POLITEHNICA University of Bucharest Faculty of Aerospace Engineering

CHAPTER 2 First-Order Differential Equations (contd)

S.l.dr.ing.mat. Alina Bogoi Differential Equations

Outline
Exact equations Integrating Factors Homogenous equations First Order Ordinary Differential equation First Order Non-linear Differential equation
Bernoulli equation Riccati equation Clairaut equation
2

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First Order Ordinary Differential equation

DEFINITION

Linear Equations (1)

A first-order DE of the form a1(x)(dy/dx) + a0(x)y = g(x) is said to be a linear equation in y. When g(x) = 0, (1) is said to be homogeneous; otherwise it is nonhomogeneous.

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 we have the general solution:

P ( x ) dx P ( x ) dx

y = yc + y p = ce

+e

P ( x ) dx f ( x)dx e

Integrating Factor
We call e P ( x ) dx is an integrating factor and we should only memorize this to solve problems.
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BERNOULLIS EQUATION
The differential equation dy n + P( x) y = f ( x) y , dx where n is any real number, is called Bernoullis equation. For n = 0 and n = 1, the equation is linear and can be solved by methods of the last section.
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SOLVING A BERNOULLI EQUATION

1. Rewrite the equation as y
n

dy 1 n + P( x) y = f ( x). dx

2. Use the substitution w = y1 n, n 0, n 1. NOTE: dw/dx = (1 n) yn dy/dx. 3. This substitution turns the equation in Step 1 into a linear equation which can be solved by the method of the last section.
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RICATTIS EQUATION
y = P( x) y + Q( x) y + R( x)
' 2

How to transform the Riccati equation to a linear one ? Somehow we get one solution, S (x) , of a Riccati equation, then the change of variables 1 y = S ( x) + z transforms the Riccati equation to a linear one.
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Riccati Equation
1 1 1 1 2 z' = P ( x) 2 + 2 P ( x) S ( x) + Q ( x) z z z z
z' +(2 P ( x) S ( x) + Q ( x)) z = P ( x)

i ntegrating factor [2 P ( x ) S ( x ) +Q ( x )]dx f ( x) = e

C 1 z(x) = P( x) f ( x)dx + f ( x) f ( x)
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CLAIRAUTS EQUATION
The nonlinear differential equation y = xy + F(y) is called Clairauts equation. Its solution is the family of straight lines y = cx + F (c), where c is an arbitrary constant.
dy p= dx
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y = x p + F ( p)
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PARAMETRIC SOLUTION TO CLAIRAUTS EQUATION

dy dp dF dp dp dF ( = p = p+x + + x) = 0 dx dx dp dx dx dp dp d 2 y = 2 = 0 y = c1 x + c2 dx dx dy p= = c1 put into the origional eq. c1 x + c2 = c1 x + F (c1 ) dx c2 = F (c1 ) y = c1 x + F (c1 ) general solution

dF + x = 0 G ( x, p ) = 0 eliminate p in the origional ODE dp

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Clairauts equation

y = px + F ( p )
x + F '( p) = 0

y = c x + F (c )

Ex: y = px + p 2 dy dp dp dp ( x + 2 p) = 0 = p+x +2p = p dx dx dx dx (1) F ( p ) = p 2 y = ( x + F (c )) = cx + c 2 general solution x x2 x2 (2) x + 2 p = 0 p = y = + 2 2 4 x2 y = x 2 + 4 y = 0 singular solution 4 Diff_Eq_4_2011

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Non-linear 2nd O.D.E.

A. Equations where the dependent variables does not occur explicitly
p substitution.

dy p= dx

the second derivative of y is replaced by the first derivative of p thus eliminating y

dp d 2 y = 2 dx dx
completely and producing a first O.D.E. in p and x.
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Example
Solve

d2y dy +x = ax 2 dx dx
p= dy dx

Let

dp + xp = ax dx
integral factor
1 exp x 2 2

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Example
Solve

d2y dy +x = ax 2 dx dx
dy p= dx

Let

and

dp d 2 y therefore = 2 dx dx

1 2 1 2 x x d 2 2 ( pe ) = axe dx

dp + xp = ax dx
integral factor
1 exp x 2 2

1 dy p = a + C exp( x 2 ) = 2 dx
1 2 y = ax + C exp x dx 2

1 2 1 2 x x dp 1 x 2 2 2 2 e + xpe = axe dx

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Non-linear 2nd O.D.E.

B. Equations where the independent variables does not occur explicitly
They are solved by differentiation followed by the p substitution. dy p= dx When the p substitution is made in this case, the second derivative of y is replaced as
Let
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d 2 y dp dp dy dp 2 = = =p dx dx dy dx dy
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Example
Solve

d2y dy y 2 + 1 = ( )2 dx dx
dy p= dx

1 ln y + ln a = ln( p 2 1) 2

Let

and

dp d2y therefore 2 = p dy dx

yp

dp +1 = p2 dy
Separating the variables

dy p= = ( a 2 y 2 + 1) dx

p 1 dp = dy p2 1 y
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x=

dy (a 2 y 2 + 1)

x = 1 sinh 1 (ay ) + b a 1 16 y = sinh( ax + c) a

( )

POLITEHNICA University of Bucharest Faculty of Aerospace Engineering

CHAPTER 3 Higher Order Linear Equations

S.l.dr.ing.mat. Alina Bogoi Differential Equations

Outline
Nth-order Linear Homogeneous Equations with Constant Coefficients Nth-order Linear Nonhomogeneous Equations:
Method of Undetermined Coefficients The method of variation of parameters

Cauchy-Euler Equation Diff_Eq_4_2011

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Higher Order Linear Equations

Homogeneous Equations with Constant Coefficients
DEFINITION 1

Linear Dependence and Linear Independence

A set of f1(x), f2(x), , fn(x) is linearly dependent on an interval I, if there exists constants c1, c2, , cn, not all zero, such that c1f1(x) + c2f2(x) + + cn fn(x) = 0 If not linearly dependent, it is linearly independent.

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Higher Order Linear Equations

Homogeneous Equations with Constant Coefficients

Wronskian Suppose each of the functions f1(x), f2(x), , fn(x) possesses at least n 1 derivatives. The determinant

DEFINITION 2

f1 W ( f1 ,..., f n ) = f1 ' M

f2 f2 ' M

L L

fn fn ' M

f 1( n1)

f 2( n1) L

f n( n1)

is called the Wronskian of the functions.

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Higher Order Linear Equations

Homogeneous Equations with Constant Coefficients
THEOREM 3

Criterion for Linear Independence

Let y1(x), y2(x), , yn(x) on an interval I. This set of functions is linearly independent if and only if W(y1, y2, , yn) 0 for every x in the interval.
DEFINITION 3

Fundamental Set

Any set y1(x), y2(x), , yn(x) of n linearly independent solutions is said to be a fundamental set of functions.
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Higher Order Linear Equations

Initial-value Problem An nth-order initial problem is Solve:

dny d n 1 dy L[ y ] = an ( x) n + an 1 ( x) n 1 + L + a1 ( x) + a0 ( x) y = g ( x) dx dx dx

Subject to n initial conditions :

y ( x0 ) = y0
' y( x0 ) = y0 , L ,

y ( n 1) ( x0 ) = y0 n 1
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Higher Order Linear Equations

The following DE
dny d n 1 y dy L ( y ) = an ( x) n + an 1 ( x) n 1 + L + a1 ( x) + a0 ( x) y = 0 dx dx dx

is said to be homogeneous;

L(y) = 0

dny d n 1 y dy L ( y ) = an ( x) n + an 1 ( x) n 1 + L + a1 ( x) + a0 ( x) y = g ( x) dx dx dx

with g(x) not identically zero, is nonhomogeneous.

L(y) = g(x)

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Higher Order Linear Equations

dny d n 1 dy L[ y ] = an ( x) n + an 1 ( x) n 1 + L + a1 ( x) + a0 ( x) y = g ( x) dx dx dx

y ( x0 ) = y0 , y( x0 ) = y1 , L , y ( n1) ( x0 ) = yn1
THEOREM 1

Existence and Uniqueness

Let an(x), an-1(x), , a0(x), and g(x) be continuous on I, an(x) 0 for all x on I. If x = x0 is any point in this interval, then a solution y(x) exists on the interval and is unique.
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Higher Order Linear Equations

Homogeneous Equations with Constant Coefficients
THEOREM

Existence of a Fundamental Set

There exists a fundamental set of solutions for DE on an interval I.

COROLLARY

Corollary

(A) y = cy1 is also a solution if y1 is a solution. (B) A homogeneous linear DE always possesses the trivial solution y = 0.
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Higher Order Linear Equations

Homogeneous Equations with Constant Coefficients
THEOREM

Superposition Principles Homogeneous Equations

Let y1, y2, , yk be a solutions of the homogeneous nth-order differential equation on an interval I. Then the linear combination y = c1y1(x) + c2y2(x) + + ckyk(x) where the ci, i = 1, 2, , k are arbitrary constants, is also a solution on the interval.
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Higher Order Linear Equations

Homogeneous Equations with Constant Coefficients

THEOREM

General Solution Homogeneous Equations

Let y1(x), y2(x), , yn(x) be a fundamental set of solutions of homogeneous DE on an interval I. Then the general solution is y = c1y1(x) + c2y2(x) + + cnyn(x) where ci are arbitrary constants.

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Example
The functions y1 = e3x, y2 = e-3x are solutions of y 9y = 0 on (-, ) Now
W (e , e
3x 3 x

e )= 3e3 x

3x

3 x 3 x

3e

= 6 0

for every x. So y = c1e3x + c2e-3x is the general solution.

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Example
The functions y1 = ex, y2 = e2x , y3 = e3x are solutions of y 6y + 11y 6y = 0 on (-, ). Since
e
x

2x

3x

W (e x , e 2 x , e3 x ) = e x ex

2e 2 x 4e 2 x

3e3 x = 2e6 x 0 9e 3 x

for every real value of x. So y = c1ex + c2 e2x + c3e3x is the general solution on (-, ). Diff_Eq_4_2011 29

Higher Order Linear Equations

Homogeneous Equations with Constant Coefficients

If y1,, yn are solutions to ODE, then so is linear combination

y ( x) = c1 y1 ( x) + c2 y2 ( x) + L + cn yn ( x)
Every solution can be expressed in this form, with coefficients determined by initial conditions, iff we can solve:
c1 y1 ( x0 ) + L + cn yn ( x0 ) = y0 c1 y1 ( x0 ) + L + cn yn ( x0 ) = y0 M
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( ( c1 y1( n 1) ( x0 ) + L + cn ynn 1) ( x0 ) = y0n 1)

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Higher Order Linear Equations

Homogeneous Equations with Constant Coefficients

Corollar The system of equations on the previous slide has a unique solution iff its determinant, or Wronskian, is nonzero at x0:
y1 ( x0 ) y1 ( x0 ) W ( y1 , y2 ,K , yn )( x0 ) = M y1( n 1) ( x0 )
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COROLLARY

y2 ( x0 ) y2 ( x0 ) M ( y2n 1) ( x0 )

L yn ( x0 ) L yn ( x0 ) O M ( L ynn 1) ( x0 )
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Higher Order Linear Equations

y y = 0,
EXAMPLE

y ( 0 ) = 3, y ( 0 ) = 1

SOLUTION

Solution is:

y1 = et , y2 = e t y (t ) = c1et + c2 e t

The Wronskian of y1 and y2 is

y1 W= y1 y2 = y1 y2 y1 y2 = e t e t et e t = 2e 0 = 2 y2

Since W 0 for all t, linear combinations of y1 and y2 can be used to construct solutions of the IVP for any initial value Diff_Eq_4_2011 32 t.

All solutions of the differential equation

dny d n 1 y dy an n + an 1 n 1 + L + a1 + a0 y = 0 dt dt dt

SOLUTIONS TO HOMOGENEOUS LINEAR EQUATIONS WITH CONSTANT COEFFICIENTS

are, or are constructed from, exponential functions of the form y = ert. NOTE: an, an1, . . . , a1, a0 are constants.
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Higher Order Linear Equations

Homogeneous Equations with Constant Coefficients

L[ y ] = a0 y ( n ) + a1 y ( n 1) + L + an 1 y + an y = 0
Consider the nth order linear homogeneous differential equation with constant, real coefficients:

Le

[ ] = e [144a r4 + L +44r +4 ] = 0 ar + a a 4 4 4 2 43
rt rt n n 1 0 1 n 1 n characteristic polynomial Z ( r )

By the fundamental theorem of algebra, a polynomial of degree n has n roots r1, r2, , rn, and hence

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Z (r ) = a0 (r r1 )(r r2 ) L (r rn )

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Higher Order Linear Equations

A Distinct Roots
If roots of Z(r) are real and unequal, then there are n distinct solutions: Then general solution of differential equation is

e , e , K, e
r1 t r2 t

r1 t

r2 t

rn t

y (t ) = c1e + c2 e

+ K + cn e

rn t

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The Wronskian can be used to determine linear independence of solutions.

35

Higher Order Linear Equations

Consider the initial value problem
EXAMPLE

y ( 4 ) + 2 y 13 y 14 y + 24 y = 0 y (0) = 1, y(0) = 1, y(0) = 0, y(0) = 1

Assuming exponential solution leads to characteristic equation:

SOLUTION

y (t ) = e rt r 4 + 2r 3 13r 2 14r + 24 = 0 (r 1)(r + 2 )(r 3)(r + 4 ) = 0

Thus the general solution is

y (t ) = c1e + c2 e
t
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2 t

+ c3e + c4 e
3t

4 t

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Higher Order Linear Equations

SOLUTION (Contd)

y (t ) = c1e t + c2 e 2 t + c3e3t + c3e 4 t

The initial conditions y (0) = 1, y(0) = 1, y(0) = 0, y(0) = 1 yield

c1 + c2 + c3 + c4 = 1 c1 2c2 + 3c3 4c4 = 1 c1 + 4c2 + 9c3 + 16c4 = 0 c1 8c2 + 27c3 64c4 = 1

Solving, Hence
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1 4 11 1 c1 = , c2 = , c3 = , c4 = 2 5 70 7
y (t ) = 1 t 4 2 t 11 3t 1 4 t e + e e e 2 5 70 7

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Higher Order Linear Equations

B Complex Roots
If Z(r) has complex roots, then they must occur in conjugate pairs, i. Solutions corresponding to complex roots have the form ( +i )t e = e t cos t + ie t sin t
e ( i )t = e t cos t ie t sin t

We use the real-valued solutions

e cos t , e sin t
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Higher Order Linear Equations

EXAMPLE

Consider the equation y y = 0 Then

y (t ) = e rt r 3 1 = 0

SOLUTION

(r 1)(r + r + 1) = 0

Now
r 2 + r + 1 = 0 r1,2 = 1 1 4 1 3 i 1 3 = = i 2 2 2 2

Thus the general solution is

y (t ) = c1et + c2 e t / 2 cos 3t / 2 + c3e t / 2 sin 3t / 2

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Higher Order Linear Equations

EXAMPLE

Consider the initial value problem

y ( 4 ) y = 0, y (0) = 7 / 2, y(0) = 4, y(0) = 5 / 2, y(0) = 2

SOLUTION

The roots are 1, -1, i, -i. Thus the general solution is

y (t ) = e rt r 4 1 = 0 r 2 1 r 2 + 1 = 0

)(

Using the initial conditions, we obtain

y (t ) = c1et + c2 e t + c3 cos(t ) + c4 sin (t )

The graph of solution is given on right.

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1 y (t ) = 0et + 3e t + cos(t ) sin (t ) 2

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Higher Order Linear Equations

C Repeated Roots
Suppose a real root rk of characteristic polynomial Z(r) is a repeated root with multiplicty s. Then linearly independent solutions corresponding to this repeated root have the form

e , te , t e , K , t e
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rk t

rk t

2 rk t

s 1 rk t

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Higher Order Linear Equations

Homogeneous Equations with Constant Coefficients

Repeated Roots

If a complex root + i is repeated s times, then so is its conjugate - i. There are 2s corresponding linearly independent solns, derived from real and imaginary parts of

e
or

( + iu )t

, te

( + iu )t

,t e

( + iu )t

, K, t e

s 1

( + iu )t

e t cos t , e t sin t , te t cos t , te t sin t , K , t s 1e rk t cos t , t s 1e rk t e t sin t ,

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Example 4: Repeated Roots

EXAMPLE

y ( 4 ) + 8 y + 16 y = 0

SOLUTION

Consider the equation

y (t ) = e rt r 4 + 8r + 16 = 0 r 2 + 4 r 2 + 4 = 0

)(

Then The roots are 2i, 2i, -2i, -2i. Thus the general solution is
y (t ) = c1 cos 2t + c2 sin 2t + c3t cos(2t ) + c4t sin (2t )

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Second Order Differential Equations

In general, it is not easy to discover particular solutions to a second-order linear equation.

dy P ( x) 2 + Q( x) + R ( x) y = 0 dx dx But it is always possible to do so if the coefficient functions P, Q and R are constant functions, that is, if the differential equation has the form:

d2y

ay + by + cy = 0

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The solutions to the homogeneous linear secondorder differential equation depend on the solutions to the characteristic equation. The solutions to the characteristic equation fall into three cases: Distinct (unequal) real roots Repeated (equal) real roots Conjugate complex roots
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SOLUTIONS TO THE HOMOGENEOUS LINEAR 2NDORDER DE

THE CHARACTERISTIC EQUATION

Substituting y = emx results in the auxiliary equation or characteristic equation: am2 + bm + c = 0.

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From eq. am2 + bm + c = 0 the two roots are 2

r1 = (b + b 4ac ) / 2a
r2 = (b b 4ac ) / 2a
2

(1) b2 4ac > 0: two distinct real numbers. (2) b2 4ac = 0: two equal real numbers. (3) b2 4ac < 0: two conjugate complex numbers. Diff_Eq_4_2011 47

DISTINCT REAL ROOTS

If the characteristic equation has two distinct (unequal) real roots m1 and m2, the two solutions to the DE are mx m x . y1 = e and y 2 = e
1 2

This results in the general solution:

y = c1e m1 x + c2 e m2 x
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REPEATED REAL ROOTS

When the roots of the characteristic equation are equal (that is, m1 = m2), then the two solutions are
y1 = e
m1 x

and y 2 = xe

m1 x

The general solution is:

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y = c1e

m1 x

+ c2 xe .
m1 x

49

CONJUGATE COMPLEX ROOTS

If the roots of the characteristic equation are conjugate complex roots m1 = + i and m1 = i, then the two solutions are y1 = excos x and y2 = exsin x, and the general solution is
y ( x ) = C1 e x sin ( x ) + C2 e x cos ( x ) Diff_Eq_4_2011 50

Second Order Differential Equations

Example Solution

y y = 0

CE

r 2 1 = 0 r = 1 or r = 1.

y = C1 e x + C2 e x y 2y + y = 0 CE

Example Solution

r 2 2r + 1 = 0 r = 1 (double root).

y = C1 e x + C2 x e x

Example

y + 2y + 5y = 0

CE

r 2 + 2r + 5 = 0

r = 1 2 1 = 1 2i
Solution

y = C1 e x sin (2 x ) + C2 e x cos (2 x )
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Second Order Differential Equations Initial-value and boundary-value problems

An initial-value problem for the second-order Equation consists of finding a solution y of the differential equation that also satisfies initial conditions of the form
y ( x0 ) = y0 y ( x 0 ) = y1

where y 0 and y1 are given constants. If P, Q, R, and G are continuous on an interval and P ( x ) 0 there, then a theorem found in more advanced books guarantees the existence and uniqueness of a solution to this initial-value problem.
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Second Order Differential Equations

A boundary-value problem for Equation 1 consists of finding a solution of the differential equation that also satisfies boundary conditions of the form
y ( x0 ) = y0 y ( x1 ) = y1

In contrast with the situation for initial-value problems, a boundary-value problem does not always have a solution.

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Example 1
Solve the following DEs: (a) 2 y"5 y '3 y = 0
y = c1e x 2 + c2e3 x

(b) y"10 y '+25 y = 0

y = c1e5 x + c2 xe5 x y"+4 y '+7 y = 0

(c)

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y=e

2 x

(c1 cos 3 x + c2 sin 3 x)

54

Example 2
Solve 4 y"+4 y '+17 y = 0, y (0) = 1, y ' (0) = 2 Solution:

y=e

x/2

( cos 2 x + 3 4 sin 2 x )

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