Chap 6 老師講義

2016年9月19日 下午 06:32

微分方程式
Chapter 6
管傑雄
台大電機系
Chapter 6 Series Solutions of Linear Equations
Second-order differential equation: y” + P(x)y’ + Q(x)y = 0依P(x)及Q(x)是否為解析而分類
為
(1) Ordinary Point: 若P及Q兩者均解析，則y(x)有兩個獨立解析解
(2) Singular Point: 其它條件下，則y(x)可能有二個、一個或無解析解，但仍是保有兩個
獨立解

6.1 Solutions About Ordinary Points

Review of Power Series
Definition of a Power Series:

a series centered at x = a
Convergence
For a specific value of x a power series is a series of constants. If the series equals a
finite real constant for the given x, then the series is said to converge at x. Otherwise it
is said to diverge at x.
Interval of Convergence
Radius of Convergence
A power series converges for | x - a | < R where R is the radius of convergence.
(1) R = 0: A singe point of convergence
(2) R = finite
(3) R = infinite: Converging for all x.
Convergence at an Endpoint
The power series converges at x = R + a or x = -R + a
Absolute Convergence

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Absolute Convergence

is convergent.
Finding the Interval of Convergence
Ratio Test of a series

indicates that the series converges absolutely for L < 1. Therefor, the radius of convergence is

A Power Series Defines a Function(Analytic Function).

If f(x) has a radius of convergence R > 0, then f(x) is continuous, differentiable, and
integrable on the interval of convergence.

Series That Are Identically Zero

If

, R > 0 for all real number x in the interval of convergence, then cn = 0 for all n.
Analytic at a Point
A function f is analytic at point a if it can be represented by a power series in x - a with
a positive radius of convergence.
Arithmetic of Power Series
Two power series:

then

Power Series Solution

Consider a differential equation

If we assume that a solution exists in the form of a power series in x,

,
then we substitute it back into the equation and try to find the recursive relation in the

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then we substitute it back into the equation and try to find the recursive relation in the
coefficient cn.

.
Note: (1)逐項計算(2)統一代表項，改變足標碼(3)足標碼由最小值討論至代表項
Now setting all the coefficients into zero gives c1 = 0 for n = 0 and the recursive relationship:

for
That is,
2 c2 = 2 c0 c1 = 0
4 c4 = 2 c2 3c3 = 2c1
6 c8 = 2 c4 5c5 = 2c3
................. ................

c2k+1 = 0

The solution is

From the ratio test,

it is true for all x. This indicates that the radius of convergence R is infinite.

Ordinary and Singular Points

Suppose the linear second-order differential equation
a2(x)y" + a1(x)y' + a0(x)y = 0
is put into the form
y" + P(x)y' + Q(x)y = 0.
A point x = x0 is said to be an ordinary point of the equation if both P(x) and Q(x) are analytic
at x0; that is, both P(x) and Q(x) have a power series in (x - x0) with a positive radius of
convergence. A point that is not an ordinary point is said to be a singular point of the
equation.

Example: xy" + (sinx)y = 0 has an ordinary point at x = 0.

y" + (lnx)y = 0 has a singular point at x = 0.

Existence of Solutions
If x = x0 is an ordinary point of the equation, we can always find two linearly
independent analytic solutions in the form of power series centered at x0:

A series solution will converge at least for

, where R1 is the distance for x0 to the closest singular point (real or complex).

Example 1: Solve (x2 + 1)y" + xy' - y = 0

Solution: Since the singular points are
, a power series solution will converge at least for

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, a power series solution will converge at least for

. The assumption

leads to

For
, the recursive relation in the coefficient cn is given by
n(n - 1)cn + (n + 2)(n + 1)cn+2 + ncn - cn = 0
i.e.,
(n + 2)(n + 1)cn+2 + (n + 1)(n - 1)cn = 0.
For n = 0, and 1, we find that
2c2 = c0
c3 = 0
Hence,
c0 and c1 are arbitrary.

, and c3 = 0.

for
.
Iteration of the last formula gives

c5 = 0

c7 = 0

................
We conclude that for
c2k-1 = 0
and

.
The solution is

Example 2: Solve y" + (cosx)y = 0

Solution: The cosine function can be expanded as a series:

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With the assumption of y as a series of x:

,
we can find

i.e.,

Hence, with c0 and c1 being arbitrary constants, all other coefficients can be represented by
them:

.................................
The solution is

6.2 Solutions About Singular Points

Regular and Irregular singular points
A singular point x = x0 of the equation is said to be a regular singular point if both (x -
x0)P(x) and (x - x0)2Q(x) are analytic at x = x0; that is both (x - x0)P(x) and (x - x0)2Q(x)
have a power series in (x - x0) with a positive radius of convergence. A singular point
that is not regular is said to be an irregular singular point of the equation.

Example: For the equation:

(x2 - 4)2y" + (x - 2)y' + y = 0,
x = -2 is an irregular singular point while x = 2 is a regular singular point.

Forbenius Theorem
If x = x0 is a regualr singular point of the equation, then there exists at least one series
solution of the form

where the number r is a constant which must be determined. The series will converge at least
on some interval 0 < x - x0 < R.
Note: r = 0或正整數，則解變為analytic。

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Example: Solve 3xy" + y' -y = 0.
Solution: Since x = 0 is a regular singular point of the equation, we try a solution of the form

Now the equation leads to

i.e.,

For n = -1,
3c0r(r - 1) + c0r = c0r(3r - 2) = 0
For

,
3cn+1(n + 1 + r)(n + r) + cn+1(n + 1 + r) - cn = 0
Since nothing is gained by taking c0 = 0, we must then have
r(3r - 2) = 0

for

The two roots of the r equation gives two independent recursive relationships:
(1) r = 0,

which gives

.
The solution form is

(2) r = 2/3,

which gives

The solution form is

The general solution is

Indicial Equation
The equation of r is called the indicial equation of the problem. For a second-order
differential equation, it is a quadratic equation in r that results from equating the total
coefficient of the lowest power of x to zero.

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Now we classify the equation according to the property of the two roots.
Case I Roots Not differing by an Integer
If r1 and r2 are distinct and do not differ by an integer, then there exist two linearly
independent solutions of the form

where

and

. Note that if the difference of r1 and r2 is an integer, the two solution forms may merge into a
single one.

Example: Solve 2xy" + (1 + x)y' + y = 0

Solution: Assume

.
The differential equation leads to

That is,

For n = -1, we have

2c0r(r - 1) + c0r = 0.
The indicial equation is
2r2 - r = 0
and the roots are r = 0 and r = 1/2. For
, the iteration is

If r = 1/2, the iteration becomes

i.e.,

for
.
The solution form is

If r = 0. the iteration becomes

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i.e.,

The solution form is

On the interval (0, ), the general solution is y = C1y1(x) + C2y2(x).

Case II Roots differing by a Positive Integer

If r1 - r2 = N where N is a positive integer, then there exist two linearly independent
solution of the equation of the form

where C is a constant that could be zero.

The reason why we choose the larger root for y1(x) is to make sure

. If we choose the smaller one, then we may find that c0 = c1 = c2 = .... = cN-1 = 0, i.e., the
solution form for the smaller one merges into the one for the larger root. Then the
independent solution for the smaller root can be found from the formula

We first calculate the term involving with the exponential term

Therefore,

and tis yields

where we take c0 = 1. The indicial equation is

r(r - 1) + rp0 + q0 = (r - r1)(r - r1 + N) = 0
then we have
p0 = N - 2r1 + 1
Hence, y2 becomes as

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Hence, y2 becomes as

For the case N > 0, the above formula gives

where CN may be zero.

Example 1: Solve xy" + (x - 6)y' - 3y = 0.

Solution: We try the solution form:

and the equation leads to

i.e.,

For n = -1, we can obtain the indicial equation is

r(r - 1) - 6r = 0
and the two roots are r = 0 and r = 7. The iteration formula is
(n + r + 1)(n + r - 6)cn+1 + (n + r - 3)cn = 0, n = 0, 1, 2, ...
Note: 由small r 先試。因為相對於small r可能沒有Forbenius form solution，若事實上是
有的，則可找到；若果真沒有，則會收斂到larger r，故是較佳的解題策略。
For the case of r = 0, the iteration is
(n + 1)(n - 6)cn+1 +(n - 3)cn = 0
That is,

c7 is arbitrary (for n = 6)
and for
,

i.e.,

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.
The general solution is

Example 2: Solve xy" + 3y' -y = 0.

Solution: We try the solution form:

,
and the equation leads to

For n = -1, we find the indicial equation:

r(r - 1) + 3r = 0
and the roots are r = 0 and r = -2. For the case of r = -2, the iteration formula is
cn+1(n - 1)(n + 1) = cn
i.e.,
c1(-1)(1) = c0
c2(0)(2) = c1 This indicates both c1 and c0 are zero, and c2 is arbitrary.
For
,
c3(1)(3) = c2
c4(2)(4) = c3
..................
we conclude that

The solution form is

For the case of r = 0, the solution form is exactly the same as above. This indicates that the
Frobenius' method can only find one solution because the difference of the two roots is a
positive integer. The other solution can be found by

(with c2 = 1)
That is,

We consider the factor

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Hence,

This solution corresponds to the case of r = -2.

Note Alternative Method:

Substitute the following form

directly into the equation to find bn.

Case III Equal Indicial Roots

If r1 = r2, i.e., N = 0, y2 is given by

Therefore, there always exist two linearly independent solutions:

Example: Solve xy" + y' - 4y = 0

Solution: We try the solution form

and the equation leads to

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i.e.,

For n = -1, we can find the indicial equation

r(r - 1) + r = 0
and the two roots are r = 0 with multiplicity 2. The iteration formula is

i.e.,

The solution is

The second linearly independent solution is obtained by

We consider the factor

and the integration becomes

The general solution is

y = C1y1(x) + C2y2(x)
Note:本題可用Laplace Transform求解為
對原方程式取Laplace Transform得

where y(0) = A, y’(0) = B

解得

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 where c is an arbitrary constant.
Inverse Laplace Transform得

故僅能找到一獨立解。另一解因無Laplace Transform而無法尋得。

[Transforming the regular singular point into an ordinary point]

If x = x0 is a regular singular point, then the transformation y = (x-x0)ru(x) may render
the equation for u(x) to be ordinary at the point x = x0.

Example: Solve the equation

Solution: x = 0 is a regular singular point for the equation. We will try to find some r and use
the transformation form y = xru(x) to get an ordinary equation for u(x). The equation for u is

The condition under which the equation becomes ordinary at x = 0 and u(x) has two analytic
solutions is
2r + 1 = 0 and r2 - 1/4 = 0
Therefore, r = -1/2 and the equation is
u" + u = 0
The solution for u(x) is
u = c1cosx + c2sinx
and the solution y(x) is

[Summary]
For the case in which x = 0 is a regular singular point,
The differential equation
y" + P(x)y' + Q(x)y = 0
has the following forms of coefficient functions:

A special case: If q0 = 0, we can conclude that y has at least one analytic solution. We try the
solution form

, and the indicial equation is r(r - 1)c0 + p0rc0 = 0. The roots are r = 0 or r = 1 - p0. The root r =
0 guarantees the solution must be analytic. The sufficient condition that the equation at a
regular singular point has at least one analytic solution is that xQ(x) is analytic.
If we set y = xru(x) and hope that u(x) is an analytic function at x = 0, then

That is,

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The condition that u(x) has at least one analytic solution is
r(r - 1) + rp0 + q0 = 0
The condition that u(x) has two analytic soltions is
r(r - 1) + rp0 + q0 = 0 and 2r + p0 = 0 and rp1 + q1 = 0

That is, the indicial equation must be r(r - 1) + rp0 + q0 = 0.

將Forbenius Theorem 及上述的結果可總結成如下的關係圖：

6.3 Two Special Equation

Bessel's Equation:
x2y" + xy' + (x2 - 2)y = 0
where
.

Legendre's Equation:
(1 - x2)y" - 2xy" + n(n + 1)y = 0
where n is a nonnegative integer.
Solution of Bessel's Equation
Since x = 0 is a regular singular point for Bessel's equation, we assume that the solution
form is

,
and then

When n = 0,
c0r(r - 1) + c0r - 2c0 = 0,
i.e., the indicial equation

r2 - 2 = 0
When n = 1,
c1(r + 1)r + c1(r + 1) - 2c1 = 0
i.e.,
c1[(r + 1)2 - 2] = 0
When
, the iteration equation is
cn[(n + r)2 - 2] + cn-2 = 0
The two roots of the indicial equation is  and -. For the case of r1 = , we can conclude
c1= 0

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 for
.
Hence,
c2n-1 = 0

, n = 1, 2, 3, ....
It is a standard practice to choose c0 to be a specific value -- namely

where  is the gamma function. Then we can simplify c2n as

, n = 0, 1, 2, ....
It follows that one solution is

If

, the series will converge at least on the interval [0, ).

Bessel's Functions of the first kind

The foregoing series solution is usually denoted by

Also, for the second exponet r2 = -, we obtain, in exactly the same manner,

The above two functions are called Bessel's functions of the first kind of order  and -.

If  > 0 and r1 - r2 = 2 is not a positive integer, then the general solution is

y = c1 J(x) + c2J-(x)
since the two solutions are independent.
If 2 is a positive integer, there are two possibilities:
(1) If  is a positive integer m, then Jm(x) and J-m(x) are linearly dependent because
J-m(x) = (-1)mJm(x)
Note: Gamma fumction

for m = 0, -1, -2, ....

For x > 0, Gamma function is defined as

By integration by parts, we can find

(x+1) = x(x)
Two special cases are
(1) = 1
and

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Therefore, we have (n+1) = n! for a positive integer n. For -1 < x < 0, Gamma function is
defined as

.
The same formula may then be used to the open interval (-2,-1), then to the open interval
(-3,-2), and so on. The graph of Gamma function thus extended is shown in the following
graph.

(2) If  is half an odd positive integer, then J(x) and J-(x) are linearly independent. If fact,
J(x) is an elementary function if the order  is half an odd integer. For example,

and

From the above results, we conclude that

y = c1 J(x) + c2J-(x) for integer.

The Graph of Bessel's functions

Example: Solve

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.
Solution: Since  = 1/2, the general solution is
y = c1J1/2(x) + c2J-1/2(x)

Bessel Functions of the Second Kind

If integer, the function defined by the linear combination

and the function J(x) are linearly independent. Thus another form of the general solution is y
= c1J(x) + c2Y(x). As
, where m is an integer, Ym(m) exists

and is linearly independent of Jm(x). Hence, for any value of , the general solution can be
written as
y = c1J(x) + c2Y(x)
Y(x) is sometimes called Neumann's function or the Bessel's function of the second kind
of order .

The Graph of Neumann's functions

Example: Solve x2y" + xy' + (x2 - 9)y = 0

Solution: Since  = 3, the general solution is
y = c1J3(x) + c2Y3(x)

Parametric Bessel Equation

x2y" + xy' + (2x2 - 2)y = 0
The general solution is
y = c1J(x) + c2Y(x)
As we may see, this equation appears in the solution of Laplace's equation in polar
coordinates.

Properties of Bessel functions of order m, where m = 0, 1, 2, ....

(i) J-m(x) = (-1)m Jm(x)
(ii) Jm(-x) = (-1)mJm(x)
(iii) Jm(0) = 0, m > 0; =1, m = 0
(iv)

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It can be shown that

where  = 0.57721566.... is called the Euler-Mascheroni constant.

A very complicated calculation similar to power series solution method gives
Neumann's function as

where

Note: Differential Recurrence Relation

(1)

(2)

Note; The above two formulas can be drived directly from the series definition of Bessel
functions.
(3)

(4)

Note: can be derived by carrying out the differentiations in (1) and (2).

Spherical Bessel functions

When  = half an odd integer, J(x) can be expressed in terms of sinx, cosx, and powers
of x.

Example: J1/2(x)
Solution: The function is

where

Therefore,

Solution of Legendre's Equation

Since x = 0 is an ordinary point of Legendre's equation, we assume that the solution

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 Since x = 0 is an ordinary point of Legendre's equation, we assume that the solution
form is

.
Therefore, the equation leads to

When k = 0,
2c2 + n(n + 1)c0 = 0, i.e.,

When k = 1,
6c3 - 2c1 + n(n + 1)c1 = 0, i.e.,

When

Thus, for at least |x| < 1, we obtain two linearly independent power series solutions

and

Notice that if n is an even integer, the first series terminates with xn, whereas y2(x) is an
ifinite series. Similarly when n is an odd integer, y1(x) is an infinite series while y2(x)
terminates with xn. That is, when n is a nonnegative integer, we obtain an nth-degree
polynomial solution of Legendre's equation.
In particular, we choose the specific values of c0 and c1:
c0 = 1 for n = 0

for n = 2, 4, 6, ...
and
c1 = 1 for n = 1

for n = 3, 5, 7, ...

Legendre Polynomials
The specific nth-degree polynomial solutions are called Legendre polynomials and are
denoted by Pn(x). They are
P0(x) = 1 P1(x) = x

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 P0(x) = 1 P1(x) = x

Properties
(i) Pn(-x) = (-1)nPn(x)
(ii) Pn(1) = 1
(iii) Pn(-1) = (-1)n
(iv) Pn(0) = 0, n = 1, 3, 5, ...
(v)

, n = 0, 2, 4, ....

Graph of the Legendre Polynomials

Recurrence Relation
Using binomial series, we can formally show that.

.
The function on the left is called the generating function for Legendrepolynomials.
Differentiating both sides with respect to t gives

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 Differentiating both sides with respect to t gives

so that after multiplying by 1 - 2xt + t2 we have

That is

k = 2, 3, 4, ...
The formula can be used to find Pk+1(x) in terms of Pk(x) and Pk-1(x).

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