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MTH-102-A
T. Muthukumar
tmk@iitk.ac.in
April 2, 2020
7 Thirteenth Week
Lecture Thirty Five
8 Fourteenth Week
Lecture Thirty Six
T. Muthukumar tmk@iitk.ac.in Ordinary Differential EquationsMTH-102-A April 2, 2020 2 / 172
Reference text for the Course
dy y (x + h) − y (x)
(x) = y 0 (x) := lim
dx h→0 h
provided the limit exists.
d k
The ordinary differential operator of order k is denoted as dx k . More
Definition
Let I be an open interval of R. A k-th order ordinary differential equation
of an unknown function y : I → R is of the form
F y (k) , y (k−1) , . . . y 0 (x), y (x), x = 0, (2.1)
Example
The DE y 0 + y + x = 0 comes from the F (u, v , w ) = u + v + w .
The DE y 00 + xy (y 0 )2 = 0 comes from the F (t, u, v , w ) = t + wvu 2 .
The DE y (4) + 5y 00 + 3y = sin x comes from the
F (r , s, t, u, v , w ) = r + 5t + 3v − sin w .
∂u ∂u
∂x + ∂y = 0 is a partial diferential equation of a two variable
unknown function u(x, y ).
∂2u ∂ u 2∂ u 2
+ ∂y
∂x 2 2 + ∂z 2 = 0 is a partial diferential equation of a two variable
The level of difficulty in solving a PDE may depend on its order k and
linearity of F .
Definition
A k-th order ODE is linear if F in (2.1) has the form
F := Ly − f (x)
where Ly (x) := ki=0 ai (x)y (i) (x) for given functions f and ai ’s such that
P
ak is not identically zero. Otherwise the ODE is nonlinear. If, in addition
to being linear, one has f ≡ 0 then the ODE is linear homogeneous.
Example
(i) y 00 + 5y 0 + 6y = 0 is linear, homogeneous and second order with
constant coefficients.
(ii) x (4) + 5x (2) + 3x = sin t is linear and fourth order with constant
coefficients.
(iii) y (4) + x 2 y (3) + x 3 y 0 = xe x is linear and fourth order with variable
coefficients.
(iv) y 00 + xy (y 0 )2 = 0 is nonlinear and second order.
(v) y 00 + 5y 0 + 6y 2 = 0 is nonlinear and second order.
(vi) y 00 + 5(y 0 )3 + 6y = 0 is nonlinear and second order.
(vii) y 00 + 5yy 0 + 6y = 0 is nonlinear and second order.
Definition
We say u : I → R is an explicit solution to the ODE (2.1) on I , if u (j) (x)
exists for all j explicitly present in (2.1), for all x ∈ I , and u satisfies the
equation (2.1) in I .
Example
The function y : R → R defined as y (x) := 2 sin x + 3 cos x is an explicit
solution of the ODE y 00 + y = 0 in R.
Definition
We say a relation v (x, y ) = 0 is an implicit solution to the ODE (2.1) on
I , if it defines at least one real function u : I → R of x variable which is a
explicit solution of (2.1) on I .
Example
The relation v (x, y ) := x 2 + y 2 − 25 = 0 is an implicit solution of the
ODE yy 0 + x = 0 in√(−5, 5). The given relation √ v defines two real valued
functions u1 (x) := 25 − x 2 and u2 (x) := − 25 − x 2 in (−5, 5) and
both are explicit solutions of the given ODE.
Example
The ODE |y 0 | + |y | + 1 = 0 admits no real valued function y as a
solution because sum of positive quantities cannot be a negative
number.
Consider the first order ODE y 0 = 2x. On integration we obtain a one
parameter family of solutions yc (x) := x 2 + c indexed by c ∈ R.
Consider the first order ODE (y 0 )2 − 4y = 0. The one parameter
family yc (x) := (x + c)2 are solution to the ODE. In addition, y ≡ 0
is also a solution, not included in the above family of solutions.
Definition
An initial value problem (IVP) corresponding to a k-th order ODE is given
as
F (y (k) , . . . , y , x) = 0 on I
Example
The first order IVP
y 0 = 2x
in R
y (1) = 4.
Example
The second order IVP
00
y +y =0 in R
y (1) = 3
y 0 (1) = −4.
Example
The second order BVP
00
y + y = 0 in R
y (0) = 1
y ( π2 ) = 5.
Example
The second order BVP
00
y + y = 0 in R
y (0) = 1 (2.2)
y (π) = 5.
Theorem (Picard)
Let Ω be an open, connected subset (domain) of R2 and (x0 , y0 ) ∈ Ω. If
f : Ω → R is continuous then the first order IVP
y 0 = f (x, y )
(2.3)
y (x0 ) = y0
In general the IVP (2.3) may admit more than one solution!
Example
Consider the IVP y 0 = y 1/3 in R with the initial conditions y (0) = 0. Note
that y ≡ 0 is one solution. Also,
2(x−c) 3/2
3 x ≥c
yc (x) :=
0 x ≤c
is also a solution for all c ≥ 0! Thus, this problem admits infinitely many
solutions.
Theorem (Uniqueness)
Let Ω be a domain of R2 and (x0 , y0 ) ∈ Ω. If both f : Ω → R and
∂f
∂y : Ω → R are continuous then there exists a h > 0 such that the first
order IVP (2.3) admits a unique solution in the interval [x0 − h, x0 + h].
Since we shall not be proving the theorem, let us verify the theorem with
some examples.
Example
Consider the IVP y 0 = x 2 + y 2 with y (1) = 3.
∂f
Note that f (x, y ) = x 2 + y 2 and ∂y = 2y .
Both are continuous in every domain of R2 .
By Picards’ theorem, for every domain Ω that contains (1, 3) there is
a h > 0 such that the IVP has a unique solution in [1 − h, 1 + h].
Example
Consider the ODE y 0 = yx −1/2 . Note that f (x, y ) = yx −1/2 and
∂f −1/2 . They are continuous in the open right half plane, i.e
∂y = x
{(x, y ) | x > 0}.
If the initial condition imposed is y (1) = 2 then for every domain Ω
that contains (1, 2) and does not contain the y -axis there is a h > 0
such that the IVP has a unique solution in [1 − h, 1 + h].
If the initial condition imposed is y (0) = 2 then both f and ∂y f are
not continuous (undefined) at (0, 2). Thus, a comment on the
existence and uniqueness of solution is inconclusive!
Definition
Let F : Ω ⊂ R2 → R be a two-variable function that admit continuous
first order partial derivatives in Ω. The total differential, denoted as dF , is
defined as
∂F ∂F
dF = dx + dy .
∂x ∂y
Observe that any first order ODE of the form y 0 = f (x, y ) can be
equivalently written in the differential form as
Example
4
Consider the ODE y 0 = x(x−4)y
3 (y 2 −3) . Observe that y ≡ 0 is one possible
(x − 4)y 4 dx − x 3 (y 2 − 3)dy = 0.
(x −2 − 4x −3 )dx − (y −2 − 3y −4 )dy = 0.
−x −1 + 2x −2 + y −1 − y −3 = c.
Example
Consider the ODE y 0 = (x 2−x sin y
+1) cos y
. Observe that the roots of sin y = 0,
i.e. y = kπ for k ∈ Z are constant solutions to the ODE. Rewriting it in
the differential form, we obtain
x sin y dx + (x 2 + 1) cos y dy = 0.
Definition
The first order ODE is said to be of separable type if f (x, y ) is of the form
− M(x)
N(y ) . Equivalently, M and N are independent of the y and x variable,
respectively, in the differential form M(x)dx + N(y )dy = 0.
Example
Consider the ODE (x −2 − 4x −3 )dx − (y −2 − 3y −4 )dy = 0. Then, on
integration, we obtain the one parameter family of solutions
1 2 1 1
− + 2 + − 3 = c.
x x y y
Definition
A function v : R2 → R is said to be homogeneous of degree n if
v (tx, ty ) = t n v (x, y ).
Definition
A first order ODE of the form (2.4) is homogeneous if both M and N are
homogeneous of same degree. Equivalently, y 0 = f (x, y ) is homogeneous if
f (tx, ty ) = f (x, y ).
p
For instance, (y + x 2 + y 2 )dx − xdy = 0 is homogeneous.
The reason for considering homogeneous ODEs is that it can be
changed to ODE with separated variables.
Theorem
If y 0 = f (x, y ) is homogeneous then the change of variable y = zx
transforms the ODE into a separable type ODE in x and z variables.
Proof.
By homogeneity, since f (tx, ty ) = f (x, y ) for any t, we choose in
particular t = 1/x and obtain f (1, y /x) = f (x, y ). Thus, the given ODE
becomes y 0 (x) = f (1, y /x). Using the change of variable y (x) = xz(x) in
the ODE, we get z + xz 0 = f (1, z) or equivalently, z 0 = f (1,z)−z
x is in the
separable form.
Example
Consider the ODE (x 2 − 3y 2 )dx + 2xydy = 0 or, equivalently,
2 −x 2
y 0 = 3y2xy .
This ODE is homogeneous because M and N are homogeneous of
degree 2, i.e. M(tx, ty ) = t 2 (x 2 − 3y 2 ) = t 2 M(x, y ) and
N(tx, ty ) = t 2 2xy = t 2 N(x, y ).
3z 2 −1
Using y = zx substitution, we get z + xz 0 = 2z or, equivalently
2
xz 0 = z 2z−1 .
Thus, the separable type ODE we obtain is
2z dx
dz − = 0.
z2 −1 x
ln |z 2 − 1| − ln |x| = ln |c|
Example
Consider the IVP
p
(y + x 2 + y 2 )dx − xdy = 0
y (1) = 0.
√
y+ x 2 +y 2
The ODE can be rewritten as = x y0 . We have already
checked that this ODE is homogeneous!
T. Muthukumar tmk@iitk.ac.in Ordinary Differential EquationsMTH-102-A April 2, 2020 33 / 172
Homogeneous IVP
Example
√
Using y = zx substitution,
√ we get z + xz 0 = z + 1 + z 2 or,
0
equivalently xz = 1 + z .2
On integration,
√ the family of solutions is √
ln |z + z 2 +p1| − ln |x| = ln |c| or, equivalently, |z + z 2 + 1| = |cx|.
Finally, |y + y 2 + x 2 | − |c|x 2 = 0 is the family of solutions.
Using the initial conditions, we get |c| = 1.
p
The particular integral (solution) is |y + y 2 + x 2 | − x 2 = 0.
Definition
An ODE of the form (2.4) is said to be an exact differential equation if
there exists a two variable function F such that ∂x F (x, y ) = M(x, y ) and
∂y F (x, y ) = N(x, y ).
Example
The ODE y 2 dx + 2xydy = 0 is an exact differential equation because
F (x, y ) = xy 2 satisfies the requirement.
Example
The ODE ydx + 2xdy = 0 is not exact!
Theorem
Let M and N admit continuous first order partial derivatives in a
rectangular domain Ω ⊂ R2 . The ODE (2.4) is exact in Ω iff
∂y M(x, y ) = ∂x N(x, y ) for all (x, y ) ∈ Ω.
Proof.
The necessary part is obvious! The sufficiency part involves finding
suitable F . The arguments are shown by examples. Abstract proof follows
the same line as you see in examples.
Example
The ODE y 2 dx + 2xydy = 0 is exact in every domain Ω ⊂ R2 because
M(x, y ) = y 2 and N(x, y ) = 2xy with ∂y M(x, y ) = 2y = ∂x N(x, y ).
Example
The ODE ydx + 2xdy = 0 is not exact because M(x, y ) = y and
N(x, y ) = 2x with ∂y M(x, y ) = 1 6= 2 = ∂x N(x, y ).
Example
The ODE (2x sin y + y 3 e x )dx + (x 2 cos y + 3y 2 e x )dy = 0 is exact because
Theorem
If the ODE (2.4) is exact in Ω then there is a one parameter family of
solutions to (2.4) given by F (x, y ) = c where c is arbitrary constant and
F is such that ∂x F = M and ∂y F = N in Ω.
Proof.
By the definition of exact ODE there is a F satisfying ∂x F = M and
∂y F = N. Thus, the ODE becomes dF (x, y ) = 0. Hence, F (x, y ) = c for
arbitrary c are solutions.
Example
From the second identity, we must have
2x 2 + 2y = 2x 2 + g 0 (y ).
x 3 + 2x 2 y + y 2 + c0 = c
Example
Consider the same ODE (3x 2 + 4xy )dx + (2x 2 + 2y )dy = 0. We have
already checked it is exact! We rewrite the ODE as follows:
3x 2 dx + (4xydx + 2x 2 dy ) + 2ydy = 0
d(x 3 ) + d(2x 2 y ) + d(y 2 ) = d(c)
d(x 3 + 2x 2 y + y 2 ) = d(c).
Example
Consider the IVP
(2x cos y + 3x 2 y )dx + (x 3 − x 2 sin y − y )dy = 0
y (0) = 2.
x 3 − x 2 sin y − y = −x 2 sin y + x 3 + g 0 (y ).
2
Therefore, g 0 (y ) = −y and g (y ) = − y2 + c0 . Thus,
2
F (x, y ) = x 2 cos y + x 3 y − y2 + c0 . Since F (x, y ) = c is the one
paramater family of solutions, we get
y2
x 2 cos y + x 3 y − + c0 = c
2
2
or, equivalently, x 2 cos y + x 3 y − y2 = c is the one parameter family of
solutions. Now, using the initial value we get c = −2 and
2
x 2 cos y + x 3 y − y2 + 2 = 0 is a solution.
Example
Consider the same IVP
(2x cos y + 3x 2 y )dx + (x 3 − x 2 sin y − y )dy = 0
y (0) = 2.
Theorem
Consider the ODE M(x, y )dx + N(x, y )dy = 0 and let
∂M ∂N
d(x, y ) := (x, y ) − (x, y ).
∂y ∂x
R
d(x,y ) d(x,y )
(i) If N(x,y ) depends only on x then exp N(x,y ) dx is an I.F. of (2.4).
R
(ii) If −d(x,y )
M(x,y ) depends only on y then exp
−d(x,y )
M(x,y ) dy is an I.F. of
(2.4).
Definition
A first order ODE is linear in the y -variable (unknown) if it is of the form
P(x)y 0 + Q(x)y (x) = R(x).
Theorem
The linear ODER y 0 + Q(x)y (x) = R(x) has the integrating factor
µ(x, y ) := e Q(x) dx and its one parameter family of solutions is
R
Z R
− Q(x) dx Q(x) dx
y (x) = e e R(x) dx + c .
Proof.
We seek a one variable function µ such that the ODE
Example
Consider y 0 + 2x+1
y = e −2x .
x
Its integrating factor is
Z
2x + 1
µ(x) := exp dx = exp(2x + ln |x|)
x
= e 2x e ln |x| = xe 2x .
Example
Consider the IVP
(
y0 + 4x
x 2 +1
y = x
x 2 +1
y (2) = 1.
R
4x
The I.F. is µ(x) = exp x 2 +1
dx = exp[ln(x 2 + 1)2 ] = (x 2 + 1)2 .
Using the integrating factor in the ODE we get [(x 2 + 1)2 y ]0 = x 3 + x.
x4 x2
Thus, its family of solutions is (x 2 + 1)2 y = 4 + 2 + c.
Using the initial condition, we get c = 19. Thus, the solution is
4 2
(x 2 + 1)2 y = x4 + x2 + 19.
Example
y 2
Consider the ODE y 0 = 1−3xy . This example does not fall in any of
the category we have seen so far: it is not separable, not
homogeneous, not exact and not linear.
However, treating the y as independent variable and x as dependent
variable, the ODE x 0 = 1−3xy
y2
is linear in x. (The 0 now denotes the
derivative with respect to y variable).
The justification of this interchange is made via the differential form
of the ODE. R
3
The I.F. for the linear ODE is µ(y ) = exp y dy = y 3.
Multiplying the I.F in the linear ODE we get (y 3 x)0 = y .
y2
Thus, the family of solutions is y 3 x − 2 = c.
Definition
An equation of the form y 0 + Q(x)y = R(x)y α , for a given fixed real
number α, is called a Bernoulli differential equation.
Theorem
Let α 6= 0, 1. The transformation z = y 1−α reduces the Bernoulli equation
to a linear equation in z.
Proof.
We first divide y α to the Bernoulli equation to obtain
y −α y 0 + Q(x)y 1−α = R(x).
Set z = y 1−α then z 0 = (1 − α)y −α y 0 .
Using this transformation in the ODE above, we get the linear ODE
z 0 + (1 − α)Q(x)z = (1 − α)R(x).
Example
Consider the Bernoulli equation y 0 + y = xy 3 .
We divide by y 3 to obtain y −3 y 0 + y −2 = x.
Set z = y −2 . Then z 0 = −2y −3 y 0 and the transformed linear ODE
obtained is z 0 − 2z = −2x.
Its I.F. is µ(x) = e −2x .
Using the I.F. in the linear ODE we get (e −2x z)0 = −2xe −2x .
Integrating both sides, e −2x z = 12 e −2x (2x + 1) + c. Thus,
e −2x y −2 = 21 e −2x (2x + 1) + c.
Example
Consider cos yy 0 + x −1 sin y = 1 where g (y ) = sin y .
Use z = sin y . Then we obtain the linear ODE in z, z 0 + x −1 z = 1.
Its I.F. is µ(x) = |x|.
x2
For x > 0, x sin y − 2 = c.
Example
Consider the ODE (2x 2 + y )dx + (x 2 y − x)dy = 0. This ODE is not
separable, not homogeneous, not exact, not linear and not Bernoulli. Then
d(x, y ) := 2(1 − xy ). Now,
d 2(1 − xy ) −2
= 2 =
N x y − x) x
Theorem
Consider the ODE (a11 x + a12 y + b1 )dx + (a21 x + a22 y + b2 )dy = 0 for
given constants aij and bi with i, j = 1, 2. Let A = (aij ) be the 2 × 2
matrix.
If A is invertible and (h, k) = A−1 (b1 , b2 ) then the transformation
w = x + h and z = y + k reduces the ODE to a homogeneous ODE
in w and z variable of the form
Example
Consider the ODE (x − 2y + 1)dx + (4x − 3y − 6)dy = 0.
Determinant of the matrix A is 5 6= 0. Then its inverse is
−1 1 −3 2
A = .
5 −4 1
Example
or, equivalently,
4 − 3ζ dw
dζ = .
3ζ 2 − 2ζ − 1 w
On integration, we obtain
3 3ζ − 3 1
ln − ln |3ζ 2 − 2ζ − 1| = ln |w | + ln |c0 |
4 3ζ + 1 2
3ζ−3 3
or, equivalently, ln 3ζ+1 − ln |3ζ 2 − 2ζ − 1|2 = ln |wc0 |4 or
ζ−1 4 ζ−1 4
ln (3ζ+1)5 = ln |wc0 | or w 4 (3ζ+1)5 = c0 .
z−w
Replacing ζ = z/w , we get (3z+w )5
= c04 .
y −x+1
Going back to x and y variables, we get (3y +x−9)5 = c04 .
Example
Consider the ODE (x + 2y + 3)dx + (2x + 4y − 1)dy = 0.
Determinant of the matrix A is 0.
The matrix is not invertible.
Using the transformation z = x + 2y in the ODE we obtain
(z + 3)dx + (2z − 1) dz−dx
2 = 0 or 7dx + (2z − 1)dz = 0. This is
separable!
Integrating, we get 7x + z 2 − z = c.
Going back to x and y variables, we get
7x + (x + 2y )2 − (x + 2y ) = c or x 2 + 4xy + 4y 2 + 6x − 2y = c.
Definition
An isocline of the ODE y 0 = f (x, y ) is a curve along which the slope
f (x, y ) has a constant value c.
For different values of c, the curves f (x, y ) = c are the family of isoclines
of the ODE.
For each fixed c, draw the line elements with slope c (or angle θ such
that tan θ = c) at each (x, y ) in the curve f (x, y ) = c.
Repeat the procedure for different values of c.
Smooth curves drawn tangent to the line elements provides the
approximate ‘graph’ of the solution curve.
-1
-2
-3
-3 -2 -1 0 1 2 3
-1
-2
-3
-3 -2 -1 0 1 2 3
y 0 = f (x, y ) in I
y (x0 ) = y0
y 0 = f (x, y )
y (x0 ) = y0
u10 = f (x, u0 )
u1 (x0 ) = y0
Example
Consider the IVP
y0 = x2 + y2
y (0) = 1
x3
On integration, we obtain, u1 (x) = 1 + x + 3 .
Similarly,
2x 3 x 4 2x 5 x 7
u2 (x) = 1 + x + x 2 + + + +
3 6 15 63
Example
Consider the IVP √
y0 = 2 x
y (0) = 1
Definition
Let F (x, y , c) = 0 be a one parameter family of curves in R2 . The oblique
trajectory of the given family is any curve that intersects the curves in the
given family at a constant angle θ. If θ = 90◦ , i.e. the intersection is at
right angles then the curve is to be an orthogonal trajectory of the given
family.
Example
Consider the family of circles x 2 + y 2 = c 2 with origin as centre and radius
c. Then every straight line through the origin y = mx is an orthogonal
trajectory of the given family of circles. Conversly, each circle is an
orthogonal trajectory of the family of straight lines passing through its
centre.
Example
Consider the family of circles x 2 + y 2 = c 2 centred at origin.
−x
Differentiating the family we get x + yy 0 = 0 or y 0 = y .
Then, the ODE for the orthogonal family is given by y 0 = yx which is
separable.
Solving, we get y = mx a one parameter family of orthogonal curves.
Caution: The orthogonal (vertical) line {x = 0} is not obtained in the
above family of curves and should be observed by inspection.
Example
Consider the family of parabolas y = cx 2 .
Differentiating the family we get y 0 = 2cx. Eliminating the parameter
c between the ODE and the family of curves, we get y 0 = 2y x .
Then, the ODE for the orthogonal family is given by y 0 = − 2y
x
which
is separable.
Solving, we get 2y 2 + x 2 = b 2 a one parameter family of ellipses
centred at origin with x-axis as the major axis.
Example
Consider the family of straight lines y = mx. Let us find the oblique
trajectory intersecting the given family at constant angle of 45◦ .
Differentiating the family we get y 0 = m. Eliminating the parameter
m between the ODE and the family of curves, we get y 0 = yx .
Now,
y
f (x, y ) + tan 45◦ x +1 x +y
◦
= y = .
1 − f (x, y ) tan 45 1− x x −y
Then, the ODE for the oblique family with angle 45◦ is given by
x+y
y 0 = x−y which is homogeneous.
Setting, y = zx, we get z + xz 0 = 1+z
1−z .
Example
Thus, solving the separable ODE (z−1) z 2 +1
dz = − dx
x , we get
1 2
2 ln(z + 1) − arctan z = − ln |x| − ln |c| or
ln c 2 (x 2 + y 2 ) − 2 arctan(y /x) = 0 is a one parameter family of
oblique trajectories.
where y = y1 .
Thus, existence and uniqueness queries for k-th order can be reduced
to first order system of ODE. Firts order systems not part of this
course!
Picard’s theorem may be extended to first order system of ODEs (not
part of this course).
Theorem
Consider the linear k-th order IVP
Pk (i)
i=0 ai (x)y (x) = f (x) I ⊂ R
y (j) (x0 ) = yj for 0 ≤ j ≤ k − 1
Definition
The null space of L, denoted as N(L), is defined as the class of all
functions y ∈ C k (I¯) such that Ly = 0 where C k (I¯) is the set of all k-times
differentiable functions on I such that the k-th derivative can be
continuously extended to the end-points of I .
Example
All constant functions in C (I¯) is in the null space of the first order linear
d
L := dx .
Example
All linear functions of the form ax + b in C (I¯) is in the null space of the
d2
second order linear L := dx 2.
Theorem
The null space, N(L), is a subspace of C (I¯).
Proof.
Obviously, the constant function zero is in N(L). Further, if u1 , . . . , um are
in N(L),i.e. Lui = 0 for 1 ≤ i ≤ m.Then
Example
Consider the second order differential operator Ly := y 00 + y . Observe that
sin x and cos x are in the null space of L. Also, any linear combination
α sin x + β cos x is also in the null space of L, for any choice of α, β ∈ R.
Example
Consider the third order differential operator Ly := y (3) − 2y 00 − y 0 + 2y .
Observe that e x , e −x and e 2x are in the null space of L. Also, any linear
combination α1 e x + α2 e −x + α3 e 2x is in the null space of L, for any
choice of αi ∈ R, for all i = 1, 2, 3.
Definition
A collection of functions u1 , . . . , um are said to be linearly independent on
I¯ if
α1 u1 + . . . + αm um = 0
implies αi = 0 for all i. Otherwise, the collection is said to be linearly
dependent.
Example
The two functions x and 2x are linearly dependent on [0, 1] because
α1 x + 2α2 x = 0 for the choice α1 = 2 and α2 = −1.
Example
The three functions sin x, 3 sin x and − sin x are linearly dependent on
[−1, 2] because α1 sin x + 3α2 sin x − α3 sin x = 0 for the choice
α1 = α2 = 1 and α3 = 4.
Example
The two functions x and x 2 are linearly independent on [0, 1]. For some
α1 and α2 , consider α1 x + α2 x 2 = 0. Differentiate w.r.t x to obtain
α1 + 2α2 x = 0 for all x ∈ [0, 1]. Then α1 x + 2α2 x 2 = 0 for all x ∈ [0, 1].
Now solving for α1 and α2 in the two equations α1 x + α2 x 2 = 0 and
α1 x + 2α2 x 2 = 0, we get α2 = 0 = α1 .
Theorem
Let Ly (x) := ki=0 ai (x)y (i) (x) be the k-th order linear differential map
P
L : C (I¯) → C (I¯). Then its null space N(L) is a k-dimensional subspace of
C (I¯), i.e. there exists k linearly independent solutions to Ly = 0 and every
other solution can be expressed as a linear combination of the k solutions
with appropriate choice of constants.
Definition
The general solution of the k-th order linear, homogeneous ODE Ly = 0 is
the linear combination of k linearly independent solutions of Ly = 0.
Example
For the second order differential operator Ly := y 00 + y , sin x and cos x are
two linearly independent solutions and its general soluton is given as the
linear combination y (x) := α sin x + β cos x.
Example
For the third order differential operator Ly := y (3) − 2y 00 − y 0 + 2y , e x ,
e −x and e 2x are three linearly independent solutions of Ly = 0. Thus, its
general solution is the linear combination y (x) := α1 e x + α2 e −x + α3 e 2x .
Definition
For any collection of k functions u1 , . . . , uk in C (k−1) (I¯), the Wronskian of
the collection, denoted as W (u1 , . . . , uk ), is defined as the determinant of
the k × k matrix
u1 (x) . . . u k (x)
u10 (x) 0
... uk (x)
W (u1 , . . . , uk )(x) := .. ..
..
.
(k−1). .
(k−1)
u (x) . . . uk (x).
1
Theorem
If u1 and u2 are linearly dependent in I then W (u1 , u2 )(x) = 0 for all
x ∈ I . Equivalently, if W (u1 , u2 ) 6= 0 for some x ∈ I then u1 and u2 are
linearly independent.
Proof.
Suppose u1 and u2 are linearly dependent in I then there exists a non-zero
pair (α, β) such that αu1 (x) + βu2 (x) = 0. On differentiation, we have
the matrix equation
u1 (x) u2 (x) α 0
= .
u10 (x) u20 (x) β 0
Example
Consider u1 = x|x| and u2 = x 2
with derivative u10 = 2|x| and u20 = 2x.
Its Wronskian is zero everywhere.
But u1 and u2 are linearly independent
because αx|x| + βx 2 = 0 implies that
for x < 0, we get β − α = 0
and for x > 0, we get α + β = 0
implying that both α = β = 0.
Note that for linearly independent solutions of the linear ODE the
Wronskian is non-zero everywhere.
T. Muthukumar tmk@iitk.ac.in Ordinary Differential EquationsMTH-102-A April 2, 2020 91 / 172
Vanishing Property of Wronskian
Theorem
If u1 , . . . , uk are solutions of the k-order linear, homogeneous ODE Ly = 0
in I then the Wronskian W (u1 , . . . , uk ) is either identically zero on I or is
never zero on I .
Proof.
If the Wronskian vanishes at some point x0 ∈ I , then the proof of
Theorem 90 implied that u1 and u2 are linearly dependent. But
Theorem 88 implied that for linear dependent functions the Wronskian
vanishes everywhere!
Example
The Wronskian of u1 (x) := x and u2 (x) := sin x is x cos x − sin x. This
Wronskian is non-zero, for instance at x = π, thus the functions are
linearly independent by Theorem 88. However, the Wronskian is zero at
x = 0.It is no contradiction to above theorem because x and sin x cannot
span solutions of a second order ODE (see assignment problem)!
Example
For the second order differential operator Ly := y 00 + y , sin x and cos x are
two linearly independent solutions because its Wronskian
sin x cos x
W (sin x, cos x)(x) := = − sin2 x − cos2 x = −1 6= 0
cos x − sin x
for all x ∈ R.
Example
For the third order differential operator Ly := y (3) − 2y 00 − y 0 + 2y , e x ,
e −x and e 2x are three linearly independent solutions because its Wronskian
−x
x
e 2x
e
x e −x
1 1 1
x −x 2x
2e 2x = e 2x 1 −1 2
W (e , e , e )(x) := e −e
e x e −x 4e 2x 1 1 4
= −6e 2x 6= 0
for all x ∈ R.
Example
Consider the ODE (x 2 + 1)y 00 − 2xy 0 + 2y = 0. Note that u1 (x) = x is a
solution to the ODE. Now
Z Z 2
−2x
Z
1 x +1 1
v (x) = exp − dx dx = dx = x − .
x2 x2 + 1 x2 x
Theorem
A linear,
Pknon-homogeneous k-th order ODE is given as
(k)
Ly := i=0 ai (x)y = f (x). If yp is a given particular integral (not
involving arbitrary constants) of the non-homogeneous ODE then yc + yp
is the general solution of the non-homogeneous ODE where yc (called the
complementary function) is the general solution of the corresponding
homogeneous ODE (f ≡ 0).
Proof.
The proof is already done in tenth assignment first problem! Any element
of N(L) is denoted as yc . Then the general solution of Ly = f is yc + yp ,
translation of the null space N(L) by yp .
Example
Consider the non-homogeneous ODE y 00 + y = x. Its complementary
function is the solution corresponding to the homogeneous ODE
y 00 + y = 0, i.e. yc = α1 sin x + α2 cos x. A particular integral to
y 00 + y = x is yp (x) = x. Then y (x) = α1 sin x + α2 cos x + x is the
general solution for the non-homogeneous ODE.
Theorem
A linear, homogeneous
Pk k-th order ODE with constant coefficients is given
(i)
by Ly := i=0 ai y = 0 and its characteristic equation (CE) is the k-th
degree polynomial of m, ki=0 ai m(k) = 0.
P
If (CE) admits k distinct real roots {mi }k1 then y (x) := ki=1 αi e mi x
P
is a general solution of the ODE Ly = 0.
If (CE) admits
P` ` repeated realP
roots m and the rest are distinct then
y (x) := ( i=1 αi x )e + ki=`+1 αi e mi x .
i−1 mx
Proof.
Observe that the derivative of exponential is constant multiple of
dk cx ] = c k e cx .
itself, i.e. dx k [e
Example
Consider y 00 − 3y 0 + 2y = 0.
The CE is m2 − 3m + 2 = 0 whose roots are m1 = 1 and m2 = 2.
The roots are real and distinct.
The corresponding solutions are e x and e 2x .
They are linearly independent because
x
e 2x
x 2x
e
= e 3x 6= 0.
W (e , e ) = x
e 2e 2x
Proof.
If m is a repeated root, say twice, then e mx is one solution.
Now, using the existing solution u1 := e mx , we seek a linearly
independent solution e mx v (x) for a suitable choice of v .
It can be shown that v (x) = x and xe mx is a linearly independent
solution.
For three repeated roots we have e mx , xe mx and x 2 e mx are the
linearly independent solutions.
Example
Consider the ODE y 00 − 6y 0 + 9y = 0.
The CE is m2 − 6m + 9 = 0 with two repeated roots m1 = m2 = 3.
The corresponding solution is e 3x .
A linear independent solution is xe 3x and the general solution is
y (x) := (α1 + α2 x)e 3x .
Example
Consider y (3) − 4y 00 − 3y 0 + 18y = 0.
The CE is m3 − 4m2 − 3m + 18 = 0 whose roots are m1 = m2 = 3
and m3 = −2.
The two of the roots are repeated.
The corresponding solutions are e 3x and e −2x .
Thus, the general solution is y (x) := (α1 + α2 x)e 3x + α3 e −2x .
Example
Consider y (4) − 5y (3) + 6y 00 + 4y 0 − 8y = 0.
The CE is m4 − 5m3 + 6m2 + 4m − 8 = 0 whose roots are
m1 = m2 = m3 = 2 and m4 = −1.
Some roots are repeated!
Thus, the general solution is y (x) := (α1 + α2 x + α3 x 2 )e 2x + α4 e −x .
Proof.
If a ± ıb are the conjugate pair of complex roots then
e (a+ıb)x = e ax (cos bx + ı sin bx) and e (a−ıb)x = e ax (cos bx − ı sin bx)
are complex solutions of the ODE.
We seek real linearly independent solutions.
We sum the above two complex solutions and divide by 2 to obtain
e ax cos bx.
Similarly, on subtraction and dividing by 2ı, we get e ax sin bx.
Both are real linearly independent solutions and the general solution is
e ax [α1 sin bx + α2 cos bx].
Example
Consider the ODE y 00 + y = 0.
The CE is m2 + 1 = 0 with pair of conjugate complex roots m1 = ı
and m2 = −ı.
The general solution is y (x) := α1 sin x + α2 cos x.
Example
Consider y 00 − 6y 0 + 25y = 0.
The CE is m2 − 6m + 25 = 0 whose roots are m1 = 3 + ı4 and
m2 = 3 − ı4.
Thus, the general solution is y (x) := e 3x (α1 sin 4x + α2 cos 4x).
Example
Consider y (4) − 4y (3) + 14y 00 − 20y 0 + 25y = 0.
The CE is m4 − 4m3 + 14m2 − 20m + 25 = 0 whose roots are
m1 = m2 = 1 + ı2 and m3 = m4 = 1 − ı2.
The complex pair of roots are repeated.
Thus, the general solution is
Example
Consider the IVP
00
y − 6y 0 + 25y = 0
y (0) = −3
y 0 (0) = −1.
We haveP already seen that the general solution of a k-th order ODE
Ly := ki=0 ai y (i) = f (x) is the sum of the general solution of its
corresponding homogeneous equation (complementary function) and
a particular integral of the non-homogeneous.
Thus, to find the general solution of non-homogeneous it is enough to
find a particular integral of the non-homogeneous.
The method of undetermined coefficients facilitates in finding a
particular integral for special cases of f .
The special classes of f are x n , e mx , sin(ax + b), cos(ax + b), its
point-wise product and linear combinations.
Definition
An annihilator of a function f is the differenatial map A such that Af = 0.
d k
We introduce the symbol D k := dx k , for any positive integer k. The
symbol x in the denominator denotes the independent variable.
Example
For f := e mx the annihilator is D − m.
For f := x n the annihilator D n+1 .
For f := sin(ax + b) the annihilator is D 2 + a2 . Same for
f := cos(ax + b).
For the product f := x n e mx the annihilator is (D − m)n+1 }. For
product of functions annihilators composes!
Example
For f := x n sin(ax + b) the annihilator is (D 2 + a2 )n+1 . Same for
f := x n cos(ax + b).
For f := e mx sin(ax + b) the annihilator is (D − m)2 + a2 . Same for
f := e mx cos(ax + b). Product by exponential gives translation in
differential operator D.
For f := x n e mx sin(ax + b) the annihilator is [(D − m)2 + a2 ]n+1 .
Example
Consider the ODE y 00 − 2y 0 − 3y = 2e 4x with f (x) = 2e 4x .
The annihilator of 2e 4x is 2(D − 4) and the ‘new’ homogeneous ODE
is 2(D − 4)(D 2 − 2D − 3)y = 0.
The roots are 3, −1 and 4 and y (x) := yc + α3 e 4x where
yc := α1 e 3x + α2 e −x is the general solution of the original CE.
Using the y in the given ODE, we get
(D 2 − 2D − 3)(yc + α3 e 4x ) = 2e 4x or (D 2 − 2D − 3)α3 e 4x = 2e 4x .
We get (16 − 8 − 3)α3 e 4x = 2e 4x or α3 = 52 .
Thus, yp (x) = 25 e 4x and the general solution is
y (x) := α1 e 3x + α2 e −x + 25 e 4x .
Example
Consider the ODE y 00 − 2y 0 − 3y = 2e 3x with f (x) = 2e 3x .
The annihilator of 2e 3x is 2(D − 3) and the ‘new’ homogeneous ODE
is 2(D − 3)(D 2 − 2D − 3)y = 0.
The roots are 3, −1 and 3 with the ‘new’ root same as one of the
roots of the original CE.
Thus, y (x) := yc + α3 xe 3x where yc := α1 e 3x + α2 e −x is the general
solution of the original CE.
Using the y in the given ODE, we get
(D 2 − 2D − 3)(yc + α3 xe 3x ) = 2e 3x or (D 2 − 2D − 3)α3 xe 3x = 2e 3x .
We get [3(3x + 2) − 6x − 2 − 3x] α3 e 3x = 2e 3x or α3 = 12 .
Thus, yp (x) = x2 e 3x and the general solution is
y (x) := α1 e 3x + α2 e −x + x2 e 3x .
Example
Consider the ODE y 00 − 3y 0 + 2y = x 2 e x with f (x) = x 2 e x .
The annihilator of x 2 e x is (D − 1)3 and the ‘new’ homogeneous ODE
is (D − 1)3 (D 2 − 3D + 2)y = 0.
The roots are 1, 2 and three repeated roots 1 with the ‘new’ root
same as one of the roots of the original CE.
Thus, y (x) := yc + (α3 x + α4 x 2 + α5 x 3 )e x where
yc := α1 e x + α2 e 2x is the general solution of the original CE.
Using the y in the given ODE, we get
(D 2 − 3D + 2)(α3 x + α4 x 2 + α5 x 3 )e x = x 2 e x .
−1
We get −3α5 = 1, 6α5 − 2α4 = 0 and 2α4 − α3 = 0 or α5 = 3 ,
α4 = −1 and α3 = −2.
Thus, yp (x) = (−2x − x 2 − 13 x 3 )e x and the general solution is
y (x) := α1 e x + α2 e 2x + yp (x).
T. Muthukumar tmk@iitk.ac.in Ordinary Differential EquationsMTH-102-A April 2, 2020 119 / 172
Example
Example
Consider the ODE y 00 − 2y 0 + y = x 2 e x with again f (x) = x 2 e x .
The annihilator of x 2 e x is (D − 1)3 and the ‘new’ homogeneous ODE
is (D − 1)3 (D 2 − 2D + 1)y = 0.
The roots are five 1 with the ‘new’ roots same as the roots of the
original CE.
Thus, y (x) := yc + (α3 x 2 + α4 x 3 + α5 x 4 )e x where
yc := (α1 + α2 x)e x is the general solution of the original CE.
Using the y in the given ODE, we get
(D 2 − 2D + 1)(α3 x 2 + α4 x 3 + α5 x 4 )e x = x 2 e x .
1
We get 2α3 = 0, 6α4 = 0 and 12α5 = 1 or α5 = 12 , α4 = 0 = α3 .
1 4 x
Thus, yp (x) = 12 x e and the general solution is
1 4 x
y (x) := (α1 + α2 x)e x + 12 x e .
Example
Consider the ODE a2 y 00 + a1 y 0 + a0 y = sin mx where f (x) = sin mx.
Using the annihilator of f , we get a homogeneous, constant
coefficient ODE (D 2 + m2 )(a2 D 2 + a1 D + a0 )y = 0.
The CE of the ‘new’ homogeneous equation is
(µ2 + m2 )(a2 µ2 + a1 µ + a0 ) = 0 with four roots, i.e. the roots m1
and m2 of the original CE and the additional complex roots ±ım.
If the complex roots are distinct from mi then y = yc + yp where
yp (x) := A sin mx + B cos mx where A and B are to be determined.
If the complex roots are equal to mi ’s then y = yc + yp where
yp (x) := x(A sin mx + B cos mx) where A and B are to be determined.
Similarly, for each case!
To obtain A and B in yp , use the y in the given ODE and equate like
variables both sides.
T. Muthukumar tmk@iitk.ac.in Ordinary Differential EquationsMTH-102-A April 2, 2020 121 / 172
Polynomial in RHS
Example
Pk
Consider the ODE a2 y 00 + a1 y 0 + a0 y = i=0 bi x
i with
f (x) = ki=0 bi x i .
P
Example
Consider the ODE y 00 − 2y 0 − 3y = 2e x − 10 sin x with
f (x) = 2e x − 10 sin x, a linear combination of exponential and sine.
The corresponding CE is m2 − 2m − 3 = 0 with roots m1 = 3 and
m2 = −1 and the complementary function is yc (x) := α1 e 3x + α2 e −x .
The roots of the CE corresponding to the annihilators 2(D − 1) and
−10(D 2 + 1) are m3 = 1 and m4 = ±ı which are distinct from m1
and m2 . That is, the functions appearing in f , both e x and sin x are
linearly independent from the solutions of the homogeneous equation.
Thus, yp (x) := α3 e x + α4 sin x + α5 cos x.
Using it in the ODE, we get
Example
Thus, −4α3 = 2, −4α4 + 2α5 = −10 and −4α5 − 2α4 = 0 and
α3 = − 21 , α4 = 2 and α5 = −1.
Hence, the general solution is
1
y (x) := α1 e 3x + α2 e −x − e x + 2 sin x − cos x.
2
Example
Consider the ODE y 00 − 3y 0 + 2y = 2x 2 + e x + 2xe x + 4e 3x .
The corresponding CE is m2 − 3m + 2 = 0 with roots 1 and 2 and the
complementary function is yc (x) := α1 e x + α2 e 2x .
The roots of CE corresponding to the annihilators of e x and 2xe x
have roots same as 1, i.e. e x and xe x appearing in f is a solution of
the homogeneous equation.
Thus, we seek yp (x) := Ax 2 + Bx + C + Dxe x + Ex 2 e x + Fe 3x .
Using it in the ODE, we get
Example
Hence, the general solution is
7
y (x) := α1 e x + α2 e 2x + x 2 + 3x + − 3xe x − x 2 e x + 2e 3x .
2
Example
Consider the ODE y (4) + y 00 = 3x 2 + 4 sin x − 2 cos x.
The corresponding CE is m4 + m2 = 0 with two repeated roots 0 and
pair of conjugate complex roots ±ı and the complementary function
is yc (x) := α1 + α2 x + α3 sin x + α4 cos x.
The CE of the annihilator of 3x 2 in f , D 3 , also has zero as roots.
Thus, its corresponding particular intergal is Ax 4 + Bx 3 + cx 2 .
Similarly, the CE of the annihilator of 4 sin x and −2 cos x in f ,
D 2 + 1, also has ±ı as its roots. Thus, its corresponding particular
intergal is Dx sin x + Ex cos x.
Thus, we seek yp (x) := Ax 4 + Bx 3 + Cx 2 + Dx sin x + Ex cos x.
Example
Using it in the ODE, we get
Example
Consider the ODE
00
y − 2y 0 − 3y = 2e x − 10 sin x
y (0) = 2
y 0 (0) = 4.
Example
1
Using the second initial condition, we have 4 = 3α1 − α2 − 2 + 2.
7 5
Thus, α1 + α2 = 2 and 3α1 − α2 = 2.
3
Hence, α1 = and α2 = 2 and the unique solution is
2
y (x) := 32 e 3x + 2e −x − 12 e x + 2 sin x − cos x.
Example
Consider the ODE y 00 + y = tan x. Its complementary function is
yc (x) = α1 sin x + α2 cos x.
The Wronskian of sin x and cos x is W (sin x, cos x) = −1. Then
v10 = tan x cos x = sin x and
sin2 x
v20 = − tan x sin x = −cos x = cos x − sec x.
Thus, v1 (x) = − cos x + c1 and v2 (x) = sin x − ln | sec x + tan x| + c2 .
Hence, for specific choice of c1 and c2
Example
Consider the ODE (x 2 + 1)y 00 − 2xy 0 + 2y = 6(x 2 + 1)2 .
We have already seen earlier (Reduced Order Method) that its
complementary function is yc (x) = α1 x + α2 (x 2 − 1).
The Wronskian W (x, x 2 − 1) = x 2 + 1 6= 0. Then v10 = −6(x 2 − 1)
and v20 = 6x.
Thus, v1 (x) = −2x 3 + 6x + c1 and v2 (x) = 3x 2 + c2 .
We choose c1 = c2 = 0. Then
y (x) := α1 x + α2 (x 2 − 1) + x 4 + 3x 2 .
Example
Consider the ODE y (3) − 6y 00 − 11y 0 − 6y = e x . The complementary
function is yc (x) = α1 e x + α2 e 2x + α3 e 3x .
We seek a particular integral of the form
yp (x) := v1 (x)e x + v2 (x)e 2x + v3 (x)e 3x where v1 , v2 and v3 are to be
determined suitably. Then yp0 (x) = v1 (x)e x + 2v2 (x)e 2x + 3v3 (x)e 3x
with the additional condition that v10 (x)e x + v20 (x)e 2x + v30 (x)e 3x = 0.
Similarly, yp00 (x) = v1 (x)e x + 4v2 (x)e 2x + 9v3 (x)e 3x with the
additional condition that v10 (x)e x + 2v20 (x)e 2x + 3v30 (x)e 3x = 0.
(3)
Then yp (x) =
v1 (x)e x + 8v2 (x)e 2x + 27v3 (x)e 3x + v10 (x)e x + 4v20 (x)e 2x + 9v30 e 3x .
Since we need to choose v1 and v2 such that yp is a solution to the
ODE, we get the third identity v10 (x)e x + 4v20 e 2x + 9v30 e 3x = e x .
Example
Thus, for yp to satisfy the ODE, v1 and v2 should be chosen such that
x 0
e 2x e 3x
e v1 0
e x 2e 2x 3e 3x v20 = 0
e x 4e 2x 9e 3x v30 ex .
Theorem
The transformation x = e s (x > 0) and x = −e s (x < 0) transforms a
Cauchy-Euler ODE to a linear ODE with constant coefficients in the s
variable.
Proof.
dy dy dx
Set x = e s then s = ln x. Then ds = dx ds = xy 0 . Similarly,
d 2y d dy
xy 0 x = x 2 y 00 + xy 0 ) = x 2 y 00 +
2
=
ds dx ds
d 2y dy
or x 2 y 00 = ds 2
− ds . More generally,
k (k) d d d d
x y = ( − 1)( − 2) . . . ( − (k − 1)) y .
ds ds ds ds
d 2y dy
a2 2
+ (a1 − a2 ) + a0 y = f (e s ).
ds ds
Higher order can be similarly computed!
T. Muthukumar tmk@iitk.ac.in Ordinary Differential EquationsMTH-102-A April 2, 2020 139 / 172
Example
Example
Consider the ODE x 2 y 00 − 2xy 0 + 2y = x 3 .
Assuming x > 0, we set s := ln x. Then the transformed ODE is
d 2y dy
−3 + 2y = e 3s .
ds 2 ds
Example
dy d 2y
Then dsp = 3Ae 3s and ds 2p = 9Ae 3s and using in the ODE of s
variable, we get 2Ae 3s = e 3s .
1
Thus A = 2 and yp = 12 e 3s .
Hence, the general solution for the s variable ODE is
y = α1 e s + α2 e 2s + 12 e 3s
and the general solution in x variable is y = α1 x + α2 x 2 + 12 x 3 .
Example
Consider the ODE x 2 y 00 − 2xy 0 + 2y = x 3 .
Assuming x > 0, we set s := ln x and the transformed ODE is
d 2y dy
2
−3 + 2y = e 3s .
ds ds
Example
Consider the ODE x 3 y (3) − 4x 2 y 00 + 8xy 0 − 8y = 4 ln x.
d 3y 2
Assuming x > 0, set s = ln x. Then x 3 y (3) = ds 3
− 3 dds y2 + 2 dy
ds
d 3y d 2y dy
and the ODE in s variable becomes ds 3 − 7 ds 2 + 14 ds − 8y = 4s.
The complementary function is yc = α1 e s + α2 e 2s + α3 e 4s .
We seek yp = As + B, using method of undetermined coefficients.
(3)
Then yp0 = A, yp00 = yp = 0 and 14A − 8As − 8B = 4s.
Thus, −8A = 4 and 14A − 8B = 0 which gives A = − 12 and B = − 78 .
Thus, the general solution in s variable is
y (s) := α1 e s + α2 e 2s + α3 e 4s − 12 s − 87 and in x variable is
y (x) := α1 x + α2 x 2 + α3 x 4 − 12 ln x − 78 .
Definition
A function f is said to be analytic at x0 if its Taylor series about x0 , i.e.
∞
X f (k) (x0 )
(x − x0 )k
k!
k=0
exists and converges to f (x) for all x in some open interval containing x0 .
Example
All Polynomials, exponential and sine and cosine are all analytic
everywhere.
The reciprocal of these are also analytic except on its roots (zeroes).
Definition
A point x0 is said to be an ordinary point of the ODE
y 00 + P(x)y 0 + Q(x)y = 0 (normalized form) if both P and Q are analytic
at x0 .
If either P or Q (or both) are not analytic at x0 then x0 is a singular point
of the ODE.
Example
All points in R are ordinary point for the ODE
y 00 + xy 0 + (x 2 + 2)y = 0.
The points x = 0 and x = 1 are singular points for the ODE
(x − 1)y 00 + xy 0 + x −1 y = 0 because P(x) = x(x − 1)−1 and
Q(x) = [x(x − 1)]−1 which are not analytic at x = 1 and x = 0, 1,
respectively. All other points are ordinary points.
Theorem
If x0 is an ordinary point of the ODE y 00 + P(x)y 0 + Q(x)y = 0 then the
ODE
P∞ admits two klinearly independent power series solution of the form
k=0 ck (x − x0 ) such that the power series converge in some interval
containing x0 .
Example
Consider the ODE y 00 + xy 0 + (x 2 + 2)y = 0. Observe that all points are
ordinary points. Let us, for instance, find power series solution about
x0 = 0. We seek
∞
X
y (x) = ck x k .
k=0
P∞ P∞
Thus, y 0 (x) = k=1 kck x k−1 and y 00 (x) = k=2 k(k − 1)ck x k−2 .
Example
Using these form in the ODE, we get
∞
X ∞
X ∞
X ∞
X
k−2 k k+2
k(k − 1)ck x + kck x + ck x +2 ck x k = 0
k=2 k=1 k=0 k=0
or
∞
X ∞
X ∞
X ∞
X
(k + 2)(k + 1)ck+2 x k + kck x k + ck−2 x k + 2 ck x k = 0
k=0 k=1 k=2 k=0
Example
or
Example
c0 3c1
Thus, c4 = 4 and c5 = 40 .
Hence,
x4 x 3 3x 5
2
y (x) = c0 1 − x + + . . . + c1 x − + + ...
4 2 40
Example
Consider the IVP
(x − 1)y 00 + 3xy 0 + xy = 0
2
y (0) = 4
y 0 (0) = 6.
Observe that x0 = ±1 are singular points. However, the initial values are
prescribed at x = 0 which is an ordinary point. We seek a power series
solution about x0 = 0. We seek
∞
X
y (x) = ck x k
k=0
Example
Using these form in the ODE, we get
∞
X ∞
X ∞
X ∞
X
k k k
k(k −1)ck x − (k +2)(k +1)ck+2 x +3 kck x + ck−1 x k = 0.
k=2 k=0 k=1 k=1
or
Example
and, for k ≥ 2,
k(k + 2)ck + ck−1
ck+2 = ,
(k + 2)(k + 1)
a recursive relation for power series coefficients.
c0 c1 c1 c0 3c1
Thus, c2 = 0,c3 = 6 + 2, c4 = 12 and c5 = 8 + 8 .
Hence,
x3 x5 x 3 x 4 3x 5
y (x) = c0 1+ + + . . . + c1 x + + + + ...
6 8 2 12 8
Example
Differentiating the general solution, we get
2
5x 4 3x 2 x 3 15x 4
0 x
y (x) = c0 + + . . . + c1 1 + + + + ...
2 8 2 3 8
Recall that the power series solution existence was given for an
ordinary point.
In general, the result is not true for singular points. However, regular
singular point behaves better!
Definition
Let x0 be a singular point of y 00 + P(x)y 0 + Q(x)y = 0. If x0 is such that
(x − x0 )P(x) and (x − x0 )2 Q(x) are both analytic at x0 then x0 is called a
regular singular point of the ODE.
Example
Note that x0 = 0 is a singular point of the ODE
2x 2 y 00 − xy 0 + (x − 5)y = 0.However, x0 = 0 is a regular singular point
because xP(x) = − 21 and x 2 Q(x) = (x−5) 2 are analytic at x0 = 0.
Example
Consider the ODE x 2 (x − 2)2 y 00 + 2(x − 2)y 0 + (x + 1)y = 0. The points
2
x0 = 0, 2 are singular points of the ODE.Now, xP(x) = x(x−2) is not
(x+1)
analytic at x0 = 0 but x 2 Q(x) = (x−2) 2 is analytic at x0 = 0. Thus,
Theorem
If x0 is a regular singular point of the ODE y 00 + P(x)y 0 + Q(x)y = 0 then
the ODE P admits at least one nontrivial solution of the form
r ∞ k
|x − x0 | k=0 ck (x − x0 ) where r in R or C may be determined and the
power series converge in some interval containing x0 but x0 removed.
Example
Using these form in the ODE, we get
∞
X ∞
X
[2(k + r )(k + r − 1) − (k + r ) − 5]ck x k+r + ck−1 x k+r = 0
k=0 k=1
or
[2r (r − 1) − r − 5]c0 x r
∞
X
+ [{2(k + r )(k + r − 1) − (k + r ) − 5} ck + ck−1 ] x k+r = 0.
k=1
Example
the recurrence relation, for k ≥ 1,
−ck−1
ck = .
2(k + r )(k + r − 1) − (k + r ) − 5
5
Solving for r in 2r 2 − 3r − 5 = 0 we get the roots r1 = 2 and r2 = −1.
5 −ck−1
For r1 = 2, the recurrence relation is, for k ≥ 1, ck = k(2k+7) .
Then
x2 x3
x
5
y1 (x) = c0 x 1− +
2 − + ... .
9 198 7722
Example
−ck−1
For r2 = −1, the recurrence relation is, for k ≥ 1, ck = k(2k−7) .
Then
x2 x3
−1 x
y2 (x) = c0 x 1+ + + + ... .
5 30 90
Theorem
Let x0 be a regular singular point and r1 and r2 (indexed such that
Re(r1 ) ≥ Re(r2 )) are roots of the indicial equation.
/ Z+ then there exist two nontrivial linearly independent
If r1 − r2 ∈
solutions, for i = 1, 2,
∞
X
yi (x) = |x − x0 |ri ci,k (x − x0 )k
k=0
with ci,0 6= 0.
If r1 − r2 ∈ N then there exist two nontrivial linearly independent
solutions
∞
X
y1 (x) = |x − x0 |r1 c1,k (x − x0 )k
k=0
Theorem
and
∞
X
r2
y2 (x) = |x − x0 | c2,k (x − x0 )k + Cy1 (x) ln |x − x0 |
k=0
Example
Consider the ODE 2x 2 y 00 + xy 0 + (x 2 − 3)y = 0. Observe that x0 = 0
is a regular
P singular point. We seek a solution of the form
y (x) = ∞ k=0 ck x k+r such that c 6= 0.
0
0
P∞
Then y (x) = k=0 (k + r )ck x −1 and
k+r
∞
y 00 (x) = k=0 (k + r )(k + r − 1)ck x k+r −2 .
P
Example
Solving for r in 2r 2 − r − 3 = 0 we get the roots r1 = 23 and r2 = −1 with
r1 − r2 = 52 ∈
/ Z+ . For r1 = 32 , the recurrence relation is, for k ≥ 2,
−ck−2
ck = k(2k+5) . Then
x2 x4
3
y1 (x) = c0 x 2 1− + − ... .
18 936
−ck−2
For r2 = −1, the recurrence relation is, for k ≥ 2, ck = k(2k−5) . Then
x2 x4
−1
y2 (x) = c0 x 1+ − + ... .
2 24
The solutions obtained are linearly independent and the general solution is
a linear combination of y1 and y2 .
Example
Consider the ODE x 2 y 00 − xy 0 − x 2 + 54 y = 0. Observe that x0 = 0 is a
regular singular
P∞ point. We seek a solution of the form
y (x) = k=0 ck x k+r such that c0 6= 0. Using this form in the ODE, we
get
5 5
r (r − 1) − r − c0 x r + (r + 1)r − (r + 1) − c1 x r +1
4 4
∞
X 5
+ (k + r )(k + r − 1) − (k + r ) − ck − ck−2 x k+r = 0.
4
k=2
Example
5
We get the roots r1 = 2 and r2 = − 12 with r1 − r2 = 3 ∈ N.
ck−2
For r1 = 25 , the recurrence relation is, for k ≥ 2, ck = k(k+3) . Then
∞
!
5 X x 2k
y1 (x) = c0 x 2 1+ .
[2 · 4 · 6 . . . (2k)][5 · 7 · 9 . . . (2k + 3)]
k=1
Example
Then the solution y2 (x) is given as
∞
!
− 21 x2 x4 X x 2k
c0 x 1− − −
2 2·4 [2 · 4 · 6 . . . (2k)][3 · 5 · 7 · . . . (2k − 3)]
k=3
∞
!
− 12 3
X x 2k+1
+c3 x x + .
[2 · 4 · 6 . . . (2k − 2)][5 · 7 · . . . (2k + 1)]
k=2
Example
Consider the ODE x 2 y 00 + (x 2 − 3x)y 0 + 3y = 0. Observe that x0 = 0
is a regular
P singular point. We seek a solution of the form
y (x) = ∞ c
k=0 k x k+r such that c 6= 0.
0
Using this form in the ODE, we get 0 is equal to
∞
X
[{(k + r )(k + r − 1) − 3(k + r ) + 3} ck + (k + r − 1)ck−1 ] x k+r
k=1
+ [r (r − 1) − 3r + 3] c0 x r .
Example
We get the roots r1 = 3 and r2 = 1 with r1 − r2 = 2 ∈ N. For r1 = 3,
−c
the recurrence relation is, for k ≥ 1, ck = kk−1 . Then
y1 (x) = c0 x 3 e −x .
For r2 = 1, the recurrence relation is, for k ≥ 1 and k 6= 2,
−ck−1
ck = (k−2) . Then the solution y2 (x) = c2 x 3 e −x = y1 (x). Thus, we
are yet to find a linearly independent solution.
We employ the reduction order technique. We seek
y2 (x) = v (x)x 3 e −x . Using it in the RODE, we obtain
xv 00 + (3 − x)v 0 = 0. Then v (x) = x −3 e x dx. Thus,
x 2 3x 3 x 4
x 1
y2 (x) = − − + − + . . . + x 3 e −x ln x.
2 2 4 4 2
Definition
For a given p ∈ R, the ODE x 2 y 00 + xy 0 + (x 2 − p 2 )y = 0 is called the
Bessel’s equation of order p.
k=2
Example
−ck−2
the recurrence relation, for k ≥ 2, ck = (k+r )2
. We get the roots
−ck−2
r1 = r2 = 0 = r . For r = 0, we have c1 = 0 and, for k ≥ 2, ck = k2
.
Then
∞
X (−1)k x 2k
y1 (x) = c0 .
(k!)2 2
k=0
Definition
The case c0 = 1 is called the Bessel’s function of first kind of order zero,
denoted as J0 .