Mathematics IA:

Differential Equations
Stuart B Dalziel
Department of Applied Mathematics and Theoretical Physics
University of Cambridge
Centre for Mathematical Sciences
Wilberforce Road
Cambridge CB3 0WA
s.dalziel@damtp.cam.ac.uk
http://www.damtp.cam.ac.uk/lab/people/sd103/lectures/part1a/
Examples sheets will be found at http://www.damtp.cam.ac.uk/user/examples/

10:00 Mon/Wed/Fri
Cockroft Lecture Theatre
Michaelmas Term 2004

CONTENTS
0. Introduction ....................................................................................................................................6
0.1 Health & Safety ..........................................................................................................................6
0.2 Why differential equations .........................................................................................................6
0.3 Variable backgrounds.................................................................................................................6
0.4 Books..........................................................................................................................................6
0.5 Greek ..........................................................................................................................................7
0.6 Useful formulae..........................................................................................................................8
0.6.1 Series ...................................................................................................................................8
0.6.2 Trigonometry.......................................................................................................................8
0.6.3 Lecture notes .......................................................................................................................9
0.6.4 Copyright.............................................................................................................................9
1 Basic calculus .................................................................................................................................10
1.1 Differentiation as a limit ..........................................................................................................10
1.1.1 Definition ..........................................................................................................................10
1.1.2 Differentiability.................................................................................................................11
1.1.3 Examples ...........................................................................................................................11
1.2 Rules for differentiating ...........................................................................................................12
1.2.1 Sums and differences ........................................................................................................12
1.2.2 The chain rule....................................................................................................................14
1.2.3 Products and quotients ......................................................................................................15
1.2.4 Higher derivatives .............................................................................................................16
1.2.5 Leibnitz theorem ..............................................................................................................17
1.2.6 Partial differentiation.........................................................................................................18
1.3 Curve sketching........................................................................................................................20
1.3.1 Rolles Theorem................................................................................................................22
1.3.2 Mean value theorem ..........................................................................................................23
1.3.3 Cauchys formula ..............................................................................................................24
1.4 Taylor series .............................................................................................................................25
1.4.1 Taylors Theorem..............................................................................................................26
1.4.2 Lagrange estimate of remainder........................................................................................26
1.4.3 Taylor series examples ......................................................................................................27
1.5 Integration: fundamentals.........................................................................................................28
1.5.1 Integration as sum of areas................................................................................................28
1.5.2 First mean-value theorem for integrals .............................................................................30
1.6 Fundamental theorem of calculus ............................................................................................31
1.7 Toolkit for basic integration.....................................................................................................32
1.8 Integration of more complex functions ....................................................................................33
1.8.1 Integration by parts............................................................................................................33
1.8.2 Integration by substitution.................................................................................................33
1.9 Differentiation under integrals .................................................................................................35
1.10 Multiple integrals ...................................................................................................................37
1.10.1 Integration over a rectangle.............................................................................................37
1.10.2 Integration in a general region ........................................................................................37
1.10.3 Integration of functions of more variables ......................................................................38
1.11 Special functions ....................................................................................................................38
1.11.1 Heaviside step function ...................................................................................................38
1.11.2 Dirac delta function.........................................................................................................38

2 First order linear equations..........................................................................................................39

2.1 Equations with constant coefficients........................................................................................39
2.1.1 Homogeneous equation .....................................................................................................39
2.1.2 Inhomogeneous equation...................................................................................................39
2.1.3 Initial conditions................................................................................................................40
2.2 Difference equations ................................................................................................................41
2.2.1 Linear difference equation with constant coefficients ......................................................41
2.2.2 Relationship with ODE .....................................................................................................42
2.2.3 Numerical solution of ODEs .............................................................................................42
2.2.4 Inhomogeneous linear difference equations......................................................................43
2.2.5 Series solution ...................................................................................................................44
2.2.6 Modelling examples ..........................................................................................................45
2.3 Equations with non-constant coefficients ................................................................................51
2.3.1 Basic ideas.........................................................................................................................51
2.3.2 Integrating factors .............................................................................................................52
2.3.3 Series solution ...................................................................................................................55
3 First order nonlinear equations ...................................................................................................56
3.1 Separable equations..................................................................................................................56
3.1.1 Families of solutions .........................................................................................................57
3.1.2 Flow map...........................................................................................................................58
3.1.3 Equilibrium solutions ........................................................................................................61
3.1.4 Isoclines.............................................................................................................................61
3.2 Stability ....................................................................................................................................63
3.2.1 Perturbation .......................................................................................................................64
3.2.2 Semi-stable ........................................................................................................................64
3.2.3 Generic stability problem ..................................................................................................66
3.2.4 Phase portraits ...................................................................................................................67
3.3 Exact equations ........................................................................................................................68
3.3.1 Finding an exact equation .................................................................................................68
3.3.2 Integrating factor for nonlinear equations.........................................................................69
3.4 Examples ..................................................................................................................................70
3.4.1 Chemical kinetics ..............................................................................................................70
3.4.2 Population dynamics .........................................................................................................72
3.5 Comparison with discrete equations ........................................................................................78
3.5.1 Equilibrium solutions ........................................................................................................79
3.5.2 Stability .............................................................................................................................79
3.5.3 Behaviour close to limit of stability ..................................................................................80
3.5.4 Graphical approach to difference equation .......................................................................81
3.5.5 Logistic map......................................................................................................................84
3.5.6 Bands.................................................................................................................................86
3.5.7 Location of bifurcations ....................................................................................................87
4 Higher order equations.................................................................................................................90
4.1 Second order linear equations ..................................................................................................90
4.1.1 Reduction to first order system .........................................................................................90
4.2 Equations with constant coefficients........................................................................................90
4.2.1 Homogeneous equation .....................................................................................................91
4.2.2 Principle of superposition .................................................................................................92
4.2.3 Initial value problems........................................................................................................92
4.2.4 Linear independence .........................................................................................................92

4.2.5 Abels theorem ..................................................................................................................93

4.2.6 Existence and uniqueness theorems ..................................................................................94
4.2.7 Homogeneous examples....................................................................................................94
4.2.8 Repeated roots ...................................................................................................................95
4.2.9 Particular integral ..............................................................................................................96
4.3 Applications .............................................................................................................................98
4.3.1 Free oscillators ..................................................................................................................98
4.3.2 Forced oscillator..............................................................................................................100
4.3.3 Radioactive sequences.....................................................................................................102
4.4 Reduction of order..................................................................................................................104
4.5 Generalisation to higher orders ..............................................................................................105
4.6 More on forcing......................................................................................................................106
4.6.1 Electrical circuits.............................................................................................................106
4.6.2 Car suspension ................................................................................................................113
4.7 Non-constant coefficients.......................................................................................................118
4.8 Singular points........................................................................................................................119
4.8.1 Series solution near singular point ..................................................................................120
4.8.2 Frobenius.........................................................................................................................123
4.8.3 Legendres equation ........................................................................................................123
4.8.4 Irregular singular points ..................................................................................................124
4.8.5 Conditions for singular point to be regular .....................................................................125
4.9 Particular integrals..................................................................................................................125
4.9.1 Functions that are homogeneous in x ..............................................................................125
4.9.2 Method of variation of parameters ..................................................................................126
4.9.3 Only one complementary function known ......................................................................128
4.10 Coupled systems...................................................................................................................129
4.10.1 Converting to a coupled system ....................................................................................129
4.10.2 Converting to a single equation.....................................................................................129
4.10.3 Solving coupled systems ...............................................................................................130
4.10.4 Coupled higher order systems .......................................................................................132
4.11 Second order difference equations .......................................................................................133
5 Nonlinear equations ....................................................................................................................135
5.1 Approach ................................................................................................................................135
5.1.1 Trajectories in the phase plane ........................................................................................135
5.1.2 Linear examples ..............................................................................................................136
5.2 Elementary phase plane analysis............................................................................................139
5.2.1 Saddle points eigenvalues of opposite sign..................................................................140
5.2.2 Nodes two real negative eigenvalues ...........................................................................143
5.2.3 Nodes two real positive eigenvalues ............................................................................146
5.2.4 Spiral points complex eigenvalues...............................................................................146
5.2.5 Stable centre imaginary eigenvalues ............................................................................147
5.2.6 Improper node repeated eigenvalues............................................................................148
5.2.7 Proper node repeated eigenvalues ................................................................................150
5.3 Equilibrium and stability........................................................................................................151
5.3.1 Autonomous systems.......................................................................................................151
5.3.2 Classification of fixed points ..........................................................................................152
5.3.3 Matrices in canonical form..............................................................................................152
5.4 Simple pendulum....................................................................................................................153
5.4.1 Small oscillations ............................................................................................................153
5.4.2 Finite amplitude oscillations ...........................................................................................154
4

5.4.3 Pendulum phase plane.....................................................................................................156

5.4.4 Pendulum behaviour........................................................................................................158
5.4.5 Energy .............................................................................................................................159
5.5 Competing species..................................................................................................................159
5.5.1 General ideas ...................................................................................................................159
5.5.2 Competing vegetarians....................................................................................................160
5.5.3 Preditor-prey equations ...................................................................................................166
6 Concluding remarks....................................................................................................................172

0. Introduction

Health & Safety

0. Introduction
0.1 Health & Safety
0.2 Why differential equations
Central to most of mathematics. The screwdriver of your toolkit.
Key tool to solving real-world problems as well as an essential ingredient of pure mathematics.

0.3 Variable backgrounds

Students have different backgrounds.
Modula A level

0.4 Books
W.E. Boyce and R.C. DiPrima Elementary Differential Equations and Boundary-Value
Problems.
Wiley 7th edition 2001 (34.95 hardback). 8th ed. due for publication in May 2004
D.N. Burghes and M.S. Borrie Modelling with Differential Equations. Ellis Horwood 1981 (out
of print).
W. Cox Ordinary Differential Equations. Butterworth-Heinemann 1996 (14.99 paperback).
F. Diacu An introduction to Differential Equations: Order and Chaos. Freeman 2000 (38.99
hardback).
N. Finizio and G. Ladas Ordinary Differential Equations with Modern Applications. Wadsworth
1989 (out of print).
D. Lomen and D. Lovelock Differential Equations: Graphics-Models-Data. Wiley 1999 (80.95
hardback).
R.E. OMalley Thinking about Ordinary Differential Equations. Cambridge University Press
1997 (19.95 paperback).
D.G. Zill and M.R. Cullen Differential Equations with Boundary Value Problems. Brooks/Cole
2001 (37.00 hardback).
All these books should be in your college library

0. Introduction

Greek

0.5 Greek
Greek symbols are used a lot in mathematics, both by convention and in order to maintain a
compact notation. The following table lists the Roman and Greek letters we are likely to encounter
in this course. For some of the Greek letters I have indicated the order in which I do the strokes.
Note: I make no promises to be consistent!
Lower case
Upper case Lower case
Upper case
Name
alpha
A
a

B
C
D
E
F
G
H
I
J
K
L
M
N
O
P
Q
R
S
T
U
V
W
X
Y
Z

b
c
d
e
f
g
h
i
j
k
l
m
n
o
p
q
r
s
t
u
v
w
x
y
z

beta
chi
delta
epsilon
phi
gamma
eta
iota
curly phi

kappa

omega

lambda
mu
nu
omicron
pi
theta
rho
sigma
tau
upsilon

xi
psi
zeta

0. Introduction

Useful formulae

0.6 Useful formulae

0.6.1 SERIES
a + ( a + d ) + (a + 2d ) + ! + ( a + ( n 1) d ) =

Arithmetic

a + ar + ar + ! + ar
2

Geometric

n 1

a (1 r n )

1 r
a
if |r| < 1 then S =
1 r
n

n ( n + 1)

r =1

r =

Algebraic
n

n 2 ( n + 1)

(1 + x )

= 1 + nx +

n ( n 1)
2!

r =1

Binomial expansion

; r 1

n ( n + 1)( 2n + 1)

r =1

n
( 2a + ( n 1) d )
2

x2 +

n ( n 1)( n 2 )
3!

x3 + !

If n is positive integer, the series terminates and is true x.

If n is not a positive integer, the series is infinite and is valid for all |x| < 1 and sometimes for
|x| = 1.
x 2 x3
e = 1+ x + + +!
2! 3!
x

Exponential

ln (1 + x ) = x

Logarithmic

x 2 x3 x 4
+ +!
2 3 4

for 1 < x 1

0.6.2 TRIGONOMETRY
sin (AB) = sin A cos B cos A sin B

cos (AB) = cos A cos B cos A sin B

2 sin A cos B = sin (A+B) + sin (AB)

2 cos A cos B = cos (A+B) + cos (AB)

2 sin A sin B = cos (AB) cos (A+B)

sin A + sin B = 2 sin (A+B) cos (AB)

sin A sin B = 2 cos (A+B) sin (AB)

cos A + cos B = 2 cos (A+B) cos (AB)

cos A cos B = 2 sin (A+B) sin (AB)

tan ( A B ) =

tan A tan B
1 tan A tan B

sin 2A = 2 sin A cos A

cos 2A = 2 cos2A 1 = cos2A sin2A = 1 2 sin2A

If t = tan x, then sin x =

2t
,
1+ t2

cos x =

1 t2
,
1+ t2

tan x =

2t
1 t2

0. Introduction

Useful formulae

0.6.3 LECTURE NOTES

It is expected that students will attend lectures and take their own notes. This electronic version of
the notes provides an additional resource to students, and does not necessarily include everything
that is lectured. Conversely, these electronic notes may include some material that is not lectured.
Ultimately, the lectures in conjunction with the Schedules determine what is examinable, not these
electronic notes.
A yellow background indicates that the corresponding material was not presented in lectures.
Absence of the yellow does not mean that it was presented.

0.6.4 COPYRIGHT
These notes may be duplicated freely for the purposes of education or research within the
University of Cambridge. Any such reproductions, in whole or in part, should contain details of the
author and this copyright notice. Postings of these notes on a web site must have access restricted to
addresses within the .cam.ac.uk domain.