Chapter 7 Second order ordinary dierential equations

7.1

Introduction

Second order linear equations have a rich theoretical structure on which the methods for solving them is built. They are vital to the understanding of classical mathematical physics such as heat conduction, wave motion or uid mechanics. A second order ode has the form d2 y(t) =f dt2 t, y(t), dy(t) , dt

where f is a given function. The equation is linear if the function f is linear in y and its derivatives. This means that for specic functions of t, f t, y(t), dy(t) dt = g(t) a(t) dy(t) b(t)y(t), dt

and the dierential equation has the general form d2 y dy + a(t) + b(t)y = g(t). 2 dt dt In this chapter we discuss second order odes as above, and also second order constant-coecient odes of the form d2 y(t) dy(t) +a + by(t) = g(t), 2 dt dt equivalently, y + ay + by = g(t) (7.1)

Note that a and b are constants, and g(t) is a given function of t. Also, we use the notation y or dy , hence time t is the independent variable. Sometimes we will dt dy use y or dx , where x is the independent variable. The corresponding homogeneous equation of (7.1) is y + ay + by = 0. 51

CHAPTER 7. SECOND ORDER ORDINARY DIFFERENTIAL EQUATIONS52

7.2

General theory and reduction of order

First, we will examine some results for general second order linear odes with non-constant coecients, y + a(t)y + b(t)y = g(t). We want to guarantee that solutions to the dierential equation are linearly independent of each other.

7.3

Denition (Linear independence)

Consider a set of functions {y1 (t), y2 (t), . . . , yn (t)} dened on the interval t (a, b). If the only way to make linear combinations of these functions c1 y1 (t) + c2 y2 (t) + . . . + cn yn (t) = 0 for any t (a, b) is that all the constants are zero: c1 = c2 = . . . = cn = 0, then these functions are called linearly independent of each other.

7.4

Theorem (Two linearly independent solutions)

y + a(t)y + b(t)y = 0 (7.2)

Let a(t) and b(t) be continuous functions of t, then the equation has two linearly independent solutions y1 (t) and y2 (t). Moreover, any solution y(t) of (7.2) has the form y(t) = c1 y1 (t) + c2 y2 (t) for some constants c1 and c2 . To prove this theorem we will use the Wronskian of given functions.

7.5

Denition (Wronskian)

Let f1 (t), f2 (t), . . . , fn (t) be a set of given functions, then the Wronskian of these functions is f1 f2 . . . fn f1 f2 . . . fn f1 f2 . . . fn . . ... . W (f1 (t), f2 (t) . . . , fn (t)) = det . . ... . . . ... . (n1) (n1) (n1) f1 f2 . . . fn

CHAPTER 7. SECOND ORDER ORDINARY DIFFERENTIAL EQUATIONS53

7.6

Proposition

The n smooth functions f1 (t), f2 (t), . . . , fn (t) are said to be linearly independent if and only if their Wronskian = 0 for all t. That is, if the determinant can be shown to be non zero for some t = t0 in the interval, the functions are linearly independent. If the determinant equals zero we cannot tell from this alone whether the functions are linearly independent or linearly dependent.

7.7

Proposition
y + a(t)y + b(t)y = 0. (7.3)

Let y1 (t) and y2 (t) be two solutions of

Then their Wronskian is either identically zero, or never vanishes.

7.8

Proof
W (t) = a(t)W (t) (7.4)

In this case, W = y1 y2 y2 y1 . We can verify that as follows. W = y1 y2 + y1 y2 y1 y2 y2 y1 . From (7.3), substituting y2 = a(t)y2 b(t)y2 and y1 = a(t)y1 b(t)y1 leads to W = a(t)(y1 v v y1 ) = a(t)W.
t

Integrating equation (7.4) W (t) = W (t0 ) exp

t0

a(s)ds

It is clear that W (t) never vanishes unless W (t0 ) = 0, hence the result.

7.9

Proposition
y + a(t)y + b(t)y = 0, y(t0 ) = 0, y(t0 ) = 1

If y1 (t) solves

and y2 (t) solves y + a(t)y + b(t)y = 0, y(t0 ) = 1, y(t0 ) = 0

then y1 (t) and y2 (t) are linearly independent. This is because their Wronskian is non-zero at t0 . (The existence of these solutions is beyond the scope of the course).

CHAPTER 7. SECOND ORDER ORDINARY DIFFERENTIAL EQUATIONS54

7.10

Theorem

Any other solution of y + a(t)y + b(t)y = 0, y(t0 ) = y0 , y(t0 ) = y0

can be expressed as a linear combination of y1 (t) and y2 (t).

7.11

Proof

Let y1 and y2 be any two solutions satisfying the dierential equation and the initial conditions, then we can verify by substituting c1 y1 (t) + c2 y2 (t) into the equation that y(t) = c1 y1 (t) + c2 y2 (t) is another solution. Also, by calculating the Wronskians W (y1, y) and W (y2 , y) at the point t0 we nd they are identically zero, hence they are linearly dependent. This is a useful result, beacause it tells us that if we know two dierent solutions then we know every solution, since any other solution is a combination of the two we know.

7.12

Theorem

Let a(t), b(t) and g(t) be continuous functions of t, then any solution of the equation y + a(t)y + b(t)y = g(t) can be expressed as y = yc + yp . Here, yc is the complimentary solution yc = c1 y1 (t) + c2 y2 (t), where y1 (t) and y2 (t) are the two linearly independent solutions of y + a(t)y + b(t)y = 0. c1 and c2 are arbitrary constants, and yp is a particular solution of y + a(t)y + b(t)y = g(t).

CHAPTER 7. SECOND ORDER ORDINARY DIFFERENTIAL EQUATIONS55

7.13

Theorem
y + a(t)y + b(t)y = 0,

If we know one non-zero solution y1 (t) of a second order equation

then the equation y + a(t)y + b(t)y = g(t) can be reduced to a rst order equation. (7.5)

7.14

Proof
y = y1 u + y1 u, and y = y1 u + 2y1 u + y1 u.

Let y(t) = y1 (t)u(t), then

Substituting into equation (7.5), y1 u + 2y1 u + y1 u + a(t)(y1 u + y1 u) + b(t)y1 u = g(t). Collecting terms in u, u and u y1 u + (2y1 + a(t)y1 )u + (1 + a(t)y1 + b(t)y1 )u = g(t). y But y1 + a(t)y1 + b(t)y1 = 0, since it solves the homogeneous equation, so y1 u + (2y1 + a(t)y1 )u = g(t). We know y1 , so here u is the new unknown. Let u = w, then y1 w + (2y1 + a(t)y1 )w = g(t). (7.6)

Thus the second order equation has been reduced to a rst order equation. This can now be solved for w, then substituting w = u we can nd u by integration. Finally, since y = y1 u, we can nd y. 7.14.1 Example Given one solution of the homogenous equation as y1 = sin(t), solve the equation y + y = cos(t). Solution Let y = y1 u. Then y = u sin(t), and y = cos(t)u + sin(t)u, y = sin(t)u + 2 cos(t)u + sin(t). u (7.7)

CHAPTER 7. SECOND ORDER ORDINARY DIFFERENTIAL EQUATIONS56 Substituting into the equation, we get sin(t)u + 2 cos(t)u + sin(t) + sin(t)u = cos(t), u sin(t) + 2 cos(t)u = cos(t), u u + 2 cot(t)u = cot(t). Letting u = w, w + 2 cot(t)w = cot(t), which is now a rst order Requation in w. Using integrating factor e 2 cot(t)dt = e2 ln | sin(t)| = sin2 (t), d (sin2 (t)w) = sin2 (t) cot(t) = sin(t) cos(t), dt d (sin2 (t)w)dt = dt sin(t) cos(t)dt 1 C . + 2 sin2 (t) = 1 2 sin (t) + C 2

w(t) =

Since w = u, we substitute and integrate again. udt = 1 C + 2 sin2 (t) dt, u(t) = t C cot(t) + D, 2

where C and D are arbitrary constants of integration. Finally, y(t) = u(t) sin(t), and the solution is t y(t) = ( C cot(t) + D) sin(t) 2 = 1 t sin(t) + D sin(t) C cos(t). 2

Check that this satises the dierential equation (7.7): cos(t) t t + C cos(t) + sin(t)( + D) C cos(t) y + y = sin(t)( + D) + 2 2 2 2 = cos(t)! 7.14.2 Remark There is a particular equation known as the standard Euler-Cauchy equation, which has the form t2 y + aty + by = 0.

CHAPTER 7. SECOND ORDER ORDINARY DIFFERENTIAL EQUATIONS57 where a and b are constants. For this type of equation we seek polynomial solutions rather than exponential solutions, that is, solutions of the form y(t) = tm . Dierentiating and substituting into the equation, we nd each term includes tm . This leads to tm (m2 + (a 1)m + b) = 0, t = 0.

The quadratic in m can be solved to nd the functions which satisfy the EulerCauchy equation, y(t) = c1 tm1 + c2 tm2 .

7.15

Constant-coecient second order homogenous odes

y + ay + by = 0. (7.8)

In this section we study the equation introduced earlier,

Consider solutions of the form y = et . Dierentiating twice, and substituting into (7.8), we have et (2 + a + b) = 0, 2 + a + b = 0.

This equation in is called the characteristic equation for (7.8). The roots of this quadratic equation are given by a a2 4b 1,2 = . 2 With known (distinct) roots, the general solution can be written as y(t) = c1 e1 t + c2 e2 t . The actual form of the solution is strongly dependent on whether the roots are real and distinct, real and repeated, or complex. Three cases can be identied based on whether the term inside the radical is positive, zero or negative. 7.15.1 Three cases 1. Real distinct roots If a2 4b > 0, the roots are real and distinct. Therefore the general solution is usually written as above: y(t) = c1 e1 t + c2 e2 t . Example Find the general solution of y y 6y = 0.

CHAPTER 7. SECOND ORDER ORDINARY DIFFERENTIAL EQUATIONS58 Solution The characteristic equation is 2 6 = 0, which gives roots 1 = 2 and 2 = 3. Hence the general solution is y(t) = ce2t + c2 e3t 2. Repeated roots If a2 4b = 0, we obtain repeated roots. In this case, the double root is given by a 1 = 2 = . 2 Therefore, there is only one independent solution, y1 (t) = ce 2 t .
a

To nd a second basis solution, we need to use the reduction of order method. Let y(t) = ce 2 t u(t),
a

w(t) = u(t).

Then from, equation (7.6), we have e 2 t w + (ae 2 t + ae 2 t )w = 0

a a a

w=0

w(t) = c1 u(t) = c1 t + c2 Hence y(t) = (c1 t + c2 )e 2 t

a

where c1 and c2 are arbitrary constants. Example Find the general solution of y + 2y + y = 0. Solution The characteristic equation is 2 + 2 + 1 = 0, which gives roots 1 = 2 = 1. Hence the general solution is y(t) = et (c1 + c2 t)

CHAPTER 7. SECOND ORDER ORDINARY DIFFERENTIAL EQUATIONS59 3. Complex conjugate roots If a2 4b < 0, the roots are complex conjugates. In this case the roots can be written as 1,2 = i, a 1 with = , = 2 2 |a2 4b|

Recalling the denition of the complex exponential (eit ) and the complex form of the sine and cosine functions eit = cos(t) + i sin(t), the standard form of the solution y(t) can be rewritten using y(t) = et (k1 cos(t) + k2 sin(t)) . Example Find the general solution of y + 2y + 5y = 0. Solution The characteristic equation is 2 + 2 + 5 = 0, which gives roots 1 = 1+2i and 2 = 12i. Hence the general solution is y(t) = et (k1 cos(2t) + k2 sin(2t)).

7.16
Consider

Constant-coecient second order nonhomogenous odes (reduction of order revisited)

y + ay + by = g(t)

The general approach is to (a) Solve the corresponding homogenous equation y + ay + by = 0 to get two linearly independent solutions y1 and y2 . (b) Let y = y1 u, sub into the equation and, after cancellation, reduce the equation to a 1st order equation in w, where w = u and w = u.

CHAPTER 7. SECOND ORDER ORDINARY DIFFERENTIAL EQUATIONS60 (c) Solve the corresponding equation, then integrate to obtain a solution in terms of u, and nally y = y1 u gives the full solution to the nonhomogenous problem. Example Find the general solution of y + 2y + y = e2t . Solution The corresponding homogenous equation is y + 2y + y = 0. The characteristic equation is 2 + 2 + 1 = 0, which gives roots 1 = 2 = 1. Hence the general solution is y1 = et , y2 = tet . Let y = et u, and w = u, then from equation (7.6) we have et w + (2et + 2et )w = e2t . Then w(t) = e3t Hence 1 y(t) = y1 (t)u(t) = e2t + Ctet + Det . 9 (7.9) 1 w(t) = e3t + C 3 1 u(t) = e3t + Ct + D. 9

7.17

The undetermined coecient method

The method of undetermined coecients is a technique for determining the particular solution to linear constant-coecient dierential equations of the form y + ay + by = g(t) for certain types of nonhomogeneous terms g(t). In this section we will examine 1. g(t) = eat , 2. g(t) = polynomial, 3. g(t) = sine or cosine,

CHAPTER 7. SECOND ORDER ORDINARY DIFFERENTIAL EQUATIONS61 4. Modied guess. 1. Nonhomogeneous term g(t) = eat . Consider the example: y + 3y + 2y = e3t . We guess that the particular solution has the form yp (t) = Ae3t . Here A is a unknown constant. In this case we have yp = 3Ae3t and yp = 9Ae3t Substituting the expressions for yp , yp and yp into the dierential equation, we obtain 9Ae3t + 3(3Ae3t ) + 2Ae3t = e3t . The LHS of this last expression is 20Ae3t . Comparing the two sides of the 1 dierential equation, we conclude that A = 20 . 2. Nonhomogeneous term g(t) = polynomial. Consider the example: y + 3y + 2y = t + 1. We guess that the particular solution has the form yp (t) = At + B, where A and B are unknowns. In this case we have yp = A and yp = 0. Substituting the expressions for yp , yp and yp into the dierential equation, we obtain 0 + 3A + 2(At + B) = t + 1. Comparing the coecients we get A =
1 2

and B = 1 . 4

If the nonhomogeneous term is a polynomial of degree n, then an initial guess for the particular solution should be a polynomial of degree n. yp = An tn + An1 tn1 + + A1 t + A0 . 3. Nonhomogeneous term g(t) = sine or cosine. Consider the example: y + 3y + 2y = sin(3t). We guess that the particular solution is yp = A sin(3t) + B cos(3t). Note that we have both sine and cosine terms. In this case we have yp = 3A cos(3t) 3B sin(3t), yp = 9A sin(3t) 9B cos(3t).

CHAPTER 7. SECOND ORDER ORDINARY DIFFERENTIAL EQUATIONS62 Substituting into the dierential equation we obtain 9A sin(3t) 9B cos(3t) + 3(3A cos(3t) 3B sin(3t)) + 2(A sin(3t) + B cos(3t)) = sin(3t).
7 9 Comparing the coecients, we obtainA = 130 and B = 130 .

4. Modied guess I Consider the example: y + 3y + 2y = et According to the arguments above, the guess for the particular solution is yp = Aet . We have yp = Aet and yp = Aet . Substituting these expressions into the ode, we have Aet 3Aet + 2Aet = et . Simplifying, we get 0 = et . This is inconsistent. The reason this choice of particular solution fails is that et is already a solution to the homogeneous equation y + 3y + 2y = 0. In this case, we make another guess, yp = Atet . We have yp = Aet Atet and yp = 2Aet + Atet . Substituting into the ode we have, Atet 2Aet + 3(Aet Atet ) + 2Atet = et . Comparing coecients we get A = 1. 5. Modied guess II The rule is that we must multiply an initial guess for the particular solution by ts , where s is the smallest integer so that no term in the modied particular solution is a solution to the homogeneous ode. Here is an example: y + 2y + y = et . We can verify that both et and tet are solutions of the corresponding homogenous equation. Hence we choose yp = At2 et . After substitution, 1 we get A = 2 .

CHAPTER 7. SECOND ORDER ORDINARY DIFFERENTIAL EQUATIONS63

7.18

Initial value problem

For second order equations, the initial data are usually given in the form of one value of the function y at a particular time t = t0 , and one value of the gradient y at the same time t = t0 : y(t0) = y0 , y(t0 ) = y0 .

The general solution has two arbitrary constants, so we require two initial conditions in order to nd their values for a unique solution. Example Solve the problem y + 2y + y = e2t , y(0) = 1, y(0) = 1.

Solution 1 We already know from equation (7.9) that y = 9 e2t + Ctet + Det , hence 2 y = e2t + Cet Ctet Det . 9 We have y(0) = 1 1 + D = 1, 9 2 + C D = 1. 9

y(0) = 1 Combining these, we get 1 C= , 3 The solution is

8 D= . 9

1 1 8 y(t) = e2t tet + et . 9 3 9