44 A potpourri of basic concepts

which establishes that the fixed point is stable. What combination of L and H has
particular significance?

Exercise 2.19. Euler's equations of motion for a free rigidly rotating body can be
written
Iiw1 = (02(03(12 - 13), 12w2 = w1(03(13 - I1); 13(b3 = w1w2(I1 - I2);
where 11 > I2 > 13 > 0 are the principal moments of inertia. Now all points on each w,,
axis are fixed points (why?). Obtain a Lyapunov function for this system which
establishes that the fixed points ((o?, 0, 0) and (0, 0, w3) are stable. Explain what this
means if we spin a book around each of its principal axes. Now add a frictional torque
to the w1 motion only, by adding a term - w111 to the right side of the w1 equation,
with a > 0. Show that w1 = 0 is now asymptotically stable.
It is not difficult to see how this approach could be generalized to establish bounded
stability, which is a point of considerable interest for so-called explosive instabilities.
These point will be elaborated upon in later sections.

2.4 Integral invariants

An important concept which should be discussed, at least briefly, is that of an integral
invariant, due to Poincare, and discussed in some detail by Whittaker. The most
important of these (apparently!), for it applies to all equations of the form (2.1.1) (rather
than just to Hamiltonian systems), is a generalized Liouville's theorem.
Let 92(0) represent an arbitrary domain (`volume') in phase space at t = 0, and let S2(t)
represent this domain at the time t; so n(t) is the set of all point x(t, x) which propagate
according to x = F(x, c, t) and such that x(0) - x is contained in S2(0). We then consider
the integral of some function p(x, t): R' x R -* R over this moving domain Q(t),

1(t) - ... p(x, t) dx1,... , (2.4.1)

J nu)
If p(x, t) > 0, we might view p dx 1... dx as an ensemble probability in this phase space.
I(t) is called an integral invariant of (2.1.1) if its value is constant in time,
dI/dt = 0. (2.4.2)
The trick in evaluating dI/dt is to change the variable limits of integration in (2.4.1) to
the fixed limits of the initial region S2(0). This means one uses the variable x by
introducing the Jacobian I a(x 1, ... , x) I. Then

...
dt - nio> dt
S p(x,t) a(0 dx'.. - dx, (2.4.3)

where it is now understood that all xi in the integrand are the functions xi(t, x)
 Integral invariants 45

satisfying z, = F,(x, c, t). Since ((0) is arbitrary, (2.4.2) can only be satisfied if the
integrand of (2.4.3) vanishes identically. It is then rather straightforward to establish:
Liouville's theorem.

The integral I(t) is an integral invariant of (2.1.1) if and only if ap/at +

t)F(x, t)) = 0.

Exercise 2.20. Prove this theorem. Note that F can depend explicitly on t, but what
condition must be assumed about the Jacobian? What does the condition mean in light
of the implicit function theorem?

If p(x, t) is a probability density, (2.4.2) must hold because of probability conservation.

Liouville's theorem then yields an equation for p(x, t), for any F(x, t), including
dissipative systems (see Appendix Q.

Exercise 2.21. Show that V F = 0 for all Hamiltonian systems, so that p(x, t) = 1 can
be used in (2.4.1).

Another beautiful (but apparently unapplied) integral invariant of Poincare is

12 = Y_k f fak dpkdgk (for Hamiltonian systems only). Picturesquely: the sum of the
`shadow areas' (2k(t) (on all planes (pk, qk)) of a two-dimensional region in R2n, S2(t),
is constant, see Fig. 2.27 (see Whittaker (1944)).

Fig. 2.27 Pi q, (R6!)

S2(t)

Exercise 2.22. Consider a particle moving in one dimension, = v, v = F(x, t) with the
phase space (x, v). The region ((t) is initially 0(0) = {0 < x 1, 1 < v 5 2 1. Prove by
explicit calculations that 1(t) = 1(0) (where p = 1), by determining ft(t). To do this, first
compute where the corners of f2(t) are located, then obtain ((t). In parts (a) and (b)
assume that the particle experiences an elastic reflection (v -> - v) at x = 2 (it is in a
 Appendix C

Integral invariants

We begin with the integral discussed in Section 4 of Chapter 2,

I(t) = 1 Lt) P(x, t) dx 1, ... , (C.1)

where p(x, t) > 0 is any function, and n(t) is a domain in the phase space whose points
move according to the equations of motion
zk = Fk(x 1, ... , t) (k = 1, ... , n) (C.2)

starting from some arbitrary initial region, no. The function 1(t) is an integral invariant,
by definition, if
dI(t)/dt = 0. (C.3)

As discussed in (2.4.3), we can obtain dI/dt in the form

t P(x, t) a(x 1, ... , xn)0) (C.4)
dt - f moo... f dt a x1,0 ...,x
and, if (C.3) is to hold for arbitrary regions, no, then the integrand must vanish

-
identically. On the other hand, the integrand can be differentiated, using (C.2), to give
3p ap
+ xk
axk
ol o
a(x,...,xn)
f P(x)
a(xl..., xn)
0
at k k

=(F Vp)I a(xo,...,xxo

+PE a(x1,..o,Fk,ox") (C.5)
a(xl, ,xn) k a(x1,. .,xn)

The kth row of the kth determinant in the last sum contains the following terms:
aFk ax, aFk ax, aFk ax,
ax, ax' I
ax, axz' '' ax, ax
A determinant with such a row can be written as the sum of determinants, each with the
394 Appendix C

kth row containing one of the above l values, from which can then be factored aFk/ax,.
Hence the sum in (C.5) equals
aFk
a(x1, ... , xk- 1, xk+ 1, ... , xn)
M ax, a(x 1 , .... .Xn )
Now, unless l = k in this sum, the determinant will vanish, because two rows will be
identical (namely the kth row and the lth row). Hence only the term l = k survives, and
so the last expression equals
aFk a(x1,...,xn) = a(x1,...,xn)
0 0
k ax, 8(x1,...,xn) -V'F 0
a(x1,...,xn) 0

Substituting this back into the sum in (C.5), we see that the integrand of (C.4) becomes
simply
ap/at + V -(p(x, t)F(x, t)),
so that (C.3) is generally satisfied only if this vanishes. This proves Liouville's theorem.
It should be emphasized that, if p(x, t) is a conserved quantity, such as the probability
density of an ensemble of systems, we know ab initio that dI/dt = 0. Then we can use
Liouville's theorem to conclude that p(x, t) must obey the equation
ap/at + V (p(x, t)F(x, t)) = 0 (C.6)

This is the general form of the so-called Liouville equation, which is valid even in the
case of forced, and dissipative systems. This greatly extends the applicability of this
equation, which is frequently derived only for Hamiltonian systems.
There are many other possible integral invariants, as was noted by Poincare in the
case of Hamiltonian systems. To date, very little use has been made of such invariants,
but they may prove to be useful in the future. We therefore will consider briefly some
other integrals.
Consider an integral over some region w(t) of the (x1,x2) plane which again moves
according to the equations (C.2) - note that the phase space is still n-dimensional.

I12(t) dxldx2. (C.7)

= ff-M
To evaluate the time derivative of 12(t), it would be helpful to integrate over the fixed
domain of initial conditions. However, w(t) is not just determined by the initial
conditions (x, x2), but also depends on all the rest, (x3, ... , We can simplify things
at first, by considering the case where all initial conditions lie on a two-dimensional
manifold in the phase space, so all xk(s1, s2) can be taken to be functions of only two
variables, (s1, s2). The initial two-dimensional region in the phase space is specified by
 Integral invariants 395

some region v in the space (s1, s2). In this case (C.7) can be written

1, 20) = dslds2 a(x1, x2) (C.8)

Ja J a(S1, S2)

Following Poincare, in the case of a Hamiltonian system, consider

i(t)
(t)o i
J.L d pdq, = J J
Now, as above, to investigate dJ/dt, we consider
a(S1, S2)
(C.9)

d 0(pi, qi) _ a( - aH/aqi, qi) a(p , aH/api)

dt i a(S1, S2) { a(S1, S2) + a(S1, S2)

a OH a(pk, q;) + a ax a(qk, q,)

5k aqi a(S1, S2) aqk aqi a(S1, S2)

+ a (aH)a(pj,pk)+ a (aH)a(pj,qk)j.
apk TA a(S1, S2) apt a(S1, S2)
aqk
The first and last sums cancel, and the second and third sums vanish individually
because they change sign when i and k are interchanged. Thus we have another
Poincare integral invariant
dJ/dt = 0.
This invariant only holds for Hamiltonian systems, but other integrals, for example
over four-dimensional domains

f dxdx2dx3dx4,

can be invariant for more general systems (as well as Hamiltonian, for dp1dg1dp2dg2).
For a further discussion, see Whittaker (1944).