Chapter 1 Introduction to Differential Equations

1.1 Definition and Terminology

■ Introduction - Ordinary and Partial Differential Equations

An ordinary differential equation (ODE) is an equation that contains one or several derivatives of
an unknown function, which we usually call y(x). It has one independent variable.

Examples: y' = cos x

y'' + 9y = 0
x2y'''y' + 2exy'' = (x2 + 2)y2

The equation may also contain y itself, known functions of x and constants.

A partial differential equation (PDE) is an equation that contains one or several partial derivatives
of an unknown function which has two or more independent variables.

Example: a PDE with unknown function u of two independent variables x and y

 2u  2u
 0
x 2 y 2

We will only deal with ordinary differential equations. 1

The derivative dy/dx of a function y = f(x) is another function y' = f'(x). E.g.
2
y  f (x)  e 0.1x
dy 2 2 dy
 0.2 xe 0.1x If we replace e 0.1x with y, we obtain  0.2 xy
dx dx

Now, imagine that we only know that dy/dx = 0.2xy. How do we find the original function y? This is
one of the basic problems in a course on differential equations.

■ Classification by Order

Order of a differential equation (ODE or PDE) : order of the highest derivative in the equation

An ODE is said to be or order n if the nth derivative of the unknown function y is the highest derivative
of y in the equation.

We can write an n-th order ODE in the form:

F ( x, y, y,, y ( n ) )  0 ; n-th order

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 In Chapters 1 and 2, we will consider first-order ODEs. These equations contain the first derivative y' and
may contain y and any functions of x. We can write them in two forms:

F(x, y, y') = 0 y' = f(x, y)

F is a function with real values.

For instance, the ODE x-3y' - 4y2 = 0 (where x  0) can be written as y' = 4x3y2

dx  dx  dx
Some more examples:  0.6 x  0.04 x 2 F  t ,x,    0.6 x  0.04 x 2  0
dt  dt  dt

d2y dy  dy d 2 y  d2y dy
m  c  ky  0 F  t , y , , 2   m 2  c  ky  0
dt 2 dt  dt dt  dt dt

2 2
d 2x  dx   dx d 2 x  d 2x  dx 
m 2
 c D Aρ  F t,x, , 2   m t  c D Aρ   0
dt  dt   dt dt  dt  dt 

2
d 2 x  dx 
Caution! Sometimes x can be the dependant variable. E.g. t 2  
dt  dt 
Here, x is the dependant variable and t is the independent variable. 3

■ Classification by Linearity

An n-th order ODE is linear if F is linear in terms of y, y' ......y(n). In other words, F ( x, y , y, , y ( n ) )  0
An nth-order ODE is linear if an(x)y(n) + an-1(x)y(n-1) + ... + a1(x)y' + a0(x)y = g(x) or

dny d n 1 y dy
an ( x) n
 an 1 ( x ) n 1
   a1 ( x)  a0 ( x) y  g ( x)
dx dx dx
dy
A linear first-order (n = 1) ODE has the form: a 1 x   a 0 x y  gx 
dx
•The dependant variable y and its derivatives y', y''...y(n) are all first degree i.e. all or the power 1.
•The coefficients a0, a1,.....an depend at most on the independent variable x.

(y - x)dx + 4x dy = 0 is a linear first-order ODE.

y'' - 2y' + y = 0 is a linear second-order ODE

d3y dy
3
 3x  5y  e x is a linear third-order ODE
dx dx
A nonlinear ODE is simply one that is not linear. Nonlinear functions of the dependant
variable or its derivatives , such as sin y or ey, cannot appear in a linear equation. For example:

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 ■ Solution
Definition 1.1.2 Solution of an ODE

A solution to an ODE is a formula that enables us to compute values of the unknown function in the ODE.
E.g., for the ODE dy/dx = 0.2xy, the solution allows us to compute values for y.

Any function (x), defined on an interval I and possessing at least n derivatives that are continuous
on I, which when substituted into an n-th order ODE reduces the equation to an identity.*

replace y, y'...y(n) with (x), '(x)...(n)(x)

F ( x, y , y, , y ( n ) )  0 F ( x,  ( x),  ( x), ,  ( n ) ( x))  0 for all x in I

2
We have already seen that y  e 0.1x is a solution of dy/dx = 0.2xy on the interval (-,).

*identity: an equation which is satisfied for all values of the involved variables e.g.

■ Interval of Definition
Interval of definition
Interval of existence Can be an open interval (a,b), a closed interval [a,b],
Interval of validity I an infinite interval (a,), etc.
Domain of the solution
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Example 1 Verification of a Solution

1
1 4 dy
Verify that the function y  x is a solution of the ODE  xy 2 on the interval (-,).
16 dx

Solution: substitute the function into the ODE and then check if both the derivative of the function and
the ODE are the same for every value of x in the interval i.e. check if both sides of the ODE are equal.

1 4 dy x3 x3
derivative of the function: For y x ,  4 
16 dx 16 4

1/ 2
dy  x4  x 2 x3
= xy  x     x 
1/ 2
Substitute function into ODE:
dx  16  4 4

The derivative of the function and the ODE after substitution of the function are the same. So the
function is a solution of the ODE.

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Example 2 Verification of a Solution

Verify that the function y = xex is a solution of the ODE y'' - 2y' + y = 0 on the interval (-,).

Solution: First, find the first and second derivatives of y = xex

Using the product rule, y' = 1.ex + x.ex = ex + xex

y'' = ex + 1.ex + x.ex = 2ex + xex

Substitute y, y' and y'' into the ODE and check if both sides of the ODE are equal:

Left-hand side: (2ex + xex) - 2(ex + xex) + xex = 2ex + xex - 2ex - 2xex + xex = 0

Right-hand side = 0

Note: in both these examples, the constant solution y = 0 on the interval (-,) would also work.
This is called a trivial solution.

■ Solution Curve

The graph of a solution  of an ODE is called a solution curve. Remember,  has to be continuous on
its interval of definition I. So, there may be a difference between the graph of the function  and the
graph of the solution . We'll show this with an example.
dy
Verify that (x) = x-1 is an explicit solution of   y 2 either on the interval - < x < 0 or on the
interval 0 < x < . dx

To simplify things, rename (x) = x-1 as y = f(x) = x-1

dy
Derivative of the function: For y = f(x) = x-1,   x 2
dx

Substituting the function y = x-1 into the ODE:

dy
dx
 
  y 2   x 1
2
  x 2

The domain of the function (x) = x-1 is the set {x : x  0}. This set is not an interval; it is the union of
two intervals - < x < 0 and 0 < x < . The solution (x) = x-1 must have an interval, so we must
choose one of the intervals. We can choose either one.

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 ■ Explicit and Implicit Solutions

Explicit solution: a solution in which the dependant variable is expressed solely in terms of the
independent variable and constants i.e of the form y = (x).
1
1 4 dy
y x is an explicit solution of the ODE  xy 2
16 dx

y = xex is an explicit solution of the ODE y'' - 2y' + y = 0

We can think of an explicit solution as an explicit formula y = (x) which we can manipulate,
evaluate and differentiate using standard rules.

The solutions of some ODEs (particularly non-linear ones) are not explicit i.e. not y = (x).
We end up with an expression G(x, y) = 0 that defines a solution  implicitly.

Implicit solution of an ODE: a relation G(x , y) = 0 is said to be an implicit solution of an ODE on an

interval I provided there exists at least one function  that satisfies the relation as well as the
differential equation on I.

We shall assume that if by solving the ODE we get a relation G(x, y) = 0, then there is at least one
function  that satisfies both the relation i.e. G(x, (x)) = 0, and the ODE on interval I.
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Example 3 Verification of an Implicit Solution

dy x
The relation x2 + y2 = 25 is an implicit solution of the ODE   on the interval
defined by -5 < x < 5. dx y

 
By implicit differentiation: d y 2  x 2

d 25
dx dx
   
dy 2

dx 2
0
dx dx
 
d y 2 dy
  2x  0
dy dx
dy
2y   2 x
dx
dy  2 x  x
  
dx 2y y
Solving x + y = 25 for y in terms of x gives y   25  x 2
2 2

The two functions y = 1(x) = 25  x 2 and y = 2 (x) =  25  x 2

satisfy the relation (i.e. x2 + 12 = 25 and x2 + 22 = 25) and are
explicit solutions defined on the interval (-5,5).

dy x
Any relation of the form x2 + y2 - c = 0 satisfies the ODE   for any constant c.
dx y
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