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1.2K views97 pagesfirst order differential equations
ps:from differential equations by simmons
pps:lectures at bits pilani goa india

Sep 08, 2009

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first order differential equations
ps:from differential equations by simmons
pps:lectures at bits pilani goa india

Attribution Non-Commercial (BY-NC)

1.2K views

first order differential equations
ps:from differential equations by simmons
pps:lectures at bits pilani goa india

Attribution Non-Commercial (BY-NC)

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You are on page 1of 97

: MATH GC241

Instructors

Dr. Ranadev Datta

Mr. Harish V. N.

Text Book

Simmons G. F., Differential Equations with Applications

and Historical Notes, MH, 2nd Edn., 1991.

Reference Books

Erwin Kreyszig, Advanced Engineering Mathematics,

John Wiley & Sons, 8th Edn.

Differential Equations and Boundary Value Problems,

John Wiley & Sons, 7th Edn, 1991.

Equations, Prentice Hall, 1961.

Contents

Introduction to first order Differential

Equations and their Solution Techniques

Introduction to Second order Differential

Equations and their Solution Techniques

Power Series solutions to second order DE’s

with variable coefficients

Introduction to System of Differential

Equations

Introduction to Laplace Transform

Introduction to Fourier Series

Introduction to Partial Differential Equations

(ii) Parabolic Equation (Heat Equation)

(iii) Elliptic Equation (Laplace Equation)

Evaluation Scheme

______________________________________

E.C Duration Weightage(%)

______________________________________

Test-1 1 hour 25

______________________________________

Test-2 1 hour 25

______________________________________

Tut Test/Quiz ***** 10

______________________________________

Comp. Exam 3 hour 40

______________________________________

Differential Eqns

What is Differential Equation?.

contains a derivative (or derivatives) of an

unknown function.

Differential Eqns

DE’S

ODE PDE

Elliptic Hyperbolic

Parabolic

ODE

A differential equation is said to be ordinary

differential equation if all the derivatives are with

respect to a single independent variable.

Example:

dy

+ t2 y = sin t

dt

d3 y dy

3

+ 5t + 10y = 0.

dt dt

PDE

A differential equation is said to be partial

differential equation if there are derivatives with

respect to two or more independent variables.

Example:

∂y ∂y

+c = 0

∂t ∂x

∂ 2u ∂ 2u

2

+ 2 = 0.

∂x ∂y

Order of a Diff. Eqn

The order of a differential equation is the highest

order derivative involving in the differential

equation.

Example:

2 !3

dy dy

2

+ + y = 0.

dt dt

The order is 2.

Degree of a Diff. Eqn

The degree of a differential equation is the

highest power of highest order derivative

involving in the differential equation.

Example:

2 !3

dy dy

2

+ + y = 0.

dt dt

The degree is 1.

Applications

Newton’s Law of cooling :

The temperature of a object T (t) changes

according to the temperature of it’s environment.

It is found by experiment that

dT

= T − Ta ,

dt

where Ta is the ambient temperature of the

environment.

cold T=Ta

T = T(t)

hot Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.14/97

Applications

Electrical Circuits :

In a standard RLC circuit the charge on the

capacitor at time t is q(t) which is related to the

current i(t) by i = dq

dt .

In the circuit below the voltage drops across the

various components becomes

d2 q dq 1

L 2 + R + q = E(t).

dt dt C

R

E L

C Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.15/97

Applications

Falling Bodies :

The position of a particle is denoted by s(t) with

the velocity and acceleration given by

ds dv d2 s

v= , a= = 2.

dt dt dt

A body falling under gravity alone will have the

equation

d2 s

2

= −g

dt

where g = 9.8 m/s2 . Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.16/97

Applications

Springs, Buildings and Cars suspension :

Hooke found that the force on a beam (or spring)

is proportional to the amount of displacement.

This applies to Springs, Building supports, and

Car suspensions.

If x(t) is the displacement then Hooke’s law

states

d2 x

m 2 = −kx.

dt

Linear and nonlinear DE’s :

A differential equation written as

D(y(t)) = 0

is linear if

D(y1 + y2 ) = D(y1 ) + D(y2 ).

Note 1. A differential equation is linear if all the

derivative terms and the unknown function y are

not raised to any power or part of a function.

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.18/97

Example 1

d2 y

2

+y =0

dt

is linear.

d2 y 3

+ ty = t

dt2

is linear.

d2 y 2

2

+y =0

dt

is nonlinear. Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.19/97

Homogeneous and Nonhomogeneous DE’s :

A differential equation is said to be

homogeneous if

D(y(t)) = 0

whereas it is inhomogeneous if

D(y(t)) = f (t).

Example 2

d2 y

2

+y =0

dt

is homogeneous

d2 y 3

+ y = t

dt2

is inhomogeneous

dy

+ xy 2 = sin x

dx

is inhomogeneous. Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.21/97

Number of Arbitrary

Constants

Consider the differential equation

dy

= t.

dt

The solution is

t2

y(t) = + C,

2

where C is an arbitrary constant.

Similarly, we take

d2 y

2

=t

dt

then

dy t2

= + C1 ,

dt 2

and by integrating again, we get

t3

y(t) = + C1 t + C2 ,

6

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.23/97

where C1 and C2 are two different arbitrary

constants.

solution of a differential equation is the same as

the order of the differential equation.

from the various conditions imposed by the

problem.

Example 3

A falling body problem where an object was

dropped from a height of 10 m will be

d2 s ds

m 2 = mg − k ,

dt dt

s(0) = 10, s′ (0) = 0,

which means that at time t = 0 (initially) the

height was 10 m and the velocity was zero.

Example 4

The temperature in a long beam, which would

have equation

d2 T

2

= 0,

dx

T (0) = 100, T (1) = 0.

This corresponds to the temperature at one end

x = 0 is 100 degrees and at the other end x = 1

is zero.

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.26/97

General Form

The general form of nth order ordinary differential

equation is

2 n

dy d y d y

F x, y, , 2 , · · · , n = 0,

dx dx dx

(or) using the prime notation for derivatives, we

rewrite as

F x, y, y ′ , y ′′ , · · · , y (n) = 0.

First order ODE

The general first order ODE can be written as

dy

!

F x, y, = 0.

dx

We normally expect that the above first order

ODE will have a solution and solution contain

one arbitrary constant.

Example

We consider the following examples:

!2

dy

+ 1 = 0,

dx

has no real-valued solutions at all.

!2

dy

+ y 2 = 0,

dx

has only the solution y = 0, which contains no

arbitrary constant.

Situations of this kind raise difficult theoretical

questions about the existence and nature of

solutions of differential equations.

Existence of a

Solution

We consider the first order ODE

dy

(1) = f (x, y).

dx

We assume that f (x, y) is a continuous function

throughout some rectangle R in the xy-plane.

follows:

If P0 = (x0 , y0 ) is a point in R then the number

dy

!

= f (x0 , y0 )

dx P0

determines a direction at P0 .

Now let P1 = (x1 , y1 ) be a point near to P0 in this

direction, then

dy

!

= f (x1 , y1 )

dx P1

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.32/97

If we continue like this, we obtain a broken line.

y

.

.P

.P 2 R

.P0 1

If we assume that the successive points move

closer to one another then the broken line

approaches a smooth curve through the initial

point P0 .

Note that the different initial point produce a

different curve.

called integral curves.

Separable Equations

A differential equation which can be written in the

form

M (x) dx + N (y) dy = 0,

where M is a function of x alone and N is a

function of y alone, is said to be separable.

The solution is

Z Z

M (x) dx + N (y) dy = C,

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.36/97

Example 1

Find the solution of the equation

dy

′

y = = ex+y .

dx

Solution. We write

dy

= ex ey .

dx

Now separating the variables, we obtain

e−y (dy/dx) = ex .

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.37/97

Integrating with respect to x and then replacing

(dy/dx) dx by dy yields

Z Z

e−y dy = ex dx.

−e−y = ex + C,

where C is any arbitrary constant.

Example

Solve

dy

= ex y 3 − xex y 3 ,

dx

y(0) = −1.

Solution. The equation is separable and the

solution is

1 −2

− y = (2 − x)ex + C.

2

Substituting the initial condition, we get C = − 25 .

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.39/97

Therefore, the solution of the given problem is

2 1

y = x

.

5 − 2(2 − x)e

This gives

1

y = −q .

5 − 2(2 − x)ex

Example

We consider the differential equation

dy 1

= y

.

dt 1+e

This equation can be written in

Solution.

separable form as

y dy

(1 + e ) = 1.

dt

The general solution for the given differential

equation is

y + ey = t + C,

where C is an arbitrary constant.

given differential equation.

Orthogonal

Trajectories

Two families of curves are said to be mutually

orthogonal if the product of the slopes is −1 at

every point of intersection between curves of

each family.

differential equations.

Example

We consider the family of curves

y = Cx.

Differentiating with respect to x, we get

dy

= C.

dx

By eleminating C, we obtain

dy y

= .

dx x

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.44/97

Curves orthogonal to these curves must satisfy

the differential equation

dy x

=− .

dx y

Solving, we get

x2 + y 2 = K.

Thus, the family of concentric circles centered at

the origin is orthogonal to the family of stright

lines through the origin.

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.45/97

y

−3 −2 −1 1 2 3 x

Orthogonal Trajectories

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.46/97

How to find the orthogonal trajectories of a given family

of curves

dy

Replace dx by − dx

dy to obtain the differential

equation of the orthogonal trajectories

Homogeneous

Equations

An equation of the form

dy

= f (x, y)

dx

is said to be homogeneous whenever the

function f does not depend on x and y

separately, but only on their ratio xy or xy .

dy y

!

=f .

dx x

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.48/97

The function f (x, y) is called homogeneous of

degree n if

f (tx, ty) = tn f (x, y).

Example:

x x+y √ 1

!

2 2

x + 2y , sin , ln , x + y + xy,

y x x+y

are homogeneous of degree 2, 0, 0, 1 and -1,

respectively.

A differential equation

(2) M (x, y) dx + N (x, y) dy = 0,

is called homogeneous if M (x, y) and N (x, y) are

homogeneous functions of the same degree.

dy M (x, y) y

!

=− =F .

dx N (x, y) x

We simplify the homogeneous equation by

introducing a new dependent variable v as a

function of x to represent ratio of y to x. Thus

(3) y = xv.

The given differential equation becomes

dy

= F (v).

dx

Differentiating (3) with respect to x, we obtain

dy dv

=v+x .

dx dx

dy

Using dx = F (v), we rewrite the above equation

as

dv F (v) − v

= .

dx x

(or)

1 dv 1

= .

(F (v) − v) dx x

Integrating on both sides with respect to x and

replacing (dv/dx) dx by dv, we get the solution for

v.

y

Finally, we replace v by x to get the required

solution y.

Example

Find the general solution of

2 dy

x = y 2 + xy + x2 .

dx

We note that the given differential

Solution.

equation is homogeneous differential equation.

arrive

1 dv 1

2

= .

v + 1 dx x

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.54/97

Integrating on both sides, we obtain

where C is an arbitrary constant.

the given differential equation

y

!

−1

tan = ln |x| + C,

x

where C is an arbitrary constant.

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.55/97

Reduction to

Separable Form

We consider the differential equation of the form

dy a1 x + b1 y + c1

!

=f .

dx a2 x + b2 y + c2

We made the above equation homogeneous by

change of variables.

We put

x = x1 + h,

y = y1 + k.

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.56/97

Substituting x and y in the given differential

equation and we choose h and k so that

a1 h + b1 k + c1 = 0,

(4) a2 h + b2 k + c2 = 0,

we obtain

dy1 a1 x1 + b1 y1

!

=f ,

dx1 a2 x1 + b2 y1

which is homogeneous.

The equation (4) can be solved for h and k

provided

D = a1 b2 − a2 b1 6= 0.

We note that by translating the origin to the point

(h, k) we have removed the constant terms in the

linear expressions.

If D = 0, the first degree terms of numerator and

denominator are proportional and the equation

falls into the form

dy

= f (ax + by + c).

dx

We put z = ax + by + c then

dz

= a + bf (z).

dx

We can solve the above equation by using

variable seperable method. Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.59/97

Example

Find the general solution of

dy

(1 + x − 2y) + (4x − 3y − 6) = 0.

dx

Example

Find the general solution of

(x + y + 1) dx + (2x + 2y − 1) dy = 0.

Solution. Here D = a1 b2 − a2 b1 = 0. We put

z =x+y

so that

dz dy

=1+ .

dx dx

Thus

dz z+1

=1−

dx 2z − 1

(or)

dz z−2

= .

dx 2z − 1

Solving, we get

2z + 3 ln |z − 2| = x + C,

where C is an arbitrary constant.

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.62/97

Substituting z = x + y, we obtain

2(x + y) + 3 ln |x + y − 2| = x + C,

where C is an arbitrary constant.

Exact equations

A differential equation

M (x, y) dx + N (x, y) dy = 0

is said to be exact if there exists a function,

denoted by U (x, y) such that

∂U ∂U

dU = dx + dy = M dx + N dy.

∂x ∂y

That is, the equation is the exact differential of a

function of x and y then the differential equation

takes the form

dU = 0,

and its solutions are defined implicitly by

U (x, y) = C,

where C is an arbitrary constant.

Example

Solve the differential equation

1 x

dx − 2 dy = 0.

y y

Solution.We note that the given equation is

exact, since it may be written

x

!

d =0

y

and its solution is

x

= C.

y

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.66/97

Note

We note that the differential equation

1 x

dx − 2 dy = 0,

y y

can be rewritten in the form

y dx − x dy = 0

is not exact.

A differential equation

M (x, y) dx + N (x, y) dy = 0

is said to be exact if and only if

∂M ∂N

= .

∂y ∂x

The general solution is

U (x, y) = C.

Example

Test the equation

ey dx + (xey + 2y) dy = 0

for exactness and solve it, if it is exact.

Then

∂M y ∂N

= e , and = ey .

∂y ∂x

We have

∂M ∂N

= .

∂y ∂x

Therefore, the given equation is exact.

We have

∂U y ∂U

= e and = xey + 2y.

∂x ∂y

Integrating, we get

Z

U = ey dx + g(y)

= xey + g(y).

Now differentiating with respect to y, we get

∂U

= xey + g ′ (y).

∂y

This gives

2

g(y) = y .

The solution is

xey + y 2 = C

where C is an arbitrary constant.

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.72/97

Integrating Factors

We note that the equation

y dx − x dy = 0

is not exact.

1

But if we multiply by y2 , we have an exact

equation

1 x x

!

dx − 2 dy = d = 0,

y y y

x

(or) by y3 ,

2 2

x x 1x

2

dx − 3 dy = d

2

= 0,

y y 2y

1

(or) by xy ,

dx dy

− = d (ln |x| − ln |y|) = 0.

x y

1

The multipliers y12 , yx3 , xy are called integrating

factors of the given equation.

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.74/97

Definition

A nonzero function µ(x, y) is called integrating

factor of the equation

M (x, y) dx + N (x, y) dy = 0,

if the equation

µ(x, y) (M (x, y) dx + N (x, y) dy) = 0

is exact.

Note

The differential equation

M (x, y) dx + N (x, y) dy = 0

has an infinite number of integrating factors.

integrating factor.

Integrating Factors

We now diccuss some simple cases:

M (x, y) dx + N (x, y) dy = 0,

we have

1 ∂M ∂N

!

− = f (x)

N ∂y ∂x

a function of x alone.

Then R

f (x) dx

µ(x) = e

is an integrating factor.

If

1 ∂N ∂M

!

− = f (y)

M ∂x ∂y

is a function of y alone. Then

R

f (y) dy

µ(y) = e

is an integrating factor. Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.78/97

Example

Solve the differential equation

2 sin(y 2 ) dx + xy cos(y 2 ) dy = 0.

Solution. The general solution is

x4

U (x, y) = sin(y 2 ) = C,

2

where C is an arbitrary constant.

Example

Solve the differential equation

(2xy 2 − y) dx + (y 2 + x + y) dy = 0.

Solution. The general solution is

2 x

U (x, y) = x − + y + ln |y| = C,

y

where C is an arbitrary constant.

Linear Equations

The general form of a first order linear differential

equation is

dy

A(x) + B(x)y + C(x) = 0.

dx

On division by the first coefficient, it can be put

into the form

dy

(5) + P (x)y = Q(x).

dx

We note that

d dy

R R !

P (x) dx P (x) dx

e y =e + Py .

dx dx

R

P (x) dx

We multiply (5) by e , we get

d R P (x) dx R

e y = Q e P (x) dx .

dx

Integrating now yields

R Z R

P (x) dx P (x) dx

e y= Q(x)e + C,

(or)

R Z R

y = e− P (x) dx

Q(x)e P (x) dx

+C

Example

Solve the differential equation

dy 1

+ y = x2 .

dx x

Solution. Here P (x) = x1 , Q(x) = x2 .

The integrating factor is

1

R R

P dx dx

e =e x = x.

The general solution is

Z

yx = x2 (x) dx + C,

or

x3 C

y= + ,

4 x

where C is an arbitrary constant.

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.85/97

Example

Find the solution of the initial value problem (IVP)

′

y − 2xy = x, y(0) = 1.

Solution. The solution is

1 3 x2

y=− + e .

2 2

Bernoulli’s Equation

The nonlinear differential equation

dy

(6) + P (x)y = Q(x)y n ,

dx

where n is a constant but not necessary an

integer, known as Bernoulli’s equation.

know the solution methods.

For n ≥ 2, we use the substitution

v = y 1−n

to reduce Bernoulli’s equation to linear equation.

−n dy

y + P (x)y 1−n = Q(x).

dx

Taking v = y 1−n , we get

dv −n dy

= (1 − n)y

dx dx

(or)

−n dy 1 dv

y = .

dx (1 − n) dx

Finally, we get the linear equation of the form

1 dv

+ P (x)v = Q(x).

(1 − n) dx

We solve the linear equation for v and we replace

v = y 1−n to get the required general solution for

the equation (6).

Example

Solve the differential equation

x2 y ′ + 2xy − y 3 = 0.

Solution. The general solution is

−2 2 −1

y = x + Cx4 ,

5

where C is an arbitrary constant.

Reduction of Order

The general second order differential equation

has the form

(7) F (x, y, y ′ , y ′′ ) = 0.

We consider two special types of second order

equations that can be solved by first order

methods.

Dependent Variable

missing

If y is not explictly present, then equation (7) can

be written as

(8) F (x, y ′ , y ′′ ) = 0.

In this case, we introduce a new dependent

variable p, by putting

′ dp ′′

y = p and y = .

dx

Then (8) transforms into the first order equation

dp

!

F x, p, = 0.

dx

dy

We solve for p and replace p by dx and we solve

for y.

Example

Solve the differential equation

xy ′′ − y ′ = 3x2 .

Solution. The required general solution is

2

x

y = x3 + C1 + C2 ,

2

where C1 and C2 are arbitrary constants.

Independent Variable

missing

If x is not explicitly present, then the second

order equation can be written

F (y, y ′ , y ′′ ) = 0.

Let y ′ = p and

′′ dp dp dy dp

y = = =p .

dx dy dx dy

Then

dp

!

F y, p, p = 0.

dy

Course No. : MATH GC241 Course Title : MATHEMATICS-III – p.96/97

Example

Solve

y ′′ + k 2 y = 0.

Solution. The general solution is

y

!

−1

sin = ±kx + C2 ,

C1

where C1 and C2 are arbitrary constants.

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