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.
Differential equations first came into existence with the invention of calculus by Newton and Leibniz. In Chapter 2 of his 1671 work Methodus fluxionum et Serierum Infinitarum,Isaac Newton listed three kinds of differential equations:
In all these cases, y is an unknown function of x (or of x1 and x2), and f is a given function.
He solves these examples and others using infinite series and discusses the non-uniqueness of solutions.
Jacob Bernoulli proposed the Bernoulli differential equation in 1695.This is an ordinary differential equation of the form
for which the following year Leibniz obtained solutions by simplifying it.
Historically, the problem of a vibrating string such as that of a musical instrument was studied by Jean le Rond d'Alembert, Leonhard Euler, Daniel Bernoulli, and Joseph-Louis Lagrange.In 1746, d’Alembert discovered the one-dimensional wave equation, and within ten years Euler discovered the three-dimensional wave equation.
The Euler–Lagrange equation was developed in the 1750s by Euler and Lagrange in connection with their studies of the tautochrone problem. This is the problem of determining a curve on which a weighted particle will fall to a fixed point in a fixed amount of time, independent of the starting point. Lagrange solved this problem in 1755 and sent the solution to Euler. Both further developed Lagrange's method and applied it to mechanics, which led to the formulation of Lagrangian mechanics.
In 1822, Fourier published his work on heat flow in Théorie analytique de la chaleur (The Analytic Theory of Heat),in which he based his reasoning on Newton's law of cooling, namely, that the flow of heat between two adjacent molecules is proportional to the extremely small difference of their temperatures. Contained in this book was Fourier's proposal of his heat equation for conductive diffusion of heat. This partial differential equation is now taught to every student of mathematical physics.
In classical mechanics, the motion of a body is described by its position and velocity as the time value varies. Newton's laws allow these variables to be expressed dynamically (given the position, velocity, acceleration and various forces acting on the body) as a differential equation for the unknown position of the body as a function of time.
In some cases, this differential equation (called an equation of motion) may be solved explicitly.
An example of modeling a real-world problem using differential equations is the determination of the velocity of a ball falling through the air, considering only gravity and air resistance. The ball's acceleration towards the ground is the acceleration due to gravity minus the deceleration due to air resistance. Gravity is considered constant, and air resistance may be modeled as proportional to the ball's velocity. This means that the ball's acceleration, which is a derivative of its velocity, depends on the velocity (and the velocity depends on time). Finding the velocity as a function of time involves solving a differential equation and verifying its validity.
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.
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.
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.
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 behaviour 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).
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.
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.
In the next group of examples, the unknown function u depends on two variables x and t or x and y.
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 in the xy-plane, define some rectangular region , such that and is in the interior of . If we are given a differential equation and the condition that when , then there is locally a solution to this problem if and are both continuous on . This solution exists on some interval with its center at . 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:
For any nonzero , if and are continuous on some interval containing , is unique and exists.
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.
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.
The number of differential equations that have received a name, in various scientific areas is a witness of the importance of the topic. See List of named differential equations.
Some CAS softwares can solve differential equations. These CAS softwares and their commands are worth mentioning:
In mathematics, a partial differential equation (PDE) is an equation which imposes relations between the various partial derivatives of a multivariable function.
In mathematics and science, a nonlinear system is a system in which the change of the output is not proportional to the change of the input. Nonlinear problems are of interest to engineers, biologists, physicists, mathematicians, and many other scientists because most systems are inherently nonlinear in nature. Nonlinear dynamical systems, describing changes in variables over time, may appear chaotic, unpredictable, or counterintuitive, contrasting with much simpler linear systems.
In mathematics and physics, the heat equation is a certain partial differential equation. Solutions of the heat equation are sometimes known as caloric functions. The theory of the heat equation was first developed by Joseph Fourier in 1822 for the purpose of modeling how a quantity such as heat diffuses through a given region.
The calculus of variations is a field of mathematical analysis that uses variations, which are small changes in functions and functionals, to find maxima and minima of functionals: mappings from a set of functions to the real numbers. Functionals are often expressed as definite integrals involving functions and their derivatives. Functions that maximize or minimize functionals may be found using the Euler–Lagrange equation of the calculus of variations.
Numerical methods for ordinary differential equations are methods used to find numerical approximations to the solutions of ordinary differential equations (ODEs). Their use is also known as "numerical integration", although this term can also refer to the computation of integrals.
In mathematics, a linear differential equation is a differential equation that is defined by a linear polynomial in the unknown function and its derivatives, that is an equation of the form
In mathematics, separation of variables is any of several methods for solving ordinary and partial differential equations, in which algebra allows one to rewrite an equation so that each of two variables occurs on a different side of the equation.
In mathematics and its applications, classical Sturm–Liouville theory is the theory of real second-order linear ordinary differential equations of the form:
In mathematics, the method of characteristics is a technique for solving partial differential equations. Typically, it applies to first-order equations, although more generally the method of characteristics is valid for any hyperbolic partial differential equation. The method is to reduce a partial differential equation to a family of ordinary differential equations along which the solution can be integrated from some initial data given on a suitable hypersurface.
In mathematics, variation of parameters, also known as variation of constants, is a general method to solve inhomogeneous linear ordinary differential equations.
In mathematics, a hyperbolic partial differential equation of order is a partial differential equation (PDE) that, roughly speaking, has a well-posed initial value problem for the first derivatives. More precisely, the Cauchy problem can be locally solved for arbitrary initial data along any non-characteristic hypersurface. Many of the equations of mechanics are hyperbolic, and so the study of hyperbolic equations is of substantial contemporary interest. The model hyperbolic equation is the wave equation. In one spatial dimension, this is
In mathematics, an exact differential equation or total differential equation is a certain kind of ordinary differential equation which is widely used in physics and engineering.
In mathematics, constraint counting is counting the number of constraints in order to compare it with the number of variables, parameters, etc. that are free to be determined, the idea being that in most cases the number of independent choices that can be made is the excess of the latter over the former.
In mathematics, and more specifically in partial differential equations, Duhamel's principle is a general method for obtaining solutions to inhomogeneous linear evolution equations like the heat equation, wave equation, and vibrating plate equation. It is named after Jean-Marie Duhamel who first applied the principle to the inhomogeneous heat equation that models, for instance, the distribution of heat in a thin plate which is heated from beneath. For linear evolution equations without spatial dependency, such as a harmonic oscillator, Duhamel's principle reduces to the method of variation of parameters technique for solving linear inhomogeneous ordinary differential equations.
In mathematics, a first-order partial differential equation is a partial differential equation that involves only first derivatives of the unknown function of n variables. The equation takes the form
In mathematics, the inverse scattering transform is a method for solving some non-linear partial differential equations. It is one of the most important developments in mathematical physics in the past 40 years. The method is a non-linear analogue, and in some sense generalization, of the Fourier transform, which itself is applied to solve many linear partial differential equations. The name "inverse scattering method" comes from the key idea of recovering the time evolution of a potential from the time evolution of its scattering data: inverse scattering refers to the problem of recovering a potential from its scattering matrix, as opposed to the direct scattering problem of finding the scattering matrix from the potential.
A differential equation can be homogeneous in either of two respects.
A parabolic partial differential equation is a type of partial differential equation (PDE). Parabolic PDEs are used to describe a wide variety of time-dependent phenomena, including heat conduction, particle diffusion, and pricing of derivative investment instruments.
In mathematics, an ordinary differential equation (ODE) is a differential equation containing one or more functions of one independent variable and the derivatives of those functions. The term ordinary is used in contrast with the term partial differential equation which may be with respect to more than one independent variable.
In applied mathematics, methods of mean weighted residuals (MWR) are methods for solving differential equations. The solutions of these differential equations are assumed to be well approximated by a finite sum of test functions . In such cases, the selected method of weighted residuals is used to find the coefficient value of each corresponding test function. The resulting coefficients are made to minimize the error between the linear combination of test functions, and actual solution, in a chosen norm.
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