3-23-2008

Linear Homogeneous Differential Equations

The full description of these equations is: Linear constant coefficient homogeneous equations. The
equations described in the title have the form
an y (n) + + a2 y + a1 y + a0 y = 0.
Here y is a function of x, and an , . . . , a0 are constants. Linear means the equation is a sum of the
derivatives of y, each multiplied by x stuff. (In this case, the x stuff is constant.) Homogeneous means that
the right side is 0 theres no term involving only x.
d
Its convenient to let D =
stand for the operation of differentiating with respect to x. (Note that
dx
dy
d
is the operation of differentiation, whereas Dy =
is the derivative.) In this notation, D2
D =
dx
dx
computes the second derivative, D3 computes the third derivative, and so on. The equation above becomes
(an Dn + a2 D2 + a1 D + a0 )y = 0.

Example. The following equations are linear homogeneous equations with constant coefficients:
y + 3y + 3y + y = 0,
y 5y 6y = 0,
((D 1)(D 2)(D )y = 0.

A solution to the equation is a function y = f (x) which satisfies the equation. Equivalently, if you think
of an Dn + a2 D2 + a1 D + a0 as a linear transformation, it is an element of the kernel of the transformation.
The general solution is a linear combination of the elements of a basis for the kernel, with the
coefficients being arbitrary constants.
The form of the equation makes it reasonable that a solution should be a function whose derivatives are
constant multiples of itself. emx is such a function:
d mx
e = remx ,
dx

d mx
e = m2 emx ,
dx2

...,

dn mx
e = mn emx .
dxn

Plug emx into

y (n) + bn1 y (n1) + + b2 y + b1 y + b0 y = 0.
The result:
mn emx + bn1 mn1 emx + + b2 m2 emx + b1 memx + b0 emx = 0.
Factor out emx and cancel it. This leaves
mn + bn1 mn1 + + b2 m2 + b1 m + b0 = 0.
Thus, emx is a solution to the original equation exactly when m is a root of this polynomial. The
polynomial is called the characteristic polynomial; as the derivation showed, its obtained by building a
polynomial using the coefficients of the original differential equation.

Example. Solve y 5y 6y = 0.
The characteristic polynomial is m2 5m 6; solving m2 5m 6 = 0 yields (m 6)(m + 1) = 0, so
m = 6 or m = 1. The general solution is
y = c1 e6x + c2 ex .
You can check this by plugging back in. Here are the derivatives:
y = c1 e6x + c2 ex ,

y = 6c1 e6x c2 ex ,

y = 36c1 e6x + c2 ex .

Therefore,






y 5y + 6y = 36c1 e6x + c2 ex 5 6c1 e6x c2 ex 6 c1 e6x + c2 ex = 0.
Example. Solve (D4 9D2 + 20)y = 0.
Its easy to write down the characteristic equation: just replace the Ds with ms:

m4 9m2 + 20 = 0, (x2 4)(x2 5) = 0, (x 2)(x + 2)(x 5)(x + 5) = 0.

The roots are 2 and 5. (Dont fall into the trap of assuming that roots must be integers, or even
rationals!) The solution is

y = c1 e2x + c2 e2x + c3 e 5x + c4 e 5x .

What happens if there are repeated roots? Look at the equation y 2y + y = 0. The characteristic
equation is x2 2x + 1 = 0, which has x = 1 as a double root. It is true that ex is a solution, but it would
be incorrect to write y = c1 ex + c2 ex .
The terms c1 ex and c2 ex are redundant you could combine them to get y = (c1 + c2 )ex = c3 ex . To
put it another way, as function ex and ex are linearly dependent.
It is reasonable to suppose that for a second order equation you should have two different solutions. ex
is one; how can you find another?
The idea is to guess the form that such a solution might take. Guess:
y = f (x)ex ,
i.e. something times the known solution ex . What should f be?
To find f , plug f (x)ex into the equation. Here are the derivatives:
y = f (x)ex ,

y = f (x)ex + f (x)ex ,

y = f (x)ex + 2f (x)ex + f (x)ex .

Plug them in:

y 2y + y = (f (x)ex + 2f (x)ex + f (x)ex ) 2(f (x)ex + f (x)ex ) + f (x)ex = f (x)ex = 0.
Hence, f (x) = 0. Integrate twice and obtain f (x) = c1 + c2 x. Thus,
y = c1 ex + c2 xex .
In fact, this is the general solution notice the two arbitrary constants. The functions ex and xex are
indpendent solutions to the original equation.
2

In general, if m is a repeated root of multiplicity k in the characteristic polynomial, you get terms emx ,
xe , . . . , xk1 emx in the general solution.
mx

Example. Solve

d2 y
dy
d3 y

3
+3
y = 0.
3
2
dx
dx
dx

The characteristic equation is m3 3m2 + 3m 1 = 0, which has m = 1 as a root with multiplicity 3.

The general solution is
y = c1 ex + c2 xex + c3 x2 ex .

Example. Solve (D2 1)(D2 D 2)y = 0.

The characteristic equation is (m2 1)(m2 m 2) = 0, or (m 1)(m + 1)2 (m 2) = 0. The roots are
1, 2, and 1 (double). The general solution is
y = c1 ex + c2 e2x + c3 ex + c4 xex .
Note: You can write the terms in the solution in any order you please. Nor does it matter which c
goes with which term, since they are arbitrary constants.

Example. (Linear systems) Suppose x and y are functions of t. Consider the system of differential
equations
dx
dy
= x = x + 4y,
= y = 2x + 3y.
dt
dt
I want to solve for x and y in terms of t.
Solve the second equation for x:
1
x = (y 3y) .
2
Differentiate:
1
x = (y 3y ) .
2
Plug the expressions for x and x into the first equation:
1
1
(y 3y ) = (y 3y) + 4y.
2
2
Simplify:
y 4y 5y = 0.
The characteristic equation is m2 4m 5 = 0, or (m 5)(m + 1) = 0. The roots are m = 5 and
m = 1. Therefore,
y = c1 e5t + c2 et .
Now y = 5c1 e5t c2 et , so
x=


1
1
(y 3y) =
5c1 e5t c2 et 3 c1 e5t + c2 et = c1 e5t 2c2 et .
2
2

There are other ways of solving linear systems, but for small systems brute force works reasonably well!

Now suppose the characteristic equation has a complex root a + bi. From basic algebra, complex roots
of real polynomials come in conjugate pairs: a + bi and a bi. Its reasonable to expect solutions
c1 e(a+bi)x

and

c2 e(abi)x .

However, these are complex solutions, and you should have real solutions to the original real differential
equation. Ill use the complex exponential formula
ei = cos + i sin ,

R.

You can derive this formula by considering the Taylor series for ei , cos , and sin .
Now
c1 e(a+bi)x + c2 e(abi)x = c1 eax eibx + c2 eax eibx =
eax (c1 (cos bx + i sin bx) + c2 (cos bx i sin bx)) = eax ((c1 + c2 ) cos bx + i(c1 c2 ) sin bx) .

Let c3 = c1 + c2 and c4 = i(c1 c2 ). Observe that c1 and c2 can be solved for in terms of c3 and c4 , so
no generality is lost with this substitution. Then
c1 e(a+bi)x + c2 e(abi)x = eax (c3 cos bx + c4 sin bx).
Each pair of conjugate complex roots abi in the characteristic equation generates a pair of independent
solutions of this form.

Example. Solve y + y = 0.
The characteristic equation m2 + 1 = 0 has roots i. The solution is
y = c1 cos x + c2 sin x.

Example. Solve (D2 + 2D + 5)y = 0.

The characteristic equation m2 + 2m + 5 = 0 has roots m = 1 2i. The solution is
y = ex (c1 cos 2x + c2 sin 2x).

Example. Solve (D3 + 1)y = 0.

The characteristic
polynomial m3 + 1 factors into (m + 1)(m2 m + 1). The roots are m = 1 and

3
1
. The solution is
m= i
2
2

!
3
3
x
x/2
c2 cos
y = c1 e + e
x + c3 sin
x .
2
2

Example. Solve (D2 + 4)2 y = 0.

The characteristic equation (m2 + 4)2 = 0 has repeated complex roots: m = 2i (each double). The
solution is
y = c1 cos 2x + c2 sin 2x + c3 x cos 2x + c4 x sin 2x.
(Whats the solution to (D2 + 2D + 5)2 y = 0?)

c 2008 by Bruce Ikenaga