Differential equation

Differential equation

Overview
A differential equation is a mathematical
Mathematics
Mathematics is the study of quantity, space, structure, and change. Mathematicians seek out patterns and formulate new conjectures. Mathematicians resolve the truth or falsity of conjectures by mathematical proofs, which are arguments sufficient to convince other mathematicians of their validity...

 equation
Equation
An equation is a mathematical statement that asserts the equality of two expressions. In modern notation, this is written by placing the expressions on either side of an equals sign , for examplex + 3 = 5\,asserts that x+3 is equal to 5...

 for an unknown function
Function (mathematics)
In mathematics, a function associates one quantity, the argument of the function, also known as the input, with another quantity, the value of the function, also known as the output. A function assigns exactly one output to each input. The argument and the value may be real numbers, but they can...

 of one or several variables
Variable (mathematics)
In mathematics, a variable is a value that may change within the scope of a given problem or set of operations. In contrast, a constant is a value that remains unchanged, though often unknown or undetermined. The concepts of constants and variables are fundamental to many areas of mathematics and...

 that relates the values of the function itself and its derivative
Derivative
In calculus, a branch of mathematics, the derivative is a measure of how a function changes as its input changes. Loosely speaking, a derivative can be thought of as how much one quantity is changing in response to changes in some other quantity; for example, the derivative of the position of a...

s of various orders. Differential equations play a prominent role in engineering
Engineering
Engineering is the discipline, art, skill and profession of acquiring and applying scientific, mathematical, economic, social, and practical knowledge, in order to design and build structures, machines, devices, systems, materials and processes that safely realize improvements to the lives of...

, physics
Physics
Physics is a natural science that involves the study of matter and its motion through spacetime, along with related concepts such as energy and force. More broadly, it is the general analysis of nature, conducted in order to understand how the universe behaves.Physics is one of the oldest academic...

, economics
Economics
Economics is the social science that analyzes the production, distribution, and consumption of goods and services. The term economics comes from the Ancient Greek from + , hence "rules of the house"...

, and other disciplines.

Differential equations arise in many areas of science and technology, specifically whenever a deterministic
Deterministic system (mathematics)
In mathematics, a deterministic system is a system in which no randomness is involved in the development of future states of the system. A deterministic model will thus always produce the same output from a given starting condition or initial state.-Examples:...

 relation involving some continuously varying quantities (modeled by functions) and their rates of change in space and/or time (expressed as derivatives) is known or postulated.
Discussion
Ask a question about 'Differential equation'
Start a new discussion about 'Differential equation'
Answer questions from other users
Full Discussion Forum
 
Unanswered Questions
Encyclopedia
A differential equation is a mathematical
Mathematics
Mathematics is the study of quantity, space, structure, and change. Mathematicians seek out patterns and formulate new conjectures. Mathematicians resolve the truth or falsity of conjectures by mathematical proofs, which are arguments sufficient to convince other mathematicians of their validity...

 equation
Equation
An equation is a mathematical statement that asserts the equality of two expressions. In modern notation, this is written by placing the expressions on either side of an equals sign , for examplex + 3 = 5\,asserts that x+3 is equal to 5...

 for an unknown function
Function (mathematics)
In mathematics, a function associates one quantity, the argument of the function, also known as the input, with another quantity, the value of the function, also known as the output. A function assigns exactly one output to each input. The argument and the value may be real numbers, but they can...

 of one or several variables
Variable (mathematics)
In mathematics, a variable is a value that may change within the scope of a given problem or set of operations. In contrast, a constant is a value that remains unchanged, though often unknown or undetermined. The concepts of constants and variables are fundamental to many areas of mathematics and...

 that relates the values of the function itself and its derivative
Derivative
In calculus, a branch of mathematics, the derivative is a measure of how a function changes as its input changes. Loosely speaking, a derivative can be thought of as how much one quantity is changing in response to changes in some other quantity; for example, the derivative of the position of a...

s of various orders. Differential equations play a prominent role in engineering
Engineering
Engineering is the discipline, art, skill and profession of acquiring and applying scientific, mathematical, economic, social, and practical knowledge, in order to design and build structures, machines, devices, systems, materials and processes that safely realize improvements to the lives of...

, physics
Physics
Physics is a natural science that involves the study of matter and its motion through spacetime, along with related concepts such as energy and force. More broadly, it is the general analysis of nature, conducted in order to understand how the universe behaves.Physics is one of the oldest academic...

, economics
Economics
Economics is the social science that analyzes the production, distribution, and consumption of goods and services. The term economics comes from the Ancient Greek from + , hence "rules of the house"...

, and other disciplines.

Differential equations arise in many areas of science and technology, specifically whenever a deterministic
Deterministic system (mathematics)
In mathematics, a deterministic system is a system in which no randomness is involved in the development of future states of the system. A deterministic model will thus always produce the same output from a given starting condition or initial state.-Examples:...

 relation involving some continuously varying quantities (modeled by functions) and their rates of change in space and/or time (expressed as derivatives) is known or postulated. This is illustrated in classical mechanics
Classical mechanics
In physics, classical mechanics is one of the two major sub-fields of mechanics, which is concerned with the set of physical laws describing the motion of bodies under the action of a system of forces...

, where the motion of a body is described by its position and velocity as the time value varies. Newton's laws
Newton's laws of motion
Newton's laws of motion are three physical laws that form the basis for classical mechanics. They describe the relationship between the forces acting on a body and its motion due to those forces...

 allow one (given the position, velocity, acceleration and various forces acting on the body) to express these variables dynamically as a differential equation for the unknown position of the body as a function of time. In some cases, this differential equation (called an equation of motion) may be solved explicitly.

An example of modelling a real world problem using differential equations is the determination of the velocity of a ball falling through the air, considering only gravity and air resistance. The ball's acceleration towards the ground is the acceleration due to gravity minus the deceleration due to air resistance. Gravity is considered constant, and air resistance may be modeled as proportional to the ball's velocity. This means that the ball's acceleration, which is the derivative of its velocity, depends on the velocity. Finding the velocity as a function of time involves solving a differential equation.

Differential equations are mathematically studied from several different perspectives, mostly concerned with their solutions —the set of functions that satisfy the equation. Only the simplest differential equations admit solutions given by explicit formulas; however, some properties of solutions of a given differential equation may be determined without finding their exact form. If a self-contained formula for the solution is not available, the solution may be numerically approximated using computers. The theory of dynamical systems puts emphasis on qualitative analysis of systems described by differential equations, while many numerical methods have been developed to determine solutions with a given degree of accuracy.

Directions of study


The study of differential equations is a wide field in pure
Pure mathematics
Broadly speaking, pure mathematics is mathematics which studies entirely abstract concepts. From the eighteenth century onwards, this was a recognized category of mathematical activity, sometimes characterized as speculative mathematics, and at variance with the trend towards meeting the needs of...

 and applied mathematics
Applied mathematics
Applied mathematics is a branch of mathematics that concerns itself with mathematical methods that are typically used in science, engineering, business, and industry. Thus, "applied mathematics" is a mathematical science with specialized knowledge...

, physics
Physics
Physics is a natural science that involves the study of matter and its motion through spacetime, along with related concepts such as energy and force. More broadly, it is the general analysis of nature, conducted in order to understand how the universe behaves.Physics is one of the oldest academic...

, meteorology
Meteorology
Meteorology is the interdisciplinary scientific study of the atmosphere. Studies in the field stretch back millennia, though significant progress in meteorology did not occur until the 18th century. The 19th century saw breakthroughs occur after observing networks developed across several countries...

, and engineering
Engineering
Engineering is the discipline, art, skill and profession of acquiring and applying scientific, mathematical, economic, social, and practical knowledge, in order to design and build structures, machines, devices, systems, materials and processes that safely realize improvements to the lives of...

. All of these disciplines are concerned with the properties of differential equations of various types. Pure mathematics focuses on the existence and uniqueness of solutions, while applied mathematics emphasizes the rigorous justification of the methods for approximating solutions. Differential equations play an important role in modelling virtually every physical, technical, or biological process, from celestial motion, to bridge design, to interactions between neurons. Differential equations such as those used to solve real-life problems may not necessarily be directly solvable, i.e. do not have closed form
Closed-form expression
In mathematics, an expression is said to be a closed-form expression if it can be expressed analytically in terms of a bounded number of certain "well-known" functions...

 solutions. Instead, solutions can be approximated using numerical methods
Numerical ordinary differential equations
Numerical ordinary differential equations is the part of numerical analysis which studies the numerical solution of ordinary differential equations...

.

Mathematicians also study weak solution
Weak solution
In mathematics, a weak solution to an ordinary or partial differential equation is a function for which the derivatives may not all exist but which is nonetheless deemed to satisfy the equation in some precisely defined sense. There are many different definitions of weak solution, appropriate for...

s (relying on weak derivative
Weak derivative
In mathematics, a weak derivative is a generalization of the concept of the derivative of a function for functions not assumed differentiable, but only integrable, i.e. to lie in the Lebesgue space L^1. See distributions for an even more general definition.- Definition :Let u be a function in the...

s), which are types of solutions that do not have to be differentiable everywhere. This extension is often necessary for solutions to exist, and it also results in more physically reasonable properties of solutions, such as possible presence of shocks for equations of hyperbolic type.

The study of the stability of solutions of differential equations is known as stability theory
Stability theory
In mathematics, stability theory addresses the stability of solutions of differential equations and of trajectories of dynamical systems under small perturbations of initial conditions...

.

Nomenclature


The theory of differential equations is quite developed and the methods
used to study them vary significantly with the type of the equation.
  • An ordinary differential equation
    Ordinary differential equation
    In mathematics, an ordinary differential equation is a relation that contains functions of only one independent variable, and one or more of their derivatives with respect to that variable....

     (ODE) is a differential equation in which the unknown function (also known as the dependent variable) is a function of a single independent variable. In the simplest form, the unknown function is a real or complex valued function, but more generally, it may be vector-valued
    Vector-valued function
    A vector-valued function also referred to as a vector function is a mathematical function of one or more variables whose range is a set of multidimensional vectors or infinite-dimensional vectors. The input of a vector-valued function could be a scalar or a vector...

     or matrix
    Matrix (mathematics)
    In mathematics, a matrix is a rectangular array of numbers, symbols, or expressions. The individual items in a matrix are called its elements or entries. An example of a matrix with six elements isMatrices of the same size can be added or subtracted element by element...

    -valued: this corresponds to considering a system of ordinary differential equations for a single function.


  • Ordinary differential equations are further classified according to the order of the highest derivative of the dependent variable with respect to the independent variable appearing in the equation. The most important cases for applications are first-order and second-order differential equations. For example, Bessel's differential equation
    is a second-order differential equation. In the classical literature also distinction is made between differential equations explicitly solved with respect to the highest derivative and differential equations in an implicit form.

  • A partial differential equation
    Partial differential equation
    In mathematics, partial differential equations are a type of differential equation, i.e., a relation involving an unknown function of several independent variables and their partial derivatives with respect to those variables...

     (PDE) is a differential equation in which the unknown function is a function of multiple independent variables and the equation involves its partial derivatives. The order is defined similarly to the case of ordinary differential equations, but further classification into elliptic, hyperbolic, and parabolic equations, especially for second-order linear equations, is of utmost importance. Some partial differential equations do not fall into any of these categories over the whole domain of the independent variables and they are said to be of mixed type.


Both ordinary and partial differential equations are broadly classified as linear and nonlinear. A differential equation is linear if the unknown function and its derivatives appear to the power 1 (products are not allowed) and nonlinear otherwise. The characteristic property of linear equations is that their solutions form an affine subspace of an appropriate function space, which results in much more developed theory of linear differential equations. Homogeneous linear differential equations are a further subclass for which the space of solutions is a linear subspace i.e. the sum of any set of solutions or multiples of solutions is also a solution. The coefficients of the unknown function and its derivatives in a linear differential equation are allowed to be (known) functions of the independent variable or variables; if these coefficients are constants then one speaks of a constant coefficient linear differential equation.

There are very few methods of explicitly solving nonlinear differential equations; those that are known typically depend on the equation having particular symmetries. Nonlinear differential equations can exhibit very complicated behavior over extended time intervals, characteristic of chaos
Chaos theory
Chaos theory is a field of study in mathematics, with applications in several disciplines including physics, economics, biology, and philosophy. Chaos theory studies the behavior of dynamical systems that are highly sensitive to initial conditions, an effect which is popularly referred to as the...

. Even the fundamental questions of existence, uniqueness, and extendability of solutions for nonlinear differential equations, and well-posedness of initial and boundary value problems for nonlinear PDEs are hard problems and their resolution in special cases is considered to be a significant advance in the mathematical theory (cf. Navier–Stokes existence and smoothness).

Linear differential equations frequently appear as approximations
Linearization
In mathematics and its applications, linearization refers to finding the linear approximation to a function at a given point. In the study of dynamical systems, linearization is a method for assessing the local stability of an equilibrium point of a system of nonlinear differential equations or...

 to nonlinear equations. These approximations are only valid under restricted conditions. For example, the harmonic oscillator equation is an approximation to the nonlinear pendulum equation that is valid for small amplitude oscillations (see below).

Classification summary


The mathematical definitions for the various classifications of differential equation can be collected as follows.

Ordinary DE classification


See main article: Ordinary differential equation
Ordinary differential equation
In mathematics, an ordinary differential equation is a relation that contains functions of only one independent variable, and one or more of their derivatives with respect to that variable....

.

In the table below,

All differential equations are of order n and arbitrary degree d.

F is an implicit function
Implicit function
The implicit function theorem provides a link between implicit and explicit functions. It states that if the equation R = 0 satisfies some mild conditions on its partial derivatives, then one can in principle solve this equation for y, at least over some small interval...

 of: an independent variable x, a dependent variable y (a function of x), and integer derivatives of y (fractional derivatives
Fractional calculus
Fractional calculus is a branch of mathematical analysis that studies the possibility of taking real number powers or complex number powers of the differentiation operator.and the integration operator J...

 are in fact possible, but not considered here).

y may in general be a vector valued function:


so x is an element of the vector space
Vector space
A vector space is a mathematical structure formed by a collection of vectors: objects that may be added together and multiplied by numbers, called scalars in this context. Scalars are often taken to be real numbers, but one may also consider vector spaces with scalar multiplication by complex...

 R, y an element of a vector space of dimension m, , where R is the set of real numbers, is the cartesian product
Cartesian product
In mathematics, a Cartesian product is a construction to build a new set out of a number of given sets. Each member of the Cartesian product corresponds to the selection of one element each in every one of those sets...

 of R with itself m times to form an m-tuple of real numbers.

This leads to a system of differential equations to be solved for y1, y2,...ym.

y is characterized by the function mapping
Map (mathematics)
In most of mathematics and in some related technical fields, the term mapping, usually shortened to map, is either a synonym for function, or denotes a particular kind of function which is important in that branch, or denotes something conceptually similar to a function.In graph theory, a map is a...

 .

r(x) is called a source term in x, and A(x) is an arbitrary function, both assumed continuous in x on defined intervals.
Characteristic Properties Differential equation
Implicit system of dimension m
Explicit system of dimension m

Autonomous: No x dependence
Linear: nth derivative can be written

as a linear combination
Linear combination
In mathematics, a linear combination is an expression constructed from a set of terms by multiplying each term by a constant and adding the results...

of the other

derivatives
Homogeneous: Source term
is zero


Notice the mapping from or corresponds to the map from x, y, and the n or (n-1) derivatives of y to the solution, in general implicit.

Examples


In the first group of examples, let u be an unknown function of x, and c and ω are known constants.
  • Inhomogeneous first-order linear constant coefficient ordinary differential equation:


  • Homogeneous second-order linear ordinary differential equation:


  • Homogeneous second-order linear constant coefficient ordinary differential equation describing the harmonic oscillator
    Harmonic oscillator
    In classical mechanics, a harmonic oscillator is a system that, when displaced from its equilibrium position, experiences a restoring force, F, proportional to the displacement, x: \vec F = -k \vec x \, where k is a positive constant....

    :


  • First-order nonlinear ordinary differential equation:


  • Second-order nonlinear ordinary differential equation describing the motion of a pendulum
    Pendulum
    A pendulum is a weight suspended from a pivot so that it can swing freely. When a pendulum is displaced from its resting equilibrium position, it is subject to a restoring force due to gravity that will accelerate it back toward the equilibrium position...

     of length L:



In the next group of examples, the unknown function u depends on two variables x and t or x and y.
  • Homogeneous first-order linear partial differential equation:


  • Homogeneous second-order linear constant coefficient partial differential equation of elliptic type, the Laplace equation:


  • Third-order nonlinear partial differential equation, the Korteweg–de Vries equation
    Korteweg–de Vries equation
    In mathematics, the Korteweg–de Vries equation is a mathematical model of waves on shallow water surfaces. It is particularly notable as the prototypical example of an exactly solvable model, that is, a non-linear partial differential equation whose solutions can be exactly and precisely specified...

    :


Related concepts

  • A delay differential equation
    Delay differential equation
    In mathematics, delay differential equations are a type of differential equation in which the derivative of the unknown function at a certain time is given in terms of the values of the function at previous times....

     (DDE) is an equation for a function of a single variable, usually called time, in which the derivative of the function at a certain time is given in terms of the values of the function at earlier times.

  • A stochastic differential equation
    Stochastic differential equation
    A stochastic differential equation is a differential equation in which one or more of the terms is a stochastic process, thus resulting in a solution which is itself a stochastic process....

     (SDE) is an equation in which the unknown quantity is a stochastic process
    Stochastic process
    In probability theory, a stochastic process , or sometimes random process, is the counterpart to a deterministic process...

     and the equation involves some known stochastic processes, for example, the Wiener process
    Wiener process
    In mathematics, the Wiener process is a continuous-time stochastic process named in honor of Norbert Wiener. It is often called standard Brownian motion, after Robert Brown...

     in the case of diffusion equations.


Connection to difference equations


The theory of differential equations is closely related to the theory of difference equations, in which the coordinates assume only discrete values, and the relationship involves values of the unknown function or functions and values at nearby coordinates. Many methods to compute numerical solutions of differential equations or study the properties of differential equations involve approximation of the solution of a differential equation by the solution of a corresponding difference equation.

Universality of mathematical description


Many fundamental laws of physics
Physics
Physics is a natural science that involves the study of matter and its motion through spacetime, along with related concepts such as energy and force. More broadly, it is the general analysis of nature, conducted in order to understand how the universe behaves.Physics is one of the oldest academic...

 and chemistry
Chemistry
Chemistry is the science of matter, especially its chemical reactions, but also its composition, structure and properties. Chemistry is concerned with atoms and their interactions with other atoms, and particularly with the properties of chemical bonds....

 can be formulated as differential equations. In biology
Biology
Biology is a natural science concerned with the study of life and living organisms, including their structure, function, growth, origin, evolution, distribution, and taxonomy. Biology is a vast subject containing many subdivisions, topics, and disciplines...

 and economics
Economics
Economics is the social science that analyzes the production, distribution, and consumption of goods and services. The term economics comes from the Ancient Greek from + , hence "rules of the house"...

, differential equations are used to model the behavior of complex systems. The mathematical theory of differential equations first developed together with the sciences where the equations had originated and where the results found application. However, diverse problems, sometimes originating in quite distinct scientific fields, may give rise to identical differential equations. Whenever this happens, mathematical theory behind the equations can be viewed as a unifying principle behind diverse phenomena. As an example, consider propagation of light and sound in the atmosphere, and of waves on the surface of a pond. All of them may be described by the same second-order partial differential equation
Partial differential equation
In mathematics, partial differential equations are a type of differential equation, i.e., a relation involving an unknown function of several independent variables and their partial derivatives with respect to those variables...

, the wave equation
Wave equation
The wave equation is an important second-order linear partial differential equation for the description of waves – as they occur in physics – such as sound waves, light waves and water waves. It arises in fields like acoustics, electromagnetics, and fluid dynamics...

, which allows us to think of light and sound as forms of waves, much like familiar waves in the water. Conduction of heat, the theory of which was developed by Joseph Fourier
Joseph Fourier
Jean Baptiste Joseph Fourier was a French mathematician and physicist best known for initiating the investigation of Fourier series and their applications to problems of heat transfer and vibrations. The Fourier transform and Fourier's Law are also named in his honour...

, is governed by another second-order partial differential equation, the heat equation
Heat equation
The heat equation is an important partial differential equation which describes the distribution of heat in a given region over time...

. It turned out that many diffusion
Diffusion
Molecular diffusion, often called simply diffusion, is the thermal motion of all particles at temperatures above absolute zero. The rate of this movement is a function of temperature, viscosity of the fluid and the size of the particles...

 processes, while seemingly different, are described by the same equation; Black–Scholes equation in finance is for instance, related to the heat equation.

Exact solutions


Some differential equations have solutions which can be written in an exact and closed form. Several important classes are given here.

In the table below, H(x), Z(x), H(y), Z(y), or H(x,y), Z(x,y) are any integrable functions of x or y (or both), and A, B, C, I, L, N, M are all constants. In general A, B, C, I, L, are real numbers, but N, M, P and Q may be complex. The differential equations are in their equivalent and alternative forms which lead to the solution through integration
Integral
Integration is an important concept in mathematics and, together with its inverse, differentiation, is one of the two main operations in calculus...

.
Differential equation General solution
1

2

3

4


where
5

solution may be implicit in x and y, obtained by calculating above integral then using

back-substituting
6
7

If DE is exact so that

then the solution is:



where and are constant functions from the integrals rather than constant values, which are

set to make the final function hold.

If DE is not exact, the functions H(x,y) or Z(x,y) may be used to obtain an integrating factor
Integrating factor
In mathematics, an integrating factor is a function that is chosen to facilitate the solving of a given equation involving differentials. It is commonly used to solve ordinary differential equations, but is also used within multivariable calculus, in this case often multiplying through by an...

, the DE is

then multiplied through by that factor and the solution proceeds the same way.
8
\frac{x}{2} \right )} + Q\cos{\left ( \sqrt{\left | I^2-4L \right |}\frac{x}{2} \right )} \right ] \,\!

|-

| 9 || ||


where are the d solutions of the polynomial
Polynomial
In mathematics, a polynomial is an expression of finite length constructed from variables and constants, using only the operations of addition, subtraction, multiplication, and non-negative integer exponents...

 of degree
Degree of a polynomial
The degree of a polynomial represents the highest degree of a polynominal's terms , should the polynomial be expressed in canonical form . The degree of an individual term is the sum of the exponents acting on the term's variables...

 d:


|}
Note that 3 and 4 are special cases of 7, they are relatively common cases and included for completeness.

Similarly 8 is a special case of 9, but 8 is a relatively common form, particularly in simple physical and engineering problems.

Biology

  • Verhulst equation – biological population growth
  • von Bertalanffy model – biological individual growth
  • Lotka–Volterra equations – biological population dynamics
  • Replicator dynamics – may be found in theoretical biology
  • Hodgkin-Huxley model
    Hodgkin-Huxley model
    The Hodgkin–Huxley model is a mathematical model that describes how action potentials in neurons are initiated and propagated....

     - neural action potentials

Economics

  • The Black–Scholes PDE
  • Exogenous growth model
    Exogenous growth model
    The neoclassical growth model, also known as the Solow–Swan growth model or exogenous growth model, is a class of economic models of long-run economic growth set within the framework of neoclassical economics...

  • Malthusian growth model
    Malthusian growth model
    The Malthusian growth model, sometimes called the simple exponential growth model, is essentially exponential growth based on a constant rate of compound interest...

  • The Vidale-Wolfe advertising model
    Sethi model
    The Sethi model was developed by Suresh P. Sethi and describes the process of how sales evolve over time in response to advertising. The rate of change in sales depend on three effects: response to advertising that acts positively on the unsold portion of the market, the loss due to forgetting or...


See also


  • Complex differential equation
    Complex differential equation
    A complex differential equation is a differential equation whose solutions are functions of a complex variable.Constructing integrals involves choice of what path to take, which means singularities and branch points of the equation need to be studied...

  • Exact differential equation
    Exact differential equation
    In mathematics, an exact differential equation or total differential equation is a certain kind of ordinary differential equation which is widely used in physics and engineering.-Definition:...

  • Integral equations
  • Linear differential equation
    Linear differential equation
    Linear differential equations are of the formwhere the differential operator L is a linear operator, y is the unknown function , and the right hand side ƒ is a given function of the same nature as y...

  • Picard–Lindelöf theorem on existence and uniqueness of solutions
  • Numerical methods

External links