First Order Linear Equations with Constant Coefficients

L.A. Romero
January 12, 2015

1 Introduction
In these notes we discuss the solution to the equation
dy
+ Ay = f (t). (1.1)
dt
Such an equation will have infinitely many solutions. In practice, we typically select one of these solutions
by specifying an initial condition

y(0) = y0 . (1.2)
Here y0 is a prescribed number. We will see that there is one and only one solution satisfying Eqn. (1.1)
and the initial condition in Eqn. (1.2).
Eqn. (1.1) is called a first-order linear differential equation with constant coefficients. It is called
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first order because only the first derivative appears in the equation. For example the equation ddt2y + dy
dt +y = 0
is a second order equation. It is said to have constant coefficients because A does not depend on time. It is
said to be linear because at each value of time, the derivative of y is a linear function of y(t). This is not
the case in the equation dy 2
dt + y + y = 0, and hence this is a non-linear equation.
In future lectures we will discuss linear equations with non-constant coefficients (where A(t) is a function
of time). Though such equations are not much more difficult to solve, we would like to emphasize the
special importance of the simple case where A is constant. In later chapters we generalize this to systems
of equations, where we are solving for a vector y instead of a scalar quantity y, and A is replaced by a
matrix A that does not depend on time. The techniques that we use in the scalar case are very similar to
the techniques used in the vector case. Though most differential equations arising in science and engineering
are nonlinear, much of our understaning of such systems comes from finding equilibria, and linearizing the
equations about the equilibria. In this case the resulting equations will be linear differential equations with
constant coefficients. This is why we feel that such systems should be given a special treatment.

2 Linear Homogeneous Equations

If f (t) = 0 in Eqn.(1.1) we get the equation
dy
+ Ay = 0 (2.1)
dt
This equation is a called a first order linear homogeneous equation. If f (t) 6= 0, the equation is called
a first order linear non-homogeneous equation. Eqn. (2.1) satisfies the following property.
Theorem 2.1. If y1 (t) and y2 (t) satisfy Eqn. (2.1), then for any constants a1 and a2 the function

y(t) = a1 y1 (t) + a2 y2 (t) (2.2)

will also satisfy eqn. (2.1).

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Proof. This follows from the fact that if
dy1
+ Ay1 = 0 (2.3)
dt
and
dy2
+ Ay2 = 0 (2.4)
dt
then multiplying Eqn. (2.3) by a1 , Eqn. (2.4) by a2 and adding the results we get
dy1 dy2
a1 + a1 Ay1 + a2 + a2 Ay2 = 0 (2.5)
dt dt
dy
Letting y(t) = a1 y1 + a2 y2 , and using the linearity of the derivative, this can be written as dt + Ay = 0,
which proves the theorem.
Example 1. If we were solving an equation
dy
+ y + y2 = 0 (2.6)
dt
it would not be true that if y1 (t) and y2 (t) satisfy Eqn.(2.6), then y1 + y2 also satisfies the equation. In
particular, if
dy1
+ y1 + y12 = 0 (2.7)
dt
and
dy2
+ y2 + y22 = 0 (2.8)
dt
then adding these equations gives us
d
(y1 + y2 ) + (y1 + y2 ) + y12 + y22 = 0 (2.9)
dt
If it were true that y12 + y22 = (y1 + y2 )2 , then this would show that y1 (t) + y2 (t) satisfies Eqn.(2.6). However,
since this is not the case, y1 (t) + y2 (t) does not satisfy this equation.
Example 2. Linear non-homogeneous equations do not satisfy Thm. (3.1). For example, if you have two
solutions
dyk
+ yk = 1, k = 1, 2 (2.10)
dt
dy
to the equation dt + y = 1, then when we add these solutions together they will satisfy
d
(y1 + y2 ) + (y1 + y2 ) = 2 (2.11)
d
d
rather than the equation dt (y1 + y2 ) + (y1 + y2 ) = 1.

3 Solving Linear Homogeneous Equations with Constant Coeffi-

cients
To solve Eqn. (2.1) we begin by rewriting it as
1 dy
= −A (3.1)
y dt
Using the chain rule from calculus this can be written as

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 d
(ln(y(t))) = −A (3.2)
dt
Intgrating this equation with respect to t gives us

ln(y(t)) = −At + c. (3.3)

Taking the exponential of both sides of Eqn.(3.3) gives us

y(t) = ec e−At (3.4)

Defining the new constant C = ec , this can be written as

y(t) = Ce−At (3.5)

If we require that y(0) = y0 , this requires that

y(0) = Ce−0 = C (3.6)

and hence

C = y0 (3.7)
This proves the following theorem.
dy
Theorem 3.1. Suppose y(t) satisfies dt + Ay = 0 with the initial condition y(0) = y0 . Then the solution is
given by
y(t) = y0 e−At . (3.8)

Example 3. Suppose we want to solve

dy
+y =0 (3.9)
dt
with the initial condition
y(0) = 1 (3.10)
We can use Thm. 3.1 with A = 1, and y0 = 1. This gives us

y(t) = e−t . (3.11)

Rather than memorizing Thm. (3.1) it may be preferable to memorize its derivation, and to rederive the
theorem in each special case. In particular, we see that Eqn (3.9) implies that
d
(ln(y(t))) = −1 (3.12)
dt
Integrating this gives us
ln(y(t)) = −t + c (3.13)
and hence
y(t) = ec e−t (3.14)
In order to have y(0) = 1 we must have

y(t) = e−t (3.15)

which agrees with the result we got using Thm. (3.1).
By slighty modifying this example the reader should be able to verify the following solutions.

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 dy
• dt + 2y = 0, y(0) = 3 has the solution y(t) = 3e−2t .
dy
• dt − 3y = 0, y(0) = 2 has the solution y(t) = 2e3t .
dy
• dt + 5y = 0, y(0) = 1/2 has the solution y(t) = 1/2e−5t.

4 General and Particular Solutions for Non-Homogeneous Equa-

tions
When solving a non-homogeneous equation it is sometimes possible to guess a particular solution to the
equation. That is, a function that satisfies the differential equation, but not necessarily the initial condition.
It is important to realize that if you are in possession of such a particular solution, the general solution to
the equation can be obtained by adding an aribtrary solution to the homogenesous equation to it.
Example 4. Suppose we would like to solve the equation
dy
+y =1 (4.1)
dt
with the initial condition
y(0) = 2 (4.2)
Since the right hand side of Eqn. (4.1) is so simple, it is worth attempting to guess a solutiom to this
equation. It is easy to see that the function

yp (t) = 1 (4.3)
does in fact satisfy Eqn.(4.1). That is,
dyp
+ yp = 1, (4.4)
dt
though it does not satisfy the initial condition in Eqn. (4.2). However, if we let

y(t) = yp (t) + φ(t) (4.5)

we see that in order for y(t) to satisfy Eqn. (4.1) it is necessary to have
dyp dφ
+ + Ayp + Aφ = 1 (4.6)
dt dt
Using Eqn. (4.4) this implies that
dφ
+φ=0 (4.7)
dt
In order to have y(t) satisfy the initial condition, it is necessary to have

φ(0) = 2 − yp (0) = 1 (4.8)

We see that we can solve our original equations (4.1) and (4.2) provided we can solve Eqn.(4.7) and (4.8).
However, we already know how to solve this last set of equations, since it is just an initial value peroblem for
a first order linear homogensous equation. In particular we have

φ(t) = e−t (4.9)

and hence

y(t) = yp (t) + φ(t) = 1 + e−t (4.10)

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Example 5. Suppose we would like to solve the equation
dy
+y =t (4.11)
dt
with the initial condition
y(0) = 1 (4.12)
It is a bit more difficult to guess a solution in this case. If we assume that y(t) = t, we see that this will
not satisfy Eqn.(4.11). However, if we try yp (t) = t + A we see that this will satisfy Eqn. (4.11) provided
A = −1. It follows that

yp (t) = t − 1 (4.13)
is a particular solution satisfying Eqn. (4.11). As in the last example, we now suppose that

y(t) = yp (t) + φ(t) (4.14)

Once again, we must have
dφ
+φ=0 (4.15)
dt
and
φ(0) = 1 − yp (0) = 2 (4.16)
It follows that φ(t) = 2e , and hence the solution to Eqn. (4.11) with the initial condition in Eqn.(??) is
−t

given by

y(t) = yp (t) + φ(t) = t − 1 + 2e −t (4.17)

With the last two example in hand it should be clear how to extend this to more general settings. The
following theorem summarizes the general procedure.
Theorem 4.1. Suppose yp (t) satisfies
dyp
+ Ayp = f (t). (4.18)
dt
Then the solution to
dy
+ Ay = f (t) (4.19)
dt
with initial conditions
y(0) = y0 (4.20)
is given by
y(t) = yp (t) + (y0 − yp (0)) e−At (4.21)

Proof. If we let
y(t) = yp (t) + φ(t) (4.22)
then we must have
dyp dφ
+ + Aup + Aφ = f (t) (4.23)
dt dt
Using Eqn. (4.18) this shows that we must have
dφ
+ Aφ = 0 (4.24)
dt

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In order to satisfy the initial condition in Eqn. (4.20) we must have

φ(0) = y0 − yp (0) (4.25)

Equations (4.24) and (4.25) clearly imply that

φ(t) = (y0 − yp (0)) e−At (4.26)

Using Eqn. (4.22) this implies Eqn. (4.21) which is what we were trying to prove.

5 Some Simple Particular Solutions

In this section we discuss some particularly simple and useful particular solutions for simple functions f (t).
The solutions we learn here will be extrremely useful later on when we study oscillations in linear systems.

5.1 Non- Resonant Exponentials

Here we are interested in solving
dy
+ Ay = ceγt (5.1)
dt
We begin by noting that if we have a solution to
dy
+ Ay = eγt , (5.2)
dt
then c times a solution to Eqn. (5.2) will give us a solution to Eqn. (5.1). Thus, we will only concern ourselves
with the somewhat simpler equation in Eqn. (5.2). Similar arguments will apply to all of our particular
solutions discussed in these notes. We will only concern ourselves with finding a particular solution to this
equation, since using Thm. (4.1) we know how to solve for any initial condition using a particular solution.
Suppose we guess a solution of the form

yp (t) = Ceγt (5.3)

dyp
Using the fact that dt = Cγeγ we see that yp will satisfy Eqn. (5.2) provided

C (γ + A) eγt = eγt (5.4)

Dividing through by eγt , we see that this equation will be satisfied provided that
1
C= (5.5)
A+γ
This will give us a solution to Eqn. (5.2) provided γ 6= −A. This proves the following theorem.
Theorem 5.1. Provided γ 6= −A, the solution
1
yp (t) = eγt (5.6)
γ+A
will satisfy Eqn. (5.2
If γ = −A this simple solution does not work. The case where γ = −A is mathematically very similar
to what happens when we force an undamped oscillator at its resonance frequency. Hence, we refer to that
case as a resonant exponential.

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5.2 Resonant Exponentials
We now consider the equation
dy
+ Ay = e−At (5.7)
dt
If we guess the solution y = Ce−At , we saw in the last subsection that this guess runs into trouble.
There are three approaches we could take to finding solutions. One is to wait until we know how to solve
Enq. (1.1) for arbitrary functions f (t). Second, we could take a very lucky guess that our solution looks like
yp (t) = ae−At + bte−At . This will in fact be the case. However, we would like to show how we could arrive
at this guess more systematically.
Suppose we want to solve the equation
dy
+ Ay = eγt (5.8)
dt
with the intial condition

y(0) = 0 (5.9)
Provided γ 6= −A, ths has the solution
1 1
y(t) = e−γt − e−At (5.10)
γ +A γ+A
Here we have used the particular solution from Eqn.(5.6), and subtracted a solution to the homogeneous
equation so that y(0) = 0. We can write our solution as

eγt − e−At


y(t) = (5.11)
γ+A
The quantity

eγt − e−At
h(t, γ) = (5.12)
γ+A
is indefinite as γ → −A. However, we can evaluate the limit as γ → −A using L’Hopitals rule. To do this
we merely take the derivative of the top and bottom with respect to γ and evalute the result at γ = −A.
Doing this , we find

lim h(t, γ) = te−At (5.13)

γ→−A

This shows that as γ → −A, the function te−At will satisfy Eqn. (5.7). It is a simple exercise to verify that
this is inf fact the case. This proves the following theorem.
Theorem 5.2. A particular solution to
dy
+ Ay = e−At (5.14)
dt
is given by
yp (t) = te−At (5.15)

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5.3 Sines and Cosines
Suppose we have the equation
dy
+ Ay = cos(ωt) (5.16)
dt
We will assume that A is a real number. We can solve this equation by first solving
dz
+ Az = eiωt (5.17)
dt
and then taking the real part of this. To show that this is the case, suppose that the solution to Eqn. (5.17)
is given by

z(t) = yr (t) + iyi (t) (5.18)

where yr (t) and y)i(t) are real. Then we have
dyr dyi
+i + Ayr + iAyi = cos(ωt) + isin(ωt) (5.19)
dt dt
In order for Eqn. (5.19) to hold, the real part on the left must be equal to the real part on the right (and
similary for the imaginary parts). Thus, if we solve Eqn. (5.17) and then take the real part of it, it will
satisfy Eqn. (5.16).
We can solve Eqn. (5.17) using our results for solving equations whose right hand side is an exponential.
In particular, a solution is given by

eiωt
z(t) = (5.20)
A + iω
To take the real part of this we use

cos(ωt) + isin(ωt)a A − iω
z(t) = = 2 (cos(ωt) + isin(ωt)) (5.21)
A + iω A + ω2
The real part of this is given by
1
Re(z(t)) = (Acos(ωt) + ωsin(ωt)) (5.22)
A2
+ ω2
Assuming you are adept at finding the real part of a complex quantity, and at solving equations with
exponential right hand sides, this whole process is best summarized by the following theorem.
Theorem 5.3. Consider the equation
dy
+ Ay = cos(ωt) (5.23)
dt
where A and ω are real. A particular solution to this equation is given by

yp (t) = Re(z(t)) (5.24)

where z(t) is a solution to
dz
+ Az = eiωt (5.25)
dt

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Example 6. Consider the equation
dy
+ y = cos(t) (5.26)
dt
We begin by solving
dz
+ z = eit (5.27)
dt
As in Thm. (5.1) we can find a solution to this equation by looking for a solution of the form Ceit . We see
this has the solution
eit
z(t) = (5.28)
1+i
We can write this as
cos(t) + isin(t) (cos(t) + isin(t))(1 − i) (cos(t) + sin(t)) + i(sin(t) − cos(t))
z(t) == = = (5.29)
1+i 2 2
Taking the real part of this we find that

cos(t) + sin(t)
yp (t) = (5.30)
2
satisfies Eqn.(5.26).
dy
An almost identical process holds if you are trying to find a solution to dt + Ay = sinωt).
Theorem 5.4. Consider the equation
dy
+ Ay = sin(ωt) (5.31)
dt
where A and ω are real. A particular solution to this equation is given by

yp (t) = Im(z(t)) (5.32)

where z(t) is a solution to
dz
+ Az = eiωt (5.33)
dt

5.4 Equations with Polynomial Right Hand Sides

We briefly comment that it is always possible to guess a simple solution to equations fof the for
dy
+ Ay = tm (5.34)
dt
where m is a positive integer. Since this problem is not as important as the problems with exponetial or
trigonometric forcing, we will not fully elaborate on the procedure, bvut leave it as an exercise to the reader
to figure out how to generalize the following exmaple.
Example 7. Suppose we have the equation
dy
+ Ay = at + b (5.35)
dt
We will guess a solution of the form

yp (t) = c1 t + c2 (5.36)
Substituting this into Eqn.(5.35) we see that in order for this to satisfy the equation we must have

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 c1 + A(c1 t + c2 ) = at + b (5.37)
This requires that
a
c1 = (5.38)
A
and
Ac2 = b − c1 (5.39)

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