Chapter 11

Dierential Equations of First Order

This chapter contains a brief introduction to rst order time-invariant (i.e., constant coecient) systems of dierential equations. The objective is to discuss those systems with symmetries in which an indenite inner product plays a role, so that these applications serve to x some of the theory already developed. Also, the scene will be set for a more substantial treatment of higher order systems in Chapter 13. The reader is referred to beginning dierential equations texts for the details of proofs of basic results that are needed here.

11.1 Boundedness of solutions

Let K and H be n n hermitian matrices with H invertible, and consider the dierential equation iH dx = Kx; dt x = x(t) Cn , t R. (11.1.1)

The symmetries of the coecients make this a fundamental Hamiltonian system of dierential equations; fundamental because the coecients do not depend on t. The general solutions of (11.1.1) are easily obtained and can be found in many textbooks on dierential equations: Proposition 11.1.1. The formula x(t) = eitH
1

x0 ,

x0 Cn

(11.1.2)

denes the general solution of (11.1.1).

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Chapter 11. Dierential Equations of First Order

In applications it is important to know when every solution of (11.1.1) is bounded on the real line. Criteria of this kind are well-known for the general system of rst order linear dierential equations: dx = iAx; dt where A is an n n matrix. Thus: Proposition 11.1.2. The following statements are equivalent: (a) Every solution of (11.1.3) is bounded on the real line; (b) There exists a positive constant M such that eitA M for every t R; x = x(t) Cn , tR (11.1.3)

(c) A is diagonalizable with all eigenvalues real. The proof can be obtained without diculty using the Jordan form of A or, more precisely, using the description of a fundamental set of solutions in terms of eigenvalues, eigenvectors, and generalized eigenvectors of the matrix iA. Again, this can be found in many dierential equations textbooks. Returning to the Hamiltonian system (11.1.1), it is clear that the matrix A := H 1 K is H -selfadjoint, and it follows from Proposition 11.1.2 that all solutions of (11.1.1) are bounded on the real line if and only if A is r-diagonalizable. This observation, together with Theorem 9.2.2, leads to the equivalence of (i), (iii), and (iv) in the following result. We say that the solutions of (11.1.1), where H and K are hermitian matrices with invertible H , are stably bounded if every solution of (11.1.1) is bounded on the real line and this property holds for all equations iH dx = Kx, dt H = H , K = K ,

with H and K suciently close to H and K , respectively. If in the above denition H is kept xed, i.e.,, we always take H = H , then we say that the solutions of (11.1.1) are H -stably bounded; if the range of the independent variable t is restricted to the half line [0, ), then stable boundedness on the half line is obtained. Theorem 11.1.3. Let H and K be n n hermitian matrices, with H invertible. Then the following statements are equivalent: (i) the solutions of (11.1.1) are stably bounded; (ii) the solutions of (11.1.1) are stably bounded on the half line [0, ); (iii) the solutions of (11.1.1) are H -stably bounded; (iv) (H 1 K ) R, and the quadratic form (Hx, x) is denite on the subspace Ker(i I + H 1 K ) for every i (H 1 K ).

11.1. Boundedness of solutions

231

Proof. We verify that (i) and (ii) are equivalent. By Proposition 11.1.1, the solutions of (11.1.1) are bounded on the half line [0, ) if and only if the matrix iA := iH 1 K has all eigenvalues with nonnegative real parts and the eigenvalues of iA with zero real parts (if any) have only partial multiplicities equal to 1. But since A is H -selfadjoint, the eigenvalues of iA are symmetric with respect to the imaginary axis. Thus, the criterion for boundedness of (11.1.1) on the half line [0, ) boils down to r-diagonalizability of A; this is just the criterion for boundedness of solutions of (11.1.1) on the whole real line. Now consider the matrix version of equation (11.1.1): iH dX = KX, dt (11.1.4)

together with the initial condition X (0) = In . The solution X (t) of (11.1.4) satisfying this initial condition is uniquely dened, and the matrix X (1) is called the monodromy matrix of the matrix equation (11.1.4) or of the vector equation 1 (11.1.1). Clearly, the monodromy matrix is equal to eiH K . Thus, statement (iv) of Theorem 11.1.3 can be re-cast in terms of the monodromy matrix: Corollary 11.1.4. Under the hypotheses of Theorem 11.1.3, each of the statements (i) and (ii) is equivalent to (iv) All eigenvalues of the monodromy matrix X have absolute value 1, and the quadratic form (Hx, x) is denite on the subspace Ker(i I X ) for every i (X ). In view of the formula X = eiH K , the proof follows immediately from Theorem 11.1.3 . This section concludes with a description of the connected components of the set of stably bounded Hamiltonian systems of the form (11.1.1). This is summarized in the next theorem, where the terminology and notation of Section 9.7 are used. Theorem 11.1.5. (a) Let an invertible H = H Cnn be xed. If n1 , . . . , np are integers with the properties (9.7.11), (9.7.12), and (9.7.13), then the stably bounded rst order systems dx = Kx (11.1.5) iH dt for which indr (H 1 K, H ) = {n1 , . . . , np } belong to the same connected component in the set of all stably bounded systems (11.1.5) with xed H . Conversely, if two stably bounded systems iH dx = K1 x dt and iH dx = K2 x, dt K1 and K2 hermitian,
1

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Chapter 11. Dierential Equations of First Order

belong to the same connected component in the set of all stably bounded systems (11.1.5) with xed H , then indr (H 1 K1 , H ) = indr (H 1 K2 , H ). (b) If n1 , . . . , np are integers with the properties (9.7.11) and (9.7.12), then the stably bounded rst order systems iH for which indr (H 1 K, H ) = {n1 , . . . , np } belong to the same connected component in the set of all stably bounded systems (11.1.5) with arbitrary K = K Cnn and invertible H = H Cnn . Conversely, if iH1 where
K1 = K1 , K2 = K2 Cnn ,

dx = Kx dt

(11.1.6)

dx = K1 x dt

and

iH2

dx = K2 x, dt

and

H1 = H 1 , H2 = H2 Cnn are invertible,

belong to the same connected component in the set of all stably bounded systems (11.1.5) with arbitrary K = K Cnn and invertible H = H Cnn , then
1 1 indr (H1 K1 , H1 ) = indr (H2 K2 , H2 ).

The proof is obtained by combining Theorems 11.1.3 and 9.7.1, 9.7.2.

11.2 Hamiltonian Systems of Positive Type with Constant Coecients

Consider the Hamiltonian system of dierential equations with constant coecients: dx = (K + K0 )x, (11.2.7) iH dt . Here, the matrix K0 is where H = H is invertible, and K = K , K0 = K0 viewed as a small perturbation of K ; so ||K0 || is small in some sense. We are to study the behavior of the eigenvalues of the monodromy matrix of (11.2.7) (called the multiplicators of the system (11.2.7)) as K0 changes. The case when K0 is positive denite is of special interest, and the system is then said to be of positive type.

11.2. Hamiltonian Systems of Positive Type with Constant Coecients Assume now that all solutions of the system iH dx = Kx, dt tR

233

(11.2.8)

are bounded. In this case, it follows from Proposition 11.1.2 that the multiplicators of (11.2.8) are unimodular and, for every multiplicator 0 , the quadratic form (Hx, x) is nondegenerate on the subspace Ker(0 I X ), where X = exp(iH 1 K ) is the monodromy matrix of (11.2.8). We say that the multiplicator 0 has positive multiplicity r+ (0 ) and negative multiplicity r (0 ) if the quadratic form (Hx, x) dened on Ker(0 I X ) has r+ (0 ) positive squares and r (0 ) negative squares in its canonical form. In particular, r+ (0 ) + r (0 ) coincides with the dimension of Ker(0 I X ), which in turn is equal to the multiplicity of 0 as a zero of det(I X ). In particular, the multiplicator 0 is said to be of positive (resp. negative ) type if the quadratic form (Hx, x) is positive (resp. negative) denite on Ker(0 I X ). Theorem 11.2.1. Let (11.2.7) be a constant coecient Hamiltonian system of positive type, and assume that all solutions of the unperturbed system (11.2.8) are bounded. Then for ||K0 || small enough all solutions of (11.2.7) are also bounded. Moreover, if 0 is a multiplicator of (11.2.8) with positive multiplicity r+ (0 ) and negative multiplicity r (0 ), then r+ (0 ) (resp., r (0 )) multiplicators of (11.2.7) in a neighborhood of 0 are of positive (resp. negative) type and situated on the unit circle in the negative (resp. positive) direction from 0 . By convention, the counterclockwise direction is positive, and the clockwise direction is negative. Proof. As X = exp(iH 1 K ) is the monodromy matrix of (11.2.8) then, for any multiplicator 0 of (11.2.8) there is an eigenvalue 0 of the matrix A = H 1 K for which 0 = ei0 . Observe that A is H -selfadjoint and H 1 K0 is H -negative for K0 positive denite; moreover, Ker(0 I X ) = Ker(0 I A). Now apply Theorem 9.6.1, suitably adapted, to the H -negative perturbation H 1 K0 of H 1 K and, after mapping the perturbed real eigenvalues on the unit circle with the map = ei , the theorem is obtained. Note that positive deniteness of K0 is essential in Theorem 11.2.1. Indeed, we know from Theorem 11.1.3 that if 0 is not of positive or negative type, then with the norm as small as we wish such that there exists a perturbation K0 = K0 the perturbed system dx iH = (K + K0 )x dt has an unbounded solution. Theorem 11.2.1 shows, in particular, that this situation is impossible for positive denite perturbations. Let 0 be a multiplicator of the system (11.2.8) with bounded solutions, and let r+ (0 ) (resp. r (0 )) be the positive (resp. negative) multiplicity of 0 .

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Chapter 11. Dierential Equations of First Order

It is possible to regard 0 as r+ (0 ) + r (0 ) equal multiplicators; r+ (0 ) of them being of positive type and r (0 ) of them being of negative type. With this convention, one can reformulate Theorem 11.2.1 in more informal terms as follows: a multiplicator of positive (resp. negative) type of the system (11.2.8) with bounded solutions moves clockwise (resp. counterclockwise) on the unit circle as the matrix K is perturbed by a positive denite matrix.

11.3 Exercises
1. Show that a matrix A is H -selfadjoint if and only if eiA is H -unitary. 2. Let A be an H -selfadjoint matrix. Then A is stably r-diagonalizable if and only if eiA is stably u-diagonalizable. 3. Let dx = Ax(t), t R dt be a dierential equation with an H -selfadjoint n n matrix A. i (11.3.9)

(a) Under what conditions is every solution of (11.3.9) bounded (on the real line)? (b) Under what conditions is every nonzero solution of (11.3.9) unbounded? (c) Assume that every nonzero solution of (11.3.9) is unbounded. Show that, similarly, there exists an > 0 such that every nonzero solution is unbounded for all dierential equations of the form i dx = Bx(t), dt tR

where B is an H -selfadjoint matrix and B A < . (d) Is the statement in (c) valid if unbounded is replaced by bounded? 4. (Floquets theorem) Let G Cnn be an invertible hermitian matrix, and let H (t), t R, be an hermitian piecewise continuous n n matrix function. Let Z (t) be the unique solution of the initial value problem G dZ = iH (t)Z (t), dt Z (0) = In .

Furthermore, x a G-skew-adjoint matrix V , in other words, V = G1 V G. Then a matrix function X (t) is a solution of G dX = iH (t)X (t) dt

if and only if the matrix function Y (t) := etV Z (t)1 X (t)

11.3. Exercises satises the dierential equation with constant coecients dY = V Y. dt 5. Solve the dierential equation iHj dx(t) = Gj x(t), dt tR

235

for the following pairs of hermitian n n matrices. In each case determine whether or not the solutions are stably bounded. (a) 0 H1 = 0 1 (b) 0 0 0 0 0 1 0 , 1 0 0 0 0 0 0 0 0 1 0 1 1 0 0 0 G1 = 0 0 1 0 0 0 0 0 0 0 0 0 0 0 0 0 . 1

H2 = H 1 ,

0 1 G2 = 0 0 0 0 Ik 0 0 Ik

1 0

0 0

0 1 0 0

0 . 0 1

(c) H 3 = H1 , (d) H4 = H1 , (e) G4 = diag (1 , . . . , n ), G5 = 0 0 . . . 0 0 0 0 . . . 0 1 0 0 . . . 1 0 ... 0 0 . . . 0 0 1 , . . . , n R. 0 G3 = , n = 2k is even.

H5 = G1 ,

1 . . , . 0 0

0 R.

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Chapter 11. Dierential Equations of First Order

6. Let H and K be invertible hermitian n n matrices. Prove that the stable boundedness of solutions of iH dx = Kx dt

is equivalent to the stable boundedness of solutions of each of the following three equations: iH dx = Kx, dt iK dx = Hx, dt iK dx = Hx. dt

7. Provide a detailed proof for Theorem 11.1.5.

11.4 Notes
The main contents of this chapter are applications of the results of Chapter 9 to dierential equations of rst order with hermitian matrix coecients. The stability results were in fact obtained by M.G. Krein [61] for a more general case and a more general formulation. The connected components in a more general case were studied in [27], see also [40]. The latter reference is the source of the entire chapter.