Académique Documents
Professionnel Documents
Culture Documents
Course of Lectures
prof. Artras tikonas
Contents
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Linear
1.1.
1.2.
1.3.
1.4.
1
1
3
7
8
11
14
14
24
40
47
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47
48
50
51
55
iv
List of Tables
1.1
39
vi
List of Figures
1.1
1.2
1.3
1.4
1.5
1.6
1.7
1.8
1.9
1.10
1.11
1.12
1.13
p
Domain of denition of ODE y = x(x2 1). . . . . . . . . . .
p
Domain of denition of ODE y = 1 x2 y 2 . . . . . . . . . .
Domain of denition of ODE and graph of solution of ODE. . . .
Integral curves of ODE y = y 2 . . . . . . . . . . . . . . . . . .
E.g.1.9. Graphs of solutions of ODE . . . . . . . . . . . . . . . .
Integral curves of ODE y = xy , when y > 0. . . . . . . . . . . .
Integral curves of ODE y = cos x . . . . . . . . . . . . . . . . . .
Cauchy problem to a rst order equation. . . . . . . . . . . . . .
Cauchy problem to a second order equation. . . . . . . . . . . . .
Integral curves of ODE y = 3y 2/3 . . . . . . . . . . . . . . . . . .
Singular point and singular solution of ODE. . . . . . . . . . . .
Cauchy problem y = y/x, y(0) = 2. . . . . . . . . . . . . . . . .
Behaviour of solution y = (x) of equation y = f (x) on interval
(a; b]:
Rb
Rb
(a) lim f (x) 6= ; (b) f () d < +; (c) f () d = +. .
xb0
x0
3
3
3
4
4
4
8
8
8
10
10
10
16
x0
21
21
21
21
29
32
32
32
36
36
38
38
are
. .
. .
. .
. .
get
. . .
. . .
. . .
. . .
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38
42
42
42
49
50
50
50
Chapter 1
Basic denitions of theory of dierential equations
In this chapter we learn about ordinary dierential equations and their solutions. We
formulate initial value problem. We consider systems of dierential equations and their
relation with the higher order dierential equations.
1.
Definition 1.1 [Ordinary differential equation]. An equality which involves independent variable x, unknown function y(x) ir its derivatives is called
ordinary dierential equation (ODE):
F (x, y, y , . . . , y (n) ) = 0.
(1.1)
It is assumed that F (x, y, p1 , . . . , pn ) is continuous with respect to all its variables and it necessarily depends on variable pn .
Example 1.1 [Ordinary differential equations]. Examples of ODE:
y sin x = 0,
y + y xex 1 = 0,
ey + y x = 0.
u
u
x
= 0,
x
y
v
2v
2v
=
+
t
x2
y 2
are not ODE, because they involve partial derivatives of unknown functions u(x, y) and v(t, x, y).
Unknown function depends on only one variable in ODE whereas in PDE unknown function depends on several variables. We use "ODE" as an abbreviation
for both: "ordinary dierential equation" and "ordinary dierential equations".
Definition 1.2 [Order of ODE]. Order of the highest derivative in the differential equation is called the order of a dierential equation .
Example 1.3 [Order of ODE]. F (x, y, y , . . . , y (n) ) = 0 is an n-th order ODE, whereas
F (x, y, y ) = 0 is a first order ODE. In example 1.1 there are first, third
and second order ODE.
x + y 2 1 = 0 is R+ R R.
(n)
(k)
F (x0 , y0 , y0 , . . . , y0 ) = 0,
(n)
F
(x0 , y0 , y0 , . . . , y0 )
y (n)
6= 0,
then (using implicit function theorem) equation (1.1) can be solved with respect
to y (n) .
Definition 1.3 [Canonical form of ODE]. ODE has a canonical form, if
equation is solved with respect to the highest order derivative:
y (n) = f (x, y, y , . . . , y (n1) ).
(1.2)
(1.3)
y =
p
x(x2 1)
[2012 01 18 (19:46)]
(1.4)
1.2.
2) x, (x), (x), . . . , (n) (x) D, x I;
3) F x, (x), (x), . . . , (n) (x) 0.
If the solution is dened on interval (a; b), then the same function will be the
solution on interval (; ) (a; b) as well. We assume that I = (A; B) is
such maximal interval. Solutions dened on such interval are called maximal
solutions. By default we understand solution as a maximal solution.
Example 1.8 [Solution of a first order ODE ]. ODE y = y 2 is defined in all R2 .
Function y = x1 is the solution of this ODE on intervals (; 0) and
(0; +), because when x 6= 0, then function y = x1 C 1 and ( x1 ) =
x12 ( x1 )2 . At the point x = 0 the solution is not defined, because
at this point the value of function y = x1 is not defined (see Fig. 1.4).
Therefore function y = x1 defines two solutions: one on the interval
R and the other one on R+ . Integral curves of these solutions are
branches of a hyperbola.
2/3
2
Example 1.9 [Solutions of a second order ODE ]. ODE
p(y ) 1(y ) = 0 is defined
4
2
in all R . Function (x; C1 , C2 ) = C2 + 1 (x C1 ) is the solution of
this ODE on interval I = (C1 1; C1 +1): function (x; C1 , C2 ) C 2 (I),
x C1
(x; C1 , C2 ) = p
,
1 (x C1 )2
(x; C1 , C2 ) = p
1
1 (x C1 )2
(1.5)
[2012 01 18 (19:46)]
1) , C n (I), 6= 0;
2) ((t), (t),
d(t)
d(t)
d
d(t) , . . . , d(t) (. . . ( d(t) )))
3) F ((t), (t),
D, t I;
d(t)
d(t)
d
d(t) , . . . , d(t) (. . . ( d(t) )))
0.
.
d(C cos t)
C sin t
C sin t
The rst and the second order derivatives with respect to variable t, which
sense usually is time, we denote by
x :=
dx
,
dt
x
:=
d2 x
.
dt2
d y 1 d y yx y x
d2 y
=
=
=
.
dx2
dx x
x dt x
x 3
(1.6)
cos t
,
sin t
y =
1
.
sin3 t
1
+
.
sin t
sin3 t
is hold.
Example 1.13 [Implicit solution of ODE]. Function (x, y) = x2 + y 2 C 2 , C > 0
defines implicit solutions x2 + y 2 C 2 = 0 of ODE y = xy in the
semi-plane y > 0, because d
= 2x + 2y( xy ) 0. Integral curves
dx
(semi-circles) are presented in Fig. 1.6
Example 1.14 [Solutions of ODE]. The solutions of equation y = y are y = C1 cosh x+
C2 sinh x with any C1 , C2 R. These solutions compose the family of
curves, depending on two constants C1 , C2 .
Some ODE have no solutions at all, for example, (y )2 = 1, but ODE |y |+|y| =
0 has just one solution y 0. However usually equation has innite number of
solutions and they compose families of solutions depending on several constants.
Constants C1 , . . . , Cn involving into the form of solution of ODE are called
arbitrary constants. These constants can get any values, including .
Definition 1.7 [General solution of ODE]. By a general solution of an n-th
order ODE we call the family of solutions y = (x, C1 , . . . , Cn ), depending on
arbitrary constants C1 , . . . , Cn and having the property that system
y = (x, C1 , . . . , Cn ),
y = (x, C , . . . , C ),
1
n
(1.7)
.
.
.
(n1)
),
C1 = 1 (x, y, . . . , y
...
Cn = n (x, y, . . . , y (n1) ).
(1.8)
x = (t, C1 , . . . , Cn ), y = (t, C1 , . . . , Cn ),
(1.9)
(x, y, C1 , . . . , Cn ) = 0.
(1.10)
or in implicit form
[2012 01 18 (19:46)]
(x C1 )2 + (y C2 )2 = 1,
x (C1 1; C1 + 1).
Note that at each point of the plane (x0 , y0 ) we can draw one graph
of solution of every
same tangent line. For example,
family, having the
semi-circles y = 1 x2 and y = 2 1 x2 touch each other at the
point (0, 1) (see Fig. 1.5).
y = C1 cos(3x) + C2 sin(3x);
b) y 0, 5y = 0,
y = Cex/2 2;
x2
c) y = 2xy, ye
= C;
x
d) y = , y = C cosh t, x = C sinh t;
y
x3
e) y = x + sin x, y =
sin x + C;
6
Z
2
f ) y = ex ,
y=
e d + C.
Problem 1.3. Check, if solutions of problem 1.2 define general solutions or integrals.
1.3.
Let us assume that we have the family of curves which is dened by equation
F (x, y, C1 , . . . , Cn ) = 0. From the system
F (x, y, C1 , . . . , Cn ) = 0,
F
F
d
dx F (x, y, C1 , . . . , Cn ) x + y y = 0,
...
nF
F (n)
dn
= 0,
dxn F (x, y, C1 , . . . , Cn ) xn + + y y
2. Cauchy problem
2 + 2(y )2 + 2(y C2 )y = 0.
We find
1 + (y )2
1 + (y )2
y , y C2 =
.
y
y
Putting these forms into the equation of circles, we get the ODE of family
of curves
(1 + (y )2 )3 = (y )2 .
x C1 =
2.
Cauchy problem
(2.1)
(2.2)
ODE with such conditions is called Cauchy1 (initial) problem and the conditions
are called initial conditions.
1 Augustin
[2012 01 18 (19:46)]
Problem 1.4. Check that y = Cex is the solution of ODE y = 2xy. Find the solution,
passing through the point (1, 4).
Example 1.18. Cauchy problem y = y/x, y(0) = 2 has no solution, because ODE is
not defined at the point x = 0 (see Fig. 1.12).
(2.3)
then the sucient condition for the existence of solution to Cauchy problem is
that f C(G) in the domain G Rn+1 [?].
Theorem 1.1 [Peano2 ]. Let function f be continuous in domain G. Then at
all the points (x0 , y0 ) of domain G the solution y = (x) of equation (2.3) exists
and satises initial conditions (2.2).
However conditions of these theorem are not enough for the uniqueness of solution to Cauchy problem [7, ?, ?].
f
Theorem 1.2. Let function f be continuous and its partial derivatives f
y , . . . , y (n1)
exist and are bounded in domain G. Then at all the points (x0 , y0 ) of domain
G the unique solution y = (x) of equation (2.3) exists and satises initial
conditions (2.2).
F (x0 , y0 , y0 , . . . , y0 ) = 0,
F
(n)
(x0 , y0 , y0 , . . . , y0 ) 6= 0.
y (n)
Then the unique solution y = (x) of ODE (2.1) exists and satises initial
conditions (2.2).
2 Giuseppe
10
2. Cauchy problem
Example 1.20. We will find the integral curve of ODE y = 3y 2/3 , passing through the
point (1, 1). We solve the initial problem
y = 3y 2/3 ,
y(1) = 1.
y = (x; x0 , y0 , y0 , . . . , y0
(2.4)
e) y = , y(3) = 4; y + x = C.
y
11
[2012 01 18 (19:46)]
ODE can have additional solutions, which we cannot nd from general solu (see Fig. 1.10). In previous
tion or integral with any constant C1 , . . . , Cn R
example 1.20 solution y 0 is not any cubic parabola y = (x C)3 .
Definition 1.9 [Singular point]. Such points of graphs of solution, where
the condition of uniqueness of solution is not valid, we call singular points.
Definition 1.10 [Singular solution]. Such solution, which every point is
singular point, we call a singular solution.
When the function from the right side of canonical ODE (2.3) is continuous
and has the partial derivatives with respect to variables y, y , . . . , y (n1) , then
its singular solutions can be only at those points where at least one condition is
valid:
f
f
= , . . . , (n1) = .
y
y
When we have implicit ODE (2.1) and F C1 (G), then singular solutions can
be dened by equalities F = 0, yF(n) = 0.
Problem 1.6. Check that ODE has the given solutions and find the singular solutions:
p
a) y = 2 |y|, y = |x C|(x C);
b) (y )2 + y 2 = 1,
3.
y = sin(x C).
(3.1)
F1 (x, y1 , . . . , ym , y1 , . . . , ym ) = 0,
(3.2)
...
Fm (x, y1 , . . . , ym , y1 , . . . , ym ) = 0.
1 ,...,Fm )
If Jacobian D(F
) 6= 0, then derivatives of a rst order we can express
D(y1 ,...,ym
through the remaining variables:
y1 = f1 (x, y1 , . . . , ym ),
(3.3)
...
ym = fm (x, y1 , . . . , ym ).
12
The previous system of ODE is called m-th order normal system of ODE. The
form of vectors of this system is
y = f (x, y).
All the concepts, which we dened to the scalar ODE y = f (x, y), are generalized to the system of ODE. For example, Cauchy problem is written as
y = f (x, y),
y(x0 ) = y 0 .
(3.4)
(3.5)
z1 = z2 ,
z2 = z3 ,
(3.6)
...
zn1 = zn ,
z = f (x, z , . . . , z ),
1
n
n
(n1)
).
b) y + 5xy + (y ) sin x + y = 0;
2
c) y = sin 1 + (y ) .
Every n-th order normal system of ODE (3.3) can be reduced to one nth order canonical ODE. We dierentiate one equation of system of ODE (for
example, the rst one) for n 1 times with respect to x and we substitute the
13
[2012 01 18 (19:46)]
right sides of equations of normal system for the rst order derivatives. In such
way we get the system of n equations:
y1 = f1 (x, y1 , y2 , . . . , yn ) fe1 (x, y1 , y2 , . . . , yn ),
P
e
fe1
+ ni=0 yf1i yi fe2 (x, y1 , y2 , . . . , yn ),
y1 = x
...
Pn
en2
en2
(n1)
+ i=1 fy
yi fen1 (x, y1 , y2 , . . . , yn ),
y1
= fx
i
P
en1
en1
(n)
y1 = fx
+ ni=1 fy
yi fen (x, y1 , y2 , . . . , yn ).
i
(3.7)
dv
dx
dw
dx
= w
,
x
= v.
w
,
x
dw 1
y = dx x
w
x2
xy
w
x2
w = y x,
y = xy
y x
.
x2
c)
du
dx
dv
dx
= u v,
= u + v.
14
dy1
dx = f1 (y1 , . . . , ym ),
y = f (y)
...
dym
dx = fm (y1 , . . . , ym ).
is called autonomous.
Every non-autonomous system of ODE always can be reduced to the autonomous one
dx
= f0 (x, y1 , . . . , ym ) 1,
dy1
dt
= f1 (x, y1 , . . . , ym ),
dy1 = f (x, y , . . . , y ),
dx
1
1
m
dt
...
.
.
.
dym
= fm (x, y1 , . . . , ym )
dym
dx
= fm (x, y1 , . . . , ym ),
dt
1 ,...,ym )
1
dt
= ff10 (x,y
(x,y1 ,...,ym ) ,
dy1 = f (x, y , . . . , y ),
dx
1
1
m
dt
...
...
dym
(x,y1 ,...,ym )
= ffm0 (x,y
.
dym
dx
1 ,...,ym )
=
f
(x,
y
,
.
.
.
,
y
)
m
1
m
dt
Example 1.23. Non-autonomous ODE
dy
x
=
dx
y
is reduced to autonomous system of ODE
(
dx
= y,
dt
dy
= x.
dt
4.
4.1.
dy
= f (x),
dx
f C(I).
(4.1)
15
[2012 01 18 (19:46)]
Lemma 1.1. Let us assume, that f is bounded on interval I. Then the solution
of ODE (4.1) is found by integrating:
Z
y = f (x) dx + C.
(4.2)
Proof. ODE (4.1) means, that unknown function y is the primitive function of
function f . From mathematical analysis (the theory of Riemann3 integral) we
know, that the family of primitive functions of function f is (4.1).
Example 1.24. All the solutions of ODE y = cos x are y = sin x + C, i.e. all of them
are described by general solution.
Example 1.25. Function (x) = x is a solution on interval (0, 1), function (x) = x
is a solution on interval (1, 0), and the value of solution should be
zero at the point x = 0 (continuity). But function (x) = |x| is not
a smooth function. Therefore, ODE y = sign x have no solutions on
interval (1; 1).
Let us consider Cauchy problem to equation (4.1). Then the family of primitive functions can be expressed as a denite integral
Z x
f () d + C.
(4.3)
y(x) =
x0
b) y =
4.1.2.
1
.
1+x2
Extension of solution
(4.5)
16
f(b)
f(b)
y0
y0
0
x0
y0
0
(a) Case 1
x0
x0
Figure 1.13 Behaviour of solution y = (x) of equation y = f (x) on interval (a; b]:
Rb
Rb
(a) lim f (x) 6= ; (b)
f () d < +; (c)
f () d = +.
xb0
x0
x0
f :=
B
kai x = b.
Function f C(a; b] and it is bounded on the interval (a1 ; b], for every a1
(a; b). Let us consider Cauchy problem with the initial condition y(x0 ) = y0 ,
x0 (a; b). The solution of this problem y = (x), C 1 (a; b),
Z x
f () d,
(4.6)
(x) := y0 +
x0
(4.7)
f() d.
(4.8)
x0
xb0
(b) (x)
= lim (x) = lim f (x) = B = f(b),
xb0
bx
(1) xb0
lim (x) = y0 +
xb0
i.e. |
Rb
Rb
x0
f () d| < +;
x0
5 Guillaume
17
[2012 01 18 (19:46)]
xb0
Rb
i.e.
f () d = + (or ).
x0
All the cases are presented in Fig. 1.13. In case 1 and case 2a) the solution
y = (x) reaches the point (b, (b)), and in case 2b) the solution has vertical
asymptote x = b. In case 2a) the tangent line of solution at the point x = b is
vertical, so the solution reaches the point continuously, but not smoothly.
Since
dx
dy
lim f (x) = + or
xb0
1
= f (x)
.
xb0
Therefore, in case 2a) the point (b, (b)) is the singular point, where the
uniqueness of Cauchy problem is not valid.
2a)
lim (x) = y0 +
xa+0
Ra
i.e. |
Ra
x0
f () d| < +;
x0
2b)
xa+0
Ra
i.e.
f () d = + (or ).
x0
f C(
a, b).
(4.9)
18
Zx
f () d.
(4.11)
x0
4.1.3.
1
;
x
1
;
x2
b) y = x;
c) y =
f) y =
f) y =
;
2 x
1
;
x(1x)
3
3 2.
x
Boundedness of solution
dy
= f (x), f C(a, b).
(4.12)
dx
If b < +, then as we already saw, solution is dened on interval [x0 ; b], x
(a; b), in case 1 and in case 2a).
Let us consider the case b = + (the case a = is analysed analogously).
Let us consider Cauchy problem with initial condition y(x0 ) = y0 , x0 (a; +).
Integral curve, passing through the point (x0 , y0 ), denes the unique solution
(Barrows6 formula)
Z x
f () d, x (a; +).
(4.13)
y = (x) = y0 +
x0
From this form of solution we can see, that nite limit lim (x) = B exists if
x+
f () d
x0
converges.
6 Isaac
(4.14)
19
[2012 01 18 (19:46)]
R +
Example 1.29. Let us consider ODE y = cos x, x (; +). Integral x0 cos x d
does not converge. General solution of ODE is y(x) = sin x + C.
lim (x) = y0 +
x+
i.e. |
+
R
+
R
x0
f () d| < +;
x0
b)
x+
+
R
i.e. |
f () d| = +.
x0
4.1.4.
dy
= g(y),
dx
g C(A; B).
(4.15)
(4.16)
(4.18)
20
Let us notice that the solution is a monotonic function, so the inverse function always exists. Therefore the form of solutions is (see Fig. 1.14):
y = (x x0 , y0 ) or y = (x C),
x R.
(4.19)
y
1
y
1
d = /4+arctan = /4+arctan y/4 = arctan y
2
1+
1
y = tan x,
x (/2; /2).
b) y = y;
d) y = y 2 ;
e) y = y 2/3 ;
c) y = y(1 y);
f) y =
1
,
3y 2
y > 0.
Case 3. Function g C(A; B], g(y) 6= 0 y (A; B), B < + and g(B) = 0.
We will nd out how the solutions described in case 2 interact with the
stationary solution y b. Let us consider the behaviour of inverted ODE
(4.16). Let us assume, that g(y) > 0 on interval (A; B), and f (y) = 1/g(y).
Then lim f (y) = +.
yB0
b
y0
1
dy
g(y)
f (y) dy
y0
(4.20)
y0
1
dy.
g(y)
21
y
y0
y0
[2012 01 18 (19:46)]
y1
y1
0
y2
x0
x2
x1
y
y
y0
0
x0
x0
y0
(a)
(b)
y0
f (y) dy
(4.21)
diverges, then solutions (4.19) of ODE (4.15) dened for all (x0 ; +) monotonically approach to +, when x +.
If improper integral (4.20) converges, then solutions (4.19) of ODE (4.15)
monotonically approach to vertical asymptote
Z +
1
dy.
x = x0 +
g(y)
y0
Proof. It is enough to use properties of boundedness of solution in cases a) and
b) to equation (4.16).
22
Example 1.31 [Singular stationary solution]. Let us solve ODE y = 3(y 1)2/3 .
Function y 1 defines stationary solution. When y 6= 1, then solutions
are written in Barrows formula
Z y
d
.
x x0 =
2/3
y0 3( 1)
By integrating we find xx0 = (y 1)1/3 (y0 1)1/3 . Let us take initial
condition y(0) = 0. The solution y = 1 (x) = (x 1)3 + 1, x (; 1)
satisfies this condition. This solution can be smoothly extended to the
point (1; 1), where we have a zero derivative. Taking initial condition
y(2 + ) = 2, > 0, we have the solution y = 2 (x; ) = (x 1 )3 + 1,
x [1 + ; +). Then function
(x; ) =
1 (x),
1,
2 (x; ),
kai x (; 1],
kai x [1; 1 + ),
kai x [1 + ; +).
Therefore, we can see, that continuity of function g does not guaranties the
uniqueness of solution.
Definition 1.11 [Lipschitz condition]. Let us assume, that function f :
M R, M R satises Lipschitz condition,7 if there exists constant L > 0,
such as
|f (x2 ) f (x1 )| L|x2 x1 |, x1 , x2 M.
(4.22)
The class of such functions we denote by LipL (M ).
Problem 1.15. Prove that a function satisfying Lipschitz condition is continuous.
Lemma 1.6. Let us assume f C 1 (A; B), (A; B) R. Then f LipL ([a; b]),
for every interval [a; b] (A; B).
Proof.
7 Rudolf
23
[2012 01 18 (19:46)]
Z
|f (x2 ) f (x1 )| 6
x2
x1
Z
|f ()| d 6 max |f (x)|
x[a;b]
x2
x1
1 d
y U,
(4.23)
where U = (A; B) R.
Theorem 1.4 [Existence and uniqueness of solution of ODE]. Let us
assume, that g LipL (U ). Then the solution y = (x) of ODE (4.23) with
initial conditions (x0 , y0 )
1) exists for all x0 R and y0 U ;
2) is unique, i.e. two solutions with the same initial conditions coincide in
the neighbourhood of point x0 ;
3) is written in formula:
x x0 =
(x)
y0
d
, jei g(y0 ) 6= 0,
g()
(4.24)
(4.25)
Proof. Let us assume, that the point y0 U is not a zero of function g, e.g.,
g(y0 ) > 0. Then there exists (g continuous) interval (a; b): y0 (a; b) U and
in it g(y) > 0. From lemma 1.3 follows, that there exists the unique solution in
neighbourhood of point x0 and it is written in Barrows formula.
Let us assume, that the point y0 U is a zero of function g. Then (x) y0
is a solution.
We will show, that any solution, written in Barrows formula, does not reach
stationary solution. Let us assume contrary, that (x) is a solution, which
reaches the stationary solution: (x0 ) = y0 , (x2 ) = y2 (see Fig. 1.15(b)).
Without loss of generality, we can assume, that y2 < y0 and g(y) > 0, when
y [y2 ; y0 ). Then x1 [x2 , x0 ) Barrows formula
Z y1
d
, y1 = (x1 )
x1 x2 =
g()
y2
is true. Using Lipschitz condition g() = |g() g(y0 )| 6 L| y0 | = L(y0 ),
[y2 , y0 ] U , we estimate integral from lower:
Z
1 y1 d
x1 x2 >
.
(4.26)
L y2 y0
24
Ry
Integral y20 y0d
diverges, so x1 x2 +, when y1 y0 , i.e. x1 is bigger
than any in advance taken number. This contradiction let us state, that solution
with initial condition (x0 , y0 ) cant have points, where g(y) 6= 0. Therefore, if
(x0 ) = y0 , then g((x)) = 0 for all x. Then 0, i.e. constant.
Therefore, we have the particular solution.
Remark 1.1. Lipschitz condition in the theorem can be changed with smoothness, i.e. to require, that function g C 1 (U ).
R y d
Remark 1.2. Divergence of integral y0 g()
is a sucient condition to prove the
uniqueness.
p
Problem 1.16. Find all solutions of ODE y = 1 y 2 in the set |y| 1. Show, that
there exist infinite number of solutions, satisfying initial conditions a)
y(0) = 1; b) y(0) = 1. Find solutions. Plot integral curves.
Problem 1.17. Find all solutions of ODE y = 2 y in the set y 0. Show, that there
exist infinite number of solutions, satisfying initial condition y(0) = 0.
Find solutions and plot integral curves.
Problem 1.18. Find all solutions of ODE y = (y 2 1)/2, y R. Plot integral curves.
4.2.
(x, y) G R2 . (4.27)
Differential 1-form
We remind you the main denitions of dierential forms in domain G Rn . The set of all
antisymmetric k-lines functionals in the space Rn we denote k (Rn ), and its elements we
call k-forms. Mapping : G k (Rn ) is called k-th order dierential form (or k-form).
A
order dierential form is a function. If basis in the space Rn is (e1 , . . . , en ) and x =
Pzero
n
i e , then functionals dxi (x) := xi are linear and independent, i.e. they compose
x
i
i=1
basis in the space 1 (Rn ), therefore 1-forms are written as the following expression in the
space
n
X
=
i (x) dxi .
(4.28)
i=1
16i<j6n
25
[2012 01 18 (19:46)]
If we have a k-form
X
16j1 <<jk 6n
dxj1
j
x1
1
dxjk (x1 , . . . , xk ) := . . .
xj1
k
...
...
...
x1k
...
j
xkk
and its coecients j1 ...jk C p (G), then k-form is called p-smooth and it is written that
p1
(G) to the form Ckp (G),
Ckp (G). We can dene an exterior differential d Ck+1
p N
X
d :=
16j1 <<jk
n
X
j1 ...jk
(x) dxi dxj1 dxjk .
i
x
6n i=1
n
X
f
dxi ,
xi
i=1
16i<j6n
xi
i
(x) dxi dxj .
xj
Definition 1.12. 1-form C10 (G) is called exact in a domain, if there exists a smooth
function u C 1 (G) such as du = (x, y) G.
Definition 1.13. 1-form C11 (G) is called closed in a domain G Rn , if d = 0.
Lemma 1.7 [About the closure of 1-form]. Let us assume, that G Rn is a
i
domain. 1-form C10 (G) and x
j C(G), i 6= j, i, j = 1, n. If is exact, then it is
closed.
Proof.
u
xi
j
u
and
= i i = 1, n, and xj x
i = xj C(G) i 6= j, i, j = 1, n. Then, using the
theorem about equality of mixed derivatives, we get
d =
2u
2u
(x) dxi dxj = 0.
i xj
j xi
x
x
16i<j6n
X
w
2
If v, w, v
y , x C(G) G R , then (exterior) dierential of 1-form =
v(x, y) dx + w(x, y) dy is 2-form
d =
w(x, y)
x
v(x, y)
dx dy.
y
(x, y) G.
(4.29)
26
Problem 1.19. Prove that if U Rn is an open set, then the following statements are
equivalent:
1) U is connected;
2) U is arc-connected;
3) U is piecewise linearly connected, i.e. for every pair of points
x0 , x1 U there exists a polygonal curve L U , connecting that
points;
4) U is piecewise linear, and sections of a polygonal curve are directed
along the coordinate axis.
If arc g C 1 (I), then it can be dened a curvilinear integral of the second kind of form
R
R
R P
dg
i
. If g1 g2 ,
over the arc g: g = I (g ) dt = ab n
i=1 i (g(t))(g ) (t) dt, where g =
R
R
R
R
R dt
R
then g = g and g = g , so we can talk about integrals = .
1
2
If the curve is closed, then Rthis integral
is
R called a circulation of the form in the curve
P
. If arc g Cp1 [a; b], then g = m
j=1 g . If 1-form is exact, then
j
n
n
X
X
d
u
u g(t) =
g(t) (g i ) (t) =
i (g(t))(g i ) (t) C[tj1 ; tj ]
i
dt
x
i=1
i=1
j = 1, m.
tj1 i=1
= u g(b) u g(a) .
(4.30)
27
[2012 01 18 (19:46)]
Example 1.32. Let us find general integral of the equation (2x +y) dx +(x +2y) dy = 0.
Rearrange the equation
2x dx + 2y dy + y dx + x dy = d(x2 + y 2 + xy) = 0.
We find u = x2 + y 2 + xy and general integral x2 + xy + y 2 = C.
Therefore, the integral depends only on the beginning and the end of polygonal
curve and does not depend on polygon curve. Let us dene function
Z
, x .
u(x) :=
1-form C10 (G), let us choose h such, that x + hei G. Then we estimate
Z
|u(x + hei ) u(x) i (x)h| =
i (x + htei ) i (x) dt |h|
So
u
xi
= i i = 1, n, ir u C 1 (G) exist.
Example 1.33. Let us find general integral of the equation (2x +y) dx +(x +2y) dy = 0.
In the example 1.32 we showed, that 1-form = (2x + y) dx + (x + 2y) dy
is exact.
Solving by Cauchy method. Plane R2 is a domain. We connect the points
(0, 0) and (x, y) by polygonal curve g = (g1 , g2 ): g1 = (0, ), [0, y];
28
g2 = (, y), [0, x]. Then g1 = (0, 1), |g1 = (, 2), g2 = (1, 0),
|g2 = (2 + y, + 2y), and
Z
Z
Z y
Z x
u(x, y) =
+
=
2 d +
(2 + y) d = y 2 + x2 + xy.
g1
g2
Solving by undefined integral method. Complete integral of exact differential equation is found by integrating partial differential equations
u
= v(x, y),
x
u
= w(x, y).
y
(4.31)
u
= x + 2y.
y
C (y) = 2y;
2
C(y) = y 2 + C.
Therefore, u(x, y) = x + xy + y .
Lemma 1.7 state, that every exact 1-form is closed, but the converse statement is not valid.
x
Example 1.34. Let us consider 1-form = x2y
dx + x2 +y
2 dy in the domain G =
+y 2
2
R r{(0, 0)}. The exterior differential of this 1-form C11 (G) is d = 0
(check the equality (4.29)), therefore the form is closed in the domain
G. But this 1-form is not exact, because its circulation over the smooth
cycle g = (cos(2t), sin(2t)), t [0; 1] is not equal to zero:
Z
Z 1
Z 1
cos(2t) d sin(2t) sin(2t) d cos(2t)
=
=
2
dt = 2 6= 0.
2
cos2 (2t) + sin (2t)
g
0
0
v(x, y) dx + w(x, y) dy =
x
y
K
K
10 George
(4.32)
29
1(46)
42(45)
38
8(41,44)
1(27) 26
28
2
6(10)
37(39)
33
32
29
3(11)
12
26
5(20)
13
12
11
2
15
20
10
=>
21
5(13)
14
19
21(25)
4(19)
14(17)
14
16(22)
18
3(7)
=>
23
35
30
13(18)
1(15)
24
17
27(36)
31(34)
25
9(40)
[2012 01 18 (19:46)]
9(11)
22
4(12)
24
10
15
23
16
v(x,y) w(x,y)
where
C(K)B(
K),
It is true, when v, w C(K), K is simple compact, y , x
is interior of set K (the maximum open set which belongs to K), K is boundary of set
K
K (the dierence between closure and interior of set K), which is locally piecewise smooth
class of bounded functions in the interior of compact. The orientation of
curve, B(K)
boundary is dened as: passing along the boundary its interior normal remains in the left
(i.e. ( , ) (e1 , e2 )).
Examples of simple compact : any rectangle, any triangle.
Corollary 1.2. Let us say, that K is a polygon, K is a polygonal curve, which does
not intersect itself (such polygon we call a simple one), and = v(x, y) dx + w(x, y) dy
R
is a closed 1-form. Then
C11 (K)
K = 0.
Proof.
i=1
Ti
i=1
Ti
i=1
0 = 0.
Ti
Theorem 1.6 [Criteria of closure to 1-form]. Let us assume, that is 1form in the simply connected domain G R2 , and = v(x, y) dx + w(x, y) dy,
v w
v, w, y
, x C(G). Then the following statements are equivalent:
1) is exact in the domain G;
2) is closed in the domain G.
Proof. 1)2) Proof follows from lemma 1.7.
2)1). Let us say, that L is any piecewise linear cycle in the simply connected domain G R2 . Trace of such cycle is a closed polygonal curve, which
has not more than nite number points of intersection or segment. Number of
vertexes of polygonal curve is nite. Let us numerate all vertexes and points of
intersection of sections of a polygonal curve in such order, which is in the cycle
(starting at any vertex or point of intersection).
Fig. 1.18(b) vertexes dene the sequence
(1 3, 4, 5, 6 8, 9, 6(10), 3(11) 13, 14 14(17), 13(18), 4(19), 5(20), 21 21(25),
26 27 31 31(34) 27(36), 37, 38, 37(39), 9(40), 8(41), 42 8(44), 42(45)), 1(46))
30
where n(m) notes the vertex m, which was already numerated n < m (points of intersection
of sections of a polygonal curve or ends of segments of intersection), n m notes the part
of polygonal curve (n, n + 1, . . . , m), where n + 1, . . . , m 1 are just vertexes of polygonal
curve. Decomposition of circulation to separate integrals over sections of a polygonal curve
corresponds mentioned sequence.
In general case, since number of sections of a polygonal curve and segments and
points of intersection is nite, and every time during the operation of elimination
we eliminate a part of sections, so nally there will stay only one cycle: the
simple polygon or segment (appendix). Circulation over these cycles is equal
to zero. Therefore, circulation and initial polygonal curve is equal to zero.
Problem 1.20. Let us assume, that is a closed 1-form in the simply connected domain
G R2 , G is integral curve of equation (4.27). Show, that in the
domain, which is limited by this curve, there exists at least one solution
(x0 , y0 ), where v(x0 , y0 ) = w(x0 , y0 ) = 0.
Problem 1.21. Is 1-form exact, closed? If it is exact, then find u: w = du.
a) =
y
x2 +y 2
dx +
x
x2 +y 2
dy;
If 1-form is exact, then equation (4.27) is called exact dierential equation. Then
du = 0 and u(x, y) = C is general integral of equation (4.27).
4.2.2.
(4.33)
31
[2012 01 18 (19:46)]
x0
(4.34)
y0
Example 1.35. We will find general integral and integral curves of the equations x dx +
y dy = 0. The equation is with separated variables. By integrating we
get general solution
y2
x2
+
= C or x2 + y 2 = R2 = 2C.
2
2
Integral curves will be concentric circles with center in origin and radius
R > 0 (see Fig. 1.19.) Notice, that 1-form = x dx + y dy does not
define ODE in origin (v(0) = w(0) = 0).
(4.35)
x0
v1 ()
v2 ()
dx +
w1 (y)
w2 (y)
d +
y
y0
dy = 0,
w1 ()
w2 ()
d = 0.
(4.36)
(4.37)
Example 1.36. Let us consider the equation y dx + x dy = 0. Its 1-form is not closed.
1
We solve the equation by separating variables. Multiplying it by = xy
we get ODE
1
dy = x1 dx, x 6= 0 or y 6= 0.
y
32
by
b2
b1
ay
ax
a1
a2 a3 bx
Figure 1.20
Decomposition of domain
by separating variables.
4.2.3.
ln y
cos x
e) 2x(1 + y 2 ) dx + 2y((1 + x2 ) dy = 0;
p
f) x 1 y 2 dx + yx 1 x2 dy = 0, |x| 6 1, |y| 6 1.
Integrating factor
If domain is simply connected, but the condition (4.29) is not satised, then we
have to nd integrating factor C(G), 6= 0, which reduces equation (4.27)
to exact dierential equation, i.e. 1-form would be exact. If C 1 (G),
then the condition of closure of this 1-form is
(v)
(w)
=
.
x
y
Therefore, integrating factor satises a rst order linear partial dierential equation
v w
.
(4.38)
w
v
=
x
y
y
x
33
[2012 01 18 (19:46)]
v w
v
=
.
x
y
y
x
(4.39)
(x + y)
= 2.
x
y
y
1
+ C(y).
ln(x2 + y 2 ) arctan
2
x
Then we put it to the second equation of (4.31)
u=
u
xy
yx
= 2
+ C (y) = 2
,
y
x + y2
x + y2
and we find, that C (y) = 0, i.e. general integral is
y
1
= C.
ln(x2 + y 2 ) arctan
2
x
1
du = 0,
34
w
v
w
1
1
y
1
xy
we get ODE
1
1
dx + dy = 0, x 6= 0 or y 6= 0.
x
y
This equation with separated variables is equivalent to initial equation
in open set G1 , which is get eliminating coordinate axis from the plane,
i.e. indeed we consider four ODE (in every quarter of the plane). By
integrating we find general integral
Z
Z
1
1
dx +
dy = ln |x| + ln |y| = ln |xy| (u1 = ln |x| + ln |y|).
C1 =
x
y
It is convenient the arbitrary constant C1 to note as ln |C|, where C 6= 0,
because ln |C| can obtain (when ln |C|) any value from R. Then we get
ln |C| = ln |xy|, or |xy| = |C| or xy = C, C 6= 0. Therefore, multiplying
1
by = xy
(or dividing by 1 = xy) we lost some solutions. Consequently
we must always check, if equation 1 = xy = 0 does not define any
35
[2012 01 18 (19:46)]
1 = x1 y 3 ,
u1 = yx2 ;
1 = yx dx + x2 dy,
2 = x2 y 1 ,
u2 = xy.
4.2.4.
Let us assume, that we have an isolated singular point of ODE (x0 , y0 ), where
v(x0 , y0 ) = w(x0 , y0 ) = 0. Without loss of generality we assume that such
singular point is in the origin. It is well known two methods how to consider
ODE in the neighborhood of that point: 1) -process; 2) -process, which
correspond the changing of Descartes11 coordinates (x, y) R 2 := R2 r {(0, 0)}
to homogenous coordinates or polar coordinates.
-process is substitution of variables in domain R 2 :
(x, y) (t, z),
(x, y) (t1 , z1 ),
z1 =
t = x, z =
x
, t1 = y
y
y
x
(x = t, y = zt), when x 6= 0;
(4.41)
(x = z1 t1 , y = t1 ), when y 6= 0.
(4.42)
36
y=zx
t
a
-
1
x s
~ -1
-1
a
8
-2
-2
a
-2
-1
- 0 1
s-1
z
-1
-2
- t
-1
-2
-2
-
-1
-2
-1
-1
-2
-2
-1
s
2
-
0
z~
s-1
y
2
Let us assume, that v and w are homogeneous functions of the same measurement, i.e. v(x, y) = m v(x, y), w(x, y) = m w(x, y). Let us notice,
that v(0, 0) = w(0, 0) = 0. Using -process, we get ( dx = dt, dy = z dt + t dz)
ODE with separable variables:
11 Ren
tm v(1, z) + w(1, z)z dt + tm+1 dz = 0.
12 August
37
[2012 01 18 (19:46)]
We nd integrating factor
=
1
tm+1 (v(1,z)+w(1,z)z)
1
tv(t,zt)+w(t,zt)zt
1
.
xv(x, y) + yw(x, y)
(4.43)
dy = z dt + z dt.
b) (xy y) dx + x dy = 0;
f) (y + xy) dx x dy = 0;
e) xy y = x tan xy ;
x = r cos , y = r sin .
(4.44)
We notice, that in the domain R2x,y r {y = 0, x > 0} the substitution to polar coordinates in the domain r > 0 and (; ) is dened by the same
formulae. Consequently usually it is assumed, that the substitution of coordi 2 (locally we always choose one of the variants ((0; 2) or
nates is done in R
2 we have semi-innite cylinder
(; )). We can assume, that instead of R
(see Fig. 1.24). Otherwise, it is convenient to parameterise integral curves by
parameter R and let integral curves "to roll" itself round the cylinder.
We write the relations of dierentials:
dx = cos dr r sin d,
dy = sin dr + r cos d.
(4.45)
38
p/2
3p/4
p/4
p
a
-p
r
0
x p
-p/4
-3p/4
b= -p
-p/2
-3p/4
-p/2 -p/4
b=p
p-1
x
j
-p
3p
39
[2012 01 18 (19:46)]
4.2.5.
z(x, y)
v w
y
x
v w
y
x
= (x + y)
wv
v w
y
x
2xw2yv
= (x)
= (x2 + y 2 )
v w
y
x
ywxv
= (xy)
y
xy
x2 y 2
x
y
v w
y
x
v w
y
x
= (x y)
w+v
v w
y
x
2xw+2yv
= (y)
= (x2 y 2 )
v w
y
x
yw
v
2
x2
x
y
= ( x
)
x
y
x
y
If
v
w
y x
z
z
v y
w x
= (z),
(4.46)
(4.47)
R
C(R), then 1-form d (z) dz is exact and = (z) dz. Relation (4.47)
is necessary and sucient condition of existence of integrating factor, depending
on function z = z(x, y), to equation v dx + w dy = 0. For some functions these
conditions are presented in table 1.1.
Problem 1.30. Find integrating factor as a composite function to the equation (x +
y) dx + (y x) dy = 0 (see E.g. 1.37 and E.g. 1.27).
Problem 1.31. Check, if integrating factor depends on function z. Find the factor (if
it exists) and integrate ODE:
a) (xy x2 ) dx + (y 2 3xy 2x2 ) dy = 0, z = x;
b) y(1 + xy) dx x dy = 0, z = y;
f) (xy 1) dx + x2 dy = 0, z = xy;
g) y(x 3y 2 ) dx + (6xy 2 + x2 ) dy = 0, z = x2 y.
40
a) z = ax + by;
c) z = y x2 ;
c) z = x2 y;
d) z = y 2 x;
e) z = x2 y;
f) z = x + xy + y .
= f (x)y + g(x),
f, g C(I),
x I R,
(4.48)
f (t) :=
v
(t, 0 (t); 0),
x
g(t) :=
v
(t, 0 (t); 0),
(4.49)
41
[2012 01 18 (19:46)]
dy
= g(x, y) is a circle (x x0 )2 +
Let us assume, that in the plane integral curve of ODE dx
2
2
(y y0 ) = R . We can take (x0 , y0 ) = (0, 0) and R = 1. Using (??) relations, show that
in polar coordinate the equation is written is such form
w( + 2, r) = w(, r),
(4.50)
4.3.1.
= f (x)y,
f C(I),
x I R.
(4.51)
Theorem 1.8. The formula of solution of homogeneous LDE (4.51) with initial
conditions (x0 , y0 ) is
R
y = y0 e
x
x0
f () d
(4.52)
Zero (trivial) solution is a particular solution, because exponent is always positive. Every
non-trivial solution does not change the sign, because y(x)/y(x0 ) > 0.
All solutions of homogeneous LDE (4.51) are obtained from general solution
y = C(x),
(x) = K(x, x0 ) := e
Rx
x0
f (x) dx
(4.53)
Function K(x, x0 ) is called Cauchy function. Let us notice, that Cauchy function
coincides with Cauchy problem initial condition y(x0 ) = 1 and it is not the
unique (it depends on parameter x0 ). Cauchy functions satisfy K(x, x) = 1
x I.
Corollary 1.4. The set of solutions of homogeneous LDE (4.51) is one-dimension.
42
Mb
l>1
x
0
3T
2T
3T
2T
3T
l<1
2T
Mb
0
b
0
Mb
2T
l=1
3T
Figure 1.28
Monodromy operator.
y(0) = 1.
(4.54)
=
ln y = ln(1 + x2 ).
2
y
1 + x2
1
0 1+
Then the solution is y = (x) = 1 + x2 . Consequently general solution
is y = C(1 + x2 ) (plot integral curves). Formula of integral curve, pass2
ing through the point (x0 , y0 ), is y = y0 1+x
and Cauchy function is
1+x2
K(x, x0 ) =
1+x2
.
1+x2
0
Example 1.44. Let us solve Cauchy problem y +tan x y = 0, x (/2; /2), y(0) =
2. We separate variables and by integrating we find non-zero solutions
(C 6= 0):
1
sin x
dy =
dx
y
cos x
y = C cos x.
4.3.2.
= f (x)y,
f C(I),
f (x + T ) = f (x),
x R.
(4.55)
43
[2012 01 18 (19:46)]
Let us assume, that (x) is a solution of LDE (4.55). Let us dene monodromy
operator (see Fig. 1.28):
M : R R,
M : (0) 7 (T ).
dy
dx
= y(y + 2)(2(y +
d) y +
1
y
1+x2
2x
y
1+x2
= 0; c) y + 2xy = 0, y(1) = e;
e) y + x1 y 2 = 0;
= 0;
h) xy + y = 0;
4.3.3.
j) xy + y = 0.
g) y y cos x = 0, y() = 5;
44
w
x
v
y
(4.57)
w
x = f (x), consequently
= f (x),
1
,
is equivalent to equation
dy
g(x)
y
g(x)
dx
y
+
= 0 or d =
dx.
2
By integrating we get
y = (C +
g(x)
dx).
(4.58)
45
[2012 01 18 (19:46)]
ya = c(x)(x) =
x0
(4.62)
d) y =
1
;
x cos y+sin y
f) y + x3 y = 4x3 , y(0) = 1;
4.3.4.
g) y 3y = e3x , y(0) = 2.
Bernoulli equation
f (x)y = g(x)y ,
x I, y > 0,
f, g C(I)
(4.64)
takes an important place in history of mathematics. The rst, who solved this
equation, was Leibniz. When = 0 or = 1, then Bernoulli equation is LDE.
We will solve this equation in other cases, when it is non-linear. The left side of
Bernoulli equation is linear, so let us try to solve it using variation of constants
method, substituting varied general solution of homogeneous LDE y = c(x)(x):
(c) f c = c + c( f ) = gc .
We obtain ODE with separable variables for varied constant
dc
= c g(x)1 (x).
dx
14 Jakob
46
When > 0 then this ODE has trivial solution c 0. In other cases there is
no zero solution. We nd non-zero solutions
Z
Z
dc
dc
1
=
c
g(x)
(x)
dx
=
g(x)1 (x) dx + C
c
c
Z
c1
= g(x)1 (x) dx + C.
(4.65)
1
We write general solution of Bernoulli equation ( 6= 0, 6= 1):
R
1
1
.
y = ( g(x)1 (x) dx + C)(1 )
(4.66)
R
When (0; 1), then integral 0 cdc
converges, so c 0 (and it corresponding
y 0) is a singular Rsolution, which is reached by other solutions. When
(1; ), then integral 0 cdc
diverges, so c 0 is not a singular solution, and other
solutions tend to it asymptotically, and we can get solution c 0 from general
solution, when C = . When (; 0), then we can get all solutions of
Bernoulli equation from general solution, when C R.
Problem 1.43. Solve ODE and plot integral curves:
a) y + x1 y =
1
;
y
b) y 32 y = 23 xy 3 ; c) y x2 y =
2 y
.
x
Problem 1.44. In the first quarter find curves, having such property: segment, which is
intercepted by tangent line of curve in ordinates axis, is equal to square
of ordinate of point of tangency.
Problem 1.45 [Riccati equation].
Equation
dy
dx
x I Rx ,
f, g, h C(I)
15 Jacopo
Chapter 2
Linear dierential equations
In this chapter we will study n-th order linear dierential equations. The solvability of
these equations are related with the nding of fundamental system. Also we will study
linear dierential equation with constant coecients as a separate case.
1.
(1.1)
(1.2)
The unique pair of solutions exists for these systems as well. In this chapter ODE and
its solutions can be real and complex functions. Scalars can be from eld K = R or from
eld K = C as well.
47
48
If f 0, then equation (1.1) is called homogeneous, otherwise nonhomogeneous. For every (non-homogeneous) linear dierential equation (1.1)
we can write the homogeneous one.
1.1.
, K,
z1 , z2 L1 .
(1.3)
Therefore, dierential operator Ln , dened by formula (2.2), is linear operator, which is mapping linear space C n (I) in linear space C(I). Then linear
dierential equation (1.1) can be written as a linear equation
Ln [z] = f.
(1.4)
(1.5)
Proposition 2.1. Solutions of homogeneous equation Az = 0 compose the linear manifold in the space L1 . This linear manifold coincides with the kernel ker A := {z
L1 : Az = 0} of the linear operator A (see Fig. 2.1) . In other words, the linear combination of two solutions of linear homogeneous equation is the solution of linear homogeneous
equation. In special case, y = 0 always is a solution.
Proof.
49
[2012 01 18 (19:46)]
Problem 2.2. Formulate statements 2.1 and 2.2 and their corollaries to solutions of
n-th order linear differential equation.
Example 2.1. Let us take the first order homogeneous linear differential equation z
z = 0. Its general solution is z = Cex , C R. If z1 = C1 ex and
z2 = C2 ex , then z1 + z2 = (C1 + C2 )ex is also the solution of this
linear differential equation. The space of solutions is one-dimensional,
because it is enough to find one non-zero solution = ex and then all
other solutions are z = C (see Fig. 2.2).
Example 2.2. Let us take the first order non-homogeneous linear differential equation
z z = x. The particular solution of this equation is za = x +
1. General solution of homogeneous linear differential equation is z =
Cex . Therefore, general solution of non-homogeneous linear differential
equation is z = Cex + x + 1 (see Fig. 2.3).
Example 2.3. Let us take the first order non-homogeneous linear differential equation
z z = 2ex . The particular solution of this equation is za = ex .
Therefore, general solution of non-homogeneous linear differential equation is z = Cex + ex .
50
Example 2.4. Let us take the first order non-homogeneous linear differential equation
z z = x + ex . Since x + ex = 1 (x) + (1/2) (2ex ),
then from superposition principle follows that particular solution of nonhomogeneous linear differential equation is za = 1(x+1)+(1/2)(ex ).
Then general solution of non-homogeneous linear differential equation is
z = Cex + x + 1 ex /2.
1.2.
Elements (vectors) v1 , . . . , vn from linear space L are linearly independent, if the equality
1 v1 + + n vn = 0
(1.6)
(1.7)
51
[2012 01 18 (19:46)]
z2 (x)
z2 (x)
...
(n1)
(x)
z2
...
zn (x)
...
zn (x)
...
...
(n1)
. . . zn
(x)
(1.8)
If Wronski determinant is equal (identically) to zero, then functions are dependent not
necessarily. (see E.g. 2.5).
Problem 2.4. Find Wronski determinants W [F, G], W [F, H], W [G, H] of functions
from example 2.5.
1.3.
52
z1 (x0 )
z2 (x0 )
z1 (x0 )
z2 (x0 )
...
...
(n1)
(n1)
(x0 )
(x0 ) z2
z1
...
zn (x0 )
C1
C2
...
zn (x0 )
...
...
...
(n1)
Cn
. . . zn
(x0 )
0
0
=
...
0
Corollary 2.3 [Necessary and sufficient condition of linear independence of solutions of homogeneous LDE ]. Solutions of LDE are linearly
independent if and only if their Wronski determinant are not equal to zero at
any point.
Definition 2.4. System z1 , . . . , zn , which is constructed of linearly independent
solutions of homogeneous LDE, is called a fundamental system of solutions.
We can get this system by solving Cauchy problem with initial conditions:
z1 (x0 ) = 1,
z1 (x0 ) = 0,
z2 (x0 ) = 0,
...
z2 (x0 )
zn (x0 ) = 0,
zn (x0 )
= 1,
...
= 0,
(n1)
...,
z1
...,
...
(n1)
z2
(x0 )
(x0 ) = 0;
...,
zn(n1) (x0 ) = 1.
= 0;
...
n
X
i=1
Ci zi .
(1.9)
53
[2012 01 18 (19:46)]
z1 (x0 )
z2 (x0 )
z1 (x0 )
z2 (x0 )
...
...
(n1)
(n1)
(x0 ) z2
(x0 )
z1
...
zn (x0 )
C1
C2
...
zn (x0 )
...
...
...
(n1)
Cn
. . . zn
(x0 )
z(x0 )
z (x0 )
.
=
...
z (n1) (x0 )
The determinant of this system coincides with Wronski determinant of fundamental system at the initial point x0 . Since it is not equal to zero, we uniquely
nd arbitrary constants. Therefore, formula (1.9) denes a general solution.
z
z
z
z
1
0
0
0
x
1
0
0
x2
2x
2
0
z = 0.
Problem 2.6. Write the ODE, which has such fundamental system of solutions:
a) 1, ex ;
b) sin x, cos x;
c) x, x2 .
54
Liouvilles formula
z1
...
zn
z
.
.
.
z
d
n
z1
...
zn + . . .
W [z1 , . . . , zn ] = . .1.
...
. . . =
dx
...
...
. . .
z (n1) . . . zn(n1) (n1)
(n1)
1
z
. . . zn
1
z1
...
zn
...
zn z1
z1
z1
...
zn
...
zn
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
+
+
z (n1) . . . zn(n1) z (n2) . . . zn(n2)
1
1
(n)
z (n1) . . . z (n1) z (n)
.
.
.
z
n
n
1
1
The rst n 1 determinants have two equal rows, i.e. all of them are equal to
zero. Therefore, the derivative of Wronskian is equal to the last determinant.
Functions z1 , . . . , zn are the solutions of homogeneous LDE and the elements of
the last row of this determinant are equal to
(n)
zi
(n1)
= a1 (x)zi
(n2)
a2 (x)zi
an (x)zi ,
i = 1, . . . , n.
Therefore,
z1
...
zn
z1
...
zn
...
...
W [z1 , . . . , zn ](x) = a1 (x) . . .
z (n2) . . . zn(n2)
1
z (n1) . . . z (n1)
n
1
z1
z1
...
zn
z1
z1
...
zn
...
. . . an (x) . . .
a2 (x) . . .
(n2)
z
z (n2) . . . zn(n2)
1
1
z1
z (n2) . . . z (n2)
n
1
...
zn
...
zn
...
...
(n2)
. . . zn
...
zn
The last n 1 determinants have two equal rows, i.e. all of them are equal to
zero, while the rst one coincides with Wronskian. So we got that Wronskian
is a solution of ODE
W = a1 (x)W.
(1.10)
Rx
Since function (x) = exp x0 a1 () d is a non-zero solution of this equation, W = C(x) is a general solution. Taking an arbitrary constant we get
Liouvilles 2 formula:
Z x
a1 () d .
(1.11)
W [z1 , . . . , zn ](x) = W [z1 , . . . , zn ](x0 )exp
x0
2 Joseph
55
[2012 01 18 (19:46)]
Corollary 2.6. Ratio W [z1 , . . . , zn ](x)/W [z1 , . . . , zn ](x0 ) is independent of choosing a fundamental system of LDE, while it depends only on LDE.
Corollary 2.7. We proved corollary 2.3 once again.
Example 2.8. We will find the Wronski determinant of Legendres
2
2x
1x
2.
equation
x 6= 1.
(1.12)
So
W (x) = W (x0 )
1 x20
.
1 x2
Let us assume, that we found Wronskian W (x) of the second order LDE and
we know one of the solutions z1 = (x) 6= 0. Then
z
2
z1
z1 z2 z1 z2
= W (x)/2 (x).
z12
(1.13)
1.4.
At the beginning of the chapter we got corollaries (2.1) and (2.2). Now we
formulate them to LDE.
Lemma 2.2. The general solution of non-homogeneous LDE (1.1) is equal to
the sum of general solution of homogeneous LDE zbh and particular solution of
non-homogeneous LDE za
zbnh = zbh + za .
3 Adrien
(1.14)
56
1.4.1.
Variation of constants
Variation of constants (Legendres method 4 ) frequently is used in investigating an inuence on process of disturbances. For example, analysing motion of planets around the
sun, in the rst approximation trajectories of motion of planets are considered as ellipses
(Keplers5 law). They are the solutions of not perturbed system. If we want to involve into
the model the inuence of other planets, we can assume, that the planet moves according
to Keplers law, but parameters of ellipse are (a little) changing in time, i.e. parameters,
which were constant in the not perturbed model, now they are analysing as functions
depending on time.
Usually it is easier to solve an equation, which describes variation of these constants
than the initial ODE. In the specic case, investigating non-homogeneous LDE
z (n) + a1 (x)z (n1) + + an1 (x)z + an (x)z = f (x),
(1.15)
its not perturbed equation is homogeneous LDE, which has the solution
z=
n
X
Ci zi ,
(1.16)
i=1
n
X
vi (x)zi (x).
(1.17)
i=1
i=1
if
n
X
(1.18)
i=1
vi zi = 0.
(1.19)
i=1
4 Joseph
5 Johann
i=1
k = 1, . . . , n 1,
i=1
(1.20)
57
if
n
X
(k1)
vi zi
= 0,
[2012 01 18 (19:46)]
k = 1, . . . , n 1,
(1.21)
i=1
and
z (n) =
n
X
(n)
vi zi
X
n
(n1)
vi zi
i=1
i=1
(1.22)
n
X
vi L[ zi ] +
X
n
(n1)
vi zi
i=1
i=1
n
X
(n1)
vi zi
= f.
(1.23)
i=1
z1
z1
...
(n2)
z1
(n1)
z1
z2
z2
...
(n2)
z2
(n1)
z2
...
zn
...
zn
...
...
(n2)
. . . zn
(n1)
. . . zn
v1
v2
...
vn1
vn
0
0
...
0
f
(1.24)
Since the determinant of this system coincides with Wronski determinant, which
is not equal to zero, we uniquely nd
vi = fi (x),
i = 1, . . . , n.
By integrating, we get
vi = gi (x) + Ci =
fi (x) dx + Ci ,
i = 1, . . . , n.
(1.25)
n
X
i=1
gi (x)zi (x).
(1.26)
58
Bibliography
59