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Thread: DE Tutorial - Part I: First Order Equations and Homogeneous Second Order Equations

  1. #1
    Rhymes with Orange Chris L T521's Avatar
    May 2008
    Chicago, IL

    DE Tutorial - Part I: First Order Equations and Homogeneous Second Order Equations

    Once in a while, differential equation questions pop up, so I'm going to point out the various techniques on how to solve them:

    1. Direct Integration:

    If you have a differential equation in the form $\displaystyle \dfrac{dy}{dx}=f(x)$, we can use direct integration to solve the DE.

    Example 1:

    Solve $\displaystyle \dfrac{dy}{dx}=3x^2.$

    To solve, simply integrate both sides of the equation:

    $\displaystyle \displaystyle\int\frac{dy}{dx}\,dx=\int 3x^2\,dx \implies y+C_1=x^3+C_2 \implies \boxed{y=x^3+C}.$ Note that we can combine the two constants into a new constant C.

    Also, we may encounter differential equations with given conditions. These types of differential equations are called initial value problems (IVP). When solving a DE without conditions, we always find the General Solution to the DE. When an initial condition is applied, then we are finding a Particular Solution. Let's go through a quick example.

    Example 2:

    Solve $\displaystyle \dfrac{dy}{dx}=xe^{-x};\quad y(0)=0.$

    Directly integrate the DE:

    $\displaystyle \displaystyle\int\frac{dy}{dx}\,dx=\int xe^{-x}\,dx.$

    We need to apply integration by parts to the integral on the right side:

    $\displaystyle \displaystyle \int xe^{-x}\,dx.$

    let $\displaystyle u=x$ and $\displaystyle dv=e^{-x}\,dx.$ Therefore, $\displaystyle du=dx$ and $\displaystyle v=-e^{-x}.$

    $\displaystyle \displaystyle\therefore \int xe^{-x}\,dx=-xe^{-x}+\int e^{-x}\,dx=-xe^{-x}-e^{-x}+C=-e^{-x}(x+1)+C.$

    Now apply the initial condition $\displaystyle y(0)=1:$

    $\displaystyle 1=-e^{0}(0+1)+C \implies C=2.$

    Thus, our particular solution is $\displaystyle \boxed{y=-e^{-x}(x+1)+2}.$


    2. Separation of Variables

    Another technique in solving differential equations is separation of variables. As the name suggests, we "separate" one variable from another in order to find a solution. Some of these are very straight-forward, whereas some of the DE's require some thought. I will go through an easier example, and then a harder one.

    Example 3:

    Solve $\displaystyle \dfrac{dy}{dx}=4x^3y-y;\quad y(1)=-3.$

    First, factor out a $\displaystyle y$ and then separate the variables:

    $\displaystyle \displaystyle\frac{dy}{dx}={\left(4x^3-1\right)}y \implies \frac{dy}{y}={\left(4x^3-1\right)}\,dx.$

    Integrate both sides and solve for y.

    $\displaystyle \displaystyle\int\frac{dy}{y}=\int{\left(4x^3-1\right)}\,dx \implies \ln\left|y\right|=x^4-x+C \implies \left|y\right|=e^{C}e^{x^4-x} \implies y=Ce^{x^4-x}.$

    Apply the initial condition $\displaystyle y(1)=-3:$

    $\displaystyle -3=Ce^{0} \implies C=-3.$

    $\displaystyle \therefore \boxed{y=-3e^{x^4-x}}.$

    Example 4:

    Solve $\displaystyle x^2\dfrac{dy}{dx}=1-x^2+y^2-x^2y^2.$

    Factor the right hand side of the equation:

    $\displaystyle \displaystyle x^2\frac{dy}{dx}=1-x^2+(1-x^2)y^2 \implies x^2\frac{dy}{dx}=(1-x^2)(1+y^2).$

    Separate the variables and integrate:

    $\displaystyle \displaystyle\frac{dy}{1+y^2}=\frac{1-x^2}{x^2}\,dx\implies \int \frac{dy}{1+y^2}= \int\frac{1-x^2}{x^2}\,dx\implies \tan^{-1}(y)=-\frac{1}{x}-x+C.$

    Solve for y:

    $\displaystyle \boxed{y=\tan{\left(-\frac{1}{x}-x+C\right)}}.$


    I will post more later on today...after I sleep
    Last edited by mash; Mar 5th 2012 at 12:11 PM. Reason: fixed latex
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  2. #2
    Rhymes with Orange Chris L T521's Avatar
    May 2008
    Chicago, IL
    3. The Integrating Factor

    The method of the integrating factor is used when we have differential equations in the form $\displaystyle \dfrac{dy}{dx}+P(x)y=Q(x).$ Multiplying the equation through by the integrating factor $\displaystyle e^{\int P(x)\,dx},$ we would have the equation $\displaystyle \left[e^{\int P(x)\,dx}y\right]'=Q(x)e^{\int P(x)\,dx}.$ Integrating both sides and solving for $\displaystyle y$, we get:

    $\displaystyle \displaystyle y=e^{-\int P(x)\,dx}\left[\int Q(x)e^{\int P(x)\,dx}\,dx\right]+C e^{-\int P(x)\,dx}.$

    Let us go through an easy example, and then a challenging one.

    Example 5:

    Solve $\displaystyle \displaystyle x\frac{dy}{dx}+y=3xy;\quad y(1)=0.$

    $\displaystyle x\dfrac{dy}{dx}+y=3xy \implies x\dfrac{dy}{dx}+(1-3x)y=0.$

    In order to apply the integrating factor, the coefficient of $\displaystyle \dfrac{dy}{dx}$ must be equal to 1.

    $\displaystyle \displaystyle x\frac{dy}{dx}+(1-3x)y=0 \implies \frac{dy}{dx}+\left(\frac{1}{x}-3\right)y=0.$

    Now find the integrating factor:

    $\displaystyle \rho(x)=e^{\int P(x)\,dx}=e^{\int {\left(\frac{1}{x}-3\right)}\,dx}=e^{\ln(x)-3x}=xe^{-3x}.$

    Multiplying through, we should get

    $\displaystyle \left[xe^{-3x}y\right]'=0.$

    Integrating, we find that

    $\displaystyle xe^{-3x}y=C.$

    Imposing the initial condition $\displaystyle y\left(1\right)=0,$ we see that $\displaystyle e^{-3}\cdot 0=C\implies C=0.$

    Therefore, the solution to the differential equation is $\displaystyle y=0\cdot x^{-1}e^{3x}\implies \boxed{y \equiv 0}.$

    Example 6:

    Solve $\displaystyle (x^2+1)\dfrac{dy}{dx}+3x^3y=6xe^{-3x^{2}/2};\quad y(0)=1.$

    Divide through by $\displaystyle x^2+1:$

    $\displaystyle \displaystyle \frac{dy}{dx}+\frac{3x^3}{x^2+1}\,y=\frac{6xe^{-3x^{2}/2}}{x^2+1}.$

    Now find the integrating factor:

    $\displaystyle \displaystyle \rho(x)=e^{\int P(x)\,dx}=e^{\int \frac{3x^3}{x^2+1}\,dx}.$

    Apply long division to simplify the integrand:

    (Verify): $\displaystyle \displaystyle \rho(x)=e^{\int{\left(3x-\frac{3x}{x^2+1}\right)}\,dx}=e^{3x^{2}/2-3\ln(x^2+1)/2}=(x^2+1)^{-3/2}e^{3x^{2}/2}.$

    Multiplying through by the integrating factor, we should get

    (Verify): $\displaystyle \displaystyle \left[(x^2+1)^{-3/2}\,e^{3x^{2}/2}\,y\right]'=\frac{6x}{(x^2+1)^{5/2}}.$

    Integrating both sides and then solving for $\displaystyle y$, we get

    $\displaystyle (x^2+1)^{-3/2}e^{3x^{2}/2}y=-\frac{2}{(x^2+1)^{3/2}}+C \implies y=e^{-3x^2/2}{\left(C(x^2+1)^{3/2}-2\right)}.$

    Now apply the initial condition $\displaystyle y(0)=1:$

    $\displaystyle 1=C-2 \implies C=3.$

    Therefore, our particular solution will be

    $\displaystyle \boxed{y=e^{-3x^2/2}\left(3(x^2+1)^{3/2}-2\right)}.$


    4. Exact Equations

    In order to use the technique to solve exact equations, the equations must be in the form:

    $\displaystyle M(x,y)\,dx+N(x,y)\,dy=0,$

    And they must satisfy this one condition:

    $\displaystyle \dfrac{\partial M}{\partial y}=\dfrac{\partial N}{\partial x}.$

    If this relationship is true, we'll continue on with this technique. If its not true, we will resort to 2 other possible techniques which will be discussed later.

    When we go about solving this, we should make known that $\displaystyle \dfrac{\partial f}{\partial x}=M(x,y)$ and that $\displaystyle \dfrac{\partial f}{\partial y}=N(x,y).$

    Step one: find $\displaystyle f(x,y).$ You can do it two ways, but I will do it this way because it's the most common way:

    $\displaystyle \displaystyle \frac{\partial f}{\partial x}=M(x,y) \implies \int\frac{\partial f}{\partial x}\,dx=\int M(x,y)\,dx \implies f(x,y)=\int M(x,y)\,dx + g(y).$

    Step 2: Find $\displaystyle g(y).$ To do this, partially differentiate $\displaystyle f(x,y)$ with respect to $\displaystyle y:$

    $\displaystyle \displaystyle \frac{\partial f}{\partial y}=\frac{\partial}{\partial y}\int M(x,y)\,dx+g'(y).$

    Since $\displaystyle N(x,y)=\dfrac{\partial f}{\partial y},$

    $\displaystyle \displaystyle N(x,y)=\frac{\partial}{\partial y}\int M(x,y)\,dx+g'(y).$

    Solving for $\displaystyle g'(y),$ we get

    $\displaystyle \displaystyle N(x,y)-\frac{\partial}{\partial y}\int M(x,y)\,dx=g'(y).$

    Integrate to find $\displaystyle g(y):$

    $\displaystyle \displaystyle g(y)=\int\left(N(x,y)-\frac{\partial}{\partial y}\int M(x,y)\,dx\right)\,dy.$

    Step 3: write solution in general form.

    The general solution of an exact equation will have the form

    $\displaystyle f(x,y)=C.$

    Since $\displaystyle \displaystyle f(x,y)=\int M(x,y)\,dx + \int\left(N(x,y)-\frac{\partial}{\partial y}\int M(x,y)\,dx\right)\,dy,$ the general solution will be

    $\displaystyle \displaystyle \int M(x,y)\,dx + \int\left(N(x,y)-\frac{\partial}{\partial y}\int M(x,y)\,dx\right)\,dy=C.$

    Example 7:

    Solve $\displaystyle \displaystyle (\cos(x)+\ln(y))\,dx+\left(\frac{x}{y}+e^{y}\right )dy=0.$


    $\displaystyle M(x,y)=\cos(x)+\ln(y),$ and

    $\displaystyle \displaystyle N(x,y)=\frac{x}{y}+e^{y}.$

    Test for exactness:

    $\displaystyle \displaystyle \frac{\partial M}{\partial y}=\frac{1}{y},$ and

    $\displaystyle \displaystyle \frac{\partial N}{\partial x}=\frac{1}{y}.$

    They are equal, so the DE is exact.

    Find$\displaystyle f(x,y):$

    $\displaystyle \displaystyle f(x,y)=\int (\cos(x)+\ln(y))\,dx \implies f(x,y)=\sin(x)+x\ln(y)+g(y).$

    Now find $\displaystyle g(y):$

    $\displaystyle \displaystyle \frac{\partial f}{\partial y}=\frac{x}{y}+g'(y).$

    Since $\displaystyle N(x,y)=\dfrac{\partial f}{\partial y},$

    $\displaystyle \displaystyle \frac{x}{y}+e^{y}=\frac{x}{y}+g'(y) \implies g'(y)=e^{y} \implies g(y)=e^{y}.$


    $\displaystyle f(x,y)=\sin(x)+x\ln(y)+e^{y},$

    and the general solution is

    $\displaystyle \boxed{\sin(x)+x\ln(y)+e^{y}=C}.$


    I will be back later with more...
    Last edited by Jester; Apr 10th 2014 at 01:26 PM. Reason: fixed latex
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  3. #3
    Rhymes with Orange Chris L T521's Avatar
    May 2008
    Chicago, IL
    5. Bernoulli Equations

    A differential equation that has the form $\displaystyle \dfrac{dy}{dx}+P(x)y=Q(x)y^n$ is known as a Bernoulli's Equation. When $\displaystyle n=0$ or $\displaystyle n=1,$ the equation is linear. However, when $\displaystyle n>1,$ we make a substitution $\displaystyle v=y^{n-1},$ which then transforms it into a linear DE of the form : $\displaystyle \dfrac{dv}{dx}+(1-n)P(x)v=(1-n)Q(x).$

    Example 8:

    Solve $\displaystyle x\dfrac{dy}{dx}+6y=3xy^{4/3}.$

    This can easily be recognized as a Bernoulli's Equation where $\displaystyle n=\frac{4}{3}.$ Therefore, $\displaystyle 1-n=-\frac{1}{3}.$

    Make the substitution $\displaystyle v=y^{-1/3} \implies y=v^{-3}.$

    Find $\displaystyle \dfrac{dy}{dx}:$

    $\displaystyle \displaystyle \frac{dy}{dx}=\frac{dy}{dv}\frac{dv}{dx}=-3v^{-4}\frac{dv}{dx}.$

    Substituting these values into the differential equation, we get

    $\displaystyle \displaystyle -3xv^{-4}\frac{dv}{dx}+6v^{-3}=3xv^{-4} \implies \frac{dv}{dx}-\frac{2}{x}v=-1.$ We now have a linear DE, which we already know how to solve.

    Find the integrating factor:

    $\displaystyle \displaystyle \rho(x)=e^{\int P(x)\,dx}=e^{-2\int \frac{\,dx}{x}}=x^{-2}.$

    Multiply throughout by the integrating factor, and then simplify:

    $\displaystyle \displaystyle \left[x^{-2}v\right]'=-\frac{1}{x^2} \implies x^{-2}v=\frac{1}{x}+C \implies v=x+Cx^2.$

    We don't want to know what $\displaystyle v$ is. We want to know what $\displaystyle y$ is. Since $\displaystyle v=y^{-1/3},$ we see that

    $\displaystyle y^{-1/3}=x+Cx^2 \implies \boxed{y=\frac{1}{(x+Cx^2)^3}}.$


    Second Order Differential Equations

    A homogeneous second order differential equation has the form :

    $\displaystyle \displaystyle a\frac{d^2y}{dx^2}+b\frac{dy}{dx}+cy=0.$

    If we assume that a solution has the form $\displaystyle y=e^{rx},$ then the differential equation becomes

    $\displaystyle \displaystyle ar^2e^{rx}+bre^{rx}+ce^{rx}=0.$ Knowing that $\displaystyle e^{rx}>0,$ we can divide both sides by $\displaystyle e^{rx},$ which gives us

    $\displaystyle ar^2+br+c=0.$

    The equation above is know as the characteristic or auxillary equation. Solving for $\displaystyle r$, we use the quadratic formula:

    $\displaystyle \displaystyle r=\frac{-b\pm \sqrt{b^2-4ac}}{2a}.$

    Depending on the value of the discriminant $\displaystyle b^2-4ac,$ we have three different ways of finding the particular solution to a DE.

    $\displaystyle \bold{b^2-4ac>0:}$

    If this is the case, then we have 2 real distinct roots: $\displaystyle r_1=\dfrac{-b+\sqrt{b^2-4ac}}{2a}$ and $\displaystyle r_2=\dfrac{-b-\sqrt{b^2-4ac}}{2a}.$

    Due to the principle of superposition, if $\displaystyle f$ and $\displaystyle g$ are a solution to a DE, then any linear combination of $\displaystyle f$ and $\displaystyle g$ is also a solution (I will not prove this). Since $\displaystyle y_1=e^{\left(-b+\sqrt{b^2-4ac}\right)x/(2a)}$ and $\displaystyle y_2=e^{\left(-b-\sqrt{b^2-4ac}\right)x/(2a)}$ are solutions to the DE, then any linear combination of the two is a solution. Thus the general solution in this case will be:

    $\displaystyle \displaystyle y(x)=c_1y_1+c_2y_2=c_1e^{\left(-b+\sqrt{b^2-4ac}\right)x/(2a)}+c_2e^{\left(-b-\sqrt{b^2-4ac}\right)x/(2a)}.$

    $\displaystyle \bold{b^2-4ac=0:}$

    If this is the case, we have real, repeated roots $\displaystyle r_1=r_2=r=-\dfrac{b}{2a}.$ However, it will have a different solution, due to the fact that each of the solutions must be linearly independent of each other (this will be discussed later). As a result, the solutions will be $\displaystyle y_1=e^{-bx/(2a)}$ and $\displaystyle y_2=\bold{x} e^{-bx/(2a)}.$ (This is known as reduction of order, which will be proved when we discuss linear independence). Thus, the general solution in this case will be:

    $\displaystyle y=c_1e^{-bx/(2a)}+c_2xe^{-bx/(2a)}.$

    $\displaystyle \bold{b^2-4ac<0:}$

    If this is the case, then we have a pair of complex conjugate roots:

    $\displaystyle r_1=\alpha+\beta i$ and $\displaystyle r_2=\alpha - \beta i.$

    Thus, the solutions to the DE will be $\displaystyle y_1=e^{(\alpha+\beta i)x}=e^{\alpha x}e^{i\beta x}$ and $\displaystyle y_2=e^{(\alpha-\beta i)x}=e^{\alpha x}e^{-i\beta x}.$ Thus, the general solution will have the form

    $\displaystyle y=e^{\alpha x}{\left(c_1e^{i\beta x}+c_2e^{-i\beta x}\right)}.$

    We really don't want the complex numbers in here, so what we will do is use Euler's Formula to clean it up.

    Euler's Formula states that $\displaystyle e^{i\theta}=\cos(\theta)+i\sin(\theta).$


    $\displaystyle e^{i\beta x}=\cos(\beta x)+i\sin(\beta x),$ and

    $\displaystyle e^{-i\beta x}=\cos(\beta x)-i\sin(\beta x).$

    Substituting this back into the general solution, we have

    $\displaystyle y=e^{\alpha x}\left(c_1(\cos(\beta x)+i\sin(\beta x))+c_2(\cos(\beta x)-i\sin(\beta x))\right)$

    $\displaystyle =e^{\alpha x}\left((c_1+c_2)\cos(\beta x)+i(c_1-c_2)\sin(\beta x))\right).$

    By defining new constants $\displaystyle C_1=c_1+c_2$ and $\displaystyle C_2=i(c_1-c_2),$ the general solution is

    $\displaystyle y(x)=e^{\alpha x}\left(C_1\cos(\beta x)+C_2\sin(\beta x)\right).$

    Example 9:

    Solve $\displaystyle \dfrac{d^2y}{dx^2}-3\dfrac{dy}{dx}+2y=0;\quad y(0)=1;\quad y'(0)=0.$

    Assuming a solution of $\displaystyle y=e^{rx},$ we have:

    $\displaystyle r^2-3r+2=0 \implies (r-1)(r-2)=0 \implies r=1$ or $\displaystyle r=2.$

    Thus, $\displaystyle y_1=e^x$ and $\displaystyle y_2=e^{2x}.$ The general solution will be

    $\displaystyle y(x)=c_1e^{x}+c_2e^{2x}.$

    However, we are given two initial conditions, one for $\displaystyle y(x)$ and one for $\displaystyle y'(x).$ Let us first find $\displaystyle y'(x):$

    $\displaystyle y(x)=c_1e^x+2c_2e^{2x}.$

    Now apply the initial conditions:

    $\displaystyle 1=c_1+c_2,$ and

    $\displaystyle 0=c_1+2c_2.$

    We see that $\displaystyle -2c_2=c_1 \implies 1=-c_2\implies c_2=-1.$ Thus, $\displaystyle c_1=2.$

    Therefore, the particular solution is:

    $\displaystyle \boxed{y(x)=2e^x-e^{2x}}.$


    I will post more examples later...
    Last edited by mash; Mar 5th 2012 at 12:15 PM. Reason: fixed latex
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  4. #4
    Rhymes with Orange Chris L T521's Avatar
    May 2008
    Chicago, IL
    Linear Dependence and Linear Independence

    Linear Dependence

    The $\displaystyle n$-number of functions $\displaystyle f_1,f_2,f_3,...,f_n$ are said to be linearly dependent on the interval $\displaystyle I,$ provided that there exists constants $\displaystyle c_1,c_2,c_3,...,c_n$ not all zero such that
    $\displaystyle c_1f_1+c_2f_2+...+c_nf_n=0$ on $\displaystyle I;$ that is, when
    $\displaystyle c_1f_1(x)+c_2f_2(x)+...+c_nf_n(x)=0\ \forall \ x\in I.$

    Another way that a set of functions can be determined to be linear dependent is when the $\displaystyle n\times n$ Wronksian of $\displaystyle n$-number of functions is exactly equal to zero:

    $\displaystyle W= \left|\begin{array}{cccc}f_1 & f_2 & \cdots & f_n \cr
    f_{1}' & f_{2}' & \cdots & f_{n}' \cr
    \vdots & \vdots & \ddots & \vdots \cr
    f_{1}^{(n-1)} & f_{2}^{(n-1)} & \cdots & f_{n}^{(n-1)} \cr
    \end{array}\right|\equiv 0.$

    Example 10:

    Show that the functions $\displaystyle y_1=\sin(2x),\; y_2=\sin(x)\cos(x),\;\text{and}\; y_3=e^x$ are linearly dependent.

    We will go about it two ways: finding the constants $\displaystyle c_1, c_2, c_3$ such that $\displaystyle c_1y_1+c_2y_2+c_3y_3=0.$ The second way will be by using the Wronskian.

    It is alright for one of the constants to be zero, as long as all of the constants aren't zero. If we choose $\displaystyle c_3=0,$ we are left with $\displaystyle c_1\sin(2x)+c_2\sin(x)\cos(x).$ Noting that $\displaystyle \sin(2x)=2\sin(x)\cos(x),$ we can pick the remaining constants such that $\displaystyle c_1\sin(2x)+c_2\sin(x)\cos(x)=0.$ If we choose $\displaystyle c_1=1 \;\text{and}\; c_2=-2,$ we have

    $\displaystyle \sin(2x)-2\sin(x)\cos(x)=\sin(2x)-\sin(2x)=\boxed{0}.$

    The alternative way is by using the Wronskian:

    $\displaystyle W= \left|\begin{array}{ccc}
    \sin(2x) & \sin(x)\cos(x) & e^{x} \\
    2\cos(2x) & \cos(2x) & e^{x} \\
    -4\sin(2x) & -2\sin(2x) & e^{x}
    \cos(2x) & e^x \\
    -2\sin(2x) & e^{x}
    \end{array} \right|$

    $\displaystyle -\dfrac{1}{2}\,\sin(2x) \left|
    2\cos(2x) & e^{x} \\
    -4\sin(2x) & e^{x}
    \end{array} \right|+e^x \left|
    2\cos(2x) & \cos(2x) \\
    -4\sin(2x) & -2\sin(2x)
    \end{array} \right|$

    $\displaystyle =e^{x}\sin(2x)(\cos(2x)+2\sin(2x))-e^{x}\sin(2x)(\cos(2x)+2\sin(2x))+0=\boxed{0}.$

    Since $\displaystyle W\equiv 0$, this set of functions is linearly dependent.

    Linear Independence

    A function is linearly independent when the $\displaystyle n\times n$ Wronskian of $\displaystyle n$-number of functions is not equal to zero:

    $\displaystyle W= \left|\begin{array}{cccc}
    f_1 & f_2 & \cdots & f_n \\
    f_{1}' & f_{2}' & \cdots & f_{n}'\\
    \vdots & \vdots & \ddots & \vdots\\
    f_{1}^{(n-1)} & f_{2}^{(n-1)} & \cdots & f_{n}^{(n-1)}
    \end{array}\right|\neq 0.$

    Example 11:

    Show that the functions $\displaystyle y_1=e^{-3x},\;y_2=\cos(2x),\;\text{and}\; y_3=\sin(2x) $ are linearly independent.

    Find the Wronskian:

    $\displaystyle W= \left|\begin{array}{ccc}
    e^{-3x} & \cos(2x) & \sin(2x) \\
    -3e^{-3x} & -2\sin(2x) & 2\cos(2x) \\
    9e^{-3x} & -4\cos(2x) & -4\sin(2x)
    -2\sin(2x) & 2\cos(2x) \\
    -4\cos(2x) & -4\sin(2x)
    \end{array} \right|$

    $\displaystyle +3e^{-3x} \left|
    \cos(2x) & \sin(2x) \\
    -4\cos(2x) & -4\sin(2x)
    \end{array} \right|+9e^{-3x} \left|
    \cos(2x) & \sin(2x) \\
    -2\sin(2x) & 2\cos(2x)
    \end{array} \right|$

    $\displaystyle =8e^{-3x}+0+18e^{-3x}=\boxed{26e^{-3x} \neq 0 \ \forall \ x \in \mathbb{R}}.$

    Since $\displaystyle W\neq 0$, this set of functions is linearly independent.


    Reduction of Order

    When solving a homogeneous DE, we noted there were three cases:

    1) Real and Distinct roots
    2) Real repeated roots
    3) Complex conjugate roots

    Let us re-examine the second case.

    We said that if we had real repeated roots, then the solutions would have the form $\displaystyle y_1=e^{rx}$ and $\displaystyle y_2=xe^{rx}$. We will now see from where the $\displaystyle x$ comes.

    We want the solutions to be linearly independent. In other words,

    $\displaystyle y_2\neq cy_1$ or $\displaystyle y_1\neq cy_2$. Let $\displaystyle y_2=u(x)y_1$ where $\displaystyle u(x)$ is not a constant.

    In solving $\displaystyle y''+P(x)y'+Q(x)y=0,$ we will assume that $\displaystyle y_2=u(x)y_1$ is a solution to this DE.

    $\displaystyle y_2=u(x)y_1$

    $\displaystyle y_{2}'=u'(x)y_1+u(x)y_{1}'$

    $\displaystyle y_{2}''=u''(x)y_1+2u'(x)y_{1}'+u(x)y_{1}''.$

    Substitute these values into the differential equation:

    $\displaystyle u''(x)y_1+2u'(x)y_{1}'+u(x)y_{1}''+P(x)(u'(x)y_1+u (x)y_{1}')+Q(x)u(x)y_1=0.$

    Rewrite the DE so it's in terms of $\displaystyle u$ (i.e., $\displaystyle au''+bu'+cu=0$):

    $\displaystyle u''y_1+u'(2y_{1}'+P(x)y_1)+u(\underbrace{y_{1}''+P (x)y_{1}'+Q(x)y_1}}_{=0})=0.$

    The part indicated by the underbrace is equal to zero since $\displaystyle y_1$ is a solution to the DE.

    Thus, we are left with:

    $\displaystyle u''y_1+u'(2y_{1}'+P(x)y_1)=0.$

    If we let $\displaystyle w=u' \implies w'=u''$, we get a first order DE:

    $\displaystyle w'y_1+w(2y_{1}'+P(x)y_1)=0 \implies w'y_1=-w(2y_{1}'+P(x)y_1).$

    Separate the variables:

    $\displaystyle \displaystyle \frac{dw}{w}=-\left(\frac{2y_{1}'+P(x)y_1}{y_1}\right)\,dx$

    $\displaystyle \displaystyle \frac{dw}{w}=-\left(\frac{2y_{1}'}{y_1}+\frac{P(x)y_1}{y_1}\righ t)\,dx$

    $\displaystyle \displaystyle \frac{dw}{w}=-\left(\frac{2}{y_1}\frac{dy_1}{dx}+P(x)\right)\,dx$

    $\displaystyle \displaystyle \int\frac{dw}{w}=-\int\left(\frac{2}{y_1}\frac{dy_1}{dx}+P(x)\right) \,dx$

    $\displaystyle \displaystyle \ln\left|w\right|=-2\ln\left|y_1\right|-\int P(x)\,dx$

    $\displaystyle \displaystyle w=e^{-2\ln\left|y_1\right|-\int P(x)\,dx}$

    $\displaystyle \displaystyle w=y_{1}^{-2}e^{-\int P(x)\,dx}.$

    Since $\displaystyle w=u'(x)$,

    $\displaystyle \displaystyle u'=\frac{e^{-\int P(x)\,dx}}{y_{1}^{2}}$

    $\displaystyle \therefore \boxed{u=\int \left[\frac{e^{-\int P(x)\,dx}}{y_{1}^{2}}\right]\,dx}$

    $\displaystyle \therefore \boxed{y_2=\left(\int \left[\frac{e^{-\int P(x)\,dx}}{y_{1}^{2}}\right]\,dx\right)y_1}.$

    Example 12:

    Solve $\displaystyle y''-2y'+y=0.$

    Assuming a solution of the form $\displaystyle y=e^{rx},$ we have:

    $\displaystyle r^2-2r+1=0 \implies r=1$ with a multiplicity of 2 (Thus, we have repeated roots).

    The solutions will thus have the form $\displaystyle y_1=e^x$ and $\displaystyle y_2=u(x)e^x$ where

    $\displaystyle \displaystyle u=\int \left[\frac{e^{-\int P(x)\,dx}}{y_{1}^{2}}\right]\,dx.$

    Find $\displaystyle u(x):$

    $\displaystyle \displaystyle u(x)=\int \left[\frac{e^{\int 2\,dx}}{(e^x)^{2}}\right]\,dx=\int\frac{e^{2x}}{e^{2x}}\,dx=\int\,dx=\boxed {x}.$

    Therefore, $\displaystyle \boxed{y_2=xe^x}.$

    Therefore, $\displaystyle \boxed{y(x)=c_1e^x+c_2xe^x}.$


    Will post more when I'm done with finals...
    Last edited by Jester; Apr 10th 2014 at 01:29 PM. Reason: fixed latex
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  5. #5
    Rhymes with Orange Chris L T521's Avatar
    May 2008
    Chicago, IL
    Cauchy-Euler Equations:

    A second order homogeneous Cauchy-Euler Equation takes the form:

    $\displaystyle \displaystyle ax^2\frac{d^2y}{dx^2}+bx\frac{dy}{dx}+cy=0.$

    This time, we assume that a solution to the equation has the form $\displaystyle y=x^r.$ Substituting this in for $\displaystyle y$, we get the new equation

    $\displaystyle ax^2\left[r(r-1)x^{r-2}\right]+bx\left[rx^{r-1}\right]+cx^r=0.$

    Simplifying, we get:

    $\displaystyle a(r^2-r)x^{r}+brx^{r}+cx^{r}=0.$

    Pulling out a common factor of $\displaystyle x^r$, we get:

    $\displaystyle \left(a(r^2-r)+br+c\right)x^{r}=0.$

    Assuming that $\displaystyle x^r\neq 0$, we divide both sides by $\displaystyle x^r$ and get:

    $\displaystyle ar^2-ar+br+c=0 \implies ar^2+(b-a)r+c=0.$

    This is the characteristic equation for the Cauchy-Euler Equation.

    Again, just with the second order homogeneous DE with constant coefficients, there are three general cases:

    1) Real distinct roots.
    2) Real repeated roots.
    3) Complex conjugate roots.

    Case 1:

    If we have two real and distinct roots $\displaystyle r=r_1\;\text{and}\; r=r_2$, then the solutions to the DE are $\displaystyle y_1=x^{r_1}\;\text{and}\; y_2=x^{r_2}.$ Thus the general solution would be:

    $\displaystyle \boxed{y=c_1x^{r_1}+c_2x^{r_2}}.$

    Example 13:

    Solve $\displaystyle \displaystyle x^2\frac{d^2y}{dx^2}+7x\frac{dy}{dx}+5y=0.$

    Assuming a solution of $\displaystyle y=x^r,$ we get the characteristic equation

    $\displaystyle r^2+(7-1)r+5=0 \implies r^2+6r+5=0 \implies (r+1)(r+5)=0 \implies r=-1\;\text{or}\; r=-5.$

    Therefore, $\displaystyle y_1=x^{-1}\;\text{and}\;y_2=x^{-5}.$

    $\displaystyle \boxed{\therefore y=c_1x^{-1}+c_2x^{-5}}.$

    Case 2:

    If we have real repeated roots, then $\displaystyle r=r_1=r_2.$ Thus, the solutions take the form $\displaystyle y_1=x^{r}\;\text{and}\; y_2=u(x)x^{r},$ where

    $\displaystyle \displaystyle u(x)=\int\frac{e^{-\int P(x)\,dx}}{y_{1}^{2}}\,dx.$

    This is the case because $\displaystyle y_1\;\text{and}\;y_2$ must be linearly independent solutions. To use the reduction of order formula, we need to manipulate the original DE:

    $\displaystyle \displaystyle ax^2\frac{d^2y}{dx^2}+bx\frac{dy}{dx}+cy=0 \implies \frac{d^2y}{dx^2}+\frac{b}{ax}\frac{dy}{dx}+\frac{ c}{ax^2}=0.$

    Now apply Reduction of Order:

    $\displaystyle \displaystyle u(x)=\int\frac{e^{\int \frac{b}{ax} \,dx}}{x^{2r}}\,dx,$ where

    $\displaystyle \displaystyle r=\frac{-(b-a)}{2a}.$

    Thus, we get:

    $\displaystyle \displaystyle u(x)=\int\frac{e^{-\int \frac{b}{ax} \,dx}}{x^{2\frac{a-b}{2a}}}\,dx=\int\frac{x^{-\frac{b}{a}}}{x^{1}x^{-\frac{b}{a}}}\,dx=\int\frac{1}{x}\,dx=\boxed{\ln(x )}.$

    Thus, the solutions are $\displaystyle y_1=x^r\;\text{and}\; y_2=x^r \ln(x).$

    Therefore, the general solution is:

    $\displaystyle \boxed{y=c_1x^r+c_2x^r \ln(x)}.$

    Example 14:

    Solve $\displaystyle \displaystyle x^2\frac{d^2y}{dx^2}-3x\frac{dy}{dx}+4y=0.$

    Assuming a solution of $\displaystyle y=x^r,$ we get

    $\displaystyle r^2+(-3-1)r+4=0 \implies r^2-4r+4=0 \implies (r-2)^2=0$

    $\displaystyle \implies r=2\;\text{with multiplicity}\;2.$

    Thus, the solutions are $\displaystyle y_1=x^2\;\text{and}\;y_2=x^2 \ln(x).$

    Therefore, the general solution is:

    $\displaystyle \boxed{y=c_1x^2+c_2x^2 \ln(x)}.$

    Case 3:

    Whenever we have complex conjugate roots $\displaystyle r = \alpha \pm i\beta$, we see that our two solutions to the DE take on the form:

    $\displaystyle y_1 = x^{\alpha + i\beta}\;\text{and}\;y_2 = x^{\alpha - i\beta}.$

    However, it doesn't look pleasant with complex numbers in the solution. To take care of this, we will use Euler's Formula, which states that:

    $\displaystyle e^{i\theta } = \cos(\theta) + i\sin(\theta).$

    Since $\displaystyle x^r=e^{r\ln(x)},$ we can say that

    y_1 = e^{r_1 \ln(x)} = e^{\left( {\alpha + i\beta} \right)\ln(x)} = e^{\alpha \ln(x)} e^{i\beta \ln(x)} \hfill \\
    \text{and } \hfill \\
    y_2 = e^{r_2 \ln(x)} = e^{\left( {\alpha - i\beta} \right)\ln(x)} = e^{\alpha \ln(x)} e^{ - i\beta \ln(x)}. \hfill \\

    Now applying Euler's Formula, we get:

    e^{i\beta \ln(x)} = \cos \left( \beta \ln(x) \right) + i\sin \left( \beta \ln(x) \right) \hfill \\
    e^{ - i\left( \beta \ln(x) \right)} = \cos \left( -\beta\ln(x) \right) + i\sin \left( - \beta \ln(x) \right). \hfill \\

    Due to the even and odd properties of cosine and sine, we get that

    e^{ - i\beta \ln(x)} = \cos \left( \beta \ln(x) \right) - i\sin \left( \beta \ln(x) \right).

    Thus, the general solution in this case would be:

    y = c_1 y_1 + c_2 y_2 = x^{\alpha} \left[ {c_1 \left( {\cos \left( \beta \ln(x) \right) + i\sin \left( {\beta \ln(x)} \right)} \right) + c_2 \left( {\cos \left( {\beta \ln(x)} \right) - i\sin \left( {\beta \ln(x)} \right)} \right)} \right]

    \Rightarrow y = x^{\alpha} \left[ {\left( {c_1 + c_2 } \right)\cos \left( {\beta \ln(x)} \right) + i\left( {c_1 - c_2 } \right)\sin \left( {\beta \ln(x)} \right)} \right].

    Letting $\displaystyle \left( {c_1 + c_2 } \right) = C_1 $ and $\displaystyle i\left( {c_1 - c_2 } \right) = C_2, $ we have the general solution:

    $\displaystyle \boxed{y = x^{\alpha} \left[ {C_1 \cos \left( {\beta \ln(x)} \right) + C_2 \sin \left( {\beta \ln(x)} \right)} \right]}.$

    Example 15:

    Solve $\displaystyle \displaystyle x^2 \frac{{d^2 y}}{{dx^2 }} + 2x\frac{{dy}}{{dx}} + y= 0.$

    Assuming a solution of the form $\displaystyle y=x^r$, we get the characteristic equation:

    $\displaystyle \displaystyle r^2 + r + 1 = 0 \Rightarrow r = \frac{{ - 1 \pm \sqrt {1 - 4} }}
    {2} \Rightarrow r = - \frac{1}{2} \pm \frac{i\sqrt{3}}{2}.$

    $\displaystyle \displaystyle \boxed{\therefore y = x^{ - \frac{1}{2}} \left[ {c_1 \cos \left( {\frac{{\sqrt 3 }}{2}\ln(x)} \right) + c_2 \sin \left( {\frac{{\sqrt 3 }}{2}\ln(x)} \right)} \right]}.$
    Last edited by mash; Mar 5th 2012 at 12:18 PM. Reason: fixed latex
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  6. #6
    Senior Member bkarpuz's Avatar
    Sep 2008

    Lightbulb Euler-Cauchy equations

    Thanks to Chris L T521 for this nice tutorial.
    I would like to give a different way for solving Euler-Cauchy equations.

    Let us consider the second-order Cauchy-Euler differential equation
    a_{0}x^{2}y^{\prime\prime}+a_{1}xy^{\prime}+a_{2}y =f(x)\quad\text{for}\ x\in(x_{0},x_{1}),\qquad(1)
    where $\displaystyle a_{0},a_{1},a_{2}\in\mathbb{R}$ with $\displaystyle a_{0},a_{2}\neq0$, and $\displaystyle x_{1}>x_{0}>0$.
    In (1), we assume that $\displaystyle f$ is a good function,
    i.e., allows us to do all the operations in the sequel.
    Now, let $\displaystyle r_{1}\in\mathbb{C}$ and multiply (1) with $\displaystyle x^{-(r_{1}+1)}$ to get
    a_{0}x^{-r_{1}+1}y^{\prime\prime}+a_{1}x^{-r_{1}}y^{\prime}+a_{2}x^{-(r_{1}+1)}y=x^{-(r_{1}+1)}f(x)\quad\text{for}\ x\in(0,1).\qquad(2)
    Suppose now that the left-hand side of (2) satisfies
    for some suitable $\displaystyle b_{0},b_{1}\in\mathbb{C}$.
    Expanding the left-hand side of (3), we get
    Hence if $\displaystyle r_{1},b_{0},b_{1}\in\mathbb{C}$ satisfy the following system
    which yields
    and thus
    Hence if $\displaystyle r_{1}\in\mathbb{C}$ is a solution to the characteristic equation
    then we may use (4) to find $\displaystyle b_{0},b_{1}\in\mathbb{C}$.
    Hence, from (2) and (3), we obtain
    or equivalently
    b_{0}xy^{\prime}+b_{1}y=c_{1}x^{r_{1}}+x^{r_{1}}\i nt_{x_{0}}^{x}\eta^{-(r_{1}+1)}f(\eta)\mathrm{d}\eta,\qquad(6)
    which is a first-order linear differential equation whose solution is given by
    $\displaystyle y=c_{2}x^{r_{2}}+c_{1}x^{r_{2}}\int_{x_{0}}^{x}\ze ta^{-(r_{1}+r_{2}+1)}\mathrm{d}\zeta$$\displaystyle +\frac{1}{b_{0}}x^{r_{2}}\int_{x_{0}}^{x}\zeta^{-(r_{1}+r_{2}+1)}\int_{x_{0}}^{\zeta}\eta^{-(r_{1}+1)}f(\eta)\mathrm{d}\eta\mathrm{d}\zeta,\qq uad(7)$
    where $\displaystyle r_{2}:=-b_{1}/b_{0}$.
    Note that $\displaystyle r_{2}\in\mathbb{C}$ solves the characteristic equation $\displaystyle \phi_{b}(r):=b_{0}r+b_{1}=0$,
    which emerges if we apply similar steps as above for the order reduction of (6).
    Therefore (7) is the solution of (1) if $\displaystyle r_{1}\in\mathbb{C}$ solves (5) and $\displaystyle b_{0},b_{1}\in\mathbb{C}$ are determined by (4).
    In (7), we may group the real and the imaginary parts of the solution to obtain the real valued solution of (1).
    Also in the double-integral of (7), we may change the order of the integration and compute that
    $\displaystyle y=c_{2}x^{r_{2}}+c_{1}x^{r_{2}}\int_{x_{0}}^{x}\ze ta^{-(r_{1}+r_{2}+1)}\mathrm{d}\zeta$$\displaystyle +\frac{1}{b_{0}}$$\displaystyle x^{r_{2}}\int_{x_{0}}^{x}\eta^{-(r_{1}+1)}f(\eta)\int_{\eta}^{x}\zeta^{-(r_{1}+r_{2}+1)}\mathrm{d}\zeta\mathrm{d}\eta.\not ag$
    ...$\displaystyle =c_{2}x^{r_{2}}+c_{1}x^{r_{2}}\int_{x_{0}}^{x}\zet a^{-(r_{1}+r_{2}+1)}\mathrm{d}\zeta$$\displaystyle +\frac{1}{b_{0}}$$\displaystyle x^{r_{2}}\int_{x_{0}}^{x}\eta^{-(r_{1}+1)}f(\eta)\left\{
    \dfrac{\eta^{-(r_{1}+r_{2})}-x^{-(r_{1}+r_{2})}}{r_{1}+r_{2}},&r_{1}+r_{2}\neq0 \\
    \log\bigg(\dfrac{\eta}{x}\bigg),&r_{1}+r_{2}=0 \\

    This method can be used for order reduction of higher-order Cauchy-Euler equations given in the form

    $\displaystyle \sum_{k=0}^{n}a_{n-k}x^{k}y^{(k)}=f(x)\quad\text{for}\ x\in(x_{0},x_{1}).\notag$

    The method employed above can also make you think of some special kinds of integrating-factors if
    the coefficients of the equations let you to do so.
    Last edited by Jester; Apr 10th 2014 at 09:59 AM. Reason: fixed latex
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