Differential Equations & Complex Variables

Saraswati Acharya, PhD

Department of Mathematics
School of Science, Kathmandu University
Kavre, Dhulikhel

Chapter 3:Series Solution of Differential Equations

Lecture 1, 2

April, 2020
Course Contents

Unit 3: Series Solutions of Differential Equations:

1 Introduction, Power series solution of D.E,
2 Legendre’s equation and functions,
3 Bessels’ equations and functions, (Derivation not required),
Associated properties and its verifications.

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
2 / 31 K
Power Series

Definition: A power series in (x − a) is an infinite series of the form

∞
X
cn (x − a)n = c0 + c1 (x − a) + c2 (x − a)2 + · · ·
n=0

where c0 , c1 , · · · are constants, called the coefficients of the series, a is a

constant called the center, and x is a variable.
In particular, a = 0, we obtain a power series in powers of x:
∞
X
cn x n = c0 + c1 x + c2 x 2 + · · ·
n=0

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
3 / 31 K
Some Important Series

Taylor series: The Taylor series of f (x) about x = a is

∞
X f n (a)
f (x) = (x − a)n
n!
n=0

f 0 (a) f 00 (a) f n (a)

= f (a) + (x − a) + (x − a)2 + · · · + (x − a)n + Rn
1! 2! n!
Maclaurin series: Taylor series about a = 0.
∞
X f n (0)
f (x) = xn
n!
n=0

f 0 (0) f 00 (0) 2 f n (0) n

= f (0) + x+ x + ··· + x + Rn
1! 2! n!

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
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Some familiar power series that are Maclaurin series:
∞
1 X
1. = x n = 1 + x + x 2 + x 3 + · · · (|x| < 1)
1−x
n=0
∞
X xn x x2 x3
2. e x = =1+ + + + ···
n! 1! 2! 3!
n=0
∞
X (−1)n x 2n+1 x3 x5 x7
3. sin x = =x− + − + ···
(2n + 1)! 3! 5! 7!
n=0
∞
X (−1)n x 2n x2 x4 x6
4. cos x = =1− + − + ···
(2n)! 2! 4! 6!
n=0
∞
X x 2n+1 x3 x5 x7
5. sin hx = =x+ + + + ···
(2n + 1)! 3! 5! 7!
n=0
∞
X x 2n x2 x4 x6
6. cos hx = =1+ + + + ···
(2n)! 2! 4! 6!
n=0

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
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By using Power
∞
Series Method, solve: y 0 − y = 0
X
Let y = cn x n = c0 + c1 x + c2 x 2 + c3 x 3 + c4 x 4 + · · · be solution
n=0
of y 0 − y = 0.
y 0 = c1 + 2c2 x + 3c3 x 2 + 4c4 x 3 + · · ·
Substituting the values of y and y 0 in y 0 − y = 0.
c1 + 2c2 x + 3c3 x 2 + 4c4 x 3 + · · · − (c0 + c1 x + c2 x 2 + c3 x 3 + c4 x 4 + · · · ) = 0
c1 − c0 + (2c2 − c1 )x + (3c3 − c2 )x 2 + (4c4 − c3 )x 3 + · · · = 0
Equating like terms, we get
c1 c0 c0
c1 = c0 , 2c2 = c1 =⇒ c2 = = =
2 2 2!
c0 c0
3c3 = c2 =⇒ c3 = =
2.3 3!
c0
c4 =
4!
c0 2 c0 3 1 1
∴ y = c0 + c0 x + x + x + · · · = c0 (1 + x + x 2 + x 3 + · · · )
2! 3! 2! 3!
y = c0 e x

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of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
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By using Power
∞
Series Method, solve: y 00 + y = 0
X
Let y = cn x n = c0 + c1 x + c2 x 2 + c3 x 3 + c4 x 4 + · · · be the
n=0
solution of given ODE
y 0 = c1 + 2c2 x + 3c3 x 2 + 4c4 x 3 + 5c5 x 4 + · · ·
y 00 = 2c2 + 6c3 x + 12c4 x 2 + 20c5 x 3 + · · ·
Substituting the values of y and y 00 in y 00 + y = 0.
2c2 + 6c3 x + 12c4 x 2 + 20c5 x 3 + · · · + (c0 + c1 x + c2 x 2 + c3 x 3 + c4 x 4 + · · · ) = 0
Equating like terms, we get
c0 c1 c1
2c2 = −c0 , c2 = − 6c3 + c1 = 0 =⇒ c3 = − =−
2 6 3!
c2 c0
12c4 = −c2 =⇒ c4 = − =
12 4!
c3 c1
20c5 = −c3 =⇒ c5 = − =
20 5! 
x2 x4 x3 x5
 
∴ y = c0 1 − + + · · · + c1 x − + + ···
2! 4! 3! 5!
= c0 cos x + c1 sin x.

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
7 / 31 K
Solve initial value problem y 0 = y + x 2 , y (0) = 1 by using
power series method.

∞
X
Assume that y (x) = cn x n = c0 + c1 x + c2 x 2 + · · · be the solution
n=0
of given ODE. Then,

c1 + 2c2 x + 3c3 x 2 + 4c4 x 3 + · · · = (c0 + c1 x + c2 x 2 + c3 x 3 + · · · ) + x 2

c1 + 2c2 x + 3c3 x 2 + 4c4 x 3 + · · · = c0 + c1 x + (c2 + 1)x 2 + c3 x 3 + · · ·

This yields,
(c1 − c0 ) + (2c2 − c1 )x + (3c3 − c2 − 1)x 2 + (4c4 − c3 )x 3 + · · · = 0
So, c1 − c0 = 0, 2c2 − c1 = 0, 3c3 − c2 − 1 = 0, 4c4 − c3 = 0 + · · ·

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
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Solution (contd.)
We obtain
c1 c2 + 1 c0 + 2 c3 c0 + 2
c1 = c0 , c2 = , c3 = = , c4 = = ,···
2! 3 3! 4 4!
Substituting these values in (1)
c1 2 c0 + 2 3 c0 + 2 4
y (x) = c0 + c0 x + x + x + x + ···
2! 3! 4!
To solve the IVP, we set x = 0 and obtain;
1 = y (0) = c0
Thus, the solution of IVP is;
x2 3 4
+ x3 + x4 + · · ·
y (x) = 1 + x +
2! 3! 4!
x2
   
1 3 1
= 1+x + + x + x4 + · · ·
2! 2! 3!
Saraswati Acharya (Department MATH207
of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
9 / 31 K
Excercise

1. y 0 = x 2 y
3 /3
Ans: y = c0 e x
2. y 0 − 2xy = 0
2
Ans: y = a0 e x

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
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Legendre’s Equation and Legendre Polynomial

Legendre’s Equation of order n

(1 − x 2 )y 00 − 2xy 0 + n(n + 1)y = 0 (n constant) (∗)

Legendre Polynomial
The solution of Legendre’s Equation (*) is known as Legendre Polynomial
or Legendre Function of degree n and is denoted by Pn (x) and defined by
M
X (2n − 2m)!
Pn (x) = (−1)m x n−2m
2n m!(n − m)!(n − 2m)!
m=0

n n−1
where, M= (if n is even) or (if n is odd) whichever is an integer.
2 2

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of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
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Legendre Polynomials

The first few of Legendre Functions are

1. P0 (x) = 1 2. P1 (x) = x

1 1
3. P2 (x) = (3x 2 − 1) 4. P3 (x) = (5x 3 − 3x)
2 2

1 1
5. P4 (x) = (35x 4 − 30x 2 + 3) 6. P5 (x) = (63x 5 − 70x 3 + 15x)
8 8
and so on.
U
se Legendre’s Polynomial to show the above relation

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
12 / 31 K
Rodrigue’s Formula

The expression for Pn (x) given by

1 dn
Pn (x) = [(x 2 − 1)n ], n = 0, 1, 2, · · ·
2n n! dx n

is called Rodrigue’s Formula.

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
13 / 31 K
Problems

Use Rodrigue’s Formula to prove the following relations:

1. P0 (x) = 1 2. P1 (x) = x

1 1
3. P2 (x) = (3x 2 − 1) 4. P3 (x) = (5x 3 − 3x)
2 2

1 1
5. P4 (x) = (35x 4 − 30x 2 + 3) 6. P5 (x) = (63x 5 − 70x 3 + 15x)
8 8

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of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
14 / 31 K
Bessel’s differential equation

Any differential equation of the form

x 2 y 00 + xy 0 + (x 2 − ν 2 )y = 0 (1)

is known as Bessel’s differential equation.

1 The parameter ν is real and non-negative.
2 It appears in connection with electric fields vibrations, heat
conduction in cylindrical object.
3 As (1) is a second order differential equation, so there must be two
linear independent solutions.
4 Bessel’s functions of the first kind is denoted as Jν (x) are the
solutions of the Bessel’s differential equation that are
1 finite at the origin x = 0 for integer ν and
2 diverges as x → 0 for negative non-integer ν.

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
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Bessel’s Equation and Bessel Functions Jν (x)

Bessel’s Equation:
A second order homogeneous differential equation of the form

x 2 y 00 + xy 0 + (x 2 − ν 2 )y = 0 (∗)

where the parameter ν ≥ 0 is a real number, is called Bessel’s Equation.

Bessel Function or Polynomial:
The solution of Bessel’s Equation (*) denoted by Jν (x) is called Bessel
Polynomial and is given by
∞ ∞
X (−1)m x 2m X (−1)m x 2m+ν
Jν (x) = x ν =
22m+ν m!Γ(ν + m + 1) 22m+ν m!Γ(ν + m + 1)
m=0 m=0

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
16 / 31 K
Bessel Polynomial

If we replace ν by −ν
∞ ∞
−ν
X (−1)m x 2m X (−1)m x 2m−ν
J−ν (x) = x =
22m−ν m!Γ(−ν + m + 1) 22m−ν m!Γ(m − ν + 1)
m=0 m=0

For ν = n (an integer),

∞ ∞
X (−1)m x 2m+n X (−1)m x 2m+n
Jn (x) = =
22m+n m!Γ(n + m + 1) 22m+n m!(n + m)!
m=0 m=0

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
17 / 31 K
 1 Γ(ν) is the gamma function, a generalization of the factorial function
to non-integer values and is defined as
Z ∞
Γ(ν) = e −t t ν−1 dt
0
Γ(ν + 1) = νΓ(ν)
Γ(n + 1) = n!
2 It converges very rapidly due to the factorial in denominator.

G
General Solution of Bessel’s equation
For non-integer ν, the functions Jν (x) and J−ν (x) are linearly independent
and are therefore the two solutions of the differential equation. That is

y (x) = c1 Jν (x) + c2 J−ν (x). (2)

But if ν is an integer, then 2 is not a general solution because of linear

dependence.
Saraswati Acharya (Department MATH207
of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
18 / 31 K
Linear dependence of Bessel function Jn and J−n

Theorem
For integer ν = n, Jn and J−n are linearly dependent because

J−n (x) = (−1)n Jn (x).

Proof: We have,
∞
−ν
X (−1)m x 2m
J−ν (x) = x (3)
22m−ν m!Γ(m − ν + 1)
m=0

If ν = n, then the gamma function in the coefficients of the first n

terms become infinite.
The coefficients becomes zero and the summation starts with m = n
and Γ(m − ν + 1) = (m − n)!

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
19 / 31 K
 ∞
X (−1)m x 2m−n
J−n (x) = Let s = m − n, m = s + n
m=n
22m−n m!Γ(m − n + 1)
∞
X (−1)n+s x 2s+n
=
22s+n (s + n)!s!
s=0
∞
X (−1)s x 2s+n
= (−1)n
22s+n (s + n)!s!
s=0
∴ J−n (x) = (−1)n Jn (x).

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
20 / 31 K
Some Properties of Bessel Functions

d
P1. [x ν Jν (x)] = x ν Jν−1 (x)
dx
d
P2. [x −ν Jν (x)] = −x −ν Jν+1 (x)
dx
2ν
P3. Jν−1 (x) + Jν+1 (x) = Jν (x)
x
P4. Jν−1 (x) − Jν+1 (x) = 2Jν0 (x)

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
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 d
(x ν Jν (x)) = x ν Jν−1 (x)
dx
∞
X (−1)m x 2m
Jν (x) = x ν (4)
22m+ν m! Γ(ν + m + 1)
m=0
Multiplying both sides of (4) by x ν
∞
X (−1)m x 2m+2ν
x ν Jν (x) =
m=0
22m+ν m!Γ(ν + m + 1)
∞
d (−1)m (2m + 2ν)x 2m+2ν−1
X
(x ν Jν (x)) =
dx m=0
22m+ν m!(ν + m)Γ(ν + m)
∞
X (−1)m x 2m
= x 2ν−1
m=0
22m+ν−1 m!Γ(ν + m)
∞
X (−1)m x 2m x ν−1
= xν
m=0
22m+ν−1 m!Γ(ν + m)
d
∴ (x ν Jν (x)) = x ν Jν−1 (x)·
Saraswati Acharya
dx (Department MATH207
of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
22 / 31 K
 d
x −ν Jν (x) = −x −ν Jν+1 (x).


dx
Multiplying both sides of (4) by x −ν
∞
X (−1)m x 2m
x −ν Jν (x) =
m=0
22m+ν m!Γ(ν + m + 1)
∞
d X (−1)m (2m)x 2m−1
x −ν Jν (x) =


dx 22m+ν m(m − 1)!Γ(ν + m + 1)
m=0
∞
X (−1)m x 2m−1
= Let, m − 1 = s, m = s + 1
m=1
22m+ν−1 (m − 1)! Γ(ν + m + 1)
∞
X (−1)s+1 x 2s+1
=
s=0
22s+ν+1 s! Γ(ν + s + 2)

Equation (4) ν + 1 instead of ν and s instead of m

d
x −ν Jν (x) = −x −ν Jν+1 (x)


dx
Saraswati Acharya (Department MATH207
of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
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 2ν
Jν−1 + Jν+1 = Jν ·
x
We have
d
(x ν Jν (x)) = x ν Jν−1 (x)
dx
νx ν−1 Jν + x ν Jν0 = x ν Jν−1 (5)
d
x −ν Jν (x) = −x −ν Jν+1 (x)


Again,
dx
−ν−1
(−ν)x Jν + x −ν Jν0 = −x −ν Jν+1
Multiplying both sides by x 2ν
−νx ν−1 Jν + x ν Jν0 = −x ν Jν+1 (6)
Subtracting (5) from (6)
2νx ν−1 Jν = x ν (Jν−1 + Jν+1 )
2ν
Jν = Jν−1 + Jν+1
x
2ν
∴ Jν−1 + Jν+1 = Jν ·
x

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
24 / 31 K
Jν−1 + Jν+1 = 2Jν0
Adding (5) and (6), we get

2x ν Jν0 = x ν (Jν−1 + Jν+1 )

Jν−1 + Jν+1 = 2Jν0 .

exercise
Exercise: Prove the following:
r
2
1. J1/2 (x) = sin x
πx
r
2
2. J−1/2 (x) = cos x
πx

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
25 / 31 K
 r
2
Proof of J−1/2 (x) = cos x
πx
∞
X (−1)m x 2m+ν
We know that, Jν (x) = . So, Putting ν = −1/2;
m=0
22m+ν m!Γ(ν + m + 1)
∞ ∞
X (−1)m x 2m−1/2 x −1/2 X (−1)m x 2m
J−1/2 (x) = =
m=0
22m−1/2 m!Γ(m − 1/2 + 1) 2−1/2 m=0 22m m!Γ(m + 1/2)
r 
x2 x4 x6

2 1
= − + − +· · ·
x Γ(1/2) 22 1!Γ(1 + 1/2) 24 2!Γ(2 + 1/2) 26 3!Γ(3 + 1/2)
=r "
2 1 x2 x4 x6
− 2 + 4 − 6 +· ·
1 3
x Γ(1/2) 2 · 1! · 2 · Γ(1/2) 2 · 2! · 2 · 2 · Γ(1/2) 2 · 3! · 2 · 32 · 12 · Γ(1/2)
1 5

r " #
1 2 x2 x4 x6 √
= 1− 2 + − + · · · [Γ(1/2)= π]
Γ(1/2) x 2 · 1! · 12 24 · 2! · 32 · 21 26 · 3! · 52 · 32 · 12
r  r
x2 x4 x6

2 2
= 1− + − + ··· = cos x Proved
πx 2! 4! 6! πx

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
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 r
2
Proof of J1/2 (x) = sin x
πx

We know that,
∞
X (−1)m x 2m
Jν (x) = x ν
m=0
22m+ν m!Γ(ν + m + 1)

1
If ν = 2

∞
√ X (−1)m x 2m
J1/2 (x) = x
22m+1/2 m! Γ 21 + m + 1


m=0

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
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 r ∞
2X (−1)m x 2m+1
J1/2 (x) = 2m+1 m! Γ m + 3


x 2 2
m=0
√
Using Γ( 12 ) = π
      
3 1 1 3 1 1
Γ m+ = m+ m− ··· Γ
2 2 2 2 2 2
−(m+1) √
=2 (2m + 1)(2m − 1) · · · 3.1. π
Again 22m+1 m! = 2m+1 2m m!
= 2m+1 2m m(m − 1)(m − 2) · · · 3.2.1
= 2m+1 2m(2m − 2)(2m − 4) · · · 6.4.2
√
 
3
22m+1 m! Γ m + = (2m + 1)! π
2
r ∞ r
2 X (−1)m x 2m+1 2
J 1 (x) = ∴ J 1 (x) = sin x.
2 πx (2m + 1)! 2 πx
m=0

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
28 / 31 K
 r
2
J− 1 (x) = cos x
2 πx r
2 √ q
The equation J 1 (x) = sin x can be written as xJ 1 (x) = π2 sin x.
2 πx 2
Then

d √  r2
xJ 1 (x) = cos x
dx 2 π
r
1 2
x 2 J 1 −1 = cos x
2 π
r
2
J− 1 = cos x
2 πx
r  
2 sin x
J3 = − cos x
2 πx x

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
29 / 31 K
Using
2ν
Jν−1 + Jν+1 = Jν (x) (7)
x
1
If ν = in (7),
2
1
J− 1 + J 3 = J1
2 2 x 2
1
J 3 = J 1 − J− 1
2 x r2 2
r
1 2 2
= sin x − cos x
x πx πx
r  
2 sin x
∴ J3 = − cos x .
2 πx x

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of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
30 / 31 K
 r
2  cos x 
J− 3 = − + sin x
2 πx x
1
If ν = − in (7), we get
2
1
J− 1 −1 + J− 1 +1 = − J− 1
2 2 x 2
1
J− 3 = − J− 1 − J 1
2 xr2 2
r
1 2 2
=− cos x − sin x
x πx πx
r
2  cos x 
∴ J− 3 = − + sin x .
2 πx x

Saraswati Acharya (Department MATH207

of Mathematics[2mm]School of Science, Kathmandu
April, 2020
University[2mm]
31 / 31 K