Module 1: First Order (Linear

and Nonlinear) ODE and

Applications

Existence and Uniqueness

Reading Assignment: Textbook Section 1.2
We have considered so far an equation of the general form (IVP)
{ dy
dx = f (x, y),
y(x0 ) = y0
There are several questions (already mentioned earlier) one can ask about
a differential equation.
1. The Existence Problem: Does a solution exist? How can one tell that a
solution does exist?
2. The Uniqueness Problem: If a solution does exist, how unique is it?
Are there any other solutions? Is there a way to parameterize all the solutions
of a given differential equation?
3. The Solution Problem: How does one actually solve (or construct a
solution of) a given differential equation?
In the preceding sections we have addressed only the third problem for
the case of first-order (linear or nonlinear) differential equations. That is, we
have shown how to construct a solution, but we have not discussed whether
or not it is possible to find other solutions, or when our method for constructing
a solution might fail. So, in this section, we shall present a more thorough
discussion of these problems.
The questions of existence and uniqueness for the solutions of a first-order
linear differential equation is answered by the following fundamental theorem
(which we shall not prove).
∂f
Theorem 1 Picard’s Theorem If f (x, y) and ∂y = fy (x, y) are continuous
functions on an open rectangular region
R = {(x, y) : a ≤ x ≤ b, c ≤ y ≤ d}
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containing the point (x0 , y0 ). Then there exists one and only one (unique) so-
lution y(x) of the differential equation
dy
= f (x, y), ∀x ∈ [a, b]
dx
defined on an open neighborhood (or interval centered around x0 ) (x0 − h, x0 +
h) of the point x0 satisfying the initial condition
y(x0 ) = y0 .
The above-theorem is also called the Existence and Uniqueness theorem.
Although the theorem may seem a bit technical, the theorem is actually very
easy to apply and, moreover, it yields a very strong result. Simply put, it tells
us that:
1. If we want to know if there is a solution, all we have to do is to check if the
functions f (x, y) and fy (x, y) are continuous in a rectangular region containing
the point (x0 , y0 ).
2. If we have one solution and both f (x, y) and fy (x, y) are continuous
around (x0 , y0 ), then we have all the solutions.
Example 2 On what intervals can we expect unique solutions to
dy y2
= .
dt 1 − t2
2
y 2y
Solution For this example, we have f (x, y) = 1−t 2 and fy (x, y) = 1−t2 .

Both functions are continuous except on the lines t = ±1. The Existence and
Uniqueness theorem shows that we can expect one and only one solution of
{
dy y2
dt = 1−t2 ,
y(t0 ) = y0
as long as t0 ̸= ±1, that is to say as long as
t0 ∈ (−∞, −1)U (−1, +1)U (+1, +∞).
Recall from an earlier section that the solution of the first-order linear initial
value problem (IVP) { ′
y + p(t)y = g(t),
y(t0 ) = y0
is given by
{ ∫t y0
1
y(t) = µ(t) t0
µ(t)g(t)dt + µ(t) , where
∫t
p(t)dt
µ(t) = e t0

Let us reconsider this result with the existence and uniqueness theorem.
Note that our equation can be written as
y ′ = g(t) − p(t)y.
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The existence and uniqueness theorem tells us that we will have a unique
solution as long as

∂f
f (x, y) = g(t) − p(t)y, and (t, y) = −p(t)
∂y

are continuous on a neighborhood of the point (t0 , y0 ). The two functions f

and fy in are obviously continuous with respect to y, therefore the only places
where the theorem can break down are the regions where g(t) or p(t) are dis-
continuous. On the other hand, the solution (with the integrating factor) seems
to provide us with a formula for a solution in any case. However, there is a
subtlety here. If you read your Calculus I notes carefully, you will see that the
integrals like those appearing in the formula above are only guaranteed to exist
when their integrands are continuous functions. In other words, the formula re-
ally only makes sense when g(t) and p(t) are continuous functions. Therefore,
the formula and the existence and uniqueness theorem have essentially the
same range of application. But they are still not equivalent. The formula pro-
vides us with one solution of the IVP but tells us nothing more. The existence
and uniqueness theorem tells us that there can be only one solution of the IVP
but it does not tell us what the solution is. Using the formula and the theorem
together, however, we can conclude that the solution is indeed the only solution
of the IVP.
So, just what does this theorem tell us? First, it tells us that for nice enough
linear first order differential equations solutions are guaranteed to exist. We
may not be able to find them, but do know that they will exist. Next, if the
interval in the theorem is the largest possible interval on which p(t) and g(t) are
continuous then the interval is the interval of validity for the solution.
This means, that for linear first order differential equations, we won’t need
to actually solve the differential equation in order to find the interval of validity.
Notice as well that the interval of validity will depend only partially on the initial
condition. The interval must contain to, but the value of yo, has no effect on the
interval of validity.

Example 3 Consider the following nonlinear initial value problem

{ √
y ′ = 12 (−t + t2 + 4y),
y(2) = −1

Verify that the functions y1 (t) = 1 − t, y2 (t) = − 14 t2 are both solutions to

the initial value problem. Does it contradict to the Existence and Uniqueness
theorem?
Solution This does not contradict the existence and uniqueness theorem
because the function
1 √
f (x, y) = (−t + t2 + 4y)
2
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does not have a continuous partial derivative fy at the point (t0 , y0 ) = (2, −1).
In fact,
∂F 1
(t, y) = √
∂y 2
t + 4y
which is undefined when t = 2 and y = −1.