McGill University

Math 325A: Differential Equations

LECTURE 17: SERIES SOLUTION OF LINEAR DIFFERENTIAL

EQUATIONS (II)

(Text: Chap. 8)

1 Introduction
In this lecture we investigate series solutions for the general linear DE

a0 (x)y (n) + a1 (x)y (n−1) + · · · + an (x)y = b(x),

where the functions a1 , a2 , . . . , an , b are analytic at x = x0 . If a0 (x0 ) 6= 0 the point x = x0 is called

an ordinary point of the DE. In this case, the solutions are analytic at x = x0 since the normalized
DE
y (n) + p1 (x)y (n−1) + · · · + pn (x)y = q(x),
where pi (x) = ai (x)/a0 (x), q(x) = b(x)/a0 (x), has coefficient functions which are analytic at x = x0 .
If a0 (x0 ) = 0, the point x = x0 is said to be a singular point for the DE. If k is the multiplicity
of the zero of a0 (x) at x = x0 and the multiplicities of the other coefficient functions at x = x0 is
as big then, on cancelling the common factor (x − x0 )k for x 6= x0 , the DE obtained holds even for
x = x0 by continuity, has analytic coefficient functions at x = x0 and x = x0 is an ordinary point.
In this case the singularity is said to be removable. For example, the DE xy 00 + sin(x)y 0 + xy = 0
has a removable singularity at x = 0.

2 Series Solutions near a Regular Singular Point

In general, the solution of a linear DE in a neighborhood of a singularity is extremely difficult.
However, there is an important special case where this can be done. For simplicity, we treat the
case of the general second order homogeneous DE

a0 (x)y 00 + a1 (x)y 0 + a2 (x)y = 0, (x > x0 ),

with a singular point at x = x0 . Without loss of generality we can, after possibly a change of variable
x − x0 = t, assume that x0 = 0. We say that x = 0 is a regular singular point if the normalized
DE
y 00 + p(x)y 0 + q(x)y = 0, (x > 0),
is such that xp(x) and x2 q(x) are analytic at x = 0. A necessary and sufficient condition for this is
that
lim xp(x) = p0 , lim x2 q(x) = q0
x→0 x→0

exist and are finite. In this case

xp(x) = p0 + p1 x + · · · + pn xn + · · · , x2 q(x) = q0 + q1 x + · · · + qn xn + · · ·

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and the given DE has the same solutions as the DE

x2 y 00 + x(xp(x))y 0 + x2 q(x)y = 0.

This DE is an Euler DE if xp(x) = p0 , x2 q(x) = q0 . This suggests that we should look for solutions
of the form ̰ !
X X∞
y = xr an xn = an xn+r ,
n=0 n=0

with a0 6= 0. Substituting this in the DE gives

∞
Ã∞ !à ∞ ! Ã∞ !à ∞ !
X X X X X
n+r n n+r n n+r
(n + r)(n + r − 1)an x + pn x (n + r)an x + qn x an x =0
n=0 n=0 n=0 n=0 n=0

which, on expansion and simplification, becomes

∞ n
X o
£ ¤
a0 F (r)xr + F (n + r)an + (n + r − 1)p1 + q1 an−1 + · · · + (rpn + qn )a0 xn+r = 0,
n=1

where F (r) = r(r − 1) + p0 r + q0 . Equating coefficients to zero, we get

r(r − 1) + p0 r + q0 = 0, (1)

the indicial equation, and

¡ ¢
F (n + r)an = − (n + r − 1)p1 + q1 an−1 − · · · − (rpn + qn )a0 (2)

for n ≥ 1. The indicial equation (1) has two roots: r1 , r2 . Three cases should be discussed separately.

2.1 Case (I): The roots (r1 − r2 6= N )

Two roots do’nt differ by an integer. In this case, the above recursive equation (2) determines an
uniquely for r = r1 and r = r2 . If an (ri ) is the solution for r = ri and a0 = 1, we obtain the linearly
independent solutions
̰ ! ̰ !
X X
y1 = xr1 an (r1 )xn , y2 = xr2 an (r2 )xn .
n=0 n=0

It can be shown that the radius of convergence of the infinite series is the distance to the singularity
of the DE nearest to the singularity x = 0. If r1 − r2 = N ≥ 0, the above recursion equations can
be solved for r = r1 as above to give a solution
̰ !
X
r1 n
y1 = x an (r1 )x .
n=0

A second linearly independent solution can then be found by reduction of order.

However, the series calculations can be quite involved and a simpler method exists which is based
on solving the recursion equation for an (r) as a ratio of polynomials of r. This can always be done

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since F (n + r) is not the zero polynomial for any n ≥ 0. If an (r) is the solution with a0 (r) = 1 and
we let
̰ !
X
r n
y = y(x, r) = x an (r)x . (3)
n=0

Thus, we have the following equality with two variables (x, r):

x2 y 00 + x2 p(x)y 0 + x2 q(x)y = a0 F (r)xr = (r − r1 )(r − r2 )xr . (4)

2.2 Case (II): The roots (r1 = r2 )

In this case, from the equality (4) we get

x2 y 00 + x2 p(x)y 0 + x2 q(x)y = (r − r1 )2 xr .

Differentiating this equation with respect to r, we get

µ ¶00 µ ¶0
∂y ∂y ∂y
x2 + x2 p(x) + x2 q(x) = 2(r − r1 ) + (r − r1 )2 xr ln(x).
∂r ∂r ∂r

Setting r = r1 , we find that

Ã∞ ! ∞ ∞
∂y X X X
y2 = (x, r1 ) = xr1 an (r1 )xn ln(x) + xr1 a0n (r1 )xn = y1 ln(x) + xr1 a0n (r1 )xn ,
∂r n=0 n=0 n=0

where a0n (r) is the derivative of an (r) with respect to r. This is a second linearly independent
solution. Since this solution is unbounded as x → 0, any solution of the given DE which is bounded
as x → 0 must be a scalar multiple of y1 .

Case (III): The roots (r1 − r2 = N > 0)

For this case, we let z(x, r) = (r − r2 )y(x, r). Thus, from the equality (4) we get

x2 z 00 + x2 p(x)z 0 + x2 q(x)z = (r − r1 )(r − r2 )2 xr .

Differentiating this equation with respect to r, we get

µ ¶00 µ ¶0
∂z ∂z ∂z £ ¤
x2 + x2 p(x) + x2 q(x) = (r − r2 ) (r − r2 ) + 2(r − r1 ) xr + (r − r1 )(r − r2 )2 xr ln(x).
∂r ∂r ∂r
∂z
Setting r = r2 , we see that y2 = ∂r (x, r2 ) is a solution of the given DE. Letting bn (r) = (r −r2 )an (r),
we have
£ ¤
F (n + r)bn (r) = − (n + r − 1)p1 + q1 bn−1 (r) − · · · − (rpn + qn )b0 (r) (5)

and
à ∞ ∞
!
X X
r n r
y2 = lim x ln(x) bn (r)x + x b0n (r)xn . (6)
r→r2
n=0 n=0

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 Note that an (r2 ) 6= 0, for n = 1, 2, . . . N − 1. Hence, we have

b0 (r2 ) = b1 (r2 ) = b2 (r2 ) = · · · = bN −1 (r2 ) = 0.

However, aN (r2 ) = ∞, as F (r2 + N ) = F (r1 ) = 0. Hence, we have

bN (r2 ) = lim (r − r2 )an (r) = a < ∞,

r→r2

subsequently,
lim xr ln(x)bN (r)xN = axr1 ln(x).
r→r2

Furthermore,

F (N + 1 + r2 )bN +1 (r2 ) = F (1 + r1 )bN +1 (r2 )

¡ ¢
= − r1 p1 + q1 bN (r2 ) − · · · − (r2 pN +1 + qN +1 )b0 (r2 )
¡ ¢
= − r1 p1 + q1 bN (r2 ) (7)

Thus,
¢ ¢
(r1 p1 + q1 (r1 p1 + q1
bN +1 (r2 ) = bN (r2 ) = a = aa1 (r1 ). (8)
F (1 + r1 ) F (1 + r1 )

Similarly, we have

F (N + 2 + r2 )bN +2 (r2 ) = F (2 + r1 )bN +2 (r2 )

£ ¤
= − (1 + r1 )p1 + q1 bN +1 (r2 ) − (r1 p2 + q2 )bN (r2 )
− · · · − (r2 pN +2 + qN +2 )b0 (r2 )
£ ¤ ¡ ¢
= −a (1 + r1 )p1 + q1 a1 (r1 ) − a r1 p2 + q2 , (9)

then we obtain
£ ¤ ¡ ¢
(1 + r1 )p1 + q1 a1 (r1 ) + r1 p2 + q2
bN +2 (r2 ) = −a = aa2 (r1 ). (10)
F (2 + r1 )

In general, we can write

bN +k (r2 ) = aak (r1 ). (11)

Substituting the above results to (6), we finally derive

̰ ! ̰ !
X X
y2 = axr1 an (r1 )xn ln(x) + xr2 b0n (r2 )xn
n=0 n=0
à ∞
!
X
= ay1 ln(x) + xr2 b0n (r2 )xn . (12)
n=0

This gives a second linearly independent solution.

The above method is due to Frobenius and is called the Frobenius method.

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Example 1. The DE 2xy 00 + y 0 + 2xy = 0 has a regular singular point at x = 0 since xp(x) = 1/2
and x2 q(x) = x2 . The indicial equation is
1 1
r(r − 1) + r = r(r − ).
2 2
The roots are r1 = 1/2, r2 = 0 which do not differ by an integer. We have
1
(r + 1)(r + )a1 = 0,
2
1
(n + r)(n + r − )an = −an−2 for n ≥ 2,
2
so that an = −2an−2 /(r + n)(2r + 2n − 1) for n ≥ 2. Hence 0 = a1 = a3 = · · · a2n+1 for n ≥ 0 and

2 2 22
a2 = − a0 , a4 = − a2 = a0 .
(r + 2)(2r + 3) (r + 4)(2r + 7) (r + 2)(r + 4)(2r + 3)(2r + 7)
It follows by induction that
2n
a2n = (−1)2n a0 .
(r + 2)(r + 4) · · · (r + 2n)(2r + 3)(2r + 4) · · · (2r + 2n − 1)

Setting, r = 1/2, 0, a0 = 1, we get

∞ ∞
√ X x2n X x2n
y1 = x , y2 = .
n=0
(5 · 9 · · · (4n + 1))n! n=0
(3 · 7 · · · · (4n − 1))n!

The infinite series have an infinite radius of convergence since x = 0 is the only singular point of the
DE.
Example 2. The DE xy 00 + y 0 + y = 0 has a regular singular point at x = 0 with xp(x) = 1,
x2 q(x) = x. The indicial equation is

r(r − 1) + r = r2 = 0.

This equation has only one root x = 0. The recursion equation is

(n + r)2 an = −an−1 , n ≥ 1.

The solution with a0 = 1 is

1
an (r) = (−1)n .
(r + 1)2 (r + 2)2 · · · (r + n)2
setting r = 0 gives the solution
∞
X xn
y1 = (−1)n .
n=0
(n!)2
d
£ ¤
Taking the derivative of an (r) with respect to r we get, using a0n (r) = an (r) dr ln an (r) (logarithmic
differentiation),we get µ ¶
0 2 2 2
an (r) = + + ··· + an (r)
r+1 r+2 r+n

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so that
1 1 1
+ + ··· +
a0n (0) = 2(−1)n 1 2 n
.
(n!)2
Therefore a second linearly independent solution is
∞
X 1 1 1
+ + ··· +
y2 = y1 ln(x) + 2 (−1)n 1 2 n
xn .
n=1
(n!)2

The above series converge for all x. Any bounded solution of the given DE must be a scalar multiple
of y1 .