Second-Order Differential Equations

# 47 Second-Order Linear Equations

### Learning Objectives

- Recognize homogeneous and nonhomogeneous linear differential equations.
- Determine the characteristic equation of a homogeneous linear equation.
- Use the roots of the characteristic equation to find the solution to a homogeneous linear equation.
- Solve initial-value and boundary-value problems involving linear differential equations.

When working with differential equations, usually the goal is to find a solution. In other words, we want to find a function (or functions) that satisfies the differential equation. The technique we use to find these solutions varies, depending on the form of the differential equation with which we are working. Second-order differential equations have several important characteristics that can help us determine which solution method to use. In this section, we examine some of these characteristics and the associated terminology.

### Homogeneous Linear Equations

Consider the second-order differential equation

Notice that *y* and its derivatives appear in a relatively simple form. They are multiplied by functions of *x*, but are not raised to any powers themselves, nor are they multiplied together. As discussed in Introduction to Differential Equations, first-order equations with similar characteristics are said to be linear. The same is true of second-order equations. Also note that all the terms in this differential equation involve either *y* or one of its derivatives. There are no terms involving only functions of *x*. Equations like this, in which every term contains *y* or one of its derivatives, are called homogeneous.

Not all differential equations are homogeneous. Consider the differential equation

The term on the right side of the equal sign does not contain *y* or any of its derivatives. Therefore, this differential equation is nonhomogeneous.

A second-order differential equation is linear if it can be written in the form

where and are real-valued functions and is not identically zero. If —in other words, if for every value of *x*—the equation is said to be a homogeneous linear equation. If for some value of the equation is said to be a nonhomogeneous linear equation.

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In linear differential equations, and its derivatives can be raised only to the first power and they may not be multiplied by one another. Terms involving or make the equation nonlinear. Functions of and its derivatives, such as or are similarly prohibited in linear differential equations.

Note that equations may not always be given in standard form (the form shown in the definition). It can be helpful to rewrite them in that form to decide whether they are linear, or whether a linear equation is homogeneous.

Classify each of the following equations as linear or nonlinear. If the equation is linear, determine further whether it is homogeneous or nonhomogeneous.

- This equation is nonlinear because of the term.
- This equation is linear. There is no term involving a power or function of and the coefficients are all functions of The equation is already written in standard form, and is identically zero, so the equation is homogeneous.
- This equation is nonlinear. Note that, in this case,
*x*is the dependent variable and*t*is the independent variable. The second term involves the product of and so the equation is nonlinear. - This equation is linear. Since the equation is nonhomogeneous.
- This equation is nonlinear, because of the term.
- This equation is linear. Rewriting it in standard form gives

With the equation in standard form, we can see that so the equation is nonhomogeneous. - This equation looks like it’s linear, but we should rewrite it in standard form to be sure. We get

This equation is, indeed, linear. With it is nonhomogeneous. - This equation is nonlinear because of the term.

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Classify each of the following equations as linear or nonlinear. If the equation is linear, determine further whether it is homogeneous or nonhomogeneous.

- Nonlinear
- Linear, nonhomogeneous

Write the equation in standard form if necessary. Check for powers or functions of and its derivatives.

Later in this section, we will see some techniques for solving specific types of differential equations. Before we get to that, however, let’s get a feel for how solutions to linear differential equations behave. In many cases, solving differential equations depends on making educated guesses about what the solution might look like. Knowing how various types of solutions behave will be helpful.

Consider the linear, homogeneous differential equation

Looking at this equation, notice that the coefficient functions are polynomials, with higher powers of associated with higher-order derivatives of Show that is a solution to this differential equation.

Let Then and Substituting into the differential equation, we see that

Show that is a solution to the differential equation

Calculate the derivatives and substitute them into the differential equation.

Although simply finding any solution to a differential equation is important, mathematicians and engineers often want to go beyond finding *one* solution to a differential equation to finding *all* solutions to a differential equation. In other words, we want to find a general solution**.** Just as with first-order differential equations, a general solution (or family of solutions) gives the entire set of solutions to a differential equation. An important difference between first-order and second-order equations is that, with second-order equations, we typically need to find two different solutions to the equation to find the general solution. If we find two solutions, then any linear combination of these solutions is also a solution. We state this fact as the following theorem.

If and are solutions to a linear homogeneous differential equation, then the function

where and are constants, is also a solution.

The proof of this superposition principle theorem is left as an exercise.

Consider the differential equation

Given that and are solutions to this differential equation, show that is a solution.

We have

Then

Thus, is a solution.

Consider the differential equation

Given that and are solutions to this differential equation, show that is a solution.

Differentiate the function and substitute into the differential equation.

Unfortunately, to find the general solution to a second-order differential equation, it is not enough to find any two solutions and then combine them. Consider the differential equation

Both and are solutions (check this). However, is *not* the general solution. This expression does not account for all solutions to the differential equation. In particular, it fails to account for the function which is also a solution to the differential equation.

It turns out that to find the general solution to a second-order differential equation, we must find two linearly independent solutions. We define that terminology here.

A set of functions is said to be linearly dependent if there are constants not all zero, such that for all *x* over the interval of interest. A set of functions that is not linearly dependent is said to be linearly independent.

In this chapter, we usually test sets of only two functions for linear independence, which allows us to simplify this definition. From a practical perspective, we see that two functions are linearly dependent if either one of them is identically zero or if they are constant multiples of each other.

First we show that if the functions meet the conditions given previously, then they are linearly dependent. If one of the functions is identically zero—say, —then choose and and the condition for linear dependence is satisfied. If, on the other hand, neither nor is identically zero, but for some constant then choose and and again, the condition is satisfied.

Next, we show that if two functions are linearly dependent, then either one is identically zero or they are constant multiples of one another. Assume and are linearly independent. Then, there are constants, and not both zero, such that

for all *x* over the interval of interest. Then,

Now, since we stated that and can’t both be zero, assume Then, there are two cases: either or If then

so one of the functions is identically zero. Now suppose Then,

and we see that the functions are constant multiples of one another.

Two functions, and are said to be linearly dependent if either one of them is identically zero or if for some constant *C* and for all *x* over the interval of interest. Functions that are not linearly dependent are said to be *linearly independent*.

Determine whether the following pairs of functions are linearly dependent or linearly independent.

- so the functions are linearly dependent.
- There is no constant
*C*such that so the functions are linearly independent. - There is no constant
*C*such that so the functions are linearly independent. Don’t get confused by the fact that the exponents are constant multiples of each other. With two exponential functions, unless the exponents are equal, the functions are linearly independent. - There is no constant
*C*such that so the functions are linearly independent.

Determine whether the following pairs of functions are linearly dependent or linearly independent:

Linearly independent

Are the functions constant multiples of one another?

If we are able to find two linearly independent solutions to a second-order differential equation, then we can combine them to find the general solution. This result is formally stated in the following theorem.

If and are linearly independent solutions to a second-order, linear, homogeneous differential equation, then the general solution is given by

where and are constants.

When we say a family of functions is the general solution to a differential equation, we mean that (1) every expression of that form is a solution and (2) every solution to the differential equation can be written in that form, which makes this theorem extremely powerful. If we can find two linearly independent solutions to a differential equation, we have, effectively, found *all* solutions to the differential equation—quite a remarkable statement. The proof of this theorem is beyond the scope of this text.

If and are solutions to what is the general solution?

Note that and are not constant multiples of one another, so they are linearly independent. Then, the general solution to the differential equation is

If and are solutions to what is the general solution?

Check for linear independence first.

### Second-Order Equations with Constant Coefficients

Now that we have a better feel for linear differential equations, we are going to concentrate on solving second-order equations of the form

where and are constants.

Since all the coefficients are constants, the solutions are probably going to be functions with derivatives that are constant multiples of themselves. We need all the terms to cancel out, and if taking a derivative introduces a term that is not a constant multiple of the original function, it is difficult to see how that term cancels out. Exponential functions have derivatives that are constant multiples of the original function, so let’s see what happens when we try a solution of the form where (the lowercase Greek letter lambda) is some constant.

If then and Substituting these expressions into (Figure), we get

Since is never zero, this expression can be equal to zero for all *x* only if

We call this the characteristic equation of the differential equation.

The characteristic equation of the differential equation is

The characteristic equation is very important in finding solutions to differential equations of this form. We can solve the characteristic equation either by factoring or by using the quadratic formula

This gives three cases. The characteristic equation has (1) distinct real roots; (2) a single, repeated real root; or (3) complex conjugate roots. We consider each of these cases separately.

#### Distinct Real Roots

If the characteristic equation has distinct real roots and then and are linearly independent solutions to (Figure), and the general solution is given by

where and are constants.

For example, the differential equation has the associated characteristic equation This factors into which has roots and Therefore, the general solution to this differential equation is

#### Single Repeated Real Root

Things are a little more complicated if the characteristic equation has a repeated real root, In this case, we know is a solution to (Figure), but it is only one solution and we need two linearly independent solutions to determine the general solution. We might be tempted to try a function of the form where *k* is some constant, but it would not be linearly independent of Therefore, let’s try as the second solution. First, note that by the quadratic formula,

But, is a repeated root, so and Thus, if we have

Substituting these expressions into (Figure), we see that

This shows that is a solution to (Figure). Since and are linearly independent, when the characteristic equation has a repeated root the general solution to (Figure) is given by

where and are constants.

For example, the differential equation has the associated characteristic equation This factors into which has a repeated root Therefore, the general solution to this differential equation is

#### Complex Conjugate Roots

The third case we must consider is when In this case, when we apply the quadratic formula, we are taking the square root of a negative number. We must use the imaginary number to find the roots, which take the form and The complex number is called the *conjugate* of Thus, we see that when the roots of our characteristic equation are always complex conjugates.

This creates a little bit of a problem for us. If we follow the same process we used for distinct real roots—using the roots of the characteristic equation as the coefficients in the exponents of exponential functions—we get the functions and as our solutions. However, there are problems with this approach. First, these functions take on complex (imaginary) values, and a complete discussion of such functions is beyond the scope of this text. Second, even if we were comfortable with complex-value functions, in this course we do not address the idea of a derivative for such functions. So, if possible, we’d like to find two linearly independent *real-value* solutions to the differential equation. For purposes of this development, we are going to manipulate and differentiate the functions and as if they were real-value functions. For these particular functions, this approach is valid mathematically, but be aware that there are other instances when complex-value functions do not follow the same rules as real-value functions. Those of you interested in a more in-depth discussion of complex-value functions should consult a complex analysis text.

Based on the roots of the characteristic equation, the functions and are linearly independent solutions to the differential equation. and the general solution is given by

Using some smart choices for and and a little bit of algebraic manipulation, we can find two linearly independent, real-value solutions to (Figure) and express our general solution in those terms.

We encountered exponential functions with complex exponents earlier. One of the key tools we used to express these exponential functions in terms of sines and cosines was Euler’s formula, which tells us that

for all real numbers

Going back to the general solution, we have

Applying Euler’s formula together with the identities and we get

Now, if we choose the second term is zero and we get

as a real-value solution to (Figure). Similarly, if we choose and the first term is zero and we get

as a second, linearly independent, real-value solution to (Figure).

Based on this, we see that if the characteristic equation has complex conjugate roots then the general solution to (Figure) is given by

where and are constants.

For example, the differential equation has the associated characteristic equation By the quadratic formula, the roots of the characteristic equation are Therefore, the general solution to this differential equation is

#### Summary of Results

We can solve second-order, linear, homogeneous differential equations with constant coefficients by finding the roots of the associated characteristic equation. The form of the general solution varies, depending on whether the characteristic equation has distinct, real roots; a single, repeated real root; or complex conjugate roots. The three cases are summarized in (Figure).

Characteristic Equation Roots | General Solution to the Differential Equation |
---|---|

Distinct real roots, and | |

A repeated real root, | |

Complex conjugate roots |

- Write the differential equation in the form
- Find the corresponding characteristic equation
- Either factor the characteristic equation or use the quadratic formula to find the roots.
- Determine the form of the general solution based on whether the characteristic equation has distinct, real roots; a single, repeated real root; or complex conjugate roots.

Find the general solution to the following differential equations. Give your answers as functions of *x*.

Note that all these equations are already given in standard form (step 1).

- The characteristic equation is (step 2). This factors into so the roots of the characteristic equation are and (step 3). Then the general solution to the differential equation is

- The characteristic equation is (step 2). Applying the quadratic formula, we see this equation has complex conjugate roots (step 3). Then the general solution to the differential equation is

- The characteristic equation is (step 2). This factors into so the characteristic equation has a repeated real root (step 3). Then the general solution to the differential equation is

- The characteristic equation is (step 2). This factors into so the roots of the characteristic equation are and (step 3). Note that so our first solution is just a constant. Then the general solution to the differential equation is

- The characteristic equation is (step 2). This factors into so the roots of the characteristic equation are and (step 3). Then the general solution to the differential equation is

- The characteristic equation is (step 2). This has complex conjugate roots (step 3). Note that so the exponential term in our solution is just a constant. Then the general solution to the differential equation is

Find the general solution to the following differential equations:

Find the roots of the characteristic equation.

### Initial-Value Problems and Boundary-Value Problems

So far, we have been finding general solutions to differential equations. However, differential equations are often used to describe physical systems, and the person studying that physical system usually knows something about the state of that system at one or more points in time. For example, if a constant-coefficient differential equation is representing how far a motorcycle shock absorber is compressed, we might know that the rider is sitting still on his motorcycle at the start of a race, time This means the system is at equilibrium, so and the compression of the shock absorber is not changing, so With these two initial conditions and the general solution to the differential equation, we can find the *specific* solution to the differential equation that satisfies both initial conditions. This process is known as *solving an initial-value problem*. (Recall that we discussed initial-value problems in Introduction to Differential Equations.) Note that second-order equations have two arbitrary constants in the general solution, and therefore we require two initial conditions to find the solution to the initial-value problem.

Sometimes we know the condition of the system at two different times. For example, we might know and These conditions are called boundary conditions, and finding the solution to the differential equation that satisfies the boundary conditions is called solving a boundary-value problem.

Mathematicians, scientists, and engineers are interested in understanding the conditions under which an initial-value problem or a boundary-value problem has a unique solution. Although a complete treatment of this topic is beyond the scope of this text, it is useful to know that, within the context of constant-coefficient, second-order equations, initial-value problems are guaranteed to have a unique solution as long as two initial conditions are provided. Boundary-value problems, however, are not as well behaved. Even when two boundary conditions are known, we may encounter boundary-value problems with unique solutions, many solutions, or no solution at all.

Solve the following initial-value problem:

We already solved this differential equation in (Figure)a. and found the general solution to be

Then

When we have and Applying the initial conditions, we have

Then Substituting this expression into the second equation, we see that

So, and the solution to the initial-value problem is

Solve the initial-value problem

Use the initial conditions to determine values for and

Solve the following initial-value problem and graph the solution:

We already solved this differential equation in (Figure)b. and found the general solution to be

Then

When we have and Applying the initial conditions, we obtain

Therefore, and the solution to the initial value problem is shown in the following graph.

Solve the following initial-value problem and graph the solution:

Use the initial conditions to determine values for and

The following initial-value problem models the position of an object with mass attached to a spring. Spring-mass systems are examined in detail in Applications. The solution to the differential equation gives the position of the mass with respect to a neutral (equilibrium) position (in meters) at any given time. (Note that for spring-mass systems of this type, it is customary to define the downward direction as positive.)

Solve the initial-value problem and graph the solution. What is the position of the mass at time sec? How fast is the mass moving at time sec? In what direction?

In (Figure)c. we found the general solution to this differential equation to be

Then

When we have and Applying the initial conditions, we obtain

Thus, and the solution to the initial value problem is

This solution is represented in the following graph. At time the mass is at position m below equilibrium.

To calculate the velocity at time we need to find the derivative. We have so

Then At time the mass is moving upward at 0.3679 m/sec.

Suppose the following initial-value problem models the position (in feet) of a mass in a spring-mass system at any given time. Solve the initial-value problem and graph the solution. What is the position of the mass at time sec? How fast is it moving at time sec? In what direction?

At time The mass is 0.0367 ft below equilibrium. At time The mass is moving downward at a speed of 0.1490 ft/sec.

Use the initial conditions to determine values for and

In (Figure)f. we solved the differential equation and found the general solution to be If possible, solve the boundary-value problem if the boundary conditions are the following:

We have

- Applying the first boundary condition given here, we get So the solution is of the form When we apply the second boundary condition, though, we get for all values of The boundary conditions are not sufficient to determine a value for so this boundary-value problem has infinitely many solutions. Thus, is a solution for any value of
- Applying the first boundary condition given here, we get Applying the second boundary condition gives so In this case, we have a unique solution:
- Applying the first boundary condition given here, we get However, applying the second boundary condition gives so We cannot have so this boundary value problem has no solution.

### Key Concepts

- Second-order differential equations can be classified as linear or nonlinear, homogeneous or nonhomogeneous.
- To find a general solution for a homogeneous second-order differential equation, we must find two linearly independent solutions. If and are linearly independent solutions to a second-order, linear, homogeneous differential equation, then the general solution is given by

- To solve homogeneous second-order differential equations with constant coefficients, find the roots of the characteristic equation. The form of the general solution varies depending on whether the characteristic equation has distinct, real roots; a single, repeated real root; or complex conjugate roots.
- Initial conditions or boundary conditions can then be used to find the specific solution to a differential equation that satisfies those conditions, except when there is no solution or infinitely many solutions.

### Key Equations

**Linear second-order differential equation****Second-order equation with constant coefficients**

Classify each of the following equations as linear or nonlinear. If the equation is linear, determine whether it is homogeneous or nonhomogeneous.

linear, homogenous

nonlinear

linear, homogeneous

For each of the following problems, verify that the given function is a solution to the differential equation. Use a graphing utility to graph the particular solutions for several values of *c*_{1} and *c*_{2}. What do the solutions have in common?

**[T]**

**[T]**

**[T]**

**[T]**

Find the general solution to the linear differential equation.

Solve the initial-value problem.

Solve the boundary-value problem, if possible.

No solutions exist.

Find a differential equation with a general solution that is

Find a differential equation with a general solution that is

For each of the following differential equations:

- Solve the initial value problem.
**[T]**Use a graphing utility to graph the particular solution.

a.

b.

a.

b.

(Principle of superposition) Prove that if and are solutions to a linear homogeneous differential equation, then the function where and are constants, is also a solution.

Prove that if *a, b,* and *c* are positive constants, then all solutions to the second-order linear differential equation approach zero as (*Hint:* Consider three cases: two distinct roots, repeated real roots, and complex conjugate roots.)

### Glossary

- boundary conditions
- the conditions that give the state of a system at different times, such as the position of a spring-mass system at two different times

- boundary-value problem
- a differential equation with associated boundary conditions

- characteristic equation
- the equation for the differential equation

- homogeneous linear equation
- a second-order differential equation that can be written in the form but for every value of

- nonhomogeneous linear equation
- a second-order differential equation that can be written in the form but for some value of

- linearly dependent
- a set of functions for which there are constants not all zero, such that for all
*x*in the interval of interest

- linearly independent
- a set of functions for which there are no constants such that for all
*x*in the interval of interest