Higher Order
Linear
Differential
Equations
Math 240
Linear DE
Linear
differential
operators
Familiar stuff
Example
Higher Order Linear Differential Equations
Homogeneous
equations
Math 240 — Calculus III
Summer 2015, Session II
Tuesday, July 28, 2015
Higher Order
Linear Agenda
Differential
Equations
Math 240
Linear DE
Linear
differential
operators
Familiar stuff
Example 1. Linear differential equations of order n
Homogeneous
equations
Linear differential operators
Familiar stuff
An example
2. Homogeneous constant-coefficient linear differential
equations
Higher Order
Linear Introduction
Differential
Equations
Math 240
Linear DE
Linear
differential
operators
We now turn our attention to solving linear differential
Familiar stuff
Example
equations of order n. The general form of such an equation is
Homogeneous a0 (x)y (n) + a1 (x)y (n−1) + · · · + an−1 (x)y 0 + an (x)y = F (x),
equations
where a0 , a1 , . . . , an , and F are functions defined on an
interval I.
The general strategy is to reformulate the above equation as
Ly = F,
where L is an appropriate linear transformation. In fact, L will
be a linear differential operator.
Higher Order
Linear Linear differential operators
Differential
Equations
Math 240 Recall that the mapping D : C k (I) → C k−1 (I) defined by
Linear DE
D(f ) = f 0 is a linear transformation. This D is called the
Linear
differential
derivative operator. Higher order derivative operators
operators
Familiar stuff Dk : C k (I) → C 0 (I) are defined by composition:
Example
Homogeneous Dk = D ◦ Dk−1 ,
equations
so that
dk f
Dk (f ) = .
dxk
A linear differential operator of order n is a linear
combination of derivative operators of order up to n,
L = Dn + a1 Dn−1 + · · · + an−1 D + an ,
defined by
Ly = y (n) + a1 y (n−1) + · · · + an−1 y 0 + an y,
where the ai are continous functions of x. L is then a linear
transformation L : C n (I) → C 0 (I). (Why?)
Higher Order
Linear Examples
Differential
Equations
Math 240
Linear DE Example
Linear
differential
operators If L = D2 + 4xD − 3x, then
Familiar stuff
Example
Ly = y 00 + 4xy 0 − 3xy.
Homogeneous
equations We have
L (sin x) = − sin x + 4x cos x − 3x sin x,
L x2 = 2 + 8x2 − 3x3 .
Example
If L = D2 − e3x D, determine
1. L 2x − 3e2x = −12e2x − 2e3x + 6e5x
2. L 3 sin2 x = −3e3x sin 2x − 6 cos 2x
Higher Order
Linear Homogeneous and nonhomogeneous equations
Differential
Equations
Math 240
Consider the general n-th order linear differential equation
Linear DE
Linear
differential a0 (x)y (n) + a1 (x)y (n−1) + · · · + an−1 (x)y 0 + an (x)y = F (x),
operators
Familiar stuff
Example where a0 6= 0 and a0 , a1 , . . . , an , and F are functions on an
Homogeneous interval I.
equations
If a0 (x) is nonzero on I, then we may divide by it and relabel,
obtaining
y (n) + a1 (x)y (n−1) + · · · + an−1 (x)y 0 + an (x)y = F (x),
which we rewrite as
Ly = F (x),
where L = Dn + a1 Dn−1 + · · · + an−1 D + an .
If F (x) is identically zero on I, then the equation is
homogeneous, otherwise it is nonhomogeneous.
Higher Order
Linear The general solution
Differential
Equations
Math 240
If we have a homogeneous linear differential equation
Linear DE
Linear
Ly = 0,
differential
operators
Familiar stuff
its solution set will coincide with Ker(L). In particular, the
Example
kernel of a linear transformation is a subspace of its domain.
Homogeneous
equations
Theorem
The set of solutions to a linear differential equation of order n
is a subspace of C n (I). It is called the solution space. The
dimension of the solutions space is n.
Being a vector space, the solution space has a basis
{y1 (x), y2 (x), . . . , yn (x)} consisting of n solutions. Any
element of the vector space can be written as a linear
combination of basis vectors
y(x) = c1 y1 (x) + c2 y2 (x) + · · · + cn yn (x).
This expression is called the general solution.
Higher Order
Linear The Wronskian
Differential
Equations
Math 240
We can use the Wronskian
Linear DE
Linear
y1 (x)
0 y2 (x) ··· yn (x)
0 (x) yn0 (x)
differential
operators
y1 (x) y2 ···
W [y1 , y2 , . . . , yn ](x) = .. .. ..
Familiar stuff
..
.
Example
. . .
Homogeneous (n−1) (n−1) (n−1)
equations y
1 (x) y2 (x) · · · yn (x)
to determine whether a set of solutions is linearly independent.
Theorem
Let y1 , y2 , . . . , yn be solutions to the n-th order differential
equation Ly = 0 whose coefficients are continuous on I. If
W [y1 , y2 , . . . , yn ](x) = 0 at any single point x ∈ I, then
{y1 , y2 , . . . , yn } is linearly dependent.
To summarize, the vanishing or nonvanishing of the Wronskian
on an interval completely characterizes the linear dependence
or independence of a set of solutions to Ly = 0.
Higher Order
Linear The Wronskian
Differential
Equations
Math 240
Linear DE
Linear
differential
operators Example
Familiar stuff
Example Verify that y1 (x) = cos 2x and y2 (x) = 3 − 6 sin2 x are
Homogeneous
equations
solutions to the differential equation y 00 + 4y = 0 on (−∞, ∞).
Determine whether they are linearly independent on this
interval.
3 − 6 sin2 x
cos 2x
W [y1 , y2 ](x) =
−2 sin 2x −12 sin x cos x
= −6 sin 2x cos 2x + 6 sin 2x cos 2x = 0
They are linearly dependent. In fact, 3y1 − y2 = 0.
Higher Order
Linear Nonhomogeneous equations
Differential
Equations
Math 240 Consider the nonhomogeneous linear differential equation
Ly = F . The associated homogeneous equation is Ly = 0.
Linear DE
Linear
differential
operators
Theorem
Familiar stuff
Example
Suppose {y1 , y2 , . . . , yn } are n linearly independent solutions to
Homogeneous
the n-th order equation Ly = 0 on an interval I, and y = yp is
equations
any particular solution to Ly = F on I. Then every solution to
Ly = F on I is of the form
y = c1 y1 + c2 y2 + · · · + cn yn + yp ,
| {z }
= yc + yp
for appropriate constants c1 , c2 , . . . , cn .
This expression is the general solution to Ly = F . The
components of the general solution are
I the complementary function, yc , which is the general
solution to the associated homogeneous equation,
I the particular solution, yp .
Higher Order
Linear Something slightly new
Differential
Equations
Math 240
Linear DE
Linear
differential
operators
Familiar stuff
Example
Homogeneous
Theorem
equations If y = up and y = vp are particular solutions to Ly = f (x) and
Ly = g(x), respectively, then y = up + vp is a solution to
Ly = f (x) + g(x).
Proof.
We have L(up + vp ) = L(up ) + L(vp ) = f (x) + g(x). Q.E.D.
Higher Order
Linear An example
Differential
Equations
Math 240
Linear DE
Example
Linear
differential Determine all solutions to the differential equation
operators
Familiar stuff y 00 + y 0 − 6y = 0 of the form y(x) = erx , where r is a constant.
Example
Homogeneous
equations Substituting y(x) = erx into the equation yields
erx (r2 + r − 6) = r2 erx + rerx − 6erx = 0.
Since erx 6= 0, we just need (r + 3)(r − 2) = 0. Hence, the two
solutions of this form are
y1 (x) = e2x and y2 (x) = e−3x .
Could this be a basis for the solution space? Check linear
independence. Yes! The general solution is
y(x) = c1 e2x + c2 e−3x .
Higher Order
Linear An example
Differential
Equations
Math 240
Example
Linear DE
Linear
differential
Determine the general solution to the differential equation
operators
Familiar stuff
Example
y 00 + y 0 − 6y = 8e5x .
Homogeneous
equations
We know the complementary function,
yc (x) = c1 e2x + c2 e−3x .
For the particular solution, we might guess something of the
form yp (x) = ce5x . What should c be? We want
8e5x = yp00 + yp0 − 6yp = (25c + 5c − 6c)e5x .
Cancel e5x and then solve 8 = 24c to find c = 13 .
The general solution is
y(x) = c1 e2x + c2 e−3x + 31 e5x .
Higher Order
Linear Introduction
Differential
Equations
Math 240
Linear DE
Linear
differential
operators
We just found solutions to the linear differential equation
Familiar stuff
Example y 00 + y 0 − 6y = 0
Homogeneous
equations of the form y(x) = erx . In fact, we found all solutions.
This technique will often work. If y(x) = erx then
y 0 (x) = rerx , y 00 (x) = r2 erx , ..., y (n) (x) = rn erx .
So if rn + a1 rn−1 + · · · + an−1 r + an = 0 then y(x) = erx is a
solution to the linear differential equation
y (n) + a1 y (n−1) + · · · + an−1 y 0 + an y = 0.
Let’s develop this approach more rigorously.
Higher Order
Linear The auxiliary polynomial
Differential
Equations
Math 240
Linear DE
Consider the homogeneous linear differential equation
Linear
differential y (n) + a1 y (n−1) + · · · + an−1 y 0 + an y = 0
operators
Familiar stuff
Example with constant coefficients ai . Expressed as a linear differential
Homogeneous operator, the equation is P (D)y = 0, where
equations
P (D) = Dn + a1 Dn−1 + · · · + an−1 D + an .
Definition
A linear differential operator with constant coefficients, such as
P (D), is called a polynomial differential operator. The
polynomial
P (r) = rn + a1 rn−1 + · · · + an−1 r + an
is called the auxiliary polynomial, and the equation P (r) = 0
the auxiliary equation.
Higher Order
Linear The auxiliary polynomial
Differential
Equations
Math 240
Linear DE
Linear
Example
differential
operators The equation y 00 + y 0 − 6y = 0 has auxiliary polynomial
Familiar stuff
Example
P (r) = r2 + r − 6.
Homogeneous
equations
Examples
Give the auxiliary polynomials for the following equations.
1. y 00 + 2y 0 − 3y = 0 r2 + 2r − 3
2. (D2 − 7D + 24)y = 0 r2 − 7r + 24
3. y 000 − 2y 00 − 4y 0 + 8y = 0 r3 − 2r2 − 4r + 8
The roots of the auxiliary polynomial will determine the
solutions to the differential equation.
Higher Order
Linear Polynomial differential operators commute
Differential
Equations
Math 240
The key fact that will allow us to solve constant-coefficient
Linear DE
Linear
differential
linear differential equations is that polynomial differential
operators
Familiar stuff
operators commute.
Example
Homogeneous Theorem
equations
If P (D) and Q(D) are polynomial differential operators, then
P (D)Q(D) = Q(D)P (D).
Proof.
For our purposes, it will suffice to consider the case where P
and Q are linear. Q.E.D.
Commuting polynomial differential operators will allow us to
turn a root of the auxiliary polynomial into a solution to the
corresponding differential equation.
Higher Order
Linear Linear polynomial differential operators
Differential
Equations
Math 240 In our example,
Linear DE y 00 + y 0 − 6y = 0,
Linear
differential
operators with auxiliary polynomial
Familiar stuff
Example
P (r) = r2 + r − 6,
Homogeneous
equations
the roots of P (r) are r = 2 and r = −3. An equivalent
statement is that r − 2 and r + 3 are linear factors of P (r).
The functions y1 (x) = e2x and y2 (x) = e−3x are solutions to
y10 − 2y1 = 0 and y20 + 3y2 = 0,
respectively.
Theorem
The general solution to the linear differential equation
y 0 − ay = 0
is y(x) = ceax .
Higher Order
Linear Theorem
Differential
Equations Suppose P (D) and Q(D) are polynomial differential operators
Math 240 P (D)y1 = 0 = Q(D)y2 .
Linear DE If L = P (D)Q(D), then
Linear
differential
operators
Familiar stuff
Ly1 = 0 = Ly2 .
Example
Homogeneous Proof.
equations
P (D)Q(D)y2 = P (D) Q(D)y2 = P (D)0 = 0
P (D)Q(D)y1 = Q(D)P (D)y1
= Q(D) P (D)y1 = Q(D)0 = 0 Q.E.D.
Example
The theorem implies that, since
(D − 2)y1 = 0 and (D + 3)y2 = 0,
the functions y1 (x) = e2x and y2 (x) = e−3x are solutions to
y 00 + y 0 − 6y = (D2 + D − 6)y = (D − 2)(D + 3)y = 0.
Higher Order
Linear Linear polynomial differential operators
Differential
Equations
Math 240
Linear DE
Linear
differential
operators
Familiar stuff
Furthermore, solutions produced from different roots of the
Example auxiliary polynomial are independent.
Homogeneous
equations
Example
If y1 (x) = e2x and y2 (x) = e−3x , then
e−3x
2x
e
W [y1 , y2 ](x) = 2x
−3e−3x
2e
−x 1 1
= −5e−x 6= 0.
=e
2 −3
Higher Order
Linear Distinct linear factors
Differential
Equations
Math 240 If we can factor the auxiliary polynomial into distinct linear
factors, then the solutions from each linear factor will combine
Linear DE
Linear to form a fundamental set of solutions.
differential
operators
Familiar stuff
Example
Example
Homogeneous Determine the general solution to y 00 − y 0 − 2y = 0.
equations
The auxiliary polynomial is
P (r) = r2 − r − 2 = (r − 2)(r + 1).
Its roots are r1 = 2 and r2 = −1. The functions y1 (x) = e2x
and y2 (x) = e−x satisfy
(D − 2)y1 = 0 = (D + 1)y2 .
Therefore, y1 and y2 are solutions to the original equation.
Since we have 2 solutions to a 2nd degree equation, they
constitute a fundamental set of solutions; the general solution is
y(x) = c1 e2x + c2 e−x .
Higher Order
Linear Multiple roots
Differential
Equations
Math 240
Linear DE
Linear
What can go wrong with this process? The auxiliary
differential
operators polynomial could have a multiple root. In this case, we would
Familiar stuff
Example get one solution from that root, but not enough to form the
Homogeneous general solution. Fortunately, there are more.
equations
Theorem
The differential equation (D − r)m y = 0 has the following m
linearly independent solutions:
erx , xerx , x2 erx , . . . , xm−1 erx .
Proof.
Check it. Q.E.D.
Higher Order
Linear Multiple roots
Differential
Equations
Math 240
Linear DE
Linear
differential
operators
Example
Determine the general solution to y 00 + 4y 0 + 4y = 0.
Familiar stuff
Example
Homogeneous
equations 1. The auxiliary polynomial is r2 + 4r + 4.
2. It has the multiple root r = −2.
3. Therefore, two linearly independent solutions are
y1 (x) = e−2x and y2 (x) = xe−2x .
4. The general solution is
y(x) = e−2x (c1 + c2 x).
Higher Order
Linear Complex roots
Differential
Equations
Math 240
What happens if the auxiliary polynomial has complex roots?
Linear DE Can we recover real solutions? Yes!
Linear
differential
operators
Familiar stuff
Theorem
Example
If P (D)y = 0 is a linear differential equation with real constant
Homogeneous
equations coefficients and (D − r)m is a factor of P (D) with r = a + bi
and b 6= 0, then
1. P (D) must also have the factor (D − r)m ,
2. this factor contributes the complex solutions
e(a±bi)x , xe(a±bi)x , . . . , xm−1 e(a±bi)x ,
3. the real and imaginary parts of the complex solutions are
linearly independent real solutions
xk eax cos bx and xk eax sin bx
for k = 0, 1, . . . , m − 1.
Higher Order
Linear Complex roots
Differential
Equations
Math 240
Linear DE
Linear
differential
operators
Example
Determine the general solution to y 00 + 6y 0 + 25y = 0.
Familiar stuff
Example
Homogeneous
equations 1. The auxiliary polynomial is r2 + 6r + 25.
2. Its has roots r = −3 ± 4i.
3. Two independent real-valued solutions are
y1 (x) = e−3x cos 4x and y2 (x) = e−3x sin 4x.
4. The general solution is
y(x) = e−3x (c1 cos 4x + c2 sin 4x).
