Order of Differential Equations

Introduction

Visualization of heat transfer in a pump casing, created by solving the heat equation. Heat is being generated internally in the casing and being cooled at the boundary, providing a steady state temperature distribution.

In mathematics, a differential equation is an equation that relates one or more functions and their derivatives. In applications, the functions generally represent physical quantities, the derivatives represent their rates of change, and the differential equation defines a relationship between the two. Such relations are common; therefore, differential equations play a prominent role in many disciplines including engineering, physics, economics, and biology.

Mainly the study of differential equations consists of the study of their solutions (the set of functions that satisfy each equation), and of the properties of their solutions. Only the simplest differential equations are solvable by explicit formulas; however, many properties of solutions of a given differential equation may be determined without computing them exactly.

Often when a closed-form expression for the solutions is not available, solutions may be approximated numerically using computers. The theory of dynamical systems puts emphasis on qualitative analysis of systems described by differential equations, while many numerical methods have been developed to determine solutions with a given degree of accuracy. The order of a differential equation is determined by the highest-order derivative. The higher the order of the differential equation, the more arbitrary constants need to be added to the general solution. A first-order equation will have one, a second-order two, and so on. The degree of a differential equation, similarly, is determined by the highest exponent on any variables involved.

Examples:

• $y''+xy'-x^{3}y=\sin {x}$ is second order (or "of order 2").
• $x't+x=t^{2}$ is first order.
• $y'''+3y''+3y'+y=x^{2}$ is of order 3.

Types

Differential equations can be divided into several types. Apart from describing the properties of the equation itself, these classes of differential equations can help inform the choice of approach to a solution. Commonly used distinctions include whether the equation is ordinary or partial, linear or non-linear, and homogeneous or heterogeneous. This list is far from exhaustive; there are many other properties and subclasses of differential equations which can be very useful in specific contexts.

Ordinary differential equations

An ordinary differential equation (ODE) is an equation containing an unknown function of one real or complex variable x, its derivatives, and some given functions of x. The unknown function is generally represented by a variable (often denoted y), which, therefore, depends on x. Thus x is often called the independent variable of the equation. The term "ordinary" is used in contrast with the term partial differential equation, which may be with respect to more than one independent variable.

Linear differential equations are the differential equations that are linear in the unknown function and its derivatives. Their theory is well developed, and in many cases one may express their solutions in terms of integrals.

Most ODEs that are encountered in physics are linear. Therefore, most special functions may be defined as solutions of linear differential equations (see Holonomic function).

As, in general, the solutions of a differential equation cannot be expressed by a closed-form expression, numerical methods are commonly used for solving differential equations on a computer.

Partial differential equations

A partial differential equation (PDE) is a differential equation that contains unknown multivariable functions and their partial derivatives. (This is in contrast to ordinary differential equations, which deal with functions of a single variable and their derivatives.) PDEs are used to formulate problems involving functions of several variables, and are either solved in closed form, or used to create a relevant computer model.

PDEs can be used to describe a wide variety of phenomena in nature such as sound, heat, electrostatics, electrodynamics, fluid flow, elasticity, or quantum mechanics. These seemingly distinct physical phenomena can be formalized similarly in terms of PDEs. Just as ordinary differential equations often model one-dimensional dynamical systems, partial differential equations often model multidimensional systems. Stochastic partial differential equations generalize partial differential equations for modeling randomness.

Non-linear differential equations

A non-linear differential equation is a differential equation that is not a linear equation in the unknown function and its derivatives (the linearity or non-linearity in the arguments of the function are not considered here). There are very few methods of solving nonlinear differential equations exactly; those that are known typically depend on the equation having particular symmetries. Nonlinear differential equations can exhibit very complicated behavior over extended time intervals, characteristic of chaos. Even the fundamental questions of existence, uniqueness, and extendability of solutions for nonlinear differential equations, and well-posedness of initial and boundary value problems for nonlinear PDEs are hard problems and their resolution in special cases is considered to be a significant advance in the mathematical theory (cf. Navier–Stokes existence and smoothness). However, if the differential equation is a correctly formulated representation of a meaningful physical process, then one expects it to have a solution.

Linear differential equations frequently appear as approximations to nonlinear equations. These approximations are only valid under restricted conditions. For example, the harmonic oscillator equation is an approximation to the nonlinear pendulum equation that is valid for small amplitude oscillations (see below).

Equation order

Differential equations are described by their order, determined by the term with the highest derivatives. An equation containing only first derivatives is a first-order differential equation, an equation containing the second derivative is a second-order differential equation, and so on. Differential equations that describe natural phenomena almost always have only first and second order derivatives in them, but there are some exceptions, such as the thin film equation, which is a fourth order partial differential equation.

Examples

In the first group of examples u is an unknown function of x, and c and ω are constants that are supposed to be known. Two broad classifications of both ordinary and partial differential equations consist of distinguishing between linear and nonlinear differential equations, and between homogeneous differential equations and heterogeneous ones.

• Heterogeneous first-order linear constant coefficient ordinary differential equation:

${\frac {du}{dx}}=cu+x^{2}.$

• Homogeneous second-order linear ordinary differential equation:

${\frac {d^{2}u}{dx^{2}}}-x{\frac {du}{dx}}+u=0.$

• Homogeneous second-order linear constant coefficient ordinary differential equation describing the harmonic oscillator:

${\frac {d^{2}u}{dx^{2}}}+\omega ^{2}u=0.$

• Heterogeneous first-order nonlinear ordinary differential equation:

${\frac {du}{dx}}=u^{2}+4.$

• Second-order nonlinear (due to sine function) ordinary differential equation describing the motion of a pendulum of length L:

$L{\frac {d^{2}u}{dx^{2}}}+g\sin u=0.$

In the next group of examples, the unknown function u depends on two variables x and t or x and y.

• Homogeneous first-order linear partial differential equation:

${\frac {\partial u}{\partial t}}+t{\frac {\partial u}{\partial x}}=0.$

• Homogeneous second-order linear constant coefficient partial differential equation of elliptic type, the Laplace equation:

${\frac {\partial ^{2}u}{\partial x^{2}}}+{\frac {\partial ^{2}u}{\partial y^{2}}}=0.$

• Homogeneous third-order non-linear partial differential equation :

${\frac {\partial u}{\partial t}}=6u{\frac {\partial u}{\partial x}}-{\frac {\partial ^{3}u}{\partial x^{3}}}.$

Existence of solutions

Solving differential equations is not like solving algebraic equations. Not only are their solutions often unclear, but whether solutions are unique or exist at all are also notable subjects of interest.

For first order initial value problems, the Peano existence theorem gives one set of circumstances in which a solution exists. Given any point $(a,b)$ in the xy-plane, define some rectangular region $Z$, such that $Z=[l,m]\times [n,p]$ and $(a,b)$ is in the interior of $Z$. If we are given a differential equation ${\frac {dy}{dx}}=g(x,y)$ and the condition that $y=b$ when $x=a$, then there is locally a solution to this problem if $g(x,y)$ and ${\frac {\partial g}{\partial x}}$ are both continuous on $Z$. This solution exists on some interval with its center at $a$. The solution may not be unique. (See Ordinary differential equation for other results.)

However, this only helps us with first order initial value problems. Suppose we had a linear initial value problem of the nth order:

$f_{n}(x){\frac {d^{n}y}{dx^{n}}}+\cdots +f_{1}(x){\frac {dy}{dx}}+f_{0}(x)y=g(x)$

such that

$y(x_{0})=y_{0},y'(x_{0})=y'_{0},y''(x_{0})=y''_{0},\ldots$

For any nonzero $f_{n}(x)$, if $\{f_{0},f_{1},\ldots \}$ and $g$ are continuous on some interval containing $x_{0}$, $y$ is unique and exists.

Connection to difference equations

The theory of differential equations is closely related to the theory of difference equations, in which the coordinates assume only discrete values, and the relationship involves values of the unknown function or functions and values at nearby coordinates. Many methods to compute numerical solutions of differential equations or study the properties of differential equations involve the approximation of the solution of a differential equation by the solution of a corresponding difference equation.

Applications

The study of differential equations is a wide field in pure and applied mathematics, physics, and engineering. All of these disciplines are concerned with the properties of differential equations of various types. Pure mathematics focuses on the existence and uniqueness of solutions, while applied mathematics emphasizes the rigorous justification of the methods for approximating solutions. Differential equations play an important role in modeling virtually every physical, technical, or biological process, from celestial motion, to bridge design, to interactions between neurons. Differential equations such as those used to solve real-life problems may not necessarily be directly solvable, i.e. do not have closed form solutions. Instead, solutions can be approximated using numerical methods.

Many fundamental laws of physics and chemistry can be formulated as differential equations. In biology and economics, differential equations are used to model the behavior of complex systems. The mathematical theory of differential equations first developed together with the sciences where the equations had originated and where the results found application. However, diverse problems, sometimes originating in quite distinct scientific fields, may give rise to identical differential equations. Whenever this happens, mathematical theory behind the equations can be viewed as a unifying principle behind diverse phenomena. As an example, consider the propagation of light and sound in the atmosphere, and of waves on the surface of a pond. All of them may be described by the same second-order partial differential equation, the wave equation, which allows us to think of light and sound as forms of waves, much like familiar waves in the water. Conduction of heat, the theory of which was developed by Joseph Fourier, is governed by another second-order partial differential equation, the heat equation. It turns out that many diffusion processes, while seemingly different, are described by the same equation; the Black–Scholes equation in finance is, for instance, related to the heat equation.

Resources

• Differential Equations, Lumen Learning
• Order and Linearity of Differential Equations, Analyze Math

Licensing

Content obtained and/or adapted from:

• Differential equation, Wikipedia under a CC BY-SA license