Beruflich Dokumente
Kultur Dokumente
Department of Mathematics
The Hong Kong University of Science and Technology
ii
c
Copyright
2004
by Jishan Hu and Wei-Ping Li
Contents
1
1
6
8
13
19
19
21
23
27
29
33
33
39
44
52
61
65
65
iii
iv
CONTENTS
2.7
66
67
1
Existence and Uniqueness
1.1
SOME BASICS
dx1
dt
= X1 (x1 , . . . , xn ; t),
dxn
dt
= Xn (x1 , . . . , xn ; t).
..
.
(1.1)
Many varieties of ODEs can be reduced to this form. For example, consider an n-th order ODE
dn x
=F
dtn
Let x1 = x, x2 =
dx
dn1 x
t, x,
, . . . , n1 .
dt
dt
dx
dn1 x
, . . . , xn = n1 . Then the ODE can be changed to
dt
dt
dx
1
dt
dxn1
dt
dxn
dt
= x2 ,
..
.
= xn ,
= F (t, x1 , . . . , xn ).
1
Let us review some notations and facts on vectors and vector-valued functions. The normal system (1.1) can be written as its vector form:
dx
= X(x, t).
dt
p
For a vector x = (x1 , . . . , xn ), define kxk = x21 + + x2n . The inner product is defined to be
x y = x1 y1 + + xn yn where y = (y1 , . . . , yn ). We have the triangle inequality
kx + yk kxk + kyk,
and the Schwarz inequality
|x y| kxk kyk.
For a vector valued function x(t) = (x1 (t), . . . , xn (t)), we have
x0 (t) = (x01 (t), . . . , x0n (t)) ,
and
Z
Z
x(t)dt =
Z
x1 (t)dt, . . . ,
xn (t)dt .
a
Example 1.1.2 Show that the differential equation x0 = x2/3 has infinitely many solutions satisfying
x(0) = 0 on every interval [0, b].
Solution Define
if 0 t < c;
0,
3
xc (t) =
(t c) , if c t b.
27
It is easy to check for any c, the function xc satisfies the differential equation and xc (0) = 0.
Definition 1.1.1 A vector-valued function X(x, t) is said to satisfy a Lipschitz condition in a region
R in (x, t)-space if, for some constant L (called the Lipschitz constant), we have
kX(x, t) X(y, t)k Lkx yk,
(1.2)
Xi
on a bounded closed convex domain
xj
sup
|Xi /xj | .
xR
1i,jn
Since X has continuous partial derivatives on the bounded closed region R, we know that M is finite. For
x, y R and 0 s 1, (1 s)x + sy is a line segment connecting x and y. Thus it is in the domain R since
R is convex. For each component Xi , we have, for fixed x, y, t, regarding Xi ((1 s)x + sy) as a function of
the variable s,
n
X
Xi
d
Xi ((1 s)x + sy, t) =
((1 s)x + sy, t)(yk xk ).
ds
xk
k=1
n
X
Xi
((1 i )x + i y, t)(yk xk ),
xk
k=1
1 It
(ii) The constant L is independent of x, y and t. However, it depends on R. In other words, for a given function
X(x, t), its Lipschitz constant may change if the domain R is different. In fact, for the same function X(x, t),
it can be a Lipschitz function in some regions, but not a Lipschitz function in some other regions.
2 Here
2 !1/2
n
X
Xi
xk ((1 i )x + i y, t)
k=1
k=1
n
X
!1/2
M
ky xk =
n
X
!1/2
|yk xk |
k=1
nM ky xk.
k=1
Thus,
kX(y, t) X(x, t)k
n
X
i=1
n
X
!1/2
|Xi (y, t) Xi (x, t)|
!1/2
nM ky xk
2
= nM ky xk.
i=1
x2 + 1
t
x
satisfies a Lipschitz condition in the domains: (1) R1 = [1, 2] [0, 1]; (2) R2 = (1, 2) [0, 1]; (3)
R3 = [1, 2] [0, +); (4) R4 = [1, +) [0, T ]; (5) R5 = (0, 1) [0, 1].
Solution (1) Since the function X(x, t) is continuously differentiable in the bounded closed convex domain
R = [1, 2] [0, 1], by Lemma 1.1.2, we know that the function satisfies a Lipschitz conditio in this region.
(2) Since the function X(x, t) satisfis a Lipschitz condition in R1 , and R2 R1 , we know that the function
satisfis the same Lipschitz inequality in R2 . Hence the function X(x, t) satisfis a Lipschitz condition in R2 .
(3) Since R3 = [1, 2] [0, +) is not a bounded region, we cannot apply Lemma 1.1.2 in this case. Since
xy 1
|X(x, t) X(y, t)|
|t| > |t| ,
=
|x y|
xy
as t +, there exists no contant L, independent of x, y and t, such that
|X(x, t) X(y, t)| L |x y| .
Hence, the function X is not a Lipschitz function in R3 .
(4) Again, R4 = [1, +) [0, T ] is not bounded and Lemma 1.1.2 does not apply in this case. For
(x, t), (y, t) R4 ,
xy 1
|t| |x y|
|X(x, t) X(y, t)| =
xy
1
1
T |x y|
xy
T |x y|.
(5) Since R5 = (0, 1) [0, 1] is not a closed region, Lemma 1.1.2 does not apply in this case. In fact, the
function X is continuously differentiable in R, with
X(x, t)
x2 1
=
t.
x
x2
X(x, t)
as x 0+ when t 6= 0.
But the derivative is not bounded when t 6= 0, since
x
Actually, we can show that the function X does not satisfy any Lipschitz condition in R5 . To see that,
1
2
we take x = , y =
and t = 1, and have
n
n
|X(x, t) X(y, t)| =
n2
1,
2
n2
for n 2. Obviously, there exists no constant L such that
1 L for all n. Therefore, the function X
2
does not satisfy any Lipschitz conditions in the domain R5 .
2
d3 x
Example 1.1.4 Reduce the ODE 3 + x2 = 1 to an equivalent first-order system and determine
dt
in which domain or domains the resulting system satisfies a Lipschitz condition.
Solution Let x1 = x, x2 = x0 , x3 = x00 , we get the equivalent first order system
dx1
dt
dx2
dt
dx3
dt
x2 ,
x3 ,
1 x21 .
Denote x = (x1 , x2 , x3 ), y = (y1 , y2 , y3 ) and X(x, t) = (x2 , x3 , 1 x21 ). Then, X(x, t) X(y, t) = (x2
y2 , x3 y3 , x21 + y12 ), which implies
p
kX(x, t) X(y, t)k = (x2 y2 )2 + (x3 y3 )2 + (x1 y1 )2 (x1 + y1 )2 .
We can see that whenever x1 and y1 are bounded, to be precise, x1 + y1 is bounded, the Lipschitz condition
holds. In fact, consider the domain
n
o
R = (x1 , x2 , x3 , t) |x1 | M
for some constant M . Take L =
kX(x, t) X(y, t)k
Therefore X(x, t) satisfies the Lipschitz condition with the Lipschitz constant L =
domain R.
p
max{4M 2 , 1} in the
2
Exercise 1.1
1. Show that the function X(x, t) = |x| satisfies a Lipschitz condition everywhere, but
X
does not exist at x = 0.
x
2. For f (x, t) = x 3 t, does it satisfy a Lipschitz condition over the interval [1, 2] [0, T ]? Does it satisfy a Lipschitz
condition over the interval [1, 1] [0, T ]? Here T is a constant.
3. Does the function f (x, t) = x3 satisfy a Lipschitz condition over [0, +) [0, +)?
4. Does the function f (x, t) =
1.2
xt
satisfy a Lipschitz condition over [0, +)[0, T ]? Here T is a constant.
x2 + t2 + 1
UNIQUENESS THEOREM
(1.3)
0 (t)
n
X
2 x0k (t) yk0 (t) [xk (t) yk (t)]
k=1
n
X
k=1
=
By the Schwarz inequality, we have
0 (t)
0
(t) = 2 |(X(x, t) X(y, t)) (x y)|
2L kx yk2 = 2L(t).
which implies
d
(t)e+2Lt = 0 (t) + 2L(t) e+2Lt 0.
dt
So (t)e+2Lt is an increasing function. Therefore for t < a, (t)e+2Lt (a)e+2La = 0. Again we have
(t) = 0 for t a, i.e., x(t) = y(t) for t a.
2
Example 1.2.1 Find a region where the differential equation x0 = x + 3x1/3 has a unique solution,
i.e., find (x0 , t0 ) such that the solution x(t) of the differential equation with x(t0 ) = x0 is unique in
a neighborhood of (x0 , t0 ).
Solution We will show the following
(1) the differential equation has a unique solution with x(t0 ) = x0 , x0 6= 0;
(2) there are more than one solution satisfying x(t0 ) = 0.
(1) For any given (x0 , t0 ), with x0 6= 0, we choose a small > 0 such that 0 6 [x0 , x0 + ]. By
Lemma 1.1.2, we know that the function X(x, t) = x + 3x1/3 satisfies a Lipschitz condition in the region
n
o
R = (x, t) |x x0 | , |t t0 | T = [x0 , x0 + ] [t0 T, t0 + T ],
where T > 0 is any fixed constant.3 By Theorem 1.2.1, we conclude that the differential equation has a
unique solution with x(t0 ) = x0 , x0 6= 0.
(2) It is easy to see that x(t) 0 is one solution of the differential equation with x(t0 ) = 0. We only need
to show that there exists another solution which also satisfies x(t0 ) = 0.
Consider the improper integral
Z x
du
.
1/3
0 u + 3u
For any c > 0, we know that
Z c
Z c
du
du
1
0<
<
= c2/3 .
1/3
1/3
2
u
+
3u
3u
0
0
Hence the improper integral converges for c > 0. This allows us to define an implicit function x(t) by
Z x
du
= t t0 .
u
+
3u1/3
0
We should have x(t0 ) = 0, since the last equation becomes an identity when setting t = t0 . Obviously, this
function x(t) 6 0, otherwise we will have t t0 , a contradiction. This function x(t) certainly satisfies the
differential equation, which can be seen easily by differentiating both sides of the last equation.
2
3 We
can make the following argument. Let (x, t), (y, t) R = [x0 , x0 + ] [t0 T, t0 + T ]. Then, by the mean
value theorem, we have
X
|X(x, t) X(y, t)| =
(, t) |x y| = 1 2/3 |x y| ,
x
X
(x, t) = 1 + x2/3 is continuous in x
x
in the compact set [x0 , x0 + ], since 0
6 [x0 , x0 + ]. This indicates that there is a number L (might depend
on x0 and ) such that
1 2/3 L.
where is between x and y. This implies [x0 , x0 + ]. The function
Exercise 1.2
1. Show that for 0 < < 1, the initial value problem
dx = x ,
dt
x(0) = 0,
has at least two solutions.
2. Show that the initial value problem
x(0) = c,
has a unique solution.
3. Show that the initial value problem:
dx = 1 + x ,
dt
1 + t2
x(0) = 1,
has at most one solution.
4. Show that the initial value problem
dx = t sin x,
dt
x(0) = 1,
has at most one solution.
5. Show that the initial value problem
du = tu + sin u,
dt
u(0) = 1,
has a unique solution.
6. State and prove a uniqueness theorem for the differential equation y 00 = F (t, y, y 0 ).
1.3
CONTINUITY
Theorem 1.3.1 (Continuity Theorem) Let x(t) and y(t) be any two solutions of the differential
equation (1.3) in T1 t T2 , where X(x, t) is continuous and satisfies the Lipschitz condition (1.2)
in some region R that contains the region where x(t) and y(t) are defined. Then
kx(t) y(t)k eL|ta| kx(a) y(a)k ,
for any a, t [T1 , T2 ].
Proof Let us first assume that t a. Then, for the function (t) = kx(t) y(t)k2 , as in the proof of
Uniqueness Theorem 1.2.1, we have
0 (t) 2L(t),
which implies
d
(t)e2Lt 0.
dt
1.3 CONTINUITY
Corollary 1.3.2 Let x(t) be the solution of the differential equation (1.3) satisfying the initial
condition x(a, c) = c. Let the hypotheses of Continuity Theorem 1.3.3 be satisfied, and let the
function x(t, c) be defined for kc c0 k K and |t a| T . Then
(1) x(t, c) is a continuous function of both variables;
(2) if c c0 , then x(t, c) x(t, c0 ) uniformly for |t a| T .
Proof For (a), it is obvious that x(t, c) is continuous in t since x(t, c) is a solution of the differential
equation
(1.3), which
To see that x(t, c) is continuous in c, we take c1 and c2 , with
is differentiable.
c1 c0
K and
c2 c0
K. Since x(t, c1 ) and x(t, c2 ) are solutions of (1.3), by Continuity Theorem 1.3.3, we get
x(t, c1 ) x(t, c2 )
eL|ta|
x(a, c1 ) x(a, c2 )
= eL|ta|
c1 c2
.
Let t be fixed. Hence, for any given > 0, take =
eL|ta|
, whenever
c1 c2
< , we have
x(t, c1 ) x(t, c2 )
< eL|ta| = .
Therefore, x(t, c) is continuous in c.
For (b), in above, we can take
=
min
eL|ta|
t[aT,a+T ]
.
1
> 0 is a finite number, hence, > 0 is independent of t. Therefore, x(t, c) is
eL|ta|
continuous in c uniformly for |t a| T .
2
Since
min
t[aT,a+T ]
and
dy
= Y(y, t),
dt
10
respectively, on T1 t T2 .
(2) The functions X and Y be defined and continuous in a common domain R, and satisfy
kX(z, t) Y(z, t)k ,
for any (z, t) R, with T1 t T2 .
(3) X(x, t) satisfies the Lipschitz condition (1.2) in R.4
Then
kx(t) y(t)k kx(a) y(a)k eL|ta| +
L|ta|
e
1 ,
L
k=1
0 (t)
2 x0 (t) y0 (t) [x(t) y(t)]
2 [X(x(t), t) X(y(t), t)] [x(t) y(t)] + 2 [X(y(t), t) Y(y(t), t)] [x(t) y(t)] .
2 kX(x(t), t) X(y(t), t)k kx(t) y(t)k + 2 kX(y(t), t) Y(y(t), t)k kx(t) y(t)k
(1) Let us assume that (a) > 0. Consider the initial value problem
du = 2Lu + 2u,
t a,
dt
u(a) = (a).
Formally, we can introduce the substitution v(t) =
p
u(t). This gives the equivalent differential equation
dv
= 2Lv 2 + 2v.
dt
p
v(t) = 0 for all t is not a solution since v(a) = u(a) 6= 0. Thus we can divide both sides of the equation
by v(t) to obtain a linear differential equation for v. This leads to the following initial value problem
dv Lv = ,
t a,
dt
p
v(a) = u(a).
2v
4 The
1.3 CONTINUITY
11
(t0n ) < u(t0n ). Taking limits, we have (t0 ) u(t0 ). Therefore we (t0 ) = u(t0 ). Since u(t0 ) > 0, we have,
for t0 t t1 ,
p
p
[(t) u(t)]0 2L[(t) u(t)] + 2[ (t) u(t)]
=
which implies
(t) u(t)
p
(t) + u(t)
(t) u(t)
2L[(t) u(t)] + 2 p
,
u(t0 )
2L[(t) u(t)] + 2 p
h
n
oi0
p
[(t) u(t)] exp 2L + 2/ u(t0 ) t
0.
p
(t)
=
=
u(t)
L(ta)
e
1
L
p
L(ta)
(a)e
+
eL(ta) 1
L
L(ta)
L(ta)
kx(a) y(a)k e
+
e
1 .
L
u(a)eL(ta) +
(2) For (a) = 0, we have to modify the discussion above. For each positive integer n, we consider the
following initial value problem
du = 2Lu + 2u,
t a,
dt
u(a) = 1/n.
The discussion above can be applied to this problem, and we have the solution
h
i2
L|ta|
un (t) = n1/2 eL|ta| +
e
1
.
L
If we can show that (t) un (t) for t a, then, after taking n , we obtain the desired inequality in
the case (a) = 0. The last inequality can be proved by contradiction. In fact, if
(t1 ) > un (t1 ),
12
for some t1 > a, then there exists t0 to be the largest t in the interval a < t t1 such that (t0 ) un (t0 ).
Obviously, (t0 ) = un (t0 ) > 0 and (t) > un (t) for t0 < t t1 . But this is impossible according to the
discussion in the case (a) > 0 by replacing a by t0 .
We can use the inequality
0 (t) | 0 (t)| 2L(t) + 2
p
(t)
L(at)
e
1 .
L
2
Exercise 1.3
1. Assume that (t), (t), w(t) are continuous on [a, b], with w(t) > 0. If the inequality
Z t
(t) (t) +
w(s)(s)ds
a
(t) (t) +
Z
w(s)(s) exp
w(u)du ds.
3. Let x(t) and y(t) be the solutions of the initial value problems
00
2
0 < t < 1,
x + (1 + t )x = 0,
x(0) = 1,
0
x (0) = 0
and
00
2
y + (1 + t )y = ,
y(0) = 1,
0
y (0) = 0,
0 < t < 1,
= const,
respectively. Estimate
max |x(t) y(t)|.
t[0,1]
1.4
13
EXISTENCE THEOREM
In this section, we study existence of the differential equation (1.3). The idea is to establish an
equivalent integral equation for any given initial value problem. Then we show that the iteration of
the integral operator converges to a solution.
Theorem 1.4.1 Let X(x, t) be a continuous function. Then a function x(t) is a solution of the
initial value problem
dx = X(x, t),
dt
(1.4)
x(a) = c
if and only if it is a solution of the integral equation
Z t
x(t) = c +
X(x(s), s)ds.
(1.5)
Proof Let us assume that x(t) is a solution of the initial value problem (1.4). The Fundamental Theorem
of Calculus implies that
Z t
xk (t) = xk (a) +
x0k (s)ds.
a
dx
= X(x, t).
dt
For a given X(x, t), if it is defined for all x in |t a| T , and is continuous, then we can define
an operator U by
Z t
U (x) = c +
X(x(s), s)ds.
(1.6)
a
14
Now we can use the operator U to generate a sequence of functions {xn } from the given initial
data by the successive iteration:
x0 (t) c,
xn = U (xn1 ) = U n (x0 ),
n = 1, 2, . . . .
(1.7)
In other words, we prove the lemma on the interval 0 t T . The proof for the general a and t < a can
be deduced from this case by the substitutions t t + a and t a t.
We first prove by induction that
n
n
x (t) xn1 (t)
(M/L)(Lt) ,
n!
n = 1, 2, . . . .
In fact, for n = 1,
1
x (t) x0 (t)
Z t
0
X(x
(s),
s)
ds
0
Z t
X(x0 (s), s)
ds
ds = M t =
0
(M/L)(Lt)1
.
1!
For n = 2,
2
x (t) x1 (t)
Z t
1
0
X(x
(s),
s)
X(x
(s),
s)
ds
0
Z t
X(x1 (s), s) X(x0 (s), s)
ds
0
Z t
1
x (s) x0 (s)
ds
L
0
t
M s ds =
0
(M/L)(Lt)2
LM t2
=
.
2
2!
5 The
(1.8)
15
Then,
k+1
(t) xk (t)
x
Z t h
i
k
k1
X(x
(s),
s)
X(x
(s),
s)
ds
0
Z t
k
k1
(s), s)
ds
X(x (s), s) X(x
0
Z t
k
k1
L
(s)
ds
x (s) x
L
0
(M/L)(Lt)k+1
(M/L)(Ls)k
ds =
.
k!
(k + 1)!
,
k!
k!
and the positive series
X
(M/L)(LT )k
k!
k=1
is convergent to (M/L) eLT 1 , by the Comparison Test, the series
x0 (t) +
h
i
X
xk (t) xk1 (t)
k=1
(M/L)(LT )k
is independent of
k!
k=1
n
Theorem 1.4.4 (Existence Theorem) Assume that X(x, t) is continuous and satisfies the Lipschitz condition (1.2) on the interval |t a| T for all x, y. Then the initial value problem (1.4)
has a unique solution on the interval |t a| T .
Proof The uniqueness is a direct consequence of Uniqueness Theorem 1.2.1. We only need to prove the
existence.
By Lemma 1.4.3, the sequence {xn (t)} defined by the Picard iteration with x0 (t) c is uniformly
convergent. Denote x (t) the limit function. We show that x (t) is a solution of the integral equation (1.5).
By the definition,
Z
t
xn+1 (t) = c +
The left hand side is uniformly convergent to x (t). By the Lipschitz condition,
kX(xm (s), s) X(xn (s), s)k L kxm (s) xn (s)k ,
and so the integral on the right hand side is also uniformly convergent. Since X(x, s) is continuous, we know
that
X(xn (s), s) X(x (s), s).
16
Hence, we obtain
x (t) = c +
Finally, by Theorem 1.4.1, we conclude that the function x (t) is a solution of the initial value problem (1.4).
2
x(0) = 1.
Z
U (x(t)) = 1 +
x(s) ds
0
1,
t
Z
x1 (t)
U (x0 (t)) = 1 +
1 ds = 1 + t,
0
t
Z
x2 (t)
U (x1 (t)) = 1 +
(1 + s) ds
0
1+t+
t2
,
2
..
.
xn (t)
xn+1 (t)
=
=
=
tn
t2
+ ... + ,
2
n!
U (xn (t))
Z t
s2
sn
1+
1+s+
+ ... +
ds
2
n!
0
1+t+
1+t+
t2
tn
tn+1
+ ... +
+
.
2
n!
(n + 1)!
We see that the sequence {xn (t)} converges uniformly to the function et . Hence we get the solution x(t) = et
by the Picard iteration.
2
Example 1.4.2 Verify the Taylor series for sin t and cos t by applying the Picard iteration to the
first order system corresponding to the second order initial value problem
x00 = x,
x(0) = 0,
dx1
= x2 ,
dt
dx2 = x1 ,
dt
x0 (0) = 1.
17
(0, 1),
x1 (t)
(0, 1) +
(1, 0) ds
0
=
x2 (t)
=
=
x3 (t)
=
=
=
=
s2
1 , s ds
2
0
t3
t2
(0, 1) + t ,
3!
2
3
2
t
t
t ,1
,
3!
2
Z t
s3
s2
(0, 1) +
ds
1 , s +
2
3!
0
t2
t4
t3
(0, 1) + t , +
3!
2
4!
t3
t2
t4
t ,1
+
.
3!
2!
4!
Z
=
=
x4 (t)
(0, 1) +
18
t3
t2n1
+ + (1)n1
+ ,
3!
(2n 1)!
cos t
t2n
t2
+ + (1)n
+ .
2!
(2n)!
2
Example 1.4.3 Let f (x, t) be a function satisfying the Lipschitz condition |f (x, t) f (y, t)|
L|x y| for all 0 t T and all x and y. Suppose f (x, t) is continuous and bounded. Let
M =
sup |f (x, t)|. Let x(t) be a solution of x0 = f (x, t) with initial value x(0) = c and xk (t)
<x<
0tT
M Lk k+1
t
,
(k + 1)!
for t 0.
Solution: Use mathematical induction. When k = 0, we have
|x(t) x0 (t)| = |x(t) x(0)| = |x0 ()|
for some 0 < < t by the Mean Value Theorem. Since |x0 ()| = |f (, t)| M , the desired inequality
holds for k = 0.
Suppose the inequality holds for k = n. Since
Z t
Z t
|x(t) xn+1 (t)| =
f (x(s), s)ds
f (xn (s), s)ds
0
L|x(s) xn (s)|ds
0
L
0
M Ln n+1
s
ds
(n + 1)!
= M Ln+1
tn+2
,
(n + 2)!
we know that the inequality holds when k = n + 1. By mathematical induction, the inequality holds
for all k 0.
2
19
Exercise 1.4
1. For the initial value problem x0 = tx, x(0) = 1, obtain the n-th approximation of the Picard iteration. Use
mathematical induction to justify the formula.
2. For the initial value problem x0 = t + x, x(0) = 0, obtain x0 (t), x1 (t), x2 (t) and the n-th term of the sequence
of the Picard approximation. Use mathematical induction to justify the formula.
3. Assume that X(x, t) is continuous and satisfies the Lipschitz condition (1.2) on the interval |t a| T for all
x, y. For any function f (t), continuous on |t a| T , define the sequence {xn (t)} by
Z t
x0 (t) = f (t),
xn (t) = c +
X(xn1 (s), s)ds,
n = 1, 2, . . . .
a
Show that {xn (t)} is uniformaly convergent to the unique solution of the initial value problem (1.4).
4. Show that the initial value problem
00
2
y + y 1 = 0,
y(0) = y0 ,
0
y (0) = y1
is equivalent to the integral equation
t
Z
y(t) = y0 + y1 t
(t s) y 2 (s) 1 ds.
sin( t) y( )d.
y(t) = cos t +
0
y 00 + (1 + t2 )y = 0,
t > 0,
y 0 (0) = 0
y(0) = 1,
is equivalent to the integral equation
Z
y(t) = cos t +
sin( t) 2 y( )d.
0 (t) = 0,
Z t
sin( t) 2 n1 ( )d,
n (t) = cos t +
n = 1, 2, . . .
converges uniformly to the solution in (1) for 0 t < T . Here T is any fixed constant.
1.5
1.5.1
In the Existence Theorem 1.4.4, the function X(x, t) satisfies a Lipschitz condition (1.2) for all x.
This condition is quite strong and many functions may fail this condition.
20
Example 1.5.1 Show that the conclusion of Theorem 1.4.4 fails for the initial value problem
dx = ex ,
dt
x(0) = c.
Solution The solution of the initial value problem is given implicitly by
ec ex = t.
It is obvious that the function is defined only in < t < ec . Hence, there is no > 0 such that the
differential equation has a solution defined on all of |t| < for every initial value, since we can always take
a sufficient large c > such that ec < . Thus, the conclusion of Theorem 1.4.4 fails for this initial value
problem.
The cause of this failure is that the function X(x) = ex does not satisfy a Lipschitz condition for all x.
In fact,
|X(x, t) X(0, t)|
ex 1
=
|x 0|
x
2
However, if the function X(x, t) satisfies a Lipschitz condition in a bounded domain, then a
solution exists in a limited region.
Theorem 1.5.1 (Local Existence Theorem) Assume that X(x, t) is continuous and satisfies the
Lipschitz condition (1.2) in the closed domain kx ck K, |t a| T . Then the initial value
problem (1.4) has a unique solution in the interval |t a| min{T, K/M }, where
M=
sup
kX(x, t)k .
kxckK
|ta|T
Proof The existence can be proved as in the proof of Theorem 1.4.4, except that we have to modify the
estimates for the sequence {xn (t)} by showing that if x(t) is defined and continuous on |ta| min{T, K/M }
satisfying
(a) x(t) is defined and continuous on |t a| min{T, K/M };
(b) x(a) = c;
(c) kx(t) ck K on |t a| min{T, K/M },
then one iteration y = U (x) still satisfies these three conditions. Indeed, (a) and (b) are obvious. To show
(c), we have the following
Z t
ky(t) ck =
X(x(s), s) ds
a
Z t
kX(x(s), s)k ds
a
M |t a| M
K
= K.
M
1.5.2
21
The Lipschitz condition plays an important role in the proof of the Local Existence Theorem.
However, if we drop it, we are still able to prove the existence, by a more sophisticated argument.
Theorem 1.5.2 (Peano Existence Theorem) Assume that X(x, t) is continuous in the closed
domain kx ck K, |t a| T . Then the initial value problem (1.4) has at least one solution in
the interval |t a| min{T, K/M }, where
M=
sup
kX(x, t)k .
kxckK
|ta|T
To prove this theorem, we need the following definition and the famous Arzela-Ascoli Theorem.
Definition 1.5.3 A family of functions F is said to be equicontinuous on [a, b] if for any given
> 0, there exists a number > 0 such that
kx(t) x(s)k <
whenever |t s| < for every function x F and t, s [a, b].
Arzel
a-Ascoli Theorem Assume that the sequence {xn (t)} is bounded and equicontinuous on [a, b].
Then there exists a subsequence {xni (t)} that is uniformly convergent on [a, b].
Now we are ready to prove Peano Existence Theorem 1.5.2.
Proof Denote T1 = min{T, K/M }. As argued at the beginning of the proof of Lemma 1.4.3, we only need
to prove the theorem on 0 t T1 , with a = 0.
We first construct a sequence of bounded equicontinuous functions {xn (t)} on [0, T1 ]. For each n, define
for 0 t T1 /n,
c,
Z tT1 /n
xn (t) =
The above formula defines the value of xn (t) recursively in terms of the previous values of xn (t).
We can use mathematical induction to show that
kxn (t) ck K
on [0, T1 ]. Indeed, on [0, T1 /n], it is trivial since xn (t) = c. If we assume that the inequality holds on
[0, k T1 /n] (0 k < n), then on [k T1 /n, (k + 1) T1 /n],
Z
tT1 /n
n
n
X (x (s), s) ds
kx (t) ck =
0
M |t T1 /n| M T1 K.
22
0,
t2 T 1/n
X(x
(s),
s)ds
,
Z
n
n
t1 T 1/n
kx (t1 ) x (t2 )k =
n
t
T
1/n
2
n
X(x
(s),
s)ds
,
t1 T 1/n
M |t1 t2 |.
By Arzel
a-Ascoli Theorem, we know that there exists a uniformly convergent subsequence {xni (t)} that
converges to a continuous function x (t) on [0, T1 ] as ni . We can show that the function x (t) is
actually a solution of the initial value problem (1.4). Indeed, for any fixed t (0, T1 ], we take ni sufficiently
large such that T1 /ni < t. Thus, by the definition of {xn (t)}, we have
Z t
Z t
xni (t) = c +
X (xni (s), s) ds
X (xni (s), s) ds.
0
tT1 /ni
t
X (xni (s), s) ds
Hence, we know that the function x (t) satisfies the integral equation
Z t
x (t) = c +
X (x (s), s) ds.
0
Without the Lipschitz condition, it is known that solution of initial value problem is not necessarily
unique. For instance, it can be earily see that the initial value problem
dx = 3 x1/3 ,
t 0,
dt
2
x(0) = 0,
is not unique, with the following two solutions
x1 (t) = 0,
Exercise 1.5
x2 (t) = t3/2 .
23
1. Determine the existence region of the solution to the initial value problem
dx = t2 + x2 ,
dt
x(0) = 0,
where the equation is defined in the region R = {(x, t)||x| 1, |t| 1}. Find the first four approximations
x0 (t), x1 (t), x2 (t), x3 (t) of the Picard iteration.
2. Determine the existence region of the solution to the initial value problem
dx = t2 x2 ,
dt
x(0) = 0,
where the equation is defined in the region R = {(x, t)||x| 1, |t| 1}. Find the first four approximations
x0 (t), x1 (t), x2 (t), x3 (t) of the Picard iteration.
3. Assume that the functions F (x1 , x2 , . . . , xn , t) is continuous and satisfies a Lipschitz condition in |t a| T ,
kx ck K. Then the initial value problem
( (n)
u
= F (u, u0 , u0 , . . . , u(n1) , t),
u(i) (a) = ci ,
0 i n 1,
sup
kxckK
|ta|T
1.6
1/2
LINEAR SYSTEMS
In this section, we apply the theorems obtained in the previous sections to linear differential systems
of the form
n
X
dxi
=
aij (t)xj (t) + bi (t),
1 i n,
(1.9)
dt
j=1
Or, in a matrix form, we write
dx
= A(t)x + b(t),
dt
where A(t) = (aij (t)) and b(t) = (b1 (t), . . . , bn (t)).
(1.10)
Theorem 1.6.1 Assume that the functions aij (t) and bi (t) are continuous for |t a| T , 1
i, j n. Then the initial value problem (1.9) with x(a) = c = (c1 , . . . , cn ) has a unique solution on
|t a| T .
Proof The initial value problem can be re-written in terms of the vector form (1.4), with
X(x(t), t) =
n
X
j=1
n
X
j=1
and
x(a) = (c1 , . . . , cn ).
!
anj (t)xj (t) + bn (t) ,
24
The function X(x, t) is continuous and satisfies the Lipschitz condition (1.2) on the interval |t a| T for
all x, y. Indeed, by the Schwarz inequality, we have
kX(x, t) X(y, t)k2
=
n
X
!2
n
X
+ +
a1j (t)(xj yj )
j=1
n
X
!2
anj (t)(xj yj )
j=1
!
|a1j (t)|
j=1
n
X
!
|xj yj |
j=1
+ +
n
X
!
|anj (t)|
j=1
n
X
!
2
|xj yj |
j=1
!
=
|aij (t)|
kx yk2
i,j
!
sup |aij (t)|
kx yk2 .
i,j |ta|T
Hence the function X(x, t) satisfies the conditions in Existence Theorem 1.4.4. This gives the existence of
the solution. The uniqueness follows from Uniqueness Theorem 1.2.1.
2
If bi (t) 0, 1 i n, the linear differential system (1.9) is called homogeneous, for which we
can construct its general solution.
Assume that x1 , . . . , xn are n solutions of a homogeneous linear differential system. Obiously, the
matrix
1
x1 (t) xn1 (t)
.. ,
(1.11)
(t) = x1 (t), . . . , xn (t) = ...
.
x1n (t)
xnn (t)
satisfies
d(t)
= A(t)(t).
dt
If these n solutions are linearly independent at every point t, (t) is called a fundamental matrix of
the homogeneous linear differential system.
Theorem 1.6.2 Assume that the functions aij (t) are continuous for |t a| T , 1 i, j n. If
x1 , . . . , xk are k solutions of the homogeneous linear differential system, then the constant vectors
x1 (t0 ), . . . , xk (t0 ) are linearly independent for some t0 if and only if they are linearly independent
for every t on |t a| T .
Proof Assume that x1 (t0 ), . . . , xk (t0 ) are linearly independent for some t0 . Let t be another point on
|t a| T other than t0 . We need to show that if
1 x1 (t) + + n xk (t) = 0,
then, 1 = . . . = k = 0. In fact, since x1 , . . . , xk are solutions, we have two solutions of the homogeneous
system, 0 and
1 x1 + + n xk ,
both vanishing at t. By the uniqueness of Theorem 1.6.1, we conclude that
1 x1 (t) + + n xk (t) = 0
25
Theorem 1.6.3 Assume that the functions aij (t) are continuous for |t a| T , 1 i, j n. Let
xi (t), 1 i n, be n solutions of the homogeneous linear differential system
(1.9) and assume that
they are linearly independent at some t0 . Define (t) = x1 (t), . . . , xn (t) . Then the solution of
the homogeneous linear differential system satisfying the initial condition x(a) = c = (c1 , . . . , cn ) is
given by
x(t) = (t)1 (a)c.
In particular, if xi (t) be the solution of the homogeneous linear differential system (1.9) that satisfies
the initial condition xik (a) = 0, k 6= i, xii (a) = 1. The the solution satisfying the initial condition
x(a) = c = (c1 , . . . , cn ) is given by
x(t) = c1 x1 (t) + + cn xn (t).
Since x1 (t0 ), . .. , xn (t0 ) are linearly independent, by Theorem 1.6.2, we know that the matrix
(t) = x1 (t), . . . , xn (t) is non-singular for every t on |t a| T and hence, (t) is a fundamental matrix.
Let x(t) be the unique solution of the homogeneous system satisfying the initial condition x(a) = c. Its
existence is guaranteed by Theorem 1.6.1. Consider the function
Proof
Theorem 1.6.4 Let A(t) = (aij (t)) and b(t) be continuous on |t a| T . The solution of the
non-homogeneous linear system (1.10), with initial condition x(t0 ) = x0 , is given by
Z t
x(t) = (t)1 (t0 )x0 + (t)
1 (s)b(s)ds.
t0
where (t) is any fundamental matrix of the corresponding homogeneous system. In particular, if
A is a constant matrix, then
Z t
x(t) = (t)1 (t0 )x0 +
(t s + t0 )1 (t0 )b(s)ds.
t0
26
Proof For any given fundamental matrix (t) of the homogeneous system, we postulate the solution x(t)
of the nonhomogeneous system satisfying the initial condition x(t0 ) = x0 to be in the form
x(t) = (t)1 (t0 ) {x0 + (t)} .
Then, (t) satisfies the initial condition (t0 ) = 0. To find the equation satisfied by (t), we substitute the
expression into the nonhomogeneous system to have
0 (t)1 (t0 ) {x0 + (t)} + (t)1 (t0 )0 (t) = A(t)(t)1 (t0 ) {x0 + (t)} + b(t).
Since 0 (t) = A(t)(t), the last equation gives
(t)1 (t0 )0 (t) = b(t),
whose solution satisfying (t0 ) = 0 is
t
Z
(t) = (t0 )
1 (s)b(s)ds.
t0
Thus
x(t) = (t)1 (t0 )x0 + (t)
1 (s)b(s)ds.
t0
(t s + t0 )1 (t0 )b(s)ds,
t0
Exercise 1.6
1. Assume that the functions aij (t), 1 i, j n, are continuous on |t a| T . Let (t) be a fundamental matrix
dx
defined by n solutions x1 (t), . . . , xn (t) of a homogeneous system
= A(t)x, with A(t) = (aij (t)).
dt
(a) Show that the Wronskian W (t), defined to be det (t), satisfies the differential equation
!
n
X
dW (t)
=
aii (t) W (t).
dt
i=1
27
(b) Prove that the Wronskian is either always zero or nowhere zero on |t a| T .
2. Assume that the functions aij (t), 1 i, j n, are continuous on |t a| T . Let (t) and (t) be two
dx
fundamental matrices of the homogeneous system
= A(t)x, with A(t) = (aij (t)). Prove that (t)1 (t)
dt
is a constant matrix.
3. Let A(t) = (aij (t)) and b(t) be continuous on |ta| T . Prove that there exist n+1 solutions x1 , x2 , . . . , xn+1
dx
of the non-homogeneous system
= A(t)x + b(t) such that every solution x of this equation can be expressed
dt
as
x(t) = 1 x1 (t) + 2 x2 (t) + + n+1 xn+1 (t),
for some constants 1 , 2 , . . . , n+1 with
1 + 2 + + n+1 = 1.
4. Assume that the matrix A(t) is continuous for t (a, b) and R(x, t) is continous for all x and t (a, b). Prove
that the initial value problem
x(t0 ) = x0 ,
is equivalent to the integral equation
x(t) = (t)1 (t0 )x0 +
t0
dx = Ax,
dt
x(0) = x0 ,
where A is a constant matrix.
(a) Show that the initial value problem is equivalent to the integral equation
Z t
x(t) = x0 +
Ax(s)ds.
0
(b) Show that the Picard iteration defined by the integral equation gives
t2
tn
xn (t) = I + At + A2
+ + An
x0 .
2!
n!
(c) Show that the solution of the initial value problem is
t2
I + At + A2
+ x0 .
2!
1.7
CONTINUATION OF SOLUTIONS
Theorem 1.7.1 Assume that X(x, t) is continuously differentiable in an open region R of (x, t)space. For any point (c, a) R, the initial value problem (1.4) has a unique solution x(t) defined
28
over an interval a t < b (b is a finite number or infinite) such that if b < +, either x(t) is
unbounded as t b or (x(t), t) approaches the boundary of the region R.6
Proof
By the Local Existence Theorem 1.5.1, we know that there exist solutions of the initial value
problem (1.4) in some interval [a, T ). Given two solutions x(t) and y(t), defined in [a, T1 ) and [a, T2 )
respectively, we define a new function z(t) to be either x(t) or y(t) wherever either is defined. Then z(t) is
again a solution of (1.4) defined on [a, max{T1 , T2 }). Thus, we can denote
n
o
b = sup T the initial value problem (1.4) has a solution in [a, T ) .
We can define a single solution, denoted again by x(t), called the maximal solution, defined in [a, b). The
above construction indicates the existence of the maximal solution. It is also unique, by Uniqueness Theorem 1.2.1.
Let us consider the limiting behavior of x(t) as t b. Then there are only possibilities:
Case 1: b = +.
Case 2: b < + and x(t) is unbounded as t b.
Case 3: b < + and x(t) is bounded as t b.
We only need to show that in the third case, x(t) approaches the boundary of the region R as t b.
Indeed, let {tn } be any sequence such that tn b. Since the sequence of points {(x(tn ), tn )} is bounded,
there exists at least one limit point, say (d, b). We now show that the point (d, b) is on the boundary of R.
In fact, if it is an interior point, then there exists a closed neighborhood D : kx dk , |t b| of (d, b)
also in R. Let M = maxD kX(x(t), t)| k. Take < min{, /2M } and let G D be the open set
n
o
G = (x, , t)kx dk < , |t b| < .
We can take k large enough such that (x(tk ), tk ) G. Applying Local Existence Theorem 1.5.1 to the
dy
equation
= X(y(t), t), we know that there exists a unique solution in the interval |t b| < satisfying
dt
y(tk ) = x(tk ). If we define
(
x(t), a t < b,
z(t) =
y(t), b t < b + ,
then clearly z(t) is a solution of the initial value problem (1.4) over the interval [a, b + ), contradicting to
the maximality of b.
2
Example 1.7.1 Find the maximal solutions for the following initial value problems:
dx = x2 ,
dx = x,
dt
dt
(1)
(2)
x(0) = c;
x(0) = c;
dx
1
1
= 2 cos ,
dt
t
t
(3)
x(t0 ) = c, t0 6= 0.
6 The
conclusion of Theorem 1.7.1 indicates that there are only three possible outcomes
1. b = + or
2. b < + and x(t) is unbounded as t b or
3. b < + and (x(t), t) approaches the boundary of R.
29
Solution
(1) The function X(x, t) = x is continuously differentiable at any point (x, t) (, +) (, +).
The differential system has a unique solution x(t) = cet , which is the maximal solution defined for t
[0, +).
(2) The function X(x, t) = x2 is continuously differentiable at any point (x, t) (, +) (, +).
If c = 0, the maximal solution is x(t) = 0, defined for t [0, +). If c 6= 0, the maximal solution is
1
x(t) =
, which is defined for t [0, +) if c < 0; or t [0, c) if c > 0. Obviously, in the later case, x(t)
ct
becomes unbounded as t c.
1
1
(3) The function X(x, t) = 2 cos is continuously differentiable at any point (x, t) (, +)
t
t
1
1
(, +) with t 6= 0. The maximal solution is x(t) = c sin + sin , which is defined for t [t0 , 0) if
t
t0
t0 < 0; or for t [t0 , +) if t0 > 0. In the former case, the function x(t) is still bounded, but t = 0 is the
boundary of
n
o
R = (x, t) t 6= 0 .
2
Exercise 1.7
1. Let f (x, y) be a function defined on the whole plane with bounded continuous partial derivatives. Suppose
dy
f (x, 0) = 0 for all x. Let y = (x) be a nontrivial solution of the differential equation
= f (x, y) and
dx
lim (x) = 0. Then a must be .
xa
2. Give an example to demonstrate that if the maximal interval (0, b) of existence of the solution for an initial
value problem
dx = f (x, t),
dt
x(0) = c,
is finite, and if the solution x(t) is unbounded as t approaches b, then b varies as c does.
1.8
MISCELLANEOUS PROBLEMS
dy
dx = x2 + y cos s,
= y 2 + sin s,
dt
dt
x(0) = s + 1,
y(0) = s2 /(s2 1)
has a unique solution (xs (t), ys (t)) in |t| T , |s| 1/2 for some T . Prove
lim (xs (t), ys (t)) = (1, 0).
s0
Solution For any K1 > 0 and T1 > 0, in the closed bounded region
R=
p
2
2
(x, y, t, s) x + y K1 , |t| T1 , |s| 1/2
the function x2 +ycos s, y 2 +sin s is continuously differentiable for all its variables (x, y, t, s). Thus,
we know that it is a Lipschitz function in this region. By the Local Existence Theorem, for any fixed
30
It is obvious that
M = max Ms < +.
|s|1/2
Thus, for any s with |s| 1/2, the given initial value problem has a unque solution for |t| T =
min{T1 , K1 /M }.
Denote the Lipschitz constant of the function x2 + y + t cos s, y 2 + sin s in R to be L. It is easy
to see that
2
(x + y cos s, y 2 + sin s) (x2 + y 1, y 2 )
= k(1 cos s, sin s)k .
By the Strong Continuity Theorem, the solutions (xs (t), ys (t)) and (x0 (t), y0 (t)) = (1, 0), of the
following initial value problems
dy
dx = x2 + y cos s,
= y 2 + sin s,
dt
dt
x(0) = s + 1,
y(0) = s2 /(s2 1),
and
dy
dx = x2 + y 1,
= y2 ,
dt
dt
x(0) = 1,
y(0) = 0,
respectively, satisfy
Let s 0, since the right hand side of the last inequality approaches zero, we have
lim (xs (t), ys (t) = (1, 0).
s0
2. Use the Local Existence Theorem to show that the initial value problem
dx = 1 + x2 ,
dt
x(0) = 0,
has a unique solution for |t| 1/2. Determine the region where the true solution is defined
by solving this initial value problem. What is the limiting behavior of the true solution as t
approaches the end point(s) of the maximal interval of existence?
Solution Consider the given initial value problem in the region
(x, t) |x| 1, |t| 1 .
31
|x|1
|t|1
dx = f (x, t),
dt
x(t0 ) = c,
t0 (a, b),
has a maximal interval of existence (a, b).
Proof Let x = x(t) be a solution of the initial value problem . We only show that it can be extend
to the interval [t0 , b). The continuation of the solution to (a, x0 ] can be proved similarly.
We prove it by contradiction. Suppose that the maximal interval of existence is [t0 , ), with < b.
Select t1 and t2 such that
t0 < t1 < < t2 < b and t2 t1 < t1 t0 .
Denote T = t2 t1 > 0. Let AM and BM be positive upper-bounds of A(t) and B(t) in the interval
[t0 , t2 ], respectively. Thus, by the condition, we have
|f (x, t)| AM |x| + BM ,
1
. Now we will see
AM
that the solution x = x(t) can be extended to the interval [t0 , t2 ), a contradiction.
for (x, t) (, +) [t0 , t2 ]. We assume AM is large enough such that T <
In fact, since t1 (t0 , ) and the solution x = x(t) exists on [t0 , ), for any positive number K, the
region
n
o
R1 = (x, t)|x x(t1 )| K, |t t1 | T
32
K+
K
1
=
> T,
M
AM
2
Plane Autonomous Systems
2.1
dx1
= X1 (x1 , . . . , xn ; t),
dt
..
.
dx
n
= Xn (x1 , . . . , xn ; t).
dt
If n = 2 and the functions Xi are independent of t, we have a so-called plane autonomous system.
In this case, we write the autonomous system as
dx
= X(x, y),
dt
dy
= Y (x, y).
dt
(2.1)
Let (x(t), y(t)) be a solution of system (2.1), we get a curve in R2 , the phase plane, which is called
the solution curve of the system. The differential system gives the tangent vector of the solution
curve, (X(x(t), y(t)), Y (x(t), y(t)). A R2 plane together with all solution curves is called the phase
plane of the differential system.
The orientation of a solution curve is the direction
of the movement of points on the curve when
t increases. For example, the solution curve e2t , et of the system
dx
= 2x,
dt
dy = y,
dt
33
34
is a parabola in Fig. 2.1(a). The solution curve e2t , et of the system
dx
= 2x,
dt
dy = y,
dt
is the same parabola in Fig. 2.1(b), with the opposite orientation.
y............
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(a)
(b)
Fig. 2.1
dx
= 2x,
dt
dy = y,
dt
Sketch its oriented solutions curves in (x, y)-plane.
The general solution is given by (x(t), y(t)) = (c1 e2t , c2 et ), where c1 and c2 are arbitrary
constants. For different values of c1 and c2 , we have one solution curve. They are all shown in Fig. 2.2. 2
Solution
In Example 2.1.1, the point (0, 0) is a solution curve of the differential system even though it
is not a curve in the ordinary sense. In Fig. 2.2, the point (0, 0) is a special point, at which the
direction is indeterminate. Such points are of particular importance for the study of autonomous
systems.
Definition 2.1.1 A point (x0 , y0 ) is called a critical point of the autonomous system (2.1), if
X(x0 , y0 ) = y(x0 , y0 ) = 0.
If a point is not a critical point, we call it an ordinary point. Locally, the solution curves near
an ordinary point are a family of parallel lines. However, a local structure near a critical point can
be very complicated. If (x1 , y1 ) is a neighboring point of a critical point (x0 , y0 ), the solution curve
35
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Fig. 2.2
passing through (x1 , y1 ) can either stay close to the solution (x(t), y(t)) (x0 , y0 ), or move away
from it, as t increases. In the former case, we say the critical point (x0 , y0 ) is stable; in the later
case, it is unstable. In a rigorous mathematical language, we introduce the following definition.
Definition 2.1.2 Let x0 = (x0 , y0 ) be a critical point of the autonomous system (2.1), The point
(x0 , y0 ) is called
(i) stable when, given > 0, there exists a > 0 such that kx(t) x0 k < for all t > 0 and all
solution x(t) = (x(t), y(t)) of the system (2.1) satisfying kx(0) x0 k < ;
(ii) attractive when, for some > 0, lim kx(t) x0 k = 0 for all solutions x(t) = (x(t), y(t)) of
t+
dy
= Vx (x, y).
dt
(2.2)
36
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Fig. 2.3
Then each solution curve of the system lies on some level curve V (x, y) = C, where C is a constant.
Proof Let (x(t), y(t)) be a solution curve in (x, y)-plane. Then
dV
(x(t), y(t))
dt
=
=
=
V
(x(t), y(t))
x
V
(x(t), y(t))
x
0.
dx
V
dy
(t) +
(x(t), y(t))
(t)
dt
y
dt
V
V
V
(x(t), y(t)) +
(x(t), y(t)) (1)
(x(t), y(t))
y
y
x
Hence V (x(t), y(t)) = constant. That is, the solution curve (x(t), y(t)) lies on some level curve V (x, y) = C. 2
It is easy to show that an autonomous system (2.1) is in the form of (2.2) if and only if
Y
X
+
= 0,
x
y
provided both X(x, y) and Y (x, y) are continuously differentiable.
Example 2.1.2 Sketch the solution curves in the phase plane for the equation
d2 x
= x3 x.
dt2
37
dy
= x3 x.
dt
Vy (x, y) = y,
Solving the first equation in the last system gives V (x, y) = 21 y 2 + h(x), with h being an arbitrary function
in x. Substituting the expression of V into the second equation, we have h0 (x) = (x3 x). Solving for h,
we obtain
1
1
1
V (x, y) = y 2 x4 + x2 + C,
2
4
2
with C a arbitrary constant. Now, by Theorem 2.1.3, we know that each solution curve of the differential
system lies on some level curve
1 2 1 4 1 2
y x + x = C,
2
4
2
where C is a constant. For different values of C, we sketch the level curves as in Fig. 2.4, which gives the
phase diagram of solution curves. Notice that there exist three critical points: (0, 0), (1, 0) and (1, 0). It
can be shown that (0, 0) is neutrally stable and the others are unstable.
2
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Fig. 2.4
Example 2.1.3 Sketch the solution curves in the phase plane for the equation
d2
= k 2 sin ,
dt2
k 2 = g/l
38
dv
= k2 sin .
dt
v
Thus, we can write the autonomous system as in (2.2). Indeed, for
V (, v) = k2 sin ,
Vv (, v) = v,
we solve the first equation to have V (, v) = 21 v 2 + h(). The second equations yields h() = k2 cos + C.
Thus, we have V (, v) = 21 v 2 k2 cos + C. By Theorem 2.1.3, we know that each solution curve of the
differential system lies on some level curve
1 2
v k2 cos = C,
2
where C is a constant. In the phase plane, the (v, )-plane, the last equation indicates that if (v(t), (t)) is a
solution curve, so is (v(t), (t) + 2). We sketch its solution curves in Fig. 2.5 for the case k2 = 1. Obviously,
there are infinitely many critical points at (0, n), n = 0, 1, 2, . . ..
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Fig. 2.5
Exercise 2.1
1. Sketch its oriented solutions curves in (x, y)-plane:
(a)
(b)
(c)
(d)
dx
= 0,
dt
dy
= 0;
dt
dx
= y,
dt
is a constant;
dy
= 2 x,
dt
dx
= y,
dt
is a constant;
dy = 2 x,
dt
dx
= x,
dt
dy
= y;
dt
dx
= x,
dt
(e)
dy
= y;
dt
dx
= y + 1,
dt
(f)
dy
= x 1;
dt
dx
= y,
dt
real.
(g)
dy
dx
= X(x, y),
dt
and
dy
= Y (x, y),
dt
2.2
39
following systems:
dx
= X(x, y),
dt
dy
= Y (x, y).
dt
y 0 = cx + dy,
where a, b, c and d are real numbers. It can be written in the following vector form
dx
x(t)
a b
= Ax,
x(t) =
,
A=
.
y(t)
c d
dt
(2.3)
(2.4)
It is obvious that the origin (0, 0) is a critical point of the system. If det A = ad bc 6= 0, there
are no other critical points. If det A = 0, then any nontrivial solution of the system ax + by = 0
and cx + dy = 0 is another critical point. The main purpose of this section is to make a complete
classification for the critical point (0, 0).
Theorem 2.2.1 (1) Let 1 and 2 be two real linearly independent eigenvectors of the matrix A,
with 1 and 2 being the corresponding eigenvalues. Then a fundamental matrix of the homogeneous
system (2.4) is given by
e1 t 1 , e2 t 2 .
(2) Let 1 = r + ii be a complex eigenvector, with 1 = r + ii the corresponding eigenvalue
(i 6= 0). Then a fundamental matrix is given by
er t (r cos i t i sin i t), er t (i cos i t + r sin i t) .
40
(3) If 1 = 2 = and is the only linearly independent eigenvector, then there exists another
vector , being linearly independent to and satisfying (A I) = , such that
et , tet + et
is a fundamental matrix.1
Proof (1) By Theorem 1.6.2, we know that
e1 t 1 , e2 t 2
are linearly independent, since 1 , 2 are. It remains to prove both are solutions of (2.4). Indeed,
d 1 t
e 1 = e1 t 1 1 = e1 t A1 = A e1 t 1 ,
dt
i.e., e1 t 1 is a solution. It can be proved for e2 t 2 similarly.
(2) By (1), we know that e(r +ii )t (r + ii ) is a solution of the homogeneous system (2.4). That is,
d (r +ii )t
e
(r + ii ) = A e(r +ii )t (r + ii ) .
dt
Equating the real and imaginary parts respectively in the last equation, we have
d r t
e (r cos i t i sin i t)
= A er t (r cos i t i sin i t) ,
dt
d er t (i cos i t + r sin i t)
= A er t (i cos i t + r sin i t) .
dt
Thus, er t (r cos i t i sin i t) and er t (i cos i t + r sin i t) are solutions. To show they are linearly
independent, by Theorem 1.6.2, we only need to show that they are linealy independent at t = 0. In other
words, it is sufficient to show that r and i are linearly independent.
Assume that there are constants c1 and c2 such that
c1 r + c2 i = 0.
Since
Ar
r r i i ,
Ai
i r + r i ,
1 When
(2.5)
the eigenvalues are repeated and there is only one linearly independent eigenvector, the matrix A is not
diagonalizable. Or equivalently, A is similar to the matrix
!
1
.
0
In other words, there is an invertible matrix P such that
1
A=P
!
P.
41
which can be obtained by equating the real and imaginary parts of A(r + ii ) = (r + ii )(r + ii ),
multiplying A to both sides of equation (2.5), we obtain
(r c1 + i c2 )r + (i c1 + r c2 )i = 0.
Multiplying r to equation (2.5) and adding it to the last equation, we have
i c2 r i c1 i = 0.
Since i 6= 0, the last equation gives
c2 r c1 i = 0.
Combining this equation with (2.5), we can easily have
(c21 + c22 )r = (c21 + c22 )i = 0.
These imply c1 = c2 = 0. That is, r and i are linearly independent.
(3) Let us first show the existence of such vector . Since 1 = 2 = and satisfies
2 (a + d) + (a d b c) = 0,
we know that
(a d)2 + 4b c = 0 and =
a+d
.
2
These imply
(A I)2
2
b
d
a
c
(a )2 + b c
c(a ) + c(d )
b(d ) + b(a )
(d )2 + b c
= 0.
Since is the only linearly independent eigenvector corresponding to the eigenvalue , there must be a
vector such that (A I) 6= 0. But (A I)2 = 0 implies that there exists a non-zero constant c such
1
that (A I) = c . Dividing by c and renaming to be , we have
c
(A I) = .
The linear independence of and can be shown as follows. Assume
+ = 0.
Multiplying A I to the left of the last equation, we have = 0, which implies = 0. This can be used
further to get = 0.
By (1), we know that et is a solution of (2.4). By a direct verification:
d t
te + et
dt
et + tet + et
tet () + et ( + )
tet A + et A
A tet + et ,
42
we know that tet + et is also a solution of (2.4). By Theorem 1.6.2, these two solutions are linearly
independent, since at t = 0, they are , which are linearly independent.
2
It can be seen easily that if two autonomous systems are linearly equivalent, then the coefficient
matrices are similar. In fact, since
dx
du
= K1
= K1 Ax = (K1 AK)u,
dt
dt
we conclude that
B = K1 AK,
i.e., A and B are similar.
Two linearly equivalent autonomous systems have similar structures at the critical point (0, 0),
since u(t) = Kx(t) indicates that solution curves only undergo stretching and rotating transformations.
dx
= Ax if and
dt
du
only if it is a stable (attractive) point for a linearly equivalent differential system
= Bu.
dt
Theorem 2.2.3 The origin is a stable (attractive) point for differential system
dx
= Ax, then it is stable
dt
du
(attractive) for
= Bu.
dt
dx
du
Since
= Ax and
= Bu are linearly equivalent, there is a non-singular matrix P, such that
dt
dt
u(t)
x(t)
p11 p12
x(t)
=P
=
.
v(t)
y(t)
p21 p22
y(t)
Thus, for any t, we have
ku(t)k
=
=
=
p
u2 (t) + v 2 (t)
p
(p11 x + p12 y)2 + (p21 x + p22 y)2
q
(p211 + p221 )x2 + (p212 + p222 )y 2 + 2(p11 p12 + p21 p22 )xy
q
(p211 + p221 )x2 + (p212 + p222 )y 2 + |p11 p12 + p21 p22 |(x2 + y 2 )
p
M x2 + y 2 = M kx(t)k ,
where
M=
2 max {p211 + p221 , p212 + p222 , |p11 p12 + p21 p22 |}.
43
t+
we have
0 lim ku(t)k lim M kx(t)k = 0,
t+
t+
which implies lim ku(t)k = 0. Hence (0, 0) is attrative for the system
t+
du
= Bu as well.
dt
By Theorem 2.2.3 and Definition 2.1.2, we know that linear equivalence does not change the
qualitative nature of the phase portrait for linear systems. For instance, if the origin is a neutrally
stable point for a linear differential system, then it will be a neutrally stable point for all its linearly
equivalent linear differential systems.
Exercise 2.2
1. Solve the following linear systems:
(a)
(b)
(c)
(d)
(e)
dx
= x,
dt
dy
= y;
dt
dx
= x,
dt
dy
= 2x 3y;
dt
dx
= x y,
dt
dy
= 2x + 3y;
dt
dx
= x y,
dt
dy
= x 3y;
dt
dx
= 2x y,
dt
dy
= x 5y;
dt
dx
= 2x + y,
dt
(f)
dy
= 3x 2y;
dt
dx
= x + y,
dt
(g)
a real;
dy
= ax + y,
dt
dx
= 2x + ay,
dt
(h)
a real;
dy
= ax + 3y,
dt
dx
= ax + y,
dt
a real.
(i)
dy
= a2 x + y,
dt
dx
2. Show that if every eigenvalue of the matrix A has a negative real part, then every solution of
= Ax goes
dt
to zero as t +.
44
2.3
Theorem 2.3.1 For different cases, we have the following complete classification:
(1) If A has two linearly independent real eigenvectors, with 1 , 2 being the eigenvalues, then
(2.4) is linearly equivalent to the canonical form:
du
= 1 u,
dt
(2.6)
dv = v.
2
dt
(a) If 1 and 2 are both negative, then the origin is a stable nodal point, as in Fig. 2.6(a).
Furthermore, if 1 = 2 , then the origin is a stable star point as in Fig. 2.7(a).
(b) If 1 and 2 are both positive, then the origin is an unstable nodal point, as in Fig. 2.6(b).
Furthermore, if 1 = 2 , then the origin is an unstable star point as in Fig. 2.7(b).
(c) If 1 and 2 are of opposite sign, then the origin is an unstable saddle point, as in Fig. 2.8.
(d) If 1 < 0 and 2 = 0, then the origin is neutrally stable, as in Fig. 2.9(d).
(e) If 1 > 0 and 2 = 0, then the origin is unstable, as in Fig. 2.9(e).
(f ) If 1 = 2 = 0, then the origin is neutrally stable, as in Fig. 2.10. In this case, A is the
zero matrix.
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A has two linearly independent real eigenvectors and 1 and 2 are distinct and of the same sign
(2) If A has two linearly independent complex eigenvectors, with 1 , 2 = r ii being the
eigenvalues, then (2.4) is linearly equivalent to the canonical form:
du
= r u i v,
dt
(2.7)
dv = u + v.
i
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.
A has two linearly independent real eigenvectors and 1 and 2 are of opposite sign
(a) If r < 0, then the origin is a stable focal point, as in Fig. 2.11(a).
(b) If r > 0, then the origin is an unstable focal point, as in Fig. 2.11(b).
(c) If r = 0, then the origin is a stable vortex point, as in Fig. 2.12.
45
46
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A=0
(3) If A has only one repeated eigenvalue and if there exists only one linearly independent
eigenvector, then (2.4) is linearly equivalent to the canonical form:
du
= u,
dt
(2.8)
dv = u + v.
dt
(a) If < 0, then the origin is a stable nodal point, as in Fig. 2.13(a).
(b) If > 0, then the origin is an unstable nodal point, as in Fig. 2.13(b).
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we have
dx
du
= K1
= K1 Ax = K1 AKu =
dt
dt
This is the desired canonical form.2
2 The
identity
A=K
1
0
0
2
K1 .
1
0
0
u.
2
49
(1a) If 1 and 2 are both negative, by solve the canonical equation, we have (u(t), v(t)) = ae1 t , be2 t .
Thus,
u = cv m ,
m = 1 /2 > 0.
In (u, v)-plane, this is a family of parabola-like curves. Since as t +, (u(t), v(t)) (0, 0), we know
the directions are towards the origin. Together with the linear transformation K, which generally gives
a stretching and/or rotating for the solution curves, we have the schematic figure of solution curves in
(x, y)-plane, as in Fig. 2.6(a).
(1b) In the case of both 1 , 2 being positive, it is the same as in (1a), except that we have to switch the
orientations of the solution curves, as in Fig .2.6(b).
A special case in (1a) and (1b) is that 1 = 2 . We have u = cv, a family of straight lines passing through
the origin. Correspondingly, as in Fig. 2.7, the phase diagram is a so-called star: the origin is stable if < 0;
unstable if < 0.
(1c) If 1 and 2 are of opposite sign, then similarly we have
uv m = c,
m = 1 /2 > 0.
For different values of c, this gives a family of hyperbola-like curves, as in Fig 2.8. Hence, in this case,
we have a saddle point. As t +, either u(t) or v(t) approaches +. Thus, a saddle point is always
unstable.
(1d) In this case, the solution of the canonical equation is (u(t), v(t)) = ae1 t , b . Thus, we have
a family of straight lines, since for fixed b, the solution curve always has v(t) = b. Since as t +,
(u(t), v(t)) (0, b), we conclude that the origin is stable but not strictly stable, as in Fig. 2.9(d).
(1e) This is the case similar to (1d), except the orientation is opposite. Thus, the origin is unstable, as
in Fig. 2.9(e).
(1f) In the case of 1 = 2 = 0, the solution of the canonical equation degenerates to a single point
(u(t), v(t)) = (a, b). The origin is stable but not strictly stable, as in Fig. 2.10.
(2) Assume r + ii is an eigenvector corresponding to the eigenvalue r + ii . In the proof of Theorem 2.2.1, we know
Ar = r r i i ,
Ai = i r + r i ,
It is also proved there that r and i are linearly independent. Take K = (r , i ) and denote u = K1 x.
Since
r i
AK = (Ar , Ai ) = (r r i i , i r r i ) = K
,
i r
similarly we have
du
dx
= K1
= K1 Ax = K1 AKu =
dt
dt
r
i
i
u.
r
1 0
which is called the Jordan canonical form.
0 2
In fact, P = (1 , 2 ), formed by the linearly independent eigenvectors.
50
and
dv
d v
du
u
v
d
v
dt
u
dt
dt = (i u + r v)u (r u i v)v = .
arctan
=
v 2 =
i
dt
u
u2 + v 2
u2 + v 2
1+
u
Solve these two equations, in the polar coordinates, we have
r = (u2 + v 2 )1/2 = er t ,
= arctan
v
= i t + ,
u
where 0 and are arbitrary constants. Thus, the phase diagram consists of contracting spirals surrounding the origin if r < 0, as shown in Fig 2.11(a). Thus, the origin is a stable focal point.
(2b) If r > 0, by the discussion in (2a), the phase diagram consists of expanding spirals from the origin,
as shown in Fig 2.11(b). The origin is an unstable focal point.
(2c) If r = 0, then by the discussion in (2a), we have a family of closed curves. In this case, the origin
is a neutrally stable vortex point, or sometimes it is called a center, as in Fig. 2.12.
(3) Assume is the only linearly independent eigenvector corresponding to the eigenvalue . By Theorem 2.2.1, there is a vector , linearly independent to , such that A = + . Take K = (, ) and
denote u = K1 x. Since
0
AK = (A, A) = ( + , ) = K
,
1
similarly we have
du
dx
= K1
= K1 Ax = K1 AKu =
dt
dt
0
u.
By Theorem 2.3.1 and Theorem 2.2.3, we immediately have the following results.
dx
Corollary 2.3.2 The critical point (0, 0) of a linear homogeneous differential system
= Ax is
dt
attractive if and only if every eigenvalue of A has a negative real part. In this case, the origin is
strictly stable.
Example 2.3.1 Consider the system x0 = x + 3y and y 0 = y. Find the canonical form of this
system such that both are linearly equivalent.
Solution The coefficient matrix
A=
1
0
3
,
1
K = (1 , 2 ) =
1
0
3
2
32
1
u
1 x
=
=K
y
v
0
1
2
51
x
x 23 y
=
.
1
y
y
2
0
u
,
1
v
2
dx
dt
dy
dt
x + 2y,
2x.
where is a constant. Find the critical values of where the change of the qualitative nature of the
phase portrait for the system occurs. Classify the autonomous system.
Solution The eigenvalues satisfy the characteristic equation
det
2
whose solutions are
2 16
,
2
We consider the following three different cases:
1 =
= 2 + 4 = 0,
2 =
2 16
.
2
(1) 2 16 < 0;
(2) 2 16 = 0;
(3) 2 16 > 0.
In the case (1), we have || < 4 and the coefficient matrix has two complex eigenvalues, with the real
part being 2 . By Theorem 2.3.1, for 4 < < 0, the origin is a stable focal point; for 0 < < 4, the origin
is an unstable focal point; at = 0, the origin is a stable vortex.
In the case (2), for both = 4 and = 4, the eigenvalue is repeated and there exists only one
eigenvector. By Theorem 2.3.1, when = 4, 1 = 2 = 2 > 0, the origin is an unstable nodal point; when
= 4, 1 = 2 = 2, the origin is a stable nodal point.
In the case (3), we have || > 4 and the eigenvalues are real, distinct and of the same sign. Their signs
are the same as that of . Thus, by Theorem 2.3.1, the origin is a stable nodal point if < < 4; an
unstable nodal point if 4 < < +.
2
Exercise 2.3
1. Determine the stability of the critical points of the following systems:
52
(a)
(b)
(c)
(d)
(e)
2.4
dx
= 2x + y,
dt
(f)
dy
= 3x 2y;
dt
dx
= x,
dt
dy
= y;
dt
dx = x,
dt
dy
= 2x 3y;
dt
dx
= x y,
dt
dy
= 2x + 3y;
dt
dx
= x y,
dt
dy
= x 3y;
dt
dx
= 2x y,
dt
dy
= x 5y;
dt
dx
= x + y,
dt
a real;
(g)
dy
= ax + y,
dt
dx
= 2x + ay,
dt
a real.
(h)
dy
= ax + 3y,
dt
dx
= ax + y,
dt
(i)
a real.
dy
= a2 x + y,
dt
The classification of critical points of linear homogeneous autonomous differential systems in the
previous section provides us a complete understanding on the local structures of such systems.
However, local structures in the phase space for general differential systems are too complicated and
it is beyond the scope of this course.
We may try to generalize the idea of so-called linear equivalence. As we knew, a linear equivalence is a simple stretching and rotating transformation. This will not change the nature of local
structures, as shown in Theorem 2.2.3. Obviously, for the purpose of preserving local structures,
there are other transformations. In the phase space, we can stretch the solution curves a bit in some
regions while squeeze in some other regions. We can also twist a little bit of the solutions curves.
Such nonlinear equivalence is called diffeomorphism. However, finding a diffeomorphism between
two systems is not trivial. Actually, it is practically useless to classify critical points for nonlinear
autonomous systems in terms of diffeomorphisms.
One practically useful tool in the study local structures for nonlinear autonomous systems is
Liapunov functions. Let us first use the following examples to demonstrate the basic ideas.
Example 2.4.1 Show that the critical point (0, 0) of the plane autonomous system
dx
dt
dy
dt
is stable for any < 0.
= y,
= x (x2 1)y,
53
Solution Let (x(t), y(t)) be a solution of the system for t 0. Consider V (x, y) = x2 + y 2 . Then
d
V (x(t), y(t))
dt
dx(t)
dy(t)
+ 2y(t)
dt
dt
2x(t) y(t) + 2y(t) x(t) (x2 (t) 1)y(t)
2x(t)
if |x(t)| 1. That is, the function V (x(t), y(t)) is a decreasingpfunction along any solution curve with
|x(t)| 1. For any given > 0, we choose = min{1, }. Thus, if x2 (0) + y 2 (0) < , then
x2 (t) + y 2 (t) = V (x(t), y(t)) V (x(0), y(0)) = x2 (0) + y 2 (0) 2 2 .
In other words,
kx(0)k < kx(t)k < .
Therefore, the origin is a stable point of the system.
It can be shown that, in fact, the origin is a strictly stable in the previous example. This will be
seen later.
Example 2.4.2 Show that the critical point (0, 0) of the regular plane autonomous system
dx
= y x3 ,
dt
dy = 2(x3 + y 3 ),
dt
is stable.
Solution Let (x(t), y(t)) be a solution of the system for t 0. Choose V (x, y) = x4 + y 2 . Consider
V (t) = x(t)4 + y(t)2 .
dV (t)
= 4x(t)3 x0 (t) + 2y(t)y 0 (t) = 4(x(t)6 + y(t)4 ) 0.
dt
Hence V (t) is a decreasing function. Therefore when t > 0, V (t) V (0).
p
2
Given > 0, take = min{1, }. Whenever x(0)2 + y(0)2 < , we have
2
x(t)4 + y(t)2 x(0)4 + y(0)2 x(0)2 + y(0)2 < 2
since x(0)2 2 < 1. Now we have
(x(t)2 + y(t)2 )2
2(x(t)4 + y(t)4 )
2(x(t)4 + y(t)2 ) 2 2 4
The above examples indicates a new approach to study stability of nonlinear autonomous systems.
Before we generalize the idea of the above examples, we should clarify one point. Since existence
and uniqueness are not always guaranteed for nonlinear systems, we have to make sure that the
solutions for the discussion of stability do exist. It is convenient to introduce the following definition.
54
Definition 2.4.1 A plane autonomous system (2.1) is said to be regular if for any initial condition
x(t0 ) = x0 , there exists a unique solution in the neighborhood of (x0 , t0 ).
By Theorem 1.5.1, we know that if X(x) is continuously differentiable for all x, then the nonlinear
system is regular.
In the two examples above, the existence of the function V (x, y) is the central ingredient of the
method. Let (x(t), y(t)) be a solution of (2.1). For a given function V (x, y), denote
d
V (x(t), y(t)) = Vx (x(t), y(t))X(x(t), y(t)) + Vy (x(t), y(t))Y (x(t), y(t))
dt
to be the total derivative of V with respect to (2.1).
We introduce the following definition.
Definition 2.4.2 A function V (x, y), defined in a neighborhood of the origin, is called a weak
Liapunov function for the plane sutonomous system (2.1) if
(1) V (x, y) is continuously differentiable and V (0, 0) = 0.
(2) V (x, y) is positive definite, in other words, V (x, y) > 0 if (x, y) 6= (0, 0).
(3)
V (x, y) X(x, y) +
V (x, y) Y (x, y) 0,
x
y
for (x, y) 6= (0, 0).
It will be called a strong Liapunov function if the above condition (3) is changed to
(3)0
V (x, y) X(x, y) +
V (x, y) Y (x, y) < 0,
x
y
for (x, y) 6= (0, 0).
Theorem 2.4.3 If there exists a weak Liapunov function for the regular plane autonomous system
(2.1), then the critical point (0, 0) is stable. If there exists a strong Liapunov function, then the
critical point (0, 0) is strictly stable.
Proof For any > 0, consider the disc D = {(x, y)|x2 + y 2 2 }. Since the function V is continuous
and positive on the boundary D of D , V achieves a minimum m > 0 on D . Since
2
lim
V (x, y) =
(x,y)(0,0)
V (0, 0) = 0, for this m, there exists > 0 such that whenever x + y < , V (x, y) < m. We can choose
to be less than
Let (x(t), y(t)) be a solution of the autonomous system. Then we have
d
V (x(t), y(t))
dt
55
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t=0
Fig. 2.15
V (x(t), y(t)) =
V (x(t), y(t)) X(x(t), y(t)) +
V (x(t), y(t)) Y (x(t), y(t)) < 0,
dt
x
y
we know that V (x(t), y(t)) is decreasing in t. The condition that V (x(t), y(t)) is bounded below by 0 implies
that lim V (x(t), y(t)) exists, say L. If L > 0, since V (0, 0) = 0 and V is continuous, we take a small
t+
r > 0 with r < so that V (x, y) < L in disc Dr of radius r. Since, for t > 0, V (x(t), y(t)) decreases to L,
V (x(t), y(t)) must be bigger than L. Thus x(t)2 + y(t)2 r2 . Assume x(0)2 + y(0)2 < 2 chosen in the the
first part of the proof. Then by the first result of the theorem, we have x(t)2 + y(t)2 < 2 . Thus the solution
curve (x(t), y(t)) remains in the ring region bounded by Dr and D . In this ring region, the function
V (x, y) X(x, y) +
V (x, y) Y (x, y)
x
y
56
tn n such that x(tn )2 +y(tn )2 C. Clearly lim tn = +. Since x(t)2 +y(t)2 < 2 for t > 0, the sequence
n
{x(tn ), y(tn ))} is bounded. Thus there exists a subsequence tnk for k = 1, 2, . . . such that the subsequence
{x(tnk ), y(tnk ))} converges to (a, b). Now
V (a, b) = lim V (x(tnk ), y(tnk )) = lim V (x(t), y(t)) = 0.
t+
Theorem 2.4.4 If the critical point (0, 0) of the linear plane autonomous system
dx
dt
dy
dt
ax + by,
cx + dy,
dx
dt
dy
dt
= ax + by + (x, y),
(2.9)
= cx + dy + (x, y),
provided there exist k > 0 and M > 0 such that whenever x2 + y 2 < k we have |(x, y)| + |(x, y)|
M (x2 + y 2 ).
Proof For simplicity, since the linear homogeneous system is strictly stable at the origin, by Theorem 2.3.1,
we can assume that it is one of the types
dx
= 1 x,
dt
(1)
1 < 0,
dy = 2 y,
dt
or
(3)
2 < 0;
(2)
dx
dt
dy
dt
r x i y,
i x + r y,
r < 0;
dx
= x,
dt
< 0.
dy
= x + y,
dt
Otherwise, we can transform the linear system to its canonical form via a linear equivalence transformation.
The new perturbed system still satisfies the conditions in Theorem 2.4.4 after such transformation.
57
Take V (x, y) = x2 + y 2 for the first two cases above and V (x, y) = x2 + 2 y 2 for the last case. To show
that V (x, y) is a strong Liapunov function, we only need to show that there exists a negative constant < 0
such that
V (x, y) X(x, y) +
V (x, y) Y (x, y) V (x, y),
x
y
for sufficiently small (x, y).
In fact, in the case (1), we have
V (x, y) X(x, y) +
V (x, y) Y (x, y)
x
y
2x (1 x + ) + 2y (2 y + )
2
with = max{1 , 2 }. Similarly to the case (1), we can show that, for x2 + y 2 < = min{k,
}, since
16M 2
and |y|
, we have
|x|
4M
4M
|x + y| 2
M (x2 + y 2 ) = V (x, y),
4M
2
which implies
V (x, y) X(x, y) +
V (x, y) Y (x, y) V (x, y),
x
y
whenever x2 + y 2 < .
V (x, y) X(x, y) +
V (x, y) Y (x, y)
x
y
2x (r x i y + ) + 2y (r x + i y + )
By the condition,
|x + y| |x| || + |y| || (|x| + |y|) M (x2 + y 2 ),
2r
r
r
whenever x2 + y 2 < k. Thus, when x2 + y 2 < = min{k,
}, since |x|
and |y|
, we
16M 2
4M
4M
have
r
r
|x + y| 2
M (x2 + y 2 ) = (x2 + y 2 ).
4M
2
Hence,
V (x, y) X(x, y) +
V (x, y) Y (x, y) 2r (x2 + y 2 ) + (r )(x2 + y 2 ) = r V (x, y),
x
y
whenever x2 + y 2 < .
58
V (x, y) X(x, y) +
V (x, y) Y (x, y)
x
y
=
2x (x + ) + 22 y (x + y + )
By the condition,
|x + 2 y| |x| || + 2 |y| || (|x| + 2 |y|) M (x2 + y 2 ),
whenever x2 + y 2 < k. Thus, when x2 + y 2 < = min{k,
|x|
we have
|x + 2 y|
,
8M (1 + 2 )(1 + 2 )
2
}, since
64M 2 (1 + 2 )2 (1 + 2 )2
|y|
,
8M (1 + 2 )(1 + 2 )
(1 + 2 ) 2
2
(x + 2 y 2 ).
4
(1 + 2 )(x2 + 2 y 2 )
8M (1 + 2 )(1 + 2 )
Hence,
V (x, y) X(x, y) +
V (x, y) Y (x, y) (x2 + 2 y 2 ) +
(x + 2 y 2 ) = V (x, y),
x
y
2
2
2
whenever x2 + y 2 < .
Now we can apply Theorem 2.4.4 to Example 2.4.1. The system in Example 2.4.1 is perturbed
from the linear system
dx
= y,
dt
dy = x + y.
dt
The origin is strictly stable for the linear system, since the coefficient matrix
0
1
1
p
2 4
,
2
59
dx
= y,
dt
=
=
1
(x2 + my 2 ).
2
V (x, y) X(x, y) +
V (x, y) Y (x, y)
x
y
1
xy my [f (x, y)y + x]
m
my 2 f (x, y) 0.
2
Example 2.4.4 Discuss the dependence on the sign of the constant of the critical point at the
origin of the regular system
dx
= y + x5 ,
dt
dy = x + y 5 .
dt
Solution When = 0, the system becomes x0 = y and y 0 = x and the origin is a neutrally stable vortex
point.
Suppose 6= 0. Let V (x, y) = x2 + y 2 . Then
V (x, y) X(x, y) +
V (x, y) Y (x, y)
x
y
=
2x(y + x5 ) + 2y(x + y 5 )
2(x6 + y 6 ) < 0,
for (x, y) 6= (0, 0), since < 0. Thus V (x, y) is a strong Liapunov function. By Theorem 2.4.3, the origin is
strictly stable.
d
If > 0, denote V 0 (t) =
V (x(t), y(t)). Then the previous calculation gives V 0 (t) 0. Hence V (t) is
dt
increasing. Therefore x(t)2 + y(t)2 x(0)2 + y(0)2 for t > 0. Since
(x2 + y 2 )3
x6 + y 6 + 3x4 y 2 + 3x2 y 4
x6 + y 6 + 3x2 y 2 (x2 + y 2 )
x2 + y 2 2
x6 + y 6 + 3(x2 + y 2 )
2
3
x6 + y 6 + (x2 + y 2 )3 ,
4
60
we conclude x6 + y 6
1 2
(x + y 2 )3 . Now we have
4
1
V 0 (t) = 2(x(t)6 + y(t)6 ) 2 (x(t)2 + y(t)2 )3 (x(0)2 + y(0)2 )3 .
4
2
(x(0)2 + y(0)2 )3 > 0. Consider the function V (t) kt. Since (V (t) kt)0 = V (t)0 k 0, hence
2
V (t) kt is an increasing function. For t > 0, we have V (t) kt V (0) = x(0)2 + y(0)2 . Therefore
lim V (t) lim (kt + x(0)2 + y(0)2 ) = +. Given = 1, for any > 0, if x(0)2 + y(0)2 < ,
Take k =
t+
since
t+
lim V (t) = +, there exists N depending only upon x(0) and y(0) such that whenever t > N ,
t+
We can generalize the idea in the second part of the last example to get a test for instability of a
critical point. This will be discussed in the next section.
Exercise 2.4
1. Show that the function ax2 + bxy + cy 2 is positive definite if and only if a > 0 and b2 4ac < 0.
2. Show that the critical point is strictly stable for the following system
dx
= 4x y,
dt
dy = 2x 5y 2y sin x.
dt
3. Show that for any a < 0, the critical point (0, 0) of the system
dx
= ax + y + x2 y,
dt
dy
= x + ay cos x,
dt
is strictly stable.
4. Show that the origin (0, 0) is strictly stable for the following system
dx
= xy 2x2 y 3 x3 ,
dt
dy
1
= y x2 + x3 y 2 .
dt
2
5. Show that the the origin (0, 0) is strictly stable for the following system
dx
= 2(x3 + y 3 ),
dt
dy
= x 2y 3 .
dt
6. (1) Show that the critical point (0, 0) is stable to the following regular system
dx
= y,
dt
dy
= 2x 3(1 + y 2 )y
dt
by constructing a weak Liapunov function.
(2) Show that the critical point (0, 0) is attractive to the system.
2.5
61
Theorem 2.5.1 Assume that there exists a function, U (x, y) defined in x2 +y 2 k 2 , a neighborhood
of the origin, satisfying that
(1) U (x, y) is continuously differentiable and U (0, 0) = 0;
(2)
d
U (x(t), y(t)) > 0,
dt
for any solution (x(t), y(t)) of the system (2.1) with (x(t), y(t)) 6= (0, 0);
(3) in every neighborhood of the origin, there exists at least one point (x, y) such that U (x, y) > 0.
Then the critical point (0, 0) is unstable for the regular plane autonomous system (2.1) .
Before we prove the theorem, we give two remarks on the condition (2).
Remark:
(1) If (x(t), y(t)) is a solution curve with initial value (x(0), y(0)) 6= (0, 0), then (x(t), y(t)) 6= (0, 0)
for any t. In fact, if (x(t0 ), y(t0 )) = (0, 0) for some t0 , (x(t + t0 ), y(t + t0 )) is also a solution with
initial value (0, 0). Since the system is regular, there is only one solution with the initial value (0, 0).
Since (0, 0) is also a solution of the system, thus (x(t + t0 ), y(t + t0 )) must be the trivial solution
(0, 0), a contradiction.
(2) The condition (2) is equivalent to
Ux (x, y)X(x, y) + Uy (x, y)Y (x, y) > 0, for all x, y with 0 < x2 + y 2 k 2 .
This can be seen as follows. Since the system is regular, for any point (x0 , y0 ) with 0 < x20 + y02 k 2 ,
there exists a solution (x(t), y(t)) of the system with initial value (x(0), y(0)) = (x0 , y0 ). Thus
Ux (x0 , y0 )X(x0 , y0 ) + Uy (x0 , y0 )Y (x0 , y0 )
=
=
Proof By the condition (3), for each > 0, 0 < < k, there exists a point (x , y ) such that 0 <
x2 + y2 < 2 and U (x , y ) > 0. Denote (x (t), y (t)) to be the solution curve with the initial value
(x (0), y (0)) = (x , y ).
d
U (x (t), y (t)) > 0, U (x (t), y (t)) is an increasing function. Thus
dt
U (x (t), y (t)) U (x , y ) > 0 for t 0.
By the condition (1),
lim
U (x, y) = U (0, 0) = 0. Thus there exists 0 > 0 such that
By the condition (2), i.e.,
(x,y)(0,0)
|U (x, y)| < U (x , y )/2 whenever x2 + y 2 < 20 . Therefore, we must have x (t)2 + y (t)2 20 for
t 0. Let R be the ring region 20 x2 + y 2 k 2 . Thus (x (t), y (t)) is in the region R for all
t > 0. From the Remark above, Ux (x, y)X(x, y) + Uy (x, y)Y (x, y) > 0 for (x, y) R. Let m be
the minimum of Ux (x, y)X(x, y) + Uy (x, y)Y (x, y) over R. Since Ux (x, y)X(x, y) + Uy (x, y)Y (x, y)
62
is continuous over the compact set R, m must equal Ux (x1 , y1 )X(x1 , y1 ) + Uy (x1 , y1 )Y (x1 , y1 ) for
some point (x1 , y1 ) in R, and thus be positive. Therefore
d
U (x (t), y (t)) m > 0,
dt
for t 0. This implies
Z
U (x (t), y (t)) U (x , y ) =
0
d
U (x (t), y (t))dt mt.
dt
Let t +, we conclude that U (x (t), y (t)) goes to +. Thus there exists T0 such that whenever
t T0 , we have U (x (t), y (t)) 2. Since
lim
U (x, y) = U (0, 0) = 0, there exists > 0, with
(x,y)(0,0)
< k, such that whenever x2 + y 2 < 2 , |U (x, y)| < 1. Therefore for t T0 , x (t)2 + y (t)2 2 .
In summary, there exists , 0 < < k, for any > 0, there exists at least one solution (x (t), y (t))
satisfying
x2 (0) + y2 (0) < 2 but x2 (t) + y2 (t) > 2 for some t.
In other words, the origin is not a stable critical point.
Theorem 2.5.2 If the critical point (0, 0) of the linear plane autonomous system
dx
dt
dy
dt
ax + by,
cx + dy,
is unstable, where the eigenvalues of the coefficient matrix are different, non-zero, and at least one
has positive real part, then the perturbed regular system
dx
= ax + by + (x, y),
dt
dy = cx + dy + (x, y),
dt
is unstable at the origin (0, 0), provided there exist k > 0 and M > 0 such that whenever x2 + y 2 < k
we have |(x, y)| + |(x, y)| M (x2 + y 2 ).
Proof Since the eigenvalues of the coefficient matrix of the linear system are different, non-zero, and at
least one has positive real part, for simplicity, by Theorem 2.3.1, we can assume that it is one of the types
dx
dx
= r x i y,
= 1 x,
dt
dt
(1)
r > 0;
(2)
1 > 0.
dy = i x + r y,
dy = 2 y,
dt
dt
We will show that there exist functions U (x, y) satisfying the conditions in Theorem 2.5.1, repectively.
In the case (1), consider the function U (x, y) = x2 + y 2 . We only need to show that the function U
satisfies the condition (2) in Theorem 2.5.1.
63
Let (x(t), y(t)) be a solution of the perturbed system and write U (t) = U (x(t), y(t)). For any solution of
the perturbed system, since
dU (t)
dt
dx(t)
dy(t)
+ 2y(t)
dt
dt
2x (r x i y + ) + 2y (i x + r y + )
2x(t)
By the condition,
|x + y| |x| || + |y| || (|x| + |y|) M (x2 + y 2 ),
whenever x2 + y 2 < k. Thus, when x2 + y 2 < = min{k,
|x + y| 2
r
4M
2r
r
r
}, since |x|
and |y|
, we have
16M 2
4M
4M
M (x2 + y 2 ) =
r 2
(x + y 2 ).
2
Hence,
dU (t)
2r (x2 + y 2 ) + (r )(x2 + y 2 ) = r U (t),
dt
whenever x2 (t) + y 2 (t) < .
In the case (2), consider the function U (x, y) = x2 /1 + y 2 /2 . Since 1 > 0, this function obviously
satisfies the condition (3) in Theorem 2.5.1. Again, we only need to show that the function U satisfies the
condition (2) in Theorem 2.5.1.
For any solution (x(t), y(t)) of the perturbed system,
dU (t)
dt
dx(t)
dy(t)
/1 + 2y(t)
/2
dt
dt
2x (1 x + )/1 + 2y (2 y + )/2
2x(t)
By the condition,
|x/1 + y/2 | |x| ||/|1 | + |y| ||/|2 | (|x| + |y|)(min{|1 |, |2 |})1 M (x2 + y 2 ),
whenever x2 + y 2 < k. Thus, when x2 + y 2 < = min{k,
|y|
min{|1 |, |2 |}
, we have
4M
|x/1 + y/2 | 2
min{|1 |, |2 |}
4M
min{21 , 22 }
min{|1 |, |2 |}
and
}, since |x|
16M 2
4M
1 2
(x + y 2 ).
2
Hence,
dU (t)
2(x2 + y 2 ) + (1)(x2 + y 2 ) = x2 (t) + y 2 (t),
dt
whenever x2 (t) + y 2 (t) < .
64
dx
dt
dy
dt
y(x + 1),
x(1 + y 3 ).
Solution There are two critical points for this system: (0, 0) and (1, 1). At (0, 0), the linearization is
dx
dt
dy
dt
y,
x.
The eigenvalues of the coefficient matrix are 1. Hence the origin is a saddle point for the linearized system.
By Theorem 2.5.2, the origin is unstable.
Near the other critical point (1, 1), we shift it to the origin by making
x = 1 + u,
Then (u, v) satisfies the following system
du
dt
dv =
dt
y = 1 + v.
(v 1)u,
(u 1) 1 + (v 1)3 .
du
dt
dv
dt
u,
3v,
whose eigenvalues of the coefficient matrix are 1 and 3. By Theorem 2.4.4, this perturbed nonlinear
system is strictly stable at (0, 0). So the original system is strictly stable at (1, 1).
2
Exercise 2.5
1. Show that for any constants a > 0 and b > 0, the origin is an unstable critical point for the system
dx
= x2 y + ax3 ,
dt
dy
= 2x3 + by 7 .
dt
2. Let be a real number. Discuss the stability of the critical point (0, 0) for the system
dx
= y + x3 ,
dt
dy = x + y 3 .
dt
65
dx
= y xf (x, y),
dt
dy
= x yf (x, y),
dt
show that
(a) the origin (0, 0) is strictly stable if f (x, y) > 0 in a neughborhood of the origin;
(b) the origin (0, 0) is unstable if f (x, y) < 0 in a neughborhood of the origin.
2.6
NONLINEAR OSCILLATIONS
(2.10)
often appear in many different occasions. Generally, they describe the displacement x of a particle
of unit mass under a force system containing a conservative element, q(x), and a dissipative or
energy-generating component, p(x, x).
In this section, we consider the stability for two special but
common cases of this type of nonlinear oscillators.
2.6.1
Undamped Oscillations
When p(x, x)
= 0, the nonlinear oscillator (2.10) is said to be undamped. Then the above equation
is equivalent to the plane autonomous system
dx
dt
dv
dt
= v,
(2.11)
= q(x).
We will study stability about a critical point (x0 , 0), where q(x0 ) = 0. Without loss of generality, we
may assume x0 = 0, otherwise a translation of coordinates can move (x0 , 0) to (0, 0). If the origin
(0, 0) is stable, we expect that the restoring force q(x) must act in the opposite direction to the
displacement x in a neighborhood of x = 0, that is, xq(x) > 0 for x 6= 0 sufficiently small.
Theorem 2.6.1 If q C 1 and if xq(x) > 0 for small nonzero x, then the critical point (0, 0) of the
system x
+ q(x) = 0 is a vortex point.
Proof We define the potential energy integral:
x
Z
V (x) =
q()d.
0
For any given positive constant E, the locus v 2 /2 + V (x) = E is an integral curve, since we differentiate it to
dv
= q(x)/v,
yield an identity: E = x[
x + q(x)] = 0. Obviously, the locus is symmetric in the x-axis. Since
dx
66
dv
dv
< 0; in the second and fourth quadrants,
> 0. For any
dx
dx
small value of E, the function E V (x) has a maximum value E and decreases on both sides of x = 0.
Since E is very small, as the value of |x| increasing, E V (x) eventually becomes zero. Hence, there are
two points x = B and x = A at which the function E V (x) is zero, where A, B are small and positive.
These imply that each locus is a simple closed curve, symmetric about the x-axis.
2
2
We can show that the integral curves of (2.11) resemble a distorted
p family of circles u + v = 2E for very
small E. To see this, we change of the coordinates by (x, v) ( 2V (x), v), according as x is positive or
negative. The transformation is of class C 1 and the Jacobian determinant
p
p
q(x)/ 2V (x) 0
det
= q(x)/ 2V (x) 6= 0,
0
1
p
if x 6= 0. As E 0, we know |v| =
2[E V (x)] 2E 0, so the closed integral curves shrink
monotonically towards the origin. Hence, the integral curves resemble a distorted family of circles u2 + v 2 =
2E.
2
in the first and third quadrants, we have
d2 x
= x3 x, studied in Example 2.1.2. In
dt2
this special case, the restoring force q(x) = x x3 and the origin (0, 0) is a vortex point of this
system. Theorem 2.6.1 can also be applied to Example 2.1.3 for the simple pendulum equation
d2
= k 2 sin . A direct application of the theorem implies that the origin is a vortex point. A
dt2
translation k + can be used to show that all critical points at (k, 0) are vortex points, where
k = 2, 4, . . ..
Now we can apply Theorem 2.6.1 to the system
2.6.2
Damped Oscillations
dx
= v,
dt
(2.12)
dv = vp(x, v) xh(x).
dt
The origin (0, 0) is always a critical point of this plane autonomous system.
Theorem 2.6.2 If p and h are of class C 1 , and if p(0, 0) and h(0) are positive, then the origin is a
strictly stable critical point of the damped nonlinear oscillator (2.12).
Proof The system (2.12) can be rewritten as
dx
= v,
dt
dv
= h(0)x p(0, 0)v + O(x2 + v 2 ).
dt
dv
= h(0)x p(0, 0)v,
dt
67
h(0)
p(0, 0)
p2 (0, 0) 4h(0)
2
that have negative real parts if p(0, 0) > 0 and h(0) > 0. Hence, by Theorem 2.4.4, the origin is a strictly
stable critical point; the solution curves tend to the origin in the vicinity of the origin.
2
p(0, 0)
If p(0, 0) < 0, the system is said to be negatively damped, and the origin unstable. In fact, if we
reverse the time, the differential equation becomes
dx
dx
d2 x
p
x,
+ h(x)x = 0.
d(t)2
d(t) d(t)
Hence, if p(0, 0) < 0, all solution curves spiral outward near the origin.
It is worth to notice that there exists a weak Liapunov function for the system (2.12). In fact, for
Z x
1 2
sh(s)ds,
V (x, v) = v +
2
0
it is positive definite for small (x, v) since h(0) > 0. Moreover,
V (x, v) X(x, v) +
V (x, v) Y (x, v)
x
v
= xh(x) v + v (vp(x, v) xh(x))
= v 2 p(x, v) 0,
in a neighborhood of the origin. Hence, by Theorem 2.4.3, we know that the origin is stable.
However, this Liapunov function is not capable of detecting that the origin is strictly stable.
Exercise 2.6
1.
2.7
MISCELLANEOUS PROBLEMS
dx
= y,
dt
dy
= 2x 3(1 + y 2 )y
dt
and justify your result.
Solution To construct a strong Liapunov function, we first try to make a linear equivalent transform
x
y
!
=K
u
v
!
,
68
u
v
!
=K
d
dt
!
x
y
=K
!
x
y
AK
v
!
Under the same linear transform, the perturbed nonlinear system has the form
du
= 2u + f (u, v),
dt
dv = v + g(u, v),
dt
where f (u, v) and g(u, v) are polynomials of u and v, with the lowest terms from at least the second
order. For the later system, by the discussion in the proof of Theorem 2.4.4, the function u2 + v 2 is
a strong Liapunov function. Since the inverse transform gives u = x y and v = 2x + y, thus, we
have a strong Liapunov function of the original nonlinear system:
V (x, y) = (x y)2 + (2x + y)2 = 5x2 + 6xy + 2y 2 .
To see that it is indeed a strong Liapunov function, we only need to check that
V (x, y) X(x, y) +
V (x, y) Y (x, y)
x
y
=
=
Here the inequalities hold since 9xy 3 + 6y 4 is of higher order than 2 and 6x2 + 8xy + 3y 2 is positive
definite. A similar argument can be made as in the proof of Theorem 2.4.4.
2