Ordinary Differential Equations

Dr. Miuran Dencil Jayaweera

25. April 2023

1 Ordinary Differential Equations

1.1 Basic Concepts
Definition 1.1 (Differential Equation) Equations which are composed of an unknown function and its
derivatives are called differential equations.
Differential equations are categorized into two main classes.
Definition 1.2 (ODE and PDE) When a differential equation involves one independent variable,and
one or more dependent variables, the equation is called an ordinary differential equation(ODE) in
other words, it contains only ordinary derivatives.

Partial differential equation(PDE) involves two or more independent variables, and one or more de-
pendent variables.In other words it contains partial derivatives. For example,
Example 1.1
dy
= cos(x), (1)
dx
d2 y
+ 8y = e−2x , (2)
dx2
2
dy d3 y dy
− 4 = 2, (3)
dx dx3 dx
are ordinary differential equations.

∂u ∂u
+ =0 (4)
∂x ∂y
∂u ∂2u
= 2 (5)
∂t ∂ x
are partial differential equations.
PDE’s have important engineering applications, and are more complicated than ODE’s.

There are two types of ordinary differential equations.

Definition 1.3 (Linear and Nonlinear ) • A linear differential equation is a differential equa-
tion that is defined by a linear polynomial in the unknown function (dependant variable) and its
derivatives, that is an equation of the form

P0 (x)y + P1 (x)y 0 + P2 (x)y 00 + ... + Pn (x)y (n) + Q(x) = 0. (6)

Where, P0 (x), ..., Pn (x), and Q(x) are either zero, constant or depends only on x, not on y. They are
differentiable functions that do not need to be linear. y 0 , ...y (n) are the successive derivatives of the
unknown function y of the independent variable x.
• Nonlinear differential equations are any equations that cannot be written in the above form. In
particular, these include all equations that include y, y 0 , y 00 , etc., raised to any power such as y 2 , y 03 ,
nonlinear functions of y or any derivative to any order (such as sin(y) or ety ) or any product or
function of these.

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Example 1.1 Determine whether linear or nonlinear
2
dy
a. dx + y = cos x

d5 y
b. dx5 + (cos2 x)y = tan3 x
c. y 00 + y 3 = cos(x)

Definition 1.4 The order of a differential equation is determine by the highest order derivative which
occurs in it after the equation has been rationalized, i.e., made free from radicals and fractions so far as
derivatives are concerned. (polynomial form) The degree of a differential equation is determined by the
exponent of the highest derivative in it.

Example 1.2 Find the order and degree

2
dy
a. dx + 2y = cos x

∂2u
b. ∂x2 + u2 = sin x
c. y 000 − 3xy 3 = cos(x)

Here in this module we mainly discuss first and second order differential equations and their solutions.

Definition 1.5 (Standard Form) A differential equation is said to be in standard form if we can solve
dy
for dx , i.e,
dy
= f (x, y)
dx
We will often write a given equation in standard form so that we can identify the form of the function
f (x, y).

Definition 1.6 (Solution, ODE) A function y(x) = φ(x) is called a solution of y 0 = f (x, y), if it satis-
fies,
φ0 (x) = f (x, φ(x)).
To verify that a function y = f (x) is a solution of the ODE, we substitute the function into both sides of
the differential equation.

Example 1.3 A solution of

dy
= x2
dx
is
x3
y=
3
we use the expression " a solution" rather than "the solution" because solutions are not unique. For example

x3
y= +1
3
is also a solution of y 0 = x2 . We say the solution is not unique.

If we integrate both sides of y 0 = x2 , Z Z

dy = x2 dx

x3
y= + C.
3
where C is any arbitrary constant.
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The solution y = x3 + C with the arbitrary constant is called the general solution of the differential equation.
A constant like C that is allowed to take on multiple values in an equation sometimes called a parameter.
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Sometimes we will say y = x3 + C represents the one-parameter family of solutions, integral curves or
solution curves of the differential equation, with parameter C.

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Definition 1.7 (Initial Value Problem (IVP)) An initial value problem is given by

dy
= f (x, y)
dx
y(x0 ) = y0

where (x0 , y0 ) be a point in the domain of f (x, y). Equation (28) is called an initial condition for the initial
value problem.

Definition 1.8 (Solution, IVP) The function y(x) is called a solution of the initial value problem

dy
= f (x, y) (7)
dx
y(x0 ) = y0 (8)

if y(x) satisfies both the ODE and the Initial Condition (IC).

Example 1.2 The following is an initial value problem

dy
= 3xy (9)
dx
y(0) = 2 (10)

Theorem 1.1 (Picard’s Existence and Uniqueness Theorem) Consider the Initial Value Problem

dy
= f (x, y) (11)
dx
y(x0 ) = y0 . (12)

Suppose f (x, y) and ∂f 2

∂y are continuous function in some open neighbourhood D ∈ R which contains the
point (x0 , y0 ). Then the IVP has a unique solution in some closed interval which contains x0 .

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2 Solving First Order Ordinary differential Equations
2.1 Separable Equations
An ODE is said to be separable if the parts that depends on x and y can be separated into different sides of
the equation. This makes it possible to integrate both side separately.

An equation is separable if it can be written as

dy
= f (x)g(y), (13)
dx
for some function f (x) only depends on x but not on y, and some function g(y) only depends on y and not on
x. If we multiply through by dx and divide by g(y) the equation becomes,
dy
= f (x)dx. (14)
g(y)
so we may integrate Z Z
dy
= f (x)dx. (15)
g(y)
Example 2.1 Solve following differential equations
dy
a. x2 dx = 3y + 2

b. dy
dx = cot(x)
c. xdy + ydx = 0
d. (1 + x2 )ydy = (1 + y 2 )dx
Example 2.2 Solve
dy ex
= , x 6= 0
dx x
Answer: Z t
e
y(x) = dt + C
t
Definition 2.1 For real non-zero values of x, the exponential integral Ei(x) is defined as
Z ∞ −t
e
Ei(x) = − dt
−x t

Example 2.1 Find and illustrate the one-parameter family of solutions for the ODE
dy x
=−
dx y

2.2 Homogeneous Equation

Definition 2.2 Suppose
dy
= f (x, y),
dx
f (x, y) is said to be homogeneous if
f (λx, λy) = f (x, y)
for every non-zero real value λ

Method of solving
• Determine whether the equation homogeneous or not

• Use substitution y = vx and dy

dx = v + x dx
dv
in the original differential equation
• Separate the variable x and v
• integrate both sides
• Use initial condition(if given) to find constant values.

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Example 2.2 Solve
x2 +y 2
a. dy
dx = x2 ; y(1) =1
b. (x2 + y 2 )dy = 2xydx
c. (x3 + 2xy 2 )dy = y 3 dx

3 Reduction to homogeneous Type

The equation of the form
dy ax + by + c
= ,
dx Ax + By + C
can be reduced to a homogeneous form by changing the variables x, y to X, Y related by the equations, x =
X + h, y = Y + k, where h, k are the constants to be chosen so as to make the given equation homogeneous.
The given equation becomes,
dY aX + bY + (ah + bk + c)
=
dX AX + BY + (Ah + Bk + C)
Now, let’s select h and k such that ah + bk + c = 0, Ah + Bk + C = 0 Then
dY aX + bY
=
dX AX + BY
Now applying the previous method to find the solution.
Example 3.1 Solve
a. dy
dx = 2x−3y+1
2x+2y+6

b. dy
dx = x+2y+3
2x+3y+6

4 Linear Equations
Definition 4.1 (Linear Equation) A first order differential equation of the standard form,
dy
+ P (x)y = Q(x), (16)
dx
is said to be a linear equation in the dependant variable y.

If Q(x) = 0 then equation (16) called homogeneous linear differential equation, and if Q(x) 6= 0 equation
(16) called nonhomogeneous linear differential equation

Method of solving
1. Put a linear equation in to the standard form (16)
R
P (x)dx
2. Identify P (x) and then find the integrating factor: e .
3. Multiply both sides of the standard form of the equation by integrating factor. The left hand side of
the resulting equation is automatically the derivative of the integrating factor and y, i.e.
R
P (x)dx
d ye R
P (x)dx
=e Q(x).
dx

4. Integrate both sides of the resulting equation.

Example 4.1 Solve

dy
a. x dx − 3y = x6 ex

b. (x2 − 4) dx
dy
+ xy = 0

c. dy
dx + y = x, y(0) = 4

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5 Bernoulli Equation
The differential equation
dy
+ P (x)y = f (x)y n , (17)
dx
where n is any real number, is called Bernoulli’s equation.

When n = 0 and n = 1, this equation [17] is linear. For n 6= 0, 1, we use the substitution v = y 1−n to reduces
any equation of the form [17] to a linear equation.

Example 5.1 Solve

1. y 0 + xy = xy 2
2. dy
dx + ln(x)y = x2 y 3

3. dy
dx − x3 y = x4 y 1/3

4. y 00 + xy = y −2

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6 Second Order Linear Differential Equations
6.1 Linear Differential Equations
The general linear ODE of order n is defined by,

dn y dn−1 y
+ p 1 (x) + ... + pn (x)y = q(x) (18)
dxn dxn−1
• If q(x) = 0, this equation is called homogeneous equation or reduced equation of [18].
• If q(x) 6= 0, this equation is called Nonhomogeneous.

The general solution to the associated homogeneous equation is called the complementary function/solution
or fundamental solution, and it has the form

yc = c1 y1 + ... + cn yn ,

where c0i s are constants, and yi0 s are, ith solutions of homogeneous equation, which are linearly independent (
i.e. c1 y1 + ... + cn yn = 0 => ∀c0i s = 0)

Once finding n independent solutions from the associated homogeneous equation the general solution to the
original ODE [18] can be expressed as,

y = yp + yc ,
where yp is called a particular solution to [18].

6.2 Linear differential operators with constant coefficients

From now on, we will consider only the case where eq( 18) has constant coefficients. This type of ODE’s can be
written as,
dn y dn−1 y
+ a1 + ... + an (x)y = q(x) (19)
dxn dxn−1
Using the differentiation operator
di
Di := i ; i = 1, 2, ...n.
dx
We can write (19) in the form
(Dn + a1 Dn−1 + ... + an )y = q(x).
Now let, P (D) = Dn + a1 Dn−1 + ... + an .
Then,
P (D)y = q(x).
We call P (D) a polynomial differential operator with constant coefficients.

6.3 Homogeneous Linear Differential Equations of Second Order

Standard form:
d2 y dy
2
+a + by = 0,
dx dx
where a and b are constants. Consider the function

y = emx ,
d2 y
then dy
dx = memx and dx2 = m2 emx . Substituting values to equation,

m2 emx + amemx + bemx = 0. (20)

e mx
(m + am + b) = 0 as e
2 mx
6= 0, (21)
m + am + b = 0
2
(22)

This eq n (22) is called Auxiliary equation or Characteristic equation. Now, the general solution of ODE is de-
pends on the nature of the two roots of Characteristic equation.

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Case I: Two distinct real roots:
If the roots are m1 and m2 , the general solution of the ODE is given by

y = Aem1 x + Bem2 x ,

where A and B are constants.

Case II: Two roots are equal:

In the case of repeated double roots, emx and xemx are linearly independent, so general solution of the ODE is
given by
y = (Ax + B)emx .
Case III: If the two roots are complex conjugate roots:
e(p+iq)x and e(p−iq))x are solution of the differential equation. Then the general solution is given by,

y = Ae(p+iq)x + Be(p−iq)x (23)

= e (Ae
px iqx
+ Be −iqx
) (24)
= e (A(cos qx + i sin qx) + B(cos qx − i sin qx))
px
(25)
= e (C cos qx + D sin qx)
px
(26)

Example 6.1 Find the general solution

a. y 00 − y 0 − 12y = 0
b. y 00 − 4y = 0

c. 2y 00 − 5y − 3y = 0

6.4 Nonhomogeneous Linear Differential Equations of Second Order

Theorem 6.1 The general solution of the second order non homogeneous linear equation

y 00 + p1 (x)y 0 + p2 (x)y = f (x) (27)

can be expressed in the form

y = yc + yp
where yp is any specific function that satisfies the non homogeneous equation, and yc = c1 y1 + c2 y2 is a general
solution of the corresponding homogeneous equation

y 00 + p1 (x)y 0 + p2 (x)y = 0.

The term yc = C1 y1 + C2 y2 is called the complementary solution (or the homogeneous solution) of the non
homogeneous equation. The term yp is called the particular solution (or the non homogeneous solution) of the
same equation.

Method of undetermined Coefficients

We find yp (x) by substitution, and this substitution depends on the nature of f (x).
• If f (x) = k is a constant, we try to find a particular solution of the form yp = c where c is a (possibly)
different constant.
• If f (x) = kx, we try yp = ax + b where a and b are constants.
• If f (x) = kx2 , we try yp = ax2 + bx + c where a, b and c are constants. And so on. . .
• If f (x) = ksinx or kcosx, we try yp = asinx + bcosx.

• If f (x) = ekx we try yp = cekx . This works only if k is not a root of the auxiliary equation

Example 6.2 Solve the ODE,

y 00 + 5y 0 + 6y = 9e−2x .

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Problem Solving: Method of undetermined coefficient

• Solve the complementary equation and write down the general solution.
• Based on the form of f (x) , make an initial guess for yp (x) .
• Check whether any term in the guess for yp (x) is a solution to the complementary equation. If so, multiply
the guess by x. Repeat this step until there are no terms in yp (x) that solve the complementary equation.
• Substitute yp (x) into the differential equation and equate like terms to find values for the unknown
coefficients in yp (x).
• Add the general solution to the complementary equation and the particular solution you just found to
obtain the general solution to the nonhomogeneous equation.

Example 6.3 Solve the ODE’s,

a. y 00 + 2y 0 + y = 5e−x
b. y 00 − y 0 = 5t

Example 6.4 Find the solution,

a. y 00 − y 0 − 2y = 4x2
b. y 00 − 2y 0 − 3y = e2x
c. y 00 − 2y 0 − 3y = 2x2 + 4x − 7
d. y 00 − 2y 0 − 3y = −2 cos(2x)
e. y 00 − 2y 0 − 3y = 5x2 + 3x − 16 + 9e2x − sin x

7 Wronskian
Consider differential equation
y 00 + P y 0 + Qy = 0 (28)
where P, Q are functions of x alone.
Definition 7.1 Two solutions u(x), v(x) of differential equation said to be linearly dependent, if there exist
constants c1 and c2 , not both zero, such that

c1 u(x) + c2 v(x) = 0

otherwise, i.e. c1 = c2 = 0, the solution is independent.

Definition 7.2 The Wronskian of two solutions u(x), v(x) of differential equation, is defined to be the deter-
minant,

u(x) v(x)
w(x) = 0 = u(x)v 0 (x) − v(x)u0 (x)
u (x) v 0 (x)

Theorem 7.1 The Wronskian of two solutions of the differential equation (28) is identically zero or never zero.

Again let u and v are solutions of the second order linear differential equation

y 00 + P (x)y 0 + Q(x)y = 0.

Then R R
− P (x)dx − P (x)dx
W (u, v) = ce = W (u, v)(x0 )e .

Theorem 7.2 The solutions of differential equation (28) are linearly dependent if and only if their Wronskian
vanish identically.

Example 7.1 a. Show that u = sin 3x and v = cos 3x linear independent solutions

y 00 + 9y = 0

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b. Prove that sin 2x and cos 2x are solutions of

y 00 + 4y = 0

and they are linearly independent.

c. Show that e2x and e3x are linearly independent solutions of

y 00 − 5y 0 + 6y = 0.

Find the solution y(x) with the property that y(0) = 0 and y 0 (0) = 1.

7.1 Variation of Parameters

By our work above, to find the general solution of (27) we needed to find:
• a linearly independent pair of solutions y1 , y2 of the homogeneous equation, and
• a particular solution yp
The method of variation of parameters uses a pair of linearly independent solutions of the homogeneous equation
to construct a particular solution of (27)

Now, let y1 (x) and y2 (x) be linearly independent solutions of the reduced equation

y 00 + p(x)y 0 + q(x)y = 0.

Then
y = C1 y1 (x) + C2 y2 (x)
is the general solution. We replace the arbitrary constants C1 and C2 by functions u = u(x) and v = v(x),
which are to be determined so that
yp (x) = u(x)y1 (x) + v(x)y2 (x)
is a particular solution of the nonhomogeneous equation (27). The replacement of the parameters C1 and C2
by the “variables” u and v is the basis for the term “variation of parameters.” Since there are two unknowns u
and v to be determined we shall impose two conditions on these unknowns. One condition is that yp (x) should
solve the differential equation (27). The second condition is at our disposal and we shall choose it in a manner
that will simplify our calculations.

Differentiating yp we get
yp0 = uy10 + y1 u0 + vy20 + y2 v 0
For our second condition on u and v, we set

y1 u0 + y2 v 0 = 0. (29)

This condition is chosen because it simplifies the first derivative yp0 and because it will lead to a simple pair of
equations in the unknowns u and v. With this condition the equation for yp0 becomes

yp0 = uy10 + vy20

and
yp00 = uy100 + y10 u0 + vy200 + y20 v 0
Now substitute yp , yp0 (given by (b)), and yp00 into the left side of equation (27. This gives,

yp00 + pyp0 + qyp = (uy100 + y10 u0 + vy200 + y20 v 0 ) + p(uy10 + vy20 ) + q(uy1 + vy2 ) (30)
= u(y100 + py10 + qy1 ) + v(y200 + py20 + qy2 ) + y10 u0 + y20 v 0 . (31)

Since y1 and y2 are solutions of homogeneous equation ,

y100 + py10 + qy1 = 0

and
y200 + py20 + qy2 = 0

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and so
yp00 + pyp0 + qyp = y10 u0 + y20 v 0 .
The condition that yp should satisfy (27) is

y10 u0 + y20 v 0 = f (x). (32)

Equations ( 29) and (32) constitute a system of two equations in the two unknowns u and v:

y1 u0 + y2 v 0 = 0 (33)
y10 u0 + y20 v 0 = f (x) (34)

Obviously this system involves u0 and v 0 not u and v, but if we can solve for u0 and v 0 ,then we can integrate to
find u and v. Solving for u0 and v 0 , we find that
y2 f
u0 =
y1 y20 − y2 y10
and
y1 f
v0 =
y1 y20 − y2 y10
We know that the denominators here are non-zero because the expression

y1 (x)y20 (x) − y2 (x)y10 (x) = W (x)

is the Wronskian of y1 and y2 , and y1 , y2 are linearly independent solutions of the homogeneous equation. We
can now get u and v by integrating:

y2 (x)f (x)
Z
u=− dx
W (x)
and
y1 (x)f (x)
Z
v= dx.
W (x)
Finally
y2 (x)f (x) y1 (x)f (x)
Z Z
yp (x) = −y1 (x) dx + y2 (x) dx
W (x) W (x)
is a particular solution of the nonhomogeneous equation (27)

Example 7.1 Find a particular solution of the nonhomogeneous equation using Wronskian

y 00 − 5y 0 + 6y = 4e2x ,

given e2x is one of the fundamental solutions

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