Picard-Lindelof Theorem

Martin Nemer
April 22, 2015

Definition 1 An operator F : X → Y is a mapping that maps a function in

the space of functions X to another function in the space of functions Y ,

F [g] = h. (1)

Definition 2 Let F be an operator which maps a function in the space X to

another function in X. Then F is a strict contraction if there exists a k, k ∈ R,
with 0 < k < 1 s.t.
dX (F [g], F [h]) ≤ k dX (g, h), (2)
where dX is a suitable metric on X.

Lemma 1 Let yi ∈ X, i ∈ N, with yi+1 := F [yi ], for some known y0 ∈ X. If

F is a strict contraction map then dX (yi+1 , yi ) ≤ k i dX (y1 , y0 ).

Proof. By induction. Consider a sequence of functions {yi }∞

i=0 , defined by

yi+1 = F [yi ], (3)

where F is a strict contracting. The base case is i = 0, 1,

y1 = F [y0 ], y2 = F [y1 ], (4)

which with equation (2) implies,

dX (y2 , y1 ) ≤ k dX (y1 , y0 ). (5)

Next make the inductive hypothesis

dX (yi+1 , yi ) ≤ k i dX (y1 , y0 ). (6)

In the case of i + 2, using the inductive hypothesis and the fact that F obeys
equation 2, we have

dX (yi+2 , yi+1 ) ≤ k dX (yi+1 , yi ) ≤ k i+1 dX (y1 , y0 ). ∴ (7)

Lemma 2 The sequence {yi }∞ i=0 with yi+1 = F [yi ], y0 - given, F - a strict
contraction, is Cauchy in (X, dX ).

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Proof. Let m, n ∈ N with m > n. Then it will be shown by induction that
m
X
dX (ym , yn ) ≤ dX (yi , yi−1 ), (8)
i=n+1

The base case m = n + 1 follows immediately from equation (8). Assume that
equation (8) holds for m = n+a, a ≥ 1, a ∈ N. Next for the case of m = n+a+1
using the triangle inequality and then inserting the inductive hypothesis,

dX (yn+a+1 , yn ) ≤ dX (yn+a , yn ) + dX (yn+a+1 , yn+a )

n+a
X
≤ dX (yi , yi−1 ) + dX (yn+a+1 , yn+a )
i=n+1
n+a+1
X
= dX (yi , yi−1 ). ∴ (9)
i=n+1

Inserting equation (6) into equation (8) yields.

m
X m
X
dX (ym , yn ) ≤ dX (yi , yi−1 ) ≤ dX (y1 , y0 ) k i−1
i=n+1 i=n+1
m−n−1
X ∞
X
≤ dX (y1 , y0 ) k n k i < dX (y1 , y0 ) k n ki
i=0 i=0
kn
< dX (y1 , y0 ) . (10)
1−k
Then ∀  > 0,  ∈ R, we can find an N, N ∈ N such that ∀m, n ≥ N ,
dX (ym , yn ) < , namely that N such that

kN
dX (y1 , y0 ) < , (11)
1−k
which is possible ∀ > 0 since limN →∞ k N = 0. Thus k m < k N for 0 < k < 1
and m > N .
Theorem 1 If an operator F : X → X is a strict contraction with respect to
the metric dX and (X, dx ) is a complete metric space of functions, then F has
a unique fixed point y = F [y] with y ∈ X.
Proof. Given that (X, dX ) is complete and {yi }∞
i=0 is Cauchy, it follows that
there exists a unique limit in (X, dX ),

y = lim yi (12)
i→∞

or equivalently
y = lim F [yi ]. (13)
i→∞

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Definition 3 An ordinary differential equation is an equation of the form

y 0 (t) = f (t, y(t)), y(a) = c, (14)

where f : R2 → R and y(a) are known, and the solution to (14), y : R → R,

is a continuous-differentiable function for t ∈ [a, b], with [a, b] ⊆ R, in order for
equation (14) to be well posed.
Lemma 3 Let y be the solution to the differential equation (14). Then he
differential equation (14) is equivalent to the integral equation,
Z t
y(t) = y(a) + f (s, y(s)) ds. (15)
a

if f : S → R is continuous with S ⊆ R2 , S := [a, b] × [d, g], and (t, y(t)) ∈ S for

t ∈ [a, b].
Proof. Given that f : S → R is continuous, and (t, y) : S → R is continuous, it
follows that the composition f ◦ (t, y) : [a, b] → R is continuous. Thus from the
FFTC, it follows that equation (15) is a solution to (14).

Lemma 4 If f : S → R is continuous, then the operator F defined by

Z t
F [y] = y(a) + f (s, y(s)) ds, (16)
a

maps any continuous-differentiable function y : [a, b] → [d, g] to another continuous-

differentiable function F[y], i.e. F : C 1 ([a, b], [d, g]) → C 1 ([a, b], R).
Proof. Let y : [a, b] → [d, g] be a continuous function. Let h : [a, b] → S be
h(t) := (t, y(t)), which is also continuous. Since f : S → R is continuous, the
composition f ◦ h is also continuous. Since f ◦ h is continuous it is Riemann
integrable and by the FFTC and the fact that sums of continuous-differentiable
functions are continuous and differentiable, it follows that F [y] : [a, b] → R is
continuous and differentiable.
Lemma 5 For any continuous y : [a, b] → [d, g], we can find a restriction y|[a,b0 ]
with b0 ≤ b s.t. the F [y|[a,b0 ] ] : [a, b0 ] → [d, g].

Proof. Given that f : S → R is continuous, there exists an M ∈ R with

0 ≤ M < ∞ s.t. |f (t, x)| ≤ M ∀ (t, x) ∈ S. Then
Z t 
 
|F [y](t) − y(a)| =  f (s, y(s)) ds (17)
a
Z t
≤ |f (s, y(s))| ds ≤ M |t − a|
a
⇒ y(a) − M |t − a| ≤ F [y](t) ≤ y(a) + M |t − a|,
∀t ∈ [a, b]. (18)

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Let b0 be chosen s.t. the following inclusion is satisfied,

[y(a) − M |b0 − a|, y(a) + M |b0 − a|] ⊆ [d, g], (19)

assuming y(a) ∈ int([d, g]). ∴

Lemma 6 Let y0 (t) = y(a) be known (i.e. a boundary condition) and yi+1 =
F [yi ], with F [y] given by equation (16). If f : S → R satisfies the Lipschitz
condition
|f (t, x2 ) − f (t, x1 )| ≤ k |x2 − x1 |, (20)
where k ∈ R, 0 ≤ k < ∞, then
M k i (t − a)i+1
|yi+1 (t) − yi (t)| ≤ . (21)
(i + 1)!
Proof. By Induction. Consider the base case i = 0, then from Lemma 5 above
we have
|y1 (t) − y0 (t)| ≤ M (t − a), for a < t. (22)
Next make the inductive hypothesis that equation (21) holds and consider the
case of i + 1,
Z t 
 
|yi+2 (t) − yi+1 (t)| =  (f (s, yi+1 (s)) − f (s, yi (t)) ds
a
Z t
≤ |f (s, yi+1 (s)) − f (s, yi (t))| ds
a
Z t
≤ k |yi+1 (s) − yi (t)| ds
a
t
M k i (t − a)i+1
Z
≤ k ds
a (i + 1)!
M k i+1 (t − a)i+2
= , (23)
(i + 2)!
where we have made use of the inductive hypothesis. ∴
Theorem 2 The mapping yi+1 = F [yi ], y0 (t) = y(a), with F [y] given by
equation (16), is a strict contraction on the restriction t ∈ [a, b00 ] for some
a < b00 ≤ b0 ≤ b on a complete metric space of functions and therefore has a
unique solution y = F [y].
Proof. From equation (23) for t ∈ [a, b00 ] with b00 chosen s.t. b00 ≤ b0 where b0
satisfies equation (19), and b00 satisfies

(b00 − a)k < 1, (24)

the mapping F [y] is a strict contraction under the uniform metric

dX (y, h) = sup |y(t) − h(t)|. (25)

t∈[a,b00 ]

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Given that y0 is continuous and differentiable it follows from Lemma 4 that
yi is continuous and differentiable. By Theorem 14.4.5 of Tao (Analysis II,
2009), the space of continuous functions with the uniform metric (25) form a
complete metric space. Therefore by Theorem 1, the initial value problem given
in equation (14) has a unique solution on t ∈ [a, b00 ].
Other Info. Further question might be to prove that one can repeat the Picard
procedure and obtain solutions arbitrarily close to t = b, starting from y(a), with
the initial condition for each additional Picard solution equal to y(b00 ).