Ordinary differential equation

Ordinary differential equation

Overview
In mathematics
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...

, an ordinary differential equation (or ODE) is a relation that contains functions of only one independent variable
Independent variable
The terms "dependent variable" and "independent variable" are used in similar but subtly different ways in mathematics and statistics as part of the standard terminology in those subjects...

, and one or more of their 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 with respect to that variable.

A simple example is Newton's second law of motion, which leads to the differential equation
Differential equation
A differential equation is a mathematical equation for an unknown function of one or several variables that relates the values of the function itself and its derivatives of various orders...




for the motion of a particle of constant mass m.
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Encyclopedia
In mathematics
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...

, an ordinary differential equation (or ODE) is a relation that contains functions of only one independent variable
Independent variable
The terms "dependent variable" and "independent variable" are used in similar but subtly different ways in mathematics and statistics as part of the standard terminology in those subjects...

, and one or more of their 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 with respect to that variable.

A simple example is Newton's second law of motion, which leads to the differential equation
Differential equation
A differential equation is a mathematical equation for an unknown function of one or several variables that relates the values of the function itself and its derivatives of various orders...




for the motion of a particle of constant mass m. In general, the force F depends upon the position x(t) of the particle at time t,
and thus the unknown function x(t) appears on both sides of the differential equation, as is indicated in the notation F(x(t)).

Ordinary differential equations are distinguished from 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...

s, which involve partial derivative
Partial derivative
In mathematics, a partial derivative of a function of several variables is its derivative with respect to one of those variables, with the others held constant...

s of functions of several variables.

Ordinary differential equations arise in many different contexts including geometry, mechanics, astronomy and population modelling. Many mathematicians have studied differential equations and contributed to the field, including Newton
Isaac Newton
Sir Isaac Newton PRS was an English physicist, mathematician, astronomer, natural philosopher, alchemist, and theologian, who has been "considered by many to be the greatest and most influential scientist who ever lived."...

, Leibniz
Gottfried Leibniz
Gottfried Wilhelm Leibniz was a German philosopher and mathematician. He wrote in different languages, primarily in Latin , French and German ....

, the Bernoulli family, Riccati, Clairaut, d'Alembert and Euler.

Much study has been devoted to the solution of ordinary differential equations.
In the case where the equation is linear
Linear transformation
In mathematics, a linear map, linear mapping, linear transformation, or linear operator is a function between two vector spaces that preserves the operations of vector addition and scalar multiplication. As a result, it always maps straight lines to straight lines or 0...

, it can be solved by analytical methods. Unfortunately, most of the interesting differential equations are non-linear and, with a few exceptions, cannot be solved exactly. Approximate solutions are arrived at using computer approximations (see numerical ordinary differential equations
Numerical ordinary differential equations
Numerical ordinary differential equations is the part of numerical analysis which studies the numerical solution of ordinary differential equations...

).

Ordinary differential equation


Let y be an unknown function


in x with the nth 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...

 of y, and let F be a given function


then an equation of the form


is called an ordinary differential equation (ODE) of order n. If y is an unknown vector valued function,
it is called a system of ordinary differential equations of dimension m (in this case, F : ℝmn+1→ ℝm).

More generally, an implicit ordinary differential equation of order n has the form
where F : ℝn+2→ ℝ depends on y(n). To distinguish the above case from this one, an equation of the form
is called an explicit differential equation.

A differential equation not depending on x is called autonomous
Autonomous system (mathematics)
In mathematics, an autonomous system or autonomous differential equation is a system of ordinary differential equations which does not explicitly depend on the independent variable...

.

A differential equation is said to be linear
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...

if F 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 derivatives of y together with a constant term, all possibly depending on x:


with ai(x) and r(x) continuous functions in x. The function r(x) is called the source term; if r(x)=0 then the linear differential equation is called homogeneous, otherwise it is called non-homogeneous or inhomogeneous.

Solutions


Given a differential equation
a function is called the solution or integral curve
Integral curve
In mathematics, an integral curve is a parametric curve that represents a specific solution to an ordinary differential equation or system of equations...

 for F, if u is n-times differentiable on I, and

Given two solutions and , u is called an extension of v if and
A solution which has no extension is called a global solution.

A general solution of an n-th order equation is a solution containing n arbitrary variables, corresponding to n constants of integration. A particular solution is derived from the general solution by setting the constants to particular values, often chosen to fulfill set 'initial conditions
Initial value problem
In mathematics, in the field of differential equations, an initial value problem is an ordinary differential equation together with a specified value, called the initial condition, of the unknown function at a given point in the domain of the solution...

 or boundary conditions
Boundary value problem
In mathematics, in the field of differential equations, a boundary value problem is a differential equation together with a set of additional restraints, called the boundary conditions...

'. A singular solution
Singular solution
A singular solution ys of an ordinary differential equation is a solution that is singular or one for which the initial value problem fails to have a unique solution at some point on the solution. The set on which a solution is singular may be as small as a single point or as large as the full...

 is a solution that can't be derived from the general solution.

Existence and uniqueness of solutions


There are several theorems that establish existence and uniqueness of solutions to initial value problems involving ODEs both locally and globally. The two main theorems are the Picard–Lindelöf theorem
Picard–Lindelöf theorem
In mathematics, in the study of differential equations, the Picard–Lindelöf theorem, Picard's existence theorem or Cauchy–Lipschitz theorem is an important theorem on existence and uniqueness of solutions to first-order equations with given initial conditions.The theorem is named after Charles...

 and the Peano existence theorem
Peano existence theorem
In mathematics, specifically in the study of ordinary differential equations, the Peano existence theorem, Peano theorem or Cauchy-Peano theorem, named after Giuseppe Peano and Augustin Louis Cauchy, is a fundamental theorem which guarantees the existence of solutions to certain initial value...

.

Reduction to a first order system


Any differential equation of order n can be written as a system of n first-order differential equations.
Given an explicit ordinary differential equation of order n (and dimension 1),


define a new family of unknown functions


for i from 1 to n.

The original differential equation can be rewritten as the system of differential equations with order 1 and dimension n given by


which can be written concisely in vector notation as


with


and

Linear ordinary differential equations


A well understood particular class of differential equations is linear differential equations. We can always reduce an explicit linear differential equation of any order to a system of differential equations of order 1


which we can write concisely using matrix and vector notation as


with

Homogeneous equations


The set of solutions for a system of homogeneous linear differential equations of order 1 and dimension n


forms an n-dimensional 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...

. Given a basis for this vector space , which is called a fundamental system, every solution can be written as


The n × n matrix


is called fundamental matrix. In general there is no method to explicitly construct a fundamental system, but if one solution is known d'Alembert reduction can be used to reduce the dimension of the differential equation by one.

Nonhomogeneous equations


The set of solutions for a system of inhomogeneous linear differential equations of order 1 and dimension n


can be constructed by finding the fundamental system to the corresponding homogeneous equation and one particular solution to the inhomogeneous equation. Every solution to nonhomogeneous equation can then be written as


A particular solution to the nonhomogeneous equation can be found by the method of undetermined coefficients
Method of undetermined coefficients
In mathematics, the method of undetermined coefficients, also known as the lucky guess method, is an approach to finding a particular solution to certain inhomogeneous ordinary differential equations and recurrence relations...

 or the method of variation of parameters
Method of variation of parameters
In mathematics, variation of parameters, also known as variation of constants, is a general method to solve inhomogeneous linear ordinary differential equations...

.

Concerning second order linear ordinary differential equations, it is well known that
So, if is a solution of: , then such that:

So, if is a solution of: ; then a particular solution of , is given by: .

Fundamental systems for homogeneous equations with constant coefficients


If a system of homogeneous linear differential equations has constant coefficients


then we can explicitly construct a fundamental system. The fundamental system can be written as a matrix differential equation
Matrix differential equation
A differential equation is a mathematical equation for an unknown function of one or several variables that relates the values of the function itself and of its derivatives of various orders...




with solution as a matrix exponential
Matrix exponential
In mathematics, the matrix exponential is a matrix function on square matrices analogous to the ordinary exponential function. Abstractly, the matrix exponential gives the connection between a matrix Lie algebra and the corresponding Lie group....




which is a fundamental matrix for the original differential equation. To explicitly calculate this expression we first transform A into Jordan normal form
Jordan normal form
In linear algebra, a Jordan normal form of a linear operator on a finite-dimensional vector space is an upper triangular matrix of a particular form called Jordan matrix, representing the operator on some basis...




and then evaluate the Jordan blocks

of J separately as

General Case


To solve
y'(x) = A(x)y(x)+b(x) with y(x0) = y0 (here y(x) is a vector or matrix, and A(x) is a matrix),

let U(x) be the solution of y'(x) = A(x)y(x) with U(x0) = I (the identity matrix). After substituting y(x) = U(x)z(x), the equation y'(x) = A(x)y(x)+b(x) simplifies to U(x)z'(x) = B(x). Thus,

If A(x1) commutes with A(x2) for all x1 and x2, then (and thus ), but in the general case there is no closed form solution, and an approximation method such as Magnus expansion
Magnus expansion
In mathematics and physics, the Magnus expansion, named after Wilhelm Magnus , provides an exponential representation of the solution of a first order linear homogeneous differential equation for a linear operator. In particular it furnishes the fundamental matrix of a system of linear ordinary...

 may have to be used.

Singular solutions


The theory of singular solution
Singular solution
A singular solution ys of an ordinary differential equation is a solution that is singular or one for which the initial value problem fails to have a unique solution at some point on the solution. The set on which a solution is singular may be as small as a single point or as large as the full...

s of ordinary and partial
differential equations was a subject of research from the time
of Leibniz, but only since the middle of the nineteenth century did it
receive special attention. A valuable but little-known work on the
subject is that of Houtain (1854). Darboux
Jean Gaston Darboux
Jean-Gaston Darboux was a French mathematician.-Life:Darboux made several important contributions to geometry and mathematical analysis . He was a biographer of Henri Poincaré and he edited the Selected Works of Joseph Fourier.Darboux received his Ph.D...

 (starting in 1873) was a
leader in the theory, and in the geometric interpretation of these
solutions he opened a field which was worked by various
writers, notably Casorati
Felice Casorati (mathematician)
Felice Casorati was an Italian mathematician best known for the Casorati-Weierstrass theorem in complex analysis...

 and Cayley
Arthur Cayley
Arthur Cayley F.R.S. was a British mathematician. He helped found the modern British school of pure mathematics....

. To the latter is due (1872)
the theory of singular solutions of differential equations of the
first order as accepted circa 1900.

Reduction to quadratures


The primitive attempt in dealing with differential equations had in view a reduction to quadrature
Quadrature (mathematics)
Quadrature — historical mathematical term which means calculating of the area. Quadrature problems have served as one of the main sources of mathematical analysis.- History :...

s. As it had been the hope of eighteenth-century algebraists to find a method for solving the general equation of the th degree, so it was the hope of analysts to find a general method for integrating any differential equation. Gauss
Carl Friedrich Gauss
Johann Carl Friedrich Gauss was a German mathematician and scientist who contributed significantly to many fields, including number theory, statistics, analysis, differential geometry, geodesy, geophysics, electrostatics, astronomy and optics.Sometimes referred to as the Princeps mathematicorum...

 (1799) showed, however, that the differential equation meets its limitations very soon unless complex number
Complex number
A complex number is a number consisting of a real part and an imaginary part. Complex numbers extend the idea of the one-dimensional number line to the two-dimensional complex plane by using the number line for the real part and adding a vertical axis to plot the imaginary part...

s are introduced. Hence analysts began to substitute the study of functions, thus opening a new and fertile field. Cauchy was the first to appreciate the importance of this view. Thereafter the real question was to be, not whether a solution is possible by means of known functions or their integrals, but whether a given differential equation suffices for the definition of a function of the
independent variable or variables, and if so, what are the characteristic properties of this function.

Fuchsian theory



Two memoirs by Fuchs
Lazarus Fuchs
Lazarus Immanuel Fuchs was a German mathematician who contributed important research in the field of linear differential equations...

 (Crelle, 1866, 1868), inspired a novel approach, subsequently elaborated by Thomé and Frobenius
Ferdinand Georg Frobenius
Ferdinand Georg Frobenius was a German mathematician, best known for his contributions to the theory of differential equations and to group theory...

. Collet was a prominent contributor beginning in 1869, although his method for integrating a
non-linear system was communicated to Bertrand in 1868. Clebsch
Alfred Clebsch
Rudolf Friedrich Alfred Clebsch was a German mathematician who made important contributions to algebraic geometry and invariant theory. He attended the University of Königsberg and was habilitated at Berlin. He subsequently taught in Berlin and Karlsruhe...

 (1873) attacked
the theory along lines parallel to those followed in his theory of
Abelian integrals. As the latter can be classified according to the
properties of the fundamental curve which remains unchanged under a
rational transformation, so Clebsch proposed to classify the
transcendent functions defined by the differential equations
according to the invariant properties of the corresponding surfaces
f = 0 under rational one-to-one transformations.

Lie's theory


From 1870 Sophus Lie
Sophus Lie
Marius Sophus Lie was a Norwegian mathematician. He largely created the theory of continuous symmetry, and applied it to the study of geometry and differential equations.- Biography :...

's work put the theory of differential equations
on a more satisfactory foundation. He showed that the integration
theories of the older mathematicians can, by the introduction of what are now called Lie group
Lie group
In mathematics, a Lie group is a group which is also a differentiable manifold, with the property that the group operations are compatible with the smooth structure...

s, be referred to a common source; and that
ordinary differential equations which admit the same infinitesimal transformation
Infinitesimal transformation
In mathematics, an infinitesimal transformation is a limiting form of small transformation. For example one may talk about an infinitesimal rotation of a rigid body, in three-dimensional space. This is conventionally represented by a 3×3 skew-symmetric matrix A...

s present comparable difficulties of integration. He
also emphasized the subject of transformations of contact.

A general approach to solve DE's uses the symmetry property of differential equations, the continuous infinitesimal transformation
Infinitesimal transformation
In mathematics, an infinitesimal transformation is a limiting form of small transformation. For example one may talk about an infinitesimal rotation of a rigid body, in three-dimensional space. This is conventionally represented by a 3×3 skew-symmetric matrix A...

s of solutions to solutions (Lie theory
Lie theory
Lie theory is an area of mathematics, developed initially by Sophus Lie.Early expressions of Lie theory are found in books composed by Lie with Friedrich Engel and Georg Scheffers from 1888 to 1896....

). Continuous group theory
Group theory
In mathematics and abstract algebra, group theory studies the algebraic structures known as groups.The concept of a group is central to abstract algebra: other well-known algebraic structures, such as rings, fields, and vector spaces can all be seen as groups endowed with additional operations and...

, Lie algebras and differential geometry are used to understand the structure of linear and nonlinear (partial) differential equations for generating integrable equations, to find its Lax pair
Lax pair
In mathematics, in the theory of integrable systems, a Lax pair is a pair of time-dependent matrices or operators that describe the corresponding differential equations. They were introduced by Peter Lax to discuss solitons in continuous media...

s, recursion operators, Bäcklund transform
Bäcklund transform
In mathematics, Bäcklund transforms or Bäcklund transformations relate partial differential equations and their solutions. They are an important tool in soliton theory and integrable systems...

 and finally finding exact analytic solutions to the DE.

Symmetry methods have been recognized to study differential equations arising in mathematics, physics, engineering, and many other disciplines.

Sturm–Liouville theory



Sturm–Liouville theory is a theory of eigenvalues and eigenfunctions of linear
operators defined in terms of second-order homogeneous linear equations, and is useful
in the analysis of certain partial differential equations.

See also

  • Numerical ordinary differential equations
    Numerical ordinary differential equations
    Numerical ordinary differential equations is the part of numerical analysis which studies the numerical solution of ordinary differential equations...

  • Difference equation
  • Matrix differential equation
    Matrix differential equation
    A differential equation is a mathematical equation for an unknown function of one or several variables that relates the values of the function itself and of its derivatives of various orders...

  • Laplace transform applied to differential equations
  • Boundary value problem
    Boundary value problem
    In mathematics, in the field of differential equations, a boundary value problem is a differential equation together with a set of additional restraints, called the boundary conditions...

  • List of dynamical systems and differential equations topics
  • Separation of variables
    Separation of variables
    In mathematics, separation of variables is any of several methods for solving ordinary and partial differential equations, in which algebra allows one to rewrite an equation so that each of two variables occurs on a different side of the equation....

  • Method of undetermined coefficients
    Method of undetermined coefficients
    In mathematics, the method of undetermined coefficients, also known as the lucky guess method, is an approach to finding a particular solution to certain inhomogeneous ordinary differential equations and recurrence relations...


External links


(includes a list of software for solving differential equations).