Ordinary Differential Equations: Existence,

Uniqueness and Solution Methods

Bishnu P. Lamichhane∗

August 3, 2017

1 Introduction
We start by defining a differential equation (DE).

Definition 1 A differential equation (or simply DE) is any equation containing

at least one derivative of an unknown function.

We note that the equations tan x = 0, x2 + 3x + 12 = 0 are not differential

dy ∂2u ∂u
equations. However, + 2xy = 3 cos(2x), 2
− = sin(x + t), and (1 −
00 0 x y
dx ∂x ∂t
2x)y + xy + e e = 0 are examples of differential equations, where we want to
find functions y(x), u(x, t) and y(x), respectively.

Definition 2 If a partial derivative is involved in a differential equation, the

differential equation is called a partial differential equation (PDE). If there is
no partial derivative involved in a differential equation, it is called an ordinary
differential equation (ODE).

Note 3 We shall sometimes use the standard abbreviations for the derivative
dy 00 d2 y dy d2 y
of a function: y 0 = ,y = and ẏ = , ÿ = etc. An ordinary dif-
dx dx2 dt dt2
ferential equation involves function(s) of a single independent variable, whereas
a partial differential equation involves function(s) of more than one variable.

Definition 4 (Order and degree) The order of a differential equation is the or-
der of the highest derivative in the equation. The highest power of the highest
derivative occurring in the differential equation is called the degree of the dif-
ferential equation. However, the degree of a differential equation is not defined
if the highest power of the highest derivative is not a natural number.
∗ School of Mathematical and Physical Sciences, University of Newcastle, Callaghan, NSW

2308, bishnu.lamichhane@newcastle.edu.au

1
 dy ∂u ∂2u
For example, + xy = 0 is a first order ODE, = is a second order
dx ∂t ∂x2
PDE. The degree of the differential equation
dy
+ xy = 0
dx
is one, whereas the differential equation
 2 2  3
d y dy
+ + xy = 0
dx2 dx
is of degree 2.

Definition 5 An ODE is linear if it has the form

an (x)y (n) + an−1 (x)y (n−1) + · · · + a1 (x)y 0 + a0 (x)y = g(x) (1.1)

with g, a0 , a1 , . . . , an given functions of x.

1
For example, y 00 +ex y 0 − 2 y = cos x is a second order linear ode but (y 0 )2 = −y
x
is not linear.
Let D be the differentiation operator, i.e., Df = f 0 and L be the differential
operator
L = an (x)Dn + an−1 (x)Dn−1 + · · · a1 (x)D + a0 (x),
i.e., Lf (x) = an (x)f (n) + an−1 (x)f (n−1) + · · · + a1 (x)f 0 + a0 (x)f .

Then (1.1) may be written

Ly = g
and the operator L is linear in the sense of linear algebra:

L(f + g) = Lf + Lg; L(λf ) = λLf.

Definition 6 A function y = y(x) that satisfies a differential equation on some

interval a < x < b is said to be a solution of the differential equation on that
interval.

For example, y(x) = e2x is a solution of y 0 = 2y on −∞ < x < ∞, and

y(x) = (1 − x2 )−1 is a solution of y 0 − 2xy 2 = 0 on each of the intervals
−∞ < x < −1, −1 < x < 1 and 1 < x < ∞.

Note 7 In particular, a linear ordinary differential equation does not involve

√
any terms of the form (y 0 )2 , ln y, ey , y 0 y 00 , sin y or y, etc. As we shall see
later, a solution y = y(x) to a given ordinary differential equation may only be
valid in some interval a < x < b.

2
Example 8 The function y = y(x) = x2 is a solution to the first order linear
ordinary differential equation xy 0 = 2y for all x. To see this, substitute y = x2
into the differential equation to get

xy 0 = x(2x) = 2x2 = 2x2 = 2y.

1.1 Initial, Boundary and Initial-Boundary Value Prob-

lem

A problem of solving a differential equation is called an initial value problem if

only the initial conditions are provided. In this case, the dependent variable and
its derivatives are specified at a single point.

A problem of solving a differential equation is called a boundary value problem

if only the boundary conditions are provided. In this case, the dependent variable
and/or its derivatives are specified at different points.

If both boundary and initial conditions are provided in a problem of solving a

differential equation, the problem is called an initial-boundary value problem.

Note 9 For physical problems initial values are associated with time, whereas
the boundary values are associated with space.

Example 10 (Initial Value Problem) Solve

∂u ∂u
+ = f (x, t) in R × R+ with u(x, 0) = u0 (x),
∂t ∂x
where R+ is the set of positive real numbers. This gives the time-evolution of
u under the assumption that the quantity u is prescribed as u0 (x) at (x, 0) ∈
R × R+ . Another example is to solve

dy
= f (y, t) in R+ with y(0) = y0 .
dt

Example 11 (Boundary Value Problem) Let R be a bounded rectangle in R2 .

The problem of solving

∂2u ∂2u
+ 2 = f (x, y) in R with u(x, y) = g(x, y) on ∂R,
∂x2 ∂y
where ∂R is the boundary of the rectangle R, and g is a given function on
∂R is a boundary value problem. This problem arises in the steady-state heat
distribution under the given boundary condition. Another example is to solve

d2 y
= f (x, y) in (a, b) with y(a) = ya , y(b) = yb .
dx2

3
Example 12 Initial-Boundary Value Problem

∂u ∂2u
Solve − k 2 = 0, 0 < x < L, t > 0
∂t ∂x
with

u(0, t) = u(L, t) = 0, t > 0, and u(x, 0) = f (x), 0 < x < L.

2 Existence and Uniquness

There are two fundamental questions for a mathematical problem.

1. Does a solution exist?

2. Is the solution unique (if it exists)?

The most general first order ordinary differential equation is of the form F (x, y, y 0 ) =
0, for some function F . Do solutions always exist? No – consider the differ-
ential equation (y 0 )2 + 1 = 0, this has no real–valued solution. However, if the
differential equation can be written in the form

y 0 = f (x, y), y(x0 ) = y0 , (2.2)

where f : R2 → R, then a real–valued solution always exists provided that f

satisfies certain conditions.

We now consider two examples.

Example 13 Solve the initial value problem:

1
y0 = , y(0) = 0.
x
We see that the general solution is y = ln |x| + C, and therefore, the solution
does not exist at x = 0.

Example 14 Solve the initial value problem:

p
y 0 = 2 |y|, y(0) = 0.

We can see two solutions of this problem: y = 0 and

(
x2 if x ≥ 0,
y=
−x2 if x < 0.

4
One very important theorem for the existence and uniqueness of (2.2) is Picard’s
theorem.

Theorem 15 (Picard’s theorem on existence and uniqueness) If f and

∂f
are continuous on some rectangle in the xy–plane centred on (x0 , y0 ) then
∂y
the initial value problem
dy
= f (x, y) with y(x0 ) = y0 ,
dx

has a unique solution which is continuous on at least |x − x0 | < h where h > 0.

Unfortunately, the theorem does not tell whether the solution exists for all x ∈ R.

It may be that the solution only exists for a short while. We note that both
problems
1
y 0 = , y(0) = 0
x
and p
y 0 = 2 |y|, y(0) = 0
do not satisfy the hypothesis of the theorem.

We consider an example.

Example 16
y0 = y2 , y(0) = A,
where A is a real constant. We know how to solve this equation. First assume
that A 6= 0, so y is not equal to zero at least for some x near 0. Thus writing
dx 1 −1 1 1
dy = y 2 , we have x = y + C. This gives y = C−x . If y(0) = A, then C = A .
If A = 0, then y = 0 is a solution.

For example, when A = 1 the solution “blows up” at x = 1. Hence, the so-
lution does not exist for all x even if the equation satisfies all hypotheses of
Picard’s theorem. Even more, we can see that the right hand side function y 2
is continuously differentiable as many times as we want.

Example 17 A solution of the initial value problem

√
y
y0 = , with y(1) = 0
x

√
is 2 y = ln |x| = ln x, as x ≥ 1. But y(x) ≡ 0 also satisfies the same initial
√
y
value problem, that is y 0 = , y(1) = 0 does not have a unique solution.
x

5
Note 18 If there is a number c such that f (x, c) = 0 (i.e. f (x, c) = 0 for all
x), then the constant function y(x) = c is a solution to (2.2).

Example 19 Consider the differential equation

1 2
y0 = y − 1.
4
1 2 1
Here f (x, y) = y − 1 = (y − 2)(y + 2), the differential equation
4 4
dy 1
= y2 − 1
dx 4
has two constant solutions y = 2 and y = −2, and these two constant solutions
are the unique solutions satisfying the initial conditions y(0) = 2, y(0) = −2
respectively. Note that the method of separation of variables does not work
(division by 0) for this differential equation precisely when y = ±2.

Constant solutions can tell us much about the behaviour of other solutions of the
ordinary differential equation for large values of the independent variable (such
as x or t).

Example 20 Consider the initial value problem

y 0 = 3y 2/3 , y(2) = 0.

Here f (x, y) = 3y 2/3 and

∂f
= 2y −1/3 ,
∂y
and hence f (x, y) is continuous when y = 0 but ∂f
∂y is not continuous. Hence the
hypothesis of Picard’s theorem is not satisfied. We cannot apply this theorem
here. In fact, we have two solutions y 1/3 = x − 2, and y = 0.

Theorem 21 (Picard-Lindelof theorem on existence and uniqueness)

Let f (x, y) be a continuous function that satisfies a Lipschitz condition

|f (x, y1 ) − f (x, y2 )| ≤ K|y1 − y2 |,

where K > 0 is a constant , on a strip defined by a ≤ x ≤ b and −∞ < y < ∞.

If (x0 , y0 ) is any point of the strip, then the initial value problem

y 0 = f (x, y), y(x0 ) = y0

has only one solution y = y(x) on the interval a ≤ x ≤ b.

6
Example 22 Consider the initial value problem

y0 = y2 , y(x0 ) = y0 .

Here f (x, y) = y 2 , and hence this satisfies all hypotheses of Picard’s theorem.
Therefore, there exists a unique solution on some interval |x−x0 | ≤ h. However,

f (x, y1 ) − f (x, y2 ) = y12 − y22 = (y1 + y2 )(y1 − y2 ),

and hence this function fails to satisfy the Lipschitz condition of Picard-Lindelof
theorem. Therefore, global uniqueness is not guaranteed.

Examples 23 The function f (x, y) = y satisfies the Lipschitz condition with

K = 1 for all y ∈ R. The function f (x, y) = |y| also satisfies Lipschitz con-
√
dition with K = 1 for all y ∈ R. The function f (y) = y defined on [0, 1]
does not satisfy Lipschitz condition. This function becomes infinitely steep as x
approaches 0 since its derivative becomes infinite.

Example 24 Consider the first order differential equation

y 0 + P (x)y = Q(x),

where P and Q are continuous functions of x in the interval [a, b]. Here

f (x, y) = Q(x) − P (x)y,

and hence

|f (x, y1 ) − f (x, y2 )| = | − P (x)(y1 − y2 )| ≤ K|y1 − y2 |,

where K = max |P (x)| when a ≤ x ≤ b. Thus f (x, y) is continuous and satisfies

a Lipschitz condition for (x, y) with

(x, y) ∈ [a, b] × (−∞, ∞).

Under these assumptions the initial value problem

y 0 + P (x)y = Q(x), y(x0 ) = y0 ,

has a unique solution on the entire interval [a, b] if (x0 , y0 ) ∈ [a, b] × (−∞, ∞).

Theorem 25 (Peano’s theorem on existence) Let f (x, y) be a continuous

function on a rectangle R containing (x0 , y0 ) as an interior point. Then there
exists a number h > 0 such that the initial value problem

y 0 = f (x, y), y(x0 ) = y0

has a solution y = y(x) on the interval |x − x0 | ≤ h

7
Example 26 Consider the example

y 0 = xy, y(0) = y0 .

This problem as a unique solution in any finite interval x ∈ [a, b]. Here

|f (x, y1 ) − f (x, y2 )| = |x||y1 − y2 |.

Thus this function satisfies the condition of Picard-Lindelof theorem.

Examples 27 A boundary value problem can have many, one or no solutions.

For example, the boundary value problem
π
x00 + 16x = 0 x(0) = 0, x =0
2
has infinitely many solutions, whereas the boundary value problem
π
x00 + 16x = 0 x(0) = 0, x =0
8
has only one solution. The unique solution in this case is x = 0. If we now
change the boundary value problem to
π
x(0) = 0, x = 1,
2
we do not get a solution.

2.1 Exercises

Exercise 28 Analyse the existence and uniqueness of the solution of y 0 = y 1/2 ,

y(0) = 0.

Exercise 29 Analyse the existence and uniqueness of the solution of y 0 = y 2/3 ,

y(0) = 0.
xy
Exercise 30 Is it possible to solve the equation y 0 = cos x for y(0) = 1? Justify.
p
Exercise 31 Is it possible to solve the equation y 0 = y |x| for y(0) = 0? Is
the solution unique? Justify.

Exercise 32 Is it possible to solve y 0 = xy for y(0) = 0? Is the solution unique?

Exercise 33 Is it possible to solve y 0 = x

x2 −1 for y(1) = 0?

8
3 Solution Methods

In this section, we discuss some solution techniques for solving ordinary differ-
ential equations. We have already discussed two techniques for solving differen-
tial equations: separation of variables and integrating factor technique. In this
section we further explore techniques to solve differential equations.

3.1 Exact Differential Equations

Definition 34 Let D ⊂ R2 be a simply connected open set and M and N two

continuous functions on D. An implicit first-order ordinary differential equation
of the form
M (x, y) dx + N (x, y) dy = 0,

is called an exact differential equation if there exists a continuously differentiable

function F , called the potential function, so that
∂F
(x, y) = M (x, y)
∂x

and
∂F
(x, y) = N (x, y).
∂y

Note that ’exact differential equation’ refers to the exact derivative of a function.
Let M and N be continuously differentiable on D ⊂ R2 . A potential function F
exists if and only if
∂M ∂N
(x, y) = (x, y).
∂y ∂x
Thus the differential equation is ’exact’ if the above condition is satisfied. The
differential equation is ’inexact’ if
∂M ∂N
(x, y) 6= (x, y).
∂y ∂x

Integrating factors

We recall that an integrating factor can be used to compute a general solution

of the ODE
y 0 + P (x)y = Q(x),
where we multiply the ODE by the integrating factor and integrate. We can
often use a similar way to convert an ’inexact’ ODE of the form

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

9
to an ’exact’ ODE. Let µ(x, y) (a function of x and y) be an integrating factor
for the above ODE. We multiply the ODE by this function to obtain

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

and assume that the resulting ODE is ’exact’. This equation is exact if and only
if
∂(µM ) ∂(µN )
= .
∂y ∂x
The main difficulty in this method is to find the function µ. In fact, it satisfies

µx N − µy M = (My − Nx )µ,

where the subscripts x and y denote the partial derivatives with respect to x and
y, respectively. If we can solve the differential equation

µx N − µy M = (My − Nx )µ,

for µ, we have found the integrating factor. This differential equation can be
simplified when µ is a function of x or y only. Let µ be a function of x only.
Then the above differential equation reduces to

µx N = (My − Nx )µ,

which is simplified to
dµ M y − Nx
= µ.
dx N
We can solve this differential equation for µ if the right hand side depends on x
only.

If µ be a function of y only, the above differential equation reduces to

µy M = −(My − Nx )µ,

which is simplified to
dµ Nx − My
= µ.
dy M
We can solve this differential equation for µ if the right hand side depends on y
only. Thus main idea here is to check whether the function
My − Nx
N
depends only on x, or
Nx − M y
M
depends only on y. Then we proceed to find the integrating factor µ. We consider
some examples.

10
Example 35 Consider the initial value problem

y 2 − 4xy 3 + 2 + (2xy − 6x2 y 2 )y 0 = 0, y(1) = 1.

Here M (x, y) = y 2 − 4xy 3 + 2 and N (x, y) = 2xy − 6x2 y 2 . Hence

My = 2y − 12xy 2 = Nx .

Thus the equation is exact and there exists a function F (x, y) such that

Fx (x, y) = M (x, y) = y 2 − 4xy 3 + 2, Fy (x, y) = N (x, y) = 2xy − 6x2 y 2 . (3.3)

We now integrate the first of the above equations with respect to x holding y
fixed so that
F (x, y) = y 2 x − 2x2 y 3 + 2x + g(y),
where g is a function of y only. Now differentiating this equation with respect
to y partially and using the second of equations (3.3) we have

Fy (x, y) = N (x, y) = 2xy − 6x2 y 2 + g 0 (y).

This yields g 0 (y) = 0 and thus g is a constant. Thus g(y) = c. Without loss of
generality we assume that g(y) = 0. Hence the function F is given by

F (x, y) = y 2 x − 2x2 y 3 + 2x.

Thus the solution of the given differential equation is

y 2 x − 2x2 y 3 + 2x = C,

where C is determined by using the initial value y(1) = 1. This yields C = 1,

and hence the solution of the initial value problem is

y 2 x − 2x2 y 3 + 2x = 1.

Example 36 Consider the differential equation

(2xy + y 2 )dx + (xy + 2)dy = 0 with y > 0.

Here M (x, y) = 2xy and N (x, y) = xy + 2. Then

My (x, y) = 2x + 2y, Nx (x, y) = y.

Hence the given equation is not exact. Now we find that the function
My − Nx (2x + y)
=
N xy + 2
depends on both x and y. On the other hand, the function
Nx − M y (−2x − y) 1
= =−
M y(2x + y) y

11
depends only on y. Hence the integrating factor µ is a function of y only, and
R Nx −My
µ(y) = e M dx
= e− ln(y) = 1/y.
Multiplying both sides of the equation by the integrating factor µ(y), we have
(2x + y)dx + (x + 2/y)dy = 0.
Now we integrate this equation as in the previous example using
Fx (x, y) = M (x, y) and Fy (x, y) = N (x, y), (3.4)
where M and N are redefined as
M (x, y) = (2x + y) and N (x, y) = (x + 2/y).
The first equation of (3.4) yields
F (x, y) = x2 + xy + g(y), and Fy (x, y) = x + g 0 (y),
and the second equation of (3.4) yields
x + g 0 (y) = x + 2/y.
Thus g(y) = 2 ln(y), and the solution of the ODE is
x2 + xy + 2 ln(y) = C,
where C is a constant.

3.2 Solutions by Substitutions

Often a differential equation can be solved by means of a substitution. Consider
a first order ODE
y 0 = f (x, y),
and use the substitution y = g(x, u), where u is a function of x. Then we use
the Chain Rule to obtain
dy ∂g dx ∂g du
= + .
dx ∂x dx ∂u dx
Thus using the fact that
dy
= f (x, y),
dx
we have
du
= F (x, u),
dx
where
f (x, g(x, u)) − gx (x, u)
F (x, u) = .
gu (x, u)
If the solution u(x) of the above ODE can be found, the solution of the orig-
inal ODE can be found by using y = g(x, u). We consider two cases where
substitution can be used.

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First Order ODE with Homogeneous Functions

Let f be a function of x and y. If this function f has the property that

f (tx, ty) = tα f (x, y),

for some real number α, then the function f is a homogeneous function of degree
α. For example, the function f (x, y) = x2 + xy + 3y 2 is a homogeneous function
of order 2. Let M (x, y)dx + N (x, y)dy = 0 be a first order ODE, where M and
N are two homogeneous functions of x and y of the same degree α. Then

M (tx, ty) = tα M (x, y), and N (tx, ty) = tα N (x, y).

Now we introduce a new variable u = y/x to write

M (x, y) = xα M (1, u), and N (x, y) = xα N (1, u).

The other possibility is to use v = x/y so that we have

M (x, y) = y α M (v, 1), and N (x, y) = y α N (v, 1).

The differential equation M (x, y)dx+N (x, y)dy = 0 is now converted to M (1, u)dx+
N (1, u)dy = 0 with y = ux. Thus we have dy = udx + xdu. Using this in the
differential equation M (1, u)dx + N (1, u)dy = 0 we have

M (1, u)dx + N (1, u) (udx + xdu) = 0.

This leads to the differential equation

dx N (1, u)du
+ = 0.
x M (1, u) + uN (1, u)

Example 37 Consider the differential equation

xy 2 dy − (x3 + y 3 )dx = 0.

We use the substitution y = ux to obtain

x3 u2 (udx + xdu) − (x3 + u3 x3 )dx = 0.

We can simplify this equation to

du 1
x = 2.
dx u
This is a separable differential equation and is easily solved to get
1/3
u = (3 ln |x| + 3c) .

Thus the solution of the given differential equation is

1/3
y = ux = x (3 ln |x| + 3c) .

13
Bernoulli’s Equation

The differential equation

y 0 + P (x)y = Q(x)y n , n 6∈ {0, 1}

is known as Bernoulli’s equation. This equation is named after Jacob Bernoulli,

who discussed it in 1695. Note that if n = 0 or n = 1 Bernoulli’s equation
reduces to the standard form first order linear equation.
We first divide the differential equation by y n to get

y −n y 0 + P (x)y −n+1 = Q(x).

We now make a substitution of y −n+1 = v and write the differential equation in
terms of v:
1
v 0 + P (x)v = Q(x).
1−n

This is a linear differential equation in terms of v and we can solve it using the
method of integrating factor. Once we have the solution in terms of v we can
get the solution of the original differential equation by plugging v back into the
expression y −n+1 = v.

Example 38 Solve

xy 0 + y(x + 1) + xy 5 = 0, y(1) = 1.

First, the equation is Bernoulli (P (x) = (x + 1)/x and Q(x) = −1, n = 5). We
substitute
v = y 1−5 = y −4 , v 0 = −4y −5 y 0 .
In other words, (−1/4) y 5 v 0 = y 0 . So

xy 0 + y(x + 1) + xy 5 = 0,
−xy 5 0
v + y(x + 1) + xy 5 = 0,
4
−x 0
v + y −4 (x + 1) + x = 0,
4
−x 0
v + v(x + 1) + x = 0,
4
and finally
4(x + 1)
v0 − v = 4.
x
Let
4(x + 1)
p(x) = − .
x

14
Now the equation is linear. We can use the integrating factor method. Let us
assume that x > 0 so |x| = x. This assumption is fine as our initial condition
is x = 1. Let us compute the integrating factor. Here the integrating factor is
Z x
e−4x+4

Rx −4(s + 1)
e 1 p(s) ds = exp ds = e−4x−4 ln(x)+4 = e−4x+4 x−4 = ,
1 s x4

and hence Rx
e− 1
p(s) ds
= e4x+4 ln(x)−4 = e4x−4 x4 .
Thus the solution is obtained as
Rx
Z x R 
t
− p(s) ds p(s) ds
v(x) = e 1 e 1 4 dt + 1
1
x
e−4t+4
Z 
= e4x−4 x4 4 dt + 1 .
1 t4

Note that the integral in this expression is not possible to find in closed form.
Note that it is perfectly fine to have a definite integral in our solution. Now
“unsubstitute”
 Z x −4t+4 
e
y −4 = e4x−4 x4 4 dt + 1 ,
1 t4
e−x+1
y=  1/4 .
R x e−4t+4
x 4 1 t4 dt + 1

15