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The Theory
of Ordinary
Differential
Equations
J. C. BURKILL S e D FRS
@ UNIVER S I T Y M A TH E MATICAL TEXTS
General Editors
Al exander C. Ai tken DSc FRS
D. E. Rutherford DSc DrMath
OLIVER AND BOYD LTD
UNIVERSITY MATHEMATICAL TEXTS
GENERAL EDITORS
ALEXANDER C. AITKEN, D.Sc., F.R.S.
DANIEL E. RUTHERFORD, D.Sc., DR. MAm.
DBTEIWlNA!nS AND l\IATIUCBS ,
STATISTICAL l\IATD&MATICS
A. C. Aitken, D.Sc., F.R.S.
A. C. Aitken, D.Sc., F.R.S.
Tn TJIEORY OF ORDINARY DlFFBRBNTIAL EQUATIONS
J. C. Durkill, Sc.D., F.R.S.
RussiAN-ENousu l\IATDIWATICAL VocABULARY
J. Durlak M.Sc., Ph.D., and K. Brooke B.A.
WAVES C. A. Coulson, D.Sc., F.R.S.
ELECTIUCITY C. A. Coulson, D.Sc., F.R.S.
Pno.JECDY GnouETRY
INTEGRATION ,
PARTIAL DIFFERENTIATION
R.u. V AlliABLE
INFINITE S&nms
T. E. Faulkner, Ph.D.
R. P. Gillespie, Ph.D.
R. P. Gillespie, Ph.D.
J. M. Hyslop, D.Sc.
J. l\1, Hyslop, D.Sc,
lNTEORATION OF OnniNARY DlFFBRENTIAL EQUATIONS
E. L. lnce, D.Sc.
lNTnoDUCDON TO TOE TunonY OF FD.'ITE GnouPs
\V. Ledermann, Ph.D., D.Sc.
GnnuAN-ENoLisn l\IATIIEliATICAL VocABULARY
S. Macintyre, Ph.D. and E. Witte, M.A.
ANALYTICAL GnouBTnY OF ToRE DmENSIONS
\V. H. McCrea, Ph.D., F.R.S.
TOPOLOGY E. l\1, Patterson, Ph.D.
FuNCTIONS OF A CoMl'LEX VARIABLE E. G. Phillips, M.A., M.Sc.
SPECIAL llnLATIVITY \V, Rindler, Ph.D.
VoLUME AND lNTEoRAL W. W. Rogosinski, Dr.Phil., F.R.S.
VnCTOn l\I&TIIODS D. E. Rutherford, D.Sc., Dr. Math.
CLASSICAL l\lnciiANICS D. E. RutltcrCord, D.Sc., Dr. l\latl1.
FLUID DYNAMICS D. E. RutllerCord, D.Sc., Dr. l\latll.
SPECIAL FUNCDONB OF l\IATDEMATICAL PDYBICB AND CUB1118TRY
I. N. Sneddon, D.Sc.
TENSOR CALCttLUS B. Spain, Ph.D.
To&onY OF EQuATIONS H. \V. Turnbull, F.R.S.
THE THEORY OF ORDINARY
DIFFERENTIAL EQUATIONS
J. C. BURKILL
Sc.D., F.R.S.
FELLOW OF P&TERDOUSE, AND READER IN MATIIEUATICAL ANALYSIS IN
TilE UNIVERSITY OF CAllDRIDCE
OLIVER AND BOYD
EDINBURGH AND LONDON
NEW YORK: INTERSCIENCE PUBLISHERS, INC.
1962
FmST PunLJSIJED 1956
SECOND EDITION 1962
@ Copyright 1962 J. C. BvnKILL
PRINTED IN IIOLLAHD DY NoV DQRITtiA
0
S DRUKKERIJ,
VOORIIEEN BOI!!KDRIJICKERIJ OEIIROEDEIIS IIOI'ISIWA, ORONII<EN
FOR OLIVER AND BOYD LTD., EDINDUKall
PREFACE
Most students of mathematics, science and engineering
realise that the list of standard forms of differential
equations which is presented to them as admitting of
explicit integration is giving them little insight into the
general topic of differential equations and their solutions.
Equations as simple as
y' = 1 + X1J2
and y" = xy
cannot be solved by finite combinations of algebraic, ex-
ponential and trigonometric functions, and many of the
equations which occur in the mathematical expression of
natural phenomena cannot be reduced to any of the soluble
forms.
The object of this text is to outline the theory of which
the standard types arc special cases. We shall see, among
other things, that many properties of solutions of dif-
ferential equations can be deduced directly from the
equations. We shall also develop methods of finding solu-
tions expressed as infinite series or as integrals. This
material has so far been available to the student only in
more substantial books on Differential Equations or in
chapters of treatises on the Theory of Functions.
The theory of differential equations has a high educa-
tional value for the second or third year undergraduate.
Here he will find straightforward and natural applications
of the ideas and theorems of mathematical analysis.
Solutions of equations in infinite series require the in-
vestigation of convergence. Again, some parts of the theory
are seen in a clearer light if the variables arc supposed to
v PREFACE
be complex and the concepts of branch point, analytic
continuation and contour integration arc used.
I have tried to keep in mind that this is a text-book and
not a treatise. Results are stated in the most useful rather
than the most general form. In Chapter I, for instance,
the basic existence theorem is proved, and then various
developments and extensions are indicated without
detailed proof.
This text is closely related to others in the series. Ince's
text includes the necessary background of explicit in-
tegration of the simple types of differential equations. The
texts of Hyslop on Infinite Series and Phillips on Functions
of a Complex Variable contain the theorems in these
subjects that will be applied. Sneddon's account of Special
Functions gives properties of Legendre, Bessel and other
functions from a standpoint rather different from ours.
Some of the examples were set in the l\lathematical
Tripos and are reprinted by permission of the Cambridge
University Press. I am grateful to the general editors and
to the publishers for including this book in their series, and
to Dr. Rutherford for his careful scrutiny of the manuscript
and proof-sheets.
CAMBRIDGE,
September 1955.
J. C. B.
PREFACE TO THE SECOND EDITION
An appendix has been added on Laplace transforms and
one on the equation Ptk + Qdy + Rdz = 0. The interest of
these topics may be manipulative rather than theoretical,
but the student who wishes to be informed on them will
be spared the necessity of turning to a different book.
May 1961. .T. C. B.
CONTENTS
CIIAl'TER J
EXISTENCE OF SOLUTIONS
1. Some problems for investigation
2. Simple ideas about solutions
8. Existence of a solution
4. Extensions of the existence theorem
CRAFl'ER lJ
THE LINEAR EQUATIOS
5. Existence theorem
6. The linear equation
7. Independent solutions
8. Solution of non-homogeneous equations
0. Second-order linear equations
10. Adjoint equations
CHAPTER JJl
OSCILLATION THEOREl\IS
11. Convexity of solutions
12. Zeros of solutions
18. Eigenvalues
14. Eigenfunctions and expansions
CHAPTER JV
SOLUTION IN SERIES
15. Differential equations in complex variables
16. Ordinary and singular points
vii
PAGE
1
2
4
8
12
18
13
17
18
20
25
?:'/
20
81
83
84
CONTENTS
17. Solutions near a regular singularity 86
18. Convergence of the power series 88
19. The second solution when exponents are equal or differ by
an integer 80
20. The method of Frobenius 40
21. The point at infinity 42
22. Bessel's equation 42
CIIAPl'ER V
SINGULARITIES OF EQUATIONS
28. Solutions near a singularity
2-1. Regular and Irregular singularities
25. Equations with assigned singularities
26. The hypergcometric equation
27. The hypergeometric function
28. Expression of F(a, b; c; z) as an integral
20. Fonnulae connecting hypergeomctric functions
80. Confluence of singularities
CIIAPl'ER VI
CONTOUR INTEGRAL SOLUTIONS
81. Solutions expressed as integrals
82. Laplace's linear equation
88. Choice of contours
84. Further examples ot contours
85. Integrals containing a power or C - z
CHAPTER VII
LEGENDRE FUNCTIONS
86. Genesis of Legendre's equation
87. Legendre polynomials
88. Integrals for P,.(::)
89. The genemting function. Recurrence relations
40. The function P,.(z) for geneml v
47
49
61
52
liB
64
65
57
59
59
62
68
05
70
71
72
78
74
CONTENTS ix
CILU'TER VIII
BESSEL FUNCTIONS
41. Genesis of Bessel's equntion 77
42. The solution J.(::) in series 78
43. The genemting function for J,.(::). Heeurrence relations 79
44. Intcgmls for J.(::) 81
45. Contour integmls 82
40. Application of oscillntion theorems 83
CllAI'TER IX
ASYMPTOTIC SERIES
47. Asymptotic series 87
48. Definition and properties of nsymptotic series 88
49. Asymptotic expansion of Bessel function 90
50. Asymptotic solutions or differential equations 94
51. Calculation of zeros of J
0
{x) 95
APPENDIX 1. The Laplace tmnsCorm 97
APPENDIX u. Lines of force and equipotential surfaces lOS
SoLUTIONS OF EXAMPLES 109
BIBLIOGRAPHY 113
INDEX 114
CHAPTER I
EXISTENCE OF SOLUTIONS
1. Some problems for investigation. In a first course
on Differential Equations the student )earns to recognize
certain types which can be solved by finite combinations
of functions known to him (algebraic, trigonometric etc.).
An account of methods of solving these standard forms of
differential equations can be found in Incc's book, Integra-
tion of Ordinary Di!Jerential Equations, in this series of
mathematical texts. This book will be referred to as Incc's
Text and the comprehensive work by the same writer,
Ordinary Dijjerential Equations (Longmans, Green, 1927)
as !nee's Treatise.
There arc many differential equations, simple in ap-
pearance, which arc not reducible to any of the standard
forms. For example, neither of the equations
y' = 1 + ccys,
y" = tcy
can be solved by a finite combination of elementary func-
tions.
This suggests the first problem which calls for investiga-
tion. Under what conditions can we assert that a given
differential equation possesses solutions, apart from our
ability to express the solutions in a particular form? This
problem will be taken up in 8.
A typical problem at a later stage will be to discover
properties of solutions of an equation even when it is im-
possible or inconvenient to obtain explicit expressions for
them. Chapter III contains investigations of this kind.
It is always open to us to extend the list of functions
1
l THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 2
which are regarded as available for solving differential
equations. If an equation, not of one of the standard
forms, has many applications, say to problems of physics,
it may be worth while to give names to its solutions and
thus define new functions; we can study their properties
and make tables of their values. The equation y" = IXIJ
just mentioned (Airy's equation), which presents itself in
problems of diffraction, gives rise to functions called
Ai(a!) and Bi(a!). These functions lie outside the scope of
this book, but an account will be given in Chapters VII
and VIII of the more important functions, Legendre's and
Bessel's, arising from differential equations which occur
repeatedly in applied mathematics.
2. Simple ideas about solutions. Consider the first-
order equation
y' = /(a!, y). (2.1)
To solve this equation we have to find the functions
y = y(x) which satisfy it for all values of a! in an appro-
priate interval, say a - h x a + h. The geometrical
interpretation is that the curve y = y(x) has at every
point a tangent whose gradient is determined by (2.1).
Geometrical intuition leads us to expect that a solution
will exist through a given point x = a, y = b, and that we
can construct the curve representing it by a process such
as the following. Draw a short segment of a straight line
from (a, b) with gradient /(a, b) to the point (xu y
1
).
From (x
1
, y
1
) draw a short segment with gradient j(x
1
, y
1
)
to (x
2
, y
2
); and so on, to (x,., y,.) say. We thus follow the
gradient prescribed by the differential equation. It is at
least plausible that, as the lengths of the segments in the
construction are decreased, the polygons will approximate
to a curve for which y' = j(x, y).
These indications, which do not profess to prove
anything, can be developed into a formal argument. 'V c
shall in fact adopt a rather different approach to the
existence theorem.
2 EXISTENCE OF SOLUTIONS 3
Simple geometrical considerations will often yield quickly
rough graphs of solutions of an equation.
The following examples illustrate these introductory
remarks and lead up to the general existence-theorem,
which will be stated in 3.
E:eample 1.
y' + 2zy =I.
This is a linear equation, with integrating factor &
1
It has the
solution
y = e--r J: e
11
dt,
where a is an arbitrary constant. This integral cannot be integrated
in tcnns or elementary functions, but it def"mes a function or z,
and a unique solution or the equation exists through any assigned
point of the (z, y) plane.
The reader may use this example for practice in the drawing of
rough graphs of solutions. Note the following facts.
(a) The locus of points Cor which y' = constant is the rectangular
hyperbola 1 - 2zy = constant. In particular y' = 0 (U1e locus of the
maxima and minima of the solutions of the differential equation) gives
:7:11 = l.Alsoy' =I oneiU1eraxis.Sketch:7:1J =!and (say):7:11 = 1
us guides.
(b) Differentiating, we find that
y'' + 2z + 2y - .uay = 0.
The sign of y" for a given (z, y) determines whether the solution
is convex or concave, and, in particular, the locus of inflexions of
the solutions is
:t
y= ---
2zl- I
Sketch this as a further guide.
It is now easy, starting at any point and following the value of
y', to draw the solution through that point. It will be found that all
solutions are nsymptotie to the z-axis, from above us :e -+ + co
and from below as :e -+ - co.
E:wmple 2.
y' = J(z), where J(z) = 0 Cor :e < 0
nnd f(z) = 1 for :t o.
Tbe equation has no solution valid for :t = o. The function y defined
4 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 3
by y = C form < 0 andy = m + C form ;::;:; 0 is a continuous function
satisfYing the equation for all oU1er values of z, but it has no derivative
at :z = 0. Plainly the failure is due to the discontinuity of J(z).
&ample 8.
y' = 3y
1
11, given that 1/ = 0 for 01: = o.
There is no unique solution, for y = z:l and y = 0 both satisfy the
requirements.
l\Iore elaborate examples can be constructed of equations y' = f(z, y ),
wiUl J(:z, y) continuous, having infinitely many solutions through
an osslgned point (see example 10 at the end or this chapter).
Ezample 4.
y' = 1 + a:y
1
with y = 0 for m = 0.
This is a Riccati equation (lnce, Text, p. 22) and we should need
to know a particular solution to reduce It according to the standard
method to an integrable form.
We shaD instead use this example to Illustrate the construction of
a solution as an Infinite series by a method or successive approxima-
tions. It is just this method which lViU be used to establish the
general existence theorem.
Let us denote by y
0
, y
1
, y
1
, successive approximations to y,
where
1/'a+l = 1 + 4:1Ja
1

Then, if we cboose Yo = 0, we obtain
lh' = 1,
1Ja' = 1 + z:l,
z'
Ya = z +4
a:' m' mto
Ya = m + 4 + 14 + 160'
We can continue this process as Car as we like and it appears likely
to give a good approximation to the true value of the solution, at
least Cor small values of m.
3. Existence of a solution. After these introductory
remarks we are now in a position to state the main result
of this chapter. We need one definition.
Lipschitz condition. A function q;(y) is said to satisfy
the Lipschitz condition in a given interval if there is a
3
EXISTENCE OF SOLUTIONS 5
constant A such that
ltp(Yl) - tp(Ya)l AiYt - Yzl
for every pair of values y
1
in the interval.
We observe that the condition is certainly satisfied if
jtp'(y)l Its usefulness is that it leads to much the
same consequences as the hypothesis of a bounded deriva-
tive, but the restrictive assumption that the derivative
exists at every point is avoided.
THEOREM 1. Let f(z, y) be continuous in a domain D of
the (z, y) plane and let M be a constant such thai, lf(m, y)l < M
in D. Let f(m, y) sati8fy in D tile Lipschitz condition
in y,
where the constant A is independent of m, y
1
, y
2

Let the rectangle R, defined by
lm - al h, ly - bl k,
lie in D, where lJfh < k. Then, for jm - aj h, the
differential equation
y' = f(m, y)
has a unique solution y = y(m) for which b = y(a).
PROOF. Define the sequence of functions
Yo(m) = b,
Y
1
(m) = b + J: f{t, y
0
(t)}clt,
Yll(m) = b + J: f(t, y
1
(t)}dt,
yfl(m) = b + J: f{t,


We shnU prove that, as n-+ oo, lim Yn(.v) gives the
required solution. There nrc several steps in the proof.
(i) We prove that, for a - h m a + h, the curve
y = Yn(m) liesintllerectangle R, that is to say b-k<y<b+k.
6 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 3
The proof is inductive. If y = y,_
1
(t.ll) lies in R, then
ly,(x) - bl = IJ: f{t, Yn-1(t)}dtl
M jt.ll- al Mh < k.
The same argument shows that ly
1
(t.ll)- b I< k, and
the assertion therefore holds for all n.
(ii) We prove, again by induction, that
ltJ.An-1
IYn(X) - Yn-1(m) I ----n1 1111 - al"
Suppose that this inequality holds with n - 1 in place
of n. Then
y,(m) - Yn-1(x) = J: U(t, Yn-1) - f(t, Yn-ll)}dt.
The modulus of the integrand is at most .AIYn-
1
(t) - Yn-:a(t)l
and so, by the induction hypothesis, at most equal to
M.A"-11t- alll-1/(n- 1)1 Therefore
M.An-l I 1
11
I ltJ.An-1
ly,(m)-Yn-l(m}l (n-l)l a 1t-aln-ltL7J = ----;;r-lm-al"
For n=l, ly
1
(m)-bl
and so the inequality holds for all n.
(iii) The sequence Yn(a:) converges uniformly to a limit for

From (ii) the terms of the series
b + {yl(a:) - b} + + {yn(t.ll) - Yn-l(x)} +
are numerically less than those of the convergent series
ltJ.An-1hn
b + Mh + ... + nl + ...
By the weierstrass M-test, the former series converges
uniformly for a - h ;;a;; m a + h, and since its terms are
3 EXISTENCE OF SOLUTIONS 7
continuous functions of x, its sum, lim y,.(x} = y(x} say,
is continuous. t n .... co
(iv) y = y(x} satisfies the diflerential equation y' = f(x, y).
Since y,.(x} tends uniformly to y(x} in (a- h, a+ h)
and
I f(x, y} - /(x, y,.} I A I y - y,. 1.
it follows that f{x, y,.(x}} tends uniformly to f{x, y(x}}.
By letting n -+- oo in the equation
y,.(x} = b + J: f{t, Yn-l(t)}dt,
we deduce that
y(x} = b + J: f{t, y(t)}dt.
The integrand on the right-hand side is a continuous
function oft, and so the integral has the derivative f(x, y}.
Hence y'(x} = f(x, y}. Also y(a} = b.
(v} Uniqueness of the solution. We now prove that the
solution y = y(x} just found is the only solution for which
y(a} =b.
For suppose there is another, y = Y(x} say, and let
IY(x}- y(x}l ~ B when a- h ~ x ~ a h. (We can
certainly take B = 2k ). Then
Y(x} - y(x} = J: [J{t, Y(t)} -f{t, y(t)}]dt.
But
1/{t, Y(t}} - f{t, y(t)} I ~ A I Y(t) - y(t} I ~ AB.
Therefore
I Y(x} - y(x} I ~ AB I x - a I
we can repeat the argument, obtaining successively as
upper bounds for I Y(x} - y(x) I in (a - h, a + h) the
expressions
ABB A"B
21' Ill - a 1
11
, , nr' Ill - a 1", ...
t See Hyslop, Infinite Series, pp. 70, 73.
8 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 4
But this sequence tends to 0 and so Y(m) = y(x) in
(a- h, a+ h), and the proof of the theorem is complete.
A slightly different version of the above theorem is
sometimes useful; we state it as a Corollary.
CoROLLARY. Let f(x, y) be continuous for a. m p and
all y. Let it satisfy the Lipschitz condition of the theorem.
Then, given a, b, with a. a p, the equation y' = f(m, y)
ha8 a unique solution y = y(m) for a. m p for which
b = y(a).
To establish the corollary we adapt the argument of
theorem 1 by omitting the step (i) and defining the 1lf in
(ii) and (iii) to be the upper bound of lf(x, b) I for
a. ;;i m ;;i p.
4. Extensions of the existence theorem. The basic
existence theorem of 8 may be elaborated in a number
of ways, some of which will be outlined.
THEOREl!.l 2. With the hypotheses of Theorem 1, suppose
that y = Y(m) is the solution for which Y(a} = b +d.
Then, for lx - a I ::=;; h,
!Y(x) - y(m) 1 ;;i deAA.
This means that a small change in the initial conditions
causes only a small change in the solution throughout an
interval.
PnooF. Construct a sequence Yn(m) by the rules
Y
0
(x) = b + 15,
Y
1
(m) = b + 15 +I: f{t, Y
0
(t)}dt,
t
Yn(m) = b + 6 +I: f{t,


As before, Yn(x) converges to the solution Y(x).
I Y
1
(m)- y
1
(x) I ;;i 6 + IJ:If(t, b +d)- f(t, b) ldtl /

4 EXISTENCE OF SOLUTIONS
I Y2(x) - y
11
(x) I c5 + I J: 1/{t, Y1(t)} - f{t, Y1(t)} I dt I
c5 + Ac5 I x - a I + !A
2
c5 I x - a p.1.
By induction,
9
A"c5
IY,.(x)- y,.(x)l c5 + Ac51x-al + ... + -
1
lx- al"
n
c5eAI4>-ol c5eAr.
Let n -+ co and the theorem is proved.
By similar arguments it can be proved that the solutions
of an equation
y' = f(x, y, ).)
vary continuously with the parameter )..
Our next extension is to a system of simultaneous
differential equations. The ideas are shown if we take two
equations
y' = f(x, y, z)
z' = g(a:, y, z)
Y = b } for a: = a
Z=C '
where I and g are continuous and satisfy Lipschitz con-
ditions in y and z. At the nth step we define the pair of
functions
y,.(a:) = b + J: f{t, Yn-l(t), Zn-l(t)}dt,
z,.(x) = c + J: g{t, Yn-l(t), Zn-l(t)}dt,
and use induction to show that y,.(x) and z,.(x) tend to
limits which give the solution required. We shall see in
5 that an equation of order n is equivalent to a system
of n equations of the first order, and so the above extension
yields an existence theorem for equations of order n.
10 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 4
Examples.
- 4k
I. Show that, 1f m_ = -
2
k + I , the equation
y' + y = az"'
4k
can be reduced to one of similar form in which m = - 2k _
1
by
putting m"'+1 =X, (m + l)y = aJY; and show that the new equation
can be reduced to one of the old form with k - I in place of k by
I I f1
putting X = T' Y = X - XS
Solve the equation
y' + Y' = r".
2. Show that, it Yo is any particular integral of
(I) y' = p(m)y + q(m)y + T(z),
then the function I/(y- y
0
) satisfies a linear differential equation
ot the first order.
Show that the cross-mtio of any four given particular integrals
of (1) is independent of m.
Verily that cot m is a solution of the equation
2y' + y
1
sec
1
:11 - y sec m cosec m + 2 cosec
1
m = O,
and f'md the general solution.
8. If f(m) -+ l oa m -+ co, prove that, if a > o, every solution of
the equation
y' + ay =f(m)
tends to the limit lfa as m-+ co. If, however, a < o, only one solution
tends to lfa.
4. Sketch the solutions of each of the equations
1 1
(a) y' + y = m' (b) y'- y = -;;
5. Sketch the solutions of each of the equations
(a) y' = 111
1
+ y
1
- 1,
1
(b) y' = 1 - m
1
- y
1
'
What relation is there between the two sets of curves?
4 EXISTENCE OF SOLUTIONS 11
6. Verify that Ute process of successive approximation or 8
applied to the equation y' = ky yields the known solution. Curry
out the same verification for the pair of simultaneous equations
y' = z, ::' = - y (y = 0, :: = 1, when :z: = 0).
7. Find the solution, for :z: ~ 0, of the equation
y' = max (:z:, y), y(O) = 0.
8. Find the solutions, as far as Ute terms in :z:l, or the equations
(i) y' = zs + siny,
(ii) y' = :z:z,
='=:r+y,
y(O) = 0;
y(O) = 0,
::(0) = 1.
9. Discuss the behaviour ncar the origin of solutions of the equation
(am- bl ::/= 0),
distinguishing the cases (b - l)s + 4am > 0, = 0 or < 0.
10. Define J(:r, y) so that the equation y' = J(:t, y) shall have
solutions
y = A:z:
1
for - 1 ;:;;; A ;:;;; 1 it I y I ;:;;; : ~ :
1

y = z + B tor B > 0 if y > z',
y = - z
1
- B it y < - :z:s.
Prove that j(:r, y) is continuous at (0, 0).
11. R
1
(:z:), R
1
(11l) nrc continuous, and R
1
> R
1
, in 0 ;:;;; :t ~ a
and F(:z:, y) is continuous In (:r, y) for 0 ~ :r ~ a and all y. Given
that y
10
y
1
are solutions In 0 ~ :z: $ a of
y' = F(:r, y) + R
1
(:z:)
respectively wiUt y
1
(0) ~ y
1
(0), prove tlmt y
1
> y
1
in 0 < :t ~ a .
Show that the equation
y' = 1 + y
1
+ :r
1
(:r ~ 0), y(O) = 0
has a solution with a vertical asymptote z = z
0
, where z
0
~ ~ .
CHAPTER II
THE LINEAR EQUATION
5. Existence theorem. Our next task is to obtain an
existence theorem for solutions of the nth order equation
yin) = j(a:, y, y', , , ,, yln-1) ),
where ylnl denotes the nth derivative of y.
Suppose that, for a value E of a:, the values of
y, y', . , yln-u are given to be ?'J ?'Ju , t'Jn-
1
respectively.
What conditions on f arc sufficient to ensure the existence
of a unique solution of the equation in an interval con-
taining e? As we have already remarked on page 9 this
problem can be reduced to that of n first-order equations
with a: as independent variable and n dependent variables
which we shall call y
0
, Yv . , Yn-1
The system of equations
Yo= Y1
y). = Y2
Y ~ ~ = Yn-1
Y ~ 1 = f(a:, Yo Yt Yn-1),
with the initial conditions that Yo = rJ y
1
= ?]
1
, ,
Yn-
1
= t'Jn-
1
for a: = E is equivalent to the given nth
order equation.
The work on page 9 then yields the following existence
theorem.
TnEOREI\1 8. If f(a:, y, y', ... , yln-U) is a continuous
function of its n + I variables in a given n + 1 dimensional
domain D and satisfies a Lipschitz condition in each of
18
6 THE LINEAR EQUATION 13
y, y', . , y<n-u, then there is an interoal of x including ~
in which the equati()n
y<nl = f(x, y, y', , ., y<n-11)
has a unique solution for which
Y = '11 y' = '111 t y<n-1l = 1/n-1
at X = ~ . where ~ , 7J 7J
1
, 'lln-t) is a point of D.
6. The linear equation. The general equation of
order n linear in y and its derivatives is
Po(x)ylnl + Pt(x)yln-11 + . , . + Pn(x}y = r(x).
We shall write the left-hand side as L(y), L being the
differential operator poiJn + ... + Pn We shall assume
throughout this chapter that the p's arc continuous
functions of x for a ::;;: x ~ b, and that p
0
(x) does not
vanish for any such x. Then the existence theorem of
5 in the form indicated by the Corollary on page 8
shows that there is a unique solution y = y(x) for
a ::;;: x::;;: b for which y, y',, . . , y<n-11 take assigned values
for a given value of x.
If r(x} = 0 for a ::;;: x ::;;: b, the equation
L(y) = p
0
(x)ylnl + ... + Pn(x)y = 0 (11}
is homogeneous. Otherwise the equation is non-homo-
geneous and will be referred to ~ (N}. The methods of
solution of these equations depend on two principles. t
(i) H u
1
, , Um are solutions of (H), then, for any
constants c
1
, c
1
u
1
+ ... + c,
1
Um is a solution of (H).
(ii) If u is a solution of (II) and v is a solution of (N),
then u + v is a solution of (N).
We discuss first the equation (H).
7. Independent solutions. A set of functions tt
1
(x), ... ,
tln(x) is said to be linearly dependent in (a, b) if there
t Ince, Text, 87.
14 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 7
are constants c
1
, , en, not all zero, such that
c
1
u
1
+ ... + Cntln = 0 for a a: b.
Otherwise the functions are linearly independent.
A useful criterion for linear independence or dependence
will be given presently. It involves the Wronskian determ-
inant t
ua
u8
u.!n-1) .,(n-1) .,(n-1)
-1 "'I "'n
THEOREM 4. The equation (H) hM not more than n linearly
independent solutions.
PRooF. Suppose that ftt, . , um are solutions of (H),
where m > n.
Let E be any point of (a, b). The n equations

+ ... + = 0
+ ... + Cmu!:-ll(E) = 0,
in m unknowns c
1
, , em have a solution other than
c
1
= ... = Cm=O. *Choosing such a non-trivial solution, write
v(a:) = c
1
u
1
(a:) + ... + Cmum(a:).
Then v(a:) satisfies (H), and the above n equations give
v(E) = v'(E} = ... = = 0.
Buty= 0 satisfies(H)and vanishes with all its derivatives atE.
By the uniqueness theorem, v(a:) = 0 for a b,
that is to say, there is a linear relation connecting
"to Um
THEOREM 5. A necessary condition that a set of n functions
u
1
, , Un, having derivatives of order n - 1, arc linearly
dependent in (a, b) is that W = 0.
t Aitken, Determinants and Matrices, p. 132.
Aitken, p. 68.
7 THE UNEAR EQUATION 15
PRooF. There is a linear relation, tn1e for all a: in (a, b),
CiUl + . , . + CnUn = 0.
Differentiate (n - 1) times. The set of n equations so
obtained is satisfied by a set of c's not all zero. Therefore
W = 0 for all a: in (a, b) and the theorem is proved.
Observe that the condition W = 0 is not sufficient for
the existence of a linear relation connecting a set of
differentiable functions throughout the interval. For
consider
u
1
= afl, u
2
= 0, a: 0,
u
1
= o, u
2
= xll, a: < o.
W = 0 for all Yalues of a:, but there is no linear relation
connecting u
1
and u
8
in an interval including the origin.
In fact two different linear relations u
1
= 0 and u
2
= 0
hold for negative and positive :c respectively.
If, however, the functions are known to be solutions of
a linear differential equation, the next theorem shows
that W = 0 i8 a sufficient condition for linear dependence.
THEOREl'rf 6. If u
1
, , Un arc solutions of (H), and
W(E) = o where a :::;; e b, then the u
1
arc linearly
dependent, and so W(a:) = 0 for all :c in (a, b).
PRoOF. The equations
+ + CnUn(E) = 0,
+ ... + = 0,
having a vanishing determinant, have a set of solutions
c
1
, , en, not all zero. Write
V = C1U1 + ... + CnUn
and argue as in theorem 4. We have v = 0 and the
theorem follows.
We observe that the Wronskian of a set of n solutions
of an equation (II) either vanishes identically or docs not
vanish at all.
16 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 7
A set of n linearly independent solutions of (H) is caJled
a fundamental set.
THEOREM 7. The equation (H) possesses a fundamental
set of solutions, Ut u
11
, , un, say, and its general solution
uthen
y = C
1
u
1
+ C
2
u
11
+ ... + CnUno
where C
1
, C
2
, Cn are arbitrary constants.
PROOF. Choose numbers a
11
(i = 1, ... , n; i = 1, . , n)
with the sole restriction that their determinant does not
vanish. For each j, there exists a solution u
1
(w) such that
the values of u
1
and its first n - 1 derivatives at the
point a: = E are respectively a
11
, , ans A simple
choice of ail would be a
11
= 1, ail = 0 (i =I= j).
By theorem 5 the functions u
1
are linearly independent,
and by theorem 4, every solution is of the form
y = C
1
u
1
+ , .. + CnUn
THEoREM 8. (Liouville's formula).
If W(a:) = W(Ut, U
2
, , Un) is the Wronskian of n
solutions of the equation (H),
Po(.v)ylnl + + Pn(w)y = O,
then
W(a:) = W(E) e.vp { - J" Pt(t) dt}.
f p
0
(t)
PnooF. W'(.v) is the sum of n determinants,
Ll1 + Ll11 + + Ltn
say, where Ltr is got from W by differentiating the rth
row and leaving the others unchanged. Each Ltr except Ltn
has two rows identical and is zero. Hence
W' = uCn-111 ,Jn-111
1 ..... l:
ufnl t4n),,,
8 THE LINEAR EQUATION 17
In the last row, substitute for each ulnl from the equation
Poulnl = -p.uln-11 - - PnU
and again omit vanishing determinants. This gives
p
0
(x)W'(x) = - p
1
(x)W(x).
Integrating this equation, we have the theorem.
8. Solution of non-homogeneous equation. If a
fundamental set of solutions of the homogeneous equation
has been found, the equation
(N)
can be solved by Lagrange's method of variation of
parameters.
Let u
1
, , ttn be n independent solutions of (H). Write
y = V
1
u
1
+ ... + Vnttno
where the V's, instead of being constants, will be functions
of x.
y' = V
1
tt1 + ... + + [Vi'u
1
+ ... +
The V's will be chosen to make the sum of the terms
within square brackets vanish for all x.
Continuing, we have
y" = V
1
ul.' + ... + + [V!ul. + ... +
Again make the sum of the terms in square brackets
zero. Repeat this process up to yln-ll, Finally,
ylnl = y
1
ufn1 + ... + + [Viufn-11 + ... +
l\lake the sum of the terms in these square brackets
equal to r(x)/p
0
(x).
1\lultiplying the expressions for ylnl, , y', y by
p
0
, , Pn-l Pn respectively and adding, we see that y
satisfies (N).
The values assigned to the square brackets provide n
equations for V{, . , The determinant of the coef-
ficients is the Wronskian of the u's and is consequently
18 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 9
not zero. Thus, the n equations for v; have the solution
V/ = W,fW, where W, is got from W by replacing the ith
column by (0, 0, , 0, r/p
0
).
The solution of (N) is then
Y = U. J i dz + + Un J dz,
and so is obtainable by quadratures (i.e. the evaluation
of integrals) from the solution of (H).
9. Second-order linear equation. We turn to possible
methods of solving the general linear equation. From 8,
it is sufficient to discuss (H). One important case is well-
known; if the coefficients are constants, the solution of
the differential equation is found when we have solved the
corresponding algebraic equation (Ince, Text, Chap. V).
For the general linear equation, there are as a rule no
solutions obtainable in finite terms. If such solutions do
exist, they are usually revealed by one of the devices
mentioned below. For brevity the discussion is restricted
to the second-order equation, and, dividing the equation by
p
0
(m), we take the coefficient of y" to be 1.
Reduction of order. In the equation
y" + P1Y' + P'J!J = 0,
write y = uv, where u and v are functions of ~ and arrange
the result as an equation for v,
uv" + (2u' + p
1
u)v' + (u" + p
1
u' + p
11
u)v = 0.
If any particular solution u of the original equation is
known, the coefficient of v in the equation for v vanishes
and we are left with a linear equation for v', and so a value
of v containing two arbitrary constants can be found by
quadratures.
The same method shows that a knowledge of a solution
of the nth order equation reduces the problem to an
equation of order n - 1.
9 THE LINEAR EQUATION 19
Normal form of the second-order equation. In the
last equation choose u to make
2u' + p
1
u = 0,
from which we have
u = exp{-! J Pld.x}.
Then the equation for v becomes
v" + Iv = 0,
where
1 = Pa - P ~ - iJJJ.
This equation, containing no term in v', is said to be in
normal form. A second-order equation in normal form
usually gives the best chance of finding a solution by
inspection.
Factorization of operator. This method is rather
artificial, but it is elegant when applicable. Writing D
for dfdx, we try to express
(D
3
+ P1D + Pa)Y = 0
as (D+u)(D+v)y=O,
where u and v are functions of a: (different of course from
those of the last section). Observe that the operators
D + u and D + v do not commute. If the factorization is
effected, the second-order equation is reduced to two
linear first-order equations
(D + u)z = 0, (D + v)y = z,
which can be solved.
Since (D+u)(D+v)y =Dig+ (u+v)Dy+ (uv+v')y, we
have by comparison with the original equation
u + v = Pl
uv + v' = p
3

The equation for v is then
v' + vpl - v ~ = P t ~
which, being of Riccati's type, is not in general soluble in
lO THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 10
finite terms, even for an equation in normal form with
Pt = o.
10. Adjoint equations. It is natural to ask whether
a search for an integrating factor will help towards solving
the second-order equation. Taking
L(y) = PoY" + PtY' + P'JJ/t
can we find a function z of a: such that
d
zL(y) = da: L
1
(y),
where L
1
(y) is a differential operator of the first order?
Integrating by parts, we have
f zL(y)d.v = pozy'- (poZ)'y + f (PoZ)"yda:
+ PtZV - f (ptz)'yda:
+ f p<f4yd.v.
The integrals on the right-hand side vanish, making zL(y)
an exact differential if z satisfies
M(z) = (PoZ>'' - (ptz)' + Pr = o.
So the finding of an integrating factor involves the
solution of another second-order equation and we are
generally no better off.
The operator M is called the adjoint of L. From the
above argument, we have Laflrange's identity
zL(y)- yM(z) = ! {p
0
(y'z- yz') + (Pt - Po)yz}.
It is easy to verify that the relation of being adjoint is
reciprocal; Lis the adjoint of }Jf. If L, Mare the same,
the equation is self-adjoint. The necessary and sufficient
condition for this is that p
1
= p ~ and the equation in
10 THE LINEAR EQUATION 21
this case is
d ( dy)
d:e Po d:e + P'l!l = o,
and Lagrange's identity reduces to
d
zL(y) - yL(z} = d:e {p
0
(y'z - yz')}.
Some of the most common equations of mathematical
physics are of the self-adjoint form. For example, the
equation of Legendre, discussed in Chapter VII, is self-
adjoint.
Ezamples.
Solve U1e equations 1-8.
1. y"" - y = COS Ill.
2. y'" - 8y' + 2y = 8e".
8. (tl.ll + 1)ty" + a(tl.ll + 1)y' + bty = o.
4. (1 - te)y'' + :ry'- y = (1 - 111)
1

5. (1 + ll
1
)y" + 1111/
1
= 4y.
6. -111) + y'(- Jz
1
+ 1) + y(re- 1) = o.
7. - 111(111 + 2)y' + + 2)y = rei.
8. 1)y" - 2zy' + 2y = (111
1
- I).
0. Find the solution or U1e simultaneous differential equations
tb: dy d::
- dt + dl + tit -
111
+ 2l: = e-
tb: dy d::
dt - dt + dt + :tr = 2e-
tb: dy d:
dt + dt - tit + Ill + 2y = se-
if Ill = y = y
0
, z = ::
0
at t = 0.
It 111, y, :: are the coordinates or a moving point P, prove that P
approaches the origin 0 as l-+ oo. In what direction does P enter 0?
ll THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 10
10. Prove that, if
iii + Q.1l + hy = 0
ii + 11.1: + by = o,
where a > o, b > o, ab > h
1
, and dots denote differentiation with
respect to t, then
oi + iJ + v = c,
where V = a.11
1
+ 2hzy + by.
Hence find upper bounds to the magnitudes of or, 11. oi, iJ in tcnns
of the constant C.
11. VerifY that 11 = e,.. satisries the equation
- 11' + 4.1:'y = 0,
Md deduce the general solution.
12. Given that the equation
L(y) := y" + p,(a:)y' + Pa(a:)y = 0
hns solutions y = cos m Md y = tan m, find the general solution of
the equation
18. It
COB al
L(y) = 1 + sin'm'
cl'y dy (d )(d )
dz' + Q(m) dz + R(m)y = d.1l - u(m) dz - o(a:) 11
f'md a first-order differential equation, not involving 11, satisried
by u.
Apply this to the equation
cPy dy 2
dJll- tanz dz -1 + sinm
11
= O;
using the substitution u cos m = .:, or otherwise, f'md a solution for
u and hence solve completely the given equation.
14. Show that, if /(m) Is continuous for :11 fi:!i 1, then the solution
ot the equation
my"' - y" + IZ1I - y = /(m)
that Is valid for m fi:!i 1 Md is such that 11" = y' = 11 = 0 when
m = 1 may be written In the form
10 THE LINEAR EQUATION
y = I: f(t)g(:r, t)dt,
ami determine the function g(:r, t).
23
15. Show that a necessary and sufficient condition for the ex-
pression
rPy dy
P(z) dzl + Q(z) d;e + R(:r)y
to be expressible in the form
d { dy }
d;e L(z) d;e + M(x)y
is that
P"(x) - Q'(z) + R(x) = o.
Solve completely the differential equation
d ~ y dy
z(1 + x) dJ:I - {n + (n - 2).r} dJ: - ny = zn+l.
16. Prove that the differential equation
:ry" + 2ny' + k;ry = 0,
where n is a positive integer and k a real constant, is satisfied by
y = (2. ~ n u
X d;e '
where u is a solution of the equation
u" + ku = o.
Find the solution of the differential equation
:ry" + 4y' + :ry = 0
for which y = 0 and y' = 1 when x = :r; prove that, when z = 2:r,
y = 1/(S:r).
17. Let u
1
(z), , u.(z) be continuous in (a, b). Write
(1 -;;[, i,j ;;in).
Let G be the determinant of order n (the Gramian) whose clements
arc a
11
Prove that G = 0 is a necessary and sufficient condition
for the linear dependence of u
1
(z), , u,.(z) in (a, b).
24 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 10
18. If

is the general solution of the equation


y" + p
1
y' + p.y = 0, obtain the general solution of the adjoint
equation.
19. Solve the equation
(z + 1)zly'' + :ry'- (z + 1)'1/ = 0,
given thnt there ore two solutions whose product is n constant.
(This example illustrates Ute principle thnt a given fact about
solutions, holding throughout on interval or values or z, can often
be used to reduce by one the order or the differential equation).
20. If Ute equation y" + p.y' + p.y = 0 has two solutions whose
product Is o. constant, find the relation between p
1
and p
1

CHAPTER III
OSCILLATION THEOREMS
11. Convexity of solutions. The theorems of this
chapter show that, although we cannot in general obtain
explicit solutions of second-order equations, a good deal
can be said about their behaviour. Theorems like 12 and
18, which deal with zeros of solutions, their distance apart
etc., are typical and give the title to the chapter.
Consider the homogeneous equation in normal form
y" + g(x)y = 0,
where g(x) is continuous. The key-note of theorems 9
and 10 is that the sign of y" determines whether the curve
y = y(x) is convex or concave.
THEOREM 9. If g(x) < 0 in tile interval (a, b), then any
solution u(x) (not identically 0) of tile equation y" +g(x)y = 0
lias at most one zero in (a, b).
PnooF. Suppose that u(x
0
) = 0. Then u'(x
0
) ::f.= 0, for
if u'(x
0
) = 0 then u(x) = 0 by the uniqueness theorem.
If u'(x
0
) > 0, then there is an interval to the right of x
0
in which u(x) is positive and so, for x > x
0
, the function
u"(x) = - g(x)u(x) is positive; hence u'(x) is an increasing
function. Therefore u(x) has no zero to the right of x
0
,
and similarly none to the left. A like argument holds if
u'(x
0
) < 0. So u(x) has one zero or none in (a, b).
To obtain further results we take account of the magni-
tude of g(x). It will be helpful to compare two equations
y" + g(x)y = 0, (Y)
z" + h(x)z = o. (Z)
116
26 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 11
THEOREM 10. Let g(x) < h(x) for x :2: x
0
Let y(x) be
the solution of (Y) with the initial conditions y(x
0
) = y
0
,
y'(x
0
) = these conditions being such that y(x) > 0 for
some interval to the rigllt of x
0
Let z(x) be the solution of
(Z) satisfying the conditions z(x
0
) = y
0
, z'(x
0
) = Then
y(x) > z(x) for x > x
0
, so long as z(x) > o.
PROOF. (Y) and (Z) give
y"z - yz" = (h - g)yz.
Integrating from x
0
to x, we have
y'z - yz' = r= (h - g)yzdx.
Jzo
The right-hand side is positive so long as y and z are.
. d (Y) y'z-yz' y . . . .
Smce d- - =
11
> 0, - 1s an mcreasmg function.
X Z Z Z
But, for x = x
0
, yfz is 1 if Yo =I= 0 or tends to 1 if Yo = 0.
The theorem follows.
COROLLARY 1. If = 0 for x
0
, then z(q) = 0
for some 11 between x
0
and
ConoLLARY 2. If the values of y(x
0
), y'(x
0
) are such that
y(x) < 0 for an interval to the riglll of x
0
, then the concl!Uion
is that y(x) < z(x) so long as z(x) < o. Both cases are
included in the statement I y(x) I > I z(x) I for x > x
0
, so
long as z(x) does not van-ish.
The following calculation illustrates the use of,a com-
parison differential equation for estimates of magnitude
of solutions.
If, in (Y), as x-+ oo, g(x) -+ -a
11
(a > 0), then, for
arbitrarily small positive 11 any positive solution of (Y)
satisfies the inequalitieB
elo-.,)z < y(x) < elo+.,l=
for all sufliciently large positive x.
Take x
0
large enough to make
(a -!17)
11
< - g(x) < (a+ !11)
11
for x x
0

12
OSCILLATION THEOREMS 27
Taking b = a - !17, construct the solution of z" - b'lz = 0
with z(.r
0
) = y(x
0
), z'(.r
0
) = y'(.r
0
). This is
A&=+ Be-b"',
where A and B depend on y
0
, By theorem 10,
y(x) > A&:r: +Be-&"'
> efa-ql:r: for all sufficiently large .r.
The other inequality is proved similarly.
12. Zeros of solutions. If (Y) has a solution (not
identically 0) with more than one zero, theorem 9 shows
that there must be an interval in which g(x) > 0.
THEOREM 11. A finite value cannot be a limit point
of zeros of a solution u(x) of (Y), unless u(.r) = 0.
PROOF. Suppose Xn, where u(.rn) = 0. Since
u(x) is continuous, = 0. Also
'("') _
1
. u{.rn) - _
0 Uc;-lm -
.,,. ... ( Xn-
By the uniqueness theorem, tt(.r) = 0.
'l'IIEOREllt 12. Tile zeros of two linearly independent
solutions of (Y) interlace i.e. between two consecutive zeros
of one lies a zero of the other.
PROOF. Observe that, if two solutions both vanish at a
point, their Wronskian is 0 and they are linearly dependent
{i.e. one is a constant multiple of the other).
Suppose that tt
1
(x), u
2
{x) arc linearly independent
solutions of (Y), and that oc, fJ are consecutive zeros of
ul(.r).
From ui' + gu
1
= 0, u4' + g1t
2
= 0, we have
ui' u
2
- u
1
= 0.
Integrate from oc to fJ and we have
28 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 12
Hence
Since tX, pare consecutive zeros of u
1
(x), and ul(p)
have opposite signs. Therefore u
2
(tX) and u
2
(p) have op-
posite signs, and so u
2
(x) vanishes at least once between
tX and p. Interchanging the roles of u
1
and u
11
, we see that
their zeros interlace.
THEOREM 18.
If 0 < m < g(x) < M for a x b,
and, if x
0
, x
1
are consecutive zeros (lying in (a, b)) of a
solution of (Y), then
n n
v' M < x1 - Xo < vm.
PaooF. Refer to theorem 10 and its corollaries, and
compare with the equation z" + .Mz = 0. The solution of
this equation which vanishes at x
0
and has = is
,
z =

sin (x- x
0
)y.M.
Since the next zero of z is at x
0
+ ;M, we have
n
tel- Xo > vM'
A similar proof gives the other inequality.
CoROLLARY. The number n of zeros within the interval
(x
0
, x) satisfies
X- Xo ym < n <X- X
0
yJI,J.
n n
Referring again to theorem 10, its corollaries state that
the first zero of z(x) greater than x
0
is to the left of the
first zero of y(x). We now prove by induction that if there
are further zeros, the nth zero Cn of z(x) is to the left of
the t,th zero fJn of y(x). Suppose that Cn-
1
< fJn-
1
Let
13
OSCILLATION THEOREMS 29
y
1
(.r) be the solution of (Y) which vanishes at Cn-
1
and
has the same gradient there as z(.r). By theorem 10, Cn
is to the left of the next zero of y
1
(.r). By theorem 12,
y
1
(.r) has a zero between "ln-
1
and "'n Therefore C,. <11m
completing the induction.
13. Eigenvalues. To lead up to the general theorem
which follows, consider the equation with constant coef-
ficients
y" + ).y = o,
and seek a solution such that y(O} = y(1r) = 0. The
general solution of the equation is
y = A sin -ylh + B cos -ylh
and (assuming that y is not identically 0) the conditions
at 0 and 1r can be satisfied only if .A. has one of the values
1
9
, 2
2
, , ns,
These values of .A. are called eigenvalues (the hybrid
coming from the German translation Eigenwert of charac-
teristic value).
The corresponding solutions, namely sin n.r{n = 1, 2, .. )
are called eigenfunctions; they have the property of
orthogonality i.e.
J: sin m.r sinn.rcl.r = 0, (rn =1= n).
and a function /{.r), for which /{0) = j(1r) = 0, if suf-
ficiently well-behaved, can be expanded as a Fourier series
of multiples of sin nx in the form
00
/(.r) = I: b,. sinn.r,
1
(0 ~ X ; ; ; ; 1r).
TuEORElt 14. Let g(x) > 0 in (a, b). Let Y.t(X) be the
solution of the equation.
y" + lg(x)y = o
30 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 13
for which Y.t(a) = 0, yA(a) = k(i= 0). Then Y.t(b) = 0 if
and only if A ha8 one of an infinite sequence of values
A
1
, A
2
, tending to + co.
PROOF. We shall first prove that any particular zero
(say the mth) of YA(.x) is a continuous function of )... Let
us prove this for A = ot. Enclose the mth zero 17m() in
an interval (c, d) containing no other zero of Ycx(.x). Then
Ycx(c) and Ycx(d) have opposite signs. Now appeal to the
property stated on page 9 of continuous dependence of
solutions on the parameter A. This ensures that, for all )..
sufficiently ncar toot, Y.l(c) and YA(d) have opposite signs,
and so y
1
(.x) has a zero in (c, d). Since (c, d) is arbitrarily
small, this shows that a given zero is a continuous func-
tion of i..
From the last paragraph of 12, 17m().) decreases as A
increases. Let A take values increasing from - co to + co.
For A< 0, by theorem 9, YA(.x) has no zero other than a.
As l -+- co, by theorem 18 (corollary), the number of
zeros of YA(.x) in (a, b) tends to infinity. There are therefore
infinitely many values of A (..t
1
< A
2
< ... ) for which
another zero 'comes into the interval' at b. The function
Yl(.x) for A= A, has zeros at a and b and (n- 1) zeros
inside the interval (a, b).
CoROLLARY 1. If m ~ g(.x) ~ M, then
nl!nll n ~ l l
(b- a)SM ~ A n ~ (b- a ~
This follows from theorem 18 (corollary).
CoROLLARY 2. The argument of the theorem can be extended
to the more general (self-adjoint) equation - the Sturm-
Liouville equation
! { p(.x) } + {q(.x) + Ag(.x)}y = 0,
where p(.x) > O, g(.x) > o.
The change of independent variable
14
OSCILLATION THEOREMS
f
., dt
-
- a p(t)
transforms the equation into
cJ2y
dea + {ql<n + J.gl<eny = o,
to which the methods of the theorem apply.
14. and expansions.
31
From the extension of theorem I4 given in corollary 2
we have for the Sturm-Liouville equntion a sequence of
eigenvalues .'.
1
, .l.
2
, , Ano , and corresponding to An
a solution Un(.x), determined except for a constant mul-
tiplier, which vanishes at a and band at n - I points inside
(a, b). This is called the 11th eigenfunction.
"'e have
(pu:,.)' + (q + .l.,.g)um = 0,
+ (q + = 0.
Multiply these equations by Un and u"', subtract, and
integrate from a to b. This gives
[p(u:nun - + (Am -An) r gumund.x = 0.
a a
The expression in square brackets vanishes at a and b,
and so, if m =fo n,
The functions ttn(.x) may be said to form an orthogonal set
in (a, b) with weight function g(m).
Form = n, we have J: > 0 because the integrand is
positive. The arbitrary multiplier in un may be chosen so
as to make the value of the integral equal to I.
31 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 14
TJIEOREM 15. .All the eigenvalues of the equation
! { p(x):} + {q(x) + Ag(x)}y = o, (a s;; x s;; b),
where p(x) > 0, g(x) > 0, are real.
PROOF. Suppose that there is a complex eigenvalue
..t, = tx + i[J. Then, the coefficients of the equation being
real, the conjugate complex number is also an eigenvalue,
say A. = tx- i[J. Let the eigenfunction corresponding to
..t, be u, = v + iw say. Then u, = v- iw. By the
orthogonal property
r gu,u,ck = 0,
a
which gives
" J g(vS + wS)cJx = o.
a
This can only be true if v = w = 0. Thus the theorem is
proved.
The eigenfunctions form a basis of expansion of an
arbitrary function /(x) for which j(a) = f(b) = 0. Suppose
that
f(x) = c
1
u
1
(x) + ... + CnUn(X) + ...
1\lultiply by g(x)un(x). If the integration term-by-term from
a to b is valid, we have the value of the nth coefficient:
Cn = r g(x)f(x)un(X}dx.
a
This expansion is only formal, and the proof of its
validity under suitable assumptions about j(x) is beyond
the scope of this book. Justification is immediate if all
the un(x) are less than a constant and the uniform con-
vergence of the series is assumed.
Examples of the application of the theorems of this
Chapter to special functions will be found in Chapter VIII
(Bessel functions).
CHAPTER IV
SOLUTION IN SERIES
15. Differential equations in complex variables.
It was remarked in 1 that few types of differential
equations can be solved by a finite number of processes
applied to elementary functions, and the work of Chapters
II and III will have further impressed this fact on the
reader. 'Ve are thus led to investigate solutions which arc
expressible by infinite processes, for example, as the sum
of an infinite series of elementary functions. A type of
infinite series which suggests itself is a power series in x,
00
Y = Cnllln.
n-o
Problems of convergence and manipulation of power
series are as readily dealt with in complex variables as in
real variables, and the question arises whether it is appro-
priate to widen the scope of our discussion of differential
equations and allow the variables to be complex. It is
true that in applications to mechanics or physics the reader
will have become accustomed to real variables, and it may
seem an empty striving after generality to suppose the
variables complex.
The reason why this extension is worth while is that
differential equations derive much of their importance
from the functions which are their solutions. To restrict
the variable of a function to be real is to leave out matters
of the highest interest e.g. the relation between the ex-
ponential and trigonometric functions. In fact, the equation
dw -kw
dz- '
33
34 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 15
where the constant k can be complex, has as solutions
exponential and trigonometric functions, and yields more
than the real equation y' = ky.
The discussion of equations in complex variables provides
a wide field of application of ideas such as branch-point'i,
singularities, ann.lytic continuation, contour integration. t
Our account will be almost entirely restricted to linear
differential equations, and we shall generally suppose them
to be of the second order. It is such equations which define
the most important functions (e.g. Legendre, Bessel).
We write z and w for the independent and dependent
variables, and the equation of order n is
W
Cnl -j(z W w' wCn-11)
- J ' , , t
where w is an analytic function of z, regular except for
certain singularities.
The ideas of Chapter II such ns fundamental sets of
solutions and the theorems based on them apply with only
verbal changes to complex variables.
A reader whose main interest is in the formal process of
obtaining solutions and who is content to pass lightly
over the justification may concentrate his attention on
20, thinking if he wishes in terms of real variables.
16. Ordinary and points. In the linear
equation
w" + p(z)w' + q(z)w = 0,
(16.1)
let p{z) and q(z) be regular for I z- z
0
I < R. Then the
method of successive approximation set out in 2 and
applied in 6 to the real linear equation shows that (16.1)
has a unique solution w = ro(z), regular for I z- z
0
I < R,
for which w(z
0
) and w'(z
0
) take assigned values w
0
,
An alternative method of proof will be developed in this
chapter; the detail is deferred until 17 where it is applied
ton theorem rather more general than the one just stated.
t See Functions of a Complea: Variable.
16 SOLUTIONS IN SERIES 35
DEFINITION. A value z = z
0
for which the coefficients
p(z) and q(z) arc regular is called an ordinary point of
the differential equation. All other points are singular
points or of the equation.
If p(z) and q(z) are regular for all finite z, the solutions
will be regular for all finite z. For R in the first paragraph
can be as large as we like.
If p(z) nnd q(z) have singularities, the solutions will in
general have singularities for the values of z concerned.
Example I.
w''=%U.".
By the remark just made, solutions will be regular for all finite z,
and we may assume expansions in powers of :, t
tv = a
0
+ a
1
: + ... + a,.z" + ...
Substitute in the equation and equate coefficients of powers of ::.
Then
" = o,
n(n - 1 )a .. = a .. _
3
, n 3.
So tv= llo { 1 + + 6 + ... )+at{::+ + 3 .. .7+ ... ).
where a
0
and a
1
are arbitnny eonstnnts (in fnct they nrc the values
of rv and w' for :: = 0).
Example 2.
l.w
tv'=-
:1;
This hns solutions w = A::. The origin is in general a branch
point (e.g. k = ! ); it may be regular (k = 1) or n pole (k = - 1 ).
Example n.
tv
w'=-

Solutions are rv = A exp (- 1/:), which have an essential singularity
at :: = o.
We remark that the positions of singularities of solutions
of a differential equation may or may not depend on the
t Phillips, p. 05.
36 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 17
initial conditions. In examples 2 and 8, the singularity is at
z = 0, whatever the initial conditions, and the singularity
is fixed. In fact, a linear equation can only have fixed
singularities. The next example gives an equation with
movable singularities.
E3:ample 4.
wm' + z = 0.
Solutions arc
to
1
+ zl =A,
and, if w = w
0
Cor z = .zo, this gives
w = (wX + Z: - :)%.
The singularities (branch-points) of w depend on w
0
, :
0
, and indeed
any value or z is a bmneh point Cor suitable w
0
, Zo
17. Solutions near a regular singularity. If, in the
equation (16.1 ), p(z) and q(z) have singularities at z
0
,
the solutions will in general have singularities there.
If, however, (z - z
0
)p(z) and (z - z
0
)
11
q(z) arc regular, or,
in other words, p(z) has at most a pole of order one and
q(z) a pole of order two, the singularities at z
0
of the
solutions will be found to be of a clearly defined kind,
and z
0
will be called a regular singularity of the equation.
We shall for brevity take z
0
= 0.
A simple example gives much information about the
solutions ncar a regular singularity.
EMmple.
a b
w" + - w' + - w = 0.
:: ='
The origin Is a regular singularity. This is Euler's linear equution
(lnee, Text, p. 101) and the substitution : = reduces it to the
equation with constant coefficients
tPw dw
tJCl +(a- 1) tiC + bw = 0.
The solution or tllis is
m = AtftC + Btf.C (p
1
=ft. p
1
),
or w = (A + BC}t!'' (p
1
= p
1
},
17
SOLUTION IN SERIES
where p
1
and p
1
arc the roots or the quadmtie
p(p - I) + ap + b = o.
So the solutions of the original equation are
w = Az"l + B:.P
or w = (A + B log :.)z"l
in the respective cases of unequal and equal roots.
37
Thus the solutions in geneml are many-valued functions having
bmneh-points at ::: = 0, and in the equal-root case, if w
1
(z) is the
solution zP1 immediately given by the root p
1
, a second solution is
w
1
(z) log:..
Formal calculation of solutions of
w" + p(z)w' + q(z)w = 0,
where zp(z) and z
2
q(z) are regular at z = o.
There is a circle, centre z = 0, in which
zp(z) = Po + PtZ + . . + p,.zn + .. .
z
9
q(z) = q
0
+ q
1
z + ... + q,.zn + .. .
Try to solve the equation by
w = zP(c
0
+ c
1
z + ... + cnzn + ... ) (c
0
=I= 0).
Substitute and equate coefficients of zP-2, zP-1, , , zp+n-2,
We obtain
Co{p(p- 1) + PPo + qo} = 0,
c1{(P + 1 )p + (p + 1 )Po + qo} + Co(PP1 + ql) = 0.
For the (n + 1 )th equation, write for brevity
F(p) = p(p- 1) + PPo + qo,
and it is
n-1
CnF(p + n) + c,{(p + s)Pn-a + qn_,} = 0. (17.1)
s-0
The first equation gives the quadratic for p
F(p) = o.
This is called the indicial equation, and its roots, say
p
1
and p
2
, arc the exponents at the value of z (z = 0)
under consideration. The equations after the first give
successively the values of c
1
, , cn, .. in terms of c
0
The
equations arc linear, and, for each value of p, the c's are
38 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 18
uniquely determined unless, for some value of n, the
coefficient of Cn in the equation for cn vanishes, that is to
say, F(p + n) = 0. If p
1
- p
2
= n, then p = p
1
gives a
(formal) solution, but F(p
2
+ n) = 0 and the process does
not, in general, give a solution for p = p
2
l\loreover, if
p
1
= p
2
, we obtain only one solution. Leaving aside until
19 the further investigation required when the indicia}
equation has equal roots or roots differing by an integer,
we establish the convergence of the power series Ec,;;.n
which has been found.
18. of the power series.
THEOREM 16. With the notation of 17, suppose that
zp(z) and z
2
q(z) are regular for I z I < R. Then the series
obtained corresponding to a value p satisfying tile indicial
equation converges for I z I < R.
PuooF. If the series terminates, this is true; suppose
that it is an infinite series. Let p' be the other root of the
indicial equation.
From (17.1), Cn is given by
n-1
n(u+p- p')cn = - l: c,{(p + S)Pn-s + qn-al (18.1)
saO
We enter upon a majorising argument, replacing every
Cn by a number Cn such that I en I :S: Cn.
Let r be any number less than R. By Cauchy's inequality
there is a number K = K(r), t independent of n, for which
I Pn I ;;i I qn I ;;i (n = 0, I, 2,. .).
The modulus of the right-hand side of (18.1) is then less
than or equal to
Kn:Ell c II PI+ s + 1.
-o r"
t PWllips, Fu11ctions of a Complez Variable, p. DO, Corollary.
SOLUTION IN SERIES
39
Write 1 p - p' 1 = A., I p 1 = I' and define C,. by the rules
Ca = I c,. I for 0 :5: n < i.,
n-1 p+a+1
Cnn(n- i.) = K C, for n :::;:::: i.. (18.2)
s-o rn-
From (18.2) we shall show that, as n -+ oo,
C,. -+_!_ {18.8)
Cn-1 T
For subtract the (n- 1 )th equation of the type (18.2)
divided through by r from the nth and we have
n(n - .l)C,. - (n - 1 )(n - 1 - i.) C,._
1
= K(p + n) C,._
1
,
T T
Divide through by C,._
1
n(n- i.), let n -+ oo and we
obtain (18.8).
Therefore the radius of convergence of J: C,.z" is r.
But, from the definition of the C,., we have I c,. I C,..
Therefore the radius of convergence of J:c,.z" is at least r.
But r is any number less than R. Therefore J:c,.z" converges
for I z I < R, and this is what we set out to prove.
19. The second solution when exponents are equal
or differ by an
Letw = w
0
(z) = zP(c
0
+ c
1
z + ... + c,.z" + ... )be the
one solution obtained. Let p' be the other root of the
indicia! equation; we shall write v for the positive integer
p - p' + 1. From the indicial equation p + p' = 1 - p
0
,
and so 2p +Po= v.
The method of reduction of order ( 9} will be used to
find a second solution from the known solution w
0
Write
w = w
0
v, and the equation for v is
w
0
v" + + p(z )w
0
}v' = 0,
from which
v' = exp{- f'p(C)dC}
40 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 20
A
- liP( + + )ll exp( -p0 log z- p
1
z- P r ~ ... )
Z Co c
1
z ,
A
- "( + + )ll exp(- PtZ- !PsZ
11
- )
Z c
0
c
1
z , , ,
A
= ZV g(z),
where g(z) is regular at the origin and g(O) = 1/c'f,. In a
circle, centre z = 0, g(z) can be expanded in a Taylor series
a
0
+ a
1
z + ... , (a
0
=I= 0).
Integrate v' to obtain v, and we have for the second
solution any constant multiple of
w
0
(z) {- (v _ a;)zv-t- . - a:-ll + a.,_1log z+a..z+. l
This is
co
D
11
_
1
w
0
(z) log z + zP' :E bnZ" (19.1)
A-D
If the roots of the indicial equation are equal, v = 1 and
p' = p, and since a
0
=1= o, the term in log z is always present.
For roots differing by an integer, it may happen that
a.,_
1
= 0, and in that case there is no logarithmic term.
20. The method of Frobenius. It will be noticed
that in 19 there is no means of finding the general term
in the expansion of g(z), and so we look for other methods
better adapted to giving the general term in the solution.
One way would be to substitute the known form (19.1)
of the solution in the equation and find the b, by equating
coefficients of powers of z. Another method is that of
Frobenius (1873), which will now be explained.
Assume as before
w = zP(c
0
+ c
1
z + ... ).
Let p
1
and p
2
be the exponents. The equation (17.1) for
c
11
is
n-1
Cn(p + n- p
1
)(p + n- p
11
) + :E c,{(p + s)p,_. + q,_,} = 0.
a-0
20 SOLUTION IN SERIES 41
Insert in the series the values of the coefficients en in
terms of p, but do not yet put p equal to p
1
or p
2
, and we
have an expansion
w = c
0
W = CoZP{l + zil(p) + ... + z"fn(p) + ... },
where
{ + p(z)! + q(z)} lV = zP-
3
(p - pd(p -
Differentiate each side with respect to p. The order of
differentiation with respect to z and p may be interchanged,
and so
{
d2 d } dlV d
dz2 + p(z) dz + q(z) dp = dp {zP-S(p - Pl)(p - P2)}.
(i) EQUAL ROOTS. P1 = P2
The right-hand side is 0 for p = p
1
, and so
( lV)p
1
and arc solutions.
p P1
(ddlV) = zP log z{l + z/
1
(p
1
) + ... } + zP{z/i(p
1
) + ... },
p p\
which 1s of the form found in 19.
Note that the /n(P) are rational functions, and so


is best calculated by logarithmic differentiation.
(ii) RooTS DIFFERING BY AN INTEGER. p
1
= p
2
+ n.
( lV)p
1
is a solution. In general the j's from /n(P) onwards
have a factor p - p
2
in the denominator. Write
Wl = (p- Ps)W.
Then
{ :::s + p(z) ! + q(z)} lVl = zP-S(p - Pt)(p - P2)2,
Possible solutions are (W
1
)p
1
, (W
1
)p
1
, (ddlV
1
} The second
P Pa
of these is a multiple of the first (the lowest power of z in
42 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 2.1
each is z/'1 }, and the third is the solution we are seeking.
For an example in which there is a factor p-p
9
in the
numerator of fn(P} cancelling the one in the denominator,
so that the solution with exponent Pais valid, see 22 (iii).
21. The point at infinity. In complex variable theory,
the plane in which values of the variable z are represented
is completed by the addition of a single point at infinity.t
The point z = oo u an ordinary point of the equation
w" + p(z)w' + q(z)w = 0
if 2z - z2p(z} and z'q(z}
are regular at z = oo.
It is a regular singularity if zp(z} and z
9
q(z} are regular.
Put z = 1/l;, so that z = oo corresponds to C = 0, and
denote differentiations with respect to C by dots. Then
w' = -wca.
w" = wC' + 2wc:'.
So the equation with C as independent variable is
.. { 2 1 ( 1 )} . 1 ( 1 )
w + C - CS P C w + C' q C w = o.
The conditions for C = 0 to be an ordinary point are
that the coefficients of w and w shall be regular at C = 0.
This gives the first result.
Also C = 0 is a regular singularity if
~ p { and ~
8
q {
are regular at C = 0, This gives the second result.
22. Bessel's equation. An illustration of the method
of 20 is provided by Bessel's equation
z'Lro" + zw' + (zll - v
2
)w = 0
t Phillips, Functions of a Complez Variable, p. 9 and p. 102.
22 SOLUTION IN SERIES 43
(where v is a constant), which will be investigated more
fully in Chapter VIII. The point z = 0 is a regular singu-
larity, and we shall obtain solutions in the cases (i) v = O,
(ii) v = I, (iii) v = l
Put
w = zP(c
0
+ c
1
z + ... + c,.z" + ... )
in the equation, and equate coefficients of powers of z.
We have
co(Pll - vll) = O,
cl{(p + I)ll- vll} = 0,
c,.{(p + n)
11
- v
2
} + Cn-u = 0, (n :.:;::: 2).
The indicia} equation gives p = v or p = - v.
(i) v = o. Here the exponents are equal. We write
{
zll (- I )"2'" }
lV = zP I - (p + 2 )ll + ... + (p + 2 )2 ... (p + 2n )S + . .. .
Then w
1
=(lV)p-o and wa = (aaw} are solutions. We have
'P p ~ o
z2 z2n
wl = 1- 2D + ... + (-1)" 21l"(nl)ll + ... ,
oo ( _ I )n-lzDn ( I I )
Wa = wllog z + n ~ l 21l"(nl)11 I+ 2 + ... + n
The general solution is w = Aw
1
+ Bw
2

(ii) v =I. The exponents are p = I and p = -I, dif-
fering by an integer. In the notation of 20 (ii),
lVl = zP { (p + I) - p ~ 8 + (p + 8 ~ p + 5) - }
p = I gives the solution
44 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 22
A second solution is (&W
1
/&p)p ... -l or
Ws = log z {- ; + 4. - 211 6 + ... ) +
z-l{I+ ;: -2:4. (: + !) + +: + + .. .).
the coefficient of log z being - !w
1

(iii) v =}.The exponents!, -!again differ by an in-
teger, but here the solution contains no term in log z.
p =!gives
w = co3ll ( 1 - + - ... }
p =-!gives
w = CoZ-ll (1- ;; + ... ) + c
1
z-% (z- + .. .).
This is the complete solution, the coefficient of c
1
being
a repetition of the solution obtained from p = t
It happens that the solution can be expressed in finite
form
z-%(c
0
cos z + c
1
sin z).
Ezamples.
By tile trial solution w = zP(c
0
+ c
1
z + ... ) or otherwise, solve
completely the equations 1-12
1. 4::(1 - :)w" + 2(1 - 2:)w' + w = o.
2. (2: + 4:8)w" - w' - 24::w = o.
3. z'w" + :w' + (z - k11)w = 0 for k = ! and Cor k = 2.
4. :(1 - :)w" - (1 + :)w' + w = 0.
5. :(I + :)w" - :(1 + 2:)w' + (1 + 2z)w = 0.
6. :w" + w' - 4:w = 0.
7. ro"' = :ttt.
8. :w" = w.
o. :
1
(1 - :)lw" + :(1 - :)(1 - 2:)w' - w = 0.
22 SOLUTION IN SERIES
10. 2(2 - ::)::lw" - (4 - z)::w' + (3 - ::)w = o.
11. zw" + (1 + 4%
1
)w' + 4:(1 + :
1
)w = 0.
12 . .::Ito"- (5.::: + k:
1
)w' + (5 + Ok:)w = 0.
13. Integrate the equation
:ry"+ky'-y=O
45
by the method of solution in series (i) when the constant k is not
an integer, (ii) when k = 1.
Express the general solution in finite form when k = !
14. Find a solution as a power series in z of the equntion
z(z- l)y" + 8xy' + y = 0,
and state where the series converges. Identify the ratlonnl function
of z represented by the series and derive a second independent
solution of the differential cquntion.
15. Integrate in series the equation
x(1- 4z)y"+{(4p- 6)z- p + I}y'- p(p- 1)y = o,
and express the solution in the form
A{I + (I - u)Y.}P + B{1 - (1 - .J.r)Y.}P.
16. Find the complete solution in series to the equation
x(l + 2z
1
)y" + 2y' - 12:ry = 0,
and give the range of vulucs of z for which it is valid.
17. Solve in series the equation
::w" + (p + q + ::)w' + pw = 0,
with particular reference to the case p + q = 1.
18. Solve in series the equation
:w" + (2 + a:)w' + (a + b:)w = 0.
(The recurrence rclution connecting the coefficients contains three
terms c,., c,._
1
, Cn-t Such a rclution determines c., as un explicit
function of n only if, us In this example, it is of u speclnl form. For
un illustration of a method of dealing with three-term relations which
cannot be explicitly solved, see Jeffreys and Jeffreys, lllelhods of
Mathematical Physics, p. 485).
46 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS ll
19. Solve the equntion
z1(1 + :)lm" + :(1 - :
1
)10' + (1 + : + 2zl)w = o
(The indicial equation has complex roots. In all preceding exnmples
the roots have been real, and this is the important ease In pmctlce.
For a complex exponent the solution will contain cosines and sines
of multiples or log :, and Ute behaviour or these functions ncar z = 0
does not correspond to natuml phenomena).
20. Show Utnt the differential equation
y' = Y' + m', y(O) = 0,
can be formally sol\'ed by a power series
co
y = Ja:l(l +
n-1
find a recurrence relation for the coefficient a
0
, and deduce that the
series converges 12.
Compare your solution with the solution or the differential equation
:' = :
1
+ 1, :(1) = y(1)
and deduce Utnt the series dl\'erges for z = 1 + J\n.
CIIAPTER V
SINGULARITIES OF EQUATIONS
23. Solutions near a In Chapter IV
solutions in the form of infinite series were obtained near a
regular singularity of a differential equation. The following
discussion throws further light on the distinction between
regular and irregular singularities.
In the equation
w" + p(z)w' + q(z)w = 0,
we suppose that z = 0 is a singularity of one or both of
p(z) and q(z) and that there is a circleS with centre z = 0
in which they are one-valued and have no other singularities.
If z
0
is any point (not 0) inside S, there are two linearly
independent solutions of the equation
w" + p(z)w' + q(z)w = 0,
say w
1
(z) and w
2
(z), regular in a circle centre z
0
These
solutions have analytic continuations along a path in S
enclosing the origin and returning to z
0
Let the functions
so obtained as the continuations of w
1
(z) and w
2
(z) be
W
1
(z) and W
2
(z) respectively.
The functions obtained at each step of the process of
continuation satisfy the differential equation, and any
solution is the sum of constant multiples of the functions
of a fundamental set. Therefore
W
1
(z) = aw
1
(z) + bw
11
(z)
= cw
1
(z) + dw
2
(z)
where ad- be=#= o. (If ad= be, then cW
1
(z)-aW
11
(z) = 0,
and so, carrying out the analytic continuation in the
67
48 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 23
opposite direction along the path,

aw
2
{z) = 0 which
contradicts the linear independence of w
1
and w
8
.)
We now find the condition that a solution when con-
tinued round z = 0 is unaltered except for a constant
multiplier.
Any solution w, regular at z
0
, can be expressed as
tX'W1 + Pwa
By continuation round z = 0 this becomes
cx(aw
1
+ bw
2
) + p(cw
1
+ dw
2
).
This expression is of the form ).(cxw
1
+ pw
2
) if
cx(a - ).) + pc = O,
and cxb + p(d- .t) = 0;
. , . r Ia-). c I
1.e. ,. must satts y b d _ ). = 0.
(28.1)
CAsE (i) UNEQUAL ROOTS ).
1
, ).
2

We can take a new fundamental set of solutions at z
0
,
calling w
1
(z) the solution which acquires the multiplier ).
1
,
and w
2
(z) that which acquires the multiplier
The function zP acquires a multiplier eS"'P in going
round z = 0. So, if 2nip
1
= log ).
1
and 2nip
2
= log J.a,
then :rP1w
1
(z) and :rPaw
2
(z) are single-valued in S and
can be expanded in Laurent series. So we have the
canonical fundamental set of solutions near the singularity
%=0
co co
w
1
(z) = %1'1 l: a,.n, w
2
(z) = zPl: b,_n, {28.2)
-co -co
CASE (ii) EQUAL ROOTS ).
1
,
There is, as in case (i), a solution w
1
whose continuation
is W
1
= ).
1
w
1
Suppose that W
2
is the continuation of
cw
1
+ dw
8
Then the equation corresponding to {28.1)
I
;.. -). c I = 0
0 d-).
24 SINGULARITIES OF EQUATIONS
has equal roots A = Ar So d = A
1
and
H'2 =toll+.!:...,
wl wl A.l
49
that is to say, w
2
fw
1
is increased by cfA.
1
when z goes round
the origin. Therefore
Wa __ c_logz
w
1
2niA
1
is single-valued in S and can be expanded in a Laurent
series. This gives for the canonical fundamental set in the
equal-root case
00
w
1
(z) = zPt ~ anzn,
-oo
00
w
2
(z) = zP, ~ bnZn + kw
1
(z) log z.
-oo
(28.8)
24. Regular and irregular singularities. The process
set out in 28 of investigating solutions which acquire a
constant multiplier by analytic continuation round a
singularity is not a practical one for the calculation of
coefficients in the solutions, and we must think of ways of
finding the an and bn in the canonical forms. The most
00
natural is to assume w = zP ~ anzn, substitute in the
-co
differential equation and equate coefficients of powers
of z. If we do this (on the lines of 17) it is apparent
that the Laurent series will give rise to equations containing
infinitely many unknowns, and they arc manageable only
if the Laurent series contain finitely many negative powers.
It is this case which is singled out as a regular singularity.
The best definition is now seen to be the following.
DEFINITION. An isolated singularity z =a of a differen-
tial equation is called regular if there is a constant k such
that, for every solution w(z),
(z- a)tw(z) ~ 0 as z ~ a
SO THE THEORY Of ORDINARY DIFFERENTIAL EQUATIONS 24
The singularity is called irregular if it is not regular.
It is clear that, if the Laurent series have only finitely
many negative powers, the singularity is regular according
to the definition. The converse is true. For, choosing k to
be m - p
1
where tn is a integer, we have for w
1
,
co
:E a.a(z- a)n -+0 as 2 -+a, from which an= 0 for n ;S; 0.
-co
A similar remark holds for w
8

The next theorem shows that the definition of regular
singularity just given accords with the usage of Chapter IV.
We again take a = 0 for brevity.
THEOREM 17. Necessary and sufficient conditiom for
z = 0 to be a regular singularity oj the equation
w" + p(z)w' + q(z)w = 0
are that zp(2) and z
11
q(z) are regular at 2 = 0 (at least one
oj p(z) and q(z) having a singularity there).
PROOF. The sufficiency has already been established by
the finding of the solutions in 17- 19. We prove the
necessity.
From (28.2) and (28.8) we have solutions
w
1
(z) = z/'1 :E a,zn,
w
11
(z) = 71' :E b,.zn + kw
1
(z) log z,
where Pll = p
1
if k =1:- O, and in which the Laurent series
have finitely many negative powers.
Since w
1
and w
11
satisfy the differential equation, we have
(
z) = _ W 1 ~ - w.l'w2 = _ .!!...[]o {w11 !:.._ {Wz) }]
p W 1 W ~ - wl'W
11
dz g
1
dz W
1
25
SINGULARITIES OF EQUATIONS 51
w ()()
Now 2 = k log z + zPa-Pa+m .t CnZ", where m is an
Wt 0
integer, c
0
=F 0, and p
2
= Pt if k =I= 0. Consequently,
.!!_(tea) = k + zPa-Pa+m-t ~ dnz",
dz Wt Z o
~ {Wu) = - .!:_ + zPa-Pa+m-2 ~ e z".
dz2 tOt zll o n
The quotient of the last expression by the preceding is
regular or has a pole of order one at z = 0; the same is
true of w ~ f w
1
and therefore of p(z}.
Since Wt satisfies the given differential equation, we have
w1' ~
q(z} = ---p(z}-
tOt tOt
Since w;jw
1
, w!' fw; and p(:::} are regular or have poles of
order one, therefore q(z} is regular or has a pole of order
one or two. This proves the theorem.
25. Equations with assigned singularities. In this
section we admit only second-order differential equations
whose singularities for finite z or for z = co arc regular. t
There is at least one finite value of z for which such an
equation has a singularity, unless the equation is w" = 0.
For an equation with no singularity for a finite z is of
the form
w" + p(z)w' + q(z)w = 0,
where p(z} and q(z} are regular for all finite z. But unless
p(z} = q(z} = 0, the singularity for z = co is irregular.
An equation whose only finite singularity is at z = a is
of the form
"+ b , c (b )
w --w + ( }:tw = O, , c constants.
z-a z-a
This equation has a singularity at z =co. unless b = 2, c = 0.
t See 16, 17, 21.
52 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 16
For the general equation with a singularity at a is
w" + p(.z) w' + q(.z) w = 0,
2- a (2- a)2
where p(.z) and q(.z) are regular for all finite z.
From 21, the singularity at 2 = co can only be regular
if p(2) and q(2) are constants. From 21 again, the con-
ditions for 2 = co to be an ordinary point are b = 2, c = 0,
in which case the equation integrates to
A
W=--+B.
z-a
Equation w i t ~ two singularities. If the singularities are
at 2 = a, 2 = b, while z = oo is an ordinary point, we
can reduce this ease to the last by the transformation
C = (.z- a)/(2- b), which gives an equation inC with 0
and co as singularities.
26. The hypergeometric equation. We next con-
sider equations with three regular singularities. Any three
points can be transformed by a bilinear substitution into
0, 1, co. t We shall obtain a standard form of equation
having singularities at 0, 1, oo.
Take the equation
w" + p(z)w' + q(2)rv = 0.
Then z(1 - 2)p(2) and 2
11
(1 - z)
9
q(z) are regular for all
finite 2 and zp(z), .zllq(z) are regular for z = co. So the most
general forms of p(z) and q(z) are
p(z) =Po+ P1Z, q(z) = qo + qlz + q'l!-
9
,
z(1 - z) zB(1 - 2):1
We may, by a change of dependent variable
w = ZCX(1 - z)l' W,
suppose that for each of the values z = 0 and z = 1 one of
the two exponents is zero.
t Phillips, Furn:tions of a Comple:t Varillble, p. 40.
27
SINGULARITIES OF EQUATIONS 53
If, then,
W = c
0
+ c
1
z + , , , , (Co =/= 0)
satisfies the equation, we find by substituting in the
equation that q
0
= 0, so that z is a factor of the numerator
of q(z ). So, for the same reason, is l - z. The equation is
now reduced to
z{1 - z)w" + (p
0
+ p
1
z)w' + q
1
w = 0.
The coefficients p
0
, p
1
, q
1
are most conveniently expressed
in terms of the exponents at z = oo, and the exponent
other than zero at z = 0, Let the exponents at oo be a, b.
Putting
1 ( c
1
)
W=- c
0
+-+
zP z
we find the indicia) equation at oo to be
- p(p + 1) - PtP + ql = 0.
If the roots are a, b, then
ab = - q
1
, a + b = - p
1
- I.
The final form of the equation is
z{1- z)w" + {c- (a+ b + 1)z}w'- abw = 0, {26.1)
where the remaining exponent at z = 0 is 1 - c.
This is the bypergeometric equation.
27. The bypergeometric function. Solutions of
(26.1) near z = 0 arc given by
w =zP(c
0
+ c
1
z +,,, + c,.zn +,, .).
'Ve know already that p = 0 or 1 -c. The recurrence
relation is found to be
{p + n + a )(p + n + b)
c,.+l = (p + n + 1){p + n + c)c,..
54 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 28
If c is not a negative integer, p = 0 gives the solution
a.b
I+-
1
-21+ .
c
+ a(a + 1) (a+n -l)b(b + 1) . (b +n-1) n
nlc(c +I) . (c + n- I) z +
This series will be called F(a, b; c; z), the hypergeometrlc
function. The radius of convergence of the series is
found to be 1; this could also be predicted from the fact
that the singu]arity nearest to 21 = 0 is z = 1.
The second solution near z = 0 is
z1-cF(a - c + 1, b - c + 1; 2 - c; z),
on the assumption that c is not an integer. In further
work with hypergeometric functions, we shall assume that
the exponents at any singularity under consideration do
not differ by zero or an integer.
With three parameters a, b, c at our disposal, it is easy
to fit many common functions into hypergeometric
form, for example
(1 - 21)n = F(- n, 1; 1; 21),
log (1 - z) = -zF(l, 1; 2; z),
arc sin z - zF(! !. z?.)
- B' i' B' '
28. Expression of F (a, b; c; z) as an integral. We
assume throughout this section that Rc > Rb > 0.
THEoREM 18.
F(a, b; c; z) = f!-1(1 - t)c-ll-1(1- zt)-dt,
(28.1)
where (1 - zt)-o ha8 its principal value.
PROOF. If lzl < 1,
F(a)r(b) F( b . ) _ F(a+n)F(b+n) n (
28
.
2
)
F(c) a, 'c,
21
-n-o r(1+n)F(c+n)
21
'
29
SINGULARITIES OF EQUATIONS
55
From the first Eulerian integral t
F(b+n)F(c-b) = B(b+n, c-b) = J
1
f>+n-
1
(
1
-t)c-b-ldt,
F(c+n) o
The right-band side of (28.2) may therefore be written
1 oo J1 zn
=-:-----:-:- .E tll+n-1(1- t)c-li-
1
F(a + n)-dt.
F(c- b) naO 0 nl
zntn
If 1 z 1 < 1, the series .E F(a + n) """"1i! converges
uniformly with respect to t for 0 ~ t s 1. So
00 1 Jl 00
.Efdt= dt.E,
n-o o 0 n-o
and the right-hand side of (28.2) becomes
1 J1 00 ~
t&-1(1 - t)e-b-
1
.E F(a + n) -dt
F(c- b)
0
n-o nl
= F(a) J1 t"-1(1 - t)c-&-1(1 - zt)-odt.
F(c- b)
0
This gives (28.1). The right-hand side of (28.1) is a regular
function of z in the whole plane, cut along the real axis
from 1 to + co. This provides the analytic continuation
of F(a, b; c; z) outside the circle I z I < 1 in which it was
defined by the series.
29. Formulae connecting hypergeometric func-
tions. There are vast numbers of relations connecting
hypergeometric functions with different parameters, and
we give only a few, choosing those which rest on interesting
work in convergence or manipulation of gamma-functions.
We prove first
THEOREM 19. If R(c- a- b) > 0, the series for
F(a, b; c; 1) converges and
F(c)r(c- a- b)
F(a, b; c; 1) = F(c- a)r(c- b)
t Gillespie, lntegratUm, 88.
56 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 29
PnooF. If Un is the nth term in the series for F(a, b; c; 1 ),
Un =(1+n)(c+n)=
1
+c-a-b+1
Un+
1
(a + n)(b + n) n + nil
Convergence is shown by Gauss's test.
Then, from Abel's limit theorem, t
F(a, b; c; 1) =lim F(a, b; c; a:)
= ... 1-0
J:tb-
1
(1-t)c-b-l(1-a:t)-a dt, from {28.1)
- r{c) J1 .111-1( )c--o-6-ldt
- F(b)F(c-b) o ,-
1
- t '
since this last integral exists, and (1 - -+ (1 -
uniformly for 0 t 1 if Ra 0, whereas, if Ra > O,
I (1 - I I {1 - I
in which case Weierstrass's M-test for integrals applies.
Since
J
1 F(b)r(c - a - b)
t}l-1(1 - t)C-<1-b-ldt = ,
o F(c- a)
we have the result.
This method of proof is subject to the limitation of
28 that Rc > Rb > 0. The result, however, is true
independently of this.
Finally we prove a formula connecting hypergeometric
functions of z and 1 - z.
The solutions convergent for I z I < I are
F(a, b; c; z), (i)
zt-cF(a- c + 1, b- c + 1; 2- c; z). (ii)
If we write z = 1 - C in the hypergeometric equation
(26.1 ), it becomes
d'lw dm
C(1-C) flC3 +{(a+b-c+1)-(a+b+1)C} dC -abm = 0.
t For the 0-notation, Gauss's test. and Abel's theorem, sec Hyslop,
Infinite Series, pp. 14, 40, 80.
30 SINGULARITIES OF EQUATIONS
57
Writing down the solutions of this equation valid for
I C I < I and replacing C by I - z, we have
F(a, b; a+ b- c +I; 1 - z), (iii)
(I - z)c-a-IIJ'(c- b, c- a; c-a-b+ 1; I - z). (iv)
The functions (i )-(iv) are solutions of the hypergcometric
equation in the domain common to the circles I z I < 1,
li-z I < 1. There must be two linear identities connecting
them. One of these is
(i) = A(iii) + B(iv).
We shall obtain the constants A, B. Let z -+ 1 along the
real axis. We have
F(c)F(c- a- b)_ A
F(c- a)F(c- b)- '
Similarly z -+ 0 gives
1
=AF(a+b-c+I)F(1-c) + BF(c-a-b+I)F(l-c).
F(a-c+1)F(b-c+1) F(1-b)F(1-a)
Mter some manipulation we can deduce that
B = F(c)F(a+b-c).
F(a)F(b)
30. Confluence of
The function & is not of the form F(a, b; c; z). It can,
however, easily be shown to be lim F(a, b; a; zfb ).
11-+00
The equation of which F(a, b; c; zJb) is a solution is
(
z) , ( a+ 1 ) ,
z 1 - b w + c- z - -b- z w - aw = o.
This has regular singularities at 0, b, co. When b -+ co,
we have the confluence of the two singularities b, co.
The equation then becomes
zw" + (c - z)w' - aw = 0,
with a regular singularity at z = 0 and a singularity at
co that is easily seen to be irregular.
58 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 30
Information about solutions of this last equation is
more easily obtained directly than by limiting operations
on hypergeometric functions.
E:ramples.
1. Prove that the solutions of
::w" - (1 + z)w' + w = 0
in powers or z are regular at :: = 0.
A value such as :: = 0 in tllis equation which, according to the
definition, is a singularity or the equation but at which t11e solutions
are regular may be called an apparent singularity.
2. For the equation
:'w" + (1 + :)w' - aw = o,
which bas an irregular singularity at z = o, prove tllat, in general
t11cre is no solution or t11e Corm zl'r(z), where r(::) is regular at :: = 0;
if, however, a is the square or an integer there is one such solution.
Obtain this solution when a = 4.
B. Prove that the equation
z'w" + z'w' + w = 0
has no solution zl'r(::), where r(:) is regular at z = 0.
Prove that z = oo Is a regular singularity of the equation.
4. Prove that there Is a solution of the equation
:a(1 + z)w" + :(1 + 2:)w' - (1 + 2:)w = 0
regular at : = 0.
Find also a solution regular at::= oo, and write down the general
solution of the equation.
5. Prove that, if I z I < 1,
f
n/9 d(J
o ..; {1 -:: sin1 0} = lnF(!, !;
1
; ::).
6. Prove that, ira- b is not an integer, the general solution or
the hypergeometrie equation In powers of 1/z is
A::-OF(a, a-c+1; a-b+1; 1/z) + r ~ F b , b-c+l; b-a+1; 1/::).
7. Prove that
F(a, b; c; z) = (1 - z)-F(a, c- b; c;::
1
)
CHAPTER VI
CONTOUR INTEGRAL SOLUTIONS
31. Solutions expressed as integrals. Because
solutions of a differential equation cannot in general be
expressed as a finite combination of elementary functions,
we were led in Chapter IV to investigate solutions expressed
as infinite series of such functions (powers of z - a).
Another common way of carrying out a limiting process
on elementary functions is by integration with respect to
a parameter e.g.
tp(x) = r f(x, t)dt
4
In this chapter we shall set out to find solutions of dif-
ferential equations in this form.
The solution will be most manageable if it is the in-
tegral of a real function with respect to a real variable,
but there are advantages in discussing the problem on
the wider basis of complex function-theory and seeking
solutions
w = f c /(z, C)dC,
where C is a contour in the C-plane.
\Ve make one remark here to save constant repetition
throughout the chapter. \Yhen an integrand contains a
function such as (C - a ~ < , which is many-valued, it is to
be understood that one of its values is fixed for a suitnble
value of C, and that this chosen branch of the function is
followed along the contour of integration.
60
60 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 32
32. Laplace's linear equation. As an example of an
equation whose solutions arc conveniently expressed as
complex integrals, we take the nth order equation
(anz+bn)wlnl + ... + (a
1
z+b
1
)w'+(aoZ+b
0
)w = 0, (82.1)
in which the coefficients of w and its derivatives are of
the first degree in z. This equation in real variables is
discussed by !nee, Text, p. 104.
Try to solve the equation by
w = fc
for a suitable choice of the function P(C) and the contour
C. It will be seen in the light of experience why this is a
hopeful trial solution. Substitute for w and its derivatives
in the equation. We assume that P(C) and Care such that
the derivatives are given by differentiating with respect to
z under the sign of integration.
The differential equation is satisfied if
where
and
fa e-tP(C){z Q(C) + = o,
Q(C) = anCn + ... + OtC + ao
R(C) = bnCn + + b1C + bo
The integrand is an exact derivative
:!._ {eCS(C)}
dC
if
and
S(C) = P(C)Q(C)
S'(C) = P(C)R(C).
So S(C) can be found from
S'(C) R(C) k1 kn
S(C) = Q(C) = ko + C- 1 +' .. + C- n'
32 CONTOUR INTEGRAL SOLUTIONS 61
where ot
1
, , <Xn arc the zeros of Q((,"), assumed for the
present all different. So we can take
S((,") = ekot(C - ot
1
)ka ((," - otn)t,.
and P((,") = ekoC((," - cx
1
)t,-1 ((," - n)t..-1,
The integral f c ~ {e='S(C)}d(." = [eCS(C)Jc and this van-
ishes if the contour C is chosen so that
[tp{C)]c = [el+kolt(C - ot1)t
1
(C - otn)t lc = 0,
Before embarking on a general discussion of the choice
of contours it will be helpful to consider an illustrative
example.
Eommple.
:ml' + (p + q + z)w' +pro = 0.
Take w = Jce''P(C)tJC. The reader is advised to carry through
the detail for bimsclr, and he will rind that
f c ~ C H C + I)HtJC
is a solution if
[etcp<C + I)'lc = o.
It is convenient to replace C by - C, and then
Jce-'cP-l(I - C)HtJC
is a solution it
[e-CCP(l - C)']c = o.
Suppose for simplicity that z, p, q arc real. Ir p > 0 or q > O, the
intcgmted part in square brnckcts vanishes at C = 0 or C = I
respectively. Ir z > 0 or :: < O, it vanishes at C = oo or C = - oo
respectively. \Ve arrive thus at solutions of the equation, or which
the following are typical, where C is the interval of the rcnl axis
specified.
If p > 0, q > 0, C is (0, 1 );
p > 0, z < 0, C is (- oo, 0).
If p < 0, q < 0, :t < 0, no single segment of the real nxis meets
62 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 33
the requirements Cor C, but we can take o contour composed of the
port or the real axis Crom - co to - 15, then o circle of rndius (j and
centre the origin, und then returning from - IJ to - co.
These indications do not profe88 to give the complete solution of
the example, but they lend up to the next section.
33. Choice of contours. In the general case of 82,
there arc various possible types of contour C. The condition
[fP(C)Jc = 0 is satisfied if C is closed and fP(C) returns to
its initial value after describing it. In this case, C must
contain at least one of the points ex,. inside it, for if not
it would give only the trivial solution w = 0. Another
possibility is to make C go to infinity in one or more
directions for which fP(C} -+ 0; as fP(C) depends on z,
these directions will depend on the values of z.
When C goes round the point cx
1
counter-clockwise the
power (C - cx
1
)k
1
is multiplied by e2'Zft
1
We can therefore
define a C for which [fP(C)Jc = 0 by taking a loop round
each of cx
1
and :a twice in opposite directions (a double-
loop contour), as shown in the figure.
Fig. 1.
For clearness in the diagram, the parts of the contour
are drawn out separately; they can in fact be circles
described twice round
1
and a together with segments
of the line joining them. By taking double-loop contours
round cx
1
and each of
2
, , ,. in turn we obtain n - 1
independent solutions of the equation and these solutions
have the advantage of being valid for all values of z.
These n - 1 solutions may be expected to be indepen-
dent; a general formal proof of independence (e.g. by the
34 CONTOUR INTEGRAL SOLUTIONS 63
Wronskian criterion of 7) would be formidable. If it is
possible to deform one contour cl continuously into
another C
2
without passing over any of the points ex
1
,
then integrals along cl and c'i! yield the same solution of
the differential equation; if such a deformation is not
possible, the values of the integrals arc in general different.
The reader will sec that it is impossible to deform one of
the double-loop contours defined in the last paragraph
into another without passing over points ex
1

To construct an nth independent solution of the equation
valid for given values of z, choose a direction in the 4,
plane for which the real part of (z + k
0
)C is negative, and
take as the contour of integration, say, one coming from
infinity in that direction, encircling ex
1
(and no other ex)
and returning to infinity in the same direction. (Fig. 2)
Fig. 2.
It is possible to define each of the n solutions by a
contour of this type instead of taking n- I double-loop
contours and only one of this type.
34. Further examples of contours. General prin-
ciples governing choice of contours have been laid down
in 88. Some details have still to be clarified - for instance,
we have still to show how to find n independent solutions
when the ex's arc not all different. The procedure to be
followed will be seen more readily from a study of particular
examples than from description in general terms. As a first
example it is instructive to see how the technique of 82
would yield the known solution of the linear equation with
constant coefficients.
64 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 34
E:mmple 1.
bAwiAI + ... + b
1
w' + b
0
ro = 0.
We lind that Jc is a solution if
f c = o,
where
R(C) = bAC" + ... + b
1
C + b
0

Suppose that (C - /1)' is a factor or R(C).
Then
f c P(C)R(C)dC = o
iC
Ar A
1
P(C) = <C - /1)' + ... + c - p + p(C),
where p(C) is regular at C = fJ, and Cis a contour enclosing fJ and
no other zero or R(C).
From Cauchy's Integral formula,
fc = e=fl(B,_,::-1 + ... + Bo),
where the B's are constants. This gives the r independent solutions
corresponding to the rfold root fl.
The next example shows that a double-loop contour
encircling two branch-points of P(C) may sometimes be
replaced by a simpler contour - a figure-of-eight going
round the two points in opposite directions.
E:wmple 2.
lllfD" + (2v + l)ro' + lilUI = 0, (v =constant).
A solution is w = J c e='(C' + 1 )-! cJC,
where [e-'(C' + l)l'f-l]c = o.
This condition is satisfied if C is a figure-of-eight contour, one
loop containing C = i and the other C = - i, since the factors
exp ( 2ni (v + !)} acquired respectively by (C -i)'*! and (C + if+l
cancel. (We are supposing that v has not one or the values 1. f, &, ,
which would give ro = 0}.
34 CONTOUR INTEGRAL SOLUTIONS 65
In this example, the result is simplified if we change the variable
C to it, so as to trnnsform i into 1.
Then w = Jce
111
(1 - P)r-idt is a solution, with the following ns
possible choices or c.
(i) if v > - !. the strnight line from - 1 to + 1,
and, if v has not one of the values !. f, & ,
(ii) a figure-of-eight round - 1 and + 1,
(iii) if:: is real and positive, a contour coming from and returning
to infinity along the positive imaginary axis and going round - 1
and + 1.
The next example illustrates contours going to infinity
in different directions.
E:xample 3.
w'' =%t.V.
(This hns been solved in series as Example 1 of 16). The sub
stitution w = gives P(C) = e-lC", where C has to
satisfy
[p(C)]c = [e=C-!C"Jc = o.
Now (whatever the value of::), tp(C)-+- 0 as C tends to infinity \\ith its
amplitude lying within any of three sectors, namely (-i {i
5
;).
[ (-i J or 8
1
, 8
1
, 8
3
say. So we can take as contours C giving
independent solutionK, e.g. (i) one coming from infinity in 8
1
and
going to infinity in 8
1
, (ii) one coming from infinity in 8
1
and going
to infinity in sl.
35. Integrals a power of 1; - z.
The feature of Laplace's linear equation (82.1) which
suits it to solution by integrals of which the 'kernel' is
e=C is the linearity in z of the coefficient of each w<r>; the
integrand resulting from substitution in the given differen-
tial equation is an exact first dcrivntive of n function
e:CS(l;) and the differential equation determining 8(1;) is
of the first order. If the coefficients of wlrl are polynomials
66 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 35
of degree m, then we should have to try to express the
integrand as an m-th derivative, and the ensuing differential
equation for S((;) is of order m, and it may not be easier
to solve than the original equation.
It is natural to ask whether contour integrals having
kernels of other than exponential form may be of service
in solving differential equations. One other useful form is
Jc<C- z)A+
1
P(C)d(;, (85.1)
where A. is a constant to be chosen. We shall show that this
form is appropriate to an equation in which the coefficient
of w<rl is a polynomial of degree r in z. We shall give the
detail for the second-order equation
q(z)w" + l(z)w' + kw = 0, (85.2)
q(z) being quadratic in z, l(z) linear and k a constant.
First we write equation (85.2) in the form
q(z)w" - A.q'(z)w' + !A.(A. + 1 )q"(z)w
- r(z)w' + (A.+ l)r'(z)w = 0. (85.8)
This is possible because comparison of the coefficients of
w' and w in (85.2) and (85.8) determines A. and the linear
function r(z). (For the detail see Example, p. 67).
The equation (85.8) is satisfied by the integral (85.1) if
r P(C) [A.(i.+ 1}((;-z)A-l(q(z)+ ((;-z}q'(z)+!(C -z)llq"(z}}J d(;-o
Jc +(i.+1)((;-z)
1
{r(z)+(C-z)r'(z)} - '
that is to say, if
J cP((;){i.(C -z)A-
1
q(C)+((; -z)
1
r(C)}dC = o.
The integrand is
if
and
d
- {S(C)(C - z)
1
}
dC
S(C) = P(C)q(C)
S'(C) = P((;)r((;).
35 CONTOUR INTEGRAL SOLUTIONS 67
So S(C) can be found from
S'(C) = r(C) = +
S(C) q(C) C - 1 C - tx11
We thus find that
w = Jc<C- tx.)i,-
1
(C-

z).t+ldC
is a solution of the equation (85.2) if C is chosen so that
[(C - cx
1
)"1(C - cx
2
)"a(C - z).l]c = 0.
The contour C is to be chosen by the principles developed
in 88.
E:wmple.
Apply the above method to the hypergeometric cqm1tion (26.1)
::(1 - z)w" + {c- (a+ b + 1)z}w'- abw = o.
With the notation of the general discussion, we have
q(z) = z(1 - z),
l(l - 2::) + r(z) = (a + b + l)z - c,
!l(l +I)(- 2) + (..t + 1)r'(z) = - ab
Eliminating r(z), we find ..t = -a - 1 or ..t = - b- 1. Taking
..t = -a- 1, we find r(z) =(a- c + 1)- (a- b + 1)z. So
S'(C) r(C) a - c + 1 c - b
S(C) = q(C) = C - 1 - C
and we have the solution
w = Jcco-(1 - C)H-
1
(C- z)-adC, {35.4)
where C is such tlmt
[C"-<+'(1 - - z)-"-'lc = o.
C cnn nlwnyll be taken to be 11 double-loop contour round C = 0
and C = 1 or round C = 0 and C = z, unless the values or a, b, c
nrc such 118 to nllow a llimpler type or contour.
The second value A = - b - 1 gives a contour Integral solution
got by lnterciUIIIging a and b In (85.4).
68 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 35
II in (85.4) we put C = 1/q, we obtain
W = f fj&-1(1 - fj)H-1(1 - Z1J)-Od1J
along an appropriate contour. When Rc > Rb > 0, this integral
can be taken along the segment (0, 1) or the real axis, and this is
the expression already found in 28.
E:ramples.
1. Find a solution of the differential equation
w" - 2zw' + 2/aD = o (k ;;;:; 0)
of the form JcebC:f(C)cJC, describing two possible types of contour C.
Show that, if k is a positive integer, there is a solution of the form
tP
H.(::)= (-1)e:- ch'e-.
2. For the equation of example 1, obtain also solutions
f ec c-t-ik(1 - C>-!+l"cJC, z f e=c c-!-!k(1 - C>l"tiC
along appropriate contours.
8. Find solutions In series of the differential equation
y" - 'J.ry' + 2Ay = 0.
Investigate also solutions of the Corm fceb
1
u(l)dt, where Cis a
suitable contour. Show in particular that, if). < O, two solutions are
J
eo - 1
1
9 ~ ~ : 1 t-A-1 dl and Jeo e-ll+lh:l t-l-1 dl
o -eo
and recover the solutions in series from these.
4. Prove that the differential equation
::w" + 2aw' - zw = o,
where a Is a real constant, may be satisfied by taking
m = Jc<P- 1)-tedl,
where C Is a suitable contour. Show, in particular, that possible
forms of contour are
35 CONTOUR INTEGRAL SOLUTIONS 69
(I) a figure or eight encircling the points t = 1 and t = - 1 in
opposite directions;
(ii) a path coming along the negative real axis from - oo and
returning to - oo along Ute negative real axis after encircling Ute
point t = - 1, provided Ulat R: > 0;
(iii) Ute real axis from t = - 1 to t = 1, provided that a> 0;
(iv) the real axis from - oo to - 1, provided that a > 0 and
R:> o.
Show that, when the stated conditions arc satisfied, the solution
given by (ii) is a constant multiple of that given by (iv). Verity
that, when a = 0, the contours (i) and (ii) give two linearly in-
dependent solutions.
5, Show Uiat Ute equation
Dny- :zy = 0
is satisfied by
11 = r ~ o A,wr J
0
00
exp {wn - n':'
1
} dt,
n
where co= exp {2ni/(n + 1)} and ~ A = 0.
r-o
6. Prove that the equation
::w"+cw'-w=O
has solutions of the form
zl-c I e=C+l/t c-c cJC,
specifying the appropriate contours.
7. Obtain the complete solution in contour integrals of the equation
zw"' + w = 0.
Examples 1, 4, 7, 18 of Chapter IV arc also suitable for solution
by contour integrals.
CHAPTER VII
LEGENDRE FUNCTIONS
36. Genesis of Le11endre's equation. Many problems
of mathematical physics involve the finding of a function V
which satisfies Laplace's equation
aav + a:av + aav = 0
(;l:z:S aya oz'l.
and also satisfies certain boundary conditions (for example,
if V is electrostatic potential, it is constant on the surface
of a conductor). Any simplifying feature of the problem
specialises the form of solution of Laplace's equation that
has to be found. We shall suppose in what follows that
there is symmetry about a line, which is taken to be the
z-axis.
Laplace's equation transformed to spherical polar
coordinates
is
:z: = r sin 0 cos rp, y = r sin 0 sin rp, z = r cos 0
asv _! 8V ..!:_ asv + cot08V + 1 8
11
V _
0
or
9
+ r or+ r9 80
2
r
2
80 r
11
sin
11
0 orp" -
We are then interested in solutions which are independent
of rp. Putting V = rne, where f?J is a function of 0 only,
so that V is homogeneous and of degree n, we find
dlf?J de
dOS + cotO dO + n(n + 1)@ = o,
or, changing the independent variable to p. = cos 0,
tiSe de
(1 - p.
9
) dp.s- 2p. dp. + n(n + 1}9 = 0,
70
37 LEGENDRE FUNCTIONS 71
a second-order equation for 8 as a function of I' This
is Legendre's equation.
In physical applications e and p. arc real and -I p ~ I
In investigating the functions which are defined as solutions
of the equation, we get a more comprehensive picture if
the variables are complex, and we replace e, p, by w, z,
obtaining
(I - z
2
)w"- 2zw' + n(n + I}w = 0, (86.1)
an equation with regular singularities at - 1, I, oo.
37. Legendre polynomials. It will be shown that,
if n is a positive integer or zero, Legendre's equation
(86.I) has a polynomial solution of degree n. The coef-
ficients of powers of z in the polynomial are found most
readily if we solve in series of powers of 1/z. Write
I ( c
1
c, )
w = -P c
0
+ - + .. + - + . .
z z z'
Substituting in the equation and equating coefficients
of z-P, we have the indicia! equation
- p(p + I) + 2p + n(n + 1) = 0,
giving p = n + 1 or p = - n.
We obtain the recurrence relation
c,(p + r + n)(p + r- n -1) = c,_
2
(p + r- I)(p + r- 2).
The exponent p = - n gives the solution
=Azn{I- n(n-1) _
11
+n(n-I)(n-2)(n-8) -4 _ }
w 2(2n-1}
2
2. 4(2n-1)(2n-8} z .. '
This is a polynomial of degree n.
We define P
11
(z) to be the value of w when
(2n)l
A= 2n(nl)
1
'
72 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 38
so that
1 " (-l)r(2n-2r)l
P (z) = - I: zn-llr
" 2",...
0
rl(n-r)l(n-2r)! '
(87.1)
where p is !nor !(n- 1) according as n is even or odd.
If will be seen later that this choice of the constant A
makes P,.(l) = 1.
Since 0 S:: 2n - 2r < n when p + 1 S:: r S:: ~ it follows
dn
that ck" zlln-llr vanishes when p + 1 ~ r S:: n. Consequently
the expression (87.1) for P,.(z) gives
1 n (-IV d"
P,.(z) = 2" ~ rl(n- r)l ck" zlln-llr
1 d" " {- 1 )r n I
= -- -- I: z2n-2r
2"n1 dz" r-o rl(n- r)l
1 dn
=--(zll- 1)" (87.2)
2"n1 dz"
The formula (37.2) is known as Rodrigues' formula.
38. Integrals for P,.{z).
Apply Cauchy's formula for the nth derivative of a
regular function (Phillips, Text, p. 95)
d" n I J /(C)dC
dz" /(z) = 2ni c (C - z)"+
1
to Rodrigues' formula for P,.(z) and we have SchUifll's
integral
(88.1)
where C is a contour enclosing C = z.
We shall show how Schliifli's integral can be transformed
into one in which the variable of integration is real.
Take Cto be the circle with centre z and radius lz'-11%.
39 LEGENDRE FUNCTIONS
1'hen on this contour C we have

(-:n<p::s;;::n),
Ct- I = (zS- I)(I + e21'1') + 2z(zt- I)V.ei'l'
= 2(z' - I )Y. + (z' - I )Y. cos qy }.
Substitute in Schliifli's integral and we have
P .. (z) =

.. {z + (zll- I)% cosp}"dp,


or, since the integrand is an even function of rp,
73
I J" P .. (z) =- {z + (zll- I)% cos p}"dp.
:n 0
(38.2)
The formula (38.2) is Laplace's inte11ral for P,.(z).
In the foregoing urgument it is indifferent which branch
of (z
9
- I)% is chosen.
39. The 11eneratinl1 function. Recurrence relations.
TnEOREM 20. lflhl is sulficiently small, and if (I-2zh+h
11
)!
takes that value wllich is + I when h = o, then
1
(l _
2
zh + hll)Y =I+ hP
1
(z) + ... + h"P .. (z) +... (39.I)
PaooF. Laplace's integral (38.2) for P .. (z) gives
00 I CXI J"
I: h"Pn(z)=- I: hn{(z+(zli-I)Yocosrp}"dqy.
n-o :n n-o o
If now
I hI {I z I + I z
3
- 1 lv.} ::s;;: k < I,
the geometrical progression
00
I: h"(z + (zll- I)% cos qy}"
n-o
converges uniformly with respect to qy. It may therefore
74 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 40
be integrated term-by-term with respect to rp giving
00 1 J" dtp
:E hnP,.(z) =- .
n-o n
0
1- hz- h(z
11
-1)%cosrp
The integral on the right-hand side is an elementary one
whose value is n(1 - 2zh + h
2
)-l and so we have proved
that
00 1
= (1- 2zh + h3 )%
To obtain a recurrence relation connecting consecutive
Pn(z), differentiate the last equation with respect to h
and we obtain
00 00
{1 - 2zh + h2) :E nhn-lPn(z) = (z- h) :E hnPn(z).
n-o n-o
Equate coefficients of hn-t and we have
nPn(z) - (2n- 1)zPn_
1
(z) + (n- 1)Pn-a(z) = 0 (89.2)
Again, differentiating the generating function and the
series, we find that
00 00
h :E nhn-
1
Pn(z) = (z- h) :E
n-o n-o
and so, by equating coefficients of hn,

= nP,.(z).
From these recurrence relations a number of others can
be obtained.
40. The function P
11
(z) for general v. Put v for n in
Schlafli's integral (88.1), and write
1 f (C
11
- 1)"c1C
w = 2ni c 2"(C - z)P+
1
'
specifying the branches of the many-valued functions.
40 LEGENDRE FUNCTIONS 75
The contour C will be defined in a moment. With the
above value of w, we find that
(1 - z
11
)w" - 2zw' + v(v + 1 )w
v + 1 J d { (t;a - 1 )V+l}
= 2ni. 2v C dl; (?; - z)V+D cJC
V + 1 [(Cll - 1 )V+l]
= 2:ni. 2V (?;- z)v+a c'
We have therefore a solution of Legendre's equation if
C is such that the expression in square brackets returns
to its initial value. Possible choices of C are
(i) A simple contour containing ?; = 1 and t; = z, but
not l; =- 1,
(ii) A figure of eight round C = - 1 and C = I, not
containing C = z.
These contours are not deformable into one another and
the functions defined by them arc independent. The
choice (i) for C defines w = Pv(z).
1'aking (ii) for C, we define the resulting solution of
Legendre's equation to be a multiple (4i sin vn) of Qv(z).
For an account of the properties of the function Qv(z), as
well as for further discussion of Pv(z), the reader is referred
to Sneddon's Text, The Special Functicms of Physics and
Chemistry.
E:mmples.
1. From Rodrigues' formula prove by integration by parts that
J
1
P.,(z)P,.(z)d.r = 0 (m :;z!: n).
-1
Prove also (i) from Rodrigues' formula, (ii) from the genemting
function, U1at
J
l = _2_.
-1 2n + 1
This example illustrates the fact thut U1erc is a sense in which
the numbers i. = n(n + 1) arc the eigenvalues of the equation
76 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 40
(1 - x
1
)y" - 2.%1/' + ).y = 0
for the interval (- 1, 1 ), the P.(z) being the corresponding eigen
functions. But this fact docs not follow from the theorems given in
Chapter Ill without further discussion, because x = - 1 and x = 1
arc singularities or the equation.
2. Express P.(z) as the hypergeometric function
F(n + 1, - n; 1; l- !z).
8. Prove that the second solution of Legendre's equation in the
neighbourhood of z = co is
Az-n-lF(!n + Ji, !n + 1; n + D; z-
1
).
Culling Q
9
(::) the value of this function when A = nltn ) ,
2"+1F n + i
prove that
Qn(Z) = -
1
- Jl (1 - 1
1
)" (1 - ..!.)-n-ldt.
(2z)+l -1 z
4. Legendre's equation being of the type discussed in 85, use
that method to obtain the integral or 40.
CIIAPTER VIII
BESSEL FUNCTIONS
41. Genesis of Bessel's equation. In 22 we used
Bessel's equation
zlw" + zw' + (zll- v
11
)w = 0 (41.1)
to illustrate solution in series. The equation hns a regular
singularity at z = 0 and an irregular at z = oo.
We show how Bessel's equation emerges from physical
problems. The wave-equation, with x, y, z us Cartesian
coordinates and t as time, is
(.JilV (.)llV ()IV 1 o
9
V
-+-+-=--
o.x
9
oy
9
oz
11
c
2
ata
In cylindrical coordinates with x = r cos 0, y = r sin 0,
the equation is
o
2
V 1 oV 1 o
1
V o
2
V 1 o
2
V
or
1
+ r Or + ,a o0
2
+ oz
2
= c
9
ot
2

Seek solutions of the form t
V = R(r)&(O)Z(z)T(t),
where, by the method of separation of variables, R, e,
Z, T satisfy the equations
d'l.R + _.!._ dR - ml R + nBJl = 0,
dr
9
r dr r
2
d2f)
-=-mae
d0
2
'
d2Z
dz2 = -qsz,
d
2
T
dt2 = - c'lpaT, n2 = ps - q2.
t C. A. Coulson, JVaves, p. 10.
77
78 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 42
For the solution to be single-valued, m must be an integer.
The equation for R is Bessel's equation as quoted at
the beginning of this chapter, when ro, z, v are written for
R, nr, m respectively.
As an application of the wave-equation, consider
vibrations of a circular membrane of radius a, the bound-
ary r = a being clamped. Then we shall need solutions
R(r) which vanish for r =a; therefore a knowledge of
the zeros of solutions of Bessel's equation will be of
importance.
42. The solution J
11
(z) In series. From the work on
page 43, if v is not a negative integer,
- c " { - (!z )II ( !z )'' - }
w- fl.
1
l.(v+1)+1.2.(v+1)(v+2)
is a solution of Bessel's equation (41.1). It is convenient
to take c
0
= 1/2"F(v + 1) and define
oo ( _ 1 )r (lz)llr
Jv(z) = (!z)" rlF(v + r + 1) (
42

1
)
as the Bessel function of order v. If v is not an integer,
the branch of the many-valued function (!z)" needs to be
specified and is taken to be cxp (v log !z), the logarithm
having its principal value.
The series for

converges for all values of z
and is a regular function.
The value of c
0
chosen gives a meaning to J"(z) when
v is a negative integer - n, and we have
oo (- 1)r(lz)llr
fJ-n(z)]n= (lz)-n :E
r-nriF(- n + r + 1)
Now 1/F(t) vanishes when t is a negative integer or zero,
and so
43 BESSEL FUNCTIONS 79
When v is not an integer or zero, the functions J
11
(z)
and J_.,(z} are linearly independent, and the complete
solution of Bessel's equation is
AJ"(z) + BJ_
11
(z}.
As we have seen, however, it is the value v = n which
is likely to be of physical interest; in this case we have
found only one solution Jn(z) and a second solution, if
required, can be found by the method of 20.
We observe that, for v = !.
J!(z) = z, J4(z) = cos z.
43. The &leneratlng function for J n(z). Recurrence
relations.
THEOREM 21. If u =/:= 0, then
exp { (u- :} ; } = i unJn(z). (48.1)
PROOF, If z is given, the left-hand side is a regular
function of the complex variable u except for u = 0 or co.
It can be expanded in n Laurent series (Phillips, Text,
p. 97), absolutely and uniformly convergent for
0 < u
0
u u
1

The left-hand side euf2e-/
2
u takes the form
(
1
+ + ... ... }(!- 2: + ... +(-l)n 2n::nl+ .. .).
These absolutely convergent series can be multiplied
and the product arranged as a Laurent series in u. The
coefficient of un in the product is, if n :;:::: 0,
( + 2t(n+I\n+2) (;r-... } = Jn<z>,
and, if n is a negative integer - m, the coefficient of
un is
80 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 43
Jm(- z) = (- l)mJm(Z) = J-f1,(z).
The generating function ( 43.1) yields recurrence rela-
tions. Differentiating term-by-term with respect to u, we
find
and so, equating coefficients of un-1,
Similarly, from differentiation with respect to z,
HJn-l(z) - Jn+l(z)} =
(48.2)
(48.8)
These formulae, suggested most readily by the generating
function, could be proved directly from the series for the
Bessel functions. This alternative method of proof holds
whether the orders of the Bessel functions are integers
or not.
E:tamples.
1. Prove that
00
{J
0
(z)}
1
+ 2 L {Ja(z)}' = 1.
1
Deduce that, for real :e,
2. Prove that
Deduce that
z.1;(z) = JJJ,(z) - l:Jp.t1(:),

= zJ,(z)- (JJ + 1)Jo+1(.:).


J-+1(::) d {J,(z)} d
-
11
-,- = - ib ---;_;- and = d: {zP-tlJ.-t
1
(::)}.
44 BESSEL FUNCTIONS 81
44. Integrals for J.(z}.
If v is an integer n, we have a formula due to Bessel,
'fnEOREM 22. Jn(z) = !..J" cos(nO - z sin O)dO. (44.I)
n o
PnooF. 'fake the Laurent expansion of the generating
function, divide each side by u"+l, and integrate round
the unit circle in the u plane, putting tt = e
1
o, Thus
J (z} = {{u - !..) :} u-n-ldu
n 2nt u2
= _!_ J" eu sin 0-tnO d()
2n _,
= _!_J" (e-inO+itslnO + ein0-usin0)d0
2n o
= !..J" cos (nO - z sin O)dO.
n o
A formula valid for more general values of vis the following.
TnEORElii 23. If v > - !, then
J.(z) = F(v + \)F(!) f cos (z cos 0) sin21-0d0. (44.2)
PnooF. The expansion cos (z cos 0) sin
2
OdO
f
" { z
2
cos2 0 zllr cosllr 0 } .
= o I- 2! + ... +( -I)r (2r)l + ... sm2PO d(}
is uniformly convergent for lzl :::; K where K is ar-
bitrarily large, and so integration term-by-term is valid for
all finite values of z. Now (by putting sin
11
0 = s)
f cos
2
rO sins.Od(} = 2 s:" cos2rO sins.o dO
1
= Jo (I - s)'-!s-ld.Y
F(v + !)F(r + t)
l'(v + r +I)
82 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 45
Therefore
F(v +\)F(i) (;r (cos (z cos 0) sin 2P(}d8
1 {z)
00
F(r + l) z
2
'
= F(i) 2 :o (-
1
)' F(v + r +I) (2r)l
= (.!) ~ (_I)' (2r -1}(2r- 8) ... 1 zllr = J.(z).
2 -a 2'F(v + r +I) (2r)l
This formula for J.(z) that we have established can be
put into other forms by simple transformations, e.g.,
putting cos 0 = t, we have, if v > - !.
I {z)Jl
J.(z) = F(v + !)F(!) 2 _
1
(1 -til)-! cos zt dt. (44.8)
In the integrand we can replace cos zt by ebt,
Integrals of this type can be obtained as special cases
of contour integral solutions, and we now show how such
solutions may be found.
45. Contour integrals. If in Bessel's equation we
write w = Z"W, the equation for W is found to be
zW" + (2v + 1}W' + zW = 0,
which is Example 2 of 84. From the discussion of that
example, it foHows that
J.(z) = .AZ" fc e
1
:C(1 - ~ ) - ~ ,
where C is a contour of one of the types specified there,
and A is a constant. If v > - !, C can be taken to be
the segment (- 1, 1) of the real axis as in 44; more
generally, a figure-of-eight or an infinite contour will
serve.
46 BESSEL FUNCTIONS 83
46. Application of oscillation theorems. In this
section the variables are real. Bessel's equation
a;3y" + xy' + (;z;S - vs)y = 0
is reduced to normal form by the substitution y = va;-l,
giving
(
4v:a- 1)
v" + 1 - 4x:a v = 0.
This equation is then satisfied by v = ;z;!J.(;z;). Since the
coefficient of v tends to 1 as m -+ co, theorem 18 of 12
gives at once
THEOREM 24. If ot, is the rth positive zero of J.(;z;), then,
as r-+ co,
( i) !X.r+1 - !X.r ,...... n,
and ( ii) !X.r ,...... rn.
The next result uses only Rolle's theorem and makes
no appeal to the work of Chapter III.
THEoREM 25. The zeros of J.(;z;) and J.+l(;z;), other than
a; = 0, interlace.
PRooF. The relation
J+l(;z;) = -.!!.. {J.(;z;)}
QJP rk QJP
(see 48, example 2), deducible from the generating
function, shows, by Rolle's theorem, that between two
zeros of J.(m)fa;P lies at least one of J.+l(a:)fa;P.
Similarly the other result of the same example
d
;z;P+lJ.(m) = rk {m"+lJ.+l(m)}
shows that between two zeros of m"+lJ.+l(m) lies at least
one of m"+lJ.(m).
Since the zeros of J.(x) and J.+
1
(m), other than m = 0,
are the zeros of the functions discussed in the last two
paragraphs, the theorem follows.
84 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 46
We next apply the ideas of 18 and 14 about eigen-
values and eigenfunctions.
The function
u(x) = xlJ,(i.x)
satisfies the equation
u" + ( ,ta - 1) u = o.
{40.1)
Consider solutions which vanish at x = 0 and x = I.
If v > - !, u(O) = 0 for all ).. The vanishing of u(1)
means that J,(.t) = 0, that is to say, the eigenvalues arc
the zeros of the Bessel function.
If An,, ).,. arc two values of A (not necessarily eigen-
values) and um(x), U
8
{x) the corresponding functions as
defined by {40.1), then
" (12 4v2 - 1)
Un + An - 4x9 Un = 0,
1\lultiply these equations respectively by U
8
, "m and
subtract. Then integrating from 0 to 1 we have
1
[u:n(x)u
8
(x) - = (l; - fo UmUntk. (46.2)
If v > - !. the expression in square brackets on the
left-hand sidcof(46.2) vanishes for x = 0. It also vanishes
for x = 1 if An, and ).,. are eigenvalues. So, if m =1= n, we have
from (46.2)
and therefore
1
J
0
xJ,(An,x)J,().,.x)tk = 0 (m =I= n).
46 BESSEL FUNCTIONS as
'fo evaluate this integral for m = n, let An be the nih
eigenvalue and in (46.2) replace A.n by a continuous
variable ;., taking values tending to An
Then the equation ( 46.2) gives
1
(.A.; - .A.!) J
0
u,.unlk = -u,(l
And so
E:Mmples.
= -
- J.(A,) J'(1 )
An - Ap -+ lin
1. By writing ro = vzi, transform the equation
dSW k(k + 1)
rl%1 + elm = z1 w
into one of Bessel's type and write down its solution.
2. Prove that the equation
ro" + :w = 0
can be solved by Bessel functions of order !
8. Prove that Bessel's equation may be written in either of the
forms

+ v + 1} {.!!.. - !:.} y + y = 0
dz :r: th :r:
t!- v 1} + ;} y + y = 0.
Hence show that
J.+l(:r:) = - - ;) J.(-1:),
J._,(-1:) = + ;) J.(-1:),
86 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 46
4. Prove that
{1 d)n
J,.(m) = (- 1)":1:" \; ;& J
0
(m),
5. Prove that, If a > 0, I' + v > o,
J
co b'T(p + v) (p+v 1-p+v b' )
0
e-J,(bt)IP-'dt = 2"(a'+b')IIP+t>lT(v + 1) F 2' -2-;v+
1
; a'+b'
Deduce the value of
J; e-J
0
(bt)dt.
6. Ifv + ! > p + v > 0, prove by making a tend to 0 in example 5
that
J
co 21.-IT(lp + !v)
o J.(t)IP-'dt = T(!v- il' + 1).
(It may be assumed that, for large values of t, I J,(t) I < Kt-!,
where K is a coDBtant. This will be proved in 49.)
CHAPTER IX
ASYMPTOTIC SERIES
47. Asymptotic series. An asymptotic series is a
series which, though divergent, is such that the sum of a
suitable number of terms yields a good approximation to
the function which it represents. The idea is most readily
grasped from an example.
Example.
Find an approximation for large positive values or x to the solution
or the equation
y'-y= - ~
X
which tends to 0 as o r ~ co.
The equation bas an irregular singularity at inrinity. If we carry
out the process of finding a series in powers of 1/z, we obtain
1 1 21 (n-1)1
Y
- - _ - + _ _ + ( _ 1 )n-1 +
- Z z2 z2 Z" .,
which diverges for all values of z.
The equation, being linear and of the first order, can be integrated
by a quadrature, and the solution which tends to 0 as z ~ co is
found to be
y = /(z) = foo eo- dt.
I1J '
If we integrate this expression Cor /(z) by parts, we see its relation
to the divergent series. 'Vc have, after n integrations by parts,
1 1 2! (n-1)1 Joo eo-
f(z) =--- +-- ... + (-1)n-1-- +(-1)"nl -dt.
z z
1
z2 z" m P ~
Now
J
oo eo- nl Joo nl
nl - dt < - eo-dt = -.
m l ~ z>+l Ill zn+l
87
88 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS -48
So the sum of n terms of the series is an appronmation to f(111) with
an error less tl1an the numerical value of U1e (n + 1 )th tenn.
For a given volue of 111 the terms of the series decreose in absolute
magnitude until the nth term where n is the integer next Jess than 111.
If 111 is Jorge, we can, by stopping at an corly term in the series,
obtain an approximation of bigh aecumcy. (It lll is only 20, the sum
of 4 terms gives f(IIJ) with an error Jess than 1/10
1
).
48. Definition and properties of asymptotic series.
The formal definition of an asymptotic series was given by
(1886).
Let S
11
(z) be the sum of the first (n + 1) terms of the series
S(z) = Ao + Al + ... +A:+ ... ,
z z
Let R,.(z) = f(z)- S
11
(z). Then, for a given range of tug z,
say ot :::;;; arg z :::;;; {J, the series S(z) is said to be an asymptotic
expansion of f(z) if, for each fia:ed n,
lim z"R,(z) = 0.
11-+00
We shall write f(z) "'S(z).
This definition applies to a power series in 1/z which
converges for sufficiently large I z 1. say for I z I > R.
For then there is a constant M, depending on R only,
such that for all values of arg z
MR
I Rn(z) I< (lzl- R) lzl"'
THEoREM 26. The product of two asymptotic eqansions
is an asymptotic expansion. ,
PaooF. Suppose that, for a common range of arg z,
f(z) l"'oJ S(z) = Ao + Al +" ' + An + " '
z Z"
and
) ( B
B
1
B,
g(z l"'oJ T z) = o +- + .. + n + ..
z z
48 ASYMPTOTIC SERIES
Then, for f ixed n, as I z I co, t
f(z) - S,.(z) = 0 I z 1-n
nnd
If now
we have
f(z)g(z) = Sn(z)Tn(z) + o ::I- "
c c
= Co + ___! + . .. + n + ol z 1-"
z ::"
89
and this, bei11g Lrue for nny fixed 11, proves Lhc t heorem.
T nEOitEll 27. The result of integrating an Mymptotic
expansion term-by-term is m1 asymptotic expansion.
P ROOF. ' 'Ve s hall assume Lhc vari able to be real, ns it
usuall y is in prncliee.
A3 An
L cL f (x)"" S(x) =--;;- +--:;- + .. . + - + ... ,
tV'" tV"' X
11
omitting the term which would give n logarithm.
For n fixed 11, gi,cn e, we can find x
0
such lhnt
I f(x) - I < E.-v-n for x x
0

I
J
oo Joo I Joo rlt e
Then f(t)dt - S,.(t)dt < e - = ( ) .
., = ., t n - 1 x"-
1
J
oo A'.! .A3 .A"
But S,.(t)dt = - +
2
---. + ... + ( )
1
nnd so
., a; :v - 1 x"-
J
oo A'! A
3
An
f(t)dt"' -+-.+ ... +( ) l + ...
= a: 2x n - 1 xn-
wbjeb is what we set out to prove.
t For U1e o-nolnlion, see llyslop, Infinite Series, p.
90 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 49
The question of uniqueness of ac;ymptotie expansions is
answered by two statements
28 (n) Ji'or a given mnge of arg z, a fuuction
cannot have more than one asymptotic ea:pansio11.
(b) A series can be the asymptotic of more thatt
one ftmction.
PnooF. l<'or (n), suppose thul, for a ::;;;: nrg z p,
CIO CIO
f(::) ,....-}.; d ,.z-n nnd f (::) :E BnZ-"
n- o n O
Then, for fixed 11, ns I z I -+ ex:>,
(A
0
- B
0
)::" -1-

- Bdzn-l + .. . + (A,. - JJn) -+ 0,
and so A
0
= B
0
, A
1
= 1J
1
,
For (b), n series can be the nsymptolic expansion of
both f(z) nnd g(::) so long ns, for each fi.xed n,
z"{/(::) - g(z)} -+ 0 ns I z I -+ ex:>.
This woul d be l mc, for example, if / (z ) - g(z) = c-= for
in =:;; arg z ;ln.
49. Asympt otic expansion of Bessel functi ons . A
powerful method of approximating asymptoticall y to n
known function is illustrated by the following expansion
of J. (z ).
TnEOltEM 20. J. (z) is asymptotically
{;z) t {cos(:: - !1-n - i n)C.(z) - sin(:: - i111t - i n)S.(::)}
(41
2
- 1!)(h' - 32)
where C.(z} = 1 -
2
!{Sz):! +
1ll)(4vll _ 32)(,h,2 _ 5ll)('J,v2 _ 72)
+ t !(8::)'
1
41'
2
- 1
2
(h
2
- 1
2
)(11
2
- 3
2
)(.Iv
2
- 5
2
)
amlS.(z) = Bz - :J l (8z)3 + ... ,
7>rovided that - n < arg z < ::t.
49 ASYMPTOTIC SERIES 91
P ttOOF. To shorten lit e deta il , we shall give the proof fot
1' = 0; the ptincipl rs arc the same fot a general v. \\'c
s hall take z to be rent nnd positiYe, writing .v for z.
From 44 we ha ve Lhe formul a
1
1r.l
0
(x) = J e
1
.,
1
(l - f2)- adt.
- 1
Let A, B, C, D be the points l , - 1, - 1 + i7], 1 + h7
r espectively in the C-plnne. I ndent 1 he tccl angle A IJCJ)
nt A and H by qnadmnt s of circles of Slll all radius.
Ta ke
round the indented rectnngle in t he connter-clockwise
sense, letting the radii of the indenta tions tend t o 0 and
the height 17 of the rectangle to infinity. 'l'hc many-valued
function {1 - C
2
)- l is defined to hn.ve its positive va.!uc
for t; on A B.
The integrand being regul ar imide the r ectangle, the
integral is zero by Cnuehy's theorem.
As just st at ed, lhe integral along JJA gives :;r:J
0
(x). As
1J co, the integral along DC t ends to zero, in virtue of
the negative exponential. From now onwards J and J
AD BC
will denote integrals nlong these injinitc vertical s ides.
On AD put C = l + i u.
Then (1 - C
2
)- l = {2 + iu,)-i(e-i"
1
u)-i, and d{ = idu.
00
'!'liltS, ( = cfntJ et"'-=w-1(2 + iu )- ldu.
AD 0
Pnt 11x = v, and we ho.ve
I
= ell'l>t fn) Joo e-rv-! (1 + iv) -! dv.
AD , ! (2.v} o 2x
( 4!>.1)
92 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 48
' -!
The general term of the binomial expansion of (1 + w)
2a:
is
( -1)" 1 . 3 ... (2n- 1) (iv)"
2"nl 2m
and the remainder after the term in v" is less than
K(vjm)"+l,
where K depends only on n.
The contribution to the integml on the right-hand side of
( 4!).1) of the term in v" is
(
- _!_)" 1 . 8 .. . (2n - 1) F(n + *)
'.kl: nl
= ( - .i)" ].2 . 32 . .. (2n- 1 )2 yn,
8x n l
and t he contribut ion of the remainder term is less thnn
Kfm"+
1
, where again 1( depends only on nand is independent
of m.
Hence the integral on the r ight-hand side of (<19.1) takes
the form
nncl we have shown thnt the series C
0
(x) nod S
0
(a:) have the
asymptotic property.
Simi larly, on BC put C = - 1 + iu, and then 1.L = vfx,
giving
co
I
= ei"
1
J e-l<t- u:u-!(2- iu)- tdu
BC 0
e-l<+tnl Jco ( iv)-!
= --- e-"v-! 1- - dv
v(2x} 0 2a:
e-l<t+inl
.-....- v(
2
m) vn{C0 - 180},
by expnncling the binomial ns before.
49 ASYMPTOTIC SERIES 93
Collecting the integrals along the sides of the rectangle
and remembering that their sum is zero, we find
Jo(a:) = - !.J + .!.J
1'l AD 1'l DC
" " y ( ~ ) ({(cos + i sin)(a: - !n)}{C
0
(a:) + iS
0
(a:)}
+ {(cos - i sin)(a:- !n)}{C
0
(a:) - iS
0
(a:)}]
" ' ~ ) {cos(a:- in) C
0
(a:) - sin (a: - !n)S
0
(a:)},
and this is what we set out to prove.
The reader will now appreciate the following statement
in general terms of a powerful method of finding an
asymptotic expansion of a given function. If we have a
contour integral representing the function, deform (if
necessary) the contour into such a shape that on parts of
it the integrand can be expanded in powers of 1/a: together
with a remainder term. We look to this decomposition to
provide the series in powers of 1/a: which forms the asymp-
totic expansion.
Fig. 8.
94 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS SO
For the function J.,(a:), we could start from the integral
of 45 taken along a figure-of-eight contour round - 1
and 1. The figure-of-eight ean be deformed into the shape
shown in Fig. 8, and the lengths of the vertical sides made
to tend to infinity.
The integrand ean be expanded in powers of 1/a: along
the vertical lines as in our discussion of J
0
(m).
The proof given for the asymptotic expansion of J
0
(a:)
rests essentially on manipulation of contour integrals.
By using the expression of J
0
(a:) as an integral along the
real axis we were able to shorten the argument which the
figure-of-eight would have entailed.
50. Asymptotic solutions of differential equations.
Equations having an irregular singularity at infinity
are of common occurrence (for instance, linear equations
with constant coefficients). The study of the behaviour
of solutions of such equations for large values of a: is there-
fore often necessary. The example of 47 has already
shown how an asymptotic expansion of a solution can be
derived directly from the differential equation. As a further
illustration we now obtain asymptotic expansions of solu-
tions of Bessel's equation, finding again the series C.(a:)
and s.(a:) of 49.
Bessel's equation, written in a form appropriate for
study of large values of a:, is
, 1
1
+ ( v')
0 y +-y 1-- y = .
aJ a:3
1\lake the substitution y = e ~ the e f : r ~ being suggested
as a solution of the equation y" + y = 0 got by ignoring
the terms in 1/a: and 1/tx9.
The equation for u is found to be
11
( , 1)
1
( i VS)
u + 2z + ; u + a, - ,xll u = o.
51 ASYMPTOTIC SERIES 95
Substitute u = x"v and choose q so that the coefficient
of v has no term in Ifx. We find that q = - !, and that the
equation for v is
1_v:a
v" + 2iv' + -
4
--v = 0.
xll
Try to solve this formally by writing
al an
v = a
0
+ - + ... + - + ... ,
X a:n
and we find the recurrence relation
2i(n + 1 )a,.+l = {n(n + 1) + ! - va}a,..
This gives for v a constant multiple of the series
J:l-4va (JII-4v2)(Sll-4vll) (J2-4J.2)(8ll-4v2)(52-.J.J:l)
I ~ 2!(8iz)2 + 8!(8iz)
3
+. .
which is precisely the C,(a:) + iS.(a:) of theorem 29.
Changing the sign of i we have another solution, and
hence as two solutions of Bessel's equation any constant
multiples of
or of
a:-!{C,(x) cos x - S,(a:) sin a:}
a:-!{C;.(x) sin X + s.(x) cos a:}.
To find what combination of these two solutions will
yield a prescribed solution such as the function J.(x) we
should need to know independently the first term in the
asymptotic expansion of J,.(a:).
51. Calculation of zeros of J
0
(x).
As an illustration of the use of asymptotic expansions
we shall show how to approximate to the large zeros of
Bessel functions with any required degree of accuracy. As
before we shall take J
0
(x), for which the detail is simpler.
From the asymptotic expansion found in theorem 29,
J
0
(x) is zero when
96 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS 51
- .l + _____!!___ -
cot (m _ .!..n) = S
0
(m) = 8z 1024.1:3 '
4 C
0
(m) 9
1
-128m2+
If m is large and positive, this has a root a little greater
than (n- i)n, say (n - i)n +a;. Then
1 88
tan oe = 8z - 512m3 + .,
and so
oe = tan oe - itan
3
oe + ...
1 25
= 8z - 884m3 + "
This gives by successive approximation that, if n is a
large integer, J
0
(m) vanishes for
( )
1 81
m= n-! n+8(n-!}n-884(n-l)Sn3+
and, by retaining higher powers in the asymptotic ex-
pansion for J
0
(m) originally quoted, we can approximate
as closely as we like to the zeros.
APPENDIX I
THE LAPLACE TRANSFORM.
We shall outline a useful technique for solving a linear
differential equation having constant coefficients. It will be
convenient to take the independent variable to bet (not a:),
where t:;:::: 0. Suppose that we seek the solution y(t) of the
differential equation
ao1Jinl + a
1
yln-11 + ... + a
0
_
1
y' + aoy = r(t) {1)
such that, for t = O,
Y = Yo y' = Yt yln-1) = Yn-1
The existence and uniqueness of y(t) is assured by 6.
DEI .. INITION. Let
tp(p) = s; e-"'f(t}dt.
it being assumed that a number Po exists such that the
integral converges for p > Po Then tp(p) is called the
Laplace transfonn of f(t) and is usually written
~ { f t ) } or ,97(/).
The Laplace transform has the following properties.
{1) .!'R(/1 + + /n) = .!l'(/1) + + !t'{/n)
(2) .!l7(cf} = c!t'(f), if c is constant.
These two properties show that !t' is a linear operator.
(3) ff{e-
01
/(t)} = tp(p + a).
(4} If !t'{/
1
(t)} = tp
1
(p) and !t'{/
9
(t)} = tp
11
(p), then
tPt(P )tpa(P) = !t' { s; ft(u )/
2
(t - u )du}.
(5) A continuous function is uniquely determined by
its Laplace transform.
The proofs of {1 ), {2 ), (3) arc easy. To prove ( 4 ), we have,
by inverting the order of integration in the repeated
integral,
98 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS
.P {f: ft(u)fa(t - u)du}
=I: e-fl
1
dt I; II(u)f
2
(t- u)du
=I; /
1
{u)du I: e-
91
/
2
(t - u)dt
=I: ft(u)du I: fr9(u-+11lf
2
(v)dv
= 9't (p )tpa(P ).
The property (5), which is essential in justifying the usc
. of Laplace transforms, needs a more substantial investiga-
tion. This will be given after we have explained the mani-
pulative detail.
The following table is a short list of transforms of common
functions.
f(t) tp(p)
1
1
-
p
eo'
1
p-a
tn-l
1
(n- 1)1
P"
tn-leol
1
(n- 1)1 (p- a)"
sin at
a
pll+a:
cos at
p
p2 +as
t sin at p
--
2a (pll + all)ll

~
3
(sin at- at cos at)
1
(pll + all)ll
THE LAPLACE TRANSFORM 99
The method of solution by transforms. l\Iultiply the
differential equation (1) by e-P
1
and integrate from 0 to co
(assuming that p can be chosen so as to make the integrals
converge). Integrating by parts and using the initial values
of y(t) and its derivatives, we have
J: e-P
1
y' dt = - y
0
+ p J: e-Pt ydt,
J: e-Pty"dt = -Yt- PYo + p2 J: e-P'ydt,
and, generally, for s ;2;; n,
s: e-PI yhldt = - Ya-1 - PYa-2 - - p-
1
Yo+ p' J: e-Piydt.
So y will satisfy the equation (1) with the given initial
conditions if
(aopn + alPn-1 + ... + an)9'{y(t)}
= Yo(aopn-
1
+ a1pn-s + + an-1)
+ Yt(aoPn-2 + a,pn-3 + . +an-:) + ...
+ Yn-2(aop + at) + Yn-tao + .!f{r(t)} (2)
The equation (2) is called the subsidiary equation. A
table of transforms is used to find .!f{r(t)} from r(t), and
then to find y(t) from .!f{y(t)}.
Illustration.
Solve the equation
y"' -By' + 2y = 8e
1
,
given that y(O) = 0, y'(O) = 1, y"(O) = 2.
The Laplace transform of the equation is
giving
8
(p
1
- 8p + 2).2'(y) = p + 2 + --.
p -1
9'( ) - 1 8
y - (p- 1)
1
+ (p- 1)
1
(p + 2)
1 1 2 1
9(p + 2} + 9(p- 1} + 8(p- 1)
1
+ (p - 1)
1

100 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS
From the table of transforms, the solution is
y = - ~ r + + Jk
1
+ !Pe
1

In U1e last step we nssume the fact, still to be proved, that y Is
uniquely determined by .!i!'(y).
The uniqueness theorem. To prove the property (5)
above, we need a lemma (Lerch's theorem).
LEIDIA. If tp(a:) i8 continuous for 0 ~ a : ::::: 1, and
J: m"tp(a:)cl.v = 0 for n = O, I, 2, ,
then tp(a:) = 0 for 0 ~ a: ::::: l.
PROOF. If the conclusion is false, there is an interval
(a, b) with 0 <a< b < 1 such that tp(x) ~ k > 0 (or
tp(x) :::;;:: - k < 0) for a ~ x:::;;:: b.
We proceed to define a polynomial p(.11) for which
J: p(x) tp(x)cl.v > 0
and this will contradict the hypothesis.
Let c be the larger of ab, (I - a)(l- b), and let
1
q(a:) = 1 +- (b - a:)(a: -a)
c
Then q(a:) > 1 for a< a:< b, and 0 < q(x) < 1 for
0 < a: < a and b < a: < 1.
If we choose a sufficiently large integer m, the polynomial
p(a:) = {q(m)}m will take arbitrarily large values in a<a:<b
and arbitrarily small values in 0 < a: < a and b < a: < 1.
So we can make
J: p(a:}tp(m)tk > o
and the lemma is proved.
TnEOREM. Not more than one continuous function f(t)
can satisfy the equation
fi'(P) = J: e_,'f(t)dt
for all p ~ k.
THE LAPLACE TRANSFORM 101
PaooF. It is sufficient to show that, if 9'(P) = 0 for all
p ~ k, then f(t) = 0.
Let p = k + n. Integrating by parts, we have
n J: e-n'dt ~ e-hJ(u)du = J: e-ll:+nHj(t)dt
and so
J: e-n'g(t)dt = 0 for n = 0, 1, 2, ... ,
where
g(t) = ~ e-l:uj(u}du.
In the lemma, write m = e-
1
, tp(m) = g{log(1fm)}. Then
tp(m) is continuous for 0 < m 1 and tp(O) can be defined
as the limit of tp(m) as m tends to 0 through positive values.
We have
J; m"tp(m}lk = 0 for n = 0, 1, 2, ....
By the lemma, tp(m) = 0, that is to say
g(t} = s; e-hj(u)du = 0 for t ~ o.
So 0 = g'(t) = e-k'f(t) for all t ~ 0 and hence f(t) = 0
for all t;;:::: 0.
The method of transforms can be applied to much more
general problems, for instance to solve important types of
partial differential equations.
E:romples.
Solve the following equations, where y
0
, Yu are the values Cor
'= 0 or y, y',
1. y'"- 2y'' + y' = 2. Yo= 2, y
1
= 1, Ya = - 1.
2. y" - y' - 2y = 60e
1
sin 21. Yo = y
1
= o.
8. y"" - y = 0, Yo = 1, y, = Ya = Ya = o.
4, y'"' - 2y'' + y ""' 12k
1
Yo = Ya = !, y
1
= 0, y
1
= - 8.
102 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS
5, trf' + (a + b)y' - alnl = 0, = Uo = 0,
u" - (a + b)ll' - aby = o. m, = 1, y, = o.
6. trf' = ay', = Uo = m
1
= U1 = O.
u" = b- oz'.
APPENDIX n.
LINES OF FORCE AND EQUIPOTENTIAL
SURFACES.
The mathematical analysis which follows has been given
a physical title because it is to many people the most suggest-
ive; they intuitively picture the differential equations as
representing a situation such as an electrostatic field.
The equation of 2 can be written in the notation of
differentials as
Pck+ Qdy = o,
where P and Q are functions of x and y. If P and Q satisfy
appropriate conditions the equation will possess a solution
of the form
u(x, y) =A.
If u is differentiable,
up+u
11
dy=0,
and, comparing this with the original equation, we have
Uz = pP, u
11
= pQ,
where p is a function of x and y which we can call an inte-
grating factor of the original equation.
We now inquire into the possible extension from two
variables to three. \Vhen does the equation
Pch + Qdy + Rdz = 0
(where P, Q, Rare functions of x, y, z) possess a solution
u(x, y, z) =A?
We keep in mind the geometrical meaning. The differen-
tial equation states that the line-element (ch, dy, dz) is
perpendicular to the direction (P, Q, R), and the equation
u(x, y, :s) =A represents a family of surfaces.
103
104 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS
THEOREM. Suppose that P, Q, R are diflerentiable func-
tiom of tc, y, z in a domain of values of a:, y, z. A necessary
and sulficient condition that the diflerential equation
Pfk + Qdy + Rlk = 0 (I)
has a solution
u(:r:,y,z) =A
is that
- R
11
) + Q(Rz- P,.) + R(P
11
- Qz) = 0 (2)
PaooF. Necessity. We have, for some integrating factor
p.(:r:, y, z),
Uz = p.P, U
11
= p.Q, = p.R.
So
+ p.Q, = Un = Uw = p.
11
R + pR
11
and two similar results for ""''
l\lultiplying the equations by P, Q, R and adding, we
have the condition (2 ).
Sufliciency. The proof is rather longer but it embodies a
process of actually finding the solution.
Keep one of a:, y, z constant. Say it is z and integrate
Pfk + Qdy = 0,
giving
u=A,
where u is a function of a:, y, z such that, for some p.,
Uz = p.P, u
11
= pQ.
Now let z vary and put
u = f(z).
This gives
up + u.P,y + {u,. -/'(z)}lk = 0.
This is the same equation as (I) if
-/'(z) = pR.
The function I can be determined if - 11-R is a function
of z and I (that is, u) alone.
LINES OF FORCE AND EQUIPOTENTIAL SURFACES 105
A sufficient condition for this is that the Jacobian of u
and u= - p.R with respect to x and y is zero. This gives
a a
u., ay (u, - p.R) - uti ax u ~ - p.R) = o.
Now it is easy to verify that, if the equation (1) is multi-
plied through by p., the relation (2) holds for the new
coefficients,
p.P{(pQ), - (p.R)u}
+ p.Q{(pR)
111
- (pP):} + pR{(p.P)
11
-(p.Q).,} = O.
Since p.P = u
111
and p.Q = uti, this identity is the same as
the preceding one.
IUustralion.
Solve the equation
(y + z):dz- udy + ;ryd:: = o.
The condition of integrability (2) is satisfied. Keeping m constant,
we obtain y =A::. Put U1en y = =.f(z), and differentiate,
rif'(m)dz - dy + j(z)dz = 0.
Comparing witil Uw original equation, we rmd
mj'(z) = J(z)+1
Hence /(m) + 1 = Az, and tile solution is
y+z=Azz.
The interpretation of tile equation (I), if tile condition or Integrabil-
ity (2) is not satisfied, is beyond U1e scope or this book.
Ezamplu.
Solve tile equations
I. (y - :)dz + (: - m)dy + (z - y)d: = o.
2. (y + zl)dz + (: + a:
1
)dy - 2:(m + y)d:: = o.
8. (1 + y:)dz + '* - m)dy - (I + ;ry)d:l: = 0.
4. (y + y: + :)dz + (z
1
+ u + a:
1
)dy + (m
1
+ ;ry + y') d:: -= o.
106 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS
Simultaneous equatiom. Consider now the equations
tW dy tb
p=Q= R'
where P, Q, R are functions of tr, y, z. They are the same as
the simultaneous equations on page 9, written in symmetrical
form. The solution may be expected to consist of a curve
through a given point (tr
0
, y
0
, z
0
), the curves for different
initial points (tr
0
, y
0
, z
0
) forming a doubly-infinite family.
In the case of integrability of the equation
Ptk + Qdy + Rdz = o,
the surfaces forming its solution cut orthogonally the curves
of the doubly-infinite family. (The reader will recognize
lines of force and equipotential surfaces.)
.Methods of solution. The most common device when
P, Q, R are simple functions is to write
tW dy tb ).d.1) + pdy + ,tb
P = Q = R = AP + pQ + ,n '
and choose the multipliers l, p, , so that either the denom-
inator is 0 or the numerator is the derivative of the denom-
inator.
Illwtrations.
(1)
u dy d::
--=--=--
bz-cy M-a: ay-IKD
where a, b, c are constants.
Each mtio = _a_u___;+_b__.:dY::._:.+_c_d::_
0
and also = mtb + ydy +adz.
0
These give
and
vel + ya + sa = B,
UNES OF FORCE AND EQUIPOTENTIAL SURFACES 107
a doubly-fntinite family of curves (In fact, all circles with centres on
the line
a: II :
-=-=-
a b c
lying in planes perpendicular to this line).
d:t dy d:
(2) -=-=--
y+z ::+a: z+y
Each mtio d(.z + y + z)
2(.z + y + ::)
d:t - dy d: - d:t
and each=----=----.
m-y ::-m
We obtain the curves aa intersections of the aurCacea
(a: + y + ::)(.z - II)' = A
by the planes
(.z - y)f(: - :) = B.
(8)
d:t dy d:
-=-;:::::z
1 c .zain(y-cz)
where c is constant.
An ob\ioua integml is 11 - cz = A. This gives
and so
d:
d:t=--
.z sin A
z = !zl sin A + B.
Ir we now put back A = y - cz, we find by differentiating Umt
: = l.z
1
sln (y- cz) + B
Is in fact a second solution.
Ezamples.
Solve dz/P = dyfQ = d:fR, with the values of P, Q, R given in
each of 5-7.
5 .z(y - :), y(: - .z), z(m - y).
o. z, " vc.z + y>
7. z(a: + 2y), - ::(y + 2:1:), y - z.
108 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS
8. For each of the following families of curves examine whether
there is 0. family or orthogonal surfaces:
(I) straight lines Intersecting the lines
y = o, : = c and :z: = o, .:: = - c;
(ii) cubic curves y = azl, y '= bu, where a o.nd b vary.
SOLUTIONS OF EXAMPLES
CHAPTER I.
1. 8 + 71 = Aetl(3 - 71) with ~ 71 BS specified.
2. (A + 2 tan% :JJ)/(A tan :JJ + tan'/ :JJ).
7. iz
1
(:JJ ~ 2), 2e"-
1
(:JJ > 2).
8. <i> !:JJI + nr' + -trzr..
(ii) 1J = i:JJI + lr' + ~ % = 1 + !:JJ
1
+ tr + -/o:tf'.
9. Ince, Text, p. 86.
10. If I y I :JJ
1
, /(:JJ, y) = 2y/:JJ (.r i=- 0), = O(z = 0).
It y > :JJ
1
, /(:JJ, y) = 2.r; if y < - a:', /(:JJ, y) = - 2.r.
CHAPTER Jl,
1. A
1
e" + A
1
e_., + B
1
cos .r + B
1
sin :JJ - i:JJ sin .r.
2. Ae-too + Bt!' + Cxe" + !a:te".
8. A cos { ~ l o g (az + 1) } + B sin { ~ l o g (az + 1) }.
4. A:JJ + Be" + :JJ
1
+ :JJ + 1.
5 .4(1 + 2.r') + B.ry'(l + :a:
1
).
6. At!'+ B..:
1

7. tr(Ae" + B) - :JJI,
8 . .r(-i:JJ
1
- :JJ +A)+ (:JJ
1
+ l)(!z' +B).
9. :re
1
= .r
0
+ \t- y
0
t - 1
1
+ iZol
1
+ lt
1
,
ye
1
= Yo + 21 - Zof - ft
1
,
::e' = =o + ft.
11. A cos :.:
1
+ B sin :.:
1

12. A cos :JJ + B tan a: + ! see .r.
18. {A log (1 - sin :JJ) + !A sin a: + B}/(1 + sin a:).
14. {:JJ +sin (t- z)- t cos (f- .r)}/P.
15. (n + 2)(1 + :r)y = :a:A+I + (n + 2)(.40f:>+
1
+ B).
100
110 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS
16. zly = n(:r: cos :r:- sin a:) - n
1
(:r: sin m +cos a:).
17. (Sufficiency). There are constants c
1
, , c,., not all O, such that
c
1
a
11
+ ... + Caa
1
,. = 0 (1 i n).
l\lultiply the ith equation by c
1
and add. We have
J: (c
1
u
1
+ ... +

= o.
18. (Au
1
+

u;u
1
). 19. A:re" + Be...,f:r:.
20. 2p.p, + p; = 0.
CIIAPTEB IV,
Independent solutions of each of 1-12 are given in finite form
when a series is so expressible.
1. zt, (1 - :)l.
48 64.
2. 1 + 12::' + 5:4 - Ill ::' + ....
8 1.8 1.8.5 }
:T l + 2 :: - U z' + 2 , 4o 6 z' -
8. Cf 22 4.. 1 + z, :'(I - z )-1,
5. :, ::
1
+ z log ::.
co ="'
6. wl = (nl)'
m
1
= w
1
log z - { :
1
+

)' { 1 + + )' { 1 + i + + }
:4 zS
7
'
1
+ 2'":8":4 + 2. 8. 4o. 6. 7. 8 + ....
::' z'
=+8.4..5+ =+4..5.6+
co :"
8, 101 = :E I t
1 1.2 ... (n -l)'n
co :" (2 2 2 1)
w.=w.log: +I-ft.2 ... (n-l)'n i+2+ ... +,._l+n.
9. :(1 - :)-
1
, r
1
(1 - :).
10. :i, :i(l - !:)i.
SOLUTIONS OF EXAMPLES 111
11. e-', e-
1
log z.
(
2 2.8 )
12. OJ + 4k: + 1 + 5.1 k: + 5 6 1 2 klzl +
oo Z"
18. ro
1
= l: ,
o n lk(k + 1) (k + n - 1)
OCI Z"
ro
1
= :
1
-l: .
o nl(2 - k)(8 - k) ... (n + 1 - k)
00
2:"( 1 1)
For k = 1, ro1 = ro1 log z - f (nl)' 1 + 2 + + n
For k = !, ro
1
= cosh 2yz, ro
1
= !sinh 2y:.
14. u = z(1 -

(1 - + u log z.
00
(- 2:J:I)" (1 + 211:
1
)
1
1

m
p(p + 1) (p + n- 1)
17. ro, = 1;' (- 1)" nl(p + q) (p + q + n- 1) z",
(1 - q) ... (n - q)
m. =

z.
o nl(p + q- 2) ... (p + q- n- 1)
It p + q = 1, second solution is
{ p(p + 1) ... (p + n - 1)
ro1 log:+f (-1)" (nl)' X
(
1 1 1 2 2 2) }
p+p+1+ .. +p+n-1-l-2"'-n Z"'
18. Recurrence relation is (n - 1 )rw,. + a(n - 1 )c,_
1
+ be,._, = 0.
Put c,. = d.,/nl
Solution of equation is ePJz, where pis n root or p
1
+ap+b = 0.
19. (1 +:)(A cos log z + B sin log:).
20. 8(4n + 8)a,. = :E a,a By induction 12-.

For last part cf Ch I, ex. 11.
CHAPTER V.
7. Put '= 1 - u in (28.1).
112 THE THEORY OF ORDINARY DIFFERENTIAL EQUATIONS
CBAl'TEn VOI.
1. :i{AJ&+l(c:) + BJ
4
_l(c:)}.
2. :l{AJt(f::f) + BJ_l(f::l)}.
5. Expand J.{bl) In series and Integrate term-by-term. Transform
the result by use ot Chapter V, example 7.
1/\/(a + b').
6. For the limiting process, see e.g. Bromwich, Theory of Inflnite
Series, p. 488.
APPENDIX I
1. y = 8 + 21 - e
1

2. y = Sell - 5e-1 - e'(8 cos 21 + D sin 21).
8. y = ! cosh I + l cos 1.
4. y = e- + le'(t- 1)
1

5
_sinal-sinbl _cosbl-cosal(b..J..)
.:ll- a-b 'Y- a-b .,-a.
It a = b, z = I cos at, y = t sin at.
6. :ll = (bfa
1
)(at - sin al), y = (bfa
1
){1 - cos al).
1. y -: = A(: - a:).
2. a: + y = A(zy - :
1
).
8. : - z = A(l + zy).
APPENDIX II
4. m + y + :: = A(y:: + + a:y).
5. m + y + :: = A, a:y: = B.
6. y = All; a:
1
+ y
1
= (z + B)
1

7. a: + y
1
+ :
1
= A, zy - .:::
1
= B.
8. (I) No, (li) Yes.
BIBLIOGRAPHY
Reference bas already been made in the preface to the books
in the series of University 1\lathematienl Texts which are most
closely related to tills one.
Among the more comprehensive works which the reader may
consult with profit are
L. BmnERDACB, Theorie der DiJlerentialglelchungen, 1980.
E. T. CoPSON, An introduction to the theory or functions of a com-
plex variable, 1085.
R. CouRANT and D. liiLDEnT, Methods of mathematical physics
(translated) 1958.
E. L. INCE, Ordinary differential equations, 1027.
H. and B. S. JEFFREYS, Methods of mathematical physics, 8rd ed.,
1950.
C. J. DE LA VALI.EE PoussrN, Cours d'annlyse infinitesimale, vol. II,
1028.
G. VALIRON, Cours d'analyse II - Equations ronctionnelles, 1045.
118
INDEX
References are to pages
Adjoint equation, 20
Airy's equation, 2, 85, 65
Analytic continuation, 47, 55
Approximations, 4
Asymptotic series, 87
Bessel's equation and functions,
42,77
Branch point, 85
Comparison of solutions, 26
Confluence of singularities, 57
Contour, double-loop, 62
, , figure-of-eight, M
Convergence of series solution, 88
Convexity of solutions, 25
Definite integral, solution by, 22,
54, 50
Eigenfunctions, 20, 76, 84
Equipotentlals, 108
Existence theorems, 5, 12
Factorization of operator, 10
Frobeniu.s, method, 40
Fundamental set of solutions, 16
Gramlan determinant, 28
Graphical methods, 2
Homogeneous equation, 18
Hypergeometric equation and
function, 58
Independence, linear, 18
lndicial equation, 87
Inrmity, point at, 42
Integrating factor, 20
Interlacing of zeros, 27
Lagrange's Identity, 20
Laplace's linear equation, 60
, equation, 70
, transform, 07
Legendre's equation, 70
, polynomial, 71
Linear Independence, 18
Lines of force, 108
Lipschitz condition, 4
Normal form, 19
Orthogonal functions, 20
Oscillation theorems, 25, 88
Reduction ot order, 18, 24.
Regular singularity, 86
Riccati equation, 4, 10, 10
Rodrigues' formula, 72
Schllifii's integral, 72
Self-adjoint equation, 20
Simultaneous equations, 9
Singularity, regular, 86
, , movable, 86
Sturm-Liouville equation, 80
Uniqueness of solution, 7
Variation of parameters, 17
\Vave equation, 77
Wronskian determinant, 14
Zeros of solutions, 27
, , Bessel functions, 88, 95
UNIVERSITY MATHEMATICAL TE X TS
The Theory
of Ordinary
Differential
Equations
The aim of this text is to guide
students in their quest f or a more
satisfying understanding of differential
equations and their solutions. I n the first
chapter the existence of soluti ons of the
simpl est form of equation is establ ished.
Chapter II contai ns a systematic treatment of
the linear equation. Chapter Ill (Oscillation
Theorems) shows the reader that many
properti es of solutions of differential equations
can be deduced directly from the equations.
Chapters IV to VI deal with solutions in the
form of series or i ntegral s. A discussion of
Legendre and Bessel functions (Chapters
VII and VIII) i ll ustrates the methods which have
been developed and Chapter IX introduces
the reader to asymptotic series. There is
an appendix on the Laplace transform.
Net price 7 s6d