ORDINARY DIFFERENTIAL EQUATIONS for Scientists and Engineers Prof. Dr. N awazish Ali sORDINARY DIFFERENTIAL EQUATIONS. 1 CHAPTER 1 BASIC CONCEPTS OF DIFFERENTIAL EQUATIONS 1.1. INTRODUCTION Differential equations are of fundamental importance in science and engineering because many physical laws and relations appear mathematically in the form of such equations . We see that whenever a physical law involves a rate of change of a function , such as velocity , acceleration , etc., it will lead to a differential equation . To give a simple example , one of the most important laws in mechanics is Newton's second law , which states that the rate of change of momentum of a body is proportional to the force applied to it. For motion in a straight line , the mathematical statement of this law is : fumvysF qQ) where m is the mass, V the speed, t the time, and F the applied force. We can write equation (1) as a (ai) @ where x denotes the distance along the line from some origin on it . Equation (2) is called the differential equation expressing Newton’s second law of motion Differential equations have vast applications in almost all branches of engineering , electromagnetic theory, fluid mechanics , elasticity , heat conduction , diffusion , plasma physics , quantum mechanics , biological and other social sciences 12 DIFFERENTIAL EQUATION An equation which involves the derivatives or differentials is called a differential equation . For example , a Q) dy = (x+2y)dx d % @ xpley=3 Oy" #2 (y")P+y! = cosx © (y")? Hy) +3y = x? am 2 az Wz az x 2K Gy ®2 BASIC CONCEPTS OF DIFFERENTIAL EQUATIONS 13 | ORDINARY DIFFERENTIAL EQUATION A differential equation which involves one or more derivatives of an unknown function of a single independent variable is called an ordinary differential equation . The ‘equation may also contain For example , the equations (1) to (6) given above are the y itself as well as given functions of x and constants examples of the ordinary differential equations . 14 PARTIAL DIFFERENTIAL EQUATION A differential equation which involves an unknown functi and its partial derivatives is called a partial differential equation . For example , equations (7) and (8) given ion of two or more independent variables above are the examples of partial differential equations 1.5 ORDER OF A DIFFERENTIAL EQUATION ‘The order of a differential equation is the ‘order of the highest derivative occuring in the equation . For example , equations (1) , (2) , (4) and (7) given above-are of first order , while equations (3) ,.(6) and (8) are of second order and.equation (5) is of third order . 16 DEGREE OF A DIFFERENTIAL EQUATION The degree of a differential: equation is the power of the highest derivative occurring in the equation . For example , all the above equations are of degree 1 except equation (6) which is of degree 2 . Hf the differential equation involves any radical sign or any power in fractions , then the degree of that equation is the degree of the highest derivative after rerhoving the radical sign and fractional power . For éxample , the differential equation dy)??? ay [1+(2) ] = FR canbe written as dy)? 3 a? 2 [+(2) T- G2) ‘The order of this equation is 2. and the degree is also 2. u 1.7. LINEAR AND NON-LINEAR DIFFERENTIAL EQUATIONS A differential equation is said to be linear if ji it is of first degree in the dependent variable and all of its derivatives, (ii) the coefficients (of the dependent variable and its derivatives) are either constants or functions only of the independent variables. A differential equation that is not linear is said to non. linear . For example , equations (1) , (2) , (3), (4) , (7), and (8) given above are: linear , while equations (5), \ and (6) are non-linear. Also the differential equation-y" #4 y y'+2y = cos x is non — linear because of the occurrence of the product of y and one of its derivatives . Bae gs ag ghee are) eee cee ge eee SeORDINARY DIFFERENTIAL EQUATIONS 3 1.8 | HOMOGENEOUS AND NON-HOMOGENEOUS DIFFERENTIAL EQUATIONS A linear differential equation is said to be homogeneous if every term in the equation contains cither the dependent variable or one of its derivatives , otherwise it is said to be non-homogeneous or inhomogeneous . For example , equations (3) and (7) are homogencous while all the other equations are nonhomogeneous . 1.9 SOLUTION OF A DIFFERENTIAL EQUATION A solution ( or integral ) of a differential equation is a relation between the variables , not involving any derivative, such that this rélation and the derivatives obtained from it satisfy the given differential equation. é 2 For example, y = A cos x +B sin x isa solution of the differential equation Pre Ghee a =Asinx+Beosx and 523 = -Acosx—Bsinx ys because Fy e so that 53+ = —A.cosx—B sinx + A.cos x+Bsinx = 0. 1.10 GENERAL SOLUTION - When the nutnber of arbitrary constants (functions) in the solution of an ordinary (partial) differential equation is equal to the order of the ‘differential’ equation’, then this solution is called the general solution or complete solution or complete‘integral . For example, y = Acosx+B sin x is ‘ ‘ 2 d called the’ general solution of the differential equation Sty = 0 because it involves two arbitrary | Constants and also the order of the differential equation is 2 . 111 ‘PARTICULAR SOLUTION : A particular solution is a solution obtained from the general solution by giving particular values to the arbitrary constants (functions) . It is also called a particular integral . For example , y¥ = Acosx+5 sinx / is a particular solution of the differential equation ey ty= 1.12 SINGULAR:SOLUTION A singular solution is a solution: which exists but cannot be obtained from the general solution . For example ; as can be seen by substituiion that’ y = C x—C? isa general solution of the differential Squation (y')’—xy'+y = 0. a w‘ BASIC CONCEPTS OF DIFFERENTIAL EQUATIONS | This solution represents a family of straight lines, one line for each C . These are particular 2 solutions . Substitution also shows that y = ai is also a solution . This is a singular solution of equation (1) since we cannot obtain it from y = Cx—C? by choosing a suitable C . 1.13 FAMILY OF CURVES Let x and y be the independent and dependent variables respectively . Then the equation F(x,y,C)=0 qa) Containing one arbitrary constant C, represents a family of curves . For example , the equation 2 xtty?=a where a is arbitrary , represents a family of circles with centre at the origin and radius a. Similarly , the equation f(x,y,A,B) = 0 @ containing two arbitrary constants A and B also represents a family of curves . We often say that it is a two parameter family of curves . For example , the equation y = mx+C, where m and C are arbitrary constants , represents a two parameter family of straight lines having slope m and intercept_C on the y-axis . 1.14 FORMATION OF DIFFERENTIAL EQUATIONS To form a differential equation from the one parameter family of curves f(x,y,C)=0 qd) we need two equations . One equation is given by equation (1) and the second equation is obtained by differentiating , equation (1) wrt. x. On eliminating C from the two equations , we obtain an equation containing x,y, and y’ which is a first order differential equation . To form a differential equation from a two — parameter family of curves f(x,y,A,B) =0 @) we need three equations . One equation is given by equation (2) and the remaining two equations are obtained by differentiating twice equation (2) wrt. x. On eliminating A and B_ from these three equations , we obtain a second order differential equation . Similarly , if an equation contains n arbitrary constants , differentiate it successively n times to get n additional equations containing n arbitrary constants and derivatives . Now eliminate n arbitrary constants from the (n+ 1) equations to get a differential equation of order n. EXAMPLE (1): Form the differential equation of the family of straight lines passing through the origin. SOLUTION: ‘The equation of all the straight lines passing through the origin isORDINARY DIFFERENTIAL EQUATIONS qa y=mx where m is the parameter . Differentiating equation (1) w.r.t. x, we get dy @ ax7™ Eliminating m from equations (1) and (2) , we get 2 x dy or xax 7 is the required differential equation . ferential equation of the family of concentric circles x?+y? = a"5 EXAMPLE (2): Form the where a isan arbitrary constant . SOLUTION: Given that x?+y? =a? a Differentiating equation (1) w.r-t dy ax+2yqy 79 x, we get dy or. XtYEx 0 is the required differential equation . Form the differential equation of the family of parabolas y? = 4ax, where @ EXAMPLE (3): is an arbitrary constant . SOLUTION: Given that y? = 4ax ” Differentiating equation (1) wrt, X» We Bet d 2 yo =4a Q Now eliminate a from equations (1) and (2) - From equation (1) 2 ark Substituting in ao (2), we get d 2yge = i or 2xgy-¥= Which is the required differential equation .6 EXAMPLE (4): Form the differential equation from the relations @ Y = Acos2x+Bsin2x where A and B are arbitrary constants. SOLUTION: @ y = Acos2x+Bsin2x Differentiating equation (1) w.r.t. x, we get dy dx ~ ~2Asin2x+2Bcos2x Differentiating again wart. x, we get dy dx? = ~4Acos2x-4Bsin2x = -4(Acos2x+Bsin2x) = -4y [using equation (1) ] 2 or Ox2t4y = 0 is the required differential equation . Gy = Ae?*+Be3* Differentiating equation (I) wart. x, we get d So =2A0?*-3B0-* Differentiating again equation (2), wart. x, ‘we get a 5 : Pr = 4Ac?*+9Be® x ‘Adding equations (2) and (3) , we get @y d aoe Sutge = bac +6Be™ " 6(Ac7*+Be **) = 6y dty d or serge oy 0 is the required differential equation . 1.15 FIRST ORDER DIFFERENTIAL EQUATION BASIC CONCEPTS OF DIFFERENTIAL EQUATIONS Ae?*+Be72* qa) a) 2 G) It y(x) isa differentiable function of x, then any first order ordinary differential equation can be written in the implicit formas F(x,y,y') = 0. That is , a first order ordinary differential equation must contain y' of the unknown funetion y (x), and may contain y itself and given functions of x . For example , y-4xyt+x?=0, yy'+x-cosx=0, and (y')?+xy'-y+2x=0ORDINARY DIFFERENTIAL EQUATIONS 7 are first order differential equations . Remember that a first order differential equation needs not explicitly contain either x or y. For example, y' = 4 and (y')* = 4 are first order differential equations in which x and y do not appear explicitly . Similarly, y’ = —y? does not explicitly contain x,, although x is implicitly in y , which is a function of x. 1.16 SOLUTION OF A FIRST ORDER DIFFERENTIAL EQUATION A solution of a first order ordinary differential equation F (x,y, y’)=0 isa function y= (x) that has y’ = '(x) and has the property that F[x,6(x),¢'(x)] = 0 forall values of the independent variable x for which $ is defined. For example , as can be seen by substitution that y = C x—C? isa solution of the differential equation (y')?-xy' +y = 0. This solution holds for all values of x A solution may be defined on the entire real line or on only part of the line called an interval . Thus we say that y = $(x) isa solution of F(x,y,y’) = 0 onan interval I if F[x,6(x),6/(x)] = 0 forall xin 1. e2* isa solution of y’-2y = 0 forallx, while y = Inx is solution of y"x For example, y for x> 0. Note that it is important to define the interval I since the differential equation does not necessarily describe the solution for all values of the independent variable x . IMPLICIT SOLUTION ‘Sometimes a solution of a differential equation will appear as an implicit function as H(x,y)=C — (C = Constant ) (x). For example, @) function is a solution of the first order differential and is called an implicit solution , in contrast to an explicit solution y = xtty? = 4 defines implicitly y as a function of x , and this equation yy = =x ® In this example, equation (1) actually defines two solutions of the differential equation (2) , namely Y=fi(x) = f4ox? and y = f2(x) = -V4-x* both defined for —2 < x <2. Again, the fact that both of these functions are solutions of the first order Aifferential equation (2) ean be Verified by substituting them into equation (2) .BASIC CONCEPTS OF DIFFERENTIAL EQUATIONS, 1.17 SECOND ORDER DIFFERENTIAL EQUATION If y(x) isa differentiable function , then a second order ordinary differential equation can be written in the implicit formas F(x,y,y',y") = 0. For example, xy" +x7y'-2y+3cosx = 0 and (y")?+(y')?+3y—x? = 0 are second order differential equations . Remember that a second order differential equation must explicitly contain y” term , while it need not explicitly contain x,y, and y’. For example, y” = 10 and (y")? = 4 are second order differential equations , even though x,y, and y’ do not appear explicitly . The differential equation may or may not be defined for all values of the independent variable x . F te, Sax any = si or example, Gy 4+ x7 42-2 xy = sinx is defined for all values of x , while the differential equation i . 1 i is defined only on intervals not containing 0,2, or 2, where the coefficient and the term <7 are not defined . 1.18 SOLUTION OF A SECOND ORDER DIFFERENTIAL EQUATION A solution of a second order ordinary differential equation F(x,y,y.y") = 0 on an interval I isa function y = §(x)thathas y’ = $'(x) and y” = that £[x,9(x),8'(x), 6" (x) ] = 6" (x) and has the property for all x in that interval I. For example , as can be seen by substitution that. y = cos2x isa solution of the differential equation y" + 4 y = 0 forall x, while y = VE sin x is a solution of the differential a AS 1 equation y"+<7y +(1-gb)y = 0 onthe interval x > 0 ie.(0,00). TRIVIAL SOLUTION iy interval I then y = 0 is called the trivial solution to that differential equation on 1. 0 (ive. y identically equal to zero ) is a solution to a differential equation on anORDINARY DIFFERENTIAL EQUATIONS ; 7 B EXAMPLE (5): Show that y = A x+- is a solution of the differential equation SOLUTION: The given differential equation is dy dy 2 dy OT XE ay ion is y = B dy B d’y 2B ‘The given function is y = Ax+°, so that ay TAT gz and Gye *y uti dy a Substituting the values of y, dx and min equation (1) , we get @y dy 2B vBhoakbey = 2B) o(-B)-(o08 = 2B B B = AS PAx-{-AR-y 0 Since the given differential equation is satisfied , therefore the given function y is its solution 119 nTH ORDER DIFFERENTIAL EQUATION If y (x) isa differentiable function , then an ordinary differential equation of order n can be written in the implicit form as a) _d'y F(x, ys psy) = 0 ( y) : ey ay ‘or example, x? 7y3~3 gx? dy x dty jay $axGe-2y-e% = 0 and Gyt-2ggity—cosx are third and fourth order differential equations respectively Remember that an nth order linear differential equation must explicitly contain y () term, but 2 XY Yj vce py") may or may not be explicitly present . dty dy F 4Y oyse ‘orexample, G43 gx t2¥ = 9 is a fourth order differential equation . Here yy’, and necessarily y™ appear explicitly , while x,y", andy" do not . 120 SOLUTION OF AN nTH ORDER DIFFERENTIAL EQUATION y(")) = 0 onan solution of an nth order ordinary differential equation F (x,y, y'. (1) 29 (x) interval 1 isa function y = (x) thathas y= 6'(x), y= go, a10. BASIC CONCEPTS OF DIFFERENTIAL EQUATIONS and has the property that F[x,6(x).8 (x), for all x in that interval 1. EXAMPLE (6): Show that y = xe?” isa solution of the differential equation dy dy dy : ax Saxtt gy -8y = 9 SOLUTION: The given equation is ay 4 2 Jp. = qa) a oqyrtagg sy = 0 Since y = xe?%, therefore d Z = 2xe**+e7* = (2x+1)e7* ay kyo eik a 2x Tet 7 2(AKH eM HIE = 4(xt1)e @ \ ‘ ms = 8(x+1)e?*+4e2* = 8xe?*+12e7* Substituting the values of y , and its derivatives in equation (1) , we get i j d Ix 2x Fy 6 Ths 12 ey = 8xe2*+12e?%—24 (x41 )e2*+12(2x+1)e2*—Bxe = (8x-24x+24x-8x)e?*+(12-24412)e7* =0 Since the differential equation (1) is satisfied , therefore the given function y is its solution . 1.21 INITIAL CONDITIONS FOR FIRST ORDER DIFFERENTIAL EQUATION Since the general solution ofa first order differential equation F(x, yy’) = 0 contains one “arbitrary constant , therefore it will represent an infinite number of solutions . However, for a physical problem it would not make sense to have an infinite number of solutions . To overcome this difficulty we Fequire an additional information which will assign a unique value to the arbitrary constant . We give this ~ information by specifying the value of y for one particular value x 9 of the independent variable say y(Xo) = A. This value is called an ini problem . condition and it will give a unique solution to the FOR SECOND ORDER DIFF ERENTIAL EQUATION The general solution of a second order differential equation F(x,y,y',y”) = 0 will contain {wo arbitrary constants , therefore we require two additional pieces of information to obtain a uniqu? solution’ ofthe problem .. We gi this’ information by specifying, values ofthe unknown :fincti@®ORDINARY DIFFERENTIAL EQUATIONS ee (i.e. dependent variable ) and its derivative (.slope of the curve ) at the same given vale xo of the independent variable in the interval considered . ‘Thus the conditions Y(%o) =A and y'(x9) = B where xo, A, and B are given constants , are called the initial conditions FOR nTH ORDER DIFFERENTIAL EQUATION ' The general solution of an nth order differential equation F(x,y,¥' () = 0 will contain n arbitrary constants , therefore we require n additional pieces of information to obtain a unique: solution of the problem . We give this information by specifying values of the unknown function (i.e. dependent variable ) and its derivatives upto order (n— 1 )- at the same given value xo of the independent variable in the interval considered . Thus the conditions (Ko) = Cry ¥ (0) = Cay ereee VM (0) = Co where X,C1,C2,.c..,and C, are given constants , are called the initial conditions . 1.22. FIRST ORDER INITIAL - VALUE PROBLEM = 0 together with an initial cond A first order differential equation F(x, y,y" y¥(xo) =A is called a first order initial — value problem . The initial condition is used to determine a unique value of C iin the general solution . For example yuxy; y(0)=1 and x(y')?+2xy'-y= 0; y(0)= are first order initial — value problem . 1.23 SECOND ORDER INITIAL - VALUE PROBLEM ‘A second order differential equation F(x, yy »") = 0 together with two initial conditions y(xo) =A and y'(%0) = B is called a second order initial — value problem . The initial condition are used to determine the unique values of the constants in the general solution For example ; y(o)=3, y(o=l , sees y'a4y'eay is a second order initial — value problemsi, G BASIC CONCEPTS OF DIFFERENTIAL EQUATIONS 1.24 nTH ORDER INITIAL - VALUE PROBLEM ‘ (ye se An nth order differential equation F(x, y,y'y.s-¥("?) = 0 together with n initial y" (xo) = Cn conditions ¥(xo9)=Cy, y'(x0) = C2, is called an nth order initial ~ value problem . ‘The initial condition are used to determine the unique values of the constants in the general solution. For example ytys2; y(oy=3, y(o)=1, y"(0)=0 yey" is a third order initial — value problem . 1.25 BOUNDARY CONDITIONS If the conditions are given at more than one value of the independent variable , the conditions are called the boundary conditions . Thus y(P:)=A and y(P2)=B where A and B are constants and P, and P2 refer to the end ( or boundary ) points P, and P2 ofan internal I on which the second order differential equation is considered , are the boundary conditions . 1.26 SECOND ORDER BOUNDARY - VALUE PROBLEM A second order differential equation F(x,y,y',y") = 0 together with the boundary conditions y(Pi)=A and y(P2)=B is called a second order boundary ~ value problem . s y¥(O)= 1, y(1)=1 is a second order boundary ~ value problem , because the two boundary conditions are given at two For example, y"+3y'+2y different values of the variable x . 1.27 LINEAR COMBINATION If y, (x) and y, (x) are any two functions and C, and C2 are any two constants , then an expression of the form Cyy,(x)+C2y, (x) is called a linear combination of the functions y,(x) and y,(x). ++>¥n(X) are any n functions and C,,C2,... Similarly , if y,(x),y,(x),.. any n constants , then an expression of the form Cry (x) + Crya(x) tit Can ¥n(X)- a is called a linear combination of the functions ¥,(X), 9,08),