Boyce/DiPrima 9th ed, Ch 7.

1: Introduction to Systems of First Order Linear Equations

Elementary Differential Equations and Boundary Value Problems, 9th edition, by William E. Boyce and Richard C. DiPrima, 2009 by John Wiley & Sons, Inc.

A system of simultaneous first order ordinary differential equations has the general form
= F1 (t , x1 , x2 , xn ) x1 x 2 = F2 (t , x1 , x2 , xn ) = Fn (t , x1 , x2 , xn ) xn

where each xk is a function of t. If each Fk is a linear function of x1, x2, , xn, then the system of equations is said to be linear, otherwise it is nonlinear. Systems of higher order differential equations can similarly be defined.

Example 1
The motion of a certain spring-mass system from Section 3.7 was described by the differential equation
u (t ) + 0.125 u (t ) + u (t ) = 0

This second order equation can be converted into a system of first order equations by letting x1 = u and x2 = u'. Thus
= x2 x1 + 0.125 x2 + x1 = 0 x2

or
= x2 x1 = x1 0.125 x2 x2

Nth Order ODEs and Linear 1st Order Systems

The method illustrated in previous example can be used to transform an arbitrary nth order equation
y ( n ) = F t , y, y, y , , y ( n 1)

into a system of n first order equations, first by defining

x1 = y, x2 = y, x3 = y, , xn = y ( n 1)

Then
= x2 x1 = x3 x2 1 = xn xn = F (t , x1 , x2 , xn ) xn

Solutions of First Order Systems

A system of simultaneous first order ordinary differential equations has the general form
= F1 (t , x1 , x2 , xn ) x1 x n = Fn (t , x1 , x2 , xn ).

It has a solution on I: < t < if there exists n functions x1 = 1 (t ), x2 = 2 (t ), , xn = n (t ) that are differentiable on I and satisfy the system of equations at all points t in I. Initial conditions may also be prescribed to give an IVP:
0 0 x1 (t0 ) = x10 , x2 (t0 ) = x2 , , xn (t0 ) = xn

Theorem 7.1.1
Suppose F1,, Fn and F1/x1,, F1/xn,, Fn/ x1,, Fn/xn, are continuous in the region R of t x1 x2xn-space defined by < t < , 1 < x1 < 1, , n < xn < n, and let the point

(t , x , x ,, x )
0 0 1 0 2 0 n

be contained in R. Then in some interval (t0 - h, t0 + h) there exists a unique solution x1 = 1 (t ), x2 = 2 (t ), , xn = n (t ) that satisfies the IVP.
= F1 (t , x1 , x2 , xn ) x1 = F2 (t , x1 , x2 , xn ) x2 = Fn (t , x1 , x2 , xn ) xn

Linear Systems
If each Fk is a linear function of x1, x2, , xn, then the system of equations has the general form
= p11 (t ) x1 + p12 (t ) x2 + + p1n (t ) xn + g1 (t ) x1 x 2 = p21 (t ) x1 + p22 (t ) x2 + + p2 n (t ) xn + g 2 (t ) = pn1 (t ) x1 + pn 2 (t ) x2 + + pnn (t ) xn + g n (t ) xn

If each of the gk(t) is zero on I, then the system is homogeneous, otherwise it is nonhomogeneous.

Theorem 7.1.2
Suppose p11, p12,, pnn, g1,, gn are continuous on an interval I: < t < with t0 in I, and let
0 0 x10 , x2 , , xn

prescribe the initial conditions. Then there exists a unique solution x1 = 1 (t ), x2 = 2 (t ), , xn = n (t ) that satisfies the IVP, and exists throughout I.
= p11 (t ) x1 + p12 (t ) x2 + + p1n (t ) xn + g1 (t ) x1 = p21 (t ) x1 + p22 (t ) x2 + + p2 n (t ) xn + g 2 (t ) x2 = pn1 (t ) x1 + pn 2 (t ) x2 + + pnn (t ) xn + g n (t ) xn