2nd Order Linear Ordinary Differential Equations

Solutions for equations of the following general form:

d2y dy
2
+ a1 ( x ) + a 2 ( x ) y = h( x )
dx dx

Reduction of Order

If terms are missing from the general second-order differential equation, it is sometimes possible
to reduce the equation to a first-order ordinary differential equation. Second-order differential
equations can be solved by reduction of order for two cases.

Dependent Variable (y) is Missing

d2y dy
+ a1 ( x ) = h( x )
dx 2 dx
The procedures is to define a new variable p as:
dy
=p
dx
which can be differentiated again with respect to x to give:
d2y dp
2
=
dx dx
These are substituted into the differential equation to give:
dp
+ a1 ( x ) p = h( x )
dx
which can then be solved by integrating factors to give (see handout on solution methods for 1st
order differential equations):

∫
1 ⎡ ⎤
p= ⎢ h( x) F ( x)dx + I1 ⎥
F ( x) ⎣ ⎦

∫
⎡ ⎤
where F ( x ) = exp ⎢ a1 ( x ) dx ⎥
⎣ ⎦
The solution y is found by substituting for p = dy / dx and integrating again with respect to x.

1
 ⎧⎪ 1 ⎡ ⎤ ⎫⎪
y=
∫ ⎨ ⎢
⎪⎩ F ( x ) ⎣ ∫
h( x) F ( x)dx + I1 ⎥ ⎬ dx + I 2
⎦ ⎪⎭

∫
⎡ ⎤
where F ( x ) = exp ⎢ a1 ( x ) dx ⎥
⎣ ⎦

where I1 and I2 are constants of integration. (Note that throughout this document constants of
integration will be indicated by this notation.)

Independent Variable (x) is Missing

d2y dy
2
+ a1 + a2 y = 0
dx dx
The procedures is to define a new variable p as:
dy
=p
dx
which can be differentiated again with respect to x to give:
d2y dp
=
dx 2 dx
but remember that p can be written as a function of y which is a function of x. That is p =
f(y(x)). This can be differentiated by chain rule to give (remembering that p = dy / dx):
dp dp dy dp
= = p
dx dy dx dy
These relationships for p are substituted into the differential equation to give:
dp
p + a1 p + a 2 y = 0
dy
The 2nd order differential equation of y with respect to x has now been converted into a 1st order
differential equation of p with respect to y. This equation is nonlinear (because p multiplies
dp / dx) and can only be solved analytically if it is possible to separate and integrate. Once p is
determined as a function of y (e.g., p = f(y)), then y can be found by integrating f(y) with respect

z
to x to give:
dy
= x + I2
f ( y)
The first constant of integration will be contained in the function f(y).

2
 Variation of Parameters
This method can be used anytime you already know one solution, y1 ( x ) , to the homogeneous
form of the general differential equation given below.
d2y dy
2
+ a1 ( x ) + a 2 ( x ) y = h( x )
dx dx
The complete solution is found by substituting y = u( x ) y1 ( x ) into the above differential
equation. The differentials of y are as follows:
y ′ = uy1′ + u ′y1
y ′′ = uy1′′+ 2u ′y1′ + u ′′y1
which when substituted into the differential equation gives:
b g b g
u ′′ y1 + u ′ 2 y1′ + a1 ( x ) y1 + u y1′′+ a1 ( x ) y1′ + a 2 ( x ) y1 = h( x )
Since y1 is a solution to the homogeneous form of the differential equation shown at the top of
the page, y1′′+ a1 ( x ) y1′ + a 2 ( x ) y1 = 0 , and the above equation reduces to give the following
differential equation in u:
u′′ y1 + u′ ( 2 y1′ + a1 ( x) y1 ) = h( x)

The function u can be found from this differential equation by reducing order and then solving
by integrating factors. The complete solution y can be found by multiplying u by y1 to give the

z z
general solution:

y = uy1 = y1
LM 1 OP
 + I 2 dx + I y
MN y F
2
1
h( x ) y1 Fdx
y12 F PQ
1 1

where
Fˆ = exp ⎡ ∫ a1dx ⎤ when a1 ≠ 0
⎣ ⎦
Fˆ = 1 when a1 = 0

z
From which you can identify the second solution and the particular solution as follows:
dx
y 2 = y1
y12 F

y p = y1
z z 1
y12
LM
F N
h( x ) y1 Fdx
OP
 dx
Q

3
 Constant Coefficient Ordinary Differential Equations

d2y dy
a 2
+b + cy = 0
dx dx
where a, b and c are constants
The form of the differential equation suggests solutions of y = e rx .

(At this point this form is deduced by understanding the properties of differentiating e rx . Later,
we will develop a general approach for determining that this is the form of the solution.)
y ′ = re rx

y ′′ = r 2 e rx

(ar 2 + br + c)e rx = 0

−b ± b 2 − 4ac
Characteristic Equation: r =
2a

Case 1: Real & Unequal Roots ( b 2 − 4ac > 0 )

(a) If r1 ≠ r2 and r1 ≠ − r2 , then

y = I 1e r1x + I 2 e r2 x

(b) If r1 = − r2 = r , then

y = I 1e rx + I 2 e − rx
or
y = A sinh(rx ) + B cosh(rx )
A+ B B− A
where I 1 = and I 2 =
2 2

Case 2: Complex Roots ( b 2 − 4ac < 0 )

r = α ± iβ , complex conjugate

4
 b 4 a c − b2
where α=− and β=
2a 2a

e
y = e αx I 1e iβx + I 2 e -iβx j
But e ix = cos x + i sin x

c
y = e αx I 1 cos(βx ) + i sin(βx ) + I 2 cos(βx ) − i sin(βx ) h
Let I 1 = A1 + iB1 and I 2 = A2 + iB2 and A = A1 + A2 and B = B2 − B1

b
y = e αx A cos(βx ) + B sin(βx ) g
Case 3: Real and Equal Roots ( b 2 − 4ac = 0 )

b
r1 = r2 = r = −
2a
The characteristic equation gives only one solution,
y1 = e rx

z z
The second solution can be found by variation of parameters to give:
dx
where F = exp
LM b OP
bx FG IJ
y2 = y1
y12 F N a
dx = exp
Q
a H K
y2 = e rx
z e
dx
−bx a bx a
e
= e rx

y = I 1e rx + I 2 xe rx
z dx = xe rx

5
 Equidimensional Ordinary Differential Equation

d2y a dy b
2
+ + y=0
dx x dx x 2
where a and b are constants
The form of the differential equation suggests solutions of y = x r

(At this point this form is deduced by understanding the properties of differentiating x r . Later,
we will develop a general approach for determining that this is the form of the solution.)
y ′ = rx r −1

y ′′ = r (r − 1) x r −2

br (r − 1) + ar + bgx r −2
=0

Characteristic Equation: r 2 + (a − 1)r + b = 0

1 − a ± (1 − a ) 2 − 4b
r=
2

Case 1: Real & Unequal Roots (1 − a ) 2 − 4b > 0

y = I 1 x r1 + I 2 x r2

Case 2: Complex Roots (1 − a ) 2 − 4b < 0

r = α ± iβ

1− a 4b 2 − (1 − a ) 2
where α= and β=
2 2
y = I 1 x α x iβ + I 2 x α x − iβ = I 1 x α e iβ ln x + I 2 x α e − iβ ln x

But e ix = cos x + i sin x

Let I 1 = A1 + iB1 and I 2 = A2 + iB2 and A = A1 + A2 and B = B2 − B1

y = Ax α cos(β ln x ) + Bx α sin(β ln x )

6
 Case 3: Real and Equal Roots (1 − a ) 2 − 4b = 0

1− a
r1 = r2 = r =
2
The characteristic equation gives only one solution,
y1 = x r

z z
The second solution can be found by variation of parameters to give:

y2 = y1
dx
where F = exp
LM a OP b
dx = exp a ln x = x a g
y12 F N x Q
y2 = x r
z x
dx
2 (1− a )/ 2 a
x
== x r
z x
dx
(1− a ) a

y = I 1 x r + I 2 x r ln x
x
= xr
z dx
x
= x r ln x

7
 Special Equations

Several second-order ordinary differential equations arise so often that they have been given
names. Some of these are listed below.

Harmonic Equation
The following differential equation commonly arises for problems written in a rectangular
coordinate system.
d2y
2
+ b2 y = 0
dx
where b2 is not a function of x or y
This differential equation is a constant coefficient equation with the solution:
y = I 1 sin(b x ) + I 2 cos(b x )

Modified Harmonic Equation

Like the harmonic equation, this equation commonly arises for problems written in a rectangular
coordinate system.
d2y
2
− b2 y = 0
dx
2
where b is not a function of x or y
This differential equation is a constant coefficient equation with the solution:
y = I 1 sinh(b x ) + I 2 cosh(b x )
This equation can also be written in terms of the exponential as:
y = I 1 exp(b x ) + I 2 exp( −b x )
As a general rule, it is usually convenient to use the sinh/cosh form of the solution for problems
with finite boundaries and to use the exponential form of the solution for problems with one or
more infinite boundaries.

Bessel's Equation
The following differential equation commonly arises for problems written in a cylindrical
coordinate system.
d2y
x2
dx 2
+x
dy
dx
e j
+ b2 x 2 − p2 y = 0

8
where b2 and p2 are constants. This differential equation has the solution
y = A J p (b x ) + B J − p (b x )

where A and B are constants of integration, and Jp is the Bessel function of the first kind and
order p. If p is an integer or if p = 0, then the differential equation is:
d2y
x 2
dx 2
+x
dy
dx
e j
+ b2 x 2 − n2 y = 0

where n is an integer or zero. The solution to this equation is:

y = A J n (b x ) + B Yn (b x )
where Yn is the Bessel function of the second kind and order n.
The Bessel functions of the first and second kind are similar to the sine and cosine functions (i.e.,
solutions to the harmonic equation). In particular, like the sine and cosine functions, Bessel
functions of the first and second kind are periodic for real arguments.

Modified Bessel's Equation

Like Bessel's equation, this equation commonly arises for problems written in cylindrical a
coordinate system.
d2y
x2
dx 2
+x
dy
dx
e j
− b2 x 2 + p2 y = 0

where b2 and p2 are constants. This differential equation has the solution
y = A I p (b x ) + B I − p (b x )

where A and B are constants of integration, and Ip is the modified Bessel function of the first
kind and order p. If p is an integer or if p = 0, then the differential equation is:
d2y
x2
dx 2
+x
dy
dx
e j
− b2 x 2 + n2 y = 0

where n is an integer or zero. The solution to this equation is:

y = A I n (b x ) + B Kn (b x )
where Kn is the modified Bessel function of the second kind and order n.
Modified Bessel functions of the first and second kind are similar to the hyperbolic sine and
hyperbolic cosine functions (i.e., solutions to the modified harmonic equation). Most
importantly, modified Bessel functions of the first and second kind are not periodic functions.

9
 Special Functions

Error Function
A number of physical problems of interest to chemical engineers will produce equations in
which
dy
= e−x
2

dx

z
which has the solution

y= e j
exp − x 2 dx + I

where I is a constant of integration. To clarify the exact operation that is intended by the above

z
equation, it is better to write the solution as:
x
y=
0
e j
exp − s 2 ds + I

The integral of the exp(-s2) must be determined numerically, except when x is infinity, in which

z
case
∞
π
0
e j
exp − s 2 ds =
2
Because problems with this type of solution arise frequently, it was convenient to define a
function that represents this integral. The name of this function is the Error Function and it is

z
defined as:
x
erf ( x ) =
2
π 0
e j
exp − s 2 ds

By defining it in this way, erf(x) = 0 when x = 0 and erf(x) = 1 when x → ∞. Using the error
function, the solution to the differential equation at the top of this page is:
π
y= erf ( x ) + I
2

Complementary Error Function

The complementary error function erfc(x) is defined as:
erfc( x ) = 1 − erf ( x )

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