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INTRODUCTION

The simplest differential equations are found in the works of I. Newton and G.
von Leibniz. The term “differential equation” belongs to Leibniz. While creating
the calculus of fluxions and fluents, Newton posed two problems: (1) given a
relation between fluents, find the relation between their fluxions and (2) given an
equation containing fluxions, find the relation between the fluents. From the
modern point of view, the first problem (finding the derivatives of functions) falls
under differential calculus, while the second forms the content of the theory of
ordinary differential equations. Newton regarded the task of finding the indefinite
integral F(x) of the functionf(x) as a special case of his second problem. For
Newton, the founder of mathematical natural science, such an approach was
wholly justified: in most cases, the laws of nature, which govern various
processes, are expressed in the form of differential equations, and the
calculation of the course of these processes reduces to the solution of differential
equations.

The following two simple examples can serve as an illustration of what has been
said.

(1) If a body heated to the temperatureT is placed in a medium whose


temperature is equal to zero, then under certain conditions we may
assume that the increment ΔT (negative whenT > 0) of its temperature
over a short interval of time Δt can be expressed with sufficient accuracy
by the formula

ΔT=-kTΔt

Where k is a constant. In the mathematical treatment of this physical problem


we assume that the exactly corresponding limit relation between the
differentials.

dT=-kTdt ------------------------------------(1)

holds. In other words, we assume that the differential equation

T=-kT

holds, where ’T’ denotes the derivative with respect to it. To solve this
differential equation, or, as we say, to integrate it, is to find the functions that
satisfy it. For equation (1) all such functions (that is, all its particular solutions)
have the form
T= ------------------------------------- (2)

Where C is a constant. Formula (2) with an arbitrary constant C is called the


general solution of equation (1).

Suppose a weight p of mass m attached to a spring is in a state of equilibrium


(Figure 1, a). If we stretch the spring (Figure 1, b), then the equilibrium is
disturbed and the weight is set in motion. I fx(t) denotes the magnitude of the
body’s deviation from the state of equilibrium at time t, then the acceleration of
the body is expressed by the second derivative x” (t). If the spring is stretched
by a small amount, then, according to the theory of elasticity, the force m x”(t) is
proportional to the deviation x(t). Thus, one obtains the differential equation

mx”(t) = -kx(t)

Its solution has the form

and shows that the body will undergo harmonic oscillations (see Figure 1, c).

The theory of differential equations developed into an independent, fully


elaborated

scientific discipline in the 18th century (the works of D. Bernouilli, J. d’Alembert,


and L.

Euler).

Differential equations are divided into ordinary differential equations, which


involve the

derivatives of one or several functions of a single independent variable, and


partial

differential equations, which involve partial derivatives of functions of several

independent variables. The order of the differential equation is the highest order
of the

derivatives appearing in it.

Ordinary differential equations, EQUATIONS OF THE FIRST ORDER.


The relation

(A) F(x,y,z”) = 0

between the independent variablex, the unknown functiony, and its derivative y’
= dy/dx

is called an ordinary differential equation of the first order in one unknown


function (for

the present we will examine only equations of this type). If equation (A) can be
solved

for the derivative, then we obtain an equation of the form

(B) y’ = f(x,y)

The function f(x,y) is supposed single-valued. It is simpler to examine many


questions of

the theory of differential equations for such equations.

Equation (B) can be written in the form of a relation between differentials

f(x,y)dx - dy = 0

Then it becomes a particular case of equations of type

(C) P(x,y)dx + Q(x,y)dy = 0

In equations of type (B), it is natural to consider the variablesx andy as


equivalent, that

is, we are not interested in which of them is independent.

GEOMETRIC INTERPRETATION OF DIFFERENTIAL EQUATIONS.

Let y = y(x) be a solution of equation (B). In geometric terms this means that in a

rectangular coordinate system the slope of the tangent to the curve y = y(x) at
each of its

points M(x, y) has the value k =f(x, y). Thus, the problem of finding the solution y
= y(x)

reduces to the following problem: at each point of some domain in the plane we
are given

a “direction,” and it is necessary to find all curves whose direction at any pointM
is the

same as the preassigned direction atM. If the function f(x, y) is continuous, then
this
direction changes continuously withM. To give a graphic representation of the

preassigned directions, referred to as the direction field, we draw through a


sufficiently

large number of points distributed with sufficient density over the entire domain
under

consideration, short dashes with the direction given for these points. In Figure 2
this is

done for the equation y1 = y2. The figure enables us to visualize the graphs of
the solution

curves—the so-called integral curves of the differential equation. Calculation


shows that

the general solution of this equation isy = 1/(C - x). In Figure 2 the integral
curves

corresponding to the values of the parametersC = 0 andC = 1 are drawn

Figure 2

The graph of any single-valued function y = y(x) intersects every straight line
parallel to

theOy axis only once. Such, consequently, are the integral curves of any
equation (B)

with a single-valued continuous function on the right-hand side. New possibilities


for the
form of integral curves arise in connection with equations of type (C). With the
aid of the

pair of continuous functions P(x, y) and Q(x, y), it is possible to define any
continuous

direction field. The problem of integrating equations of type (C) coincides with
the purely

geometric (independent of the choice of coordinate axes) problem of finding the


integral

curves corresponding to a given direction field in the plane. It should be noted


that no

definite direction corresponds to the points (x0, y0), at which both functions P(x,
y) and

Q(x, y) vanish. Such points are called singular points of the equation (C)

For example, consider the equation

ydx + xdy = 0

that can be written in the form

Strictly speaking, the right-hand side


of the latter equation becomes
meaningless forx = 0

andy = 0. The corresponding direction


field and the family of integral curves,
which in

this case are the circles x2 + y2 = C,


are shown in Figure 3. The origin (x =
0,y - 0) is a

singular point of the differential


equation. The integral curves of the
equation

ydx = xdy = 0

are depicted in Figure 4. They are the


rays from the origin. The origin is a
singular point

of the equation
Figure 4

Figure 3

INITIAL CONDITIONS. The geometric interpretation of differential equations of the


first

order suggests that through each interior pointM of a domainG with a given
continuous

direction field there passes a unique integral curve.

As regards the existence of an integral curve, the formulated hypothesis is valid.


The

existence proof was supplied by G. Peano. On the other hand, the uniqueness
part of this

hypothesis proves, generally speaking, to be incorrect. Even for such a simple


equation as

whose right-hand side is continuous in the entire plane, the integral curves have
the form

depicted in Figure 5. Uniqueness of the integral curve passing through a given


point is
violated at all points of the x axis.

Uniqueness, that is, the assertion that there is just one integral curve passing
through a

given point, holds for equations of type (B) with a continuous right-hand side
under the

additional assumption that the function/(x,y) has a bounded derivative with


respect toy

in the domain under consideration,

This requirement is a special case of the following, somewhat broader Lipschitz


condition: there exists a constantL such that in the domain under consideration
we have the inequality |f(x,y1) - f(x,y2)|<L|y1 - y2| This condition is most
frequently cited in textbooks as a sufficient condition of uniqueness. From the
analytic point of view, the existence and uniqueness theorems for equations of
type (B) signify the following: if the appropriate conditions are fulfilled [for
example, the function f(x,y) is continuous and has a bounded derivative with
respect toy], then the assignment of an initial value y0 =

y(x0) of the function y(x) for an “initial value” x0 of the independent variable x
singles out one definite solution from the family of all solutionsy(x). For example,
if for equation (1) we require that at the initial timet0 =0 the temperature of the
body be equal to the initial value T0, then we will have singled out a definite
solution satisfying the given initial conditions from the infinite family of solutions
of (2): T(t) = T0e- kt This example is typical: in mechanics and physics
differential equations usually determine the general laws of the course of some
phenomenon. However, in order to obtain definite quantitative results from these
laws, it is necessary to specify data pertaining to the initial state of the physical
system being studied at some definite “initial moment” t0. If the conditions of
uniqueness are fulfilled, then the solutiony(x) that satisfies the conditiony(x0)
=y0 can be written in the form (5) y(x) = Φ(x;x0+y0) in which x0 andy0 enter as
parameters. The function Φ(x; x0,y0) of the three variablesx, x0, and y0 is
determined uniquely by equation (B). It is important to note that given a
sufficiently small change in the field (the right-hand side of the differential
equation), the function Φ x0, y0) changes arbitrarily little over some finite
interval asx varies—in other words, there is a continuous dependence of the
solution on the right-hand side of the differential equation. If the right-hand

sidef(x, y) of the differential equation is continuous and its derivative with


respect toy is bounded (or satisfies a Lipschitz condition), then Φ(x; x0, y0) is
again continuous with respect to x0 andy0.

If the conditions of uniqueness for equation (B) are satisfied in a neighborhood of


the point (x0, yj, then all the integral curves passing through a sufficiently small
neighborhood of the point (x0 , y0) intersect the vertical linex = x0 and each of
them is determined by the ordinatey =C of its point of intersection with this line
(see Figure6). Thus, all these solutions belong to the family with the single
parameterC:

yx = F(x,C)

which is the general solution of the differential equation (B).

In the neighborhood of points at which the conditions of uniqueness are violated,


the picture can be more complex. The question of the behavior of the integral
curves “in the large” rather than in the neighborhood of the point (x0 ,y0) is also
quite complex.

GENERAL INTEGRAL. SINGULAR SOLUTIONS.


It is natural to pose the converse problem: given a family of curves depending on
a parameter C, find a differential equation for which the curves of the given
family would serve as integral curves. The general method of solving this
problem consists in the following. Considering the family of curves in the xOy
plane to be defined by the relation

(6) F(x,y,C) = 0

we differentiate (6) keepingC constant and obtain or in symmetric notation and


eliminate the parameterC from the two equations (6) and (7) or (6) and (8). If a
differential equation is obtained from the relation (6) in this manner, then this
relation is called the general integral of the differential equation. The same
differential equation can have many different general integrals. After finding the
general integral for a given differential equation, it still proves necessary,
generally speaking, to check whether the differential equation has additional
solutions not contained in the family of integral curves (6).

Let, for example, the family of curves

(9) (x - C)3 - y = 0

be given. If we keepC constant and differentiate (9), then we obtain

3(x - c)2 - y’ = 0

After elimination ofC we arrive at the differential equation

(10) 27y2 - (y’)3 = 0

which is equivalent to equation (4). It is easy to see that, in addition to the


solutions (9), equation (10) has the solution

(11)y ≡0

The most general solution of equation (10) is

where –∞ ≤C1 ≤C2 ≤ +∞ (Figure 7). This solution depends on the two
parametersC1 and C2 but is formed from segments of curves of the one-
parameter family (9) and a segment of the singular solution (11).

Solution (11) of equation (10) can serve as an example of a singular solution of a


differential equation. As another example we examine the family of lines

(12) 4(y - Cx) + C2 = 0

These lines are integral curves of the differential equation

4(y - xy’) + (y’)2 = 0


A singular integral curve of this differential equation is the parabola

X^2 - y= 0

which is the envelope of the lines (12) (Figure 8). This situation is typical:
singular integral curves are usually envelopes of the family of integral curves of
the general solution

DIFFERENTIAL EQUATIONS OF HIGHER ORDER AND SYSTEMS OF DIFFERENTIAL


EQUATIONS. Differential equations of thenth order in one unknown functiony(x)
of the independent variablex are written as follows:

If one introduces the additional unknown functions

(14) y1 = y1,y2 = y’’,…yn- 1 = y(n 1)

then equation (13) can be replaced by a system ofn equations of the first order
inn unknown functions. For this it is sufficient to add to then-1 equations (14) the
equation
F(x, y, y1, y2, . . . , yn- n, y’n- n) = 0

A system of equations of higher order can also be reduced to a system of


equations of the first order in an analogous manner. In mechanics the reduction
of a system of equations of the second order to a system of twice as many
equations of the first order has a simple mechanical meaning. For example, by
introducing the componentsu, v, andw of velocity as new variables we can
reduce the system of three equations of the motion of a material point

mxn = P(x,y,z)

myn = Q(x,y,z)

mzn = R(x,y,z)

where x, y, andz are the coordinates of a point dependent on time /, to a system


of six equations:

mu’ = P(x,y,z)

mv’ = Q(x,y,z)

mw’ = R(x,y,z)

u = x’

v = y’

w = z’

Of greatest value are the systems in which the number of equations is equal to
the number of unknown functions. A system ofn equations of the first order inn
unknown functions, which is solved with respect to the derivatives, has the form
A solution of the system of differential equations (a) is a system of
functionsx1,x£t), … , xn(t), which, when substituted in the equations (a), satisfies
them. One frequently encounters systems of type (a), in which the right-hand
sides do not depend onf. In this case, the study of the system (a) essentially
reduces to the study of the system of the (n-l) equations, which it is advisable to
write in the symmetric form without predetermining on which of the variablesxl
x2 , … , xn the remainingn - 1 variables are supposed to depend. By considering
x = (x1 x2, … , xn) as a vector, it is possible to write the system (a) in the form
of one vector equation:

which allows extensive use of the analogy with the theory of one equation of the
first order of type (B). In particular, it turns out that for the system (a) the basic
results concerning the existence and uniqueness of the solution of the initial
value problem remain in force: if in a neighborhood of the point (t0, x1°, x2°, … ,
-xn°) all functionsFt are continuous in all the variables t, x1x2, … , xn and have
bounded derivatives with respect to the variables x1x2, xn, then the assignment
of the initial values xi(t0) = xi0, for i = 1, 2, … , n, determines a unique solution
of the system (a). This explains the fact that, generally speaking, the solution of
a system of n equations of the first order inn unknown functions depends onn
parameters. In the case of the above-cited specific examples of differential
equations, the general solution can be expressed in terms of elementary
functions. The classes of differential equations which admit this type of solution
have been studied in detail. Often a more general point of view is adopted,
namely, we consider a differential equation “solved,” if the required connection
between the variables (and the parameters c1, c2, … , which are a part of the
general solution) can be expressed in terms of elementary functions and their
integrals (“the solution is expressed in quadratures”). A general method for
finding solutions of differential equations is expansion in power series. For
example, if the right-hand sides of equations of type (a) are holomorphic in a
neighborhood of the point (t0, x1°,x2°, … , xn°), then the solution of the
corresponding initial value problem is given by functionsx£t), which can be
expanded in power series the coefficients of which can be determined by
sucessively differentiating the right-hand sides of the differential equations (a)
and by equating the coefficients of the same powers on both sides of these
equations. When it comes to special types of differential equations, there is a
very extensive theory of linear differential equations and of systems of linear
differential equations. For linear differential equations it is also relatively easy to
solve questions to the “qualitative” behaviors of integral curves, that is, their
behaviors in the entire domain of definition of the differential equations. For
nonlinear differential equations, for which it is especially difficult to find a
general solution, questions of the qualitative theory of differential equations
sometimes assume a dominant significance. Following the classical works of A.
M. Liapunov, the works of Soviet mathematicians, physicists, and scientists in the
field of mechanics have played a leading role in the qualitative theory of
differential equations. Of great importance is the analytic theory of differential
equations, which studies the solutions of differential equations from the point of
view of the theory of analytic functions. An example of a concern in this theory is
the distribution of the singular points of solution functions in the complex plane.

In addition to initial value problems, where the values of the unknown functions
are
given (and, in the case of equations of a higher order, also their derivatives) at
one point
(for one value of the independent variable), one frequently makes use of
boundary value
problems.
Partial differential equations. A typical feature of partial differential equations
and of
systems of partial differential equations is that in order to determine a particular
solution
it is necessary to prescribe certain functions rather than the values of a finite
number of
parameters. For example, the general solution of the equation
is given by any function of the form
u(t,x) = f(x + t) + g(x - t)
where/andg are arbitrary functions. Thus, the differential equation (16) limits the
arbitrariness in the selection of a function of two variables u(x, y) only to the
extent that it
is possible to express it in terms of two functions/f(z) andg(v) of one variable,
which
remain arbitrary [provided that equation (16) is not supplemented by “initial” or
“boundary” conditions] .

The so-called Cauchy problem can serve as a typical problem with initial
conditions for a system of partial differential equations of the first order

where t, x1… ,xn are the independent variables andU1 , … , um are functions of
these independent variables. The Cauchy problem consists in the following: to
find the functions ui(t, x1… ,xn) given their values for some t =t0:

ut(t0,x1…xn)=Φ(x1,…xn)

i=1,2,…,m

The theory of partial differential equations of order higher than the first and of
systems of partial differential equations examines problems of the Cauchy type
as well as a number of boundary value problems.

The type of equation is of particular importance in stating and solving boundary


value problems for partial differential equations of order higher than the first. As
an example we can cite the classification of partial differential equations of the
second order in one unknown function z(x, y) of two variables:

(18) F(x, y, z, p, q, r, s, t) = 0

(18) is an elliptic equation. An example of an elliptic equation is the Laplace


equation:

If D < 0, then (18) is a hyperbolic equation. An example of a hyperbolic equation


is the equation of vibrating string:

If D = 0, then (18) is a parabolic equation. An example of a parabolic equation is


the heat equation: