M2AA3 Notes

Ordinary
Differential
Equations
c _ Gerald Moore
The following diagram indicates how material from previous courses feeds into M2AA1.
? ? ?
-
?
M2AA1
M1M2 M1P1 M2PM1 M2PM2
Linear
Algebra
simple
ODEs
simple
Analysis
harder
Analysis
The place of dierential equations in mathematics. Analysis has been the
dominant branch of mathematics for over 300 years, and dierential equations is
the heart of analysis. This subject is the natural goal of elementary calculus and
the most important part of mathematics for understanding the physical sciences.
Also, in the deeper questions it generates, it is the source of most of the ideas and
theories which constitute higher analysis. Power series, Fourier series, the gamma
function and other special functions, integral equations, existence theorems, the
need for rigorous justication of many analytic processesall these themes arise
in our work in their most natural context. And at a later stage they provide
the principal motivation behind complex analysis, the theory of Fourier series
and more general orthogonal expansions, Lebesgue integration, metric spaces and
Hilbert spaces, and a host of other beautiful topics in modern mathematics.
George F. Simmons
Contents
1 Constant-coecient Linear Equations 1
1.1 Eigenvalues and eigenvectors of A . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 The matrix exponential function . . . . . . . . . . . . . . . . . . . . . . . . . . 10
1.3 Linear algebra and the matrix exponential . . . . . . . . . . . . . . . . . . . . 15
1.4 Inhomogeneous systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
1.5 Higher-order scalar equations . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
1.6 An O.D.E. formula for the matrix exponential . . . . . . . . . . . . . . . . . . 54
1.7 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
2 General Linear Equations 62
2.1 Homogeneous systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
2.2 Behaviour of solutions as t . . . . . . . . . . . . . . . . . . . . . . . . . . 72
2.4 Higher-order scalar equations . . . . . . . . . . . . . . . . . . . . . . . . . . . 76
2.5 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81
3 Periodic Linear Equations 86
3.1 Homogeneous systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
3.2 Matrix logarithm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
3.3 Floquet theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93
3.5 Second-order scalar equations . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
3.6 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
4 Boundary Value Problems 118
4.1 Adjoint operators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123
4.2 Greens functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 132
A Linear Algebra i
A.1 Real Jordan canonical form . . . . . . . . . . . . . . . . . . . . . . . . . . . . ii
A.2 Vector norms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . iv
A.3 Matrix norms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ix
B Real Normed Linear Spaces xix
B.1 Finite-dimensional R, R
n
, R
nn
. . . . . . . . . . . . . . . . . . . . . . . . . . xix
B.2 Innite-dimensional function spaces . . . . . . . . . . . . . . . . . . . . . . . . xxii
i
C Real Power Series in R, R
n
, R
nn
xxiv
ii
Chapter 1
Constant-coecient Linear Equations
We start by considering the homogeneous system
x(t) = Ax(t) : (1.1)
where A R
nn
is a given matrix and we would like to determine all the solutions x
C
1
(R, R
n
) of (1.1). Our paradigm case is n = 1, when we know that the solutions of (1.1) are
simply
x(t) e
at
t R (1.2a)
for arbitrary R: thus, in this situation, the solutions of (1.1) form a 1-dimensional subspace
of C
(R, R). Note also that the parameter R in (1.2a) corresponds to the solution value
x(0). We could equally well describe the solutions of (1.1) for n = 1 by
x(t) e
a(t)
t R (1.2b)
for arbitrary R: but now the parameter R in (1.2b) would correspond to the solution
value x() for any chosen R. If we now return to (1.1) for general n; it is essential to
understand that, when A has a linearly independent set of n eigenvectors, all the solutions are
intimately related to the eigenvalues and eigenvectors of A.
1.1 Eigenvalues and eigenvectors of A
If R is a real eigenvalue of A, with a corresponding eigenvector u R
n
, then it is easy to
verify that
x(t) ue
t
C
(R, R
n
)
is a solution of (1.1). We also note that any multiple of x is also a solution of (1.1): thus we
have discovered a 1-dimensional subspace of solutions in C
(R, R
n
). A real matrix, however,
may also have complex eigenvalues and corresponding complex eigenvectors; but we know
that these can only appear as complex-conjugate pairs. Thus, when the matrix A in (1.1)
has a non-real pair of eigenvalues
R
i
I
C, with a corresponding pair of eigenvectors
u
R
iu
I
C
n
, we would like to determine the real solutions of (1.1) to which they correspond.
To do this, we use the fact that u
R
and u
I
are a pair of linearly independent vectors in R
n
and write the eigenvalue-eigenvector equation using only real quantities: i.e.
A
_
u
R
u
I
=
_
u
R
u
I
, where
_

R
R
_
R
22
,
1
2 Gerald Moore
shows that the two-dimensional subspace of R
n
spanned by u
R
and u
I
is an invariant subspace
for A. Hence
[x(t) y(t)]
_
u
R
u
I
E
C
(t) C
(R, R
n
) t R,
where E
C
: R R
22
is dened by
E
C
(t) e
R
t
_
cos
I
t sin
I
t
sin
I
t cos
I
t
_
t R,
form a 2-dimensional subspace of solutions for (1.1); because it is simple to verify that
d
dt
E
C
(t) = E
C
(t) = E
C
(t) t R. (1.3)
(The commutativity of and E
C
(t) is crucial here.) We now wish to consider solutions for (1.1)
obtained from dierent eigenvalues of A: but, before doing this, we need to dene precisely
what we mean by linearly independent functions.
Denition 1.1. A set of functions v
k
p
k=1
C
0
(R, R
n
) is said to be linearly independent if
the equation
p
k=1
c
k
v
k
(t) = 0 t R
for c
k
p
k=1
R can only be solved by setting c
k
= 0 for k = 1, . . . , p.
Hence, if p n, a necessary condition for v
k
p
k=1
C
0
(R, R
n
) to be linearly dependent is
that
rank
__
v
1
(t)v
2
(t) . . . v
p
(t)
_
< p t R.
It is important to realise, however, that this is not a sucient condition: e.g. for n = 2, p = 2
we may dene
v
1
(t)
_
1
t
_
, v
2
(t)
_
t
t
2
_
, V
1
(t)
_
1 t
t t
2
_
, t R
and v
1
, v
2
are linearly independent but rank
_
V(t)
_
= 1 t R.
1.1.1 Distinct real eigenvalues
In the special case when A R
nn
has n distinct real eigenvalues
k
n
k=1
, we can consider all
the eigenvalues of A because we know that the corresponding eigenvectors u
k
n
k=1
are linearly
independent and therefore form a basis for R
n
.
Theorem 1.1. If A in (1.1) has n distinct real eigenvalues then x
k
n
k=1
C
(R, R
n
) dened
by
x
k
(t) u
k
e
k
t
k = 1, . . . , n
are linearly independent and thus form a basis for an n-dimensional subspace of solutions for
(1.1).
Proof. By simply substituting into (1.1), we verify that each x
k
is a solution. The linear
independence of x
k
n
k=1
may be deduced in two ways.
Ordinary Differential Equations 3
Use Denition 1.1 by putting t = 0 and using the linear independence of u
k
n
k=1
R
n
.
Use the fact that e
k
t
n
k=1
C
0
(R, R) are linearly independent. (Exercise in sec-
tion 1.7.)
This theorem does not prove that there are no other solutions of (1.1), i.e. it is still possible
that the solution space of (1.1) has dimension bigger than n. In order to establish this result,
we introduce the non-singular matrix
P [u
1
u
2
. . . u
n
] R
nn
,
so that
AP = P diag(
1
, . . . ,
n
) R
nn
describes the eigenvalue-eigenvector relationship. Hence we may re-write the n-dimensional
solution subspace of Theorem 1.1 in the more convenient matrix form
x(t) PE(t) R
n
, (1.4a)
where E : R R
nn
is dened by
E(t) diag(e
1
t
, . . . , e
n
t
) t R.
Note that E(0) = I and, t R, E(t) is non-singular.
Corollary 1.2. . If A in (1.1) has n distinct real eigenvalues, there are no other solutions of
(1.1) apart from the n-dimensional subspace described in Theorem 1.1.
Proof. If y C
1
(R, R
n
) is such a solution, we dene z C
1
(R, R
n
) by
z(t) PE
1
(t)P
1
y(t) t R.
Hence
z(t) = P
d
dt
_
E
1
(t)
_
P
1
y(t) +PE
1
(t)P
1
y(t)
= PE
1
(t)P
1
y(t) +PE
1
(t)P
1
Ay(t)
= 0 t R
because and E
1
(t) are diagonal matrices and P
1
A = P
1
. But this means that z is
constant, equal to R
n
say, and therefore
y(t) = PE(t)P
1
t R
is an element of our subspace and gives a contradiction.
Note that representing our n-dimensional subspace of solutions by (1.4a) means that x(0) =
P. More generally we could replace (1.4a) by
x(t) PE(t )P
1
R
n
(1.4b)
so that x() = . This shows that, for any given R and any given R
n
, the resulting
initial value problem
(1.1) augmented by x() =
has a unique solution.
4 Gerald Moore
Example 1.1. The matrix
A
_
_
8 1 11
18 3 19
2 1 5
_
_
R
33
has real eigenvalues 4, 2, 6 with corresponding eigenvectors
_
1 1 1
T
,
_
1 1 1
T
and
_
1 2 0
T
. Consequently, three linearly independent solutions for (1.1) are
e
4t
_
_
1
1
1
_
_
, e
2t
_
_
1
1
1
_
_
, e
6t
_
_
1
2
0
_
_
.
Furthermore, the eigenvalue-eigenvector relationship is given by
P
_
_
1 1 1
1 1 2
1 1 0
_
_
and
_
_
4
2
6
_
_
,
with
E(t)
_
_
e
4t
e
2t
e
6t
_
_
.
Hence our 3-dimensional solution subspace is characterised by
PE(t) R
3
and the unique solution satisfying x() = is
x(t) P
_
_
e
4(t)
e
2(t)
e
6(t)
_
_
P
1
t R.
1.1.2 Distinct complex-conjugate eigenvalues
In the special case when n is even and A R
nn
has
n
2
distinct complex-conjugate pairs of
eigenvalues
R
k
i
I
k
n
2
k=1
, we can consider all the eigenvalues of A because we know that
the real and imaginary parts of the corresponding eigenvectors u
R
k
, u
I
k
n
2
k=1
are a linearly
independent set of n real vectors and thus form a basis for R
n
.
Theorem 1.3. If n is even and A in (1.1) has
n
2
distinct complex-conjugate pairs of eigenvalues
then x
k
, y
k
n
2
k=1
C
(R, R
n
) dened by
[x
k
(t) y
k
(t)]
_
u
R
k
u
I
k
E
C
k
(t) k = 1, . . . ,
n
2
,
where E
C
k
: R R
22
k = 1, . . . ,
n
2
and
E
C
k
(t) e
R
k
t
_
cos
I
k
t sin
I
k
t
sin
I
k
t cos
I
k
t
_
t R,
together form a basis for an n-dimensional subspace of solutions for (1.1).
Proof. By substituting into (1.1), we verify that each x
k
and y
k
is a solution. The fact that
x
k
, y
k
n
2
k=1
form a linearly independent set (according to Denition 1.1) may be deduced in
two ways.
Use Denition 1.1 by putting t = 0 and using the linear independence of u
R
k
, u
I
k
n
2
k=1

R
n
.
Use the fact that e
R
k
t
cos
I
k
t
n
2
k=1
and e
R
k
t
sin
I
k
t
n
2
k=1
together form a linearly inde-
pendent of functions in C
0
(R, R). (Exercise in section 1.7.)
To show that no other solutions of (1.1) exist, we introduce the non-singular matrix
P
_
u
R
1
u
I
1
. . . u
R
n
2
u
I
n
2
_
R
nn
and write the eigenvalue-eigenvector relationship as
AP = P,
where
diag
_
1
, . . . ,
n
2
_
with
k

_

R
k

I
k
I
k

R
k
_
R
22
k = 1, . . . ,
n
2
.
Hence we can describe the n-dimensional solution subspace of Theorem 1.3 in the more con-
venient matrix form
x(t) PE(t) R
n
, (1.5a)
where E : R R
nn
is dened by
E(t) diag(E
C
1
(t), . . . , E
C
n
2
(t)) t R.
Corollary 1.4. If n is even and A in (1.1) has
n
2
distinct complex-conjugate pairs of eigen-
values, there are no other solutions of (1.1) apart from the n-dimensional subspace described
in Theorem 1.3.
Proof. Exactly the same as for Corollary 1.2 with, t R, and E(t) being commuting
matrices.
Note that representing our n-dimensional subspace of solutions by (1.5a) means that x(0) =
P. More generally we could replace (1.5a) by
x(t) PE(t )P
1
R
n
(1.5b)
so that x() = . This again shows that, for any given R and any given R
n
, the
resulting initial value problem
6 Gerald Moore
A
_
_
0 0 1 0
0 0 0 1
2
3
2
0 0
4
3
3 0 0
_
_
R
44
has eigenvalues i, 2i with corresponding eigenvectors
_
3 2 3i 2i
T
and
_
3 4 6i 8i
T
.
Consequently, four linearly independent solutions for (1.1) are
_
_
3 cos t
2 cos t
3 sin t
2 sin t
_
_
,
_
_
3 sin t
2 sin t
3 cos t
2 cos t
_
_
,
_
_
3 cos 2t
4 cos 2t
6 sin 2t
8 sin 2t
_
_
,
_
_
3 sin 2t
4 sin 2t
6 cos 2t
8 cos 2t
_
_
.
Furthermore, the real eigenvalue-eigenvector relationship is given by
P
_
_
3 0 3 0
2 0 4 0
0 3 0 6
0 2 0 8
_
_
and
_
_
0 1
1 0
0 2
2 0
_
_
,
with
E(t)
_
_
cos t sin t
sin t cos t
cos 2t sin 2t
sin 2t cos 2t
_
_
.
PE(t) R
4
x(t) P
_
_
cos (t ) sin (t )
sin (t ) cos (t )
cos 2(t ) sin 2(t )
sin 2(t ) cos 2(t )
_
_
P
1
t R.
1.1.3 General distinct eigenvalues
Without going through the proofs in detail again, we consider the special case when A R
nn
has any n distinct eigenvalues.
Theorem 1.5. Suppose A in (1.1) has n (real or complex) distinct eigenvalues: i.e.
k
n
R
k=1

R and
R
k
i
I
k
n
C
k=1
C with n
R
+ 2n
C
= n, with corresponding eigenvectors u
k
n
R
k=1
R
n
and u
R
k
iu
I
k
n
C
k=1
C
n
. Then the set of n functions
u
k
e
k
t
n
R
k=1
and
_
u
R
k
u
I
k
E
C
k
(t)
n
C
k=1
in C
(R, R
n
) are linearly independent and form a basis for an n-dimensional subspace of
solutions for (1.1).
Proof. Since the eigenvalues are distinct, the eigenvector matrix
_
u
1
. . . u
n
R u
R
1
u
I
1
. . . u
R
n
C
u
I
n
C
R
nn
must be non-singular and thus, as in the discussion after Denition 1.1, the above set of n
functions must be linearly independent.
By dening the non-singular matrix
P
_
u
1
. . . u
n
R u
R
1
u
I
1
. . . u
R
n
C
u
I
n
C
R
nn
,
we can write the eigenvalue-eigenvector equation as
AP = P, where diag(
1
, . . . ,
n
R,
1
, . . . ,
n
C).
Hence we can also describe the solutions of Theorem 1.5 in the more convenient matrix form
x(t) PE(t) R
n
, (1.6a)
where E : R R
nn
is dened by
E(t) diag(e
1
t
, . . . , e
n
R
t
, E
C
1
(t), . . . , E
C
n
C
(t)) t R.
Corollary 1.6. If A in (1.1) has n distinct eigenvalues, there are no other solutions of (1.1)
apart from the n-dimensional subspace described in Theorem 1.5.
Proof. The same argument as for Corollaries 1.2 and 1.4.
Note that representing our n-dimensional subspace of solutions by (1.6a) again means that
x(0) = P. More generally we could replace (1.6a) by
x(t) PE(t )P
1
R
n
(1.6b)
n
, the
A
_
_
1 0 0
2 1 2
3 2 1
_
_
R
33
has real eigenvalue 1, with eigenvector
_
2 3 2
T
and complex-conjugate pair of eigenvalues
1 2i, with eigenvectors
_
0 i 1
T
. Consequently, three linearly independent solutions for
(1.1) are
e
t
_
_
2
3
2
_
_
, e
t
_
_
0
sin 2t
cos 2t
_
_
, e
t
_
_
0
cos 2t
sin 2t
_
_
.
8 Gerald Moore
P
_
_
2 0 0
3 0 1
2 1 0
_
_
and
_
_
1
1 2
2 1
_
_
,
with
E(t) e
t
_
_
1
cos 2t sin 2t
sin 2t cos 2t
_
_
.
PE(t) R
3
x(t) Pe
t
_
_
1
cos 2(t ) sin 2(t )
sin 2(t ) cos 2(t )
_
_
P
1
t R.
1.1.4 Linearly independent eigenvectors
The last special case we consider is when A R
nn
satises the following conditions:
A has n
R
real eigenvalues, counted in algebraic multiplicity;
A has n
C
complex-conjugate pairs of eigenvalues, counted in algebraic multiplicity;
A has a set of n = n
R
+ 2n
C
linearly independent eigenvectors.
Thus the key point now is that multiple eigenvalues are allowed, provided that there is still a
full set of eigenvectors: i.e. for each distinct eigenvalue, its geometric and algebraic multiplic-
ities must be equal.
Theorem 1.7. Suppose A in (1.1) satises the above conditions: i.e. it has eigenvalues
n
R
k=1
R and
R
k
i
I
k
n
C
k=1
C, with corresponding eigenvectors u
k
n
R
k=1
R
n
and
u
R
k
iu
I
k
n
C
k=1
C
n
. Then the set of n functions
u
k
e
k
t
n
R
k=1
and
_
u
R
k
u
I
k
E
C
k
(t)
n
C
k=1
in C
(R, R
n
) are linearly independent and form a basis for an n-dimensional subspace of
Proof. By assumption,
_
u
1
. . . u
n
R u
R
1
u
I
1
. . . u
R
n
C
u
I
n
C
R
nn
is non-singular and thus, as in the discussion after Denition 1.1, the above set of n functions
must be linearly independent.
By dening the non-singular matrix
P
_
u
1
. . . u
n
R u
R
1
u
I
1
. . . u
R
n
C
u
I
n
C
R
nn
,
we can write the eigenvalue-eigenvector equation as
AP = P, where diag(
1
, . . . ,
n
R,
1
, . . . ,
n
C).
Hence we can also describe the solutions of Theorem 1.7 in the more convenient matrix form
x(t) PE(t) R
n
, (1.7a)
where E : R R
nn
is dened by
E(t) diag(e
1
t
, . . . , e
n
R
t
, E
C
1
(t), . . . , E
C
n
C
(t)) t R.
Note that E(0) = I and, t R, E(t) is non-singular. Also note that the proof of Theorem 1.7
is just saying that the set of solutions
_
x
1
(t) . . . x
n
(t)
PE(t)
in (1.7a) is linearly independent, since
_
x
1
(0) . . . x
n
(0)
= P
is non-singular.
Corollary 1.8. Under the conditions of Theorem 1.7, there are no other solutions of (1.1)
apart from the n-dimensional subspace described there.
Proof. The same argument as for Corollaries 1.2 and 1.4.
Note that representing our n-dimensional subspace of solutions by (1.7a) again means that
x(0) = P. More generally we could replace (1.7a) by
x(t) PE(t )P
1
R
n
(1.7b)
n
, the
A
_
_
3 2 4
2 0 2
4 2 3
_
_
R
33
has eigenvalue 8, with eigenvector
_
2 1 2
T
and a double eigenvalue 1, with eigenvectors
_
1 0 1
T
and
_
1 4 1
T
. Note that we have chosen to make these last two eigenvectors
10 Gerald Moore
orthogonal, which is possible since A is symmetric. Consequently, three linearly independent
solutions for (1.1) are
e
8t
_
_
2
1
2
_
_
, e
t
_
_
1
0
1
_
_
, e
t
_
_
1
4
1
_
_
.
P
_
_
2 1 1
1 0 4
2 1 1
_
_
and
_
_
8
1
1
_
_
,
with
E(t)
_
_
e
8t
e
t
e
t
_
_
.
PE(t) R
3
x(t) P
_
_
e
8(t)
e
(t)
e
(t)
_
_
P
1
t R.
1.2 The matrix exponential function
For b R, the exponential function exp : R R is dened by
exp(b) e
b
k=0
1
k!
b
k
.
We would like to extend this denition to B R
nn
and hence we have to consider the
convergence of the matrix series
k=0
1
k!
B
k
I +B +
1
2
B
2
. . .. (1.8)
Using any matrix norm, this series converges absolutely since
k=0
1
k!
_
_
B
k
_
_

k=0
1
k!
|B|
k
= e
B
.
Hence we can use Theorem B.2 in the Appendix to show that (1.8) converges B R
nn
.
Denition 1.2. The matrix exponential function exp : R
nn
R
nn
is dened by
exp(B) e
B
k=0
1
k!
B
k
.
Example 1.5. We list a number of simple but fundamental applications of Denition 1.2.
If B aI R
nn
then e
B
= e
a
I.
For B R
22
dened by
B
_
0 b
b 0
_
,
it follws that
B
2k
= (1)
k
_
b
2k
0
0 b
2k
_
and B
2k+1
= (1)
k
_
0 b
2k+1
b
2k+1
0
_
k 0.
Hence, using the fact that terms may be re-arranged in an absolutely convergent series,
we obtain
e
B
=
k=0
(1)
k
(2k)!
_
b
2k
0
0 b
2k
_
+
k=0
(1)
k
(2k+1)!
_
0 b
2k+1
b
2k+1
0
_
=
_
cos(b) sin(b)
sin(b) cos(b)
_
.
If P R
nn
is non-singular, then B R
nn
it follows that
e
P
1
BP
= P
1
e
B
P
because
m
k=0
1
k!
_
P
1
BP
_
k
= P
1
_
m
k=0
1
k!
B
k
_
P m 0.
Hence we can just let m .
If B R
nn
is a block diagonal matrix then
B
_
_
B
1
.
.
.
B
m
_
_
B
k
_
B
k
1
.
.
.
B
k
m
_
_
e
B
_
e
B
1
.
.
.
e
B
m
_
_
.
One very important dierence between the real exponential function and the matrix expo-
nential function is that
e
b+c
= e
b
e
c
b, c R, (1.9)
but this does not extend to R
nn
in general.
Example 1.6. If
B
_
1 0
0 0
_
and C
_
0 0
1 0
_
then
B
p
= B p N and C
p
= 0 p 2
12 Gerald Moore
means that
e
B
=
_
e 0
0 1
_
and e
C
=
_
1 0
1 1
_
.
On the other hand
(B +C)
p
= B +C p N
means that
e
B+C
=
_
e 0
e 1 1
_
and so
e
B
e
C
=
_
e 0
1 1
_
,= e
B+C
and e
C
e
B
=
_
e 0
e 1
_
,= e
B+C
.
Nevertheless, (1.9) does generalise in an important special case.
Theorem 1.9. If B, C R
nn
and BC = CB then
e
B
e
C
= e
B+C
= e
C
e
B
.
Proof. Using the binomial theorem and the commutativity of B and C, we obtain
1
k!
(B +C)
k
=
i+j=k
_
1
i!
B
i
_
_
1
j!
C
j
_
k 0.
Hence Theorem B.3 in the Appendix gives the result.
Corollary 1.10. e
B
R
nn
is always non-singular with
_
e
B
1
= e
B
.
Example 1.7.
B
_
a b
b a
_
R
22
B = aI +
_
0 b
b 0
_
.
Consequently, Example 1.5 can be used to obtain
e
B
= e
a
_
cos(b) sin(b)
sin(b) cos(b)
_
.
We can now use the matrix exponential to construct solutions of (1.1), by using Theo-
rem C.7 in the Appendix.
Theorem 1.11. For xed A R
nn
, the function e
At
: R R
nn
is innitely dierentiable
with
d
p
dt
p
_
e
At
_
= A
p
e
At
p N.
Thus, for any R
n
,
x(t) e
At
(1.10)
is a solution of (1.1) and additionally satises x(0) = . Equivalently, we can state that each
column of e
At
solves (1.1) and also satises a particularly simple initial condition; i.e. for any
1 i n,
x(t) e
At
e
i
is a solution of (1.1) and also saties x(0) = e
i
. These solutions can be combined in the single
matrix dierential equation
d
dt
_
e
At
_
= Ae
At
with e
A0
= I;
thus clearly showing that the columns of e
At
are a set of linearly independent solutions of (1.1)
and form an n-dimensional subspace of C
(R, R
n
). Note that, if y C
1
(R, R
n
) is any other
solution of (1.1), with y(0) = , then
d
dt
_
e
At
y(t)
_
=
d
dt
_
e
At
_
y(t) + e
At
y(t)
= Ae
At
y(t) + e
At
Ay(t)
= 0.
Since in addition
e
At
y(t)[
t=0
= ,
this means that
e
At
y(t) = t R
and so
y(t) e
At
.
Combining these results, we obtain the following theorem; which includes Theorems 1.1, 1.3,
1.5 and 1.7 as special cases.
Theorem 1.12. For any A R
nn
, the solutions of (1.1) form precisely an n-dimensional
subspace of C
(R, R
n
) and this may be written concisely in the form (1.10) for any R
n
.
Note that we may equally well represent the solutions as
x(t) e
A(t)
t R
for any xed R: the dierence now being that x() = .
Corollary 1.13. For any given R and any given R
n
, the initial value problem
has the unique solution x
(R, R
n
) dened by
x
(t) e
A(t)
t R.
Example 1.8. We consider the solutions of (1.1) with n = 2 and
A
_
2 1
0 2
_
.
By writing
A = 2I +N where N
_
0 1
0 0
_
,
14 Gerald Moore
and using the fact that N
2
= 0, Theorem 1.9 gives
e
A
= e
2I
(I +N)
and hence
e
At
= e
2t
_
1 t
0 1
_
.
Thus the solutions of (1.1) may be written
x(t) e
At
= e
2t
_
1
+ t
2
2
_
or listed as
1
e
2t
_
1
0
_
and
2
e
2t
_
t
1
_
.
We conclude this section with an important characterisation of linear independence, which
can be used for solutions of (1.1).
Theorem 1.14. If x
k
n
k=1
C
(R, R
n
) are n solutions of (1.1) then they form a linearly
independent set (according to Denition 1.1) if and only if
det
__
x
1
(t) x
2
(t) . . . x
n
(t)
_
,= 0 t R.
Proof. We already know, from the discussion after Denition 1.1, that if x
k
n
k=1
C
(R, R
n
)
are not linearly independent then
det
__
x
1
(t) x
2
(t) . . . x
n
(t)
_
= 0 t R.
On the other hand, since x
k
n
k=1
C
(R, R
n
) are solutions of (1.1), there exist
k
n
k=1
R
n
such that
x
k
(t) = e
At
k
t R
for k = 1, . . . , n. In addition, the linear independence of x
k
n
k=1
C
(R, R
n
) means that
n
k=1
R
n
must also be linearly independent; since
n
k=1
c
k
x
k
(t) = e
At
n
k=1
c
k
k
t R.
Hence
det
__
x
1
(t) x
2
(t) . . . x
n
(t)
_
= det
_
e
At
_
det
__
1

2
. . .
n
_
t R
and the right-hand side is non-zero t R.
W(t) det
__
x
1
(t) x
2
(t) . . . x
n
(t)
_
t R
is an example of a Wronskian function and we will meet these important functions several
times later. Note that the proof of Theorem 1.14 gives the formula
W(t) = det
_
e
At
_
W(0) t R,
which is generalised in the following corollary.
Corollary 1.15. For any t, R
W(t) = det
_
e
A(t)
_
W().
Proof. Since x
k
n
k=1
C
(R, R
n
) are solutions of (1.1), we can write
x
k
(t) = e
A(t)
x
k
()
for k = 1, . . . , n.
1.3 Linear algebra and the matrix exponential
We rst use linear algebra to obtain an alternative formula for the matrix exponential when
A R
nn
has a full set of eigenvectors: i.e. we know from section A.1 in the Appendix that
A = PDP
1
,
where P R
nn
is non-singular and D R
nn
is block diagonal with 1 1 blocks corre-
sponding to the real eigenvalues of A and 22 blocks corresponding to the complex-conjugate
eigenvalues. Consequently, from Example 1.5 we know that
e
A
= Pe
D
P
1
.
Here e
D
is exactly the same shape as D, with e
for the real eigenvalues and

_

R
R
_
e
R
_
cos
I
sin
I
sin
I
cos
I
_
for complex-conjugate eigenvalues. Thus our solutions for (1.1) may be written
x(t) e
At
= Pe
Dt
P
1
.
A
_
_
0 1 1
1 0 1
1 1 0
_
_
R
33
is symmetric and thus has real eigenvalues, which are 1, 1, 2. The corresponding matrix
of eigenvectors can be written
P
_
_
1 1 1
0 2 1
1 1 1
_
_
,
so that we have
AP = PD where D diag(1, 1, 2),
and thus
e
At
= P
_
_
e
t
e
t
e
2t
_
_
P
1
.
16 Gerald Moore
We notice that the columns of P form a set of orthogonal vectors in R
3
, which is a property
of symmetric matrices. If we normalise these eigenvectors and write
Q
_
_
1
2
1
6
1
3
0
2
6
1
2
1
6
1
3
_
_
,
then Q is an orthogonal matrix. Hence our matrix exponential may be written
e
At
= Q
_
_
e
t
e
t
e
2t
_
_
Q
T
.
On the other hand, we do not yet have an alternative formula for e
A
when A R
nn
fails
to have a full set of eigenvectors. To achieve this, we again use the real Jordan canonical form
A = PJP
1
from section A.1 in the Appendix; where P R
nn
is non-singular and J R
nn
has block
diagonal form
J =
_
_
J
R
1
.
.
.
J
R
n
R
J
C
1
.
.
.
J
C
n
C
_
_
J
R
k
R
n
R
k
n
R
k
, J
C
k
R
2n
C
k
2n
C
k
n
R
k=1
n
R
k
+ 2
n
C
k=1
n
C
k
= n.
Here, each Jordan block either corresponds to a real eigenvalue
k
, so that
J
R
k
=
_
k
1
k
.
.
.
.
.
.
1
k
_
_
R
n
R
k
n
R
k
, (1.11)
or corresponds to a pair of complex-conjugate eigenvalues
R
k
i
I
k
, so that
J
C
k
=
_
k
I
k
.
.
.
.
.
.
I
k
_
_
R
2n
C
k
2n
C
k
k

_

R
k

I
k
I
k

R
k
_
R
22
I R
22
.
(1.12)
Hence, using Example 1.5, we have
e
A
= P
_
_
e
J
R
1
.
.
.
e
J
R
n
R
e
J
C
1
.
.
.
e
J
C
n
C
_
_
P
1
and all we have to do is construct formulae for exponentiating the Jordan blocks (1.11) and
(1.12).
For (1.11), we have J
R
k

k
I +N
k
where N
k
R
n
R
k
n
R
k
is the nilpotent matrix in (A.6).
From Example 1.5 and the nilpotency of N
k
, we know that
e
J
R
k
= e
k
_
I +N
k
+
1
2!
N
2
k
+ +
1
(n
R
k
1)!
N
n
R
k
1
k
_
;
which gives
e
J
R
k
= e
k
_
_
1 1
1
2!
. . .
1
(n
R
k
1)!
1 1
.
.
.
.
.
.
.
.
.
.
.
.
1
2!
.
.
.
1
1
_
_
.
For (1.12), we use (A.7) so that
J
C
k
=
_
k
.
.
.
.
.
.
k
_
_
+
_
_
0 I
0
.
.
.
.
.
.
I
0
_
_
and these two matrices commute. Hence Theorem 1.9 gives the product
e
J
C
k
=
_
_
e
k
.
.
.
.
.
.
.
.
.
e
k
_
_
I I
1
2!
I . . .
1
(n
C
k
1)!
I
I I
.
.
.
.
.
.
.
.
.
.
.
.
1
2!
I
.
.
.
I
I
_
_
,
where
e
k
= e
R
k
_
cos
I
k
sin
I
k
sin
I
k
cos
I
k
_
.
As an simple application of this result, we prove the following theorem.
Theorem 1.16. If A R
nn
then
det
_
e
A
_
= e
tr(A)
.
Proof. We use the structure of the Jordan form for A, as above, to obtain the two formulae
det
_
e
A
_
= det
_
e
J
_
=
n
R
k=1
det
_
e
J
R
k
_
n
C
k=1
det
_
e
J
C
k
_
and
tr (A) = tr (J)
=
n
R
k=1
tr
_
J
R
k
_
+
n
C
k=1
tr
_
J
C
k
_
.
On the one hand tr
_
J
R
k
_
= n
R
k
k
and tr
_
J
C
k
_
= 2n
C
k
R
k
: on the other hand, det
_
e
J
R
k
_
= e
n
R
k

k
and det
_
e
J
C
k
_
= e
2n
C
k

R
k
.
18 Gerald Moore
Now we can use the Jordan form representation of the matrix exponential, together with
(1.10), to write down precise formulae for all the solutions of (1.1). From
e
At
P
_
_
e
J
R
1
t
.
.
.
e
J
R
n
R
t
e
J
C
1
t
.
.
.
e
J
C
n
C
t
_
_
P
1
,
all we need to know is the structure of e
J
R
k
t
and e
J
C
k
t
for (1.11) and (1.12).
For (1.11) we have
e
J
R
k
t
= e
k
t
_
_
1 t
1
2!
t
2
. . .
1
(n
R
k
1)!
t
n
R
k
1
1 t
.
.
.
.
.
.
.
.
.
.
.
.
1
2!
t
2
.
.
.
t
1
_
_
. (1.13)
For (1.12) we have
e
J
C
k
t
=
_
_
e
k
t
.
.
.
.
.
.
.
.
.
e
k
t
_
_
I tI
1
2!
t
2
I . . .
1
(n
C
k
1)!
t
n
C
k
1
I
I tI
.
.
.
.
.
.
.
.
.
.
.
.
1
2!
t
2
I
.
.
.
tI
I
_
_
, (1.14)
where
e
k
t
= e
R
k
t
_
cos(
I
k
t) sin(
I
k
t)
sin(
I
k
t) cos(
I
k
t)
_
.
We may also just write down the set of solutions for (1.1) associated with each Jordan block.
Thus, if we consider (1.13) and denote the corresponding columns of P by p
1
, . . . , p
n
R
k
, then
the solutions for this block may be listed as follows.
e
k
t
p
1
e
k
t
p
2
+ t p
1
k
t
_
p
3
+ t p
2
+
1
2!
t
2
p
1
_
.
.
.
e
k
t
_
p
n
R
k
+ t p
n
R
k
1
+ +
1
(n
R
k
1)!
t
n
R
k
1
p
1
_
On the other hand, if we consider (1.14) and again denote the corresponding columns of P by
p
1
, . . . , p
2n
C
k
, then our list of 2n
C
k
solutions for this block is slightly dierent.
e
R
k
t
_
p
1
cos
I
k
t p
2
sin
I
k
t
_
e
R
k
t
_
p
1
sin
I
k
t + p
2
cos
I
k
t
_
e
R
k
t
_
[ p
3
+ t p
1
] cos
I
k
t [ p
4
+ t p
2
] sin
I
k
t
_
e
R
k
t
_
[ p
3
+ t p
1
] sin
I
k
t + [ p
4
+ t p
2
] cos
I
k
t
_
.
.
.
e
R
k
t
__
p
n
C
k
1
+ +
1
(n
C
k
1)!
t
n
C
k
1
p
1
_
cos
I
k
t
_
p
n
C
k
+ +
1
(n
C
k
1)!
t
n
C
k
1
p
2
_
sin
I
k
t
_
e
R
k
t
__
p
n
C
k
1
+ +
1
(n
C
k
1)!
t
n
C
k
1
p
1
_
sin
I
k
t +
_
p
n
C
k
+ +
1
(n
C
k
1)!
t
n
C
k
1
p
2
_
cos
I
k
t
_
Example 1.10. A Jordan normal form for
A
_
_
0 2 1 1
1 2 1 1
0 1 1 0
0 0 0 1
_
_
R
44
has
P
_
_
1 1 1 1
0 1 0 0
1 0 0 0
0 0 0 1
_
_
, P
1
_
0 0 1 0
0 1 0 0
1 1 1 1
0 0 0 1
_
_
and J
_
_
1 1
1 1
1
1
_
_
.
Hence we may write the solutions of (1.1) as
x(t) e
At
= Pe
Jt
P
1
= e
t
P
_
_
1 t
1
2
t
2
1 t
1
1
_
_
P
1
= e
t
_
_
1 t
1
2
t
2
2t
1
2
t
2
t
1
2
t
2
t
1
2
t
2
t 1 + t t t
1
2
t
2
t +
1
2
t
2
1 +
1
2
t
2 1
2
t
2
0 0 0 1
_
_
.
The Jordan form also tells us exactly how the solutions of (1.1) behave as t .
Theorem 1.17. Let
1
, . . . ,
n
be the eigenvalues of A.
All solutions of (1.1) tend to zero as t if and only if Re(
k
) < 0 1 k n.
All solutions of (1.1) are bounded for t [0, ) if and only if Re(
k
) 0 1 k n, any
zero eigenvalue has only 1 1 Jordan blocks associated with it and any purely imaginary
complex-conjugate pair of eigenvalues has only 2 2 Jordan blocks associated with it.
20 Gerald Moore
Proof. Any eigenvalue with a strictly positive real part provides solutions of (1.1) that tend
to innity exponentially in absolute value as t . Any eigenvalue with a strictly negative
real part provides solutions of (1.1) that tend to zero exponentially as t . Any eigenvalue
with a zero real part provides solutions of (1.1) that are bounded but do not tend to zero as
t . Unless the Jordan blocks are of minimal size, any eigenvalue with a zero real part also
provides solutions of (1.1) that tend to innity in absolute value polynomially as t .
1.4 Inhomogeneous systems
We have obtained the following two key results for the homogeneous system (1.1).
The solutions of (1.1) form precisely an n-dimensional subspace of C
(R, R
n
), which is
characterised in Theorem 1.12.
For any given R and any given R
n
(R, R
n
) dened by
x
(t) e
A(t)
t R
as in Corollary 1.13.
For A R
nn
and b C
0
(R, R
n
) given, in this section we consider the inhomogeneous system
x(t) = Ax(t) +b(t) t R (1.15)
and seek solutions x C
1
(R, R
n
). Now however, using the matrix exponential, we rst look
at the initial value problem and then discuss the whole set of solutions for (1.15).
Theorem 1.18. Given R
n
(1.15) augmented by x(0) =
C
1
(R, R
n
) dened by
x
(t) e
At
+ e
At
_
t
0
e
As
b(s) ds t R. (1.16)
Proof. We look for solutions in the form
x(t) e
At
y(t),
where y C
1
(R, R
n
) is to be determined. Thus y(0) = and
d
dt
_
e
At
y(t)
_
= A
_
e
At
y(t)
_
+b(t) t R
leads to
y(t) = e
At
b(t) t R. (1.17)
Since, however, the unique solution of the initial value problem for (1.17) is immediately
y(t) = +
_
t
0
e
As
b(s) ds t R;
multiplying by e
At
shows that (1.16) is the unique solution of our initial value problem.
Corollary 1.19. If b C
p
(R, R
n
) for p 1 then the unique solution x
C
p+1
(R, R
n
).
Proof. Directly from (1.16).
Theorem 1.18 is known as the variation of parameters or variation of constants formula for
the unique solution of (1.15) augmented by x(0) = . The particular solution x
p
C
1
(R, R
n
)
of (1.15), dened by
x
p
e
At
_
t
0
e
As
b(s) ds t R, (1.18)
corresponds to choosing = 0 in the initial value problem, i.e. x
p
(0) = 0. Theorem 1.18 may
be generalised in two simple ways.
If the initial condition is x() = , for any given R, then a similar argument replaces
(1.16) with
x
(t) e
A(t)
+ e
At
_
t
e
As
b(s) ds t R.
If we are only given b C
0
(I, R
n
), where I R is some interval, and the initial condition
x() = , for some I, then the unique solution x
C
1
(I, R
n
) analogous to (1.16) is
x
(t) e
A(t)
+ e
At
_
t
e
As
b(s) ds t I. (1.19)
Note that, when our right-hand side function and solution are restricted to an interval I R
then the important Denition 1.1 is generalised in the following obvious way.
k
p
k=1
C
0
(I, R
n
) is said to be linearly independent if
the equation
p
k=1
c
k
v
k
(t) = 0 t I
for c
k
p
k=1
k
= 0 for k = 1, . . . , p.
If we now consider the total set of solutions for (1.15), i.e.
_
e
At
+x
p
(t) t R : R
n
_
, (1.20)
where x
p
is dened in (1.18), then this is an n-dimensional ane subspace of C
1
(R, R
n
)
according to the following denition.
Denition 1.4. A subset / of a vector space 1 is called an ane subspace of 1 if there
exists
an element 1,
a linear subspace o 1
such that
/ +s : s o .
If o is nite-dimensional, we also say that dim
_
/
_
= dim
_
o
_
.
22 Gerald Moore
(We shall only use this denition when 1 is a subspace of C
0
(I, R
n
) for some interval I R.
Note also that
o m
1
m
2
: m
1
, m
2
/
and that, while o is unique, any element of o can be added to .) The two key points that
we wish to emphasise are as follows.
The dierence between any two solutions of (1.15) is a solution of (1.1).
The set of solutions for (1.15) is obtained by adding any particular solution of (1.15) to
each element of the set of solutions for (1.1).
Thus, in our case, the subspace o in the denition is the set of solutions for (1.1), as stated
in Theorem 1.12.
1.4.1 Method of undetermined coecients
Theorem 1.18 is the standard representation of solutions for the inhomogeneous system. We
remind you, however, that the method of undetermined coecients may be an easier way of
nding a particular solution x
p
C
(R, R
n
) of (1.15); i.e.
x
p
(t) = Ax
p
(t) +b(t) t R. (1.21)
This method, however, only applies for a very restricted (but important) class of right-hand
side functions in C
(R, R
n
); i.e. it relies on being able to write
b(t)
p
k=1
e
k
t
p
k
(t) cos(
k
t) +q
k
(t) sin(
k
t) t R, (1.22)
where p
k
, q
k
are polynomials with coecients in R
n
and any of
k
,
k
p
k=1
R are possibly
zero. If this assumption holds, a particular solution of (1.15) can be found by taking linear
combinations of the similar form
t
s
k
e
k
t
p
k
(t) cos(
k
t) + q
k
(t) sin(
k
t) :
here the degree of p
k
and q
k
is the maximum of the degrees of p
k
, q
k
and the extra power t
s
k
is only needed if there is resonance with a solution of the homogeneous system. The unknown
coecients in the polynomials p
k
, q
k
are determined by substitution into (1.21) and matching
with b in (1.22). In practice, we utilise the linearity of (1.21) and deal with each k in (1.22)
separately.
We rst describe in detail how the algorithm to determine x
p
works in the simpler non-
resonant situations.
a) If 0 is not an eigenvalue of A and
b(t)
m
i=0
d
i
t
i
t R,
with d
i
m
i=0
R
n
and d
m
,= 0; then we look for x
p
in the form
x
p
(t)
m
i=0
c
i
t
i
t R,
with c
i
m
i=0
R
n
to be determined. Matching coecients of t
i
in (1.21) gives
Ac
m
= d
m
Ac
i
= (i + 1)c
i+1
d
i
i = m1, . . . , 0,
and allows us to solve for c
i
0
i=m
in turn. Note the key condition that A is non-singular.
b) If R is not an eigenvalue of A and
b(t) e
t
m
i=0
d
i
t
i
t R,
with d
i
m
i=0
R
n
and d
m
,= 0; then we look for x
p
in the form
x
p
(t) e
t
m
i=0
c
i
t
i
t R,
with c
i
m
i=0
R
n
to be determined. Matching coecients of e
t
t
i
in (1.21) gives
(A I) c
m
= d
m
(A I) c
i
= (i + 1)c
i+1
d
i
i = m1, . . . , 0,
i
0
i=m
in turn. Note the key condition that A I is non-
singular. (Of course, case a above is just = 0.)
c) For ,= 0 R, i is not a complex-conjugate pair of eigenvalues for A and
b(t) cos(t)
m
i=0
d
c
i
t
i
+ sin(t)
m
i=0
d
s
i
t
i
t R,
with d
c
i
, d
s
i
m
i=0
R
n
and either d
c
m
,= 0 or d
s
m
,= 0. We look for x
p
in the form
x
p
(t) cos(t)
m
i=0
c
c
i
t
i
+ sin(t)
m
i=0
c
s
i
t
i
t R,
with c
c
i
, c
c
i
m
i=0
R
n
to be determined. Matching coecients of cos(t)t
i
and sin(t)t
i
in (1.21) gives
A
_
c
c
m
c
s
m
_
c
c
m
c
s
m
=
_
d
c
m
d
s
m
where
_
0
0
_
A
_
c
c
i
c
s
i
_
c
c
i
c
s
i
=
_
d
c
i
d
s
i
+ (i + 1)
_
c
c
i+1
c
s
i+1
i = m1, . . . , 0,
c
i
, c
s
i
0
i=m
in turn.
d) For , R with ,= 0, i is not a complex-conjugate pair of eigenvalues for A
and
b(t) e
t
_
cos(t)
m
i=0
d
c
i
t
i
+ sin(t)
m
i=0
d
s
i
t
i
_
t R,
24 Gerald Moore
with d
c
i
, d
s
i
m
i=0
R
n
and either d
c
m
,= 0 or d
s
m
,= 0. We look for x
p
in the form
x
p
(t) e
t
_
cos(t)
m
i=0
c
c
i
t
i
+ sin(t)
m
i=0
c
s
i
t
i
_
t R,
with c
c
i
, c
c
i
m
i=0
R
n
to be determined. Matching coecients of e
t
cos(t)t
i
and
e
t
sin(t)t
i
in (1.21) gives
A
_
c
c
m
c
s
m
_
c
c
m
c
s
m
=
_
d
c
m
d
s
m
where
_

_
A
_
c
c
i
c
s
i
_
c
c
i
c
s
i
= (i + 1)
_
c
c
i+1
c
s
i+1
_
d
c
i
d
s
i
i = m1, . . . , 0,
c
i
, c
s
i
0
i=m
in turn. (Of course, case c above is just = 0.)
Note that there are two simple alternative methods of solving the sets of linear equations
that arise from trigonometric right-hand side functions in cases c and d above. For example,
in case d we can solve
A
_
c
c
m
c
s
m
_
c
c
m
c
s
m
=
_
d
c
m
d
s
m
either by using the 2n 2n real system

_
A I I
I A I
_ _
c
c
m
c
s
m
_
=
_
d
c
m
d
s
m
_
or by using the n n complex system
[A ( i)I](c
c
m
+ ic
s
m
) = (d
c
m
+ id
s
m
).
This shows clearly that, if i is not a complex-conjugate pair of eigenvalues for A, then
the linear systems we need to solve in case d are non-singular.
Now we look at the more dicult cases, when a right-hand side function is part of the
solution for the homogeneous system (1.1): i.e. we have to deal with resonance situations
caused by particular eigenvalues of the coecient matrix A. To analyse such situations, we
need to work with dierent splittings of the real Jordan canonical form for A which separate
out these dangerous eigenvalues; e.g.
A
_
P
r
P
n
=
_
P
r
P
n
_
J
r
J
n
_
P
r
R
ns
, P
n
R
n(ns)
J
r
R
ss
, J
n
R
(ns)(ns)
;
where s is the algebraic multiplicity of the particular (real or complex-conjugate pair) eigen-
value we are considering and J
r
contains precisely the Jordan blocks associated with this
eigenvalue. Thus we can apply the transformations
x
p
(t)
_
P
r
P
n
_
y
r
(t)
y
n
(t)
_
t R and b(t)
_
P
r
P
n
_
b
r
(t)
b
n
(t)
_
t R
to (1.21) and obtain the equivalent decoupled system
y
r
(t) = J
r
y
r
(t) +b
r
(t) t R with y
r
C
(R, R
s
), b
r
C
(R, R
s
) (1.23a)
y
n
(t) = J
n
y
n
(t) +b
n
(t) t R with y
n
C
(R, R
ns
), b
n
C
(R, R
ns
). (1.23b)
The key feature of (1.23) is that (1.23b) is non-resonant with respect to the particular eigen-
value of A that we are considering, because none of the Jordan blocks associated with this
eigenvalue are contained in J
n
. On the other hand, each Jordan block contained in J
r
for
the resonant (1.23a) must be dealt with individually. Thus solving (1.23b) will be similar
to the four non-resonant cases considered already; but the solutions of (1.23a) will require
extra powers of t. To see how these ideas may be algorithmically implemented, we look at the
converses of the four non-resonant cases listed above.
a) 0 is an eigenvalue of A and
b(t)
m
i=0
d
i
t
i
t R,
with d
i
m
i=0
R
n
and d
m
,= 0. We obtain the transformed system (1.23), where J
r
contains precisely the Jordan blocks of A corresponding to the zero eigenvalue and where
b
r
(t)
m
i=0
d
i
t
i
, b
n
(t)
m
i=0
d
i
t
i
t R,
with
d
i
m
i=0
R
s
and
d
i
m
i=0
R
ns
. Hence we can construct a particular solution of
(1.23b) in the form
y
n
(t)
m
i=0
c
i
t
i
t R,
with c
i
m
i=0
R
ns
, exactly as in the non-resonant case a above; because zero is not
an eigenvalue of J
n
. On the other hand, if we look at the rst Jordan block contained in
J
r
, of size q q say, then part of (1.23a) can be written
z(t)
_
_
z
1
(t)
.
.
.
.
.
.
z
q
(t)
_
_
=
_
_
0 1
.
.
.
.
.
.
.
.
.
1
0
_
_
_
_
z
1
(t)
.
.
.
.
.
.
z
q
(t)
_
_
+
m
i=0
d
i
t
i
t R, (1.24)
with
d
i
m
i=0
R
q
: more concisely, we can display (1.24) as the backward recurrence
z
q
(t) =
m
i=0
_
d
i
_
q
t
i
z
j
(t) = z
j+1
(t) +
m
i=0
_
d
i
_
j
t
i
j = q 1, . . . , 1
t R.
Hence, looking at the last equation in (1.24), it is only necessary to integrate in order
to construct a particular solution for z
q
; i.e.
z
q
(t) =
m
i=0
_
d
i
_
q
1
i+1
t
i+1
t R.
26 Gerald Moore
Working backwards, we then nd particular solutions for all the other components of z;
these may nally be combined in the succinct formula
z(t)
q
j=1
m
i=0
i!
(i+j)!
t
i+j
N
j1
d
i
t R,
where N R
qq
is the nilpotent matrix in (1.24) and performs the shift operation
Na =
_
a
2
. . . a
q
0
T
a R
q
.
Thus we see precisely how extra powers of t are created in resonant situations. (An
equivalent way of obtaining our solution for (1.24) is to apply the variation of parameters
method (1.18) and make use of the special formula for the matrix exponential of nilpotent
matrices in section 1.3: i.e.
z(t) =
_
t
0
e
N(ts)
m
i=0
d
i
s
i
ds
=
q
j=1
m
i=0
1
(j1)!
N
j1
d
i
_
t
0
(t s)
j1
s
i
ds
and the integrals are easily evaluated using integration-by-parts.) The other Jordan
blocks contained in J
r
are dealt with in similar fashion.
b) R is an eigenvalue of A and
b(t) e
t
m
i=0
d
i
t
i
t R,
with d
i
m
i=0
R
n
and d
m
,= 0. We obtain the transformed system (1.23), where J
r
contains precisely the Jordan blocks of A corresponding to the eigenvalue and where
b
r
(t) e
t
m
i=0
d
i
t
i
, b
n
(t) e
t
m
i=0
d
i
t
i
t R
with
d
i
m
i=0
R
s
and
d
i
m
i=0
R
ns
. Hence we can construct a particular solution of
(1.23b) in the form
y
n
(t) e
t
m
i=0
c
i
t
i
t R,
with c
i
m
i=0
R
ns
, exactly as in the non-resonant case b above; because is not an
eigenvalue of J
n
. On the other hand, if we look at the rst Jordan block contained in J
r
,
of size q q say, then part of (1.23a) can be written
z(t)
_
_
z
1
(t)
.
.
.
.
.
.
z
q
(t)
_
_
=
_
_
1
.
.
.
.
.
.
.
.
.
1
_
_
_
z
1
(t)
.
.
.
.
.
.
z
q
(t)
_
_
+ e
t
m
i=0
d
i
t
i
t R,
with
d
i
m
i=0
R
q
. Hence, by looking for a particular solution in the form
z(t) e
t
z(t) t R,
we reduce the problem to the resonant case a above for z. So again we see how extra
powers of t are created in resonant situations. Again, the other Jordan blocks contained
in J
r
c) For ,= 0 R, i is a complex-conjugate pair of eigenvalues for A and
b(t) cos(t)
m
i=0
d
c
i
t
i
+ sin(t)
m
i=0
d
s
i
t
i
t R,
with d
c
i
, d
s
i
m
i=0
R
n
and either d
c
m
,= 0 or d
s
m
,= 0. We obtain the transformed system
(1.23), where J
r
contains precisely the real Jordan blocks of A corresponding to the pair
of eigenvalues i and where
b
r
(t) cos(t)
m
i=0
d
c
i
t
i
+ sin(t)
m
i=0
d
s
i
t
i
b
n
(t) cos(t)
m
i=0
d
c
i
t
i
+ sin(t)
m
i=0
d
s
i
t
i
t R,
with
d
c
i
,

d
s
i
m
i=0
R
s
and
d
c
i
,

d
s
i
m
i=0
R
ns
. Hence we can construct a particular
solution of (1.23b) in the form
y
n
(t) cos(t)
m
i=0
c
c
i
t
i
+ sin(t)
m
i=0
c
s
i
t
i
t R,
with c
c
i
, c
s
i
m
i=0
R
ns
, exactly as in the non-resonant case c above; because i are
not eigenvalues of J
n
. On the other hand, if we look at the rst Jordan block contained
in J
r
, of size 2q 2q say, then part of (1.23a) can be written
z(t)
_
_
z
1
(t)
.
.
.
.
.
.
z
2q
(t)
_
_
=
_
_
I
.
.
.
.
.
.
.
.
.
I
_
_
_
z
1
(t)
.
.
.
.
.
.
z
2q
(t)
_
_
+ cos(t)
m
i=0
d
c
i
t
i
+ sin(t)
m
i=0
d
s
i
t
i
t R; (1.25)
with z C
(R, R
2q
),
_
0
0
and
d
c
i
,

d
s
i
m
i=0
R
2q
. Looking for a solution of
(1.25) in the form
z(t) cos(t)z
c
(t) + sin(t)z
s
(t) t R,
where z
c
, z
s
C
(R, R
2q
) are to be determined, we obtain the coupled system
Z(t) =
JZ(t) +Z(t) +
m
i=0
D
i
t
i
, (1.26)
28 Gerald Moore
where

J R
2q2q
is the matrix in (1.25) and
Z(t)
_
z
c
(t) z
s
(t)
, D
i

_
d
c
i
d
s
i
_
i = 0, . . . , m :
but by writing (1.26) in the 2 2 block form
Z
j
(t) = Z
j
(t) +Z
j
(t) +Z
j+1
(t) +
m
i=0
D
ij
t
i
j = 1, . . . , q 1
Z
q
(t) = Z
q
(t) +Z
q
(t) +
m
i=0
D
iq
t
i
,
(1.27)
where
Z
j
(t)
_
z
c
2j1
(t) z
s
2j1
(t)
z
c
2j
(t) z
s
2j
(t)
_
and D
ij

_
_
_
d
c
i
_
2j1
_
d
s
i
_
2j1
_
d
c
i
_
2j
_
d
s
i
_
2j
_
_
i = 0, . . . , m
for j = 1, . . . , q, we can see this is a mixture of resonant and non-resonant equations.
This is because the key linear transformation in (1.27) has the property that
_
a b
b a
_
+
_
a b
b a
_
= 2
_
a b
b a
_
_
a b
b a
_
+
_
a b
b a
_
= 0
a, b R :
i.e. one two dimensional subspace of R
22
is mapped to zero, while another is invariant
since
2
_
a b
b a
_
= 2
_
b a
a b
_
.
Thus, by using the properties of projections and direct sums from M2PM2, we can de-
compose all elements of R
22
into sums of matrices of these two types: i.e. we dene the
projection o : R
22
R
22
by
o
_
a
11
a
12
a
21
a
22
_
=
_
a
22
a
21
a
12
a
11
_
and then the direct sum
_
a
11
a
12
a
21
a
22
_

1
2
(I +o)
_
a
11
a
12
a
21
a
22
_
+
1
2
(I o)
_
a
11
a
12
a
21
a
22
_
=
1
2
_
a
11
+ a
22
a
12
a
21
a
21
a
12
a
22
+ a
11
_
+
1
2
_
a
11
a
22
a
12
+ a
21
a
21
+ a
12
a
22
a
11
_
.
Hence we can split
Z
j
(t) =
1
2
(I +o)Z
j
(t) +
1
2
(I o)Z
j
(t)
Z
n
j
(t) +Z
r
j
(t)
j = 1, . . . , q
and
D
ij
=
1
2
(I +o)D
ij
+
1
2
(I o)D
ij
D
n
ij
+D
r
ij
i = 0, . . . , m
j = 1, . . . , q
and then rewrite (1.27) in the two parts
Z
r
j
(t) = Z
r
j+1
(t) +
m
i=0
D
r
ij
t
i
j = 1, . . . , q 1
Z
r
q
(t) =
m
i=0
D
r
iq
t
i
(1.28a)
and
Z
n
j
(t) = 2Z
n
j
(t) +Z
n
j+1
(t) +
m
i=0
D
n
ij
t
i
j = 1, . . . , q 1
Z
n
q
(t) = 2Z
n
q
(t) +
m
i=0
D
n
iq
t
i
.
(1.28b)
We can solve (1.28a) like the previous resonant case a and obtain
Z
r
(t)
_
Z
r
1
(t) . . . Z
r
q
(t)
T
=
q
j=1
m
i=0
i!
(i+j)!
t
i+j
N
j1
c
D
r
i
t R,
where N
c
R
2q2q
is the nilpotent matrix
N
c

_
_
0 I
.
.
.
.
.
.
.
.
.
I
0
_
_
and
D
r
i

_
D
r
i1
. . . D
r
iq
T
i = 0, . . . , m.
Thus again we see precisely how extra powers of t are created in resonant situations. We
can solve (1.28b), in a similar way to the previous non-resonant case c, by looking for a
solution in the form
Z
n
j
(t)
m
i=0
C
ij
t
i
j = 1, . . . , q where C
ij
m, q
i=0, j=1
R
22
.
Thus we rst obtain
C
mq
=
1
2
1
D
n
mq
C
iq
=
1
2
1
_
(i + 1)C
i+1,q
D
n
iq
_
i = m1, . . . , 0
and then work backwards to construct
C
mj
=
1
2
1
_
C
m,j+1
+D
n
mj
_
C
ij
=
1
2
1
_
(i + 1)C
i+1,j
C
i,j+1
D
n
ij
_
i = m1, . . . , 0
for j = q 1, . . . , 1. Finally, forming the combination Z(t) = Z
n
(t) + Z
r
(t) gives our
complete solution for (1.27). The other Jordan blocks contained in J
r
are dealt with in
similar fashion.
30 Gerald Moore
d) For , R, with ,= 0, i is a complex-conjugate pair of eigenvalues for A and
b(t) e
t
_
cos(t)
m
i=0
d
c
i
t
i
+ sin(t)
m
i=0
d
s
i
t
i
_
t R,
with d
c
i
, d
s
i
m
i=0
R
n
and either d
c
m
,= 0 or d
s
m
,= 0. We obtain the transformed system
(1.23), where J
r
contains precisely the real Jordan blocks of A corresponding to the pair
of eigenvalues i and where
b
r
(t) e
t
_
cos(t)
m
i=0
d
c
i
t
i
+ sin(t)
m
i=0
d
s
i
t
i
_
b
n
(t) e
t
_
cos(t)
m
i=0
d
c
i
t
i
+ sin(t)
m
i=0
d
s
i
t
i
_ t R,
with
d
c
i
,

d
s
i
m
i=0
R
s
and
d
c
i
,

d
s
i
m
i=0
R
ns
. Hence we can construct a particular
solution of (1.23b) in the form
y
n
(t) e
t
_
cos(t)
m
i=0
c
c
i
t
i
+ sin(t)
m
i=0
c
s
i
t
i
_
t R,
with c
c
i
, c
s
i
m
i=0
R
ns
, exactly as in the non-resonant case d above; because i are
not eigenvalues of J
n
. On the other hand, if we look at the rst Jordan block contained
in J
r
, of size 2q 2q say, then part of (1.23a) can be written
z(t)
_
_
z
1
(t)
.
.
.
.
.
.
z
2q
(t)
_
_
=
_
_
I
.
.
.
.
.
.
.
.
.
I
_
_
_
z
1
(t)
.
.
.
.
.
.
z
2q
(t)
_
_
+ e
t
_
cos(t)
m
i=0
d
c
i
t
i
+ sin(t)
m
i=0
d
s
i
t
i
_
t R; (1.29)
with
_

and
d
c
i
,

d
s
i
m
i=0
R
2q
. Hence, by looking for a particular solution in
the form
z(t) e
t
z(t) t R,
we reduce the problem to the resonant case c above for z. Again, the other Jordan
blocks contained in J
r
Example 1.11. With n = 2 and
A
_
2 1
1 2
_
, b(t)
_
2e
t
3t
_
,
we note that the eigenvalues of A are 1 and 3.
We use p = 2 and
b(t) 3te
2
+ 2e
t
e
1
.
0 is not an eigenvalue of A, so for the right-hand side
1
i=0
d
i
t
i
d
0
= 0, d
1
= 3e
2
we search for a solution of the form
tc
1
+c
0
,
with c
0
, c
1
R
2
to be determined. This gives
c
1
=
_
1
2
_
and c
0
=
1
3
_
4
5
_
.
1 is an eigenvalue of A, so for the right-hand side
e
t
0
i=0
d
i
t
i
d
0
= 2e
1
we need the Jordan canonical form
AP = PJ,
where
J
_
1 0
0 3
_
, P
_
1 1
1 1
_
, P
1
1
2
_
1 1
1 1
_
.
(In this case, the Jordan canonical form is just the eigenvalue-eigenvector decomposi-
tion.) Hence, with x(t) e
t
Py(t) and d
0
P
d
0
, we need to solve
y(t) =
_
0 0
0 2
_
y(t) +
d
0
with

d
0

_
1 1
T
. The non-resonant part
y
2
(t) = 2y
2
(t) + 1
easily gives y
2
(t) =
1
2
. For the resonant part
y
1
(t) = 1,
we have y
1
(t) = t. Thus our solution is
y(t) =
_
t
1
2
_
x(t) = e
t
_
t +
1
2
t
1
2
_
.
Thus a particular solution of the inhomogeneous system is
x
p
(t) t
_
1
2
_

1
3
_
4
5
_
+ te
t
_
1
1
_
+
1
2
e
t
_
1
1
_
.
Since the eigenvectors corresponding to 1, 3 are
_
1 1
T
and
_
1 1
T
respectively, the
columns of P, the general solution of the inhomogeneous system is
1
e
t
_
1
1
_
+
2
e
3t
_
1
1
_
+ t
_
1
2
_

1
3
_
4
5
_
+ te
t
_
1
1
_
+
1
2
e
t
_
1
1
_
.
for arbitrary R
2
.
32 Gerald Moore
Example 1.12. We use the method of undetermined coecients to construct a particular
solution for
_
_
x
1
(t)
x
2
(t)
x
3
(t)
x
4
(t)
_
_
=
_
_
0 1 0 0
0 0 0 0
0 0 1 2
0 0 2 1
_
_
_
_
x
1
(t)
x
2
(t)
x
3
(t)
x
4
(t)
_
_
+
_
t
2
+ e
t
cos(2t)
_
_
_
1
1
1
1
_
_
.
Note that the coecient matrix is already in real Jordan canonical form.
a) We rst consider the right-hand side t
2
_
1 1 1 1
T
.
The non-resonant part is
_
x
3
(t)
x
4
(t)
_
=
_
1 2
2 1
_ _
x
3
(t)
x
4
(t)
_
+ t
2
_
1
1
_
,
and so we need to look for a particular solution in the form
_
x
3
(t)
x
4
(t)
_
= c
0
+c
1
t +c
2
t
2
.
Matching powers of t then gives
_
1 2
2 1
_
c
2
+
_
1
1
_
= 0 c
2
=
1
5
_
1
3
_
_
1 2
2 1
_
c
1
= 2c
2
c
1
=
2
25
_
7
1
_
_
1 2
2 1
_
c
0
= c
1
c
0
=
2
125
_
9
13
_
.
The resonant part is
_
x
1
(t)
x
2
(t)
_
=
_
0 1
0 0
_ _
x
1
(t)
x
2
(t)
_
+ t
2
_
1
1
_
.
which easily gives
x
2
(t) =
1
3
t
3
and x
1
(t) =
1
12
t
4
+
1
3
t
3
.
Hence our particular solution for this right-hand side is
x(t)
2
125
_
_
0
0
9
13
_
_
+
2
25
_
_
0
0
7
1
_
_
t +
1
5
_
_
0
0
1
3
_
_
t
2
+
1
3
_
_
1
1
0
0
_
_
t
3
+
1
12
_
_
1
0
0
0
_
_
t
4
.
b) Now we consider the right-hand side e
t
cos(2t)
_
1 1 1 1
T
.
The non-resonant part is
_
x
1
(t)
x
2
(t)
_
=
_
0 1
0 0
_ _
x
1
(t)
x
2
(t)
_
+ e
t
cos(2t)
_
1
1
_
.
and so we need to look for a particular solution in the form
_
x
1
(t)
x
2
(t)
_
= e
t
c
c
cos(2t) +c
s
sin(2t).
Matching coecients then gives
c
c
=
1
25
_
2 5
T
and c
c
=
1
25
_
14 10
T
.
The resonant part is
_
x
3
(t)
x
4
(t)
_
=
_
1 2
2 1
_ _
x
3
(t)
x
4
(t)
_
+ e
t
cos(2t)
_
1
1
_
;
so we must re-write the right-hand side as
e
t
cos(2t)
_
1
1
_
=
1
2
e
t
__
cos(2t) sin(2t)
cos(2t) + sin(2t)
_
+
_
cos(2t) + sin(2t)
cos(2t) sin(2t)
__
=
1
2
e
t
__
cos(2t) sin(2t)
sin(2t) cos(2t)
_ _
1
1
_
+
_
cos(2t) sin(2t)
sin(2t) cos(2t)
_ _
1
1
__
.
First we look for a solution of
_
z
1
(t)
z
2
(t)
_
=
_
1 2
2 1
_ _
z
1
(t)
z
2
(t)
_
+
1
2
e
t
_
cos(2t) sin(2t)
sin(2t) cos(2t)
_ _
1
1
_
in the form
z(t) e
t
_
cos(2t) sin(2t)
sin(2t) cos(2t)
_ _
A
B
_
.
Matching coecients then gives A =
1
8
and B =
1
8
. Secondly, we look for a solution
of
_
z
1
(t)
z
2
(t)
_
=
_
1 2
2 1
_ _
z
1
(t)
z
2
(t)
_
+
1
2
e
t
_
cos(2t) sin(2t)
sin(2t) cos(2t)
_ _
1
1
_
in the form
z(t) te
t
_
cos(2t) sin(2t)
sin(2t) cos(2t)
_ _
C
D
_
.
Matching coecients then gives C =
1
2
and D =
1
2
.
Hence our particular solution for this right-hand side is
x(t) e
t
_
_
cos(2t)
_
_
2
25
1
5
1
8
1
8
_
_
+ sin(2t)
_
_
14
25
2
5
1
8
1
8
_
_
+ t cos(2t)
_
_
0
0
1
2
1
2
_
_
+ t sin(2t)
_
_
0
0
1
2
1
2
_
_
_
_
.
34 Gerald Moore
1.5 Higher-order scalar equations
In this section, we analyse the solutions of the n
th
order homogeneous scalar linear equation
/
_
x
_
(t) x
(n)
(t) + a
n1
x
(n1)
(t) + + a
0
x(t) = 0 t R : (1.30a)
here a
j
n1
j=0
R and we seek solutions x C
n
(R, R). We also consider the inhomogeneous
case
x
(n)
(t) + a
n1
x
(n1)
(t) + + a
0
x(t) = b(t) t I, (1.30b)
where b C
0
(I, R) is a given function and we again seek solutions x C
n
(I, R). In M1M2,
you learnt that any higher-order dierential equation could always be transformed into an
equivalent rst-order system; so we will now perform this transformation on (1.30) and dene
the companion matrix A R
nn
by
A
_
_
0 1 0 0 0
0 0 1 0 0
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
0 0 0 0 1
a
0
a
1
a
2
a
3
. . . a
n1
_
_
: (1.31)
hence our rst-order system equivalent to (1.30a) is
y(t) = Ay(t) t R, (1.32)
where we seek solutions y C
1
(R, R
n
). The solutions x C
n
(R, R) of (1.30a) are related to
the solutions y C
1
(R, R
n
) of (1.32) through the correspondence
y(t)
_
x(t) x
(1)
(t) x
(n1)
(t)
T
. (1.33)
Thus we can describe the solution set for (1.30a) by making use of our previous results for
rst-order systems; once we have a denition for linearly independence of scalar functions,
analogous to Denition 1.1.
k
p
k=1
C
0
(R, R) is said to be linearly independent if
the equation
p
k=1
c
k
v
k
(t) = 0 t R
for c
k
p
k=1
k
= 0 for k = 1, . . . , p.
Note that, when sets of scalar and vector functions are related through (1.33), then Deni-
tions 1.1 and 1.5 coincide.
Theorem 1.20. The solutions of (1.30a) form an n-dimensional subspace of C
(R, R).
Proof. Directly from Theorem 1.12.
Similarly, our rst-order system equivalent to (1.30b) is
y(t) = Ay(t) + b(t)e
n
t I, (1.34)
1
(I, R
n
). Thus again we can describe the solution set for
(1.30b), by making use of our previous results for rst-order systems and a denition for
linearly independence of scalar functions analogous to Denition 1.3.
k
p
k=1
C
0
(I, R) is said to be linearly independent if
the equation
p
k=1
c
k
v
k
(t) = 0 t I
for c
k
p
k=1
k
= 0 for k = 1, . . . , p.
Hence we have already obtained the following result.
Theorem 1.21. The solutions of (1.30b) form an n-dimensional ane subspace of C
n
(I, R):
i.e. if x
p
C
n
(I, R) is any particular solution of (1.30b), then our n-dimensional ane
subspace can be written
x
p
+ x : where x C
(R, R) is any solution of (1.30a), as described in Theorem 1.20.

Proof. Directly from (1.20).
1.5.1 Solutions for the homogeneous equation
Now we will describe a simple algorithm for generating all the solutions of (1.30a). Firstly,
we relate the coecients of / to the eigenvalues of the companion matrix A.
Lemma 1.22. The characteristic polynomial of A in (1.31) is
p
A
()
n
+ a
n1
n1
+ + a
1
+ a
0
. (1.35)
Proof. p
A
() is the determinant of
I A
_
_
1 0 0 0 0
0 1 0 0 0
.
.
. 0
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
. 0
.
.
.
0
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
1 0
0 0 0 0 1
a
0
a
1
a
2
a
3
. . . a
n2
+ a
n1
_
_
.
Hence, by expanding along the last column,
p
A
()
n1
( + a
n1
) + d
n2
36 Gerald Moore
where
d
k
det
_
_
1 0 0 0 0
0 1 0 0 0
.
.
. 0
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
. 0
.
.
.
0
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
1 0
0 0 0 0 1
a
0
a
1
a
2
a
3
. . . a
k1
a
k
_
_
k = 1, . . . , n 2.
But, by expanding along the last column here, we obtain the recursion
d
k
= a
k
k
+ d
k1
k = 2, . . . , n 2.
Thus, with the starting value
d
1
det
_
1
a
0
a
1
_
= a
1
+ a
0
,
we obtain the result.
Secondly, we determine all the solutions of (1.30a) by writing down the identity
(t) e
t
/
_
_
(t) = p
A
()e
t
; (1.36)
which holds t R and C. We already knew that solutions of (1.32), equivalently
solutions of (1.30a), are derived from the eigenvalues of A; but (1.36) makes the connection
much more precise.
If
k
R is a root of p
A
(), then e
k
t
is a solution of (1.30a).
If
R
k
i
I
k
C is a complex-conjugate pair of roots for p
A
(), then e
R
k
t
cos(
I
k
t) and
e
R
k
t
sin(
I
k
t) are a pair of real solutions for (1.30a).
Now how do we obtain other solutions of (1.30a) corresponding to multiple roots of p
A
()?
The answer is that we can simply dierentiate the key identity (1.36) with respect to to
obtain
(t) te
t
/
_
_
(t) = tp
A
()e
t
+ p
A
()e
t
.
Since double roots of p
A
() also satisfy p
A
() = 0, this gives us more solutions of (1.30a).
If
k
is a real root of p
A
(), with multiplicity at least two, then te
k
t
is a solution of
(1.30a).
If
R
k
i
I
k
A
(), with each having multi-
plicity at least two, then te
R
k
t
cos(
I
k
t) and te
R
k
t
sin(
I
k
t) are a pair of real solutions for
(1.30a).
The general principle is now clear, since we can dierentiate (1.36) m times with respect to
and obtain
(t) t
m
e
t
/
_
_
(t) = t
m
p
A
()e
t
+ mt
m1
p
A
()e
t
+ + p
(m)
A
()e
t
, (1.37)
where the binomial coecients
_
m
i
_
for i = 0, . . . , m appear on the right-hand side. Thus a
root of p
A
() with multiplicity m + 1 will satisfy p
(j)
A
() = 0
m
j=0
.
If
k
is a real root of p
A
(), with multiplicity equal to m+1, then t
j
e
k
t
m
j=0
are m+1
solutions of (1.30a).
If
R
k
i
I
k
A
(), with each having mul-
tiplicity equal to m + 1, then t
j
e
R
k
t
cos(
I
k
t)
m
j=0
and t
j
e
R
k
t
sin(
I
k
t)
m
j=0
are 2(m + 1)
real solutions for (1.30a).
The above analysis shows that we have constructed n real solutions for (1.30a), which we
choose to label
j
n
j=1
C
(R, R). To recap, if there are n

R
distinct real roots for (1.35),
then each real root
k
(with multiplicity n
R
k
) contributes a set of n
R
k
solutions
_
t
j
e
k
t
_
n
R
k
1
j=0
.
Similarly, if there are n
C
distinct complex-conjugate pairs of roots for (1.35), then each pair
R
k
i
I
k
(each with multiplicity n
C
k
) contributes a set of 2n
C
k
real solutions
_
t
j
e
R
k
t
cos(
I
k
t)
_
n
C
k
1
j=0
and
_
t
j
e
R
k
t
sin(
I
k
t)
_
n
C
k
1
j=0
.
Thus we have constructed a total of
n =
n
R
k=1
n
R
k
+ 2
n
C
k=1
n
C
k
real solutions for (1.30a), and these are our
j
n
j=1
C
(R, R). We must now show that

these functions are linearly independent according to Denition 1.5.
Theorem 1.23.
j
n
j=1
C
(R, R) is a linearly independent set.

Proof. It is simplest to work with the distinct roots z
i
r
i=1
C of (1.35), each of multiplicity
m
i
r
i=1
: thus we want to estabish the linear independence of the n complex functions
t
j
e
z
1
t
j = 0, . . . , m
1
1
t
j
e
z
2
t
j = 0, . . . , m
2
1
.
.
.
.
.
.
t
j
e
z
r
t
j = 0, . . . , m
r
1
r
i=1
m
i
= n.
Hence, given n complex scalars c
ij
, we wish to show that
r
i=1
m
i
1
j=0
c
ij
t
j
e
z
i
t
= 0 t R (1.38a)
can only be true if
c
ij
= 0 i = 1, . . . , r; j = 0, . . . , m
i
1. (1.38b)
By introducing the polynomials
p
i
(t)
m
i
1
j=0
c
ij
t
j
i = 1, . . . , r,
38 Gerald Moore
we can re-write (1.38a) as
r
i=1
p
i
(t)e
z
i
t
= 0 t R. (1.38c)
Since our proof by contradiction is based on assuming that (1.38b) does not hold, we can
assume (without loss of generality) that the polynomial p
r
is not identically zero. Then we
begin to simplify (1.38c), by writing it in the form
p
1
(t) +
r
i=2
p
i
(t)e
(z
i
z
1
)t
= 0 t R. (1.38d)
By successively dierentiating (1.38d) (at most m
1
times), we can eliminate p
1
and obtain
r
i=2
p
i
(t)e
(z
i
z
1
)t
= 0 t R,
which is equivalent to
r
i=2
p
i
(t)e
z
i
t
= 0 t R :
the important fact being that p
i
r
i=2
have precisely the same degrees as p
i
r
i=2
, and in
particular that p
r
is not identically zero. Repeating the argument, we eventually arrive at the
simple equation
p
r
(t)e
z
r
t
= 0 t R,
where p
r
is not identically zero: but this is clearly a contradiction.
Finally, we emphasise that C
(R, R
nn
), dened by
(t)
_
1
(t)
2
(t) . . .
n
(t)
1
(t)
2
(t) . . .
n
(t)
.
.
.
.
.
.
.
.
.
(n1)
1
(t)
(n1)
2
(t) . . .
(n1)
n
(t)
_
_
t R, (1.39)
satises det ((t)) ,= 0 t R. This result follows from Theorem 1.14, since
_
1
(t)
1
(t)
.
.
.
(n1)
1
(t)
_
_
,
_
2
(t)
2
(t)
.
.
.
(n1)
2
(t)
_
_
, . . . ,
_
n
(t)
n
(t)
.
.
.
(n1)
n
(t)
_
_
is a set of n linearly independent solutions for the equivalent rst-order system (1.32). By
consideration of the equivalent rst-order system, we already know from Corollary 1.13 that,
given any R and any R
n
, there is a unique solution x
(R, R) for the initial

value problem (1.30a) augmented by
x() =
1
, x() =
2
, . . . , x
(n1)
() =
n
. (1.40)
Using the basis of solutions
j
n
j=1
constructed above, we can write
x
(t) =
n
j=1
j
(t) t R,
where
R
n
is to be determined, and imposing the initial conditions leads to the linear
algebra problem
()
= ,
where () R
nn
is non-singular. For simple problems we can apply Cramers rule to solve
this matrix problem: i.e. if we dene W C
(R, R) by
W(t) det ((t)) t R, (1.41)
emphasising that this is a Wronskian as described after Theorem 1.14, and W
ij
C
(R, R)
by
W
ij
(t) det (
ij
(t))
_
i, j = 1, . . . , n
t R,
(1.42)
where
ij
(t)
n
i,j=1
are obtained from (t) by replacing the i
th
column with e
j
, then Cramers
rule gives the formula
i
=
n
j=1
W
ij
()
W()

j
i = 1, . . . , n.
Note that, by using Corollary 1.15, Theorem 1.16 and the structure of the companion matrix
A in (1.31), it is sometimes easier to apply the formula
W(t) = e
a
n1
(ts)
W(s) for any t, s R. (1.43)
Example 1.13. The scalar homogeneous equation
...
x(t) + x(t) + x(t) + x(t) = 0 t R
has
p
A
()
3
+
2
+ + 1,
whose roots are i and 1. Hence our linearly independent set of 3 solutions is
1
(t) cos(t),
2
(t) sin(t),
3
(t) e
t
and our general solution is
x(t) =
1
cos(t) +
2
sin(t) +
3
e
t
t R
for arbitrary R
3
. Since
W(t)
cos(t) sin(t) e
t
sin(t) cos(t) e
t
cos(t) sin(t) e
t
t R
satises
W(t) = e
t
W(0) t R
40 Gerald Moore
according to (1.43), where
W(0) =
1 0 1
0 1 1
1 0 1
= 2,
we have
W(t) = 2e
t
t R.
Then
W
11
(t) = e
t
cos(t) sin(t) W
12
(t) = 2e
t
sin(t) W
13
(t) = e
t
cos(t) + sin(t)
W
21
(t) = e
t
cos(t) + sin(t) W
22
(t) = 2e
t
cos(t) W
23
(t) = e
t
cos(t) sin(t)
W
31
(t) = 1 W
32
(t) = 0 W
33
(t) = 1
means that our unique solution satisfying the initial conditions
x() =
1
, x() =
2
, x() =
3
is
x(t) = cos(t)
_
1
2
1
[cos() sin()]
2
sin()
1
2
3
[cos() + sin()]
_
+sin(t)
_
1
2
1
[cos() + sin()] +
2
cos() +
1
2
3
[cos() sin()]
_
+e
t
_
1
2
1
e
+
1
2
3
e
_
t R.
1.5.2 Solutions for the inhomogeneous equation
We show how to use
j
n
j=1
, the linearly independent set of n particular solutions for (1.30a)
constructed in subsection 1.5.1, to construct not only a particular solution x
p
C
n
(I, R) for
(1.30b) but also the general solution for (1.30b). (The technique we describe is the scalar
analogue of the variation of constants method in section 1.4.) To achieve this aim, we make
use of the non-singular matrices (t) t R dened in (1.39).
We seek x
p
C
n
(I, R) in the form
x
p
(t)
n
k=1
k
(t)v
k
(t) t I, (1.44)
where v
k
n
k=1
C
1
(I, R) are to be determined. By insisting that v C
1
(I, R
n
) satises
(t) v(t) = b(t)e
n
t I, (1.45)
where v C
1
(I, R
n
) is dened by
v(t)
_
v
1
(t) v
2
(t) . . . v
n
(t)
T
t I,
we can force x
p
C
n
(I, R) and x
p
to satisfy (1.30b). This follows from dierentiating (1.44)
to obtain
x
p
(t) =
n
k=1
k
(t)v
k
(t) +
k
(t) v
k
(t) =
n
k=1
k
(t)v
k
(t) t I
and then repeating the idea to obtain
x
(i)
p
(t) =
n
k=1
(i)
k
(t)v
k
(t) t I (1.46)
for i = 0, . . . , n 1. A nal dierentiation gives
x
(n)
p
(t) =
n
k=1
_
(n)
k
(t)v
k
(t) +
(n1)
k
(t) v
k
(t)
_
= b(t) +
n
k=1
(n)
k
(t)v
k
(t)
t I;
and thus we have not only shown that x
p
C
n
(R, R) but also that
/
_
x
p
_
(t) x
(n)
p
(t) +
n1
i=1
a
i
x
(i)
p
(t) = b(t) +
n
k=1
v
k
(t)
_
(n)
k
(t) +
n1
i=0
a
i
(i)
k
(t)
_
= b(t) +
n
k=1
v
k
(t)/
_
k
_
(t)
= b(t) t I
veries x
p
satises (1.30b).
By making use of W C
(R, R) dened in (1.41) and W

kn
n
k=1
C
(R, R) dened in
(1.42), we can apply Cramers rule to (1.45) and obtain the formula
v
k
(t) =
W
kn
(t)
W(t)
b(t)
_
k = 1, . . . , n
t I.
Hence we can choose any I and use (1.44) to dene our particular solution to be
x
p
(t)
n
k=1
k
(t)
_
t
W
kn
(s)
W(s)
b(s) ds t I,
which imposes the initial conditions
x
p
() = 0, x
p
() = 0, . . . , x
(n1)
p
() = 0 (1.47)
because of (1.46).
To obtain the general solution of (1.30b), we add the general solution of (1.30a) to our
particular solution of (1.30b). Since
n
k=1
k
(t) t R
for arbitrary R
n
is our general solution of (1.30a) and we have constructed x
p
above, the
general solution of (1.30b) is
x(t) =
n
k=1
k
(t) + x
p
(t)
=
n
k=1
k
(t)
_
k
+
_
t
W
kn
(s)
W(s)
b(s) ds
_
t I (1.48)
42 Gerald Moore
for arbitrary R
n
.
By consideration of the equivalent rst-order system, we already know from Theorem 1.18
that, given any I and any R
n
C
n
(I, R) for the initial
value problem (1.30b) augmented by the initial conditions (1.40). Using the general solution
in (1.48), we can write
x
(t) =
n
j=1
j
(t) + x
p
(t) t I,
where
R
n
is to be determined. Imposing the initial conditions, and noting that we have
constructed x
p
to satisfy (1.47), leads to the linear algebra problem
()
=
with () R
nn
non-singular. Again, in simple cases we can use Cramers rule to explicitly
display the solution of this linear system.
Example 1.14. For the second-order inhomogeneous scalar equation
x(t) + x(t) = sec(t) t I (
2
,

2
),
we have
1
(t) cos(t) and
2
(t) sin(t)
as a set of 2 linearly independent solutions of the corresponding homogeneous scalar equation.
Hence
W(t)
cos(t) sin(t)
sin(t) cos(t)
= 1 t R
and
W
12
(t)
0 sin(t)
1 cos(t)
= sin(t), W
22
(t)
cos(t) 0
sin(t) 1
= cos(t) t R;
so that our particular solution corresponding to = 0 is
x
p
(t) cos(t)
_
t
0
sin(s) sec(s) ds + sin(t)
_
t
0
cos(s) sec(s) ds
= cos(t) log
_
cos(t)
_
+ t sin(t)
t I.
The general solution is
x(t) =
_
1
+ log
_
cos(t)
__
cos(t) +
2
+ t sin(t) t I
for arbitrary R
2
.
If, given R
2
, we wish to nd the unique solution for this scalar inhomogeneous equation
that satises the initial conditions
x(0) =
1
and x(0) =
2
,
then we must solve the 2 2 algebraic system
(0)
=
and construct
x
(t) =
_
1
+ log
_
cos(t)
__
cos(t) +
2
+ t sin(t) t I.
We already know that W(0) = 1, W
12
(0) = 0 and W
22
(0) = 1; also, from
W
11
(t)
1 sin(t)
0 cos(t)
= cos(t), W
21
(t)
cos(t) 1
sin(t) 0
= sin(t) t R,
we have W
11
(0) = 1 and W
21
(0) = 0. Hence Cramers rule gives
1
=
1
W
11
(0)
W(0)
+
2
W
12
(0)
W(0)
=
1
and
2
=
1
W
21
(0)
W(0)
+
2
W
22
(0)
W(0)
=
2
.
Example 1.15. We continue Example 1.13 and now consider the corresponding scalar inho-
mogeneous equation
...
x(t) + x(t) + x(t) + x(t) = 1 t R,
where our particular solution x
p
C
(R, R) is given by
x
p
(t) = cos(t)v
1
(t) + sin(t)v
2
(t) + e
t
v
3
(t) t R
with
v
k
(t)
_
t
W
kn
(s)
W(s)
ds
_
k = 1, . . . , 3
t R,
for our choice of R. Hence we arrive at
v
1
(t) =
1
2
_
t
cos(s) + sin(s) ds =
1
2
cos(t) cos() sin(t) + sin()
v
2
(t) =
1
2
_
t
cos(s) sin(s) ds =
1
2
cos(t) cos() + sin(t) sin()
v
3
(t) =
1
2
_
t
e
s
ds =
1
2
e
t
e
,
t R,
which forces x
p
to satisfy the initial conditions
x
p
() = 0, x
p
() = 0, x
p
() = 0.
Our general solution is
x(t) =
1
cos(t) +
2
sin(t) +
3
e
t
+ x
p
(t) t R
for arbitrary R
3
. Given R
3
, to nd the particular
R
3
that forces the initial
conditions
x() =
1
, x() =
2
, x() =
3
means that we need to solve the 3 3 algebraic system
()
= ;
but this has already been done in Example 1.13.
44 Gerald Moore
1.5.3 Method of undetermined coecients
This subsection is analogous to subsection 1.4.1: a special method for solving (1.30b), that
only applies when the right-hand side has the form
b(t)
p
k=1
e
k
t
p
k
(t) cos(
k
t) + q
k
(t) sin(
k
t) t R. (1.49)
Here p
k
, q
k
are scalar polynomials and any of
k
,
k
p
k=1
R are possibly zero, so that
b C
(R, R). If this assumption holds, a particular solution x

p
C
(R, R) of (1.30b) can

be constructed in the similar form
x
p
(t)
p
k=1
t
s
k
e
k
t
p
k
(t) cos(
k
t) + q
k
(t) sin(
k
t) t R :
here the degree of p
k
and q
k
is the maximum of the degrees of p
k
, q
k
and the extra power t
s
k
is only needed if there is resonance with a solution of the homogeneous equation (1.30a). The
unknown coecients in the polynomials p
k
, q
k
are determined by substitution into (1.30b) and
matching with b in (1.49). In practice, we utilise the linearity of (1.30b) and deal with each k
in (1.49) separately.
As in subsection 1.4.1, we rst describe in detail how the algorithm to determine x
p
works
in the two simpler non-resonant situations. The roots of the characteristic polynomial p
A
in
(1.35) are crucial throughout this subsection.
a) If R is not a root of p
A
and
b(t) e
t
m
j=0
d
j
t
j
t R
with d
m
,= 0, then we look for a solution in the form
x
p
(t) e
t
m
j=0
c
j
t
j
t R
with c
j
m
j=0
R to be determined. Inserting x
p
into (1.30b) and using (1.37) gives
/
_
x
p
_
(t)
m
j=0
c
j
/
_
j
_
(t)
= e
t
m
j=0
c
j
j
i=0
_
j
i
_
t
i
p
(ji)
A
(),
where
j
(t) t
j
e
t
j = 0, . . . , m.
Consequently, matching coecients leads to the linear algebra equation
Uc = d, (1.50)
where
c
_
c
0
c
1
. . . c
m
T
R
m+1
, d
_
d
0
d
1
. . . d
m
T
R
m+1
and U R
(m+1)(m+1)
is the upper triangular matrix with elements
u
ij
=
_
j
i
_
p
(ji)
A
() j = 0, . . . , m; i = 0, . . . , j.
Since p
A
() ,= 0 means that the diagonal elements of U are all non-zero and hence U is
non-singular, we can solve (1.50) by back-substitution and obtain
c
i
=
1
p
A
()
_
d
i
j=i+1
c
j
_
j
i
_
p
(ji)
A
()
_
i = m, . . . , 0.
b) If i is not a complex-conjugate pair of roots for p
A
and
b(t) e
t
m
j=0
t
j
d
c
j
cos(t) + d
s
j
sin(t) t R
with either d
c
m
or d
s
m
non-zero, then we look for a solution in the form
x
p
(t) e
t
m
j=0
t
j
c
c
j
cos(t) + c
s
j
sin(t) t R
with c
c
j
, c
s
j
m
j=0
R to be determined. It is simplest to work rst in complex form and
write
b(t)
1
2
m
j=0
t
j
_
(d
c
j
id
s
j
)e
(+i)t
+ (d
c
j
+ id
s
j
)e
(i)t
_
t R
and
x
p
(t)
1
2
m
j=0
t
j
_
(c
c
j
ic
s
j
)e
(+i)t
+ (c
c
j
+ ic
s
j
)e
(i)t
_
t R.
Then we may use the same argument as in a above: i.e. inserting x
p
into (1.30b) and
using (1.37) gives
/
_
x
p
_
(t)
1
2
m
j=0
_
(c
c
j
ic
s
j
)/
_
+
j
_
(t) + (c
c
j
+ ic
s
j
)/
_
j
_
(t)
_
=
1
2
e
(+i)t
m
j=0
(c
c
j
ic
s
j
)
j
i=0
_
j
i
_
t
i
p
(ji)
A
( + i)
+
1
2
e
(i)t
m
j=0
(c
c
j
+ ic
s
j
)
j
i=0
_
j
i
_
t
i
p
(ji)
A
( i),
with
+
j
(t) t
j
e
(+i)t
and
j
(t) t
j
e
(i)t
j = 0, . . . , m.
Choosing to match the e
(i)t
terms, we obtain the complex linear algebra equation
U(c
c
+ ic
s
) = d
c
+ id
s
, (1.51)
where
c
c
+ ic
s
_
c
c
0
+ ic
s
0
. . . c
c
m
+ ic
s
m
T
C
m+1
,
d
c
+ id
s
_
d
c
0
+ id
s
0
. . . d
c
m
+ id
s
m
T
C
m+1
46 Gerald Moore
and U C
(m+1)(m+1)
u
ij
=
_
j
i
_
p
(ji)
A
( i) j = 0, . . . , m; i = 0, . . . , j.
Since p
A
( i) ,= 0 means that the diagonal elements of U are all non-zero and hence
U is non-singular, we can solve (1.51) by back-substitution and obtain
c
c
i
+ ic
s
i
=
1
p
A
( i)
_
(d
c
i
+ id
s
i
)
m
j=i+1
_
c
c
j
+ ic
s
j
_ _
j
i
_
p
(ji)
A
( i)
_
i = m, . . . , 0.
We can remain within real arithmetic by replacing (1.51) with
U
B
c
B
= d
B
: (1.52)
here
c
B
_
c
c
0
c
s
0
. . . c
c
m
c
s
m
T
R
2(m+1)
,
d
B
_
d
c
0
d
s
0
. . . d
c
m
d
s
m
T
R
2(m+1)
and U
B
is the (m + 1) (m + 1) upper triangular block matrix with elements
u
B
ij
=
_
j
i
_
_
_
Re
_
p
(ji)
A
( + i)
_
Im
_
p
(ji)
A
( + i)
_
Im
_
p
(ji)
A
( + i)
_
Re
_
p
(ji)
A
( + i)
_
_
_
R
22
i = 0, . . . , j;
j = 0, . . . , m.
Consequently, back-substitution for (1.52) gives
_
c
c
i
c
s
i
_
=
_
u
B
ii
1
_
_
d
c
i
d
s
i
_
j=i+1
u
B
ij
_
c
c
j
c
s
j
_
_
i = m, . . . , 0,
where
_
u
B
ii
_
u
B
ii
T
[p
A
( + i)[
2
.
Now we look at the resonant situations, i.e. when the right-hand side function is a solution
of (1.30a). In comparison with subsection 1.4.1, however, we can analyse these situations
much more easily: in fact we only require simple generalisations of the non-resonant cases a
and b above.
a) If R is a root of multiplicity precisely s 1 for p
A
and
b(t) e
t
m
j=0
d
j
t
j
t R
with d
m
,= 0, then we look for a solution in the form
x
p
(t) t
s
e
t
m
j=0
c
j
t
j
t R
with c
j
m
j=0
R to be determined. We must remember that the functions
t
j
e
t
j = 0, . . . , s 1
form a linearly independent set of solutions for (1.30a) and that
p
(j)
A
() = 0 j = 0, . . . , s 1.
Inserting x
p
into (1.30b) and using (1.37) gives
/
_
x
p
_
(t)
m
j=0
c
j
/
_
j
_
(t)
= e
t
m
j=0
c
j
j
i=0
_
s+j
i
_
t
i
p
(s+ji)
A
(),
where
j
(t) t
s+j
e
t
j = 0, . . . , m.
Consequently, matching coecients leads to the linear algebra equation
Uc = d, (1.53)
where
c
_
c
0
c
1
. . . c
m
T
R
m+1
, d
_
d
0
d
1
. . . d
m
T
R
m+1
and U R
(m+1)(m+1)
u
ij
=
_
s+j
i
_
p
(s+ji)
A
() j = 0, . . . , m; i = 0, . . . , j.
Since p
(s)
A
() ,= 0 means that the diagonal elements of U are all non-zero and hence U is
non-singular, we can solve (1.53) by back-substitution and obtain
c
i
=
1
_
s+i
i
_
p
A
()
_
d
i
j=i+1
c
j
_
s+j
i
_
p
(s+ji)
A
()
_
i = m, . . . , 0.
(Note that, if we set s = 0 then we have precisely the non-resonant case a above.)
b) If i is a complex-conjugate pair of roots for p
A
, with multiplicity precisely s 1,
and
b(t) e
t
m
j=0
t
j
d
c
j
cos(t) + d
s
j
sin(t) t R
with either d
c
m
or d
s
m
non-zero, then we look for a solution in the form
x
p
(t) t
s
e
t
m
j=0
t
j
c
c
j
cos(t) + c
s
j
sin(t) t R
with c
c
j
, c
s
j
m
j=0
R to be determined. In complex form, these become
b(t)
1
2
m
j=0
t
j
_
(d
c
j
id
s
j
)e
(+i)t
+ (d
c
j
+ id
s
j
)e
(i)t
_
t R
48 Gerald Moore
and
x
p
(t)
1
2
m
j=0
t
s+j
_
(c
c
j
ic
s
j
)e
(+i)t
+ (c
c
j
+ ic
s
j
)e
(i)t
_
t R.
We must now remember that the 2s functions
_
t
j
e
t
cos(t), t
j
e
t
sin(t)
_
j = 0, . . . , s 1
together form a linearly independent set of solutions for (1.30a) and that
p
(j)
A
( i) = 0 j = 0, . . . , s 1.
Applying the same argument as in the non-resonant case b above: i.e. inserting x
p
into
(1.30b) and using (1.37) gives
/
_
x
p
_
(t)
1
2
m
j=0
_
(c
c
j
ic
s
j
)/
_
+
j
_
(t) + (c
c
j
+ ic
s
j
)/
_
j
_
(t)
_
=
1
2
e
(+i)t
m
j=0
(c
c
j
ic
s
j
)
j
i=0
_
s+j
i
_
t
i
p
(s+ji)
A
( + i)
+
1
2
e
(i)t
m
j=0
(c
c
j
+ ic
s
j
)
j
i=0
_
s+j
i
_
t
i
p
(s+ji)
A
( i),
with
+
j
(t) t
s+j
e
(+i)t
and
j
(t) t
s+j
e
(i)t
j = 0, . . . , m.
Choosing to match the e
(i)t
terms, we obtain the complex linear algebra equation
U(c
c
+ ic
s
) = d
c
+ id
s
, (1.54)
where
c
c
+ ic
s
_
c
c
0
+ ic
s
0
. . . c
c
m
+ ic
s
m
T
C
m+1
,
d
c
+ id
s
_
d
c
0
+ id
s
0
. . . d
c
m
+ id
s
m
T
C
m+1
and U C
(m+1)(m+1)
u
ij
=
_
s+j
i
_
p
(s+ji)
A
( i) j = 0, . . . , m; i = 0, . . . , j.
Since p
(s)
A
( i) ,= 0 means that the diagonal elements of U are all non-zero and hence
U is non-singular, we can solve (1.54) by back-substitution and obtain
c
c
i
+ ic
s
i
=
1
_
s+i
i
_
p
(s)
A
( i)
_
(d
c
i
+ id
s
i
)
m
j=i+1
_
c
c
j
+ ic
s
j
_ _
s+j
i
_
p
(s+ji)
A
( i)
_
for i = m, . . . , 0. We can remain within real arithmetic by replacing (1.54) with
U
B
c
B
= d
B
: (1.55)
here
c
B
_
c
c
0
c
s
0
. . . c
c
m
c
s
m
T
R
2(m+1)
,
d
B
_
d
c
0
d
s
0
. . . d
c
m
d
s
m
T
R
2(m+1)
and U
B
is the (m + 1) (m + 1) upper triangular block matrix with elements
u
B
ij
=
_
s + j
i
_
_
_
Re
_
p
(s+ji)
A
( + i)
_
Im
_
p
(s+ji)
A
( + i)
_
Im
_
p
(s+ji)
A
( + i)
_
Re
_
p
(s+ji)
A
( + i)
_
_
_
R
22
for i = 0, . . . , j and j = 0, . . . , m. Consequently, back-substitution for (1.55) gives
_
c
c
i
c
s
i
_
=
_
u
B
ii
1
_
_
d
c
i
d
s
i
_
j=i+1
u
B
ij
_
c
c
j
c
s
j
_
_
i = m, . . . , 0,
where
_
u
B
ii
_
u
B
ii
T
_
s+i
i
_
2
p
(s)
A
( + i)
2
.
(Note that, if we set s = 0 then we have precisely the non-resonant case b above.)
Example 1.16. The third-order scalar equation
()
...
x(t) 4 x(t) = t + 3 cos(t) + e
2t
has p
A
()
3
4 and so the roots are 0, 2.
For b(t) t, we have = 0, = 0, s = 1, m = 1 with d
0
= 0 and d
1
= 1. Thus we look
for a particular solution in the form
x
p
(t) tc
0
+ c
1
t,
with the unknown coecients satisfying
_
p
A
(0) p
A
(0)
0 2p
A
(0)
_ _
c
0
c
1
_
=
_
0
1
_
.
Since p
A
(0) = 4 and p
A
(0) = 0, this gives c
1
=
1
8
and c
0
= 0.
For b(t) 3 cos(t), we have = 0, = 1, s = 0, m = 0 with d
c
0
= 3 and d
s
0
= 0. Thus
we look for a particular solution in the form
x
p
(t) c
c
0
cos(t) + c
s
0
sin(t),
p
A
(i) [c
c
0
+ c
s
0
i] = 3.
Since p
A
(i) = 5i, this gives c
c
0
= 0 and c
s
0
=
3
5
. Alternatively, we can solve the real
2 2 system
_
Re
_
p
A
(i)
_
Im
_
p
A
(i)
_
Im
_
p
A
(i)
_
Re
_
p
A
(i)
_
_ _
c
c
0
c
s
0
_
=
_
3
0
_
.
Since p
A
(i) = 5i, this gives the same result.
50 Gerald Moore
For b(t) e
2t
, we have = 2, = 0, s = 1, m = 0 with d
0
= 1. Thus we look for a
particular solution in the form
x
p
(t) c
0
te
2t
,
with the unknown coecient satisfying
p
A
(2)c
0
= 1.
Since p
A
0
=
1
8
.
Putting all these results together means that a particular solution for () is
x
p
(t)
1
8
t
2
3
5
sin(t) +
1
8
te
2t
and the general solution for () is
x(t)
1
+
2
e
2t
+
3
e
2t
+ x
p
(t)
for arbitrary R
3
.
Example 1.17. The third-order scalar equation
()
...
x(t) 3 x(t) + 3 x(t) x(t) = 4e
t
has p
A
()
3
3
2
+ 3 1 and so there is a triple root equal to 1. For b(t) 4e
t
, we have
= 1, = 0, s = 3, m = 0 with d
0
= 4. Thus we look for a particular solution in the form
x
p
(t) c
0
t
3
e
t
,
with the unknown coecient satisfying
p
A
(1)c
0
= 4.
Since p
A
0
=
2
3
. Thus a particular solution for () is
x
p
(t)
2
3
t
3
e
t
x(t) e
t
_
1
+
2
t +
3
t
2
+
2
3
t
3
_
for arbitrary R
3
.
Example 1.18. The fourth-order scalar equation
()
....
x (t) + 2 x(t) + x(t) = 3 sin(t) 5 cos(t)
has p
A
()
4
+ 2
2
+ 1 and so there is a double complex-conjugate pair of roots equal to i.
For b(t) 3 sin(t) 5 cos(t), we have = 0, = 1, s = 2, m = 0 with d
c
0
= 5 and d
s
0
= 3.
Thus we look for a particular solution in the form
x
p
(t) t
2
c
c
0
cos(t) + c
s
0
sin(t),
p
A
(i) [c
c
0
+ c
s
0
i] = 5 + 3i.
Since p
A
(i) = 8, this gives c
c
0
=
5
8
and c
s
0
=
3
8
. Alternatively, we can solve the real 2 2
system
_
Re
_
p
A
(i)
_
Im
_
p
A
(i)
_
Im
_
p
A
(i)
_
Re
_
p
A
(i)
_
_ _
c
c
0
c
s
0
_
=
_
5
3
_
.
Since p
A
(i) = 8, this gives the same result. Thus a particular solution for () is
x
p
(t) t
2
_
5
8
cos(t)
3
8
sin(t)
_
x(t)
_
1
+
2
t +
5
8
t
2
_
cos(t) +
_
3
+
4
t
3
8
t
2
_
sin(t)
for arbitrary R
4
.
1.5.4 Jordan canonical form for A
The companion matrix (1.31) has a very special form and thus it is not surprising that the solu-
tions of (1.30a) generated in subsection 1.5.1 enable us to construct the real Jordan canonical
form for A: i.e. these solutions (scaled and evaluated at t = 0) are the columns of a non-singular
P R
nn
that provides the similarity transformation
AP = PJ, (1.56)
in section A.1 of the Appendix, where
J
_
_
J
R
1
.
.
.
J
R
n
R
J
C
1
.
.
.
J
C
n
C
_
_
J
R
k
R
n
R
k
n
R
k
, J
C
k
R
n
C
k
n
C
k
n
R
k=1
n
R
k
+ 2
n
C
k=1
n
C
k
= n.
To justify this assertion, we look at each individual Jordan block and the columns of P asso-
ciated with it.
Thus, for a Jordan block J
R
k
corresponding to a real eigenvalue
k
J
R
k

_
k
1
k
.
.
.
.
.
.
1
k
_
_
R
n
R
k
n
R
k
, (1.57)
we dene
P
R
k
(t)
_
1
(t) . . . . . .

n
R
k
(t)
1
(t) . . . . . .

n
R
k
(t)
.
.
.
.
.
.
(n1)
1
(t) . . . . . .

(n1)
n
R
k
(t)
_
_
,
52 Gerald Moore
where

P
R
k
: R R
nn
R
k
with
j
(t)
1
(j1)!
t
j1
e
k
t
j = 1, . . . , n
R
k
.
(Note that these are scaled versions of the
j
dened in the previous subsection.) Hence
d
dt
P
R
k
(t) = A
P
R
k
(t) and
d
dt
P
R
k
(t) =

P
R
k
(t)J
R
k
,
the rst veried by checking each column of

P
R
k
(t) and the second veried by checking each
row of

P
R
k
(t), shows that
A
P
R
k
(t) =

P
R
k
(t)J
R
k
t R.
Setting t = 0 then establishes that

P
R
k
(0) plays the role of those columns of P which correspond
to J
R
k
.
On the other hand, for a Jordan block J
C
k
corresponding to a complex-conjugate pair of
eigenvalues
R
k
i
I
k
J
C
k

_
k
I
k
.
.
.
.
.
.
I
k
_
_
R
2n
C
k
2n
C
k
(1.58)
with
k

_

R
k

I
k
I
k

R
k
_
R
22
and I R
22
,
we dene
P
C
k
(t)
_
1
(t) . . . . . .

2n
C
k
(t)
1
(t) . . . . . .

2n
C
k
(t)
.
.
.
.
.
.
(n1)
1
(t) . . . . . .

(n1)
2n
C
k
(t)
_
_
,
where

P
C
k
: R R
n2n
C
k
with
2j1
(t)
1
(j1)!
t
j1
e
R
k
t
cos
I
k
t
2j
(t)
1
(j1)!
t
j1
e
R
k
t
sin
I
k
t
_
_
_
j = 1, . . . , n
C
k
.
(Again, note that these are scaled versions of the
j
dened in the previous subsection.)
Hence
A
P
C
k
(t) =

P
C
k
(t)J
C
k
t R
and setting t = 0 then shows that

P
C
k
(0) plays the role of those columns of P which correspond
to J
C
k
.
In conclusion, putting all these results together, we have that P R
nn
in (1.56) dened
by
P
_
P
R
1
(0) . . .

P
R
n
R
(0)

P
C
1
(0) . . .

P
C
n
C
(0)
_
. (1.59)
Note that the non-singularity of P follows from Theorem 1.14, because we are working with a
linearly independent set of n solutions for (1.32). This also shows that
e
At
=
_
P
R
1
(t) . . .

P
R
n
R
(t)

P
C
1
(t) . . .

P
C
n
C
(t)
_
P
1
t R,
since the dening conditions for the matrix exponential of the companion matrix are that
its columns are solutions of (1.32),
it equals I at t = 0.
Example 1.19. We illustrate with two simple scalar equations.
...
x(t) 3 x(t) + 2x(t) = 0
The companion matrix is
A
_
_
0 1 0
0 0 1
2 3 0
_
_
R
33
and the characteristic polynomial is p
A

3
3 + 2; hence the eigenvalues are 2, 1, 1.
Our linearly independent set of solutions is
1
(t) e
2t
,
2
(t) e
t
, and
3
(t) te
t
.
Thus
P
_
_
1 1 0
2 1 1
4 1 2
_
_
and J
_
_
2
1 1
1
_
_
.
We also have
e
At
=
_
_
e
2t
e
t
te
t
2e
2t
e
t
(t + 1)e
t
4e
2t
e
t
(t + 2)e
t
_
_
P
1
,
where
P
1
=
1
9
_
_
1 2 1
8 2 1
6 3 3
_
_
,
and note that this agrees with
e
At
= Pe
Jt
P
1
= P
_
_
e
2t
e
t
te
t
e
t
_
_
P
1
.
....
x (t) 16x(t) = 0
The companion matrix is
A
_
_
0 1 0 0
0 0 1 0
0 0 0 1
16 0 0 0
_
_
R
44
54 Gerald Moore
and the characteristic polynomial is p
A

4
16; hence the eigenvalues are 2, 2, 2i.
Our linearly independent set of solutions is
1
(t) e
2t
,
2
(t) e
2t
,
3
(t) cos 2t and
4
(t) sin 2t.
Thus
P
_
_
1 1 1 0
2 2 0 2
4 4 4 0
8 8 0 8
_
_
and J
_
_
2
2
0 2
2 0
_
_
.
1.6 An O.D.E. formula for the matrix exponential
Let us now return to the question of constructing the matrix exponential e
At
for (1.1). Re-
member that the columns p
j
(t)
n
j=1
are a set of n linearly independent solutions for (1.1) and
satisfy the additional initial conditions
p
j
(0) = e
j
j = 1, . . . , n.
In section 1.3, we used the real Jordan canonical form of A to write down a formula for e
At
: in
contrast, we will now use the results from section 1.5, concerning higher-order scalar equations,
to write down an alternative formula.
For a general A R
nn
, we have its characteristic polynomial
p
A
()
n
+ a
n1
n1
+ + a
1
+ a
0
(1.60)
and we can write down the corresponding n
th
order scalar homogeneous equation
/
_
x
_
(t) x
(n)
(t) + a
n1
x
(n1)
(t) + + a
0
x(t) = 0 t R. (1.61a)
(Note that this is the reverse of the argument in section 1.5.) As well as applying this n
th
order scalar linear dierential operator to scalar functions x C
n
(R, R), we can also apply it
to vector functions x C
n
(R, R
n
), i.e.
/
_
x
_
(t) x
(n)
(t) + a
n1
x
(n1)
(t) + + a
0
x(t) = 0 t R, (1.61b)
or to matrix functions X C
n
(R, R
nn
), i.e.
/
_
X
_
(t) X
(n)
(t) + a
n1
X
(n1)
(t) + + a
0
X(t) = 0 t R. (1.61c)
In both cases, we think of the scalar dierential operator being applied to each component of
the vector function x or the matrix function X. We will only need to look at (1.61c), because
Theorem 1.11 gives us the key property
X
(R, R
nn
)
X
(t) e
At
t R
/
_
X
_
(t) = A
n
e
At
+ a
n1
A
n1
e
At
+ + a
1
Ae
At
+ a
0
e
At
=
_
A
n
+ a
n1
A
n1
+ + a
1
A + a
0
I
_
e
At
= p
A
(A)e
At
.
Hence the Cayley-Hamilton theorem (that a matrix satises its own characteristic polynomial)
shows us that
/(X
) = 0.
Of course e
At
is not the only solution of (1.61c), in order to specify it uniquely we would have
to add the n initial conditions
X(0) = I,

X(0) = A, . . . , X
(n1)
(0) = A
n1
. (1.62)
Note that (1.12) also tells us that every solution for (1.1) satises (1.61b), and hence every
component of every solution for (1.1) satises (1.61a).
Now we can go back to (1.61a) and use the linearly independent set of n solutions
k
n
k=1
that we constructed in subsection 1.5.1, so that the general solution of (1.61c) can be repre-
sented
X(t) =
n
k=1
k
(t)B
k
for arbitrary B
k
n
k=1
R
nn
. But to impose the initial conditions (1.62), we need to choose
B
k
= [(0)]
1
A
k1
k = 1, . . . , n
and thus obtain the particular solution of (1.61c)
e
At
=
n
k=1
k
(t) [(0)]
1
A
k1
t R. (1.63)
To use this formula, it may be more convenient to construct the linearly independent set of
solutions
k
(t)
n
k=1
dened by
_
1
(t)

2
(t) . . .

n
(t)
_

_
1
(t)
2
(t) . . .
n
(t)
[(0)]
1
t R,
which satises the initial conditions
(0) = I :
then (1.63) simplies to
e
At
=
n
k=1
k
(t)A
k1
t R.
A
_
1 2
4 1
_
R
22
has characteristic polynomial p
A

2
9 and thus the second-order scalar dierential equation
x(t) 9x(t) = 0
has linearly independent solutions
1
(t) e
3t
and
2
(t) e
3t
.
From
(0)
_
1 1
3 3
_
and [(0)]
1
1
6
_
3 1
3 1
_
,
we obtain
1
(t)
1
2
_
e
3t
+ e
3t
_
and

2
(t)
1
6
_
e
3t
e
3t
_
and this leads to
e
At
=

1
(t)I +

2
(t)A
=
1
3
_
2e
3t
+ e
3t
e
3t
e
3t
2e
3t
2e
3t
e
3t
+ 2e
3t
_
.
56 Gerald Moore
1.7 Exercises
1 Determine the 2-dimensional solution space for (1.1) when
A
_
a 0
0 b
_
a, b R and A
_
0 a
a 0
_
a R.
2 Find the unique solution for
x(t) =
_
1 1
1 1
_
x(t) with x(1) =
_
1
1
_
.
3 Verify (1.3).
4 Use an undetermined parameter R to write down the 1-dimensional solution space for
x
1
(t) = 2 x
1
(t)
and then use these solutions, together with a second free parameter R, to write down the
solutions for
x
2
(t) = 2 x
2
(t) + x
1
(t).
Hence display the 2-dimensional solution space for
x(t) =
_
2 0
1 2
_
x(t),
in terms of the free parameters , R, and also the unique solution which satises the
additional condition x(0) =
_
2 3
T
.
5 Use the eigenvalues and eigenvectors of A to determine the 2-dimensional solution space for
(1.1) when
A
_
3 2
4 1
_
and A
_
3 2
1 1
_
;
also the 3-dimensional solution space for (1.1) when
A
_
_
2 3 1
0 1 1
3 4 1
_
_
.
6 Verify that all 2 2 matrices of the form
_
a b
b a
_
a, b R
commute with one another.
7 If A R
nn
has distinct real eigenvalues
k
n
k=1
( with corresponding eigenvectors u
k
n
k=1
),
one way of establishing the linear independence of the set of eigenvectors is to multiply the
key equation
n
k=1
c
k
u
k
= 0
by A
j
I for appropriate j 1, . . . , n. Can this idea be extended to complex-conjugate
eigenvalues of A?
8 Prove rigorously that
if
k
n
k=1
R are distinct, then e
k
t
n
k=1
C
0
(R, R) form a linearly independent set
of functions;
if
R
k
i
I
k
m
k=1
C are distinct, then
_
e
R
k
t
cos
I
k
t, e
R
k
t
sin
I
k
t
_
m
k=1
C
0
(R, R)
form a linearly independent set of 2m functions;
if
k
n
k=1
R and
R
k
i
I
k
m
k=1
C together form a set of n + 2m distinct points in
C, then
_
e
k
t
_
n
k=1
_
e
R
k
t
cos
I
k
t, e
R
k
t
sin
I
k
t
_
m
k=1
C
0
(R, R)
form a linearly independent set of n + 2m functions.
[Hint: by taking derivatives and then evaluating at t = 0, obtain a linear system with a
Vandermonde determinant.]
9 Use the eigenvalues and eigenvectors to compute e
A
for
A
_
1 1
5 3
_
.
10 If A R
nn
, use the series denition of e
A
to establish
e
A
T
=
_
e
A
T
.
Use this result to prove that A skew-symmetric (A
T
= A) implies that
e
A
is an orthogonal matrix,
each solution x of (1.1) has |x(t)|
2
independent of t.
11 Can you nd A, B R
44
such that e
A+B
= e
A
e
B
= e
B
e
A
but AB ,= BA? It may not be
possible to nd smaller matrices with this property: e.g. A, B R
22
such that e
A+B
= e
A
e
B
but AB ,= BA.
12 If a R, compute e
At
for
A
_
a 1
0 a
_
and A
_
_
a 1 0
0 a 1
0 0 a
_
_
.
58 Gerald Moore
13 Write down the analogue of Theorem 1.17 for behaviour of solutions as t .
14 If Re() 0 for all eigenvalues of A R
nn
, what extra condition is required so that there
exists a constant C > 0 such that
_
_
e
At
_
_
C t [0, ).
(Hint: use the real Jordan canonical form for A and separate out the nilpotent part of each
Jordan block.)
15 If Re() < 0 for all eigenvalues of A R
nn
, prove that there exist constants C > 0 and > 0
such that
_
_
e
At
_
_
Ce
t
t [0, ).
When is it possible to choose
min Re() : an eigenvalue of A?
16 Both by using the variation of parameters method and by constructing a particular solution
for the inhomogeneous system, determine the unique solutions for
x(t) =
_
3 1
1 3
_
x(t) +e
1
with x(0) = e
2
and
x(t) =
_
2 1
0 2
_
x(t) +
_
1
2
_
with x(1) = e
1
.
17 If, for any given R and any given R
n
, we dene x
bp
C
1
(R, R
n
) to be the unique
solution of
(1.15) augmented by x() = ;
explain why the n-dimensional ane subspace of solutions for (1.15) may also be characterised
by
_
e
At
+x
bp
(t) t R : R
n
_
.
18 Use the method of undetermined coecients to nd particular solutions of (1.15) in the fol-
lowing cases.
A
_
2 3
1 2
_
and b(t)
_
1
1
_
A
_
1 2
3 4
_
and b(t)
_
1 + t
2 3t
_
A
_
2 0
1 2
_
and b(t)
_
t
t
2
_
A
_
1 2
3 1
_
and b(t) e
t
_
t
1
_
19 Use the method of undetermined coecients to construct a particular solution for
_
_
x
1
(t)
.
.
.
.
.
.
.
.
.
x
5
(t)
_
_
=
_
_
0 1 1 0 0
1 0 0 1 0
0 0 0 1 0
0 0 1 0 0
0 0 0 0 1
_
_
_
_
x
1
(t)
.
.
.
.
.
.
.
.
.
x
5
(t)
_
_
+
_
_
0
0
0
e
t
+ cos(t)
e
t
+ sin(t)
_
_
.
20 Find the general solutions for
x(t) 4x(t) = 0
....
x (t) + 16x(t) = 0
x(t) + 9x(t) = 0 x(t) + x(t) = 0
...
x(t) 8x(t) = 0
....
x (t) x(t) = 0
...
x(t) 3 x(t) 2x(t) = 0
....
x (t) + x(t) = 0
21 Find the unique solution for
...
x(t) + x(t) = 0 with x(0) = 0, x(0) = 0, x(0) = 1.
22 Use both the variation of constants approach and the method of undetermined coecients
to nd a particular solution and then the general solution for the following inhomogeneous
equations.
x(t) 4x(t) = e
t
x(t) + x(t) = sin(t)
x(t) 4x(t) = e
2t
x(t) + 16x(t) = t
2
e
4t
.
23
j
n
j=1
C
(R, R), the linearly independent set of solutions for (1.30a) constructed in
subsection 1.5.1, is only special in the sense that it is easy to calculate from the roots of
(1.35). For any non-singular B R
nn
, prove that
n
j=1
C
(R, R), dened by

_
1
(t)

2
(t) . . .

n
(t)
_

_
1
(t)
2
(t) . . .
n
(t)
B t R,
is also a linearly independent set of n solutions for (1.30a). Conversely, if x
j
n
j=1
C
(R, R)
is any linearly independent set of n solutions for (1.30a), show that there is a non-singular
B R
nn
such that
_
x
1
(t) x
2
(t) . . . x
n
(t)
1
(t)
2
(t) . . .
n
(t)
B t R.
24 Given R and R
n
, use
j
n
j=1
C
(R, R) and C
(R, R
nn
) constructed
in subsection 1.5.1 to explain why the unique solution x
(R, R) of the initial value

problem (1.30a) augmented by (1.40) can be written
x
(t)
n
j=1
j
(t ) t R,
where (0)
= .
Also, use the previous question to prove that
(t ) [(0)]
1
= (t) [()]
1
t, R.
60 Gerald Moore
25 Consider the n
th
-order scalar homogeneous equation (1.30a) and the equivalent rst-order
homogeneous system (1.32) dened in terms of the companion matrix A R
nn
: thus
() z
n
+ a
n1
z
n1
+ + a
1
z + a
0
= 0
is the characteristic polynomial for A, which we assume has n
R
distinct real roots and n
C
distinct complex-conjugate pairs of roots with n
R
+ 2n
C
= n.
(a) Suppose

R is a root of ().
(i) Write down the 1-dimensional solution subspace of C
(R, R) for (1.30a) correspond-

ing to

.
(ii) Verify that
u
_
1

n1
_
T
R
n
is an eigenvector for A corresponding to

.
(iii) Write down the 1-dimensional solution subspace of C
(R, R
n
) corresponding to

for (1.32);
(iv) Explain how
u =
_
(0)
(0)
(0)
(n1)
(0)
T
,
where C
(R, R) is a particular solution from the subspace in (a)(i).

(v) Describe how the subspaces in (a)(i) and (a)(iii) are related by in (a)(iv).
(b) Suppose

R
i
I
C is a complex-conjugate pair of roots for (); so that
+
=
e
i
e
_
cos
_
_
+ i sin
_
__
and
e
i
e
_
cos
_
_
i sin
_
__
,
where
and

arg
_
+
_
.
(i) Write down the 2-dimensional solution subspace of C
(R, R) for (1.30a) correspond-

ing to

.
(ii) Verify that

_
_
1
cos
_
2
cos
_
2
n1
cos
_
[n 1]
_
0
sin
_
2
sin
_
2
n1
sin
_
[n 1]
_
_
_
T
R
n2
satises
A = ,
where

_

R
R
_
=
_
_
cos
_
_
sin
_
_
sin
_
_
cos
_
_
_
_
R
22
.
(iii) Write down the 2-dimensional solution subspace of C
(R, R
n
) for (1.32) correspond-
ing to

.
(iv) Explain how
=
_
+
(0)
+
(0)
+
(0)
(n1)
+
(0)
(0)
(0)
(0)
(n1)
(0)
_
T
,
where
(R, R) are a particular pair of linearly independent solutions from

the subspace in (b)(i).
(v) Describe how the subspaces in (b)(i) and (b)(iii) are related by
in (b)(iv).
(c) Write down a formula for the general solution of (1.30a), depending on an arbitrary
parameter R
n
, in terms of the n linearly independent solutions for () constructed in
(a)(i) and (b)(i).
(d) Write down a formula for the general solution of (1.32), depending on an arbitrary
parameter R
n
, in terms of the n linearly independent solutions for (1.32) constructed
in (a)(iii) and (b)(iii).
(e) Use (a)(iv) and (b)(iv) to describe the matrix P R
nn
, satisfying
AP = PB,
in terms of the n linearly independent solutions for (1.32). Here B R
nn
is a block-
diagonal matrix, with 1 1 blocks corresponding to the real eigenvalues of A and 2 2
blocks corresponding to the complex-conjugate pairs of eigenvalues for A.
(f) If R
n
is given, use (c) and (e) to write down a formula for the unique solution of
(1.30a) which additionally satises
x(0) =
1
, x(0) =
2
, . . . , x
(n1)
(0) =
n
.
26 Use the algorithm in section 1.6 to compute e
At
for
A
_
_
0 1 0 0
1 0 0 0
0 0 0 1
2 0 1 0
_
_
,
which has characteristic polynomial p
A
(
2
+ 1)
2
.
Chapter 2
General Linear Equations
We start by proving a useful inequality, which will be referred to in these notes on several
other occasions.
Lemma 2.1 (Gronwall). For a given R and h > 0, assume that w C([ h, + h], R)
is non-negative and that z C([ h, + h], R) satises
0 z(t) +
_
_
t
w(s)z(s) ds t [, + h]
_
t
w(s)z(s) ds t [ h, ]
for some 0: then
0 z(t)
_
exp
_
_
t
w(s) ds
_
t [, + h]
exp
__
t
w(s) ds
_
t [ h, ].
Proof. For t [, + h], dene y C
1
([, + h], R) by
y(t) +
_
t
w(s)z(s) ds,
so that both z(t) y(t) and y(t) = w(t)z(t) t [, + h]: in addition, by multiplying
through by w(t) 0, the inequality in the statement of the lemma becomes
0 y(t) w(t)y(t) t [, + h].
Multiplying this new inequality by the integrating factor exp
_
_
t
w(s) ds
_
> 0 gives
d
dt
_
y(t) exp
_
_
t
w(s) ds
__
0 t [, + h]
and so
y(t) exp
_
_
t
w(s) ds
_
y() = t [, + h].
Thus we obtain
0 z(t) y(t) exp
__
t
w(s) ds
_
t [, + h].
62
For t [ h, ], we dene y C
1
([ h, ], R) by
y(t) +
_

t
w(s)z(s) ds :
then a similar argument gives
y(t) + w(t)y(t) 0,
d
dt
_
y(t) exp
_
_

t
w(s) ds
__
0
and nally
0 z(t) y(t) exp
__

t
w(s) ds
_
t [ h, ].
Hence the proof of the lemma is complete.
Now we prove a fundamental existence and uniqueness result for the inhomogeneous system
x(t) = A(t)x(t) +b(t) t I : (2.1)
here I is a xed interval in R, A C
0
(I, R
nn
) is a given matrix function, b C
0
(I, R
n
) is a
given vector function, and we seek solutions x C
1
(I, R
n
).
Theorem 2.2. If I [a, b] is a compact interval in R then, for any I and R
n
, there
is exactly one solution of (2.1) that additionally satises x() = .
Proof. First, we set up an integral equation which is equivalent to (2.1), but is more straight-
forward to solve. To see the equivalence: if x C
1
(I, R
n
) is a solution of (2.1), which also
satises x() = , then integrating (2.1) gives
x(t) = +
_
t
A(s)x(s) +b(s) ds t I. (2.2)

On the other hand, if x C
0
(I, R
n
) is a solution of (2.2) then not only does x() = but
also x C
1
(I, R
n
), because the right-hand side of (2.2) is continuously dierentiable; after
dierentiating (2.2), we therefore obtain (2.1).
Now we prove that (2.2) has exactly one solution in C
0
(I, R
n
) by constructing the sequence
x
k
C
0
(I, R
n
) dened by
x
0
(t) = +
_
t
b(s) ds t I
x
k+1
(t) = +
_
t
A(s)x
k
(s) +b(s) ds t I.
(2.3)
Our proof consists of four steps:
a) bound |x
k+1
x
k
|
I,
k 0,
b) prove that x
k
is a Cauchy sequence in C
0
(I, R
n
), and therefore (by Theo-
rem B.8 in the Appendix) converges to x
C
0
(I, R
n
),
c) prove that x
is a solution of (2.2),
64 Gerald Moore
d) prove that x
is the unique solution of (2.2).

a) By bounding
x
1
(t) x
0
(t) =
_
t
A(s)x
0
(s) ds t I,
we obtain
|x
1
(t) x
0
(t)|
_
t
|A(s)| |x
0
(s)| ds
t I; (2.4)
and by bounding
x
k+1
(t) x
k
(t) =
_
t
A(s)[x
k
(s) x
k1
(s)] ds t I (2.5)
k 1, we obtain
|x
k+1
(t) x
k
(t)|
_
t
|A(s)| |x
k
(s) x
k1
(s)| ds
t I (2.6)
k 1. Using simple induction on k, we can establish k 0 that
|x
k+1
(t) x
k
(t)| |x
0
|
I,
1
(k+1)!
_
(t ) |A|
I,
_
k+1
t I :
since (2.4) gives the result for k = 0 and then (2.6) justies the inductive step, i.e.
|x
k+1
(t) x
k
(t)| |A|
I,
_
t
|x
k
(s) x
k1
(s)| ds
|A|
I,
|x
0
|
I,
1
k!
_
|A|
I,
_
k
_
t
(s )
k
ds
= |x
0
|
I,
1
(k+1)!
_
[t [ |A|
I,
_
k+1
holds t I and k 1. Hence
k 0 |x
k+1
x
k
|
I,
|x
0
|
I,
1
(k+1)!
_
(b a) |A|
I,
_
k+1
. (2.7)
b) For j k, we have
|x
j+1
x
k
|
I,
= |(x
j+1
x
j
) + + (x
k+1
x
k
)|
I,
i=k
|x
i+1
x
i
|
I,
|x
0
|
I,
j
i=k
1
(i+1)!
_
(b a) |A|
I,
_
i+1
.
(2.8)
Since
e
(ba)A
I,
i=0
1
i!
_
(b a) |A|
I,
_
i
,
the tail of this series becomes arbitrarily small. Therefore, given > 0, (2.8) shows that
k
N such that
|x
j+1
x
k
|
I,
j k k
. (2.9)
Hence x
k
is a Cauchy sequence in C
0
(I, R
n
) and, using Theorem B.8 in the Appendix,
converges to x
C
0
(I, R
n
).
c) By taking limits in (2.3), we obtain
x
(t) = lim
k
x
k+1
(t) = +
_
t
b(s) ds + lim
k
_
t
A(s)x
k
(s) ds t I.
It follows from
_
_
_
_
_
t
A(s)[x
k
(s) x
(s)] ds
_
_
_
_
(b a) |A|
I,
|x
k
x
|
I,
and lim
k
|x
k
x
|
I,
= 0, however, that
lim
k
_
t
A(s)x
k
(s) ds =
_
t
A(s)x
(s) ds t I.
Hence x
C
0
(I, R
n
) is a solution of (2.2).
d) We argue by contradiction and assume that y
C
0
(I, R
n
) is also a solution of (2.2):
thus
x
(t) y
(t) =
_
t
A(s)[x
(s) y
(s)] ds t I
gives the bound
|x
(t) y
(t)|
_
t
|A(s)| |x
(s) y
(s)| ds
t I.
It then follows from Gronwalls inequality in Lemma 2.1 that y
= x
.
Corollary 2.3. The compactness restriction on I in the theorem can be removed. Given any
interval I R, together with any I and R
n
, there is exactly one x C
1
(I, R
n
) which
solves (2.1) and also satises x() = .
Proof. Note that we cannot just mimic the proof of the theorem: not only are we without a
norm for C
0
(I, R
n
) but also neither |A(t)|
tI
nor |b(t)|
tI
need be bounded subsets of R.
Fix any t I. Let J
1
[c
1
, d
1
] be a compact subinterval of I, which contains both t
and . The theorem tells us that there is a unique solution, x
1
C
1
(J
1
, R
n
) say, which
additionally satises x
1
() = . If a dierent compact subinterval J
2
[c
2
, d
2
] of I is chosen,
which also contains both t and : the theorem again tells us that there is a unique solution,
x
2
C
1
(J
2
, R
n
) say, which additionally satises x
2
() = . By the uniqueness part of the
theorem, however, we must have x
1
(s) = x
2
(s) s J
1
J
2
: in particular, we must have
x
1
(t) = x
2
(t).
66 Gerald Moore
Since t I was xed but arbitrary, we have dened x
C
1
(I, R
n
) and this function both
solves (2.1) and satises x
() = . There cannot be another y
C
1
(I, R
n
) with these two
properties, because x
(s) ,= y
(s) for some s I leads to an immediate contradiction: we just

choose a compact subinterval J of I, containing both s and , and use the uniqueness part of
the theorem.
Example 2.1. If we consider the simple scalar equation
x(t) = 3t
2
x(t),
with additional condition x(0) = 1, then Theorem 2.2 can be applied for any compact interval
I containing t = 0. Thus we have the integral equation
x(t) = 1 +
_
t
0
3s
2
x(s) ds t I
and the starting iterate x
0
(t) = 1 t I. Then, k 0, the sequence of iterates is dened by
x
k+1
(t) = 1 +
_
t
0
3s
2
x
k
(s) ds t I.
It is then easily seen that
x
k
(t) =
k
j=0
1
j!
t
3j
t I
holds k 0 and so
x
(t) = e
t
3
t I.
Corollary 2.3 also shows that x
is actually the solution t R.

We can also use Corollary 2.3 to show that the scalar equation
x(t) =
1
t
x(t) x(1) = 1
has a unique solution for I (0, ); in fact x
(t) =
1
t
.
The above Theorem 2.2 established our fundamental existence and uniqueness result for
the inhomogeneous problem
x(t) = A(t)x(t) +b(t) t I with x() = . (2.10)
Thus, given a compact interval I [a, b] R, the given data
A C
0
(I, R
nn
), b C
0
(I, R
n
), I, R
n
,
determines a unique x
C
1
(I, R
n
) that satises (2.10). If we apply the bounds in the proof
of the theorem to
x
= x
0
+
k=1
_
x
k
x
k1
|x
|
I,
|x
0
|
I,
+
k=1
|x
k
x
k1
|
I,
,
we also see that x
satises the important bound

|x
|
I,

_
|| +[b a[ |b|
I,
_
exp
_
|A|
I,
[b a[
_
. (2.11)
We now wish to determine what happens to the solution if the data in (2.10) is changed to
A C
0
(I, R
nn
),

b C
0
(I, R
n
), I,

R
n
:
i.e. how much does the unique solution x
C
1
(I, R
n
) of
x(t) =

A(t)x(t) +
b(t) t I with x( ) =

(2.12)
dier from x
? This question is made precise in the following theorem.

Theorem 2.4. Given any > 0, > 0 such that
_
_
_A
A
_
_
_
I,
< ,
_
_
_b
b
_
_
_
I,
< , [ [ < ,
_
_
_
_
_
_ <
implies that
|x
|
I,
< .
Proof. We rst recognise that [x
] C
1
(I, R
n
) is the unique solution of
x(t) =

A(t)x(t) +d(t) t I with x( ) = ; (2.13)
where d C
0
(I, R
n
) is dened by
d(t) b(t)
b(t) +
_
A(t)
A(t)
_
x
(t)
and R
n
is dened by
x
( )
= [x
( ) x
()] +
_

_
.
Since (2.13) has the same form as (2.10), we may use the bound (2.11) to obtain
|x
|
I,

_
|| +[b a[ |d|
I,
_
exp
_
_
_
_
A
_
_
_
I,
[b a[
_
_
|x
( ) x
()| +
_
_
_
_
_
_ +[b a[ |d|
I,
_
exp
__
|A|
I,
+
_
[b a[
_

_
| x
|
I,
+ 1 +[b a[
_
1 +|x
|
I,
__
exp
__
|A|
I,
+
_
[b a[
_
.
Thus we have achieved the required result.
68 Gerald Moore
2.1 Homogeneous systems
In this section, we replace (2.1) by the corresponding homogeneous system
x(t) = A(t)x(t) t I : (2.14)
here I is again a xed interval in R, A C
0
(I, R
nn
) a given matrix function, and we seek
solutions x C
1
(I, R
n
) for (2.14). From Corollary 2.3, we know that, given a I and
R
n
, there is exactly one solution of (2.14) which additionally satises x() = .
Theorem 2.5. The set of solutions of (2.14) form an n-dimensional subspace of C
1
(I, R
n
).
Proof. Choosing any I, let x
F
k
n
k=1
C
1
(I, R
n
) be the unique solutions of (2.14) satisfying
to the additional conditions
x
F
k
() = e
k
k = 1, . . . , n.
These are clearly n linearly independent elements of C
1
(I, R
n
), because
n
k=1
c
k
x
F
k
= 0 for some c
k
n
k=1
R
means that
n
k=1
c
k
x
F
k
(t) = 0 t I and in particular that
n
k=1
c
k
x
F
k
() = 0.
Since this can only be achieved by c
k
= 0 for k = 1, . . . , n, x
F
1
, . . . , x
F
n
must span an
n-dimensional subspace of C
1
(I, R
n
).
Now suppose that y
C
1
(I, R
n
) is a solution of (2.14), but does not belong to the subspace
constructed above. If y
() = R
n
, then we can dene
x
k=1
k
x
F
k
C
1
(I, R
n
).
Thus x
is contained in our subspace of solutions of (2.14), and additionally satises x
() = .
By uniqueness, however, we then arrive at the contradiction x
= y
.
Example 2.2. The 2-dimensional solution subspace for
x
1
(t) = sin(t) x
2
(t)
x
2
(t) = x
2
(t)
(2.15)
is spanned by
_
1
0
_
and e
t
_
1
2
cos(t) + sin(t)
1
_
with I (, ).
The 2-dimensional solution subspace for
x
1
(t) =
x
2
(t) t x
1
(t)
1 t
2
x
2
(t) =
x
1
(t) t x
2
(t)
1 t
2
(2.16)
is spanned by
_
1
t
_
and
_
t
1
_
with I (1, 1). (In fact, I can be any interval which doesnt contain 1 or 1.)
We dene the matrix function X
F
C
1
(I, R
nn
) by
X
F
(t)
_
x
F
1
(t) x
F
2
(t) . . . x
F
n
(t)
t I; (2.17)
where x
F
1
, . . . , x
F
n
C
1
(I, R
n
) are the particular solutions of (2.14), depending on I,
dened in the proof of Theorem 2.5. Thus, for each I, X
F
is uniquely dened.
Denition 2.1.
_
X
F
_
I
are called the set of principal fundamental solution matrices for
(2.14).
Directly from the denition, we can see that each X
F
satises two key properties.

For any R
n
, X
F
(t) C
1
(I, R
n
) is the solution of (2.14) that additionally satises
x() = .
X
F
is the unique solution of the homogeneous matrix dierential equation
X(t) = A(t)X(t) X() = I.

This can be established for each column separately by appealing to Corollary 2.3. It can
also be proved directly; using the completeness of C
0
(I, R
nn
) in Theorem B.8 of the
Appendix and mimicking the arguments of Theorem 2.2 and Corollary 2.3.
Thus it is clear that X
F
(t) = e
A(t)
, when A C
0
(I, R
nn
) is a constant matrix function, and
so we have the generalisation of the matrix exponential function to variable coecients.
Theorem 2.6. X
F
(t) R
nn
is non-singular t, I.
Proof. We argue by contradiction and suppose that the columns of X
F
( ) are linearly depen-

dent for some particular I; i.e. ,= 0 R
n
such that
X
F
( ) = 0.
This means, however, that
x(t) X
F
(t) t I,
which is the solution of (2.14) that additionally satises x() = , must take the value
x( ) = 0. We now have a contradiction because we know, from uniqueness, that the solution
of (2.14), which additionally satises x( ) = 0, can only be the zero element of C
1
(I, R
n
).
Example 2.3. For (2.15), we have
X
F
(t) =
_
1
1
2
_
e
cos() + sin() e
t
cos(t) + sin(t)
_
0 e
t
_
and so det X
F
(t) = e
t
. For (2.16), we have
X
F
(t) =
1
1
2
_
1 t
t 1
_ _
1
1
_
and so det X
F
(t) =
1t
2
1
2
.
70 Gerald Moore
The result of Theorem 2.6 can be expressed more concretely by dening the Wronskian.
Denition 2.2. For each principal fundamental solution matrix X
F
, we dene the Wronskian

W
X
F
C
1
(I, R) by
W
X
F
(t) det X
F
(t) t I. (2.18)
It is then possible to show precisely how the Wronskian changes with t, and why W
X
F
(t) ,=
0 t, I.
Theorem 2.7. The Wronskian is never zero because
W
X
F
(t) = exp
__
t
tr (A(s)) ds
_
t I. (2.19)
Proof. We rst note that W
X
F
() = 1 and then construct a simple scalar linear dierential

equation for W
X
F
. If we denote the elements of X

F
(t) R
nn
by x
ij
(t)
n
i,j=1
, we can write
down the permutation formula for W
X
F
(t): i.e.
det X
F
(t)
p
sgn(p) x
1,p
1
(t) x
2,p
2
(t) . . . x
n,p
n
(t) t I, (2.20)
where p runs over the permutations p (p
1
, p
2
, . . . , p
n
) of (1, 2, . . . , n) and sgn(p) 1 is the
sign (or signature) of the permutation. Hence, using the product rule for dierentiation, we
have
W
X
F
(t) =
p
sgn(p) x
1,p
1
(t) x
2,p
2
(t) . . . x
n,p
n
(t)
+
p
sgn(p) x
1,p
1
(t) x
2,p
2
(t) . . . x
n,p
n
(t)
+ +
p
sgn(p) x
1,p
1
(t) x
2,p
2
(t) . . . x
n,p
n
(t).
This expression can be written more concisely as
W
X
F
(t)
n
i=1
det Y
i
(t) t I : (2.21)
Y
i
C
0
(I, R
nn
) having the same elements as X
F
, except the i
th
row [x
i1
(t) x
i2
(t) . . . x
in
(t)]
being replaced by its derivative [ x
i1
(t) x
i2
(t) . . . x
in
(t)]. But (2.14) tells us that
x
ij
(t) =
n
k=1
a
ik
(t)x
kj
(t) i, j 1, . . . , n,
where a
ij
(t)
n
i,j=1
are the elements of A(t), and hence the i
th
row of Y
i
(t) is
n
k=1
a
ik
(t)
_
x
k1
(t) x
k2
(t) . . . x
kn
(t)
.
Since the terms of this sum are multiples of the rows of Y
i
(t), the only non-zero contribution
to det Y
i
(t) is given by k = i: i.e.
det Y
i
(t) = a
ii
(t) det X
F
(t) i = 1, . . . , n t I.
Inserting these results into (2.21), we see that our dierential equation for W
X
F
is
W
X
F
(t) =
n
i=1
a
ii
(t)W
X
F
(t)
= tr
_
A(t)
_
W
X
F
(t).
t I (2.22)
A nal integration of this simple scalar linear dierential equation gives (2.19).
Example 2.4. Since
tr
_
A(t)
_
= 1 and tr
_
A(t)
_
=
2t
t
2
1
for (2.15) and (2.16) respectively, Theorem 2.7 is seen to hold for these examples.
It is often convenient to generalise Denition 2.1 and work with an arbitrary basis for the
solution space of (2.14).
Denition 2.3. If x
k
n
k=1
C
1
(I, R
n
) is any basis for the solution space of (2.14), then
X
F
C
1
(I, R
nn
) dened by
X
F
(t)
_
x
1
(t) x
2
(t) . . . x
n
(t)
t I; (2.23)
is called a fundamental solution matrix for (2.14).
In order to use a fundamental solution matrix instead of a principal fundamental matrix, one
must keep in mind the following result: if a particular solution x C
1
(I, R
n
) of (2.14) is
dened by
x(t) = X
F
(t) t I
for some R
n
, then the values of this solution at two points in I can be transformed into
one another by the formula
x(t) = X
F
(t)X
F
()
1
x() t, I.
The following two theorems are simple generalisations of Theorems 2.6 and 2.7.
Theorem 2.8. X
F
(t) R
nn
is non-singular t I.
Theorem 2.9. If the Wronskian W
X
F C
1
(I, R) is dened by
W
X
F(t) det X
F
(t) t I,
then
W
X
F(t) = W
X
F() exp
__
t
tr
_
A(s)
_
ds
_
t I.
Finally, we show how all fundamental solution matrices are simply related to one another.
72 Gerald Moore
Theorem 2.10. If X
F
is a fundamental solution matrix for (2.14), then so is X
F
C for any
non-singular C R
nn
. Similarly, if

X
F
C
1
(I, R
nn
) is also a fundamental solution matrix
for (2.14) then there exists a non-singular B R
nn
such that
X
F
(t) = X
F
(t)B t I.
Proof. Since the columns of X
F
C
1
(I, R
nn
) form a basis for the solution space of (2.14),
then so do the columns of X
F
C provided C R
nn
is non-singular.
For a given I, both X
F
() R
nn
and

X
F
() R
nn
are non-singular matrices:
hence

X
F
() = X
F
()B for the non-singular B [X
F
()]
1
X
F
() R
nn
. We have just shown,
however, that X
F
B is also a fundamental solution matrix for (2.14): hence the two fundamental
solution matrices

X
F
(t) and X
F
(t)B are identical at t = and thus, by uniqueness, must be
identical t I.
Example 2.5. All fundamental solution matrices for (2.15) and (2.16) are given by
_
1
1
2
e
t
cos(t) + sin(t)
0 e
t
_
C and
_
1 t
t 1
_
C
respectively, where C R
22
is any non-singular matrix.
2.2 Behaviour of solutions as t
In Theorem 1.17, we saw that the behaviour of the solutions (as t ) for the constant-
coecient homogeneous system (1.1) is governed by the real parts of the eigenvalues of the
coecient matrix A R
nn
. For the general homogeneous system (2.14), it is not so simple to
answer this question. In this section, we shall only consider the perturbed constant-coecient
system
x(t) = Ax(t) +B(t)x(t) t I, (2.24)
where A R
nn
, I [0, ) and B C
0
(I, R
nn
): our aim being to impose conditions on A
and B so that all solutions x C
1
(I, R
n
) of (2.24) are guaranteed to behave in a particular
way as t .
Theorem 2.11. If
Re() < 0 for all eigenvalues of A,
lim
t
|B(t)| = 0,
then all solutions x C
1
(I, R
n
) of (2.24) satisfy lim
t
x(t) = 0.
Proof. All possible solutions of (2.24) are obtained by adding an initial condition x(0) = , for
arbitrary R
n
. Regarding B(t)x(t) as an inhomogeneous term, we can apply Theorem 1.18
and obtain the integral representation
x(t) = e
At
+
_
t
0
e
A(ts)
B(s)x(s) ds t I (2.25)
for each solution x. Using Exercise 15 of Section 1.7, we know that
_
_
e
At
_
_
Ce
at
t I,
where C > 0 is a constant and a > 0 is chosen so that a is strictly greater than the real part
of any eigenvalue of A. Hence we can choose t
1
0 and 0 < <
a
C
so that
t t
1
|B(t)|
and thus obtain
|x(t)|
_
_
e
At
_
_
|| +
_
t
1
0
_
_
e
A(ts)
_
_
|B(s)| |x(s)| ds +
_
t
t
1
_
_
e
A(ts)
_
_
|x(s)| ds
Ce
at
_
|| +
_
t
1
0
e
as
|B(s)| |x(s)| ds +
_
t
t
1
e
as
|x(s)| ds
_
for t t
1
. If we then dene the constant
C C
_
|| +
_
t
1
0
e
as
|B(s)| |x(s)| ds
_
,
we arrive at the simple inequality
e
at
|x(t)|

C + C
_
t
t
1
e
as
|x(s)| ds t t
1
.
Thus Gronwalls inequality in Lemma 2.1 gives the result
|x(t)|

Ce
(Ca)t
t t
1
,
and our choice of means that x(t) 0 as t .
If we only assume that all solutions of our constant-coecient system remain bounded as
t , we must strengthen our condition on B to ensure that this property is retained.
Theorem 2.12. If
Re() 0 for all eigenvalues of A,
any zero eigenvalue of A has only 1 1 Jordan blocks associated with it,
any purely imaginary complex-conjugate pair of eigenvalues for A has only 2 2 real
Jordan blocks associated with it,
0
|B(t)| dt exists,
then all solutions x C
1
(I, R
n
) of (2.24) are bounded as t .
74 Gerald Moore
Proof. Using Exercise 14 of Section 1.7, we know that
_
_
e
At
_
_
C t I,
and hence (2.25) leads to
|x(t)| C
_
|| +
_
t
0
|B(s)| |x(s)| ds
_
t I
for any solution of (2.24). Hence Gronwalls inequality in Lemma 2.1 gives
|x(t)| C || exp
_
C
_
t
0
|B(s)| ds
_
t I
and |x(t)| is bounded as t .
Example 2.6. If a R and
A(t)
_
_
e
t t
2
+1
t
2
e
t
t
3
2
sin(t) 0 1 + e
t
(a 2)
t1
t
1 a
1t
t
_
_
in (2.14) with I (0, ), then we may write A(t) = A +B(t) with
A
_
_
0 1 0
0 0 1
a 2 1 a
_
_
and B(t)
_
_
e
t 1
t
2
e
t
t
3
2
sin(t) 0 e
t
(2 a)
1
t
0 a
1
t
_
_
.
The characteristic polynomial for A R
33
is
3
+ a
2
+ + 2 a = ( + 1)
_
2
+ [a 1] + 2 a
_
and so all eigenvalues have strictly negative real part for 1 < a < 2. Since lim
t
B(t) = 0,
Theorem 2.11 tells us that all solutions of (2.14) will tend to zero as t in this case.
We now analyse the solutions of (2.1), i.e.
x(t) = A(t)x(t) +b(t) t I, (2.26)
by using the results of Section 2.1: remembering that Theorem 2.2 and Corollary 2.3 have
already established an existence-uniqueness result for solutions of (2.26), subject to the addi-
tional condition that x() = for some I and some R
n
. First, we note two elementary
facts relating solutions of (2.26) and solutions of (2.14).
If x, y C
1
(I, R
n
) are both solutions of (2.26), then the dierence x y C
1
(I, R
n
) is
a solution of (2.14).
If y C
1
(I, R
n
) is a solution of (2.26) and x C
1
(I, R
n
) is a solution of (2.14), then
the sum y +x C
1
(I, R
n
) is a solution of (2.26).
Hence Theorem 2.5 immediately gives the following result.
Theorem 2.13. The set of solutions of (2.26) is an n-dimensional ane subspace of C
1
(I, R
n
):
i.e. if x
p
C
1
(I, R
n
) is a particular solution of (2.26), then the whole set of solutions of (2.26)
is given by
_
x
p
+x : x C
1
(I, R
n
) a solution of (2.14)
_
C
1
(I, R
n
).
Example 2.7. If we add the inhomogeneous term b(t)
_
1 1
T
t I to (2.16), then a
particular solution is
x
p
(t) (1 + t) log(1 + t)
_
1 1
T
t I.
Consequently, the general solution for this inhomogeneous system is
x
p
(t) +
_
1 t
t 1
_
t I,
where R
22
is arbitrary.
Using a principal fundamental solution matrix for (2.14), we can derive the variation of
parameters (or variation of constants) formula for each solution of (2.26).
Theorem 2.14. For some I, let X
F
C
1
(I, R
nn
) be the principal fundamental solution
matrix for (2.14): then, for any R
n
, x C
1
(I, R
n
) dened by
x(t) = X
F
(t) +X
F
(t)
_
t
_
X
F
(s)
1
b(s) ds t I
is the unique solution of (2.26) that additionally satises x() = .
Proof. For y C
1
(I, R
n
), we look for a solution of (2.26) in the form
x(t) = X
F
(t)y(t) t I;
thus the additional condition x() = requires that y() = also. Inserting this x into
(2.26) gives the immediate simplication
X
F
(t) y(t) = b(t) t I;

hence, after integrating, we obtain
y(t) = +
_
t
_
X
F
(s)
1
b(s) ds t I.
Multiplying both sides by X
F
(t) then produces the required formula.

Note that, in Theorem 2.14,
x
p
(t) X
F
(t)
_
t
_
X
F
(s)
1
b(s) ds t I
is the particular solution of(2.26) that satises x
p
() = 0: as R
n
varies in the variation
of constants formula, X
F
(t) gives all the solutions of (2.14).

76 Gerald Moore
Example 2.8. The variation of parameters formula for the inhomogeneous system in Exam-
ple 2.7, with 0, is
x(t)
_
1 t
t 1
_ _
+
_
t
0
1
1 s
2
_
1 s
s 1
_ _
1
1
_
ds
_
=
_
1 t
t 1
_ _
+ log(1 + t)
_
1
1
__
=
_
1 t
t 1
_
+ (1 + t) log(1 + t)
_
1
1
_
t I, which agrees with Example 2.7. Note that x(0) = .
2.4 Higher-order scalar equations
In this section, we analyse the solutions of the n
th
order homogeneous scalar linear equation
x
(n)
(t) + a
n1
(t)x
(n1)
(t) + + a
0
(t)x(t) = 0 t I : (2.27a)
here I is a xed interval in R, a
j
n1
j=0
C
0
(I, R), and we seek solutions x C
n
(I, R). We also
consider the inhomogeneous case
x
(n)
(t) + a
n1
(t)x
(n1)
(t) + + a
0
(t)x(t) = b(t) t I, (2.27b)
where b C
0
(I, R) is a given function and we again seek solutions x C
n
(I, R). In M1M2,
you learnt that any higher-order dierential equation could always be transformed into an
equivalent rst-order system; so we will now perform this transformation on (2.27) and then
discuss how the general results in Section 2.1 and Section 2.3 simplify in the present special
case.
For (2.27), we dene the companion matrix A C
0
(I, R
nn
) by
A(t)
_
_
0 1 0 0 0
0 0 1 0 0
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
0 0 0 0 1
a
0
(t) a
1
(t) a
2
(t) a
3
(t) . . . a
n1
(t)
_
_
t I : (2.28)
hence our rst-order system equivalent to (2.27a) is
y(t) = A(t)y(t) t I, (2.29)
1
(I, R
n
). The solutions x C
n
(I, R) of (2.27a) are related to
the solutions y C
1
(I, R
n
) of (2.29) through the correspondence
y(t)
_
x(t) x
(1)
(t) x
(n1)
(t)
T
. (2.30)
Similarly, our rst-order system equivalent to (2.27b) is
y(t) = A(t)y(t) + b(t)e
n
t I. (2.31)
Using (2.30), we know that there is a one-to-one mapping between the solutions y C
1
(I, R
n
)
of (2.31) and the solutions x C
n
(I, R) of (2.27b). Hence our fundamental existence and
uniqueness result for (2.31) in Corollary 2.3 has the following version for (2.27b).
Theorem 2.15. For each I and R
n
, there is exactly one solution of (2.27b) that
additionally satises
x
(i1)
() =
i
i = 1, . . . , n.
Theorem 2.15 states that the initial value problem for (2.27b) has a unique solution and
this enables us to describe the whole solution sets for (2.27a) and (2.27b). Thus, for the
homogeneous equation (2.27a), we have the following analogue of Theorem 2.5.
Theorem 2.16. The solutions for (2.27a) form an n-dimensional subspace of C
n
(I, R).
Similarly, for the inhomogeneous equation (2.27b), we have the following analogue of Theo-
rem 2.13.
Theorem 2.17. The solutions for (2.27b) form an n-dimensional ane subspace of C
n
(I, R):
i.e. if x
p
C
n
(I, R) is a particular solution of (2.27b), then our n-dimensional ane subspace
can be written
x
p
+ x : where x C
n
(I, R) is any solution of (2.27a) as described in Theorem 2.16 .
2.4.1 Solutions for the homogeneous equation
Unlike subsection 1.5.1, we do not have a preferential basis for the n-dimensional solution
subspace of (2.27a) in C
n
(I, R). Thus we just let
1
, . . . ,
n
C
n
(I, R) be any linearly
independent set of solutions for (2.27a) and work with C
1
(R, R
nn
) dened by
(t)
_
1
(t)
2
(t) . . .
n
(t)
1
(t)
2
(t) . . .
n
(t)
.
.
.
.
.
.
.
.
.
(n1)
1
(t)
(n1)
2
(t) . . .
(n1)
n
(t)
_
_
t I. (2.32)
Since
_
1
(t)
1
(t)
.
.
.
(n1)
1
(t)
_
_
,
_
2
(t)
2
(t)
.
.
.
(n1)
2
(t)
_
_
, . . . ,
_
n
(t)
n
(t)
.
.
.
(n1)
n
(t)
_
_
is a set of n linearly independent solutions for the equivalent rst-order system (2.29), it
follows from Theorem 2.8 that det ((t)) ,= 0 t I. Given any I and any R
n
, we
already know that there is a unique solution x
C
n
(I, R) for the initial value problem (2.27a)
augmented by
x() =
1
, x() =
2
, . . . , x
(n1)
() =
n
. (2.33)
Using our arbitrary basis of solutions
j
n
j=1
chosen above, we can write
x
(t) =
n
j=1
j
(t) t I,
78 Gerald Moore
where
R
n
is to be determined, and imposing the initial conditions leads to the non-
singular matrix problem
()
= .
For simple equations this can be solved by Cramers rule: i.e. if we dene W C
1
(I, R) by
W(t) det ((t)) t I, (2.34)
emphasising that this is a Wronskian as described in Theorem 2.9, and W
ij
C
1
(I, R) by
W
ij
(t) det (
ij
(t))
_
i, j = 1, . . . , n
t I,
(2.35)
where
ij
(t)
n
i,j=1
are obtained from (t) by replacing the i
th
column with e
j
, then Cramers
rule gives the formula
i
=
n
j=1
W
ij
()
W()

j
i = 1, . . . , n.
Note that, by using Theorem 2.9 and the structure of the companion matrix A in (2.28), it is
sometimes easier to apply the formula
W(t
2
) = e
R
t
2
t
1
a
n1
(s) ds
W(t
1
) for any t
1
, t
2
I. (2.36)
Example 2.9. It is easy to verify that the third-order homogeneous equation
...
x(t) +
2t3
2t
x(t)
t
2t
x(t) +
1
2t
x(t) = 0,
with I (, 2), has a 3-dimensional solution subspace spanned by
1
(t) t,
2
(t) e
t
and
3
(t) te
t
: hence
(t)
_
_
t e
t
te
t
1 e
t
(t + 1)e
t
0 e
t
(t + 2)e
t
_
_
t I
with
(0) =
_
_
0 1 0
1 1 1
0 1 2
_
_
, [(0)]
1
=
_
_
1
2
1
1
2
1 0 0
1
2
0
1
2
_
_
and W(0) = 2. Calculating W(t) directly agrees with the formula
W(t) = W(0)
_
t
0
2s3
s2
ds = (t 2)e
2t
t I.
The unique solution for the initial value problem with
_
x(0) x(0) x(0)
T
= is
x
(t) =
n
j=1
j
(t) t I;
where
R
n
satises
(0)
=
and equals
= [(0)]
1
=
_
_
1
2
(
1
+
3
)
1
1
2
(
3
1
)
_
_
.
2.4.2 Solutions for the inhomogeneous equation
We show how to use
j
n
j=1
, the arbitrary linearly independent set of n solutions for (2.27a)
chosen in subsection 2.4.1, to construct not only a particular solution x
p
C
n
(I, R) for (2.27b)
but also the general solution for (2.27b). (The technique we describe is the scalar analogue of
the variation of constants method in section 2.3 and almost identical to subsection 1.5.2.) To
achieve this aim, we make use of the non-singular matrices (t) t I dened in (2.32).
We seek x
p
C
n
(I, R) in the form
x
p
(t)
n
k=1
k
(t)v
k
(t) t I, (2.37)
where v
k
n
k=1
C
1
(I, R) are to be determined. By insisting that v C
1
(I, R
n
) satises
(t) v(t) = b(t)e
n
t I, (2.38)
where v C
1
(I, R
n
) is dened by
v(t)
_
v
1
(t) v
2
(t) . . . v
n
(t)
T
t I,
we can force x
p
C
n
(I, R) and x
p
to satisfy (2.27b). This follows from dierentiating (2.37)
to obtain
x
p
(t) =
n
k=1
k
(t)v
k
(t) +
k
(t) v
k
(t) =
n
k=1
k
(t)v
k
(t) t I
and then repeating the idea to obtain
x
(i)
p
(t) =
n
k=1
(i)
k
(t)v
k
(t) t I (2.39)
for i = 0, . . . , n 1. A nal dierentiation gives
x
(n)
p
(t) =
n
k=1
_
(n)
k
(t)v
k
(t) +
(n1)
k
(t) v
k
(t)
_
= b(t) +
n
k=1
(n)
k
(t)v
k
(t)
t I;
and thus we have not only shown that x
p
C
n
(R, R) but also that
/
_
x
p
_
(t) x
(n)
p
(t) +
n1
i=1
a
i
(t)x
(i)
p
(t) = b(t) +
n
k=1
v
k
(t)
_
(n)
k
(t) +
n1
i=0
a
i
(t)
(i)
k
(t)
_
= b(t) +
n
k=1
v
k
(t)/
_
k
_
(t)
= b(t) t I
veries x
p
satises (2.27b).
80 Gerald Moore
By making use of W C
1
(I, R) dened in (2.34) and W
kn
n
k=1
C
1
(I, R) dened in
(2.35), we can apply Cramers rule to (2.38) and obtain the formula
v
k
(t) =
W
kn
(t)
W(t)
b(t)
_
k = 1, . . . , n
t I.
Hence we can choose any I and use (2.37) to dene our particular solution to be
x
p
(t)
n
k=1
k
(t)
_
t
W
kn
(s)
W(s)
b(s) ds t I,
which imposes the initial conditions
x
p
() = 0, x
p
() = 0, . . . , x
(n1)
p
() = 0 (2.40)
because of (2.39).
To obtain the general solution of (2.27b), we add the general solution of (2.27a) to our
particular solution of (2.27b). Since
n
k=1
k
(t) t I
for arbitrary R
n
is our general solution of (2.27a) and we have constructed x
p
above, the
general solution of (2.27b) is
x(t) =
n
k=1
k
(t) + x
p
(t)
=
n
k=1
k
(t)
_
k
+
_
t
W
kn
(s)
W(s)
b(s) ds
_
t I (2.41)
for arbitrary R
n
.
By consideration of the equivalent rst-order system, we already know from Theorem 2.2
that, given any I and any R
n
C
n
(I, R) for the initial
value problem (2.27b) augmented by the initial conditions (2.33). Using the general solution
in (2.41), we can write
x
(t) =
n
j=1
j
(t) + x
p
(t) t I,
where
R
n
is to be determined. Imposing the initial conditions, and noting that we have
constructed x
p
to satisfy (2.40), leads to the linear algebra problem
()
=
with () R
nn
non-singular. Again, in simple cases we can use Cramers rule to explicitly
display the solution of this linear system.
Example 2.10. For the second-order inhomogeneous scalar equation
x(t)
2
t
2
x(t) = t t I (0, ),
we have
1
(t) t
2
and
2
(t) t
1
as a set of 2 linearly independent solutions of the corresponding homogeneous scalar equation.
Hence we look for a particular solution x
p
C
2
(I, R) in the form
x
p
(t) t
2
v
1
(t) + t
1
v
2
(t) t I,
where v
1
and v
2
satisfy
_
t
2
t
1
2t t
2
_ _
v
1
(t)
v
2
(t)
_
=
_
0
t
_
.
With W(t) = 3, W
12
(t) = t
1
and W
22
(t) = t
2
, we have v
1
(t) =
1
3
and v
2
(t) =
t
3
3
. Hence
we can choose v
1
(t) =
t
3
, v
2
(t) =
t
4
12
and write x
p
(t) =
t
3
4
.
The general solution of the inhomogeneous equation is
x(t)
1
t
2
+
2
t
1
+
t
3
4
t I
for arbitrary R
2
.
Example 2.11. We continue Example 2.9 and now consider the corresponding scalar inho-
mogeneous equation
...
x(t) +
2t3
2t
x(t)
t
2t
x(t) +
1
2t
x(t) = b(t)
for general b C
0
(I, R). Calculating
W
13
(t) = e
2t
, W
23
(t) = t
2
e
t
and W
33
(t) = (t 1)e
t
means that a particular solution is
x
p
(t)
_
1
(t)
2
(t)
3
(t)
_
t
0
g(s)b(s) ds,
where
g(t) [(t)]
1
e
3
=
1
t2
_
1 t
2
e
t
(t 1)e
t
T
.
2.5 Exercises
1 Prove that the set of scalar functions
1
(t),
2
(t),
3
(t), dened by
1
(t) 3,
2
(t) 3 sin
2
(t) and
3
(t) 4 cos
2
(t),
is linearly dependent.
82 Gerald Moore
2 Verify that a fundamental solution matrix for
x(t) =
_
1 2e
t
e
t
1
_
x(t) t R
is
X
F
(t)
_
e
t
2
1 e
t
_
.
Also, nd the unique solution of this dierential equation which satises x(0) =
_
1 1
T
.
3 Argue in terms of solutions of (2.14) to prove that X
F
(t) X
F
t
() = I , t I; i.e. these two
matrices are inverses of each other. In addition, prove that
X
F
(t) = X
F
s
(t)X
F
(s) , s, t I.
4 Write out the proofs carefully for Theorems 2.8 and 2.9.
5 Is the following variation of Theorem 2.10 true, and if not why not? If X
F
C
1
(I, R
nn
)
is a fundamental solution matrix for (2.14), then CX
F
is also a fundamental solution matrix
provided that C R
nn
is non-singular.
6 What is wrong with the following argument for nding n linearly independent solutions of
(2.14)?
For I, dene
B(t)
_
t
A(s) ds t I :
then
d
dt
_
e
B(t)
_
= A(t)e
B(t)
and e
B()
= I.
7 Suppose we are told that X
F
C
1
(I, R
nn
) is a fundamental solution matrix for (2.14), but
we are not given A C
0
(I, R
nn
). Determine a formula for A in terms of X
F
.
8 Suppose B C
1
(I, R
nn
) is non-singular t I. First prove that B
1
C
1
(I, R
nn
) and then
show that
d
dt
B
1
(t) = [B(t)]
1
B(t) [B(t)]
1
t I.
(Hint: use the co-factor formula for [B(t)]
1
, and then the identity B(t)[B(t)]
1
= I.)
9 (a) If X
F
C
1
(I, R
nn
) is a fundamental solution matrix for (2.14), establish that Y
F
C
1
(I, R
nn
), dened by
Y
F
(t) =
_
X
F
(t)
T
t I,
is a fundamental solution matrix for the homogeneous equation
() y(t) = [A(t)]
T
y(t) t I,
(Hint: use the previous exercise.)
(b) If X
F
C
1
(I, R
nn
) is a fundamental solution matrix for (2.14), prove that Y
F
C
1
(I, R
nn
) is a fundamental solution matrix for () if and only if
_
Y
F
(t)
T
X
F
(t) = B t I,
where B R
nn
is non-singular.
(c) If, in (2.14),
[A(t)]
T
= A(t) t I
(i.e. A(t) is skew-symmetric t I), prove that
_
X
F
(t)
T
X
F
(t) = C t I,
where X
F
C
1
(I, R
nn
) is a fundamental solution matrix for (2.14) and C R
nn
is
non-singular. (Of course, C depends on X
F
.)
10 Consider the matrix dierential equation
()

X(t) = A(t)X(t) +X(t)B(t) t I
for the unknown X C
1
(I, R
nn
): here A, B C
0
(I, R
nn
) are given data.
(a) If X
F
C
1
(I, R
nn
) is a fundamental solution matrix for (2.14) and Y
F
C
1
(I, R
nn
) is
a fundamental solution matrix for the homogeneous equation
y(t) = [B(t)]
T
y(t) t I :
verify that
X
F
(t)C
_
Y
F
(t)
T
is a solution of () for any C R
nn
.
(b) Conversely, if Z C
1
(I, R
nn
) is a solution of (), show that C R
nn
such that
Z(t) X
F
(t)C
_
Y
F
(t)
T
t I.
(Hint: dierentiate [X
F
(t)]
1
Z(t)[Y(t)]
T
.)
11 For n = 2 and I (0, ), consider the homogeneous equation
x(t) =
1
t
2
_
0 t
2
3 3t
_
x(t) t I.
(a) Verify that
X
F
(t)
_
t t
3
1 3t
2
_
t I
is a fundamental solution matrix.
(b) Compute the Wronskian W
X
F C
1
(I, R) for this fundamental solution, and verify that
W
X
F(t) = W
X
F(1) exp
__
t
1
tr
_
A(s)
_
ds
_
t I.
84 Gerald Moore
12 Dene X C
(R, R
22
) by
X(t)
_
t
2
t
3
t t
2
_
t R.
(a) Verify that the columns of X are linearly independent, as a subset of C
(R, R
2
).
(b) Verify that det(X(t)) = 0 t R.
Is anything wrong?
13 Suppose X
F
C
1
(I, R
nn
) is a fundamental solution matrix for (2.14).
(a) If [A(t)]
T
= A(t) t I, prove that W
X
F(t) is independent of t I.
(b) If tr
_
A(t)
_
= 0 t I, prove that W
X
F(t) is independent of t I.
14 If
A
_
0 1
2 0
_
and B
_
0 2
1 0
_
,
verify that all solutions of both
x(t) = Ax(t) and x(t) = Bx(t)
are bounded as t . Then verify that
x(t) = [A +B] x(t)
has some solutions that are unbounded as t .
15 Consider the inhomogeneous equation
() x(t) = Ax(t) +B(t)x(t) +b(t),
where A R
nn
, B C
0
(I, R
nn
), b C
0
(I, R
n
) with I [0, ). Also assume that
Re() 0 for all eigenvalues of A,
any zero eigenvalue of A has only 1 1 Jordan blocks associated with it,
any purely imaginary complex-conjugate pair of eigenvalues for A has only 2 2 real
Jordan blocks associated with it,
0
|B(t)| dt and
_
0
|b(t)| dt exist.
Use the variation of constants formula to prove that the unique solution of () with x(0) =
is bounded as t . Is it possible to weaken the assumption on |b(t)| and still obtain the
same conclusion?
16 How would Theorem 2.14 change if an arbitrary fundamental solution matrix were used in the
variation of constants formula, rather than a principal fundamental solution matrix?
17 Use x(t) t
for R to nd the general solutions over I (0, ) for the two scalar
equations
x(t)
4
t
x(t) +
6
t
2
x(t) = 0 and
...
x(t)
2
t
x(t) +
2
t
2
x(t) = 0 :
then use the variation of constants formula to solve the two inhomogeneous initial-value prob-
lems
x(t)
4
t
x(t) +
6
t
2
x(t) = t x(1) = x(1) = 0
and
...
x(t)
2
t
x(t) +
2
t
2
x(t) = 5 x(1) = x(1) = x(1) = 0.
18 If the components of x
F
C
n
(I, R
n
) form a basis for the solution space of (2.27a), explain
why
x
_
x
F
T
_
Y
F
()
1
e
n
C
n
(I, R)
is the solution that satises the initial condition
x
(n1)
() = 1 and x
(k)
() = 0 for k = 0, . . . , n 2.
19 Does Theorem 2.12 apply to the scalar equation
x(t)
2
t+1
x(t) + x(t) = 0?
I.e. after transformation to rst-order form, determine all the solutions for both
x(t) = Ax(t) and x(t) = [A +B(t)] x(t).
Hint: try x(t) cos(t) + [t + 1] sin(t) and the analogous expression.
20 Consider the scalar homogeneous equation
x(t) + a
1
(t) x(t) + a
0
(t)x(t) = 0 t I
and the corresponding inhomogeneous equation
x(t) + a
1
(t) x(t) + a
0
(t)x(t) = b(t) t I,
where a
0
, a
1
, b C
0
(I, R).
(a) Show that the variation of parameters formula for the general solution of the inhomoge-
neous equation gives
x(t) =
1
x
1
(t) +
2
x
2
(t) +
_
t
x
1
(s)x
2
(t) x
1
(t)x
2
(s)
x
1
(s) x
2
(s) x
1
(s)x
2
(s)
b(s) ds t I;
where R
2
are arbitrary constants and x
1
, x
2
C
2
(R, R) are a pair of linearly inde-
pendent solutions for the homogeneous equation.
(b) Verify that the particular solution
x
p
(t)
_
t
x
1
(s)x
2
(t) x
1
(t)x
2
(s)
x
1
(s) x
2
(s) x
1
(s)x
2
(s)
b(s) ds t I
of the inhomogeneous equation satises x
p
() = 0 and x
p
() = 0.
Chapter 3
Periodic Linear Equations
In this chapter, we are investigating the same homogeneous system
x(t) = A(t)x(t) t R (3.1)
and the same inhomogeneous system
x(t) = A(t)x(t) +b(t) t R (3.2)
as in Chapter 2: thus A C
0
(R, R
nn
) and b C
0
(R, R
n
) are our given data and we seek
solutions x C
1
(R, R
n
). The key dierence is that, throughout the present chapter, we now
assume T > 0 such that
A(t + T) = A(t) t R; (3.3)
this is why our equations are posed over R in the present chapter, rather than over some
smaller interval I.
Denition 3.1. T > 0 is called a period of A; if (3.3) is satised by no smaller value of T
then it is called the minimal period.
Example 3.1. A R
22
dened by
_
cos t sin t
sin t cos t
_
has period 2k k N and minimal period 2.
Of course, everything that we discovered about the solutions of (3.1) and (3.2) in Chapter 2
remains true under the extra assumption (3.3). The questions we consider in this chapter
are dierent, because we want to know about the solutions of (3.1) and (3.2) with special
properties.
Denition 3.2. z C
0
(R, R
n
) is called periodic or anti-periodic if
z(t + T) = z(t) or z(t + T) = z(t) t R.
Example 3.2. Fourier series are a good way of representing periodic and anti-periodic func-
tions: thus, for z C
0
(R, R
n
) periodic, we write
z(t) z
c
0
+
k=1
_
z
c
k
cos
2kt
T
+z
s
k
sin
2kt
T
_
t R,
86
where z
c
k
k=0
R
n
and z
s
k
k=1
R
n
are the Fourier coecients of z; similarly, for z
C
0
(R, R
n
) anti-periodic, we write
z(t)
k=0
_
z
c
k
cos
(2k+1)t
T
+z
s
k
sin
(2k+1)t
T
_
t R,
where z
c
k
k=0
R
n
and z
s
k
k=0
R
n
are the Fourier coecients of z. Of course, an
anti-periodic function has no constant Fourier mode. (In this course, we will not consider
convergence of such Fourier series, nor whether the limiting function is continuous or contin-
uously dierentiable.)
In Section 3.1, we will consider both periodic and anti-periodic solutions of (3.1); similarly, in
Section 3.4, we will consider both periodic and anti-periodic solutions of (3.2). Of course, we
cannot (in general) expect periodic or anti-periodic solutions of (3.2) unless b C
0
(R, R
n
) is
correspondingly periodic or anti-periodic.
The other key point that we shall stress in Sections 3.3 and 3.4 is that (3.1) and (3.2)
are almost as simple as (1.1) and (1.15). To be more precise, Floquet theory in Section 3.3
enables us to transform (3.1) into (1.1) and (3.2) into (1.15): hence periodic linear equations
and constant-coecient equations retain many similar properties. For example, one should
compare Theorem 3.6 with Theorem 1.17.
3.1 Homogeneous systems
It must be immediately admitted that, in general, we cannot expect any non-trivial periodic
or anti-periodic solutions of (3.1). (Of course, there is always the trivial zero solution, but we
will ignore this.)
Example 3.3. For n = 1 and a(t) 1 + sin t t R, we have T 2 and our general
solution of (3.1) is
x(t) e
tcos t
t R,
where R is an arbitrary constant. Thus (3.1) has no periodic or anti-periodic solutions
in this case. Note, however, that the change-of-variable x(t) = e
cos t
y(t) will transform (3.1)
into the constant-coecient equation y(t) = y(t).
We can, however, consider under what conditions on A C
0
(R, R
nn
) there will exist periodic
or anti-periodic solutions of (3.1): that is, we can start to examine the eect of assumption
(3.3) on the fundamental solution matrices of (3.1).
Denition 3.3. X
F
0
(T) is called the monodromy matrix for (3.1) and the eigenvalues of X
F
0
(T)
are called the Floquet multipliers for (3.1). (They are all non-zero from Theorem 2.6.)
Although we have dened the Floquet multipliers in terms of a particular principal fundamen-
tal solution matrix, they can actually be obtained from any fundamental solution matrix of
(3.1).
Theorem 3.1. For any given fundamental solution matrix X
F
C
1
(R, R
nn
) of (3.1), there
exists a non-singular B R
nn
such that
X
F
(t + T) = X
F
(t)B t R.
88 Gerald Moore
In addition, B is similar to X
F
0
(T) and thus all these matrices B have the Floquet multipliers
as their eigenvalues.
Proof. If we dene Y C
1
(R, R
nn
) by
Y(t) X
F
(t + T) t R,
then it is easy to show that Y must also be a fundamental solution matrix for (3.1). Firstly
X
F
(t + T) = A(t + T)X
F
(t + T)

Y(t) = A(t + T)Y(t)

Y(t) = A(t)Y(t)
t R and secondly Y(t) is non-singular t R. We know from Theorem 2.10 in Chapter 2
that any two such fundamental solution matrices are related by
Y(t) = X
F
(t)B t R,
for some non-singular B R
nn
: hence the rst part of the theorem follows.
For the second part of the theorem, we again use Theorem 2.10 to show that there exists
a non-singular C R
nn
such that
X
F
(t) = X
F
0
(t)C t R.
Using this last result for t = 0 and t = T, combined with the rst part of the theorem at
t = 0, nally gives
B = C
1
X
F
0
(T)C.
Note that the matrix B for the fundamental solution matrix X
F
0
is simply X
F
0
(T) itself and
X
F
0
(nT) =
_
X
F
0
(T)
n
n Z.
Now we see how the Floquet multipliers tell us about the periodic and anti-periodic solu-
tions of (3.1).
Theorem 3.2. A Floquet multiplier equal to 1 is a necessary and sucient condition for (3.1)
to have a periodic solution. In addition, the periodic solutions of (3.1) form a p
p
-dimensional
subspace of C
1
(R, R
n
), where p
p
is the geometric multiplicity of the Floquet multiplier 1 as an
eigenvalue of X
F
0
(T); i.e. the dimension of the null-space of X
F
0
(T) I.
Proof. If x C
1
(R, R
n
) is a periodic solution of (3.1), then
x(0) = x(T) = X
F
0
(T)x(0);
i.e. x(0) R
n
(which must be non-zero) is an eigenvector corresponding to the eigenvalue 1
of X
F
0
(T). Thus there is a Floquet multiplier of (3.1) equal to 1. On the other hand, if 1 is a
Floquet multipier for (3.1), then there exists a non-zero R
n
such that
X
F
0
(T) = .
Hence x C
1
(R, R
n
) dened by
x(t) X
F
0
(t) t R
shows that
x(t + T) = X
F
0
(t + T)
= X
F
0
(t)X
F
0
(T)
= X
F
0
(t) = x(t)
_
_
t R
and thus x is a periodic solution of (3.1). This concludes the rst part of the theorem.
Suppose x
1
, x
2
, . . . , x
p
p
span a p
p
-dimensional subspace of C
1
(R, R
n
) and every element
of this subspace is a periodic solution of (3.1). Then
1
,
2
, . . . ,
p
p
dened by
k
= x
k
(0) k = 1, . . . , p
p
span a p
p
-dimensional subspace of R
n
. In addition,
X
F
0
(T)
k
= x
k
(T) = x
k
(0) =
k
k = 1, . . . , p
p
means that the null-space of X
F
0
(T) I is at least p
p
-dimensional. On the other hand, suppose
the null-space of X
F
0
(T) I is p
p
-dimensional: i.e. there exists a linearly independent set
1
,
2
, . . . ,
p
p
R
n
satisfying
X
F
0
(T)
k
=
k
k = 1, . . . , p
p
.
Consequently, x
1
, x
2
, . . . , x
p
p
C
1
(R, R
n
) dened by
x
k
(t) X
F
0
(t)
k
t R, k = 1, . . . , p
p
are all solutions of (3.1) and form a p
p
1
(R, R
n
). However,
x
k
(t + T) = X
F
0
(t + T)
k
= X
F
0
(t)X
F
0
(T)
k
= X
F
0
(t)
k
= x
k
(t)
_
_
t R
1 k p
p
shows that all the solutions in this subspace are periodic.
Theorem 3.3. A Floquet multiplier equal to 1 is a necessary and sucient condition for
(3.1) to have an anti-periodic solution. In addition, the anti-periodic solutions of (3.1) form
a p
a
1
(R, R
n
), where p
a
is the geometric multiplicity of the Floquet
multiplier 1 as an eigenvalue of X
F
0
(T); i.e. the dimension of the null-space of X
F
0
(T) +I.
Proof. If x C
1
(R, R
n
) is an anti-periodic solution of (3.1), then
x(0) = x(T) = X
F
0
(T)x(0);
i.e. x(0) R
n
(which must be non-zero) is an eigenvector corresponding to the eigenvalue 1
of X
F
0
(T). Thus there is a Floquet multiplier of (3.1) equal to 1. On the other hand, if 1
is a Floquet multipier for (3.1), then there exists a non-zero R
n
such that
X
F
0
(T) = .
Hence x C
1
(R, R
n
) dened by
x(t) X
F
0
(t) t R
90 Gerald Moore
shows that
x(t + T) = X
F
0
(t + T)
= X
F
0
(t)X
F
0
(T)
= X
F
0
(t) = x(t)
_
_
t R
and thus x is an anti-periodic solution of (3.1). This concludes the rst part of the theorem.
Suppose x
1
, x
2
, . . . , x
p
a
span a p
a
1
(R, R
n
) and every element
of this subspace is an anti-periodic solution of (3.1). Then
1
,
2
, . . . ,
p
a
dened by
k
= x
k
(0) k = 1, . . . , p
a
span a p
a
n
. In addition,
X
F
0
(T)
k
= x
k
(T) = x
k
(0) =
k
k = 1, . . . , p
a
means that the null-space of X
F
0
(T) +I is at least p
a
-dimensional. On the other hand, suppose
the null-space of X
F
0
(T) + I is p
a
-dimensional: i.e. there exists a linearly independent set
1
,
2
, . . . ,
p
a
R
n
satisfying
X
F
0
(T)
k
=
k
k = 1, . . . , p
a
.
Consequently, x
1
, x
2
, . . . , x
p
a
C
1
(R, R
n
) dened by
x
k
(t) X
F
0
(t)
k
t R, k = 1, . . . , p
a
are all solutions of (3.1) and form a p
a
1
(R, R
n
). However,
x
k
(t + T) = X
F
0
(t + T)
k
= X
F
0
(t)X
F
0
(T)
k
= X
F
0
(t)
k
= x
k
(t)
_
_
t R
1 k p
a
shows that all the solutions in this subspace are anti-periodic.
Example 3.4. For n = 2 and
A(t)
_
1 + [cos t]
2
1 cos t sin t
1 cos t sin t 1 + [sin t]
2
_
T 2
with R, (3.1) has the two independent solutions
e
(1)t
_
cos t
sin t
_
e
t
_
sin t
cos t
_
and so
X
F
0
(t) e
t
_
e
t
cos t sin t
e
t
sin t cos t
_
.
Thus the monodromy matrix
X
F
0
(2) = e
2
_
e
2
0
0 1
_
and so the Floquet multipliers are e
2
and e
2(1)
. Hence (3.1) has no anti-periodic solutions
for any value of R and no periodic solutions unless = 1: in the latter case, the 1-
dimensional subspace of periodic solutions consists of multiples of
_
cos t sin t
T
.
3.2 Matrix logarithm
In the next section, we shall need the solution of
B = e
L
; (3.4)
here B R
nn
is a given matrix and L R
nn
is to be determined. For obvious reasons, we
think of L as the matrix logarithm of B. Even for n = 1, however, there are diculties:
b = 0 means no solution, even if l C were allowed;
b < 0 means no solution for l R.
Apart from these two restrictions, however, we can construct a solution of (3.4).
Theorem 3.4. If B R
nn
is non-singular and has no real negative eigenvalues, then L
R
nn
such that (3.4) holds. The eigenvalues of L are the logarithms of the eigenvalues of B:
thus the imaginary part of any complex eigenvalue of L is only unique mod 2.
Proof. Let B have real Jordan form
B = PJP
1
as in Section A.1 of the Appendix: so P R
nn
is non-singular and J R
nn
has block
diagonal form
J
_
_
J
R
1
.
.
.
J
R
n
R
J
C
1
.
.
.
J
C
n
C
_
_
J
R
k
R
n
R
k
n
R
k
, J
C
k
R
2n
C
k
2n
C
k
n
R
k=1
n
R
k
+ 2
n
C
k=1
n
C
k
= n.
Here, each Jordan block J
R
k
corresponds to a strictly positive real eigenvalue
k
, so that
J
R
k
=
_
k
1
k
.
.
.
.
.
.
1
k
_
_
, (3.5)
and each J
C
k
corresponds to a pair of complex-conjugate eigenvalues
R
k
i
I
k
, so that
J
C
k

_
k
I
k
.
.
.
.
.
.
I
k
_
_
with
k

_

R
k

I
k
I
k

R
k
_
R
22
I R
22
.
(3.6)
If we can nd L
R
k
R
n
R
k
n
R
k
k = 1, . . . , n
R
and L
C
k
R
2n
C
k
2n
C
k
k = 1, . . . , n
C
such that
J
R
k
= e
L
R
k
k = 1, . . . , n
R
and J
C
k
= e
L
C
k
k = 1, . . . , n
C
,
92 Gerald Moore
then Example 1.5 shows that L R
nn
dened by
L P
_
_
L
R
1
.
.
.
L
R
n
R
L
C
1
.
.
.
L
C
n
C
_
_
P
1
will satisfy (3.4). Hence we consider separately the two possibilities for each Jordan block.
As in the Appendix, we write J
R
k

k
I +N for (3.5): thus we need to dene log(J
R
k
) so
that it is the inverse function for the matrix exponential, i.e.
log
_
J
R
k
_
= L
R
k
J
R
k
= e
L
R
k
.
We know that the series expansion
e
z
= 1 + z +
z
2
2!
+ . . .
is valid z C, but the analogous series
log(1 + z) = p(z) z
z
2
2
+
z
3
3
. . .
is only valid for [z[ < 1. Nevertheless, if we simply match the coecients of powers of
z, we see that the formal result
1 + z = e
log(1+z)
= 1 + p(z) +
[p(z)]
2
2!
+ . . .
holds. Hence we can dene
L
R
k
= log(J
R
k
) = log
_
k
[I +
1
k
N]
_
= log(
k
)I + log(I +
1
k
N)
log(
k
)I +
1
k
N
1
2
_
1
k
N
2
+ +
(1)
n
R
k
n
R
k
1
_
1
k
N
n
R
k
1
,
which is merely a nite series because N is nilpotent, and thus obtain the upper triangular
Toeplitz matrix
L
R
k

_
_
r
1
r
2
r
3
. . . r
n
R
k
r
1
r
2
.
.
.
.
.
.
.
.
.
.
.
.
r
3
.
.
.
r
2
r
1
_
_
r
1
log
k
r
j

(1)
j
j1

1j
k
j = 2, . . . , n
R
k
.
Then, by simply matching powers of N, we verify that
e
L
R
k
= exp
_
log(
k
)I
_
exp
_
1
k
N
1
2
_
1
k
N
2
+ +
(1)
n
R
k
n
R
k
1
_
1
k
N
n
R
k
1
_
=
k
_
I +
1
k
N
_
=
k
I +N = J
R
k
.
The argument with J
C
k
of the form (3.6) is similar: we dene L
C
k
to be the upper triangular
block Toeplitz matrix
L
C
k

_
_
R
1
R
2
R
3
. . . R
n
C
k
R
1
R
2
.
.
.
.
.
.
.
.
.
.
.
.
R
3
.
.
.
R
2
R
1
_
_
R
1
log
k
=
_
log [
k
[ arg(
k
)
arg(
k
) log [
k
[
_
R
j

(1)
j
j1

1j
k
j = 2, . . . , n
C
k
with arg(
k
) (0, ). The rest of the argument is the same as in the rst case, with
2 2 blocks replacing scalars.
Example 3.5. We can evaluate the logarithm of the 5 5 Pascal matrix
P
5

_
_
1 1 1 1 1
1 2 3 4
1 3 6
1 4
1
_
_
by writing P
5
I +N, where N is nilpotent, and using
log (I +N) = N
1
2
N
2
+
1
3
N
3
1
4
N
4
.
Since N, N
2
, N
3
, N
4
are given by
_
_
0 1 1 1 1
0 2 3 4
0 3 6
0 4
0
_
_
_
_
0 0 2 6 14
0 0 6 24
0 0 12
0 0
0
_
_
_
_
0 0 0 6 36
0 0 0 24
0 0 0
0 0
0
_
_
_
_
0 0 0 0 24
0 0 0 0
0 0 0
0 0
0
_
_
respectively, we have
log (P
5
) =
_
_
0 1
0 2
0 3
0 4
0
_
_
.
Pascal matrices are upper triangular and their columns contain the corresponding rows of
Pascals triangle. It is a curious fact that log(P
n
) always consists of just the single non-zero
super-diagonal containing the integers 1 n 1.
3.3 Floquet theory
Floquet theory will tell us that (3.3), our basic assumption in this chapter, leads to two very
important results.
94 Gerald Moore
Every fundamental solution matrix for (3.1) has a very special structure.
Periodic linear systems, like (3.1) and (3.2), can be transformed into constant-coecient
linear systems.
Thus some of the key results from Chapter 1 will carry over to the present chapter.
We rst illustrate the basic idea by constructing particular solutions of (3.1) associated with
individual Floquet multipliers in the following three cases: a positive real Floquet multiplier,
a negative real Floquet multiplier and a complex-conjugate pair of Floquet multipliers.
I. If > 0 is a real Floquet multiplier, then there exists a non-zero u R
n
such that
X
F
0
(T)u = u. (3.7)
We can now dene R by = e
T
, but note that we could not have done this if
was negative. Also we can dene p C
1
(R, R
n
) by
p(t) e
t
X
F
0
(t)u t R, (3.8)
which means that
p(t)e
t
X
F
0
(t)u t R (3.9a)
is a solution of (3.1) and that
p(t) +A(t)p(t) = p(t) t R. (3.9b)
We should think of as an eigenvalue for (3.1) and p as a corresponding eigenfunction.
Our denition of and p ensures that
p(t + T) = e
(t+T)
X
F
0
(t + T)u
=
1
e
t
X
F
0
(t)X
F
0
(T)u
= e
t
X
F
0
(t)u = p(t)
_
_
t R
and so p is periodic. Of course, our solution in (3.9a) is not periodic unless = 0,
i.e. = 1.
II. If < 0 is a real Floquet multiplier, then again there exists a non-zero u R
n
such
that (3.7) holds. Now, however, we dene R by = e
T
, but note that we could
not have done this if was positive. We can then again dene p C
1
(R, R
n
) by (3.8),
so that and p will again satisfy (3.9). The big dierence now is that our denition of
and p mean that
p(t + T) = e
(t+T)
X
F
0
(t + T)u
=
1
e
t
X
F
0
(t)X
F
0
(T)u
= e
t
X
F
0
(t)u = p(t)
_
_
t R
and so p is anti-periodic according to Denition 3.2. Now our solution in (3.9a) is not
anti-periodic unless = 0, i.e. = 1.
III. If
R
i
I
is a complex-conjugate pair of Floquet multipliers, then there exist u
R
, u
I
R
n
(with u
I
,= 0) such that
X
F
0
(T)
_
u
R
iu
I
=
_
R
i
I
_ _
u
R
iu
I
;
in real form, this eigenvalue-eigenvector equation can be written
X
F
0
(T)
_
u
R
u
I
=
_
u
R
u
I
_

R
R
_
.
From here we may proceed either as in I or as in II.
(a) We can dene
R
,
I
R by e
(
R
+i
I
)T
=
R
+ i
I
, i.e. [[ = e
R
T
and
I
T = arg()
or in matrix form
e
R
T
_
cos
I
T sin
I
T
sin
I
T cos
I
T
_
=
_

R
R
_
.
Hence, if we dene p
R
, p
I
C
1
(R, R
n
) by
_
p
R
(t) p
I
(t)
R
t
X
F
0
(t)
_
u
R
u
I
_
cos
I
t sin
I
t
sin
I
t cos
I
t
_
t R, (3.10)
then
_
p
R
(t) p
I
(t)
R
t
_
cos
I
t sin
I
t
sin
I
t cos
I
t
_
X
F
0
(t)
_
u
R
u
I
t R, (3.11a)
are two linearly independent solutions of (3.1) and
d
dt
_
p
R
(t) p
I
(t)
+A(t)
_
p
R
(t) p
I
(t)
=
_
p
R
(t) p
I
(t)
_

R
R
_
t R.
(3.11b)
Our denitions of
R
,
I
, p
R
, p
I
ensure that p
R
and p
I
are periodic, i.e.
_
p
R
(t + T) p
I
(t + T)
R
(t+T)
X
F
0
(t + T)
_
u
R
u
I
_
cos
I
(t + T) sin
I
(t + T)
sin
I
(t + T) cos
I
(t + T)
_
= e
R
T
e
R
t
X
F
0
(t)X
F
0
(T)
_
u
R
u
I
_
cos
I
(t + T) sin
I
(t + T)
sin
I
(t + T) cos
I
(t + T)
_
= e
R
T
e
R
t
X
F
0
(t)
_
u
R
u
I
_

R
R
_ _
cos
I
(t + T) sin
I
(t + T)
sin
I
(t + T) cos
I
(t + T)
_
= e
R
t
X
F
0
(t)
_
u
R
u
I
_
cos
I
t sin
I
t
sin
I
t cos
I
t
_
=
_
p
R
(t) p
I
(t)
holds t R. Of course, our solutions in (3.11a) are not periodic.

96 Gerald Moore
(b) Alternatively, we can dene
R
,
I
R by e
(
R
+i
I
)T
=
_
R
+ i
I
_
or in matrix
form
e
R
T
_
cos
I
T sin
I
T
sin
I
T cos
I
T
_
=
_

R
R
_
,
but still dene p
R
, p
I
C
1
(R, R
n
) by (3.10). Then they will still satisfy (3.11), but
now a similar analysis shows that
_
p
R
(t) p
I
(t)
are anti-periodic, i.e.

_
p
R
(t + T) p
I
(t + T)
=
_
p
R
(t) p
I
(t)
t R.
Again, our solutions in (3.11a) are not anti-periodic.
Note that we have the same formula for
R
in both a and b above, i.e. e
R
T
= [[,
although
I
is dened dierently. This will be important later.
Now we can use the above ideas to show how every fundamental solution matrix X
F
C
1
(R, R
nn
) for (3.1) has a special structure.
Theorem 3.5. If X
F
C
1
(R, R
nn
) is a fundamental solution matrix for (3.1) then it has
the form
X
F
(t) P(t)e
Lt
t R;
where L R
nn
, P C
1
(R, R
nn
) and P(t) is non-singular t R. P has both periodic and
anti-periodic properties in the following sense: there is a direct sum
R
n
= o
1
o
2
,
where o
1
and o
2
are subspaces of R
n
, such that
x o
1
P(t + T)x = P(t)x
x o
2
P(t + T)x = P(t)x
_
t R.
Proof. From Theorem 3.1, we know that B R
nn
such that
X
F
(t + T) = X
F
(t)B t R
and B is similar to the monodromy matrix X
F
0
(T) of (3.1). Thus we choose a real Jordan
canonical form for B, so that BY = YJ, with the structure
Y
_
Y
1
Y
2
Y
1
R
nn
1
Y
2
R
nn
2
and J
_
J
1
J
2
_
J
1
R
n
1
n
1
J
2
R
n
2
n
2
.
Our choice must satisfy the following restrictions, but usually many dierent choices are
allowable.
If B has a Jordan block corresponding to a positive real eigenvalue then this block must
be part of J
1
.
On the other hand, if B has a Jordan block corresponding to a negative real eigenvalue
then this block must be part of J
2
.
Using section 3.2, we can then construct L
1
R
n
1
n
1
and L
2
R
n
2
n
2
so that
J
1
= e
L
1
T
and J
2
= e
L
2
T
;
nally dening L R
nn
by
L Y
_
L
1
L
2
_
Y
1
.
The reason for dening L in this way is that now
e
LT
= Y
_
e
L
1
T
e
L
2
T
_
Y
1
= Y
_
J
1
J
2
_
Y
1
.
If we now dene P C
1
(R, R
nn
) through
P(t) X
F
(t)e
Lt
t R,
we see that
P(t + T) = X
F
(t + T)e
L(t+T)
= X
F
(t)Be
LT
e
Lt
= X
F
(t)
_
YJY
1
_
Y
_
J
1
1
J
1
2
_
Y
1
e
Lt
= X
F
(t)Y
_
I
1
I
2
_
Y
1
e
Lt
= X
F
(t)Y
_
e
L
1
t
e
L
2
t
_
Y
1
t R.
Hence, using the direct sum
R
n
= 1(Y
1
) 1(Y
2
),
where o
1
1(Y
1
) has dimension n
1
and o
2
1(Y
2
) has dimension n
2
, we have
x 1(Y
1
) P(t + T)x = P(t)x
x 1(Y
2
) P(t + T)x = P(t)x
_
t R.
Thus X
F
(t) = P(t)e
Lt
t R and P has the periodicity and anti-periodicity properties stated
in the theorem.
The eigenvalues of L in Theorem 3.5 (i.e. the eigenvalues of L
1
and L
2
), just like the scalars
in the three cases I, II and III above, are closely related to the Floquet multipliers (i.e. the
eigenvalues of J
1
and J
2
in Theorem 3.5 and the scalars in cases I, II and III).
Denition 3.4. The eigenvalues of L R
nn
in Theorem 3.5 are called the Floquet exponents
of (3.1).
Note that, just like the Floquet multipliers, the Floquet exponents are not dependent on
which fundamental solution matrix X
F
C
1
(R, R
nn
) we choose to use. If C R
nn
is any
non-singular matrix then we have the following relationships.
X
F
(t)
B
J, Y
X
F
(t)C
C
1
BC
J, C
1
Y
98 Gerald Moore
The imaginary part of Floquet exponents is, however, aected by the choice in III above;
i.e. the choice of real Jordan canonical form for the matrix B in the proof of Theorem 3.5.
Similar to Theorem 3.4, however, we can restrict the imaginary parts of the Floquet exponents
to the interval
_

T
,

T
_
.
In Chapter 1, we saw that the fundamental solution matrices for constant-coecient linear
systems were intimately connected with the matrix exponential. In the light of Theorem 3.5,
it is not surprising that Floquet theory also tells us that periodic linear systems can be
transformed into constant-coecient linear systems. For example, if we want to nd a solution
x C
1
(R, R
n
) of (3.1) then we look for such solutions in the form
x(t) P(t)y(t) t R,
where y C
1
(R, R
n
) is to be determined. By substituting x into (3.1) to obtain
P(t) y(t) =
_
P(t) +A(t)P(t)
_
y(t)
=
_
X
F
(t) +A(t)X
F
(t)
_
e
Lt
y(t) +X
F
(t)e
Lt
Ly(t)
= P(t)Ly(t)
t R,
we see that y must satisfy the constant-coecient system
y(t) = Ly(t) t R.
We shall see later (in section 3.4) that it will be convenient to allow other transformations
to constant-coecient form: i.e. if C R
nn
is any non-singular matrix, then we can dene
P C
1
(R, R
nn
) and

L R
nn
by
P(t) P(t)C t R and

L C
1
LC.
Then, if we look for solutions of (3.1) in the form
x(t)

P(t)y(t) t R,
y C
1
(R, R
n
) must satisfy the constant-coecient system
y(t) =
Ly(t) t R.
One advantage of this exibility becomes clear, if we choose C = Y; where Y is dened in the
proof of Theorem 3.5, before the construction of P. The periodic and anti-periodic properties
of P mean that the rst n
1
columns of

P will be periodic and the last n
2
n n
1
columns of
P will be anti-periodic. Note that, for any choice of C,

L will have the same eigenvalues as L.
We nish this section by showing one important result of Floquet theory: just as for
constant-coecient systems, the Floquet exponents tell us about the behaviour of solutions
of (3.1) as [t[ .
Theorem 3.6. Let
1
, . . . ,
n
be the Floquet exponents of (3.1), i.e. the eigenvalues of L
counted in multiplicity.
All solutions of (3.1) tend to zero as t if and only if Re(
k
) < 0 k.
All solutions of (3.1) are bounded as t if and only if Re(
k
) 0 k, any zero
exponent has only 1 1 Jordan blocks associated with it, and any purely imaginary
complex-conjugate pair of exponents has only real 2 2 Jordan blocks associated with it.
Proof. We can transform (3.1) into constant-coecient form using
P(t) P(t)Y t R and

L Y
1
LY,
as in the discussion above. Since the columns of

P are periodic or anti-periodic,

P(t) is bounded
t R. Hence the behaviour of x is governed by the behaviour of y, and Theorem 1.17 tells
us how this depends on the real part of the eigenvalues of

L. The latter, however, are equal to
the real parts of the Floquet exponents; and this is independent of how L was constructed.
Example 3.6. For n = 2 and
A(t)
_
1 + 2 cos(2t) 1 2 sin(2t)
1 2 sin(2t) 1 2 cos(2t)
_
T ,
(3.1) has the two independent solutions
e
3t
_
cos t
sin t
_
e
t
_
sin t
cos t
_
and thus
X
F
0
(t)
_
e
3t
cos t e
t
sin t
e
3t
sin t e
t
cos t
_
.
Consequently the monodromy matrix is
X
F
0
() =
_
e
3
0
0 e
_
and so we have the two negative real Floquet multipliers e
3
and e
. Hence the corre-

sponding Floquet exponents are 3 and 1 with the transformation matrix
P(t)
_
cos t sin t
sin t cos t
_
having anti-periodic columns. Since P satises
P(t) +A(t)P(t) = P(t)L,

where
L
_
3 0
0 1
_
,
not only do we have
X
F
0
(t) = P(t) e
Lt
but also x(t) P(t)y(t) means that y satises the constant-coecient system
y(t) = L y(t) :
i.e.
y(t) =
_
e
3t
0
0 e
t
_
x(t) = P(t)
_
e
3t
0
0 e
t
_
gives back the above solution X

F
0
(t) of (3.1).
100 Gerald Moore
If we look for periodic solutions x C
1
(R, R
n
) of (3.2), when b is periodic, or look for anti-
periodic solutions x C
1
(R, R
n
) of (3.2), when b is anti-periodic, then we may be lucky or
unlucky.
Example 3.7. The following two examples have n = 1 and T = 2.
With a(t) cos t and b(t) cos t, our general solution is
x(t) e
sin t
+ 1.
Thus in this case we have a 1-dimensional ane space of periodic solutions for (3.2);
with x
p
(t) = 1 being a particular periodic solution of (3.2) and e
sin t
being the 1-
dimensional space of periodic solutions for (3.1).
On the other hand, with a(t) cos t and b(t) 1 our general solution is
x(t) e
sin t
+ e
sin t
_
t
0
e
sin s
ds.
Any periodic solution would have to satisfy x(2) = x(0), and this immediately gives the
contradiction
_
2
0
e
sin s
ds = 0.
Thus there are no periodic solutions in this case.
We shall see that these are extreme examples and usually there is a unique periodic solution
x for each periodic b in (3.2). (Similarly, there is usually a unique anti-periodic solution x
for each anti-periodic b in (3.2).)
Using the variation of constants formula, we can write down the unique solution of (3.2)
as
x(t) X
F
0
(t) +X
F
0
(t)
_
t
0
_
X
F
0
(s)
1
b(s) ds. (3.12)
We must realise that there is no necessity for x to be periodic or anti-periodic if b is correspond-
ingly periodic or anti-periodic: we have merely written down the unique solution satisfying
the additional condition x(0) = . The key question is: if b has the appropriate property, can
we choose R
n
so that x is periodic or anti-periodic? The answer is usually yes.
Lemma 3.7. If b is periodic and we can choose in (3.12) so that
_
I X
F
0
(T)
= X
F
0
(T)
_
T
0
_
X
F
0
(s)
1
b(s) ds, (3.13a)
then x C
1
(R, R
n
) dened in (3.12) satises
x(t + T) = x(t) t R.
Similarly, if b is anti-periodic and we can choose in (3.12) so that
_
I +X
F
0
(T)
= X
F
0
(T)
_
T
0
_
X
F
0
(s)
1
b(s) ds, (3.13b)
then x C
1
(R, R
n
) dened in (3.12) satises
x(t + T) = x(t) t R.
Proof. Clearly (3.13a) is a necessary condition for x to be periodic, because it is merely a
re-statement of x(T) = x(0). To prove it is sucient, we have to make use of the periodicity
of b to show that x is periodic, i.e.
x(t + T) = X
F
0
(t + T) +X
F
0
(t + T)
_
t+T
0
_
X
F
0
(s)
1
b(s) ds
= X
F
0
(t)
_
X
F
0
(T) +X
F
0
(T)
_
T
0
_
X
F
0
(s)
1
b(s) ds
_
+X
F
0
(t)X
F
0
(T)
_
t+T
T
_
X
F
0
(s)
1
b(s) ds
= X
F
0
(t) +X
F
0
(t)X
F
0
(T)
_
t+T
T
_
X
F
0
(s)
1
b(s) ds
= X
F
0
(t) +X
F
0
(t)X
F
0
(T)
_
t
0
_
X
F
0
(s + T)
1
b(s + T) ds
= X
F
0
(t) +X
F
0
(t)
_
t
0
_
X
F
0
(s)
1
b(s) ds = x(t) t R.
Similarly, (3.13b) is just a re-statement of x(T) = x(0); but now we have to make use
of the anti-periodicity of b to show that x dened in (3.12) is anti-periodic, i.e.
x(t + T) = X
F
0
(t + T) +X
F
0
(t + T)
_
t+T
0
_
X
F
0
(s)
1
b(s) ds
= X
F
0
(t)
_
X
F
0
(T) +X
F
0
(T)
_
T
0
_
X
F
0
(s)
1
b(s) ds
_
+X
F
0
(t)X
F
0
(T)
_
t+T
T
_
X
F
0
(s)
1
b(s) ds
= X
F
0
(t) +X
F
0
(t)X
F
0
(T)
_
t+T
T
_
X
F
0
(s)
1
b(s) ds
= X
F
0
(t) +X
F
0
(t)X
F
0
(T)
_
t
0
_
X
F
0
(s + T)
1
b(s + T) ds
= X
F
0
(t) X
F
0
(t)
_
t
0
_
X
F
0
(s)
1
b(s) ds = x(t) t R.
If X
F
0
(T) has no eigenvalue equal to 1, i.e. (3.1) has no Floquet multiplier equal to 1 and
therefore (by Theorem 3.2) no periodic solution, then (3.2) has a unique periodic solution
102 Gerald Moore
for each periodic b because I X
F
0
(T) in (3.13a) is non-singular. Similarly, if X
F
0
(T) has no
eigenvalue equal to 1, i.e. (3.1) has no Floquet multiplier equal to 1 and therefore (by
Theorem 3.3) no anti-periodic solution, then (3.2) has a unique anti-periodic solution for each
anti-periodic b because I +X
F
0
(T) in (3.13b) is non-singular.
Example 3.8. We carry on Example 3.6 with periodic b
_
1 1
T
and with anti-periodic
b(t)
_
cos t sin t
T
. In the former case, since
_
X
F
0
(s)
1
b(s)
_
e
3s
cos s e
3s
sin s
e
s
sin s e
s
cos s
_ _
1
1
_
=
_
e
3s
(cos s sin s)
e
s
(sin s + cos s)
_
and
_

0
e
3s
(cos s sin s) ds =
1
5
_
1 + e
3
_
_

0
e
s
(sin s + cos s) ds = 0,
(3.13a) gives
_
1 + e
3
0
0 1 + e
_
=
_
e
3
0
0 e
_ _
1
5
(1 + e
3
)
0
_
=
1
5
_
1
0
_
.
Therefore (3.12) becomes
x(t) = X
F
0
(t)
_
1
5
_
1
0
_
+
__
t
0
e
3s
(cos s sin s) ds
_
t
0
e
s
(sin s + cos s) ds
__
=
_
e
3t
cos t e
t
sin t
e
3t
sin t e
t
cos t
_ _
1
5
e
3t
(cos t + 2 sin t)
e
t
sin t
_
=
1
5
_
sin 2t 3 cos 2t + 2
3 sin 2t + cos 2t 1
_
.
In the latter case, since
_
X
F
0
(s)
1
b(s)
_
e
3s
cos s e
3s
sin s
e
s
sin s e
s
cos s
_ _
cos s
sin s
_
=
_
e
3s
cos 2s
e
s
sin 2s
_
and
_

0
e
3s
cos 2s ds =
3
13
_
1 e
3
_
_

0
e
s
sin 2s ds =
2
5
(1 e
),
(3.13b) gives
_
1 e
3
0
0 1 e
_
=
_
e
3
0
0 e
_ _
3
13
(1 e
3
)
2
5
(1 e
)
_
=
_
3
13
2
5
_
.
Therefore (3.12) becomes
x(t) = X
F
0
(t)
_
_
3
13
2
5
_
+
__
t
0
e
3s
cos 2s ds
_
t
0
e
s
sin 2s ds
__
=
_
e
3t
cos t e
t
sin t
e
3t
sin t e
t
cos t
_ _
1
13
e
3t
(3 cos 2t + 2 sin 2t)
1
5
e
t
(2 cos 2t + sin 2t)
_
=
_
1
13
(3 cos t cos 2t + 2 cos t sin 2t) +
1
5
(2 sin t cos 2t + sin t sin 2t)
1
13
(3 sin t cos 2t 2 sin t sin 2t) +
1
5
(2 cos t cos 2t + cos t sin 2t)
_
.
Another way of expressing the solution of (3.2) is to use the Floquet theory of Section 3.3
to transform to constant-coecient form. It is convenient to use a transformation matrix
P C
1
(R, R
nn
) with the structure
P(t)
_
P
1
(t) P
2
(t)
t R;
where P
1
C
1
(R, R
nn
1
) is periodic and P
2
C
1
(R, R
nn
2
) is anti-periodic with 0 n
1
n,
0 n
2
n and n
1
+ n
2
= n. Hence
x(t) = P(t)y(t)
= P
1
(t)y
1
(t) +P
2
(t)y
2
(t)
and
b(t) = P(t)g(t)
= P
1
(t)g
1
(t) +P
2
(t)g
2
(t),
where y
i
C
1
(R, R
n
i
) and g
i
C
0
(R, R
n
i
) for i = 1, 2, means that (3.2) is transformed into
y
1
(t) = L
1
y
1
(t) +g
1
(t) (3.14a)
y
2
(t) = L
2
y
2
(t) +g
2
(t). (3.14b)
Now if we express the data g
1
and g
2
as Fourier series (see Example 3.2) then the constant-
coecient nature of (3.14) means that the Fourier modes decouple and we can write down
simple equations for the Fourier series coecients corresponding to y
1
and y
2
.
If b is periodic, then g
1
will be periodic and g
2
anti-periodic; so that P
1
g
1
+ P
2
g
2
is
periodic. Similarly, since we want to determine a periodic x, we need to determine a
periodic y
1
and an anti-periodic y
2
. If, as in Example 3.2, we express the Fourier series
for the data g
1
and the unknown y
1
as
g
1
(t) g
c
0
+
k=1
_
g
c
k
cos
2kt
T
+g
s
k
sin
2kt
T
_
and
y
1
(t) y
c
0
+
k=1
_
y
c
k
cos
2kt
T
+y
s
k
sin
2kt
T
_
,
then (3.14a) decouples to give L
1
y
c
0
= g
c
0
and
_
y
c
k
y
s
k
_
0
2k
T
2k
T
0
_
+L
1
_
y
c
k
y
s
k
=
_
g
c
k
g
s
k
k 1.
Because L
1
has no zero eigenvalue (since (3.1) is assumed to have no Floquet multiplier
equal to 1) and the imaginary parts of the Floquet exponents are restricted to lie in
(
T
,

T
), all these linear systems for the Fourier modes of y
1
are non-singular.
Similarly if, as in Example 3.2, we express the Fourier series for the data g
2
and the
unknown y
2
as
g
2
(t)
k=0
_
g
c
k
cos
(2k+1)t
T
+g
s
k
sin
(2k+1)t
T
_
and
y
2
(t)
k=0
_
y
c
k
cos
(2k+1)t
T
+y
s
k
sin
(2k+1)t
T
_
,
104 Gerald Moore
then (3.14b) decouples to give
_
y
c
k
y
s
k
_
0
(2k+1)
T
(2k+1)
T
0
_
+L
2
_
y
c
k
y
s
k
=
_
g
c
k
g
s
k
k 0.
Again, since the imaginary parts of the Floquet exponents are restricted to lie in (
T
,

T
),
all these linear systems for the Fourier modes of y
2
are non-singular.
If b is anti-periodic, then g
1
will be anti-periodic and g
2
periodic; so that P
1
g
1
+P
2
g
2
is
anti-periodic. Since we want to determine an anti-periodic x, we need to determine an
anti-periodic y
1
and a periodic y
2
. We then write down the Fourier series for the data
g
1
and the unknown y
1
, i.e.
g
1
(t)
k=0
_
g
c
k
cos
(2k+1)t
T
+g
s
k
sin
(2k+1)t
T
_
and
y
1
(t)
k=0
_
y
c
k
cos
(2k+1)t
T
+y
s
k
sin
(2k+1)t
T
_
,
so that (3.14a) decouples into
_
y
c
k
y
s
k
_
0
(2k+1)
T
(2k+1)
T
0
_
+L
1
_
y
c
k
y
s
k
=
_
g
c
k
g
s
k
k 0.
As above, all these linear systems for the Fourier modes of y
1
are non-singular.
Similarly, we write down the Fourier series for the data g
2
and the unknown y
2
, i.e.
g
2
(t) g
c
0
+
k=1
_
g
c
k
cos
2kt
T
+g
s
k
sin
2kt
T
_
and
y
2
(t) y
c
0
+
k=1
_
y
c
k
cos
2kt
T
+y
s
k
sin
2kt
T
_
,
so that (3.14b) becomes L
2
y
c
0
= g
c
0
and
_
y
c
k
y
s
k
_
0
2k
T
2k
T
0
_
+L
2
_
y
c
k
y
s
k
=
_
g
c
k
g
s
k
k 1.
Because L
2
has no zero eigenvalue (since (3.1) is assumed to have no Floquet multiplier
equal to 1) and the imaginary parts of the Floquet exponents are restricted to lie in
(
T
,

T
), all these linear systems for the Fourier modes of y
2
are non-singular.
Example 3.9. We again carry on Example 3.6 with periodic b
_
1 1
T
and with anti-
periodic b(t)
_
cos t sin t
T
, but now (in contrast to Example 3.8) we use Floquet theory and
Fourier series to determine the solutions: i.e. the transformation matrix
P(t)
_
cos t sin t
sin t cos t
_
gives us the constant-coecient system
y(t) =
_
3 0
0 1
_
y(t) +g(t) t R.
In the former case, since
_
1
1
_
= P(t)g(t) g(t) =
_
cos t sin t
cos t + sin t
_
=
_
1
1
_
cos t +
_
1
1
_
sin t,
we obtain
y(t) = y
c
0
cos t +y
s
0
sin t
=
1
5
__
1
0
_
cos t +
_
2
5
_
sin t
_
and so
x(t) P(t)y(t)
=
1
5
_
sin 2t 3 cos 2t + 2
3 sin 2t + cos 2t 1
_
as in Example 3.8.
In the latter case, since
_
cos t
sin t
_
= P(t)g(t) g(t) =
_
cos 2t
sin 2t
_
=
_
1
0
_
cos 2t +
_
0
1
_
sin 2t,
we obtain
y(t) = y
c
1
cos 2t +y
s
1
sin 2t
=
_
3
13
2
5
_
cos 2t +
_
2
13
1
5
_
sin 2t
and so
x(t) P(t)y(t)
=
_
3
13
cos t cos 2t +
2
13
cos t sin 2t
2
5
sin t cos 2t +
1
5
sin t sin 2t
3
13
sin t cos 2t
2
13
sin t sin 2t
2
5
cos t cos 2t +
1
5
cos t sin 2t
_
=
1
65
_
_
1
18
_
cos t +
_
18
1
_
sin t
_
14
8
_
cos 3t +
_
8
14
_
sin 3t
_
as in Example 3.8.
We now consider whether (3.2) has any periodic solutions, when b is periodic but (3.1)
has a Floquet multiplier equal to 1: i.e. I X
F
0
(T) is a singular matrix. Similarly, we consider
whether (3.2) has any anti-periodic solutions, when b is anti-periodic but (3.1) has a Floquet
multiplier equal to 1: i.e. I +X
F
0
(T) is a singular matrix. A positive answer in either of these
cases is only possible when b C
0
(R, R
n
) satises certain compatibility conditions. This kind
of result is well-known in linear algebra, and we make use of Theorem A.1 in the Appendix.
The extension from matrices to linear dierential operators requires us to generalise the idea
of transpose: this becomes adjoint when applied to linear dierential operators. (This
concept is also of fundamental importance for boundary value problems and we will use it
extensively in Chapter 4.)
106 Gerald Moore
Denition 3.5. The adjoint of the linear dierential operator in (3.1), i.e.
[/x] (t) x(t) A(t)x(t),
is the linear dierential operator
[/
x] (t) x(t) + [A(t)]

T
x(t).
We shall be particularly interested in the homogeneous equation for the adjoint system, i.e.
all possible periodic or anti-periodic solutions x C
1
(R, R
n
) for
x(t) + [A(t)]
T
x(t) = 0. (3.15)
Since a dierential operator and its adjoint are intimately connected, it is not surprising that
so are their fundamental solution matrices.
Theorem 3.8. If X
F
C
1
(R, R
nn
) is a fundamental solution matrix for (3.1) then Y
F
C
1
(R, R
nn
), dened by
Y
F
(t)
_
X
F
(t)
T
t R,
is a fundamental solution matrix for (3.15).
Proof. By dierentiating
_
X
F
(t)
T
_
X
F
(t)
T
= I t R,
we obtain
_
X
F
(t)
T d
dt
_
_
X
F
(t)
T
_
+
d
dt
_
_
X
F
(t)
T
_
_
X
F
(t)
T
= 0 t R.
Hence
d
dt
_
_
X
F
(t)
T
_
=
_
X
F
(t)
T d
dt
_
_
X
F
(t)
T
_
_
X
F
(t)
T
=
_
X
F
(t)
T
_
_
X
F
(t)
T
[A(t)]
T
_
_
X
F
(t)
T
= [A(t)]
T
_
X
F
(t)
T
t R.
Hence we see that (3.1) and (3.15) have the same number of periodic and anti-periodic solu-
tions.
Theorem 3.9. The dimension of the subspace of periodic solutions for (3.15) is the same as
the dimension of the subspace of periodic solutions for (3.1). Similarly, the dimension of the
subspace of anti-periodic solutions for (3.15) is the same as the dimension of the subspace of
anti-periodic solutions for (3.1).
Proof. From Theorem 3.2, we know that the dimension of the subspace of periodic solutions
for (3.1) is equal to the dimension of the null-space for I X
F
0
(T) and that the dimension of
the subspace of periodic solutions for (3.15) is equal to the dimension of the null-space for
I
_
X
F
0
(T)
T
. Since, however,
I
_
X
F
0
(T)
T
=
_
X
F
0
(T)
T
_
I X
F
0
(T)
T
;
Theorem A.1 in the Appendix tells us that the dimension of these two null-spaces is equal.
Similarly, from Theorem 3.3 we know that the dimension of the subspace of anti-periodic
solutions for (3.1) is equal to the dimension of the null-space for I +X
F
0
(T) and the dimension
of the subspace of anti-periodic solutions for (3.15) is equal to the dimension of the null-space
for I +
_
X
F
0
(T)
T
. Since, however,
I +
_
X
F
0
(T)
T
=
_
X
F
0
(T)
T
_
I +X
F
0
(T)
T
;
the dimension of these two null-spaces is again equal.
Now we can write down the compatibility conditions that b must satisfy, in order for (3.2) to
have periodic or anti-periodic solutions.
Theorem 3.10. If (3.1) has a Floquet multiplier equal to 1, then (3.2) only has a periodic
solution for a given periodic b C
0
(R, R
n
) provided
_
T
0
[(s)]
T
b(s) ds = 0 (3.16)
for all periodic solutions C
1
(R, R
n
) of (3.15). If (3.16) holds, then the periodic solutions
of (3.2) form a p
p
-dimensional ane subspace of C
1
(R, R
n
); where p
p
is the dimension of the
null-space of I X
F
0
(T) and thus, by Theorem 3.2, the dimension of the subspace of periodic
Similarly, if (3.1) has a Floquet multiplier equal to 1, then (3.2) only has an anti-periodic
solution for a given anti-periodic b C
0
(R, R
n
) provided
_
T
0
[(s)]
T
b(s) ds = 0 (3.17)
for all anti-periodic solutions C
1
(R, R
n
) of (3.15). If (3.17) holds, then the anti-periodic
solutions of (3.2) form a p
a
1
(R, R
n
); where p
a
is the dimen-
sion of the null-space of I + X
F
0
(T) and thus, by Theorem 3.3, the dimension of the subspace
of anti-periodic solutions for (3.1).
Proof. Theorem A.1 in the Appendix tells us that solutions R
n
of(3.13a) exist if and only
if
_
I X
F
0
(T)
T
= 0
T
_
X
F
0
(T)
_
T
0
_
X
F
0
(s)
1
b(s) ds
_
= 0.
From Theorem 3.2, all periodic solutions of (3.15) are given by
_
X
F
0
(t)
T
, where R
n
lies in the null-space of I
_
X
F
0
(T)
T
; i.e. lies in the null-space of
_
I X
F
0
(T)
T
. Writing
(s)
_
X
F
0
(s)
T
=
_
X
F
0
(s)
T
_
X
F
0
(T)
then gives (3.16). The representation (3.13a) shows that the periodic solutions for (3.2) form
a p
p
1
(R, R
n
).
Similarly, solutions R
n
of(3.13b) exist if and only if
_
I +X
F
0
(T)
T
= 0
T
_
X
F
0
(T)
_
T
0
_
X
F
0
(s)
1
b(s) ds
_
= 0.
108 Gerald Moore
Again, from Theorem 3.3, all anti-periodic solutions of (3.15) are given by
_
X
F
0
(t)
T
, where
R
n
lies in the null-space of I +
_
X
F
0
(T)
T
; i.e. lies in the null-space of
_
I +X
F
0
(T)
T
.
Writing
(s)
_
X
F
0
(s)
T
=
_
X
F
0
(s)
T
_
X
F
0
(T)
then gives (3.17). The representation (3.13b) shows that the anti-periodic solutions for (3.2)
form a p
a
1
(R, R
n
).
Example 3.10. Continuing example 3.4 with = 1, we have
X
F
0
(t)
_
cos t e
t
sin t
sin t e
t
cos t
_
and so the monodromy matrix
X
F
0
(2) =
_
1 0
0 e
2
_
has a simple eigenvalue equal to 1. The principal fundamental solution matrix for the adjoint
equation is
_
X
F
0
(t)
_
cos t e
t
sin t
sin t e
t
cos t
_
,
which has the 1-dimensional subspace of periodic solutions spanned by
_
cos t sin t
T
. Our
compatibility condition on b is therefore
_
2
0
_
cos s sin s
b(s) ds = 0,
which will be satised for b(t)
_
1 1
T
. In this case, (3.13a) becomes
_
0 0
0 1 e
2
_
=
_
1 0
0 e
2
_
_
_
2
0
cos s sin s ds
_
2
0
e
s
(sin s + cos s) ds
_
= 0
and so a particular solution is = 0. From (3.12), our 1-dimensional ane subspace of
periodic solutions for (3.2) is then
x(t) =
_
cos t
sin t
_
+
_
cos t e
t
sin t
sin t e
t
cos t
_ _ _
t
0
cos s sin s ds
_
t
0
e
s
(sin s + cos s) ds
_
=
_
cos t
sin t
_
+
_
cos t e
t
sin t
sin t e
t
cos t
_ _
sin t + cos t 1
e
t
sin t
_
=
_
cos t
sin t
_
+
_
1 + cos t sin t cos t
sin t sin
2
t
_
for arbitrary R.
3.5 Second-order scalar equations
In this section, we see how the previous theory applies to the scalar problem
x(t) + a
1
(t) x(t) + a
0
(t)x(t) = 0 : (3.18)
here a
j
(t +T) = a
j
(t) t R for j = 1, 2 and some period T > 0, and we make the additional
simplifying assumption that
_
T
0
a
1
(t) dt = 0. (3.19)
In particular, this assumption holds when a
1
0 (which is known as Hills equation), and a
famous example is Mathieus equation
x(t) + [ + cos 2t] x(t) = 0
with , R and T .
Writing (3.18) as a rst-order system gives
y(t) = A(t)y(t), (3.20)
where
A(t)
_
0 1
a
0
(t) a
1
(t)
_
.
Our Floquet multipliers are the eigenvalues
1
,
2
of the principal fundamental solution matrix
X
F
0
(T) for (3.20) and we use (3.19) and (2.36) to establish
2
= 1.
By utilising the convenient notation = 2(
1
+
2
), so that
1
,
2
are the two roots of the
quadratic
2
2 + 1 = 0,
we may write
1
+
_
2
1 and
2

_
2
1 :
hence, by varying R, we can examine how the the behaviour of the solutions for (3.20)
changes with the Floquet multipliers and exponents.
> 1 Two distinct real Floquet multipliers 0 <
2
< 1 <
1
< 1 Two distinct real Floquet multipliers
2
< 1 <
1
< 0
[[ < 1
1
,
2
are a complex-conjugate pair on the unit circle
= 1 A double Floquet multiplier
2
= 1 =
1
= 1 A double Floquet multiplier
2
= 1 =
1
3.6 Exercises
1 Consider the scalar homogeneous equation
() x = a(t)x(t) t R,
where a C
0
(R, R) and T > 0 such that a(t + T) = a(t) t R.
110 Gerald Moore
(a) Write down the unique solution x
C
1
(R, R) of (), which also satises x(0) = 1.
(b) Find b R such that x
(t + T) = bx
(t) t R.
(c) Determine the necessary and sucient condition on the function a for () to have non-
trivial periodic solutions.
(d) What condition must the function a satisfy in order for () to have non-trivial anti-
periodic solutions?
2 Consider the scalar inhomogeneous equation
() x = a(t)x(t) + b(t) t R,
where a, b C
0
(R, R) and T > 0 such that
a(t + T) = a(t) and b(t + T) = b(t) t R.
(a) Explain why () has a unique periodic solution if and only if there is no non-trivial
periodic solution for the corresponding homogeneous equation x(t) = a(t)x(t) t R.
(b) Suppose the corresponding homogeneous equation does have a non-trivial periodic solu-
tion. Explain why () has periodic solutions if and only if
_
T
0
e
(t)
b(t) dt = 0, where (t)
_
t
0
a(s) ds t R.
(c) With T 2, nd all the periodic solutions for the two equations
x(t) = cos(t)x(t) + sin(2t) and x(t) = cos(t)x(t) + 2 t R.
(d) If b in () were anti-periodic, explain why () will always have a unique anti-periodic
solution.
3 Consider the homogeneous system x(t) = A(t)x(t) t R, with A C(R, R
22
) dened by
A(t)
_
cos(2t) 1 1 sin(2t)
sin(2t) 1 1 cos(2t)
_
t R
so that A(t + ) = A(t) t R.
(a) Verify that
X
F
0
(t)
_
cos(t) e
2t
sin(t)
sin(t) e
2t
cos(t)
_
t R.
(b) Write down the monodromy matrix X
F
0
() and determine L R
22
such that X
F
0
() =
e
L
.
(c) Construct P C
1
(R, R
22
), with P(t + ) = P(t) t R, such that
X
F
0
(t) = P(t)e
Lt
t R.
(d) For each R, nd all the solutions x C
1
(R, R
2
) of the homogeneous system which
additionally satisfy
x(t + ) = x(t) t R.
In particular, nd all the periodic and all the anti-periodic solutions for the homogeneous
system.
4 Let
1
, . . . ,
n
be the Floquet multipliers for (3.1), counted in multiplicity.
(a) Prove that
n
k=1
k
= exp
__
T
0
tr
_
A(t)
_
dt
_
.
(b) If
_
T
0
tr
_
A(t)
_
dt < 0,
prove that there is at least one Floquet multiplier with modulus strictly less than 1.
(c) If
_
T
0
tr
_
A(t)
_
dt > 0,
prove that there is at least one Floquet multiplier with modulus strictly greater than 1.
5 Let
R be a real Floquet multiplier for (3.1), with u
R
n
a corresponding eigenvector,
and dene x
C
1
(R, R
n
) to be the non-trivial solution
x
(t) X
F
0
(t)u
t R.
(a) Verify that
x
(t + T) =
(t) t R.
(b) Prove that
x
(t + kT) = [
]
k
x
(t) t R
for each k N. How about negative integer values for k?
(c) If [
[ < 1, prove that |x
(t)| 0 as t . Hint: if kT t (k + 1)T, then t k
t
for some

t [0, T].
(d) If [
[ > 1, prove that

_
|x
(t)| : t [0, )
_
R
is an unbounded set.
(e) If [
[ = 1, prove that
0 < m
|x
(t)| M
t R;
where
m
min
_
|x
(t)| : t [0, T]
_
and M
max
_
|x
(t)| : t [0, T]
_
.
112 Gerald Moore
6 Let

R
i
I
C be a complex-conjugate pair of Floquet multipliers for (3.1), with
corresponding eigenvectors u
R
iu
I
C
n
, and, for , R with
2
+
2
= 1, dene x
,

C
1
(R, R
n
) to be the non-trivial solution
x
,
(t) X
F
0
(t)
_
u
R
u
I
_
t R.
(a) Verify that
x
,
(t + T) = [
[ x
b ,
b
(t) t R
and determine
_

_
T
in terms of
_

T
. [Hint: you must show that
2
+

2
= 1.]
(b) Prove that
x
,
(t + kT) = [
[
k
x
e ,
e
(t) t R
for each k N and determine
_

_
T
in terms of k and
_

T
. [Hint: you must show
that
2
+

2
= 1.]
(c) If [
[ < 1, prove that

_
_
x
,
(t)
_
_
0 as t for each (, ).
(d) If [
[ > 1, prove that, for each (, ),

__
_
x
,
(t)
_
_
: t [0, )
_
R
is an unbounded set.
(e) If [
[ = 1, prove that, for each (, ),

0 < m
_
_
x
,
(t)
_
_
M
t R;
where
m
min
__
_
x
,
(t)
_
_
: t [0, T] and
2
+
2
= 1
_
and
M
max
__
_
x
,
(t)
_
_
: t [0, T] and
2
+
2
= 1
_
.
7 Consider the homogeneous constant-coecient system (1.1).
(a) Prove that (1.1) has a non-trivial solution x C
(R, R
n
), satisfying
x(t + T) = x(t) t R
for some T > 0, if and only if A has an eigenvalue of the form
=
2ik
T
k Z.
(b) Prove that (1.1) has a non-trivial solution x C
(R, R
n
), satisfying
x(t + T) = x(t) t R
for some T > 0, if and only if A has an eigenvalue of the form
=
(2k + 1)i
T
k Z.
8 For a given A R
nn
, consider the homogeneous system
() [/x] (t) x(t) Ax(t) = 0,
and the corresponding homogeneous adjoint system
() [/
x] (t) x(t) +A
T
x(t) = 0.
Let T > 0 be xed.
(a) Relate the dimension of the subspace of solutions for () satisfying
x(t + T) = x(t) t R
to the geometric multiplicity of 1 as an eigenvalue for e
AT
.
(b) Relate the dimension of the subspace of solutions for () satisfying
x(t + T) = x(t) t R
AT
.
(c) Relate the dimension of the subspace of solutions for () satisfying
x(t + T) = x(t) t R
A
T
T
.
(d) Relate the dimension of the subspace of solutions for () satisfying
x(t + T) = x(t) t R
A
T
T
.
(e) Show that the dimensions of the subspaces of solutions for () and (), which satisfy
x(t + T) = x(t) t R,
are equal.
(f) Show that the dimensions of the subspaces of solutions for () and (), which satisfy
x(t + T) = x(t) t R,
are equal.
114 Gerald Moore
9 Consider the inhomogeneous constant-coecient system (1.15), with R
n
arbitrary, and
the variation of parameters solution characterisation (1.16). Let T > 0 be xed.
(a) Prove that, if b C
0
(R, R
n
) satises
b(t + T) = b(t) t R,
then there is a unique solution x C
1
(R, R
n
) of (1.15) satisfying
x(t + T) = x(t) t R
if and only if A has no eigenvalue of the form
=
2ik
T
k Z.
(b) Prove that, if b C
0
(R, R
n
) satises
b(t + T) = b(t) t R,
then there is a unique solution x C
1
(R, R
n
x(t + T) = x(t) t R
if and only if A has no eigenvalue of the form
=
(2k + 1)i
T
k Z.
(c) Suppose that b C
0
(R, R
n
) satises
b(t + T) = b(t) t R
and p dim
_
^(I e
AT
)
_
> 0. Prove that a necessary and sucient condition for (1.15)
to have a solution x C
1
(R, R
n
) satisfying
x(t + T) = x(t) t R
is that
_
T
0
[(t)]
T
b(t) dt = 0
for all C
(R, R
n
) satisfying
(t) +A
T
(t) = 0 and (t + T) = (t) t R.
If this condition holds, what is the dimension of the ane subspace of C
1
(R, R
n
) consist-
ing of such solutions?
(d) Suppose that b C
0
(R, R
n
) satises
b(t + T) = b(t) t R
and p dim
_
^(I +e
AT
)
_
> 0. Prove that a necessary and sucient condition for (1.15)
to have a solution x C
1
(R, R
n
) satisfying
x(t + T) = x(t) t R
is that
_
T
0
[(t)]
T
b(t) dt = 0
for all C
(R, R
n
) satisfying
(t) +A
T
(t) = 0 and (t + T) = (t) t R.
1
(R, R
n
) consist-
10 Consider the inhomogeneous system (3.2) under assumption (3.3). Given R
n
, let x

C
1
(R, R
n
) denote the unique solution of (3.1) satisfying x(0) = .
(a) If b C
0
(R, R
n
) is periodic, use the variation of parameters solution characterisation
(3.12) to prove that there is a unique solution x C
1
(R, R
n
x(t + T) x(t) = x
(t) t R
if and only if (3.1) has no Floquet multiplier equal to 1.
(b) If b C
0
(R, R
n
) is anti-periodic, use the variation of parameters solution characterisation
(3.12) to prove that there is a unique solution x C
1
(R, R
n
x(t + T) +x(t) = x
(t) t R
if and only if (3.1) has no Floquet multiplier equal to 1.
(c) Suppose b C
0
(R, R
n
) is periodic and p dim
_
^(I X
F
0
(T))
_
> 0. Prove that a
necessary and sucient condition for (3.2) to have a solution x C
1
(R, R
n
) satisfying
x(t + T) x(t) = x
(t) t R
is that
_
T
0
[(t)]
T
b(t) dt = [(0)]
T
for all C
1
(R, R
n
) satisfying
(t) + [A(t)]
T
(t) = 0 and (t + T) = (t) t R.
1
(R, R
n
) consist-
116 Gerald Moore
(d) Suppose b C
0
(R, R
n
) is anti-periodic and p dim
_
^(I + X
F
0
(T))
_
> 0. Prove that a
necessary and sucient condition for (3.2) to have a solution x C
1
(R, R
n
) satisfying
x(t + T) +x(t) = x
(t) t R
is that
_
T
0
[(t)]
T
b(t) dt = [(0)]
T
for all C
1
(R, R
n
) satisfying
(t) + [A(t)]
T
(t) = 0 and (t + T) = (t) t R.
1
(R, R
n
) consist-
11 If a
0
C
0
(R, R) and a
1
C
1
(R, R) in (3.18), verify that the transformation of the dependent
variable
y(t) x(t) exp
_
1
2
_
t
0
a
1
(s) ds
_
produces Hills equation.
12 State the analogue of Theorem 3.6 for solutions of (3.1) with t (, 0].
13 Re-state Theorem 3.6 in terms of Floquet multipliers rather than Floquet exponents.
14 See how the rst equation of Example 3.7 ts in with our existence theory.
15 Construct log(A) for
A
_
2 1
3 4
_
.
A Jordan canonical form for A is AP = PJ with
P
_
1 1
1 3
_
and J
_
1 0
0 5
_
.
16 Use an integrating factor to determine the general solution for the scalar homogeneous equation
x(t) = sin
2
(t)x(t) t R,
which has the form (3.1) with T . Construct the Floquet representation for the principal
fundamental 1 1 solution matrix and determine the Floquet multiplier.
17 As an example of (3.1) with n = 2 and T 2, consider the system
x(t) =
_
1 1
0
cos(t)+sin(t)
2+sin(t)cos(t)
_
x(t).
(a) Determine two linearly independent solutions. [Hint: solve rst for x
2
(t) and then x
1
(t).]
(b) Construct X
F
0
C
(R, R
22
).
(c) Determine the Floquet multipliers.
18 Verify that
X
F
(t)
_
e
t
[cos(t) sin(t)] e
t
[sin(t) + cos(t)]
e
t
[cos(t) + sin(t)] e
t
[sin(t) cos(t)]
_
is a fundamental solution matrix for
x(t) =
_
sin(2t) cos(2t) 1
cos(2t) + 1 sin(2t)
_
x(t);
an example of (3.1) with n = 2 and T . Find the Floquet multipliers for this system and
discuss the behaviour of solutions as t .
19 Determine the product of the Floquet multipliers for the system
x(t) =
_
2 sin
2
(t)
cos
2
(t) sin(t)
_
x(t)
with T 2. [Hint: you do not need to nd the Floquet multipliers themselves.]
20 Verify that
x(t) e
t
2
_
cos(t)
sin(t)
_
is a solution for
x(t) =
_
1 +
3
2
cos
2
(t) 1
3
2
cos(t) sin(t)
1
3
2
sin(t) cos(t) 1 +
3
2
sin
2
(t)
_
x(t).
Use this solution to determine one Floquet multiplier, and then nd the other Floquet mul-
tiplier without computing another linearly independent solution. What are the behaviour of
the solutions as t ? By computing tr
_
A(t)
_
and det
_
A(t)
_
for each t R, write down
the eigenvalues of A(t) for each t R.
21 Theorem 3.5 tells us that one particular fundamental solution matrix has a certain form. Use
Theorem 2.10 in Chapter 2 to state a more general result for all fundamental solution matrices.
Can you be more specic for X
F
0
?
22 How will our theorems in this chapter change if, instead of (3.3), our basic assumption is that
A is anti-periodic, i.e.
A(t + T) = A(t) t R.
Chapter 4
Boundary Value Problems
In this chapter, we will be considering the same systems of dierential equations as in Chap-
ter 2: i.e. the homogeneous system
x(t) = A(t)x(t) t [a, b], (4.1a)
as in (2.14), and the inhomogeneous system
x(t) = A(t)x(t) +b(t) t [a, b], (4.1b)
as in (2.1) and (2.26). Note that now our systems are dened on a closed, bounded interval
[a, b] R; but our data is again a given matrix function A C
0
([a, b], R
nn
) and a given vector
function b C
0
([a, b], R
n
). Hence we know from Theorem 2.5 that the solutions of (4.1a) form
an n-dimensional subspace of C
1
([a, b], R
n
) and we know from Theorem 2.13 that the solutions
of (4.1b) form an n-dimensional ane subspace of C
1
([a, b], R
n
). The key dierence between
the present chapter and Chapter 2 is the form of the extra equations chosen to augment (4.1).
In Chapter 2, we chose [a, b] and imposed the n extra conditions
x() = ,
for a given R
n
: thus we solved an initial-value problem and we saw that there was a unique
solution. In the present chapter, we will impose the n extra homogeneous conditions
B
a
x(a) +B
b
x(b) = 0 (4.2a)
or, more generally, the n extra conditions
B
a
x(a) +B
b
x(b) = d : (4.2b)
here B
a
, B
b
R
nn
are given matrices, d R
n
is a given vector, and
_
B
a
B
b
will always satisfy

rank
__
B
a
B
b
_
= n. (4.3)
This last assumption (4.3) ensures that we are really imposing exactly n extra conditions.
(4.2) are known as boundary conditions, and (4.1) together with (4.2) are called boundary-
value problems.
118
Example 4.1. A common example of (4.2) is
x(a) x(b) = 0, (4.4)
which are known as periodic boundary conditions. Thus B
a
I, B
b
I and (4.3) is clearly
true.
In contrast to our fundamental existence-uniqueness result for initial-value problems in
Theorem 2.2, the existence and uniqueness question for (4.1) augmented by (4.2) is much
more subtle.
Theorem 4.1. Let X
F
C
1
([a, b], R
nn
) be a fundamental solution matrix for (4.1a), as
described in Denition 2.3, and let M R
nn
denote
M B
a
X
F
(a) +B
b
X
F
(b). (4.5)
If M is non-singular, then (4.1b) augmented by (4.2b) has a unique solution x
C
1
([a, b], R
n
)
for any b C
0
([a, b], R
n
) and for any d R
n
. (Note that this means (4.1a) augmented by
(4.2a) has only the zero solution, provided M is non-singular.)
Proof. From section 2.3, we know that the n-dimensional ane subspace of solutions for (4.1b)
can be written
x(t) X
F
(t) +x
p
(t) t [a, b]; (4.6)
where x
p
C
1
([a, b], R
n
) is the particular solution of (4.1b) dened by
x
p
(t) X
F
(t)
_
t
a
_
X
F
(s)
1
b(s) ds t [a, b] (4.7)
and R
n
is arbitrary. We now insert (4.6) into (4.2b) and obtain the equation
M =

d, (4.8)
where
d d B
b
x
p
(b) R
n
, (4.9)
for R
n
. If M is non-singular, then (4.8) has a unique solution
R
n
for any

d R
n
;
i.e. for any d R
n
and b C
0
([a, b], R
n
) in (4.9). Hence (4.1b) augmented by (4.2b) has the
unique solution x
C
1
([a, b], R
n
) dened by
x
(t) X
F
(t)
+x
p
(t) t [a, b].
Note that the choice of fundamental solution matrix in Theorem 4.1 not only has no eect on
the crucial non-singularity of M in (4.5) but also does not alter the solution x
C
1
([a, b], R
n
).
This is because Theorem 2.10 tells us that dierent fundamental solution matrices are related
by
X
F
(t) = X
F
(t)C t [a, b],
where C R
nn
is non-singular. Hence

M MC inherits the non-singularity of M and
C
1
means that x
is unchanged.
120 Gerald Moore
Example 4.2. For n = 2 and the constant-coecient system with A
_
0
0 0
, where R is
a parameter, we may choose
X
F
(t)
_
1 t
0 1
_
t R.
If [a, b] [0, 1] then
B
a
I and B
b
I means that
M =
_
0
0 0
_
and so M is singular ;
B
a

_
0 0
0 1
and B
b

_
1 0
0 0
means that M = I and so M is non-singular ;

B
a

_
1 1
0 0
and B
b

_
0 0
1 1
means that
M =
_
1 1
1 1
_
and so M is singular if = 2, but non-singular otherwise.
For n = 2 and the constant-coecient system with A
_
0 1
0
, where > 0 is a parameter,

we may choose
X
F
(t)
_
cos(
t) sin(
t)
sin(
t)

cos(
t)
_
t R.
[a, b] [0, 1], B
a

_
1 0
0 0
and B
b

_
0 0
1 0
means that
M =
_
1 0
cos(
) sin(
)
_
.
Hence M is singular if = m
2
2
for m = 1, 2, . . ., but non-singular otherwise.
Theorem 4.1 shows us that the existence and uniqueness question for solutions of (4.1)
augmented by (4.2) reduces to a linear algebra question for the important matrix M in (4.5).
This is even true for M singular, because of the following basic linear algebra result stated in
Theorem A.1 of the Appendix.
Lemma 4.2. If C R
nn
, then the null-spaces and range-spaces of C and C
T
are subspaces
of R
n
and related through
^
_
C
T
_
= 1(C) and ^ (C)
= 1
_
C
T
_
:
moreover, if rank (C) = n k then
both ^(C) and ^
_
C
T
_
are k-dimensional;
the equation Cx = b has no solution unless b R
n
satises
C
T
y = 0 y
T
b = 0,
and then the solutions form a k-dimensional ane subspace of R
n
;
the equation C
T
y = c has no solution unless c R
n
satises
Cx = 0 x
T
c = 0,
and then the solutions form a k-dimensional ane subspace of R
n
.
Using this result, we can extend Theorem 4.1 and consider singular M.
Theorem 4.3. If M in (4.5) has rank (M) = n k then
the solutions of (4.1a) augmented by (4.2a) form a k-dimensional subspace of C
1
([a, b], R
n
);
(4.1b) augmented by (4.2b) has no solution unless

d in (4.9) satises
M
T
y = 0 y
T
d = 0,
and then the solutions form a k-dimensional ane subspace of C
1
([a, b], R
n
).
Proof. The results follow directly from Lemma 4.2.
The solutions of (4.1a) augmented by (4.2a) can be written
x
(t) X
F
(t),
where R
n
is any element of ^(M).
(4.1b) augmented by (4.2b) has no solution unless

d 1(M): in this case the solutions
can be written
x
(t) X
F
(t)
+x
p
(t) t [a, b],
where x
p
C
1
([a, b], R
n
) is dened in (4.7) and
R
n
is any element of the k-
dimensional ane subspace of solutions for
M =

d.
In the next section, we shall dene the transpose of (4.1) and (4.2a), and this will enable
us to extend the remaining parts of Lemma 4.2 to our dierential equations.
Example 4.3. We continue Example 4.2, but restrict ourselves to (4.1a) combined with (4.2b):
i.e. when M is singular, we determine what conditions on d R
2
are necessary in order that
solutions exist.
For the rst set of boundary conditions, (4.8) becomes
M =
_
0
0 0
_
=
_
d
1
d
2
_
.
Hence we only require d
2
= 0 for ,= 0, but d must be zero if = 0.
For the third set of boundary conditions, (4.8) becomes
M =
_
1 1
1 1
_
=
_
d
1
d
2
_
122 Gerald Moore
for = 2. Hence we require d
1
= d
2
.
For the second dierential equation in Example 4.2, (4.8) becomes
M =
_
1 0
(1)
m
0
_
=
_
d
1
d
2
_
for = m
2
2
. Hence we require d
1
= (1)
m
d
2
.
Example 4.4. We show how to determine the restriction on k R and g C
0
_
[0, ], R
_
so
that a solution exists for the inhomogeneous system
x(t) =
_
0 2
2 0
_
x(t) +
_
0
g(t)
_
t [0, ]
with boundary conditions
x
2
(0) = 0 and x
2
() = k.
A fundamental solution matrix is
X
F
(t)
_
cos(2t) sin(2t)
sin(2t) cos(2t)
_
t [0, ]
and this gives X
F
(0) = I = X
F
(). The boundary condition matrices are
B
0

_
0 1
0 0
_
and B

_
0 0
0 1
_
and so
M = B
0
+B
=
_
0 1
0 1
_
is singular. We need a solution to exist for
M =

d,
where
d
_
0
k
_
_
0 0
0 1
_ _

0
_
cos(2s) sin(2s)
sin(2s) cos(2s)
_
1
_
0
g(s)
_
ds
=
_
0
k
_
_
0 0
0 1
_ _

0
_
sin(2s)g(s)
cos(2s)g(s)
_
ds
=
_
0
k
_
0
cos(2s)g(s) ds
_
.
Since the null-space of
M
T
_
0 0
1 1
_
is spanned by
_
1 1
T
, the restriction is
k =
_

0
cos(2s)g(s) ds.
4.1 Adjoint operators
In this section we shall think of (4.1) as a linear dierential operator and write
/
_
x
_
(t) x(t) A(t)x(t) : (4.10)
thus / maps elements of C
1
([a, b], R
n
) to elements of C
0
([a, b], R
n
). Then we may dene the
dierential operator which plays the role of transpose to /.
Denition 4.1. The adjoint dierential operator to / in (4.10) is dened by
/
_
y
_
(t) y(t) + [A(t)]
T
y(t).
Hence /
also maps elements of C

1
([a, b], R
n
) to elements of C
0
([a, b], R
n
), and [/
= /. The
analogue of the linear algebra result
y
T
Cx x
T
C
T
y = O x, y R
n
, C R
nn
(4.11)
is given by the Lagrange identity
[y(t)]
T
/
_
x
_
(t) + [x(t)]
T
/
_
y
_
(t) =
d
dt
_
[y(t)]
T
x(t)
_
(4.12)
and the Greens formula
_
b
a
[y(t)]
T
/
_
x
_
(t) + [x(t)]
T
/
_
y
_
(t) dt = [y(b)]
T
x(b) [y(a)]
T
x(a), (4.13)
which are valid x, y C
1
([a, b], R
n
). Note that, unlike (4.11), we do not have zero on the
right-hand side of (4.13): these boundary terms will be dealt with later in this section by
imposing appropriate adjoint boundary conditions on /
. This emphasises the fact that an

appropriate denition of transpose for dierential equations involves not only the dierential
operator but also the boundary conditions. For the moment, we just use Greens formula to
state the simple result that for y C
1
([a, b], R
n
) we have
/
_
y
_
(t) = 0 t [a, b]
_
b
a
[ y(t)]
T
/
_
x
_
(t) dt = [ y(b)]
T
x(b) [ y(a)]
T
x(a) x C
1
([a, b], R
n
) :
thus we are already beginning to relate the null-space of /
and the range-space of /, i.e. be-

ginning to generalise Lemma 4.2 to dierential equations.
Since the dierential operators / and /
are intimately related, it is not surprising that so

are their fundamental solution matrices.
Theorem 4.4. If X
F
C
1
([a, b], R
nn
) is a fundamental solution matrix for the homogeneous
system
/
_
x
_
(t) = 0 t [a, b]; (4.14)
then Y
F
C
1
([a, b], R
nn
), dened by
Y
F
(t)
_
X
F
(t)
T
t [a, b],
is a fundamental solution matrix for the homogeneous system
/
_
y
_
(t) = 0 t [a, b]. (4.15)
124 Gerald Moore
Proof. By dierentiating
_
X
F
(t)
T
_
X
F
(t)
T
= I t [a, b],
we obtain
_
X
F
(t)
T d
dt
_
_
X
F
(t)
T
_
+
d
dt
_
_
X
F
(t)
T
_
_
X
F
(t)
T
= 0 t [a, b].
Hence
d
dt
_
_
X
F
(t)
T
_
=
_
X
F
(t)
T d
dt
_
_
X
F
(t)
T
_
_
X
F
(t)
T
=
_
X
F
(t)
T
_
_
X
F
(t)
T
[A(t)]
T
_
_
X
F
(t)
T
= [A(t)]
T
_
X
F
(t)
T
t [a, b].
Corollary 4.5. Suppose X
F
C
1
([a, b], R
nn
) is a fundamental solution matrix for (4.14);
then Y
F
C
1
([a, b], R
nn
) is a fundamental solution matrix for (4.15) if and only if
_
Y
F
(t)
T
X
F
(t) = C t [a, b],
where C R
nn
is a non-singular matrix. Similarly, suppose Y
F
C
1
([a, b], R
nn
) is a
fundamental solution matrix for (4.15); then X
F
C
1
([a, b], R
nn
) is a fundamental solution
matrix for (4.14) if and only if
_
X
F
(t)
T
Y
F
(t) = C t [a, b],
where C R
nn
is a non-singular matrix.
Proof. The result follows directly from Theorem 2.10.
We now consider the boundary-value problem
/
_
x
_
(t) = b(t) t [a, b]
B
a
x(a) +B
b
x(b) = 0,
(4.16)
where b C
0
([a, b], R
n
) and the boundary conditions are dened in (4.2a), and the adjoint
boundary-value problem
/
_
y
_
(t) = c(t) t [a, b]
B
a
y(a) +B
b
y(b) = 0.
(4.17)
Here c C
0
([a, b], R
n
), but B
a
, B
b
R
nn
need to be determined from B
a
, B
b
R
nn
, so
that Lemma 4.2 will generalise to dierential equations appropriately. Note that we must
consider homogeneous boundary conditions here; but this is not really a restriction since
(4.1b) augmented with (4.2b) can always be transformed into (4.1b) augmented with (4.2a).
In more detail, the solutions of
/
_
x
_
(t) = b(t)
B
a
x(a) +B
b
x(b) = d
and
/
_
x
_
(t) =
b(t)
B
a
x(a) +B
b
x(b) = 0
are related by x = x +w if we dene
b(t) b(t) /
_
w
_
(t) t [a, b];
here w C
([a, b], R
n
) is dened by
w(t)
ta
ba
w
b
+
bt
ba
w
a
t [a, b]
with w
a
, w
b
R
n
satisfying
B
a
w
a
+B
b
w
b
= d.
(4.3) tells us that this last equation always has solutions.
Denition 4.2. Given B
a
, B
b
R
nn
satisfying (4.3), B
a
, B
b
R
nn
are called adjoint
boundary conditions if rank
__
B
a
B
b
_
= n and
B
b
[B
b
]
T
= B
a
[B
a
]
T
. (4.18)
Lemma 4.6. It is always possible to satisfy rank
__
B
a
B
b
_
= n and (4.18); but the choice is
non-unique, since the transformation
B
a
CB
a
and B
b
CB
b
,
where C R
nn
is any non-singular matrix, is always possible. (Note, however, the important
fact that ^
__
B
a
B
b
_
is independent of this non-uniqueness.) It is also always possible to
choose
_
(B
a
)
(B
b
)
=
_
B
a
B
b
.
Proof. (4.3) means that ^
__
B
a
B
b
_
is n-dimensional and so we can choose P R
2nn
with
rank(P) = n and satisfying
_
B
a
B
b
P = 0.
If we dene
_
B
a
B
= P
T
then not only does (4.18) hold but also
_
B
a
B
= P
T
_
I 0
0 I
_
means that rank
__
B
a
B
b
_
= n.
We now see how solutions of boundary conditions and solutions of corresponding adjoint
boundary conditions are related by a simple formula.
Theorem 4.7. Given B
a
, B
b
R
nn
satisfying (4.3) and corresponding B
a
, B
b
R
nn
satis-
fying Denition 4.2, we have
B
a
x
a
+B
b
x
b
= 0
B
a
y
a
+B
b
y
b
= 0
_
y
T
b
x
b
y
T
a
x
a
= 0.
for any x
a
, x
b
, y
a
, y
b
R
n
.
126 Gerald Moore
Proof. From (4.18), we have
T
_
B
a
B
_
(B
a
)
T
(B
b
)
T
_
= 0 , R
n
.
Hence
1
__
(B
a
)
T
(B
b
)
T
__
and 1
__
(B
a
)
T
(B
b
)
T
__
are n-dimensional orthogonal subspaces of R
2n
, and it also follows that
^
__
B
a
B
b
_
1
__
(B
a
)
T
(B
b
)
T
__
and ^
__
B
a
B
b
_
1
__
(B
a
)
T
(B
b
)
T
__
are n-dimensional orthogonal subspaces of R

2n
. Since the two conditions
B
a
x
a
+B
b
x
b
= 0
and
B
a
y
a
+B
b
y
b
= 0 B
a
[y
a
] +B
b
y
b
= 0
tell us that
_
x
a
x
b
_
^
__
B
a
B
b
_
and
_
y
a
y
b
_
^
__
B
a
B
b
_
,
we have the nal result
_
y
a
y
b
_
T
_
x
a
x
b
_
= 0 y
T
b
x
b
y
T
a
x
a
= 0.
A crucial simplication in Greens formula (4.13) is then possible, so long as we incorporate
the appropriate boundary conditions.
Corollary 4.8. If x, y C
1
([a, b], R
n
) then
B
a
x(a) +B
b
x(b) = 0
B
a
y(a) +B
b
y(b) = 0
_

_
b
a
[y(t)]
T
/
_
x
_
(t) + [x(t)]
T
/
_
y
_
(t) dt = 0.
Proof. Directly from (4.13) and Theorem 4.7.
Thus, as discussed after (4.13), Corollary 4.8 now gives us an analogue of the linear algebra
result (4.11).
Example 4.5. We give three illustrations of the choice of adjoint boundary conditions.
From Example 4.1, we know that periodic boundary conditions can be described by B
a
= I
and B
b
= I. Hence, in this case, we can satisfy (4.18) by choosing B
a
= I and B
b
= I.
For n = 2 with
B
a

_
1 0
0 0
_
and B
b

_
0 0
1 0
_
,
we can choose
P
T
_
0 1 0 0
0 0 0 1
_
in Lemma 4.6 above. Hence we can satisfy (4.18) by choosing
B
a

_
0 1
0 0
_
and B
b

_
0 0
0 1
_
.
For n = 2 with
B
a
I and B
b

_
1 0
0 1
_
,
we can choose
P
T
_
1 0 1 0
0 1 0 1
_
in Lemma 4.6 above. Hence we can satisfy (4.18) by choosing B
a
= B
a
and B
b
= B
b
.
We now consider the connection between the number of solutions of the homogeneous
boundary-value problem
/
_
x
_
(t) = 0 t [a, b]
B
a
x(a) +B
b
x(b) = 0,
(4.19)
and the homogeneous adjoint boundary-value problem
/
_
y
_
(t) = 0 t [a, b]
B
a
y(a) +B
b
y(b) = 0.
(4.20)
These are given by the dimension of ^(M), where M R
nn
is dened in (4.5), and the
dimension of ^(M
), where
M
a
_
X
F
(a)
T
+B
b
_
X
F
(b)
T
R
nn
(4.21)
is dened correspondingly for /
. Hence the following theorem corresponds to the dierential

equations analogue of the rst part of Lemma 4.2.
Theorem 4.9. Both rank(M) and rank(M
) are equal to n k, for some 0 k n, and

therefore
dim(^(M)) = dim(^(M
)) = k.
Proof. Since the solutions of (4.14) form an n-dimensional subspace of C
1
([a, b], R
n
) and are
characterised by
X
F
(t) t [a, b]
for arbitrary R
n
, the boundary values corresponding to these solutions of form an n-
dimensional subspace of R
2n
and can be characterised by
1
__
X
F
(a)
X
F
(b)
__

__
X
F
(a)
X
F
(b)
_
: R
n
_
.
128 Gerald Moore
On the other hand, the boundary values which satisfy the boundary conditions (4.2a) also
form an n-dimensional subspace of R
2n
and this can be written in the form
^
__
B
a
B
b
_
1
__
(B
a
)
T
(B
b
)
T
__

__
(B
a
)
T
(B
b
)
T
_
: R
n
_
.
(Here we are using (4.18) and the fact that
_
B
a
B

_
B
a
B
_
I 0
0 I
_
has rank n.) Therefore the intersection of these two subspaces must be a k-dimensional
subspace of R
2n
, for some 0 k n, and k can be related to both M and M
in the following
way.
By considering
M
_
B
a
B
b
_
X
F
(a)
X
F
(b)
_
= 0,
which describes the solutions of (4.19), we already know that dim
_
^(M)
_
= k and
rank(M) = n k.
By introducing

M R
2n2n
dened by
M
_
_

_
X
F
(a) (B
a
)
T
X
F
(b) (B
b
)
T
_ _
_
= 0, (4.22)
we see that dim
_
^(
M)
_
= k and rank(
M) = 2n k.
The reason for introducing

M is that we can link it to M
through
M =
_
I 0
X
F
(b)
_
X
F
(a)
1
I
__
I 0
X
F
(b)
_
X
F
(a)
1
I
_

M
=
_
I 0
X
F
(b)
_
X
F
(a)
1
I
_
_
X
F
(a) [B
a
]
T
0 [B
b
]
T
X
F
(b)
_
X
F
(a)
1
[B
a
]
T
_
=
_
I 0
X
F
(b)
_
X
F
(a)
1
I
__
X
F
(a) [B
a
]
T
0 X
F
(b) [M
]
T
_
.
Since X
F
(a), X
F
(b) and the rst matrix on the right-hand side are all non-singular, we see
that dim
_
^(
M)
_
= dim
_
^(M
)
_
and rank(
M) = n + rank (M
). Hence the conclusions of the

theorem follow.
It is interesting to note that we could also make the same argument, but based on the
operator /
instead of /. Since the solutions of (4.15) form an n-dimensional subspace of

C
1
([a, b], R
n
) and are characterised by
_
X
F
(t)
_
T
t [a, b]
for arbitrary R
n
, the boundary values corresponding to these solutions of form an n-
dimensional subspace of R
2n
and can be characterised by
1
__
_
X
F
(a)
_
T
_
X
F
(b)
_
T
__

__
_
X
F
(a)
_
T
_
X
F
(b)
_
T
_
: R
n
_
.
On the other hand, the boundary values which satisfy the adjoint boundary conditions in
Theorem 4.7 also form an n-dimensional subspace of R
2n
and this can be written in the form
^
__
B
a
B
b
_
1
__
(B
a
)
T
(B
b
)
T
__

__
(B
a
)
T
(B
b
)
T
_
: R
n
_
.
Therefore the intersection of these two subspaces must be a k
2n
,
for some 0 k
n, and k
can be related to both M
and M in the following way.

By considering
M

_
B
a
B
_
_
X
F
(a)
_
T
_
X
F
(b)
_
T
_
= 0,
which describes the solutions of (4.20), we already know that dim
_
^(M
)
_
= k
and
rank(M
) = n k
.
By introducing

M
R
2n2n
dened by
_

_
_
X
F
(a)
_
T
(B
a
)
T
_
X
F
(b)
_
T
(B
b
)
T
_
_
_
= 0,
we see that dim
_
^(
)
_
= k
and rank(
) = 2n k
.
The reason for introducing

M
is that we can link it to M through
=
_
I 0
_
X
F
(b)
T
_
X
F
(a)
T
I
__
I 0
_
X
F
(b)
T
_
X
F
(a)
T
I
_

M
=
_
I 0
_
X
F
(b)
T
_
X
F
(a)
T
I
_
_
_
X
F
(a)
T
[B
a
]
T
0 [B
b
]
T
_
X
F
(b)
T
_
X
F
(a)
T
[B
a
]
T
_
=
_
I 0
_
X
F
(b)
T
_
X
F
(a)
T
I
_
_
_
X
F
(a)
T
[B
a
]
T
0
_
X
F
(b)
T
M
T
_
.
Since X
F
(a), X
F
(b) and the rst matrix on the right-hand side are all non-singular, we see
that dim
_
^(
)
_
= dim
_
^(M)
_
and rank(
) = n + rank (M). Hence the conclusions of the

theorem follow.
Finally, to complete our extension of Lemma 4.2 to dierential equations, we consider the
relationship between the solutions of (4.16) and the solutions of (4.20): i.e. what conditions
must be imposed on b C
0
([a, b], R
n
), in terms of the solutions of (4.20), so that (4.16) will
have a solution?
130 Gerald Moore
Theorem 4.10. (4.16) has a solution x C
1
([a, b], R
n
) if and only if
_
b
a
[y
i
(t)]
T
b(t) dt = 0 i = 1, . . . , k,
where y
1
, . . . , y
k
form a basis for the k-dimensional subspace of C
1
([a, b], R
n
) formed by the
solutions of (4.20).
Proof. As in the proof of Theorem 4.1, the general solution of (4.1b) is the n-dimensional
ane subspace of C
1
([a, b], R
n
) described by
x(t) X
F
(t) +x
p
(t) t [a, b];
where R
n
is arbitrary and x
p
C
1
([a, b], R
n
) is the particular solution dened in (4.7).
(Note that x
p
(a) = 0.) Hence the boundary values of these solutions form the n-dimensional
ane subspace of R
2n
dened by
_
X
F
(a)
X
F
(b)
_
+
_
0
x
p
(b)
_
R
n
. (4.23)
For a solution of (4.16), however, we also require the boundary values to satisfy (4.2a); i.e. they
must belong, as in the proof of Theorem 4.9, to the n-dimensional subspace of R
2n
dened by
^
__
B
a
B
b
_
1
__
(B
a
)
T
(B
b
)
T
__

__
(B
a
)
T
(B
b
)
T
_
: R
n
_
. (4.24)
Hence the boundary values of the solutions for (4.16) are identied by the intersection of (4.23)
and (4.24); i.e. the solutions of
M
_
_
=
_
0
x
p
(b)
_
, (4.25)
where

M is dened in (4.22).
Now, if
_
y
i
(a)
y
i
(b)
_
R
2n
i = 1, . . . , k
denote the boundary values of the basis for (4.20), then we have the following two results.
Greens formula shows us that, for i = 1, . . . , k,
[y
i
(b)]
T
X
F
(b) [y
i
(a)]
T
X
F
(a) =
_
b
a
[y
i
(t)]
T
/
_
X
F
_
(t) +
_
X
F
(t)
T
/
_
y
i
_
(t) dt
= 0
T
and so
_
_
X
F
(a)
_
T
_
X
F
(b)
_
T
_
_
y
i
(a)
y
i
(b)
_
= 0 i = 1, . . . , k.
The homogeneous adjoint boundary conditions in (4.20) mean that
B
a
y
i
(a) +B
b
y
i
(b) = 0 i = 1, . . . , k
and so
_
B
a
B
_
y
i
(a)
y
i
(b)
_
= 0 i = 1, . . . , k.
By combining these two results, we see that the k-dimensional null-space of

M
T
is spanned by
_
y
i
(a)
y
i
(b)
_
R
2n
i = 1, . . . , k
and so, by Lemma 4.2, (4.25) has a solution if and only if
[y
i
(b)]
T
x
p
(b) = 0 i = 1, . . . , k.
A nal application of Greens formula then shows that
[y
i
(b)]
T
x
p
(b) =
_
b
a
[y
i
(t)]
T
/
_
x
p
_
(t) + [x
p
(t)]
T
/
_
y
i
_
(t) dt
=
_
b
a
[y
i
(t)]
T
b(t) dt
for i = 1, . . . , k and this establishes the theorem.
Example 4.6. We repeat Example 4.4, but now explicitly using the adjoint equation. First of
all, we must introduce homogeneous boundary conditions: i.e. using
w(t)
_
0
kt
_
,
we replace
/
_
x
_
(t) =
_
0
g(t)
_
with x
2
(0) = 0, x
2
() = k by
/
_
x
_
(t) =
_
0
g(t)
_
/
_
w
_
(t) =
_
2kt
g(t)
k
_
with x
2
(0) = 0 = x
2
(). The restriction on this right-hand side function is then obtained from
the adjoint equation and adjoint boundary conditions
()
y(t) +
_
0 2
2 0
_
y(t) = 0
y
1
(0) = 0 = y
1
().
Since a fundamental solution matrix for the adjoint equation is given by
_
X
F
(t)
_
cos(2t) sin(2t)
sin(2t) cos(2t)
_
,
we see that the null-space of () is spanned by
_
sin(2t) cos(2t)
T
.
Hence our restriction is
0 =
_

0
2kt
sin(2t) +
_
g(t)
k
_
cos(2t) dt
= k
_

0
g(t) cos(2t) dt,
which agrees with Example 4.4.
132 Gerald Moore
We complete the generalisation of Lemma 4.2 with the following statement.
Theorem 4.11. If
1
L
C
0
([a, b], R
n
) is the subspace consisting of those b C
0
([a, b], R
n
) for which (4.16)
has a solution.
1
L
C
0
([a, b], R
n
) is the subspace consisting of those c C
0
([a, b], R
n
) for which (4.17)
has a solution.
^
L
C
1
([a, b], R
n
) is the subspace of solutions for (4.19).
^
L
C
1
([a, b], R
n
) is the subspace of solutions for (4.20).
then
(a) dim
_
^
L
_
= dim
_
^
L
_
(b) 1
L
= [^
L
]
(c) 1
L
= [^
L
]
,
where orthogonality is dened by the inner-product
_
b
a
f(t) g(t) dt.
Proof. The three results are just re-statements of Theorems 4.9 and 4.10: i.e. (a) comes from
Theorem 4.9, (b) comes from Theorem 4.10, and (c) again comes from Theorem 4.10 but now
with the roles of / and /
interchanged.
4.2 Greens functions
When M is non-singular for (4.16), it is possible to represent the unique solution by acting on
b with an integral operator called the Greens function. This integral operator can be thought
of as the inverse to (4.16).
Theorem 4.12. If M is non-singular, the unique solution x
C
1
([a, b], R
n
) of (4.16) can be
written in the form
x
(t)
_
b
a
G(t, s)b(s) ds t [a, b],
where
G(t, s)
1
2
X
F
(t)
_
sgn(t s)I +M
1
_
B
a
X
F
(a) B
b
X
F
(b)
__
X
F
(s)
1
for a s, t b and s ,= t.
Proof. Using the variation-of-parameters formula, two particular solutions of (4.1b) are
X
F
(t)
_
t
a
_
X
F
(s)
1
b(s) ds and X
F
(t)
_
t
b
_
X
F
(s)
1
b(s) ds t [a, b].
Hence, by averaging, the general solution of (4.1b) can be written
x
(t) X
F
(t) +
1
2
X
F
(t)
_
_
t
a
_
X
F
(s)
1
b(s) ds
_
b
t
_
X
F
(s)
1
b(s) ds
_
t [a, b];
and, to determine R
n
, we must impose the boundary conditions (4.2a), i.e.
0 = B
a
x
(a) +B
b
x
(b)
= M +
1
2
_
B
b
X
F
(b) B
a
X
F
(a)
_
b
a
_
X
F
(s)
1
b(s) ds.
By writing x
in the form
x
(t) X
F
(t) +
1
2
X
F
(t)
_
b
a
sgn(t s)
_
X
F
(s)
1
b(s) ds t [a, b],
we thus obtain
x
(t)
1
2
X
F
(t)
_
b
a
_
sgn(t s)I +M
1
_
B
a
X
F
(a) B
b
X
F
(b)
__
X
F
(s)
1
b(s) ds t [a, b].
We emphasise the following two points.
Through Theorem 2.10, the Greens function is independent of the choice of fundamental
solution matrix.
The Greens function is discontinuous across the line s = t.
Example 4.7. We construct the Greens function for the system
/
_
x
_
(t) x(t)
_
0 1
0 0
_
x(t),
with the two dierent sets of boundary conditions
x
1
(0) = 0
x
1
(1) = 0
and
x
1
(0) + x
1
(1) = 0
x
2
(0) + x
2
(1) = 0.
A fundamental solution matrix is
X
F
(t)
_
1 t
0 1
_

_
X
F
(t)
1
=
_
1 t
0 1
_
.
The rst set of boundary conditions has
B
0

_
1 0
0 0
_
and B
1

_
0 0
1 0
_
:
thus
M B
0
X
F
(0) +B
1
X
F
(1) =
_
1 0
1 1
_
and B
0
X
F
(0) B
1
X
F
(1) =
_
1 0
1 1
_
.
Hence
G(t, s)
1
2
_
1 t
0 1
_ _
sgn(t s)I +
_
1 0
1 1
_ _
1 0
1 1
___
1 s
0 1
_
=
1
2
sgn(t s)
_
1 t s
0 1
_
+
1
2
_
1 2t s + 2st t
2 2s 1
_
=
1
2
sgn(t s)
_
1 t s
0 1
_
+
1
2
_
1 (s + t)
0 1
_
+
_
t st
1 s
_
134 Gerald Moore
and so
G(t, s) =
_
_
_
1 t s(t 1)
1 s
_
t > s
_
t t(s 1)
1 s 1
_
t < s.
The second set of boundary conditions has B
0
= I = B
1
, which gives
M B
0
X
F
(0) +B
1
X
F
(1) =
_
2 1
0 2
_
and B
0
X
F
(0) B
1
X
F
(1) =
_
0 1
0 0
_
.
Hence
G(t, s)
1
2
_
1 t
0 1
_ _
sgn(t s)I +
_
1
2

1
4
0
1
2
_ _
0 1
0 0
___
1 s
0 1
_
=
1
2
sgn(t s)
_
1 t s
0 1
_
+
_
0
1
4
0 0
_
and so
G(t, s) =
_
_
_
1
2
1
2
(t s
1
2
)
0
1
2
_
t > s
_

1
2
1
2
(s t
1
2
)
0
1
2
_
t < s.
Now we see how the Greens function can be constructed, by joining together dierent
solutions of the homogeneous system (2.14), i.e.
x(t) = A(t)x(t). (4.26)
Theorem 4.13. For each xed s (a, b)
G(t, s) can be constructed from two separate matrix solutions for (4.26), the rst an
element of C
1
_
[a, s), R
nn
_
and the second an element of C
1
_
(s, b], R
nn
_
;
B
a
G(a, s) +B
b
G(b, s) = 0;
lim
ts
G(t, s) lim
ts
G(t, s) = I.
Proof. For xed s (a, b), we have
G(t, s)
1
2
X
F
(t)
_
I +M
1
_
B
a
X
F
(a) B
b
X
F
(b)
__
X
F
(s)
1
a t < s
and
G(t, s)
1
2
X
F
(t)
_
I +M
1
_
B
a
X
F
(a) B
b
X
F
(b)
__
X
F
(s)
1
s < t b.
Each of these formulae can be written X
F
(t)H, for dierent H R
nn
, and thus is a matrix
solution of (4.26). (But note that H can be singular, or even zero!) Putting t = a in the rst
formula and t = b in the second formula, we verify that the boundary conditions hold. Finally,
lim
ts
G(t, s) lim
ts
G(t, s) = lim
ts
_
1
2
X
F
(t)
_
X
F
(s)
1
_
lim
ts
_
1
2
X
F
(t)
_
X
F
(s)
1
_
= I.
Not surprisingly, the Greens functions for (4.16) and (4.17) are intimately related.
Theorem 4.14. If G is the Greens function for (4.16) and G
is the Greens function for

(4.17), then
G
(t, s) = [G(s, t)]

T
s, t [a, b].
Proof. By inserting
x
(t)
_
b
a
G(t, s)b(s) ds and y
(t)
_
b
a
G
(t, s)c(s) ds t [a, b]

into the Greens formula in Lemma 4.8
_
b
a
[y
(t)]
T
/
_
x
_
(t) + [x
(t)]
T
/
_
y
_
(t) dt = 0,
we obtain
_
b
a
_
b
a
[b(t)]
T
_
G
(t, s) [G(s, t)]

T
_
c(s) ds dt = 0.
Since this last result holds for arbitrary b, c C
0
([a, b], R
n
), the theorem follows.
If M is singular, but solutions of (4.16) still exist, it is possible to represent a particular
solution by using a generalised or modied Greens function.
Theorem 4.15. Let M be singular, with rank(M) = n k, and suppose that b C
0
([a, b], R
n
)
satises the conditions of Theorem 4.10, so that (4.16) has solutions. Then a particular
x
(t)
_
b
a
G(t, s)b(s) ds t [a, b];

where
G(t, s)
1
2
X
F
(t)
_
sgn(t s)I +M
_
B
a
X
F
(a) B
b
X
F
(b)
__
X
F
(s)
1
for a s, t b and s ,= t, and M
is the MoorePenrose pseudo-inverse of M. The general

x(t) X
F
(t) +x
(t) t [a, b],

where ^(M) R
n
.
Proof. As in the proof of Theorem 4.12, we can construct
x
p
(t)
1
2
X
F
(t)
_
b
a
sgn(t s)
_
X
F
(s)
1
b(s) ds t [a, b]
to be a particular solution of (4.1b) and dene
x
(t) X
F
(t) +x
p
(t)
for a particular choice of R
n
. To ensure that the boundary conditions (4.2a) are satised
for x
, we must restrict so that

0 = M +B
a
x
p
(a) +B
b
x
p
(b).
136 Gerald Moore
From Theorem 4.10 we know that, if y C
1
([a, b], R
n
) satises (4.20), then
_
b
a
[y(t)]
T
b(t) dt = 0 [y(b)]
T
x
p
(b) [y(a)]
T
x
p
(a) = 0.
But we also know from the proof of Theorem 4.10 that the k-dimensional subspace of R
2n
dened by
__
y(a)
y(b)
_
: y C
1
([a, b], R
n
) satisfying (4.20)
_
is also characterised by being orthogonal to the columns of
_
X
F
(a)
X
F
(b)
_
and
_
(B
a
)
T
(B
b
)
T
_
.
However, the k-dimensional subspace of R
2n
dened by
__
(B
a
)
T
(B
b
)
T
_
v : v ^(M
T
)
_
is also characterised by these two conditions; since
v ^(M
T
) v
T
_
B
a
B
b
_
X
F
(a)
X
F
(b)
_
= v
T
M = 0
T
,
and
v
T
_
B
a
B
b
_
(B
a
)
T
(B
b
)
T
_
= 0
T
from (4.18). Hence [B
a
x
p
(a) +B
b
x
p
(b)] 1(M), i.e. in ^(M
T
)
, if and only if
_
b
a
[y(t)]
T
b(t) dt = 0 y C
1
([a, b], R
n
) satisfying (4.20).
Hence a particular solution is given by
= M
[B
a
x
p
(a) +B
b
x
p
(b)]
=
1
2
M
_
B
a
B
b
_
X
F
(a)
X
F
(b)
_
_
b
a
_
X
F
(s)
1
b(s) ds,
and the general solution follows.
Appendix A
Linear Algebra
We rst describe a result from M1P2.
Theorem A.1. Let A R
mn
have rank k, so 0 k minm, n.
1(A) and ^(A
T
) are orthogonal subspaces of R
m
, with dimensions k and mk respec-
tively, and thus we have the orthogonal decomposition
R
m
= 1(A) ^(A
T
).
1(A
T
) and ^(A) are orthogonal subspaces of R
n
, with dimensions k and n k respec-
tively, and thus we have the orthogonal decomposition
R
n
= 1(A
T
) ^(A).
If the domain of A is restricted to 1(A
T
), then A : 1(A
T
) 1(A) is one-to-one and
onto: thus we may dene the pseudo-inverse A
: 1(A) 1(A
T
).
You may not have seen the last part of this theorem stated before, but it is obvious. Note
that a solution x R
n
of
Ax = b b R
m
exists i
A
T
y = 0 y
T
b = 0 :
similarly, a solution y R
m
of
A
T
y = c c R
n
exists i
Ax = 0 x
T
c = 0.
We shall only require these results for m = n, in which case
dim
_
^
_
A
T
__
= dim(^ (A)) .
i
ii Gerald Moore
A.1 Real Jordan canonical form
We know from M2PM2 that every A C
nn
can be reduced by a similarity tranformation to a
Jordan canonical form
AP = PJ : (A.1)
where P C
nn
is non-singular and J consists of Jordan blocks
J
_
_
J
1
J
2
.
.
.
J
m
_
_
J
k
C
n
k
n
k
m
k=1
n
k
= n
with
J
k

_
k
1
k
.
.
.
.
.
.
1
k
_
_
k = 1, . . . , m.
Here
k
m
k=1
includes all the distinct eigenvalues of A; with multiplicity according to the
dimension of the space of eigenvectors associated with each distinct eigenvalue.
We are only concerned with A R
nn
, but we know that the eigenvalues of A can either
be real or occur as complex-conjugate pairs. The real Jordan canonical form tells us how to
alter (A.1), when A R
nn
, so that only real matrices appear: i.e.
AP
R
= P
R
J
R
, (A.2)
where P
R
, J
R
R
nn
. We assume that A has n
R
real eigenvalues
k
n
R
k=1
and n
C
complex-
conjugate pairs
R
k
i
I
k
, where n
R
+ 2n
C
= m, so that
J
R
_
J
R
1
.
.
.
J
R
n
R
J
C
1
.
.
.
J
C
n
C
_
_
J
R
k
R
n
R
k
n
R
k
, J
C
k
R
2n
C
k
2n
C
k
n
R
k=1
n
R
k
+ 2
n
C
k=1
n
C
k
= n.
The Jordan blocks associated with real eigenvalues remain the same, i.e.
J
R
k

_
k
1
k
.
.
.
.
.
.
1
k
_
_
k = 1, . . . , n
R
: (A.3)
but the Jordan blocks associated with complex-conjugate pairs of eigenvalues are now com-
bined, i.e.
J
C
k

_
k
I
k
.
.
.
.
.
.
I
k
_
_
k = 1, . . . , n
C
(A.4)
Ordinary Differential Equations iii
with
k

_

R
k

I
k
I
k

R
k
_
R
22
and I R
22
.
The connection between the columns of P C
nn
in (A.1) and the columns of P
R
in (A.2)
is close. The columns of P corresponding to any Jordan block based on a real eigenvalue of
A R
nn
may be chosen to be real vectors in R
n
, and thus can appear again as columns
of P
R
. The columns of P corresponding to any Jordan block based on a complex eigenvalue
of A R
nn
may be chosen so that they are the complex conjugates of the columns of P
corresponding to the Jordan block based on the complex-conjugate eigenvalue. For example,
if
R
+ i
I
and
R
i
I
are complex-conjugate eigenvalues of A then they each have
the same number of Jordan blocks and these blocks have the same size; thus we may write
J
_
_
1
.
.
.
.
.
.
1
_
C
pp
and J
_
_
1
.
.
.
.
.
.
1
_
C
pp
for any particular pair of such Jordan blocks. The corresponding columns of P may be chosen
to be complex-conjugate, i.e.
A
_
p
1
. . . p
p
=
_
p
1
. . . p
p
J and A
_
p
1
. . . p
p
=
_
p
1
. . . p
p
J. (A.5)
Now, if p
j
p
R
j
+ ip
I
j
for j = 1, . . . , p, we can create
P
_
p
R
1
p
I
1
p
R
2
p
I
2
. . . p
R
p
p
I
p
R
n2p
:
which satises
A
P =

P
J,
where
J
_
_
I
.
.
.
.
.
.
I
_
R
2p2p
with
_

R
R
_
R
22
,
because of (A.5).
We nish this section by emphasising the very special form of the Jordan blocks (A.3) and
(A.4). We can write (A.3) in the form
J
R
k
=
k
I +N
k
, where N
k

_
_
0 1
0
.
.
.
.
.
.
1
0
_
_
R
n
R
k
n
R
k
. (A.6)
The choice of notation N
k
underlines the fact that this matrix is nilpotent; i.e. (N
k
)
n
R
k
= 0.
To understand this, one only has to realise that raising N
k
to increasing powers just shifts the
iv Gerald Moore
diagonal of 1s to the right; e.g.
N
2
k
=
_
_
0 0 1
0 0
.
.
.
.
.
.
.
.
.
1
.
.
.
0
0
_
_
and N
3
k
=
_
_
0 0 0 1
0 0 0
.
.
.
.
.
.
.
.
.
.
.
.
1
.
.
.
.
.
.
0
.
.
.
0
0
_
_
.
A similar argument follows for (A.4); i.e.
J
C
k
=
_
k
.
.
.
k
_
_
+
_
_
0 I
0
.
.
.
.
.
.
I
0
_
_
, (A.7)
where we again label this second matrix N
k
R
2n
C
k
2n
C
k
. Thus N
k
is again nilpotent, and we
repeat the pattern
N
2
k
=
_
_
0 0 I
0 0
.
.
.
.
.
.
.
.
.
I
.
.
.
0
0
_
_
and N
3
k
=
_
_
0 0 0 I
0 0 0
.
.
.
.
.
.
.
.
.
.
.
.
I
.
.
.
.
.
.
0
.
.
.
0
0
_
_
.
It is also very important in section 1.3 that the two matrices on the right-hand side of (A.7)
commute. This is easily veried.
A.2 Vector norms
In order to quantify errors we need to measure the size of vectors and matrices in the same
way that the modulus [x[ measures the size of real (and complex) numbers.
Considering vectors rst, there are many sensible ways of dening a norm for vectors in
R
n
: e.g.
(i) |x|
1

n
i=1
[x
i
[ (ii) |x|
2

_
n
i=1
x
2
i
(iii) |x|
max
1in
[x
i
[.
(Note that all these norms collapse to the ordinary modulus when n = 1.) A pair of double
vertical lines |.| is used to denote a norm and the dierent possibilities are distinguished by
subscripts.
Denition A.1. Any function |.| : R
n
R is called a vector norm for R
n
provided that it
satises the following properties:-
Ordinary Differential Equations v
|x| 0 x R
n
and |x| = 0 i x = 0,
|x| = [[ |x| x R
n
and R,
|x +y| |x| +|y| x & y R
n
. (Triangle Inequality)
The most useful vector norms (for us) are the three above, but
|x|
p

_
n
i=1
[x
p
i
[
_1
p
also satises the denition for any p 1. When the vector norm is understood, we shall often
use the notation
B(z, d) x R
n
: |x z| d;
i.e. the closed ball of radius d centred on z.
We take the opportunity to state here a basic result for bounding integrals of vectors.
Theorem A.2. If z : [0, 1] R
n
is a continuous function then, for any vector norm,
_
_
_
_
_
1
0
z(t) dt
_
_
_
_

_
1
0
|z(t)| dt.
Proof. We just give the main steps:-
_
_
_
_
_
1
0
z(t) dt
_
_
_
_
=
_
_
_
_
_
lim
m
1
m
m
i=1
z(
i
m
)
_
_
_
_
_
= lim
m
1
m
_
_
_
_
_
m
i=1
z(
i
m
)
_
_
_
_
_
lim
m
1
m
m
i=1
_
_
z(
i
m
)
_
_
=
_
1
0
|z(t)| dt.
Interchange of limits with norms is justied in the same way as interchange of limits with
modulus in R. The key step uses the triangle inequality.
Since there is no one preferred vector norm, we ought to be very clear about what we mean
by convergence of vectors in R
n
.
Denition A.2. By
lim
i
x
i
= x
we mean that each component of x

i
converges to the corresponding component of x
as a
sequence in R.
Thus, from rst principles, we have:-
vi Gerald Moore
Given > 0, k
j
() N for 1 j n such that
i > k
j
()
(x
i
)
j
x
< .
If we dene k() = max
1jn
k
j
(), it immediately follows that
Given > 0, k() such that
i > k() |x
i
x
max
1jn
(x
i
)
j
x
< .
Hence we have the result that
lim
i
x
i
= x
= lim
i
|x
i
x
= 0.
It is left as a simple problem for you to prove the converse from rst principles, i.e. that
lim
i
|x
i
x
= 0 = lim
i
x
i
= x
.
Hence an equivalent denition of convergence for sequences of vectors is that
lim
i
|x
i
x
= 0.
This does not mean that the -norm has special signicance because, immediately from
problem 4 on page viii, we have
lim
i
|x
i
x
|
2
= 0 lim
i
|x
i
x
= 0 lim
i
|x
i
x
|
1
= 0.
In fact, we could use any vector norm to dene convergence because of the following equivalence
theorem.
Theorem A.3 (Equivalence of vector norms theorem). Given any two vector norms, |.|
and |.|
say, there exist strictly positive constants c

n
and C
n
such that
c
n
|x|
|x|
C
n
|x|
x R
n
.
Proof. Without loss of generality, we may replace | |
by | |
1
; since if all vector norms are
equivalent to the 1-norm, then we will also be equivalent to each other.
Using the unit vectors e
j
n
j=1
R
n
, we have
|x|
=
_
_
_
_
_
n
j=1
x
j
e
j
_
_
_
_
_
j=1
[x
j
[ |e
j
|
x R
n
:
thus
M max
1jn
_
|e
j
|
_
|x|
M|x|
1
x R
n
.
Consequently,
|x y|
M|x y|
1
x, y R
n
shows that | |
is continuous, i.e.
lim
i
x
i
= x
lim
i
|x
i
x
|
1
= 0 lim
i
|x
i
x
= 0.
Ordinary Differential Equations vii
Since a real-valued continuous function achieves its maximum and minimum on closed, bounded
subsets of R
n
, 0 < c
n
C
n
such that
|x|
1
= 1 c
n
|x|
C
n
:
hence
c
n
|x|
1
|x|
C
n
|x|
1
x R
n
.
Hence for any pair of vector norms we have
lim
i
|x
i
x
= 0 lim
i
|x
i
x
= 0.
The above results have important consequences when we carry across the idea of rate of
convergence from scalar sequences to vector sequences. If x
i
is a convergent sequence with
lim
i
x
i
= x
,
we can still use the error sequence e
i
x
i
x
to dene
lim
i
be
i+1
be
i
= 0 x
i
converges superlinearly
_
be
i+1
be
i
p
_
bounded x
i
converges with order p,
as i p = 2 means quadratically
because, using the equivalence of norms theorem, if these results hold in one vector norm they
must hold in all vector norms. For linear convergence, however,
lim
i
|e
i+1
|
|e
i
|
may exist for some vector norms but not others. In R
n
, therefore, the more appropriate
quantity to consider is
lim
k
_
|e
k
|
|e
0
|
_1
k
lim
k
_
|e
k
|
|e
k1
|

|e
2
|
|e
1
|
|e
1
|
|e
0
|
_1
k
, (A.8)
which, if it exists, is norm-independent! If the limit is less than one, it may be thought of as
the average improvement per step.
Problems
1 Calculate the 1-, 2- and -norms of the unit vector e
j
and of the vector (1, 1, . . . , 1)
T
in R
n
.
2 Graph on an x y plane the vectors z (x, y)
T
R
2
which satisfy:-
a) |z|
1
1 b) |z|
2
1 c) |z|
1.
Where do you think |z|
p
1 for other values of p > 1 t in the graph? Why must the unit
ball for any vector norm be a convex set?
viii Gerald Moore
3 Let o be the set of points (a line) in R
2
of the form
_
1 t
T
as t ranges over all the real
numbers. Find the points in o that are closest to 0 when distance is measured in the:-
1-norm, 2-norm, -norm.
4 Convince yourself that the following inequalities are true z R
n
,
|z|
|z|
1
n|z|
|z|
|z|
2

n|z|
|z|
2
|z|
1

n|z|
2
;
and, for each inequality, nd a z which gives equality. (The only non-simple inequality is the
last, for which the hint is:- look at |z|
2
1
and use 2ab = a
2
+ b
2
(a b)
2
a
2
+ b
2
. After
the next question, one may also apply the CauchySchwarz inequality to (1, 1, . . . , 1)
T
and
([z
1
[ , [z
2
[ , . . . , [z
n
[)
T
.)
5 The CauchySchwarz inequality,
x
T
y
|x|
2
|y|
2
,
is obviously true if either x = 0, y = 0 or x
T
y = 0. Otherwise, prove it by expanding out
|y x|
2
2
0, where =
x
T
y
|x|
2
2
.
6 Check that the 1-, 2- and -norms satisfy the denition of a vector norm. (The only diculty
is with the triangle inequality for |.|
2
. Write
|x +y|
2
2
= (x +y)
T
(x +y)
and apply the Cauchy-Schwarz inequality.)
7 Prove that lim
p
|x|
p
= |x|
for each x R
n
. (Hint: lim
p
n
1
p
= 1.)
8 If B R
nn
is a xed non-singular matrix and |.| is any xed vector norm, dene |.|
B
: R
n
R by
|x|
B
= |Bx| .
Show that |.|
B
is a vector norm. If A R
nn
is a xed symmetric, positive-denite matrix,
prove that
x
T
Ax
denes a vector norm. (Hint: you may need to use the Cholesky factorisation of A for the
triangle inequality; compare the case A I.)
9 Let
e
k
2
k
_
cos [k mod 8]
4
, sin [k mod 8]
4
_
k = 0, 1, . . .
be a sequence of vectors in R
2
. By calculating |e
k
|
2
and |e
k
|
1
, verify that (A.8) gives the
same result for both norms, but
lim
i
|e
i+1
|
1
|e
i
|
1
is not dened.
10 Use the equivalence of vector norms theorem to prove (A.8) is independent of norm.
Ordinary Differential Equations ix
A.3 Matrix norms
Moving on to consider the norms of n n matrices, it would seem natural (by analogy with
norms of vectors) to dene particular norms based on the size of the largest element in a
matrix or on the sum of the sizes of each element raised to a power p 1. The only one of
these we shall use, however, is the Euclidean (or Frobenius) norm
|A|
E

_
n
i,j=1
a
2
ij
.
On the other hand, the most useful norms for us are those which measure the largest eect a
matrix has on the size of vectors when it multiplies them, i.e.
|A| max
x=0
|Ax|
|x|
(A.9)
where |.| is any chosen vector norm. These are called matrix operator norms induced by vector
norms, or more simply operator norms or induced norms. One of the main reasons for their
usefulness is the inequality
|Ax| |A| |x| x R
n
, A R
nn
,
which holds for any vector norm and corresponding induced matrix norm.
Denition A.3. A function |.| : R
nn
R is called an n n matrix norm if it satises the
following properties:-
|A| 0 A R
nn
and |A| = 0 i A is the zero matrix,
|A| = [[ |A| A R
nn
and R,
|A +B| |A| +|B| A & B R
nn
,
|AB| |A| |B| A & B R
nn
.
The reason for the last condition is that a matrix norm should be related naturally to matrix
multiplication.
The denition of |A| in (A.9) is non-constructive. A little algebra, however, shows that
the most important matrix operator norms have the following very useful characterisations:-
Theorem A.4. For the matrix norm induced by the vector 1-norm
|A|
1
= max
1jn
_
n
i=1
[a
ij
[
_
maximum absolute column sum;
for the matrix norm induced by the vector 2-norm
|A|
2
= square root of the largest eigenvalue of the matrix A
T
A;
for the matrix norm induced by the vector -norm
|A|
= max
1in
_
n
j=1
[a
ij
[
_
maximum absolute row sum.
x Gerald Moore
Proof. Here we show how to establish
3
2
of these characterisations, and leave the others as
problems.
For the 1-norm we write
|Ax|
1
=
n
i=1
[(Ax)
i
[ =
n
i=1
j=1
a
ij
x
j
i=1
n
j=1
[a
ij
[ [x
j
[
=
n
j=1
_
n
i=1
[a
ij
[
_
[x
j
[
max
1jn
_
n
i=1
[a
ij
[
_
n
j=1
[x
j
[
and thus
|Ax|
1
max
1jn
_
n
i=1
[a
ij
[
_
|x|
1
.
Then we want a z R
n
with |z|
1
= 1 and
|Az|
1
= max
1jn
_
n
i=1
[a
ij
[
_
;
and so we take z = e
k
where k is dened by
n
i=1
[a
ik
[ = max
1jn
_
n
i=1
[a
ij
[
_
.
Hence
|Ae
k
|
1
=
n
i=1
[(Ae
k
)
i
[ =
n
i=1
j=1
a
ij
jk
=
n
i=1
[a
ik
[
= max
1jn
_
n
i=1
[a
ij
[
_
.
For the 2-norm and A a symmetric matrix with real eigenvalues
1
, . . . ,
n
and a corre-
sponding orthonormal set of eigenvectors u
1
, . . . , u
n
satisfying u
T
i
u
j
=
ij
, we have
x =
n
i=1
i
u
i
=
_
_
_
|x|
2
2
=
n
i=1

2
i
Ax =
n
i=1

i
i
u
i
|Ax|
2
2
=
n
i=1

2
i
2
i
Ordinary Differential Equations xi
for any x R
n
. Hence
|A|
2
2
= max
x=0
_
|Ax|
2
2
|x|
2
2
_
= max
=0
_
n
i=1

2
i
2
i
n
i=1

2
i
_
=
2
max
max
=0
_
n
i=1

2
i
2
i
/
2
max
n
i=1

2
i
_
,
where
max
= max
i=1,...,n
[
i
[, and this maximum is 1, which is achieved when x is an
eigenvector corresponding to the eigenvalue whose modulus is
max
: i.e.
|A|
2
=
max
.
The following two results, which show that perturbations of the identity matrix are non-
singular and bound their inverses, will be needed later. They hold for any matrix operator
norm.
Lemma A.5. If |B| < 1 then I +B is a non-singular matrix.
Proof. Suppose y ,= 0 and (I +B)y = 0. Then y = By means that
|y| = |By| |B| |y| < |y| ,
which is a contradiction.
Lemma A.6. If |B| < 1 then |(I +B)
1
|
1
1B
.
Proof. Re-writing (I +B)(I +B)
1
= I gives (I +B)
1
= I B(I +B)
1
and so
_
_
(I +B)
1
_
_
=
_
_
I B(I +B)
1
_
_
|I| +
_
_
B(I +B)
1
_
_
1 +|B|
_
_
(I +B)
1
_
_
.
Re-arranging then gives
(1 |B|)
_
_
(I +B)
1
_
_
1 and
_
_
(I +B)
1
_
_

1
1 |B|
.
It is important to realise that there is always a lower bound for the size of a matrix
measured in any operator norm.
Theorem A.7. If is a (real or complex) eigenvalue of a matrix A then
|A| [[
for any operator norm.
xii Gerald Moore
Proof. This is obvious for real because, if u R
n
is a corresponding eigenvector,
|A|
|Au|
|u|
=
|u|
|u|
= [[ .
The proof for complex is not quite so simple because, if u is a corresponding complex
eigenvector, we have to equate real and imaginary parts of Au = u to obtain
Au
R
=
R
u
R
I
u
I
Au
I
=
I
u
R
+
R
u
I
,
where =
R
+ i
I
and u = u
R
+ iu
I
. Consequently, if we dene

(0, ) by
R
[[
= cos

I
[[
= sin

,
we may write
Au
R
= [[
_
u
R
cos

u
I
sin

_
Au
I
= [[
_
u
R
sin

+u
I
cos

_
.
(We are allowed to assume that
I
> 0 since both and

are eigenvalues.) Now, using
elementary trigonometrical identities, we obtain
A
_
u
R
cos +u
I
sin
_
= [[
_
u
R
cos(

) +u
I
sin(

)
_
for any angle ; and so
|A| [[
_
_
_u
R
cos(

) +u
I
sin(

)
_
_
_
|u
R
cos +u
I
sin |
(A.10)
for any angle . Finally, since u
R
, u
I
R
n
being linearly independent means that u
R
cos +
u
I
sin is never zero, the continuous function
_
_
u
R
cos +u
I
sin
_
_
achieves a non-zero minimum, i.e.
such that
0 <
_
_
_u
R
cos

+u
I
sin

_
_
_ = min
[0,2]
_
_
u
R
cos +u
I
sin
_
_
.
Hence we let in (A.10) take the value

and thus obtain
|A| [[ .
Ordinary Differential Equations xiii
The conclusion is therefore that, for any operator norm, we always have
|A| (A);
where you are reminded that the spectral radius of a matrix is dened by
(A) max [[ : an eigenvalue of A .
The answer to the follow-up question, whether there actually is a vector norm whose
induced matrix norm gives
|A| = (A), (A.11)
depends on the matrix A. If A has a full set of linearly independent eigenvectors
u
1
, . . . , u
n
R
n
,
i.e. each u
i
is either an eigenvector corresponding to a real eigenvalue of A or the real/imaginary
part of an eigenvector corresponding to a complex eigenvalue, we can dene a suitable vector
norm, based on an eigenvector expansion, so that (A.11) then holds. On the other hand, if A
does not possess a full set of linearly independent eigenvectors, (A.11) may be impossible to
achieve. This is clearly shown by the simple 2 2 example
A
_
0 1
0 0
_
;
(A) = 0, but A is not the zero matrix so we can never have |A| = 0! Notice, however, that
by using the vector norm
|x|
_
2
x
2
1
+ x
2
2
,
where ,= 0, we have
|A| = [[
in the induced matrix norm. Thus we can choose vector norms which make the norm of A as
close to zero as desired. These results form part of the following theorem.
Theorem A.8. If A R
nn
is a matrix with a full set of linearly independent eigenvectors,
then there is a particular vector norm, depending on a non-singular matrix C and dened by
|x|
C
x, x)
1
2
C
Cx, Cx)
1
2
,
such that
|A|
C
= (A)
and
R
min
|x|
2
C
Ax, x)
C

R
max
|x|
2
C
x R
n
.
Here
R
min
and
R
max
are dened by
(A)
R
min
Re()
R
max
.
xiv Gerald Moore
Proof. Using the real Jordan canonical form for A, we have
AP = PD;
where P R
nn
is a non-singular matrix and D R
nn
is a block-diagonal matrix with 1 1
blocks corresponding to real eigenvalues of A and 2 2 blocks
_

R
R
_
corresponding to complex-conjugate eigenvalues
R
i
I
of A. Now we dene our vector norm
with C P
1
, so that
x =
n
j=1
j
p
j
|x|
2
P
1

_
_
P
1
x
_
_
2
2
=
n
j=1
2
j
.
Hence
Ax, x)
P
1
=
P
1
Ax, P
1
x
_
= D, ) =
n
j=1
2
j
and so
R
min
|x|
2
P
1
Ax, x)
P
1

R
max
|x|
2
P
1
x R
n
.
In addition, since
y =
_

R
j

I
j
I
j

R
j
_ _

j
j+1
_
|y|
2
2
=
_
_
R
j
_
2
+
_
I
j
_
2
_
_
2
j
+
2
j+1
,
|A|
2
P
1
max
xR
n
Ax, Ax)
P
1
x, x)
P
1
= max
R
n
D, D)
, )
means that
|A|
2
P
1
= max
R
n
n
j=1

2
j
2
j
n
j=1

2
j
,
where
j
=
_
[
j
[ corresponding to the 1 1 diagonal blocks of D,
R
j
+ i
I
j
corresponding to the 2 2 diagonal blocks of D.

Thus
|A|
P
1
= (A).
Corollary A.9. If A R
nn
does not have a full set of linearly independent eigenvectors
then, for each > 0, there is a non-singular C
R
nn
, dening a vector norm
|x|
C
x, x)
1
2
C
x, C
x)
1
2
,
such that
|A|
C
(A) +
and
_
R
min
_
|x|
2
C
Ax, x)
C
R
max
+
_
|x|
2
C
x R
n
.
Ordinary Differential Equations xv
Proof. If J
R
k
R
n
R
k
n
R
k
is a Jordan block corresponding to a real eigenvalue
k
of A as in (A.3),
then
AP
R
k
= P
R
k
J
R
k
with P
R
k
R
nn
R
k
. For any > 0, we can dene the non-singular diagonal matrix
D
_
1
.
.
.
n
R
k
1
_
_
R
n
R
k
n
R
k
and write
AP
R
k
D
= P
R
k
D
D
1
J
R
k
D
,
where
D
1
J
R
k
D
=
k
I + N
R
k
with
N
R
k

_
_
0 1
0
.
.
.
.
.
.
1
0
_
_
R
n
R
k
n
R
k
.
Consequently, if we dene the non-singular matrix (for > 0) P
R
k
() J
R
k
D
, then
AP
R
k
() = P
R
k
()
_
k
I + N
R
k
.
Similarly, if J
R
k
R
2n
C
k
2n
C
k
is a Jordan block corresponding to a complex-conjugate pair of
eigenvalues
R
k
i
I
k
of A as in (A.4), then
AP
C
k
= P
C
k
J
C
k
with P
C
k
R
n2n
C
k
. For any > 0, we can dene the non-singular block-diagonal matrix
B
_
I
I
.
.
.
n
C
k
1
I
_
_
R
2n
C
k
2n
C
k
and write
AP
C
k
B
= P
C
k
B
B
1
J
C
k
B
,
where
B
1
J
C
k
B
k
+ N
C
k
with
k

_
k
.
.
.
k
_
_
R
2n
C
k
2n
C
k
,
k

_

R
k

I
k
I
k

R
k
_
R
22
xvi Gerald Moore
and
N
C
k

_
_
0 I
0
.
.
.
.
.
.
I
0
_
_
R
2n
C
k
2n
C
k
.
Consequently, if we dene the non-singular matrix (for > 0) P
C
k
() J
C
k
B
, then
AP
C
k
() = P
C
k
()
_
k
+ N
C
k
_
.
Putting these results together, for each > 0 we can obtain a non-singular P
R
nn
such
that
AP
= P
(D + M) ;
where P
is constructed from the dierent P

R
k
() and P
C
k
(), D is the block-diagonal matrix in
the proof of Theorem A.8 and M R
nn
is independent of . (But note that P
approaches
singularity as 0!) Hence we dene our vector norm with C
P
1
and obtain
Ax, x)
P
1
= (D + M), )
where x = P
. Then the proof of Theorem A.8 and the standard bound

|M|
2
||
2
2
M, ) |M|
2
||
2
2
gives one of the required results. The other simply follows from
|A|
P
1
= |D + M|
2
(|D|
2
+ |M|
2
.
There is also the following corollary, which is useful for establishing rates of convergence
for vector sequences.
Corollary A.10. For any given matrix operator norm and any given A R
nn
, it follows
that
lim
k
_
_
A
k
_
_
1
k
= (A).
Proof. We shall argue from rst principles: i.e. given > 0 we shall construct k
such that
k > k
(A)
_
_
A
k
_
_
1
k
(A) + .
Note that the rst inequality follows immediately from
(A)
k
= (A
k
)
_
_
A
k
_
_
.
For the second inequality, we use the above theorem to conclude that (given > 0) there
exists a vector norm | |
such that
|A|
(A) +

2
Ordinary Differential Equations xvii
in the induced norm: hence
_
_
A
k
_
_
|A|
k

_
(A) +

2
k
.
From the equivalence of matrix operator norms result in problem 12 below, however, we know
that C 1 such that
_
_
A
k
_
_
C
_
_
A
k
_
_
k = 0, 1, 2, . . . .
Hence
_
_
A
k
_
_
1
k
C
1
k
_
_
A
k
_
_
1
k
C
1
k
_
(A) +

2
,
and we can dene k
so that
k > k
C
1
k
_
(A) +

2
(A) + .
Problems
1 Calculate |B|
E
, |B|
1
, |B|
2
and |B|
for
B =
_
1 3
0 4
_
.
2 Use the original denitions of the 1-, 2- and -norms to show that they satisfy the conditions
of a matrix norm.
3 What are |I|
E
, |I|
1
, |I|
2
and |I|
? Prove that, if A is non-singular,

_
_
A
1
_
_

1
|A|
for all four of these matrix norms.
4 If |.| is any matrix norm and |B| < 1, prove that I B is non-singular and that
_
_
(I B)
1
_
_

|I|
1 |B|
.
5 Establish that the Euclidean matrix norm satises the matrix norm conditions. [Hint: use the
vector 2-norm of appropriate rows and columns to obtain the nal two conditions.]
6 Use the Cauchy-Schwarz inequality to show that
|Ax|
2
|A|
E
|x|
2
and hence deduce that |A|
2
|A|
E
. The latter is often used as a bound for |A|
2
because it
is easier to calculate. Analogously, the matrix norm
|A|
i,j=1
[a
ij
[
provides a bound for the matrix 1-norm and the matrix -norm: e.g.
|Ax|
1
|A|
|x|
1
and |Ax|
|A|
|x|
x R
n
.
xviii Gerald Moore
7 Does Lemma A.5 hold for the Frobenius norm? Does Lemma A.6 hold for the Frobenius
norm?
8 If the eigenvalues of an nn symmetric matrix A are ordered
1

n
, use an orthonor-
mal eigenvector expansion to prove that
n
x
T
x x
T
Ax
1
x
T
x x R
n
.
9 Establish the characterisations of the 2- and -norms. [Hint: The argument for the -norm
is analogous to that for the 1-norm in the notes, but the 2-norm requires an orthonormal
eigenvector expansion using the eigenvectors of the symmetric matrix A
T
A.]
10 Use the mean value theorem for F to deduce that
|F(y) F(x)| M|y x| ,
where |J(z)| M for any point z on the straight line from x to y. [Here we use any vector
norm and induced matrix norm.]
11 Generalise Lemma A.5 and Lemma A.6 by showing that, if A is a nonsingular matrix and
|B| <
1
|A
1
|
for some matrix operator norm, then A +B is nonsingular with
_
_
(A +B)
1
_
_

|A
1
|
1 |A
1
| |B|
.
12 Use the equivalence of vector norms theorem to deduce the following equivalence of matrix
operator norms result:-
c
n
C
n
|A|
|A|

C
n
c
n
|A|
A R
nn
.
To deduce a general equivalence of matrix norms result, one should argue as in Theorem A.3
and making use of the special matrix norm at the beginning of Chapter B.1.
13 Prove that the sequence
x
i+1
= Ax
i
i = 0, 1, 2, . . .
converges to zero for every x
0
if and only if (A) < 1. [Hint: the only if part is easy, use the
approximate spectral radius norm result for the if part.]
When (A) < 1, deduce that the rate of convergence is linear with asymptotic factor (A) in
the average sense.
Appendix B
Real Normed Linear Spaces
In this chapter, we will list a number of results needed for the nite-dimensional real vec-
tor spaces R, R
n
, R
nn
and the innite-dimensional real vector spaces C
0
(I, R), C
0
(I, R
n
),
C
0
(I, R
nn
): here I R is a compact interval. In particular, we require the completeness of
these spaces (with respect to appropriate norms) and important theorems about the conver-
gence and manipulation of series.
B.1 Finite-dimensional R, R
n
, R
nn
In this section, we wish to show how some of the standard analysis results for the vector
space R (with norm [ [) carry across both to the vector space R
n
(with any norm satisfying
Denition A.1) and to the vector space R
nn
(with any norm satisfying Denition A.3). In
each case, we can dene a distance function or metric in terms of the chosen norm; i.e.
R R
n
R
nn
[x y[ |x y| |X Y|
We know that R is complete, and this property is inherited by both R
n
and R
nn
irrespective
of norm. It is easiest to prove this result with the vector 1-norm and the special matrix norm
dened by
|X|
i,j=1
[x
ij
[,
and then use the equivalence-of-vector-norms and the equivalence-of-matrix-norms results to
generalise to arbitrary vector and matrix norms: i.e. we can go through the following steps
for a given Cauchy sequence in R
n
with respect to some vector norm.
If x
k
is a Cauchy sequence with respect to some vector norm, then it is also a Cauchy
sequence with respect to the 1-norm.
Thus each sequence of components forms a Cauchy sequence in R, and hence converges
in R.
Together, the limits of the component sequences form the limit vector of x
k
with
respect to the 1-norm.
xix
xx Gerald Moore
This limit vector is also the limit vector with respect to any vector norm.
In order to carry out many useful operations on series in R, R
n
and R
nn
, we usually need
them to be absolutely convergent.
Denition B.1.
R If the series
[x
k
[ is convergent, then the series
x
k
is called absolutely convergent.
R
n
If the series
|x
k
| is convergent, then the series
x
k
R
nn
If the series
|X
k
| is convergent, then the series
X
k
Although this denition refers to a particular vector or matrix norm, the equivalence-of-norms
results show that it is actually independent of such a choice. Absolute convergence is a stronger
requirement than mere convergence: using it one can show that the partial sums of the original
series form a Cauchy sequence.
Theorem B.1.
R If the series
[x
k
[ converges, then so does the series
x
k
.
R
n
If the series
|x
k
| converges, then so does the series
x
k
.
R
nn
If the series
|X
k
| converges, then so does the series
X
k
.
Absolute convergence allows us to re-arrange the terms in a series without aecting the sum.
Theorem B.2.
R If the series
x
k
is absolutely convergent, every series consisting of the same terms in
any order has the same sum.
R
n
If the series
x
k
R
nn
If the series
X
k
Absolute convergence also allows us to dene multiplication-of-series; but this only makes
sense for R and R
nn
, not R
n
. Additionally, however, we can multiply a vector series by a
matrix series.
Theorem B.3.
R Let both
x
k
and
y
k
be absolutely convergent, with sums respectively x
and y
: then
the series
x
p
y
q
, consisting of the products (in any order) of every term in the rst
series with every term in the second series, converges absolutely to the sum x
.
R
nn
Let both
X
k
and
Y
k
be absolutely convergent, with sums respectively X
and Y
:
then the series
X
p
Y
q
, consisting of the products (in any order) of every term in the
rst series with every term in the second series, converges absolutely to the sum X
.
Ordinary Differential Equations xxi
R
n
Let both
X
k
and
x
k
be absolutely convergent, with sums respectively X
and x
:
then the series
X
p
x
q
, consisting of the products (in any order) of every term in the
rst series with every term in the second series, converges absolutely to the sum X
.
The two most famous tests for absolute convergence also generalise to R
n
and R
nn
.
Theorem B.4 (dAlembert ratio test).
R If the sequence x
k
satises
limsup
[x
k+1
[
[x
k
[
< 1
then the series
x
k
is absolutely convergent.
R
n
If the sequence x
k
satises
limsup
|x
k+1
|
|x
k
|
< 1
then the series
x
k
R
nn
If the sequence X
k
satises
limsup
|X
k+1
|
|X
k
|
< 1
then the series
X
k
Theorem B.5 (Cauchy root test).
R If the sequence x
k
satises
limsup [x
k
[
1
k
< 1
then the series
x
k
R
n
If the sequence x
k
satises
limsup |x
k
|
1
k
< 1
then the series
x
k
R
nn
If the sequence X
k
satises
limsup |X
k
|
1
k
< 1
then the series
X
k
However, it is often simplest just to apply a comparison with a scalar series.
Theorem B.6 (comparison test). Suppose a
k
R is a sequence of non-negative numbers
such that
k=1
a
k
converges.
R If the sequence x
k
R satises [x
k
[ a
k
k N, then the series
x
k
is absolutely
convergent.
R
n
If the sequence x
k
R
n
satises |x
k
| a
k
x
k
is absolutely
convergent.
R
nn
If the sequence X
k
R
nn
satises |X
k
| a
k
X
k
is
absolutely convergent.
xxii Gerald Moore
B.2 Innite-dimensional function spaces
In this section, we will describe basic results for the three function spaces C
0
(I, R), C
0
(I, R
n
)
and C
0
(I, R
nn
); where I [a, b] R is a compact interval. Thus general members of these
three vector spaces will be denoted
x(t), x(t), X(t) t I
respectively. (We will employ any convenient vector norm on R
n
and any convenient matrix
norm on R
nn
.) An immediate important consequence of I being compact is that any element
of our three spaces is also uniformly continuous.
Theorem B.7.
C
0
(I, R) If x C
0
(I, R) and > 0 are given, then > 0 such that
t
1
, t
2
I
[t
1
t
2
[ <
_
[x(t
1
) x(t
2
)[ < .
C
0
(I, R
n
) If x C
0
(I, R
n
) and > 0 are given, then > 0 such that
t
1
, t
2
I
[t
1
t
2
[ <
_
|x(t
1
) x(t
2
)| < .
C
0
(I, R
nn
) If X C
0
(I, R
nn
) and > 0 are given, then > 0 such that
t
1
, t
2
I
[t
1
t
2
[ <
_
|X(t
1
) X(t
2
)| < .
We can, of course, choose any norms and convert these three spaces into normed vector
spaces: however, to establish certain key properties (e.g. completeness), it is very important
to use the norms below.
C
0
(I, R) C
0
(I, R
n
) C
0
(I, R
nn
)
|x|
I,
max
tI
[x(t)[ |x|
I,
max
tI
|x(t)| |X|
I,
max
tI
|X(t)|
(B.1)
(Note that, because we are operating with continuous functions on a compact interval, we may
use max rather than sup here.) Of course, these norms dene metrics and so we may now talk
about convergence of sequences and series in our three function spaces. The important fact
about the choice of norms in (B.1) is their connection with uniform rather than just pointwise
convergence of function sequences. This enables us to prove that the three normed vector
spaces are complete.
Theorem B.8.
C
0
(I, R) If x
k
C
0
(I, R) is a Cauchy sequence, then it converges uniformly to an
x
C
0
(I, R).
C
0
(I, R
n
) If x
k
C
0
(I, R
n
) is a Cauchy sequence, then it converges uniformly to an
x
C
0
(I, R
n
).
C
0
(I, R
nn
) If X
k
C
0
(I, R
nn
) is a Cauchy sequence, then it converges uniformly to
an X
C
0
(I, R
nn
).
Ordinary Differential Equations xxiii
Proof. We just prove the result for C
0
(I, R
n
).
Since x
k
is a Cauchy sequence, given > 0 K
N such that
k, > K
|x
k
x
|
I,
< ;
and so
k, > K
|x
k
(t) x
(t)| <
for each t I. Thus, for each t I, x
k
(t) is a Cauchy sequence in R
n
and therefore converges
to x
(t) R
n
.
It remains to be proved that x
is continuous, i.e. x
C
0
(I, R
n
).
Given > 0, we can nd k N such that
|x
k
(t) x
(t)| < t I.
In addition, once > 0 and k N are known, we can choose > 0 such that
t
1
, t
2
I
[t
1
t
2
[ <
_
|x
k
(t
1
) x
k
(t
2
)| < .
Putting these two results together (under the stated conditions) then gives
|x
(t
1
) x
(t
2
)| |x
(t
1
) x
k
(t
1
)| +|x
k
(t
1
) x
k
(t
2
)| +|x
k
(t
2
) x
(t
2
)|
3.
Appendix C
Real Power Series in R, R
n
, R
nn
If
a
k
k=0
R, a
k
k=0
R
n
and A
k
k=0
R
nn
are given sequences, we wish to consider the real power series
k=0
a
k
[t ]
k
(C.1a)
k=0
a
k
[t ]
k
(C.1b)
k=0
A
k
[t ]
k
(C.1c)
for a given base-point R.
Theorem C.1. If (C.1) converges for t =

t ,= , then (C.1) also converges absolutely for
[t [ <
.
Theorem C.2 (radius of convergence). Either
(C.1) only converges for t = ( = 0),
(C.1) converges absolutely t R ( = ),
> 0 such that (C.1) converges absolutely for [t [ < and always diverges for
[t [ > .
Theorem C.3 (formula for radius of convergence). The radius of convergence for (C.1) can
be calculated from
1
=
_
_
limsup [a
k
[
1
k
limsup |a
k
|
1
k
limsup |A
k
|
1
k
(which is independent of the choice of vector or matrix norm) and this formula is also valid
for = 0 and = .
xxiv
Ordinary Differential Equations xxv
Corollary C.4 (dierentiation and integration term-by-term). If (C.1) has radius of conver-
gence > 0, then so do both the power series
k=1
k a
k
[t ]
k
,
k=1
k a
k
[t ]
k
,
k=1
k A
k
[t ]
k
(C.2a)
and the power series
k=1
1
k
a
k
[t ]
k
,
k=1
1
k
a
k
[t ]
k
,
k=1
1
k
A
k
[t ]
k
. (C.2b)
Note that this corollary says nothing about the dierentiability or integrability of the functions
dened by the power series in (C.1). It does say, however, that repeated dierentiation term-
by-term or repeated integration term-by-term will produce new power series with the same
radius of convergence.
Theorem C.5 (uniform convergence). If (C.1) has radius of convergence > 0, then, given
0 < < , the convergence is uniform for [t [ .
Theorem C.6 (multiplication of power series).
If
k=0
a
k
[t ]
k
has radius of convergence
a
> 0 and
k=0
b
k
[t ]
k
has radius of
convergence
b
> 0 then
k=0
c
k
[t ]
k
where c
k

k
j=0
a
j
b
kj
converges absolutely for [t [ < min
a
,
b
with
k=0
c
k
[t ]
k
=
_

k=0
a
k
[t ]
k
__

k=0
b
k
[t ]
k
_
for this range of t.
If
k=0
A
k
[t ]
k
A
> 0 and
k=0
b
k
[t ]
k
has radius of
convergence
b
> 0 then
k=0
c
k
[t ]
k
where c
k

k
j=0
A
j
b
kj
A
,
b
with
k=0
c
k
[t ]
k
=
_

k=0
A
k
[t ]
k
__

k=0
b
k
[t ]
k
_
xxvi Gerald Moore
If
k=0
A
k
[t ]
k
A
> 0 and
k=0
B
k
[t ]
k
has radius of
convergence
B
> 0 then
k=0
C
k
[t ]
k
where C
k

k
j=0
A
j
B
kj
A
,
B
with
k=0
C
k
[t ]
k
=
_

k=0
A
k
[t ]
k
__

k=0
B
k
[t ]
k
_
Theorem C.7 (power series sum). If (C.1) has radius of convergence > 0, then the power
series dene C
(I, R), C
(I, R
n
) and C
(I, R
nn
) functions for I ( , + ). These
derivatives can be calculated by dierentiating the power series term-by-term; the resulting new
power series also having radius of convergence . Analogously, the indenite integrals of the
functions dened by (C.1) can be obtained by integrating the power series term-by-term, and
the resulting new power series again have radius of convergence .

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Ordinary

for the real eigenvalues and

either by using the 2n 2n real system

(R, R) is any solution of (1.30a), as described in Theorem 1.20.

(R, R). To recap, if there are n

(R, R). We must now show that

(R, R) is a linearly independent set.

(R, R) for the initial

(R, R) dened in (1.41) and W

(R, R). If this assumption holds, a particular solution x

(R, R) of (1.30b) can

(R, R), dened by

(R, R) of the initial value

(R, R) for (1.30a) correspond-

(R, R) is a particular solution from the subspace in (a)(i).

(R, R) for (1.30a) correspond-

(R, R) are a particular pair of linearly independent solutions from

A(s)x(s) +b(s) ds t I. (2.2)

is the unique solution of (2.2).

() = . There cannot be another y

(s) for some s I leads to an immediate contradiction: we just

is actually the solution t R.

satises the important bound

? This question is made precise in the following theorem.

is contained in our subspace of solutions of (2.14), and additionally satises x

satises two key properties.

is the unique solution of the homogeneous matrix dierential equation

X(t) = A(t)X(t) X() = I.

( ) are linearly depen-

, we dene the Wronskian

() = 1 and then construct a simple scalar linear dierential

. If we denote the elements of X

(t) y(t) = b(t) t I;

(t) then produces the required formula.

(t) gives all the solutions of (2.14).

holds t R. Of course, our solutions in (3.11a) are not periodic.

are anti-periodic, i.e.

P(t) P(t)C t R and

P will be anti-periodic. Note that, for any choice of C,

P(t) P(t)Y t R and

. Hence the corre-

P(t) +A(t)P(t) = P(t)L,

gives back the above solution X

x] (t) x(t) + [A(t)]

R be a real Floquet multiplier for (3.1), with u

[ < 1, prove that |x

(t)| 0 as t . Hint: if kT t (k + 1)T, then t k

[ > 1, prove that

[ < 1, prove that

[ > 1, prove that, for each (, ),

[ = 1, prove that, for each (, ),

will always satisfy

means that M = I and so M is non-singular ;

, where > 0 is a parameter,

= 1(C) and ^ (C)

also maps elements of C

. This emphasises the fact that an

and the range-space of /, i.e. be-

are intimately related, it is not surprising that so

are n-dimensional orthogonal subspaces of R

. Hence the following theorem corresponds to the dierential

) are equal to n k, for some 0 k n, and

). Hence the conclusions of the

instead of /. Since the solutions of (4.15) form an n-dimensional subspace of