QF202 Differential Equations 1 Topic 1 Introduction to Differential Equations

Topic 1 Introduction to Differential Equations

Learning Objectives:
QF202 Differential Equations

After going through this topic, students will be able to

Learning Objectives

Acquire a good understanding on differential equations.

Applications of differential equations Classifications of differential equations

Solution types of differential equations

Topic 1 Introduction to Differential Equations

Definition (Differential Equations)

A differential equation is an equation that defines a relationship between a function and one or more derivatives (ordinary derivatives or partial derivatives) of that function. Quick Review:
QF202 Differential Equations

Topic 1 Introduction to Differential Equations

Equations An expression that contains a =, usually having one or more unknowns (values or functions). A real-life problem is usually modeled as an equation with the unknowns which are of interest. The solution to the equation will be the solution to the real-life problem. Functions A rule (or a mapping) that associates an input to an output. Input can be a single value (single-variable functions) or a vector of values (multivariable functions), so is the output. Derivatives The instantaneous rate of change of a function at a level with respect to its inputs. For a single-variable function, we have ordinary derivatives. For multi-variable functions, we have partial derivatives. Repeated operation of differentiations result higher order derivatives and cross partial derivatives.

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Application 1: Population Growth Model

(DE02)

(DE01)

QF202 Differential Equations 5 Topic 1 Introduction to Differential Equations

Application 2: Newtons Law of Cooling

(DE03)

QF202 Differential Equations 6 Topic 1 Introduction to Differential Equations

Application 3: Harmonic Oscillator

(DE06)

(DE05)

(DE04)

QF202 Differential Equations 7 Topic 1 Introduction to Differential Equations

Application 4: Affine Term Structure Models of Interest Rates

(DE07)

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Application 5: Heat Equation

(DE10)

(DE09)

(DE08)

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Application 6: Wave Equation

(DE11)

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Application 7: Maxwell Equations

(DE12)

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Application 8: Navier-Stokes Equations

(DE13)

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Application 9: Schr dinger Equation

(DE15)

(DE14)

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Application 10: Black-Scholes Equation

(DE16)

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Classification of Differential Equations (type)

Ordinary differential equations (ODEs) An ODE is a differential equation that does not involve partial derivatives.

QF202 Differential Equations

Partial differential equations (PDEs) A PDE is a differential equation that involves partial derivatives.

Classification of Differential Equations (order)

The order of a differential equation is the highest derivative that appears in the differential equation.

Topic 1 Introduction to Differential Equations

QF202 Differential Equations 15 Topic 1 Introduction to Differential Equations

Classification of Differential Equations (linearity)

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So, differential equations DE01 to DE16 are

(DE01) (DE02) (DE03) (DE04) ODE/PDE ODE/PDE ODE/PDE ODE/PDE ODE/PDE ODE/PDE ODE/PDE ODE/PDE ODE/PDE ODE/PDE Order:_1_ Order:_1_ Order:_1_ Order:_2_ Order:_2_ Order:_2_ Order:_1_ Order:_2_ Order:_2_ Order:_2_ Linear/Nonlinear Linear/Nonlinear Linear/Nonlinear Linear/Nonlinear Linear/Nonlinear Linear/Nonlinear Linear/Nonlinear Linear/Nonlinear Linear/Nonlinear Linear/Nonlinear

QF202 Differential Equations

(DE05) (DE06) (DE07) (DE08) (DE09) (DE10)

(DE11)
(DE12)
Topic 1 Introduction to Differential Equations
system system

ODE/PDE
ODE/PDE ODE/PDE ODE/PDE ODE/PDE ODE/PDE

Order:_2_
Order:_2_ Order:_2_ Order:_2_ Order:_2_ Order:_2_

Linear/Nonlinear
Linear/Nonlinear Linear/Nonlinear Linear/Nonlinear Linear/Nonlinear Linear/Nonlinear

(DE13) (DE14) (DE15) (DE16)

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Lesson Plan (revisited)

ODE
First-order
Analytical

QF202 Differential Equations

Numerical

High-order

PDE
Analytical

Numerical Topic 1 Introduction to Differential Equations

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Solution of a Differential Equations

QF202 Differential Equations Topic 1 Introduction to Differential Equations

19

Number of Solutions
A differential equation usually possesses an infinite number of solutions.

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Piecewise-Defined Solution

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Explicit and Implicit Solutions

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Further Terminology

QF202 Differential Equations

23

This is a one-parameter family of solutions.

Topic 1 Introduction to Differential Equations

This is a singular solution.

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Summary:
QF202 Differential Equations

In Topic 1, we learned
Applications of differential equations.
Summary

Classification of a differential equation by its type, its order and by

whether it is linear or nonlinear.

Types and properties of solutions of differential equations.

Topic 1 Introduction to Differential Equations