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OrdinaryDifferentialEquations LMU
OrdinaryDifferentialEquations LMU
OrdinaryDifferentialEquations LMU
Peter Philip∗
Lecture Notes
Originally Created for the Class of Spring Semester 2012 at LMU Munich,
Revised and Extended for Several Subsequent Classes
Contents
1 Basic Notions 4
1.1 Types and First Examples . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.2 Equivalent Integral Equation . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.3 Patching and Time Reversion . . . . . . . . . . . . . . . . . . . . . . . . 10
3 General Theory 24
3.1 Equivalence Between Higher-Order ODE and Systems of First-Order ODE 24
3.2 Existence of Solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
3.3 Uniqueness of Solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
3.4 Extension of Solutions, Maximal Solutions . . . . . . . . . . . . . . . . . 40
3.5 Continuity in Initial Conditions . . . . . . . . . . . . . . . . . . . . . . . 50
∗
E-Mail: philip@math.lmu.de
CONTENTS 2
4 Linear ODE 57
4.1 Definition, Setting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
4.2 Gronwall’s Inequality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
4.3 Existence, Uniqueness, Vector Space of Solutions . . . . . . . . . . . . . . 61
4.4 Fundamental Matrix Solutions and Variation of Constants . . . . . . . . 63
4.5 Higher-Order, Wronskian . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
4.6 Constant Coefficients . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
4.6.1 Linear ODE of Higher Order . . . . . . . . . . . . . . . . . . . . . 68
4.6.2 Systems of First-Order Linear ODE . . . . . . . . . . . . . . . . . 75
5 Stability 84
5.1 Qualitative Theory, Phase Portraits . . . . . . . . . . . . . . . . . . . . . 84
5.2 Stability at Fixed Points . . . . . . . . . . . . . . . . . . . . . . . . . . . 94
5.3 Constant Coefficients . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101
5.4 Linearization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106
5.5 Limit Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111
A Differentiability 118
F Paths in Rn 130
References 149
1 BASIC NOTIONS 4
1 Basic Notions
y ! = y, (1.1a)
y (5) = (y ! )2 + π x, (1.1b)
(y ! )2 = c, (1.1c)
∂t x = e2πit x2 , (1.1d)
! "
!! −1
x = −3x + . (1.1e)
1
One distinguishes between ordinary differential equations (ODE) and partial differential
equations (PDE). While ODE contain only derivatives with respect to one variable, PDE
can contain (partial) derivatives with respect to several different variables. In general,
PDE are much harder to solve than ODE. The equations in (1.1) all are ODE, and only
ODE are the subject of this class. We will see precise definitions shortly, but we can
already use the examples in (1.1) to get some first exposure to important ODE-related
terms and to discuss related issues.
As in (1.1), the notation for the unknown function varies in the literature, where the
two variants presented in (1.1) are probably the most common ones: In the first three
equations of (1.1), the unknown function is denoted y, usually assumed to depend on
a variable denoted x, i.e. x #→ y(x). In the last two equations of (1.1), the unknown
function is denoted x, usually assumed to depend on a variable denoted t, i.e. t #→ x(t).
So one has to use some care due to the different roles of the symbol x. The notation
t #→ x(t) is typically favored in situations arising from physics applications, where t
represents time. In this class, we will mostly use the notation x #→ y(x).
There is another, in a way a slightly more serious, notational issue that one commonly
encounters when dealing with ODE: Strictly speaking, the notation in (1.1b) and (1.1d)
is not entirely correct, as functions and function arguments are not properly distin-
guished. Correctly written, (1.1b) and (1.1d) read
$2
y (5) (x) = y ! (x) + π x,
#
∀ (1.2a)
x∈D(y)
$2
(∂t x)(t) = e2πit x(t) ,
#
∀ (1.2b)
t∈D(x)
where D(y) and D(x) denote the respective domains of the functions y and x. However,
one might also notice that the notation in (1.2) is more cumbersome and, perhaps,
harder to read. In any case, the type of slight abuse of notation present in (1.1b) and
(1.1d) is so common in the literature that one will have to live with it.
1 BASIC NOTIONS 5
One speaks of first-order ODE if the equations involve only first derivatives such as in
(1.1a), (1.1c), and (1.1d). Otherwise, one speaks of higher-order ODE, where the precise
order is given by the highest derivative occurring in the equation, such that (1.1b) is
an ODE of fifth order and (1.1e) is an ODE of second order. We will see later in Th.
3.1 that ODE of higher order can be equivalently formulated and solved as systems of
ODE of first order, where systems of ODE obviously consist of several ODE to be solved
simultaneously. Such a system of ODE can, equivalently, be interpreted as a single ODE
in higher dimensions: For instance, (1.1e) can be seen as a single two-dimensional ODE
of second order or as the system
Note that condition (i) is necessary so that one can even formulate condition (ii).
Again, note that condition (i) is necessary so that one can even formulate condition
(ii). Also note that φ is a solution to (1.6) if, and only if, φ is a solution to the
equivalent implicit ODE y (k) − f (x, y, y ! , . . . , y (k−1) ) = 0.
(a) An initial value problem for (1.4) (resp. for (1.6)) consists of the ODE (1.4) (resp.
of the ODE (1.6)) plus the initial condition
(b) A boundary value problem for (1.4) (resp. for (1.6)) consists of the ODE (1.4) (resp.
of the ODE (1.6)) plus the boundary condition
Under suitable hypotheses, initial and boundary value problems for ODE have unique
solutions (for initial value problems, we will see some rather general results in Cor. 3.10
and Cor. 3.16 below). However, in general, they can have infinitely many solutions or
no solutions, as shown by Examples 1.4(b),(c),(e) below.
y (k) = y, (1.9a)
∀ y (j) (0) = a. (1.9b)
j=0,...,k−1
We will see later (e.g., as a consequence of Th. 4.8 combined with Th. 3.1) that φ
is the unique solution to (1.9) on R.
solving the ODE. Thus, (1.10) is an example of an initial value problem with un-
countably many different solutions, all defined on the same domain.
1 BASIC NOTIONS 8
(c) As mentioned before, the one-dimensional implicit first-order ODE (1.1c) has no
real-valued
√ solution for c < 0. For c ≥ 0, every function φ : R −→ R, φ(x) :=
a ± x c, a ∈ R, is a solution √ to (1.1c). Moreover, for c < 0, every function
φ : R −→ C, φ(x) := a ± xi −c, a ∈ C, is a C-valued solution to (1.1c). The
one-dimensional implicit first-order ODE
!
ey = 0 (1.13)
is the unique solution to the n-dimensional explicit first-order initial value problem
y ! = a, (1.15a)
y(0) = c. (1.15b)
(e) Let a, b ∈ R, a < b. We will see later in Example 4.12 that on [a, b] the 1-dimensional
explicit second-order ODE
y !! = −y (1.16)
has precisely the set of solutions
)* + ,
L= (c1 sin +c2 cos) : [a, b] −→ K : c1 , c2 ∈ K . (1.17)
for (1.16) has the unique solution φ : [0, π/2] −→ K, φ(x) := sin x (using (1.18a)
and (1.17) implies c2 = 0 and c1 = 1); the boundary value problem
for (1.16) has the infinitely many different solutions φc : [0, π] −→ K, φc (x) :=
c sin x, c ∈ K; and the boundary value problem
for (1.16) has no solution (using (1.18c) and (1.17) implies the contradictory re-
quirements c2 = 0 and c2 = −1).
1 BASIC NOTIONS 9
(f ) Consider
! ! " ! "" ! "
2 2 2 y1 z1 z2
F : R × K × K −→ K , F x, , := . (1.19a)
y2 z2 z2 − 1
y2!
! " ! "
! 0
F (x, y, y ) = = (1.19b)
y2! − 1 0
(g) Consider
y1 z1 z2 + iy3 − 2i
F : R × C3 × C3 −→ C3 , F x, y2 , z2 := z1 + y2 − x2 . (1.20a)
y3 z3 y1 − ieix
has a unique solution on R (note that, here, we do not need to provide initial
or boundary conditions to obtain uniqueness). The implicit ODE (1.20b) is an
example of a differential algebraic equation, since, read in components, only its first
two equations contain derivatives, whereas its third equation is purely algebraic.
x, φ(x) ∈ I × Kn : x ∈ I ⊆ G,
%# $ &
(1.23)
1 BASIC NOTIONS 10
is a solution to (1.21) in the sense of Def. 1.3(a) if, and only if,
1 x
# $
∀ φ(x) = y0 + f t, φ(t) dt , (1.24)
x∈I x0
i.e. if, and only if, φ is a solution to the integral equation (1.22).
proving φ satisfies (1.24). Conversely, if φ satisfies (1.24), then the validity of the
initial condition (1.21b) is
# immediate.
$ Moreover, as f and φ are continuous, so is the
integrand function t #→ f t, φ(t) of (1.24). Thus, [Phi16a, Th. 10.20(a)] applies to (the
components of) φ, proving φ! (x) = f x, φ(x) for each x ∈ I, proving φ is a solution to
# $
(1.21). !
Example 1.6. Consider the situation of Th. 1.5. In the particularly simple special
case, where f does not actually depend on y, but merely on x, the equivalence between
(1.21) and (1.22) can be directly exploited to actually solve the initial value problem:
If f : I −→ Kn , where I ⊆ R is some nontrivial interval with x0 ∈ I, then we obtain
φ : I −→ Kn to be a solution of (1.21) if, and only if,
1 x
∀ φ(x) = y0 + f (t) dt , (1.26)
x∈I x0
i.e. if, and only if, φ is the antiderivative of f that satisfies the initial condition. In
particular, in the present situation, φ as given by (1.26) is the unique solution to the
initial value problem. Of course, depending on f , it can still be difficult to carry out
the integral in (1.26).
then (
φ(x) for x ∈ I,
σ : I ∪ J −→ Kn , σ(x) := (1.28)
ψ(x) for x ∈ J,
is also a solution to (1.6).
must hold, where (1.27) guarantees that σ (j) (b) exists for each j = 0, . . . , k−1. Moreover,
σ is k times differentiable at each x ∈ I ∪ J, x -= b, and
However, at b, we also have (using the left-hand derivatives for φ and the right-hand
derivatives for ψ)
which shows σ is k times differentiable and the equality of (1.30) also holds at x = b,
completing the proof that σ is a solution. !
(a) The time-reversed version of (1.33) is the original ODE, i.e. (1.32).
(b) If −∞ ≤ a < b ≤ ∞, then φ : ]a, b[−→ Kn is a solution to (1.32) if, and only if,
one has
*#
− x, φ(−x), φ! (−x), . . . , φ(k−1) (−x) ∈ Gf
$
and
ψ (k) (x) = (−1)k f − x, φ(−x), φ! (−x), . . . , φ(k−1) (−x)
# $
where !1 x " !x
a(t) dt
φ0 : I −→ K, φ0 (x) = exp a(t) dt =e x0
. (2.2b)
x0
where Lem. A.1 of the Appendix was used as well. In particular, φ0 is continuous. Since
φ0 -= 0 as well, φ−1
0 is also continuous. Moreover, as b is continuous by hypothesis,
φ−1
0 b is continuous and, thus, Riemann integrable on [x0 , x]. Once again, [Phi16a, Th.
10.20(a)] applies, yielding φ to be differentiable with
φ! : I −→ K,
! 1 x "
! !
φ (x) = φ0 (x) c + φ0 (t) b(t) dt + φ0 (x)φ0 (x)−1 b(x)
−1
! x0 1 x "
−1
= a(x)φ0 (x) c + φ0 (t) b(t) dt + b(x) = a(x)φ(x) + b(x), (2.4)
x0
where the product rule of [Phi16a, Th. 9.7(c)] was used as well. Comparing (2.4) with
(2.1) shows φ is a solution to (2.1). The computation
verifies that φ satisfies the desired initial condition. It remains to prove uniqueness. To
this end, let ψ : I −→ K be an arbitrary differentiable function that satisfies (2.1) as
well as the initial condition ψ(x0 ) = c. We have to show ψ = φ. Since φ0 -= 0, we can
define u := ψ/φ0 and still have to verify
1 x
∀ u(x) = c + φ0 (t)−1 b(t) dt . (2.6)
x∈I x0
We obtain
Remark 2.5. The name variation of constants for Th. 2.3 can be understood from
comparing the solution (2.9) of the homogeneous linear ODE with the solution (2.2)
of the general inhomogeneous linear ODE: One obtains (2.2) 2 x from−1(2.9) by varying the
constant c, i.e. by replacing it with the function x #→ c + x0 φ0 (t) b(t) dt .
y ! = 2xy + x3 (2.10)
with initial condition y(0) = c, c ∈ C. Comparing (2.10) with Def. 2.2, we observe we
are facing an inhomogeneous linear ODE with
From Cor. 2.4, we obtain the solution φ0,c to the homogeneous version of (2.10):
!1 x "
2
φ0,c : R −→ C, φ0,c (x) = c exp a(t) dt = cex . (2.12)
0
φ : R −→ C,
! 1 x " ! 3 4x "
x2 −t2 3 x2 1 2 −t2
φ(x) = e c+ e t dt = e c + − (t + 1)e
0 2 0
! " ! "
2 1 1 2 1 x2 1 2
= ex c + − (x2 + 1)e−x = c + e − (x + 1). (2.13)
2 2 2 2
2 ELEMENTARY SOLUTION METHODS 15
y ! = f (x)g(y), (2.14)
Proof. (a): We begin by proving G has a differentiable inverse function G−1 : G(J) −→
J. According to the fundamental theorem of calculus [Phi16a, Th. 10.20(a)], G is
differentiable with G! = 1/g. Since g is continuous and nonzero, G is even C 1 . If
G! (y0 ) = 1/g(y0 ) > 0, then G is strictly increasing on J (due to the intermediate value
theorem [Phi16a, Th. 7.57]; g(y0 ) > 0, the continuity of g, and g -= 0 imply that g > 0
on J). Analogously, if G! (y0 ) = 1/g(y0 ) < 0, then G is strictly decreasing on J. In each
case, G has a differentiable inverse function on G(J) by [Phi16a, Th. 9.9].
In the next step, we verify that (2.17) does, indeed, define a solution to (2.14) and
(2.15). The assumption F (I ! ) ⊆ G(J) and the existence of G−1 as shown above provide
that φ is well-defined by (2.17). Verifying (2.15) is quite simple: φ(x0 ) = G−1 (F (x0 )) =
G−1 (0) = y0 . To see φ to be a solution of (2.14), notice that (2.17) implies F = G ◦ φ
on I ! . Thus, we can apply the chain rule to obtain the derivative of F = G ◦ φ on I ! :
φ! (x)
f (x) = F ! (x) = G! φ(x) φ! (x) = #
# $
∀! $, (2.18)
x∈I g φ(x)
We now proceed to show that each solution φ : I ! −→ R to (2.14) that satisfies (2.15)
must also satisfy (2.17). Since φ is a solution to (2.14),
φ! (x)
# $ = f (x) for each x ∈ I ! . (2.19)
g φ(x)
Using the change of variables formula of [Phi16a, Th. 10.25] in the left-hand side of
(2.20), allows one to replace φ(t) by the new integration variable u (note that each
solution φ : I ! −→ R to (2.14) is in C 1 (I ! ) since f and g are presumed continuous).
Thus, we obtain from (2.20):
φ(x) φ(x)
du du
1 1
= G φ(x) for each x ∈ I ! .
# $
F (x) = = (2.21)
φ(x0 ) g(u) y0 g(u)
Finally, we get
c
φ : R+ −→ R, φ(x) = G−1 F (x) = c e− ln x = .
# $
(2.26)
x
The uniqueness part of Th. 2.7 further tells us the above initial value problem can have
no solution different from φ.
—
The advantage of using Th. 2.7 as in the previous example, by computing the relevant
functions F , G, and G−1 , is that it is mathematically rigorous. In particular, one can be
sure one has found the unique solution to the ODE with initial condition. However, in
practice, it is often easier to use the following heuristic (not entirely rigorous) procedure.
In the end, in most cases, one can easily check by differentiation that the function found
is, indeed, a solution to the ODE with initial condition. However, one does not know
uniqueness without further investigations (general results such as Th. 3.15 below can
often help). One also has to determine on which interval the found solution is defined.
On the other hand, as one is usually interested in choosing the interval as large as
possible, the optimal choice is not always obvious when using Th. 2.7, either.
The heuristic procedure is as follows: Start with the ODE (2.14) written in the form
dy
= f (x)g(y). (2.27a)
dx
Multiply by dx and divide by g(y) (i.e. separate the variables):
dy
= f (x) dx . (2.27b)
g(y)
Integrate:
dy
1 1
= f (x) dx . (2.27c)
g(y)
Change the integration variables and supply the appropriate upper and lower limits for
the integrals (according to the initial condition):
1 y 1 x
dt
= f (t) dt . (2.27d)
y0 g(t) x0
Solve this equation for y, set φ(x) := y, check by differentiation that φ is, indeed, a
solution to the ODE, and determine the largest interval I ! such that x0 ∈ I ! and such
that φ is defined on I ! . The use of this heuristic procedure is demonstrated by the
following example:
y ! = −y 2 on I × J := R × R (2.28)
2 ELEMENTARY SOLUTION METHODS 18
with the initial condition y(x0 ) = y0 for given values x0 , y0 ∈ R. We manipulate (2.28)
according to the heuristic procedure described in (2.27) above:
dy
1 1
2 −2 −2
= −y " −y dy = dx " − y dy = dx
dx
1 y 1 x 3 4y
−2 1 1 1
" − t dt = dt " = [t]xx0 " − = x − x0
y0 x0 t y0 y y0
y0
" φ(x) = y = . (2.29)
1 + (x − x0 ) y0
y02 $2
φ! (x) = − #
#
$2 = − φ(x) , (2.30)
1 + (x − x0 ) y0
i.e. Tx is invertible and both Tx and Tx−1 are differentiable. Then the first-order initial
value problems
y ! = f (x, y), (2.33a)
y(x0 ) = y0 , (2.33b)
and
* +−1 #
!
DTx−1 (y) f x, Tx−1 (y) + ∂x T x, Tx−1 (y) ,
$ # $
y = (2.34a)
Proof. We start by noting that the assumption of G being open clearly implies each Gx ,
x ∈ R, to be open as well, which, in turn, implies Tx (Gx ) to be open, even though this
is not as obvious1 . Next, for each x ∈ R such that Gx -= ∅, we can apply the chain rule
[Phi16b, Th. 4.31] to Tx ◦ Tx−1 = Id to obtain
DTx Tx−1 (y) ◦ DTx−1 (y) = Id
# $
∀ (2.36)
y∈Tx (Gx )
(2.34a) ! (2.39)
= µ (x) = DTx (φ(x)) φ! (x) + ∂x T x, φ(x) .
# $
(2.41)
Using (2.38), one can subtract the second summand from (2.41). Multiplying the result
by DTx−1 (µ(x)) from the left and taking into account (2.37) then provides
$ (2.38) #
φ! (x) = f x, Tx−1 (µ(x)) = f x, φ(x) ,
# $
∀ (2.42)
x∈I
As a first application of Th. 2.10, we prove the following theorem about so-called
Bernoulli differential equations:
where α ∈ R \ {0, 1}, the functions a, b : I −→ R are continuous and defined on an open
interval I ⊆ R, and f : I × R+ −→ R. For (2.43a), we add the initial condition
and, furthermore, we also consider the corresponding linear initial value problem
y ! = (1 − α) a(x) y + b(x) ,
# $
(2.44a)
1−α
y(x0 ) = y0 , (2.44b)
Proof. (b) is immediate from Th. 2.3, since ψ(x0 ) = y0 > 0 and ψ is continuous.
To prove (a), we apply Th. 2.10 with the change of variables
α
* 1 # 1 $α +
= (1 − α) y − 1−α a(x) y 1−α + b(x) y 1−α +0
# $
= (1 − α) a(x) y + b(x) . (2.48)
Thus, if I ! ⊆ I is such that x0 ∈ I ! and ψ > 0 on I ! , then Th. 2.10 says φ defined
by (2.45) must be a solution to (2.43) (note that the differentiability of ψ implies the
differentiability of φ). On the other hand, if λ : I ! −→ R+ is an arbitrary solution to
(2.43), then Th. 2.10 states µ := S ◦ λ = λ1−α to be a solution to (2.44). The uniqueness
part of Th. 2.3 then yields λ1−α = ψ#I ! = φ1−α , i.e. λ = φ. !
T : G −→ C, T (x, y) := ix − y. (2.50)
is a solution to (2.49) (that φ is a solution to (2.49) can now also easily be checked
directly). It will become clear from Th. 3.15 below that φ and ψ are also the unique
solutions to their respective initial value problems.
—
Finding a suitable change of variables to transform a given ODE such that one is in a
position to solve the transformed ODE is an art, i.e. it can be very difficult to spot a
useful transformation, and it takes a lot of practise and experience.
Remark 2.13. Somewhat analogous to the situation described in the paragraph before
(2.27) regarding the separation of variables technique, in practise, one frequently uses a
heuristic procedure to apply a change of variables, rather than appealing to the rigorous
Th. 2.10. For the initial value problem y ! = f (x, y), y(x0 ) = y0 , this heuristic procedure
proceeds as follows:
(1) One introduces the new variable z := T (x, y) and then computes z ! , i.e. the deriva-
tive of the function x #→ z(x) = T (x, y(x)).
(2) In the result of (1), one eliminates all occurrences of the variable y by first replacing
y ! by f (x, y) and then replacing y by Tx−1 (z), where Tx (y) := T (x, y) = z (i.e. one has
to solve the equation z = T (x, y) for y). One thereby obtains the transformed initial
value problem problem z ! = g(x, z), z(x0 ) = T (x0 , y0 ), with a suitable function g.
2 ELEMENTARY SOLUTION METHODS 23
(3) One solves the transformed initial value problem to obtain a solution µ, and then
−1
# $
x #→ φ(x) := Tx µ(x) yields a candidate for a solution to the original initial value
problem.
(4) One checks that φ is, indeed, a solution to y ! = f (x, y), y(x0 ) = y0 .
+ y y2
f : R × R −→ R, f (x, y) := 1 + + 2 , (2.57)
x x
and the initial value problem
We introduce the change of variables z := T (x, y) := y/x and proceed according to the
steps of Rem. 2.13. According to (1), we compute, using the quotient rule,
y ! (x) x − y(x)
z ! (x) = . (2.59)
x2
According to (2), we replace y ! (x) by f (x, y) and then replace y by Tx−1 (z) = xz to
obtain the transformed initial value problem
y y2 1 + z2
! "
! 1 y 1 z
z = 1 + + 2 − 2 = (1 + z + z 2 ) − = , z(1) = 0/1 = 0. (2.60)
x x x x x x x
According to (3), we next solve (2.60), e.g. by seperation of variables, to obtain the
solution
5 π π6
µ : e− 2 , e 2 −→ R, µ(x) := tan ln x, (2.61)
of (2.60), and
5 π π6
φ : e− 2 , e 2 −→ R, φ(x) := x µ(x) = x tan ln x, (2.62)
as a candidate for a solution to (2.58). Finally, according to (4), we check that φ is,
indeed, a solution to (2.58): Due to φ(1) = 1 · tan 0 = 0, φ satisfies the initial condition,
and due to
1
φ! (x) = tan ln x + x
(1 + tan2 ln x) = 1 + tan ln x + tan2 ln x
x
φ(x) φ2 (x)
=1+ + , (2.63)
x x2
φ satisfies the ODE.
3 GENERAL THEORY 24
3 General Theory
(note that the unknown function y in (3.1) is Kn -valued, whereas the unknown function
y in (3.2) is Kkn -valued). Then both initial value problems are equivalent in the following
sense:
is a solution to (3.2).
G : V −→ Kkn ,
V := (x, y, z) ∈ R × Kkn × Kkn : (x, y, zk ) ∈ U ⊆ R × Kkn × Kkn ,
% &
G1 (x, y, z) := z1 − y2 ,
G2 (x, y, z) := z2 − y3 ,
..
.
Gk−1 (x, y, z) := zk−1 − yk ,
Gk (x, y, z) := F (x, y, zk ). (3.5)
(3.3) %#
x, φ(x), φ! (x), . . . , φ(k−1) (x), φ! (x), . . . , φ(k) (x) ∈ I × Kkn × Kkn : x ∈ I
$ &
=
(x, φ(x), . . . , φ(k) (x)) ∈ U
⊆ V. (3.6)
and, thus,
$ (3.1a)
Gk x, Φ(x), Φ! (x) = F x, φ(x), φ! (x), . . . , φ(k) (x) = 0,
# $ #
∀ (3.7)
x∈I
i.e. φ is k times differentiable and Φ has, once again, the form (3.3) (note Φ1 = φ by
the definition of φ). Then, clearly, (3.2b) implies (3.1b), and Def. 1.2(a)(i) for Φ implies
Def. 1.2(a)(i) for φ:
y(0) = 0,
y !! = −y, (3.8)
y ! (0) = r, r ∈ R given,
y1! = y2 ,
! "
0
! y(0) = . (3.9)
y2 = −y1 , r
As a consequence of Th. 3.1, one can carry out much of the general theory of ODE
(such as results regarding existence and uniqueness of solutions) for systems of first-
order ODE, obtaining the corresponding results for higher-order ODE as a corollary.
This is the strategy usually pursued in the literature and we will follow suit in this
class.
G, every initial value problem (1.7) for the n-dimensional explicit kth-order ODE (1.6)
has at least one solution φ : I −→ Kn , defined on a, possibly very small, open interval.
This is the contents of the Peano Th. 3.8 below and its Cor. 3.10. From Example 1.4(b),
we already know that uniqueness of the solution cannot be expected without stronger
hypotheses.
The proof of the Peano theorem requires some work. One of the key ingredients is
the Arzelà-Ascoli Th. 3.7 that, under suitable hypotheses, guarantees a given sequence
of continuous functions to have a uniformly convergent subsequence (the formulation
in Th. 3.7 is suitable for our purposes – many different variants of the Arzelà-Ascoli
theorem exist in the literature).
We begin with some prelimanaries from the theory of metric spaces. At this point, the
reader might want to review the definition of a metric, a metric space, and basic notions
on metric spaces, such as the notion of compactness and the notion of continuity of
functions between metric spaces. Also recall that every normed space is a metric space
via the metric induced by the norm (in particular, if we use metric notions on normed
spaces, they are always meant with respect to the respective induced metric).
Notation 3.3. Let (X, d) be a metric space. Given x ∈ X and r ∈ R+ , let
Br (x) := {y ∈ X : d(x, y) < r}
denote the open ball with center x and radius r, also known as the r-ball with center x.
Definition 3.4. Let (X, dX ) and (Y, dY ) be metric spaces. We say a sequence of func-
tions (fm )m∈N , fm : X −→ Y , converges uniformly to a function f : X −→ Y if, and
only if, # $
∀ ∃ ∀ dY fm (x), f (x) < &.
$>0 N ∈N m≥N,
x∈X
Theorem 3.5. Let (X, dX ) and (Y, dY ) be metric spaces. If the sequence (fm )m∈N of
continuous functions fm : X −→ Y converges uniformly to the function f : X −→ Y ,
then f is continuous as well.
Proof. We have to show that f is continuous at every ξ ∈ X. Thus, let # ξ ∈ X and$ & > 0.
Due to the uniform convergence, we can choose m ∈ N such that dY fm (x), f (x) < &/3
for every x ∈ X. Moreover,
# as f$m is continuous at ξ, there exists δ > 0 such that
x ∈ Bδ (ξ) implies dY fm (ξ), fm (x) < &/3. Thus, if x ∈ Bδ (ξ), then
# $ # $ # $ # $
dY f (ξ), f (x) ≤ dY f (ξ), fm (ξ) + dY fm (ξ), fm (x) + dY fm (x), f (x)
& & &
< + + = &,
3 3 3
proving f is continuous at ξ. !
Definition 3.6. Let (X, dX ) and (Y, dY ) be metric spaces and let F be a set of functions
from X into Y . Then the set F (or the functions in F) are said to be uniformly
equicontinuous if, and only if, for each & > 0, there is δ > 0 such that
! "
# $
∀ dX (x, ξ) < δ ⇒ ∀ dY f (x), f (ξ) < & . (3.12)
x,ξ∈X f ∈F
3 GENERAL THEORY 28
Theorem 3.7 (Arzelà-Ascoli). Let n ∈ N, let 4 · 4 denote some norm on Kn , and let
I ⊆ R be some bounded interval. If (fm )m∈N is a sequence of functions fm : I −→ Kn
such that #{fm : $m ∈ N} is uniformly equicontinuous and such that, for each x ∈ I, the
sequence fm (x) m∈N is bounded, then (fm )m∈N has a uniformly convergent subsequence
(fmj )j∈N , i.e. there exists f : I −→ Kn such that
(ii) for each m ∈ N, Fm converges pointwise at each of the first m rational numbers
rj ; more precisely, there exists a sequence (z1 , z2 , . . . ) in Kn such that, for each
m ∈ N and each j ∈ {1, . . . , m}:
Actually, we construct the (zm )m∈N inductively together with the (Fm )m∈N : Since the
sequence (fm (r1 ))m∈N is, by hypothesis, a bounded sequence in Kn , one can apply the
Bolzano-Weierstrass theorem (cf. [Phi16b, Th. 1.31]) to obtain z1 ∈ Kn and a sub-
sequence F1 = (f1,k )k∈N of (fm )m∈N such that limk→∞ f1,k (r1 ) = z1 . To proceed by
induction, we now assume to have already constructed F1 , . . . , FM and z1 , . . . , zM for
M ∈ N such that (i) and (ii) hold for each m ∈ {1, . . . , M }. Since the sequence
(fM,k (rM +1 ))k∈N is a bounded sequence in Kn , one can, once more, apply the Bolzano-
Weierstrass theorem to obtain zM +1 ∈ Kn and a subsequence FM +1 = (fM +1,k )k∈N of
FM such that limk→∞ fM +1,k (rM +1 ) = zM +1 . Since FM +1 is a subsequence of FM , it is
also a subsequence of all previous subsequences, i.e. (i) now also holds for m = M + 1.
In consequence, limk→∞ fM +1,k (rj ) = zj for each j = 1, . . . , M + 1, such that (ii) now
also holds for m = M + 1 as required.
Next, one considers the diagonal sequence (gm )m∈N , gm := fm,m , and observes that this
sequence converges pointwise at each rational number rj (limm→∞ gm (rj ) = zj ), since,
at least for m ≥ j, (gm )m∈N is a subsequence of every Fj (exercise) – in particular,
(gm )m∈N is also a subsequence of the original sequence (fm )m∈N .
In the last step of the proof, we show that (gm )m∈N converges uniformly on the entire
interval I to some f : I −→ Kn . To this end, fix & > 0. Since {gm : m ∈ N} ⊆ {fm :
m ∈ N}, the assumed uniform equicontinuity of {fm : m ∈ N} yields δ > 0 such that
! "
9 9 &
∀ |x − ξ| < δ ⇒ ∀ 9gm (x) − gm (ξ)9 < .
x,ξ∈I m∈N 3
3 GENERAL THEORY 29
Since I is bounded, it has : finite length and, thus, it can be covered with finitely many
intervals I1 , . . . , IN , I = N j=1 Ij , N ∈ N, such that each Ij has length less than δ.
Moreover, since Q is dense in R, for each j ∈ {1, . . . , N }, there exists k(j) ∈ N such
that rk(j) ∈ Ij . Define #M := max{k(j)$ :# j = 1, . $. . , N }. We note that each of the
finitely many sequences (gm (r1 ) m∈N , . . . , (gm (rM ) m∈N is a Cauchy sequence. Thus,
Since K in (3.14) does not depend on x ∈ I, passing to the limit k → ∞ in the estimate
of (3.14) implies
∀ 4gl (x) − f (x)4 ≤ &,
l≥K,
x∈I
proving uniform convergence of the subsequence (gm )m∈N of (fm )m∈N as desired. The
continuity of f is now a consequence of Th. 3.5. !
At this point, we have all preparations in place to state and prove the existence theorem.
has at least one solution. More precisely, given an arbitrary norm 4 · 4 on Kn , (3.16)
has a solution φ : I −→ Kn , defined on the open interval
B := (x, y) ∈ R × Kn : |x − x0 | ≤ b and 4y − y0 4 ≤ b ⊆ G,
% &
(3.18)
and (
min{b, b/M } for M > 0,
α := α(b) := (3.20)
b for M = 0.
In general, the choice of the norm 4 · 4 on Kn will influence the possible sizes of α and,
thus, of I.
Proof. The proof will be conducted in several steps. In the first step, we check α =
α(b) > 0 is well-defined: Since G is open, there always exists b > 0 such that (3.18)
holds. Since B is a closed and bounded subset of the finite-dimensional space R × Kn , B
is compact (cf. [Phi16b, Cor. 3.16(c)]). Since f and, thus, 4f 4 is continuous (every norm
is even Lipschitz continuous due to the inverse triangle inequality), it must assume its
maximum on the compact set B (cf. [Phi16b, Th. 3.19]), showing M ∈ R+ 0 is well-defined
by (3.19) and α is well-defined by (3.20).
In the second step of the proof, we note that it suffices to prove (3.16) has a solution φ+ ,
defined on [x0 , x0 + α[: One can then apply the time reversion Lem. 1.9(b): The proof
providing the solution φ+ also provides a solution ψ+ : [−x0 , −x0 + α[−→ Kn to the
time-reversed initial value problem, consisting of y ! = −f (−x, y) and y(−x0 ) = y0 (note
that the same M and α work for the time-reversed problem). Then, according to Lem.
1.9(b), φ− : ]x0 − α, x0 ] −→ Kn , φ− (x) := ψ+ (−x), is a solution to (3.16). According to
Lem. 1.7, we can patch φ− and φ+ together to obtain the desired solution
(
φ− (x) for x ≤ x0 ,
φ : I −→ Kn , φ(x) := (3.21)
φ+ (x) for x ≥ x0 ,
defined on all of I. It is noted that one can also conduct the proof with the second step
omitted, but then one has to perform the following steps on all of I, which means one
has to consider additional cases in some places.
In the third step of the proof, we will define a sequence (φm )m∈N of functions
φm : I+ −→ Kn , I+ := [x0 , x0 + α], (3.22)
that constitute approximate solutions to (3.16). To begin the construction of φm , fix
m ∈ N. Since B is compact and f is continuous, we know f is even uniformly continuous
on B (cf. [Phi16b, Th. 3.20]). In particular,
* 9 9 1+
∃ ∀ |x − x̃| < δm , 4y − ỹ4 < δm ⇒ 9f (x, y) − f (x̃, ỹ)9 < .
δm >0 (x,y),(x̃,ỹ)∈B m
(3.23)
We now form what is called a discretization of the interval I+ , i.e. a partition of I+ into
sufficiently many small intervals: Let N ∈ N and
x0 < x1 < · · · < xN −1 < xN := x0 + α (3.24)
such that
(
min{δm , δm /M, 1/m} for M > 0,
∀ xj − xj−1 < β := (3.25)
j∈{1,...,N } min{δm , 1/m} for M = 0
3 GENERAL THEORY 31
(for example one could make the equidistant choice xj := x0 + jh with h = α/N and
N > α/β, but it does not matter how the xj are defined as long as (3.24) and (3.25)
both hold). Note that we get a different discretization of I+ for each m ∈ N; however,
the dependence on m is suppressed in the notation for the sake of readability. We now
define recursively
φm : I+ −→ Kn ,
φm (x0 ) := y0 , (3.26)
# $
φm (x) := φm (xj ) + (x − xj ) f xj , φm (xj ) for each x ∈ [xj , xj+1 ].
Note that there is no conflict between the two definitions given for x = xj with j ∈
{1, . . . , N − 1}. Each function φm defines a polygon in Kn . This construction is known
as Euler’s method and it can be used to obtain numerical approximations to the solution
of the initial value problem (while simple, this method is not very efficient, though). We
still need to verify that the definition (3.26) does actually make sense: We need to check
that f can, indeed, be applied to (xj , φm (xj )), i.e. we have to check (xj , φm (xj )) ∈ G.
We can actually show the stronger statement
∀ (x, φm (x)) ∈ B, (3.27)
x∈I+
where B is as defined in (3.18). First, it is pointed out that (3.20) implies α ≤ b, such
that x ∈ I+ implies |x − x0 | ≤ α ≤ b as required in (3.18). One can now prove (3.27)
by showing by induction on j ∈ {0, . . . , N − 1}:
∀ (x, φm (x)) ∈ B. (3.28)
x∈[xj ,xj+1 ]
To start the induction, note φm (x0 ) = y0 and (x0 , y0 ) ∈ B by (3.18). Now let j ∈
{0, . . . , N − 1} and x ∈ [xj , xj+1 ]. We estimate
j
;
4φm (x) − y0 4 ≤ 4φm (x) − φm (xj )4 + 4φm (xk ) − φm (xk−1 )4
k=1
j
(3.26) 9 # $9 ; 9 # $9
= (x − xj ) f xj , φm (xj ) +
9 9 (xk − xk−1 ) 9f xk−1 , φm (xk−1 ) 9
k=1
j
(∗) ;
≤ (x − xj ) M + (xk − xk−1 ) M = (x − x0 ) M
k=1
(3.20)
≤ α M ≤ b, (3.29)
where, at (∗), it was used 9 # that (xk ,$9φm (xk )) ∈ B by induction hypothesis for each
k = 0, . . . , j, and, thus, 9f xk , φm (xk ) 9 ≤ M by (3.19). Estimate (3.29) completes the
induction and the third step of the proof.
In the fourth step of the proof, we establish several properties of the functions φm . The
first two properties are immediate from (3.26), namely that φm is continuous on I + and
differentiable at each x ∈]xj , xj+1 [, j ∈ {0, . . . , N − 1}, where
φ!m (x) = f xj , φm (xj ) .
# $
∀ ∀ (3.30)
j∈{0,...,N −1} x∈]xj ,xj+1 [
3 GENERAL THEORY 32
To prove (3.31), we may assume s < t without loss of generality. If s, t ∈ [xj , xj+1 ],
j ∈ {0, . . . , N − 1}, then
as desired. If s, t are not contained in the same interval [xj , xj+1 ], then fix j < k such
that s ∈ [xj , xj+1 ] and t ∈ [xk , xk+1 ]. Then (3.31) follows from an estimate analogous to
the one in (3.29):
completing the proof of (3.31). The following property of the φm is the justification for
calling them approximate solutions to our initial value problem (3.16):
and
9 ! # $9 9 # $ # $9 (3.34a),(3.23) 1
9φm (x) − f x, φm (x) 9 = 9f xj , φm (xj ) − f x, φm (x) 9 < , (3.34b)
m
proving (3.33).
The last property of the φm we need is
(3.31)
∀ 4φm (x)4 ≤ 4φm (x) − φm (x0 )4 + 4φm (x0 )4 ≤ |x − x0 | M + 4φm (x0 )4 (3.35)
x∈I+
≤ αM + 4y0 4,
3 GENERAL THEORY 33
which says that the φm are pointwise and even uniformly bounded.
In the fifth and last step of the proof, we use the Arzelà-Ascoli Th. 3.7 to obtain a
function φ+ : I+ −→ Kn , and we show that φ constitutes a solution to (3.16). According
to (3.31), the φm are uniformly equicontinuous (given & > 0, condition (3.12) is satisfied
with δ := &/M for M > 0 and arbitrary δ > 0 for M = 0), and according to (3.35)
the φm are bounded such that the Arzelà-Ascoli Th. 3.7 applies to yield a subsequence
(φmj )j∈N of (φm )m∈N converging uniformly to some continuous function φ+ : I+ −→ Kn .
So it merely remains to verify that φ+ is a solution to (3.16).
As the uniform convergence of the (φmj )j∈N implies pointwise convergence, we have
φ+ (x0 ) = limj→∞ φmj (x0 ) = y0 , showing φ+ satisfies the initial condition (3.16b).
Next,
∀ (x, φ+ (x)) = lim (x, φmj (x)) ∈ B,
x∈I j→∞
since each (x, φmj (x)) is in B and B is closed. In particular, f (x, φ+ (x)) is well-defined
for each x ∈ I+ . To prove that φ+ also satisfies the ODE (3.16a), by Th. 1.5, it suffices
to show 1 x
# $
∀ φ+ (x) − φ+ (x0 ) − f t, φ+ (t) dt = 0 (3.36)
x∈I+ x0
holding for every j ∈ N. We will conclude the proof by showing that all three summands
on the right-hand side of (3.37) tend to 0 for j → ∞. As already mentioned above,
the uniform convergence of the (φmj )j∈N implies pointwise convergence, implying the
convergence of the first summand. We tackle the third summand next, using
91 x * 9 1 x9
9 # $ # $+ 9 9 # $ # $9
f t, φmj (t) − f t, φ+ (t) dt 9 ≤ 9f t, φmj (t) − f t, φ+ (t) 9 dt , (3.38)
9 9 9
9
x0 x0
which holds for every norm (cf. Appendix <n B), but can easily be checked directly for
the 1-norm, where 4(z1 , . . . , zn )41 := j=1 |zj | 9
(exercise). Given & > 0, the uniform
# $ # $9
continuity of f on B provides δ > 0 such that f t, φmj (t) − f t, φ+ (t) 9 < &/α for
9
4φmj (t) − φ+ (t)4 < δ. The uniform convergence of (φmj )j∈N then yields K ∈ N such
that 4φmj (t) − φ+ (t)4 < δ for every j ≥ K and each t ∈ I. Thus,
1 x9
9 # $ # $9 |x − x0 | &
∀ 9f t, φmj (t) − f t, φ+ (t) 9 dt ≤ ≤ &,
9
j≥K x0 α
3 GENERAL THEORY 34
thereby establishing the convergence of the third summand from the right-hand side
of (3.37). For the remaining second summand, we note that the fact that each φm is
continuous and piecewise differentiable (with piecewise constant derivative) allows to
apply the fundamental theorem of calculus in the form [Phi16a, Th. 10.20(b)] to obtain
1 x
∀ φm (x) = φm (x0 ) + φ!m (t) dt . (3.39)
x∈I+ x0
Using (3.39) in the second summand of the right-hand side of (3.37) provides
9 1 x 9 1 x9
9 # $ 9 9 ! # $9
9φm (x) − φ+ (x0 ) − f t, φ mj (t) dt 9 ≤ φ
9 mj (t) − f t, φ mj (t) 9 dt
9
9 j 9
x0 x0
1 x
(3.33) 1 α
≤ ≤ ,
x0 m j mj
showing the convergence of the second summand, which finally concludes the proof. !
Proof. Exercise. !
y (k) = f x, y, y ! , . . . , y (k−1) ,
# $
(3.40a)
∀ y (j) (x0 ) = y0,j , (3.40b)
j∈{0,...,k−1}
has at least one solution. More precisely, there exists an open interval I ⊆ R with
x0 ∈ I and φ : I −→ Kn such that φ is a solution to (3.40). If C ⊆ G is compact,
then there exists α > 0 such that, for each (x0 , y0,0 , . . . , y0,k−1 ) ∈ C, (3.40) has a solution
φ : I −→ Kn , defined on the open interval I :=]x0 − α, x0 + α[, i.e. always on an interval
of the same length 2α.
Proof. If f is continuous, then the right-hand side of the equivalent first-order system
(3.2a) (written in explicit form) is given by the continuous function
y2
y3
..
f˜ : G −→ Kkn , f˜(x, y1 , . . . , yk ) := . (3.41)
.
yk−1
f (x, y1 , . . . , yk )
3 GENERAL THEORY 35
Thus, Th. 3.8 provides a solution Φ : I −→ Kkn to (3.2) and, then, Th. 3.1(b) yields
φ := Φ1 to be a solution to (3.40). Moreover, if C ⊆ G is compact, then Cor. 3.9 provides
α > 0 such that, for each (x0 , y0,0 , . . . , y0,k−1 ) ∈ C, (3.2) has a solution Φ : I −→ Kkn ,
defined on the same open interval I :=]x0 − α, x0 + α[. In particular, φ := Φ1 , the
corresponding solution to (3.40) is also defined on the same I. !
While the Peano theorem is striking in its generality, it does have several drawbacks:
(a) the interval, where the existence of a solution is proved can be unnecessarily short;
(b) the selection of the subsequence using the Arzelà-Ascoli theorem makes the proof
nonconstructive; (c) uniqueness of solutions is not provided, even in cases, where unique
solutions exist; (d) it does not provide information regarding how the solution changes
with a change of the initial condition. We will subsequently address all these points,
namely (b) and (c) in Sec. 3.3 (we will see that the proof of the Peano theorem becomes
constructive in situations, where the solution is unique – in general, a constructive proof
is not available), (a) in Sec. 3.4, and (d) in Sec. 3.5.
(a) The function f is called (globally) Lipschitz continuous or just (globally) Lipschitz
with respect to y if, and only if,
9 9
∃ ∀ 9f (x, y) − f (x, ȳ)9 ≤ L4y − ȳ4. (3.42)
L≥0 (x,y),(x,ȳ)∈G
(b) The function f is called locally Lipschitz continuous or just locally Lipschitz with
respect to y if, and only if, for each (x0 , y0 ) ∈ G, there exists a (relative) open set
U ⊆ G such that (x0 , y0 ) ∈ U (i.e. U is a (relative) open neighborhood of (x0 , y0 ))
and f is Lipschitz continuous with respect to y on U , i.e. if, and only if,
9 9
∀ ∃ ∃ ∀ 9f (x, y) − f (x, ȳ)9 ≤ L4y − ȳ4.
(x0 ,y0 )∈G (x0 , y0 ) ∈ U ⊆ G open L≥0 (x,y),(x,ȳ)∈U
(3.43)
The number L occurring in (a),(b) is called Lipschitz constant. The norms on Km and
Kn in (a),(b) are arbitrary. If one changes the norms, then one will, in general, change
L, but not the property of f being (locally) Lipschitz.
While the local neighborhoods U , where a function locally Lipschitz (with respect to y)
is actually Lipschitz continuous (with respect to y) can be very small, we will now show
that a continuous function is locally Lipschitz (with respect to y) on G if, and only if,
it is Lipschitz continuous (with respect to y) on every compact set K ⊆ G.
Proof. First, assume f is not locally Lipschitz with respect to y. Then there exists
(x0 , y0 ) ∈ G such that
9 9
∀ ∃ 9f (xN , yN,1 ) − f (xN , yN,2 )9 > N 4yN,1 − yN,2 4. (3.44)
N ∈N (xN ,yN,1 ),(xN ,yN,2 )
∈G∩B1/N (x0 ,y0 )
For each j = 1, . . . , N , let Lj denote the Lipschitz constant for f on Uj and set L! :=
max{L1 , . . . , LN }. As f is assumed continuous and K is compact, we have
Using the compactness of K once again, there exists a Lebesgue number δ > 0 for the
open cover (Uj )j∈{1,...,N } of K (cf. [Phi16b, Th. 3.21]), i.e. δ > 0 such that
* +
∀ 4y − ȳ4 < δ ⇒ ∃ {(x, y), (x, ȳ)} ⊆ Uj . (3.47)
(x,y),(x,ȳ)∈K j∈{1,...,N }
3 GENERAL THEORY 37
Define L := max{L! , 2M/δ}. Then, for every (x, y), (x, ȳ) ∈ K:
4y − ȳ4 < δ ⇒ 4f (x, y) − f (x, ȳ)4 ≤ Lj 4y − ȳ4 ≤ L4y − ȳ4, (3.48a)
2M δ
4y − ȳ4 ≥ δ ⇒ 4f (x, y) − f (x, ȳ)4 ≤ 2M =
≤ L4y − ȳ4, (3.48b)
δ
completing the proof that f is Lipschitz with respect to y on K. !
While, in general, the assertion of Prop. 3.13 becomes false if the continuity of f is omit-
ted, for convex G, it does hold without the continuity assumption on f (see Appendix
D). The following Prop. 3.14 provides a useful sufficient condition for f : G −→ Kn ,
G ⊆ R × Km open, to be locally Lipschitz with respect to y:
Proposition 3.14. Let m, n ∈ N, let G ⊆ R × Km be open, and f : G −→ Kn . A
sufficient condition for f to be locally Lipschitz with respect to y is f being continuously
(real) differentiable with respect to y, i.e., f is locally Lipschitz with respect to y provided
that all partials ∂yk fl ; k, l = 1, . . . , n (∂yk,1 fl , ∂yk,2 fl for K = C) exist and are continuous.
Proof. We consider the case K = R; the case K = C is included by using the identifi-
cations Cm ∼= R2m and Cn ∼ = R2n . Given (x0 , y0 ) ∈ G, we have to show f is Lipschitz
with respect to y on some open set U ⊆ G with (x0 , y0 ) ∈ U . As in the Peano Th. 3.8,
since G is open,
∃ B := (x, y) ∈ R × Rm : |x − x0 | ≤ b and 4y − y0 41 ≤ b ⊆ G,
% &
b>0
where 4 · 41 denotes the 1-norm on Rm . Since the ∂yk fl , (k, l) ∈ {1, . . . , m} × {1, . . . , n},
are all continuous on the compact set B,
% &
M := max |∂yk fl (x, y)| : (x, y) ∈ B, (k, l) ∈ {1, . . . , m} × {1, . . . , n} < ∞. (3.49)
Applying the mean value theorem (cf. [Phi16b, Th. 4.35]) to the n components of the
function
fx : y ∈ Rm : (x, y) ∈ B −→ Rn , fx (y) := f (x, y),
% &
and, thus,
n
;
9 9
9f (x, y) − f (x, ȳ)9 = |fl (x, y) − fl (x, ȳ)|
1
l=1
∀ m
n ; n (3.51)
(x,y),(x,ȳ)∈B (3.49),(3.50) ; ;
≤ M |yk − ȳk | = M 4y − ȳ41 = nM 4y − ȳ41 ,
l=1 k=1 l=1
Since f is continuous and both φ and ψ are solutions to the initial value problem (3.52),
we can use Th. 1.5 to obtain
1 x*
# $ # $+
∀ φ(x) − ψ(x) = f t, φ(t) − f t, ψ(t) dt . (3.55)
x∈I x0
Set y0 := φ(x0 ) = ψ(x0 ). As f is locally Lipschitz with respect to y, there exists δ > 0
such that f is Lipschitz with Lipschitz constant L ≥ 0 with respect to y on
where we have chosen some arbitrary norm 4·4 on Kn . The continuity of φ, ψ implies the
existence of &˜ > 0 such that B $̃ (x0 ) ⊆ I, φ(B$̃ (x0 )) ⊆ Bδ (y0 ) and ψ(B$̃ (x0 )) ⊆ Bδ (y0 ),
implying 9 # $ # $9 9 9
∀ 9f x, φ(x) − f x, ψ(x) 9 ≤ L 9φ(x) − ψ(x)9. (3.56)
x∈B#̃ (x0 )
Next, define
& := min{˜&, 1/(2L)}
and, using the compactness of B $ (x0 ) = [x0 − &, x0 + &] plus the continuity of φ, ψ,
% &
M := max 4φ(x) − ψ(x)4 : x ∈ B $ (x0 ) < ∞.
(note that the integral in (3.57) can be negative for x < x0 ). The definition of M
together with (3.57) yields M ≤ M/2, i.e. M = 0, finishing the proof of (3.54).
3 GENERAL THEORY 39
One needs to show s = sup I. If s = sup I does not hold, then there exists α > 0 such
that [s, s + α] ⊆ I. Then the continuity of φ, ψ implies φ(s) = ψ(s), i.e. φ and ψ satisfy
the same initial value problem at s such that (3.54) must hold with s instead of x0 , in
contradiction to the definition of s. Finally, φ(x) = ψ(x) for each x ≤ x0 follows in an
completely analogous fashion, which concludes the proof of the theorem. !
Corollary 3.16. If G ⊆ R×Kkn is open, k, n ∈ N, and f : G −→ Kn is continuous and
locally Lipschitz with respect to y, then, for each (x0 , y0,0 , . . . , y0,k−1 ) ∈ G, the explicit
n-dimensional kth-order initial value problem consisting of (1.6) and (1.7), i.e.
y (k) = f x, y, y ! , . . . , y (k−1) ,
# $
Proof. Exercise. !
Remark 3.17. According to Th. 3.15, the condition of f being continuous and locally
Lipschitz with respect to y is sufficient for each initial value problem (3.52) to have a
unique solution. However, this condition is not necessary: It is an exercise to show that
the continuous function
(
1 for y ≤ 0,
f : R2 −→ R, f (x, y) := √ (3.59)
1 + y for y ≥ 0,
is not locally Lipschitz with respect to y, but that, for each (x0 , y0 ) ∈ R2 , the initial
value problem (3.52) still has a unique solution in the sense that (3.53) holds for each
solution φ to (3.52a). And one can (can you?) even find simple examples of f being
defined on an open domain such that f is discontinuous at every point in its domain
and every initial value problem (3.52) still has a unique solution.
—
At the end of Sec. 3.2, it was pointed out that the proof of the Peano Th. 3.8 is non-
constructive due to the selection of a subsequence. The following Th. 3.18 shows that,
whenever the initial value problem has a unique solution, it becomes unnecessary to
select a subsequence, and the construction procedure (namely Euler’s method) used in
the proof of Th. 3.8 becomes an effective (if not necessarily efficient) numerical approx-
imation procedure for the unique solution.
3 GENERAL THEORY 40
Theorem 3.18. Consider the situation of the Peano Th. 3.8. Under the additional
assumption that the solution to the explicit n-dimensional first-order initial value prob-
lem (3.16) is unique on some interval J ⊆ [x0 , x0 + α[, x0 ∈ J, and where α > 0 is
constructed as in Th. 3.8 (i.e. given by (3.18) – (3.20)), every sequence (φm )m∈N of func-
tions defined on J according to Euler’s method as in the proof of Th. 3.8 (i.e. defined
as in (3.26)) converges uniformly to the unique solution φ : J −→ Kn . An analogous
statement also holds for J ⊆]x0 − α, x0 ], x0 ∈ J.
Proof. Seeking a contradiction, assume (φm )m∈N does not converge uniformly to the
unique solution φ. Then there exists & > 0 and a subsequence (φmj )j∈N such that
% &
∀ 4φmj − φ4sup = sup 4φmj (x) − φ(x)4 : x ∈ J ≥ &. (3.60)
j∈N
However, as a subsequence, (φmj )j∈N still has all the properties of the (φm )m∈N (namely
pointwise boundedness, uniform equicontinuity, piecewise differentiability, being approx-
imate solutions according to (3.33)) that guanranteed the existence of a subsequence,
converging to a solution. Thus, since the solution is unique on J, (φmj )j∈N must, in turn,
have a subsequence, converging uniformly to φ, which is in contradiction to (3.60). This
shows the assumption that (φm )m∈N does not converge uniformly to φ must have been
false. The proof of the analogous statement for J ⊆]x0 − α, x0 ], x0 ∈ J, one obtains,
e.g., via time reversion (cf. the second step of the proof of Th. 3.8). !
Remark 3.19. The argument used to prove Th. 3.18 is of a rather general nature: It
can be applied whenever a sequence is known to have a subsequence converging to some
solution of some equation (or some other problem), provided the same still holds for
every subsequence of the original sequence – in that case, the additional knowledge that
the solution is unique implies the convergence of the original sequence without the need
to select a subsequence.
(a) We say φ has an extension or continuation to the right (resp. to the left) if, and
only if, there exists a solution ψ : J −→ Kn to the same ODE, defined on some
open interval J ⊇ I such that ψ#I = φ and
Proof. The proof is carried out for solutions to (1.4) (the implicit ODE) – the proof for
solutions to the explicit ODE (1.6) is analogous and can also be seen as a special case.
The idea is to apply Zorn’s lemma. To this end, define a partial order on the set
S := {(I0 , φ0 )} ∪ {(I, φ) : φ : I −→ Kn is solution to (1.4), extending φ0 } (3.62)
by letting
(I, φ) ≤ (J, ψ) :⇔ I ⊆ J, ψ#I = φ. (3.63)
Every chain C, i.e. :every totally ordered subset of S, has an upper bound, namely
(IC , φC ) with IC := (I,φ)∈C I and φC (x) := φ(x), where (I, φ) ∈ C is chosen such that
x ∈ I (since C is a chain, the value of φC (x) does not actually depend on the choice of
(I, φ) ∈ C and is, thus, well-defined).
Clearly, IC is an open interval, I0 ⊆ IC , and φC extends φ0 as a function; we still need to
see that φC is a solution to (1.4). For this, we, once again, use that x ∈ IC means there
exists (I, φ) ∈ C such that x ∈ I and φ is a solution to (1.4). Thus, using the notation
from Def. 1.2(a),
(k)
(x, φC (x), φ!C (x), . . . , φC (x)) = (x, φ(x), φ! (x), . . . , φ(k) (x)) ∈ U
and
(k)
F (x, φC (x), φ!C (x), . . . , φC (x)) = F (x, φ(x), φ! (x), . . . , φ(k) (x)) = 0,
showing φC is a solution to (1.4) as defined in Def. 1.2(a). In particular, (IC , φC ) ∈ S. To
verify (IC , φC ) is an upper bound for C, note that the definition of (IC , φC ) immediately
implies I ⊆ IC for each (I, φ) ∈ C and φC #I = φ for each (I, φ) ∈ C.
To conclude the proof, we note that all hypotheses of Zorn’s lemma have been verified
such that it yields the existence of a maximal element of (Imax , φmax ) ∈ S, i.e. φmax :
Imax −→ Kn must be a maximal solution extending φ0 . !
3 GENERAL THEORY 42
Proof. That the respective part of (3.64) is necessary for the existence of the respective
extension is immediate from the fact that, for each solution to (1.6), the solution and
all its derivatives up to order k − 1 must exist and must be continuous.
We now prove that (3.64a) is also sufficient for the existence of an extension to the right
(the sufficiency of (3.64b) for the existence of an extension to the left is then immediate
from Rem. 3.21). So assume (3.64a) to hold and consider the initial value problem
consisting of (1.6) and the initial conditions
∀ y (j) (b) = ηj .
j=0,...,k−1
By Cor. 3.10, there must exist & > 0 such that this initial value problem has a solution
ψ : ]b−&, b+&[−→ Kn . We now show that φ extended to b via (3.64a) is still a solution to
(1.6). First note the mean value theorem (cf. [Phi16a, Th. 9.18]) yields that φ(j) (b) = ηj
exists for j = 1, . . . , k − 1 as a left-hand derivative. Moreover,
lim φ(k) (x) = lim f x, φ(x), φ! (x), . . . , φ(k−1) (x) = f (b, η0 , . . . , ηk−1 ),
# $
x↑b x↑b
showing φ(k) (b) = f b, φ(b), φ! (b), . . . , φ(k−1) (b) (again employing the mean value theo-
# $
rem), which proves φ extended to b is a solution to (1.6). Finally, Lem. 1.7 ensures
(
φ(x) for x ≤ b,
σ : ]a, b + &[−→ Kn , σ(x) :=
ψ(x) for x ≥ b,
is a solution to (1.6) that extends φ to the right. !
Proposition 3.24. Let k, n ∈ N, let G ⊆ R × Kkn be open, let f : G −→ Kn be
continuous, and let φ : I −→ Kn be a solution to (1.6) defined on the open interval I.
Consider x0 ∈ I and let gr+ (φ) (resp. gr− (φ)) denote the graph of (φ, . . . , φ(k−1) ) for
x ≥ x0 (resp. for x ≤ x0 ):
gr+ (φ) := gr+ (φ, x0 ) := x, φ(x), . . . , φ(k−1) (x) ∈ G : x ∈ I, x ≥ x0 ,
%# $ &
(3.65a)
gr− (φ) := gr− (φ, x0 ) := x, φ(x), . . . , φ(k−1) (x) ∈ G : x ∈ I, x ≤ x0 .
%# $ &
(3.65b)
If there exists a compact set K ⊆ G such that gr+ (φ) ⊆ K (resp. gr− (φ) ⊆ K), then φ
has an extension ψ : J −→ Kn to the right (resp. to the left) such that
x̃, ψ(x̃), . . . , ψ (k−1) (x̃) ∈
# $
∃ / K. (3.66)
x̃∈J
The statement can be rephrased by saying that gr+ (φ) (resp. gr− (φ)) of each maximal
solution φ to (1.6) escapes from every compact subset of G when x appoaches the right
(resp. the left) boundary of I (where the boundary of I can contain −∞ and/or +∞).
3 GENERAL THEORY 43
Proof. We conduct the proof for extensions to the right; extensions to the left can be
handled completely analogously (alternatively, one can apply the time reversion Lem.
1.9(b) as demonstrated in the last paragraph of the proof below). The proof for exten-
sions to the right is divided into three steps. Let K ⊆ G be compact.
Step 1: We show that gr+ (φ) ⊆ K implies φ has an extension to the right: Since K is
bounded, so is gr+ (φ), implying
as well as
Set
M := max{M1 , M2 }.
According to Prop. 3.23, we need to show (3.64a) holds. To this end, notice
Indeed,
x̄
91 9
4φ(k−1) (x) − φ(k−1) (x̄)4 = 9 f t, φ(t), . . . , φ(k−1) (t) dt 9
9 # 9 $
∀ 9 ≤ M |x − x̄|,
x,x̄∈[x0 ,b[ 9
x
proving (3.68). Since K is compact, there exists a sequence (xm )m∈N in [x0 , b[ such that
implying
∀ lim φ(j) (x) = ηj ,
j=0,...,k−1 x↑b
Step 2: We show that gr+ (φ) ⊆ K implies φ can be extended to the right to I∪]x0 , b+α[,
where α > 0 does not depend on b := sup I: Since K is compact, Cor. 3.9 guarantees
every initial value problem
y (k) = f (x, y, y ! , . . . , y (k−1) ), (3.70a)
∀ y (j) (ξ0 ) = y0,j , (ξ0 , y0 ) ∈ K, (3.70b)
j=0,...,k−1
has a solution defined on ]ξ0 − α, ξ0 + α[ with the same α > 0. As shown in Step
1, the solution φ can be extended into b = sup I such that it satisfies (3.70b) with
(ξ0 , y0 ) = (b, η) ∈ K. Thus, using Lem. 1.7, it can be pieced together with the solution
to (3.70) given on [b, b + α[ by Cor. 3.9, completing the proof of Step 2.
Step 3: We finally show that gr+ (φ) ⊆ K implies φ has an extension ψ : J −→ Kn
to the right such that (3.66) holds: We set a := inf I and φ0 := φ. Then, by Step 2,
φ0 has an extension φ1 defined on ]a, b + α[. Inductively, for each m ≥ 1, either there
exists m0 ≤ m such that φm0 : ]a, b + m0 α[−→ Kn is an extension of φ that can be
used as ψ to conclude the proof (i.e. ψ := φm0 satisfies (3.66)) or φm can, once more,
be extended to ]a, b + (m + 1)α[. As K is bounded, {x ≥ x0 : (x, y) ∈ K} ⊆ R must
also be bounded, say by µ ∈ R. Thus, (3.66) must be satisfied for some ψ := φm with
1 ≤ m ≤ (µ − x0 )/α.
As mentioned above, one can argue completely analogous to the above proof to obtain
that gr− (φ) ⊆ K implies φ to have an extension to the left, satisfying (3.66). Here we
show how one, alternatively, can use the time reversion Lem. 1.9 to this end: Consider
the map
h : R × Kkn −→ R × Kkn , h(x, y1 , . . . , yk ) := (−x, y1 , . . . , (−1)k−1 yk ),
which clearly constitutes an R-linear isomophism. Noting (1.6) and (1.32) are the same,
we consider the time-reversed version (1.33) and observe Gg = h(G) to be open, h(K) ⊆
Gg to be compact, g : Gg −→ Kn , g = (−1)k (f ◦h), to be continuous. If gr− (φ, x0 ) ⊆ K,
then gr+ (ψ, −x0 ) ⊆ h(K), where ψ is the solution to the time-reversed version (1.33),
given by Lem. 1.9(b). Then ψ has an extension ψ̃ to the right, satisfying (3.66) with ψ
replaced by ψ̃ and K replaced by h(K). Then, by Rem. 3.21, φ must have an extension
φ̃ to the left, satisfying (3.66) with ψ replaced by φ̃. !
In Th. 3.28 below, we will show that, for continuous f : G −→ Kn , each maximal
solution to (1.6) must go to the boundary of G in the sense of the following definition.
Definition 3.25. Let k, n ∈ N, let G ⊆ R × Kkn be open, let f : G −→ Kn , and let
φ : ]a, b[−→ Kn , −∞ ≤ a < b ≤ ∞, be a solution to (1.6). We say that the solution φ
goes to the boundary of G for x → b (resp. for x → a) if, and only if,
∀ ∃ gr+ (φ, x0 ) ∩ K = ∅ (resp. gr− (φ, x0 ) ∩ K = ∅), (3.71)
K ⊆ G compact x0 ∈]a,b[
where gr+ (φ, x0 ) and gr− (φ, x0 ) are defined as in (3.65) (with I =]a, b[). In other words,
φ goes to the boundary of G for x → b (resp. for x → a) if, and only if, the graph of
(φ, . . . , φ(k−1) ) escapes every compact subset K of G forever for x → b (resp. for x → a).
3 GENERAL THEORY 45
Proposition 3.26. In the situation of Def. 3.25, if the solution φ goes to the boundary
of G for x → b, then one of the following conditions must hold:
(i) b = ∞,
9#
(ii) b < ∞ and L := lim supx↑b 9 φ(x), . . . , φ(k−1) (x) 9 = ∞,
$9
An analogous statement is valid for the solution φ going to the boundary of G for x → a.
Proof. The proof is carried out for x → b; the proof for x → a is analogous.
Assume (i) – (iii) are all false. Choose c ∈]a, b[. Since (i) and (ii) are false,
9 φ(x), . . . , φ(k−1) (x) 9 ≤ M.
9# $9
∃ ∀
0≤M <∞ x∈[c,b[
If (iii) is false because G = R × Kkn , then K := {(x, y) ∈ R × Kkn : x ∈ [c, b], 4y4 ≤ M }
is a compact subset of G that shows (3.71) does not hold. In the only remaining case,
(iii) must be false, since (3.72) does not hold. Thus,
*# +
dist x1 , φ(x1 ), . . . , φ(k−1) (x1 ) , ∂G ≥ δ.
$
∃ ∀ ∃
δ>0 x0 ∈]a,b[ x1 ∈]x0 ,b[
Proof. We carry out the proof for x → b – the proof for x → a can be done analogously
or by applying the time reversion Lem. 1.9, as indicated at the end of the proof below.
Let φ : ]a, b[−→ Kn be a maximal solution to (1.6). Seeking a contradiction, we assume
φ does not go to the boundary of G for x → b, i.e. (3.71) does not hold and there exists
a compact subset K of G and a strictly increasing sequence (xm )m∈N in ]a, b[ such that
limm→∞ xm = b < ∞ and
where # $
dist (x, y), K = inf{4(x, y) − (x̃, ỹ)42 : (x̃, ỹ) ∈ K},
4 · 42 denoting the Euclidean norm on Rkn+1 for K = R and the Euclidean norm on
R2kn+1 for K = C (this choice of norm is different from previous choices and will be
convenient later during the current proof). As φ is a maximal solution, Prop. 3.24
guarantees the existence of another strictly increasing sequence (ξm )m∈N in ]a, b[ such
that limm→∞ ξm = b < ∞, x1 < ξ1 < x2 < ξ2 < . . . (i.e. xm < ξm < xm+1 for each
m ∈ N) and such that
By the definition of sm as a sup, sm < xm+1 < b < ∞, and by the continuity of the
distance function d : R × Kkn −→ R+ 0 , d(·) := dist(·, K) (see Th. C.4), one obtains
*# +
dist sm , φ(sm ), . . . , φ(k−1) (sm ) , K = r,
$
∀
m∈N
in particular,
x, φ(x), . . . , φ(k−1) (x) ∈ C
# $
∀ (3.74)
x∈[xm ,sm ]
and
9# $9
9 xm , φ(xm ), . . . , φ(k−1) (xm ) − sm , φ(sm ), . . . , φ(k−1) (sm ) 9 ≥ r.
$ #
∀ (3.75)
9 9
m∈N 2
% &
M2 := max 4f (x, y)42 : (x, y) ∈ C < ∞
3 GENERAL THEORY 47
M := max{M1 , M2 }.
is a continuously differentiable curve or path (using the continuity of f ), cf. Def. F.1
(for K = C, we consider Jm as a path in R2kn+1 ). To finish the proof, we will have to
make use of the notion of arc length (cf. Def. F.5) of such a continuously differentiable
curve: Recall that each such continuously differentiable path is rectifyable, i.e. it has a
well-defined finite arc length l(Jm ) (cf. Th. F.7). Moreover, l(Jm ) satisfies
(F.4)
1 sm
(F.17) !
4Jm (xm ) − Jm (sm )42 ≤ l(Jm ) = 4Jm (x)42 dx
xm
?
1 sm @ ;k
@
= A 1+ 4φ(j) (x)422 dx
xm j=1
1 sm B 9# $92 9 92
≤ 1 + 9 φ(x), . . . , φ(k−1) (x) 92 + 9f (Jm (x))92 dx
1 xm
sm √
≤ 1 + 2M 2 dx , (3.76)
xm
where it was used that 4 · 42 was chosen to be the Euclidean norm. For each m ∈ N, we
estimate
(3.75) 9# $9
(k−1) (k−1)
$ #
0 < r ≤ 9 xm , φ(xm ), . . . , φ (xm ) − sm , φ(sm ), . . . , φ (sm ) 9
9 9
2
(3.76)
1 sm √
= 4Jm (xm ) − Jm (sm )42 ≤ 1 + 2M 2 dx
xm
√
= (sm − xm ) 1 + 2M 2 . (3.77)
√
However, limm→∞ (sm − xm ) 1 + 2M 2 = 0 due to limm→∞ sm = limm→∞ xm = b, in
contradiction to r > 0. This contradiction shows our initial assumption that φ does not
go to the boundary of G for x → b must have been wrong.
To obtain the remaining assertion that φ must go to the boundary of G for x → a,
one can proceed as in the last paragraph of the proof of Prop. 3.23, making use of the
function h defined there and of the time reversion Lem. 1.9: If K ⊆ G is a compact
set and ψ is the solution to the time-reversed version given by Lem. 1.9(b), then ψ
must be maximal as φ is maximal. Thus, for x → −a, ψ must escape the compact set
h(K) forever by the first part of the proof above, implying φ must escape K forever for
x → a. !
Corollary 3.29. Let k, n ∈ N, let G ⊆ R × Kkn be open, and let f : G −→ Kn
be continuous. If φ : ]a, b[−→ Kn , a < b, is a solution to (1.6), then the following
statements are equivalent:
3 GENERAL THEORY 48
(ii) φ must go to the boundary of G for both x → a and x → b in the sense defined in
Def. 3.25.
(iii) φ satisfies one of the conditions specified in Prop. 3.26 and one of the analogous
conditions for x → a.
Proof. (i) implies (ii) by Th. 3.28, (ii) implies (iii) by Prop. 3.26, and it is an exercise
to show (iii) implies (i) (here, Prop. 3.23 is the clue). !
Example 3.30. The following examples illustrate the different kinds of possible bahav-
ior of maximal solutions listed in Prop. 3.26 (the different kinds of bahavior can already
be seen for 1-dimensional ODE of first order):
G = R2 , f : G −→ R, f (x, y) = 0,
which has the maximal solution φ : ] − ∞, 0[−→ R, φ(x) = x−1 sin(x−1 ) (here
lim supx↑0 |φ(x)| = ∞, but, as φ(−1/(kπ)) = 0 for each k ∈ N, limx↑0 |φ(x)| does
not exist) – here we have
1 1 1 1
G = (R \ {0}) × R, f : G −→ R, f (x, y) = − 2
sin + 3 cos .
x x x x
To obtain an example, where we are again in Case (ii) of Prop. 3.26, but where
G = R2 , consider the initial value problem
y! = y2, y(−1) = 1,
3 GENERAL THEORY 49
which, as in the first example of (b), has the maximal solution φ : ] − ∞, 0[−→ R,
φ(x) = −x−1 – here we have
G = R2 , f : G −→ R, f (x, y) = y 2 .
y ! = −y −1 , y(−1) = 1,
√
has the maximal solution φ : ] − ∞, − 21 [−→ R, φ(x) = −2x − 1 – here we have
G = R × (R \ {0}), f : G −→ R, f (x, y) = −y −1 ,
As a final example, where we are again in Case (iii) of Prop. 3.26, reconsider the
initial value problem from (a), but this time with
Example 3.31. We have already seen examples of initial value problems that admit
more than one maximal solution – for instance, the initial value problem of Ex. 1.4(b)
had infinitely many different maximal solutions, all of them defined on all of R. The fol-
lowing example shows that an initial value problem can have maximal solutions defined
on different intervals: Let
'
|y|
G := R×] − 1, 1[, f : G −→ R, f (x, y) := ' ,
1 − |y|
φ : R −→ R, φ(0) = 0.
However, another maximal solution (that can be found using separation of variables) is
( # √ $2
− 1− 1+x for −1 < x ≤ 0,
ψ : ] − 1, 1[−→ R, ψ(x) := # √ $2
1− 1−x for 0 ≤ x < 1.
To confirm the maximality of the solution ψ, note limx↓−1 (x, ψ(x)) = (−1, −1) ∈ ∂G
and limx↑1 (x, ψ(x)) = (1, 1) ∈ ∂G.
y (k) = f x, y, y ! , . . . , y (k−1) ,
# $
(3.79a)
admits unique maximal solutions if, and only if, f is such that every initial value problem
consisting of (3.79a) and
with (ξ, η) ∈ G, has a unique maximal solution φ(ξ,η) : I(ξ,η) −→ Kn (combining Cor.
3.16 with Th. 3.22 yields that G being open and f being continuous and locally Lipschitz
3 GENERAL THEORY 51
with respect to y is sufficient for (3.79a) to admit unique maximal solutions, but we
know from Rem. 3.17 that this condition is not necessary). If f is such that (3.79a)
admits unique maximal solutions, then
defined on
Df := {(x, ξ, η) ∈ R × G : x ∈ I(ξ,η) }, (3.81)
is called the global or general solution to (3.79a). Note that the domain Df of Y is
determined entirely by f , which is notationally emphasized by its lower index f .
The core of the proof of continuity in initial conditions as stated in Cor. 3.36 below is
the following Th. 3.34(a), which provides continuity in initial conditions locally. As a
byproduct, we will also obtain a version of the Picard-Lindelöf theorem in Th. 3.34(b),
which states the local uniform convergence of the so-called Picard iteration, a method for
obtaining approximate solutions that is quite different from the Euler method considered
above.
Theorem 3.34. Consider the situation of Def. 3.32 for first-order problems, i.e. with
k = 1, and with f being continuous and locally Lipschitz with respect to y on G open.
Fix an arbitrary norm 4 · 4 on Kn .
(a) For each (σ, ζ) ∈ G ⊆ R × Kn and each −∞ < a < b < ∞ such that [a, b] ⊆ I(σ,ζ)
(i.e., using the notation introduced in Def. 3.32, the maximal solution φ(σ,ζ) =
Y (·, σ, ζ) is defined on [a, b]), there exists δ > 0 satisfying:
the maximal solution φ(ξ,η) = Y (·, ξ, η) is defined on ]a, b[ (i.e. ]a, b[⊆ I(ξ,η) ).
3 GENERAL THEORY 52
(ii) The restriction of the global solution (x, ξ, η) #→ Y (x, ξ, η) to the open set
is continuous.
(b) (Picard-Lindelöf) For each (σ, ζ) ∈ G, there exists α > 0 such that the Picard
iteration, i.e. the sequence of functions (φm )m∈N0 , φm : ]σ − α, σ + α[−→ Kn , defined
recursively by
φ0 (x) := ζ, (3.84a)
1 x # $
∀ φm+1 (x) := ζ + f t, φm (t) dt , (3.84b)
m∈N0 σ
converges uniformly to the solution of the initial value problem (3.79) (with k = 1
and (ξ, η) := (σ, ζ)) on ]σ − α, σ + α[.
Proof. We will obtain (b) as an aside while proving (a). To simplify notation, we
introduce the function
is a compact subset of G (cf. [Phi16b, Th. 3.12]). Thus, γ has a positive distance from
the closed set (R × Kn ) \ G, implying
Clearly, C is bounded and C is also closed (using the continuity of the distance function
d : R × Kn −→ R+ 0 , d(·) := dist(·, γ), the continuity of the projection to the first
component π1 : R × Kn −→ R, and noting C = d−1 [0, δ1 ] ∩ π1−1 [a, b]). Thus, C is
compact, and the hypothesis of f being locally Lipschitz with respect to y implies f to
be globally Lipschitz with some Lipschitz constant L ≥ 0 on the compact set C by Prop.
3.13. We can now choose the number δ > 0 claimed to exist in (a) to be any number
Even though we are mostly interested in what happens on the open set W , it will be
convenient to define functions on the slightly larger compact set
W := [a, b] × U ,
U := (x, y) ∈ R × Kn : x ∈ [a, b], 9y − ψ(x)9 ≤ δ = d−1 [0, δ] ∩ π1−1 [a, b].
% 9 9 &
To proceed with the proof, we now carry out a form of the Picard iteration, recursively
defining a sequence of functions (ψm )m∈N0 , ψm : W −→ Kn , defined recursively by
ψ0 (x, ξ, η) := ψ(x) + η − ψ(ξ), (3.88a)
1 x
# $
∀ ψm+1 (x, ξ, η) := η + f t, ψm (t, ξ, η) dt . (3.88b)
m∈N0 ξ
The proof will be concluded if we can show the (ψm )m∈N0 constitute a sequence of
continuous functions converging uniformly on W to Y #W . As an intermediate step, we
establish the following properties of the ψm (simultaneously) by induction on m ∈ N0 :
To start the induction proof, notice that the continuity of ψ implies the continuity of
ψ0 . Moreover, if (x, ξ, η) ∈ W , then
completing the proof of (1) – (3) for m = 0. For the induction step, let m ∈ N0 .
It is left as an exercise to prove the continuity of ψm+1 .
Using the triangle inequality, we estimate, for each (x, ξ, η) ∈ W ,
9 9
9ψm+1 (x, ξ, η) − ψ(x)9
;m
9 9
≤ 4ψj+1 (x, ξ, η) − ψj (x, ξ, η)9 + 4ψ0 (x, ξ, η) − ψ(x)9
j=0
m
(3.89), ind.hyp. for (3) ; Lj+1 |x − ξ|j+1 δ (3.86)
≤ + δ ≤ eL|x−ξ| δ < eL(b−a) e−L(b−a) δ1 = δ1 ,
j=0
(j + 1)!
establishing the estimate of (2) for m + 1. To prove the estimate in (3) for m replaced
by m + 1, one estimates, for each (x, ξ, η) ∈ W ,
>1 x 9 >
9 9 > # $ # $9 >
9ψm+2 (x, ξ, η) − ψm+1 (x, ξ, η)9 ≤ >> 9f t, ψm+1 (t, ξ, η) − f t, ψm (t, ξ, η) 9 dt >>
9 9
ξ
>1 x >
> 9 9 >
≤ L> > 9 ψm+1 (t, ξ, η) − ψm (t, ξ, η) dt >>
9
>1ξ x m+1 m+1
>
ind.hyp. > L |t − ξ| δ >
≤ L >> dt >>
ξ (m + 1)!
m+2
L |x − ξ|m+2 δ
= ,
(m + 2)!
completing the induction proof of (1) – (3).
As a consequence of (3), for each l, m ∈ N0 such that m > l:
m
9 9 ; Lj (b − a)j
∀ 9ψm (x, ξ, η) − ψl (x, ξ, η)9 ≤ δ . (3.90)
(x,ξ,η)∈W
j=l+1
j!
The convergence of the exponential series, thus, implies that (ψm (x, ξ, η))m∈N0 is a
Cauchy sequence for each (x, ξ, η) ∈ W , yielding pointwise convergence of the ψm to
some function ψ̃ : W −→ Kn . Letting m tend to infinity in (3.90) then shows
∞
9 9 ; Lj (b − a)j
∀ 9ψ̃(x, ξ, η) − ψl (x, ξ, η)9 ≤ δ ,
(x,ξ,η)∈W
j=l+1
j!
where the independence of the right-hand side with respect to (x, ξ, η) ∈ W proves
ψm → ψ̃ uniformly on W . The uniform convergence together with (1) then implies ψ̃
to be continuous.
In the final step of the proof, we show ψ̃ = Y on W , i.e. ψ̃(·, ξ, η) solves (3.79) (with
k = 1). By Th. 1.5, we need to show
1 x
# $
∀ ψ̃(x, ξ, η) = η + f t, ψ̃(t, ξ, η) dt (3.91)
(x,ξ,η)∈W ξ
3 GENERAL THEORY 55
(then uniqueness of solutions implies ψ̃(·, ξ, η) = Y (·, ξ, η)). To verify (3.91), given
& > 0, by the uniform convergence ψm → ψ̃, choose m ∈ N sufficiently large such that
9 9
∀ ∀ 9ψ̃(x, ξ, η) − ψk (x, ξ, η)9 < &
k∈{m−1,m} (x,ξ,η)∈W
As (3.92) holds for every & > 0, (3.91) must be true as well.
It is noted that we have, indeed, proved (b) as a byproduct, since we know (for example
from the Peano Th. 3.8) that ψ must be defined on [σ − α, σ + α] for some α > 0 and
then φm = ψm (·, σ, ζ) on [σ − α, σ + α] for each m ∈ N0 . !
Theorem 3.35. As in Th. 3.34, consider the situation of Def. 3.32 for first-order prob-
lems, i.e. with k = 1, and with f being continuous and locally Lipschitz with respect to
y on G open. Then the global solution (x, ξ, η) #→ Y (x, ξ, η) as defined in Def. 3.32 is
continuous. Moreover, its domain Df is open.
Proof. Let (x, σ, ζ) ∈ Df . Then, using the notation from Def. 3.32, x is in the domain of
the maximal solution φ(σ,ζ) , i.e. x ∈ I(σ,ζ) . Since I(σ,ζ) is open, there must be −∞ < a <
x < b < ∞ such that [a, b] ⊆ I(σ,ζ) and then Th. 3.34(a) implies the global solution Y to
be continuous on W , where W as defined in (3.83) is an open neighborhood of (x, σ, ζ).
In particular, (x, σ, ζ) is an interior point of Df and Y is continuous at (x, σ, ζ). As
(x, σ, ζ) was arbitrary, Df must be open and Y must be continuous. !
Corollary 3.36. Consider the situation of Def. 3.32 with f being continuous and locally
Lipschitz with respect to y on G open. Then the global solution (x, ξ, η) #→ Y (x, ξ, η) as
defined in Def. 3.32 is continuous. Moreover, its domain Df is open.
Proof. It was part of the exercise that proved Cor. 3.16 to show that the right-hand side
F of the first-order problem equivalent to (3.79) in the sense of Th. 3.1 is continuous
and locally Lipschitz with respect to y, provided f is continuous and locally Lipschitz
with respect to y. Thus, according to Th. 3.35, the equivalent first-order problem has
a continuous global solution Υ : DF −→ Kkn , defined on some open set DF . As a
consequence of Th. 3.1(b), Y = Υ1 : DF −→ Kn is the global solution to (3.79a). So
we have Df = DF and, as Υ is continuous, so is Y . !
Proof. We consider k = 1 (i.e. (3.93a) is of first order) – the case k > 1 can then, in the
usual way, be obtained by applying Th. 3.1. To apply Th. 3.35 to the present situation,
define the auxiliary function
(
fj (x, y) for j = 1, . . . , n,
F : G −→ Kn+l , Fj (x, y) := (3.96)
0 for j = n + 1, . . . , n + l.
Then, since f is continuous and locally Lipschitz with respect to (y, µ), F is continuous
and locally Lipschitz with respect to y, and we can apply Th. 3.35 to
y ! = F (x, y), (3.97a)
y(ξ) = (η, µ), (3.97b)
4 Linear ODE
is called an n-dimensional linear ODE of first order. It is called homogeneous if, and
only if, b ≡ 0; it is called inhomogeneous if, and only if, it is not homogeneous.
—
Using the notion of matrix norm (cf. Sec. G), it is not hard to show the right-hand side
of (4.1) is continuous and locally Lipschitz with respect to y and, thus, every initial
value problem for (4.1) has a unique maximal solution (exercise). However, to show
the maximal solution is always defined on all of I, we need some additional machinery,
which is developed in the next section.
y ! ≤ f (x, y) (4.2)
Since f is continuous and locally Lipschitz with respect to y, g is continuous and locally
Lipschitz with respect to (y, µ). Thus, continuity in initial conditions as given by Cor.
3.38 applies, yielding the global solution Y : Dg −→ R, (x, ξ, η, µ) #→ Y (x, ξ, η, µ), to
be continuous on the open set Dg .
We now consider an arbitrary compact subinterval [a, c] ⊆ [a, b[ with a < c < b, noting
that it suffices to prove w ≤ φ on every such interval [a, c]. The set
% &
γ := (Id, a, φ(a), 0)[a, c] = (x, a, φ(a), 0) : x ∈ [a, c] (4.6)
If we choose the distance in (4.7) to be meant with respect to the max-norm on R4 and
if 0 < µ < &, then (x, a, φ(a), µ) ∈ γ$ for each x ∈ [a, c], such that φµ := Y (·, a, φ(a), µ)
is defined on (a superset of) [a, c]. We proceed to prove w ≤ φµ on [a, c]: Seeking a
contradiction, assume there exists x0 ∈ [a, c] such that w(x0 ) > φµ (x0 ). Due to the
continuity of w and φµ , w > φµ must then hold in an entire neighborhood of x0 . On the
other hand, w(a) ≤ φ(a) = φµ (a), such that, for
% &
x1 := inf x < x0 : w(t) > φµ (t) for each t ∈]x, x0 ] ,
a ≤ x1 < x0 and w(x1 ) = φµ (x1 ). But then, for each sufficiently small h > 0,
implying
w(x1 + h) − w(x1 ) φµ (x1 + h) − φµ (x1 )
w! (x1 ) = lim ≥ lim = φ!µ (x1 )
h→0 h h→0 h
# $ # $ # $ # $
= g x1 , φµ (x1 ), µ = f x1 , φµ (x1 ) + µ > f x1 , φµ (x1 ) = f x1 , w(x1 ) , (4.8)
Thus, w ≤ φµ on [a, c] holds for every 0 < µ < &, and continuity of Y on Dg yields,
# $ # $
∀ w(x) ≤ lim φµ (x) = lim Y x, a, φ(a), µ = Y x, a, φ(a), 0 = φ(x), (4.9)
x∈[a,c] µ→0 µ→0
implies 1 x !1 x "
∀ γ(x) ≤ α(x) + α(t) β(t) exp β(s) ds dt . (4.11)
x∈I a t
implies !1 x "
∀ γ(x) ≤ C exp β(t) dt : (4.17)
x∈I a
We apply Gronwall’s inequality of Th. 4.5 with α ≡ C together with the fundamental
theorem of calculus to obtain the estimate
1 x !1 x "
γ(x) ≤ C + C β(t) exp β(s) ds dt
a t
1 x! !1 t "" 3 !1 t "4x
=C −C −β(t) exp −β(s) ds dt = C − C exp −β(s) ds
a x x a
!1 x "
= C exp β(t) dt (4.18)
a
The following Th. 4.7 will be applied to show maximal solutions to linear ODE are
always defined on all of I (with I as in Def. 4.2). However, Th. 4.7 is often also useful
to obtain the domains of maximal solutions for nonlinear ODE.
Theorem 4.7. Let n ∈ N, let I ⊆ R be an open interval, and let f : I × Kn −→ Kn be
continuous. If there exist nonnegative continuous functions γ, β : I −→ R+
0 such that
y ! = f (x, y)
is defined on all of I.
Proof. Let c < d and φ : ]c, d[−→ Kn be a solution to y ! = f (x, y). We prove that
d < b := sup I implies φ can be extended to the right and a := inf I < c implies φ can
be extended to the left. First, assume d < b and let x0 ∈]c, d[. The idea is to apply
Example 4.6 on the interval [x0 , d[. To this end, we estimate, for each x ∈ [x0 , d[:
9 1 x 9 1 x9
9 # $ 9 9 # $9
4φ(x)4 = 9φ(x0 ) + f t, φ(t) dt 9 ≤ 4φ(x0 )4 + 9f t, φ(t) 9 dt
9 9 9
x x0
(4.19)
10 x 1 x
≤ 4φ(x0 )4 + γ(t) dt + β(t) 4φ(t)4 dt . (4.20)
x0 x0
4 LINEAR ODE 61
Since the continuous function γ is uniformly bounded on the compact interval [x0 , d],
1 x
∃ ∀ 4φ(x)4 ≤ C + β(t) 4φ(t)4 dt .
C≥0 x∈[x0 ,d[ x0
where M ≥ 0 is a uniform bound for the continuous function β on the compact interval
[x0 , d]. As (4.21) states that the graph
%# $ &
gr+ (φ) = x, φ(x) ∈ G : x ∈ [x0 , d[
is contained in the compact set
K := [x0 , d] × y ∈ Kn : 4y4 ≤ C eM (d−x0 ) ,
% &
Proof. It is an exercise to show the right-hand side of (4.1) is continuous and locally
Lipschitz with respect to y. Thus, every initial value problem has a unique maximal
solution by using Cor. 3.16 and Th. 3.22. That each maximal solution is defined on I
follows from Th. 4.7, as
9 9 9 9 9 9
∀ 9A(x)y + b(x)9 ≤ 9b(x)9 + 9A(x)9 4y4,
x∈I
9 9
where 9A(x)9 denotes the matrix norm of A(x) induced by the norm 4 · 4 on Kn (cf.
Appendix G). !
We will now proceed to study the solution spaces of linear ODE – as it turns out, these
solution spaces inherit the linear structure of the ODE.
Notation 4.9. Again, we consider the setting of Def. 4.2. Define Li and Lh to be the
respective sets of solutions to (4.1) and its homogeneous version, i.e.
) ,
Li := (φ : I −→ Kn ) : φ! = Aφ + b , (4.22a)
) ,
Lh := (φ : I −→ Kn ) : φ! = Aφ . (4.22b)
4 LINEAR ODE 62
∀ Li = φ + Lh = {φ + ψ : ψ ∈ Lh }, (4.23)
φ∈Li
i.e. one obtains all solutions to the inhomogeneous equation (4.1) by adding solutions
of the homogeneous equation to a particular solution to the inhomogeneous equation
(note that this is completely analogous to what occurs for solutions to linear systems of
equations in linear algebra).
Proof. Exercise. !
Example 4.12. In Example 1.4(e), we had claimed that the second-order ODE (1.16)
on [a, b], a < b, namely
y !! = −y
4 LINEAR ODE 63
We are now in a position to verify this claim: The second-order ODE (1.16) is equivalent
to the homogeneous linear first-order ODE
! !" ! " ! "! "
y1 y2 0 1 y1
! = = (4.24)
y2 −y1 −1 0 y2
Moreover, φ1 and φ2 are linearly independent (e.g. since φ1 (0) = 01 and φ2 (0) = 10 are
#$ #$
and, since, according to Th. 3.1 the solutions to (1.16) are precisely the first components
of solutions to (4.24), the representation (1.17) is verified.
Y ! = A(x) Y : (4.28)
Indeed,
Φ! = φ!1 , . . . , φ!n = A(x) φ1 , . . . , A(x) φn = A(x) Φ.
# $ # $
Proof. The equivalences are a direct consequence of the equivalences in Th. 4.11(b). !
constitutes a fundamental matrix solution in the sense of Def. and Rem. 4.13 (since 1/φ0
exists). Taking into account Φ(x0 ) = φ0 (x0 ) = 1, we obtain, for each x ∈ I,
1 x
(4.29) −1
φ(x) = Φ(x)Φ (x0 ) y0 + Φ(x) Φ−1 (t) b(t) dt
x0
! 1 x "
−1
= φ0 (x) y0 + φ0 (t) b(t) dt , (4.31)
x0
which is (2.2a).
—
4 LINEAR ODE 65
In Sec. 4.6, we will study methods for actually finding fundamental matrix solutions in
cases where A is constant. However, in general, fundamental matrix solutions are often
not explicitly available. In such situations, the following Th. 4.17 can sometimes help
to extract information about solutions.
Theorem 4.17 (Liouville’s Formula). Consider the setting of Def. 4.2 and recall the
trace of an n × n matrix A = (akl ) is defined by
n
;
tr A := akk .
k=1
Proof. Exercise. !
It is called homogeneous if, and only if, b ≡ 0; it is called inhomogeneous if, and only if,
it is not homogeneous. Analogous to (4.22), define the respective sets of solutions
) n−1
; ,
Hi := (φ : I −→ K) : φ(n) = b + ak φ(k) , (4.34a)
k=0
) n−1
; ,
(n) (k)
Hh := (φ : I −→ K) : φ = ak φ . (4.34b)
k=0
(a) If Hi and Hh are the sets defined in (4.34), then Hh is an n-dimensional vector
space over K and, if φ ∈ Hi is arbitrary, then
Hi = φ + Hh . (4.36)
W (φ1 , . . . , φn )(x0 ) -= 0.
(iii) The Wronskian never vanishes, i.e. W (φ1 , . . . , φn )(x) -= 0 for every x ∈ I.
Proof. According to Th. 3.1, (4.33) is equivalent to the first-order linear ODE
0 1 0 ... 0 0 y1 0
0 0 1 ... 0 0 y2 0
.. .. . .
. ... ... .. ..
!
y = . +
0 0 0 . . . 1 0 yn−2 0
0 0 0 ... 0 1 yn−1 0
a0 (x) a1 (x) a2 (x) . . . an−2 (x) an−1 (x) yn b(x)
Define
) ,
n !
Li := (Φ : I −→ K ) : Φ = ÃΦ + b̃ ,
) ,
Lh := (Φ : I −→ Kn ) : Φ! = Ãφ .
such that det Φ(x) = W (φ1 , . . . , φn )(x) for each x ∈ I. Since Th. 3.1 yields Φ1 , . . . , Φn ∈
Lh if, and only if, φ1 , . . . , φn ∈ Hh , the equivalences of (b) follow from the equivalences
of Cor. 4.14. !
y! y
y !! = a1 (x) y ! + a0 (x) y = − 2.
2x 2x
One might be able to guess the solutions
√
φ1 , φ2 : R+ −→ K, φ1 (x) := x, φ2 (x) := x.
The Wronskian is
W (φ1 , φ2 ) : R+ −→ K,
√ " √ √
x √
!
x x x
W (φ1 , φ2 )(x) = det √ = − x=− < 0,
1 1/(2 x) 2 2
Hh = {c1 φ1 + c2 φ2 : c1 , c2 ∈ K}.
(a) Let P denote the set of all polynomials over K, Pn := {P ∈ P : deg P ≤ n}. We
will also write P[R], P[C], Pn [R], Pn [C] if we need to be specific about the field of
coefficients.
(b) Let I ⊆ R be a nontrivial interval. Let Dn (I) := Dn (I, K) denote the set of all n
times differentiable functions f : I −→ K, and let
and, for each P ∈ Pn with P (x) = nj=0 aj xj (a0 , . . . , an ∈ K) define the differential
<
operator
n
; n
;
n
P (∂x ) : D (I) −→ F(I, K), P (∂x )f := aj ∂xj f = aj f (j) . (4.39)
j=0 j=0
Remark 4.24. Using Not. 4.23(b), the ODE (4.38) can be written concisely as
n−1
;
P (∂x )y = b(x), where P (x) := xn − aj x j . (4.40)
j=0
The following Prop. 4.25 implies that the differential operator P (∂x ) does not, actually,
depend on the representation of the polynomial P .
Proposition 4.25. Let P, P1 , P2 ∈ P.
Proof. Exercise. !
proving (4.42). !
<n−1
Theorem 4.27. If a0 , . . . , an−1 ∈ K, n ∈ N, and P (x) = xn − j=0 aj xj has the distinct
zeros λ1 , . . . , λn ∈ K (i.e. P (λ1 ) = · · · = P (λn ) = 0), then (φ1 , . . . , φn ), where
Proof. It is immediate from (4.42) and P (λj ) = 0 that each φj satisfies P (∂x )φj = 0.
From Th. 4.20(a), we already know Hh is an n-dimensional vector space over K. Thus,
it merely remains to compute the Wronskian. One obtains (cf. (4.35)):
> >
> 1 . . . 1 >
> >
> λ1 . . . λn > n−1
> (H.2) C
W (φ1 , . . . , φn )(0) = > .. .. > = (λk − λl ) -= 0,
>
> . . >
> n−1 k,l=0
. . . λnn−1 >
>
>λ1 k>l
since the λj are all distinct. We have used that the Wronskian, in the present case, turns
out to be a Vandermonde determinant. The formula (H.2) for this type of determinant is
provided and proved in Appendix H. We also used that the determinant of a matrix is the
same as the determinant of its transpose: det A = det At . From W (φ1 , . . . , φn )(0) -= 0
and Th. 4.20(b), we conclude that (φ1 , . . . , φn ) is a basis of Hh . !
i.e. P has the distinct zeros λ1 = i, λ2 = −i, λ3 = 2. Thus, according to Th. 4.27, the
three functions
form a basis of the C-vector space Hh . If we consider (4.45) as an ODE over R, then
we are interested in a basis of the R-vector space Hh . We can use linear combinations
of φ1 and φ2 to obtain such a basis (cf. Rem. 4.33(b) below):
eix + e−ix eix − e−ix
ψ1 , ψ2 : R −→ R, ψ1 (x) = = cos x, ψ2 (x) = = sin x. (4.48)
2 2i
As explained in Rem. 4.33(b) below, as (φ1 , φ2 , φ3 ) are a basis of Hh over C, (ψ1 , ψ2 , φ3 )
are a basis of Hh over R.
—
By working a bit harder, one can generalize Th. 4.27 to the case where P has zeros of
higher multiplicity. We provide this generalization in Th. 4.32 below after recalling the
notion of zeros of higher multiplicity in Rem. and Def. 4.29, and after providing two
preparatory lemmas.
Remark and Definition 4.29. According to the fundamental theorem of algebra (cf.
[Phi16a, Th. 8.32, Cor. 8.33(b)]), for every polynomial P ∈ Pn with deg P = n, n ∈ N,
there exists r ∈ N with r ≤ n, k1 , . . . , kr ∈ N with k1 + · · · + kr = n, and distinct
numbers λ1 , . . . , λr ∈ C such that
Proof. The
# proof is$ carried out by induction. The case k = 0 is merely the identity
(∂x − λ)0 f (x) eλx = f (x) eλx . For the induction step, let k ≥ 1 and compute, using
the product rule,
$ ind. hyp.
(∂x − λ)k f (x) eλx (∂x − λ) f (k−1) (x) eλx
# # $
=
= f (k) (x) eλx + f (k−1) (x) λ eλx − λ f (k−1) (x) eλx
= f (k) (x) eλx , (4.51)
Lemma 4.31. Let P ∈ P and λ ∈ K such that P (λ) -= 0. Then, for each Q ∈ P with
deg Q = k, k ∈ N0 , it holds that
where b0 = P (λ) -= 0 and the remaining bj ∈ K can also be calculated from the
coefficients of P according to [Phi16a, (6.6)]. We compute
n n
$ (4.53) ; $ (4.50) ;
P (∂x ) Q(x) eλx = bj (∂x − λ)j Q(x) eλx = bj Q(j) (x) eλx ,
# #
j=0 j=0
<k
i.e. (4.52) holds with R := Q(j) and b0 -= 0 implies deg R = deg Q = k.
j=0 bj !
<n−1
Theorem 4.32. If a0 , . . . , an−1 ∈ K, n ∈ N, and P (x) = xn − j=0 aj xj has the distinct
zeros λ1 , . . . , λr ∈ K with respective multiplicities k1 , . . . , kr ∈ N, then the set
) ,
B := (φjm : I −→ K) : j ∈ {1, . . . , r}, m ∈ {0, . . . , kj − 1} , (4.54a)
where
∀ ∀ φjm : I −→ K, φjm (x) := xm eλj x , (4.54b)
j∈{1,...,r} m∈{0,...,kj −1}
and, for j < r, Lem. 4.31 applies due to (λj − λr )kr -= 0, also providing deg Rj = deg Qj .
Thus, none of the Rj in (4.56) can vanish identically, violating the induction hypothesis.
This finishes the proof of Qj ≡ 0 for each j = 1, . . . , r and the proof of the theorem. !
As it can occur in Th. 4.32 that P ∈ P[R], but λj ∈ C \ R for some or all of the zeros λj ,
the question arises of how to obtain a basis of the R-vector space Hh from the basis of
the C-vector space Hh provided by Th. 4.32. The following Rem. 4.33(b) answers this
question.
Remark 4.33. (a) If λ1 , λ2 ∈ C, then complex conjugation has the properties (cf.
[Phi16a, Def. and Rem. 5.5])
λ1 ± λ2 = λ̄1 ± λ̄2 , λ1 λ2 = λ̄1 λ̄2 .
In consequence, if P ∈ P[R], then P (λ) = P (λ̄) for each λ ∈ C. In particular, if
P ∈ P[R] and λ ∈ C \ R is a nonreal zero of P , then λ̄ -= λ is also a zero of P .
(b) Consider the situation of Th. 4.32 with P ∈ P[R]. Using (a), if φjm : I −→ C,
φjm (x) = xm eλj x , λj ∈ C \ R, occurs in a basis for the C-vector space Hh (with
m = 0 in the special case of Th. 4.27), then φj̃m : I −→ C, φj̃m (x) = xm eλj̃ x , with
λj̃ = λ̄j will occur as well. Noting that, for each x ∈ R and each λ ∈ C,
eλx = ex(Re λ+i Im λ) = ex Re λ cos(x Im λ) + i sin(x Im λ) ,
# $
(4.57a)
λ̄x x(Re λ−i Im λ) x Re λ
# $
e =e =e cos(x Im λ) − i sin(x Im λ) , (4.57b)
1 λx
(e + eλ̄x ) = ex Re λ cos(x Im λ), (4.57c)
2
1 λx
(e − eλ̄x ) = ex Re λ sin(x Im λ), (4.57d)
2i
one can define
1
ψjm : I −→ R, ψjm (x) := (φjm (x) + φj̃m (x)) = xm ex Re λj cos(x Im λj ), (4.58a)
2
1
ψj̃m : I −→ R, ψj̃m (x) := (φjm (x) − φj̃m (x)) = xm ex Re λj sin(x Im λj ).
2i
(4.58b)
If one replaces each pair φjm , φj̃m in the basis for the C-vector space Hh with the
corresponding pair ψjm , ψj̃m , then one obtains a basis for the R-vector space Hh :
This follows from
! " ! " !1 1 "
ψjm φjm 2 2 1
=A with A := 1 1 , det A = − -= 0. (4.59)
ψj̃m φj̃m 2i
− 2i 2i
4 LINEAR ODE 73
i.e. P has the zeros λ1 = 2i, λ2 = −2i, both with multiplicity 2. Thus, according to Th.
4.32, the four functions
φ10 , φ11 , φ20 , φ21 : R −→ C,
φ10 (x) = e 2ix
, φ11 (x) = x e2ix , φ20 (x) = e−2ix , φ21 (x) = x e−2ix ,
form a basis of the C-vector space Hh . If we consider (4.60) as an ODE over R, we can
use (4.58) to obtain the basis (ψ10 , ψ11 , ψ20 , ψ21 ) of the R-vector space Hh , where
If (4.38) is inhomogeneous, then one can use Th. 4.32 and, if necessary, Rem. 4.33(b),
to obtain a basis of the homogeneous solution space Hh , then using the equivalence with
systems of first-order linear ODE and variation of constants according to Th. 4.15 to
solve (4.38). However, if the function b in (4.38) is such that the following Th. 4.35
applies, then one can avoid using the above strategy to obtain a particular solution φ
to (4.38) (and, thus, the entire solution space via Hi = φ + Hh ).
<n−1
Theorem 4.35. Let a0 , . . . , an−1 ∈ K, n ∈ N, and P (x) = xn − j=0 aj xj . Consider
(a) (no resonance): If P (µ) -= 0 and m := deg(Q) ∈ N0 , then there exists a polynomial
R ∈ P such that deg(R) = m and
The reason behind the terms no resonance and resonance will be explained in the follow-
ing Example 4.36.
4 LINEAR ODE 74
Proof. Exercise. !
Example 4.36. Consider the second-order linear ODE
d2 x
+ ω02 x = a cos(ωt), ω0 , ω ∈ R+ , a ∈ R \ {0}, (4.65)
dt2
which can be written as P (∂t )x = a cos(ωt) with
P (t) := t2 + ω02 = (t − iω0 )(t + iω0 ). (4.66)
Note that the unknown function is written as x depending on the variable t (instead of y
depending on x). This is due to the physical interpretation of (4.65), where x represents
the position of a so-called harmonic oscillator at time t, having angular frequency ω0
and being subjected to a periodic external force of angular frequency ω and amplitude
a. We can find a particular solution φ to (4.65) by applying Th. 4.35 to
P (∂t )x = a eiωt . (4.67)
We have to distinguish two cases:
(a) Case ω -= ω0 : In this case, one says that the oscillator and the external force are not
in resonance, which explains the term no resonance in Th. 4.35(a). In this case, we
can apply Th. 4.35(a) with µ := iω and Q ≡ a, yielding R ≡ a/P (iω) = a/(ω02 −ω 2 ),
i.e.
a
φ0 : R −→ C, φ0 (t) := R(t) eµt = 2 eiωt , (4.68a)
ω0 − ω 2
is a solution to (4.67) and
a
φ : R −→ R, φ(t) := Re φ0 (t) = cos(ωt), (4.68b)
ω02 − ω2
is a solution to (4.65).
(b) Case ω = ω0 : In this case, one says that the oscillator and the external force are in
resonance, which explains the term resonance in Th. 4.35(b). In this case, we can
apply Th. 4.35(b) with µ := iω and Q ≡ a, i.e. m = 0, k = 1, yielding R(t) = ct
for some c ∈ C. To determine c, we plug x(t) = R(t) eµt into (4.67):
P (∂t ) ct eiωt = ∂t (c eiωt + ciωt eiωt ) + ω02 ct eiωt
# $
The previous definition of the matrix exponential function is further justified by the
following result:
Theorem 4.39. For each A ∈ M(n, C), n ∈ N, it holds that
∞
; (Ax)k
∀ eAx = (4.73)
x∈R
k=0
k!
in the sense that the partial sums on the right-hand side converge pointwise to eAx on
R, where the convergence is even uniform on every compact interval.
1A1k |x|k
Since the convergence limm→∞ m = e1A1|x| is pointwise for x ∈ R and uniform
<
k=0 k!
on every compact interval, (4.74) shows each (Am (x))m∈N is a Cauchy sequence that
converges to some Φ(x) ∈ M(n, C) (by the completeness of M(n, C)) pointwise for
x ∈ R and uniform on every compact interval. It remains to show Φ is the solution to
(4.72b), i.e. 1 x
∀ Φ(x) = Id + AΦ(t) dt . (4.75)
x∈R 0
Using the identity
m m−1 x m−1
(Ax)k Ak xk+1 Ak tk
; ; 1 ;
Am (x) = Id + = Id +A = Id + A dt ,
k=1
k! k=0
(k + 1)! 0 k=0
k!
The matrix exponential function has some properties that are familiar from the case
n = 1 (see Prop. 4.40(a),(b)), but also some properties that are, perhaps, unexpected
(see Prop. 4.42(a),(b)).
Proposition 4.40. Let A ∈ M(n, C), n ∈ N.
Proof. (a): Fix s ∈ R. The function Φs : R −→ M(n, C), Φs (t) := eA(t+s) is a solution
to Y ! = AY (namely the one for the initial condition Y (−s) = Id). Moreover, the
function Ψs : R −→ M(n, C), Ψs (t) := eAt eAs , is also a solution to Y ! = AY , since
Finally, since Ψs (0) = eA0 eAs = Id eAs = eAs = Φs (0), the claimed Φs = Ψs follows by
uniqueness of solutions.
(b) is an easy consequence of (a), since
(a)
Id = eA0 = eA(x−x) = eAx e−Ax .
4 LINEAR ODE 77
det eA = etr A .
(a) BeAx = eAx B holds for each x ∈ R if, and only if, AB = BA.
(b) e(A+B)x = eAx eBx holds for each x ∈ R if, and only if, AB = BA.
Proof. (a): If BeAx = eAx B holds for each x ∈ R, then differentiation yields BAeAx =
AeAx B for each x ∈ R, and the case x = 0 provides BA Id = A Id B, i.e. BA = AB.
For the converse, assume BA = AB and define the auxiliary maps
If 4·4 denotes an operator norm, then 4BC1 −BC2 4 ≤ 4B44C1 −C2 4 and 4C1 B−C2 B4 ≤
4B44C1 − C2 4, showing fB and gB to be (even Lipschitz) continuous. Thus,
D m
E D m E
k ; (Ax)k
; (Ax)
BeAx = fB (eAx ) = fB lim = lim fB
m→∞
k=0
k! m→∞
k=0
k!
m
D m
E D m E
; (Ax)k AB=BA ; (Ax)k ; (Ax)k
= lim B = lim B = lim gB
m→∞
k=0
k! m→∞
k=0
k! m→∞
k=0
k!
D m
E
; (Ax)k
= gB lim = gB (eAx ) = eAx B,
m→∞
k=0
k!
Av = λv. (4.77)
To proceed, we need a few more notions and results from linear algebra:
Theorem 4.45. Let n ∈ N and A ∈ M(n, C). Then the following statements (i) and
(ii) are equivalent:
(i) There exists a basis B of eigenvectors for Cn , i.e. there exist v1 , . . . , vn ∈ Cn and
λ1 , . . . , λn ∈ C such that B = {v1 , . . . , vn } is a basis of Cn and Avj = λj vj for
each j = 1, . . . , n (note that the vj must all be distinct, whereas some (or all) of
the λj may be identical).
4 LINEAR ODE 79
Theorem 4.46 (Jordan Normal Form). Let n ∈ N and A ∈ M(n, C). There exists an
invertible matrix W ∈ M(n, C) such that
B := W −1 AW (4.81)
where λj is an eigenvalue of A.
The reason Th. 4.46 regarding the Jordan normal form is useful for solving linear ODE
with constant coefficients is the following theorem:
−1 AW x
(b) eW = W −1 eAx W for each x ∈ R.
φ! = Aφ ⇔ W −1 φ! = W −1 Aφ ⇔ ψ ! = W −1 AW ψ
B = λ Id +N, (4.84)
i.e.
∀ Φ(x) = e(λ Id +N )x ; (4.88)
x∈R
Proof. Φ(0) = Id is immediate from (4.86). Since Φ(x) has upper triangular form with
all 1’s on the diagonal, we obtain det Φ(x) = ekλx -= 0 for each x ∈ R, showing the
columns of Φ are linearly independent. Let φαβ : R −→ C denote the αth component
function of the βth column of Φ, i.e.
(
xβ−α
eλx (β−α)! for α ≤ β,
∀ φαβ : R −→ C, φαβ (x) :=
α,β∈{1,...,k} 0 for α > β.
One computes,
xβ−α xβ−(α+1)
λx
λ e
(β−α)!
+ eλx (β−(α+1))!
for α < β,
xβ−α
∀ φ!αβ (x) = λ eλx (β−α)!
+0 for α = β,
α,β∈{1,...,k}
0 for α > β,
(iii) The matrix A has precisely one eigenvalue λ ∈ R and the corresponding eigenspace
is 1-dimensional. Then there is an invertible matrix W ∈ M(2, R) such that
B := W −1 AW is in (nondiagonal) Jordan normal form, i.e.
! "
−1 λ 1
B = W AW = .
0 λ
According to Th. 4.49, the two functions
! " ! "
2 λx 1 λx x
φ1 , φ2 : R −→ K , φ1 (x) := e , φ2 (x) := e , (4.94)
0 1
form a fundamental system for y ! = By (over K). Thus, according to Th. 4.47,
the two functions
(iii) For each Jordan block Bj (as in (4.83)) of B compute eBj x as in (4.86).
As step (ii) above tends to be complicated in practise, it is usually easier to obtain eAx
using the Putzer algorithm described next.
Putzer Algorithm
The Putzer algorithm due to [Put66] is a procedure for computing eAx that avoids the
difficulty of determining the Jordan normal form of A, and, thus, is often more efficient
to employ in practise than the procedure described in Rem. 4.51 above. The Putzer
algorithm is provided by the following theorem:
M0 := Id, (4.98a)
Mk = Mk−1 (A − λk Id) for k = 1, . . . , n − 1. (4.98b)
since each matrix annihilates its characteristic polynomial according to the Cayley-
Hamilton theorem (cf. [Koe03, Th. 8.4.6] or [Str08, Th. 26.6]). Also note
= −pn (x) Mn = 0,
5 Stability
completing the proof that φξ is a solution. Since each extension of φ yields an extension
of φξ and vice versa, φ is a maximal solution if, and only if, φξ is a maximal solution. !
Lemma 5.4. If Ω ⊆ Kn , n ∈ N, and f : Ω −→ Kn is such that (5.1) admits unique
maximal solutions (f being locally Lipschitz on Ω open is sufficient, but not necessary,
cf. Def. 3.32), then the global solution Y : Df −→ Kn of (5.1) satisfies
is often referred to as the orbit of φ in the present context of qualitative ODE theory.
(b) φ : R −→ S (note I = R) is called periodic if, and only if, there exists a smallest
ω > 0 (called the period of φ) such that
The requirement ω > 0 means constant functions are not periodic in the sense of
this definition.
Lemma 5.6. Let φ : R −→ Kn , n ∈ N.
(a) If φ is continuous and (5.4) holds for some ω > 0, then φ is either constant or
periodic in the sense of Def. 5.5(b).
Proof. Exercise. !
Definition 5.7. Let Ω ⊆ Kn , n ∈ N, and f : Ω −→ Kn . In the context of the
autonomous ODE (5.1), the zeros of f are called the fixed points of the ODE (5.1) (cf.
Lem. 5.8 below). One then sometimes uses the notation
F := Ff := {η ∈ Ω : F (η) = 0} (5.5)
Proof. If f (η) = 0 and φ ≡ η, then φ! (x) = 0 = f (φ(x)) for each x ∈ R, i.e. (i) implies
(ii). Conversely, if φ ≡ η is a solution to (5.1), then f (η) = f (φ(x)) = φ! (x) = 0, i.e. (ii)
implies (i). !
Proposition 5.9. If Ω ⊆ Kn , n ∈ N, and f : Ω −→ Kn is such that (5.1) admits
unique maximal solutions (f being locally Lipschitz on Ω open is sufficient), then, for
maximal solutions φ1 : I1 −→ Kn , φ2 : I2 −→ Kn to (5.1), defined on open intervals
I1 , I2 , respectively, precisely one of the following two statements (i) and (ii) is true:
5 STABILITY 87
In particular, it follows in this case that O(φ1 ) = O(φ2 ), i.e. the solutions have
the same orbit.
Proof. Suppose (i) does not hold. Then there are x1 ∈ I1 and x2 ∈ I2 such that
φ1 (x1 ) = φ2 (x2 ). Define ξ := x1 − x2 and consider
φ : I1 − ξ −→ Kn , φ(x) := φ1 (x + ξ). (5.7)
Then φ is a maximal solution of (5.1) by Lem. 5.3 and φ(x2 ) = φ1 (x1 ) = φ2 (x2 ). By
uniqueness of maximal solutions, we obtain φ = φ2 , in particular, I2 = I1 − ξ, proving
(5.6). Clearly, (5.6) implies O(φ1 ) = O(φ2 ). !
Proposition 5.10. If Ω ⊆ Kn , n ∈ N, and f : Ω −→ Kn is such that (5.1) admits
unique maximal solutions (f being locally Lipschitz on Ω open is sufficient), then, for
each maximal solution φ : I −→ Kn to (5.1), defined on the open interval I, precisely
one of the following three statements is true:
(i) φ is injective.
(ii) I = R and φ is periodic.
(iii) I = R and φ is constant (in this case η := φ(0) is a fixed point of (5.1)).
Proof. Clearly, (i) – (iii) are mutually exclusive. Suppose (i) does not hold. Then there
exist x1 , x2 ∈ I, x1 < x2 , such that φ(x1 ) = φ(x2 ). Set ω := x2 − x1 . According to Lem.
5.3, ψ : I − ω −→ Kn , ψ(x) := φ(x + ω), must also be a maximal solution to (5.1).
Since ψ(x1 ) = φ(x1 + ω) = φ(x2 ) = φ(x1 ), uniqueness implies ψ = φ and I = I − ω.
As ω > 0, this means I = R and the validity of (5.4). As φ is also continuous, by Lem.
5.6(a), either (ii) or (iii) must hold. !
Corollary 5.11. If Ω ⊆ Kn , n ∈ N, and f : Ω −→ Kn is such that (5.1) admits unique
maximal solutions (f being locally Lipschitz on Ω open is sufficient), then the orbits
of maximal solutions to (5.1) partition the phase space Ω into disjoint sets. Moreover,
every point η ∈ Ω is either a fixed point, or it belongs to some periodic orbit, or it belongs
to the orbit of some injective solution.
Proof. The corollary merely summarizes Prop. 5.9 and Prop. 5.10. !
Definition 5.12. In the situation of Cor. 5.11, a phase portrait for (5.1) is a sketch
showing representative orbits. Thus, the sketch shows subsets of the phase space Ω,
including fixed points (if any) and representative periodic solutions (if any). Usually,
one also uses arrows to indicate the direction in which each drawn orbit is traced as the
variable x increases.
5 STABILITY 88
Example 5.13. Even though it is a main goal of qualitative theory to obtain phase
portraits without the need of explicit solution formulas, and we will study techniques
for accomplishing this below, we will make use of explicit solution formulas for our first
two examples of phase portraits.
(b) As compared to the previous one, the phase portrait of the autonomous linear ODE
! !" ! "
y1 y
= 2 (5.9)
y2! y1
is more complicated: While (0, 0) is still the only fixed point, for each r > 0, all the
following functions φ1 , φ2 , φ3 , φ4 : R −→ R2 are solutions:
each type describing a hyperbolic orbit in some section of the plane R2 . These
sections are separated by rays, forming the orbits of the solutions φ5 , φ6 , φ7 , φ8 :
R −→ R2 :
The two rays on {(y1 , y1 ) : y1 -= 0} move away from the origin, whereas the two rays
on {(y1 , −y1 ) : y1 -= 0} move toward the origin. The hyperbolic orbits asymptoti-
cally approach the ray orbits and are traversed such that the flow direction agrees
between approaching orbits.
—
5 STABILITY 89
The next results will be useful to obtain new phase portraits from previously known
phase portraits in certain situations.
Proposition 5.14. Let Ω ⊆ Kn , n ∈ N, let I ⊆ R be some nontrivial interval, let
f : Ω −→ Kn , and let φ : I −→ Kn be a solution to
Proof. Since φ! (x) -= 0 for each x ∈ I, one has γ(x) -= 0 for each x ∈ I. As γ is also
continuous, it must be either always
2x negative or always positive. In consequence, fixing
x0 ∈ I, Γ : I −→ R, Γ(x) := x0 γ(t) dt , is continuous and either strictly increasing or
strictly decreasing. In particular, Γ is injective, J := Γ(I) is an interval, and Γ : I −→ J
is bijective. The desired function λ is λ := Γ−1 : J −→ I. Indeed, according to [Phi16a,
Th. 9.9], λ is differentiable and its derivative is the continuous function
1
λ! : J −→ R, λ! (x) = # $,
γ λ(x)
y ! = f (y), (5.12a)
y ! = h(y) f (y) (5.12b)
have precisely the same orbits, i.e. every orbit of a solution to (5.12a) is an orbit
of a solution to (5.12b) and vice versa.
(b) If f and h are such that the ODE (5.12) admit unique maximal solutions, then the
ODE (5.12) have precisely the same orbits (even if F =
- ∅).
Remark 5.16. We apply Prop. 5.15 to phase portraits (in particular, assume unique
maximal solutions). Prop. 5.15 says that overall multiplication with a continuous pos-
itive function h does not change the phase portrait at all. Moreover, Prop. 5.15 also
states that overall multiplication with a continuous negative function h does not change
the partition of Ω into solution orbits. However, after multiplication with a negative h,
the orbits are clearly traversed in the opposite direction, i.e., for negative h, the arrows
in the phase portrait have to be reversed. For a general continuous h, this implies the
phase portrait remains the same in each region of Ω, where h > 0; it remains the same,
except for the arrows reversed, in each region of Ω, where h < 0; and the zeros of h
add additional fixed points, cutting some of the previous orbits. We summarize how to
obtain the phase portrait of (5.12b) from that of (5.12a):
(2) Add the zeros of h as additional fixed points (if any). Previous orbits are cut, where
fixed points are added.
which comes from multiplying the right-hand side of (5.8) by h(y) = (y1 − 1)2 + y22 .
The phase portrait is the same as the one for (5.8), except for the added fixed point
at {(1, 0)}.
The differentiable function E ◦ φ : I −→ R is constant on the interval I if, and only if,
!
# ◦ φ) ≡ $0. Thus, by (5.16), E ◦ φ being constant for every solution φ is equivalent to
(E
(∇ E) • f (y) = 0 for each y ∈ Ω such that at least one solution passes through y. !
Example J.2 of the Appendix, pointed out by Anton Sporrer, shows the hypothesis of
Lem. 5.19, that each initial value problem for (5.1) has at least one solution, can not be
omitted. The following Prop. 5.20 makes use of integrals and applies to phase portraits
of 2-dimensional real ODE:
Proposition 5.20. Let Ω ⊆ R2 be open, and let f : Ω −→ R2 be continuous and
such that (5.1) admits unique maximal solutions (f being locally Lipschitz is sufficient).
Assume E : Ω −→ R to be a continuously differentiable integral for (5.1), i.e. for
y ! = f (y), satisfying ∇ E(y) -= 0 for each y ∈ Ω. Then the following statements hold
for each maximal solution φ : I −→ R2 of (5.1) (I ⊆ R some open interval):
(a) If (xm )m∈N is a sequence in I such that limm→∞ φ(xm ) = η ∈ Ω, then η ∈ F (i.e. η
is a fixed point) or η ∈ O(φ) (i.e. there exists ξ ∈ I with φ(ξ) = η).
(b) Let C ∈ R be such that E ◦ φ ≡ C (such a C exists, as E is an integral). If
E −1 {C} = {y ∈ Ω : E(y) = C} is compact and E −1 {C} ∩ F = ∅, then φ is
periodic.
We now assume η ∈ / F and show η ∈ O(φ). If η ∈ / F, then f (η) -= 0 and the continuity
of f and g imply there is δ̃ > 0, δ̃ ≤ δ, such that, for each s ∈ I˜ :=]η1 − δ̃, η1 + δ̃[,
f (s, g(s)) -= 0. Define the auxiliary function ϕ : I˜ −→ Ω, ϕ(s) = (s, g(s)). Since
E ◦ ϕ ≡ C, we can employ the chain rule to conclude
i.e. the two-dimensional vectors (∇ E)(ϕ(s)) and ϕ! (s) are orthogonal with respect to
the Euclidean scalar product. As E is an integral, using (5.15), f (ϕ(s)) is another vector
orthogonal to (∇ E)(ϕ(s)) and, since all vectors in R2 orthogonal to (∇ E)(ϕ(s)) form
a 1-dimensional subspace of R2 (recalling (∇ E)(ϕ(s)) -= 0), there exists γ(s) ∈ R such
that
ϕ! (s) = γ(s)f (ϕ(s)) (5.19)
(note f (ϕ(s)) -= 0 as s ∈ I). ˜ We can now apply Prop. 5.14, since (5.19) says ϕ is a
solution to (5.11), the function γ : I˜ −→ R, s #→ γ(s) = ϕ! (s)/f (ϕ(s)) is continuous,
and ϕ! (s) = (1, g ! (s)) -= (0, 0) for each s ∈ I. ˜ Thus, Prop. 5.14 provides a bijective
˜ !
λ : J −→ I, such that ϕ ◦ λ is a solution to y = f (y).
As we assume limm→∞ φ(xm ) = η, there exists M ∈ N such that 4φ(xm )−η4 < & for each
m ≥ M . Since E(φ(xm )) = C also holds, (5.17b) implies the existence of a sequence
(sm )m∈N in I˜ such that φ(xm ) = (sm , g(sm )) for each m ≥ M . Then, for each m ≥ M
and τm := λ−1 (sm ), (ϕ ◦ λ)(τm ) = ϕ(sm ) = φ(xm ). On the other hand, for τ0 := λ−1 (η1 ),
(ϕ ◦ λ)(τ0 ) = ϕ(η1 ) = η, showing φ(xm ), η ∈ O(ϕ ◦ λ). Since φ(xm ) ∈ O(φ) as well,
Prop. 5.9 implies O(ϕ ◦ λ) ⊆ O(φ), i.e. η ∈ O(φ), which proves (a). In preparation for
(b), we also observe that 4φ(xm ) − η4 < & for each m ≥ M implies the sm for m ≥ M
all are in some compact interval I1 with η1 ∈ I1 , implying the τm to be in the compact
interval J1 := λ−1 [I1 ] with τ0 ∈ J1 . We will use for (b) that J1 is bounded.
(b): As we have O(φ) ⊆ E −1 {C} according to the choice of C, the assumed compactness
of E −1 {C} and Prop. 3.24 show φ can only be maximal if it is defined on all of R (since
(x, φ(x)) must escape every compact [−m, m] × E −1 {C}, m ∈ N, on the left and on the
right). Using the compactness of E −1 {C} a second time, we obtain the existence of a
sequence (xm )m∈N in R such that limm→∞ xm = ∞ and limm→∞ φ(xm ) = η ∈ E −1 {C}.
So we see that we are in the situation of (a). Let ψ be the maximal extension of the
solution ϕ ◦ λ constructed in the proof of (a). Then we know O(ψ) ∩ O(φ) -= ∅ from the
proof of (a) and, since ψ and φ both are maximal, Prop. 5.9 implies O(ψ) = O(φ) and,
more importantly for us here, there exists ξ ∈ R such that ψ(x) = φ(x+ξ) for each x ∈ R.
Let m ≥ M with M from the proof of (a). If ξ -= 0, then φ(xm ) = ψ(τm ) = φ(xm + ξ)
shows φ is not injective. If ξ = 0, then φ = ψ and φ(xm ) = φ(τm ). Since the τm are
bounded, whereas the xm are unbounded, xm = τm cannot be true for all m, again
showing φ is not injective. Since E −1 {C} ∩ F = ∅, φ cannot be constant, therefore it
must be periodic by Prop. 5.10. !
5 STABILITY 93
Example 5.21. Using condition (5.15), i.e. ∇ E • f ≡ 0, one readily verifies that the
functions
(i) There exists r > 0 such that, for each η ∈ Ω with 4η − p4 < r, the maximal
−
solution x #→ Y (x, η) (cf. (5.24)) is defined on (a superset of) R+
0 (resp. R0 ).
(ii) For each & > 0, there exists δ > 0 such that, for each η ∈ Ω,
4η − p4 < δ ⇒ ∀ 4Y (x, η) − p4 < &. (5.25)
x≥0
(resp. x ≤ 0)
The fixed point p is said to be positively (resp. negatively) asymptotically stable if, and
only if, (i) and (ii) hold plus the additional condition
The norm 4 · 4 on Kn used in (i) – (iii) above is arbitrary. Due to the equivalence of
norms on Kn , changing the norm does not change the defined stability properties, even
though, in general, it does change the sizes of r, δ, γ.
Remark 5.25. In the situation of Def. 5.24, consider the time-reversed version of (5.23),
i.e.
y ! = −f (y). (5.27)
According to Lem. 1.9(b), (5.27) has the general solution
Ỹ : D−f,0 −→ Kn , Ỹ (x, η) := Y (−x, η),
(5.28)
D−f,0 = {(x, η) ∈ R × Kn : (−x, η) ∈ Df,0 }.
5 STABILITY 95
p is pos. asympt. stable for (5.23) ⇔ p is neg. asympt. stable for (5.27),
p is neg. asympt. stable for (5.23) ⇔ p is pos. asympt. stable for (5.27).
where I(0,η) denotes the domain of the maximal solution Y (·, η).
Proof. Clearly, stability in the sense of Def. 5.24 implies (5.29), and it merely remains
to show that (5.29) implies Def. 5.24(i). As (5.29) holds, we can consider & := 1 and
obtain a corresponding δ =: r. Then (5.29) states that, for each η ∈ Ω with 4η − p4 < r,
for x ≥ 0 (resp. for x ≤ 0), the maximal solution Y (x, η) remains in the compact set
B 1 (p). Since f : Ω −→ Kn is continuous on Ω ⊆ Kn open, Th. 3.28 implies R+ 0 ⊆ I(0,η)
(resp. R− 0 ⊆ I (0,η) ), proving Def. 5.24(i). !
It is an exercise to show Lem. 5.26 becomes false if the hypothesis that f be continuous
is omitted.
The set of fixed points is F = {0, 1}. Moreover, Y ! (·, η) < 0 for 0 < η < 1 and
Y ! (·, η) > 0 for η ∈] − ∞, 0[∪]1, ∞[. It follows that, for p = 0, the positive stability
part of (5.29) holds (where, given & > 0, one can choose δ := min{1, &}). Moreover,
for η < 0 and 0 < η < 1, one has limx→∞ Y (x, η) = 0. Thus, all three conditions of
Def. 5.24 are satisfied and 0 is positively asymptotically stable. Analogously, one
sees that 1 is negatively asymptotically stable.
(b) For the R2 -valued ODE of (5.8), (0, 0) is a fixed point that is positively and neg-
atively stable, but neither positively nor negatively asymptotically stable. For the
R2 -valued ODE of (5.9), (0, 0) is a fixed point that is neither positively nor nega-
tively stable.
5 STABILITY 96
y! = y2. (5.31)
The only fixed point is 0, which is neither positively nor negatively stable. Indeed,
not even Def. 5.24(i) is satisfied: One obtains
η
Y : Df,0 −→ R, Y (x, η) := ,
1 − ηx
where
showing every neighborhood of 0 contains η such that Y (·, η) is not defined on all
−
of R+
0 and η such that Y (·, η) is not defined on all of R0 .
Remark 5.28. There exist examples of autonomous ODE that show fixed points can
satisfy Def. 5.24(iii) without satisfying Def. 5.24(ii). For example, [Aul04, Ex. 7.4.16]
provides the following ODE in polar coordinates (r, ϕ):
r! = r (1 − r), (5.32a)
1 − cos ϕ ϕ
ϕ! = = sin2 . (5.32b)
2 2
Even though it is somewhat tedious, one can show that its fixed point (1, 0) satisfies Def.
5.24(iii) without satisfying Def. 5.24(ii) (see Claim 4 of Example K.2 in the Appendix).
—
We will now study a method that allows, in certain cases, to determine the stability
properties of a fixed point without having to know the solutions to an ODE. The method
is known as Lyapunov’s method. The key ingredient to this method is a test function V ,
known as a Lyapunov function. Once a Lyapunov function is known, stability is often
easily tested. The catch, however, is that Lyapunov functions can be hard to find. From
the literature, it appears there is no definition for an all-purpose Lyapunov function, as
a suitable choice depends on the circumstances.
Proof. The proof is carried out for the case of postive (asymptotic) stability; the proof
for the case of negative (asymptotic) stability is then easily obtained by reversing time,
i.e. by using Rem. 5.25 together with noting V̇ changing its sign when replacing f with
−f . Fix your favorite norm 4·4 on Rn . Let r > 0 such that B r (p) = {y ∈ Rn : 4y −p4 ≤
r} ⊆ Ω0 (such an r > 0 exists, as Ω0 is open). Define
where k is well-defined, since the continuous function V assumes its min on compact
sets, and k(&) > 0 by the positive definiteness of V . Given & ∈]0, r], since V (p) = 0,
k(&) > 0, and V continuous,
where we used Not. 3.3 to denote an open ball with center p with respect to 4 · 4.
We now claim that, for each η ∈ Bδ($) (p), the maximal solution x #→ φ(x) := Y (x, η)
must remain inside B$ (p) for each x ≥ 0 in its domain I(0,η) (implying p to be positively
stable by Lem. 5.26). Seeking a contradiction, assume there exists ξ ≥ 0 such that
4φ(ξ) − p4 ≥ & and let
) ,
s := sup x ≥ 0 : φ(t) ∈ B$ (p) for each t ∈ [0, x] ≤ ξ < ∞. (5.36)
by the definition of k(&). On the other hand, by the chain rule (V ◦ φ)! (x) = V̇ (φ(x))
(cf. (5.16)), such that V̇ ≤ 0 implies
1 s
(5.35)
V (φ(s)) = V (η) + V̇ (φ(x)) dx ≤ V (η) < k(&), (5.38)
0
For the remaining part of the proof, we additionally assume V̇ to be negative definite
at p, while continuing to use the notation from above. Set γ := δ(r). We have to show
limx→∞ Y (x, η) = p for each η ∈ Bγ (p), i.e.
So fix η ∈ Bγ (p) and, as above, let φ(x) := Y (x, η). Given & ∈]0, r], we first claim that
there exists ξ$ ≥ 0 such that φ(ξ$ ) ∈ Bδ($) (p), where δ(&) is as in the first part of the
proof above. Indeed, seeking a contradiction, assume 4φ(x) − p4 ≥ δ(&) for all x ≥ 0,
and set % &
α := max V̇ (y) : δ(&) ≤ 4y − p4 ≤ r . (5.40)
Then α < 0 due to the negative definiteness of V̇ at p. Moreover, due to the choice of
γ, we have δ(&) ≤ 4φ(x) − p4 ≤ r for each x ≥ 0, implying
1 x
∀ 0 ≤ V (φ(x)) = V (η) + V̇ (φ(t)) dt ≤ V (η) + αx, (5.41)
x≥0 0
which is the desired contradiction, as α < 0 implies the right-hand side to go to −∞ for
x → ∞. Thus, we know the existence of ξ$ such that η$ := φ(ξ$ ) ∈ Bδ($) (p).
To finish the proof, we recall from the first part of the proof that 4Y (x, η$ ) − p4 < & for
each x ≥ 0. Using Lem. 5.4(a), we obtain
Indeed, (0, 0) is clearly a fixed point, and we consider the Lyapunov function
y12 y22
V : R2 −→ R, V (y1 , y2 ) := + , (5.44a)
α β
is clearly negative definite at (0, 0), Th. 5.30 proves (0, 0) to be a positively asymptoti-
cally stable fixed point.
5 STABILITY 99
Theorem 5.32. Consider the situation of Def. 5.24 with K = R. Let Ω0 be open with
p ∈ Ω0 ⊆ Ω ⊆ Rn . Assume V : Ω0 −→ R to be continuously differentiable and assume
there is an open set U ⊆ Ω0 such that the following conditions (i) – (iii) are satisfied:
Proof. We assume V and V̇ are positive, proving p not to be positively stable; the cor-
responding statement regarding p not to be negatively stable is then, once again, easily
obtained by reversing time, i.e. by using Lem. 5.25 together with noting V̇ changing its
sign when replacing f with −f .
Seeking a contradiction, assume p to be positively stable. Then there exists r > 0 such
that B r (p) = {y ∈ Rn : 4y − p4 ≤ r} ⊆ Ω0 and η ∈ Br (p) implies Y (x, η) is defined
for each x ≥ 0. Moreover, positive stability and p ∈ ∂U also imply the existence of
η ∈ U ∩ Br (p) such that φ(x) := Y (x, η) ∈ Br (p) for all x ≥ 0 (note p -= η as p ∈ ∂U ).
Set %
s := sup x ≥ 0 : φ(t) ∈ U for each t ∈ [0, x]}. (5.45)
If s < ∞, then the maximality of φ implies φ(s) to be defined. Moreover, φ(s) ∈ ∂U by
the definition of s, and φ(s) ∈ Br (p) ⊆ Ω0 by the choice of η. Thus, φ(s) ∈ Ω0 ∩ ∂U
and V (φ(s)) = 0. On the other hand, as V and V̇ are positive on U , we have
1 s
V (φ(s)) = V (η) + V̇ (φ(t)) dt > V (η) > 0, (5.46)
0
Then the choice of η guarantees φ(x) ∈ C for all x ≥ 0. If y ∈ C, then V (y) ≥ V (η) > 0.
If y ∈ Ω0 ∩ ∂U , then V (y) = 0, showing C ∩ ∂U = ∅, i.e. C ⊆ U and
Thus, 1 x
∀ V (φ(x)) = V (η) + V̇ (φ(t)) dt ≥ V (η) + αx. (5.49)
x≥0 0
But this means that the continuous function V is unbounded on the compact set C and
this contradiction proves p is not positively stable. !
5 STABILITY 100
Indeed, (0, 0) is clearly a fixed point, and we let Ω0 be some open neighborhood of (0, 0),
where both h1 and h2 are positive (such an Ω0 exists by continuity of h1 , h2 and h1 , h2
being positive at (0, 0)), and consider the Lyapunov function
V : Ω0 −→ R, V (y1 , y2 ) := y1 y2 , (5.51a)
with V̇ : Ω0 −→ R,
# $
V̇ (y1 , y2 ) = ∇ V (y1 , y2 ) • y2 h1 (y1 , y2 ), y1 h2 (y1 , y2 )
# $
= (y2 , y1 ) • y2 h1 (y1 , y2 ), y1 h2 (y1 , y2 )
= y22 h1 (y1 , y2 ) + y12 h2 (y1 , y2 ) > 0 on Ω0 \ {(0, 0)}. (5.51b)
y ! = − ∇ F (y). (5.52)
If p ∈ Ω is an isolated critical point of F (i.e. ∇ F (p) = 0 and there exists an open set
O with p ∈ O ⊆ Ω and ∇ F -= 0 on O \ {p}), then p is a fixed point of (5.52) that is
positively asymptotically stable, negatively asymptotically stable, neither positively nor
negatively stable as p is a local minimum for F , local maximum for F , neither.
If p is neither a local min nor max for F , then let Ω0 := O, and V : Ω0 −→ R, V (y) :=
F (p) − F (y), where O was chosen such that ∇ F -= 0 on O \ {p}, i.e. V̇ : Ω0 −→ R,
V̇ (y) = 4 ∇ F (y)422 , is positive definite at p. Let U := {y ∈ Ω0 : F (y) < F (p)}. Then
U is open by the continuity of F , and p ∈ ∂U , as p is neither a local min nor max
for F . By the continuity of F , F (y) = F (p) for each y ∈ Ω0 ∩ ∂U , i.e. V = 0 on
Ω0 ∩ ∂U . Thus, Th. 5.32 applies, showing p is not positively stable. Analogously, using
U := {y ∈ Ω0 : F (y) > F (p)} and V (y) := F (y) − F (p) shows p is not negatively
stable. !
Example 5.35. (a) The function F : Rn −→ R, F (y) = 4y422 , has an isolated critical
point at 0, which is also a min for F . Thus, by Th. 5.34,
(b) The function F : R2 −→ R, F (y) = ey1 y2 , has an isolated critical point at 0, which
is neither a local min nor local max for F . Thus, by Th. 5.34,
4 · 4W : M(n, K) −→ R+
0, 4A4W := 4W −1 AW 4, (5.56)
Then
∀ ker(A − λ Id)r(λ) = ker(A − λ Id)r(λ)+k :
k∈N
i.e. all the kernels (in particular, the generalized eigenspace M (λ)) are invariant
subspaces for A.
(c) As already mentioned in Rem. 4.51 the algebraic multiplicity of λ, denoted ma (λ),
is its multiplicity as a zero of the characteristic polynomial χA (x) = det(A − x Id),
and the geometric multiplicity of λ is mg (λ) := dim ker(A − λ Id). We call the
eigenvalue λ semisimple if, and only if, its algebraic and geometric multiplicities
are equal. We then have the equivalence of the following statements (i) – (iv):
(i) λ is semisimple.
(ii) M (λ) = ker(A − λ Id).
(iii) A#M (λ) is diagonalizable.
(iv) All the Jordan blocks corresponding to λ are trivial, i.e. they all have size 1
(i.e. there are dim ker(A − λ Id) such blocks).
Indeed, note that ma (λ) = dim ker(A − λ Id)ma (λ) (e.g., since, if A is in Jordan
normal form, then ma (λ) provides the size of the λ-block and, for A − λ Id, this
block is canonically nilpotent). This shows the equivalence between (i) and (ii).
Moreover, mg (λ) = ma (λ) means ker(A − λ Id) has a basis of ma (λ) eigenvectors
v1 , . . . , vma (λ) for the eigenvalue λ. The equivalence of (i),(ii) with (iii) and with
(iv) is then given by Th. 4.45 and Th. 4.46, respectively.
5 STABILITY 103
Theorem 5.38. Let n ∈ N and A ∈ M(n, C). Moreover, let 4 · 4 be some norm on
M(n, C) and let λ1 , . . . , λs ∈ C, 1 ≤ s ≤ n, be the distinct eigenvalues of A.
(i) There exists K > 0 such that 4eAx 4 ≤ K holds for each x ≥ 0 (resp. x ≤ 0).
(ii) Re λj ≤ 0 (resp. Re λj ≥ 0) for every j = 1, . . . , s and if Re λj = 0 occurs, then
λj is a semisimple eigenvalue (i.e. its algebraic and geometric multiplicities
are equal).
(iii) The fixed point 0 of y ! = Ay is positively (resp. negatively) stable.
(i) There exist K, α > 0 such that 4eAx 4 ≤ Ke−α|x| holds for each x ≥ 0 (resp.
x ≤ 0).
(ii) Re λj < 0 (resp. Re λj > 0) for every j = 1, . . . , s.
(iii) The fixed point 0 of y ! = Ay is positively (resp. negatively) asymptotically
stable.
(caveat: for n > 1, this is not the operator norm induced by the max-norm on Cn ).
Moreover, using Th. 4.46, let W ∈ M(n, C) be invertible and such that B := W −1 AW
−1
is in Jordan normal form. Then, according to Lem. 5.36, 4M 4W max := 4W M W 4max
also defines a norm on M(n, C). According to Th. 4.47(b),
−1 Ax −1 AW x
∀ 4eAx 4W
max = 4W e W 4max = 4eW 4max = 4eBx 4max . (5.57)
x∈R
According to Th. 4.44 and Th. 4.49, the entries βkl (x) of (βkl (x)) := eBx enjoy the
following property:
Moreover,
(a): We start with the equivalence between (i) and (ii): Suppose, Re λj ≤ 0 for every
j = 1, . . . , s and if Re λj = 0 occurs, then λj is a semisimple eigenvalue. Then, using
5 STABILITY 104
Rem. and Def. 5.37(c) and (5.58), we are either in situation (5.59a) or in situation
(5.59c). Thus, there exists K0 > 0 such that |βkl (x)| ≤ K0 for each x ≥ 0 and each
k, l = 1, . . . , n. Then there exists K1 > 0 such that
∀ 4eAx 4 ≤ K1 4eAx 4W
max = K1 4e
Bx
4max ≤ K1 K0 , (5.60)
x≥0
i.e., the corresponding statement of (i) can not be true. The remaining case is handled
via time reversion: 4eAx 4 ≤ K holds for each x ≤ 0 if, and only if, 4e−Ax 4 ≤ K holds
for each x ≥ 0, which holds if, and only if, Re(−λj ) ≤ 0 for every j = 1, . . . , s with
λj semisimple for Re(−λj ) = 0, which is equivalent to Re λj ≥ 0 for every j = 1, . . . , s
with λj semisimple for Re λj = 0.
We proceed to the equivalence between (i) and (iii): Fix some arbitary norm 4 · 4 on
Cn , and let 4 · 4op denote the induced operator norm on M(n, C). Let C1 , C2 > 0 be
such that 4M 4op ≤ C1 4M 4 and 4M 4 ≤ C2 4M 4op for each M ∈ M(n, C). Suppose
there exists K > 0 such that 4eAx 4 ≤ K holds for each x ≥ 0. Given & > 0, choose
δ := &/(C1 K). Then
&
∀ ∀ 4Y (x, η) − 04 = 4eAx η4 ≤ 4eAx 4op 4η4 < C1 K = &, (5.62)
η∈Bδ (0) x≥0 C1 K
proving 0 is positively stable. Conversely, assume 0 to be positively stable. Then there
exists δ > 0 such that 4Y (x, η)4 = 4eAx η4 < 1 for each η ∈ Bδ (0) and each x ≥ 0.
Thus,
(G.1)
4eAx 4op = sup 4eAx η4 : η ∈ Cn , 4η4 = 1
% &
∀ 2 & 2 (5.63)
x≥0 % Ax n
= sup 4e η4 : η ∈ C , 4η4 = δ/2 ≤ ,
δ δ
showing (i) holds with K := 2 C2 /δ. The remaining case is handled via time reversion:
4eAx 4 ≤ K holds for each x ≤ 0 if, and only if, 4e−Ax 4 ≤ K holds for each x ≥ 0, which
holds if, and only if, 0 is positively stable for y ! = −Ay, which, by Rem. 5.25(a), holds
if, and only if, 0 is negatively stable for y ! = Ay.
(b): As in (a), we start with the equivalence between (i) and (ii): Suppose, Re λj < 0
for every j = 1, . . . , s. We first show, using (5.58),
According to (5.58),
Since Re λj < 0, one has limx→∞ eRe λj x/2 xm = 0, i.e. eRe λj x/2 xm is uniformly bounded
on [0, ∞[ by some Mkl > 0. Thus, (5.64) holds with Kkl := Ckl Mkl and αkl := − Re λj /2.
In consequence, if K1 is chosen as in (5.60), then 4eAx 4 ≤ Ke−α|x| ≤ K for each x ≥ 0
holds with K := K1 max{Kkl : k, l = 1, . . . , n} and α := min{αkl : k, l = 1, . . . , n}.
Conversely, if there is j ∈ {1, . . . , s} such that Re λj ≥ 0, then there is βkl such that
(5.59b) or (5.59c) or (5.59d) occurs. In each case, 4eAx 4 -→ 0 for x → ∞, since
lim 4eAx 4W
max = lim 4e
Bx
4max ∈ ]0, ∞], (5.65)
x→∞ x→∞
i.e., the corresponding statement of (i) can not be true. The remaining case is handled
via time reversion: 4eAx 4 ≤ Ke−α|x| holds for each x ≤ 0 if, and only if, 4e−Ax 4 ≤
Ke−α|x| holds for each x ≥ 0, which holds if, and only if, Re(−λj ) < 0 for every
j = 1, . . . , s, which is equivalent to Re λj > 0 for every j = 1, . . . , s.
It remains to consider the equivalence between (i) and (iii): Let 4 · 4op and C1 , C2 > 0
be as in the proof of the equivalence between (i) and (iii) in (a). Suppose, there exist
K, α > 0 such that 4eAx 4 ≤ Ke−α|x| holds for each x ≥ 0. Since 4eAx 4 ≤ Ke−α|x| ≤ K
for each x ≥ 0, 0 is positively stable by (a). Moreover,
has eigenvalue 0, which is not semisimple, i.e. the fixed point 0 of y ! = Ay is neither
negatively nor positively stable.
5.4 Linearization
If the right-hand side f of an autonomous ODE is differentiable and p is a fixed point (i.e.
f (p) = 0), then one can sometimes use its linearization, i.e. its derivative A := Df (p)
(which is an n × n matrix), to infer stability properties of y ! = f (y) at p from those of
y ! = Ay at 0 (see Th. 5.44 below). We start with some preparatory results:
where B = (bkl ) ∈ M(n, R), “•” denotes the Euclidean scalar product, and elements of
Rn are interpreted as column vectors when involved in matrix multiplications.
(a) The function β is differentiable (it is even a polynomial, deg(β) ≤ 2, and, thus,
C ∞ ) and
∂yk β : Rn × Rn −→ R,
n
∀ ; (5.69a)
k∈{1,...,n} ∀n n ∂yk β(y, z) = bkl zl = (Bz)k ,
(y,z)∈R ×R
l=1
∂zl β : R × Rn −→ R,
n
n
∀ ; (5.69b)
l∈{1,...,n} ∀n ∂zl β(y, z) = yk bkl = (y t B)l ,
(y,z)∈R ×Rn
k=1
Dβ(y, z) = ∇ β(y, z) : R × Rn −→ R,
n
∀ (5.69c)
(y,z)∈Rn ×Rn ∇ β(y, z)(u, v) = β(y, v) + β(u, z) = y t Bv + ut Bz.
∂yk V : Rn −→ R,
n
∀ ; (5.71a)
k∈{1,...,n} ∀n ∂yk V (y) = yl (bkl + blk ) = y t (B + B t )k ,
y∈R
l=1
DV (y) = ∇ V (y) : Rn −→ R,
∀n (5.71b)
y∈R ∇ V (y)(u) = β(y, u) + β(u, y) = y t Bu + ut By = y t (B + B t )u.
Proof. (a): (5.69a) and (5.69b) are immediate from (5.68) and, then, imply (5.69c).
(b): (5.71a) is immediate from (5.70) and, then, implies (5.71b). !
Proof. We note
$t
(y t B t ) • (Ay) = y t B t Ay = y t B t Ay = y t At By
#
∀n (5.73)
y∈R
proving (5.72). !
Definition 5.42. A matrix B ∈ M(n, R), n ∈ N, is called positive definite if, and only
if, the function V of (5.70) is positive definite at p = 0 in the sense of Def. 5.29.
Proposition 5.43. Let A ∈ M(n, R), n ∈ N. Then the following statements (i) – (iii)
are equivalent:
BA + At B = −C. (5.75)
(iii) For each given positive definite (symmetric) C ∈ M(n, R), there exists a positive
definite (symmetric) B ∈ M(n, R), satisfying (5.75).
Proof. (iii) immediately implies (i) (e.g. by applying (iii) with C := Id).
For the proof that (i) implies (ii), let B, C ∈ M(n, R) be positive definite matrices,
satisfying (5.75). By Th. 5.38(b), it suffices to show 0 is a positively asymptotically
stable fixed point for y ! = Ay. To this end, we apply Th. 5.30, using V : Rn −→ R of
5 STABILITY 108
(5.70) as the Lyapunov function. Then, by Def. 5.42, B being positive definite means
V being positive definite at 0. Since
(5.72) (5.75)
V̇ : Rn −→ R, V̇ (y) = ∇ V (y) • (Ay) = y t (BA + At B)y = −y t Cy (5.76)
2
where we have chosen the norm in (5.77) to mean the max-norm on Rn (note that eAx
is real if A is real, e.g. due to the series representation (4.73)). Given C ∈ M(n, R),
define 1 ∞
t
B := eA x C eAx dx . (5.78)
0
To verify that B ∈ M(n, R) is well-defined, note that each entry of the integrand matrix
of (5.78) constitutes an integrable function on [0, ∞[: Indeed,
9 At x At x
9e C eAx 9 4max 4C4max 4eAx 4max
9
max
≤ M 4e
∃ ∀ (5.79)
M >0 x≥0 ≤ M 4C4max K 2 e−2αx ,
Proof. Let all eigenvalues of A have negative real parts. We first consider the special
case p = 0, i.e. A = Df (0). By the equivalence between (ii) and (iii) of Prop. 5.43,
we can choose C := Id in (iii) to obtain the existence of a positive definite symmetric
matrix B ∈ M(n, R), satisfying
BA + At B = − Id . (5.83)
The idea is now to apply the Lyapunov Th. 5.30 with V of (5.70), i.e.
n
;
t
V : Ω −→ R, V (y) := y • (By) = y By = yk bkl yl . (5.84)
k,l=1
satisfies
4r(y)42
lim = 0. (5.87)
y→0 4y42
We can estimate the second summand via the Cauchy-Schwarz inequality to obtain
> >
>y • B r(y)> ≤ 4y42 4B r(y)42 ≤ 4y42 4B4 4r(y)42 , (5.89)
Caveat 5.45. The following example shows that the converse of Th. 5.44 does not
hold: A fixed point p can be positively (resp. negatively) asymptotically stable without
A := Df (p) having only eigenvalues with negative (resp. positive) real parts. The same
example shows that, in general, one can not infer anything regarding the stability of the
fixed point p if A := Df (p) is merely stable, but not asymptotically stable: Consider
with complex eigenvalues i and −i. Thus, the linearized system is positively and nega-
tively stable, but not asymptotically stable, still independently of µ. However, we claim
that (0, 0) is a positively asymptotically stable fixed point for y ! = f (y) if µ < 0 and
a positively asymptotically stable fixed point for y ! = f (y) if µ > 0. Indeed, this can
be seen by using the Lyapunov function V : R2 −→ R, V (y1 , y2 ) = y12 + y22 , which has
∇ V (y1 , y2 ) = (2y1 , 2y2 ) and
Thus, V is positive definite at (0, 0) and V̇ is negative definite at (0, 0) for µ < 0 and
positive definite at (0, 0) for µ > 0.
The derivative is
− cos y x sin y 0
Df : R3 −→ M(3, R), Df (x, y, z) = 0 −ez −yez . (5.97)
2x 0 −2
Clearly, (0, 0, 0) is a fixed point and Df (0, 0, 0) has eigenvalues −1 and −2. Thus,
(0, 0, 0) is a positively asymptotically stable fixed point for (x, y, z)! = f (x, y, z) by Th.
5.44.
Remark 5.48. In the situation of Def. 5.47, consider the time-reversed version of y ! =
f (y), i.e. y ! = −f (y), with its general solution Ỹ (x, η) = Y (−x, η), cf. (5.28). Clearly,
for each η ∈ Ω,
ωf (η) = α−f (η), αf (η) = ω−f (η). (5.99)
Proposition 5.49. In the situation of Def. 5.47, the following hold:
∞
L
α(η) = {Y (x, η) : x ≤ −m}. (5.100b)
m=0
(b) All points in the same orbit have the same omega and alpha limit sets, i.e.
* # $ # $+
∀ ω(η) = ω Y (x, η) ∧ α(η) = α Y (x, η) .
x∈I0,η
5 STABILITY 112
Proof. Due to Rem. 5.48, it suffices to prove the statements involving the omega limit
sets.
(a): Let y ∈ ω(η) and m ∈ N0 . Then there is a sequence (xk )k∈N in R such that
limk→∞ xk = ∞ and limk→∞ Y (xk , η) = y. Since, for sufficiently large k0 ∈ N, the
sequence (Y (xk , η))k≥k0 is in {Y (x, η) : x ≥ m}, the inclusion “⊆” of (5.100a) is proved.
Conversely, assume y ∈ {Y (x, η) : x ≥ m} for each m ∈ N0 . Then,
9Y (xk , η) − y 9 < 1 ,
9 9
∀ ∃
k∈N xk ∈[k,∞[ k
providing a sequence (xk )k∈N in R such that limk→∞ xk = ∞ and limk→∞ Y (xk , η) = y,
proving y ∈ ω(η) and the inclusion “⊇” of (5.100a).
(b): Let y ∈ ω(η) and x ∈ I0,η . Choose a sequence (xk )k∈N in R such that limk→∞ xk = ∞
and limk→∞ Y (xk , η) = y. Then limk→∞ (xk − x) = ∞ and
# $ Lem. 5.4(b)
lim Y xk − x, Y (x, η) = lim Y (xk , η) = y, (5.101)
k→∞ k→∞
# $
proving ω(η) ⊆ ω Y (x, η) . The reversed inclusion then also follows, since
# $ Lem. 5.4(b)
Y − x, Y (x, η) = Y (0, η) = η, (5.102)
(b) If A ∈ M(n, C) is such that the conditions of Th. 5.38(b) hold (all eigenvalues have
negative real parts, 0 is positively asymptotically stable), then ω(η) = {0} for each
η ∈ Cn and α(η) = ∅ for each η ∈ Cn \ {0}.
(c) If η ∈ Ω is such that the orbit O(φ) of φ := Y (·, η) is periodic, then ω(η) = α(η) =
O(φ). For example, for (5.8),
Example 5.51. As an example with nonperiodic orbits that have limit sets consisting
of more than one point, consider
We will show that, for each point except the origin (which is clearly a fixed point), the
omega limit set is the unit circle, i.e.
where, letting
4η422 − 1
! "
1
∀ xη := ln , (5.107)
η∈{y∈R2 : 1y12 >1} 2 4η422
* + * +
Df,0 = R × {η ∈ R2 : 4η42 ≤ 1} ∪ ]xη , ∞[×{η ∈ R2 : 4η42 > 1} : (5.108)
(η1 , η2 )
Y (0, η1 , η2 ) = ' = (η1 , η2 ). (5.109)
η12 + η22 + (1 − η12 − η22 )
The following computations prepare the check that each Y (·, η1 , η2 ) satisfies (5.104):
The 2-norm squared of the numerator in (5.106) is
Thus,
9 9
9Y (x, η1 , η2 )9 = ' 4η42
2
(5.111)
4η422 + (1 − 4η422 )e−2x
and
92 4η422 + (1 − 4η422 )e−2x − 4η422
1 − Y12 (x, η1 , η2 ) − Y22 (x, η1 , η2 ) = 1 − 9Y (x, η1 , η2 )92 =
9
4η422 + (1 − 4η422 )e−2x
(1 − 4η422 )e−2x
= . (5.112)
4η422 + (1 − 4η422 )e−2x
In consequence,
Y1! (x, η1 , η2 )
(−η1 sin x + η2 cos x) 4η422 + (1 − 4η422 )e−2x + (η1 cos x + η2 sin x)(1 − 4η422 )e−2x
# $
= # $3
4η422 + (1 − 4η422 )e−2x 2
* +
= Y2 (x, η1 , η2 ) + Y1 (x, η1 , η2 ) 1 − Y12 (x, η1 , η2 ) − Y22 (x, η1 , η2 ) , (5.113)
5 STABILITY 114
Y2! (x, η1 , η2 )
(−η2 sin x − η1 cos x) 4η422 + (1 − 4η422 )e−2x + (η2 cos x − η1 sin x)(1 − 4η422 )e−2x
# $
= # $3
4η422 + (1 − 4η422 )e−2x 2
* +
= −Y1 (x, η1 , η2 ) + Y2 (x, η1 , η2 ) 1 − Y12 (x, η1 , η2 ) − Y22 (x, η1 , η2 ) , (5.114)
verifying (5.104b).
For 4η42 ≤ 1, Y (·, η1 , η2 ) is maximal, as it is defined on R (the denominator in (5.106)
has no zero in this case). For 4η42 > 1, the denominator clearly has a zero at xη < 0,
where xη is defined as in (5.107). For x > xη , the expression under the square root
in (5.106) is positive. Since limx↓xη 4Y (x, η1 , η2 )42 = ∞ for 4η42 > 1, Y (·, η1 , η2 ) is
maximal in this case as well, completing the verification of Y , defined as in (5.106) –
(5.108), being the general solution of (5.104).
It remains to prove (5.105). From (5.111), we obtain
9 9
∀2 lim 9Y (x, η1 , η2 )92 = 1, (5.115)
η∈R \{0} x→∞
which implies
∀ ω(η) ⊆ S1 (0). (5.116)
η∈R2 \{0}
Analogously,
∃ η = 4η42 (sin ϕη , cos ϕη ) (5.118)
ϕη ∈[0,2π[
(the reader might note that, in (5.117) and (5.118), we have written y and η using their
polar coordinates, cf. [Phi17, Ex. 2.67]). Then, according to (5.106), we obtain, for each
x ≥ 0,
Define
∀ xk := ϕy − ϕη + 2πk ∈ R+ . (5.120)
k∈N
5 STABILITY 115
lim Y (xk , η1 , η2 )
k→∞
# $
(5.119) 4η42 sin(ϕy − ϕη + 2πk + ϕη ), cos(ϕy − ϕη + 2πk + ϕη )
= lim '
k→∞ 4η422 + (1 − 4η422 )e−2x
4η42 (sin ϕy , cos ϕy )
= lim ' = y, (5.121)
k→∞ 4η422 + (1 − 4η422 )e−2x
Proposition 5.52. In the situation of Def. 5.47, if f is locally Lipschitz, then orbits
that intersect an omega or alpha limit set, must entirely remain inside that same omega
or alpha limit set, i.e.
! " ! "
∀ ∀ Y (x, y) ∈ ω(η) ∧ ∀ ∀ Y (x, y) ∈ α(η) . (5.122)
y∈Ω∩ω(η) x∈I0,y y∈Ω∩α(η) x∈I0,y
Proof. Due to Rem. 5.48, it suffices to prove the statement involving the omega limit set.
Let y ∈ Ω∩ω(η) and x ∈ I0,y . Choose a sequence (xk )k∈N in R such that limk→∞ xk = ∞
and limk→∞ Y (xk , η) = y. Then limk→∞ (xk + x) = ∞ and,
Lem. 5.4(b) # $ (∗)
lim Y (xk + x, η) = lim Y x, Y (xk , η) = Y (x, y), (5.123)
k→∞ k→∞
proving Y (x, y) ∈ ω(η). At “(∗)”, we have used that, due to f being locally Lipschitz
by hypothesis, Y is continuous by Th. 3.35. !
Proposition 5.53. In the situation of Def. 5.47, let η ∈ Ω be such that there exists a
compact set K ⊆ Ω, satisfying
# $
{Y (x, η) : x ≥ 0} ⊆ K resp. {Y (x, η) : x ≤ 0} ⊆ K . (5.124)
(c) ω(η) (resp. α(η)) is a connected set, i.e. if O1 , O2 are disjoint open subsets of Kn
such that ω(η) ⊆ O1 ∪O2 (resp. α(η) ⊆ O1 ∪O2 ), then ω(η)∩O1 = ∅ or ω(η)∩O2 = ∅
(resp. α(η) ∩ O1 = ∅ or α(η) ∩ O2 = ∅).
Proof. Due to Rem. 5.48, it suffices to prove the statements involving the omega limit
sets.
(a): Since, by hypothesis, (Y (k, η))k∈N is a sequence in the compact set K, it must have
a subsequence, converging to some limit y ∈ K. But then y ∈ ω(η), i.e. ω(η) -= ∅.
5 STABILITY 116
(b): According to (5.100a) and (5.124), ω(η) is a closed subset of the compact set K,
implying ω(η) to be compact as well.
(c): Seeking a contradiction, we suppose the assertion is false, i.e. there are disjoint
open subsets O1 , O2 of Kn such that ω(η) ⊆ O1 ∪ O2 , ω1 := ω(η) ∩ O1 -= ∅ and ω2 :=
ω(η) ∩ O2 -= ∅. Then ω1 and ω2 are disjoint since O1 , O2 are disjoint. Moreover, ω1
and ω2 are both subsets of the compact set ω(η). Due to ω1 = ω(η) ∩ (Kn \ O2 ) and
ω2 = ω(η) ∩ (Kn \ O1 ), ω1 and ω2 are also closed, hence, compact. Then, according
to Prop. C.9, δ := dist(ω1 , ω2 ) > 0. If y1 ∈ ω1 and y2 ∈ ω2 , then there are numbers
0 < s1 < t1 < s2 < t2 < . . . such that limk→∞ sk = limk→∞ tk = ∞ and
* +
∀ Y (sk , η) ∈ O1 ∧ Y (tk , η) ∈ O2 . (5.125)
k∈N
Define % &
∀ σk := sup x ≥ sk : Y (t, η) ∈ O1 for each t ∈ [sk , x] . (5.126)
k∈N
Then sk < σk < tk and the continuity of the (even differentiable) map Y (·, η) yields
ηk := Y (σk , η) ∈ ∂O1 . Thus, (ηk )k∈N is a sequence in the compact set K ∩ ∂O1 and,
therefore, must have a convergent subsequence, converging to some z ∈ K ∩ ∂O1 . But
then z ∈ ω(η), but not in O1 ∪ O2 , in contradiction to ω(η) ⊆ O1 ∪ O2 . !
−
(a) Y (·, η) is defined on all of R+
0 (resp. on all of R0 ).
(b) One has ω(η) ⊆ K (resp. α(η) ⊆ K) and V is constant on ω(η) (resp. on α(η)).
one has ω(η) ⊆ M (resp. α(η) ⊆ M ). In particular, V̇ (y) = 0 for each y ∈ ω(η)
(resp. for each y ∈ α(η)).
Proof. As usual, it suffices to prove the assertions for V̇ (y) ≤ 0, as the assertions for
V̇ (y) ≥ 0 then follow via time reversion.
(a): We claim # $
∀ V Y (x, η) < r : (5.127)
x∈I0,η ∩R+
0
and 1 s
# $ # $
r = V Y (s, η) = V (η) + V̇ Y (t, η) dt ≤ V (η) < r, (5.129)
0
If y ∈ ω(η), then there exists a sequence (xk )k∈N in R such that limk→∞ xk = ∞ and
limk→∞ φ(xk ) = y. Thus, y ∈ K (since K is closed), and
# $ (5.130)
V (y) = lim V φ(xk ) = c, (5.131)
k→∞
proving (b).
(c): Let y ∈ ω(η) and φ := Y (·, y). Since f is assumed to be locally Lipschitz, Prop.
5.52 applies and we obtain φ(x) = Y (x, y) ∈ ω(η) for each x ∈ R+0 . Using (b), we know
V to be constant on ω(η), i.e. V ◦ φ must be constant on R+ 0 as well, implying
as claimed. !
Example 5.55. Let a < 0 < b and let h : ]a, b[−→ R be continuously differentiable and
such that
< 0 for x < 0,
h(x) = 0 for x = 0, (5.133)
> 0 for x > 0.
y1! = y2 , (5.134a)
y2! = −y12 y2 − h(y1 ). (5.134b)
The right-hand side is defined on Ω :=]a, b[×R and is clearly C 1 , i.e. the ODE admits
unique maximal solutions. Due to (5.133), F = {(0, 0)}, i.e. the origin is the only fixed
point of (5.134). We will use Th. 5.54(c) to show (0, 0) is positively asymptotically
stable: We introduce
1 x
H : ]a, b[−→ R, H(x) := h(t) dt , (5.135)
0
Thus, from the Lyapunov Th. 5.30, we already know (0, 0) to be positively stable.
However, V̇ is not negative definite at (0, 0), i.e. we can not immediately conclude that
(0, 0) is positively asymptotically stable. Instead, as promised, we apply Th. 5.54(c):
To this end, using that H is continuous and positive definite at 0, we choose r > 0 and
c, d ∈ R, satisfying
and define
√ √
Moreover, the continuity of V implies K to be closed. Since K ⊆ [c, d] × [− 2r, 2r], it
is also bounded, i.e. compact. Thus, Th. 5.54 applies to each η ∈ O. So let η ∈ O. We
will show that M = {(0, 0)}, where M is the set of Th. 5.54(c) (then ω(η) = {(0, 0)} by
Th. 5.54(c), which implies (5.141) as desired). To verify M = {(0, 0)}, note V̇ (y1 , y2 ) < 0
for y1 , y2 -= 0, showing (y1 , y2 ) ∈
/ M . For y1 = 0, y2 -= 0, let φ := Y (·, y1 , y2 ). Then
φ2 (0) = y2 -= 0 and φ!1 (0) = y2 -= 0, i.e. both φ1 and φ2 are nonzero on some interval
]0, &[ with & > 0, showing (y1 , y2 ) ∈/ M . Likewise, if y1 -= 0, y2 = 0, then let φ be as
before. This time φ1 (0) = y1 -= 0 and φ!2 (0) = −h(y1 ) -= 0, again showing both φ1 and
φ2 are nonzero on some interval ]0, &[ with & > 0, implying (y1 , y2 ) ∈
/ M.
A Differentiability
We provide a lemma used in the variation of constants Th. 2.3.
is differentiable with
Proof. For K = R, the lemma is immediate from the chain rule of [Phi16a, Th. 9.11].
It remains to consider the case K = C. Note that we can not apply the chain rule for
holomorphic (i.e. C-differentiable functions), since a is only R-differentiable and it does
not need to have a holomorphic extension. However, we can argue as follows, merely
using the chain rule and the product rule for real-valued functions: Write a = b + ic
with differentiable functions b, c : O −→ R. Then
f (x) = ea(x) = eb(x)+ic(x) = eb(x) eic(x) = eb(x) sin c(x) + i cos c(x) .
# $
(A.2)
f ! (x) = b! (x) eb(x) eic(x) + eb(x) − c! (x) cos c(x) + ic! (x) sin c(x)
# $
= b! (x) ea(x) + ic! (x) eb(x) i cos c(x) + sin c(x) = b! (x) ea(x) + ic! (x) eb(x) eic(x)
# $
proving (A.1b). !
B Kn-Valued Integration
During the course of this class, we frequently need Kn -valued integrals.2 In particular,
for f : I −→ Kn , I an interval in R, we make use of the estimate 4 I f 4 ≤ I 4f 4,
2
for example in the proof of the Peano Th. 3.8. As mentioned in the proof of Th. 3.8,
the estimate can easily be checked directly for the 1-norm on Kn , but it does hold for
every norm on Kn . To verify this result is the main purpose of the present section.
Throughout the class, it suffices to use Riemann integrals. However, some readers
might be more familiar with Lebesgue integrals, which is a more general notion (every
Riemann integrable function is also Lebesgue integrable). For convenience, the material
is presented twice, first using Riemann integrals and arguments that make specific use
of techniques available for Riemann integrals, then, second, using Lebesgue integrals
and corresponding techniques. For Riemann integrals, the norm estimate is proved in
Th. B.4, for Lebesgue integrals in Th. B.9.
Remark B.2. The linearity of the K-valued integral implies the linearity of the Kn -
valued integral.
Theorem B.3. Let a, b ∈ R, a ≤ b, I := [a, b]. If f ∈ R(I, Kn ), n ∈ N, and φ :
f (I) −→ R is Lipschitz continuous, then φ ◦ f ∈ R(I, R).
where the estimate at (∗) holds with C ∈ R+ , due to the equivalence of 4 · 4 and 4 · 41 on
Rn , and the estimate at (∗∗) holds with C̃ ∈ R+ , due to the equivalence of 4 · 41 and 4 · 4
on Cn . Thus, by (B.2), ψ is Lipschitz as well, namely C̃CL-Lipschitz, and it suffices to
consider the case K = C, which we proceed to do next. Once again using the equivalence
of 4 · 41 and 4 · 4 on Cn , there exists c ∈ R+ such that 4z4 ≤ c4z41 for each z ∈ Cn .
Assume φ to be L-Lipschitz, L ≥ 0. If f ∈ R(I, Cn ), then Re f1 , . . . , Re fn ∈ R(I, R)
and Im f1 , . . . , Im fn ∈ R(I, R), i.e., given & > 0, Riemann’s integrability criterion of
[Phi16a, Th. 10.13] provides partitions ∆1 , . . . , ∆n of I and Π1 , . . . , Πn of I such that
&
R(∆j , Re fj ) − r(∆j , Re fj ) < ,
∀ 2ncL (B.3)
j=1,...,n &
R(Πj , Im fj ) − r(Πj , Im fj ) < ,
2ncL
where R and r denote upper and lower Riemann sums, respectively (cf. [Phi16a, (10.7)]).
Letting ∆ be a joint refinement of the 2n partitions ∆1 , . . . , ∆n , Π1 , . . . , Πn , we have (cf.
[Phi16a, Def. 10.8(a),(b)] and [Phi16a, Th. 10.10(a)])
&
R(∆, Re fj ) − r(∆, Re fj ) < ,
∀ 2ncL (B.4)
j=1,...,n &
R(∆, Im fj ) − r(∆, Im fj ) < .
2ncL
Recalling that, for each g : I −→ R and ∆ = (x0 , . . . , xN ) ∈ RN +1 , N ∈ N, a = x0 <
x1 < · · · < xN = b, Ik := [xk−1 , xk ], it is
N
; N
;
r(∆, g) = mk |Ik | = mk (g)(xk − xk−1 ), (B.5a)
k=1 k=1
;N ;N
R(∆, g) = Mk |Ik | = Mk (g)(xk − xk−1 ), (B.5b)
k=1 k=1
B KN -VALUED INTEGRATION 121
where
mk (g) := inf{g(x) : x ∈ Ik }, Mk (g) := sup{g(x) : x ∈ Ik }, (B.5c)
we obtain, for each ξk , ηk ∈ Ik ,
> > 9 9 9 9
>(φ ◦ f )(ξk ) − (φ ◦ f )(ηk )> ≤ L 9f (ξk ) − f (ηk )9 ≤ cL 9f (ξk ) − f (ηk )9
1
n
; > >
= cL >fj (ξk ) − fj (ηk )>
j=1
n n
[Phi16a, Th. 5.9(d)] ; > > ; > >
≤ cL > Re fj (ξk ) − Re fj (ηk ) + cL
> > Im fj (ξk ) − Im fj (ηk )>
j=1 j=1
n
; n
;
# # $ $
≤ cL Mk (Re fj ) − mk (Re fj ) + cL Mk (Im fj ) − mk (Im fj ) . (B.6)
j=1 j=1
Thus,
N
; # $
R(∆, φ ◦ f ) − r(∆, φ ◦ f ) = Mk (φ ◦ f ) − mk (φ ◦ f ) |Ik |
k=1
n
N ;
(B.6) ; # $
≤ cL Mk (Re fj ) − mk (Re fj ) |Ik |
k=1 j=1
N ;
; n
# $
+ cL Mk (Im fj ) − mk (Im fj ) |Ik |
k=1 j=1
n
; n
;
# $ # $
= cL R(∆, Re fj ) − r(∆, Re fj ) + cL R(∆, Im fj ) − r(∆, Im fj )
j=1 j=1
(B.4) &
< 2ncL = &. (B.7)
2ncL
Thus, φ ◦ f ∈ R(I, R) by [Phi16a, Th. 10.13]. !
Theorem B.4. Let a, b ∈ R, a ≤ b, I := [a, b]. For each norm 4 · 4 on Kn , n ∈ N, and
each Riemann integrable f : I −→ Kn , it is 4f 4 ∈ R(I, R), and the following holds:
91 9 1
9 9
9 f 9 ≤ 4f 4. (B.8)
9 9
I I
Proof. From Th. B.3, we obtain 4f 4 ∈ R(I, R), as the norm 4 · 4 is 1-Lipschitz by the
inverse triangle inequality. Let ∆ be an arbitrary partition of I. Recalling that, for
each g : I −→ R and ∆ = (x0 , . . . , xN ) ∈ RN +1 , N ∈ N, a = x0 < x1 < · · · < xN = b,
Ik := [xk−1 , xk ], ξk ∈ Ik , the intermediate Riemann sums
N
; N
;
ρ(∆, f ) = f (tk ) |Ik | = f (tk )(xk − xk−1 ), (B.9)
k=1 k=1
B KN -VALUED INTEGRATION 122
we obtain, for ξk ∈ Ik ,
9 *# $ # $+9
9 ρ(∆, Re f1 ), ρ(∆, Im f1 ) , . . . , ρ(∆, Re fn ), ρ(∆, Im fn ) 9
9 9
9DD N N
E DN N
EE9
9 ; ; ; ; 9
=9 Re f1 (ξk ) |Ik |, Im f1 (ξk ) |Ik | , . . . , Re fn (ξk ) |Ik |, Im fn (ξk ) |Ik |
9 9
9
9 9
k=1 k=1 k=1 k=1
9N 9
9; ** + * ++9
=9 Re f1 (ξk ) |Ik |, Im f1 (ξk ) |Ik | , . . . , Re fn (ξk ) |Ik |, Im fn (ξk ) |Ik | 9
9 9
9 9
k=1
N 9**
; + * ++9
9 9
≤ 9 Re f1 (ξk ), Im f1 (ξk ) , . . . , Re fn (ξk ), Im fn (ξk ) 9 |Ik |
9 9
k=1
N
;
= 4f (ξk )4 |Ik | = ρ(∆, 4f 4). (B.10)
k=1
Since the intermediate Riemann sums in (B.10) converge to the respective integrals by
[Phi16a, (10.25b)], one obtains
91 9 9*#
9 9 $ # $+9
9 f9 = lim
9
9 ρ(∆, Re f 1 ), ρ(∆, Im f 1 ) , . . . , ρ(∆, Re f n ), ρ(∆, Im f n )
9
9
9
I
9 |∆|→0
(B.10)
1
≤ lim ρ(∆, 4f 4) = 4f 4, (B.11)
|∆|→0 I
proving (B.8). !
Proof. Assume f −1 (O) is measurable for each open subset O of Kn . Let j ∈ {1, . . . , n}.
If Oj ⊆ K is open in K, then O := πj−1 (Oj ) = {z ∈ Kn : zj ∈ Oj } is open in Kn .
Thus, fj−1 (Oj ) = f −1 (O) is measurable, showing that each fj is measurable, i.e. f is
measurable. Now assume f is measurable, i.e. each fj is measurable. Since every open
O ⊆ Kn is a countable union of open sets of the form O = O1 × · · · × On with each Oj
being an open subset of K, it suffices to show that the
Mn preimages of such open sets are
−1
measurable. So let O be as above. Then f (O) = j=1 fj (Oj ), showing that f −1 (O)
−1
is measurable. !
Corollary B.8. Let I ⊆ R be measurable, n ∈ N. If f : I −→ Kn is measurable, then
4f 4 : I −→ R is measurable.
Proof. If O ⊆ R is open, then 4 · 4−1 (O) is#an open subset of Kn by the continuity of
the norm. In consequence, 4f 4−1 (O) = f −1 4 · 4−1 (O) is measurable.
$
!
Theorem B.9. Let I ⊆ R be measurable, n ∈ N. For each norm 4 · 4 on Kn and each
integrable f : I −→ Kn , the following holds:
91 9 1
9 9
9 f 9 ≤ 4f 4. (B.13)
9 9
I I
where λ denotes Lebesgue measure on R. Next, consider the case that f is a so-called
simple function, that means f takes only finitely many values y1 , . . . , yN ∈ Kn , N ∈ N,
and each preimage Bj := f −1 {yj } ⊆ I is measurable. Then
N
;
f= yj χ B j , (B.15)
j=1
where, without loss of generality, we may assume that the Bj are pairwise disjoint. We
obtain
91 9
;N 91 9 N 1 1 ; N
9 9 9 9 ; 9 9 9 9
9 f9 ≤ 9 yj χ B 9 = 9 yj χ B 9 = 9 yj χ B 9
9 9 9 j9 j j
I j=1 I j=1 I I j=1
1 99;N
9 1
9
(∗)
= y j Bj 9 =
χ 4f 4, (B.16)
9 9
9
I 9
j=1
9 I
where, at (∗), it was used that, as the Bj are disjoint, the integrands of the two integrals
are equal at each x ∈ I.
Now, if f is integrable, then each Re fj and each Im fj , j ∈ {1, . . . , n}, is integrable
(i.e., for each j ∈ {1, . . . , n}, Re fj , Im fj ∈ L1 (I)) and there exist sequences of simple
C METRIC SPACES 124
functions φj,k : I −→ R and ψj,k : I −→ R such that limk→∞ 4φj,k − Re fj 4L1 (I) =
limk→∞ 4ψj,k − Im fj 4L1 (I) = 0. In particular, for each j ∈ {1, . . . , n},
>1 1 >
> >
0 ≤ lim > φj,k − Re fj >> ≤ lim 4φj,k − Re fj 4L1 (I) = 0,
> (B.17a)
k→∞ I I k→∞
>1 1 >
> >
0 ≤ lim > ψj,k − Im fj >> ≤ lim 4ψj,k − Im fj 4L1 (I) = 0,
> (B.17b)
k→∞ I I k→∞
Thus, letting, for each k ∈ N, φk := (φ1,k , . . . , φn,k ) and ψk := (ψ1,k , . . . , ψn,k ), we obtain
9 1 9 9 !1 1 "9
9 9 9 9
9 f9=9 f 1 , . . . , f n
9
9 9 9 9
I I I
9! 1 1 1 1 "9
9 9
= 9 lim
9 φ1,k + i lim ψ1,k , . . . , lim φn,k + i lim ψn,k 9
k→∞ I k→∞ I k→∞ I k→∞ I 9
91 9 1 1
9 9 (∗)
= lim 9 (φ k + i ψ k ) 9 ≤ lim 4φk + iψk 4 = 4f 4, (B.19)
k→∞
9
I
9 k→∞ I I
9 9
where the equality at (∗) holds due to limk→∞ 94φk + iψk 4 − 4f 49L1 (I) = 0, which, in
turn, is verified by
1 1 1
> >
0 ≤ >4φk + iψk 4 − 4f 4> ≤ 4φk + iψk − f 4 ≤ C 4φk + iψk − f 41
I I I
n
1 ;
> >
=C >φj,k + iψj,k − fj > → 0 for k → ∞, (B.20)
I j=1
C Metric Spaces
and
∀ dist(x, B) := dist({x}, B) and dist(A, x) := dist(A, {x}). (C.5)
x∈X
Theorem C.4. Let (X, d) be a nonempty metric space. If A ⊆ X and A -= ∅, then the
functions
δ, δ̃ : X −→ R+
0, δ(x) := dist(x, A), δ̃(x) := dist(A, x), (C.7)
are both Lipschitz continuous with Lipschitz constant 1 (in particular, they are both
continuous and even uniformly continuous).
Proof. Since dist(x, A) = dist(A, x), it suffices to verify the Lipschitz continuity of δ.
We need to show
∀ | dist(x, A) − dist(y, A)| ≤ d(x, y). (C.8)
x,y∈X
and
dist(x, A) − d(x, y) ≤ d(y, a), (C.10)
implying
dist(x, A) − d(x, y) ≤ dist(y, A) (C.11)
and
dist(x, A) − dist(y, A) ≤ d(x, y). (C.12)
Since x, y ∈ X were arbitrary, (C.12) also yields
Proof. If A is bounded, then there exist x ∈ X and r > 0 such that A ⊆ Br (x). Let
s := r + & + 1. If y ∈ A$ , then there exists a ∈ A such that d(a, y) < & + 1. Thus,
If (sn )n∈N is a sequence in [0, 1] such that limn→∞ sn = s ∈ [0, 1], then limn→∞ φ(sn ) =
sx+(1−s)a = φ(s), i.e. φ is continuous. Then, using Th. C.4, f is also continuous. Thus,
since f (0) = d(a, A) = 0 and f (1) = d(x, A) = δ ≥ &2 , one can use the intermediate
value theorem [Phi16a, Th. 7.57] to obtain, for each & ∈ [0, &2 ], some τ ∈ [0, 1], satisfying
f (τ ) = &. If & > 0, then d(φ(τ ), A) = f (τ ) = & > 0, i.e φ(τ ) ∈ A$ \ A and φ(τ ) ∈ A$ \ A$ ,
showing A ! A$1 , A$1 ! A$1 , and A$2 ! A$2 . If & := (&1 + &2 )/2, then &1 < & = f (τ ) =
d(φ(τ ), A) < &2 , i.e. φ(τ ) ∈ A$2 \ A$1 , showing A$1 ! A$2 . !
D LOCAL LIPSCHITZ CONTINUITY 127
lim ck = c ∈ C, (C.18)
k→∞
also implying
Proof. The proof of Prop. 3.13 shows, whithout making use of the continuity of f , that
(global) Lipschitz continuity with respect to y on every compact subset K of G implies
local Lipschitz continuity on G. Thus, assume f to be locally Lipschitz with respect to
y and assume each Gx to be convex. The proof of Prop. 3.13 shows, whithout making
use of the continuity of f , that, for each K ⊆ G compact
* +
∃ ∀ 4y − ȳ4 < δ ⇒ 4f (x, y) − f (x, ȳ)4 ≤ L4y − ȳ4 . (D.2)
δ>0, (x,y),(x,ȳ)∈K
L≥0
D LOCAL LIPSCHITZ CONTINUITY 128
If (x, y), (x, ȳ) ∈ K are arbitrary with y -= ȳ, then the convexity of Gx implies
Choose N ∈ N such that N > 24y − ȳ4/δ and set h := 4y − ȳ4/N . Then
Define ! "
kh kh
∀ yk := y+ 1− ȳ. (D.5)
k=0,...,N 4y − ȳ4 4y − ȳ4
Then 9 9
9 h h 9
∀ 4yk+1 − yk 4 = 9
9 y+ ȳ 9 =h<δ (D.6)
k=0,...,N −1 4y − ȳ4 4y − ȳ4 9
and
N −1 N −1
; (D.2) ;
4f (x, y) − f (x, ȳ)4 ≤ 4f (x, yk ) − f (x, yk+1 )4 ≤ L 4yk − yk+1 4
k=0 k=0
= L N h = L 4y − ȳ4, (D.7)
(a) Consider # $
G :=] − 2, 2[× ] − 4, −1[∪]1, 4[ (D.8)
and f : G −→ R,
1/x for x -= 0, y ∈] − 4, −1[,
f (x, y) := 0 for x = 0, y ∈] − 4, −1[, (D.9)
0 for y ∈]1, 4[.
For the following open balls with respect to the max norm 4(x, y)4 := max{|x|, |y|},
one has B1 (x, y) ∩ G ⊆] − 2, 2[×] − 4, −1[ for y ∈] − 4, −1[, andB1 (x, y) ∩ G ⊆
] − 2, 2[×]1, 4[ for y ∈]1, 4[. Thus, f (x, ·) is constant on each set B1 (x, y) ∩ G (either
constantly equal to 1/x or constantly equal to 0), i.e. 0-Lipschitz with respect to y.
In particular, f is locally Lipschitz with respect to y. However, f is not Lipschitz
continuous with respect to y on the compact set
# $
K := [−1, 1] × [−3, −2] ∪ [2, 3] : (D.10)
one has
|f (xk , yk ) − f (xk , y k )| k−0
lim = lim = ∞, (D.12)
k→∞ |yk − y k | k→∞ 2 − (−2)
(b) If one increases the dimension by 1, then one can modify the example in (a) such
the set G is even connected (this variant was pointed out by Anton Sporrer): Let
Then A is open and connected (but not convex) and the same holds for
Define
(
1/x for x -= 0, y1 ∈] − 4, −1[, y2 > 0,
f : G −→ R, f (x, y1 , y2 ) := (D.15)
0 otherwise.
one has
|f (xk , y1,k , y2,k ) − f (xk , y 1,k , y2,k )| k−0
lim = lim = ∞, (D.19)
k→∞ 4(y1,k , y2,k ) − (y 1,k , y2,k )4max k→∞ max{4, 0}
φ : [0, 1] −→ R, φ ≡ y0 , (E.2)
Then, for each (x0 , y0 ) ∈ [0, 1] × R, the function φ of (E.2) is a solution to the initial
value problem (E.3), but, again, the maximal solution of (E.3) according to Def.
3.20 is φ#]0,1[ .
F Paths in Rn
Definition F.1. A path or curve in Rn , n ∈ N, is a continuous map ψ : I −→ Rn , where
I ⊆ R is an interval. One calls the path differentiable, continuously differentiable, etc.
if, and only if, the function ψ has the respective property.
the length of I.
F PATHS IN RN 131
The path ψ is called rectifyable with arc length l(ψ) if, and only if, l(ψ) < ∞.
∀ ψ(x) = y0 + x y1 , (F.5)
x∈[a,b]
proving (F.6).
(b): For each partition (x0 , . . . , xN ), N ∈ N, of [a, b], we have
N
; −1 N
; −1
pψ (x0 , . . . , xN ) = 4ψ(xk+1 ) − ψ(xk )42 ≤ L 4xk+1 − xk 42
k=0 k=0
N
; −1
=L (xk+1 − xk ) = L (b − a), (F.11)
k=0
proving (F.7).
(c): For each partition ∆ = (x0 , . . . , xN ), N ∈ N, of [a, b], we have
> −1 −1
>
> > >>N ; N
; >
>pφ (∆) − pψ (∆)> = > 4φ(xk+1 ) − φ(xk )42 − 4ψ(xk+1 ) − ψ(xk )42 >
>
> >
k=0 k=0
N
; −1 > >
≤ 4φ(x ) − φ(x )4 − 4ψ(x ) − ψ(x )4
> >
> k+1 k 2 k+1 k 2>
k=0
N
; −1 9 9
#
≤ 9φ(xk+1 ) − ψ(xk+1 ) − φ(xk ) − ψ(xk )9
9 9
2
k=0
proving (F.8) (the last estimate in (F.12) holds true due to the inverse triangle inequal-
ity).
(d): If ξ = a or ξ = b, then there is nothing to prove. Thus, assume a < ξ < b. If
∆1 := (x0 , . . . , xN ) is a partition of [a, ξ] and ∆2 := (xN , . . . , xM ) is a partition of [ξ, b],
N, M ∈ N, M > N , then ∆ := (x0 , . . . , xM ) is a partition of [a, b]. Moreover,
On the other hand, if ∆ = (x0 , . . . , xM ) M ∈ N, is a partition of [a, b], then, either there
is 0 < N < M such that ξ = N , in which case (F.13) holds once again, where ∆1 and ∆2
are defined as before. Otherwise, there is N ∈ {0, . . . , M − 1} such that xN < ξ < xN +1
F PATHS IN RN 133
showing
l(ψ) ≤ l(ψ#[a,ξ] ) + l(ψ#[ξ,b] ) (F.16)
and concluding the proof. !
Theorem F.7. Given a, b ∈ R, a < b, each continuously differentiable path ψ : [a, b] −→
Rn , n ∈ N, is rectifyable with arc length
1 b
9 ! 9
l(ψ) = 9ψ (x)9 dx .
2
(F.17)
a
Proof. Since ψ is continuously differentiable, it follows from [Phi16b, Th. 4.38] that ψ
is Lipschitz continuous on [a, b], i.e. ψ is rectifyable by Prop. F.6(b) above. To prove
(F.17), according to the fundamental theorem of calculus [Phi16a, Th. 10.20(b)], it
suffices to show the function
λ : [a, b] −→ R+
0, λ(x) := l(ψ#[a,x] ), (F.18)
is differentiable with derivative λ! (x) = 4ψ ! (x)42 . To this end, first note the continuous
function ψ ! is even uniformly continuous by [Phi16b, Th. 3.20]. Thus,
* +
∀ ∃ ∀ |x0 − x| < δ ⇒ 4ψ(x0 ) − ψ(x)42 < &. . (F.19)
$>0 δ>0 x0 ,x∈[a,b]
Fix x0 ∈ [a, b[ and consider x1 ∈]a, b[ such that x0 < x1 < x0 + δ. Define the affine path
Thus, it follows from [Phi16b, Th. K.2] that ψ − α is &-Lipschitz on [a, b] and, then,
Prop. F.6(b) yields
l(ψ#[x0 ,x1 ] −α) ≤ &(x1 − x0 ), (F.23)
G OPERATOR NORMS AND MATRIX NORMS 134
From now on, the space index of a norm will usually be suppressed, i.e. we write just
4 · 4 instead of both 4 · 4X and 4 · 4Y .
Theorem G.3. For a linear map A : X −→ Y between two normed vector spaces
(X, 4 · 4) and (Y, 4 · 4) over K, the following statements are equivalent:
(a) A is bounded.
(b) 4A4 < ∞.
(c) A is Lipschitz continuous.
(d) A is continuous.
(e) There is x0 ∈ X such that A is continuous at x0 .
Proof. Since every Lipschitz continuous map is continuous and since every continuous
map is continuous at every point, “(c) ⇒ (d) ⇒ (e)” is clear.
“(e) ⇒ (c)”: Let x0 ∈ X be such that A is continuous at x0 . Thus, for each & > 0, there
is δ > 0 such that 4x − x0 4 < δ implies 4Ax − Ax0 4 < &. As A is linear, for each x ∈ X
with 4x4 < δ, one has 4Ax4 = 4A(x + x0 ) − Ax0 4 < &, due to 4x + x0 − x0 4 = 4x4 < δ.
Moreover, one has 4(δx)/24 ≤ δ/2 < δ for each x ∈ X with 4x4 ≤ 1. Letting L := 2&/δ,
this means that 4Ax4 = 4A((δx)/2)4/(δ/2) < 2&/δ = L for each x ∈ X with 4x4 ≤ 1.
Thus, for each x, y ∈ X with x -= y, one has
9 ! "9
9 x−y 9
4Ax − Ay4 = 4A(x − y)4 = 4x − y4 9A 9 9 < L 4x − y4. (G.2)
4x − y4 9
Together with the fact that 4Ax − Ay4 ≤ 4x − y4 is trivially true for x = y, this shows
that A is Lipschitz continuous.
“(c) ⇒ (b)”: As A is Lipschitz continuous, there exists L ∈ R+
0 such that 4Ax − Ay4 ≤
L 4x − y4 for each x, y ∈ X. Considering the special case y = 0 and 4x4 = 1 yields
4Ax4 ≤ L 4x4 = L, implying 4A4 ≤ L < ∞.
“(b) ⇒ (c)”: Let 4A4 < ∞. We will show
4Ax − Ay4 ≤ 4A4 4x − y4 for each x, y ∈ X. (G.3)
For x = y, there is nothing to prove. Thus, let x -= y. One computes
9 ! "9
4Ax − Ay4 9 x − y 9
9 ≤ 4A4
=9 A (G.4)
4x − y4 9 4x − y4 9
9 9
9 x−y 9
as 9 1x−y1 9 = 1, thereby establishing (G.3).
“(b) ⇒ (a)”: Let 4A4 < ∞ and let M ⊆ X be bounded. Then there is r > 0 such that
M ⊆ Br (0). Moreover, for each 0 -= x ∈ M :
9 ! "9
4Ax4 9 x 99 ≤ 4A4
= 9A
9 (G.5)
4x4 4x4 9
G OPERATOR NORMS AND MATRIX NORMS 136
9 9
9 x 9
as 9 1x1 9 = 1. Thus 4Ax4 ≤ 4A44x4 ≤ r4A4, showing that A(M ) ⊆ Br1A1 (0). Thus,
A(M ) is bounded, thereby establishing the case.
“(a) ⇒ (b)”: Since A is bounded, it maps the bounded set B1 (0) ⊆ X into some
bounded subset of Y . Thus, there is r > 0 such that A(B1 (0)) ⊆ Br (0) ⊆ Y . In
particular, 4Ax4 < r for each x ∈ X satisfying 4x4 = 1, showing 4A4 ≤ r < ∞. !
Remark G.4. For linear maps between finite-dimensional spaces, the equivalent prop-
erties of Th. G.3 always hold: Each linear map A : Kn −→ Km , (n, m) ∈ N2 , is
continuous (this follows, for example, from the fact that each such map is (trivially)
differentiable, and every differentiable map is continuous). In particular, each linear
map A : Kn −→ Km , has all the equivalent properties of Th. G.3.
Theorem G.5. Let X and Y be normed vector spaces over K.
(a) The operator norm does, indeed, constitute a norm on the set of bounded linear
maps L(X, Y ).
(b) If A ∈ L(X, Y ), then 4A4 is the smallest Lipschitz constant for A, i.e. 4A4 is a
Lipschitz constant for A and 4Ax − Ay4 ≤ L 4x − y4 for each x, y ∈ X implies
4A4 ≤ L.
Remark G.6. Even though it is beyond the scope of the present class, let us mention
as an outlook that one can show that L(X, Y ) with the operator norm is a Banach space
(i.e. a complete normed vector space) provided that Y is a Banach space (even if X is
not a Banach space).
Lemma G.7. If Id : X −→ X, Id(x) := x, is the identity map on a normed vector space
X over K, then 4 Id 4 = 1 (in particular, the operator norm of a unit matrix is always
1). Caveat: In principle, one can consider two different norms on X simultaneously,
and then the operator norm of the identity can differ from 1.
is called the column sum norm of A. It is an exercise to show that 4A4∞ is the operator
norm induced if Rn and Rm are endowed with the ∞-norm, and 4A41 is the operator
norm induced if Rn and Rm are endowed with the 1-norm.
be the corresponding Vandermonde matrix. Then its determinant, the so-called Vander-
monde determinant is given by
n
C
det(V ) = (λk − λl ). (H.2)
k,l=0
k>l
Proof. The proof can be conducted by induction with respect to n: For n = 1, we have
> > 1
> 1 λ0 > C
det(V ) = >> > = λ1 − λ0 = (λk − λl ), (H.3)
1 λ1 >
k,l=0
k>l
showing (H.2) holds for n = 1. Now let n > 1. We know from Linear Algebra that the
value of a determinant does not change if we add a multiple of a column to a different
column. Adding the (−λ0 )-fold of the nth column to the (n + 1)st column, we obtain
in the (n + 1)st column
0
λn − λn−1 λ0
1 1
.. . (H.4)
.
λnn − λnn−1 λ0
Next, one adds the (−λ0 )-fold of the (n − 1)st column to the nth column, and, succes-
sively, the (−λ0 )-fold of the mth column to the (m + 1)st column. One finishes, in the
nth step, by adding the (−λ0 )-fold of the first column to the second column, obtaining
> > > >
> 1 λ 0 . . . λn > > 1 0 0 . . . 0 >
> 0 > > >
>1 λ1 . . . λn > >1 λ1 − λ0 λ2 − λ1 λ0 . . . λn − λn−1 λ0 >
1> 1 1 1
det(V ) = > .. .. > = > .. .. .. .. .. >. (H.5)
> > >
>. . >> >> . . . . . >
>1 λn . . . λnn > >1 λn − λ0 λ2n − λn λ0 . . . λnn − λn−1
> >
n λ0
>
Applying the rule for determinants of block matrices to (H.5) yields
> >
> λ1 − λ0 λ2 − λ1 λ0 . . . λn − λn−1 λ0 >
1 1 1
> .. . . .
> >
det(V ) = 1 · > . .. .. .. >.
>
(H.6)
2 n n−1
> >
> λ n − λ 0 λ n − λ n λ 0 . . . λn − λ n λ 0 >
As we also know from Linear Algebra that determinants are linear in each row, for each
k, we can factor out (λk − λ0 ) from the kth row of (H.6), arriving at
> >
>1 λ1 . . . λn−1 >
n 1
> .. .. . .
C > >
det(V ) = (λk − λ0 ) > . . .
. .
. >.
>
(H.7)
>1 λn . . . λnn−1 >
> >
k=1
However, the determinant in (H.7) is precisely the Vandermonde determinant of the n−1
numbers λ1 , . . . , λn , which is given according to the induction hypothesis, implying
n
C n
C n
C
det(V ) = (λk − λ0 ) (λk − λl ) = (λk − λl ), (H.8)
k=1 k,l=1 k,l=0
k>l k>l
I MATRIX-VALUED FUNCTIONS 139
I Matrix-Valued Functions
Notation I.1. Given m, n ∈ N, let M(m, n, K) denote the set of m × n matrices over
K.
# $
Proof. Writing C(x) = cαβ (x) and using the one-dimensional product rule together
with the definition of matrix multiplication, one computes, for each (α, β) ∈ {1, . . . , m}
× {1, . . . , l},
D n E!
;
c!αβ (x) = aαγ (x) bγβ (x)
γ=1
n
; n
;
= a!αγ (x) bγβ (x) + aαγ (x) b!γβ (x)
γ=1 γ=1
Proof. (a): One computes, for each (j, l) ∈ {1, . . . , p} × {1, . . . , n},
! 1 " ;m 1 1 D; m
E
B A(x) dx = bjk akl (x) dx = bjk akl (x) dx
I jl k=1 I I k=1
1 !1 "
= (BA(x))jl dx = B A(x) dx , (I.7)
I I jl
proving (I.5).
(b): One computes, for each (k, j) ∈ {1, . . . , m} × {1, . . . , p},
!!1 " " ;n !1 " 1 D; n
E
A(x) dx B = akl (x) dx blj = akl (x)blj dx
I kj l=1 I I l=1
1 !1 "
= (A(x)B)kj dx = A(x) B dx , (I.8)
I I kj
proving (I.6). !
J Autonomous ODE
y ! = g(y), (J.2)
where
g : G −→ Kn+1 ,
# $
g(y1 , . . . , yn+1 ) := 1, f (y1 , y2 , . . . , yn+1 ) , (J.3)
in the following sense:
J AUTONOMOUS ODE 141
∃ ψ1 (x0 ) = x0 , (J.4)
x0 ∈I
While Th. J.1 is somewhat striking and of theoretical interest, it has few useful applica-
tions in practise, due to the unbounded first component of solutions to (J.2) (cf. Rem.
5.2).
and the autonomous ODE y ! = f (y). If (x0 , y0 ) ∈ R × Q, then the initial value problem
y(x0 ) = y0 has the unique solution φ : R −→ R, φ ≡ y0 ∈ Q. However, if (x0 , y0 ) ∈
R × (R \ Q), then the initial value problem y(x0 ) = y0 has no solution. Since y ! = f (y)
has only constant solutions, every function E : R −→ R is an integral for this ODE
according to Def. 5.18. However, not every differentiable function E : R −→ R satisfies
(5.15): For example, if E(y) := y, then E ! ≡ 1, i.e.
showing that Lem. 5.19 does not hold for y ! = f (y) with f according to (J.7).
K POLAR COORDINATES 142
K Polar Coordinates
Recall the following functions, used in polar coordinates of the plane:
B
2 +
r : R \ {(0, 0)} −→ R , r(y1 , y2 ) := y12 + y22 , (K.1a)
0 for y2 = 0, y1 > 0,
arccot(y /y )
1 2 for y2 > 0,
ϕ : R2 \ {(0, 0)} −→ [0, 2π[, ϕ(y1 , y2 ) :=
π for y2 = 0, y1 < 0,
π + arccot(y1 /y2 ) for y2 < 0.
(K.1b)
where g : R+ × R −→ R2 ,
g1 : R+ × R −→ R,
g1 (r, ϕ) := f1 (r cos ϕ, r sin ϕ) cos ϕ + f2 (r cos ϕ, r sin ϕ) sin ϕ, (K.4a)
g2 : R+ × R −→ R,
1* +
g2 (r, ϕ) := f2 (r cos ϕ, r sin ϕ) cos ϕ − f1 (r cos ϕ, r sin ϕ) sin ϕ . (K.4b)
r
Let µ : I −→ R2 be a solution to (K.3).
(a) Then
φ : I −→ R2 ,
# $
φ(x) := µ1 (x) cos µ2 (x), µ1 (x) sin µ2 (x) , (K.5)
is a solution to (K.2).
(b) If µ satisfies the initial condition
µ1 (0) = ρ, ρ ∈ R+ , (K.6a)
µ2 (0) = τ, τ ∈ R, (K.6b)
and if
η1 = ρ cos τ, (K.7a)
η2 = ρ sin τ, (K.7b)
K POLAR COORDINATES 143
φ1 (0) = η1 , (K.8a)
φ2 (0) = η2 . (K.8b)
Note that ρ > 0 implies (η1 , η2 ) -= (0, 0), and that, for (ρ, τ ) ∈ R+ × [0, 2π[, (K.7)
is equivalent to
r(η1 , η2 ) = ρ, (K.9a)
ϕ(η1 , η2 ) = τ (K.9b)
Proof. Exercise. !
Example K.2. Consider the autonomous ODE (K.2) with
f1 : R2 \ {(0, 0)} −→ R,
# $ y2 (r(y1 , y2 ) − y1 )
f1 (y1 , y2 ) := y1 1 − r(y1 , y2 ) − , (K.10a)
2 r(y1 , y2 )
f2 : R2 \ {(0, 0)} −→ R,
# $ y1 (r(y1 , y2 ) − y1 )
f2 (y1 , y2 ) := y2 1 − r(y1 , y2 ) + , (K.10b)
2 r(y1 , y2 )
where r is the radial polar coordinate function as defined in (K.1a). Using g : R+ ×R −→
R2 as defined in (K.4), one obtains, for each (ρ, ϕ) ∈ R+ × R,
ρ sin ϕ (ρ − ρ cos ϕ) cos ϕ
g1 (ρ, ϕ) = ρ cos ϕ (1 − ρ) cos ϕ −
2ρ
ρ cos ϕ (ρ − ρ cos ϕ) sin ϕ
+ ρ sin ϕ (1 − ρ) sin ϕ +
2ρ
= ρ (1 − ρ), (K.11a)
cos ϕ (ρ − ρ cos ϕ) cos ϕ
g2 (ρ, ϕ) = sin ϕ (1 − ρ) cos ϕ +
2ρ
sin ϕ (ρ − ρ cos ϕ) sin ϕ
− cos ϕ (1 − ρ) sin ϕ +
2ρ
1 − cos ϕ
= , (K.11b)
2
such that the autonomous ODE
r! = r (1 − r), (K.12a)
1 − cos ϕ [Phi16a, (I.1c)] ϕ
ϕ! = = sin2 , (K.12b)
2 2
is the polar coordinate version of (K.2) as defined in Th. K.1.
K POLAR COORDINATES 144
is
ρ
Yp : Dp,0 −→ R+ , Yp (x, ρ) := , (K.14)
ρ + (1 − ρ) e−x
where J PK
# $ O ρ
Dp,0 = R×]0, 1] ∪ (x, ρ) : ρ > 1, x ∈ − ln ,∞ . (K.15)
ρ−1
ρ(1 − ρ)e−x
Yp! (x, ρ) = #
# $
∀ $2 = Yp (x, ρ) 1 − Yp (x, ρ) . (K.17)
(x,ρ)∈Dp,0 ρ + (1 − ρ) e−x
To verify the form of Dp,0 , we note that the denominator in (K.14) is positive for each
x ∈ R if 0 < ρ ≤ 1. If ρ > 1, then the function a : R −→ R, a(x) := ρ + (1 − ρ) e−x , is
ρ
strictly increasing (note a! (x) = (ρ − 1) e−x > 0) and has a unique zero at x = − ln ρ−1 .
ρ Y (x, ρ) = ∞, proving the maximality of Y (·, ρ).
Thus limx↓− ln ρ−1 $
is
Yq : R2 −→ R+ ,
τ for (x, τ ) ∈ A0 ,
# # 2 $$
2 kπ + arctan −x for (x, τ ) ∈ A0,k , k ∈ Z,
2 (k + 1)π + arctan − x2
# # $$
for (x, τ ) ∈ B0,k , k ∈ Z,
π #+ 2kπ for (x, τ ) = (0, π + 2kπ), k ∈ Z,
Yq (x, τ ) := 2 kπ + arctan 2 cos τ2−xsin τ
# $$
sin τ +2
for (x, τ ) ∈ A1,k ∪ A2,k , k ∈ Z,
π + 2kπ for (x, τ ) ∈ C1,k , k ∈ Z,
2 (k + 1)π + arctan 2 cos τ2−x sin τ
# # $$
sin τ +2
for (x, τ ) ∈ B1,k , k ∈ Z,
−π + 2kπ for (x, τ ) ∈ C2,k , k ∈ Z,
2 #(k − 1)π + arctan # 2 sin τ
$$
for (x, τ ) ∈ B2,k , k ∈ Z.
2 cos τ −x sin τ +2
(K.20)
proves (K.24).
For each τ ∈ {2(k +1)π : k ∈ Z}, differentiability is clear in each x ∈ R\{0}. Moreover,
! ! ""!
2 4 1 4
∀ 2 arctan − = 2 4 = , (K.28)
x∈R\{0} x x 1 + x2 4 + x2
and, thus, for each x ∈ R \ {0},
4
1 1−
! ! ""
1 − cos Yq (x, τ ) 1 1 2 [Phi16a, (I.1e)] 1 x2
= − cos 2 arctan − = − 4
2 2 2 x 2 2 1+ x2
1 1 x2 − 4 8 4 (K.28) !
= − 2
= 2
= = Yq (x, τ ), (K.29)
2 2 x +4 2(4 + x ) 4 + x2
proving (K.24) for each x ∈ R \ {0}. It remains to consider x = 0. One has, by
L’Hôpital’s rule [Phi16a, Th. 9.25(a)],
π + 2kπ − 2 kπ + arctan − x2
# # $$
Yq (0, τ ) − Yq (x, τ )
lim = lim
x↑0 0−x x↑0 −x
4
[Phi16a, (9.27)],(K.28) − 2
= lim 4+x = 1 (K.30)
x↑0 −1
and
π + 2kπ − 2 (k + 1)π + arctan − x2
# # $$
Yq (0, τ ) − Yq (x, τ )
lim = lim
x↓0 0−x x↓0 −x
4
[Phi16a, (9.27)],(K.28) − 2
= lim 4+x = 1, (K.31)
x↓0 −1
showing x #→ Yq (x, τ ) to be differentiable in x = 0 with Yq! (0, τ ) = 1. Due to
1 − cos(π + 2kπ)
= 1 = Yq! (0, π + 2kπ), (K.32)
2
(K.24) also holds.
For each τ ∈ Rk ∪ Lk , the differentiability is clear in each x ∈ R \ {x0 (τ )}. Moreover,
recalling ∆(x, τ ) from (K.22), one has, for each x ∈ R \ {x0 (τ )},
""!
4(sin τ )2 4(sin τ )2
! !
2 sin τ 1
2 arctan = 2 = , (K.33)
∆(x, τ ) (∆(x, τ ))2 1 + 4(sin τ ) 2 4(sin τ )2 + (∆(x, τ ))2
(∆(x,τ ))
and
π + 2kπ − 2 (k + 1)π + arctan 2 cos τ2−x
sin τ
# $ # # $$
Yq x0 (τ ), τ − Yq (x, τ ) sin τ +2
lim = lim
x↓x0 (τ ) x0 (τ ) − x x↓x0 (τ ) x0 (τ ) − x
2
[Phi16a, (9.27)],(K.33) − 4(sin τ4(sin τ)
)2 +(∆(x,τ ))2
= lim =1 (K.36)
x↓x0 (τ ) −1
1 − cos(π + 2kπ)
= 1 = Yq! (x0 (τ ), τ ), (K.37)
2
(K.24) also holds. For τ ∈ Lk , we have sin τ < 0 and x0 (τ ) < 0, and, thus, by L’Hôpital’s
rule [Phi16a, Th. 9.25(a)],
# $
Yq x0 (τ ), τ − Yq (x, τ )
lim
x↑x0 (τ ) x0 (τ ) − x
−π + 2kπ − 2 (k − 1)π + arctan 2 cos τ2−x
sin τ
# # $$
sin τ +2
= lim
x↑x0 (τ ) x0 (τ ) − x
2
[Phi16a, (9.27)],(K.33) − 4(sin τ4(sin τ)
)2 +(∆(x,τ ))2
= lim =1 (K.38)
x↑x0 (τ ) −1
and
−π + 2kπ − 2 kπ + arctan 2 cos τ2−x
sin τ
# $ # # $$
Yq x0 (τ ), τ − Yq (x, τ ) sin τ +2
lim = lim
x↓x0 (τ ) x0 (τ ) − x x↓x0 (τ ) x0 (τ ) − x
2
[Phi16a, (9.27)],(K.33) − 4(sin τ4(sin τ)
)2 +(∆(x,τ ))2
= lim =1 (K.39)
x↓x0 (τ ) −1
1 − cos(−π + 2kπ)
= 1 = Yq! (x0 (τ ), τ ), (K.40)
2
(K.24) also holds. $
K POLAR COORDINATES 148
Y : Df,0 −→ R2 ,
* # $ # $
Y (x, η1 , η2 ) := Yp x, r(η1 , η2 ) cos Yq x, ϕ(η1 , η2 ) ,
# $ # $+
Yp x, r(η1 , η2 ) sin Yq x, ϕ(η1 , η2 ) , (K.41)
Proof. Since (K.12) is the polar coordinate version of (K.2) with f1 , f2 according to
(K.10), everything follows from combining Th. K.1 with Claims 1 and 2. $
Claim 4. The autonomous ODE (K.2) with f1 , f2 according to (K.10) has (1, 0) as its
only fixed point, and (1, 0) satisfies Def. 5.24(iii) for x → ∞ (even for each η ∈ R2 \ {0})
without satisfying Def. 5.24(ii) (i.e. without being positively stable).
If ϕ(η) = π, then
! ! ""
# $ 2
lim Yq x, π = lim 2 π + arctan − = 2(π + 0) = 2π. (K.44b)
x→∞ x→∞ x
If 0 < ϕ(η) < π or π < ϕ(η) < 2π, then sin ϕ(η) -= 0 and, thus,
! ! ""
# $ 2 sin ϕ(η)
lim Yq x, ϕ(η) = lim 2 π + arctan
x→∞ x→∞ 2 cos ϕ(η) − x sin ϕ(η) + 2
= 2(π + 0) = 2π. (K.44c)
While (1, 0) is clearly a fixed point for (K.2) with f1 , f2 according to (K.10), (K.45)
shows that no other η ∈ R2 \ {0} can be a fixed point.
REFERENCES 149
For each τ ∈]0, π[ and η := (cos τ, sin τ ), it is ϕ(η) = τ and Yq (0, ϕ(η)) = τ . Thus, due
to (K.44c) and the intermediate value theorem, the continuous function Yq (·, ϕ(η)) must
attain every value between τ and 2π, in particular, there is xπ > 0 that Yq (xτ , ϕ(η)) = π
and Y (xτ , η) = (cos π, sin π) = (−1, 0). Since every neighborhood of (1, 0) contains
points η = (cos τ, sin τ ) with τ ∈]0, π[, this shows that (1, 0) does not satisfy Def.
5.24(ii) for x ≥ 0. $
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