Numerical Analysis and Differential Equations - Part B PDF

M.Sc.
First Year Mathematics
Numerical Analysis & Differential
Equations
WELCOME
Dear Students,
We welcome you as a student of the
first year M.Sc degree course.
This paper deal with the subject
NUMERICAL ANALYSIS AND
DIFFERENTIAL EQUATIONS. The
learning material for this paper will
be supplemented by contact lectures.
In this book, first five units deal
numerical analysis.
Unit 6 to 8 discuss the theory of
ordinary differential equations and

rest of the book deals partial
differential equations.
Learning through the Distance
Education mode, as you are all
aware, involves selflearning and self-
assessment and in this regard, you
are expected to part in disciplined
and dedicated effort.
As our part, we assure of our
guidance and support.
With best regards.

SYLLABUS
Unit 1: Introduction Bisecton
method, iteration methods based on
first degree equation, iteration
methods based on second degree
equation, Rate of convergence,
General iteration methods, Methods
for complex roots. Polynomial
equations.
Unit 2: Introduction, Direct methods,
Error analysis for direct methods,

iteration methods, Eigen values and
eigen vectors, Power method.
Unit 3: Introduction, Lagrange and
Newton interpolations, Finite
difference Operators, Interpolating
polynomials using finite differences,

Hermite interpolation, Piecewise and
spline interpolation.
Unit 4: Introduction, Numerical
Differentiation, Extrapolation
methods, Partial Differentiation,
Numerical integration, Methods
based on interpolation, Composite
integration methods, Romberg
method.
Unit 5: Introduction, Difference
equation, Numerical methods, Single

step methods.
Unit 6: Introduction Initial value
problems for the homogeneous
equation, Solutions of the
homogeneous equation, The
Wronskian and linear independence.

Reduction of the. order of a
homogeneous equation, The non-
homogeneous equation,
Homogeneous equations with
analytic coefficients, The Legendre
equation.
Unit 7: Introduction, The Euler
equation, Second order equations
with regular singular points an
example, second order equations
with regular singular points-the
general case, A convergence proof,
The exceptional cases, The Bessel
equation. The Bessel equation
(continued)
Unit 8: Introduction, Equations with
variables separated. Exact equations.

The method of successive
approximations. The Lipschitz
condition. Convergence of the
successive approximations, Non-local
existence of solutions,
Approximations to. and uniqueness
of. solutions
Unit 9: Partial differential equations
Origins of first order partial
differential equations Cauchy's
problem for first order equations
Linear equations of the first order
Integral surfaces passing through a
given curve.
Unit 10: Nonlinear partial differential
equations of the first order -
Cauchy's method of characteristics

compatible systems of First-order
equations Charpit's method
special types of first-order equations.
Text Books
1. Numerical Methods for Scientific
and Engineering Computation by
M.K. Jai, S.R.K.Iyengar and R.K.
Jai. Furth Edition, New Age
International Publishers, 2003.
Chapter 2: Sections 2.1 to 2.6,
2.8 to 2.9,
Chapter 3: Sections 3.1 to 3.6
Chapter 4: Sections 4.1 to 4.6.
Chapter 5: Sections 5.1, 5.2,
5.4, to 5.7, 5.9 to 5.11 omitting
double integration. Chapter 6
Sections 6.1 to 6.4

2. An Introduction to ordinary
differential equations by E.A.
Coddington, Prentice Hall of
India, 1987.
3. Elements of Partial Differential
equations by I.N. Sneddon, Tata
McGraw Hill Book Company,
1986.
From Textbook 2
Chapter 3: Sections 1 to 8,
Chapter 4: Sections 1 to 8,
Chapter 5: Sections 1 to 8.
From Textbook 3
Chapter 2: Sections 2.1 to 2.11

CONTENT
TOPIC
ORDINARY DIFFERENTIAL
Unit5 EQUATIONS INITIAL VALUE
PROBLEMS
5.1 Introduction
5.2 Difference Equations
5.3 Numerical Methods
5.4 Singlestep Methods.
Unit LINEAR EQUATIONS WITH
6 VARIABLE COEFFICIENTS
6.1 Introduction
Initial Value Problems For The

6.2
Homogeneous Equation
Solutions of The Homogeneous

6.3
Equation
The Wronskian And Linear
6.4
Independence
Reduction Of The Order Of A

6.5
Homogeneous Equation
6.6 The Non-Homogeneous Equation
Homogeneous EquationsWith Analytic

6.7
Coefficients
6.8 The Legendre Equation
Unit LINEAR EQUATIONS WITH
7 REGULAR SINGULAR POINTS
7.1 Introduction
7.2 The Euler Equation
Second Order Equation With Regular

7.3
Singular Points An Example
Second Order Equations With Regular
7.4
Singular Points General Case
7.5 Convergence Proof
7.6 The Exceptional Cases
7.7 The Bessel Equation
7.8 The Bessel Equation
EXISTENCE AND UNIQUENESS OF

Unit
SOLUTIONS TO FIRST ORDER
8
EQUATIONS
8.1 Introduction
8.2 Equations With Variables Separated
8.3 Exact Equations
The Method Of Successive

8.4
Approximations
8.5 The Lipschitz Condition
Convergence of the successive

8.6
approximations
8.7 Non-local existence of solutions
Unit PARTIAL DIFFERENTIAL
9 EQUATIONS OF THE FIRST ORDER
9.1 Partial Differential Equations
Origins Of First-Order Partial

9.2
Differential Equations
Cauchy's problem for first-order

9.3
equations
9.4 Linear Equations Of The First Order
Integral Surfaces Passing Through A

9.5
Given Curve
NONLINEAR PARTIAL
Unit
DIFFERENTIAL EQUATIONS OF THE
10
FIRST ORDER
10.1 Introduction
10.2 Cauchy's Method Of Characteristics
Compatible Systems Of First-Order

10.3
Equations
10.4 Charpit's Method
Special Types Of First Order

10.5
Equations
Unit - 5
ORDINARY DIFFERENTIAL
EQUATIONS INITIAL VALUE
PROBLEMS
5.1 INTRODUCTION
An ordinary differential equation is
a relation between a function, its
derivatives, and the variable upon
which they depend. The most general
form of an ordinary differential
equation is give by
(m)
(t, y, y,y..y ) = 0
Where m represents the highest
order derivative, and y and its
derivatives are functions of t. The
order of the differential equation is

the order of its highest derivative and
its degree is he degree of the
derivative of the highest order after
the equation has been rationalized
in derivatives. If no product of the
dependent variable y(f) with itself or
any one of its derivatives occur, then
the equation is said to be linear,
otherwise it is nonlinear. A linear
differential equation of order m can
be expressed in the form.
m
p=0
p (t)y( )(t) = r(t)
p
in which p (t) are known functions.
If the general nonlinear differential
equation of order m can be written as
(m-l)
y(m) = F(t, y, y,..., y )
then the equation is called a
canomical representation of the
differential equation. In such a form,
the highest order derivative is
expressed in terms of the lower order
derivatives and the independent
variable.
Initial value problem
A general solution of an ordinary
differential equation is a relation
betw een y. t and m arbitrary

constants, which satisfies the
equation, but which contains no
derivatives. The solution may be an
implicit relation of the form
w(t, y, c 1 ,c 2 , ....c m ) = 0
or an explicit function of t of the form
y = w(t, c 1 , c 2 .....c m )
The m arbitrary constants c 1 , c 2 , ...,
c m can be determined by prescribing
m conditions of the form
(v)
y (t0) = v v = 0,1,2,m 1
at one point t = t 0 . Which are called
initial conditions. The point t0 is
called the initial point. The
differential equation together with
the initial conditions is called an mth
order initial value problem.
If the m conditions are prescribed at
more than one point to determine the
m arbitrary constants in the general

solution, these are called boundary
conditions. The differential equation
together with the boundary
conditions is known as the boundary
value problem.
Reduction of Higher Order
Equations to the System of
First Order Differential
Equations
The mth order differential equation
with initial conditions may be written

as an equivalent system of m first
order initial value problems.M
u1 = y
u 1 = u 2
u 2 = u 3
u m-1 = u m
u m = F(t, u 1 ,u 2 ,...u m )
u 1 (t 0 ) = 0 , u 2 (t 0 ) = 1 , .....,u m (t 0 )
= m-1
which in vector notation becomes
u = f(t, u)
u(t 0 ) =
where
T
u = [u 1 , u 2 ... u m ] , f = [u 2 u 3 .... u m
T T
F] , = [ 0 1 ... m-1 ] . Thus, the
methods of solution of the first order
initial value problem

= f(t,u), u(t0) = 0
du
dt
May be used to solve the system of
first order initial value problems and
the mth order initial value problem.
Example 1.
Convert the following second order
initial value problem into a system of
first order initial value problems
Proof
3
ty - y + 4t y = 0
y(l) =l,y(l) = 2.
Let. v 1 = y(t), v 2 (f) = y(t).
Then, v 1 = y(t) v 2 (t), v 2 = y
Hence, the system becomes

V 1 = V 2 , V 1 (l)= 1
v2 = 1 t ( v 2 4 t 3 v 1 ), v 2 ( 1
)=2
or v = f(t, v), v(l) = d
T
where v = [v 1 , v 2 ] ,
T T
f = [f 1 , f 2 ] , d = [d 1 , d 2 ] f1 = v2, f2
3
= (v 2 4t V 1 ), /t, d 1 = 1, d 2 = 2
Example.2
Convert the following system of two
simultaneous third-order equation
into a system of six simultaneous
first-order equations:
y1 = f 1 ( t,y 1 , y 2 , y' 1 , y' 2 , y
1 , y 2 ) y 2 = f 2 ( t,y 1 , y 2 , y'
1 , y' 2 , y 2 ) y 1 ( t 0 )= 0 , y'
1 ( t 0 )= 1 , y 1 ( t 0 )= 2 y 2
( t 0 )= b 0 , y' 2 ( t 0 )= b 1 , y 2
( t 0 )= b 3
we make the following substitutions:
u1(t) = y1(t), u3(t) = y1(t), u5(t) = y1(t)

u2(t) = y2(t), u4(t) = y2(t), u6(t) = y2(t)
Then, by observing that

u 3 ( t )= y 1 ( t ), u 5 ( t )= y 1 ( t )and u 4
( t )= y 2 ( t ), u 6 ( t )= y 6 ( t )
we can write the original system as
u 1 = u 3 (t), u 1 (t 0 ) = 0
u 2 = u 4 (t), u 2 (t 0 ) = b 0
u 3 = u 5 (t), u 3 (t 0 ) = 1
u 4 = u 6 (t), u 4 (t 0 ) = b 1
u 5 = f 1 (t. u 1 . u 2 . u 3 , u 4 . u 5 , u 6 ),
u 5 (t 0 ) = 2
u 6 = f 2 (t, u 1 , u 2 u 3 , u 4 , u 5 , u 6 ),
u 6 (t 0 ) = b 2 .
Existence and Uniqueness
The existence and uniqueness of the
solution of the initial value problem
is guaranteed by the following
theorem:
Theorem.
We assume that f(t, u) satisfies the
following conditions:
i. f (t, u) is a real function

ii. f(t, u) is defined and continuous
in the strip
t [f 0 , b], u (-,).
iii. There exists a constant L such
that for any t [t 0 , b] and any
v 1 and v 2 .
|f (t, v 1 ) f(t, v 2 )| < L |V 1 v 2 |
Where L is called the Lipschitz
constant. Then, for any u 0 , the initial
value problem has a unique solution
u(t) for t [t 0 , b].
We will always assume the existence
and uniqueness of the solution and
also that f(t, u) has continuous
partial derivatives with respect to t
and u of as high an order as we
desire.
Test Equations
The behavior of the solution of the
initial value problem in the
neighbourhood of any point (t, u) can
be predicted by considering the
linearized form of the differential
equation
u = f(t, u)
The nonlinear function f(t, u) can be
linearized by expanding the function
about the point

( ) in

t ,u the Taylor
series and truncating it after the first
order term. We have

( ) ( )( ) ( ) ( )
f
u = t,u + t- t tt,u + u-u
f
u

t ,u
or u =u+c
f
( )
where =( u ) t ,u
( ) ( ) ( ) ( )
f
and c = f t ,u -u u t ,u + t- t
f
t

t ,u
Substituting w = u + (c / ),we get
u = w = [w (c / .)] + c = w,
or w = w.
This equation is called the test
equation for the nonlinear equation
u= f(t, u). the solution of this test

1
equation, w(t) = k e , k constant, is
shown in Fig.5.1(a)
t
Fig.5.1 (a) Representation of w = e
Similarly, the test equation for the
second order initial value problem
y = f(t, y, y )
y(t 0 ) = 0 , y (t 0 ) = 1
can also be obtained. Expanding f
(t, y, y) in Taylor scries the point
(
)
t ,y,y ' and truncating after the first
order terms, we get

f
y = f (t,y,y' ) + (t-t ) t
(t,y,y' ) + (y y ) fy (t,y,y' )
f
+(y y ) y
(t,y,y' )
= -by' - cy + k
f f
where b = - y'
(t,y,y' ), c = - y
(t,y,y' ), and
f f
k = f (t,y,y' ) + (t-t ) t
(t,y,y' ) y y
(t,y,y' )
- y' fy' (t,y,y' )
Setting y = w + (k/c ),
Double click this page to view clearly

y = w = -b w -c [w+ (k/c )] + k
or = - bw' - cw
This differential equation is
equivalent to the following system of
equations
u = Au
where
[ ]
T 0 1
u = [u1, u2] , A =
c b
u1 = w , u2 = W
The nature of the solutions depends

on the roots 1 and 2 of the
characteristic equation of the matrix
A, that is, of the equation
2
+ b + c = 0

The roots of the characteristic
equations are
1, 2 = [ b b2 4c] / 2
We now consider the following cases:
i. b > 0, c 0,b < 0, c 0 ,b > 2c

The characteristic roots are real,
distinct and negative. Therefore,
the solutions are exponentially
decreasing. For c = 0, the test
equation becomes
w + bw = 0, b > 0.
ii. b < 0, c 0,
b < 0, c 0 ,|b| > 2c The
characteristic roots are real,
distinct and positive. Therefore,
the solutions are exponentially

increasing. For c = 0, the test
equation becomes
w + bw = 0, b < 0.
iii. c > 0 and |b| < 2c The
characteristic roots are a
complex pair.
Therefore, the solutions are
oscillating. If b < 0, then the
solution is an oscillating function
whose amplitude becomes
unbounded as t . If b > 0,
then the solution is a damped
oscillating function as t . For
b = 0, the test equation becomes
w + cw = 0, c > 0
whose solution is periodic with period
2 / c The solution is shown in

Fig.6.1(b). We observe that 1 and 2
(b = 0, c > 0) are pure imaginary
numbers.
Fig.5.1 (b) Periodic solution
The solution of the test differential
equation will also be periodic if we
allow to be a pure imaginary
number.
Thus, the nature of the solutions of
the systems of equations of higher

order equations may be discussed by
using the test equation for
i. real,
ii. pure imaginary, and
iii. complex.
Systems of Linear First Order
Differential Equation with
Constant Coefficients
A first order linear system with
constant coefficient is of the form
u = Au + b(t)
where A = [ ij ], i, j = 1,2, ..m is an
m x m constant matrix and b(t) is an
m-dimensional vector. The general
solution may be written as

u(f) =
t
m kie ,
i=1
ui + (t)
where the matrix A has distinct
eigenvectors u i . The function (t) is
particular solution. The matrix
equation may be decoupled by
applying a similarity transformation.
Let U = [u 1 , u 2 , ...., u m ] be the
matrix of eigenvectors. Set u = U z.
Then,
u = U z = AUz + b(t).
-1
Premultiplying by U , we get
-1 -1 -1
U Uz = U A U z + U b(t)
or z = Dz + h(t)
-1 -1
where h(t) = U b(t) and D = U AU
is the diagonal matrix with diagonal
elements 1 , 2 , .. m . the above
equation gives a degenerate system
for the solution of z 1 , z 2 ,...., z m . The
solution of is given by
it
z i ( t) = e (e it
)
hi(t)dt+ci , i = 1,2,...,m
Theorem.
The solutions of the system with b(t)
= 0 are said to be stable
(asymptotically stable), i.e., u i 0
as t , if and only if all the
eigenvalues of the matrix A have
negative real parts.

Example 3.
Find the solution of the system of
equations
du
dt = Au
[ ]
T 3 4
Where u =[u1, u2] and A =
2 3
The solution of the system of
equations can be obtained by finding
the eigenvalues and eigenvectors of
A. The characteristic equation of A is
| |
3 4 2
|A - | = = 1=0
2 3
and the eigenvalues are = 1.
[ ][ ] [ ]
4 4 u1 0
For = 1, we have the system =
2 2 u2 0

(t) T
The eigenvector is v = [1, 1] .
[ ][ ] [ ]
2 4 u1 0
For = -1, we have the system =
2 4 u2 0
The eigenvector v( ) = [2 1] .
2 T
Hence the solution of the system is
[ ] [ ] [ ]
u1 t 1 2
= c1e v( ) + c2e v( ) = c1e
t 1 t 2 t
+ c2e
u2 1 1
Componentwise, we can write the
solution as
1 -t 1
u 1 (t) = c 1 e + 2c 2 e , u 2 (t) = c 1 e
-1
+ c2e
Example 4.
Find the solution of the initial value
problem

du T
dt = A u, u(0) = [1, 0]
[ ] [ ]
2 1 u1
Where A= and u =
1 20 u2
.Is the system asymptotically stable?
The solution of the initial value
problem can be obtained by finding
the eigenvalues and eigenvectors of
A. The characteristic equation of A is
| |
2 1 2
| AI | = = + 22 + 39 = 0
1 20
The eigenvalues are

1
= 11 + 82 and 2 = 11 82
For = 1 = 11 + 82, we have the system
[ ][ ] [ ]
9 + 82 1 u1 0
=
1 9 82 u2 0
The eigenvector is v( ) = [1,
t T
82 9]
2
For = = 11 82, we have the system
[ ][ ] [ ]
9 + 82 1 u1 0
=
1 9 82 u2 0
The eigenvector is v( ) = [9 82, 1]

2 T
The general solution of the system is
given by
u = c1e(
82, 11)t
v( ) + c2e (
+ 11)t
v( )
1 82, 2
[ ] [ ]
1 9 82
= c1e(
82, 11)t
+c2e (
82, + 11)t
82 9 1
Substituting in the initial conditions,
we get c 1 (9 82) and (82 9)
9)c 1 + c 2 = 0. The solution is c 1 =
0.99694, c 2 = -0.05522.
The particular solution is
[ ] [
82 + 11)t 9 82
]
1
u = 0.99694 e(
11)t
0.05522 e (
82,
82 9 1

The eigenvalues of the matrix are
real and negative. Therefore, the
solutions of the. system 0 as t
and the system is asymptotically
stable.
Example 5.
Obtain a general solution of the
system of equations
du1
dt = 5u1 + 2u2 + t
du2 t
dt = 2u1 + 2u2 + e
In matrix form, we write the given

system as
[ ] [ ] [ ]
du 5 2 u1 t
dt = A u + b, where A = , u= and b = t
2 2 u2 e
t
Consider the homogeneous system u
= A u. The characteristic equation of
A is

[ ]
5 2 2
| A I | = = + 7+6=0
2 2
The eigenvalues of A are = - 6, = -1.
[ ][ ] [ ]
1 2 u1 0
For = - 6,we have the system =
2 4 u2 0
(1) T
The eigenvector is v = [2, -1] .
For = -1, we have the system
[ ][ ] [ ]
4 2 u1 0
=
2 1 u2 0
(2) T
The eigenvector is v =[1,2] .
The matrix of eigenvectors is
[ ] [ ]
2 1 1 1 2 1
U= and U = 5
1 2 1 2
Set u = U z. We obtain
z = D z + h(t),
where
[ ][ ] [ ] [ ]
t
1 1 2 1 t 1 2t e 6 0
h ( t) = U b= 5 t
= 5 and D =
1 2 e t+2
et 0 1
Hence we have Z1 = 6z1 + 5

1
(2t e t )
Z2 = z2 + t+2e ( 1
5
1
)
The solution of these first order
differential equations are
z1 = c1e
6t
+
1
450 (30 t 5 18e t ), z2 = c2e t + 15 ( t 1 + 2te t )
The general solution is u = U z or
[ ][ ][ ] [ ]
u1 2 1 z1 2z1 + z2
= =
u2 1 2 z2 z1 + 2z2
Therefore, u1(t)=2c1e
6t
+ c2e
t
+
1
450 (150 t - 100 - 36e-t + 180te t )
u2(t)=2c2e
6t
+ c2e
t
+
1
450 (150 t - 175 - 18e-t + 360te t )
5.2 DIFFERENCE EQUATIONS

Let x n , x n+1 , ....x n +k be a set of
k + 1 equispaced points wit spacing
h and u n , u n+1 ,.......u n+k , be the

corresponding values of a function
u(x) at these points, that is x n+i = x n
+ ih, u n+i = u(x n+i ), i = 0, l,....k,
for some integer k. A relationship
between u n and the differences u n ,

2 k
u n ....., u n is called a difference
equation and hence it can be
regarded as a relation among u n ,
u n+1 ,.....u n+k . The order of a
difference equation is the number of
intervals separating the largest and
the smallest argument of the
dependent variable.
F(u n , u n+1 ,......u n+k ) = 0
If the function F is linear in u n ,
u, n+1 ,.....u n+k , then the difference

equation is called linear. A linear
difference equation of order k, can be
written as
0 u n+k + 1 u n+k-1 + ....+ k u n =
g n , 0 0.
If the coefficients 0 , 1 , .... k are
constants, then the equation defines
a linear difference equation of order
k with constant coefficients. For
example, the difference equation

2
u n + 3u n + 5u n = 0
or, (u n+2 2u n+1 + u n ) + 3(u n+1
u n ) + 5u n = 0
or u n+2 + u n+1 + 3u n = 0
is a linear difference equation of
order 2, with constant coefficients.

If in g n = 0, then the difference
equation is said to be homogeneous,
otherwise, it is said to be
inhomogeneous. We shall consider
only the linear difference equations
with constant coefficients.
The solution of the difference
equation consists of solution un( ) ,

H
called the complementary solution of
the homogeneous part
0 u n+k + 1 u n+k-1 +.....+ k u n = 0
And a particular solution un( ) of the

H
inhomogeneous part. The general
solution of is written as
un = un( ) + un( )
H p
For solving, we assume a solution of
n
the form u n = A , where A 0 is a
constant, Substituting, we get
n = 0
A ( 0 k + 1 k-1 + ...... + k )
or 0 k + 1 k-1 + .... + k = 0
which is a polynomial of degree k. the
equation is called the characteristic
equation of the difference equation.
Let 1 . 2 ,. k be the roots of the
above equation. We have the
following cases:
Real and Distinct Roots
If 1 , 2 , ...... k are all real and
distinct, then we have

u(n ) = c1u1 + c2u2 + ... + ckk
H 2 n n
Where c 1 , c 2 , ..... c k are arbitrary
constants
Real and Repeated Roots
Let 1 (= 2 ) be a double root and all
other roots 3 , 4 , ... k be distinct.

n n
It can be verified that 1 and n 1 are
two linearly independent solutions of
then, we have
(n ) = (c1 + nc2)1 + c33 + ... + ckk

H n n n
Similarly, when 1 is a root of
multiplicity p and the other roots
p+1 - P+2 ,......, k are distinct, we
have
[ p-1
]
(n ) = c1 nc2 + ... + n cp 1 + cp+1 p+1 + ... + ck k
H n n n
Complex Roots
For a polynomial with real
coefficients, the complex roots occur
as conjugate pairs. Let 1 = + i

i -i
= re and 2 = - i = re , where

2 2
r= + and = tan-1 (/) be the
complex roots and the roots 3 , 4 ,
....., 1 be real and distinct. Then, we
have
n
un( ) = [c1 cos (n) + c2sin(n)]|1| + c3 3 + ... + ckk
H n n
The constants c 1 , C 2 , ....C k can be
determined from the given
conditions. The particular integral (n )

p
depends on the form of g n . When
g n = g is a constant, we assume
the solutions as un( ) = q, a constant.
p
Substituting we get
(0 + 1 + ... + k)q = g
u(n ) = q =
p g
or 0 + 1 + ... + k
When g n is of the form g n = B + nC,
then we write the particular integral
as un( ) = q + nr. Substituting and

p
comparing the coefficient of n and
the constant term on both sides, we
determine q and r.
Consider the homogeneous difference
equation with constant coefficients.
If 1 , 2 , ..... k are all real and
distinct, then
n n n
un = c1 1 + c2 2 + ... + ck k.
Suppose now, we require that u n
0 as n . Then, a necessary and
sufficient condition is | 1 | < 1, i =
1(1 )k. If u n is to be bounded, then
some of i may satisfy | i | < 1 and
others may satisfy | i | = 1.
Assume that | 1 | = 1 = | 2 | and | i |
< 1, i = 3(l)k. Then
|un| |c1| + |c2|as n

If 1 = 2 is a double root, then
un = (c1 + nc2)1 + c33 + ... + ckk

n n n
Now, let | i | < 1, i = 3(1)k. If | 1 |
= 1, then u n as n and
the solution is unbounded. However,
if | 1 | = | 2 | < 1, then u n 0 as n
, If 1 and 2 form a complex pair
and | 1 | < 1, i = 3(1)k, then u n 0
as n if | 1 | < 1.
Hence, u n 0 as n , if the roots
satisfy | i | < 1, i = l(l)k. If the roots
of are of magnitude 1 and simple,
then u n is bounded. In other cases,
un is unbounded.
In many applications, the coefficients
involve some parameter(s) and we
need to determine the ranges for

these parameters so that the roots
satisfy | i | < 1 for all i. It is not
always possible to find the roots for
all values of the parameter(s) to
check whether | i | < 1. In such
cases, the values of the parameter(s)

for which | i | < 1 can be determined
by using the conformal mapping.
Consider the mapping

1+z
=1 z
Which maps the interior of the unit
circle || = 1 onto the left half plane
Re(z) < 0, and the unit circle || = 1
onto the imaginary axis.
Simplifying, we can write z = ( -
1)/( + 1). We find that = 1 is
mapped onto z = 0 and = -1 is
taken to z = - .
Fig.5.2 Mapping of the interior of the unit circle
onto the left half plane

We can then apply the Routh-Hurwitz
criterion which gives the necessary
and sufficient conditions for the roots
of characteristic equation to have
negative real parts.
Theorem (Hurwitz) Let
k k-1
P( z ) = 0 z + 1 z + ... + k
| |
1 3 5 2k-1
0 2 4 2k-2
0 1 3 2k-3
and D =
0 0 2 2k-4
0 0 0 k
where j 0 for j = 1,2, ....k and j
= 0 for j > k. Then, the real parts
of the roots of p(z) = 0 are negative
if and only if the leading principal
minors of D are positive.
Proof.
We have
k = 1, 0 > 0, 1 > 0
k = 2, 0 > 0, 1 > 0, 2 > 0
k = 3, 0 > 0, 1 > 0, 3 > 0, 3
> 0, 1 2 > 3 0 > 0
as the necessary and sufficient
conditions for the real parts of the
roots to be negative. Hence, the
conditions are the necessary and
sufficient conditions that the roots of
the original polynomial c 0 + c 1 = 0,

2 2
or c 0 + c 1 + c 2 = 0, or c 0 +
3 2
c 1 + c 2 , = 0, or c 0 + c1 + c2
+ c 3 = 0 from which p(z) is derived,
satisfy | i | < 1.
For example, consider the equation

2
c0 + c 1 , + c 2 = 0. Substituting
= (1 + z) (1 z) and simplifying, we
get
2 2 2
c 0 (1+z) + c 1 (l z ) + c 2 (1 z) =0
2
or (c 0 c 1 +c 2 )z + 2(c 0 c 2 )z + (c 0
+ C 1 +c 2 ) = 0
where 0 = c0 c 1 + c 2 , 1 = 2 (c 0
c 2 ), and 2 = c 0 + c 1 + c 2 .
In the case of a polynomial of degree
k, we get the first and last
coefficients as
k
0 = c 0 c 1 + c 2 -...+ (-l) c k and
k = c 0 + c 1 + c 2 + .... +c k .
If any of the i 's is equal to zero and
other, i 's are greater than zero, then
it indicates that a root lies on the unit
circle || = 1. If any of the afs is less
than zero, than there is at least one
root for which | i | > 1.
Example 6.
Find the general solution of the
difference equations
2
i. u n - 3u n + 2u n = 0,
2
ii. u n + u n + u n + (1/4) u n = 0,
2
iii. u n - 2u n + 2u n = 0,
2 2
iv. u n+1 (1/3) u n = 0.
Is the solution bounded?
Proof.
We substitute for the forward
differences in the difference,
equations,
i. (u n+2 2u n+1 +u n ) 3 (u n+1
u n ) + 2u n = 0
Or u n+2 5u n+1 + 6u n = 0.
n
Substituting u n = A , where A
0, a constant, we obtain the
characteristic equation as
2
- 5 + 6 = 0
Whose roots are = 2, 3.
Thus, the general solution of the
difference equation becomes

n n
u n = c 1 (2 ) + c 2 (3 ).
since, u n as n ; the
solution is unbounded.
ii. (u n+2 2u n+1 + u n ) + (u n+1
u n ) + (1/4) u n = 0
or u n+2 u n+1 + (1/4) u = 0.
Substituting u n = A n , where A
0, a constant, we obtain the
2
- + (l/4) = 0
Whose roots are = , .
Thus, the general solution
becomes
n
u n = (c 1 + nc 2 ) (1/2) .
since, u n 0 as n , the
solution is bounded.
iii. (u n+2 2u n+1 + u n ) 2(u n+1
u n ) + 2u n = 0
or u n+2 4u n+1 + 5u n = 0.
n
Substituting u n = A , A 0,
a constant, we obtain the
characteristic equation as .
2
-4 + 5 = 0
Whose roots are

i
= 2 i = re , where r = || = 5
-1
and = tan (1/2).
Therefore, the general solution
becomes
n
un = (c1 cos n + c2sinn)(5)
since, u n as n . the
(un+3 2un+2 + un+1) 3 (un+2 2un+1 + un) = 0

1
iv.
or 3un+3 7un+2 + 5un+1 un = 0

n
Substituting u n = A . A O.
a constant, we obtain he
3 2
3 - 7 + 5 - I = 0
Whose roots are = 1, 1, 1/3.
Therefore, the general solution
becomes
n
u n = c 1 + nc 2 + (l/3) c3.
Since, u n as n , the
Example 7.
Solve the difference equation
2 2
y j + 3y j 4y j = j
With the initial conditions y 0 = 0. y 2 = 2.

Proof.
We substitute for the forward
difference in the difference equation
and get
(y j+2 2y j+1 + y j ) + 3(y j+1 y j )

2
4y j = j
2
Or y j+2 + y j+1 6y j = j .
The general solution of the difference
equation is of the form
(H) (p)
yj = y + y
(H)
where y is the complementary
(p)
solution and y is the particular
solution.
(H)
To determine the solution y , we
assume the solution in the form y j

j
= A and substitute into the
homogenous difference equation and
get the characteristic equation as
2
+ - 6 = 0.
The roots of the characteristic
equation are = -3 and 2.
(H)
The complementary function y , is
therefore
(H) i j
y = c 1 (-3) + c 2 (2) .
we assume the particular solution in
the form
(p) 2
y = j + bj + c
and substitute into the difference
equation. We obtain
2 2
((j+2) + b(j + 2) + c) + (j + l)
2
+ b(j +1) + c 6(j + bj + c) =
2
j .
Comparing the right-hand side with
the left-hand side we get the
following equations
-4 = 1,
6 - 4b = 0.
5 + 3b 4c = 0.
whose obtain is = -1/4, b = -3/8
and c = - 19/32.
The general solution becomes

The general solution becomes
j j 1 2 3 19
yj = c1( 3) +c2(2) 4 j 8 j- 32
The initial conditions give
19
j = 0 c1 + c2 32 =0
75
j = 2: 9c1 + 4c2 32 =2
Substituting c 1 and c 2 , we obtain
[ ]
1 j j 2
yj = 160 63( 3) + 32(2) 40j 60j 95
Example 8.
Find the range for , so that the roots
of the characteristic equation of the
difference equations
i. (1 - 5) y n+2 (1 + 8) y n+1 +
yn = 0
ii. (1 - 9)y n+3 (1+19)y n+2 +
5y n+1 - y n = 0
are less than one is magnitude
i. The characteristic equation of
the difference equation is
obtained as
2
(1 -5) (l + 8) + = 0.
Since the coefficients involve a
parameter, we use the Routh-
Hurwitz criterion, Setting = (1
+ z)/(l z) in, we obtain the
transformed characteristic
equation as
2 2
(1 - 5)(l +z) (l +8)(l z )
2
+ (1 z) = 0
2
Or (2 + 4)z + (2 - 12)z - 12
= 0.
The Routh Hurwitz criterion is
satisfied if
2 + 4 > 0,2 - 12 > 0, - 12 >
0.
The second and third inequalities
are satisfied for all < 0. From
the first inequality, we get, > -
(1/2), Therefore, || < 1 for all a
satisfying (-l/2, 0). For = 0,

2
we get - = 0 whose roots are
= 0, 1 indicating a root on the
unit circle || = 1.
ii. The characteristic equation of
the difference equation is
obtained as
3 2
(1 - 9) (1+19) + 5 -
= 0.
Since the coefficients involve a
parameter, we use the Routh-
Hurwitz criterion. Setting = (1

+ z) / (1 - z) in, we obtain the
transformed characteristic
equation as
3
(1 - 9)(1 +z) (1 + 19) (1 +
2 2
z) (1-z) + 5 (1 + z) (1 z) -
3
(1 z) = 0
3 2
Or (2 + 16)z + (4 - 16) z +
(2 - 48)z 0 - 24 = 0
3 2
Or 0 z + 1z + 2z + 3 = 0
Where 0 = 2 + 16, 1 = 4 -
16, 2 = 2 - 48, 3 = -24.
The Routh-Hurwitz criterion is
satisfied if
0 = 2 (1 + 8) > 0, 1 = 4(1 -
4) > 0, 2 = 2(1 - 24) > 0,
3 = -24 > 0, and

1 2 = 0 3 = 8[(1 - 4) (1 -
24) + 6 (1 + 8)]
2
= 8[1 - 22 + 144 ] > 0.
CYP QUESTIONS.
1. Convert the following differential
equation into a system of first
order ordinary differential
equations and obtain the
corresponding initial value
problem.
2
y = 3y + 6ty + 10t y +
sin t
y(0)= l,y (0) = 2,y (0) = 3.
2. Convert the following system of
second order ordinary
differential equations into a

system of first order ordinary
differential equations, and write
the corresponding initial value
problem.
y = et + y + u + u + y, y(l)
= 3, y (l) = 1
3. Using the matrix method, solve
the following system

dx 3
dt = 100 x, x(0) = 50
dy 3 3
dt = 100 x - 50 y, y(0) = 0
4. Using the matrix method and
diagonalisation procedure,
obtain the solution of the system
of equations
u 1 = - 3u 1 + u 2 + 3 cos t
u 2 = u 1 3u 2 2 cos t 3 sin
t.
5. Find yj from the difference
equation
2 1 2
yj+1 + 2 yj = 0, j = 0,1,2,...
When y 0 = 0, y 1 = 1/2, y 1 =1/
4. Is this method numerically
stable?
6. Solve the difference equation
u j+1 = 2(sin x) u j + u j-1 = 0
when u 0 = 0 and u 1 = cos x.
7. Find the general solution of the
difference equation.
-j
u j+1 = 2u j = j2 .
8. Show that all solutions of the
difference equation
y j+1 - 2y j + y j-1 = 0
are bounded, when j if 1 <
< 1, while for all other complex

values of there is at least One
unbounded solutions.
5.3 NUMERICAL METHODS
The first step in obtaining a
numerical solution of the differential
equation is to partition the interval
[t 0 , b] on which the solution is
desired, into a finite number of
subintervals by the points t 0 < t 1 <
t 2 .....< t N = b
The points are called the mesh points
or the grid points. The spacing
between the points is given by h j =
t j t j-1 ,j= 1,2, ...N which is called
the mesh spacing or step length. For
simplicity, we assume that the points

are spaced uniformly, i.e.
h j = h = constant, j = 1,2,..., N.
The uniform mesh points are given by
t j = t 0 + j h , j = 0, 1,2, ....N.
In numerical methods, we determine
a number uj, which is an
approximation to the solution u(t) at
the point t j . The set of numbers {u j },
i.e., u 0 , u 1 , ..., u n is the numerical
solution of the initial value problem.
The difference equations. There are
many difference approximations
possible for a given differential
equation. As an example, let us
develop expressions for the first
derivative in terms of the forward,
backward, and central differences

operators. We assume that the
function u(t) may be expanded in a
Taylor series in the closed interval t
h<t<t + h. we write as
h h2 hp
u ( th ) = u (t ) 1 ! u (t ) + u (t ) ... + (1 ) p u (p ) + (t ) + ...
2! p!
where a prime denotes differentiation
with respect to t. we then have
u (t+h ) u (t ) h 2
h 2
u> (t ) du
h dt
Where the notation o(h) means that
the first term neglected is of order h.
Similarly, we obtain
u(t) du
h = dt + o(h)
( 2)
u(t) du
and h = dt +o h
A difference approximation to u(t) at
t = t j is obtained by neglecting the
error term, we have
| |
(i)(uj+1 uj) / h
u(tj) = (ii)(uj uj 1) / h
(iii)(uj+1 uj-1) / h
We use the approximations for u (t)
in the differential equation at the
mesh point t j . This gives
uj+1 uj
i. h = f(tj, uj)
uj uj-1
ii. h = f(tj, uj)
uj+1 uj-1
iii. 2h = f(tj,uj)
The difference equations are of first
order and the difference equation is

of second order. The methods and
are called single step methods and
the method is called a two step or a
multi step method.
Local Truncation Error
The error in an approximation is the
difference between the exact solution
u(t j+1 )) at t = t j+1 and the solution
value u j+1 determined from a
numerical method, using the exact
arithmetic, and is called the local
truncation error or local
discretization error. We have
T j+t = u(t j+1 ) = - u j+1 , j = 0, 1, ....N 1.

Convergence
The numerical solution u j will contain
errors. We shall be concerned with
the effect of these errors on the
solution, and ask what happens as we
try to get a more accurate solution,
by taking more grid points. A method
is convergent if, as more grid points
are taken or step size is decreased,
the numerical solution converges to
the exact solution, in the absence of
roundoff errors.
Stability
A method is stable if the cumulative
effect of all errors, including round
off errors is bounded, independent of
the number of mesh points.

The concepts of stability and
convergence can be understood by
analyzing the numerical solutions of
the test equation u = u, which is
the linearised form of the non linear
equation u = f(t, u).
Analysis of the Numerical Solution of
the Test Equation u = u. Consider
the initial value problem for the test
equation as u = u, u(t 0 ) = 0 .
The exact solution of the initial value
problem is
= 0 e (
t t0)
u(t)
Substituting t = t j+1 and t = t j in and
dividing, we get
u(tj+) (
tj+1 t0 )
= e ( j+1 j)
0e t t
=
u(tj) 0e (
tj t0 )
Or u(tj+1) = e u(tj)
h
Where t j+1 t j = h. A numerical
method can be obtained by writing

h
an approximation to e . We may use
the following Pade' approximations
h
e 1 + h(first order)
2 2
h
1+ h 2 (second order)
2 2 3 3
h h
1 + h + 2 + 6 (third order)
2 2 3 3 4 4
h h h
1 + h + 2 + 6 + 24 (fourth order)
1 + (h / 2)

1 (h / 2)
(second order)
Let this approximation be denoted by
E(h), that is, E(h), that is, E(h)

h
e .

The numerical method is defined by
u j+1 = E (h) u j .
Adding the truncation error, we find
that the exact solution satisfies the
equation
u(t j+1 ) = E(h) u(t j ) + T j .
h
The exact solution is u(t j+1 ) = e
u(t j )
Let j = u j u(t j ). We get from
j+1 + u(t j+1 ) = E(h) [ j + u(t j )]
Or j+1 = - u(t j+1 ) + E(h) { j +
u(t j )]
h
= -e u(t j ) + E(h) { j + u(t j )]
h
= [E(h) - e ] u(t j ) + E(h) j .
The first term on the right hand side
is the truncation error and the second
term is the propagation error, that is,
the error carried over from the jth
step. E(h) is called the propagating
factor. The truncation error is in our
control while the propagation error is
not in our control. For the next step,
we get
[
j+2 = E(h) e
h
]u(tj+1) + E(h)j+1
[
= E(h) e ]eh u(tj) + E(h){[E(h) eh]u(tj) + E(h)j}
h
[
= E(h) e
h
][eh + E(h)]u(tj) + E2(h)j
[ 2
= E (h)
2h
]u(tj) + E2(h)j
Again, the first term is the truncation
error at the step j + 2, while the
second term is the error propagated
from the step j. At the step j + k,

k
the second term is of the form E (h)
j . As j , meariihgful results are
obtained, only if the propagation
error decays or is atleast bounded.
Hence, the propagation factor should
satisfy the condition
|E(h)| < 1.
If is satisfied, then the method is
called absolutely stable. If E(h) <

h
e , then the method is called
relatively stable. If > 0, then E(h)
always satisfies the condition E(h) <

h
e and hence the methods derived
from these approximations are
relatively stable.
If < 0, then the methods are
absolutely stable if |E(h)| < 1. The
intervals for h, derived from this
condition are called the intervals of
absolute stability. We have the
following examples.
i. First order approximation. We
have
|E(h)| = |1 + h| < 1.
From 1 < 1 + h < 1, we get
the interval of Stability as 2 <
h < 0 or h (-2, 0).
ii. Second order approximation: we
have
|
|E(h)| = 1 + h+ 2 h
1 2 2
|<1
1 2 2
Or -1 < 1 +h+ 2 h < 1
[(h+1) ]
1 2
Simplifying, we get 1 < 2 +1 <1
[ ]
2
Or - 2 < (h+1) + 1 < 2
The left inequality is always
satisfied. The right inequality

2
gives (h + l) < 1. or |h + 1|
< 1 giving (-2, 0).
Hence, the interval of stability,

of the second order method is
also (-2,0).
iii. Third order approximation; we
have
|E(h)| = |1 + h+ 2 |<1
1 2 2 1 3 3
h + 6 h
We find that h (-2.5, 0).
iv. Fourth order approximation : we
have
|E(h)| = |1 + h+ 2 |<1
1 2 2 1 3 3 1 4 4
h + 6 h + 24 h
We find that h (-2.78, 0).
v. Second order approximation
(6.47 v): we have

|1 + (h/2)|
|E(h)| = |1 (h/2)| < 1 or|1 + 2 | < |1 2 |
h h
For < 0, this inequality is
always satisfied. Hence, the
interval of absolute stability is (-
, 0). Such methods are also
called unconditionally stable
methods.
Euler Method
u j+1 = u j + hf j , j = 0, 1, 2, ...........,N
1 where f j = f(t j , u j ). This is called
the Euler Method. Applying the
method at the mesh points tj, j =

0, 1,2,...., N 1, we obtain the
numerical solution of
u1 = u0 + hf0
u2 = u1 + hf1
_
uN = uN-1 + hfN-1
Choosing a suitable value of h and
the initial condition, u 1 is obtained
from the first equation, u 2 is obtained
from the second equation and so on.
The method is called an explicit
method, since using u j , h and f j we
can calculate u j+1 directly. The Euler
method is the simplest method. The
truncation error in the method is
given by
Tj+1 = u(tj+1) uj+1
[ ]
2
= u(tj+1) u(tj) + hf(tj,uj) =
h
2 u ()
Where tj < < tj+1 .If we denote |

max|Tj+1| = T and max u

()| = M2, then ,
[t0, b] [t0, b]
2
h
we have T 2 M2
2
The local truncation error is of o(h )
as h 0.
Example 1.
Use the Euler method to solve
numerically the initial value problem.

2
u = - 2tu , u(0) = 1
with h = 0.2, 0.1 and 0.05 on the
interval [0, 1], Neglecting the

roundoff errors, determine the bound
for the error. Apply Richardson's
extrapolation to improve the
computed value u(1.0). we have
2
uj + 1 = uj 2htj uj ; j = 0,1,2,3,4

with h = 0.2. The initial condition
gives u 0 = 1.
For j = 0: t 0 = 0, u 0 = 1
2
u(0, 1) u1 = u0 2ht0u0 = 1.0.
For j = 1: t 1 = 0.2, u 1 = 1
2
u(0.4) u2 = u1 2ht1 u1
2
= 1 2(0.2) (0.2) (l) = 0.92.
For j = 2: t 2 = 0.4, u 2 = 0.92

2
u(0.6) u3 = u2 2ht2u2
2
= 0.92 2(0.2) (0.4) (0.92) =
0.78458.
Similarly, we get
u(0.8) u 4 = 0.63684, u(1) u 5 =

050706.
When h = 0.1, we get
for j = 0: t 0 = 0, u 0 = 1
2
u(0, 1) u1 = u0 2ht0u0 = 1.0.
for j = 1: t 1 = 0.1, u j = 1
2
u(0.2) u2 = u1 2ht1u1
2
= 1 2(0.1) (0.1) (l) = 0.98. for
j = 2: t 2 = 0.2, u 2 = 0.98
2
u(0.3) u3 = u2 2ht2u2
2
= 0.98 2(0.1) (0.2) (0.98) = 0.94158.
Similarly, we get
u(0.4) u 4 = 0.88839, u(0.5) u 5 =
0.82525,
u(0.6) u 6 = 0.75715, u(0.7) u 7 =
0.68835,
u(0.8) u 8 = 0.62202, u(0.9) u 9 =
0.56011,
u(1.0) u 10 = 0.50364.
For h - 0.05, we get
u(0.05) 1.0, u(0.1) 0.995,

u(0.15) 0.9851, u(0.2) 0.97054,
u{0.25) 0.9517, u(0.3) 0.92906,
u(0.35) 0.90316, u(0.4) 0.87461,
u(0.45) 0.84401, u(0.5) 0.81195,
u(0.55) 0.77899, u(0.6) 0.74561,
u(0.65) 0.71225, u(0.7) 0.67928,
u(0.t5) 0.64698, u(0.8) 0.61559,
u(0.85) 0.58527, u(0.9) 0.55615,
u(0.95) 0.52831, u(1.0) 0.50179.
The truncation error in the Euler
method is given by
2
h
TE = 2 u ()
|u ()| | u ( t) |
2 2
h h
|TE| = 2 2 max
0 t 1
Since the exact solution is u(t) f 1/(1

2
+ t ), we get
| ( )
|
2
h
2 2 1 3t 2
|TE| 2 max 3 2h
0 t 1 (1 + t2)
2
as the absolute maximum of (1 3t
) in [0, 1] is 2.
The error in Euler method is of the

2
form u(t j ) = u j (h) = c 1 h + c 2 h +
3
c 3 h + ....
Richardson's extrapolation gives
k (k-1) h (k-1)
2 uj ( ) uj (h)
u(k)(h) =
2
k
2 1
we have the following extrapolated
value of u( 1.0)
Extrapolated Value for u(1.0)
H (0) (1) (2) (3)

u (h) u (h) u (h) u (h)
0.20 0.50706
0.10 0.50364 0.50022
0.05 0.50179 0.49994 0.49985 0.5
Example 2.
Show that in Euler method the bound
of the truncation error, when applied
to the test equation u = u, u() =
B, > 0, can be written as
| |
u(tj) u(tj,h)
hM
2 [exp{(t )} 1]
j
Where M = max |u (t)|. Generalise
the result when applied to.the
problem u = f(t, u), u() = B.
Applying the Euler method to the test
equation
u = u, we get u j+i = u j + hu j = (1
+ h)u j
The exact solution satisfies the
equation u(t j+1 ) = (1 + h) u(t j ) +
T j+i
where T j+1 is the truncation error

2
given by T J+1 = [h u ()]/2.
Substituting the two equations and
setting j = u(t j ) u j ,
we obtain
u(tj+1) uj+1 = (1 + h) u(tj) uj + Tj+1 [ ]

or j+1 = (1 + h)j + Tj+1
Hence, |j+1| |1 + h||j| + |Tj+1|

Let A = |1 + h|
| |
2 2
|Tj+1| =
h h
2 u () 2 M
max
Where M=
[ , b]
| u

( t) | Denote
E j+i = max ) | j+1 |. Then, we have
Ej+1 0, 1, 2, ..., we get

E1 AE0 + T
2
E2 AE1 + T = A E0 + (1 + A)T
3
E3 AE2 + T = A E0 + 1 + A+A T ( 2
)

j
( 2 j-1
Ej A E0 + 1 + A + A + A + ... + A T )
( )T, where A 1
j
j A 1
= A E0 + A1
Let E 0 = 0, that is, there is no initial
error. Now.
i
(1 + h) < exp [ j h] < exp [(t j -
)], > 0.
Since > 0, we get
[ { }] = hM
2 [exp{(tj )} 1]
2
Ej < 2(h) exp (tj ) 1
h M
Since max |j| = Ej

|j| |u(tj) u(tj,h)| [exp{(t )} 1]
hM
2 j
|u(tj) u(tj,h)| hM
2L [exp{(t )} 1]
j
Where | f/ y| L.
Example 3.
The system y = z z = -by - z where
where 0 < < 2b, b > 0is to be
integrated by Euler method With
known initial values. What is the
largest step length h for which all
solutions of the corresponding
difference equation are bounded?
Proof.
Applying the Euler method, we obtain
Yj+1 = yj + hzj
Zj+1 = zj + h( byj zj)

= -bhyj + (1 h)zj
Which may be written as
[ ][ ][ ]
yj+1 1 h yj
=
zj+1 bh 1 h zj
Or uj+1 = Auj
Where
[ ]
T 1 h
uj = [yjzj] and A =
bh 1 h
The characteristic equation of the
matrix A is given by
2
(2 - h) ^ + 1 - h + bh = 0.
Putting , = (1+ z) / (1 z) in the

characteristic equation, we get the
reduced characteristic equation as

2 2
(4 - 2=c h + bh ) z + 2h (a - bh) z
2
+ bh = 0.
T he roots of the characteristic
equation will lie within the unit circle

or that of the reduced characteristic
equation on the left half plane of the
z-plane, if and only if the following
conditions will be satisfied:
2 2
4 - 2h + bh > 0. - bh > 0, bh >0.
The first inequality gives h < /b. The

third inequality is satisfied since b > 0.
Hence, we obtain h < /b.
For h = /b, or = bh, we get the
2 2
(2 bh ) + 1=0.
[(2 bh2) (2 bh ) ]/2

2 2 2
The roots are = 4
2 2
Since b > 0, (2-bh ) 4 < 0, the
roots are a complex pair and || = 1.
Thus, the largest step length is given
by h /b.
Backward Euler Method
The equation at the mesh point t =
t j+1 may be written as u j+1 = u j +
hf j+1 where f j+1 = f(t j+1 , u j+1 ). This
is called the Backward Euler Method.
The solution values u1,
u 2 ,............u N are determined from
the following equations
u1 = u0 + hf1
u2 = u1 + hf2

uN = uN-1 + hfN
The method involves the unknown
value u j+1 on both sides of the
equation and hence defines u j+1
implicitly. Such a method is called an
implicit method.
Since f(t, u) is nonlinear (1) produces
a nonlinear algebraic equation for the
solution of u j+1 . For the solution of
this nonlinear equation, we can use
the Newton-Raphson method.
Applying the Newton-Raphson
method to, we get
s+1
[(
u(j+1 ) = uj + h f tj+1, uj+1
(s)
) (
+ u(j+1 ) uj+1
s+1 (s)
) f
u ]
or after rearrangement as
(1 h uf )(u(j+1
s+1) (s)
uj+1 ) = uj uj+1
(s)
+ hf(tj+1, uj+1
(s)
)
( ) s
Where uj+1 is the sth iterate of u j+1
and f/u is evaluated at ( ( s)

tj+1, uj+1 )
We iterate until
| u(j+1 ) uj+1
s+1 ( s)
|
TOL

Where TOL is a specified absolute
error tolerance. Since the solution
u(t) varies continuously, we may
take the initial approximation as
u(j+1
)
0
= ujThe local truncation error at
the point t = t j+1 in the method (1)
is given by
T j+1 =u(t j+1 ) u j+1
[ (
= u(tj+1) u(tj) + hf tj+1, u(tj+1) )]
2
h
= 2 u"(), tj < < tj+1
It may be noted that the truncation
errors of Euler and backward Euler
methods are equal but are of
opposite signs.
Example 4.
Solve the initial value problem

2
u = -2tu , u(0) = 1 with h = 0.2,
on the interval [0, 0.4], using the
backward Euler method.
Proof.
The backward Euler method gives

2
u j+1 = u j 2ht j+1 u j+1,j = 0, 1
This is an implicit equation in u j+1
and can be solved by using an

iterative method. We generally use
Newton-Raphson method.
Denote
2
F(u j+1 ) = u j+1 u j + 0.4t j+1 u j+1
We have,
F (u j+1 ) = 1 + 0.8t j+1 u j+1

(s+1)
(s+1) (s) Fuj+1
uj+1 = uj+1. s=0,1,.....
u(j+1
)s
( ) 0
Taking we obtain from uj+1 = ujfor
j=0:t1 =0.2.u( ) = u0=1

0
( ) 0
( )
F u1( ) = 0.08, F' u1( ) = 1.16, u1( ) = 0.93103448,
1 1
F(u( )) = 0.0038050, F'(u( )) = 1.14896552, u( ) = 0.9370332,

1 1 2
1 1 1
F(u( )) = 0.14 10 , F'(u( )) = 1.14891253, u( ), u( ) = 0.93070331,

2 7 2 3 1
1 1 1 1
Therefore,u(0.2) u1 = 0.93070331
j=1:t2 = 0.4, u(2 ) = 0.93070331,

0
( ) 0
( )
F u(2 ) = 0.13859338, F' u(2 ) = 1.29782506, u(2 ) = 0.82391436,
0 1
F(u( )) = 0.00182463, F'(u( )) = 1.26365260, u( ) = 0.82247043,

1 1 2
2 2 2
F(u( )) = 0.00000034, F'(u( )) = 1.26319054, u( ) = 0.82247016,

2 2 3
2 2 2
F(u( )) = 0.40 10 , F'(u( )) = 1.26319045, u( ) = 0.82247016.

3 8 3 4
2 2 2

Therefore,u(0.4) u2 = 0.82247016
The exact values are u(0.2)
= 0.96153846, u(0.4) = 0.86206897.
MidPoint Method
The equation may be written as
uj+1 uj-1 + 2hfj, j=0,1,....N-1
This is called the mid-point method.
The solution values are given by

u2 = u0 + 2hf1
u3 = u1 + 2hf2
......................
uN = uN-2 + 2hfN-1
The value Uo is known from the initial
condition. The value ui is unknown
and has to be determined by some
other method after which is used to
determine successively u2, u3,
......u n .
The local truncation error is given by
Tj+1 =u(tj+1) uj+1
[ (
=u(tj+1) uj+1 + 2hf tj, u(tj) )]
3
h
=3 u'"(), tj-1 < < tj+1
The bound on the truncation error is
given by
|Tj+1|
h
3 M3
Where M3 = max |u'"(t)|

t [t0, b]
Example 5.

2
u = - 2tu , u(0) = 1
using the mid-point method, with h
= 0.2, over the interval [0, 1]. Use
the Taylor series method of second

order to compute u(0.2). Determine
the percentage relative error at t =
1.
The mid-point method gives
uj+1 uj-1 4h tjuj2 = uj-1 0.8tj uj2, j=1,2,3,4.
We calculate u1 from the Taylor
series method of second order. We
have
2
h
u1 u(h) = u(0) + hu'(0) + 2 , u"(0)
where, u(0) = 1, u'(0) = u"(0) = 2

0.04
We obtain u1 u(0.2) = 1 + 0 + 2 ( 2) = 0.96
Now, we obtain from, u 2 ,u 3 , u 4 , u 5 .
We have, for
j=1:u0=1,u1=0.96,t1=0.2,
2
u(0.4) u2 = u0 0.8t1 u1
2
=1-(0.8)(0.2)(0.96) = 0.852544
j = 2: u1 = 0.96, u2 = 0.852544, t2 = 0.4,
2
u(0.6) u3 = u1 0.8t2u2
2
=0.96-(0.8)(0.4)(0.852544) = 0.7274139
j = 3: u2 = 0.852544, u3 = 0.727139, t3 = 0.6,
2
u(0.6) u3 = u1 0.8t2u2
4
=0.96-(0.8)(0.4)(0.852544) = 0.7274139
j = 3: u2 = 0.852544, u3 = 0.7274139, t3 = 0.6,
2
u(0.8) u4 = u2 0.8t3u3
2
=0.852544-4(0.2)(0.6)(0.7274139) = 0.5985611
j = 4: u3 = 0.7274139, u4 = 0.5985611, t4 = 0.8,
2
u(1.0) u5 = u3 0.8t4u4
2
=0.7274139-(0.8)(0.8)(0.5985611) = 0.4981176
The exact solution is u(t) = 1/(1

2
+1 ). Therefore, u(1) = 0.5.
The percentage error is defined as

| u-u |
p.e= |u| 100
where it is the exact solution and
u* is the approximate solution.
Therfore,

|0.5 0.4981176|
p.e= 0.5 100 = 0.38%
Example 6.
Find singlestep methods for the
differential equation y = f(t,y).
which produce exact results for
-1
i. y(t) = + be
ii. y(t) = + b cost + c sin t.
i. since the function y(t) depends
upon two arbitrary parameters
and b, we need three relations
in y(t) and y (t) to eliminate
and b to get required numerical
method. We assume a relation
between y(t j+1 ), y(t j ) and y (t j )
to obtain a single-step method.
We have
y(tj+1) = + be
tj+1
y(tj) = + be
tj
y(tj) = be
tj
| |
y(tj+1)
tj+1
-1 e
y(tj)
tj
or 1 e =0
y'(tj)
tj
1 e
Simplifying, we get the
numerical method
(
yj+1 = yj + 1 e
-h
)y'j
ii. we have three arbitrary
parameters , b and c and we
would require four relations to
eliminate the parameters.
We have
y(tj+1)=+b cos (tj+1)+c sin (tj+1)
y'(tj+1)=-b sin (tj+1)+c cos (tj+1)
y(tj)=+b cos (tj)+c sin (tj)
y'(tj)=-b sin (tj)+c cos (tj)
we eliminate and get
( ) ( )
y(tj+1) y(tj) = b cos (tj+1) cos(tj) + c sin(tj+1) sin(tj) Eliminating b and c we obtain
| |
y(tj+1) y(tj)
(
cos (tj+1) cos(tj) ) (
sin(tj+1) sin(tj) )
y'(tj+1) sin (tj+1) cos(tj+1) =0
y'(tj) sin(tj)
cos(tj)
Simplifying, we have
[y(tj+1) y(tj)][ sin(tj+1)costj + cos(tj+1)sintj]

[ { } {
-y'(tj+1) cos tj cos (tj+1) cos tj + sintj sin(tj+1) sin tj }]
[ {
+y'(tj) cos (tj+1) cos (tj+1) cos tj + sint } ( ){
j+1
sin(tj+1) sin tj } ] =0
or (yj+1 yj)( sinh) y'j+1[cos h-1] + y'j[1 cos h] = 0

(y'j+1 + y'j)
1 cos h
or yj+1 = yj + sin h
5.4 SINGLESTEP METHODS
The methods for the solution of the

u = f(t, u), u(t 0 ) = 0 , t [t 0 , b] can
be classified mainly into two types.
They are
i. singlestep methods and
ii. multistep methods.
In singlestep methods, the solution
at any point is obtained using the
solution at only the previous point.
Thus, a general single step method
can be written as
u j+1 = u j + h (t j+1 , t j , u j+1 , u j , h)
where is a function of the
arguments t j , t j+1 u j , u j+1 , h and also
depends on f. Wo often write it as
(t, u, h). This function is called
the increment function. If u j+1 can
be obtained simply by evaluating the

right hand side of then the method
is called an explicit method. In this
case, the method is of the from
u j+1 = u j + h (t j , u j , h).
If the right hand side of depends on
u j+1 also, then, it is called an implicit
method. The general form in this
case is as given in general single step
method.
Local Truncation Error or
Discretization Error
The true (exact) value u(t j ) satisfies
the equation
u(t j+1 ) = u(t j ) + h (t j+1 , t j , u(t J+1 ),
u(t j ), h) + T j+1
where T j+1 is called the local

truncation error or discretization
error of the method. Therefore, the
truncation error is given by
T j+1 = u(t j+1 ) u(t j ) - h (t j+1 , t j ,
u(t j+1 ), u(t j ), h)
Order of a method
The order of a method is the largest
integer p for which
| 1
h Tj+1 | = O(hp)
We now derive single step methods
which have different increment
functions.
Taylor Series Method

The fundamental numerical method
for the solution of initial value
problem is the Taylor series method.

We assume that the function u(t) can
be expanded in Taylor series about
any point t j , that is,

2 p
u(t) = u(tj) + (t-tj)u'(tj) + (t-tj) + u"(tj) + ..... + (t-tj)
1 1
2! p!
p+1 p+1
u( )(tj) + (p+1) (t-tj) u( )(tj+h)
p 1
This expansion holds for t [t 0 , b]
and 0 < < 1.
Substituting t = t j+1 in, we get

2
u(tj+1) = u(tj) + hu'(tj) + (tj) + .... + p! h u( )(tj)
h 1 p p
2 ! u"
u(
p+1)
(tj+h)
1 p+1
+ (p+1) ! h
( )
= u(tj) + h tj, u(tj), h + (p+1) ! h
1 p+1
u(
p+1)
(tj+h)
( )
2 p
Where h tj,u(tj), h = hu'(tj) + (tj) + .... + p! u( )(tj)
h h p
2 ! u"
Denote by h(t j , u j , h), the value

obtained from h(t j , u(t j ), h) by
using an approximate value uj in
place of the exact value u(t j ).
Neglecting the error term, we have
the method
u j+1 = u j + h (t j , u j , h), j = 0,
1, ...., N 1 to approximate u(t j+1 ).
The error or the truncation error of
the method is given by
1 p+1 p+1
Tj+1 = (p+1) ! h u ( j
)
t + h
The method is called the Taylor series
method of order p. Substituting

p = 1, we get
u j+1 = u j + hu j = u j + hf (t j , u j )
which is the Euler method. Therefore,
Euler method can also be called as
the Taylor series method of order 1.

It is necessary to know u(t j ), u(t j ),
(p)
........., u (t j ). If t j and u(t j ) are
known, then the derivatives can be
calculated as follows:
First, the known values t j and u(t j )
are substituted into the differential
equation to give u(t j ) = f(t j , u(t j )).
Next, the differential equation u =
f(t, u) is differential to obtain
expressions for the higher order
derivatives of u(t). Thus, we have
u'=f(t,u)
u"=f1 + ffu
u"'=fu + 2fftu + f ftu + fu(f1+ffu)

2
.............................................
Where f1, f u ,........represent the
partial derivatives of f with respect
to t and u and so on. The values u
(t j ), u (t j ),.....can be computed by
substituting t = t j .
Therefore, if t j and u(t j ) are known
exactly, then can be used to compute
u j+1 with an error
p+1
(p+1)
(tj + h)
h
(p+1) !
u
The number of terms to be included is
fixed by he permissible error. If this

error is and the series is truncated
(p)
at the term u (t j ) then
p+1 (p +1)
h |u (t j + h)| < (p + 1)!
p+1 (p)
or h |f (t j + h)| < (p+ 1)! .
(p)
We assume that an estimate of |f
(t j + h) is known.
For a given h and , the above
inequations will determine p, and if p
and are specified, then it will give
an upper bound on h.
(p)
Since t j + h is not known, |f (t j
+ h)| in is replaced by its maximum
value in [t 0 , b]. A way of determining
this value is as follows. Write one
more non-vanishing term in the
series that is required and then
differentiate this series p times. The
maximum value of this quantity in
[t 0 , b] gives a rough required bound.

Example 1.
Given the initial value problem u =

2 2
t + u , u(0) = 0 determine the first
three non-zero terms in the Taylor
series for u(t) and hence obtain the
value for u(l). Also determine t when
the error in u(t) obtained from the
first two non-zero terms is to be less

-6
than 10 after rounding.
We have
u(0) = 0, u'(0) = 0
u"=2t+2uu',u"(0) = 0
( )
2
u"'=2+2 uu"+(u') , u'"(0) = 2
(4)
= 2(uu"'+3u'u"), u( )(0) = 0
4
u
[ ]
u( ) = 2 uu( )+4u'u"+3(u") , u( )(0) = 0
5 4 2 5
u( ) = 2(uu( )+5u'u( )+10u"u'"), u( )(0) = 0

6 5 4 6
u( ) = 2(uu( )+6u'u( )+15u"u( ) + 10(u"') ), u( )(0) = 80

7 6 5 4 2 7
u( )(0) = u( )(0) = u( )(0) = 0

8 9 10
11
[
10 9 8 7 4 6
]
u( ) = 2 uu( ) + 10u'u( ) + 45u"u( ) + 120u"'u( ) + 210u( )u( ) + 126u( )) , u( )(0) = 38400
5 2 11
Thus ,the Taylor series for u(t) becomes

1 3 1 7 2 11
u(t) = 3 t + 63 t + 2079 t

The approximate value of u( 1) is
given by
1 1 2
u(1) = 3 + 63 + 2079 0.350168
If only the first two terms are used,
then the value of t is obtained from
| 2
2079 t |
11
< 0.5 10
7
Solving, we get t 0.41
Example 2.
Find the three term Taylor series
solution for the third order initial
value problem
W+ WW= 0, W(0) = 0,
W(0) = 0, W"(0)=1.
Find the bound on the error for t
[0, 0.2].
Proof.
We find
W"'=-WW".W"'(0) = 0
W( )=-(WW"+W'W"),WH( )(0) = 0
4 4
[
W( )=- WW( )+2W'W"'+(W") , W( )(0) = 1 ]
5 4 2 5
W( )(0)=0,W( )(0) = 0, W( )(0) = 11

6 7 8
W( )(0)=0,W( )(0) = 0, W( )(0) = 375

9 10 11
The Taylor series solution is

2 5
t t 11 8
W(t) = 2! 5! + 8! t + E8
|E8| max|W (t)|

9
(9) t
Where 9!
Writing the next term, we have

2 5
t t 11 8 375 11
W(t) = 2! 5! + 8! t 11 ! t
W( )(t) =
9 375 2
We find 11 ! t
And max |
0 t 0.2
W( )(t) = 7.5
9
|
9
7.5(0.2)
Hence,|E8|
11
9! (1.06)10

Runge-Kutta Methods
From the application point of view,
the Taylor series method has a major
disadvantage. The method requires
evaluation of partial derivatives of
higher order manually. This is not
possible in any practical application.
Therefore, we need to develop
methods which do not require
evaluation and computation of higher
order derivatives. The most
important class of methods in this
direction are the Runge-Kutta
methods. Howeveer, all these
methods should compare with the
Taylor series method when they are
expanded about a point t = t j . we
shall first explain the principle
involved in the Riinge Kutta

methods. Integrating the differential
equation u = f(t, u) on the interval
[t j , t j+1 ], we get
tj+1
du

tj+1
dt= f(t,u)dt
tj
dt tj
By the mean value theorem of
integral calculus, we obtain
u(t j+1 ) = u(t j ) + hf(t j + h, u(t j +
h)), 0 < < 1. my value of
[0, 1] produces a numerical method.
Consider the following ases.
Case = 0. When = 0, we obtain
the approximation
u j+1 = u j + hg(t j , u j ) which is the
Euler method.
Case = 1. When = 1, we obtain
u(t j+1 ) = u(t j ) + hf(t j + h, u(t j+1 )).

we have the numerical method as
u j+1 = uj + hf j+1 which is the
backward Euler method.
If we approximate u j+1 = u j + hf j ,
that is by the Euler method, in the
argument of f, we get
uj+1 = uj + hf(tj+1, uj + hfj)

If we set K1 = hfj
K2 = hf(tj+1, uj + kj)
We get the method as
uj+1 = uj + k2
Case =1/2 when =1/2 we obtain
( (
u(tj+1) = u(tj) + hf tj+ 2 , u tj +
h h
2 ))
However, t j + (h/2) is not a nodal
point.
If we approximate (
u tj +
h
2 )in the
above equation, by Euler method
with spacing h/2, we get
(
u tj +
h
2 ) = uj + 2 fj
h
Then, we have the approximation
(
uj+1=uj+hf tj + 2 , uj + 2 fj
h h
)
if we get K1 = hfj
( h
K2 = hf tj + 2 , uj + 2 fj
h
)
Then can be written as
uj+1 = uj + K2
Alternately, if we use the approximation
(
u' tj +
h
2 )
1
2 [u'(tj) + u'(tj + h)]
and the Euler method, we obtain
uj+1=uj +
1
2 [
+ f'(tj, uj) + f(tj+1, uj + hfj) ]
If we set K1 = hfj
K2 = hf(tj+1, uj + K1)
Then, can be written as
(K1+K2)
h
uj+1 = uj + 2
This method is also called
Euler Cauchy method.
The integrand on the right hand side,
f(t, u), is the slope of the solution
curve which varies continuously in
the interval [t j , t j+1 ]. In deriving the
Euler method, we may interpret that
the slope of the solution curve, which
varies continuously on [t j , t j+1 ], is
approximated by the slope at the
initial point, that is by f(t j , u j ) f(t j ,
u(t j )).
Runge-Kutta methods use a weighed
average of slopes on the given
interval [t j , t j+1 ], instead of a single
slope. Thus, the general Runge-Kutta
methods may be defined as u j+1 = u j
+ h [weighted average of slopes on
the given interval]. Consider v slopes
on [t j , t j+1 ]. Define
K| = hf(t j + c 1 h, u j + 11 K 1 + 12 K 2
+ ... + 1v K v )
K 2 = hf(t j + c 2 h, u j + 21 K 1 +
22 k 2 + .... + 2v K v )
.....................................................................
K v = h f (t j + c v h, u j + v 1 K 1 + v 2
K 2 + vv K v ).
The Runge-Kutta method is now
defined by u j+1 = u j + W 1 K 1 + W 2 K 2
+.....+ W v K v .
This is also called a v-stage Runge-
Kutta method. It is a fully implicit
method which uses v evaluations of
f. The matrix of coefficients aij is the
full v x v matrix.
[ ]
11 12 ...... 1v
A= 21 22 ...... 2v
v1 v2 ...... vv
It is very difficult to derive the
implicit methods. If in A, we set the
elements in the upper triangular part
as zeros, then (K v ), (u j+1 ) define
semi-implicit methods, where
K 1 =h f(t j + c 1 h, u j + 11 K 1 )
K 2 = h f (t j + c 2 h, u j + 21 K 1 +
22 K 2 )
.. .. .. .. .. ..
K v = h f (t j + c v h, u j + v 1 K 1 + v2 K 2
+ ... + vv K v ).
If in A, we set the elements on the
diagonal and the upper triangular
part as zeros, then K v and u j+1 define
explicit methods, where
K 1 = h f (t j , u j )
K 2 = h f (t j + c 2 h, u j + 21 K 1 )
K 3 = h f (t j + c 2 h, u j + 31 K 1 + 32
K2)
.. .. .. .. .. ..
K v = h f (t j + c v h. u j + V1 K 1 +
v2 K 2 + ... + v , v-1 K v-1 )
We shall first consider the derivation
of explicit Runge-Kutta methods.

Explicit Runge-Kutta Methods
Second Order Methods
Consider the following Runge-Kutta
method with two slopes
K1 = hf(tj,uj)
K2 = hf(tj+c2h,uj + 21K1)
uj+1 = uj + W1K1 + W2K2
Where the parameters c 2 , 21 , w 1
and W 2 are chosen to make u j+1
closer to u(t j+1 ). There are four
parameters to be determined. Now,
Taylor series expansion about t j gives
2 3
u(tj+1) = u(tj) + hu'(tj) + ( tj ) + (tj) + ....
h h
2 ! u" 3 ! u"'
( )
2 3
= u(tj) + hf tj, u(tj) + (f1+ffu)tj +
h h
2! 2!
[f11 + 2fftu + f2fuu + fu(ft + ffu)]tj + ....

We also have
K1 = hfj
K2 = hf(tj+c2,uj+21 hfj)
[ ]
fj + h(c2f1 + 21 f fu)tj
=h
( )
2
h 2 2
+ 2 c fu + 2c221 fftu + f2fuu tj + ....
21
Substituting the values of K 1 and K 2
in, we get
uj+1 = uj + (W1 + W2)hfj + h2(W2 + c2 ft + W221 f fu)tj
(2 )tj + ....
3
h 2 2
+ 2 W2 c2 ftt + 2c2 21 fftu + 21 f fuu
Comparing the coefficients of h and

2
h in and, we obtain
W1 + W2 =1
c2W2 = 1 / 2
21W2 = 1 / 2
The solution of this system is
1 1
21 = c2, W2 = 2c2 , W1 = 1 2c2
Where c 2 0, is arbitrary. It is not
possible to compare the coefficient of

3
h , as there are five terms in and
only three terms in Therefore, the
Runge-Kutta method using two
evaluations of f is
uj+1 = uj + 1 ( 1
2c2 ) K1 +
1
2c2 K2
Where K1 = hf(tj,uj),
K2 = hf(tj+c2h,uj + c2K1)
Substituting in we get
2 3
h c2
(ft + f fu)tj + (fu+2f ftu+f2 fuu)tj+....
h
uj+1 = uj + hfj + 2 4
The local truncation error is given by

Tj+1 = u(tj+1) uj+1
[( ) (f )t1 + 61 {fu(ft + f fu}t + ....]

1 c2 2
= h3 6 4 tt + 2f ftu + f fuu
j
Which shows that the method is of a
second order. It may be noted that

every Runge-Kutta method should
reduce to a quadrature formula when

f(t, u) in independent of u, with W 1 's
as weights and c i 's as abscissas.
The free parameter 2 is usually taken
between 0 and 1. Sometimes, c 2 is
chosen such that one of the W 1 's in
the method is zero. For example, the
choice c 2 = makes W 1 = 0.
If c2 = 1 / 2, we get
uj+1 = uj + K2
Where K1 = hf(tj,uj),
( h 1
K2 = hf tj + 2 , uj + 2 K1)
Which is the Euler method with
spacing h/2.
It is also called the modified
Euler-Cauchy method. It reduces
to the mid-point quadrature rule
when f(t, u) is independent of u.
(K1+K2)
1
For uj+1 = uj + 2
Where K1=hf(tj,uj)
K2 = hf(tj + h,uj + K1)
Which reduces to the trapezoidal
when f(t, u) is independent of u. This
method is also called as the Euler-
Cauchy of Heun method.
Minimization of Local
Truncation Error
An alternative way of choosing the
arbitrary parameter is to minimize the
sum of the absolute values of the

coefficients in the term T j+1 . Such
a choice gives an optimal method in
the sense of minimum truncation
error. Here, we use the Lot kin's
bounds which are defined by

1+j i+j
f L
| i j |< j-1 , i,j=0,1,2.......
t u M
we find that
|f| < M,|fu| < L,|f1| < LM

2
|ftt| < L M,|ftu| < L ,|fuu| <

2 2 L
M
Thus, |T j+1 | becomes
[| | ]
c2
|Tj+1| < ML
2 3 1 1
h 4 6 4 + 3
The minimum value of T j+1 occurs
for c 2 = 2/3 in which case |T j+1 |

2 3
< ML h /3. We have the optimal
method as
(K1 + 3K2)
1
uj+1 = uj + 4
where K1 = hf(tj,uj)
( 2
K2 = hf tj + 3 h,uj + 3 K1
2
)
If the arbitrary parameters are
determined by putting the leading
coefficients in |T j+1 | to zero, then
such a formula is called nearly
optimal. It may be noted that the
explicit Runge-Kutta methods using
two evaluations of f have one
arbitrary parameter and have

produced second order methods.
Third Order Methods
We now use three evaluations of f
and define the method as

uj+1 = uj+ W1K1+W2K2+W3K3
where K1 = hf(tj,uj)
K2 = hf(tj + c2h,uj + 21K1)
and K3 = hf(tj + c3h,uj + 31K1 + 32K2)
Expand K 2 , K 3 in Taylor series about
tj and substitute. Collecting the
terms and comparing the terms upto

3
O(h ), we obtain the following six
equations in eight parameters W 1 ,
W 2 , W 3 , c 2 , c 3 , 21 , 31 and 32 .
Therefore, the methods contain two
arbitrary parameters. The equations
are
21 = c2, 31+32 = c3, W1 + W2 + W3 = 1

1 2 2 1 1
c2W2 + c3W3 = 2 , c2w2 + c3w3 = 3 , c232W3 = 6
Multiplying the fourth and fifth
equations by c 2 32 and using the
sixth equation, we get
2
c232W2 + c3 ( 16 ) = 12 c2232, c3232W2 + c23( 16 ) = 13 c232
Eliminating W2 from these two
equations, we find that no solution
exists unless
c3(c3-c2)
2
3c232 c3 2c232 c3
= or 32 =
c2(2-3c2)
2 2 3
6c2c232 6c232
Usually, c 2 , c 3 are arbitrarily chose
and 32 is determined Irom.
However, if c2 = c3, then we
immediately obtain from the fourth
and fifth equations, that c 2 = 2/3 The
values of the remaining parameters
are obtained from the above six
equations.
When c s = c 3 , we get c 2 = 2/3 and
21 = 2/3. We get the value of the
other parameters as 31 = 0, 32 =
2/3, W 1 = 2/8, W 2 = 3/8 and W 3
= 3/8. The Runge-Kutta method is
obtained as
(2K1+3K2+3K3)
1
uj+1 = uj + 8
where K1 = hf(tj,uj),
K2 = hf tj+ ( 2h
2 ,uj
2
+ 3 K1 )
and K3 = hf tj+ ( 2h
3 ,uj
2
+ 3 K2 )
we note that the methods use three
evaluations of f, has two arbitrary
parameters and produce third order
methods.
Fourth Order Methods

We now use four evaluations of f and
define the method as

uj+1 = uj+W1K1+W2K2+W3K3+W4K4
where K1=hf(tj,uj)
K2 = hf(tj + c2h,uj + 21K1)
K3 = hf(tj + c3h,uj + 31K1 + 32K2)
K4 = hf(tj + c4h,uj + 41K1 + 42K2 + 43K3)
The parameters c 2 , c 3 , c 4 , 24 , ...,
43 , and W 1 , W 4 are chosen to make
u j+1 closer to u (t j+1 ).
Expanding K 2 , K 3 , K 4 in Taylor series
about t j , substituting in and matching

2 3 4
the coefficients of h, h , h and h .
We obtain the following system of
equations
c2=21
c3=31+32
c4=41+42+43
W1+W2+W3+W4=1
1
W2c2+W3c3+W4c4= 2
2 2 2 1
W2c2+W3c3+W4c4= 3
W3c232+W4(c242 + c343)+= 6
1
3 3 3 1
W2c2 + W3c3 + W4c4 = 4
2
(
W3c232 + W4 c242 + c343 =
2 2
) 1
12
W3c2c232 + W4(c242 + c343)c4 =

1
8
1
W4c23243 = 24
We have 11 equations in 13
unknowns. Therefore, there are two
arbitrary parameters. Since the

4
terms upto O(h ) are compared, the
5
truncation error is of O(h ) and the
order of the method is 4. The
simplest solution of the equations is
given by .
c2= c3 = 1/2, c4= 1, W2= W3= 1/3.
W1 = W4 = 1 / 6, 21 = 1 / 2, 31 = 0, 32 = 1 / 2, 41 = 0, 42 = 0, 43 = 1.
Thus, the fourth order method becomes
(K1+2K2+2K3+K4)
1
uj+1 = uj + 6
K1 = hf(tj,uj)
( 1
K2 = hf tj + 2 h,uj + 2 K1
1
)
( 1
K3 = hf tj + 2 h,uj + 2 K2
1
)
K4 = hf(tj + h,uj+K3)
We now list the second, third and
fourth order Runge-Kutta methods.
Second Order Methods
C2 21
w1 w2
2/ 2/
1 1
3 3
0 1
Euler-cauchy Modified
Optimal
or Heun Euler-Cauchy
Third Order Methods
C2 21
C3 31 32
W1 W2 W3
2/ 2/

3 3
2/ 2/
0 0
3 3
2/ 3/ 3/ 2/ 3/ 4/
8 8 8 9 9 9
Ny strom Nearly optimal
1/ 1/ 1/

2 3 3
2/ 2/
1 -1 2 0
3 3
1/ 4/ 1/
0
6 6 6
Classical Heun
Fourth Order Methods
C2 21
C3 31 32
C4 41 42 43
W1 W2 W3 W4
1/ 1/ 1/
2 3 3
1/ 2/ -1/
0 1
2 3 3
1 0 0 1 1 1 -1 1
1/ 2/ 2/ 1/ 1/ 3/ 3/ 1/
6 6 6 6 8 8 8 8
Classical Kutta
It can be observed that all explicit
Runge-Kutta methods satisfy the
equations

i-1 v
Ci = ij, and Wi = 1
j=1 i=1
Since c j 's can be obtained from ij's,
the number of independent
parameters is equal to
(Number of ij 's) + (Number of Wi 's) = [1 + 2 + ... + (v-1)] + v= 2 v(v+1)

1
High Order Methods
We note that the second order
method requires two function
evaluations for each step of
integration. Similarly, we find that
the third and fourth order methods
require three and four function
evaluations respectively for each step
of integration.
The minimum number of function
evaluations v for a given order p is
given the following table.
p 2 3 4 5 6 ...
V 2 3 4 6 8 ...
There is a jump in v from 4 to 6 when
p goes found 4 to 5. Hence, methods
with p < v are not generally used.

Example 3.
Given the initial value problem

2
u = -2tu , u(0) = 1 estimate
u(0.4) using
i. modified Euler-Cauchy method,
and
ii. Heun method, with h = 0.2,
compare the results with the

2
exact solution u(t) = 1/(1 + t ).
i. The modified Euler-Cauchy
method is given by
uj+1 = uj + |K2
where K1 = hf(tj,uj) = 0.2

[ 2
2tju
j ] = 0.4 tju
2
j
2
and ( )
K2 =hf tj + 2 , uj + 2 K1 = 0.4(tj + 0.1) uj + 2 K1
h 1
( 1
)
For j = 0, we have
2
t0 = 0, u0 = 1, K1 = 0, K2 = 0.4(0.1)(1) = 0.4
u(0.2) = u1 = u0 + K2 = 1 0.04 = 0.96
For j=1,we have
2
t1 = 0.2, u1 = 0.96, K1 = 0.4(0.2)(0.96) = 0.073728
2
K2 = 0.4(0.2 + 0.1)(0.96 0.36864) = 0.102262
u(0.4) u2 = u1 + K2 = 0.96 0.102262 = 0.857738
ii. The Heun method is given by

(K1+K2)
1
uj+1 = uj + 2
where Kl = hf(tj,uj) = 0.4tju j

2
2
and K2 = hf(tj+h,uj+K1) = 0.4(tj + 0.2)(uj + K1)
For j=1,we have
2
t1 = 0.2, u1 = 0.96, K1 = 0.4(0.2)(0.96) = 0.0731728
2
K2 = 0.4(0.2 + 0.2)(0.96 0.737328) = 0.125676
(K1+K2) = 0.96 + 2 ( 0.073728 0.125676)

1 1
u(0.4) u2 = u1 + 2
the exact solution is u(0.2) = 0.961538, u(0.4) = 0.86069
The absolute errors in the
numerical solutions are
Modified Euler Cauchy
method: (0.2) = 0.001538,
(0.4) = 0.004331.
Hence method: (0.2) =
0.001538, (0.4) =
0.001771

Example 4.
2
u = 2tu , u(0) =1
with h = 0.2 on the interval [0, 0.4].
Use the fourth order classical Runge-
Kutta method. Computer with the
exact solution.
For j=0, we get

t0 = 0, u0 = 1
2
K1 = hf(t0,u0) = 2(0.2)(0)(1) = 0
( ) ( 0.22 )(1)
h 1 2
K2 = hf t0+ 2 ,u0 + 2 K1 = (0.2) = 0.04
( ) ( 0.22 )(0.98)
h 1 2
K3 = hf t0+ 2 ,u0 + 2 K2 = 2(0.2) = 0.038416
2
K4 = hf(t0+h,u0 + K3) = 2(0.2)(0.2)(0.961585) = 0.0739715
1
u(0.2) u1 = 1 + 6 [0 0.08 0.076832 0.0739715] = 0.9615328
For j=1,we get

t1 = 0.2, u1 = 0.9615328
2
K1 = hf(t1,u1) = 2(0.2)(0.2)(0.9615328) = 0.0739636
( ) = 2(0.2)(0.3)(0.924551) = 0.1025753
h K1 2
K2 = hf t1+ 2 ,u1 + 2
= hf(t + ) = 2(0.2)(0.3)(0.9102451) = 0.994255

h K2 2
K3 1 2 ,u1 + 2

2
K4 = hf(t1+h,u1 + K3) = 2(0.2)(0.4)(0.8621073 ) = 0
.1189166
1
0.1988510 0.1189166] = 0.8620525
u(0.4) = u2 = 0.9615328 + 6 [ 0.0739636 0.2051506 ]
The absolute errors in the numerical solutions are
(0.2) = |0.961539 0.961533| = 0.000006
(0.4) = |0.862069 0.862053| = 0.000016
Estimation of Local
Truncation Error
In the numerical solution of
differential equations, it is desirable
to have an estimate of the local
truncation error of the solutions at
each step. This enables us to adjust

the step size. In our discussion, the
rounding error will be ignored. A
simple procedure for estimating the
truncation error is called
extrapolation. Here, we find the
difference between the two solutions

* *
uj+1 and u j+1 where uj+1and u j+1 are
calculated using the step-sizes h/2
and h respectively. We have
| | |
u(tj+1) uj+1 < u(tj+1) uj+1
*
|
and j+1 = u(tj+1) uj+1 uj+1 uj+1
*
For Runge - Kutta methods, using

one-step and two half-steps
(extrapolation) procedure can be
very expensive as the cost of
computation increases with the

number of function evaluations. We
list the total number of function
evaluations required per step for a p-
th order method, using one-step and
two half - steps to
p 2 3 4 5
v* 5 8 11 14
where v* is the total evaluations of f
per step.
This method is generally used to
calculate the total (not local) error
for any method. An economical
procedure is the Runge-Kutta-
Fehlberg method. Here, we use a
Runge-Kutta method of higher order
to compute u j+1 and a lower order
Runge-Kutta method to compute u j+1
using the same step size. An
important achievement of this
method is that the lower order
method has the K i 's common with
the higher order method. The Runge-
Kutta-Fehlberg fourth order pair of
formula is
uj+1 = uj + [ 216
25
+ 2565 K3 + 4104 K4 5 K5]
1408 2194 1
With Tj+1 = O h ( 5)
And
*
uj+1 = uj + [ 135
16
K1 + 12825 K3 + 56430 K4 50 K5 + 55 K6]
6656 28561 9 2
*
With Tj+1 = O h ( 6)
Where
K1 = hf(tj,uj)
(
K2 = hf tj + 1 h,uj + 1 K1
4 4
)
(
K3 = hf tj + 3 h,uj +
3
32 K1 +
9
32 K2 )
8
(
K4 = hf tj +
12
13 h,uj +
1932
3197 K1 +
7200
2197 K2 +
7296
2197 K3 )
(
K5 = hf tj + h,uj +
439
216 K1 8K2 +
3680
513 K3
845
4104 K4 )
( 1
K6 = hf tj + 2 h,uj
8
27 K1 + 2K2
3544
2565 K3 +
11
40 K5 )
The formula for u j+1 is of fourth order
and requires 5 function evaluations
and with an additional function

*
evaluation we obtain uj+1. Thus,
*
uj+1 uj+1 requires only six as

compared to 11 function evaluations
in the case of one-step and two half-
steps procedure. Thus, an estimate
of the fourth order accuracy may be
determined during the course of
computation with only six Junction
evaluations. This method can also be
used to construct a variable mesh
method, the mesh varying with the
accuracy of the solutions required.
System of Equations
Consider the system of n equations
= f(t,u1,u2,....un)
du
dt
U(t0) =
T T T
Where u=[u1,u2,....un] , f=[f1,f2,.....,fn] .=[1, 2, ...., n]
.
All the methods derived earlier can
be used to solve the system of
equations, by writing the methods in

vector form. Let us now apply some
of these methods to solve.
Taylor Series Method

We write in vector form as
we write in vector form as

2 p
h h (p )
uj+1 = uj + hu'j+ 2! u"j + .... + p! uj , j=0,1,2,.....,N-1
where
[ ][ ]
u(1,j)
k k-1
f1(tj,u1,j,u2,j,......un,j)
d
k-1
dt
uj( ) = u(2,j)
k k
= ... ... ... ... ... ... ... ... ... ... ...
k-1
fn(tj,u1,j,u2,j,......un,j)
d
u(n,j)
k
k-1
dt
In particular, the Euler method can
be written as
u j+1 = u j + hu j , j = 0, 1, 2, ..... N-l.
Runge Kutta Method of Second
Order
Consider the Euler-Cauchy or the
Heun method. We write it in vector
form a s

(K1+K2)
1
uj+1 = uj + 2
where Ki1 = hfi(tj, u1.j, u2.j, ..., un.j),
Ki2 = hfi(tj + h, u1,j + K11, u2,j + K21, ..., un,j + Kn1).

i=1,2,.........,n
In an explicit form, becomes
[ ] [ ] ([ ] [ ])
u1,j+1 u1,j K11 K12
u2,j+1 u2,j K21 K22
1
= + 2 + j=0,1,....N-1

un,j+1 un,j un,1 un,2
Runge Kutta (classical)
Method of Fourth Order
We write the vector format of as
(K1+2K2+2K3+K4)
1
uj+1 = uj + 6
where
[] [] [] []
K11 K12 K13 K14
K21 K22 K23 K24
K1 = , K2 = , K3 = , K4 =

un1 un2 un3 un4

And
Ki1 = hfi(tj, u1,j, u2,j, ....., un,j)
( h 1 1
Ki2 = hfi tj + 2 , u1, j + 2 K11, u2,j + 2 K21, ...., un,j + 2 Kn1
1
)
( h 1 1
Ki3 = hfi tj + 2 , u1, j + 2 K12, u2,j + 2 K22, ...., un,j + 2 Kn2
1
)
Ki4 = hfi(tj + h, u1, j + K13, u2,j + K23, ...., un,j + Kn3),
i=1(1)n
In an explicit form, becomes
[ ] [ ] ([ ] [ ] [ ] [ ])
K1,j+1 K1,j K11 K12 K13 K14
K2,j+1 K2,j K21 K22 K23 K24
1
= = 6 +2 +2 +

un,j+1 un,j Kn1 Kn2 Kn3 Kn4
J=1,2,......,N-1
Example 5.
Compute an approximation to u(l), u
(l) and u (1) with the Taylor series
method of second order and step
length h = 1, for the initial value
problem.

u"'+2u"+u'-u=cost, 0r1
u(0) + 0, u'(0) = 1, u"(0) = 2
after reducing it to a system of first
order equations
Set u = v 1 , v 1 = v 2 , v 2 = v 3 . Note
that v 2 = v 2 = v 1 = u, v 3 = v 2 = u
and v 3 =
V 2 = u .
The system of equation is v
V'1 = V2, v1(0)=0

V'2 = V3, v2(0)=1
v'3 = cost-2v3 v2 + v1, v3(0) = 2,
[ ][ ]
v1 v2
or v'= v2 = v3
v3 cos t-2v3 v2 + v1
The Taylor series method of second order is
2
v(t0+h) = v0 + hv'0 +
h 1
2 v"0 = v0 + v'0 + 2 v"0
since h=1,we have
[ ][ ]
v2 1
v'0 = v3 = 2
1-2v3(0) v2(0) + v1(0) 4
[ ] [ ]
v'2 2
Now v"= v'3 and v"0 4
1-sin t-2v'3(0) v'2 + v'1 7
Hence
[ ][ ] [ ][ ]
0 1 2 2
1 1
v(1) = v0 + v'0+ 2 v"0= 1 + 2 +2 4 = 1
2 4 7 3/2
Therefore,u(1)=2,u'(1)=1,u"(1)=3/2
Example 6.
Solve the system of equations
u = -3u + 2v. u(0) = 0
v = 3u 4v, v(0) = 0.5 with h = 0.2
on the interval [0, 0.4]. Use the

i. Euler-Cauchy method, and
ii. Classical Runge-Kutta fourth
order method,
i. The Euler Cauchy method is
given by
uj+1=uj+ 2 (K1+K2),j=0,1
1
K1=hf(tj,uj)
K2=hf(tj,+h,uj+K1)
For j=0,we have
t0 = 0, u0 = 0, v0 0.5
K11 = hf1(t0,u0,v0) = 0.2(-3u0+2v0)
=0.2[ 3 0 + 2 0.5] = 0.2
K21 = hf2(t0,u0,v0) = 0.2(3u0-4v0)
=0.2[3 0 4 0.5] = 0.4
K12 = hf1(t0 + h,u0 + K11, v0 + K21)
[
=0.2 3(u0+K11) + 2(v0 + K21) ]
=0.2[ 3(0+0.2) + 2(0.5 0.4)] = 0.08
K22 = hf2(t0 + h,u0 + K11, v0 + K21)
[
=0.2 3(u0+K11) 4(v0 + K21) ]
(K11+K12) = 0 + 2 (0.2 0.08) = 0.06
1 1
u(0.2) = u1 = u0 + 2
(K21+K22) = 0.5 + 2 ( 0.4 0.04) = 0.32

1 1
v(0.2) = v1 = v0 + 2
for j=1,we have

t1 = 0.2,u1=0.06,v1=0.32
K11 =hf1(t1,u1,v1)=0.2( 3u1 + 2v1)
=0.2( 3 0.06 + 2 0.32)=0.092
K21 =hf2(t1,u1,v1)=0.2(3u1 4v1)
=0.2(3 0.06 4 0.32)=-0.22
K12 =hf1(t1+h,u1+K11,v1 + K21)
[
=0.2 3(u1+k11) + 2(v1+K21) ]
=0.2[ 3(0.06 + 0.092) + (0.32 0.22)]=0.0512
K22 =hf2(t1+h,u1+K11,v1 + K21)
[
=0.2 3(u1+K11) 4(v1+K21) ]
=0.2[ 3(0.06 + 0.092) 4(0.32 0.22)]=0.0112
(K11+K12) = 0.06 + 2 (0.092 0.0512) = 0.0804

1 1
u(0.4) = u2 = u1 + 2
1 1
ii. For the classical Runge Kutta
fourth order method, we obtain
the following results.

For j=0,we have
t0 = 0, u0 = 0,v0 = 0.5
K11 = hf1(t0,u0,v0) = h( 3u0 + 2v0)
=0.2( 3 0 + 2 0.5) = 0.2
K21 = hf2(t0,u0,v0) = h(3u0-4v0)
=0.2(3 0 4 0.5) = 0.4
( h 1
K12 = hf1 t0+ 2 , u0 + 2 K1 , v0 + 2 K21
1
1
)
[ ( 1
=h 3 u0 + 2 K11 + 2 v0 + 2 K21 ) ( 1
)]
=0.2[ 3 0.1 + 2 0.3] = 0.06
( h 1
K22 = hf2 t0 + 2 , u0 + 2 K11, v0 + 2 K21
1
)
[ ( 1
=h 3 u0 + 2 K11 4 v0 + 2 K21 ) ( 1
)
=0.2[3 0.1 4 0.3] = 0.18
( h 1
K13 = hf1 t0+ 2 , u0+ 2 K12,v0 + 2 K22
1
)
[ ( 1
=h 3 u0 + 2 K12 + 2 v0 + 2 K22 ) ( 1
)]
=0.2[ 3 0.03 + 2 0.41] = 0.146
( h
K23=hf2 t0 + 2 , u0 + 2 K12, v0 + 2 K22
1 1
)
[( 1
)
=h 3 u0 + 2 K12 4 t0 + 2 K22 ( 1
)]
=0.2[3 0.03 4 0.41] = 0.31
[
K14 = hf1(t0 + h.u0 + K13, v0 + K23) = h 3(u0 + K13) + 2(v0 + K23) ]
=0.2[ 3 0.146 + 2 0.19] = 0.0116
K24 = hf2(t0 + h,u0 + K13, v0 + K23) = h 3(u0 + K13) 4(v0 + K23)[ ]

=0.2[3 0.146 4 0.19] = 0.0644
(K11+2K12+2K13+K14)
1
u(0.2) u1 u0 + 6
1
=0+ 6 (0.2 + 0.12 + 0.292 0.0116) = 0.1001
(K21+2K22+2K23+K24)
1
v(0.2) v1 v0 + 6
1
=0.5+ 6 ( 0.4 0.36 0.62 0.0644) = 0.2593
Fo j=1,we have
t1 = 0.2, u1 = 0.1001, v1 = 0.2593
K11= h f(t1,u1,v1)= h(-3u1+2v1)

= 0.2 ( -3 1.001 + 2 x 0.2593 ) = 0.0437
[ ( 1
= h 3 u1 + 2 K11 + 2 v1 + 2 K21 ) ( 1
)]
= 0.2[ 3 0.1220 + 2 0.1856] = 0.0010
( h
K22 = hf2 t1 + 2 , u1 + 2 K11, v1 + 2 K21
1 1
)
[ ( 1
=h 3 u1 + 2 K11 4 v1 + 2 K21) ( 1
)]
=0.2 [3 0.122. 4 01856] = 0.0753
( h
K13 = hf1 t1 + 2 , u1 + 2 K12, v1 + 2 K22
1 1
)
=h[ 3 0.1006 + 2 0.2217] = 0.0283
=0.2[ 3 0.1006 + 2 0.2217] = 0.0283
( h
K23 = hf2 t1 + 2 , u1 + 2 K12, v1 + 2 K22
1 1
)
[( 1
=h 3 u1 + 2 K12 4 v1 + 2 K22) ( 1
)]
=0.2[3 0.1006 4 0.2217] = 0.1170
[
K14 = hf1(t1 + h,u1 + K13, v1 + K23) = h 3(u1 + K13) + 2(v1+K23) ]
=0.2[ 3 0.1284 + 2 0.1423] = 0.0201
[
K24 = hf2(t1 + h,u1 + K13, v1 + K23) = h 3(u1 + K13) 4(v1+K23) ]
=0.2[3 0.1284 4 0.1423] = 0.0368
(K11+2K12+2K13+K14)
1
u(0.4) u2 = uj + 6
1
=0.1001+ 6 [0.0437 + 0.0020 + 0.0566 0.0201] = 0.1138
(K21+2K22+2K23+K24)
1
v(0.4) v2 = vi + 6
1
=0.2593+ 6 ( 0.1474 0.1506 0.2340 0.0368) = 0.1645
The exact solution is u(t) =

1
5 (e 1 e 6t ), v(t) = 101 (2e-t + 3e-6t)
and u(0.2) = 0.1035, v(0.2) = 0.2541
u(0.4) = 0.1159, v(0.4) = 0.1613
Implicit Runge Kutta
Methods
The implicit Runge-Kutta method
using v slopes is defined as

v
uj+1 = uj + WmKm
m=1

where

v
ci = ij, i=1,2,.....v
j=1
and ij , 1 I, j v, W 1 , W 2 , .. .W v
are arbitrary parameters. The slopes
Km are defined implicitly. The
number of unknown parameters are
v(v+l). We now give the derivation
for the case v = 1. We have
u j+1 =u j + W 1 K 1
K 1 = h f (t j + c 1 h, u j + 11 K 1 ).
The Taylor series gives

2
uj+1 = u(tj) + hu'(tj) + u"(tj) + ....
h
2
( )
2
=u(tj) + hf tj, u(tj) + (f1 + ffu)tj + ....
h
2
and
[
K1 = h f(tj,uj) + (clhf1 + 11K1fu + ...)tj ]
( 2
= hf+clh f1 + h11fuK1 tj + O h ) ( 3)
=hfj + h (c1f1 + 11 f fu)tj+O h
2
( 3)
Substituting into we get
=
u(t j+1 ) u(t j ) + W 1 [hf 1 + h 2 (c 1 f 1 +
3
h 2 (c 1 f 1 + 11 ff u )t j + O(h )].
Comparing the coefficients ofh and

2
h , we get
W 1 = l,W 1 c 1 = ,W 1 11 , = .
We obtain W 1 = 1, c 1 = an = 1/2.
The second order implicit Runge-
Kutaa method becomes u j+1 = u j +
K1
uj+1 = uj + K1
( 1
K1 = hf tj + 2 , h,uj + 2 K1
1
)
For obtaining the value of K 1 , we
need to solve nonlinear algebraic
equation in one variable K 1 .

For v = 2. the implicit Runge Kutta
method becomes
uj+1= uj+W1K1+W2K2
K1 = hf(tj+c1h,uj+11K1+12K2)
K2 = hf(tj+c2h,uj+21K1+22K2)
Taylor series expansion of K 1 , K 2
given in this recursive form is very
difficult.. Since. K1, K2 can be
expanded in powers of h, we can
write
2 3
K 1 = hA 1 + h B 1 + h C 1 + ...
2 3
K 2 = hA 2 + h B 2 + h C 2 + ...
Substitute in, expand in Taylor series
and compare the coefficients of h.

2 3 4
h , h and h . Solving
resulting,equations, we obtain the
parameter values as
W1 = 1 / 2, W2 = 1 / 2, c1 = (3 3) / 6, c2 = (3 + 3) / 6
11 = 1 / 4, 11 = (3 23) / 12, 21 = (3 + 23) / 12, 22 = 1 / 4
Since, the truncation error is of

5
O(h ), the order of the method is 4.
The method is given by
(K1+K2)
1
uj+1 = uj + 2
K1 = hf tj + ( 3 3
6 h,uj
1
+ 4 K1 +
3 23
12 K2 )
K2 = hf tj + ( 3 3
6 h,uj +
3 + 23
12 K2
1
+ 2 K2 )
For obtaining the values of K 1 , K 2
we need to solve a system of two
nonlinear algebraic equations in two
unknowns K 1 , K 2 .
Example 7.
Solve the initial value problem u =

2
-2tu , u(0) = 1 with h = 0.2 on the
interval. Use the second order
implicit Runge-Kutta method.

The second order implicit Runge-
Kutta method is given by
uj+1 = uj + K1, j=0,1
( h
K1 = hf tj + 2 , uj + 2 K1
1
)
which gives
2
K1 = h(2tj + h) uj + ( 1
2 K1 )
This is an implicit equation in K 1 and
can be solved by using an iterative
method. We generally use the
Newton-Raphson method. We write

2 2
(
F(K1) = K1 + h(2tj+h) uj+ 2 K1
1
) (
= K1 + 0.2(2tj + 0.2) uj + 2 K1
1
)
we have
( )
F(K1) = 1 + h(2tj+h) uj+ 2 K1 = 1 + 0.2(2tj + 0.2) uj + 2 K1
1
( 1
)
The Newton-Raphson method gives
(s+1) (s) ( )
F K(1 )
s
K1 = K1 , s=0,1,....
F(K( ))
s
1
We assume K1( ) = hf(tj, uj), j=0,1

0
Now, we obtain from and
j=0:t0 = 0, u0 = 1, K1( ) = h 2t0u 0 = 0,

0 2
( )
( ) ( ) ( )
F K1( ) = 0.04, F' K1( ) = 1.04, K1( ) = 0.03846150,
0 0 1
(K( )) = 0.00001483, F'(K( )) = 1.03923077, (K( )) = 0.03847567

1
1
1
1
1
2
F(K( )) = 0.3010
2 8
1
K = (K( )) = 0.03847567,
2
Therefore, 1 1
And u(0.2) u1=u0 + K1 = 0.96152433
( )
i-1;t1 = 0.2, u1 = 0.96152433, K1( )=-h 2t1u1 = 0.07396231
0 2
( ) 0
( )
F K1( ) = 0.02861128, F' K1( ) = 1.11094517, K1( ) = 0.9971631,
0 1
F(K( )) = 0.00001989, F'(K( )) = 1.10939993, K( ) = 0.9973423,

1 1 2
1 1 1
F(K( )) = 0.35, 10 , F'(K( )) = 1.10939885, K( ) = 0.99773420.

2 7 2 3
1 1 1
Therefore,K1 = K(1 ) = 0.09973420,

2
and u(0.4) u2 = u1+K1 = 0.86179013
Second Order Equations
The second order and higher order
equations can be solved by
considering an equivalent system of
first order equations. However, we
can also derive single step methods
to solve second order or higher order
equations directly.

Such methods are useful when we
consider oscillatory systems, which
are usually consider the second
order initial value problem.
u = f (t, u, u ), t 0 t b
u(t 0 ) = u 0 , u (t 0 ) = u 0 .
We present a few methods to solve
directly.
Taylor Series Method or Order p
We write the Taylor series-method to
find u j+1 and u j+1 as

2 p
h h ( p)
= uj + hu'j + 2! uj + .... + p! uj
j+1
p
h (p+1)
u'j+1 = u'j + hu"j + ... + p! uj
j=0,1,....N-1
p+1
The truncation error is 0(h ) in
both u j+1 and u j+1 The higher order
derivatives are calculated as follows:

uj = f(tj, uju'j) = fj
"
"'
uj = (ft + u'fu + ffu)j = ( t + u' u + f u' )fj = Dfj
[ ]
2
uj = ftt + (u') fuu + f fu'u'+2u'ftu + 2fftu'+2u'ffuu + fu(f1 + u'fu + ffu') + ffu
iv 2
j
=D fj + (fu')jDfj + fj(fu)j, ....

2
2
Where D= t + u'j u + fj u' and D = D(D)
Therefore
[D f + (f )Df + f (f ) ] + ....
2 3 4
h h h 2
uj+1 = uj + hu'j + 2 fj + 6 Dfj + 24 j u
' j j u j
[D f + (f ) Df + f (f ) ] + ....
2 3
h h 2
u'j+1 = u'j + hfj + 2 Dfj + 6 j u j
' j j u j
Runge Kutta Methods
For the second order initial value
problem, we define the method as

uj+1 = uj+hu'j + W1K1 + W2K2
u'j+1 = u'j+ h (W*1K1 + W*2K2)

1
(tj, uj, u'j)

h
K1 = 2! f
( )
2
h 1
K2 = 2! f tj+c2h,uj+c2hu'j+2 K1,u'j+ h b21K1
1

Where c 2 21 , W 1 , W 2 , W* 1 , W* 2 are
arbitrary constants to be determined
Note that b 21 k 1 /h is an O(h) term, in
the argument of fin K 2 . Because of th
definition of K 1 , we choose b 21 = 2c 2 .
Expanding K 1 and K 2 in Taylor series
about t j , we get
2
h
K1 = 2 fj
[ (c22D2fj + 21fjfu) + ....]

2 2
h h
K2 = 2 fj + hc2Dfj + 2
2
Where D and D are as defined in
Substituting in, we obtain

2 3
(W1+W2)fj +
h h
uj+1 = uj + hu'j + 2 2 c2W2Dfj +
(W2c22 D2fj + W221fjfu) + O(lt5)

4
h
2
2
(W*1 + W*2)fj +
h h
u'j+1 = u'j + 2 2 c2w*2Dfj +
( ) ( )
3
h 2 2 4
4 W*2 + c2D fj + W*221fjfu + O h
Comparing with we get
W1 + W2 = 1, W*1 + W*2 = 2
1
c2W2 = 3 , c2W*2 = 1
4
The coefficient of h in u j+1 and of
3
h in u j+1 of equation will not match
with the corresponding coefficients in
equation for any choice of c 2 , 2 ,
W 2 and W* 2 . Therefore, the error is

4 3
O(h ) in u j+1 and O(h ) in u j+1 . We
have four equations to determine the
six parameters c 2 , 21 , W 1 , W 2 , W* 1
and W* 2 .
Choose c 2 = 2/3 and 21 = c 2 . Then,
we obtain from
W1 = W2 = 1 / 2, c2 = 21 = 2 / 3, b21 = 4 / 3,
W*1 = 1 / 2, W*2 = 3 / 2
Thus,the Range-kutta method becomes
(K1+K2)
1
uj+1 = uj + hu'j + 2
(K1+3K2)
1
u'j+1 = u'j + 2h
2
f(tj,uj,u'j)
h
K1 = 2
( )
2
h 2 2 2 2 4
K2 = 2 f tj + 3 h,uj + 3 hu'j + 3 K1,hu'j + 3 Kl, u'j + 3h K1
If we use four evaluations of f, then
we get the following Runge-Kutta
method.
(K1 + K2 + K3)
1
uj+1 = uj + hu'j + 3
(K1+2K2+2K3 + K4)
1
u'j+1 = u'j + 3h
2
f(tj,uj,u'j)
h
K1 = 2
( )
2
h h 1 1
K2 = 2 f tj+ 2 ,uj+ 2 hu'j,u'j + h K1
( )
2
h h 1 1 1
K3 = 2 f tj+ 2 ,uj+ 2 hu'j+ 4 K1,u'j + h K2
( )
2
h 2
K4 = 2 f tj+h,uj+hu'j+K3,u'j + h K3

5 4
The error is O(h ) in u j+1 and O(h )
in u j+1 .
Now. let the function f be
independent of u. then, the equation
u = f(t, u)is called the special
second order equation. The initial
value problem becomes
u"=f(t,u), t0 1 b
u(t0) = u0, u'(t0) = u'0
Consider the Runge-Kutta method
using 2 evaluations of f. since f u = 0,
we have from
uj = D fj + fj(fu)j
iv 2
2
Where D= t + u'j u and D
in suitably defined. Therefore, it is
possible to compare O(h 3 ) terms in
uj+1 and u(tj+1).

3
Comparing O(h ) terms we get two
more equations, besides the four
equations. We now have the
equations
1 2 2 2
W1 + W2 = 1, c2W2 = 3 , c2W*2 = 3 , 21, W*2 = 3
W*1 + W*1 = 2, c2W*2 = 1
This system uniquely determines the
six parameters. The solution is
c2 = 2 / 3, 2
21 = c2 = 4 / 9, W2 = 1 / 2, W1 = 1 / 2,
W*1 = 1 / 2, W*2 = 3 / 2
Therefore, the method is given by
(K1+K2)
1
uj+1 = uj + ju'j + 2
(K1+K2)
1
u'j+1 = u'j + + 2j
2
f(tj,uj)
h
K1 = 2
( )
2
h 2 2 4
K2 = 2 f tj + 3 h,uj + 3 hu'j + 9 K1
The error in both u j+1 and u j+1 is

4
O(h ).
The Runge Kutta method using four
evaluations is given by
(23K1 + 75K2 27K3 + 25K4)

1
uj+1 = uj + 96
(23K1 + 125K2 81K3 + 125K4)

1
u'j+1 = u'j + 96h
2
f(tj,uj)
h
K1 = 2
( )
2
h 2 2 4
K2 = 2 f tj+ 5 h,uj+ 5 huj+ 25 K1
( )
2
h 2 2 4
K3 = 2
f tj+ 3 h,uj+ 3 huj+ 9 K1
( )
2
f tj+ 5 h,uj+ 5 huj+ 25 (K1 + K2)
h 4 4 8
K4 = 2
The error in both u j+1 and u j+1 is

5
O(h ). This method is called the
Runge Kutta-Nystrom method.
Example 8.
The Runge-Kutta method is used for
solving the initial value problem
u = u
u(0) = 1, u (0) = 1 with step length

[ ] [ ]
uj+1 uj
h. Prove that =A where
u'j+1 u'j
A is a real 2x2 matrix
Complete the solution at t = 0.2 with
h = 0.1,
Compare with the exact solution u(t)

t
= e .
We have f(t, u, u ) = u. Therefore,
2 2
f(tj,uj,u'j) =
h h
K1 = 2 2 u'j
( )
2 2
h h h 1 K1
K2 = 2 tj + 2 , uj + 2 u'j + 4 K1, u'j + h
( ) ( ) (1 + )u'
2 2 2
h K1 h h h h
= 2 u'j + h = 2 u'j + 2 u'j = 2 2 j
f(t + , u + hu' + K , u' + )

2
h h 1 1 K2
K3 = 2 j 2 j 2 j 4 1 j h
( ) [u' + (1 + )u' ]
2 2 2
h K h h h
= 2 f u'j + 2 = 2 j 2 2 j
(1 + + )u'
2 2
h h h
=2 2 4 j

( )
2
h 2
K4 = 2 f tj + h,uj + hu'j + K3, u'j + h K53
( ) [ ( )u' ]
2 2 2
h 2 h h h
= 2 u'j + h K3 = 2 u'j+h 1+ 2 + 4 j
( )u'
2 2 3
h h h
= 2 1 + h+ 2 + 4 j
(K1+K2+K3)
1
uj+1 = uj + hu'j + 3
[ (1 + 2h )u'j + (1 + 2h + h4 )u'j]
2 2 2
1 h h
=uj + hu'j + 3 2 u'j + 2
( )u'
2 3 4
h h h
=uj + h+ 2 + 6 + 24 j
(K1+2K2+2K3+K4)
1
u'j+1 = u'j + 3h
[ ( )u'j + h2(1 + 2h + h4 )u'j + h2 (1 + h+ h2 + h2 )u'j]

2 2 2 2 3
1 h 2 h
=u'j + 3h 2 u'j + h 1 + 2
( )u'
2 3 4
h h h
= 1 + h+ 2 + 6 + 24 j
Therefore,
[ ][ ][ ]
uj+1 1 E(h) 1 uj
=
u'j+1 0 E(h) u'j
2 3 4
h h h
Where E(h) = 1 + h+ 2 + 6 + 24
[ ]
1 E(h)-1
A=
0 E(h)
The matrix A for h=0.1 becomes
[ ]
0 0.1051708
A=
0 1.1051708

For j=0,we have
u0 = u'0 = 1, t1 = 0.1|
[ ][ ][ ] [ ]
u1 1 0.1051708 1 1.1051708
= =
u'1 0 1.1051708 1 1.1051708
For j=1,we have

u1 = 1.1051708, u'1 = 1.1051708, t2 = 0.2
[ ][ ][ ] [ ]
u2 1 0.1051708 1.1051708 1.2214025
= =
u'2 0 1.1051708 1.1051708 1.2214025
t
The exact solution is u(t) = e and
the exact values at t = 0.2 are given
by
[ ][ ]
u2 1.2214028
=
u'2 1.2214028
Example 9.
u = (l+t 2 )u, u(0) = 1, u (0) = 0, t
[0, 0.4]
by the Runge-Kutta-Nystrom method
with h = 0.2. Compare with the exact
solution u(t) = e
t
2
/2
For j=0,we have
t0 = 0, u0 = 1, u'0 = 0
2
(1 + )u0 =
2 2
(0.2)
f(t0,u0) =
h h 2
K1 = 2 2 t0 2 (1 + 0) = 0.02
( )
2
h 2 2 4
K2 = 2 f t0 + 5 h,u0 5 hu'0 + 25 K1
[ ) ][u0 + 25 hu'0 + 254 K1]

2
(
2
h 2
= 2 1 + t0 + 5 h
2
[1 + (0.08) ][1 + 0 + ]
(0.2) 2 4
= 2 25 0.02
=(0.02)(1.0064)(1.0032) = 0.0201924
( )
2
h 2 2 4
K3 = 2 f t0 + 3 h,u0 + 3 hu'0 + 9 K1
[ ) ][u0 + 23 hu'0 + 49 K1]

2
(
2
h 2
= 2 f 1 + t0 + 3 h
2
[1 + (0.1333333) ][1 + 0 + (0.0201924)]

(0.2) 2 4
= 2 9
=(0.02)(1.0177778)(1.0089744) = 0.0205382
[ ]
2
h 4 4 8
25 ( 1
K4 = t0 + h,u0 + hu'0 + K +K2)
2 5 5
[ ( ) ][ ]
2 2
h 4 4 8
25 ( 1
= 1 + t0+ h u0 + hu'0 + K +K2)
2 5 5
[1 + (0.16) ][1 + 0 + 25 (0.0401924)]

(0.2) 2 8
=
2
=(0.02)(1.0256)(1.0128616) = 0.207758
1
96 (
u1 = u0 + hu'0 + 23K1 + 75K2 27K3 + 25K4)
1
96 [
= 23(0.02) + 75(0.201924) 27(0.205382))
+25(0.0207758)]

1
=1+
96
(1.9392936) = 1.0202010
1
96h (
u'1 = u'0 + 23K1 + 125K2 81K3 + 125K4)
[ ]
1 23(0.02) + 125(0.0201924) 81(0.205382)
=0+
96(0.2) +125(0.0207758)
1
=
19.2
(3.9174308) = 0.2040329
For j=1,we have
'
t1 = 0.2, u1 = 1.0202010, u 1 = 0.2040329
2
h
2
h
2
(0.2)
( ) [1 + (0.2) ](1.0202010)
2
2 ( 1 1)
2
K1 = f t ,u = 1 + t1 u1 =
2 2
= (0.02)(1.04)(1.0202010) = 0.0212202
( )
2
h 2 2 4
K2 = f t1 + h,u1 + hu'1 + K
2 5 5 25 1
[ ( ) ][u + 52 hu' + 254 K ]

2 2
h 2
= 1 + t1 + h 1 1 1
2 5
2
(0.2)
[1 + (0.28) ][1.0202010 + (0.08)(0.2040329) + (0.16)(0
2
=
2
=(0.02)(1.0784)(1.0399189) = 0.0224290
2
h 2 2 4
( (K1+K2))
2
h 4 4 8
K4 = 2 f t1 + 5 h,u1 + 5 hu'1 + 25
[ ( 4h 2
) ][u1 + 54 hu'1 + 258 (K1+K2)]
2
h
= 2 1 + t1 + 5
[1 + (0.36) ][1.0202010 + (0.16)(0.2040329) + (0.32)(0.0436492)]

(0.2) 2
= 2
=(0.02)(1.1296)(1.0668140) = 0.0241015
(23K1+75K2-27K3+25K4)
1
u2 = u1 + hu'1 + 96
[23(0.0212202) + 75(0.0224290) 27(0.0234853) + 25(0.0241015)]

1
=1.0202010+(0.2)(0.2040329) + 96
1
=1.0202010+0.0408066+ 96 (2.1386740) = 1.0832855)
(23K1 + 125K2 81K3 + 125K4)
1
u'2 = u'1 + 96h

=0.2040329+ 19.2 [23(0.0212201) + 125(0.0224290) 81(0.0234853) + 125(0.02410151)]
1
1
=0.2040329+ 19.2 (4.4020678) = 0.4333073
Therefore,we have
u(0.2) u1 = 1.0202010, u'(0.2) u'1 = 0.2040329,
u(0.4) u2 = 1.0832855, u'(0.4) u'2 = 0.4333073.
The exact solution is e

t
2
/ 2 The exact
values are given by
u(0.2) = 1.2020134 u'(0.2) = 0.20404027,

u(0.4) = 1.0832871, u'(0.4) = 0.43331484.

Unit -6
LINEAR EQUATIONS WITH

VARIABLE COEFFICIENTS
6.1 INTRODUCTION
A linear differential equation of order
n with variable coefficients is an
equation of the form
(n) (n-1)
0 (x) y + 1 (x) y + .. .+ n (x)
y = b (x),
Where 0 , 1 , ...., n , b are complex-
valued functions on some real
interval I. Points where 0 (x) = 0
are called singular points, and often
the equation requires special
consideration at such points.
Therefore in this unit we assume that

0 (x) 0 on I. By dividing by 0 we
can obtain an equation of the sample
form, but with 0 replaced by the
constant 1. Thus we consider the

(n)
equation. y + 1 (x)
(n-1)
y +...+ n (x) y = b(x).
As in the case when 1 , ......, n are
constants we designate the left side
by L(y). Thus
(n) (n-1)
L(y) = y + 1 (x) y + ... +
n (x)y,
If b(x) = 0 for all x on I we say
L(y) = 0 is a homogeneous equation,
whereas if b(x) 0 for some x in I,
the equation L(y) = b(x) is called a
non-homogeneous equation.
We give a meaning to L itself as an
operator which takes each function
, which has n derivatives on I, into
the function L() on I whose value at
x is given by
(n) (n-1)
L() (x) = (x) + 1 (x) (x)
+.... + n (x) (x).
Thus a solution of (1) on I is a
function on I which has n
derivatives there, and which satisfies
L() = b.
In this unit we assume that the
complex-valued functions 1 , .....,
n , b are continuous on some real
interval 1,.
Most of the results we developed for
the case when 1, ......, n are
constants continue to be valid in the
more general case we are now
considering. The major difficulty with
linear equations with variable
coefficients, form a practical point of
view, is that it is rare that we can
solve the equations, in terms of
elementary functions, such as the
exponential and trigonometric
functions. However, in case 1 , ... n ,
b have convergent power series
expansions the solutions will have
this property also, and these series
solutions can be obtained by a simple
formal process.
6.2 Initial value problems for the
homogeneous equation
Although in many cases it is not
possible to express a solution of (1)
in terms of elementary functions, it
can be proved that solutions always
exist.Theorem Let 1, .... n be
continuous functions on an interval 1
containing the point x 0 . If 1 , ...., n
are any n constants, there exists a
solution of
(n) (n-1)
L(y) = y + 1 (x) y + ... +
n (x) y = 0
On I satisfying
(x 0 ) = 1 , (x 0 ) = 2 , .....,
(n-1)
(x 0 ) = n .
We stress two things about this
theorem:
i. the solution exists on the entire
interval I where 1 ,..... n are
continuous, and
ii. every initial value problem has a
solution.
Neither these results may be true if

(n)
the coefficient of y vanishes
somewhere in I. For example,
consider the equation
xy + y = 0, whose coefficients are
continuous for all real x. This
equation and the initial condition y(l)
= 1 has the solution 1 , where
1
1(x) = x
But this solution exists only for 0 < x
< . Also, if is any solution, then
x (x) = c,
where c is some constant. Thus only
the trivial solution (c = 0) exists at
the origin, which imphes that the
only initial value problem
xy + y = 0, y(0) = 1 ,
which has a solution is the one for
which 1 = 0.
Just as in the case where the
coefficients j (j = 1, .... n) are
constants, the uniqueness of the
solution given in Theorem is
demonstrated with the aid of an
estimate for
2 2
|| (x) || = [ | (x) | + | (x) |
(n-1) 2 1/2
+ ... + | (x) | ] .
Theorem.
Let b1,. ...b n be non-negative
constants such that for all x in I.
| j (x) | b j , (j = 1, ...., n), and
define k by k = 1 + b 1 +.....+b n .
If x 0 is a point in I, and is a
solution of L(y) = 0 on I, then
e-k|x-x0|
|| (x 0 ) || || (x) || (x 0 )
k|x-x |
|| e 0 for all x in I.
Proof.
Since L() = 0 we have

(n)(x) n-1
= -1(x) (x) ....... n(x)(x),
and therefore
|( )(x)| _ | (x)||( )(x)| + ..... + | (x)||(x)|

n
1
n-1
1
b | (x)| + .... + b |(x)|

( )
n-1
1 n
_
We remark that if I is a closed
bounded interval, that is, of the form
x b with , b with , b real,
and if the j are continuous on I, then
there always exist finite constants b j
such that | j (x) | b j on I.
Theorem.
Let x 0 be in I and let 1 , ...., n be
any n constants. There is at most one
solution of L(y) = 0 on I satisfying

(n-1)
(x 0 ) = 1 , (x 0 )= 2 , ...,
(x 0 ) = n .
Proof.
Let , be two solutions of L(y) = 0
on I satisfying the conditions at x0,
and consider x = - .
We wish to prove (x) = 0 for all x on
I. Even though the functions j are
continuous on I they need not be
bounded there. However, let x be any

point on I other than x 0 , and let J be
any closed bounded interval in I

which contains x 0 and x. On this
interval the functions j are bounded,
that is,
| j (x) | b j , (j = 1, ...,n),
On J for some constants b j . which
may depend on J. Now we apply the
above Theorem to x defined on J. We
have L() = 0 on J, and || (x 0 ) || =
0. Therefore (2) implies that || (s)
|| 0. and hence (x) = (x). Since
chosen to be any point in I other than
x n . we have proved (x) = (x) for
all x on I.
6.3 solutions of the
homogeneous equation
If 1 ,... m are any m solutions of
the n-th order equation L(y) = 0 on
an interval I, and c 1 ,...., c m are any
m constants, then
L(c 1 l + ... + c m m ) = c 1 L( 1 ) +
...+ c m L( m ),
Which implies that c 1 1 + .. c m m
is also solution. In words, any linear
combination of solutions is again a
solution. The trivial solution is the

function which is identically zero on
I.
As in the case of an L with constant
coefficients, every solution of L(y) =
0 is a linear combination of any n
linearly independent solutions. Recall

that n functions 1 , ....., n defined
on an interval I are said to be linearly
independent if the only constants
c 1 ,..., c n such that c 1 1 (x)+ ....+
c n n (x) = 0 for all x in I are the
constants c 1 = c 2 =... =c n = 0.
We construct n linearly independent
solutions, and show, that every
solution is a linear combination of
these.
Theorem.
There exist n linearly independent
solutions of L(y) = 0 on I.
Proof.
Let x 0 be a point in 1. There is a
solution 1 of L(y) = 0 satisfying

(n-1)
1(x0) = 1, '1(x0) = 0, ....1 (x0) = 0
In general for each i = 1,2,..n there
is a solution i satisfying
(i-1) (i-1)
1 (x0) = 1, 1 (x0) = 0, ji
The solutions 1 ,......., n are linearly
independent on 1, for suppose there
are constants c 1 , c 2 , ..., c n such that
c11(x) + c22(x) + .... + cnn(x) = 0
for all x 1.Differentiating we see that

c1 '1(x) + C2 '2 + ... + Cn '2(x) = 0
c1 "1 (x) + C2 "2 (x) + ... + Cn "2 (x) = 0

(n-1) (n-1) (n-1)
c11 (x) + C22 (x) + ... + Cnn (x) = 0
for all x in I. In particular, the
equations must hold at x 0 . Putting x
= x 0 in we find, that c 1 1 + 0+ ... +
0 = 0, or c 1 = 0. Putting x = x 0 in the
equations we obtain c 2 = c 2 = ... = c n

= 0, and thus the solutions 1 ,.... n
are linearly independent.
Theorem.
Let 1 ,...... n be the n solutions of
L(y) = 0 on I satisfying initial
conditions. If is any solution of
L(y) = 0 on I, there are n constants
c 1 ....c n such that
= c 1 1 +.....+c n n .
Proof.
Let
(n-1)
(x 0 ) = 1 , (x 0 ) = 2 ,...., (x 0 )
= n,
And consider the function
(x 0 ) = 1 1 + 2 2 + ....+ n n
It is a solution of L(y) = 0, and
clearly
(x 0 ) = 1 1 (x 0 ) + 2 2 (x 0 ) + ....+
n n (x 0 ) = 1 .
Since
1 (x 0 ) = 1, 2 (x 0 ) = 0, ....., n (x 0 )
= 0.
Using the other relations in initial
conditions we see that

(n-1)
(x 0 ) = 1 , (x 0 ) = 2 ,...,
(x 0 ) = n .
Thus is a solution of L(y) = 0

having the same initial conditions at
x 0 as , By theorem the uniqueness,
we must have = , that is
= 1 1 + 2 2 + ....+ n n
Linear space of functions
A set of function which has the
property that, if 1 , 2 , belong to the
set, and c 1 , c 2 are any two constants,
then c 1 1 + c 2 2 belongs to the set
also, is called a linear space of
functions. We have just seen that the
set of all solutions on L(y) = 0 on
an interval I is a linear space of
functions. If a linear space of
functions contains n functions 1 ,
... n which are linearly independent
and such that every function in the
space can be represented as a linear
combination of these, then 1 ,...., n
is called a basis for the linear space*,
and the dimension of the linear space
is the integer n. the content of

Theorem 5 is that the functions
1 ,..... n satisfying the initial
conditions form a basis for the
solutions of L(y) = 0 on I, and this
linear space of functions has
dimension n.
CYP QUESTIONS
1 1
1. consider the equation y"+ x y'- 2 y=0
x
For x > 0.
a. Show that there is a solution

r
of the form x , where r is a
constant.
b. Find two linearly
independent solutions for x
> 0, and prove that they are
linearly independent.
c. Find the two solutions 1 , 2
satisfying
1 (1) = 1, 2 (1) = 0
1 (1) = 0, 2 (1) = 1
2. Find two linearly independent
solutions of the equation

2
(3x 1) y + (9x 3)y - 9y =
For x > 1/3. (Hint: x replaced by
3x-lv) in CYP QUESTIONS
3. Consider the equation
L(y) = y + 1 (x)y + 2 (x)y = 0,
Where 1 , 2 are continuous on
some interval I, and 1 has a
continuous derivative there.
a. If is a solution of L(y) = 0
let = u, and determine

a differential equation for u
which will make y the
solution of an equation in
which the first derivative
term is absent.
b. Solve this differential
equation for u.
c. Show that will then satisfy
the equation
y + (x)y = 0,
2 2
1 1
where =2 4 2
6.4 THE WRONSK1AN-AND

LINEAR INDEPENDENCE
In order to show that any set of n
linearly independent solutions of L(y)
= 0 can serve as a basis for the
solutions of L(y) = 0, we consider the

Wronskian W( 1 , ....., n ) of any n
solutions 1 ...... n . Recall that this
is defined to be the determinant
| |
1 2 ... n
'1 '2 ... 'n

( )
W 1, ..., n =

(n-1) (n-1) (n-1)
1 2 ... 1
Theorem.
If 1 ,..., n are n solutions of L(y) =
0 on an interval I, they are linearly
independent there if, and only if,
( )
W 1, ...n (x) 0
W( 1 , ...., n ) (x) 0 for all x in I.

Proof.
First suppose W( 1 ,..., n ) (x) 0
for all x in I. If there are constants
c 1 ,..., c n such that c 1 1 (x) + .... +
c n n (x) = 0 for all x in I, then clearly
c1 '1(x) + ... + cn 'n(x) = 0

.
.
.
(n-1) (n-1)
c11 (x) + ... + cnn (x) = 0
for all x in I. For a fixed x in I the
equations are n linear homogeneous
equations satisfied by c 1 , ...c n . The
determinant of the coefficients is just
W( 1 , ..., n ) (x), which is not zero.
Hence there is only one solution to

the system, namely
c 1 =c 2 = ... = c n = 0.
Therefore 1 ,..., n are linearly
independent on I.
Conversely, suppose 1 , .... n are
linearly independent on 1. Suppose
there is an x 0 in I such that
W( 1 , .... n ) (x 0 ) 0.
Then this implies that the system of
n linear equations
c11(x0) + ... + cnn(x0) = 0
c1 'n(x0) + ... + cn 'n(x0) = 0

.
.
.
(n-1)
(x0) + ... + cn(n )(x0) = 0
n-1
c11
has a solution c 1 , ...., c n , where not
all the constants c 1 , ...,c n are zero.
Let c 1 ,..., c n be such a solution, and
consider the function
= c 1 1 +....+c n n .
Now L() = 0, we see that
(n-1)
(x 0 ) = 0, '(x 0 ) = 0, (x 0 ) = 0.
From the uniqueness theorem it
follows that (x) = 0, for all x in I,
and thus
c 1 1 (x)+....+c n n (x) = 0
for all x in I. But this contradicts
the fact that 1 , ... n are linearly
independent on I. thus the
supposition that there was a point x 0
in 1 such that
W( 1 , ... n ) (x 0 ) = 0 must be false.
We have consequently proved that
W( 1 , ... n )(x) 0 for all x in I.
Theorem.
Let 1, ... n be n linearly
independent solutions of L(y) = 0 on
an interval I. If is any solution of
L(y) = 0 on I, it can be represented
in the form
= c 1 1 + .... + c n n .
Where c 1 ....c n are constants. Thus
any set of n linearly independent
solutions of L(y) = 0 on I is a basis
for the solutions of L(y) = 0 on I.

Proof.
Let x 0 be a point in I, and suppose
(x 0 ) = 1, '(x 0 ) = 2,
(n-1)
..., (x 0 ) = n .
We show that there exist unique
constants c 1 , ...c n such that
= c 1 1 + ...+ c n n is a solution of
L(y) = 0 satisfying
(n-1)
(x 0 ) = 1 , (x 0 ) = (x 0 ) = n .
By the uniqueness result we then
have = , or
= c 1 1 + ...+ c n n .
The initial conditions for vp are
equivalent to the following equations
for c 1 .....c n :
c11(x0) + ... + cnn(x0) = 1
c1 '1(x0) + ... + cn 'n(x0) = 2

(n-1)
(x0) + ... + cn(n )(x0) = n
n-1
c11
This is a set of n linear equations
for c 1 , ..., c n . The determinant of
the coefficients is W( 1 ,..... n ) (xo),
which is not zero since 1 ,.... n are
linearly independent. Therefore there
is a unique solution c 1 , ...,c n of the
equations, and this completes the
proof.
Theorem.
Let 1 ,.... n be n solutions of L(y) =
0 on an interval I, and let x 0 be any
point in I. Then
( ) [ ] ( )
z
W 1, ....n (x) = exp 1(t)dt W 1, ....n (x0)
z0
Proof.
We first prove this result for the
simple case n = 2, and then give
a proof which is valid of general n.
The latter proof makes use of some
general properties of determinants.
Proof for the case n = 2. In this case
( )
W 1, 2 = 1 '2 '12,
and therefore
( )
W' 1, 2 = '1 '2 + 1 "2 "1 2 '1 '2
= '1 "2 "1 2
Since 1, 2 satisfy y"+1(x)y'+ 2(x)y=0, we get
"1 = 1 '1 21,
"2 = 1 '1 22
Thus
( ) (
W' 1, 2 = 1 1 '2 22 ) ( ' )
1 1 2 2 2
(
= 1 1 '2 ' ) = W( , )
1 2 1 1 2
We see that W( , )satisfies the linear first order equation

1 2
y'+1(x)y=0
and hence
( ) [ ]
z
W 1, 2 (x) = c exp 1(t)dt
z0
Where c is a constant. By putting x = x0, we obtain
( )
c=W 1, 2 (x0),
thus proving in case n = 2.
Proof for a general n. We let W = W
( 1 , ...., n ) for brevity. From the
definition on W as a determinant it
follows that its derivative W is a sum
of n determinants
W = V 1 +... + V n ,
Where V k differs from W only in its
k-th row, and the k-th row of V k is
obtained by differentiating the k-th
row of W. Thus
[ ][ ]
'1 ... 'n 1 ... n
'1 ... 'n "1 ... "n
W "1 ... "n + "1 ... "n

(n-1) (n-1) (n-1) (n-1)
1 ... n 1 ... n
[ ]
1 ... n
'1 ... 'n
+... + "1 ... "n

(n) (n)
1 ... n
The first n 1 determinants V 1 ,...,
V n-1 are all zero, since they each
have two identical rows. Since 1 ,

..., n are solutions of L(y) = 0 we
have
(n) (n-1)
i = 1i ...... ni, (i=1,....,n),
and therefore
[ ]
1 ... n
'1 ... 'n

W'=
(n-2) (n-2)
i ... n

n-1

n-1
(i ) (i )
n-j1 ... n-jn
j=0 j=0
The value of this determinant is
unchanged if we multiply any row by
a number and add to the last row.
We multiply the first row by n , the
second by n-1 ,..., the (n-1)st row by

2 , and add these to the last row,
obtaining
| |
1 ... n
'1 ... 'n
W'=
(n-2) (n-2)
i ... n
(n-1) (n-1)
-11 ... -1n
Therefore W satisfies the linear first
order equation y + 1 (x) y = 0, and
thus
[ ]
z
W(x) = exp 1(t)dt W(x0)
z0
A consequence of the above theorem
is that n solutions 1 ,.... n of

L(y) 0
On an interval I are linearly
independent there if and only if
W( 1 ,....., n )(x 0 ) 0 For any
particular x 0 in I.
CYP QUESTIONS
L(y) = y + 1 (x)y + 2 (x)y = 0,
Where 1 , 2 are continuous on
some interval I. Let 1 , 2 be
two bases for the solution of L(y)

= 0. Show that there is a non-
zero constant k such that
W( 1 , 2 ) (x) = kW( 1 , 2 ) (x).

y + (x)y = 0, where a is a
continuous function on - < x <
which is of period > 0. Let be
basis for the solutions satisfying
1 (0) = 1, 2 (0) = 0,
1 (0) = 0, 2 (0) = 1,
a. show that W( 1 , 2 ) (x) = 1
for all x.
show that there is at least
one non-trivial solution of
period , if, and only if,
1 () + 2 () = 2.
b. Show that there exists a
non-trivial solution
satisfying
(x + ) = - (x)
If, and only if,

1 () + 2 () = -2.
(Hint: show that such a
exists if, and only if,
() = -(0) and () = -
(0).
c. If 1 () + 2 () = -2 show
that there exists a non-
trivial solution of pet d 2.
3. a. Let be a real-valued non
trivial solution of
y + (x)y = 0 on < x
< b, and let be a real-
valued non-trivial solution of
y + (x)y = 0 on a < x
< b. Hence , are real-
valued continuous functions.
Suppose that
(x) > (x), ( < x < b).

Show that if x 1 and x 2 are
successive zeros of on <
x < b, then must vanish
at some point , x 1 < <
x 2 . (Hint: Suppose x) > 0
for x 1 < x < x 2 , and assume
(x) > 0 for x 1 < x < x 2 .
Then
( - ) = -
= ( - ), and an
integration yields
(x 2 ) (x 2 ) (x 1 ) (x 1 )
> 0,
Since (x 1 ) = (x 2 ) = 0.
Show that (x 2 ) < 0 and
(x 1 ) > 0)
b. Show that any solution of

y + xy = 0 on 0 < x <
has an intinity of zeros
there. (Hint: Consider the
equation y + y = 0, and use
(a) with a(x) = 1, (x) = x,
(x) = cos x.)
4. Let and be two real-valued
linearly independent solutions of
y + (x)y = 0
On < x < b. where is a real-
valued. Show that between any
two successive zeros of there
is a zero of . (Hint: Suppose)
(x 1 ) = (x 2 ) = 0, and (x) > 0
for x 1 x x 2 .
Let x = /, and show that
( )
(
-W , )
x'= , x1 x x2

2
_ _
Apply Rolled theorem to x on x 1
x x 2 . Note that and cannot
vanish simultaneously for W(,
) (x) 0.)
5. One solution of
1
L(y) = y"+ 2 y=0
4x
1/2
For x > 0 is (x) = x . Show
that there is another solution
of the form = u, where u
is some function. (Hint: Try to
find u so that L(u) = 0. This
is a variation of the variation of
constants idea.)
y + (x)y = 0, where is a real-
valued continuous function on 0
< x < .
a. If (x) for 0 < x < ,
where e is a positive
constant, show that every
solution has an infinity of
zeros on 0 < x < .
y + (x)y = 0. where a is a real-
valued continuous function for
< x < b.
a. If is a non-trivial solution
which has a zero at x 0 , show
that (x 0 ) 0.
b. Show that the zeros of a
non-trivial solution are
isolated, that is, if (x 0 )=0,
there is no sequence of
distinct x n x 0 , (n ), such
that (x n ) = 0.
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(n) (n-1)
0 = u1( ) (
+ 1 u1 ) ( )
+ .... + n-1 u1 '+n u1 ( )
(n)
=u( )1 + ... + u1 + 1u( )1 + .... + 1u1( ) + .... + n-1u'1 + n-1u '1 + 1u1
n n-1 n-1
The coefficient of u in this equation is

=
just L( 1 ) 0. Therefore, if v = u,
this is a linear equation of order n 1
in v,
1v(
n-1)
+ .... + n1 [ (n-1)
+ (n-1)1
(n-2)
]
+ ... + n-11 v=0 (1)
(n-1)
The coefficient of v is 1 , and
hence if 1 (x) 0 on an interval
I this equation has n 1 linearly
independent solutions v 2 ,...,v n on I.
If x 0 is some point in I, and

x
uk(x) = vk(t)dt, (k=2,....n)
x0
then we have u k = v k and the
functions
1, u21, ...., un1 (2)

are solutions of L(y) = 0. Moreover
these functions from a basis for the
solutions of L(y) = 0 on I. For
suppose we have constants
c 1 ,......,c n such that
c 1 1 +c 2 u 2 1 + ... + c n u n 1 ] = 0.
Since 1 (x) 0 on I this implies
c 1 + c 2 u 2 + ... + c n u n = 0, and
differentiating we obtain c 2 u 2 + ... +
c n u n = 0, or c 2 v 2 + ... + c n v n = 0.
Since v 2 ,..., vn are linearly
independent on I we have c 2 = c 3
=...= c n = 0, and we obtain c 1 = 0
also. Thus the functions in (2) form a
basis for the solutions of L(y) = 0 on
1.
Theorem.
Let 1 be a solution of L(y) = on an
interval I, and suppose 1 (x) 0 on
I. If
v 2 .....,v n is any basis on I for the
solutions of the linear equation (1) of
order n 1, and if
vk = u k (k = 2,...,n), then
1 ,u 2 1 ,......,u n 1 is a basis for the
solutions of L(y) = 0 on I.
The case n = 2 of the theorem merits
further discussions, since in this case
the equation for v is linear of the first
order, and therefore can be solved
explicitly. Here we have
L(y) = y + 1 (x)y + 2 (x)y = 0, and
If 1 is a solution on I we have
+
L(u 1 ) = (u 1 ) + 1 (u 1 ) 2
(u 1 )
= u 1 + 2u 1 + u 1 + 1 u
1 + 1 u 1 + 2 u 1
= u 1 + u(2 1 + 1 1 ).
Thus, if v = u, and u is such that
L(u 1 ) = 0,
'
( '
1v + 2 + 11 v = 0.
1 ) (2a)
But this equation is a liner equation

of order one, and can always be
solved explicitly provided 1 (x) 0
on I. Indeed v satisfies
2 '
( '
1v + 21 + 11 v = 0.
1 )
2 (3)
Which is just the previous equation
multiplied by 1 . Thus
( ) ( )
2 ' 2
1v + 1 1v = 0,
Which implies that,
[ ]
2 x
1(x)v(x) = c exp 2(t)dt ,
x0
Where x 0 is a point in I, and c is a
constant. Since any constant multiple
of a solution of (3) is again a
solution, we see that
[ ]
1 x
v(x) = 2 exp 1(t)dt
[ 1(x) ] x0
is a solution of (3), and also of (2a).
Therefore tow independent solutions
of
" '
L(y) = y + 1(x)y + 2(x)y = 0 (4)
On I are 1 and 2 , where
[
x
1
[ ]
s
2(x) = 1(x) 2 exp 1(t)dt ds. (5)
x0
1(s) ] x0
Theorem.
If 1 is a solution of (4) on an
interval I, and 1 (x) 0 on I, a
second solution 2 of (4) on I is
given by (5). The functions 1 , 2
form a basis for the solutions of (4)
on I.
As a simple example consider the
equation
" 2
y 2
x
y = 0, (0 < x< ).
It is easy to verify that the 4) given
2
by 1 (x) = x is a solution on 0 <
x < , and since this function does
not vanish on this interval there is
another independent solution 2 of
the form 2 = u 1 . If v = u we find
that v satisfies
2
x v + 4xv 0, or xv + 4v = 0.
A solution for this is given by
4
v(x) = x (0 < x <)
and therefore a choice for u is
1
u(x) = 3 , (0 < x <)
3x
This leads to
1
2(x) = 3x , (0 < x < ),
But since any constant times a
solution is a solution, we may as well
choose for a second solution 2 (x) =

-1 2 -1
x . Thus x , x form a basis for the
solutions on
0 < x < .
CYP QUESTIONS
1. A differential equation and a
function 1 are given in each of
the following. Verify that the
function 1 satisfies the
equation, and find a second
independent solution.
2
a. x y - 7xy + 15y = 0, 1 (x)
2
= x , (x > 0).
b. 2
x y - xy + y = 0, 1 (x)
= x, (x > 0).
( )
2
" ' 2 x
c. y 4xy + 4x 2 y = 0, 1(x) = e
d. xy - (x + 1)y + y = 0,
x
1 (x) = e , (x > 0).
2
e. (1 x ) y - 2xy + 2y = 0,
1 (x) = x, (0 < x < 1).
f. y - 2xy +2y = 0, 1 (x) = x,
(x>0).
2. One solution of
3 2
x y - 3x y + 6xy - 6y = 0 for
x > 0 is 1 (x) = x. Find a basis
for the solutions for x > 0.
L(y) = y + 1 (x)y + 2 (x)y +
3 (x)y = 0.
Suppose 1, 2 are given
linearly independent solutions of
L(y) = 0.
a. Let = u 1 , and compute
the equation of order two
satisfied by u in order, that
L() = 0. Show that ( 2 / 1 )
is a solution of this equation
of order two.
b. Use the fact that ( 2 / 1 )
satisfied the equation of
order two to reduce the
order of this equation by
one.
4. Two solutions of
2
x y - 3xy + 3y = 0, (x > 0),
2
are (x) = x, 2 (x) = x . Use
this information to find a third
independent solution. (Hint: See
question 3)
y + 1 (x)y + 2 (x) y = 0, where
1 , 2 are continuous on some
interval I containing x 0 . Suppose
1 is a solution such that 1 (x) 0
for all x in I.
a. Show that there is a second
solutions 2 on I such that

W( 1 , 2 )(x 0 )=l.
b. Compute such a 2 terms of
1 , by solving the first order
equation
[ ]
(x) (x)2(x) = exp x 1(t)dt .
' ' x
1(x)
2 1 0
For 2.
6.6 THE NON-HOMOGENEOUS

EQUATION
Let 1 ,...., n, b be continuous
functions on an interval 1, and
consider the equation

(n) (n-1)
L(y) = y + 1 (x)y + ... + n (x)
y = b(x).
We have already seen that, in the
case where the k are all constants,
this equation may be solved using
the variation of constants method.
The method does not depend on the
fact that the are constants, and is
therefore valid for the above
equation. We outline briefly the
results.
If vgp is a particular solution of the
above equation, any other solution
has the form
= p + c 1 1 + ... +c n n ,
Where c 1 , ... c n are constants, and 1
..., 2 ) n is a basis for the solutions
of L(y) = b(x). A particular solution
of the above equation, any other
solution has the form
= p + c 1 1 + ... +c n n ,
Where c 1 , ..., c n are constants, and
1 ,..... n is a basis for the solutions
of L(y)
= 0. Every such is a solution of
L(y) = b(x). A particular solution p
can be found which has the form
p = u 1 1 + ... +u n n .
Where u 1 ,.... un are functions
satisfying u l 1 + ... + u n n ) n = 0
u 1 1 + ... + u n n = 0
' (n-2) ' (n-2)
u 1 + .... + u n =0
1 n
' (n-1) ' (n-1)

u 1 + .... + u n = b.
1 n
If x 0 is any point of I we may take for
u k the function given by
wk(t)b(t)
uk(x) = dt
x0
(
W 1....n (t)) (k = 1,.....,n),
and then p has the form

n
x
wk(t)b(t)
p(x) = k(x) dt (1)
x0
(
W 1....n (t) )
k=1
Here W( 1 ,......, n ) the Wronskian
of the basis 1 ....., n , and Wu is
the determinant obtained from
W( 1 ,.... n ) by replacing the k-th
column ( k ,
( (n-1)
'
k, , ......, k by (0, 0, ...., 0, 1).
k
Theorem.
Let be continuous on an interval I
and let 1 ,.... n be a basis for the
solutions of L(y) = 0 on 1. Every
solution of L(y) = b(x) can be
written as
= p +c 1 1 + ... + c n n ,
where p is a particular solution of
L(y) = b(x), and c 1 , ..., c n are
constants.
Every such y is a solution of L(y) =

b(x). A particular solution p is given
by (1).
Illustration.
As an illustration let us find all
solutions of the equation

" 2
y
x
2 y = x, ( 0 < x < ) .
We have already seen that a basis
for the solutions of the homogeneous
equation is given by
2 -1
1 (x) = x . 2 (x) = x .
A solution p of the non-
homogeneous equation has the form
2 -1
p = u1x + u2x .
-1
Where u 1 , u 2 satisfy x 2 u 1 + x u 2
= 0
-2
- 2xu 1 x u 2 = x.
Now W( 1 , 2 ) (x) = -3. and we find
that
3
' 1 ' x
u (x) = 3 u (x) = 3 .
1 2
For u 1 ,u 2 we may take
|
4
x x
u1(x) = 3, u2(x) = 12
and from we see that
3 3 4
x x x
p(x) = 3 12 = 4
Every solution of then has the form
3
x 2 1
(x) = 4 + c1x + c2x ,
Where c 1 , c 2 are constants.
Since we can always solve the non-
homogeneous equation L(y) = b(x)
by using algebraic methods and an
integration, we now concenirate our

attention on methods for solving the
homogeneous equation.
CYP QUESTIONS
1. One solution of
2
x y - 2y = 0
2
On 0 < x < is 1 (x) = x . Find
2
all solutions of x y - 2y = 2x
1 on 0 < x < .
2. One solution of
2
x y - xy + y = 0, (x > 0), is
1 (x) = x. Find the solution

2 2
of x y - xy + y = x satisfying
(1) = 1, (1) = 0.
3. a. Show that there is a basis
1 , 2 for solutions of
2 2
x y + 4xy + (2+ x ) y = 0,
(x > 0), of the form

1(x) 2(x)
1(x) = 2 , 2(x) = 2 .
x x
(Hint: If is a solution, let
2
= v/x .)
b. Find all solutions of

2 2 2
x y + 4xy + (2 + x )y = x
for x > 0.
4. a. Consider the equation
L(y) = y + 1 (x)y + 2 (x)y
= b(x),
Where 1, 2, b are
continuous on some interval
I. Suppose 1 is a solution
of L(y) = 0 such that 1 (x)
0 for all x in I. Show that
there is a particular solution

p of L(y) = b(x) of the form
p = v p 1 , where p = u p
is a particular solution of the
first order equation
1 (x) + [2 1 (x) +
1 (x) 1 (x)] = b(x).
b. Use the idea in (a) to find all

2
solutions of x y - xy + y
2
= x for x > 0. (Hint: From
Question 2 one solutions of
x 2 y - xy + y = 0 is given by
1 (x) = x.)
5. Show that the function p given
by
p(x0) = ( x0) = ... = p( )(x0) = 0.

' n-1
p
6. Let g(x, t) be defined by

n k(x)Wk(t)
g(x,t) = W(t)
,
k=1
where W = W( 1 , ....., n ) is
the Wronskian of n linearly
independent solutions of L(y) =
0. Then the p of (1) can be
written as

x
p(x) = g(x,t) b(t) dt.
x0
k(x,t)
Prove that g(x,t) = W(t)
,
where
| |
1(t) 2(t) n(t)
' ' '
i. (t) ( t) ( t)
1 2 n
k(x,t) =
(n-2) (n-2) (n-2)
1 ( t) 2 ( t) n ( t)
1(x) 2(x) n(x)
ii. Show that

n-2 n-1
g g g
g(t,t) = 0, x (t,t) = 0, ...., n-2 (t,t) = 0, n-1 (t,t) = 1.
x x
y + y = b(x), where b is a
continuous function on 1 x <
satisfying

|b(t)| dt < .

1
a. Show that a particular
solution p is given by
sin(x-t)b(t) dt.
x
p(x) =
1
b. Show that any solution is
bounded on 1 x < .
6.7 HOMOGENEOUS EQUATIONS

WITH ANALYTIC COEFFICIENTS
If g is a function, defined on an
interval I containing a point x 0 , we
say that g is analytic at x 0 if g can
be expanded in a power series about
x 0 which has a positive radius of
convergence. Thus g is analytic at x 0
if it can be represented in the form

k
g(x) = ck(x-x0) ,
k=0
where the c k are constants, and the
series converges for |x x 0 | < r 0 , r 0
> 0. Recall that one of the important
properties of a function g which has
the above form, where the series
converges for |x x 0 | < r 0 , is that
all of its derivatives exist on |x
x 0 | < r 0 , and they may be computed
by differentiating the series term by
term. Thus, for example

k-1
kck(x-x0)
'
g (x) = ,
k=1
and

k-2
k(k-1)ck(x-x0)
"
g (x) = ,
k=2
and the differentiated series
converge on |x x 0 | < r 0 also.

If the coefficients 1 , ..., n of L are
analytic at x 0 it turns out that the
solutions are also. In fact solutions
can be computed by a formal
algebraic process.
Illustration.
We illustrate by considering the
example L(y) = y - xy = 0.
Here 1 (x) = 0, 2 (x) = -x, and
hence 1 , 2 are analytic for all real
x 0 . We try for a solution the series

2
(x) = c0 + c1x + c2x + .....
" 2
Then (x) = 2c2 + 3.2c3x+4.3c4x + ...
k=0 (k+2)(k+1)ck + 2 2k.

=
Also
k=1 ck-1xk,
2 3
x(x) = c0x+c1x + c2x + ....... =
(x) x(x) = 2c2+k=1

[(k+2)(k+1)ck+2 ck+1]x .
" k

In order for to be a solution of L(y)
= 0 we must have
(x) - x(x) = 0,
Or

[(k+2)(k+1)ck+2 ck+1]x
2c2 + k
k=1
= 0,
And this is true only if all the
coefficients of the powers of x are
zero. Thus
2c 2 = 0, (k + 2) (k + 1) c k+2 c k-1
= 0, (k=l,2,....)
This gives an infinite set of
equations, which can be solved for
the c k . Thus, for k = 1, we have
c0
3.2c3 = c0, or c3 = 3.2 .
Putting k = 2 we find
c1
c4 = 4.3
Continuing in this way we see that

c4 c2 c0 c4 c1
c5 = 5.4 = 0, c6 = 6.5 = 6.5.3.2 , c7 = 7.6 = 7.6.4.3
It can be sown by induction that
c0
c3m = 2.3.5.6...(3m-1)3m
, (m=1,2,...),
c1
c3m+1 = 3.4.6.6.7...3m(3m+1)
, (m=1,2,...),
c3m+2 = 0, (m=0,1,2,...),
Thus all the constants are determined
in terms of c 0 and c 1 . Collecting
together terms with c 0 and c 1 as a
factor we have
[ ] [ ]
3 6 4 7
x x x x
(x) = c0 1 + 3.2 + 6.5.3.2 + ... + c1 x+ 4.3 + 7.6.4.3 + ... .
Let 1 , 2 represent the two series in
the brackets. Thus

3m
x
1(x) = 1 + 2.3.5.6...(3m-1)3m
,
m=1
(x) = x +
3m+1
x
2 3.4.6.7...3m(3m+1)
.
m=1
We have shown, in a formal way,
that satisfies y - xy = 0 for any
two constants c 0 , c 1 . In particular
the choice c 0 = 1, c 1 = 0 shows
that satisfies this equation, and the
choice c 0 = 0, c 1 = 1 implies 2 also
satisfies the equation.
The only question that remains
concerns the convergence of the
series defining (x) and 2 (x). It is
readily checked by the ratio test that
both series converge for all finite x.

Example.
Let us consider the series for 1 (x).
Writing it as

1(x) = 1 + dm(x),
m=1
We see that
dm+1(x) x
3m+3
2.3.5.6...(3m-1)(3m)
=
dm(x) 2.3.5.6...(3m-1)(3m)(3m+2)(3m+2) x
3m
and therefore
| |
3
dm+1(x) |x|
dm(x)
= (3m+2)(3m+3)
Which tends to zero, as m ,
provided only that | x | < .
Summarizing, we have found in a

purely formal way two series, which
are convergent for all finite x, and

thus represent two functions 1 , 2 ,
and from the way we obtained 1 , 2
it is apparent that they are solutions
of the equation y - xy = 0 on - <
x < . They are linearly independent
solutions for it is clear from series

(1) defining 1 and 2 that
1 (0) = 1, 2 (0) = 0,
1 (0) = 0, 2 (0) = l, and therefore
W( 1 , 2 ) (0) = 1 0.
The method illustrated by this
example works in general when the
coefficients are analytic, and always
yields a convergent power series
solution for any initial value problem.
We state this result formally.

Theorem.
(Existence Theorem for Analytic
Coefficients) Let xo be a real number,
and suppose that the coefficients
1 ,..., n in
(n) (n-1)
L(y) = y + 1 (x) y + ... +
n (x) y have convergent power series
expansions in powers in powers of x
0 on an interval
|x x 0 )| < r 0 . r 0 > 0.
If 1 ...... n are n constants, there
exists a solution of the problem
(n-1)
L(y) = 0, y(x 0 ) = 1 , .... y (x 0 )
= n,
With a power series expansion

k
(x) = ck(x-x0)
k=0
Convergent for |x x 0 ) < r 0 . We
have k! c k = k+1 , (k = 0,1, ....,n
1), and ck for k n may be
computed in terms of c 0 c 1 , ....,
c n-1 by substituting the series (2) into
L(y) = 0.
It follows from Theorem and the
uniqueness Theorem, that any
solution of L(y) = 0 on |x x 0 |
< r 0 has a Convergent power series
expansion there of the form (2).
CYP QUESTIONS
1. Find two linearly independent
power series solutions (in powers
of x) of the following equations:

a. y - xy + y = 0
2
b. y + 3x y - xy = 0
2
c. y - x y = 0
2 2
d. y + x y + x y = 0
e. y + y = 0
For what values of x do the
series converge?
2. Find the solution of

2
y + (x 1) y - (x 1) y = 0 in
the form

k
1(x) = ck(x-1) ,
k=0
Which satisfies (1) = 1, (1) =
0.. (Hint: Let x 1 =
3. Find the solution of

2
(1 + x ) y + y = 0 of the form
k=0
k
(x) = ckx ,
Which satisfies (0) = 0, (0)
= 1.
What is the largest r > 0 such

that the series for converges
for |x| < r?
4. The equation
x
y + e y = 0 has a solution of
the form
k=0
k
(x) = ckx
Which satisfies (0) = 1, (0)
= 0. Compute c 0 , c 1 , c 2 , c 3 , c 4 ,
(k)
c 5 . (Hint: (0)/k! and (x) =
x
-c (x))
5. Compute the solution of
y - xy = 0 which satisfies (0)
= 1, (0) = 0, (0) = 0.
6. The equation
2
(1 - x )y -2xy + (+l)y = 0
Where a is a constant, is called
the Legendre equation.
a. Show that if it is written in
the form
y + 1 (x)y + 2 (x)y = 0,
then 1 , 2 have convergent
power series expansions (in
powers of x) on |x| < 1.
b. Compute two linearly
independent solutions for |x|
< 1. (Hint: Leave the
equation in the form (*).)
c. Show that if is a non-
negative integer n there is
a polynomial solution of
degree n.
7. The equation
2 2
(1 x )y - xy + y = 0,
Where is a constant, is called
the Chebysheve equation,
a. Compute two linearly
independent series solutions
for |x| < 1.

b. Show that for every non-
negative integer = n there
is a polynomial solution of
degree n. When
appropriately normalized
these are called the
Chebyshev polynomials.
8. The equation
y - 2xy + 2y = 0, where is
a constant, is called the Hermite
equation.
a. Find two linearly
independent solution on -
< x < .
b. Show that there is a
polynomial solution of
degree n, in case = n is a
non-negative integer.
c. Show that the polynomial H n
defined by
n x2 dn 2
2
Hn(x) = ( 1) e n e
dx
Is a solution of the Hermit
equation in case = n is
a non-negative integer. This
solution H n is called the n-th
Hermite polynomial. (Hint: If

2
x
u(x) = e show that u (x) +
2xu(x) = 0. Differentiate this
equation n times to obtain
show that u(x) + 2xu(x) =
0. Differentiate this equation
n times to obtain
Hn+1(x) = 2xHn(x) + 2nHn-1(x) = 0 (*)
For n 1. Differentiate H n to
obtain
'
H (x) = 2xHn(x)-Hn+1(x) (* *)
n
For n 0. Use (*) and (**)
to show H n is a solution of
the Hermite equation)
9. Compute H 0 , H 1 , H 2 , H 3 .
6.8. THE LEGENDRE EQUATION

Some of the important
differential equations met in
physical problems
are second order liner equations with
analytic coefficients. One of these is
the Legendre equations.
2
L(y) = (1 x )y - 2xy + ( + 1)
y = 0, where a is a constant. If we
write this equation as

" 2x ' (+ 1)
y 2 y + 2 y = 0,
1x 1x
we see that the functions 1 , 2 given
by
2x (+ 1)
1(x) = 2 , 2(x) = 2
1x 1x
are analytic at x = 0. Indeed,

1 2 4 2k
2 = 1 + x + x + .... = x ,
1-x k=0
and this series converges for |x| <
1. Thus 1 and 2 have the series
expansions
k=0 ( 2)x k=0 (+1)x2k,
2k+1
1(x) = , 2(x) =
which converge for |x| < 1. The
previous theorem it follows that the
solutions of L(y) = 0 on |x| < 1 have
convergent power series expansions
there. We proceed to find a basis for
there solutions.
Let be any solution of the Legendre
equation on |x| < 1, and suppose
k=0 ckxk.

(x) = c0 + c1x+c2x2 + .... =
We have

' 2 k-1
(x) = c1 + 2c2x+3c3x + ... + kckx ,
k=0

' k
-2x (x) = -2kckx ,
k=0
(x) = 2c2 + 3.2c3x+...=k=0

" k-2
k(k-1), ckx ,
(x) = k=0
2 " k
x -k(k-1)ckx .
Note that (x) may also be written
as
(x) = k=0
" k
(k+2)(k+1)ck+2x .
We obtain
We obtain
()(x) = (1 x2)
" '
(x) 2x (x) + (+1)(x)

[(k+2)(k+1)ck+2 k(k-1)ck 2kck + (+1)ck]x
k
=
k=0

[(k+2)(k+1)ck+2+ (+k+1)(+k)ck]x .
k
=
k=0
For to satisfy L() = 0 we must
have all the coefficients of the
powers of x equal to zero. Hence
(k + 2) (k + 1) c k+2 + ( + k + 1) (
- k) c k = 0,
(k = 0,1,2,...).
this is the recursion relation which
gives c k+2 in terms of c k . For k = 0
we obtain
(+1)
c2 = 2 c0,
and for k = 1 we get

(+2)(-1)
c3 = 3.2 c1.
Similarly, letting k = 2, 3 in we
obtain
(+3)(-2) (+3)(+1)(-2)
c4 = 4.3 c2 = 4.3.2 c0,
(+4)(-3) (+4)(+2)(-1)(-3)
c6 = 5.4 c3 = 5.4.3.2
The pattern now becomes clear, and

it follows by induction that for m = 1,2,
(+2m-1)(+2m-3)...(+1)(-2)...(-2m+2)
c2m = ( 1)m (2m) !
c0,
(+2m)(+2m-2)...(+2)(-1)(-3)...(-2m+1)
c2m+1 = ( 1)m (2m+1) !
c1.
All coefficients are determined in
terms of c 0 and c 1 , and we must have
(x) = c01(x) + c12(x)
Where
(+1) 2 (+3)(+1)(-2) 4
1(x) = 1 2! x + 4! x ....,
Or

m (+2m-1)(+2m-3)...(+1)(-2)....(-2m+2) 2m
1(x) = 1 + ( 1) (2m) !
x ,
m-1
and
(+2)(-1) 3 (+4)(+2)(-1)(-3) 5
2(x) = x- 3! X + 5! x .....,
or

(m +2m)(+2m-2)...(+2)(-1)(-3)....(-2m+1) 2m+1
2(x) = x + ( 1) X (2m+1) !
x .
m-1
Both 1 and 2 are solutions of the
Legendre equation, those
corresponding to the choices
c 0 = l, c 1 = 0 and c 0 = 0, c 1 = 1,
respectively. They form a basis for
the solutions, since
1 (0)= 1, 2 (0) = 0,
1 (0) = 0, 2 (0)= 1.
We notice that if a is a non-negative
even integer
n = 2m, (m = 0, 1,2,...),

then 1 has only a finite number of
non-zero terms. Indeed, in this case

1 is a polynomial of degree n
containing only even powers of x. For
example,
1(x) = 1, (=0),
2
1(x) = 1 3x , (=2),
2 3.5 4
1(x) = 1 10x + 3 x , (=4).
The solution 2 is not a polynomial
in this case since none of the
coefficients in the series vanish.
A similar situation occurs when a is
a positive odd integer n. Then 2 is
a polynomial of degree n having only
odd powers of x. and 1 is not a
polynomial. For example,

2(x) = x, (=1),
5 3
2(x) = x- 3 x , (=3),
14 3 21 5
2(x) = x- 3 x + 5 x (=5).
We consider in more detail these
polynomial solutions when = n, a
non-negative integer. The polynomial
solution P n of degree n of
(1 x2)y " 2xy ' + n(n+1)y = 0, (1)
satisfying P n (l) = 1 is called the n-
th Legendre polynomial. In order to
justify this definition we must show
that there is just one such solution
for each nonnegative integer n. This
will be established by way of a slight
detour, which is of interest in itself.

Let be the polynomial of degree n
defined by
n
( )
n
d 2
(x) = n x 1 .
dx
This satisfies the Legendre
equation. Indeed, let u(x)

2 n
= (x 1) .
Then we obtain by differentiating
2
(x 1) u - 2nxu = 0.
Differentiating this expression n + 1
times yields
2 (n+2) (n+1)
(x 1) u + 2x(n + 1) u +
(n) (n+1)
(n + 1) nu 2nxu 2n(n+l)
(n)
u = 0.
(n)
Since = u we obtain
2
(1 -x ) (x) 2x (x) + n(n + 1)
(x) = 0, and we have shown that
satisfies the legendre equation
This polynomial satisfies
n
(1) = 2 n!.
This can be seen by noting that
[( )]
(n) (n)
[(x-1) (x+1) ]
2 n n n
(x) = x 1 =
(n)
[ ]
n n
= (x 1) (x+1) + terms with (x-1)
n
= n!(x+1) + terms with (x-1) as a factor.
n
Hence (l) = n ! 2 , as stated.
It is now clear that the function P n
given by
( )
n
1 d 2
Pn(x) = n n x 1 n
2 n! dx
is the n-th Legendre polynomial
provided we can show that there is

no other polynomial solution of (1)
which is 1 at x = 1.
Suppose iy is any polynomial solution
of (1). Then for some constant c we
must have = c 1 or = c 2 .
according as n is even or odd.
Suppose n is even, for example.
Then, for | x | < 1,
= c 1 + d 2
for some constants c, d since 1 , 2
form a basis for the solutions on |x|
< 1. But then - c 1 is a polynomial,
whereas d 2 is not a polynomial in
case d 0. Hence d = 0. In particular
the function P n satisfies P n = c 1 for
some constant c. if n is even. Since

I = P n (l) = c 1 (l),
we see that 1 (l) 0. A similar result
if n is old. Thus no non-trivial
polynomial solution of the Legendre
equation can be zero at x = 1. From
this it follows that there is only one
polynomial P n satisfying (1) and P n (l)
= 1, for if P n was another, then P n
P n would be a polynomial solution,
and
=
P n (1) P n ( 1) 0.
The first few Legendre polynomials
are
3 2 1
P0(x) = 1, P1(x) = x, P2(x) = 2 x 2 ,
5 3 3 35 4 15 2 3
P3(x) = 2 x 2 x, P4(x) = 8 x 4 x + 8.
CYP QUESTIONS
n
1. Show that P n (-x) = (-1 ) P n (x),
n
and hence that P n (-1) = (-1 ) .
n
2. Show that the coefficient of x in
P n (x) is
(2n) !
n 2.
2 (n!)
3. Show that there are constant 0 ,
1 ,.... n such that

n
x = 0 P 0 (x) + 1 P 1 (x) + ... +
n P n (x).
(Hint: For n = 0,1 = P 0 (x). For n
= 1, x = P 1 (x). Use induction.)
4. Show that any polynomial of
degree n is a linear combination
of P 0 , P 1 , .... P n . (Hint: Question
3).
5. Show that

1
Pn(x) Pm(x)dx = 0, ( nm )
1
(Hint: Note that

2
[(l-x )P n ] = -n (n+l)P n ,
2
[(l-x )P m ] = -m (m + 1)P m .
Hence
2 2
Pm[1 - x )F n ] - P n [(l x )P m ]
2
= {(1 x ) [P m P n - P m P n ]}
= [m(m+l) n(n+l)]P m P n .
Integrate from 1 to 1.)
6. Show that

1 2 2
Pn(x)dx= 2n+1
1
(Hint: Let u(x) = (x

n
2
)
1 .Then
u( )(x).
1 n
Pn(x) = n
2 n!
(k) (k)
Show that u (1) = u (-1) - 0
if 0 k < n. Then, integrating by
parts,
|
1 1
u( )(x)u( )(x) dx = u (x)u( )(x) u(
n n n n-1 n+1)
1
1
1
(x)dx
1

1
u(
n+1)
(x)u(
n-1)
=
1
(x)dx

1
u( )(x)u(x)dx.
n 2n
=...=( 1)
1
1(1-x2) dx.
1 n
=(2n)!
To compute the latter integral let
x = sin , and obtain

/2 2n+ 2
( )

1 n
2 n 2 2 n!
1
( 1-x ) dx = 2 cos d = (2n+1)!
0
7. Let P be any polynomial of
degree n, and let
P = c 0 p 0 + c 1 p 1 + ... + c n P n ,
Where c0, c1, ...,c n are
constants. Show that .

2k+1 1
ck = 2 P(x)Pk(x)dx, (k=0,1,....,n).
1
(Hint: Multiply (*) by P k and
integrate from 1 to 1. Use the
results of questions 5 and 6
8. Using the fact that P 0 (x) = 1 is a
solution of
2
(1 x ) y - 2xy = 0,
find a second independent
solution verify that the function
Q 1 defined by
Q1(x) = 2 log
x
( ) 1,
1+x
1-x (|x| < 1),
is solution of the Legendre
equation when = 1.
Unit -7
LINEAR EQUATIONS WITH

REGULAR SINGULAR
POINTS
7.1 INTRODUCTION
In this chapter we continue our
investigation of linear equations with
variable coefficients
0(x)y( ) + 1(x)y( ) + ...... + n(x)y = 0. (1)

n n-1
We shall assume that the coefficients
0 , 1 , ..., n are analytic at some
point x 0 , and we shall be interested
in an important case when 0 (x 0 ) =
0. A point xo such that 0 (x 0 ) = 0
is called a singular point of the
equation. In this case we can not

apply directly the existence result,
concerning initial value problems at
x0. Indeed, it is usually rather
difficult to determine the nature of
the solutions in the vicinity of such
singular points. However there is a
large class of equations for which the
singularity is rather weak, in the
sense that slight modifications of the
methods used for solving equations
with analytic coefficients serve to
yield solutions near the singularities.
We say that x 0 is a regular singular
point for (1) if the equation can be
written in the form
n n-1 n-1
(x-x0) y( ) + b1(x)(x-x0) y + .....bn(x)y = 0
n
(2)
near x0, where the functions
b 1 ,....,b n are analytic at x 0 . If the
functions b 1 ,.... b n , can be written in
the form
k
b k (x) = (x x 0 ) k (x), (k = 1, ...n),
where 1 ,..., n are analytic at x 0 , we
see that (2) becomes

(n) (n-l)
y + 1 (x) y + .... + n (x)y = 0
n
upon dividing out (x - x 0 ) .
An equation of the form

n (n) n-1
c 0 (x) (x x 0 ) y + c 1 (x) (x x 0 )
(n-1)
y + ...+ c n (x)y = 0 has a regular
singular point at x 0 if c 0 , c 1 , ..., c n
are analytic at x 0 . and c 0 (x 0 ) 0.
This is because we may divide by
c 0 (x), for x near x 0 . to obtain an

equation of the form (2) with b k (x) =
c k (x)/c 0 (x), and it can be shown that
these b k are analytic at x 0 .
We first consider the simplest case of
an equation having a regular singular
point. This is the Euler equation,
which is the case of (2) with b 1 ,...,b n
all constants. Next we investigate the
general equation of the second order
with a regular singular point, and
indicate how solutions may be
obtained near the singular point. For
x > x 0 such solutions turn out to be
of the form
r 8
(x) = (x x 0 ) (x) + (x x 0 ) (x)
log (x x 0 ),
where r, s are constants, and ,
are analytic at x 0 . As an example

the solutions of the important Bessel
equation are computed in detail.
Regular singular points at infinity are
briefly discussed.
The method used to show that the
coefficients of the series for the
analytic functions , can be
computed in a recursive fashion, and
the to indicate that the series
obtained actually converge near the
singular point. Fortunately many of
the equations with singular points
with arise in physical problems have
regular singular points.
To indicate how lucky we are in this
situation consider the equation
2 " ' 3
x y y y = 0.
4
The origin x 0 = 0 is a singular point,
but not a regular singular point since
the coefficient 1 of y is not of
the form xb 1 (x), where b 1 is analytic
at 0. Nevertheless we may formally
solve this equation by a series

k
ckx ,
k=0
where the coefficients c k satisfy the
recursion formula
( 3
)
(k+1)ck+1 = k2 k- 4 ck, (k=0,1,2,....)
0, the ratio test applied, shows
that
| | | |
k+1 z 3
ck+1x k k- 4
k =
k+1
|x| ,
ckx
as k , provided | x | 0. Thus
the series will only converge for x =
0, and therefore does not represent
a function near x =.0, much less a
solution of the above differential
equation.
7.2. THE EULER EQUATION
The simplest example of a second
order equation having a regular
singular point at the origin is the
Euler equation
2 " '
L(y) = x y + xy + by = 0 (1 )
where a, b are constants. We first
consider this equation for x > 0, and

(k)
observe that the coefficient of y in
k
L(y) is a constant times x . If r is any
r
constant, x has the property that its
k
k-th derivative times x is constant
r r r
times x . For example x(x ) = rx ,
2 r r
x (x ) = r(r - 1)x .
This suggests trying for a solution of
L(y) = 0 a power of x. we find that
r r
L(x ) = [r(r 1) + r + b] x .
If q is the polynomial defined by
q(r) = r (r 1) + r + b, we may
write
( r) = q(r)xr,
L x (2)
and it is clear that if r 1 is a root of q
then
L(x r 1 ) = 0.
Thus the function given by 1 (x) =
xr 1 ) is a solution of (1) for x > 0. If
r 2 is the other root q, and r 2 r 1 , we
obtain another solution 2 given by
2 (x) = xr 2 . In case the roots r 1 , r 2
of q are equal we know that
q(r 1 ) = 0, q(r 1 ) = 0,
and this suggests differentiating (2)
with respect to r. Indeed

r ( )
r
L x (
=L

r ) ( r
r = L x logx )
[ '
= q (r) + q(r)log x x , ] r
and if r = r 1 we see that
L(xr 1 log x) = 0.
Therefore 2 (x) = xr 1 log x is a
second solution associated with the
root r 1 in this case.

In either case the solutions 1 . 2
are linearly independent for x > 0.
The proof is easy. If r 1 r 2 and c 1 ,
c 2 are constants such that
r1 r2
c1x + c2x = 0, (x>0),
then
r2-r1
c1 + c2x = 0, (x>0).
and differentiating we obtain
c2
x = 0, (x>0),
or c 2 = 0. We see that c 1 = 0.
We have glossed over one point in
the above calculations, and that is
the definition of xr in case r is
complex.
This possibility must be taken into
account since the roots of q could be

r
complex. We define x for r complex
r r
by x = e log x, (x > 0).
Then we have
' '
( )
' r log x 1 r r-1
x = r(log x) e = rx x = rx ,
and
r ( )
x
r
=

r ( r
) r
e logx = (logx)e log x =x logx,
r
which are the formulas we used in
the calculations.
Solutions for (1) can be found for x

r
< 0 also. In this case consider (-x) ,
where is a constant. Then we have
for x < 0.
r r r-1 r
[(-x) ] = -r (-x) , [(-x) ] = r(r
r-2
1) (- x) , and hence
r r 2 r
[(-x) ] = r (-x) , x [(-x) ] = r(r -1)
r
(-x) .
Thus
r r
L[((-x) ) = q(r)(-) , (x < 0).
Also,

r [ ]
( -x
r
) = ( x )
r
log(-x), (x<0),
as can be easily checked. Therefore
we see that if the roots r 1 , r 2 of q are
distinct two independent solution 1 ,
2 of (1) for x < 0 are given by
r1 r2
1(x) = ( x ) , 2(x) = ( x ) , (x<0),
and if r 1 = r 2 two solutions are given
by
r1 r1
1(x) = ( x ) , 2(x) = ( x ) log( x ), (x<0).
There are just the formulas for the
solutions obtained for x > 0. with

x replaced by x everywhere. S ince
|x | = x for x > 0. and | x \ = - x for
x < 0. we can write the solutions for
any x 0 in the following way:
r1 r2
1(x) = |x| , 2(x) = |x| , ( x0 ).
In case r 1 r 2 . and
r1 r
1(x) = |x| , 2(x) = |x| log|x|, ( x0 ),
1
In case r 1 = r 2 .
Theorem.
Consider the second order Euler
equation
2
x y + xy + by = 0, (a, b
constants),
and the polynomial q give by q(r) =
r(r 1) + r + b.
A basis for the solutions of the Euler
equation on any interval not
containing x = 0 is given by
r1 r2
1(x) = |x| , 2(x) = |x|
in case r 1 , r 2 are distilled roots of q,
and by
r1 r1
1(x) = |x| , 2(x) = |x| log|x|,
If r 1 is a root of q of multiplicity two.
As an example let us consider the
equation
2
x y + xy + y = 0
for x 0. The polynomial q is given
by
2
q(r) = r(r l) + r + 1 r + 1, and its
roots are r 1 = i, r 2 = -i. Thus a basis
for the solutions is furnished by

i -1
1 (x) = | x | , 2 (x) = | x | , (x
0), where we have
i i log |x|
| x | = e .
Note that in this case another basis
1 , 2 is given by
(x) = cos (log | x |), 2 (x) = sin
(log | x |), (x 0).
The extension of the result of the
theorem to the Euler equation of the
n-th order
n (n) n-1 (n-1)
L(y) = x y + 1x y + ... +
n y = 0,
Where 1 ,.... n are constants, is
straightforward. We have for any

k r (k)
constant r x [ | x | ] = r(r 1)
r
...(r k + 1) | x | , (x 0), and
hence
r r
L(| x | ) = q(r) | x | .
Where q is now the polynomial of
degree n
(r)
q = r(r 1) ... (r n + 1) + 1 r(r
1) ... (r n + 2) + ... + n .
This polynomial is called the indicial
polynomial for the Euler equation
Differentiating k times with respect
to r we obtain
( ) = L( )
|x| = L(|x| log |x|)
k k
r r r k
k L |x| k
r r
[ ]
k(k-2) k-2
q( )(r) + kq( )(r)log|x| + 2! q( )(r)log |x|
k k+1 2
r
= |x| .
+....+q( )log |x|
r k
If r 1 is a root of q of multiplicity m 1
then
(m1-1)
q(r 1 ) = 0, q(r 1 ) = 0, ....., q (r 1 )
= 0, and we see that

r1 r1
| x | , | x | log | x |, ... , |
r1 m1-1
x | log | x | are solutions of
L(y) = 0. Repeating this process for

each root of q we obtain the following
result.
Theorem.
Let r 1 ,....r s be the distinct roots of
the indicial polynomial q for the Euler
equation and suppose r1 has
multiplicity m 1 . Then the n functions

r1 rl rl
| x | , | x | log | x |, ..., | x |
m1-1 r2 r2
log | x | ; | x | , | x | log | x
r2
|,..., |x|
m2-1 r2 r3
Iog | x |; ... ;| x | , | x | log
r2 m2-1
| x |,..., | x | log | x | form
a basis for the solutions of the n-th
order Euler equation on any interval
not containing x = 0.
CYP QUESTIONS
1. Find all solutions of the following
equations for x > 0:
2
a. x y + 2xy - 6y = 0
2
b. 2x y + xy - y = 0
2
c. x y + xy - 4y = x
2 3
d. x y - 5xy + 9y = x
2 2
e. x y + 2x y - xy + y = 0
2. Find all solutions of the following
equations for | x | > 0:
2
a. x y + xy + 4y = 1
2
b. x y - 3xy + 5y = 0
2
c. x y - (2 + i) xy + 3iy = 0
2
d. x y + xy - 4y = x
3. Let be a solution for x > 0 of
the Euler equation

2
x y + xy + by = 0, where . b
t
are constants. Let (t) = (e ).
a. Show that satisfies the
equation
(t) + ( - 1) (t) +
b[(t) = 0.
b. Compute the characteristic
polynomial of the equation
satisfied by , and compare
it with the indicial
polynomial of the given Euler
equation.
c. Show that (x) = (log x).
4. Suppose the constants , b in the
Euler equation
2
x y + xy + by = 0
are real. Let r 1 , r 2 denote the
roots of the indicial polynomial q.
a. If r 1 = + ir with 0,
show that r 2 = f 1 = - ir.
b. If r 1 = + ir with 0,
show that the functions 1 ,
2 given by

1 (x) = | x | cos (r log | x
|),

2 (x) = | x | sin (r log |
x |), form a basis for the
solutions of the Euler
equation on any interval not
containing x = 0.
5. The logarithm of a negative
number can be defined in the

following way. If x < 0, then x
> 0, and we have

i
x = (-x) (-1) = (-x)e .
We define
i
Log x = log [(-x)e ) = log (-x) +
i
log e
= log (-x) + i, (x < 0).
Thus log x, for x < 0, is a
complex number. Using this

r r log x
definition, let x = e , for x
> 0 and for x < 0.
a. Show that
r ir r
x = e |x| , (x < 0).
b. Let r 1 , r 2 be the roots of the
indicial polynomial for the

2
Euler equation x y + xy +
by = 0.
Show that two independent
solutions for | x | > 0 are

r1 r2
given by x , x
rl rl
If r 1 r 2 , and by x , x log
x if r 1 = r 2 .
6. Let
2
L(y) = x y + xy + by where ,
b are constants, and let q be the
indicial polynomial q(r) = r(r 1)
+ r + b.
a. Show that the equation L(y)

k
= x has a solution of the
k
form (x) = cx if q(k) 0.
k
Compute c. (Hint: L(cx ) =
k k
cL(x ) = cq(k)x .)
b. Suppose k is a root of q of
multiplicity one. Show that

there is a solution of L(y)
k
= x of the form
k
(x) = cx log x.
Compute c.
k
c. Find a solution of L(y) = x
in case k is double root of q.
7.3 SECOND ORDER EQUATION

WITH REGULAR SINGULAR POINTS
AN EXAMPLE
A Second order equation with a
regular singular point at x 0 has the
form
2
(x-x0) y + (x)(x-x0)y + b(x)y = 0,
" '
(1)
Where a, b are analytic at xo. Thus a,
b have power series expansions

(x) = k(x - x0)k, b(x) = k(x - x0)k,
k=0 k=0
which are convergent on some
interval |x x 0 | < r 0 , for some r 0 >
0. We shall be interested in finding
solutions near x 0 . In order to simplify
our notation we shall assume x 0 =
0.
If x 0 0 it is easy to change the
equation into an equivalent equation
with a regular point at the origin. We
let t = x - x 0 and
(t) = (x0 + t) = b(x) = b(x0 + t) =

k k
kt , kt .
k=0 k=0

The power series for , b converge on
the interval | t | < r 0 about t = 0. Let

be any solution, and define by

(t) = (x0 + t).
Then
2 2
d d d d
dt ( t) = dx (x0 + t), dt
2 ( t) = dx
2 (x0 + t),

and we see that satisfies
2 " '
t u + (t)tu + b(t)u = 0 (2)
where now u = du/dt. This is an
equation with a regular singular point

at t = 0. Conversely, if satisfies (2)
the function given by

(x) = (x-x0)
satisfies (1) In this sense (2) is
equivalent to (1).
With x 0 = 0 in (1) we may write (1)
as
2 " '
L(y) = x y + (x)xy + b(x)y = 0, (3)
Where , b are analytic at the origin,
and have power series expansions
k=0 k=0
k k
(x) = kx , b(k) = kx , (4)
Which are convergent on an interval
| x | < r 0 , r 0 > 0. The Euler equation
is the special case of (3) with , b
constant. The effect of the higher
order terms (terms with x as a factor)
in the series (4) is to introduce series
into the solutions of (3).
Example
Consider the equation
2 " 3 '
L(y) = x y + 2 xy + xy = 0, (5)
which has a regular singular point at
the origin case (i) x > 0. Since it
is not an Euler equation we can not
expect it to have a solution of the

r
form x there. However we try for a
solution

(c0 0), (6)
r k r r+1
(x) = x ckx = c0x + c1x + ....,
k=0
r
that is, x times a power series. This
simple idea works. We operate
formally and see what condition must
be satisfied by r and c 0 , c 1 , c 2 , ... in
order that this be a solution of the

equation. Computing we find that
' 0 r-1 r r+1
(x) = c rx + c1(r+1)x + c2(r+2)x + .....,
" r-2 r-1 r
(x) = c0r(r-1)x + c1(r+1)rx + c2(r+2)(r+1)x + ...., and
hence
2 " r r+1 r+2
x (x) = c0r(r-1)x + c1(r+1)rx + c2(r+2)(r+1)x + .....,

3 ' 3 r+1 3 r+2
2 x (x) = 2 c1(r+1)x + 2 c2(r+2)x + ...,
r+1 r+2
x(x) = c0x + c1x + ......,
Adding we obtain
( ) [
L (x) = r(r-1) + 2 r c0x +
3
] r
{[(r+1)r+ 3
2 (r+1)]c1 + c0 x
r+1
}
+ {[ ( r+2)( r+1) +
3
2 ( r+2) ] c2 + c1} + ...
x
r+2
If we let
3
q(r) = r(r-1) 2 r = r r+ 2 , ( 3
)
this may be written as
( )
L (x) = q(r)csx + [q(r+1)c1 + c0]x
r r+1
+ [q(r+2)c2+c1]x
r+2
+ ....
[q(r+k)c

+ ck-1]x .
r r k
= q(r)c0x + x k
k=1
If is to satisfy L() (x) = 0 all
coefficients of the powers of x must
vanish. Since we assumed c 0 0 this
implies
( )
L (x) = 0
q(r) = 0, (7)

The polynomial q is called the indicial
polynomial for (5). It is the
coefficient of the lowest power of x
appearing in L() (x), and from (7)
we see that its roots are the only
permissible values of r for which
there are solutions of the form (6). In
our example these roots are
3
r1 = 0, r2 = 2 .
The second set of equations in (7)
delimits c 1 , c 2 ,.... in terms of c 0 and r.
If q(r + k) 0 for k = 1,2, .... then
ck-1
ck = q(r+k) , (k=1,2,....).
Thus
( 1)kc
ck = q(r+k)q(r+k)...q(r+1) .
0
(k=1,2,...)
If r1 = 0,
q(r1 + k) = q ( 1
2 )
+ k 0 for k=1,2,..
Letting c 0 = 1 and r = r 1 = 0 we
obtain, at least formally, a solution
1 given by

k k
( 1) x
1(x) = 1 + q(k)q(k-1)....q(1)
.
k=1
These functions 1, 2 will be
solutions provided the series
converge on some interval containing
x = 0. Let us write the series for 1
in the form

1(x) = dk(x).
k=0
Using the ratio test we obtain

1(x) = dk(x).
k=0
as k , provide | x \ < . Thus
the series defining 1 is convergent
for all finite x. The same can be show

-l/2
to hold for the series multiplying x
in the expression for 2 .Thus 1 , 2
are solutions of (5) for all x > 0.
To obtain solutions for x < 0 we note
that all the above computations go

r
through if x is replaced everywhere
r
by | x | , where
r r log |x|
| x | = e .
Thus two solutions of (5) which are
valid for all x 0 are given by

x
( 1) xk
1(x) = 1 + q(k)q(k-1)...q(1)
,
k=1
and
[ ]

x
1/2 ( 1) xk
2(x) = |x| 1+ .
k=1
( )( ) ()
1 3
q k- 2 q k- 2 ...q
1
2
The above example illustrates the
general fact that an equation (3) with
a regular singular point at the origin
always has a solution of the form

r k
(x) = |x| ckx ,
k=1
where r is a constant, and the series
converges on the interval | x | < r 0 .
Moreover r, and the constants c k ,may
be computed by substituting into the
differential equation.
CYP QUESTIONS
1. Find the singular points of the
following equations, and
determine those which are
regular singular points.
2 2
i. x y + (x + x )y - y = 0
2 2
ii. 3x y + x y 2xy = 0
2 2
iii. x y - 5y + 3x y = 0
iv. xy + 4y = 0
2
v. (1 x )y - 2xy + 2y = 0
2 2
vi. (x + x 2) y + 3(x + 2)y
+ (x 1)y = 0
2
vii. x y + (sin x)y + (cos x)y = 0
2. Compute the indicial
polynomials, and their roots, for
the following equations:

2 2
i. x y + (x + x )y - y = 0
ii.
2 "
x y + xy + x
'
( 2 1
4 )y = 0
2 4 2
iii. 4x y + (4x 5x)y + (x +
2)y = 0
2 2 x
iv. x y + (x 3x )y + e y = 0
2
v. x y + (sin x)y + (cos x)y = 0
3. a. Show that 1 and 1 are
regular singular points for
the Legendre equation

2
(1 x )y - 2xy + ( + 1)
y = 0.
b. Find the indicial polynomial,
and its roots, corresponding
to the point x = 1.
4. Find a solution of the form
k=0
r k
(x) = x ckx , (x > 0),
for the following equations
2 2
a. 2x y + (x x)y + y = 0 b)
2 2
x y + (x x )y + y = 0
7.4 SECOND ORDER EQUATIONS

WITH REGULAR SINGULAR POINTS
GENERAL CASE
k=0
r k
(x) = x ckx , (x > 0),
k=0

(x) = x
r
ckx ,
k
(c0 0), (1)
for the equation
2 " '
x y + (x)xy + b(x)y = 0, (2)
where
k=0 kxk,

k=0 kxk,

(x) = b(x) = (3)
for |x| < r0.Then

' r-1 k
(x) = x ( k+r)ckx ,
k=0

" r-2 k
(x) = x k=0
( k+r)(k+r-1)ckx ,
and hence
( )( )
r k k
b(x)(x) = x ckx kx
k=0 k=0
( )
k
r k
=x kx k = cik-i
j=0
k=0

( k=0
)( k=0 )
k+r)ckx
' r k k
x(x) (x) = x ( kx

r k
=x kx
k=0
(x) = x k=0
2 " r k
x (k+r)(k+r-1)ckx .
Thus
( )
L (x) = x
'
k=0
[(k+r)(k+r-1)c + + ]x ,
k k k
k
and we must have
[
[ ]k = (k+r)(k+r-1)ck + + = 0, ] (k=0,1,2,...).

Using the definitions of k, k we can write the bracket [ ]k as
[ ]k = (k+r)(k+r-1)ck + j=0 (j+r) cjk-j+j=0 cjk-i
k k
[(j+r)
k-1
=[(k+r)(k+r-1) + (k+r)0 + 0]ck + k-i + k-j]ci.
j=0
For k = 0 we must have
r(r-1) + r0 + 0 = 0. (4)
since c 0 0. The second degree
polynomial q given by
q(r) = r(r 1) + r 0 + 0 is called the
indicial polynomial for (2), and the

only admissible values of r are the
roots of q. We see that
[ ]k = q(r+k)ck + dk = 0, (k = 1,2,....), (5)

where
[(j+r)
k-1
dk = k-j + k-j]cj, (k =1,2,...) (6)
j=0
Note that d k is a linear combination
of c 0 , c 1 , ....., c k-1 with coefficients
involving the known functions , b,
and r. Leaving r and c 0 indeterminant
for the moment we solve the
equations (5), (6) successively in
terms of c 0 and r. The solutions we
denote by C K (r), and the
corresponding d k by D k (r). Thus

D1(r)
D1(r) = (r1 + 1)c0, C1(r) = q(r+1) ,
and if general
[(j+r)
k-1
Dk(r) = k-j + k-j] C1(r), (7)
j=0
Dk(r)
Ck(r) = q(r+k) , (k=1,2,...) (8)
The C k thus determined are rational
functions of r (quotients of
polynomials), and the only points
where they cease to exist are the
points r for which q(r + k) = 0 for
some k = 1,2. ... only two such
possible points exist. Let us define
by .

r r k
(x,r) = c0x + x Ck(r)x . (9)
k=1
If the series in (9) converges for 0 <
x < r 0 , then clearly

'
L()(x,r) = c0q(r)x . (10)
We have now arrived at the following
situation. If the given by (1) is a
solution of (2) then r must be a root
of the indicial polynomial q, and the

c k (kg 1) are determined uniquely
in terms of r and c 0 to be the C k (r) of
(8), provided q(r + k) 0, k = 1, 2.
... Conversely, if r is a root of q, and
if the C k (r) can be determined (that
is, q(r + k) 0 for k = 1,2, ...) then
the function given by (x) = (x,
r) is a solution of for any choice of
c 0 , provided the series in (9) can be
shown to be convergent.
Let r 1 , r 2 be the two roots of q, and
suppose we have labeled them so
that Re r 1 Re r 2 . Then q(r 1 + k) 0
for any k = 1.2,.... Thus C k (r 1 ) exists
for , all k = 1,2,..., and letting c 0 =
C 0 (r 1 ) = 1 we see that the function
1 given by
(C0(r1) = 1),

Ck(r1)x ,
k
1(x) = xr1 (11)
k=0
is a solution of (2), provided the
series is convergent.
If r 2 is a root of q distinct from r 1 and
q(r 2 + k) 0 for k = 1,2,...., then
clearly C k (r 2 ) is defined for k = 1, 2.
..., and the function 2 given by
(C0(r2) = 1),

Ck(r2)x ,
r2 k
2(x) = x (12)
k=0
is another solution of (2), provided
the series is convergent. The
condition q(r 2 + k) 0 for k = l,2,
.... is the same as r 1 r 2 + k for k =
1,2, ....
Or r 1 r 2 is not a positive integer.

Notice that since 0 = (0), 0 =
b(0), the indicial polynomial q can be
written as q(r) = r (r 1) + (0) r +
b(0).
Theorem.
2
Consider the equation x y + (x)xy
+ b(x)y = 0, where a. b have
convergent power series expansions
for
| x | < r 0 , r 0 > 0.
Let r 1 , r 2 (Re r 1 Re r 2 ) be the roots
of the indicial polynomial q(r) = r(r
1)) + (0) r + b(0
For 0 | x [ < r 0 there is a solution 1
of the form

n
(c0 = 1),
k
1(x) = |x| ckx ,
k=0
Where the series converges for | x
| < r 0 . If r 1 r 2 is not zero or a
positive integer, there is a second
solution 2 for 0 < | x | < r 0 of the
form
( )

r2 k
2(x) = |x| c kx , c0 = 1 .
k=0
where the series converges for | x |
< r0.

The coefficients c k can be obtained by
substitutions of the solutions into the
As we have seen in (11), (12), the

coefficients ck, c kappearing in the
solutions 1, 2 of the above
theorem are given by

c k = C k (r 1 ), c k(k = 0,1, 2,...) where
the C k (r), (k = 1, 2,...). Are the
solutions of the equations (7), (8),
with C 0 (r) = 1.
It is easy to check, as in the case
of the Euler equation, that the
calculations made for x > 0 remain

r
valid for x < 0 provided x is replaced
r
everywhere by | x | . Thus all that
remains to be proved in Theorem is
the convergence of the series
involved in 1 and 2 . This will be
done in see 7.5.
If r 1 r 2 is either zero or a positive
integer we shall say that we have an
exceptional case.
The Euler equation shows that if r 1
= r2 we must expect solutions
involving log x. It turns out that

even in the case when r 1 r 2 is a
positive integer log x may appear.
In sec 7.6 we show how to obtain

a solution associated with r 2 in the
exceptional cases.
CYP QUESTIONS
1. Find all solutions of the form

r
(|x| > 0),
k
(x) = |x| ckx ,
k=0
For the following equations:

2
a. 3x y + 5xy + 3xy = 0
2 2
b. x y + xy + x y = 0
c.
2 " '
x y + xy + x 1 y = 0( 2
4 )
Test each of the series
involved for convergence.

2 z =
x y + xe y + y 0.
a. Compute the indicial
polynomial, and show that
its roots are i and i.
b. Compute the coefficients c 1 ,
c 2 , c 3 in the solution

ckx , (c0 = 1).
i k
(x) = x
k=0
3. a. Find a solution of the form

r k
(x) = |x-1| ck(x-1) for
k=0
the Legendre equation

2
(1 x )y - 2xy + ( + 1)y = 0.
For what values of x does
the series converge? (Hint:
do not divide by x + 1 and
multiply by x 1, but note

that x = (x 1) + 1. Express
the coefficients in terms of
powers of x - 1).
4. The equation
xy + (1 x)y + y = 0, where
a is a constant, is called the
Laguerre equation .
a. Show that this equation has
a regular singular point at x
= 0.
b. Compute the indicial
polynomial and its roots.
c. Find a solution of the form

r k
(x) = x ckx .
k=0
d. Show that if = n, a non-
negative integer, there is a
polynomial solution of
degree n.
5. a. Let L n denote the polynomial
( ).
n
x d n x
Ln(x) = e n x e
dx
Show that L n satisfies the
Laguerre equation if = n.
This polynomial is called the
n-th Laguerre polynomial
(Hint : See the treatment of
the Legendre polynomials)
(b) Compute L 0 , L 1 , L 2 .
7.5 A CONVERGENCE PROOF
Under consideration is the equation

2
x y + (x)xy + b(x)y = 0, with
2 " '
x y + (x)xy + b(x)y = 0,
with

k k
(x) = kx , b(x) = kx , (1)
k=0 k=0
Where these series, converge for | x
| < r 0 for some r 0 > 0. The indicial
polynomial q is given by
q(r) = r(r-1) + 0r + 0, (2)
and its two roots are r 1 , r 2 with Re r 1
Re r 2 .
The series we must show to be
convergent are determined from
k
ck(r)x , (3)
k=0
where the c k (r) are given recursively
by
C0(r) = 1,
[(j+r)
k-1
q(r+k)ck(r) = k-j + k-j] Cj(r) (4 )
j=0
(k =1,2,.....);
We must prove that the series (3)
converges for | x | < r 0 if r = r 1 , and
if r = r 2 , provided r 1 r 2 is not a
positive integer.
We note that
q(r) = (r r,)(r r 2 ) and hence that
q(r 1 + k) = k(k + r 1 r 2 ), q(r 2 + k)
= k(k + r 2 r 1 ).
Therefore
|q(r 1 + j) | k(k-|r 1 r 2 |),
|q(r2 + k)| _ k(k-|r2- r1|). (5 )
Now let p be any number satisfying 0
< < r 0 . Since the series in (1) are
convergent for | x | = there is a
constant M > 0 such that

| j | |j| M, (j=0,1,2,....) (6)
j j
M,
_ _
Using (5) and (6) in (4) we obtain

k-1
( )
k k-1|r1 r2| Ck(r1) M
_ j=0
(j+1+|r1|)i-k|Cj(r1)|, (7)
(k = 1,2,....).
Let N be that integer satisfying
N 1 | r 1 r 2 | < N,
and let us define 0 , 1 ,... by
0 = C0(r1) = 1, |
k = Ck(r1) , | (k=1,2,....,N-1),
and

k-1
( )
k k-|r1 r2| k = M
j=0
(j+1+|r1|pj-kj, (8)
(k =N,N+1,.....).
Then comparing the definition of the
k with (7) we see that
|Ck(r1)| _ rk, (k = 0,1,2,....) (9)

We show that the series

kx
k
(10)
k=0
is convergent for | x | < . Replacing
k by k + 1 in (8) we obtain (k + 1)
(k + 1 -|r 1 r 2 |) k+1 = [k (k - |r 1
r 2 |) + M (k + 1 + |r 1 |)] k
For k N. Thus
[ k(k-|r ) (
r2| + M k+1+|r2| ]
| |
k+1 1
k+1x
= |x|,
( )
k
kx (k+1) k+1-|r1 r2|
which tends to | x | / as k .
Thus, by the ratio test, the series
(10) converges for | x | < . Using
(9) and the comparison test we see
that the series.
(C0(r1) = 1),

Ck(r1)x ,
k
k=0
Converges for | x | < . But since
is any number satisfying 0 < <
r 0 we have shown that this series
converges for | x | r 0 .
The same computations with r1
replaced by r 2 everywhere show that
(C0(r2) = 1).

Ck(r2)x ,
k
k=0
converges for | x | < r 0 , provided r 1
2 is not a positive integer.
7.6 THE EXCEPTIONAL CASES
We divide the exceptional cases into
two groups according as the roots
r 1 , r 2 (Re r 1 Re r 2 ) of the indicia!
polynomial satisfy
h) r 1 = r 2
i) r 1 r 2 is a positive integer.
We try to find solutions for 0 < x <
r 0 . We are going to work in a purely
formal way in order to discover the
form that the solutions should take.
For such x we have
r
L()(x,r) = c0q(r)x , (1)
Where is given by

r r r
(x,r) = c0x + x ck(r)x . (2)
k=1
The C k (r) are determined recursively
by the formulas
C0(r) = c0 0,
q(r+k)Ck(r) = Dk(r) (3)

k-1
Dk(r) =
j=0
[(j+1)k-j + k-j] Cj(r) (k=1,2,.....);
In-case (i) we have
q(r 1 ) = 0, q(r 1 ) = 0, and this
suggests formally differentiating (1)

with respect to r. We obtain
r L()(x,r) = L ( )(x,r)

r
=c0[q (r) + (log x)q(r)]x ,

' r
and we see that if r=r1 = r2, c0 = 1, then
(x,r1)

2(x) = r
Will yield a solution of our equation,
provided the series involved
converge, Computing formally from
(2) we find

(r1)x ck(r1)x
r1 ' k r1 k
2(x) = x C + (log x)x
k k=0
k=0

(r1)x
r1 ' k
=x C + (log x)1(x),
k=0 k
where 1 is the solution already
obtained:
(C0(r1) = 1).

Ck(r1)x ,
r1 k
1(x) = x
k=0
Note that C k (r 1 ) exists for all k = 0,
1,2, ..since C k is a rational function
of r whose denominator is not zero
at r = r = r 1 . Also C 0 (r) = 1 implies
that C 0 (r 1 ) = 0, and thus the series

rl
multiplying x in 2 starts with the
first power of x.
Let us now turn to the case (ii), and
suppose that r 1 = r 2 + m, where m is
a positive integer. If c 0 is given,
C 1 (r 2 ), ..., C m-1 (r 2 ) all exists as
finite numbers, but since

q(r+m)Cm(r) = Dm(r), (4)
we run into trouble in trying to
compute C m (r 2 ). Now q(r) = (r
r 1 )(r r 2 ), and hence
q(r + m) = (r r 2 ) (r + m r 2 ).
If D m (r) also has r r 2 as a factor
(i.e, D m (r 2 ) = 0) this would cancel
the same factor in q(r + m), and
would give C m (r 2 ) as a finite number.
Then
C m+1 (r 2 ) C m+2 (r 2 ), ... all exist. In
this rather special situation we will
have a solution 2 of the form
(C0(r2) = 1).

Ck(r2)x ,
r2 k
2(x) = x
k=0
We can always arrange it so that
D m (r 2 ) = 0 by choosing
C 0 (r) = r r 2 .
From (3) we see that D k (r) is linear
homogeneous in
C 0 (r), ....., C k-1 (r), and hence D k (r)
has C 0 (r) = r r 2 as a factor. Thus
C m (r 2 ) will exist as a finite number.
Letting
(C0(r) = r-r2), (5)

r k
(x,r) = x Ck(r)x ,
k=0
We find formally that
L()(x,r) = (r-r2)q(r)x .
r
(6)
Putting r = r 2 we obtain formally a
solution given by
(x) = (x, r 2 )
However C 0 (r 2 ) = C 1 (r 2 ) = .... =
C m-1 (r 2 ) = 0. Thus the series for
actually starts with the m-th power of
x, and hence vg has the form

r2+m rl
(x) = x (x) = x (x),
Where a is some power series. It is
not difficult to see that is just a
constant multiple of the solution 1
already obtained.
To get a solution really associated
with r2 we differentiate (6) with
respect to r, obtaining

r L()(x,r) = L( r )(x,r)
[ ]
r
=q(r)x + (r-r2) q (r) + (log x)q(r) .
r '
Now letting r = r 2 we find that the 2
given by
(x,r2)

2(x) = r
is a solution, provided the series
involved are convergent. It has the
form

Ck(r2)x + (log x)x Ck(r2)x ,
r2 r k r2 k
2(x) = x
k=0 k=0
Where C 0 (r) = r r 2 . Since
C 0 (r 2 ) = ... = C m-1 (r 2 ) = 0.
We may write this as

Ck(r2)x + c(log x)1(x),
r2 k
2(x) = x
k=0
Where c is some constant.
The method used in this section to
obtain solutions is called the
Frobenius method. All the series
obtained converge for |x| < r 2 . and
the 2 computed formally will be a
solution in both the bases (i) and
(ii). This requires justifying the
differentiating of the various of the
various series term by term with
respect to r, and this can be done.

Another approach which leads to a
justification of the results is the
following. Once we have discovered
what form a second solution 2
should take, we can substitute this
back into the equation and compute
the coefficients of the various series
involved. Then a proof of the
convergence of these series can be
patterned after the convergence
proof in Sec (7.5) We omit this proof.
Solutions for x < 0 can be obtained

rl r2
by replacing x , x , log x
everywhere by
1 r2
| x | r , | x | , log |x|
Respectively. We summarize our
results in the following theorem

Theorem.
2
Consider the equation x y + a(x)xy
+ b(x)y = 0, where , b have power
series expansions which are
convergent for | x | < r 0 , r 0 > 0. Let
r 1 , r 2 (Re r 1 Re r 2 ) be the roots of
the indicial polynomial q(r) = r(r 1)
+ (0)r + b(0).
If r 1 = r 2 there are two linearly
independent solutions 1 , 2 for 0 <
| x | < r 0 of the form
r1
1 (x) = | x | 1 (x), 2 (x) = | x
r1+1
| 2 (x) + (log |x|) 1 (x),
Where 1, 2 have power series
expansions which are convergent for
|x| < r 0 , and 1 (0) 0.

If r 1 r 2 is a positive integer there
are two linearly independent
solutions 1 , 2 for 0 < |x| < r 0 of
the form
r1
1 (x) = |x| 1 (x),
r2
2 (x) = |x| 2 (x) + c(log |x|)
1 (x).
expansions which are convergent for
| x | < r 0 , 1 (0) 0, 2 (0) 0. and
c is a constant. It may happen that c
= 0.
CYP QUESTIONS.
1. Consider the following three
equations near x = 0:
2 2 2
i. 2x y + (5x + x )y + (x 2)y = 0
2 x
ii. 4x y + 4xe y + 3(cos x)y = 0
2 2 2
iii. (1 x )x y + 3(x + x ) y + y = 0.
a. Compute the roots r 1 , r 2
of the indicial equation
for each relative to z =
0.

2 2 2
x y + xy + (x )y = 0,
where is a non-negative
constant.
a. Compute the indicial
polynomial and its two roots.
b. Discuss the nature of the
solutions near the origin.
Consider all cases carefully.
Do not compute the
solutions.
3. Obtain two linearly independent
solution of the following
equations which are valid near x = 0:
2
a. x y + 3xy+ (1 + x)y = 0
2 2
b. x y + 2x y - 2y = 0
2 2
c. x y + 5xy + (3 x )y = 0
2
d. x y - 2x(x +l)y + 2(x + l)y = 0
2 2
e. x y + xy + (x 1 )y = 0
2 2
f. x y - 2x y + (4x 2)y = 0
4. Show that the solutions 1 , 2
in the above theorem are linearly

independent for 0 < x < r 0 .
5. Show that (x, r 2 ), where is
given by (5), is a constant times
1 (x), where 1 is given by
(C0(r1) = 1).

Ck(r1)x ,
r1 k
1(x) = x
k=0
xy + (x)y = 0. where
'
xy + (x)y = 0,
where

k
(x) x ,
k=0 k
and the series converges for | x
| < r 0 r 0 > 0.
a. Show formally that there is a
solution of the form
(c0=1),
r k
(x) = x ckx ,
Where r + 0 = 0, and x > 0
b. Prove that the series
obtained converges for |x| <
r 0 . (Hint: Use the method of
See 7.5)
7. Consider the equations
2
x y = (x)xy + b(x)y = 0,
where , b have power series
expansions which are convergent
for |x| < r 0 , r 0 > 0. Let r 1 , r 2
be the roots of the indicial
polynomial, Re r 1 Re r 2 . Let 1
be a solution for x > 0
corresponding to r 1 :
rl
1 (x) = x 1 (x), ( 1 (0)=l),
Where 1 has a power series
expansion valid for | x | < r 0 .
a. Let be any other solution
of (*), and suppose - u 1 .
Show that v = u satisfies
the equation
[ ]v = 0.
'
' 2x1(x)
xv + 2r1 + (x) + 1(x)
b. Since 1 / 1 has a power
series expansion on some
interval |x| < f 0 ,f 0 > 0, show
that the v satisfying (**) has
the form

2r1-0 k
v(x) = x dxx ,
k=0
where the power series
converges for | x | < 0 ,
where 0 is the smaller of
the two numbers, r0, f0.
(Hint: questions 6)
c. Using the results of (), (b)
show that a second solution
2 of (*) exists of the from
2 (x) = c (log x) 1 (x) +

r2
x 2 (x), (x > 0),
Where c is a constant, and
l has a power series

expansion which converges
for |x| < 0 .
7.7 THE BESSEL EQUATION
If is a constant, Re 0, the
Bessel equation of order is the

2 z 2
equation x y + xy + (x - )y = 0.
This has the form
2
, x v + x(x)y + b(x)y = 0, with
2 2
(x) = 1, b(x) = x - .
Since , b are analytic at x = 0,
the Bessel equation has the origin as
a regular singular point. The indicial
polynomial q is given by q(r) r(r

2 2 2
1) + r - = r - .
Whose two roots r 1 , r 2 are r 1 = , r 2
= - .
We shall construct solutions for x >
0.
Let us consider the case = 0 first.
Since the roots re both equal to zero
in this case it follows from previous
theorem that there are two solutions
1 , 2 of the form
1 (x) = 1 (x), 2 (x) = x 2 (x) + (log
x) 1 (x)
expansions which converge for all
finite x. Let us compute 1 , 2 . Let
for the moment

1(x) = 1(x), 2(x) = x2(x) + (log x)1(x)
We see that
c 1 = 0,
[k(k 1) + k]c t + c k-2 = 0, (k =
2,3,....).
The second set of equation is the
same as
ck-2
ck =
k
3 , (k=2,3,...).
The choice c 0 = 1 implies
1 c2 1
c0 = 2 , c4 = 2 = 2 2 , .....
2 4 2 .4
and in general
m m
( 1) ( 1)
c2 = 2 2
2 .4 ...(2m)
2 = 2m
2 (m!)
2, (m = 1,2, ....).
since c 1 =0 we have c 3 = c 5 = ...
=0.
Thus 1 contains only even powers of
x, and we obtain

m 2m
( 1) x
1(x) = 2m 2 ,
2 (m!)
k=0
0
where as usual 0! = 1, and 2 = 1.
The function defined by this series
is called the Bessel function of zero
order of the first kind and is denoted
by J 0 . Thus

m
( 1) x 2m
J0(x) =
( m!)
2 ()
2
k=0
It is easily checked by the ratio test
that this series indeed converges for
all finite x.
We now determine a second solution
2 for the Bessel equation of order
zero. Letting 1 = J 0 this solution has
the from

(c0 = 0).
k
2(x) = ckx + (log x)1(x),
k=0
We obtain
1(x)
(x) = k=1
' k-1 '
kckx + x + (logx) (x)
2 1
1(x)
(x) = k=2
" k-2 2 ' "
k(k-1)ckx + 2 + x + (logx) (x).
2 x 1 1
Thus
( ) 2 " ' 2
L 2 (x) = x (x) + x (x) + x 2(x).
2 2
(k c

) (x) + (log x)L(1)(x)
2 2 2 k '
= c1x+2 c2x + k + ck-2 x + 2x
k=2 1
( )
And since L 1 (x) = 0 we have

m 2m
( 1) 2mx

c1x+2 c2x +
2 2
k=2
( 2
)
k ck + ck-2 x = 2
k
2m
2 (m!)
2
m=1
Hence
2 2
c1 = 0, 2 c2 = 1, 3 c3 + c1 = 0, ....,
2 2
c 1 = 0, 2 c 2 = 1. 3 c 3 + c 1 = 0, ....,
and we see that since the series on
the right has only even powers of x.
c 1 = c 3 = c 5 = ... = 0.

The recursion relation for the other
coefficients is
m+1
2 ( 1) m
(2m) c2m + c2m-2 = 2m-2 2 , (m-2,3,....).
2 (m!)
We have
c2 =
1
2
2 , c4 =
1
2
4 ( 1
2
2

1
2.2
2
) = (1 + )
1
2 2
2 4
1
2
6 [ 2 .4 ( ) ( ) ] 246 ( ), ....,
1 1 1 1 1 1 1 1
c6 = 2 2 1 +22 + 3 =2 1 +
2 2 + 3 2 2 2
2 .4
and it can be shown by induction that

m-1
( )
( 1) 1 1
c2m = 2m 2 1 + 2 + ... + m .(m=1,2,....).
2 (m!)
The solution thus determined is
called a Bessel function of zero order
of the second kind, and is denoted by
K 0 . Hence

m
( 1) x 2m
2 (1 + 2 + ... + m )( 2 )
1 1
K0(x) = + (log x)J0(x).
m=1
( m!)

Using the ratio test it is easy to check
that the series on the right is
convergent for all finite x.
CYP QUESTIONS
1. Prove that the series defining J 0
and K 0 converge for |x| < .
2. Suppose is any solution of

2 2
x y + xy + x y = 0 for x > 0,
l/2
and let (x) = x (x). Show
that satisfies the equation

2
x y + x
"
( 2 14 )y = 0
for x > 0.
3. Show that J 0 has an infinity of

=
positive zeros. (Hint: If 0 (x)
l/2
x j 0 (x), then 0 satisfies
"
y + 1+ [ 1
4x
2
]y = 0, (x > 0).
The function x given by x(x)
= sin x satisfies y + y = 0.
1/
4. a. If 0 and (x) = x
2
J 0 (x), show that
1 2
" + 2 = .
4x
l/2
(Hint: (x) = 0 (x),
where 0 is defined question
3)
b. If , are positive
constants, show that
(2 2)0(x)p(x)dx = (1) (1) (1).

1 ' '
By and subtract to obtain
=
( - ) ( 2 -
2 )
Integrate from 0 to 1
c. If and J 0 () = 0, J 0 ()
= 0, show that
(x) (x)dx = xJ (x)J (x)dx = 0.
1 1
0 0
0 0
5. Using the notation of question 4
show that if J 0 () = 0 then

1
(x) dx =0xJ0(x) dx = 2 (J0()) .
2 2 1 1 2

0
(Hint: Relation (**) in question 4
is valid for any positive and .
Differentiate this with respect to
, and then set = to obtain
[ ( )]
' ' 2
= 2

6. If > 0 is such that J0() = 0,
prove that J0 () 0. (Hint: If

J0() = J0() = 0 the
uniqueness theorem would imply
J0(x) = 0 for x > 0.

Alternately, use question 5
(Remark: The result of this
exercise can be used to show

that the positive zeros of J 0
are denumerable, that is, they
may be put into a one-to-one
correspondence with positive
integers.)
7. Show that J 0 satisfies the Bessel
equation of order one

2 2
x y + xy + (x l)y = 0.
8. Since J 0 (0) = 1, and Jo is
continuous, J 0 (x) 0 in some
interval 0 < x < , for some >
0.. Let 0 < 0 < .

a. Show that there is a second
solution 2 of the bessel
equation of order zero which
has the form
[ ]
x
1
2(x) = J0(x) dt, (0 < x < ).
0(t)
2
t
x0
b. Show that Jo and 2 are
linearly independent on 0 <
x < .
7.8. THE BESSEL EQUATION
Now we compute solutions for the

Bessel equation of order , where
0, and Re 0:
2 2 2
L(y) = x y + xy + (x - ) y = 0.
As before we restrict attention to the
case x > 0. The roots of the indicial
equation are r 1 = , r 2 = -
First we determine a solution
corresponding to the root r 1 = .
From Theorem 3 such a solution 1
has the form

(c0 0).
k
1(x) = x ckx ,
k=0
We find, after a little calculation, that
( )
L 1 (x) = 0.c0x + [(+1)
2 2
]
c1x
+1
+x

k=2
{[(+k) 2
]
2
ck + ck-2}x = 0.
k
Thus we have c 1 = 0,
2 2
[( + k) - ] c k + c k-2 = 0, (k = 2,
3, ....).
Since
2 2
( + k) - = k (2 + k) 0 for k =
2, 3, ...., and c 1 = 0, it follows that
c 1 = c 3 = c 5 =....= 0.
We find
c0 c0
c2 = 2(2+2) = 2 ,
2 (+1)
c2 c0
c4 = 4(2+4) = 2 ,
2 2! (+1)(+2)
c4 c0
c6 = 6(2+6) = 2 ,
2 3! (+1)(+2)(+3)
and,in general,
m
( 1) c0
c2m = 2m
2 m!(+1)(+2)...(+m)
Our solution thus becomes

m 2m
( 1) x
1(x) = c0x + c0x 2m (1)
2 m!(+1)...(+m)
m=1
For = 0, c 0 = 1, this reduces to
J 0 (x).
It is usual to choose
1
c0 =
2 (+1)
, (2)
where is the gamma function
defined by

x s-1
(z ) = e x dx, (Re z > 0).
0
It is readily seen that
(z+1) = z(z). (3)
Indeed, integrating by parts, we have
e
T z s
(z+1) = limT x dx
0
[ | ]
s -z T x x-1
= lim x e T +z e x dx
0 0
T
e
T x z-1
= z lim x dx = z(z),
0
T
s T
Since T e U as T . Also, since
s -T
Te U as T
If z is a positive integer n,
(n+l) = n!.
Thus the gamma function is an
extension of the factorial function to
numbers which are not integers.
The relation (3) can be used to define
(z) for z such that Re z < 0,
provided z is not a negative integer.
To see this suppose N is the positive
integer such that
- N < Re z - N + 1,
Then Re (z + N) > 0, and we can
define (z) in terms of (z + N) by
(z+N)
(z) = z(z+1)...(z+N-1) , (Re z < 0),
Provided z - N + 1. The gamma
function is not defined at 0, -1, -2,....
Returning to, if we use the c 0 given
by we obtain a solution of the Bessel
equation of order which is denoted
by J, and is called the Bessel
function of order a of the first kind:
() (Re )
x ( 1) x
2m
J(x) = ()
2
m!(m++1) 2
0 .
_
m=0
Notice that this formula for J
reduces to J 0 when = 0, since (m
+ 1) = m!.
There are now two cases according as
r 1 r 2 = 2 is a positive integer or
not. If 2 is not a positive integer,
there is another solution 2 of the
form

k
2(x) = x ckx .
k=0
We find that our calculations for the
root r 1 = carry over provided only
that we replace by - everywhere.
Thus
()
( 1) x
2m
J (x) = ()
x
2
m!(m-+1) 2
m=0
gives a second solution in case 2 is
not a positive integer.
Sine (m - + 1) exists for m = 0,
1, 2, .... provided is not a positive
integer, we see that J - exists in this
case, ever if r 1 r 2 = 2 is a positive
integer. Thus, if a is not zero or a
positive integer, J and J - form a
basis for the solutions of the Bessel
equation of order a for x > 0.

The only remaining case is that for
which a is a positive integer, may =
n. There is a solution 2 of the form

-n k
2(x) = x ckx + c(log x)Jn(x).
k=0
We find that
( ) (x) + x (x) + (x n )2(x)

" ' 2 2
L 2 (x) = x2
2 2
{[(

= 0.c0x
n
+ [(1 n) n2]c1x1 n + x-n
2
k=2
2 2
] }
k-n) n ck + ck-2 xk
(x) + c (log x)L(Jn)(x) = 0,

'
+2cxJ
n
n
and since L(Jn)(x) = 0 we have,on multiplying by x
(1 2n)c1x+k=2 [k(k-2n)ck + ck-2]x

k

2m+2m
= -2c
m=0
(2m+n) d2mx (5)
Here we have put

2m+n
Jn(x) = d2mx ,
m=0
and hence
m
( 1)
d2m = 2m+n
2 m!(m+n) !
(6)
The series on the right side of (5)

2n
begins with x , and since n is a
positive integer we have c 1 = 0.
Further, if n > 1,
k(k 2n) c k + c k-2 = 0, (k =
2,3,...,2n 1), and this implies

c 1 = c 3 = c 6 = ...... = c 2n-1 = 0,
whereas
c0 c0
c2 = 2 , c4 = 4
2 (n-1) 2 2!(n-1)(n-2)
and in general
c0
(j=1,2,....,n-1) (7)
2j
c = 4j ,
2 j!(n-1)...(n-j)
2n
Comparing the coefficients of x in
(5) we obtain
c
c2n-3 = 2cnd0 = n-1
2 (n-1) !
On the other hand from it follows that

c0
c2n-2 = 2n-2 ,
2 (n-1)! (n-1) !
and therefore
c0
c= n-1
(8)
2 (n-1) !
Since the series on the right side of
(5) contains only even powers of x
the same must be true of the series
on the left side of (5), and this
implies c 2n+1 = c 2n+3 = ...... = 0.

The coefficient c 2n is undetermined,
but the remaining coefficients c 2n+2 ,
c 2n+4, ..... are obtained from the
equations
+ =
2m(2n + 2m)c 2n + 2m c 2n+2m-3 -
.2c(n + 2m)d 2m , (m=l,2,...).
For m = 1 we have
( )
cd2 1 c2n
c2n+2 = 2 1+ n+1 4(n+1)
We now choose c 2n so that
( )
c2n cd2 1 1
4(n+1)
= 2 1+ 2 + ... + 4
Since 4(n+l) d 2 = - d 0 ,
( )
cd0 1 1
c2n = 2 1+ 2 + ... + n
with this choice of c 2n we have
( )
cd2 1 1
c2n+2 = 2 1+1+ 2 + ... + n+1
For m = 2 we obtain
( )
cd4 1 1 c2n+2
c2n+4 = 2 2 + n+2 2
2 .2.(n+2)
2
Since 2 .2.(n+2)d 4 = -d 2 ,
( )
c2n+2 cd4 1 1 1
2 = 2 1+ 2 +1+ 2 + ... + n+2
2 .2.(n+2)
It ca be shown by induction that
[ (1 + ) + (1 + 12 + ... + n+1m )]
cd2m 1 1
c2n+2 = 2 2 + ... + m
Finally, we obtain for our solution 2
the function given by

n-1
2j
-n -n x
2(x) = c0x + c0x 2j
2 j!(n-1)...(n-1)
j=1
( )
cd0 1 1 n
= 2 1+ 2 + ... + n x
[( ) + (1 + 21 + ... + n+1m )]xn+2m + c(log x)Jn(x).

c 1 1
-2 d2m 1 + 2 + ... + m
m=1

Where c 0 and c are constants related
by (8) and d 2m is given by when c
= 1 the resulting function 2 is often
denoted by K n . In this case

n-l
c 0 = -2 (n-l)!, and therefore we
may write

n-1
1 x -n (n-j-1) ! 2j 1 1 m
Kn(x) = ()
2 2 j! ( 2x ) . 2 n! (1 + 12 + ... + 1n )( 2x )
j=0

m
( 1)
1 x n
()
-2 2
m(m+n)! ( 1
[
1 + 2 + ... + m ) + (1 + 2 + ... + m+n )
1 1 1
]
m=1
2m
( 2x ) + (log x)Jn(x).
This formula reduces to the one for

K 0 (x) when n = 0 provided we
interpret he first two sums o the right
as zero in this case. The function K n
is called a Bessel function of order n
of the second kind. .

CYP QUESTIONS
1. a. Prove that the series
defining J and J - converge
for |x| < .
b. prove that the infinite series
involved in the definition of
K n converges for |x| < .
c. 2 Let be any solution for x
> 0 of the Bessel equation of
order
2 2 2
x y + xy + (x - ) y =
1/2
0, and put (x) = x (x).
Show that satisfies the
equation
[ ]
1 2
"
y + 1+ y=0
4
2
x
for x > 0.
2. a. Show that
x / J1 / 2(x) = 1 sin x.
1 2 2
(2)

b. Show that
x / J 1 / 2(x) = 1 cos x.
1 2 2
(2)
1/
(Hint: From Ex.2, (x) = x
2
J 1/2 (x) satisfies + = 0
for x > 0. and hence (x) =
c 1 cos x + c 2 sin x, where
c 1 , c 2 are constants. Show
that c 1 = 0 and c2 = 2 / ()

1
2
(Note : it can be shown that
( ) =
1
2
3. a. Show that J 0 (x) = J 1 (x).
b. Show that K 0 (x) = K 1 (x).

4. Prove that between any two
positive zeros of J 0 there is a
zero of J 1 . (Hint: use question 4.
and rolle's theorem)
5. Show that if > 0 then J has an
infinity of positive zeros. (Hint: If

1/2
(x) = x J (x) then satisfies
y + (x)y = 0, where
1 2

(x) = 1 +
4
2
x
For all large enough x, say x >

1
x 0 , x>x0, (x) > 4 Compare (*)
with the equation

" 1
y + 2 y = 0 satisfied by x(x) =
sin (x/2). Apply the result of
questions 4 of sec 6.4

6. For fixed > 0, and > 0, let
1/2
(x) = x J (x). Show that
[ ]
1 2
"
+ = -2.
4
2
x
1/2
(Hint: (x) = (x), where
is defined in question
7. If , are positive, show that
(2 2)0(x)(x)dx=(1) (1) (1) (1).

1 ' '
(Hint: Use question 7 to show
that
- = ( -
2 2
) = ( - ) , and
then integrate from 0 to 1
8. If > 0, and , are positive

zeros of J , show that
xJ (x)J (x)dx=0,
1 1
(x)(x)dx =
0 0
If . (Hint: question 8)
9. If > 0, > 0, and J () = 0
Show that
| |
2
(x)dx =
1 2 1 2 1 '
0

0
xJ (-) dx= 2 J () .

(Hint: Differentiate (*), in
question 8, with respect to and
then put = to obtain
[ ( )]
' ' 2
= 2

10. Define 1/(k), when k is a non-
positive integer, to be zero.
Show that if n is a positive
integer the formula for J -n (x)
gives
n
J -n (x) = (-l) J n (x)
11. a. Use the formula for J n (x) to
show that

(x J n ) (x) = x J -1 (x).
b. Prove that
- r -
(x J ) (x)_ = -x J +1 (x).
12. Show that
J -1 (x) - J +1 (x) = 2J (x) and

-1
J -1(x) + J +1 (x) 2x J (x).
Hint: Use the results of question
13. a. Show that between any two
positive zeros of J there is
a zero of J +1 (Hint: Use
question 12(b). and Rollers
theorem)
b. Show that between any two
positive zeros of J +1 there
is a zero of j . (Hint: Use
.question 12a, and rolle's
theorem)
Unit - 8
EXISTENCE AND
UNIQUENESS OF
SOLUTIONS TO FIRST
ORDER EQUATIONS
8.1 INTRODUCTION
In this chapter we consider the
general first order equation
y'=f(x,y), (1)
where f is some continuous function.
Only in rather special cases is it
possible to find explicit analytic
expressions for the solutions of (1).
We have already considered one such
special case; namely, the linear
equation
y'g(x)y+h(x), (2)
where g,h are continuous on some
interval 1. Any solution of (2) can
be written in the form
e
x -Q t
(x) = e ( ) ()
h(t)dt+ce ( )
Q x Q x
x
(3)
Where
g( )dt.
x t
Q(x)=
x
x 0 is in I, and c is a constant. In secs
8.2 and 8.3 we indicate procedure
which can be used to solve other
important special cases of 1.
Our main purpose is to prove that a
wide class of equations of the form
(1) have solutions, and that solutions
to initial value problems are unique.
If f is not a linear equation there

are certain limitations which must be
expected concerning any general
existence theorem.
Example.
2
y = y .
Solution.
2
Here f(x, y) = y , and we see f has
derivatives of all orders with respect
to x and y at every point in the (x, y)-
plane. A solution of this equation
satisfying the initial condition
(1) = -1 is given by
1
(x) = - x ,
However this solution ceases to exist
at x = 0, even though f is a nice

function there. This example shows
that any general existence theorem
for (1) can only asset the existence
of a solution on some interval near-
by the initial point.
The above phenomenon does not
occur in the case of the linear
equation (2), for it is clear form (3)
that any solution exists on all of the
interval 1. This points up one of the
fundamental difficulties we encounter
when we consider nonlinear
equations. The equation often gives
no clue as to how far a solution will
exist.
We prove that initial value problems
for equation (1) have unique

solutions which can be obtained by
an approximation process, provided f
satisfies an additional condition, the
Lipschitz condition. We first
concentrate our attention on the case
when f is real-valued, and later show
how the results carry over to the
situation when f is complex-valued.
8.2. EQUATIONS WITH VARIABLES

SEPARATED
A first order equation
y = f(x,y) is said to have the

variables separated if separated if f
can be written in the from

g(x)
f(x,y) = h(y)
where g, h are functions of a single
argument. In this case we may write
our equation as
h(y) dy = g(x) dx, (1)
For similarly let us discuss the
equation 1 in the case g and h are
continuous real-valued functions
defined for real-valued solution of 1
on some interval I containing a point
x 0 , then
h((x)(x) = g(x) for all x in I, and
therefore
h((t)) '(t) dt =
x x
g(t) dt (2)
x0 x0
for all x in I. Letting u = (t) in the
integral on the left, we see that (2)
may be written as

x
h(u)du= g(t) dt
x0
n
Conversely, suppose x and y are
related by the formula

y x
h(u) du = g(t) dt (3)
y0 x0
and that this defines implicity a
differentiable function (j) for x in I.
Then this function satisfies

x x
h(u) du = g(t) dt
y0 x0
for all x in I, and differentiating we
obtain
( )
h (x) '(x) = g(x)
which shows that is a solution of
(1) on I.
Theorem 1.
Let g, h be continuous real-valued
functions for x b, c y
d respectively, and consider the
equation
h(y)dy = g(x) dx
If G, H are any functions such that
G = g, H = h, and c is any constant
such that the relation
H(y) = G(x) + c
Defines a real-valued differentiable

function for x in some interval 1
contained in a x b, then will be
a solution of (1) on I. conversely, if
is a solution of (1) on I, it satisfies
the relation
H(y) = G(x) + c
On I, for some constant c.
Proof.
Integrating I to obtain
h(y) dy = g(x) dx + c.
Where c is a constant, and the
integrals are anti-derivatives. Thus
H(y) = h(y) dy. G(x) = g(x) dx,
Represent any two functions H, G
such that
H = h. G = g.
Then any differentiable function4
which is defined implicitly by the
relation
H(y) = G(x) + c (4)

Will be a solution of (1). Therefore it
is usual to identify any solution thus
obtained with the relation (4).
Example.
h(y) = 1. Then y = g(x), and every
solution has the from

(x) = G(x) + c, (5)
Where G is any function on x b
such that G = g, and c is a constant.
Moreover, if c is any constant, (5)
defines a solution of y = g(x). Thus
we have found all solutions of y =
g(x) on x b.
Example.
When g(x) = 1, for then we have
Thus, if H = h, any differentiable

function defined implicitly by the
relation
H(y) = x+c (7)
Where c is a constant, will be a
solution of (6)
2
y' = y (8)
2
Here h(y) = 1/y , which we note is
not continuous at y = 0, We have
dy
2 = d,
y
and thus the relation 7 becomes
1
y = x+c
Thus, if c is any constant, the
function given by
1
(x) = x+c (9)
is a solution of (8), provided x - c.
Example.
y' = 3y /
2 2
(10)
This leads to
dy
2/2 = 3 dx
y
If y 0, and hence to
3
y = (x + c) ,
where c is a constant. Thus the
function given by
3
(x) = (x+c) (11)
Will be a solution of (10) for any
constant c.
There may be several solutions
satisfying a given initial condition.
Thus the two functions and given
by
2
(x) = x (x) = 0, (-<x<),
are solution of (10) which pass
through the origin. Actually the
situation, is much worse than

appears, for there are infinitely many
functions which are solutions of (10)
passing through the origin. To see
this let k be any positive number,

and define k by
k(x) = 0, (-<x k),

3
k(x) = ( xk ) , (k<x<)
Then it is not difficult to see that k
is a solution of (10) for all real x, and
clearly k (0) = 0.
CYP QUESTIONS
1. Find all real-valued solutions of
the following equations:
2
a. y = x y
b. yy = x
2
x+x
c. y'= 2
yy
x
e y
d. y'= x
1+e
2 2 2
e. y = x y 4x
2. a. show that the solution of
2
y = y
which passes through the
point (x 0 , y 0 ) is given by
y0
(x) =
1 y0(x x0)
(Note: The identically zero
solution can be obtained
from this formula by letting

y 0 = 0.)
b. For which x is a well-
defined function?
c. For which x is a solution of
the problem
2
y = y , y(x 0 ) = y 0 ?
1/
3. a. Find the solution of y = 2y
2
passing through the point
(x 0 , y 0 ), where y 0 > 0.
b. find all solutions of this
equation passing through
(x 0- 0).
4. A function f defined for real x,
y is said to be homogeneous of
degree k if
k
f(tx, ty) = t f(x,y)
for all t, x, y. In case f is
homogeneous of degree zero we
have
f(tx, ty) = f(x, y) and then we
say the equation y = f(x, y) is
homogeneous.
Such equations can be reduced to
ones with variables separated.
To see this, let y = ux in y =
f(x, y). Then we obtain
xu + u = f(x, ux) = f( 1, u), and
hence
' f(1,u) u
u = x ,
which is an equation for u with
variables separated.
Find all real-valued solutions of
the following equations

x+y
a. y' xy
2
y
b. y' = 2
xy+x
2 2
x +xy+y
c. y' = 2
x
2y/x
y+xe
d. y' = x
5. The equation
1x+b1 + y+c1
y' = c2x+b2y+c2
where 1 ,b 1 ,c 1 , 2 ,b 2 ,c 2 are
constants (c l , c 2 not both 0) can
be reduced to a homogeneous
equation. Assume we do not
have the simple equation y =
c 1 /c 2 , and let x = , + h, y = n +
k, where h, k are constants. Then
(*) becomes
d 1+b1+(1h+b1k+c1)
=
d 2+b2(2h+b2k+c2)
If h, k satisfy
1 h + b 1 k + c1 = 0, 2 h + b 2 k +
c2 = 0 (**)
The equation becomes
homogeneous.

If the equations (**) have no
solution, then 1 b 2 - 2 b 1 = 0,
and in this case either the
substitution
u = 1 x + b 1 y + c 1 or u = 2 x +
b 2 y + c 2 leads to a separation of
variables.
Solve the following equations:

xy+2
a. y' = x+y 1
2x+3y+1
b. y' = x 2y 1
x+y+1
c. y'= 2x+2y 1
6. a. Show that the method of

question 5 can be used to
reduce an equation of the
form
( )
1x+b1y+c1
y' = f 2x+b2y+c2
to a homogeneous equation

b. Solve the equation
( )
2
1 x+y 1
y' =
2 x+2
7. Suppose there is a family F of
curves in a region S in the plane
with the property that through
each point (x, y) of S there
passes one, and only one, curve
C of F, and that the slope of the
tangent of C at (x, y) is given by
f(x. y). where f is continuous. If
a curve in F can be written as (x,

(x)), where x runs over some
interval I, then is a solution of
y = f(x, y). If is any solution
of the equation y = -l/f(x,y),

then the curve C given by the
points (x, (x)) will have a
tangent at each of its points (x,
y) which is perpendicular to the
curve in F passing through (x,

y). The set G of all curves C
is called the set of orthogonal
trajectories to the family F.
The following relations determine
a family of curves, one curve for
each value of the constant c.
Find the orthogonal trajectories
of these families.
2 2
a. x + y = c, (c > 0)
b. y = cx
2
c. y = cx
2 2
x y
d. 2 +3 =c,(c>0)
2 2 x2
e. x y = c f) y = ce
8.3. EXACT EQUATIONS
Suppose the first order equation y =
f(x, y) is written in the form
M(x, y) + N(x, y) y = 0,
Where M. N are real-valued function
defined for real x, y on some
rectangle R. The equation (1) is said
to be exact in R if there exists a
function F having continuous first
partial derivatives there such that
F F
x
= M,
y
= N, (2)
In R.
Theorem 2.
Suppose the equation
M(x,y)+N(x,y) y' = 0 (1)

Is exact in a rectangle R, and F is a
real-valued function such that
F F
x = M, y =N (2)
In R. Every differentiable function
defined implicitly by a relation
F(x, y) = c, (c = constant)
is a solution of (1), and every
solution of (1) whose graph lies in R
arises this way.
Proof.
If 1 is exact in R. and F is a function
satisfying 2, then 1 becomes

F F
x = (x,y) + y = (x,y)y' = 0.
If is any solution on some interval
I, then
F
x ( )
x,(x) +
F
y (x,(x) '(x)) (3)
For all x in 1. If (x) = F(x, (x)),
then equation (3) just says that
(x) = 0, and hence
F(x, (x)) = c,
Where c is some constant. Thus the
solution must be function which is
given implicitly by the relation
f(x,y) = c (4)
Looking at this argument in reverse
we see that if is a differentiable
function on some interval I defined
implicitly by the relation (4) then
F(x, (x)) = c
For all x in I, and a differentiation
yields (3). Thus is a solution of (1).
Example
x
y' = - y (5)
is written in the form
xdx + y dy = 0,
it is clear that the left side is the

2 2
differential of (x + y ) / 2. Thus
any differentiable function which is
defined by the relation

2 2
x + y = c, (c = constant)
is a solution of 5. Note that the
equation 5 does not make sense
when y = 0.
The above example is also a special
case of an equation with variables
separated.
Indeed any such equation is a special
case of an exact equation, for if we
write the equation as
g(x) dx = h(y) dy, it is clear that
an F is given by
F(x, y) = G(x) H(y).
Where G = g, H = h.
Theorem.
Let M, N be two real-valued function
which have continuous first partial
derivatives on some rectangle
R:|x-x 0 | , |y y 0 | b.
Then the equation
M(x, y)+N(x, y)y = 0 is exact in R if,
and only if,
M N
y = x in R.
Proof.
Suppose M(x, y) dx + N (x, y)dy = 0
is exact, and F is a function which has
continuous second derivatives such
that
F F
x = M, y = N.
Then
2 2
F M F N
y x = y , x y = x
and since for such a function

2 2
F F
y x = x y
We must have
M N
y = x
Now suppose is satisified in R. We need to find a function F satisfying

F F
x = M, y = N.
To see how to do this. we note that if we had such a function then
F(x,y) F(x0,y0) = F(x,y) F(x0,y) + F(x0,y) F(x0, y0)

x y
F F
=
x
(s,y)ds + y
(x,t)dt
x0 y0
Similarly we would have

F(x,y) F(x0,y0) = F(x,y) F(x,y0) + F(x,y0) f(x0, y0)

y x
F F
=
y
(x,t)dt + x (s,y0)ds
y0 x0

N(x,t)dt+ M(s,y )ds.
y
x
x0
0 (7)
y0
We now defind F by the formula

x y
F(x,y) = M(s,y)ds + N(x,t)dt (8)
x0 y0
This definition implies that F (x 0 , y 0 )
= 0, and that
F
x (x,y) = M (x,y)
for all (x, y) in R. From (7) we would
guess that F is also given by
M(s,y )ds.
x

y
F(x,y) = N(x,t)dt + 0 (9)
y0
x0
This is in fact true and is a
consequence of the assumption (6).
Once this has been shown, it is clear
from (9) that

F
y (x,y) = N (x,y)
For all (x, y) in R, and we have found
our F.
In order to show that 9 is valid,
where F is the function given by (8),

let us consider the difference
[ M(s,y )ds.]
x
y
F(x,y)- N(x,t)dt + 0
y0
x0
[N(x,t) N(x ,t)]dt

y
]
x
= [M(s,y) M(s,y0) ds - 0
x0 y0
[ [
x y
] ]
x x
M N
=
y
(s,t)dt ds - x
(s,t)ds dt
x0 x0
x0 y0
[
x
y
=
x0
y0
M
y
( s,t)
N
x ]
(s,t) ds dt,
Which is zero by virtue of 6. This
completes our proof of Theorem.

Example.
2
3x 2x
y' = 2
x 2y
(10)
which we write as
2 2
(3x 2xy) dx + (2y x ) dy = 0
Here
2
M(x, y) = 3x 2xy, N(x, y) = 2y
2
x , and a computation shows that
M N
y (x,y)= x (x,y)= -2x.
Which shows that our equation is
exact for all x, y. We know there is
an F such that
F F
x = M, y = N.
Thus F satisfies
F 2
x (x,y) = 3x 2xy,
Which implies that for each fixed y,
2 2
f(x,y) = x + x y+f(y), (11)
Where f is independent of x. Now
F/y = N tells us that
2 2
-x + f(y) = 2y x ,
Or that f (y) = 2y.
Thus a choice for f is given by f(y) =

2
y , and placing this back into (11) we
obtain finally
3 2 2
F(x, y) = x x y + y
Any differentiable function which is
defined implicitly by a relation
2 2 2
x x y+y = c. (12)
where c is a constant, will be a
solution of (10), aijid all solutions
of (10) arise in this way. Often the
solutions are identified with the
relations (12). It is proved in
advanced calculus texts that (12) will
define a unique differentiable
function function near, and passing
through, a given point (x 0 , y0)
provided that
F (x 0 , y 0 ) = c, and that
(x0,y0) 0.
F
y
Notice that the only points (x 0 , y 0 )
satisfying (12) for which
(x0,y0) = 0.
F
y
are those satisfying
2
-x0 + 2y0 = 0.
and these are precisely the points
where the given equation (10) is not
defined. Thus, if (x 0 ,y 0 ) is a point

2 2
for which (3x 2xy) / (x 2y)
is defined, there will be a unique
solution of (10) whose graph passes
through (x 0 , y 0 ).
CYP QUESTIONS
1. The equations below are written
in the form M(x,y) dx + N(x, y)
dy = 0, where M, N exist on the
whole plane. Determine which
equations are exact there, and
solve these.
2 2
a. 2xy dx + (x + 3y )dy = 0
2
b. (x + xy) dx + xy dy = 0
x y
c. e dx + (e (y + 1) dy = 0
2
d. cos x cos y dx sin x sin 2y
dy = 0
2 2 2 2
e. x y dx x y dy = 0
f. (x + y) dx + (x y) dy = 0
2x 2x
g. (2ye + 2x cos y) dx + (e
2
x sin y) dy = 0
2 2
h. (3x log |x| + x + y) dx + x dy = 0
2. Even though an equation M(x, y)
dx + N(x, y) dy = 0 may not be
exact, something it is not too
difficult to find a function u,
nowhere zero, such that

u(x, y) M (x, y) dx + u(x, y)
N (x, y) dy = 0 is exact. Such
a function is called an
integrating factor. For example,
y dx = x dy = 0 is not exact,
but multiplying
2
the equation by u(x, y) = 1/y ,
makes it exact for y 0.
Solutions are then given by y =
cx.
Find an integrating factor for
each of the following equations,
and solve them.
1 2
a. (2y + 2) dx + 3xy dy = 0
b. Cos x cos y dx 2 sin x sin y
dy = 0
1 2 2
c. (5x y + 2y) dx + (3x y +
2x) dy = 0
y y y
d. (e + xe ) dx + xe dy = 0
3. Consider the equation M(x,y) dx
+ N (x,y) dy = 0, Where M, N
have continuous first partial
derivatives on some rectangle R.
Prove that a function u on R,
having continuous first partial
derivatives, is an integrative
factor if and only if,
u( M
y
N
x ) =N
u
x
u
- M y
onR.
4. a. Under the same conditions
as in question 3, show that if the
........
M(x, y) dx + N (x, y) dy = 0
Has an integrating factor
u f ,which is a function of
x alone, then
P=
1 M
N y(
N
x )
Is a continuous function of x
alone.
b. If p is continuous and
independent of y, show that
an integrating factor is given

p(x)
by u(x) = c , where P is
any function satisfying P = p.
5. a. Under the same conditions
as in question 3 show that if
M(x, y) dx + N (x, y) dy = 0
Has an integrating factor u,
which is a function of y
alone, then
q=
1 N
M x(
M
y )
is a continuous function of y
alone.
b. If q is continuous, and
independent of x, show that
an integrating factor is given

Q(y)
by u(y) = e , where Q is
any function such that Q =
q.
6. Consider the linear equation of
the first order
y + (x)y = b(x), where , b are
continuous on some interval 1.
a. Show that there is an
integrating factor which is a
function of x alone. (Hint:
question 4)
b. Solve this equation, using an
integrating factor.
8.4 THE METHOD OF SUCCESSIVE

APPROXIMATIONS
We now face up to the general
problem of finding solutions of the
equation
y' =f(x,y) (1)
where f is any continuous real-valued
function defined on some rectangle
R: |x x 0 | , |y y 0 | b, (, b >
0), in the real (x, y) plane. Our object
is to show that on some interval I
containing x 0 there is a solution of
(1) satisfying
(x0) = y0 (2)
By this we mean there is a real-
valued differentiable function
satisfying (2) such that the points (x,
(x)) are in R for x in I, and
(x) = f(x, (x))
For all x in I. Such a function is
called a solution to the initial value
problem
y' = f(x,y), y(x0) = y0, (3) on I.

Our first step will be to show that the
initial value problem is equivalent to
an integral equation, namely

x
y = y0 + f(t,y) dt (4)
x0
On I. By a solution of this equation on
I is meant a real-valued continuous
function on I such that (x, (x)) is
in R for all x in I, and

f(t,(t)) dt
x
(x) = y0 + (5)
x0
for all x on I.
Theorem 4.
A function is a solution of the initial
value problem (3) on an interval I
if and only if it is a solution of the
integral equation (4) on I. Proof.
Suppose is a solution of the initial
value problem on 1. Then
(
'(t) = f t,(t) ) (6)
On I. Since is continuous on I, and
f is continuous on R, the function F
defined by
F(t) = f(t, (t))

Is continuous on I, Integrating (6)
from x 0 to x we obtain
f(t,(t)) dt
x
(x) = (x0 + )
x0
and since (x 0 ) = y 0 we see that is
a solution of (4).
Conversely, suppose satisfies (5)
on I. Differentiating we find, using
the fundamental theorem of integral
calculus, that
(x) = f(x, (x))
For all x on 1. Moreover from (5) it is
clear that (x 0 ) = y 0 , and thus is
a solution of the initial value problem
(3).
We now turn our attention to solving
(4). As a first approximation to a
solution we consider the function 0
defined by
0 (x) = y 0 .
This function satisfies the initial
condition 0 (x 0 ) = y 0 . but does not
in general satisfy (4). However, if we
compute
f(t, (t)) dt
x
1(x) = y0 + 0
x0

x
= y0 + f(t,y0) dt ,
x0
We might expect that 1 is a closer
approximation to a solution then 0 .
In fact, if we continue the processes
and define successively

0(x) = y0, (7)
f(t, (t)) dt
x
k+1(x) = y0 + y0 + k
(k = 0,1,2,...,)
x0
We might expect, on taking the limit
as k , that we would obtain
k (x) (x)
Where would satisfy
f(t, (t)) dt .
x
(x) = y0 + y0 + 0
x0
Thus would be our desired solution.
We call the functions 0, 1 ,....
defined by 7 successive
approximations to a solution of the
integral equation (4), or the initial
value problem (3). One way to

picture the successive
approximations is to think of a
machine S (for solving) which
converts functions into new
functions S () defined by
f(t, (t)) dt
x
( )
S (x) = y0 + y0 +
x0
0
A solution of the initial value problem
(3) would then be a function which
moves through the machine
untouched, that is, a function
satisfying S() = . Starting with

0 (x) = y 0 , we see that S converts
0 into 1 , and then 1 into 2 .In
general S( k ) = k+1 , and ultimately
we end up with a such that S() =
; see Fig.
Of course we need to show that the
k merit the name, that is, we need
to show that all the k exist on some
interval I containing x 0 , and that they
converge there to a solution of (4),
or of (3).
Example.
y' xy, y(0) = 1 (8)
Solution. The integral equation
corresponding to this problem is

x
y = 1+y0 + ty dt,
x0
and the successive approximations
are given by
0(x) = 1,

x
k+1(x) = 1 + y0 + tk(t)dt, (k=0,1,2,....).
0
Thus

x 2
x
1(x) = 1 + t dt, = 1 + 2
0
( )
2
t x
2
x
4
2(x) = 1 + t 1+ dt = 1 + + 2.4 ,
2 2
0
We recognize k (x) as a partial sum
for the series expansion of the
function
x2/2
(x) = e
We know that this series converges
for all real x, and this just means that
k (x) (x), (k), for all real x.
The function is the solution of the
problem (8).
Let us now show that there is an
interval I containing x0 where all the
functions k, k = 0, 1, 2,...,defined
by (7) exist. Since f is continuous on
R, it is bounded there, that is, there
exists a constant M > 0 such that
|f(x, y)| M
For all (x, y) in R*. Let a be the
smaller of the two numbers , b /M.
then we prove that the k are all
defined on |x - x 0 | .
Theorem.
The successive approximations k ,
defined by (7), exist as continuous
functions on
1: |x x 0 | = minimum {, b/
M} and (x, k (x)) is in R for x in I.
Indeed, the k satisfy

| (x) y | M|x x |
k 0 0 (9)
For all x in I.
Note: Since for x in 1, |x x 0 | b/
M, the inequality (9) implies that
| k (x) y 0 | b
for x in I, which shows that the points

(x, k (x)) are in R for x in I. The
precise geometric interpretation of
the inequality (9) is that the graph
of each k lies in the region T in R
bounded by the two lines y y 0 =
M(x x 0 ), y y 0 = -M(x x 0 ), and
the lines
x x 0 = , x x 0 = - ;
Proof of Theorem. Clearly 0 exists
on I as a continuous function, and
satisfies (9) with k = 0. Now

x
1(x) = y0+y0 + f(t y0) dt,
x0
and hence
| (x) y | = | | | |
x x
1 0 f(t y0) dt, f(t y0) dt M|x-x0|
x0 x0
Which shows that 1 satisfies the
inequality (9). Since f is continuous
on R the function F 0 defined by
F 0 (t) = f(t, y 0 ) is continuous on I.
Thus 1 , which is given by

x
1(x) = y0 + F0(t) dt
x0
is continuous on I.
Now assume the theorem has been
proved for the functions 0, 1,
......, k . We prove it is valid for
k+1 . Indeed the proof is just a

repetition of the above. We know that
(t, k (t)) is in R for t in 1. Thus the
function F k given by
F k (t) = f(t, K (t))
Exists for t in 1. It is continuous on
I since f is continuous on R, and k
is continuous on I. therefore k+1 ,
which is given by

x
k+1(x) = y0 + Fk(t) dt
x0
Exists as a continuous function on I.
Moreover
| | | F (t)| dt | M | |x x |,
x
k+1(x) y0 M k 0
x0
Which shows that k+1 satisfies (9).
The theorem is thus proved by
induction.
CYP QUESTIONS
1. Consider the initial value
problem
y = 3y+l, y(0) = 2.
a. Show that all the successive
approximations 0 , 1 , ...
exist for all real x.
b. Compute the first four
approximations 0 , 1 , 2 ,
3 to the solution.
2. For each of the following
problems compute the fist four
successive approximations 0,
1, 2, 3:
2 2
a. y = x + y , y(0) = 0
b. y = 1 + xy, y(0) = 1
2
c. y =y , y(0) = 0
2
d. y = y , y(0) = 1
3. a. Show that all the successive
approximations for the
problem
2
y = y ,y(0) = 1,
exist for all real x.
b. Find a solution of the initial
value problem in (a). On
what interval does it exist?
c. Assuming there is just one
solution of the problem in
(a), indicate why the
successive approximations
found in (a) can not
converge to a solution for all
real x.
4. Consider the problem
2 2
y = x + y , y(0) = 0, on
R:|x|1, |y|l.
a. Compute an upper bound M
2
for the function f(x, y) = x
2
+ y on R.
b. On what interval containing
x = 0 will all the successive
approximations exist, and be
such that their graphs are in
R?
5. Let f be a real-valued continuous
function defined on the rectangle
R: |x x 0 | , . |y y 0 | b,
(, b > 0).
Let be a real-valued function
defined on an interval I
containing x 0 .
a.
Define carefully what it
would mean to say that is

a solution on I of the initial
value problem
y = f(x, y), y(x 0 ) = y 0 ,
y(x 0 ) = y 1 . (*)
b. Define carefully what it
would mean to say that is
a solution on I of the integral
equation

x
y = y0 + (x - x0)y1 + ( xt ) f(t,y) dt (* *)
x0
c. Show that is a solution of
the initial value problem (*)
on I if and only if is a
solution of the integral
equation (**) on I. (Hint: In
proving the statement one
way it is useful to use the
rule that

x
x F
d
dx
0
F(t,x)dt = F (x,x)
0 x
(t,x)dt,
If F and F/x are.
continuous. In proving the
statement the other way, let
F(x) = f(x, (x)), and solve
y = F(x), y(x 0 ) = y 0 , y(x 0 )
= y 1 , by the variation of
constants method.
6. Let f be the same as in question
5.
a. Define a sequence of
0 , 1 , 2 ,...for (*), or (**)
in question (Hint: Let 0 (x)
= y 0 .)
7. a. Find a sequence of
for the problem
y = x y, y(0)=l, y(0) = 0
and show that the sequence
tends to a limit for all real x.
function defined on the strip
S:|x| , |y|.< , ( > 0), and
let I denote the interval |x|
. Suppose is a real-value
function on I.
a. Define what it would mean to
say that is a solution on I
of the initial value problem

2
y + y = f(x, y), y(0) = 0,
y(0) = 1, ( > 0). (*)

b. Show that is a solution of
(*) on 1 if and only if is
a solution of the integral
equation

x
sinx sin( xt )
y= + f (t,y)dt (* *)

0

on I.(Hint: see the hint in
question)
c. Define a sequence of
0 , 1 , 2 , ... for the initial
vajue problem (*), or the
integral equation (**), and
show that each k is defined
as a continuous function on
I. (Hint:
Let 0 (x) = 0. It is a result
in advanced calculus that if

a function g is continuous in
(t, x), then
g(t,x)dt
x
0
is continuous in x.)
8.5. THE LIPSCHITZ CONDITION
Let f be a function defined for (x,
y) in a set S. We say f satisfies a
Lipscifitz condition on S if there
exists a constant K > 0 such that
|f(x, y 1 ) f(x, y 2 )| K |y 1 y 2 |
For all (x, y 1 ), (x, y 2 ) in S. The
constant K is called a Lipschitz
constant.
If f is continuous and satisfies a
Lipschitz condition on the rectangle

R, then the successive
approximations converge to a
on |x x 0 | . Before we prove
this, let us remark that a Lipschitz
condition is a rather mild restriction
on f.
Theorem.
Suppose S is either a rectangle
| x x 0 | , (y y 0 | b, (, b >
0),
Or a strip
|x x 0 | , |y|<, ( > 0),
and that f is a real-valued function

defined on S such that f/y exists,
is continuous on S, and
| f
y (x,y)| K, ((x,y)in S),
For some K > 0. Then f satisfies a
Lipschitz condition on S with Lipschitz
constant K.
Proof.
We have
f

y1
f(x,y1) f(x,y2) = (x,t)dt
y2 y
and hence
|f(x,y1) f(x,y2)| |y
y1
| y (x,t)|dt| K|y1 y2|,
f
2
For all (x, y 1 ), (x, y 2 ) in S.

Example.
2
f(x, y) = xy on
R: |x| 1, |y| 1.
Here
| f
y (x,y)| = |2xy| 2
For (x, y) on R. This function does
not satisfy a Lipschitz condition on
the strip
S: |x| 1, | y | < ,
Since
| | = |x||y |,
f(x,y1) f(x,0)
y1 0 1
Which tends to infinity as |y 1 | ,
if | x | 0.
Example.
2/3
F(x, y) = y
On
R:|x| l, |y| l.
Indeed, if y 1 > 0,
|f(x,y1) f(x,0)| y1 /
2 3
1
= = =
|y1 0| y1 y1 /
1 3
Which is unbounded as y 1 0.
CYP QUESTIONS
1. By computing appropriate
Uipschitz constants, show that
the following functions satisfy
Lipschitz conditions on the sets S
indicated:
2 2
a. f(x, y) = 4x + y , on S: | x
| 1, | y | 1.
2 2 2
b. f(x, y) = x cos y+ y sin x,
on S: | x | 1, |y| <
3 -xy2
c. f(x,y) = x e , on S: 0 x
, |y| < , ( > 0)
2
d. f(x,y) = (x)y + b(x)y +
c(x), on S: |x| 1, |y|
2, (, b, c are continuous
functions on |x| 1)
e. f(x, y) = (x)y + b(x), on S:
|x| 1, |y| < , (, b are
continuous functions on |x|
1)
2. a. Show that the function f
given by
1/2
f(x, y) = y does not
satisfy a Lipschitz condition
on
R: |x| 1, 0 y 1.
b. Show that this f satisfies a
Lipschitz condition on any
rectangle R of the form
R: |x| , b y c, (, b,
c > 0).
3. a. Show that the function f
given by
2
f(x,y) = x |y| satisfies a
Lipschitz condition on
R:|x| l, |y| l.
b. Show that f/y does not
exist at (x, 0) if x 0.
4. Show that the assumption that
f/y be continuous on S is
superfluous in Theorem 6. (Hint:
For each fixed x the mean value
theorem implies that

F(x,y1) f(x,y2) = (x,)(y1 y2)
f
y
8.6. CONVERGENCE OF THE

SUCCESSIVE APPROXIMATIONS
We now prove the main existence
theorem.
Theorem. (Existence Theorem).
Let f be a continuous real-valued
function on the rectangle
R: |x x 0 | , |y y 0 | b, (, b>0),
and let
|f(x, y)| M
For all (x, y) in R. Further suppose
that f satisfies a Lipschitz condition
with constant K in R. Then the
f(t, (t))dt, (k = 0,1,2,...),
x
0(x) = y0, k+1(x) = y0 + k
x0
Converge on the interval
I: |x x 0 | = min {, b/M}
to a solution of the initial value
problem y = f(x, y), y(x 0 ) = y 0
on I.
Note : If f is just continuous on R
it is possible to show that there is a
on I. Since more sophisticated
methods from advanced calculus are
required for the proof of this, we
shall forego such a proof. However,
in order to show that the successive
approximations converge to a
solution, something more than the
continuity of f must be assumed; see
question 3.
Proof of Theorem. Convergence of
{ (x)}.The
k key to the proof is the
observation that k may be written
as
k = 0 + ( 1 - 0 ) + ( 2 - l )
+.....+ ( k - kl ), and hence k (x)
is a partial sum for the series
[ (x)-

0(x) + p p-1 (x)]
p
Therefore to show that the sequence
{ k (x)} converges is equivalent to
showing that the series (1)
converges. To prove the latter we
must estimate the terms p (x) -
p1 (x) of thus series.

The functions p all exist as
continuous functions on I, and (x,
p (x)) is in R for x in 1. Moreover,
| (x)- (x)| M|x x |

1 0 0 (2)
for x in I. Writing down the relations
defining 2 and 1 , and subtracting,
we obtain
| |f (t, (t)) f(t, (t))|dt|

x
| (x)- (x)| =
2 1
x0
1 0
Therefore
|f(x,y1) f(x,y2)| K|y1 y2|,

and since f satisfies the Lipschitz
condition
|f(x,y 1 ) f(x, y 2 )|K|y 1 y 2 |.

we have
|
| (x)- (x)| K | (t) (t)|dt |
x
2 1 1 0
x0
Using we obtain
| | | |.
x
2(x)-1(x) KM
x0
|t x0|dt
Thus,if x x0,
2
(x x0)
| (x)- (x)| KM
x
2 1 x0
(t x0)dt = KM 2
The same result id valid in case x x0.

We shall prove by induction that
p
|x x0|
p1
| (x)- (x)|
MK
p p-1 p! (3)
For x in 1. We have seen that this
is true for p =1 and p = 2. Let us
assume x x 0 ; the proof is similar
for x x 0 . Assume (3) for p = m.
Using the definition of m,1 and m
we obtain
[(
x
m+1(x) - m(x) =
x0
) (
f t,m(t) f t,m-1(t) )] dt,
and thus
|(
x
| m+1 (x) - m(x)|

x0
) (
f t,m(t) f t,m-1(t) )| dt.
Using the Lipschitz condition we get
|
x
| m+1 (x) - m(x)| K
x0
m (t) - m-1(t)| dt
Since we have assumed for p = m
this yields
m+1

|x x0|
x m
| (x) - m(x)|
m
m MK
|t x0|
MK
m+1 m! dt= (m+1) !
x0
This is just (3) for p = m + 1, and
hence is valid for all p = 1,2,...., by
induction.
It follows from 3 that the infinite
series

[ (x)-

0(x) + p (x)]
p-1 (1)
p=1
Is absolutely convergen on I, that is,the series
| (x)| + | (x)-

0 p p-1 (x)| (4)
p=1
Is convergent on I.Indeed, from we see that

p
M K |x x0|
p
| (x)-
p (x)|
p-1 k p!
Which shows that the p-th term of
the series in (4) is less than or equal
to M/K times the p-th term of the
K
power series for e |xx 0 |. Since the
k|xx0|
power series for e is
convergent, the series is convergent
for x in I. this implies that the series
1 is convergent on I. therefore the
kth partial sum of 1, which is just
k (x), tends to a limit (x) as k ,
for each x in I.
Properties of the limit . This limit
function is a solution to our
problem on I. First, let us show that
is continuous on I. This may be
seen in the following way. If x 1 , x 2
are in I
| |
x1
| |
k+1(x1)-(x2) =
x2
( )
f t,k(t) dt M |x1 x2|
Which implies, by leeting k ,
|(x1) (x2)| M |x1 x2| (5)
This shows that as x 2 x 1 (x 2 )
(x 1 ), that is, is continuous on i.
Also, letting x 1 = x, x 2 = x 0 in we
obtain
|(x) y 0 | M |x - x 0 |, (x in I)
Which implies that the points (x,

(x)) are in R for all x in I.
c) Estimate for |(x) - k (x)|.
We now estimate |(x) - k (x)|.
We have
[ (x)-

(x) = 0(x) + p p-1 (x)]
p=1
and
[ (x)-
k
k(x) = 0(x) + p p-1 (x)]
p
Therefore, using 3, we find that
|(x)- | = | |

k
p=k+1
[ (x)
p p-1 (x)]
| |

p=k+1
[ (x)
p p-1 (x)]

p
M (K)
K p!
p=k+1

p
M (K)
k+1
(K)
K (k+1) ! p!
p=k+1
k+1
M (K) k
= K (k+1) ! e (6)
k+1
Letting k = (K) / (k +1)!, we
see that k 0 as k, since k
is a general term for the series

K
for e . In terms of k (6) may
be written as
|(x)- |
k
M k
Ke k, ( k 0, k ) (7)
The limit is a solution. To
complete the proof we must
show that
f(t,(t)) dt
x
(x) = y0 + (8)
x0
For all x in I. the right side of 8
makes sense for is continuous
on I, f is. continuous on R, and
thus the function F given by
F(t) = f(t, (t))
Is continuous on I. Now
f(t,(t)) dt
x
k+1(x) = y0 +
x0
and k+1(x) (x), as k .
Thus to prove (8) we must show
that for each x in 1
(
x x
x0
f t,k(t) dt) x0
( )
f t,(t) dt, ( k ) (9)
We have
| f(t, (t)) dt|

x x
x0
(
f t,(t) dt ) x0
k
f(t, (t)) |dt|

x
|f(t,(t))
x
| dt k
x0 x0

x
K| |(t) k(t)|dt| (10)
x0
Using the fact that f satisfies a
Lipschitz condition. The estimate
can now be used in 10 to obtain
| |
x

x
( )
f t,(t) dt
x0
( )
f t,k(t) dt Me k|x x0|
K
x0

Which tends to zero as k ,
for each x in I. This proves 9,
and hence that satisfies 8.
Thus our proof of theorem is now
complete.
The estimate 6 of how well the
kth approximation k
approximates the solution is
worthy of special attention.
Theorem.
The kth successive
approximation k to the solution
of the initial value problem of
Theorem 7 satisfies
k+1
|(x)- (x)|
k
M (K)
K (k+1) ! e
k
For all x in I.
CYP QUESTIONS
y = 1 2xy, y(0) = 0.
a. Since the differential
equation is linear, an
expression can be found for
the solution. Find it
b. Consider the above problem
on
1
R:|x| 2 , |y| 1.
If f(x,y) = 1 2xy, show that
|f(x, y)| 2, ((x,y) in R)
And that all the successive
approximations to the
1
solution exist on |x| 2 , and
their graphs remain in R

c. Show that f satisfies a
Lispschitz condition on R
with Lipschitz constant K =
1, and therefore the
converge to a solution of
the initial value problem on

1
|x| 2
d. Show that the
approximations 3 satisfies
|(x) - 3 (x)| < 01

1
For |x| 2
e. Compute 3 .

2
y = 1 + y , y(0) = 0.
a. Using separation of
variables, find the solution

of this problem. (It is not
difficult to convince oneself
that the separation of
variables technique gives the
only solution of the problem)
On what interval does
exist?
b. Show that all the successive
approximations 0 , 1 , 2 ,...
Exist for all real x.
c. Show that k (x) (x) for

1
each x satisfying |x| 2
(Hint:
2
Consider f(x, y) = 1 + y on
1
R:|x| 2 , |y| 1.
1
Show that = 2
3. On the square
R:|x|1, |y|l,
Let f be defined by
f(x,y) = 0 if x = 0, |y| 1,
= 2x, if 0<|x| 1, -1y<0,
4y 2
=2x x if 0 <|x| 1, 0yx ,
2
=-2x, if 0 <|x| 1, x y 1.
a. Show that this f is
continuous on R, and |f(x,
y)| 2 on R. (It might help
to make a sketch).
b. Show that this f does not
satisfy a Lipschitz condition
on R.
c. Show that the successive
approximations 0 , 1 , 2 ...
for the problem
d. y = f(x, y), y(0) = 0, satisfy

= 2
0 (x) 0, 2m-l (x) = X ,
2
2m (x) = -x , (m = 1,2, ...)
e. Prove that neither of the
convergent subsequences in
(c) converge to a solution of
the initial value problem.
(Note: This problem has a
solution but the above shows
that it can not be obtained
by using successive
approximations)
4. Let f satisfy the conditions of the
previous Theorem Show that the
0 (x) = y 0 ,
0(x) = y0
( )
x
k+1(x) = y0 + (x x0)y1 + ( xt ) f t,k(t) dt (k =0,1,2, ..)
x0

Converge on the interval
I: | x x 0 | = minimum {, b
/ M 1 },
Where M 1 = |y 1 | + (M/2), to
a solution of the initial value
problem y = f(x, y), y(x 0 ) = y 0 ,
y (x 0 ) = y 1 .
8.7 NONLOCAL EXISTENCE OF

SOLUTIONS
There are many cases when a
solution to the initial value problem
exists on the entire interval |x x 0 |
, and in such cases we say that a
solution exists nonlocally.
Example. An example of nonlocal
existence is furnished by the linear
equation
y' + g(x)y = h(x) (1)
The solutions exist on every interval
where g and h are continuous.
Suppose g and h are continuous on
|x x 0 | , and that K is a positive
constant such that
|g(x)|K, (|x x 0 | ).
Then if we write (1) as y = f(x, y) =
-g(x) y +(x ), we see that
|f(x, y 1 ) f(x, y 2 )| = | g(x) (y 1
y 2 )| K |y 1 y 2 |
For all (x, y 1 ), (x, y 2 ) in the strip
S:|x x 0 | , |y| < ,

We can show that if f satisfies a
Lipschitz condition in a strip S,
instead of in a rectangle R, then
solutions will exist on the entire
interval.
Theorem.
Let f be a real-valued continuous
function on the strip
S: |x x0| , y(x0) = y0 (2)
exist on the entire interval |x x 0 |
, and converge there to a solution

of (2).
Proof.
The successive approximations are
given by
0(x) = y0,
f(t, (t)) dt,

x
k+1(x) = y0 + k (k = 0,1,2,...).
x0
An induction argument establishes
the existence of each k for
|x x 0 | ;
Since f is continuous on S, the

function F 0 given by
F 0 (x) = f(x, y 0 ) is continuous for |x
x 0 | , and hence bounded there.
Let M be any positive constant such
that
|f(x,y0)| M, (|x x0| ) (3)
The proof of convergence follows
from
| | | f(t,y ) dt|
x
1(x)-0(x) = 0
x0
| |
f(t,y ) dt M|x x |,
x
0 0
x0
Due to (3).
The limit function need no longer
satisfy the inequality (5) for the M
given in (3). However, we note that
(3) is valid, and this implies that
| ]| | (x)- |
k k
| k(x) y0 = | p=1
[ p(x) p 1(x)
p=1
p p-1

k
p
K |x x0|
p p
M K |x x0|
p
M

K p! K p!
p=1

M
K (eK-1),
For |x x0| . If we let
M
b = K e -1 ,( K
)
we see that the approximations
satisfy
| k (x) y 0 | b, (|xx 0 |), and
taking the limit as k we obtain
|(x) y 0 | b, (|x x 0 | ) .
Now since f is continuous on
R: |xx 0 |, |yy 0 |b,
It is bounded there, that is, there is a
positive constant N such that |f(x,y)|
For (x, y) in R. The continuity of
may now be exhibited. Indeed, x 1 ,x 2
in our interval |x x 0 | ,
| |
x1
| (x1)-k+1(x2)| =
k+1
x2
( )
f t,k(t) dt N |x1 x2|,
Which implies, on letting k ,

|(x 1 ) - (x 2 )| |x 1 x 2 |.
The remainder of the proof is a
repetition of parts (c) and (d) of the
proof of theorem in section 7.6 with
replaced by a everywhere.
Corollary.
Suppose f is a real - valued
continuous function On the plane
| x | < , | y | <, which satisfies a
Lipschitz condition on each strip
S : | x | , | y | < ,
Where is any positive number. Then
every initial value problem y =
f(x,y), y(x 0 ) = y 0 , has a solution
which exists for all real x.

Proof.
If x is any real number there is an
> 0 such that x is contained inside an
interval |x x 0 | . For this a the
function f satisfies the condition; of
theorem 9 on the strip
|x x 0 | , | y | <
Since this strip is contained in the
strip
|x| |x 0 | + , | y | < .
Thus { k (x)} tends to (x), where
is a solution to the initial-value
problem.
Example.
An example of a nonlinear equation
satisfying the conditions of this
corollary is
2 x
y e 2
y' =
1+y
2 + x cos y (4)
If we let f(x, y) denote the right side
of (4) we see that f is continuous on
the plane. Since
f (y43y2) x 2
(x,y) = 1 + y2 e x sin y,
y
( )
We have
| yf (x,y)| 3e + 2
For all (x,y) in the strip
S : |x| , |y| <
Hence, satisfies a Lipschitz condition
on S with Lipschitz constant

2
K = 3e + .
Therefore equation (4), together with
any initial condition y(x 0 ) = y 0 , is a
problem which has a solution existing
for all real x.

Note that the function f given by f(x,
2
y) = y does not satisfy a Lipschitz
condition on any strip S , although it
satisfies one on any rectangle R. As
we have seen in Sec. 1 the problem

2 =
y = y , y(1) -1 ahs a solution
which exists only for x > 0.
CYP QUESTIONS

2 2 2
y = (3x + l)cos y + (x 2x)
sin 2y
on the strip S : |x| ( >
0). If f (x, y) denotes the right side

of this equation, show that f satisfies
a Lipschitz condition on the strip S,
and hence every initial value problem

y = f(x, y), y(x0) = y0, has a
solution which exists for all real x.
2. Let
(|x| < 1).

cosy
f(x,y) = 2 ,
1x
a. Show that f satisfies a
Lipschitz condition on every
strip S : |x| , where 0 <
< L
b. Show that every initial value
problem y = f(x, y), y(0)
= y 0 , (|y 0 | < ), has a
solution which exists for |x|
< 1.
y = f(x) p (cos y) + g(x) q (sin
y),
where f, g are continuous for all
real x, and p, q are polynomials.
Show that every initial value

problem for this equation has a
solution which exists for all real
x.
4. Let f be a rea1valued
continuous function on the strip
S: |x x 0 | , |y| <, ( >0),
And suppose that f satisfies on
S Lipschitz condition with
constant K > 0 Show that the
0(x) = y0,
( )
x
k+1(x) = y0 + (x x0)y1 + ( xt ) f t,k(t) dt, (k = 0,1,2,..)
x0
Exist as continuous functions on
the whole interval 1 : |x x 0 |,
and converge on I to a solution

of the initial value problem y =
f(x, y), y(x 0 ) = y 0 , y (x 0 ) = y 1 .

5. Prove the Corollary to theorem
in sec 8.7 for the initial value
problem
y = f(x,y), y(x 0 ) = y 0 ,
y(x) = y 1 .
function, on the strip
S: | x | , | y | < , ( > 0),
And suppose f satisfies a
Lipschitz condition on S with
constant K > 0. Show that the
0(x) = 0,

x
sin( xt )
k+1(x) =
sinx
+
x0
( )
f t,k(t) dt, ( > 0),
(k = 0,1,2,...)
Exist as continuous functions on
I: | x | , and converge there

to a solution of the initial value
2
problem y + y = f(x, y), y(0)
= 0, y (0)=1.
7. Prove the corollary to theorem
in sec 8.7 for the initial value
problem
2
y + y = f(x,y), y(0) = 0,
y(0)=1.
8. Let q be a realvalued
continuous function on I: |x|
, where > 0. Consider the

2
y + y = q(x)y, (0), y(0) =
0, y (0) = 1
a. Show that there is a solution
of (*) on I, and give an

integral equation which
also satisfies.
b. If q is continuous for all real
x, show that there is a
solution of (*) for all real x.
(Hint: See questions 4, 5, 6,
7)
Theorem.
Let f g be continuous on R, and
suppose f satisfies a Lipschitz
condition there with Lipschitz
constant K. Let , be solutions of
respectively on an interval I
containing x 0 with graphs contained
in R. If the inequalities
1 + (x, y) g(x 1 , y) |y 1 y 2 |
f are valid, then

(e | )

|(x)-(x)| eK|x x | +
0
K
K x x0|
1 (5)
For all x in I.
Proof
y' = f(x,y), y(x0) = y1 (1)

and
y(x0) = y
2
y' = g(x,y), (2)
R: |x x0| , |y y0| b, (, b > 0)
where f, g are both continuous real-
valued functions on
R: |x x 0 |, [y y 0 | b, (, b>0),
and
(x 0 , y 1 ), (x 0 , y 2 ) are points in R.
We shall show that if g is close to f,
and y 2 close to y 1 , then any solution
of (2) on an interval I containing

x 0 is close to a solution of (1) on
1. Suppose there exist nonnegative
constants , such that
|f(x,y) g(x,y)| , ((x,y)in R) (3)

And
|y1 y2| (4)
If we take g = f and y 0 = y 1 = y 2 we
see that we may choose = 0, =
0, and we have
Corollary 1.
Let f be continuous and satisfy a
Lipschitz condition on R. If and
are two solutions of
y = f(x,y), y(x 0 )= y 0 ,
on an interval I containing x 0 , then
(x) = (x) for all x in I.
We remark that some restriction on f,
in addition to continuity, is required
in order to guarantee uniqueness.
Example.
2/3
y = 3y , y(0) = 0,
2/3
Here f (x, y) = 3y , and thus f
is continuous for all (x, y). The two
functions , given by
2
(x) = x , (x) = 0, (- < x < ),
are both solutions of this problem.
Of course, as we have seen in Sec.5,
this f does not satisfy a Lipschitz

condition on any rectangle containing
the origin.
Intuitively, if we have a sequence of
functions g k f on R, and a sequence
y k y 0 , we would expect that the
solutions k of
y' = gk(x,y) y(x0)= yk (6)
would tend to the solution of
y' = f (x,y), y(x0)= y0 (7)
This is a direct consequence of (5).

Suppose the g k are continuous on R
and there are constants k such that
|f(x,y) gk(x,y)| k (all (x,y) in R) (8)
and constants k such that

|yk y0| k
Where k and k tend to 0 as k .
Applying (5) we obtain
Corollary 2.
Let f be continuous and satisfy a
Lipschitz condition on R. Let the g k (k
= 1, 2,....) be continuous on R and
satisfy for some constants
k 0 (k), and let y k y 0 (k
If k is a solution of (6) on an
interval I containing x 0 and is the
solution of on I, then k (x) (x) on
I.
Proof of the theorem 10. From 1, 2
we see that
f(t,(t)) dt
x
(x) = y1 +
x0
f(t,(t)) dt
x
(x) = y2 +
x0
and hence
[ f(t,(t)) g(t,(t))] dt
x
(x)-(x) = y1 y2 +
x0
[f(t,(t)) f(t,(t))] dt+ [f(t,(t)) g(t,(t))] dt

x x
=y1 y2
x0 x0
Using (3), (4) and the fact that f
satisfies a Lipschitz condition with
constant K, we obtain for x x 0 .
|(t)-(t)| dt +
x
| |
(x)-(x) +K
x0
(x x0) (9)
If
|(t) (t)| dt
x
E(x) =
x0

we see that may be written as
E'(x) = KE (x) + (x x0) (10)
This is a first order differential
inequality which we may solve in
the same way we solve first order
linear differential equations.

-K(xx0)
Multiplying (10) by e we get,
after changing x to t,
K(tx0)E
[e ]
K(tx0) K(tx0)
(t)e +(tx 0 )e
An integration from x 0 to x yields
[1- e ] + [-K(x x ) 1] e
k(x x0) K(x x0) K(t x0)
e K 2 0 + 2
K K
Multiplying both sides of this

K(xx0)
inequality by e we find
[e ] [K(x - x0) + 1] +
K(x x0)
e (
K x x0)
E(x) K -1 - 2 2
K K

and using this in (9) we obtain finally
[ ]
K(t x0)
e (
K t x0)
| |
(x)-(x) e + K -1 .
This is just (5) for x x 0 . A similar
proof holds in case x x 0 .
CYP QUESTIONS
1. Consider the initial value
problem
10 1
y' = xy + y , y(0) = 10
a. Show that a solution of
this problem exists for

1
|x| 2 (Hint:
Consider this problem on
1
R:|x| 2 , |y- 101 | 101
10
If g(x, y) = xy + y , show
that
|g(x,y)| <
1
5
for (x, y) in R, and hence
that the of theorem 7 may

1
be taken to be 2
b. For small |y| the problem (*)
can be approximated by the
problem
1
y' = xy, y(0) = 10
Compute a solution of this
problem, and show that its

1
graph is in P for |x| 2
c. Show that
| (x)-(x) | 2
10
5 ( x 2
)
e| | / 1
1
For |x| 2
(Hint: Apply Theorem 10
with f(x, y) = xy on R.)

d. prove also that
| (x)- (x) | 1
10
5 ( e| |-1
x
)
r 2
y = y + x sin y, y(0) = 1
where A is some real parameter,
|| 1.
a. Show that the solution of
this problem exists for |x|
1.
b. Prove that
x |x|
|(x)e | || (e 1)
For |x| 1.
3. Let f be a continuous function for

(x, y, ) in R: |xx0|, |y
y0|b, | - 0| c.
Where , b, c > 0, and suppose
there is a constant K > 0 such
that
|f(x,y 1 ,) f(x, y 2 , )| K |y 1
y2|
For all (x 1 , y 1 , ), (x, y 2 , ) in R.
Further suppose that f/ exists
and there is a constant L > 0
such that
| f (x,y,)| L
For all (x,y,) in R. If
represents the solution of y =
f(x, y,, y(x 0 ) = y 0 . show that
| |
(x)-(x)
L| |
K ( e | 0|-1
K x-x
)
For all x for which , exist.
4. A. Apply question 3 to the

2
y + y = q(x)y, y(x 0 ) =
y 0 , where is real, and q is
continuous for |x x 0 | .
5. Let f, g be as in Theorem the
previous, and consider the two
initial value problems
y = f(x, y), y(x 0 ) = y 0 , y(x 0 )
= y 1 (*) y = g(x,y), y(x 0 ) = z 0 ,
y(x0) = z 1 , (**)
Suppose , are solutions of (*)
and (**), respectively, on an
interval 1 containing x 0 . State,
and prove, analogues of theorem
10, and corollaries 1 and 2,
(Hint, question 5, sec 8.4

x
(x) = y0 + (x x0)y1 +
x0 ( )
( xt ) f t,(t) dt,

x
(x)z0+(x x0)z1+ ( xt )g(t,(t))dt.
x0
[f |y 0 z 0 | 0 , |y 1 z 1 | 1 ,
show that the estimate is valid
with = 0 , K. replaced by K,
replaced by 1 + (/2)
6. Let f be a realvalued continuous
function on the strip
S : |x| |y| < , ( > 0),
And suppose f satisfies a
Lipschitz condition on S. Show
that the solution of the initial

2
value problem y + y = f(x,
y), y(0) = 0 y(0) =1 ( > 0), is
unique. (Hint: Apply question 5.)
(Note: From Ex.6 sec 7, it follows
that a solution exists on |x| )

7. Let and be solutions of the
two problems
2
y + y = f(x, y), y(x 0 ) = y 0 ,
y(x 0 ) = y 1 ,
2
y + y = g(x, y), y(x 0 ) = z 0 ,
y'(x 0 ) = z 1 ,
respectively, with > 0. State
and prove analogues of Theorem
10, and Corollaries 1 and 2, for
this situation. (Hint: Apply
question 5)
Unit - 9
PARTIAL DIFFERENTIAL
EQUATIONS OF THE FIRST
ORDER
9.1 PARTIAL DIFFERENTIAL

EQUATIONS
We now proceed to the study of
partial differential equations proper.
Such equations arise in geometry and
physics when the number of
independent variables in the problem
under discussion is two or more.

When such is the case, any
dependent variable is likely to be a
function of more that one variable,
so that it possesses not ordinary
derivatives with respect to a single
variable but partial derivatives with

respect to several variables. For
instance, in the study of thermal
effects in a solid body the
temperature may vary from point
to point in the solid as well as from
time to time, and as a consequence,
the derivatives

x , y , z , t ,
will, in general, be nonzero.
Furthermore in any particular
problem it may happen that higher
derivatives of the types
2 2 3

2 , x t x2 t ,
, etc.
x
may be of physical significance.

When the laws of physics are applied
to a problem of this kind, we
sometimes obtain a relation between
the derivatives of the kind
( )
2 2

F x , ..., 2 , ..., x t , ... = 0
x
Such an equation relating partial
derivatives is called a partial
We define the order of a partial
differential equation to be the order
of the derivative of highest order
occurring in the equation. If, for
example, we take to be the
dependent variable and x, y and t
to be independent variables, then the
equation
2

2 = t
x
is a second order equation in two
variables. The equation
2
( x ) + t =0
is a first - order equation in two
variables, while

x= x + y y = 0
is a first order equation in three
variables
In this unit we shall consider partial
differential equations of the first
order, i.e., equations of the type

F(, x ) = 0
In the main we shall suppose that
there are two independent variables
x and y and that the dependent
variable is denote by z. If we write
z z
P = x , q = y
we see that such an equation can be
written in the symbolic form
f(x, y, z, p, q) = 0
9.2 ORIGINS OF FIRSTORDER

PARTIAL DIFFERENTIAL EQUATIONS
We shall examine the interesting
question of how they arise. Suppose
that we consider the equation
2 2 2 2
x +y +( zc ) = a (1)
in which the constants a and c are
arbitrary. Then equation represents
the set of all spheres whose centers
lie along the z axis. If we
differentiate this equation with
respect to x, we obtain the relation
x + p(z c) = 0 while if we
differentiate it with respect to y, we
find that y + q(z c) = 0
Eliminating the arbitrary constant c
from these two equations, we obtain
the partial differential equation
yp xq = 0 (2)
which is of the first order. In some
sense, then, the set of all spheres
with centers on the z axis is

characterized by the partial
differential equation (2).
Example
2 2 2 2
x +y = ( zc ) tan (3)
in which both of the constants c and
are arbitrary, represents the set of
all right circular cones whose axes
coincide with the line Oz. If we
differentiate equation (3) first with
respect to x and then with respect to
y, we find that
2 2
p(z-c)tan = x,q(z-c)tan =c (4)
and, upon eliminating c and a from
these relations, we see that for these
cones also the equation (2) is
satisfied.
Now what the spheres and cones
have in common is that they are
surfaces of revolution which have the
line Oz as axes of symmetry. All
surfaces of revolution with this
property are characterized by an
equation of the form
(
Z = f x +y
2
)
2
(5)
where the function f is arbitrary. Now

2 2
if we write x + y = u and
differentiate equation (5) with
respect to x and y, respectively, we
obtain the relations
p = 2f'(u), q = 2yf'(u)
Thus we see that the function z
defined by each of the equations (1),

(3) and (5) is, in some sense, a
solution of the equation (2).
We shall now generalize this
argument slightly. Consider the
equation
F(x,y,z,,b)=0 (6)
Where and b denote arbitrary
constants. If we differentiate this
equation with respect to x, we obtain
the relation
F F F F
x +P z = 0, y +q z =0 (7)
The set of equations (6) and (7)
constitute three equations involving
two arbitrary constants and b, and
in the general case, it will be possible

to eliminate and b from these
equations to obtain a relation of the
kind
f(x,y,z,p,q)=0 (8)
showing that the system of surfaces
(1) gives rise to a partial differential
equation (8) of the first order.
The obvious generalization of the
relation (5) is a relation between x, y
and z of the type
F(u,v) = 0 (9)
where u and v are known functions
of x, y, and z and F is an arbitrary
function of u and v. If we
differentiate equation (9) with

respect to x and y, respectively, we
obtain the equations
F
u { uu + zu p} + VF { xv + zv p} = 0
F
u { u
y +
u
z q } +
F
v { F
v +
v
z }
q =0
and if we now eliminate F/u and
F/u from these equations, we
obtain the equation
(u,v) (u,v) (u,v)

P (y,z)
+ q (z,x) = (x,y) (10)
Which is a partial differential
equation of the type (8).
It should be observed, however, that
the partial differential equation (10)
is a linear equation; i.e., the powers
of p and q are both unity, whereas

equation (8) need not be linear. For
example, the equation
2 2 2
(x ) + (y + b) + z = 1 which
represents the set of all spheres of
unit radius with center in the plane
xOy, leads to the firstorder
nonlinear differential equation
2 2 2
z (l + p + q ) = 1
CYP QUESTIONS
1. Eliminate the constants and b
from the following equations:
a. z = (x + ) (y + b)
2
b. 2z = (x + y) + b
2 2 2
c. x + by + z = 1
2. Eliminate the arbitrary function f
from the equations
a. (
z = xy + f x + y
2
)
2
b. z = x+y +f(xy)
c. z=f ( )
xy
z
d. z =f( xy )
e. ( 2 2 2 2
f x + y + z , z 2xy = 0 )
9.3 CAUCHY'S PROBLEM FOR
FIRST- ORDER EQUATIONS
The business of an existence theorem
is to establish conditions under which
we can assert whether or not a given
partial differential equation has a

solution at all; the further step of
proving that the solution, when it
exists, is unique requires a

uniqueness theorem. The conditions
to be satisfied in the case of a first-
order partial differential equation are
conveniently crystallized in the
classic problem of Cauchy, which in
the case of two independent
variables may be stated as follows:
Cauchy's Problem. If
a. x 0 (), y 0 (), and Z 0 () are
functions which, together with
their first derivatives, are
continuous in the interval M
defied by 1 < < 2 ;
b. And if F(x,y,z,p,q) is a
continuous function of x,y,z,p,
and q in a certain region U of the
xyzpq space, then it is required

to establish the existence of a
function (x,y) with the
following properties:
1. (x,y) and its partial
derivatives with respect to x
and y are continuous
functions of x and y in a
region R of the xy space.
2. For all values of x and y lying
in R, the point
{x,y,(x,y), (x,y), v (x,y)}
lies in U and
F[x,y,(x,y),
(x,y), y (x,y)] = 0
3. For all belonging to the
interval M, the point {x 0 (),
y 0 ()} belongs to the region
R, and
{x 0 (),y 0 ()} = z 0
Stated geometrically, what we wish
to prove is that there exists a surface
z = (x,y) which passes through the
curve whose parametric equations
are
x = x0(), y = y0(), z =z0() (1)
and at every point of which the
direction (p,q,1) of the normal is
such that
F(x,y,z,p,q) = 0 (2)
The significant point is that the
theorem cannot be proved with this
degree of generality. To prove the
existence of a solution of equation

(2) passing through a curve with
equations (1) it is necessary to make
some further assumptions about the
form of the function F and the nature
of the curve . There are, therefore,
a whole class of existence theorems
depending on the nature of these
special assumptions. The classic
theorem in this field is that due to
Sonia knowalewski:
Theorem.
If g(y) and all its derivatives are

continuous for |y y 0 | < , If x 0 is
=
a given number and z 0 = g(y 0 ), q 0
g (y 0 ), and if f(x,y,z,q) and all its
partial derivatives are continuous in
a region S defined by
|x x 0 | < , |y y 0 | <, |qq 0 | <
then there exists a unique function
(x, y) and all its partial derivatives
are continuous in a region R
a. (x,y) and all its partial
derivatives are continuous in a
region R
defined by |x x 0 | < 1 , |y y 0 |
< 2;
b. For all (x, y) in R, z = (x,y) is a
solution of the equation

z z
x =f(x,y,z= y )
c. For all values of y in the interval
|y y 0 | < 1 , (x 0 ,y) = g(y).
Before passing on to the discussion
of the solution of first-order partial
differential equations, we shall say

a word about different kinds of
solutions. Relations of the type
F(x,y,z,,b) = 0
Led to partial differential equations of
the first order. Any suclrelation which
contains two arbitrary constants
and b and is a solution of a partial
differential equation of the first order
is said to be a complete solution or
a complete integral of that equation.
On the other hand any relation of the
type
F(u, v) = 0
Involving an arbitrary function F
connecting two known functions and
v of x, y, and z and providing a

solution of a first-order partia
differential equation is called a
general solution or a general integral
of that equation.
It is obvious that in some sense a
general integral provides a much
broader set of solutions of the partial
differential equation in question than
does a complete integral.
9.4. LINEAR EQUATIONS OF THE

FIRST ORDER
They partial differential equations of
the form
Pp + Q q = R (1)
Where P, Q and R given functions of
x, y, and z (which do not involve p

or q), p denotes z/x, q denotes
z/y, and we wish to find a relation
between x, y and z involving an
arbitrary function. The first
systematic theory of equations of this
type was given by Lagrange. For that
reason equation (1) is frequently
referred to as Lagrange's equation.
Its generalization to n independent
variables is obviously the equation
X1p1+X2p2+...+Xnpn=Y (2)
Where X1, X 2 ,...X n and Y are
functions of n independent variables
x1, x 2 ,.....,x n and a dependent
variable f; p, denotes f/x i , (i = 1,2,
....,n). It should be observed that
in this connection the term linear

means that p and q (or, in the
general case, p 1 ,p 2 ,...p n ) appear to
the first degree only but P, Q, R may
be any functions of x, y, and z. This
is in contrast to the situation in the
theory of ordinary differential
equations, where z must also appear
linearly. For example the equation
z z 2 2
x x + y y = z + x
is linear, whereas the equation
dz 2 2
x dx =z +x
is not
The method of solving linear
equations of the form (1) is
contained in:
Theorem.
The general solution of the linear
partial differential equation
Pp + Q q = R (1)
Is
F(u,v) = 0 (3)
where F is an arbitrary function and
(x,y,z) = c 1 and v (x,y,z) = c 2 form a
solution of the equations
dx dy dz
P = Q = R (4)
Proof.
If the equations (5) satisfy the
equations (4), then the equations u
dx + u y dy + u z dz = 0
dx dy dz
and P = Q = R must be compatible;
ie, we must have
Pu + Qu y + Ru z = 0
Similarly we must have
Pv + Qv y + Rv 2 = 0
Solving these equations for P, Q and
R we have
P Q R
= =
(u,v) / (y,z) (u,v) / (z,x) (u,v) / (x,y) (8)
Now we already showed that the
relation
F(u, v) = 0
Leads to the partial differential
equation
(u,v) (u,v) (u,v)
P = (y,z) + q (z,x)
= (x,y) (9)
Substituting from equations (8) into
equation (9), we see that (3) is a
solution of the equation (1) if u and v
are given by equations (5).
Example.
Find the general solution of the
differential equation
2 z 2 z
x x +y y = (x+y)z
Solution. The integral surfaces of this
equation are generated by the
integral curves of the equations
dx dy dz
x
2 =
y
2 = (x+y)z (10)
The first equation of this set has
obviously the integral

-1 -1
x -y = c1 (11)
and it follows immediately from the
equations that
dxdy dz
x y
2 2 = (x+y)z (12)
Which has the integral
xy
z = c2
Combining the solution (11) and (12)
we see that the integral curves of the
equations (10) are given by equation
(12) and the equation
xy
z = c3 (13)
and that the curves given by these
equations generate the surface
F ( xy
z ,
xy
z )=0 (14)
Where the function F is arbitrary.
It should be observed that this
surface can be expressed by
equations such at
xy
z = xyf ( z )
xy
or z = xyg ( xy )
(in which f and g denote arbitrary
functions), which are apparently
different from equation)
The theory we have developed for the
case of two independent variables
can, of course, be readily extended to
the case of n independent variables,
though in this case it is simpler to
make use of an analytical method of
proof than one which depends on the

appreciation of geometrical ideas.
The general theorem is:
Theorem.
If u 1 (x 1 ,x 2 ,...., x n ,z) = c i (i = 1,2,
...,n) are independent solutions of
the equations
dx1 dx2 dxn dz

P1 = P2 = ... = Pn = R
Then the relation (u 1 ,u 2 ,...u n ) = 0,
in which the function arbitrary, is a
general solution of the linear partial
z z z
P1 x1 + P2 x2 + ... + Pn xn = R
Proof.
To prove this theorem we first of all
note that if the solutions of it
equations
dx1 dx2 dxn dz
P1 = P2 = ... = Pn = R (15)
Are
ui(x1,x2, ..., xn, z) = ci i = 1,2,... N (16)
then the n equations

n
ui ui
dxj + dz = 0 i = 1,2,...,n (17)
j=1
xj
z
Must be compatible with the
equations (15). In other words, In
other words, we must have

n
u ui
Pj
xj
R+ z =0 (18)
j=1
(Solving the set of n equations (18)
for P i , we find that
Pi R
(
u1,u2 ....,un )
=
(
u1u2, ..., un )
i = 1,2....n (19)
(
x1...xi-1z,xi+1 ...,xn ) (x1, .....,xn)
When (u1,u2 ....,un) / (x1,x2 .....,xn) denotes the Jacobian

[ ]
u1 u1 u1
x1 x2 ... xn
u2 u2 u2
x1 x2 ... xn
. . .
. . .
. . .
un un un
x1 x2 ... xn
Consider now the relation
(u1,u2 ....,un) = 0 (20)
Differentiating it with respect to x i ,
we obtain the equation
(
n
j=1
uj uj z
uj xi
+
z xi )
and there are n such equations, one
for each value of i. Eliminating the
n quantities /u 1 ,...,/u n from
these equations, we obtain the
relation
(u1,...un) z (u1,...,uj 1,uj+1,....un)

n
(x1,...xn)
+
j=1 xj (x1,...,xj 1, zxj+1, ..., xn)
=0 (21)
the equation (21), we see that the
function z defined by the relation
(20) is a solution of the equation

z z z
P1 x1 + P2 x2 + ... + Pn xn = R (22)
as we desired to show,
Example.
If u is a function of x,y and z which
satisfies the partial differential
equation

u u u
( yz ) x + ( zx ) y + ( xy ) z = 0
Show that u contains x, y and z only

2
in combinations x + y + z and x
2 2
+ y + z . In this case the auxiliary
equations are
dx dy dz du
yz = zx = xy = 0
And they are equivalent to the three
relations
du = 0
dx + dy + dz = 0
xdx + y dy+ z dz = 0
which show that the integrals are
2 2 2
u = c 1 , x+y + z = c 2 , x + y + z = c3
Hence the general solution is of the
2 2 2
form u = f(x + y + z, x + y + z )
CYP QUESTIONS
Find the general integrals of the
linear partial differential equations:
2 2
1. z(xp yq) = y x
2 2
2. px(z 2y ) = (z qy)(z y
3
2x )
3. px(x + y) = qy(x + y) (x y)
(2x + 2y + z)
2
4. y p xyq = x (z zy)
2 2
5. (y + zx) p (x + yz) q = x y
2 2 2 2
6. x(x + 3y )p y (3x + y )q =
2 2
2z(y x )
9.5. INTEGRAL SURFACES PASSING
THROUGH A GIVEN CURVE
We shall now indicate how a general
solution ay be used to determine the
integral surface which passes
through a given curve. We shall
suppose that we have found two
solutions
u (x,y,x) = c1, v(x,y,z) = c2 (1)
of the auxiliary equations. Then, as
we saw any solution of the
corresponding linear equation is of
the form
F(u,v) = 0 (2)
Arising from a relation
F(c1,c2) = 0 (3)
Between the constants c 1 and c 2 . The
problem we have to consider is that
of determining the function F in
special circumstances.
If we wish to find the integral surface
which passes through the curve c
whose parametric equations are
x = x(t), y = y(t), z = z(t)
where t is a parameter, then the
particular solution (1) must be such
that u{x(t), y(t), z(t)} = c 1 , v{x(t),
y(t), z(t)} = c 2
We therefore have two equations
from which we may eliminate the
single variable t to obtain a relation
of the type (3). The solution, we are
seeking is then given by equation
(2).
Example 3.
Find the integral surface of the linear

2
partial differential equation\ x(y +
2 2 2
z) p y (x + z)q = (x y )z which
contains the straight line x + y = 0, z
= 1.
The auxiliary equations
dx dy dz
= =
( 2
x y +z ) ( 2
y y +z ) (x
2
y z )
2
have integrals
2 2
xyz = c1, x +y 2z = c2 (4)
For the curve in question we have the
freedom equations
x = t, y = -t, z = 1
Substituting these values in the pair
of equations (4), we have the pair

2 2
-t = C 1 , 2t 2 C2
and eliminating t from them, we find
the relation
2c 1 + C 2 + 2 = 0
Showing that the desired integral
surface is
2 2
x + y + 2xyz 2z + 2 = 0
CYP QUESTIONS
1. Find the equation of the integral
surface of the differential
equation
2y(z 3)p + (2x z)q = y(2x-3)
Which passes through the circle z

2 2
= 0, x +y = 2x.
2. Find the general integral of the

2
(2xy 1) p (z 2x ) q = 2 (x yz)
And also the particular integral
which passes through the line x
= 1 y=0.
3. Find the integral surface of the
equation
2 2 2
(x y)y p + (y x)x q = (x +
2
y )z
3
Through the curve xz = a , y = 0.
equation
2 2 3
2x(y + z ) p + y (2y + z ) q = z
2
and deduce that yz(z + yz 2y)
2
= x is a solution.
5. Find the general integral of the
equation
(x y) p + (y x z)q = z and
the particular solution through

2 2
the circle z = 1, x + y =1.
x(z + 2)p + (xz + 2yz + 2y)q
= z(z + )
Find also the integral surfaces
which pass through the curves:
a. y = 0,
2
b. z = 4x
c. y = 0,
3 2
d. z + x(z + ) = 0
Unit -10
NONLINEAR PARTIAL
DIFFERENTIAL EQUATIONS
OF THE FIRST ORDER
We turn now to the more difficult
problem of finding the solutions of
the partial differential equation
F (x, y, z, p, q) = 0 (1)
in which the function F is not
necessarily linear in p and q.
We saw that the partial differential
equation of the two parameter
system
F (x, y, z, p, q) = 0 (1)
was of this form. It will be shown a
little later that the converse is also
true; ie, that any partial differential
equation of the type (1) has solutions
of the type (2). Any envelope of the
system (2) touches at each of its
points a member of the system. It
possesses therefore the same set of
values (x,y,z,p,q) as the particular
surface, so that it must also be a
solution of the differential equation.
In this way we are let to three classes
of integrals of a partial differential
equation of the type (1) :
a. Two parameter systems of
surfaces
f(x, y, z, , b) = 0
Such an integral is called a
complete integral.
b. If we take any one-parameter
sub system
f{x,y,z,,(a)} =0
of the system (2) and form its
envelope, we obtain a solution of
equation
(1). When the function () which
defines this subsystem is arbitrary,
the solution obtained is called the
general integral of (I) corresponding
to the complete integral (2). When
a define function () is used, we
obtain a particular case of the
general integral.
If the envelope of the two-parameter
system (2) exists, it is also a solution
of the equation (1); it is called the
singular integral of the equation.
We can illustrate these three kinds of
solution with reference to the partial
2
( 2
z 1+p +q =1
2
) (3)
we showed that
2 2 2
( x - ) + ( y - b) + z = 1 (4)
was a solution of this equation with
arbitrary and b. Since it contains
two arbitrary constants, the solution
(4) is thus a complete integral of the
equation (3).
Putting b = in equation (4), we
obtain the one-parameter subsystem
2 2 2
(x - ) + (y- ) + z = 1
Whose envelope is obtained by
eliminating between this equation
and
x + y - 2 = 0
so that it has equation
2 2
(x - y) + 2z + 2 (5)
Differentiating both sides of this
equation with respect to x and y,
respectively, we obtain the relations
2zp = yx, 2zq = x - y

From which it follows immediately
that (5) is an integral surface of the
equation (3). It is a solution of type
(b); i.e., it is a general integral of the
equation (3).
The envelope of the two-parameter
system (3) is obtained by eliminating
and b from equation (4) and the
two equations
x-=0 y-b=0
(y mx c) = (1 + m )(1 z ) (6)
2 2 2
is a complete integral of equation
(3), since it contains two arbitrary
constants m and c, and it cannot be
derived from the complete integral
(4) by a simple change in the values

of a and b. It can be readily shown,
however, that the solution (6) is the
envelop of the one-parameter
subsystem of (4) obtained by taking
b = m + c.
CYP QUESTIONS
1. verify that z = x + by + + b
- b is a complete integral of the
z = px + qy + p + q pq
where and b are arbitrary
constants. Show that the
envelope of all plans
corresponding to complete
integrals provides a singular
solution of the differential
equation, and determine a

general solution by finding the
envelope of those planes that
pass through the origin.
2. Verify that the equations
a. Z= 2x + + 2y + b
2 -1
b. z + = 2(1 + )(x+y)
are both complete integrals
of the partial differential
equation
1 1
Z= p + q
show, further, that the
complete integral (b) is the
envelope of the
oneparameter subsystem
obtained by taking

b = - - 1+
in the solution ().

10.2 CAUCHY'S METHOD OF
CHARACTERISTICS
We shall now consider methods of
solving the nonlinear partial
(
F x,y,z,
z
x ,
z
Y )=0 (1)
In this section we shall consider a
method, due to Cauchy, which is
based largely on geometrical ideas.
The plane passing through the point
P(x 0 ,y 0 ,z 0 ) with its normal parallel
to the direction n defined by the
direction ratios (P 0 , q0, - 1) is
uniquely specified by the set of
numbers D(x 0 ,y 0 ,z 0 ,p 0 ,q 0 ).
Conversely any such set of five real

numbers defines a plane in three-
dimensional space. For this reason a
set of five numbers D(x,y,z,p,q) is
called a place element of the space.
In particular a plane element (x 0 , y 0 ,
z 0 , p 0 , q 0 ) whose components satisfy
an equation
F(x,y,z,p,q) = 0 (2)
is called an integral element of the
equation (2) at the point (x 0 ,y 0 ,z 0 ).
It is theoretically possible to solve an
equation of the type (2) to obtain an
expression
q G(x,y,zp) (3)
from which to calculate q when x, y,
z and p are known. Keeping x 0 , y 0 ,
and z 0
Figure 16
fixed and varying p, we obtain a set
of plane elements {x 0 ,y 0 ,z 0 ,p,G
(x 0 ,y 0 ,z 0 ,p)}, which depend on the
single parameter p. As p varies, we
obtain a set of plane elements all
of which pass through the point P and
which therefore envelop a cone with
vertex p;
the cone so generated is called the
elementary cone of equation (2) at
the point P (of Fig.16).
z = g(x,y) (4)
If the function g(x,y) and its first
partial derivatives g (x,y), g y (x,y)
are continuous in a certain region R
of the xy plane, then the tangent
plane at each point of S determines a
plane element of the type
{x0,y0g(x0,y0),g(x0,y0,)gy(x0,y0)} (5)
Which we shall call the tangent
element of the surface S at the point
{x 0 ,y 0 g(x 0 ,y 0 )}.
It is obvious on geometrical grounds
that:
Theorem.
A necessary and sufficient condition
that a surface be an integral surface
of a partial differential equation is
that at each point its tangent element
should touch the elementary cone of
the equation.
A curve C with parametric equations
x = x(t), y = y(t), z = z ( t) (6)
lies on the surface (4) if
z(t) = g {x(t),y(t)}
for all values of t in the
appropriate interval I. If P0 is a
point on this determined by the
parameters t0, then the direction
ratios of the tangent line P0P1 (cf
Fig 17) are {x (t0),

y (t 0 ),y(t 0 ),z(t 0 )}. where x(t 0 )
denotes the value of dx/dt when t =

t0, etc. This direction will be
perpendicular to the direction
(p 0 ,q 0 ,1)if z(t 0 ) = p 0 x 0 (t 0 ) +
q 0 y 0 (t 0 )
For this reason we say that any set
{x(t),y(t),z(t),p(t),q(t)} (7)
of five real functions satisfying the
condition
z'(t) = p(t)x'(t) + q(t)y'(t) (8)
defines a strip at the point (x,y,z) of
the curve C. If such a strip is also an
integral element of equation (2),

we say that it is an integral strip of
equation (2); ie., the set of functions
(7) is an integral strip of equation (2)
provided they satisfy condition (8)

and the further condition
F {x(t), y(t), z(t), p(t), q(t)} (9)
For all t in I.
If at each point the curve (6) touches
a generator of the elementary cone,
we say that the corresponding strip
is a characteristic strip. We shall now
derive the equations determining a
characteristic strip. The point (x +
dx, y + dy, z + dz) lies in the tangent
plane to the elementary cone at P if
dz = p dx + q dy (10)
where p, q satisfy the relation (2).
Differentiating (10) with respect to p,
we obtain .
dq
0 = dx + dp dy (11)
Where, from (2)
F F dq
p + q dp =0 (12)
Solving the equations (10), (11), and
(12) for the ratios of dy, dz to dx, we
obtain
dx dy dz
Fp = Fq = pFp + qFq (13)
So that along a characteristic strip
x(t), y(t), z(t) must be proportional

to F p , F q , pF p + qF q , respectively. If
we chose the parameter t in such a
way that
x'(t) = Fp, y'(t) = Fq (14)
then
z'(t) = Fp, + qFq (15)
Along a characteristic strip p is a
function of t so that
p p
p'(t) = x x'(t) + y y'(t)
p F p F
= x p + y q
p F q F
= x p + x q
since p / y = q /x.
Differentiating equation (2) with
respect to x, we find that
F F F p F q
x + z p+ p x + q x =0
so that on a characteristic strip
p'(t) = - (F + pFz) (16)

and it can be shown similarly that
q'(t) = - (Fy + qFz) (17)
Collecting equations (14) to (17)
together, we see that we have the
following system of five ordinary
differential equations for the
determination of the characteristic
strip
x'(t) = Fp, y'(t) Fq, z'(t) = pFp + qFq (18)

p'(t) = -F- pFz, z'(t) = -Fy qFz
These equations are known as the
characteristic equations of the
differential equation (2), if the
functions which appear in equations
(18) satisfy a Lipschitz condition,
there is a unique solution of the
equations for each prescribed set of
initial values of the variables.

Therefore the characteristic strip is
determined uniquely by any initial

element (x 0 , y 0 , z 0 , p 0 , q 0 ) and any
initial value t 0 of t.
The main theorem about
characteristic strips is:
Theorem.
Along every characteristic strip of the
equation F(x,y,z,p,q) = 0 the
function F(x,y,z,p,q) is a constant.
Proof.
Along a characteristic strip we have
{x(t), y(t), z(t), q(t)}

d
dt F
= Fx' + Fyy' + Fzz' + Fpp' + Fqq'
= FFp + FyFq + Fz(pFp + qFq) Fp(F+ pFz) Fq(Fy + qFz)

=0
So that F(x,y,z,p,q) = k, a constant
along the strip.
As a corollary we have immediately:

Theorem:
If a characteristic strip contains at
least one integral element of
F(x,y,z,p,q) = 0 it is an integral strip
of the equation F(x,y,z,z ,z y )= 0.
We are now in a position to solve
Cauchy's problem. Suppose we wish
to find the solution of the partial
differential equation (1) which passes
through a curve whose freedom
equations are
x = (), y =(), z =() (19)
then in the solution
x = x(p0, q0, x0, y0, z0, t0, t), etc (20)
of the characteristic equations (18)
we may take x0 = (), y0 = (),

z 0 = () as the initial values of x, y,
z. The corresponding initial values of

P0, q0, are determined by the
relations
() = p 0 () + q 0 ()
F{(), (), (), p 0 , q 0 } = 0
If we substitute these values of x 0 ,
y 0 , z 0 , p 0 , q 0 and the appropriate
value of t 0 in equation (20), we find
that x, y, z can be expressed in terms
of the two parameters t, v, to give
x = X1(v, t), y = Y1(v, t), z = Z1(v, t) (21)
Eliminating v, t from these three
equations, we get a relation
(x, y, z) = 0
Which is the equation of the integral
surface of equation (1) through the
curve . We shall illustrate this
procedure by an example.
Example.
Find the solution of the equation z =

2 2
(p + q ) + (p x) (q y) which
passes through the x-axis.
Solution.
It is readily that the initial values
are x 0 = v, y 0 = 0, z 0 = 0, P 0 =
0, q 0 = 20 t 0 = 0 the characteristic
equations of this partial differential
equation are
dx dy dz
dt = p + q y, dt = p + q x, dt = p( p + qy ) + q( p + qx )
dp dq
dt = p + q y, dt =p+qx

From which it follows immediately
that
X = v + p, y = q 2v
Also it is readily shown that
d d
dt ( p + qx ) = p + q x, dt ( p + qy ) = p + q y +
Giving
t t
p + q x = ve , P + q y = ve
Hence we have
( t
x = v 2e 1 , ) (
y=v e 1 ,
t
) (
p = 2v e 1
t
) ( t
q=v e +1 ) (22)
Substituting in the third of the
characteristic equations, we have

dz 2 t 2 t
dt = 5v e2 3v e
With solution
z=
5 2
2v ( e
2
t
)
1 3v e 1
2
( t
)

Now from the first pair of equations
(22) we have
t yx
e = 2yx , v = x 2y
so that substituting in (23), we
obtain the solution
1
z= 2 y( 4x3y )
CYP QUESTONS
1. Find the characteristics of the
equation pq = z, and determine
the integral surface which passes

2
through the parabola x = 0, y = z.
2. Write down, and integrate
completely, the equations for the
characteristics of
2
(1 + q )z = px
Expressing x, y, z and p in terms
of , where q = tan , determine

2
through the parabola x = 2x, y = 0.
3. Determine the characteristics of

2 2
the equation z= p q , and find
through the parabola 4z + x = 0,
y = 0.
4. Integral the equations for the
characteristics of the equation

2 2
p + q = 4z
expressing x, y, z. and p in terms
of q, and then find the solutions
of this equation which reduce to

2
z = x + 1 when y = 0.
10.3 COMPATIBLE SYSTEMS OF
FIRSTORDER EQUATIONS
We shall net consider the condition
to be satisfied in order that every
solution of the first order partial
f(x, y, z, p, q) = 0 (1)
is also a solution of the equation
g(x, y, z, p, q) = 0 (2)
When such a situation arises, the
equations are said to be compatible.
If
(f, g)
J= (p,q)
0 (3)
We can solve equations (1) and (2)
to obtain the explicit expressions

p = (x, y, z), q =(x, y, z) (4)
for p and q. The condition that the
pair of equations (1) and (2) should
be compatible reduces then to the
condition that the system of
equations (4) should be completely
integrable, i.e, that the equation
dx + dy dz = 0
Should be integrable. We see that
the condition that this equation is
integrable is
(- z ) + ( z ) ( x - y ) = 0
Which is equivalent to
x + z = y + z (5)
equation (1) and differentiating with
regard to x and z, respectively, we
obtain the equations

fx + fp x + fq x = 0
f z + f p z +f q z = 0
from which it is readily deduced that

f x + f z + f p ( x + z ) + f q ( x +
z ) = 0
Similarly we may deduce from
equation (2) that g x + g z + g y ( x
+ z ) + g q ( x + z ) = 0
Solving these equations, we find that
{ }
1 (f,g) (f,g)
x + z = J (x,p)
+ (z,p) (6)
Where J is defined as equation (3).

If we had differentiated the given
pair of equations with respect to y
and z, we should have obtained
{ }
1 (f,g) (f,g)
y + z = -J (y,p)
+ (z,p) (7)
So that, substituting from equations
(6) and (7) into equation (5) and
replacing , by p, q, respectively,
we see that the condition that the
two conditions should be compatible
is that
[f, g] = 0 (8)
(f,g) (f,g) (f,g) (f,g)
Where [f, g] = (x,p) + p (z,p) + (y,p) + q (z,p) (9)
Example.
Show that the equations xp = yq,
z(xp + yq) = 2xy are compatible and
the solve them.

Solution.
We may take f = xp yq, g = z(xp +
yq) 2xy so that
(f,g) (f,g) 2 (f,g) (f,g)

(x,p)
= 2xy, (z,p)
= - x p. (y,p)
= - 2xy, (z,p)
= xyp
from which it follows that
[f,g] = xp(yq xp) = 0
Since xp = yp. The equations are
therefore compatible
It is readily shown that p = y/z, q =
x/z, so that we have to solve
z dz = y dx + x dy
2
which has solutions z = c 1 + 2xy
where c 1 is constant.

CYP QUESTIONS
1. Show that the equations

2
xp yq = x. x p + q = xz are
compatible and find the solution.
2. Show that the equation z = px
+ qy is compatible with any
equation f(x,y,z,p,q) = 0 that is
homogeneous equations
Solve completely the
simultaneous equations z = px +
2 2
qy, 2xy (p + q ) = z (yp + xq)
3. Show that the equations f(x, y,
p, q) = 0, g(x, y, p, q) = 0 are
compatible if
(f,g) (f,g)
(x,p)
+ (y,p) = 0
Verify that the equations p =
P(x,y), q = Q(x,y) are compatible
if
P Q
y = x
4. If u 1 = u / x, u 2 = u / y,,
u 3 = u / z, show that the
equations
f(x, y, z, u 1 , u 2 , u 3 ) = 0, g (x, y,
z, u 1 , u 2 , u 3 ) = 0 are compatible
if
(f,g) (f,g) (f,g)

+ + =0
(x,u1) (y,u2) (z,u3)
10.4. CHARPIT'S METHOD
A method of solving the partial
f(x, y, z, p, q) = 0 (1)

due to Charpit, is based on the
considerations of the last section.
The fundamental idea in Charpit's
method is the introduction of a
second partial differential equation of
the first order
g(x, y, z, p, q, a) = 0 (2)
which contains an arbitrary constant
a and which is such that:
a. Equation (1) and (2) can be
solved to give
P = P (x,y,z,a), q = q(x, y, z, a)
b. The equation
dz = p(x,y,z,a) dx + q (x,y,z,a) dy (3)

is integrable.
When such a function g has been
found, the solution of equation
F(x,y,z,a,b) = 0 (4)
containing two arbitrary
constants a, b will be a solution
of equation (1). From the
considerations it will be seen that
equation (4) is a complete
integral of equation (1).
The main problem then is the
determination of the second equation
(2), but this has already been solved
in the last section, since we need
only seek an equation g = 0
compatible with the given equation
f = 0. The conditions for this are
symbolized in equations (3) and (8)
of the last section. Expanding the
latter equation, we see that it is
equivalent to the linear partial
fp x + fq y + (pfp + qfq) z - (fx + pfz) p -(fy + qfz) q = 0
g g g g g
(5)
for the determination of g. Our
problem then is to find a solution of
this equation, as simple as possible,
involving an arbitrary constant a, and
this we do by finding an integral of
the subsidiary equations
dx dy dz dp dq
fp = fq = pfp + qfq =
(fx + pfz)
=
(fy + qfz)
(6)
in accordance with Theorem 3. These
equations, which are known as

Charpit's equations, are equivalent to
the characteristic equation (18) of
sec. 8.Once an integral g(x,y,z,p,q,a)
of this kind has been found, the
problem reduces to solving for p,q,
and then integrating equation (3) by

the methods of Sec.6 of Chap. 1.
It should be noted that not all of
Charpit's equations (6) need be used,
but that p or q must occur in the
solution obtained.
Example 7.
Find a complete integral of the
equation
2 2
P x+q y=z (7)
The auxiliary equations are
dx dy dz dp dq
= = = =
2px 2qy
( )
2 2 2 2
2 p x+q y pp qq
From which it follows that
2 2
p dx + 2px db q dy + 2qy dq
2 = 2
p x q y

and hence that
2
p x = aq2y
(8)
where a is a constant. Solving
equations (7) and (8) for p,q, we
have
1 1
{ az
}, { z
}
2 2
p= (1 + a)x
q= (1 + a)y
so that equation (3) becomes in this
case
1 1 1
( 1+a
z ) 2
dz = () a
x
2
dx + ()
1
y
2
dy
With solution
1/2
{(l+a)z} = (ax) + y + b
Which is therefore a complete
integral of (7).
PROBLEMS
Find the complete integrals of the
equations:
2 2
1. (p + q ) y = qz
2
2. P = (z + qy)
2
3. Z = pqxy
2 2
4. xp + 3yq = 2(z x q )
5 3 2 2
5. px 4q x + 6x z 2 = 0
6. 2(y + zq) = q(xp + yq)
2
7. 2(z + xp + yq) = yp
11. Special Types of First Order
Equations
In this section we shall consider some
special types of first order partial
differential equations whole solutions
may be obtained easily by Charpit's
method.
a. Equations Involving Only P and
q. For equation of the type
F(p,q) = 0 (1)
b. Charpit's equations reduce to
dx dy dz dp dp
fy = fq = pfp + qfq = 0 = 0
An obvious solution of these
equation is
P= (2)
the corresponding value of q
being obtained from (1) in the
from
f(a,q) = 0 (3)
so that q = Q(a) a constant. The
solution of the equation is then
z = ax + Q(a)y + b (4)
where b is a constant.
We have chosen the equation dp
= 0 to provide our second
equation. In some problems the
amount of computation involved
is considerably reduced if we
take instead dq = 0, leading to q

= a.
Example 8.
equation pq = 1.
In this case Q(a) = 1/a, so that we
see, from equation (4), that a
complete integral is
y
z = ax + a
+b
2
which is equivalent to a x + y az =C
where a, c are arbitrary constants.
b) Equations Not involving the
independent variables. If the
partial differential equation is of
the type
f(z, p, q) = 0 (5)
Charpit's equations take the
forms
dx dy dz dp dq
fp = fq = pfp + qfq = pfz = qfa
the last of which leads to the
relation
p = aq (6)
Solving (5) and (6), we obtain
expressions for p, q from which a
complete integral follows
immediately.
Example.
2 2 2
equation p z + q = 1. Putting
p aq, we find that

1 1
2 2 2 2
2
( 2 2
q 1+a z = 1, ) (
q= 1+a z ) 2
(
p=a 1+a z ) 2
( 1+a z
2 2
) 2
dz = a dx + dy
Hence
Which leads to the complete

2
integral az (1 + a z) - log [az +
2 2
(1 + a z ) ] = 2a(ax + y + b)
C) Separable Equations. We say
that a fist order partial
differential is separable if it can
be written in the form
f(x, p) = g(y, q) (7)

For such an equation Charpit's
equations become
dx dy dz dp dq
fp = gq = pfp qgq = fx = gy
So that we have an ordinary
dp fz
dx + fp =0
In x and p which may be solved
to give p as a function of x and
an arbitrary constant a. Writing
this equation in the form f y dp
+ f x dx = 0, we see that its
solution is f(x, p) = a. Hence we
determine p, q from the relations
f(x, p) = a. g(y,q) = a (8)

and then proceed as in the
general theory.
Example.
2 2
equation p y(1 + x ) = qx .
Solution.
We first that we can write the
equation in the form

2
(
p 1+x )
2
q
2 =y
x
ax 2
So that p= , q=a y
1 + x
2
and hence a complete integral is
z = a1 + x + 2 a y + b
2 1 2 2
where a and b are constants.
d) Clairaut Equations. A first
order partial differential equation
is said to be of Clairaut type if it
can be written in the form
z = px + qy + f(p,q) (9)
The corresponding Charpit
equations are
dx dy dz dp dq
x + fp = y + fq = px + qy + pfp + afq = 0 = 0
so that we may take p = a, q = b.
If substitute these values in (9),
we get the complete integral ,
z = ax + by + f(a, b) (10)
as is readily verified by direct
differentiation.
Example.
equation
(p + q) (z xp yq) = 1
Writing this equation in the form
1
z = xp + yq + p+q
we see that a complete integral is
1
z = ax + by + a+b
CYP QUESTIONS
Find complete integrals of the
equations:
1. p + q = pq
2 2
2. z = p q
3. zpq = p + q
2 2 2
4. p q(x + y ) = p2 + q
2 2 2 2 2 2 2 2
5. p q + x y = x q (x + y )
2 2 2 2
6. 6. pqz = p (xq + p ) + q (yp + q )

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M.Sc.

First Year Mathematics

Numerical Analysis & Differential

We welcome you as a student of the

first year M.Sc degree course.

This paper deal with the subject

NUMERICAL ANALYSIS AND

DIFFERENTIAL EQUATIONS. The

learning material for this paper will

be supplemented by contact lectures.

In this book, first five units deal

Unit 6 to 8 discuss the theory of

ordinary differential equations and

Learning through the Distance

Education mode, as you are all

aware, involves selflearning and self-

assessment and in this regard, you

are expected to part in disciplined

and dedicated effort.

As our part, we assure of our

guidance and support.

With best regards.

Unit 1: Introduction Bisecton

method, iteration methods based on

first degree equation, iteration

methods based on second degree

equation, Rate of convergence,

General iteration methods, Methods

for complex roots. Polynomial

Unit 2: Introduction, Direct methods,

Error analysis for direct methods,

eigen vectors, Power method.

Unit 3: Introduction, Lagrange and

Newton interpolations, Finite

difference Operators, Interpolating

polynomials using finite differences,

Unit 4: Introduction, Numerical

methods, Partial Differentiation,

Numerical integration, Methods

based on interpolation, Composite

integration methods, Romberg

Unit 5: Introduction, Difference

equation, Numerical methods, Single

Unit 6: Introduction Initial value

problems for the homogeneous

equation, Solutions of the

homogeneous equation, The

Wronskian and linear independence.

homogeneous equation, The non-

Homogeneous equations with

analytic coefficients, The Legendre

Unit 7: Introduction, The Euler

equation, Second order equations

with regular singular points an

example, second order equations

with regular singular points-the

general case, A convergence proof,

The exceptional cases, The Bessel

equation. The Bessel equation

Unit 8: Introduction, Equations with

variables separated. Exact equations.

approximations. The Lipschitz

condition. Convergence of the