ELEMENTARY DIFFERENTIAL EQUATIONS WITH BOUNDARY VALUE PROBLEMS

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ELEMENTARYDIFFERENTIAL EQUATIONS WITHBOUNDARY VALUE PROBLEMSWilliam F. TrenchAndrew G. Cowles Distinguished Professor EmeritusDepartment of MathematicsTrinity UniversitySan Antonio, Texas, USAwtrench@trinity.eduThis book has been judged to meet the evaluation criteria set by the Editorial Board of the American Institute of Mathematics in connection withthe Institute’s Open Textbook Initiative. It may be copied, modified, redistributed, translated, and built upon subject to the Creative CommonsAttribution-NonCommercial-ShareAlike 3.0 Unported License.FREE DOWNLOAD: STUDENT SOLUTIONS MANUAL

Free Edition 1.01 (December 2013)This book was published previously by Brooks/Cole Thomson Learning, 2001. This free edition is madeavailable in the hope that it will be useful as a textbook or reference. Reproduction is permitted forany valid noncommercial educational, mathematical, or scientific purpose. However, charges for profitbeyond reasonable printing costs are prohibited.

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ContentsChapter 1 Introduction11.1 Applications Leading to Differential Equations1.2 First Order Equations1.3 Direction Fields for First Order Equations516Chapter 2 First Order Equations302.12.22.32.42.52.6304555627382Linear First Order EquationsSeparable EquationsExistence and Uniqueness of Solutions of Nonlinear EquationsTransformation of Nonlinear Equations into Separable EquationsExact EquationsIntegrating FactorsChapter 3 Numerical Methods3.1 Euler’s Method3.2 The Improved Euler Method and Related Methods3.3 The Runge-Kutta Method96109119Chapter 4 Applications of First Order h and DecayCooling and MixingElementary MechanicsAutonomous Second Order EquationsApplications to CurvesChapter 5 Linear Second Order Equations5.15.25.35.4Homogeneous Linear EquationsConstant Coefficient Homogeneous EquationsNonhomgeneous Linear EquationsThe Method of Undetermined Coefficients Iiv194210221229

5.5 The Method of Undetermined Coefficients II5.6 Reduction of Order5.7 Variation of Parameters238248255Chapter 6 Applcations of Linear Second Order Equations2686.16.26.36.4268279290296Spring Problems ISpring Problems IIThe RLC CircuitMotion Under a Central ForceChapter 7 Series Solutions of Linear Second Order Equations7.17.27.37.47.57.67.7Review of Power SeriesSeries Solutions Near an Ordinary Point ISeries Solutions Near an Ordinary Point IIRegular Singular Points Euler EquationsThe Method of Frobenius IThe Method of Frobenius IIThe Method of Frobenius III306319334342347364378Chapter 8 Laplace Transforms8.1 Introduction to the Laplace Transform8.2 The Inverse Laplace Transform8.3 Solution of Initial Value Problems8.4 The Unit Step Function8.5 Constant Coefficient Equations with Piecewise Continuous ForcingFunctions8.6 Convolution8.7 Constant Cofficient Equations with Impulses8.8 A Brief Table of Laplace Transforms393405413419430440452Chapter 9 Linear Higher Order Equations9.19.29.39.4Introduction to Linear Higher Order EquationsHigher Order Constant Coefficient Homogeneous EquationsUndetermined Coefficients for Higher Order EquationsVariation of Parameters for Higher Order Equations465475487497Chapter 10 Linear Systems of Differential Equations10.110.210.310.4Introduction to Systems of Differential EquationsLinear Systems of Differential EquationsBasic Theory of Homogeneous Linear SystemsConstant Coefficient Homogeneous Systems I507515521529

vi Contents10.5 Constant Coefficient Homogeneous Systems II10.6 Constant Coefficient Homogeneous Systems II10.7 Variation of Parameters for Nonhomogeneous Linear Systems542556568Chapter 11 Boundary Value Problems and Fourier Expansions58011.1 Eigenvalue Problems for y00 λy 011.2 Fourier Series I11.3 Fourier Series II580586603Chapter 12 Fourier Solutions of Partial Differential Equations12.112.212.312.4The Heat EquationThe Wave EquationLaplace’s Equation in Rectangular CoordinatesLaplace’s Equation in Polar Coordinates618630649666Chapter 13 Boundary Value Problems for Second Order Linear Equations13.1 Boundary Value Problems13.2 Sturm–Liouville Problems676687

PrefaceElementary Differential Equations with Boundary Value Problems is written for students in science, engineering, and mathematics who have completed calculus through partial differentiation. If your syllabusincludes Chapter 10 (Linear Systems of Differential Equations), your students should have some preparation in linear algebra.In writing this book I have been guided by the these principles: An elementary text should be written so the student can read it with comprehension without toomuch pain. I have tried to put myself in the student’s place, and have chosen to err on the side oftoo much detail rather than not enough. An elementary text can’t be better than its exercises. This text includes 2041 numbered exercises,many with several parts. They range in difficulty from routine to very challenging. An elementary text should be written in an informal but mathematically accurate way, illustratedby appropriate graphics. I have tried to formulate mathematical concepts succinctly in languagethat students can understand. I have minimized the number of explicitly stated theorems and definitions, preferring to deal with concepts in a more conversational way, copiously illustrated by299 completely worked out examples. Where appropriate, concepts and results are depicted in 188figures.Although I believe that the computer is an immensely valuable tool for learning, doing, and writingmathematics, the selection and treatment of topics in this text reflects my pedagogical orientation alongtraditional lines. However, I have incorporated what I believe to be the best use of modern technology,so you can select the level of technology that you want to include in your course. The text includes 414exercises – identified by the symbols C and C/G – that call for graphics or computation and graphics.There are also 79 laboratory exercises – identified by L – that require extensive use of technology. Inaddition, several sections include informal advice on the use of technology. If you prefer not to emphasizetechnology, simply ignore these exercises and the advice.There are two schools of thought on whether techniques and applications should be treated together orseparately. I have chosen to separate them; thus, Chapter 2 deals with techniques for solving first orderequations, and Chapter 4 deals with applications. Similarly, Chapter 5 deals with techniques for solvingsecond order equations, and Chapter 6 deals with applications. However, the exercise sets of the sectionsdealing with techniques include some applied problems.Traditionally oriented elementary differential equations texts are occasionally criticized as being collections of unrelated methods for solving miscellaneous problems. To some extent this is true; after all,no single method applies to all situations. Nevertheless, I believe that one idea can go a long way towardunifying some of the techniques for solving diverse problems: variation of parameters. I use variation ofparameters at the earliest opportunity in Section 2.1, to solve the nonhomogeneous linear equation, givena nontrivial solution of the complementary equation. You may find this annoying, since most of us learnedthat one should use integrating factors for this task, while perhaps mentioning the variation of parametersoption in an exercise. However, there’s little difference between the two approaches, since an integratingfactor is nothing more than the reciprocal of a nontrivial solution of the complementary equation. Theadvantage of using variation of parameters here is that it introduces the concept in its simplest form andvii

viii Prefacefocuses the student’s attention on the idea of seeking a solution y of a differential equation by writing itas y uy1 , where y1 is a known solution of related equation and u is a function to be determined. I usethis idea in nonstandard ways, as follows: In Section 2.4 to solve nonlinear first order equations, such as Bernoulli equations and nonlinearhomogeneous equations. In Chapter 3 for numerical solution of semilinear first order equations. In Section 5.2 to avoid the necessity of introducing complex exponentials in solving a second order constant coefficient homogeneous equation with characteristic polynomials that have complexzeros. In Sections 5.4, 5.5, and 9.3 for the method of undetermined coefficients. (If the method of annihilators is your preferred approach to this problem, compare the labor involved in solving, forexample, y00 y0 y x4 ex by the method of annihilators and the method used in Section 5.4.)Introducing variation of parameters as early as possible (Section 2.1) prepares the student for the concept when it appears again in more complex forms in Section 5.6, where reduction of order is used notmerely to find a second solution of the complementary equation, but also to find the general solution of thenonhomogeneous equation, and in Sections 5.7, 9.4, and 10.7, that treat the usual variation of parametersproblem for second and higher order linear equations and for linear systems.Chapter 11 develops the theory of Fourier series. Section 11.1 discusses the five main eigenvalue problems that arise in connection with the method of separation of variables for the heat and wave equationsand for Laplace’s equation over a rectangular domain:Problem 1:y00 λy 0, y(0) 0, y(L) 0Problem 2:y00 λy 0,y0 (0) 0,y0 (L) 0Problem 3:y00 λy 0,y(0) 0,y0 (L) 0Problem 4:y00 λy 0,y0 (0) 0,y(L) 0Problem 5:y00 λy 0,y( L) y(L),y0 ( L) y0 (L)These problems are handled in a unified way for example, a single theorem shows that the eigenvaluesof all five problems are nonnegative.Section 11.2 presents the Fourier series expansion of functions defined on on [ L, L], interpreting itas an expansion in terms of the eigenfunctions of Problem 5.Section 11.3 presents the Fourier sine and cosine expansions of functions defined on [0, L], interpretingthem as expansions in terms of the eigenfunctions of Problems 1 and 2, respectively. In addition, Section 11.2 includes what I call the mixed Fourier sine and cosine expansions, in terms of the eigenfunctionsof Problems 4 and 5, respectively. In all cases, the convergence properties of these series are deducedfrom the convergence properties of the Fourier series discussed in Section 11.1.Chapter 12 consists of four sections devoted to the heat equation, the wave equation, and Laplace’sequation in rectangular and polar coordinates. For all three, I consider homogeneous boundary conditionsof the four types occurring in Problems 1-4. I present the method of separation of variables as a way ofchoosing the appropriate form for the series expansion of the solution of the given problem, stating—without belaboring the point—that the expansion may fall short of being an actual solution, and givingan indication of conditions under which the formal solution is an actual solution. In particular, I found itnecessary to devote some detail to this question in connection with the wave equation in Section 12.2.In Sections 12.1 (The Heat Equation) and 12.2 (The Wave Equation) I devote considerable effort todevising examples and numerous exercises where the functions defining the initial conditions satisfy

Preface ixthe homogeneous boundary conditions. Similarly, in most of the examples and exercises Section 12.3(Laplace’s Equation), the functions defining the boundary conditions on a given side of the rectangulardomain satisfy homogeneous boundary conditions at the endpoints of the same type (Dirichlet or Neumann) as the boundary conditions imposed on adjacent sides of the region. Therefore the formal solutionsobtained in many of the examples and exercises are actual solutions.Section 13.1 deals with two-point value problems for a second order ordinary differential equation.Conditions for existence and uniqueness of solutions are given, and the construction of Green’s functionsis included.Section 13.2 presents the elementary aspects of Sturm-Liouville theory.You may also find the following to be of interest: Section 2.6 deals with integrating factors of the form µ p(x)q(y), in addition to those of theform µ p(x) and µ q(y) discussed in most texts. Section 4.4 makes phase plane analysis of nonlinear second order autonomous equations accessible to students who have not taken linear algebra, since eigenvalues and eigenvectors do not enterinto the treatment. Phase plane analysis of constant coefficient linear systems is included in Sections 10.4-6. Section 4.5 presents an extensive discussion of applications of differential equations to curves. Section 6.4 studies motion under a central force, which may be useful to students interested in themathematics of satellite orbits. Sections 7.5-7 present the method of Frobenius in more detail than in most texts. The approachis to systematize the computations in a way that avoids the necessity of substituting the unknownFrobenius series into each equation. This leads to efficiency in the computation of the coefficientsof the Frobenius solution. It also clarifies the case where the roots of the indicial equation differ byan integer (Section 7.7). The free Student Solutions Manual contains solutions of most of the even-numbered exercises. The free Instructor’s Solutions Manual is available by email to wtrench@trinity.edu, subject toverification of the requestor’s faculty status.The following observations may be helpful as you choose your syllabus: Section 2.3 is the only specific prerequisite for Chapter 3. To accomodate institutions that offer aseparate course in numerical analysis, Chapter 3 is not a prerequisite for any other section in thetext. The sections in Chapter 4 are independent of each other, and are not prerequisites for any of thelater chapters. This is also true of the sections in Chapter 6, except that Section 6.1 is a prerequisitefor Section 6.2. Chapters 7, 8, and 9 can be covered in any order after the topics selected from Chapter 5. Forexample, you can proceed directly from Chapter 5 to Chapter 9. The second order Euler equation is discussed in Section 7.4, where it sets the stage for the methodof Frobenius. As noted at the beginning of Section 7.4, if you want to include Euler equations inyour syllabus while omitting the method of Frobenius, you can skip the introductory paragraphsin Section 7.4 and begin with Definition 7.4.2. You can then cover Section 7.4 immediately afterSection 5.2. Chapters 11, 12, and 13 can be covered at any time after the completion of Chapter 5.William F. Trench

CHAPTER 1IntroductionIN THIS CHAPTER we begin our study of differential equations.SECTION 1.1 presents examples of applications that lead to differential equations.SECTION 1.2 introduces basic concepts and definitions concerning differential equations.SECTION 1.3 presents a geometric method for dealing with differential equations that has been knownfor a very long time, but has become particularly useful and important with the proliferation of readilyavailable differential equations software.1

2Chapter 1 Introduction1.1 APPLICATIONS LEADING TO DIFFERENTIAL EQUATIONSIn order to apply mathematical methods to a physical or “real life” problem, we must formulate the problem in mathematical terms; that is, we must construct a mathematical model for the problem. Manyphysical problems concern relationships between changing quantities. Since rates of change are represented mathematically by derivatives, mathematical models often involve equations relating an unknownfunction and one or more of its derivatives. Such equations are differential equations. They are the subjectof this book.Much of calculus is devoted to learning mathematical techniques that are applied in later courses inmathematics and the sciences; you wouldn’t have time to learn much calculus if you insisted on seeinga specific application of every topic covered in the course. Similarly, much of this book is devoted tomethods that can be applied in later courses. Only a relatively small part of the book is devoted tothe derivation of specific differential equations from mathematical models, or relating the differentialequations that we study to specific applications. In this section we mention a few such applications.The mathematical model for an applied problem is almost always simpler than the actual situationbeing studied, since simplifying assumptions are usually required to obtain a mathematical problem thatcan be solved. For example, in modeling the motion of a falling object, we might neglect air resistanceand the gravitational pull of celestial bodies other than Earth, or in modeling population growth we mightassume that the population grows continuously rather than in discrete steps.A good mathematical model has two important properties: It’s sufficiently simple so that the mathematical problem can be solved. It represents the actual situation sufficiently well so that the solution to the mathematical problempredicts the outcome of the real problem to within a useful degree of accuracy. If results predictedby the model don’t agree with physical observations, the underlying assumptions of the model mustbe revised until satisfactory agreement is obtained.We’ll now give examples of mathematical models involving differential equations. We’ll return to theseproblems at the appropriate times, as we learn how to solve the various types of differential equations thatoccur in the models.All the examples in this section deal with functions of time, which we denote by t. If y is a function oft, y0 denotes the derivative of y with respect to t; thus,y0 dy.dtPopulation Growth and DecayAlthough the number of members of a population (people in a given country, bacteria in a laboratory culture, wildflowers in a forest, etc.) at any given time t is necessarily an integer, models that use differentialequations to describe the growth and decay of populations usually rest on the simplifying assumption thatthe number of members of the population can be regarded as a differentiable function P P (t). In mostmodels it is assumed that the differential equation takes the formP 0 a(P )P,(1.1.1)where a is a continuous function of P that represents the rate of change of population per unit time perindividual. In the Malthusian model, it is assumed that a(P ) is a constant, so (1.1.1) becomesP 0 aP.(1.1.2)

Section 1.1 Applications Leading to Differential Equations3(When you see a name in blue italics, just click on it for information about the person.) This modelassumes that the numbers of births and deaths per unit time are both proportional to the population. Theconstants of proportionality are the birth rate (births per unit time per individual) and the death rate(deaths per unit time per individual); a is the birth rate minus the death rate. You learned in calculus thatif c is any constant thenP ceat(1.1.3)satisfies (1.1.2), so (1.1.2) has infinitely many solutions. To select the solution of the specific problemthat we’re considering, we must know the population P0 at an initial time, say t 0. Setting t 0 in(1.1.3) yields c P (0) P0 , so the applicable solution isP (t) P0 eat .This implies thatlim P (t) t 0if a 0,if a 0;that is, the population approaches infinity if the birth rate exceeds the death rate, or zero if the death rateexceeds the birth rate.To see the limitations of the Malthusian model, suppose we’re modeling the population of a country,starting from a time t 0 when the birth rate exceeds the death rate (so a 0), and the country’sresources in terms of space, food supply, and other necessities of life can support the existing population. Then the prediction P P0 eat may be reasonably accurate as long as it remains within limitsthat the country’s resources can support. However, the model must inevitably lose validi

Chapter 1 Introduction 1 1.1 ApplicationsLeading to Differential Equations 1.2 First Order Equations 5 1.3 Direction Fields for First Order Equations 16 Chapter 2 First Order Equations 30 2.1 Linear First Order Equations 30 2.2 Separable Equations 45 2.3 Existence and Uniqueness of Solutionsof Nonlinear Equations 55

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