Second Order Equations I Math 263 - ODE for Engineers Lecture 8 - 2/1/18

Abstract
In today’s lecture we introduce and discuss the theory of Higher Order Linear Homogenous Equations.
We mostly focus on second order equations.

1 Introduction to Second Order Linear Equations

Recall that Second Order Equations can be written generally as,
F (t, y, y 0 , y 00 ) = 0 (1.1)
As before we will work with equations in normal form (semilinear equations) which can be written as,
y 00 (t) = f (t, y, y 0 ) (1.2)
Moreover as before the above equation is linear if the function f is linear in the y 0 and y variables. If not,
we call the equation nonlinear. We will be primarily concerned with linear second order equations. Their is
a rich theory for such equations and we will spend some time trying to understand the fundamental results
and their applications to problems in science and engineering.
Remark 1.1. When studying Linear Second Order Equations we will look at equations where the coefficients
are constant and when the coefficients are variable. For constant conefficient equations we have a unified
method to understand solutions in closed form. When we study variable coefficient equations we will make
some assumptions on the coefficients and then proceed to develop mathematical methods to undertand
solutions. In general there is no unified method to solve variable coefficient linear second order equations.
This is in contrast to linear first order equations where we could always find an integrating factor.
Remark 1.2. We will try to understand some classes of nonlinear second order equations. The main
idea here will be to perform a substiution to change the nonlinear equation to a form that is solvable.
To have a better understanding of nonlinear second order equations it is more useful to resort to numeri-
cal/approximation techniques similar to those discussed in the last lecture, and geometric methods. We will
try to discuss some of these ideas later in the course.
Let us now write the general second order linear equation,
y 00 (t) + p(t)y 0 (t) + q(t)y(t) = g(t) (1.3)
Recall the equation is called linear homogenous if g(t) = 0 and linear nonhomogenous if g(t) 6= 0.
Constant coefficient equations are those in which p(t) and q(t) are constants. Variable coefficient
equations are those in which p(t) and q(t) are not constants. As we remarked above, there is in principle
no unified method to solve all linear second order equations. Instead we will have to discuss various types of
linear second order equations and develop methods for each. The easiest methods to understand are those in
which the second order equation can be reduced to a first order equation and solved with methods introduced
before.
Example 1.3. (Newtonian Mechanics and Motion of Particles) In previous lecture notes we used conserva-
tion of energy to derive Newton’s Second Law for some conservative systems:

a) Free Falling Body on the Surface of the Earth,

y 00 (t) = −g

1
Second Order Equations I Math 263 - ODE for Engineers Lecture 8 - 2/1/18

b) Simple Harmonic Oscillator, r

00 2 k
y (t) = −ω y, ω=
m
Moreover the motion of a particle of mass m, moving in space, in the vertical direction, near a massive body
of mass M will solve the equation,
mM G
my 00 (t) = −
y2
where G is the universal Gravitation constant. A very interesting fact is that the gravitational force of a
spherical body is equivalent to the gravitational force of a point particle located at the center of the sphere.
Hence if we are modeling the vertical motion of a particle in space near a celestial object (planet, star, etc.,)
the equation of motion becomes,
mM G
my 00 (t) = −
(R + y)2
where R is the radius of the massive spherical object.
The above examples are all second order equations. Note that the last two examples are in fact examples
of nonlinear second order equations. We can still solve these problems by reduction of order. In these
cases we can solve the second order equation by instead solving two consecutive first order equations. This
is possible if your second order equation is of the following forms:

Equations with the Dependent Variable Missing: Our second order equation is of the form,

y 00 (t) = f (t, y 0 )

Here we can substitute v(t) = y 0 (t) and reduce the equation to the first order,

v 0 (t) = f (t, v)

Equations with the Independent Variable Missing: Our second order equation is of the form,

y 00 (t) = f (y, y 0 )

In this case we again start with the substitution,

v = y 0 (t)

Now assume that we can solve our second order equation for y(t). What we are able to do then is appeal to
the derivative formula for inverse functions to find,
dt 1
= dy
dy dt

Now consider, v(t) = v(t(y)) Differentiating and using the chain rule we find,

dv dv dt dv 1
= =
dy dt dy dt dy
dt

2
Second Order Equations I Math 263 - ODE for Engineers Lecture 8 - 2/1/18

Rearranging terms we find,

dv dv
= v
dy dt
Hence we can rewrite our second order equation as,
dv
v = f (y, v)
dy
This is again a first order equation. Let us use this technique to solve the problem of a Simple Harmonic
Oscillator.
Example 1.4. Consider the Simple Harmonic Oscillattor,
r
00 2 k
y (t) = −ω y, ω=
m
We consider the substitution,
v(t) = y 0 (t)
Using our observation above we can rewrite the second order equation as,
dv
v = −ω 2 y
dy
This equation is separable and we find the general solution,
v2 y2
= −ω 2 + C
2 2
We can solve for v(y) to find,
v 2 (y) = −ω 2 y 2 + C
We can factor out ω 2 from both terms to get
v 2 (y) = ω 2 (C − y 2 )
Moreover we can write the constant C as a square,
v 2 (y) = ω 2 (C 2 − y 2 )
We can solve to find, p
v(y) = ±ω C 2 − y2
dy
Now we just recall our first substitution dt = v,
dy p
= ±ω C 2 − y 2
dt
This is a separable equation so integrating a second time gives us,
y
sin−1 = ±ωt + B
C
Hence we find,
y(t) = C sin(ωt + B)
Expanding this sum we find that the general solution can be written as,
y(t) = c1 sin(ωt) + c2 cos(ωt)

3
Second Order Equations I Math 263 - ODE for Engineers Lecture 8 - 2/1/18

Question 1. Use the property of sine functions to do the last step in the computation
Question 2. Consider the damped Harmonic Ocillator,
my 00 (t) + γy 0 (t) + ky(t) = 0
for m, γ, k positive constants. Use the substiution method introduced in the last example to solve this
equation and find the general solution.
We remark that the point of this example is to solve explicitly for an important second order equation using
first order methods and to realize that the general solution will be written as a function with two arbitrary
constants. As we will see below this is a general phenomenon for second order linear equations.
Question 3. If a projectile fired upward from the surface of the Earth is to√keep traveling indefinitely, and
if air resitance is neglected, show that the initial velocity must be at least 2gR, where R is the radius of
the Earth.
√
Question 4. Let 2gR denote the escape velocity ve . If the initial velocity v0 < ve , so that the projectile
rises but does not escape, show that,
(v0 /ve )2
h= R
1 − (v0 /ve )2
is the height it attains before falling back to Earth.
Question 5. (Dynamical Problem with Variable Mass I - Rockets) In class we mentioned that Newton’s
Laws are actually the statement that when a force F acts on a body of mass m it produces momentum (mv)
at a rate equal to the force,
d
F = (mv)
dt
We would like to apply this formula to a moving body with variable mass. Here the total mass of the system,
m is also a variable of time. In order to do so, it is important to distinguish between momentum produced
by F from momentum produced by mass joining the body from an outside force. If mass with velocity v + w
(here w is the relative velocity of the joining mass with respect to the point particle) is being added at the
rate dm
dt , the equations of motion become,

dm d
(v + w) + F = (mv)
dt dt
This reduces to,
dm dv
w +F =m
dt dt
Consider a rocket with structural mass m1 containing fuel of initial mass m2 . Suppose the rocket is fired
straight up from the surface of the Earth by burning fuel at a constant rate a (hence dm
dt = −a) and expelling
the exhaust products backward at a constant velocity b relative to the rocket. Neglecting all external forces
expcept a gravitational force mg where g is assumed a constant, find the velocity and height attained at the
moment when the fuel is exhausted. These are called the burnout velocity and the burnout height.
Remark 1.5. An interesting remark is that the experience of engineering experts suggests no forseeable
combination of fuel and rocket design that will enable a rocket starting from rest to acquire the burnout
velocity as large as the escape velocity in a single-stage. Hence one needs mutlistage rockets in order to
launch rockets that will go to space.

4
Second Order Equations I Math 263 - ODE for Engineers Lecture 8 - 2/1/18

2 Theory of Second Order Linear Equations

In our prevous example from Newtonian Mechanics we saw that solving for a second order equation required
in principle two integrations and hence produced for us a solution with two arbitrary constants. As before
we would like to call this our general solution to the differential equation. We will see below that, as long
as the equation is linear we will be able to write all solutions to a linear second order differential equation
as a general solution paramaterized by two arbitrary constants. Be careful that if the equation is nonlinear
then in principle it might not be possible to write all solutions to the equation in terms of a general solution.
Recall that even in the first order case we saw this phenomenon for the equation y 0 (t) = y 2 . Moreover we
also saw that in order to produce one solution in the examples above we imposed two initial conditions.
Putting these observations together we can state our fundamental existence and uniqueness result for second
order equations. We will only state the theorem in the case of linear second order equations. Let us remark
that the following theorem holds in more generality for second order equations with analogous hypothesis as
in the first order case, namely continuity of f (t, y, y 0 ), ∂f ∂f
∂y , and ∂y 0 in intervals around the inital values.

Theorem 2.1. Let p(t), q(t), and g(t) be continuous functions on an open interval I. If t0 is any point in
I and if y0 and y00 are any numbers, then the initial value problem,

y 00 (t) + p(t)y 0 (t) + q(t)y(t) = g(t), y(t0 ) = y0 , y 0 (t0 ) = y00 (2.1)

has one and only one solution y(t) on the entire interval I
As in the first order case we can use this theorem to first understand the domain of the solution without
having to solve explicitly. The theorem states just as in the first order case that the largest interval on
which the solution exists and is unique, is the common domain of p, q, and g in which all three functions
are continuous.
Example 2.2. Consider the differential equation,

(t − 1)y 00 − 3ty 0 + 4y = sin t, y(−2) = 2, y 0 (−2) = 1

Determine the longest interval in which the given IVP is certain to have a unique twice continuously differ-
entiable solution. Writing in standard form we find that the largest interval of existence is on the interval,
(−∞, 1).
This theorem will also be helpful to us in another directon. Given a linear second order equation, we may ask
ourselves if there is a way to understand all solutions to the equation. Meaning can we find a nice structural
form that all solutions to the differential equation must take. To start this discussion we will begin with the
linear homogenous equations,
y 00 (t) + p(t)y 0 (t) + q(t)y(t) = 0
We will try to understand the structural form any solution must have. Here is where we use explicitly
that we are working with Linear Homogenous Equations. Recall from our lecture on the classification of
Linear Homogenous Equations, that the defining property is that the equation splits nicely under linear
combinations. For us this means the following: If y1 (t) and y2 (t) are solutions to the second order linear
homogenous equation and c1 and c2 are arbitrary constants then,

y(t) = c1 y1 (t) + c2 y2 (t)

5
Second Order Equations I Math 263 - ODE for Engineers Lecture 8 - 2/1/18

is also a solution to the linear homogenous equation. This is called the Principle of Superposition. Using
this basic fact we would like to say that all solutions to second order linear homogenous equations can be
written this way. Recall the solution to the Harmonic Oscillator Problem. We found a solution to this
equation with two arbitrary constants written as the linear combination of two solutions. In general, this is
quite a leap, but it seems intutive enough since we are talking about linear equations, we would like to say
that the set of all solutions to this equation also has a linear structure. The only obstruction to writing all
solutions this way will be if one of the known solutions is a constant multiple of the other. In this case if we
assume that y1 (t) = cy2 (t), then,

y(t) = c1 y1 (t) + c2 y2 (t) = cc1 y2 (t) + c2 y2 (t) = Ay2 (t)

Hence our solution will have only one arbitrary constant. So it cannot be a candiate for the general solution.
When one solution y1 (t) 6= cy2 then we say that the solutions are linear independent. The main structural
theorem for solutions to linear homogenous second order equations is the following,
Theorem 2.3. Let y1 (t) and y2 (t) be linearly independent solutions of the homogenous equation,

y 00 (t) + p(t)y 0 (t) + q(t)y(t) = 0

on the interval I. Then,

y(t) = c1 y1 (t) + c2 y2 (t)
is the general solution of the equation on the interval I. Namely, every solution on this interval can be
obtained from y(t) for a suitable choice of the arbitrary constants c1 and c2 .
Since the general solution has the form mentioned above, any particular solution in the interval can be
found by specifiying values for the constants c1 and c2 . Before understanding how to find the constants we
will first state an equivalent way to understand when two given solutions are linearly independent on a given
interval I. Define the quantity known as the Wronskian of y1 (t) and y2 (t).
Definition 2.4. The Wronskian of y1 and y2 is defined to be,

W (y1 , y2 ) = y1 y20 − y2 y10

At the moment we are not motivating this equation. Its importance stems from the fact that we can use it to
identify if two given solutions to the same linear homogenous differential equation are linearly independent.
Lemma 2.5. The Wronskian of y1 and y2 , for two solutions of the same second order linear homogenous
equation vanishes identically on an interval I if and only if y1 and y2 are linearly dependent on I.
This is a very useful test to see if two given solutions are linearly independent. To apply this to our differential
equation, assuming we have found two solutions to the equation, we simply compute the Wronskian to see if
these two solutions are linearly independent on a given interval. If so then we can write the general solution
as a linear combination of these two solutions. If not, then we need to find another solution before we can
state the general solution. From here on out we will always consider the interval to be given by the largest
interval in which there exists a unique solution to our linear second order homogenous equation.
Remark 2.6. To be completely precise suppose we have two arbitrary functions (not necessarily solutions
to the same linear homogenous differential equation), then the two functions are linearly independent on
an interval as long as the Wronskian of those two functions does not vanish everywhere in the interval. It

6
Second Order Equations I Math 263 - ODE for Engineers Lecture 8 - 2/1/18

is NOT true that if the Wronskian vanishes identically on an interval that the two functions are linearly
dependent on that interval. Note that this is really a subtlety that we will not encounter in our applications.
We are always interested in applying the Wronskian to solutions of the same Linear Homogenous Differential
Equation.
Question 6. Consider two functions, f (t) = t3 , and g(t) = t2 |t| on the interval [−1, 1].

a) Show that their Wronskian vanishes identically

b) Show that f and g are not Linearly Dependent (meaning they are Linearly Independent)
Question 7. Find the general solution for,
y 00 − y = 0
and show that the solution is defined on any interval.
Question 8. Find the general solution for,

y 00 + y 0 = 0

and show that the solution is defined on any interval.

To find a particular solution all that remains is to plug in the initial conditions and solve for the constants
c1 and c2 . Owing to the fact that we have a general solution to the differential equation, we will be able
to solve for the constants explicitly and uniquely. In general you are solving the linear system of algebraic
equations,
c1 y1 (t0 ) + c2 y2 (t0 ) = y0
c1 y10 (t0 ) + c2 y20 (t0 ) = y00
From Linear Algebra (Cramer’s Rule) as long as you are at point in the interval in which the solution
uniquely exists, you know that this system has a unique solution if only if,

W (y1 (t0 ), y2 (t0 )) 6= 0

Hence you can find explicitly the unique solution to your second order homogenous equation.
Example 2.7. Show that
y(t) = c1 sin(ωt) + c2 cos(ωt)
is the general solution for the Simple Harmonic Oscillator and find the particular solution for y(0) = 2 and
y 0 (0) = 3. We compute the Wronskian and find that

W (y1 , y2 ) = −ω 6= 0

Moreover we are looking at a second order linear equation where the coefficients are defined everywhere,
hence we have a general solution everywhere. Plugging in the initial conditions we find,

c1 = 3

c2 = 2

7
Second Order Equations I Math 263 - ODE for Engineers Lecture 8 - 2/1/18

Example 2.8. Show that, y = c1 et + c2 e2t is the general solution of,

y 00 − 3y 0 + 2y = 0

on any interval, and find the particular solution for which y(0) = −1 and y 0 (0) = 1.

Question 9. Show that y = c1 t + c2 t2 is the general solution of,

t2 y 00 − 2ty 0 + 2y = 0

on any interval not containing 0, and find the particular solution for which y(1) = 3 and y 0 (1) = 5.
We finish with some remarks about second order linear equations.

Remark 2.9. The solutions y1 (t) and y2 (t) are called the fundamental set of solutions if y1 solves the
initial value problem with initial data,
y(t0 ) = 1, y 0 (t0 ) = 0
and y2 solves the initial value problem with initial data,

y(t0 ) = 0, y 0 (t0 ) = 1

Remark 2.10. To find the general solution for the nonhomogenous second order linear equation, all we
need to do is find one particular solution yp to the equation. If we are successful doing so then we can write
the general solution as,
y(t) = c1 y1 (t) + c2 y2 (t) + yp (t)
where y1 (t) and y2 (t) are the general solutions to the homogenous equation.
Remark 2.11. For second order linear homogenous equations the Wronskian can actually be computed
without finding any explicit solutions to the equation! In fact, Abel’s Theorem tells us that given a Linear
Homogenous Second Order Equation,

y 00 (t) + p(t)y 0 (t) + q(t)y(t) = 0

with initial value,

y(t0 ) = y0 , y 0 (t0 ) = y00
the Wronskian of any two solutions y1 (t) and y2 (t) is given by,
Rt
− p(s) ds
W (y1 , y2 ) = W (t0 )e t0
(2.2)

This formula is the reason that Lemma 2.5 is true. Since the exponential is never zero, the Wronskian of two
solutions of the same Linear Homogenous Equation is either zero or not zero depending on the value W (t0 ).
Moreover, using this formula you can check to see if a given initial value problem will have a unique solution
or not. If it does, we call the differential equation well posed. And if it does not, the differential equation
is called ill-posed. The statement is that if the initial value problem is well posed then the Wronskian of
the solution does not vanish. This means that if the Wronskian vanishes at a point t0 , then either the initial
value problem starting at t0 will have no solution or an infinite number of solutions.

8
Second Order Equations I Math 263 - ODE for Engineers Lecture 8 - 2/1/18

Question 10. Consider the differential equation,

y 0 (1 + t) y
y 00 − + =0
t t
Verify that,
y(t) = c1 et + c2 (1 + t)
is a general solution. On what interval is it a general solution? Consider the initial values,

y(0) = 1, y 0 (0) = 2

Is this initial value problem ill-posed? Why?

.
Remark 2.12. Consider the nth order linear equation of the form,

a0 (t)y (n) (t) + a1 (t)y (n−1) (t) + · · · + an (t)y(t) = f (t) (2.3)

All of our discussion for second order equations extends directly. First there is a direct extension of the
fundamental theorem of existence and uniqueness once we specify initial conditions y(t0 ), y 0 (t0 ), . . . y (n−1) (t0 )
in an interval in which all of the coefficients are continuous. Moreover we can solve for the general solution
as a linear combination of n linearly independent solutions,

c1 y1 (t) + c2 y2 (t) + · · · + cn yn (t)

Moreover we can test for linear independence of a set of n solutions by computing the Wronskian, which is
the determiniant of the following matrix,
 
y1 y2 ... yn
 y10 y20 ... yn0 
A =  .. .. .. 
 
..
 . . . . 
(n−1) (n−1) (n−1)
y1 y2 . . . yn

Hence,
W (y1 , y2 , . . . , yn ) = det(A)
Again we find that the Wronskian vanishes identically on an interval if and only if the n solutions are not
linearly independent. Finally we plug the initial conditions into the general solution y(t) and solve the
system of linear equtions to determine uniquely the value of the constants. In this way we can find a unique
solution to our linear nth order homogenous differential equation.

3 Suggested Problems
Question 11. Miscellaneous Problems (page 133-136) - 36, 37, 42, 44
Question 12. Section 3.2 - 1-14, 41, 42, 46, 47-49
Question 13. Section 4.1 - 1-6, 7, 8, 11-14, 26, 27

9
Second Order Equations I Math 263 - ODE for Engineers Lecture 8 - 2/1/18

Question 14. Consider again the Second Order Linear Homogenous equation,

y 00 (t) + p(t)y 0 (t) + q(t)y(t) = 0

Recall the Riccati’s Equation,

dy
= q1 (t) + q2 (t)y + q3 (t)y 2
dt
Show that any Second Order Linear Homogenous Equation can be transformed into Riccatti’s Equation.
Specifically, consider the substiution y 0 (t) = y(t)z(t), for z(t) an unknown function and show that z(t)
satisfies Riccatti’s Equation.

10