Abel's identity

"Abel's formula" redirects here. For the formula on difference operators, see Summation by parts.

In mathematics, Abel's identity (also called Abel's differential equation identity) is an equation that expresses the Wronskian of two solutions of a homogeneous second-order linear ordinary differential equation in terms of a coefficient of the original differential equation. The relation can be generalised to nth-order linear ordinary differential equations. The identity is named after the Norwegian mathematician Niels Henrik Abel.

Since Abel's identity relates the different linearly independent solutions of the differential equation, it can be used to find one solution from the other. It provides useful identities relating the solutions, and is also useful as a part of other techniques such as the method of variation of parameters. It is especially useful for equations such as Bessel's equation where the solutions do not have a simple analytical form, because in such cases the Wronskian is difficult to compute directly.

A generalisation to first-order systems of homogeneous linear differential equations is given by Liouville's formula.

Statement

Consider a homogeneous linear second-order ordinary differential equation

y'' + p(x)y' + q(x)\,y = 0

on an interval I of the real line with real- or complex-valued continuous functions p and q. Abel's identity states that the Wronskian W(y₁,y₂) of two real- or complex-valued solutions y₁ and y₂ of this differential equation, that is the function defined by the determinant

W(y_1,y_2)(x) =\begin{vmatrix}y_1(x)&y_2(x)\\y'_1(x)&y'_2(x)\end{vmatrix} =y_1(x)\,y'_2(x) - y'_1(x)\,y_2(x),\qquad x\in I,

satisfies the relation

W(y_1,y_2)(x)=W(y_1,y_2)(x_0) \exp\biggl(-\int_{x_0}^x p(\xi) \,\textrm{d}\xi\biggr),\qquad x\in I,

for every point x₀ in I.

Remarks

In particular, the Wronskian W(y₁,y₂) is either always the zero function or always different from zero with the same sign at every point x in I. In the latter case, the two solutions y₁ and y₂ are linearly independent (see that article about the Wronskian for a proof).
It is not necessary to assume that the second derivatives of the solutions y₁ and y₂ are continuous.
Abel's theorem is particularly useful if p(x)=0, because it implies that W=const.

Proof

Differentiating the Wronskian using the product rule gives (writing W for W(y₁,y₂) and omitting the argument x for brevity)

\begin{align} W' &= y_1' y_2' + y_1 y_2'' - y_1'' y_2 - y_1' y_2' \\ & = y_1 y_2'' - y_1'' y_2. \end{align}

Solving for $y''$ in the original differential equation yields

y'' = -(py'+qy). \,

Substituting this result into the derivative of the Wronskian function to replace the second derivatives of y₁ and y₂ gives

\begin{align} W'&= -y_1(py_2'+qy_2)+(py_1'+qy_1)y_2 \\ &= -p(y_1y_2'-y_1'y_2)\\ &= -pW. \end{align}

This is a first-order linear differential equation, and it remains to show that Abel's identity gives the unique solution, which attains the value W(x₀) at x₀. Since the function p is continuous on I, it is bounded on every closed and bounded subinterval of I and therefore integrable, hence

V(x)=W(x) \exp\left(\int_{x_0}^x p(\xi) \,\textrm{d}\xi\right), \qquad x\in I,

is a well-defined function. Differentiating both sides, using the product rule, the chain rule, the derivative of the exponential function and the fundamental theorem of calculus, one obtains

V'(x)=\bigl(W'(x)+W(x)p(x)\bigr)\exp\biggl(\int_{x_0}^x p(\xi) \,\textrm{d}\xi\biggr)=0,\qquad x\in I,

due to the differential equation for W. Therefore, V has to be constant on I, because otherwise we would obtain a contradiction to the mean value theorem (applied separately to the real and imaginary part in the complex-valued case). Since V(x₀) = W(x₀), Abel's identity follows by solving the definition of V for W(x).

Generalisation

Consider a homogeneous linear nth-order (n ≥ 1) ordinary differential equation

y^{(n)} + p_{n-1}(x)\,y^{(n-1)} + \cdots + p_1(x)\,y' + p_0(x)\,y = 0,

on an interval I of the real line with a real- or complex-valued continuous function p_n−1. The generalisation of Abel's identity states that the Wronskian W(y₁,…,y_n) of n real- or complex-valued solutions y₁,…,y_n of this nth-order differential equation, that is the function defined by the determinant

W(y_1,\ldots,y_n)(x) =\begin{vmatrix} y_1(x) & y_2(x) & \cdots & y_n(x)\\ y'_1(x) & y'_2(x)& \cdots & y'_n(x)\\ \vdots & \vdots & \ddots & \vdots\\ y_1^{(n-1)}(x) & y_2^{(n-1)}(x) & \cdots & y_n^{(n-1)}(x) \end{vmatrix},\qquad x\in I,

satisfies the relation

W(y_1,\ldots,y_n)(x)=W(y_1,\ldots,y_n)(x_0) \exp\biggl(-\int_{x_0}^x p_{n-1}(\xi) \,\textrm{d}\xi\biggr),\qquad x\in I,

for every point x₀ in I.

Direct proof

For brevity, we write W for W(y₁,…,y_n) and omit the argument x. It suffices to show that the Wronskian solves the first-order linear differential equation

W'=-p_{n-1}\,W,

because the remaining part of the proof then coincides with the one for the case n = 2.

In the case n = 1 we have W = y₁ and the differential equation for W coincides with the one for y₁. Therefore, assume n ≥ 2 in the following.

The derivative of the Wronskian W is the derivative of the defining determinant. It follows from the Leibniz formula for determinants that this derivative can be calculated by differentiating every row separately, hence

\begin{align}W' & = \begin{vmatrix} y'_1 & y'_2 & \cdots & y'_n\\ y'_1 & y'_2 & \cdots & y'_n\\ y''_1 & y''_2 & \cdots & y''_n\\ y'''_1 & y'''_2 & \cdots & y'''_n\\ \vdots & \vdots & \ddots & \vdots\\ y_1^{(n-1)} & y_2^{(n-1)} & \cdots & y_n^{(n-1)} \end{vmatrix} + \begin{vmatrix} y_1 & y_2 & \cdots & y_n\\ y''_1 & y''_2 & \cdots & y''_n\\ y''_1 & y''_2 & \cdots & y''_n\\ y'''_1 & y'''_2 & \cdots & y'''_n\\ \vdots & \vdots & \ddots & \vdots\\ y_1^{(n-1)} & y_2^{(n-1)} & \cdots & y_n^{(n-1)} \end{vmatrix}\\ &\qquad+\ \cdots\ + \begin{vmatrix} y_1 & y_2 & \cdots & y_n\\ y'_1 & y'_2 & \cdots & y'_n\\ \vdots & \vdots & \ddots & \vdots\\ y_1^{(n-3)} & y_2^{(n-3)} & \cdots & y_n^{(n-3)}\\ y_1^{(n-2)} & y_2^{(n-2)} & \cdots & y_n^{(n-2)}\\ y_1^{(n)} & y_2^{(n)} & \cdots & y_n^{(n)} \end{vmatrix}.\end{align}

However, note that every determinant from the expansion contains a pair of identical rows, except the last one. Since determinants with linearly dependent rows are equal to 0, one is only left with the last one:

W'= \begin{vmatrix} y_1 & y_2 & \cdots & y_n\\ y'_1 & y'_2 & \cdots & y'_n\\ \vdots & \vdots & \ddots & \vdots\\ y_1^{(n-2)} & y_2^{(n-2)} & \cdots & y_n^{(n-2)}\\ y_1^{(n)} & y_2^{(n)} & \cdots & y_n^{(n)} \end{vmatrix}.

Since every y_i solves the ordinary differential equation, we have

y_i^{(n)} + p_{n-2}\,y_i^{(n-2)} + \cdots + p_1\,y'_i + p_0\,y_i = -p_{n-1}\,y_i^{(n-1)}

for every i ∈ {1,...,n}. Hence, adding to the last row of the above determinant p₀ times its first row, p₁ times its second row, and so on until p_n−2 times its next to last row, the value of the determinant for the derivative of W is unchanged and we get

W'= \begin{vmatrix} y_1 & y_2 & \cdots & y_n \\ y'_1 & y'_2 & \cdots & y'_n \\ \vdots & \vdots & \ddots & \vdots \\ y_1^{(n-2)} & y_2^{(n-2)} & \cdots & y_n^{(n-2)} \\ -p_{n-1}\,y_1^{(n-1)} & -p_{n-1}\,y_2^{(n-1)} & \cdots & -p_{n-1}\,y_n^{(n-1)} \end{vmatrix} =-p_{n-1}W.

Proof using Liouville's formula

The solutions y₁,…,y_n form the square-matrix valued solution

\Phi(x)=\begin{pmatrix} y_1(x) & y_2(x) & \cdots & y_n(x)\\ y'_1(x) & y'_2(x)& \cdots & y'_n(x)\\ \vdots & \vdots & \ddots & \vdots\\ y_1^{(n-2)}(x) & y_2^{(n-2)}(x) & \cdots & y_n^{(n-2)}(x)\\ y_1^{(n-1)}(x) & y_2^{(n-1)}(x) & \cdots & y_n^{(n-1)}(x) \end{pmatrix},\qquad x\in I,

of the n-dimensional first-order system of homogeneous linear differential equations

\begin{pmatrix}y'\\y''\\\vdots\\y^{(n-1)}\\y^{(n)}\end{pmatrix} =\begin{pmatrix}0&1&0&\cdots&0\\ 0&0&1&\cdots&0\\ \vdots&\vdots&\vdots&\ddots&\vdots\\ 0&0&0&\cdots&1\\ -p_0(x)&-p_1(x)&-p_2(x)&\cdots&-p_{n-1}(x)\end{pmatrix} \begin{pmatrix}y\\y'\\\vdots\\y^{(n-2)}\\y^{(n-1)}\end{pmatrix}.

The trace of this matrix is −p_n−1(x), hence Abel's identity follows directly from Liouville's formula.

References

Abel, N. H., "Précis d'une théorie des fonctions elliptiques" J. Reine Angew. Math, 4 (1829) pp. 309–348.
Boyce, W. E. and DiPrima, R. C. (1986). Elementary Differential Equations and Boundary Value Problems, 4th ed. New York: Wiley.
Teschl, Gerald (2012). Ordinary Differential Equations and Dynamical Systems. Providence: American Mathematical Society. ISBN 978-0-8218-8328-0.
Weisstein, Eric W. "Abel's Differential Equation Identity". MathWorld.

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