differential equation

Visualization of airflow into a duct modelled using the Navier-Stokes equations, a set of partial differential equations.

A differential equation is a mathematical equation for an unknown function of one or several variables that relates the values of the function itself and of its derivatives of various orders. Differential equations play a prominent role in engineering, physics, economics and other disciplines.

Introduction

Differential equations arise in many areas of science and technology; whenever a deterministic relationship involving some continuously changing quantities (modeled by functions) and their rates of change (expressed as derivatives) is known or postulated. This is well illustrated by classical mechanics, where the motion of a body is described by its position and velocity as the time varies. Newton's Laws allow one to relate the position, velocity, acceleration and various forces acting on the body and state this relation as a differential equation for the unknown position of the body as a function of time. In many cases, this differential equation may be solved, yielding the law of motion.

Differential equations are mathematically studied from several different perspectives, mostly concerned with their solutions, functions that make the equation hold true. Only the simplest differential equations admit solutions given by explicit formulas. Many properties of solutions of a given differential equation may be determined without finding their exact form. If a self-contained formula for the solution is not available, the solution may be numerically approximated 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.

Directions of study

The study of differential equations is a wide field in both pure and applied mathematics. Pure mathematicians study the types and properties of differential equations, such as whether or not solutions exist, and should they exist, whether they are unique. Applied mathematicians emphasize differential equations from applications, and in addition to existence/uniqueness questions, are also concerned with rigorously justifying methods for approximating solutions. Physicists and engineers are usually more interested in computing approximate solutions to differential equations, and are typically less interested in justifications for whether these approximations really are close to the actual solutions. These solutions are then used to simulate celestial motions, simulate neurons, design bridges, automobiles, aircraft, sewers, etc. ^[1] Often, differential equations arising in applied disciplines do not have closed form solutions and are solved using numerical methods that work well enough for the purposes of analyzing the original problem.

Mathematicians also study weak solutions (relying on weak derivatives), which are types of solutions that do not have to be differentiable everywhere. This extension is often necessary for solutions to exist, and it also results in more physically reasonable properties of solutions, such as possible presence of shocks for equations of hyperbolic type.

The study of the stability of solutions of differential equations is known as stability theory.

Types of differential equations

• An ordinary differential equation (ODE) is a differential equation in which the unknown function is a function of a single independent variable.
• A partial differential equation (PDE) is a differential equation in which the unknown function is a function of multiple independent variables and their partial derivatives.
• A delay differential equation (DDE) is a differential equation in which the derivative of the unknown function at a certain time is given in terms of the values of the function at previous times.
• A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, thus resulting in a solution which is itself a stochastic process.
• A differential algebraic equation (DAE) is a differential equation comprising differential and algebraic terms, given in implicit form.

Each of those categories is divided into linear and nonlinear subcategories. A differential equation is linear if the dependent variable and all its derivatives appear to the power 1 and there are no products or functions of the dependent variable. Otherwise the differential equation is nonlinear. Thus if u' denotes the first derivative of the function u, then the equation

u' = u

is linear, while the equation

u' = u²

is nonlinear. Solutions of a linear equation in which the unknown function or its derivative or derivatives appear in each term (linear homogeneous equations) may be added together or multiplied by an arbitrary constant in order to obtain additional solutions of that equation, but there is no general way to obtain families of solutions of nonlinear equations, except when they exhibit symmetries; see symmetries and invariants. Linear equations frequently appear as approximations to nonlinear equations, and these approximations are only valid under restricted conditions.

Another important characteristic of a differential equation is its order, which is the order of the highest derivative (of a dependent variable) appearing in the equation. For instance, a first-order differential equation contains only first derivatives, like both examples above.

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 approximation of the solution of a differential equation by the solution of a corresponding difference equation. See also: Time scale calculus.

Universality of mathematical description

A large number of 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 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, whose theory was brilliantly developed by Joseph Fourier, is governed by another second order partial differential equation, the heat equation. It turned out that many diffusion processes, while seemingly different, are described by the same equation; Black-Scholes equation in finance is for instance, related to the heat equation.

Famous differential equations

Notes

1. ^ Indeed, differential equations permeate most of physical engineering disciplines, and much of the study and practice of these engineering disciplines is in fact the dealing with differential equations masked as a particular problem in that discipline.

See also

Wikibooks has a book on the topic of

Differential Equations

• Picard-Lindelöf theorem on existence and uniqueness of solutions

References

• D. Zwillinger, Handbook of Differential Equations (3rd edition), Academic Press, Boston, 1997.
• A. D. Polyanin and V. F. Zaitsev, Handbook of Exact Solutions for Ordinary Differential Equations (2nd edition), Chapman & Hall/CRC Press, Boca Raton, 2003. ISBN 1-58488-297-2.
• W. Johnson, A Treatise on Ordinary and Partial Differential Equations, John Wiley and Sons, 1913, in University of Michigan Historical Math Collection
• E.L. Ince, Ordinary Differential Equations, Dover Publications, 1956

External links

• lectures on differential equations MIT Open CourseWare video
• Online Notes / Differential Equations Paul Dawkins, Lamar University
• Differential Equations, S.O.S. Mathematics
• Introduction to modeling via differential equations Introduction to modeling by means of differential equations, with critical remarks.
• Differential Equation Solver Java applet tool used to solve differential equations.
• Exact Solutions of Ordinary Differential Equations
• A bibliography of books about differential equations, from the Mathematical Association of America
• Collection of ODE and DAE models of physical systems MATLAB models

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