Ordinary

Differential
Equations

APPENDIX

PDE models are frequ ently solved by redu cing th em to on e or more ODEs.
This appendix contains a bri ef review of how to solve som e of th e basic
ODEs that are encountere d in this book. At th e end of th e appendix ar e
several exercises that should be solved by hand; the read er might want to
check th e solutions using a compute r algebra package.
For notation, we let y = y (x) be th e unknown func tion . Deri vativ es will
be denoted by prim es , i.e., y' = y'(X), y" = y"(X). Sometimes we us e th e
differ ential not ation y' =
If f is a fu nc tion, an antideriuatiue is defined
as a fun ction F whose derivative is i, i.e., F'( x) = fex) . Antiderivatives
are unique onl y up to an additive constan t, and they are often denoted
by th e usual ind efinite integral sign :

'!t .

F(x)

j(x )dx

+ C.

An arbitrary constant of integration C is adde d to the right side. Howeve r, in this last expression, it is someti mes impossible to evaluate th e
antiderivat ive F at a particular value of x . For example, if [(x) = sin x/x ,
th en there is no simple formul a for the an tide rivative; that is,
F(x ) =

sinx
x

- - dx

cannot be expressed in closed form in terms of eleme ntary fun ctions, and
thus we could not find , for example, F(Z). Th erefore, it is better to denote
th e antiderivative by an integral with a variable upp er limit,
F(x ) =

f'f(s )ds +
"

C,

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Ordinary Differential Equations

where a is any constant (observe that a and C are not independent, since
changing one changes the other). By the fundamental theorem of calculus, F'(x) = f(x)' Now, for example , the ant iderivative of sin x /x can be
written (taking C = 0)

F(x)

and easily we find that

F(Z)

1
2

1
x

sin s
-ds,
o
s

sin s

ds

1.605.

First-Order Equations
An ODE of the first order is an equation of th e form
G(x , y, y/) = O.

There are three types of these equations that occur regularly in PDEs:
separable, lin ear, and Bernoulli . The gen eral solution involves an arbitrary constant C that can be det ermined by an initial condition of the
form y(xo) = Yo .

Separable Equations
A first-order equation is separable if it can be written in the form
dy

= f(x)g(y) .

dx

In this case we separate variables to write

dy

g(y )

= f(x)dx .

Then we can int egrate both sides to get

dy

g(y)

= !f(X)dx + C,

which defines the solution implicitly. As noted above, sometimes the antiderivatives should be written as definite integrals with a variable upper
limit of integration.
The simpl est separable equation is the growth-decay equation
y/

= )"y ,

= ce":

which has general solution

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Ordinar y Differential Equations

199

Th e solution mod els expone ntia l growth if A > 0 and expone ntial decay

in

<

o.

Linear Equations
A first-order linea r eq ua tion is on e of the form
.11'

+ p(x )y = q(x ).

This can be solved by multiplying through by an int egrating factor of th e

form
e.Cp ( s)ds .

This turns the left side of the equa tion into a total derivative, and it
becom es

(l

( .11 expel ' P(S)dS)) = q(x) exp

Now, both sides can be int egrated from

procedure with an exam ple.

(l

p( s)ds)

to x to find y . We illustra te th is

E XAMP LE

Find an expression for the solutio n to th e initial value probl em

.11'

+ 2xy =

JX,

.11( 0)

The integrating factor is ex p(j~Y 2sds) = exp(x

of th e equat ion by th e integrati ng factor gives

3.
).

Multiplying bo th sides

(ye")' = JXe x: .
Now, integrating from () to
integration to s) gives

(while changing the dummy var iable of

Solving for .11 gives

y(x)

= e-

'(3

10

JSe s'ds)

= 3e- x' +

10

JSe

s2
-

x' ds.

As is freque ntly the case, the integrals in this example can not be comput ed eas ily, if at all, and we mu st write th e solution in term s of integrals
with variable limi ts.
D

Bernoulli Equations
Bernoulli equations are nonlinear equations havin g th e form
.11'

+ p(x)y

= q(x)yn.

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200

Ordinary Differential Equations

The transformation of dependent variables w =

equation into a first-order linear equation for w.

yl-n

turns a Bernoulli

Second-Order Equations
Special Equations
Some second-order equations can be immediately reduced to a firstorder equation. For example, if the equation has the form

= 0,
substitution v = y' reduces the equation to

G(x, y', y")

where y is missing, then the

the first-order equation

G(x, v, v') = 0.

If the second-order equation does not depend explicitly on the independent variable x, that is, it has the form

= 0,

G(y, y', y")

then we again define v = y'. Then

dv
dx

y " = -d
y,

dx

dv dy
dy dx

dv
dy v.

So the equation becomes

dv
G(y , v, dy v)

= 0,

which is a first-order equation in v = v(y).

Linear, Constant-Coefficient Equations

The equation
ay"

+ by' + cy = 0,

where a, b, and c are constants, occurs frequently in applications. We

recall that the general solution of a linear, second-order, homogeneous
equation is a linear combination of two independent solutions. That is, if
Yl(X) and yz(x) are independent solutions, then the general solution is
y = ClYl(X)

+ czYz(x),

where Cl and Cz are arbitrary constants. If we try a solution of the form

y = emx , where m is to be determined, then substitution into the equation
gives the so-called characteristic equation
am'

+ bm + c =

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Ordinary Differential Equations

201

for m. This is a quadratic polynomial that will have two root s, m j and mz.
Th ree poss ibiliti es can occur: un equal real roots , equal real roots, and
com plex roots (whi ch mu st be complex conjugates).
Case (I). m j, mz rea l and un equal. In this case two indep endent
solutions are el111X and e111 2X
Case (II) . m j , mz real and equal, i.e., m ] = mz == m . In this case two
ind ep endent solutions are el11X and xel11X
Case (III ) . m j = a + if3, mz = a - if3 are com plex conjugate roots. In
this case two real, ind ependent solutions are e" sin f3x and e" cos f3x .
Of particular imp ort an ce are the two equations y " + aZy = 0, which
has gene ral soluti on y = Cl cos ax + C2 sin ax, and y" - aZy = 0,
whi ch has general solution y = C] e- ax + czeax , or equivale ntly, y =
C1 cosh ax + Cz sinh ax . The se two equations occu r so freque ntly th at it is
best to memorize th eir solutions.

Cauchy-Euler Equations
It is difficult to solve second-order lin ear equations with variable coefficie nts. Often , the reader may recall, power seri es methods are applied.
Howeve r, the re is a special equation th at can be solved with simple
formulae, na mely , a Cauchy-E uler equation of th e form

2
ax y"

+ bxy' + cy

= O.

Th is equation adm its power fun ctions as solutions . Hen ce, if we try a
solution of the form y = x'" , whe re m is to be determined , th en we obtain
upon substitution the cha racteristic equation
am(m - 1) + bm

+c=

O.

This qu adratic equation has two roots, mj and mz. Thu s, th er e are three
cases:
Case (I). m ], mz real and un equal. In this case two inde pende nt
solutions are X 1111 and X 1111
Case (II) . m j , mz real and equa l, i.e. , m ] = mz == m. In th is case two
inde pe nde nt solutions are x l11 and x l11 In x .
Case (III ). m j = a + i{3, m2 = a - i{3 are com plex conjugate roots . In th is
case two real, ind ep end ent solut ions are XU sin( f3 ln x) and xa cos(f3 ln x) .

Particular Solutions
Th e gene ral solution of th e inhomogeneous ODE

y" + p( x )y '
is

+ q(x )y

= [(x)

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Ordinary Differential Equ ations

where Yl and yz are independent solutions of the homogen eous equat ion
[when [(x) == 0], and yp is any particular solutio n to the inhomogen eous
equation. For constant-coefficient equations a particular solutio n can
som etimes be "guessed" from the form of [(x); the reader may recall that
this guessing method is called the method of un det er mined coefficients.
In any case, however, there is a gen eral formula , called the variation o[parameters formu la, which gives the particular solutio n in terms of the two
linearly independent solutions Yl and yz. Th e form ula, which is derived
in elementary texts, is given by

The re are several int rodu ctory texts on differential equations [see,
for example, Boyce and DiPrim a (1995) or Edwards and Penney (2004)].
Birkhoff and Rota (1978) and Hirsch, Smale, and Devan ey (2004) are two
more advance d texts.

Exercises
Solve th e following differential equations.
1. y'

+ 2y = e- x .

2. y'

= - 3y .

3. y"

+ By = O.

4. y' - xy

= XZy z.
+ 4y = O.

5. x 2y" - 3xy'
6. y"

+ xy'Z = o.

+ y' + Y = O.
yy" - y, 3 = O.

7. y"

8.

9. 2x 2y"

+ 3xy' -

10. y" - 3y' - 4y

11 . y"

14. Y

= O.

= 2 sinx.

+ 4y = x sin 2x .

12. y' - 2xy

13. y"

= 1.

+ 5y' + 6y = O.

x2
1+3y 3

15. y" - 6y

'

= O.

Exercises

20 3

TABLE OF LAPLACE TRANSFORMS

u(t)

U( s)

t"

---L
s-a

sin at
cos at

a'+ s'

sinh at
cosh at

S2_ a 2

U(s - a)

H(t - a)u(t - a)
1 - erf

(u

( -..E-)
J4t

* v)(t)

U(s ) V( s)

tu(t)

- U' (s)

u(t) / t

!,OO U(r)dr

u(at)

U(s / a) / a

o(t - a)