3.

3 Complex Roots of the Characteristic Equation 15

7

Complex Roots of the Characteristic Equation

We continue our discussion of the equation
ayrr + byr + cy = 0, (1)
where a, b, and c are given real numbers. In Section 3.1 we found that if we seek
solutions of the form y = ert, then r must be a root of the characteristic equation
ar2 + br + c = 0. (2)
If the roots r1 and r2 are real and different, which occurs whenever the discriminant
b2 − 4ac is positive, then the general solution of Eq. (1) is
y = c1er1 t + c2er2 t . (3)
Suppose now that b2 − 4ac is negative. Then the roots of Eq. (2) are
conjugate complexnumbers; we denote them by
r1 = λ + iμ, r2 = λ − iμ, (4)
where λ and μ are real. The corresponding expressions for y are
y1 (t) = exp[(λ + iμ)t], y2 (t) = exp[(λ − iμ)t]. (5)
Our first task is to explore what is meant by these expressions, which involve
evaluat- ing the exponential function for a complex exponent. For
example, if λ = −1, μ = 2, and t = 3, then from Eq. (5),
y1 (3) = e−3+6i . (6)
15 Chapter 3. Second Order Linear Equations
8

What does it mean to raise the number e to a complex power? The answer is
provided by an important relation known as Euler’s formula.

Euler’s Formula. To assign a meaning to the expressions in Eqs. (5), we need to give
a definition of the complex exponential function. Of course, we want the definition
to reduce to the familiar real exponential function when the exponent is real.
There are several ways to discover how this extension of the exponential
function should be defined. Here we use a method based on infinite series; an
alternative is outlined in Problem 28.
Recall from calculus that the Taylor series for et about t = 0 is
∞ n
t
e t
= !, < t −∞
< . (7)
n
n=0 ∞
If we now assume that we can substitute it for t in Eq. (7), then we have
∞ n
it (it)
e = n!
n=0
∞ (− 1)nt2n ∞
= + (−1)n−1t2n−1
(2n)! (2n − 1)! , (8)
n=0
i

n=1

where we have separated the sum into its real and imaginary parts, making use of the
fact that i2 = −1, i3 = −i, i4 = 1, and so forth. The first series in Eq. (8) is precisely
the Taylor series for cos t about t = 0, and the second is the Taylor series for sin t
about t = 0. Thus we have
eit = cos t + i sin t. (9)
Equation (9) is known as Euler’s formula and is an extremely important mathe-
matical relationship. Although our derivation of Eq. (9) is based on the
unverified assumption that the series (7) can be used for complex as well as real
values of the independent variable, our intention is to use this derivation only to
make Eq. (9) seem plausible. We now put matters on a firm foundation by adopting
Eq. (9) as the definition of eit. In other words, whenever we write eit, we mean the
expression on the right side of Eq. (9).
There are some variations of Euler’s formula that are also worth noting. If we
replace t by —t in Eq. (9) and recall that cos( t)
− =cos t and sin( −
t) = − sin t, then
we have
e−it = cos t − i sin t. (10)
Further, if t is replaced by μt in Eq. (9), then we obtain a generalized version of
Euler’s formula, namely,
eiμt = cos μt + i sin μt. (11)
Next, we want to extend the definition of the exponential function to arbitrary com-
plex exponents of the form (λ+ iμ)t. Since we want the usual properties of the
expo- nential function to hold for complex exponents, we certainly
want exp[(λ + iμ)t] to satisfy
e(λ+iμ)t = eλt eiμt . (12)
3.3 Complex Roots of the Characteristic Equation 15
9

Then, substituting for eiμt from Eq. (11), we obtain

e(λ+iμ)t = eλt(cos μt + i sin μt)
= eλt cos μt + ieλt sin μt. (13)
We now take Eq. (13) as the definition [of + exp (λ] iμ)t . The value of the
exponential function with a complex exponent is a complex number whose real and
imaginary parts are given by the terms on the right side of Eq. (13). Observe
that the real and imaginary[ parts
+ of ]exp (λ iμ)t are expressed entirely in terms of
elementary real-valued functions. For example, the quantity in Eq. (6) has the value

e−3+6i = e−3 cos 6 + ie−3 sin 6 =∼ 0.0478041 − 0.0139113i.

With the definitions (9) and (13) it is straightforward to show that the usual laws
of exponents are valid for the complex exponential function. You can also use Eq.
(13) to verify that the differentiation formula
d rt
(e ) = rert (14)
dt
holds for complex values of r.

Find the general solution of the differential equation

EXAMPLE yrr + yr + 9.25y = 0, (15)
1 Also find the solution that satisfies the initial conditions

y(0) = 2, yr(0) = 8, (16)

and draw its graph.

The characteristic equation for Eq. (15) is

r2 + r + 9.25 = 0

so its roots
are r1 = − 1
+ 3i, r2 = − 1
− 3i.
2 2

Therefore two solutions of Eq. (15) are

y1(t) = exp[(− 21 + 3i)t]= e−t/2(cos 3t + i sin 3t) (17)

and
y2(t) = exp[(− 21 − 3i)t]= e−t/2(cos 3t − i sin 3t). (18)

You can verify that the Wronskian W(y1, y2)(t) 6ie−t , which is not zero, so the general
=−
solution of Eq. (15) can be expressed as a linear combination of y1(t) and y2(t) with
arbitrary coefficients.
However, rather than using the complex-valued solutions y1(t) and y2(t), let us seek
instead a fundamental set of solutions of Eq. (15) that are real-valued. From Theorem
3.2.2 we know that any linear combination of two solutions is also a solution, so let us form
the linear combinations y1(t) + y2(t) and y1(t) − y2(t). In this way we obtain from Eqs. (17)
and (18)
y1 (t) + y2 (t) = 2e−t/2 cos 3t, y1 (t) − y2 (t) = 2ie−t/2 sin 3t.
16 Chapter 3. Second Order Linear Equations
0

y
3

2 4 6 8 10 t

–1

FIGURE 3.3.1 Solution of the initial value problem

yrr + yr + 9.25y = 0, y(0) = 2, yr (0) = 8

Dropping the multiplicative constants 2 and 2i for convenience, we are left with

u(t) = e−t/2 cos 3t, v(t) = e−t/2 sin 3t (19)

as real-valued solutions of Eq. (15). [If you are not completely sure that u(t) and v(t) are
solutions of the given differential equation, you should substitute these functions into Eq. (15)
and confirm that they satisfy it.] On calculating the Wronskian of u(t) and v(t), we find
that W(u, v)(t)= 3e−t ; thus u(t) and v(t) form a fundamental set of solutions and the general
solution of Eq. (15) can be written as

y = c1u(t) + c2v(t) = e−t/2(c1 cos 3t + c2 sin 3t), (20)

where c1 and c2 are arbitrary constants.
To satisfy the initial conditions (16), we first substitute t = 0 and y = 2 in Eq. (20) with
the result that c1 = 2. Then by differentiating Eq. (20), setting t = 0, and yr = 8, we obtain
—2 1 c1 + 3c2 = 8, so that c2 = 3. Thus the solution of the initial value problem (15), (16) is
y = e−t/2(2 cos 3t + 3 sin 3t). (21)

The graph of this solution is shown in Figure 3.3.1.

From the graph we see that the solution of this problem is a decaying oscillation. The
sine and cosine factors control the oscillatory nature of the solution, while the negative
exponential factor in each term causes the magnitude of the oscillations to diminish as
time increases.

Complex Roots; The General Case. The functions y1(t) and y2(t), given by Eqs. (5) and
with the meaning expressed by Eq. (13), are solutions of Eq. (1) when the roots
of the characteristic equation (2) are complex numbers λ± iμ. Unfortunately, the
solutions y1 and y2 are complex-valued functions, whereas in general we would
prefer to have real-valued solutions, if possible, because the differential equation
itself has real coefficients. We can proceed just as in Example 1 to find a
fundamental set of
3.3 Complex Roots of the Characteristic Equation 16
1

real-valued solutions. In particular, let us form the sum and then the difference of y1
and y2. We have
y1(t) + y2(t) = eλt(cos μt + i sin μt) + eλt(cos μt − i sin μt)
= 2eλt cos μt
and
y1(t) − y2(t) = eλt(cos μt + i sin μt) − eλt(cos μt − i sin μt)
= 2ieλt sin μt.
Hence, neglecting the constant multipliers 2 and 2i, respectively, we have obtained a
pair of real-valued solutions
u(t) = eλt cos μt, v(t) = eλt sin μt. (22)
Observe that u and v are simply the real and imaginary parts, respectively, of y1.
By direct computation you can show that the Wronskian of u and v is
W(u, v)(t) = μe2λt . (23)
Thus, as long as μ / 0, the Wronskian W is not zero, so u and v form a fundamental
set of solutions. (Of
= course, if μ=0, then the roots are real and the discussion in this
section is not applicable.) Consequently, if the roots of the characteristic
equation are complex numbers λ ± iμ, with μ /= 0, then the general solution of
Eq. (1) is
y = c1eλt cos μt + c2eλt sin μt, (24)
where c1 and c2 are arbitrary constants. Note that the solution (24) can be written
down as soon as the values of λ and μ are known. Let us now consider some
further examples.

Find the solution of the initial value problem

EXAMPLE 16yrr − 8yr + 145y = 0, y(0) = −2, yr(0) = 1. (25)
2 The characteristic equation is 16r2 − 8r + 145 = 0 and its roots are r = 1/4 3i. Thus the
general solution of the differential equation ±
is
y = c1 et/4 cos 3t + c2 et/4 sin 3t. (26)
To apply the first initial condition, we set t = 0 in Eq. (26); this gives
y(0) = c1 = −2.
For the second initial condition we must differentiate Eq. (26) and then set =
t 0. In this
way we find that
yr(0) = 41 c1 + 3c2 = 1,
from which c2 = 1/2. Using these values of c1 and c2 in Eq. (26), we obtain
y = −2et/4 cos 3t + 12et/4 sin 3t (27)
as the solution of the initial value problem (25). The graph of this solution is shown in
Fig- ure 3.3.2.
16 Chapter 3. Second Order Linear Equations
2
y

10 y = –2et/4 cos 3t + 1 et/4 sin 3t

2

2 4 6 8 t

–5

–10

FIGURE 3.3.2 Solution of 16yrr − 8yr + 145y = 0, y(0) = −2, yr(0) = 1.

In this case we observe that the solution is a growing oscillation. Again the
trigonometric factors in Eq. (27) determine the oscillatory part of the solution, while the
exponential factor (with a positive exponent this time) causes the magnitude of the
oscillation to increase with time.

Find the general solution

of
EXAMPLE yrr + 9y = 0. (28)
3 The characteristic equation is r2 9 0 with the roots r 3i; thus λ 0 and μ 3. The
general solution is + = =± =
=
y = c1 cos 3t + c2 sin 3t; (29)

y
3

2 4 6 8 10 t

–1

–2

–3

FIGURE 3.3.3 Two typical solutions of yrr + 9y = 0.

3.3 Complex Roots of the Characteristic Equation 16
3

note that if the real part of the roots is zero, as in this example, then there is no
exponential factor in the solution. Figure 3.3.3 shows the graph of two typical solutions of
Eq. (28). In each case the solution is a pure oscillation whose amplitude is determined by the
initial conditions. Since there is no exponential factor in the solution (29), the amplitude of
each oscillation remains constant in time.

PROBLEMS In each of Problems 1 through 6 use Euler’s formula to write the given expression in the form
a + ib.
1. exp(1 + 2i) 2. exp(2 − 3i)
3. eiπ 4. e2−(π/2)i
5. 21−i 6. π −1+2i
In each of Problems 7 through 16 find the general solution of the given differential equation.
7. yrr − 2yr + 2y = 0 8. yrr − 2yr + 6y = 0
9. yrr + 2yr − 8y = 0 10. yrr + 2yr + 2y = 0
11. yrr + 6yr + 13y = 0 12. 4yrr + 9y = 0
13. yrr + 2yr + 1.25y = 0 14. 9yrr + 9yr − 4y = 0
15. yrr + yr + 1.25y = 0 16. yrr + 4yr + 6.25y = 0
In each of Problems 17 through 22 find the solution of the given initial value problem. Sketch
the graph of the solution and describe its behavior for increasing t.
17. yrr + 4y = 0, y(0) = 0, yr(0) = 1
rr r
18. y + 4y + 5y = 0, y(0) = 1, yr(0) = 0
rr r
19. y − 2y + 5y = 0, y(π/2) = 0, yr(π/2) =
rr
2 20. y + y = 0, y(π/3) = 2, yr(π/3) = −4
21. yrr + yr + 1.25y = 0, y(0) = 3, yr (0) = 1
22. yrr + 2yr + 2y = 0, y(π/4) = 2, yr(π/4) = −2
23. Consider the initial value problem

3urr − ur + 2u = 0, u(0) = 2, ur(0) = 0.

(a) Find the solution u(t) of this problem.

(b) For t > 0 find the first time at which |u(t)|= 10.

24. Consider the initial value problem

5urr + 2ur + 7u = 0, u(0) = 2, ur(0) = 1.

(a) Find the solution u(t) of this problem.

(b) Find the smallest T such that |u(t)|≤ 0.1 for all t > T.

25. Consider the initial value problem

yrr + 2yr + 6y = 0, y(0) = 2, yr(0) = α ≥ 0.

(a) Find the solution y(t) of this problem.

(b) Find α so that y = 0 when t = 1.
(c) Find, as a function of α, the smallest positive value of t for which y = 0.
(d) Determine the limit of the expression found in part (c) as α → ∞.
16 Chapter 3. Second Order Linear Equations
4

26. Consider the initial value problem

yrr + 2ayr + (a2 + 1)y = 0, y(0) = 1, yr(0) = 0.
(a) Find the solution y(t) of this problem.
(b) For a = 1 find the smallest T such that |y(t)| < 0.1 for t > T.
(c) Repeat part (b) for a = 1/4, 1/2, and 2.
(d) Using the results of parts (b) and (c), plot T versus a and describe the relation between
T and a.
27. Show that W(eλt cos μt, eλt sin μt) = μe2λt .
28. In this problem we outline a different derivation of Euler’s formula.
(a) Show that y1(t) = cos t and y2(t) = sin t are a fundamental set of solutions of
yrr + y = 0; that is, show that they are solutions and that their Wronskian is not zero.
(b) Show (formally) that y = eit is also a solution of yrr + y = 0. Therefore
eit = c1 cos t + c2 sin t (i)

for some constants c1 and c2. Why is this so?

(c) Set t = 0 in Eq. (i) to show that c1 = 1.
(d) Assuming that Eq. (14) is true, differentiate Eq. (i) and then set t = 0 to conclude that
c2 = i. Use the values of c1 and c2 in Eq. (i) to arrive at Euler’s formula.
29. Using Euler’s formula, show that

cos t = (eit + e−it )/2, sin t = (eit − e−it )/2i.

+r2 )t
30. If ert is given by Eq. (13), show that e(r1 = er1 ter2 t for any complex numbers r1 and r2.
31. If ert is given by Eq. (13), show that
d
ert =
rt dt
re
for any complex number r.
32. Let the real-valued functions p and q be continuous on the open interval I, and let
y = φ(t) = u(t) + iv(t) be a complex-valued solution of
yrr + p(t)yr + q(t)y = 0, (i)

where u and v are real-valued functions. Show that u and v are also solutions of Eq. (i).
Hint: Substitute y = φ(t) in Eq. (i) and separate into real and imaginary parts.
33. If the functions y1 and y2 are a fundamental set of solutions of yrr +p(t)yr +q(t)y 0,
show that between consecutive zeros of y1 there is one and only one zero = of y2. Note
that this result is illustrated by the solutions y1(t)=cos t and y2(t) sin t of the equation
yrr +y 0.=
Hint: Suppose that t1 and t2 are two zeros of y1 between which there are no zeros of y2.
Apply Rolle’s theorem to y1/y2 to reach a contradiction.
Change of Variables. Sometimes a differential equation with variable coefficients,

yrr + p(t)yr + q(t)y = 0, (i)

can be put in a more suitable form for finding a solution by making a change of the
independent variable. We explore these ideas in Problems 34 through 46. In particular, in
Problem 34 we show that a class of equations known as Euler equations can be
transformed into equations with constant coefficients by a simple change of the independent
variable. Problems 35 through
3.3 Complex Roots of the Characteristic Equation 16
5

42 are examples of this type of equation. Problem 43 determines conditions under which
the more general Eq. (i) can be transformed into a differential equation with constant
coefficients. Problems 44 through 46 give specific applications of this procedure.
34. Euler Equations. An equation of the form
2 d2y dy
t + αt + βy = 0, t > 0, (ii)
dt2 dt

where α and β are real constants, is called an Euler equation.

(a) Let x = ln t and calculate dy/dt and d2y/dt2 in terms of dy/dx and d2y/dx2.
(b) Use the results of part (a) to transform Eq. (ii) into
d2y dy
+ (α − 1)
+ βy = 0. (iii)
dx2 dx
Observe that Eq. (iii) has constant coefficients. If y1(x) and y2(x) form a fundamental
set of solutions of Eq. (iii), then y1(ln t) and y2(ln t) form a fundamental set of
solutions of Eq. (ii).

In each of Problems 35 through 42 use the method of Problem 34 to solve the given
equation for t > 0.
35. t2yrr + tyr + y = 0 36. t2yrr + 4tyr + 2y = 0
37. t 2 yrr + 3tyr + 1.25y = 0 38. t 2 yrr − 4tyr − 6y = 0
39. t2yrr − 4tyr + 6y = 0 40. t2yrr − tyr + 5y = 0
41. t2yrr + 3tyr − 3y = 0 42. t2yrr + 7tyr + 10y = 0
43. In this problem we determine conditions on p and q that enable Eq. (i) to be
transformed into an equation with constant coefficients by a change of the
independent
= variable. Let x u(t) be the new independent variable, with the relation
between x and t to be specified later.
(a) Show that

dy dx dy d2y dx
2
d2y = d2x dy , = +
dt dt dx d dx2dt2 dt2 dx
t .
(b) Show that the differential equation (i) becomes

2
dx d2y +
d dx2 dx dy
t d2x
+ p(t) + q(t)y = 0. (iv)
dt2 dx
(c) In order for Eq. (iv) to have constant
dt coefficients, the coefficients of d y/dx and of y
2 2

must be proportional. If q(t)> 0, then we can choose the constant of proportionality to

be 1; hence
∫
x = u(t) = [q(t)]1/2 dt. (v)

(d) With x chosen as in part (c), show that the coefficient of dy/dx in Eq. (iv) is also a
constant, provided that the expression

qr(t) +
2p(t)q(t) (vi)
2[q(t)]3/2

is a constant. Thus Eq. (i) can be transformed into an equation with constant coefficients
by a change of the independent variable, provided that the function (qr 2pq)/q3/2 is a
constant. How must this result be modified if q(t)< 0? +