Chapter 4.

Differential Equations and

Applications

Le Cong Nhan

Visiting Lecturer at
University of Economic Ho Chi Minh City

Le Cong Nhan (Visiting Lecturer at University of Economic

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 Contents

1 Introduction
Dynamics of Market Price

2 First order Differential Equations

Separable Equations
Linear Equations

3 Second Order Differential Equations

Homogeneous Equations with Constant Coefficients
Non-homogeneous Equations with Constant Coefficients

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 4.1 Introduction to Differential Equations
Dynamics of Market Price

Assume that the rate of change of price over time is proportional to the
excess demand, then we have
dP
= k (Qd − Qs ) (1)
dt | {z }
excess demand

where k represents a adjustment coefficient. Notice that

dP
=0 if and only if Qd = Qs . (2)
dt
Assume that the demand and support functions are given by

Qd = α − βP (3)
Qs = −γ + δP (4)

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 First-order differential equation

dP
+ k(β + δ)P = k(α + γ). (5)
dt
α+γ
1 Equilibrium price: Qd = Qs , that is, P ∗ = β+δ .
2 Assume P(0) = P0 , then
P(t) = P ∗ + (P0 − P ∗ ) e −k(β+δ)t . (6)

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 Example 1
Let the demand and supply functions for a particular commodity be
dP
Qd = α − βP + σ (α, β, σ > 0) (7)
dt
Qs = −γ + δP (γ, δ > 0) (8)

(a) Assume that the rate of change of price over time is proportional to
the excess demand, find the time path P(t).
(b) What restriction on the parameter σ would ensure dynamic stability?

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 Example 2
Let the demand and supply functions be

Qd = 42 − 4P − 4P ′ + P ′′
Qs = −6 + 8P

with initial conditions P(0) = P ′ (0) = 4.

1 Assuming the market clearance at every point of time, that is,
Qd = Qs , find the time path P(t).
2 Is this market-clearing equilibrium dynamically stable?

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 4.2 First order Differential Equations
Separable Differential Equations

A differential equation is of the form

dy f (x)
= (9)
dx g (y )

is so-called separable differential equation.

Method of solution:
Step 1: separate the variables g (y )dy = f (x)dx.
Step 2: integrate both sides of the equation
Z Z
g (y )dy = f (x)dx. (10)

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 Example 3
Solve the equation (1 + x)dy − ydx = 0.

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 Example 4 (Losing a Solution)
dy
Solve the equation = y 2 − 4.
dx

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 Example 5
Solve the initial-valued problem
dy x
=− , y (4) = −3.
dx y

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 Example 6
Solve the initial-valued problem

dy
cos x e 2y − y = e y sin 2x, y (0) = 0.
dx

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 4.2 First order Differential Equations
First-Order Linear Differential Equations

A first-order differential equation of the form

dy
a1 (x) + a0 (x)y = g (x), (11)
dx
is said to be a linear equation in the dependent variable y .

If g (x) = 0, then the linear equation (11) is said to be homogeneous

(thuần nhất);
Otherwise, it is non-homogeneous (không thuần nhất).

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 Method of Solution
The standard form (dạng chính tắc) of a linear equation
dy
+ P(x)y = f (x). (12)
dx
1 Find an integrating factor (thừa số tích phân) of the differential
equation
R
P(x)dx
I (x) = e (13)

2 Multiply both sides of linear equation by I (x)

d h R P(x)dx i R
e y = e P(x)dx f (x)
dx
and then integrate both sides of this equation, we get
Z 
1
y= I (x)f (x)dx + C (14)
I (x)
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 Example 7
Solve the differential equation
dy dy
a. − 3y = 6 b. x − 4y = x 6 e x
dx dx

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 Example 8 (Singular points)
Solve the differential equation
dy
(x 2 − 9) + xy = 0.
dx

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 Example 9
Find the solution of the initial-value problem
dy
+ y = x, y (0) = 4.
dx

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 4.3 Second Order Differential Equations

Definition 10
Second order linear differential equations is the equation of the form

a(x)y ′′ + b(x)y ′ + c(x)y = d(x), (15)

where a, b, c and d are functions of x.

If d(x) = 0, then the DE is homogeneous.
Otherwise, it is nonhomogeneous.

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 Method of Solutions

1 Find the general solution (nghiệm tổng quát) yc (x) to the

associated homogeneous DE

a(x)y ′ + b(x)y ′ + c(x)y = 0. (16)

2 Find a particular solution (nghiệm riêng) yp (x) to the

nonhomogeneous DE
Method of undetermined coefficients
Method of variable parameters
3 The general solution to nonhomogeneous DE is

y (x) = yc (x) + yp (x). (17)

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 Homogeneous Equations with Constant Coefficients
Auxiliary Equation

The auxiliary equation of the DE ay ′′ + by ′ + cy = 0 is

ar 2 + br + c = 0. (18)

1 If r1 and r2 are two distinct real roots, then

yc (x) = c1 e r1 x + c2 e r2 x . (19)

2 If r = r0 is a unique real root, then

yc (x) = c1 e r0 x + c2 xe r0 x . (20)

3 If r1,2 = α ± βi are two conjugate complex roots, then

yc (x) = e αx [c1 cos (βx) + c2 sin (βx)] . (21)

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 Non-homogeneous Equations with Constant Coefficients
Method of Undetermined Coefficients

Let us consider a special case of second-order equation

ay ′′ + by ′ + cy = f (x), (22)

where a, b and c are constants, and f (x) is a linear combination of

functions of the type

P(x)e αx or (P1 (x) cos βx + P2 (x) sin βx) e αx . (23)

with P(x) = an x n + an−1 x n−1 + · · · + a1 x + a0 , n ∈ N, α, β ∈ R.

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 Method of Undetermined Coefficients
Case 1: f (x) = P(x)e αx

Find a particular solution (nghiệm riêng) of the form

yp (x) = x λ Q(x)e αx (24)

where degQ = degP and


0 if α is not a root of (18),

λ = 1 if α is a real but not repeated root of (18),

2 if α is a real repeated root of (18).


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 Method of Undetermined Coefficients
Case 2: f (x) = (P1 (x) cos βx + P2 (x) sin βx) e αx

Find a particular solution (nghiệm riêng) of the form

yp (x) = x λ (Q1 (x) cos βx + Q2 (x) sin βx) e αx , (25)

where degQ1 = degQ2 = max{degP1 , degP2 } and

(
0 if α ± iβ is not a complex root of (18),
λ=
1 if α ± iβ is a complex root of (18).

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 Example 11
Solve y ′′ + 2y ′ − 3y = 4x − 5.

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 Example 12
Find a particular solution of y ′′ − y ′ + y = 2 sin 3x.

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 Example 13
Solve y ′′ + 2y ′ − 3y = 4x − 5 + 6xe 2x .

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 Example 14
Find a particular solution of y ′′ − 5y ′ + 4y = 2e x .

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 Example 15
Solve the differential equation

y ′′ (t) + y ′ (t) − 2y (t) = 10

subject to the initial conditions y (0) = 12 và y ′ (0) = −2.

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 Example 16
Given the demand and supply functions:

Qd = 40 − 2P − 2P ′ − P ′′
Qs = −5 + 3P

with initial conditions P(0) = 12 and P ′ (0) = 1. Find the time path P(t)
on the assumption that that the market is always cleared. Is this
market-clearing equilibrium dynamically stable?

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