Chapter 1

Review of Ordinary Dierential

Equations
In this chapter we will review some of the important concepts from your rst-year mathematics
courses. The most important elements concern ordinary dierential equations, which we review
in Sec. 1.1. In addition to the dierential equation itself, one must in general specify initial
conditions or boundary conditions to determine a unique solution, as described in Sec. 1.2. One
of the simplest types of dierential equations is the linear, ordinary dierential equation with
constant coecients, which is discussed in Sec. 1.3. As an example of this type of problem, the
driven harmonic oscillator problem is briey reviewed in Sec. 1.4.
1.1 Basic properties of dierential equations
The important properties of dierential equations we need to examine are the following:
number of independent variables,
linearity,
homogeneity,
order,
type of coecients (constant or non-constant).
Often in this course we will use the letter u to denote the function for which we have a
dierential equation, and our goal will be to nd the u that is a solution and satises certain
additional constraints. If the dierential equation contains derivatives of u with respect to only
a single independent variable, say, x, then it is called an ordinary dierential equation (ODE).
We will write the derivatives of u either using the usual notation, du/dx, or with a prime, such
as u

or u

, or occasionally with a superscript in parentheses, such as u

(n)
to denote the n
th
derivative of u.
1
2 Lecture Notes on Mathematical Methods
If the dierential equation contains partial derivatives with respect to more than one
independent variable then it is called a partial dierential equation (PDE). For example, the
function u may depend on two variables, x and t, and the PDE could contain partial derivatives
such as u/x and u/t. We will start discussing PDEs in Chapter 2 and these will then be a
central topic for the remainder of the course.
Examples of ordinary dierential equations for a function u of an independent variable x
are
1
u

u = 0 , (1.1)
u

u
2
= 0 , (1.2)
u

+uu

= 0 , (1.3)
u

+u

u = 0 , (1.4)
u

+u

u = x
2
, (1.5)
(1 x
2
)u

+xu

u = 0 , (1.6)
u

+u

u = 0 . (1.7)
A dierential equation for u is linear if it involves terms that are linear in u or its derivatives
(here u can be thought of as its own zeroth derivative). For example, Eqs. (1.2) and (1.3) are
nonlinear and the rest above are linear. Note that even Eqs. (1.5) and (1.6) are linear, despite
the fact they contain terms that are nonlinear in the independent variable x. The linearity of
the dierential equation only requires that all terms be linear in u and its derivatives, i.e., it
must be of the general form
p
n
(x)u
(n)
+ p
n1
(x)u
(n1)
+ + p
1
(x)u

+ p
0
(x)u = f(x) , (1.8)
where the superscripts in parentheses denote derivatives to the specied order, and
p
0
(x), . . . , p
n
(x) and f(x) are arbitrary functions of x. Notice that this precludes the possibility
of terms such as uu

; this would make the equation nonlinear. Linear dierential equations are
far easier to deal with mathematically than nonlinear ones, and for almost all of this course we
will focus on linear equations.
All of the equations listed above except Eq. (1.5) only have terms that involve u or its
derivatives; there are no other nonzero terms. Dierential equations of this type are said to be
homogeneous. If there is a nonzero term not involving u or its derivatives, such as the term f(x)
in Eq. (1.8) or the x
2
term in Eq. (1.5), then it is nonhomogeneous (or inhomogeneous). The
nonzero term is by convention written on the right-hand side of the equation; those involve u
and its derivatives are written on the left.
1
Here , , , etc., represent parameters that will have some units that one should be aware of. For example,
in Eq. (1.1) if the variable x represents a position measured in cm, then the parameter must have units of cm
2
.
Keeping track of the dimension of dierent quantities is an important tool for avoiding calculation mistakes. For
a further discussion see Appendix C.
Review of Ordinary Dierential Equations 3
A dierential equation is said to be of a certain order, which is the order of the highest
derivative. For example, Eq. (1.1) is second order, Eq. (1.2) is rst order, and Eq. (1.7) is third
order. Often the fundamental equations of Physics do not contain derivatives higher than second
order, and so in this course we will concentrate on rst and second order equations.
If the coecient functions p
0
(x), . . . , p
n
(x) in the general linear equation (1.8) are constants
(i.e., independent of x), and if in addition the equation is homogeneous (the right-hand side
f(x) = 0) then relatively straightforward methods can be applied to obtain a solution. In this
course we will see many equations where the coecient functions are not constant, and to solve
these we will need to learn new techniques such as series solution and the Frobenius method.
1.2 Initial conditions and boundary conditions
A linear dierential equation has in general an innite number of dierent solutions. To specify
a particular solution we must provide some additional information in the form of constants of
integration. For an n
th
order ODE we must specify n constants to determine a unique solution.
Often these constants are given in the form of initial conditions. Suppose we have a second
order ODE for a quantity u as a function of time t. The problem may require that we impose
the conditions
u(t
0
) = a , (1.9)
u

(t
0
) = b , (1.10)
where a and b are given constants, and t
0
is a specied point in time, often taken to be zero.
The important feature of Eqs. (1.9) and (1.10) is that they specify the value of the function u
and its derivative u

at the same time t

0
. When the auxiliary conditions are of this type, they
are called initial conditions (or initial values). The terminology implies that this information
has something to do with a time variable, and in practice this is often the case. But from a
mathematical standpoint what is important is that both conditions refer to the same value of
the independent variable, and we can just as easily have an initial value problem with a function
u(x) where we may specify u(x
0
) = a and u

(x
0
) = b, as long as both conditions refer to the
same value x
0
of the variable x.
The interesting and useful aspect of supplying the constants of integration in the form of
initial values is that one is then guaranteed, providing certain other minimal conditions are met,
that a solution satisfying these initial conditions exists and that the solution is unique. A proof
of the existence and uniqueness theorem for linear ODEs can be found in many texts, such as
Ref. [3].
The subsidiary information needed to determine a particular solution is not, however, always
available in the form of initial conditions. For example, for a second order dierential equation
for a function u(x) we may be given the value of the function at two dierent values of x, say,
at x = a and at x = b (with a = b). That is, we have the conditions
4 Lecture Notes on Mathematical Methods
u(a) = A , (1.11)
u(b) = B , (1.12)
where A and B are specied constants.
When the auxiliary conditions are of this type, they are called boundary conditions (or
boundary values). These terms imply that the condition has something to do with values
specied at the boundary of a spatial region, and this is often the case. But as above with initial
values, the physical interpretation of the variable (space, time, . . . ) is not what matters. The
important point here is that a and b are not equal to each other.
Unlike the situation with initial conditions, in problems with boundary conditions we have
no guarantee that a solution exists, or if it does whether it is unique. When boundary conditions
are imposed, one often nds that a solution only exists when certain constants appearing in the
problem take on specic values. This quantization of allowed values corresponds to interesting
physical phenomena, such as restrictions on the modes of vibration of a piano string or discrete
energy levels in atoms. We will see a number of examples of this further on in the course.
The boundary conditions shown in Eqs. (1.11) and (1.12) are said to be of the Dirichlet type,
because both equations refer to the value of the function, u. Other types of boundary conditions
may specify the derivative u

at two points a and b, called Neumann boundary conditions. That

is, one requires
u

(a) = A , (1.13)
u

(b) = B . (1.14)
We may also encounter boundary conditions of a more general type, where combinations of the
function and its derivative may be given (mixed boundary conditions).
Alternatively we may have periodic boundary condition of the form
u(a) = u(a + L) , (1.15)
or sometimes we have implicit boundary conditions that simply require that the function be
nite at a certain point, e.g.,
|u(a)| < . (1.16)
Often this last condition is needed if we need to nd a solution that is square integrable, i.e.,
such that
_

|u(x)|
2
dx (1.17)
is nite. An important example is when u(x) represents a quantum mechanical wavefunction,
and the condition (1.17) is then necessary for the total probability to be normalized to unity.
Review of Ordinary Dierential Equations 5
An important restriction we often want to impose on the boundary conditions is that the
values A and B on the right-hand sides of Eqs. (1.11) and (1.12) or (1.13) and (1.14) are both
equal to zero. In this case the boundary conditions are said to be homogeneous. If both the
dierential equation and the boundary conditions are homogeneous, then we will nd that the
techniques available to obtain a solution are particularly simple. If the boundary conditions are
nonhomogeneous, then one can convert the problem for a function u into one with homogeneous
boundary conditions by dening a new function, say, v, usually at the price of making the
dierential equation for v nonhomogeneous. We will study techniques for doing this in Chapter 9.
1.3 Linear ODEs
In this section we will discuss the important problem of a linear ODE for a function u(x), and
to begin we will suppose the equation is homogeneous. Much of the technology will be the same
for an equation of any order but to be specic we will consider a second order ODE, namely,
a(x)u

+ b(x)u

+ c(x)u = 0 . (1.18)
Here a, b and c could in general be given functions of x, but later in this section we will consider
the case where they are constants.
1.3.1 Linear dierential operators
We can express Eq. (1.18) by dening a linear dierential operator L as
L = a
d
2
dx
2
+ b
d
dx
+ c , (1.19)
such that the Eq. (1.18) can be written
Lu = 0 . (1.20)
Sometimes to emphasize that Lu does not simply represent multiplication of two quantities L
and u, we may write L[u], but usually the role of L as an operator should be clear from context.
The general idea of a dierential operator is that it maps a function, say, u, onto another
function. That is, we may see an equation of the form Lu = f where f is some function of x.
In the special case of Eq. (1.20) the solution u is such that applying the operator L to it results
in zero.
If a dierential operator is linear, then for any two functions u
1
(x) and u
2
(x), one has
L[c
1
u
1
(x) + c
2
u
2
(x)] = c
1
Lu
1
(x) + c
2
Lu
2
(x) , (1.21)
where c
1
and c
2
are arbitrary constants. Equation (1.21) can in fact be taken as the dening
property of a linear operator. One can easily verify that the operator (1.19),
6 Lecture Notes on Mathematical Methods
L[c
1
u
1
(x) + c
2
u
2
(x)] =
_
a
d
2
dx
2
+ b
d
dx
+ c
_
(c
1
u
1
(x) + c
2
u
2
(x))
= c
1
_
a
d
2
dx
2
+ b
d
dx
+ c
_
u
1
(x) + c
2
_
a
d
2
dx
2
+ b
d
dx
+ c
_
u
2
(x)
= c
1
Lu
1
(x) + c
2
Lu
2
(x) , (1.22)
satises the linearity requirement this is easily extended to higher order linear dierential
operators. Note that the property holds regardless of whether the coecients (here a, b and c)
are constants or functions of x, but c
1
and c
2
above must be constants.
It therefore follows that if two functions u
1
and u
2
are both solutions to a homogeneous,
linear equation such as Eq. (1.20), i.e., Lu
1
= Lu
2
= 0, then c
1
u
1
+ c
2
u
2
is also a solution:
L[c
1
u
1
+ c
2
u
2
] = c
1
Lu
1
+ c
2
Lu
2
= 0 . (1.23)
The property that a linear combination of solutions to a homogeneous, linear dierential equation
is itself a solution is called the principle of superposition. Notice that this principle does not hold
for linear, nonhomogeneous equations. That is, if u
1
and u
2
are both solutions to the equation
Lu = f, then we nd
L[c
1
u
1
+ c
2
u
2
] = c
1
Lu
1
+ c
2
Lu
2
= (c
1
+ c
2
)f , (1.24)
which is not in general equal to f. So superposition only works in general for solutions of a
linear, homogeneous dierential equation.
1.3.2 Complex representation for linear equations
Up to this point we have regarded the function u as real valued. For linear equations, however,
we may employ a useful trick by dening a new complex quantity, say, u = u
r
+ iu
i
, such that
its real part u
r
is equal to the original u. We can then consider the related complex dierential
equation
a u

+ b u

+ c u = L u = 0 , (1.25)
or written out explicitly in terms of the real and imaginary parts,
L(u
r
+ iu
i
) = Lu
r
+ iLu
i
= 0 . (1.26)
The real parts of both sides of Eq. (1.26) must be equal (the same is true of course for the
imaginary parts), so if we nd the complex solution to L u = 0, then its real part, u
r
must
also satisfy our original dierential equation, Lu
r
= 0. Therefore we can take u
r
as the desired
solution. Notice that we could equally well take the imaginary part, since Eq. (1.26) also says
Review of Ordinary Dierential Equations 7
that Lu
i
= 0. To simplify further the notation, we usually omit the tilde and simply say that u
is regarded as complex. The advantages of this approach will become evident below.
This trick does not work, however, if the dierential equation is nonlinear. If, say, we had
the equation u

+ u
2
= 0, then the corresponding complex equation for u = u
r
+ iu
i
would be
(u
r
+ iu
i
)

+ (u
r
+ iu
i
)
2
= 0 , (1.27)
When the quadratic term above is multiplied out we see that the real part of this dierential
equation becomes
u

r
+ u
2
r
u
2
i
= 0 . (1.28)
But this is not the same as our original dierential equation for u, so we cannot identify u
r
with
the desired solution. Treating a dierential equation as complex and taking the real part to nd
the solution thus only works for linear dierential equations.
1.3.3 Solving a linear homogeneous ODE
Suppose now we have the linear, homogeneous ODE
au

+ bu

+ cu = 0 , (1.29)
where we now assume that the coecients a, b and c are constants. In this case we guess a
solution of the form
u = e
rx
. (1.30)
As discussed in Sec. 1.3.2, we will treat u here as a complex-valued function, and in the end
we will take the real part to represent our solution. But to simplify the notation we will not
explicitly write u for the complex version; one must be aware from context whether u refers to
the complex valued function or to its real part.
By substituting Eq. (1.30) back into our ODE we can see if there are any values r for which
this works. Trying this gives
(ar
2
+ br + c)e
rx
= 0 . (1.31)
Since the exponential term is never zero we can divide by it out to obtain the characteristic (or
auxiliary) equation,
ar
2
+ br + c = 0 . (1.32)
In general for an n
th
order ODE one nds an n
th
order polynomial, which therefore has up to n
roots, which may be complex.
In our example with a second order equation the roots are:
8 Lecture Notes on Mathematical Methods
r

=
b

b
2
4ac
2a
. (1.33)
For the case where the two roots are unequal, i.e., b
2
= 4ac and therefore r
+
= r

, the general
solution to our dierential equation can be written
u(x) = c
1
e
r
+
x
+ c
2
e
r

x
, (1.34)
where c
1
and c
2
are arbitrary constants.
If the coecients of the equation are such that b
2
> 4ac, then the roots are real and the
solution given by Eq. (1.34) is also real. We said earlier that while nding the solution, u
is regarded as complex, and at the very end we take the real part. So c
1
and c
2
are therefore
complex, with real parts A and B, respectively. The exponential terms appearing in the solution
(1.34) are both real and therefore the real part of the solution (which we will write again simply
as u) is
u(x) = Ae
r
+
x
+ Be
r

x
. (1.35)
Equation (1.35) has essentially the same form as Eq. (1.34), but here u(x) refers only to the real
part, and this represents the general solution to our actual (real-valued) problem.
If b
2
< 4ac, then the two roots are complex, and can be written
r
+
=
b
2a
+ i

4ac b
2
2a
p + iq , (1.36)
r

=
b
2a
i

4ac b
2
2a
p iq , (1.37)
where
p = Re(r
+
) = Re(r

) =
b
2a
, (1.38)
q = Im(r
+
) = Im(r

) =

4ac b
2
2a
. (1.39)
The general solution to the complex equation can still be written as Eq. (1.34) but as in the
previous case we are treating u as complex, so the coecients c
1
and c
2
are also complex. The
general complex solution is therefore
u(x) = c
1
e
(p+iq)x
+ c
2
e
(piq)x
= (c
1
+ c
2
)e
px
cos(qx) + i(c
1
c
2
)e
px
sin(qx)
c
3
e
px
cos(qx) + c
4
e
px
sin(qx)
= Ae
px
cos(qx) + Be
px
sin(qx) + i [Ce
px
cos(qx) + De
px
sin(qx)] , (1.40)
Review of Ordinary Dierential Equations 9
where new complex constants are dened in the third line as c
3
= c
1
+ c
2
and c
4
= i(c
1
c
2
).
In the nal line the real constants A, B, C, and D are dened as the corresponding real and
imaginary parts of c
3
and c
4
.
Taking now the real part of (1.40) as the solution to the original problem we nd
u(x) = Ae
px
cos(qx) + Be
px
sin(qx) , (1.41)
where A and B are arbitrary real constants, and p and q are dened in Eqs. (1.38) and (1.39).
If b
2
= 4ac then the characteristic equation has only one distinct root, which is real:
r
+
= r

=
b
2a
r . (1.42)
We may be tempted to take
u(x) = c
1
e
rx
(1.43)
as the general solution. We can easily verify that this is indeed a solution, but it is clearly not
the most general one, since it contains only one constant, c
1
. Because we have a second order
equation, however, two adjustable constants are needed to satisfy arbitrary initial conditions.
To nd a second linearly independent solution, we can use the method of reduction of order,
which is described in greater detail in many texts such as Ref. [3]. The idea is to take an available
solution, namely, Eq. (1.43), and to nd from it a linearly independent solution by multiplying
by a function v(x), which we will need to nd. That is, starting from the solution e
rx
we seek
a solution of the form
u(x) = v(x)e
rx
= v(x)e
(b/2a)x
. (1.44)
The rst and second derivatives of u are found using the product rule to be
u

= v

e
(b/2a)x

b
2a
ve
(b/2a)x
, (1.45)
u

=
_
v

b
a
v

+
b
2
4a
2
v
_
e
(b/2a)x
. (1.46)
Substituting these ingredients into our dierential equation (1.29) gives
a
_
v

b
a
v

+
b
2
4a
2
v
_
+ b
_
v

b
2a
v
_
+ cv = 0 , (1.47)
which can be simplied to
av

_
b
2
4a
c
_
v = 0 . (1.48)
10 Lecture Notes on Mathematical Methods
But because we are considering the case b
2
= 4ac, the second term in Eq. (1.48) disappears and
we are left with
v

= 0 . (1.49)
Integrating this twice to nd v gives
v(x) = c
1
+ c
2
x , (1.50)
where c
1
and c
2
are arbitrary complex constants. By using this with Eq. (1.44) to nd our
general solution u for the case of equal roots we obtain
u(x) = (c
1
+ c
2
x)e
rx
. (1.51)
As a nal step we take the real part of (1.51) as the solution to the original real-valued problem,
which can be written
u(x) = (A + Bx)e
rx
. (1.52)
Here the real constants A and B represent the real parts of c
1
and c
2
, respectively, and the
single root of the characteristic equation is given by r = b/2a.
1.3.4 Nonhomogeneous linear ODE with constant coecients
We now extend the homogeneous problem of the previous section to the nonhomogeneous
equation
au

+ bu

+ cu = f(x) , (1.53)
where f(x) is a given function. Using the operator notation we can write
Lu = f , (1.54)
where here the operator L is the same as in Eq. (1.19).
To solve this problem, rst recall that the general solution to the corresponding homogeneous
equation Lu = 0 can be written
u
c
(x) = c
1
u
1
(x) + c
2
u
2
(x) , (1.55)
where u
1
and u
2
are linearly independent solutions to the homogeneous equation and c
1
and c
2
are arbitrary constants.
Now note that we can add u
c
to any solution to the nonhomogeneous equation, and the
result will still be a solution. Suppose we have a particular solution that satises (1.53), say, u
p
,
and we add to it u
c
, and then apply to this the operator L. We nd
Review of Ordinary Dierential Equations 11
L[u
c
+ u
p
] = Lu
c
+ Lu
p
= f , (1.56)
because Lu
c
= 0. So we see that
u(x) = u
c
(x) + u
p
(x) (1.57)
still solves Lu = f, and in fact any solution to the nonhomogeneous equation can be written in
the form of Eq. (1.57). To see this consider the solution u(x), which we want to demonstrate is
general, minus the particular solution u
p
, and apply to this dierence the dierential operator
L. We nd
L[u(x) u
p
(x)] = Lu(x) Lu
p
(x) = f f = 0 . (1.58)
So u(x) u
p
(x) is always a solution of the homogeneous equation, and by assumption u
c
is the
most general form of this. Therefore we can always express the solution to the nonhomogeneous
equation in the form of Eq. (1.57).
The solution to the homogeneous equation is called the complementary function and the
particular solution to the nonhomogeneous equation is called the particular integral. Notice
that, despite use of the word particular, the solution u
p
does not need to satisfy any particular
boundary or initial conditions; it can be any solution of Lu = f.
To solve a nonhomogeneous equation of the form Lu = f subject to given initial conditions,
therefore, we must rst nd any solution, u
p
, and also the general solution u
c
to the
corresponding homogeneous equation, which will contain two arbitrary constants. Then these
are added together and the initial (or boundary) conditions are imposed to determine the values
of the constants. We have already discussed the homogeneous problem above; we will next look
at methods for nding the particular solution u
p
.
1.3.5 The method of undetermined coecients
To nd a particular solution to a nonhomogeneous linear ODE with constant coecients such
as
au

+ bu

+ cu Lu = f(x) . (1.59)
we can in many cases employ the method of undetermined coecients. Basically this boils down
to guessing a solution that contains some undetermined parameters, substituting it back into
the dierential equation and seeing whether there exist values for the parameters such that the
function is indeed a solution.
It is dicult to formulate very general rules for how to guess a solution, but we can summarize
certain guidelines that cover a number of important cases, namely, when f(x) consists of an
exponential, polynomial, sine or cosine terms. If f(x) is of some dierent type or if the coecients
in the dierential equation are not constant, then the method of undetermined coecients is
not likely to be of use.
12 Lecture Notes on Mathematical Methods
The method is still applicable, however, if the function f(x) on the right-hand side of our
dierential equation can be expressed as a sum of n terms:
f(x) =
n

i=1
f
i
(x) . (1.60)
Instead of solving Lu = f we can instead try to nd solutions to the n equations
Lu
i
= f
i
. (1.61)
The sum of the solutions to these n equations,
u(x) =
n

i=1
u
i
(x) , (1.62)
is therefore a solution to our original equation, as can be easily veried:
Lu = L
_
n

i=1
u
i
_
=
n

i=1
Lu
i
=
n

i=1
f
i
= f . (1.63)
So if f(x) is a sum of terms, we can try to nd the solution for each term and then sum these
in the end.
The basic form of the guesses that turn out to work are summarized in Table 1.1.
Table 1.1: Trial solutions for u
p
given nonhomogeneous terms of dierent forms in f(x).
Form of f(x) Guess for u
p
(x)
ce
kx
Ae
kx
c
0
+ c
1
x + c
2
x
2
+ + c
n
x
n
A
0
+ A
1
x + A
2
x
2
+ + A
n
x
n
c cos(kx) or c sin(kx) Acos(kx) + B sin(kx)
ce
kx
cos(kx) or ce
kx
sin(kx) e
kx
(Acos(kx) + B sin(kx))
As an example, suppose we have the dierential equation
au

+ bu

+ cu = e
kx
. (1.64)
Referring to Table 1.1 we take as our trial solution a function of the form
u
p
(x) = Ae
kx
. (1.65)
Substituting this into our dierential equation gives
Review of Ordinary Dierential Equations 13
aAk
2
e
kx
+ bAke
kx
+ cAe
kx
= e
kx
(1.66)
After cancelling the term e
kx
and simplifying, we see that our guess for u
p
works if the coecient
A has the value
A =
1
ak
2
+ bk + c
. (1.67)
Having now found a particular solution we can add to this the general solution to the
homogeneous equation, which contains two arbitrary constants, and we then determine these
constants by imposing the initial conditions. We will look at an example of this entire procedure
in Sec. 1.69.
1.4 The driven harmonic oscillator
In this section we will put together all of the ingredients we saw above in a familiar example: the
driven harmonic oscillator. The physical system is illustrated in Fig. 1.1. The motion of the mass
m is given by its position u relative to an equilibrium position of u = 0 as a function of time t.
The mass is attached to a spring, which exerts a force F
s
= ku, where k is the spring constant.
The mass moves through a viscous medium providing a resistive force of F
res
= (du/dt), and
it is acted upon by an external force F
ext
= F
0
cos(t).
Figure 1.1: The driven harmonic
oscillator (see text).
Equating the total force to the mass times acceleration gives
ku
du
dt
+ F
0
cos(t) = m
d
2
u
dt
2
. (1.68)
To simplify the notation we divide through by m and rewrite Eq. (1.68) as
u

+u

+
2
0
u = f
0
cos(t) , (1.69)
where we have used primes for the derivatives and have dened
14 Lecture Notes on Mathematical Methods

0
=

k
m
, (1.70)
=

m
, (1.71)
f
0
=
F
0
m
. (1.72)
Suppose we are given the initial position and velocity for the mass: u(0) = u
0
, u

(0) = u

0
, and
we want to nd the function u(t) that describes the subsequent motion of the mass as a function
of time.
From Sec. 1.3.4 we know that the general solution u(t) can be expressed as the sum of two
terms: u
c
, the general solution to the homogeneous problem (the complementary function),
u

+u

+
2
0
u = 0 , (1.73)
plus a particular solution u
p
to the nonhomogeneous problem, Eq. (1.69). The general solution
will contain two arbitrary constants coming from the complementary, function u
c
whose values
can be determined by imposing the initial conditions on the sum u
c
+ u
p
.
We can use the technology of Sec. 1.3.3 to write down the general solution to the homogeneous
equation. The characteristic equation is
r
2
+r +
2
0
= 0 . (1.74)
If
2
> 4
2
0
(the over-damped case), then the roots of the characteristic equation are real:
r

2

_

2
4
2
0
2
. (1.75)
The general solution to the homogeneous equation is then
u
c
(t) = Ae
r
+
t
+ Be
r

t
. (1.76)
If
2
< 4
2
0
(the under-damped case) then the roots are complex:
r

2
i
_
4
2
0

2
2
. (1.77)
The general solution is therefore
u
c
= Ae
pt
cos(qt) + Be
pt
sin(qt) , (1.78)
where
Review of Ordinary Dierential Equations 15
p =

2
, (1.79)
q =
_
4
2
0

2
2
, (1.80)
and where A and B are arbitrary constants. The solution is thus a combination of oscillating
sine and cosine terms with an amplitude that decreases exponentially in time.
Finally, if
2
= 4
2
0
(the critically-damped case) then the characteristic equation has only
one distinct root,
r =

2
, (1.81)
and the general solution to the homogeneous equation is
u
c
(t) = (A + Bt)e
rt
. (1.82)
Depending on the values of and
0
we will therefore use one of the three solutions above for
u
c
(t).
The next step is to determine a particular solution to the nonhomogeneous equation, and
for this we can use the method of undetermined coecients as described in Sec. 1.3.5. The
nonhomogeneous term is Acos(t), so referring to Table 1.1 we should use a linear combination
of sin(t) and cos(t) in the trial solution. Equivalently (and this will turn out to be somewhat
easier) we can regard our desired solution as the real part of the complex dierential equation
u

+u

+
2
0
u = f
0
e
it
. (1.83)
Now the nonhomogeneous part is an exponential, so again referring to Table 1.1 we see the trial
solution should be another exponential of the same form, namely,
u
p
(t) = Ce
it
. (1.84)
An obvious advantage of using the complex exponential instead of the cosine form of the driving
function is that taking the derivative just gives a multiple of the same exponential. Substituting
the solution (1.84) into the dierential equation (1.83) gives

2
Ce
it
+ iCe
it
+
2
0
Ce
it
= f
0
e
it
. (1.85)
We can cancel the factor of e
it
and solve for the constant C,
C =
f
0

2
0
i
. (1.86)
Multiplying numerator and denominator by
2

2
0
+i to separate out the real and imaginary
parts gives
16 Lecture Notes on Mathematical Methods
C =
f
0
(
2

2
0
)
(
2

2
0
)
2
+
2

2
i
f
0

(
2

2
0
)
2
+
2

2
. (1.87)
In order to extract easily the real part of the solution it is convenient to write C in the form
2
|C|e
i
, where
|C| =
f
0
_
(
2

2
0
)
2
+
2

2
, (1.88)
= tan
1

2
0
. (1.89)
Note that the quadrant of the angle is not uniquely determined by the tan
1
function, and we
must require
cos =

2

2
0
_
(
2

2
0
)
2
+
2

2
, (1.90)
sin =

_
(
2

2
0
)
2
+
2

2
. (1.91)
The nal answer for u
p
(t) (still in complex form) is
u
p
(t) = |C|e
i(t+)
= |C| [cos(t +) + i sin(t +)] . (1.92)
Taking the real part of this as the solution to our original problem (with redenition of u
p
to
refer now only to the real part) gives
u
p
(t) = |C| cos(t +) . (1.93)
where the amplitude |C| and phase angle are given by Eqs. (1.88) and (1.89).
The complete solution to our problem is then found by adding together the particular solution
u
p
and that of the homogeneous equation u
c
, which, depending on the values of and
0
, is
given by Eqs. (1.76), (1.78) or (1.82). The solution u
c
contain two arbitrary constants, A and B,
and these are determined by the initial values of the position, u(0) = u
0
and speed, u

(0) = u

0
,
for some specied u
0
and u

0
. That is, we require
u(0) = u
c
(0) + u
p
(0) = u
0
, (1.94)
u

(0) = u

c
(0) + u

p
(0) = u

0
. (1.95)
2
Recall any complex number z = x+iy can be expressed as z = |z|e
i
with |z| =
_
x
2
+ y
2
and = tan
1
(y/x).
The quadrant of is xed by cos = x/|z| and sin = y/|z|. By representing complex numbers in this way one
can also show for any two complex numbers z
1
and z
2
, |z
1
/z
2
| = |z
1
|/|z
2
|.
Review of Ordinary Dierential Equations 17
Suppose, for example, that we have < 2
0
(the under-damped case), so that the solution
to the homogeneous equation is given by Eq. (1.78). The complete general solution including
both u
c
and u
p
is therefore
u(t) = Ae
pt
cos(qt) + Be
pt
sin(qt) + |C| cos(t +) . (1.96)
where p and q are given by Eqs. (1.79) and (1.80). For the initial condition on the speed we need
to dierentiate Eq. (1.96) and then evaluate at t = 0. Imposing both initial conditions gives
A + |C| cos = u
0
, (1.97)
Ap + Bq |C| sin = u

0
. (1.98)
Solving for A and B we nd
A = u
0
|C| cos , (1.99)
B =
1
q
_
|C| sin + p|C| cos u
0
p + u

0
_
. (1.100)
Now A and B are completely determined by quantities that are specied at the outset, so by
using these values with Eq. (1.96) we have the fully specied function u(t) that satises our
initial conditions and is valid for all times t > 0.
Notice that because p = /2 is negative, the two exponential terms in the solution (1.96)
mean that after a suciently long time (t 2/) the homogeneous part of the solution goes
to zero and one is left only with the particular solution. That is, the homogeneous solution,
which includes constants that depend on the initial conditions, represents transient behaviour
that eventually dies o. The particular solution represents the long-term motion, and this does
not depend on the constants A and B and is thus independent of the initial position and speed.
This behaviour is clearly visible in the example shown in Fig. 1.2. Initially the system
oscillates with an angular frequency
0
. This is damped out after a characteristic time
determined by . Eventually the motion is determined by the driving frequency , which
in this case is half of
0
.
18 Lecture Notes on Mathematical Methods
t
u
(
t
)
Figure 1.2: Example solution of the driven harmonic oscillator problem.