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DE - M SC SLM
1.1 INTRODUCTION 03
CONSTANT COEFFICIENTS
Differential Equations 3
CHAPTER 6 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS 46
7.1 CLASSIFICATION 78
Differential Equations 4
CHAPTER 1
1.1 Introduction
0 R such that the series converges for | x | < R and diverges for | x | > R.
lim an1
We have, R = .
n an
xn
For the geometric series 1+ x + x + … , R = 1 and for the exponential series , R =
2
n 0 n!
and the series n! x
n 0
n
converges only for x = 0.
Suppose a
n 0
n x n = f(x) for | x | < R . Then f(x) has derivatives of all orders and the series can
be differentiated term by term f ' ( x) nan x n1 , f ' ' ( x)
n 1
n(n 1)a
n 1
n x n 2 and so on and
f n (0)
each series converges for | x | < R. In fact, we get an , n .
n!
A function f(x) which can be expanded as a power series a
n 0
n ( x x0 ) n , valid in some
Differential Equations 5
1.2. Power series solutions
It may be recalled that many differential equations can not be solved by the few
analytical methods developed and these methods can be employed only if the differential
equations are of a particular type. By applying the following method solutions can be
obtained as a power series and hence known as power series method.
Then y ' a1 2a 2 x 3a3 x 2 .... . Since y ' y , by equating the coefficients of like powers
of x, we get a1=a0, 2a2=a1,3a3=a2,… which reduces to a1=a0,a2=a1/ 2 = a0/2!,a3=a0/3!,….
Thus we obtain, y = a0( 1+ x/1! + x 2
/2!+…..) = a0 ex, where a0 is left undetermined and
hence arbitrary.
|x-x0| < R, for some R. The various coefficients can be found in terms of a0 and a1, which is
left undetermined.
x2 x4 x3 x5
(2n+1)! and a2n=(-1) a0/(2n)!. Hence y = a0 (1
n
...) a1 ( x ....)
2! 4! 3! 5!
= a0 cos x + a1 sin x.
Consider the Legendre’s equation 1 x y
2 ''
2 xy' p( p 1) y 0 , where p is a
constant.
2x p ( p 1)
Here P(x) = and Q(x) = , which are analytic at x = 0.
1 x 2
1 x2
Differential Equations 6
Let y = a
n 0
n x n . Then the equation gives the recurrence relation (n+1)(n+2)an+2-(n-1)an-
p( p 1) ( p 1)( p 2)
2nan+p(p+1) an= 0. Put n = 0,1,2,..which gives a 2 a 0 , a3 a1 ,
2! 3!
x = x0 is a singular point of (*) if either P(x) or Q(x) is not analytic at x0. In this case the
power series solution may not exist in a neighborhood of x 0. But the solutions near a singular
point is important in a physical context, and most of the cases they exist. Origin is a singular
2 ' 2
point of y '' y 2 y 0 and for x > 0, y = c1 x + c2 x-2 , is its general solution.
x x
A singular point x0 of (*) is called regular singular if both ( x-x0)P(x) & (x-x0)2Q(x) are
analytic at x0.
Consider the Legendre’s equation 1 x 2 y '' 2 xy' p( p 1) y 0 , for which x =1 ,
-1 are singular points but they are regular singular. For the Bessel equation of order p,
Differential Equations 7
x 2 y '' xy' ( x 2 p 2 ) y 0 , where p is a non negative constant, x = 0 is a regular singular
point.
If x = x0 is regular singular point of (*), then by definition ( x-x0)P(x) & (x-x0)2Q(x) are
analytic at x0 and hence we may take ( x-x0)P(x) = p
n 0
n ( x x0 ) n and
(x-x0)2Q(x) = q
n 0
n ( x x0 ) n . A solution of the equation (*) as a Frobenius series
y= x x0 m a n ( x x0 ) n , where m is a real number and a0 is assumed non zero, can be
n 0
expected.
On substituting, y = x x0 m a n ( x x0 ) n in (*), and equating the coefficients, we get
n 0
n 1
the recursion formula a n [( m n)( m n 1) (m n) p 0 q 0 ] a k [( m k ) p n k q n k ] 0
k 0
lim lim
( ** ). Here p0 ( x x0 ) P( x) and q0 ( x x 0 ) 2 Q( x) .
x x0 x x0
For n=0, ( ** )gives m(m 1) mp0 q0 0 ***, called the indicial equation, which
determines the values of m.
Substituting the values of m and taking n=1,2,3,.. in ( ** ) an’s can be determined in terms of
a0 and the respective solutions can be obtained .
Eg. Consider the equation 2 x 2 y '' x(2 x 1) y ' y 0 . x = 0 is a regular singular point of
the equation. Let us assume that the solution at x = 0, is y = x m a
n 0
n xn .
1 1
we get the indicial equation, m(m 1) m 0 --(1). m = 1 , -1/2 . For m = 1 , -1/2
2 2
respectively we get the solutions on determining the an’s successively from the recurrence
2 2 4 3 1 2
relation ( ** ) as y1 a 0 ( x x x ...) and y 2 a 0 x 1 2 (1 x x ...) which
5 35 2
are independent also and thereby the general solution is y = c1 y1 + c2 y2, where c1& c2 are
arbitrary constants.
Differential Equations 8
Remark.
Let the roots of the indicial equation be real, say, m1& m2 with m1 m2 .
Then the equation ( * ) has a Frobenius series solution corresponding to m1, the larger
exponent. If m2 = m1, there is no scope to get a second independent solution by the same
procedure and it may be found by some alternate method. If m1 - m2 is not a positive integer,
another independent solution corresponding to m2 can be obtained, and otherwise the method
may not be giving a second independent solution.
Ex.1.. Consider the equation x 2 y '' 3xy' (4 x 4) y 0 . Show that x = 0 is a regular
singular point and find the only one Frobenius series solution.
Ex.2.. Find the two independent solutions of xy'' 2 y ' xy 0 , at x = 0.
1
Ex.3. The Bessel equation of order p = ½ , namely x 2 y '' xy ' ( x 2 ) y 0 has x = 0 as a
4
regular singular point. The exponents m1 & m2 is such that m1 – m2 =1, but the method gives
two independent solutions, and determine them.
The equation x(1 x) y '' [c (a b 1) x] y ' aby 0 , where a, b, c are constants – (A)
represents many classical equations and is known as Gauss’s Hyper geometric equation.
c (a b 1) x ab
We have P(x) = and Q(x) = .
x(1 x) x(1 x)
The only singular points are, x = 0 & 1, and they are regular singular points.
We may proceed to investigate the solution at x = 0.
We get, p0 = c & q0 = 0, so the indicial equation is m(m-1)+mc = 0 which gives m1 = 0 &
m2 = 1-c. If 1-c is not a positive integer, i.e. if c is not zero or a negative integer, then (A)
has a solution of the form y = x 0 a n x n . Substituting in (A) and equating to zero, the
n 0
(a n)(b n)
coefficients of xn, we get the recursion formula ; a n1 a n . With a0=1, we get
(n 1)(c n)
a (a 1)...( a n 1)b(b 1).....(b n 1) n
in succession all an’s and the solution, y = 1 x ,
n 1 n!c(c 1).....(c n 1)
called the hyper geometric function, denoted by, F(a ,b ,c ,x).
lim an1 lim (a n)(b n)
Since R = = = 1, the series converges for |x| < 1.( Note
n an n (n 1)(c n)
that the series reduces to a polynomial for a or b equal to zero or some negative integer.)
Differential Equations 9
If 1-c is not zero or a negative integer a second independent solution can be obtained,
similarly. or by the substitution, y = x 1-cz, (A) becomes,
x(1 x) z '' {( 2 c) [(a c 1)(b c 1)] 1]x} y ' (a c 1)(b c 1) y 0 --(B),
a hyper geometric equation with a, b, c replaced by (a-c+1), (b-c+1) and (2-c)
Hence the solution of ( B ), at x = 0 is,
Thus if c is not an integer, then the general solution of (A), at x = 0 is, y = c1 F(a,b,c,x) +
c2 x 1-c F(a-c+1,b-c+1,2-c,x).
(A) becomes t (1 t ) y '' [(a b c 1) (a b 1)t ] y ' aby 0 . Hence the general solution
at x = 1 , when c-a-b is not an integer is, y = c1 F(a,b,a+b-c+1,1-x) +
c2 (1-x )c-a-bF(c-b,c-a,c-a-b+1,1-x).
Remark
lim x lim x2
Ex2. Show that e x F (a, b, a, ) , cos x F (a, a, 1 , 2 )
b b a 2 4a
ab
Ex.4. Show that F ' (a, b, c, x) F (a 1, b 1, c 1, x) .
c
Differential Equations 10
Ex.5. Show that the only solutions of the Chebychev’s equation, whose derivatives are
1 x
bounded near x = 1 are, y = c1 F ( p, p, 1 , ).
2 2
d2y dy
Consider the hyper geometric equation s(1 s) 2
[c (a b 1) s] aby 0 .
ds ds
x (a 1) x '
Changing s to x = bs, the equation becomes x(1 ) y '' (c x) y ay 0 ,
b b
which has the regular singular points x = 0, b and . If we let b , then b will be merged
with , and this confluence of two regular singular points produce an irregular singular point
at for the limiting equation, xy'' (c x) y ' ay 0 , called the confluent hyper geometric
equation.
Differential Equations 11
CHAPTER 2
SPECIAL FUNCTIONS – LEGENDRE POLYNOMIALS
2.1. Legendre Polynomials
For n, a non negative integer,
consider the Legendre’s equation (1 x 2 ) y '' 2 xy' n(n 1) y 0 --(L).
We are now proceeding to find the solutions of (L), bounded near x = 1 , a regular singular
1 x
point. Take, t = . Then x = 1 corresponds to t = 0 and the transformed equation is
2
d2y dy
t (1 t ) 2
[1 2t ] n(n 1) y 0 , hyper geometric equation . t = 0 is regular singular
dt dt
with indicial equation, m(m-1) + m = 0, giving the only exponent m = 0. The corresponding
Frobenius series solution is, y 1 = F( -n, n+1,1, t).
Let a second independent solution be y2=vy1. where
2 t 1
1 1 1
v 2e
1 p (t ) dt dt 1 1 1
'
2 e t (1t ) 2 2 a1 a 2 t ..... , since y1 is a
y1 y1 y1 t (1 t ) t y1 (1 t ) t
polynomial with non zero constant term. Thus v = log t + a1 t+…… and y2 = y1 ( log t + a1t
+….). As t0, logt , y2 is unbounded at t = 0 i.e. at x = 1.
Thus the only bounded solutions of (L) bounded at x = 1 are constant multiples of
1 x
y1 = F (n, n,1, ) - a polynomial of degree n , called the n th
Legendre polynomial,
2
denoted by Pn(x). We may proceed to express the polynomial Pn(x) in the standard power
form and obtain a generating formula, known as the Rodrigue’s formula.
On simplification,
n(n 1) n(n 1)( n 1)( n 2) (2n)!
Pn(x)= 1 ( x 1) ( x 1) 2 ..... ( x 1) n --(1)
1! 2
2
2! 2
2 2
( n! ) 2 n
2
But Pn(x) is polynomial of degree n, which contains only odd or even powers of x according
as n is odd or even.
Hence, Pn(x)=anxn+an-2 xn-2+….. --(2)
Differential Equations 12
It is noted from (1) that Pn(1)=1 and using (2) Pn(-1)=(-1)n. Further from (1), we get
( 2n)!
an= . Since a polynomial solution is valid everywhere, from the power series solution
(n!) 2 2 n
we have obtained at x = 0, the recursion formula used in that context relates the coefficients of
(n k 2)( n k 1)
Pn(x) in the form (2). Thus a k a k 2 and writing in the reverse order
(k 1)k
with k = n, n-2, n-4,…..yields,
n(n 1) (n 2)( n 3) n(n 1)( n 2)( n 3)
an2 an , an4 a n 2 = (1) 2 a n ,……
2(2n 1) 4(2n 3) 2.4.(2n 1)( 2n 3)
n n
2 2
(2n 2k )!
(1) k d n 2 n2 k
Pn(x) =
k 0
(1) n
k
2 k!(n k )!(n 2k )!
xn-2k =
k 0 2 n k!(n k )! dx n
(x )
1 dn
1 dn 2
n
n!
nk n
= x2 (1) k x 1 , called the Rodrigue’s formula,
2 n n! dx n k 0 k!(n k )! n
2 n! dx n
1.3...(2n 1)
P2n+1(0)=0 and P2n(0)= (1) n .
2 n n!
By differentiating both sides w.r.to t, and equating the coefficients of tn obtain the recursion
formula (n+1) Pn+1 ( x) (2n 1) xPn ( x) nPn1 ( x) and use it to find P2(x) & P3(x) from
P1(x)=x and P0(x)=1.
Orthogonality of Legendre Polynomials
0 if m n
1
m n
P ( x ) P ( x ) dx 2
if m n
1
2n 1
i.e. {Pn(x),n = 0,1,2,..} is a family of orthogonal functions in [-1,1]
Let f(x) be a function with at least n continuous derivatives in [-1,1] and consider the integral
1 1
1 dn 2
I= f ( x) Pn ( x)dx = n f ( x ) n
( x 1) n dx , by Rodrigue’s formula.
1 2 n! 1 dx
Differential Equations 13
1
1 d n 1 2
Applying integration by parts, I = n f ( x ) n 1
( x 1) n -
2 n! dx 1
d n 1 2
1
1
( x 1) n dx
(1)
n
f ( x ) n 1
2 n! 1 dx
d n 1 2
1
1
( x 1) n dx , since the expression in bracket vanishes at both the limits
(1)
=- n
f ( x ) n 1
2 n! 1 dx
(1) n d nn 2
1
Continuing to integrate by parts, we get I =
2 n n!
1
f ( n ) ( x)
dx nn
( x 1) n dx
(1) n
1
f ( x)( x 2 1) n dx .
(n)
=
2 n n! 1
Take f(x) = Pm(x), where m < n. Then f(n)(x) = 0, since Pm(x) is a polynomial of degree m.
1
Thus I = 0 P
1
m ( x) Pn ( x)dx 0, m n.
( 2 n )!
Now let f(x) = Pn(x). Then f(n)(x)= , and we get from above,
2 n n!
1 1 2
(2n)! (2n)! (2n)!
2 (n!) 2 1 2 cos
I = 2n
(1 x 2 ) n dx 2 (1 x 2 ) n dx 2 2 n d , by the
2 n 1
2n
2 (n!) 0 2 (n!) 2 0
substitution x = sin .
(2n)! 2n 2n 2 2 2
Thus I = 2 . ..... = , on simplification.
2 (n!) 2n 1 2n 1
2n 2
3 2n 1
Legendre series
1
1
Let f(x) be an arbitrary function, then a n Pn ( x) , where a n n f ( x) Pn ( x)dx
n 0 2 1
is called the Legendre series expansion of f(x). The expression of an’s are motivated by the
orthogonality properties of Legendre polynomials. Notice that if P(x) is a polynomial of
k
degree k, then P(x) = a
n 0
n Pn ( x) .
Differential Equations 14
1
n 1
P(x) = a k Pk ( x) , where a k k f ( x) Pk ( x)dx , and Pk(x) is the kth Legendre
k 0 2 1
polynomial.
1 n 1 n
2
[ f ( x) bk Pk ( x)] dx = [ f ( x)] dx + 2k 1 b
2 2 2
We have I = k - 2
1 k 0 1 k 0
n 1
bk f ( x ) Pk ( x ) dx
k 0 1
1 n n
2 2
= [ f ( x)] dx + 2k 1 a b
2 2
bk - 2 =
k 0 2k 1
k k
1 k 0
1 n n
2 2
[ f ( x)] dx + (bk a k ) 2 -
2 2
a k , which is least when b k = ak for k = 0 to n.
1 k 0 2k 1 k 0 2k 1
a x n
n p
, where a0 0. The recurrence relation for an’s is, n(2p+n)an + an-2=0.
1
Since a-1=0, an = 0 for odd values of n. We get a 2 n (1) n .
2 n!( p 1)...( p n)
2n
Hence, we have,
x 2n
y = a 0 x p (1) n .
0 2 2 n n!( p 1)...( p n)
Taking a0 =1/2pp!, we get the solution,
Differential Equations 15
xp x 2n
( x / 2) 2 n P
Jp(x) =
2 p p! 0
( 1) n
2 2 n n!( p 1)...( p n)
=
0
(1) n
n!( p n)!
, called the
lim p t lim b p 1 t
b
bp
p t p 1e t dt =p
b
= t e t e dt =p p , since 0 as b
b b 0
0
0 eb
Now (1) e t dt 1. Thus for any non negative integer n, ( n 1) =n (n ) =n(n-1)
0
( n 1)
=……= n(n-1)(n-2)…1 (1) = n!.
( p 1)
From the recurrence relation, presented as, ( p ) = -- ( I ), we can define ( p ) for
p
-1<p<0, since ( p 1) is available for p+1>0. For -2<p<-1, we again use ( I ) and the
extended definition , since -1<p+1<0. This process is continued to define ( p ) for all
negative real numbers, which are not integers.
lim lim ( p 1)
Again from ( I ), we get, ( p) = = . Hence, we can define,
p0 p0 p
(0) = and using ( I ) repeatedly define ( p ) = , for p any negative integer.
Now we have extended ( p ) for all values of p. We may now define p!= ( p 1) , for all
values of p or its reciprocal 1/p! = 1/ ( p 1) which vanishes by definition at any negative
integer p alone. Now with the above extension for factorial or its reciprocal J p(x) is well
defined for all p > 0.
We have m1 - m2 = 2 p. There exists a Frobenius series solution corresponding to m2 = -p,
( x / 2) 2 n p
even when p =1/2, 3/2,..as a multiple of J-p(x) = 0
(1) n
n!( p n)!
.
Differential Equations 16
p
1 x
The first term of this series is which is unbounded as x 0. Hence J-p(x) is
( p )! 2
unbounded at x = 0 where as Jp(x) is bounded at x = 0, for p not an integer . Thus for p not an
integer, the general solution at x = 0 is y = c1 Jp(x) + c2 J-p(x).
( x / 2) 2 nm
( x / 2) 2 nm
For p = m a non negative integer J –m(x) = 0
(1) n
n!(m n)!
nm
(1) n
n!(m n)!
,
1
since 0 for n = 0,1,…,m-1.
(m n)!
( x / 2) 2( n m)m
( x / 2) 2n m
Thus J –m(x) = 0
(1) n m
(n m)!(n)!
(-1)m
0
(1) n
n!(m n)!
(-1)m Jm(x).
2 y2 2
(1 / 2) 4 e x dx e dy 4 e dxdy 4 e r rddr ,
2 ( x2 y2 ) 2
0 0 0 0 0 0
2
and x J 1 ( x) = c cos x + d sin x. Evaluate a,b,c,d and show that J 1 ( x) sin x and
2 2 x
2
J 1 ( x) cos x .
2 x
( x) 2 n 2 P ( x) 2 n 2 P 1
d p d
Now
dx
x J p ( x)
dx
0
(1) n =
2 2 n p n!( p n)! 0
( 1) n
2 2 n p 1 n!( p n 1)!
=
Differential Equations 17
( x / 2) 2 n p 1
x p (1) n = xp Jp-1(x).
0 n!(n p 1)!
i.e.
d p
dx
x J p ( x) x p J p 1 ( x) …(1)
i.e. xp Jp’(x)+p xp-1 Jp(x) = xp Jp-1(x) …(1) & . x-p Jp’(x) - p x-p-1Jp(x) = - x-p Jp+1(x)
..(2)
Now, (1)/xp Jp’(x) + (p/x) Jp(x) =Jp-1(x) ..(3) & (2)/x-p Jp’(x) – (p/x) Jp(x)=-Jp+1(x)
..(4)
Orthogonality properties.
1 0, m n
0 p m p n
xJ ( x ) J ( x ) dx J ( ) 2 , m n
1
2 p 1 n
1 ' p2
Let y = Jp(x) . Then y '' y (1 2 ) y 0 . If a & b are distinct positive constants,
x x
1 p2
then u(x) = Jp(ax) & v(x) = Jp(bx) satisfy the equations, u '' u ' (a 2 2 )u 0 -- (1)
x x
1 p2
and v '' v ' (b 2 2 )v 0 --(2).
x x
d ' 1
(1)v – (2) u (u v v ' u ) (u ' v v ' u ) (b 2 a 2 )uv --(3)
dx x
d
(3) x [ x(u ' v v ' u )] (b 2 a 2 ) xuv --(4)
dx
1
Integrating from 0 to 1, we get, (b a ) xuvdx xu v v u = 0, if a & b are distinct
1
2 2 ' '
0 0
zeroes of Jp(x).
1
Let a = m & b = n . Then we have obtained, xJ
0
p (m x) J p (n x)dx 0, if m n
Differential Equations 18
2
But u(x) = Jp(ax) and hence u’(1)=a Jp’(a). Thus, we get, from (6), with a replaced by n ,
1
1 1
that, xJ
0
p (n x) 2 dx J p' (n ) 2 J p 1 (n ) 2 .
2 2
Bessel series
Let f(x) be a function defined in [0,1] and n ’s be the positive zeroes of some fixed Bessel
2
function Jp(x), p 0. Then, a n J p (n x) , where an =
n 1 J p 1 (n ) 2 0
xf ( x) J p (n x)dx , is called
1 1 1 1 1 2
2
4( p 1)
and 4
16( p 1) 2 ( p 2)
. Taking p = ½ , derive that n2 6
n n
1 4
and 4 .
n 90
Differential Equations 19
CHAPTER 3
SYSTEMS OF FIRST ORDER EQUATIONS
3.1. LINEAR SYSTEMS
Let x, y be variables depending on the independent variable t. Consider the following system
dx
dt F (t , x, y )
of first order differential equations dy ….(1).
G (t , x, y )
dt
The above system is called linear if the dependent variables x & y are appearing only in first
degree. Thus the corresponding linear system can be presented as,
dx
dt a1 (t ) x b1 (t ) y f1 (t )
dy ….(2)
a 2 (t ) x b2 (t ) y f 2 (t )
dt
If f1(t) & f2(t) are identically zero, the system is called homogeneous. Thus the associated
dx
dt a1 (t ) x b1 (t ) y
homogeneous linear system is dy ……(3)
a2 (t ) x b2 (t ) y
dt
We assume that ai(t), bi(t), fi(t), i = 1, 2, are continuous in some interval [ a , b ].
The solution of (2) is a pair of functions, x = x(t) and y = y(t).
Theorem 1. If t0 is any point in [ a , b ], and if x0 and y0 are given numbers, then (2) has a
unique solution x = x(t), y = y(t), valid in [ a , b ], such that x( t0 ) = x0 and y (t0 ) = y0.
Theorem 2. If the linear homogeneous system (3) has two solutions, x = x1(t), y = y1(t),
and x = x2(t), y = y2(t), valid in [ a , b , then x = c1 x1(t) + c2 x2(t), y = c1 y1(t) + c2 y2(t) is also
a solution, for any two constants c1, c2.
x1 (t ) x2 (t )
Let W(t) = . Then W(t) is called the Wronskian of the solutions (x1(t),y1(t)) and
y1 (t ) y 2 (t )
(x2(t),y2(t)).
Differential Equations 20
Theorem 3. If the two solutions (x1(t),y1(t)) and (x2(t),y2(t)) of the homogeneous system (3 )
has a Wronskian that does not vanish on [ a , b ], then x = c1 x1(t) + c2 x2(t), y = c1 y1(t) + c2
y2(t) , where c1 & c2 are arbitrary constants, is the general solution of (3 ) in [ a, b ].
Theorem 4. The Wronskian of two solutions of the homogeneous system, is either identically
zero or no where zero in [ a, b ].
dW
Proof: We have [ a1(t) + b2(t) ]W, which gives W(t) = ce a1 (t )b2 (t ) dt , for some
dt
constant c.
Then W(t) 0 , if c = 0 and W(t) 0 , for any t, if c 0 .
Remark: The two solutions x = x1(t), y = y1(t), and x = x2(t), y = y2(t),
valid in [ a , b ] of the homogeneous system are said to be linearly independent , if one is not
a constant multiple of the other which is equivalent to the condition that the Wronskian of the
solutions is not zero.
The following Theorem is a consequence of the above definition and Theorem 4.
Theorem 5. If the two solutions x = x1(t), y = y1(t), and x = x2(t), y = y2(t), are linearly
independent, then x = c1 x1(t) + c2 x2(t), y = c1 y1(t) + c2 y2(t) , where c1 & c2 are arbitrary
constants, is the general solution of (3 ) in [ a, b ].
Theorem 6. If the two solutions (x1(t),y1(t)) and (x2(t),y2(t)) of the homogeneous system are
linearly independent and x = xp(t), y = yp(t) is any particular solution of the corresponding
non- homogeneous system (2), then x = c1 x1(t) + c2 x2(t) + xp(t) , y = c1 y1(t) + c2 y2(t) + yp(t),
where c1 & c2 are arbitrary constants, is the general solution of (2 ) in [ a, b ].
Proof: Let (x(t),y(t) be a solution of (2). Then it can be easily shown that (x(t) - xp(t),y(t)-
yp(t)) is a solution of (3), and the result follows, by virtue of Theorem 5.
3.2. Homogeneous Linear System with constant coefficients.
dx
dt a1 x b1 y
Consider the system, …(4) , where a1, a2,b1,b2 are constants. We may
dy
a 2 x b2 y
dt
x Ae mt
assume that a solution of the system can be taken as …(5).
y Be
mt
Differential Equations 21
It is clear that the system trivial solution A = 0, B = 0 yields the trivial solution
a1 m b1
x = 0, y = 0 of (4). The system (6) has a non trivial solution iff 0.
a2 b2 m
x 2 A2 e m2t
We get the solution corresponding to m = m2, in a similar fashion as .
y 2 B2 e
m2 t
The nature of the roots m1 & m2 are important whenever we try to write the general solution.
Case 1: Distinct Real roots.
If m1 and m2 are real and distinct, then x = c1 x1 + c2 x2, y = c1 y1 + c2 y2 is the general
solution.
Case 2. Complex roots
Let m = a ib be the roots of (7). For m = a + ib, solve (6), to get A = A1 +iA2 , B = B1+iB2
Since we require real solutions alone, the general solution is a linear combination of
( x1 e at ( A1 cos bt A2 sin bt ), y1 e at ( B1 cos bt B2 sin bt )) and
x Ae mt
separating into real and imaginary parts, the solution, , obtained for m = a +ib .
y Be
mt
x ( A1 A2 t )e mt
and their linear combination gives the general solution.
y ( B1 B2 t )e
mt
dx
dt x y
Eg.1. Consider the system, . Let x = A e mt
, y = B e mt
. Then after
dy
4x 2 y
dt
cancellation of e mt, we get, the linear algebraic system (1- m ) A + B = 0 , 4 A + ( -2 – m )
B = 0.
For non trivial solution of the algebraic system, we have, m 2 + m – 6 = 0 i.e. m = -3 or 2.
With m = -3, the algebraic system becomes, 4 A + B = 0.
Differential Equations 22
A non trivial is chosen as A = 1, B = -4 . Thus we have the solution, x = e -3t, y = -4 e -3t.
With m = 2, we get - A + B = 0. A non trivial solution is taken as, A = 1, B = 1. This gives
2t
the solution, x = e , y = e 2t. It may be noted that the solutions obtained are independent.
Hence the general solution is x = c1 e -3t + c2 e 2t , y = -4 c1 e -3t + c2 e 2t.
dx
3x 4 y
Eg.2. Consider the system, dt . Let x = A e mt
, y = B e mt
. Then after
dy
x y
dt
cancellation of e mt, we get, the linear algebraic system , ( 3 – m ) A – 4 B = 0, A + ( -1 – m )
B = 0 …( 1 )
For a non zero solution, ( 3 – m ) ( -1 – m ) + 4 = 0 i.e. m 2 – 2m + 1 = 0 or m = 1, 1.
With m = 1, ( 1 ) gives, A – 2 B = 0. Choose, A = 2, B = 1. Corresponding solution is,
x = 2 e t, y = e t .
A second solution linearly independent from the above is assumed to be, x = ( A 1 + A2 t ) e t
and y = ( B1 + B2 t ) e t. Then we obtain, ( A 1 + A 2 t + A2 ) = 3 ( A1 + A2 t ) – 4 ( B1 + B2 t ) &
( B 1 + B 2 t + B2 ) = ( A1 + A2 t ) – ( B1 + B2 t ). Since these are identities in t, we get,
2 A2 – 4 B2 = 0, A2 – 2 B2 = 0, 2 A1 – A2 -4 B1 =0, A1 – 2 B1 – B2 = 0. A non zero solution is
taken as, A2 = 2, B2 = 1, A1 = 1, B1 = 0. Now we get another solution, x = ( 1 + 2t ) e t, y = e t.
The two solutions obtained are linearly independent. Hence, we get, x = 2 c1 et + c2 ( 1 + 2t ) et,
y = c1 e t + c2 t e t as the general solution.
dx
dt 4 x 2 y mt mt
Eg.3. Consider the system, . Let x = A e , y = B e . Then after
dy
5x 2 y
dt
mt
cancellation of e , we get, the linear algebraic system , ( m - 4 ) A + 2 B = 0, 5A +
(2–m)B=0 (1)
For non trivial solution of (1), we have, m 2 – 6 m + 18 = 0 or m = 3 3i . Since the values of
m are complex, we are expecting complex values for A & B also.
Let A = A1 + i A2 , B = B1 + i B2 and substitute, m = 3 3i , in (1). We obtain,
( - 1 +3 i ) (A1 + i A2 ) + 2 (B1 + i B2 ) = 0, 5 (A1 + i A2) + ( -1 -3i )( B1 + i B2 ) = 0.
Equating the real and imaginary parts, - A1 – 3 A2 + 2 B1 = 0, 3 A1 – A2 + 2 B2 = 0, 5 A1 – B1
+ 3 B2 = 0, 5 A2 – 3 B1 – B2 = 0. Consider the coefficient matrix and reduce it to row echelon
form. A solution of the homogeneous algebraic system is, A1 = 2, A2 = 0, B1 = 1, B2 = -3.
The general solution is, x = e 3t( 2 c cos 3t + 2 d sin 3t ),
y = e 3t[c( cos 3t + 3 sin 3t) + d(sin 3t – 3 cos 3t)]
Differential Equations 23
3.3 Non linear system – Volterra’s prey – predator equations.
Consider an island inhabited by foxes and rabbits. The foxes hunt the rabbits and rabbits feed
on carrots. We assume that there is abundant supply of carrots. As the rabbits become large in
number, foxes flourish as they hunt on rabbits and their population grows. As the foxes
become numerous and eat too many rabbits, the rabbit population declines. As a result the
foxes enter a period of famine and their population declines. As foxes decrease in number the
rabbits become more safe resulting in a population surge. As time goes on we can observe an
unending almost cyclic repetition of population growth and decline of either species.
We make a mathematical formulation of the above problem. Let x be the rabbit population
and y, the corresponding population of foxes at a given instant.
Since there is an unlimited supply of carrots, the rabbit population grows as in the case of a
first order reaction relative to the current population.
dx
Thus in the absence of foxes, ax, a > 0 . It is natural to assume that the number of
dt
encounters between foxes and rabbits is jointly proportional to their populations. As these
encounters will enrich the fox population, but results in the decline of rabbit population, we
dx
may correct the above equation as ax bxy, where a , b > 0. In a similar
dt
dy
manner, we obtain, cx dxy, where c , d > 0. Thus, we have, the following non linear
dt
dx
system, describing the populations, ax bxy,
dt
dy
cx dxy. The above equations are called
dt
Volterra’s prey – predator equations.
(a by )dy (c dx)dx
Eliminating t , we get . The solution is , y a e –by = K x –c e dx, where
y x
K = x0c y0 a e –dx0 – dy0 , for some initial solution, ( x0 , y0 ). Drawing the (x,y) graph is really
tough and Volterra has introduced an efficient approach in this regard as discussed below.
We note that , x , y being populations, are non negative. The plane is divided into 4 quadrants
and the bordering rays are used to represent the positive x, y, z , w directions. We may take,
z = y a e –by and w = K x –c e dx. Giving suitable values for x and y independently plot the
( y , z ) and ( x , w ) graphs in the respective quadrants and then obtain the ( x , y ) graph from
the ( z, w ) graph which is in fact the straight line z = w.
Differential Equations 24
dx dy
Note that 0 gives x = c/d and y = a/b, called the equilibrium populations.
dt dt
dX bc
dt d Y bXY
Let x = X + c/d and y = Y + a/b. Then the system becomes, .
dY ad
X dXY
dT b
dX bc
dt d Y
Consider the linearised system, . The solution of the linear system is a d 2 X 2
dY ad
X
dT b
+ b 2 c Y 2 = L2, a family of ellipses concentric with the origin. The ( x , y ) graph turns out to
be an oval about the equilibrium point ( c/d , a/b )
Differential Equations 25
CHAPTER 4
NON LINEAR EQUATIONS
4.1. Autonomous systems
dx dy
Consider the system F ( x, y ) , G ( x, y ) --( 1 ) .
dt dt
Since F and G are independent of t, the system is called autonomous. The solution of the
system is a pair of functions, ( x(t), y(t) ), describing a family of curves in the x-y plane,
called the phase plane. If t0 is any number and ( x0 , y0 ) is a given point in the phase plane,
there exists a unique curve ( x(t), y(t) ) passing through ( x0 , y0 ) and satisfying the system.
Such a curve is called a path in the phase plane and the plane with all these paths will be
called phase portrait of the system.
For a given path, we may use forward arrows to indicate the direction in which the path is
advancing as t . A point ( x0 , y0 ) at which both F and G vanish, is called a critical point
dx dy
of the system. Since 0 and 0 at a critical point ( x0 , y0 ), no path is passing
dt dt
through a critical point and two different paths will not intersect, since there exists a unique
path through a given point.
Given an autonomous system, apart from its solution we are interested in the location of the
various critical points, arrangement of paths near critical points, stability of the critical points
and the phase portrait.
Differential Equations 26
When c2 = 0, we get x = c1 e t and y = c1 e t. For c1 < 0, the path is the ray, y =x , x < 0 and for
c1 > 0, the path is the ray, y =x , x > 0, and both the paths enters the critical point, as t .
When c1 , c2 0 , then the paths are ½ - parabolas y = x + (c2/c12) x2 . Each of these paths
enters ( 0 , 0 ) as t .
dx dy
Eg.2. Consider the system, 3 x 4 y , 2 x 3 y . The only critical point is ( 0 , 0 ).
dt dt
dx dy
Eg.3. Consider the system, y , x . The only critical point is ( 0 , 0 ).
dt dt
We obtain the general solution as, x = - c1 sin t + c2 cos t, y = c1 cos t + c2 sin t , which are
circles, with common centre (0 , 0 ). All paths are closed ones and each of them encloses the
critical point and none of these paths approaches the critical point.
dx dy
Eg.4. Consider the system, x y, x y . The only critical point is ( 0 , 0 ).
dt dt
dr
By changing to polar coordinates, we get r which gives the general solution as the
d
d
family of spirals r = c e . We have, 1 , so that as t , the spiral unwinds in the anti
dt
clock wise fashion to infinity.
Differential Equations 27
( 0 , 0 ) with radius R for all t > t0 , which is equivalent to say that paths which gets
sufficiently close to the critical point stay close to it in its due course i.e. as t .
The critical point is said to be asymptotically stable if there exists a circle with centre ( 0 , 0)
and radius r0 , such that a path which is inside this circle for some t = t0 approaches the centre
(0 , 0 ) as t .
1. The roots m1 and m2 are real, distinct, and of the same signs.
2. The roots m1 and m2 are real, distinct, and of opposite signs
3. The roots m1 and m2 are complex conjugates, but not pure imaginary.
Border line cases :
4. The roots m1 and m2 are real, and equal.
5. The roots m1 and m2 are pure imaginary.
Case 1. : The critical point is called a node.
x c1 A1e m1t c2 A2 e m2t
The general solution is ---(4)
y c1 B1e c2 B2 e
m1t m2t
Differential Equations 28
When c2 = 0, we get x = c1A1 e m1t and y = c1 B1 e m1t –(6). For c1 < 0, the path is ½ of the
line, y/x = B1/A1, which enters the critical point as t and for c1 > 0, we get the other ½
of the same line which also enters ( 0 , 0 ) . as t .
When c1 , c2 0 , then the paths are curves. Since m1 and m2 are both negative, these paths
also approaches ( 0 , ) as t . Considering the expression for y/x from (4), and since
m1 - m2 < 0, each of these paths enters ( 0 , 0 ) as t ( Note that y/x B2/A2 as
t .)
The critical point is referred as a NODE, and in this case it is asymptotically stable.
If m2 < m1 < 0, then the above conclusion holds good, with a change each curvilinear path
enters ( 0, 0 ) along the direction B1/A1. (b) The roots m1 and m2 are both positive.
The situation is exactly the same , but all the paths are approaching and enters ( 0 , 0 ) as
t .
2. Assume m1 < 0 < m2
The two ½ line paths represented by (5) enter ( 0 , 0 ) as t , the two ½ line paths
represented by (6) enter ( 0 , 0 ) as t .
But none of the curvilinear paths represented by (4), corresponding to c1 , c2 0 ,
approaches ( 0 , 0 ) as t or t ; each of them is asymptotic to one of the ½ line
paths.
The critical point is called a SADDLE POINT which is always unstable.
3. Let m1 a ib, m2 a ib, where a 0 .
Differential Equations 29
If a > 0, the situation is the same, except that all paths approach ( 0 , 0 ) as t , and hence
it is an unstable spiral.
4. Let m1 = m2 = m, say.
Assume, m < 0.
(a) a1= b2 0 , a2 = b1 = 0. Let the common value be a. Then the system reduces to
dx
dt a x mt mt
dy and its general solution is x = c1 e , y = c2 e . The paths are ½ lines of
a y
dt
various slopes and since m < 0, each path enters ( 0 , 0 ) as t .
The critical point is an asymptotically stable border line node.
If m > 0, then all paths enter ( 0 , 0 ) as t . The critical point is an unstable border line
node.
(b) All other cases. Assume m < 0.
x c1 A1e mt c2 ( A2 A1t )e mt
The general solution is, mt .
y c1 B1e c2 ( B2 B1t )e
m1t
When c2 = 0, we get the two ½ line paths lying on y/x = B/A.. Since, m < 0, both of them
enter ( 0 , 0 ) as t .
If c2 0 , the paths are curvilinear and all of them enter the critical point as , keep tangential
to y/x = B/A as they approach ( 0 , 0 ).
The critical point is again an asymptotically stable border line node.
If m > 0, then it is unstable.
5. We may refer case 3. with a = 0. Since the exponential factor is missing from the
solution, they reduce to periodic functions and each path is closed surrounding the origin. The
paths are actually ellipses.
The critical point is called a CENTRE, which is stable, but can not be asymptotically stable.
We may, summarise, some of the observations we have made in the sequence of the above
discussion about stability.
Theorem. The critical point ( 0 , 0 ) of the linear system (1) is stable iff both the roots of the
auxiliary equation have non positive real parts, and it is asymptotically stable ifi both roots
have negative real parts.
Taking, p = - ( m1 + m2) and q = m1 m2, we can reformulate the theorem as,
Theorem. The critical point ( 0 , 0 ) of the linear system (1) is asymptotically stable iff p and
q are both positive.
Differential Equations 30
4.3. Liapunov’s direct method
In a physical system, if the total energy has a local minimum at certain equilibrium point, then
it is stable. This concept leads to a powerful method for studying stability problems.
dx dy
Consider, the autonomous system, F ( x, y ) , G ( x, y ) . Assume that ( 0 , 0 ) is an
dt dt
isolated critical point of the system. Let C = [ x(t), y(t)] be a path. Let E(x,y) be a function
that is continuous and having continuous first partial derivatives in a region containing C. If
( x , y ) is point on C, then E(x,y) is a function of t alone, say, E(t). Its rate of change, as the
point moves along C is,
dE E dx E dy E E
= F G.
dt x dt y dt x y
Let E(x,y) be a continuous function with continuous first partial derivatives in some region
containing the origin. If E( 0 , 0 ) = 0 , and then it is said to be positive definite if E (x,y) > 0,
for (x,y) 0 , and negative definite if E(x,y) < 0, for (x,y) 0 . Similarly, E is called positive
semi-definite if E(0,0) = 0 and E(x,y) 0, for (x,y) 0 and negative semi-definite if E(0,0)
= 0 and E(x,y) 0, for (x,y) 0 .
2m 2n
Functions of the form ax +by , where m & n are positive integers and a & b are
positive constants, are positive definite. Note that E(x,y) is negative definite iff –E(x,y) is
positive definite; functions x 2m or y 2n are not positive definite.
Given the linear system (1), a positive definite function E(x,y) such that the derived function
E E
H(x,y) = F G is negative semi-definite is called a Liapunov function for (1). By the
x y
earlier discussion, we get that, along a path C near the origin, dE/dt 0, and hence E is
decreasing along C as it advances.
Theorem. If there exists a Liapunov function E(x,y) for the system (1), then the critical point
( 0 , 0 ) is stable. Furthermore, if this function has the additional property that the derived
function H(x,y) is negative definite, then ( 0 , 0 ) is asymptotically stable.
Proof: Let C1 be a circle of radius R > 0 centered at the origin and it may be assumed that C1
is small enough that it is contained in the domain of definition of E. Since E(x,y) is
continuous and positive definite, it has a positive minimum m on C1. Since E(x,y) is
continuous at the origin and vanishes there, we can find 0 < r < R such that E(x,y) < m,
whenever (x,y) is inside the circle C2 of radius r nad centered at the origin. Let C be a path
which is inside C, for t = t0. Then E(t0 ) < m, and dE/dt 0 implies that E(t) E(t0) < m for
Differential Equations 31
all t > t0. It follows that the path C can never reach the circle C1 for t > t0. Thus ( 0 , 0 ) is
stable.
Under the additional assumption, we claim further that E(t) 0 as t . This would
imply that the path C approaches ( 0 , 0 ) as t . Now along C, dE/dt < 0, E(t) is a
decreasing function. Since E(t) is bounded below by 0, E(t) L 0 ,say , as t . Then it
suffices to show that L = 0.
Suppose not. Choose 0 < r < r such that E(x,y) < L/2, whenever (x,y) is inside the circle C3
with radius r . Since H is negative definite, it has a negative maximum -k in the closed
annulus bounded by C1 and C3. Since this region contains C for t t0, E(t) = E( t0) +
t
dE
dt dt
t0
which gives E(t) E(t0 ) - k(t – t0 ). But since right side of the inequality becomes
dx
dt 3x y
3
dy .
x5 2 y3
dt
2m
Let E( x , y ) = a x + b y 2n, where a , b > 0 and m , n are positive integers. E is positive
definite and H = 2ma x 2m-1( -3 x 3 - y ) + 2nb y 2n-1 ( x 5 – 2 y 3 ) = - 6 ma x 2m+2 – 2ma x 2m-1y
Differential Equations 32
+ 2 nb x5 y 2n-1
- 4 nb y 2n+2
. Let m = 3, n = 1, a = 1 , b = 3. Then H = -18 x8 – 12 y 4
is
negative definite.
Now, E( x , y ) is a Liapunov function for the system with the derived function H(x,y),
negative definite. Thus the critical point ( 0 , 0 ) is asymptotically stable.
dx
dt 2 x xy
3
dy .
x 2 y 2 y3
dt
Take E( x , y ) = x 2 + y 2.
4.4. Simple critical points – Non linear system
dx
F ( x, y )
Consider the autonomous system, dt with an isolated critical point at ( 0 , 0 ).
dy
G ( x, Y )
dt
Since F ( 0 , 0 ) = 0 = G( 0 , 0 ), assuming their Maclaurin’s series expansions about ( 0 , 0 )
and neglecting higher powers of x & y , for ( x , y ) close to ( 0 , 0 ), the system reduces to a
linear one.
dx
a1 x b1 y f ( x, y )
More generally, we may take the system as, dt
dy
a 2 x b2 y g ( x, y )
dt
It is assumed that a1 b2 – a2 b1 0 , so that the critical point will be isolated.
lim f ( x, y)
( 0 , 0 ) is called a ‘ simple critical point ’ of the system, if 0
( x, y) (0,0) x 2 y 2
lim g ( x, y)
and 0.
( x, y) (0,0) x 2 y 2
Differential Equations 33
falls under any of the three major cases ( Node, Saddle point, spiral ), then the critical point
( 0 , 0 ) of (1) is of the same type.
Remark: There will not be similarities among the paths in both the systems. In the non linear
case, paths will have more distortions.
If system (2) has the origin as a border line node ( centre ), then origin will be either a node or
spiral ( centre or spiral ) for the system (1).
Theorem. Let ( 0 , 0 ) be a simple critical point of the non linear system (1), and consider the
related linear system(2). If ( 0,0 ) is an asymptotically stable critical point of (2), then it is
asymptotically for (1).
Proof. We may construct a suitable Liapunov function for the system (1) to justify the claim.
The coefficients of the auxiliary equation of the linear system, namely, p & q will be positive,
by the assumption that ( 0 , 0 ) is asymptotically stable for (2).
Eg. The equation of motion for damped vibrations of a simple pendulum is,
d 2x dx
2
(c / m) ( g / a) sin x 0 ---(1) , where c > 0 and g is the acceleration due to
dt dt
gravity.
Differential Equations 34
dx
y
The equivalent autonomous system is dt --(2)
dy
( g / a) sin x (c / m) y
dt
dx
y
dt
(2) can be written as, dy --(3)
( g / a) x (c / m) y ( g / a)( x sin x)
dt
Thuis, f(x,y) = 0 and g(x,y) = (g/a) (x-sinx).
lim g ( x, y) lim x sin x
Since, 0 ,
( x, y) (0,0) x 2 y 2 ( x, y) (0,0) x 2 y 2
Since x = 0 and y = dx/dt = 0 refers to the mean position and initial velocity, asymptotic
stability of ( 0 , 0 ) implies that the motion due to a slight disturbance of the simple pendulum
Differential Equations 35
Proof: Assume that the region contains a closed path C with interior R. Then by Green’s
F G
Theorem. ( Fdy Gdx)
C R
x y
dx dy 0. But along C dx = F dt & dy = G dt, so
that
Theorem.3.( Poincare-Bendixson) Let R be bounded region of the phase plane together with
its boundary, and suppose R does not contain any critical points of the system. If C is a path
that enters R and remains in R in its further course, then C is either a closed path or it spirals
toward a closed path as t . Thus in either case the system has a closed path.
Theorem.4. ( Lienard) Let the functions f(x) and g(x) satisfy the following conditions. (1)
both are continuous and have continuous derivatives for all x (2) g(x) is an odd function such
x
that g(x) > 0 for x > 0, and f(x) is an even function (3) the odd function F ( x) f ( x)dx has
0
exactly one positive zero at x = a, is negative for 0 < x < a, is positive and non decreasing for
d 2x dx
x > a and F(x) as x . Then the Lienard’s equation 2
f ( x) g ( x) 0 has a
dt dt
unique closed path surrounding the origin in the phase plane, and this path is approached
spirally by every other path as t .
Differential Equations 36
CHAPTER 5
x
This process can be continued to get yn( x ) = y0 + f [t, y
x0
n 1 (t )]dt .
x x
With y0( x ) = 1, y1(x) = 1+ 1dt .=1 + x, y2(x) = 1+ (1 t )dt = 1 + x + x 2/2,
0 0
x
x2 x3
y3(x) = 1+ (1 t t / 2)dt . = 1 x
2
. …..
0 2 2.3
x2 x3
It is clear that, yn ( x ) 1 x .... e x .
2 2.3
Note that, y(x) = e x is a solution of the IVP.
Differential Equations 37
Eg.2. Consider, y’ = x + y 2, y( 0 ) = 0.
We may take, y0 ( x ) = 0.
x x
Then y1(x) = 0+ tdt = x2/2, y2(x) = (t t
4
/ 4)dt = x 2/2 + x 5/20,
0 0
t t
x
y3(x) = 4
/ 4 t 10 / 400 t 7 / 20 dt = x 2/2 + x 5/20 + x 8/160+ x 11/4400,…….
0
Eg.3. Consider, y’ = x + y , y( 0 ) = 1.
It is not difficult to get the exact solution as, y(x) = 2 e x – x – 1.
x x
x2
With y0 ( x ) = 1, y1(x) = 1+ (t 1)dt = 1 x , y2(x) = 1+ (1 2t t 2 / 2!)dt =
0 2! 0
x3 x3 x4
1 x x2 , y3(x) = 1 x x 2 ,…..
3! 3 4!
Note that yn ( x ) 1 + x + 2( e x – x – 1 ) = 2 e x – x – 1.
We will show that (2) has a unique solution in [ x0 – h , x0 + h ] , for some h > 0.
We may a produce a sequence of functions following Picard’s method of successive
approximations.
Let y0 ( x ) = y0,
x x
y1( x ) = y0 +
x0
f [t , y 0 (t )]dt , y2(x) = y0 + f [t , y (t )]dt ,….,
x0
1
x
yn( x ) = y0 + f [t, y
x0
n 1 (t )]dt ,……
Differential Equations 38
Claim. The sequence < yn ( x ) > converges to a solution of the IVP, in [ x0 – h , x0 + h ] , for
some h > 0.
f
Since R is compact and f( x , y ) and are continuous in R, they are bounded.
y
f ( x, y ) K , (4), ( ( x, y ) R .
y
Let ( x , y1 ) , ( x , y2 ) be distinct points in R.
Then by Mean value theorem, f ( x, y1 ) f ( x, y 2 ) f ( x, y * ) y1 y 2 --(5) , for some y*
y
Now choose h > 0 such that K h < 1 --(7) and the rectangular region R’ defined by
x x0 h and y y0 Mh is contained in R. Since ( x0, y0 ) is an interior to R, such an
h exists.
Note that yn(x) is the n th partial sum of the series, y 0 ( x) y n ( x) y n 1 ( x) --(8)
n 1
Thus to show that < yn( x ) > converges, it is sufficient to show that the series (*) converges.
(a) The graph of the functions y = yn ( x ), for x x0 h , lies in R’ and hence in R, for
every n.
This is clear for y = y0(x) =y0.
x
Since ( t , y0(t) ) are in R’, we get y1 ( x) y 0 f [t , y
x0
0 (t )]dt Mh . Thus graph of y = y1(x)
x
lies in R’. Now, it turns out that [t,y1(t)] are in R’ and y 2 ( x) y 0 f [t , y (t )]dt Mh .
x0
1
Thus graph of y = y2 (x) lies in R’. Proceeding similarly we get the result(a).
Since y1( x ) is continuous in x x0 h , there exists a constant a = max y1 ( x) y0 .
Similarly, f (t , y2 (t )) f (t , y1 (t )) K y2 (t ) y1 (t ) K ( Kah) K 2 ah so
Differential Equations 39
x
y 3 ( x) y 2 ( x ) ( f [t , y
x0
2 (t ) f (t , y1 (t ))]dt K 2 ah.h a( Kh) 2 .
Since the graph of yn ( x ) lies in R’, the graph of the limit function y(x) also lies in R’.
Since each yn ( x ) is continuous , the uniform limit y( x ) is also continuous.
x x
But yn( x ) - y0 - f [t, y
x0
n 1 (t )]dt = 0. Now consider, | y( x ) - y0 - f [t , y(t )]dt - 0 | =
x0
x x
| y( x ) - y0 -
x0
f [t , y (t )]dt - [yn( x ) - y0 - f [t, y
x0
n 1 (t )]dt ] | =
x
| [y( x ) – yn ( x ) ] + [ f (t, y
x0
n 1 (t )) f (t , y (t ))]dt | | [y( x ) – yn ( x ) ] | +
x
| [ f (t , y n 1 (t )) f (t , y (t ))]dt | | [y( x ) – yn ( x ) ] | + K h max | [y( x ) – yn-1 ( x ) ] | , since
x0
graph of y ( x ) lies in R’ and hence in R and by virtue of (6). The uniform convergence of
yn(x) to y ( x) will enable us to make the right side of the above inequality as small as we
please by taking n sufficiently large. Since the left side is independent of n, we get the
required result.
Now we settle the uniqueness part.
Let y (x) be another possible solution of the IVP in x x0 h .
It is essential to show that the graph of y (x) also lies in R’. On the contrary assume, its graph
leaves R’. Then there exists some x1 in x x0 h such that y( x1 ) y 0 Mh and the
Differential Equations 40
continuity of y (x) at x = x0 will give y( x ) y0 Mh if x x0 x1 x0 . Then,
y ( x1 ) y 0 Mh
Mh / h M , where as by mean value theorem, there exists x*
x1 x0 x1 x0
y ( x1 ) y 0
between x0 & x1 such that, y ( x*) f ( x*, y ( x*)) M , since ( x*, y (x*) ) lies
x1 x0
in R’ . Hence, a contradiction.
x
Since both y(x) & y (x) are solutions of the IVP, y( x) y( x) | [ f (t , y (t )) f (t , y (t ))]dt |
x0
since K h < 1.
Thus, we have y (x) = y(x), for every x in the interval x x0 h .
f
Remark. We notice that the continuity of is made of use of in the proof to the extent that
y
it implies (6). We can replace this requirement by a Lipschitz’s condition , namely, there
exists
K > 0 ,such that f ( x, y1 ) f ( x, y2 ) K y1 y2 .
If we further drop this condition too, it is known that the IVP still has a solution, but the
uniqueness can not be ascertained.– Peano’s Theorem.
1
Consider the IVP, y ' 3 y 2 , y (0) 0. Let R be the rectangular region | x | 1, | y | 1 . Here
f(x,y) = 3 y 1/2 is continuous in R. Two different solutions are, y= x 3 and y = 0.
is any point of the strip, then the initial value problem y’ = f( x , y ) , y ( x0 ) = y0 has a
unique solution in [ a , b ].
Proof.: The proof is similar to that of Theorem.1. and based on Picard’s method of successive
approximations.
Let M0 = | y0 |, M1 = max | y1(x) |, M = M0 + M1. It can be easily observed that, | y0( x ) |
M and | y1(x) – y0(x) | M .
Differential Equations 41
x
Assume, x0 x b . Then y 2 ( x) y1 ( x) ( f [t , y (t ) f (t , y
x0
1 0 (t ))]dt
x x
x0
f (t , y1 (t )) f (t , y1 (t )) dt K y1 (t ) y 0 (t ) dt KM ( x x0 ) ,
x0
x
y 3 ( x) y 2 ( x ) ( f [t , y
x0
2 (t ) f (t , y1 (t ))]dt
x x x
f (t , y 2 (t )) f (t , y1 (t )) dt K y 2 (t ) y1 (t ) dt K M (t x0 )dt K 2 M ( x x0 ) 2 / 2
2
x0 x0 x0
The uniform convergence will readily imply that y(x) is a solution of the IVP in [ a , b ].
If possible, let y (x) be another solution to the IVP. We claim that, then yn ( x ) y (x) ,
Let A = max y( x) y 0 ,
x
Then for x0 x b , y ( x) y1 ( x) ( f [t , y(t ) f (t , y
x0
0 (t ))]dt
x x
x0
f (t , y (t )) f (t , y 0 (t )) dt K y(t ) y 0 dt KA( x x0 ) ,
x0
x
y ( x) y 2 ( x) ( f [t , y(t ) f (t , y (t ))]dt
x0
1
Differential Equations 42
x x x
( x x0 ) 2
f (t , y (t )) f (t , y1 (t )) dt K y (t ) y1 dt K A (t x0 )dt K A ,…, and
2 2
x0 x0 x0
2!
( x x0 ) n
in general, y( x) y n ( x) K n A .
n!
A similar result is got for a x x 0 .
| ( x x0 ) | n (b a) n
Thus for any x in [ a , b ] , y( x) y n ( x) K n A KnA . But from
n! n!
exponential series, we get, for any r, r n / n! 0 as n . Thus the right side of the
above inequality tends to zero as n . Hence, we get, yn (x) y (x) also.
Remark. Picard’s method of successive approximations can be applied to systems of first
order equations, by starting with necessary number of initial conditions, by converting into a
system of integral equations. Picard’s theorem under suitable hypothesis holds good in this
context also.
Theorem. Let P(x), Q(x) and R(x) be continuous functions in[ a , b ]. If x0 is any point in
[ a , b ], and y0 , y0’ are any two numbers, then the initial value problem ,
d2y dy
2
P( x) Q( x) y R( x) , y(x0) = y0 and y’(x0) = y’0 , has a unique solution y = y (x)
dx dx
in [ a, b ]
Differential Equations 43
CHAPTER 6
Partial differential equations arise from a context involving more than one independent
variable. For the analysis of a partial differential equation and its solution, geometrically, we
require good knowledge about representation of curves and surfaces, in 3 – dimension.
Eg. A straight line with direction ratios, l, m, n and passing through ( a , b , c ) can be written
x x0 y y0 z z0
in symmetric form as, = = .
l m n
Eg. A right circular helix on the cylinder x 2 + y 2 = a2, can be specified as, x = a cos t ,
y = a sin t , z = kt.
Equation to a surface is usually taken as F ( x , y , z ) = 0, where F is a continuously
differentiable function in R 3. Its equation can also be expressed in parametric form as,
( F1 , F2 )
x = F1( u , v ) , y = F2 ( u , v ) , z = F3 ( u , v ). If 0, then u and v can be solved as
(u , v)
functions of x and y locally, say, u = ( x, y ) , v = ( x, y ) . Then from the last equation, we
get, z = F3 ( ( x, y ) , ( x, y ) ).
Suppose, the curve C : x = x( s ), y = y( s ), z = z( s ) lies on the surface S whose equation is,
F( x , y , z ) = 0.
Then F(x(s), y(s), z(s)) = 0, for every s.
Differential Equations 44
On differentiating w. r. t. s,
F dx F dy F dz
we get, + + = 0. This implies that at the point P ( x , y , z) of the curve,
x ds y ds z ds
F F F dx dy dz
the direction ( , , ) is perpendicular to the tangent direction ( , , ) to C.
x y z ds ds ds
Since C lies entirely on S, the above is a tangent direction to the surface also.
F F F
Thus ( , , ) is a normal direction to S at P.
x y z
Let u be a variable depending on the independent variable x, y, z,….. Then an equation of the
u u u 2 u 2u
form, f ( x, y, z,…,u, , , ,….., 2 , ,…. ) = 0, where f is a function with
x y z x xy
continuous partial derivatives of order up to n, for some n, is called a partial differential
equation ( PDE ) of order n. The order of a PDE is the order of the highest order derivative
appearing in it.
A PDE is said to be quasi linear, if it is linear in its highest order derivatives; and semi –
linear, if it is quasi-linear and the coefficients of the highest order derivatives does not
contain the dependent variable or its derivatives. A PDE which is not quasi – linear is called
non-linear. A semi-linear PDE, which is linear in the dependent variable and its derivatives, is
called linear.
At the beginning, we may consider the case of only two independent variables, say, x and y
and one dependent variable, say, z. , depending on x and y.
z z 2z 2z 2z
We may use the notations, p = ,q= ,r= , s = , t = ,….
x y x 2 xy y 2
In this context, the first order PDE has the form, f( x , y, z , p , q ) = 0.
We require the following Theorem in Real Analysis, in many contexts which involves solving
one set of variables in terms of the others from a given functional equation.
Implicit Function Theorem. Let f be a continuously differentiable function from an open set
E of R n+m to R n. Let ( a, b ) E such that f ( a , b ) = 0. Let A = f’( a, b ).
If Ax is invertible then there exists W, a neighborhood of b in R m such that for each y in
W, there exists a unique x in R n , such that f ( x, y ) = 0.
Differential Equations 45
6.2.Formation of First Order PDE
Consider a family of surfaces of the form, F( u , v ) = 0, where F is an arbitrary function, and
u and v are given functions of x , y , z.
Differentiating, F ( u , v ) = 0, partially w .r. t. x , y, we get ,
F
u x u z p + F v x v z p = 0 … ( 1 )
u v
F
u y u z q + F v y v z q = 0 … ( 2 ).
u v
F F
On eliminating, and , from ( 1 ) & ( 2 ), we get,
u v
u x u z p vx vz p
=0 ….( 3 ),
u y u z q v y vz q
Differential Equations 46
F Fxa Fya
Suppose the matrix, a
Fyb
, is of rank 2. Then by Implicit function theorem, we
Fb Fxb
can solve for a and b from two of the above three equations, in terms x, y, z, p, q, and
substituting in the remaining equation, we get a PDE, f(x , y, z, p, q ) = 0.
p = 1 + 2a x y 2 …( 2 ) and q = 2 a x 2 y …( 3 ).
Thus, z = x p + y q.
Eg.3. Eliminate the arbitrary function F, to form the PDE of the family of surfaces,
z = x + y + F ( x y ) …( 1 ).
On differentiation, p = 1 + F’ ( xy ) y …( 2 ) & q = 1 + F’ ( x, y ) x …( 3 ). Eliminating,
F’( x, y ) from equations ( 2 ) & ( 3 ), we get the PDE, x p – y q = x – y.
Eg.4. Eliminating F, form the PDE of the one – parameter family of surfaces,
F(x+y,x- z ) = 0.
Let u = x + y, v = x - z.
On differentiation, w.r.t. x , y , Fu ( 1 + 0. p ) + Fv ( 1 – 1/ z p ) = 0 and
Fu ( 1 + 0. q ) + Fv ( -1/ z . q ) = 0. Eliminating, Fu and Fv, between the last two
equations,
1 1 1/ z p
We get the PDE, = 0. i.e. -1/ z q - 1 + 1/ z p = 0 , i.e. p – q = z.
1 1/ zq
( 1 ) Linear Equation
P(x,y)p+Q(x,y)q=R(x,y)z+S(x,y)
Differential Equations 47
(2) Semi-linear equation
P(x,y)p+Q(x,y)q=R(x,y,z)
( 3 ) Quasi-linear equation
P( x , y , z ) p + Q ( x, y, z ) = R ( x , y , z )
( 4 ) Non-linear equation
f ( x, y, z, p, q ) = 0.
6.3.Classification of Integrals
Consider the PDE, f ( x , y , z , p , q ) = 0.
(a ) Complete integral
Fa Fxa Fa Fya
This condition implies that at least one of the 2 x 2 sub matrices,
Fyb Fb Fyb
, ,
Fb
Fxa Fya
F Fyb
is non-singular i.e. invertible. It guarantees that we can solve for a and b from
xb
two of the equations,
z = F ( x, y, a, b ) …( 1 ), p = Fx ( x, y, a, b ) …( 2 ) and q = Fy ( x, y, a, b ) …( 3 ).
in terms x, y, z, or p or q, and then elimination of a and b, by substituting in the remaining
equation, so that equation ( * ) is recovered or satisfied. This is a consequence of Implicit
Function Theorem.
( b ) General integral
Differential Equations 48
Let us assume that a and b are functionally related, so that b = ( a ), where is an
arbitrary function.
Correspondingly, we get a one-parameter subfamily, z = F ( x, y, a, ( a ) ) of the two-
parameter family of surfaces represented by ( 1 ).
The envelope of this family, if it exists, is also a solution of the PDE ( * ) , called the General
Integral.
The envelope is obtained by eliminating the parameter between the equations,
z = F ( x, y, a, ( a ) ) …( 2 ) and 0 = Fa Fb ' (a) … ( 3 ), obtained by differentiating
( 2 ) partially w .r. t. the parameter a.
The elimination will give G ( x , y , z ) = 0, a surface in 3-dimension.
If instead of an arbitrary function , we use a definite relation between a and b, like b = a
or b = a + 2 a 2 or b = sin a, etc , and proceeding to find the envelope of the corresponding
sub-family of ( 1 ), then the resulting envelope, if it exists, is a solution of ( * ), called a
particular integral.
c ) Singular Integral
( d ) Special Integral
In certain cases, we can obtain solutions, which are not falling under the above classes, called
Special Integrals.
For the PDE, p – q = z , z = 0 is solution, which is not belonging to the three class of
solutions mentioned above.
Differential Equations 49
of the family at a given point. Since the PDE at a point is a relation to be satisfied by the
coordinates of the point and the partial derivatives at that point, we get that the envelope is
also a solution of the PDE.
Remark: The singular integral can also be determined directly from the given PDE ( * ) by
the following procedure.
Differential Equations 50
Then equation ( 2 ) is satisfied by ( 1 ) i.e. ( 1) is a solution of ( 2), for any two arbitrary
constants, a & b.
Fa Fxa Fya x 2a 1 0
Further,
Fyb y 2b 0 1
= is of rank 2.
Fb Fxb
Remark: A PDE can have more than one complete integral, so that the term ‘ Complete’ may
not be misinterpreted, and the particular integrals or the singular integral are not members of
the family z = F ( x, y, a, b ), for some values of a & b.
6.4.Linear equations
The following Theorem provides a method for finding the General integral of a given quasi
linear equation.
Differential Equations 51
But we have seen earlier that F ( u, v ) = 0 produces the PDE,
(u, v) (u, v) (u , v )
p+ q = ….( 7 ).
( y, z ) ( z , x) ( x, y )
Now, from ( 6 ) & ( 7 ), it is obtained that, P p + Q q = R. Thus, F ( u, v ) = 0 is a solution of
the given PDE and it is general integral, by the presence of the arbitrary function.
Remark: It may be noted that the general integral is a family of surfaces and a member may
be fixed by assigning a specific form for the function F.
For given constants c1 & c2, the solutions u ( x, y, z ) = c1 and v( x, y, z ) = c2 of the
dx dy dz
auxiliary equation, , determines the curve of intersection of the surfaces
P Q R
u ( x, y, z ) = c1 and v( x, y, z ) = c2 .
dx dy dx dy dz
.i.e. and .
x y z( x y) y x2
2
n
A differential equation of the form, i 1
Fi ( x1 ,......, xn )dxi 0 … ( 1 ), where Fi’ s
Differential Equations 52
n
The Pfaffian differential form i 1
Fi ( x1 ,......, xn )dxi is said to be exact, if there exists a
n
continuously differentiable function u( x1,…..,xn ) such that du = i 1
Fi ( x1 ,......, xn )dxi ,
and is called integrable, if there exists a non-zero differentiable function ( x1,…..,xn ) such
that
If the Pfaffian differentiable form is exact as described above, then the solution of the
equation ( 1 ) is u( x1,…..,xn ) = c, a constant. (The term ‘ exact’ or ‘integrable’ is also
attributed to the corresponding equations also.)
v
Theorem.2. Let u( x, y ) and v ( x, y ) be two functions such that 0 . If, further
y
(u , v )
=0,
( x, y )
then there exists a functional relation F ( u, v ) = 0, between u & v without involving x & y
directly.
v
Proof. Since 0 , we can eliminate y between the u = u ( x, y ) & v = v( x, y ) to obtain a
y
relation, F( u, v, x ) = 0….( * )
We claim that F is independent of x. On differentiating ( * ) w. r. t. x & y, we get,
F F u F v F u F v
+ =0 ….( 1 ) and + = 0 ..(2)
x u x v x u y v y
v
Case.1. 0.
x
v v F v F (u, v)
Then ( 1 ) -(2) = 0.
y x x y u ( x, y)
(u , v ) F v F v
But then =0, which gives =0 = 0 , since 0.
( x, y ) x y x y
Differential Equations 53
v
Case 2. = 0.
x
F F u (u , v ) v v
Then ( 1 ) reduces to = 0. But = 0, with =0& 0
x u x ( x, y ) x y
u F
= 0, and thus =0.
x x
F
Thus, in either case, =0, which implies that F is independent of x, or F is a function of u &
x
v only.
then X . Curl X = 0.
X = 0.
Theorem.4. A necessary and sufficient condition for the Pfaffian differential equation,
X . d r = P( x, y, z ) dx + Q ( x, y, z ) dy + R ( x, y, z ) dz = 0 …( * ) to be integrable is
X . Curl X = 0.
Proof: Suppose, ( * ) is integrable. Then there exist differentiable functions (x, y, z ) 0
and u( x, y, z ) such that du = (x, y, z ) (P( x, y, z ) dx + Q ( x, y, z ) dy + R ( x, y, z ) dz ).
u u u u u u
But du = dx + dy + dz. On comparison, P = , Q= , R= .
x y z x y z
Differential Equations 54
Conversely, assume X . Curl X = 0.
Treating, z as a constant, ( * ) becomes P( x, y, z ) dx + Q ( x, y, z ) dy = 0…( ** ), a
Pfaffian differential equation in the two variables x & y, which is always integrable, by
Theorem 1.
Then there exists (x, y, z ) 0 and U (x, y, z ) such that dU = P dx + Q dy.
U U
Then P = , Q = ( # ).
x y
U U U U
Now using ( # ) in ( * ) dx + dy + dz + ( R - ) dz = 0.
x y z z
U
i.e. dU + K dz = 0…( *** ). , where K = ( R - ) .
z
Now we claim that K is a function of U and z alone, so that ( *** ) is a Pfaffian
differential equation in two variable U & z, and thereby integrable.
Since it is assumed that X . Curl X = 0, by Theorem.2. X . Curl X = 0.
U U U U U U
But X = ( P , Q, R ) = ( , , +K)=( , , ) + ( 0, 0, K )
x y z x y z
K K
= U + ( 0 , 0, K ). Then curl X = curl U + curl ( 0, 0, K ) = 0 + ( , ,0 )
y x
U U U K K U K U K
Thus 0 = X . Curl X = ( , , +K).( , ,0 ) = =
x y z y x x y y x
(U , K )
= 0. Hence K can be expressed as a function of U and z, with out involving x or y.
( x, y )
Thus ( *** ) becomes, . dU + K( U, z ) dz = 0, which is integrable.
Let the solution be ( U, z ) = c. The solution of ( * ) is thus u ( x, y, z ) = c, by substituting
for U = U ( x, y, z ).
Differential Equations 55
Eg.1. Show that yz dx + zx dy + xy dz = 0 is exact and solve it.
Here X = ( yz, xz, xy ). Then curl X = 0. Hence by Theorem 5., equation is exact.
Solution is, yzx = c, a constant
Eg.2. Solve ( 6x + yz ) dx + ( xz – 2y ) dy + ( xy + 2z ) dz = 0.
Here X = ( 6x + yz, xz – 2y, xy + 2z ). Then curl X =0. Hence by Theorem 5., equation is
exact. The solution is obtained by direct integration as 3 x2 + yzx – y 2 + z 2 = c.
Eg.3. Solve ( y 2 + yz ) dx + ( xz + z 2 ) dy + ( y 2 – xy ) dz = 0.
Here X = ( y 2 + yz, xz + z 2, y 2 - xy ). Then X . curl X =0.
Hence by Theorem 4., equation is integrable. ( Note that equation is not exact since X 0 )
Treat z as a constant. Then equation becomes, ( y 2 + yz ) dx + ( xz + z 2 ) dy = 0.
i.e. y ( y + z ) dx + z ( x + z ) dy = 0,i.e. 1/(x + z ) dx + z/ y(y + z ) dy = 0.
i.e. 1/(x + z ) dx + [1/y - 1/(y + z ) ] dy = 0. log ( x + z ) + log y – log ( y + z ) = log c
i.e. U = ( x + z ) y/( y + z ).
Let be the integrating factor.
Then P = Ux y ( y + z ) = y/( y + z )
or = 1/ ( y + z ) 2.
Thus K = R – Uz = ( y 2 – xy )/( y + z ) 2 - y( y – x )/( y + z ) 2 = 0.
The original equation becomes, d U = 0, whose solution is U = c i.e. ( x + z ) y/( y + z ) = c.
Remark: The variables in the Pfaffian differential equations are independent and the
equation is written in terms of the differentials of these variables, and no dependent variable is
appearing in the equation. Pfaffian differential equations are used in finding the complete
integral of a given non-linear PDE.
Differential Equations 56
Ex.1. Solve ( 1 + yz ) dx + x ( z – x ) dy - ( 1 + xy ) dz = 0
Theorem.1. A necessary and sufficient condition for the integrability of the Pfaffian
differential equation dz = ( x, y, z ) dx + ( x, y , z ) dy , where ( x, y, z ) and ( x, y , z ) are the
expressions for p & q obtained from f( x, y, z, p, q ) = 0 ….( 1 ) and
( f , g ) ( f , g ) ( f , g ) ( f , g )
g ( x, y, z, p, q ) = 0 ….( 2 ) is that, [ f, g ] = +p + +q
( x, p ) ( z, p) ( y, q) ( z, q)
= 0.
Proof: Let X ( , ,1) . Then the Pfaffian differential equation,
dz = ( x, y, z ) dx + ( x, y , z ) dy i.e. ( x, y, z ) dx + ( x, y , z ) dy - dz = 0, becomes X .d r = 0
Hence by the necessary and sufficient condition for the integrability of a Pfaffian differential
equation, we get X . curl X . = 0.
i.e. ( , ,1) . ( z , z , ( x y ) = 0, i.e. x z y z …( 3 ).
By substituting for & for p & q respectively, wherever necessary and feasible, and by
differentiating f( x, y, z, p, q ) = 0 w . r. t. x & z,
we get fx + fp x + fq x = 0 …( 4 ) and fz + fp z + fq z = 0 ..( 5 )
( 5 ) + ( 4 ) ( fx + fz ) + fp ( x + z ) + fq ( x + z ) = 0 .. ( 6 )
1 ( f , g ) ( f , g )
( 6 ) gp – ( 7 ) fp ( x + z ) = …( 8 ).
J ( x, p) ( z, p)
By differentiating equations ( 1 ) & ( 2 ) w. r. t. y & z, and proceeding as above, we get,
Differential Equations 57
1 ( f , g ) ( f , g )
( y z ) = - …( 9 ).
J ( y, q ) ( z , q )
Now from equations, ( 3 ), ( 8 ) & ( 9 ), we get [ f, g ] = 0.
Remark: In the proof of the Theorem, x, y, z are taken as independent variable and p & q as
variables depending on them, since we are discussing the integrability of a Pfaffian
differential equation in the variables x, y, z. The basic fact that x & y are independent and p &
q are partial derivatives of z( x, y ) w.r.t. x, y is not used explicitly, anywhere.
Expanding the Wronskians and interpreting ( 3 ) in the context of the system of equations
( 1 ) & ( 2 ) which has x, y, z, p, q as independent variables and f, g as variables depending on
them, we have a quasi linear differential equation, in the independent variables x, y, z, p, q
and the dependent variable g and its first order partial derivatives gx, gy, gz, gp, gq , since f is
given.
In this context, the above condition ( 3 ) may be presented as,
fp gx + fq gy + ( p fp + q fq ) gz – ( fx + p fz ) gp – ( fy + q fz ) gq = 0 ..( 3 )
Since ( 3 ) is a quasi linear partial differential equation, its solution g can be obtained through
the auxiliary equation,
dx dy dz dp dq dg
= = =- =- = …( 4 )
fp fq ( pf p qf q ) ( f x pf z ) ( f y qf z ) 0
Differential Equations 58
Since by the assumption, the given PDE ( 1 ) and ( 2 ) which can be obtained as in the
above discussion are compatible, the Pfaffian differential equation,
dz = ( x, y, z , a ) dx + ( x, y, z, a) dy , where ( x, y , z , a ) & ( x, y, z, a) are the
expressions for p & q obtained algebraically from ( 1 ) & ( 2 ), is integrable.
Remark: We can drop the last expression in the auxiliary equation, since it will give only the
trivial solution g = a constant function, which is not desirable
dx dy dz dp dq
i.e. = = =- =- …( * )
2
2x p 2
2y q ( p.2 x p q.2 y q)
2 2 2
( 2 xp ) ( 2 yq 2 )
dy dq dy dq
We may consider, 2
=- 2
i.e. =- g = q y – a = 0 …( 2 )
2y q ( 2 yq ) y q
Differential Equations 59
Now consider, dz = p dx + q dy = a/(a-1) dx + a dy, whose solution is z = ax /(a-1) + a y + b,
and hence a complete integral of ( 1).
Eg.3. Consider, ( p2 + q 2 ) – q z = 0 …( 1 )
The auxiliary equation is, dx/ 2py = dy/( 2qy-z) = dz/[2(p2+q2)y-qz] = - dp/-pq = - dq/ p2
Consider, dp/pq = - dq/p2 or p dp + q dq = 0 p 2 + q 2 = a 2, say.
by Charpit’s method.
Now let us consider a first order PDE, f ( x, y, z, ux, uy, uz ) = 0 ..( 1 ), where u is a variable
depending on the independent variables x, y, z. ( It may be noted that the depended variable
is not explicitly appearing in the equation )
Differential Equations 60
du = ux( x, y, z, a, b ) dx + uy( x, y, z, a, b ) dy + uz( x, y, z, a, b ) dz … ( 4 ), is integrable,
where ux( x, y, z, a, b ), uy( x, y, z, a, b ) and uz( x, y, z, a, b ) are obtained from ( 1 ) , ( 2 )
& ( 3 ), algebraically, for all values of a & b.
where
h = h 1 or h2 .
Proof: Differentiating, ( 1 ) partially w.r.t. x, y, z , we get,
f f f f
+ u xx + u xy + u xz = 0 …( 4 )
x u x u y u z
f f f f
+ u yx + u yy + u yz = 0 …( 5 )
y u x u y u z
f f f f
+ u zx + u zy + u zz = 0 …( 6 )
z u x u y u z
Similarly, ( 2 ) & ( 3 )
h h h h
+ u xx + u xy + u xz = 0 …( 7 )
x u x u y u z
h h h h
+ u yx + u yy + u yz = 0 …( 8 )
y u x u y u z
h h h h
+ u zx + u zy + u zz = 0 …( 9 ), where h = h1, h2.
z u x u y u z
h f ( f , h) ( f , h) ( f , h)
(4) -(7) + uxy + uzx = 0 …( 10 ), since uxy = uyx
u x u x ( x, u x ) (u y , u x ) (u z , u x )
Differential Equations 61
since uxy = uyx & uyz = uzy .
( f , h) ( f , h) ( f , h)
Similarly from ( 6 ) & ( 9 ), + uxz + uzy = 0 …( 12 ),
( z , u z ) (u x , u z ) (u y , u z )
since uxz = uzx & uyz = uzy .
( f , h) ( f , h) ( f , h)
Now, ( 10 ) + ( 11 ) + ( 12 ) + + = 0, which is the required
( x, u x ) ( y , u y ) ( z, u z )
condition.
Remark: Given the PDE, f ( x, y, z, ux, uy, uz ) = 0 .. ( 1 ), we may find two families of
partial differential equations of the same type, h1 ( x, y, z, ux, uy, uz , a ) = 0 ..( 2 ) and h2
( x, y, z, ux, uy, uz , b ) = 0 ..( 3 ) , so that they are compatible. These families of PDEs are
obtained using ( 1 ), by means of the compatibility condition established in the above
Theorem, namely,
( f , h) ( f , h) ( f , h)
+ + =0 -…( * ). The Wronskians may be expanded to get the
( x, u x ) ( y , u y ) ( z, u z )
f h f h f h h f h f h f
quasi linear PDE, + + - - - = 0 … ( * ),
u x x u y y u z z u x x u y y u z z
Eg.1. Consider, z 2 + z uz = ux 2 + uy 2.
The auxiliary equation is dx/ -2ux = dy/-2uy = dz/z = dux/0 = duy/0 = duz/-2z-uz
Eg.2. Consider, z + 2 uz = ( u x + u y ) 2
Differential Equations 62
The auxiliary equation is,
Eg.3. Consider, x ux + y uy = uz 2
Auxiliary equation is, dx/x = dy/ y = dz/- 2 uz = - dux/ux = - duy/uy = -duz/0
Then dux/ux + dx/x = 0 and dy/y + duy/uy = 0. xux = a, yuy = b.
Then uz = ab .
Eg. Consider, p 2 x + q 2 y = z.
Assume the solution as u( x, y, z ) = c. Then p = - ux / uz & q = - uy / uz .
On substitution, we get, x ux 2 + y uy 2 – z uz 2 = 0.
The auxiliary equation is,
dx/2xux = dy/ 2yuy = dz/- 2zuz = - dux/ux2 = - duy/uy2 = -duz/-uz2
The 2 independent solutions are, xux2 = a, yuy2 = b. Then z uz 2 = a + b
Differential Equations 63
1 1 1
a 2 b 2 ab 2
Then ux = , uy = , uz =
x y z
1 1 1
a 2 b 2 ab 2
On integrating, du = dx + dy + dz, we get
x y z
u = 2 ( ax) ½ +2 ( by ) ½ + 2 ( (a + b)z ) ½ + c.
Thus we have a complete integral of the given PDE as,
( ax) ½ + ( by ) ½ + ( (a + b)z ) ½ = 0.
Differential Equations 64
dx dy (3x 2 y )dx dy (3x 2 y )dx dy
. Now, -dx/x + dy/y – dz/z = 0 &
x 3 y (3 x 2 y ) x3 y x3 y
i.e.
y
.
x 3 y xy
-
-
y x 3 y xy
+ 2 = 0.
xz y xz y
Ex.2. Find the integral surface of the PDE, ( x – y ) p + ( y – x – z ) q = z passing through the
circle, z = 1, x 2 + y 2 = 1.
It can be observed that the Cauchy problem for a non linear equation may have more than one
solution, unlike the situation with the quasi linear equations.
Differential Equations 65
dx dy dz dp dq
The auxiliary equation is, = = =- =- …( * )
fp fq ( pf p qf q ) ( f x pf z ) ( f y qf z )
dx dy dz dp dq
i.e. = = =- =- …( * )
2 px z 2qx ( pz ) q 2
pq
dp dq
- =- p 2 + q 2 = a 2 …( 2) .
q 2
pq
a2x z 2 a2 x2
Using ( 1 ), we get p = & q= a .
z z
a2x z 2 a2 x2
Now consider, dz = dx + a dy.
z z
On integration, we obtain the complete integral as, z 2 = a2 x 2 + ( a y + b ) 2. ….( 3 )
Substituting, x = 0, y = s 2 , z= 2s , we get, 4 s 2 = ( a s 2 + b ) 2 ….( 4 )
Integrating ( 4 ) partially www. R. t. s, 8 s = ( a s 2 + b ) 4 a s or 2 = a ( a s 2 + b ) …( 5 )
Eliminating, s between ( 4 ) & ( 5 ), ab = 1 or b = 1/a.
The corresponding one parameter subfamily S of ( 3 ) is, z 2 = a2 x 2 + ( a y + 1/a ) 2. ….( 6 )
Or a 4 ( x 2 + y 2 ) + a 2 ( 2y – z 2 ) + 1 = 0 …( 7 ).To find the envelope of S, differentiate (7 )
partially w. r. t. a, to get 4 a 3 ( x 2 + y 2 ) + 2a ( 2y – z 2 ) = 0 ….( 8 ).
Eliminating a between ( 7 ) & ( 8 ), the envelope is obtained as, z 2 = 2 y x 2 y 2 ,
which is the required solution.
Eg.2. Find the complete integral and the integral surface of p 2 x + q y – z = 0, containing
the curve C: x + z = 0, y = 1.
dx dy dz dp dq
The auxiliary equation is, = = =- =- …( * )
fp fq ( pf p qf q ) ( f x pf z ) ( f y qf z )
dx dy dz dp dq
i.e. = = =- =- …( * ) q = a. Using the given PDE,
2 px y 2 p x qy
2
p(1 p) 0
z ay z ay
p= . Consider the Pfaffian differential equation, dz = dx + a dy
x x
Differential Equations 66
It cab easily seen that b = 0 leads to no solution.
Take, b = - 2a. Then ( * ) ( a y – z + x - 2a ) 2 = - 8a x. ( $ )
Differentiating partially w.r.t. a, ( a y – z + x - 2a ) ( y – 2 ) = - 4 x. ( # ).
The envelope is obtained by eliminating a between ( $ ) & ( # ) as x y = z ( y-2 ).
Differential Equations 67
completely determine z( x, y ) for the region in the x-y plane containing the characteristic
curves. Here is called an initial data curve.
It can be seen that can not be chosen arbitrarily, but has to satisfy the ‘admissibility
criterion’.
Eg. Solve the semi linear equation, x q – y p = z with the initial condition that
z ( x, o ) = f ( x ), x 0 , where f ( x ) is a given function.
Here the initial data curve is the positive x – axis and it carries the information about the
solution, namely, at ( x , o ) the solution is z = f ( x ).
dy x
The Characteristic curves are determined by, x 2 + y 2 = c 2.
dx y
Thus the Characteristic curves are the concentric circles at the origin. Note that meets each
of the characteristic curves at a unique point.
dz z z
Along a Characteristic curve x 2 + y 2 = c 2,
dx y c2 x2
sin1
x
dz dx
1 x y
2 2
i.e. z = k( c ) e sin ( x / c ) = k x2 y2 e
.
dz c x
2 2
2
2
By the initial condition, f ( x ) = z ( x, 0 ) = k(x ) e or k(x)=f(x) e .
sin1
x
2 x y
2 2
Thus we have the solution, z ( x, y ) = f x2 y2 e
.
Differential Equations 68
Given a point ( x0, y0, z0 ) in space , there exists a unique solution for the above system, say,
x = x ( t ), y = y ( t ), z = z ( t ) such that x( 0 ) = x 0, y ( 0 ) = y0, z ( 0 ) = z0, which is
geometrically the Characteristic curve passing through ( x0, y0, z0 ).
Let be a curve in space with equation x = x0 ( s ), y = y0 ( s ) , z = z0 ( s ). Then there
exists a unique characteristic curve passing through each point of , and these curves taken
together will determine an integral surface.
The curve of intersection of two integral surfaces is a characteristic curve and if a
characteristic curve meets an integral surface then it should lie entirely on that surface.
The system ( 2 ) produces a two parameter family of curves in space and any one parameter
subfamily will generate an integral surface.
Eg.1. Consider the initial value problem - determine the integral surface of
z p + q = 1 containing the curve C : x = s, y = s , z = s/2.
The given equation is quasi linear and the characteristic equations are,
dx dy dz
=z , = 1, = 1 ..( * ) . We may solve it under the initial conditions x ( s, 0 ) = s,
dt dt dt
y ( s, 0 ) = s, z ( s, 0 ) = s/2, so that we can determine all the characteristic curves through each
point of the given curve C. The surface generated by these curves will be the integral surface
containing C.
(*) z ( s, t ) = t + a , y ( s, t ) = t + b, initially. Under the initial conditions, a = s/2, b = s.
Now, we get, x ( s, t ) = ½ t 2 + ½ st + c. From x( s , o ) = s, we get c = s.
Thus, we have the solution as, x = ½ t 2 + ½ st + s , y = t + s, z = t + s/2 .
We get the required surface by eliminating s & t from the above three equations.
y2
x
Solving for s & t in terms of x & y, s = 2 , t = y x . Substituting in the last
1 y / 2 1 y / 2
4 y 2x y 2
equation, z = .
2(2 y)
dx dy dz
The characteristic equations are, =2 , = y, = z ..( * ).
dt dt dt
Initial conditions are x ( s, 0 ) = s , y ( s , 0 ) = s 2, z ( s, 0 ) = s.
We get the solution, x = s + 2t, y = s 2 e t , z = s e t .
xz y
Eliminating s&t, the solution to the Cauchy problem is obtained as, z 2 ye 2z
.
Differential Equations 69
Ex.1. Solve p + q = z 2 under the condition z ( x, 0 ) = sin x
Ex.2. Find the integral surface of xz p – yz q = y 2 – x 2 , passing through the straight line
x/2 = y/1=z/1
Finally, we consider a non linear equation, f ( x, y, z, p , q ) = 0 …. ( * ).
Let ( x0, y0, z0 ) be a point in space, and z = z ( x, y ) be an integral surface
through ( x0, y0, z0 ).
Then the equation to the tangent plane at ( x0, y0, z0 ) to this surface is,
z – z0 = p ( x – x0 ) + q ( y – y0 ) ……..( 1)
Assuming, f q 0 , we can solve for q from ( * ) as q = q ( x, y, z, p ).
Thus p & q are not independent at ( x0, y0, z0 ) and ( 1 ) describes a one parameter p –
family of planes through ( x0, y0, z0 ), and its envelope is called the Monge cone at ( x0, y0, z0 )
of the PDE.
Thus a surface z = z ( x, y ) is an integral surface iff it must be tangential to the Monge cone
at each point on it.
The equation to the Monge cone at ( x0, y0, z0 ) can be determined by eliminating the
parameter p between ( 1 ) and 0 = ( x – x0 ) + ( y – y0 ) dq/dp,
where q = q ( x0, y0, z0, p ), obtained from ( * ).
But from ( * ), we get fp + fq ( dq/dp) = 0 . Hence, on substitution, ( x – x0) fq = ( y – y0)
fp or
x x0 y y 0 x x0 y y 0 z z0
., which can be extended using ( 1 ) as = ..( 2 )
fp fq fp fq pf p qf q
Thus the Monge cone at ( x0, y0, z0 ).can be determined by eliminating, p & q from
f ( x, y, z, p , q ) = 0 …. ( * ), z – z0 = p ( x – x0 ) + q ( y – y0 ) ……..( 1), and
x x0 y y 0 z z0
= ..( 2 )
fp fq pf p qf q
Differential Equations 70
CHAPTER 7
7.1. Classification
Consider the second order semi linear PDE,
R(x, y ) uxx +S ( x, y ) uxy + T ( x, y ) uyy + g ( x, y, u, ux, uy ) = 0 ….( 1 )
It may be also assumed that R, S , T have continuous partial derivatives w. r. t. x & y.
The above equation can be reduced to certain canonical forms according to the type of the
equation, and their solutions can be obtained.
2
Consider S - 4 R T . The equation ( 1 ) is hyperbolic, parabolic, elliptic according as
2
S -4RT >, = ,< 0, respectively.
We may transform the independent variables x & y to new variables and as , =
(x, y )
& = ( x, y ).
Differential Equations 71
A( x , y ) u + 2 B ( x , y , x , y ) u + A( x , y ) u + H ( , , u , u , u ) = 0 …( ** )
We may choose and so that the equation ( 1 ) will be assuming simpler forms according
to its types.
Parabolic Equation ( S 2 – 4 R T = 0 )
In this case, the roots of the equation ( 2 ) will coincide, say, ( x, y ) .
Take = f(x, y ) as in the above case. Take as function of x & y so that it is independent
Differential Equations 72
dy dy dy
Now the equations, + ( x, y ) = 0 and + ( x, y ) = 0 becomes = -x , x
dx dx dx
y + x 2/2 = c, y – x 2/2 = d . Now take, = y + x 2/2 and = y – x 2/2.
We get u x = u x- u y , uy = u + u ,
u xx = u x 2 - 2 x 2 u + x 2 u + u - u ,
y2 x2
Eg.2. Consider y uxx – 2 x y uxy + x uyy
2 2
- u x u y = 0.
x y
= y.
2i
u
The equation is transformed to u u .
2
Differential Equations 73
Resolving the forces along the x- direction and the y – direction,
T2 cos 2 = T1 cos 1 = T, say, and
( s ) ytt = T2 sin 2 - T1 sin 1 = T ( tan 2 - tan 1 ) , where is the linear density
and 1 and . 2 the inclination of the tangents at P & Q .
Here tan 2 = ( yx )|Q = ( yx )|P + ( yxx )|P x , approximately and tan 1 = ( yx )|P
Hence ( s ) ytt = T ( yxx )|P x , approximately. Taking the limit as Q P, we get
y xx
ytt = T . Assuming small displacements, yx is negligible, and there by we get,
1 y x2
1
yxx = ytt , for some constant c, which is the one dimensional wave equation.
c2
Let us proceed to find the solution of the following initial value problem.
Consider an infinite string placed along the x – axis and undergoing vibrations about it, so
that at the position x and at the instant t, its vertical displacement y is given by the
equation,
1
yxx = ytt , x and t > 0 : with the initial conditions y ( x, 0 ) = f ( x ) &
c2
yt ( x, 0 ) = g ( x ), x .
The wave equation is hyperbolic. Using the transformation, = x – ct, = x + ct, the wave
1 1
x x
Thus F ( x ) = cf ( x) g ( s)ds and G ( x ) = cf ( x) g ( s)ds .
2c x0 2c x0
Thus the solution of the problem is,
x ct
f ( x ct ) f ( x ct ) 1
2c x ct
y(x,t)= g ( s)ds , called the d’ Alembert’s solution.
2
Differential Equations 74
Remark: The straight lines x – ct = a constant & x + ct = a constant in x-t plane are called
characteristic curves.
It can be shown that a given pair of characteristics of different types will fix the solution if the
data is supplied on both of them.
Suppose the data is given on the characteristics, = 0 & = 0 i.e. assume y ( 0, ) =
g( ) and y ( , 0 ) = f ( ), for some given functions g & f.
From the solution, y ( , ) = F ( ) + G( ) ,
g( ) = F ( 0 ) + G ( ) and f ( ) = F ( ) + G ( 0 ) so that y ( , ) = F ( ) + G( )
=
f ( ) + g( ) - f ( 0 ) , since f( 0 ) = g ( 0 ).
But the solution can not be uniquely fixed if the data is given only on one characteristic.
f ( A) f ( B) 1
B
y( P )= g ( s )ds , where A ( x1 – c t1, 0 ) & B ( x1 + c t1, 0 ) are the
2 2c A
points at which the characteristics x – c t = x1 – c t1 & x + c t = x1 + c t1 through P meets the
x – axis.
Here y ( P ) depends on the data given on the line segment AB, which is called the domain
of dependence for P. The data at A ( x1 , 0 ) on x – axis will influence the solution y ( x , t )
at any point P ( x, t ) lying in the angular region bounded by the characteristics through A.
Hence this region is called the range of influence of A.
Differential Equations 75
t>0 the above mentioned solution requires informations at x – ct which can assume
negative values.
To overcome the situation we may give odd extensions to u & v , by defining,
u ( x) ,x 0 v( x) ,x 0
U(x)= and V ( x ) = .
u ( x) , x 0 v( x) , x 0
We have gone for odd extensions to take care of the homogeneous boundary condition given
at x = 0.
We claim that the solution to the current problem is,
x ct
U ( x ct ) U ( x ct ) 1
2c x ct
y(x,t)= V ( s)ds …( & )
2
ct
U (ct ) U (ct ) 1
2c ct
Put x = 0. Then y( 0 , t ) = V ( s)ds = 0, since U & V are odd
2
functions.
U ( x) U ( x) 1
x
Put t = 0. Then y ( x, 0 ) = V (s)ds = u ( x ), for x > 0.
2 2c x
Similarly, we can show that yt ( x , 0 ) = v ( x ) & yt ( 0 , t ) = 0, by taking
Differential Equations 76
U ( x + r. 2l ) = U ( x ) , V ( x + r. 2l ) = V ( x ), for l x l , r = 1,2,...
Assuming U ( x ) & V ( x ) can be expanded as Fourier sine series, we have,
mx ms
l
2
U ( x ) = u m sin , where u m u ( s) sin ds and
m 1 l l 0 l
mx ms
l
2
V ( x ) = v m sin , where vm v( s) sin ds .
m 1 l l 0 l
Then the solution becomes,
mx mct l
vm mx mct
y( x , t ) = u
m 1
m sin
l
cos +
l c
m sin
m 1
sin
l l
.
Remark: The solution of the problem can be obtained by an alternate method, called the
method of separation of variables.
Here we assume that the solution can be written as y ( x, t ) = X ( x ) T ( t ).
X '' T ''
Then the equation becomes, 2 . Here the right side is a function of t alone, where
X c T
as the left side is a function of x alone. Hence each of them must be a constant, say, .
Therefore, X’’ - X = …( 1 ) and T’’ – c 2 T = 0 …( 2 )
From 0 = y ( 0, t ) = X ( 0 ) T ( t ) , we infer X ( 0 ) = 0 and similarly from y ( l , t ) = 0, we
get X ( l ) = 0. ( For otherwise, we will be reaching only the trivial solution only )
Case 1. > 0.
x x
The solution of ( 1 ) is, X ( x ) = A e Be , where A & B are arbitrary constants.
The conditions X ( 0 ) = 0 = X ( l ) A = 0 & B = 0. This leads to the trivial solution.
Case 2. = 0.
Now ( 1 ) X ( x ) = A + B x. Again the conditions X ( 0 ) = 0 = X ( l ) will imply A = 0
= B, and hence only the trivial solution.
Case 3. < 0.
Now from ( 1 ) we get X ( x ) = A cos x B sin x . X ( 0 ) = 0 A = 0.
But X ( l ) = 0 B sin l = 0. Thus for non trivial solution we consider the possibility
n 2 2
sin l = 0 which gives l n , n = 1,2,3, . Taking n 2 , called the eigen
l
nx
values of the equation ( 1 ), we get the solutions, X n Bn sin , n = 1, 2,3, and
l
correspondingly
Differential Equations 77
nct nct
( 2 ) Tn (t ) C n cos Dn sin , n= 1, 2, ….
l l
Hence, for n = 1, 2, …, we have the solutions,
nct nct nx
yn (x, t ) = a n cos bn sin sin .
l l l
Since the boundary conditions are homogeneous by the method of super imposition, we get a
solution as y ( x, t ) = y
1
n ( x, t ) . Substituting yn ( x , t ) and applying the initial conditions,
ms ms
l l
2 2
we get a m
l 0
u ( s) sin
l
ds and bm
mc 0
v( s) sin
l
ds .
Theorem. The solution of the problem, ytt - c 2 yxx = F( x, t ), 0 x 1 and t > 0 , with
the initial conditions y ( x, 0 ) = u ( x ) & yt ( x, 0 ) = v ( x ), 0 x 1 ,
and the boundary conditions y ( 0, t ) = 0 = y ( l, t ) , if it exists, is unique.
Proof: Let there be two solutions, say, u1 & u2.
Let W = u1 - u2 .
Then W satisfies the problem, Wtt - c 2
Wxx = 0, 0 x 1 and t > 0 , with the initial
conditions W ( x, 0 ) = 0 & Wt ( x, 0 ) = 0, 0 x 1 ,
and the boundary conditions W ( 0, t ) = 0 = W ( l, t ) .
We will show that W = 0.
c W
l
Consider E ( t ) = 2
x
2
Wt 2 dx . Here E ( t ) is s a differentiable function and W is twice
0
differentiable.
l l
l
dE
2 WtWtt dx c 2W xWt c WtW xx dx = 2 Wt (Wtt c 2W xx )dx = 0, since
l 2
Therefore 0
dt 0 0 0
for every t, W ( 0, t ) = 0 = W ( l, t ) Wt ( 0, t ) = 0 = Wt ( l, t ).
Thus E = a constant. But W ( x, 0 ) = 0 , 0 x 1 Wx ( x, 0 ) = 0 & Wt ( x, 0 ) = 0,
given. Thus E ( 0 ) = 0 E = 0. Hence Wx = 0 = Wt , 0 x 1 and t > 0.
This implies that W ( x, t ) = a constant and hence W = 0, since W ( x , 0 ) = 0.
Differential Equations 78
7.3. Riemann’s Method.
This method can be employed for solving linear, second order, hyperbolic equations, in
canonical form.
Let L [ u ] = uxy + a ( x, y ) ux + b ( x, y ) uy + c ( x, y ) u = f ( x, y ) ……( 1 ), where a, b, c, f
are continuously differentiable functions of x & y. Being a hyperbolic equation in canonical
form, the characteristics are x = a constant , y = a constant. A solution of ( 1 ) is a function
with continuous second order partial derivatives.
Let P ( , ) be a point at which the solution to the above Cauchy problem is required.
Let the characteristics through P intersect the initial data curve at Q and R ( so that PQ is
horizontal and PR is vertical)
Let D be the region bounded by the closed contour C = PQRP.
Then by the application of Green’s Theorem ,
R P Q
Q Q
Substituting in ( * ),
Q R
[ u v ]P = [ u v ]Q + u (bv v x )dx + u (av v y )dy -
P P
Differential Equations 79
R
R
[ u ]P = [ u v ]R - uv(ady bdx) -
Q
( II ) can be used to find u at P, when u and uy are given along the curve .
On adding ( I ) & ( II ),
R
[ u ]P = { [ u v ]Q + [ u v ]R }/2 + ½ v(u x dx u y dy ) -
Q
R R
½ u (v x dx v y dy ) - uv(ady bdx) …( III ),
Q Q
which can be used for finding u at P, when u , ux and uy are given along the curve .
Take the Riemann function as v( , ; , ) = 1 , and using formula ( III ) under Riemann’s
method,
u(Q) u( R) 1 u d u d . …( 2 )
[ u ]P =
2 2 QR
But x = / 2 and t = / 2c .
( 1 ) becomes, uxx = (1/c2 ) utt and the solution ( 2 ) will reduce to the d’ Alembert’s
solution obtained earlier.
Differential Equations 80
7.3. Laplace’s Equation
The Laplace’s equation in two dimension is 2 u u xx u yy and a solution of the equation is
Consider v ( x, y ) = u ( x, y ) +
M0 M
4R 2
( x x0 ) 2 ( y y 0 ) 2 …. ( 1 ), for each point in
M0 M M M
However, in D vxx + vyy = uxx + uyy + 2
= 0 2 > 0.
R R
Thus we reach a contradiction.
Hence the maximum of u in D is attained at some point on the boundary B.
The minimum value of u in D is attained at some point on the boundary B also.
Apply the above discussion to –u instead of u.
Differential Equations 81
Theorem. The solution of the Dirichlet problem, if it exists, is unique.
Proof: Let u1 & u2 be two solutions of the problem. Then v = u1 – u2 is also harmonic in D and
on B, v = 0. Then by Maximum & minimum principles applied to v gives v = 0 in D.
i.e. u1 = u2 in D .
Let U = x & V = y .
Then
D
x x xx y y yy dS
B
n
ds ….( % ),
dS n n ds …( $ )
2 2
D B
Theorem. The solution to the Neumann problem, is unique upto an additive constant.
Proof: Let u1 & u2 be two solutions of the problem. Let v = u1 – u2.
v
Then 2 v 0 on D and 0 on B.
n
Differential Equations 82
Then by taking the Fourier transform of ( 1 ) , U yy 2U 0 ….( 2 )
2 y
We can compute directly F 1 (e | | y ) 2 .
y x 2
2 y
Thus by Convolution Theorem, u ( x, y ) = f(x) * 2 =
y x 2
1 2 y y f ( )
2
f ( )
y ( x )
2 2
d =
y ( x )
2 2
d .
1
y
g ( ) 1
x 2 y 2
Hence, u ( x , y ) =
a
2 dd =
2
y (x ) g ( ) log x 2 a 2 d .
Dirichlet Problem for the interior of a circle.
Consider a circle of radius a, centered at the origin.
1 1
Consider the problem, 2 u u rr u r 2 u 0, r < a …( 1 ), subject to the
r r
boundary condition u ( a , ) = f ( ) …..( 2 ).
Differential Equations 83
Since the equation is linear and homogeneous, we assume that the solution is in the separated
form, i.e. u ( r , ) = R ( r ) H ( ) ….( 3 )
r 2 R' ' R' H'
Then ( 1 ) r , say.
R R H
Here, is a constant. Hence we get, r2 R’’ + r R’ - R = 0 …( 4 ) & H” + H = 0 …( 5 )
But H is a periodic function with period 2 . Hence < 0 will not supply a feasible
solution.
When = 0, then ( 4 ) & ( 5 ) gives R = A + B log r, H = C + D …( 6 )
Since u is bounded inside the circle , but log r - as r 0, we get B = 0 , and hence
R = A. Further since H is periodic we get C = 0.
Thus under this case we get, u = a constant.
Let < 0. Assume = 2 .
Then H = A cos + B sin . Then the periodicity of H will fix as 1,2,3,….
Correspondingly, ( 4 ) R ( r ) = C r n + D r –n. Since u has to be bounded and r –n.
as r 0, we get D = 0.
Combining ( 6 ) and the solutions corresponding to n = 1, 2, 3, … by super position the
solution is,
n
a r
u ( r, ) = 0 a n cos n bn sin n , …( 7 ) , for some constants an & bn.
2 1 a
coefficients in the series solution for u ( r, ), with = r/a we can obtain the solution in
the form of an integral formula,
2
1 1 2
u ( , )
2 0 1 2 2 cos( ) f ( )d , known as the Poisson integral formula.
Dirichlet Problem for the exterior of a circle.
Similar to the above problem we have to determine a harmonic function u in the region r > a,
if u is given at points on r = a. Since the region is unbounded we may impose the further
condition that u is bounded as r .
Proceeding as above, the solution is obtained as,
2
1 2 1
u ( , )
2 0 1 2 2 cos( ) f ( )d .
Differential Equations 84
Neumann Problem for the interior of a circle
1 1
The problem is to solve 2 u u rr u r 2 u 0, r < a, subject to the boundary condition
r r
u
that f ( ) on r = a.
r
n
a0 r
As in Dirichlet’s problem we get, u ( r, ) = a n cos n bn sin n , …..( 1 )
2 1 a
where an’s & bn’ s are constants to be fixed based on the boundary conditions.
Differentiating ( 1 ),
u (a, )
n
r
a a
1
n cos n bn sin n f ( )
2 2
a a
an =
n f ( ) cos nd
0
and bn =
n f ( ) sin nd .
0
log a
a0 a
we get u ( r, ) = 2
2ar cos( ) r 2 f ( )d
2 2 0
Remark: The solution to the corresponding problem for the exterior of the circle r = a is,
2
log a
a a
u ( r, ) = 0 2
2ar cos( ) r 2 f ( )d
2 2 0
Differential Equations 85
7.5. Heat Conduction Problem
Consider a homogeneous, isotropic solid. Let V be an arbitrary volume inside the solid
bounded by the surface S. If V is an volume element then the heat energy stored in it is
cuV , where c is the specific heat, u is the temperature as function of its position and time,
and is the density.
For an element S of the of the bounding surface, heat flow across it is, ku.n S, where
k is the thermal conductivity factor and n is the unit, outward drawn normal.
Thus the total flux across S is S
ku.n S = .kuV , by Gauss Divergence theorem.
V
u
Since V is arbitrary, we get, c .(ku ) 0 . Assuming the k is a constant throughout
t
u
the body, we have the heat conduction equation, L 2 u , where L is a constant.
t
u 2u
The one dimensional ( Solid body is a straight rod ) heat conduction equation is, L 2
t x
Then ( 1 ) Ut + k 2 U = 0.
Differential Equations 86
1 1
u ( x, o )e f ( x )e
i x i x
We have, U ( , 0 ) = F[u(x,0)] = dx = dx = F( ), say.
2 2
Hence, U ( , t ) = F ( ) e kt .
2
x
2
1 4 kt
f ( )e
2 kt
Then by convolution theorem, u ( x , t ) = f ( x ) * F -1( e )=
d
2kt
2 kt 1 x2
-1
Note that, F ( e )= exp .
2kt 4kt
Remark: Convolution Theorem : - F ( f * g ) = F ( f ) . F ( g ), where F stands for the Fourier
Transform, and f * g is the convolution product defined as,
1
( f * g) ( x ) =
2
f ( x ) g ( )d .
n 2 2 kt
Correspondingly, T’ + 2 kT = 0 Tn ( t ) = Cn exp .
l 2
nx n 2 2 kt
Thus, un ( x , t ) = an sin exp .
l l 2
nx n 2 2 kt
By the principle of superposition, u ( x , t ) = an sin
l
exp
l 2
.
1
Differential Equations 87
nx
Now u ( x , 0 ) = f ( x ) implies 1
an sin
l
=f(x ), 0 xl.
2 nx
Then an = f(x) sin dx.
l 0 l
Thus we have the solution,
nx n 2 2 kt 2 nx
u(x,t)= an sin
l
exp
2
, where an = f(x) sin
l
dx.
1 l l 0
Theorem. The solution of the problem, ut – k uxx = F ( x , t ), 0 < x < l, t > 0 satisfying the
initial condition u ( x, 0 ) = f ( x ), 0 x l and boundary conditions
u ( 0 , t ) = 0 = u ( l, t ), t 0 , if exists, is unique.
Proof: Let u1 & u2 be two solutions. Take v = u1 – u2.
Then v satisfies, vt – k vxx = 0, 0 < x < l, t > 0, v ( x, 0 ) = 0, 0 x l and
v ( 0 , t ) = 0 = v ( l, t ), t 0 .
l
1
Let E ( t ) =
2k 0
v 2 ( x, t )dx . Note that E ( t ) 0 .
l l l l
v vt dx v v xx dx vvx 0 -
dE 1
v x dx - v x dx 0 , by v (0, t ) = 0
l 2 2
Then
dt k0 0 0 0
= v (l, t )
Thus E ( t ) is a decreasing function. But from v ( x , 0 ) = 0, we get E ( 0 ) = 0.
Thus E ( t ) 0. But E ( t ) 0 . Thus E = 0 v ( x , t ) = 0, 0 x l , t 0 . i.e. v = 0.
Remark: The solution to the Heat conduction problem in a finite rod is unique, by the above
Theorem.
*******
Differential Equations 88