POWER SERIES SOLUTION OF THE RICCATI EQUATION

RICHARD J. MATHAR

Abstract. The general Riccati equation is solved with a power series ansatz
for y(x), supposed the power series of the three functions P (x), Q(x) and R(x)
are given.

1. Methodology
The Riccati equation [2, 1, 3]
(1) y 0 = P (x) + Q(x)y + R(x)y 2
is a nonlinear first order differential equation, which can be solved with a power
series ansatz
X∞
(2) y(x) = yi xi
i=0
for an initial value problem. We suppose that the coefficients of the series
X∞ ∞
X X∞
(3) P (x) = pi xi ; Q(x) = qi xi ; R(x) = ri xi
i=0 i=0 i=0
are known and tabulate the yi as functions of the set {pi , qi , ri }.

2. Results
2.1. Riccati Equation. The coefficient y0 is the free parameter to satisfy the
initial value problem. The subsequent parameters are
(4) y1 = p0 + q0 y0 + r0 y02 .

(5) 2y2 = p1 + q0 p0 + (q1 + q02 + 2r0 p0 )y0 + (3q0 r0 + r1 )y02 + 2r02 y03 .
1 1
(6) 3y3 = p2 + q1 p0 + q0 p1 + q02 p0 + r0 p20
2 2
3 1
+(q2 + 4q0 r0 p0 + q1 q0 + 2r1 p0 + q03 + r0 p1 )y0
2 2
7 2 5
+(r2 + 2q1 r0 + q0 r0 + q0 r1 + 4p0 r02 )y02
2 2
+(6q0 r02 + 3r1 r0 )y03 + 3r03 y04
(7) = p2 + q2 y0 + q1 y1 + q0 y2 + r2 y02 + 2r1 y0 y1 + r0 y12 + 2r0 y0 y2

(8) 4y4 = p3 + q3 y0 + q2 y1 + q1 y2 + q0 y3 + r3 y02

+2r2 y0 y1 + r1 y12 + 2r1 y0 y2 + 2r0 y1 y2 + 2r0 y0 y3

Date: October 18, 2007.

Key words and phrases. Riccati, differential equation, nonlinear, first order.
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2 RICHARD J. MATHAR

(9) 5y5 = p4 + 2r3 y0 y1 + q3 y1 + q4 y0 + q2 y2 + q1 y3 + q0 y4

+r4 y02 + r2 y12 + 2r2 y0 y2
+2r1 y1 y2 + 2r1 y0 y3 + r0 y22 + 2r0 y1 y3 + 2r0 y0 y4

(10) 6y6 = p5 + q 4 y 1 + q 5 y 0 + q 3 y 2 + q 2 y 3 + q 1 y 4
+q0 y5 + r5 y02 + 2r4 y0 y1 + r3 y12 + 2r3 y0 y2 + 2r2 y1 y2 + 2r2 y0 y3
+r1 y22 + 2r1 y1 y3 + 2r1 y0 y4 + 2r0 y2 y3 + 2r0 y1 y4 + 2r0 y0 y5 .
The generic term is
i bi/2c i−1 b(i−j−1)/2c
X X X X
(11) (i + 1)yi+1 = pi + qj yi−j + ri−2l yl2 + 2 rj yl yi−j−l ,
j=0 l=0 j=0 l=0

where b.c denotes the largest integer not smaller than the argument, and where the
final double sum vanishes if i = 0.
2.2. Second Order Extension. If (1) were replaced by the 2nd order equation
(12) y 00 = P (x) + Q(x)y + R(x)y 2 ,
with free parameters y0 and y1 , equations (4)–(11) are replaced by
i bi/2c i−1 b(i−j−1)/2c
X X X X
(13) (i + 2)(i + 1)yi+2 = pi + qj yi−j + ri−2l yl2 + 2 rj yl yi−j−l .
j=0 l=0 j=0 l=0

References
1. Luca Dieci and Timo Eirola, Preserving monotonicity in the numerical solution of riccati
differential equations, Numer. Math. 74 (1996), 35–47.
2. G. Freiling and G. Jank, Generalized riccati difference and differential equations, Lin. Alg.
Applic. 241–243 (1986), 291–303.
3. Nasser Saad, Richard L. Hall, and Hakan Ciftci, Solutions for certain classes of riccati differ-
ential equation, arXiv:math-ph/0707.2837 (2007).
E-mail address: mathar@strw.leidenuniv.nl

Leiden Observatory, P.O. Box 9513, 2300 RA Leiden, The Netherlands