Differential Equations PDF

Chapter 5
Second Order Differential

Equations
5.1
Second Order Linear Differential Equations
A second order differential equation is an equation of the form

d2 y
dy
= f (t, y, ).
2
dt
dt
In general, second order differential equation arise quite often in applications, but they are extremely difficult to solve. We only succeed in solving
the special kind of equation, second order linear differential equation together with an initial condition:
d2 y
dy
+ p(t) + q(t)y = g(t),
2
dt
dt
y(t0 ) = y0 , y 0 (t0 ) = y00 ,
(5.1)
where p(t), q(t) and g(t) are continuous functions in t, and y(t0 ) = y0 denotes
the initial position and y 0 (t0 ) = y00 denotes the initial velocity.
The equation is homogeneous if g(t) = 0. Fortunately, many of the
second order equations that appear in applications are of this form.
Theorem 5.1.1 [Fundamental Theorem of Ordinary Differential Equation
II] Let the functions p(t) and q(t) are continuous in (, ). Then there exists
a unique solution y = (t) of the initial value problem of the homogeneous
equation:
d2 y
dy
+ p(t) + q(t)y = 0,
2
dt
dt
139
y(t0 ) = y0 , y 0 (t0 ) = y00 ,
140
Chapter 5.
Second Order Differential Equations
on the entire interval (, ). In particular, the solution y = (t) satisfying

y(t0 ) = 0 and y 0 (t0 ) = 0 at some time t = t0 must be identically zero.
From this theorem, one can now try to find the unique solution, and all
possible solutions of the homogeneous equation depending on the various
initial conditions.
For notational convenience, we introduce differential operators:
D=
d
,
dt
D2 =
d2
,
dt2
etc.
which make sense only when they are applied to a function y:

d
dy
(y) =
= y0
dt
dt
d2
d2 y
D2 y = 2 (y) = 2 = y 00 ,
dt
dt
Dy =
etc.
Let L = D2 + pD + q, where p, q are continuous functions on (, ). Then

the given equation can be written as
L[y](t) = (D2 + pD + q)[y](t)
= D2 (y(t)) + p(t)D(y(t)) + q(t)y(t)
= y 00 (t) + p(t)y 0 (t) + q(t)y(t).
The following rules are easy to derive:
L[c1 y1 + c2 y2 ] = c1 L[y1 ] + c2 L[y2 ],
c1 , c2 constants .
An operator satisfying this property is called a linear operator. It follows

from this property of L that, if y1 (t) and y2 (t) are solutions of L[y](t) = 0,
so is c1 y1 + c2 y2 for any constants c1 and c2 .
Example 5.1.1 If L = D2 + 1, then L[y](t) = y 00 (t) + y(t) = 0. One can
easily verify that y1 (t) = cos t and y2 (t) = sin t are two distinct solutions,
and so is y(t) = c1 cos t + c2 sin t, where c1 , c2 are constants. In fact, every
solution y(t) is of this form: Suppose that the initial conditions are given
as y(0) = y0 and y 0 (0) = y00 . Then the function (t) = y0 cos t + yo0 sin t
is a solution satisfying the initial conditions, and so, by the uniqueness,
f (t) = (t).
Such two solutions cos t and sin t of L[y](t) = y 00 (t) + y(t) = 0 are said to be
linearly independent. In general, we have:
5.1.
Second Order Linear Differential Equations
141
Definition 5.1.1 Two functions y1 (t) and y2 (t) are said to be linearly
dependent on (, ) if one of them is a constant multiple of the other on
(, ): that is, if there are some constants (c1 , c2 ) 6= (0, 0), or c 6= 0, such
that
c1 y1 (t) + c2 y2 (t) = 0,
for all t (, ),
or y2 (t) = cy1 (t),
for all t (, ).
Otherwise, they are said to linearly independent.

Note that two linearly independent functions may be constant multiple
of each other on some subinterval of (, ), but not on the whole interval.
That is, for two functions to be linearly independent, they only need to be
not constant multiple of the other on a (small) subinterval of (, ).
The following is one of the criteria for linear dependence of two functions:
Definition 5.1.2 For two functions y1 (t) and y2 (t) on (, ), the function
y1 (t) y2 (t)
W (t) = W [y1 , y2 ](t) = det
= y1 (t)y20 (t) y10 (t)y2 (t)
y10 (t) y20 (t)
is called the Wronskian of y1 (t) and y2 (t).
It is easy to see that, if y2 (t) = cy1 (t) on (, ), then W [y1 , y2 ](t) = 0 for
all t (, ). In general, the converse is not true: i.e., W [y1 , y2 ](t) = 0 for
all t (, ) does not imply the linear dependence of y1 and y2 , since the
constant c in y2 (t) = cy1 (t) may be different depending on t. However, if
the two functions are solutions of a second order linear differential equation
L[y](t) = 0, then the converse is also true by the following:
Lemma 5.1.2 Let L = D2 + pD + q, where p, q are continuous functions
on (, ), and let y1 (t) and y2 (t) be two solutions of L[y](t) = 0 on (, ).
Then the Wronskian W (t) = W [y1 , y2 ](t) of y1 (t) and y2 (t) satisfies
W 0 (t) + p(t)W (t) = 0.
In particular, W [y1 , y2 ] is either 0 or 6= 0 on (, ).
Proof: Note that
W 0 (t) = y1 (t)y200 (t) + y10 (t)y20 (t) y10 (t)y20 (t) y100 (t)y2 (t)
= y1 (t)y200 (t) y100 (t)y2 (t)
= p(t)(y1 (t)y20 (t) y10 (t)y2 (t)) = p(t)W (t),
142
Chapter 5.
since y200 (t) = p(t)y20 (t)q(t)y2 (t), and y100 (t) = p(t)y10 (t)q(t)y1 (t). Thus
Z
0, t (, ), if W (t0 ) = 0
W (t) = W (t0 ) exp( p(s)ds) =
6= 0, t (, ), if W (t0 ) 6= 0.
Theorem 5.1.3 Let y1 (t) and y2 (t) be two solutions of L[y](t) = 0 on
(, ). If W (t0 ) = W [y1 , y2 ](t0 ) = 0 for some t0 (, ), then y2 (t) = cy1 (t)
for all t (, ).
Proof: Suppose W (t0 ) = W [y1 , y2 ](t0 ) = 0 for some t0 (, ). We want
to show that there are some constants (c1 , c2 ) 6= (0, 0) such that
c1 y1 (t) + c2 y2 (t) = 0,
for all
t (, ).
However, we know that the system
c1 y1 (t0 ) + c2 y2 (t0 ) = 0
c1 y10 (t0 ) + c2 y20 (t0 ) = 0
has a nontrivial solution (c1 , c2 ) 6= (0, 0) if and only if W (t0 ) = W [y1 , y2 ](t0 ) =
0. For this nontrivial solution (c1 , c2 ), let y(t) = c1 y1 (t) + c2 y2 (t) for
t0 (, ). Then y(t) is a solution of L[y](t) = 0 with the initial conditions y(t0 ) = 0 and y 0 (t0 ) = 0. Since y(t) 0 is also a solution of this initial
value problem, by Theorem 5.1.1, y(t) = c1 y1 (t) + c2 y2 (t) 0 on (, ): i.e.,
y1 (t) and y2 (t) are linearly dependent on (, ). Note that, by Lemma 5.1.2,
W (t) = 0 for all t (, ).
Corollary 5.1.4 Let y1 (t) and y2 (t) be two solutions of L[y](t) = 0 on

(, ). Then they are linearly independent on (, ) if and only if
W (t0 ) = W [y1 , y2 ](t0 ) 6= 0
for some t0 (, ) (and so W (t) = W [y1 , y2 ](t) 6= 0 for all t (, )),
and linearly dependent on (, ) if and only if W (t0 ) = W [y1 , y2 ](t0 ) = 0
for some t0 (, ) (and so W (t) = W [y1 , y2 ](t) = 0 for all t (, )).
Theorem 5.1.5 Suppose that y1 (t) and y2 (t) are solutions of L[y](t) = 0
on (, ). If y1 (t) and y2 (t) are linearly independent on (, ), then
y(t) = c1 y1 (t) + c2 y2 (t)
is the general solution of L[y](t) = 0, that is, any solution is of this form.
5.2. H2 O-LDE WITH CONSTANT COEFFICIENTS
143
Proof: Let y(t) be a solution of L[y](t) = 0 on (, ). We want to find

some constants (c1 , c2 ) such that y(t) = c1 y1 (t) + c2 y2 (t). Let
y(t0 ) = c1 y1 (t0 ) + c2 y2 (t0 ) = y0
y 0 (t0 ) = c1 y10 (t0 ) + c2 y20 (t0 ) = y00
for t0 (, ). The solution (c1 , c2 ):
c1 =
c2 =
y0 y20 (t0 ) y00 y2 (t0 )

y1 (t0 )y20 (t0 ) y10 (t0 )y2 (t0 )
y0 y10 (t0 ) y00 y1 (t0 )
,
y1 (t0 )y20 (t0 ) y10 (t0 )y2 (t0 )
of the system gives the solution (t) = c1 y1 (t) + c2 y2 (t) of L[y](t) = 0 with
(t0 ) = y0 and 0 (t0 ) = y00 . By the uniqueness of the solution, y(t) = (t).
Definition 5.1.3 A set of linearly independent solutions {y1 (t), y2 (t)} is

called a fundamental set of solutions.
Hence, to find all the solutions of a homogeneous second order linear
differential equation (H2 O-LDE), it is good enough to find two linearly independent solution.
5.2
H2 O-LDE with Constant Coefficients
We now restrict our attention to the homogeneous 2-nd order linear differential equations (H2 O-LDE) with constant coefficients of the form:
L[y](t) = (aD2 + bD + c)(y(t)) = ay 00 (t) + by 0 (t) + cy(t) = 0,
where a, b, c are constants. By a direct inspection of the equation, we
can easily recognize that if y is a solution, then y, y 0 and y 00 must be of
the same type, since they must cancel each other. We know that only
exponential function has such a property. Thus we guess a solution is of the
form y(t) = ert for some constant r. Then we have
L[y](t) = ay 00 (t) + by 0 (t) + cy(t)
= ar2 ert + brert + cert
= (ar2 + br + c)ert = 0,
or ar2 + br + c = 0,
since ert 6= 0.
144
Chapter 5.
The last equation is called the characteristic equation of the differential

equation. Thus,
b + b2 4ac
b b2 4ac
r1 =
, r2 =
.
2a
2a
Case 1: r1 and r2 are distinct real numbers. Then y1 (t) = er1 t , and
y2 (t) = er2 t are two distinct solutions with
rt
e1
er2 t
W (t) = det
= (r2 r1 )e(r1 +r2 )t 6= 0.
r1 er1 t r2 er2 t
Thus they are linearly independent so that the general solution is
y(t) = c1 er1 t + c2 er2 t .
Example 5.2.1 Find the solution y(t) of the initial value problem
y 00 + 4y 0 2y = 0,
y(0) = 1, y 0 (0) = 2.
Solution: The characteristic equation r2 + 4r 2 = 0 has two solutions:
4 + 16 + 8
4 16 + 8
r1 =
= 2 + 6, r2 =
= 2 6.
2
2
Thus the general solution is
y(t) = c1 e(2+
6)t
+ c2 e(2
6)t
The constants c1 and c2 are to be determined from the initial conditions
y(0) = c1 + c2 = 1, (2 + 6)c1 + (2 6)c2 = 2.

By solving these equations for c1 and C2 , we get
1
2
c1 = + ,
6 2
c2 =
1
2
,
2
6
so that the particular solution is
2
1 (2+6)t
1
2
y(t) = +
+
e
)e(2 6)t .
2
6 2
6
5.2.
145
Case 2: r1 and r2 are complex numbers. They are conjugate to each

other:
b + i 4ac b2
b i 4ac b2
r1 =
, r2 =
.
2a
2a
In this case, we encounter two difficulties: On the one hand, the function ert
is not defined for complex number r, and on the other hand, we still need
two real valued solutions.
(1) If we write r1 = + i, then r2 = i. Then by the law of
exponents
e(+i)t = et eit .
Thus we first need to define eit for real. For this, recall that
ex = 1 + x +
x2
xn
+ +
+ ,
2!
n!
which makes sense even for x complex. Thus

(it)n
(it)2
+ +
+
eit = 1 + (it) +
2!
n!
(t)2
(1)k (t)2k
=
1
+ +
+
2!
(2k)!
3
(t)
(1)k (t)2k+1
+i (t)
+ +
+
3!
(2k + 1)!
= cos t + i sin t.
Therefore,
e(+i)t = et eit = et (cos t + i sin t).
(2) We now have two complex valued functions:
y1 (t) = e(+i)t = et eit = et (cos t + i sin t)
y2 (t) = e(i)t = et eit = et (cos t i sin t),
which are possible solutions, but they are not real valued functions. However, if we write such a complex valued solution as y(t) = u(t) + iv(t) for
real valued functions u(t) and v(t), then
L[y](t) = a[u00 (t) + iv 00 (t)] + b[u0 (t) + iv 0 (t)] + c[u(t) + iv(t)]
= L[u](t) + iL[v](t) = 0.
146
Chapter 5.
Thus L[u](t) = 0 = L[v](t), so that u(t) and v(t) are also solutions, which
are two real valued solutions that we are looking for.
u(t) = et cos t,
v(t) = et sin t.
From the direct computation, we get

W [u, v](t) = e2t 6= 0, if 6= 0.
Therefore, the general solution is
y(t) = c1 u(t) + c2 v(t) = et (c1 cos t + c2 sin t),
where =
b
2a
and =
4acb2
2a
6= 0.
y 00 + 2y 0 + 4y = 0,
y(0) = 1, y 0 (0) = 1.
Solution: The characteristic equation r2 + 2r + 4 = 0 has two solutions:
r1 = 1 + i 3, r2 = 1 i 3.
Thus
u(t) = et cos 3t,
v(t) = et sin 3t
are two real valued solutions, so that the general solution is
y(t) = et (c1 cos 3t + c2 sin 3t).

The constants c1 and C2 are to be determined from the initial conditions
y(0) = c1 = 1, y 0 (0) = c1 + 3c2 = 1.

By solving these equations for c1 and c2 , we get
c1 = 1,
2
c2 = ,
3
so that the particular solution is
2
y(t) = et (cos 3t + sin 3t).
3
5.2.
147
Case 3: r1 = r2 : repeated roots. This is the case in which b2 4ac = 0,

b
or = 0 in the case 2, so that r1 = r2 = 2a
= , and we have only one
solution
b
y1 (t) = et = e 2a t .
To find the general solution, we need a second solution that is not a
constant multiple of y1 (t) since cy1 (t) is a linearly dependent solution. In
the eighteenth century J.DAlembert replaced c by a function v(t) and then
tried to find v(t) so that y2 (t) = v(t)y1 (t) becomes a solution:
y20 = vy10 + v 0 y1 ,
y200 = vy100 + 2v 0 y10 + v 00 y1 ,
L[y2 ] = a(vy100 + 2v 0 y10 + v 00 y1 ) + b(vy10 + v 0 y1 ) + cvy1

= ay1 v 00 + (2ay10 + by1 )v 0 + (ay100 + by10 + cy1 )v
= ay1 v 00 = 0,
b
b 2a t
since y1 is a solution of ay 00 (t) + by 0 (t) + cy(t) = 0, and y10 (t) = 2a
e
.
Thus v(t) = t, and y2 (t) = ty1 (t) is a second solution. Moreover,
t
e
tet
W [y1 , y2 ](t) = det
= et 6= 0
et (1 + t)et
shows they form a fundamental set of solutions. Therefore, the general

solution is
y(t) = c1 y1 (t) + c2 ty1 (t) = (c1 + c2 t)y1 (t).
y 00 + 4y 0 + 4y = 0,
y(0) = 1, y 0 (0) = 3.
Solution: The characteristic equation r2 + 4r + 4 = 0 has two equal solutions: r1 = 2 = r2 . Thus

y(t) = e2t (c1 + c2 t)
is the general solution. From the initial conditions
1 = y(0) = c1 ,
3 = y 0 (0) = 2c1 + c2 ,
we get c1 = 1, c2 = 5 so that the particular solution is

y(t) = e2t (1 + 5t).
148
Chapter 5.
In general, if we have only one solution y1 (t) of a H2 O-LDE

L[y](t) = (D2 + p(t)D + q(t))y(t) = y 00 (t) + p(t)y 0 (t) + q(t)y(t) = 0,
a second solution can be y2 (t) = y1 (t)v(t). Then
y20 = vy10 + v 0 y1 , y200 = vy100 + 2v 0 y10 + v 00 y1 ,

L[y2 ] = vy100 + 2v 0 y10 + v 00 y1 + p(vy10 + v 0 y1 ) + qvy1
= y1 v 00 + (2y10 + py1 )v 0 + (y100 + py10 + qy1 )v
= y1 v 00 + (2y10 + py1 )v 0 = 0,
since y1 is a solution. By setting v 0 (t) = u(t),

= y1 u0 + (2y10 + py1 )u = 0,
which is now a first order equation. Now we know what the solution of this
equation is:
Z 0
Z
Z
1
y1
0
dt p(t)dt = 2 exp p(t)dt .
v (t) = u(t) = exp 2
y1
y1
Then,
exp p(t)dt
v(t) =
dt.
y1 (t)2
It is easy to see that W [y1 , y2 ] 6= 0 so that {y1 (t), y2 (t)} is a fundamental
set of solutions, where
R
Z
exp p(t)dt
y2 (t) = y1 (t)v(t) = y1 (t)
dt.
y1 (t)2
Z
This is called the method of reduction of order since the problem is

reduced to solving a first order equation.
Example 5.2.4 Find the general solution y(t) of
2t2 y 00 + 3ty 0 y = 0,
t > 0.
Solution: One can easily verify that y1 (t) = 1t is a solution. Set y2 (t) =
R
R 1
3
32
1
, and
t v(t). Then exp( p(t)dt) = exp( 2
t dt) = t
3
Z
Z
Z
1
t 2
2 3
2 23
v(t) =
dt = t t dt = t 2 dt = t 2 .
y1 (t)2
3
Hence, y2 (t) =
1 2 23
t 3t
= 23 t1/2 and the general solution is

1
c1
y(t) = c1 y1 + c2 y2 =
+ c2 t 2 .
t
5.2.
149
(1 t2 )y 00 + 2ty 0 2y = 0,
y(0) = 3, y 0 (0) = 4.
Solution: One can easily verify that y1 (t) = t is a solution. Now this
equation is equivalent to
y 00 +
Then
2
2t 0
y
y = 0.
2
1t
1 t2
Z exp R
Z
exp(ln(1 t2 ))
dt
=
d
t2
y12 (t)
Z
1 t2
1
=
d =
+t ,
t2
t
and so y2 (t) = t 1t + t = (1 + t2 ). Hence y(t) = c1 t c2 (1 + t2 ). Since

v(t) =
2t
dt
1t2
3 = y(0) = c2 ,
4 = y 0 (0) = c1 ,
we get c1 = 4, c2 = 3 so that the particular solution is

y(t) = 4t + 3(1 + t2 ).
Example 5.2.6 [Legendre Equation] Find the general solution y(t) of

(1 t2 )y 00 2ty 0 + 2y = 0.
Solution: One can easily verify that y1 (t) = t is a solution. Set y2 (t) =
tv(t). Then
Z
Z
2t
1
exp( p(t)dt) = exp(
dt) = exp( ln(1 t2 )) =
,
2
1t
1 t2
R
Z
exp( p(t)dt)
and v(t) =
dt
y1 (t)2
Z
Z
1
1
1
dt =
+
dt
=
(1 t2 )t2
t2 1 t2
Z
1
1 1
1
=
+
(
+
)
dt
t2 2 1 + t 1 t
1 1 1+t
.
= + ln
t
2 1t
150
Chapter 5.
Hence y2 (t) = tv(t) = 1 2t ln 1+t

1t , and the general solution is
t 1+t
y(t) = c1 t + c2 1 ln
.
2 1t
5.3
Nonhomogeneous Equations
Nonhomogeneous 2-nd order linear differential equations (NH2 O-LDE) is of

the form:
L[y](t) = (D2 + pD + q)(y(t)) = y 00 (t) + p(t)y 0 (t) + q(t)y(t) = g(t),
where p, q, g are continuous functions on an interval I = (, ).
Theorem 5.3.1 Let Y1 (t) and Y2 (t) be any two solutions of L[y](t) = g(t),
and y1 (t) and y2 (t) be linearly independent solutions of L[y](t) = 0. Then
Y2 (t) = c1 y1 (t) + c2 y2 (t) + Y1 (t),
for some constants c1 and c2 .
Proof: By a direct computation:
L[Y2 Y1 ](t) = L[Y2 ](t) L[Y1 ](t) = g(t) g(t) = 0.
Thus Y2 (t) Y1 (t) is a solution of L[y](t) = 0, that is,
Y2 (t) = c1 y1 (t) + c2 y2 (t) + Y1 (t),
for some constants c1 and c2 .

L[y](t) = y 00 + y = t.
Solution: The characteristic roots are r = i, so that a fundamental set of
solutions of the homogeneous equation L[y](t) = y 00 + y = 0 is {cos t, sin t}.
It is now easy to verify that Y1 (t) = t is a particular solution of the given
nonhomogeneous equation. Thus, the general solution is
y(t) = c1 cos t + c2 sin t + t.
5.3.
Variation of Parameters
151
Example 5.3.2 Three particular solutions of a certain NH2 O LDE are

known as
Y1 (t) = t, Y2 (t) = t + et , Y1 (t) = 1 + t + et .
Find the general solution the NH2 O LDE.
Solution: By Theorem 10.3.2,
Y2 (t) Y1 (t) = et ,
Y3 (t) Y2 (t) = 1
are solutions of the corresponding homogeneous equation, which are also

linearly independent. Thus the general solution is
y(t) = c1 et + c2 + t.
5.3.1
Variation of parameters
To find a particular solution of a NH2 O LDE

L[y](t) = y 00 (t) + p(t)y 0 (t) + q(t)y(t) = g(t),
(5.2)
one can use the general solution of the corresponding H2 O LDE:

L[y](t) = y 00 (t) + p(t)y 0 (t) + q(t)y(t) = 0.
(5.3)
Let y1 (t) and y2 (t) be two linearly independent solutions of Equation (5.3).
Then the general solution is
yc (t) = c1 y1 (t) + c2 y2 (t).
The basic idea in the method of variation of parameters is to replace c1
and c2 by functions u1 (t) and u2 (t), and then determine these functions so
that
y(t) = u1 (t)y1 (t) + u2 (t)y2 (t)
becomes a solution of the Equation (5.2).
It seems that we are making the problem more complicated since we
are replacing the problem of finding one unknown function y(t) by a harder
problem of finding two unknown functions u1 (t) and u2 (t). However, we
will see that they are found as the solutions of two very simple first order
equations. The main advantage of this method of variation of parameters
152
Chapter 5.
is that it is a general method: in principle at least, it can be applied to

any equation, and it requires no detailed assumption about the form of
the solution. On the other hand, this method eventually requires that we
evaluate certain integrals involving the nonhomogeneous term g(t), which
may present difficulties.
For y = u1 y1 + u2 y2 , compute L[y]:
y 0 = (u1 y10 + u2 y20 ) + (u01 y1 + u02 y2 )
= (u1 y10 + u2 y20 ),
if we impose u01 y1 + u02 y2 = 0.
y 00 = u1 y100 + u01 y10 + u2 y200 + u02 y20 .
L[y] = (u01 y10 + u02 y20 ) + u1 (y100 + py10 + qy1 ) + u2 (y200 + py20 + qy2 )
= u01 y10 + u02 y20 = g(t),
since y1 (t) and y2 (t) are solutions of (5.3). Thus, y = u1 y1 + u2 y2 is a

solution of (5.2) if u1 (t) and u2 (t) satisfy
u01 y1 + u02 y2 = 0
u01 y10 + u02 y20 = g(t).
Since
W [y1 , y2 ](t) =
y1 y2
y10 y20
(t) = y1 (t)y20 (t) y10 (t)y2 (t) 6= 0,
one can solve the system of equations for u01 (t) and u02 (t):
g(t)y2 (t)
u01 (t) =
,
W [y1 , y2 ](t)
Z
g(t)y2 (t)
dt,
u1 (t) =
W [y1 , y2 ](t)
g(t)y1 (t)
.
W [y1 , y2 ](t)
Z
g(t)y1 (t)
u2 (t) =
dt.
W [y1 , y2 ](t)
u02 (t) =
These are the most general form of solutions. However, these integrals are
not easy to evaluate in general.
L[y](t) = t2 y 00 + ty 0 y = t ln t, on (0, ).
Solution: One can easily verify that y1 (t) = t and y2 (t) = 1t are linearly
independent solutions of the homogeneous equation L[y](t) = t2 y 00 +ty 0 y =
0, with
W [y1 , y2 ](t) = y1 (t)y20 (t) y10 (t)y2 (t) = t(
1
1
2
) = 6= 0.
2
t
t
t
5.3.
Variation of Parameters
153
Thus we have
u01 (t) =
u02 (t) =
so that
ln t 1
g(t)y2 (t)
ln t
= t 2t =
,
W [y1 , y2 ](t)
2t
t
ln t
t
g(t)y1 (t)
t ln t
= t2 =
,
W [y1 , y2 ](t)
2
t
ln t
(ln t)2
u1 (t) =
dt =
,
2t
4
Z
t ln t
t2 (2 ln t 1)
u2 (t) =
dt =
.
2
8
Consequently, the general solution is
1
1 (ln t)2
t t ln t,
y(t) = c1 t + c2 +
t
4
4
where
t
8
in u2 (t) 1t is absorbed in c1 t.
Example 5.3.4 Find a particular solution y(t) of

L[y](t) = y 00 + y = tan t, with y(0) = 1, y 0 (0) = 1, on ( , ).
2 2
Solution: The characteristic roots are r = i, so that a fundamental set of
solutions of the homogeneous equation L[y](t) = y 00 + y = 0 is {cos t, sin t}
with
W [y1 , y2 ](t) = y1 (t)y20 (t) y10 (t)y2 (t) = (cos t) cos t ( sin t) sin t = 1 6= 0.
Thus we have
g(t)y2 (t)
sin2 t
cos2 t 1
= tan t sin t =
=
,
W [y1 , y2 ](t)
cos t
cos t
g(t)y1 (t)
= tan t cos t = sin t,
W [y1 , y2 ](t)
u01 (t) =
u02 (t) =
so that
Z
Z
sin2 t
u1 (t) =
dt = (cos t sec t)dt = sin t ln(sec t + tan t),
cos t
Z
u2 (t) =
sin tdt = cos t.
154
Chapter 5.
Consequently, a particular solution is

Y (t) = cos t(sin t ln(sec t + tan t)) + sin t( cos t) = cos t ln(sec t + tan t),
on ( 2 , 2 ).
Since the general solution is
y(t) = c1 cos t + c2 sin t cos t ln(sec t + tan t),
for the initial condition,
1 = y(0) = c1 ,
1 = y 0 (0) = c2 1, or c2 = 2.
Thus, the solution we are looking for is

y(t) = cos t + 2 sin t cos t ln(sec t + tan t).
5.3.2
Method of undetermined coefficients
As mentioned earlier, a serious disadvantage of the method of variation of

parameters is that the integrations required are often quite difficult. In
certain cases it is usually much simpler to guess a particular solution. In
this section we will establish a systematic method for guessing solutions of
N-H2 O LDE with constant coefficients:
L[y](t) = ay 00 (t) + by 0 (t) + cy(t) = g(t), a, b, c constants,
whose solutions can be guessed depending on the form of the nonhomogeneous term g(t) as follows:
Case 1: g(t) = d0 + d1 t + + dn tn , a polynomial in t of degree n:
One can easily guess that a solution must be also a polynomial:
y(t) = A0 + A1 t + + An tn
of the same degree n. Then
L[y](t) = a(2A2 + + n(n 1)An tn2 ) + b(A1 + + nAn tn1 )
+c(A0 + A1 t + + An tn )
= (2aA2 + bA1 + cA0 ) + + (nbAn + cAn1 )tn1 + cAn tn
= d 0 + d 1 t + + d n tn .
5.3.
Method of Undetermined Coefficients
155
Therefore, for c 6= 0,
cAn = dn ,
An =
cAn1 + nbAn = dn1 ,
An1
..
.
2aA2 + bA1 + cA0 = d0 ,
dn
,
c
dn1
dn
=
nb 2 ,
c
c
1
A0 = (d0 bA1 2aA2 ).
c
If c = 0 and b =
6 0, then L[y](t) = ay 00 + by 0 is a polynomial of degree
n 1 while g(t) is of degree n. Thus the solution can of the form:
y(t) = t(A0 + A1 t + + An tn ),
and the coefficients are determined by the same process. Note that we
omitted the constant term in this solution since y = a constant is a solution
of the homogeneous equation L[y](t) = ay 00 + by 0 = 0 and so is contained in
the general solution of the homogeneous equation.
If b = c = 0, then
L[y](t) = ay 00 (t) = g(t), a constants
can be integrated directly to yield a solution:
t2
d0
d1
dn
y(t) =
+
t + +
tn .
a 12 23
(n + 1)(n + 2)
L[y](t) = y 00 + y + y = t2 .
Solution: (Method of undetermined coefficients:) Set
y(t) = A0 + A1 t + A2 t2
and compute
L[y](t) = y 00 + y + y
= 2A2 + (A1 + 2A2 t) + (A0 + A1 t + A2 t2 )
= (2A2 + A1 + A0 ) + (A1 + 2A2 )t + A2 t2
= t2
156
Chapter 5.
to yield
A2 = 1,
A1 + 2A2 = 0,
A1 = 2,
2A2 + A1 + A0 = 0,
A0 = 0,
and so y(t) = 2t + t2 is a particular solution.

(Method
of variation of parameters:) The characteristic roots are r =
3
1
2 i 2 , so that a fundamental set of solutions of the homogeneous equation
L[y](t) = 0 is
{y1 (t) = e
3
cos
t,
2
y2 (t) = e
y1 (t)y20 (t)
y10 (t)y2 (t)
t/2
t/2
3
sin
t}
2
with
W [y1 , y2 ](t) =
=e
3
6= 0.
2
Thus we have
3t
2
Z
3t
2
2 t/2
t e sin
u1 (t) =
dt,
dt =
2
3
et 23
Z
Z 2 t/2
t e
cos 23t
2
3t
2 t/2
t e cos
dt.
u2 (t) =
dt =
3
2
3
et 2
Z
t2 et/2 sin
These integrations are extremely difficult to evaluate.
Case 2: g(t) = (d0 + d1 t + + dn tn )et :

Set y(t) = et v(t). Then
y 0 = et (v 0 + v),
y 00 = et (v 00 + 2v 0 + 2 v),
so that
L[y](t) = et (av 00 + (2a + b)v 0 + (a2 + b + c)v).
Consequently, y(t) = et v(t) is a solution if and only if
av 00 + (2a + b)v 0 + (a2 + b + c)v = d0 + d1 t + + dn tn ,
whose solutions are of the form in case 1 according to the following three
cases:
5.3.
157
(1) If a2 + b + c 6= 0: i.e., is not a root of the characteristic equation

ar2 + br + c = 0 so that et is not a solution of L[y](t) = 0, then
y(t) = (A0 + A1 t + + An tn )et .
(2) If a2 +b+c = 0 but 2a+b 6= 0: i.e., is a root of the characteristic
equation ar2 + br + c = 0 so that et is a solution of L[y](t) = 0, but tet is
not, then
y(t) = t(A0 + A1 t + + An tn )et .
(3) If a2 + b + c = 0 and 2a + b = 0: i.e., is a double root of the
characteristic equation ar2 + br + c = 0 so that et and tet are solutions of
L[y](t) = 0, then
y(t) = t2 (A0 + A1 t + + An tn )et .
L[y](t) = y 00 4y + 4y = (1 + t + + t27 )e2t .
Solution: The characteristic roots are r1 = r2 = 2, so that this problem
belongs to case (3) above, and a fundamental set of solutions of the homogeneous equation L[y](t) = 0 is
{y1 (t) = e2t ,
y2 (t) = te2t }.
A particular solution can be y(t) = e2t v(t), where v(t) satisfies

v 00 (t) = g(t) = 1 + t + + t27 ,
so that
t2
t3
t29
+
+ +
.
12 23
28 29
Hence the general solution is
t2
t3
t29
2t
y(t) = e
c1 + c2 t +
+
+ +
.
12 23
28 29
v(t) =
It would be a terrible waste of paper and time if one plug the expression
y(t) = t2 (A0 + A1 t + + A27 t27 )e2t
into the given equation and try to find Ai s.
158
Chapter 5.

L[y](t) = y 00 3y + 2y = (1 + t)e3t .
Solution: The characteristic roots are r1 = 1 and r2 = 2, so that e3t is
not a solutions of the homogeneous equation L[y](t) = 0, and this problem
belongs to case (1) above. Set y(t) = (A0 + A1 t)e3t and compute
L[y](t) = y 00 3y + 2y(= ay 00 + by 0 + cy)
= e3t [A0 (ar2 + br + c) + A1 (2ar + b) + A1 (ar2 + br + c)])
= e3t (2A0 + 3A1 + 2A1 t), for r = 3, a = 1, b = 3, c = 2,
= e3t (1 + t).
Hence, 1 + t = 2A0 + 3A1 + 2A1 t, and so A1 = 21 , A0 = 14 . Therefore,
1 1
y(t) = ( + t)e3t .
4 2
Case 2: g(t) = (d0 + d1 t + + dn
tn )
cos t
:
sin t
Lemma 5.3.2 Let y(t) = u(t) + iv(t) be a complex valued solution of

L[y](t) = ay 00 (t)+by 0 (t)+cy(t) = g(t) = g1 (t)+ig2 (t), a, b, c real constants.
Then
L[u](t) = g1 (t),
L[v](t) = g2 (t).
This is quite clear, since

L[y](t) = L[u + iv](t) = L[u](t) + iL[v](t) = g1 (t) + ig2 (t).
Let y(t) = u(t) + iv(t) be a particular solution of
L[y](t) = (d0 + d1 t + + dn tn )eit
= (d0 + d1 t + + dn tn ) cos t + i(d0 + d1 t + + dn tn ) sin t.
Thus y(t) = u(t) is a solution of
L[y](t) = ay 00 (t) + by 0 (t) + cy(t) = (d0 + d1 t + + dn tn ) cos t,
and y(t) = v(t) is a solution of
L[y](t) = ay 00 (t) + by 0 (t) + cy(t) = (d0 + d1 t + + dn tn ) sin t.
5.3.
159

L[y](t) = y 00 + 4y = sin 2t.
Solution: The solution is the imaginary part of the solution of
L[y](t) = y 00 + 4y = ei2t .
The characteristic roots are r = i2, so that the equation has a particular
solution of the form y(t) = A0 tei2t . Since y 00 = A0 (i4 4t)ei2t ,
L[y](t) = y 00 + 4y = 4A0 (i t)ei2t 4A0 tei2t = i4A0 ei2t .
Thus, A0 =
1
4i
= i 14 and
it
it
t
t
y(t) = ei2t = (cos 2t + i sin 2t) = sin 2t i cos 2t.
4
4
4
4
Therefore, v(t) = 4t cos 2t is a particular solution.
As a byproduct, we also obtained a particular solution u(t) =
L[y](t) = y 00 + 4y = cos 2t.
t
4
sin 2t of

L[y](t) = y 00 + 2y 0 + y = tet cos t.
Solution: The solution is the real part of the solution of
L[y](t) = y 00 + 4y = te(1+i)t .
Note that 1 + i is not the characteristic roots since they are r1 = r2 =
1. Thus the equation has a particular solution of the form y(t) = (A0 +
A1 t)e(1+i)t , and so
L[y](t) = y 00 + 2y 0 + y = e(1+i)t t
= e(1+i)t (A0 ((1 + i) + 1)2 + A1 (2(1 + i) + 2) + A1 ((1 + i) + 1)2 t)
= e(1+i)t (A0 (2 + i)2 + A1 2(2 + i) + A1 (2 + i)2 t).
Thus, A1 =
1
(2+i)2
2
and A0 = (2+i)
3 so that
t
2
+
e(1+i)t
y(t) =
(2 + i)3 (2 + i)2
160
Chapter 5.
et
{[(15t 4) cos t + (20t 22) sin t]
125
+i [(22t 20) cos t + (15t 4) sin t]} .
e
Therefore, u(t) = 125
[(15t 4) cos t + (20t 22) sin t] is a particular solution.
et
As a byproduct, we also obtained a particular solution v(t) = 125
[(22t
20) cos t + (15t 4) sin t] of
L[y](t) = y 00 + 2y 0 + y = tet sin t.
P
Case 4: g(t) = kj=1 pj (t)ej t , where pj (t) are polynomials:
If yj (t) is a particular solution of L[y](t) = pj (t)ej t , for j = 1, . . . , k,
P
then y(t) = kj=1 yj (t) is a solution of the given equation since
k
k
k
X
X
X
L[y](t) = L
yj (t) =
L[yj ](t) =
pj (t)ej t .
j=1
j=1
j=1
Thus, a particular solution of

L[y](t) = y 00 + y 0 + y = et + t sin t
is the sum of the solutions y1 (t) and y2 (t) of
L[y](t) = et , and L[y](t) = t sin t,
respectively.
5.4
Applications to Mechanical Vibrations
The problem in this section will illustrate how the coefficients a, b, c and the
nonhomogeneous part g(t) in the N-H2 O LDE
L[y](t) = ay 00 (t) + by 0 (t) + cy(t) = g(t)
affect the solution.
An object of mass m is hanging on an elastic spring of length `, which
is suspended vertically from a ceiling. Hookes law of spring says that if
it is stretched or compressed a distance 4`, which is small compared to its
length `, then it exerts a restoring force Fs that is proportional to 4`: i.e.,
Fs = k4`,
5.4.
161
for some constant k, called the spring constant. In addition, the mass and
spring may be immersed in a medium such as oil which impedes the motion
of an object through it. This impedance is called a damping force.
If the restoring force, Fs = k4`, of the spring is exactly balanced by the
weight mg of the mass so that the mass is hanged at rest without any external force acting upon it, we say the mass is in the equilibrium position.
Thus, in equilibrium position, the spring has been stretched a distance 4`
so that k4` = mg, at this position we set y(0) = 0.
Let y(t) denote the position of the mass at time t by some external forces.
The total force acting on the mass m is the sum of four separate forces: W ,
R, D, and F :
(1) W = mg is the weight of the mass m pulling it downward. This force
is positive since we choose the downward direction as the positive y
direction.
(2) R is the restoring force of the spring which is negatively proportional
to the elongation or compression, 4` + y, i.e., R = k(4` + y).
(3) D is the damping (or resistance) force of the medium. This force also
always acts in the direction opposite the direction of motion, and is
directly proportional to the magnitude of the velocity dy
dt , i.e., D =
dy
c dt .
(4) F is the external force acting on the mass. This force in general will
depend explicitly on time.
The Newtons second law of motion is written as
my 00 (t) = W + R + D + F
dy
+ F (t)
dt
= ky(t) cy 0 (t) + F (t),
= mg k(4` + y) c
since mg = k4`. Thus, it is the second linear differential equation:

my 00 (t) + ky(t) + cy 0 (t) = F (t),
where m, c, k are nonnegative constants.
I. Undamped free vibrations: No damping force and no external force
are presented: c = 0, and F (t) = 0,
my 00 (t) + ky(t) = 0,
or y 00 + 02 y = 0, 02 =
k
.
m
162
Chapter 5.
Since the characteristic roots are r = i0 , the general solution is

y(t) = a cos 0 t + b sin 0 t,
= R cos cos 0 t + R sin sin 0 t, with a = R cos , b = R sin
p
b
= R cos(0 t ), with R = a2 + b2 , = tan1 ,
a
where R is called the amplitude, 0 is the natural frequency, the phase
angle. This solution is called simple harmonic motion.
2
0
=T
R 6
R cos
R = a2 + b2
- t
a
R
II. Damped free vibrations: c 6= 0, but no external force is presented,

F (t) = 0,
my 00 (t) + cy 0 + ky(t) = 0,
which is a H2 O LDE. The characteristic roots are
c + c2 4km
c c2 4km
r1 =
, r2 =
.
2m
2m
Three general solutions are possible depending on the discriminant c2 4km:
Note that since m, c, k 0, c2 4km c2 .
(1) If c2 4km > 0, then y(t) = aer1 t + ber2 t with ri < 0. This motion is
called overdamped.
c
(2) If c2 4km = 0, then y(t) = et (a + bt) with = 2m
. This motion
is called critically damped.
c
< 0,
(3) If c2 4km < 0, then, by writing rj = i with = 2m
4kmc2
,
2m
y(t) = et (a cos t + b sin t) = Ret cos(t + ).
5.4.
163
This motion is called underdamped, which occurs quite often in

mechanical systems and represents a damped vibration.
Note that in any case ri , < 0, so that eri t , et 0 as t . Especially,
in the third case, the displacement y(t) oscillates between the decreasing
c
amplitude curves Ret = Re 2m t , and dies out as t increases.
III. Damped and forced vibrations: A damping force and a periodic
external force are presented: c 6= 0 and F (t) = F0 cos t,
my 00 (t) + cy 0 (t) + ky(t) = F0 cos t,
which is a N-H2 O LDE. Using the method of undetermined coefficients, a
particular solution is the real part of the solution y(t) = Aeit with A =
F0
:
(km 2 )+ic
(t) =
=
=
where tan =
the form
(k
F0
2
m )2
+ (c)2
[(k m 2 ) cos t + c sin t]
F0
2 2
2 12
[(k
m
)
+
(c)
] cos(t )
(k m 2 )2 + (c)2
F0 cos(t )
1 ,
[(k m 2 )2 + (c)2 ] 2
c
.
km 2
Hence, the general solution of the N-H2 O LDE is of
y(t) = (t) + (t) = (t) +
F0 cos(t )
1
[(k m 2 )2 + (c)2 ] 2
where (t) is the general solution of the homogeneous equation described in

the case II. Sine in any case (t) 0 as t , for large t, y(t) = (t)
describe very accurately the position of the mass m regardless of its initial
position and velocity. For this reason, (t) is called the steady state part,
while (t) is called the transient part of the solution.
IV. Undamped, but forced vibrations: No damping force c = 0 and a
periodic external force is presented: F (t) = F0 cos t,
my 00 (t) + ky(t) = F0 cos t,
or y 00 + 02 y =
k
F0
cos t, 02 = .
m
m
If 0 6= , then the general solution is

y(t) = a cos 0 t + b sin 0 t +
F0
cos t,
2)
m(02
164
Chapter 5.
which is the sum of two periodic functions of different frequencies and amplitudes. Suppose that the mass m is initially at rest so that y(0) = 0 and
0
y 0 (0) = 0. Then a = m(F2
2 ) and b = 0. Thus
0
F0
(cos t cos 0 t)
2)
(0 )t
2F0
(0 + )t
sin
=
sin
.
2
2
2
2
m(0 )
y(t) =
m(02
If |0 | is small, then 0 + > |0 |, and so sin (0 +)t

is a rapidly
2
(0 )t
oscillating function compared to sin
. Thus the motion is a rapid
2
(0 +)
oscillation with frequency
, but with a slowly varying sinusoidal am2
plitude:
2F0
(0 )t
sin
.
2
2
2
m(0 )
y
6
M sin (0 )t
2
sin (0 +)t
2
- t
M sin (0 )t
2
This type of motion, with a periodic variation of amplitude, is called a
beat, which occurs frequently in acoustics when two tuning forks of nearly
equal frequency are sounded simultaneously. In electronics the variation of
the amplitude with time is called amplitude modulation.
The interesting case is when 0 = : that is, when the frequency of the
external force equals the natural frequency of the system. In the equation
y 00 + 02 y =
F0
cos 0 t,
m
the nonhomogeneous term F0 cos 0 t is a solution of the homogeneous equation. A particular solution u(t) is the real part of a solution (t) = Atei0 t
5.5. SERIES SOLUTIONS
165
of
F0 i0 t
e ,
m
where ei0 t is a solution of the homogeneous equation y 00 + 02 y = 0. One
iF0
can do some little work to find A = 2m
, and
0
y 00 + 02 y =
(t) = Atei0 t =
F0 t
F0 t
sin 0 t i
cos 0 t,
2m0
2m0
so that
F0 t
sin 0 t.
2m0
Thus, the general solution of the given equation is
u(t) =
y(t) = c1 cos 0 t + c2 sin 0 t +

6
F0
t sin 0 t.
2m0
y = Mt
sin 0 t
-
Note that u(t) is unbounded as t regardless of ci s since the amF0

plitude is y = 2m
t. This motion is known as resonance. In actual
0
practice, the spring would probably break down.
The collapse of the Tacoma Bridge in Seatle in 1940 is the most famous
example of this case. When soldiers cross a bridge, they traditionally break
step to eliminate the periodic force of their marching that could resonate a
natural frequency of the bridge.
5.5
Series Solutions
So far, we have shown a systematic procedure for constructing fundamental

set of solutions only for the equations with constant coefficients. The principal tool to deal with much larger class of equations with variable coefficients
is to represent given functions by power series.
166
Chapter 5.
Consider the general H2 O LDE:

L[y](t) = P (t)y 00 (t) + Q(t)y 0 (t) + R(t)y(t) = 0.
(5.4)
A wide class of problems in mathematical physics leads to equation of this

form having polynomial coefficients. Assume that P , Q, R are polynomials
in t. It turns out that the solution of the equation 5.4 in an interval containing t0 is closely associated with the behavior of P in that interval. A point
t0 such that P (t0 ) 6= 0 is called an ordinary point. Since P is continuous,
there is an interval I = (, ) about t0 in which P (t) 6= 0. In that interval
we can divide the equation by P (t) to get the standard form:
y 00 (t) + p(t)y 0 (t) + q(t)y(t) = 0,
p(t) =
Q(t)
R(t)
, q(t) =
.
P (t)
P (t)
(5.5)
In this case, one can guess that the solutionis also a polynomial with
unknown
we propose the solution can be a power series of the
P degree. Thus
n
form n=0 an (t t0 ) with certain interval of convergence (t0 %, t0 + %),
% > 0. At first sight, it seems quite unattractive to seek a solution in this
way. But this is actually a convenient and useful form for a solution. Indeed,
even if we can obtain a solution in terms of elementary functions, such as
exponential or trigonometric functions, we are likely to need a power series
if we want to evaluate them numerically or to plot their graphs.
Example 5.5.1 Find the general solution of
L[y](t) = y 00 (t) + y(t) = 0, on R.
Solution: From the previous sections, we know that y(t) = c1 cos t + c2 sin t
is the general solution, which is not a polynomial. However, since P (t) =
1 = R(t) and Q(t) = 0 are polynomials, t = 0 is an ordinary point. We
guess the solutions are also polynomials, but do not know what the degree
is. Thus, we expect the solution to be a power series:
y(t) = a0 + a1 t + a2 t2 + + an tn + =
X
n=0
y 00 (t) + y(t) =
=
(n 1)nan tn2 +
n=2
an tn
n=0
[(n + 1)(n + 2)an+2 + an ]tn = 0.
n=0
an tn .
5.5.
Series Solutions
167
Thus (n + 1)(n + 2)an+2 + an = 0 for all n, and so

n = 0,
a0
1 2a2 + a0 = 0 a2 = 12
n = 1,
a1
2 3a3 + a1 = 0 a3 = 123
n = 2,
a2
3 4a4 + a2 = 0 a4 = 34
=
a0
4!
n = 3,
a3
4 5a5 + a3 = 0 a5 = 45
=
a1
5!
..
.
n = 2k,
..
.
a0
a2k = (1)k (2k)!
n = 2k + 1,
a1
a2k+1 = (1)k (2k+1)!
.
Therefore,
y(t) = a0
(1)n
n=0
X
t2n+1
t2n
+ a1
(1)n
(2n)!
(2n + 1)!
n=0
= a0 cos t + a1 sin t.
Example 5.5.2 Find the general solution of

L[y](t) = y 00 (t) 2ty 0 (t) 2y(t) = 0, on R.
Solution: Since P (t) = 1, Q(t) = 2t and R(t) = 2 are polynomials, we
guess the solutions are also polynomial, but do not know what the degree
is. So we set
X
2
n
y(t) = a0 + a1 t + a2 t + + an t + =
an tn .
n=0
Then
L[y](t) =
=
=
(n 1)nan tn2 2t
n=2
X
n=0
nan tn1 2
n=1
(n + 1)(n + 2)an+2 tn
X
n=0
a n tn
n=0
2nan tn
2an tn
n=0
[(n + 1)(n + 2)an+2 2nan 2an ]tn = 0.
n=0
Thus
168
Chapter 5.
(n + 1)(n + 2)an+2 2nan 2an = (n + 1)(n + 2)an+2 2(n + 1)an = 0, n,

or an+2 =
a2n =
a2n+1 =
2
n+2 an :
2
1 1
1
a2(n1) =
a2(n2) = = a0 ,
2n
nn1
n!
2
2
2
2n
a2n1 =
a2n3 = =
a1 .
2n + 1
2n + 1 2n 1
3 5 (2n + 1)
Therefore, the solution is

2
1
22
y(t) = a0 + a1 t + a0 t2 + a1 t3 + a0 t4 +
a 1 t5 +
3
2
3
1
1
1
= a0 1 + t2 + t4 + t6 + + t2n +
2!
3!
n!
2
2 3
2 5
2n
2n+1
+a1 t + t +
t + +
t
+
3
35
3 5 (2n + 1)
!
X
2n
2n+1
t2
t
= a0 e + a1
3 5 (2n + 1)
n=0
= a0 y0 (t) + a1 y1 (t).
Note that y0 (t) is the solution when a0 = y(0) = 1 and a1 = y 0 (0) = 0,
while y1 (t) is the solution when a0 = y(0) = 0 and a1 = y 0 (0) = 1. Thus
W [y0 , y1 ](0) = 1 6= 0 shows that they are linearly independent.
In the general H2 O LDE (5.4), it really wasnt necessary to assume that

the functions P (t), Q(t) and R(t) are polynomials. We only need that they
could be expressed as power series about t = t0 (such functions are said to
be analytic at t0 . Of course, we would expect in this case the algebra to
be much more cumbersome).
R(t)
Theorem 5.5.1 Suppose that p(t) = Q(t)
P (t) and q(t) = P (t) are analytic (i.e.,
they have convergent Taylor series expansion) at t = t0 with the radius of
convergence > 0. Then every solution of (5.4) is also analytic at t = t0
with the radius of convergence > 0, which is of the form
y(t) =
X
n=0
an (t t0 )n .
5.5.
Series Solutions
169
Note that the radius of convergence of y(t) is determined by that of

R
p(t) = Q
P and q(t) = P , rather than by that of P , Q, and R, since the
standard form of (5.4) is
L[y](t) = y 00 (t) + p(t)y 0 (t) + q(t)y(t) = 0.
Example 5.5.3 Find the particular solution of
L[y](t) = y 00 (t) +
1
3t 0
y (t) +
y(t) = 0, with y(0) = 2, y 0 (0) = 3.
2
1+t
1 + t2
Solution: Since p(t) and q(t) are not polynomials, we change the equation
in the form
(1 + t2 )y 00 (t) + 3ty 0 (t) + y(t) = 0.
P
n
we set y(t) = a0 + a1 t + a2 t2 + + an tn + =
n=0 an t . Then
L[y](t) = (1 + t2 )
(n 1)nan tn2 + 3t
n=2
=
=
(n + 1)(n + 2)an+2 tn +
n=0
nan tn1 +
n=1
an tn
n=0
[n(n 1) + 3n + 1]an tn
n=0
[(n + 1)(n + 2)an+2 + (n + 1)2 an ]tn = 0.
n=0
Thus (n + 1)(n + 2)an+2 + (n + 1)2 an = 0, n, or an+2 = n+1

n+2 an , and so
(2n)!
1 3 (2n 1)
a0 = (1)n 2n
a0 ,
2 4 (2n)
2 (n!)2
22n (n!)2
2 4 (2n)
a1 = (1)n
a1 .
= (1)n
3 5 (2n + 1)
(2n + 1)!
a2n = (1)n
a2n+1
n
2
X
X
n (2n)! 2n
n (2 n!)
(1)
(1)
y(t) = a0
t
+
a
1
(2n n!)2
(2n + 1)!
n=0
n=0
= a0 y0 (t) + a1 y1 (t).
Note that y1 (t) is the solution when a0 = y(0) = 1 and a1 = y 0 (0) = 0,
while y2 (t) is the solution when a0 = y(0) = 0 and a1 = y 0 (0) = 1. Thus
W [y1 , y2 ](0) = 1 6= 0 shows that they are linearly independent. They both
170
Chapter 5.
3t
1
converge absolutely for t with |t| < 1. In fact p(t) = 1+t
2 and q(t) = 1+t2
converge absolutely for t with |t| < 1. Moreover, for a0 = y(0) = 2, and
a1 = y 0 (0) = 3 , the particular solution is
y(t) = 2y0 (t) + 3y1 (t).
Remark: If P , Q, R are polynomials, then it is known that Q

P has convergent power series about t0 for P (t0 ) 6= 0, and the radius of convergence of
p= Q
P is precisely the distance from t0 to the nearest zero of P in C. In
the above example, P (t) = 1 + t2 = 0 if and only if t = i. Since t0 = 0,
= |i| = 1.
Example 5.5.4 Solve the initial value problem:
L[y](t) = y 00 (t) + t2 y 0 (t) + 2ty(t) = 0, with y(0) = 1, y 0 (0) = 0.
Solution: We set y(t) =
L[y](t) =
=
n
n=0 an t .
(n 1)nan t
n=2
n2
+t
Then
2
nan t
n1
+ 2t
n=1
(n + 2)(n + 3)an+3 t
n=1
= 2a2 +
n+1
an tn
n=0
nan t
n=0
n+1
2an tn+1
n=0
[(n + 2)(n + 3)an+3 + (n + 2)an ]tn+1 = 0.
n=0
Thus a2 = 0 and (n + 2)(n + 3)an+3 + (n + 2)an = 0, n 0, or an+3 =

1
an . Since a0 = y(0) = 1, a1 = y 0 (0) = 0, and a2 = 0,
n+3
a4 = a7 = a10 = = 0,
a5 = a8 = a11 = = 0,
a0
1
a3 = = ,
3
3
1
1
a6 = a3 =
,
6
36
1
1
a9 = a6 =
,
9
369
..
.
(1)n
(1)n
a3n =
=
.
3 6 (3n)
3n n!
5.5.
Series Solutions
171
X
(1)n 3n
t3
t6
t9
y(t) =
t
=
1
+ .
3n n!
3
36 369
n=0
which converges for all t, since p(t) = t2 and q(t) = 2t converge for t R.

L[y](t) = (t2 2t)y 00 (t) + 5(t 1)y 0 (t) + 3y(t) = 0, with y(1) = 7, y 0 (1) = 3.
Solution: Since t0 = 1, we set y(t) =
n=0 an (t
1)n , and
P (t) = t2 2t = t2 2t + 1 1 = (t 1)2 1.
Then
L[y](t) = [(t 1)2 1]
(n 1)nan (t 1)n2 + 5(t 1)
n=2
+3
=
+
=
nan (t 1)n1
n=1
an (t 1)n
n=0
(n + 1)(n + 2)an+2 (t 1)n +
n=0
(n 1)nan (t 1)n
n=2
5nan (t 1)n + 3
n=1
an (t 1)n
n=0
(n + 1)(n + 2)an+2 (t 1)n +
n=0
(n2 + 4n + 3)an (t 1)n = 0.
n=0
Thus (n + 1)(n + 2)an+2 + (n2 + 4n + 3)an = 0, n 0, or an+2 =

Since a0 = y(0) = 7 and a1 = y 0 (0) = 3,
3
5
53
7
753
3
7, a6 = a4 =
7,
a2 = a0 = 7, a4 = a2 =
2
2
4
42
6
642
4
4
6
64
8
864
a3 = a0 = 3, a5 = a3 =
3, a7 = a5 =
3,
3
3
5
53
7
753
a2n =
3 5 (2n + 1)
7,
2 4 (2n)
a2n+1 =
4 6 (2n + 2)
3.
3 5 (2n + 1)
n+3
n+2 an .
172
Chapter 5.
!
X 3 5 (2n + 1)
X 2n (n + 1)!
2n
2n+1
y(t) = 7
(t 1)
+3
(t 1)
,
2n n!
3 5 (2n + 1)
n=0
n=0
which converges on (0, 2), since P (t) = t(t 2) = 0 for t = 0 and t = 2.

L[y](t) = (1 t)y 00 (t) + y 0 (t) + (1 t)y(t) = 0, with y(0) = 1, y 0 (0) = 1.
P
n
Solution: We set y(t) =
n=0 an t . Then
L[y](t) = (1 t)
(n 1)nan t
n2
n=2
nan t
n1
+ (1 t)
n=1
(n + 1)(n + 2)an+2 tn
n=0
an tn
n=0
n(n + 1)an+1 tn
n=1
n
(n + 1)an+1 t +
n=0
X
n=0
an t
an1 tn ,
n=1
= 2a2 + a1 + a0 +
X
[(n + 1)(n + 2)an+2 (n 1)(n + 1)an+1 + an an1 ]tn = 0.
n=1
Thus a2 =
a1 +a0
2
and n 1,
an+2 =
(n 1)(n + 1)an+1 an + an1

.
(n + 1)(n + 2)
Since a0 = y(0) = 1, a1 = y 0 (0) = 1,

a2 = 1,
a1 + a0
a3 =
= 0,
6
1
3a3 a2 + a1
= ,
a4 =
12
6
8a4 a3 + a2
1
a5 =
= ,
20
60
15a5 a4 + a3
1
a6 =
=
30
360
..
.
5.5.
Singular Points
173
Thus, it is not easy to find a formula for the general term an . However, the
form of an+2 given above is a linear recursive formula in an+1 , an , and an1 ,
which can be easily computed by using computers.
5.5.1
Singular points
The general H2 O LDE:

L[y](t) = P (t)y 00 (t) + Q(t)y 0 (t) + R(t)y(t) = 0,
(5.6)
is said to be singular at t = t0 if P (t0 ) = 0. In this case, the preceding

method of power series solution may fail in general, since the solution is not
analytic at t0 , and so cannot be represented by a Taylor series at t0 .
Since the singular points are usually few in number, one might want to
ignore them. However, it turns out that the solution y(t) of (5.6) frequently
become very large, or oscillates very rapidly in a neighborhood of such a
singular point t0 , and the singular points determine the principal feature of
the solution. Thus the behavior of a physical system modelled by such a
differential equation frequently is most interesting in the neighborhood of
a singular point. Hence, one has to study the solution precisely at those
singular points most carefully.
Definition 5.5.1 The Eulers equation is of the form:
L[y](t) = t2 y 00 (t) + ty 0 (t) + y(t) = 0,
(5.7)
where , and are constants.

I. P (t) = t2 = 0 at t = 0. Thus t = 0 is a singular point. We first assume
that t > 0. By a simple inspection, we try y(t) = tr as a solution of (5.7):
L[y](t) = t2 y 00 (t) + ty 0 (t) + y(t)
= r(r 1)tr + rtr + tr
= [r(r 1) + r + ]tr = F (r)tr = 0,
where
F (r) = r(r 1) + r + = r2 + ( 1)r + = 0.
The solutions are
p
1
r1 = ( 1) + ( 1)2 4 ,
2
r2 =
p
1
( 1) ( 1)2 4 .
2
174
Chapter 5.
Case 1: ( 1)2 4 > 0: Then (5.7) has two distinct solutions y1 (t) = tr1
and y2 (t) = tr2 , which are linearly independent since W [y1 , y2 ](t) = (r2
r1 )tr1 +r2 6= 0. Thus the general solution is
y(t) = c1 tr1 + c2 tr2 .
Case 2: ( 1)2 4 = 0: Then r1 = r2 = 1
2 , so that we get only
one solution y1 (t) = tr1 . For a second solution, one can use the method of
reduction of order. However, we present here an alternative method: Note
that, in this case, the equation (5.7) reduces to L[y](t) = F (r)tr = (rr1 )2 tr .
We then take partial derivatives of this equation with respect to r to get
2 2
L[y](t) =
t 2 y(t) + t y(t) + y(t)
r
r
t
t
2

= t2 2 y(t) + t
y(t) + y(t)
t
r
r
t r
r
y (t) = L
t
= L [tr ln t] .
= L
r
r
((r r1 )2 tr ) = (r r1 )2 tr ln t + 2(r r1 )tr = L [tr ln t] .
r
The left side of the last equation vanishes when r = r1 . Thus L [tr1 ln t] = 0
so that y2 (t) = tr1 ln t is a second solution. Since W [y1 , y2 ] = 2t2r1 1 6= 0,
the general solution is
y(t) = (c1 + c2 ln t)tr1 .
Case 3: ( 1)2 4 < 0: Then we have two complex roots
where =
1
2
r1 = + i, and r2 = i
p
and = 12 4 ( 1)2 6= 0. Hence
(t) = t+i = t (eln t )i = t ei ln t
= t [cos( ln t) + i sin( ln t)]
is a complex valued solution of (5.7). Thus

y1 (t) = t cos( ln t),
y2 (t) = t sin( ln t)
are two linearly independent real solutions of (5.7), and so the general solution is
y(t) = t [c1 cos( ln t) + c2 sin( ln t)].
5.5.
Singular Points
175
II. We now assume that t < 0: In this case, tr and ln t are both may not
be well-defined. So, we set t = x with x > 0. Then for y(t),
dy
dt
d2 y
dt2
=
=
dy dx
dy
= .
dx dt
dx
dy dy
d2 y
d
dy dx
d2 y
( ) =
( )
= (1) 2 (1) = 2 .
dt dx
dx dx dt
dx
dx
Thus, (5.7) becomes

(x)2
2
d2 y
dy
dy
2d y
+
(x)(
)
+
y
=
x
+ x
+ y = L[y](x) = 0,
2
2
dx
dx
dx
dx
with x > 0. Hence, case I applies and so x = t = |t| works well.

In summary, an Eulers equation has one of the following three types of
general solutions: for t 6= 0,
if ( 1)2 4 > 0,
c1 |t|r1 + c2 |t|r2 ,
r
1
|t| (c1 + c2 ln |t|),
if ( 1)2 4 = 0,
y(t) =

|t| [c1 cos( ln |t|) + c2 sin( ln |t|)], if ( 1)2 4 < 0.
The general form of Eulers equation is of the form:
L[y](t) = (t t0 )2 y 00 (t) + (t t0 )y 0 (t) + y(t) = 0,
with a singular point at t0 . Then the solutions will be of the form y(t) =
(t t0 )r .
Example 5.5.7 Find the general solutions of the following equations:
(1) L[y](t) = t2 y 00 (t) + 4ty 0 (t) + 2y(t) = 0.
(2) L[y](t) = t2 y 00 (t) 5ty 0 (t) + 9y(t) = 0.
(3) L[y](t) = t2 y 00 (t) 5ty 0 (t) + 25y(t) = 0.
Solution: (1) We set y(t) = tr . Then
F (r) = r2 + (4 1)r + 2 = r2 + 3r + 2 = (r + 1)(r + 2) = 0
has solutions r1 = 1 and r2 = 2 so that the general solution is
1
y(t) = c1 |t|
+ c2 |t|12 .
(2) We set y(t) = tr . Then
F (r) = r2 6r + 9 = (r 3)2 = 0
176
Chapter 5.
has solutions r1 = r2 = 3 so that the general solution is

y(t) = |t|3 (c1 + c2 ln |t|).
(3) We set y(t) = tr . Then
F (r) = r2 6r + 25 = 0
has solutions rj = 3 i4, so that the general solution is
y(t) = |t|3 (c1 cos(4 ln |t|) + c2 sin(4 ln |t|)).
5.5.2
Regular singular points, method of Frobenius
To develop a reasonably simple mathematical theory for solving equation (5.6)

in a neighborhood of a singular point t0 , the singularities in the functions
R(t)
p(t) = Q(t)
P (t) and q(t) = P (t) has to be not too severe: that is, the limits
lim (t t0 )
tt0
Q(t)
,
P (t)
and
lim (t t0 )2
tt0
R(t)
P (t)
are finite. This means that the singularity in Q

P can be no worse than
(t t0 )1 , and the singularity in PR can be no worse than (t t0 )2 .
Definition 5.5.2 The equation,
L[y](t) = P (t)y 00 (t) + Q(t)y 0 (t) + R(t)y(t) = 0,
(5.8)
is said to have a regular singular point at t = t0 if P (t0 ) = 0, and

2 R(t)
(t t0 ) Q(t)
P (t) and (t t0 ) P (t) are analytic at t = t0 .
If t0 = 0, then the standard form:
L[y](t) = y 00 (t) + p(t)y 0 (t) + q(t)y(t) = 0,
(5.9)
is said to have a regular singular point at t = 0 if tp(t) and t2 q(t) are

analytic at t = 0.
A singular point of (5.8) that is not regular is called irregular.
For example, the Euler equation can be rewritten as
y 00 (t) +
0
y (t) + 2 y(t) = 0,
t
t
5.5.
Regular Singular Points, Method of Frobenius
177
where tp(t) = and t2 q(t) = are analytic so that t = 0 is a regular

singular point. Thus, p and q in the equation (5.9) are generalized forms of
these ones:
p0
p(t) =
+ p1 + p2 t + p3 t2 +
t
q0 q1
q(t) = 2 +
+ q2 + q3 t + q4 t2 + .
t
t
Example 5.5.8 [Bessels Equation] Classify the singular points of Bessels
equation of order :
L[y](t) = t2 y 00 (t) + ty 0 (t) + (t2 2 )y(t) = 0,
(5.10)
where is a constant.
Solution: P (t) = t2 = 0 at t = 0. Hence t = 0 is the only singular point.
The equation can be rewritten as
1
2
y 00 (t) + y 0 (t) + (1 2 )y(t) = 0.
t
t
Since tp(t) = 1 and t2 q(t) = t2 2 are both analytic at t = 0, we see that
Bessels equation of order has a regular singular point at t = 0.
Example 5.5.9 [Legendre Equation] Classify the singular points of Legendre equation:
L[y](t) = (1 t2 )y 00 (t) 2ty 0 (t) + ( + 1)y(t) = 0,
(5.11)
where is a constant.
Solution: P (t) = 1 t2 = 0 at t = 1. Hence t = 1 are the singular
points. The equation can be rewritten as
y 00 (t)
2t 0
1
y (t) + ( + 1)
y(t) = 0.
2
1t
1 t2
2t
Since (t 1)p(t) = 1+t
and (t 1)2 q(t) = ( + 1) 1t
1+t are both analytic at
2t
2
t = 1 and (t + 1)p(t) = 1t and (t + 1) q(t) = ( + 1) 1+t
1t are both analytic
at t = 1, t = 1 are both the regular singular points of the Legendre
equation.
178
Chapter 5.
Example 5.5.10 Show that t = 0 is not regular singular point of:

L[y](t) = t2 y 00 (t) + 3y 0 (t) + ty(t) = 0.
Solution: P (t) = t2 = 0 at t = 0. Hence t = 0 is the only singular point.
The equation can be rewritten as
y 00 (t) +
1
3 0
y (t) + y(t) = 0.
t2
t
Since tp(t) = 3t is not analytic at t = 0, t = 0 is an irregular singular point

of the equation.
Suppose that t = 0 is a regular singular point of the equation (5.8). For

simplicity, we assume t > 0. The case of t < 0 can be treated as the solution
of the Euler equation. By multiplying t2 to equation (5.9), we get
t2 y 00 (t) + t(tp(t))y 0 (t) + t2 q(t)y(t) = 0.
(5.12)
Since tp(t) and t2 q(t) are analytic at t = 0, we have

tp(t) =
t2 q(t) =
X
n=0
pn tn = p0 + p1 t + p2 t2 + p3 t3 +
(5.13)
qn tn = q0 + q1 t + q2 t2 + q3 t3 + .
(5.14)
n=0
for |t| < . If pn = qn = 0 for n 1, then it reduces to the Euler equation:

t2 y 00 (t) + tp0 y 0 (t) + q0 y(t) = 0.
In general, of course, some of pn and qn are nonzero. However, the essential
character of the solutions of equation (5.12) is identical to that of solutions
of the Euler equation. The presence of p1 t + p2 t2 + p3 t3 + and q1 t + q2 t2 +
q3 t3 + merely complicates the calculations.
Since the coefficients of equation (5.12) are Euler coefficients times power
series, it is natural to expect the solution of equation (5.12) has to be Euler
solution times power series: when t0 = 0, for t > 0,
y(t) = tr
X
n=0
a n tn =
an tn+r , a0 6= 0.
n=0
As usual, we need to determine r, recurrence relation for an , and the radius

of convergence of the solution y(t).
5.5.
179

L[y](t) = 2ty 00 (t) + y 0 (t) + ty(t) = 0, 0 < t < .
2
Solution: Note that P (t) = 2t = 0 at t = 0, and tp(t) = 12 and t2 q(t) = t2

are both
at t = 0. Thus t = 0 is a regular singular point. Set
P analytic
r+n , a 6= 0, for t > 0. Then
y(t) =
a
t
n
0
n=0
L[y](t) = 2ty 00 (t) + y 0 (t) + ty(t)
X
X
X
=
2(r + n)(r + n 1)an tr+n1 +
(r + n)an tr+n1 +
an tr+n+1
n=0
= t
2(r + n)(r + n 1)an t
n1
n=0
n=0
n1
(r + n)an t
n=0
n=0
an2 t
n=2
= [2r(r 1) + r]a0 tr1 + [2(r + 1)r + (r + 1)]a1 tr
X
+
{[2(r + n)(r + n 1) + (r + n)]an + an2 } tr+n1 = 0.
n=0
Thus,
(2r(r 1) + r)a0 = r(2r 1)a0 = 0,
for n = 0,
(r + 1)(2r + 1)a1 = 0,
for n = 1,
(r + n)(2(r + n) 1)an = an2 ,
for n 2.
The first equation determine r: r = 0 or r = 12 since a0 6= 0. The second

equation then forces a1 = 0. The third equation determines an for n 2.
an2
(1) If r = 0, then an = n(2n1)
for n 2. Since a1 = 0, a2k1 = 0 with
k 2.
a2k =
a2(k1)
(1)k
= k
a0 , k 1.
2k(4k 1)
(2 k!)3 7 (4k 1)
Thus
1 2
1
4
y1 (t) = t 1
t +
t +
23
(2 4)(3 7)
X
(1)n
= 1+
t2n ,
(2n n!)3 7 (4n 1)
0
n=1
which converges for all t by the Ratio test.
!
n1
180
Chapter 5.
an2
an2
(2) If r = 12 , then an = (n+ 1 )(2(n+
= n(2n+1)
for n 2. Since
1
)1)
2
a1 = 0 again, a2k1 = 0 with k 2.

a2k =
Thus
a2(k1)
(1)k
= k
a0 , k 1.
2k(4k 1)
(2 k!)5 9 (4k + 1)
1 2
1
1
t +
t4
25
(2 4)(5 9)
X
1
(1)n
= t2 1 +
t2n ,
(2n n!)5 9 (4n + 1)
1
y2 (t) = t 2
n=1
which converges for all t by the Ratio test.
This is known as the method of Frobenius. We want to see whether

this method works in general for equation (5.12).
Now, using the series expansion, 5.13 and 5.14,Pof tp(t) and t2 q(t), and
r+n , a 6= 0, the
supposing that the solution is of the form: y(t) =
0
n=0 an t
equation (5.12) is written as
L[y](t) = t2 y 00 (t) + t(
pn tn )y 0 (t) + (
n=0
qn tn )y(t)
n=0
(r + n)(r + n 1)an tr+n
n=0
+
"
= tr
m=0
!
p m tm
!
(r + n)an tr+n
n=0
!
qm tm
m=0
!
an tr+n
n=0
(r + n)(r + n 1)an tn
n=0
+ p0 ra0 + [p1 ra0 + p0 (r + 1)a1 ]t +
+ q0 a0 + (q1 a0 + q0 a1 )t +
X
n
X
!
[pnm (r + m)am ]t
n=2 m=0
X
n
X
!#
n
(qnm am )t
n=2 m=0
= [r(r 1) + rp0 + q0 ]a0 tr

+ {[(r + 1)r + p0 (r + 1) + q0 ]a1 + (p1 r + q1 )a0 } tr+1 +
5.5.

(
+ [(r + n)(r + n 1) + p0 (r + n) + q0 ] an +
n1
X
181
)
[(r + m)pnm + qnm ]am
m=0
= F (r)a0 tr + [F (r + 1)a1 + (rp1 + q1 )a0 ]tr+1 +

"
#
n1
X
+ F (r + n)an +
((r + m)pnm + qnm )am tr+n + = 0,
m=0
where
F (r) = r(r 1) + p0 r + q0 = r2 + (p0 1)r + q0 ,
(5.15)
which is called the indicial equation of (5.12). Therefore,

F (r)a0 = 0
F (r + n)an =
(5.16)
n1
X
[(r + m)pnm + qnm ]am , for n 1. (5.17)
m=0
The roots of the indicial equation (5.16) determine the two possible values
r1 and r2 of r.
I. Suppose that r1 > r2 are two real distinct roots: For r = r1 , the terms
an s are all determined recursively by equation (5.17), depending on r and
on all the previous coefficients a0 , . . ., an1 , provided that F (r1 + n) 6= 0 for
all n 1. However, F (r1 + n) 6= 0 for all n 1 since r1 + n > r1 > r2 for
n 1. Thus, by setting a0 = 1, one can always obtain a first solution
"
#
X
y1 (t) = tr1 1 +
an (r1 )tn
n=1
of the equation (5.12), which converges whenever tp(t) and t2 q(t) both converge. A second solution can be also obtained with r = r2 , provided that
F (r2 + n) 6= 0, or r2 + n 6= r1 , for all n 1:
"
#
X
y2 (t) = tr2 1 +
an (r2 )tn
n=1
which also converges whenever tp(t) and t2 q(t) both converge.

Remark: Since the power series parts of the solutions are analytic at t = 0
within the radii of convergence, the singular behavior, if there is any, of the
solutions y1 and y2 is determined by tr1 and tr2 .
For t < 0, by the substitution t = x with x > 0, we only need to
replace tr1 and tr2 by |t|r1 and |t|r2 in the expressions of y1 and y2 .
tr+n +
182
Chapter 5.

L[y](t) = 4ty 00 (t) + 3y 0 (t) + 3y(t) = 0, 0 < t < .
Solution: P (t) = 4t = 0 at t = 0. Moreover, Since tp(t) = 43 and t2 q(t) = 3t
4
are both
at t = 0, we see that t = 0 is a regular singular point. Set
Panalytic
r+n , a 6= 0. Then
y(t) =
0
n=0 an t
L[y](t) = 4ty 00 (t) + 3y 0 (t) + 3y(t)
X
=
4(r + n)(r + n 1)an tr+n1
n=0
+3
(r + n)an tr+n1 + 3
n=0
an tr+n
n=0
= tr
4(r + n)(r + n 1)an tn1
n=0
3(r + n)an tn1 +
n=0
!
3an1 tn1
n=1
r1
= [4r(r 1) + 3r]a0 t
+
X
+
{[4(r + n)(r + n 1) + 3(r + n)]an + 3an1 } tr+n1 = 0.
n=1
Thus,
4r(r 1) + 3r = r(4r 1) = 0, n = 0,
[4(r + n)(r + n 1) + 3(r + n)] an =
(r + n)[4(r + n) 1]an , = 3an1 ,
1
4
n 1.
From the first indicial equation, we get r1 = and r2 = 0 since a0 6= 0. The

second equation determines an recursively for n 1 depending on r.
3an1
(1) Let r1 = 14 . Then an = n(4n+1)
for n 1:
n = 1,
n = 2,
n = 3,
3
a0 ,
5
3a1
32
a2 =
=
a0 ,
29
259
3a2
33
a3 =
=
a0 ,
3 13
(2 3)(5 9 13)
..
.
a1 =
5.5.
183
(1)n 3n
a0 .
n! 5 9 (4n + 1)
1 X
(1)n 3n tn
y2 (t) = t 4
,
n! 5 9 (4n + 1)
an =
n=0
which converges for all t > 0 by the Ratio test.

3an1
(2) Let r2 = 0. Then an = n(4n1)
for n 1:
3a0
= a0 ,
3
3a1
3
n = 2,
a2 =
=
a0 ,
27
27
3a2
32
n = 3,
a3 =
=
a0 ,
3 11
(2 3)(7 11)
..
.
(1)n 3n1
a0 .
an =
n! 7 11 (4n 1)
X
(1)n 3n1 tn
y1 (t) =
,
n! 7 11 (4n 1)
n = 1,
a1 =
n=0
which also converges for all t > 0 by the Ratio test.
II. If r1 and r2 are complex numbers, they are complex conjugates to

each other and r1 6= r2 + n for anyP
n 1. Thus one can compute two
n
series solutions of the form y(t) = tr
n=0 an t , which are complex valued
functions of t. The real valued solutions are the real and imaginary parts
of this complex valued solution: For r = i, tr = t+i = t ei ln t =
t (cos( ln t) + i sin( ln t)). Thus, the real and imaginary parts of
y(t) = t
[cos( ln t) + i sin( ln t)]an (r)tn .
n=0
III. Suppose that r1 = r2 so that F (r) = (r r1 )2 : In this case, F (r1 +

n) 6= 0 for all n 1. One can always obtain a solution of the equation (5.8)
of the form:
X
y(t) = y(r, t) = tr
an (r)tn ,
n=0
184
Chapter 5.
which emphasizes that the solution depends also on r and the coefficients
an s are functions of r. Then
(
)
n1
X
X
L[y](t) = a0 F (r)tr +
an (r)F (r + n) +
[(r + k)pnk + qnk ]ak tr+n .
n=1
k=0
By requiring that the coefficients of tr+n be zero for n 1, we get:

an (r) =
Pn1
k=0 [(r
+ k)pnk + qnk ]ak

.
F (r + n)
(5.18)
With this choice of an for n 1, we get

L[y](r, t) = a0 F (r)tr = a0 (r r1 )2 tr .
Thus, for r = r1 , L[y](r1 , t) = 0, which means by setting a0 = 1,
"
#
X
y1 (t) = tr1 1 +
an (r1 )tn
n=1
is a solution. Now
L[y](r, t) =
[a0 (r r1 )2 tr ] = 2a0 (r r1 )tr + a0 (r r1 )2 tr ln t,
r
r
which vanishes at r = r1 . By a simple computation, we also have

y
L[y](r, t) = L
(r, t).
r
r
That is,
y
r (r1 , t)
is also a solution. Thus
y2 (t) =
=
"
#
r+n
y(r, t)
an (r)t
=
r
r
r=r1
an (r1 )tr1 +n ln t +
n=0
= y1 (t) ln t +
a0n (r1 )tr1 +n
n=0
X
n=0
is a second solution.
n=0
a0n (r1 )tr1 +n
r=r1
5.5.
185
Remark: There are three ways of finding a second solution when r1 = r2 :

First, we can compute bn (r1 ) = a0n (r1 ) by substituting the above expression
for y2 (t) into the equation (5.8). Second, we can compute a0n (r1 ) by first
determining an (r) and then calculating a0n (r1 ). Note that when we try to
find y1 (t) it was necessary to find an (r1 ). Thus it is better to find the general
expression for an (r) at that time, from which we can calculate both an (r1 )
and a0n (r1 ). The first method is may be simpler if only a few terms in y2 (t)
are needed, or an (r) is very complicated or difficult to obtain. The third
method is to use the reduction of order.
Example 5.5.13 Consider the Bessels equation of order = 0 (see Example 5.6.4)
L[y](t) = t2 y 00 (t) + ty 0 (t) + t2 y(t) = 0, 0 < t < .
t = 0 is a regular singular point. Find the solutions.
Solution: For a solution of the form y(t) =
n=0 an t
r+n ,
compute
L[y](t) = t2 y 00 (t) + ty 0 (t) + t2 y(t)
X
X
X
=
(r + n)(r + n 1)an tr+n +
(r + n)an tr+n +
an tr+n+2
n=0
= tr
n=0
(r + n)2 an tn +
n=0
n=0
an2 tn
n=2
= r2 a0 tr + (r + 1)2 a1 tr+1 +
[(r + n)2 an + an2 ]tr+n = 0.
n=2
Thus,
F (r)a0 = r2 a0 = 0,
F (r + 1)a1 = (r + 1)2 a1 = 0,
F (r + n)an = (r + n)2 an = an2 , n 2.
The first indicial equation determine r: r1 = r2 = 0. The second equation
an2
then forces a1 = 0. The third equation determines an = (r+n)
2 recursively
for n 2.
(1) Since a1 = 0, a2n+1 = 0 with n 1, and
(1)n a0
, n 1.
(r + 2n)2 (r + 2(n 1))2 (r + 2)2
X
X
(1)n t2n
(1)n 2n
Thus, y1 (r = 0, t) = a0 t0
=
a
t .
0
(2n)2 (2(n 1))2 (2)2
22n (n!)2
a2n (r) =
a2(n1)
(r + 2n)2
n=0
n=0
186
Chapter 5.
This solution is often referred to as the Bessel function of the first kind
of order zero, denoted by J0 (t).
(2) For a second solution, we set
y2 (t) = y1 (t) ln t +
a02n (0)t2n .
n=0
To find a02n (0): Note that

a02n (r)
a2n (r)
d
ln |a2n (r)|
dr
d
=
ln[(r + 2n)2 (r + 2(n 1))2 (r + 2)2 ]
dr
d
= 2 [ln(r + 2n) + ln(r + 2(n 1)) + + ln(r + 2)]
dr
1
1
1
= 2
+
+ +
.
r + 2n r + 2(n 1)
r+2
=
Thus
a02n (0)
where
1
1
1 1
= 2
+
+ + +
a2n (0)
2n 2(n 1)
4 2
1
1
1 1
=
+
+ + +
a2n (0)
n (n 1)
2 1
Hn (1)n
(1)n+1 Hn
=
=
,
22n (n!)2
22n (n!)2
Hn =
1
1
1
+
+ + + 1.
n (n 1)
2
Therefore, a second solution is

y2 (t) = y1 (t) ln t +
X
(1)n+1 Hn
n=0
22n (n!)2
t2n .
IV. Suppose that r1 r2 = N is a positive integer. Then y1 (t) =

P
n
n=0 an (r1 )t is a solution, and we need a second solution. When n = N ,
F (r2 + N ) = 0, thus the equation (5.17) becomes:
tr1
aN 0 =
N
1
X
[(r2 + k)pN k + qN k ]ak .
k=0
5.5.
187
P 1
If N
k=0 [(r2 + k)pN k + qN k ]ak = 0, then aN can be arbitrary, or set
aN = 0. For n 6= N , again use equation P
(5.17) to find an (r2 ) and so a
n
second solution is of the form y2 (t) = tr2
n=0 an (r2 )t . The following
Example 5.5.14 illustrates how to find an (r2 )s in this case.
If
N
1
X
[(r2 + k)pN k + qN k ]ak 6= 0,

k=0
then the equation (5.17) is not satisfied for any choice of aN . In this case,
to determine aN we may precede as follows: Note F (r) = (r r1 )(r r2 )
implies
F (r + N ) = (r + N r1 )(r + N + r2 ) = (r r2 )(r + N + r2 ),
which vanishes for r = r2 . Since we can choose a0 arbitrarily, we take
a0 = r r2 . Then each term ak s in the numerator of the expression of
aN will contain (r r0 ) as a factor and will cancel the same one in the
denominator when n = N . Now, following the same analysis as that for the
case r1 = r2 , a second solution takes the form
"
#
X
r2
n
y2 (t) = ay1 (t) ln t + t
1+
cn (r2 )t .
n=1
In fact, let
y(r, t) = tr
an (r)tn
n=0
with a0 = a0 (r) = r r2 . Then

"
#
r+n
y2 (t) =
y(r, t)
an (r)t
=
r
r
r=r2
n=0
an (r2 )tr2 +n ln t +
n=0
r=r2
a0n (r2 )tr2 +n
n=0
= ay1 (t) ln t +
a0n (r2 )tr2 +n ,
n=0
where a is a constant given by

a = lim (r r2 )aN (r).
rr2
If aN (r2 ) is finite, the a = 0 and no logarithm term in y2 . The proof of this

result is beyond our scope here.
188
Chapter 5.
Example 5.5.14 The Bessels equation of order = 12 :

1
L[y](t) = t2 y 00 (t) + ty 0 (t) + [t2 ( )2 ]y(t) = 0, 0 < t < ,
2
has t = 0 as a regular singular point. Find the solutions.
Solution: For a solution of the form y(t) =
n=0 an t
r+n ,
compute
1
L[y](t) = t2 y 00 (t) + ty 0 (t) + [t2 ( )2 ]y(t)
2
X
=
(r + n)(r + n 1)an tr+n
n=0
+
= tr
(r + n)an t
n=0
r+n
X
n=0
an t
r+n+2
1X
an tr+n
4
n=0
X
1
an2 tn
[(r + n)(r + n 1) + (r + n) ]an tn +
4
n=2
n=0
1
1
= [r(r 1) + r ]a0 tr + [(r + 1)r + (r + 1) ]a1 tr+1
4
4

X
1
+
[(r + n)(r + n 1) + (r + n) ]an + an2 tr+n = 0.
4
n=2
Thus,
1
1
F (r)a0 = [r(r 1) + r ]a0 = (r2 )a0 = 0,
4
4
1
1
F (r + 1)a1 = [(r + 1)r + (r + 1) ]a1 = [(r + 1)2 ]a1 = 0,
4
4
1
2
F (r + n)an = [(r + n) ]an = an2 , n 2.
4
From the first indicial equation, we get r1 = 21 and r2 = 12 .
(1) For r1 = 12 , the second equation then forces a1 = 0, and the third
an2
equation determines an = (n+1)n
recursively for n 2. Thus, a2k1 = 0 for
k 1.
a2(k1)
(1)k
=
a0 , k 1.
(2k + 1)2k
(2k + 1)!
1
1 X
1
(1)n 2n
t 2 X (1)n 2n+1
y1 (t) = t 2
t =
t
= t 2 sin t.
(2n + 1)!
t
(2n + 1)!
a2k =
Thus,
n=0
n=0
5.6. LAPLACE TRANSFORMS
189
The Bessel function of the first kind of order one-half, J1/2 , is defined
as (2/)1/2 y1 . Thus
r
2
sin t, t > 0.
J1/2 (t) =
t
(2) For r2 = 12 , F (r2 + 1) = F ( 12 ) = 0. Thus from the second equation
F (r2 + 1) a1 = 0 a1 = 0 is satisfied automatically for arbitrary a1 . We
choose a1 = 0. Note that, for n 2, F (r2 + n) = n(n 1) 6= 0. Then, from
an2
the third equation an = n(n1)
for n 2. Thus a2k+1 = 0 for k 0, while
a2k =
a2(k1)
(1)k
=
a0 , k 1.
2k(2k 1)
(2k)!
Thus
21
y2 (t) = t
X
(1)n
n=0
(2n)!
t2n = t 2 cos t.
The second Bessel function of the first kind of order one-half, J1/2 ,
is defined as (2/)1/2 y2 . Thus
r
2
J1/2 (t) =
cos t, t > 0.
5.6
Laplace Transforms
Some other very useful tools in solving linear differential equations are integral transforms of the form
Z b
F (s) =
K(s, t)f (t)dt.
a
We call f is transformed to F , by means of integral. K is called the kernel

of the transform. By making suitable choice of K and integration limits a
and b, it is often possible to simplify a problem involving a linear differential equation. When K(s, t) = est over [0, ), it becomes the Laplace
transform. It is especially useful in two cases which arise quite often in
applications such as circuit analysis: The first case is when f (t) is discontinuous function of time, and the second case is when f (t) has impulsive
nature: that is, its values are zero except for a very short time interval in
which it is very large.
190
Chapter 5.
Definition 5.6.1 For a function f (t) defined on 0 t < , the Laplace

transform of f is defined by the formula
Z
Z
st
F (s) = L[f (t)](s) =
e f (t)dt lim
est f (t)dt.
0
Example 5.6.1 For a constant function f (t) = 1,

1
Z
1 es
st
s,
F (s) = L[1](s) =
=
e dt = lim
,
s
0
Example 5.6.2 For the function f (t) = eat ,
Z
Z
at
st at
F (s) = L[e ](s) =
e e dt =
if s > 0
if s 0.
e(as)t dt
1
e(as) 1
if s > a
sa ,
=
= lim
,
if s a.
as
0
Example 5.6.3 For the function f (t) = eit = cos t + i sin t,

Z
Z
it
st it
F (s) = L[e ](s) =
e e dt =
e(s+i)t dt
0
0
1
s+i
e(s+i) 1
if s > 0
si = s2 + 2 ,
=
= lim
undefined,
if s 0.
s + i
Note that, for two functions f (t) and g(t) and constants a and b,
Z
L[af (t) + bg(t)](s) =
est (af (t) + bg(t))dt
0
Z
Z
st
= a
e f (t)dt + b
est g(t)dt
0
= aL[f (t)](s) + bL[g(t)](s).

Thus, in Example 5.6.3,
L[eit ](s) = L[cos t + i sin t](s)
= L[cos t](s) + iL[sin t](s)
+ i s2 +
if s > 0
2,
s2 + 2
=
undefined,
if s 0.
or
L[cos t](s) =
s
,
s2 + 2
undefined,
if s > 0
if s 0.
L[sin t](s) =
,
s2 + 2
undefined,
if s > 0
if s 0.
5.6.
Laplace Transforms
191
Remark: (1) The domains of f (t) and L[f (t)](s) are different: for example,
2t
2t
the domain of F (s) =
R L[est](s) is (2, ) while that of f (t) = e is R.
(2) The integral 0 e f (t)dt may fail to exist for some s: for example,
2
f (t) = et .
Therefore, we need to impose some conditions on f (t):
(1) f (t) is piecewise continuous with only a finite number of jump discontinuities in any finite interval.
(2) f (t) is of exponential order, that is, there exist constants M and c
such that
|f (t)| M ect , 0 t < .
Lemma 5.6.1 If f (t) satisfies the two conditions above, then its Laplace
transform F (s) = L[f (t)](s) exists for all s sufficiently large.
RA
Proof: Since f (t) is piecewise continuous, the integral 0 est f (t)dt exists
for all A, and
Z A
Z A
Z A
st
st
e f (t)dt
e f (t)dt
est |f (t)| dt
0
est ect dt <
M
, if s > c.
sc
The usefulness of the Laplace transform comes from the following theorem, which says that the operation of differentiation in t is replaced by the
operation of multiplication in s.
Theorem 5.6.2 If f (t) and f 0 (t), defined on [0, ), satisfy the two conditions above, then
L[f 0 (t)](s) = sL[f (t)](s) f (0).
Proof:
Z
0
L[f (t)](s)) =
=
lim
est f 0 (t)dt
lim est f (t) 0 + lim s
= f (0) + sL[f (t)](s).
Z
0
est f (t)dt
192
Chapter 5.
In general, if f , f 0 , . . ., f (n1) satisfy the condition (1) and (2), and f (n)
satisfies (1), then
L[f 00 (t)](s) = sL[f 0 (t)](s) f 0 (0) = s2 L(f (t)) sf (0) f 0 (0),
L[f (n) (t)](s) = sn L[f (t)](s) sn1 f (0) sn2 f 0 (0) f (n1) (0).
We now go back to our initial value problem of LDE:
ay 00 (t) + by 0 (t) + cy(t) = f (t),
y(0) = y0 , y 0 (0) = y00 .
The Laplace transforms of this equation becomes:

L[f (t)](s) = L[ay 00 (t) + by 0 (t) + cy(t)](s)
= a[s2 L[y(t)](s) sy(0) y 0 (0)]
+b[sL[y(t)](s)) y(0)] + cL[y(t)](s)
= (as2 + bs + c)L[y(t)](s) (as + b)y(0) ay 0 (0).
Hence, a differential equation is transformed into an algebraic equation:
L[y(t)](s) =
a
1
as + b
y0 + 2
y00 + 2
L[f (t)](s).
+ bs + c
as + bs + c
as + bs + c
as2
That is, the right side is a function Y (s) in s: L[y(t)](s) = Y (s). Then y(t) =
L1 [Y (s)](t), provided L1 is meaningful. Instead, just like finding antiderivative, one can find y(t) by looking at Y (s) = L[y(t)](s) by inspection
or by a table.
Remark: (1) The laplace transform L[y(t)](s) of a solution y(t) of L[y](t) =
f (t) is expressed by an algebraic equation in s which takes care of the initial
conditions automatically, and also of the nonhomogeneous part f (t). Thus
we dont need to find solutions of homogeneous equation first to get the
general solution first.
(2) Higher order differential equations can be handled in the same way.
y 00 (t) 3y 0 (t) + 2y(t) = e3t , y(0) = 1, y 0 (0) = 0.
5.6.
Laplace Transforms
193
Solution: Take the Laplace transform of both sides:

L[y(t)](s) =
=
=
=
as + b
a
1
1
y0 + 2
y00 +
2
+ bs + c
as + bs + c
(as + bs + c) (s 3)
s3
1
+
s2 3s + 2 (s2 3s + 2)(s 3)
s3
1
+
(s 1)(s 2) (s 1)(s 2)(s 3)
as2
1
1
2
1
1
2
2
+
(s 1) (s 2) (s 1) (s 2) (s 3)
1
2
2
+
= Y (s)
(s 1) (s 2) (s 3)
5
1
5
1
= L[ et ](s) L[2e2t ](s) + L[ e3t ](s) = L et 2e2t + e3t (s).
2
2
2
2
5
2
Thus, y(t) = 52 et 2e2t + 21 e3t .
Remark: The solution y(t) found in Example 5.6.4 is the only continuous
one. There are many other discontinuous solutions like:
5 t
1 3t
2t
if t 6= 1, 2, 3
2 e 2e + 2 e ,
z(t) =
0,
if t = 1, 2, 3.
whose Laplace transform is also Y (s), since z(t) is differ from y(t) at only
three points.
5.6.1
Properties of Laplace transforms
Theorem 5.6.3 Let L[f (t)](s) = F (s). Then

d
(1) L[tf (t)](s) = ds
F (s), and so L[(t)n f (t)](s) =
(2) L[eat f (t)](s) = F (s a).
dn
dsn F (s).
R
Proof: (1) Since F (s) = 0 est f (t)dt,
Z
Z
d
d st
F (s) =
(e )f (t)dt =
t(est )f (t)dt = L[tf (t)](s).
ds
ds
0
0
Z
Z
at
(as)t
(2) L(e f (t)) =
e
f (t)dt =
e(sa)t f (t)dt = F (s a).
0
194
Chapter 5.
Example 5.6.5 The followings are easy consequences of the definition:

1 s
(1) L[f (ct)](s) = F ( ).
Z c c
1
est dt = .
(2) L[1](s) =
s
0
d
1
(1)2
(3) L[t](s) = L(1) =
= 2.
2
ds
s
s
d
n!
n!
d (1)2(n1) (n 1)!
(4) L[tn ](s) = L[tn1 ](s) = (1)
= (1)2n n+1 = n+1 .
ds
ds
sn
s
s
1
(5) L[eat ](s) = L[1](s a) =
.
(s a)
1
.
(6) L[eat t](s) = L[t](s a) =
(s a)2
n!
(7) L([eat tn ](s) = L[tn ](s a) =
.
(s a)n+1
sa
(8) L[eat cos t](s) = L([cos t](s a) =
.
(s a)2 + 2
(9) L[eat sin t](s) = L[sin t](s a) =

.
(s a)2 + 2
1 t
e + et
(s) =
L[e ](s) + L[et ](s)
(10) L[cosh t](s) = L
2
2
1
1
s
1
+
= 2
=
.
2 s s+
s 2
1 t
e et
(s) =
L[e ](s) L[et ](s)
(11) L[sinh t](s) = L
2
2
1
1
1
= 2
.
2 s s+
s 2
sa
(12) L[eat cosh t](s) = L[cosh t](s a) =
.
(s a)2 2
(13) L[eat sinh t](s) = L[sinh t](s a) =

.
(s a)2 2
s2 2
2s
1
=
+i 2
.
(14) L[eit t](s) = L[t](s i) =
(s i)2
(s2 + 2 )2
(s + 2 )2
Example 5.6.6 Let f (t) = tp for p > 1. Then, with the substitution
t = xs and so dt = 1s dx, for s > 0,
Z
Z
1
p
1
p
st p
L([t ](s) =
e t dt = p+1
ex xp dx = p+1 (p + 1) = p+1 (p),
s
s
s
0
0
5.6.
Laplace Transforms
195
where (x) is the gamma function discussed in Chapter 11. Thus if p is a

1
n!
positive integer n, then L[tn ](s) = sn+1
(n + 1) = sn+1
for s > 0. Using the
1
formulas ( 2 ) = in page 327, we get, for s > 0,
1/2 1
1/2
L[t ](s) = L[ t](s) = 3/2 ( ) = 3/2 .
2 r
s
2s
Z
2
1
1
1
1/2
x2
=
L[t
](s) = L[ ](s) = ( ) =
e dx .
s
s 2
s 0
t
Example 5.6.7 Find f (t) whose Laplace transform is given as
(1) L[f (t)](s) =
1
.
(s2)2
(2) L[f (t)](s) =
4s
.
(s2 +4)2
(3) L[f (t)](s) =
1
.
(s4)3
(4) L[f (t)](s) =
s7
.
25+(s7)2
(5) L[f (t)](s) =
1
.
(s2 4s+9)
(6) L[f (t)](s) =
s
.
(s2 4s+9)
1
s2
Solution: (1) Observe that L[e2t ](s) =
1
d 1
.
=
2
(s 2)
ds s 2
(2) Observe that L[sin 2t](s) =
2
s2 +4
4s
2
d
.
=
(s2 + 4)2
ds s2 + 4
and
1
= L[te2t ](s).
(s 2)2
and
4s
= L[t sin 2t](s).
(s2 + 4)2
(3) Observe that

1
d2
1
.
=
3
2
(s 4)
ds 2(s 4)
(4) Observe that L[cos 5t](s) =
s
s2 +52
1
1
= L[ t2 e4t ](s).
3
(s 4)
2
and
s7
25+(s7)2
= L[cos 5t](s 7). Thus
s7
= L[e7t cos 5t](s).
25 + (s 7)2
1
(5) Observe that L[ 15 sin 5t](s) = s21+5 and (s2 4s+9)
=
1
.
(s2)2 +5
1
1 2t
=
L[
e
sin
5t](s).
s2 4s + 9
5
s
s2
2
(6) Observe that (s2 4s+9)
5t](s) =
= (s2)
2 +5 + (s2)2 +5 , L[cos
s2
2t
L[e cos 5t](s) = (s2)2 +5 . Thus
Thus
s
2 2t
2t
e
sin
=
L[e
cos
5t
+
5t](s).
s2 4s + 9
5
s
,
s2 +5
and
196
5.6.2
Chapter 5.
Discontinuous non-homogeneous functions
In the following non-homogeneous part function f (t) has in many cases

points of discontinuity.
ay 00 (t) + by 0 (t) + cy(t) = f (t).
(5.19)
The method of Laplace transform is quite useful in such cases.

A simple example of such a function with a single jump discontinuity is
a step function
0, 0 t < c,
Hc (t) =
1, c t,
called the unit step function, or Heaviside function. Its Laplace transform is
Z
Z
L[Hc (t)](s) =
est Hc (t)dt =
est dt
0
c
Z
ecs
ecs es
=
, s > 0.
= lim
est dt = lim
c
s
s
For a function f (t) defined on [0, ), let g(t) be the translation of f (t)
by c along the t axis:
0,
0 t < c,
g(t) =
f (t c), c t.
= Hc (t)f (t c).
Theorem 5.6.4 Let L[f (t)](s) = F (s). Then
L[g(t)](s) = L[Hc (t)f (t c)](s) = ecs F (s).
Proof:
Z
L[Hc (t)f (t c)](s) =
Z
st
e
0
Hc (t)f (t c)dt =
est f (t c)dt
es(+c) f ()d
0
Z
cs
= e
es f ()d = ecs F (s).
5.6.
Discontinuous Non-homogeneous Functions
197
Example 5.6.8 Find f (t) whose Laplace transform is given as

(1) L[f (t)](s) =
Solution: (1) Since L(t) =
es
.
s2
(2) L[f (t)](s) =
e3s
.
s2 2s3
1
,
s2
es
= L[H1 (t)(t 1)].
s2
(2) Note that
1
s2 2s3
1
(s1)2 22
1
(s 1)2 22
e3s
(s 1)2 22
1
.
s2 22
Thus
1
= L[ et sinh 2t](s),
2
1
= L[ H3 (t)et3 sinh 2(t 3)](s).
2
Example 5.6.9 Let f (t) =
and L[ 12 sinh 2t](s) =
t, 0 t < 1,
Find L[f (t)](s).
0, 1 t.
Solution: Observe that f (t) can be written as

f (t) = t(H0 (t) H1 (t)) = t tH1 (t).
Hence,
L[f (t)](s) = L[t](s) L[tH1 (t)](s) =
1
1
d es
es es
=
2 .
+
s2 ds s
s2
s
s
1, 0 t < 1, 2 t < 3, 4 t < 5,

00
0
y (t) 3y (t) + 2y(t) = f (t) =
0, 1 t < 2, 3 t < 4, 5 t < ,
with y(0) = 0, y 0 (0) = 0.
Solution: By taking the Laplace transform of the equation, we get
(s2 3s + 2)L[y(t)](s) = L[f (t)](s), or L[y(t)](s) =
L[f (t)](s)
L[f (t)](s)
=
.
2
s 3s + 2
(s 1)(s 2)
198
Chapter 5.
Since f (t) = [H0 (t) H1 (t)] + [H2 (t) H3 (t)] + [H4 (t) H5 (t)],
L[f (t)](s) =
1 es e2s e3s e4s e5s
.
s
s
s
s
s
s
Thus,
L[y(t)](s) =
L[f (t)](s)
1 es + e2s e3s + e4s e5s
=
.
(s 1)(s 2)
s(s 1)(s 2)
Note that
1
11
1
1 1
1
1 2t
t
=
+
=L
e + e (s).
s(s 1)(s 2)
2s s1 2s2
2
2
Therefore,
1
1 2t
1
1 2(t1)
t
t1
y(t) =
e + e H1 (t)
e
+ e
2
2
2
2
1 2(t2)
1
1
t2
e
+ e
H3 (t)
et3 +
+H2 (t)
2
2
2
1
1
1
+H4 (t)
et4 + e2(t4) H5 (t)
et5 +
2
2
2
5.6.3
1 2(t3)
e
2
1 2(t5)
e
.
2
The Dirac delta function
In many physical and biological applications, the function f (t) of the nonhomogeneous part in the differential equation (5.19) describes phenomena
of an impulsive nature, such as voltages or forces of large magnitude that
act over very short time intervals. In these situations, the only information
we have about f (t) is that it is identically zero except for very short time
interval (t0 , t0 + ), and that its integral over the time interval is a given
number
Z
I (f ) =
f (t)dt = I0 (f ) 6= 0.
Such a function is called impulsive function. For instance, set t0 = 0, and

set
1
2 , t ,
(t) =
0, |t|.
5.6.
199
Then I ( ) = 1 for all > 0. This kind of function can be idealized by

prescribing it to act over shorter and shorter time interval, that is, we require
0: As a limiting case, we would like to have a function (t) such that
Z
(t) = 0, for t 6= 0, and I() =
(t)dt = 1.
Of course, there is no ordinary function of this kind studied in elementary

calculus that satisfies both equations above. This kind of unit impulse
function is known as a generalized function, and is usually called the Dirac
delta function. In the example,
(t) = lim (t) = 0,
o
I() = lim I ( ) = 1,
o
if t 6= 0,
since I ( ) = 1 for all 6= 0.
R The Dirac delta function at arbitrary point t0 is now (t t0 ) with

(t t0 )dt = 1 with
, t = t0 ,
(t t0 ) =
0, t 6= t0 .
Suppose that f (t) is an impulse function which is positive on [a, b], zero
Rb
elsewhere, and a f (t)dt = 1. Then, for any continuous function g(t) with
m g(t) M for all t [a, b],
Z
m
a
mf (t)
g(t)f (t)
M f (t),
Z b
Rb
f (t)dt a g(t)f (t)dt M
f (t)dt
a
Rb
m a g(t)f (t)dt M.
Hence, as b a with a t0 b,
Z b
g(t)f (t)dt g(t0 ).
a
Therefore, for any continuous function g(t) and f (t) = (t t0 ),
Z b
g(t0 ), a t0 b,
g(t)(t t0 )dt =
0,
otherwise.
a
The Laplace transform of (t t0 ) is
Z
L[(t t0 )](s) =
est (t t0 )dt = est0 , for t0 0.
0
200
Chapter 5.
If t0 = 0, then
L[(t)](s) = lim L[(t t0 )](s) = lim est0 = 1.
t0 0
t0 0

y 00 (t) + 2y 0 (t) + 2y(t) = (t ), with
y(0) = 0 y 0 (0) = 0.
Solution: The Laplace transform of the equation is

(s2 + 2s + 2)Y (s) = es , or Y (s) =
Since
1
(s+1)2 +1
es
es
=
.
s2 + 2s + 2
(s + 1)2 + 1
= L[et sin t](s),
L[y(t)](s) =
es
= L[H (t)e(t) sin(t )](s).
(s + 1)2 + 1

y 00 (t) 4y 0 (t) + 4y(t) = 3(t 1) + (t 2), with
y(0) = 1 y 0 (0) = 1.
Solution: (1) The Laplace transform of the equation is

(s2 4s+4)Y (s) = s3+3es +e2s , or Y (s) =
Since
1
(s2)2
s3
3es
e2s
+
+
.
2
2
(s 2) (s 2) (s 2)2
= L[te2t ](s),
3es
e2s
+
(s 2)2 (s 2)2
s3
(s 2)2
= L[3H1 (t)(t 1)e2(t1) + H2 (t)(t 2)e2(t2) ](s).

=
s2
1
= L[(1 t)e2t ](s).

2
(s 2)
(s 2)2
Thus,
y(t) = (1 t)e2t + 3H1 (t)(t 1)e2(t1) + H2 (t)(t 2)e2(t2) .
(2) Try to solve without Laplace transform.
5.6.
201
(i) For 0 t < 1, the problem becomes:

y 00 (t) 4y 0 (t) + 4y(t) = 0, with
y(0) = 1 y 0 (0) = 1.
Since the characteristic root are r1 = r2 = 2, y(t) = (a1 + a2 t)e2t . By the

initial values, 1 = y(0) = a1 and 1 = y 0 (0) = 2a1 + a2 , or a2 = 1. Hence
y(t) = (1 t)e2t , on [0, 1).
(ii) Now, y(1) = 0 and y 0 (1) = e2 . But at t = 1, y 0 (t) is suddenly
increased by 3 so that y 0 (1) = 3 e2 . Thus, on [1, 2), the problem becomes:
y 00 (t) 4y 0 (t) + 4y(t) = 0, with
y(1) = 0 y 0 (1) = 3 e2 .
Since t0 = 1, y(t) = (b1 +b2 (t1))e2(t1) . By the initial values, 0 = y(1) = b1

and 3 e2 = y 0 (1) = 2b1 + b2 , or b2 = 3 e2 . Hence
y(t) = (3 e2 )(t 1)e2(t1) , on [1, 2).
(iii) Now, y(2) = (3 e2 )e2 and y 0 (2) = 3(3 e2 )e2 . But at t = 2, y 0 (t)
is suddenly increased by 1. Thus, on [2, ), the problem becomes:
y 00 (t) 4y 0 (t) + 4y(t) = 0, with y(2) = (3 e2 )e2 y 0 (2) = 1 + 3(3 e2 )e2 .
Since t0 = 2, y(t) = (c1 + c2 (t 2))e2(t2) . By the initial values, (3 e2 )e2 =
y(2) = c1 and 1 + 3(3 e2 )e2 = y 0 (2) = 2c1 + c2 , or c2 = 1 + e2 (3 e2 ).
Hence
y(t) = [e2 (3 e2 ) + (1 + e2 (3 e2 ))(t 2)]e2(t2) , on [2, ).
Example 5.6.13 A mass 1 is attached to a vertical spring, whose stiffness

constant k = 1 Nft. The drag force exerted on the particle is 2y 0 (t). At
t = 0, when the particle is at rest, an external force et is applied. At t = 1,
an additional force f (t) of very short duration is applied to the particle.
This force imparts an impulse of 3 N.s to the particle. Find the position of
the particle at t > 1.
Solution: The distance y(t) of the particle from the equilibrium position
satisfies the initial value problem:
y 00 (t) + 2y 0 (t) + y(t) = et + 3(t 1), with
y(0) = 0 y 0 (0) = 0.
202
Chapter 5.
The Laplace transform of the equation is

(s2 + 2s + 1)Y (s) =
1
1
3es
+ 3es , or Y (s) =
+
.
s+1
(s + 1)3 (s + 1)2
Since
1
1
= L[ t2 et ](s),
3
(s + 1)
2
Thus,
5.7
3es
= L[3H1 (t)(t 1)e(t1) ](s).
(s + 1)2
1
y(t) = t2 et + 3H1 (t)(t 1)e(t1) .
2
The Convolution Integral
Let L[f (t)](s) = F (s) and L[g(t)](s) = G(s). Since the Laplace transform
is linear:
L[af (t) + bg(t)](s) = aL[f (t)](s) + bL[g(t)](s),
the inverse of a linear combination of the Laplace transforms F (s) and G(s)
can easily found to be that of f (t) and g(t). However, some times we need
to find the inverse of the product of F (s) and G(s), but in this case the
inverse is not the product of f (t) and g(t): i.e.,
L[f (t) g(t)](s) 6= L[f (t)](s) L[g(t)](s).
Fortunately, there is an extremely interesting way of combining two functions
f and g which resembles multiplication, whose Laplace transform is the
product of the individuals transform.
Definition 5.7.1 The convolution (f g)(t) of f and g is defined by the
equation
Z t
Z t
(f g)(t) =
f (t u)g(u)du =
f (v)g(t v)dv = (g f )(t).
0
Theorem 5.7.1
(1) f (g h) = (f g) h.
(2) f (g + h) = f g + f h.
(3) f 0 = 0 f = 0.
5.7.
203
(4) L[(f g)(t)](s) = L[f (t)](s) L[g(t)](s).

Rt
Note that f 1(t) = 0 f (u)du 6= f (t) and f f 6= f 2 . For instance, if
f (t) = cos t and g(t) = 1, then
Z
(f 1)(t) =
cos udu = sin t 6= f (t),

0
Z
(f f )(t) =
cos u cos(t u)du =

0
t cos t + sin t
6= f (t)2 .
2
Proof: The proofs of (1) - (3) are easy exercises. We prove (4) here.
Z
Z
su
L[f (t)] L[g(t)](s) =
e f (u)du
esv g(v)dv
0
Z0 Z
s(v+u)
=
g(v)e
f (u)dudv, set u + v = t,
0
0
Z
Z
=
g(v)
est f (t v)dtdv,
0
v
Z
Z t
=
est
g(v)f (t v)dvdt
0
0
Z
Z t
st
=
e dt
f (t v)g(v)dv
0
Z0
=
est (f g)(t)dt
0
= L[(f g)(t)](s).
v
dv
v=t
6
R
-v < t
0vt
-
dt
The third integral is over the region R in the following tv-plane, and the
order of the integral is taken, for a fixed v varying from 0 to , t varies
from v to since u varies from 0 to . The fourth equality is obtained by
204
Chapter 5.
changing the order of integration: for a fixed t varying from 0 to , v varies

from 0 to t.
Example 5.7.1 Find the inverse Laplace transform of the functions:

(1) F (s) =
a
s2 (s2 + a2 )
Solution: (1) Note that
= L [t] (s) and
1
.
s(s2 + 2s + 2)
1
s2 +a2
= L[sin at](s).
a
(t) = (t sin at)
s2 (s2 + a2 )
Z t
=
(t u) sin audu
0
t
Z
tu
1 t
=
cos au
cos audu
a
a 0
0
1
t
at sin at
2 sin at =
=
.
a a
a2
(2) Note that
1
s2
(2) F (s) =
1
s
= L[1](s) and
1
s2 +2s+2
1
(s+1)2 +1
= L[et sin t](s).
Z t
1
(t) =
eu sin udu
s(s2 + 2s + 2)
0
1
=
1 et (cos u + sin t) .
2
Remark: Consider a general linear differential equation with constant coefficients:

ay 00 (t) + by 0 (t) + cy(t) = f (t), with y(0) = y0 , y 0 (0) = y00 .
The Laplace transform of this equation is
as + b
a
1
y0 + 2
y00 + 2
F (s)
+ bs + c
as + bs + c
as + bs + c
Y1 (s) + Y2 (s) + (s).
L[y(t)](s) = Y (s) =
as2
This shows that y1 (t) = L1 [Y1 (s)](t) is the solution of the homogeneous
equation (f (t) = 0) with y0 = 1, y00 = 0, and y2 (t) = L1 [Y2 (s)](t)
is the solution of the homogeneous equation with y0 = 0, y00 = 1, and
5.7.
205
(t) = L1 [(s)] (t) is the particular solution of a non-homogeneous equation (f (t) 6= 0) with y0 = 0 = y00 . However,
1
y2
1
F (s) (t) = ( f )(t).
(t) = L
2
as + bs + c
a
This method is much simpler than the variation of parameters formula discussed in Section 5.3.1.
y 00 (t) + 4y(t) = f (t), with
y(0) = 3, y 0 (0) = 1.
Solution: The Laplace transform of the equation is

(s2 + 4)Y (s) 3s + 1 = F (s), or Y (s) =
F (s)
3s 1
+ 2
.
2
s +4 s +4
Thus
F (s)
3s 1
1
(t) + L
(t)
y(t) = L
s2 + 4
s2 + 4
1 1
2
1 1 F (s)2
s
1
(t) L
(t) + L
(t)
= 3L
s2 + 4
2
s2 + 4
2
s2 + 4
Z
1
1 t
= 3 cos 2t sin 2t +
sin 2(t u)f (u)du.
2
2 0
i
h
If f (t) = (t), then L[(t)](s) = F (s) = 1. Thus y(t) = L1 s21+4 (t) =
1
2
sin 2t is the solution of y 00 (t) + 4y(t) = (t) with y0 = 0 = y00 .
Example 5.7.3 Another interesting property of the cycloid, which was the
solution of the brachistochrone problem (see Section 4.2.2), is that it is also
the solution of the tautochrone problem: Find the curve down which a
particle will slide freely under gravity alone, reaching the bottom in the same
time regardless of its starting point on the curve. This problem arose in
the construction of a clock pendulum whose period is independent of the
amplitude of its motion. The tautochrone was found by Christian Huygens
(1629-1695) in 1673 by geometrical methods, and later by Leibniz and Jakob
Bernoulli using analytic arguments. Bernoullis solution in 1690 was one of
the first occasions in which a differential equation was explicitly solved.
206
Chapter 5.
Solution: The geometric configuration is shown in the following figure:

The starting point A(a, b) is joined to the terminal point 0 by the curve
C. The arc length s is measured from the origin 0. The particle P at (x, y)
sliding down from A along C satisfies, by the conservation of energy,
1
mv 2 = mg(b y),
2
where m is the mass of the particle, g is the gravitational acceleration, and
v = ds
dt is the speed of the particle.
y
A(a, b)
b 6
by
y
P (x, y)
- x
Thus,
dt = p
2g(b y)
ds.
Since
p
ds = dx2 + dy 2 =
s
1+(
dx 2
) dy f (y)dy,
dy
the time T (b) required for the particle to slide down from A to the origin 0
is
Z y=b
Z y=b
1
1
1
1
f (y)
T (b) =
ds =
dy = (g f )(b),
2g y=0
2g y=0
2g
by
by
where g(y) = 1y . Assume that T (b) = T0 is a constant, for any b. Take the
Laplace transform of the equation:
L[g f ](s) = L[g](s) L[f ](s) =
p
p
1
2g T0 L[1](s) = 2g T0 .
s
5.7.
207
However, by Example 5.6.6, we have

1
L[g](s) = L[ ](s) =
y
Hence,
L[f ](s) =
L[g f ](s)
=
L[g](s)
Therefore,
s
1+(
and so
dx 2
) = f (y) =
dy
dx
=
dy
,
s
s > 0.
2g T0 1
2g T0
=
.
s
s
2g T0 1
2g T0 1
(t) =
L
,
y
s
2 y
,
y
gT02
,
2
whose solution is the same one obtained in Section 4.2.2, the cycloid.
Note that, in this case, the roles of x and y axes are exchanged from the
case in Section 4.2.2.
Remark: For linear systems of differential equations, students are recommended to take the course of Math. 300 Linear Algebra.

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Chapter 5

Second Order Differential

Second Order Linear Differential Equations

A second order differential equation is an equation of the form

y(t0 ) = y0 , y 0 (t0 ) = y00 ,

y(t0 ) = y0 , y 0 (t0 ) = y00 ,

Second Order Differential Equations

on the entire interval (, ). In particular, the solution y = (t) satisfying

which make sense only when they are applied to a function y:

Let L = D2 + pD + q, where p, q are continuous functions on (, ). Then

An operator satisfying this property is called a linear operator. It follows

Second Order Linear Differential Equations

or y2 (t) = cy1 (t),

Otherwise, they are said to linearly independent.

Second Order Differential Equations

However, we know that the system

Corollary 5.1.4 Let y1 (t) and y2 (t) be two solutions of L[y](t) = 0 on

5.2. H2 O-LDE WITH CONSTANT COEFFICIENTS

Proof: Let y(t) be a solution of L[y](t) = 0 on (, ). We want to find

y0 y20 (t0 ) y00 y2 (t0 )

Definition 5.1.3 A set of linearly independent solutions {y1 (t), y2 (t)} is

H2 O-LDE with Constant Coefficients

Second Order Differential Equations

The last equation is called the characteristic equation of the differential

Solution: The characteristic equation r2 + 4r 2 = 0 has two solutions:

The constants c1 and c2 are to be determined from the initial conditions

y(0) = c1 + c2 = 1, (2 + 6)c1 + (2 6)c2 = 2.

so that the particular solution is

H2 O-LDE with Constant Coefficients

Case 2: r1 and r2 are complex numbers. They are conjugate to each

which makes sense even for x complex. Thus

Second Order Differential Equations

From the direct computation, we get

Solution: The characteristic equation r2 + 2r + 4 = 0 has two solutions:

u(t) = et cos 3t,

are two real valued solutions, so that the general solution is

y(t) = et (c1 cos 3t + c2 sin 3t).

y(0) = c1 = 1, y 0 (0) = c1 + 3c2 = 1.

so that the particular solution is

H2 O-LDE with Constant Coefficients

Case 3: r1 = r2 : repeated roots. This is the case in which b2 4ac = 0,

y200 = vy100 + 2v 0 y10 + v 00 y1 ,

L[y2 ] = a(vy100 + 2v 0 y10 + v 00 y1 ) + b(vy10 + v 0 y1 ) + cvy1

shows they form a fundamental set of solutions. Therefore, the general

Solution: The characteristic equation r2 + 4r + 4 = 0 has two equal solutions: r1 = 2 = r2 . Thus

we get c1 = 1, c2 = 5 so that the particular solution is

Second Order Differential Equations

In general, if we have only one solution y1 (t) of a H2 O-LDE

y20 = vy10 + v 0 y1 , y200 = vy100 + 2v 0 y10 + v 00 y1 ,

since y1 is a solution. By setting v 0 (t) = u(t),

This is called the method of reduction of order since the problem is

= 23 t1/2 and the general solution is

H2 O-LDE with Constant Coefficients

and so y2 (t) = t 1t + t = (1 + t2 ). Hence y(t) = c1 t c2 (1 + t2 ). Since

we get c1 = 4, c2 = 3 so that the particular solution is

Example 5.2.6 [Legendre Equation] Find the general solution y(t) of

Second Order Differential Equations

Hence y2 (t) = tv(t) = 1 2t ln 1+t

Nonhomogeneous 2-nd order linear differential equations (NH2 O-LDE) is of

Example 5.3.1 Find the general solution y(t) of

Example 5.3.2 Three particular solutions of a certain NH2 O LDE are

are solutions of the corresponding homogeneous equation, which are also

To find a particular solution of a NH2 O LDE