Ordinary dierential equation

See also: Examples of dierential equations

Specic mathematical elds include geometry and

analytical mechanics. Scientic elds include much of
physics and astronomy (celestial mechanics), geology
(weather modelling), chemistry (reaction rates),[1]
biology (infectious diseases, genetic variation), ecology
and population modelling (population competition),
economics (stock trends, interest rates and the market
equilibrium price changes).

In mathematics, an ordinary dierential equation

or ODE is an equation containing a function of one
independent variable and its derivatives. The term extquotedblordinary extquotedbl is used in contrast with the
term partial dierential equation which may be with respect to more than one independent variable.

Many mathematicians have studied dierential equations

and contributed to the eld, including Newton, Leibniz,
the Bernoulli family, Riccati, Clairaut, d'Alembert, and
Euler.

Linear dierential equations, which have solutions that

can be added and multiplied by coecients, are welldened and understood, and exact closed-form solutions
are obtained. By contrast, ODEs that lack additive solutions are nonlinear, and solving them is far more intricate, as one can rarely represent them by elementary
functions in closed form: Instead, exact and analytic solutions of ODEs are in series or integral form. Graphical
and numerical methods, applied by hand or by computer,
may approximate solutions of ODEs and perhaps yield
useful information, often sucing in the absence of exact, analytic solutions.

A simple example is Newtons second law of motion

the relationship between the displacement x and the time
t of the object under the force F, which leads to the differential equation
d2 x(t)
= F (x(t)),
dt2
for the motion of a particle of constant mass m. In general, F depends on the position x(t) of the particle at time
t, and so the unknown function x(t) appears on both sides
of the dierential equation, as is indicated in the notation
F(x(t)).[2][3][4][5]
m

Background

2 Denitions
In what follows, let y be a dependent variable and x an
independent variable, so that y = y(x) is an unknown function in x. The notation for dierentiation varies depending upon the author and upon which notation is most useful for the task at hand. In this context, the Leibnizs noThe trajectory of a projectile launched from a cannon follows
2
2
n
n
a curve determined by an ordinary dierential equation that is tation (dy/dx,d y/dx ,...d y/dx ) is useful for dierentials
and when integration is to be done, whereas Newtons and
derived from Newtons second law.
Lagranges notation (y,y, ... y(n) ) is useful for representOrdinary dierential equations (ODEs) arise in many ing derivatives of any order compactly.
dierent contexts throughout mathematics and science
(social and natural) one way or another, because when
2.1 General denition of an ODE
describing changes mathematically, the most accurate
way uses dierentials and derivatives (related, though not Let F be a given function of x, y, and derivatives of y.
quite the same). Since various dierentials, derivatives, Then an equation of the form
and functions become inevitably related to each other via
equations, a dierential equation is the result, describing
)
(
dynamical phenomena, evolution, and variation. Often, F x, y, y , y (n1) = y (n)
quantities are dened as the rate of change of other quantities (time derivatives), or gradients of quantities, which is called an explicit ordinary dierential equation of order
n.[6][7]
is how they enter dierential equations.
1

THEORIES OF ODES

More generally, an implicit ordinary dierential equation These are not necessarily linear. The implicit analogue is:
of order n takes the form:[8]
(

F x, y, y , y , , y (n) = 0

(
)
F x, y, y , y , y(n) = 0
where 0 = (0, 0,... 0) is the zero vector. In matrix form

There are further classications:

F1 (x, y, y , y , y(n) )
0
F2 (x, y, y , y , y(n) ) 0

= ..
..
A dierential equation not depending on x is called

.
.
autonomous.

(n)
0
Fm (x, y, y , y , y )
Autonomous

Linear

2.3 Solutions
A dierential equation is said to be linear if F can be
written as a linear combination of the derivatives of y:

y (n) =

n1

ai (x)y (i) + r(x)

Given a dierential equation

(
)
F x, y, y , , y (n) = 0

i=0

a function u: I R R is called the solution or integral

where ai(x) and r(x) are continuous functions in curve for F, if u is n-times dierentiable on I, and
x.[9][10][11] Non-linear equations cannot be written in this
form. The function r(x) is called the source term, leading
to two further important classications:[12][13]
F (x, u, u , , u(n) ) = 0 x I.
Homogeneous: If r(x) = 0, and consequently one autoGiven two solutions u: J R R and v: I R R, u
matic solution is the trivial solution, y = 0. The solution
is called an extension of v if I J and
of a linear homogeneous equation is a complementary
function, denoted here by yc.
Nonhomogeneous (or inhomogeneous): If r(x) 0. u(x) = v(x) x I.
The additional solution to the complementary function is
the particular integral, denoted here by yp.
A solution that has no extension is called a maximal soThe general solution to a linear equation can be written lution. A solution dened on all of R is called a global
solution.
as y = yc + yp.
A general solution of an nth-order equation is a solution
containing n arbitrary independent constants of integra2.2 System of ODEs
tion. A particular solution is derived from the general solution by setting the constants to particular values, often
A number of coupled dierential equations form a sys- chosen to fulll set 'initial conditions or boundary contem of equations. If y is a vector whose elements are ditions'.[14] A singular solution is a solution that cannot
functions; y(x) = [y1 (x), y2 (x),..., ym(x)], and F is a vector be obtained by assigning denite values to the arbitrary
valued function of y and its derivatives, then
constants in the general solution.[15]
)
(
y(n) = F x, y, y , y , y(n1)

3 Theories of ODEs

is an explicit system of ordinary dierential equations of

3.1
order or dimension m. In column vector form:

(
)
F1 (x, y, y , y , y(n1) )
F2 x, y, y , y , y(n1)

..
..

.
.
(
)

(n1)
(n)
Fm x, y, y , y , y
ym
(n)
y1
(n)
y2

Singular solutions

The theory of singular solutions of ordinary and partial

dierential 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 (starting in 1873) was a leader in the

3.5

SturmLiouville theory

theory, and in the geometric interpretation of these solutions he opened a eld worked by various writers, notable ones being Casorati and Cayley. To the latter is
due (1872) the theory of singular solutions of dierential equations of the rst order as accepted circa 1900.

3.2

Reduction to quadratures

The primitive attempt in dealing with dierential equations had in view a reduction to quadratures. As it had
been the hope of eighteenth-century algebraists to nd a
method for solving the general equation of the nth degree,
so it was the hope of analysts to nd a general method
for integrating any dierential equation. Gauss (1799)
showed, however, that the dierential equation meets its
limitations very soon unless complex numbers are introduced. Hence, analysts began to substitute the study of
functions, thus opening a new and fertile eld. Cauchy
was the rst 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 dierential equation suces
for the denition of a function of the independent variable or variables, and, if so, what are the characteristic
properties of this function.

3.3

Fuchsian theory

3
Lies group theory of dierential equations has been certied, namely: (1) that it unies the many ad hoc methods
known for solving dierential equations, and (2) that it
provides powerful new ways to nd solutions. The theory
has applications to both ordinary and partial dierential
equations.[16]
A general approach to solve DEs uses the symmetry property of dierential equations, the continuous innitesimal
transformations of solutions to solutions (Lie theory).
Continuous group theory, Lie algebras, and dierential
geometry are used to understand the structure of linear
and nonlinear (partial) dierential equations for generating integrable equations, to nd its Lax pairs, recursion
operators, Bcklund transform, and nally nding exact
analytic solutions to the DE.
Symmetry methods have been recognized to study differential equations, arising in mathematics, physics, engineering, and many other disciplines.

3.5 SturmLiouville theory

Main article: SturmLiouville theory
SturmLiouville theory is a theory of eigenvalues and
eigenfunctions of linear operators dened in terms of
second-order homogeneous linear equations, and is useful in the analysis of certain partial dierential equations.

Main article: Frobenius method

Two memoirs by Fuchs (Crelle, 1866, 1868), inspired a
novel approach, subsequently elaborated by Thom and
Frobenius. Collet was a prominent contributor beginning
in 1869, although his method for integrating a non-linear
system was communicated to Bertrand in 1868. Clebsch
(1873) attacked the theory along lines parallel to those
followed in his theory of Abelian integrals. As the latter
can be classied according to the properties of the fundamental curve that remains unchanged under a rational
transformation, so Clebsch proposed to classify the transcendent functions dened by the dierential equations
according to the invariant properties of the corresponding
surfaces f = 0 under rational one-to-one transformations.

3.4

Lies theory

4 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

which are both local results.

4.1 Local existence and uniqueness theorem simplied

The theorem can be stated simply as follows.[17] For the

From 1870, Sophus Lie's work put the theory of dier- equation and initial value problem:
ential equations on a more satisfactory foundation. He
showed that the integration theories of the older mathematicians can, by the introduction of what are now y = F (x, y) , y0 = y(x0 )
called Lie groups, be referred to a common source, and
that ordinary dierential equations that admit the same if F and F/y are continuous in a closed rectangle
innitesimal transformations present comparable diculties of integration. He also emphasized the subject of
transformations of contact.
R = [x0 a, x0 + a] [y0 b, y0 + b]

5 REDUCTION OF ORDER

in the x-y plane, where a and b are real (symbolically: a, b

) and denotes the cartesian product, square brackets
y0
y(x) =
denote closed intervals, then there is an interval
(x0 x)y0 + 1
which has maximum domain:
I = [x0 h, x0 + h] [x0 a, x0 + a]
for some h where the solution to the above equation
and initial value problem can be found. That is, there is a
solution and it is unique. Since there is no restriction on F
to be linear, this applies to non-linear equations that take
the form F(x, y), and it can also be applied to systems of
equations.

y0 = 0

R
1
(, x0 + y0 ) y0 > 0

(x0 + y10 , +) y0 < 0

This shows clearly that the maximum interval may depend on the initial conditions. The domain of y could be
taken as being R (x0 + 1/y0 ) , but this would lead to
a domain that is not an interval, so that the side opposite
4.2 Global uniqueness and maximum do- to the initial condition would be disconnected from the
main of solution
initial condition, and therefore not uniquely determined
by it.
When the hypotheses of the PicardLindelf theorem are
The maximum domain is not because
satised, then local existence and uniqueness can be extended to a global result. More precisely:[18]
For each initial condition (x0 , y0 ) there exists a unique
maximum (possibly innite) open interval

Imax = (x , x+ ), x R, x0 Imax
such that any solution that satises this initial condition is
a restriction of the solution that satises this initial condition with domain I .

lim y(x) ,

xx

which is one of the two possible cases according to the

above theorem.

5 Reduction of order

Dierential equations can usually be solved more easily

In the case that x , there are exactly two possi- if the order of the equation can be reduced.
bilities
explosion in nite time: limxx y(x)

5.1 Reduction to a rst-order system

leaves domain of denition: limxx

Any dierential equation of order n,

is
(
)
where is the open set in which F is dened, and
F x, y, y , y , , y (n1) = y (n)
its boundary.
Note that the maximum domain of the solution
is always an interval (to have uniqueness)
may be smaller than
may depend on the specic choice of (x0 , y0 ).

can be written as a system of n rst-order dierential

equations by dening a new family of unknown functions

yi = y (i1) .
for i = 1, 2,... n. The n-dimensional system of rst-order
coupled dierential equations is then

Example
y = y2
This means that F(x, y) = y2 , which is C 1 and therefore Lipschitz continuous for all y, satisfying the Picard
Lindelf theorem.

y1
y2

yn1
yn

= y2
= y3
..
.
= yn
= F (x, y1 , , yn ).

Even in such a simple setting, the maximum domain of

solution cannot be all , since the solution is
more compactly in vector notation:

8 See also
y = F(x, y)

Boundary value problem

where

Laplace transform applied to dierential equations

y = (y1 , , yn ),

List of dynamical systems and dierential equations

topics
F(x, y1 , , yn ) = (y2 , , yn , F (x, y1 , , yn )).
Matrix dierential equation

Summary of exact solutions

Some dierential equations have solutions that can be

written in an exact and closed form. Several important
classes are given here.
In the table below, P(x), Q(x), P(y), Q(y), and M(x,y),
N(x,y) are any integrable functions of x, y, and b and c
are real given constants, and C 1 , C 2 ,... are arbitrary constants (complex in general). The dierential equations
are in their equivalent and alternative forms that lead to
the solution through integration.
In the integral solutions, and are dummy variables
of integration (the continuum analogues of indices in
summation), and the notation x F()d just means to integrate F() with respect to , then after the integration substitute = x, without adding constants (explicitly
stated).

Method of undetermined coecients

Numerical methods for ordinary dierential equations
Recurrence relation
Separation of variables

9 Notes
[1] Mathematics for Chemists, D.M. Hirst, Macmillan Press,
1976, (No ISBN) SBN: 333-18172-7
[2] Kreyszig (1972, p. 64)
[3] Simmons (1972, pp. 1,2)
[4] Halliday & Resnick (1977, p. 78)
[5] Tipler (1991, pp. 7883)
[6] Harper (1976, p. 127)
[7] Kreyszig (1972, p. 2)
[8] Simmons (1972, p. 3)

Software for ODE solving

[9] Harper (1976, p. 127)

[10] Kreyszig (1972, p. 24)

FuncDesigner (BSD-licensed, uses Automatic differentiation)

[11] Simmons (1972, p. 47)

Maxima computer algebra system (GPL)

[13] Kreyszig (1972, p. 24)

[12] Harper (1976, p. 128)

COPASI a free (Artistic License 2.0) software package for the integration and analysis of ODEs.

[14] Kreyszig (1972, p. 78)

MATLAB a Technical Computing Software (MATrix LABoratory)

[16] Lawrence (1999, p. 9)

[15] Kreyszig (1972, p. 4)

GNU Octave a high-level language, primarily intended for numerical computations.

[17] Elementary Dierential Equations and Boundary Value

Problems (4th Edition), W.E. Boyce, R.C. Diprima, Wiley International, John Wiley & Sons, 1986, ISBN 0-47183824-1

Scilab an open source software for numerical computation.

[18] Boscain; Chitour 2011, p. 21

Maple
Mathematica
Julia (programming language)
SciPy a Python package that includes an ODE integration module.

[19] Mathematical Handbook of Formulas and Tables (3rd

edition), S. Lipschutz, M.R. Spiegel, J. Liu, Schuams
Outline Series, 2009, ISC_2N 978-0-07-154855-7
[20] Further Elementary Analysis, R. Porter, G.Bell & Sons
(London), 1978, ISBN 0-7135-1594-5
[21] Mathematical methods for physics and engineering, K.F.
Riley, M.P. Hobson, S.J. Bence, Cambridge University
Press, 2010, ISC_2N 978-0-521-86153-3

12

10

References

Halliday, David; Resnick, Robert (1977), Physics

(3rd ed.), New York: Wiley, ISBN 0-471-71716-9

EXTERNAL LINKS

Teschl, Gerald (2012).

Ordinary Dierential
Equations and Dynamical Systems. Providence:
American Mathematical Society. ISBN 978-08218-8328-0.

Harper, Charlie (1976), Introduction to Mathematical Physics, New Jersey: Prentice-Hall, ISBN 0-13487538-9

A. D. Polyanin, V. F. Zaitsev, and A. Moussiaux,

Handbook of First Order Partial Dierential Equations, Taylor & Francis, London, 2002. ISBN 0-41527267-X

Kreyszig, Erwin (1972), Advanced Engineering

Mathematics (3rd ed.), New York: Wiley, ISBN 0471-50728-8.

D. Zwillinger, Handbook of Dierential Equations

(3rd edition), Academic Press, Boston, 1997.

Polyanin, A. D. and V. F. Zaitsev, Handbook of

Exact Solutions for Ordinary Dierential Equations
(2nd edition) extquotedbl, Chapman & Hall/CRC
Press, Boca Raton, 2003. ISBN 1-58488-297-2
Simmons, George F. (1972), Dierential Equations
with Applications and Historical Notes, New York:
McGraw-Hill, LCCN 75173716
Tipler, Paul A. (1991), Physics for Scientists and
Engineers: Extended version (3rd ed.), New York:
Worth Publishers, ISBN 0-87901-432-6
Boscain, Ugo; Chitour, Yacine (2011), Introduction
l'automatique (in french)
Lawrence, Dresner (1999), Applications of Lies
Theory of Ordinary and Partial Dierential Equations, Bristol and Philadelphia: Institute of Physics
Publishing

11

Bibliography

12 External links
Hazewinkel, Michiel, ed. (2001), Dierential
equation, ordinary, Encyclopedia of Mathematics,
Springer, ISBN 978-1-55608-010-4
Dierential Equations at DMOZ (includes a list of
software for solving dierential equations).
EqWorld: The World of Mathematical Equations,
containing a list of ordinary dierential equations
with their solutions.
Online Notes / Dierential Equations by Paul
Dawkins, Lamar University.
Dierential Equations, S.O.S. Mathematics.
A primer on analytical solution of dierential equations from the Holistic Numerical Methods Institute, University of South Florida.
Ordinary Dierential Equations and Dynamical
Systems lecture notes by Gerald Teschl.

Coddington, Earl A.; Levinson, Norman (1955).

Theory of Ordinary Dierential Equations. New
York: McGraw-Hill.

Notes on Diy Qs: Dierential Equations for Engineers An introductory textbook on dierential equations by Jiri Lebl of UIUC.

Hartman, Philip, Ordinary Dierential Equations,

2nd Ed., Society for Industrial & Applied Math,
2002. ISBN 0-89871-510-5.

Modeling with ODEs using Scilab A tutorial on how

to model a physical system described by ODE using
Scilab standard programming language by Openeering team.

W. Johnson, A Treatise on Ordinary and Partial Differential Equations, John Wiley and Sons, 1913, in
University of Michigan Historical Math Collection
E. L. Ince, Ordinary Dierential Equations, Dover
Publications, 1958, ISBN 0-486-60349-0
Witold Hurewicz, Lectures on Ordinary Dierential
Equations, Dover Publications, ISBN 0-486-495108
Ibragimov, Nail H (1993). CRC Handbook of Lie
Group Analysis of Dierential Equations Vol. 1-3.
Providence: CRC-Press. ISBN 0-8493-4488-3.

13
13.1

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