Riccati equation

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In mathematics, a Riccati equation is any ordinary differential equation that has the form

where and (q₀(x) = 0 is a Bernoulli equation and q₂(x) = 0 is a first order linear ordinary differential equation). It is named after Count Jacopo Francesco Riccati (1676-1754).

Contents 1 Reduction to a second order linear equation 2 Application to the Schwarzian equation 3 Obtaining solutions by quadrature 4 See also 5 External links 6 References

[edit] Reduction to a second order linear equation

The non-linear Riccati equation can always be reduced to a second order linear ordinary differential equation (ODE) (Ince 1956, pp. 23–25). If

then, wherever q₂ is non-zero, v = yq₂ satisfies a Riccati equation of the form

where S = q₂q₀ and , because

Substituting v = − u' / u, it follows that u satisfies the linear 2nd order ODE

since

so that

and hence

A solution of this equation will lead to a solution y = − u' / (q₂u) of the original Riccati equation.

[edit] Application to the Schwarzian equation

An important application of the Riccati equation is to the 3rd order Schwarzian differential equation

S(w): = (w'' / w')' − (w'' / w')² / 2 = f

which occurs in the theory of conformal mapping and univalent functions. In this case the ODEs are in the complex domain and differentiation is with respect to a complex variable. (The Schwarzian derivative S(w) has the remarkable property that it is invariant under Möbius transformations, i.e. S((aw + b) / (cw + d)) = S(w) whenever ad − bc is non-zero.) The function y = w'' / w' satisfies the Riccati equation

y' = y² / 2 + f.

By the above y = − 2u' / u where u is a solution of the linear ODE

u'' + (1 / 2)fu = 0.

Since w'' / w' = − 2u' / u, integration gives w' = C / u² for some constant C. On the other hand any other independent solution U of the linear ODE has constant non-zero Wronskian U'u − Uu' which can be taken to be C after scaling. Thus

w' = (U'u − Uu') / u² = (U / u)'

so that the Schwarzian equation has solution w = U / u.

[edit] Obtaining solutions by quadrature

The correspondence between Riccati equations and second-order linear ODEs has other consequences. For example, if one solution of a 2nd order ODE is known, then it is known that another solution can be obtained by quadrature, i.e., a simple integration. The same holds true for the Riccati equation. In fact, if one particular solution y₁ can be found, the general solution is obtained as

y = y₁ + u

Substituting

y₁ + u

in the Riccati equation yields

and since

or

which is a Bernoulli equation. The substitution that is needed to solve this Bernoulli equation is

Substituting

directly into the Riccati equation yields the linear equation

A set of solutions to the Riccati equation is then given by

where z is the general solution to the aforementioned linear equation.

[edit] See also

• Linear-quadratic regulator
• Algebraic Riccati equation

[edit] External links

• Riccati Equation at EqWorld: The World of Mathematical Equations.
• Riccati Differential Equation at Mathworld
• Formal solution of Riccati equation

[edit] References

• Hille, Einar (1997) [1976], Ordinary Differential Equations in the Complex Domain, New York: Dover Publications, ISBN 0-486-69620-0 
• Ince, E. L. (1956) [1926], Ordinary Differential Equations, New York: Dover Publications 
• Nehari, Zeev (1975) [1952], Conformal Mapping, New York: Dover Publications, ISBN 0-486-61137-X 
• Polyanin, Andrei D.; Zaitsev, Valentin F. (2003), Handbook of Exact Solutions for Ordinary Differential Equations (2nd ed.), Boca Raton, Fla.: Chapman & Hall/CRC, ISBN 1-58488-297-2