Higher Order Linear ODEs

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Homogeneous Linear ODEs
d ny
An ODE is of nth order if the nth derivative y (n) = of the
dx n
unknown function y (x) is the highest occurring derivative.

Thus the nth order ODE is of the form

′
F (x, y , y , · · · , y (n) ) = 0

where lower order derivatives and y itself may or may not occur

An nth order ODE is called linear if it can be written in the form

′
y (n) + pn−1 (x)y (n−1) + · · · + p1 (x)y + p0 (x)y = r (x). (1)

An nth order ODE that cannot be written in the form (1) is

called nonlinear.
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If r (x) is identically zero, r (x) ≡ 0, then (1) becomes
′
y (n) + pn−1 (x)y (n−1) + · · · + p1 (x)y + p0 (x)y = 0. (2)

and is called homogeneous. If r (x) is not identically zero, then

the ODE is called nonhomogeneous.

A solution of an nth order (linear or nonlinear) ODE on some

open interval I is a function y = h(x) that is defined and n
times differentiable on I and is such that the ODE becomes an
identity if we replace the unknown function y and its derivatives
by h and its corresponding derivatives.

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Homogeneous Linear ODE: Superposition
Principle, General Solution

Theorem
Fundamental Theorem for the Homogeneous Linear ODE
((2))
For a homogeneous linear ODE (2), sums and constant multiples of
solutions on some open interval I are again solutions on I .
(This does not hold for a nonhomogeneous or nonlinear ODE)

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Theorem
General Solution, Basis, Particular solution
A general solution of (2) on an open interval I is a solution of (2)
on I of the form

y (x) = c1 y1 (x) + · · · + cn yn (x) (c1 , · · · , cn arbitrary ) (3)

where y1 , y2 , · · · , yn is a basis (or fundamental system of solutions

of (2) on I ; that is, these solutions are linearly independent on I .
A particular solution of (2) on I is obtained if we assign specific
values to the n constants c1 , c2 , · · · , cn in (3).

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Theorem
Linear Independence and Dependence
Consider n functions y1 (x), · · · , yn (x) defined on some interval I .
These functions are called linearly independent on I if the equation

k1 y1 (x) + · · · + kn yn (x) = 0 on I (4)

implies that all k1 , · · · , kn are zero. These functions are called

linearly dependent on I if this equation also holds on I for some
k1 , · · · , kn not all zero.

If and only if y1 , · · · , yn are linearly dependent on I , we can express

(at least) one of these functions on I as a linear combination of the
other n − 1 functions, that is, as a sum of those functions, each
multiplied by a constant (zero or not).

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Initial Value Problem. Existence and Uniqueness
An initial value problem for the ODE (2) consists of (2) and n
initial conditions
′
y (x0 ) = K0 , y (x0 ) = K1 , ··· , y (n−1) (x0 ) = Kn−1 (5)

with given x0 in the open interval I considered, and given

K0 , · · · , Kn−1 .

Theorem
Existence and Uniqueness Theorem for Initial Value Problems
If the coefficients p0 (x), · · · , pn−1 (x) of (2) are continuous on some
open interval I and x0 is in I , then the initial value problem (2) with
initial conditions (5) has a unique solution y (x) on I .

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Solve the following initial value problem on any open interval I on the
positive x-axis containing x = 1.
′′′ ′′ ′ ′ ′′
x 3 y − 3x 2 y + 6xy − 6y = 0, y (1) = 2, y (1) = 1, y (1) = −4

Higher Order Linear ODEs 8 / 25

Solve the following initial value problem on any open interval I on the
positive x-axis containing x = 1.
′′′ ′′ ′ ′ ′′
x 3 y − 3x 2 y + 6xy − 6y = 0, y (1) = 2, y (1) = 1, y (1) = −4

This a third order Euler-Cauchy equation. So we take y = x m .

Hence,
′
y =mx m−1
′′
y =m(m − 1)x m−2
′′′
y =m(m − 1)(m − 2)x m−3

Substituting this in the given ODE and dividing by x m , we get,

m(m − 1)(m − 2) − 3m(m − 1) + 6m − 6 = 0

.
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Hence, the auxilliary equation is,

m3 − 6m2 + 11m − 6 = 0,

which has roots m = 1, 2, 3. So the linearly independent solutions are

x, x 2 and x 3 .
The general solution is

y = c1 x + c2 x 2 + c3 x 3 .

Particular solution is:

y = 2x + x 2 − x 3 .

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Linear Independence of Solutions. Wronskian

The Wronskian W of n solutions y1 , y2 , . . . , yn defined as the

nth-order determinant.
y1 y2 ... yn
′ ′ ′
y1 y2 ... yn
W (y1 , y2 , . . . , yn ) = .. .. ..
. . ... .
(n−1) (n−1) (n−1)
y1 y2 . . . yn

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Theorem
Linear Dependence and Independence of Solutions
Let the ODE (2) have continuous coefficients p0 (x), · · · , pn−1 (x) on
an open interval I . Then n solutions y1 , y2 , . . . , yn of (2) on I are
linearly dependent on I if and only if their Wronskian is zero for some
x = x0 in I . Furthermore, if W is zero for x = x0 , then W is
identically zero on I . Hence if there is an x1 in I at which W is not
zero, then y1 , y2 , . . . , yn are linearly independent on I , so that they
form a basis of solutions of (2) on I .

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A General Solution of 2 Includes All Solutions.

Theorem
Existence of a general solution
If the coefficients p0 (x), p1 (x), . . . , pn−1 (x)of
′
y (n) + pn−1 (x)y (n−1) + · · · + p1 (x)y + p0 (x)y = 0

are continuous on some open interval I , then the ODE has a general
solution on I .

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Theorem
General Solutions Includes All Solutions
If the ODE
′
y (n) + pn−1 (x)y (n−1) + · · · + p1 (x)y + p0 (x)y = 0

has continuous coefficients on some open interval I , then every

solution y = Y (x) of the ODE on I is of the form

Y (x) = C1 y1 (x) + . . . + Cn yn (x)

where y1 , . . . , yn is a basis of solutions of

′
y (n) + pn−1 (x)y (n−1) + · · · + p1 (x)y + p0 (x)y = 0

on I and C1 , C2 , . . . , Cn are suitable constants.

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Homogeneous Linear ODEs with Constant
Coefficients

To solve an nth-order homogeneous linear ODE with constant

coefficients
′
y (n) + an−1 y (n−1) + . . . + a1 y + a0 y = 0 (6)
d ny
where y (n) = .
dx n
Substitute y = e λx , we get characteristic equation of (6)

λn + an−1 λn−1 + . . . + a1 λ + a0 = 0 (7)

If λ is a root of (7), then y = e λx is a solution of (6).

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If all the n roots are real and distinct then the n solutions are

y 1 = e λ1 x , . . . , y n = e λn x

constitute a basis for all x. The corresponding general solution is

y = c1 e λ1 x + . . . cn e λn x (8)

If there is a simple complex root (one complex conjugate pair)

λ = α + iβ and λ̄ = α − iβ then corresponding two linearly
independent solutions are

y1 = e αx cos βx, y2 = e αx sin βx.

If (7) has multiple real roots, i.e, if λ is a real root of order m,

then m corresponding linearly independent solutions are

e λx , xe λx , x 2 e λx , · · · , x m−1 e λx .
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If (7) has complex double root (λ = α ± iβ) then the
corresponding linearly independent solutions are

e αx cos βx, e αx sin βx, xe αx cos βx, xe αx sin βx.

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 ′′′ ′′ ′
Solve the ODE y − 2y − y + 2y = 0.

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 ′′′ ′′ ′
Solve the ODE y − 2y − y + 2y = 0.

Solution: The characteristic equation is

λ3 − 2λ2 − λ + 2 = 0.

It has the roots −1, 1, 2.

The corresponding general solution if

y = c1 e −x + c2 e x + c3 e 2x .

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Solve the IVP
′′′ ′′ ′ ′ ′′
y −y +100y −100y = 0 y (0) = 4, y (0) = 11, y (0) = −299.

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Solve the IVP
′′′ ′′ ′ ′ ′′
y −y +100y −100y = 0 y (0) = 4, y (0) = 11, y (0) = −299.

The characteristic equation is λ3 − λ2 + 100λ − 100 = 0. By

inspection, it has root λ1 = 1. Then dividing by λ1 − 1 gives the
other roots ±10i. Then

y = c1 e x + A cos 10x + B sin 10x

′
y = c1 e x − 10A sin 10x + 10B cos 10x
′′
y = c1 e x − 100A cos 10x − 100B sin 10x
Substituting this in the given ODE and equating we get c1 = 1,
A = 3 and B = 1. Hence the solution is
y = e x + 3 cos 10x + sin 10x
.
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 ′′′ ′′
Solve the ODE y v − 3y iv + 3y − y = 0

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 ′′′ ′′
Solve the ODE y v − 3y iv + 3y − y = 0

Solution: The characteristic equation λ5 − 3λ4 + 3λ3 − λ2 = 0 has

roots λ1 = λ2 = 0 and λ3 = λ4 = λ5 = 1.
The general solution is

y = c1 + c2 x + (c3 + c4 x + c5 x 2 )e x

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Nonhomogeneous Linear ODEs
The standard form of nonhomogeneous linear ODE of nth order is
′
y (n) + pn−1 (x)y (n−1) + . . . + p1 (x)y + p0 (x)y = r (x) (9)
d ny
with y (n) = as first term and r (x) is not identically zero. The
dx
general solution is of the form

y (x) = yh (x) + yp (x). (10)

Here yh is a general solution of the corresponding homogeneous ODE

′
y (n) + pn−1 (x)y (n−1) + . . . + p1 (x)y + p0 (x)y = 0 (11)

on I and yp is any solution of (9) on I without arbitrary constants.

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If (9) has continuous coefficients and a continuous r (x) on I , then a
general solution exists and includes all solutions. Thus it has no
singular solution.
An initial value problem for (9) consists of (9) and n initial
conditions.

′
y (x0 ) = K0 , y (x0 ) = K1 , ... , y (n−1) (x0 ) = Kn−1 (12)

where x0 ∈ I . Under continuity assumption, it has a unique solution.

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Method of Undetermined Coefficients

For a non-homogeneous ODE having constant coefficients,

′
y (n) + an−1 y (n−1) + · · · + a1 y + a0 y = r (x) (13)

yp (x) can be determined using the method of undetermined

coefficients using the following rules:
Basic Rule.
Modification Rule. If a term in your choice for yp (x) is a
solution of the corresponding homogeneous equation, then
multiply this term by x k , where k is the smallest positive integer
such that this term times x k is not a solution of the
corresponding homogeneous ODE.
Sum Rule.
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Method of Variation of Parameters.
Method of variation of parameters gives a particular solution yp for
the nonhomogeneous equation by the formula

n Z
X Wk (x)
yp (x) = yk (x) r (x)dx (14)
k=1
W (x)
Z Z
W1 (x) Wn (x)
= y1 (x) r (x)dx + . . . + yn (x) r (x)dx (15)
W (x) W (x)

on which the coefficients of the ODE and r (x) are continuous.

The functions y1 , y2 , . . . , yn form a basis of the homogeneous ODE,
with Wronskian W and Wj is obtained from W by replacing jth
column of W by the column [0 0 . . . 1]T

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Solve the non-homogeneous Euler-Cauchy equation
′′′ ′′ ′
x 3 y − 3x 2 y + 6xy − 6y = x 4 ln x

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Solve the non-homogeneous Euler-Cauchy equation
′′′ ′′ ′
x 3 y − 3x 2 y + 6xy − 6y = x 4 ln x

Sol. The general solution of corresponding homogeneous ODE is

y h = c1 x + c2 x 2 + c3 x 3

To find yp , we need to find W , W1 , W2 and W3 .

x x2 x3
W = 1 2x 3x 2 = 2x 3
0 2 6x

0 x2 x3
W1 = 0 2x 3x 2 = x4
1 2 6x
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 x 0 x3
W2 = 1 0 3x 2 = −2x 3
0 1 6x
x x2 0
W3 = 1 2x 0 = x2
0 2 1
Hence after integrating, we’ll get

x x3 x3
 2
x2 x3
  
2 x
yp = ln x − −x ln x − + (x ln x − x)
2 3 9 2 4 2

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