Systems of First Order Differential Equations

Department of Mathematics
IIT Guwahati
SHB/SU

SHB/SU MA-102 (2020)

Notation

• t → independent variable.
• x1 (t), . . . , xn (t), y (t) → dependent variables (functions of t).
• X (t) = [x1 (t), · · · , xn (t)]T → (column) vector valued dependent
variable.
• F (t) = [f1 (t), · · · , fn (t)]T → (column) vector valued function of t.
• A(t) = [aij (t)]n×n → an n × n matrix valued function of t where
each entry is a function of t.
• C (I) continuous function on open interval I of R, possibly vector or
matrix valued which will be clear from the context.
• C 1 (I) continuously differentiable function on an open interval I of
R, possibly vector or matrix valued which will be clear from the
context.

SHB/SU MA-102 (2020)

First Order Systems in Normal Form
A first order system of n (not necessarily linear) equations in n
unknown functions x1 (t), x2 (t), . . . , xn (t) in normal form is
given by

x10 (t) = f1 (t, x1 , x2 , . . . , xn ),

x20 (t) = f2 (t, x1 , x2 , . . . , xn ),
..
.
xn0 (t) = fn (t, x1 , x2 , . . . , xn ).

Higher-order differential equations often can be rewritten as a

first-order system. Consider the nth order ODE
y (n) (t) = f (t, y , y 0 , . . . , y (n−1) ) (1)
into a first-order system as follows.
SHB/SU MA-102 (2020)
Setting
x1 (t) := y (t), x2 (t) := y 0 (t), . . . , xn (t) := y (n−1) (t).
we obtain n first-order equations:
x10 (t) = y 0 (t) = x2 (t),
x20 (t) = y 00 (t) = x3 (t),
..
. (2)
0 (n−1)
xn−1 (t) = y (t) = xn (t),
0 (n)
xn (t) = y (t) = f (t, x1 , x2 , . . . , xn ).
if (1) has n initial conditions:
y (t0 ) = α1 , y 0 (t0 ) = α2 , . . . , y (n−1) (t0 ) = αn ,
then the system (2) has initial conditions:
x1 (t0 ) = α1 , x2 (t0 ) = α2 , . . . , xn (t0 ) = αn .
SHB/SU MA-102 (2020)
Example: y 00 (t) + 3y 0 (t) + 2y (t) = 0; y (0) = 1, y 0 (0) = 3.
Setting
x1 (t) := y (t) and x2 (t) := y 0 (t)
we obtain

x10 (t) = x2 (t),

x20 (t) = −3x2 (t) − 2x1 (t).
The initial conditions transform to x1 (0) = 1, x2 (0) = 3.

We shall consider only linear systems of first-order ODEs.

SHB/SU MA-102 (2020)

First Order Normal Systems in Matrix Vector Form

Consider the linear system in the normal form:

x10 (t) = a11 (t)x1 (t) + · · · + a1n (t)xn (t) + f1 (t),
x20 (t) = a21 (t)x1 (t) + · · · + a2n (t)xn (t) + f2 (t),
..
.
xn0 (t) = an1 (t)x1 (t) + · · · + ann (t)xn (t) + fn (t).

in matrix and vector notations, we write it as

X 0 (t) = A(t)X (t) + F (t), (3)
where X (t) = [x1 (t), . . . , xn (t)]T , F (t) = [f1 (t), . . . , fn (t)]T ,
and A(t) = [aij (t)] is a n × n matrix.
When F = 0 the linear system (3) is said to be homogeneous.

SHB/SU MA-102 (2020)

Definition: Let I be an open interval in R. The IVP for the
system
X 0 (t) = A(t)X (t) + F (t) (4)
where A(t) and F (t) are continuous on I, is to find a vector
function X (t) ∈ C 1 (I) that satisfies the system (4) for all
t ∈ I and the initial conditions X (t0 ) = X0 = (x1,0 , . . . , xn,0 )T ,
where t0 ∈ I and X0 ∈ Rn .

Theorem: (Existence and Uniqueness)

Let A(t) and F (t) be continuous on I and t0 ∈ I. Then, for
any choice of X0 = (x1,0 , . . . , xn,0 )T ∈ Rn , there exists a
unique solution X (t) to the IVP

X 0 (t) = A(t)X (t) + F (t), X (t0 ) = X0

on the whole interval I.

SHB/SU MA-102 (2020)

Example: Consider the IVP:

   √   
0 t 3 tan t 1−t −1
X (t) = X (t) + , X (0) = .
t sin t 0 1
This IVP has a unique solution on the interval (−π/2, 1).

Theorem: Consider the n × n system

X 0 (t) = A(t)X (t) + F (t), t ∈ I,
where A(t), F (t) ∈ C (I). Let L : C 1 (I) 7→ C 1 (I) defined by
LX (t) = X 0 (t) − A(t)X (t),
for all X (t) ∈ C 1 (I). Then,
• L is linear.
• X 0 (t) = A(t)X (t) ⇔ X (t) ∈ Ker (L).
• dim Ker (L) = n.
SHB/SU MA-102 (2020)
The Wronskian of Solutions
Definition: The Wronskian of n vector functions

X1 (t) = (x1,1 (t), . . . , xn,1 (t))T , . . . , Xn (t) = (x1,n (t), . . . , xn,n (t))T
is defined as
 x1,1 (t) x1,2 (t) · · ·
 
x1,n (t) 
 x2,1 (t) x2,2 (t) · · · x2,n (t)
 

W (X1 , . . . , Xn )(t) :=  .. .. .. 
 . . . 

 x (t) x (t) · · · xn,n (t) 
n,1 n,2
= |X1 (t) · · · Xn (t)|

Theorem: Let {X1 (t), . . ., Xn (t)} be a set of solutions of

X 0 (t) = A(t)X (t) on I where A(t) ∈ C (I). They form a
linearly independent set on I iff W (X1 . . . Xn )(t) 6= 0 on I.

SHB/SU MA-102 (2020)

Abel’s formula
Theorem: If X1 (t), . . . , Xn (t) are solutions of
X 0 (t) = A(t)X (t) on I, W (t) := W (X1 , . . . , Xn )(t), and
t0 ∈ I, then Abel’s formula for the Wronskian W (t) is
Z t 
W (t) = W (t0 ) exp trace(A(s))ds , ∀t ∈ I
t0

Proof: Let X (s) = [X1 (s) · · · Xn (s)]. Using Jacobi’s formula,

dW d
= (|X (s)|) = trace(adj(X (s))X 0 (s))
ds ds
= trace(adj(X (s))A(s)X (s))
= trace(A(s) X (s) adj(X (s)))
= trace(A(s) |X (s)|)
= W (s) trace(A(s)).
The result follows by solving for W (s) and integrating from t0
to t.
SHB/SU MA-102 (2020)
Representation of Solutions
Theorem:(Homogeneous case)
Let X1 (t), . . . , Xn (t) be n linearly independent solutions to

X 0 (t) = A(t)X (t), t ∈ I,

where A(t) is continuous on I. Then, every solution to
X 0 (t) = A(t)X (t) can be expressed in the form
X (t) = c1 X1 (t) + · · · + cn Xn (t),
where ci ’s are constants.
Definition: A set {X1 (t), . . . , Xn (t)} of n linearly independent
solutions to
X 0 (t) = A(t)X (t), t ∈ I (∗)
is called a fundamental solution set for (∗) on I.

SHB/SU MA-102 (2020)

The matrix Φ(t) defined by
Φ(t) := [X1 (t) · · · Xn (t)]
x1,1 (t) x1,2 (t) · · · x1,n (t)
 
 x2,1 (t) x2,2 (t) · · · x2,n (t) 
=  .. .. .. 
 . . . 
xn,1 (t) xn,2 (t) · · · xn,n (t)

is called a fundamental matrix for (∗).

Note: We can use Φ(t) to express the general solution
X (t) = c1 X1 (t)+· · ·+cn Xn (t) = Φ(t)C , where C = (c1 , . . . , cn )T .

2. Since |Φ(t)| = W (X1 , . . . , Xn )(t) 6= 0 on I, Φ(t) is

invertible for every t ∈ I.

SHB/SU MA-102 (2020)

Implications of Abel’s Formula

Corollary Consider the linear n × n system of ODEs

X 0 (t) = A(t)X (t)

and suppose X (t) = [X1 (t) · · · Xn (t)] such that
Xi0 (t) = A(t)Xi (t), i = 1, . . . , n,

for all t ∈ I. The following are equivalent.

• X (t) is a fundamental matrix.
• X (t) is invertible for all t ∈ I.
• X (t) is invertible for some arbitrary choice of t ∈ I.

SHB/SU MA-102 (2020)

 0
Example:
 Consider
 the system X (t) = A(t)X (t) on R, where
0 1 1
A= 1 0 1  . The set {X1 (t), X2 (t), X3 (t)}, where
1 1 0
 2t     
e −e −t 0
X1 (t) =  e 2t  , X2 (t) =  0  , X3 (t) =  e −t  ,
e 2t e −t −e −t

is a fundamental solution set.

Note that AXi (t) = Xi0 (t), i = 1, 2, 3. Further,
 
 e 2t −e −t 0 
 2t −t

W (t) =  e 0 e  = −3 6= 0.
 e 2t e −t −e −t 


SHB/SU MA-102 (2020)

  
e 2t −e −t 0
The fundamental matrix Φ(t) =  e 2t 0 e −t  .
−t
e 2t
e −e −t

Thus, the GS is
     
e 2t −e −t 0
X (t) = Φ(t)C = c1  e 2t  + c2  0  + c3  e −t  .
e 2t e −t −e −t

SHB/SU MA-102 (2020)

Theorem:(Non-homogeneous case)
Let Xp (t) be a particular solution of

X 0 (t) = A(t)X (t) + F (t), t ∈ I, (∗∗)

and let {X1 (t), . . . , Xn (t)} be a fundamental solution set on I
for the corresponding homogeneous system X 0 (t) = A(t)X (t).
Then every solution to (∗∗) can be expressed in the form

X (t) = c1 X1 (t) + · · · + cn Xn (t) + Xp (t)

= Φ(t)C + Xp (t).

*** End ***

SHB/SU MA-102 (2020)