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Higher Order ODE

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Higher Order ODE

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Md Rokibul Hassan
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— CHAPTER FOUR 4a Explicit Methods of Solving Higher-Order Linear Differential Equations ‘The subject of ordinary linear differential equations is one of great theoretical and practical importance. Theoretically, the subject is one of simplicity and elegance. Practically, linear differential equations originate in a variety of applications to science and engineering. Fortunately many of the linear differential equations that thus occur are of a special type, linear with constant coefficients, for which explicit methods of solution are available. The main purpose of this chapter is to study certain of these methods. First, however, we need to consider certain basic theorems that will be used throughout the chapter. These theorems are stated and illustrated in Section 4.1, but proofs are omitted in this introductory section. By far the most important caseis that of the second-order linear differential equation, and we shall explicitly consider and illustrate this case for cach important concept and result presented. In the final section of the chapter we return to this fundamental theory and present theorems and proofs in this important special case. Proofs in the general case are given in Chapter 11. BASIC THEORY OF LINEAR DIFFERENTIAL EQUATIONS ‘A. Definition and Basic Existence Theorem DEFINITION A linear ordinary differential equation of order 1 in the dependent variable y and the independent variable x is an equation that is in, or can be expressed in, the form ay ty a ante) For + 8110) 55 $a) + a(s)y =F), (4) where ag is not identically zero. We shall assume that do, d,,...,a, and F are continuous real functions on a real interval a < x < band that ag(x) # 0 for any xona Example 4.1 The equation is a linear ordinary differential equation of the second order. > Example 4.2 The equation @y dy 24 Be tte te jin x. is a linear ordinary differential equation of the third order. We now state the basic existence theorem for initial-value problems associated with and nth-order linear ordinary differential equation: THEOREM 4.1 Hypothesis 1. Consider the nth-order linear differential equation a ao) Fon + 10) Fat + + a1). + ageoy = FOO, (4 where dg,a,,..-,4, and F are continuous real functions on a real interval a < x Example 4.6 The student will readily verify that sin x and cos x are solutions of d?y ae t= ‘Theorem 4.2 states that the linear combination c, sin x + ¢2 cos x is also a solution for any constants ¢, and c;. For example, the particular linear combination Ssin x + 6 cos x is a solution P Example 4.7 The student may verify that e*, e~*, and e* are solutions of dy _ dy _dy de>? ae? dx * Theorem 4.2 states that the linear combination c, e* + ¢ e~* + cy €?* is also solution for any constants ¢,, 3, and cy. For example, the particular linear combination 2e* — 3e-* + Fe™™ is a solution. We now consider what constitutes the so-called general solution of (4.2). To understand this we first introduce the concepts of linear dependence and linear independence. DEFINITION The n functions fy, fss--.sf, are called linearly dependent on a < x Example 4.8 We observe that x and 2x are linearly dependent on the interval 0 < x < 1. For there exist constants c, and c, not both zero, such that eax + ex(2x) = 0 for all x on the interval 0 < x < 1. For example, let c, = 2,c2 = — D> example 4.9 We observe that sin x, 3sin x, and —sin x are linearly dependent on the interval —1< x <2. For there exist constants ¢ ,¢2,¢3, not all zero, such that cy sin x + €2(3 sin x) + es(—sin x) = 0 for all x on the interval —1 < x < 2. For example, let cy = 1,e2 = Ics = 4 DEFINITION The n functions f,, fz,--..f, are called linearly independent on the interval a < x < bif they are not linearly dependent there. That is, the functions fy, fo,..-.f, are linearly independent on a Example 4.10 We assert that x and x? are linearly independent on 0 < x < I, since c,x + ¢:x? = 0 for all x on 0 be a set of two linearly independent solutions. Then if f is any solution of (4.4), the theorem also assures us that f can be expressed as a linear combination c, f; + ¢ fz of the two linearly independent solutions f, and f, by proper choice of the constants c, and cz > Example 4.11 We have observed that sin x and cos x are solutions of ay 4 0 a7 Rete 7 for all x, — oc < x < co. Further, one can show that these two solutions are linearly independent. Now suppose f is any solution of (4.7). Then by Theorem 4.3 f can be expressed as a certain linear combination c, sin x +c cos x of the two linearly independent solutions sin x and cos x by proper choice of c, and c,. That is, there exist two particular constants ¢, and c2 such that f(x) = cy sin x + €2 cos x (48) DEFINITION Let fas fas+-sfy be n real functions each of which has an (n — 1)st derivative on a real interval a < x b. The determinant WS Sava) = in which primes denote derivatives, is called the Wronskian of these n functions. We observe that W( fy, f2»--+sfu) is itself a real function defined on a < x < b. Its value at x is denoted by W( fy. fay---fu)(%) or by WL fil), L200, -- Sa. THEOREM 4.4 The n solutions f,, fa..--Sy of the nth-order homogeneous linear differential equation (4.2) are linearly independent on a < x < b if and only if the Wronskian of fu.fas---sfy is different from zero for some x on the interval a < x Example 4.15 The solutions e*, e~*, and ¢?* of y_ dy oy _of¥ Dy yuo axe dx? dx 7 are linearly independent on every real interval, for 2% le* e* e 1 to Wle*,e*, 67%) lex —e-* 2e*|=e7* 11 —1 2 —be** #0 lew e* 4e* 1 14 for all real x. D. The Nonhomogeneous Equation We now return briefly to the nonhomogeneous equation: ay aty dy - 0X) Foe + 10) Gomee H+ na) FE + aC = FO). (4.1) The basic theorem dealing with this equation is the following. THEOREM 4.8 Hypothesis: (J) Let v be any solution of the given (nonhomogeneous) nth-order linear differential equation (4.1). (2) Let u be any solution of the corresponding homogeneous equation ay avty 0%) Tom + ay(x) de +a 1002 + aooy =o. (42) Conclusion. Then u + v is also a solution of the given (nonhomogeneous) equation (4.1). DEFINITION Consider the nth-order (nonhomogeneous) linear differential equation a a a(x) x + 0) Ee thay 109 + aor = Feo 41) and the corresponding homogeneous equation a’ da’ dy 90x) Fe +O) Fao He tw + OY (42) 1. The general solution of (4.2)is called the complementary function of Equation (4.1). We shall denote this by ¥.. 2. Any particular solution of (4.1) involving no arbitrary constants is called a particular integral of (4.1). We shall denote this by yp 3. The solution y. + yp of (4.1), where y. is the complementary function and y, is a particular integral of (4.1). is called the general solution of (4.1). Thus to find the general solution of (4.1), we need merely find: 1. The complementary function, that is, a “general” linear combination of 7 linearly independent solutions of the corresponding homogeneous equation (4.2); and 2. A particular integral, that is, any particular solution of (4.1) involving no arbitrary constants, 4.2. THE HOMOGENEOUS LINEAR EQUATION WITH CONSTANT COEFFICIENTS A. Introduction In this section we consider the special case of the nth-order homogeneous linear differential equation in which all of the coefficients are real constants. That is, we shall bbe concerned with the equation (423) where a,4,,..-44y~194 fe real constants, We shalll show that the general solution of this equation can be found explicitly Inan attempt to find solutions of a differential equation we would naturally inquire whether or not any familiar type of function might possibly have the properties that would enable it to be a solution, The differential equation (4.23) requires a function f having the property such that if it and its various derivatives are each multiplied by certain constants, the a, and the resulting products, a,/~, are then added, the result will equal zero for all values of x for which this result is defined, For this to be the case weneed a function such that its derivatives are constant multiples of itself. Do we know of functions f having this property that a Salle = 0) for all x? The answer is “yes,” for the exponential function f such that f(x) = e™*, where ‘mis a constant, is such that a fe= at e Thus we shall seek solutions of (4.23) of the form y = e"*, where the constant m will be chosen such that e"* does satisfy the equation. Assuming then that y = e"* isa solution for certain m, we have: PY _ tyme Gromen, gue Substituting in (4.23), we obtain dome" + aym"te™ + + ay yme™ + a,e™ = 0 or e™ (dom + ay"! +--+ ay pm + a,) = Since e™* # 0, we obtain the polynomial equation in the unknown m: gm" + aym""* 4+ + ay ym + a, = 0. (424) This equation is called the auxiliary equation or the characteristic equation of the given differential equation (423). If y = e™* is a solution of (423) then we see that the constant m must satisfy (4.24). Hence, to solve (4.23), we write the auxiliary equation (4.24) and solve it for m. Observe that (4.24) is formally obtained from (4.23) by merely replacing the kth derivative in (4.23) by m*(k =0,1,2,...,m). Three cases arise, according as the roots of (4.24) are real and distinct, real and repeated, or complex. B. Case 1. Distinct Real Roots Suppose the roots of (4.24) are the n distinct real numbers my.imz,..-5m, THEOREM 4.11 Consider the nth-order homogeneous linear differential equation (4.23) with constant coefficients. If the auxiliary equation (4.24) has the n distinct real roots m,,1mz5.+-, My. then the general solution of (4.23) is ya cye™™ + ce™™ + ore + cyemm, where ¢1,25..-5¢, are arbitrary constants. » Example 4.20 Consider the differential equation dy fy 3M 49 ae ax #7” ‘The auxiliary equation is m?—3m42 Hence (m= 1m—2)=0, my =1, my =2. ‘The roots are real and distinct. Thus e* and e?* are solutions and the general solution may be written y = ce" + c2e™, We verify that e* and e?* are indeed linearly independent. Their Wronskian is Wee*,e) = Thus by Theorem 4.4 we are assured of their linear independence. C. Case 2. Repeated Real Roots THEOREM 4.12 1. Consider the nth-order homogeneous linear differential equation (4.23) with constant coefficients. If the auxiliary equation (4.24) has the real root m occurring k times, then the part of the general solution of (4.23) corresponding to this k-fold repeated root is (cy + eax + eax? $00 + XE Hem, 2. If, further, the remaining roots of the auxiliary equation (4.24) are the distinct real uimbers ty. 15-+-51Mq, then the general solution of (4.23) is Y= (Cy# ax H eyX? Hoot eRE NOM + yy OME ee + Cem, 3. If, however, any of the remaining roots are also repeated, then the parts of the general solution of (4.23) corresponding to each of these other repeated roots are expressions similar to that corresponding to m in part 1. > Example 4.24 Find the general solution of dty dy dy dy So 5S 4 6X4 4D gyno at as FOE TT The auxiliary equation is mt — Sm? + 6m? + 4m — 8 =0, with roots 2,2,2, — I. The part of the general solution corresponding to the three-fold root 2 is Yi = (ey + cg + c3x7)0* and that corresponding to the simple root —1 is simply Jo = Cae Thus the general solution is y = y, + ya, that is, y= (cy + ca + Cyx2)e% + ce D. Case 3. Conjugate Complex Roots THEOREM 4.13 1. Consider the nth-order homogeneous linear differential equation (4.23) with constant coefficients. If the auxiliary equation (4.24) has the conjugate complex roots a + biand a — bi, neither repeated, then the corresponding part of the general solution of (4.23) may be written y = etc, sin bx + ¢, €08 bx). 2. If, however, a + bi and a — bi are each k-fold roots of the auxiliary equation (4.24), then the corresponding part of the general solution of (4.23) may be written y= eM [ley + ax + cgx? Ho + Gxt sin bx t (Cera + Cu2X + Cpe sx? $17 + Co—x*” "cos bx], We now give several examples. DP Example 4.25 Find the general solution of dy SF y=0. mete We have already used this equation to illustrate the theorems of Section 4.1. Let us now obtain its solution using Theorem 4.13. The auxiliary equation m? + 1 = 0 has the roots m= +i. These are the pure imaginary complex numbers a + bi, where a = 0, b = 1. The general solution is thus y = ec; sin 1+x +c c08 1°x), which is simply y =¢, sin x + ¢3 cos x. D> Example 4.27 ay dy dy Fen 4a + 14 — 202 + 25y = 0. The auxiliary equation is m* — 4m? + 14m? — 20m + 25 = 0. The solution of this equation presents some ingenuity and labor. Since our purpose in this example is not to display our mastery of the solution of algebraic equations but rather to illustrate the above principles of determining the general solution of dif ferential equations, we unblushingly list the roots without further apologies. They are 142, 1-2, 142, 1-21 Since each pair of conjugate complex roots is double, the general solution is, y= e%E(cy + caa)sin 2x + (cs + egx)eos 2x] or 1€* sin 2x + c,xe* sin 2x + cye* cos 2x + c4xe* cos 2x. Homog eneous Linear Equations with Constant Coefficients THE HOMOGENEOUS LINEAR EQUATION with constant coefficients has the form yp PX ee Pv ep oY ae an aw ° in which B40, Pr, Po » P, are constants. DISTINCT REAL, ROOTS. wy ne 5. solve ~ by =O Wo write the oquation ss (D?+D=6)y = (D~2(D+3)y The characteristic roots are 2, , and the primitive 1s y= Ge + Ge. ., 6 soe 2-42 Bo, Ne write the equation as (0-0? -12y = 0 or DiD=4)(D+ ay = 0. The characteristic roots are 0,4,-3, and the primitive is y= C+ Ge™ + Ge™. solve a Ne write the equation as (D?+ 2° -8D-6)y or (D-HD+ Orsiy = 0. The characteristic roots are 2,-1,~8, aml the primitive is y = Cye™ + Ge™ + Coe. REPEATED ROOTS. B sove Way? D-ny=0 or W-H*y~ The characteristic roots are 11,1, and the primitive is y Gate, 9. sorve Us as iP =m4D-3my = 0 oF D=2)D+2yDv ay Tho characteristic roots are 2, iz Gye + Gye + Cae + Case 3,8, Tho primitive is 10. sorve @'-p'- 9p? -11p-ay=0 or +H) -Hy = The characteristic roots are — sold. The primitive 18 y= T(t Cart Gyr?) + Cae™ ‘COMPLEX RooTS, ML. solve (0? + I0Vy The characteristic roots are 31, and the printtive is y+ e"(Cyeos de + Gysin By oF Gye" Sin(Gx 4 Cy) oF Cye*e0s(3e+ Code 12. soe (samy = 0 or DWsHy = 0, The charactoristic roots are 042i, and the primitive is y = Cy + Gcoe 2 + Cysin 2. 1. soe Gens 2%—D ay =o or O+m+3@%=Ds ny =o. The characteristic roots are -1sivE, $£4ivT, and the primitive is y= ENC yc08 Ex + Cysin Ex) + oP gees pI x + Gsingv32). 4)? + oy = 0. The characteristic roots are #2, +81, and the primitive is Me solve (D's 30" -36)y = 0 or y Ae 6 Be? 4 Gyoos ae + Cysin ae = Cycosh 2+ Gsinh 2x + Cycos $x + Gsin ae since cosh Oe = pe + 7) and sinh ae = Hee, 15. solve O*- 2 +5)", = E(Cye0s Be + Csi 20) + xe (Cye08 Be + Gysin 2) + EUG, + Cyaye08 24 + (Gye Gyxysin 2x}. 0, The characteristic roots are 142i, 142i, and the priaitive is SUPPLEMENTARY PROBLEMS solve. 16? +20 -1Hy=0 Ans = Ge + Gye 11. 0 sv? -2Dy=0 = Cy 4 ee + Gye Ws ede Hye0 y= GeO 6 Gae™ 39. (DY ~ 60° + 120" ~ ep)y = 0 YC Get a Cyne? Cyx2e™ MWR =a + IDy=0 7 = eC, cos 3x + G, sin 3x) Aw + 25yy y= Gy cos Bx + Cp sin Br 2 w-0%+90-9y=0 y= Ge" + Gy cos dx + Cy sin Sx 2 (sayy 0 YC. + Gx + Cy cos 2 + Gy sin Be m4. Ww - 6p +130? - 12D + Hy = 0 ye Cyt Gyxye™ + Gy + Canie™ 25. (D+ op" +240" + a6\y ° Cy 608 x + Cy Binz + (Co4 Cex)c08 2x + (Cyt Gyx)8in 2 s with Constant Coeffiei SHORT METHODS ear Equa A PARTICULAR INTEGRAL of a Linear differential equation F(D)y = @ with constant, confticionts is given by y= 52-@. For cortain forms of Q the Labor in- volved in evaluating this symbol may be considerably shortened, as follows. a) If Q is of the form e™, 1 x 1 ge = het Hm 40. F(D) Fla) ee y See Problems 2-3 when F(a) # 0, and Problems 4-5 when F(a) = b) If Q is of the form sin(ax+b) or cos(ax +b), 1 y =r Sin(ax +b) 5 Sin(ax +b), Fa?) 4 0, FO’) Fea’) eee erage eee eae eeaeeee eae F(D*) Fa’) See Problems 7-11 when F(a") # 0, and Problem 12 when F(a") ©) If Q is of the form x*, ee : ae ht (ay + Db aD eet aD AY, a £0, F(D) ‘ i j obtained by expanding = in ascending poxers of D and suppressing all terms Fo beyond D", since D"x* = 0 when nom. See Problems 13-15. d) If Q is of the form e™V(x), ¥ “* See Problems 17-20. e) If Q is of the form xV(x), y= chav See Problems 21-23, SOLVED PROBLEMS 2 Solve (D?-207-5D+6)y = e™ or (D=1D-3)Dr2)y= e*. The complementary function is y = Gye" + Gee™ + Goe™*, A particular integral is y > ————1 ___ i - 1 O-O-yO-m Hence, the primitive 1s y + Ge" + Ge + Gye A DCH2 8 ‘The primitive Is y= Cre" + Gee™ + Gye +S ~ 3€ ; . Solve (?~20"-5D+6)y = ‘The conplenentary function 1s y = Gye + Go + Ge, A particular integra) is y= P*, Now F(a)» F(3) ° 0, and the short 0-0-0) nethod does not apply, However, we aay write ——_t__ = 31 ye @-n0-d0 io D-3 AS He - we J ae ‘Te primitive is y = Cye* + Gee™ + Ge Solve (D?+ sy = sin 3x. ‘The complenentary function 1s y = Cycos 2c + Czsin 2x, and a particular solution 1s ee cer Oe = +4 Ihe prinitive $s y = Gyo08 2+ + Gasinx = Pinan, A Solve (0+ 10D" + 9)y = cosa +3). Tue complementary function 18 y = Ccos x + Cysins » Cycos de + Gsin dr, and a particu lar integral is é ‘ ye bt conte) = cas(2e +3) = ~ 4 costae +3). D+ "+ 9) HG) 7 ‘The primitive is y « Cycosx + Cysinx + Cycos 3x + Gysin 3x - 5 cos(2e + 3). Solve (0 +3D-4yy = sin 22. The complementary function is y = Cye* + Cye™*, and a particular integral 1s yor sine © — tan. DP eap~4 oom ‘The operator here is rot of the form —1_, and the short method does ot apply. However, Fo’) we my use either of the following procedures to shorten the work, aye : sind = —OD@=9 sin ae 2 1b (oP_apay sin 2x (D-1)(D+4) «~*~ 16) oi 1 1 = ea nin a - 6005 2-4 sin 2) =~ B(4 sin Oe + 3 cos Be wet 7 a > bye ab sina © 4 sine = —besin ae © 2228 ine 0 +aD-4 (-4) +3D-4 3D-8 ap? - 64 1 1 1 = = Deapes sine = -~ (600s +8 sin) = - 2 (4 sin 2+ 3 cos 20). (30 8) sina Fy (6 08 Be + 8 sin a a » The prinitive is y = Gre" + Gae™*- 24 sin 2 + 3 cos 2x). TL. Solve (0?-D+ Hy = sin 2x. ‘The conplenentary function is y = ¢* (Cyeos {73x + CysiniVEx), and s particular inte. eral ts ete sine © sine + -Lsinae © - 28 cine D-D+1 (4) -Ded Dea D-9 1 1 = Aep-sysinax + Lea cos 2-3 sin 20, Hc -3)sin 2 HO cos a ~ 8 sin 2 The primitive is y +e (Ccossv8x + GosinivSx) + Z(2 cos & ~ 9 sin 20). 1B. Solve (+a +dyy = x74 2e-1, ‘The conplenentary function is y + €! "(Coos sv x + Cesin iV x), and a particular ine teeral is. 1 25 - Ant Notes —pt ch 2p - Boh ee ) by direct division. 2D? -a+3 a oi Bayrlf iB The primitive is EM Geos v5 xs sins) P+ 2, B. . y “ orgs. B 1A, Solve (D? -2sayy = x +32? 5202 The conplenentary function is y = Gye" + "(Geos x + Gsinx), and 2 particular in tegral is 1 teae? 1 1 Bp yea cae? =a sat sen = = Apt - Botyat vse se02) Dea ’ 4 32 6 te .ip es de. The primitive ss y= dds det be peta G 5. Solve (D'=4" +3Diy = x. The coaplementary function is y + Cy + 16. Sorve (D's 20% ap? \y = 2?o 96" +4 sina, The complesentary function is y = Cy + Cex + Gye* + Gye, and a particular integral is yt ppt tote ea sin) Fo a-a gee geet as FO D> Fouw-9 FOvw-» : yb, tas ieee cher The primitive is y= Gye Ge ee TR Sorve (D*= ayy = x7e, ‘The conplenentary function is y= Cet + Cae ™, and a particular integral is eis coe sae are ae ee om Depes S04 Moh eee a? tins Bit is The primitive ts y + Ce™ + Ge + 19. Solve WP e2D+Hy =e sin Bx. The conplonentary function 1s y= &"(Cyeos YTx + Goin /Tx), anda particular integral ts sinte = sin Dey? s Ose DPeaDe7 L(G cos 2x = 3sin 22), c > re pintive y= etGc08 Ee + Gein Bx) = Ee coe te 8 stn 2, 22. solve (D?+3D+2)y = x sin2e. ‘The complonentary function is y + Cye"™ + Cge?*, and a particular integral 1s eee a aera eee Cae eae Sa Deapee Drape Ova +3) sectioning — —— 8 sta ball D's ep +13" + 120 +4 «« sind - —;——22*3__ cin ae, replacing D” by -4, D2 (ay? > 6-4) + 13-4) + 12D 4 Pome st or e rH(3cos 2x + sin 2e) | UM gin 2x + 7 cos 2 2 ‘The primitive is y = 2B. solve (D?-y = x” sin ax. “*, and a particular integral is The complenentary function is y= > xsinse ~ 2s singe oa 1 40°-4D sin oe = 204% <1 sinae - A082 ssnsey ° DY 2p" +1 O20 1? . : sy sin as = 2D ix o 3 singe) + oa on on > -dPsinse - 3 rcoste - 2 a sinsey + & sinae % rc 6 42 sinte ~ 3 rcosae + 2 singe, wo % 0 ee 2. 3 The primitive Is y = Ges Ge* - BEA' sings - 2x cosse. 7 0 B SUPPLEMENTARY PROBLEMS Pind @ particular integral. 26. (DP + D+ Ly = e+ Ge = Be + 5 mm Deny =e 28. (D - 2)°y w e* + xe (DY - ny = sin 30. (DP + 1)y = cos x BOP 5 ayy = sin de 32. (D? + Spy = cos Bx 3. De De dy eX ee 4 sine MO - ny =a? 35. DY? - ny = x? 86. (D+ ay eh a 4 eo + cos Ox 37. (P= 2D- ny Pa! 38. yy = xe 3D -afy= 40. D? + 5D + By = e°™ (see’sy ca + 2tan ey dns ys FG + 2 ees xe Fe dee 1 = kein ae yews 1 + Leos x = sin x ye ke ) 1 Aa qsing + cos x xe >

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