Differential equations

Definition. A differential equation is an equation with a function

in one or more independent variable as unknown, containing not
only the unknown function itself, but also its derivatives of various
orders.
If the unknown function is in one independent variable, then we
call the equation an ordinary differential equation.
If the unknown function has more independent variables, then the
equation is a partial differential equation.
Definition. The order of the differential equation is the most order
of derivative of the unknown function in the equation.
Definition. An ordinary differential equation of order n is such an
equation, which contains one independent variable x, the unknown
function y = f (x) and its derivatives y 0 , y 00 , . . . , y (n) .

An ordinary differential equation of order n can be written in the

form:
F (x, y , y 0 , y 00 , . . . , y (n) ) = 0.
If the differential equation can be written in the form

y (n) = f (x, y , y 0 , y 00 , . . . , y (n−1) ),

then it is called the normal form of the differential equation.

The first-order differential equation in normal form can be written
as y 0 = f (x, y ). If the independent variable suggests time, then t is
used instead of x. The dependent variable y stands for unknown
function constituting a solution of the differential equation. A
solution must satisfy the differential equation for all values of x.
Definition. A solution of the ordinary differential equation
dy
dx (x) = f (x, y ) is a function y = y (x) defined and differentiable
on some interval I and satisfying the condition dy dx (x) = f (x, y ), if
x ∈ I.
Analytically, y (x) is a solution of differential equation y 0 = f (x, y )
if substituting y (x) for y reduces the equation to an identity
y 0 (x) = f (x, y (x)) on an appropriate domain of x.
Most differential equations have infinitely many solutions. The
most common understanding of the phrase solving a differential
equation is obtaining an explicit formula for y (x). An implicit
solution, an equation simply relating y and x, is also valid and
useful. More generally, though, solving may also mean obtaining
power series representation for y (x) or an appropriate numerical
approximation to it. It is useful first to see how explicit formula
solutions work.
The simplest differential equation is the one studied in calculus,
dy
= f (x),
dx
where the right-hand side depends only on the independent variable
x. The solution is found by ”integrating” each side, obtaining
Z
y = f (x)dx + C ,
R
where c is an arbitrary constant and f (x)dx denotes any
antiderivative of f (that is any function F (x) such that
F 0 (x) = f (x).
This result means that we actually have not one function but
many, one for each choice of C . We say that this is a
one-parameter family of solutions with parameter C . The family is
called the general solution; each function resulting from a specific
choice of C is called a particular solution.
The solution of an ordinary differential equation may be
geometrically represented in the xy -plane as a curve with equation
y = y (x), x ∈ I . This curve is known as integral curve.
Initial value problem.

In many models, we will be looking for a solution to the (more

general) differential equation y 0 = f (x, y ), that has a particular
y -value y0 at a given point x = x0 . This pair of requirements
(
y 0 = f (x, y )
y (x0 ) = y0

is called the initial value problem because we think of the solution

”starting off” with value y0 at the initial point x0 .
Example. The function y (x) = x 3 + 1 is a solution of the initial
value problem (
y 0 = 3x 2 ,
y (0) = 1,
since y 0 (x) = 3x 2 and y (0) = 03 + 1 = 1.
The solutions of y 0 = 3x 2 are y = x 3 + C , where C may be any
real value. If we look at the graphs of solutions for several C s, we
see that the graph of y = x 3 + 1 passes through the point (0; 1); it
is the only curve of the family that does.
Geometrically is the task of initial value problem to find a solution
(an integral curve) passing through the point (x0 , y0 ). The point
(x0 ; y0 ) is called the initial point corresponding to the integral
curve.
So while a differential equation generally has a family of solutions,
an initial value problem usually has only one.
In general, the task of an initial value problem is to find the
solution of the equation

y (n) = f (x, y , y 0 , y 00 , . . . , y (n−1) )

satisfying initial conditions




 y (x0 ) = y0 ,
y 0 (x ) = y (1) ,

0 0


 . . . . . . . . . . ..,
y (n) (x ) = y (n−1) .

0 0
The general solution and the particular solution

The general solution of the differential equation y 0 = f (x, y ) is

the family of the form
y = y (x, C ),
depending of an independent parameter C and having the
following property:
for each point (x0 , y0 ) ∈ D can be found such a value C0 for the
parameter C , that y (x, C0 ) satisfies the initial condition
y (x0 , C0 ) = y0 .

Any solution obtained by fixing the value of C in general solution

is called a particular solution.

There can be also a singular solution of a differential equation.

The general solution of an ordinary differential equation of order n
y (n) = f (x, y , y 0 , y 00 , . . . , y (n−1) ) is a family of functions

y = y (x, C1 , C2 , . . . Cn ),

depending on n arbitrary independent parameters C1 , C2 , . . . , Cn

(1) (n−1)
such that for any point (x0 , y0 , y0 , . . . , y0 ) ∈ D there can be
found the values for parameters C1 = C10 , C2 = C20 , . . . , Cn = Cn0
in such a way that y = y (x, C10 , C20 , . . . , Cn0 ) is a solution of the
differential equations satisfying the initial conditions



 y (x0 ) = y0
y 0 (x ) = y (1)

0 0


 .........
y (n−1) (x ) = y (n−1)

0 0
Separation of variables

Some simpler first-order differential equations can be solved

analytically by separation of variables using elementary integration.
The separable equations can be written in the form y 0 = f (x)g (y ).
But the necessary integrations may not be possible.
In addition, the result may be an implicit relation between y and x
instead of a formula for y in terms of x. Even so, this is an
important type of equation, and the separation of variables method
is very useful.
Equation M(x)dx + N(y )dy = 0.

The solution of such an equation can be found as

Z Z
N(y )dy = − M(x)dx + C .

To solve the initial value problem M(x)dx + N(y )dy = 0,

y (x0 ) = y0 one has to find the value for C such that the initial
condition would be satisfied of use the definite integral
Zx Zy
M(t)dt + N(s)ds = 0
x0 y0
Equation M1 (x)M2 (y )dx + N1 (x)N2 (y )dy = 0.

Assuming that the functions M1 ,M2 , N1 , N2 are continuous, the

equation can be written as
 M (x) N2 (y ) 
1
M2 (y )N1 (x) dx + dy = 0.
N1 (x) M2 (y )

It is satisfied if M2 = 0, N1 = 0, or
M1 (x) N2 (y )
dx + dy = 0.
N1 (x) M2 (y )

The last one is a differential equation of the previous type (if

N1 6= 0 and M2 6= 0).
An equation y 0 = f (x)g (y )

can be rewritten in a form

dy
= f (x)g (y )
dx
or  dy 
g (y ) − f (x)dx = 0.
g (y )
The solution of it is g (y ) = 0 or gdy
R R
(y ) = f (x)dx + C .
Linear ordinary differential equation

is an ordinary differential equation of order n that is linear in the

unknown function of one independent variable and its derivatives,
that is, an equation of the form

p0 (x)y (n) + p1 (x)y (n−1) + · · · + pn−1 (x)y 0 + pn (x)y = f (x),

where y (x) is the unknown function and p0 (x), . . . , pn (x), f (x) are
given functions. The functions p0 , p1 , . . . , pn are called the
coefficients,
f (x) is the free term.

If f (x) = 0, then the equation is called linear homogeneous

differential equation,
if f (x) 6= 0, then the equation is inhomogeneous.
Let’s define a linear differential operator L:

Ly := p0 y (n) + · · · + pn y .

The operator is linear, because we have:

L(y1 + y2 ) = Ly1 + Ly2 , L(cy ) = cLy .

Linear homogeneous differential equation can be represented as

Ly = 0,
the inhomogeneous linear differential equation has the form
Ly = f .
The following theorems hold :

If y1 , y2 , . . . ym are solutions of Ly = 0, then yH = C1 y1 + . . . Cm ym

( C1 , . . . Cm ∈ R) is also a solution of Ly = 0.

If yH is a solution of Ly = 0, and y∗ is a solution of Ly = f , then

y = yH + y∗ is a solution of Ly = f .

If y1 and y2 are both solutions of Ly = f , then y1 − y2 is a solution

of Ly = 0.

If y1 , . . . , yn are solutions of Ly = 0 and y∗ is one particular

solution of Ly = f ,
then the general solution of Ly = f can be written as

y = C1 y1 + . . . Cn yn + y∗ .
Linear ordinary differential equation of first order
can be written as y 0 + p(x)y = f (x).

For solving the linear ordinary differential equation of first order we

use Euler-Lagrange two-stage method.

The solution of linear system has a form y = yH + y∗ , where yH

are the solutions of the corresponding homogeneous equation.

First solve the homogeneous equation corresponding to the given

equation. The solution of y 0 + p(x)y = 0 can be found by
separation of variables. We obtain the one-parameter family of
solutions R
yH = Ce − p(x)dx ,
where C is an arbitrary constant.
The second step is to find a single solution y∗ of the
nonhomogeneous equation, called the particular solution.
For solving the equation y 0 + p(x)y = f (x) one can use the
method of variation of parameters, developed by the French
mathematician Joseph Louis Lagrange. Lagrange suspected that
the nonhomogeneous solution might be some ”modification” of the
homogeneous solution because the left-hand side of the differential
equation is the same. So he changed the constant C in the
homogeneous solution to aR function C (x) and tried a solution of
the form y∗ (x) = C (x)e − p(x)dx , calling the unknown function
C (x) a varying parameter.
If the solution of homogeneous equation is known ( yH = Cy0 (x)),
then we seek the solution of nonhomogeneous system in a form

y ∗ = C (x)y0 (x),

(the unknown is C (x) ). The idea is to substitute y∗ into the

nonhomogeneous equation y 0 + p(x)y = f (x) to find out what
C (x) must be.
So we substitute, differentiate and simplify:

C 0 (x)y0 (x) + C (x)y00 (x) + p(x)C (x)y0 (x) =

= C 0 (x)y0 (x) + C (x)(y00 (x) + p(x)y0 (x)) = f (x)

The happy surprise is that much cancels out (since

y00 (x) + p(x)y0 (x) = 0), and we are left with

C 0 (x)y0 (x) = f (x).

f (x)
Solving this for C 0 gives C 0 = y0 (x) and this can be integrated to
obtain C (x).
Now having found C (x), we’ve determined a particular solution
y∗ = C (x)y0 (x).

The general solution of y 0 + p(x)y = f (x) is the sum y = yH + y ∗.

Constant coefficient linear ordinary differential
equation

is a special case of a linear ordinary differential equation where the

equation has constant coefficients. The custom is to write it in the
form
y (n) + p1 y (n−1) + · · · + pn−1 y 0 + pn y = f (x), (1)
where y (x) is the unknown function, p1 , p2 , . . . , pn−1 , pn are given
real numbers and f (x) is a given real function. The solution of
such equation can be found as a sum of the general solution of the
corresponding homogeneous equation and one particular solution
of inhomogeneous equation.
Homogenous constant coefficient linear differential
equation
The homogeneous equation corresponding to (1) can be integrated
as follows. We seek the solution of

y (n) + p1 y (n−1) + · · · + pn−1 y 0 + pn y = 0 (2)

in the form y = e kx . Substituting this into our equation gives

(k n + p1 k n−1 + · · · + pn−1 k + pn )e kx = 0.

Because e kx is never equal to zero, the differential equation will be

satisfied precisely when

k n + p1 k n−1 + · · · + pn−1 k + pn = 0. (3)

This equation is called the characteristic equation of (2). The

characteristic equation is the key to finding the linearly
independent solutions of the differential equation.
The characteristic equation k n + p1 k n−1 + · · · + pn−1 k + pn has n
(possibly complex) roots. There are four possibilities for the
characteristic roots:
I all roots are real and unequal
I some real root is repeated (for example double root)
I a pair of conjugate complex roots
I repeated pair of complex roots

1) If all the roots are distinct: k1 6= k2 6= · · · =

6 kn ∈ R. Then the n
linearly independent solutions of (2) are e , e k2 x , . . . , e kn x .
k1 x

2) If the root ki has multiplicity m, then the corresponding linearly

independent solutions are e ki x , xe ki x , . . . , x m−1 e ki x .

3) If there is a complex root k = α ± iβ, then the solutions are

e αx cos βx are e αx sin βx.
Example 1. To find the general solution of y 00 + 5y 0 + 6y = 0, we
write its characteristic equation k 2 + 5k + 6 = 0. The
characteristic roots are k1 = −2 and k2 = −3. Two linearly
independent solutions are given by e −2x and e −3x and the general
solution by y (x) = C1 e −2x + C2 e −3x .
Example 2. To solve the equation y 00 + 4y 0 + 4 = 0 we note that
the characteristic equation k 2 + 4k + 4 = 0 has double root
k = −2. Two linearly independent solutions are given by e −2x and
xe −2x and the general solution is y (x) = C1 e −2x + C2 xe −2x
Example 3. The characteristic equation of y 00 − 4y 0 + 13y = 0 is
k 2 − 4k + 13 = 0 The characteristic roots are the complex
conjugates k1 , k2 = 2 ± 3i. Here we have α = 2 and β = 3, the
linearly independent solutions are e 2x cos 3x and e 2x sin 3x and the
general solution is y (x) = C1 e 2x cos 3x + C2 e 2x sin 3x.
A particular solution of nonhomogeneous constant
coefficient linear differential equation
In case the function f (x) belong to certain family of functions, we
can use the method of undetermined coefficients.
The method we describe here is restricted to differential equations
with constant coefficients and to certain families of function f (x).
The method works only if f (x) is
I a polynomial in x,
I e αx ,
I cos kx and/or sin kx
I finite products of the above functions
that is if f (x) is a quasipolynomial, i.e can be written as

f (x) = e αx (Pn (x) cos βx + Qn (x) sin βx),

where Pn (x) and Qn (x) are polynomials of degree ≤ n,

the solution y∗ can be found by method of undetermined
coefficients:

If the number α + iβ is not a root of (3), one looks for a particular

solution of (1) in the form

y∗ = e αx (Rn (x) cos βx + Sn (x) sin βx).

Here Rn (x) and Sn (n) are polynomials of degree n with

undetermined coefficients.
If α + iβ is a root of (3) of multiplicity m, then one looks for a
particular solution of (1) in the form

y∗ = x m e αx (Rn (x) cos βx + Sn (x) sin βx).

Example 1.

To solve the differential equation y 0 + y = x we first solve the

corresponding homogeneous equation y 0 + y = 0. We find the
roots of the characteristic equation k + 1 = 0. The only root is
k = −1 and yH = Ce −x .
Next we look at f (x) = x = e 0x (x · cos(0x) + 0 · sin(0x)), that is
α = 0 and β = 0 and n = 1. Since 0 + 0 · 1 = 0 is not a
characteristic root, we seek y ∗ in the form

y∗ = e 0x ((ax + b) cos(0x) + (cx + d) sin(0x)) = ax + b

That means, if f (x) is a polynomial of degree 1, we seek for a y∗

as a polynomial of degree 1. We need to find the values for
coefficients a and b.
Therefore we find y∗0 and substitute both y∗ and y∗0 = a into the
original equation.
a + ax + b = x
Solving it gives us (
a=1
b = −1
and therefore y∗ = x − 1. The general solution is a sum
y (x) = yH + y∗ = Ce −x + x − 1.
Example 2.

Find the general solution of y 00 + y 0 − 6y = xe 2x .

First solve the homogeneous equation y 00 + y 0 − 6y = 0. The
characteristic equation k 2 + k − 6 = 0 has roots k1 = 2 and
k2 = −3, the solution is yH = C1 e 2x + C2 e −3x .
Next look at f (x)

f (x) = xe 2x = e 2x (x · cos(0x) + 0 · sin(0x))

so we have α = 2 and β = 0 and n = 1. k = 2 + 0 · i is a

characteristic root (once), therefore we seek for y∗ in the form

y∗ =x 1 e 2x ((ax + b) cos(0x) + (cx + d) sin(0x)) =

=x(ax + b)e 2x = (ax 2 + bx)e 2x
In order to determine a and b we find y∗0 and y∗00 and
y∗0 =(2ax + b)e 2x + (ax 2 + b)2e 2x = (2ax 2 + (2a + 2b)x + b)e 2x
y∗00 =(4ax + 2a + 2b)e 2x + (2ax 2 + (2a + 2b)x + b)2e 2x =
=(4ax 2 + (8a + 4b)x + 2a + 4b)e 2x
substitute them together with y ∗ into the differential equation
(4ax 2 + (8a + 4b)x + 2a + 4b)e 2x +
+(2ax 2 + (2a + 2b)x + b)e 2x −
−6(ax 2 + bx)e 2x = xe 2x
After canceling we obtain
( (
1
10ax = x a = 10
10ax + 2a + 5b = x ⇒ ⇒ 1
2a + 5b = 0 b = − 25
1 2 1 2x
Therefore y∗ = ( 10 x − 25 x)e and the general solution is
1 2 1
y (x) = C1 e 2x + C2 e −3x + ( x − x)e 2x .
10 25