You are on page 1of 66

Part IA — Differential Equations

Based on lectures by M. G. Worster
Notes taken by Dexter Chua

Michaelmas 2014

These notes are not endorsed by the lecturers, and I have modified them (often
significantly) after lectures. They are nowhere near accurate representations of what
was actually lectured, and in particular, all errors are almost surely mine.

Basic calculus
Informal treatment of differentiation as a limit, the chain rule, Leibnitz’s rule, Taylor
series, informal treatment of O and o notation and l’Hôpital’s rule; integration as an
area, fundamental theorem of calculus, integration by substitution and parts. [3]
Informal treatment of partial derivatives, geometrical interpretation, statement (only)
of symmetry of mixed partial derivatives, chain rule, implicit differentiation. Informal
treatment of differentials, including exact differentials. Differentiation of an integral
with respect to a parameter. [2]

First-order linear differential equations
Equations with constant coefficients: exponential growth, comparison with discrete
equations, series solution; modelling examples including radioactive decay.
Equations with non-constant coefficients: solution by integrating factor. [2]

Nonlinear first-order equations
Separable equations. Exact equations. Sketching solution trajectories. Equilibrium
solutions, stability by perturbation; examples, including logistic equation and chemical
kinetics. Discrete equations: equilibrium solutions, stability; examples including the
logistic map. [4]

Higher-order linear differential equations
Complementary function and particular integral, linear independence, Wronskian (for
second-order equations), Abel’s theorem. Equations with constant coefficients and
examples including radioactive sequences, comparison in simple cases with difference
equations, reduction of order, resonance, transients, damping. Homogeneous equations.
Response to step and impulse function inputs; introduction to the notions of the Heav-
iside step-function and the Dirac delta-function. Series solutions including statement
only of the need for the logarithmic solution. [8]

Multivariate functions: applications
Directional derivatives and the gradient vector. Statement of Taylor series for functions
on Rn . Local extrema of real functions, classification using the Hessian matrix. Coupled
first order systems: equivalence to single higher order equations; solution by matrix
methods. Non-degenerate phase portraits local to equilibrium points; stability.
Simple examples of first- and second-order partial differential equations, solution of
the wave equation in the form f (x + ct) + g(x − ct). [5]

1

Contents IA Differential Equations

Contents
0 Introduction 4

1 Differentiation 5
1.1 Differentiation . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
1.2 Small o and big O notations . . . . . . . . . . . . . . . . . . . . . 5
1.3 Methods of differentiation . . . . . . . . . . . . . . . . . . . . . . 6
1.4 Taylor’s theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.5 L’Hopital’s rule . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7

2 Integration 8
2.1 Integration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.2 Methods of integration . . . . . . . . . . . . . . . . . . . . . . . . 9

3 Partial differentiation 11
3.1 Partial differentiation . . . . . . . . . . . . . . . . . . . . . . . . 11
3.2 Chain rule . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
3.3 Implicit differentiation . . . . . . . . . . . . . . . . . . . . . . . . 12
3.4 Differentiation of an integral wrt parameter in the integrand . . . 13

4 First-order differential equations 15
4.1 The exponential function . . . . . . . . . . . . . . . . . . . . . . 15
4.2 Homogeneous linear ordinary differential equations . . . . . . . . 16
4.3 Forced (inhomogeneous) equations . . . . . . . . . . . . . . . . . 18
4.3.1 Constant forcing . . . . . . . . . . . . . . . . . . . . . . . 18
4.3.2 Eigenfunction forcing . . . . . . . . . . . . . . . . . . . . 18
4.4 Non-constant coefficients . . . . . . . . . . . . . . . . . . . . . . . 19
4.5 Non-linear equations . . . . . . . . . . . . . . . . . . . . . . . . . 20
4.5.1 Separable equations . . . . . . . . . . . . . . . . . . . . . 21
4.5.2 Exact equations . . . . . . . . . . . . . . . . . . . . . . . 21
4.6 Solution curves (trajectories) . . . . . . . . . . . . . . . . . . . . 22
4.7 Fixed (equilibrium) points and stability . . . . . . . . . . . . . . 24
4.7.1 Perturbation analysis . . . . . . . . . . . . . . . . . . . . 24
4.7.2 Autonomous systems . . . . . . . . . . . . . . . . . . . . . 25
4.7.3 Logistic Equation . . . . . . . . . . . . . . . . . . . . . . . 26
4.8 Discrete equations (Difference equations) . . . . . . . . . . . . . . 27

5 Second-order differential equations 30
5.1 Constant coefficients . . . . . . . . . . . . . . . . . . . . . . . . . 30
5.1.1 Complementary functions . . . . . . . . . . . . . . . . . . 30
5.1.2 Second complementary function . . . . . . . . . . . . . . . 31
5.1.3 Phase space . . . . . . . . . . . . . . . . . . . . . . . . . . 32
5.2 Particular integrals . . . . . . . . . . . . . . . . . . . . . . . . . . 33
5.2.1 Guessing . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
5.2.2 Resonance . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
5.2.3 Variation of parameters . . . . . . . . . . . . . . . . . . . 35
5.3 Linear equidimensional equations . . . . . . . . . . . . . . . . . . 37
5.4 Difference equations . . . . . . . . . . . . . . . . . . . . . . . . . 38
5.5 Transients and damping . . . . . . . . . . . . . . . . . . . . . . . 39

2

Contents IA Differential Equations

5.6 Impulses and point forces . . . . . . . . . . . . . . . . . . . . . . 41
5.6.1 Dirac delta function . . . . . . . . . . . . . . . . . . . . . 41
5.7 Heaviside step function . . . . . . . . . . . . . . . . . . . . . . . . 43

6 Series solutions 45

7 Directional derivative 50
7.1 Gradient vector . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
7.2 Stationary points . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
7.3 Taylor series for multi-variable functions . . . . . . . . . . . . . . 51
7.4 Classification of stationary points . . . . . . . . . . . . . . . . . . 52
7.5 Contours of f (x, y) . . . . . . . . . . . . . . . . . . . . . . . . . . 53

8 Systems of differential equations 55
8.1 Linear equations . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
8.2 Nonlinear dynamical systems . . . . . . . . . . . . . . . . . . . . 58

9 Partial differential equations (PDEs) 61
9.1 First-order wave equation . . . . . . . . . . . . . . . . . . . . . . 61
9.2 Second-order wave equation . . . . . . . . . . . . . . . . . . . . . 62
9.3 The diffusion equation . . . . . . . . . . . . . . . . . . . . . . . . 64

3

In this course. It is impossible for a person who hasn’t seen calculus before to learn calculus from those few pages. These are discrete analogues of differential equations. This is an example of a differential equation. then we can write this as mẍ = t2 − 1. Instead.0 Introduction IA Differential Equations 0 Introduction In this course. instead of what time it is. but a rather boring one). which states that Fn+2 − Fn+1 − Fn = 0. the first equation is also a differential equation. this involves guessing of some sort. We are given an equation that a function x obeys. we will develop numerous techniques to solve different differ- ential equations and difference equations. often involving derivatives of x. Hence the actual equation of motion might be mẍ = x2 − 1. Calculus is often used to model physical systems. This specifies a relationship between terms in a sequence (Fn ). 4 . and we have to find all functions that satisfy this equation (of course. For example. While we will define all of calculus from scratch. and find the position x as a function of time. it is assumed that students already know how to do calculus. if we know that the force F = mẍ on a particle at any time t is given by t2 − 1. the force on the particle is more likely to depend on the position of the particle. often the rules governing a physical system are not like this. However. A closely related notion is difference equations. A famous example is the Fibonacci sequence. it is there mostly to introduce the big and small o notation which will be used extensively in this and future courses (as well as for the sake of completeness). We can easily integrate this twice with respect to t. Often. and we want to find an explicit solution to this equation.

we have f (x) = o(g(x)) implies f (x) = O(g(x)). Clearly. Instead. We are not really saying that f (x) is “equal” to o(g(x)). Note that the notation f 0 represents the derivative with respect to the df argument. writing f (x) = o(g(x)) is more common and more convenient. x→x0 g(x) Usually.1 Differentiation IA Differential Equations 1 Differentiation We will first quickly go through basic notions of differentiation and integration. f (x) is much x→x0 g(x) smaller than g(x). is df f (x + h) − f (x) = lim .1 Differentiation Definition (Derivative of function). the left-hand and right-hand limits are equal). 1. Note that this is an abuse of notation. f (x) = |x| is not differentiable at x = 0 as lim h = 1 and h→0+ |h|−|0| lim h = −1. f (x) (i) “f (x) = o(g(x)) as x → x0 ” if lim = 0. f (x) is about as big as g(x).2 Small o and big O notations Definition (O and o notations). You should already be familiar with these from A levels or equivalent. Intuitively.e. 5 . Intuitively. – sin 2x = O(x) as x → 0 as sin θ ≈ θ for small θ. x0 is either 0 or infinity. dx dx f (x) = dx2 f (x) = f 00 (x). f 0 (2x) = d(2x) 1. For example. √ √ – x = o( x) as x → 0 and x = o(x) as x → ∞. o(g(x)) represents a class of functions (namely functions that satisfy the property above). Example. lim need not exist. |h|−|0| Example. interpreted as the rate of change of f (x) with x. since o(g(x)) itself is not a function. Also. but in practice. We write df 0 d d d  dx = f (x) = dx f (x). h→0− d2 Notation. The derivative of a function f (x) with respect to x. f (x) Note that for f (x) = O(g(x)) to be true. f (x) (ii) “f (x) = O(g(x)) as x → x0 ” if g(x) is bounded as x → x0 . a better notation might be f (x) ∈ o(g(x)). and we are saying that f is in this class. dx h→0 h A function f (x) is differentiable at x if the limit exists (i. Technically.

r=0 r where f (n) is the n-th derivative of f . Then f 0 (x) = u0 (x)v(x) + u(x)v 0 (x). f (x0 + h) = f (x0 ) + f 0 (x0 )h + o(h) Proof. Given f = uv. Proposition. Give f (x) = u(x)v(x). then n   X n f (n) (x) = u(r) v (n−r) . Theorem (Leibniz’s Rule). dx dg dx dg Proof. In particular. we can use it to characterize derivatives in a different way. then df dF dg = . This notation will frequently be used in calculus. we can write out the first order terms and then append +O(x2 ). The result follows.1 Differentiation IA Differential Equations – sin 2x = O(1) as x → ∞ even though the limit does not exist.3 Methods of differentiation Theorem (Chain rule). We have f (x0 + h) − f (x0 ) o(h) f 0 (x0 ) = + h h by the definition of the derivative and the small o notation. 1. Assuming that dx exists and is therefore finite. 6 . we have df F (g(x + h)) − F (g(x)) = lim dx h→0 h F [g(x) + hg 0 (x) + o(h)] − F (g(x)) = lim h→0 h F (g(x)) + (hg 0 (x) + o(h))F 0 (g(x)) + o(hg 0 (x) + o(h)) − F (g(x)) = lim h→0 h o(h) = lim g 0 (x)F 0 (g(x)) + h→0 h = g 0 (x)F 0 (g(x)) dF dg = dg dx Theorem (Product Rule). For example. if we want to ignore all terms second order in x in an expression. Given f (x) = F (g(x)).

then En = O(hn+1 ). 2! n! where En = o(hn ) as h → 0.4 Taylor’s theorem Theorem (Taylor’s Theorem). If f (n+1) exists. the Taylor series of f (x) about the point x = x0 is obtained. n! When the limit as n → ∞ is taken. and similarly for g(x). x→x0 g(x) x→x0 g (x) Proof. and lim f (x) = lim g(x) = 0. This does not necessarily tell anything about values of f far from x (but sometimes does). Thus f (x) f (x0 ) + (x − x0 )f 0 (x0 ) + o(x − x0 ) lim = lim x→x0 g(x) x→x0 g(x0 ) + (x − x0 )g 0 (x0 ) + o(x − x0 ) o(x−x0 ) f 0 (x0 ) + x−x0 = lim o(x−x0 ) x→x0 g 0 (x0 ) + x−x0 f 0 (x) = lim x→x0 g 0 (x) 7 . 1. An alternative form of the sum above is: (x − x0 )n (n) f (x) = f (x0 ) + (x − x0 )f 0 (x0 ) + · · · + f (x0 ) + En .5 L’Hopital’s rule Theorem (L’Hopital’s Rule). From the Taylor’s Theorem. Then x→x0 x→x0 f (x) f 0 (x) lim = lim 0 . we have h2 00 hn (n) f (x + h) = f (x) + hf 0 (x) + f (x) + · · · + f (x) + En . Note that this only gives a local approximation around x. For n-times differentiable f . we have f (x) = f (x0 ) + (x − x0 )f 0 (x0 ) + o(x − x0 ).1 Differentiation IA Differential Equations 1. Let f (x) and g(x) be differentiable at x0 .

g. Let F (x) = a f (t) dt. Pictorially.2 Integration IA Differential Equations 2 Integration 2. "Z # x+h Z x d 1 F (x) = lim f (t) dt − f (t) dt dx h→0 h a a 1 x+h Z = lim f (t) dt h→0 h x 1 = lim [f (x)h + O(h2 )] h→0 h = f (x) 8 .1 Integration Definition (Integral). we can take ∆x = b−a N and xn = a + n∆x. The term “integral” simply refers to any limit of a sum (The usual integrals we use are a special kind known as Riemann integral. we have y ··· ··· x a x1 x2 x3 xn xn+1 · · · b The area under the graph from xn to xn+1 is f (xn )∆x + O(∆x2 ). the total area under the graph from a to b is N X −1 N X −1 Z b 2 lim (f (xn )∆x)+N ·O(∆x ) = lim (f (xn )∆x)+O(∆x) = f (x) dx N →∞ N →∞ a n=0 n=0 Rx Theorem (Fundamental Theorem of Calculus). Note that an integral need not be defined with this particular ∆x and xn . An integral is the limit of a sum. Proof. which we will study formally in Analysis I). Z b N X f (x) dx = lim f (xn )∆x. e. a ∆x→0 n=0 For example. Provided that f is differentiable. Then F 0 (x) = f (x).

From the product rule. Given an expression. Consider √1−2x dx. Proof. perform the substitution in the 3rd column and simplify using the identity in the first column: Useful identity Part of integrand Substitution 2 2 √ cos θ + sin θ = 1 1 − x2 x = sin θ 2 2 2 1 + tan θ = sec θ √1 + x x = tan θ cosh2 u − sinh2 u = 1 √ x 2−1 x = cosh u cosh2 u − sinh2 u = 1 1 + x2 x = sinh u 1 − tanh2 u = sech2 u 1 − x2 x = tanh u R√ Rp Example. many seemingly-innocent expressions can turn out to be surprisingly difficult. dx a R Rx Notation. 9 . Write u = x−x2 R x−x2 and du = (1 − 2x) dx. the product rule and chain rule combined with a few standard derivatives can usually differentiate it with ease. where the unspecified lower limit gives rise to the constant of integration. Example (Integration by substitution). Let x − 1 = sin θ and thus dx = cos θ dθ.2 Integration IA Differential Equations Similarly. Integrating the whole expression and rearranging gives the formula above. We write f (x) dx = f (t) dt. we have Z b d f (t) dt = −f (x) dx x and Z g(x) d f (t) dt = f (g(x))g 0 (x). Hence we have to come up with a lot of tricks to do integrals.2 Methods of integration Integration is substantially harder than differentiation. However. Then the integral becomes √ Z du p √ = 2 u + C = 2 x − x2 + C. 2 2 Theorem (Integration by parts). to integrate. 2. Consider 2x − x2 dx = 1 − (x − 1)2 dx. we have (uv)0 = uv 0 + u0 v. Z Z uv 0 dx = uv − vu0 dx. The expression becomes Z Z 2 cos 2θ + 1 cos θ dθ = dθ 2 1 1 = sin 2θ + θ + C 4 2 1 −1 1 p = sin (x − 1) + (x − 1) 2x − x2 + C. u Trigonometric substitution can be performed with reference to the following table: if the function in the 2nd column is found in the integrand. if not impossible.

2 Integration IA Differential Equations R∞ Example. Consider log x dx. Consider 0 xe−x dx. Then u0 = 1 and v = −e−x . R Then u0 = x1 and v = x. So we have Z Z log x dx = x log x − dx = x log x − x + C 10 . Let u = log x and v 0 = 1. We have Z ∞ Z ∞ xe−x dx = [−xe−x ]∞ 0 + e−x dx 0 0 = 0 + [e−x ]∞ 0 =1 Example (Integration by Parts). Let u = x ad v 0 = e−x .

we can either differentiate it with respect to x or with respect to y.3 Partial differentiation IA Differential Equations 3 Partial differentiation 3. y). the partial derivative of f with respect to x is the rate of change of f as x varies.1 Partial differentiation So far. say f (x. keeping y constant. Definition (Partial derivative). If we have a function of multiple variables. It is given by . y). Given a function of several variables f (x. we have only considered functions of one variable.

∂f .

.

f (x + δx. y) − f (x. y) = lim ∂x .

g. e.y δx→0 δx 2 Example. . y) = x2 + y 3 + exy . Consider f (x. Computing the partial derivative is equivalent to computing the regular derivative with the other variables treated as constants.

∂f .

.

∂y y. 2 = 2x + y 2 exy .

since we have Theorem. in most cases. fxy = . ∂f ∂2f fx = . and then y. If all other variables are being held constant. we simply don’t write them out. Second and mixed partial derivatives can also be computed: ∂2f 2 = 2 + y 4 exy ∂x2 ∂2f   ∂ ∂f 2 2 = = 2yexy + 2xy 3 exy ∂y∂x ∂y ∂x It is often cumbersome to write out the variables that are kept constant. Another convenient notation is Notation. However. So we first differentiate with respect to x. If f has continuous second partial derivatives. 11 . this is not important. We will not prove this statement and just assume it to be true (since this is an applied course). and just say ∂f ∂x . The left hand side should be interpreted as (fx )y . ∂x ∂y∂x It is important to know how the order works in the second case. then fxy = fyx .

y(t)). y) + o(1))δy + o(δy) + fx (x. we can divide by dt to obtain df ∂f dx ∂f dy = + . y)δy + o(δy) + fx (x. y(x)). δy → 0. y)δx + o(δx) ∂f ∂f δf = δx + δy + o(δx. y) − f (x. So f = f (x.3 Partial differentiation IA Differential Equations 3.g. dt ∂x dt ∂y dt If we pick the parameter t to be the arclength s. we have     df ∂f dx ∂f dy dx dy ∂f ∂f = + = . to find the slope along the path (x(t). we can integrate the differentials to obtain the integral form: Z Z Z ∂f ∂f df = dx + dy. Then the slope along the path is . Chapter 7). · . We have δf = f (x + δx. y + δy). y)δx + o(δx) = (fx (x. y) + f (x + δx.2 Chain rule Consider an arbitrary displacement in any direction (x. the path may also be given by y = y(x). y) → (x + δx. ∂x ∂y or divide by another small quantity. y) = fy (x + δx. ∂x ∂y Given this form. e. y + δy) − f (x. we have Theorem (Chain rule for partial derivatives). Alternatively. ∂f ∂f df = dx + dy. ds ∂x ds ∂y ds ds ds ∂x ∂y which is known as the directional derivative (cf. y + δy) − f (x + δx. y) = f (x + δx. = ŝ · ∇f. δy) ∂x ∂y Take the limit as δx.

df ∂f .

.

dx ∂x y ∂y dx . ∂f dy = + .

The chain rule can also be used for the change of independent variables, e.g.
change to polar coordinates x = x(r, θ), y = y(r, θ). Then

.

.

∂f .

.

∂f .

.

∂x .

.

∂f .

.

∂y .

.

= + . ∂θ .

r ∂x .

y ∂θ .

r ∂y .

x ∂θ .

y.3 Implicit differentiation Consider the contour surface of a function F (x. If F (x. y) cannot be found explicitly 12 . This implicitly defines z = z(x. z) = const. z) = xy 2 + yz 2 + z 5 x = 5. y. e. y).g. z) given by F (x. 2 then we can have x = 5−yz y 2 +z 5 .r 3. y. Even though z(x.

z) = const w. y. Given an equation F (x. x holding y constant. the derivatives of z(x.t. y.r. we can derive the following formula: Theorem (Multi-variable implicit differentiation). z) = c for some constant c. we have .3 Partial differentiation IA Differential Equations (involves solving quintic equation). y) can still be found by differentiating F (x. ∂ ∂ (xy 2 + yz 2 + z 5 x) = 5 ∂x ∂x ∂z ∂z y 2 + 2yz + z 5 + 5z 4 x =0 ∂x ∂x ∂z y2 + z5 =− ∂x 2yz + 5z 4 x In general.g. e.

∂z .

.

(∂F )/(∂x) =− ∂x y.

∂F ∂F ∂F dF = dx + dy + dz ∂x ∂y ∂z . (∂F )/(∂z) Proof.

.

.

.

∂F .

.

∂F ∂x .

.

∂F ∂y .

.

∂F ∂z .

.

= + + =0 ∂x .

y ∂x ∂x .

y ∂y ∂x .

y ∂z ∂x .

y .

∂F ∂F ∂z .

.

+ =0 ∂x ∂z ∂x .

y .

∂z .

.

(∂F )/(∂x) =− ∂x .

c). we have "Z # b Z b ∂I 1 = lim f (x. c)dx. c + δc)dx − f (x. Then by the fundamental theorem of calculus. c + δc) − f (x. c) dx ∂c δc→0 δc 0 0 Z b f (x. c). we have ∂I ∂b = f (x. Define I(b. c) = 0 f (x.y (∂F )/(∂z) 3. c) = lim dx 0 δc→0 δc Z b ∂f = dx 0 ∂c 13 . c + δc) − f (x. c) = lim dx δc→0 0 δc Z b f (x.4 Differentiation of an integral wrt parameter in the in- tegrand Rb Consider a family of functions f (x. On the other hand.

Then Z 1 dI 2 = −x2 e−λx dx. here we will only have time for a boring example. dx ∂b dx ∂c dx 0 ∂c So we obtain Theorem (Differentiation under the integral sign). dλ 0 Rλ 2 If I = 0 e−λx dx.3 Partial differentiation IA Differential Equations R b(x) In general. R1 2 Example. Let I = 0 e−λx dx. c)b0 (x) + c0 (x) dy. c(x))dy. Z b(x) Z b d ∂f f (x. Then Z 1 dI 3 2 = e−λ + −x2 e−λx dx. then by the chain rule. c(x)) = 0 f (y. if I(b(x). as you will see in the example sheets. c)b0 (x) + c0 (x) dy dx 0 0 ∂c This is sometimes a useful technique that allows us to perform certain otherwise difficult integrals. However. we have Z b dI ∂I db ∂I dc ∂f = + = f (b. dλ 0 14 . c(x)) dx = f (b.

1 The exponential function Often. So the derivative of an exponential h→0 h function is a multiple of the original function. 4. Using this property. we will look at first-order differential equations. In this chapter. the solutions to differential equations involve the exponential function. Then if y = ax = ex ln a . where a > 0 is constant. we find that the value of e is given by  k 1 e = lim 1+ ≈ 2. k→∞ k The importance of the exponential function lies in it being an eigenfunction of the differential operator. where only first derivatives are involved.4 First-order differential equations IA Differential Equations 4 First-order differential equations dy A differential equation is an equation that involves derivatives. We write the inverse function as ln x or log x. y 1 x O The derivative of this function is given by df ax+h − ax = lim dx h→0 h h a −1 = ax lim h→0 h = λax = λf (x) ah − 1 where λ = lim = f 0 (0) = const. Consider a function f (x) = ax . Definition (Exponential function). such as x2 dx +2y = 0. In particular. So λ = ln a. 15 . the solution to a differential equation is a function that satisfies the equation.718281828 · · · . then y 0 = ex ln a ln a = ax ln a. exp(x) = ex is the unique function f satis- fying f 0 (x) = f (x) and f (0) = 1. Unlike regular equations where the solution is a number.

we should justify as above if we are dividing. y 0 . Any linear. We can determine A by applying a given boundary condition. However. Definition (Homogeneous differential equation). An eigenfunction under the differential operator is a function whose functional form is unchanged by the operator. we will first define the terms used in the title. So y = e3x/5 is a solution. Given 5 dx − 3y = 0. Definition (First-order differential equation). xm ). Try y = emx . But is this the most general form of the solution? One can show that an nth -order linear differential equation has n and only n independent solutions. Because the equation is linear and homogeneous. Definition (Linear differential equation). A differential equation is first- order if only first derivatives are involved. 16 .2 Homogeneous linear ordinary differential equations Before we start. Then dy = memx dx 5memx − 3emx = 0 Since this must hold for all values of x. So y = Ae3x/5 is indeed the most general solution. any multiple of a solution is also a solution. dy Example.4 First-order differential equations IA Differential Equations Definition (Eigenfunction). This theorem is evident when we consider an example. A differential equation is linear if the dependent variable (y. homogeneous. Definition (Differential equation with constant coefficients).) appears only linearly. i. y 00 etc. A differential equation has constant coefficients if the independent variable x does not appear explicitly. These are useful criteria for categorizing differential equations. say. ordinary differential equation with con- stant coefficients has solutions of the form emx .e. 4. df = λf dx d mx Example. Theorem. emx is an eigenfunction since dx e = memx . because emx is never equal to 0. Therefore y = Ae3x/5 is a solution for any value of A. Thus 5m − 3 = 0 and m = 3/5. A differential equation is homogeneous if y = 0 is a solution. Only its magnitude is changed. there exists some value x for which emx 6= 0 and we can divide by emx (note in this case this justification is not necessary.

5 Taking the limit as n → ∞. n→∞ n in agreement with the solution of the differential equation. we have   3 yn = 1 + h yn−1 5    3 3 = 1+ h 1 + h yn−2 5 5  n 3 = 1 + h y0 5 For each given value of x. we have yn+1 ≈ (1 + 35 h)yn . (Using the simple Euler numerical scheme. This gives a unique function y.) we can approximate the equation by yn+1 − yn 5 − 3yn ≈ 0. Applying the relation successively. discrete approximation 1 x O x0 x1 x2 x3 Series solution ∞ an xn . Substituting these into our equation P 5y 0 − 3y = 0 5(xy 0 ) − 3x(y) = 0 X an (5n − 3x)xn = 0 17 .4 First-order differential equations IA Differential Equations Discrete equations Suppose that we are given the equation 5y 0 − 3y = 0 with boundary condition y = y0 at x = 0. y solution of diff. we have  n 3x/5 y(x) = lim y0 1 + = y0 e3x/5 . choose h = x/n. h Rearranging the terms. P We can also try to find a solution in the form of a Taylor Series y = n=0 We have y 0 = an nxn−1 . We can approximate this by considering discrete steps of length h between xn and xn+1 . eq. so  n 3 yn = y0 1 + (x/n) .

n=0 5 n! 4.1 Constant forcing Example. when n = 0. often via educated guesses. This tells that a0 is arbitrary. Since this holds for all values of n. or inhomogeneous.3. We see that 5yc0 −3yc = 0. For example. Determine b(t). This is the general method of solving forced equations. So yc satisfies the homogeneous equation we already solved. The particular solution yp is a solution of the ODE. Then the general solution to the full equation is the sum of the particular solution and the general complementary solution. 5n 5 n(n − 1) 5 n! Therefore we have ∞  n X 3x 1 h i y = a0 = a0 e3x/5 .4 First-order differential equations IA Differential Equations Consider the coefficient of xn : 5nan − 3an−1 = 0. then  n 3 32 1 3 1 an = an−1 = 2 an−2 = · · · = a0 . 4. Example. Consider 5y 0 − 3y = 10. 4. We first find one particular solution to the problem.3 Forced (inhomogeneous) equations Recall that a homogeneous equation is an equation like 5y 0 − 3y = 0. A forced. If n > 0. 5y 0 − 3y = 10 or 5y 0 − 3y = x2 are forced equations.2 Eigenfunction forcing This is the case when the forcing term is an eigenfunction of the differential operator. In a radioactive rock. and 10 y=− + Ae3x/5 . Now suppose the general solution is y = yp +yc . dt 18 . 3 Note that any boundary conditions to determine A must be applied to the full solution y and not the complementary function yc . equation is one that is not homogeneous. We can spot that there is a equilibrium 0 (constant) solution y = yp = − 10 3 with yp = 0.3. isotope A decays into isotope B at a rate proportional to the number a of remaining nuclei A. and B also decays at a rate proportional to the number b of remaining nuclei B. We call the “extra” terms 10 and x2 the forcing terms. Then we solve the homogeneous equation to get a general complementary solution. with no x or constant terms floating around. we get 0a0 = 0. We have da = −ka a dt db = ka a − kb b.

4 Non-constant coefficients Consider the general form of equation a(x)y 0 + b(x)y = c(x).e.  b= kb − ka y a b x O The isotope ratio is b ka h i = 1 − e(ka −kb )t . a kb − ka So given the current ratio b/a. Substituting it in. 19 . Then we have db + kb b = ka a0 e−ka t . Note that the forcing term is an eigenfunction of the differential operator on the LHS. dt We usually put the variables involving b on the left hand side and the others on the right. kb − ka Assume the following boundary condition: b = 0 when t = 0. we obtain −ka C + kb C = ka a0 ka C= a0 . we obtain a = a0 e−ka t . We get b0c + kb bc = 0 and bc = De−kb t . 4. We the right-hand term ka a0 e−ka t is the forcing term. with laboratory determined rates ka and kb . All together. So that suggests that we can try a particular integral bp = Ce−ka t . kb − ka Then write b = bp + bc . we can determine the value of t. we have the general solution ka b= a0 e−ka t + De−kb t .4 First-order differential equations IA Differential Equations Solving the first equation. in which case we can find ka a0 e−ka t − e−kb t . the age of the rock. i.

and by L’Hopital’s rule. but we will not consider that case here). 20 . We have µ = exp ( 1 x − 1) dx = e x−x = xe−x . We want to choose a µ such that the left hand side is equal to (µy)0 . where µ = exp p dx µ Example. Consider xy 0 + (1 − x)yR= 1. i. since theoretically we can have powers of y 0 or even other complicated functions of y 0 .5 Non-linear equations In general.e. We solve this by multiplying an integrating factor µ(x) to obtain (µ)y 0 + (µp)y = µf . Then R −x 1 xe x dx y= xe−x −e−x + C = xe−x −1 C x = + e x x Suppose that we have a boundary condition y is finite at x = 0. we have y 0 + 1−x x y = 1 x . we have (µy)0 = µf and thus R Z  µf dx y= . By the product rule. Since we have x y = Cex−1 . Thus C = 1. we want µp = µ0 . y) + P (x. 1 dµ p= µ dx Z Z 1 dµ p dx = dx µ dx Z 1 = du µ = ln µ(+C) Z  µ = exp p dx Then by construction.4 First-order differential equations IA Differential Equations Divide by a(x) to get the standard form y 0 + p(x)y = f (x). a first-order equation has the form dy Q(x. we have to ensure that Cex − 1 → 0 as x → 0. y) = 0. To obtain  itlnin standard form. dx (this is not exactly the most general form. y → 1 as x → 0. 4.

y) dx is exact. Q(x. it is true if the domain is simply-connected. ∂x ∂y From this we have ∂2f ∂P ∂2f ∂Q = . ∂y∂x ∂y ∂x∂y ∂x We know that the two mixed 2nd derivatives are equal. y) dy + P (x. Even if this equation holds. y) dx + Q(x. df = ∂f ∂f ∂x dx + ∂y dy and this equality holds for any displacements dx.e. So ∂P ∂Q = . A first-order differential equation is separable if it can be manipulated into the following form: q(y) dy = p(x) dx. But by the chain rule. there exists a function f (x. 21 . i. y) dx + P (x. y) dx + Q(x.2 Exact equations dy Definition (Exact equation).1 Separable equations Definition (Separable equation). y) dy. dy (x2 y − 3y) − 2xy 2 = 4x dx dy 4x + 2xy 2 = 2 dx x y − 3y 2x(2 + y 2 ) = y(x2 − 3) y 2x dy = 2 dx 2 + y2 x −3 Z Z y 2x dy = dx 2 + y2 x2 − 3 1 ln(2 + y 2 ) = ln(x2 − 3) + C 2 p ln 2 + y 2 = ln A(x2 − 3) p y 2 + 2 = A(x2 − 3) 4.5. then df = P (x.5. This is the easy kind. dy. = Q.4 First-order differential equations IA Differential Equations 4. y) for which df = Q(x. y) dx If P (x. the differential need not be exact. So ∂f ∂f = P. y) dy is an exact differential of f . However. = . y) = 0 is an exact equation iff the differential form Q(x. Example. in which case the solution can be found by integration Z Z q(y) dy = p(x) dx. ∂y ∂x The converse is not necessarily true. y) dy + P (x.

and we can find f by integrating ∂f ∂f ∂x = P and ∂y = Q. If the equation is exact. dt 22 . ∂y Thus h0 (y) = 6y 2 and h(y) = 2y 3 + C. ∂Q Theorem. Example. Since the original equation was df = 0. ∂x ∂y Integrating the first equation. and f = x2 − 3xy 2 + 2y 3 + C.r.r. ∂P ∂Q Then ∂y = ∂x = −6y. x holding y constant. we have f = x2 − 3xy 2 + h(y). Consider the first-order equation dy = t(1 − y 2 ).t. If ∂P ∂y = ∂x through a simply-connected domain D.4 First-order differential equations IA Differential Equations Definition (Simply-connected domain). 4. A disc with a “hole” in the middle is not simply-connected because a loop around the hole cannot be shrunk into a point.6 Solution curves (trajectories) Example. Note that since it was a partial derivative w. So the differential form is exact. Differentiating the derived f w. we have ∂f = −6xy + h0 (y). = 6y 2 − 6xy. then P dx+Q dy is an exact differential of a single-valued function in D. Q = 6y(y − x). a sphere in 3D is simply-connected but a torus is not. Example. then the solution is simply f = constant. dx We have P = 2x − 3y 2 . we have f = constant. dy 6y(y − x) + (2x − 3y 2 ) = 0. Similarly. the “constant” term can be any function of y. Thus the final solution is x2 − 3xy 2 + 3y 3 = C. A domain D is simply-connected if it is connected and any closed curve in D can be shrunk to a point in D without leaving D.t y. We now have ∂f ∂f = 2x − 3y 2 . A disc in 2D is simply-connected.

we sketch the graph of a differential equation dy = f (t. We also note (and mark on our graph) that y 0 = 0 at t = 0 for any y. Otherwise. y 0 < 0. Then y 2 = 1 − D/t.e. which are curves along which dy dt (i. f ) is constant: t(1 − y 2 ) = D for some constant D. y) dt by locating constant solutions (and determining stability: see below) and iso- clines. 23 . Now we can find isoclines.4 First-order differential equations IA Differential Equations We can solve it to obtain dy = t dt 1 − y2 1 1+y 1 ln = t2 + C 2 1−y 2 1+y 2 = Aet 1−y 2 A − e−t y= A + e−t2 We can plot the solution for different values of A and obtain the following graph: y 1 t −1 But can we understand the nature of the family of solutions without solving the equation? Can we sketch the graph without solving it? We can spot that y = ±1 are two constant solutions and we can plot them first. can sketch the approximate form of our solution: y 1 t −1 In general. Then notice that for t > 0. After marking a few isoclines. y 0 > 0 if −1 < y < 1.

Technically ε → ∞ is not a correct statement. Suppose y = a is a fixed point of dy dt = f (y. The objective of this section is to study how to find equilibrium points and their stability. t) = 0. An equilibrium is stable if whenever y is deviated slightly from the constant solution y = c. So y = 1 is a stable fixed point. y → 1. But we can be sure that the perturbation grows (even if not → ∞) as t increases. we have dε dy = = f (a + ε. 24 . Since ε → ∞ as t → ∞. t) dt dt ∂f = f (a. Using the example ẏ = t(1 − y 2 ) above. 2 On the other hand. This corresponds to dy dt = 0 for all t. so f (a. if we consider y = −1. we have ( ∂f −2t at y = 1 = −2yt = .7 Fixed (equilibrium) points and stability Definition (Equilibrium/fixed point). we see that the solutions converge towards y = 1. Example.1 Perturbation analysis Perturbation analysis is used to determine stability. This approximation is called a linearization of the differential equation. An equilibrium is unstable if the deviation grows as t → ∞. Putting this into the differential equation. Thus O(ε2 ) can be neglected and dε ∼ ∂f =ε . We will later assume that ε is arbitrarily small. t) + O(ε2 ) ∂y Note that this is a Taylor expansion valid when ε  1.4 First-order differential equations IA Differential Equations 4. y → c as t → ∞. since we are usually given an expression for dy dt and we can simply equate it to zero. dt ∂y We can use this to study how the perturbation grows with time. Example. Write y = a + ε(t). t) + ε (a. t) + O(ε2 ) ∂y ∂f =ε (a. since the approximation used is only valid for small ε. and this is an unstable fixed point. An equilibrium point or a fixed point of a differential equation is a constant solution y = c. 4. Since ε → 0 as t → ∞. ε̇ = −2tε and ε = ε0 e−t . and this is a stable fixed point. They diverge from y = −1. ∂y 2t at y = −1 2 At y = 1. Definition (Stability of fixed point). where ε(t) is a small perturbation from y = a. then ε̇ = 2tε and ε = ε0 et . y = −1 is unstable. Referring to the differential equation above (ẏ = t(1 − y 2 )).7. These are usually the easiest solutions to find. t).

2 Autonomous systems Often. An autonomous system is a system in the form ẏ = f (y). The stability of the system then depends on the solely on sign of k. where f (a) = 0. Then ε̇ = ε df kt dy (a) = kε for some constant k. Then ε = ε0 e . Consider a chemical reaction NaOH + HCl → H2 O + NaCl. Example. Thus dc = λab dt = λ(a0 − c)(b0 − c) = f (c) dc We can plot dt as a function of c. then the reaction rate is proportional to ab. We have NaOH + HCl → H2 O + NaCl Number of molecules a b c c Initial number of molecules a0 b0 0 0 If the reaction is in dilute solution. So ẏ is only a function of y itself. where the derivative is only (explicitly) dependent on y. which is a plot of the dependent variable only. and wlog a0 < b0 . b0 − a0 e−λ(b0 −a0 )t 25 . write y = a + ε(t). We can also solve the equation explicitly to obtain a0 b0 [1 − e−(b0 −a0 )λt ] c= . Definition (Autonomous system). ċ c a0 b0 We can also plot a phase portrait. We call this an autonomous system.4 First-order differential equations IA Differential Equations 4. where arrows show the evolution with time. Near a fixed point y = a. the mechanics of a system does not change with time.7. c a0 b0 We can see that the fixed point c = a0 is stable while c = b0 is unstable.

The probability of the same piece of food being found by two individuals is ∝ y 2 . so death rate due to fighting (competing) is γy 2 for some γ. It has a birth rate αy and a death rate βy. Eventually. −1 mol of NaOH. 4. this example makes no sense physically whatsoever because it assumes that we can have negative values of a and b. say. So dy = (α − β)y − γy 2 dt dy  y = ry 1 − . and in this case. and only solutions for c ≤ a0 are physically attainable. f y O Y y O Y Now when the population is small. there is fighting for limited resources. and we see that Y is a stable fixed point. dt Y where r = α − β and Y = r/γ.4 First-order differential equations IA Differential Equations Of course.7. Clearly in reality we cannot have. Note that it is separable and can be solved explicitly. If r = α − β > 0. However. we have ẏ ' ry So the population grows exponentially. then the graph is a quadratic parabola. This is the differential logistic equation. we obtain dy = (α − β)y dt y = y0 e(α−β)t Our population increases or decreases exponentially depending on whether the birth rate exceeds death rate or vice versa. we find the phase portrait instead. any solution will tend towards c = a0 . 26 . in reality. The probability of some piece of food (resource) being found is ∝ y. Suppose we have a population of size y. However. With this model. they fight (to the death). If food is scarce. the stable equilibrium Y is reached.3 Logistic Equation The logistic equation is a simple model of population dynamics.

consider the population at the end of each month). 1 + r∆t Y then xn+1 = λxn (1 − xn ). i. f (xn ) = xn . This is the discrete logistic equation or logistic map. it is important to study the behaviour of discrete equations. We might have a model in the form xn+1 = λxn (1 − xn ). we solve for xn+1 = xn . In general. For 27 .8 Discrete equations (Difference equations) Since differential equations are approximated numerically by computers with discrete equations. deaths in winter).e. to find fixed points. xn = . If λ < 1.g. and we can consider the population at certain time intervals (e. the evolution of species may occur discretely (e.4 First-order differential equations IA Differential Equations 4.g. and their difference with continuous counterparts. then deaths exceed births and the population decays to zero. xn+1 xn+1 = xn xn x0 We see that x = 0 is a fixed point. births in spring. In the logistic equation. This can be derived from the continuous equation with a discrete approximation yn+1 − yn  yn  = ryn 1 − ∆t Y yn  yn+1 = yn + r∆tyn 1 − Y r∆t 2 = (1 + r∆t)yn − yn  Y   r∆t yn = (1 + r∆t)yn 1 − 1 + r∆t Y Write   r∆t yn λ = 1 + r∆t.

4 First-order differential equations IA Differential Equations the logistics map. xn+2 = xn . in which xn oscillates between 2 values. i. we have λxn (1 − xn ) = xn xn [1 − λ(1 − xn )] = 0 1 xn = 0 or xn = 1 − λ When 1 < λ < 2.449. and so on. we have xn+1 xn+1 = xn xn x0 1 We see that xn = 0 is an unstable fixed point and xn = 1 − λ is a stable fixed point. we have xn+1 xn+1 = xn xn x0 There is an oscillatory convergence to xn = 1 − λ1 . we have a limit √ cycle. we have a 4-cycle. When 2 < λ < 3. 28 . When λ = 1 + 6 ≈ 3.e. When λ > 3.

but is no longer stable. 29 . the 2-cycles still exist after λ = 1 + 6.4 First-order differential equations IA Differential Equations xn+1 xn+1 = xn xn x0 We have the following plot of the stable solutions for different values of λ (plotted as r in the horizontal axis) Credits: Wikimedia Commons: Jordan Pierce .Public Domain CC0 1. but it is not stable. Similarly.0 Note that the fixed point still exists after √ λ = 3.

if this is in a case of simple harmonic motion in physics. The characteristic equation of a (second- order) differential equation ay 00 + by 0 + c = 0 is aλ2 + bλ + c = 0. We can write y = A(cos 2x + i sin 2x) + B(cos 2x − i sin 2x) = (A + B) cos 2x + i(A − B) sin 2x = α cos 2x + β sin 2x where α = A + B and β = i(A − B). most of the methods in this section apply to higher order differential equations as well. The character- istic equation is λ2 + 4 = 0. If λ1 and λ2 are distinct. The (most) general complementary function is yc = Aeλ1 x + Beλ2 x . Then λ = 2 or 3. and α and β are independent constants. Try y = eλx . The characteristic equation is λ2 − 5λ + 6 = 0. If the complementary function has the form yc = eλx . Substituting into the differential equation gives Definition (Characteristic equation). we have changed the basis from {e2ix .1. sin 2x}. e−2ix } to {cos 2x. then yc0 = λeλx and 00 yc = λ2 eλx . However. Then our general solution is y = Ae2ix + Be−2ix . Example. y 00 + 4y = 0. So the general solution is y = Ae2x + Be3x . Note that A and B can be complex constants. We solve this in two steps: (i) Find the complementary functions which satisfy the homogeneous equation ay 00 + by 0 + cy = 0. 5. giving (in principle) two complementary functions y1 = eλ1 x and y2 = eλ2 x .5 Second-order differential equations IA Differential Equations 5 Second-order differential equations We now move on to second-order differential equations. (ii) Find a particular solution that satisfies the full equation. In this case there are two solutions to the characteristic equation. 5. we want the function to be real (or look real). 30 . y 00 − 5y 0 + 6y = 0. Hence it is 2 d d d  also an eigenfunction of the second derivative dx2 = dx dx . Example (Simple harmonic motion).1 Constant coefficients The general form of an equation with constant coefficients is ay 00 + by 0 + cy = f (x). While we will only look at second-order equations. then y1 and y2 are linearly independent and complete — they form a basis of the solution space. Try y = eλx .1 Complementary functions d Recall that eλx is an eigenfunction of the differential operator dx . In effect. with solutions λ = ±2i.

then y2 (x) = xy1 (x) is an independent complementary function. B (depending on ε) such that the above holds. This turns into the equation we want to solve as ε → 0.1. We have λ2 − 4λ + 4 = 0 and (λ − 2)2 = 0. So y2 = (Ax + B)e2x for some A. We fix some α and β. So λ = 2 or 2. Substituting into the original equation gives (v 00 + 4v 0 + 4v) − 4(v 0 + 2v) + 4v = 0. Consider y 00 − 4y + 4y = 0. Then y = Ae(2+ε)x + Be(2−ε)X = e2x [Aeεx + Be−εx ] Taking the limit as ε → 0. But e2x and e2x are clearly not linearly independent. This is perfectly valid for any non-zero ε. We can perform detuning. As we decrease the size of ε.e. y 00 − 4y 0 + 4y = 0. We need to find a second solution. 5. In general. We try y2 = ve2x . Then A = 21 (α + βε ) and B = 12 (α − βε ). we have A. we can find some constants A. we have derived two separate basis functions. Then y20 = (v 0 + 2v)e2x y200 = (v 00 + 4v 0 + 4v)e2x . B = O( 1ε ). which forces v to be a linear function of x. Then given any ε. We obtain λ2 − 4λ + 4 − ε2 . So we have y = e2x [α + βx + O(Aε2 . Now we turn the procedure around. Try y = eλx . So O(Aε2 ) = O(Bε2 ) = O(ε). we have a solution of this form. where y1 (x) is the degenerate solution we found. but a second order equation has a 2 dimensional solution space. B ∈ R. We have y1 = e2x . We can separate the two functions found above from each other by considering y 00 − 4y 0 + (4 − ε2 )y = 0. this tells us v 00 = 0. if we don’t have constant coefficients). if y1 (x) is a degenerate complementary function of a linear differential equation with constant coefficients. we use the Taylor expansion of eεx to obtain y = e2x [(A + B) + εx(A − B) + O(Aε2 . Bε2 )] We let (A + B) = α and ε(A − B) = β. Bε2 )] We know for any ε. The two roots are λ = 2 ± ε. we can find a second com- plementary function associated with a degenerate solution of the homogeneous equation by looking for a solution in the form y2 (x) = v(x)y1 (x). Try y = eλx .2 Second complementary function In general (i.5 Second-order differential equations IA Differential Equations Example (Degeneracy). Example. Simplifying. So our solution becomes y = e2x [α + βx + O(ε)] → e2x (α + βx) In this way. We have only managed to find one basis function of the solution space. 31 .

but also y 0 (x0 ). we have completely no idea how it would evolve in the future. Y2 (x) remain independent. −2 sin 2x). but it can be done for sufficiently sensible f . 0). Thus the initial solution vector is Y1 (0) = (1. Moreover.3 Phase space If we are given a general nth order differential equation of the form an (x)y (n) + an−1 y (n−1) + · · · + a1 (x)y 0 + a0 (x)y = f (x). i. and it follows that the solution is uniquely determined by these conditions (note that it takes considerably more extra work to actually prove rigorously that the solution is uniquely determined by these initial conditions.e. So if we just have a snapshot of the value of y at a particular point x0 . one problem is that for such an equation. Suppose we have an initial condition of y1 (0) = 1. Then we can solve the equation to obtain y1 (x) = cos 2x. 32 . y(x0 ). our two initial conditions (1. y20 (0) = 2. and the trajectory as x varies is given by Y1 (x) = (cos 2x. y10 (0) = 0. Note that as vectors. if we are given the first n − 1 derivatives. This means that we know the Taylor series of y about x0 . Thus we are led to consider the solution vector Y(x) = (y(x). the solution is not just determined by the initial condition y(x0 ). 2) are indepen- dent. This is an important observation that allows the method of varia- tion of parameters later on. then we can plot a graph of y versus x. we get a unique trajectory in the phase space. y (n−1) (x0 ). We say such a vector lies in the phase space. Moreover. So how much information do we actually need? At any point x0 . Example.5 Second-order differential equations IA Differential Equations 5. which is an n-dimensional space. y 0 (x0 ). as x changes. y 00 (x0 ) etc. as will be done in IB Analysis II). we obtain the solution y(x) = sin 2x.1. and see how y evolves with x. However. 2 cos 2x). Thus as x changes. So for each x. y n−1 (x)). given any point in the phase space. · · · . and we have a solution y. y 0 (x). In this case. · · · . we thus get a point Y(x) lying in the n-dimensional space. we can then get the nth derivative and also any higher derivatives from the differential equation. the two solution vectors Y1 (x). 0) and (0. Consider y 00 + 4y = 0. with a solution vector Y2 (x) = (sin 2x. if we view it as the initial conditions for our differential equation. we trace out an ellipse in the clockwise direction: y0 Y1 (x) y Another possible initial condition is y2 (0) = 0.

Given a differential equations with solutions y1 . the Wronskian is the determinant . for a 2nd order equation. and we can take the two complementary functions Y1 and Y2 as basis vectors for the phase space at each particular value of x. Definition (Wronskian).5 Second-order differential equations IA Differential Equations In general. y2 . Of course. the phase space is a 2-dimensional space. we need the two solutions to be linearly independent.

.

.

y1 y2 .

W (x) = .

0 .

. y1 y20 .

.

Definition (Independent solutions). i. y1 = e2x and y2 = xe2x . Two solutions y1 (x) and y2 (x) are indepen- dent solutions of the differential equation if and only if Y1 and Y2 are linearly independent as vectors in the phase space for some x. We have . we have W (x) = 2 cos2 2x + 2 sin2 2x = 2 6= 0 for all x. Example.e. In our example. iff the Wronskian is non-zero for some x. In our earlier example.

2x .

.

e xe2x .

4x 4x W = .

2x 2x .

= e (1 + 2x − 2x) = e 6= 0. .

2x .

Theorem (Abel’s Theorem). iff two solutions are independent for some particular x. 2e e + 2xe In both cases. either W0 = 0. or W0 6= 0 and W 6= 0 for any value of x. in which case W = 0. It can then be shown that W 0 + tr(A)W = 0. the Wronskian is never zero. Proof. Is it possible that it is zero for some x while non-zero for others? The answer is no. So Abel’s theorem holds.2 Particular integrals We now consider equations of the form ay 00 + by 0 + cy = f (x). Where W0 = const. 33 . Since the exponential function is never zero.e. either W = 0 for all x. a system of first-order R equations. then they are independent for all x. or W 6= 0 for all x. We will come up with several ways to find a particular integral. 5. then y2 (y100 + py10 + qy1 ) = 0 y1 (y200 + py20 + qy2 ) = 0 Subtracting the two equations. Given an equation y 00 + p(x)y 0 + q(x)y = 0. we have y1 y200 − y2 y100 + p(y1 y20 − y2 y10 ) = 0 Note that W = y1 y20 − y2 y10 and W 0 = y1 y200 + y10 y20 − (y20 y10 + y2 y100 ) = y1 y200 − y2 y100 W 0 + P (x)W = 0 R W (x) = W0 e− P dx . In general. If y1 and y2 are both solutions. i. and W = W0 e− tr A dx . any linear nth-order homogeneous differential equation can be written in the form Y0 + AY = 0.

We notice that the forcing is itself a complementary function. so we can superpose solutions and consider each forcing term separately. we need a first order polynomial ax + b.2. To obtain the forcing term 2x. we have 1 16c − 20c + 6c = 1 ⇒ c = 2 1 6a = 2 ⇒ a = 3 5 −5a + 6b = 0 ⇒ b = 18 Since the complementary function is yc = Ae3x + Be2x . Example. This is an example of a simple harmonic oscillator being forced at its natural frequency.2 Resonance Consider ÿ + ω02 y = sin ω0 t.2. We can detune our forcing away from the natural frequency. and consider ÿ + ω02 y = sin ωt with ω 6= ω0 . as we’ve previously done for first-order equations. Note that any boundary condition to determine A and B must be applied to the full solution. the general solution is y = Ae3x + Be2x + 12 e4x + 13 x + 18 5 . we can easily “guess” the form of the particular integral. we get 16ce4x − 5(a + 4ce4x ) + 6(ax + b + ce4x ) = 2x + e4x Comparing coefficients of similar functions. 34 . so we can’t balance the forcing. not the complementary function 5. So if we guess a particular integral yp = C sin ω0 t + D cos ω0 t. Consider y 00 − 5y 0 + 6y = 2x + e4x . and to get e4x we need ce4x . f (x) yp (x) mx e Aemx sin kx A sin kx + B cos kx cos kx polynomial pn (x) qn (x) = an xn + · · · + a1 x + a0 It is important to remember that the equation is linear. The complementary solution is yc = A sin ω0 t + B cos w0 t. we’ll simply find ÿp + ω02 yp = 0.1 Guessing If the forcing terms are simple. Try yp = C(sin ωt − sin ω0 t). Thus we can guess yp = ax + b + ce4x yp0 = a + 4ce4x yp00 = 16ce4x Substituting in.5 Second-order differential equations IA Differential Equations 5.

Here we are going to come up with a method that can systematically help us find the particular integral. the wavelength of the beating envelope → ∞ and we just have the initial linear growth.5 Second-order differential equations IA Differential Equations We have ÿp = C(−ω 2 sin ωt + ω02 sin ω0 t). Substituting into the differential equation. The 1 wavelength of the sin function has order O( ∆ω ) and cos has wavelength O( ω10 ). This happens when the forcing frequency is close to the natural frequency. we should go for guessing. (2ω + ∆ω)∆ω 2 2 yp yp ∆ω  t sin 2 t ∆ω  − sin 2 t 1  O ∆ω This oscillation in the amplitude of the cos wave is known as beating. Suppose we have a second order differential equation y 00 + p(x)y 0 + q(x)y = f (x). ω02 − ω 2 We can simplify this to     2 ω0 + ω ω − ω0 yp = 2 cos t sin t ω0 − ω 2 2 2 We let ω0 − ω = ∆ω. So if the form of the particular integral is obvious. As ∆ω → 0. this is substantially more complicated than guessing. Of course. as ∆ω → 0. Then sin ωt − sin ω0 t yp = . Mathematically. 35 . Then      −2 ∆ω ∆ω yp = cos ω+ t sin t . we have C(ω02 − ω 2 ) = 1. if the forcing is a linear combination of complementary functions.3 Variation of parameters So far. 2ω0 In general. since sin θ ≈ θ as θ → 0. 5. then the particular integral is proportional to t (the independent variable) times the non-resonant guess. we have −t yp → cos ω0 t.2. we have been finding particular integrals by guessing.

v0 = = 2 4 2 4 So cos 4x sin 4x x u=− . y 00 + 4y = sin 2x. y 0 (x) and our job is to find one solution vector that satisfies the equation. we obtain yp00 = (uy100 + u0 y10 ) + (vy200 + v 0 y20 ) (c) If we use consider (c) + p(b) + q(a). We write yp = u sin 2x + v cos 2x. Component-wise. we obtain y1 u0 + y2 v 0 = 0. Then for each x. By (a)0 . y10 (x)) and Y2 (x) = (y2 (x). the solution vectors Y1 (x) = (y1 (x). we have y10 u0 + y20 v 0 = f . for example. The trick is to pick a convenient basis for this space. Let y1 (x) and y2 (x) be linearly independent complementary functions of the ODE. Now we have two simultaneous equations for u0 and v 0 . Now note that we derived the equation of yp0 from the vector equation. y20 (x)) form a basis of the solution space. So for each particular x. We can. we have yp = uy1 + vy2 (a) yp0 = uy10 + vy20 (b) Differentiating the second equation. Example. we can find some constants u. and we will try to find out what it is. W = −2. v (depending on x) such that the following equality holds: Y(x) = u(x)Y1 (x) + v(x)Y2 (x). we have  0  0   u 1 y2 −y2 0 = v0 W −y10 y1 f y2 y1 So u0 = − W f and v 0 = W f. write them in matrix form as    0   y1 y2 u 0 = y10 y20 v0 f Inverting the left matrix. We presuppose such a solution actually exists.5 Second-order differential equations IA Differential Equations We then know any particular solution vector can be written in the form   y(x) Y(x) = . which we should be able to solve. we obtain cos 2x sin 2x sin 4x − sin2 2x cos 4x − 1 u0 = = . This must be equal to what we get if we differentiate (a). since Y1 and Y2 are a basis. v= − 16 16 4 36 .(b). We know that y1 = sin 2x and y2 = cos 2x. Using the formulae above.

and yc = Axk1 +Bxk2 . It is generally not a good idea to remember the exact formula for the results we’ve obtained above. Solving by eigenfunctions d Note that y = xk is an eigenfunction of x dx . and y 00 = k(k − 1)xk−2 and 0 k 2 00 k x y = k(k − 1)x . 37 . c are constants. but this is confusing as it has the same name as those with no forcing term. To understand the name “equidimensional”. So λ = k1 . xy 0 and y have the same dimensions. Instead. so the results agree. 5. and 1 16 sin 2x is a complementary function. you should be able to re-derive the results instead. Solving by substitution Alternatively. suppose we are doing physics and variables have dimensions. Definition (Equidimensional equation). So all terms x2 y 00 . Say y has dimensions L and x has dimensions T . Then we can show that d2 y dy a2 2 + (b − a) + cy = f (ez ). Then the complementary function is yc = Aek1 z + Bek2 z = Axk1 + Bxk2 . to give two roots k1 and k2 . dz dz This turns an equidimensional equation into an equation with constant coefficients.3 Linear equidimensional equations Equidimensional equations are often called homogeneous equations.5 Second-order differential equations IA Differential Equations Therefore 1 x 1 x yp = (− cos 4x sin 2x + sin 4x cos 2x − cos 2x) = sin 2x − cos 2x 16 4 16 4 Note that − 14 x cos 2x is what we found previously by detuning. Then y 0 has dimensions LT −1 and y 00 has dimensions LT −2 . in general. which we can solve. b. k2 . An equation is equidimensional if it has the form ax2 y 00 + bxy 0 + cy = f (x). whenever faced with such questions. Substituting in. We can try an eigenfunction y = xk . The characteristic equation for solutions in the form y = eλz is of form a2 λ2 + (b − a)λ + c = 0. which we can rearrange to become aλ(λ − 1) + bλ + c = 0. 0 We have y = kx k−1 and thus xy = kx = ky. we can make a substitution z = ln x. we have ak(k − 1) + bk + c = 0. So we prefer this name instead. where a.

We have D[yn ] = D[k n ] = k n+1 = k · k n = kyn . 5. k2 k1n nk1n np p An + Bn p−1 + · · · + Cn + D Example (Fibonacci sequence). xk ln x}. These results can be easily obtained by considering the substitution method of solving. We can solve in a similar way to differential equations. To find the particular integral. We can think of the difference operator D[yn ] = yn+1 . fn ynp kn Ak n if k 6= k1 . Similarly. The Fibonacci sequence is defined by yn = yn−1 + yn−2 with y0 = y1 = 1. and then applying our results from homogeneous linear equations with constant coefficients. then ync = (A + Bn)k n . zekz } = {xk . if there is a resonant forcing proportional to xk1 (or xk2 ). So the general complementary function is ync = Ak1n + Bk2n if k1 6= k2 .5 Second-order differential equations IA Differential Equations Degenerate solutions If the roots of the characteristic equation are equal. then yc = {ekz . This has an eigen- function yn = k n . We can write this as yn+2 − yn+1 − yn = 0 We try yn = k n . we guess. To solve the difference equation. then there is a particular integral of the form xk1 ln x. we first look for complementary functions satisfying ayn+2 + byn+1 + cyn = 0 We try yn = k n to obtain ak n+2 + bk n+1 + ck n = 0 ak 2 + bk + c = 0 from which we can determine k. If they are equal. Then k 2 − k − 1 = 0. by exploiting linearity and eigenfunctions. Then k2 − k − 1 = 0 √ 1± 5 k= 2 38 .4 Difference equations Consider an equation of the form ayn+2 + byn+1 + cyn = fn .

where τ is dimensionless.g. Then yn = Aϕn1 + Bϕn2 . e. ϕ2 . ẋ means dx √l F dτ . By this substitution. The timescale M/k is proportional to the period of the undamped. we end uppwith a simple harmonic motion with angular frequency p k/M . car suspension system. So we have l k 1 ẍ + ẋ + x= F (t). l. −λ2 where λ1 and λ2 have positive real parts. Free (natural) response f = 0 ẍ + 2κẋ + x = 0 We try x = eλτ λ2 + 2κλ + 1 = 0 p λ = −κ ± κ2 − 1 = −λ1 . M M M Note that if we don’t have the damping and p the forcing.5 Second-order differential equations IA Differential Equations We write k = ϕ1 . there is some sort of restoring force and some damping. So 5 5  n+1 −1 ϕn+1 − ϕn+1 ϕn+1 1 − ϕ1 1 2 yn = √ = √ 5 5 5. 39 . We will consider different possible cases. Consider a car of mass M with a vertical force F (t) acting on it (e. unforced system (or 1 over its natural frequency). Our initial conditions give A+B =1 Aϕ1 + Bϕ2 = 1 ϕ1 −ϕ2 We get A = √ and B = √ . κ = 2 kM and f = k . we are now left with only one parameter κ instead of the original three (M. k). Then the equation of motion can be given by M ẍ = F (t) − kx − lẋ. We can consider the wheels to be springs (F = kx) with a “shock absorber” (F = lẋ).g.5 Transients and damping In many physical systems. Then we obtain ẍ + 2κẋ + x = f (τ ) where. mouse jumping on the car). Write t = τ M/k.

then x = (A + Bτ )e−κτ . Note that the damping increases the period. So the dimensional rise p and decay times are O( M/k). the oscillation period → ∞. The rise time and decay time are both O( κ1 ) = O(1). x τ 40 .5 Second-order differential equations IA Differential Equations Underdamping √ √ If κ < 1. 2π The period is √1−κ 2 and its amplitude decays in a characteristic of O( κ1 ). we have x = e−κτ (A sin 1 − κ2 τ + B cos 1 − κ2 τ ). then x = Ae−λ1 τ + Be−λ2 τ with λ1 < λ2 . As κ → 1. Then the decay time is O(1/λ1 ) and the rise time is O(1/λ2 ). x τ Overdamping If κ > 1. x τ Critically damping If κ = 1.

i. consider the limit ε → 0. In this case. For example. we’ll neglect it and write ∆p = I Assuming that F only acts on a negligible amount of time ε.5 Second-order differential equations IA Differential Equations Note that in all cases. ε) dt = 1. the area under the force curve. all that matters to us is its integral I.e.1 Dirac delta function Consider a ball bouncing on the ground. i. the complementary functions typically determine the short- time transient response. Newton’s second law gives mẍ = F (t) − mg.6 Impulses and point forces 5. it turns out that xp = − 2κ cos τ . ε) such that lim D(t.2 ) > 0. The general solution is thus x = Ae−λ1 τ + Be−λτ − 2κ 1 1 cos τ ∼ − 2κ cos τ as τ → ∞ since Re(λ1. So T +ε Z T +ε Z T +ε d2 x Z m 2 dt = F (t) dt − dt T −ε dt T −ε T −ε  T +ε dx m = I − 2εmg dt T −ε ∆p = I − O(ε) R T +ε Where ∆p is the change in momentum and the impulse I = T −ε F (t) dt is the area under the force curve. When the ball hits the ground at some time T . wlog.e. It is convenient mathematically to imagine the force acting instantaneously at time t = T . it experiences a force from the ground for some short period of time. then we can guess xp = 1 C sin τ + D cos τ .6. It is important to note that the forcing response is out of phase with the forcing. ε→0 Z ∞ lim D(t. while the particular integral determines the long-time (asymptotic) response. Note that the impulse I is the only property of F that influences the macroscopic behaviour of the system. We can consider a family of functions D(t. Forcing In a forced system. except during the short period (T − ε. If the contact time 2ε is small. assume T = 0 for easier mathematical treatment. we can integrate the equation from T − ε to T + ε. it is possible to get a large initial increase in amplitude. T + ε). ε) = 0 for all t 6= 0. 5. if f (τ ) = sin τ . ε→0 −∞ 41 . The force on the ball exerted by the ground in F (t) is 0 for most of the time. Often we don’t know (or we don’t wish to know) the details of F (t) but we can note that it only acts for a short time of O(ε) that is much shorter than the overall time O(t2 − t1 ) of the system. While we cannot solve it.

b) and 0 otherwise. this is equal to g(0). ε) → ∞. ε→0 Definition (Dirac delta function). provided g is continuous at x = c. Then y = Cex + De−x = A sinh x + B cosh x 00 and obtain B = 0 from the boundary condition. Rb More generally. we can choose 1 2 2 D(t. we again obtain y = C sinh(π − x) + D cosh(π − x) and (from the boundary condition). π. It can be checked that this satisfies the properties listed above. when we write Z ∞ g(x)δ(x) dx. ε). ε) = √ e−t /ε ε π D ε=1 ε = 0.5 t This has height O(1/ε) and width O(ε). in the previous example. First consider the region 0 ≤ x < π2 . This gives a convenient way of representing and making calculations involving impulsive or point forces. Therefore lim D(t. The Dirac delta function is defined by δ(x) = lim D(x. In the region π2 < x ≤ π. D = 0. Note that or function y is split into two parts by x = π2 . we can write mẍ = −mg + Iδ(t − T ).5 Second-order differential equations IA Differential Equations So we can replace the force in our example by ID(t. ε) dx. Example. a g(x)δ(x − c) dx = g(c) if c ∈ (a. For example. D(0. For example. and we have y − y = 0 and y = 0 and x = 0. and then take the limit as ε → 0. Note that as ε → 0. Here the delta function is 0. For example. −∞ we actually mean Z ∞ lim g(x)D(x. ε→0 −∞ In fact. 42 . y 00 − y = 3δ(x − π2 ) with y = 0 at x = 0. ε) does not exist. ε) ε→0 on the understanding that we can only use its integral properties.

the second integral is 0. Otherwise. Then we obtain Z π+ π+ 2 [y 0 ] π2 − − y dx = 3 2 π− 2 Since we assume that y is well behaved. So we integrate both sides from π2 − to π2 + . So we are left with π+ [y 0 ] π2 − = 3 2 So we have π π −C cosh − A cosh = 3 2 2 −3 A=C= 2 cosh π2 Then we have ( −3 sinh x π 2 cosh π 0≤x< 2 y= 2 −3 sinh(π−x) π 2 cosh π 2 <x≤π 2 x y Note that at x = π2 . This is why we insisted at first that y has to be continuous. Hence the discontinuity is always addressed by the highest order derivative since differentiation increases the discontinuity.7 Heaviside step function Definition (Heaviside step function). So A = C. Then note that we have to solve  π y 00 − y = 3δ x − 2 But remember that the delta function makes sense only in an integral. differentiating a function makes it less continuous. our final function has continuous y.5 Second-order differential equations IA Differential Equations When x = π2 . In general. and y 00 would be something completely unrecognizable. y 0 would look like a delta function. discontinuous y 0 and infinite y 00 . 5. first insist that y is continuous at x = π 2. Define the Heaviside step function as: Z x H(x) = δ(t) dt −∞ 43 .

44 .5 Second-order differential equations IA Differential Equations We have  0  x<0 H(x) = 1 x>0  undefined x = 0  y x By the fundamental theorem of calculus. dH = δ(x) dx But remember that these functions and relationships can only be used inside integrals.

x = nπ are regular singular points while all others are ordinary. However. then there is at least one solution of the form ∞ X y= an (x − x0 )n+σ n=0 with a0 6= 0 (to ensure σ is unique). We will not prove these results. The solution must be convergent in some neighbour- hood of x0 . (ii) sin xy 00 + cos xy 0 + 2y = 0. we can attempt to find a Taylor series for the solution. then x0 is a regular singular point. However. (i) (1 − x2 )y 00 − 2cy 0 + 2y = 0. It is possible to show that if x0 is an ordinary point. The point x = x0 is an ordinary point of the differential equation if pq and pr have Taylor series about x0 (i. Q R where P and P have Taylor series about x0 .e. Example. If x0 is a singular point but the equation can be written as P (x)(x − x0 )2 y 00 + Q(x)(x − x0 )y 0 + R(x)y = 0. then the equation is guaranteed to have two linearly independent solutions of the form ∞ X y= an (x − x0 )n . Otherwise. This is called a Frobenius series. √ 00 0 √ + x)y − 2xy + 2y = 0. x = ±1 are (regular) singular points since p(±1) = 0. it is difficult to solve a differential equation directly. x = 0 is an irregular singular point because (iii) (1 x is not differentiable at x = 0. n=0 i. Alternatively. x0 is a singular point. 45 . x = 0 is an ordinary point. are “analytic”.6 Series solutions IA Differential Equations 6 Series solutions Often.e. We will consider equations of the form p(x)y 00 + q(x)y 0 + r(x)y = 0. cf. Complex Analysis). Definition (Ordinary and singular points). Taylor series about x0 . but merely apply them. If x0 is a regular singular point. The index σ can be any complex number. it can be nice to think of the Frobenius series as ∞ X y = (x − x0 )σ an (x − x0 )n n=0 σ = (x − x0 ) f (x) where f (x) is analytic and has a Taylor series.

The left hand side gives 0 · a0 = 0 (the right hand side is 0 since an−2 = 0). So we obtain x2 x4 x6 y = a0 [1 − − − − · · · ] + a1 x  1 3 5 x 1+x = a0 1 − ln + a1 x 2 1−x Notice the logarithmic behaviour near x = ±1 which are regular singular points. We try y = n=0 an xn . First consider the case n = 0. Consider (1 − x2 )y 00 − 2xy 0 + 2y = 0. by considering n = 1. we write the equation in the form of an equidimensional equation with polynomial coefficients by multiplying both sides by x2 . Similarly. So any value of a0 satisfies the recurrence relationship. and it can take any arbitrary value. . This little trick will make subsequent calculations slightly nicer. First. 46 .6 Series solutions IA Differential Equations Ordinary points Example. So −1 a2k = a0 . n and n − 1 are non-zero. So we have n−3 an = an−2 n−1 In this case (but generally not). 2k − 1 a2k+1 = 0.. Find a series solution about x = 0 (which is an P∞ ordinary point). we can further simplify it to obtain: n−3n−5 an = an−4 n−1n−3 n−5 = an−4 n−1 . For n > 1. This corresponds to a constant of integration. We obtain (1 − x)2 (x2 y 00 ) − 2x2 (xy 0 ) + 2x2 y = 0 X an [(1 − x2 )n(n − 1) − 2x2 n + 2x2 ]xn = 0 X an [n(n − 1) + (−n2 − n + 2)x2 ]xn = 0 We look at the coefficient of xn and obtain the following general recurrence relation: n(n − 1)an + [−(n − 2)2 − (n − 2) + 2]an−2 = 0 n(n − 1)an = (n2 − 3n)an−2 Here we do not divide by anything since they might be zero. a1 is arbitrary.

Consider 4xy 00 + 2(1 − x2 )y 0 − xy = 0. However. For n > 0. then 4k − 3 a2k = a2k−2 4k(4k − 1)   1 2 5 y = a0 1 + x + x4 + · · · 4·3 8·7·4·3 Note that we have only found one solution in this case. we can divide and obtain 2n − 3 an = an−2 . The n = 0 case gives the indicial equation for the index σ: 2σ(2σ − 1)a0 = 0. we must have σ = 0 or 12 . 6 0. we obtain the general recurrence relation [4(n + σ)(n + σ − 1) + 2(n + σ)]an − [2(n − 2 + σ) + 1]an−2 = 0. we obtain 4(x2 y 00 ) + 2(1 − x2 )xy 0 − x2 y = 0. if we multiply throughout by x to obtain an equidimensional equation. When σ = 0. Try ∞ X y= an xn+σ with a0 6= 0. x = 0 is a regular singular point. The σ = 0 solution corresponds to an Since a0 = analytic (“Taylor series”) solution. i. this gives 0 · a0 = 0. If n = 2k.6 Series solutions IA Differential Equations Regular singular points Example. we have X an xn+σ [4(n + σ)(n + σ − 1) + 2(1 − x2 )(n + σ) − x2 ] By considering the coefficient of xn+σ . Simplifying the equation gives 2(n + σ)(2n + 2σ − 1)an = (2n + 2σ − 3)an−2 . while σ = 12 corresponds to a non-analytic one. When n = 0. we obtain (2n + 1)(2n)an = (2n − 2)an−2 47 . Now when σ = 12 . 2 2 Since Q P = 1−x 2 and R P = − x4 both have Taylor series. So a0 is arbitrary. the recurrence relation becomes 2n(2n − 1)an = (2n − 3)an−2 . Note that x = 0 is a singular point. 2n(2n − 1) We can see that a1 = 0 and so are subsequent odd terms.e. n=0 Substituting in. is even.

we can possibly end up with two regular Frobenius series solutions. 48 . When n = 1. Example. as we will later see. there is one solution of the form ∞ X y1 = (x − x0 )σ2 an (x − x0 )n n=0 with σ2 ≥ σ1 . x = 0 is a regular singular point. so a0 is arbitrary. But if the resonance somehow avoids itself. Try ∞ X y= an xn+σ n=0 with a0 6= 0. In this case. then there are two linearly independent Frobenius solutions ∞ ∞ " # " # X X y = (x − x0 )σ1 an (x − x0 )n + (x − x0 )σ2 bn (x − x0 )n .6 Series solutions IA Differential Equations When n = 0. we obtain 6a1 = 0 and a1 = 0 and so are subsequent odd terms. we obtain 0 · a0 = 0. n=0 n=0 As x → x0 . For even n. Consider the two different cases: (i) If σ2 − σ1 is not an integer. It is already in equidimensional form (x2 y 00 ) − x(y) = 0. y ∼ (x − x0 )σ1 . Instead. We obtain X an xn+σ [(n + σ)(n + σ − 1) − x] = 0. where Re(σ1 ) ≤ Re(σ2 ) (ii) If σ2 −σ1 is an integer (including when they are equal). n−1 an = an−2 n(2n + 1) So   1 2 3 y = b0 x1/2 1 + x + x4 + · · · 2·5 2·5·4·9 Resonance of solutions Note that the indicial equation has two roots σ1 . n=0 This form arises from resonance between the two solutions. Consider x2 y 00 − xy = 0. σ2 . To avoid confusion with the a0 above. We can substitute this form of solution into the differential equation to determine bn . call it b0 instead. σ = σ1 will not give a valid solution. the other solution is (usually) in the form ∞ X y2 = ln(x − x0 )y1 + bn (x − x0 )n .

Then σ = 0. When n > 0. When n = 0. We are guaranteed to have a solution in the form σ = 1. we obtain 1 1 an = an−1 = a0 . 0 · a0 = 0 so a0 is arbitrary. n=0 49 . 0 · a1 = a0 . Contradiction. a0 6= 0 by our initial constraint. When n = 1. 1. we obtain n(n − 1)an = an−1 . But this gives exactly the same solution we found previously with σ = 1) The other solution is thus in the form ∞ X y2 = y1 ln x + bn xn . the recurrence relation becomes (n + 1)nan = an−1 . n(n + 1) (n + 1)(n!)2 So x x2 x3   y1 = a0 x 1 + + + + ··· .6 Series solutions IA Differential Equations The general recurrence relation is (n + σ)(n + σ − 1)an = an−1 . So there is no solution in this form (If we ignore the constraint that a0 6= 0. 0 · a0 = 0 and a0 is arbitrary. n = 0 gives the indicial equation σ(σ − 1) = 0. When σ = 1. 2 12 144 When σ = 0. we know that a0 is arbitrary. When n = 0. However.

The change in f (x.e. y) during that displacement is ∂f ∂f df = dx + dy ∂x ∂y We can also write this as   ∂f ∂f df = (dx. So we know that (i) ∇f has magnitude equal to the maximum rate of change of f (x. We write ds = ŝ ds. df ds = |∇f |. dy) · . The gradient vector ∇f is defined as the vector that satisfies df = ŝ · ∇f. ds   Officially.7 Directional derivative IA Differential Equations 7 Directional derivative 7. Then ∇f = ∂f . then df = 0. ∂f ∂x ∂y are the Cartesian components of the gradient of f. ds Definition (Gradient vector). 50 . dy). i. where |ŝ| = 1. ∇f is orthogonal to the contour.1 Gradient vector Consider a function f (x. Then when cos θ is maximized. ds So ŝ · ∇f = 0. we take this to be the definition of ∇f . Then Definition (Directional derivative). y) in the xy plane. along a line in which f is constant). ∂x ∂y = ds · ∇f   where ∇f = gradf = ∂f . y) and a displacement ds = (dx.e. ∂f ∂x ∂y is a theorem that can be proved from this definition. We know that the directional derivative is given by df = ŝ · ∇f = |∇f | cos θ ds where θ is the angle between the displacement and ∇f . (iii) If ds is a displacement along a contour of f (i. (ii) It has direction in which f increases most rapidly. The directional derivative of f in the direction of ŝ is df = ŝ · ∇f.

2 Stationary points There is always (at least) one direction in which df ds = 0. we also have saddle points: In general. Also.7 Directional derivative IA Differential Equations 7. ∂x ∂y However. ∇f = 0. we define a saddle point to be a point at which ∇f = 0 but is not a maximum or minimum. in 3 dimensions. When we plot out contours of functions.e. the contour lines cross at and only at saddle points. namely the direction parallel to the contour of f . ŝ · ∇f = 0 for all ŝ. y plane. i. they are locally hyperbolic. Then d δs = δs · ∇ ds The Taylor series along the line is f (s) = f (s0 + δs) df 1 d2 f = f (s0 ) + δs + (δs)2 2 ds 2 ds 1 2 = f (s0 ) + δs · ∇f + δs (ŝ · ∇)(ŝ · ∇)f. However. local maxima and minima have df =0 ds for all directions.3 Taylor series for multi-variable functions Suppose we have a function f (x.e. Near saddle points. apart from maxima and minima. Now consider a finite displacement δs along a straight line in the x. 2 We get ∂f ∂f δs · ∇f = (δx) + (δy) ∂x ∂y ∂f ∂f = (x − x0 ) + (y − y0 ) ∂x ∂y 51 . 7. near maxima and minima. y) and a point x0 . Then we know that ∂f ∂f = = 0. the contours are locally elliptical. i.

With respect 52 .e. the coordinate-free form is 1 f (x) = f (x0 ) + δx · ∇f (x0 ) + δx · ∇∇f · δx 2 where the dot in the second term represents a matrix product. So H can be diagonalized (cf. δx · H · δx < 0 for all δx. We say δx · H · δx is negative definite. since we do not have an easy way to know what sign δx · H · δx could be. 2 where H = ∇∇f (x0 ) is the Hessian matrix. y) = f (x0 . 1 f (x) ≈ f (x0 ) + δx · H · δx. This. we have 1 f (x) = f (x0 ) + δx · ∇f (x0 ) + [∇(∇f · δx)] · δx 2 7. At a minimum. δx · H · δx > 0 for all δx. in terms of the gradient operator (and real dot products). is not helpful. δx · H · δx is indefinite. we have f (x. Now note that H = ∇∇f is symmetric (because fxy = fyx ). At a saddle.7 Directional derivative IA Differential Equations and δs2 (ŝ · ∇)(ŝ · ∇)f = (δs · ∇)(δs · ∇)f    ∂ ∂ ∂f ∂f = δx + δy δx + δy ∂x ∂y ∂x ∂y 2 2 ∂ f ∂ f ∂2f = δx2 2 + 2δxδy + δy 2 2 ∂x ∂x∂y ∂y     fxx fxy δx = δx δy fyx fyy δy Definition (Hessian matrix). So at a point near the stationary point. we know that ∇f (x0 ) = 0. y0 ) + (x − x0 )fx + (y − y0 )fy 1 + [(x − x0 )2 fxx + 2(x − x0 )(y − y0 )fxy + (y − y0 )2 fy y] 2 In general. so far. Similarly.4 Classification of stationary points At a stationary point x0 . Every point near x0 has f (x) > f (x0 ).e. negative or zero depending on the direction. We say δx · H · δx is positive definite. at a maximum. Alternatively. Vectors and Matrices). it can be positive. i. The Hessian matrix is the matrix   fxx fxy ∇∇f = fyx fyy In conclusion. i.

it is negative-definite iff λi < 0 for all i. The signature of H is the pattern of the signs of the subdeterminants: . Definition (Signature of Hessian matrix). δy. λ2 .  .7 Directional derivative IA Differential Equations to these axes in which H is diagonal (principal axes).   . we have    λ1 δx  λ2  δy  δx · H · δx = (δx. · · · λn are the eigenvalues of H. · · · . Similarly. Finally.. we need λi > 0 for all i.   . So for δx · H · δx to be positive-definite. then we need further analysis to determine the nature of the stationary point. then it is a saddle point. if there is at least one zero eigenvalue.  λn δz 2 2 2 = λ1 (δx) + λ2 (δy) + · · · + λn (δz) where λ1 . If eigenvalues have mixed sign. another way to determine the definiteness is using the signature. Apart from finding eigenvalues.. δz)     .

.

.

fxx fxy · · · fxz .

.

.

.

.

fxx fxy .

.

.

fyx fyy · · · fyz .

. fxx .

.

.

. · · · ..

. .

.. . . . ..

.

|{z} fyx fyy .

.

. . .. . .

.

|H1 | | {z } .

|H2 | .

fzx fzy · · · fzz .

and axes in which H is diagonal. At a maximum or minimum. λ1 and λ2 have the same sign.5 Contours of f (x. +. H is negative definite if and only if the signature is −. f = constant ⇒ xHx = constant. Y ). y) = 4x3 − 12xy + y 2 + 10y + 6. y)   λ1 0 Consider H in 2 dimensions. So H = . We have fx = 12x2 − 12y fy = −12x + 2y + 10 fxx = 24x fxy = −12 fyy = 2 53 . (−1)n . · · · . H is positive definite if and only if the signature is +.e. 7. · · · . Then near x0 . Example. 0 λ2 Write x − x0 = (X. Otherwise. they have different signs and the contours are locally hyperbolae. So these contours are locally ellipses. At a saddle point. λ1 X 2 +λ2 Y 2 = constant. i. Find and classify the stationary points of f (x. H is indefinite. +. | {z } |Hn |=|H| Proposition. +.

7 Directional derivative IA Differential Equations At stationary points. first consider (1. 25)  24 −12 To classify them. 25 respectively. fx = fy = 0. 30 (5. 5 and y = 1. +. Substituting into the second equation. 25). −12 2 Since the signature is +. and then try to join them together. noting that contours cross only at saddles. this an indefinite case and it is a saddle  point. Since we have a +.25) 20 10 (1.1) and (5. − signature. The first equation gives y = x2 . So the stationary points are (1. we obtain x = 1. To draw the contours. 120 −12 At (5. Our Hessian matrix H = . So we have 12x2 − 12y = 0. −12 2 Our signature is |H1 | = 24 and |H2 | = −96.1) 0 -10 -2 0 2 4 6 54 . we draw what the contours look like near the stationary points. it is a minimum. 1). −12x + 2y + 10 = 0. H = So |H1 | = 120 and |H2 | = 240 − 144 = 96.

−b −a y2 f Now consider the general equation Ẏ = M Y + F Ẏ − M Y = F We first look for a complementary solution Yc = veλt . where v is a constant vector. y2 (t) related by ẏ1 = ay1 + by2 + f1 (t) ẏ2 = cy1 + dy2 + f2 (t) We can write this in vector notation by        ẏ1 a b y1 f = + 1 ẏ2 c d y2 f2 or Ẏ = M Y + F. we can do this to change it to a system of first-order equations:  y If ÿ + aẏ + by = f . However. So λ is the eigenvalue of M and v is the corresponding eigenvector. We can write this as M v = λv. this actually complicates the equation. write y1 = y and y2 = ẏ. 55 . Then for each λ. Then let Y = ẏ Our system of equations becomes ẏ1 = y2 ẏ2 = f − ay2 − by1 or     0 1 y1 0 Ẏ = . We can convert this to a higher-order equation by ÿ1 = aẏ1 + bẏ2 + f˙1 = aẏ1 + b(cy1 + dy2 + f2 ) + f˙1 = aẏ1 + bcy1 + d(ẏ1 − ay1 − f1 ) + bf2 + f˙1 so ÿ1 − (a + d)ẏ1 + (ad − bc)y1 = bf2 − df1 + f˙1 and we know how to solve this. We can solve this by solving the characteristic equation det(M − λI) = 0. So what we usually do is the other way round: if we have a high-order equation.8 Systems of differential equations IA Differential Equations 8 Systems of differential equations 8.1 Linear equations Consider two dependent variables y1 (t). we find the corresponding v. So we get λv − M v = 0.

8 Systems of differential equations IA Differential Equations Example.     −4 24 4 t Ẏ = Y+ e −2 1 1 .

.

.

−4 − λ 24 .

.

The characteristic equation of M is .

.

which gives (λ + 1 −2 − λ. = 0.

So the complementary solution is 1     4 2t −6 −8t Y=A e +B e 1 1 To plot the phase-space trajectories. 1) We can now add more (curved) lines based on these two: 56 . 1) y1 v2 = (−6. 1 it will move towards the origin. v satisfies    −6 24 v1 = 0. 1 −4 v2   4 and we obtain v1 = . If Y is an integer multiple of . −8. 8)(λ − 2) = 0 and λ = 2. 1 6 v2   −6 and v2 = . we first  consider  the cases where Y is 4 an eigenvector. When λ = 2. 1 When λ = −8. Similarly. we have    4 24 v1 = 0. if it is an integer multiple of . y2 v1 = (4. then it will keep moving 1   −6 outwards in the same direction.

8 Systems of differential equations IA Differential Equations y2 v1 = (4. 1) (ii) If λ1 . we try Yp = uet . wlog assume λ1 > 0. 1) y1 v2 = (−6. there are three possible cases of Ẏ = M Y corresponding to three different possible eigenvalues of M : (i) If both λ1 . 1) v2 = (−6. Then there is a saddle as above: v1 = (4. Then the phase portrait is 57 . λ2 are real with λ1 λ2 > 0. Then        u1 −4 24 u1 4 − = u2 1 −2 u2 1      5 −24 u1 4 = −1 3 u2 1      u1 1 3 24 4 =− u2 9 1 5 1   −4 = −1 So the general solution is       4 2t −6 −8t 4 t Y=A e +B e − e 1 1 1 In general. λ2 are real with opposite sign (λ1 λ2 < 0). wlog assume |λ1 | ≥ |λ2 |. 1) To find the particular integral.

Definition (Equilibrium point). y0 ) = 0. If Re(λ1. 58 . but we can learn a lot about phase-space trajectories of these solutions by studying the equilibria and their stability.2 ) < 0.8 Systems of differential equations IA Differential Equations v2 v1 If both λ1 . We solve these simultane- ously for x0 . An equilibrium point is a point in which ẋ = ẏ = 0 at x0 = (x0 . then the arrows point towards the intersection and we say there is a stable node. λ2 < 0. 8. We can determine whether the spiral is positive (as shown above). Clearly this occurs when f (x0 .2 ) = 0. y) It can be difficult to solve the equations.2 Nonlinear dynamical systems Consider the second-order autonomous system (i. y0 ).e. then it spirals outwards. then we obtain a spiral If Re(λ1. then we have ellipses with common centers instead of spirals. t does not explicitly appear in the forcing terms on the right) ẋ = f (x. (iii) If λ1 . If both are positive. or negative (mirror image of the spiral above) by considering the eigenvectors. they point outwards and there is an unstable node. then it spirals inwards. y) ẏ = g(x. y0 . If Re(λ1.2 ) > 0. y0 ) = g(x0 . λ2 are complex conjugates.

0). 0).8 Systems of differential equations IA Differential Equations To determine the stability. η 2 ) ∂x ∂y So if ξ. Instead of expanding partial derivatives. Then ξ˙ = f (x0 + ξ. We also want y(x − 1) = 0 which gives y = 0 or x = 1. |{z} |{z} births . (Population dynamics . Near (4. Then we have the following for the prey: ẋ = αx |{z} − βx2 − γxy . y0 ) + ξ (x0 ) + η (x0 ) + O(ξ 2 . we have ξ˙      8 0 ξ = η̇ 0 −1 η We clearly have eigenvalues 8. (1. ξ˙      fx fy ξ = η̇ gx gy η This is a linear system. let ẋ = 8x − 2x2 − 2xy ẏ = xy − y We find the fixed points: x(8 − 2x − 2y) = 0 gives x = 0 or y = 4 − x.deaths natural competition killed by predators and the following for the predators: ẏ = εxy − δy |{z} |{z} birth/survival rate natural death rate For example. and we can determine its character from the eigensolu- tions. y0 + η) ∂f ∂f = f (x0 . y = y0 + η. Example. 0). (4. Near (0. y = η. we have x = 4 + ξ. η  1. 3).predator-prey system) Suppose that there are x prey and y predators. So the fixed points are (0. we can obtain from the equations directly: ξ˙ = (4 + ξ)(8 − 8 − 2ξ − 2η) = −8ξ − 8η − 2ξ 2 − 2ξη η̇ = η(4 + ξ − 1) = 3η + ξη 59 . write x = x0 + ξ. 0). −1 with the standard basis as the eigenvectors.

Near (1. with associated eigenvectors (1. 3) is a stable solution in which almost all solutions spiral towards. 0). we have x = 1 + ξ. We can patch the three equilibrium points together and obtain the following phase portrait: 5 4 3 2 1 0 0 1 2 3 4 5 We see that (1. and the spiral is counter-clockwise (“positive”). 3). So ξ˙ = (1 + ξ)(8 − 2 − 2ξ − 6 − 2η) ≈ −2ξ − 2η η̇ = (3 + η)(1 + ξ − 1) ≈ 3η So ξ˙      −2 −2 ξ = η̇ 3 0 η √ The eigenvalues are −1 ± i 5. it is a stable spiral.8 Systems of differential equations IA Differential Equations Ignoring the second-order terms. Since it is complex with a negative real part. (8. −11). We have = . We can determine the chiralityofthe spirals by considering  what  happens  to ξ ξ˙ −2ξ a small perturbation to the right with ξ > 0. So 0 η̇ 3ξ x will head top-left. we have ξ˙      −8 −8 ξ = η̇ 0 3 η The eigenvalues are −8 and 3. y = 3 + η. 60 .

t). We will later see that solutions correspond to waves travelling in one direction. We write this as ∂y ∂y −c = 0. (1) dt Along such paths. ∂t ∂x Recall that along a path x = x(t) so that y = y(x(t). along each of these paths. Then the solution to the wave equation is y = f (x + ct). Now we choose a path along which dx = −c. dy ∂y dx ∂y = + dt ∂x dt ∂t dx ∂y ∂y = +c dt ∂x ∂x by the chain rule. The contours of y look rather boring. So suppose for each x0 . By differentiating this directly. dy =0 (2) dt So we have replaced the original partial differential equations with a pair of ordinary differential equations.9 Partial differential equations (PDEs) IA Differential Equations 9 Partial differential equations (PDEs) 9. This is known as the (first-order) wave equation. where x0 is a constant. From (2).1 First-order wave equation Consider the equation of the form ∂y ∂y =c . We can write this as x0 = x + ct. where f is an arbitrary function. Each path that satisfies (1) can be described by x = x0 − ct. we can easily check that every function of this form is a solution to the wave equation. t contours of y x O 61 . ∂t ∂x with c a constant and y a function of x and t. the value of y along the path x0 = x + ct is given by f (x0 ). y is constant.

∂t2 ∂x2 This is the second-order wave equation. However. 2 2 So f (x0 ) − 1 = e−x0 . and is often known as the “hyperbolic equation” because the form resembles that of a hyperbola (which has the form x2 − b2 y 2 = 0).e. 0) = x2 − 3 Since we know that y = f (x + ct) and f (x) = x2 − 3.2 Second-order wave equation We consider equations in the following form: ∂2y 2 2∂ y = c . The paths we’ve identified are called the “characteristics” of the wave equation. ∂t ∂x Along each path x0 = x − 5t. We usually have initial conditions e. 9. y(x. y must be given by y = (x + ct)2 − 3. y = f (x0 ) − 1 and x = x0 . y is constant along the characteristics (because the equation is unforced). we have dy −t dt = e . we are simply taking the t = 0 solution and translating it to the left. y(x. 0) = e−x . the differential equation has no connections to hyperbolae whatsoever. We can also solve forced equations. We can plot the xy curve for different values of t to obtain this: y x We see that each solution is just a translation of the t = 0 version. So y = f (x0 ) − e −t for some function f . Using the boundary conditions provided. such as ∂y ∂y 2 +5 = e−t .9 Partial differential equations (PDEs) IA Differential Equations Note that as we move up the time axis. So 2 y = 1 + e−(x−5t) − e−t . At t = 0. 62 .g. f (x0 ) = 1 + e−x0 . i. In this particular example.

Since the equation is linear. Since the operators are commutative. and curvature is measured by the second derivative) To solve the equation. In PDEs. Integrating twice gives y = f (ξ) + g(η). How many boundary conditions do we need to have a unique solution? In ODEs. then the first operator differentiates it to give a constant (as in the first-order wave equation). because we get no force if we just move the whole string upwards. along the x axis. t) be the vertical displacement of the string at the point x at time t. 1 y= 1 + x2 ∂y =0 ∂t – Boundary conditions: y → 0 as x → ±∞. For example. y = f (x − ct) is also a solution. We let y(x. that ytt − c2 yxx ≡ −4c2 yηξ = 0. In this case. So ∂t ∂x2 we obtain this wave equation. we have to count over all variables. We can show. Consider a horizontal string. we can have: – Initial conditions: at t = 0. 63 . Then we can write ∂2y 2 2∂ y 2 − c 2 =0    ∂t ∂x  ∂ ∂ ∂ ∂ +c −c y=0 ∂t ∂x ∂t ∂x If y = f (x + ct). We can show that this is indeed the most general solution by substituting ξ = x + ct and η = x − ct. we need 2 boundary conditions and 2 initial conditions. we simply count the order of the equation. y Suppose that ρ(x) is the mass per unit length of a string. Then the restoring ∂2y ∂2y force on the string ma = ρ 2 is proportional to the second derivative . suppose that c is constant. It also cannot be proportional to ∂y/∂x: if we have a straight slope. So y = f (x + ct) is a solution. Then applying the second operator differentiates it to 0. then the force pulling upwards is the same as the force pulling downwards. the general solution is y = f (x + ct) + g(x − ct). using the chain rule. (Why is it proportional to the second derivative? It certainly cannot be proportional to y.9 Partial differential equations (PDEs) IA Differential Equations This equation models an actual wave in one dimensions. This shows that the solution composes of superpositions of waves travelling to the left and waves travelling to the right. and we should have no force. We have a force only if the string is curved.

the diffusion equation is dissipative and all unevenness simply decays away. There is a similarity solution of the diffusion equation valid on an infinite x domain (or our semi-infinite domain) in which T (x. f = g + 2. T (0. From (1).   1 1 1 y= + 2 1 + (x + ct)2 1 + (x − ct)2 Where we substituted x for x + ct and x − ct in f and g respectively. Here T (x. overall. and the new f and g are equal. instead of oscillatory. In this case. and T (x. we know that f 0 = g 0 . since if we had. 0) = 0. wlog. ( 0 t<0 Suppose T (x. Example. Note in general the “velocity” ∂T /∂t is proportional to curvature ∂ 2 T /∂x2 . The first initial condition give 1 f (x) + g(x) = (1) 1 + x2 The second initial condition gives ∂y = cf 0 (x) − cg 0 (x) = 0 (2) ∂t From (2). where η = √ . this says that the rod is initially cool (at temperature 0). t) → 0 as 1 t>0 x → ∞. t) is the temperature and the constant κ is the diffusivity. we can assume that they are indeed equal.9 Partial differential equations (PDEs) IA Differential Equations We know that the solution has the form y = f (x + ct) + g(x − ct). 9.3 The diffusion equation Heat conduction in a solid in one dimension is modelled by the diffusion equation ∂T ∂2T =κ 2 ∂t ∂x This is known as a parabolic PDE (parabolic because it resembles y = ax2 ). then we can let y = (f (x + ct) + 1) + (g(x − ct) + 1) instead. say. we must have 1 f (x) = g(x) = 2(1 + x2 ) So. it is the “acceleration” that is proportional to curvature. t) = H(t) = . So f and g differ by a constant. while in the wave equation. t) = θ(η). In words. and then the end is heated up on one end after t = 0. Consider an infinitely long bar heated at one end (x = 0). 2 κt 64 .

So θ = 1−erf(η). and erf(η) → 1 as η → ∞. So θ = 1 at η = 0. t → 0+ . As x → 0. 0 √ Now look at the boundary and initial conditions.9 Partial differential equations (PDEs) IA Differential Equations Applying the chain rule. T (x) looks like 65 . we have ∂T dθ ∂η = ∂x dη ∂x 1 = √ θ0 (η) 2 κt ∂2T 1 dθ0 ∂η = √ ∂x2 2 κt dη ∂x 1 00 = θ (η) 4κt ∂T dθ ∂η = ∂t dη ∂t 1 x 1 = − √ 3/2 θ0 (η) 22 κt η = − θ0 (η) 2t Putting this into the diffusion equation yields η 0 1 00 − θ =κ θ 2t 4κt 00 0 θ + 2ηθ = 0 This is an ordinary differential equation for θ(η). So R 2 (eη θ0 )0 = 0 2 θ0 = Ae−η Z η 2 θ=A e−u du + B 0 = α erf(η) + B Rη 2 where erf(η) = √2 π e−u du from statistics. θ(∞) = 0 gives α = −1. we have η → 0. Use the integrating factor 2 µ = exp( 2η dη) = eη . Colloquially. if x → ∞. Also. then η → ∞. (recall η = x/(2 κt)) and express them in terms of η. So   x T = erfc √ 2 κt In general. This is also sometimes written as erfc(η). So θ(0) = 1 ⇒ B = 1. the error function complement of η. This can be seen as a first- order equation for θ0 with non-constant coefficients. So θ → 0 as η → ∞. at any particular fixed time t0 .

√ So if we actually have a finite bar of length L.9 Partial differential equations (PDEs) IA Differential Equations T x √ with decay length O( κt). or t  L2 /κ 66 . we can treat it as infinite if κt  L.