Series Solutions of Second Order Linear ODEs

Series Solutions of Linear Ordinary Differential

Equations

Department of Mathematics
IIT Guwahati

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

Aim: To study the methods for obtaining power series

solutions of second order linear ODEs with variable
coefficients.

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

Review of power series

A series of the form
∞
X
an (x − x0 )n = a0 + a1 (x − x0 ) + a2 (x − x0 )2 + · · · , (1)
n=0

is called a power series about the point x0 . Here, x is a

variable and an ’s are constants.
The series (1) converges at x = c if ∞ n
P
n=0 an (c − x0 )
converges, that is, the limit of partial sums
N
X
lim an (c − x0 )n
N →∞
n=0

exists. Otherwise, the power series is said to diverge at x = c.

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

The
P∞ series (1) converges Pabsolutely at x = c if
n ∞
|a
n=0 n (c − x 0 ) | = |a
n=0 n ||c − x0 |n converges.
Note that as
∞ ∞
!
X X
n n
an (x0 − x0 ) = a0 , |an ||x0 − x0 | = |a0 |
n=0 n=0
P∞
for x = x0 , n=0 an (x − x0 )n converges (absolutely) at x = x0 .
Q. What about convergence for other values of x?
(Radius of convergence)
For each power series of the form (1), there is a number R (0 ≤ R ≤ ∞),
called the radius of convergence of the power series, such that the series
converges absolutely for |x − x0 | < R and diverge for |x − x0 | > R.
If the series (1) converges for all values of x, then R = ∞. When the
series (1) converges only at x0 , then R = 0.

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

Theorem: (Ratio test) If

 
 an+1 
lim   = L,
n→∞  an 

where 0 ≤ L P≤ ∞, then the radius of convergence (R) of the

power series ∞ n
n=0 an (x − x0 ) is
 1
 L if 0 < L < ∞,
R= ∞ if L = 0,
0 if L = ∞.

 
 an+1 
Remark. If the ratio  an  does not have a limit, then
methods other than the ratio test (e.g. root test) must be
used to determine R.

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

(−2)n
Example: Find R for the series ∞ n
P
n=0 n+1 (x − 3) .
n
Note that an = (−2)n+1
. We have
 (−2)n+1 (n + 1) 
   
 an+1 
lim   = lim   = lim 2(n + 1) = 2 = L.
n→∞ an  n→∞  (−2)n (n + 2)  n→∞ (n + 2)
Thus, R = 1/2. The series converges absolutely for
|x − 3| < 12 and diverge for |x − 3| > 12 .
Next, what happens when |x − 3| = 1/2?
At x = 5/2, the series becomes the harmonic series ∞ 1
P
n=0 n+1 ,
and hence diverges.
When x = 7/2, the series becomes an alternating harmonic
series, which converges but not absolutely.
Thus, the power series converges absolutely for each
x ∈ (5/2, 7/2) and converges for each x ∈ (5/2, 7/2].

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

Equality of two power series

Suppose ∞
P n
P∞ n
n=0 an (x − x0 ) and n=0 bn (x − x0 ) , converge
to f (x) and g(x) respectively for |x − x0 | < ρ where ρ > 0.

Then,
f (x) = g(x) ∀ x ∈ (x0 − ρ, x0 + ρ) ⇔ an = bn , n = 0, 1, . . . .

In particular,
f (x) = 0, ∀ x ∈ (x0 − ρ, x0 + ρ) ⇔ an = 0, n = 0, 1, . . .

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

Elementary operations on power series

Term by term addition and substraction is possible with
∞
X
f (x) ± g(x) = (an ± bn )(x − x0 )n ;
n=0

The formal product of the two series is also possible with

∞
X n
X
n
f (x)g(x) = cn (x − x0 ) , where cn := ak bn−k . (2)
n=0 k=0

This power series in (2) is called the Cauchy product.

In all cases the resulting power series converge for all
x ∈ (x0 − ρ, x0 + ρ) which is also the interval of convergence
for the power series of f and g.

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

Also if g(x0 ) 6= 0, then

∞
X
f (x)/g(x) = dn (x − x0 )n , (3)
n=0

where dn , n = 0, . . . , are obtained by equating coefficients on

both sides of
∞ ∞
! ∞ !
X X X
an (x − x0 )n = dn (x − x0 )n bn (x − x0 )n .
n=0 n=0 n=0

The series in (3) is convergent for all x ∈ (x0 − ρ̂, x0 + ρ̂)

where 0 < ρ̂ ≤ ρ.

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

Differentiation and integration of power series

Theorem: If f (x) = ∞ n
P
n=0 an (x − x0 ) has a positive radius of
convergence R, then f is differentiable in the interval
|x − x0 | < R and term-wise differentiation gives the power
series for the derivative:
∞
X
0
f (x) = nan (x − x0 )n−1 for |x − x0 | < R.
n=1

Furthermore, term-wise integration gives the power series for

the integral of f :
Z ∞
X an
f (x)dx = (x − x0 )n+1 + C for |x − x0 | < R.
n=0
n + 1

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

Example: A power series for

1
= 1 + x + x2 + x3 + · · · + · · · .
1−x
d 1
Since dx
{1/(1 − x)} = (1−x)2
, we obtain a power series for

1
= 1 + 2x + 3x2 + 4x3 + · · · + nxn−1 + · · · .
(1 − x)2
A power series for
1
= 1 − x2 + x4 − x6 + · · · + (−1)n x2n + · · · .
1 + x2
Rx 1
Since tan−1 x = 0 1+t 1
2 dt, integrate the series for 1+x2

termwise to obtain
1 1 1 (−1)n x2n+1
tan−1 x = x − x3 + x5 − x7 + · · · + + ··· .
3 5 7 2n + 1
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 Series Solutions of Second Order Linear ODEs

Convergent P
Power series is a Taylor’s series
If f (x) = ∞ n
n=0 an (x − x0 ) , with radius of convergence
ρ > 0, then clearly,
f (k) (x0 ) = k!ak , k = 0, . . . .
Hence,
∞
X f (n) (x0 )
f (x) = (x − x0 )n ,
n=0
n!
that is,
P∞ n
• the series n=0 an (x − x0 ) , is the Taylor’s series of f at
x0 ;
• f has a Taylor’s series expansion that converges to f (x)
for all x ∈ (x0 − ρ, x0 + ρ);
• f (x) = 0, ∀ x ∈ (x0 − ρ, x0 + ρ) ⇔ f (n) (x0 ) = 0,
∀ n = 0, 1, . . .
Such an f is said to be analytic at x0 .
SHB/SU MA-102 (2020)
 Series Solutions of Second Order Linear ODEs

Definition: (Analytic function)

A function
P∞ f is said to be analytic at x0 if there is a power
n
series P n=0 a n (x − x 0 ) about x0 and R > 0 such that
∞ n
f (x) = n=0 an (x − x0 ) for all x ∈ (x0 − R, x0 + R).
Some analytic functions and their representations:
• ex is analytic
P∞ xnat x0 = 0 as
x
e = n=0 n! in a neighborhood of 0.
• sin x is analytic at x0 = 0 as
(−1)n 2n+1
sin x = ∞
P
n=0 (2n+1)! x in a neighborhood of 0.
• ln x is analytic at x = 1 as
(−1)n−1
ln x = ∞ (x − 1)n , in a neighbourhood of 1.
P
n=1 n

Theorem: If f and g are analytic at x = x0 , then the functions

f (x) ± g(x), and f (x)g(x) are also analytic at x = x0 .
Further, if g(x0 ) 6= 0, then f (x)/g(x) is also analytic at
x = x0 .
SHB/SU MA-102 (2020)
 Series Solutions of Second Order Linear ODEs

Analyticity, Differentiability & Continuity

f analytic at x0 ⇒ f ∈ C ∞ (I) ⇒ f ∈ C (1) (I) ⇒ f ∈ C(I)

where I is some open interval containing x0 and C ∞ (I) is the

vector space of all continuously infinitely differentiable real
valued functions on I.

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

Shifting the summation index

The index of a summation in a power series is a dummy index
and hence
∞
X ∞
X ∞
X
an (x − x0 )n = ak (x − x0 )k = ai (x − x0 )i .
n=0 k=0 i=0

Shifting the index of summation is particularly important when

one has to combine two different power series.
Example:
∞
X ∞
X
n−2
n(n − 1)an x = (n + 2)(n + 1)an+2 xn .
n=2 n=0

∞
X ∞
X
3 2 n
x n (n − 2)an x = (n − 3)2 (n − 5)an−3 xn .
n=0 n=3

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

Adding two power series

Problem: Write Σ∞ n=1 2ncn x

n−1
+ Σ∞
n=0 6cn x
n+1
as one series.
In order to add the series, we require that both summation
indices start with the same number and that the powers of x
in each series be “in phase”;that is, if one series starts with a
multiple of x1 say, then we want the other series also to start
with the same power of x. By writing

Σ∞
n=1 2ncn x
n−1
+ Σ∞
n=0 6cn x
n+1

= 2.1.c1 x0 + Σ∞
n=2 2ncn x
n−1
+ Σ∞
n=0 6cn x
n+1

we have both the series Σ∞ n=2 2ncn x

n−1
and Σ∞
n=0 6cn x
n+1
of
1
the right hand side of the above equation start with x .

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

To get the same summation index, we let k = n − 1 in the

first series and let k = n + 1 in the second series. Thus the
right hand side of the above equation becomes
2c1 + Σ∞ k ∞
k=1 2(k + 1)ck+1 x + Σk=1 6ck−1 x
k

= 2c1 + Σ∞
k=1 [2(k + 1)ck+1 + 6ck−1 ]x
k

which is the required form (as a single series) of the sum of

the two given series.

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

Power series solutions to linear ODEs

Consider linear ODE of the form:

a2 (x)y 00 (x) + a1 (x)y 0 (x) + a0 (x)y(x) = 0, (∗)
Writing in the standard form

y 00 (x) + p(x)y 0 (x) + q(x)y(x) = 0,

where p(x) := a1 (x)/a2 (x) and q(x) := a0 (x)/a2 (x).

Definition: A point x0 is called an ordinary point of (∗) if both

p(x) = a1 (x)/a2 (x) and q(x) = a0 (x)/a2 (x) are analytic at
x0 . If x0 is not an ordinary point, it is called a singular point
of (∗).

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

Example: Find all the singular points of

xy 00 (x) + x(x − 1)−1 y 0 (x) + (sin x)y = 0.

Here,
1 sin x
p(x) = , q(x) = .
x−1 x
Note that p(x) is analytic except at x = 1. Also q(x) is
analytic everywhere (it has a convergent power series
expansion in a neighbourhood of x = 0.) Hence, x = 1 is the
only singular point of the given ODE.
Useful tip: If a2 (x), a1 (x) and a0 (x) are analytic for all
x ∈ S ⊆ R, then all points of S for which a2 (x) 6= 0 are
ordinary points of a2 (x)y 00 + a1 (x)y 0 + a0 (x)y = 0 in S. In
particular this applies when a0 (x), a1 (x) and a2 (x) are
polynomials.

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

Power series method about an ordinary point

Example Find a power series solution about x = 0 of
2y 00 + xy 0 + y = 0. (∗∗)
Seek a power series solution of the form
∞
X
y(x) = an x n ,
n=0

and then attempt to determine the coefficients an ’s.

Differentiate term-wise to obtain
∞
X ∞
X
0 n−1 00
y (x) = nan x , y (x) = n(n − 1)an xn−2 .
n=1 n=2

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

Substituting these power series in (∗∗), we find that

∞
X ∞
X ∞
X
n−2 n
2n(n − 1)an x + nan x + an xn = 0.
n=2 n=1 n=0

By shifting the indices, we rewrite the above equation as

∞
X ∞
X ∞
X
k k
2(k + 2)(k + 1)ak+2 x + kak x + ak xk = 0.
k=0 k=1 k=0

Combining the like powers of x in the three summation to

obtain
∞
X
4a2 + a0 + [2(k + 2)(k + 1)ak+2 + kak + ak ]xk = 0.
k=1

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

Equating the coefficients of this power series equal to zero

yields
4a2 + a0 = 0
2(k + 2)(k + 1)ak+2 + (k + 1)ak = 0, k ≥ 1.
This leads to the recurrence relation
−1
ak+2 = ak , k ≥ 1.
2(k + 2)
Thus,
−1 −1
a2 = a0 , a3 = a1
22 2·3
−1 1 −1 1
a4 = a2 = 2 a0 , a5 = a3 = 2 a1
2·4 2 ·2·4 2·5 2 ·3·5
··· ···

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

With a0 and a1 as arbitrary constants, we find that

(−1)n
a2n = 2n a0 , n ≥ 1,
2 n!
and
(−1)n
a2n+1 = a1 , n ≥ 1.
2n [1 · 3 · 5 · · · (2n + 1)]
From this, we have two linearly independent solutions as
∞
X (−1)n
y1 (x) = x2n ,
n=0
22n n!
∞
X (−1)n
y2 (x) = x2n+1 ,
n=0
2n [1 · 3 · 5 · · · (2n + 1)]

where both have infinite radius of convergence.

SHB/SU MA-102 (2020)

 Series Solutions of Second Order Linear ODEs

Hence the general solution is

y(x) = a0 y1 (x) + a1 y2 (x)

which also converges for all x ∈ R.
Remark. Suppose we are given the value of y(0) and y 0 (0),
then a0 = y(0) and a1 = y 0 (0). These two coefficients leads to
a unique power series solution for the IVP.
Example. Find a power series solution for y 00 + y = 0 about
x = 0.
The answer is y(x) = a0 y1 (x) + a1 y2 (x) where
∞ ∞
X (−1)n x2n X (−1)n x2n+1
y1 (x) = and y2 (x) = .
n=0
(2n)! n=0
(2n + 1)!

Clearly y1 (x) = cos x, and y2 (x) = sin x for all x ∈ R, which

is also known by other methods.
SHB/SU MA-102 (2020)
 Series Solutions of Second Order Linear ODEs

Theorem: Let x0 be an ordinary point of the differential

equation
y 00 (x) + p(x)y 0 (x) + q(x)y(x) = 0, (1)
Suppose that the power series expansions of p(x) and q(x)
about x = x0 have radii of convergence R1 > 0 and R2 > 0
respectively. Let R = min{R1 , R2 }. Then
n
X
y(x) = an (x − x0 )n = c1 y1 (x) + c2 y2 (x)
i=0

is a solution of (1) where c1 , c2 ∈ R and y1 (x) and y2 (x) are

both power series solutions about x0 satisfying
y1 (x0 ) = 1, y10 (x0 ) = 0, y2 (x0 ) = 0, y20 (x0 ) = 1.
Moreover, the radius of convergence of the power series y(x)
is at least R.
SHB/SU MA-102 (2020)
 Series Solutions of Second Order Linear ODEs

Corollary Suppose x0 is an ordinary point of

y 00 (x) + p(x)y 0 (x) + q(x)y(x) = 0.

For arbitrary constants a0 and a1 , there is a unique solution of
the equation in power series form about x0 , that satisfies the
initial conditions y(x0 ) = a0 and y 0 (x0 ) = a1 with a radius of
convergence that is at least R, where R is as defined in the
previous theorem.

SHB/SU MA-102 (2020)