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Differential Equations
M.T.Nair
Department of Mathematics, IIT Madras

CONTENTS

PART I: Ordinary Differential Equations Page Number

1. First order ODE 2

1.1 Introduction 2
1.2 Direction Field and Isoclines 3
1.3 Initial Value Problem 3
1.4 Linear ODE 4
1.5 Equations with Variables Separated 6
1.6 Homogeneous equations 7
1.7 Exact Equations 7
1.8 Equations reducible to homogeneous or variable separable or linear or exact form 9

2. Second and higher order linear ODE

2.1 Second order linear homogeneous ODE 13

2.2 Second order linear homogeneous ODE with constant coefficients 17
2.3 Second order linear non-homogeneous ODE 18

3. System of first order linear homogeneous ODE 25

4. Power series method 28

4.1 The method and some examples 28

4.2 Legendre’s equation and Legendre polynomials 30
4.3 Power series solution around singular points 36
4.4 Orthogonality of functions 45

5. Sturm–Liouville problem (SLP) 52

6. References 56

1 Lectures for the course MA2020, July-November 2012.

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1 First order ODE

1.1 Introduction

An Ordinary differential equation (ODE) is an equation involving an unknown function and its
derivatives with respect to an independent variable x:

F (x, y, y (1) , . . . y (k) ) = 0.

Here, y is the unknown function, x is the independent variable and y (j) represents the j-th derivative
of y. We shall also denote
y 0 = y (1) , y 00 = y (2) , y 000 = y (3) .

Thus, a first order ODE is of the form

F (x, y, y 0 ) = 0. (∗)

Sometimes the above equation can be put in the form:

y 0 = f (x, y). (1)

By a solution of (∗) we mean a function y = ϕ(x) defined on an interval I := (a, b) which is

differentiable and satisfies (∗), i.e.,

F (x, ϕ(x), ϕ0 (x)) = 0, x ∈ I.

Example 1.1.
y 0 = x.

Note that, for every constant C, y = x2 /2 + C satisfies the DE for every x ∈ R. ♦

The above simple example shows that a DE can have more than one solution. In fact, we obtain a
family of parabolas as solution curves. But, if we require the solution curve to pass through certain
specified point then we may get a unique solution. In the above example, if we demand that

y(x0 ) = y0

for some given x0 , y0 , then we must have

x20
y0 = +C
2
so that the constant C must be
x20
C = y0 − .
2
Thus, the solution, in this case, must be

x2 x2
y= + y0 − 0 .
2 2

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1.2 Direction Field and Isoclines

Suppose y = ϕ(x) is a solution of DE (1). Then this curve is also called an integral curve of the
DE. At each point on this curve, the tangent must have the slope f (x, y). Thus, the DE prescribes a
direction at each point on the integral curve y = ϕ(x). Such directions can be represented by small
line segments with arrows pointing to the direction. The set of all such directed line segments is called
the direction field of the DE.

The set of all points in the plane where f (x, y) is a constant is called an isocline. Thus, the family
of isoclines would help us locating integral curves geometrically.

Isoclines for the DE: y 0 = x + y are the straight lines x + y = C.

1.3 Initial Value Problem

An equation of the form

y 0 = f (x, y) (1)

together with a condition of the form the form

y(x0 ) = y0 (2)

is called an initial value problem. The condition (2) is called an initial condition.

THEOREM 1.2. Suppose f is defined in an open rectangle R = I × J, where I and J are open
intervals, say I = (a, b), J = (c, d):

R := {(x, y) : a < x < b, c < y < d}.

∂f
If f is continuous and has continuous partial derivative in R, then for every (x0 , y0 ) ∈ R, there
∂y
exists a unique function y = ϕ(x) defined in an interval (x0 −h, x0 +h) ⊆ (a, b) which satisfies (1)−(2).

Remark 1.3. The conditions prescribed are sufficient conditions that guarantee the existence and
uniqueness of a solution for the initial value problem. They are not necessary conditions. A unique
solution for the initial value problem can exist without the prescribed conditions on f as in the above
theorem. ♦

• The condition (2) in Theorem 1.2 is called an initial condition, the equation (1) together with
(2) is called an initial value problem.

• A solution of (1) the form

y = ϕ(x, C),

where C is an arbitrary constant varying in some subset of R, is called a general solution of

(1).

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 • A solution y for a particular value of C is called a particular solution of (1).

• If general solutions of (1) are given implicitly in the form

u(x, y, C) = 0

arbitrary constant C, then the above equation is called the complete integral of (1).

• A complete integral for a particular value of C is called a particular integral of (1).

Remark 1.4. Under the assumptions of Theorem 1.2, if x0 ∈ I, then existence of a solution y for (1)
is guaranteed in some neighbourhood I0 ⊆ I of x0 , and it satisfies the integral equation
Z x
y(x) = y0 + f (t, y(t))dt.
x0

A natural question would be:

Is the family of all solutions of (1) defined on I0 a one-parameter family, so that any two
solutions in that family differ only by a constant?

It is known that for a general nonlinear equation (1), the answer is nt in affirmative. However, for
linear equations the answer is in affirmative. ♦

1.4 Linear ODE

If f depends of y in a linear fashion, then the equation (1) is called a linear DE. A general form of
the linear first order DE is:
y 0 + p(x)y = q(x). (3)

Here is a procedure to arrive at a solution of (3):

Assume first that there is a solution for (3) and that after multiplying both sides of (3) by a
differentiable function µ(x), the LHS is of the (µ(x)y)0 . Then(3) will be converted into:

(µ(x)y)0 = µ(x)q(x)

so that Z
µ(x)y = q(x)dx + C.

Thus, µ must be chosen in such a manner that

µ0 y + µy 0 = µ(y 0 + py).

Therefore, we must have

dµ
µ0 y = µpy, i.e., µ0 = µp, i.e., = pdx,
µ

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i.e.,
R
p(x)dx
µ(x) := e .

Thus, y takes the form

Z 
1 R
p(x)dx
y= µ(x)q(x)dx + C , µ(x) := e . (4)
µ(x)

It can be easily seen that the function y defined by (4) satisfies the DE (3). Thus existence of a
solution for (3) is proved for continuous functions p and q.

Suppose there are two functions ϕ and ψ which satisfy (3). Then χ(x) := ϕ(x) − ψ(x) would
satisfy
χ0 (x) + p(x)χ(x) = 0.

Hence, using the arguments in the previous paragraph, we obtain

χ(x) = Cµ(x)−1

for some constant C.

Now, if ϕ(x0 ) = y0 = ψ(x0 ), then we must have χ(x0 ) = 0 so that Cµ(x)−1 = 0. Hence, we obtain
C = 0 and hence, ϕ = ψ. Thus, we have proved the existence and uniqueness for the linear DE only
by assuming that p and q are continuous.

Example 1.5.
y 0 = x + y.
R
Then, µ = e− dx
= e−x and hence,
Z   Z 
x −x x −x −x
y=e e xdx + C = e −xe + e dx + C .

Thus,
y = ex −xe−x − e−x + C = −x − 1 + Cex .
 

y(0) = 0 =⇒ 0 = −1 + C =⇒ C = 1.

Hence,
y = −x − 1 + ex .

Note that
y 0 = −1 + ex = −1 + (x + y + 1) = x + y.