Advanced Engineering Mathematics (Spring 2025)-SNU CEE Hyoseob Noh (hyoddubi1@[Link].

kr)

F31.201 Advanced Engineering Mathematics

In-Class Material: 3
Ch. 1 in the textbook

Objectives

• First-order ODEs: Equations including only the first derivative y ′ ( This equations may contain y and any

given functions of x. )

• Introduce to First-order ODEs

• Separable ODEs

• Exact ODEs

• Linear ODEs

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Chapter 1

First-Order ODEs

1.1 Basic Concepts. Modeling

1.1.1 Modeling

• The typical steps of modeling in detail

1. The transition from the physical situation to its mathematical formulation

2. The solution by a mathematical method

3. The physical interpretation of differential equations and their applications

1.1.2 Differential Equation

Definition: A differential equation is an equation containing derivatives of an unknown function.

• Ordinary Differential Equation (ODE): An equation that contains one or several derivatives of an

unknown function of a single independent variable.

– Examples:

y ′ = cos x, y ′′ + 9y = e−2x , y y ′′ − 3
2 (y ′ )2 = 0.

• Partial Differential Equation (PDE): An equation involving partial derivatives of an unknown function

of two or more variables.

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– Example:
∂2u ∂2u
+ = 0.
∂x2 ∂y 2

1.1.3 Order of a Differential Equation

Order: The highest derivative of the unknown function appearing in the equation.

• Examples:

(1) y ′ = cos x ⇒ first order

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(2) y ′′ + 9y = e−2x ⇒ second order

(3) y ′ y ′′′ − 32 (y ′ )2 = 0 ⇒ third order

First-Order ODE. Equations that contain only the first derivative y ′ , and may also contain y or any functions

of x.

• Explicit Form: y ′ = f (x, y)

• Implicit Form: F (x, y, y ′ ) = 0

1.1.4 Solution of a Differential Equation

Concept of Solution

A function

y = h(x)

is a solution of the ODE (4) on an open interval a < x < b if h(x) is defined and differentiable there, and if

substituting y = h and y ′ = h′ into the ODE makes it an identity. The graph of h is called a solution curve.

Here, a < x < b excludes the endpoints a and b. This notation also covers infinite intervals such as

−∞ < x < b, a < x < ∞, or − ∞ < x < ∞.

Solution: A function (or set of functions) that makes the equation hold true.

• General Solution: A solution containing an arbitrary constant.

• Particular Solution: A solution obtained by choosing a specific constant (or constants).

• Singular Solution (see Problem 16): An additional solution that cannot be obtained from the general

solution.

Example (Problem 16). Given the ODE:

(y ′ )2 − x y ′ + y = 0.

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• General solution: y = c x − c2 .

• Particular solution: y = 2x − 4.

x2
• Singular solution: y = 4 .

1.1.5 Initial Value Problems (IVP)

An initial value problem is an ODE together with a specified value of the unknown function at a particular

point in its domain:

y ′ = f (x, y), y(x0 ) = y0 .

Example 4. Solve the IVP

y ′ = 3y, y(0) = 5.7.

1. Find the general solution. From earlier examples,

y(x) = c e3x .

2. Apply the initial condition. Since y(0) = c e0 = c = 5.7, we get

y(x) = 5.7 e3x .

This is the particular solution.

1.1.6 Modeling Example: Radioactive Decay

Example 5. Suppose we have an initial 0.5 g of a radioactive substance. Find the amount y(t) present at any

time t.

• Physical Information. Experiments show that a radioactive substance decays at a rate proportional to
dy
the amount present, i.e. dt = −k y.

• y(0) = 0.5.

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Step 1. Setting up a mathematical model.

dy
= −k y =⇒ initial condition: y(0) = 0.5.
dt

Step 2. Mathematical solution.

y(t) = c e−kt .

Applying y(0) = 0.5 gives c = 0.5, so y(t) = 0.5 e−kt . Check:

dy
= −0.5 k e−kt = −k y and y(0) = 0.5.
dt

Step 3. Interpretation of result.

lim y(t) = 0.
t→∞

1.2 Geometric Meaning of y ′ = f (x, y). Direction Fields, Euler’s Method

1.2.1 Direction Fields

Definition: A direction field is a graphical representation that includes pairs of grid points (x, y) and small line

segments through those points with slopes matching y ′ = f (x, y). Each line segment corresponds to the tangent

line of a solution curve.

Why direction fields are important:

• You need not solve the ODE explicitly to get a qualitative understanding.

• The method shows the entire family of solutions and their typical behaviors.

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1.2.2 Numeric Method by Euler

Euler’s method yields approximate solution values at equidistant x-values, starting from an initial value y(x0 ) =

y0 .

• Let the step size be h.

x1 = x0 + h, y1 = y0 + h f (x0 , y0 ),

x2 = x0 + 2h, y2 = y1 + h f (x1 , y1 ),

x3 = x0 + 3h, y3 = y2 + h f (x2 , y2 ), ...

• Typically we plot the approximate values xn , yn to visualize the numerical solution’s trajectory.

Figure 1.1: Illustration of Euler’s Method: error between true solution and approximate steps.

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1.3 Separable ODEs. Modeling

1.3.1 Separable Equation

Definition: A differential equation is called separable if all the terms involving y can be collected (multiplied)

with the derivative, and all the terms involving x can be placed on the other side of the equality. Symbolically,

g(y) y ′ = f (x) since y ′ = dy

=⇒ g(y) dy = f (x) dx dx .

1.3.2 Method of Separating Variables

Z Z  
g(y) y ′ = f (x) =⇒ g(y) dy = f (x) dx + C where dy = y ′ dx .

Example 1. Solve y′ = 1 + y2 .

Z Z
dy 1
y′ = 1 + y2 =⇒ = dx =⇒ dy = 1 dx + C.
1 + y2 1 + y2

Hence

arctan(y) = x + C =⇒ y = tan (x + C).

1.3.3 Example 5: Mixing Problem

Mixing problems occur frequently in chemical engineering. We solve the basic model involving a single tank.

Suppose the tank in Fig. 11 contains 1000 gal of water, initially with 100 lb of salt dissolved. Brine enters at 10

gal/min, each gallon containing 5 lb of salt. The mixture is kept uniform by stirring, and drains at 10 gal/min.

Find the amount of salt y(t) in the tank at any time t.

• Step 1: Setting up a model. Let y(t) be the amount of salt (lb) in the tank at time t. By the “balance

law,”
dy   y
y
= (10 gal/min × 5 lb/gal) − 10 gal/min × 1000 lb/gal =⇒ y ′ = 50 − .
dt | {z } | {z } 100
50 lb/min inflow y
100 lb/min outflow

The initial condition is y(0) = 100.

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• Step 2: Solution of the model.

y dy 1
y ′ = 50 −


=⇒ =− y − 5000 .
100 dt 100

Rewrite:
dy 1
=− dt.
y − 5000 100

Integrating and exponentiating,

1 t
ln|y − 5000| = − t + C∗ =⇒ y − 5000 = c e− 100 ,
100

∗
where c = eC . Using y(0) = 100 gives

t
100 − 5000 = c e0 =⇒ c = −4900, so y(t) = 5000 − 4900 e− 100 .

1.3.4 Extended Method: Reduction to Separable Form

Certain first-order ODEs that are not obviously separable can become separable through a suitable change of

variables. A homogeneous ODE

y
y′ = f can be reduced to separable form by the substitution y = ux
x

y du dx
⇒ y′ = f ⇒ u′ x + u = f (u) ⇒ =
x f (u) − u x

 y 
y = ux ⇒ u= , y ′ = (ux)′ = u′ x + u
x

Ex. 6 Solve 2xyy ′ = y 2 − x2

   
′ 2 2 1
′ y x ′ 1 1
2xyy = y − x ⇒ y = − ⇒ ux+u= u−
2 x y 2 u

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2u 1
⇒ du = − dx
u2 +1 x

c  y 2 c
⇒ u2 + 1 = ⇒ +1= ⇒ x2 + y 2 = cx
x x x

1.4 Exact ODEs, Integrating Factors

1.4.1 Exact Differential Equation

Definition: The ODE

M (x, y) dx + N (x, y) dy = 0

is called exact if the left-hand side equals the total differential du of some function u(x, y); in other words,

∂u ∂u
du = dx + dy = M (x, y) dx + N (x, y) dy.
∂x ∂y

∂u ∂u
Hence M = ∂x , N= ∂y .

Condition for Exactness:

∂M ∂N
=
∂y ∂x

must hold in the domain of interest.

1.4.2 Solving an Exact Differential Equation

• If M (x, y) = ∂u
∂x , we can integrate M (x, y) w.r.t. x:

Z
u(x, y) = M (x, y) dx + k(y),

∂u
where k(y) is an arbitrary function of y. Then we use N = ∂y to determine k(y).

• Equivalently, integrate N (x, y) w.r.t. y:

Z
u(x, y) = N (x, y) dy + l(x).

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Advanced Engineering Mathematics (Spring 2025)-SNU CEE Hyoseob Noh (hyoddubi1@[Link])

Example 1.

Solve

cos(x + y) dx + 3y 2 + 2y + cos(x + y) dy = 0.

Step 1: Test for exactness.

∂M
M (x, y) = cos(x + y), = − sin(x + y).
∂y

∂N
N (x, y) = 3y 2 + 2y + cos(x + y), = − sin(x + y).
∂x

∂M ∂N
Since ∂y = ∂x , it is exact.

Step 2: Implicit general solution.

Z Z
u(x, y) = M (x, y) dx + k(y) = cos(x + y) dx + k(y) = sin(x + y) + k(y).

Then ∂u
∂y = cos(x + y) + k ′ (y). But we must match N (x, y), so

cos(x + y) + k ′ (y) = 3y 2 + 2y + cos(x + y) =⇒ k ′ (y) = 3y 2 + 2y.

Hence k(y) = y 3 + y 2 + c∗ . Thus,

u(x, y) = sin(x + y) + y 3 + y 2 .

The implicit general solution is

u(x, y) = sin(x + y) + y 3 + y 2 = c.

Step 3: Check an implicit solution (optional).

∂u ∂u
dy = cos(x + y) dx + cos(x + y) + 3y 2 + 2y dy = 0.


du = dx +
∂x ∂y

1.4.3 Reduction to Exact Form, Integrating Factors

Some ODEs can be made exact by multiplying by a suitable nonzero function F (x, y), called an integrating factor.

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Example 4. Consider −y dx + x dy = 0.

∂ ∂
(−y) = −1, (x) = 1.
∂y ∂x

1
That equation is not exact. But multiplying by x2 yields

y 1
− 2
dx + dy = 0,
x x

which is exact because

∂  y  1 ∂ 1 1
− 2 = − 2, = − 2.
∂y x x ∂x x x

They match, so the new equation is exact.

How to Find Integrating Factors

For an ODE F dx + F Q dy = 0 (written to illustrate a factor approach), we want

∂
∂

FP = FQ .
∂y ∂x

Sometimes we guess that F depends only on x or only on y. If that fails, we look for more advanced forms.

F P dx + F Q dy = 0.

The exactness condition:

∂(F P ) ∂(F Q)
= .
∂y ∂x

Golden Rule: If you cannot solve your problem, try to solve a simpler one.

Hence, we look for an integrating factor depending only on one variable.

Case 1) F = F (x)

1 dF 1  ∂P ∂Q 
= R(x) = − .
F dx Q ∂y ∂x

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Therefore,
Z  Z 1  ∂P ∂Q  
F (x) = exp R(x) dx = exp − dx .
Q ∂y ∂x

Case 2) F ∗ = F ∗ (y)

1 dF ∗ ∗ 1  ∂Q ∂P 
= R (y) = − .
F ∗ dy P ∂x ∂y

Hence,
Z  Z 1  ∂Q ∂P  
∗ ∗
F (y) = exp R (y) dy = exp − dy .
P ∂x ∂y

Example.

Find an integrating factor and solve the initial value problem:

ex+y + yey dx + (xey − 1)dy = 0,

y(0) = −1

Step 1: Check Exactness

Let

P (x, y) = ex+y + yey , Q(x, y) = xey − 1

Then,
∂P
= ex+y + ey + yey = ex+y + ey (1 + y)
∂y

∂Q
= ey
∂x

∂P ∂Q
Since ∂y ̸= ∂x , the equation is not exact.

Step 2: Multiply by Integrating Factor

Try integrating factor µ(y) = e−y . Multiply both terms:

e−y ex+y + yey dx + e−y (xey − 1)dy = 0

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Simplify:

(ex + y)dx + (x − e−y )dy = 0

Let

P̃ (x, y) = ex + y, Q̃(x, y) = x − e−y

Check exactness:
∂ P̃ ∂ Q̃
= 1, =1 ⇒ Equation is exact.
∂y ∂x

Step 3: Find the Potential Function

Find u(x, y) such that

Z
∂u
= ex + y ⇒ u(x, y) = (ex + y) dx = ex + xy + k(y)
∂x

Now compute:
∂u !
= x + k ′ (y) = x − e−y ⇒ k ′ (y) = −e−y ⇒ k(y) = e−y
∂y

So,

u(x, y) = ex + xy + e−y

Step 4: Apply Initial Condition

Given y(0) = −1, we substitute:

u(0, −1) = e0 + 0 + e1 = 1 + e ⇒ c=1+e

Final Answer:

ex + xy + e−y = 1 + e

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1.5 Linear ODEs. Bernoulli Equation. Population Dynamics

1.5.1 Linear vs. Nonlinear ODEs

Linear ODE: An ODE that is linear in both the unknown function and its derivatives. For example,

y ′ + p(x) y = r(x) (linear differential equation),

whereas

y ′ + p(x) y = r(x) y 2 (nonlinear differential equation).

1.5.2 Standard Form

A linear first-order ODE can be written as

y ′ + p(x) y = r(x).

We call r(x) the input, y(x) the output.

Homogeneous and Nonhomogeneous

y ′ + p(x) y = 0 (homogeneous), y ′ + p(x) y = r(x) ̸= 0 (nonhomogeneous).

1.5.3 Homogeneous Linear ODE

A first-order linear ODE of the form

y ′ + p(x) y = 0

is called homogeneous. We can solve it by separating variables:

Z
′ dy R
y = −p(x) y =⇒ = −p(x) dx =⇒ ln |y| = − p(x) dx + C =⇒ y = C e− p(x) dx
.
y

Equivalently, we often write

R
y = c e− p(x) dx

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where c is an arbitrary constant.

1.5.4 Nonhomogeneous Linear ODE

A more general first-order linear ODE is

y ′ + p(x) y = r(x).

This is typically not separable. Instead, we find an integrating factor:

R
p(x) dx
µ(x) = e .

Multiplying both sides by µ(x) gives

d h i
µ(x) y ′ + µ(x) p(x) y = µ(x) r(x) =⇒ µ(x) y = µ(x) r(x).
dx

Then integrate w.r.t. x:

Z R hZ R i
− p(x) dx p(x) dx
µ(x) y = µ(x) r(x) dx + C =⇒ y=e e r(x) dx + C .

Total Output = Response to the Input r + Response to the Initial Data

Example. 0

Solve the Linear ODE y ′ − y = ex

Z
x
p = −1, r=e , h= p dx = −x

Z  Z  Z 
−h h x −x x x
⇒ y=e e r dx + c = e e e dx + c = e 1 dx + c = ex (x + c)

⇒ y = ex x + cex

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Example 1.

Solve the initial value problem:

y ′ + y tan x = sin 2x, y(0) = 1

Solution. Here,

p = tan x, r = sin 2x = 2 sin x cos x

Z Z
h= p dx = tan x dx = ln | sec x|

From this we see that:

eh = sec x, e−h = cos x, eh r = (sec x)(2 sin x cos x) = 2 sin x

and the general solution of our equation is:

Z 
y(x) = cos x 2 sin x dx + c = cos x (−2 cos x + c) = c cos x − 2 cos2 x

From this and the initial condition:

y(0) = 1 ⇒ 1 = c · 1 − 2 · 12 ⇒ c = 3

Thus, the solution of our initial value problem is:

y = 3 cos x − 2 cos2 x

Here, 3 cos x is the response to the initial data, and −2 cos2 x is the response to the input sin 2x.

1.5.5 Bernoulli Equation

A Bernoulli equation has the form

y ′ + p(x)y = g(x)y a (a ̸= 0 & a ̸= 1)

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We set
1−a
u(x) = [y(x)]

⇒ u′ = (1 − a)y −a y ′ = (1 − a)y −a (gy a − py) = (1 − a)(g − py 1−a ) = (1 − a)(g − pu)

⇒ u′ + (1 − a)pu = (1 − a)g : the linear ODE

Example 4: Logistic Equation Solve the following Bernoulli equation, known as the logistic equation (or

Verhulst equation):

y ′ = Ay − By 2

y ′ = Ay − By 2 ⇒ y ′ − Ay = −By 2 & a=2 (u = y −1 )

⇒ u′ = −y −2 y ′ = −y −2 (Ay − By 2 ) = −Ay −1 + B = −Au + B ⇒ u′ + Au = B

Z Z  Z 
p = A, r=B ⇒ h= p dx = Ax & u = e−h eh r dx + c = e−Ax eAx B dx + c

   
−Ax B Ax B −Ax
=e e +c = + ce
A A

The general solution of the Verhulst equation is:

1 1
y= = 
u B
+ ce−Ax
A

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1.5.6 Population Dynamics

The logistic equation is important in modeling population growth of plants, animals, or humans over time.

• If B = 0, the equation y ′ = A y yields exponential growth y(t) = c eAt , known as Malthus’s law.

• The term −B y 2 is a braking term that prevents unbounded growth.

1.6 Orthogonal Trajectories

Orthogonal Trajectory: A family of curves that intersect a given family of curves at right angles.

• Step 1. Find the ODE y ′ = f (x, y) whose general solution represents the original family of curves.

• Step 2. The orthogonal trajectories satisfy y ′ = − f (x,y)

1
. (Because if two curves intersect at right angles,

their slopes at that point are negative reciprocals.)

• Step 3. Solve the new ODE for the orthogonal trajectories.

Example. A one-parameter family of parabolas is given by

y = c x2 .

• Differentiate: y ′ = 2 c x.

• But c = y
So y ′ = 2 y 2y


x2 . x2 x= x .

• Thus the original family satisfies y ′ = 2y

x .

• The orthogonal trajectories must satisfy y ′ = − 2xy .

• Solve that ODE to get the family of orthogonal curves (e.g. by separating variables). y 2 + 21 x2 = c∗

1.7 Existence and Uniqueness of Solutions for Initial Value Problems

An initial value problem may have:

• No solution,

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• Exactly one (unique) solution,

• More than one solution.

Examples.

• |y ′ | + |y| = 0, y(0) = 1. No solution

x3
• y ′ = x2 , y(0) = 1. Precisely one solution, y = 1 + 3 .

• y ′ = 2x, y(0) = 1. Precisely one solution, y = 1 + x2 .

• xy ′ = y − 1, y(0) = 1. Infinitely many solutions y = 1 + cx.

• Some ODEs can admit infinitely many solutions for a given initial condition (not typical for well-behaved

ODEs).

Problem of Existence: Under what conditions does an IVP have at least one solution?

Problem of Uniqueness: Under what conditions does an IVP have at most one solution?

Theorem 1 (Existence Theorem)

Let the right side f (x, y) of the ODE

y ′ = f (x, y), y(x0 ) = y0

be continuous in all (x, y) in some rectangle around (x0 , y0 ):

|x − x0 | < a, |y − y0 | < b.

Assume |f (x, y)| ≤ K for all (x, y) in that region, for some constant K. Then there exists at least one

solution y(x) of the IVP, valid at least in the subinterval

|x − x0 | < min(a, b/K).

(This statement can vary slightly in different textbooks, but the idea is the same: if f is bounded, the

solution exists at least in a neighborhood of x0 .)

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Theorem 2 (Uniqueness Theorem)

∂f
Let f and its partial derivative ∂y be continuous in the rectangle

|x − x0 | < a, |y − y0 | < b.

Suppose there exist constants K and M such that

∂f
|f (x, y)| ≤ K and ∂y (x, y) ≤M

throughout that rectangle. Then the initial value problem

y ′ = f (x, y), y(x0 ) = y0

has precisely one solution y(x). By the existence theorem, it exists at least for

 b
|x − x0 | < min a, ,
K

and uniqueness is guaranteed by the bound on ∂f /∂y.

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References

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