PROGRAMME
Mathematical Methods for Scientists and Engineers
Jack Andrew Urombo
Harare Institute of Technology
Contents
List of Figures iii
List of Tables 1
1 Ordinary Dierential Equations 1
1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.1.1 Qualitative Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.1.2 Existence and Uniqueness of Solutions . . . . . . . . . . . . . . . . . . . 5
1.2 First Order Dierential Equations . . . . . . . . . . . . . . . . . . . . . . . . . 5
1.2.1 Separation of Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.2.2 Reducible Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.2.3 Homogeneous Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
1.2.4 Exact Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
1.2.5 Linear First Order Equations . . . . . . . . . . . . . . . . . . . . . . . . 14
1.3 Linear Dierential Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
1.3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
1.3.2 Homogeneous Equation with Constant Coecients . . . . . . . . . . . . 24
1.3.3 Method of Undetermined Coecients . . . . . . . . . . . . . . . . . . . 27
1.3.4 The DOperator Method . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
1.3.5 Variation Of Parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
1.3.6 Reduction of Order . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
1.3.7 Higher Order Dierential Equations . . . . . . . . . . . . . . . . . . . . 40
1.4 Series Solution of Dierential Equations . . . . . . . . . . . . . . . . . . . . . . 41
1.4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
1.4.2 Solution at an Ordinary Point . . . . . . . . . . . . . . . . . . . . . . . . 43
1.4.3 Method of Frobenius . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
1.4.4 Bessels Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
1.5 Laplace Transforms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
1.5.1 Denitions and Properties . . . . . . . . . . . . . . . . . . . . . . . . . . 51
1.5.2 Denitions and Properties . . . . . . . . . . . . . . . . . . . . . . . . . . 52
1.5.3 Laplace Transforms of Periodic Functions . . . . . . . . . . . . . . . . . 57
1.5.4 Laplace Transforms of Derivatives . . . . . . . . . . . . . . . . . . . . . 58
1.5.5 Laplace Transforms of Integrals . . . . . . . . . . . . . . . . . . . . . . . 61
1.5.6 Partial Fractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
1.5.7 System of Dierential Equations and Laplace Transforms . . . . . . . . 68
i
1.5.8 Dierentiation and Integration of Laplace Transforms . . . . . . . . . . 68
1.5.9 The Convolution Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . 70
1.6 Systems of Dierential Equations . . . . . . . . . . . . . . . . . . . . . . . . . . 74
1.7 Applications of Ordinary Dierential Equations . . . . . . . . . . . . . . . . . . 74
1.7.1 Mechanical Vibrations . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
2 Vector Calculus 1
2.1 Introduction to Vector Calculus . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
2.1.1 Vector Algebra . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
2.1.2 Scalar Product . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
2.1.3 Scalar Triple Product . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.1.4 Vector Triple Product . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.1.5 Some Applications of the Scalar, Vector and Triple Products . . . . . . 7
2.1.6 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
2.1.7 Scalar and Vector Fields . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.1.8 Unit Objectives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.1.9 Vector Field . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.2 Gradient . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
2.3 Dierentiation of Vector Valued Functions . . . . . . . . . . . . . . . . . . . . . 16
2.3.1 Divergence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
2.3.2 Curl . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.3.3 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
2.4 Integration of Vector Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
2.4.1 Line Integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
2.4.2 Surface Integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
2.4.3 Volume Integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
2.4.4 Integral Forms of Gradient, Divergence and Curl . . . . . . . . . . . . . 28
2.5 Integral Theorems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
2.5.1 Gauss(Divergence) Theorem . . . . . . . . . . . . . . . . . . . . . . . . . 29
2.5.2 Stokes(Curl) Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
2.5.3 Greens Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
2.5.4 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
3 Linear Algebra 1
3.1 Systems of Linear Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
3.1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
3.1.2 Linear Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
3.1.3 Elementary Row Operations . . . . . . . . . . . . . . . . . . . . . . . . . 4
3.1.4 Reduced Row Echelon Form . . . . . . . . . . . . . . . . . . . . . . . . . 7
ii
List of Figures
1.7.1 SpringMass System . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
2.1.1 Vector Representation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
2.1.2 Vector Addition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
2.1.3 Direction Cosines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
2.1.1 Scalar Product . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2.1.2 Vector Projection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2.1.3 Vector Product . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.1.1 Distance of a Point from a given Plane . . . . . . . . . . . . . . . . . . . . . . . 8
2.1.2 Cosine Rule . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
2.1.3 Work done by a Force . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
2.1.4 Rotation of a Solid Body . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
2.1.5 Lorentz Force . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
2.1.6 Area of a Parallegram . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
2.1.7 Volume of a Parallepiped . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
2.1.1 Isosurfaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.1.1 Flowlines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
2.3.1 Physical Interpretation of Divergence . . . . . . . . . . . . . . . . . . . . . . . . 18
2.4.1 Line Integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
2.4.2 Line Integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
2.4.3 Line Integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
2.4.1 Surface Integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
2.4.2 Unit Cube and Plane x + 2y + 3z = 6 . . . . . . . . . . . . . . . . . . . . . . . 24
2.4.3 Surface x
2
+y
2
= 4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
2.4.1 Volume Integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
2.4.2 Plane 3x + 2y z = 12 and Surface z = x
2
+ 1 . . . . . . . . . . . . . . . . . . 28
2.5.1 Proof of Gauss Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
2.5.2 Proof of Stokes Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
2.5.1 Hemisphere x
2
+y
2
+z
2
= 4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
2.5.1 Greens Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
iii
List of Tables
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1
Module 1
Ordinary Dierential Equations
1
2 Module 1: ODEs
1.1 Introduction
Dierential equations arise in many problems in science and engineering. In this module we
will look at the tools that are used to handle them as mathematical objects. The numerous
applications of these to many branches of science and engineering will also be explored.
A dierential equation is basically an equation that is a function of one or more derivatives.
The following are examples of dierential equations.
dy
dt
= 2ty (1.1.1)
3tdt + (1 3ty)dy = 0 (1.1.2)
x
2
dx
dt
(
d
2
x
dt
2
)
3
= e
t
(1.1.3)
d
4
u
dv
4
v = sin u (1.1.4)
y
= c
2
x
2
(1.1.5)
The rst four equations (1.1.1)(1.1.4) are ordinary dierential equations since they are functions
of only ordinary derivatives, while the last one is a partial dierential equation since it is
function of partial derivatives. A dierential equation is called a linear equation if it involves
only linear terms of the derivatives, and it said to be nonlinear otherwise. Only equation (1.1.3)
is nonlinear. The order of a dierential equation is given by the highest derivative occurring
in the equation, and the degree of the equation is given by the highest power of the highest
derivative occurring in the equation.
The above equations are classied as:
(i) and (ii) First order linear
(iii) Second order, nonlinear degree 3
(iv) Fourth order linear
(v) Second order linear.
In this unit we will explore dierent types of ordinary dierential equations(ODEs) and meth
ods of solving them. A separate unit will deal with partial dierential equations.
A function y = f(t) is called a solution of a dierential equation if it suciently dierentiable
and satises the equation. To illustrate the idea of a solution, let us consider the equation
dy
dt
= t + 1
To obtain a solution of this equation we integrate both sides with respect to t, which gives us
y =
1
2
t
2
+t +c
where c is the constant of integration. This solution is called the general solution, and all
functions that dier by a constant will satisfy our equation. The collection of these curves is
called the family of solutions. The solutions are plotted below:
[h]
To get a particular curve, for instance one that passes through the a given point, we need
the initial condition. If the curve passes through (0,1), then the initial condition is y(0) = 1.
Substituting y = 1 when t = 0, gives c = 1. The solution is thus
y =
1
2
t
2
+t + 1
Math. Meth. for Sci.&Eng. 3
y =
1
2
t
2
+t
Example 1.1.0.1 Show that y(t) = c
1
cos 2t+c
2
sin 2t is a solution of the equation
d
2
y
dt
2
+4
dy
dt
=
0. Hence nd the solution that satises the conditions y(0) = 0 and y
(1) = 1
Solution 1.1.0.1 To show that y(t) = c
1
cos 2t + c
2
sin 2t is a solution of the equation we
substitute for it in the equation. We have that
y
(t) = 2c
1
sin 2t + 2c
2
cos 2t and y
(t) = 4c
1
cos 2t 4c
2
sin 2t
Substituting into the equation
4c
1
cos 2t 4c
2
sin 2t + 4c
1
cos 2t + 4c
2
sin 2t = 0
Therefore y is a solution of the equation. Now to use the initial conditions, when t = 0, y =
0 =0 = c
1
+c
2
.0 =c
1
= 0 and t = 0, y = 1 =1 = 2c
1
sin 2+2c
2
cos 2 =c
1
= 1/2 sec 2
The solution that satises the given conditions is y = sec 2 cos 2t and its graph is given below
1.1.1 Qualitative Analysis
The equations given discussed above and in the example are fairly easy and can be solved
analytically. In general the dierential equations encountered in applications are not easy to
solve analytically, and such solutions may not exist. In such cases approximation and numerical
methods are employed.
However, in qualitative analysis, we analyse the behaviour of a dierential equation without
obtaining the explicit its solution. One such important tool for qualitative analysis of rst order
equation is to analyse the direction eld of the solution of the equation.
Consider the rst order dierential equation
y
=
dy
dt
= f(t, y).
If y(t) is a solution of the equation, then at any point (t
0
, y
0
), its slope is given by
dy
dt
. This
means that the slope is f(t
0
, y
0
). So the slope of the solution at any point (t, y) is f(t, y). Near
the point (t
0
, y
0
) the solution can be approximated by its tangent there. A plot of the tangents
at various points is called the direction eld of the equation.
The direction eld reveals the qualitative nature and behaviour of the solution of the dierential
equation. A sketch of the solution can be obtained without explicitly nding the solution.
4 Module 1: ODEs
Example 1.1.1.1 Find the direction eld of
y
= y(2 y)
and give a qualitative analysis of the solution.
Solution 1.1.1.1 The slope is given by f(t, y) = y(2 y). There are two observations to
be made here. First, the gradient does not depend on t and, secondly the slope is zero when
y(2 y) = 0 or y = 0 and y = 2. There are three regions to consider.
1. y < 0 For this range y is negative and 2 y is positive. The slope is negative and falls
steeply as y decreases, as can be seen from the calculation
when y = 1, f(t, y) = 3; y = 2, f(t, y) = 8; and y = 3, f(t, y) = 15.
2. 0 < y < 2 In this range y is positive and 2 y is positive. The slope is positive and rises
from zero at y = 0 and then fall to zero when y = 2, as y increases. This can be seen
from the calculation
when y = 0.25, f(t, y) = 0.4375; y = 1, f(t, y) = 1; y = 1.5, f(t, y) = 0.75; and y = 1.75,
f(t, y) = 0.4375.
3. y > 2 For this range y is positive and 2 y is negative. The slope is negative and rises
steeply as y increases, as can be seen from the calculation
when y = 3, f(t, y) = 3; y = 4, f(t, y) = 8; and y = 5, f(t, y) = 15.
Although we have not solved the equation valuable deductions can be made about the
solution y(t) of the equation.
A sketch of the direction is given below:
2 0 2 4 6 8 10
4
3
2
1
0
1
2
3
4
t
y
y = y (2 y)
Now for the analysis of the behaviour of the solution. It should be noted that the solution
depends on the initial value y(0) = y
0
. If y
0
< 0, y(t) . If 0 < y
0
< 2, y(t) increases
from 0 and approaches 2 as t . Finally, if y
0
> 0, y(t) decreases to 2.
The example given here fairly straightforward. The plotting of the direction eld becomes
complicated if the independent variable t is involved and f becomes complex. Below are two
examples.
Math. Meth. for Sci.&Eng. 5
There are several software packages that can plot direction elds.
The other fundamental question that arises is whether the solution exists, and if it does, is it
unique?
1.1.2 Existence and Uniqueness of Solutions
It is important to know whether the solution of a dierential equation exists. It will be a futile
attempt to try to nd one, even by computer, if it does not exist. Also important is to know
whether the solution is unique or not.
We will give the unique and existence theorem for rst order equations. This result, like many
others, can be extended to higher order equations.
Theorem 1.1.2.1 Let f and f/y be continuous in a rectangle R, a < t < a, c < y < d that
contains the point (t
0
, y). Then the exists a number > 0 such that the following holds :
The interval, t
0
< t < t
0
+, is contained in a < t < b and,
The interval, t
0
< t < t
0
+ , there exists a unique solution y = y(t) of the initial
value problem
dy
dt
= f(t, y), y(t
0
) = y
0
Example 1.1.2.1 Discuss the existence and uniqueness of the solution of the equation,
1.
dy
dt
= t y
2
, y(0) = 0,
2.
dy
dt
=
_
1 t
2
, y(0) = 1.
1. We have, f(t, y) = t y
2
. The function f is continuous with respect to t and y near
the origin, i.e t = 0, y = 0. So by the existence theorem there exists a unique solution of
the equation in the interval (, ) about the origin. In fact can be innity, and so the
equation has a unique solution for all t.
2. Now, we have f(t, y) =
1 t
2
. The function f is continuous in t and
f
y
= 0. By the
existence theorem there exists a solution in the interval < t < . But if 1 t
2
or
t
2
> 1 , f is undened. This simplies to the conditions t < 1 and t > 1. Therefore the
solution of the equation is unique if t (1, 1).
1.2 First Order Dierential Equations
A rst order dierential equations can be written as
dy
dt
= f(t, y) (1.2.6)
where f(t, y) is a function of t and y. The alternative notation is
y
= f(t, y)
There are a number of methods for solving rst order dierential equations. The simplest to
handle is the type of equations with separable variables.
6 Module 1: ODEs
1.2.1 Separation of Variables
If the function f(t, y) in (1.2.6) can be written as a product of separate functions in t and y,
i.e f(t, y) = g(t)h(y) the equation can be written as:
dy
dt
= g(t)h(y)
then
dy
h(y)
= g(t)dt
and integrating
_
dy
h(y)
=
_
g(t)dt +c
where c is a constant of integration.
The equation (1.2.6) can be written as
P(t)dt +Q(y)dy = 0
integration yields
_
P(t)dt +
_
Q(y)dy = c
where c is a constant of integration. The solution of a dierential equation belongs to a family
of curves that satisfy the dierential equation. Such a solution is called the general solution. If
a curve passing through a particular point P(t
0
, y
0
)is required the solution becomes a particular
solution.
Example 1.2.1.1 Solve the equation the equation
y
dy
dt
= cos t.
Solution 1.2.1.1 Separating the variables
y
dy
dt
= cos t
and integrating
_
ydy =
_
cos tdt
2
3
y
2/3
= sin t +c
where c is a constant of integration. now solving for y, we have
y =
_
3
2
sin t +c
_
2/3
.
This is the general solution of the equation.
Example 1.2.1.2 Solve the equation the equation
dy
dt
=
t
2 y
2
,
given that y(0) = 1.
Math. Meth. for Sci.&Eng. 7
Solution 1.2.1.2 Separating the variables
(2 y
2
)dy = tdt
and integrating
_
(2 y
2
)dy =
_
tdt
2y
1
3
y
3
=
1
2
t
2
+c
12y 2y
3
+t = k
where c is a constant of integration and k = 2c is another constant. This is the general
solution. Now to obtain the particular solution, the given condition is that when t = 0, y = 1
and substituting these into the solution
12 2 + 0 = k =k = 10
therefore the particular solution is 12y 2y
3
+t = 10.
In the rst example(1.2.1.1), it is possible to obtain an expression for y, whereas in the second
example(1.2.1.2) it is not possible. Solutions of the rst type in which it is possible to solve for
y are termed explicit solutions while those of the second type are called implicit solutions.
The following example is an example of the application of a rst order dierential equation. It
is the equation of a body falling under the inuence of gravity.
Example 1.2.1.3 Consider the dierential equation
m
dv
dt
= mg kv
where m, g and k are constants.
(i) If k = 0, nd the general solution of the equation
(ii) If k = 0 Show that the general solution of the equation is
v = Ce
kt
m
+
mg
k
(iii) Let v
0
when t = 0. Calculate C and hence write down the particular solution corresponding
to this condition.
Solution 1.2.1.3
(i) If k = 0 the equation simplies to m
dv
dt
= mg =
dv
dt
= g. Separating the variables and
integrating
_
dv = g
_
dt
which gives
v = gt +c
where c is a constant.
8 Module 1: ODEs
(ii) Separating the variables,
mdv
mg kv
= dt
and integrating
_
mdv
mg kv
=
_
dt
m
k
ln mg kv = t +c
ln mg kv =
k
m
t +
kc
m
Taking anti logarithms after rearranging
mg kv = Ae
k
m
t
and making v the subject
v =
mg
k
A
k
e
k
m
t
Therefore
v = Ce
k
m
t
+
mg
k
where C =
A
k
(iii) When t = 0, v = v
0
. Substituting these into the dierential equation
v
0
=
mg
k
+C =C = v
0
mg
k
Therefore
v =
mg
k
+v
0
mg
k
e
kt
= v
0
+
mg
k
(1 e
kt
)
1.2.2 Reducible Equations
Some equation can reduced to the type that is of separable variables. In this case an appropriate
transformations changes an equation that is not separable to one that is. First we will consider
the equation of the form
f
= (t + 4y 2)
2
subject to the condition that y(0) = 1.
Math. Meth. for Sci.&Eng. 9
Solution 1.2.2.1 Let u = t + 4y 2, then on dierentiation we obtain
du
dt
= 1 + 4
dy
dt
Substituting for
dy
dt
in the last equation
du
dt
= 1 + 4u
2
Separating the variables and integrating
_
du
1 + 4u
2
=
_
dt
1
2
tan
1
2u = t +c
u =
1
2
tan(
t
2
) +k
t + 4y 2 =
1
2
tan(
t
2
) +k
Using the initial conditions k = 2, and hence the solution of the equation is
y =
1
8
tan(
t
2
) t
Some second order equations can be reduced to rst order the fact that y
= (y
. The most
common equation that occurs in engineering and science applications is of the form
y
= f(y, y
)
Using the chain rule
y
=
dy
dt
=
dy
dy
dy
dt
= c
and the equation becomes
y
dy
dt
= f(y, y
)
if f(y, y
dy
= f(y)dy
1
2
(y
)
2
=
_
f(y)dy +c
Example 1.2.2.2 Solve the initial value problem yy
= (y
)
2
given that y(0) = 0 and y
(0) =
1
2
Solution 1.2.2.2 Using the substitution y
= y
dy
dt
yy
dy
dt
= (y
)
2
y
dy
dt
= y
_
dy
=
_
1
y
dy
ln y
 = ln y +c
y
= ke
y
10 Module 1: ODEs
Therefore
dy
dt
= ke
y
=
_
e
y
dy = k
_
dt
This leads to the equation
e
t
= kt +k
1
and using the given conditions
e
0
= 0 +k
1
, and
1
2
=
k
0 +k
1
The values of k and k
1
are
1
2
and 1 respectively. The solution is, therefore
y = ln
_
1
2
t + 1
_
The other class of equations reducible to separable equations are the homogeneous equations.
1.2.3 Homogeneous Equations
Denition 1.2.3.1 A function f(t, y) is said to be homogeneous of degree k if and only if the
exist a constant such that f(t, y) =
k
f(t, y)
The equation
(2ty
2
t
3
)dt + (y
3
+ 2t
2
y)
t
4
y
= 0
equation is homogeneous of order 3.
If an equation is homogeneous of rst order then (1.2.6) can be written as a function of
y
t
, that
is y
= g(
y
t
). The substitution y = ut reduces the equation to a separable equation.
Let y = ut, then dierentiating y
= u +u
t = F(u). Therefore
u
=
F(u) u
t
which can be separated and integrated
_
du
F(u) u
=
_
dt
t
Solving and substituting for u gives the solution to the equation in terms of t and y.
Example 1.2.3.1 Solve (t
2
+y
2
)dt tydy = 0 subject to y(1) = 0.
Solution 1.2.3.1 The equation can be written as
dy
dt
=
t
2
+y
2
ty
=
1 +
y
2
t
2
y
t
=
1 +u
2
u
Substituting for
dy
dt
u +t
dy
dt
=
1 +u
2
u
=t
du
dt
=
1 +u
2
u
2
u
t
du
dt
=
1
u
=
_
udu =
_
dt
t
Math. Meth. for Sci.&Eng. 11
This gives the general solution
1
2
u
2
= ln t +k
u
2
= 2 ln t +k =(
y
t
)
2
= ln t
2
+k =y
2
= t
2
ln t
2
+k
To use the given condition
0 = ln 1 +k =k = 0
so the particular solution of the equation is
y
2
= t
2
ln t
2
Some equations can be reduced to homogeneous equations by simple transformations. A good
example is equation of the form
y
= f
_
a
1
t +b
1
y +c
1
a
2
t +b
2
y +c
2
_
To accomplish this, substitute
t = u +h, y = v +k
where h and k are constants to be determined. Then
dy
dt
=
dv
du
= f
_
a
1
u +a
1
h +b
1
v +b
1
k +c
1
a
2
u +a
2
h +b
2
v +b
2
k +c
2
_
= f
_
a
1
u +b
1
v +a
1
h +b
1
k +c
1
a
2
u +b
2
v +a
2
h +b
2
k +c
2
_
The equation is homogeneous if (h, k) satisfy the simultaneous equations
a
1
h +b
1
k +c
1
= 0, and a
2
h +b
2
k +c
2
= 0
In that case the equation becomes the homogeneous equation
dv
du
= f
_
a
1
u +b
1
v
a
2
u +b
2
v
_
Activity 1.2.3.1 Determine whether the function
t
_
ln
2t
2
+y
2
t
ln(t +y)
_
+y
2
tan
t + 2y
3t y
is homogeneous.
Activity 1.2.3.2 Solve the equation
dy
dt
=
t + 2y
2t +y
and discuss the family of solution curves.
Activity 1.2.3.3 Find the particular solution of the equation
y
=
y
t
+ sec
y
t
that satises the condition y(2) = .
Activity 1.2.3.4 By using a suitable substitution, solve
y
=
2t + 2y + 1
3t +y 2
12 Module 1: ODEs
1.2.4 Exact Equations
Denition 1.2.4.1 An equation P(t, y)dt + Q(t, y)dy = 0 is exact if the left hand size is a
total dierential of some function U(t, y). This means that
P(t, y) =
U
t
, and, Q(t, y) =
U
y
(1.2.8)
If, both P(t, y) and Q(t, y), have continuous rst partial derivatives in a simple domain
P
y
=
Q
t
(1.2.9)
This is the condition for exactness. The method of solving exact equations is illustrated below.
Example 1.2.4.1 Solve the equation (3t
2
2t y)dt + (2y t 3y
2
)dy = 0
Solution 1.2.4.1 Observe that
P
y
= 1 and
Q
t
= 1. So the equation is exact. There is a
function U(t, y) such the left hand side of the equation is a total dierential of U(t, y). Hence
U
t
= 3t
2
2t y
Integrating with respect to t
U = t
3
t
2
ty +h(y)
Dierentiating with respect to y
U
y
= t +h
(y) = 2y t 3y
2
This implies that h
(y) = 2y 3y
2
which means, by integration, h(y) = y
2
y
3
+c. Therefore
U(t, y) = t
3
t
2
ty +y
2
y
3
+c
where c is a constant of integration. The general solution of the equation t
3
t
2
ty+y
2
y
3
= k
where k is another constant.
Activity 1.2.4.1 Solve the equation
(2ty
4
+ sin y)dt + (4t
2
y
3
+t cos y)dy = 0
Activity 1.2.4.2 Solve the equations
1. tdy +ydt =
dt
y
dy
x
2.
_
t
2
+y
2
dt = tdy ydt
3. (ty
2
y)dt + (t
2
y t)dy = 0
Integrating Factor
A non exact equation can be made exact by multiplying the equation by a suitable function
called the integrating factor. The integrating factor (t, y) is not unique, and simple forms of
the integrating factor can be obtained by making it a function of one variable only.
Math. Meth. for Sci.&Eng. 13
To obtain the integrating factor, let = (t, y) be an integrating factor of (1.2.6). Then
Pdt +Qdy = 0
is exact. The condition on exactness (1.2.9), implies that
y
(P) =
y
(Q)
Performing the dierentiation gives the results,
P
y
+
P
y
= Q
t
+
Q
t
(1.2.10)
P
y
Q
t
+
_
P
y
Q
t
_
= 0 (1.2.11)
All integrating factors must satisfy this equation. Several integrating factor can be obtained
for the same equation. The only condition that is necessary is that the integrating factor and
its partial derivatives must be continuous on the domain under consideration.
There are two special cases of integrating factors that arise. These are the case where the
integrating factor if either a function of t or a function of y.
Case 1. If = (t).
Then
y
= 0 and
Q
t
=
_
P
y
Q
t
_
(1.2.12)
or
1
t
=
1
Q
_
P
y
Q
t
_
(1.2.13)
Solving for
ln
t
=
P
y
Q
t
Q
(1.2.14)
= exp
__
P
y
Q
t
Q
dt
_
(1.2.15)
Case 2. In a similar way if = (y)
ln
y
=
Q
t
P
y
P
(1.2.16)
= exp
__
Q
t
P
y
P
dy
_
(1.2.17)
Example 1.2.4.2 Solve the equations (t
4
ln t 2ty
3
)dt + 3t
2
y
2
dy = 0
Solution 1.2.4.2 Checking for exactness,
P
y
= 6ty
2
, and
Q
t
= 6ty
2
So the equation is not exact, since the two partial derivatives are not equal.
Now let us nd and integrating factor of the form = (t),
= exp
__
P
y
Q
t
Q
dt
_
= exp
__
6ty
2
6ty
2
3t
2
y
2
dt
_
= exp
__
4
t
dt
_
= e
ln t
4
=
1
t
4
14 Module 1: ODEs
Multiplying by the integrating factor, gives
_
ln t
2
t
3
y
3
_
dt + 3
y
2
t
2
dy = 0 (1.2.18)
the equation now exact and therefore
t
= ln t
2
t
3
Integrating with respect to t
(t, y) =
1
t
+
y
3
t
3
+g(y)
Now
y
=
3y
2
y
2
t
3
+g
(t) = Q
On comparing this implies that
g
(y) = 0 =g(y) = c
The solution for the equation is
(t, y) =
1
t
+
y
3
t
3
which simplies to
y
3
= t(kt 1)
Activity 1.2.4.3 Find an appropriate integrating factor and solve the equations
(i) (t
2
+y
2
)dy = 2ydt
(ii) (2ty
4
+ 2ty
3
)dt + (t
2
y
4
e
t
t
2
t
2
y
2
3t)dy = 0
1.2.5 Linear First Order Equations
The linear rst order dierential equation can be written as
dy
dt
+p(t)y = r(t)
which is equivalent to
dy
dt
= r(t) p(t)y, or, dy + [r(t) p(t)y]dt
To solve it, nd an integrating factor of the form = (t) Multiplying by = (t)
(t)dy +(t)[p(t)y r(t)]dt = 0
so that P = (t)[p(t)y r(t)] and Q = (t). Now we have
P
y
= (t)[p(t) 0] and
Q
t
=
(t)
t
.
Therefore
Q
t
= (t)p(t) =
t
Separating the variables and integrating
d
= pdt =ln  =
_
pdt
Math. Meth. for Sci.&Eng. 15
Take the constant of integration to be zero. The solution is, thus, = e
_
pdt
. Multiplying by
we obtain e
_
pdt
(y
+py) = re
_
pdt
.
Now
d
dt
(ye
_
pdt
) = y
e
_
pdt
+pye
_
pdt
= e
_
pdt
(y
+py) = re
_
pdt
Integrating both sides
ye
_
pdt
=
_
r(t)e
_
p(t)dt
+c (1.2.19)
and therefore
y = e
_
pdt
__
r(t)e
_
p(t)dt
+c
_
(1.2.20)
Example 1.2.5.1 Solve the equation
L
dI
dt
+RI = E, I(0) = I
0
where L, R, E are constants and I = I(t)
Solution 1.2.5.1 Rearranging the equation
dI
dt
+
R
L
I =
E
L
The integrating factor is = e
_
R
L
dt
= e
R
L
t
, and multiplying both sides by
e
R
L
t
dI
dt
+e
R
L
t
R
L
I =
E
L
e
R
L
t
=
dI
dt
Ie
R
L
t
=
E
L
e
R
L
t
Ie
R
L
t
=
_
E
L
e
R
L
t
I = e
R
L
t
_
E
L
e
R
L
t
I = e
R
L
t
_
1
R
e
R
L
t
+c
_
=
E
R
_
e
R
L
t
+c
_
When t = 0, I = I
0
I
0
=
E
R
+
c
R
=RI
0
= c
Therefore
I(t) =
E
R
I
0
e
L
R
t
Activity 1.2.5.1 Find the general solution of the equations
(i) y
+ 2ty +t = exp (t
2
)
(ii) (ty
2
y)dt = (t
2
y t)dy
Activity 1.2.5.2 Find the particular solutions of the equations
(i) y
+y = e
t
, y(0) = 2
(ii) (1 +t
2
)dy = (1 +ty)dt, y(1) = 0
16 Module 1: ODEs
Bernoulli Equation
The Bernoulli equation is
dy
dt
+p(t)y = q(t)y
n
(1.2.21)
where n is an integer other than 0 and 1.
The equation is solved by making the substitution z = y
1n
. Rearranging the equation
y
n
dy
dt
+p(t)y
1n
= q(t) (1.2.22)
Dierentiating
dz
dt
= (1 n)y
n
dy
dt
Substituting for
dy
dt
=
y
n
1 n
dz
dt
in the equation (1.2.22) simplies it to
1
1 n
dz
dt
+p(t)z = q(t) (1.2.23)
This equation can now be solved using the familiar methods for rst order equations.
Example 1.2.5.2 Find the solution of ty
2
y
y
3
= t
2
Solution 1.2.5.2 Rearranging the equation
dy
dt
1
t
y = ty
2
This is Bernoullis equation withn = 2 , p(t) =
1
t
, q(t0 = t. The substitution z = y
1
reduces the equation to
dz
dt
1
t
= t
or
dz
dt
+
1
t
z = t
The integrating factor for this equation is = e
_
1
t
dt
= t. Therefore
t
dz
dt
+z = t
2
Integrating both sides
zt =
1
3
t
3
+c
t
y
= c
1
3
t
3
y =
3t
k t
3
, where k = 3c
Activity 1.2.5.3 Solve the equations
(i) dyy = (ty
2
+ 3ty)dt
(ii) ydy = t y
2
dt
Math. Meth. for Sci.&Eng. 17
Clairut Equation
The Clairut equation is of the form
y = ty
+f(y
) (1.2.24)
To obtain a solution, rst dierentiate the equation(1.2.24)
y
= ty
+y
+f
(y
)y
(y
)]y
= 0
The equation will have a solution f y
= 0 or if t = f
(y
(k) (1.2.25)
But t = f
(y
(y
) +f(y
). Take y
to a param
eter, say , then we have the parametric curve
t = f
(), y = f
() +f() (1.2.26)
The general solution (refclar1) is a straight line and the curve is only a straight line if and only
if f() is a linear function. the curve is the singular solution of the equation.
The general solutions are tangent of the singular solution , that is the singular solution is the
envelope of the family of general solutions.
Example 1.2.5.3 Find the general and singular solution of the equation
y = ty
exp(y
)
Solution 1.2.5.3 The general solution is
y = kt exp(k) = kt e
k
The singular solution is
t = e
, and y = e
+e
= e
(1 )
Riccati Equation
This equation is of the form
dy
dt
= p(t)y
2
+q(t)y +r(t) (1.2.27)
If a solution of the equation is known then a simple substitution changes the equation to a
linear rst order equation.
Suppose that y
1
(t) is a solution of the equation, the substitution y = y 1 +
1
z
will do the
trick. Dierentiating the expression for y yields
y
= y
1
z
2
z
1
z
2
z
= p
_
y
2
1
+ 2
y
1
z
+
1
z
2
_
+q
_
1
z
_
+r
y
1
py
2
1
qy
1
r =
1
z
2
+ 2py 1
1
z
+p
1
z
2
+q
1
z
(1.2.28)
18 Module 1: ODEs
The left hand side of the last equation(1.2.28) is zero since y
1
is a solution of the equation.
Multiplying throughout by z
2
and rearranging results in the equation
z
+ (2y
1
p +q)z = p (1.2.29)
This equation can be handled using familiar methods for rst order equations.
Example 1.2.5.4 Find the general solution of the equation y
= y
2
+ 2(t 1)y +t(t 2)
So p(t) = 1, q(t) = 2(t 1) and r(t) = t(t 2). The substitution y = 1 t +
1
z
transforms the
equation to
z
= 1
The solution is
z = t +c
The general solution is thus
y = 1 t +
1
c t
Activity 1.2.5.4 Find the general solution of y
= t
3
(y t)
2
+
y
t
given that the equation has
y
1
= e
t
as a solution.
Variation of Parameters
The solution to the homogeneous rst order equation y
+p(t)y = 0 is y
h
= ke
_
p(t)dt
. In the
method of variation of parameters the constant of integration is a function of t, that is k = u(t).
We nd a k such that y = u(t)y
h
is a solution of the equation (1.2.6).
Example 1.2.5.6 Solve the equation y
= t
2
2ty +1 using the method of variation of param
eters.
Solution 1.2.5.4 Rearranging the equation
y
2ty = t
2
+ 1
The solution of the homogeneous equation is
y
h
= ke
_
2tdt
= ke
t
2
Let k = u(t), i.e assuming the constant is variable, and then y = u(t)e
t
2
, then dierentiating
y
= u
e
t
2
2te
t
2
and substituting into the equation
u
e
t
2
2te
t
2
+ 2te
t
2
= t
2
+ 1
Math. Meth. for Sci.&Eng. 19
Simplifying
u
= e
t
2
(t
2
+ 1)
Integrate by letting z = t
2
_
(1 +z)e
z
dz = ze
z
Therefore u = t
2
e
t
2
+c, and the solution is given by
y = t
2
+ce
t
2
1.3 Linear Dierential Equations
1.3.1 Introduction
We shall now consider a special class of dierential equations, the so called linear dierential
equations. Both second and higher equations are considered, although most of the engineering
and science models that will be encountered will be second linear order. Nonlinear equations
are more dicult to handle and occur frequently in natural sciences. For our purposes, lin
ear equations will suce. Ideas developed for second order equations can easily be extended
to higher order equations. First we give the denition of an nth order equation and other
denitions that we will be needed for the work on linear equations.
Denition 1.3.1.1 An nth Order Linear Dierential Equation(LDE) is given by
q
n
(t)y
(n)
+q
n1
(t)y
(n1)
+ +q
1
(t)y
+q
0
(t)y = r(t) (1.3.30)
or
y
(n)
+p
n1
(t)y
(n1)
+ +p
1
(t)y
+p
0
(t)y = r(t) (1.3.31)
where p
0
, p
1
, , p
n1
are function of t, obtained after dividing through by q
n
(t).
If r(t) = 0 t I where I is the interval where the equation is dened, the equation is homoge
neous. Otherwise the equation is said to be nonhomogeneous.
A function y(t) is a solution of the equation if it satises the equation.
Theorem 1.3.1.1 (Existence and Uniqueness)
If p
0
(t), p
1
(t), , p
n1
(t) in the equation(1.3.1.1) are continuous on an interval I. Then the
initial value problem(IVP) y(t
0
) = k
1
, y
(t
0
) = k
2
, , y
(n1)
(t
0
) = k
n
has unique solution on
I.
Proof 1.3.1.1 The proof of the existence theorem is found in a number of advanced books on
dierential equations, and for our purposes, which are mainly application , we will skip the
proof.
Denition 1.3.1.2 (Linear Dependence)
The set of functions y
1
(t), y
2
(t), , y
n
(t) are linearly dependent if there exists constants
i
for i = 1, 2, , n not all equal to zero such that
1
y
1
(t) +
2
y
2
(t) +
n
y
n
(t) = 0 (1.3.32)
Otherwise the set is linearly independent.
20 Module 1: ODEs
Denition 1.3.1.3 A solution y(t) of the equation (1.3.1.1) is called the general solution of
order n if it contains n arbitrary constants, c
1
, c
2
, , c
n
such that
y(t) = c
1
y
1
(t) +c
2
y
2
(t) + +c
n
y
n
(t)
This means that the solution cannot be written in terms of less than n constants.
Denition 1.3.1.4 The set of n linearly independent solutions y
1
(t), y
2
(t), , y
n
(t) of the
linear homogeneous equation (1.3.1.1) is called the basis or fundamental set system of the equa
tion on interval I.
Wronskian
Theorem 1.3.1.2 Suppose that the coecients, p
0
(t), p
1
(t), , p
n1
(t), of the equation
(1.3.1.1) are continuous on I and linearly dependent, then n solutions y
1
(t), y
2
(t), , y
n
(t)
are linearly dependent if and only if their Wronskian
W(y
1
(t), y
2
(t), , y
n
(t)) =
y
1
(t) y
2
(t) y
n
(t)
y
1
(t) y
2
(t) y
n
(t)
y
1
(t) y
2
(t) y
n
(t)
.
.
.
.
.
.
.
.
.
.
.
.
y
n1
1
(t) y
n1
2
(t) y
n1
n
(t)
= 0
for some t = t
0
I
For the case n = 2, that is, for second order equations, the equation becomes
y
+p(t)y
y
1
(t) y
2
(t)
y
1
(t) y
2
(t)
= y
1
y
2
y
1
y
2
Proof 1.3.1.2
Theorem 1.3.1.3 Any solution of the equation(1.3.1.1) can be written in the form
c
1
y
1
(t) +c
2
y
2
(t) + +c
n
y
n
(t)
Proof 1.3.1.3 The proof of this theorem relies mainly on the properties of derivatives.
Let y
s
(t) = c
1
y
1
(t) +c
2
y
2
(t) + +c
n
y
n
(t), and dierentiate n times
y
s
(t) = c
1
y
1
(t) +c
2
y
2
(t) + +c
n
y
n
(t)
y
s
(t) = c
1
y
1
(t) +c
2
y
2
(t) + +c
n
y
n
(t)
y
s
(t) = c
1
y
(n)
1
(t) +c
2
y
(n)
2
(t) + +c
n
y
(n)
n
(t)
Substituting into the left hand side of (1.3.1.1) and omitting the ts for brevity
(c
1
y
(n)
1
+c
2
y
(n)
2
+ +c
n
y
(n)
n
) + (c
1
y
n
1
+c
2
y
n1)
2
+ +c
n
y
(n1)
n
) +
+(c
1
y
1
+c
2
y
2
+ +c
n
y
n
) + (c
1
y
1
+c
2
y
2
+ +c
n
y
n
)
= c
1
(y
(n)
1
(t) +y
(n1)
1
(t) + +y
1
(t)) +c
2
(y
n1
)
2
(t) +y
n1
)
2
(t)) + + (y
2
(t))
+ +c
n
(y
(n)
n
(t)y
(n1)
n
(t)) + +y
n
(t))
Each term in brackets is zero, since y
1
, y
2
, , y
n
are solution of the equation(1.3.1.1). Therefore
c
1
y
1
(t) +c
2
y
2
(t) + +c
n
y
n
(t) is a solution of the equation.
Math. Meth. for Sci.&Eng. 21
Theorem 1.3.1.4 (Abels Identity) If the coecient functions p
1
(t), P
2
(t), , p
n
(t) in the
equation(1.3.1.1) are continuous over the interval I, then over I, the Wronskian of any n
solutions of this equation is given by the formula
W(y
1
, y
2
, , y
n
) = ke
_
p(t)dt
Proof 1.3.1.4 The proof of this theorem will be done for n = 2, since this simplies our work
and we will be mainly concerned with second order equation.
Let y
1
and y
2
be solution of the equation(1.3.1.1)
y
+p(t)y
+q(t)y = 0
then
y
1
+p(t)y
1
+q(t)y
1
= 0
y
2
+p(t)y
2
+q(t)y
2
= 0
Multiply (1.3.34) by y
2
and (1.3.34) by y
1
and subtracting the rst result from the second
y
1
y
2
y
1
y
2
+p(t)(y
1
y
2
y
1
y
2
) = 0 (1.3.34)
But, W(y
1
, y
2
) = y
1
y
2
y
1
y
2
, and hence, on dierentiating
dW
dt
= (y
1
y
2
+y
1
y
2
) (y
1
y
2
+y 1
2
) = y
1
y
2
y
1
y
2
Therefore the equation(1.3.34) can be written as
dW
dt
+p(t)W = 0
This is a rst order separable equation which has the solution
W(y
1
, y
2
, , y
n
) = ke
_
p(t)dt
where k is a constant which can be determined by y
1
and y
2
.
For the second order equation
y
+p(t)y
+ 6y
+ 9y = 0
22 Module 1: ODEs
Solution 1.3.1.1 We show that y
1
and y
2
are solutions of the equation by substitution into
the equation. To this end, for the rst solution
y
1
= 3e
3
3t, and y
= 9e
3t
Substituting for y
1
, y
1
and y
1
into the equation
9e
3t
+ 6(3)e
3t
+ 9e
3t
= e
3t
(9 18 + 9) = 0
For the second solution
y
2
= (1 3t)e
3t
, and y
= (9t 6)
3t
Substituting for y
2
, y
2
and y
2
into the equation
(9t 6)e
3t
+ 6(1 3t)e
3t
+ 9te
3t
= e
3t
(9t 18t + 9t 6 + 6) = 0
To show that the solutions are linearly independent, we use the Wronskian
W(y
1
, y
2
) =
e
3t
te
3t
3e
3t
(1 3t)e
3t
= e
6t
1 t
3 1 3t
= e
6t
(1 3t + 3t) = e
6t
The Wronskian W(y
1
, y
2
) = e
6t
= 0 for all real values of t. Therefore the solutions are
independent. The linear combination
y(t) = c
1
y
1
+c
2
y
2
= c
e
63t +c
2
e
3t
is also a solution of the equation.
Reduction of Higher Order equations to First Order equations
Lastly in this section we will look at the reduction of higher order equations to systems of
rst order equations. There are several reasons for doing this. The rst reason is that all the
theoretical results for rst order equations, like the uniqueness and existence for instance can
be extended to higher order equations. The second reason is that the majority of computer
software designed to handle dierential equations does so by treating equations of all orders as
a system of rst order equations. The last reason is that this also gives us tools to qualitatively
analyse other equation, e.g nonlinear, which do not have simple analytical solutions.
The result that follow are for second order dierential equations, but they can be easily extended
to equations of higher order.
Consider the equation
y
+p(t)y
=
d
2
y
dt
2
= y
.
Substituting into (1.3.36), we obtain
u
,
u
= u
u
+py
+ sin y = q cos t
to rst order equations.
Solution 1.3.1.2 Let u = y
and then y
= u
= pu sin(y) +q cos t,
and so the rst order system is
y
= u
u
= pu sin(y) q cos t.
Example 1.3.1.3 Solve the equation y
+
2
y = 0, by rst reducing the equation to a rst
order system.
Solution 1.3.1.3 As expected, let y
=
du
dt
=
du
dy
.
dy
dt
= u
du
dy
.
Substituting into the equation for y
, we obtain
u
du
dy
+
2
y = 0.
This equation is separable, i.e
_
udu =
_
2
ydy
1
2
u
2
=
1
2
2
+c
u =
_
k
2
2
y
2
for k
2
= 2c.
=
dy
dt
=
_
k
2
2
y
2
.
Separating the variables again and integrating,
_
dy
_
k
2
2
y
2
=
_
dt
1
sin
1
_
k
_
= t +k
1
Solving for y, we have,
y =
k
sin(t +k
1
)
= sin(t +),
for = c.
24 Module 1: ODEs
As we shall see later this is not the most ecient method of solving such and equation, and
sometimes the system is not easy to solve, for instance if the resulting equations do not have
separable variables.
Phase Plane and Phase Portraits
As mentioned earlier, it is not always necessary to solve a dierential equation to analyse some
of its solutions behaviour like stability, periodicity and transient states. W are going to explore
a method of investigating qualitative properties of a system of rst order equations.
Consider the initial value problem
x
= f(x, x
), x(0) = x
0
, x
(0) = x
0
. (1.3.38)
Where f has continuous partial derivatives with respect to x and x
= y, y
= f(x, y
), x(0) = x
0
, y(0) = y
0
(= x
0
). (1.3.39)
The solution of the system is a pair of dierential functions (x(t), y(t)) on an interval containing
t = 0, which satisfy the system.
The curves x = x(t) and y = y(t) can be taken as parametric equations of an arc on the xyplane
passing through (x
0
, y
0
). In this case the xyplane is called the phase plane of the equation
(1.3.38) or the system (1.3.39). The arc is called the path, orbit or trajectory of the equation
or system. The direction of increasing t is called the positive direction of the trajectory.
The terms trajectory and solution are not synonymous as solutions passing through dierent
given points have the same trajectory. This follows from the fact if x(t
0
) = x
0
and y(t
0
) = y
0
for some t = 0, then the solution is dierent from that at t = 0. The trajectory, however, is the
same since,
x = x(t), y = y(t), a < t < b
dene the same trajectory as the equations
x = x(t t
0
), y = y(t t
0
), a +t
0
< t < b +t
0
.
If t is eliminated from the equation of the curve, an x, y equation of the curve is obtained and
this equation may or may not correspond to the equation of the curve.
1.3.2 Homogeneous Equation with Constant Coecients
The method of solving homogeneous equations is now going to considered. The method will
initially be demonstrated for second order equations, before it is extended to higher order
equations.
Theorem 1.3.2.1 Suppose p(t) and q(t) in the equation y
+p(t)y
+py
+qy = 0 (1.3.41)
Math. Meth. for Sci.&Eng. 25
y = u
u = a u sin(y) + b cos(w u)
b = .2
w = 2 pi
a = .1
8 6 4 2 0 2 4 6 8
4
3
2
1
0
1
2
3
4
y
u
26 Module 1: ODEs
Assume that the solution is of the form y = e
t
. Then y
= e
t
and y
=
2
e
t
and substituting
for y
and y
in (1.3.41)
2
e
t
+e
t
p +e
t
q = 0
e
t
(
2
+p +q) = 0
Since e
t
= 0 for all t, y = e
t
is a solution of the equation if and only if
2
+ p + q = 0.
T his equation is called the characteristic equation of the dierential equation (1.3.41). The
characteristic equation is a quadratic equation which can have:
1. two distinct real roots
2. one repeated real root
3. complex roots.
The form of the solution of the dierential equation depends on the nature of the roots of the
characteristic equation.
Case 1: If
1
,
2
, distinct, then y
1
= e
1
t
, and y
2
= e
2
t
. The Wronskian is
W(y
1
, y
2
) =
1
t
e
2
t
1
e
1
t
2
e
2
t
= e
(
1
+
2
)t
1 1
1
2
= e
(
1
+
2
)t
(
2
1
)
Then W(y
1
, y
2
) = 0 if
1
=
2
which is the case here. Therefore {e
1
t
, e
2
t
} form the funda
mental set/basis. The solution is y
h
= c
1
e
1t
+c
2
e
2t
Case 2: If
1
=
2
= repeated, then y
1
= e
t
, y
2
= te
t
. The Wronskian is
W(y
1
, y
2
) =
e
t
xe
2
t
1
e
t
(1 +)e
2
t
= e
2t
1 t
1 +t
= e
2t
= 0, t I
So {e
t
, te
t
} is a basis for the solution and hence y
h
= (c
1
+tc
2
)e
2
t
Case 3: If
1
,
2
= i complex, then using the Wronskian it can be shown that y
1,2
=
e
(i)t
are linearly independent. and
y
1,2
= ce
(i)t
= ce
t
e
it
= e
t
(c cos ic sin )t
= e
t
(c
1
cos t +c
2
sin t)
and hence y
h
= e
t
(c
1
cos t +c
2
sin t)
Example 1.3.2.1 Solve the equations (i) y
+ y
12y = 0 (ii) y
+ 4y
+ 4y = 0 (iii)
y
4y
+ 9y = 0
Solution 1.3.2.1
(i) The characteristic equation is
2
+ 12 = 0 which has the solution = 4, 3. The roots
are distinct. The general solution is
y
h
= c
1
e
4t
+c
2
e
3t
(ii) The characteristic equation is
2
+ 4 + 4 = 0 which has the solution = 2 (twice).The
roots are repeated. The general solution is
y
h
= c
1
e
2t
+c
2
te
2t
= (c
1
+tc
2
)e
2t
Math. Meth. for Sci.&Eng. 27
(iii) The characteristic equation is
2
4 + 9 = 0 which has the solution = 2
5i.The
roots are complex. The general solution is
y
h
= e
2t
(c
1
cos
5t +c
2
sin
5t)
Example 1.3.2.2 Solve the initial value problem
4y
+ 4y
+ 5y = 0; y(0) = 1, ; y
(0) = 2
Solution 1.3.2.2 The characteristic equation is 4
2
+4 +5 = 0, which has solutions 1, 2 =
1
2
i. The general solution is thus
y(t) = e
1
2
(c
1
cos t +c
2
sin t)
Now
y
=
1
2
e
1
2
t
(c
1
cos t+c
2
sint)+e
1
2
t
(c
1
sint+c
2
cos t) = e
1
2
t
[(
1
2
c
1
+c
2
) cos t+(
1
2
c
2
c
1
) sin t
Using the initial conditions
y(0) = 1 =1 = c
1
+c
2
y
(0) = 2 =2 =
1
2
c
1
+c
2
Solving these equations1 simultaneously for c
1
and c
2
, we obtain that c
1
= 2 and c
2
= 1. The
general solution s thus
y(t) = e
1
2
t
(2 cos t sin t)
The graph of the solution is
1.3.3 Method of Undetermined Coecients
The linear dierential equation (1.3.1.1) is nonhomogeneous if the right hand side is zero for
all values of t in the interval on which the equation is dened. The solution to such an equation
is obtained if the solution to the homogeneous equation is known.
Theorem 1.3.3.1 A general solution of a linear dierential equation is the sum of the general
solution y
h
of the homogeneous equation and an arbitrary particular solution y
p
of the non
homogeneous equation. That is
y = y
h
+y
p
28 Module 1: ODEs
Proof 1.3.3.1 For the second order case,
y
+p(t)y
+ p(t)y
h
+y
p
) + (y
h
+y
p
)p + (y
h
+y
p
)q = r
(y
h
+y
h
p +y
h
q) + (y
p
+y
p
p +y
p
q) = 0
The rst term is equals to zero since y
h
is a solution of the homogeneous equation. Therefore
y
p
is a solution of the equation (1.3.42).
The proof can be similarly adopted for the nth order equation.
There are a number methods of nding the particular solution of the equation. These are
the method of undetermined coecients, the Doperator method and the method of variation
of parameters. In this section we will at the method of undetermined coecients and the
techniques of the other two methods are illustrated in the sections below.
Method of Undetermined Coecient
The method involves selecting an appropriate function y = c
1
y
1
+c
2
y
2
+ +c
n
y
n
to be used
as a particular solution. The function is substituted into the equation, to obtain some suitable
values for the coecients c
1
, c
2
, . . . , c
n
.
If the righthand side of the (1.3.42) is of the form r(t) = e
t
(P
1
(t) cos t +P
2
(t) sin t) where
P
1
and P
2
are polynomials of degree m and n; and are are constants, the function is of the
form
y
p
= t
k
e
t
(Q
1
(t) cos t +Q
2
(t) sin t) (1.3.43)
where
(a) k is the degree of multiplicity of the roots i of the characteristic equation.
(b) degree of Q
1
(t) and Q
2
(t) is the maximum of m and n
is the solution of the equation (1.3.42)
Basically, this means that
(i) If the righthand side of the equation is an exponential function, use an exponential function;
that is if r(t) = Ce
t
use y
p
= Ae
t
(ii) If the righthand side is a polynomial of degree n, that is, r(t) = P
n
(t) use y
p
= A
n
t
n
+
A
n1
t
(n1)
+ +A
1
t +A
0
(iii) If the righthand side is a trigonometric function, use a trigonometric function, that is, if
r(t) = C cos t or r(t) = C sin t use y
p
= Acos t +Bsin t
(iv) If the righthand side is a combination of any of the above categories, use the appropriate
combinations.
Example 1.3.3.1 Solve the equation
2y
3y
+y = t
2
Solution 1.3.3.1 Characteristic equation is 2
2
3 +1 = 0 which has solutions
1
=
1
2
and
2
= 1. The solution of the homogeneous equation is
y
h
= c
1
e
1
2
t
+c
2
e
t
The particular solution is of the form y
p
= At
2
+Bt +C and dierentiating twice y
p
= 2At +B
and , y
p
= 2A and substituting into the equation
4A6At 3B +At
2
+Bt +C = t
2
Math. Meth. for Sci.&Eng. 29
Equating corresponding coecients
A = 1, 6A+B = 0 =B = 6
and
4A3B +C = 0 =C = 3B 4A = 18 4 = 14
The particular solution is
y
p
= t
2
+ 6t + 14
and the general solution is
y = c
1
e
1
2
t
+c
2
e
t
+t
2
+ 6t + 14
Example 1.3.3.2 Solve the equation y
4y
+ 3y = 4e
2t
Solution 1.3.3.2 The characteristic equation is
2
4 +3 = 0 which has the solutions
1
=
1,
2
= 3. The solution of the homogeneous equation is y
h
= e
t
+ c
2
e
2t
. The particular
solution is of the form (1.3.43) where = 2, = 0, P
1
(t) = 4, P
2
(t) = 0, and then k =
1, Q
1
(t) = 1. Then the particular solution is of the form y
p
= Ae
2x
, and dierentiating yields
y
p
= 2Ae
2t
, y
p
= 4Ae
2t
. Substituting into the equation
4Ae
2t
8Ae
2t
+ 3Ae
2t
= 4e
2t
which has solution A = 4. The general solution is
y = c
1
e
t
+c
2
e
2t
4e
2t
Example 1.3.3.3 Solve the equation
y
+ 4y = e
3t
cos t
Solution 1.3.3.3 The homogeneous solution of the equation is
y = c
1
cos 2t +c
2
sin 2t
The particular solution is of the form
y
p
= e
2t
(Acos t +Bsint)
Integrating and substituting into the equation
e
2t
[(3A+ 4B) cos t + (4A+ 3B) sin t] +e
2t
[4Acos t + 4Bsin t] = e
3t
equating coecients of cos t:
3A+ 4B = e
t
=7A+ 4B = e
t
, (i)
Equating coecients of sin t:
4A+ 7B = 0 =A =
7
4
B, (ii)
and substitute into (i)
49
4
B + 4B = e
t
=B =
4
65
e
t
The particular solution is
y
p
= e
t
_
7
4
cos t +
4
65
sin t
_
and the general solution is
y = e
2t
(Acos t +Bsin t) +e
t
_
7
4
cos t +
4
65
sin t
_
30 Module 1: ODEs
Example 1.3.3.4 Find the general solution of the equation
y
+ 2y
8y = 5t + 3 sin t
Solution 1.3.3.4 The homogeneous solution is
y
h
= c
1
e
4t
+c
2
e
2t
The particular solution is
y
p
= At +B +C cos t +Dsin t
Dierentiating and substituting into the equation
C cos t Dsin t + 2A2C sint + 2Dcos t 8At + 8B + 8C cos t + 8Dsin t = 5t + 3 sin t
Equating terms in t:
8A = 5 =A =
5
8
Equating constant terms
2A+ 8B = 0 =A =
5
2
Equating coecients of cos t
C + 2D + 8C = 0 =C =
2
7
D
Equating coecients in sin t
D 2C + 8d = 3 =C = 7D 3C =D =
21
47
, and, C =
6
47
the general solution is
y = c
1
e
4t
+c
2
e
2t
+
5
2
5
8
t
6
47
cos t +
21
47
sin t
1.3.4 The DOperator Method
The method of the Doperator is be used to nd the particular solutions of a dierential equation
without resorting to guesswork like in the method of undetermined coecients. The method is
ecient and timesaving. The dierential operator D is dened by denoting the operation of
dierentiation by
dy
dt
= Dy
Higher derivatives are dened as
d
2
y
dt
2
= D(Dy) = D
2
y, ,
d
n
y
dt
n
= D(D
n1
y) = D
n
y
Before using the Doperator to solve equations, let us rst look at some properties of this
operator.
A polynomial in D is dened in the usual sense, for instance f(D) = D
2
5D+6 is a quadratic
expression. In general the expression
p
n
d
n
y
dt
n
+p
n1
d
n1
y
dt
n1
+ +p
1
dy
dt
+p
0
y
Math. Meth. for Sci.&Eng. 31
can be written as
p
n
D
n
y +p
n1
D
n1
y + +p
1
Dy +p
0
y
= (p
n
D
n
+p
n1
D
n1
+ +p
1
Dy +p
0
)y
= f(D)y
The expression f(D) = p
n
D
n
+p
n1
D
n1
+ +p
1
Dy +p
0
is a polynomial in D. If f(D) and
g(D) are two polynomials, then the sum and product are dened as follows
[f(D) +g(D)]y = f(D)y +g(D)y
and
f(D)g(D) = f(D)[g(D)y]
The properties of the operator are inherited from those of calculus. One such important prop
erty is the linearity property.
Theorem 1.3.4.1 If y
1
(t) and y
2
(t) are dierentiable functions of t then
f(D)[y
1
(t) +y
2
(t)] = f(D)y
1
(t) +f(D)y
2
(t)
= f(D)y
1
+f(D)y
2
Proof 1.3.4.1 This result can be proved in straight forward way.
The following results are important and will be used when nding particular solutions of dif
ferential equations.
Theorem 1.3.4.2 If f(D) is a polynomial in D, then
f(D)e
t
= e
t
f() (1.3.44)
Proof 1.3.4.2 By denition
f(D)e
t
= [p
n
D
n
+p
n1
D
n1
+ +p
1
Dy +p
0
]e
t
= p
n
D
n
e
t
+p
n1
D
n1
e
t
+ +p
1
Dye
t
+p
0
e
t
= p
n
n
e
t
+p
n1
n1
e
t
+ +p
1
ye
t
+p
0
e
t
= e
t
[p
n
n
+p
n1
n1
+ +p
1
y +p
0
]
= e
t
f()
Theorem 1.3.4.3 If f(D) is a polynomial in D, then
e
t
f(D)y = f(D )e
t
y (1.3.45)
Proof 1.3.4.3 To prove the result we rst need to show that
(D )
n
e
t
y = e
t
D
n
y
We proceed to do this by the method of mathematical induction.
For n = 1
(D )e
t
y = De
t
y e
t
y
= e
t
y +Dy e
t
y
= D
t
y
32 Module 1: ODEs
For n = 2
(D )
2
e
t
y = (D
2
2D
2
)e
t
y
= D
2
e
t
y 2De
t
y
2
e
t
y
= D(e
t
y +e
t
Dy) 2De
t
y
2
e
t
= e
t
D
2
y
Now we assume that the hypothesis is tree for n = k, that is
(D )
k
e
t
= e
t
D
k
y
Then for n = k + 1,
(D )
k+1
e
t
= (D )(e
t
ky)
= D(e
t
D
k
y) e
t
D
k
y
= e
t
D
k
y +e
t
D
k+1
y e
t
D
k
y
= e
t
D
k+1
y
So the result follows by induction. Now we use this result
f(D )e
t
= [p
n
(D )
n
+p
n1
(D )
n1
+ +p
1
(D ) +p
0
]e
t
y
= p
n
(D )
n
e
t
y +p
n1
(D )
n1
e
t
y + +p
1
(D )e
t
y +p
0
e
t
y
= e
t
p
n
D
n
y +e
t
p
n1
D
n1
y + +e
t
Dy +p
0
y
= e
t
[p
n
D
n
+p
n1
D
n1
+ +p
1
D +p
0
]y
= e
t
f(D)y
Theorem 1.3.4.4 (D )
n
t
k
e
t
= 0 for k = 0, 1, 2, , n 1
Proof 1.3.4.4 To prove this result, let f(D) = (D)
n
and y(t) = t
k
, then by the theorem(1.3.45)
(D )
n
t
k
e
t
= e
t
D
n
t
k
But D
n
t
k
= 0 for k = 0, 1, 2, , n 1, and hence the result is proved.
Theorem 1.3.4.5 (i). f(D
2
) cos(t +) = f(
2
) cos(t +)
(ii). f(D
2
) sin(t +) = f(
2
) sin(t +)
Proof 1.3.4.5 Dierentiating repeatedly,
Dcos( +) = sin(t +)
D
2
cos(t +) =
2
cos(t +)
D
4
cos(t +) = (
2
)
2
cos(t +)
And so on, showing that
(D
2
)
n
cos(t +) = (
2
)
n
cos(t +)
Therefore for any polynomial f(D)
f(D
2
) cos(t +) = f(
2
) cos(t +)
The proof for the second result is the same.
Math. Meth. for Sci.&Eng. 33
We have looked at some properties of the operator, now let us dene the inverse operator D
1
.
This operator is equivalent to integration, that is if D
1
y =
1
D
y = z, then Dz = y. For any
polynomial function f(D), f
1
(D) is the operator
1
f(D)
, so that
f(D)f
1
(D)y = f
1
(D)f(D)y = y
Therefore if f(D)y = r(t) then y(t) =
1
f(D)
r(t) is a solution of the equation f(D)y = r(t),
provide that f(D) = 0. In other words
1
f(D)
is the particular solution of the equation f(D)y =
r(t).
We shall now consider the particular solutions for the dierent functions r(t). We will use the
results of the last theorems.
Case 1 r(t) = e
t
We make use of the fact that f(D)e
t
= f()e
t
(1.3.44). The particular solution is given by
y
p
=
1
f(D)
e
t
=
1
f()
e
t
Example 1.3.4.1 Solve the equation (4D
2
+ 4D + 1)y = 2e
2t
+ 5e
t
.
Solution 1.3.4.1 The auxiliary equation is 4
2
+ 4 + 1 = 0 and it has the repeated root
=
1
2
. The homogeneous solution is thus
y
h
= c
1
e
1/2t
+c
2
te
1/2t
Now to obtain the particular solution
y
p
=
1
4D
2
+ 4D + 1
(e
2t
+ 5e
t
)
=
1
4D
2
+ 4D + 1
e
2t
+
1
4D
2
+ 4D + 1
5e
t
=
1
4.2
2
+ 4.2 + 1
e
2t
+
1
4(1)
2
+ 4(1) + 1
5e
t
=
1
25
e
2t
+ 5e
t
The general solution of the equation is, therefore
y(t) = c
1
e
1/2t
+c
2
te
1/2t
+
1
25
e
2t
+ 5e
t
Case 2 r(t) = cos(t +) or sin(t +)
Equations involving trigonometric expression in the right hand side are solved using (1.3.4.5).
From this theorem it is observed that if r(t) = cos(t +) or sin(t +) then
y
p
=
1
f(D
2
)
cos(t +) =
1
f(
2
)
cos(t +)
or
y
p
=
1
f(D
2
)
sin(t +) =
1
f(
2
)
sin(t +)
Example 1.3.4.2 Solve the equation 10y
6y
+y = 30 cos t sin t
34 Module 1: ODEs
Solution 1.3.4.2 The equation is (10D
2
6D + 1)y = 30 cos t sin t and the right hand side
can be written as 15 sin 2t. The auxiliary equation has solution = 3 i. The homogeneous
solution is y
h
= e
3t
(cos t + sin t). The particular solution is given by
y
p
=
1
10D
2
6D + 1
15 sin 2t
=
15
4(2)
2
6D + 1
sin 2t
= 15 6D 39 sin 2t
=
15(6D 39)
36D
2
1521
sin 2t
=
15(6D 39)
36((2)
2
) 1521
sin 2t
=
1
111
(12 cos 2t 39 sin 2t)
The general solution of the equation is
y(t) = e
3t
(cos t + sin t) +
1
111
(12 cos 2t 39 sin 2t)
Case 3r(t) = P(t), a polynomial of order n in t.
There are two fundamental ideas involved in nding the particular solution in the case the
right hand side of a dierential equation is a polynomial. The rst one is that f
1
(D) can be
expressed as a power series in D, and secondly the derivatives D
k
are zero if k < n.
The particular solution is given by
y
p
=
1
f(D)
P(t) = [p
0
+p
1
D + +p
k
D
k
+ ]P(t)
There two special cases:
(i) If r(t) = t
m
, then
y
p
= [p
0
+p
1
D + +p
k
D
m
+ ]t
m
since D
n
t
m
= 0 for n > m. and
(ii) If f(D) = D + , then
y
p
=
1
D +
P(t) =
1
_
1
D
+
D
2
2
+ (1)
k
D
k
k
_
P(t)
Example 1.3.4.3 Find the general solution of the equation y
+ 2y
8y = 25t
2
3t.
Solution 1.3.4.3 The solution of the homogeneous equation is
y
h
= c
1
e
4t
+c
2
e
2t
The particular solution is given by
y
p
=
1
D
2
+ 2D 8
(25t
2
3t)
Using partial fractions,
y
p
=
1
6
_
1
D 2
1
D + 4
_
(25t
2
3t)
=
1
6
_
1
D 2
_
(25t
2
3t)
1
6
_
1
D + 4
_
(25t
2
3t)
Math. Meth. for Sci.&Eng. 35
=
1
6
__
1 +
D
2
+
D
2
4
+
_
_
1
D
4
+
D
2
16
+
__
(25t
2
3t)
=
1
6
_
3
4
D +
3
16
D
2
+
_
(25t
2
3t)
=
1
8
_
50t 3 +
1
4
.50 + 0
_
=
1
8
_
50t +
13
4
_
The general solution of the equation is
y(t) = c
1
e
4t
+c
2
e
2t
+
1
8
_
50t +
13
4
_
Case 4 r(t) = e
t
g(t)
For this case we rewrite the exponential shifting theorem (1.3.45), by setting D D + .
The expression for the theorem becomes
f(D)e
t
g(t) = e
t
f(D)g(t)
Then the particular solution y
p
is given by
y
p
(t) =
1
f(D)
e
t
g(t) =
1
f(D +)
e
t
g(t)
Example 1.3.4.4 Solve the equation (D
2
6D + 9)y = 25e
2t
sin 3t
Solution 1.3.4.4 The solution of the homogeneous equation is
y
h
= e
3t
(c
1
+c
2
)t
and the particular solution is given by
y
p
(t) =
1
D
2
6D + 9)
25e
2t
sin 3t
=
1
(D 3)
2
25e
2t
sin 3t
= 25e
2t
1
(D 1)
2
sin 3t By the shifting theorem (1.3.45)
= 25e
2t
1
D
2
2D + 1
sin 3t
= 25e
2t
1
3
2
2D + 1
sin 3t By theorem (1.3.4.5)
= 25e
2t
2
D + 4
sin 3t
= 50e
2t
D 4
D
2
16
sin 3t
Multiplying the numerator and denominator by D 4.
= 50e
2t
D 4
3
2
16
sin 3t By theorem (1.3.4.5)
= 2e
2t
(D 4) sin 2t
= 2e
2t
(12 cos 3t 4 sin 3t)
36 Module 1: ODEs
Sometimes it is necessary to apply a combination of the dierent cases that we consider here,
as the following example illustrates.
Example 1.3.4.5
Activity 1.3.4.1 Use the Doperator method to solve the equations
1. y
+ 4y
+ 4y = t
3
e
2t
2. y
3y
= cosh t
3. D
2
+D + 1)y = (t + 1)e
t
4. (D + 1)
2
y = e
t
+e
t
t
2
1.3.5 Variation Of Parameters
In method of undetermined coecients it was assumed that the general solution of the equa
tion(1.3.1.1) was y
p
= c
1
y
1
+c
2
y
2
+ +c
n
y
n
where {y
1
, y
2
, , y
n
} form a fundamental set of
solutions. This restricts the c
i
s to be constant. In the method of variation of parameters, the
constants are replaced by variable functions of t. The solution is assumed to be of the form
y
p
= u
1
(t)y
1
+u
2
(t)y
2
+ +u
n
(t)y
n
We are going to explore this for the case of the second order equation, although the method
can be applied to an equation of any order. For this case, we want to nd y
p
= u(t)y
1
+u
2
(t)y
2
.
Dierentiating gives
y
p
= u
1
y
1
+u
1
y
1
+u
2
y
2
+u
2
y
2
To avoid the occurrence of higher derivatives of u
1
and u
2
in the equations , we set
u
1
y
1
+u
2
y
2
= 0 (1.3.46)
This is the rst equation in our system, and now
y
p
= u
1
y
1
+u
2
y
2
Dierentiating the last expression
y
p
= u
1
y
1
+u
1
y
1
+u
2
y
2
+u
1
y
2
(1.3.47)
Substituting for y
p
, y
p
and y
p
in the equation (1.3.42)
u
1
y
1
+u
1
y
1
+u
2
y
2
+u
1
y
2
+p(u
1
y
1
+u
2
y
2
) +q(u
1
y
1
+u
2
y
2
) = r
and rearranging
u
1
(y
1
+py
1
+qy
1
) +u
2
(y
2
+py
2
+qy
2
) +u
1
y
1
+u
2
y
2
= r
The terms in brackets in the rst two terms are equal to zero since y
1
and y
2
are solution of
the homogeneous equation. The result gives us the system
u
1
y
1
+u
2
y
2
= 0 (1.3.48)
u
1
y
1
+u
2
y
2
= r (1.3.49)
Math. Meth. for Sci.&Eng. 37
The system can be solve do using Cramers rule
u
1
=
0 y
2
r y
y
1
y
2
y
1
y
=
ry
2
W(y
1
, y
2
)
and
u
2
=
y
1
0
y
1
r
y
1
y
2
y
1
y
=
ry
1
W(y
1
, y
2
)
Integrating gives
u
1
=
_
ry
2
W(y
1
, y
2
)
dt, and u
2
=
_
ry
1
W(y
1
, y
2
)
dt
Example 1.3.5.1 Use the method of variation of parameters to solve the equation
t
2
y
2ty
+ 2y = t
3
e
t
given that y
1
= t and y
2
are solutions of the homogeneous equation.
Solution 1.3.5.1 Let y
p
= u
1
t +u
2
t
2
, then y
p
= u
1
+u
1
t + 2u
2
t +u
2
t
2
and set
u
1
t +u
2
t
2
= 0 (1.3.50)
Then
y
p
= u
1
+ 2u
2
t
and dierentiating again
y
p
= u
1
+ 2u
2
+ 2u
2
t
Substituting into the equation
t
2
(u
1
+ 2u
2
+ 2u
2
t) 2t(u
1
+ 2u
2
t) + 2(u
1
t +u
2
t
2
) = t
3
e
t
t
2
u
1
+ 2t
2
u
2
+ 2t
3
u
2
2tu
1
4t
2
u
2
+ 2tu
1
+ 2t
2
u
2
+ 2t
2
u
2
= t
3
e
t
This simplies to
t
2
u
1
+ 2t
3
u
2
= t
3
e
t
and nally
2u
1
+ 2tu
2
= te
t
(1.3.51)
We now have the system of equations (1.3.50) and (1.3.50). Solving this system yields
u
1
=
0 t
2
te
t
2t
t t
2
1 2t
=
t
3
e
t
t
2
= te
t
Therefore
u
1
=
_
te
t
dt = e
t
(t 1)
Now
u
2
=
t 0
1 te
t
t t
2
1 2t
=
t
2
e
t
t
2
= e
t
38 Module 1: ODEs
Therefore
u
2
=
_
e
t
dt = e
t
Hence
y
p
= t(t 1)e
t
+t
2
e
t
The general solution is
y(t) = c
1
t +c
2
t
2
+t(t 1)e
t
+t
2
e
t
= c
1
t +c
2
t
2
+t(2t 1)e
t
Activity 1.3.5.1 Use the method of variation of parameters
1. Given that y
1
= t
3
and y
2
=
1
t
2
are solution of the homogeneous equation of
t
2
y
6y = t
3
ln t
nd the general solution of this equation.
2. Given that y
1
= sin t and y
2
= cos t are the two solution of the equation, use the method
of variation of parameters to show that
1
_
t
0
sin (t )f()d is a particular solution
of the nonhomogeneous equation y
+y = f(t)
1.3.6 Reduction of Order
The method involves assuming that the other solution of the second order dierential y
+
p(t)y
(t).
Dierentiating y
2
= uy
1
twice, we obtain
y
2
= uy
1
+u
y
1
, y
2
= uy
1
+ 2u
1
+u
y
1
and substituting into the equation
uy
1
+ 2u
1
+u
y
1
+puy
1
+pu
y
1
+uqy
1
= r
Rearranging we have
u(y
1
+py
1
+qy
1
) +u
y
1
+ 2u
1
+pu
y
1
= r
The rst term (i.e the term in u) is zero since y
1
is a solution of the homogeneous equation.
Now setting u
= z we have
z
y
1
+ 2zy
1
+pzy
1
= r
and nally
z
y
1
+ (2y
1
+py
1
)z = r (1.3.52)
This equation can be solved by ordinary methods for rst order dierential equations.
If the equation is homogeneous we can obtain a formula of the second solution y
2
= uy
1
. For
this case (1.3.52) becomes
z
y
1
+ (2y
1
+py
1
)z = 0
Math. Meth. for Sci.&Eng. 39
Separating the variables and integrating
_
dz
z
=
_ _
2
y
1
y
1
+p
_
dt
ln z = ln
_
1
y
2
1
_
_
p(t)dt + ln c
1

z = u
= = c
1
1
y
2
1
e
_
p(t)dt
u = c
1
_
1
y
2
1
e
_
p(t)dt
dt +c
2
For convenience, take c
1
= 1 and c
2
= 0, and we have
u =
_
1
y
2
1
e
_
p(t)dt
dt (1.3.53)
The second solution y
2
is given by
y
2
= uy
1
_
1
y
2
1
e
_
p(t)dt
dt
Example 1.3.6.1 Given that y
1
= t 1 is a solution of the equation
(2t t
2
)y
+ 2(t 1)y
2y = 0
nd the complete solution of the equation.
Solution 1.3.6.1 Let y
2
= u(t 1), and then y
2
= u + u
(t 1) and y
2
= 2u
+ u
(t 1).
Substituting these into the equation leads to equation
t(t
2
+ 3t 2)u
+ 2u
= 0
Let z =
du
dt
we have the rst order separable equation
t(t
2
+ 3t 2)
dz
dt
+ 2z = 0
Solving this
_
dz
dt
=
_
2
t(t
2
+ 3t 2)
The integrand on the left hand side cane be evaluated using partial fractions
_
dz
dt
=
_ _
2
t
2
t 1
+
1
t 2
dt
_
ln z = ln t 2 ln t 1 + ln t 2
z =
t(t 2)
(t 1)
2
u =
_
t(t 2)
(t 1)
2
dt
Again using partial fractions
u =
3
2
_ _
1
t 1
+
1
(t 1)
2
_
dt
u =
3
2
_
ln t 1 +
1
t 1
_
40 Module 1: ODEs
Therefore
y
2
=
3
2
[(t 1) ln t 1 + 1]
The general solution of the equation is
y(t) = c
1
(t 1) +c
2
3
2
[(t 1) ln t 1 + 1]
= (t 1)[k
1
+k
2
ln t 1]
where k
1
and k
2
can be appropriately determined.
Activity 1.3.6.1 Use the indicated solution to nd the complete solution of the equations
1. (2t t
2
)y
+ 2(t 1)y
2y = 0, y
1
= t 1
2. y
33y
+ 3y
y = 0, y
1
= e
t
1.3.7 Higher Order Dierential Equations
Given the nth order dierential equation with constant coecients
y
(n)
+p
n1
y
(n1)
+ +p
1
y
+p
0
= 0 (1.3.54)
substitute y = e
t
in a similar manner to that for second order equations. Then y
= e
t
, y
2
e
t
, , y
n
=
(n)
e
t
and substituting into equation(1.3.54) gives
(n)
e
t
+p
n1
(n1)
e
t
+ +p
1
e
t
+p
0
= 0
e
t
(
(n)
+p
n1
n1
+ +p
1
+ +p
0
) = 0
(n)
+p
n1
n1
+ +p
1
+ +p
0
= 0
since e
t
= 0 for all t I. The last equation is the characteristic equation of the dierential
equation.
If there are n distinct roots of the equation, the general solution is given by
y
h
= c
1
e
1t
+c
2
e
2t
+ +c
n
e
nt
If the are m repeated roots the general solution of the equation is
y
h
= c
1
e
t
+c
2
te
t
+ +c
m
t
m1
e
t
Example 1.3.7.1 Solve the equation
y
(v)
+ 3y
(iv)
+ 5y
+ 3y
= 0
Solution 1.3.7.1 The characteristic equation is
5
+ 3
4
+ 5
3
+ 3
2
= 0
This can be factored as
2
( + 1)(
2
+ 2 + 3) = 0
The roots of the equation are (i) = 0(twice) (ii) = 1 (iii) = 1
2i.
The general solution of the equation is given by
y
h
= c
1
+c
2
t +c
3
e
t
+e
t
(c
4
cos
2t +c
5
sin
2t)
Math. Meth. for Sci.&Eng. 41
1.4 Series Solution of Dierential Equations
1.4.1 Introduction
Equations with coecients that are functions of t cannot be easily solved by the method con
sidered so far. The solutions are not elementary functions. The method that we are going to
consider produces solutions that are power series.
Denition 1.4.1.1 A power series is an innite series of the form
a
0
+a
1
(t t
0
) +a
2
(t t
0
)
2
+ +a
r
(t t
0
)
r
+ =
r=0
a
r
(t t
0
)
r
(1.4.55)
where t = t
0
is said to be the centre of the power series, and the a
r
s are the coecients of the
power series.
The power series converges in the interval t t
0
 < R. This interval is called the interval of
convergence and R is the radius of convergence.
A power series with centre t = 0 has the form
a
0
+a
1
t +a
2
t
2
+ +a
r
t
r
+ =
r=0
a
r
t
r
(1.4.56)
There two straight forward operations that can be performed with power series. These are
termwise addition and multiplication. If
r=0
a
r
(t t
0
)
r
and
r=0
b
r
(t t
0
)
r
are two power series
then
r=0
a
r
(t t
0
)
r
+
r=0
b
r
(t t
0
)
r
=
r=0
(a
r
+b
r
)(t t
0
)
r
=
r=0
c
r
(t t
0
)
r
where c
r
= a
r
+b
r
r=0
a
r
(t t
0
)
r
__
s=0
b
s
(t t
0
)
r
_
=
_
u=0
c
u
(t t
0
)
u
_
where c
u
=
u
k=0
a
uk
b
k
Under certain, general, conditions a power series can be dierentiated term by term, that is
d
dt
r=0
a
r
(t t
0
)
r
=
r=1
ra
r
(t t
0
)
r1
This can be repeated, that is
d
2
dt
2
r=0
a
r
(t t
0
)
r
=
r=2
r(r 1)a
r
(t t
0
)
r2
Note that in the dierentiated series, the rst starts at r = 1 and the second at r = 2.
The idea of solving dierential equations by series, is to assume that a solution of the form
y(t) =
r=0
a
r
(t t
0
)
r
exists and its derivatives can be found. These are substituted into the equation to obtain the
coecients, a
r
s. Before going into details, let us consider a simple example.
42 Module 1: ODEs
Example 1.4.1.1 Find a series solution of the form y(t) =
r=0
a
r
t
r
for equation y
+ 9y = 0
Solution 1.4.1.1 Let y(t) =
r=0
a
r
t
r
, and then on dierentiating y
(t) =
r=1
ra
r
t
r1
and
y
(t) =
r=2
r(r 1)a
r
t
r2
Substituting the into the equation
r=2
r(r 1)a
r
t
r2
+ 9
r=0
a
r
t
r
= 0
To be able to combine the series, we to change the index oft in the rst series to r. This is
accomplished by changing r to r + 2 in the this series. This is called shifting the index. It is
abbreviated r r + 2. The result is
r=0
(r + 1)(r + 2)a
r+2
t
r
+
r=0
9a
r
t
r
= 0
Combining the series,
r=0
[(r + 1)(r + 2)a
r+2
+ 9a
r
]t
r
= 0
Equating the coecients of t
r
, we obtain the relationship
(r + 1)(r + 2)a
r+2
= 9a
r
or
a
r+2
=
9
(r + 1)(r + 2)
a
r
This is a recursive formula in a
r+2
and a
r
and it generates the coecients of the power series.
The rst few coecients are
r = 0 a
2
=
9
1.2
a
0
r = 1 a
3
=
9
2.3
a
1
r = 2 a
4
=
9
3.4
a
2
r = 3 a
5
=
9
4.5
a
3
=
9.9
3.4.1.2
a
0
=
9.9
4.5.2.3
a
1
=
(9)
2
1.2.3.4
a
0
=
(9)
2
1.2.3.4.5
a
1
=
(9)
2
4!
a
0
=
(9)
2
5!
a
1
... ... ... ...
r = k a
2k
=
(9)
k
(2k)!
a
0
r = k a
2k
=
(9)
k
(2k+1)!
a
1
The solution of the equation is
y(t) = a
0
+a
1
t +
9
2!
a
0
t
2
+
9
3!
a
1
t
3
+
(9)
2
4!
a
0
t
4
+
(9)
2
5!
a
1
t
5
+
Math. Meth. for Sci.&Eng. 43
= a
0
_
1 +
9
2!
t
2
+
(9)
2
4!
t
4
+
_
+
a
1
3
_
3t + 3
9
3!
t
3
+ 3
(9)
2
5!
t
5
+
_
= a
0
_
1
(3t)
2
2!
+
(3t)
4
4!
+
_
+
a
1
3
_
3t
(3t)
3
3!
+
(3t)
5
5!
t
5
+
_
The expression for y(t) is that of k
1
cos 2t +k
2
sin 3t, which is the solution that we would obtain
if we solve the equation by elementary methods.
1.4.2 Solution at an Ordinary Point
The series method can be used to solve the linear dierential equation (1.3.1.1), restated here
q
n
(t)y
(n)
+q
n1
(t)y
(n1)
+ +q
1
(t)y
+q
0
(t)y = r(t) (1.4.57)
even if the coecients q
n
, q
n1
, , q
0
may not be continuous in a given interval. First we give
some denitions.
The linear second order equation is
P(t)y
+Q(t)y
+R(t) = 0 (1.4.58)
which may be written as
y
+p(t)y
+q(t) = 0 (1.4.59)
where p =
Q
P
and q =
R
P
.
Denition 1.4.2.1 A function f(t) is said to be analytic at t = t
0
if the function can be
expressed as a power(Taylor) series in some neighbourhood of t = t
0
.
Denition 1.4.2.2 A point t = t
0
is called an ordinary(regular) point if P(t) = 0 or p(t) and
q(t) are both analytic at t = t
0
. Otherwise the point is said to be singular.
At an ordinary point, any solution is analytic and can therefore be expressed as a power series.
To solve an equation about an ordinary point, assume the solution has the form
y(t) =
r=0
a
r
(t t
0
)
r
Example 1.4.2.1 Solve the equation y
+t
2
y
r=0
a
r
t
r
, and then on dierentiating y
(t) =
r=1
ra
r
t
r1
and
y
(t) =
r=2
r(r 1)a
r
t
r2
Substituting the into the equation
r=2
r(r 1)a
r
t
r2
+t
2
r=1
ra
r
t
r1
+t
r=0
a
r
t
r
= 0
Simplifying
r=2
r(r 1)a
r
t
r2
+
r=1
ra
r
t
r+1
+
r=0
a
r
t
r+1
= 0
44 Module 1: ODEs
Combining the last two series
r=2
r(r 1)a
r
t
r2
+
r=0
(r + 1)a
r
t
r+1
= 0
Shifting the rst series, r r + 2 and the second series r r 1
r=0
(r + 2)(r + 3)a
r+2
t
r
+
r=0
ra
r1
t
r
= 0
By letting r = 0, we equate coecients of t
0
that is
2.3a
2
+ 0 = 0 =a
2
= 0
a
0
and a
1
are arbitrary and all other coecients (n 3) can be in terms of them.
Now to obtain the recursive formula, we equate the coecient of t
r
in the series to zero. the
formula is
a
r+3
=
(r + 1)
(r + 2)(r + 3)
a
r
r = 0 a
3
=
1
2.3
a
0
=
1.1
3.2.1
a
0
=
1
2
3!
a
0
r = 1 a
4
=
2
3.4
a
1
=
2.2
4.3.2.1
a
1
=
2
2
4!
a
1
r = 2 a
5
= (......)a
2
= 0
r = 3 a
6
=
4
5.6
a
0
=
4.4
7.6.5.3!
a
0
=
4
2
6!
a
0
The solution of the equation is
y(t) = a
0
+a
1
t
1
2
3!
a
0
t
3
2
2
4!
a
1
t
4
4
2
6!
a
0
t
6
+
2
2
5
2
7!
a
1
t
7
+
= a
0
_
1
1
2
3!
t
3
+
4
2
6!
t
6
+
_
+a
1
_
t
2
2
4!
t
4
+
2
2
5
2
7!
t
7
+
_
1.4.3 Method of Frobenius
The method of Frobenius, obtains a power series solution at a singular point. Singular points
can be classied according to the following denition.
Denition 1.4.3.1 A point t = t
0
is said to a regular singular point if in equation (1.4.59),
(t t
0
)p(t) and (t t
0
)
2
q(t) are both analytic at t
0
. Otherwise the point is said to be irregular.
Equivalently this denition states that the denominator of p(t) does not contain a power of
t t
0
higher than 1 and the denominator of q(t) does not contain a power of t t
0
higher than
2.
Example 1.4.3.1 Find all the singular points of
t(t 1)
2
y
+ 2ty
+ (t 1)y = 0
and state whether they are regular or irregular.
Math. Meth. for Sci.&Eng. 45
Solution 1.4.3.1 The can be expressed in the form of (1.4.59) as
y
+
2t
t(t 1)
2
y
+
1
t(t 1)
The singular points are the points where t(t 1)
2
= 0. So t = 0 and t = 1 are the singular
points.
Now for t = 0
tp(t) =
2t
(t 1)
2
, which is analytic at t = 0.
t
2
q(t) =
t
t 1
which is analytic at t = 0
And for t = 1
(t 1)p(t) =
2
t 1
, which is not analytic at t = 1.
(t 2)
2
q(t) =
(t 1)
t
which is analytic at t = 1 So t = 0 is regular singular point, and t = 1 is
an irregular singular point.
Activity 1.4.3.1 Find all the singular points of t
2
(14t
2
)y
4ty
r=0
a
r
t
r+s
= a
0
t
s
+a
1
t
s+1
(1.4.60)
where s is to be determined. Then
y
(t) =
r=0
(r +s)a
r
t
r+s1
= sa
0
t
s1
+ (s + 1)a
1
t
r
+ (1.4.61)
and
y
(t) =
r=0
(r +s)(r +s 1)a
r
t
r+s2
= s(s 1)a
0
t
s2
+ (1.4.62)
If t = 0 is regular singular point of the equation (1.4.59), let p(t) =
p(t)
t
and p(t) has the power
series
r=0
p
(n)
(0)
r!
t
r
. Then
p(t) =
p
0
(t)
t
+p
1
(t) +p
2
(t)t +p
3
(t)t
2
+
where p
i
=
p(t)(0)
i!
Similarly for q(t)
q(t) =
q
0
(t)
t
2
+
q
1
(t)t
t
+q
2
(t) +q
3
(t)t +
Substituting into the equation y
+p(t)y
+q(t)y = 0
_
s(s 1)a
0
t
s2
+
+
__
p(t) =
p
0
(t)
t
+p
1
(t) +p
2
(t)t +p
3
(t)t
2
+
_
_
sa
0
t
s1
+ (s + 1)a
1
t
r
+
_
_
46 Module 1: ODEs
+
__
q
0
(t)
t
2
+
q
1
(t)t
t
+q
2
(t) +q
3
(t)t +
_
_
a
0
t
s
+a
1
t
s+1
_
_
= 0
Simplifying
[s(s 1)a
0
t
s2
+ ] + [p
0
s
0
t
s2
+ ] + [q
0
a
0
t
s2
+ ]
The smallest coecient of t
s2
is [s(s 1) +p
0
s +q
0
]a
0
where a
0
= 0 must vanish. This forms
a quadratic equation called the indicial equation
s(s 1) +p
0
s +q
0
= 0
Then nature of the roots of this equation will determine the type of the series solution for our
dierential equation.
There are three cases that arise:
Case 1: Distinct roots which do not dier by an integer, s
1
s
2
= 1, 2 the solutions
have the form (1.4.60).
Case 2: Double real roots s
1
= s
2
, the rst solution is of the form (1.4.60) and the second
contain a logarithmic term
Case 3: Distinct roots which dier by an integer, s
1
s
2
= 1 2 , the second solution may
contain the logarithmic term.
Example 1.4.3.2 Find the two linearly independent solutions of the equation 2t
2
y
+ (2t
2
3t) + (t + 2)y = 0
Solution 1.4.3.2 Using (1.4.60), and its derivatives, and substituting in the given equation
we obtain
r=0
2(r+s)(r+s1)a
r
t
r+s
+
r=0
2(r+s)a
r
t
r+s+1
r=0
3(r+s)a
r
t
r+s
+
r=0
a
r
t
r+s+1
+
r=0
2a
r
t
r+s
= 0
The indicial equation is obtained by putting r = 0 in the terms in t
r+s
and it is
2s(s 1) 3s + 2 = 0
and has solutions s =
1
2
, 2. This is the case of distinct roots not diering by an integer.
Combining the rst, third and last series; and combining the second and fourth series
r=0
[(r +s)(2r + 2s 5) + 2]a
r
t
r+s
+
r=0
[2(r +s) + 1]a
r
t
r+s+1
= 0
Shifting the index in the second series r r 1
r=0
[(r +s)(2r + 2s 5) + 2]a
r
t
r+s
+
r=0
[2(r +s) 1]a
r1
t
r+s
= 0
Combining these
r=0
[(r +s)(2r + 2s 5) + 2] + [2(r +s) 1]a
r1
t
r+s
= 0
When s =
1
2
[(r +
1
2
)(2r 4) + 2]a
r
= [2(r +
1
2
) 1]a
r1
Math. Meth. for Sci.&Eng. 47
The resulting recursive formula is
a
r
=
2
2r 3
a
r1
r = 1 a
1
=
2
(1)
a
0
= 2a
0
r = 2 a
2
=
2
1
a
0
= 2a
0
r = 3 a
3
=
2
3
a
0
r = 4 a
4
=
2
5
a
0
The rst solution is
y
1
(t) = t
1
2
_
1 + 2t + 2t
2
2
3
t
3
2
5
t
4
+
_
When s = 2
[(r + 2)(2r 1) + 2]a
r
= [2(r + 2) 1]a
r1
The resulting recursive formula is
a
r
=
1
r
a
r1
r = 1 a
1
= a
0
r = 2 a
2
=
1
2
a
0
r = 3 a
3
=
1
3
a
0
r = 4 a
4
=
1
4
a
0
The second solution is
y
2
(t) = t
2
_
1 +t +
1
2
t
2
+
1
3
t
3
+
1
4
t
4
+
_
Example 1.4.3.3 Find the general solution of the equation t
2
y
+ 3t(1 t)y
+ (1 + 3t)y = 0
in terms of a power series valid near the origin.
Solution 1.4.3.3 If written in the form (1.4.59), we obtain p
0
=
1
3
and q
0
= 1. The indicial
equation is,
s(s 1) + 3s + 1 = 0 =(s + 1)
2
= 0
48 Module 1: ODEs
which has root s = 1, repeated(Case 2).
The rst solution is y
(
t) =
r=0
a
n
x
r1
. Substituting for y
1
, y
1
and y
1
results in
r=0
(r 1)(r 2)a
r
t
r1
+
r=0
3(r 1)a
r
t
r1
r=0
3(r 1)a
r
t
r
+
r=0
a
r
t
r1
+
r=0
3a
r
t
r
= 0
Shifting the t
r
index and equating coecients of t
r1
, we nd out that
t
1
: [1(2) + 3(1) + 1]a
0
= 0
t
0
: [(1 + 1)(1)]a
1
+ 3(1 + 1)a
1
3(1)a
0
+a
1
+ 3a
0
= 0
t
k
: [(k 1)(k 1 1)]a
k
+ 3(k 1)a
k
3(k 1 1)a
k1
+a
k
+ 3a
k1
= 0
which gives
a
1
= 6a
0
, a
0
is arbitrary
a
k
=
3(k 3)
k
2
a
k1
=a
2
=
3
4
a
1
=
3
4
(6)a
0
=
9
2
a
0
a
0
= 0, a
4
= a
5
= = 0 k > 2
y
1
(t) =
a
0
t
+a
1
+a
2
t
= a
0
_
1
t
6 +
9
2
t
_
The second solution is of the form
y
2
(t) = y
1
(t) ln t +
r = 1
b
r
t
r1
To determine b
r
, use the fact that y
(
t) must satisfy the given equation. Now
y
2
= y
1
ln t +
y
1
t
+
r = 1
(r 1)b
r
t
r2
y
2
= y
1
+ 2
y
1
t
y
1
t
2
+
r=1
(r 2)(r 1)b
r
t
r3
Substituting into the equation
[t
2
y
1
ln t+3t(1t))y1
ln t+(1+3t)y
1
ln t]+t
2
_
2
y
1
t
y
1
t
2
+
r = 1
(r 2)(r 1)b
r
t
r3
_
+
3t(1 t)
_
y
1
t
+
r=1
(r 1)(r 2)b
n
t
r1
_
+ (1 + 3t)
r=1
b
r
t
r1
= 0
The rst term in brackets is zero since y
1
is a solution of the given equation.
2ty
1
y
1
+
r=0
(r 1)(r 2)b
r
t
r1
+3(1t)y
1
+
r=1
(r 1)3t(1t)b
r
t
r2
+
r=1
(1+3t)b
r
t
r1
= 0
But y
1
=
_
1
t
6 +
9
2
t
_
and a
0
= 0, so using these in the equation
r=1
(r 1)(r 2)b
r
t
r1
+
r=1
(r 1)3t(1 t)b
r
t
r2
+
r=1
b
r
(1 + 3t)t
r1
=
Math. Meth. for Sci.&Eng. 49
2t
_
1
t
6 +
9
2
t
_
+
1
t
6 +
9
2
t 3(1 t)
_
1
t
6 +
9
2
t
_
= 15 36t +
27
2
t
2
Comparing the coecients:
t
0
: 0 + 0 +b
1
= 15 =b
1
= 15
t
1
: 0 + 3b
2
0 + 3b 1 = 36 =b
2
=
81
4
t
2
: 2b
3
+ 6b
3
3b
3
+b
3
+ 3b
2
=
27
2
=b
3
=
3
2
.
.
.
.
.
.
t
k
: (k 1)(k)b
k+1
+ 3kb
k+1
3(k 1)b
k
+b k + 1 + 3b
k
= 0
= b
k
=
3k 6
(k + 1)
2
b
k
=b
4
=
3
16
b
3
=
3
16
3
2
=
9
32
and so on
Therefore
y
2
(t) =
_
1
t
6 +
9
2
t
_
ln t
81
4
t +
3
2
t
2
+
9
32
t
3
+
The third case can be handled in a way similar to that in the last example. The only thing
to look out for is the fact that the logarithmic term may or may not be present. The second
solution in either case can, also, be obtained by the method of reduction of order.
Activity 1.4.3.2 Find the power series solutions, near the origin, of the equations
1. (t
2
9)y
+ 3ty
3y = 0
2. t
2
y
+ (t
2
t)y
+y = 0
3. 4t
2
y
+ 2t(2 t)y
(1 + 3t)y = 0
We now look at a special equation that can be solved using the series method and the special
functions that arise in its solution. The equation is Bessels equation and it has numerous
applications is science and engineering.
1.4.4 Bessels Equation
The equation
t
2
y
+ty
+ (
2
t
2
2
)y = 0 (1.4.63)
is Bessels equation of the with parameter .
This equation can be simplied, so that we dont have to deal with the parameter , by setting
u = t. Then y
=
dy
du
and y
=
2
d
2
ydu
2
and substituting into (1.4.63), leads to
u
2
d
2
y
du
+u
dy
du
+ (u
2
2
)y = 0 (1.4.64)
This equation is simply called Bessels equation of order . Expressed in the form of equation
(1.4.59), we have
p(u) =
1
u
, and q(u) =
u
2
2
u
2
It can be seen that u = 0(the origin), is the only regular singular point of the equation, the
others are all ordinary points.
50 Module 1: ODEs
The indicial equation is
s(s 1) +s
2
= 0 =s =
The method of Frobenius can thus be applied to nd the series solution of the form
u
1
(t) =
r=0
a
r
u
r+
Substituting for u, u
, and u
r=0
(r +)(r + 1)a
r
u
r+2
+u
r=0
(r +)a
r
u
r+1
+ (u
2
)
r=0
a
r
u
r+
= 0
Simplifying and combining
r=0
[(r +)(r + 1) + (r +)
2
]a
r
u
r+
+
r=0
(r +)a
r
u
r++2
= 0
or
r=1
[(r +)(r + 2)]a
r
u
r+
+
r=0
(r +)a
r
u
r++2
= 0
Shift the index in the second term r r 2 and writing the rst term of the series separately.
a
1
(1 + 2)u
1+
+
r=2
r(r + 2)a
r
u
r+
+
r=2
a
r2
u
r+
= a
1
(1 + 2)u
1+
+
r=2
[r(r + 2)a
r
u +a
r2
u
r+
] = 0
The equation holds if and only if
a
1
(1 + 2) = 0
and
r(r + 2)a
r
+a
r2
= 0
That is, we get the recursive formula
a
r
=
a
r2
r(r + 2)
The last but one equation imply that a
1
= 0, since 0. Therefore
a
3
= a
5
= = a
2k+1
= = 0
The even terms are given are:
a
2
=
a
0
2(2 + 2)
=
a
0
2
2
.1!( + 1)
a
4
=
a
2
4(2 + 4)
=
a
2
2
4
.1!( + 2)( + 1)
a
6
=
a
4
6(2 + 6)
=
a
4
2
2
.1!( + 3)
=
a
0
2
6
.3!( + 3)( + 2)( + 1)
and generally
a
2k
=
(1)
k
a
0
2
2k
k!( +k)( +k 1) ( + 3)( + 2)( + 1)
Math. Meth. for Sci.&Eng. 51
This expression can be written in the form, using the properties of the gamma function,
a
2k
=
(1)
k
2
+2k
k!( +k + 1)
[2
( + 1)
Since a
0
can be chosen to be
a
0
=
1
2
( + 1)
and hence nally we have
a
2k
=
(1)
k
2
+2k
k!( +k + 1)
The solution of the equation y
(t). That is
J
(t) =
_
1
2
( + 1)
t
2
2
+2
( + 2)
+
t
4
2
+2
( + 4)
_
(1.4.65)
=
k=0
(1)
k
t
+2k
2
+2k
k!( +k + 1)
(1.4.66)
The series J
(t) converges for all positive values of t, and to ensure that it converges for all
values of t, t is taken in th formula instead of t. The graph of the function J
(t) is sketched
below for = 0 and = 1
The graphs bear some resemblance to the graphs of cos t and sin t.
For the other root s = , by symmetry, replace by in the expression for J
(t), (1.4.66),
to get
J
(t) =
k=0
(1)
k
t
+2k
2
+2k
k!( +k + 1)
(1.4.67)
The complete solution of the equation is
y(t) = c
1
J
(t) +c
2
J
(t)
It is convenient to take
Y
(t) =
cos J
(t) J
(t)
sin
(1.4.68)
instead of J
(t) and Y
n
u(t) are linearly
independent.
Y
_
0
1
s
e
st
dt
=
1
s
2
e
st
0
=
1
s
2
The concept of transformation is already known because we saw the notion of dierential
operator D which transforms each function into another.In this chapter we deal with other
transformations.We deal with a transformation which has played an important role in pure and
applied mathematics.
1.5.2 Denitions and Properties
Denition 1.5.2.1 The class of transformations dened by
T{f(t)} =
_
_
0
e
st
f(t)dt
_
0
f(t)e
st
dt M
_
0
e
t
e
st
dt = =
M
s +
where condition s > is needed for existence of the last integral.
54 Module 1: ODEs
Laplace Transforms of Elementary Functions
We will now consider the calculation of the Laplace transform of some elementary function.
Basically the denition and some calculus are the only tools required.
Example 1.5.2.2 Find L{e
kt
}
Solution 1.5.2.2 Use the denition
L{e
kt
} =
_
0
e
st
e
kt
dt =
_
0
e
(ks)t
dt =
_
e
(ks)t
k s
_
0
=
1
k s
_
lim
t
e
(ks)t
e
(ks)0
_
=
1
k s
=
1
s k
Note that this is special case of Example
We have k = 0 =L{1} =
1
s
Example 1.5.2.3 Find L{cosh kt}
Solution 1.5.2.3 From the denition of hyperbolic functions
cosh kt =
1
2
(e
kt
+e
kt
)
Then
L{cosh kt} = L{
1
2
(e
kt
+e
kt
)} =
1
2
L{e
kt
} +
1
2
L{e
kt
} =
1
2
_
1
s k
+
1
s (k)
_
=
1
2
s +k +s k
s
2
k
2
=
s
s
2
k
2
; s > 0, k 0
Example 1.5.2.4 Find L{sin kt}
Solution 1.5.2.4 From calculus we shall use the fact that
_
e
ax
sinmxdx =
e
ax
(a sin x mcos mx)
a
2
+m
2
Math. Meth. for Sci.&Eng. 55
L{sinkt} =
_
0
sin ktdt =
_
e
st
(s sin kt k cos kt)
s
2
+k
2
_
0
+c
for s > 0 , e
st
0 we obtain
0 e
0
_
s sink0 k cos 0
s
2
+k
2
_
=
k
s
2
+k
2
=
k
k
2
+s
2
Similarly L{cos kt} =
s
s
2
+k
2
for s > 0
Example 1.5.2.5 Let n be a positive integer. Find L{t
n
}
Solution 1.5.2.5
L{t
n
} =
_
0
e
st
t
n
dt
integrating by parts
u = t
n
,
du
dt
= nt
n1
,
dv
dt
=
e
st
s
L{t
n
} =
1
s
e
st
.t
n
+
n
s
_
0
e
st
t
n1
dt =
_
1
s
e
st
.t
n
_
0
+
n
s
L{t
n1
}
For
s > 0,
n
s
L{t
n1
} = L{t
n
}
Using iteration
L{t
n
} =
n 1
s
2
L{t
n1
} = =
n(n 1) 3.2.1
s
n
L{t
0
} =
n!
s
n+1
Example 1.5.2.6 Find L{(t)} where
(t) =
_
sin 2t 0 < t <
0 t >
56 Module 1: ODEs
Solution 1.5.2.6 Use the property of additivity of integration. Integrating twice by parts
L{(t)} =
_
0
e
st
(t)dt =
_
0
e
st
sin 2tdt +
_
e
st
.0dt
=
2
s
_
e
st
s
cos 2t
_
4
s
2
_
0
e
st
sin2tdt =
1
1 +
4
s
2
.
2
s
_
e
st
s
cos 2t
_
0
=
2
s
2
+ 4
(1 e
s
), s > 0
Remark 1.5.2.3 In the survey of Laplace transformations we nd the notion of Gamma func
tions (k). The denition of the Gamma function is
(t) =
_
0
e
t
t
k1
dt
It can be shown (t) = (k 1)! that by parts
By iteration or induction k > 0
Therefore the gamma function is the generalisation of the factorial function.
Inverse Laplace Transforms
The inverse Laplace transform is concerned with nding the function, given its Laplace trans
form.
Denition 1.5.2.3 Given the Laplace transform F(s), the inverse Laplace transform is dened
by
f(t) = L
1
{F(s)}
The process of nding inverse transforms is simplied by the fact that transforms of most
functions are tabulated. It is important to note that the inverse transform is a linear transform.
Theorem 1.5.2.3 If F(s) and G(s) are Laplace transforms and a, b are any constants we have
L
1
{aF(s) +bG(s)} = aL
1
{f(t)} +bL
1
{G(s)} (1.5.75)
Example 1.5.2.7 Find the inverse Laplace transform of
F(s) =
4s
2
+s + 5
(s 1)(s
2
+ 4)
Math. Meth. for Sci.&Eng. 57
Solution 1.5.2.7 The function F(s) can be broken into
2
s 1
+
2s + 3
s
2
+ 4
Using the linearity property
L
1
{F(s)} = L
1
_
2
s 1
+
2s + 3
s
2
+ 4
_
= L
1
_
2
s 1
_
+L
1
_
2s + 3
s
2
+ 4
_
= 2L
1
_
1
s 1
_
+ 2L
1
_
s
s
2
+ 4
_
+ 3L
1
_
2
1
2
s
2
+ 4
_
= 2L
1
_
1
s 1
_
+ 2L
1
_
s
s
2
+ 4
_
+
3
2
L
1
_
2
s
2
+ 4
_
Using Tables of
= 2e
t
+ 2 cos 2t +
3
2
sin 2t
Activity 1.5.2.1 1. Determine the Laplace transforms of
(a) f(t) = te
t
(b) f(t) = t
3
2
(c) f(t) = e
3t
sin 2t 10t
2
+ 5
2. Find the inverse Laplace transforms of
(a) F(s) =
2s
s
2
+ 3s 10
(b) F(s) =
s
s
2
3
(c) F(s) =
s 1
s
2
+ 3s + 7
1.5.3 Laplace Transforms of Periodic Functions
Theorem 1.5.3.1 If f(t) has a Laplace Transform and if f(t) is a periodic function with period
p This means that f(t +p) = f(t) for all t . then
L{f(t)} =
_
p
0
e
st
f(t)dt
1 e
sp
, s > 0
Proof 1.5.3.1
L{f(t)} =
_
p
0
e
st
f(t)dt
1 e
sp
=
n=0
_
(n+1)p
np
e
st
f(t)dt
=
_
p
0
e
st
f(t)dt +
_
2p
p
e
st
f(t)dt +
(1) (2)
58 Module 1: ODEs
If we substitute in the integral (1), t = , in (2), t = + p , in (3), + 2p, we obtain new
limits of integration
1
= 0,
2
= p and on the interval f(t) = f()
f(t) = f( +p) =
_
p
0
e
st
f()d +
_
p
0
e
s(+p)
f()d +
_
p
0
e
s(+2p)
f() +
=
_
p
0
e
s
_
1 +e
sp
+e
2sp
+e
3sp
+....
_
d
=
_
p
0
f()e
st
d
1 e
sp
Example 1.5.3.1 Find the transform of f(t) =  sin t
Solution 1.5.3.1 Theorem 3.1 implies that
L{f(t)} =
1
1 e
sp
_
0
e
st
f(t)dt
=
1
1 e
s
_
p=
0
e
st
sintdt
= e
st
_
cost
_
e
st
costdt
integrating by parts
Again by parts gives
_
0
e
st
sin tdt =
s
2
+
2
_
1 +e
s
_
L{f(t)} =
1
1 e
s
s
2
+
2
_
1 +e
s
_
=
s
2
+
2
coth
s
2
Activity 1.5.3.1 Find the Laplace transform of
f(t) =
_
t if 0 < t < 1
1 t if 1 t < 2
given that f(t) = f(t + 2).
1.5.4 Laplace Transforms of Derivatives
We shall see that dierentiation of the function f(t) corresponds simply to multiplication of
the transforms L{f(t)} = F(s) by s. This is a parameter replacing operation of calculus by a
simple algebraic operations on L{f(t)}
Math. Meth. for Sci.&Eng. 59
Theorem 1.5.4.1 Suppose f(t) is continuous for all t 0 and that satises condition of (4)
in Theorem 1.4 and has a derivative f
(t)} =
_
0
e
st
f
(t)dt =
_
e
st
f(t)
_
0
+s
_
0
e
st
f(t)dt
lim
t
e
st
f(t) = 0 if s > Thm 1.4
= 0 1.f(0) +sL{f(t)} = sL{f(t)} f(0) = sY (s) f(0)
If f
(t), f
(t), ...f
(n1)
(t) are continuous for all t 0 and
that satisfying (4) in Theorem 1.4 for some and M and let the derivative f
(n)
(t) be piecewise
continuous for all t 0 then the Laplace transform of f
(n)
(t) is given by
L{f
(n)
(t)} = s
n
L{f(t)} s
n1
f(0) s
n2
f
(0)....sf
(n2)
(0) 1.f
(n1)
(0)... (1.5.77)
Proof 1.5.4.2 For n = 2 L{f
(t) =
_
f
(t)
_
L{f
(t)} +sL{f
(t)} f
(0) = s
2
Y (s) sf(0) f
(0)
If n = 3, 4, by induction(iteration) we obtain (6)
60 Module 1: ODEs
Example 1.5.4.1 Find L{t
2
}
Solution 1.5.4.1 Using direct transformation of f(t) = t
2
we obtain L{t
2
} =
2
s
2
But also f
(0) = s
2
Y (s)
L{2} = 2L{1} =
2
s
so
2
s
= s
2
Y (s)
L{t
2
} =
2
s
3
Example 1.5.4.2 Find L{sin
2
t}
Solution 1.5.4.2 Using Theorem 4.1
f
(t)} = L{sin2t} =
2
s
2
+ 4
= sY (s) f(0).
From table Y (s) = L{sin
2
t} =
2
s(s
2
+ 4)
Application to Dierential Equations
Example 1.5.4.3 Use the Laplace transforms to solve
y
3y
+ 2y = 0, y(0) = 3, y
(0) = 5
Solution 1.5.4.3 First step: Setting up subsidiary equation
Let y(t) be the solution and let Y (s) be the Laplace transform of y(t). Applying Laplace
transforms on L.H.S.(also on R.H.S.)
L{y
3y
+ 2y} = 0
using Theorems 4.1, 4.3
L{y
} 3L{y
} + 2L{y} = 0
s
2
Y (s) + 3s 5 3(sY (s) + 3) + 2Y (s) = 0
This equation is the called the subsidiary equation.
Second step: Solution of subsidiary equation
Y (s) =
3s+14
(s1)(s2)
Math. Meth. for Sci.&Eng. 61
Using partial fractions Y (s) =
11
s 1
+
8
s 2
Third step: Solution of original problem
From standard transforms tables, we get that
L
1
{Y (s)} = f(t)
L
1
{
1
s 1
} = e
t
L
1
{
1
s 2
} = e
2t
f(t) = y(t) = 11e
t
+ 8e
2t
Activity 1.5.4.1 1. Use dierentiation to nd L{t
2
e
t
}.
2. Use the Laplace method to solve
y
+ 6y
+ 9y = e
3t
3. Solve the initial value problem
y
+
2
y = e
at
sin bt
1.5.5 Laplace Transforms of Integrals
Shifting Theorems
Since integration is inverse operation of dierentiation it corresponds to division of transforms
F(S) by s
Theorem 1.5.5.1 If f(t) is piecewise continuous and satises an inequality (4) from Theorem
1.4 then
L{
_
t
0
f(t)dt} =
F(s)
s
, s > 0, s > , (1.5.78)
Note that Theorem 1.4 t 0 f(t) Me
t
where M, are any constants then L{f(t)} exists
Proof 1.5.5.1 Suppose that f(t) is a function from Theorem 1.4. If inequality (4) holds for
some negative , it also holds for positive and we may assume that is positive then the
integral
_
t
0
f(t)dt = g(t) is a continuous function and by using (4) from Theorem 1.4 we write
that
g(t)
_
t
0
f()d M
_
t
0
e
d =
M
_
e
t
_
t
0
=
M
(e
t
1), > 0
62 Module 1: ODEs
Also holds g
(t) = f(t) from above, except for points at which f(t) is discontinuous. Hence
g
(t) = f(t) is piecewise continuous on each nite interval and by Theorem 4.1
L{f(t)} = L{g
0
e
st
f(t)dt F(s a) =
_
0
e
(ta)
f(t)d
=
_
0
e
at
_
e
st
f(t)dt
_
= e
at
L{F(s)}
The term in the brackets is the Laplace transform.
Example 1.5.5.1 Given that F(s) =
s
s
2
+ 4s + 4
. Find L
1
{F(s)}
Solution 1.5.5.1 We aspire to nd a wellknown original function from the tables. We proceed
as follows
L
1
{
s
s
2
+ 4s + 4
} = L
1
{
s
(s + 2)
2
}
since denominator contains repeated linear factor we use partial fractions
= L
1
{
1
s + 2
2
(s + 2)
2
}
Using theorem 5.2 on linearity of Laplace transforms
= L
1
{
1
s + 2
} 2L
1
{
1
(s + 2)
2
}
Math. Meth. for Sci.&Eng. 63
Using remark 5.3
= e
2t
L
1
{
1
s
} 2L
1
{
1
s
2
} = e
2t
2te
2t
L
1
{F(s)} = f(t) = e
2t
(1 2t)
Solution 1.5.5.2 1. Using the Laplace transform solve the initial value problem
y
2y
+ 10y = 0
y(0) = y
(0) = 3
1 L{y
} 2L{y
} + 10L{y} = 0
s
2
Y (s) sy(0) 1 y
+ 4y = f(t), y(0) = y
(0) = 0
in which f(t) = sint u
2
sin(t 2)
First nd the transform of the R.H.S.
L{sint u
2
sin(t 2)}
= L{sin t} L{u
2
sin(t 2)} =
1
s
2
+1
e
2s 1
s
2
+1
Now the the transform of the L.H.S
L{y
+ 4y} = L{y
} + 4L{y}
= s
2
Y (s) sy(0) 1y
3y
+ 2y = 4e
2t
, y(0) = 3, y
(0) = 5
Solution 1.5.6.4 Obtain subsidiary equation
s
2
Y (s) + 3s 5 3(sY (s) + 3) + 2Y (s) = 4L{e
2t
}
68 Module 1: ODEs
Our subsidiary equation gives
Y (s) =
3s
2
+ 20s 24
(s 2)
2
(s 1)
Use partial fractions
Y (s) =
4
s 2
+
4
(s 2)
2
1
s 1
y = L
1
{Y } = = 4e
2t
+ 4te
2t
7e
t
1.5.7 System of Dierential Equations and Laplace Transforms
The Laplace operator transforms a system of linear dierential equations with constant coe
cients into a system of algebraic equations.
Example 1.5.7.1 Solve the system
y
1
+y
2
= cost
y
2
y
1
= sint
y
1
(0) = y
1
(0) = 1; y
2
(0) = 1, y
2
(0) = 0
Solution 1.5.7.1 s
2
Y
1
+s +sY
2
=
s
s
2
+ 1
s
2
Y
2
s Y
1
=
1
s
2
+ 1
Using Crammers rule we have, for Y
1
, Y
2
Y
1
=
s + 1
s
2
+ 1
, Y
2
=
s
s
2
+ 1
y = L
1
{Y
1
} = y = L
1
{
s
s
2
+ 1
1
s
2
+ 1
} = cost sint
y = L
1
{Y
2
} = y = L
1
{
s
s
2
+ 1
} = cost
Exercise 1.5.7.1 Let y(x), z(x) be functions of x. Solve the following system for y(x) only.
y
y + 5z
= x
z
4z + 2y
= 2
y(0) = y
(0) = z(0) = z
(0) = 0
y(x) = x + 5sinx 2sin2x
1.5.8 Dierentiation and Integration of Laplace Transforms
In this section we consider dierentiation and integration of transforms F(s) and nd out the
corresponding operations for original functions f(t)
Math. Meth. for Sci.&Eng. 69
Theorem 1.5.8.1 If f(t) is a function from Theorem 1.4 and if F(s) = L{f(t)} then
F
(s) =
d
ds
(F(s)) =
d
ds
_
0
e
st
f(t)dt =
_
0
(t)e
st
f(t)dt = L{tf(t)}
Theorem 1.5.8.2 If f(t) is a function from Theorem 1.4 then
d
n
ds
n
(F(s)) = L{(t)
n
f(t)} (1.5.81)
Proof 1.5.8.2 By induction, moreover if f(t) is a function from Theorem 1.4 then (t)
n
f(t)
is also a function from Theorem 1.4
Example 1.5.8.1 The Theorems above are applicable to the list of basic Laplace Transforms
L{
t sin kt
2k
} =
s
(s
2
+k
2
)
2
Solution 1.5.8.1 From L{sin kt} =
k
s
2
+k
2
F
(s) =
2ks
(s
2
+k
2
)
2
= L{
t sin kt
2k
} =
s
(s
2
+k
2
)
2
L{
sin kt kt cos kt
2k
3
} =
1
(s
2
+k
2
)
2
Proof
From L{sinkt} =
s
s
2
+k
2
F
(s) =
1(s
2
+k
2
)2s
2
(s
2
+k
2
)
2
=
k
2
s
2
(s
2
+k
2
)
2
= L{t cos kt}
1
s
2
+k
2
= L{
sin kt
k
} =
k
2
s
2
(s
2
+k
2
)
2
+
1
(s
2
+k
2
)
2
= L{t cos kt +
sin kt
k
}
=
k
2
s
2
+s
2
+k
2
(s
2
+k
2
)
2
= L{
sin ktkt cos kt
2k
3
} =
1
s
2
+k
2
Theorem 1.5.8.3 If f(t) is a function from Theorem 1.4 and if lim
t0
+
f(t)
t
exists then
_
s
F()d = L{
f(t)
t
} (1.5.82)
Proof 1.5.8.3
_
s
__
0
e
t
f(t)dt
_
d =
_
0
__
s
e
t
f(t)d
_
dt =
_
0
f(t)
__
e
t
t
_
s
_
dt
70 Module 1: ODEs
=
_
0
f(t)
_
1
t
lim
e
t
+
1
t
e
st
_
dt =
_
0
f(t)
e
st
t
dt = L{
f(t)
t
}
if lim
t0
+
f(t)
t
exists
Example 1.5.8.2 Find f(t) if L{f(t)} = ln
s
s 1
F
(s) =
s 1
s
s 1 s
(s 2)
2
=
1
s(s 1)
=
A
s
+
B
s 1
Solution 1.5.8.2 Partial fractions give A = 1, B = 1
= L
1
{F
(s)} = 1 e
t
Using (11)
But L
1
{F(s)} = L
1
{ln
s
s 1
} =
1
t
(1 e
t
) =
1
t
e
t
t
1.5.9 The Convolution Theorem
An important general property of the Laplace Transform F(s) with regard to product of given
transform. We would like to calculate the inverse of the product F(s)G(s) from those known
inverses f(t) and g(t). This inverse transform is denoted by h(t) = (f g)(t). The sign is
used for the convolution and is called the convolution of f and g
F(s) = L{f(t)}, G(s) = L{g(t)}
Theorem 1.5.9.1 (Convolution Theorem)
If f(t) and g(t) are the inverse transforms of F(s) and G(s) and both of them satises Theorem
1.4 then the inverse transforms h(t) of H(s) = F(s)G(s) is given by
h(t) = (f g)(t) =
_
t
0
f()g(t )d (1.5.83)
Proof 1.5.9.1 F(s) =
_
0
e
s
f()d.
G(s) multiplies both sides
F(s)G(s) =
_
0
e
s
f()dG(s)
=
_
0
e
s
f()
__
0
e
st
g(t)dt
_
d
Using Shifting Theorem 5.8
Math. Meth. for Sci.&Eng. 71
L{g(t )u
} = e
s
G(s) =
_
0
f()e
s
__
0
g(t )u
dt
_
d
=
_
0
f()
__
g(t )u
dt
_
d
The interchanging gives 0 T < , 0 < t
_
0
_
t
0
f()e
st
g(t )dt
=
_
0
_
e
st
_
t
0
f()g(t )d
_
dt
Remark 1.5.9.1 Because f(t) and g(t) enter formula (12) symmetrically we may interchange
F(s) and G(s)
L
1
{F(s)G(s)} =
_
t
0
g()f(t )d (1.5.84)
Remark 1.5.9.2 (Properties of Convolution) Just as multiplication of numbers the convolu
tion has the following properties
1. f g = g f commutative
2. f (g
1
+g
2
) = (f g
1
) + (f g
2
) distributive
3. f (g h) = (f g) h associative
4. 1 f = f (in general)
5. (f f) 0
Example 1.5.9.1 Find the Laplace of the given convolution integral
_
t
0
(t )sin3d
Proof 1.5.9.2
F(s)G(s) = L{
_
t
0
(t )sin3d}
= L{
_
1
3
cos3(t )
_
t
0
_
t
0
cos3
3
d}
= L{
t
3
1
3
.
1
3
sin3t}
=
1
3s
2
1
9
3
s
2
+ 9
=
3
s
2
(s
2
+ 9)
72 Module 1: ODEs
Example 1.5.9.2 Find the Laplace of the given convolution integral
_
t
0
e
(t)
sind = F(s)G(s)
Solution 1.5.9.1 Integrating by parts gives (twice)
1
2
(sint cost +e
t
)
L{
_
t
0
e
(t)
sind} =
1
2
L{sint cost +e
t
}
=
1
2
(
1
s
2
+ 1
s
s
2
+ 1
+
1
s + 1
)
Example 1.5.9.3 Find the inverse transform of the given H(s) =
4
s
2
(s 2)
using the convo
lution
Solution 1.5.9.2 Theorem F(s)G(s) =
4
s
2
1
s 2
= H(s) it implies that
f(t) = 4, g(t) = e
2t
H(s) = L{
_
t
0
4e
2(t)
d} by parts
_
e
2(t)
(2t 1)
_
t
0
= 2t 1 +e
2t
Example 1.5.9.4 Applying convolution Theorem solve I.V.P.
y
+y
= sin t, y(0) = y
(0) = 0
Solution 1.5.9.3 L{y
+y
} = L{sint}
s
2
Y sy(0) 1 y
(0) +y =
1
s
2
+ 1
subsidiary equation
Y =
1
(s
2
+ 1)
2
= F(s)G(S) =
1
s
2
+ 1
1
s
2
+ 1
using convolution theorem f(t) = sin t = g(t)
y(t) = L{
_
t
0
sin sin(t )d} = (sin sin)(t)
After using formula trigonometric
sin xsin y =
1
2
(cos(x +y) + cos(x y) we obtain
=
1
2
_
t
0
[cos t + cos(2 t)]d =
1
2
(sin t t cos t)
Math. Meth. for Sci.&Eng. 73
Integral Equations
An equation that contains a dependent variable under an integral sign is called an integral
equation. Certain types of integral equations can be solved by the convolution integral. The
formula (12) suggests the use of Laplace transforms to solve equation that contain convolution
integral.
Example 1.5.9.5 Solve the equation y(t) = 1 + 2
_
t
0
y(t ) cos d
Solution 1.5.9.4 L{y} = L{1 + 2
_
t
0
y(t ) cos d} convolution integral
Y =
1
s
+ 2Y
s
s
2
+ 1
which is the subsidiary equation
Y (1
2s
s
2
+ 1
) =
1
s
Y =
s
2
+ 1
s(s 1)
2
y(t) = L
1
{y}
Applying partial fractions
y =
A
s
+
B
s 1
+
C
(s 1)
2
, A = 1, B = 0, C = 2
y(t) = L
1
{
1
s
} + 2L
1
{
1
(s 1)
2
}
= 1 + 2e
t
L
1
{
1
s
2
} = 1 + 2e
t
t
Example 1.5.9.6 Solve the equation y
= t +
_
t
0
y(t ) cos d with condition y(0) = 4
Solution 1.5.9.5 Proceeding as in the last examples L{y
} = sY y(0)
sY 4 =
1
s
2
+Y
s
s
2
+ 1
Y =
4
s
+
s
s
3
+
1
s
5
y(t) = L
1
{Y } = 4 +
5
2
t
2
+
t
4
24
Example 1.5.9.7 show that the equation y(t) = t +
_
t
0
y(t ).e
y()d (1.5.85)
Solution 1.5.9.6 Note that y(0) = 0 and by dierentiation of each term of (14) with respect to
t replacing the integral equation with a dierential equation. Find y(t) by this method. Verify
your result by the method of convolution.
Multiply the given equation by e
74 Module 1: ODEs
e
t
_
t
0
y(t )e
d =
_
t
0
e
y()d
_
t
0
y(t )e
t
d =
t = x
d = dx
x
1
= t lower
x
2
= 0 upper
=
_
0
x
y(x)e
x
dx
_
t
0
y(x)e
x
dx =
_
t
0
y()e
d
d
dt
()
d
dt
(e
t
y) =
d
dt
(e
t
t) +
d
dt
_
t
0
e
yd
e
t
y +e
t
y
= e
t
t +e
t
+e
t
y(t)
y
= t + 1
y =
t
2
2
+t +C , y(0) = 0 C = 0
Y =
1
s
2
+Y
1
s + 1
y =
1
s
2
+
1
s
3
y(t) = t +
1
2
t
2
1.6 Systems of Dierential Equations
1.7 Applications of Ordinary Dierential Equations
The applications in this section are in the form of projects. The student to take an active part
in formulating the mathematical models of the given situation and solve the problem.
1.7.1 Mechanical Vibrations
Free Oscillations
Consider the massspring system in which m is the mass, k the spring constant and c is the
damping factor. Let y be the displacement of the mass from its equilibrium position. Ignore
the mass of the spring and the damper.
With reference to this system, complete the following tasks
1. Show, by using Hookes Law or otherwise, that the force due to the spring is
F
s
(t, y) = ky.
2. The damping F
d
(t, y) force is proportional to the velocity of the mass. Obtain the math
ematical form of this statement.
3. Applying Newtons second law of motion to the system, show that it satises the equation
my
+cy
+ky = 0
Math. Meth. for Sci.&Eng. 75
k
m
c
Figure 1.7.1 SpringMass System
4. Obtain the homogeneous solution of this equation.
5. Show that the equation can be written as
y
+ 2y
+
2
y = 0
and that the characteristic equation has solutions
b
_
2
6. Three dierent situations arise depending on the expression under the square root sign.
Identify these, and give the solution of the dierential equation in each case.
7. The three situations above are over damping if
2
>
2
, critical damping if
2
=
2
and
under damping if
2
<
2
. The solutions for the cases can be written as
(a) y(t) = e
At
(Be
Ct
+De
Ct
)
(b) y(t) = e
At
(B +Ct)
(c) y(t) = e
At
(Bcos Ct +Dsin Ct)
Explore the dierent forms of solutions using the Flash interactive below
Module 2
Vector Calculus
1
2 Module 2: Vec. Cal.
2.1 Introduction to Vector Calculus
2.1.1 Vector Algebra
Unit Objectives
By the end of this unit the leaner should be able to:
distinguish between vectors and scalars,
represent vectors geometrically and in terms of components,
perform vector addition and multiplication by a scalar,
dene and compute the magnitude of a vector
perform other vector operations
dene the scalar(dot) product of vectors
use and apply the properties of the scalar product,
dene the vector(cross) product of vectors,
use and apply the properties of the vector product.
Many quantities encountered in engineering and science cannot be fully described by magnitude
only. Such things like displacement, force, velocity and so on, have a direction associated with
them. Their action or eect comprise of a size in a particular direction. Quantities that
can be described by magnitude only are called scalars while those that are described by both
magnitude and direction are called vectors. Examples of scalars are mass, distance/length,
speed, while examples of vectors are displacement, velocity, acceleration and force. Given the
importance which vectors play in engineering and science, it is important that any engineer
or scientist understands them. This chapter reviews the denition of vectors, their properties,
their manipulation and applications in the abovementioned elds. In many application other
methods exist but vector method are more robust, and can be applied to such diverse areas
like gravity, electricity, magnetism, mechanics, uid mechanics, heat and mass transfer, just to
mention a few.
O
P
OP
1
3
OP
p
OP
3
4
p
Figure 2.1.1 Vector Representation
Vectors are represented by a line segment, of length equal to the magnitude of the vector and
pointing in the direction of the vector. The starting point of the line segment is called the
initial point and the nishing point is called the terminal point.
Math. Meth. for Sci.&Eng. 3
Two vectors are said to be equal if they have the same magnitude and point in the same
direction. A vector of the same magnitude but pointing in the opposite direction is called the
negative of the vector.
`

`
` `
`
u
u
u u
u
v
v
v v
v
u +v + w
w
w
u +v u +v
u +v
u + w
`
u
v u
(a)
(b)
(c)
(d)
Figure 2.1.2 Vector Addition
To add two vectors, the vectors are drawn is such a way that the terminal point of one vector
coincides with the initial point of the other. To subtract a vector, add the negative of that
vector. Vector addition is commutative and associative. This illustrated in Fig 2.1.1 To multiply
a vector by a scalar, stretch the vector by a factor equal to the scalar. If the scalar is positive,
the vector and its scalar multiple have the same direction; and if the scalar is negative, they
have opposite directions.(see Fig 2.1.1).
In the rectangular Cartesian system vectors can be expressed in terms of their components.
Two and three dimensional vectors can be written as
u = (u
1
, u
2
), u = (u
1
, u
2
, u
3
)
or
u = u
1
i +u
2
j, u = u
1
i +u
2
j +u
3
k
Here
i,
j,
k are unit vector the x, y and zdirections respectively.
The modulus(magnitude) is
u =
_
u
2
1
+u
2
2
+u
2
3
which is a direct result of using Pythagoras theorem to nd the distance of a point with dis
placement vector u from the origin. The modulus of the vector joining the points P(u
1
, u
2
, u
3
)
and the point Q(v
1
, v
2
, v
3
) is

PQ = u =
_
(u
1
v
1
)
2
+ (u
2
v
2
)
2
+ (u
3
v
3
)
2
4 Module 2: Vec. Cal.
`
x axis
y axis
z axis
P
,

(a)
(b)
Figure 2.1.1 Scalar Product
If is zero, that is the vectors are parallel, the scalar product is 1, and if is 90
, that is the
vectors are perpendicular, the scalar product is zero. Hence we have:
Vectors u and v are orthogonal, uv, if and only if u v = 0.
Properties of the Scalar Product
(i) (u +v) w = u w +v w
(ii) u v = v u
(iii) u
2
= u u
(iv) cos =
u v
uv
(v) u v = u
1
v
1
+u
2
v
2
+u
3
v
3
To prove the above properties it should be noted that for the Cartesian system:
(i)
i =
j =
k = 1 (ii)
j =
k =
i +u
2
j +u
3
k) (v
1
i +v
2
j +v
3
k)
= u
1
i (v
1
i +v
2
j +v
3
k) +u
2
j (v
1
i +v
2
u
1
j +v
3
k) +u
3
k (v
1
i +v
2
j +v
3
k)
= u
1
v
1
i +u
1
v
2
j + +u
3
v
3
k
= u
1
v
1
+u
2
v
2
+u
3
v
3
Since all the other terms reduce to zero
v
u
p
q
Figure 2.1.2 Vector Projection
Denition 2.1.2.2 For a given vector u, the projection p in the direction of another vector v
6 Module 2: Vec. Cal.
is given by
p =
(u v)
v
v =
(u v)
v v
v
The modulus of the projection is given by
p =
u v
v
The vector q perpendicular to u is
q = u
(u v)
v v
v
Any vector u can be expressed in terms of its Cartesian projections as
u = (u
i)
i + (u
j)
j + (u
k)
k
Vector Product
The vector product of two vectors is dened as
Denition 2.1.2.3 The vector product of two vectors u and v, denoted u v, is given by
u v = uv sin n
where is the angle between the two vectors and n is unit vector perpendicular to both u and v.
The system used in this denition is the righthanded system. The vector product of parallel
vectors is zero, and changing the order of the vectors changes the sign of the vector product.
These and other properties of the vector product are given below.
Properties of the Vector Product
(i) u v = v u
(ii) u u = 0
(iii) uv =u v = 0
(iv) u (v + w) = u v +v w
(v) uv =
i
j
k
u
1
u
2
u
3
v
1
v
2
v
3
= (u
2
v
3
u
3
v
2
)
i+(u
3
v
1
u
1
v
3
)
j +(u
1
v
2
u
2
v
1
)
i =
j =
k = 0
(ii)
j =
k,
j
k =
i,
k
i =
j
(iii)
k =
j,
k
j =
i,
j
i =
i +u
2
j +u
3
k) (v
1
i +v
2
j +v
3
k)
= u
1
i (v
1
i +v
2
j +v
3
k) +u
2
j (v
1
i +v
2
u
1
j +v
3
k) +u
3
k (v
1
i +v
2
j +v
3
k)
= u
1
v
1
i +u
1
v
2
j +u
1
v
3
k +u
2
v
1
j +u
2
v
2
j +u
2
v
3
k +u
3
v
1
i +u
3
v
2
j
+u
3
v
3
k
= (u
2
v
3
u
3
v
2
)
i + (u
3
v
1
u
1
v
3
)
j + (u
1
v
2
u
2
v
1
)
k
Proofs of the other properties can be similarly done. There are two ways of multiplying three
vectors, and the result is either a scalar or vector.
Math. Meth. for Sci.&Eng. 7
`
n
u
u
 w = uv sin
`
/
/
/
/
/
u
v
w
w
u
v
(a) Left hand system
(b) Right hand system
,

w = u v
`
Figure 2.1.3 Vector Product
2.1.3 Scalar Triple Product
Denition 2.1.3.1 The scalar triple product u v w is dened by
u v w = u
1
v
2
w
3
u
1
v
3
w
2
+u
2
v
3
w
1
u
2
v
1
w
3
+u
3
v
1
w
2
u
3
v
2
w
1
=
u
1
u
2
u
3
v
1
v
2
v
3
w
1
w
2
w
3
An important application of the scalar triple is in the calculation of the volume of the volume
of a parallelepiped.
2.1.4 Vector Triple Product
The vector triple product is u (v w). The following identities hold for the vector triple
product.
(i) u (v w) = (u w)v (u v) w
(ii) (u v) ( w z) = (u w)(v z) (u z)(v w)
2.1.5 Some Applications of the Scalar, Vector and Triple Products
There several applications of the vectors in engineering and science, and the following are just
some of them.
8 Module 2: Vec. Cal.
Distance of a Point from a Plane
`
R(x
0
, y
0
, z
0
)
P(x
1
, y
1
, z
1
)
n
Q
Figure 2.1.1 Distance of a Point from a given Plane
Let P(x
1
, y
1
, z
1
), be an arbitrary point and ax +by +cz = d be the equation of the plane. To
nd the distance of P from the plane, let R(x
0
, y
0
, z
0
) be any point on the plane and Q be the
point where the perpendicular from P meets the plane. Then the vector
PR = (x
1
x
0
, y
1
y
0
, z
1
z
0
) = r
1
r
0
Let the n = (n
1
, n
2
, n
3
) be the vector normal to the plane. The distance PQ is the component
of
PR in the direction of n. That is
PQ =
( r
1
r
0
) n
 n
=
n
1
(x
1
x
0
) +n
2
(y
1
y
0
) +n
3
(z
1
z
0
)
n
=
n
1
x
1
+n
2
y
1
+n
3
z
1

n
since (x
0
, y
0
, z
0
) lies on the plane and so satises the equation ax
0
+by
0
+cz
0
= d
Example 2.1.5.1 Find the distance between the planes P
1
: 2xy+z = 5 and P
2
: 2xy+z =
8
Solution 2.1.5.1 Find a point on one of the planes, say P
1
, say (2, 0, 1). From the equation
for P
2
, d = 8 and the vector normal to either plane n = (2, 1, 1).Therefore
distance =
(2)(2) + 0 + (1)(1) 8
_
2
2
+ (1)
2
+ 1
2
=
3
6
=
6
2
Cosine Rule
Consider triangle OPQ( see Fig 2.1.5) with adjacent sides p and q and included angle. The
side PQ is r = p q. Now taking the scalar product
r
2
= r r = ( p q) ( p q)
= p p + p q 2 p q cos
=  p
2
+q
2
2 pq cos
= p
2
+q
2
2pq cos
From the denition of the scalar product.
Math. Meth. for Sci.&Eng. 9
O
P
Q
p
q
.
p q
F
r
F cos r
= 
Fr cos
=
F r
Rotation of a Solid Body
Consider a particle P at a distance d from the axis of rotation in a body rotating with angular
velocity
. (Fig 2.1.5) If the position vector of the particle is r, then d is equal in magnitude to
the component of r perpendicular to the axis of rotation, i.e d = r sin . The particle moves
with velocity v where
v = 
d = 
r sin
There the angular velocity is v is perpendicular to both
and r. Therefore
v =
r
10 Module 2: Vec. Cal.
`
d
r
.
P
Figure 2.1.4 Rotation of a Solid Body
Lorentz Force
_
v
q
Figure 2.1.5 Lorentz Force
A particle, carrying a charge q and moving with velocity v in magnetic eld of strength B,
experiences a force F called the Lorentz force. This force is perpendicular to both the magnetic
eld and direction of motion of the particle(see Fig 2.1.5). The magnitude of the force is
qvBsin where is the angle between the magnetic eld and the direction of motion. Therefore

F = qv
B
Math. Meth. for Sci.&Eng. 11
u
v
v sin
Figure 2.1.6 Area of a Parallegram
Area of a Parallelogram
The area of a triangle is
1
2
uv sin =
1
2
u sin v =
1
2
u v. The area of the parallelogram
formed by the same two sides is thus, u v
Volume of a Parallelpiped
u u
u
v
w
n
`
Figure 2.1.7 Volume of a Parallepiped
Let the vector n be parallel to v w. The volume of the parallelpiped is  nv w = u nv w =
u v w
A parallelpiped has six tetrahedra formed by the same vectors, so the volume of a tetrahedron
is
1
6
u v w
Example 2.1.5.2 Find the volume of the tetrahedron formed with the vertices (0, a, a), (a, a, 0), (a, a, 0),
and (a, a, a).
Solution 2.1.5.2 The vectors formed by the vertices are (a, 2a, a), (a, 0, a), (a, 0, 0),. There
fore the volume of the tetrahedron is
1
6
a 2a a
a 0 a
a 0 0
=
2a
6
a a
a 0
=
1
3
a
3
2.1.6 Exercises
Exercise 2.1.6.1 Resolve the vector (3, 2, 1) into components parallel and perpendicular to
the vector (1, 2, 1).
12 Module 2: Vec. Cal.
Exercise 2.1.6.2 Given that u = (2, 1, 2) and v = (3, 4, 5)
(a) Show that the vectors are perpendicular.
(b) Find u
1
2
v
(c) Find a unit vector perpendicular to 2u 3v.
(d) Find a unit vector perpendicular to both u + 3u and v.
(d) Find the area of the triangle formed by the vectors u +v and u v.
Exercise 2.1.6.3 Prove the following
(a) u v uv (Schwartz Inequality)
(b) u +v u +v (Triangle Inequality)
Exercise 2.1.6.4
(a) Find the equation of the plane through the point P(1, 2, 3) and perpendicular to the vector
(2, 5, 6)
(b) Find the angle between the planes 3x + 2y z = 0 and 2y + 4z + 7 = 0
Exercise 2.1.6.5 Find the work done in displacing a force
F = cos
i cos 2
j +
1
2
k by the
vector sin
i + cos
j e
k
Exercise 2.1.6.6
Find an expression for the moment of a force about a point in vector form.
A man is removing a bolt using a spanner. If he applies a force of 37.5N in the direction of
3
i +
j at a point 15cm from the center of the bolt, nd the moment of the force about the
centre of the bolt if the spanner is initially horizontal.
Exercise 2.1.6.7 Which of the following vectors are coplanar?
(i) (2, 1, 1), (3, 4, 4), and (2, 4, 6), (ii) (1, 3, 2), (5, 0, 6) and (4,1,2) (iii) (1, 1, 0), (1, 1, 0)
and (0, 1, 1) (iv) (1, 3, 2), (5, 5, 0) and (2, 1, 1)
Exercise 2.1.6.8
(i) Find the volume of the parallelpiped formed by the vectors (a, a, a), (a, b, a) and (b, b, b).
(ii) Find the volume of the tetrahedron formed by the vectors (a, 2b, 2c), (3a, b, c) and (2a, 2b, 2c).
Exercise 2.1.6.9 Show that (u v) w = ( w u) v = (v w) u
Exercise 2.1.6.10 Prove that
(a) (u v) w = (u w) v (v w) u
(b) u v
2
= u
2
v
2
(u v)
2
Math. Meth. for Sci.&Eng. 13
2.1.7 Scalar and Vector Fields
2.1.8 Unit Objectives
Scalar Field
Denition 2.1.8.1 A scalar eld assigns to each point (x, y, z) in space a scalar value.
The following are examples of scalar elds:
(x, y) = x y
(x, y, z) = x
2
+yz
(x, y, z) = ln r
Physical examples of a scalar eld are:
(a) the temperature at a given point in a room.
(b) the density of a air at a given point.
(c) the concentration of a solution at point in a volume of a solvent.
(d) gravitational potential at a point in space.
(e) electrostatic potential at point in a T.V tube. Any surface dened by (x, y, z) = c where c
is a constant is called an isosurface(surface level). If is the gravitational or electric potential
the isosurfaces are called equipotentials. For the scalar functions (x, y, z) = x
2
+ y
2
and
(x, y, z) = xy the isosurfaces are sketched below:
x
2
+y
2
= c
`
xy = c
`
Figure 2.1.1 Isosurfaces
2.1.9 Vector Field
Denition 2.1.9.1 A vector eld
F assigns to each point (x, y, z) in space a vectorvalued
function.
14 Module 2: Vec. Cal.
The following are examples of vector elds:
F(x, y) = y
i x
F(x, y, z) = xy
i y
2
j + 3yz
F(x, y, z) = cos xsin y
i e
y
j + 4
F =
k
r
2
r
A vector eld can be written in component form as
F = F
1
i+F
2
j+F
3
k. A owline(characteristic
curve, streamline) to a vector eld is the vector function that is tangential to the vector eld
at every point. The ow lines for the vector eld
F(x, y, z) = x
2
i + y
2
F(x, y) = x
2
i +y
2
j
Figure 2.1.1 Flowlines
Dierentiation of Vectorvalued Functions
Dierentiation of vectorvalued functions inherits a lot of properties from calculus of real vari
ables. We will consider the vector function given parametrically in terms of a variable t. This
parameter is usually time, meaning that the function will be timedependent.
Denition 2.1.9.2 The derivative,
F
(t) = lim
t0
F(t +t)
F(t)
t
F = F
1
i +
F
2
j +
F
3
k, then
F
= F
i +
F
2
j +
F
3
F(t)
F(t)]
=
F(t)
G
(t) +
F
(t)
G(t)
(ii) [
F(t)
F(t)]
=
F(t)
G
(t) +
F
(t)
G(t)
(iii) [
F(t)
G(t)
H(t)]
=
F
(t)
G(t)
H(t) +
F(t)
G
(t)
H(t) +
F(t)
G(t)
H
(t)
Math. Meth. for Sci.&Eng. 15
Partial Derivatives
If the vector function is given in terms of coordinates (x, y, z) we can dene the partial deriva
tives as follows
Denition 2.1.9.3 The partial derivative of vectorvalued function
F =
F(x, y, z) with respect
to x is given by
F
x
= lim
x0
F(x +x, y, z)
F(x, y, z)
x
if the limit exists.
F
y
and
F
z
are similarly dened. Higher order derivatives can also be dened.
Tangent Vector
At any given point, the derivative
F
T =
F
(t)

F(t)
2.2 Gradient
The gradient of a scalar eld is related to the rate of change of the in a particular direction.
Denition 2.2.0.1 The gradient, of a scalar valued function is dened by
=
x
+
y
+
z
The gradient is perpendicular to the level surface at each point and is in the direction of
increasing . The rate of change of in a given direction is the directional derivative. Given a
unit vector u, the directional derivative of in the direction of u =
P
0
P is denoted by D
u
and is
D
u
= lim
uTo0S
(P) (P
0
)
u
= u
If u = u
1
i + u
2
j + u
3
i +x
2
j 3
k.
The unit vector normal to the given circle is
u =
(x
2
+y
2
+z
2
6)
(x
2
+y
2
+z
2
6)
=
2x
i + 2y
j + 2z
k
_
4x
2
+ 4y
2
+ 4z
2
=
x
i +y
j +z
6
At the point (2, 1, 1),
= 4
i + 4
j 3
k and u =
2
i+2
j+2
6
D
u
= (4
i + 4
j 3
k) (
2
i + 2
j + 2
6
) =
10
6
=
5
6
3
16 Module 2: Vec. Cal.
The operation of nding the gradient of a scalar may the dened as the operator
=
x
+
y
+
z
2.3 Dierentiation of Vector Valued Functions
2.3.1 Divergence
The divergence, div
F or
F, of vector eld is related to expansion/stretching of the eld, or
the ux that ows out of a small closed surface. This interpretation is not technically strictly
correct as there some vector elds with nontrivial divergence but do not appear to be expanding.
Its denition is
Denition 2.3.1.1 The divergence of a vector eld
F is
F =
F
1
x
+
F
2
y
+
F
3
z
A eld that is neither expanding nor contracting, i.e with div
F = 0, is said to be solenoidal.
Example 2.3.1.1 Find the divergence of the vector eld
F = 2xy
i+(x
2
y6z)
k
Solution 2.3.1.1
F =
F
1
x
+
F
2
y
+
F
3
z
=
x
(2xy) +
y
(x
2
y 6z)
z
(3 sin z + 6y)
= 2y 3 sin z
Example 2.3.1.2 Show that the vector eld
F = 2xy
i + (x
2
y
2
6z)
j (3xe
y
+ 6)
k is
solenoidal
Solution 2.3.1.2 A vector eld is solenoidal if the divergence is equal to zero.
F =
F
1
x
+
F
2
y
+
F
3
z
=
x
(2xy) +
y
(x
2
y
2
6z)
z
(3xe
y
+ 6)
= 2y 2y 0
= 0
Laplacian
Denition 2.3.1.2 The Lapalcian , , of a scalar valued function is dened by
=
2
=
2
x
2
+
2
y
2
+
2
z
2
Math. Meth. for Sci.&Eng. 17
2.3.2 Curl
The curl of vector eld curl
F or
F is related to the rotation or twist of the eld. Just like
for divergence, the meaning curl given should not be taken to be technically strictly correct as
there some vector elds with nontrivial curl but do not appear to be rotating.
Denition 2.3.2.1 The curl
F or
F is dened as
F =
i
j
k
z
F
1
F
2
F
3
The curl is a vector eld, whereas the divergence is a scalar. A eld that has curl equal to zero,
i.e with curl
F = 0, is said to be irrotational.
Example 2.3.2.1 Find the curl of the vector eld
F = yz
i + (3x z)
j + 2xyz
k
Solution 2.3.2.1
F =
i
j
k
z
yz 3x z 2xyz
=
i
_
x
(2xyz)
z
(3x z)
_
+
j
_
z
(yz)
x
(2xyz)
_
+
k
_
x
(3x z)
y
(yz)
_
= (2yz + 1)
i +y(1 2z)
j + (3 z)
k
Example 2.3.2.2 Show that the vector eld
F = 2xy
i +(x
2
6z)
k is irrota
tional.
Solution 2.3.2.2 The curl
F is
=
i
j
k
z
2xy (x
2
6z) (3 sin z + 6y)
=
i
_
y
(3 sin z + 6y)
z
(x
2
6z)
_
+
j
_
z
(2xy)
x
(3 sin z + 6y)
_
+
k
_
x
(x
2
6z)
y
(2xy)
_
= (6 + 6)
i + 0
j + (2x 2x)
k
= 0
To summarise :
Grad, divergence and curl can be given as
(i) the scalar multiple of the operator and the scalar eld ,
(ii) the scalar product of the operator and the vector eld
F,
F
(iii) the vector product of the operator and the vector eld
F,
F
Physical( geometric) geometric denition will be given latter(after the next two sections) in
terms of line, surface and volume integrals The following derivation show the physical meaning
of divergence
Physical Interpretation of Divergence
Suppose a uid is moving with velocity v = v(x, y, z). We need to calculate the uid gain per
unit volume per unit time. Consider a small parallelpiped, with edges x, y and z, aligned
18 Module 2: Vec. Cal.
x
y
z
A
B
C
D
E
F
G
H
P(x, y, z)
x
y
z
_
Figure 2.3.1 Physical Interpretation of Divergence
with the ow of the uid. Let P(x, y, z) be the point at the centre of the parallelpiped.
The xcomponent of the velocity at P = v
1
The xcomponent of the velocity at ABCD = v
1
1
2
v
1
x
x
The xcomponent of the velocity at EFGH = v
1
+
1
2
v1
x
x The volume of uid crossing
ABCD
_
v
1
1
2
v
1
x
x
_
yz
The volume of uid crossing EFGH
_
v
1
+
1
2
v
1
x
x
_
yz
Therefore the gain in volume per second in the xdirection =
v1
x
xyz
Similarly; for y direction gain in volume per second =
v
2
x
xyz
and for z direction gain in volume per second in the =
v3
x
xyz
The total gain in volume per second =
_
v
1
x
+
v
2
x
+
v
3
x
_
xyz
xyz
Now take limits as x, y, z 0
The total gain in volume per second=div v = v If there is no gain in uid( no source or
sink), div v = 0. This equation is called the equation of continuity for an incompressible uid.
2.3.3 Exercises
Exercise 2.3.3.1
(a) Find an expression for the unit vector normal to the surface x
2
3y
2
+yz 12 = 0 at the
point (1, 2, 1).
( b) Find the angle between the surface x
2
+y 2xy
2
4 = 0 and the plane 2x 3y +5 = 0 at
the point (1, 1)
(c) Determine the maximum rate of change of = x + 2xy 3z
2
at the point (1, 1, 1) in the
direction of the sphere x
2
+y
2
+y
2
= 3
Exercise 2.3.3.2 Find the divergence and curl of
(a)
F = yz
i + (y
2
2xz)
j + (z
2
)
k
(b)
F = e
x
cos y
i +e
xy
j + (xy)
k
(c) For the vector eld in (a) and (b) nd (i)
2
F (ii) (
F) (iii) (
F)
Math. Meth. for Sci.&Eng. 19
Exercise 2.3.3.3 Determine whether the following are solenoidal or irrotational
(a)
F = 2x
i + (y 3z)
j z(4x + 1)
k
(b)
F = (z
2
2x)
i + 2yz
j +x
2
k
(c)
F = cos y
i + (e
z
xsin y)
j +ye
z
k
2.4 Integration of Vector Functions
2.4.1 Line Integrals
`
`
r
i
r
1
r
2
r
N
C
Figure 2.4.1 Line Integral
The line integral is related to the work done in moving a particle in a vector eld along a given
path. Let the path be C and suppose that it is smooth. The force eld is given by
F, and the
assumption is that the function
F is continuous. To obtain the line integral along the path,
partition C into N partition r
1
, r
2
, , r
N
. The work done in moving along a partition
r
i
is approximately given by W
i
=
F r
i
. Now summing for all the partitions the work done
along the entire path is approximately
W
N
i=1
W
i
=
N
i=1
F r
i
The line integral is thus given by
W =
_
C
F
dr = lim
N
N
i=1
W
i
= lim
N
N
i=1
F r
i
In Cartesian coordinates,
F = F
1
i +F
2
j +F
3
i +y
j +z
k and then
dr = dx
i +dy
j +dz
F
dr =
_
C
F
1
dx +F
2
dy +F
3
dz
If r is given parametrically as r = x(t)
i +y(t)
j +z(t)
F(r(t))
(t)dt
where a and b are the initial and terminal points of the path C. If the initial and terminal
points of a path coincide the path is said to the closed, and the integral is also said to be closed
and is denoted by
_
C
F
dr
20 Module 2: Vec. Cal.
` `
(1, 0)
(1, 1) (1, 2)
(a)
(b)
C
1
C
2
C
C
Figure 2.4.2 Line Integrals
Other forms of line integrals are
_
C
dr,
_
C
F
dr,
_
C
F
dr,
_
C
dr
The following examples illustrate the evaluation of line integrals.
Example 2.4.1.1 If
F = xsin y
i +cos y
F
dr =
_
C
1
F
dr +
_
C
2
F
dr
On C
1
, y = 0, dy = 0 and C
2
, x = 1, dx = 0
_
C
F
dr =
_
1
0
dy +
_
1
0
cos ydy = sin y
1
0
= sin 1
(b) On the line dy = 2dx. Therefore
_
C
F
dr =
_
C
(xsin 2x
i + cos 2x
j) (dx
i + 2dx
j)
=
_
C
(xsin 2x + 2 cos 2x)dx
=
1
2
xcos 2x
1
0
+
1
2
_
1
0
cos 2xdx + sin 2x
1
0
= 1
1
2
cos 2 +
5
4
sin 2
Math. Meth. for Sci.&Eng. 21

`
x
y
z
C
1
C
2
C
3
(1, 0, 0)
(1, 3, 0)
(1, 3, 2)
Figure 2.4.3 Line Integral
Example 2.4.1.2 Evaluate the integral
_
C
F
dr where
F = x
2
i + (x 2y)
j + xyz
k from
(0, 0, 0) to (1, 3, 2) along the straight lines parallel to the axes.
Solution 2.4.1.2 The path can be divided as shown in Fig 2.4.1. C
1
is the straight line from
(0, 0, 0) to (1, 0, 0); C
2
is the straight line from (1, 0, 0) to (1, 3, 0); and C
3
is the straight line
from (1, 3, 0) to (1, 3, 2).
On C
1
: y = 0, z = 0, and, dy = dz = 0 so that
F r = x
2
=
_
C
1
F r =
_
1
0
x
2
dx =
1
3
On C
2
: x = 1, z = 0, and, dx = dz = 0 so that
F r = x2y =
_
C
2
F r =
_
3
0
(12y)dy = 6
On C
3
: x = 1, y = 3, and, dx = dy = 0 so that
F r = xyz =
_
C3
F r =
_
2
0
3zdz = 6
Therefore
_
C
F r =
1
3
6 + 6 =
1
3
.
Example 2.4.1.3 Evaluate the integral
_
C
F
dr where
F = y
i 5z
j + (xz + z
2
)
k along the
curve x = 1 t, y = t
2
and z = t + 1 from t = 1 to t = 2.
Solution 2.4.1.3 For the given curve dx = dt, dy = 2t, and dz = dt. Now substituting for
x, y and z in the expression for
F,
F = t
2
i 5(1 t)
j + [(1 +t)(1 t) + (1 t)
2
]
k = t
2
j 5(1 t)
j + 2(1 t)
k
Therefore
_
C
F
dr =
_
2
0
[t
2
10t(1 t) + 2(1 t)]dt =
_
2
0
[9t
2
12t + 2]dt = 1
Example 2.4.1.4 Evaluate the integral
_
C
F
dr where
F = x
i +y
j + 2xy
k from (1, 1, 1) to
(2, 2, 2) along the straight line joining the points.
22 Module 2: Vec. Cal.
Solution 2.4.1.4 The line joining the point may be reparametrised as r(t) = t
i + t
j + t
k for
1 t 2.
F
dr =
i
j
k
x y 2xy
dx dy dz
i
j
k
t t 2t
2
dt dt dt
= t
i
j
k
1 1 2t
dt dt dt
= t(1 2t)dt
i +t(2t 1)dt
j
Now to evaluate the integral
_
C
F
dr =
_
2
1
[t(1 2t)
i +t(2t 1)]dt
j =
t
2
2
(1
4
3
t)
i +
1
2
(
4
3
t 2)
2
1
=
19
6
i +
23
3
j
Conservative Vector Fields
The closed line integral
_
C
F
dr plays an important role in engineering and other applications.
For instance, if v is the velocity of a uid, the integral
_
C
v
dr is called the circulation of the
uid. In the gravitational eld the closed integral is the work done in moving a particle and
returning it to the same point. This result is zero, and the gravitational eld is an example of
a conservative eld. A vector eld is said to be conservative if
_
C
F
dr = 0. This means that
the integral is independent of the path. Therefore there exists some scalar eld such that
F =
Path independence means that if P(x
0
, y
0
, z
0
) and Q(x
1
, y
1
, z
1
) are any two points in region
where the vector eld is dened,
_
C
dr =
_
C
dr =
_
P(x0,y0,z0)
P(x0,y0,z0)
x
dx+
y
dy+
z
dz =
_
P(x0,y0,z0)
P(x0,y0,z0)
d = (Q(x
1
, y
1
, z
1
))(P(x
0
, y
0
, z
0
))
It can also be proved that if a vector eld is conservative the following also hold
F = 0, and, = 0
Example 2.4.1.5 Show that
F = (e
x
sin y + 2 cos z)
i + (e
x
cos y 2y)
j 2xsin z
k represents
a conservative eld, and nd a scalar potential such that
F = .
Solution 2.4.1.5
F =
i
j
k
z
e
x
siny + 2 cos z e
x
cos y 2y 2xsin z
= (0 0)
i + (2 sin z + 2 sin z)
j + (e
x
cos y e
x
cos y)
= 0
Hence
F is solenoidal. Now
F = for some scalar , that is
F =
x
+
y
+
z
Equating corresponding components
x
= e
x
sin y + 2 cos z. Integrating with respect to x
= e
x
sin y + 2xcos z +h(y, z)
Now dierentiating this expression with respect to y
y
= e
x
cos y +h
(y, z)
Math. Meth. for Sci.&Eng. 23
On comparison this implies that h
x
= 2xsin z +g
(z)
which on comparison yields g
S
i
/
/
/ `
r
u
r
u
r
v
r
v
`
F
dS is dened as
_ _
S
F
dS = lim
Si0
N
i=1
F
S
i
The area element in the integral dS is given by dS = lim
i
r
ui
u
i
r
vi
v
i
 = r
u
r
v
dudv
In the Cartesian system, for the area element for the xyplane is dxdy, for the yzplane is
dydz, and for the xzplane is dxdz. Any surface can be projected onto any of these planes. To
projection of an area element
dS into the xyplane is
dxdy
 n
k
. Projection into other planes are
24 Module 2: Vec. Cal.
similar. The other name of the surface is the ux integral, as it represents the total ux out of
the surface S. If the surface is closed, the integral
_ _
S
F
dS
Dierent forms of surface integrals are
_ _
S
dS,
_ _
S
FdV,
_ _
S
FdS
Example 2.4.2.1 Compute
_ _
S
F
dS
where S is the surface of the unit cube and
F = x
i +y
j +z
S
1
S
2
S
3

S
4
S
5
S
6

x
y
z
z
Figure 2.4.2 Unit Cube and Plane x + 2y + 3z = 6
Solution 2.4.2.1 The integral can be evaluated on the six faces of the cube separately. Refer
to Fig 2.4.2.1
On S
1
, y = 0, n =
j,
dS = dxdz
j. Hence
_ _
S
F
dS =
_
1
0
_
1
0
ydxdz = 0
On S
2
, x = 1, n =
i,
dS = dydz
i. Hence
_ _
S
F
dS =
_
1
0
_
1
0
dydz = 1
On S
3
, y = 1, n =
j,
dS = dxdz
j. Hence
_ _
S
F
dS =
_
1
0
_
1
0
dxdz = 1
On S
4
, x = 0, n =
i,
dS = dydz
i. Hence
_ _
S
F
dS =
_
1
0
_
1
0
ydydz = 0
On S
5
, z = 0, n =
k,
dS = dxdy
k. Hence
_ _
S
F
dS =
_
1
0
_
1
0
dxdy = 1
On S
,
y = 0, n =
j,
dS = dxdy
k. Hence
_ _
S
F
dS =
_
1
0
_
1
0
ydxdz = 0
Adding to get
_ _
S
F
dS = 0 + 1 + 0 + 1 + 0 + 1 = 3
Math. Meth. for Sci.&Eng. 25
Example 2.4.2.2 Evaluate the ux integral
_ _
S
F ndS
over the plane x + 2y + 3z = 6 in the rst octant and
F = 8y
i + 2y
j z
2
k
Solution 2.4.2.2 The plane can be projected onto any of the planes. The normal to the plane
is n =
(x+2y+3z6)
(x+2y+3z6)
=
i+2
j+3
14
. Project the plane onto the xyplane
dS =
dxdy
 n
k
Take limits rst with respect to y then with respect to x.
_ _
S
F ndS =
_ _
S
F n
dxdy
 n
k
=
_
6
0
_ 6x
2
0
(8y + 4y 3z
2
)
14
3/
14
dydx
=
1
3
_
6
0
_ 6x
2
0
12y 3z
2
dydx
=
_
6
0
2y
2
6x
2
0
dx =
1
2
_
6
0
(6 x)
2
dx
=
1
2
(6 x)
3
6
0
= 162
Example 2.4.2.3 Evaluate the integral
_ _
S
F ndS
over the region bounded by z = 0, z = 2 and the surface x
2
+ y
2
= 4 in the rst octant, and
F = xy
i +y
2
j + 2yz
k
Solution 2.4.2.3 Since this is a closed integral, it should be evaluated on all the ve surfaces
as indicated on the diagram(see Fig 2.4.2.3).
On S
1
: z = 0 and n =
k =
_ _
S
F ndS = 2
_ _
C
yzdxdy = 0
On S
2
: z = 2 and n =
k =
_ _
S
F ndS = 4
_
2
0
_
4y
2
0
ydxdy = 4
_
2
0
y
_
4 y
2
4
3
.8 =
32
3
On S
3
: y = 0 and n =
j =
_ _
S
F ndS =
_ _
C
y
3
dydz = 0
On S
4
: x = 0 and n =
i =
_ _
S
F ndS = 2
_ _
C
x
2
ydydz = 0
On S
5
: The normal to the surface is n =
(2x+2y4)
(2x+2y4)
=
2
xi+2y
(2x)
2
+(2y)
2
=
xi+y
j
2
.
Project the surface onto the xzplane
dS =
dxdz
 n
j
=
dxdz
2
Now to evaluate the integral
_ _
S
F ndS =
_ _
S
F n
dxdz
y/2
=
_
2
0
_
2
0
x
2
y +y
3
y
dxdz =
_
2
0
_
2
0
4dxdz = 16
Adding
_ _
S
F ndS =
32
3
+ 16 =
80
3
26 Module 2: Vec. Cal.
`
x
y
z
n
2
2
2
S
3
S
2
S
1
S
4
S
5
i=1
(r)V
i
The volume element is given by dV = lim
i
 r
ui
u r
v
v
i
r
wi
w =  r
u
r
v
r
w
dudvdw
In the Cartesian coordinate system, the volume element dV = dxdydz Dierent forms of line
integrals are
_ _ _
V
dV,
_ _ _
V
FdV,
_ _ _
V
FdV
Example 2.4.3.1 Evaluate
(a)
_ _ _
V
FdV where
F = 2x
i +yz
j y
i + 4x
j 2y
k where V is bounded x = 0; y = 0, y =
4; z = 2 and z = x
2
+ 1
Solution 2.4.3.1
Math. Meth. for Sci.&Eng. 27
`
`
`
`
'
'
'
'
r
u
u
r
v
v
r
w
w
V
i
Figure 2.4.1 Volume Integral
(a)
F = 2 +z
_ _ _
V
FdV =
_
2
0
_
123x
0
_
3x+2y12
0
2dzdydx
=
_
2
0
_
123x
0
2z
3x+2y12
0
dydz
=
_
2
0
6x + 4y 12
123x
0
dx =
_
2
0
288 108xdx
= 360
(b)
F =
i
j
k
z
z 2xy 4x 2y
= 2
i +
j + 4
k
_ _ _
V
FdV =
_
z1
0
_
2
1
_
4
0
(2
i +
j + 4
k)dxdydz
=
_
2
1
z 1(8
i +
j + 16
k)dz
= 8(z 1)
3
2
(8
i +
j + 16
k)x + 4y 12
2
1
= 64
i 32
j 128
k
28 Module 2: Vec. Cal.
`
z
x
y
z
1
5
4

`
y
x
z
Figure 2.4.2 Plane 3x + 2y z = 12 and Surface z = x
2
+ 1
2.4.4 Integral Forms of Gradient, Divergence and Curl
Gradient, divergence and curl can be dened in terms of integrals. These forms can be used to
obtain the same formulae for divergence and curl in Cartesian components.
Denition 2.4.4.1 The gradient of a scalar eld at a point P is given by
grad = lim
V 0
1
V
_ _
S
ndS
where V encloses the point P.
Denition 2.4.4.2 The divergence of a vector eld
F at a point P is given by
div
F = lim
V 0
1
V
_ _
S
F ndS
where V encloses the point P.
Denition 2.4.4.3 The component of the curl of a vector eld
F at a point P in the direction
of unit vector n is given by
n curl
F = lim
V 0
1
S
_
C
F dr
where V encloses the point P, where the direction of the line integral around C and the normal
n are orientated in the righthand sense.
2.5 Integral Theorems
The integrals discussed in the last section satisfy some theorems. The theorems related one
type of integral to another, namely a volume to a surface integral and a surface integral to a line
integral. These theorems are known as the Gauss and Stokes theorems. A third theorem, known
as Greens theorem is a special case of Stokes theorem. Sketch, not rigorous mathematical,
proofs are given for each theorem.
Math. Meth. for Sci.&Eng. 29
2.5.1 Gauss(Divergence) Theorem
Theorem 2.5.1.1 Let
F be a vector eld that is continuously dierentiable in a volume V ,
and S be surface forming the boundary of the of the volume V , and n be the unit normal vector
to S, then
_ _ _
V
FdV =
_ _
S
F ndS
In rectangular coordinate this theorem can be stated as
_ _ _
V
_
F
1
x
+
F
2
y
+
F
3
z
_
dV =
_ _
S
F
1
dx +F
2
dy +F
3
dz
The Gauss theorem is an example of a Conservation Law. It sums up to stating that the
total expansion for
f within the volume V equals to the ux out of the surface S.
_
n
S
i
V
i
_
`
_
`
V
1
V
2
S
1 S
2
n
1
n
1
Figure 2.5.1 Proof of Gauss Theorem
Sketch Proof
Proof 2.5.1.1 For the proof, partition the volume into a number of elements, and consider a
volume element V
i
with boundary S
i
. from the integral form of divergence
div
F V
i
_ _
Si
F ndS
Summing for the entire volume
N
i=1
div
F V
i
N
i=1
_ _
Si
F ndS
Now for adjacent interior regions
F ndS cancel out since the unit vector are equal and opposite.
Taking the limits as V
i
0 or N , gives the result
_ _ _
V
FdV =
_ _
S
F ndS
Example 2.5.1.1 Use the divergence theorem to evaluate
_ _
S
F ndS where
F = xy
i +y
2
j +
2yz
F ndV =
_ _ _
V
FdV =
_ _ _
V
(y + 2y + 2y)dV
=
_
2
0
_
2
0
_
4y
2
0
5ydxdydz
= 5
_
2
0
_
2
0
y
_
4 y
2
dydz
=
5
3
_
2
0
(4 y
2
)
3
2
2
0
dz =
40
3
_
2
0
dz =
80
3
Example 2.5.1.2 Evaluate
_ _
S
r ndS using the divergence theorem.
Solution 2.5.1.2 Remember that r = x
i +y
j +z
k. Now
_ _
S
r ndS =
_ _
S
rdV =
_ _ _
V
_
x
+
y
+
z
_
(x
i +y
j +z
k)dV
=
_ _ _
V
_
x
x
+
y
y
+
z
z
_
dV = 3
_ _ _
V
dV = 3V
where V is the volume enclosed by S.
_
C
i
S
i
_
`
_
`
S
2
C
1
S
1
C
2
Figure 2.5.2 Proof of Stokes Theorem
2.5.2 Stokes(Curl) Theorem
Theorem 2.5.2.1 Let C be a closed curve which forms the boundary of a surface S. Then if
the vector
F is continuously dierentiable,
_ _
S
F ndS =
_
C
F dr
where the direction of the line integral around C and the normal n are orientated in the right
hand sense.
The proof is similar to that of the divergence theorem and makes use of the integral form of
curl.
Math. Meth. for Sci.&Eng. 31
Sketch Proof
Proof 2.5.2.1 Partition the surface into a number of elements, and consider an element S
i
with boundary, the closed path C
i
. From the integral form of curl
(
F n)S
i
_
C
i
F dr
Summing for the entire surface
N
i=1
(
F n)S
i
N
i=1
_
Ci
F dr
Now for adjacent interior regions
F dr cancel out since the path directions are opposite. Taking
the limits as S
i
0 or N , gives the result
_ _
S
F ndS =
_
C
F dr
Example 2.5.2.1 Use Stokes theorem to evaluate
_
C
F dr where
F = zx
2
i + (x 1)
j + 2
k
and S is the upper hemisphere x
2
+y
2
+z
2
= 4
x
y
z
`
2
2
2
Figure 2.5.1 Hemisphere x
2
+y
2
+z
2
= 4
Solution 2.5.2.1 Stokes theorem states that
_
C
F dr =
_ _
S
F ndS The unit normal to
the hemisphere is
n =
2x
i + 2y
i + 2z
k
2
_
x
2
+y
2
+z
2
=
x
i +y
j +z
k
2
Projecting the surface on the xyplane gives dS =
dxdy
z/2
. Now
F =
i
j
k
= 2xz
j +
k
32 Module 2: Vec. Cal.
Applying Stokes theorem
_
C
F dr =
_
2
2
_
4y
2
4y
2
2xyz +z
2
dxdy
z/2
=
_
2
2
_
4y
2
4y
2
(2xy + 1)dxdy
=
_
2
2
x
2
y +x
4y
2
4y
2
dy
=
_
2
2
2
_
4 y
2
dy
Changing to polar coordinates
=
_
2
2
4 cos d = 8
2.5.3 Greens Theorem
Theorem 2.5.3.1 If S is a at surface in the xy plane,
F = P
i + Q
k and
F = P
i +Q
j, then
F =
_
Q
x
P
y
_
k, and,
F dr = Pdx +Qdy
and the result follows.
Example 2.5.3.1
Verify Greens theorem in the plane for
_
C
(2x y
3
)dx xydy where C is the boundary of the
region enclosed by the circles x
2
+y
2
= 1 and x
2
+y
2
= 9
Solution 2.5.3.1 The theorem states that
_
C
Fdx + Gdy =
_ _
S
_
G
x
F
y
_
The region S is
shown above where the path C
1
is clockwise and path C
2
is anticlockwise.
_
C
F dr =
_
C
1
F dr +
_
C
2
F dr
It is easier to evaluate using polar coordinates. The left hand side is
_
C
F dr =
_
C
2
(6 cos 27 sin
3
)3 sin d 9 cos
2
sin d
_
C1
(2 cos sin
3
) sin d cos
2
sin d
=
_
2
0
18 cos sin + 81 sin
4
+ 9 cos
2
sin d
_
2
0
2 cos sin + sin
4
+ cos
2
sind
Math. Meth. for Sci.&Eng. 33
`
S
C
1
C
2
3 1
Figure 2.5.1 Greens Theorem
=
_
2
0
16 cos sin + 80 sin
4
+ 8 cos
2
sin d
=
_
2
0
8 sin 2 + 30 + 40 cos + 20 cos 4 + 8 cos
2
sin d
= 4 cos 2 + 30 + 40 sin + 5 cos 4 +
8
3
cos
3
2
0
= 60
Now the right hand side is
_ _
S
(y + 3y
2
)dxdy =
_
2
0
_
3
1
(r cos + 3r
2
cos
2
)rdrd
=
_
2
0
r
3
3
cos +
3
4
r
4
cos
2
3
1
rdrd
=
_
2
0
26
3
cos + 30 + 30 cos
2
d
=
26
3
sin + 30 + 15 sin
2
2
0
= 60
This veries the theorem.
2.5.4 Exercises
Exercise 2.5.4.1 Evaluate displaystyle
_
C
(2x + y)dx + (3x
2
y)dy, where C is the circle of
radius 1 and centre the origin.
Exercise 2.5.4.2 Evaluate
_
C
6x
3
dx+(4xy
2
x
2
y)dy, where C is the region bounded by y = x
3
and x = 2.
Exercise 2.5.4.3 Verify Greens theorem for
_
C
ydx + xdy, where C is the path from (0,0)
to (1,2) along the curve y = 2t
2
.
34 Module 2: Vec. Cal.
Exercise 2.5.4.4 Prove that
_ _ _
V
dV
r
2
=
_ _
S
r n
r
2
dS
Exercise 2.5.4.5 Evaluate
_ _
S
r ndS where S is the of radius R and center the origin.
Exercise 2.5.4.6 Verify (a) Gauss and (b) Stokes theorem for
F = xy
i 2yz
j +x
2
y
k where
S is the unit cube in the rst octant.
Module 3
Linear Algebra
1
2 Module 3: Lin. Alg.
3.1 Systems of Linear Equations
3.1.1 Introduction
At high school level, we all have solved simultaneous equations. These were two equations in
two unknowns. The methods we used were:
The Graphical Method.
This method involved plotting the graphs of the two equations. The solution is given
by the point of intersection of the graphs, if ever they intersect. If the graphs did not
intersect the simultaneous equation were said to have no solution.
The Method of Elimination.
In this method one or both of the equations were multiplied by a factor, so that the
coecients of one of the unknowns had the same value. Then one of the equations is
subtracted from the other. That variable would be eliminated and only an equation in
one unknown remained. The remaining equation is the solved. The result of the unknown
obtained is used together with one of the other equations to obtain the second unknown.
The Matrix Method
The simultaneous equations are expressed in matrix form, with a matrix representing
each of the following (i) the coecients of the unknowns, (ii) the unknowns and (iii) the
right hand side of the equation. The inverse of the matrix of coecients is obtained and
it is used to multiply both sides of the equation to obtain the solution of the equations.
If this matrix is singular, i.e determinant is zero the equation will fail to have a solution.
In this unit we are going to develop these ideas further. We are going to solve equations in any
number of unknowns, using special methods of elimination and matrix methods. We will also
so when the solution of a simultaneous equation has a solution, no solution and many solutions.
We will also discuss the various types of systems of equation.
To develop the theory and tools for systems of equations we start with an illustrative example
of a system of three equations in three unknowns.
Example 3.1.1.1 Solve the following equations
4x + 3y + 3z = 7 (3.1.1)
x 2y +z = 8 (3.1.2)
2x +y + 3z = 9. (3.1.3)
Solution 3.1.1.1 The equations can be solved by elimination of one of the unknowns to reduce
the equations to two equations in two unknowns. Let us eliminate the rst unknown x. We
achieve this by doing what is outlined below.
First, subtract 4 times the second equation (3.1.2) from the rst equation (3.1.1). We obtain
11y z = 25. (3.1.4)
Next, subtract 2 times the second equation (3.1.2) from the third equation (3.1.3) to get
5y +z = 7. (3.1.5)
So now we have the equations,
11y z = 25 (3.1.6)
5y +z = 7. (3.1.7)
Math. Meth. for Sci.&Eng. 3
Adding the equations (3.1.6) and (3.1.7), we obtain
16y = 32.
This the leads to y = 2.
From (3.1.6), making z the subject and substituting for y,
z = 1yy + 25 = 2(2) + 25 = 5.
Finally from (3.1.2)
x = 8 + 2y z = 8 + 2(2) 3 = 1.
So the solution of the equation is
x = 1, y = 2, and z = 3.
The reader can check that the solution satises all the three equations.
3.1.2 Linear Equations
The last example illustrates a number of concepts for linear equations. The rst one is that the
method of elimination can be applied to any system of linear equations. The only problem is
to keep track of the operation performed especially if the system of equation is large. So there
is need to nd a way to represent the system of equation and perform the elimination process
in a systematic way.
We will introduce in this section the matrix representation of a system of equations and a struc
tured elimination process or algorithm. The fundamental observation is that if the equations
are represented in matrix form, the equations are associated with the rows of and appropriate
matrix. The elimination process can thus be associated with operations on the rows of the
matrix representing the system of equations.
Consider the system of m equations in n unknowns written as,
a
11
x
1
+a
12
x
2
+ +a
1n
x
n
= b
1
a
21
x
1
+a
22
x
2
+ +a
2n
x
n
= b
2
.
.
.
.
.
.
.
.
.
a
m1
x
1
+a
m2
x
2
+ +a
mn
x
n
= b
n
(3.1.8)
This system can be written in matrix form as,
_
_
a
11
a
12
a
1n
a
21
a
22
a
2n
.
.
.
.
.
.
.
.
.
a
m1
a
m2
a
mn
_
_
_
_
x
1
x
2
.
.
.
x
n
_
_
=
_
_
b
1
b
2
.
.
.
b
n
_
_
(3.1.9)
The matrix notation is
Ax = b. (3.1.10)
Here A is an m n matrix, x is a mcolumn vector and b is also a mcolumn vector. The
matrix A is called the matrix of coecients, b the vector of the unknown variables and b is
the right hand side of the equation.
An m1 vector x
0
is said to be a solution of the equation (3.1.9) or (3.1.10) if it satises the
system of equations, i.e Ax
0
= b. This means it satises all the m equation in the system.
4 Module 3: Lin. Alg.
A system of equation that has at least one solution is said to be consistent, otherwise the system
of equation is said to be inconsistent.
If the right hand side of the system of equations (3.1.9) or (3.1.10) is identically equal to
zero, i.e b = 0, then the system is called a homogeneous system. If b = 0, the system is
nonhomogeneous.
The vector x
0
= 0, satises the homogeneous equation and it called the trivial solution.
3.1.3 Elementary Row Operations
From the previous example (3.1.1.1) we observed that elimination is achieved by performing
one of the following:
1. Multiplying an equation by scalar factor.
2. Interchanging two equations.
3. Adding a multiple of one equation to another equation.
These operations give rise to and equivalent system of equations. The solution of the result
ing system of equations is identical to the solution of the original equation. Elementary row
operations are built from these ideas and techniques. Since in the matrix representation the
equations are represented by rows we dene the following as elementary row operations.
1. Multiplying a row by scalar factor.
Multilpy the i th row by a scalar k,
R
i
kR
i
.
2. Interchanging two rows.
Swap or interchange rows i and j,
R
i
R
j
.
3. Adding a multiple of one row to another row.
Add k times row i to row j,
R
j
R
j
+kR
i
.
In order to cut out on unnecessary repeated writing of some terms and brevity, the system of
equations is written in compact form which consists of the matrix of coecients and the right
side of the equation. This form is called the augmented matrix. The notation for this matrix is
[Ab] . (3.1.11)
The augmented matrix has m rows and n + 1 columns.
Let us see an applications of row operations.
Example 3.1.3.1 Use row operations to solve the following systems of equations.
3x
1
x
2
+ 4x
3
2x
4
= 16
x
1
+ 4x
2
x
3
+ 6x
4
= 16
2x
1
2x
2
+x
3
4x
4
= 8
4x
1
+ 4x
2
+x
3
+ 2x
4
= 9
Math. Meth. for Sci.&Eng. 5
Solution 3.1.3.1 The rst step is to construct the augmented matrix. In this case this matrix
is
_
_
3 1 4 2 16
1 4 1 6 16
2 2 1 4 8
4 4 1 2 9
_
_
. (3.1.12)
The row operations are performed on this matrix.
We will indicate the group of row operations on the left and give the resulting matrix on the
right.
R
1
R
2
R
2
R
2
3R
1
R
3
R
3
2R
1
R
4
R
2
4R
1
_
1 4 1 6 16
0 13 7 20 64
0 10 3 16 40
0 12 5 22 55
_
_
(3.1.13)
R
2
1
13
R
2
R
3
R
3
+ 10R
2
R
4
R
4
+ 12R
2
_
1 4 1 6 16
0 1
7
13
20
13
64
13
0 0
31
13
8
13
120
13
0 0
19
13
46
13
53
13
_
_
(3.1.14)
R
3
13
31
R
2
R
4
R
4
+
19
98
R
3
_
1 4 1 6 16
0 1
7
13
20
13
64
13
0 0 1
8
31
120
31
0 0 0
98
31
49
13
_
_
(3.1.15)
R
4
31
98
R
4
_
_
1 4 1 6 16
0 1
7
13
20
13
64
13
0 0 1
8
31
120
31
0 0 0 1
1
2
_
_
(3.1.16)
To obtain the solution of the equation we use the technique of backsubstitution. The last row
is equivalent to the equation
x
4
=
1
2
.
Using this value for x
4
in the third equation, we have
x
3
=
120
31
8
31
x
4
=
120
31
8
31
(
1
2
) = 4.
The second equation gives
x
2
=
64
31
+
7
13
x
3
20
13
x
4
=
64
31
+
7
13
(4)
20
13
(
1
2
).
Finally, the rst equation leads to
x
1
= 16 4x
+
x
3
6x
4
= 16 4920 + 9 4) 6(
1
2
) = 1.
So the solution of the equation is
x
1
= 1, x
2
= 2, x
3
= 4, x
4
=
1
2
.
6 Module 3: Lin. Alg.
The examples examples illustrate the cases were the system fails to have a solution or have an
innite number of solutions.
Example 3.1.3.2 Solve the following systems of equations.
3x
1
+ 2x
2
x
3
= 16
x
1
+x
2
x
2
+ 2x
3
= 3
5x
1
+ 3x
3
= 5.
Solution 3.1.3.2 The solution is laid out as in the last example. The augmented matrix is
_
_
3 2 1 2
1 1 2 3
5 0 3 5
_
_
(3.1.17)
R
1
R
2
R
2
R
2
3R
1
R
3
R
3
5R
1
_
_
1 1 2 3
0 5 7 7
0 5 7 10
_
_
(3.1.18)
R
2
1
5
R
2
R
3
R
3
5R
2
_
_
1 1 2 3
0 1
7
5
7
5
0 0 0 3
_
_
(3.1.19)
Now, the last equation is equivalent to
0.x
3
= 3,
which is not possible. The system is inconsistent. It does not have a solution.
Example 3.1.3.3 Solve the following system of equations.
x
1
2x
2
+x
3
x
4
+x
5
= 1
2x
1
+x
3
+x
5
= 2
x
1
+x
2
2x
4
= 3
4x
2
+6x
3
x
4
= 1
(3.1.20)
Solution 3.1.3.3 The augmented matrix is
_
_
1 2 1 1 1 1
2 0 1 0 1 2
1 1 0 2 0 3
0 2 2 1 0 1
_
_
(3.1.21)
Using the (1, 1)th entry as the pivot element, the resulting equivalent form of the system is,
R
2
R
2
2R
1
R
3
R
3
R
1
_
1 2 1 1 1 1
0 4 1 2 1 4
0 3 1 1 1 2
0 2 2 1 0 1
_
_
(3.1.22)
Now, using the (2, 2)th as the pivot element, we obtain the equivalent form,
R
2
1/4R
2
R
3
R
3
3R
2
R
4
R
4
2R
2
_
1 2 1 1 1 1
0 1
1
4
1
2
1
4
1
0
1
4
5
4
1
1
4
5
0 0
5
2
2
1
2
3
_
_
(3.1.23)
Math. Meth. for Sci.&Eng. 7
Pivoting on the (3, 3)th entry,
R
3
4R
3
R
4
R
4
5/2R
3
_
1 2 1 1 1 1
0 1
1
4
1
2
1
4
1
0 0 1 10 1 20
0 0 0 27 2 53
_
_
(3.1.24)
To obtain the solution we use backsubstitution. The last equation gives,
x
4
=
53
27
+
2
27
x
5
.
Proceeding to obtain the other solutions,
x
3
= 20 10x
5
x
5
= 20 10
_
53
27
+
2
27
x
5
_
x
5
=
1070
27
47
27
x
5
,
and
x
2
= 1 +
1
4
_
1070
27
47
27
x
5
_
+
1
2
_
53
27
+
2
27
x
5
_
+
1
4
x
5
=
268
27
4
27
x
5
,
and
x
1
= 1 + 2
_
268
27
4
27
x
5
_
+
1070
27
+
47
27
x
5
+
_
53
27
+
2
27
x
5
_
=
614
27
+
41
27
x
5
.
All the solutions are expressed in terms of x
5
. So if x
5
is xed the rest of the solutions can
be obtained. Such a variable is called a free variable. The system has an innite number of
solutions. The vector of the solution can be written as,
x =
_
_
614
27
+
41
27
x
5
268
27
4
27
x
5
1070
27
47
27
x
5
53
27
+
2
27
x
5
x
5
_
_
=
1
27
_
_
614
268
1070
53
0
_
_
+t
_
_
41
4
47
2
1,
_
_
where t =
x
5
27
.
3.1.4 Reduced Row Echelon Form