LECTURE NOTES

Engineering Analysis and Design

(Differential Equations and Applications)

Course Code: MC207

Jamkhongam Touthang
Assistant Professor
Department of Applied Mathematics
Delhi Technological University
Delhi-110042

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Syllabus: MC207 Differential Equations and Applications

Unit-I. Ordinary Differential Equations (ODE): Matrix method for homoge-

neous linear system with constant coefficients, Boundary value problems for
second order equations-Sturm Liouville’s problem, Eigen values and Eigen vec-
tors, Saddle points, Attractor, Repellant.

Unit-II. Partial Differential Equations (PDE): Formation, Solution of linear

PDE of first order (Lagrange’s method), Solution of first order non-linear PDE:
standard forms, Charpit’s method.

Unit-III. Linear PDE with constant coefficients-homogeneous and non-homogeneous,

Classification of second order PDE, Method of separation of variables, Cauchy’s
problem, Boundary value problems.

Unit-IV. Initial boundary value problems involving wave equation, heat equa-
tion and Laplace equation. Method of separation of variables and application
of Fourier transformations for Laplace, wave and heat equations.

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Unit-I: Ordinary Differential Equations

Matrix method for homogeneous linear system with constant coeffi-

cients.
1. Solve the system using the matrix method:
dx
= 6x + 5y
dt
dy
= x + 2y
dt
Vector differential
! equation
! ! or Matrix
!0 form: ! !
dx/dt 6 5 x x 6 5 x
= or, =
dy/dt 1 2 y y 1 2 y
To find the eigenvalues,
! we consider the characteristic equation of the coefficient
6 5
matrix A = , given by |A − λI| = 0,
1 2
 
6 − λ 5
=0

2 − λ

 1
(6 − λ)(2 − λ) − 5 = 0
λ2 − 8λ + 7 = 0
λ = 1, 7

Therefore, the eigenvalues are λ1 = 1 and λ2 = 7. (Note that the eigenvalues

are real and distinct.) !
a1
Finding eigenvector v1 = corresponding to λ1 = 1:
a2
! ! !
6 − λ1 5 a1 0
=
1 2 − λ1 a2 0
! ! !
6−1 5 a1 0
=
1 2−1 a2 0
! ! !
5 5 a1 0
=
1 1 a2 0

This is equivalent to the system:

5a1 + 5a2 = 0
a1 + a2 = 0

3
 !
1
That is, a1 + a2 = 0. Therefore, v1 = .
−1
!
b1
Finding eigenvector v2 = corresponding to λ2 = 7:
b2
! ! !
6 − λ2 5 b1 0
=
1 2 − λ2 b2 0
! ! !
6−7 5 b1 0
=
1 2−7 b2 0
! ! !
−1 5 b1 0
=
1 −5 b2 0

This is equivalent to the system:

−b1 + 5b2 = 0
b1 − 5b2 = 0
!
5
That is, −b1 + 5b2 = 0. Therefore, v2 = .
1
Hence, solution to the original system is given by
v = c1 v1 eλ1 t + c2 v2 eλ2 t
! !
1 t 5 7t
= c1 e + c2 e
−1 1
2. Consider the linear system:
dx
= 6x − 3y
dt
dy
= 2x + y
dt
! ! !
dx/dt 6 −3 x
Matrix form: =
dy/dt 2 1 y
!
6 −3
The characteristic equation of the coefficient matrix A = is
2 1
 
6 − λ −3
=0

1 − λ

 2
(6 − λ)(1 − λ) + 6 = 0
λ2 − 7λ + 12 = 0
λ = 3, 4

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Therefore, eigenvalues are λ1 =!3 and λ2 = 4.
a1
Finding eigenvector v1 = corresponding to λ1 = 3:
a2
! ! !
6 −3 a1 a1
=3
2 1 a2 a2

This is equivalent to the system:

6a1 − 3a2 = 3a1

2a1 + a2 = 3a2
!
1
a1 = a2 = 1 is a non-trivial solution. Therefore, v1 = .
1
!
b1
Finding eigenvector v2 = corresponding to λ2 = 4:
b2
! ! !
6 −3 b1 b1
=4
2 1 b2 b2

This is equivalent to the system:

6b1 − 3b2 = 4b1

2b1 + b2 = 4b2

That is, 2b1 = 3b2 . !

b1 = 3, b2 = 2 is a non-trivial solution.
3
Therefore, v2 = .
2
Hence, general solution is

v = c1 v1 eλ1 t + c2 v2 eλ2 t
! !
1 3t 3 4t
= c1 e + c2 e
1 2
! !
e3t 3e4t
= c1 + c2
e3t 2e4t
!
c1 e3t + 3c2 e4t
=
c1 e3t + 2c2 e4t
!
x
where c1 , c2 are arbitrary constants and v = .
y

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3. Consider the linear system:
dx
= 4x − y
dt
dy
= x + 2y
dt
Matrix form:

! ! !
dx/dt 4 −1 x
= (1)
dy/dt 1 2 y
!
4 −1
The characteristic equation of the coefficient matrix A = is
1 2
 
4 − λ −1
=0

2 − λ

 1
λ2 − 6λ + 9 = 0
λ = 3, 3

Eigenvalues are real and equal.

!
a1
Finding eigenvector v = corresponding to λ = 3:
a2
! ! !
4 −1 a1 a1
=3
1 2 a2 a2

This is equivalent to the system:

4a1 − a2 = 3a1
a1 + 2a2 = 3a2
!
1
a1 = a2 = 1 is a non-trivial solution. Thus, v = . It follows that ve3t =
1
!
1 3t
e is a solution of equation (1). A linearly independent solution is of the
1
!
λt
1
form (vt + w)e , where v = , λ = 3 and w satisfies (A − λI)w = v.
1

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 !
b1
Thus w = satisfies
b2
" ! !# ! !
4 −1 1 0 b1 1
−3 =
1 2 0 1 b2 1

which reduces to
! ! !
1 −1 b1 1
= (2)
1 −1 b2 1

This is equivalent to the system:

b1 − b2 = 1
b1 − b2 = 1
!
1
A non-trivial solution is b1 = 1, b2 = 0. Therefore, w = .
0
" ! !# !
1 1 1 + t
So, t+ e3t = e3t is also a solution of (1).
1 0 t
Hence, general solution is
! !
1 3t 1 + t 3t
X = c1 e + c2 e
1 t
!
x
where c1 , c2 are arbitrary constants and X =
y
4. Consider the linear system:

dx
= 7x − y + 6z
dt
dy
= −10x + 4y − 12z
dt
dz
= −2x + y − z
dt
    
dx/dt 7 −1 6 x
Matrix form:  dy/dt =  −10 4 −12  y 
    

dz/dt −2 1 −1 z

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  
7 −1 6
The characteristic equation of the coefficient matrix A =  −10 4 −12
 

  −2 1 −1
7 − λ −1 6


is  −10 4 − λ −12 = 0 which gives λ3 − 10λ2 + 31λ − 30 = 0. Roots are
 
 
 −2 1 −1 − λ
λ = 2, 3, 5. Therefore, eigenvalues are λ1 = 2, λ2 = 3, λ3 = 5.
To find the eigenvectors v1 , v2 , v3 corresponding respectively to the eigenvalues
λ1 , λ2 , λ3 , we use the relation Av = λv.

For λ1 = 2, we have
    
7 −1 6 a1 a1
 −10 4 −12  a2  = 2  a2 
    

−2 1 −1 a3 a3

This is equivalent to the system:

7a1 − a2 + 6a3 = 2a1

−10a1 + 4a2 − 12a3 = 2a2
−2a1 + a2 − a3 = 2a3

Simplifying,

5a1 − a2 + 6a3 = 0
−10a1 + 2a2 − 12a3 = 0
−2a1 + a2 − 3a3 = 0

The second equation is simply constant multiple of the first equation.

Therefore, from the first and third equations

−a2 + 6a3 = −5a1

a2 − 3a3 = 2a1

Solving for a2 and a3 , we find a2 = −a1 and a3 = −a1 . Clearly,

 a1 = 1, a2 =
1
−1, a3 = −1 is a non-trivial solution. Therefore, v1 =  −1.
 

−1
For λ2 = 3, we have
    
7 −1 6 a1 a1
 −10 4 −12  a2  = 3  a2 
    

−2 1 −1 a3 a3

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This is equivalent to the system:

4a1 − a2 + 6a3 = 0
−10a1 + a2 − 12a3 = 0
−2a1 + a2 − 4a3 = 0

Solving for a2 and a3 ,

a2 = −2a1
a3 = −a1

  a1 = 1, a2 = −2, a3 = −1 is a non-trivial solution. Therefore, v2 =

Clearly,
1
 −2.
 

−1
For λ2 = 5, we have
    
7 −1 6 a1 a1
 −10 4 −12  a2  = 5  a2 
    

−2 1 −1 a3 a3

This is equivalent to the system:

2a1 − a2 + 6a3 = 0
−10a1 − a2 − 12a3 = 0
−2a1 + a2 − 6a3 = 0

Solving for a2 and a3 ,

a2 = −2a1
3a3 = −2a1
 
3
a1 = 3, a2 = −6, a3 = −2 is a non-trivial solution. Therefore, v3 =  −6.
 

−2

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 Hence, general solution is

v = c1 v1 eλ1 t + c2 v2 eλ2 t + c3 v3 eλ3 t

     
1 1 3
= c1  −1 e2t + c2  −2 e3t + c3  −6 e5t
     

−1 −1 −2
 
x
where c1 , c2 , c3 are arbitrary constants and v =  y .
 

z
5. Find the general solution by matrix method.
dx dy
(i) = 5x − 2y, = 4x − y
dt dt
dx1 dx2
(ii) = 2x1 + 3x2 , = −x1 − 2x2
dt dt
! !
dv 3 2 x
(iii) = v, where v = .
dt 6 −1 y
dx dy dz
(iv) = 4x + 3y + z, = −4x − 4y − 2z, = 8x + 12y + 6z.
dt dt dt
dx dy dz
(v) = 3x + y − z, = x + 3y − z, = 3x + 3y − z.
dt dt dt
dx dy dz
(vi) = 4x + 3y + z, = −4x − 4y − 2z, = 8x + 12y + 6z.
dt dt dt

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Boundary Value Problem. A boundary value problem (BVP) is a differen-
tial equation together with a set of additional constraints, called the boundary
conditions 1 . A solution to a boundary value problem is a solution to the dif-
ferential equation which also satisfies the boundary conditions.
√
For example, consider the BVP: y 00 + y = 0, y(0) = 1, y(π/2) = 2.
The general solution is y(x) = c1 cos
√ x + c2 sin x. Applying the boundary con-
ditions, we get√c1 = 1 and c2 = 2. Therefore, the solution to the BVP is
y(x) = cos x + 2 sin x.
Sturm-Liouville’s problem is a special kind of BVP. It consists of
(i) a second-order homogeneous linear differential equation of the form
 
d dy
P (x) + [Q(x) + λR(x)]y = 0 (3)
dx dx

where P , Q and R are real valued functions such that P , Q, R and dP/dx are
continuous, and P (x) > 0 and R(x) > 0 for all x ∈ [α, β], and λ is a parameter
independent of x and
(ii) two supplementary conditions

M1 y(α) + M2 y 0 (α) = 0

(4)
N1 y(β) + N2 y 0 (β) = 0

where M1 , M2 , N1 and N2 are real constants such that M1 and M2 are not both
zero, and so are N1 and N2 .
Two special cases:
(i) Letting M1 = N1 = 1 and M2 = N2 = 0, the conditions (4) take the form

y(α) = 0, y(β) = 0 (5)

(ii) Letting M1 = N1 = 0 and M2 = N2 = 1, the conditions (4) take the form

y 0 (α) = 0, y 0 (β) = 0 (6)

1 Daniel Zwillinger (12 May 2014). Handbook of Differential Equations. Elsevier Science.

pp. 536. ISBN 978-1-4832-2096-3.

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Consider the BVP:
 
d dy
x + [2x3 + λx2 ]y = 0 (7)
dx dx

3y(0) + 5y 0 (0) = 0

(8)
7y(1) − 2y 0 (1) = 0
The given differential equation (7) is of the form
 
d dy
P (x) + [Q(x) + λR(x)]y = 0 (9)
dx dx

where P (x) = x, Q(x) = 2x3 and R(x) = x2 . The conditions (8) are of the
form
M1 y(α) + M2 y 0 (α) = 0

(10)
N1 y(β) + N2 y 0 (β) = 0
where α = 0, β = 1, M1 = 3, M2 = 5, N1 = 7 and N2 = −2.

6. Find non-trivial solutions of the Sturm-Liouville problem:

d2 y
+ λy = 0 (11)
dx2
y(0) = 0, y(π) = 0 (12)

We shall consider three distinct cases λ = 0, λ < 0 and λ > 0.

Case I. When λ = 0, the differential equation reduces to

d2 y
= 0.
dx2
General solution is

y = c1 + c2 x (13)

Applying y(0) = 0, we obtain c1 = 0. Applying y(π) = 0, we obtain c1 +c2 π = 0.

It follows that c2 = 0 since c1 = 0. Thus, we must have c1 = c2 = 0 for (13) to
satisfy (12). It follows that y(x) = 0. Therefore, the only solution to the given
problem is the trivial solution for λ = 0.
2
Case II.
√ λ < 0. The auxiliary equation of (11) is m + λ = 0. √ That is,
m = ± −λ. Since λ < 0, these roots are real and distinct. Denoting −λ by
α, we see that for λ < 0, the general solution of (11) is given by

y = c1 eαx + c2 e−αx . (14)

Applying y(0) = 0, we get

c1 + c2 = 0 (15)

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Applying y(π) = 0, we get

c1 eαπ + c2 e−απ = 0 (16)

Clearly, c1 = c2 = 0 gives the trivial solution. To determine non-zero

 values of
 1 1 
c1 and c2 satisfying (15) and (16), we must have  απ  = 0. This gives
 
e e−απ 
√
eαπ = e−απ . Hence, it follows that α = 0. Since α = −λ, we must have
λ = 0. But this is a contradiction since λ < 0 in this case. Hence, there are no
non-trivial solutions when λ < 0.
2
√
√ equation of (11) is m + λ = 0. So, m = ± −λ.
Case III. λ > 0. The auxiliary
Since λ > 0, the roots are ± λi. General solution is
√ √
y = c1 sin λx + c2 cos λx. (17)

Applying y(0) = 0, we get c2 = 0. Applying y(π) = 0,

√ √
c1 sin λπ + c2 cos λπ = 0 which gives (18)
√
c1 sin λπ = 0 since c2 = 0. (19)

Since c1 = 0 yields the trivial solution, we must have

√
sin λπ = 0. (20)
√
This is true for λ = n, n = 1, 2, 3, . . . or λ = n2 , n = 1, 2, 3, . . .. The
non-trivial solutions corresponding to λ = n2 , n = 1, 2, 3, . . . are given by
y = cn sin nx, n = 1, 2, 3, . . . where cn (n = 1, 2, 3, . . .) is an arbitrary non-
zero constant.

7. Find the non-trivial solutions of the Sturm-Liouville problems:

d2 y
(i) + λy = 0, y(0) = 0, y(π/2) = 0.
dx2
d2 y
(ii) + λy = 0, y 0 (0) = 0, y(L) = 0 (L > 0).
dx2
 
d dy λ
(iii) x + y = 0, y(1) = 0, y(eπ ) = 0.
dx dx x
 
d dy λ
(iv) x + y = 0, y(1) = 0, y 0 (eπ ) = 0.
dx dx x

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Eigenvalues and Eigenfunctions
Consider the Sturm-Liouville’s problem consisting of the differential equation
 
d dy
P (x) + [Q(x) + λR(x)]y = 0 (21)
dx dx
where P , Q and R are real valued functions such that P , Q, R and dP/dx are
continuous, and P (x) > 0 and R(x) > 0 for all x ∈ [α, β], and λ is a parameter
independent of x and
(ii) the supplementary conditions
M1 y(α) + M2 y 0 (α) = 0

(22)
N1 y(β) + N2 y 0 (β) = 0
where M1 , M2 , N1 and N2 are real constants such that M1 and M2 are not both
zero, and N1 and N2 are not both zero.
The values of the parameter λ in (21) for which there exists non-trivial solutions
of the problem are called the eigenvalues of the problem. The corresponding
non-trivial solutions themselves are called the eigenfunctions of the problem.
For example, in the Sturm-Liouville problem (discussed earlier)
d2 y
+ λy = 0 (23)
dx2
y(0) = 0, y(π) = 0 (24)
we found that for λ = n2 , n = 1, 2, 3, . . ., there exists non-trivial solutions of
the problem. Thus, these values of λ are the eigenvalues of the problem. And
the eigenfunctions of the problem are the corresponding non-trivial solutions
y = cn sin nx (n = 1, 2, 3, . . .)
where cn (n = 1, 2, 3, . . .) is an arbitrary non-zero constant.
8. Find the eigenvalues and eigenfunctions of
d2 y
+ λy = 0 (25)
dx2
y(0) = 0, y 0 (L) = 0 (26)
Case I. Suppose λ = 0. Equation (25) reduces to
d2 y
=0
dx2
and its general solution is
y = c1 x + c2 . (27)
From (27),
dy
= c1 . (28)
dx

14
Applying y(0) = 0, (27) gives c2 = 0. Applying y 0 (L) = 0, (28) gives c1 =
0. Therefore, (27) reduces to y = 0. Hence, there is no non-trivial solution
to the problem corresponding to λ = 0. That is, there is no eigenfunction
corresponding to λ = 0.
Case II. Suppose√λ > 0. The auxiliary equation of (25) is m2 + λ = 0 whose
roots are m = ±i λ since λ > 0. Therefore, the general solution is
√ √
y = c1 cos λx + c2 sin λx . (29)

Differentiating (25)

dy √ √ √ √
= −c1 λ sin λx + c2 λ cos λx . (30)
dx
Applying y(0) = 0, (29) gives c1 = 0. Applying y 0 (L) = 0, (30) reduces to
√ √
c2 λ cos λL = 0 (since c1 = 0) . (31)
√ √
Since λ 6= 0 and c2 = 0 yields the trivial solution, we must have cos λL = 0.
Therefore,
√ (2n − 1)π
λ= , n = 1, 2, 3, . . . (32)
2L
(2n − 1)2 π 2
λ= , n = 1, 2, 3, . . .
4L2
Using c1 = 0 and (32), (29) becomes
 
(2n − 1)π
y = c2 sin x , n = 1, 2, 3, . . . .
2L

Hence, the required eigenfunctions corresponding to the eigenvalues

(2n − 1)2 π 2
λ= , n = 1, 2, 3, . . .
4L2
are
 
(2n − 1)π
y = cn sin x , n = 1, 2, 3, . . .
2L

9. Find the eigenvalues and eigenfunctions of

 
d dy λ
x + y=0 (33)
dx dx x
y 0 (1) = 0, y 0 (e2π ) = 0 (34)

where the parameter λ is non-negative.

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Case I. λ = 0. The differential equation (33) reduces to
 
d dy
x = 0. (35)
dx dx

General solution is y = c1 ln|x| + c2 , where c1 and c2 are arbitrary constants.

Applying y 0 (1) = 0, we get c1 = 0. Applying y 0 (e2π ) = 0, we get c1 = 0. Non-
trivial solutions for λ = 0 are given by y = c2 , for all c2 6= 0. Thus, λ = 0 is
an eigenvalue and the corresponding eigenfunctions are given by y = c2 , where
c2 6= 0 is an arbitrary constant.

Case II. λ > 0. For x 6= 0, the given differential equation can be written as

d2 y dy
x2 +x + λy = 0 (36)
dx2 dx
which is Cauchy-Euler equation. Letting x = et , (29) reduces to

d2 y
+ λy = 0 . (37)
dt2
√
Auxiliary equation is√m2 + λ = 0 √which gives m = ±i λ since λ > 0. General
solution is y = c1 sin λt + c2 cos λt. Thus, for λ > 0 and x > 0, the general
solution is
√ √
y = c1 sin λlnx + c2 cos λlnx. (38)

For x > 0,
√ √
dy c1 λ √ c2 λ √
= cos( λlnx) − sin( λlnx). (39)
dx x x
√ √ √ √
Applying y 0 (1)√= 0, we get c1 λ cos( λln1) − c2 λ sin( λln1) = 0 which
simplifies to c1 λ = 0. This implies that c1 = 0 since λ > 0.
Applying y 0 (e2π ) = 0, we get
√ √ √ √
c1 λe−2π cos( λln e2π ) − c2 λe−2π sin( λln e2π ) = 0.
√ √
Since c1 = 0 and ln e2π = 2π, we get c2 λe−2π sin(2π λ) = 0. Here, √choosing
c2 = 0 would√lead to the trivial solution. Thus, we must have sin(2π λ) = 0
and hence 2π λ = nπ, n = 1, 2, 3, . . . or

n2
λ= , n = 1, 2, 3, . . . .
4
These values of λ are the required eigenvalues and the corresponding eigenfunc-
tions are given by
n 
y = cn cos lnx , n = 0, 1, 2, 3, . . .
2

16
where cn (n = 0, 1, 2, 3, . . .) are arbitrary non-zero constants.

10. Find the eigenvalues and eigenfunctions of

d2 y
(i) + λy = 0, y(0) = 0, y(π/2) = 0
dx2
d2 y
(ii) + λy = 0, y 0 (0) = 0, y 0 (L) = 0 where L > 0
dx2
d2 y
(iii) + λy = 0, y(0) + y 0 (0) = 0, y(1) + y 0 (1) = 0
dx2
 
d dy λ
(iv) x + y = 0, y(1) = 0, y(eπ ) = 0
dx dx x

Note. Related results (definitions and theorems) which are not included here
have been discussed in the lectures. Problems 5, 7 and 10 are left for exercises.
For any query: jamkhongamtouthang@dtu.ac.in

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