Introduction to differential equation

Introduction to Mathematics
of Finance

Session 24
Introduction to differential equation

April 17, 2018

Introduction to differential equation

Outline

1 Introduction to differential equation

Introduction to differential equation

Differential equation

An equation containing the derivatives of one or

more dependent variables, with respect to one
or more independent variables, is said to be a
differential equation.
Examples
dy
+ 5y = ex
dx
d 2y dy
− + 6y = 0
dx 2 dx
dx dy
+ = 2x + y
dt dt
Introduction to differential equation

Partial differential equation

An equation involving partial derivatives of one

or more dependent variables of two or more
independent variables is called a partial
differential equation.

∂ 2u ∂ 2u
+ =0
∂x 2 ∂y 2
∂ 2u ∂ 2u ∂u
= − 2
∂x 2 ∂t 2 ∂t
Introduction to differential equation

Classification by order

The order of a differential equation is the order

of the highest derivative in the equation
 3
d 2y dy
2
+ 5 − 4y = ex
dx dx

The above equation is a second-order

differential equation
Introduction to differential equation

General notation

In symbols we can express an nth-order

ordinary differential equation in one dependent
variable by the general form
0
F (x, y , y , · · · , y (n) ) = 0 (1)

where F is a real valued function of n + 2

0
variables: x, y , y , · · · , y (n) . This is equivalent to
d ny 0

n
= f (x, y , y , · · · , y (n−1) ) (2)
dx
where f is a real valued continuous function.
Introduction to differential equation

Classification by linearity

An nth-order ordinary differential equation is said to be

0
linear if F is linear in y , y , · · · , y (n) . This means that an
nth-order ODE is linear when (1) is
0
an (x)y (n) + an−1 (x)y (n−1) + · · · a1 (x)y + a0 (x)y = g(x)

That is
The dependent variable y and all its derivatives are
of the first order (power of each term is 1)
The coefficients a0 , a1 , · · · , an depend at most on the
independent variable x
Introduction to differential equation

Examples

(y − x)dx + 4ydy = 0
00 0
y − 2y + y = 0
3
d y dy
+ x − 5y = ex
dx 3 dx
are, in turn, linear first-, second-, and third-order ordinary
differential equations

0 d 2y d 4y
(1 − y )y + 2y = ex , + sin y = 0, + y2 = 0
dx 2 dx 4
are examples of nonlinear first-, second-, and fourth order
ODE.
Introduction to differential equation

Solution of an ODE

Any function φ, defined on an interval I and

possessing at least n derivatives that are
continuous on I, which when substituted into an
nth-order ordinary differential equation reduces
the equation to an identity, is said to be a
solution of the equation on the intereval
Introduction to differential equation

Example

1 4 dy
Verify that y = 16 x is a solution to dx = xy 1/2
on the interval (−∞, ∞)
Introduction to differential equation

Solving differential equations

Review material
Basic integration formulae
techniques of integration (integration by parts
and partial fraction decomposition)
Introduction to differential equation

Separable equation

A first order differential equation of the form

dy
= g(x)h(y )
dx
is said to be separable or to have separable
variables
Example:
dy dy
= y 2 xe3x+4y = y + sin x
dx dx
Introduction to differential equation

Method of solution

Observe that we can write the equation

dy
= g(x)h(y )
dx
as
1
dy = g(x)dx
h(y )
Taking integral on both sides give
H(y ) = G(x) + c
where H(y ) and G(x) are antiderivatives of
1/h(y ) and g(x) respectively.
Introduction to differential equation

Examples

Solve
(1 + x)dy − ydx = 0
dy x
dx = − y , where y (4) = −3
Introduction to differential equation

Linear equation

A first order differential equation of the form

dy
a1 (x) + a0 (x)y = g(x)
dx
is said to be a linear equation in the dependent
variable.
When g(x) = 0, the linear equation is said to be
homogenous; otherwise, it is nonhomogeneous.
Introduction to differential equation

Standard form

A more useful form, the standard form, of a

linear equation is
dy
+ P(x)y = f (x)
dx
We seek solution of the above equation
Introduction to differential equation

Method of solution

1
Put a linear equation into the standard form
2
From the standard form identify RP(x) and
then find the integrating factor e P(x)dx
3
Multiply the standard form of the equation
by the integrating factor. The left hand side
of the resulting equation is automatically the
derivative of the integrating factor and y :
d h P(x)dx i R
e y = e P(x)dx f (x)
dx
4
Integrate both sides of this last equation
Introduction to differential equation

Example

Solve
dy
dx − 3y = 0
dy
dx − 3y = 6
Introduction to differential equation

Class work

Solve:
dy
= e3x+2y
dx
dy
+ y = x, y (0) = 4
dx