Lecture 4

EEF 210E
DIFFERENTIAL EQUATIONS
LECTURE 4
CHAPTER 3
SECOND ORDER LINEAR EQUATIONS
 Linear equations of second order are of crucial importance in
the study of differential equations for two main reasons.
 The first is that linear equations have a rich theoretical
structure that underlies a number of systematic methods of
solution.
 The second main reason to study second order linear
equations is that they are vital to any serious investigation of
the classical areas of mathematical physics.
 One cannot go very far in the development of fluid
mechanics, heat conduction, wave motion, or
electromagnetic phenomena without finding it necessary to
solve second order linear differential equations.
3.1. Homogeneous Equations with
Constant Coefficients
• A generic second order differential equation is represented by:
• f: nonlinear function
• If f is linear, we can express the differential equation as:
Second Order
Linear Diff Eqn.
• If , then:
 It is also possible that initial conditions are given:
Initial Value Problem
 A second order linear equation is said to be homogeneous if the

term g(t) or the term G(t) is zero for all t.
 Otherwise, the equation is called nonhomogeneous.
 The term g(t), or G(t), is called the nonhomogeneous term.
Linear, homogeneous differential equation:
Linear, homogeneous, constant coefficient differential equation:

We will study this!!!
(a,b,c constants)
Example Solve the equation
and also find the solution that satisfies the initial conditions
 Note that this equation is in the form:

where , and
 We are looking for a function with the property that the second
derivative of the function is the same as the function itself.
 Do any of the functions that you studied in calculus have this
property?
 Constant multiples of these two solutions like or

are also solutions.
Take Take
The sum of any two solutions is also a solution.
Linear combination of and is also a solution.

There is an infinite family of solutions.
 How to pick out a particular member of this infinite family of
solutions that also satisfies a given set of initial conditions?
 In other words, the solution should pass pass through the
point (0, 2) and at that point has the slope −1.
 We set t = 0 and y = 2
 Differentiate y:
 Set t = 0 and y = −1
The generic solution
Assume a solution of the form:
Substitute:
Charateristic
function
If r is a root of the charateristic function, then is a solution.
r may be :
1) Real and different
2) Real and equal to each other
3) Complex conjugates
Real and Different Roots
Verification
=0 =0
Example Find the solution of the initial value problem:
Assume:
Charateristic eqn:
Set:
Solution of
the IC problem
Example Find the solution of the initial value problem
3.2 Solutions of Linear Homogeneous Equations;
the Wronskian
Differential Operator Notation
 To discuss general properties of linear differential equations, it

is helpful to introduce a differential operator notation. Let p
and q be continuous functions on an open interval I—that is,
for
• Then, for any function that is twice differentiable on I, we
define the differential operator L by the equation
• Note that is a function on I. The value of at a point t

is:
• Consideions:
In this section, we study homogeneous equations.
Consider the initial conditions:
DOES THIS PROBLEM ALWAYS HAVE A SOLUTION

AND IS IT UNIQUE?
Proof is omitted.
Example Find the longest interval in which the solution of the
initial value problem is certain to exist.
 The only points of discontinuity of the coefficients are

t = 0 and t = 3.
 Therefore, the longest open interval, containing the initial point
t = 1, in which all the coefficients are continuous is 0 < t < 3.
Proof:
Substitute
Note that: and

Therefore:
 Beginning with only two solutions, we can construct an infinite
family of solutions.
 Are all solutions of
included in or may there be
other solutions of a different form?
• Can the constants and can be chosen so as to satisfy
the initial conditions ?
If there will be a unique solution for
regardless of the values of
or, in terms of determinants

 If there will be a unique solution for
 BUT If , there are no solutions

(There are many IC’s that cannot be satisfied no
matter how is chosen.)
 is called the Wronskian.

Example
The Wronskian of these two functions is:
which is nonzero for all values of t.

Proof
Let φ be any solution of
To prove the theorem,we must determine whether φ
is included in the linear combinations
We must determine whether there are values of
that make the linear combination the same as φ
 Let be a point where the Wronskian of and is nonzero.
 Next, consider the initial value problem
 The function φ is a solution of this initial value problem.

 Further, because we are assuming that is nonzero, it
is possible (by Theorem 3.2.3) to choose such that
is also a solution of the initial value problem.
 The uniqueness part of Theorem 3.2.1 guarantees that these two
solutions of the same initial value problem are actually the same
function, thus for proper choice of
 Therefore φ is included in the family of functions

 Finally, since φ is an arbitrary solution of
it follows that every solution of this equation is included in this
family.
 Now suppose that there is no point where the Wronskian is
nonzero.
 Thus for all
 Then there are values for which we cannot solve for
 (Theorem 3.2.3)
 Select a pair of such values and choose the solution φ that satisfies
the initial conditions. (This is guaranteed to exist by Theorem 3.2.1)
 However, this solution is not included in the family
 Thus this linear combination does not include all solutions if
 This completes the proof.

 IF AND ONLY IF THE WRONSKIAN IS NOT EVERYWHERE
ZERO CONTAINS ALL SOLUTIONS OF
 SO, WE CALL THE GENERAL

SOLUTION OF
 ARE SAID TO FORM A FUNDAMENTAL SET OF
SOLUTIONS IF AND ONLY IF THEIR WRONSKIAN IS NON-
ZERO.
THE SOLUTIONS OF A DIFFERENTIAL EQUATION
MUST BE LINEARLY INDEPENDENT AND THEY WILL
BE GUARANTEED TO BE LINEARLY INDEPENDENT
WHEN THEIR WRONSKIAN IS NON-ZERO.
Linear Dependence and Independence
The functions are said to be linearly dependent
on an interval I if there exists a set of constants
not all zero, such that
for all t in I. The functions are said to be linearly

independent on I if they are not linearly dependent there or if
the above equality is satisfied only when
If functions are linearly dependent, you can express one in terms

of the others.
If are a fundamental set of solutions they must be
linearly independent .
If is satisfied, will be linearly
independent and form a fundamental set of solutions.
Example Determine whether the functions
are linearly independent or dependent on any interval I.
If
It is possible to write:
Example Show that and form a
fundamental set of solutions of
Proof: The existence of the functions and is ensured by
the existence part of Theorem 3.2.1.
So, and form a fundamental set of solutions.

This theorem does not answer how to find an d ,
but justifies that a fundamental set of solutions always exist.
Proof:
Separate into real and imaginary parts:
=0
=0
=0
The complex conjugate of a solution is also a solution. This is a
consequence of Theorem 3.2.2 since is a
linear combination of two solutions.
Proof:
Multiply the first equation by , multiply the second

equation by and add them:
This is a first order linear and separable equation.
For W to be zero,
c must be zero.
Example
ESSENCE OF THE STORY
 First find two functions and that satisfies the eqn.

 Make sure that there is a point in the interval
where the Wronskian W of and is nonzero.
 Then and form a fundamental set of solutions.

 The general solution is given by:
3.3 Complex Roots of the Characteristic Equation
Characteristic Equation
If roots are real and different:
If roots are complex conjugates.

Euler’s Formula
• Taylor series expansion for about the point
• Now assume that we can substitute it for t :
Euler’s formula
Example
• .
Note that holds for complex r.
Example Find the general solution of the differential equation
Also find the solution that satisfies the initial conditions
Characteristic eqn:
So, the general solution can be expressed as a linear combination of

and
 However, there is an alternative way the represent the solution.
 Go back to Theorem 3.2.7.
 If is a solution, then and are separately
solutions.
 We generally prefer real valued solutions because the diff. Eqn
has real coefficients.
 So, and form a fundamental set of solutions.

Initial conditions
Solution of the initial value problem:

The general solution for complex conjugate
characteristic equation roots
as long as is non-zero.
So, and form a
fundamental set of solutions.
Characteristic eqn:
Set
3.4 Repeated Roots; Reduction of Order
Characteristic eqn
If then
Both roots will yield
But, we have to find a linearly independent second solution.

Example Solve the differential equation
Method of D’Alembert (1717–1783)

Assume then determine
second sol’n original sol’n
Therefore:
General Derivation
is nonzero and can be cancelled.

=0
=0 since
original sol’n second sol’n

Characteristic eqn:
Essence of the Story
Characteristic eqn:
Reduction of Order
• It is a method to find the solution of:
• Suppose we know one solution

• Let:
=0 since is a solution
First order linear eqn.

Example Given that is a solution, solve:
Set
Let
Second sol’n First sol’n

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EEF 210E

Initial Value Problem

 A second order linear equation is said to be homogeneous if the

Linear, homogeneous differential equation:

Linear, homogeneous, constant coefficient differential equation:

 Note that this equation is in the form:

 Constant multiples of these two solutions like or

The sum of any two solutions is also a solution.

Linear combination of and is also a solution.

Assume a solution of the form:

 To discuss general properties of linear differential equations, it

• Note that is a function on I. The value of at a point t

Consider the initial conditions:

DOES THIS PROBLEM ALWAYS HAVE A SOLUTION

 The only points of discontinuity of the coefficients are

Note that: and

or, in terms of determinants

 BUT If , there are no solutions

 is called the Wronskian.

The Wronskian of these two functions is:

which is nonzero for all values of t.

 Next, consider the initial value problem

 The function φ is a solution of this initial value problem.

 Therefore φ is included in the family of functions

 Thus this linear combination does not include all solutions if

 This completes the proof.

 SO, WE CALL THE GENERAL

for all t in I. The functions are said to be linearly

If functions are linearly dependent, you can express one in terms

are linearly independent or dependent on any interval I.

So, and form a fundamental set of solutions.

Separate into real and imaginary parts:

Multiply the first equation by , multiply the second

This is a first order linear and separable equation.

 First find two functions and that satisfies the eqn.

 Then and form a fundamental set of solutions.

If roots are real and different:

If roots are complex conjugates.

• Now assume that we can substitute it for t :

Also find the solution that satisfies the initial conditions

So, the general solution can be expressed as a linear combination of

 So, and form a fundamental set of solutions.

Solution of the initial value problem:

But, we have to find a linearly independent second solution.

Method of D’Alembert (1717–1783)

is nonzero and can be cancelled.

original sol’n second sol’n

• Suppose we know one solution

First order linear eqn.

Second sol’n First sol’n

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