Systems of First Order Differential Equations

Systems of First Order Differential Equations

Department of Mathematics
IIT Guwahati

SU/KSK MA-102 (2018)

 Systems of First Order Differential Equations

A first order system of n (not necessarily linear) equations in n

unknown functions x1 (t), x2 (t), . . . , xn (t) in normal form is
given by

x01 (t) = f1 (t, x1 , x2 , . . . , xn ),

x02 (t) = f2 (t, x1 , x2 , . . . , xn ),
..
.
x0n (t) = fn (t, x1 , x2 , . . . , xn ).

Higher-order differential equations often can be rewritten as

first-order system. We can convert the nth order ODE

y (n) = f (t, y, y 0 , . . . , y (n−1) ) (1)

into a first-order system as follows.
SU/KSK MA-102 (2018)
 Systems of First Order Differential Equations

Setting
x1 (t) := y(t), x2 (t) := y 0 (t), . . . , xn (t) := y (n−1) (t).
we obtain n first-order equations:
x01 (t) = y 0 (t) = x2 (t),
x02 (t) = y 00 (t) = x3 (t),
..
. (2)
x0n−1 (t) = y (n−1)
(t) = xn (t),
x0n (t) = y (n) (t) = f (t, x1 , x2 , . . . , xn ).
If (1) has n initial conditions:
y(t0 ) = α1 , y 0 (t0 ) = α2 , . . . , y (n−1) (t0 ) = αn ,
then the system (2) has initial conditions:
x1 (t0 ) = α1 , x2 (t0 ) = α2 , . . . , x(n) (t0 ) = αn .
SU/KSK MA-102 (2018)
 Systems of First Order Differential Equations

Example: y 00 (t) + 3y 0 (t) + 2y(t) = 0; y(0) = 1, y 0 (0) = 3.

Setting
x1 (t) := y(t) and x2 (t) := y 0 (t)
we obtain

x01 (t) = x2 (t),

x02 (t) = −3x2 (t) − 2x1 (t).

The ICs transform to x1 (0) = 1, x2 (0) = 3.

We shall consider only linear systems of first-order ODEs.

SU/KSK MA-102 (2018)

 Systems of First Order Differential Equations

Consider the linear system in the normal form:

x01 (t) = a11 (t)x1 (t) + · · · + a1n (t)xn (t) + f1 (t),
x02 (t) = a21 (t)x1 (t) + · · · + a2n (t)xn (t) + f2 (t),
..
.
x0n (t) = an1 (t)x1 (t) + · · · + ann (t)xn (t) + fn (t).

In matrix and vector notations, we write it as

x0 (t) = A(t)x(t) + f (t), (3)
where x(t) = [x1 (t), . . . , xn (t)]T , f (t) = [f1 (t), . . . , fn (t)]T ,
and A(t) = [aij (t)] is a n × n matrix.
When f = 0 the linear system (3) is said to be homogeneous.

SU/KSK MA-102 (2018)

 Systems of First Order Differential Equations

Definition: The IVP for the system

x0 (t) = A(t)x(t) + f (t) (4)
is to find a vector function x(t) ∈ C 1 that satisfies the system
(4) on an interval I and the initial conditions
x(t0 ) = x0 = (x1,0 , . . . , xn,0 )T , where t0 ∈ I and x0 ∈ Rn .

Theorem: (Existence and Uniqueness)

Let A(t) and f (t) are continuous on I and t0 ∈ I. Then, for
any choice of x0 = (x1,0 , . . . , xn,0 )T ∈ Rn , there exists a
unique solution x(t) to the IVP
x0 (t) = A(t)x(t) + f (t), x(t0 ) = x0
on the whole interval I.

SU/KSK MA-102 (2018)

 Systems of First Order Differential Equations

Example: Consider the IVP:

   √   
0 t3 tan t 1−t −1
x (t) = x(t) + , x(0) = .
t sin t 0 1

This IVP has a unique solution on the interval (−π/2, 1).

Definition: The Wronskian of n vector functions
x1 (t) = (x1,1 , . . . , xn,1 )T , . . ., xn (t) = (x1,n , . . . , xn,n )T
is defined as
 x1,1 (t) x1,2 (t) · · · x1,n (t)
 

 x2,1 (t) x2,2 (t) · · · x2,n (t)
 

W (x1 , . . . , xn )(t) :=  .. .. .. 
 . . . 

 x (t) x (t) · · · x (t) 
n,1 n,2 n,n
= det[x1 x2 . . . xn ].

SU/KSK MA-102 (2018)

 Systems of First Order Differential Equations

Theorem: Let A(t) is an n × n matrix of continuous functions.

If x1 , x2 , . . ., xn are linearly independent solutions to
x0 (t) = A(t)x on I, then W (t) := det[x1 x2 . . . xn ] 6= 0 on
I.
Proof. Suppose W (t0 ) = 0 at some point t0 ∈ I. Now,
W (t0 ) = 0 =⇒ x1 (t0 ), x2 (t0 ), . . ., xn (t0 ) are L.D. .

SU/KSK MA-102 (2018)

 Systems of First Order Differential Equations

Theorem: Let A(t) is an n × n matrix of continuous functions.

If x1 , x2 , . . ., xn are linearly independent solutions to
x0 (t) = A(t)x on I, then W (t) := det[x1 x2 . . . xn ] 6= 0 on
I.
Proof. Suppose W (t0 ) = 0 at some point t0 ∈ I. Now,
W (t0 ) = 0 =⇒ x1 (t0 ), x2 (t0 ), . . ., xn (t0 ) are L.D. . Then, ∃
scalars c1 , . . . , cn , not all zero, such that
c1 x1 (t0 ) + c2 x2 (t0 ) + . . . + cn xn (t0 ) = 0.

SU/KSK MA-102 (2018)

 Systems of First Order Differential Equations

Theorem: Let A(t) is an n × n matrix of continuous functions.

If x1 , x2 , . . ., xn are linearly independent solutions to
x0 (t) = A(t)x on I, then W (t) := det[x1 x2 . . . xn ] 6= 0 on
I.
Proof. Suppose W (t0 ) = 0 at some point t0 ∈ I. Now,
W (t0 ) = 0 =⇒ x1 (t0 ), x2 (t0 ), . . ., xn (t0 ) are L.D. . Then, ∃
scalars c1 , . . . , cn , not all zero, such that
c1 x1 (t0 ) + c2 x2 (t0 ) + . . . + cn xn (t0 ) = 0.
Note that c1 x1 (t) + c2 x2 (t) + . . . + cn xn (t) and z(t) = 0 are
0
both
Pn solutions to x (t) = A(t)x(t), x(t0 ) = 0 on I and
i=1 ci xi (t0 ) = z(t0 ) = 0. By the existence and uniqueness
theorem
c1 x1 (t) + c2 x2 (t) + . . . + cn xn (t) = 0, ∀t ∈ I

SU/KSK MA-102 (2018)

 Systems of First Order Differential Equations

Theorem: Let A(t) is an n × n matrix of continuous functions.

If x1 , x2 , . . ., xn are linearly independent solutions to
x0 (t) = A(t)x on I, then W (t) := det[x1 x2 . . . xn ] 6= 0 on
I.
Proof. Suppose W (t0 ) = 0 at some point t0 ∈ I. Now,
W (t0 ) = 0 =⇒ x1 (t0 ), x2 (t0 ), . . ., xn (t0 ) are L.D. . Then, ∃
scalars c1 , . . . , cn , not all zero, such that
c1 x1 (t0 ) + c2 x2 (t0 ) + . . . + cn xn (t0 ) = 0.
Note that c1 x1 (t) + c2 x2 (t) + . . . + cn xn (t) and z(t) = 0 are
0
both
Pn solutions to x (t) = A(t)x(t), x(t0 ) = 0 on I and
i=1 ci xi (t0 ) = z(t0 ) = 0. By the existence and uniqueness
theorem
c1 x1 (t) + c2 x2 (t) + . . . + cn xn (t) = 0, ∀t ∈ I
which contradicts to the fact that x1 , . . ., xn are L.I. . Hence,
W (t0 ) 6= 0. Since t0 ∈ I is arbitrary, the result follows.
SU/KSK MA-102 (2018)
 Systems of First Order Differential Equations

Theorem:(Abel’s formula)
If x1 , . . . , xn are n solutions to x0 (t) = A(t)x(t) on an interval
I and t0 is any point of I, then for all t ∈ I,
Z t (X n
) !
W (t) = W (t0 ) exp aii (s) ds ,
t0 i=1

where aii ’s are the main diagonal elements of A.

Proof: Prove for n = 3. (See Theorem 11.12 of Ross’s book.)

Fact:
• The Wronskian of solutions to x0 (t) = A(t)x(t) is either
zero or never zero on I.
• A set of n solutions to x0 (t) = A(t)x(t) on I is linearly
independent on I if and only if W (x1 , . . . , xn )(t) 6= 0 on
I.
SU/KSK MA-102 (2018)
 Systems of First Order Differential Equations

Representation of Solutions
Theorem:(Homogeneous case)
Let x1 , . . . , xn be n linearly independent solutions to

x0 (t) = A(t)x(t), t ∈ I,
where A(t) is continuous on I. Then, every solution to
x0 (t) = A(t)x(t) can be expressed in the form
x(t) = c1 x1 (t) + · · · + cn xn (t),
where ci ’s are constants.
Definition: A set {x1 , . . . , xn } of n linearly independent
solutions to
x0 (t) = A(t)x(t), t ∈ I (∗)
is called a fundamental solution set for (∗) on I.

SU/KSK MA-102 (2018)

 Systems of First Order Differential Equations

The matrix Φ(t) defined by

Φ(t) := [x1 (t) x2 (t) . . . xn (t)]
x1,1 (t) x1,2 (t) · · · x1,n (t)
 
 x2,1 (t) x2,2 (t) · · · x2,n (t) 
=  .. .. .. 
 . . . 
xn,1 (t) xn,2 (t) · · · xn,n (t)

is called a fundamental matrix for (∗).

Note: 1. We can use Φ(t) to express the general solution

x(t) = c1 x1 (t)+· · ·+cn xn (t) = Φ(t)c, where c = (c1 , . . . , cn )T .

2. Since det Φ(t) = W (x1 , . . . , xn ) 6= 0 on I =⇒ Φ(t) is
invertible for every t ∈ I.

SU/KSK MA-102 (2018)

 Systems of First Order Differential Equations

Theorem: There exists fundamental sets of solutions of the homogeneous

linear system of differential equations
d
x = A(t)x.
dt

SU/KSK MA-102 (2018)

 Systems of First Order Differential Equations

Example: The set {x1 , x2 , x3 }, where

 2t     
e −e−t 0
x1 =  e2t  , x2 =  0  , x3 =  e−t  ,
e2t e−t −e−t

is a fundamental solution
 for the system x0 (t) = A(t)x(t)
set 
0 1 1
on R, where A = 1 0
 1 .
1 1 0
Note that Axi (t) = x0i (t), i = 1, 2, 3. Further,
 
 e2t −e−t 0 
 2t
W (t) =  e 0 e−t  = −3 6= 0.
−t
 e 2t
e −e−t 

SU/KSK MA-102 (2018)

 Systems of First Order Differential Equations

 
e2t −e−t 0
The fundamental matrix Φ(t) =  e2t 0 e−t  .
e2t e−t −e−t

Thus, the GS is
    
e2t −e−t 0
x(t) = Φ(t)c = c1  e2t  + c2  0  + c3  e−t  .
e2t e−t −e−t

SU/KSK MA-102 (2018)

 Systems of First Order Differential Equations

Theorem:(Non-homogeneous case)
let xp be a particular solution to

x0 (t) = A(t)x(t) + f (t), t ∈ I, (∗∗)

and let {x1 , . . . , xn } be a fundamental solution set on I for
the corresponding homogeneous system x0 (t) = A(t)x(t).
Then every solution to (∗∗) can be expressed in the form

x(t) = c1 x1 (t) + · · · + cn xn (t) + xp (t)

= Φ(t)c + xp (t).

*** End ***

SU/KSK MA-102 (2018)