Integro-differential equation

An equation containing the unknown function under the sign of both differential and integral operations. Integral equations and differential equations are also integro-differential equations.

Linear integro-differential equations.

Let be a given function of one variable, let  be differential expressions with sufficiently smooth coefficients and on , and let be a known function that is sufficiently smooth on the square . An equation of the form (1)

is called a linear integro-differential equation; is a parameter. If in (1) the function for , then (1) is called an integro-differential equation with variable integration limits; it can be written in the form (2)

For (1) and (2) one may pose the Cauchy problem (find the solution satisfying , , where are given numbers, is the order of , and ), as well as various boundary value problems (e.g., the problem of periodic solutions). In a number of cases (cf. , ), problems for (1) and (2) can be simplified, or even reduced, to, respectively, Fredholm integral equations of the second kind or Volterra equations (cf. also Fredholm equation; Volterra equation). At the same time, a number of specific phenomena arise for integro-differential equations that are not characteristic for differential or integral equations.

The simplest non-linear integro-differential equation has the form The contracting-mapping principle, the Schauder method, as well as other methods of non-linear functional analysis, are applied in investigations of this equation.

Questions of stability of solutions, eigen-function expansions, asymptotic expansions in a small parameter, etc., can be studied for integro-differential equations. Partial integro-differential and integro-differential equations with multiple integrals are often encountered in practice. The Boltzmann and Kolmogorov–Feller equations are examples of these.