Ordinary Differential Equations (Math 6302)

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Chapter 4
Series Solutions and Frobenius Method

Finding the general solution of a linear differential equation depends on determining a funda-
mental set of solutions of the homogeneous equation. So far, we have given a systematic procedure
for constructing fundamental solutions in terms of of known elementary functions when the equation
has constant coefficients. To find fundamental solutions for equations with variable coefficients it is
necessary to seek other means of expression for the solutions of these equations. The principal tool
that we need is the representation of a given function by a power series. The basic idea is to assume
that the solutions of a given differential equation have power series expansions, and then we attempt
to determine the coefficients so as to satisfy the differential equation.

4.1 Ordinary and Singular Points

Consider an nth-order linear equation

y (n) + a1 (t)y (n−1) + · · · + an (t)y = 0, (1)

where y = y(t) is an unknown scalar function and a1 (t), · · · , an (t) are real-valued functions and that
are continuous functions on an interval I = (r1 , r2 ).
(n−1)
As we have seen before, for any t0 ∈ I and constants y0 , ẏ0 , · · · , y0 , there exists a unique
solution y = y(t) of equation (1), which is defined on I and satisfies the initial conditions
(n−1)
y(t0 ) = y0 , ẏ(t0 ) = ẏ0 , · · · , y (n−1) (t0 ) = y0 .

However, in many applications the coefficients will have points of discontinuity and one of the
main questions is the behavior of the solutions near these points. This will be our topic.
Definition. (Analytic function)
We say that a function f (t) is analytic at t = t0 if it can be expanded as a sum of a power series of
the form ∞
X
f (x) = fn (t − t0 )n
n=1

with a radius of convergence R > 0.

Definition. (Ordinary and singular points of an nth-order linear equation)
(1) A point t0 is called an ordinary point of the differential equation (1) if a1 (t), · · · , an (t) are
analytic at t = t0 . Otherwise t = t0 is called a singular point or singularity of the equation.

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(2) A singular point t = t0 of the equation (1) is called regular singular point if

(t − t0 )j aj (t), j = 1, 2, . . . , n

are analytic at t = t0 ; otherwise it is called an irregular singular point.

Example. Find all singular points of the equation

t(t + 1)2 y 00 + (t − 2)y 0 − 3ty = 0

and determine whether each one is regular or irregular.

(t − 2) −3
Solution. The functions a1 (t) = and a 2 (t) = are analytic at every t ∈ R−{0, −1}.
t(t + 1)2 (t + 1)2
Thus, the singular points of the equation are t = 0 and t = −1.
(t − 2) 2 −3t2
The point t = 0 is a regular singular point since ta1 (t) = and t a 2 (t) = are
(t + 1)2 (t + 1)2
analytic at t = 0.
(t − 2)
The point t = −1 is an irregular singular point since (t + 1)a1 (t) = is not analytic at
t(t + 1)
t = −1.

Definition. (Ordinary and singular points of a linear system)

(1) A point t0 is called an ordinary point of the system

ẋ = A(t)x

if A(t) is analytic at t = t0 . Otherwise it t = t0 is called a singular point or singularity of the

system.

(2) A singular point t = t0 of the

ẋ = A(t)x
is called regular singular point if (t − t0 )A(t) is analytic at t = t0 ; otherwise it is called an
irregular singular point.

Example. Find all singular points of the system

ẋ = A(t)x

where  
1 t 0
A= 2 .
t (t − 1) 1 t−1

Solution. A(t) is analytic at every t ∈ R − {0, 1}. Thus, the only singular points are t = 0 and
t = 1.  
1 t 0
tA(t) = is not analytic at t = 0. Hence, t = 0 is an irregular singular point.
t(t − 1) 1 t − 1 
1 t 0
(t − 1)A(t) = 2 is analytic at t = 1. So, t = 1 is a regular singular point.
t 1 t−1

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Solution for large |t|
To study the solution for large |t|, that is near ∞, we have to determine if the point t = ∞ is
ordinary or singular point. To achieve this goal we use the transformation
1
s= ,
t
and transform the point t = ∞ into s = 0. The natural of the point t = ∞ is the same as that of
s = 0. Under the transformation
1
s=
t
the equation
ẋ(t) = A(t)x(t)
is transformed into the equation
 
d 1 1
x(s) = − 2 A x(s).
ds s s
Thus, the equation
ẋ(t) = A(t)x(t)
has an ordinary point at t = ∞ if
 
d 1 1
x(s) = − 2 A x(s)
ds s s
has an ordinary point at s = 0.
Solution of second-order equations about ordinary points
Many problems in mathematical physics lead to second-order equations of the form
y 00 + p(t)y 0 + q(t)y = 0,
where p(t) and q(t) are rational functions. For this reason we will consider second-order equations
in detail.
Example. Find a series solution in powers of t of the Airy equation
y 00 − ty = 0, t ∈ R.
Solution.
" ∞
# " ∞
#
X t3n X t3n+1
y(t) = c1 1 + + c2 t + .
n=1
2 · 3 · · · (3n − 1)(3n) n=1
3 · 4 · · · (3n)(3n + 1)
Theorem 1. (Solution about an ordinary point)
If t = t0 is an ordinary point of the equation
y 00 + p(t)y 0 + q(t)y = 0,
then the general solution of the equation is given by
y(t) = c1 h1 (t) + c2 h2 (t),
where hj (t) are analytic functions at t = t0 . Moreover, the radius of convergence of each series
solution hj (t) is at least as large as the minimum of the radii of convergence of the series of p(t) and
q(t).

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Cauchy-Euler equations of the second order
The simplest equation with a regular singular point at t = 0 is the Cauchy-Euler equation
p0 0 q0
y 00 + y + 2 y = 0, t > 0,
t t
where p0 and q0 are constants.
p0 q0
In this equation a1 (t) = and a2 (t) = 2 . Thus, ta1 (t) = p0 and t2 a2 (t) = q0 are analytic at
t t
t = 0. The solution of the Cauchy-Euler equation is typical of solutions of all differential equations
with a regular singular point. Therefore, it is useful to to study the solutions of this equation in
detail.
The transformation
w(s) = y(t), s = ln(t), t > 0,
transforms the equation into the constant coefficient equation
d2 w dw
2
+ (p0 − 1) + q0 w = 0.
ds ds
If t < 0, then the transformation

w(s) = y(t), s = ln(−t), t < 0,

transforms the equation into the constant coefficient equation

d2 w dw
2
+ (p0 − 1) + q0 w = 0.
ds ds
The general solution of the new equation can be obtained in terms of the roots of the characteristic
equation
λ2 + (p0 − 1)λ + q0 = 0.
These roots are
1 p 
λ1,2 = 1 − p0 ± (p0 − 1)2 − 4q0 .
2
If λ1 6= λ2 , then we have two linearly independent solutions

y1 (t) = |t|λ1 , y2 (t) = |t|λ2 .

If λ1 = λ2 , then the two linearly independent solutions are

y1 (t) = |t|λ1 , y2 (t) = |t|λ2 ln |t|.

In order to turn to the general case, let us first consider first order equations.
Lemma 1. The first-order equation
y 0 + a1 (t)y = 0
has a solution of the form
∞
X
α
y(t) = t h(t), h(t) = hj tj , h0 = 1
j=0

if and only if ta1 (t) is an analytic function. In this case we have α = −lim[ta1 (t)].
t→0

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Proof. Assume that p(t) = ta1 (t) is analytic. Then
p0
a1 (t) = + p1 + p2 t + · · ·
t
and the solution of the above equation is explicitly given by
 Z t 
y(t) = exp − a1 (s)ds = exp(−p0 ln(t) + c − p1 t + · · · )

= t−p0 exp(c − p1 t + · · · ).
Conversely, if y(t) = tα h(t) is a solution, then we have

ty 0 (t) th0 (t)

ta1 (t) = − = −α −
y(t) h(t)

which is analytic at t = 0.

4.2 The Frobenius Method for Second-order Equations

In this section, we will consider second-order linear equations

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

In many applications the coefficients will have singularities and one of the main questions is the
behavior of the solutions near such a singularity.
We will assume that the equation has a regular singularity at t = 0; that is, we will assume that
the coefficients p(t) and q(t) are of the form
∞
X ∞
X
−1 j −2
p(t) = t pj t , q(t) = t qj tj .
j=0 j=0

We will look for a solution of the form

y(t) = tα h(t),
where h(t) is analytic near t = 0 with h(0) = 1. This is the generalized power series method, or
Frobenius method.
Differentiating
∞
X
α
y(t) = t hj tj
j=0

we have ∞
X
y 0 (t) = (α + j)hj tj+α−1 ,
j=0
∞
X
y 00 (t) = (α + j)(α + j − 1)hj tj+α−2 .
j=0

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Substituting into the equation, we obtain
∞
X
(α + j)(α + j − 1)hj tj+α−2
j=0
∞
! ∞ !
X X
+ pj tj−1 (α + j)hj tj+α−1
j=0 ! j=0∞
∞
!
X X
+ qj tj−2 hj tj+α = 0.
j=0 j=0

This implies
∞
X
(α + j)(α + j − 1)hj tj+α−2
j=0
j
∞ X
X
+ (α + k)hk pj−k tj+α−2
j=0 k=0
∞ X j
X
+ hk qj−k tj+α−2 = 0
j=0 k=0

or equivalently
∞ j j
" #
X X X
(α + j)(α + j − 1)hj + (α + k)hk pj−k + hk qj−k tj+α−2 = 0.
j=0 k=0 k=0

Thus, we must have

j j
X X
(α + j)(α + j − 1)hj + (α + k)hk pj−k + hk qj−k = 0, j = 0, 1, 2, · · ·
k=0 k=0

When j = 0, we get the indicial (or characteristic) equation

α2 + (p0 − 1)α + q0 = 0.

In the special case when t = 0 is an ordinary point, the indicial equation has the form

α2 − α = 0.

The roots α1,2 of the indicial equation are called the (characteristic) exponents at t = 0. For
each root α, the relation
j j
X X
(α + j)(α + j − 1)hj + (α + k)hk pj−k + hk qj−k = 0, j =, 1, 2, · · ·
k=0 k=0

is a recurrence relation.
Let F (α) = α2 + (p0 − 1)α + q0 . Then the recurrence relation can be written as
j−1
X
F (α + j)hj = − [(α + k)pj−k + qj−k ]hk , j ≥ 1.
k=0

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If F (α1 + j) 6= 0 and F (α2 + j) 6= 0, then we can find hj for j ≥ 1. Since

F (α) = (α − α1 )(α − α2 )

we have
F (α1 + j) = j(α1 − α2 + j),
F (α2 + j) = j(α2 − α1 + j),
and hence we have to distinguish between the two cases:

α1 − α2 ∈ Z and α1 − α2 ∈
/Z

Case (1): α1 − α2 ∈
/Z
In this case F (α1 + j) 6= 0 and F (α2 + j) 6= 0. Thus, we can find two linearly independent solutions
∞
X
y1 (t) = hj tj+α1
j=0

and ∞
X
y2 (t) = hj tj+α2 .
j=0

Example. Consider the equation

2ty 00 − y 0 − y = 0.
In this example
−1
p(t) = = q(t).
2t
−1
Thus, p0 = , q0 = 0, and hence the indicial equation reads
2
2α2 − 3α = 0.

This gives the roots

α1 = 3/2, α2 = 0.
The recurrence relation is
hj−1
hj = , j ≥ 1.
(2j + α − 3)(α + j)
α1 = 3/2 :
hj−1
hj = , j ≥ 1.
(2j + 3)j
1 1 1
h0 = 1,h1 = , h2 = , h3 = ,··· .
5 2·5·7 2·3·5·7·9
Thus, we obtain the first solution
1 1 1
y1 (t) = t3/2 [1 + t + t2 + t3 + · · · .]
5 2·5·7 2·3·5·7·9

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α2 = 0 :
hj−1
hj = , j ≥ 1.
(2j − 3)j
1 1
h0 = 1, h1 = −1, h2 = − , h3 = − ,··· .
2 18
Thus, we obtain the second solution
1 1
y2 (t) = 1 − t − t2 − t3 + · · · .
2 18

Case (2): α1 − α2 ∈ Z
Assume Re(α1 ) ≥ Re(α2 ), and let α1 = α2 + m for some integer m ≥ 0. For the exponent α = α1 ,
we can find all hj .
For the exponent α = α2 , we may have a problem. In this case the recurrence relation reads
j−1
X
F (α2 + j)hj = − [(α + k)pj−k + qj−k ]hk , j ≥ 1.
k=0

But F (α) = (α − α1 )(α − α2 ) implies

F (α2 + j) = j(α2 + j − α1 ) = j(j − m).

For 1 ≤ j ≤ m − 1, hj are determined recursively. But when j = m, F (α2 + m) = 0 and the

recurrence relation gives
m−1
X
0= [(α2 + k)pm−k + qm−k ]hk .
k=0

If this relation is satisfied, then we can choose hm as we like and the remaining hj , j > m, are again
determined recursively. Otherwise there is no solution in the form y(t) = tα2 h(t).
If we can not obtain the second solution from α = α2 , then we use the method of variation of
constants (or reduction of order method). Assume

y2 (t) = c(t)y1 (t) = c(t)tα1 h1 (t).

Then c(t) satisfies the equation

2α1 2h01 (t)

 
00
c (t) + + + p(t) c0 (t) = 0.
t h1 (t)

Let w(t) = c0 (t). Then we get a first order equation for w(t)

w0 + P (t)w = 0,

where
2α1 2h01 (t)
P (t) = + + p(t)
t h1 (t)

1+m
= + 2h01 (0) + p1 + · · ·
t
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Therefore, by Lemma 1., the solution is given by
∞
X
0 −m−1
c (t) = w(t) = t cj tj , c0 6= 0.
j=0

Integrating term-by-term, we obtain

∞
−m
X cj tj
c(t) = t + cm ln(t).
j=0,j6=m
j − m

As a result we obtain the solution

" ∞
#
j
X c j t
y2 (t) = h1 (t) tα2 + cm z α1 ln(t) .
j=0,j6=m
j − m

Theorem 2. (Series solutions about a regular singular point)

Suppose that the coefficients p(t) and q(t) are functions such that tp(t) and t2 q(t) are analytic at
t = 0. Let α1 and α2 be the roots of the indicial equation

α2 + (p0 − 1)α + q0 = 0.

(1) If α1 − α2 ∈
/ Z, then a fundamental system of solutions is given by

yj (t) = |t|αj hj (t), j = 1, 2,

where the functions hj (t) are analytic near t = 0 and satisfy hj (0) = 1.

(2) If α1 − α2 = m, m ≥ 0 is an integer, then a fundamental system is given by

y1 (t) = |t|α1 h1 (t),

y2 (t) = |t|α2 h2 (t) + c ln |t|y1 (t),

where the functions hj (t) are analytic near t = 0 and satisfy hj (0) = 1. The constant c ∈ R
might be zero unless m = 0.

How to obtain y2(t)

In practice there are three methods to find y2 (t).
The first method is reduction of order. The second method is to substitute

y2 (t) = tα2 g(t) + c ln(t)y1 (t),

where ∞
X
g(t) = gj tj , g0 = 1,
j=0

and find gj . Note that we can set c = 1 and remove the condition g0 = 1.
A third method is as follows. Write the equation as

L(y) = y 00 + p(t)y 0 + q(t)y = 0.

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∞
X
α
Then y(t) = t hj tj implies
j=0

∞ j
!
X X
L(y) = (α + j)(α + j − 1)hj + [(α + k)pj−k + qj−k ] hk tj+α .
j=0 k=0

Substituting
j−1
1 X
hj = − [(α + k)pj−k + qj−k ]hk , j ≥ 1,
F (α + j) k=0
we obtain
L(y) = F (α)tα−2 .
Assume that  
∂ ∂y
L(y) = L .
∂α ∂α
Then    
∂y ∂  α−2 ∂
F (α) tα−2 .

L = F (α)t = ln tF (α) +
∂α ∂α ∂α
∂
If α1 = α2 , then F (α1 ) = F (α1 ) = 0. This implies that
∂α
 !
∂y 
L = 0,
∂α α=α1

∂y 
and hence is a solution.
∂α α=α1
If α1 − α2 = m, where m is a positive integer, then

F (α) = h0 (α − α1 )(α − α2 ).
∂
Substituting h0 = α − α2 , we again have F (α2 ) = F (α2 ) = 0.
∂α
In this case, we obtain the first solution by substituting α = α2 in the recurrence relation
j−1
X
F (α + j)hj = − [(α + k)pj−k + qj−k ]hk , j ≥ 1.
k=0

That is ∞
X
y1 (t) = hj (α2 )tj+α2 .
j=0

The second solution is obtained by substituting α = α2 in

j−1
∂ X
F (α + j)hj = − [(α + k)pj−k + qj−k ]hk , j ≥ 1.
∂α k=0

That is ∞  
X ∂hj 
y2 (t) = y1 (t) ln(t) + tj+α2 .
∂α 
j=0 α=α2

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Example 1. Find two linearly independent series solutions about t = 0 of the equation
t2 y 00 + t2 y 0 − 2y = 0, t > 0.
Solution. The indicial equation reads
α2 − α − 2 = 0,
and hence the exponents are
α1 = 2, α2 = −1.
The recurrence relation is given by
−(j + α − 1)hj−1
hj = .
(j + α + 1)(j + α − 2)
α1 = 2 :
In this case the recurrence relation is given by
−(j + 1)hj−1
hj = .
j(j + 3)
h0 = 1 implies
−2 · 3 −6
h1 = =
3·4 4!
2·3·3 6·3
h2 = =
2·3·4·5 5!
−2 · 3 · 4 −6 · 4
h3 = =
2·3·4·5·6 6!
..
.
(−1)j 6(j + 1)
hj = .
(j + 3)!
As a result, we obtain the first solution.
∞
X 6(−1)j (j + 1)
y1 (t) = tj+2 .
j=0
(j + 3)!

α2 = −1 :
In this case the recurrence relation is given by
−(j − 2)hj−1
hj = .
j(j − 3)
h0 = 1 implies
−1
h1 =
2

h2 = 0

0h3 = −h2
Assume h3 = 0. Then we have hj = 0, j ≥ 3. Thus we get the second solution
1 1
y2 (t) = − .
t 2

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Example 2. Find the series solution of

t(t − 1)y 00 + (3t − 1)y 0 + y = 0, t > 0,

about t = 0.

Solution. Indicial equation

α2 = 0.
Thus the characteristic exponents are
α1 = α2 = 0.
The recurrence relation reads
hj = hj−1 .
The first solution is
1
y1 (t) =
.
1−t
In order to find y2 (t) let us use the method of reduction of order. Let

y2 (t) = c(t)y1 (t).

Differentiating we get
y20 = c0 y1 + cu01 , y200 = c00 y1 + 2c0 y10 + cu001 .
Substituting into the equation

t(t − 1)y 00 + (3t − 1)y 0 + y = 0,

we obtain
t(t − 1)(c00 y1 + 2c0 y10 + cu001 ) + (3t − 1)(c0 y1 + cu01 ) + cu1 = 0.
But y1 is a solution; that is
t(t − 1)y100 + (3t − 1)y10 + y1 = 0.
Thus, we have
t(t − 1)(c00 y1 + 2c0 y10 ) + (3t − 1)c0 y1 = 0.
This gives
c00 2y10 3t − 1
0
=− − .
c y1 t(t − 1)
Integrating we obtain
ln(c0 ) = −2 ln(y1 ) − ln(t) − 2 ln(t − 1).
This gives
1 1
c0 = =
y12 t(t − 1)2 t
and hence
c(t) = ln(t).
Using the method of reduction of order, we find
ln t
y2 (t) = .
1−t

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Note that if we use the third method, then the second solution is
∞  
X ∂hj 
y2 (t) = y1 (t) ln(t) + tj .
j=0
∂α 
α=0

But
hj (α) = hj−1 (α).
Before we differentiate we have to solve this difference equation.
h0 (α) = 1, h1 (α) = 1, hj (α) = 1, ∀j.
Therefore,
∂hj
= 0, ∀j.
∂α
Example 3. Find two linearly independent series solutions about t = 0 of the equation
t(t − 1)y 00 + 2(t − 1)y 0 − 2y = 0, t > 0.
Solution. Indicial equation
α2 + α = 0.
Thus, the characteristic exponents are
α1 = 0, α2 = −1.
The recurrence relation reads
(j + α − 2)
hj (α) = hj−1 (α).
(j + α)
We know that α1 = 0 always gives a solution. Let us check α2 = −1.
(j − 3)
hj = hj−1 .
(j − 1)
Thus, at j = 1, we have
0h1 = −2h0 .
But h0 6= 0 implies that we can not find another solution by this method.
Let h0 = α − α2 = α + 1. Then
(j + α − 2)
hj (α) = hj−1 (α)
(j + α)
gives
h0 (α) = α + 1,

h1 (α) = α − 1,

α(α − 1)
h2 (α) =
(α + 2)

α(α2 − 1)
h3 =
(α + 2)(α + 3)

α(α2 − 1)
hj (α) = .
(α + j − 1)(α + j)

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In this method the first solution is given by
∞
X
y1 (t) = hj (−1)tj−1
j=0

and ∞  
X ∂hj 
y2 (t) = y1 (t) ln(t) + tj−1 .
∂α 
j=0 α=−1

Taking α = −1, we obtain

h0 (−1) = 0,

h1 (−1) = −2,

h2 (−1) = 2,

hj (−1) = 0, ∀j ≥ 3.

Threrfore,
y1 (t) = −2 + 2t.
Now we will find y2 (t).
 
∂ 1 1 1 1 1
hj (α) = hj (α) + + − − .
∂α α α−1 α+1 α+j−1 α+j

Substituting α = −1, we obtain

h00 (−1) = 1,

h01 (−1) = 1,

h02 (−1) = −5,

2
h0j (−1) = , ∀j ≥ 3.
(j − 1)(j − 2)

Therefore,
∞
−1
X 2
y2 (t) = y1 (t) ln(t) + t + 1 − 5t + tj−1 .
j=3
(j − 1)(j − 2)

Let us now find y2 (t) by another method. By theorem, y2 (t) has the form

y2 (t) = tα2 g(t) + c ln(t)y1 (t)

where the functions g(t) are analytic near t = 0. Since α2 = −1 we have

∞
X
−1
y2 (t) = t g(t) + c ln(t)y1 (t), g(t) = gj tj .
j=0

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If we set g0 = 1, then we choose c to satisfy this condition. Alternatively we can take c = 1 and
remove the condition g0 = 1.
Let us choose g0 = 1. Differentiating, we get
 
0 −1 0 −2 0 1
y2 (t) = t g (t) − t g(t) + c ln(t)y1 (t) + y1 (t)
t
 
00 −1 00 −2 0 −3 00 2 0 1
y2 (t) = t g (t) − 2t g (t) + 2t g(t) + c ln(t)y1 (t) + y1 (t) − 2 y1 (t)
t t
Substituting into the equation, we obtain
  
−1 00 −2 0 −3 00 2 1
t(t − 1) t g (t) − 2t g (t) + 2t g(t) + c ln(t)y1 (t) + y1 (t) − 2 y1 (t)
   t t
1
+2(t − 1) t−1 g 0 (t) − t−2 g(t) + c ln(t)y10 (t) + y1 (t) − 2[t−1 g(t) + c ln(t)y1 (t)] = 0.
t

Substituting y1 (t) = 1 − t and simplifying we obtain

t(t − 1)g 00 (t) − 2g = c[3t2 − 4t + 1].

∞
X
Now substituting g(t) = gj tj , we obtain c = −2
j=0

g0 = 1, g2 = −4 − g1 , g3 = 1,
(j − 1)gj = (j − 3)gj−1 , j ≥ 4.
This gives
2
gj = , j ≥ 3.
(j − 1)(j − 2)
As a result we obtain
∞
−1
X 2
y2 (t) = −2(1 − t) ln(t) + t + g1 − (g1 + 4)t + tj−1 .
j=3
(j − 1)(j − 2)

Example 4. Solve
ty 00 + y = 0, t > 0,
about t = 0

Solution. Indicial equation

α2 − α = 0.
It follows that the characteristic exponents are

α1 = 1, α2 = 0.

The recurrence relation reads

−hj−1 (α)
hj (α) = .
(j + α)(j + α − 1)

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Thus, we have
h0 (α) = 1,

−1
h1 (α) = ,
α(α + 1)

1
h2 (α) =
α(α + 1)2 (α + 2)

−1
h3 =
α[(α + 1)(α + 2)]2 (α + 3)

(−1)j
hj (α) =
α[(α + 1)(α + 2) · · · (α + j − 1)]2 (α + j)

Let us find the first solution. Using α = 1, we obtain

(−1)j
hj = .
j!(j + 1)!
Therefore, the first solution is
∞
X (−1)j j+1
y1 (t) = t .
j=0
j!(j + 1)!

Let us now find y2 (t). Using α = 0, we obtain

−hj−1
hj = .
j(j − 1)
As a result we obtain
h0 = 1,

−1
h1 = ,
0
and hence we can not find y2 (t) by this method.
The recurrence relation reads
(−1)j h0
hj (α) = .
α[(α + 1)(α + 2) · · · (j + α − 1)]2 (j + α)
Setting h0 = α, we obtain
(−1)j
hj (α) = , j ≥ 1.
[(α + 1)(α + 2) · · · (j + α − 1)]2 (j + α)
So at α = 0, we obtain h0 = 0 and
(−1)j
hj (0) = .
j!(j − 1)!
Therefore, a first solution is
∞
X (−1)j j
ye1 (t) = t.
j=1
j!(j − 1)!

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Now we will find ∞  
X ∂hj 
y2 (t) = ỹ1 (t) ln(t) + tj .
j=0
∂α  α=0

Firstly, h00 = 1. Using logarithmic differentiation we get

j−1
 " #
∂hj  1 X 1
= −hj (0) +2 , j ≥ 1.
∂α α=0 j k=1
k

Using the harmonic numbers

j
X 1
Hj = ,
k=1
k
we have
(−1)j+1

∂hj 
= [Hj + Hj−1 ] , j ≥ 1.
∂α α=0 j!(j − 1)!
As a result, we obtain
∞
X (−1)j+1
y2 (t) = y1 (t) ln(t) + 1 + t + [Hj + Hj−1 ] tj .
j=2
j!(j − 1)!

Exercises
Find two linearly independent series solutions about t = 0 (t > 0) for each of the following equations:
1. 2t(t + 1)y 00 + 3(t + 1)y 0 − y = 0.

2. 4t2 y 00 + 4ty 0 − (4t2 + 1)y = 0.

3. 2ty 00 + (2t + 1)y 0 − 5y = 0.

4. t2 y 00 − t(t + 1)y 0 + y = 0.

5. 4t2 y 00 − (2t − 1)y = 0.

6. t2 y 00 + 2t(t − 21)y 0 − 2(3t − 2)y = 0.

7. t2 y 00 + t(3t + 2)y 0 − 2y = 0.

8. 2ty 00 + 6y 0 + y = 0.

9. t2 y 00 − 3ty 0 + (4t + 3)y = 0.

10. ty 00 + y 0 + ty = 0.

4.3 Special Functions

Special functions are particular mathematical functions which have more or less established names
and notations due to their importance in mathematical analysis, functional analysis, physics, or
other applications. Many special functions appear as solutions of differential equations or integrals
of elementary functions.

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The Gamma Function
Definition. Let z be a complex number.
(1) If Re(z) > 0, we define the gamma function
Z ∞
Γ(z) = e−t tz−1 dt.
0

(2) If Re(z) ∈
/ Z and Re(z) < 0, we define
1
Γ(z) = Γ(z + 1).
z

Remark. If z is a negative integer or zero, then Γ(z) is NOT defined.

Properties of the gamma function

(1) Γ(1) = 1.

(2) Γ(z + 1) = zΓ(z).

(3) If z ∈ N, then Γ(z + 1) = z!.

√
 
1
(4) Γ = π.
2

The Bessel Function

The equation
t2 y 00 + ty 0 + (t2 − ν 2 )y = 0,
where ν is a constant, is called the Bessel equation. It has a regular singular point at t = 0 and an
irregular singular point at t = ∞.
Solving in the neighborhood of t = 0, we have the indicial equation

α2 − ν 2 = 0

and the recurrence relation

h1 = 0, [(j + α)2 − ν 2 ]hj = −hj−2 , j ≥ 2.

Thus, the exponents are

α1 = ν, and α2 = −ν.
Without loss of generality, we assume that Re(ν) ≥ 0.
Substituting α = ν, we obtain
−1
h1 = 0, hj = hj−2 , j ≥ 2.
j(j + 2ν)
It follows that
h2j+1 = 0, j≥0

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and
(−1)j
h2j = , j ≥ 1,
4j j!(ν + 1)j
where (a)j is the Pochhammer symbol (or Barne symbol) defined by
Γ(a + j)
(a)0 = 1, (a)j = a(a + 1) · · · (a + j − 1) = .
Γ(a)
Therefore, we have obtained the first solution
∞
X (−1)j
y1 (t) = t2j+ν .
j=0
4j j!(ν + 1)j

The solution ∞  2j+ν

y1 (t) X (−1)j t
Jν (t) = ν =
2 Γ(ν + 1) j=0
j!Γ(ν + j + 1) 2
is called the Bessel function of the first kind of order (or index) ν.

What about the second solution?

Note that α1 − α2 = 2ν. Thus, if 2ν ∈ / Z, we have a second solution
∞  2j−ν
X (−1)j t
y2 (t) = J−ν (t) = .
j=0
j!Γ(−ν + j + 1) 2

If 2ν = m ∈ Z, then when α = −ν, we have

h1 = 0, j(j − m)hj = −hj−2 , j ≥ 2.
Again we have
m−1
h2j+1 = 0, 0≤j≤ .
2
At j = m, we have
m(0)hm = −hm−2 .
Thus, if m = 2n + 1 is an odd integer, then hm−2 = h2n−1 = 0 and hence we can assume hm = 0. In
this case we have
1
h2j = j
.
j!2 (2n − 1)(2n − 3) · · · (2n − j + 1)
The solution is ∞ 1
X t2j−n− 2
y2 (t) = j (2n − 1)(2n − 3) · · · (2n − 2j + 1)
.
j=0
j!2
If m = 2n is an even integer, then hm−2 = h2n−2 6= 0 and we have a logarithmic solution
y2 (t) = t−n g(t) + cy1 (t) ln t.
Let us find y1 (t) and y2 (t) by using the formulas
∞
X
y1 (t) = hj (α2 )tj+α2 ,
j=0

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∞  
X ∂hj 
y2 (t) = y1 (t) ln(t) + tj+α2 .
∂α 
j=0 α=α2

Since m = 2n, we have ν = n ∈ Z. Thus, α2 = −n. The recurrence relation reads

h1 (α) = 0, [(j + α)2 − ν 2 ]hj (α) = −hj−2 (α), j ≥ 2.

h1 (α) = 0 ⇒ h2j+1 (α) = 0, ∀j ≥ 0.

This implies
h02j+1 (α) = 0, ∀j ≥ 0.
Now h0 (α) = α + n gives
(−1)j (α + n)
h2j (α) = j
, j ≥ 1.
Y
(α + 2k − n)(α + 2k + n)
k=1

We have to deal with h2j (α) carefully.

For j < n, h2j (−n) = 0 and
j  !
1 X 1 1
h02j (α) = h2j (α) − + .
α + n k=1 α + 2k − n α + 2k + n

It follows that
(−1)j (−1)j
h02j (−n) = = .
j
Y 4j j!(1 − n)j
2k(2k − 2n)
k=1
For j ≥ n,
(−1)j
h2j (α) = j
.
Y
(α + 3n) (α + 2k − n)(α + 2k + n)
k=1,k6=n

So
j  !
1 X 1 1
h02j (α) = −h2j (α) + + .
α + 3n k=1,k6=n α + 2k − n α + 2k + n
This implies
j  !
1 1 X 1 1
h02j (α) = −h2j (−n) + + ,
2n 2 k=1,k6=n k − n k
1
h02j (α) = − h2j (−n) (Hj + Hj−n − Hn−1 ),
2
where
j
X 1
Hj =
k=1
k
are the harmonic numbers. But
(−1)j−n+1
h2j (−n) = .
22j−1 j!(n − 1)!(j − n)!

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Therefore,
(−1)j−n
h02j (α) = 2j (Hj + Hj−n − Hn−1 ),
2 j!(n − 1)!(j − n)!
and hence ∞
X (−1)j−n+1 t2j−n
y1 (t) =
j=n
22j−1 j!(n − 1)!(j − n)!
∞
X (−1)j+1 t2j+n
=
j=0
22j+2n−1 j!(n − 1)!(j + n)!
−Jn (t)
= n−1 .
2 (n − 1)!
The second solution is
n−1 ∞
X (−1)j t2j−n X (−1)j−n (Hj + Hj−n − Hn−1 ) t2j−n
y2 (t) = y1 (t) ln(t) + +
j=0
4j j!(1 − n)j j=n 22j j!(n − 1)!(j − n)!
n−1 ∞
X (−1)j t2j−n X (−1)j (Hj + Hj+n − Hn−1 ) t2j+n
= y1 (t) ln(t) + +
j=0
4j j!(1 − n)j j=0 22j+2n j!(n − 1)!(j + n)!
n−1 ∞
X (−1)j t2j−n X (−1)j t2j+n
= y1 (t) ln(t) + − Hn−1
j=0
4j j!(1 − n)j j=0
22j+2n j!(n − 1)!(j + n)!
∞
X (−1)j (Hj + Hj+n ) t2j+n
+
j=0
22j+2n j!(n − 1)!(j + n)!
n−1 ∞
X (−1)j t2j−n 1 X (−1)j (Hj + Hj+n ) t2j+n
= y1 (t) ln(t) + + Hn−1 y1 (t) + .
j=0
4j j!(1 − n)j 2 j=0
22j+2n j!(n − 1)!(j + n)!

The linear combination

−2n (n − 1)! h 1 i
Yn (t) = (γ − ln(2) − Hn−1 )y1 (t) + y2 (t)
π 2
gives the new solution
n−1  2j−n
1 X (−1)j (n − 1)! t
 
2 t
Yn (t) = [γ + ln ]Jn (t) −
π 2 π j=1 j!(1 − n)j 2
∞ 2j+n
1 X (−1)j (Hj + Hj+n ) t
 
− ,
π j=0 j!(j + n)! 2

where γ = lim [Hj − ln(j)] is the Euler constant. Yn (t) is called the Bessel’s function of the second
j→∞
kind of order n or the Neumann’s function.
Note that Yν (t) can be defined as
cos(πν)Jν (t) − J−ν (t)
Yν (t) = .
sin(νπ)

Properties of the Bessel function

d ±ν
(1) (t Jν (t)) = ±t±ν Jν∓1 (t).
dt
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2ν
(2) Jν+1 (t) + Jν−1 (t) = Jν (t).
t
(2) Jν+1 (t) − Jν−1 (t) = 2Jν0 (t).

d ν
Proof. (1) (t Jν (t)) = tν Jν0 (t) + νtν−1 Jν (t)
dt
∞  2j+ν
X (−1)j t
Jν (t) =
j=0
j!Γ(ν + j + 1) 2

∞  2j+ν−1
X (−1)j (2j + ν) t
⇒ Jν0 (t) =
j=0
2j!Γ(ν + j + 1) 2
∞  2j+ν
X (−1)j (2j + 2ν) t
⇒ tJν0 (t) + νJν (t) = .
j=0
j!Γ(ν + j + 1) 2
Using
Γ(x + 1) = xΓ(x)
we obtain ∞  2j+ν
X 2(−1)j t
tJν0 (t) + νJν (t) = = tJν−1 (t).
j=0
j!Γ(ν + j) 2

The Legendre Function

The equation
(1 − t2 )y 00 − 2ty 0 + n(n + 1)y = 0
is called the Legendre differential equation. It has regular singular points at t = 1, −1, ∞.
Solving in the neighborhood of t = ∞, we have the indicial equation

α2 + α − n(n + 1) = 0

and the recurrence relation

h1 = 0, (α − n − j)(α + n + 1 − j)hj = (α − j + 1)(α − j + 2)hj−2 , j ≥ 2.

Thus, the exponents are

α1 = n, and α2 = −(n + 1).
Substituting α = n, we obtain

h1 = 0, j(j − 2n − 1)hj = (j − n − 1)(j − n − 2)hj−2 , j ≥ 2.

It follows that
h2j+1 = 0, j≥0
and
(−n)(−n + 1)(−n + 2) . . . (−n + 2j − 1)
h0 = 1, h2j = , j ≥ 1.
j! 2j (−2n + 1)(−2n + 3) . . . (−2n + 2j − 1)

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Note that h2j can be written as
(− n2 )j ( 12 − n2 )j
h2j = , j ≥ 0.
j!( 12 − n)j
Thus, a first solution is
∞
X (− n2 )j ( 21 − n2 )j n−2j
y1 (t) = 1 t .
j=0
j!( 2
− n)j

If α1 − α2 = 2n + 1 ∈
/ Z, then substituting α = −(n + 1), we obtain
h1 = 0, j(j − 2n − 1)hj = (j + n − 1)(j + n)hj−2 , j ≥ 2.
It follows that
h2j+1 = 0, j≥0
and
(n + 1)(n + 2) . . . (n + 2j − 1)(n + 2j)
h2j = , j ≥ 1.
j! 2j (−2n + 3)(−2n + 5) . . . (−2n + 2j + 1)
Thus, a second solution solution is
∞
−n−1
X (n + 1)(n + 2) . . . (n + 2j − 1)(n + 2j)
y2 (t) = t + t−n−2j−1 .
j=1
j! 2j (−2n + 3)(−2n + 5) . . . (−2n + 2j + 1)

Legendre Polynomials
If n is a nonnegative integer, then the solution y1 (t) of the Legendre’s equation is a polynomial.
Indeed if n is a nonnegative integer, then h2j can be written as
(−1)j n(n − 1)(n − 2) . . . (n − 2j + 1)
h2j = , j ≥ 1.
j! 2j (2n − 1)(2n − 3) . . . (2n − 2j + 1)
But
n!
n(n − 1)(n − 2) . . . (n − 2j + 1) =
(n − 2j)!
and
(2n)!(n − j)!
(2n − 1)(2n − 3) . . . (2n − 2j + 1) = .
2j n!(2n − 2j)!
Thus, y1 (t) can be written as
[n/2]
X (−1)j (n!)2 (2n − 2j)!
y1 (t) = tn−2j ,
j=0
(2n)! j! (n − j)! (n − 2j)!

where [n/2] is the greatest integer less than or equal to n/2.

(2n)!
The Legendre polynomials Pn (t) = n y1 (t) are given by
2 (n!)2
[n/2]
1 X (−1)j (2n − 2j)! n−2j
Pn (t) = n t .
2 j=0 j!(n − j)!(n − 2j)!

1 1
P0 (t) = 1, P1 (t) = t, P2 (t) = (3t2 − 1), P3 (t) = t(5t − 3), · · · .
2 2

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Properties of the Legendre function
(1) Pn (1) = 1.

(2) Pn (−1) = (−1)n .

(3) Pn (−t) = (−1)n Pn (t).

(4) (n + 1)Pn+1 (t) − (2n + 1)tPn (t) + nPn−1 (t) = 0, n ∈ N.

(5) tPn0 (t) − Pn−1

0
(t) = nPn (t).
0
(6) Pn+1 = tPn0 (t) + (n + 1)Pn (t).
1 dn 2
(7) Pn (t) = [(t − 1)n ], n = 0, 1, 2, · · · .
2n n! dtn
∞
X
2 −1/2
(8) (1 − 2tx + x ) = Pn (t)xn .
n=0

The Hypergeometric Function

Let us consider the hypergeometric equation

t(1 − t)y 00 + [c − (1 + a + b)t]y 0 − ab y = 0,

where a, b, c are complex parameters. It has regular singularities at 0, 1, ∞, and hence it is a

Fuchsian equation. The exponents of these singularities are as follows:

(1) t = 0: exponents 0 and 1 − c.

(2) t = 1: exponents 0 and c − a − b.

(3) t = ∞: exponents a and b.

All these information are symbolically represented by

 
 0 1 ∞ 
y=P 0 0 a t .
1−c c−a−b b
 

P is called the Riemann-P-function.

Solution in the neighborhood of t = 0

Let us look for solutions ∞
X
u(t) = hj tj+α
j=0

in the neighborhood of t = 0. The exponents are α1 = 0 and α2 = 1 − c and the recurrence relation
reads
(j + α)(j + α + c − 1)hj = (j + α + a − 1)(j + α + b − 1)hj−1 , j ≥ 1.

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A first solution can obtained if we substitute α = α1 = 0. In this case the recurrence relation
becomes
(j + a − 1)((j + b − 1)
hj = hj−1 , j ≥ 1.
j(j + c − 1)
Thus, if 1 − c ∈
/ N, then we have
(a)j (b)j
hj = ,
j!(c)j
where (a)j is the Pochhammer symbol. As a result we obtain the solution
∞
X (a)j (b)j
y1 (t) = tj .
j=0
j!(c)j

This function is called the hypergeometric function and it is denoted by F (a, b, c; t) or 2 F1 (a, b, c; t).
Remark. Many familiar functions are special cases of the hypergeometric function. For example
1 1 3
• sin−1 t = tF ( , , ; t2 ),
2 2 2
1 3
• tan−1 t = tF ( , 1, ; −t2 ),
2 2
• (1 − t)n = F (−n, 1, 1; t).

Properties of the hypergeometric function

(1) F (a, b, c; 0) = 1.
d ab
(2) F (a, b, c : t) = F (a + 1.b + 1, c + 1 : t).
dz c

d  ab
(3) F (a, b, c : t) = .
dz t=0 c
(4) (a − b)F (a, b, c; t) = aF (a + 1, b, c; t) − bF (a, b + 1, c, t).

Second solution
Let y(t) = t1−c w(t). Then w(t) satisfies the hypergeometric equation

t(1 − t)w00 + [γ − (1 + α + β)t]w0 − αβ w = 0,

where α = a − c + 1, β = b − c + 1, γ = 2 − c. We know that if 1 − γ = −1 + c ∈

/ N, then

w(t) = F (α, β, γ; t)

is a solution of this equation. Hence

y2 (t) = t1−c F (a − c + 1, b − c + 1, 2 − c; t)

is a second solution of the hypergeometric equation provided that c ∈

/ Z. It can be shown that y1 (t)
and y2 (t) are linearly independent.

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Exercises
(1) Prove the following:
(a) Γ(1) = 1.
(b) Γ(z + 1) = zΓ(z).
(c) If z ∈ N, then Γ(z + 1) = z!.
√
 
1
(d) Γ = π.
2
(2) Find two linearly independent series solutions of the Hermite equation

y 00 − 2ty 0 + 2nu = 0, n ∈ R.

(3) Find two linearly independent series solutions of the Confluent Hypergeometric equation

ty 00 + (c − t)y 0 − au = 0, a, c ∈ R.

(4) Find two linearly independent series solutions of the Lagurre equation

ty 00 + (1 − t)y 0 + nu, n ∈ R.

(5) Show that the general solution of the Chebyshev differential equation

(1 − t2 )y 00 − ty 0 + a2 x = 0, a∈R

is given by " ∞
#
X (−a)2 (22 − a2 ) . . . ((2n − 2)2 − a2 )
y(t) = c0 1 + t2n
n=1
(2n)!
" ∞
#
X (1 − a2 )(32 − a2 ) . . . ((2n − 1)2 − a2 )
+c1 t + t2n+1 .
n=1
(2n − 1)!

4.4 The Frobenius Method for Systems

In this section we will consider linear systems

x0 = A(t)x.

Assume that the system

x0 = A(t)x
has a regular singular point at t = 0; that is assume that
∞
1X
A(t) = Aj tj .
t j=0

Then we will look for solution of the system in the form

∞
X
x(t) = tα U (t), U (t) = Uj tj , U0 6= 0.
j=0

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Inserting into the equation, we obtain
∞ ∞
! ∞
!
X X X
(α + j)Uj tj+α = Aj tj Uj tj+α .
j=0 j=0 j=0

j
X
⇒ (j + α)Uj = Ak Uj−k , j ≥ 0.
k=0

Solving for Uj , we get

j
X
[(j + α)I − A0 ]Uj = Ak Uj−k , j ≥ 0.
k=1

In particular, for j = 0, we have

(αI − A0 )U0 = 0.
Thus, α must be an eigenvalue of A0 .
If all eigenvalues αj of A0 do not differ by integer, then each eigenvalue αj give a solution of the
system and we have n linearly independent solutions. If two eigenvalues differ by an integer, then
logarithmic terms may occur.

Example. Consider
tx0 = Ax,
where  
4 + t −1
A= = A0 + A1 t.
−4 4 + t
Inserting
∞
X
x= Uj tj+α , U0 6= 0,
j=0

into the equation, we obtain

∞
X ∞
X ∞
X
j+α j+α
(α + j)Uj t = A0 Uj t + A1 Uj−1 tj+α .
j=0 j=0 j=1

This gives
αU0 = A0 U0 , (α + j)Uj = A0 Uj + A1 Uj−1 , j ≥ 1.
 
4 −1
Thus, α are the eigenvalues of A0 = ; that is
−4 4

α1 = 6, α2 = 2.

The recurrence relation is

[A0 − (j + α)I]Uj = −Uj−1 , j ≥ 1.
Let us find the first solution corresponding to α = α1 = 6.
The recurrence relation in this case becomes

[A0 − (j + 6)I]Uj = −Uj−1 , j ≥ 1.

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1
Let U0 = . Then
0
U1 = −[A0 − 7I]−1 U0 .
 
−3 −1
A0 − 7I =
−4 −3
and  
−1 1 −3 1
(A0 − 7I) = .
5 4 −3
Thus     
1 −3 1 1 1 3
U1 = − = .
5 4 −3 0 5 −4
Now we can find U2 .
U2 = −[A0 − 8I]−1 U1 .
 
−4 −1
A0 − 8I =
−4 −4
and  
−1 1 −4 1
(A0 − 8I) = .
12 4 −4
Thus,     
1 −4 1 3 1 4
U2 = − = .
60 4 −4 −4 15 −7
Let us look for a second solution:
α = α2 = 2:
The recurrence relation reads

[A0 − (j + 2)I]Uj = −Uj−1 , j ≥ 1.

 
0
Let U0 = . Then
1
[A0 − 3I]U1 = −U0 .
 
1 −1
A0 − 3I =
−4 1
and  
−1 −1 1 1
(A0 − 3I) = .
3 4 1
So we find     
1 1 1 0 1 1
U1 = = .
3 4 1 1 3 1
Now we calculate
U2 = −[A0 − 4I]−1 U1 .
We have  
0 −1
A0 − 4I =
−4 0
and  
−1 −1 0 1
(A0 − 4I) = .
4 4 0

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Thus     
1 0 1 1 1 1
U2 = = .
12 4 0 1 12 4
Next we calculate
U3 = −[A0 − 5I]−1 U2 .
Since  
−1 −1
A0 − 5I =
−4 −1
and  
−1 −1 −1 1
(A0 − 5I) = ,
3 4 −1
it follows that     
1 −1 1 1 1 3
U3 = = .
36 4 −1 4 36 0
To find U4 we have to solve the system

[A0 − 6I]U4 = −U3 .

The coefficient matrix reads  

−2 −1
A0 − 6I = .
−4 −2
Thus, det(A0 − 6I) = 0 and the system

[A0 − 6I]U4 = −U3

may or may not have a solution. The augmented matrix of the system reads
1!
−2 −1 | −
12 .
−4 −2 | 0

Hence, Gaussian elimination gives

 
1 ! 1
−2 −1 | − −2 −1 | − 12 
12 −→  1 .
−4 −2 | 0 0 0 |
6
Therefore, the system does not have a solution and hence α2 = 2 does not give a solution and it
follows that the second solution will involve a logarithmic term.

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