Ordinary Differential Equations

An ordinary differential equation (ODE) is an equation that relates a function to its derivative(s). Two example might be:

$$\frac{dy(x)}{dx} = x , \quad \frac{d^2 y(x)}{dx^2} = x + \sin(x)$$

Each differential equation can be viewed as an operator $d: \mathbb{F} \rightarrow \mathbb{F}$ that maps elements of a set to elements of the same set. For instance, consider the set of continuous, differentiable functions over the interval $[a, b]$, denoted $C^1(a, b)$. For $y(x) \in C^1(a, b)$, one differential operator could be:

$$d(y(x)) = \frac{d^2 y(x)}{dx^2} - x - \sin(x)$$

Then $d(y(x)) = 0$ expresses the second example above.

Linear ODEs

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We say that an operator $l: \mathbb{F} \rightarrow \mathbb{F}$ is linear if it satisfies two properties. Letting $y_1(x), y_2(x) \in C^1(a, b)$ and $\lambda \in \mathbb{R}$, the properties are

1. Element addition: $l(y_1(x) + y_2(x)) = l(y_1) + l(y_2)$

2. Scalar multiplication: $l(\lambda y(x)) = \lambda l(y(x))$

3Blue1Brown has an amazing series on what linear operators mean geometrically, so for that insight, I highly recommend watching his material.

An operator is a differential operator if it takes some derivative of its argument. Note that a derivative $d_x = \frac{d}{dx}$ is a linear operator:

$$d_x (\lambda_1 y_1(x) + \lambda_2 y_2(x)) = \lambda_1 d_x y_1(x) + \lambda_2 d_x y_2(x)$$

For brevity, we’ll often omit the argument to the function and just write $y$. A complete solution to any linear equation $l(y(x)) = h(x)$ has two parts: the null solution $y_n$, which solves the homogeneous equation $l(y_n) = 0$, and the particular solution $y_p$, which solves the inhomogeneous equation $l(y_p) = h(x)$. The sum of the two solutions provides the complete solution due to linearity:

$$l(y_p + y_n) = l(y_p) + l(y_n) = h(x) + 0 = h(x)$$

Linear, First Order ODEs

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A generic linear, first-order ODE can be written as:

$$l(y(x)) = a(x) d_x y(x) + b(x) y(x) = h(x)$$

Intuition

For linear, first-order ODEs, exponentials are key. Why? Because all null solutions aim to solve the homogeneous equation:

$$l(y) = a(x) d_x y(x) + b(x) y(x) = 0$$

If $a(x) = a$ and $b(x) = b$ are constants, we immediately see that we are trying to find a function that is proportional to its own derivative - the exponential function!

$$d_x y(x) = - \frac{b}{a} y(x) \rightarrow y(x) = y(x_0) e^{- b (x - x_0) / a}$$

If that isn’t persuasive, we can be a bit more rigorous, dividing by $y$ and integrating both sides:

$$\begin{align*} d_x y + \frac{b}{a} y(x) &= 0\\ \int \frac{d_x y}{y} dy + \frac{b}{a} \int dy &=\\ \log y(x) - \log y(x_0) + b(x - x_0)/a &= \\ y(x) &= y(x_0) e^{-b (x - x_0) / a} \end{align*}$$

For concreteness, suppose $x$ is time and $y(x)$ is your bank balance. Over time, interest will accrue, depositing more in your account as a function of the amount you put in initially $y(x_0)$, the ratio $b/a$ and the elapsed time $x - x_0$. Now, suppose we deposit an additional dollar at a particular time $x_1$. That added dollar will also continue growing exponentially, but the elapsed time since its deposit will be $x - x_1$, not $x - x_0$. Thus, exponentials remain key for the inhomogenous equation.

Null (Homogeneous) Solution

As we saw above, if $l(y) = a d_x y(x) + b y(x) = 0$, the solution is straightforward:

$$y(x) = y(x_0) e^{-b x / a}$$

For non-constant coefficients $a(x), b(x)$, we can use the same approach as before:

$$\begin{align*} l(y(x)) = a(x) d_x y + b(x) y &= 0\\ \frac{d_x y}{y} + \frac{b(x)}{a(x)} &=\\ y(x) &= y(x_0) e^{\int_{x_0}^x \frac{b(u)}{a(u)} du} \end{align*}$$

Gilbert Strang dubs the exponential term the growth factor $G(x_0, x)$ because it describes how much a quantity will grow/decay from $x_0$ to $x$.

$$G(x_0, x) = \exp \Big(\int_{x_0}^x \frac{b(u)}{a(u)} du \Big)$$

This growth factor will reappear in the solution to the particular equation.

Particular (Inhomogeneous) Solution via Integrating Factors

To find the solution $y(x)$ to the linear, first order inhomogeneous equation

$$l(y) = a(x) d_x y(x) + b(x) y(x) = h(x)$$

we’ll use a function $f(x)$ called an integrating factor. Before starting, we’ll first divide by $a(x)$ to clean things up.

$$d_x y + \frac{b(x)}{a(x)} y = \frac{h}{a}$$

The motivation for an integrating factor is that if a function $f(x)$ exists such that $\frac{1}{f}(fy)' = y' + \frac{b}{a} y$, then we could replace the inconvenient $y' + \frac{b}{a} y$ with a derivative $(fy)'$ that can be more easily integrated:

$$\begin{align*} y' + \frac{b}{a} y &= \frac{1}{f}(fy)' = \frac{h}{a}\\ f y - f(x_0)y(x_0) &= \int_{t=x_0}^t \frac{h(t) f(t)}{a(t)} \, dt\\ y(x) &= \frac{f(x_0)}{f(x)} y(x_0) + \frac{1}{f(x)} \int_{x_0}^x \frac{h(u) f(u)}{a(u)} \, du\\ \end{align*}$$

The question is now how to find $f(x)$? Set $\frac{1}{f}(fy)' = y' + \frac{b}{a} y$ and solve for the integrating factor $f(x)$:

$$\begin{align*} \frac{1}{f}(fy)' &= y' + \frac{b}{a} y\\ \frac{1}{f}(f' y + y f') &= y' + \frac{b}{a} y\\ \frac{f'}{f} &= \frac{b}{a}\\ \log f(x) - \log f(x_0) &= \int_{t=x_0}^x \frac{b(t)}{a(t)} \, dt\\ f(x) &= f(x_0) \exp \Big(\int_{x_0}^x \frac{b(u)}{a(u)} \, du \Big) \end{align*}$$

Note that the integrating factor has the same growth factor as in the homogeneous case! So what is our final complete solution? We have

$$\begin{align*} y(x) &= \frac{f(x_0)}{f(x)} y(x_0) + \frac{1}{f(x)} \int_{x_0}^x \frac{h(v) f(v)}{a(v)} \, dv\\ &= \exp \Big(\int_{x_0}^x \frac{b(u)}{a(u)} du \Big) y(x_0) + \exp \Big(- \int_{x_0}^x \frac{b(u)}{a(u)} du \Big) \int_{x_0}^x \frac{h(v)}{a(v)} \exp \Big(- \int_{x_0}^v \frac{b(u)}{a(u)} du \Big) \, dv \end{align*}$$

Key Inhomogeneous Solutions

Although we have a general formula, certain input functions $h(x)$ are more important than others.

1. Constant $h(x) = h$:

2. Step Function $h(x) = c H(x - x_*)$:

3. Delta Function $h(x) = \delta(x - x_*)$:

4. Exponential Input $h(x) = e^{ct}$:

5. Resonating Expoential Input $h(x) = e^{-a x}$:

It has the complete solution:

$$y(x) = \exp \{(\int_{u=x_0}^{u=x} \frac{b(u)}{a(u)}) du \}[y(x_0) + \exp \{(\int_{u=x_0}^{u=x} \frac{b(u)}{a(u)}) du]$$

where $f(x) = \exp \Big(\int_{u=x_0}^{u=x} \frac{b(u)}{a(u)}) du \Big)$

Dimension of Linear, 1st-Order Kernel

We start by trying to find the null solution, which corresponds to identifying what the kernel of the operator is. Recall that for any operator $l$ from one set to another, the kernel of the operator is the set of inputs that map to 0 i.e. $\ker(l) = \{v \in V : l(v) = 0 \}$. One property worth noting is that for a first-order linear operator $l: V \rightarrow V$ with $l(y) = a(x) y'(x) + b(x) y(x)$, the kernel of $l$ is one dimensional. To see this, we see that the solution $y_n$ to the homogeneous equation is:

$$\begin{align*} l(y) &= 0 \Leftrightarrow ay_n' + by_n = 0\\ \frac{y_n'}{y_n} &= \frac{b}{a}\\ y_n &= c \exp \Big(- \int_{x_0}^x \frac{b(t)}{a(t)} dt \Big)\\ \ker(l) &= \text{span}( \exp \Big(- \int_{x_0}^x \frac{b(t)}{a(t)} dt \Big)) \end{align*}$$

This tells us that any solution $y$ can be written as a particular solution $y_p$ plus some constant $c$ times the homogeneous aka null solution $y_n$.

$$\begin{align*} l(y - y_p) = l(y) - l(y_p) = h(x) - h(x) = 0\\ y - y_p \in \ker(l)\\ y - y_p = c y_n\\ y = y_p + c y_n \end{align*}$$

Solving Linear, 1st-Order: Variation of Parameters

Solving Linear, 1st-Order: Power Series Expansion

Another way to solve the differential equation is to Taylor Series expand both sides of the system and match coefficients.

Linear, 2nd-Order ODEs

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Solving Linear, 2nd-Order: Variation of Parameters

For the linear, first-order ODE, we could solve the equation by first finding the null/homogeneous solution and then finding the particular/inhomogeneous solution by treating the constant as a variable. This approach will also work for a linear, second-order ODE. Suppose we know

$$l(y) = a(x) y''(x) + b(x) y'(x) + c(x)y = h(x) \quad \text{ and } \quad \ker(l) = \{f_1(x), f_2(x) \}$$

The null/homogeneous solution (with constants $c_1, c_2 \in \mathbb{R}$) is

$$y_n(x) = c_1 f_1(x) + c_2 f_2(x)$$

We suppose that the particular/inhomogeneous solution might have the same form but with variable coefficients:

$$y_p(x) = c_1(x) f_1(x) + c_2(x) f_2(x)$$

Dropping $x$ for brevity and differentiating, we see that:

$$y_p' = c_1' f_1 + c_1 f_1' + c_2' f_2 + c_2 f_2'$$

and that

$$y_p'' = c_1 '' f_1 + 2 c_1' f_1' + c_1 f_1'' + 2 c_2' f_2 ' + c_2'' f_2 + c_2 f_2''$$

Plugging into the inhomogeneous equation, we see a mess of terms that we can simplify a bit, taking advantage of the fact that some terms live in the kernel of $l$:

\begin{align} h(x) &= l(y_p) = a y_p’’ + b y_p’ + c y
&= a (c_1 ‘’ f_1 + 2 c_1’ f_1’ + c_1 f_1’’ + 2 c_2’ f_2 ‘ + c_2’’ f_2 + c_2 f_2’’) + b (c_1’ f_1 + c_1 f_1’ + c_2’ f_2 + c_2 f_2’) + c(c_1(x) f_1(x) + c_2(x) f_2(x))
&= a (c_1’’ f_1 + 2 c_1’ f_1’ + 2 c_2’ f_2’ + c_2’’ f_2) + b (c_1’ f_1 + c_2’ f_2) + c_1 (a f_1’’ + b f_1’ + c f_1) + c_2 (a f_2’’ + b f_2’ + c f_2)
&= a (c_1’’ f_1 + 2 c_1’ f_1’ + 2 c_2’ f_2’ + c_2’’ f_2) + b (c_1’ f_1 + c_2’ f_2) + c_1 l(f_1) + c_2 l(f_2)
&= a (c_1’’ f_1 + 2 c_1’ f_1’ + 2 c_2’ f_2’ + c_2’’ f_2) + b (c_1’ f_1 + c_2’ f_2) + 0 + 0
\end{align}

Suppose someone gives you a hint and suggests that $c_1’ f_1 + c_2’ f_2 = 0$, which also implies that its derivative $c_1’’ f_1 + c_1’ f_1’ + c_2’’ f_2 + c_2’ f_2’ = 0$. This simplifies our equation tremendously:

$$h = a (c_1' f_1' + c_2' f_2')$$

The question now is whether we can find two functions, $c_1, c_2$, that satisfy both equations:

$$\begin{align*} c_1' f_1 + c_2' f_2 &= 0\\ c_1' f_1' + c_2' f_2' &= \frac{h(x)}{a(x)} \end{align*}$$

We have two equations and two unknowns, meaning we can find a solution!

$$\begin{bmatrix} f_1(x) & f_2(x) \\ f_1'(x) & f_2'(x) \end{bmatrix} \begin{bmatrix} c_1'(x) \\ c_2'(x) \end{bmatrix} = \begin{bmatrix}0 \\ \frac{h(x)}{a(x)} \end{bmatrix}$$

We invert the matrix:

$$\begin{bmatrix} c_1'(x) \\ c_2'(x) \end{bmatrix} = \frac{1}{f_1 f_2' - f_1' f_2} \begin{bmatrix} f_2'(x) & -f_2(x) \\ -f_1'(x) & f_1(x) \end{bmatrix} \begin{bmatrix}0 \\ \frac{h(x)}{a(x)} \end{bmatrix}$$

A commonly used term for the prefactor is the Wronskian, which we denote $W(x) \defeq f_1(x) f_2'(x) - f_1'(x) f_2(x)$. We then solve our the varying coefficients:

$$c_1(x) = -\int_{t=x_0}^{t=x} \frac{f_2(t) h(t)}{a(t) W(t)} dt \quad \text{ and } \quad c_2(x) = \int_{t=x_0}^{t=x} \frac{f_1(t) h(t)}{a(t) W(t)} dt$$

Thus our final solution to the inhomogeneous equation is:

$$y_p = c_1 f_1 + c_2 f_2 = -f_1(x) \int_{t=x_0}^{t=x} \frac{f_2(t) h(t)}{a(t) W(t)} dt + f_2(x) \int_{t=x_0}^{t=x} \frac{f_1(t) h(t)}{a(t) W(t)} dt$$