First Lecture

Review of Ordinary Differential Equations

Class Notes
In the first lecture, we review concepts in linear ordinary differential equations (termed
ODEs). We first define what we mean by a linear ODE and give a general form, and then we
define the difference between homogeneous and inhomogeneous linear ODEs.
For
homogeneous equations, we also defined what we mean by independent solutions of these
equations, how many independent solutions there are, the conditions for independence, and the
form for the general solution. We then study the inhomogeneous equation, and defined the
concept of the particular solution and formulate the general solution. We then looked
specifically at first order and second order ODEs, obtaining a general solution for the first order,
and general solutions for the second order for particular cases of the constant coefficient and
Cauchy-Euler (equidimensional) equations. For the second order homogeneous ODEs, we also
formulate a solution for the second solution in the case where one of the solutions is known and
the general equation for the particular solution of the inhomogeneous equation in terms of the
homogeneous solutions via the Greens function formulation.
Definition of Linear Ordinary Differential Equation of nth order, and its associated initial
value problem
The starting point is the general linear nth order ordinary linear homogeneous
differential equation:

an (x)

dny
d n 1 y
dy
+
a
(x)
+ ...a1 (x) + ao (x)y(x) = 0
n 1
n
n 1
dx
dx
dx

(1)

where the highest order derivative is the nth. The an(x) are the coefficients which are functions of
(x). We consider these functions to be continuous on an interval I, a x b and the point xo is
located within or on the boundary of this interval. We also assume that the coefficient of the
highest derivative is not equal to zero on the interval. When the coefficient becomes equal to
zero, we are lead to singular problems. The equation is homogeneous since y=0 is a solution.
For this equation we also consider the initial value problem for the nth order equation. For the
point xo in I we prescribe conditions for y(x) and the first n-1 derivatives:

y(xo ) = k1; y'(xo ) = k2 ...y n 1 (xo ) = kn

(2)

where the kn are the prescribed constants. We imagine knowing all the data at the starting point,
and we wish to generate a solution of x satisfying these conditions as x departs from xo in the
interval I.

Principle of Linear Superposition of (1)

It is easy to show if y1 and y2 are solutions to (1) and 1 and 2 are constants, then 1 y1
and 1 y1 (x) + 2 y2 (x) are solutions.

Existence and Uniqueness Theorem for the Initial Value Problem of (1) and (2)
Let the functions a1 (x), a2 (x) ... an (x) be continuous on the interval I and let an(x) be
nonzero; then there exists a solution y(x) of (1) over I which satisfies the initial condition (2) for
any given constants ki. Furthermore this solution is unique.
Linear Independence of Solutions to (1)
In general, a finite set of functions {u1 (x),u2 (x)...un (x)} is linearly dependent if at least
one of the functions can be expressed as a linear combination of the others over the interval. If
none of the functions can be so expressed, the set is linearly independent. Mathematically, it
follows from this definition, that a finite set of functions is linearly dependent on a given interval
I if and only if there exist constants j not all zero such that for x on the interval I :

1u1 (x) + 2u2 (x) + ... + nun (x) = 0

(3)

otherwise the set is linearly independent. Note that this is a general definition for any function,
not just solutions to (1).
Conditions for Linear Independence of the Solutions to (1)
We define the Wronskian W (u1 (x)...un (x)) at a point x of a set of n functions un(x) as the
determinant of the matrix formed from the n functions and its n-1 derivatives at the point x:
u1 (x) un (x)
(4)
W (u1 ,u2 ...un ) =

u1n 1

unn 1

If we are studying a set of n solutions to the nth order ODE (1), i.e. {y1 (x), y2 (x)...yn (x)} , then
the Wronskian on the interval I W (y1 (x)...yn (x)) is always positive, negative or zero. (We
proved this statement for the second order equation in the first homework set and it can be shown
to be true for the nth order equation). Then this set of equations {y1 (x), y2 (x)...yn (x)} are linearly
independent if and only if the Wronskian is non zero over the interval I, i.e.
W (y1 (x)...yn (x)) 0 over I. Note that to check if the Wronskian is zero or nonzero over the
interval, it need only be evaluated at one point in the interval. Finally note that for the second
order case the above form for the Wronskian (4) becomes
W = (s) = y1 (s)y2 (s) y1 (s)y2 (s) . The sign is not important in determining linear

independence; we happen in class to use the negative of the above general form for W.
Number of Linearly Independent Solutions to (1)
The linear homogeneous nth order ODE (1) where the ai(x) are assumed continuous on I and
an(x) is nonzero have exactly n independent solutions.
General Solutions for the Initial Value Problem (1) and (2)
If we consider the initial value problem (1)-(2), and we have n independent solutions
{y1 (x), y2 (x)...yn (x)} for the nth order ODE, then we may write a general solution of the form:

y(x) = C1 y1 (x) + ...Cn yn (x)

This solution is general in that we can for the initial value problem (1) and (2) find the Cj which
allow satisfaction of (2) and therefore represent the unique solution.
General Solutions for the Initial Value Problem (1) and (2) for the Inhomogeneous case
The general inhomogeneous nth order ODE

dny
d n 1 y
dy
an (x) n + an 1 (x) n 1 + ...a1 (x) + ao (x)y(x) = f (x)
dx
dx
dx

(5)

also has a unique solution for the given initial conditions (2). We term yp(x) a particular
solution if it is any solution which satisfies (5). Then if the set {y1 (x), y2 (x)...yn (x)} denote the n
linearly independent solutions to the homogeneous equation, we may write a general solution for
(5) of the form:

y(x) = C1 y1 (x) + ...Cn yn (x) + y p (x)

(6)

As with (1) and (2), (6) is a general in that we can for the initial value problem (5) and (2) find
the Cj which allow satisfaction of (2) and therefore represent the unique solution.
First Order Linear Inhomogeneous ODEs
The general linear, first order, inhomogeneous differential equation is of the form:
a1 (x)

d
y(x) + ao (x)y(x) = f (x)
dx

The solution is the sum of the solution to a homogeneous equation

d
a1 (x) y(x) + ao (x)y(x) = 0 with an arbitrary constant,
dx
a (s )
o
ds
a (s )
x 1
yh (x) = e
and a particular solution which satisfies the inhomogeneous equation and is written in terms of a
Greens function.
y p (x) = G(x, s) f (s)ds
x

G(x, s) = yh (x)

1
a1 (s)yh (s)

y(x) = c1 yh (x) + G(x, s) f (s)ds

x

The constant is determined from the initial condition y(xo)=. The integrals in the Greens
function and the homogeneous solution are indefinite integrals; integrate in s and then replace
the variable s with x.
As an example:
d
1
y(x) + y(x) = 2 + x 2
dx
x

yh (x) = e

ao ( x )

a1 ( x ) dx

dx
x

yh (x) = e

thus
1
x

The particular solution is given as:

y p (x) = G(x, s) f (s)ds

x

1
s
=
a1 (s)yh (s) x
s
1
1
y p (x) = (2 + s 2 )ds = s(2 + s 2 )ds = x + x 3
x
xx
4
x

G(x, s) = yh (x)

y(x) =

a
+ x + 14 x 3
x

Second Order Linear Ordinary Differential Equations

The linear, second order, inhomogeneous differential equation is of the form:

d2
d
a2 (x) 2 y(x) + a1 (x) y(x) + ao (x)y(x) = f (x)
dx
dx
The homogeneous form (f(x)=0) has two independent solutions y1(x) and y2(x). Unlike the first
order equation, we cannot determine a general analytical form for the two solutions. The two
most common forms that we will need in this are the constant coefficient equation,

a2

d2
d
y(x) + a1 y(x) + ao y(x) = 0
2
dx
dx

where the ai are constants, and the equidimensional or Cauchy-Euler equation form in which the
coefficients are quadratic, linear and constant coefficient:

a2 x 2

d2
d
y(x) + a1 x y(x) + ao y(x) = 0
2
dx
dx

where the ai are again constants.

The Constant Coefficient Case:
Assume solutions emx , substitute and obtain the quadratic equation
a2 m 2 + a1m + ao = 0

m1 =

a1 +
a
; m2 = 1
2a2
2a2

= a12 4a2 ao
There are two cases

a12 4a2 ao > 0 the two coefficients are real and the general solution is of the form
y(x) = C1em1 x + C2 em2 x
a12 4a2 ao < 0 the two coefficients are complex and the general solution is of the form

y(x) = e

a1
x
2a2

4a a a 2
2 o
1
C
cos
1
x
2a2

x 4a a a 2
2 o
1
+
C
sin

2
2a2

Note: to obtain the above, recall that ea+b = eaeb and e[ia] = cos [ a ] + i sin[ a ] where a and b are
real
In addition, if is equal to zero the second independent solution is x times the first, that is
y(x) = C1emx + C2 xemx
a
m= 1
2a2

The Equidimensional Case:

Assume solutions xp, and obtain the quadratic equation for p:
2
d
2 d
a2 x
y(x) + a1 x y(x) + ao y(x) = 0
2
dx
dx
a2 p( p 1) + a1 p + ao = 0
a2 p 2 + (a1 a2 )p + ao = 0
a a1 +
a a1
p1 = 2
; p2 = 2
2a2
2a2
=

( a2 a1 )2 4a2 ao

There are two cases

( a2 a1 )2 4a2 ao > 0
y(x) = C1 x + C2 x
p1

the two coefficients are real and the general solution is of the form

p2

( a2 a1 )2 4a2 ao < 0 the two coefficients are complex and the general solution is of the form
y(x) = x

a2 a1
2a2

4a2 ao ( a2 a1 )

C1 cos [ ln x ]
2a2

4a2 ao ( a2 a1 )

+ C2 sin [ ln x ]
2a2

To obtainthe above , recall

If y = e x , by definition n[y] = x and therefore y = en[y]

To formulate x ia where x and a are real, note
ia ]

x ia = en[x

= e[ia]n[x ] = cos [ an[x] ] + i sin[ an[x] ]

If = ( a2 a1 ) 4a2 ao
first solution,
a a1
p= 2
2a2
2

= 0 , then the second independent solution is nx multiplying the

y(x) = C1 x p + C2 [ nx ] x p

When one homogeneous solution is known, and the other is not. (as would be the case above
where = 0 ), then by assuming y2 (x) = a(x)y1 (x) , we obtained the second solution:
a1 ( x '')

dx ''
1
a ( x '')
y2 (x) = y1 (x) 2
e x' 2
dx '
y (x ')
x 1

For the case of the constant coefficient equation, when the discriminant is zero, using the above
we get that the second solution is y2 (x) = xy1 (x) and for the case of the Euler equidimensional
equation when the discriminant is zero we get y2 (x) = ln x y1 (x)
We obtain a particular solution if the homogeneous solutions y1 and y2 are known, and we recast
the equation in terms of a Greens function:

(s) = y1 (s)y2 (s) y1 (s)y2 (s)

G(t, s) =

1 y2 (s)y1 (t) y2 (t)y1 (s)

a2 (s)
(s)

and

y p (t) = G(t, s) f (s)ds

t