Applied Mathematics III

Chapter2: Second order linear ordinary differential equations

Introduction
The simple harmonic motion, oscillations of mass spring system, RLC-circuit, oscillations of a
simple pendulum are all described by non homogeneous (or homogeneous) linear second-order
differential equations. In this chapter, we consider methods of obtaining solutions of
homogeneous and non homogeneous differential equations of second-order. Method of obtaining
solution of system of simultaneous linear differential equations is presented.
2. Higher order Linear Differential Equation

2.1 Preliminary Concept

A second-order differential equation is an equation that contains a second derivative, but n

higher derivative. Most generally, it has the form

Although only a term involving y" need appear explicitly. For example,

, and are second order differential equation.

A solution of F(x, y, y', y") = 0 on an interval I (perhaps the whole real line) is a function n go
that satisfies the differential equation at each point of I

For example, y = 6 cos (4x) - 17 sin (4x) is a solution of

for all real x . And y = x 3 cos (ln(x)) is a solution o f

for x>0.These can be checked by substitution into the differential equation .

The linear second-order differential equation has the form

In which R, P, Q, and S are continuous in some interval. On any interval where R(x) 0, we can
divide this equation by and obtain the special linear equation

2.1.2 Boundary value problem

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2.2. Theory of solutions of linear equation

To get some feeling for what we are dealing with, and what we should be looking for, consider
the simple linear second-order equation

We can write this as y" =12x and integrate to obtain

Integrate again, we get

This solution is defined for all x, and contains two arbitrary constants. If we recall that the
general solution of a first order equation contained one arbitrary constant, it seems natural
that the solution of a second-order equation, involving two integrations, should contain two
arbitrary constants.

For any choices of C and K, we can graph the integral curves

y=2x3 +Cx+K as curve s in the plane .

3.2.1 Linear dependence and linear independence, the Wronskian

Definition (Linear dependence and independence)

Two functions f and g are linearly dependent on an open interval I if, for some constant c, either

If f and g are not linearly dependent on I, then they are said to be linearly independent on the
interval

Example : y1 (x) = cos(x) and y2 (x) = sin(x) are solutions of y" + y = 0, over the real line. Neither
of these functions is a constant multiple of the other.

Theorem (Wronskian test)

Let y1 and Y2 be solutions of on an open interval I . Then ,

1. Either W(x) = 0 for all x in I, or for all x in I .

2. y1 and Y2 are linearly independent on I if and only if on I.

Conclusion (1) means that the Wronskian of two solutions cannot be nonzero at some points of
I and zero at others. Either the Wronskian vanishes over the entire interval, or it is nonzero at
every point of the interval. Conclusion (2) states that non vanishing of the Wronskian is

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equivalent to linear independence of the solutions. Putting both conclusions together, i t is

therefore enough to test W(x) at just one point of I to determine linear dependence or
Independence of these solutions

. This gives us great latitude to choose a point at which the Wronskian is easy to evaluate.

Example

we considered the solutions y l (x) = cos(x) and y2 (x) = sin(x) of y" + y = 0 ,for all x . In this case,
linear independence was obvious. The Wronskian of these solutions i s

It is not always obvious whether two solutions are linearly independent or dependent on an

interval . Consider the equation y" + xy = 0 . This equation appears simple but is not easy t o

solve . By a power series method we will develop later, we can write two solutions

2.2.2 Homogeneous linear equations of the second order

Definition 1: A linear second-order DE of the form

(1)
is said to be homogeneous, whereas an equation
(2)
with , is said to be non nhomogeneous.

Exa-1: The DE is a homogeneous linear second-order, whereas the DE

is a nonhomogeneous linear second-order.

Note:
 The word homogeneous in this context does not refer to coefficients that are
homogeneous functions.
 Eq. (1) is also known as the associated homogeneous DE of eq. (2).
 Throughout we assume for eq. (1), on some common interval I, the coefficient functions
and are continuous, and for every in I.

2.2.3. Superposition Principles

Consider the equation (3.2.3)

Suppose that is a solution of

We claim that is solution of

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This means that we can solve each equation individually,

and the sum of these solutions is a solution of equation (3.2.3) . This is called the principle of
superposition, and it sometimes enables us to solve a problem by breaking it into a sum o f
"smaller" problems that are easier to handle individually.

2.2.4 Linearity independent solution and existence of fundamental solution set of solutions for
homogeneous equation

Theorem

Let and be linearly independent solutions of on an open

interval I. Then, every solution of this differential equation on I is a linear combination of
and .

This fundamental theorem provides a strategy for finding all solutions of

on I . Find two linearly independent solutions. Depending on p
and q, this may be difficult, but at least we have a specific goal. If necessary, use the Wronskian
to test for independence. The general linear combination where and arbitrary
constants, then contains all possible solutions.

We will prove the theorem following introduction of some standard terminology.

DEFINITION 2.2

Let and be solutions of on an open interval I .

1. and form a fundamental set of solutions on I if Let and are linearly independent on
I.

2. When and form a fundamental set of solutions, we call , with

And arbitrary constants, the general solution of the differential equation on I .

2.2 .5 Particular and general solution on non homogeneous equation

The remainder of this chapter is devoted to techniques for carrying out the strategies jus t

developed. For the general solution of the homogeneous equation (1) we must produce a
fundamental set of solutions . And for the non-homogeneous equation (2 ) we need to find one

particular solution, together with a fundamental set of solutions of the associated

homogeneous equation (2 .2)

The general solution of the linear homogeneous equation

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y" + p(x)y' + q(x)y = 0, then the general solution of the linear non homogeneous equation

y" +p(x)y' + q(x)y = f(x) (2.9)

is y = in which is any solution of equation (2 .9) .

This section is devoted to two methods for finding such a particular solution

Homogeneous second-order equations with constant coefficients

In practice, equations of the form Eq. (1), where the coefficients are the functions of with no
restrictions placed on their nature, do not usually have solutions expressible in terms of
elementary functions; and even when they do, it is very difficult to find them. However, if each
coefficients in Eq. (1) is constant, then the differential Eq. (1) is called a linear equation with
constant coefficients, and the solution in terms of elementary functions can easily be obtained.
Moreover, the linear equations with constant coefficients are of great practical importance as
well as of theoretical interest.
In this section, we shall solve the differential equation
(3)
where and are all constants and .
Suppose that a possible solution of Eq. (3) is
(4)
Since , Eq. (3) takes the form
(5)
As for all and , we can divide Eq. (5) by it to get
(6)
Now, each value of for which Eq. (6) holds will make a solution of Eq. (3). But
Eq.(6) is an algebraic equation in of degree 2 and, therefore, by the fundamental theorem of
algebra, it has at least one and not more than 2 distinct roots. We denote these roots by ,
where ’s need not all be distinct; then each function is a solution of Eq.(3).
Eq. (6) is called the auxiliary equation (A.E) of Eq. (3) and can easily be obtained from this
equation by simply replacing with and with .

While solving the auxiliary equation, the following three cases may occur:
1. All the roots are distinct and real
2. All the roots are real and repeating
3. All the roots are imaginary.

We shall discuss all these three possibilities separately.

Case-I: If the roots of A.E (6) are distinct, then two solutions of Eq. (3) are
. But these 2 solutions are different and linearly independent and thus, the general
solution of Eq. (3) is
(7)
Here, is known as the complementary function.

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Case-II: If the auxiliary equation Eq. (6) has a root , which repeats 2 times, then the
general solution of Eq. (3) is
(8)
Case-III: If the constant coefficients in Eq. (6) are real, then any imaginary root it may have
must occur in conjugate pairs. Thus, if is one root, then must be another root. If
are the two imaginary roots of an auxiliary equation of a second order linear differential
equation Eq. (3), then the solution is
(9)
But . Substitute these in the above equation Eq.
(9) and simplify to get
, (10)
Where are the new constants.

Exa-1: Solve the following DEs

a)
b)
c)
d)
e)
Solution: (a) The A.E is which gives , and hence the solution is

(b) The A.E is .

Solving, we get
or (double root).
Thus, the solution is

(c) The A.E is has a pair of roots . The solution is

In a similar manner, do the remaining problems.

2.3 A method of solving Non-homogeneous linear equations

To solve a non-homogeneous linear differential equation Eq. (2) where the coefficients ’s are
all constants, we must do the following things:
 Find the complementary function of the associated homogeneous DE,
 Find any particular solution of the non-homogeneous DE, and
 The general solution of the non-homogeneous DE Eq. (2) where the coefficients ’s are
all constants is

2.3.1 Reduction of Order

Given we want two independent solutions. Reduction of order is a

technique for finding a second solution, if we can somehow produce a first solution.

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Suppose we know a solution which is not identically zero. We will look for a second solution
of the form =u . Compute

In order for y2 to be a solution we need

=0

Rearrange terms to write this equation as

The coefficient of u is zero because is a solution. Thus we need to choose u so that

On any interval in which (x) 0, we can write u

To help focus on the problem of determining u, denot e

g(x)= a known function because and p(x) are known . Then

. Let v = u' to get v' +g(x)v = 0 .

This is a linear first-order differential equation for v, with general solution n

If we take c=1, bthen

Example Suppose we are given that is one solution . Solution, let

y2 try in the class.

2.3.2 Constructing a second solution from a known solution

3.3.3. The method of undetermined coefficients

2. 3.2. Finding unknown solution using known solutions

In most of the cases, the solution of Eq. (2) will not be expressible in terms of elementary
functions. When the coefficients are constants, the methods for finding the solutions of Eqs. (2)

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and (1) are known. Here we shall give a method for solving Eqs. (2) and (1) when the
coefficients are not constant.

Suppose that a nontrivial solution ( ) of Eq. (1) is known. The method by means of which
we can obtain a second independent solution of Eq. (1), as well as a particular integral of Eq. (2)
is called the reduction of order method.

Let be a second solution of Eq. (1) and have the form

(11)
Where is a function of to be determined. Differentiating Eq. (11) twice, we get
(12)
Putting the values of in Eq. (1) and simplifying, we obtain
(13)
As is a solution of Eq. (1), the quantity in the first bracket of Eq. (13) is zero, and Eq. (13)
thus reduces to
(14)
Multiplying Eq. (14) by , we have

Integrating yields

or or
Substituting this value of in Eq. (11), we get

(15)

Exa-2: Solve . Given is a solution.

Solution: Here . Then

Thus, from Eq. (15), we have

Therefore, the required solution is

Exa-3: Given that is a solution of . Find the general solution of

.
Solution: Given . Thus
(16)
Differentiating it twice, we get

Substituting the values of in the given differential equation and simplifying, we obtain

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Which is a linear equation and has the solution

Put this value of in Eq. (16) to obtain

Which is equivalent to

as the required solution.

2.3.2 Variation of parameters

For the sake of convenience, we consider a second-order linear differential equation with
constant coefficients
(17)
where is a continuous function of and is nonzero.
The related homogeneous equation is
(18)
Now, find the two linearly independent solutions and of Eq.(18), and form
(19)
Where and are functions of which are to be determined.
Differentiating Eq. (19) twice, we get
(20)
(21)
From Eqs. (19)-(21), we see that is a solution of Eq. (17) if

(22)
As and are the solutions of Eq. (18), the quantities in the first two parentheses of Eq. (22)
are equal to zero. The remaining terms will be equal to if we choose and such that
(say) (23)
Solving Eq. (23), we get

(24)

Integrating Eqs. (24), we can find and . Substituting these values in Eq. (19), we get a
particular solution of Eq. (17).

Exa-4: Solve the following DEs

a)
b)
c)
Solution: (a) the related homogeneous DE is

From the A.E , we have the complementary function is

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Here we have . Then from Eq. (24), we have that

It follows that and

.
Hence, .
Therefore, the general solution of the given DE is

In a similar manner, do the remaining problems.

2.3.3 Operator (D) method

The general solution of a non-homogeneous linear second-order differential equation

where , and the coefficients are constants, is

where, and are, respectively, known as the complementary function (C.F) and particular
integral (P.I) or particular solution. It was seen in the earlier section that when , the
general solution is , and we had also discussed the method of finding the complementary
function. It only remains to find the particular integral. We shall be concerned here mainly with
the cases where consists of such terms as and a finite combinations
of such terms, where and are constants and is a positive integer.

Before going into the details of the procedures of finding the P.I of a given differential equation,
we shall give some definitions about the polynomial and differential operators and their related
properties (without proof).

Definition-1: A mathematical device by means of which we can convert one function into
another is known as an operator. For example, the operation of differentiation is an operator as
it converts a differentiable function into a new function . The letter D, which we shall
use to denote the differentiation, is called the differential operator. Hence, if is an nth order
differentiable function, then
(1)

Definition-2: If is a polynomial operator of order defined by

(2)
and is an nth order differentiable function, then
(3)

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From Eq. (1), we have

(4)
Using this equation, the linear nonhomogeneous differential equation of order 2 with constant
coefficients can be written as
(5)

Property-1: If is a polynomial operator and are two nth order differentiable

functions, then
(6)
Where and are constants.

Note: An operator which satisfies Eq. (6) is called a linear operator.

Property-2: The sum of the two polynomial operators and is defined as

Property-3: the product of a function by a polynomial operator is defined by

Property-4: The product of two polynomial operators and is defined as

Property-5: The polynomial operator also satisfies the associative and distributive laws for
multiplication.

Property-6: If is defined by Eq. (2), then

(7)
where are the real or imaginary roots of A.E of . That is to say, a
polynomial operator with constant coefficients can be factored just as if it were an ordinary
polynomial.

Note: If is a polynomial operator given by Eq. (2), then

where and may be composite factors of .

Property-7: The polynomial operator satisfies the commutative law for multiplication, viz.,

Definition-3: If is a polynomial defined by Eq. (2), then

where is a constant.

Property-8: (Exponential shift property) If is a polynomial defined by Eq. (2) and is

an nth order differentiable function of , then
(8)
where is a constant.

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Note: 1) (9)
2) If is a constant, then
(10)

Definition-4: (Inverse operation) Let , where is the polynomial operator

defined in Eq. (2) and is the function consisting only of such terms as
and a finite combinations of such terms, where and are constants and is a positive integer.
The inverse operator of , written as or , is then defined as an operator which,
when operating on , will give the particular integral of that contains no
constant multiples of a term in C.F., i.e.
or
Note: 1) from the above definition, we conclude that will mean the integration of
times by ignoring constants of integration.
2) Also, if , then
, or

Property-9:

In practice, we have special methods for finding the P.I. As already mentioned, the function
of may contain only such terms as and a finite
combinations of these terms, where and are constants and is a positive integer. We shall
now consider each of them.
I. When and
Here, becomes . Then

One should not go beyond the term as . After differentiating the above
equation, we get

Similarly, if (11)
then
P.I.= (12)
Where is the series expansion of obtained by
ordinary division.
If , then Eq. (11) becomes and from Eq. (12), we have
(13)

Exa-1: Solve .
Solution: The A.E. is and the roots are -1 and 3.
Thus C.F.= . Also with and b=5. Hence

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Therefore, the complete solution is

Exa-2: solve .
Solution: The A.E. is which gives . Thus C.F.= . Also

Therefore, the required solution is

II. When and

In this case, , and is a factor of . Therefore, by property-6, we can write
, where . If both and , then is a factor of
so that can be written as .
In general, if is a factor of , then .
Thus, by definition,

III. When
In this case, becomes . The particular integral here is
(14)
Note that in is same as in . The case when will be discussed
later.

Exa-3: Solve .
Solution: The A.E. is , and the roots are . Thus

Now

The required solution is

IV. When
We know that
(15)
Consequently, P.I. can be obtained from Eq. (14) by using Eq. (15).
Alternatively, if , then
(16)

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(17)
Note: If , then put for , for , for and so on, in
to calculate .
The above method fails when and in such a case, we proceed as follows:
From Eq. (15), we have

Now

Equating the real and imaginary parts, we have

(18)
(19)

Exa-4: Solve .
Solution: The A.E. has the roots 1, 2. Thus
Now, using Eq. (15), the imaginary part of a particular integral of
(20)
Will be a solution of the given DE. Hence, and by Eq. (14), with , and
, we have

The imaginary part of this equation is

Which is the required particular integral. Therefore, the complete solution of the given
differential equation is

Exa-5: Solve
Solution: The A.E. gives . Thus C.F.=
And

Hence, the required solution is

V. When , where is a function of

In this case,

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Exa-6: Solve
Solution: Here

And

Therefore, the required solution is

VI. When and

In this case, is a factor of . Suppose that is a factor of and
hence, we can write , and then
(21)

Exa-7: Solve .
Solution: Here

And

The required solution is, therefore

VII. When , where V is any function of x

Here
(22)

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