculus, the product rule (or Leibniz rule or Leibniz product rule) is a formula used to find the derivatives of products of two or more functions. For two functions, it may be stated in Lagrange's notation as (u \cdot v)' = u ' \cdot v + ...
, a
reciprocal rule
In calculus, the reciprocal rule gives the derivative of the reciprocal of a function ''f'' in terms of the derivative of ''f''. The reciprocal rule can be used to show that the power rule holds for negative exponents if it has already been e ...
, a
quotient rule
In calculus, the quotient rule is a method of finding the derivative of a function that is the ratio of two differentiable functions. Let h(x)=f(x)/g(x), where both and are differentiable and g(x)\neq 0. The quotient rule states that the deriva ...
, and a
power rule
In calculus, the power rule is used to differentiate functions of the form f(x) = x^r, whenever r is a real number. Since differentiation is a linear operation on the space of differentiable functions, polynomials can also be differentiated usin ...
(compare the
list of logarithmic identities); each pair of rules is related through the logarithmic derivative.
Computing ordinary derivatives using logarithmic derivatives
Logarithmic derivatives can simplify the computation of derivatives requiring the
product rule
In calculus, the product rule (or Leibniz rule or Leibniz product rule) is a formula used to find the derivatives of products of two or more functions. For two functions, it may be stated in Lagrange's notation as (u \cdot v)' = u ' \cdot v + ...
while producing the same result. The procedure is as follows: Suppose that and that we wish to compute . Instead of computing it directly as , we compute its logarithmic derivative. That is, we compute:
Multiplying through by ƒ computes :
This technique is most useful when ƒ is a product of a large number of factors. This technique makes it possible to compute by computing the logarithmic derivative of each factor, summing, and multiplying by .
For example, we can compute the logarithmic derivative of
to be
.
Integrating factors
The logarithmic derivative idea is closely connected to the
integrating factor
In mathematics, an integrating factor is a function that is chosen to facilitate the solving of a given equation involving differentials. It is commonly used to solve ordinary differential equations, but is also used within multivariable calcul ...
method for
first-order differential equation
In mathematics, an ordinary differential equation (ODE) is a differential equation whose unknown(s) consists of one (or more) function(s) of one variable and involves the derivatives of those functions. The term ''ordinary'' is used in contrast ...
s. In
operator terms, write
and let ''M'' denote the operator of multiplication by some given function ''G''(''x''). Then
can be written (by the
product rule
In calculus, the product rule (or Leibniz rule or Leibniz product rule) is a formula used to find the derivatives of products of two or more functions. For two functions, it may be stated in Lagrange's notation as (u \cdot v)' = u ' \cdot v + ...
) as
where
now denotes the multiplication operator by the logarithmic derivative
In practice we are given an operator such as
and wish to solve equations
for the function ''h'', given ''f''. This then reduces to solving
which has as solution
with any
indefinite integral
In calculus, an antiderivative, inverse derivative, primitive function, primitive integral or indefinite integral of a function is a differentiable function whose derivative is equal to the original function . This can be stated symbolicall ...
of ''F''.
Complex analysis
The formula as given can be applied more widely; for example if ''f''(''z'') is a
meromorphic function
In the mathematical field of complex analysis, a meromorphic function on an open subset ''D'' of the complex plane is a function that is holomorphic on all of ''D'' ''except'' for a set of isolated points, which are pole (complex analysis), pole ...
, it makes sense at all complex values of ''z'' at which ''f'' has neither a
zero nor a pole. Further, at a zero or a pole the logarithmic derivative behaves in a way that is easily analysed in terms of the particular case
:''z
n''
with ''n'' an integer, . The logarithmic derivative is then
and one can draw the general conclusion that for ''f'' meromorphic, the singularities of the logarithmic derivative of ''f'' are all ''simple'' poles, with
residue
Residue may refer to:
Chemistry and biology
* An amino acid, within a peptide chain
* Crop residue, materials left after agricultural processes
* Pesticide residue, refers to the pesticides that may remain on or in food after they are applied ...
''n'' from a zero of order ''n'', residue −''n'' from a pole of order ''n''. See
argument principle
In complex analysis, the argument principle (or Cauchy's argument principle) relates the difference between the number of zeros and poles of a meromorphic function to a contour integral of the function's logarithmic derivative.
Specifically, i ...
. This information is often exploited in
contour integration
In the mathematical field of complex analysis, contour integration is a method of evaluating certain integrals along paths in the complex plane.
Contour integration is closely related to the calculus of residues, a method of complex analysis.
...
.
In the field of
Nevanlinna Theory In the mathematical field of complex analysis, Nevanlinna theory is part of the
theory of meromorphic functions. It was devised in 1925, by Rolf Nevanlinna. Hermann Weyl called it "one of the few great mathematical events of (the twentieth) century ...
, an important lemma states that the proximity function of a logarithmic derivative is small with respect to the Nevanlinna Characteristic of the original function, for instance
.
The multiplicative group
Behind the use of the logarithmic derivative lie two basic facts about ''GL''
1, that is, the multiplicative group of
real number
In mathematics, a real number is a number that can be used to measure a ''continuous'' one-dimensional quantity such as a distance, duration or temperature. Here, ''continuous'' means that values can have arbitrarily small variations. Every real ...
s or other
field
Field may refer to:
Expanses of open ground
* Field (agriculture), an area of land used for agricultural purposes
* Airfield, an aerodrome that lacks the infrastructure of an airport
* Battlefield
* Lawn, an area of mowed grass
* Meadow, a grass ...
. The
differential operator
In mathematics, a differential operator is an operator defined as a function of the differentiation operator. It is helpful, as a matter of notation first, to consider differentiation as an abstract operation that accepts a function and return ...
is
invariant
Invariant and invariance may refer to:
Computer science
* Invariant (computer science), an expression whose value doesn't change during program execution
** Loop invariant, a property of a program loop that is true before (and after) each iteratio ...
under dilation (replacing ''X'' by ''aX'' for ''a'' constant). And the
differential form
In mathematics, differential forms provide a unified approach to define integrands over curves, surfaces, solids, and higher-dimensional manifolds. The modern notion of differential forms was pioneered by Élie Cartan. It has many applications, ...
is likewise invariant. For functions ''F'' into GL
1, the formula
is therefore a ''
pullback
In mathematics, a pullback is either of two different, but related processes: precomposition and fiber-product. Its dual is a pushforward.
Precomposition
Precomposition with a function probably provides the most elementary notion of pullback: i ...
'' of the invariant form.
Examples
*
Exponential growth
Exponential growth is a process that increases quantity over time. It occurs when the instantaneous rate of change (that is, the derivative) of a quantity with respect to time is proportional to the quantity itself. Described as a function, a q ...
and
exponential decay
A quantity is subject to exponential decay if it decreases at a rate proportional to its current value. Symbolically, this process can be expressed by the following differential equation, where is the quantity and (lambda) is a positive rate ...
are processes with constant logarithmic derivative.
* In
mathematical finance
Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling of financial markets.
In general, there exist two separate branches of finance that require ...
, the
Greek
Greek may refer to:
Greece
Anything of, from, or related to Greece, a country in Southern Europe:
*Greeks, an ethnic group.
*Greek language, a branch of the Indo-European language family.
**Proto-Greek language, the assumed last common ancestor ...
''λ'' is the logarithmic derivative of derivative price with respect to underlying price.
* In
numerical analysis
Numerical analysis is the study of algorithms that use numerical approximation (as opposed to symbolic computation, symbolic manipulations) for the problems of mathematical analysis (as distinguished from discrete mathematics). It is the study of ...
, the
condition number is the infinitesimal relative change in the output for a relative change in the input, and is thus a ratio of logarithmic derivatives.
See also
*
*
References
{{Calculus topics
Differential calculus
Complex analysis