LINEAR DIFFERENTIAL EQUATIONS WITH CONSTANT

COEEFICIENTS]

General Form
dn y dn1 y d2 y dy
an a n1 ... a a a 0 y f (x)
dx n1
2 1
dx n dx 2 dx
or
n
dk y

k 0
ak
dx k
f (x )

where ak cons tan ts for k 0,1, 2,..., n

when f(x)=0 the equation is called

HOMOGENEOUS
f(x)0 the equation is called NON-
HOMOGENEOUS

STANDARD FORM for writing differential equations is

based on the so-called OPERATOR Notation where
d
is replaced by D
dx
dy
Dy
dx
d2 y
2
D 2
y
thus, dx
dn y
n
Dn y
dx
A Linear Differential Equation (LDE) with constant
coefficient may be written as
a nDn y a n1Dn1 y ... a 2D 2 y a1Dy a 0 y f (x)
or
n

a D
k 0
k
k
y f (x )

or
Dy f (x)
if f(x) = 0 the equation is called
HOMOGENEOUS
f(x) 0 the equation is called NON-
HOMOGENEOUS

Properties of the operator

1. (D D )y (D D )y
r s s r

2. Dr Ds Dt y Dr Ds Dt y
3. D D y D D y
r s s r

4. Dr DsDt y Dr D s D t y
5. Dr Ds Dt y Dr Ds Dr Dt y
6. Dr D s y Dr s y
7. Dr (ky) kDr y where k cons tan t

Polynomial operator is expressible in factored form as a

product of n linear expressions in D,
(D) (D r1 )(D r2 )(D r3 )...( D rn )
where r1, r2, r3,rn are roots of the equation D 0
COMPLETE SOLUTION OF A LINEAR
DIFFERENTIAL EQUATION WITH CONSTANT
COEFFICIENT, Dy f(x)

For every non-homogeneous equation there is an

associated homogeneous equation by replacing f(x) with
0, i.e.,
Dy 0
Recall: SOLUTION to a D.E. when substituted to the
DE, satisfies it

COMPLETE SOLUTION
The complete solution to the DE Dy f (x) is
an equation representing the functional
dependence of y on x,
y f x, c1 , c 2 ,..., cn
The complete solution is broken up into two
distinct components
a. yc complementary function
b. yp particular integral

y y c yp

1. COMPLEMENTARY FUNCTION, yc
a. contains all the arbitrary constants
demanded by the DE,
y c y c x, c1 , c 2 ,..., c n
b. satisfies the homegeneous DE Dy 0
 2. PARTICULAR INTEGRAL, yp
a. must not contain any arbitrary constants,
y p y p (x )
b. satisfies the given DE Dyp f (x)

y y c yp satisfies the following conditions:

a. y contains arbitrary constants

b. y satisfies the differential equation

(D)y c yp f (x)
(D)y c (D)y p f (x )
0 f (x ) f (x )
f (x ) f (x )

Theorem

If y1, y2, y3 are each solutions of (D)y 0 , then

c1y1, c2y2, c3y3 where cs are arbitrary constants, are
also solutions. The sum y c1 y1 c 2 y 2 c 3 y 3 is
also a solution.
 HOMOGENEOUS LDE WITH CONSTANT
COEFFICIENT

General Form: (D)y 0

n

Standard Solution:
y y c
i1
c i e mi x
, yp 0 ;
where n = no. of roots

Auxiliary Equation or Characteristic Equation:

anmn an1mn1 ... a 0 0

- obtained by replacing the operator D

with the variable m.
- n roots

To determine yc:
1. set up the auxiliary equation (m) 0 and solve for
its n roots.
2. using n roots, set up yc

y c c1e m1x c 2 e m21x ... cn e mn1x

n
y c c k e mk x
k 1
I. Real & Distinct Roots

y
Gen. Soln: c c1em1x
c 2 em2 x
... cnemn x

example1: D 4D D 6 y 0
3 2

auxiliary eqn: m3 4m2 m 6 0
Three roots: m1 1, m2 2, m3 3 (real &
distinct)
1x
Solution: y yc c1e c2e c3e
2x 3x

example2: D 1 D 4 y 0
2 2

II. Complex & Distinct Roots

Roots: a bi , a bi
Where a,b are real nos.; b 0; i2 = -1

a bi x
Gen. Soln: y yc c1e c2ea bi x
Using Euler Relationship:
ei cos i sin
Thus,

yc c1eax cos bx i sin bx c2eax cos bx i sin bx

Simplifying,
yc eax c1 c2 cos bx ic1 ic 2 sin bx
Then,

yc eax c1* cos bx c*2 sin bx
 example1:
D
10D 26 y 0
2

auxiliary eqn: m 10m 26 0
2

roots: m 5 i
solution: y yc e c1 cos x c2 sin x
5 x

example2:
D 4

8D2 9 y 0

III. Real & Repeated Roots

Gen. Soln: If the root occurs p times

y yc c1emx c2xemx ... cpxp 1emx

example1:
D 2

6D 9 y 0

auxiliary eqn: m 6m 9 0
2

roots: m 3, 3
3x 3x 3x
solution: y yc (c1 c2x)e c1e c2xe

example2:
D 4
5D3 6D2 4D 8 y 0

IV. Complex & Repeated Roots

 Gen. Soln: If the conjugate pair m a bi
repeated p times,

y yc eax c1 c 2 x ... cp xp 1 cos bx

eax cp 1 cp 2 x ... c 2p xp 1 sin bx
d4 y d2 y
example1: dx 4 2 dx 2 y 0
can be written as
D 4

2D2 1 y 0
auxiliary eqn: m 2m 1 0
4 2

roots: m i, i
soln: y yc c1 c2x cos x c3 c4x sin x

example2: 2D 2
2
8D 32 y 0
NON-HOMOGENEOUS LINEAR EQUATIONS WITH CONSTANT
COEFFICIENTS

Standard Form: Dy f x, where f x 0

Complete Solution: y y c yp

To determine:

a. yc: Dy 0
b. yp: 1. method of undetermined coefficients (MUC)
2. method of variation of parameters (MVP)

Method Of Undetermined Coefficients (MUC)

- applicable to certain forms of f(x)

f (x ) yp

(cons tan t) A (cons tan t)

xn A 0 A1x A 2 x 2 ... An x n

e mx Ae mx
x n e mx A 0
A1x A 2 x 2 ... An x n e mx

cos kx
sin kx
A cos kx B sinkx

x n e mx cos kx
A 0
A1 x A 2 x 2 ... A n x n e mx cos kx
x n e mx sin kx
B 0 B1x B 2 x 2 ... Bn x n e mx sin kx

Method Of Undetermined Coefficients (MUC)

Steps:
1. Check whether f(x) contains only those terms listed in the
table.
 2. Solve for the roots m, m 0 , and set up yc.

3. Assume the form of yp on the basis of the form of f(x)

- if f(x) is a multi-function, treat each term of f(x)
individually in setting up yp. i.e., yp yp1 yp2 yp3 ... ypk .

4. Check yp versus yc and whenever a term in any of the yp

duplicates a term in the yc, all terms in that particular yp
must be multiplied by the lowest possible integral power of
x sufficient to eliminate duplication.

5. Check duplication between yps. Necessary operations

must be carried out to see to it that no term is duplicated.

6. Substitute the assumed form of yp into the differential

equation and evaluate the coefficients of identical terms.

example1: D3 6D2 11D 6y e x cos x

solution: y yc yp
setting up yc:
auxiliary eqn: m3 6m2 11m 6 0
roots: m 1, 2, 3
yc c1e x c2e2 x c3e3x
setting up yp:
yp1 Ae x
yp 2 B cos x C sin x
thus, yp yp1 yp 2
yp Ae x B cos x C sin x
Dy p Ae x B sin x C cos x D 2 yp Ae x B cos x C sin x
D3 yp Ae x B sin x C cos x

substituting to the DE:

Ae x

B sin x C cos x 6 Ae x B cos x C sin x 11 Ae x B sin x C cos x
6Ae B cos x C sin x e cos x
x x

simplifying:
 24Ae x 10B sin x 10C cos x e x cos x
ex:
24A 1
A 1/ 24
cos x:
10C 1
C 1/ 10
sin x:
10B 0
B0
1 x 1
thus, y p e sin x
24 10
solution: y y c yp
1 x 1
y c 1 e x c 2 e 2 x c 3 e 3 x e sin x
24 10

d2 y dy
example2: 2
4 4y x 3 e 2 x xe 2 x
dx dx

example3: y" 5y' 6y 5e 2x e3x 7 cos x

exercises:

1. y" 4y' 5y e 2x xe 2x 6 cos x 4 sin x

2. y'" 4y' 5e x 3 cos 2x
3. y"'' 9y'' x 2 x sin3x
4. y" 6y' 10y e 4x xe 2x 6e 3x cos 2x 4 sin x
Method of Variation of Parameters (MVP)
-applied to any linear equation of any order with
constant or variable coefficients for which the yc is
available.

Derivation:
Consider the equation: a 0D2 a1D a 2 y f (x)
Solution: y y c yp
Setting up yc: yc c1 y1 c 2 y 2
To set-up yp, assume u1 and u2 as functions of
x and substitute them into c1 and c2: yp u1 y1 u2 y 2 .
Dy p u1 y1' u1' y1 u2 y '2 u'2 y 2
let u1' y1 u'2 y 2 0 eqn1
Dy p u1 y1' u2 y '2
D 2 yp u1 y1" u1' y1' u2 y "2 u'2 y '2
Substitute into the DE:

a 0 u1 y1" u1 y1' u2 y "2 u2 y '2 a1 u1 y1' u2 y '2 a 2 u1 y1 u2 y 2 f (x)

u1 a 0 y1" a1 y1' a 2 y1 u2 a 0 y "2 a1 y '2 a 2 y 2 a 0 u1' y1' u'2 y '2 f (x) eqnA

since y1 and y2 are solutions to the equation f(x)=0,

then
a 0 y1" a1 y1' a 2 y1 0
a 0 y "2 a1 y '2 a 2 y 2 0
eqnA then becomes,

a 0 u1' y1' u'2 y '2 f (x)
u y
'
1
'
1
u'2 y '2
f (x )
a0
eqn2
 Solving eqn1 and eqn2 will give u1' and u'2
y1 y 2 u1' 0
y ' ' '
f (x )
1 y 2 u 2 a
0
Then,
u1 u1' du and u2 u'2 du

Steps:
1. Write yc.
2. Replace arbitrary constants, cs of yc, by functions
us (which are functions of x)
3. Obtain the equations for solving u by differentiating
as many times as the order of the DE. After each
differentiation, except in the last differentiation, set
the sum of all terms containing derivatives of us
equal to zero.
4. Solve for u1' , u'2 , ... , un'
5. Obtain u1 , u2 , ... , un by integration and substitute in
yp.

example1: D2 1y csc x cot x

Solution: y yc yp
Solving yc:
Auxiliary equation: m2 1 0
Roots: m i
y c e 0x c1 cos x c 2 sin x
yc c1 cos x c2 sin x
Solving yp:
yp u1 cos x u2 sin x
Dy p u1' cos x u1 sin x u'2 sin x u2 cos x
u1' cos x u'2 sin x 0 eqn1
Dy p u1 sin x u2 cos x

D 2 yp u1' sin x u1 cos x u'2 cos x u2 sin x
 Substitute into the DE:

u1' sin x u1 cos x u'2 cos x u2 sin x u1 cos x u2 sin x csc x cot x
u sin x u cos x csc x cot x
'
1
'
2 eqn2

cos x sin x u1' 0

sin x cos x ' csc x cot x
u 2
Solving
cos x
u1' u '2 cot 2 x
sin x
Solving for u1 and u2
cos x
u1 dx u 2 cot 2 x dx
sin x
u1 ln sin x u2 cot x x
y p ln sin x cos x cot x x sin x
Solution: y y c yp
y c1 cos x c 2 sin x ln sin x cos x cot x xsin x
Simplifying
y c1 cos x c 2 sin x ln sin x cos x cos x x sin x

LINEAR EQUATIONS WITH VARIABLE COEFFICIENTS WHICH CAN

BE TRANSFORMED INTO LDE WITH CONSTANT COEFFICIENT

The Cauchy-Euler Linear Equation (Euler Equation)

Standard Form:

a x D
n
n n

a n1x n1Dn1 ... a1xD a 0 y f x

where a 0 , a1 , ... , an are constants

d
D
dx

Note: Powers of x and D in each term are equal.

Transformation into an LDE with Constant Coefficient

1
Let z ln x or x e z , then, dz dx
x
d dy
Dx , then, D x y
dx dx
 d
Dz
dz

dy dy dz dz dy 1 dy 1
Dx y Dz y
dx dx dz dx dz x dz x
xD x y D z y

For the third derivative,

D 2x y
d
D x y d 1 D z y 1 d D z y 12 D z y
dx dx x x dx x
1 d
D z y dz 12 D z y
x dx dz x
1 d
D z y dz 12 D z y
x dz dx x
1 2 1 1
Dz y 2 Dz y
x x x

1

D 2z y D z y
x2
x 2D 2x y D 2z y D z y
D z yD z y 1

For the third derivative,

x 3D3x y D z D z 1D z 2y

Observe that
xD x y D z y
x 2D 2x y D z D z 1y
x 3D3x y D z D z 1D z 2y
thus,
x nDnx y D z D z 1D z 2...D z n 1y

Substitute in the Euler Equation

anDz Dz 1...Dz n 1 ... a 2Dz Dz 1 a1Dz a 0 y f z

LDE with constant coefficient where z = independent var

Summary:
1. Substitute the formula x e z
x nDnx y D z D z 1D z 2...D z n 1y
2. Solve the LDE with constant coefficients using MUC or MVP taking
note that z, not x, is the independent variable.
3. Resubstitute z ln x to obtain the solution as a function of x
example1: x 2D 2 xD 1y
1
x
Solution:

1. Substitute the formula x e z

xD x y D z y
x 2D 2x y D z D z 1y
Thus,
D z D z 1 D z 1y e z

2. Solve the LDE with constant coefficients using MUC or MVP taking note
that z, not x, is the independent variable.
Solving usin MUC:
Dz Dz 1 Dz 1y Dz 2 2Dz 1y e z

Auxiliary equation: m2-2m+1 = 0 m=1 two times

yc=(c1+c2z)ez

For yp
yp=Ae-z
Dzyp=-Ae-z
Dz2yp=Ae-z
(Dz2 - 2Dz + 1)yp = Ae-z-2(-Ae-z)+Ae-z = 4Ae-z = e-z
A=
Thus
y = yc + yp
y = (c1+c2z)ez + e-z

3. Resubstitute z ln x to obtain the solution as a function of x

y = (c1+c2lnx)x + 1/4x

example2: x 4D 2 2x 3D 2x 2 y 4x 2 x 4

The Legendre Linear Equation

Standard Form:
n1
dn y n1 d y dy
p 0 ax b ... p n1 ax b p n y Qx
n
n
p 1 ax b n1
dx dx dx

Substitution
Substitute the formula ax b e z then,
 ax bD x y aD z y
ax b2 D 2x y a 2 D z D z 1y
ax b3 D3x y a 3 D z D z 1D z 2y
thus,
ax bn Dnx y an Dz Dz 1D z 2...Dz n 1y

b
p a D D z 1D z 2...D z n 1 p1a n1D z D z 1D z 2...D z n 2 ... pn1aD z pn y Q e
z
n

a
0 z

d
Note: D z
dz

d2 y dy
example1: x 22 2
x 2 y 3x 4
dx dx

example2: 3x 22 D 2 33x 2D 36y 3x 2 4x 1