Second Order Equations

Today, we will begin a discussion of solving second order linear equations. We will
discuss some of the theory of second order linear homogeneous equations. We will use
existence and uniqueness theorem to show that we can write down all possible solu-
tions to these equations in terms of a set of so-called fundamental solutions. Along
the way, we will uncover a tool (the Wronskian) for determining when we have a
fundamental set of solutions.
We then write the general solution to a second-order linear homogeneous equation
if we can nd a fundamental set of solutions. We will begin solving a second or-
der homogeneous equation with constant coecients by nding fundamental sets of
solutions.
1. Introduction
2. Existence and Uniqueness
3. General Solutions for Second Order Equations
4. The Wronskian and Fundamental Solutions
5. Solving Constant Coecient Equations
1 Introduction
We will consider second order linear equations of the form
y

+ p(t)y

+ q(t)y = g(t)
where p, q, and g are arbitrary functions of the independent variable t. We can of
course convert equations of the form
P(t)y

+ Q(t)y

+ R(t)y = G(t)
into this form by dividing by P(t), whenever P(t) = 0. Points where P(t) = 0 are
called singular points, and we will not be discussing methods of dealing with these
points.
1
We will be working mostly with equations which have constant coecients (i.e., where
p(t) and q(t) are constant). We will rst be considering homogeneous equations
(those for which G(t) = 0), and then later describing how to solve non-homogeneous
equations.
2 Existence and Uniqueness
We have an existence and uniqueness theorem for second order linear equations which
is quite similar to the theorem for rst order equations:
Theorem 3.1: (p. 111) Let p(t), q(t), and g(t) be continuous
functions on the interval (a, b) and let t
0
be in (a, b). Then the initial
value problem
y

+ p(t)y

+ q(t)y = g(t), y(t

0
) = y
0
, y

(t
0
) = y

0
has a unique solution which is dened on the entire interval (a, b).
We will not attempt to prove this theorem, but we will use it later.
Example: Find the largest interval in which the initial value problem
(t 1)y

3ty

+ 4y = sin(t), y(2) = 2, y

(2) = 1
is certain to have a unique solution.
In standard form, we have
y

3t
t 1
y

+
4
t 1
y =
sin(t)
t 1
for which the coecient functions are continuous when t = 1. Thus, given that the
initial value is at t
0
= 2, we have a unique solution at least on (, 1).
There is an equivalent theorem (Theorem 4.1, p. 224) which applies to a general n
th
order linear dierential equation.
3 General Solutions
We are interested in nding the general solution to a homogeneous second order linear
dierential equation. Recall that a second order equation should allow us to set two
initial conditions, so an initial value problem looks like the following:
y

+ p(t)y

+ q(t)y = 0, y(t
0
) = y
0
, y

(t
0
) = y

0
.
What might a general solution to the dierential equation look like? We might
expect that since there are two initial conditions we can satisfy, a general solution
might involve two unknown constants we can set. In fact, this is the case.
Better than that, we will see soon that there will be two dierent functions which we
can combine to create a solution to a second order linear equation. The technique
will depend on the principle of superposition (see Theorem 3.2, p. 116):
If y
1
(t) and y
2
(t) are both solutions to the homogeneous second order
equation
y

+ p(t)y

(t) + q(t)y(t) = 0 (1)

then any linear combination of y
1
and y
2
(c
1
y
1
(t) + c
2
y
2
(t) where c
1
and
c
2
are constants) is also a solution to y

+ p(t)y

(t) + q(t)y(t) = 0.
The principle of superposition is easy to prove: just assume that y
1
and y
2
are solutions
to equation (4) above, and let y(t) = c
1
y
1
(t) + c
2
y
2
(t). Then we see that
y

+ py

+ qy =
d
2
dt
2
[c
1
y
1
+ c
2
y
2
] + p
d
dt
[c
1
y
1
+ c
2
y
2
] + q [c
1
y
1
+ c
2
y
2
]
= c
1
y

1
+ c
2
y

2
+ p c
1
y

1
+ p c
2
y

2
+ q c
1
y
1
+ q c
2
y
2
= c
1
[y

1
+ py

1
+ qy
1
] + c
2
[y

2
+ py

2
+ qy
2
] = 0
since both y
1
and y
2
are solutions to (4). The principle of superposition is wonderfully
useful, and we will refer to it often. (Note that it does not work for non-homogeneous
equations!)
For the moment, it suggests that if we have two dierent solutions to a second order
linear homogeneous equation, we might be able to write a general solution as c
1
y
1
(t)+
c
2
y
2
(t). (After all, this function does have two unknown constants.)
For example, lets consider the following initial value problem:
y

+ 8y

9y = 0, y(0) = 1, y

(0) = 19.
It is easy to show that both e
t
and e
9t
are solutions to this dierential equation:
d
2
dt
2
e
t
+ 8
d
dt
e
t
9e
t
= e
t
+ 8e
t
9e
t
= 0
d
2
dt
2
e
9t
+ 8
d
dt
e
9t
9e
9t
= (9)e
9t
+ 8(9)e
9t
9e
9t
= 0
We did not say how we came up with these two solutions. We will consider that
question later. We suggest that the general solution might be
y(t) = c
1
y
1
(t) + c
2
y
2
(t) = c
1
e
t
+ c
2
e
9t
,
meaning that we think every solution might be of this form. Now this has two
constants available, so perhaps we can solve for c
1
and c
2
from the initial conditions.
We see that we need
y(0) = c
1
+ c
2
= 1
and as y

(t) = c
1
e
t
9c
2
e
9t
,
y

(0) = c
1
e
0
9c
2
e
0
= c
1
9c
2
= 19
Thus, we have two linear equations with two unknowns:
c
1
+ c
2
= 1
c
1
9c
2
= 19
This is easy to solve. If we solve the rst equation for c
1
, we get c
1
= 1c
2
. Plugging
this into the second equation gives
(1 c
2
) 9c
2
= 19, or 10c
2
= 20
so c
2
= 2. Then c
1
= 1 c
2
= 1. So the particular solution to the IVP is
y(t) = e
t
+ 2e
9t
.
We have successfully solved a second order, homogeneous, linear initial value prob-
lem by using two dierent solutions to the dierential equation. Next time, we will
consider whether such an approach will always work or not.
4 General Solutions for Second Order Equations
Last time, we suggested that we might be able to solve a second-order, linear, ho-
mogeneous initial value problem by nding two solutions to the dierential equation
y
1
(t) and y
2
(t), and taking some linear combination of these two. In other words, we
suggested that the general solution to a second-order, linear, homogeneous equation
might be of the form
y(t) = c
1
y
1
(t) + c
2
y
2
(t)
where y
1
(t) and y
2
(t) are two solutions to the dierential equation. As an example,
we showed that both y = e
t
and y = e
9t
were solutions to the dierential equation
y

+ 8y

9y = 0, and showed that we could solve the initial value problem

y

+ 8y

9y = 0, y(0) = 1, y

(0) = 19.
with the linear combination
y(t) = e
t
+ 2e
9t
.
Will this approach always work? What if we tried e
t
and 2e
t
as our two solutions
to y

+ 8y

9y = 0? (The principle of superposition after all assures that 2e

t
is a
solution if e
t
is.) Then our general solution would look like
y = c
1
e
t
+ c
2
2e
t
= (c
1
+ 2c
2
)e
t
.
If we try to solve the same two initial conditions as before, we see that y(0) = 1 gives
the equation c
1
+ 2c
2
= 1, and y

(0) = 19 gives c
1
+ 2c
2
= 19. But there is no
solution to this system of equations!
The problem of course is that e
t
and 2e
t
are not really dierent functions; one
is just a constant multiple of the other. How will we decide which functions are
really dierent, and can be used to form a general solution?
5 The Wronskian and Fundamental Solutions
Suppose we have a second order dierential equation
y

+ p(t)y

+ q(t)y = g(t) (2)

and a set of two solutions, y
1
(t) and y
2
(t). According to the discussion above, we
would like to know if the two solutions are really dierent, and if we can express
all solutions to equation (6) in the form
y(t) = c
1
y
1
(t) + c
2
y
2
(t).
If the above truly forms the general solution to equation (6), we will say y
1
and
y
2
form a fundamental set of solutions for equation (6). In other words, y
1
and y
2
form a fundamental set of solutions for equation (6) if every solution is of the form
c
1
y
1
(t) + c
2
y
2
(t).
Suppose that y(t) = c
1
y
1
(t) + c
2
y
2
(t) is a general solution. (In other words, we can
solve every initial value problem involving this dierential equation using this function
y.) Lets try to solve the initial value problem
y(t) = c
1
y
1
(t) + c
2
y
2
(t), y(t
0
) = y
0
, y

(t
0
) = y

0
.
In other words, we want to nd c
1
and c
2
such that
c
1
y
1
(t
0
) + c
2
y
2
(t
0
) = y
0
c
1
y

1
(t
0
) + c
2
y

2
(t
0
) = y

0
We put this in the form of a matrix equation below:

y
1
(t
0
) y
2
(t
0
)
y

1
(t
0
) y

2
(t
0
)

c
1
c
2

y
0
y

Then we can solve for any right hand side exactly when the determinant

y
1
(t
0
) y
2
(t
0
)
y

1
(t
0
) y

2
(t
0
)

(3)
does not equal zero. Call the determinant (3) above the Wronskian of y
1
and y
2
at
the point t
0
, denoted W(t
0
) or sometimes W(y
1
, y
2
)(t
0
).
Thus, we can solve a linear second order homogeneous initial value problem (with
initial conditions set at t = t
0
) if we have two solutions y
1
and y
2
whose Wronskian
W(y
1
, y
2
)(t
0
) is non-zero.
We claim that every solution to the dierential equation has the form y(t) = c
1
y
1
(t)+
c
2
y
2
(t) for some constants c
1
and c
2
. Then the set of functions y
1
and y
2
are a
fundamental set of solutions (since every solution can be written in terms of these),
and y(t) = c
1
y
1
(t) + c
2
y
2
(t) is the general solution.
Theorem: Let y
1
(t) and y
2
(t) be solutions of the homogeneous
linear dierential equation
y

+ p(t)y

+ q(t)y = 0, a < t < b,

where p(t) and q(t) are continuous on (a, b). Let W(t) denote the Wron-
skian of y
1
and y
2
. If there is a point t
0
in (a, b) where W(t
0
) = 0, then
y
1
and y
2
form a fundamental set of solutions.
Proof: Suppose we have a solution (t) to our dierential equation y

+ p(t)y

+
q(t)y = 0 dened about some point t
1
contained in interval (a, b) where our coecient
functions p and q are continuous. We know from the existence theorem that there is
a unique solution to the initial value problem
y

+ p(t)y

+ q(t)y = 0, y(t
1
) = (t
1
), y

(t
1
) =

(t
1
).
Since is obviously such a solution, it must be the solution guaranteed by the theo-
rem, and therefore (t) is dened on all of (a, b).
If y
1
and y
2
are two solutions to y

+ p(t)y

+ q(t)y = 0 for which W(y

1
, y
2
)(t
0
) = 0
for some point t
0
in (a, b), we will now show that must be of the form c
1
y
1
(t)+c
2
y
2
(t).
Since must exist on all of (a, b), it must exist at t = t
0
. Let y
0
= (t
0
) and
y

0
=

(t
0
). The fact that W(y
1
, y
2
)(t
0
) = 0 assures us that we may solve
c
1
y
1
(t
0
) + c
2
y
2
(t
0
) = y
0
c
1
y

1
(t
0
) + c
2
y

2
(t
0
) = y

0
for constants c
1
and c
2
. Therefore, we can solve the initial value problem
y

+ p(t)y

+ q(t)y = 0, y(t
0
) = y
0
, y

(t
0
) = y

0
using a linear combination y(t) = c
1
y
1
(t) + c
2
y
2
(t). But then both y(t) and (t) are
solutions to this initial value problemand by uniqueness, y(t) = (t)!
So we now know that all we need to do is nd a set of fundamental solutions, and
we know we can determine if we have found fundamental solutions by checking the
Wronskian.
Example:
Suppose we have y
1
(x) = e
2x
and y
2
= xe
2x
. We can conrm that both are solutions
to
y

4y

+ 4y = 0
(We have not yet discussed how we might have found such solutions.)
Now determine if y
1
and y
2
form a fundamental set of solutions. (Are they really
dierent?)
We check the Wronskian:

e
2x
xe
2x
2e
2x
e
2x
+ 2xe
2x

= (2x + 1)e
4x
2xe
4x
= e
4x
= 0
Note that we needed to check that W(t
0
) = 0 for some t
0
where the solution exists
(in this case, any < t
0
< ), but in fact the Wronskian is never zero at any
point. So these form a fundamental set of solutions. Therefore, we have the general
solution
y(t) = c
1
e
2x
+ c
2
xe
2x
to the dierential equation above. We emphasize again that any solution to y

4y

+
4y = 0 must be of this form.
Finally, we mention one other interesting result regarding fundamental sets and the
Wronskian:
Given two solutions to y

+ p(t)y

+ q(t)y = 0 on (a, b) (p and q

continuous on (a, b) of course), then the Wronskian of these solutions
is either 0 on the entire interval (a, b), or it is non-zero on the entire
interval (a, b). (Note: This is only true if the functions are solutions to
the dierential equation.)
So the result in example 5 above is not unusual. If we have a fundamental set of
solutions, the Wronskian is non-zero on the entire interval where we are guaranteed
the existence of unique solutions. (See p. 190, Abels Theorem.)
Theorem: Suppose y
1
(t) and y
2
(t) are both solutions to to the ho-
mogeneous dierential equation
y

+ p(t)y

+ q(t)y = 0, a < t < b

where p and q are continuous on (a, b). Then:
1. If y
1
and y
2
are a fundamental set of solutions, then they are linearly
independent on (a, b).
2. If y
1
and y
2
are not a fundamental set, they are linearly dependent
on (a, b).
Since the Wronskian will tell us whether or not two solutions form a fundamental set,
it will also tell us if the solutions are linearly independent. Note that this only applies
to functions which are solutions to a homogeneous linear dierential equation; it is
possible for the Wronskian of two functions to be zero and for the functions to still
be linearly independent anyway.
So what we determined earlier is that we can write the general solution to a second-
order, homogeneous linear dierential equation if we can nd two linearly independent
solutions. Or equivalently, two linearly independent solutions to a second-order, ho-
mogeneous linear dierential equation form a fundamental set of solutions for that
equation.
Example:
Given that e
2x
and 2e
2x
are both solutions to y

4y

+ 4y = 0, determine if these
two are linearly independent.
From the Wronskian, we have

e
2x
2e
2x
2e
2x
4e
2x

= 4e
4x
4e
4x
= 0
Since these are solutions to the dierential equation, we may conclude that they are
linearly dependent, and thus do not form a fundamental set of solutions. (It should
be obvious in this case that these are linearly dependent; note that 2(e
2x
)(2e
2x
) = 0.)
Also note that we only need to check the values of the solutions and their deriva-
tives at a single point to determine if they form a fundamental set (and therefore are
linearly independent), since the Wronskian of solutions is either always zero or always
non-zero on the interval of the solution.
Example:
We can show that y
1
(t) = cos(2t) and y
1
(t) = cos(2t /2) are both solutions to
y

+4y = 0. Are these solutions linearly independent? (Do they form a fundamental
set of solutions?)
The Wronskian gives

cos(2t) cos(2t /2)

2 sin(2t) 2 sin(2t /2)

= 2 cos(2t) sin(2t /2) + 2 cos(2t /2) sin(2t)

This is somewhat sticky to work with. However, if we look at at particular point,
such as t = 0, all we have is

y
1
(0) y
2
(0)
y

1
(0) y

2
(0)

cos(0) cos(/2)
2 sin(0) 2 sin(/2)

1 0
0 2

= 2
So these do form a fundamental set of solutions, and are therefore linearly inde-
pendent. We know that we can write the general solution to a second-order linear
homogeneous equation if we can nd a fundamental set of solutions. Must such a
solution exist? (How many fundamental sets are there for a dierential equation?)
Once we have established all second-order linear homogeneous equations have a fun-
damental set of solutions, we will begin solving a second order homogeneous equation
with constant coecients by nding fundamental sets of solutions.
6 Constant Coecients: The Characteristic Equa-
tion
We turn to the specialized case of a second order, linear, homogeneous, ordinary
dierential equation with constant coecients. (Whew!) In other words:
ay

+ by

+ cy = 0 (4)
We wish to search for possible solutions to this dierential equation. We hope there
might be a function which would not change much upon dierentiation, so that the
function and its rst two derivatives would mostly cancel out. We might then be
inspired by previous experience to try solutions of the form e
rt
, since:
y = e
rt
dy/dt = re
rt
d
2
y/dt
2
= r
2
e
rt
We look for which values of r will make e
rt
a solution to ay

+ by

+ cy = 0, and get
the following:
0 = ay

+ by

+ cy
= a
d
2
dt
2

e
rt

+ b
d
dt

e
rt

+ c

e
rt

= a

r
2
e
rt

+ b

re
rt

+ c

e
rt

= e
rt

ar
2
+ br + c

.
Thus, if e
rt
is a solution to equation 4, we must have
ar
2
+ br + c = 0 (5)
Equation 5 is referred to as the characteristic equation of equation 4. The roots of
the characteristic equation can be obtained from the quadratic formula:
r
1,2
=
b

b
2
4ac
2a
Three cases are possible:
a) two real roots when b
2
4ac > 0
b) one repeated root when b
2
4ac = 0
c) two complex roots when b
2
4ac < 0
If the characteristic equation gives us two real roots r
1
and r
2
, then we get two
solutions to equation 4:
y
1
(t) = e
r
1
t
, and y
2
(t) = e
r
2
t
.
Then the principle of superposition tells us that any linear combination of y
1
and y
2
will be a solution to equation 4. We then should have two dierent solutions to the
characteristic equation, r
1
and r
2
. (So r
1
= r
2
.) Two solutions to the dierential
equation then are
y
1
(t) = e
r
1
t
and
y
2
(t) = e
r
2
t
.
Do these form a fundamental set?
We check the Wronskian:

e
r
1
t
e
r
2
t
r
1
e
r
1
t
r
2
e
r
2
t

= r
2
e
r
1
t
0
e
r
2
t
0
r
1
e
r
2
t
0
e
r
1
t
0
= e
(r
1
+r
2
)t
0
(r
2
r
1
) = 0.
The last is true because we assumed r
1
= r
2
. So as long as we have two dierent, real
roots to the equation, we now know how to nd the general solution to the equation.
(This also means of course that we can solve initial value problems of this type.)
Example:
Find two solutions to the dierential equation
y

+ 8y

9y = 0.
We start by assuming solutions of the form y = e
rt
. Such solutions must satisfy the
characteristic equation, which in this case is
r
2
+ 8r 9 = 0
The characteristic equation has solutions
r
1
= 1
and
r
2
= 9
Therefore, two solutions to the equation are
y
1
(t) = e
t
and
y
2
(t) = e
9t
Finally, any linear combination is a solution, so we know
y(t) = c
1
e
t
+ c
2
e
9t
is also a solution.
Heres another example:
Example:
Find the solution to the initial value problem
4y

y = 0, y(2) = 1, y

(2) = 1.
First we nd the characteristic equation:
4r
2
1 = 0
The characteristic equation has solutions
r
1
= 1/2
and
r
2
= 1/2
so we have the two solutions
y
1
(t) = e
r
1
t
= e
t/2
and y
2
(t) = e
r
2
t
= e
t/2
and thus a general solution
y(t) = c
1
e
r
1
t
+ c
2
e
r
2
t
= c
1
e
t/2
+ c
2
e
t/2
To solve the initial value problem, we need
y(2) = 1 = c
1
e
1
+ c
2
e
1
and
y

(2) = 1 = c
1
(1/2)e
1
+ c
2
(1/2)e
1
These equations have solution
c
1
=
1
2e
and c
2
=
3e
2
So the solution to the initial value problem is
y(t) =
1
2e
e
t/2
+
3e
2
e
t/2
.
We can now solve a the dierential equation ay

+ by

+ cy = 0, so long as the
characteristic equation has two dierent real roots. But this is not always the case.
We will have to deal with the possibility of having either a repeated root or complex
roots to the characteristic equation. We will deal with repeated roots now, and leave
complex roots for next time.
7 Repeated Roots: Reduction of Order
Consider a second order equation which has a characteristic equation with one re-
peated root. We know from theory of complex numbers that the repeated root is real,
since complex roots appear in conjugate pairs.
We want to deal with the case where we have a repeated root to the characteristic
equation, so we can simplify the characteristic equation to the form
(r a)
2
= 0
or
r
2
2ar + a
2
= 0.
So the dierential equation must be of the form
y

2ay

+ a
2
y = 0 (6)
We know one solution is e
at
. We know from the principle of superposition that ce
at
is a solution for any constant c, so let us try to extend this idea and nd a function
u(t) such that u(t)e
at
is a solution to equation (6).
The only way to determine if ue
at
is a solution is to plug it into equation (6) and see
if it works, so we need to calculate y

and y

in the case where y = ue

at
:
y

= (ue
at
)

= uae
at
+ u

e
at
y

= (uae
at
+ u

ae
at
)

= ua
2
e
at
+ u

ae
at
+ u

ae
at
+ u

e
at
= ua
2
e
at
+ 2u

ae
at
+ u

e
at
Now we plug into (6), and regroup the terms according to the order of the derivative
of u:
y

2ay

+ a
2
y =

ua
2
e
at
+ 2u

ae
at
+ u

e
at

2a

uae
at
+ u

e
at

+ a
2
ue
at
= u

e
at
+ u

2ae
at
2ae
at

+ u

a
2
e
at
2a(ae
at
) + a
2
e
at

= u

e
at
To have y be a solution, we then need to have u

e
at
= 0. Since e
at
= 0, we must have
u

= 0, so it is easy to see that u(t) must be a linear function:

u(t) = c
1
+ c
2
t
where c
1
and c
2
are any constants. Thus, our second solution is u(t)e
at
= c
1
e
at
+c
2
te
at
.
(The technique above is called reduction of order. In general, it results in a dierential
equation involving u

and u

which can be solved for the unknown function u

, and
then nally for u, in cases where we know one solution to a dierential equation and
hope to nd a second.)
Thus we could try using e
at
and c
1
e
at
+ c
2
te
at
as a fundamental set of solutions, but
it is simpler to use linear combinations of these and take
y
1
(t) = e
at
y
2
(t) = te
at
as our fundamental set of solutions.
Of course, to know that these are really a fundamental set requires checking the
Wronskian to see if these are linearly independent:

e
at
te
at
ae
at
ate
at
+ e
at

= ae
at
(ate
at
+ e
at
) te
at
ae
at
= e
at
= 0.
So in the case where we have a repeated root a to the characteristic equation, a
fundamental set of solutions is given by
y
1
(t) = e
at
y
2
(t) = te
at
Example:
Find the general solution to 9y

42y

+ 49y = 0.
The characteristic equation is
9r
2
42r + 49 = (3r 7)(3r 7) = 0
so we have a repeated solution r = 7/3. Therefore, we have fundamental solutions
y
1
(t) = e
(7/3)t
and y
2
(t) = te
(7/3)t
and the general solution is
y(t) = c
1
e
(7/3)t
+ c
2
te
(7/3)t
.
We can now solve constant coecient equations if the characteristic equation has two
distinct real roots or if it has one repeated real root. We will deal with complex roots
next time.