Chapter 3 SECOND ORDER DIFFERENTIAL EQUATIONS 3.1 Ordinary and Singular Points By the method of separation of variables a partial differential equation is reduced to a number of ordinary differential equations. In a large number of cases in physical problems, the equations thus obtained are second order, linear differential equations. In this chapter we shall study the methods of solution of ordinary, homogeneous, linear, second order differential equa- Fee ee iene lave the moore! form of ths gestion as #& +2 + ony =0 on where, P(x) and Q(x) arc known functions of x. Any second order, homo- geneous, linear differential equation can be put in the above form by division by suitable factors. ‘A second order linear differential equation bas two linearly independent solutions. Two solutions y1 and yz are said to be linearly independenis if the. condition, ay + sya = 0 where, = and a arc constants, can be satisfied only by the choice « — 0, ez = 0. If y: and ya are two linearly independent solutions of (3.1), the genera! solution can be expressed as yran + an where, ci and c2 are arbitrary constants. ‘The point xo is said to be an ordinary point of the differential equation (3.1) if both P(x) and Q(x) are analytic at x = xo. If cither P(x) or Q(x) or both fail to be analytic at x = xo then x» is called a singular point of the differential equation. If x is a singular point such that both lim (x —29)P(x) and lim (x — x9)'Q(x) are finite then xo is said to be a regular singwlar point of the above equation. If either of these limits is infinite then xo is called an trregular singular point.SECOND ORDER DIFFERENTIAL EQUATIONS 61 The above classification is necessary because the nature of the solution depends on whether the point is an ordinary point or a regular singular point. Let us consider some examples of various kinds of singularities. Example 1, In Chapter 2, we encountered the equation @R | dR pr pr + PGS + GP — mR = 0 (2.58) By a change of variable x = qP and also replacing R by y, the equation ‘ean be put in the form 24 Bt Ot my m0 62 This equation is known as Bessel’s equation ‘Ihe equation is brought to the standard form (3.1) by dividing it by x2. 1 B+ i8s (1-9 =0 63) so that, POs) = +, and Q(x) = 1 — 2. x= 0 isa singular point of the equation because both P(x) and Q(x) tend to infinity as x > 0. To decide whether x = 0 is a regular singular point, we note that i 1 i me ligep =! and tig e(1 3) =m Since both these limits are finite, x = 0 is a regular singular point of Bessel’s equation. ‘The definitions of singular points given earlier apply only if the point Xe in question is a finite point. In some applications it may be necessary to know the nature of the singularity of a differential equation for the point at infinity, To decide that we have to first transform the given equation by a change of variable & = -L and then find the nature of the singularity of the resulting equation for the point, § = 0. Example 2. Let us consider the nature of the singularity of Bessel’s equation (3.2) for the point at infinity. By” changing the variable to f= 1 we can write B- 9 8--59--09 &-4-48)-34- S4Q8 ~ 2+ oe62 MATHEMATICAL PHYSICS Substituting the above expressions for the derivatives in (3.3), one gets 1 oh + 09+ (g- myo or, +494 (5-Fp-0 G4) ‘The point at infinity for the original equation (3.2) corresponds to the point & — 0 for equation (3.4) for which Fé) — and = a -F Both P(é) and Q(é) become infinite at € = 0. Also, tim €P(€) = 1, but tim PQ > co, Thos € — 0 is an regular singular point of the equation (3.4), and hence the point at infinity is an irregular singular point of Besse!'s equation. Example 3. As another example consider the singular points of the equation, o-nSt-mge (i Bap-0 an This equation is known as associated Legendre equation and was obtained in Chapter 2 (Eq. (2.59)] in separating Helmholtz and Laplace's equation in spherical polar coordinates. Following the notation adopted in this chapter, the unknown function is now denoted by y and the variable is changed to x. Dividing (3.5) by (1 — x%), one gets 2x a to &- Ea8+ (iAa-7Ss-0 80 In this case. 2 a m Peed 08) a The points x-= +1 are the only singularities of P(x) and Q(x). Therefore all other (finite) points are ordinary points of the differential equation, Also, tim (& — 1)P(3) = 1, and lim Ge — 179) = 72. Thus, x = 1 is bs s a regular singular point. Similarly x = —1 is a regular singular point of the differential equation (3.5). 3.2 Series Solution Around an Ordinary Point We shall seek a general solution of the equation (3.1) in the form of a power series. An expression of the form, yo E cle — xy G7 is a power series around the point xe. Some power series may be expressedSECOND ORDER DIFFERENTIAL EQUATIONS 63 in terms of well-known functions. For example, the following series around the point, x0 = 0: zs yu bo whe F tie: is just the exponential function y = e~*. However, in general, a series will not be expressible in such a compact form. If xo is an ordinary point of the differential equation (3.1), a solution in the form (3.7) exists. Fhe unknown coefficient ¢, can now be determined by ‘substituting in the equation and by comparing the coefficients of various Powers of (x — xe) from both sides. We illustrate the technique by an example. Example 4. Consider the differential equation, ay Y = Fo +x % + 2y=0 G8) x = 0 is an ordinary point of this equation, We assume that y= ow G9) isa solution. Then, Be Fawr G.10) yf = xe? and, Ga 7 Zo — De G.I) Substituting (3.9)—(3.11) in the differential equation (3.8) we get E ony — ist? +2 F owe +2 F ox =0 @.12) im si m7 2 The first two terms of the series 2 ew(v — I)x"-? are zero. Therefore, it can be rewritten as z emt — Dat = B evailo! + 2K0" + Det (3.13) where, v = ¥— 2. In the right hand side of (3.13), v is a summation index and we can rename it v. Thus E oul — tet = E easly + Mv + Dt G.14) = mo Substituting in (3.12) and grouping together terms with the same power of x, E louse + 20 + 1) + 2olv + Diet = 0 G15) Since (3.9) is assumed to be a solution of the given differential equation,64 MATHEMATICAL PHYSICS (3.15) is an identity. Therefore the coefficients of various powers of x on both sides must be equal. Since the r-h.s. is zero, these coefficients must all be zero. Equating the coefficient of x" to zero, we get Casa = -gine (3.16) Equation (3.16) expresses the coefficients of a higher power of x in the series (3.9) in terms of the coefficients of a lower power. Such a relation is known as a recurrence relation. Since (3.16) connects Cu+2 tO Ce, the cocfi- cients of all the even powers can be expressed in terms of ce and the coeffi- cients of the odd powers can be expressed in terms c1. At the end, co and ¢; will remain as two undetermined constants in the solution. Thus. =- =Xae=u—-X a 0, 64 = Sh te r+ ete and, a= —dae= Fea =e so that the solution of (3.8) is given by yea(i-7+3-H+...) 24,25 2 ta(x-3e+ Ze - Fovt.. ) yrartta(x-fet+ Feat...) Gn In the example considered above the recurrence relation involved only two coefficients cosa and cs. This need not always be the case. In the follow- ing example one obtains a three term recurrence relation. Example 5. Consider the differential equation sie sie #2 40-20 Gun where, 4 is a constant. This equation occurs in quantum mechanics and is the Sche8dinger equation for a one-dimensional harmonic oxcillator, The energy, V of the oscillator is given by mots? and the Schrodinger ‘equation (2.9) cin be written as Se) (3.18) By a change of variables x = /72* , this is reduced to SR + 0-2-0 3.19)SECOND ORDER DIFFERENTIAL EQUATIONS. 65 where, A= E/fw, Equation (3.19) is identical with equation (3.17), where the variable has been changed to x and the unknown function to y. In solving (3.17) by the power series method, we observe that x = 0 is an ordinary point of the differential equation. We therefore assume a solution of the form y= E ont (6.20) Differentiating and substituting in (3.17), we obtain z i 2 = — = 2 me E cote — art +a Bont — E oat =o 620 The first term in the Ih.s of (3.21) can be rewritten as Ez corals + 20 + Da” Thus, . E lowly + 2X0 + 1) + dese - E esx? = 0 22) In (3.22) equating the coefficient of x" to zero, we, get caval + 2N(n + 1) + dea ~~ C2 = 0 6.23) 02m Unlike the recurrence relation in the earlier example, the relation (3.24) involves three coefficients of the power series. However, this does not pose any serious problem. Putting n = 0, 1, 2, etc. in (3.24), we get a= SS ero ont (r=) 3 oo x a=aqt qe a, & = a5 t Ht and all the other coefficients in the power series (3.20) can be expressed in terms of the coefficients co and 1. 3.3 Series Solution Around Regular Singular Polat: The Method of Frobenius Does equation (3.1) have a series solution of the form (3.7).if xa is a regular singular point? A little thought will convince us that the answer, is, in general, in the negative. From (3.1) $F = -2 2 - Quy 62566 MATHEMATICAL PHYSICS If there is. solution of the form (3.7) arouad xe, y is analytic at xo and sonre & and $3. The 1h.s. of (3.25) is analytic at x = xe, but in the rhs., either P(x) of Q(x) or bath fail to be analytic at the same point, ‘because xe is a regular singular point. The r.h.s. will not, in general, be ‘apalytic at x= xe. Since this is a contradiction, we conclude that a power series solution of (3.1) having the form (3.7) is not, in general, possible, if zis a regular singular point. But it is still possible to have a solution in the form of an infinite series around x = xo where some of the powers of (x — 2a) are negative or fractional. This is the motivation behind the method of Frobenius in which it is assumed that for xs, a regular singular point, the solution of the equation (3.1) has the general form y= Bele- mw, ono 6.26) where, © is a constant to be determined. The lowest power of (x — %e) in (3.26) is (x — x2), and since « can be negative or fractional, y is, in general, not analytic at x = xs. The method of solution is similar to that for an ordinary point except that « has now to be determined. Example 6. Let us solve Besse!'s equation by the method of Frobenius 2% 4 2B + (2 — my =0 G2 x = 0 is a regular singular point of the differential equation and we assume a solution of the form y= z cx’, (co # 0) (3.27) ‘Therefore, % - z, ody + axon (@.28) and, Sh ZF ole tte ners (3.29) Substituting Eqs, (3.27)-(3.29) in equation (3.2), we get Bote +e ta — meet F ode + oe + EF avr — mt Bae =o 6.0) & a Since (3.30) is an identity, the coefficient of each power of x must be zero. Equating the coefficient of the lowest power of x to zero, one obtains * eon(a — 1) + gt — rey = 0 or ele? — m2) = 0 31) Since, 40, &—m=0 or «=4m 32) ,SECOND ORDER DIFFERENTIAL EQUATIONS 67 Equation (3.32) is the equation determining the index «. This equation is known as the indicial equation. From (3.30), we can also get the recurrence relation by putting the coefficient of the general term x*** to zero. Thus calm + ain + & — 1) + ene +o) + Coa — mie, = 0 Cano oe a” -Grhoe (3.33) Changing n to n + 2 on both sides of (3.33), we get ‘ 8 ETE a 8 Equation (3.34) is the recarrence relation which can be used to express all the coefficients ca with even n in terms of co and all the coeflicients with odd nin terms of of ci. In (3.30), by putting the coefficient of x**# to zero, one gets el +a)e + c(t + 2) — mn = 0 or, ail(l + @? — ne] = 0 6.35) Since, « = tm, (1 + a)? — m? 9 0, and therefore c1 = 0*. The recurrence relation (3.34) then implies, cs = cs =... = caus = 0, in the solution (3.27) there is no term with odd values of v. Corresponding to two values of « we may expect to get two solutions. Case I: & = +m ‘The recurrence relation (3.34) can be written as oe Ga — OF Dn + Im 2) G38) This gives, ae - A2m + 2) - +1 = — Amt) Pim +2? (3.37) where, Mm) is the gamma function (Sec. 5.8). Similarly =~ ga Piay = a = ey 338) _ and, a= (IF att ae (3.39) ‘iim = This case Eb In this case (1 + a} — mn? = Oife s to be considered separately. Hand e,need not be zero,68 MATHEMATICAL PHYSICS ‘The solution corresponding to « = m is therefore given by r Tim +0 nek om sate ea ep Case 2: «= —m For 2 = —m, we can formally proceed as before and arrive at the solution 2s —m +1) - nis 20m make eee OAD But, if | m| > 1,(—m + 1) is negative and gamma function for a negative argument is not defined! (Chapter 5) This difficulty can be ‘bypassed by extending the domain of definition of the gamma function by using the property Ta + 1) =aT@) (3.42) meta) EB My pve The difficulty persists however, if m is an integer (> 0). In that case, _Mom+2)_ —m + 3) Romy = cao = CR emt Wem ey OM)” But from (3.42) with n = 0 oro) =M)=1 or I(0) > & and F(—m + 1) > ©. The solution (3.41) is therefore valid when m is not an integer. We shall come back ta the case when m is an integer later. ad Fae eHa) OHO Jndx) is known as Bessel function. in terms of these functions, the solutions (3.40) and (3.41) are given by n= Jalx) 3.45) and a = Jad) (3.46) where; we have made the choice 1 24 ome Sore | (OAD If y: and ya are linearly independent, the general solution of (3.2) is given by Y = Cidax) + co —nlx) (3.48)SECOND ORDER DIFFERENTIAL EQUATIONS 69 This brings us to the crucial question: Are y: and ys linearly independent? Tf m = 0, obviously they are not. If, m is an integer, again they wre not linearly independent. We have seen earlier that if m is an integer, the second solution corresponding to « — —m cannot be written in the form (3.41). In that case, the recurrence relation takes the form (n+ Xn — Im + eos = — te (3.49) Putting » = 2m — 2, can-2 = 0, Now successively putting n= 2mr— 4, 2m — 6, etc. we get Cam-4 = 0, Cm6 =0,..,0=0 For n > 2m — 2, the recurrence.ralation (3.49) can be used to yield, Ses com Omt2 = — Gin 20m — Im F 2) on *~ Gn $1 =— oe Som Cm — Fin + 4 Pee am PD and, ee : conan (

Kes:). The second solution in this cate is given by yx) = Aya) nx + z ante (3.83) (Example 9). In some special cases, the constant A may be zero. The above results can be used to get a second, linearly independent solution if the first solution, y:(x) is known. Thus, if the two roots of the indicial equation differ by an integer, we can assume a solution of the form (3,83), The unknown constants can be determined by substitution in the differential equation and equating coefficients of different powers of x to zero. Example 10. As an example consider the differential equation x BA +ty=0 (3.84)‘SECOND ORDER DIFFERENTIAL EQUATIONS 75 Since, x = 0 is a regular singular point, we assume a solution of the form y= E ext (3.85) 0 Substituting in the equation, one obtains E ody anv + a— parents F ore = 0 (3.86) Equating the coefficient of x*-' to zero, we get the indicial equation, le — 1) =0 (3.87) or, «20,1. ‘The roots differ by au. integer. Choosing the larger of thetwo roots («= 1), the recurrence relation is obtained by putting the coefficient of x**! to zero: case + n+ D+ on = 0 (3.88) =- oe oH — Ge Dee 1) From this one obtains the solution, mall wig ad n@)=o(s-$84 Fe - ay tt.) (3.89) Since the roots of the indicial equation differ by an integer; we assume the following form of the second solution: wi) = an) ine + Ed 3.90) (cf. ea. (3.83)] Binet ade = dyoxt— @sp an _ an 1d a en oe + E aay ye G92) Substituting (3.90)-(3.92) in the differential equation (3.84), we get 4 (»4+ n)inx +242 — an + Baw —net+ Bae =o (3.93) Since y1 is a solution of the equation (3.84), the first term in the Lh.s of (3.93) is zero, Therefore,76 MATHEMATICAL PHYSICS 24 ody + Ix? — AE ont + E dy — xr a ae & + Ed =0 @.94) * where, we have substituted 1 = ZZ oat In (3.94), equating the coefficients of x®, x!, x?, . .. to zero, one obtains xt: Aco + do= 0 > do = — Aco 3.95) x! 3Aer + 2h + di = 0% 2h +h = — BAe G.96) x Sha t 6b +h =0> 6h + h= — Sha 6.97) ‘The constant A in (3.90) is an overall constant and can be put equal to one. The constants &, ds... etc. can now be expressed in terms of di and the known coefficients cv, Thus, = — 0 Therefore, pla) = yi Inx— eo +d + (~ $4 fa)# +(4 x x enix-a(r- $43...) = xo)" + wa(t-3e4Ze4...) a 3 1 = ninz—4 yey o(1- pte Zoe -) (3.98) A simpler second, linearly independent solution is obtained by dropping the term proportional to yi(x) in (3.98): pia) = ine — oo (td at+ ger ) (3.99)SECOND ORDER DIFFERENTIAL EQUATIONS 77 3.6 Systems of Linear, First Order Differential Equations A system of linear, first order differential equations has the form BE = aux + ame +... + ate BE ays + anes to. + aan Se aun + aan t... + ante (3.100) ‘where, in general, ay’s are functions of 1. The importance of such systems ‘of equations is related to the fact that the general n® order linear equation. (3.101) ax a Px ee can be written as a system of A linear, first order differential equations. ‘This can be done 2s follows: Let, x1 = x and let us define dn _ de ee agg dt “a ae ee 3.102) = Sex a at Ce ere) @.103) ‘The set of first order equations (3.102) together with (3.103) is equivalent to (3.101). The set (3.102) and (3.103) constitute a special case of (3.100). If the coefficients ay(¢) are continuous in a given closed interval, the system (3.100) has a unique solution satisfying the initial conditions: alte) = x2, xalte) = x, . . . xelfo) = xf in that interval. For the rest of the discussion, we shall consider a set of equations in only two variables: 2 aud + adn G10)78 MATHEMATICAL PHYSICS 2m axle + axl (3.1046) The set of equations (3.104) will, in general, have more than one solution. Different solutions will be distinguished by superscripts: x1”, x1”, etc. Definition Two solutions 340 (1)= C4), Xo) and 3) = (xPX(0), 2X0) are said to be linearly dependent if there exists constants ci and ¢2 not both zero such that eX) + co 2%) = 0 (3.105) Equation (3.105) implies P= k 1) oral) = ea xP = kx") PO) = eA) (3.106) for some constants k and k’, for all values of 1 in a given interval. Otherwise . the two solutions are said to be linearly independent. If (1) and X%(4) are two solutions of (3.104) then it can be easily verified that (0) = cix'i) + ex 3041), where cx and o> are arbitrary constants, isa solution of (3.104). If x0) and x1) are linearly inde~ pendent solutions, then 0 is the general solution of (3.104). ‘Systems of Linear First Order Equations with Constant Coefficient If, in Eq. (3.104) a(t) are independent of 1, the solutions of the set of equations can be found by assuming a trial solution of the form x1 = «e™, xa = Be*, where @, B and A are constants to be determined. Substituting in (3.104), we get (au — Aja + anB = 0 ane + (an — B= 0 (3.107) The set of equations (3.107) has a nontrivial solution for « and 6 (a trivial solution is the one with « = 0, 6 = 0) if and only if the determinant of the Coefficients vanishes: au— a an |=0 (3.108) an amas Since the coefficients a11, ai2 etc. are known, the quadratic Eq. (3.108) can be solved to obtain A. Substituting the valucs of A, =, and f can now be determined from (3.107). It is evident that only the ratio of « and can be obtained this way. Therefore either « or B can be chosen arbitrarily.SECOND ORDER DIFFERENTIAL EQUATIONS 79. Let us assume that the two roots 4; and 4; of (3.108) are not equal. Then 0 = (ae, Be and x = (axe, Boe) are lineatly independent. Proof: If possible assume that x and x are linearly dependent. Then either 2 = Kx of 0 = WX, 1fK0 = Kx, we have aie = hese” and Pre = kfc or, ay = kaze and B: = kPrer ry @.109) The right hand sides of (3.109) are functions of r but the left hand sides are not. This is postible for arbitrary values of tif (1) ke, ~ 0 and kPa = 0. This leads to «; = 0 and f, ~ 0. But both « and A; cannot be zero because then we have a trivial solution. (2) If 2 = As. This again is a contradiction because we have already assumed that Arf As. Thus the original assumption that x) and x are linearly dependent is not valid. Since the two solutions x” and x, in the case A: + J: are linearly independent, the general solution is given by ¥ = cix! + e2 3, cv and cx being arbitrary constants. IfA, = As, 2) and x are linearly dependent, In this case, if x0. = (c1e™, Bie) is one solution, one might expect that a second linearly independent solution would be HO) = (aite, Bite™) (3.110) But though x(¢) and x°"(t) are linearly independent, x(¢) ir not a solution of (3.104). Thus a = auhe™ + aes da and, Se = Bute! + Bret Gm) Since, 1 = (ae, Bre) is a solution, we have she! = ance’ + anBrest and, Bie = ance’ + ante oir) Multiplying (3.112) by ¢ and substituting in (3.111), one obtains & = aux +anm tare 22 eum tone + Bre 0.113) showing that x = (axte™, Bie™) is not a solution of (3.104),80 MATHEMATICAL PHYSICS A second linearly independent solution in this case has the form x1 = (2 + asset x2 = (Ba + Brtle (3.114) ‘The constants a2, «), P2, Bs are determined by demanding that x: and x2 are solutions of (3.104), In the following, we discuss some examples of ‘systems of linear, first order equations with constant coefficients. Example 11 én a =m # = 45-20 115) We assume a solution of the form x) = ee, 2 = fe¥. Substituting in (3.115),-we have (—de+ pmo 4a— (2+ 98 =0 3.116) (3.116) has a non-trivial solution, if 1-a 1 =0 ei aU 4 -2-A This gives A = — 3, 2. Putting \ = — 3 in (3.116) one gets B = — 4a, Similarly with A = 2, one obtains « = A. The two linearly independent solutions of (3.115) are thus 2) = (e-™, — 4e-™) and 3 = (e, 2, where we have put « = | in both cases. Example 12 Sn su + on dey at Assuming a solution of the form x: = a2’, x2 = fe and substituting in (3.118), one obtains m+ (3.118) G-Awt+ =o —e+(1— m0 .119) ‘The equation determining A is therefore Por al =0 (3.120) -! 0 and x w wx, -> co indicating that the curves meet the x-axis at an angle #/2 at such points. Equation (3.132) can be integrated to obtain tot -fonxae 3.133) where, c is a constant. Different trajectories are obtained for different values of the constant. From (3.133) yuk? Jet feox (134) Now three different situations can arise. ()) ¢ < g/l. In this case, starting from x = 0 as x increases y decreases and attains the value zero, Beyond this point ¢ + 4 cos x < Oand y becomes imaginary, Therefore after y becomes zero, the system will retrace its path. The motion is periodic and the corresponding curves are closed. (2) ¢ > gil. In this case x can change continuously. y will change periodi- cally. The curves are not closed. (3) ¢ = g/l. From (3.133), we obtain with ¢ = g/l tpn = cos X ZF EG + co =F cost 5 or, yo 2 | cos (3.135)4) maTHEMATICAL PHYSICS In this case also the curves are periodic but not closed. Of particular impor~ tance are the points — y— 0 and — 0. Since both velocity and acceleration are 2ero, these are points of equilibrium. For the simple pen- dulum problem these are the points, y = 0, x = nz. If n is even and the system is slightly displaced from the equilibrium point: x = mr + 4x, we have from (3.1310) 4% =— £ sin dx. The force is in the opposite direction as the displacement. The equilibrium is stable. However, if n is odd, & — +£ sin dx. The force favours the displacement and the equilibrium is unstable. The curves (3.135) corresponding to the case ¢ — -4 pass through these points of unstable equilibrium. The conclusions drawn from the analysis of (3.1318) and (3.131) are summarized in Fig. 3.1. Fig. 3.1 In general, we shall be interested in sets of equations of the form $=» (3.1366) 2-1» (6.1368) where, P and Q are continuous and have continuous first partial derivatives throughout the xy-plane. ¢ is to be treated as a parameter. For a mechanical system, it is the time variable. A system of equations of the form (3.136) in which the independent variable ¢ does not occur in the functions P and Q on the right hand side, is called 2n autonomous system, It can be shown that the system of equations (3.136) has a unique solution, x = f(t), y = g(t) satisfying the condition x(t = t) = xe and (1 = h) = yo.SECOND ORDER DIFFERENTIAL EQUATIONS 8S It is convenient to indicate the interdependence of x and y plotting y against x. This plane is called the phase plane. If f(t) and g(t) both are not constant functions, x = f(t) and y = g(t) are the parametric equations of some curves in the phase plane. These curves are called paths or trajectories. On each trajectory an arrow can be put indicating the direction in which the point moves with increasing ¢, Although ¢ does not appear explicitly in a phase diagram, the change in f as one moves from A to B along path C in the phase plane can be calculated as follows: [ie [arte [te-[¢ om It is clear from the example discussed earlier that other important infor- mation regarding the nature of solutions can be obtained from phase dia- grams. A point (xo, yx) for which both P(xe, yo) = 0 and (xo, yo) = 0 (3.138) is called a critical point. For a riechanical system, t is the time variable and these are points for which both the velocity and the acceleration are zero. For such systems, the critical points are the points of equilibrium. A critical point will be called isolated if a circle around it can be drawn such that no other critical point lies inside the circle. Eliminating ¢ between (3.136a) and (3.1366), we get +») z = gen 3.139) Except at critical points (for which both P and Q are zero), (3.139) gives the slope of the trajectories at (x, »). By solving (3.139), a one-parameter family of curves is obtained which give the trajectories. Example 14 For the system, fasy =e-y the critical points are given by x = y? and x? = y. This gives x* = x or x(x3 — 1) = 0. The real critical points are x = 0, y = Oand x = 1,y=1. The trajectories are obtained from the equation g-2-2 z-¥ or, (3 — y)de + GF — x) dy =0 or, a(§-7 +%)-0 Thus, x? — Ixy +? = c gives the trajectories.86 MATHBMATICAL PHYSICS Defnition If x = x(t) and y = y(¢) is @ path and xo, yo is a critical point such that Yim x(¢) = xo and tim J) = yo, then the path is said to approsch (xo, yo) BIO, Definition Ifa path x = x(0), y = »(¢) approaches a critical point (xv, yo) such that lim 27}—2 exists or it becomes infinite, thea the path is said to enier the critical point. Instead of the limit 1 -> «0, depending on the problem, the limit ¢-> —co may also be considered. The above terminologies will be needed in the classification of critical points given below. Node: A node is a critical point which is approached and entered by cach path as > + © (ort -» — 0), Examples of nodes are shown in Fig. 3.2(a) and 3.2(b). 7K Fig. 32 ‘Saddle point: A saddle point is a critical point which is approached and entered by two half lines as -> -+ co and two half lines at 1-» — ©. No other path approaches this critical point (Fig. 3.3). Centre: A centre is a critical point which is surrounded by closed paths. Such a critical point is not approached by any pathas f-> + 00 or¢—> — ©, (Fig .3.4). Spiral: A spiral is a critical point which is approached by a family of paths but are not entered by them as ¢—> + 00 or t-> — ©. These paths go around the poi infinite number of times and come closer and closer to it as t-> + 00 or t+ — © (Fig. 3.5).SECOND ORDER DIFFERENTIAL EQUATIONS 87 Pig. 33 Fig. 34 Fig. 3.588 MATHEMATICAL PHYSICS ‘We can also consider the stability of a critical point in a phase diagram. If, on @ slight, arbitrary displacement from a critical point, one falls on curves which are either closed around the critical point or which bring one back to it, then the critical point is stable. If, on the other hand, a small, arbitrary displacement brings us to a path which leads away from the critical point then the critical point is unstable. In Fig. 3.1, E and £" are unstable critical points. The critical points in Fig. 3.2(a), Fig. 3.4 and Fig. 3.5 are stable while those in Fig. 3.2(b) and Fig. 3.3 are unstable. Linear approximation £ = Plx, y) (3.136a) I= Ox, ») (3.136b) Expanding P(x, y) and Q(x, y) around the critical point (xo, yo) we get § ms Ete, whe — x0) + F (xe, ay — 0) + (3.140) 9B (xo, Ke — 20) + 2 Om, wy — 9) +. where, terms proportional to highes powers of (x — xo) and (y — yo) are neglected. If the origin is shifted to (xo. yx), Eqs. (3.140) become, & = ax + by . poaxtdy 3.141) where, a = 00,0), 6-H, 0, «= Leo, a Ho. ©). Under certain conditions the critical points of the non-linear system (3.136) are of the same type as those of the linearized system (3.141). It is therefore useful to study the critical points of the linear system. ‘The system of linear equations (3.141) can be solved by the substitution. x= ae, y= Bet, where A is given by the solution of the equation (Sec. 3.6). ana 6 ¢ d—a IfA, and a; are the two roots of (3.142) and a; 9 As, the general solution of (3.142) is given by | =0 (3.142) x= craye + cyze™ y= cBieY + cofre (3.143) The slopes of the trajectories are given by g = $= abihett + aioe au cine + cate ‘ The nature of the critical points depends upon the roots A; and 42. We listSECOND ORDER DIFFERENTIAL EQUATIONS 89 below the various possibilities along with the nature of the corresponding critical points. Nature of the critical point 1. Ar and are real, (a) distinct and of the same sign node (0) distinct and of opposite sign saddle point (©) equal node 2. Avand 2 are complex, (a) and not pure imaginary spiral (b) pure imaginary centre ‘We shall discuss only cases 1(a) and (b) and leave the rest as exercise. I(a). If Ar < Aa < 0, from (3.143) x and y -» Oas 1-> + @. Also from (3.144), ct, c2 #0 de latins tobe, Bay joe In the special case ci = 0, 2. 2 and the path isa straight tne, Simarly if ca = 0, & = #1 and we have another straight line. From (3.143). we see that in the last two special cases, x and y do not change sign since the fac- fors e” and e™ are never negative. Thus the straight lines are half lines ex- tending from the origin to infinity. All the paths approach (0, 0) as > © and all of them enter the point. The critical point is therefore a node Fig. 3.3(a)). If Mr > d > 0, x and y->0ast—> — 0. If anna RoR wren Similatly the special cases corresponding to ci = Oand cn = 0 are straight lines of slopes 2 and & respectively. The critical pol is again a node but the difference with the previous case is that the paths now lead away from the critical point indicating that the critical point is an unstable one. 1(b) If Ar < 0 and a: > 0, it follows from (3.143) that all paths do not approach the critical point as ¢—> 00 or ¢-> — o. If, however, c2 = 0, x yr 0a t+ co and we have & = £ corresponding to two half lines. Iter = 0, x,y > 00st — 0, g-% Be and again the paths are half ines starting from the origin, The critical point i in this case is a saddle point Fig. 3.3).90 MATHEMATICAL PHYSICS EXERCISE-3 1, Find the finite singular points of the following differential equations and determine the nature of the singularities: w d- 98-2240, n= integer (Chebyshev equation) © *Bra-oksgao @ = constant (Laguerre equation) © we-DZ + tat ox-a +a =0 a, b, ¢ are constants (Hypergeometric equation) @ xZ+e-v-a=0 ¢, @ are constants (Confluent hypergeometric equation) 2. In each of the above cases, investigate whether the point at infinity is a singular point. In case it is, find whether it is a regular singular 3. Obtain two linearly independent solutions of the following equations: (a) x —xw=0 (Airy equation) © B-2¥+ 2-0 ~(Hermite equation) n= integer 4. Find one solution of the following different.al equations by the method of Frobenius: w a-9 Bae +Kl+ Dy=0 (Legendre equation) 1 = positive integer. © »+- 22-0 © i +0-nF+y~0 where, nis an integer. © 4-0 + tet oe aZ tay no @ 0-98-24 ry=0 around the point x — 1; n is an integer.SECOND ORDER DIFFERENTIAL BQUATIONS 91 . Solve completely Besse’s equation (3.2) with m = Sh +2B+ (e-fp-o }. In examples 8 and 9, the second solutions of the equations @ 2 342+ xyn0 ) i+ r£+o2-ny=0 were obtained by using the Wronskian. Now obtain the second solu- tions by the alternative method described in section 3.5. Are the solutions thus obtained identical to the ones obtained carlicr? If not, explain. |. Find a second linearly independent solution of the equations in 4(b) and 4(d). ‘The differential equation (2.55) nit 2B amo was obtained in separating Laplace's equation in spherical polar co- ordinates. Suppose A = Xi + 1), where / is a positive integer. Use the method of Frobenius to show that r! and 7+”) are two solutions of the equation. Verify that'the solutions are linearly independent. ). It is sometimes possible to transform a givea differential equation to a well-known equation by a suitable substitution. Thus consider equation (2.42) obtained by separating Helmholtz equation in spherical polar coordinates: OR, aR , ei +aF + we — or =o Suppose A = A/+ 1), where / is a positive integer. By the substitution R(r) = 2(r)/(ke)}'?, show that the equation can be transformed to Bessel's equation of order (/ + 1/2). Hence find two linearly inde- pendent solutions of the original equation in the case / = 0. . In the examples considered so far P(x) and Q(x) in the differential equation Ry B+ ew¥ + auy=0 are ratios of simple polynomials. However, the infinite series method can be used if P(x) and Q(x) are arbitrary functions of x, such that Xo it an ordinary point. In such a case, to find a solution’ around xe, ‘one has to expand P(x) and Q(x) in a power series around xe. Use the method to find two linearly independent solations of the equation eB txkexyn092 MATHEMATICAL PHYSICS 11. The infinite series method can still be applied if P(x) and Q(x) are arbitrary functions and xo is a regular singular point. In this case first, the equation has to be rewritten in the form (= a BB+ 6 — x0 te — orc Z + — we QU = 0 Since, xo is a regular singular point, both (x— x0)P(x) and (x — xe'0() are analytic fanctions and can be expanded in power series around 2. Use the method to find two linearly independeat solutions of the equation 4 BES HA 12. If the point at infinity is a regular singular point of the differential equation ¥' + Plxly + Ox)y = 0, there exists an infinite series solution of the form © pipe y= Zo(3) ‘Show that for the Legendre equation 4(a), the point at infinity isa regular singular point, and obtain an infinite series solution of the above form. 13, If xo is an irregular singular point, there may or may not bea solution of the Frobenius type around xe. Consider the differential equation eBtaliwn=o and a, bare real and » 0. x = 0 is an irregular singular point. Try a solution by the method of Frobenius around x = 0 and show that there is one solution of this type. 14, Find systems of first order equations which are equivalent to the following differential equations: @ G+8-o=0 () Te sano © H+ rn¥ + Qox~0 15. Find the general solutions of each of the following systems of first order equations: @® Senin @ SantonSECOND ORDER DIFFERENTIAL EQUATIONS 93 @ Sentn Ben @ @entn Benin Bentn 16, For the following non-linear systems of equations, find the critical points and the equations of the .rajectories: @) Zexty, Bex-y a a ) Bmsiny, Bm cos (c) Fa-s, % = ny 17, Determine the nature of the critical points from the linear approxima- tions of the following non-linear systems: @) # = siny, Parte ) Be-ster-1, Yar-ew @ £-ye4+, 2--xw+n |. WE, Boyce and Richard C. Di Prima: Elementary Differential Equations and Boundary Value Problems, John Wiley and Sons, New York (1969). 2. PD. a N.J, Rose; Differential Equations with Applications, McGraw-Hill, New York (1968) 3 Seore F. . Simmons; Diferential Equations with Applications and Historical Notes, ‘Tata McGraw Hill, New Dethi (1974), 4. R.A. Struble: New-linear Differential Equations McGraw-Hill, New York (1962). 5. D,W, Jordan and P. Smith: Nomlinear Ordinary Differential ‘Clarendon Press, Oxford (1977).