Note of ODE

ORDINARY DIFFERENTIAL EQUATIONS
FOR ENGINEERS
THE LECTURE NOTES FOR MATH-
263 (2010-Fall)
ORDINARY DIFFERENTIAL EQUATIONS
FOR ENGINEERS
JIAN-JUN XU
Department of Mathematics and Statistics, McGill University
Kluwer Academic Publishers
Boston/Dordrecht/London
Contents
1. INTRODUCTION 1
1 Denitions and Basic Concepts 1
1.1 Ordinary Dierential Equation (ODE) 1
1.2 Solution 1
1.3 Order n of the DE 1
1.4 Initial Conditions 2
1.5 First Order Equation and Direction Field 2
1.6 Linear Equation: 2
1.7 Homogeneous Linear Equation: 3
1.8 Partial Dierential Equation (PDE) 3
1.9 General Solution of a Linear Dierential Equation 3
1.10 A System of ODEs 4
2 The Approaches of Finding Solutions of ODE 5
2.1 Analytical Approaches 5
2.2 Numerical Approaches 5
2. FIRST ORDER DIFFERENTIAL EQUATIONS 7
1 Linear Equation 7
1.1 Linear homogeneous equation 8
1.2 Linear inhomogeneous equation 8
2 Nonlinear Equations (I) 10
2.1 Separable Equations. 10
2.2 Logistic Equation 12
2.3 Fundamental Existence and Uniqueness Theorem 14
2.4 Bernoulli Equation: 16
2.5 Homogeneous Equation: 16
v
vi ORDINARY DIFFERENTIAL EQUATIONS FOR ENGINEERS
3 Nonlinear Equations (II)Exact Equation and Integrating
Factor 18
3.1 Exact Equations. 18
4 Integrating Factors. 20
3. N-TH ORDER DIFFERENTIAL EQUATIONS 23
1 Introduction 23
2 (*)Fundamental Theorem of Existence and Uniqueness 24
2.1 Theorem of Existence and Uniqueness (I) 24
2.2 Theorem of Existence and Uniqueness (II) 25
2.3 Theorem of Existence and Uniqueness (III) 25
3 Linear Equations 25
3.1 Basic Concepts and General Properties 25
3.1.1 Linearity 26
3.1.2 Superposition of Solutions 26
3.1.3 () Kernel of Linear operator L(y) 27
3.2 New Notations 27
4 Basic Theory of Linear Dierential Equations 27
4.1 Basics of Linear Vector Space 28
4.1.1 Dimension and Basis of Vector Space 28
4.1.2 Linear Independency 29
4.2 Wronskian of n-functions 30
4.2.1 Denition 30
4.2.2 Theorem 1 31
4.2.3 Theorem 2 32
4.2.4 The Solutions of L[y] = 0 as a Linear Vector Space 33
5 Solutions for Equations with Constants Coecients 34
5.1 The Method with Undetermined Parameters 34
5.1.1 Basic Equalities (I) 34
5.1.2 Cases (I) ( r
1
> r
2
) 35
5.1.3 Cases (II) ( r
1
= r
2
) 36
5.1.4 Cases (III) ( r
1,2
= i) 38
5.2 The Method with Dierential Operator 39
5.2.1 Basic Equalities (II). 39
5.2.2 Cases (I) 40
5.2.3 Cases (II) 40
5.2.4 Cases (III) 41
5.2.5 Summary 41
5.2.6 Theorem 1 42
Contents vii
6 Finding a Particular Solution for Inhomogeneous Equation
46
6.1 The Annihilator and the Method of Undetermined
Constants 46
6.1.1 The Annihilators for Some Types of Functions 47
6.2 The Method of Variation of Parameters 52
6.3 Reduction of Order 56
7 Solutions for Equations with Variable Coecients 59
7.1 Euler Equations 59
7.2 Cases (I) ( r
1
= r
2
) 60
7.3 Cases (II) ( r
1
= r
2
) 60
7.4 Cases (III) ( r
1,2
= i) 61
7.5 (*)Exact Equations 62
4. LAPLACE TRANSFORMS 63
1 Introduction 63
2 Laplace Transform 65
2.1 Denition 65
2.1.1 Piecewise Continuous Function 65
2.1.2 Laplace Transform 65
2.2 Existence of Laplace Transform 65
3 Basic Properties and Formulas of
Laplace Transform 66
3.1 Linearity of Laplace Transform 66
3.2 Laplace Transforms for f(t) = e
at
66
3.3 Laplace Transforms for f(t) = {sin(bt) and cos(bt)}
66
3.4 Laplace Transforms for {e
at
f(t); f(bt)} 67
3.5 Laplace Transforms for {t
n
f(t)} 67
3.6 Laplace Transforms for {f
(t)} 68
4 Inverse Laplace Transform 68
4.1 Theorem: 68
4.2 Denition 69
5 Solve IVP of DEs with Laplace Transform Method 69
5.1 Example 1 69
5.2 Example 2 71
5.3 Example 3 72
6 Further Studies of Laplace Transform 73
6.1 Step Function 73
viii ORDINARY DIFFERENTIAL EQUATIONS FOR ENGINEERS
6.1.1 Denition 73
6.1.2 Some basic operations with the step function 73
6.1.3 Laplace Transform of Unit Step Function 74
6.2 Impulse Function 80
6.2.1 Denition 80
6.2.2 Laplace Transform of Impulse Function 81
6.3 Convolution Integral 82
6.3.1 Theorem 82
6.3.2 The properties of convolution integral 82
5. SERIES SOLUTION OF LINEAR DIFFERENTIAL EQUATIONS
85
1 Introduction 85
2 Series Solutions near an Ordinary Point 86
2.1 Theorem 86
3 Introduction 89
4 Series Solutions near a Regular Singular Point 89
4.1 Case (I): The roots (r
1
r
2
= N) 92
4.2 Case (II): The roots (r
1
= r
2
) 92
4.3 Case (III): The roots (r
1
r
2
= N > 0) 93
5 Summary 96
6 Bessel Equation 102
7 The Case of Non-integer 103
8 The Case of = m with m an integer 0 104
9 Behaviors of Solutions near the Regular Singular Point
x = 0 107
9.1 Case (I): r
1
r
2
= N 107
9.2 Case (II): r
1
= r
2
108
9.3 Case (III): r
1
r
2
= N = 0 108
6. () SYSTEMS OF LINEAR DIFFERENTIAL EQUATIONS 109
1 Introduction 109
1.1 (2 2) System of Linear Equations 110
1.2 Case 1: > 0 110
1.3 Case 2: < 0 111
1.4 Case 3: = 0 112
2 Solutions for (n n) Homogeneous Linear System 116
2.1 Case (I): (A) is non-defective matrix 116
Contents ix
2.2 Case (II): (A) has a pair of complex conjugate
eigen-values 118
2.3 Case (III): (A) is a defective matrix 118
3 Solutions for Non-homogeneous Linear System 121
3.1 Variation of Parameters Method 121
Chapter 1
INTRODUCTION
1. Denitions and Basic Concepts
1.1 Ordinary Dierential Equation (ODE)
An equation involving the derivatives of an unknown function y of a
single variable x over an interval x (I).
1.2 Solution
Any function y = f(x) which satises this equation over the interval
(I) is called a solution of the ODE.
For example, y = e
2x
is a solution of the ODE
y
= 2y
and y = sin(x
2
) is a solution of the ODE
xy
+ 4x
3
y = 0.
In general, ODE has innitely many solutions, depending on a number
of constants.
1.3 Order n of the DE
An ODE is said to be order n, if y
(n)
is the highest order derivative
occurring in the equation. The simplest rst order ODE is y
= g(x).
The most general form of an n-th order ODE is
F(x, y, y
, . . . , y
(n)
) = 0
with F a function of n + 2 variables x, u
0
, u
1
, . . . , u
n
. The equations
xy
+y = x
3
, y
+y
2
= 0, y
+ 2y
+y = 0
1
2 ORDINARY DIFFERENTIAL EQUATIONS FOR ENGINEERS
are examples of ODEs of second order, rst order and third order re-
spectively with respectively
F(x, u
0
, u
1
, u
2
) = xu
2
+u
0
x
3
,
F(x, u
0
, u
1
) = u
1
+u
2
0
,
F(x, u
0
, u
1
, u
2
, u
3
) = u
3
+ 2u
1
+u
0
.
In general, the solutions of n-th order equation may depend on con-
stants.
1.4 Initial Conditions
To determine a specic solution, one may impose some initial condi-
tions (ICs):
y(x
0
) = y
0
, y
(x
0
) = y
0
, , y
(n1)
(x
0
) = y
(n1)
0
.
1.5 First Order Equation and Direction Field
Given
y
(x) = F(x, y), (x, y) R.

Let R : a x b, c y d be a rectangular domain, and set
a = x
0
< x
1
< < x
m
= b
be equally spaced poind in [a, b] and
c = y
0
< y
1
< < y
n
= d
be equally spaced poind in [c, d]. Then (x
i
, y
j
), 0 i m, 0 j
n form a rectangular grid. Through each point P
i,j
in the grid, we
draw a short line segment with the slope F(x
i
, y
j
). The result is an
approximation of direction eld of the ODE in R.
If the grid points are suciently close together, we can draw approxi-
mate integral curve of the equation by drawing curves through points in
the grid tangent to the line segments associated with the points in the
grid.
1.6 Linear Equation:
If the function F is linear in the variables u
0
, u
1
, . . . , u
n
the ODE is
said to be linear. If, in addition, F is homogeneous then the ODE is said
to be homogeneous. The rst of the above examples above is linear are
linear, the second is non-linear and the third is linear and homogeneous.
INTRODUCTION 3
The general n-th order linear ODE can be written
a
n
(x)
d
n
y
dx
n
+a
n1
(x)
d
n1
y
dx
n1
+ +a
1
(x)
dy
dx
+a
0
(x)y = b(x).
1.7 Homogeneous Linear Equation:
The linear DE is homogeneous, if and only if b(x) 0. Linear homo-
geneous equations have the important property that linear combinations
of solutions are also solutions. In other words, if y
1
, y
2
, . . . , y
m
are solu-
tions and c
1
, c
2
, . . . , c
m
are constants then
c
1
y
1
+c
2
y
2
+ +c
m
y
m
is also a solution.
1.8 Partial Dierential Equation (PDE)
An equation involving the partial derivatives of a function of more
than one variable is called PED. The concepts of linearity and homo-
geneity can be extended to PDEs. The general second order linear PDE
in two variables x, y is
a(x, y)
2
u
x
2
+b(x, y)

2
u
xy
+c(x, y)
2
u
y
2
+d(x, y)
u
x
+e(x, y)
u
y
+f(x, y)u = g(x, y).
Laplaces equation
2
u
x
2
+

2
u
y
2
= 0
is a linear, homogeneous PDE of order 2. The functions u = log(x
2
+y
2
),
u = xy, u = x
2
y
2
are examples of solutions of Laplaces equation. We
will not study PDEs systematically in this course.
1.9 General Solution of a Linear Dierential
Equation
It represents the set of all solutions, i.e., the set of all functions which
satisfy the equation in the interval (I).
For example, the general solution of the dierential equation
y
= 3x
2
is
y = x
3
+C,
where C is an arbitrary constant. The constant C is the value of y
at x = 0. This initial condition completely determines the solution.
More generally, one easily shows that given a, b there is a unique solution
y of the dierential equation with y(a) = b. Geometrically, this means
that the one-parameter family of curves y = x
2
+C do not intersect one
another and they ll up the plane R
2
.
1.10 A System of ODEs
y
1
= G
1
(x, y
1
, y
2
, . . . , y
n
)
y
2
= G
2
(x, y
1
, y
2
, . . . , y
n
)
.
.
.
y
n
= G
n
(x, y
1
, y
2
, . . . , y
n
)
An n-th order ODE of the form y
(n)
= G(x, y, y
, . . . , y
n1
) can be trans-
formed in the form of the system of rst order DEs. If we introduce
dependant variables y
1
= y, y
2
= y
, . . . , y
n
= y
n1
we obtain the equiv-
alent system of rst order equations
y
1
= y
2
,
y
2
= y
3
,
.
.
.
y
n
= G(x, y
1
, y
2
, . . . , y
n
).
For example, the ODE y
= y is equivalent to the system

y
1
= y
2
,
y
2
= y
1
.
In this way the study of n-th order equations can be reduced to the
study of systems of rst order equations. Some times, one called the
latter as the normal form of the n-th order ODE. Systems of equations
arise in the study of the motion of particles. For example, if P(x, y) is
the position of a particle of mass m at time t, moving in a plane under
the action of the force eld (f(x, y), g(x, y), we have
m
d
2
x
dt
2
= f(x, y),
m
d
2
y
dt
2
= g(x, y).
This is a second order system.
The general rst order ODE in normal form is
y
= F(x, y).
INTRODUCTION 5
If F and
F
y
are continuous one can show that, given a, b, there is a
unique solution with y(a) = b. Describing this solution is not an easy
task and there are a variety of ways to do this. The dependence of the
solution on initial conditions is also an important question as the initial
values may be only known approximately.
The non-linear ODE yy
= 4x is not in normal form but can be

brought to normal form
y
=
4x
y
.
by dividing both sides by y.
2. The Approaches of Finding Solutions of ODE
2.1 Analytical Approaches
Analytical solution methods: nding the exact form of solutions;
Geometrical methods: nding the qualitative behavior of solutions;
Asymptotic methods: nding the asymptotic form of the solution,
which gives good approximation of the exact solution.
2.2 Numerical Approaches
Numerical algorithms numerical methods;
Symbolic manipulators Maple, MATHEMATICA, MacSyma.
This course mainly discuss the analytical approaches and mainly on
analytical solution methods.
Chapter 2
FIRST ORDER DIFFERENTIAL EQUATIONS
In this chapter we are going to treat linear and separable rst order
ODEs.
1. Linear Equation
The general rst order ODE has the form F(x, y, y
) = 0 where y =
y(x). If it is linear it can be written in the form
a
0
(x)y
+a
1
(x)y = b(x)
where a
0
(x), a
(
x), b(x) are continuous functions of x on some interval
(I).
To bring it to normal form y
= f(x, y) we have to divide both sides of

the equation by a
0
(x). This is possible only for those x where a
0
(x) = 0.
After possibly shrinking I we assume that a
0
(x) = 0 on (I). So our
equation has the form (standard form)
y
+p(x)y = q(x)
with
p(x) = a
1
(x)/a
0
(x), q(x) = b(x)/a
0
(x),
both continuous on (I). Solving for y
we get the normal form for a

linear rst order ODE, namely
y
= q(x) p(x)y.
7
1.1 Linear homogeneous equation
Let us rst consider the simple case: q(x) = 0, namely,
dy
dx
+p(x)y = 0.
With the chain law of derivative, one may write
y
(x)
y
=
d
dx
ln [y(x)] = p(x),
integrating both sides, we derive
ln y(x) =
_
p(x)dx +C,
or
y = C
1
e
_
p(x)dx
,
where C, as well as C
1
= e
C
, is arbitrary constant.
1.2 Linear inhomogeneous equation
We now consider the general case:
dy
dx
+p(x)y = q(x).
We multiply the both sides of our dierential equation with a factor
(x) = 0. Then our equation is equivalent (has the same solutions) to
the equation
(x)y
(x) +(x)p(x)y(x) = (x)q(x).

We wish that with a properly chosen function (x),
(x)y
(x) +(x)p(x)y(x) =
d
dx
[(x)y(x)].
For this purpose, the function (x) must has the property
(x) = p(x)(x), (2.1)

and (x) = 0 for all x. By solving the linear homogeneous equation
(2.1), one obtain
(x) = e
_
p(x)dx
. (2.2)
FIRST ORDER DIFFERENTIAL EQUATIONS 9
With this function, which is called an integrating factor, our equation
is reduced to
d
dx
[(x)y(x)] = (x)q(x), (2.3)
Integrating both sides, we get
(x)y =
_
(x)q(x)dx +C
with C an arbitrary constant. Solving for y, we get
y =
1
(x)
_
(x)q(x)dx +
C
(x)
= y
P
(x) +y
H
(x) (2.4)
as the general solution for the general linear rst order ODE
y
+p(x)y = q(x).
In solution (2.4):
the rst part, y
P
(x): a particular solution of the inhomogeneous
equation,
the second part, y
H
(x): the general solution of the associated
homogeneous equation.
Note that for any pair of scalars a, b with a in (I), there is a unique
scalar C such that y(a) = b. Geometrically, this means that the solution
curves y = (x) are a family of non-intersecting curves which ll the
region I R.
Example 1: Given
y
+xy = x, (I) = R.
This is a linear rst order ODE in standard form with p(x) = q(x) = x.
The integrating factor is
(x) = e
_
xdx
= e
x
2
/2
.
Hence, after multiplying both sides of our dierential equation, we get
d
dx
(e
x
2
/2
y) = xe
x
2
/2
which, after integrating both sides, yields
e
x
2
/2
y =
_
xe
x
2
/2
dx +C = e
x
2
/2
+C.
Hence the general solution is y = 1 +Ce
x
2
/2
.
The solution satisfying the initial condition: y(0) = 1:
y = 1, (C = 0);
and
the solution satisfying I.C., y(0) = a:
y = 1 + (a 1)e
x
2
/2
, (C = a 1).
Example 2: Given
xy
2y = x
3
sin x, (I) = (x > 0).
We bring this linear rst order equation to standard form by dividing
by x. We get
y
2
x
y = x
2
sin x.
The integrating factor is
(x) = e
_
2dx/x
= e
2 ln x
= 1/x
2
.
After multiplying our DE in standard form by 1/x
2
and simplifying, we
get
d
dx
(y/x
2
) = sin x
from which y/x
2
= cos x +C, and
y = x
2
cos x +Cx
2
. (2.5)
Note that (3.29) are a family of solutions to the DE
xy
2y = x
3
sin x
and that they all satisfy the initial condition y(0) = 0. This non-
uniqueness is due to the fact that x = 0 is a singular point of the
DE.
2. Nonlinear Equations (I)
2.1 Separable Equations.
The rst order ODE y
= f(x, y) is said to be separable if f(x, y) can

be expressed as a product of a function of x times a function of y. The
DE then has the form:
y
= g(x)h(y)
and, dividing both sides by h(y), it becomes
y
h(y)
= g(x).
Of course this is not valid for those solutions y = y(x) at the points
where h[y(x)] = 0. Assuming the continuity of g and h, we can integrate
both sides of the equation to get
_
y
(x)
h[y(x)]
dx =
_
g(x)dx +C.
Assume that
H(y) =
_
dy
h(y)
,
By chain rule, we have
d
dx
H[y(x)] = H
(y)y
(x) =
1
h[y(x)]
y
(x),
hence
H[y(x)] =
_
y
(x)
h[y(x)]
dx =
_
g(x)dx +C.
Therefore,
_
dy
h(y)
= H(y) =
_
g(x)dx +C,
gives the implicit form of the solution. It determines the value of y
implicitly in terms of x.
Example 1: y
=
x5
y
2
.
To solve it using the above method we multiply both sides of the
equation by y
2
to get
y
2
y
= (x 5).
Integrating both sides we get y
3
/3 = x
2
/2 5x +C. Hence,
y =
_
3x
2
/2 15x +C
1
_
1/3
.
Example 2: y
=
y1
x+3
(x > 3). By inspection, y = 1 is a solution.
Dividing both sides of the given DE by y 1 we get
y
y 1
=
1
x + 3
.
This will be possible for those x where y(x) = 1. Integrating both sides
we get
_
y
y 1
dx =
_
dx
x + 3
+C
1
,
from which we get ln |y 1| = ln(x +3) +C
1
. Thus |y 1| = e
C
1
(x +3)
from which y 1 = e
C
1
(x + 3). If we let C = e
C
1
, we get
y = 1 +C(x + 3).
Since y = 1 was found to be a solution by inspection the general solution
is
y = 1 +C(x + 3),
where C can be any scalar. For any (a, b) with a = 3, there is only one
member of this family which passes through (a, b).
However, it is seen that there is a family of lines passing through
(3, 1), while no solution line passing through (3, b) with b = 1). Here,
x = 3 is a singular point.
Example 3: y
=
y cos x
1+2y
2
. Transforming in the standard form then
integrating both sides we get
_
(1 + 2y
2
)
y
dy =
_
cos xdx +C,
from which we get a family of the solutions:
ln |y| +y
2
= sin x +C,
where C is an arbitrary constant. However, this is not the general solu-
tion of the equation, as it does not contains, for instance, the solution:
y = 0. With I.C.: y(0)=1, we get C = 1, hence, the solution:
ln |y| +y
2
= sin x + 1.
2.2 Logistic Equation
y
= ay(b y),
where a, b > 0 are xed constants. This equation arises in the study
of the growth of certain populations. Since the right-hand side of the
equation is zero for y = 0 and y = b, the given DE has y = 0 and y = b
as solutions. More generally, if y
= f(t, y) and f(t, c) = 0 for all t in

some interval (I), the constant function y = c on (I) is a solution of
y
= f(t, y) since y
= 0 for a constant function y.

To solve the logistic equation, we write it in the form
y
y(b y)
= a.
Integrating both sides with respect to t we get
_
y
dt
y(b y)
= at +C
which can, since y
dt = dy, be written as
_
dy
y(b y)
= at +C.
Since, by partial fractions,
1
y(b y)
=
1
b
(
1
y
+
1
b y
)
we obtain
1
b
(ln |y| ln |b y|) = at +C.
Multiplying both sides by b and exponentiating both sides to the base
e, we get
|y|
|b y|
= e
bC
e
abt
= C
1
e
abt
,
where the arbitrary constant C
1
= e
bC
can be determined by the initial
condition (IC): y(0) = y
0
as
C
1
=
|y
0
|
|b y
0
|
.
Two cases need to be discussed separately.
Case (I), y
0
< b: one has C
1
= |
y
0
by
0
| =
y
0
by
0
> 0. So that,
|y|
|b y|
=
_
y
0
b y
0
_
e
abt
> 0, (t (I)).
From the above we derive
y/(b y) = C
1
e
abt
,
y = (b y)C
1
e
abt
.
This gives
y =
bC
1
e
abt
1 +C
1
e
abt
=
b
_
y
0
by
0
_
e
abt
1 +
_
y
0
by
0
_
e
abt
.
It shows that if y
0
= 0, one has the solution y(t) = 0. However, if
0 < y
0
< b, one has the solution 0 < y(t) < b, and as t , y(t) b.
Case (II), y
0
> b: one has C
1
= |
y
0
by
0
| =
y
0
by
0
> 0. So that,
y
b y
=
_
y
0
y
0
b
_
e
abt
> 0, (t (I)).
From the above we derive
y/(y b) =
_
y
0
y
0
b
_
e
abt
,
y = (y b)
_
y
0
y
0
b
_
e
abt
.
This gives
y =
b
_
y
0
y
0
b
_
e
abt
_
y
0
y
0
b
_
e
abt
1
.
It shows that if y
0
> b, one has the solution y(t) > b, and as t ,
y(t) b.
It is derived that
y(t) = 0 is an unstable equilibrium state of the system;
y(t) = b is a stable equilibrium state of the system.
2.3 Fundamental Existence and Uniqueness
Theorem
If the function f(x, y) together with its partial derivative with respect
to y are continuous on the rectangle
(R) : |x x
0
| a, |y y
0
| b
there is a unique solution to the initial value problem
y
= f(x, y), y(x

0
) = y
0
dened on the interval |x x
0
| < h where
h = min(a, b/M), M = max |f(x, y)|, (x, y) (R).
Note that this theorem indicates that a solution may not be dened
for all x in the interval |x x
0
| a. For example, the function
y =
bCe
abx
1 +Ce
abx
is solution to y
= ay(b y) but not dened when 1 + Ce

abx
= 0 even
though f(x, y) = ay(b y) satises the conditions of the theorem for all
x, y.
The next example show why the condition on the partial derivative
in the above theorem is important sucient condition.
Consider the dierential equation y
= y
1/3
. Again y = 0 is a solution.
Separating variables and integrating, we get
_
dy
y
1/3
= x +C
1
which yields
y
2/3
= 2x/3 +C
and hence
y = (2x/3 +C)
3/2
.
Taking C = 0, we get the solution
y = (2x/3)
3/2
, (x 0)
which along with the solution y = 0 satises y(0) = 0. Even more,
Taking C = (2x
0
/3)
3/2
, we get the solution:
y =
_
0 (0 x x
0
)
[2(x x
0
)/3]
3/2
, (x x
0
)
which also satises y(0) = 0. So the initial value problem
y
= y
1/3
, y(0) = 0
does not have a unique solution. The reason this is so is due to the fact
that
f
y
(x, y) =
1
3y
2/3
is not continuous when y = 0.
Many dierential equations become linear or separable after a change
of variable. We now give two examples of this.
2.4 Bernoulli Equation:
y
= p(x)y +q(x)y
n
(n = 1).
Note that y = 0 is a solution. To solve this equation, we set
u = y
,
where is to be determined. Then, we have
u
= y
1
y
,
hence, our dierential equation becomes
u
/ = p(x)u +q(x)y
+n1
. (2.6)
Now set
= 1 n,
Thus, (2.6) is reduced to
u
/ = p(x)u +q(x), (2.7)

which is linear. We know how to solve this for u from which we get solve
u = y
1n
to get
y = u
1/(1n)
. (2.8)
2.5 Homogeneous Equation:
y
= F(y/x).
To solve this we let
u = y/x,
so that
y = xu, and y
= u +xu
.
Substituting for y, y
in our DE gives
u +xu
= F(u)
which is a separable equation. Solving this for u gives y via y = xu.
Note that
u a
is a solution of
xu
= F(u) u
whenever F(a) = a and that this gives
y = ax
as a solution of
y
= f(y/x).
Example. y
= (x y)/x +y. This is a homogeneous equation since

x y
x +y
=
1 y/x
1 +y/x
.
Setting u = y/x, our DE becomes
xu
+u =
1 u
1 +u
so that
xu
=
1 u
1 +u
u =
1 2u u
2
1 +u
.
Note that the right-hand side is zero if u = 1
2. Separating variables
and integrating with respect to x, we get
_
(1 +u)du
1 2u u
2
= ln |x| +C
1
which in turn gives
(1/2) ln |1 2u u
2
| = ln |x| +C
1
.
Exponentiating, we get
1
_
|1 2u u
2
|
= e
C
1
|x|.
Squaring both sides and taking reciprocals, we get
u
2
+ 2u 1 = C/x
2
with C = 1/e
2C
1
. This equation can be solved for u using the quadratic
formula. If x
0
, y
0
are given with
x
0
= 0, and u
0
= y
0
/x
0
= 1
there is, by the fundamental, existence and uniqueness theorem, a unique
solution with I.C.
y(x
0
) = y
0
.
For example, if x
0
= 1, y
0
= 2, we have, u(x
0
) = 2, so, C = 7 and
hence
u
2
+ 2u 1 = 7/x
2
Solving for u, we get
u = 1 +
_
2 + 7/x
2
where the positive sign in the quadratic formula was chosen to make
u = 2, x = 1 a solution. Hence
y = x +x
_
2 + 7/x
2
= x +
_
2x
2
+ 7
is the solution to the initial value problem
y
=
x y
x +y
, y(1) = 2
for x > 0 and one can easily check that it is a solution for all x. Moreover,
using the fundamental uniqueness theorem, it can be shown that
it is the only solution dened for all x.
3. Nonlinear Equations (II) Exact Equation
and Integrating Factor
3.1 Exact Equations.
By a region of the (x, y)-plane we mean a connected open subset of
the plane. The dierential equation
M(x, y) +N(x, y)
dy
dx
= 0
is said to be exact on a region (R) if there is a function F(x, y) dened
on (R) such that
F
x
= M(x, y);
F
y
= N(x, y)
In this case, if M, N are continuously dierentiable on (R) we have
M
y
=
N
x
. (2.9)
Conversely, it can be shown that condition (2.9) is also sucient for the
exactness of the given DE on (R) providing that (R) is simply connected,
.i.e., has no holes.
The exact equations are solvable. In fact, suppose y(x) is its solution.
Then one can write:
M [x, y(x)] +N [x, y(x)]
dy
dx
=
F
x
+
F
y
dy
dx
=
d
dx
F [x, y(x)] = 0.
It follows that
F [x, y(x)] = C,
where C is an arbitrary constant. This is an implicit form of the solution
y(x). Hence, the function F(x, y), if it is found, will give a family of the
solutions of the given DE.
The curves F(x, y) = C are called integral curves of the given DE.
Example 1. 2x
2
y
dy
dx
+ 2xy
2
+ 1 = 0. Here
M = 2xy
2
+ 1, N = 2x
2
y
and R = R
2
, the whole (x, y)-plane. The equation is exact on R
2
since
R
2
is simply connected and
M
y
= 4xy =
N
x
.
To nd F we have to solve the partial dierential equations
F
x
= 2xy
2
+ 1,
F
y
= 2x
2
y.
If we integrate the rst equation with respect to x holding y xed, we
get
F(x, y) = x
2
y
2
+x +(y).
Dierentiating this equation with respect to y gives
F
y
= 2x
2
y +
(y) = 2x
2
y
using the second equation. Hence
(y) = 0 and (y) is a constant

function. The solutions of our DE in implicit form is
x
2
y
2
+x = C.
Example 2. We have already solved the homogeneous DE
dy
dx
=
x y
x +y
.
This equation can be written in the form
y x + (x +y)
dy
dx
= 0
which is an exact equation. In this case, the solution in implicit form is
x(y x) +y(x +y) = C,
i.e.,
y
2
+ 2xy x
2
= C.
4. Integrating Factors.
If the dierential equation M +Ny
= 0 is not exact it can sometimes

be made exact by multiplying it by a continuously dierentiable function
(x, y). Such a function is called an integrating factor. An integrating
factor satises the PDE:
M
y
=
N
x
,
which can be written in the form
_
M
y

N
x
_
= N
x
M
y
.
This equation can be simplied in special cases, two of which we treat
next.
is a function of x only. This happens if and only if
M
y

N
x
N
= p(x)
is a function of x only in which case
= p(x).
is a function of y only. This happens if and only if
M
y

N
x
M
= q(y)
is a function of y only in which case
= q(y).
= P(x)Q(y) . This happens if and only if
M
y

N
x
= p(x)N q(y)M, (2.10)
where
p(x) =
P
(x)
P(x)
, q(y) =
Q
(y)
Q(y)
.
If the system really permits the functions p(x), q(y), such that (2.10)
hold, then we can derive
P(x) = e
_
p(x)dx
; Q(y) = e
_
q(y)dy
.
Example 1. 2x
2
+y + (x
2
y x)y
= 0. Here
M
y

N
x
N
=
2 2xy
x
2
y x
=
2
x
so that there is an integrating factor (x) which is a function of x only,
and satises
= 2/x.
Hence = 1/x
2
is an integrating factor and
2 +y/x
2
+ (y 1/x)y
= 0
is an exact equation whose general solution is
2x y/x +y
2
/2 = C
or
2x
2
y +xy
2
/2 = Cx.
Example 2. y + (2x ye
y
)y
= 0. Here
M
y

N
x
M
=
1
y
,
so that there is an integrating factor which is a function of y only which
satises
= /y.
Hence y is an integrating factor and
y
2
+ (2xy y
2
e
y
)y
= 0
is an exact equation with general solution:
xy
2
+ (y
2
+ 2y 2)e
y
= C.
A word of caution is in order here. The solutions of the exact DE
obtained by multiplying by the integrating factor may have
solutions which are not solutions of the original DE. This is due
to the fact that may be zero and one will have to possibly exclude
those solutions where vanishes. However, this is not the case for the
above Example 2.
Chapter 3
N-TH ORDER DIFFERENTIAL EQUATIONS
1. Introduction
In this lecture we will state and sketch the proof of the fundamental
existence and uniqueness theorem for the n-th order DE
y
(n)
= f(x, y, y
, . . . , y
(n1)
).
The starting point is to convert this DE into a system of rst order DE.
Let y
1
= y, y
2
= y
, . . . y
(n1)
= y
n
. Then the above DE is equivalent to
the system
dy
1
dx
= y
2
dy
2
dx
= y
3
.
.
.
dyn
dx
= f(x, y
1
, y
2
, . . . , y
n
).
(3.1)
More generally let us consider the system
dy
1
dx
= f
1
(x, y
1
, y
2
, . . . , y
n
)
dy
2
dx
= f
2
(x, y
1
, y
2
, . . . , y
n
)
.
.
.
dyn
dx
= f
n
(x, y
1
, y
2
, . . . , y
n
).
(3.2)
If we let
Y = (y
1
, y
2
, . . . , y
n
),
F(x, Y ) =
_
f
1
(x, Y ), f
2
(x, Y ), . . . , f
n
(x, Y )
_
23
and
dY
dx
=
_
dy
1
dx
,
dy
2
dx
, . . . ,
dy
n
dx
_
,
the system becomes
dY
dx
= F(x, Y ).
2. (*)Fundamental Theorem of Existence and
Uniqueness
2.1 Theorem of Existence and Uniqueness (I)
If f
i
(x, y
1
, . . . , y
n
) and
f
i
y
j
are continuous on the n + 1-dimensional
box
R : |x x
0
| < a, |y
i
c
i
| < b, (1 i n)
for 1 i, j n with |f
i
(x, y)| M and
f
i
y
1
f
i
y
2
+. . .
f
i
y
n
< L
on R for all i, the initial value problem
dY
dx
= F(x, Y ), Y (x
0
) = (c
1
, c
2
, . . . , c
n
)
has a unique solution on the interval:
|x x
0
| h = min(a, b/M).
The proof is exactly the same as for the proof for n = 1. Since f
i
(x, y
1
, . . . , y
n
),
f
i
y
j
are continuous in the strip:
|x x
0
| a,
we have an constant L such that
|f(x, Y ) f(x, Z)| L|Y Z|.
The Picard iterations Y
k
(x) dened by
Y
0
(x) = Y
0
= (c
1
, . . . , c
n
),
Y
k+1
(x) = Y
0
+
_
x
x
0
F(t, Y
k
(t))dt,
converge to the unique solution Y and
|Y (x) Y
k
(x)| (M/L)e
hL
h
k+1
/(k + 1)!.
As a corollary of the above theorem we get the following fundamental
theorem for n-th order DEs.
N-TH ORDER DIFFERENTIAL EQUATIONS 25
2.2 Theorem of Existence and Uniqueness (II)
If f(x, y
1
, . . . , y
n
) and
f
y
j
are continuous on the box
R : |x x
0
| a, |y
i
c
i
| b (1 i n)
and |f(x, y
1
, . . . , y
n
)| M on R, then the initial value problem
y
(n)
= f(x, y, y
, . . . , y
(n1)
),
with I.Cs:
y
(i1)
(x
0
) = c
i
(1 i n)
has a unique solution on the interval:
|x x
0
| h = max(a, b/M).
2.3 Theorem of Existence and Uniqueness (III)
If a
0
(x), a
1
(x), . . . , a
n
(x) are continuous on an interval I and a
0
(x) = 0
on I then, for any x
0
I, that is not an endpoint of I, and any scalars
c
1
, c
2
, . . . , c
n
, the initial value problem
a
0
(x)y
(n)
+a
1
(x)y
(n1)
+ +a
n
(x)y = b(x),
with I.C.s:
y
(i1)
(x
0
) = c
i
(1 i n)
has a unique solution on the interval I.
In this case:
f
1
= y
2
, f
2
= y
3
, f
n
= p
1
(x)y
1
+ p
n
(x)y
n
+q(x)
where
p
i
(x) = a
ni
(x)/a
0
(x),
and
q(x) = b(x)/a
0
(x).
Hence,
f
y
j
are continuous
3. Linear Equations
In this chapter, we are mainly concerned with linear equations.
3.1 Basic Concepts and General Properties
Let us now go to linear equations. The general form is
L(y) =
a
0
(x)y
(n)
+a
1
(x)y
(n1)
+ +a
n
(x)y = b(x). (3.3)
The function L is called a dierential operator.
3.1.1 Linearity
The characteristic features of linear operator L is that
With any constants (C
1
, C
2
),
L(C
1
y
1
+C
2
y
2
) = C
1
L(y
1
) +C
2
L(y
2
).
With any given functions of x, p
1
(x), p
2
(x), and the Linear operators,
L
1
(y) = a
0
(x)y
(n)
+a
1
(x)y
(n1)
+ +a
n
(x)y
L
2
(y) = b
0
(x)y
(n)
+b
1
(x)y
(n1)
+ +b
n
(x)y,
the function
p
1
L
1
+p
2
L
2
dened by
(p
1
L
1
+p
2
L
2
)(y) = p
1
(x)L
1
(y) +p
2
(x)L
2
(y)
=
_
p
(
x)a
0
(x) +p
2
(x)b
0
(x)
_
y
(n)
+
+[p
1
(x)a
n
(x) +p
2
(x)b
n
(x)] y
is again a linear dierential operator.
Linear operators in general are subject to the distributive law:
L(L
1
+L
2
) = LL
1
+LL
2
,
(L
1
+L
2
)L = L
1
L +L
2
L.
3.1.2 Superposition of Solutions
The solutions the linear of equation (3.3) have the following properties:
For any two solutions y
1
, y
2
of (3.3), namely,
L(y
1
) = b(x), L(y
2
) = b(x),
the dierence (y
1
y
2
) is a solution of the associated homogeneous
equation
L(y) = 0.
For any pair of of solutions y
1
, y
2
of the associated homogenous equa-
tion:
L(y
1
) = 0, L(y
2
) = 0,
the linear combination
(a
1
y
1
+a
2
y
2
)
of solutions y
1
, y
2
is again a solution of the homogenous equation:
L(y) = 0.
3.1.3 () Kernel of Linear operator L(y)
The solution space of L(y) = 0 is also called the kernel of L and is
denoted by ker(L). It is a subspace of the vector space of real valued
functions on some interval I. If y
p
is a particular solution of
L(y) = b(x),
the general solution of
L(y) = b(x)
is
ker(L) +y
p
= {y +y
p
| L(y) = 0}.
3.2 New Notations
The dierential operator
{L(y) = y
} =Dy.
The operator
L(y) = y
= D
2
y = D Dy,
where denotes composition of functions. More generally, the operator
L(y) = y
(n)
= D
n
y.
The identity operator I is dened by
I(y) = y = D
0
y.
By denition D
0
= I. The general linear n-th order ODE can therefore
be written
_
a
0
(x)D
n
+a
1
(x)D
n1
+ +a
n
(x)I
_
(y) = b(x).
4. Basic Theory of Linear Dierential
Equations
In this section we will develop the theory of linear dierential equa-
tions. The starting point is the fundamental existence theorem for the
general n-th order ODE L(y) = b(x), where
L(y) = D
n
+a
1
(x)D
n1
+ +a
n
(x).
We will also assume that a
0
(x) = 0, a
1
(x), . . . , a
n
(x), b(x) are continuous
functions on the interval I.
The fundamental theory says that for any x
0
I, the initial value
problem
L(y) = b(x)
with the initial conditions:
y(x
0
) = d
1
, y
(x
0
) = d
2
, . . . , y
(n1)
(x
0
) = d
n
has a unique solution y = y(x) for any (d
1
, d
2
, . . . , d
n
) R
n
.
From the above, one may deduce that the general solution of n-th
order linear equation contains n arbitrary constants. It can be also
deduced that the above solution can be expressed in the form:
y(x) = d
1
y
1
(x) + +d
n
y
n
(x),
where the y
i
(x), (i = 1, 2, , n) is the set of the solutions for the IVP
with ICs:
_
y
(i1)
(x
0
) = 1, i = 1, 2, n)
y
(k1)
(x
0
) = 0, (k = i, 1 k n).
In general, if the equation L(y) = 0 has a set of n solutions: {y
1
(x), y
n
(x)}
of the equation, such that solution y(x) of the equation can be expressed
in the form:
y(x) = c
1
y
1
(x) + +c
n
y
n
(x),
with a proper set of constants {c
1
, , c
n
}, then the solutions {y
i
(x), i =
1, 2, , n} is called a set of fundamental solutions of the equation.
4.1 Basics of Linear Vector Space
4.1.1 Dimension and Basis of Vector Space
We call the vector space being n-dimensional with the notation by
dim(V ) = n. This means that there exists a sequence of elements:
y
1
, y
2
, . . . , y
n
V such that every y V can be uniquely written in the
form
y = c
1
y
1
+c
2
y
2
+. . . c
n
y
n
with c
1
, c
2
, . . . , c
n
R. Such a sequence of elements of a vector space
V is called a basis for V . In the context of DEs it is also known as a
fundamental set. The number of elements in a basis for V is called
the dimension of V and is denoted by dim(V ). For instance,
e
1
= (1, 0, . . . , 0), e
2
= (0, 1, . . . , 0), . . . ,
e
n
= (0, 0, . . . , 1)
is the standard basis of geometric vector space R
n
.
A set of vectors v
1
, v
2
, , v
n
in a vector space V is said to span or
generate V if every v V can be written in the form
v = c
1
v
1
+c
2
v
2
+ +c
n
v
n
with c
1
, c
2
, . . . , c
n
R. Obviously, not any set of n vectors can span
the vector space V . It will be seen that {v
1
, v
2
, , v
n
} span the vector
space V , if and only if they are linear independent.
4.1.2 Linear Independency
The vectors v
1
, v
2
, . . . , v
n
are said to be linearly independent if
c
1
v
1
+c
2
v
2
+. . . c
n
v
n
= 0
implies that the scalars c
1
, c
2
, . . . , c
n
are all zero. A basis can also be
characterized as a linearly independent generating set since the unique-
ness of representation is equivalent to linear independence. More pre-
cisely,
c
1
v
1
+c
2
v
2
+ +c
n
v
n
= c
1
v
1
+c
2
v
2
+ +c
n
v
n
implies
c
i
= c
i
for all i,
if and only if v
1
, v
2
, . . . , v
n
are linearly independent.
To justify the linear independency of {v
1
(x), v
2
(x), v
3
(x)}, one may
pick any three point (x
1
, x
2
, x
3
) (I), we may derive a system linear
equations:
c
1
v
1
(x
i
) +c
2
v
2
(x
i
) +c
3
v
3
(x
i
) = 0, (i = 1, 2, 3).
If the determinant of the coecients of above equations is
=
v
1
(x
1
) v
2
(x
1
) v
3
(x
1
)
v
1
(x
2
) v
2
(x
2
) v
3
(x
2
)
v
1
(x
3
) v
2
(x
3
) v
3
(x
3
)
= 0,
we derive c
1
= c
2
= c
3
= 0. The set of function is linear independent.
As an example of a linearly independent set of functions, consider
cos(x), cos(2x), sin(3x).
To prove their linear independence, suppose that c
1
, c
2
, c
3
are scalars
such that
c
1
cos(x) +c
2
cos(2x) +c
3
sin(3x) = 0
for all x. Then setting x = 0, /2, , we get
c
1
+c
2
= 0,
c
2
= 0,
c
1
+c
2
c
3
= 0,
from which = 0, hence c
1
= c
2
= c
3
= 0. The set of function is (L.I.)
An example of a linearly dependent set is
sin
2
(x), cos
2
(x), cos(2x)
since
cos(2x) = cos
2
(x) sin
2
(x)
implies that
cos(2x) + sin
2
(x) + (1) cos
2
(x) = 0.
4.2 Wronskian of n-functions
Another criterion for linear independence of functions involves the
Wronskian.
4.2.1 Denition
If y
1
, y
2
, . . . , y
n
are n functions which have derivatives up to order
n 1 then the Wronskian of these functions is the determinant
W = W(y
1
, y
2
, . . . , y
n
)
=
y
1
y
2
. . . y
n
y
1
y
2
. . . y
n
.
.
.
.
.
.
.
.
.
y
(n1)
1
y
(n1)
2
. . . y
(n1)
n
If W(x
0
) = 0 for some point x
0
, then y
1
, y
2
, . . . , y
n
are linearly
independent.
This follows from the fact that W(x
0
) is the determinant of the
coecient matrix of the linear homogeneous system of equations in
c
1
, c
2
, . . . , c
n
obtained from the dependence relation
c
1
y
1
+c
2
y
2
+ +c
n
y
n
= 0
and its rst n 1 derivatives by setting x = x
0
.
For example, if
y
1
= cos(x), y
2
= cos(2x), y
3
= cos(3x)
we have
W =
cos(x) cos(2x) cos(3x)

sin(x) 2 sin(2x) 3 sin(3x)
cos(x) 4 cos(2x) 9 cos(3x)
and W(/4)) = 8 which implies that y

1
, y
2
, y
3
are linearly independent.
Note: W(0) = 0 so that you cannot conclude linear dependence from
the vanishing of the Wronskian at a point.
However, it will be seen later that this is not the case if
y
1
, y
2
, . . . , y
n
are solutions of an n-th order linear homogeneous ODE.
4.2.2 Theorem 1
The the Wronskian of n solutions of the n-th order linear ODE L(y) =
_
D
n
+a
1
(x)D
n1
+ +a
n
(x)I
_
(y) = 0 is subject to the following rst
order ODE:
dW
dx
= a
1
(x)W,
with solution
W(x) = W(x
0
)e
_
x
x
0
a
1
(t)dt
.
From the above it follows that the Wronskian of n solutions of the
n-th order linear ODE L(y) = 0 is either identically zero or vanishes
nowhere.
Proof: We prove this theorem for the case of the second order equation
only. Let
L(y
i
) = y
i
+a
1
(x)y
i
+a
2
y
i
= 0, (i = 1, 2). (3.4)
Note that
dW
dx
=
d
dx
y
1
, y
2
y
1
, y
1
, y
2
y
1
, y
y
1
, y
2
y
1
, y
y
1
, y
2
y
1
, y
y
1
, y
2
(a
1
y
1
+a
2
y
1
), (a
1
y
2
+a
2
y
2
)
.
This yields
W
(x) = a
1
(x)W(x). (3.5)
4.2.3 Theorem 2
If y
1
, y
2
, . . . , y
n
are solutions of the linear ODE L(y) = 0, the following
are equivalent:
1 y
1
, y
2
, . . . , y
n
is a set of fundamental solutions, or a basis for the vector
space V = ker(L);
2 y
1
, y
2
, . . . , y
n
are linearly independent;
3
()
y
1
, y
2
, . . . , y
n
span V ;
4 y
1
, y
2
, . . . , y
n
generate ker(L);
5 W(y
1
, y
2
, . . . , y
n
) = 0 at some point x
0
;
6 W(y
1
, y
2
, . . . , y
n
) is never zero.
Proof. To show (2) (1), we need to prove that for the set of solutions
{y
1
, , y
n
} to be a basis of V , it must be a set of fundamental solutions.
In doing so, let us consider the no-zero solution z(x) and a function
in the form:
(x) = c
1
y
1
+c
2
y
2
+ +c
n
y
n
(3.6)
with a set of the constants:
{c
1
, c
2
, , c
n
}.
From (2), we can conclude that the Wronskian W[y
1
, y
2
, . . . , y
n
] is non-
zero at some x
0
. With the formula (3.6), we let
z(x
0
) = c
1
y
1
(x
0
) + +c
n
y
n
(x
0
) =
1
z
(x
0
) = c
1
y
1
(x
0
) + +c
n
y
n
(x
0
) =
2
.
.
.
z
(n1)
(x
0
) = c
1
y
(n1)
1
(x
0
) + +c
n
y
(n1)
n
(x
0
) =
n
.
The above linear system we may determine a set of the constants:
{c
1
, c
2
, , c
n
},
since its determinant
W(x
0
) = 0.
The above results yield that the two solutions z(x) and (x) satisfy
the same initial conditions at x = x
0
. From the theorem of uniqueness
of solution, it follows that
z(x) (x), for all x (I).
The proof of (2) (5) follows from the fact that if the Wronskian were
zero at some point x
0
, the set of solutions {y
1
, , y
n
} must be linear
dependent.
In fact, with arbitrary {c
1
, c
2
, , c
n
} let us consider the solution
(x) = c
1
y
1
+c
2
y
2
+ +c
n
y
n
,
and set up the following homogeneous system of equations
(x
0
) = c
1
y
1
(x
0
) + +c
n
y
n
(x
0
) = 0
(x
0
) = c
1
y
1
(x
0
) + +c
n
y
n
(x
0
) = 0
.
.
.
(n1)
(x
0
) = c
1
y
(n1)
1
(x
0
) + +c
n
y
(n1)
n
(x
0
) = 0.
Since the Wronskian W(x
0
) = 0, the above system must have a set of
non-zero solution, would have a non-zero solution for {c
1
, c
2
, , c
n
}.
However, on the other hand, the function (x) is the solution of L(x) =
0 with the zero initial conditions. From the fundamental theorem of
existence and uniqueness, we deduce that
(x) = c
1
y
1
+c
2
y
2
+ +c
n
y
n
0.
This implied y
1
, y
2
, . . . , y
n
are linearly dependent.
QED
From the above, we see that to solve the n-th order linear DE L(y) =
b(x) we rst nd linear n independent solutions y
1
, y
2
, . . . , y
n
of L(y) = 0.
Then, if y
P
is a particular solution of L(y) = b(x), the general solution
of L(y) = b(x) is
y = c
1
y
1
+c
2
y
2
+ +c
n
y
n
+y
P
.
The initial conditions:
y(x
0
) = d
1
, y
(x
0
) = d
2
, . . . , y
(n1)
n
(x
0
) = d
n
then determine the constants c
1
, c
2
, . . . , c
n
uniquely.
4.2.4 The Solutions of L[y] = 0 as a Linear Vector Space
Suppose that v
1
(x), v
2
(x), , v
n
(x) are the linear independent solu-
tions of linear equation L[y] = 0. Then any solution of this equation can
be written in the form
v(x) = c
1
v
1
+c
2
v
2
+ +c
n
v
n
with c
1
, c
2
, . . . , c
n
R. Especially The zero function v(x) = 0 is also
solution. The all solutions of linear homogeneous equation form a vector
space V with the basis
v
1
(x), v
2
(x), , v
n
(x).
The vector space V consists of all possible linear combinations of the
vectors:
{v
1
, v
2
, . . . , v
n
}.
5. Solutions for Equations with Constants
Coecients
In what follows, we shall rst focus on the linear equations with con-
stant coecients:
L(y) = a
0
y
(n)
+a
1
y
(n1)
+ +a
n
y = b(x)
and present two dierent approaches to solve them.
5.1 The Method with Undetermined Parameters
To illustrate the idea, as a special case, let us rst consider the 2-nd
order Linear equation with the constant coecients:
L(y) = ay
+by
+cy = f(x). (3.7)

The associate homogeneous equation is:
L(y) = ay
+by
+cy = 0. (3.8)
5.1.1 Basic Equalities (I)
We rst give the following basic identities:
D(e
rx
) = re
rx
; D
2
(e
rx
) = r
2
e
rx
;
D
n
(e
rx
) = r
n
e
rx
. (3.9)
To solve this equation, we assume that the solution is in the form
y(x) = e
rx
, where r is a constant to be determined. Due to the properties
of the exponential function e
rx
:
y
(x) = ry(x); y
(x) = r
2
y(x);
y
(n)
= r
n
y(x), (3.10)
we can write
L(e
rx
) = (r)e
rx
. (3.11)
for any given (r, x), where
(r) = ar
2
+br +c.
is called the characteristic polynomial. From (3.11) it is seen that the
function e
rx
satises the equation (3.7), namely
L(e
rx
) = 0,
as long as the constant r is the root of the characteristic polynomial, i.e.
(r) = 0.
In general, the polynomial (r) has two roots (r
1
, r
2
): One can write
(r) = ar
2
+br +c = a(r r
1
)(r r
2
).
Accordingly, the equation (3.22) has two solutions:
{y
1
(x) = e
r
1
x
; y
2
(x) = e
r
2
x
}.
Three cases should be discussed separately.
5.1.2 Cases (I) ( r
1
> r
2
)
When b
2
4ac > 0, the polynomial (r) has two distinct real roots
(r
1
= r
2
).
In this case, the two solutions, y
(
x); y
2
(x) are dierent. The following
linear combination is not only solution, but also the general solution
of the equation:
y(x) = Ay
1
(x) +By
2
(x), (3.12)
where A, B are arbitrary constants. To prove that, we make use of the
fundamental theorem which states that if y, z are two solutions such that
y(0) = z(0) = y
0
and
y
(0) = z
(0) = y
0
then y = z. Let y be any solution and consider the linear equations in
A, B
Ay
1
(0) +By
2
(0) = y(0),
Ay
1
(0) +By
2
(0) = y
(0),
(3.13)
or
A +B = y
0
,
Ar
1
+Br
2
= y
0
.
(3.14)
Due to r
1
= r
2
, these conditions leads to the unique solution A, B. With
this choice of A, B the solution
z = Ay
1
+By
2
satises
z(0) = y(0), z
(0) = y
(0)
and hence y = z. Thus, (3.35) contains all possible solutions of the
equation, so, it is indeed the general solution.
5.1.3 Cases (II) ( r
1
= r
2
)
When b
2
4ac = 0, the polynomial (r) has double root: r
1
= r
2
=
b
2a
.
In this case, the solution
y
1
(x) = y
2
(x) = e
r
1
x
.
Thus, for the general solution, one needs to derive another type of the
second solution. For this purpose, one may use the method of reduc-
tion of order.
Let us look for a solution of the form C(x)e
r
1
x
with the undetermined
function C(x). By substituting the equation, we derive that
L
_
C(x)e
r
1
x
_
= C(x)(r
1
)e
r
1
x
+a
_
C
(x) + 2r
1
C
(x)
_
e
r
1
x
+bC
(x)e
r
1
x
= 0.
Noting that
(r
1
) = 0; 2ar
1
+b = 0,
we get
C
(x) = 0
or
C(x) = Ax +B,
where A, B are arbitrary constants. Thus, the solution:
y(x) = (Ax +B)e
r
1
x
, (3.15)
is a two parameter family of solutions consisting of the linear combina-
tions of the two solutions:
y
1
= e
r
1
x
, y
2
= xe
r
1
x
.
It is also the general solution of the equation. The proof is similar to
that given for the case (I) based on the fundamental theorem of existence
and uniqueness.
Another approach to treat this case is as follows: Let us consider the
case of equation of order n. Then we have the identity:
L[e
rx
] = (r)e
rx
, (3.16)
which is valid for all x I and arbitrary r. We suppose that the poly-
nomial (r) has multiple root r = r
1
with multiplicity m. Hence, we
have
(r) = (r r
1
)
m
R(r).
It is seen that
(r
1
) =
(r
1
) =
(r
1
) = =
(m1)
(r
1
) = 0.
We now make derivative with respect to r on the both sides of (3.16),
it follows that
d
dr
L[e
rx
] = L
_
d
dr
e
rx
_
= L[xe
rx
]
=
(r)e
rx
+x(r)e
rx
.
(3.17)
Let r = r
1
in (3.16) and (3.17), it follows that
L[e
r
1
x
] = L[xe
r
1
x
] = 0. (3.18)
One may make derivatives on (3.16) up to the order of m 1. As a
consequence, we obtain the linear independent solutions:
{e
r
1
x
, xe
r
1
x
, x
2
e
r
1
x
, , x
m1
e
r
1
x
}.
Example 1. Consider the linear DE y
+ 2y
+y = x. Here
L(y) = y
+ 2y
+y.
A particular solution of the DE L(y) = x is
y
p
= x 2.
The associated homogeneous equation is
y
+ 2y
+y = 0.
The characteristic polynomial
(r) = r
2
+ 2r + 1 = (r + 1)
2
has double roots r
1
= r
2
= 1.
Thus the general solution of the DE
y
+ 2y
+y = x
is
y = Axe
x
+Be
x
+x 2.
This equation can be solved quite simply without the use of the fun-
damental theorem if we make essential use of operators.
5.1.4 Cases (III) ( r
1,2
= i)
When b
2
4ac < 0, the polynomial (r) has two conjugate complex
roots r
1,2
= i. We have to dene the complex number,
i
2
= 1; i
3
= i; i
4
= 1; i
5
= i,
and dene and complex function with the Taylor series:
e
ix
=
n=0
i
n
x
n
n!
=
n=0
(1)
n
x
2n
2n!
+i
n=0
(1)
n
x
2n+1
(2n + 1)!
= cos x + i sin x. (3.19)
From the denition, it follows that
e
x+iy
= e
x
e
iy
= e
x
(cos y + i sin y) .
and
D(e
rx
) = re
rx
, D
n
(e
rx
) = r
n
e
rx
where r is a complex number. So that, the basic equalities are now
extended to the case with complex number r. Thus, we have the two
complex solutions:
y
1
(x) = e
r
1
x
= e
x
(cos x + i sin x),
y
2
(x) = e
r
2
x
= e
x
(cos x i sin x)
with a proper combination of these two solutions, one may derive two
real solutions:
y
1
(x) =
1
2
[y
1
(x) +y
2
(x)] = e
x
cos x,
and
y
2
(x) =
1
2
i[y
1
(x) y
2
(x)] = e
x
sinx
and the general solution:
y(x) = e
x
(Acos x +Bsin x).
5.2 The Method with Dierential Operator
5.2.1 Basic Equalities (II).
We may prove the following basic identity of dierential operators:
for any scalar a,
(D a) = e
ax
De
ax
(D a)
n
= e
ax
D
n
e
ax
(3.20)
where the factors e
ax
, e
ax
are interpreted as linear operators. This
identity is just the fact that
dy
dx
ay = e
ax
_
d
dx
(e
ax
y)
_
.
The formula (3.20) may be extensively used in solving the type of linear
equations under discussion.
Note: equalities (3.20) are still applicable, if the parameter a C, and
operators acting on complex-valued function y(x).
Let us rst consider the homogeneous ODE
L(y) = P(D)y = 0. (3.21)
Here
P(D) = (a
0
D
(n)
+a
1
D
(n1)
+ +a
n
)
is a n-th order polynomial of operator D, which is associated with P(D),
one may write the characteristic polynomial:
(r) = (a
0
r
n
+a
1
r
n1
+ +a
n
). (3.22)
5.2.2 Cases (I)
The characteristic polynomial (r) has n distinct real roots: r
i
=
r
j
, (i = j). In this case, one may write
L(y) = P(D)y = (D r
1
)(D r
2
) (D r
n
)y = 0.
To nd solution, one can rst solve each factor equations:
(D r
i
)y
i
= 0, (i = 1, 2, , n)
separately, which yields a set of independent, so is also fundamental
solutions: {y
i
(x) = e
r
i
x
}, (i = 1, 2, , n). The general solution can be
written in the form:
y(x) = C
1
y
1
(x) +C
2
y
2
(x) + +C
n
y
n
(x).
5.2.3 Cases (II)
. The characteristic polynomial (r) has multiple roots with m mul-
tiplicity.
In this case, one may write
L(y) = P(D)y = (D r
1
)
m
y = 0.
By applying the equalities (3.20), we derive
(D r
1
)
m
y = (e
r
1
x
D
m
e
r
1
x
)y = 0;
so that,
D
m
(e
r
1
x
y) = 0.
This yields
(e
r
1
x
y) = a
0
+a
1
x + +a
m1
x
m1
),
and
y(x) = (a
0
+a
1
x + +a
n1
x
m1
)e
r
1
x
.
With the above result, one may write
ker{(D a)
m
} = {(a
0
+a
1
x + +a
m1
x
m1
)e
ax
|
a
0
, a
1
, . . . , a
m1
R}.
5.2.4 Cases (III)
The characteristic polynomial (r) has a multiple complex root with
m multiplicity. Note that the complex roots of polynomial (r) with
real coecients must be complex conjugate. So that the complex roots
must be paired, as r
1,2
= i. In this case, one may write
L(y) = P(D)y = (D r
1
)
m
(D r
2
)
m
y = 0.
To solve it, one may respectively solve the following two equations:
(D r
1
)
m
y = 0, (D r
2
)
m
y = 0,
which yield two sets of the complex solutions:
(a
0
+a
1
x + +a
m1
x
m1
)e
r
1
x
(b
0
+b
1
x + +b
m1
x
m1
)e
r
2
x
;
The general complex solution can be written as
y(x) = (a
0
+ +a
m1
x
m1
)e
x
(cos x + i sin x),
+(b
0
+ +b
m1
x
m1
)e
x
(cos x i sin x),
where (a
i
, b
i
), i = 0, , m 1 are arbitrary complex constants. Taking
the real part and imaginary part, one derive the general real solution in
the form:
y(x) = e
x
_
( a
0
+ a
1
x + + a
m1
x
m1
) cos x
+(
b
0
+
b
1
x + +
b
m1
x
m1
) sin x
_
,
where ( a
i
,
b
i
), i = 0, , m1 are arbitrary real constants.
5.2.5 Summary
In summary, it can be proved that the following results hold:
ker {(D a)
m
} = span(e
ax
, xe
ax
, . . . , x
m1
e
ax
).
It means that DE
{(D a)
m
}y = 0
has a set of fundamental solutions:
_
e
ax
, xe
ax
, . . . , x
m1
e
ax
_
ker {(D )
2
+
2
)
m
}
= span(e
x
f(x), xe
x
f(x), , x
m1
e
x
f(x)),
where f(x) = cos(x) or sin(x)
It means that DE
{((D )
2
+
2
)
m
}y = 0
has a set of fundamental solutions:
_
e
x
f(x), xe
x
f(x), . . . , x
m1
e
x
f(x)
_
,
where f(x) = cos(x) or sin(x).
5.2.6 Theorem 1
ker{P
n
(D)Q
m
(D)} = ker{P
n
(D)} + ker{Q
m
(D)}
=
_
{y
1
}; {y
2
}
y
1
ker{P
n
(D)},
y
2
ker{Q
m
(D)}
_
,
provided P
n
(X), Q
m
(X) are two polynomials with constant coecients
that have no common roots .
In other words, assume that DE
P
n
(D)y = 0,
has the set of fundamental solutions:
_
p
1
(x), p
2
(x), , p
n
(x)}
while DE
Q
m
(D)y = 0,
_
q
1
(x), q
2
(x), q
m
(x)
_
.
Then DE
P
n
(D)Q
m
(D)y = 0
_
p
1
(x), , p
n
(x); q
1
(x), q
m
(x)
_
.
Example 1. By using the dierential operation method, one can easily
solve some inhomogeneous equations. For instance, let us reconsider the
example 1. One may write the DE
y
+ 2y
+y = x
in the operator form as
(D
2
+ 2D +I)(y) = x.
The operator (D
2
+2D +I) = (D) can be factored as (D +I)
2
. With
(3.20), we derive that
(D +I)
2
= (e
x
De
x
)(e
x
De
x
) = e
x
D
2
e
x
.
Consequently, the DE
(D +I)
2
(y) = x
can be written
e
x
D
2
e
x
(y) = x
or
d
2
dx
2
(e
x
y) = xe
x
which on integrating twice gives
e
x
y = xe
x
2e
x
+Ax +B,
y = x 2 +Axe
x
+Be
x
.
We leave it to the reader to prove that the general solution of DE
(D a)
n
y = 0,
is
{(a
0
+a
1
x + +a
n1
x
n1
}e
ax
where
a
0
, a
1
, . . . , a
n1
R.
Example 2. Now consider the DE
y
3y
+ 2y = e
x
.
In operator form this equation is
(D
2
3D + 2I)(y) = e
x
.
Since (D
2
3D + 2I) = (D I)(D 2I), this DE can be written
(D I)(D 2I)(y) = e
x
.
Now let
z = (D 2I)(y).
Then
(D I)(z) = e
x
, (e
x
De
x
)z = e
x
.
It has the solution
z = xe
x
+Ae
x
.
Now z = (D 2I)(y) is the linear rst order DE
y
2y = xe
x
+Ae
x
which has the solution
y = e
x
xe
x
Ae
x
+Be
2x
.
Notice that Ae
x
+Be
2x
is the general solution of the associated homo-
geneous DE
y
3y
+ 2y = 0
and that e
x
xe
x
is a particular solution of the original DE
y
3y
+ 2y = e
x
.
Example 3. Consider the DE
y
+ 2y
+ 5y = sin(x)
which in operator form is (D
2
+ 2D + 5I)(y) = sin(x). Now
D
2
+ 2D + 5I = (D +I)
2
+ 4I
and so the associated homogeneous DE has the general solution
Ae
x
cos(2x) +Be
x
sin(2x).
All that remains is to nd a particular solution of the original DE. We
leave it to the reader to show that there is a particular solution of the
form C cos(x) +Dsin(x).
Example 4. Solve the initial value problem
y
3y
+ 7y
5y = 0,
with I.Cs:
y(0) = 1, y
(0) = y
(0) = 0.
The DE in operator form is
(D
3
3D
2
+ 7D 5)(y) = 0.
Since
(r) = r
3
3r
2
+ 7r 5 = (r 1)(r
2
2r + 5)
= (r 1)[(r 1)
2
+ 4],
we have
L(y) = (D
3
3D
2
+ 7D 5)(y)
= (D 1)[(D 1)
2
+ 4](y)
= [(D 1)
2
+ 4](D 1)(y)
= 0. (3.23)
From here, it is seen that the solutions for
(D 1)(y) = 0, (3.24)
namely,
y(x) = c
1
e
x
, (3.25)
and the solutions for
[(D 1)
2
+ 4](y) = 0, (3.26)
namely,
y(x) = c
2
e
x
cos(2x) +c
3
e
x
sin(2x), (3.27)
must be the solutions for our equation (3.23). Thus, we derive that the
following linear combination
y = c
1
e
x
+c
2
e
x
cos(2x) +c
3
e
x
sin(2x), (3.28)
must be the solutions for our equation (3.23). In solution (3.28), there
are three arbitrary constants (c
1
, c
2
, c
3
). One can prove that this solution
is the general solution, which covers all possible solutions of (3.23). For
instance, given the I.C.s:
y(0) = 1, y
(0) = 0, y
(0) = 0,
from (3.28), we can derive
c
1
+c
2
= 1,
c
1
+c
2
+ 2c
3
= 0,
c
1
3c
2
+ 4c
3
= 0,
and nd c
1
= 5/4, c
2
= 1/4, c
3
= 1/2.
6. Finding a Particular Solution for
Inhomogeneous Equation
In this lecture we shall discuss the methods for producing a particular
solution of a special kind for the general linear DE.
In what follows we shall use the operator method to nd a particular
solution of inhomogeneous equations.
6.1 The Annihilator and the Method of
Undetermined Constants
We consider the linear equation with constant coecients rst. Given
L(y) = P(D)(y)
= (a
0
D
(n)
+a
1
D
(n1)
+ +a
n
D
0
)y = b(x).
Assume that the inhomogeneous term b(x) is a solution of linear equa-
tion:
Q(D)(b(x)) = 0.
Then we can transform the original inhomogeneous equation to the
homogeneous equation by applying the dierential operator Q(D) to its
both sides,
(D)(y) = Q(D)P(D)(y) = 0.
The operator Q(D) is called the Annihilator. The above method is also
called the Annihilator Method.
Example 1. Solve the initial value problem
y
3y
+ 7y
5y = x +e
x
,
y(0) = 1, y
(0) = y
(0) = 0.
This DE is non-homogeneous. The associated homogeneous equation
was solved in the previous lecture. Note that in this example, In the
inhomogeneous term b(x) = x+e
x
is in the kernel of Q(D) = D
2
(D1).
Hence, we have
D
2
(D 1)
2
[(D 1)
2
+ 4](y) = 0
which yields
y = Ax +B +Cxe
x
+c
1
e
x
+c
2
e
x
cos(2x) +c
3
e
x
sin(2x).
This shows that there is a particular solution of the form
y
P
= Ax +B +Cxe
x
(3.29)
which is obtained by discarding the terms:
c
1
e
x
+c
2
e
x
cos(2x) +c
3
e
x
sin(2x)
in the solution space of the associated homogeneous DE.
Now the remaining part of problem is to determine the arbitrary con-
stants A, B, C in the form of particular solution (3.29).
In doing so, substituting (3.29) in the original DE we get
y
3y
+ 7y
5y = 7A5B 5Ax Ce
x
which is equal to x +e
x
if and only if
7A 5B = 0, 5A = 1, C = 1.
So that A = 1/5, B = 7/25, C = 1. Hence the general solution is
y = c
1
e
x
+c
2
e
x
cos(2x) +c
3
e
x
sin(2x) x/5 7/25 xe
x
.
To satisfy the initial condition y(0) = 0, y
(0) = y
(0) = 0 we must have

c
1
+c
2
= 32/25,
c
1
+c
2
+ 2c
3
= 6/5,
c
1
3c
2
+ 4c
3
= 2
(3.30)
c
1
= 3/2, c
2
= 11/50, c
3
= 1/25.
It is evident that if the function b(x) can not be annihilated by any
linear operator Q(D), the annihilator method will not applicable.
6.1.1 The Annihilators for Some Types of Functions
The annihilators Q(D) for some types of functions F(x) are as follows:
For the functions
F(x) = a
0
+a
1
x + +a
k
x
k
,
we have the annihilator:
Q(D) = D
k+1
.
For the functions
F(x) = (a
0
+a
1
x + +a
k
x
k
)e
ax
,
Q(D) = (D a)
k+1
.
For the functions
F(x) = e
x
_
a
0
cos x +b
0
sin x
_
,
Q(D) = [(D )
2
+
2
].
For the functions
F(x) = (a
0
+a
1
x + +a
k
x
k
)e
x
cos x,
or
F(x) = (b
0
+b
1
x + +b
k
x
k
)e
x
sin x,
Q(D) = [(D )
2
+
2
]
k+1
.
Example 1: Given the functions:
(1) F
1
(x) = xcos(x)
(2) F
2
(x) = x
2
e
x
sin(3x)
(3) F
3
(x) = 2xsin(2x) + 3e
2x
cos(5x).
The annihilators are:
(1) Q
1
(D) = (D
2
+ 1)
2
(2) Q
2
(D) = [(D 1)
2
+ 9]
3
(3) Q
3
(D) = (D
2
+ 4)
2
[(D 2)
2
+ 25].
Example 2: Find a particular solution for the following equation:
y
+ 2y
+ 2y = b(t)
= 3e
t
+ 2e
t
cos t + 4e
t
t sin t, (3.31)
Solution: We have
P(D)y
H
= 0; P(D) = D
2
+ 2D + 2 = [(D + 1)
2
+ 1].
and
Q(D)b(t) = 0, Q(D) = (D + 1) [(D + 1)
2
+ 1]
2
.
Then
P(D)Q(D)y
= [(D + 1)
2
+ 1] (D + 1) [(D + 1)
2
+ 1]
2
y
= (D + 1) [(D + 1)
2
+ 1]
3
y = 0.
We solve
y(t) = Ae
t
+ [b
3
+B
2
t +B
1
t
2
]e
t
cos t
+[d
3
+D
2
t +D
1
t
2
]e
t
sin t.
On the other hand, we have
y
H
= b
3
e
t
cos t +d
3
e
t
sint.
Hence, we have
y(t) = y
H
+y
P
,
where
y
P
= Ae
t
+ [B
2
t +B
1
t
2
]e
t
cos t
+[D
2
t +D
1
t
2
]e
t
sin t
= Ae
t
+t[B
2
+B
1
t]e
t
cos t
+t[D
2
+D
1
t]e
t
sin t.
By substituting it into the equation:
P(D)y
P
= b(t),
one may determine the constants: {A, B
2
, B
1
, D
2
, D
1
}.
Example 3: Find a particular solution for the following equation:
y
4y
+ 4y = b(t) = 2t
2
+ 4te
2t
+t sin 2t. (3.32)
Solution: We have
P(D)y
H
= 0; P(D) = D
2
4D + 4 = (D 2)
2
.
and
Q(D)b(t) = 0, Q(D) = D
3
(D 2)
2
(D
2
+ 4)
2
.
Then
P(D)Q(D)y
= (D 2)
2
D
3
(D 2)
2
(D
2
+ 4)
2
y
= D
3
(D 2)
4
(D
2
+ 4)
2
y = 0.
We solve
y(t) = (A
0
t
2
+A
1
t +A
2
)
+[b
3
+b
2
t +B
1
t
2
+B
0
t
3
]e
2t
+[D
0
t +D
1
) sin 2t + (E
0
t +E
1
) cos 2t.
For this case, we have
y
H
= b
3
+b
2
t.
Hence, we have
y(t) = y
H
+y
P
,
where
y
P
= (A
0
t
2
+A
1
t +A
2
)
+[B
1
+B
0
t]t
2
e
2t
+[D
0
t +D
1
) sin 2t + (E
0
t +E
1
) cos 2t.
By substituting it into the equation:
P(D)y
P
= b(t),
it follows that
A
0
= 1/2, A
1
= 1, A
2
= 3/4
B
0
= 2/3, B
1
= 0;
D
0
= 0, D
1
= 1/16
E
0
= 1/8, E
1
= 1/16.
Theorem 1
Give dierential equation:
P(D)y = b(x) = x
k
e
ax
,
and assume P(D) = R(D)(D a)
m
, where R(a) = 0 and m 0. Then
the above EQ allows a particular solution in the following form:
y
p
(x) = x
m
ker{Q(D)},
where Q(D) is the annihilator for this case is
Q(D) = (D a)
k+1
.
Proof: Applying the annihilator on both sides of equation, we get ho-
mogeneous equation:
P(D)Q(D)y = R(D)(D a)
m
(D a)
k+1
y = 0.
We may write
R(D)(D a)
m+k+1
y = 0. (3.33)
Since R(D) and (D a)
m+k+1
have no common factor, (5.3) has the
general solution:
_
[(c
0
+c
1
x + ) +c
m
x
m
+ +c
m+k
x
m+k
]e
ax
_
+ker{R(D)}
= ker{P(D)} +
_
[c
m
x
m
+ +c
m+k
x
m+k
]e
ax
_
Therefore we derive that a particular solution is in the form:
y
p
= [c
m
x
m
+ +c
m+k
x
m+k
]e
ax
,
or in the form:
y
p
= x
m
[A
0
+ +A
k
x
k
]e
ax
,
where
[A
0
+ +A
k
x
k
]e
ax
= ker{Q(D)}.
The next step is to determine the undermined constants
{A
0
, , A
k
}
by substituting y
p
to the original inhomogeneous equation:
P(D) = x
k
e
ax
.
In terms of this theorem, one may directly determine the form of par-
ticular solution y
p
(x) by skipping the intermediate steps.
Note: If the parameter a = ( + i) C, Theorem 1 can be still
applicable, but it yields a complex solution y
p
(x).
Theorem 2
Give dierential equation:
P(D)y = b(x), x R,
with with complex inhomogeneous term b(x) = f(x) + ig(x). Then
the complex solution of the above equation can be written as y(x) =
u(x) + iv(x), where {u, v} are real solutions subject to the following
equations, respectively:
P(D)u = f(x), P(D)v = g(x) x R.
Thus, to solve the equation:
P(D)u = x
k
e
x
cos(x), or, P(D)v = x
k
e
x
sin(x),
One may rst solve the extended complex equation:
P(D)y = x
k
e
ax
,
where a = ( + i). This can be done by aid of Theorem 1.
Example 4: Solve
y
2y
+ 5y = 8e
x
cos 2x.
Let b(x) = 8e
(1+2i)x
, y(x) = {z(x)} and consider
z
2z
+ 5z = b(x) = 8e
(1+2i)x
.
Here P(D) = D
2
2D+5 = (D1)
2
+4, Q(D) = Da. As a = 1 +2i
and P(a) = 0, m = 1, we derive
z
p
= Axe
ax
.
To determine A, we calculate:
z
p
= A(ax + 1)e
ax
,
z
p
= Ae
ax
[a(ax + 1) +a].
By substituting the above into EQ, we derive
Ae
ax
a(ax + 2) 2A(ax + 1)e
ax
+ 5xAe
ax
= 8e
ax
or
A[a(ax + 2) 2(ax + 1) + 5x] = 8
which leads to
A(a
2
2a + 5) = 0, 2aA 2A = 8.
Hence, we derive A =
2
a2
=
2
i
= 2i, and
z
p
= 2ie
x
(cos 2x + i sin 2x).
From the Theorem 2, we nally derive
y(x) = {z(x)} = 2xe
x
sin2x.
6.2 The Method of Variation of Parameters
The method of Variation of parameters is for producing a particular
solution of a special kind for the general linear DE in normal form
L(y) = y
(n)
+a
1
(x)y
(n1)
+ +a
n
(x)y = b(x)
from a fundamental set {y
1
, y
2
, . . . , y
n
} of solutions of the associated
homogeneous equation.
In this method we try for a solution of the form
y
P
= C
1
(x)y
1
+C
2
(x)y
2
+ +C
n
(x)y
n
.
Then
y
P
= C
1
(x)y
1
+C
2
(x)y
2
+ +C
n
(x)y
n
+C
1
(x)y
1
+C
2
(x)y
2
+ +C
n
(x)y
n
and we impose the condition
C
1
(x)y
1
+C
2
(x)y
2
+ +C
n
(x)y
n
= 0.
Then
y
P
= C
1
(x)y
1
+C
2
(x)y
2
+ +C
n
(x)y
n
and hence
y
P
= C
1
(x)y
1
+C
2
(x)y
2
+ +C
n
(x)y
n
+C
1
(x)y
1
+C
2
(x)y
2
+ +C
n
(x)y
n
.
Again we impose the condition
C
1
(x)y
1
+C
2
(x)y
2
+ +C
n
(x)y
n
= 0
so that
y
P
= C
1
(x)y
1
+C
2
(x)y
2
+ +C
n
(x)y
n
.
We do this for the rst n 1 derivatives of y, so that
for 1 k n 1
y
(k)
P
= C
1
(x)y
(k)
1
+C
2
(x)y
(k)
2
+ C
n
(x)y
(k)
n
,
C
1
(x)y
(k1)
1
+C
2
(x)y
(k1)
2
+ +C
n
(x)y
(k1)
n
= 0.
Now substituting y
P
, y
P
, . . . , y
(n1)
P
in L(y) = b(x) we get
C
1
(x)L(y
1
) +C
2
(x)L(y
2
) + +C
n
(x)L(y
n
)
+C
1
(x)y
(n1)
1
+C
2
(x)y
(n1)
2
+ +C
n
(x)y
(n1)
n
= b(x).
But L(y
i
) = 0 for 1 k n so that
C
1
(x)y
(n1)
1
+C
2
(x)y
(n1)
2
+ +C
n
(x)y
(n1)
n
= b(x).
We thus obtain the system of n linear equations for
_
C
1
(x), . . . , C
n
(x)
_
.
C
1
(x)y
1
+C
2
(x)y
2
+ +C
n
(x)y
n
= 0,
C
1
(x)y
1
+C
2
(x)y
2
+ +C
n
(x)y
n
= 0,
.
.
.
C
1
(x)y
(n1)
1
+C
2
(x)y
(n1)
2
+ +C
n
(x)y
(n1)
n
= b(x).
One can solve linear algebraic system by Cramers rule. Suppose that
(A)x =
b,
where
_
_
(A) =
_
a
1
, a
2
, , a
n
_
a
i
= [a
i1
, a
i2
, , a
in
]
T
x = [x
1
, x
2
, , x
n
]
T
b = [b
1
, b
2
, , b
n
]
T
Then we have the solution:
x
j
=
det
_
a
1
,,a
j1
,
b,a
j+1
,,an
_
det
_
a
1
,,a
j1
,a
j
,a
j+1
,,an
_
,
n = 1, 2, .
For our case, we have
a
i
= [y
i
, y
i
, , y
n1
i
]
T
= y
i
, (i = 1, 2, )
b = [0, 0, , b(x)]
T
hence, we solve
C
j
(x) =
det
_
y
1
,, y
j1
,
b, y
j+1
,, yn
_
det
_
y
1
,, y
j1
, y
j
, y
j+1
,, yn
_
,
(n = 1, 2, ).
Note that we can write
det
_
y
1
, , y
j1
, y
j
, y
j+1
, , y
n
_
= W(y
1
, y
2
, . . . y
n
),
where W(y
1
, y
2
, . . . y
n
) is the Wronskian. Moreover, in terms of the
cofactor expansion theory, we can expand the determinant
det
_
y
1
, , y
j1
,
b, y
j+1
, , y
n
_
along the column j. Since

b only has one non-zero element, it follows
that
det
_
y
1
, , y
j1
,
b, y
j+1
, , y
n
_
= (1)
n+j
b(x)W
i
.
Here we have use the notation:
W
i
= W(y
1
, , y
j1
, y
j
, j
j+1
, , y
n
),
where the y
i
means that y
i
is omitted from the Wronskian W.
Thus, we nally obtain we nd
C
i
(x) = (1)
n+i
b(t)
W
i
W
dt
and, after integration,
C
i
(x) =
_
x
x
0
(1)
n+i
b(t)
W
i
W
dt.
Note that the particular solution y
P
found in this way satises
y
P
(x
0
) = y
P
(x
0
) = = y
(n1)
P
= 0.
The point x
0
is any point in the interval of continuity of the a
i
(x) and
b(x). Note that y
P
is a linear function of the function b(x).
Example 2. Find the general solution of y
+y = 1/x on x > 0.
The general solution of y
+y = 0 is
y = c
1
cos(x) +c
2
sin(x).
Using variation of parameters with
y
1
= cos(x), y
2
= sin(x), b(x) = 1/x
and x
0
= 1, we have
W = 1, W
1
= sin(x), W
2
= cos(x)
and we obtain the particular solution
y
p
= C
1
(x) cos(x) +C
2
(x) sin(x)
where
C
1
(x) =
_
x
1
sin(t)
t
dt, C
2
(x) =
_
x
1
cos(t)
t
dt.
The general solution of y
+y = 1/x on x > 0 is therefore

y = c
1
cos(x) +c
2
sin(x)
_
_
x
1
sin(t)
t
dt
_
cos(x) +
_
_
x
1
cos(t)
t
dt
_
sin(x).
When applicable, the annihilator method is easier as one can see from
the DE
y
+y = e
x
.
With
(D 1)e
x
= 0.
it is immediate that y
p
= e
x
/2 is a particular solution while variation of
parameters gives
y
p
=
__
x
0
e
t
sin(t)dt
_
cos(x)
+
__
x
0
e
t
cos(t)dt
_
sin(x).
(3.34)
The integrals can be evaluated using integration by parts:
_
x
0
e
t
cos(t)dt = e
x
cos(x) 1 +
_
x
0
e
t
sin(t)dt
= e
x
cos(x) +e
x
sin(x) 1
_
x
0
e
t
cos(t)dt
which gives
_
x
0
e
t
cos(t)dt =
_
e
x
cos(x) +e
x
sin(x) 1
_
/2
_
x
0
e
t
sin(t)dt = e
x
sin(x)
_
x
0
e
t
cos(t)dt
=
_
e
x
sin(x) e
x
cos(x) + 1
_
/2
so that after simplication
y
p
= e
x
/2 cos(x)/2 sin(x)/2.
6.3 Reduction of Order
If y
1
is a non-zero solution of a homogeneous linear n-th order DE
L[y] = 0, one can always nd a new solution of the form
y = C(x)y
1
for the inhomogeneous DE L[y] = b(x), where C
(x) satises a homoge-

neous linear DE of order n 1. Since we can choose C
(x) = 0, the new

solution y
2
= C(x)y
1
that we nd in this way is not a scalar multiple of
y
1
.
In particular for n = 2, we obtain a fundamental set of solutions y
1
, y
2
.
Let us prove this for the second order DE
p
0
(x)y
+p
1
(x)y
+p
2
(x)y = 0.
If y
1
is a non-zero solution we try for a solution of the form
y = C(x)y
1
.
Substituting y = C(x)y
1
in the above we get
p
0
(x)
_
C
(x)y
1
+ 2C
(x)y
1
+C(x)y
1
_
+p
1
(x)
_
C
(x)y
1
+C(x)y
1
_
+p
2
(x)C(x)y
1
= 0.
Simplifying, we get
p
0
y
1
C
(x) + (2p
0
y
1
+p
1
y
1
)C
(x) = 0
since
p
0
y
1
+p
1
y
1
+p
2
y
1
= 0.
This is a linear rst order homogeneous DE for C
(x). Note that to solve

it we must work on an interval where
y
1
(x) = 0.
However, the solution found can always be extended to the places where
y
1
(x) = 0 in a unique way by the fundamental theorem.
The above procedure can also be used to nd a particular
solution of the non-homogenous DE
p
0
(x)y
+p
1
(x)y
+p
2
(x)y = q(x)
from a non-zero solution of
p
0
(x)y
+p
1
(x)y
+p
2
(x)y = 0.
Example 4. Solve y
+xy
y = 0.
Here y = x is a solution so we try for a solution of the form y = C(x)x.
Substituting in the given DE, we get
C
(x)x + 2C
(x) +x(C
(x)x +C(x)) C(x)x = 0

which simplies to
xC
(x) + (x
2
+ 2)C
(x) = 0.
Solving this linear DE for C
(x), we get
C
(x) = Ae
x
2
/2
/x
2
so that
C(x) = A
_
dx
x
2
e
x
2
/2
+B
Hence the general solution of the given DE is
y = A
1
x +A
2
x
_
dx
x
2
e
x
2
/2
.
Example 5. Solve y
+xy
y = x
3
e
x
.
By the previous example, the general solution of the associated ho-
mogeneous equation is
y
H
= A
1
x +A
2
x
_
dx
x
2
e
x
2
/2
.
Substituting y
p
= xC(x) in the given DE we get
C
(x) + (x +x/2)C
(x) = x
2
e
x
.
Solving for C
(x) we obtain
C
(x) =
1
x
2
e
x
2
/2
_
A
2
+
_
x
4
e
x+x
2
/2
dx
_
= A
2
1
x
2
e
x
2
/2
+H(x),
where
H(x) =
1
x
2
e
x
2
/2
_
x
4
e
x+x
2
/2
dx.
This gives
C(x) = A
1
+A
2
_
dx
x
2
e
x
2
/2
+
_
H(x)dx,
We can therefore take
y
p
= x
_
H(x)dx,
so that the general solution of the given DE is
y = A
1
x +A
2
x
_
dx
x
2
e
x
2
/2
+y
p
(x) = y
H
(x) +y
p
(x).
7. Solutions for Equations with Variable
Coecients
In this section we shall give a few techniques for solving certain linear
dierential equations with non-constant coecients. We will mainly
restrict our attention to second order equations. However, the techniques
can be extended to higher order equations. The general second order
linear DE is
p
0
(x)y
+p
1
(x)y
+p
2
(x)y = q(x).
This equation is called a non-constant coecient equation if at least one
of the functions p
i
is not a constant function.
7.1 Euler Equations
An important example of a non-constant linear DE is Eulers equation
L[y] = x
n
y
(n)
+a
1
x
n1
y
(n1)
+ +a
n
y = 0,
where a
1
, a
2
, . . . a
n
are constants.
This equation has singularity at x = 0. The fundamental theorem
of existence and uniqueness of solution holds in the region x > 0 and
x < 0, respectively. So one must solve the problem in the region x > 0,
or x < 0 separately. We rst consider the region x > 0.
We assume that the solution has the following form: y = y(x) = x
r
,
where r is a constant to be determined. Then it follows that
xy
(x) = ry(x),
x
2
y
(x) = r(r 1)y(x),

x
n
y
(n)
(x) = r(r 1) (r n + 1)y(x)
Substitute into equation, we have
L[y(x)] = (r)x
r
= 0, for all x (I),
where
(r) = r(r 1) (r n + 1)
+r(r 1) (r n + 2)a
1
+
+r(r 1)a
n2
+ra
n1
+a
n
is called the characteristic polynomial. It is derived that if r = r
0
is
a root of (r), such that (r
0
) = 0, then y(x) = x
r
0
must be a solution
of the Euler equation.
To demonstrate better, let us consider the special case (n = 2):
L[y] = x
2
y
+axy
+by = 0,
where a, b are constants. In this case, we have the characteristic poly-
nomial (r) = r(r 1) +ar +b = r
2
+(a 1)r +b, which in general has
two roots r = (r
1
, r
2
). Accordingly, the equation has two solutions:
{y
1
(x) = x
r
1
; y
2
(x) = x
r
2
}.
Similar to the problem for the equations with constant coecients, there
are three cases to be discussed separately.
7.2 Cases (I) ( r
1
= r
2
)
When (a 1)
2
4b > 0, the polynomial (r) has two distinct real
roots (r
1
= r
2
). In this case, the two solutions, y
1
(x); y
2
(x) are linear
independent. The general solution of the equation is:
y(x) = Ay
1
(x) +By
2
(x), (3.35)
where A, B are arbitrary constants.
7.3 Cases (II) ( r
1
= r
2
)
When (a 1)
2
4b = 0, the polynomial (r) has a double root r
1
=
r
2
=
1a
2
. In this case, the solution
y
1
(x) = y
2
(x) = x
r
1
.
Thus, for the general solution, one may derive the second solution by
using the method of reduction of order.
Let us look for a solution of the form C(x)y
1
(x) with the undetermined
function C(x). By substituting the equation, we derive that
L
_
C(x)y
1
(x)
_
= C(x)(r
1
)y
1
(x) +C
(x)x
2
y
1
(x)
+C
(x)
_
2x
2
y
1
(x) +axy
1
(x)
_
= 0.
Noting that
(r
1
) = 0; 2r
1
+a = 1,
we get
xC
(x) +C
(x) = 0
or C
(x) =
A
x
, and
C(x) = Aln |x| +B,
where A, B are arbitrary constants. Thus, the solution:
y(x) = (Aln |x| +B)x
1a
2
. (3.36)
is a two parameter family of solutions consisting of the linear combina-
tions of the two solutions:
y
1
= x
r
1
, y
2
= x
r
1
ln |x|.
7.4 Cases (III) ( r
1,2
= i)
When (a1)
2
4b < 0, the polynomial (r) has two conjugate complex
roots r
1,2
= i. Thus, we have the two complex solutions:
y
1
(x) = x
r
1
= e
r
1
ln |x|
= e
ln|x|
[ cos(ln |x|) + i sin(ln |x|)]
= |x|
[ cos(ln |x|) + i sin(ln |x|)],

y
2
(x) = x
r
2
= e
r
2
ln |x|
= e
ln|x|
[ cos(ln |x|) i sin(ln |x|)]
= |x|
[ cos(ln |x|) i sin(ln |x|)].

With a proper combination of these two solutions, one may derive two
real solutions:
y
1
(x) =
1
2
[y
1
(x) +y
2
(x)] = |x|
cos(ln |x|),
and
y
2
(x) =
1
2
i[y
1
(x) y
2
(x)] = |x|
sin(ln |x|).
and the general solution:
|x|
[Acos(ln |x|) +Bsin(ln |x|)].

Example 1. Solve x
2
y
+xy
+y = 0, (x > 0).
The characteristic polynomial for the equation is
(r) = r(r 1) +r + 1 = r
2
+ 1.
whose roots are r
1,2
= i. The general solution of DE is
y = Acos(ln x) +Bsin(ln x).
Example 2. Solve x
3
y
+ 2x
2
y
+xy
y = 0, (x > 0).
This is a third order Euler equation. Its characteristic polynomial is
(r) = r(r 1)(r 2) + 2r(r 1) +r 1
= (r 1)[r(r 2) + 2r + 1]
= (r 1)(r
2
+ 1).
whose roots are r
1,2,3
= (1, i). The general solution od DE:
y = c
1
x +c
2
sin(ln |x|) +c
3
cos(ln |x|).
7.5 (*)Exact Equations
The DE p
0
(x)y
+p
1
(x)y
+p
2
(x)y = q(x) is said to be exact if
p
0
(x)y
+p
1
(x)y
+p
2
(x)y =
d
dx
(A(x)y
+B(x)y).
In this case the given DE is reduced to solving the linear DE
A(x)y
+B(x)y =
_
q(x)dx +C
a linear rst order DE. The exactness condition can be expressed in
operator form as
p
0
D
2
+p
1
D +p
2
= D(AD +B).
Since
d
dx
(A(x)y
+B(x)y) = A(x)y
+ (A
(x)
+B(x))y
+B
(x)y,
the exactness condition holds if and only if A(x), B(x) satisfy
A(x) = p
0
(x), B(x) = p
1
(x) p
0
(x), B
(x) = p
2
(x).
Since the last condition holds if and only if
p
1
(x) p
0
(x) = p
2
(x),
we see that the given DE is exact if and only if
p
0
p
1
+p
2
= 0
in which case
p
0
(x)y
+p
1
(x)y
+p
2
(x)y =
d
dx
[p
0
(x)y
+ (p
1
(x) p
0
(x))y].
Example 3. Solve the DE xy
+xy
+y = x, (x > 0).
This is an exact equation since the given DE can be written
d
dx
(xy
+ (x 1)y) = x.
Integrating both sides, we get
xy
+ (x 1)y = x
2
/2 +A
which is a linear DE. The solution of this DE is left as an exercise.
Chapter 4
LAPLACE TRANSFORMS
1. Introduction
We begin our study of the Laplace Transform with a motivating ex-
ample: Solve the dierential equation
y
+y = f(t) =
_
_
_
0, 0 t < 10,
1, 10 t < 10 + 2,
0, 10 + 2 t.
with ICs:
y(0) = 0, y
(0) = 0 (4.1)
Here, f(t) is piecewise continuous and any solution would also
have y
piecewise continuous. To describe the motion of the ball

using techniques previously developed we have to divide the problem
into three parts:
(I) 0 t < 10;
(II) 10 t < 10 + 2;
(III) 10 + 2 t.
(I). The initial value problem determining the motion in part I is
y
+y = 0, y(0) = y
(0) = 0.
The solution is
y(t) = 0, 0 t < 10.
63
Taking limits as t 10 from the left, we nd
y(10) = y
(10) = 0.
(II). The initial value problem determining the motion in part II is
y
+y = 1, y(10) = y
(10) = 0.
The solution is
y(t) = 1 cos(t 10), 10 t < 2 + 10.
Taking limits as t 10 + 2 from the left, we get
y(10 + 2) = y
(10 + 2) = 0.
(III). The initial value problem for the last part is
y
+y = 0, y(10 + 2) = y
(10 + 2) = 0
y(t) = 0, 10 + 2 t < .
Putting all this together, we have
y(t) =
_
_
_
0, 0 t < 10,
1 cos(t 10), 10 t < 10 + 2,
0, 10 + 2 t.
The function y(t) is continuous with continuous derivative
y
(t) =
_
_
_
0, 0 t < 10,
sin(t 10), 10 t < 10 + 2,
0, 10 + 2 t.
However the function y
(t) is not dierentiable at t = 10 and t = 10+2.

In fact
y
(t) =
_
_
_
0, 0 t < 10,
cos(t 10), 10 < t < 10 + 2,
0, 10 + 2 < t.
_
_
_
The left-hand and right-hand limits of y
(t) at t = 10 are 0 and 1

respectively. At t = 10 + 2 they are 1 and 0.
By a solution we mean any function y = y(t) satisfying the DE for those
t not equal to the points of discontinuity of f(t). In this case we have
LAPLACE TRANSFORMS 65
shown that a solution exists with y(t), y
(t) continuous. In the same way,

one can show that in general such solutions exist using the fundamental
theorem.
We now want to describe is an approach for doing such problems without
having to divide the problem into parts. Such an approach is the
Laplace transform.
2. Laplace Transform
2.1 Denition
2.1.1 Piecewise Continuous Function
Let f(t) be a function dened for t 0. The function f(t) is said to
be piecewise continuous, if
(1) f(t) converges to a nite limit f(0+) as t 0+
(2) for any c > 0, the left and right hand limits f(c), f(c+) of f(t)
at c exist and are nite.
(3) f(c) = f(c+) = f(c) for every c > 0 except possibly a nite set
of points or an innite sequence of points converging to +.
Thus the only points of discontinuity of f(t) are jump discontinuities.
The function is said to be normalized if f(c) = f(c+) for every c 0.
2.1.2 Laplace Transform
The Laplace transform F(s) = L{{()} of given function f(x) is the
function of a new variable s dened by
F(s) =
_

0
e
st
f(t)dt = lim
N+
_
N
0
e
st
f(t)dt, (4.2)
provided that the improper integral exists.
2.2 Existence of Laplace Transform
For the function of exponential order, its Laplace transform exists.
The function f(t) is said to be of exponential order, if there are con-
stants a, M such that
|f(t)| Me
at
for all t.
very large of class of functions is of exponential order. For instance,
the solutions of constant coecient homogeneous DEs are all of ex-
ponential order.
For a function f(t) of exponential order, the convergence of the
improper integral in (4.2) is guaranteed. In fact, from
_
N
0
|e
st
f(t)|dt M
_
N
0
e
(sa)t
dt
= M
_
1
s a

e
(sa)
N
s a
_
(4.3)
which shows that the improper integral converges absolutely when
s > a. It shows that |F(s)| <
M
sa
as N .
3. Basic Properties and Formulas of
Laplace Transform
3.1 Linearity of Laplace Transform
L{af(t) +bg(t)} = aL{f(t)} +bL{g(t)}.
3.2 Laplace Transforms for f(t) = e
at
The calculation (4.3) shows that
L{e
at
} =
1
s a
for s > a. Setting a = 0, we get L{1} =
1
s
for s > 0.
The above holds when f(t) is complex valued and a = +i, s = +i
are complex numbers. The integral exists in this case for > .
For example, this yields
L{e
it
} =
1
s i
, L{e
it
} =
1
s +i
.
3.3 Laplace Transforms for f(t) = {sin(bt) and
cos(bt)}
Using the linearity property of the Laplace transform
L{af(t) +bf(t)} = aL{f(t)} +bL{g(t)},
by using
_
_
_
sin(t) = (e
it
e
it
)/2i,
cos(t) = (e
it
+e
it
)/2,
we nd
L{sin(bt)} =
1
2i
_
1
s bi

1
s +bi
_
=
b
s
2
+b
2
,
and
L{cos(bt)} =
1
2
_
1
s bi
+
1
s +bi
_
=
s
s
2
+b
2
,
for s > 0.
3.4 Laplace Transforms for {e
at
f(t); f(bt)}
From the denition of the Laplace transform, we derive the following
two identities after a change of variable.
L{e
at
f(t)}(s) = L{f(t)}(s a) = F(s a),
L{f(bt)}(s) =
1
b
L{f(t)}(s/b) =
1
b
F(s/b).
Using the rst of these formulas, we get
L{e
at
sin(bt)} =
b
(sa)
2
+b
2
,
L{e
at
cos(bt)} =
sa
(sa)
2
+b
2
.
3.5 Laplace Transforms for {t
n
f(t)}
From the denition of the Laplace transform,
F(s) = L{f(t)}(s) =
_

0
e
st
f(t)dt, (4.4)
by taking the derivative with respect to s inside the integral, we can
derive:
L{t
n
f(t)}(s) = (1)
n
d
n
ds
n
L{f(t)}(s).
For n = 1, one can verify the formula directly by dierentiating with
respect s on the denition of the Laplace transform, whereas the general
case follows by induction.
For example, using this formula, we obtain using f(t) = 1
L{t
n
}(s) = (1)
n
d
n
ds
n
1
s
=
n!
s
n+1
.
With f(t) = sin(t) and f(t) = cos(t) we get
L{t sin(bt)}(s) =
d
ds
b
s
2
+b
2
=
2bs
(s
2
+b
2
)
2
,
L{t cos(bt)}(s) =
d
ds
s
s
2
+b
2
=
s
2
b
2
(s
2
+b
2
)
2
=
1
s
2
+b
2

2b
2
(s
2
+b
2
)
2
.
3.6 Laplace Transforms for {f
(t)}
The following formula shows how to compute the Laplace transform
of f
(t) in terms of the Laplace transform of f(t):

L{f
(t)}(s) = sL{f(t)}(s) f(0).

This follows from
L{f
(t)}(s) =
_

0
e
st
f
(t)dt
= e
st
f(t)
0
+s
_

0
e
st
f(t)dt
= s
_

0
e
st
f(t)dt f(0), (4.5)
since e
st
f(t) converges to 0 as t + in the domain of denition of
the Laplace transform of f(t). To ensure that the rst integral is dened,
we have to assume f
(t) is piecewise continuous. Repeated applications

of this formula give
L{f
(n)
(t)}(s) = s
n
L{f(t)}(s) s
n1
f(0)
s
n2
f
(0) f
n1
(0).
The following theorem is important for the application of the Laplace
transform to dierential equations.
4. Inverse Laplace Transform
4.1 Theorem:
If f(t), g(t) are normalized piecewise continuous functions of expo-
nential order then
L{f(t)} = L{g(t)}
implies
f = g.
4.2 Denition
If F(s) is the Laplace of the normalized piecewise continuous func-
tion f(t) of exponential order then f(t) is called the inverse Laplace
transform of F(s). This is denoted by
f(t) = L
1
{F(s)}.
Note that the inverse Laplace transform is also linear. Using the Laplace
transforms we found for t sin(bt), t cos(bt) we nd
L
1
_
s
(s
2
+b
2
)
2
_
=
1
2b
t sin(bt),
and
L
1
_
1
(s
2
+b
2
)
2
_
=
1
2b
3
sin(bt)
1
2b
2
t cos(bt).
5. Solve IVP of DEs with Laplace Transform
Method
In this lecture we will, by using examples, show how to use Laplace
transforms in solving dierential equations with constant coecients.
5.1 Example 1
Consider the initial value problem
y
+y
+y = sin(t), y(0) = 1, y
(0) = 1.
Step 1
Let Y (s) = L{y(t)}, we have
L{y
(t)} = sY (s) y(0) = sY (s) 1,

L{y
(t)} = s
2
Y (s) sy(0) y
(0)
= s
2
Y (s) s + 1.
Taking Laplace transforms of the DE, we get
(s
2
+s + 1)Y (s) s =
1
s
2
+ 1
.
Step 2
Solving for Y (s), we get
Y (s) =
s
s
2
+s + 1
+
1
(s
2
+s + 1)(s
2
+ 1)
.
Step 3
Finding the inverse laplace transform.
y(t) = L
1
{Y (s)} = L
1
_
s
s
2
+s+1
_
+L
1
_
1
(s
2
+s+1)(s
2
+1)
_
.
Since
s
s
2
+s + 1
=
s
(s + 1/2)
2
+ 3/4
=
s + 1/2
(s + 1/2)
2
+ (
3/2)
2
3/2
(s + 1/2)
2
+ (
3/2)
2
we have
L
1
_
s
s
2
+s + 1
_
= e
t/2
cos(
3 t/2)
3
e
t/2
sin(
3 t/2). (4.6)
Using partial fractions we have
1
(s
2
+s + 1)(s
2
+ 1)
=
As +B
s
2
+s + 1
+
Cs +D
s
2
+ 1
.
Multiplying both sides by (s
2
+ 1)(s
2
+ s + 1) and collecting terms, we
nd
1 = (A +C)s
3
+ (B +C +D)s
2
+ (A +C +D)s +B +D.
Equating coecients, we get A+C = 0, B+C+D = 0, A+C+D = 0,
B +D = 1,
from which we get A = B = 1, C = 1, D = 0, so that
L
1
_
1
(s
2
+s + 1)(s
2
+ 1)
_
= L
1
_
s + 1
s
2
+s + 1
_
L
1
_
s
s
2
+ 1
_
.
Since
L
1
_
1
s
2
+s + 1
_
=
2
3
e
t/2
sin(
3 t/2),
L
1
_
s
s
2
+ 1
_
= cos(t)
we obtain
y(t) = 2e
t/2
cos(
3 t/2) cos(t).
5.2 Example 2
As we have known, a higher order DE can be reduced to a system of
DEs. Let us consider the system
dx
dt
= 2x +y,
dy
dt
= x 2y
(4.7)
with the initial conditions x(0) = 1, y(0) = 2.
Step 1
Taking Laplace transforms the system becomes
sX(s) 1 = 2X(s) +Y (s),
sY (s) 2 = X(s) 2Y (s),
(4.8)
where X(s) = L{x(t)}, Y (s) = L{y(t)}.
Step 2
Solving for X(s), Y (s). The above linear system of equations can be
written in the form:
(s + 2)X(s) Y (s) = 1,
X(s) + (s + 2)Y (s) = 2.
(4.9)
The determinant of the coecient matrix is
s
2
+ 4s + 3 = (s + 1)(s + 3).
Using Cramers rule we get
X(s) =
s + 4
s
2
+ 4s + 3
, Y (s) =
2s + 5
s
2
+ 4s + 3
.
Step 3
Finding the inverse Laplace transform. Since
s + 4
(s + 1)(s + 3)
=
3/2
s + 1

1/2
s + 3
, (4.10)
2s + 5
(s + 1)(s + 3)
=
3/2
s + 1
+
1/2
s + 3
, (4.11)
we obtain
x(t) =
3
2
e
t
1
2
e
3t
, y(t) =
3
2
e
t
+
1
2
e
3t
.
The Laplace transform reduces the solution of dierential equations
to a partial fractions calculation., If
F(s) = P(s)/Q(s)
is a ratio of polynomials with the degree of P(s) less than the degree of
Q(s) then F(s) can be written as a sum of terms each of which corre-
sponds to an irreducible factor of Q(s). Each factor Q(s) of the form
s a contributes the terms
A
1
s a
+
A
1
(s a)
2
+ +
A
r
(s a)
r
where r is the multiplicity of the factor sa. Each irreducible quadratic
factor s
2
+as +b contributes the terms
A
1
s +B
1
s
2
+as +b
+
A
2
s +B
2
(s
2
+as +b)
2
+ +
A
r
s +B
r
(s
2
+as +b)
r
where r is the degree of multiplicity of the factor s
2
+as +b.
5.3 Example 3
Consider the initial value problem
y
+ 2ty
4y = 9, y(0) = 3, y
(0) = 0.
Step 1
Let Y (s) = L{y(t)}, we have
L{ty
(t)} =
d
ds
[sY (s) y(0)] = Y (s) sY
(s),
L{y
(t)} = s
2
Y (s) sy(0) y
(0)
= s
2
Y (s) 3s.
Taking Laplace transforms of the DE, we get
2sY
(s) + (s
2
6)Y (s) 3s =
9
s
.
or
Y
(s)
(s
2
6)
2s
Y (s) =
9
2s
2

3
2
.
Step 2
With the integral factor: s
3
e
s
2
4
, the General solution of the above ODE
is obtained as
Y (s) = A
e
s
2
4
s
3
+
3
s
+
21
s
3
From the denition of Laplace Transform, one may assume that
lim
s
Y (s) = 0.
It follows that the arbitrary constant must vanish. A = 0. Therefore,
Step 3
y(t) = L
1
{Y (s)} = 3 +
21
2
t
2
.
6. Further Studies of Laplace Transform
6.1 Step Function
6.1.1 Denition
u
c
(t) =
_
0 t < c,
1 t c.
6.1.2 Some basic operations with the step function
Cutting-o head part Generate a new function F(t) by cutting-o
the head part of another function f(t) at t = c:
F(t) = f(t)u
c
(t) =
_
0 (0 < t < c)
f(t) (t > c).
Cutting-o tail part Generate a new function F(t) by cutting-o the
tail part of another function f(t) at t = c:
F(t) = f(t)[1 u
c
(t)] =
_
f(t) (0 < t < c)
0 (t > c).
Cutting-o both head and tail part Generate a new function F(t) by
cutting-o the head part of another function f(t) at t = c
1
and its
tail part at t = c
2
> c
1
:
F(t) = f(t)u
c
1
(t) f(t)u
c
2
(t)
=
_
_
_
0 (0 < t < c
1
)
f(t) (c
1
< t < c
2
)
0 (t > c
2
).
(4.12)
It is easy to prove that if 0 < t
1
< t
2
, we may write discontinuous
function:
f(t) =
_
_
0, (< t < 0)
f
1
(t), (0 t < t
1
)
f
2
(t), (t
1
t < t
2
)
f
3
(t), (t
2
t < .
where f
k
(t), (k = 1, 2, 3) are known, and dened on (, ) into
the form
f(t) =
_
f
1
(t)u
0
(t) f
1
(t)u
t
1
(t)
_
+
_
f
2
(t)u
t
1
(t) f
2
(t)u
t
2
(t)
_
+f
3
(t)u
t
2
(t)
6.1.3 Laplace Transform of Unit Step Function
L{u
c
(t)} =
e
cs
s
.
One can derive
L{u
c
(t)f(t c)} = e
cs
F(s) = e
cs
L[f].
or
u
c
(t)f(t c) = L
1
_
e
cs
L[f]
_
.
Example 1. Determine L[f], if
f(t) =
_
_
_
0, (0 t < 1)
t 1, (1 t < 2)
1, (t 2).
Solution: In terms of the unit step function, we can express
f(t) = (t 1)u
1
(t) (t 2)u
2
(t).
Let g = t. Then we have
f(t) = g(t 1)u
1
(t) g(t 2)u
2
(t).
It follows that
L[f] = e
s
L(g) e
2s
L[g] =
1
s
2
(e
s
e
2s
).
Example 2. Determine L
1
_
2e
s
s
2
+4
_
.
Solution: We have
L[sin 2t] =
2
s
2
+ 4
.
Hence,
L
1
_
2e
s
s
2
+4
_
= L
1
_
e
s
L[sin 2t]
_
= u
1
(t) sin[2(t 1)]
1
_
(s4)e
3s
s
2
4s+5
_
.
Solution: Let
G(s) =
(s4)
s
2
4s+5
=
(s4)
(s2)
2
+1
=
_
(s2)
(s2)
2
+1

2
(s2)
2
+1
_
.
Thus,
L
1
[e
3s
G(s)] = L
1
_
e
3s
(L[e
2t
cos t 2e
2t
sin t])
_
= u
3
(t)e
2(t3)
[ cos(t 3) 2 sin(t 3)]
Example 3. Find the solution for the IVP:
y
4y
+ 5 = e
t
u
3
(t), y(0) = 0, y
(0) = 1.
Solution:
L[y
4y
+ 5] = L[e
t
u
3
(t)] = e
3
L[e
t3
u
3
(t)].
We have
Y (s)(s
2
4s + 5) 1 = e
3
e
3s
s 1
so that
Y (s) = e
3
e
3s 1
(s1)[(s2)
2
+1]
+
1
[(s2)
2
+1]
= e
3
e
3s
_
1
2
1
s1

1
2
s3
[(s2)
2
+1]
_
+
1
[(s2)
2
+1]
.
Note that
L
1
_
1
s 1
_
= e
t
L
1
_
s 2
[(s 2)
2
+ 1]
_
= e
2t
cos t
L
1
_
1
[(s 2)
2
+ 1]
_
= e
2t
sin t.
Thus, we have
L
1
_
e
3s
1
s 1
_
= e
(t3)
u
3
(t)
L
1
_
e
3s
s 2
[(s 2)
2
+ 1]
_
= e
2(t3)
cos(t 3)u
3
(t)
L
1
_
e
3s
1
[(s 2)
2
+ 1]
_
= e
2(t3)
sin(t 3)u
3
(t).
Finally, we derive
y(t) = e
2t
sin t +
1
2
e
3
_
e
t3
e
2(t3)
cos(t 3)
+e
2(t3)
sin(t 3)
_
u
3
(t)
f(t) =
_
_
f
1
(t), (0 t < t
1
)
f
2
(t), (t
1
t < t
2
)
f
3
(t), (t
2
t < t
3
)
f
4
(t), (t
3
t < .
we can express
f(t) = f
1
(t) f
1
(t)u
t
1
(t) +f
2
(t)u
t
1
(t)
f
2
(t)u
t
2
(t) +f
3
(t)u
t
2
(t)
f
3
(t)u
t
3
(t) +f
4
(t)u
t
3
(t)
= f
1
(t) + [f
2
(t) f
1
(t)]u
t
1
(t)
+[f
3
(t) f
2
(t)]u
t
2
(t)
+[f
4
(t) f
3
(t)]u
t
3
(t).
Now we may apply the formula
L{u
c
(t)f(t c)} = e
cs
L[f(t)](s),
or
L{u
c
(t)g(t)} = e
cs
L[g(t +c)](s),
Suppose that
L[f
1
(t)] = F
1
(s)
and
L[f
2
(t +t
1
) f
1
(t +t
1
)](s) = G
1
(s)
L[f
3
(t +t
2
) f
2
(t +t
2
)](s) = G
2
(s)
L[f
4
(t +t
3
) f
3
(t +t
3
)](s) = G
3
(s).
Then we can write
L[f(t)](s) = F
1
(s) + e
t
1
s
G
1
(s)
+e
t
2
s
G
2
(s) + e
t
3
s
G
3
(s)
f(t) =
_
_
3, (0 t < 2)
1, (2 t < 3)
4t, (3 t < 8)
2t
2
, (8 t).
we can express
f(t) = 3 2u
2
(t) + (4t 1)u
3
(t) + (2t
2
4t)u
8
(t).
Here,
g
1
(t) = 4t 1, g
2
(t) = 2t
2
4t,
we have
g
1
(t + 3) = 4t + 11,
g
2
(t + 8) = 2(t + 8)
2
4(t + 8)
= 2t
2
+ 32t + 128 4t 32
= 2t
2
+ 28t + 96.
Hence, we have
L[g
1
(t + 3)] = G
1
(s) =
4
s
2
+
11
s
and
L[g
2
(t + 8)] = G
2
(s) =
4
s
3
+
28
s
2
+
96
s
It follows that
L[f(t)](s) =
1
s

2e
2s
s
+G
1
(s)e
3s
+G
2
(s)e
8s
.
Example 6. Determine L[f], if f(t) is a periotic function with period
T, and dene the windowed version of f(t) as:
f
T
(t) =
_
f(t), (0 t < T)
0, (Otherwise).
Then we have
f(t) = f
T
(t) +f
T
(t T)u
T
(t) +f
T
(t 2T)u
2T
(t)
+ +f
T
(t nT)u
nT
(t) +
Thus, we have
L[f(t)] (s) = L[f
T
] (s) +L[f
T
] (s)e
sT
+L[f
T
] (s)e
2sT
+
+L[f
T
] (s)e
nsT
+
=
L[f
T
] (s)
1 e
sT
,
where
L[f
T
] (s) =
_
T
0
e
st
f(t)dt.
Example 7. Determine L[f], if f(t) is the sawtooth wave with period
T = 2 and
f
T
(t) =
_
2t, (0 t < 2)
0, (Otherwise).
Then we have
L[f
T
] (s) =
_
T
0
2te
st
dt =
2
s
2
2
(1 + 2s)e
2s
s
2
,
and
L[f(t)] (s) =
2
1 e
2s
_
1
s
2

(1 + 2s)e
2s
s
2
_
.
Example 8. Solve the IVP with Laplace transform method:
y
+ 4y = f(t), y(0) = y
(0) = 0,
where
f(t) =
_
_
f
T
(t), (n t < (n + 1)),
(n = 0, 1, N).
0, (Otherwise).
and
f
T
(t) =
_
sint, (0 t < )
0, (Otherwise).
Solution:
W may write
f(t) = f
T
(t) +f
T
(t )u
T
(t) +f
T
(t 2)u
2
(t)
+ +f
T
(t N)u
N
(t).
Thus, we have
L[f(t)] (s) = L[f
T
] (s) +L[f
T
] (s)e
s
+L[f
T
] (s)e
2s
+ +L[f
T
] (s)e
Ns
.
Due to
L[f
T
] (s) =
_

0
e
st
sin tdt =
1 + e
s
1 +s
2
,
then we have
L[f(t)] (s) = F(s) =
1 + e
s
1 +s
2
_
1 + e
s
+ e
2s
+ + e
Ns
_
=
1
1 +s
2
_
1 + 2(e
s
+ e
2s
+ + e
Ns
)
+e
(N+1)s
_
.
On the other hand, letting
L[y(t)] = Y (s),
from the equation we have
Y (s)(s
2
+ 4) = F(s),
so that
Y (s) =
1
(1 +s
2
)(s
2
+ 4)
_
1 + 2(e
s
+ e
2s
+
+e
Ns
) + e
(N+1)s
_
.
Let
H(s) =
1
(1 +s
2
)(s
2
+ 4)
=
1
3
_
1
(1 +s
2
)

1
(s
2
+ 4)
_
.
We have
h(t) = L
1
[H(s)] =
_
1
3
sin t
1
6
sin 2t
_
.
Therefore, we may derive
y(t) = L
1
[Y (s)] =
_
1
3
sin t
1
6
sin 2t
_
+2u
_
1
3
sin(t )
1
6
sin 2(t )
_
+2u
2
_
1
3
sin(t 2)
1
6
sin 2(t 2)
_
+
+2u
N
_
1
3
sin(t N)
1
6
sin 2(t N)
_
+u
(N+1)
_
1
3
sin(t (N + 1))
1
6
sin 2(t (N + 1))
_
or
y(t) = L
1
[Y (s)] =
_
1
3
sin t
1
6
sin 2t
_
+2u
1
3
sin t
1
6
sin 2t
_
+2u
2
_
1
3
sin t
1
6
sin2t
_
+
+2u
N
_
1
3
(1)
N
sin t
1
6
sin 2t
_
+u
(N+1)
_
1
3
(1)
N+1
sin t
1
6
sin 2t
_
.
6.2 Impulse Function
6.2.1 Denition
Let
d
(t) =
_
1
2
|t| < ,
0 |t| .
It follows that
I() =
_

(t)dt = 1.
Now, consider the limit,
(t) = lim
0
d
(t) =
_
0 t = 0,
t = 0,
which is called the Dirac -function. Evidently, the Dirac -function
has the following properties:
1
_

(t)dt = 1.
2
_
B
A
(t c)dt =
_
0 c

(A, B),
1 c (A, B).
3
_
B
A
(t c)f(t)dt =
_
0 c

(A, B),
f(c) c (A, B).
6.2.2 Laplace Transform of Impulse Function
L{(t c)} =
_
e
cs
c > 0,
0 c < 0.
One can derive
L{(t c)f(t)} = e
cs
f(c), (c > 0).
Example 1. Solve the IVP:
y
+ 4y
+ 13y = (t ),
with
y(0) = 2, y
(0) = 1.
Solution: Take the Laplace transform of both sides, and impose ICs. It
follows that
[s
2
Y 2s 1] + 4[sY 2] + 13Y = e
s
We have
Y =
e
s
+2s+9
s
2
+4s+13
=
e
s
+2s+9
(s+2)
2
+9
=
e
s
(s+2)
2
+9
+
2(s+2)
(s+2)
2
+9
+
5
(s+2)
2
+9
.
Take the inverse of the Laplace transform on both sides. we derive
y = L
1
_
e
s
3
L[e
2t
sin 3t]
_
+2[e
2t
cos 3t] +
5
3
[e
2t
sin3t]
=
1
3
u
(t)e
2(t)
sin 3(t )
+2[e
2t
cos 3t] +
5
3
[e
2t
sin3t].
6.3 Convolution Integral
6.3.1 Theorem
Given
L{f(t)} = F(s), L{g(t)} = G(s),
one can derive
L
1
{F(s) G(s)} = f(t) g(t)
= L
1
{F(s)} L
1
{G(s)}
where
f(t) g(t) =
_
t
0
f(t )g()d
is called the convolution integral.
Proof:
L{f g(t)} =
_

0
e
st
__
t
0
f(t )g()d
_
dt
=
_

0
__
t
0
e
st
f(t )g()d
_
dt.
However, it can be proven that
_
0
_
_
t
0
e
st
f(t )g()d
_
dt
=
_
0
__
e
st
f(t )g()dt
_
d.
Now let u = t . We get
L{f g(t)} =
_

0
__

0
e
s(u+)
f(u)g()du
_
d
= L{f(t)} L{g(t)}
6.3.2 The properties of convolution integral
f(t) g(t) = g(t) f(t).
[cf(t) +dg(t)] h(t) = c[f(t) h(t)] +d[g(t) h(t)].
1 g(t) = g(t)
0 g(t) = 0.
1
_
G(s)
(s1)
2
+1
_
.
Solution:
L
1
_
G(s)
(s1)
2
+1
_
= L
1
[G(s)] L
1
_
1
(s1)
2
+1
_
= e
t
sint g(t).
Example 2. Solve the IVP:
y
+
2
y = f(t)
with
y(0) = , y
(0) = .
Solution: Step #1: Taking Laplace transform of both sides, it follows
that
[s
2
Y s ] +
2
Y = F(s).
Step #2: We solve
Y (s) =
F(s)
s
2
+
2
+
s
s
2
+
2
+

s
2
+
2
.
Step #3: Taking inverse Laplace transform of both sides, we obtain
y(t) =
1
_
t
0
sin (t )f()d
+cos t +

sin t.
Chapter 5
SERIES SOLUTIONOF LINEAR DIFFERENTIAL
EQUATIONS
PART (I): SERIES SOLUTIONS NEAR AN ORDINARY POINT
1. Introduction
A function f(x) of one variable x is said to be analytic at a point
x = x
0
if it has a convergent power series expansion
f(x) =
0
a
n
(x x
0
)
n
= a
0
+a
1
(x x
0
) +a
2
(x x
0
)
2
+ +a
n
(x x
0
)
n
+
for |x x
0
| < R, R > 0.
This point x = x
0
is also called ordinary point. Otherwise, f(x) is said
to have a singularity at x = x
0
. The largest such R (possibly +)
is called the radius of convergence of the power series. The series
converges for every x with |x x
0
| < R and diverges for every x with
|x x
0
| > R. There is a formula for R =
1
, where
= lim
n
|a
n
|
1/n
, or lim
n
|a
n+1
|
|a
n
|
,
if the latter limit exists. The same is true if x, x
0
, a
i
are complex. For
example,
1
1 +x
2
= 1 x
2
+x
4
x
6
+ + (1)
n
x
2n
+
85
for |x| < 1. The radius of convergence of the series is 1. It is also equal
to the distance from 0 to the nearest singularity x = i of 1/(x
2
+ 1) in
the complex plane.
Power series can be integrated and dierentiated within the interval
(disk) of convergence. More precisely, for |x x
0
| < R we have
f
(x) =
n=1
na
n
x
n1
=
n=0
(n + 1)a
n+1
x
n
,
_
x
0
_

n=0
a
n
t
n
_
dt =
n=0
a
n
n + 1
x
n+1
=
n=1
a
n1
n
x
n
and the resulting power series have R as radius of convergence. If f(x),
g(x) are analytic at x = x
0
then so is f(x)g(x) and af + bg with any
scalars a, b, whose radii of convergence is not smaller than the radii of
convergence of the series for f(x), g(x). If f(x) is analytic at x = x
0
and
f(x
0
) = 0 then 1/f(x
0
) is analytic at x = x
0
with radius of convergence
equal to the distance from x
0
to the nearest zero of f(x) in the complex
plane.
The following theorem shows that linear DEs with analytic coe-
cients at x
0
have analytic solutions at x
0
with radius of convergence as
big as the smallest of the radii of convergence of the coecient functions.
2. Series Solutions near an Ordinary Point
2.1 Theorem
If p
1
(x), p
2
(x), . . . , p
n
(x), q(x) are analytic at x = x
0
, the solutions of
the DE
y
(n)
+p
1
(x)y
(n1)
+ +p
n
(x)y = q(x)
are analytic with radius of convergence the smallest of the radii of
convergence of the coecient functions
p
1
(x), p
2
(x), . . . , p
n
(x), q(x).
The proof of this result follows from the two steps: First nd the formal
series solutions for the EQ, then prove the formal series solutions are
convergent.
Example 1. The coecients of the DE y
+ y = 0 are analytic every-

where, in particular at x = 0. Any solution y = y(x) has therefore a
series representation
y =
n=0
a
n
x
n
SERIES SOLUTION OF LINEAR DIFFERENTIAL EQUATIONS 87
with innite radius of convergence. We have
y
n=0
(n + 1)a
n+1
x
n
,
y
n=0
(n + 1)(n + 2)a
n+2
x
n
.
Therefore, we have
y
+y =
n=0
((n + 1)(n + 2)a
n+2
+a
n
)x
n
= 0
for all x. It follows that
(n + 1)(n + 2)a
n+2
+a
n
= 0
for n 0. Thus
a
n+2
=
a
n
(n + 1)(n + 2)
, for n 0
from which we obtain
a
2
=
a
0
1 2
, a
3
=
a
1
2 3
, a
4
=
a
2
3 4
=
a
0
1 2 3 4
,
a
5
=
a
3
4 5
=
a
1
2 3 4 5
.
By induction one obtains
a
2n
= (1)
n
a
0
(2n)!
, a
2n+1
= (1)
n
a
1
(2n + 1)!
and hence that
y = a
0
n=0
(1)
n x
2n
(2n)!
+a
1
n=0
(1)
n x
2n+1
(2n+1)!
= a
0
cos(x) +a
1
sin(x).
Example 2. The simplest non-constant DE is y
+ xy = 0 which is
known as Airys equation. Its coecients are analytic everywhere and
so the solutions have a series representation
y =
n=0
a
n
x
n
with innite radius of convergence. We have
y
+xy =
n=0
(n + 1)(n + 2)a
n+2
x
n
+
n=0
a
n
x
n+1
,
=
n=0
(n + 1)(n + 2)a
n+2
x
n
+
n=1
a
n1
x
n
,
= 2a
2
+
n=1
((n + 1)(n + 2)a
n+2
+a
n1
)x
n
= 0
from which we get
a
2
= 0,
(n + 1)(n + 2)a
n+2
+a
n1
= 0
for n 1. Since a
2
= 0 and
a
n+2
=
a
n1
(n + 1)(n + 2)
, for n 1
we have
a
3
=
a
0
2 3
, a
4
=
a
1
3 4
, a
5
= 0,
a
6
=
a
3
5 6
=
a
0
2 3 5 6
,
a
7
=
a
4
6 7
=
a
1
3 4 6 7
.
By induction we get a
3n+2
= 0 for n 0 and
a
3n
= (1)
n
a
0
2 3 5 6 (3n 1) 3n
,
a
3n+1
= (1)
n
a
1
3 4 6 7 (3n) (3n + 1)
.
Hence y = a
0
y
1
+a
1
y
2
with
y
1
= 1
x
3
23
+
x
6
2356

+(1)
n x
3n
2356(3n1)3n
+ ,
y
2
= x
x
4
34
+
x
7
3467

+(1)
n x
3n+1
3467(3n)(3n+1)
+ .
For positive x the solutions of the DE y
+ xy = 0 behave like the

solutions to a mass-spring system with variable spring constant.
The solutions oscillate for x > 0 with increasing frequency as |x|
.
For x < 0 the solutions are monotone. For example, y
1
, y
2
are
increasing functions of x for x 0.
PART (II): SERIES SOLUTION NEAR A REGULAR
SINGULAR POINT
3. Introduction
In this lecture we investigate series solutions for the general linear DE
a
0
(x)y
(n)
+a
1
(x)y
(n1)
+ +a
n
(x)y = b(x),
where the functions a
1
, a
2
, . . . , a
n
, b are analytic at x = x
0
. If a
0
(x
0
) = 0
the point x = x
0
is called an ordinary point of the DE. In this case,
the solutions are analytic at x = x
0
since the normalized DE
y
(n)
+p
1
(x)y
(n1)
+ +p
n
(x)y = q(x),
where
p
i
(x) = a
i
(x)/a
0
(x), q(x) = b(x)/a
0
(x),
has coecient functions which are analytic at x = x
0
.
If a
0
(x
0
) = 0, the point x = x
0
is said to be a singular point for the
DE.
If k is the multiplicity of the zero of a
0
(x) at x = x
0
and the multi-
plicities of the other coecient functions at x = x
0
is as big then, on
cancelling the common factor (x x
0
)
k
for x = x
0
, the DE obtained
holds even for x = x
0
by continuity, has analytic coecient functions at
x = x
0
and x = x
0
is an ordinary point.
In this case the singularity is said to be removable. For example,
the DE xy
+ sin(x)y
+xy = 0 has a removable singularity at x = 0.

4. Series Solutions near a Regular Singular Point
In general, the solution of a linear DE in a neighborhood of a singu-
larity is extremely dicult. However, there is an important special case
where this can be done. For simplicity, we treat the case of the general
second order homogeneous DE
a
0
(x)y
+a
1
(x)y
+a
2
(x)y = 0, (x > x
0
),
with a singular point at x = x
0
. We say that x = x
0
is a regular
singular point if the normalized DE
y
+p(x)y
+q(x)y = 0, (x > 0),

is such that (x x
0
)p(x) and (x x
0
)
2
q(x) are analytic at x = 0. A
necessary and sucient condition for this is that
lim
xx
0
(x x
0
)p(x) = p
0
, lim
xx
0
(x x
0
)
2
q(x) = q
0
exist and are nite. In this case
(x x
0
)p(x) = p
0
+p
1
(x x
0
) + +p
n
(x x
0
)
n
+ ,
(x x
0
)
2
q(x) = q
0
+q
1
(x x
0
) + +q
n
(x x
0
)
n
+ .
Without loss of generality we can, after possibly a change of variable
x x
0
= t, for simplicity, hereafter we assume that the regular singular
point is x
0
= 0. Then we may re-write the DE in the form:
x
2
L[y] = x
2
y
+x(xp(x))y
+x
2
q(x)y = 0.
This DE is an Euler DE if xp(x) = p
0
, x
2
q(x) = q
0
. This suggests
that we should look for solutions of the form
y = x
r
_

n=0
a
n
x
n
_
=
n=0
a
n
x
n+r
,
with a
0
= 0. Substituting this in the DE gives
x
2
L[y] =
n=0
(n +r)(n +r 1)a
n
x
n+r
+
_

n=0
p
n
x
n
__

n=0
(n +r)a
n
x
n+r
_
+
_

n=0
q
n
x
n
__

n=0
a
n
x
n+r
_
which, on expansion and simplication, becomes
x
2
L[y] = a
0
F(r)x
r
+
n=1
(n +r)(n +r 1)a
n
x
n+r
+
n=1
_
p
n
ra
0
+p
n1
(1 +r)a
1
+
+p
1
(n 1 +r)a
n1
+p
0
(n +r)a
n
_
x
n+r
+
n=1
_
q
n
a
0
+q
n1
a
1
+ +q
1
a
n1
+q
0
a
n
_
x
n+r
or
x
2
L[y] = a
0
F(r)x
r
+
n=1
_
F(n +r)a
n
+[(n +r 1)p
1
+q
1
]a
n1
+
+(rp
n
+q
n
)a
0
_
x
n+r
,
where
F(r) = r(r 1) +p
0
r +q
0
.
We call
F(r) = r(r 1) +p
0
r +q
0
= 0, (5.1)
the indicial equation.
Equating coecients of the series on the right side to zero, namely set
F(n +r)a
n
= [(n +r 1)p
1
+q
1
]a
n1
(rp
n
+q
n
)a
0
(5.2)
for n 1, results in
a
n
(r) =
[(n+r1)p
1
+q
1
]a
n1
(rpn+qn)a
0
F(n+r)
(5.3)
and
x
2
L[y(x, r)] = a
0
F(r)x
r
. (5.4)
It is important to note that when the coecients a
n
(r) of series
solution y(x) are given by the recurrence formula (5.3), the
formula (5.4) will be valid for all x and any parameters (r, a
0
).
The indicial equation (5.1) has two roots: r
1
, r
2
. Three cases should
be discussed separately.
4.1 Case (I): The roots (r
1
r
2
= N)
Two roots dont dier by an integer. In this case,
F(r) = (r r
1
)(r r
2
).
From the above recursive equation (5.2), it may be deduced that
a
n
(r) = a
0
a
n
(r), and a
n
(r) can be uniquely determined from (5.2) by
setting a
0
= 1 as follows:
a
n
(r) =
[(n+r1)p
1
+q
1
] a
n1
(rpn+qn)
F(n+r)
(5.5)
for n 1.
With r = r
1
and r = r
2
, we obtain the linearly independent solutions
y
1
= |x|
r
1
_

n=0
a
n
(r
1
)x
n
_
, y
2
= |x|
r
2
_

n=0
a
n
(r
2
)x
n
_
.
It can be shown that the radius of convergence of the innite series is the
distance to the singularity of the DE nearest to the singularity x = 0.
When r
1
= r
2
or r
1
= r
2
+N, only the rst solution y
1
(x) correspond-
ing to r = r
1
y
1
= |x|
r
1
_

n=0
a
n
(r
1
)x
n
_
.
can be obtained through the above procedure.
In those cases, a second linearly independent solution can then
be found by the method of reduction of order.
However, a second solution can be also found with the method shown
below.
4.2 Case (II): The roots (r
1
= r
2
)
In this case, we have F(r) = (rr
1
)
2
. Setting a
0
= 1, with { a
n
(r), (n
1)} determined by (5.5), from the equality (5.4) we get
x
2
y
+x
2
p(x)y
+x
2
q(x)y = (r r
1
)
2
x
r
,
which is valid for all values of variables x and r. Dierentiating this
equation with respect to r, we get
x
2
_
y
r
_
+x
2
p(x)
_
y
r
_
+x
2
q(x)
y
r
= 2(r r
1
)x
r
+ (r r
1
)
2
x
r
ln(x).
Setting r = r
1
, we nd that
y
2
=
y
r
(x, r
1
) = x
r
1
_
n=0
a
n
(r
1
)x
n
_
ln(x)
+x
r
1
n=0
a
n
(r
1
)x
n
= y
1
ln(x) +x
r
1
n=0
a
n
(r
1
)x
n
,
where a
n
(r) is the derivative of a
n
(r) with respect to r. This is a second
linearly independent solution.
4.3 Case (III): The roots (r
1
r
2
= N > 0)
For this case, r
1
= r
2
+N. Thus,
F(r
2
+N) = 0.
Thus, from (5.5) we nd a
N
(r
2
) = . Consequently, we cannot derive
y
2
(x) with the root r
2
as in case (I).
To resolve the diculty, we now set a
0
= (r r
2
),
a
n
(r) = (r r
2
) a
n
(r), (n 1),
and consider the function
y(x, r) =
n=0
a
n
(r)x
n+r
.
Thus, from the equality (5.4) we get
x
2
L[y(x, r)] = (r r
1
)(r r
2
)
2
x
r
.
Dierentiating both sides of this equality with respect to r, we get
x
2
L[

r
y(x, r)] = (r r
1
)(r r
2
)
2
x
r
ln(x)
+(r r
2
)
_
(r r
2
) + 2(r r
1
)
_
x
r
.
Setting r = r
2
, it is seen that y
2
(x) =

r
y(x, r
2
) is a solution of the
given DE. This leads to
y
2
= ln |x|
n=0
a
n
(r
2
)x
n+r
2
+x
r
2
n=0
a
n
(r
2
)x
n
. (5.6)
We are now going to further investigate the above result.
1. The simplication of the rst power series term: One may deduce that
as n (N 1),
a
n
(r
2
) = 0,
This directly follows from the denition a
n
(r) = (r r
2
) a
n
(r);
as n = N,
a
N
(r
2
) = lim
rr
2
(r r
2
) a
N
(r) = a < ,
as n N + 1, or n = N +k,
a
n
(r
2
) = a
N+k
(r
2
) = a a
k
(r
1
).
Proof: We re-write the recurrence formula (5.2) as
a
n
(r) = R{ a
0
, , a
N
, , a
n1
, r}
=
[(n+r1)p
1
+q
1
] a
n1
(r)
F(n+r)
(r r
2
)

[(N+r1)p
nN
+q
nN
] a
N
(r
2
)
F(n+r)
(r r
2
)

[rpn+qn] a
0
(rr
2
)
F(n+r)
.
(5.7)
As r r
2
, it is reduced to
a
n
(r
2
) =
[(n+r
2
1)p
1
+q
1
]a
n1
(r
2
)
F(n+r
2
)

[(N+r
2
1)p
nN
+q
nN
]a
F(n+r
2
)
.
(5.8)
With n + r
2
= N + k + r
2
= k + r
1
, n N = k, by denoting
a
N+k
(r
2
) = ab
k
, we may re-write the above formula as
b
k
=
[(k+r
1
1)p
1
+q
1
]b
n1
F(k+r
1
)

[(r
1
1)p
k
+q
k
]b
0
F(k+r
1
)
.
(5.9)
Due to b
0
= 1, this yields b
k
= a
k
(r
1
).
By substituting the above results to the rst power series on the right
hand side of (5.6), we derive
n=0
a
n
(r
2
)x
n+r
2
=
N+k=0
a
N+k
(r
2
)x
N+k+r
2
= a
k=0
a
k
(r
1
)x
k+r
1
= ay
1
(x).
2. The simplication of the second power series term: we now investi-
gate the second power series on the right hand side of (5.6). One may
deduce that
as n (N 1),
a
n
(r
2
) = a
n
(r
2
)
This directly follows from the denition a
n
(r) = (r r
2
) a
n
(r);
as n = N, though a
N
(r
2
) = , we may have
a
N
(r
2
) = lim
rr
2
[(r r
2
) a
N
(r)]
= b < ;
as n N + 1, from the recurrence formula (5.7), we derive
a
n
(r
2
) = a
n
(r
2
) =
[(n+r
2
1)p
1
+q
1
] a
n1
(r
2
)
F(n+r
2
)

[(N+r
2
1)p
nN
+q
nN
]b
F(n+r
2
)

[r
2
pn+qn] a
0
F(n+r
2
)
.
(5.10)
Here the sequence { a
N+1
, a
n1
} are calculated by setting r = r
2
and a
N
(r) = b in the recurrence formula (5.7). Thus, we may write
the second power series as
|x|
r
2
n=0
a
n
(r
2
)x
n
,
where
a
n
(r
2
) =
_
_
_
1 n = 0;
a
n
(r
2
) 0 < n < N;
b n = N.
Whereas for n > N,
a
n
= R{ a
0
, a
1
, , a
N1
, b, , a
n1
, r
2
},
which is obtained by setting r = r
2
in the recurrence formula (5.7)
and replacing the variable a
N
(r
2
) by the number b.
Thus, we nally derive
y
2
(x) = ay
1
(x) ln |x| +|x|
r
2
_

n=0
a
n
(r
2
)x
n
_
. (5.11)
Thus, we obtain two linearly independent solution. The above method
is due to Frobenius and is called the Frobenius method.
5. Summary
Theorem 5.0.1 (Frobenius Theorem)
Give the normalized DE
y
+p(x)y
+q(x)y = 0, (x > 0).

Suppose say that x = 0 is a regular singular point, and
xp(x) = p
0
+p
1
x + +p
n
x
n
+ ,
x
2
q(x) = q
0
+q
1
x + +q
n
x
n
+ .
Then, we have the indicial equation:
F(r) = r(r 1) +p
0
r +q
0
= 0,
which has two roots:r
1
, r
2
. There three distinct cases:
1 Case (I): The roots (r
1
r
2
= N)
The system has the linearly independent solutions:
y
1
= |x|
r
1
_
1 +
n=1
a
n
(r
1
)x
n
_
,
y
2
= |x|
r
2
_
1 +
n=1
a
n
(r
2
)x
n
_
.
2 Case (II): The roots (r
1
= r
2
) The system has the linearly inde-
pendent solutions:
y
1
= |x|
r
1
_
1 +
n=1
a
n
(r
1
)x
n
_
,
y
2
= y
1
(x) ln |x| +|x|
r
1
_
n=0
b
n
x
n
_
,
where b
n
= a
n
(r
2
); b
0
= 0, since a
0
= 1.
3 Case (III): The roots (r
1
= r
2
+ N) The system has the linearly
independent solutions:
y
1
= |x|
r
1
_
1 +
n=1
a
n
(r
1
)x
n
_
,
y
2
= ay
1
(x) ln |x| +|x|
r
2
_
n=0
c
n
x
n
_
,
where c
n
= a
n
(r
2
) = a
n
(r
2
); a
0
= 1 and a
0
(r) = (r r
2
).
Example 1. The DE 2xy
+ y
+ 2xy = 0 has a regular singular point

at x = 0 since xp(x) = 1/2 and x
2
q(x) = x
2
. Noting that
p
0
=
1
2
, p
1
= p
2
= = 0,
and
q
0
= q
1
= 0, q
2
= 1, q
3
= q
4
= . . . = 0,
we derive the indicial equation:
r(r 1) +
1
2
r = r(r
1
2
) = 0.
The roots are r
1
= 1/2, r
2
= 0 which do not dier by an integer. For
the recurrence formula, we have
(r + 1)(r +
1
2
)a
1
= 0,
(n +r)(n +r
1
2
)a
n
= a
n2
for n 2,
(5.12)
so that
a
n
= 2a
n2
/(r +n)(2r + 2n 1)
for n 2. Hence 0 = a
1
= a
3
= a
2n+1
for n 0 and
a
2
=
2
(r+2)(2r+3)
a
0
,
a
4
=
2
(r+4)(2r+7)
a
2
=
2
2
(r+2)(r+4)(2r+3)(2r+7)
a
0
.
It follows by induction that
a
2n
= (1)
n
2
n
(r + 2)(r + 4) (r + 2n)
1
(2r + 3)(2r + 7) (2r + 4n 1)
a
0
. (5.13)
Setting, r = 1/2, 0, a
0
= 1, we get
y
1
=
n=0
(1)
n
x
2n
(5 9 (4n + 1))n!
,
y
2
=
n=0
(1)
n
x
2n
(3 7 (4n 1))n!
.
The innite series have an innite radius of convergence since x = 0 is
the only singular point of the DE.
Example 2. The DE xy
+ y
+ y = 0 has a regular singular point at

x = 0 with xp(x) = 1, x
2
q(x) = x. Noting that
p
0
= 1, p
1
= p
2
= = 0,
and
q
0
= 0, q
1
= 1, q
2
= q
3
= q
4
= . . . = 0,
we get the indicial equation:
r(r 1) +r = r
2
= 0.
This equation has only one root x = 0. The recursion equation is
(n +r)
2
a
n
= a
n1
, n 1.
The solution with a
0
= 1 is
a
n
(r) = (1)
n
1
(r + 1)
2
(r + 2)
2
(r +n)
2
.
setting r = 0 gives the solution
y
1
=
n=0
(1)
n
x
n
(n!)
2
.
Taking the derivative of a
n
(r) with respect to r we get, using
a
n
(r) = a
n
(r)
d
dr
ln [a
n
(r)]
(logarithmic dierentiation),we get
a
n
(r) =
_
2
r + 1
+
2
r + 2
+ +
2
r +n
_
a
n
(r)
so that
a
n
(0) = 2(1)
n+1
1
1
+
1
2
+ +
1
n
(n!)
2
.
Therefore a second linearly independent solution is
y
2
= y
1
ln(x) + 2
n=1
(1)
n+1
1
1
+
1
2
+ +
1
n
(n!)
2
x
n
.
The above series converge for all x. Any bounded solution of the given
DE must be a scalar multiple of y
1
.
Example 3.
L[y] = x
2
y
+xy
+ (x
2
1)y = 0.
This DE has a regular singular point at x = 0, the indicial equation is
F(r) = r(r 1) +r
2
= r
2
2
= (r 1)(r + 1)
whose roots are
r
1
= 1, r
2
= 1.
This is the case (III). Let
y(x, r) = x
r
n=0
a
n
x
n
,
we may derive
L[y(r, x)] = a
0
(r
2
1)x
r
+a
1
[(r + 1)
2
1]x
r+1
+
n=2
_
[(r +n)
2
1]a
n
+a
n2
_
x
r+n
= 0.
The recursion equations are
[(1 +r)
2
1]a
1
= 0,
[(n +r)
2
1]a
n
= a
n2
,
for n 2.
The rst solution y
1
(x) can be obtained as in the last section. Let
r = r
1
= 1 and a
0
= 1, we have
a
1
= 0,
a
n
=
a
n2
n(n + 2)
, n 2.
It is derived that for the odd numbers,
a
1
= a
3
= a
5
= = 0;
while for the even numbers,
a
2
=
(1)a
0
2
2
(2)(1)
, a
4
=
(1)a
2
2
2
(3)(2)
,
In general, for n = 2m,
a
2m
=
(1)
m
a
0
2
2m
(m+ 1)!m!
.
We obtain the rst solution:
y
1
= x
m=0
(1)
m
x
2m
2
2m
(m+ 1)!m!
.
In practice, one dene the Bessel function J
1
(x) = 2y
1
(x).
The second solution has the form:
y
2
= ay
1
(x) ln x +x
1
_
n=0
c
n
x
n
_
,
Here, we will see later that c
0
is proportional to a, hance, one may set
c
0
= 1.
We now compute
y
2
(x) = ay
1
(x) ln x +ay
1
(ln x)
+x
1
n=0
nc
n
x
n1
x
2
_
n=0
c
n
x
n
_
,
y
2
(x) = ay
1
(x) ln x + 2ay
1
(ln x)
+ay
1
(ln x)
+x
1
n=2
n(n 1)c
n
x
n2
2x
2
n=0
nc
n
x
n1
+2x
3
n=0
c
n
x
n
,
Then we let
L[y
2
] = p
0
(x)y
2
+p
1
(x)y
2
+p
2
(x)y
2
= 0.
It follows that
L[y
2
] = a ln x
_
p
0
(x)y
1
+p
1
(x)y
1
+p
2
(x)y
1
_
+
_
x
2
ay
1
(ln x)
+xay
1
(ln x)
_
+ 2axy
1
+
n=0
[(n 1)(n 2)c
n
+ (n 1)c
n
c
n
]x
n1
+
n=0
c
n
x
n+1
.
Note that
L[y
1
] = p
0
(x)y
1
+p
1
(x)y
1
+p
2
(x)y
1
= 0,
and
x
2
ay
1
(ln x)
+xay
1
(ln x)
= 0,
we obtain
L[y
2
] = 2axy
1
+
n=0
[(n 1)(n 2)c
n
+ (n 1)c
n
c
n
]x
n1
+
n=0
c
n
x
n+1
,
or,
n=0
[(n 1)(n 2)c
n
+ (n 1)c
n
c
n
]x
n1
+
n=0
c
n
x
n+1
= 2ax
m=0
(1)
m
(2m+ 1)x
2m
2
2m
(m+ 1)!m!
.
It may re-written as
c
1
+ [0 c
2
+c
0
]x +
n=2
[(n
2
1)c
n+1
c
n1
]x
n
= 2a
_
x +
m=1
(1)
m
(2m + 1)x
2m+1
2
2m
(m + 1)!m!
_
.
It follows that
c
1
= 0, a = c
0
/2,
If one set c
0
= 1, we have a =
1
2
. Furthermore, we have
c
3
= c
5
= = 0.
Moreover, let n = 2m+ 1, we have
[(2m + 1)
2
1]c
2m+2
c
2m
=
(1)
m
(2m + 1)x
2m+1
2
2m
(m + 1)!m!
, m = 1, 2,
As m = 1, we have
(3
2
1)c
4
+c
2
= (1)3/(2
2
2!).
c
2
c
4
c
6

So that, c
2
is arbitrary constant. In practice, one set c
2
= 1/2
2
. Thus,
we have
c
4
=
1
2
4
2
_
3
2
+ 1
_
=
1
2
4
2!
__
1 +
1
2
_
+ 1
_
We dene
H
0
= 1, H
n
= 1 +
1
2
+
1
3
+ +
1
n
, (n 1).
Then, we have
c
4
=
1
2
4
2!
(H
2
+H
1
) .
In general, one may write
c
2m
=
(1)
m+1
2
2m
m!(m1)!
(H
m
+H
m1
) .
We nally obtain:
y
2
(x) =
1
2
y
1
(x) ln x
+
1
x
_
1 +
m=1
(1)
m+1
(H
m
+H
m1
) x
2m
2
2m
m!(m1)!
_
.
PART (III): BESSEL FUNCTIONS
6. Bessel Equation
In this lecture we study an important class of functions which are
dened by the dierential equation
x
2
y
+xy
+ (x
2
2
)y = 0,
where 0 is a xed parameter. This DE is known Bessels equation
of order .
This equation has x = 0 as its only singular point. Moreover, this
singular point is a regular singular point since
xp(x) = 1, x
2
q(x) = x
2
2
.
Bessels equation can also be written
y
+
1
x
y
+ (1

2
x
2
) = 0
which for x large is approximately the DE y
+ y = 0 so that we can
expect the solutions to oscillate for x large. The indicial equation is
r(r 1) +r
2
= r
2
2
whose roots are
r
1
= , r
2
= .
Note that
p
0
= 1, p
1
= p
2
= = 0,
and
q
0
=
2
, q
1
= 0, q
2
= 1, q
3
= q
4
= . . . = 0,
The recursion equations are
[(1 +r)
2
2
]a
1
= 0,
[(n +r)
2
2
]a
n
= a
n2
,
for n 2.
The general solution of these equations is
a
2n+1
= 0, for n 0
and
a
2n
(r) =
(1)
n
a
0
(r + 2 )(r + 4 ) (r + 2n )
1
(r + 2 +)(r + 4 +) (r + 2n +)
.
7. The Case of Non-integer
If is not an integer and = 1/2, we have the case (I). Two linearly
independent solutions of Bessels equation
J
(x), J
(x)
can be obtained by taking r = , a
0
= 1/2
( + 1). Since, in this

case,
a
2n
=
(1)
n
a
0
2
2n
n!(r + 1)(r + 2) (r +n)
,
we have for r =
J
r
(x) =
n=0
(1)
n
n!(r +n + 1)
_
x
2
_
2n+r
.
Recall that the Gamma function (x) is dened for x 1 by
(x + 1) =
_

0
e
t
t
x
dt.
For x 0 we have
(x + 1) = x(x),
so that
(n + 1) = n!
for n an integer 0. We have
_
1
2
_
=
_

0
e
t
t
1/2
dt = 2
_

0
e
x
2
dt =
.
The Gamma function can be extended uniquely to a function which
satises the identity
(x) = (x)/x,
for all x, but
x = {0, 1, 2, . . . , n, . . .}.
This is true even if x is taken to be complex. The resulting function is
analytic except at zero and the negative integers where it has a simple
pole.
These functions are called Bessel functions of rst kind of order .
As an exercise the reader can show that
J1
2
(x) =
_
2
x
sin(x), J
1
2
=
_
2
x
cos(x).
8. The Case of = m with m an integer 0
For this case, the rst solution J
m
(x) can be obtained as in the last
section. As examples, we give some such solutions as follows:
The Case of m = 0:
J
0
(x) =
n=0
(1)
n
2
2n
(n!)
2
x
2n
The case m = 1:
J
1
(x) =
1
2
y
1
(x) =
x
2
n=0
(1)
n
2
2n
n!(n + 1)!
x
2n
.
To derive the second solution, one has to proceed dierently. For = 0
the indicial equation has a repeated root, we have the case (II). One has
a second solution of the form
y
2
= J
0
(x) ln(x) +
n=0
a
2n
(0)x
2n
where
a
2n
(r) =
(1)
n
(r + 2)
2
(r + 4)
2
(r + 2n)
2
.
It follows that
a
2n
(r)
a
2n
= 2
_
1
r + 2
+
1
r + 4
+
1
r + 2n
_
so that
a
2n
(0) =
_
1 +
1
2
+ +
1
n
_
a
2n
(0) = h
n
a
2n
(0),
where we have dened
h
n
=
_
1 +
1
2
+ +
1
n
_
.
Hence
y
2
= J
0
(x) ln(x) +
n=0
(1)
n+1
h
n
2
2n
(n!)
2
x
2n
.
Instead of y
2
, the second solution is usually taken to be a certain linear
combination of y
2
and J
0
. For example, the function
Y
0
(x) =
2
_
y
2
(x) + ( ln 2)J
0
(x)
_
,
where
= lim
n
(h
n
ln n) 0.5772
, is known as the Weber function of order 0. The constant is known
as Eulers constant; it is not known whether is rational or not.
If = m, with m > 0, the the roots of the indicial equation dier by
an integer, we have the case (III). Then one has a solution of the form
y
2
= aJ
m
(x) ln(x) +
n=0
b
2n
(m)x
2n+m
where b
2n
(r) = (r +m)a
2n
(r) and a = b
2m
(m). In the case m = 1 we
have a
0
= 1,
a = b
2
(1) =
a
0
2
,
b
0
(r) = (r r
2
)a
0
and for n 1,
b
2n
(r) =
(1)
n
a
0
(r+3)(r+5)(r+2n1)(r+3)(r+5)(r+2n+1)
.
Subsequently, we have
b
0
(r) = a
0
and for n 1,
b
2n
(r) =
_
1
r+3
+
1
r+5
+ +
1
r+2n1
+
1
r+3
+
1
r+5
+ +
1
r+2n+1
_
b
2n
(r).
From here, we obtain
b
0
(1) = a
0
b
2n
(1) =
1
2
(h
n
+h
n1
)b
2n
(1), (n 1),
(5.14)
where
b
2n
(1) =
(1)
n
2
2n
(n 1)!n!
a
0
.
So that
y
2
=
1
2
y
1
(x) ln(x)
+
1
x
_
1 +
n=1
(1)
n+1
(hn+h
n1
)
2
2n+1
(n1)!n!
x
2n
_
= J
1
(x) ln(x)
+
1
x
_
1 +
n=1
(1)
n+1
(hn+h
n1
)
2
2n+1
(n1)!n!
x
2n
_
where, by convention, h
0
= 0, (1)! = 1.
The Weber function of order 1 is dened to be
Y
1
(x) =
4
_
y
2
(x) + ( ln 2)J
1
(x)
_
.
The case m > 1 is slightly more complicated and will not be treated
here.
The second solutions y
2
(x) of Bessels equation of order m 0 are
unbounded as x 0.
It follows that
Any solution of Bessels equation of order m 0 which is bounded
as x 0 is a scalar multiple of J
m
.
The solutions which are unbounded as x 0 are called Bessel func-
tions of the second kind.
Refer to the Reference Book by Boyce & DiPrima.
9. Behaviors of Solutions near the Regular
Singular Point x = 0
In terms of the Frobenius Theorem, one may predict the behaviors
of solutions near the singular point, say, x = 0, without solving the
equation.
Assume that from the indicial equation, one nds the roots r
1
, r
2
.
Then there are several possibilities.
9.1 Case (I): r
1
r
2
= N
(i). (r
1
0, r
2
< 0): We have
y
1
(x) |x|
r
1
O(1), (x 0)
bounded and
y
2
(x) |x|
r
2
, (x 0)
monotonically, unbounded.
(ii). (r
1
> 0, r
2
0): We have
y
1
(x) |x|
r
1
0, (x 0),
and
y
2
(x) |x|
r
2
O(1), (x 0).
monotonically. All solutions are bounded.
(iii). The roots are complex conjugate, (r
1,2
= i):
If < 0, all solutions are unbounded and oscillatory,
y
1,2
(x) |x|
i
= |x|
{ cos(ln |x|) i sin(ln |x|)}

, (x 0).
If 0, all solution are bounded and oscillatory,
y
1,2
(x) |x|
i
= |x|
{ cos(ln |x|) i sin(ln |x|)}

= O(1), (x 0).
9.2 Case (II): r
1
= r
2
(i). (r
1
> 0): We have
y
1
(x) |x|
r
1
0, (x 0)
is bounded and
y
2
(x) |x|
r
1
ln |x| 0, (x 0)
is also bounded.
(ii). (r
1
= r
2
= 0): We have
y
1
(x) = O(1), (x 0),
bounded, but
y
2
(x) ln |x| , (x 0).
is unbounded.
9.3 Case (III): r
1
r
2
= N = 0
(i). (r
1
> r
2
> 0): All solutions are bounded:
y
1
(x) |x|
r
1
0, (x 0)
is bounded and
y
2
(x) a|x|
r
1
ln |x| +|x|
r
2
= 0, (x 0).
(ii). (r
1
> r
2
= 0): All solutions are bounded:
y
1
(x) 0, (x 0),
and
y
2
(x) O(1), (x 0).
(iii). (r
1
> 0 > r
2
): Some solutions are bounded:
y
1
(x) 0, (x 0),
and some solutions are unbounded:
y
2
(x) , (x 0).
Chapter 6
() SYSTEMS OF LINEAR DIFFERENTIAL
EQUATIONS: EIGENVECTOR METHOD
1. Introduction
Let us consider the system
dx
dt
= Ax. (6.1)
with an arbitrary n n matrix A.
Suppose that the solution can be written in the form:
x(t) = v e
t
, (6.2)
where is a parameter, while
v = [v
1
, v
2
, , v
n
]
T
is a constant column vector, both are to be determined. Substituting
(6.2) into (6.1), we derive
Av = v,
or
(A I)v = 0. (6.3)
It is known from linear algebra that the linear homogeneous equation
(6.3) has non-trivial solution, if and only if the determinant
det(A I) = P() = 0. (6.4)
The polynomial of of degree n-th, P(), is called the characteris-
tic polynomial. The roots of P() are called the eigenvalues, while
the non-trivial solution v corresponding is called the eigenvectors
associated with the eigenvalue .
In the following, we consider the special case: n = 2.
109
1.1 (2 2) System of Linear Equations
In case n = 2, we have
P() =
2
tr(A) + det(A) = 0. (6.5)
The characteristic equation (6.5) has three roots and there are three
cases depending on whether the discriminant
= tr(A)
2
4 det(A)
of the characteristic polynomial P() is > 0, < 0, = 0.
1.2 Case 1: > 0
In this case the roots
1
,
2
of the characteristic polynomial are real
and unequal, say
1
<
2
. Let v
i
be an eigenvector with eigenvalues.
1,2
=
tr(A)
2

2
By solving linear equation:
(A
i
I)v
i
= 0, (i = 1, 2)
one can derive that
v
1
=
_
1
v
12
_
, v
2
=
_
1
v
22
.
_
v
12
=
1
a
12
[
1
a
11
] ,
v
22
=
1
a
12
[
2
a
11
] .
The two eigenvectors v
1
and v
2
are linear independent and the matrix
P = [v
1
, v
2
]
is invertible. In the other words, det(P) = 0 and the inverse P
1
exists.
Note that the equations
Av
1
=
1
v
1
,
Av
2
=
1
v
2
,
can be written in the matrix form:
A[v
1
, v
2
] = [v
1
, v
2
]
_
1
0
0
2
_
() SYSTEMS OF LINEAR DIFFERENTIAL EQUATIONS 111
or
AP = P
_
1
0
0
2
_
.
It shows that
P
1
AP =
_
1
0
0
2
_
.
If we make the change of variable
x = Pu
with
u =
_
u
1
u
2
_
,
our system becomes
P
du
dt
= APu
or
du
dt
= P
1
APu =
_
1
0
0
2
_
u.
Hence, our system reduces to the uncoupled system
du
1
dt
=
1
u
1
,
du
2
dt
=
2
u
2
which has the general solution
u
1
= c
1
e
1
t
,
u
2
= c
2
e
2
t
.
Thus the general solution of the given system is
x = Pu = u
1
v
1
+u
2
v
2
= c
1
e
1
t
v
1
+c
2
e
2
t
v
2
.
1.3 Case 2: < 0
In this case the roots of the characteristic polynomial are complex
numbers
= i = tr(A)/2 i
_
||/2.
The corresponding eigenvectors of A, like the case (1), can be still ex-
pressed as a (complex) scalar multiples of
v
1
=
_
1
v
12
_
v
2
=
_
1
v
22
.
_
v
12
=
1
a
12
[
1
a
11
] ,
v
22
=
1
a
12
[
2
a
11
] .
or say,
v
1,2
=
_
1
i
_
where
= ( a
11
)/a
12
, = /a
12
.
The general complex solutions is
z =
1
2
(c
1
+ic
2
)e
t
(cos(t) +i sin(t))
_
1
+i
_
,
where c
1
, c
2
are arbitrary constants.
For x is the general real solution, we must have
x = z +z.
It follows that
x = e
t
(c
1
cos(t) c
2
sin(t))
_
1
_
+e
t
(c
1
sin(t) +c
2
cos(t))
_
0
_
.
1.4 Case 3: = 0
Here the characteristic polynomial has only one root (multiple root)
=
1
= tr(A)/2.
There were two distinct cases.
Case (I): A = I. From equation,
(A
1
I)v = 0.
In this case, rank{A
1
I} = 0. So that, the number of eigenvector
corresponding to the eigenvalue
1
is n
1
= 2 0 = 2; any vector
v R
2
will be a eigenvector corresponding to the eigenvalue
1
. Thus, corre-
sponding to the multiple eigenvalue
1
, one has two linear indepen-
dent eigenvectors:
v
1
= [1, 0], v
2
= [0, 1].
We derive the general solution:
x = c
1
v
1
e
1
t
+c
2
v
2
e
1
t
.
The same result can be obtained through another way. In fact, the
system for this case is reduced to
dx
1
dt
= x
1
,
dx
2
dt
= x
2
.
x
1
= c
1
e
1
t
x
2
= c
2
e
1
t
.
Case (II):
A =
1
I.
The eigenvector v
1
corresponding to eigenvalue
1
satises:
Av
1
=
1
v
1
.
In this case, rank{A
1
I} = r = 1, the number of eigenvector corre-
sponding to the eigenvalue
1
is n
1
= n r = 2 1 = 1; So, only one
eigenvector v
1
corresponding the multiple eigenvalue
1
can be found
from
(A
1
I)v
2
= 0,
which leads to only one linearly independent solution:
x
1
= e
1
t
v
1
.
We assume the second solution has the following form:
x
2
= x
1
= e
1
t
( v
1,0
+t v
1,1
).
It follows that
d
dt
x
1
= e
1
t
_
(
1
v
1,0
+ v
1,1
) +
1
t v
1,1
_
= A x
1
= Ae
1
t
( v
1,0
+t v
1,1
).
It holds for all t. Hence, we derive that the two linear independent
vectors v
1,0
and v
1,1
can be obtained from the equations:
A v
1,1
=
1
v
1,1
,
A v
1,0
=
1
v
1,0
+ v
1,1
.
It can be proved (the proof is omitted) that that for the case of double
root, this second equation must be consistent, though the determinant
det(A
1
I) = 0.
Example: Given
x
= Ax, A =
_
6 8
2 2
_
.
We have
der(A I) =
6 8
2 2
= ( 2)
2
.
The system has a double eigenvalues =
1
= 2, m
1
= 2. In this case,
for the second solution we need to solve the systems,
A v
1,1
=
1
v
1,1
,
A v
1,0
=
1
v
1,0
+ v
1,1
,
becomes
A v
1,1
= 2 v
1,1
,
A v
1,0
= 2 v
1,0
+ v
1,1
,
We solve v
1,1
= [c, d]
T
from the rst equation,
(A 2I) v
1,1
=
_
4 8
2 4
_
[c, d]
T
= 0.
It is derived that rank{(A 2I)} = 1 and
v
1,1
= r[2, 1]
T
.
The second equation for v
1,0
= [a, b]
T
becomes
(A2I) v
1,0
=
_
4 8
2 4
_
[a, b]
T
= r[2, 1]
T
.
It is seen that this equation is consistent and has the solutions:
v
1,0
=
_
r
2
+ 2s, s
_
,
where r, s are arbitrary constants. Let r = 2, s = 0, we get
v
1,1
= [4, 2]
T
, v
1,0
= [1, 0]
T
.
Note: For the case under discussion, one may introduce the matrix
P = [ v
1,1
, v
1,0
],
we have
AP = P
_
1
0
_
.
Since P is invertible, we may write
P
1
AP =
_
1
1
0
1
_
.
Setting as before
x = Pu
with
u =
_
u
1
u
2
_
,
our system becomes
P
du
dt
= APu
or
du
dt
= P
1
APu =
_
1
1
0
1
_
u.
Hence, our system reduces to the uncoupled system
du
1
dt
=
1
u
1
+u
2
,
du
2
dt
=
1
u
2
u
2
= c
2
e
1
t
,
u
1
= c
1
e
1
t
+c
2
te
1
t
.
Thus the general solution of the given system is
x = Pu = u
1
v
1,1
+u
2
v
1,0
= (c
1
+c
2
t)e
1
t
v
1,1
+c
2
e
1
t
v
1,0
.
2. Solutions for (n n) Homogeneous Linear
System
One may easily extend the ideas and results given in the previous
sections to the general (n n) system of linear equations:
dx
dt
= Ax, t (I) (6.6)
where A is n n matrix with real elements.
Let us consider the solution in the form:
x(t) = {x
1
(t), , x
n
(t)} = e
t
v.
It is derived that that
e
t
v = Ae
t
v; (A I)v = 0.
It implies that must be an eigenvalue of A, satisfying
P() = det(AI) = 0,
while v must be its corresponding eigenvector. There are several cases
should be discussed separately.
2.1 Case (I): (A) is non-defective matrix
Theorem 2.1.1 If A is non defective, having n real linear independent
eigenvectors {v
1
, v
n
} with corresponding eigenvalues
1
, ,
n
(not
necessarily distinct), then the functions
x
k
(t) = e
k
t
v
k
, (k = 1, 2, , n),
yield a set of linear independent solutions of (6.6). Hence, the general
solution of EQ. is
x(t) = c
1
x
1
(t) + +c
n
x
n
(t).
Proof: We have just shown that x
k
(t) are solution. So, we only need to
prove the n vector functions are linear independent. This can be done
by shown their determinant
det[x
1
, x
n
] = e
(
1
++n)t
det[v
1
, , v
n
] = 0,
for all t (I).
Example 1: Find the general solution for EQ. x
= Ax with
A =
_
_
0 2 3
2 4 3
2 2 1
_
_
.
solution: It is calculated that
P() = ( + 1)( 2)
2
,
so that A has simple EV = 1 and double EV = 2. We now proceed
to nd the corresponding eigenvectors.
For
1
= 1, we solve the system:
v
1
+ 2v
2
3v
3
= 0,
2v
1
+ 5v
2
3v
3
= 0
2v
1
+ 2v
2
= 0,
which can be reduce to the echelon form:
v
1
+ 2v
2
3v
3
= 0,
v
2
v
3
= 0
0 = 0.
It is seen rank{A
1
I} = r
1
= 2, n
1
= n r
1
= 3 2 = 1. One
derives the solution v = (v
1
, v
2
, v
3
) = r(1, 1, 1), where r is arbitrary
constant. Thus, we have the corresponding eigenvector
v
1
= (1, 1, 1).
For
2
= 2, the multiplicity is m
2
= 2, the system may reduce to a
single EQ:
2v
1
2v
2
+ 3v
3
= 0,
so that, rank{A
2
I} = r
2
= 1, n
2
= n r
2
= 3 1 = 2. The
dimension of eigen-space E
2
is n
2
= dim(E
2
) = 2.
One may solve the general solution from the system (A
2
I)v = 0,
v = r(1, 1, 0) +s(3, 0, 2),
where r, s are arbitrary constants. Thus, we may set the two eigen-
vectors
v
2
= (1, 1, 0), v
3
= (3, 0, 2).
Thus, the system is non-defective, we have three L.I. solutions:
x
1
= e
t
(1, 1, 1)
T
;
x
2
= e
2t
(1, 1, 0)
T
;
x
3
= e
2t
(3, 0, 2)
T
.
The general solution is
x(t) = c
1
x
1
(t) +c
2
x
2
(t) +c
3
x
3
(t).
2.2 Case (II): (A) has a pair of complex
conjugate eigen-values
Theorem 2.2.1 If A has a pair of complex conjugate EVs, (,
) =
a ib, with corresponding complex conjugate eigenvector are (v, v) =
v
R
iv
I
, then the functions
x
1
(t) = e
at
_
cos(bt)v
R
sin(bt)v
I
_
,
x
2
(t) = e
at
_
sin(bt)v
R
+ cos(bt)v
I
_
,
yield a pair of linear independent real solutions of (6.6).
Proof: The theorem for case (I) is applicable for the complex EV. Hence,
the system has a pair of the complex solutions:
x(t) = e
t
v; x(t) = e
t
v.
Taking real part and imaginary part, respectively, we obtain the real
solutions:
x
1
(t) = {x(t)}; x
2
(t) = {x(t)}.
2.3 Case (III): (A) is a defective matrix
Theorem 2.3.1 Assume that A is defective with multiple eigenvalue
with the multiplicity m 1; the dimension of the eigen-space dim(E) =
k < m, and the corresponding the eigenvectors in the eigen-space are
(v
1
, v
k
). Then beside of solutions given by these eigenvectors:
x
i
(t) = e
t
v
i
, (i = 1, 2, k).
one may look for the following forms (mk) solutions for the system:
x
1
(t) = e
t
_
v
1,0
+t v
1,1
_
,
x
2
(t) = e
t
_
v
2,0
+t v
2,1
+
t
2
2!
v
2,2
_
,
.
.
.
x
j
(t) = e
t
_
v
j,0
+t v
j,1
+ +
t
j
j!
v
j,j
_
,
.
.
.
(j = 1, 2, mk).
To determine the vectors { v
j,i
, (i = 0, 1, j), (j = 1, 2, m k)},
we may substitute x
j
(t) into EQ (6.6):
x
j
(t) = e
t
_
v
j,0
+t v
j,1
+ +
t
j
j!
v
j,j
_
+e
t
_
v
j,1
+t v
j,2
+ +
t
j1
(j1)!
v
j,j
_
= Ae
t
_
v
j,0
+t v
j,1
+ +
t
j
j!
v
j,j
_
.
It holds for all t (I). Equating the coecients of each power term of
t of both sides, if follows that
(AI) v
j,j
= 0,
(AI) v
j,j1
= v
j,j
(AI) v
j,j2
= v
j,j1
.
.
.
(AI) v
j,0
= v
j,1
,
.
.
.
(j = 1, 2, mk).
(6.7)
It is seen that v
j,j
(E) is one of the eigenvector corresponding to
to be determined. It can be proved that the system (6.7) allows a set of
non-zero solutions { v
j,i
, (i = 0, 1, j), (j = 1, 2, mk)}.
The whole set of solutions {x
i
(t); x
j
(t)} yield m linear independent so-
lutions of (6.6).
We do not give the proof of the above statement, but show the ideas
via the following example.
Example 2: Find the general solution for EQ: x
= Ax with
A =
_
_
6 3 6
1 4 2
2 2 1
_
_
.
Solution: It is calculate that P() = ( 3)
3
. One has EV, = 3,
multiplicity m = 3. The corresponding eigenvectors v = r(1, 1, 0) +
s(2, 0, 1), where (r, s) are two arbitrary constants. Hence, we have
v
1
= (1, 1, 0)
T
; v
2
= (2, 0, 1)
T
, and dim(E) = k = 2 < m. (A) is
defective matrix. Thus, we have two solutions:
x
1
(t) = e
3t
v
1
; x
2
(t) = e
3t
v
2
.
The third solution can be expressed in the form:
x
1
(t) = e
3t
( v
1,0
+t v
1,1
),
where ( v
1
; v
2
) are subject to the system:
(A 3I) v
1,1
= 0,
(A 3I) v
1,0
= v
1,1
.
(6.8)
It is seen that v
1,1
= r(1, 1, 0) +s(2, 0, 1), r, s are to be determined.
Furthermore, let us denote v
1,0
= (a, b, c)
T
. (6.8) can be written as
3a + 3b + 6c = r 2s
a +b +c = r
2a 2b 4c = s
This is a non-homogeneous linear system with zero determinant. The
augmented matrix is
_
_
3 3 6
r 2s
1 1 2
r
1 2 4
s
_
_
To have a solution, the system must satisfy the consistency condition
rank{(A I)} = rank{(A I)
#
} , which determines the constants
(r, s). By using Gauss elimination method, it is derived that the system
is row equivalent to
_
_
1 1 2
r
0 0 0
2(2r +s)
0 0 0
2r +s
_
_
(6.9)
The consistency condition requires that
2r +s = 0.
One may let r = 1, s = 2. So that, v
1,1
= (3, 1, 2). The solution
v
1,0
= (a, b, c)
T
can be obtained by solving (6.9):
a +b + 2c = 1.
It is obtained that a = 1, b = c = 0, so that, v
1,0
= (1, 0, 0).
x
1
(t) = e
3t
[(1, 0, 0)
T
+t(3, 1, 2)
T
].
The three linear independent solutions are {x
1
, x
2
, x
1
}.
3. Solutions for Non-homogeneous Linear System
Given non-homogeneous linear system:
dx
dt
= Ax +b(t), t (I) (6.10)
where A is nn matrix with real elements. Assume that the associated
homogeneous system:
dx
dt
= Ax, t (I) (6.11)
has linear independent solutions: {x
1
(t), x
n
(t)}. The general solution
of (6.10) is
x(t) = c
1
x
1
(t) + +c
n
x
n
(t) +x
p
(t),
x
p
(t) is a particular solution of EQ. (6.10).
3.1 Variation of Parameters Method
To determine a particular solution x
p
(t), we assume
x
p
(t) = u
1
(t)x
1
(t) + +u
n
(t)x
n
(t) = X(t)u(t),
where
X(t) = [x
1
, , x
n
], u = [u
1
(t), , u
n
(t)]
T
.
By substituting the above into EQ, we have
[X(t)u(t)]
= X
(t)u(t) +X(t)u
(t)
= A[X(t)u(t)] +b(t).
Noting that
X
(t) = [x
1
, , x
n
] = [Ax
1
, , Ax
n
]
= AX(t),
we derive
AX(t)u(t) +X(t)u
(t) = A[X(t)u(t)] +b(t)

or
X(t)u
(t) = b(t).
Consequently, we obtain:
u
(t) = X
1
b(t),
so that,
u(t) =
_
t
X
1
(s)b(s)ds,
and
x
p
(t) = X(t)
_
t
X
1
(s)b(s)ds.
Example 3: Solve the IVP: x
= Ax +b, x(0) = (3, 0)

T
, where
A =
_
1, 2
4, 3
_
; b = (12e
3t
, 18e
2t
)
T
.
Solution: P() = det(AI) = ( 5)( + 1) = 0. Hence, EVs of A
are = 1, 5. The eigenvectors: one may nd that
For = 1: v
1
= r(1, 1);
For = 5: v
2
= s(1, 2)
This, we have the fundamental solutions:
x
1
= e
t
(1, 1)
T
, x
2
= e
5t
(1, 2)
T
.
and the matrix of fundamental solutions:
X =
_
e
t
e
5t
e
t
2e
5t
_
.
Therefore, the particular solution x
p
= Xu is subject to the system:
Xu
= b,
or
_
e
t
e
5t
e
t
2e
5t
_ _
u
1
(t)
u
2
(t)
_
=
_
12e
3t
18e
2t
_
.
This gives the solutions:
_
u
1
(t)
u
2
(t)
_
=
_
8e
4t
+ 6e
3t
4e
2t
+ 6e
3t
_
.
So that, we may derive
_
u
1
(t)
u
2
(t)
_
=
_
2e
4t
+ 2e
3t
2e
2t
2e
3t
_
,
and
x
p
= Xu
=
_
e
t
e
5t
e
t
2e
5t
_ _
2e
4t
+ 2e
3t
2e
2t
2e
3t
_
=
_
4e
2t
2e
2t
6e
3t
_
. (6.12)
Example 4: Solve EQ x
= Ax +b(t) with
A =
_
_
0 2 3
2 4 3
2 2 1
_
_
,
and b(t) = (0, 0, e
t
)
T
.
Solution: P() = det(A I) = ( 2)
2
( + 1) = 0. It has been
found that EVs of A are = 1, 2 and
For
1
= 1: dim(E
1
) = n
1
= 1, v
1
= (1, 1, 1);
For = 2: dim(E
1
) = n
2
= 2,
v
2
= s(1, 1, 0), v
3
= (3, 0, 2).
This, we have the fundamental solutions:
x
1
= e
t
(1, 1, 1)
T
, , x
2
= e
2t
(1, 1, 0)
T
,
x
3
= e
2t
(3, 0, 2)
T
,
and the matrix of fundamental solutions:
X(t) =
_
_
e
t
e
2t
3e
2t
e
t
e
2t
0
e
t
0 2e
2t
_
_
.
Thus, we have the particular solution x
p
= Xu, which is subject to the
system:
_
_
e
t
e
2t
3e
2t
e
t
e
2t
0
e
t
0 2e
2t
_
_
_
_
u
1
(t)
u
2
(t)
u
3
(t)
_
_
=
_
_
0
0
e
t
_
_
.
This gives the solutions:
_
_
u
1
(t)
u
2
(t)
u
3
(t)
_
_
=
_
_
3
2
e
2t
1
2
e
t
e
t
_
_
.
So that, we may derive
_
_
u
1
(t)
u
2
(t)
u
3
(t)
_
_
=
_
_
3
4
e
2t
1
2
e
t
e
t
_
_
.
and
x
p
= Xu
=
_
_
e
t
e
2t
3e
2t
e
t
e
2t
0
e
t
0 2e
2t
_
_
_
_
3
4
e
2t
1
2
e
t
e
t
_
_
(6.13)
=
_
_
_
13
4
e
t
5
4
e
t
11
4
e
t
_
_
_. (6.14)
The general solution is:
x(t) = x
p
(t) +C
1
x
1
+ +C
2
x
2
+ +C
3
x
3
.

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ORDINARY DIFFERENTIAL EQUATIONS

(x) = F(x, y), (x, y) R.

= y is equivalent to the system

= 4x is not in normal form but can be

= f(x, y) we have to divide both sides of

we get the normal form for a

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

(x) = p(x)(x), (2.1)

= f(x, y) is said to be separable if f(x, y) can

= f(t, y) and f(t, c) = 0 for all t in

= 0 for a constant function y.

= f(x, y), y(x

= ay(b y) but not dened when 1 + Ce

/ = p(x)u +q(x), (2.7)

= (x y)/x +y. This is a homogeneous equation since

(y) = 0 and (y) is a constant

= 0 is not exact it can sometimes

cos(x) cos(2x) cos(3x)

and W(/4)) = 8 which implies that y

+cy = f(x). (3.7)

(0) = 0 we must have

+y = 1/x on x > 0 is therefore

(x) satises a homoge-

(x) = 0, the new

(x). Note that to solve

(x)x +C(x)) C(x)x = 0

(x) = r(r 1)y(x),

[ cos(ln |x|) + i sin(ln |x|)],

[ cos(ln |x|) i sin(ln |x|)].

[Acos(ln |x|) +Bsin(ln |x|)].

piecewise continuous. To describe the motion of the ball

(t) is not dierentiable at t = 10 and t = 10+2.

(t) at t = 10 are 0 and 1

(t) continuous. In the same way,

(t) in terms of the Laplace transform of f(t):

(t)}(s) = sL{f(t)}(s) f(0).

(t) is piecewise continuous. Repeated applications

(t)} = sY (s) y(0) = sY (s) 1,

+ y = 0 are analytic every-

+ xy = 0 behave like the

+xy = 0 has a removable singularity at x = 0.

+q(x)y = 0, (x > 0),

+q(x)y = 0, (x > 0).

+ 2xy = 0 has a regular singular point

+ y = 0 has a regular singular point at

( + 1). Since, in this

{ cos(ln |x|) i sin(ln |x|)}

{ cos(ln |x|) i sin(ln |x|)}

(t) = A[X(t)u(t)] +b(t)

= Ax +b, x(0) = (3, 0)

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