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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 its derivatives of various orders. Differential equations play a prominent role in engineering, physics, economics, and other disciplines.
Differential equations arise in many areas of science and technology, specifically whenever a deterministic relation involving some continuously varying quantities (modeled by functions) and their rates of change in space and/or time (expressed as derivatives) is known or postulated. This is illustrated in classical mechanics, where the motion of a body is described by its position and velocity as the time value varies. Newton's laws allow one (given the position, velocity, acceleration and various forces acting on the body) to express these variables dynamically 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 modelling 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.
Differential equations are mathematically studied from several different perspectives, mostly concerned with their solutions —the set of functions that satisfy the equation. Only the simplest differential equations admit solutions given by explicit formulas; however, some 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.
The study of differential equations is a wide field in pure and applied mathematics, physics, meteorology, 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 modelling 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.
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.
The theory of differential equations is well developed and the methods used to study them vary significantly with the type of the equation.
Both ordinary and partial differential equations are broadly classified as linear and nonlinear.
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).
In the first group of examples, let u be an unknown function of x, and c and ω are known constants.
In the next group of examples, the unknown function u depends on two variables x and t or x and y.
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.
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 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 turned 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.
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