Differential Equations (MA 1150)

Sukumar

Lecture 7

May 05, 2020

Overview

Homogeneous second order linear ODE

Power series solution
Cauchy-Euler Equations

Non-homogeneous second order linear ODE

The method of undetermined coefficients
 Section 1

Homogeneous second order linear ODE

Discussion

Connection:

ODE ←→ Recurrence relation

 Subsection 1

Power series solution

Discussion

If a, b, c ∈ R with a 6= 0, then

ay 00 + by 0 + cy = 0 (1)

is called a constant coefficient 2nd order homogeneous ODE.

Recall that solution to ODE (7) will have linear combination of the following
form
I e m1 x and e m2 x ;
I e mx and xe mx , or
I e λx cos ωx and e λx sin ωx.
Discussion

Recall
I Power series expansion of e x around 0.
I Power series expansion of sin x around 0.
I Power series expansion of cos x around 0.
Consider the following Taylor series:
∞
x
X xn
e = , −∞ < x < ∞,
n=0
n!
∞
X x 2n+1
sin x = (−1)n , −∞ < x < ∞,
n=0
(2n + 1)!
∞
X x 2n
cos x = (−1)n , −∞ < x < ∞,
n=0
(2n)!
Power Series

Taylor Series If a function f has derivatives of all orders at a point x = x0 ,

then the Taylor series of f about x0 is defined by
∞
X f (n) (x0 )
f (x) = (x − x0 )n .
n=0
n!

Power Series A power series for f at a point x = x0 is a function

∞
X
f (x) = an (x − x0 )n
n=0

(We are assuming positive radius of convergence on open interval!!)

Power Series

Theorem A power series

∞
X
f (x) = an (x − x0 )n
n=0

with positive radius of convergence R has derivatives of all orders in its open
interval of convergence, and successive derivatives can be obtained by
repeatedly differentiating term by term; that is,
∞
X
f 0 (x) = nan (x − x0 )n−1 , (2)
n=1

∞
X
f 00 (x) = n(n − 1)an (x − x0 )n−2 , (3)
n=2
..
.
∞
X
f (k) (x) = n(n − 1) · · · (n − k + 1)an (x − x0 )n−k . (4)
n=k

Moreover, all of these series have the same radius of convergence R.

Power Series

Example Let f (x) = sin x. Then

∞
X x 2n+1
f (x) = (−1)n .
n=0
(2n + 1)!

Hence ,
∞  2n+1  X ∞
X d x x 2n
f 0 (x) = (−1)n = (−1)n ,
n=0
dx (2n + 1)! n=0
(2n)!
which is the series for cos x.
Discussion

Recall Constant coefficient 2nd order homogeneous ODE:

ay 00 + by 0 + cy = 0 (5)

where a, b, c ∈ R with a 6= 0.

Recall The solution to ODE (7) will have linear combination of the following
form
I e m1 x and e m2 x ;
I e mx and xe mx , or
I e λx cos ωx and e λx sin ωx.

Lets slightly change the condition Consider 2nd order homogeneous ODE:

a(x)y 00 + b(x)y 0 + c(x)y = 0 (6)

where a(x), b(x), c(x) are some polynomials and a(x) 6= 0.

Discussion

Lets slightly change the condition Consider 2nd order homogeneous ODE:

a(x)y 00 + b(x)y 0 + c(x)y = 0 (7)

where a(x), b(x), c(x) are some polynomials and a(x) 6= 0.

We may not have solutions y1 and y2 in the standard form:

I e m1 x and e m2 x ;
I e mx and xe mx , or
I e λx cos ωx and e λx sin ωx.

Note that y1 and y2 may be some power series (depends upon the initial
conditions).
Example

Suppose
∞
X
y (x) = an x n
n=0

Derive an expression for

(2 − x)y 00 + 2y
as a power series in x on I .
Note that
∞
X
y 00 = n(n − 1)an x n−2 .
n=2

Therefore (2 − x)y + 2y = 2y − xy 0 + 2y =
00 00

∞
X ∞
X ∞
X
= 2n(n − 1)an x n−2 − n(n − 1)an x n−1 + 2an x n .
n=2 n=2 n=0
Example

Shift indices in the first two so that all three series will start with n = 0; thus,
we get
∞
X
(2 − x)y 00 + 2y = [2(n + 2)(n + 1)an+2 − (n + 1)nan+1 + 2an ]x n .
n=0

Observation: We see that y satisfies ODE

(2 − x)y 00 + 2y = 0

on open interval I if the following recurrence relation holds

2(n + 2)(n + 1)an+2 − (n + 1)nan+1 + 2an = 0, n = 0, 1, 2, . . . .

P∞
Conclusion: The power series solution y (x) = n=0 an x n of an ODE gives rise
to recurrence relations among the coefficients an ’s.
 Subsection 2

Cauchy-Euler Equations
Second Order Linear Differential Equations

Cauchy-Euler Equations The equation of the following form

x 2 y 00 + axy 0 + by = 0 x > 0 (8)

where a, b ∈ R, is called a Cauchy-Euler equation.

This equation can be transformed into one with constant coefficients by change
of variables(x = e t ) on the interval (0, ∞). Consider the function of t given by

h(t) = y (e t ) = y (x)

Then

dh dy dx dy t
= = e .
dt dx dt dx
Therefore
dy dh −t
= e .
dx dt
Cauchy-Euler Equations

Therefore
dh dy t
= e ,
dt dx
and
d 2h d 2 y 2t dh
2
= e +
dt dx 2 dt

Substituting these, we get a second order ODE with constant coefficients

h00 (t) + (a − 1)h0 (t) + bh(t) = 0

If h(t) is a solution to this equation, then y (x) = h(ln x) is a solution to the

Cauchy-Euler equation.

If h1 (t) and h2 (t) are solutions to the constant coefficient ODE, then the
general solution is given by

y = c1 h1 (ln x) + c2 h2 (ln x).

Cauchy-Euler Equations

Example Solve the following ODE:

x 2 y 00 + 7xy 0 + 5y = 0

Putting t = ln x, we get

h00 (t) + (7 − 1)h0 (t) + 5h(t) = 0

The characteristic equation is

p(m) = m2 + 6m + 5 = (m + 1)(m + 5)

1
Therefore, h1 (t) = e −t and h2 (t) = e −5t . Hence h1 (ln x) = and
x
1
h2 (ln x) = 5 . Hence the general solution is
x

1 1
y = c1 + c2 5 .
x x
Cauchy-Euler Equations

Example Solve the following ODE:

x 2 y 00 + 7xy 0 + 9y = 0

Putting t = ln x, we get

h00 (t) + (7 − 1)h0 (t) + 9h(t) = 0

The characteristic equation of associated constant coefficient ODE is

p(m) = m2 + (7 − 1)m + 9 = (m + 3)2 .

1
Therefore, h1 (t) = e −3t and h2 (t) = te −3t . Hence h1 (ln x) = 3 and
x
1
h2 (ln x) = ln x 3 . Hence the general solution is
x

1 1
y = c1 + c2 ln x 3 .
x3 x
Cauchy-Euler Equations

Example Solve the following ODE:

x 2 y 00 + 5xy 0 + 13y = 0

Putting t = ln x, we get

h00 (t) + (5 − 1)h0 (t) + 13h(t) = 0

The characteristic equation of associated constant coefficient ODE is

p(m) = m2 + (5 − 1)m + 13 = (m + 2)2 + 9.

Therefore, h1 (t) = e −2t cos 3t and h2 (t) = e −2t sin 3t.

1 1
Hence h1 (ln x) = 2 cos(3 ln x) and h2 (ln x) = 2 sin(3 ln x). Hence the
x x
general solution is
1
y= [c1 cos(3 ln x) + c2 sin(3 ln x)]
x2
Cauchy-Euler Equations

Theorem Consider the Cauchy-Euler Equation

x 2 y 00 + axy 0 + by = 0 x > 0 (9)

where a, b ∈ R. Putting t = ln x, ODE becomes

h00 (t) + (a − 1)h0 (t) + bh(t) = 0 (10)

Let p(m) = m2 + (a − 1)m + b = 0 be the characteristic equation.

(a) If m1 6= m2 ∈ R, then the general solution of (11) is

y = c1 x m1 + c2 x m2 .

(b) If m1 = m2 ∈ R, then the general solution of (11) is

y = c1 x m + c2 x m ln x.

(c) If m = λ ± iω and then the general solution of (11) is

y = x λ (c1 cos(ω ln x) + c2 sin(ω ln x)) .

Cauchy-Euler Equations

Solve the following Cauchy-Euler Equation

1. x 2 y 00 − 3xy 0 + 4y = 0.
2. x 2 y 00 − 3xy 0 + 5y = 0.
3. x 2 y 00 − xy 0 − 3y = 0 .
Cauchy-Euler Equations

Something to think!!! Assume that we have Cauchy-Euler Equation of the form

x 2 y 00 + axy 0 + by = 0 x < 0 (11)

where a, b ∈ R.

Shall one substitute x = −e t and proceed as did before!!!

 Section 2

Non-homogeneous second order linear ODE

Non-homogeneous second order linear ODE

Consider the non-homogeneous 2nd order linear equation

y 00 + p(x)y 0 + q(x)y = f (x), (12)

where f (x) 6= 0 identically.

Theorem: Suppose p(x), q(x) and f (x) are continuous functions on an open
interval (a, b), let x0 be any point in (a, b). Then the initial value problem

y 00 + p(x)y 0 + q(x)y = f (x), y (x0 ) = w0 , y 0 (x0 ) = w1

has a unique solution on (a, b).

We know how to solve the associated homogeneous equation, initial value

problem

y 00 + p(x)y 0 + q(x)y = 0 y (x0 ) = w0 , y 0 (x0 ) = w1

Non-homogeneous second order linear ODE

Set-up: The homogeneous IVP

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

on (a, b) is called complementary equation.

Particular solution: Any solution of non-homogeneous IVP

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

on (a, b) is called particular solution.

Solve the initial value problem

y 00 + y = 1, y (0) = 2, y 0 (0) = 7.
Particular solution of non-homogeneous second order linear ODE

Solve the initial value problem

y 00 + y = 1, y (0) = 2, y 0 (0) = 7. (13)

The characteristic equation is

p(m) = m2 + 1 = 0.

Thus y1 = cos x and y2 = sin x form a fundamental set of solutions of the

complementary equation.

The general solution of (13) is

y = yp + cos x + 7 sin x. (14)

Any guess for yp . take yp = 1.

Particular solution

Example: Solve IVP

y 00 + 6y 0 + 5y = x 2 + 1, where y (0) = 3, y 0 (0) = 1. (15)

Thus the solution to IVP is

y = c1 e −x + c2 e −5x + yp .

Find yp :
Solution of 2nd order non-homogeneous linear ODE

Theorem: Suppose p(x), q(x), and f (x) are continuous function on (a, b). Let
yp be a particular solution of

y 00 + p(x)y 0 + q(x)y = f (x) (16)

on (a, b), and let {y1 , y2 } be a fundamental set of solutions of the

complementary equation y 00 + p(x)y 0 + q(x)y = 0 on (a, b).

Then y is a solution of (16) on (a, b) if and only if

y = yp + c 1 y1 + c 2 y2 ,

where c1 and c2 are arbitrary constants.

Proof. Exercise (Think about it!)

Example

Example: Find the general solution of

y 00 − 2y 0 + y = −3 − x + x 2 . (17)

Answer: The characteristic polynomial of the complementary equation

y 00 − 2y 0 + y = 0

is m2 − 2m + 1 = (m − 1)2 .

Therefore y1 = e x and y2 = xe x form a fundamental set of solutions of the

complementary equation.
Notice that y is a solution of (17) if and only if

y = yp + c1 e x + c2 xe x ,

where c1 and c2 are arbitrary constants. Need to find a particular solution:

Example (continued...)

y 00 − 2y 0 + y = −3 − x + x 2 . (18)
Notice that y is a solution if and only if
y = yp + c1 e x + c2 xe x .

How to find a particular solution?:

I Can we choose yp to be of the form A + A1 x + A2 x 2 + A3 x 3 + A4 x 4 ?
(Yes/No and why)

I From (18), the better candidate for yp seems to be of the form

A + A1 x + A2 x 2 .
I Set yp = A + A1 x + A2 x 2 and substitute in (18). Find constants A, A1 , A2 .
I (Verify) yp = 1 + 3x + x 2 .
Part (a) General solution of given ODE is
y = 1 + 3x + x 2 + e x (c1 + c2 x).
Example (continued...)

(b) Solve the initial value problem

y 00 − 2y 0 + y = −3 − x + x 2 , y (0) = −2, y 0 (0) = 1. (19)

Recall that general solution of this ODE is

y = 1 + 3x + x 2 + e x (c1 + c2 x).

Using the initial conditions, y (0) = −2, y 0 (0) = 1, solution of IVP is

y = 1 + 3x + x 2 − e x (3 − x).
Recall: solution of 2nd order non-homogeneous linear ODE

Recall: Let yp be a particular solution of

y 00 + p(x)y 0 + q(x)y = f (x) (20)

on (a, b), and let {y1 , y2 } be a fundamental set of solutions of the

complementary equation y 00 + p(x)y 0 + q(x)y = 0 on (a, b).

Then y is a solution of (20) on (a, b) if and only if

y = yp + c 1 y1 + c 2 y2 ,

Observation How to pick yp . It is decided by f (x) (or may be more than

that!!).
The Principle of Superposition

Theorem: Suppose yp1 is a particular solution of

y 00 + p(x)y 0 + q(x)y = f1 (x)
on (a, b) and yp2 is a particular solution of
y 00 + p(x)y 0 + q(x)y = f2 (x)
on (a, b). Then
y p = y p1 + y p2
is a particular solution of
y 00 + p(x)y 0 + q(x)y = f1 (x) + f2 (x)
on (a, b).

Observation
I Split the non-homogeneous equation into simpler parts,
I Find a particular solution for each part, and
I Combine their solutions to obtain a particular solution of the original
ODE.
Questions

Question:
I In the first order non-linear ODE y 0 + p(x)y = f (x), we have used
y = u(x)y1 , where y1 is a solution of complementary equation
y 0 + p(x)y = 0.
I We found yp in some different way to get the complete solution in 2nd
order non-homogeneous linear ODE.
I Then for getting solutions, what is the difference between 1st and 2nd
order ODE ? Especially, in the case of non-homogeneous linear ODE.
 Subsection 1

The method of undetermined coefficients

The method of undetermined coefficients

Example: Find a particular solution of

y 00 − 7y 0 + 12y = 4e 2x . (21)

Then find the general solution.

Let’s try:
I Derivative of an exponential function e mx is again an exponential function
∗e mx up to a constant ∗. Same applies for higher derivatives too.
I If we substitute some solution y in (21), L.H.S and R.H.S should agree.
I Possible candidate for yp = Ae 2x for some constant A.
yp00 − 7yp0 + 12yp = 4Ae 2x − 14Ae 2x + 12Ae 2x = 2Ae 2x = 4e 2x
hence A = 2. Therefore yp = 2e 2x is a particular solution.
General solution:
y = 2e 2x + c1 e 3x + c2 e 4x .

Question: Can we always substitute yp = Ae mx for some constant A?

The method of undetermined coefficients

Example: Find a particular solution of

y 00 − 7y 0 + 12y = 5e 4x . (22)

Then find the general solution.

Let’s try:
I Let yp = Ae 4x as a possible candidate for particular solution.
I Something is wrong! Notice that L.H.S = 0, whereas R.H.S 6= 0.
I We know why it is wrong. Because e 4x is a solution of the
complementary equation.
Let’s try: yp = u(x)e 4x . Substituting yp , yp0 and yp00 into (22) and canceling
the common factor e 4x gives

(u 00 + 8u 0 + 16u) − 7(u 0 + 4u) + 12u = 5,

that is,
u 00 + u 0 = 5.
Example (continued...)

Now if
u 00 + u 0 = 5,
then we may take u(x) = 5x as a possible candidate.

Therefore, yp = 5xe 4x is a particular solution.

Characteristic polynomial is m2 − 7m + 12 = 0, that is, (m − 3)(m − 4) = 0.

Therefore
y = 5xe 4x + c1 e 3x + c2 e 4x
is the general solution.
The method of undetermined coefficients

Example: Find a particular solution of

y 00 − 8y 0 + 16y = 2e 4x . (23)

Then find the general solution.

Let’s try: Note that characteristic polynomial is (m − 4)2 = 0.
I Can we have yp = Ae 4x or yp = Axe 4x as a possible candidate for
particular solution? (No!)
Let’s try: yp = u(x)e 4x . Substituting yp , yp0 and yp00 into (23) and canceling
the common factor e 4x gives

(u 00 + 8u 0 + 16u) − 8(u 0 + 4u) + 16u = 2 =⇒ u 00 = 2.

Therefore up = x 2 e 4x is a particular solution of (23).

Therefore the general solution to given ODE is

y = e 4x (x 2 + c1 + c2 x).
The method of undetermined coefficients

The form of a particular solution yp of a constant coefficient equation

ay 00 + by 0 + cy = ke αx ,

where k is a nonzero constant:

I If e αx isn’t a solution of the complementary equation

ay 00 + by 0 + cy = 0, (24)

then yp = Ae αx , where A is a constant.

I If e αx is a solution of (24) but xe αx is not, then yp = Axe αx , where A is
a constant.
I If both e αx and xe αx are solutions of (24), then yp = Ax 2 e αx , where A is
a constant.
One can substitute the appropriate form for yp and its derivatives directly into

ayp00 + byp0 + cyp = ke αx ,

and solve for the constant A,

The method of undetermined coefficients

Consider the 2nd order constant coefficient equation

ay 00 + by 0 + cy = e λx (P(x) cos ωx + Q(x) sin ωx) (25)

where λ and ω are real numbers, ω 6= 0, and P(x) and Q(x) are polynomials.

We want to find a particular solution of (25).

The method of undetermined coefficients

We want to find a particular solution of

ay 00 + by 0 + cy = e λx (P(x) cos ωx + Q(x) sin ωx)

Case study: Assume that λ = 0. Then we have

ay 00 + by 0 + cy = P(x) cos ωx + Q(x) sin ωx

If
yp = A(x) cos ωx + B(x) sin ωx
where A and B are polynomials, then

ayp00 + byp0 + cyp = F (x) cos ωx + G (x) sin ωx,

where F and G are some other polynomials. By comparing find the

co-efficients so that F (x) = P(x) and G (x) = Q(x).
The method of undetermined coefficients

Theorem: Suppose ω > 0 and P and Q are polynomials. Let k be the larger of
the degrees of P and Q. Then the equation

ay 00 + by 0 + cy = P(x) cos ωx + Q(x) sin ωx

has a particular solution

yp = A(x) cos ωx + B(x) sin ωx, (26)

where

A(x) = A0 + A1 x + · · · + Ak x k and B(x) = B0 + B1 x + · · · + Bk x k ,

provided that cos ωx and sin ωx are not solutions of the complementary
equation. The solutions of

a(y 00 + ω 2 y ) = P(x) cos ωx + Q(x) sin ωx

are of the form (26),

A(x) = A0 x + A1 x 2 + · · · + Ak x k+1 and B(x) = B0 x + B1 x 2 + · · · + Bk x k+1 .

The method of undetermined coefficients - Example

Example: Find a particular solution of

y 00 − 2y 0 + y = 5 cos 2x + 10 sin 2x. (27)

Set yp = A cos 2x + B sin 2x.. Now

yp00 − 2yp0 + yp = −4(A cos 2x + B sin 2x) − 4(−A sin 2x + B cos 2x)
+(A cos 2x + B sin 2x)
= (−3A − 4B) cos 2x + (4A − 3B) sin 2x.

Solve for A and B. Get A = 1, B = −2 and hence

yp = cos 2x − 2 sin 2x

is a particular solution
The method of undetermined coefficients - Example

Example: Find a particular solution of

y 00 + 4y = 8 cos 2x + 12 sin 2x. (28)

Set yp = x(A cos 2x + B sin 2x).. Then

yp0 = A cos 2x + B sin 2x + 2x(−A sin 2x + B cos 2x)

yp00 = −4A sin 2x + 4B cos 2x − 4x(A cos 2x + B sin 2x)
= −4A sin 2x + 4B cos 2x − 4yp ,

so
yp00 + 4yp = −4A sin 2x + 4B cos 2x.

Therefore A = −3 and B = 2 and hence

yp = −x(3 cos 2x − 2 sin 2x)

is a particular solution
The method of undetermined coefficients - Example

Example: Find a particular solution of

y 00 + 3y 0 + 2y = (16 + 20x) cos x + 10 sin x. (29)

Set yp = (A0 + A1 x) cos x + (B0 + B1 x) sin x. Then

yp0 = (A1 + B0 + B1 x) cos x + (B1 − A0 − A1 x) sin x

and
yp00 = (2B1 − A0 − A1 x) cos x − (2A1 + B0 + B1 x) sin x.

Therefore
yp00 + 3yp0 + 2yp = [A0 + 3A1 + 3B0 + 2B1 + (A1 + 3B1 )x] cos x
(30)
+ [B0 + 3B1 − 3A0 − 2A1 + (B1 − 3A1 )x] sin x.
The method of undetermined coefficients - Example

Comparing the coefficients of x cos x, x sin x, cos x, and sin x with the
corresponding coefficients in (29)

A1 + 3B1 = 20
−3A1 + B1 = 0
A0 + 3B0 + 3A1 + 2B1 = 16
−3A0 + B0 − 2A1 + 3B1 = 10.

We get constants, A0 = 1, A1 = 2, B0 = −1, B1 = 6

Therefore
yp = (1 + 2x) cos x − (1 − 6x) sin x
is a particular solution
The method of undetermined coefficients

Consider the 2nd order constant coefficient equation

ay 00 + by 0 + cy = e λx (P(x) cos ωx + Q(x) sin ωx) (31)

where λ and ω are real numbers, ω 6= 0, and P(x) and Q(x) are polynomials.

To find a particular solution of (31),when λ 6= 0.

Substituting y = ue λx into (31).

The new equation after substitution will be constant coefficient equation for u
of the P(x) cos ωx + Q(x) sin ωx.

We can find a particular solution up of this equation by earlier approach.

The method of undetermined coefficients

Example: Find a particular solution of

y 00 − 3y 0 + 2y = e −2x [2 cos 3x − (34 − 150x) sin 3x] . (32)

Let y = ue −2x . Then

y 00 − 3y 0 + 2y = e −2x [(u 00 − 4u 0 + 4u) − 3(u 0 − 2u) + 2u]

= e −2x (u 00 − 7u 0 + 12u)
= e −2x [2 cos 3x − (34 − 150x) sin 3x]

Need to solve

u 00 − 7u 0 + 12u = 2 cos 3x − (34 − 150x) sin 3x. (33)

Notice that cos 3x and sin 3x aren’t solutions of the complementary equation

u 00 − 7u 0 + 12u = 0,
The method of undetermined coefficients

A particular solution of
u 00 − 7u 0 + 12u = 2 cos 3x − (34 − 150x) sin 3x.
is of the form
up = (A0 + A1 x) cos 3x + (B0 + B1 x) sin 3x. (34)

Hence
up00 − 7up0 + 12up = [3A0 − 21B0 − 7A1 + 6B1 + (3A1 − 21B1 )x] cos 3x
+ [21A0 + 3B0 − 6A1 − 7B1 + (21A1 + 3B1 )x] sin 3x.

up is a solution if
3A1 − 21B1 = 0
21A1 + 3B1 = 150
(35)
3A0 − 21B0 − 7A1 + 6B1 = 2
21A0 + 3B0 − 6A1 − 7B1 = −34.
The method of undetermined coefficients

Solving the system of equations, we get A0 = 1, A1 = 7, B0 = −2, and

B1 = 1.

Therefore
up = (1 + 7x) cos 3x − (2 − x) sin 3x
is a particular solution of (33).

Hence
yp = e −2x [(1 + 7x) cos 3x − (2 − x) sin 3x]
is a particular solution of our original ODE.