Linear Differential
Equations - Intro
4th Week
Semester 3 2011/12 Session
Basic Concepts
Definition 1.1.1: An equation containing
the derivatives of one or more dependent
variables with respect to one or more
independent variables, is said to be a
differential equation (DE).
Classifications
Type: Ordinary DE or Partial DE
Order
Linearity
Classifications - Type
Ordinary differential equation (ODE) If an
equation contains only ordinary derivatives of one or
more dependent variables with respect to a single
independent variable.
Partial differential equation (PDE) An equation
involving partial derivatives of one or more dependent
variables of two or more independent variables.
Classifications - Order
The order of a differential equation
(either ODE or PDE) is the order of the
highest derivative in the equation.
Classifications - Linearity
An n-th order ODE of the form
is said to be linear if
the dependent variable y and all its derivatives y,y,y..y(n)
are of the first degree, i.e. the power of each term involving y
is 1.
the coefficients a0, a1, a2, an of y,y,y..y(n) depend at most
on the independent variable x.
The degree of an ODE is the power to which the highest
order derivative of a linear ODE is raised.
Other important notes
Homogeneous
Solutions
Definition 1.1.2: Solution of an ODE
Any function , defined on an interval I and
possessing at least n derivatives that are
continuous on I, which when substituted into
an nth order ODE reduces the equation to an
identity, is said to be a solution (sometimes
referred to as an integral of the equation) of
the equation on the interval.
Families of Solutions
Families of Solutions: Solving a DE is essentially evaluating
an integral or antiderivative. For an indefinite integral, an
arbitrary integral constant is obtained. Analogously, when
solving a first-order DE
, the solution usually
contains a single arbitrary constant or parameter c i.e.
A set of solutions
is called one-parameter
family of solutions. Similarly when solving an nth-order DE,
,
the solution is n-parameter family of
solutions
. Thus a single DE can
possess an infinite number of solutions corresponding to the
unlimited number of choices for the parameter(s).
A solution of a DE that is free of arbitrary parameters is called
a particular solution or particular integral. A singular
solution is a solution that is not a member of a family of
solutions i.e. solution that cannot be obtained by specializing
any of the parameters in the family of solutions.
Families of Solutions
Example
9yy ' 4x 0
Solution
9yy ' 4x dx C
9y ( x )y '( x )dx 4xdx C1
9y 2
9 ydy 2 x C1
2 x 2 C1 9 y 2 4 x 2 2C1
2
2
C1
y 2 x2
This yields
C where C .
4
9
18
Observe that given any point (x0,y0),
there is a unique solution curve of the
above equation which curve goes
through the given point.
The solution is a family of ellipses.
IVP and BVP
Initial-value problem (IVP) is a set of conditions
specified at the same value of the independent
variable, which are imposed on the dependent
variable and its derivatives. For an nth order linear DE
which is subject to
,
the solution is a function defined on some interval I
containing and satisfies the initial conditions given.
If the set of conditions imposed on the dependent
variable and its derivative are specified at different
points
, then it is
called boundary-value problem (BVP).
Superposition of solutions
Dependency
Wronskian
General Solution
General Solution
Superposition of Solutions
Origin of Differential Equations
Solution
[Link] Origin
1. For the family of straight lines
the differential equation is
y c1 x c 2
d2y
0
2
dx
2. For the family of curves
A.
B.
y ce
x2
2
the differential equation is
y c1e c2 e
2x
3 x
dy
xy
dx
the differential equation is
d 2 y dy
6y 0
2
dx
dx
22
Physical Origin
1. Free falling stone
d 2s
g
2
dt
where s is distance or height and g is acceleration due to gravity.
2. Spring vertical displacement
d2y
m 2 ky
dt
where y is displacement, m is mass and k is spring constant
3. RLC circuit, Kirchoff s Second Law
q is charge on capacitor, L is
2
d q
dq 1
inductance, c is capacitance,
L 2 R
qE
R is resistance and E is
dt c
dt
voltage
Physical Origin
[Link] Law of Cooling
where
T Ts
dT
dt
dT
T Ts
dt
is rate of cooling of the liquid,
is temperature difference between the liquid T and
its surrounding Ts
2. Growth and Decay
dy
y
dt
y is the quantity present at any time
Solution of First Order Differential
Equations
Separation of variables
Integrating factor
Substitution methods
First Order Differential
Equations
First Order Differential Equations
Introduction
Formation of differential equations
Solution of differential equations
First Order Differential Equations
Introduction
A differential equation is a relationship between an independent
variable x, a dependent variable y and one or more derivatives of y with
respect to x.
The order of a differential equation is given by the highest derivative
dy
involved.
x y 2 0 is an equation of the 1st order
dx
d2y
xy 2 y 2 sin x 0 is an equation of the 2nd order
dx
d3y
dy
y
e 4 x 0 is an equation of the 3rd order
3
dx
dx
First Order Differential Equations
Introduction
Formation of differential equations
Solution of differential equations
First Order Differential Equations
Formation of differential equations
Differential equations may be formed from a consideration of the
physical problems to which they refer. Mathematically, they can
occur when arbitrary constants are eliminated from a given function.
For example, let:
dy
y A sin x B cos x so that
A cos x B sin x therefore
dx
d2y
A sin x B cos x y
2
dx
That is
d2y
y0
dx 2
First Order Differential Equations
Formation of differential equations
Here the given function had two arbitrary constants:
y Asin x B cos x
and the end result was a second order differential equation:
d2y
y0
2
dx
In general an nth order differential equation will result from
consideration of a function with n arbitrary constants.
First Order Differential Equations
Introduction
Formation of differential equations
Solution of differential equations
First Order Differential Equations
Solution of differential equations
Introduction
Direct integration
Separating the variables
Homogeneous equations by substituting y = vx
Linear equations use of integrating factor
First Order Differential Equations
Solution of differential equations
Introduction
Solving a differential equation is the reverse process to the one just
considered. To solve a differential equation a function has to be
found for which the equation holds true.
The solution will contain a number of arbitrary constants the
number equalling the order of the differential equation.
In this Programme, first-order differential equations are considered.
First Order Differential Equations
Solution of differential equations
Direct integration
If the differential equation to be solved can be arranged in the form:
dy
f ( x)
dx
the solution can be found by direct integration. That is:
y f ( x)dx
First Order Differential Equations
Solution of differential equations
Direct integration
For example:
so that:
dy
3x 2 6 x 5
dx
y (3 x 2 6 x 5)dx
x3 3x 2 5 x C
This is the general solution (or primitive) of the differential equation.
If a value of y is given for a specific value of x then a value for C can
be found. This would then be a particular solution of the differential
equation.
First Order Differential Equations
Solution of differential equations
Separating the variables
If a differential equation is of the form:
dy f ( x)
dx F ( y )
Then, after some manipulation, the solution can be found by direct
integration.
F ( y )dy f ( x)dx so
F ( y)dy f ( x)dx
First Order Differential Equations
Solution of differential equations
Separating the variables
For example:
dy
2x
dx y 1
so that:
( y 1)dy 2 xdx so
( y 1)dy 2 xdx
That is:
y 2 y C1 x 2 C2
Finally:
y 2 y x2 C
First Order Differential Equations
Solution of differential equations
Homogeneous equations by substituting y = vx
In a homogeneous differential equation the total degree in x and y
for the terms involved is the same.
For example, in the differential equation:
dy x 3 y
dx
2x
the terms in x and y are both of degree 1.
To solve this equation requires a change of variable using the
equation:
y v( x ) x
Examples
First Order Differential Equations
Solution of differential equations
Homogeneous equations by substituting y = vx
To solve:
let
to yield:
That is:
dy x 3 y
dx
2x
y v( x ) x
dy
dv
x 3 y 1 3v
v x
and
dx
dx
2x
2
x
dv 1 v
dx
2
which can now be solved using the separation of variables method.
First Order Differential Equations
Solution of differential equations
Linear equations use of integrating factor
Consider the equation:
dy
5 y e2 x
dx
Multiply both sides by e5x to give:
e5 x
then:
dy
d
e5 x 5 y e5 x e2 x that is
ye5 x e7 x
dx
dx
d ye e
5x
That is:
7x
dx so that ye5 x e7 x C
y e 2 x Ce 5 x
First Order Differential Equations
Solution of differential equations
Linear equations use of integrating factor
The multiplicative factor e5x that permits the equation to be solved is
called the integrating factor and the method of solution applies to
equations of the form:
Pdx
dy
Py Q where e
is the integrating factor
dx
The solution is then given as:
[Link] [Link] where IF e
Pdx
Examples
Substituting
Integrating factor
Higher Order Differential
Equations
Higher Order ODE 2nd Order
REDUCTION OF ORDER
Reduction of Order
A general second order DE has the form
F ( x, y, y' , y" ) 0.
(1)
In this section we consider two special types of second order
equations that can be solved by first order methods.
Type A: Dependent variable missing
When y is not explicitly present, (1) can be written as
f ( x, y' , y" ) 0.
(2)
Let y' p and y" dp dx.
Then (2) transforms into
f ( x, p, dp dx) 0.
If we can solve (3) for p, then (2) can be solved for y.
(3)
Example
Solve the following ODE
x y y 4x
The variable y is missing.
dp
let y p & y
dx
dp
from 1 , x
p 4x
dx
dp 1
p 4 (2)
dx x
which is linear,
IF e
p x 4 x dx c
1
dx
x
log e x
x
2
4x
2
px
c 2x c
2
dy
c
p 2x
dx
x
c
c
dy 2 x x dx dy 2 x x dx
2x
y
c ln x c2
2
y x c ln x c2
2
Example
Solve the DE
Ans.:
xy y ( y) .
3
( y c2 ) c1 x .
2
Type B: Dependent variable missing
When x is not explicitly present, then (1) can be written as
g ( y, y' , y" ) 0.
(4)
dp dp dy
dp
Let y ' p, then y" p
dx dy dx
dy
Then (4) becomes
g ( y, p, p dp dy) 0.
If we can solve (5) for p, then (4) can be solved for y.
(5)
Example
Solve
2 y y 1 y
Here x is not explicitly present
dp
let y p & y p
dy
(1) can be writen as,
dp
2
2 y p 1 p
dy
2 p dp dy
2
1 p
y
ln 1 p ln y ln c1
2
ln 1 p
ln c1 y
1 p c1 y p c1 y 1
2
dy
dy
c1 y 1 c1 y 1
dx
dx
dy
(c y 1) dx 2 (c1 y 1) c1x c2
1
2
Example
Find the specified particular solution of the DE
yy" y y ( y ' ) ;
y 21 and y 1 when x 0.
2
Ans.:
3x
2
2 y 3 8 ye .
Reduction of Order
Derivation (1)
Derivation (2)
Example
Higher Order ODE
HOMOGENOUS LINEAR
EQUATIONS WITH CONSTANT
COEFFICIENTS
Homogenous Linear Equations
with Constant Coefficients (1)
Homogenous Linear Equations
with Constant Coefficients (2)
Example
Higher Order
Higher Order ODE
UNDETERMINED COEFFICIENTS
SUPERPOSITION APPROACH
Undetermined Coefficients
Superposition Approach
Examples
Some notes on form of yp
Trial solutions
Examples
Examples
Higher Order ODE
VARIATION OF PARAMETER
Variation of Parameters
Examples
Higher Order ODE
CAUCHY-EULER EQUATION
Cauchy-Euler Equation
Some notes
Examples
More Examples
solving system of linear
equations
Simultaneous ordinary differential equations
involve two or more equations that contain
derivatives of two or more dependent
variables with respect to a single
independent variable.
The method of systematic elimination for
solving systems of differential equations with
constant coefficient is based on the algebraic
principle of elimination of variables.
The analogue of multiplying an algebraic
equation by a constant is operating on an
ODE with some combination of derivatives.
Examples
Series Solution of Linear
Differential Equations
Review: Power series
Solution about ordinary point
Examples
Classification of singular points
series solution about regular
singular points (Frobeniuss
method)
Bessels and Legendres
equations
Bessel functions of first and second kind
Legendres polynomials
Laplace Transformation
Theory
Transforms of Some Basic
Functions
Inverse Transform
Example
Transforms of Derivatives
Examples
Operational properties
Modeling with Higher Order
Differential Equations
Initial value problems (IVP)
IVP Some Applications
Free Undamped Oscillation
Free Damped Oscillation
May Allah bless you and give barakah to the knowledge you learn
throughout this course Amiin!
END OF COURSE
