Definitions/Differential Equations

Оглавление

Definitions/Differential Equations ................................................................ 1

L 1 ................................................................................................................. 2
Ordinary differential equations ................................................................ 2
Linear differential equations .................................................................... 3
L 2-3.............................................................................................................. 3
First-order ordinary differential equations .............................................. 3
Variable separation .................................................................................. 4
Other techniques used to solve first-order O.D.E. .................................... 4
Linear first-order O.D.E............................................................................. 5
L 5-6.............................................................................................................. 5
Euler method for first-order o.d.e. ........................................................... 5
L 7 ................................................................................................................. 5
Order reduction for second-order o.d.e. .................................................. 5
Linear homogenous o.d.e. ........................................................................ 6
Homogeneous linear second-order o.d.e. with constant coefficients ..... 6
Non-homogeneous linear second-order o.d.e. with constant coefficients
................................................................................................................. 6
L 9-10............................................................................................................ 6
Infinite numeric series .............................................................................. 6
Convergence criterions (tests) .................................................................. 8
Power series ............................................................................................. 8
Complex power series .............................................................................. 8
L 11-13.......................................................................................................... 9

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 Laplace transform: definition, basic properties & examples .................... 9
Inverse Laplace transform : definition, basic properties & examples ....... 9
Convolution and its properties ................................................................. 9
Convolution applications ........................................................................ 10
L 14-15........................................................................................................ 10
Partial differential equations: basic definitions ...................................... 10
Heat equation......................................................................................... 11

L1

Ordinary differential equations

• An ordinary differential equation (o.d.e.) of order 𝑛 ≥ 0 is equation

𝑭(𝒙, 𝒚, 𝒚′ , 𝒚′′ , … , 𝒚(𝒏) ) = 𝟎 , where
o 𝐹 is a real function of (at most) (𝑛 + 2)- real arguments,
o 𝑥 is a real variable (ranging over some region 𝐷 ⊆ 𝑹),
o 𝑦 is variable for a real 𝑛-times differentiable function on 𝐷.

• Order of equation is the largest order of derivatives used in equation.

• A solution of the equation is any real 𝑛-times differentiable function

𝑦: 𝐷 → 𝑹 that makes the equation a true equality

• To solve/ integrate the equation means to find all solutions of the

equation.

2
• A general solution/общее решение of the equation is representation of a
family of solutions in the form 𝑦 = 𝜑(𝑥, 𝐶1 , … 𝐶𝑛 ) where
o 𝐶1 , … 𝐶𝑛 are real parameters,
o 𝜑 is 𝑛-times differentiable function.

• A partial solution/частное решение results from a general by instantiating

concrete values for real parameter.

• An integral/общий интеграл of the equation is expression

𝛷 ( 𝑥, 𝑦, 𝐶1 , … 𝐶𝑛 ) such that 𝛷 (𝑥, 𝑦, 𝐶1 , … 𝐶𝑛 )=0 after instantiating any
solution of the equation. Примечание: общий интеграл – это, собственно, в неявном
виде заданное общее решение.

Linear differential equations

• If the function 𝐹 is a linear (affine) function on 𝑦, 𝑦 ′ , 𝑦 ′′ , … , 𝑦 (𝑛) then the

equation is said to be linear differential equation:
𝑎0 (𝑥 )𝑦 (𝑛) + … + 𝑎𝑛 (𝑥 )𝑦 = 𝑓(𝑥) ; the equation is said to be
homogeneous/однородное if the right-hand-side function is identically 0.

L 2-3

First-order
ordinary differential equations

• First-order ordinary differential equation in

o implicit form: 𝐹 (𝑥, 𝑦, 𝑦 ′ ) = 0;
o explicit form: 𝑦 ′ = 𝑓(𝑥, 𝑦);
o differential form: 𝑃(𝑥, 𝑦)𝑑𝑥 + 𝑄 (𝑥, 𝑦)𝑑𝑦 = 0;
general solution in
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 o implicit form: 𝛷(𝑥, 𝑦, 𝐶 ) = 0;
o explicit form: 𝑦 = 𝜑(𝑥, 𝐶 ) 𝑜𝑟 𝑥 = 𝜓(𝑦, 𝐶).
Each general solution (in explicit form) specifies a family (infinite in
general) of solutions. Fraise the most general solution mean that we can obtain all partial
solutions from this record of general solution by instantiating concrete values for real parameters.

• Initial (Cauchy) problem/задача Коши: integrate a given equation and find

a solution with curve containing a given point (𝑥0 , 𝑦0 ); (𝑥0 , 𝑦0 ) - initial
value/stated properties/ начальное условие (значение).
Variable separation

• Separable equation/уравнение с разделяющимися переменными:

ℎ(𝑦)𝑦 ′ = 𝑔(𝑥) or (in differential form) ℎ(𝑦)𝑑𝑦 = 𝑔(𝑥 )𝑑𝑥.

Other techniques used to solve first-order O.D.E.

• A function 𝐹 of 2 real arguments is said to be homogeneous/однородная

with degree 𝒏 if 𝐹 (𝑘𝑥, 𝑘𝑦) = 𝑘 𝑛 𝐹(𝑥, 𝑦) for all 𝑘 ∈ 𝑹 and all 𝑥, 𝑦, (𝑘𝑥 ) and
(𝑘𝑦) in the domain of 𝐹.

• Equation 𝑃(𝑥, 𝑦)𝑑𝑥 + 𝑄 (𝑥, 𝑦)𝑑𝑦 = 0 is said to be exact/уравнение в

полных дифференциалах if there exists a function 𝐹 (𝑥, 𝑦) such that 𝑃 =
𝜕𝐹 𝜕𝐹 𝜕𝐹 𝜕𝐹
and 𝑄 = (where and are partial derivatives).
𝜕𝑥 𝜕𝑦 𝜕𝑥 𝜕𝑦

• A Bernoulli equation has the form 𝑦 ′ + 𝑔(𝑥 )𝑦 = 𝑓(𝑥)𝑦 𝑘 where 𝑘 ∈ 𝑹 is

any real number.

• А complementary equation/дополнительное for Bernoulli equation 𝑦 ′ +

𝑔(𝑥 )𝑦 = 𝑓(𝑥)𝑦 𝑘 is 𝑦 ′ + 𝑔(𝑥 )𝑦 = 0.

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 Linear first-order O.D.E.

• The general form a first-order linear o.d.e. is 𝑎(𝑥 )𝑦 ′ + 𝑏(𝑥 )𝑦 = 𝑓(𝑥).

L 5-6

Euler method for first-order o.d.e.

• Euler method:
Input: Initial value problem 𝑦 ′ = 𝑓(𝑥, 𝑦), 𝑥 ∈ [𝑎, 𝑏], 𝑦(𝑎) = 𝑐.
𝑏−𝑎
o pick-up 𝑛 ≥ 1, 𝑛 ∈ 𝑵, such that step ℎ = is sufficient for desired
𝑛
accuracy and let 𝑥0 = 𝑎, 𝑢0 = 𝑦(𝑎) = 𝑐;
o if 𝑥𝑚 (0 ≤ 𝑚 < 𝑛) is defined already then
▪ let 𝑥𝑚+1 = 𝑥𝑚 + ℎ,
▪ 𝑑𝑚 = ℎ ∙ 𝑓(𝑥𝑚 , 𝑢𝑚 ),
▪ and 𝑢𝑚+1 = 𝑢𝑚 + 𝑑𝑚 .
Output: (a) A tabular function (𝑥𝑚 , 𝑢𝑚 )|𝑚=𝑛
𝑚=0 approximating solution of the
problem, and (b) a real value 𝑢𝑛 approximating 𝑦(𝑏).
Примечание: это простейший численный метод; он основан на замене производной 𝑦 ′ (𝑥)
(𝑦(𝑥+ℎ)−𝑦(𝑥))
приближенным выражением 𝑦 ′ (𝑥) = (правой разностной производной).
ℎ

L7

Order reduction for second-order o.d.e.

• Second-order o.d.e. explicitly solved w.r.t. highest derivative:

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 𝑦 ′′ = 𝑓(𝑥, 𝑦, 𝑦 ′ )

• Cauchy problem for second-order equation: find a solution 𝑦(𝑥) of a

given equation 𝑦 ′′ = 𝑓(𝑥, 𝑦, 𝑦 ′ ) provides initial values 𝑦(𝑥0 ) = 𝑎 and
𝑦 ′ (𝑥0 ) = 𝑏 and a region for the variable 𝑥.

Linear homogenous o.d.e.

• Recall: a linear homogenous equation is: 𝑎0 (𝑥 )𝑦 (𝑛) + … + 𝑎𝑛 (𝑥 )𝑦 = 0

Homogeneous linear second-order o.d.e.

with constant coefficients

• A linear homogeneous second-order o.d. equation is: 𝑦 ′′ + 𝑝𝑦 ′ + 𝑞𝑦 = 0

• 𝑎2 + 𝑝𝑎 + 𝑞 = 0 is so-called characteristic equation for the differential

equation 𝑦 ′′ + 𝑝𝑦 ′ + 𝑞𝑦 = 0 (and for corresponding non-homogeneous
equation too).

Non-homogeneous linear second-order o.d.e.

with constant coefficients

• A linear non-homogeneous second-order o.d. equation is: 𝑦 ′′ + 𝑝𝑦 ′ +

𝑞𝑦 = 𝑓(𝑥)

L 9-10

Infinite numeric series

6
• A (formal infinite) series/ряд is an infinite expression where elements are
connected/separated by “+”, e.g.:
o cos 𝑥 + cos 2𝑥 + ⋯ + cos 𝑛𝑥 + ⋯ (functional series/ функциональный
ряд);
o 𝑥 + 𝑥 2 + 𝑥 3 + ⋯ + 𝑥 𝑛 + ⋯ (power series/степенной ряд);
o (−1) + (−1)2 + ⋯ + (−1)𝑛 + ⋯ (numeric series/числовой ряд).

• Partial sums/частичная сумма of a (numeric) series ∑𝑛≥1 𝑢𝑛 = 𝑢1 + 𝑢2 +

𝑢3 + ⋯ + 𝑢𝑛 + ⋯ are numbers
o 𝑆0 = 0,
o 𝑆1 = 𝑢1 ,
o 𝑆2 = 𝑢1 + 𝑢2 ,
o ……………………………………
o 𝑆𝑛 = ∑𝑘=𝑛
𝑘=1 𝑢𝑘 = 𝑢1 + 𝑢2 + 𝑢3 + ⋯ + 𝑢𝑛 ,

o ………………………………………………………………………;
these partial sums form an infinite numeric sequence 𝑆𝑛 |𝑛=∞
𝑛=0

• A series ∑𝑛≥1 𝑢𝑛 = 𝑢1 + 𝑢2 + 𝑢3 + ⋯ + 𝑢𝑛 + ⋯ converges/сходится if

the sequence of its partial sums 𝑆𝑛 = ∑𝑘=𝑛
𝑘=1 𝑢𝑘 converges; in this case 𝑆 =
lim 𝑆𝑛 is call sum of the series and denoted as 𝑆 = ∑𝑛≥1 𝑢𝑛 ; a series
𝑛→∞
diverge/расходится if it doesn’t converge.

• A series ∑𝑛≥1 𝑢𝑛 absolutely converges if the series ∑𝑛≥1 |𝑢𝑛 | consisting of

absolute values of its element converges.

• A series ∑𝑛≥1(−1)𝑛+1 𝑢𝑛 = 𝑢1 − 𝑢2 + 𝑢3 − ⋯ + (−1)𝑛+1 𝑢𝑛 + ⋯ where

all 𝑢𝑛 ≥ 0 is called alternating series/знакопеременный ряд.

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 Convergence criterions (tests)

• A geometry (geometric) progression is a sequence 𝑎𝑛 = 𝑎 ∙ 𝑞 𝑛 where 𝑛 ≥

𝑞𝑛+1 −1
0. The formula for it’s partial sum is 𝑆𝑛 = 𝑎 (assuming 𝑞 ≠ 1).
𝑞−1

Power series

• A standard power series is 𝑎0 + 𝑎1 𝑥 + 𝑎2 𝑥 2 + ⋯ + 𝑎𝑛 𝑥 𝑛 + ⋯ a shifted

/смещённый series is 𝑎0 + 𝑎1 (𝑥 − 𝑎) + 𝑎2 (𝑥 − 𝑎)2 + ⋯ + 𝑎𝑛 (𝑥 − 𝑎)𝑛 +
⋯
𝑎𝑛+1 𝑎𝑛+1 𝑥 𝑛+1
• If lim | ⁄𝑎𝑛 | = 𝑙>0 then lim | 𝑎 𝑥 𝑛 | = 𝑙|𝑥|; according to
𝑛→∞ 𝑛→∞ 𝑛
D’Alembert test

if |𝑥 | < 1⁄𝑙 then the standard power series (absolutely) converges,

if |𝑥 | > 1⁄𝑙 then the series diverges;

𝑅 = 1⁄𝑙 is called convergence radius of the standard series.

• Maclaurin series for a function 𝑓 ∈ 𝐶 ∞ (−𝑅, 𝑅) is the following series

𝑓 (𝑛) (0)
∑𝑛≥0 𝑥 𝑛 . Taylor series is a shifted Maclaurin series.
𝑛!

Complex power series

• A series of complex values is (𝑢0 + 𝑖𝑣0 ) + (𝑢1 + 𝑖𝑣1 ) + ⋯ + (𝑢𝑛 +

𝑖𝑣𝑛 ) + ⋯, where 𝑢𝑖 , 𝑣𝑖 ∈ 𝑹, 𝑖 ∈ 𝑵 ; 𝑢0 + 𝑢1 + ⋯ + 𝑢𝑛 + ⋯ and 𝑣0 +
𝑣1 + ⋯ + 𝑣𝑛 + ⋯ is it’s real and imaginary parts.

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 L 11-13

Laplace transform: definition, basic properties & examples

• Laplace transform is a functional 𝐿 (∗) that maps each function 𝑓: [0, ∞) →

𝑹 to a (partial) function 𝐿(𝑓): 𝑹 → 𝑹 defined as follows: for every 𝑠 ∈ 𝑹 let
∞ −𝑠𝑡
∫ 𝑒 𝑓(𝑡)𝑑𝑡 , if the integral converges
𝐿(𝑓) (𝑠) = { 0
undefinite value otherwise
(∗) Примечание: в функциональном анализе термин функционал используется только для
отображений векторов в скаляры (𝑹, 𝑪, … ); дискретная математика использует его и в смысле
оператор, т.е. отображение из пространства в пространство (как и в этих лекциях), приберегая
термин оператор для обозначения -арности отображения: унарный, бинарный и т.д.
оператор.

• A function 𝑓: [0, ∞) → 𝑹 is said to have (or to be of) exponential order 𝜶 ∈

𝑹 if |𝑓(𝑡)| < 𝑐𝑜𝑛𝑠𝑡 ∙ 𝑒 𝛼𝑡 asymptotically; the function is said to have (or to
be of) exponential order in case when a particular value of the order
doesn’t matter.

Inverse Laplace transform : definition, basic properties &

examples

• If a transform is invertible then it is possible to think of it as a

correspondence/соответствие; взаимно-однозначное отображение.
In particular, when the Laplace transform 𝐿 has the inverse 𝐿− then the
term Laplace correspondence also can be used.
𝑷(𝒔)
• A function , where 𝑃(𝑠) and 𝑄(𝑠) are polynomials, is called rational
𝑸(𝒔)
function.

Convolution and its properties

9
• Convolution/свёртка is a binary operation (_ ∗ _) on (partial) functions: if
𝑡
𝑓, 𝑔: [0, ∞) → 𝑹 then (𝑓 ∗ 𝑔) = ∫0 𝑓(𝜏)𝑔(𝑡 − 𝜏)𝑑𝜏 when the integral
exists.

Convolution applications

• Voltera equation is any integral equation

𝑡
𝑦(𝑡) = 𝑓(𝑡) + ∫0 𝑔(𝑡 − 𝜏)𝑦(𝜏)𝑑𝜏 , where 𝑓, 𝑔: [0, ∞) → 𝑹.

L 14-15

Partial differential equations: basic definitions

• A partial differential equation is any equation in the form

𝜕𝑢 𝜕𝑢 𝜕𝑢 𝜕𝑢
𝐹 (𝑡, 𝑥, 𝑦, 𝑧, , , , , … ) = 0 , where 𝐹 is an algebraic expression
𝜕𝑡 𝜕𝑥 𝜕𝑦 𝜕𝑧
with terms that are known(numerical) functions of time 𝑡, special variables
𝜕𝑢 𝜕𝑢 𝜕𝑢 𝜕𝑢
𝑥, 𝑦, 𝑧 (Euclidian coordinates), first-order partial derivatives , , , ,
𝜕𝑡 𝜕𝑥 𝜕𝑦 𝜕𝑧
and high-order derivatives.

• Wave equation/волновое уравнение in the simplest case it is second-

𝜕2 𝑢 𝜕2 𝑢
order p.d.e. = 𝑎2 .
𝜕𝑡 2 𝜕𝑥 2

• Heat equation/уравнение теплопроводности in one-dimensional case it

𝜕𝑢 𝜕 𝑢2
is linear second-order p.d.e. = 𝑎2 2 . For a function 𝑢(𝑥, 𝑦, 𝑧, 𝑡) of
𝜕𝑡 𝜕𝑥
three spatial variables (𝑥, 𝑦, 𝑧) and the time variable 𝑡, the general form of
𝜕𝑢 2 𝜕2 𝑢 𝜕2 𝑢
2 𝜕 𝑢 𝜕𝑢 𝜕𝑢
the heat equation is = 𝑎 ( 2 + 2 + 2 ) or = 𝑎2 ∆𝑢 or =
𝜕𝑡 𝜕𝑥 𝜕𝑦 𝜕𝑧 𝜕𝑡 𝜕𝑡
𝑎2 (𝛻 2 𝑢).

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 𝜕2 𝑢
• Laplace equation is second-order time-free equation ∑𝑘=𝑛
𝑘=1 =0
𝜕(𝑥𝑘 )2
(where 𝑛 is dimension of the space) or ∆𝑢 = 0 or 𝛻 2 𝑢 = 0.

• Dimension of the equation is the number of independent variables of the

function to be found.

𝜕2 𝑢 𝜕2 𝑢 𝜕2 𝑢
• Let 𝐴 2 + 2𝐵 +𝐶 + ⋯ = 0 , (where dots stay for first-order
𝜕𝑥 𝜕𝑥𝜕𝑦 𝜕𝑦 2
terms) be a second-order linear p.d.e. and 𝐷 = 𝐵2 − 𝐴𝐶;
if (at some point (𝑥, 𝑦))
o 𝐷 > 0 then it is elliptic equation,
o 𝐷 = 0 then it is parabolic equation,
o 𝐷 < 0 then it is hyperbolic equation.

𝜕𝑢 𝜕𝑢 𝜕𝑢
• Let 𝐹 (𝑡, 𝑥, 𝑦, , , , … ) = 0 be a p.d.e. of (for sake of simplicity) 2
𝜕𝑡 𝜕𝑥 𝜕𝑦
independent variables to be solved in [𝑎, 𝑏) × 𝛺 where [𝑎, 𝑏) is time range
(maybe 𝑏 = ∞) and 𝛺 is a space region with boundary 𝐿(𝑥, 𝑦) = 0.
Boundary and initial conditions for solution of the equation are constraints
defined as follows:
o initial (or Cauchi) condition is a constraint in the form 𝑢𝑥1 …𝑥𝑘 (0, 𝑥, 𝑦) =
𝑣(𝑥, 𝑦) where 𝑘 is less that the order of the equation, 𝑣: 𝛺 → 𝑹, and
𝑥1 … 𝑥𝑘 in {𝑥, 𝑦};
o boundary condition is a constraint in the form 𝑢𝑥1 …𝑥𝑘 (𝑡, 𝑥, 𝑦) =
𝑤(𝑡, 𝑥, 𝑦) where 𝑘 is less that the order of the equation, 𝑣: [𝑎, 𝑏) × 𝐿 →
𝑹 and 𝑥1 … 𝑥𝑘 in {𝑡, 𝑥, 𝑦}.

Heat equation

11
 𝜕2 … 𝜕2 … 𝜕2 …
• Laplace operator ∆= 𝛻 2 = 2 + 2 + ;
𝜕𝑥 𝜕𝑦 𝜕𝑧 2

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