UNITEXT La Matematica per il 3+2

Volume 73

For further volumes:

http://www.springer.com/series/5418

Shair Ahmad  Antonio Ambrosetti

A Textbook on Ordinary
Differential Equations

Shair Ahmad
Department of Mathematics
University of Texas at San Antonio
San Antonio, USA

UNITEXT La Matematica per il 3+2

ISSN 2038-5722

Antonio Ambrosetti
SISSA
Trieste, Italy

ISSN 2038-5757 (electronic)

ISBN 978-3-319-02128-7
ISBN 978-3-319-02129-4 (ebook)
DOI 10.1007/978-3-319-02129-4
Springer Cham Heidelberg New York Dordrecht London
Library of Congress Control Number: 2013945784
Springer International Publishing Switzerland 2014
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The rst author wishes to thank his wife Carol

for her continued and loving support,
patience and understanding far beyond what
might be normally expected

Preface

One of the authors main motivation for writing this book has been to provide students and faculty with a more economical option for selecting a textbook on introduction to ODE. This book is a primer for the theory and applications of Ordinary
Differential Equations. It is aimed at students of Mathematics, Physics, Engineering, Statistics, Information Science, etc. with sufcient knowledge of Calculus and a
minimal knowledge of Linear Algebra.
The rst chapter starts with the simplest rst order linear differential equations
and builds on it to lead to the more general equations. The concepts of initial values
and existence and uniqueness of solutions are introduced early in this chapter. Ample examples, using simple integration, are given to motivate and demonstrate these
concepts. Almost all of the assertions are proved in elementary and simple terms.
The important concepts of the Cauchy Problem and Existence and Uniqueness
of solutions are introduced in detail and demonstrated by many examples. Proofs are
given in an Appendix. There is also a rigorous treatment of some qualitative behavior
of solutions. This chapter is important from a pedagogical point of view because it introduces students to rigor and understanding of important concepts at an early stage.
There is also a chapter on nonlinear rst order equations, where students learn
how to explicitly solve certain types of equations such as separable, homogeneous,
exact, Bernoulli and Clairaut equations.
Further chapters are devoted to linear higher order equations and systems, with
several applications to mechanics and electrical circuit theory. Also included is an
elementary but rigorous introduction to the theory of oscillation.
There is a chapter on phase plane analysis dealing with nding periodic solutions,
solutions of simple boundary value problems, homoclinic and heteroclinic trajectories. There is also a section discussing a LotkaVolterra system arising in population
dynamics.
Subsequently, the book deals with the Sturm Liouville eigenvalues, Laplace transform and nding series solutions, including fairly detailed treatment of Bessel functions, which are important in Engineering.
Although this book is mainly addressed at undergraduate students, there are some
more advanced topics such as stability theory and existence of solutions to Boundary

viii

Preface

Value problems, which might be useful for the more motivated undergraduates or
even beginning graduate students.
A chapter on numerical methods is included as an Appendix, where the importance of computer technology is pointed out. Otherwise, we do not encourage the use
of computer technology at this level. Besides, we believe that, at this stage, students
should practice their previous knowledge of Algebra and Calculus instead of relying
on technology; thus sharpening their mathematical skills in general.
Each chapter ends with a set of exercises, which are meant to test the students
understanding of the concepts covered.
Solutions to selected exercises are included at the end of the book.
We wish to acknowledge with gratitude the help of Dung Le, Rahbar Maghsoudi,
and Vittorio Coti Zelati, especially with technical issues.
San Antonio and Trieste
December 2013

Shair Ahmad
Antonio Ambrosetti

Notation

The following are some notations that are used in the book.
N denotes the set of natural numbers 0; 1; 2 : : :
Z denotes the set of integer numbers 0; 1; 2 : : :
R denotes the set of real numbers.
C denotes the set of complex numbers.
If a; b 2 R, a; b denotes the closed interval a  t  b; .a; b/, or a; b,
denotes the open interval a < t < b. Moreover .a; b, or a; b, denotes the
interval a < t  b, while a; b/, or a; b, denotes the interval a  t < b.
P
xi yi denotes the euclidean scalar product of the vec If x; y 2 Rn , .x j y/ D
tors x; y, with components xi ; yi , i D 1; : : : ; n. In some case we will also use
x  y or .x; y/ insteadq
of .x j y/. The corresponding euclidean norm is denoted
p
P 2
by jxj D .x j x/ D
xi . If n D 1 then jxj is the usual absolute value.

dkf
D f .k/
dt k
@f
D @xi f
@xi

denotes the k-th derivative of f .t /.

D fxi denotes the partial derivative of f .x1 ; : : : ; xn / with respect

to xi .
If   Rn , C.; R/, or simply C./, is the class of continuous real valued functions f W  7! R dened on . C.; Rm / is the class of continuous functions f
dened on  with values in Rm .
If   Rn is an open set, C k .; R/, or simply C k ./, is the class of real valued
functions f W  7! R which are k times continuously differentiable. C.; Rm /
is the class of functions f W  7! Rm , each component of which is k times continuously differentiable. Functions that are differentiable innitely many times are
often called regular.
W .f1 ; : : : ; fn /.t / D W .f1 .t /; : : : ; fn .t // D W .t / represents the Wronskian of
the functions f1 ; : : : ; fn .
Jm = Bessel function of order m.

Notation

f  g = convolution of the functions f and g.

.t / = the Dirac delta function.
Det(A) = determinant of the matrix A.
Akl = Minor of the element akl , Ckl = cofactor of the element akl .
Lf .t /.s/ D F .s/ = the Laplace transform of the function f .
rV .x/ D .Vx1 .x/; : : : ; Vxn .x//, x 2 Rn , denotes the gradient of the real valued
function V .
P
.rV .x/ j f .x// D n1 Vxi .x/fxi .x/ = scalar product of rV .x/ and f .x/.

Contents

First order linear differential equations . . . . . . . . . . . . . . . . . . . . . . . . . . .

1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.2 A simple case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.3 Some examples arising in applications . . . . . . . . . . . . . . . . . . . . . . . . .
1.3.1 Population dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.3.2 An RC electric circuit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.4 The general case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.5 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1
1
2
3
3
4
5
13

Theory of rst order differential equations . . . . . . . . . . . . . . . . . . . . . . . .

2.1 Differential equations and their solutions . . . . . . . . . . . . . . . . . . . . . . .
2.2 The Cauchy problem: Existence and uniqueness . . . . . . . . . . . . . . . . .
2.2.1 Local existence and uniqueness . . . . . . . . . . . . . . . . . . . . . . . .
2.2.2 Global existence and uniqueness . . . . . . . . . . . . . . . . . . . . . . .
2.3 Qualitative properties of solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.4 Improving the existence and uniqueness results . . . . . . . . . . . . . . . . .
2.5 Appendix: Proof of existence and uniqueness theorems . . . . . . . . . . .
2.5.1 Proof of Theorem 2.4.5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.5.2 Proof of Theorem 2.4.4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.6 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

15
15
18
18
24
25
27
29
29
32
33

First order nonlinear differential equations . . . . . . . . . . . . . . . . . . . . . . .

3.1 Separable equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.1.1 The logistic equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.2 Exact equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.3 The integrating factor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.4 Homogeneous equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.5 Bernoulli equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.6 Appendix. Singular solutions and Clairaut equations . . . . . . . . . . . . .
3.6.1 Clairaut equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.7 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

35
35
37
39
49
52
56
57
59
62

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Existence and uniqueness for systems and higher order equations . . .

4.1 Systems of differential equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4.1.1 Existence and uniqueness results for systems . . . . . . . . . . . . .
4.2 Higher order equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4.2.1 Existence and uniqueness for n-th order equations . . . . . . . . .
4.3 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

65
65
67
68
69
70

Second order equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71

5.1 Linear homogeneous equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
5.2 Linear independence and the Wronskian . . . . . . . . . . . . . . . . . . . . . . . 75
5.2.1 Wronskian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
5.3 Reduction of the order . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80
5.4 Linear nonhomogeneous equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81
5.4.1 Variation of parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83
5.5 Linear homogeneous equations with constant coefcients . . . . . . . . . 85
5.5.1 The Euler equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92
5.6 Linear nonhomogeneous equations method of undetermined
coefcients. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93
5.6.1 The elastic spring . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
5.7 Oscillatory behavior of solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
5.8 Some nonlinear second order equations . . . . . . . . . . . . . . . . . . . . . . . . 105
5.8.1 Equations of the type F .t; x 0 ; x 00 / D 0 . . . . . . . . . . . . . . . . . . 105
5.8.2 Equations of the type F .x; x 0 ; x 00 / D 0 . . . . . . . . . . . . . . . . . 105
5.8.3 Equations of the form F .t; x; x 0 ; x 00 / D 0 with F homogenous106
5.9 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108

Higher order linear equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

6.1 Existence and uniqueness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.2 Linear independence and Wronskian . . . . . . . . . . . . . . . . . . . . . . . . . .
6.3 Constant coefcients . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.4 Nonhomogeneous equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.5 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

113
113
114
115
118
121

Systems of rst order equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

7.1 Preliminaries: A brief review of linear algebra . . . . . . . . . . . . . . . . . .
7.1.1 Basic properties of matrices . . . . . . . . . . . . . . . . . . . . . . . . . . .
7.1.2 Determinants . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7.1.3 Inverse of a matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7.1.4 Eigenvalues and eigenvectors . . . . . . . . . . . . . . . . . . . . . . . . . .
7.1.5 The Jordan normal form . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7.2 First order systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7.3 Linear rst order systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7.3.1 Wronskian and linear independence . . . . . . . . . . . . . . . . . . . . .
7.4 Constant systems eigenvalues and eigenvectors . . . . . . . . . . . . . . . .
7.5 Nonhomogeneous systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7.6 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

123
123
123
124
127
128
130
132
134
136
140
146
150

Contents

xiii

Qualitative analysis of 2  2 systems and nonlinear second order

equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8.1 Planar hamiltonian systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8.2 A prey-predator system . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8.2.1 The case of shing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8.3 Phase plane analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8.4 On the equation x 00 D f .x/ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8.4.1 A rst example: The equation x 00 D x  x 3 . . . . . . . . . . . . . .
8.4.2 A second example: The equation x 00 D x C x 3 . . . . . . . . . .
8.5 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

155
156
158
163
164
165
166
168
170

Sturm Liouville eigenvalue theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

9.1 Eigenvalues and eigenfunctions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9.2 Existence and properties of eigenvalues . . . . . . . . . . . . . . . . . . . . . . . .
9.3 An application to the heat equation . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9.4 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

173
174
175
179
182

10 Solutions by innite series and Bessel functions . . . . . . . . . . . . . . . . . . . .

10.1 Solving second order equations by series . . . . . . . . . . . . . . . . . . . . . . .
10.2 Brief review of power series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
10.3 Series solutions around ordinary points . . . . . . . . . . . . . . . . . . . . . . . .
10.4 The Frobenius method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
10.5 The Bessel equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
10.5.1 The Bessel equation of order 0 . . . . . . . . . . . . . . . . . . . . . . . . .
10.5.2 The Bessel equation of order 1 . . . . . . . . . . . . . . . . . . . . . . . . .
10.5.3 Bessel equations of order m . . . . . . . . . . . . . . . . . . . . . . . . . . .
10.5.4 Some properties of the Bessel functions . . . . . . . . . . . . . . . . .
10.6 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

183
183
183
185
190
193
195
198
200
201
205

11 Laplace transform . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
11.1 Denition and preliminary examples . . . . . . . . . . . . . . . . . . . . . . . . . .
11.2 Properties of the Laplace transform . . . . . . . . . . . . . . . . . . . . . . . . . . . .
11.3 Inverse Laplace transform . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
11.3.1 Convolution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
11.4 Laplace transform and differential equations . . . . . . . . . . . . . . . . . . . .
11.5 Generalized solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
11.6 Appendix: The Dirac delta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
11.7 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

207
207
210
215
219
220
222
225
230

12 Stability theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
12.1 Denition of stability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
12.2 Liapunov direct method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
12.3 Stability of linear systems and n-th order linear equations . . . . . . . . .
12.3.1 Stability of 2  2 systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
12.3.2 Stability of n  n linear systems . . . . . . . . . . . . . . . . . . . . . . . .
12.3.3 Stability of n-th order linear equations . . . . . . . . . . . . . . . . . . .

233
233
234
236
236
242
244

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12.4 Hamiltonian systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

12.5 Stability of equilibria via linearization . . . . . . . . . . . . . . . . . . . . . . . . .
12.5.1 Stable and unstable manifolds . . . . . . . . . . . . . . . . . . . . . . . . . .
12.6 An asymptotic result . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
12.7 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

245
247
249
251
254

13 Boundary value problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

13.1 Boundary value problems for autonomous equations . . . . . . . . . . . . .
13.1.1 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
13.2 The Green function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
13.3 Sub- and supersolutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
13.4 A nonlinear eigenvalue problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
13.5 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

259
259
262
265
269
273
275

Appendix A. Numerical methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

A.1 First order approximation: Eulers method . . . . . . . . . . . . . . . . . . . . . .
A.1.1 Improved Eulers method . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
A.2 The RungeKutta method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

277
278
279
282

Answers to selected exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 287

References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 301
Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 303