Linear Differential

Equations - Intro
4th Week
Semester 3 2011/12 Session

Basic Concepts
Definition 1.1.1: An equation containing
the derivatives of one or more dependent
variables with respect to one or more
independent variables, is said to be a
differential equation (DE).
Classifications
Type: Ordinary DE or Partial DE
Order
Linearity

Classifications - Type
Ordinary differential equation (ODE) If an
equation contains only ordinary derivatives of one or
more dependent variables with respect to a single
independent variable.

Partial differential equation (PDE) An equation

involving partial derivatives of one or more dependent
variables of two or more independent variables.

Classifications - Order
The order of a differential equation
(either ODE or PDE) is the order of the
highest derivative in the equation.

Classifications - Linearity
An n-th order ODE of the form

is said to be linear if

the dependent variable y and all its derivatives y,y,y..y(n)

are of the first degree, i.e. the power of each term involving y

is 1.

the coefficients a0, a1, a2, an of y,y,y..y(n) depend at most

on the independent variable x.

The degree of an ODE is the power to which the highest

order derivative of a linear ODE is raised.

Other important notes

Homogeneous

Solutions
Definition 1.1.2: Solution of an ODE
Any function , defined on an interval I and
possessing at least n derivatives that are
continuous on I, which when substituted into
an nth order ODE reduces the equation to an
identity, is said to be a solution (sometimes
referred to as an integral of the equation) of
the equation on the interval.

Families of Solutions
Families of Solutions: Solving a DE is essentially evaluating
an integral or antiderivative. For an indefinite integral, an
arbitrary integral constant is obtained. Analogously, when
solving a first-order DE
, the solution usually
contains a single arbitrary constant or parameter c i.e.
A set of solutions
is called one-parameter
family of solutions. Similarly when solving an nth-order DE,
,
the solution is n-parameter family of
solutions
. Thus a single DE can
possess an infinite number of solutions corresponding to the
unlimited number of choices for the parameter(s).
A solution of a DE that is free of arbitrary parameters is called
a particular solution or particular integral. A singular
solution is a solution that is not a member of a family of
solutions i.e. solution that cannot be obtained by specializing
any of the parameters in the family of solutions.

Families of Solutions
Example

9yy ' 4x 0

Solution

9yy ' 4x dx C

9y ( x )y '( x )dx 4xdx C1

9y 2
9 ydy 2 x C1
2 x 2 C1 9 y 2 4 x 2 2C1
2
2

C1
y 2 x2
This yields

C where C .
4
9
18
Observe that given any point (x0,y0),
there is a unique solution curve of the
above equation which curve goes
through the given point.

The solution is a family of ellipses.

IVP and BVP

Initial-value problem (IVP) is a set of conditions
specified at the same value of the independent
variable, which are imposed on the dependent
variable and its derivatives. For an nth order linear DE
which is subject to
,
the solution is a function defined on some interval I
containing and satisfies the initial conditions given.
If the set of conditions imposed on the dependent
variable and its derivative are specified at different
points
, then it is
called boundary-value problem (BVP).

Superposition of solutions

Dependency

Wronskian

General Solution

General Solution

Superposition of Solutions

Origin of Differential Equations

Solution
1.Geometric Origin
1. For the family of straight lines
the differential equation is

y c1 x c 2

d2y
0
2
dx

2. For the family of curves

A.
B.

y ce

x2
2

the differential equation is

y c1e c2 e
2x

3 x

dy
xy
dx

the differential equation is

d 2 y dy

6y 0
2
dx
dx

22

Physical Origin
1. Free falling stone

d 2s
g
2
dt

where s is distance or height and g is acceleration due to gravity.

2. Spring vertical displacement

d2y
m 2 ky
dt

where y is displacement, m is mass and k is spring constant

3. RLC circuit, Kirchoff s Second Law

q is charge on capacitor, L is
2
d q
dq 1
inductance, c is capacitance,
L 2 R
qE
R is resistance and E is
dt c
dt
voltage

Physical Origin
1.Newtons Law of Cooling

where

T Ts

dT
dt

dT
T Ts
dt

is rate of cooling of the liquid,

is temperature difference between the liquid T and

its surrounding Ts

2. Growth and Decay

dy
y
dt
y is the quantity present at any time

Solution of First Order Differential

Equations
Separation of variables
Integrating factor
Substitution methods

First Order Differential

Equations

First Order Differential Equations

Introduction
Formation of differential equations

Solution of differential equations

First Order Differential Equations

Introduction

A differential equation is a relationship between an independent

variable x, a dependent variable y and one or more derivatives of y with
respect to x.
The order of a differential equation is given by the highest derivative
dy
involved.
x y 2 0 is an equation of the 1st order
dx
d2y
xy 2 y 2 sin x 0 is an equation of the 2nd order
dx
d3y
dy

y
e 4 x 0 is an equation of the 3rd order
3
dx
dx

First Order Differential Equations

Introduction
Formation of differential equations

Solution of differential equations

First Order Differential Equations

Formation of differential equations

Differential equations may be formed from a consideration of the

physical problems to which they refer. Mathematically, they can
occur when arbitrary constants are eliminated from a given function.
For example, let:
dy
y A sin x B cos x so that
A cos x B sin x therefore
dx
d2y
A sin x B cos x y
2
dx

That is

d2y
y0
dx 2

First Order Differential Equations

Formation of differential equations

Here the given function had two arbitrary constants:

y Asin x B cos x
and the end result was a second order differential equation:
d2y
y0
2
dx

In general an nth order differential equation will result from

consideration of a function with n arbitrary constants.

First Order Differential Equations

Introduction
Formation of differential equations

Solution of differential equations

First Order Differential Equations

Solution of differential equations
Introduction

Direct integration
Separating the variables
Homogeneous equations by substituting y = vx
Linear equations use of integrating factor

First Order Differential Equations

Solution of differential equations
Introduction
Solving a differential equation is the reverse process to the one just
considered. To solve a differential equation a function has to be
found for which the equation holds true.
The solution will contain a number of arbitrary constants the
number equalling the order of the differential equation.
In this Programme, first-order differential equations are considered.

First Order Differential Equations

Solution of differential equations
Direct integration
If the differential equation to be solved can be arranged in the form:

dy
f ( x)
dx
the solution can be found by direct integration. That is:

y f ( x)dx

First Order Differential Equations

Solution of differential equations
Direct integration
For example:

so that:

dy
3x 2 6 x 5
dx
y (3 x 2 6 x 5)dx
x3 3x 2 5 x C

This is the general solution (or primitive) of the differential equation.

If a value of y is given for a specific value of x then a value for C can
be found. This would then be a particular solution of the differential
equation.

First Order Differential Equations

Solution of differential equations
Separating the variables
If a differential equation is of the form:
dy f ( x)

dx F ( y )

Then, after some manipulation, the solution can be found by direct

integration.

F ( y )dy f ( x)dx so

F ( y)dy f ( x)dx

First Order Differential Equations

Solution of differential equations
Separating the variables
For example:
dy
2x

dx y 1

so that:

( y 1)dy 2 xdx so

( y 1)dy 2 xdx

That is:
y 2 y C1 x 2 C2

Finally:
y 2 y x2 C

First Order Differential Equations

Solution of differential equations
Homogeneous equations by substituting y = vx
In a homogeneous differential equation the total degree in x and y
for the terms involved is the same.
For example, in the differential equation:

dy x 3 y

dx
2x
the terms in x and y are both of degree 1.
To solve this equation requires a change of variable using the
equation:
y v( x ) x

Examples

First Order Differential Equations

Solution of differential equations
Homogeneous equations by substituting y = vx
To solve:
let
to yield:

That is:

dy x 3 y

dx
2x

y v( x ) x
dy
dv
x 3 y 1 3v
v x
and

dx
dx
2x
2
x

dv 1 v

dx
2

which can now be solved using the separation of variables method.

First Order Differential Equations

Solution of differential equations
Linear equations use of integrating factor
Consider the equation:

dy
5 y e2 x
dx
Multiply both sides by e5x to give:

e5 x
then:

dy
d
e5 x 5 y e5 x e2 x that is
ye5 x e7 x

dx
dx

d ye e
5x

That is:

7x

dx so that ye5 x e7 x C

y e 2 x Ce 5 x

First Order Differential Equations

Solution of differential equations
Linear equations use of integrating factor
The multiplicative factor e5x that permits the equation to be solved is
called the integrating factor and the method of solution applies to
equations of the form:
Pdx
dy
Py Q where e
is the integrating factor
dx

The solution is then given as:

y.IF Q.IFdx where IF e

Pdx

Examples
Substituting
Integrating factor

Higher Order Differential

Equations

Higher Order ODE 2nd Order

REDUCTION OF ORDER

Reduction of Order
A general second order DE has the form

F ( x, y, y' , y" ) 0.

(1)

In this section we consider two special types of second order

equations that can be solved by first order methods.

Type A: Dependent variable missing

When y is not explicitly present, (1) can be written as

f ( x, y' , y" ) 0.

(2)

Let y' p and y" dp dx.

Then (2) transforms into

f ( x, p, dp dx) 0.
If we can solve (3) for p, then (2) can be solved for y.

(3)

Example
Solve the following ODE

x y y 4x

The variable y is missing.

dp
let y p & y
dx

dp
from 1 , x
p 4x
dx

dp 1

p 4 (2)
dx x
which is linear,

IF e

p x 4 x dx c

1
dx
x

log e x

x
2

4x
2
px
c 2x c
2

dy
c
p 2x
dx
x
c
c

dy 2 x x dx dy 2 x x dx

2x
y
c ln x c2
2

y x c ln x c2
2

Example
Solve the DE

Ans.:

xy y ( y) .
3

( y c2 ) c1 x .
2

Type B: Dependent variable missing

When x is not explicitly present, then (1) can be written as

g ( y, y' , y" ) 0.

(4)

dp dp dy
dp
Let y ' p, then y" p
dx dy dx
dy
Then (4) becomes

g ( y, p, p dp dy) 0.
If we can solve (5) for p, then (4) can be solved for y.

(5)

Example
Solve

2 y y 1 y

Here x is not explicitly present

dp
let y p & y p
dy
(1) can be writen as,

dp
2
2 y p 1 p
dy

2 p dp dy

2
1 p
y

ln 1 p ln y ln c1
2

ln 1 p

ln c1 y

1 p c1 y p c1 y 1
2

dy
dy
c1 y 1 c1 y 1
dx
dx
dy
(c y 1) dx 2 (c1 y 1) c1x c2
1
2

Example
Find the specified particular solution of the DE

yy" y y ( y ' ) ;
y 21 and y 1 when x 0.
2

Ans.:
3x
2

2 y 3 8 ye .

Reduction of Order

Derivation (1)

Derivation (2)

Example

Higher Order ODE

HOMOGENOUS LINEAR
EQUATIONS WITH CONSTANT
COEFFICIENTS

Homogenous Linear Equations

with Constant Coefficients (1)

Homogenous Linear Equations

with Constant Coefficients (2)

Example

Higher Order

Higher Order ODE

UNDETERMINED COEFFICIENTS
SUPERPOSITION APPROACH

Undetermined Coefficients
Superposition Approach

Examples

Some notes on form of yp

Trial solutions

Examples

Examples

Higher Order ODE

VARIATION OF PARAMETER

Variation of Parameters

Examples

Higher Order ODE

CAUCHY-EULER EQUATION

Cauchy-Euler Equation

Some notes

Examples

More Examples

solving system of linear

equations

Simultaneous ordinary differential equations

involve two or more equations that contain
derivatives of two or more dependent
variables with respect to a single
independent variable.
The method of systematic elimination for
solving systems of differential equations with
constant coefficient is based on the algebraic
principle of elimination of variables.
The analogue of multiplying an algebraic
equation by a constant is operating on an
ODE with some combination of derivatives.

Examples

Series Solution of Linear

Differential Equations

Review: Power series

Solution about ordinary point

Examples

Classification of singular points

series solution about regular

singular points (Frobeniuss
method)

Bessels and Legendres

equations
Bessel functions of first and second kind
Legendres polynomials

Laplace Transformation

Theory

Transforms of Some Basic

Functions

Inverse Transform

Example

Transforms of Derivatives

Examples

Operational properties

Modeling with Higher Order

Differential Equations

Initial value problems (IVP)

IVP Some Applications

Free Undamped Oscillation

Free Damped Oscillation

May Allah bless you and give barakah to the knowledge you learn
throughout this course Amiin!

END OF COURSE