MATH 8

d dt R(t, t0) v(t) + R(t, t0)v0(t) = A(t)R(t, t0)v(t) + R(t, t0)v0(t), 2.5. Further developments, bibliographical notes Fund. Theory ODE Lecture Notes J. Arino 55 from Proposition 2.2.11. For to be solution, it must satisfy the differential equation (2.19), and thus 0(t) = A(t)(t) + g(t, (t)) , A(t)R(t, t0)v(t) + ekt ektekT = "ekT 1 ekT f(c0) k

430 Fund
1 ekT d dt R(t, t0)

v(t) + R(t, t0)v0(t) = A(t)R(t, t0)v(t) + R(t, t0)v0(t), 2.5. Further developments, bibliographical notes Fund. Theory ODE Lecture Notes J. Arino 55 from Proposition 2.2.11. For to be solution, it must satisfy the differential equation (2.19), and thus 0(t) = A(t)(t) + g(t, (t)) , A(t)R(t, t0)v(t) + ekt ektekT = "ekT 1 ekT f(c0) k 1 ekT

ament

d dt R(t, t0) v(t) + R(t, t0)v0(t) = A(t)R(t, t0)v(t) + R(t, t0)v0(t), 2.5. Further developments, bibliographical notes Fund. Theory ODE Lecture Notes J. Arino 55 from Proposition 2.2.11. For to be solution, it must satisfy the differential equation (2.19), and thus 0(t) = A(t)(t) + g(t, (t)) , A(t)R(t, t0)v(t) + ekt ektekT = "ekT 1 ekT f(c0) k 1 ekT

al Theory

of Ordinary
d dt R(t, t0) v(t) + R(t, t0)v0(t) = A(t)R(t, t0)v(t) + R(t, t0)v0(t), 2.5. Further developments, bibliographical notes Fund. Theory ODE Lecture Notes J. Arino 55 from Proposition 2.2.11. For to be solution, it must satisfy the differential equation (2.19), and thus 0(t) = A(t)(t) + g(t, (t)) , A(t)R(t, t0)v(t) + ekt ektekT = "ekT 1 ekT f(c0) k 1 ekT d

Dif

dt R(t, t0) v(t) + R(t, t0)v0(t) = A(t)R(t, t0)v(t) + R(t, t0)v0(t), 2.5. Further developments, bibliographical notes Fund. Theory ODE Lecture Notes J. Arino 55 from Proposition 2.2.11. For to be solution, it must satisfy the differential equation (2.19), and thus 0(t) = A(t)(t) + g(t, (t)) , A(t)R(t, t0)v(t) + ekt ektekT = "ekT 1 ekT f(c0) k 1 ekT d dt R(t, t0) v(t) + R(t, t0)v0(t) = A(t)R(t, t0)v(t) + R(t, t0)v0(t), 2.5. Further developments, bibliographical notes Fund. Theory ODE Lecture Notes J. Arino 55 from Proposition 2.2.11. For to be solution, it must satisfy the differential equation (2.19), and thus 0(t) = A(t)(t) + g(t, (t)) , A(t)R(t, t0)v(t) + ekt ektekT = "ekT 1 ekT f(c0) k

fer

ential Equations Lecture

1 ekT d dt R(t, t0)

v(t) + R(t, t0)v0(t) = A(t)R(t, t0)v(t) + R(t, t0)v0(t), 2.5. Further developments, bibliographical notes Fund. Theory ODE Lecture Notes J. Arino 55 from Proposition 2.2.11. For to be solution, it must satisfy the differential equation (2.19), and thus 0(t) = A(t)(t) + g(t, (t)) , A(t)R(t, t0)v(t) + ekt ektekT = "ekT 1 ekT f(c0) k

Notes Julien
1 ekT d dt R(t, t0)

v(t) + R(t, t0)v0(t) = A(t)R(t, t0)v(t) + R(t, t0)v0(t), 2.5. Further developments, bibliographical notes Fund. Theory ODE Lecture Notes J. Arino 55 from Proposition 2.2.11. For to be solution, it must satisfy the differential equation (2.19), and thus 0(t) = A(t)(t) + g(t, (t)) , A(t)R(t, t0)v(t) + ekt ektekT = "ekT 1 ekT f(c0) k 1 ekT d dt R(t, t0) v(t) + R(t, t0)v0(t) = A(t)R(t, t0)v(t) + R(t, t0)v0(t), 2.5. Further developments, bibliographical notes Fund. Theory ODE Lecture Notes J. Arino

55 from Proposition 2.2.11. For to be solution, it must satisfy the differential equation (2.19), and thus 0(t) = A(t)(t) + g(t, (t)) , A(t)R(t, t0)v(t) + ekt ektekT = "ekT 1 ekT f(c0) k

tics Universi
1 ekT d dt R(t, t0)

v(t) + R(t, t0)v0(t) = A(t)R(t, t0)v(t) + R(t, t0)v0(t), 2.5. Further developments, bibliographical notes Fund. Theory ODE Lecture Notes J. Arino 55 from Proposition 2.2.11. For to be solution, it must satisfy the differential equation (2.19), and thus 0(t) = A(t)(t) + g(t, (t)) , A(t)R(t, t0)v(t) + ekt ektekT = "ekT 1 ekT f(c0) k 1 ekT d dt R(t, t0) v(t) + R(t, t0)v0(t) = A(t)R(t, t0)v(t) + R(t, t0)v0(t), 2.5. Further developments, bibliographical notes Fund. Theory ODE Lecture Notes J. Arino 55 from Proposition 2.2.11. For to be solution, it must satisfy the differential equation (2.19),

ty of Mani

and thus 0(t) = A(t)(t) + g(t, (t)) , A(t)R(t, t0)v(t) + ekt ektekT = "ekT 1 ekT f(c0) k 1 ekT

toba

Fal
d dt R(t, t0) v(t) + R(t, t0)v0(t) = A(t)R(t, t0)v(t) + R(t, t0)v0(t), 2.5. Further developments, bibliographical notes Fund. Theory ODE Lecture Notes J. Arino 55 from Proposition 2.2.11. For to be solution, it must satisfy the differential equation (2.19), and thus 0(t) = A(t)(t) + g(t, (t)) , A(t)R(t, t0)v(t) + ekt ektekT = "ekT 1 ekT f(c0) k 1 ekT d dt R(t, t0) v(t) + R(t, t0)v0(t) = A(t)R(t, t0)v(t) + R(t, t0)v0(t), 2.5. Further developments, bibliographical notes Fund. Theory ODE Lecture Notes J. Arino 55 from Proposition 2.2.11. For to be solution, it must satisfy the differential equation (2.19), and thus 0(t) = A(t)(t) + g(t, (t)) , A(t)R(t, t0)v(t) + ekt ektekT

l2

= "ekT 1 ekT f(c0) k 1 ekT

006

Contents
1 General theory of ODEs 3 1.1 ODEs, IVPs, solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 1.1.1 Ordinary differential equation, initial value problem . . . . . . . . . . 3 1.1.2 Solutions to an ODE . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 1.1.3 Geometric interpretation . . . . . . . . . . . . . . . . . . . . . . . . . 8 1.2 Existence and uniqueness theorems . . . . . . . . . . . . . . . . . . . . . . . 9 1.2.1 Successive approximations . . . . . . . . . . . . . . . . . . . . . . . . 9 1.2.2 Local existence and uniqueness Proof by fixed point . . . . . . . . . 10 1.2.3 Local existence and uniqueness Proof by successive approximations 13 1.2.4 Local existence (non Lipschitz case) . . . . . . . . . . . . . . . . . . . 16 1.2.5 Some examples of existence and uniqueness . . . . . . . . . . . . . . 21 1.3 Continuation of solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 1.3.1 Maximal interval of existence . . . . . . . . . . . . . . . . . . . . . . 27 1.3.2 Maximal and global solutions . . . . . . . . . . . . . . . . . . . . . . 28 1.4 Continuous dependence on initial data, on parameters . . . . . . . . . . . . . 29 1.5 Generality of first order systems . . . . . . . . . . . . . . . . . . . . . . . . . 32 1.6 Generality of autonomous systems . . . . . . . . . . . . . . . . . . . . . . . . 34 1.7 Suggested reading, Further problems . . . . . . . . . . . . . . . . . . . . . . 34 2 Linear systems 35 2.1 Existence and uniqueness of solutions . . . . . . . . . . . . . . . . . . . . . . 35 2.2 Linear systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36 2.2.1 The vector space of solutions . . . . . . . . . . . . . . . . . . . . . . 37 2.2.2 Fundamental matrix solution . . . . . . . . . . . . . . . . . . . . . . 38 2.2.3 Resolvent matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41 2.2.4 Wronskian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43 2.2.5 Autonomous linear systems . . . . . . . . . . . . . . . . . . . . . . . 43 2.3 Affine systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46 2.3.1 The space of solutions . . . . . . . . . . . . . . . . . . . . . . . . . . 46 2.3.2 Construction of solutions . . . . . . . . . . . . . . . . . . . . . . . . . 46 2.3.3 Affine systems with constant coefficients . . . . . . . . . . . . . . . . 47 2.4 Systems with periodic coefficients . . . . . . . . . . . . . . . . . . . . . . . . 48 2.4.1 Linear systems: Floquet theory . . . . . . . . . . . . . . . . . . . . . 48 i ii Fund. Theory ODE Lecture Notes J. Arino CONTENTS 2.4.2 Affine systems: the Fredholm alternative . . . . . . . . . . . . . . . . 51 2.5 Further developments, bibliographical notes . . . . . . . . . . . . . . . . . . 54 2.5.1 A variation of constants formula for a nonlinear system with a linear

component . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54 3 Stability of linear systems 57 3.1 Stability at fixed points . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57 3.2 Affine systems with small coefficients . . . . . . . . . . . . . . . . . . . . . . 57 4 Linearization 63 4.1 Some linear stability theory . . . . . . . . . . . . . . . . . . . . . . . . . . . 63 4.2 The stable manifold theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . 65 4.3 The Hartman-Grobman theorem . . . . . . . . . . . . . . . . . . . . . . . . . 69 4.4 Example of application . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74 4.4.1 A chemostat model . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74 4.4.2 A second example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75 5 Exponential dichotomy 79 5.1 Exponential dichotomy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79 5.2 Existence of exponential dichotomy . . . . . . . . . . . . . . . . . . . . . . . 81 5.3 First approximate theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82 5.4 Stability of exponential dichotomy . . . . . . . . . . . . . . . . . . . . . . . . 84 5.5 Generality of exponential dichotomy . . . . . . . . . . . . . . . . . . . . . . 84 References 85 A Definitions and results 87 A.1 Vector spaces, norms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87 A.1.1 Norm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87 A.1.2 Matrix norms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87 A.1.3 Supremum (or operator) norm . . . . . . . . . . . . . . . . . . . . . . 87 A.2 An inequality involving norms and integrals . . . . . . . . . . . . . . . . . . 88 A.3 Types of convergences . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88 A.4 Asymptotic Notations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89 A.5 Types of continuities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89 A.6 Lipschitz function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 90 A.7 Gronwalls lemma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91 A.8 Fixed point theorems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93 A.9 Jordan normal form . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94 A.10 Matrix exponentials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96 A.11 Matrix logarithms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97 A.12 Spectral theorems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99 B Problem sheets 101 Homework sheet 1 2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103 Homework sheet 2 2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113 Homework sheet 3 2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117 Homework sheet 4 2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125 Final examination 2003 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137 Homework sheet 1 2006 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 145 iii

Introduction
This course deals with the elementary theory of ordinary differential equations. The word elementary should not be understood as simple. The underlying assumption here is that, to understand the more advanced topics in the analysis of nonlinear systems, it is important

to have a good understanding of how solutions to differential equations are constructed. If you are taking this course, you most likely know how to analyze systems of nonlinear ordinary differential equations. You know, for example, that in order for solutions to a system to exist and be unique, the system must have a C1 vector field. What you do not necessarily know is why that is. This is the object of Chapter 1, where we consider the general theory of existence and uniqueness of solutions. We also consider the continuation of solutions as well as continuous dependence on initial data and on parameters. In Chapter 2, we explore linear systems. We first consider homogeneous linear systems, then linear systems in full generality. Homogeneous linear systems are linked to the theory for nonlinear systems by means of linearization, which we study in Chapter 4, in which we show that the behavior of nonlinear systems can be approximated, in the vicinity of a hyperbolic equilibrium point, by a homogeneous linear system. As for autonomous systems, nonautonomous nonlinear systems are linked to a linearized form, this time through exponential dichotomy, which is explained in Chapter 5. 1

Chapter 1 General theory of ODEs

We begin with the general theory of ordinary differential equations (ODEs). First, we define ODEs, initial value problems (IVPs) and solutions to ODEs and IVPs in Section 1.1. In Section 1.2, we discuss existence and uniqueness of solutions to IVPs.

1.1 ODEs, IVPs, solutions

1.1.1 Ordinary differential equation, initial value problem
Definition 1.1.1 (ODE). An nth order ordinary differential equation (ODE) is a functional relationship taking the form F t, x(t), d dt x(t), d2 dt2 x(t), . . . ,

dn dtn x(t) = 0, that involves an independent variable t 2 I R, an unknown function x(t) 2 D Rn of the independent variable, its derivative and derivatives of order up to n. For simplicity, the time dependence of x is often omitted, and we in general write equations as F t, x, x0, x00, . . . , x(n) = 0, (1.1) where x(n) denotes the nth order derivative of x. An equation such as (1.1) is said to be in general (or implicit) form. An equation is said to be in normal (or explicit) form when it is written as x(n) = f t, x, x0, x00, . . . , x(n1) . Note that it is not always possible to write a differential equation in normal form, as it can be impossible to solve F(t, x, . . . , x(n)) = 0 in terms of x(n). Definition 1.1.2 (First-order ODE). In the following, we consider for simplicity the more restrictive case of a first-order ordinary differential equation in normal form x0 = f(t, x). (1.2) 3 4 Fund. Theory ODE Lecture Notes J. Arino 1. General theory of ODEs Note that the theory developed here holds usually for nth order equations; see Section 1.5. The function f is assumed continuous and real valued on a set U R Rn. Definition 1.1.3 (Initial value problem). An initial value problem (IVP) for equation (1.2) is given by x0 = f(t, x) x(t0) = x0, (1.3) where f is continuous and real valued on a set U R Rn, with (t0, x0) 2 U.
Remark The assumption that f be continuous can be relaxed, piecewise continuity only is needed. However, this leads in general to much more complicated problems and is beyond the scope of this course. Hence, unless otherwise stated, we assume that f is at least continuous. The function f could also be complex valued, but this too is beyond the scope of this course. Remark An IVP for an nth order differential equation takes the form x(n) = f(t, x, x0, . . . , x(n1))

x(t0) = x0, x0(t0) = x0 0, . . . , x(n1)(t0) = x(n1) 0, i.e., initial conditions have to be given for derivatives up to order n 1.

We have already seen that the order of an ODE is the order of the highest derivative involved in the equation. An equation is then classified as a function of its linearity. A linear equation is one in which the vector field f takes the form f(t, x) = a(t)x(t) + b(t). If b(t) = 0 for all t, the equation is linear homogeneous; otherwise it is linear nonhomogeneous. If the vector field f depends only on x, i.e., f(t, x) = f(x) for all t, then the equation is autonomous; otherwise, it is nonautonomous. Thus, a linear equation is autonomous if a(t) = a and b(t) = b for all t. Nonlinear equations are those that are not linear. They too, can be autonomous or nonautonomous. Other types of classifications exist for ODEs, which we shall not deal with here, the previous ones being the only one we will need.

1.1.2 Solutions to an ODE

Definition 1.1.4 (Solution). A function (t) (or , for short) is a solution to the ODE (1.2) if it satisfies this equation, that is, if 0(t) = f(t, (t)), for all t 2 I R, an open interval such that (t, (t)) 2 U for all t 2 I. The notations and x are used indifferently for the solution. However, in this chapter, to emphasize the difference between the equation and its solution, we will try as much as possible to use the notation x for the unknown and for the solution. 1.1. ODEs, IVPs, solutions Fund. Theory ODE Lecture Notes J. Arino 5 Definition 1.1.5 (Integral form of the solution). The function (t) = x0 + Zt
t0

f(s, (s))ds (1.4) is called the integral form of the solution to the IVP (1.3). Let R = R((t0, x0), a, b) be the domain defined, for a > 0 and b > 0, by R = {(t, x) : |t t0| a, kx x0k b} , where k k is any appropriate norm of Rn. This domain is illustrated in Figures 1.1 and 1.2; it is sometimes called a security system, i.e., the union of a security interval (for the independent variable) and a security domain (for the dependent variables) [19]. Suppose
0

t a t

x
0 t 0 t +a 0 x +b 0 0x

x b 0
(t ,x ) 0
t x y t
0

Figure 1.1: The domain R for D R.

x y
0 0

Figure 1.2: The domain R for D R2: security tube.

6 Fund. Theory ODE Lecture Notes J. Arino 1. General theory of ODEs that f is continuous on R, and let M = maxR kf(t, x)k, which exists since f is continuous on the compact set R. In the following, existence of solutions will be obtained generally in relation to the domain R by considering a subset of the time interval |t t0| a defined by |t t0| , with = a if M = 0 min(a, b M ) if M > 0. This choice of = min(a, b/M) is natural. We endow f with specific properties (continuity, Lipschitz, etc.) on the domain R. Thus, in order to be able to use the definition of (t) as the solution of x0 = f(t, x), we must be working in R. So we require that |t t0| a and kxx0k b. In order to satisfy the first of these conditions, choosing a and working on |t t0| implies of course that |t t0| a. The requirement that b/M comes from the following argument. If we assume that (t) is a solution of (1.3) defined on [t0, t0 + ], then we have, for t 2 [t0, t0 + ], k(t) x0k = Z
t0 t

f(s, (s))ds Z
t0

kf(s, (s))k ds M Zt
t0

ds = M(t t0), where the first inequality is a consequence of the definition of the integrals by Riemann sums (Lemma A.2.1 in Appendix A.2). Similarly, we have k(t) x0k M(t t0)

for all t 2 [t0 , t0]. Thus, for |t t0| , k(t) x0k M|t t0|. Suppose now that b/M. It follows that k x0k M|t t0| Mb/M = b. Taking = min(a, b/M) then ensures that both |t t0| a and k x0k b hold simultaneously. The following two theorems deal with the localization of the solutions to an IVP. They make more precise the previous discussion. Note that for the moment, the existence of a solution is only assumed. First, we establish that the security system described above performs properly, in the sense that a solution on a smaller time interval stays within the security domain. Theorem 1.1.6. If (t) is a solution of the IVP (1.3) in an interval |t t0| < , then k(t) x0k < b in |t t0| < , i.e., (t, (t)) 2 R((t0, x0), , b) for |t t0| < . Proof. Assume that is a solution with (t, (t)) 62 R((t0, x0), , b). Since is continuous, it follows that there exists 0 < < such that k(t)x0k < b for |tt0| < and k(t0 +)x0k = b or k(t0 )x0k = b , (1.5) i.e., the solution escapes the security domain at t = t0 . Since a, < a. Thus (t, (t)) 2 R for |t t0| . 1.1. ODEs, IVPs, solutions Fund. Theory ODE Lecture Notes J. Arino 7 Thus kf(t, (t))k M for |t t0| . Since is a solution, we have that 0(t) = f(t, (t)) and (t0) = x0. Thus (t) = x0 + Zt
t0

f(s, (s))ds for |t t0| . Hence k(t) x0k = Z

t0 t

f(s, (s))ds for |t t0| M|t t0| for |t t0| . As a consequence, k(t) x0k M < M M M b M

= b for |t t0| . In particular, k(t0 ) x0k < b. Hence contradiction with (1.5). The following theorem is proved using the same sort of technique as in the proof of Theorem 1.1.6. It links the variation of the solution to the nature of the vector field. Theorem 1.1.7. If (t) is a solution of the IVP (1.3) in an interval |t t0| < , then k(t1) (t2)k M|t1 t2| whenever t1, t2 are in the interval |t t0| < . Proof. Let us begin by considering t t0. On t0 t t0 + , (t1) (t2) = x0 + Z t1
t0

f(s, (s))ds x0 Z t2
t0

f(s, (s))ds = Z t2
t1

f(s, (s))ds if t2 > t1 Z t2

t1

f(s, (s))ds if t1 > t2 Now we can see formally what is needed for a solution. Theorem 1.1.8. Suppose f is continuous on an open set U R Rn. Let (t0, x0) 2 U, and be a function defined on an open set I of R such that t0 2 I. Then is a solution of the IVP (1.3) if, and only if, i) 8t 2 I, (t, (t)) 2 U. ii) is continuous on I. iii) 8t 2 I, (t) = x0 + Rt
t0

f(s, (s))ds. 8 Fund. Theory ODE Lecture Notes J. Arino 1. General theory of ODEs Proof. ()) Let us suppose that 0 = f(t, ) for all t 2 I and that (t0) = x0. Then for all t 2 I, (t, (t)) 2 U (i ). Also, is differentiable and thus continuous on I (ii ). Finally, 0(s) = f(s, (s)) so integrating both sides from t0 to t, (t) (t0) = Zt
t0

f(s, (s))ds and thus (t) = x0 + Zt

t0

f(s, (s))ds hence (iii ). (() Assume i ), ii ) and iii ). Then is differentiable on I and 0(t) = f(t, (t)) for all t

2 I. From (3), (t0) = x0 + R t0

t0

f(s, (s))ds = x0. Note that Theorem 1.1.8 states that should be continuous, whereas the solution should of course be C1, for its derivative needs to be continuous. However, this is implied by point iii ). In fact, more generally, the following result holds about the regularity of solutions. Theorem 1.1.9 (Regularity). Let f : U ! Rn, with U an open set of RRn. Suppose that f 2 Ck. Then all solutions of (1.2) are of class Ck+1. Proof. The proof is obvious, since a solution is such that 0 2 Ck.

1.1.3 Geometric interpretation

The function f is the vector field of the equation. At every point in (t, x) space, a solution is tangent to the value of the vector field at that point. A particular consequence of this fact is the following theorem. Theorem 1.1.10. Let x0 = f(x) be a scalar autonomous differential equation. Then the solutions of this equation are monotone. Proof. The direction field of an autonomous scalar differential equation consists of vectors that are parallel for all t (since f(t, x) = f(x) for all t). Suppose that a solution of x0 = f(x) is non monotone. Then this means that, given an initial point (t0, x0), one the following two occurs, as illustrated in Figure 1.3. i) f(x0) 6= 0 and there exists t1 such that (t1) = x0. ii) f(x0) = 0 and there exists t1 such that (t1) 6= x0. 1.2. Existence and uniqueness theorems Fund. Theory ODE Lecture Notes J. Arino 9
t t t t t t1 0 2 1 0 2

Figure 1.3: Situations that would lead to a scalar autonomous differential equation having nonmonotone solutions.

Suppose we are in case i), and assume we are in the case f(x0) > 0. Thus, the solution curve is increasing at (t0, x0), i.e., 0(t0) > 0. As is continuous, i) implies that there exists t2 2 (t0, t1) such that (t2) is a maximum, with increasing for t 2 [t0, t2) and decreasing for t 2 (t2, t1]. It follows that 0(t1) < 0, which is a contradiction with 0(t0) > 0. Now assume that we are in case ii). Then there exists t2 2 (t0, t1) with (t2) = x0 but such that 0(t2) < 0. This is a contradiction.
Remark If we have uniqueness of solutions, it follows from this theorem that if 1 and 2 are two solutions of the scalar autonomous differential equation x0 = f(x), then 1(t0) < 2(t0) implies

that 1(t) < 2(t) for all t. Remark Be careful: Theorem 1.1.10 is only true for scalar equations.

1.2 Existence and uniqueness theorems

Several approaches can be used to show existence and/or uniqueness of solutions. In Sections 1.2.2 and 1.2.3, we take a direct path: using either a fixed point method (Section 1.2.2) or an iterative approach (Section 1.2.3), we obtain existence and uniqueness of solutions under the assumption that the vector field is Lipschitz. In Section 1.2.4, the Lipschitz assumption is dropped and therefore a different approach must be used, namely that of approximate solutions, with which only existence can be established.

1.2.1 Successive approximations

Picards successive approximation method consists in using the integral form (1.4) of the solution to the IVP (1.3) to construct a sequence of approximation of the solution, that converges to the solution. The steps followed in constructing this approximating sequence are the following. 10 Fund. Theory ODE Lecture Notes J. Arino 1. General theory of ODEs Step 1. Start with an initial estimate of the solution, say, the constant function 0(t) = 0 = x0, for |t t0| h. Evidently, this function satisfies the IVP. Step 2. Use 0 in (1.4) to define the second element in the sequence: 1(t) = x0 + Zt
t0

f(s, 0(s))ds. Step 3. Use 1 in (1.4) to define the third element in the sequence: 2(t) = x0 + Zt
t0

f(s, 1(s))ds. ... Step n. Use n(t) = x0 + Zt

t0

n1

in (1.4) to define the nth element in the sequence:

f(s, n1(s))ds. At this stage, there are two major ways to tackle the problem, which use the same idea: if we can prove that the sequence {n} converges, and that the limit happens to satisfy the differential equation, then we have the solution to the IVP (1.3). The first method (Section 1.2.2) uses a fixed point approach. The second method (Section 1.2.3) studies

explicitly the limit.

1.2.2 Local existence and uniqueness Proof by fixed point

Here are two slightly different formulations of the same theorem, which establishes that if the vector field is continuous and Lipschitz, then the solutions exist and are unique. We prove the result in the second case. For the definition of a Lipschitz function, see Section A.6 in the Appendix. Theorem 1.2.1 (Picard local existence and uniqueness). Assume f : U R Rn ! D Rn is continuous, and that f(t, x) satisfies a Lipschitz condition in U with respect to x. Then, given any point (t0, x0) 2 U, there exists a unique solution of (1.3) on some interval containing t0 in its interior. Theorem 1.2.2 (Picard local existence and uniqueness). Consider the IVP (1.3), and assume f is (piecewise) continuous in t and satisfies the Lipschitz condition kf(t, x1) f(t, x2)k Lkx1 x2k for all x1, x2 2 D = {x : kx x0k b} and all t such that |t t0| a. Then there exists 0 < = min a, b
M

such that (1.3) has a unique solution in |t t0| . To set up the proof, we proceed as follows. Define the operator F by F : x 7! x0 + Zt
t0

f(s, x(s))ds. 1.2. Existence and uniqueness theorems Fund. Theory ODE Lecture Notes J. Arino 11 Note that the function (F)(t) is a continuous function of t. Then Picards successives approximations take the form 1 = F0, 2 = F1 = F20, where F2 represents F F. Iterating, the general term is given for k = 0, . . . by k = Fk0. Therefore, finding the limit limk!1 k is equivalent to finding the function , solution of the fixed point problem x = Fx, with x a continuously differentiable function. Thus, a solution of (1.3) is a fixed point of F, and we aim to use the contraction mapping principle to verify the existence (and uniqueness) of such a fixed point. We follow the proof of [14, p. 56-58]. Proof. We show the result on the interval t t0 . The proof for the interval t0 t

is similar. Let X be the space of continuous functions defined on the interval [t0, t0 + ], X = C([t0, t0 + ]), that we endow with the sup norm, i.e., for x 2 X, kxkc = max
t2[t0,t0+]

kx(t)k Recall that this norm is the norm of uniform convergence. Let then S = {x 2 X : kx x0kc b} Of course, S X. Furthermore, S is closed, and X with the sup norm is a complete metric space. Note that we have transformed the problem into a problem involving the space of continuous functions; hence we are now in an infinite dimensional case. The proof proceeds in 3 steps. Step 1. We begin by showing that F : S ! S. From (1.4), (F)(t) x0 = Zt
t0

f(s, (s))ds = Zt
t0

f(s, (s)) f(s, x0) + f(s, x0)ds Therefore, by the triangle inequality, kF x0k Zt
t0

kf(s, (s)) f(t, x0)k + kf(t, x0)kds As f is (piecewise) continuous, it is bounded on [t0, t1] and there existsM = maxt2[t0,t1] kf(t, x0)k. Thus kF x0k Zt
t0

kf(s, (s)) f(t, x0)k +Mds Z

t0 t

Lk(s) x0k +Mds, 12 Fund. Theory ODE Lecture Notes J. Arino 1. General theory of ODEs since f is Lipschitz. Since 2 S for all k x0k b, we have that for all 2 S, kF x0k Zt
t0

Lb +Mds (t t0)(Lb +M) As t 2 [t0, t0 + ], (t t0) , and thus kF x0kc = max

[t0,t0+]

kF x0k (Lb +M) Choose then such that b/(Lb +M), i.e., t sufficiently close to t0. Then we have

kF x0kc b This implies that for 2 S, F 2 S, i.e., F : S ! S. Step 2. We now show that F is a contraction. Let 1, 2 2 S, k(F1)(t) (F2)(t)k = Z
t0 t

f(s, 1(s)) f(s, 2(s))ds Z

t0

kf(s, 1(s)) f(s, 2(s))kds Z

t0 t

Lk1(s) 2(s)kds Lk1 2kc Zt

t0

ds and thus kF1 F2kc Lk1 2kc k1 2kc for L Thus, choosing < 1 and /L, F is a contraction. Since, by Step 1, F : S ! S, the contraction mapping principle (Theorem A.11) implies that F has a unique fixed point in S, and (1.3) has a unique solution in S. Step 3. It remains to be shown that any solution in X is in fact in S (since it is on X that we want to show the result). Considering a solution starting at x0 at time t0, the solution leaves S if there exists a t > t0 such that k(t)x0k = b, i.e., the solution crosses the border of D. Let > t0 be the first of such ts. For all t0 t , k(t) x0k Zt
t0

kf(s, (s)) f(s, x0)k + kf(s, x0)kds Z

t0 t

Lk(s) x0k +Mds Z

t0 t

Lb +Mds 1.2. Existence and uniqueness theorems Fund. Theory ODE Lecture Notes J. Arino 13 As a consequence, b = k( ) x0k (Lb +M)( t0) As = t0 + , for some > 0, it follows that if

> b Lb +M then the solution is confined to D. Note that the condition x1, x2 2 D = {x : kxx0k b} in the statement of the theorem refers to a local Lipschitz condition. If the function f is Lipschitz, then the following theorem holds. Theorem 1.2.3 (Global existence). Suppose that f is piecewise continuous in t and is Lipschitz on U = I D. Then (1.3) admits a unique solution on I.

1.2.3 Loc
d dt R(t, t0) v(t) + R(t, t0)v0(t) = A(t)R(t, t0)v(t) + R(t, t0)v0(t), 2.5. Further developments, bibliographical notes Fund. Theory ODE Lecture Notes J. Arino 55 from Proposition 2.2.11. For to be solution, it must satisfy the differential equation (2.19), and thus 0(t) = A(t)(t) + g(t, (t)) , A(t)R(t, t0)v(t) + ekt ektekT = "ekT 1 ekT f(c0) k 1 ekT al existence and uniqueness Proof by successive

approximations
Using the method of successive approximations, we can prove the following theorem. Theorem 1.2.4. Suppose that f is continuous on a domain R of the (t, x)-plane defined, for a, b > 0, by R = {(t, x) : |t t0| a, kx x0k b}, and that f is locally Lipschitz in x on R. Let then, as previously defined, M = sup
(t,x)2R

kf(t, x)k < 1 and = min(a, b M )

Then the sequence defined by 0 = x0, |t t0| i(t) = x0 + Zt

t0

f(s, i1(s))ds, i 1, |t t0| converges uniformly on the interval |t t0| to , unique solution of (1.3). Proof. We follow [20, p. 3-6]. Existence. Suppose that |t t0| . Then k 1 0k = Z
t0 t

f(s, 0(s))ds M|t t0| M b 14 Fund. Theory ODE Lecture Notes J. Arino 1. General theory of ODEs from the definitions of M and , and thus k1 0k b. So Rt
t0

f(s, 1(s))ds is defined for |t t0| , and, for |t t0| , k2(t) 0k = Z

t0 t

f(s, 1(s))ds k Zt
t0

kf(s, 1(s))kds M b. All subsequent terms in the sequence can be similarly defined, and, by induction, for |tt0| , kk(t) 0k M b, k = 1, . . . , n. Now, for |t t0| , kk+1(t) k(t)k = x0 + Zt
t0

f(s, k(s))ds x0 Zt
t0

f(s, = Z
t0 t

k1(s))ds

f(s, k(s)) f(s, L Zt

t0

k1(s))

ds

kk(s) k1(s)kds, where the inequality results of the fact that f is locally Lipschitz in x on R. We now prove that, for all k, kk+1 kk b (L|t t0|)k k! for |t t0| (1.6) Indeed, (1.6) holds for k = 1, as previously established. Assume that (1.6) holds for k = n. Then kn+2 n+1k = Z
t0 t n+1(s))

f(s, Z
t0

f(s, n(s))ds

Lkn+1(s) n(s)kds Z
t0 t

Lb (L|s t0|)n n! ds for |t t0| b Ln+1 n! |t t0|n+1 n+1

s=t s=t0

b (L|t t0|)n+1 (n + 1)! and thus (1.6) holds for k = 1, . . .. Thus, for N > n we have kN(t) n(t)k NX1
k=n

kk+1(t) k(t)k NX1

k=n

b (L|t t0|)k k!

b NX1
k=n

(L)k k! 1.2. Existence and uniqueness theorems Fund. Theory ODE Lecture Notes J. Arino 15 The rightmost term in this expression tends to zero as n ! 1. Therefore, {k(t)} converges uniformly to a function (t) on the interval |t t0| . As the convergence is uniform, the limit function is continuous. Moreover (t0) = x0. Indeed, N(t) = 0(t) + PN k=1(k(t) k1(t)), so (t) = 0(t) + P1 k=1(k(t) k1(t)). The fact that is a solution of (1.3) follows from the following result. If a sequence of functions {k(t)} converges uniformly and that the k(t) are continuous on the interval |t t0| , then lim
n!1

Z
t0

n(s)ds

Z
t0

lim
n!1 n(s)ds

Hence, (t) = lim

n!1 n(t)

= x0 + lim
n!1

Z
t0

f(s, n1(s))ds = x0 + Zt
t0

lim
n!1

f(s, n1(s))ds = x0 + Zt
t0

f(s, (s))ds, which is to say that (t) = x0 + Zt

t0

f(s, (s))ds for |t t0| . As the integrand f(t, ) is a continuous function, is differentiable (with respect to t), and 0(t) = f(t, (t)), so is a solution to the IVP (1.3). Uniqueness. Let and be two solutions of (1.3), i.e., for |t t0| , (t) = x0 + Zt
t0

f(s, (s))ds (t) = x0 + Zt

t0

f(s, (s))ds. Then, for |t t0| , k(t) (t)k = Z

t0 t

f(s, (s)) f(s, (s))ds L Zt

t0

k(s) (s)kds. (1.7) We now apply Gronwalls Lemma A.7) to this inequality, using K = 0 and g(t) = k(t) (t)k. First, applying the lemma for t0 t t0 + , we get 0 k(t) (t)k 0, that is, k(t) (t)k = 0, 16 Fund. Theory ODE Lecture Notes J. Arino 1. General theory of ODEs and thus (t) = (t) for t0 t t0 + . Similarly, for t0 t t0, k(t) (t)k = 0. Therefore, (t) = (t) on |t t0| .
Example Let us consider the IVP x0 = x, x(0) = x0 = c, c 2 R. For initial solution, we choose 0(t) = c. Then 1(t) = x0 + Zt
0

f(s, 0(s))ds =c+ Zt

0

0(s)ds =cc Zt
0

ds = c ct. To find 2, we use 2(t) = x0 + Zt

0

in (1.4).

f(s, 1(s))ds =c Zt

(c cs)ds = c ct + c t2 2. Continuing this method, we find a general term of the form n(t) = Xn
i=0

c (1)iti i! . This is the power series expansion of cet, so n ! = cet (and the approximation is valid on R), which is the solution of the initial value problem.

Note that the method of successive approximations is a very general method that can be used in a much more general context; see [8, p. 264-269].

1.2.4 Local existence (non Lipschitz case)

The following theorem is often called Peanos existence theorem. Because the vector field is not assumed to be Lipschitz, something is lost, namely, uniqueness. Theorem 1.2.5 (Peano). Suppose that f is continuous on some region R = {(t, x) : |t t0| a, kx x0k b}, with a, b > 0, and let M = maxR kf(t, x)k. Then there exists a continuous function (t), differentiable on R, such that i) (t0) = x0, 1.2. Existence and uniqueness theorems Fund. Theory ODE Lecture Notes J. Arino 17 ii) 0(t) = f(t, ) on |t t0| , where = a if M = 0 min a, b
M

if M > 0. Before we can prove this result, we need a certain number of preliminary notations and results. The definition of equicontinuity and a statement of the Ascoli lemma are given in Section A.5. To construct a solution without the Lipschitz condition, we approximate the differential equation by another one that does satisfy the Lipschitz condition. The unique solution of such an approximate problem is an "-approximate solution. It is formally defined as follows [8, p. 285]. Definition 1.2.6 ("-approximate solution). A differentiable mapping u of an open

ball J 2 I into U is an approximate solution of x0 = f(t, x) with approximation " (or an "approximate solution) if we have ku0(t) f(t, u(t))k ", for any t 2 J. Lemma 1.2.7. Suppose that f(t, x) is continuous on a region R = {(t, x) : |t t0| a, kx x0k b}. Then, for every positive number ", there exists a function F"(t, x) such that i) F" is continuous for |t t0| a and all x, ii) F" has continuous partial derivatives of all orders with respect to x1, . . . , xn for |tt0| a and all x, iii) kF"(t, x)k maxR kf(t, x)k = M for |t t0| a and all x, iv) kF"(t, x) f(t, x)k " on R. See a proof in [12, p. 10-12]; note that in this proof, the property that f defines a differential equation is not used. Hence Lemma 1.2.7 can be used in a more general context than that of differential equations. We now prove Theorem 1.2.5. Proof of Theorem 1.2.5. The proof takes four steps. 1. We construct, for every positive number ", a function F"(t, x) that satisfies the requirements given in Lemma 1.2.7. Using an existence-uniqueness result in the Lipschitz case (such as Theorem 1.2.2), we construct a function "(t) such that (P1) "(t0) = x0, (P2) 0 "(t) = F"(t, "(t)) on |t t0| < . (P3) (t, "(t)) 2 R on |t t0| . 18 Fund. Theory ODE Lecture Notes J. Arino 1. General theory of ODEs 2. The set F = {" : " > 0} is bounded and equicontinuous on |t t0| . Indeed, property (P3) of " implies that F is bounded on |t t0| and that kF"(t, "(t))k M on |t t0| . Hence property (P2) of " implies that k"(t1) "(t2)k M|t1 t2|, if |t1 t0| and |t2 t0| (this is a consequence of Theorem 1.1.7). Therefore, for a given positive number , we have k"(t1)"(t2)k whenever |t1 t0| , |t2 t0| , and |t1 t2| /M. 3. Using Lemma A.5, choose a sequence {"k : k = 1, 2, . . .} of positive numbers such that limk!1 "k = 0 and that the sequence {"k : k = 1, 2, . . .} converges uniformly on | tt0| as k ! 1. Then set (t) = lim
k!1 "k(t)

on |t t0| . 4. Observe that "(t) = x0 + Zt

t0

F"(s, "(s))ds = x0 + Zt
t0

f(s, "(s))ds + Zt
t0

F"(s, "(s)) f(s, "(s))ds, and that it follows from iv) in Lemma 1.2.7 that Z
t0 t

F"(s, "(s)) f(s, "(s))ds "|t t0| on |t t0| . This is true for all " 0, so letting " ! 0, we obtain (t) = x0 + Zt
t0

f(s, (s))ds, which completes the proof. See [12, p. 13-14] for the outline of two other proofs of this result. A proof, by Hartman [11, p. 10-11], now follows. Proof. Let > 0 and `(t) be a C1 n-dimensional vector-valued function on [t0 , t0] satisfying `(t0) = x0, 0 `(t0) = f(t0, x0) and k`(t) x0k b, k0 `(t)k M. For 0 < " , define a function "(t) on [t0 , t0 + ] by putting "(t) = `(t) on [t0 , t0] and "(t) = x0 + Zt
t0

f(s, "(s "))ds on [t0, t0 + ]. (1.8) The function " can indeed be thus defined on [t0 , t0 + ]. To see this, remark first that this formula is meaningful and defines "(t) for t0 t t0 + 1, 1 = min(, "), so that "(t) is C1 on [t0 , t0 + 1] and, on this interval, k"(t) x0k b, k"(t) "(s)k M|t s|. (1.9) 1.2. Existence and uniqueness theorems Fund. Theory ODE Lecture Notes J. Arino 19 It then follows that (1.8) can be used to extend "(t) as a C1 function over [t0 , t0 + 2], where 2 = min(, 2"), satisfying relation (1.9). Continuing in this fashion, (1.8) serves to define "(t) over [t0, t0+] so that "(t) is a C0 function on [t0, t0+], satisfying relation (1.9). Since k0 "(t)k M, M can be used as a Lipschitz constant for ", giving uniform continuity of ". It follows that the family of functions, "(t), 0 < " , is equicontinuous. Thus, using Ascolis Lemma (Lemma A.5), there exists a sequence "(1) > "(2) >

. . ., such that "(n) ! 0 as n ! 1 and (t) = lim

n!1 "(n)(t)

exists uniformly on [t0 , t0 + ]. The continuity of f implies that f(t, "(n)(t "(n)) tends uniformly to f(t, (t)) as n ! 1; thus term-by-term integration of (1.8) where " = "(n) gives (t) = x0 + Zt
t0

f(s, (s))ds and thus (t) is a solution of (1.3). An important corollary follows. Corollary 1.2.8. Let f(t, x) be continuous on an open set E and satisfy kf(t, x)k M. Let E0 be a compact subset of E. Then there exists an = (E,E0,M) > 0 with the property that if (t0, x0) 2 E0, then the IVP (1.3) has a solution and every solution exists on |t t0| . In fact, hypotheses can be relaxed a little. Coddington and Levinson [5] define an "approximate solution as Definition 1.2.9. An "-approximate solution of the differential equation (1.2), where f is continuous, on a t interval I is a function 2 C on I such that i) (t, (t)) 2 U for t 2 I; ii) 2 C1 on I, except possibly for a finite set of points S on I, where 0 may have simple discontinuities (g has finite discontinuities at c if the left and right limits of g at c exist but are not equal); iii) k0(t) f(t, (t))k " for t 2 I \ S. Hence it is assumed that has a piecewise continuous derivative on I, which is denoted by 2 C1 p (I). Theorem 1.2.10. Let f 2 C on the rectangle R = {(t, x) : |t t0| a, kx x0k b}. Given any " > 0, there exists an "-approximate solution of (1.3) on |t t0| such that (t0) = x0. 20 Fund. Theory ODE Lecture Notes J. Arino 1. General theory of ODEs Proof. Let " > 0 be given. We construct an "-approximate solution on the interval [t0, t0+"]; the construction works in a similar way for [t0 , t0]. The "-approximate solution that we construct is a polygonal path starting at (t0, x0). Since f 2 C on R, it is uniformly continuous on R, and therefore for the given value of

", there exists " > 0 such that kf(t, ) f(t, )k " (1.10) if (t, ) 2 R, (t, ) 2 R and |t t| " k k ". Now divide the interval [t0, t0 + ] into n parts t0 < t1 < < tn = t0 + , in such a way that max |tk tk1| min
", "

M . (1.11) From (t0, x0), construct a line segment with slope f(t0, x0) intercepting the line t = t1 at (t1, x1). From the definition of and M, it is clear that this line segment lies inside the triangular region T bounded by the lines segments with slopes M from (t0, x0) to their intercept at t = t0 + , and the line t = t0 + . In particular, (t1, x1) 2 T. At the point (t1, x1), construct a line segment with slope f(t1, x1) until the line t = t2, obtaining the point (t2, x2). Continuing similarly, a polygonal path is constructed that meets the line t = t0 + in a finite number of steps, and lies entirely in T. The function , which can be expressed as (t0) = x0 (t) = (tk1) + f(tk1, (tk1))(t tk1), t 2 [tk1, tk], k = 1, . . . , n, (1.12) is the "-approximate solution that we seek. Clearly, 2 C1 p ([t0, t0 + ]) and k(t) (t)k M|t t| for t, t 2 [t0, t0 + ]. (1.13) If t 2 [tk1, tk], then (1.13) together with (1.11) imply that k(t) (tk1)k ". But from (1.12) and (1.10), k0(t) f(t, (t))k = kf(tk1, (tk1)) f(t, (t))k ". Therefore, is an "-approximation. We can now turn to their proof of Theorem 1.2.5. Proof. Let {"n} be a monotone decreasing sequence of positive real numbers with "n ! 0 as n ! 1. By Theorem 1.2.10, for each "n, there exists an "n-approximate solution n of (1.3) on |t t0| such that n(t0) = x0. Choose one such solution n for each "n. From (1.13), it follows that kn(t) n(t)k M|t t|. (1.14) 1.2. Existence and uniqueness theorems Fund. Theory ODE Lecture Notes J. Arino 21 Applying (1.14) to t = t0, it is clear that the sequence {n} is uniformly bounded by

kx0k + b, since |t t0| b/M. Moreover, (1.14) implies that {n} is an equicontinuous set. By Ascolis lemma (Lemma A.5), there exists a subsequence {nk}, k = 1, . . ., of {n}, converging uniformly on [t0, t0+] to a limit function , which must be continuous since each n is continuous. This limit function is a solution to (1.3) which meets the required specifications. To see this, write n(t) = x0 + Zt
t0

f(s, n(s)) + n(s)ds, (1.15) where n(t) = 0(t) f(t, n(t)) at those points where 0 n exists, and n(t) = 0 otherwise. Because n is an "n-approximate solution, kn(t)k "n. Since f is uniformly continuous on R, and nk ! uniformly on [t0 , t0 +] as k ! 1, it follows that f(t, nk) ! f(t, (t)) uniformly on [t0 , t0 + ] as k ! 1. Replacing n by nk in (1.15) and letting k ! 1 gives (t) = x0 + Zt
t0

f(s, (s))ds. (1.16) Clearly, (t0) = 0, when evaluated using (1.16), and also 0(t) = f(t, (t)) since f is continuous. Thus as defined by (1.16) is a solution to (1.3) on |t t0| .

1.2.5 Some examples of existence and uniqueness

Example Consider the IVP x0 = 3|x|
2 3

x(t0) = x0 (1.17) Here, Theorem 1.2.5 applies, since f(t, x) = 3x2/3 is continuous. However, Theorem 1.2.2 does not apply, since f(t, x) is not locally Lipschitz in x = 0 (or, f is not Lipschitz on any interval containing 0). This means that we have existence of solutions to this IVP, but not uniqueness of the solution. The fact that f is not Lipschitz on any interval containing 0 is established using the following argument. Suppose that f is Lipschitz on an interval I = (", "), with " > 0. Then, there exists L > 0 such that for all x1, x2 2 I, kf(t, x1) f(t, x2)k L|x1 x2| that is, 3 |x1|
2 3 2 3

|x2|

L|x1 x2| Since this has to hold true for all x1, x2 2 I, it must hold true in particular for x2 = 0. Thus 3|x1|
2 3

L|x1| Given an " > 0, it is possible to find N" > 0 such that n < " for all n N". Let x1 = 1 n. Then for n N", if f is Lipschitz there must hold 3 1 n
2 3

L n

22 Fund. Theory ODE Lecture Notes J. Arino 1. General theory of ODEs

So, for all n N", n
1 3

L 3 This is a contradiction, since lim n!1 n1/3 = 1, and so f is not Lipschitz on I. Let us consider the set E = {t 2 R : x(t) = 0} The set E can be have several forms, depending on the situation. 1) E = ;, 2) E = [a, b], (closed since x is continuous and thus reaches its bounds), 3) E = (1, b), 4) E = (a,+1), 5) E = R. Note that case 2) includes the case of a single intersection point, when a = b, giving E = {a}. Let us now consider the nature of x in these different situations. Recall that from Theorem 1.1.10, since (1.17) is defined by a scalar autonomous equation, its solutions are monotone. For simplicity, we consider here the case of monotone increasing solutions. The case of monotone decreasing solutions can be treated in a similar fashion. 1) Here, there is no intersection with the x = 0 axis. Thus if follows that x(t) is > 0, if x0 > 0 < 0, if x0 < 0 2) In this case, x(t) is 8< : < 0, if t < a = 0, if t 2 [a, b]

> 0, if t > b 3) Here, x(t) is = 0, if t < b > 0, if t > b 4) In this case, x(t) is < 0, if t < a = 0, if t > a 5) In this last case, x(t) = 0 for all t 2 R. Now, depending on the sign of x, we can integrate the equation. First, if x > 0, then |x| = x and so x0 = 3x2/3 , 1 3x2/3x0 = 1 , x1/3 = t + k1 , x(t) = (t + k1)3

1.2. Existence and uniqueness theorems Fund. Theory ODE Lecture Notes J. Arino 23

for k1 2 R. Then, if x < 0, then |x| = x, and x0 = 3 (x)2/3 , 1 3 (x)2/3(x0) = 1 , (x)1/3 = t + k2 , x(t) = (t + k2)3 for k2 2 R. We can now use these computations with the different cases that were discussed earlier, depending on the value of t0 and x0. We begin with the case of t0 > 0 and x0 > 0. 1) The case E = ; is impossible, for all initial conditions (t0, x0). Indeed, as x0 > 0, we have x(t) = (t + k1)3. Using the initial condition, we find that x(t0) = x0 = (t0 + k1)3, i.e., k1 = x1/3 0 t0, and x(t) = (t + x1/3 0 t0)3. 2) If E = [a, b], then x(t) = 8< : (t + k2)3 if t < a 0 if t 2 [a, b] (t + k1)3 if t > b Since x0 > 0, we have to be in the t > b region, so t0 > b, and (t0 +k1)3 = x0, which implies that k1 = x1/3 0 t0. Thus x(t) = 8< : (t + k2)3 if t < a

0 if t 2 [a, b] (t + x1/3 0 t0)3 if t > b Since x is continuous, lim

t!b,t>b

(t + x1/3 0 t0)3 = 0 and lim

t!a,t<a

(t + k2)3 = 0 This implies that b = t0 x1/3 0 and k2 = a. So finally, x(t) = 8>< >: (t + a)3 if t < a 0 if t 2 [a, t0 x
1 3

0
1 3

] (a t0 x

) (t + x1/3 0 t0)3 if t > t0 x

0
1 3

Thus, choosing a t0 x1/3 0 , we have solutions of the form shown in Figure 1.4. Indeed, any ai satisfying this property yields a solution. 3) The case [a,+1) is impossible. Indeed, there does not exist a solution through (t0, x0) such that x(t) = 0 for all t 2 [a,+1); since we are in the case of monotone increasing functions, if x0 > 0 then x(t) x0 for all t t0. 4) E = R is also impossible, for the same reason.

24 Fund. Theory ODE Lecture Notes J. Arino 1. General theory of ODEs

Figure 1.4: Case t0, x0 > 0, subcase 2, in the resolution of (1.17). 5) For the case E = (1, b], we have x(t) = 0 if t 2 (1, b] (t + k1)3 if t > b Since x(t0) = x0, k1 = x1/3 0 t0, and since x is continuous, b = k1 = t0 x1/3 0 . So, x(t) = ( 0 if t 2 (1, t0 x1/3 0] (t + x1/3 0 t0)3 if t > t0 x1/3
0

The other cases are left as an exercise. Example Consider the IVP

x0 = 2tx2 x(0) = 0 (1.18) Here, we have existence and uniqueness of the solutions to (1.18). Indeed, f(t, x) = 2tx2 is continuous and locally Lipschitz on R.

1.3 Continuation of solutions

The results we have seen so far deal with the local existence (and uniqueness) of solutions to an IVP, in the sense that solutions are shown to exist in a neighborhood of the initial data. The continuation of solutions consists in studying criteria which allow to define solutions on possibly larger intervals. Consider the IVP x0 = f(t, x) x(t0) = x0, (1.19) 1.3. Continuation of solutions Fund. Theory ODE Lecture Notes J. Arino 25 with f continuous on a domain U of the (t, x) space, and the initial point (t0, x0) 2 U. Lemma 1.3.1. Let the function f(t, x) be continuous in an open set U in (t, x)space, and assume that a function (t) satisfies the condition 0(t) = f(t, (t)) and (t, (t)) 2 U, in an open interval I = {t1 < t < t2}. Under this assumption, if limj!1(j , (j)) = (t1, ) 2 U for some sequence {j : j = 1, 2, . . .} of points in the interval I, then lim!t1(, ( )) = (t1, ). Similarly, if limj!1(j , (j)) = (t2, ) 2 U for some sequence {j : j = 1, 2, . . .} of points in the interval I, then lim!t2(, ( )) = (t2, ). Proof. Let W be an open neighborhood of (t1, ). Then (t, (t)) 2 W in an interval 1 < t < (W) for some (W) determined by W. Indeed, assume that the closure of W, W U, and that |f(t, x)| M in W for some positive number M. For every positive integer j and every positive number ", consider a rectangular region Rj(") = {(t, x) : |t tj | ", kx (tj)k M"} Then there exists an " > 0 and a j such that (1, ) 2 Rj(") W, with " = min ", M"
M

and tj " 1. From Theorem 1.1.6 applied to the solution of the IVP x0 = f(t, x), x(j) = (j), we obtain that (, ( )) 2 Rj(") 2 U on the interval t1 < j . Since U is an arbitrary open neighborhood of (t1, ), we conclude that limj!1(j , (j)) = (t1, ) 2 R. From the previous result, we can derive a result concerning the maximal interval over which a solution can be extended. To emphasize the fact that the solution of

an ODE exists in some interval I, we denote (, I). We need the notion of extension of a solution. It is defined in the classical manner (see Figure 1.5). Definition 1.3.2 (Extension). Let (, I) and ( , I) be two solutions of the same ODE. We say that ( , I) is an extension of (, I) if, and only if, I I, |I = where |I denotes the restriction to I. Theorem 1.3.3. Let f(t, x) be continuous in an open set U in (t, x)-space, and the function (t) be a function satisfying the condition 0(t) = f(t, (t)) and (t, (t)) 2 U, in an open interval I = {t1 < t < t2}. If the following two conditions are satisfied: i) (t) cannot be extended to the left of t1 (or, respectively, to the right of t2), ii) limj!1(j , (j)) = (t1, ) (or, respectively, (t2, )) exists for some sequence {j : j = 1, 2, . . .} of points in the interval I, then the limit point (t1, ) (or, respectively, (t2, )) must be on the boundary of U. 26 Fund. Theory ODE Lecture Notes J. Arino 1. General theory of ODEs
~ ~ I I ~

Figure 1.5: The extension on the interval I of the solution (defined on the interval I).

Proof. Suppose that the hypotheses of the theorem are satisfied, and that (t1, ) 2 U (respectively, (t2, ) 2 U). Then, from Lemma 1.3.1, it follows that lim
!t1

(, ( )) = (t1, ) (or, respectively, lim!t2(, ( )) = (t2, )). Thus we can apply Theorem 1.2.5 (Peanos Theorem) to the IVP x0 = f(t, x) x(t1) = , (or, respectively, x0 = f(t, x), x(t2) = ). This implies that the solution can be extended to the left of t1 (respectively, to the right of t2), since Theorem 1.2.5 implies existence in a neighborhood of t1. This is a contradiction. A particularly important consequence of the previous theorem is the following corollary. Corollary 1.3.4. Assume that f(t, x) is continuous for t1 < t < t2 and all x 2 Rn. Also, assume that there exists a function (t) satisfying the following conditions: a) and 0 are continuous in a subinterval I of the interval t1 < t < t2, b) 0(t) = f(t, (t)) in I. Then, either

i) (t) can be extended to the entire interval t1 < t < t2 as a solution of the differential equation x0 = f(t, x), or ii) limt! k(t)k = 1 for some in the interval t1 < t < t2. 1.3. Continuation of solutions Fund. Theory ODE Lecture Notes J. Arino 27

1.3.1 Maximal interval of existence

Another way of formulating these results is with the notion of maximal intervals of existence. Consider the differential equation x0 = f(t, x) (1.20) Let x = x(t) be a solution of (1.20) on an interval I. Definition 1.3.5 (Right maximal interval of existence). The interval I is a right maximal interval of existence for x if there does not exist an extension of x(t) over an interval I1 so that x remains a solution of (1.20), with I I1 (and I and I1 having different right endpoints). A left maximal interval of existence is defined in a similar way. Definition 1.3.6 (Maximal interval of existence). An interval which is both a left and a right maximal interval of existence is called a maximal interval of existence. Theorem 1.3.7. Let f(t, x) be continuous on an open set U and (t) be a solution of (1.20) on some interval. Then (t) can be extended (as a solution) over a maximal interval of existence (!, !+). Also, if (!, !+) is a maximal interval of existence, then (t) tends to the boundary @U of U as t ! ! and t ! !+.
Remark The extension need not be unique, and ! depends on the extension. Also, to say, for example, that ! @U as t ! !+ is interpreted to mean that either !+ = 1 or that !+ < 1 and if U0 is any compact subset of U, then (t, (t)) 62 U0 when t is near !+.

Two interesting corollaries, from [11]. Corollary 1.3.8. Let f(t, x) be continuous on a strip t0 t t0 + a (< 1), x 2 Rn arbitrary. Let be a solution of (1.3) on a right maximal interval J. Then either i) J = [t0, t0 + a], ii) or J = [t0, ), t0 + a, and k(t)k ! 1 as t ! . Corollary 1.3.9. Let f(t, x) be continuous on the closure U of an open (t, x)-set U, and let (1.3) possess a solution on a maximal right interval J. Then either i) J = [t0,1), ii) or J = [t0, ), with < 1 and (, ()) 2 @U, iii) or J = [t0, ) with < 1 and k(t)k ! 1 as t ! . 28 Fund. Theory ODE Lecture Notes J. Arino 1. General theory of ODEs

1.3.2 Maximal and global solutions

Linked to the notion of maximal intervals of existence of solutions is the notion of maximal

and global solutions. Definition 1.3.10 (Maximal solution). Let I1 R and I2 R be two intervals such that I1 I2. A solution (, I1) is maximal in I2 if has no extension ( , I) solution of the ODE such that I1 ( I I2. Definition 1.3.11 (Global solution). A solution (, I1) is global on I2 if admits a extension defined on the whole interval I2.
2

I U
1

Figure 1.6: 1 is a global and maximal solution on I; it is not global on I.

is a maximal solution on I, but

Every global solution on a given interval I is maximal on that same interval. The converse is false.
Example Consider the equation x0 = 2tx2 on R. If x 6= 0, x0x2 = 2t, which implies that x(t) = 1/(t2 c), with c 2 R. Depending on c, there are several cases. if c < 0, then x(t) = 1/(t2 c) is a global solution on R, if c > 0, the solutions are defined on (1, p c), ( p c, p c) and ( p c,1). The solutions are maximal solutions on R, but are not global solutions. if c = 0, then the maximal non global solutions on R are defined on (1, 0) and (0,1). Another solution is x 0, which is a global solution on R.

Lemma 1.3.12. Every solution of the differential equation x0 = f(t, x) is contained in a maximal solution . 1.4. Continuous dependence on initial data, on parameters Fund. Theory ODE Lecture Notes J. Arino 29 The following theorem extends the uniqueness property to an interval of existence of the solution. Theorem 1.3.13. Let 1, 2 : I ! Rn be two solutions of the equation x0 = f(t, x), with f locally Lipschitz in x on U. If 1 and 2 coincide at a point t0 2 I, then 1 = 2 on I. Proof. Under the assumptions of the theorem, 1(t0) = 2(t0). Suppose that there exists a t1, t1 6= t0, such that 1(t1) 6= 2(t1). For simplicity, let us assume that t1 > t0. By the local uniqueness of the solution, it follows from 1(t0) = 2(t0) that there exists a neighborhood N of t0 such that 1(t) = 2(t) for all t 2 N. Let E = {t 2 [t0, t1] : 1(t) 6= 2(t)} Since t1 2 E, E 6= ;. Let = inf(E), we have 2 (t0, t1], and for all t 2 [t0, ), 1(t) = 2(t).

By continuity of 1 and 2, we thus have 1() = 2(). This implies that there exists a neighborhood W of on which 1 = 2. This is a contradiction, since 1(t) 6= 2(t) for t > , hence there exists no such t1, and 1 = 2 on I. Corollary 1.3.14 (Global uniqueness). Let f(t, x) be locally Lipschitz in x on U. Then by any point (t0, x0) 2 U, there passes a unique maximal solution : I ! Rn. If there exists a global solution on I, then it is unique.

1.4 Continuous dependence on initial data, on parameters

Let be a solution of (1.3). To emphasize the fact the this solution depends on the initial condition (t0, x0), we denote it t0,x0 . Let be a parameter of (1.3). When we study the dependence of t0,x0 on , we denote the solution as t0,x0,. We suppose that kf(t, x)k M and |@f(t, x)/@xi| K for i = 1, . . . , n for (t, x) 2 U, with U 2 RRn. Note that these conditions are automatically satisfied on a closed bounded region of the form R = {(t, x) : |t t0| a, kx x0k b}, where a, b > 0. Our objective here is to characterize the nature of the dependence of the solution on the initial time t0 and the initial data x0. Theorem 1.4.1. Suppose that f and @f/@x are continuous and bounded in a given region U. Let t0,x0 be a solution of (1.3) passing through (t0, x0) and t0,x0 be a solution of (1.3) passing through (t0, x0). Suppose that and exist on some interval I. Then, for each " > 0, there exists > 0 such that if |t t| < and kx0 x0k < , then k(t) (t)k < ", for t, t 2 I. Proof. The prooof is from [2, p. 135-136]. Since is the solution of (1.3) through the point (t0, x0), we have, for all t 2 I, (t) = x0 + Zt
t0

f(s, (s))ds (1.21) 30 Fund. Theory ODE Lecture Notes J. Arino 1. General theory of ODEs As is the solution of (1.3) through the point (t0, x0), we have, for all t 2 I, (t) = x0 + Zt
t0

f(s, (s))ds (1.22) Since Z t

t0

f(s, (s))ds = Z t0
t0

f(s, (s))ds +

Z
t0

f(s, (s))ds, substracting (1.22) from (1.21) gives (t) (t) = x0 x0 + Z t0

t0

f(s, (s))ds + Zt
t0

f(s, (s)) f(s, (s))ds and therefore k(t) (t)k kx0 x0k + Z
t0 t0

f(s, (s))ds + Z
t0 t

f(s, (s)) f(s, (s))ds Using the boundedness assumptions on f and @f/@x to evaluate the right hand side of the latter inequation, we obtain k(t) (t)k kx0 x0k +M|t0 t0| + K Z
t0 t

(s) (s)ds If |t0 t0| < , kx0 x0k < , then we have k(t) (t)k +M + K Z
t0 t

(s) (s)ds (1.23) Applying Gronwalls inequality (Appendix A.7) to (1.23) gives k(t) (t)k (1 +M)eK|tt0| (1 +M)eK(21) using the fact that |t t0| < 2 1, if we denote I = (1, 2). Since k (t) (t)k < Z
t t

f(s, (s))ds M|t t| M if |t t| < , we have k(t) (t)k k(t) (t)k + k (t) (t)k (1 +M)eK(21) + M Now, given " > 0, we need only choose < "/[M + (1 + M)K(21)] to obtain the desired

inequality, completing the proof. 1.4. Continuous dependence on initial data, on parameters Fund. Theory ODE Lecture Notes J. Arino 31 What we have shown is that the solution passing through the point (t0, x0) is a continuous function of the triple (t, t0, x0). We now consider the case where the parameters also vary, comparing solutions to two different but close equations. Theorem 1.4.2. Let f, g be defined in a domain U and satisfy the hypotheses of Theorem 1.4.1. Let and be solutions of x0 = f(t, x) and x0 = g(t, x), respectively, such that (t0) = x0, (t0) = x0, existing on a common interval < t < . Suppose that kf(t, x) g(t, x)k " for (t, x) 2 U. Then the solutions and satisfy k(t) (t)k kx0 x0keK|tt0| + "( )eK|tt0| for all t, < t < . The following theorem [6, p. 58] is less restrictive in its hypotheses than the previous one, requiring only uniqueness of the solution of the IVP. Theorem 1.4.3. Let U be a domain of (t, x) space, I the domain |0| < c, with c > 0, and U the set of all (t, x, ) satisfying (t, x) 2 U, 2 I. Suppose f is a continuous function on U, bounded by a constant M there. For = 0, let x0 = f(t, x, ) x(t0) = x0 (1.24) have a unique solution 0 on the interval [a, b], where t0 2 [a, b]. Then there exists a > 0 such that, for any fixed such that |0| < , every solution of (1.24) exists over [a, b] and as ! 0 ! 0 uniformly over [a, b]. Proof. We begin by considering t0 2 (a, b). First, choose an > 0 small enough that the region R = {|t t0| , kx x0k M} is in U; note that R is a slight modification of the usual security domain. All solutions of (1.24) with 2 I exist over [t0 , t0 + ] and remain in R. Let denote a solution. Then the set of functions {}, 2 I is an uniformly bounded and equicontinuous set in |t t0| . This follows from the integral equation (t) = x0 + Zt
t0

f(s, (s), )ds (|t t0| ) (1.25) and the inequality kfk M. Suppose that for some t 2 [t0 , t0 + ], (t) does not tend to 0(t). Then there exists a sequence {k}, k = 1, 2, . . ., for which k ! 0, and corresponding solutions k

such that k converges uniformly over [t0 , t0 +] as k ! 1 to a limit function , with (t) 6= 0(t). From the fact that f 2 C on U, that 2 C on [t0 , t0 + ], and that
k

converges uniformly to , (1.25) for the solutions (t) = x0 + Zt

t0

k yields

f(s, (s), 0)ds (|t t0| ) 32 Fund. Theory ODE Lecture Notes J. Arino 1. General theory of ODEs Thus is a solution of (1.24) with = 0. By the uniqueness hypothesis, it follows that (t) = 0(t) on |t t0| . Thus (t) = 0(t). Thus all solutions on |t t0| tend to 0 as ! 0. Because of the equicontinuity, the convergence is uniform. Let us now prove that the result holds over [a, b]. For this, let us consider the interval [t0, b]. Let 2 [t0, b), and suppose that the result is valid for every small h > 0 over [t0, h] but not over [t0, + h]. It is clear that t0 + . By the above assumption, for any small " > 0, there exists a " > 0 such that k( ") 0( ")k < " (1.26) for | 0| < ". Let H U be defined as the region H = {|t | , kx 0( )k +M|t + |} with small enough that H U. Any solution of x0 = f(t, x, ) starting on t = with initial value 0, |0 0( )| will remain in H as t increases. Thus all solutions can be continued to + . By choosing " = in (1.26), it follows that for | 0| < ", the solutions can all be continued to + ". Thus over [t0, + "] these solutions are in U so that the argument that ! 0 which has been given for |t t0| , also applies over [t0, + "]. Thus the assumption about the existence of < b is false. The case = b is treated in similar fashion on t . A similar argument applies to the left of t0 and therefore the result is valid over [a, b]. Definition 1.4.4 (Well-posedness). A problem is said to be well-posed if solutions exist, are unique, and that there is continuous dependence on initial conditions.

1.5 Generality of first order systems

Consider an nth order differential equation in normal form x(n) = f t, x, x0, . . . , x(n1) (1.27) This equation can be reduced to a system of n first order ordinary differential equations, by proceeding as follows. Let y0 = x, y1 = x0, y2 = x00, . . . , yn1 = x(n). Then (1.27)

is equivalent to y0 = F(t, y) (1.28) with y = (y0, y1, . . . , yn1)T and F(t, z) = 2 666664 y1 y2 ... yn1 f(t, y0, . . . , yn1) 3 777775 1.5. Generality of first order systems Fund. Theory ODE Lecture Notes J. Arino 33 Similarly, the IVP associated to (1.27) is given by x(n) = f t, x, x0, . . . , x(n1) x(t0) = x0, x0(t0) = x1, . . . , x(n1)(t0) = xn1 (1.29) is equivalent to the IVP y0 = F(t, y) y(t0) = y0 = (x0, . . . , xn1)T (1.30) As a consequence, all results in this chapter are true for equations of order higher than 1.

Example Consider the second order IVP x00 = 2x0 + 4x 3 x(0) = 2, x0(0) = 1 To transform it into a system of first-order differential equations, we let y = x0. Substituting (where possible) y for x0 in the equation gives y0 = 2y + 4x 3 The initial condition becomes x(0) = 2, y(0) = 1. So finally, the following IVP is equivalent to the original one: x0 = y y0 = 4x 2y 3 x(0) = 2, y(0) = 1 Note that the linearity of the initial problem is preserved. Example The differential equation x(n)(t) = an1(t)x(n1)(t) + + a1(t)x0(t) + a0(t)x(t) + b(t) is an nth order nonhomogeneous linear differential equation. Together with the initial condition x(n1)(t0) = x(n1) 0 , . . . , x0(t0) = x0 0, x(t0) = x0 where x0, x0 0, . . . , x(n1) 0 2 R, it forms an IVP. We can transform it to a system of linear first order equations by setting y0 = x

y1 = x0 ... yn1 = x(n1) yn = x(n)

34 Fund. Theory ODE Lecture Notes J. Arino 1. General theory of ODEs

The nth order linear equation is then equivalent to the following system of n first order linear equations y0 0 = y1 y0 1 = y2 ... y0 n2 = yn1 y0 n1 = yn y0 n = an1(t)yn(t) + an2(t)yn1(t) + + a1(t)y1(t) + a0(t)y0(t) + b(t) under the initial conditions yn1(t0) = x(n1) 0 , . . . , y1(t0) = x0 0, y0(t0) = x0

1.6 Generality of autonomous systems

A nonautonomous system x0(t) = f(t, x(t)) can be transformed into an autonomous system of equations by setting an auxiliary variable, say y, equal to t, giving x0 = f(y, x) y0 = 1. However, this transformation does not always make the system any easier to study.

1.7 Suggested reading, Further problems

Most of these results are treated one way or another in Coddington and Levinson [6] (first edition published in 1955), and the current text, as many others, does little but paraphrase them. We have not seen here any results specific to complex valued differential equations. As complex numbers are two-dimensional real vectors, the results carry through to the complex case by simply assuming that if, in (1.2), we consider an n-dimensional complex vector, then this is equivalent to a 2n-dimensional problem. Furthermore, if f(t, x) is analytic in t and x, then analytic solutions can be constructed. See Section I-4 in [12], ..., for example.

Chapter 2 Linear systems

Let I be an interval of R, E a normed vector space over a field K (E = Kn, with K =R or C), and L(E) the space of continuous linear maps from E to E. Let k k be a norm on E, and ||| ||| be the induced supremum norm on L(E) (see Appendix A.1). Consider a map A : I ! L(E) and a map B : I ! E. A linear system of first order equations is defined by x0(t) = A(t)x(t) + B(t) (2.1) where the unknown x is a map on I, taking values in E, defined differentiable on a subinterval of I. We restrict ourselves to the finite dimensional case (E = Kn). Hence we consider A 2Mn(K), nn matrices over the field K, and B 2 Kn. We suppose that A and B have continuous entries. In most of what follows, we assume K = R. The name linear for system (2.1) is an abuse of language. System (2.1) should be called an affine system, with associated linear system x0(t) = A(t)x(t). (2.2) Another way to distinguish systems (2.1) and (2.2) is to refer to the former as a nonhomogeneous linear system and the latter as an homogeneous linear system. In order to lighten the language, since there will be other qualificatives added to both (2.1) and (2.2), we use in this chapter the names affine system for (2.1) and linear system for (2.2). The exception to this naming convention is that we refer to (2.1) as a linear system if we consider the generic properties of (2.1), with (2.2) as a particular case, as in this chapters title or in the next section, for example.

2.1 Existence and uniqueness of solutions

Theorem 2.1.1. Let A and B be defined and continuous on I 3 t0. Then, for all x0 2 E, there exists a unique solution t(x0) of (2.1) through (t0, x0), defined on the interval I. 35 36 Fund. Theory ODE Lecture Notes J. Arino 2. Linear systems Proof. Let k(t) = |||A(t)||| = supkxk1 kA(t)xk. Then for all t 2 I and all x1, x2 2 K, kf(t, x1) f(t, x2)k = kA(t)(x1 x2)k |||A(t)||| kx1 x2k k(t)kx1 x2k, where the inequality kA(t)(x1 x2)k |||A(t)||| kx1 x2k results from the nature of the norm ||| ||| (see Appendix A.1). Furthermore, k is

continuous on I. Therefore the conditions of Theorem 1.2.2 hold, leading to existence and uniqueness on the interval I. With linear systems, it is possible to extend solutions easily, as is shown by the next theorem. Theorem 2.1.2. Suppose that the entries of A(t) and the entries of B(t) are continuous on an open interval I. Then every solution of (2.1) which is defined on a subinterval J of the interval I can be extended uniquely to the entire interval I as a solution of (2.1). Proof. Suppose that I = (t1, t2), and that a solution of (2.1) is defined on J = (1, 2), with J ( I. Then k(t)k k(t0)k + Z
t0 t

A(s)(s) + B(s)ds for all t 2 J , where t0 2 J . Let K = k(t0)k + (2 1) max1t2 kB(t)k L = max1t2 kA(t)k Then, for t0, t 2 J , k(t)k K + L Z
t0 t

(s)ds K+L Zt
t0

k(s)kds. Thus, using Gronwalls Lemma (Lemma A.7), the following estimate holds in J , k(t)k KeL|tt0| KeL(21) < 1 This implies that case ii) in Corollary 1.3.4 is ruled out, leaving only the possibility for to be extendable over I, since the vector field in (2.1) is Lipschitz.

2.2 Linear systems

We begin our study of linear systems of ordinary differential equations by considering homogeneous systems of the form (2.2) (linear systems), with x 2 Rn and A 2Mn(R), the set of square matrices over the field R, A having continuous entries on an interval

I. 2.2. Linear systems Fund. Theory ODE Lecture Notes J. Arino 37

2.2.1 The vector space of solutions

Theorem 2.2.1 (Superposition principle). Let S0 be the set of solutions of (2.2) that are defined on some interval I R. Let 1, 2 2 S0, and 1, 2 2 R. Then 11 + 22 2 S0. Proof. Let 1, 2 2 S0 be two solutions of (2.2), 1, 2 2 R. Then for all t 2 I,
0 1 0 2

= A(t)1

= A(t)2, from which it comes that d dt (11 + 22) = A(t)[11 + 22], implying that 11 + 22 2 S0. Thus the linear combination of any two solutions of (2.2) is in S0. This is a hint that S0 must be a vector space of dimension n on K. To show this, we need to find a basis of S0. We proceed in the classical manner, with the notable difference from classical linear algebra that the basis is here composed of time-dependent functions. Definition 2.2.2 (Fundamental set of solutions). A set of n solutions of the linear differential equation (2.2), all defined on the same open interval I, is called a fundamental set of solutions on I if the solutions are linearly independent functions on I. Proposition 2.2.3. If A(t) is defined and continuous on the interval I, then the system (2.2) has a fundamental set of solutions defined on I. Proof. Let t0 2 I, and e1, . . . , en denote the canonical basis of Kn. Then, from Theorem 2.1.1, there exists a unique solution (t0) = (1(t0), . . . , n(t0)) such that i(t0) = ei, for i = 1, . . . , n. Furthermore, from Theorem 2.1.1, each function i is defined on the interval I. Assume that {i}, i = 1, . . . , n, is linearly dependent. Then there exists i 2 R, i = 1, . . . , n, not all zero, such that Pn i=1 ii(t) = 0 for all t. In particular, this is true for t = t0, and thus Pn i=1 ii(t0) = Pn i=1 iei = 0, which implies that the canonical basis of Kn is linearly dependent. Hence a contradiction, and the i are linearly independent. Proposition 2.2.4. If F is a fundamental set of solutions of the linear system (2.2) on the

open interval I, then every solution defined on I can be expressed as a linear combination of the elements of F. Let t0 2 I, we consider the application t0 : S0 ! Kn Y 7! t0(x) = x(t0) Lemma 2.2.5. t0 is a linear isomorphism. 38 Fund. Theory ODE Lecture Notes J. Arino 2. Linear systems Proof. t0 is bijective. Indeed, let v 2 Kn, from Theorem 2.1.1, there exists a unique solution passing through (t0, v), i.e., 8v 2 Kn, 9!x 2 S0, x(t0) = v ) t0(x) = v, so t0 is surjective. That t0 is injective follows from uniqueness of solutions to an ODE. Furthermore, t0(1x1+2x2) = 1t0(x1)+2t0(x2). Therefore dim S0 = dimKn = n.

2.2.2 Fundamental matrix solution

Definition 2.2.6. An n n matrix function t 7! (t), defined on an open interval I, is called a matrix solution of the homogeneous linear system (2.2) if each of its columns is a (vector) solution. A matrix solution is called a fundamental matrix solution if its columns form a fundamental set of solutions. If in addition (t0) = I, a fundamental matrix solution is called the principal fundamental matrix solution. An important property of fundamental matrix solutions is the following, known as Abels formula. Theorem 2.2.7 (Abels formula). Let A(t) be continuous on I and 2 Mn(K) be such that 0(t) = A(t)(t) on I. Then det satisfies on I the differential equation (det)0 = (trA)(det ), or, in integral form, for t, 2 I, det (t) = det( ) exp Zt trA(s)ds . (2.3) Proof. Writing the differential equation 0(t) = A(t)(t) in terms of the elements 'ij and aij of, respectively, and A, '0 ij(t) = Xn
k=1

aik(t)'kj(t), (2.4) for i, j = 1, . . . , n. Writing det =

'11(t) '12(t) . . . '1n(t) '21(t) '22(t) . . . '2n(t) 'n1(t) 'n2(t) . . . 'nn(t) , we see that (det)0 = '0
11 '0 12 1n

. . . '0

'21 '22 . . . '2n 'n1 'n2 . . . 'nn + '11 '12 . . . '1n '0 21 '0 22 . . . '0
2n

'n1 'n2 . . . 'nn ++ '11 '12 . . . '1n '21 '22 . . . '2n '0 n1 '0 n2 . . . '0
nn

. 2.2. Linear systems Fund. Theory ODE Lecture Notes J. Arino 39 Indeed, write det (t) = (r1, r2, . . . , rn), where ri is the ith row in (t). is then a linear function of each of its arguments, if all other rows are constant, which implies that d dt det (t) = d dt r1, r2, . . . , rn + r 1, d

dt r2, . . . , rn ++ r1, r2, . . . , d dt rn . (To show this, use the definition of the derivative as a limit.) Using (2.4) on the first of the n determinants in (det )0 gives P k a1k'k1 P k a1k'k2 . . . P k a1k'kn '21 '22 . . . '2n 'n1 'n2 . . . 'nn . Adding a12 times the second row, a13 times the first row, etc., a1n times the nth row, to the first row, does not change the determinant, and thus P k a1k'k1 P k a1k'k2 . . . P k a1k'kn '21 '22 . . . '2n 'n1 'n2 . . . 'nn = a11'11 a11'12 . . . a11'1n '21 '22 . . . '2n 'n1 'n2 . . . 'nn = a11 det. Repeating this for each of the terms in (det )0, we obtain (det )0 = (a11 + a22 + + ann) det , giving finally (det )0 = (trA)(det ). Note that this equation takes the form u0 (t)u = 0, which implies that u exp Zt

(s)ds = constant, which in turn implies the integral form of the formula.

Remark Consider (2.3). Suppose that 2 I is such that det ( ) 6= 0. Then, since ea 6= 0 for any a, it follows that det 6= 0 for all t 2 I. In short, linear independence of solutions for a t 2 I is equivalent to linear independence of solutions for all t 2 I. As a consequence, the column vectors of a fundamental matrix are linearly independent at every t 2 I.

Theorem 2.2.8. A solution matrix of (2.2) is a fundamental solution matrix on I if, and only if, det (t) 6= 0 for all t 2 I Proof. Let be a fundamental matrix with column vectors i, and suppose that is any nontrivial solution of (2.2). Then there exists c1, . . . , cn, not all zero, such that = Xn
j=1

cjj , or, writing this equation in terms of , = c, if c = (c1, . . . , cn)T . At any point t0 2 I, this is a system of n linear equations with n unknowns c1, . . . , cn. This system has a unique 40 Fund. Theory ODE Lecture Notes J. Arino 2. Linear systems solution for any choice of (t0). Thus det (t0) 6= 0, and by the remark above, det(t) 6= 0 for all t 2 I. Reciproqually, let be a solution matrix of (2.2), and suppose that det(t) 6= 0 for t 2 I. Then the column vectors are linearly independent at every t 2 I. From the remark above, the condition det (t) 6= 0 for all t 2 I in Theorem 2.2.8 is equivalent to the condition there exists t 2 I such that det (t) 6= 0. A frequent candidate for this role is t0. To conclude on fundamental solution matrices, remark that there are infinitely many of them, for a given linear system. However, since each fundamental solution matrix can provide a basis for the vector space of solutions, it is clear that the fundamental matrices associated to a given problem must be linked. Indeed, we have the following result. Theorem 2.2.9. Let be a fundamental matrix solution to (2.2). Let C 2 Mn(K) be a constant nonsingular matrix. Then C is a fundamental matrix solution to (2.2). Conversely, if is another fundamental matrix solution to (2.2), then there exists a

constant nonsingular C 2Mn(K) such that (t) = (t)C for all t 2 I. Proof. Since is a fundamental matrix solution to (2.2), we have (C)0 = 0C = (A(t))C = A(t)(C), and thus C is a matrix solution to (2.2). Since is a fundamental matrix solution to (2.2), Theorem 2.2.8 implies that det 6= 0. Also, since C is nonsingular, detC 6= 0. Thus, detC = detdetC 6= 0, and by Theorem 2.2.8, C is a fundamental matrix solution to (2.2). Conversely, assume that and are two fundamental matrix solutions. Since 1 = I, taking the derivative of this expression gives 01 + (1)0 = 0, and therefore (1)0 = 101. We now consider the product 1 . There holds
1 0

=
10

1 0

= 101 + 1A(t) = 1A(t)1 + 1A(t) = 1A(t) +

1A(t)

= 0. Therefore, integrating (1 )0 gives 1 = C, with C 2 Mn(K) is a constant. Thus, = C. Furthermore, as and are fundamental matrix solutions, det 6= 0 and det 6= 0, and therefore detC 6= 0.
Remark Note that if is a fundamental matrix solution to (2.2) and C 2Mn(K) is a constant nonsingular matrix, then it is not necessarily true that C is a fundamental matrix solution to (2.2). See Exercise 2.3.

2.2. Linear systems Fund. Theory ODE Lecture Notes J. Arino 41

2.2.3 Resolvent matrix

If t 7! (t) is a matrix solution of (2.2) on the interval I, then 0(t) = A(t)(t) on I. Thus, by Proposition 2.2.3, there exists a fundamental matrix solution.

Definition 2.2.10 (Resolvent matrix). Let t0 2 I and (t) be a fundamental matrix solution of (2.2) on I. Since the columns of are linearly independent, it follows that (t0) is invertible. The resolvent (or state transition matrix) of (2.2) is then defined as R(t, t0) = (t)(t0)1. It is evident that R(t, t0) is the principal fundamental matrix solution at t0 (since R(t0, t0) = (t0)(t0)1 = I). Thus system (2.2) has a principal fundamental matrix solution at each point in I. Proposition 2.2.11. The resolvent matrix satisfies the Chapman-Kolmogorov identities 1) R(t, t) = I, 2) R(t, s)R(s, u) = R(t, u), as well as the identities 3) R(t, s)1 = R(s, t),
4) 5)
@ @sR(t, @ @tR(t,

s) = R(t, s)A(s),

s) = A(t)R(t, s). Proof. First, for the Chapman-Kolmogorov identities. 1) is R(t, t) = (t)1(t) = I. Also, 2) gives R(t, s)R(s, u) = (t)1(s)(s)1(u) = (t)1(u) = R(t, u). The other equalities are equally easy to establish. Indeed, R(t, s)1 = (t)1(s)
1

=
1(s) 1

(t)1 = (s)1(t) = R(s, t), whence 3). Also, @ @s R(t, s) = @ @s (t)1(s) = (t) @ @s 1(s) As is a fundamental matrix solution, 0 exists and is nonsingular, and differentiating 1 = I gives @

@s (s)1(s) =0, @ @s (s)

1(s)

+ (s)

@ @s 1(s) =0 , (s) @ @s 1(s) = @ @s (s)

1(s)

, @ @s 1(s) = 1(s) @ @s (s)

1(s).

42 Fund. Theory ODE Lecture Notes J. Arino 2. Linear systems Therefore, @ @s R(t, s) = (t)1(s) @ @s (s)

1(s)

= R(t, s)

@ @s (s)
1(s).

Now, since (s) is a fundamental matrix solution, it follows that @(s)/@s = A(s) (s), and thus @ @s R(t, s) = R(t, s)A(s)(s)1(s) = R(t, s)A(s), giving 4). Finally, @ @t R(t, s) = @ @t (t)1(s) = A(t)(t)1(s) since is a fundamental matrix solution = A(t)R(t, s), giving 5). The role of the resolvent matrix is the following. Recall that, from Lemma 2.2.5,
t0

defined by t 0 : S ! Kn x 7! x(t0), is a K-linear isomorphism from the space S to the space Kn. Then R is an application from Kn to Kn, R(t, t0) : Kn ! Kn v 7! R(t, t0)v = w such that R(t, t0) = t 1
t0

i.e., (R(t, t0)v = w) , (9x 2 S, w = x(t), v = x(t0)) . Since t and t0 are K-linear isomorphisms, R is a K-linear isomorphism on Kn. Thus R(t, t0) 2Mn(K) and is invertible. Proposition 2.2.12. R(t, t0) is the only solution in Mn(K) of the initial value problem d dt M(t) = A(t)M(t) M(t0) = I, with M(t) 2Mn(K). 2.2. Linear systems Fund. Theory ODE Lecture Notes J. Arino 43 Proof. Since d(R(t, t0)v)/dt = A(t)R(t, t0)v,

d dt R(t, t0) v = (A(t)R(t, t0)) v, for all v 2 Rn. Therefore, R(t, t0) is a solution to M0 = A(t)M. But, by Theorem 2.1.1, we know the solution to the associated IVP to be unique, hence the result. From this, the following theorem follows immediately. Theorem 2.2.13. The solution to the IVP consisting of the linear homogeneous nonautonomous system (2.2) with initial condition x(t0) = x0 is given by (t) = R(t, t0)x0.

2.2.4 Wronskian
Definition 2.2.14. The Wronskian of a system {x1, . . . , xn} of solutions to (2.2) is given by W(t) = det(x1(t), . . . , xn(t)). Let vi = xi(t0). Then we have xi(t) = R(t, t0)vi, and it follows that W(t) = det(R(t, t0)v1, . . . ,R(t, t0)vn) = detR(t, t0) det(v1, . . . , vn). The following formulae hold (t, t0) := detR(t, t0) = exp Zt
t0

trA(s)ds (2.5a) W(t) = exp Zt

t0

trA(s)ds det(v1, . . . , vn). (2.5b)

2.2.5 Autonomous linear systems

At this point, we know that solutions to (2.2) take the form (t) = R(t, t0)x0, but this was obtained formally. We have no indication whatsoever as to the precise form of R(t, t0). Typically, finding R(t, t0) can be difficult, if not impossible. There are however cases where the resolvent can be explicitly computed. One such case is for autonomous linear systems, which take the form x0(t) = Ax(t), (2.6) that is, where A(t) A. Our objective here is to establish the following result. 44 Fund. Theory ODE Lecture Notes J. Arino 2. Linear systems Lemma 2.2.15. If A(t) A, then R(t, t0) = e(tt0)A for all t, t0 2 I.

This result is deduced easily as a corollary to another result developped below, namely Theorem 2.2.16. Note that in Lemma 2.2.15, the notation e(tt0)A involves the notion of exponential of a matrix, which is detailed in Appendix A.10. Because the reasoning used in constructing solutions to (2.6) is fairly straightforward, we now detail this derivation. Using the intuition from one-dimensional linear equations, we seek a 2 K such that (t) = etv be a solution to (2.6) with v 2 Kn \ {0}. We have
0

= etv, and thus is a solution if, and only if, etv = Aetv = etAv , v = Av , (A I)v = 0 (with I the identity matrix). As v = 0 is not the only solution, this implies that A I must not be invertible, and so is a solution , det(A I) = 0, i.e., is an eigenvalue of A. In the simple case where A is diagonalizable, there exists a basis (v1, . . . , vn) of Kn, with v1, . . . , vn the eigenvectors of A corresponding to the eigenvalues 1, . . . , n. We then obtain n linearly independent solutions i(t) = ei(tt0), i = 1, . . . , n. The general solution is given by (t) = e1(tt0)x01, . . . , en(tt0)x0n , where x0i is the ith component of x0, i = 1, . . . , n. In the general case, we need the notion of matrix exponentials. Defining the exponential of matrix A as eA = X1
k=0

An n! (see Appendix A.10), we have the following result. Theorem 2.2.16. The global solution on K of (2.6) such that (t0) = x0 is given by (t) = e(tt0)Ax0. Proof. Assume = e(tt0)Ax0. Then (t0) = e0Ax0 = Ix0 = x0. Also, (t) = X1
n=0

1 n! (t t0)nAn

! x0 = X1
n=0

1 n! (t t0)nAnx0, 2.2. Linear systems Fund. Theory ODE Lecture Notes J. Arino 45 so is a power series with radius of convergence R = 1. Therefore, is differentiable on R and 0(t) = X1
n=1

1 n! n(t t0)n1Anx0 = X1
n=0

1 (n + 1)! (n + 1)(t t0)nAn+1x0 = X1

n=0

1 n! (t t0)nAn+1x0 =A X1
n=0

1 n! (t t0)nAnx0 ! = A(t) so is solution of (2.6). Since (2.6) is linear, solutions are unique and global. The problem is now to evaluate the matrix etA. We have seen that in the case where A is diagonalizable, solutions take the form (t) = e1(tt0)x01, . . . , en(tt0)x0n , which implies that, in this case, the matrix R(t, t0) takes the form R(t, t0) = 0

BBB@ e1(tt0) 0 0 0 e2(tt0) 0 ... ... 0 0 en(tt0) 1 CCCA . In the general case, we need the notion of generalized eigenvectors. Definition 2.2.17 (Generalized eigenvectors). Let be an eigenvalue of the n n matrix A, with multiplicity m n. Then, for k = 1, . . . ,m, any nonzero solution v of (A I)kv = 0 is called a generalized eigenvector of A. Theorem 2.2.18. Let A be a real n n matrix with real eigenvalues 1, . . . , n repeated according to their multiplicity. Then there exists a basis of generalized eigenvectors for Rn. And if {v1, . . . , vn} is any basis of generalized eigenvectors for Rn, the matrix P = [v1 vn] is invertible, A = D + N, where P1DP = diag(j), the matrix N = A D is nilpotent of order k n, and D and N commute. 46 Fund. Theory ODE Lecture Notes J. Arino 2. Linear systems

2.3 Affine systems

We consider the general (affine) problem (2.1), which we restate here for convenience. Let x 2 Rn, A : I ! L(E) and B : I ! E, where I R and E is a normed vector space, we consider the system x0(t) = A(t)x(t) + B(t) (2.1)

2.3.1 The space of solutions

The first problem that we are faced with when considering system (2.1) is that the set of solutions does not constitute a vector space; in particular, the superposition principle does not hold. However, we have the following result. Proposition 2.3.1. Let x1, x2 be two solutions of (2.1). Then x1 x2 is a solution of the associated homogeneous equation (2.2). Proof. Since x1 and x2 are solutions of (2.1), x0 1 = A(t)x1 + B(t) x0 2 = A(t)x2 + B(t) Therefore d

dt (x1 x2) = A(t)(x1 x2) Theorem 2.3.2. The global solutions of (2.1) that are defined on I form an n dimensional affine subspace of the vector space of maps from I to Kn. Theorem 2.3.3. Let V be the vector space over R of solutions to the linear system x0 = A(t)x. If is a particular solution of the affine system (2.1), then the set of all solutions of (2.1) is precisely { + , 2 V }. Practical rules: 1. To obtain all solutions of (2.1), all solutions of (2.2) must be added to a particular solution of (2.1). 2. To obtain all solutions of (2.2), it is sufficient to know a basis of S0. Such a basis is called a fundamental system of solutions of (2.2).

2.3.2 Construction of solutions

We have the following variation of constants formula. 2.3. Affine systems Fund. Theory ODE Lecture Notes J. Arino 47 Theorem 2.3.4. Let R(t, t0) be the resolvent of the homogeneous equation x0 = A(t)x associated to (2.1). Then the solution x to (2.1) is given by x(t) = R(t, t0) + Zt
t0

R(t, s)B(s)ds (2.7) Proof. Let R(t, t0) be the resolvent of x0 = A(t)x. Any solution of the latter equation is given by x(t) = R(t, t0)v, v 2 Rn Let us now seek a particular solution to (2.1) of the form x(t) = R(t, t0)v(t), i.e., using a variation of constants approach. Taking the derivative of this expression of x, we have x0(t) = d dt [R(t, t0)]v(t) + R(t, t0)v0(t) = A(t)R(t, t0)v(t) + R(t, t0)v0(t) Thus x is a solution to (2.1) if A(t)R(t, t0)v(t) + R(t, t0)v0(t) = A(t)R(t, t0)v(t) + B(t) , R(t, t0)v0(t) = B(t) , v0(t) = R(t0, t)B(t) since R(t, s)1 = R(s, t). Therefore, v(t) = Rt
t0

R(t0, s)B(s)ds. A particular solution is given by

x(t) = R(t, t0) Zt

t0

R(t0, s)B(s)ds = Zt
t0

R(t, t0)R(t0, s)B(s)ds = Zt

t0

R(t, s)B(s)ds

2.3.3 Affine systems with constant coefficients

We consider the affine equation (2.1), but with the matrix A(t) A. Theorem 2.3.5. The general solution to the IVP x0(t) = Ax(t) + B(t) x(t0) = x0 (2.8) is given by x(t) = e(tt0)Ax0 + Zt
t0

e(tt0)AB(s)ds (2.9) Proof. Use Lemma 2.2.15 and the variation of constants formula (2.7). 48 Fund. Theory ODE Lecture Notes J. Arino 2. Linear systems

2.4 Systems with periodic coefficients

2.4.1 Linear systems: Floquet theory
We consider the linear system (2.2) in the following case, x0 = A(t)x A(t + !) = A(t), 8t, (2.10) with entries of A(t) continuous on R. Definition 2.4.1 (Monodromy operator). Associated to system (2.10) is the resolvent R(t, s). For all s 2 R, the operator C(s) := R(s + !, s) is called the monodromy operator. Theorem 2.4.2. If X(t) is a fundamental matrix for (2.10), then there exists a nonsingular constant matrix V such that, for all t, X(t + !) = X(t)V. This matrix takes the form V = X1(0)X(!), and is called the monodromy matrix. Proof. Since X is a fundamental matrix solution, there holds that X0(t) = A(t)X(t) for all t. Therefore X0(t+!) = A(t+!)X(t+!), and by periodicity of A(t), X0(t+!) = A(t)X(t+!), which implies that X(t + !) is a fundamental matrix of (2.10). As a consequence, by

Theorem 2.2.9, there exists a matrix V such that X(t + !) = X(t)V . Since at t = 0, X(!) = X(0)V , it follows that V = X1(0)X(!). Theorem 2.4.3 (Floquets theorem, complex case). Any fundamental matrix solution of (2.10) takes the form (t) = P(t)etB (2.11) where P(t) and B are n n complex matrices such that i) P(t) is invertible, continuous, and periodic of period ! in t, ii) B is a constant matrix such that (!) = e!B. Proof. Let be a fundamental matrix solution. From 2.4.2, the monodromy matrix V = 1(0)(!) is such that (t + !) = (t)V . By Theorem A.11.1, there exists B 2 Mn(C) 2.4. Systems with periodic coefficients Fund. Theory ODE Lecture Notes J. Arino 49 such that eB! = V . Let P(t) = (t)eBt, so (t) = P(t)eBt. It is clear that P is continuous and nonsingular. Also, P(t + !) = (t + !)eB(t+!) = (t)V eB(!+t) = (t)eB!eB!eBt = (t)eBt = P(t), proving the P is !-periodic. Theorem 2.4.4 (Floquets theorem, real case). Any fundamental matrix solution of (2.10) takes the form (t) = P(t)etB (2.12) where P(t) and B are n n real matrices such that i) P(t) is invertible, continuous, and periodic of period 2! in t, ii) B is a constant matrix such that (!)2 = e2!B. Proof. The proof works similarly as in the complex case, except that here, Theorem A.11.1 implies that there exists B 2 Mn(R) such that e2!B = V 2. Let P(t) = (t)eBt, so (t) = P(t)etB. It is clear that P is continuous and nonsingular. Also, P(t + 2!) = (t + 2!)e(t+2!)B = (t + !)V e(2!+t)B = (t)V 2e(2!+t)B = (t)e2!Be2!BetB = (t)etB = P(t), proving the P is !-periodic. See [12, p. 87-90], [4, p. 162-179]. Theorem 2.4.5 (Floquets theorem, [4]). If (t) is a fundamental matrix solution of the !-periodic system (2.10), then, for all t 2 R, (t + !) = (t)1(0)(!). In addition, for each possibly complex matrix B such that e!B = 1(0)(!), there is a possibly complex !-periodic matrix function t 7! P(t) such that (t) = P(t)etB for all t 2 R. Also, there is a real matrix R and a real 2!-periodic matrix function t !

Q(t) such that (t) = Q(t)etR for all t 2 R. 50 Fund. Theory ODE Lecture Notes J. Arino 2. Linear systems Definition 2.4.6 (Floquet normal form). The representation (t) = P(t)etR is called a Floquet normal form. In the case where (t) = P(t)etB, we have dP(t)/dt = A(t)P(t) P(t)B. Therefore, letting x = P(t)z, we obtain x0 = P(t)x0 + dP(t)/dtx = P(t)A(t)x + A(t)P(t)x P(t)Bx z = P1(t)x, so z0 = dP1(t) dt x + P1(t)x0 = dP1(t) dt P(t)z + P1(t)A(t)P(t)z Definition 2.4.7 (Characteristic multipliers). The eigenvalues 1, . . . , n of a monodromy matrix B are called the characteristic multipliers of equation (2.10). Definition 2.4.8 (Characteristic exponents). Numbers such that e! is a characteristic multiplier of (2.10) are called the Floquet exponents of (2.10). Theorem 2.4.9 (Spectral mapping theorem). Let K = R or C. If C 2 GLn(K) is written C = eB, then the eigenvalues of C coincide with the exponentials of the eigenvalues of B, with same multiplicity. Definition 2.4.10 (Characteristic exponents). The eigenvalues 1, . . . , n of a monodromy matrix B are called the characteristic exponents of equation (2.10). The exponents 1 = exp(2!1), . . . , n = exp(2!n) of the matrix (!)2 are called the (Floquet) multipliers of (2.10). Proposition 2.4.11. Suppose that X, Y are fundamental matrices for (2.10) and that X(t+ !) = X(t)V , Y (t + !) = Y (t)U. Then the monodromy matrices U and V are similar. Proof. Suppose that X(t + !) = X(t)V and Y (t + !) = Y (t)U. But, by Theorem 2.2.9, since X and Y are fundamental matrices for (2.10), there exists an invertible matrix C such that X(t) = Y (t)C for all t. Thus, in particular, X(t + !) = Y (t + !)C, and so C1UCX(t + !) = Y (t + !)C = Y (t)UC = X(t)C1UC, since Y (t) = X(t)C1. It follows that V = C1UC, so U and V are similar. From this Proposition, it follows that monodromy matrices share the same spectrum. Corollary 2.4.12. All solutions of (2.10) tend to 0 as t ! 1 if and only if |j | < 1 for all j (or <(j) < 0 for all j). Let p be an eigenvector of (!)2 associated with a multiplier . Then the solution (t) = (t)p of (2.10) satisfies the condition (t + 2!) = (t). This is the origin of the term multiplier. 2.4. Systems with periodic coefficients

Fund. Theory ODE Lecture Notes J. Arino 51

2.4.2 Affine systems: the Fredholm alternative

We discuss here an extension of a theorem that was proved implicitly in Exercise 4, Assignment 2. Let us start by stating the result in question. We consider here the system x0 = A(t)x + b(t), (2.13) where x 2 Rn, A 2Mn(R) and b 2 Rn, with A and b continuous and !-periodic. Theorem 2.4.13. If the homogeneous equation x0 = A(t)x (2.14) associated to (2.13) has no nonzero solution of period !, then (2.13) has for each function f, a unique !-periodic solution. The Fredholm alternative concerns the case where there exists a nonzero periodic solution of (2.14). We give some needed results before going into details. Consider (2.14). Associated to this system is the so-called adjoint system, which is defined by the following differential equation, y0 = AT (t)y (2.15) Proposition 2.4.14. The adjoint equation has the following properties. i) Let R(t, t0) be the resolvent matrix of (2.14). Then, the resolvent matrix of (2.15) is RT (t0, t). ii) There are as many independent periodic solutions of (2.14) as there are of (2.15). iii) If x is a solution of (2.14) and y is a solution of (2.15), then the scalar product hx(t), y(t)i is constant. Proof. i) We know that @ @sR(t, s) = R(t, s)A(s). Therefore, @ @sRT (t, s) = AT (s)RT (t, s). As R(s, s) = I, the first point is proved. ii) The solution of (2.15) with initial value y0 is RT (0, t)y0. The initial value of a periodic solution of (2.15) is y0 such that RT (0, !)y0 = y0 This can also be written as RT (0, !) I y0 = 0 or, taking the transpose, yT 0 [R(0, !) I] = 0 Now, since R(0, !) = R1(!, 0), it follows that yT 0 [R(0, !) I] = 0 , yT
0

R1(!, 0) I

=0 This is equivalent to yT 0 [R(0, !) I] = 0. The latter equation has as many solutions as [R(0, !) I] x0 = 0; the number of these depends on the rank of R(!, 0) I. 52 Fund. Theory ODE Lecture Notes J. Arino 2. Linear systems iii) Recall that for differentiable functions a, b, d dt ha(t), b(t)i = h d dt a(t), b(t)i + ha(t), d dt b(t)i Thus d dt hx(t), y(t)i = hA(t)x(t), y(t)i + hx(t),AT (t)y(t)i = 0 Before we carry on to the actual Fredholm alternative in the context of ordinary differential equations, let us consider the problem in a more general setting. Let H be a Hilbert space. If A 2 L(H,H), the adjoint operator A of A is the element of L(H,H) such that 8u, v 2 H, hAu, vi = hu,Avi Let Img(A) be the image of A, Ker(A) be the kernel of A. Then we have H = Img(A) Ker(A). Theorem 2.4.15 (Fredholm alternative). For the equation Af = g to have a solution, it is necessary and sufficient that g be orthogonal to every element of Ker(A). We now use this very general setting to prove the following theorem, in the context of ODEs. Theorem 2.4.16 (Fredholm alternative for ODEs). Consider (2.13) with A and f continuous and !-periodic. Suppose that the homogeneous equation (2.14) has p independent solutions of period !. Then the adjoint equation (2.15) also has p independent solutions of period p, which we denote y1, . . . , yp. Then i) If Z !
0

hyk(t), b(t)idt = 0, k = 1, . . . , p (2.16) then there exist p independent solutions of (2.13) of period !, and, ii) if this condition is not fulfilled, (2.13) has no nontrivial solution of period !. Proof. First, remark that x0 is the initial condition of a periodic solution of (2.13) if, and only if,

[R(0, !) I] x0 = Z!
0

R(0, s)b(s)ds (2.17) By Theorem 2.3.4, the solution of (2.13) through (0, x0) is given by x(t) = R(t, 0)x0 + Zt
0

R(t, s)b(s)ds Hence, at time !, x(!) = R(!, 0)x0 + Z!

0

R(!, s)b(s)ds 2.4. Systems with periodic coefficients Fund. Theory ODE Lecture Notes J. Arino 53 If x0 is the initial condition of a !-periodic solution, then x(!) = x0, and so x0 R(!, 0) = Z!
0

R(!, s)b(s)ds On the other hand, yk(0) is the initial condition of an !-periodic solution yk if, and only if, RT (0, !) I yk(0) = 0 Let C = R(0, !) I. We have that Rn = Img(C) Ker(CT ). We now use the Fredholm alternative in this context. There exists x0 such that Cx0 = Z!
0

R(0, s)b(s)ds if, and only if, Z

0

R(0, s)b(s)ds 2 Img(C) Indeed, from the Fredholm alternative, setting f = x0 and g = R! 0 R(0, s)b(s)ds, we have that Cf = g has a solution if, and only if, g is orthogonal to every element of Ker(CT ), i.e., since Rn = Img(C) Ker(CT ), if, and only if, g 2 Img(C). Now, y1(0), . . . , yp(0) is a basis of Ker(CT ). It follows that there exists a solution of (2.13) if, and only if, for all k = 1, . . . , p, 8k = 1, . . . , p, h Z!
0

R(0, s)b(s)ds, yk(0)i = 0 , 8k = 1, . . . , p, Z!

0

hR(0, s)b(s), yk(0)ids = 0 , 8k = 1, . . . , p, Z!

0

hb(s),RT (0, s)yk(0)ids = 0 , 8k = 1, . . . , p, Z!

0

hb(s), yk(s)ids = 0 If these relations are satisfied, the set of vectors v such that Av = Z!
0

R(0, s)b(s)ds is of the form v0 + Ker(CT ), where v0 is one of these vectors; hence there exist p of them which are independent and are initial conditions of the p independent !-periodic solutions of (2.13).
Example The equation x00 = f(t) (2.18)

54 Fund. Theory ODE Lecture Notes J. Arino 2. Linear systems

0

where f is !-periodic, has solutions of period ! if, and only if, Z! f(s)ds = 0 Let y = x0. Then, differentiating y and substituting into (2.18), we have y0 = f(t) Hence the system is x y
0

= 01 00 x y + 0 f(t) Hence, AT = 00 10 and the adjoint equation

0

= AT has the periodic solution (0, a)T .

2.5 Further developments, bibliographical notes

2.5.1 A variation of constants formula for a nonlinear system with a linear component
The variation of constants formula given in Theorem 2.3.4 can be extended. Theorem 2.5.1 (Variation of constants formula). Consider the IVP x0 = A(t)x + g(t, x) (2.19a) x(t0) = x0, (2.19b) where g : RRn ! Rn a smooth function, and let R(t, t0) be the resolvent associated to the homogeneous system x0 = A(t)x, with R defined on some interval I 3 t0. Then the solution of (2.19) is given by (t) = R(t, t0)x0 + Zt
t0

R(t, s)g((s), s)ds, (2.20) on some subinterval of I. Proof. We proceed using a variation of constants approach. It is known that the general solution to the homogeneous equation x0 = A(t)x associated to (2.19) is given by (t) = R(t, t0)x0. We seek a solution to (2.19) by assuming that (t) = R(t, t0)v(t). We have 0(t) = = " k f(c0) The constant f R(t, t0)v0(t) = A(t)R(t, t0)v(t) + g(t, (t)) , R(t, t0)v0(t) = g(t, (t)) , v0(t) = R(t, t0)1g(t, (t)) , v0(t) = R(t0, t)g(t, (t)) , v(t) = Zt
t0

R(t0, s)g(s, (s))ds + C, using Proposition 2.2.11 again. Therefore, (t) = R(t, t0) Zt
t0

R(t0, s)g(s, (s))ds + C . Evaluating this expression at t = t0 gives (t0) = C, so C = x0. Therefore, (t) = R(t, t0)x0 + R(t, t0) Zt
t0

R(t0, s)g(s, (s))ds = R(t, t0)x0 + Zt

t0

R(t, t0)R(t0, s)g(s, (s))ds = R(t, t0)x0 + Zt

t0

R(t, s)g(s, (s))ds, from Proposition 2.2.11.

Chapter 3 Stabili
d dt R(t, t0) v(t) + R(t, t0)v0(t) = A(t)R(t, t0)v(t) + R(t, t0)v0(t), 2.5. Further developments, bibliographical notes Fund. Theory ODE Lecture Notes J. Arino 55 from Proposition 2.2.11. For to be solution, it must satisfy the differential equation (2.19), and thus 0(t) = A(t)(t) + g(t, (t)) , A(t)R(t, t0)v(t) + ekt ektekT = "ekT 1 ekT f(c0) k 1 ekT

ty of linear systems

3.1 Stability at fixed points

We consider here the autonomous equation (not necessarily linear), x0 = f(x). (3.1) To emphasize the fact that we are dealing with flows, we write x(t, x0) the solution to (3.1), at time t and satisfying at time t = 0 the initial condition x(0) = x0. Definition 3.1.1 (Fixed point). A fixed point of (3.1) is a point x such that f(x) = 0. This is evident, as a point such that f(x) = 0 satisfies (x)0 = f(x) = 0, so that the solution is constant when x = x. Note also that this implies that x(t) = x is a solution defined on R. Definition 3.1.2 (Stable equilibrium point). The fixed point x is ( positively) stable if the following two conditions hold: i) There exists r > 0 such that if kx0 xk < r, then the solution x(t, x0) is defined for all t 0. (This is automatically satisfied for flows). ii) For any " > 0, there exists > 0 such that kx0 xk < implies kx(t, x0) xk < ".

Definition 3.1.3 (Asymptotically stable equilibrium point). If the equilibrium x is (positively) stable and that additionally, there exists > 0 such that kx0 xk < implies limt!1 x(t, x0) = x, then x is (positively) asymptotically stable.

3.2 Affine systems with small coefficients

We consider here a linear system of the form x0 = Ax + b(t)x (3.2) where b is continuous and small, i.e., limt!1 b(t) = 0, with A 2 Mn(R) and b 2 R. 57 58 Fund. Theory ODE Lecture Notes J. Arino 3. Stability of linear systems Theorem 3.2.1. Suppose that all eigenvalues of A have negative real parts, and that b is continuous and such that limt!1 b(t) = 0. Then 0 is a g.a.s. equilibrium of (3.2). The proof comes from [2, p. 156-157]. Proof. For any given (t0, x0), t0 > 0, we have, from [2, Th 2.1, p. 37] about the existence and uniqueness of the solutions to the linear equation x0 = A(t)x + g(t), that the (unique) solution t(x0) satisfying the initial condition t0(x0) = x0 exists for all t t0. by the variation of constants formula, using b(t)x as the inhomogeneous term, we can express the solution by means of the equivalent integral equation, for t0 t < 1, t(x0) = e(tt0)Ax0 + Zt
t0

e(ts)Ab(s)s(x0)ds (3.3) by the hypothesis on A, e(tt0)A is such that for t0 t < 1, k (t, t0)k Ke(tt0) for K > 0, > 0, where R(t, t0) = e(tt0)A is the fundamental matrix of the homogeneous part of (3.2). Since limt!1 b(t) = 0, given any > 0, there exists a number T t0 such that |b(t)| < for t T. We now use the variation of constants formula (3.3) with the point (T, T (x0)) for initial condition. We have, for T t < 1, t(x0) = e(tT)AT (x0) + Zt
T

e(ts)Ab(s)s(x0)ds Thus, using k(t)k Ke(tt0) (with t0 = T) and |b(t)| < for t T, we obtain, for T t < 1, kt(x0)k Ke(tT)kT (x0)k + K Zt
T

e(ts)ks(x0)kds Multiplying both sides of this inequality by et and using Gronwalls inequality (Appendix A.7) with the function kt(x0)ket, we obtain, for T t < 1, kt(x0)k KkT (x0)ke(K)(tT) (3.4) From this we conclude that if 0 < < /K, the solution t(x0) will approach zero

exponentially. This does not yet prove that the zero solution of (3.2) is stable. To do this, we compute a bound on kT (x0)k. Returning to (3.3) and restricting t to the interval t0 t T, we have kt(x0)k Ke(tt0)kx0k + K1K Zt
t0

e(ts)k(s, t0, x0)kds where K1 = maxt0tT |b(t)|. Multiplying by et and applying the Gronwall inequality we obtain kt(x0)k Kkx0ke(tt0)+K1K(tt0) Kkx0keK1K(tt0), t0 t T (3.5) 3.2. Affine systems with small coefficients Fund. Theory ODE Lecture Notes J. Arino 59 Therefore, kT (x0)k Kkx0keK1K(Tt0), t0 T (3.6) Thus we can make |T (x0)| small by choosing |x0| sufficiently small. This together with (3.4) gives the stability. Indeed, substituting (3.6) into (3.4) gives, for T t < 1, kt(x0)k K2kx0keK1K(Tt0)e(K)(tT) (3.7) Let then K2 = max KeK1K(Tt0),K2eK1K(Tt0) . From (3.5) and (3.7) we have kt(x0)k K2kx0k if t0 t T K2kx0ke(K)(tT) if T t < 1 (3.8) For a given matrix A, we can compute K and ; we next pick any 0 < < /K and then T t0 so that |b(t)| < for t T. We then compute K1 and K2. Now, given any " > 0, choose < "/K2. Then from (3.8), if kx0k < , kt(x0)k < " for all t t0 so that the zero solution is stable. From (3.8), it is clear that the zero solution is globally asymptotically stable. Corollary 3.2.2. Let all eigenvalues of A have negative real part, so that |eAt| Ket for some constants K > 0, > 0 and all t 0. Let b(t) be continuous for 0 t < 1 and suppose that there exists T > 0 such that |b(t)| < /K for t T. Then the zero solution of (3.2) is globally asymptotically stable. Theorem 3.2.3. Let all eigenvalues of A have negative real part, and let b(t) be continuous for 0 t < 1 and such that

R1 0 |b(s)|ds < 1. Then the zero solution of (3.2) is globally asymptotically stable. 60 Fund. Theory ODE Lecture Notes J. Arino 3. Stability of linear systems We give some notions of linear stability theory, in the case of the autonomous linear system (2.6), repeated here for convenience: x0(t) = Ax(t). (2.6) We let wj = uj + ivj be a generalized eigenvector of A corresponding to an eigenvalue j = aj + ibj , with vj = 0 if bj = 0, and B = {u1, . . . , uk, uk+1, vk+1, . . . , um, vm} be a basis of Rn, with n = 2m k. Definition 3.2.4 (Stable, unstable and center subspaces). The stable, unstable and center subspaces of the linear system (2.6) are given, respectively, by Es = Span{uj , vj : aj < 0}, Eu = Span{uj , vj : aj > 0} and Ec = Span{uj , vj : aj = 0}. Definition 3.2.5. The mapping eAt : Rn ! Rn is called the flow of the linear system (2.6). The term flow is used since eAt describes the motion of points x0 2 Rn along trajectories of (2.6). Definition 3.2.6. If all eigenvalues of A have nonzero real part, that is, if Ec = ;, then the flow eAt of system (2.6) is called a hyperbolic flow, and the system (2.6) is a hyperbolic linear system. Definition 3.2.7. A subspace E Rn is invariant with respect to the flow eAt, or invariant under the flow of (2.6), if eAtE E for all t 2 R. Theorem 3.2.8. Let E be the generalized eigenspace of A associated to the eigenvalue . Then AE E. Theorem 3.2.9. Let A 2Mn(R). Then R n = E s E u E c. Furthermore, if the matrix A is the matrix of the linear autonomous system (2.6), then Es, Eu and Ec are invariant under the flow of (2.6). Definition 3.2.10. If all the eigenvalues of A have negative (resp. positive) real parts, then the origin is a sink (resp. source) for the linear system (2.6). Theorem 3.2.11. The stable, center and unstable subspaces ES, EC and EU, respectively, are invariant with respect to eAt, i.e., let x0 2 ES, y0 2 EC and z0 2 EU, then eAtx0 2 ES, eAty0 2 EC and eAtz0 2 EU. 3.2. Affine systems with small coefficients

Fund. Theory ODE Lecture Notes J. Arino 61 Definition 3.2.12 (Homeomorphism). Let X be a metric space and let A and B be subsets of X. A homeomorphism h : A ! B of A onto B is a continuous one-to-one map of A onto B such that h1 : B ! A is continuous. The sets A and B are called homeomorphic or topologically equivalent if there is a homeomorphism of A onto B. Definition 3.2.13 (Differentiable manifold). An n-dimensional differentiable manifold M (or a manifold of class Ck) is a connected metric space with an open covering {U} ( i.e., M = [U) such that i) for all , U is homeomorphic to the open unit ball in Rn, B = {x 2 Rn : |x| < 1}, i.e., for all there exists a homeomorphism of U onto B, h : U ! B, ii) if U \U 6= ; and h : U ! B, h : U ! B are homeomorphisms, then h(U \U) and h(U \ U) are subsets of Rn and the map h = h h1 : h(U \ U) ! h(U \ U) is differentiable (or of class Ck) and for all x 2 h(U \ U), the determinant of the Jacobian, detDh(x) 6= 0.
Remark The manifold is analytic if the maps h = h h1 are analytic.

Next, recall that x is an equilibrium point of (4.1) if f(x) = 0. An equilibrium point x is hyperbolic if the Jacobian matrix Df of (4.1) evaluated at x, denoted Df(x), has no eigenvalues with zero real part. Also, recall that the solutions of (4.1) form a one-parameter group that defines the flow of the nonlinear differential equation (4.1). To be more precise, consider the IVP consisting of (4.1) and an initial condition x(t0) = x0. Let I(x0) be the maximal interval of existence of the solution to the IVP. Let then : R Rn ! Rn be defined as follows: For x0 2 Rn and t 2 I(x0), (t, x0) = t(x0) is the solution of the IVP defined on its maximal interval of existence I(x0).
Example Consider the (linear) ordinary differential equation x0 = ax, with a, x 2 R. The solution is (t, x0) = eatx0, and satisfies the group property (t + s, x0) = ea(t+s)x0 = eat(easx0) = (t, easx0) = (t, (s, x0))

For simplicity and without loss of generality since both results are local results, we assume hereforth that x = 0, i.e., that a change of coordinates has been performed translating x to the origin. We also assume that t0 = 0.

Chapter 4

Linearization
We consider here the autonomous nonlinear system in Rn x0 = f(x) (4.1) The object of this chapter is to show two results which link the behavior of (4.1) near a hyperbolic equilibrium point x to the behavior of the linearized system x0 = Df(x)(x x) (4.2) about that same equilibrium.

4.1 Some linear stability theory

We now give some notions of linear stability theory, in the case of the autonomous linear system (2.6), repeated here for convenience: x0(t) = Ax(t). (2.6) We let wj = uj + ivj be a generalized eigenvector of A corresponding to an eigenvalue j = aj + ibj , with vj = 0 if bj = 0, and B = {u1, . . . , uk, uk+1, vk+1, . . . , um, vm} be a basis of Rn, with n = 2m k. Definition 4.1.1 (Stable, unstable and center subspaces). The stable, unstable and center subspaces of the linear system (2.6) are given, respectively, by Es = Span{uj , vj : aj < 0}, Eu = Span{uj , vj : aj > 0} and Ec = Span{uj , vj : aj = 0}. 63 64 Fund. Theory ODE Lecture Notes J. Arino 4. Linearization Definition 4.1.2. The mapping eAt : Rn ! Rn is called the flow of the linear system (2.6). The term flow is used since eAt describes the motion of points x0 2 Rn along trajectories of (2.6). Definition 4.1.3. If all eigenvalues of A have nonzero real part, that is, if Ec = ;, then the flow eAt of system (2.6) is called a hyperbolic flow, and the system (2.6) is a hyperbolic linear system. Definition 4.1.4. A subspace E Rn is invariant with respect to the flow eAt, or invariant under the flow of (2.6), if eAtE E for all t 2 R. Theorem 4.1.5. Let E be the generalized eigenspace of A associated to the eigenvalue . Then AE E. Theorem 4.1.6. Let A 2Mn(R). Then R n = E s E u E c. Furthermore, if the matrix A is the matrix of the linear autonomous system (2.6), then Es, Eu and Ec are invariant under the flow of (2.6).

Definition 4.1.7. If all the eigenvalues of A have negative (resp. positive) real parts, then the origin is a sink (resp. source) for the linear system (2.6). Theorem 4.1.8. The stable, center and unstable subspaces ES, EC and EU, respectively, are invariant with respect to eAt, i.e., let x0 2 ES, y0 2 EC and z0 2 EU, then eAtx0 2 ES, eAty0 2 EC and eAtz0 2 EU. Definition 4.1.9 (Homeomorphism). Let X be a metric space and let A and B be subsets of X. A homeomorphism h : A ! B of A onto B is a continuous one-to-one map of A onto B such that h1 : B ! A is continuous. The sets A and B are called homeomorphic or topologically equivalent if there is a homeomorphism of A onto B. Definition 4.1.10 (Differentiable manifold). An n-dimensional differentiable manifold M (or a manifold of class Ck) is a connected metric space with an open covering {U} ( i.e., M = [U) such that i) for all , U is homeomorphic to the open unit ball in Rn, B = {x 2 Rn : |x| < 1}, i.e., for all there exists a homeomorphism of U onto B, h : U ! B, ii) if U \U 6= ; and h : U ! B, h : U ! B are homeomorphisms, then h(U \U) and h(U \ U) are subsets of Rn and the map h = h h1 : h(U \ U) ! h(U \ U) is differentiable (or of class Ck) and for all x 2 h(U \ U), the determinant of the Jacobian, detDh(x) 6= 0. 4.2. The stable manifold theorem Fund. Theory ODE Lecture Notes J. Arino 65
Remark The manifold is analytic if the maps h = h h1 are analytic.

Next, recall that x is an equilibrium point of (4.1) if f(x) = 0. An equilibrium point x is hyperbolic if the Jacobian matrix Df of (4.1) evaluated at x, denoted Df(x), has no eigenvalues with zero real part. Also, recall that the solutions of (4.1) form a one-parameter group that defines the flow of the nonlinear differential equation (4.1). To be more precise, consider the IVP consisting of (4.1) and an initial condition x(t0) = x0. Let I(x0) be the maximal interval of existence of the solution to the IVP. Let then : R Rn ! Rn be defined as follows: For x0 2 Rn and t 2 I(x0), (t, x0) = t(x0) is the solution of the IVP defined on its maximal interval of existence I(x0).
Example Consider the (linear) ordinary differential equation x0 = ax, with a, x 2 R. The solution is (t, x0) = eatx0, and satisfies the group property (t + s, x0) = ea(t+s)x0 = eat(easx0) = (t, easx0) = (t, (s, x0))

For simplicity and without loss of generality since both results are local results, we assume hereforth that x = 0, i.e., that a change of coordinates has been performed translating x to the origin. We also assume that t0 = 0.

4.2 The stable manifold theorem

Theorem 4.2.1 (Stable manifold theorem). Let E be an open subset of Rn containing the origin, let f 2 C1(E), and let t be the flow of the nonlinear system (4.1). Suppose that f(0) = 0 and that Df(0) has k eigenvalues with negative real part and n k eigenvalues with positive real part. Then there exists a k-dimensional differentiable manifold S tangent to the stable subspace Es of the linear system (4.2) at 0 such that for all t 0, t(S) S and for all x0 2 S, lim
t!1 t(x0)

=0 and there exists an (n k)-dimensional differentiable manifold U tangent to the unstable subspace Eu of (4.2) at 0 such that for all t 0, t(U) U and for all x0 2 U, lim
t!1 t(x0)

=0 There are several approaches to the proof of this result. Hale [10] gives a proof which uses functional analysis. The proof we give here comes from [18, p. 108-111], who derives it from [6, p. 330-335]. It consists in showing that there exists a real nonsingular constant matrix C such that if y = C1x then there are n k real continuous functions yj = j(y1, . . . , yk) defined for small |yi|, i k, such that yj = j(y1, . . . , yk) (j = k + 1, . . . , n) define a k-dimensional differentiable manifold S in y space. The stable manifold in S space is obtained by applying the transformation P1 to y so that x = P1y defines S in terms of k curvilinear coordinates y1, . . . , yk. 66 Fund. Theory ODE Lecture Notes J. Arino 4. Linearization Proof. System (4.1) can be written as x0 = Df(0)x + F(x) with F(x) = f(x) Df(0)x. Since f 2 C1(E), F 2 C1(E), and F(0) = f(0) = 0 since f(0) = 0. Also, DF(x) = Df(x) Df(0) and so DF(0) = 0. To continue, we use the following lemma (which we will not prove). Lemma 4.2.2. Let E be an open subset of Rn containing the origin. If F 2 C1(E), then

for all x, y 2 N(0) E, there exists a 2 N(0) such that |F(x) F(y)| kDF()k |x y| From Lemma 4.2.2, it follows that for all " > 0 there exists a > 0 such that |x| and |y| imply that |F(x) F(y)| "|x y| Let C be an invertible n n matrix such that B = C1Df(0)C = P0 0Q where the eigenvalues 1, . . . , k of the k k matrix P have negative real part and the eigenvalues k+1, . . . , n of the (nk)(nk) matrix Q have positive real part. Let >0 be chosen small enough that for j = 1, . . . , k, <(j) < < 0. Let y = C1x, we have y0 = C1x0 = C1Df(0)x + C1F(x) = C1Df(0)Cy + C1F(Cy) = By + G(y) where G(y) = C1F(Cy). Since F 2 C1(E), G 2 C1(E ), where E = C1(E). Also, Lemma 4.2.2 applies to G. Now consider the system y0 = By + G(y) (4.3) and let U(t) = ePt 0 00 and V (t) = 00 0 eQt Then U0 = BU, V 0 = BV and eBt = U(t)+V (t). Choosing as previously noted sufficiently small, we can then choose K > 0 large enough and > 0 small enough that kU(t)k Ke(+)t for all t 0 and kV (t)k Ket for all t 0 4.2. The stable manifold theorem Fund. Theory ODE Lecture Notes J. Arino 67 Consider now the integral equation u(t, a) = U(t)a + Zt
0

U(t s)G(u(s, a))ds Z1

V (t s)G(u(s, a))ds (4.4) where a, u 2 Rn and a is a constant vector. We can solve this equation using the method of successive approximations. Indeed, let u(0)(t, a) = 0 and u(j+1)(t, a) = U(t)a + Zt
0

U(t s)G(u(j)(s, a))ds Z1

t

V (t s)G(u(j)(s, a))ds (4.5) We show by induction that for all j = 1, . . . and t 0, |u(j)(t, a) u(j1)(t, a)| K|a|et 2j1 (4.6) Clearly, (4.6) holds for j = 1 since |u(1)(t, a)| kU(t)ak + Zt
0

kU(t s)G(u(s, a))kds + Z1

t

kV (t s)G(u(s, a))kds Now suppose that (4.6) holds for j = k. We have |u(k+1)(t, a) u(k)(t, a)| = Z
0 t

U(t s) G(u(k+1)(s, a)) G(u(k)(s, a)) ds Z1

t

V (t s) G(u(k+1)(s, a)) G(u(k)(s, a)) ds Z

0

kU(t s)k G(u(k+1)(s, a)) G(u(k)(s, a)) ds +

Z
t

kV (t s)k G(u(k+1)(s, a)) G(u(k)(s, a)) ds which, since G verifies a Lipschitz-type condition as given by Lemma 4.2.2, implies that there exists " > 0 such that |u(k+1)(t, a) u(k)(t, a)| " Zt
0

kU(t s)k u(k+1)(s, a) u(k)(s, a) ds +" Z1

t

kV (t s)k u(k+1)(s, a) u(k)(s, a) ds 68 Fund. Theory ODE Lecture Notes J. Arino 4. Linearization Using the bounds on kUk and kV k as well as the induction hypothesis (4.6), it follows that |u(k+1)(t, a) u(k)(t, a)| " Zt
0

Ke(+)(ts)K|a|es 2k1 ds +" Z1

t

Ke(ts)K|a|es 2k1 ds "K2|a|et 2k1 + "K2|a|et 2k1 which, if we choose " < /(4K), i.e., "K/ < 1/4, implies that |u(k+1)(t, a) u(k)(t, a)| < 1 4 + 1

4 K|a|et 2k1 = K|a|et 2k (4.7) Note that for G to satisfy a Lipschitz-type condition, we must choose K|a| < /2, i.e., |a| < /(2K). Then, by induction, (4.6) holds for all t 0 and j = 1, . . .. As a consequence, for t 0, n > m > N, |u(n)(t, a) u(m)(t, a)| X1
j=N

|u(j+1)(t, a) u(j)(t, a)| K|a| X1

j=N

1 2j = K|a| 2N1 As this last quantity approaches 0 as N ! 1, it follows that {u(j)(t, a)} is a Cauchy sequence (of continuous functions). It follows that lim
j!1

u(j)(t, a) = u(t, a) uniformly for all t 0 and |a| < /(2K). From the uniform convergence, we deduce that u(t, a) is continuous. Now taking the limit as j ! 1 in both sides of (4.5), it follows that u(t, a) satisfies the integral equation (4.4) and as a consequence, the differential equation (4.3). Since G 2 C1(E), it follows from induction on (4.5) that u(j)(t, a) is a differentiable function of a for |a| < /(2K) and t 0. Since u(j)(t, a) ! u(t, a) uniformly, it then follows that u(t, a) is differentiable for t 0 and |a| < /(2K). The estimate (4.7) implies that |u(t, a)| 2K|a|et (4.8) for t 0 and |a| < /(2K). It is clear from (4.4) that the last n k components of a do not enter the computation of u(t0, a) and may thus be taken as zero. So the components uj(t, a) of the solution u(t, a) satisfy the initial conditions uj(0, a) = aj for j = 1, . . . , k 4.3. The Hartman-Grobman theorem Fund. Theory ODE Lecture Notes J. Arino 69 and

uj(0, a) = Z1
0

V (s)G(u(s, a1, . . . , ak, 0, . . . , 0))ds

j

for j = k + 1, . . . , n where ( )j denotes the jth component. For j = k + 1, . . . , n, define the functions j(a1, . . . , ak) = uj(0, a1, . . . , ak, 0, . . . , 0) (4.9) The initial values yj = uj(0, a1, . . . , ak, 0, . . . , 0) then satisfy yj = j(y1, . . . , yk) for j = k + 1, . . . , n which defines a differentiable manifold S in y space for p y2 1 + + y2 k < /(2K). Furthermore, if y(t) is a solution of the differential equation (4.3) with y(0) 2 S, i.e., with y(0) = u(0, a), then y(t) = u(t, a) It follows from the estimate (4.8) that if y(t) is a solution of (4.3) with y(0) 2 S, then y(t) ! 0 as t ! 1. It can also be shown that if y(t) is a solution of (4.3) with y(0) 62 S, then y(t) 6! 0 as t ! 1; see [6, p. 332]. This implies, as t satisfies the group property s+t(x0) = s(t)(x0), that if y(0) 2 S, then y(t) 2 S for all t 0. And it can be shown as in [6, Th 4.2, p. 333] that @j @yi (0) = 0 for i = 1, . . . , k and j = k + 1, . . . , n, i.e., that the differentiable manifold S is tangent to the stable subspace Es = {y 2 Rn : y1 = = yk = 0} of the linear system y0 = By at 0. The existence of the unstable manifold U of (4.3) is established the same way, but considering a reversal of time, t ! t, i.e., considering the system y0 = By G(y) The stable manifold for this system is the unstable manifold U of (4.3). In order to determine the (nk)-dimensional manifold U using the above process, the vector y has to be replaced by the vector (yk+1, . . . , yn, y1, . . . , yk).

4.3 The Hartman-Grobman theorem

Adapted from [4, p. 311]. Theorem 4.3.1 (Hartman-Grobman). Suppose that 0 is an equilibrium point of the nonlinear system (4.1). Let 't be the flow of (4.1), and t be the flow of the linearized system x0 = Df(0)x. If 0 is a hyperbolic equilibrium, then there exists an open subset D of Rn containing 0, and a homeomorphism G with domain in D such that G('t(x)) = t(G(x))

whenever x 2 D and both sides of the equation are defined. 70 Fund. Theory ODE Lecture Notes J. Arino 4. Linearization We follow here [18]. Theorem 4.3.2 (Hartman-Grobman). Let E be an open subset of Rn containing the origin, let f 2 C1(E), and let t be the flow of the nonlinear system (4.1). Suppose that f(0) = 0 and that the matrix A = Df(0) has no eigenvalue with zero real part. Then there exists a homeomorphism H of an open set U containing the origin onto an open set V containing the origin such that for each x0 2 U, there is an open interval I0 R containing 0 such that for all x0 2 U and t 2 I0, H t(x0) = eAtH(x0); i.e., H maps trajectories of (4.1) near the origin onto trajectories of x0 = Df(0)x near the origin and preserves the parametrization by time. Proof. Suppose that f 2 C1(E), f(0) = 0 (i.e., 0 is an equilibrium) and A = Df(0) the jacobian matrix of f at 0. 1. As we have assumed that the matrix A has no eigenvalues with zero real part (i.e., 0 is an hyperbolic equilibrium point), we can write A in the form A= P0 0Q where P has only eigenvalues with negative real parts and Q has only eigenvalues with positive real parts. 2. Let t be the flow of the nonlinear system (4.1). Let us write the solution as x(t, x0) = t(x0) = y(t, y0, z0) z(t, y0, z0) where x0 = y0 z0 2 Rn has been decomposed as y0 2 Es, the stable subspace of A, and z0 2 Eu, the unstable subspace of A. 3. Let Y (y0, z0) = y(1, y0, z0) eP y0 and

 Z(y0, z0) = z(1, y0, z0) eQz0 Then Y (0) = Y (0, 0) = y(1, 0, 0) = 0. The same is true of Z(0) = 0. Also, D Y (0) = D Z(0) = 0. Since f 2 C1(E), Y (y0, z0) and Z(y0, z0) are continuously differentiable. Thus kD Y (y0, z0)k a and kD Z(y0, z0)k a 4.3. The Hartman-Grobman theorem Fund. Theory ODE Lecture Notes J. Arino 71 on the compact set |y0|2 + |z0|2 s20 . By choosing s0 sufficiently small, we can make a as small as we like. We let Y (y0, z0) and Z(y0, z0) be smooth functions, defined by Y (y0, z0) = Y (y0, z0) for |y0|2 + |z0|2 s0
2 2

0 for |y0|2 + |z0|2 s20 and Z(y0, z0) = Z(y0, z0) for |y0|2 + |z0|2 s0
2 2

0 for |y0|2 + |z0|2 s20 By the mean value theorem, |Y (y0, z0)| a p |y0|2 + |z0|2 a(|y0| + |z0|) and |Z(y0, z0)| a p |y0|2 + |z0|2 a(|y0| + |z0|) for all (y0, z0) 2 Rn. Let B = eP and C = eQ. Assuming that P and Q have been normalized in a proper way, we have b = kBk < 1 and c = kC1k < 1 4. For x= y z 2 Rn define the transformations L(y, z) = By

Cz and T(y, z) = By + Y (y, z) Cz + Z(y, z) i.e., L(x) = eAx and, locally, T(x) = 1(x). Then the following lemma holds, which we prove later. Lemma 4.3.3. There exists a homeomorphism H of an open set U containing the origin onto an open set V containing the origin such that H T=L H 5. We let H0 be the homeomorphism defined above and Lt and Tt be the oneparameter families of transformations defined by Lt(x0) = eAtx0 and Tt(x0) = t(x0) Define H= Z1
0

LsH0Tsds 72 Fund. Theory ODE Lecture Notes J. Arino 4. Linearization It follows from the above lemma that there exists a neighborhood of the origin for which Lt H = Z1
0

LtsH0TstdsT = Z 1t
t

LsH0TsdsT = Z0
t

LsH0Tsds + Z 1t
0

LsH0Tsds Tt = Z1
0

LsH0TsdsT t = HTt since by the above lemma, H0 = L1H0T which implies that Z0
s

LsH0Tsds = Z0
t

Ls1H0Ts+1ds = Z1
1t

LsH0Tsds Thus H Tt = LtH or equivalently H t(x0) = eAtH(x0) and it can be shown that H is a homeomorphism on Rn. The outline of the proof is complete. We now prove Lemma 4.3.3. Proof. We use the method of successive approximations. For x 2 Rn, let H(x) = (y, z) (y, z) Then H T = L H is equivalent to the pair of equations B(y, z) = (By + Y (y, z),Cz + Z(y, z)) (4.10a) C (y, z) = (By + Y (y, z),Cz + Z(y, z)) (4.10b) Successive approximations for (4.10b) are defined by 0(y, z) = z k+1(y, z) = C1 k(By + Y (y, z),Cz + Z(y, z)) (4.11) It can be shown by induction that for k = 0, 1, . . . the functions k are continuous and such that k(y, z) = z for |y| + |z| 2s0. 4.3. The Hartman-Grobman theorem Fund. Theory ODE Lecture Notes J. Arino 73 Let us now prove that { k} is a Cauchy sequence. For this, we show by induction that for all j 1, | j(y, z) j1(y, z)| Mrj(|y| + |z|) (4.12) where r = c[2 max(a, b, c)] with 2 (0, 1) chosen sufficiently small that r < 1 (which is possible since c < 1) and M = ac(2s0)1/r. Inequality (4.12) is satisfied for j = 1 since | 1(y, z) 0(y, z)| = |C1 0(By + Y (y, z),Cz + Z(y, z)) z| = |C1(Cz + Z(y, z)) z| = |C1Z(y, z)| kC1k |Z(y, z)| ca(|y| + |z|) Mr(|y| + |z|) since Z(y, z) = 0 for |y| + |z| 2s0. Now assuming that (4.12) holds for j = k gives | k+1(y, z) k(y, z)| = |C1 k(By + Y (y, z),Cz + Z(y, z)) C1 k1(By + Y (y, z),Cz + Z(y, z))| = |C1( k k1)|

kC1k | k k1| which, using induction hypothesis (4.12) and c = kC1k gives cMrk |By + Y (y, z)| + |Cz + Z(y, z)| cMrk b|y| + 2a(|y| + |z|) + c|z| cMrk 2 max(a, b, c) |y| + |z| Mrk+1 |y| + |z|) Using the same type of argument as in the proof of the stable manifold theorem, k is thus a Cauchy sequence of continuous functions that converges uniformly as k ! 1 to a continuous function (y, z). Also, (y, z) = z for |y| + |z| 2s0. Taking limits in (4.11) and left-multiplying by C shows that (y, z) is a solution of (4.10b). Now for (4.10a). This equation can be written B1(y, z) = (B1y + Y1(y, z),C1z + Z1(y, z)) (4.13) where Y1 and Z1 occur in the inverse of T, which exists provided that a is small enough (i.e., s0 is sufficiently small), T1(y, z) = B1y + Y1(y, z) C1z + Z1(y, z) Successive approximations with 0(y, z) = y can then be used as above (since b = kBk < 1) to solve (4.13). 74 Fund. Theory ODE Lecture Notes J. Arino 4. Linearization Therefore, we obtain the continuous map H(y, z) = (y, z) (y, z) and it follows as in [11, p. 248-249] that H is a homeomorphism of Rn onto Rn.

4.4 Example of application

4.4.1 A chemostat model
To illustrate the use of the theorems in this chapter, we take an example of nonlinear

system, a system of two nonlinear differential equations modeling a biological device called a chemostat. Without going into details, the system is the following. dS dt = D(S0 S) (S)x (4.14a) dx dt = ((S) D)x (4.14b) The parameters S0 and D, respectively the input concentration and the dilution rate, are real and positive. The function is the growth function. It is generally assumed to satisfy (0) = 0, 0 > 0 and 00 < 0. To be complete, one should verify that the positive quadrant is positively invariant under the flow of (4.14), i.e., that for S(0) 0 and x(0) 0, solutions remain nonnegative for all positive times, and similar properties. But since we are here only interested in applications of the stable manifold theorem, we proceed to a very crude analysis, and will not deal with this point. Note that in vector form, the system is noted 0 = f() with = (S, x)T and f() = D(S0 S) (S)x ((S) D)x Equilibria of the system are found by solving f() = 0. We find two, the first one situated on one of the boundaries of the positive quadrant, = (S ,x T ) = (S0, 0) the second one in the interior,
T T

= (S, x) = (, S0 ) where is such that () = D. Note that this implies that if S0, T is the only equilibrium of the system. 4.4. Example of application Fund. Theory ODE Lecture Notes J. Arino 75 At an arbitrary point = (S, x), the Jacobian matrix is given by Df() =
I

D 0(S)x (S) 0(S)x (S) D

Thus, at the trivial equilibrium T , Df( T) = D (S0) 0 (S0) D We have two eigenvalues, D and (S0)D. Let us suppose that (S0)D < 0. Note that this implies that T is the only equilibrium, since, as we have seen before, I is not feasible if > S0. As the system has dimensionality 2, and that the matrix Df(T ) has two negative eigenvalues, the stable manifold theorem (Theorem 4.2.1) states that there exists a 2dimensional differentiable manifold M such that t(M) M for all 0 2M, limt!1 t(0) = T . At T ,Mis tangent to the stable subspace ES of the linearized system 0 = Df(T ) ( T ). Since there are no eigenvalues with positive real part, there does not exist an unstable manifold in this case. Let us now caracterize the nature of the stable subspace ES. It is obtained by studying the linear system 0 = Df( T )( T) = D (S0) 0 (S0) D S S0 x = D(S S0) (S0)x ((S0) D)x (4.15) Of course, the Jacobian matrix associated to this system is the same as that of the nonlinear system (at T ). Associated to the eigenvalue D is the eigenvector v1 = (1, 0)T , to (S0)D is v2 = (1, 1)T . The stable subspace is thus given by Span (v1, v2), i.e., the whole of R2. In fact, the stable manifold of T is the whole positive quadrant, since all solutions limit

to this equilibrium. But let us pretend that we do not have this information, and let us try to find an approximation of the stable manifold.

4.4.2 A second example

This example is adapted from [18, p. 111]. Consider the nonlinear system x0 = x y2 y0 = x2 + y (4.16) 76 Fund. Theory ODE Lecture Notes J. Arino 4. Linearization From the nullclines equations, it is clear that (x, y) = (0, 0) is the only equilibrium point. At (0, 0), the Jacobian matrix of (4.16) is given by J= 1 0 01 The linearized system at 0 is x0 = x y0 = y (4.17) So the eigenvalues are 1 and 1, with associated eigenvectors (1, 0)T and (0, 1)T , respectively. Therefore, the stable manifold theorem (Theorem 4.2.1) implies that there exists a 1-dimensional stable (differentiable) manifold S such that t(S) S and limt!1 t(x0) =0 for all x0 2 S, and a 1-dimensional unstable (differentiable) manifold U such that t(U) U and limt!1 t(x0) for all x0 2 U. Furthermore, at 0, S is tangent to the stable subspace ES of (4.17), and U is tangent to the unstable subspace EU of (4.17). The stable subspace ES is given by Span (v1), with v1 = (0, 1)T , i.e., the y-axis. The unstable subspace EU is Span (v2), with v2 = (1, 0)T , i.e., the x-axis. The behavior of this system is illustrated in Figure 4.1.
0.05 0.04 0.03 0.02 0.01 0 0.01 0.02 0.03 0.04 0.05 0.05 0.04 0.03 0.02 0.01 0 0.01 0.02 0.03 0.04 0.05

x y

Figure 4.1: Vector field of system (4.16) in the neighborhood of 0.

To be more precise about the nature of the stable manifold S, we proceed as follows. First of all, as A is in diagonal form, we have A=B= 1 0

01 and C = I. Also, F() = G() = y2 x2 . Here, the matrices P and Q are in fact scalars, 4.4. Example of application Fund. Theory ODE Lecture Notes J. Arino 77 P = 1 and Q = 1. Thus U(t) = et 0 00 , V (t) = 00 0 et Finally, a = (a1, 0)T . So now we can use successive approximations to find an approximate solution to the integral equation (4.4), which here takes the form u(t, a) = eta1 0 + Zt
0

e(ts)u22 (s) 0 ds Z1
t

0 e(ts)u21 (s) ds To construct the sequence of successive approximations, we start with u(t, a) = (0, 0)T , then compute the successive terms using equation (4.5), which takes the form u(j+1)(t, a) =

eta1 0 + Zt
0

e(ts) 0 00 G u(j)(s) ds Z1
t

00 0 e(ts) G u(j)(s) ds = eta1 0 + Zt

0

e(ts) 0 00 0 @ u(j) 2 (s)

2

u(j) 1 (s)
2

1 Ads Z1
t

00

0 e(ts) 0 @ u(j) 2 (s)

2

u(j) 1 (s)
2

1 Ads = eta1 0 + Zt
0

e(ts) u(j) 2 (s)

2

0 ! ds Z1
t

0 e(ts) u(j) 1 (s)

2

! ds Therefore, u(1)(t, a) = U(t)a = eaa1 0 since u(0)(t, a) = u(0) 1 (t, a) u(0)

(t, a)

! = 0 0 . Then, u(2)(t, a) = eta1 0 Z1

t

0 e(ts) (esa1)2 ds = eta1 0 0

1 3a21

e2t = eta1 1 3a21 e2t and continuing this process, we find u(3)(t, a) = eta1 + 1 27 (e4t et)a41 1 3a21 e2t Also, it is possible to show that u(4)(t, a) u(3)(t, a) = O(a51 ).

The stable manifold S is 1-dimensional, so here it has the form 0), and is here approximated by 2(a1) = 1 3 a21 + O(a51 ) 78 Fund. Theory ODE Lecture Notes J. Arino 4. Linearization as a1 ! 0. Thus S is approximated by y= x2 3 + O(x5) as x ! 0.

2(a1)

= u2(0, a1,

Chapter 5 Exponential dichotomy

Our aim here is to show the equivalent of the Hartman-Grobman theorem for linear systems with variable coefficients. Compared to other results we have seen so far, this is a much more recent field. The first results were shown in the 60s by Lin. We give here only the most elementary results. For more details, see, e.g., [13]. We consider the linear system of differential equations dx dt = A(t)x (5.1) where the n n matrix A(t) is continuous on the real axis.

5.1 Exponential dichotomy

Definition 5.1.1 (Exponential dichotomy). Let X(t) be a the fundamental matrix solution of (5.1). If X(t) and X1(s) can be decomposed into the following forms X(t) = X1(t) + X2(t) X1(s) = Z1(s) + Z2(s) X(t)Z1(s) = X1(t)Z1(s) + X2(t)Z2(s) and satisfy the conditions that there exists , , positive constants such that kX1(t)Z1(s)k e(ts), t s kX2(t)Z2(s)k e(ts), s t (5.2) where X1(t) = (X11(t), 0), X2(t) = (0,X12(t)), Z1(s) = Z11(s) 0

, Z2(s) = 0 Z21(s) , 79 80 Fund. Theory ODE Lecture Notes J. Arino 5. Exponential dichotomy or there is a projection P on the stable manifold such that kX(t)PX1(s)k e(ts), t s kX(t)(I P)X1(s)k e(ts), s t (5.3) then we say that the system (5.1) admits exponential dichotomy.
Remark A matrix P defines a projection if it is such that P2 = P.

Another definition [1]. Definition 5.1.2. Let (t, s), (t, t) = I, be the principal matrix solution of (5.1). We say that (5.1) has an exponential dichotomy on the interval I if there are projections P(t) : Rn ! Rn, t 2 I, continuous in t, such that if Q(t) = I P(t), then i) (t, s)P(s) = P(t)(t, s), for t, s 2 I. ii) k(t, s)P(s)k Ke(ts), for t s 2 I. iii) k(t, s)Q(s)k Ke(ts), for s t 2 I. A more general definition is the following (see, e.g., [16]). Definition 5.1.3 ((1, 2)-dichotomy). If 1, 2 are continuous real-valued functions on the real interval I = (!, !+), system (5.1) is said to have a (1, 2)-dichotomy if there exist supplementary projections P1, P2 on Rn such that kX(t)PiX1(s)k Ki exp( Zt
s

i), if (1)i(s t) 0, i = 1, 2. where K1,K2 are positive constants. In the case that 1, 2 are constants, the system (5.1) is said to have an exponential dichotomy if 1 < 0 < 2 and an ordinary dichotomy if 1 = 2 = 0. The following remark is from [7].

Remark The autonomous system x0 = Ax has an exponential dichotomy on R+ if and only if no eigenvalue of A has zero real part. It has ordinary dichotomy is and only if all eigenvalues of A with zero real part are semisimple (their algebraic multiplicities are equal to their geometric multiplicities, i.e., the dimension of their eigenspace). In each case, X(t) = etA and we can take P to be the spectral projection defined by P= 1 2i

Z (zI A)1dz with any rectifiable simple closed curve in the open left half-plane which contains in its interior all eigenvalues of A with negative real part.

5.2. Existence of exponential dichotomy Fund. Theory ODE Lecture Notes J. Arino 81

5.2 Existence of exponential dichotomy

To check that the previous definitions hold can be a very tedious task. Some authors have thus worked on deriving simpler conditions that imply exponential dichotomy. Theorem 5.2.1. If the matrix A(t) in (5.1) is continuous and bounded on R, and there exists a quadratic form V (t, x) = xTG(t)x, where the matrix G(t) is symmetric, regular, bounded and C1, such that the derivative of V (t, x) with respect to (5.1) is positive definite, then (5.1) admits exponential dichotomy. The converse is true, without the requirement that A(t) be bounded. A result of [7]. Theorem 5.2.2. Let A(t) be a continuous n n matrix function defined on an interval I such that i) A(t) has k eigenvalues with real part < 0 and n k eigenvalues with real part > 0 for all t 2 I, ii) kA(t)k M for all t 2 I. For any positive constant " < min(, ), there exists a positive constant = (M, + , ") such that, if kA(t2) A(t1)k for |t2 t1| h where h > 0 is a fixed number not greater than the length of I, then the equation x0 = A(t)x has a fundamental matrix X(t) satisfying the inequalities kX(t) PX1(s)k Ke(")(ts) for t s kX(t)(I P)X1(s)k Le(")(st) for s t where K, L are positive constants depending only on M, + , " and P= Ik 0 00 The following result, due to Muldowney [16], gives a criterion for the existence of a (1, 2)-dichotomy. Proposition 5.2.3. Suppose there is a continuous real-valued function on I and constants li, 0 li < 1, i = 1, 2, such that for some m, 0 m n, max

( l1<(ajj) + l1 Xm
i=1,i6=j

|aij | + Xn
i=m+1

|aij | : j = 1, . . . ,m ) l 1, 82 Fund. Theory ODE Lecture Notes J. Arino 5. Exponential dichotomy min ( l2<(ajj) Xm
i=1

|aij | l2 Xn
i=m+1,i6=j

|aij | : j = m + 1, . . . , n ) l 2. Then the system (5.1) has a (1, 2)-dichotomy, where 1 = max ( l1<(ajj) + Xm
i=1,i6=j

|aij | + l2 Xn
i=m+1

|aij | : j = 1, . . . ,m ) , 2 = min ( <(ajj) l1 Xm

i=1

|aij | Xn
i=m+1,i6=j

|aij | : j = m + 1, . . . , n ) . The same sort of theorem can be proved with sums of the columns replaced by sums of the rows.
Example Consider A(t) = 0 @ 1 0 1/2

t/2 t t2 t/2 t2 t 1 A, t > 0

5.3 First approximate theory

We consider the nonlinear system dx dt = A(t)x + f(t, x) (5.4) where f : RRn ! Rn is continuous, f(t, x) = O(kxk2), kxk = o(1), kf(t, x1)f(t, x2)k Lkx1 x2k with L small enough. Let x(t) be a non trivial solution of (5.1); define u(x(t)) = lim sup
ts!1

1 ts log kx(t)k kx(s)k and u(x(t)) = lim inf

ts!1

1 ts log kx(t)k kx(s)k The numbers u(x(t)) and u(x(t)) are called the uniform upper characteristic exponent and uniform lower characteristic exponent of x(t), respectively.
Remark If (x) < 0, then lims!1 kx(s)k = 1. If (x) > 0, then limt!1 kx(t)k = 1.

Then we have the following theorem. 5.3. First approximate theory Fund. Theory ODE Lecture Notes J. Arino 83 Theorem 5.3.1. If (5.1) admits the exponential dichotomy, then the linear system (5.1) and the nonlinear system (5.4) are topologically equivalent, i.e., i) if the solution x(t) of (5.4) remains in a neighborhood of the origin for t 0, or t 0, then limt!1 x(t) = 0, or limt!1 x(t) = 0, respectively; ii) there exists positive constants 0 and 0 such that if a solution x(t) of (5.4) is such that limt!1 x(0) = 0, or limt!1 x(t) = 0, then kx(t)k 0kx(s)ke0(ts), t s or kx(t)k 0kx(s)ke0(ts), s t respectively. At this time, u(x(t)) 0 < 0, or u(x(t)) 0 > 0; iii) for a k-dimensional solution x of (5.1) with u(x(t)) < 0, or an (n k)-

dimensional solution x(t) of (5.1) with u(x(t)) > 0, there is a unique kdimensional or (nk)-dimensional y(t), solution of (5.4), such that u(x(t)) < 0, or u(x(t)) > 0 respectively. A different statement of the same sort of result is given by Palmer [17]. Theorem 5.3.2. Suppose that A(t) is a continuous matrix function such that the linear equation x0 = A(t)x has an exponential dichotomy. Suppose that f(t, x) is a continuous function of R Rn into Rn such that kf(t, x)k , kf(t, x1) f(t, x2)k Lkx1 x2k for all t, x, x1, x2. Then if 4LK there is a unique function H(t, x) of R Rn into Rn satisfying i) H(t, x) x is bounded in R Rn, ii) if x(t) is any solution of the differential equation x0 = A(t)x + f(t, x), then H(t, x(t)) is a solution of x0 = A(t)x. Moreover, H is continuous in R Rn and kH(t, x) xk 4K1 for all t, x. For each fixed t, Ht(x) = H(t, x) is a homeomorphism of Rn. L(t, x) = H1 t (x) is continuous in RRn and if y(t) is any solution of x0 = A(t)x, then L(t, y(t)) is a solution of x0 = A(t)x + f(t, x). 84 Fund. Theory ODE Lecture Notes J. Arino 5. Exponential dichotomy

5.4 Stability of exponential dichotomy

Theorem 5.4.1. Suppose that the linear system (5.1) admits exponential dichotomy. Then there exists a constant > 0 such that the linear system dx dt = (A(t) + B(t))x (5.5) also admits exponential dichotomy, when B(t) is continuous on R and kB(t)k . Another version of this theorem. Theorem 5.4.2. Let B :Mn(R+) be a bounded, continuous matrix function. Suppose that (5.1) has an exponential dichotomy on R+. If = sup kB(t)k < /(4K2), then the perturbed equation x0 = (A(t) + B(t))z also has an exponential dichotomy on R+ with constants K and determined by K, and . Moreover, if P(t) is the corresponding projection, then kP(t) P(t)k = O() uniformly in t 2 R+. Also, | | = O().

5.5 Generality of exponential dichotomy

The exposition has been done here in the case of a system of ODEs. But it is

important to realize that exponential dichotomies exist in a much more general setting.

Bibliography

[1] A. Acosta and P. Garca. Synchronization of non-identical chaotic systems: an exponential dichotomies approach. J. Phys. A: Math. Gen., 34:91439151, 2001. [2] F. Brauer and J.A. Nohel. The Qualitative Theory of Ordinary Differential Equations. Dover, 1989. [3] H. Cartan. Cours de calcul differentiel. Hermann, Paris, 1997. Reprint of the 1977 edition. [4] C. Chicone. Ordinary Differential Equations with Applications. Springer, 1999. [5] E.A. Coddington and N. Levinson. Theory of Ordinary Differential Equations. McGrawHill, 1955. [6] E.A. Coddington and N. Levinson. Theory of Ordinary Differential Equations. Krieger, 1984. [7] W.A. Coppel. Dichotomies in Stability Theory, volume 629 of Lecture Notes in Mathematics. Springer-Verlag, 1978. [8] J. Dieudonne. Foundations of Modern Analysis. Academic Press, 1969. [9] N.B. Haaser and J.A. Sullivan. Real Analysis. Dover, 1991. Reprint of the 1971 edition. [10] J.K. Hale. Ordinary Differential Equations. Krieger, 1980. [11] P. Hartman. Ordinary Differential Equations. John Wiley & Sons, 1964. [12] P.-F. Hsieh and Y. Sibuya. Basic Theory of Ordinary Differential Equations. Springer, 1999. [13] Z. Lin and Y-X. Lin. Linear Systems. Exponential Dichotomy and Structure of Sets of Hyperbolic Points. World Scientific, 2000. [14] H.J. Marquez. Nonlinear Control Systems. Wiley, 2003. [15] R.K Miller and A.N. Michel. Ordinary Differential Equations. Academic Press, 1982. 85 86 Fund. Theory ODE Lecture Notes J. Arino BIBLIOGRAPHY [16] J.S Muldowney. Dichotomies and asymptotic behaviour for linear differential systems. Transactions of the AMS, 283(2):465484, 1984. [17] K.J. Palmer. A generalization of Hartmans linearization theorem. J. Math. Anal. Appl., 41:753758, 1973. [18] L. Perko. Differential Equations and Dynamical Systems. Springer, 2001. [19] L. Schwartz. Cours danalyse, volume I. Hermann, Paris, 1967. [20] K. Yosida. Lectures on Differential and Integral Equations. Dover, 1991.

Appendix A A few useful definitions and results

Here, some results that are important for the course are given with a somewhat random ordering.

A.1 Vector spaces, norms

A.1.1 Norm
Consider a vector space E over a field K. A norm is an application, denoted k k, from E to R+ that satisfies the following: 1) 8x 2 E, kxk 0, with kxk = 0 if and only if x = 0. 2) 8x 2 E, 8a 2 K, kaxk = |a| kxk. 3) 8x, y 2 E, kx + yk kxk + kyk. A vector space E equiped with a norm k k is a normed vector space.

A.1.2 Matrix norms A.1.3 Supremum (or operator) norm

The supremum norm is defined by 8L 2 L(E), |||L||| = sup
x2E{0}

kL(x)k kxk = sup

kxk1

kL(x)k. The inequality kA(t)(x1 x2)k |||A(t)||| kx1 x2k 87 88 Fund. Theory ODE Lecture Notes J. Arino A. Definitions and results results from the nature of the norm ||| |||. See appendix A.1. is best understood by indicating the spaces in which the various norms are defined. We have kAxka = kxkb A x kxkb
a

kxkb |||A||| = kAkkxkb, since x kxkb

b

= 1.

A.2 An inequality involving norms and integrals

Lemma A.2.1. Suppose f : Rn ! Rn is a continuous function. Then Z
a b

f(x)dx Z
a

kf(x)k dx. Proof. First, note that we have Z

a b

f(x)dx = Z
a b

f1(x)dx ,..., Z
a b

fn(x)dx . For a given component function fi, i = 1, . . . , n, using the definition of the Riemann integral, Zb
a

fi(x)dx = lim
k!1

Xk

j=1

fi(x j)xj , where x j is the sample point in the interval [xj1, xj ] with width xj . Therefore, Z
a b

fi(x)dx = lim
k!1

Xk

j=1

fi(x

j)x

= lim
k!1

Xk
j=1

fi(x j)x , since the norm is a continuous function. The result then follows from the triangle inequality.

A.3 Types of convergences

Definition A.1 (Pointwise convergence). Let X be any set, and let Y be a topological space. A sequence f1, f2, . . . of mappings from X to Y is said to be pointwise convergent (or simply convergent) to a mapping f : X ! Y , if the sequence fn(x) converges to f(x) for each x in X. This is usually denoted by fn ! f. In other words, (fn ! f) , (8x 2 X, 8" > 0, 9N 0, 8n N, d(fn(x), f(x)) < ") . A.4. Asymptotic Notations Fund. Theory ODE Lecture Notes J. Arino 89 Definition A.2 (Uniform convergence). Let X be any set, and let Y be a topological space. A sequence f1, f2, . . . of mappings from X to Y is said to be uniformly convergent to a mapping f : X ! Y , if given " > 0, there exists N such that for all n N and all x 2 X, d(fn(x), f(x)) < ". This is usually denoted by fn u! f. In other words, (fn u! f) , (8" > 0, 9N 0, 8n N, 8x 2 X, d(fn(x), f(x)) < ") . An important theorem follows. Theorem A.3.1. If the sequence of maps {fn} is uniformly convergent to the map f, then f is continuous.

A.4 Asymptotic Notations

Let n be a integer variable which tends to 1 and let x be a continuous variable tending to some limit. Also, let (n) or (x) be a positive function and f(n) or f(x) any function. Then i) f = O() means that |f| < A for some constant A and all values of n and x, ii) f = o() mean that f/ ! 0, iii) f means that f/ ! 1.

Note that f = o() implies f = O().

A.5 Types of continuities

Definition A.3 (Uniform continuity). Let (X, dX) and (Y, dY ) be two metric spaces, E X and F Y . A function f : E ! F is uniformly continuous on the set E X if for every " > 0, there exists > 0 such that dY (f(x), f(y)) < " whenever x, y 2 E and dX(x, y) < . In other words, (f : E (X, dX) ! F (Y, dY ) uniformly continuous on E) , (8" > 0, 9 > 0, 8x, y 2 E, dX(x, y) < ) dY (f(x), f(y)) < ") . Definition A.4 (Equicontinuous set). A set of functions F = {f} defined on a real interval I is said to be equicontinuous on I if, given any " > 0, there exists a " > 0, independent of f 2 F and also t, t 2 I such that kf(t) f(t)k < " whenever |t t| < " 90 Fund. Theory ODE Lecture Notes J. Arino A. Definitions and results An interpretation of equicontinuity is that a sequence of functions is equicontinuous if all the functions are continuous and they have equal variation over a given neighbourhood. Equicontinuity of a sequence of functions has important consequences. Theorem A.5.1. Let {fn} be an equicontinuous sequence of functions. If fn(x) ! f(x) for every x 2 X, then the function f is continuous. Lemma A.5 (Ascoli). On a bounded interval I, let F = {f} be an infinite, uniformly bounded, equicontinuous set of functions. Then F contains a sequence {fn}, n = 1, 2, . . ., which is uniformly convergent on I. Theorem A.6. Let C(X) be the space of continuous functions on the complete metric space X with values in Rn. If a sequence {fn} in C(X) is bounded and equicontinuous, then it has a uniformly convergent subsequence.

A.6 Lipschitz function

Definition A.6.1 (Lipschitz function). A map f : U R Rn ! Rn is Lipschitz in x if there exists a real number L such that for all (t, x1) 2 U and (t, x2) 2 U, kf(t, x1) f(t, x2)k Lkx1 x2k. In the case of a Lipschitz function as defined above, the constant L is independent of x1 and x2, it is given for U. A weaker version is local Lipschitz functions. Definition A.6.2 (Locally Lipschitz function). A map f : U R Rn ! Rn is locally Lipschitz in x if, for all (t0, x0) 2 U, there exists a neighborhood V U of (t0, x0) and a real number L, such that for all (t, x1), (t, x2) 2 V , kf(t, x1) f(t, x2)k Lkx1 x2k. In other words, f is locally Lipschitz if the restriction of f to V is Lipschitz. Thus, a locally Lipschitz function is Lipschitz if it is locally Lipschitz on U with

everywhere the same Lipschitz constant L. Another definition of a locally Lipschitz function is as follows. Definition A.6.3. A function f : U Rn+1 ! Rn is locally Lipschitz continuous if for every compact set V U, the number L = sup
(t,x)6=(t,y)2V

kf(t, x) f(t, y)k kx yk is finite, with L depending on V . Property A.6.4. Let f(t, x) be a function. The following properties hold. A.7. Gronwalls lemma Fund. Theory ODE Lecture Notes J. Arino 91 i) f Lipschitz ) f uniformly continuous in x. ii) f uniformly continuous 6) f Lipschitz. iii) f(t, x) has continuous partial derivative @f/@x on a bounded closed domain D ) f is locally Lipschitz on D. Proof. i ) Suppose that f is Lipschitz, i.e., there exists L > 0 such that kf(t, x1)f(t, x2)k Lkx1 x2k. Recall that f is uniformly continuous if for every " > 0, there exists > 0 such that for all x1, x2, kx1 x2k < implies that kf(t, x1) f(t, x2)k < ". So, given an " > 0, choose < "/L. Then kx1 x2k < implies that kf(t, x1) f(t, x2)k < Lkx1 x2k < L < L"/L = ". Thus f is uniformly continuous (see Definition A.3). ii ) This is left as an exercise. Consider for example the function f defined by f(x) = 1/ ln x on (0, 1 2 ], f(0) = 0. iii ) Notice that @f/@x continuous on D implies that k@f/@xk is continuous on (the bounded closed domain) D, and thus k@f/@xk is bounded on D. Let L = sup
(t,x)2D

@f(t, x) @x If (t, x1), (t, x2) 2 U, by the mean-value theorem, there exists 2 [x1, x2] such that f(t, x2) f(t, x1) = (x2 x1) @f @x (t, ). As 2 U, it follows that k@f @x (t, )k L, and thus kf(t, x2) f(t, x1)k Lkx2 x1k.

A.7 Gronwalls lemma

The name of Gronwall is associated to a certain number of inequalities. We give a few of them here. We prove the most simple one (as it is an easy proof to remember),

as well as the most general one (Lemma A.9). In [12, p. 3], the lemma is stated as follows. Lemma A.7 (Gronwall). If i) g(t) is continuous on t0 t t1, ii) for t0 t t1, g(t) satisfies the inequality 0 g(t) K + L Zt
t0

g(s)ds. Then 0 g(t) KeL(tt0), for t0 t t1. 92 Fund. Theory ODE Lecture Notes J. Arino A. Definitions and results Proof. Let v(t) = Rt
t0

g(s)ds. Then v0(t) = g(t), which implies that the assumption on g can be written 0 v0(t) K + Lv(t). The right inequality is a linear differential inequality, with integrating factor exp( Rt
t0

Lds) Also, v(t0) = 0. Hence, d dt eL(tt0)v(t) KeL(tt0) and therefore, eL(tt0)v(t) K L 1 eL(tt0) . Thus Lv(t) K eL(tt0) 1 , and g(t) K + Lv(t) KeL(tt0). In [4, p. 128-130], Gronwalls inequality is stated as Lemma A.8. Suppose that a < b and let g, K and L be nonnegative continuous functions defined on the interval [a, b]. Moreover, suppose that either K is a constant function, or K is differentiable on [a, b] with positive derivative K0. If, for all t 2 [a, b] g(t) K(t) +

Z
a

L(t)g(s)ds, then g(t) K(t) exp Zt

a

L(s)ds , for all t 2 [a, b]. Finally, the most general formulation is in [8, p. 286]. Lemma A.9. If ' and are two nonnegative regulated functions on the interval [0, c], then for every nonnegative regulated function w in [0, c] satisfying the inequality w(t) '(t) + Zt
0

(s)w(s)ds, we have, in [0, c], w(t) '(t) + Zt

0

'(s) (s) exp Zt

s

()d

ds. (A.1) Before proving the result, let us recall that a function f from an interval I R to a Banach space F is regulated if it admits in each point in I a left limit and a right limit. In particular, every continuous mapping from I R to a Banach space is regulated, as well as monotone maps from I to R; see, e.g., [8, Section 7.6]. A.8. Fixed point theorems Fund. Theory ODE Lecture Notes J. Arino 93 Proof. Let y(t) = Rt 0 (s)w(s)ds; y is continuous, and since w(t) '(t) + Rt 0 (s)w(s)ds, it follows that, except maybe at a denumerable number of points of [0, c], we have y0(t) (t)y(t) '(t) (t) (A.2) from [8, Section 8.7]. Let z(t) = y(t) exp( Rt 0 (s)ds). Then (A.2) is equivalent to z0(t) '(t) (t) exp Zt
0

(s)ds . Using a mean-value type theorem (see, e.g., [8, Th. 8.5.3]) and using the fact that z(0) = 0, we get, for t 2 [0, c], z(t) Zt
0

'(s) (s) exp Zs

0

()d

ds, whence by definition y(t) Zt

0

'(s) (s) exp Zt

s

()d

ds, and inequality (A.1) now follows from the relation w(t) '(t) + y(t).

A.8 Fixed point theorems

Definition A.10 (Contraction mapping). Let (X, d) be a metric space, and let S X. A mapping f : S ! S is a contraction on S if there exists K < 1 such that, for all x, y 2 S, d(f(x), f(y)) Kd(x, y) Every contraction is uniformly continuous on X (from Proposition A.6.4, since a contraction is Lipschitz). Theorem A.11 (Contraction mapping principle). Consider the complete metric space (X, d). Every contraction mapping f : X ! X has one and only one x 2 X such that f(x) = x. Proof. Existence We use successive approximations. Let x0 2 X. Define x1 = f(x0), x2 = f(x1), . . . , xn = f(xn1), . . . This defines an infinite sequences of elements of X. As f is a contraction, d(x2, x1) = d(f(x1), f(x0)) Kd(x1, x0). Similarly, d(x3, x2) = d(f(x2), f(x1)) Kd(x2, x1) K2d(x1, x0).

94 Fund. Theory ODE Lecture Notes J. Arino A. Definitions and results Iterating, d(xn+1, xn) Knd(x1, x0). Therefore, d(xn+p, xn) d(xn+p, xn+p1) + d(xn+p1, xn+p2) + + d(xn+1, xn) (Kp1 + Kp2 + + K + 1)Knd(x1, x0) Kn 1K d(x1, x0). Therefore d(xn+p, xn) tends to 0 as n ! 1, so {xn} is a Cauchy sequence. Since X is a complete space, it follows that {xn} admits a limit `. As limn!1 xn = `, it follows from continuity of f that xn+1 = f(xn) tends to f(`). But xn+1 also converges to `, so f(`) = `, that is, ` is a fixed point of f. Uniqueness Suppose `1 and `2 are two fixed points. Then there must hold that d(`1, `2) Kd(`1, `2) < d(`1, `2), if d(`1, `2) 6= 0. Therefore d(`1, `2) = 0, and `1 = `2. In the case that f : S X ! S, the theorem takes the form of Theorem A.12. Closedness of S is an implicit requirement, since the set S in the complete metric space X is closed if, and only if, S is complete. Theorem A.12. Let S be a closed subset of the complete metric space (X, d). Every contraction mapping f : S ! S has one and only one x 2 S such that f(x) = x. Theorem A.8.1. Consider a mapping f : X ! X, where X is a complete metric space. Suppose that f is not necessarily a contraction, but that one of the iterates fk of f, is a contraction. Then f has a unique fixed point.

A.9 Jordan normal form

Theorem A.9.1. Every complex n n matrix A is similar to a matrix of the form J= 2 664 J0 0 0 0 0 J1 0 0 0 0 0 Js 3 775 where J0 is a diagonal matrix with diagonal 1, . . . , n, and, for i = 1, . . . , s, Ji = 2 66664 q+i 1 0 0 0 0

0 q+i 1 0 0 0 0 0 0 0 q+i 1 0 0 0 0 0 q+i 3 77775 A.9. Jordan normal form Fund. Theory ODE Lecture Notes J. Arino 95 The j , j = 1, . . . , q + s, are the characteristic roots of A, which need not all be distinct. If j is a simple root, then it occurs in J0, and therefore, if all the roots are distinct, A is similar to the diagonal matrix J= 2 664 10 0 0 0 20 0 000n 3 775 An algorithm to compute the Jordan canonical form of an n n matrix A [15]. i) Compute the eigenvalues of A. Let 1, . . . , m be the distinct eigenvalues of A with multiplicities n1, . . . , nm, respectively. ii) Compute n1 linearly independent generalized eigenvectors of A associated with 1 as follows. Compute (A 1En)i for i = 1, 2, . . . until the rank of (A1En)k is equal to the rank of (A1En)k+1. Find a generalized eigenvector of rank k, say u. Define ui = (A1En)k1u, for i = 1, . . . , k. If k = n1, proceed to step 3. If k < n1, find another linearly independent generalized eigenvector with rank k. If this is not possible, try k1, and so forth, until n1 linearly independent generalized eigenvectors are determined. Note that if (A 1En) = r, then there are totally (n r) chains of generalized eigenvectors associated with 1. iii) Repeat step 2 for 2, . . . , m. iv) Let u1, . . . , uk, . . . be the new basis. Observe that Au1 = 1u1, Au2 = u1 + 1u2, ... Auk = uk1 + 1uk Thus in the new basis, A has the representation J= 0 BBBBBBBBBBBBBBBB@

1 ...1
1 1

1 ...1
2 2

1 ...1
3 3

... 1 CCCCCCCCCCCCCCCCA 96 Fund. Theory ODE Lecture Notes J. Arino A. Definitions and results where each chain of generalized eigenvectors generates a Jordan block whose order equals the length of the chain. v) The similarity transformation which yields J = Q1AQ is given by Q = [u1, . . . , uk, . . .].

A.10 Matrix exponentials

Let A 2Mn(K). The exponential of A is defined by eA = X1
n=0

An n! (A.3) We have eA 2 Mn(K). Also

n!An

1 n!

|||A|||n, so that the series

1

n!An

is absolutely convergent in Mn(K). Thus eA is well defined. Property A.10.1. Let A,B 2Mn(K). Then i)

eA

e|||A|||.

ii) If A and B commute ( i.e., AB = BA), then eA+B = eAeB. iii) eA = I + P1

n=1 1 n!An.

iv) e0 = I. v) eA is invertible with inverse eA. vi) eAt is differentiable, and d dteAt = AeAt. vii) If P and T are linear transformations on Kn, and S = PTP1, then eS = PeTP1. Proof. v) For any matrix A, we have A(A) = AA = (A)A, so A and A commute. Therefore, eAeA = eAA = e0 = I. Therefore, for any A, eA is invertible with inverse eA. There are several shortcuts to computing the exponential of a matrix A: 1) If A is nilpotent, that is, if there exists q 2 N such that Aq = 0, then eA = Pq k=1 Ak/k!. A nilpotent matrix has several interesting properties. A is nilpotent if and only if all its eigenvalues are zero. A nilpotent matrix has zero determinant and trace. 2) If A is such that there exists q 2 N such that Aq = A, then this can sometimes be exploited to simplify the computation of eA. 3) Any matrix A can be written in the form A = D+N, where D is diagonalizable, N is nilpotent, and D and N commute. Therefore, eA = eD+N = eDeN. 4) Other cases require the use of the Jordan normal form (explained below). A.11. Matrix logarithms Fund. Theory ODE Lecture Notes J. Arino 97 Use of the Jordan form to compute the exponential of a matrix. Suppose that J = P1AP is the Jordan form of the matrix A. For a block diagonal matrix B= 0 B@ B1 0 ... 0 Bs 1 CA , we have, for k = 0, 1, . . ., Bk = 0 B@ Bk 10 ... 0 Bk
s

1 CA , Therefore, for t 2 R, eJt = 0 B@ eJ0t 0 ... 0 eJst 1 CA , with eJ 0 = 0 B@ e1t 0 ... 0 ekt 1 CA . Now, since Ji = k+iIi+Ni, with Ni a nilpotent matrix, and since Ii and Ni commute, there holds eJit = ek+iteNit. For k Ni, Nk i = 0, so etJi = 0 BBB@ 1 t tni1
(ni1)! (ni2)!

01 01 1 CCCA .

tni2

A.11 Matrix logarithms

Theorem A.11.1. Suppose that M is a nonsingular n n matrix. Then there is an n n matrix B (possibly complex), such that eB = M. If, additionally, M 2 Mn(R), then there is B 2Mn(R) such that eB = M2. Let u 2 C, we have, for |u| < 1, 1 1+u = 1 u + u2 u3 + 98 Fund. Theory ODE Lecture Notes J. Arino

A. Definitions and results and, for |u| < 1, ln(1 + u) = t t2 2 + t3 3 t4 4 + = X1

k=1

(1)k+1 tk k For any z 2 C, exp(z) = 1 + z + z2 2! + z3 3! + = X1

n=1

zn n! Therefore, for |u| < 1, u 2 C, 1 + u = exp(ln(1 + u)) = X1

n=1

1 n! " X1

k=1

(1)k+1 uk k #n Suppose that B = (ln )I + X1

k=1

(1)k+1 k 1 kZk where Z=

2 6664 010 ...... 001 00 3 7775 is an m m-matrix. Since Z is nilpotent (ZN = 0 for all N m), the above sum is finite. Observe that exp(B) = exp((ln )I) exp X1
k=1

(1)k+1 k 1 kZk ! = exp X1

k=1

(1)k+1 k Z
k

! = I+ Z =I+Z =J We say ln J = B. A.12. Spectral theorems Fund. Theory ODE Lecture Notes J. Arino 99

A.12 Spectral theorems

When studying systems of differential equations, it is very important to be able to compute the eigenvalues of a matrix, for instance in order to study the local asymptotic stability of an equilibrium point. This can be a very difficult problem, that often becomes intractable even for systems with low dimensionality. However, even if it is not possible to compute an

explicit solution, it is often possible to use spectrum localization theorems. We here give two of the most famous ones: the Routh-Hurwitz criterion, and the Gershgorin theorem. Let A be a n n matrix, denote its elements by (aij). The set of all eigenvalues of A is called its spectrum, and is denoted Sp(A). Theorem A.12.1 (Routh-Hurwitz). If n = 2, suppose that detA > 0 and trA < 0. Then A has only eigenvalues with negative real part. Theorem A.12.2 (Gershgorin). Let Rj = Xn
i=1,i6=j

|aij | Let 2 Sp(A). Then 2 [

j

{| ajj | Rj} Gershgorins theorem is extremely helpful in certain cases. Suppose that A is stictly diagonally dominant, i.e., |aii| > Pn i=1,i6=j |aij |. Then A has no eigenvalues with zero real part. Also, the number of eigenvalues with negative real part is equal to the number of negative entries on the diagonal of A, and conversely for eigenvalues with positive real parts and the number of positive entries on the diagonal of A.

Appendix B Problem sheets

Contents
Homework sheet 1 2003 . . . . . . . . . . . . . . . . . . . . . . . . . . 103 Homework sheet 2 2003 . . . . . . . . . . . . . . . . . . . . . . . . . . 113 Homework sheet 3 2003 . . . . . . . . . . . . . . . . . . . . . . . . . . 117 Homework sheet 4 2003 . . . . . . . . . . . . . . . . . . . . . . . . . . 125 Final examination 2003 . . . . . . . . . . . . . . . . . . . . . . . . . . 137 Homework sheet 1 2006 . . . . . . . . . . . . . . . . . . . . . . . . . . 145

101 Fund. Theory ODE Lecture Notes J. Arino 103

McMaster University Math4G03/6G03 Fall 2003 Homework Sheet 1

Exercise 1.1 We consider here the equation
x0(t) = x(t) + f(x(t)) (B.1)

where 2 R is constant and f is continuous on R. i) Show that x is a solution of (B.1) on R+ if, and only if, 8< : x is continuous on R+ and x(t) = etx(0) + et Rt 0 esf(x(s))ds 8t 2 R+ (B.2) Suppose now that > 0 and that f is such that 9a, k 2 R, a > 0, 0 < k < : 8u 2 R, |u| a ) |f(u)| k|u| (B.3) Part I. Suppose that there exists a solution x of (B.1), defined on R+ and satisfying the inequality |x(t)| a, t 2 R+ (B.4) i) Prove the inequality |x(t)| |x(0)|e(k)t, t 2 R+ [Hint: Use Gronwalls lemma with the function g(t) = et|x(t)|]. ii) Deduce that x admits the limit 0 as t ! 1. Part II. i) Show that any solution of (B.1) on R+ that satisfies |x(0)| < a, satisfies (B.4). ii) Deduce from the preceding questions the two following properties. a) Any solution x of (B.1) on R+ satisfying the condition |x(0)| < a, admits the limit 0 when t ! 1. b) The function x 0 is the unique solution of (B.1) on R+ such that x(0) = 0. Part III. Application. Show that, for > 1, all solutions of the equation x0 = x + ln 1 + x2 tend to zero when t ! 1. 104 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets Exercise 1.2 Let f : [0,+1) ! R, f 2 C1, and a 2 R. We consider the initial value problems x0(t) + ax(t) = f(t), t 0 x(0) = 0 (B.5) and x0(t) + ax(t) = f0(t), t 0 x(0) = 0 (B.6) As these equations are linear, the initial value problems (B.5) and (B.6) admit unique solutions. We denote the solution to (B.5) and the solution to (B.6). Find a necessary and sufficient condition on f such that 0 = . [Hint: Use a variation of constants formula]. Exercise 1.3 Let f : Rn ! Rn be continuous. Consider the differential equation

x0(t) = f(x(t)) (B.7) i) Let x be a solution of (B.7) defined on a bounded interval [0, ), with > 0. Suppose that t 7! f(x(t)) is bounded on [0, ). a) Consider the sequence z,n = x( 1 n ), n 2 N Show that (z,n)n2N is a Cauchy sequence. b) Deduce that there exists x 2 Rn such that, kx(t) xk M|t | with M = supt2[0,) kf(x(t))k. c) Show that x admits a finite limit when t ! , t < . ii) Show that there exists an extension of x that is a solution of (B.7) on the interval [0, ]. Fund. Theory ODE Lecture Notes J. Arino 105

McMaster University Math4G03/6G03 Fall 2003 Homework Sheet 1 Solutions

Solution Exercise 1 1) Let us first show that x solution of (B.1) implies
(B.2). If x is a solution of (B.1) on R+, then x is differentiable on R+, and so x is continuous on R+. Furthermore, x0(s) = x(s) + f(x(s)), for all s 2 R+ , esx0(s) = es + esf(x(s)) ) Zt
0

esx0(s)ds = Zt
0

esx(s)ds + Zt
0

esf(x(s))ds [esx(s)]t 0 Zt
0

esx(s)ds = Zt
0

esx(s)ds + Zt
0

esf(x(s))ds etx(t) x(0) =

Z
0

esf(x(s))ds, for all t 2 R+ x(t) = etx(0) + et Zt

0

esf(x(s))ds, for all t 2 R+ Let us now prove the converse, i.e., that if a function x satisfies (B.2), then it is a solution to the IVP (B.1). Since x and f are continuous on R+, t 7! etf(x(t)) is continuous on R+. This implies that t 7! Zt
0

esf(x(s))ds is differentiable on R+, and, differentiating the expression for x(t) as given in (B.2), x0(t) = etx(0) et Zt
0

esf(x(s))ds + etetf(x(t)) ) x0(t) = etx(0) + et Zt

0

esf(x(s))ds | {z }
x(t)

+f(x(t)) And thus x0(t) = x(t) + f(x(t)) which implies that x is a solution to (B.1). Part I. We now assume that (B.3) is also satisfied, and that there exists a solution x on R+ satisfying (B.4). 1) If x is a solution of (B.1), then x(t) = etx(0) + et Zt
0

esf(x(s))ds 106 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets This implies that |x(t)| et|x(0)| + et Zt
0

es|f(x(s))|ds From (B.3) and multiplying both sides by et, et|x(t)| |x(0)| + Zt
0

kes|x(s)|ds We use Gronwalls Lemma (Lemma A.2) as follows, et|x(t)| | {z }

g(t)

|x(0)| | {z }

K(t)

+ Zt
0

|{kz}
L(t)

es|x(s)| | {z }
g(s)

ds Thus, et|x(t)| |x(0)| exp Zt

0

kds |x(0)|ekt and so finally, for all t 2 R+, we have |x(t)| |x(0)|et(k) = |x(0)|e(k)t 2) From (B.3), 0 < k < , hence k > 0, which implies, together with the result of the previous question, that limt!1 x(t) = 0. Part II. 1) Let us suppose that x is a solution of (B.1) that is such that |x(0)| < 0. Let A = {t : |x(t)| a}. Let us show that A = [0,+1). First of all, notice that |x(0)| < a and x continuous on R+ implies that there exists t0 2 R+{0} such that, for all t 2 [0, t0], |x(t)| a. Indeed, suppose this were not the case. Then, for all " > 0, there exists t" 2 [0, "] such that |x(t")| > a. This means that for all n 2 N{0}, there exists un 2 [0, 1 n] such that |x(un)| > a. As un ! 0 as n ! 1 and that x is continuous, |x(0)| a, since taking the limit implies that strict inequalities become loose. This is a contradiction with |x(0)| < a. Thus [0, t0] A. Let us now show that for all t1 2 A, [0, t1] A, i.e., A is an interval. First, if t1 t0 then [0, t1] [0, t0] A. Secondly, in the case t1 > t0, suppose that [0, t1] 6 A. This means that 9 2 [0, t1] such that 62 A. More precisely, 9 2 (t0, t1) such that 62 A, since [0, t0] A and t1 2 A. Let be the smallest such , that is, = inf{t 2 (t0, t1); t 62 A}. Note that can also be defined as = sup{t 2 (t0, t1); t 2 A}. Thus = inf{t 2 (t0, t1); |x(t)| > a} = sup{t 2 (t0, t1); |x(t)| < a} Since x is continuous, this implies that |x()| a and |x()| a, hence x() = a. But, with its sup definition, this implies that = t1, whereas with its inf definition, this

implies that < t1. Fund. Theory ODE Lecture Notes J. Arino 107 Hence A is an interval. We now want to show that it is an unbounded interval. Assume it is bounded, hence let c = sup(A) < 1. Since x is continuous, A = {t 0, |x(t)| a} implies that c 2 A. Thus A = [0, c]. Therefore, for all t 2 [0, c], |x(t)| a so, by Part I, 1), |x(t)| |x(0)|e(k)t ) |x(t)| |x(0)| < a ) |x(c)| < a Since x is continuous on R+, there exists t > c such that |x(t)| a, and thus there exists t > c such that t 2 A, which is a contradiction. Therefore, A = [0,1), and we can conclude that 8t 2 R+, |x(t)| a. Another proof, contributed by Guihong Fan, proceeds by contradiction, using the fact the (B.1) is an autonomous scalar equation. Notice that equation (B.1) can be written in the form x0 = g(x), with g(u) = u + f(u). Thus, since this mapping is continuous, we can apply Theorem 1.1.8 on the monotonicity of the solutions to an autonomous scalar differential equation. Assume that x(t) is a solution of (B.1) on R+ that satisfies | x(0)| < a, but that (B.4) is violated. Then, since the solution x(t) is monotone, there exists t0 2 R+ such that one of the following holds. i) x(t0) = a and x0(t0) > 0, ii) x(t0) = a and x0(t0) < 0. Let us treat case i). From (B.3), it follows that |f(x(t0))| = |f(a)| ka. Therefore, using (B.1), x0(t0) = x(t0) + f(x(t0)) = a + f(a) a + ka ( k)a <0 since > k. This is a contradiction with x0(t0) > 0. Case ii) is treated similarly, and thus it follows that (B.4) holds for all t 2 R+. 2 a) If |x(0)| < a, then we have just proved that for all t 2 R+, |x(t)| a. From Part I, 1), this implies that |x(t)| |x(0)|e(k)t. Therefore, since > k, limt!1 x(t) = 0. 2 b) To show that x 0 is the only solution of (B.1) such that x(0) = 0, we first show that x 0 is a solution of (B.1). Condition (B.3) applied to 0 states that |0| < a

implies |f(0)| k|0| = 0. 108 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets Uniqueness: let be a solution of (B.1) such that (0) = 0. This implies that |(0) < a, and as a consequence, it follows from Part I, 1) that for all t 2 R+, |(t)| |(0)|e( k)t, hence for all t 2 R+, (t) = 0. Part III. All solutions of the nonlinear equation x0 = x + ln(1 + x2) tend to zero as t ! 1, when > 1. Indeed, let f(u) = ln(1 + u2). We have |f0(u)| = 2|u| 1 + u2 1 since (u1)2 = u2 +12u 0 (and hence 2u/(1+u2) 1). Then, |f(u)f(0)| |u0| implies that |f(u)| |u|, for all u 2 R. We thus have k = 1 < , the hypotheses of the exercise are satisfied and all solutions of the equation tend to zero. Solution Exercise 2 Using a variation of constants formula, we obtain (t) = eatc1 + Zt
0

ea(ts)f(s)ds, t 0 and (t) = eatc2 + Zt

0

ea(ts)f0(s)ds, t 0 Let us show this for the solution of (B.5), the solution of (B.6) is obtained using exactly the same method. The solution to a linear differential equation consists of the general solution to the homogeneous equation together with a particular solution to the nonhomogeneous equation. Here, the homogeneous equation is x0 = ax and basic integration yields the general solution x(t) = c1eat. To obtain a particular solution to the nonhomogeneous equatiob (B.5), we use a variation of constants formula: assume that the constant in the solution x(t) = ceat is a function of time, hence x(t) = c(t)eat Taking the derivative of this expression, we obtain x0 = c0eat aceat Substituting both this expression and x = ceat into (B.5), we get c0eat aceat + aceat = f(t), t 0 and hence c0 = eatf(t) Integrating both sides of this expression gives

c(t) = Zt
0

easf(s)ds Fund. Theory ODE Lecture Notes J. Arino 109 so that a particular solution to (B.5) is given by x(t) = c(t)eat = Zt
0

easf(s)ds eat = Zt
0

ea(ts)f(s)ds Summing the general solution to the homogeneous equation with this last expression gives the desired result. Using the initial conditions yields (0) = c1 = 0 (0) = c2 = 0 Hence the system under consideration is (t) = Zt
0

ea(ts)f(s)ds, t 0 (t) = Zt
0

ea(ts)f0(s)ds, t 0 Recall that if g(t) = Rt

t0

h(s, t)ds, then for all t0, g0(t) = h(t, t) + Zt

t0

@h @t (s, t)ds This implies that 0(t) = f(t) a Zt

0

ea(ts)f(s)ds It follows that 0(t) = (t) , f(t) a Zt

0

ea(ts)f(s)ds = Zt
0

ea(ts)f0(s)ds , f(t) a

Z
0

ea(ts)f(s)ds = ea(ts)f(s)
s=t s=0

a Zt
0

ea(ts)f(s)ds , f(t) = ea(ts)f(s)

s=t s=0

, f(t) = f(t) eatf(0) , f(0) = 0

Solution Exercise 3 1 a) For a vector-valued function, there is no

mean value theorem with an equal sign. But the following holds (see, e.g., [3, p. 44], [9, p. 209] or Rudin, p.113). 110 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets Theorem B.1.3. Let f : [a, b] ! F be a continuous mapping, with F a Banach space. Suppose that f admits a right derivative f0 r (x) for all x 2 (a, b), and that kf0 r(x)k k, where k 0 is a constant. Then kf(b) f(a)k k(b a) and more generally, for all x1, x2 2 [a, b], kf(x2) f(x1)k k|x2 x1| Let us denote M = supt2[0,) kf(t, x)k, and let n, p > N, where N is sufficiently large that 1 n+p 2 [0, ) and 1 n 2 [0, ). Using Theorem B.1.3, we obtain that kx( 1 n+p ) x( 1 n )k M| 1 n 1 n+p

| kz,n+p z,nk M| 1 n 1 n+p | So the sequence (z,n)n2N is a Cauchy sequence. 1 b) For all t 2 [0, ), kx(t) x( 1 n )k Z

t
1

kf(x(s))kds kx(t) z,nk M|t + 1 n | (B.8) Since the sequence (z,n)n2N is a Cauchy sequence, there exists x = limn!1(z,n). Thus taking n ! 1 in (B.8) gives kx(t) xk M|t | 1 c) According to 1.b), we have lim
t!,t<

kx(t) xk 0 Hence lim

t!,t<

x(t) = x 2) Let z(t) = x(t) if t 2 [0, ) x if t = Let us show that z is a solution of (B.7) on [0, ] if z is continuous on [0, ] and satisfies the integral equation z(t) = z(t0) + Zt
t0

f(z(s))ds for all t 2 [0, ], and with an arbitrary t0 2 [0, ]. We know by construction that z is continuous (since limt!1 x(t) = x). Fund. Theory ODE Lecture Notes J. Arino 111 Let t 2 [0, ),

z(t) = x(t) = x(t0) + Zt

t0

f(x(s))ds because x is a solution. For t = , z() = x = lim

t!,t<

x(t) = lim
t!,t<

x(t0) + Zt
t0

f(x(s))ds = lim
t!,t<

z(t0) + Zt
t0

f(z(s))ds since for t < , we have z(t) = x(t). Furthermore, t 7! f(z(t)) is bounded on [0, ), which implies that Z
t0 t!

f(z(s))ds = lim Z
t0 t

f(z(s))ds So z() = z(t0) + Z

t0

f(z(s))ds So z is solution to (B.7) on [0, ]. Fund. Theory ODE Lecture Notes J. Arino 113

McMaster University Math4G03/6G03 Fall 2003 Homework Sheet 2

Exercise 2.1 Consider the system
x1 x2
0

= ab cd x1

x2 where a, b, c, d 2 R are constants such that ad bc = 0. Discuss all possible behaviours of the solutions and sketch the corresponding phase plane trajectories. Exercise 2.2 Let A be a constant n n matrix. i) Show that |eA| e|A|. ii) Show that det eA = etrA. iii) How should be chosen so that lim
t!1

eteAt = 0.

Exercise 2.3 Let X(t) be a fundamental matrix for the system x0 = A(t)x,
where A(t) is an nn matrix with continuous entries on R. What conditions on A(t) and C guarantee that CX(t) is a fundamental matrix, where C is a constant matrix. Exercise 2.4 Consider the system x0 = A(t)x (B.9) where A(t) is a continuous n n matrix on R, and A(t + !) = A(t), ! > 0. i) Show that P(!), the set of !-periodic solutions of (B.9), is a vector space. ii) Let f be a continuous n 1 matrix function on R with f(t + !) = f(t). Show that, for the system x0 = A(t)x + f(t) (B.10) the following conditions are equivalent. a) System (B.10) has a unique !-periodic solution, b) [X1(!) X1(0)] is nonsingular, c) dimP(!) = 0. 114 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets

McMaster University Math4G03/6G03 Fall 2003 Homework Sheet 2 Solutions

Solution Exercise 1 The characteristic polynomial of the matrix
A= ab cd is (a )(d ) bc = 2 (a + d) + ad bc = 2 (a + d) since ad bc = 0. Thus A has the eigenvalues 0 and a + d. Hence solutions are of the form x1 = c 1 x2 = c2e(a+d)t with c1, c2 2 R, and there are three possibilities. If a + d < 0, then all points on the x1 axis are equilibria, and all trajectories in (x1, x2)-space go to them parallely to the x2 axis.

 If a + d = 0, then all points are equilibria. If a + d > 0, then the x1 axis is invariant and any solution that does not start on the x1 axis diverges to 1 parallely to the x2 axis.

Solution Exercise 2 1) We have eA =

P1 Ak/k!. Taking the norm, keAk = k X1
k=0 k=0

Ak/k!k, whence, by the triangle inequality, keAk P1 k=0 kAk/k!k = ekAk. 2) Let J be the Jordan form of A, i.e., there exists P nonsingular such that P1AP = J, where J has the form diag(Bj)j=1,...,p, with Bj the Jordan block corresponding to the eigenvalue j of multiplicity mj . Then, since A and J are similar, det eA = det eJ = det(eB1)m1 . . . det(eBp)mp = e1m1 epmp = exp( Xp
k=1 kmk)

= trA Fund. Theory ODE Lecture Notes J. Arino 115 3) We can write lim
t!1 t!1

eteAt = lim e(AI)t Let Sp (A) be the spectrum of A, i.e., the set of eigenvalues of A. Then, if 2 Sp (A), 2 Sp (A I). We have limt!1 e(AI)t = 0 if, and only if, <() < 0 for all 2 Sp (A I), i.e., <( + ) < 0 for all 2 Sp (A), i.e., <() < for all 2 Sp (A). Hence, choosing greater than the eigenvalue of A with maximal real part ensures that limt!1 e(AI)t = 0. Solution Exercise 3 We have (CX(t))0 = CX0(t) = CA(t)X(t) For CX(t) to be a fundamental matrix for x0 = A(t)x requires that (CX(t))0 = A(t) (CX(t)). So C and A(t) must commute. Also, a fundamental matrix must be nonsingular. As X(t) is a fundamental matrix, it is nonsingular. Thus C must be nonsingular for CX(t) to be

a fundamental matrix. So, to conclude, if X(t) is a fundamental matrix for the system x0 = A(t)x, then CX(t) is a fundamental matrix for x0 = A(t)x if C is nonsingular and commutes with A(t). Solution Exercise 4 1) For x 2 Rn, x 2 P(!) if it satisfies (B.9). Let x1, x2 2 Rn and 1, 2 2 R. Then, as Rn is a vector space, 1x1 + 2x2 2 Rn. Now assume that, moreover, x1, x2 2 P(!). Then, ( 1 x1 + 2 x2 ) 0 = 1 x0 1 + 2 x0
2

= 1A(t)x1 + 2A(t)x2 = A(t)(1x1 + 2x2) and therefore, 1x1 + 2x2 2 P(!), and P(!) is a vector space. 2) There were of course several approaches to this problem. The simplest one required the use of Theorem B.2.4, stated and proved later. c) ) b) Let V be the nonsingular matrix such that X(t + !) = X(t)V , that we know to exist from Theorem 2.4.2. Then X1(t + !) = V 1X1(t), and X1(t + !) X1(t) = (V 1 I)X1(t). Suppose that dimP(!) = 0. Then 1 is not an eigenvalue of V . This implies that 1 is neither an eigenvalue of V 1; in turn, 0 is not an eigenvalue of V 1 I. This means that V 1I is nonsingular, and since X(t) is nonsingular, (V 1I)X1(t) is nonsingular. Thus we conclude that if dimP(!) = 0, then (X1(t + !) X1(t)) is nonsingular. b) ) c) The previous argument works the other way as well. c) ) a) Suppose dimP(!) = 0 and that x1, x2 are two solutions to (B.10). Then x0 1 = A(t)x1 + f(t) and x0 2 = A(t)x2 + f(t). Therefore, (x1 x2)0 = A(t)x1 + f(t) A(t)x2 f(t) = A(t)(x1 x2) 116 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets which implies that x1x2 is a solution to (B.9), and therefore, dimP(!) 6= 0, a contradiction. Thus the solution to (B.10) is unique. a) ) c) Let x be the unique !-periodic solution of (B.10), and assume that dimP(!) 6= 0, i.e., there exists y, non trivial !-periodic solution to (B.9). Then (x + y)0 = A(t)x + f(t) + A(t)y = A(t)(x + y) + f(t) and so x + y is a solution to (B.10), which is a contradiction since x is the unique solution to (B.10). Theorem B.2.4. Consider the system x0 = A(t)x where A(t) has continuous entries on R and is such that A(t + !) = A(t) for some

! 2 R. Then 1 is an eigenvalue of A(t). Proof. For some constant vector c 6= 0, we have x(t) = X(t)c. Also, because of periodicity, x(t + !) = X(t + !)c. As x is periodic of period !, x(t) = x(t + !), so that, using the previously obtained forms, X(t)c = X(t + !)c X(t)c = X(t)V c c=Vc Hence c is an eigenvector of V with corresponding eigenvalue (Floquet multiplier) = 1. Fund. Theory ODE Lecture Notes J. Arino 117

McMaster University Math4G03/6G03 Fall 2003 Homework Sheet 3

Exercise 3.1 Compute the solution of the differential equation
x0(t) = x(t) y(t) t2 y0(t) = x(t) + 3y(t) + 2t (B.11)

Exercise 3.2 Consider the initial value problem

x0(t) = A(t)x(t) x(t0) = x0 (B.12) We have seen that the solution of this initial value problem is given by x(t) = R(t, t0)x0 where R(t, t0) is the resolvent matrix of the system. Suppose that we are in the case where the following condition holds 8t, s 2 I, A(t)A(s) = A(s)A(t) (B.13) with I R. i) Show that M(t) = exp Rt
t0

A(s)ds is a solution of the matrix initial value problem M0(t) = A(t)M(t) M(t0) = In where In is the n n identity matrix. [Hint: Use the formal definition of a derivative, i.e., M0(t) = limh!0(M(t + h) M(t))/h] ii) Deduce that, when (B.13) holds, R(t, t0) = exp Zt
t0

A(s)ds iii) Deduce the following theorem. Theorem B.3.5. Let U, V be constant matrices that commute, and suppose that

A(t) = f(t)U + g(t)V for scalar functions f, g. Then R(t, t0) = exp Zt
t0

f(s)dsU exp Zt
t0

g(s)dsV (B.14) 118 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets

Exercise 3.3 Find the resolvent matrix associated to the matrix

A(t) = a(t) b(t) b(t) a(t) (B.15) where a, b are continuous functions on R. Exercise 3.4 Consider the linear system x0 = 1 t x + ty y0 = y (B.16) with initial condition x(t0) = x0, y(t0) = y0. i) Solve the initial value problem (B.16). ii) Deduce the formula for the principal solution matrix R(t, t0). iii) Show that in this case, R(t, t0) 6= exp Zt
t0

A(s)ds with A(t) =

1

t 01
t

Fund. Theory ODE Lecture Notes J. Arino 119

McMaster University 4G03/6G03

Fall 2003 Solutions Homework Sheet 3

Solution Exercise 3.1 Let (t) = (x(t), y(t))T ,
A= 1 1 13 and B(t) = (t2, 2t)T . The system (B.11) can then be written as 0 = A + B(t) This is a nonhomogeneous linear system, so we use the variation of constants, (t) = e(tt0)A0 + Zt
t0

e(ts)AB(s)ds where 0 = (t0). Let us assume for simplicity that t0 = 0. Eigenvalues of A are ( 2)2, with associated subspace ker(A 2I) = x y ; 1 1 11 x y = 0 0 = x y ;x+y=0 Thus dim ker(A 2I) = 1 6= 2, and A is not diagonalisable. Let us compute the Jordan canonical form of A. There exists P nonsingular such that P1AP = 2 02 where is a constant that has to be determined.

P1AP = 21 02 P= 1 1 1 0 , P1 = 0 1 1 1 Then eAt = Pe(P1AP)tP1 with e(P1AP)t = eP1(At)P 120 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets We have P1AP = 2I + N, where 01 00 Therefore, e(P1AP)t = e(2It+Nt) = e2teNt. P Now, N is nilpotent (N2 = 0), so eNt =
n=0 tn n!Nn 1

= I + Nt. As a consequence, e(P1AP)t = e2t(I + Nt) = e2t 10 01 + 01 00 = e2t te2t 0 e2t Thus eAt = P e2t te2t 0 e2t

P1 = (1 t)e2t te2t te2t (1 + t)e2t = e2t 1 t t t1+t We still have to compute Rt 0 eAsB(s)ds. We have eAsB(s) = e2s 1+ss s 1 s s2 2s = e2s s3 s2 + 2s2 s3 + 2s 2s2 = e2s s2 s3 s3 2s2 + 2s Let I1(t) = Rt 0 e2ssds, I2(t) = Rt 0 e2ss2ds and I3(t) = Rt 0 e2ss3ds. Then Zt
0

eAsB(s)ds = I1(t) I3(t) I3(t) 2I2(t) + 2I1(t) Evaluating the integrals, we obtain Zt
0

eAsB(s)ds = e2t

1 4 t2 + 1 4t + 1 8+ 1 2 t3
8 1

e2t 1 4 t2 3 4t 3 8 1 2 t3 +
8 3

As a conclusion, (t) = e2t 1 t t t1+t

0

1 t t t1+t e2t 1 4 t2 + 1 4t + 1 8+ 1 2 t3
8 1

e2t 1 4 t2 3 4t 3 8 1 2 t3 +
8 3

= e2tx0 e2ttx0 e2tty0 + 2e2tt + 1 8e2t 1

1

t 4+ 3 4e2tt2 e2ttx0 + e2ty0 + e2tty0 4e2tt2 e2tt + t 4 3 8e2t + 3

8 8

is the solution of (B.11) going through (x0, y0) at time 0. Fund. Theory ODE Lecture Notes J. Arino 121 Solution Exercise 3.2 1) We have 1 h (M(t + h) M(t)) = 1 h exp Z t+h
t0

A(s)ds exp Zt
t0

A(s)ds Since, for all s1, s2 2 I, A(s1)A(s2) = A(s2)A(s1), we have Z s1

t0

A(u)du Z s2
t0

A(u)du = Z s2
t0

A(u)du Z s1
t0

A(u)du It follows that 1 h (M(t + h) M(t)) = 1 h exp Z t+h

A(s)ds exp Zt
t0

A(s)ds exp Zt
t0

A(s)ds = 1 h M(t) exp Z t+h

t

A(s)ds I = 1 h exp Z t+h

t

A(s)ds 1 h I M(t) The second term in this equality tends to zero as h ! 0, and thus lim
h!0

1 h (M(t + h) M(t)) = A(t)M(t) therefore M0(t) = A(t)M(t), hence the result. 2) The implication is trivial. 3) If U and V commute and that A(t) = Uf(t) + V g(t), then A(s)A(t) = (Uf(s) + V g(s))(Uf(t) + V g(t)) = U2f(s)f(t) + UV f(s)g(t) + V Ug(s)f(t) + V 2g(s)g(t) = U2f(t)f(s) + V Ug(t)f(s) + UV f(t)g(s) + V 2g(t)g(s) = (Uf(t) + V g(t))Uf(s) + (Uf(t) + V g(t))V g(s) = (Uf(t) + V g(t))(Uf(s) + V g(s))

that is, A(s) and A(t) commute for all t, s. Then R(t, t0) = exp Zt
t0

A(s)ds = exp Zt
t0

Uf(s) + V g(s)ds = exp Zt

t0

f(s)dsU + Zt
t0

g(s)dsV = exp Zt
t0

f(s)dsU exp Zt
t0

g(s)dsV 122 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets Solution Exercise 3.3 Writing A(t) = a(t) 10 01 + b(t) 0 1 10 = a(t)I + b(t)V, it is obvious the Theorem B.3.5 can be used here, since I commutes with all matrices. Thus, R(t, t0) = exp Zt
t0

a(s)dsI exp Zt

t0

b(s)dsV Let (t) = Rt

t0

a(s)ds and (t) = Rt

t0

b(s)ds. Then R(t, t0) = e(t)Ie(t)V = e(t)Ie(t)V . Now notice that V 2 = I, V 3 = V , etc., so that we can write that V n= (1)pI if n = 2p, (1)pV if n = 2p + 1. This implies that e(t)V = X1
n=0

1 n! (t)nV = X1
p=0

(1)p (2p)! (t)2p ! I+ X1

p=0

(1)p (2p + 1)! (t)2p+1 ! V = cos((t))I + sin((t))V Thus R(t, t0) = e(t)(cos((t))I + sin((t))V ) = e(t) cos((t)) e(t) sin((t)) e(t) sin((t)) e(t) cos((t))

Solution Exercise 3.4 1) Notice that the y0 equation in (B.16) does not
involve x. Therefore, we can solve it directly, giving y(t) = Cet, with C 2 R. Substituting this into the equation for x0, we have

x0 = 1 t x(t) + tCet To solve this nonhomogeneous first-order scalar equation, we start by solving the homogeneous part, x0 = x/t. This equation is separable, giving the solution x(t) = Kt, for K 2 R. Now we use a variation of constants approach to find a particular solution to the nonhomogeneous problem. We use the ansatz x(t) = K(t)t, which, when differentiated and substituted into the nonhomogeneous equation, gives K0(t) = Cet, and hence, K(t) = Cet is a particular solution, giving the general solution x(t) = Kt + Cet. Fund. Theory ODE Lecture Notes J. Arino 123 Let t0 6= 0 (to avoid problems with 1/t), and suppose x(t0) = x0, y(t0) = y0. Then x0 = Kt0 + Ct0et0 and y0 = Cet0 . It follows that K = x0/t0 y0 and C = et0y0, and the solution to the equation going through the point (x0, y0) at time t0 is given by (t) = x(t) y(t) = (
t0 x0

y0)t + et0y0tet et0y0et =

x0 t0

t + y0t(ett0 1) y0ett0 . 2) The solution to the IVP 0 = A(t) (t0) = 0 is given by (t) = R(t, t0)0. Thus, the resolvent matrix (or principal solution matrix) for (B.16) is given by R(t, t0) =
t t0

t + tett0 0 ett0 3) First of all, notice that A(t) R and A(s) do not commute. Let us compute B(t) =t

t0

A(s)ds. B(t) = Rt
t0 1 sds

R
t0

sds 0 Rt
t0

ds ! = ln
t0 1 2 t

(t2 t20) 0 t t0 which, for convenience, we denote B(t) = 0 Eigenvalues of B(t) are and . As R(t0, t0) = B(t0) = I, we are concerned with finding a t 6= t0 such that B(t) is diagonalizable. If a t exists such that 6= , then B(t) is diagonalizable, i.e., there exists P nonsingular such that P1B(t)P = D = 0 0 Then eB(t) = P e0 0e P1 We find P= 1 0 , P1 = 1

 01 124 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets Thus, after a few computations, eB(t) = e (e e) 0e =
t t0

0 ett0 The element in this matrix is the only one different from the elements in R(t, t0). We have = t2 t20 2(t t0 ln t
t0

ett0 t t0 6= t(ett0 1) Fund. Theory ODE Lecture Notes J. Arino 125

McMaster University Math4G03/6G03 Fall 2003 Homework Sheet 4

Exercise 3.1 A differential equation of the form
x0 = f(t, x(t), x(t !)) (B.17) for ! > 0, is called a delay differential equation (or also a differential difference equation, or an equation with deviating argument), and ! is called the delay. The basic initial value problem for (B.17) takes the form x0 = f(t, x(t), x(t !)) x(t) = 0(t), t0 ! t t0 (B.18) i) Use the method of steps to construct the solution to (B.18) on the interval [t0, t0 + !],

that is, find how to construct the solution to the non delayed problem x0 = f(t, x(t), 0(t !)) x(t0) = 0(t0), t0 t t0 + ! (B.19) ii) Discuss existence and uniqueness of the solution on the interval [t0, t0 + !], depending on the nature of 0 and f. iii) Suppose that 0 2 C0([t0 !, t0]). Discuss the regularity of the solution to (B.18) on the interval [t0 + k!, t0 + (k + 1)!], k 2 N.

Exercise 3.2 Consider the delay initial value problem

x0(t) = ax(t !) x(t) = C, t 2 [t0 !, t0] (B.20) with a,C 2 R, ! 2 R +. Using the ideas of the previous exercise, find the solution to (B.20) on the interval [t0 + k!, t0 + (k + 1)!], k 2 N. Exercise 3.3 Compute Ani and etAi for the following matrices. A1 = 01 10 , A2 = 11 01 , A3 = 0 @ 0 1 sin() 1 0 cos() sin() cos() 0 1 A. 126 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets Exercise 3.4 Compute etA for the matrix A= 0 @ 110 1 0 1 0 1 1 1 A.

Exercise 3.5 Let A 2 Mn(R) be a matrix (independent of t), k k be a norm

on Rn and |||||| the associated operator norm on Mn(R). i) a) Show that for all t 2 R and all k 2 N, there exists Ck(t) 0 such that,

e
t kA

I+ t k A

1 k2Ck(t). with limk!1 Ck(t) = t2 2 |||A2|||. b) Show that for all t 2 R and all k 2 N,

I+ t k A

e
|t| k

|||A|||.

c) Deduce that etA = lim

k!1

I+ t k A
k

. ii) Suppose now that A is symmetric and that its eigenvalues are > , with > 0. a) Show by induction that, for k 0, (I + A)(k+1) =

Z
0

et(I+A) tk k! dt. b) Deduce that for all u > 0,

(I + uA)k

M if, and only if,

etA

M, 8t > 0. c) Show that 8t > 0, etA 0 , 90, 8 > 0, (I + A)1 0 where by convention, for B = (bij) 2 Mn(R), writing that B 0 means that bij 0 for all i, j = 1, . . . , n. iii) Do the results of part 2) hold true if A is a nonsymmetric matrix? Fund. Theory ODE Lecture Notes J. Arino 127

McMaster University Math4G03/6G03 Fall 2003 Homework Sheet 4 Solutions

Solution Exercise 1 1) The proposed method consists in considering
(B.18) as a nondelayed IVP on the interval [t0, t0 + !]. Indeed, on this interval, we can consider (B.19). That the latter is a nondelayed problem is obvious if we rewrite the differential equation as x0(t) = g(t, x(t)) (B.21) with g(t, x(t)) = f(t, x(t), 0(t !)), which is well defined on the interval [t0, t0 + !] since for t 2 [t0, t0 + !], t ! 2 [!, 0], on which the function 0 is defined. We can then use the integral form to construct the solution on the interval [t0,

t0 + !], x(t) = x(t0) + Zt

t0

g(s, x(s))ds = 0(t0) + Zt

t0

f(s, x(s), 0(s !))ds 2) Obviously, the discussion to make is on the nature of the function f. As problem (B.19) is an ordinary differential equations initial value problem, existence and uniqueness of solutions on the interval [t0, t0 + !] follow the usual scheme. To discuss the required properties on f and 0, the best is to use (B.21). Recall that a vector field has to be continuous both in t and in x for solutions to exist. Thus to have existence of solutions to the equation (B.21), g must be continuous in t and x. This implies that f(t, x, 0(t !)) must be continuous in t, x. Thus 0 has to be continuous on [t0 !, t0]. Now, for uniqueness of solutions to (B.21), we need g to be Lipschitz in x, i.e., we require the same property from f. Note that this does not imply either 0 or the way f depends on 0. 3) Every successive integration raises the regularity of the solution: x is C1 on [t0, t0+!], C2 on [t0 + !, t0 + 2!], etc. Hence, x is Cn on [t0 + (n 1)!, t0 + n!]. Solution Exercise 2 We proceed as previously explained. We assume for simplicity that t0 = 0. To find the solution on the interval [0, !], we consider the nondelayed IVP x0 1 = ax0(t) x1(0) = C where x0(t) = C for t 2 [0, !]. The solution to this IVP is straightforward, x1(t) = C+aCt = C(1+at), defined on the interval [0, !]. To integrate on the second interval, we consider the IVP x0 2 = a[C(1 + at)] x2(!) = x1(!) = C + aC! 128 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets Hence we find the solution to the differential equation to be, on the interval [!, 2!], x2(t) = C

1 + at + 1 2 a2t2 1 2 a2!2 Iterating this process one more time with the IVP x0 3= a C 1 + at + 1 2 a2t2 1 2 a2!2 x3(2!) = x2(2!) = 3 2 a2C!2 + 2aC! + C we find, on the interval [2!, 3!], the solution x3(t) = C 1 + at + 1 2 a2t2 + 1 6 a3t3 1 2 ta3!2 1 3 a3!3 1 2 a2!2 We develop the intuition that the solution at step n (i.e., on the interval [(n 1)!, n!]) must take the form xn(t) = C Xn

k=0

ak (t (k 1)!)k k! (B.22) This can be proved by induction (we will not do it here). Solution Exercise 3 For matrix A1, we have A21 = I, A31 = A1, etc. Hence, A2n 1 = I and A2n+1 1 = A1, which implies eAt = X1
n=0

t2n (2n)! A2n 1+ X1

n=0

t2n+1 (2n + 1)! A2n+1

1

= X1
n=0

t2n (2n)! ! I+ X1
n=0

t2n+1 (2n + 1)! ! A1 = cosh tI + sinh tA = cosh t sinh t sinh t cosh t For matrix A2, remark that it can be written as A2 = I + N, where N= 01 00 is a nilpotent matrix. Thus A22 = (I+N)2 = I+2N +N2 = I+2N, A32

= (I+2N)(I+N) = I + 2N + N + 2N2 = I + 3N, and it is easily shown by induction that (I + N)n = I + nN. Fund. Theory ODE Lecture Notes J. Arino 129 It follows that eA2t = X1
n=0

tn n! ! I+ X1
n=0

ntn n! ! N = et I + t X1
n=0

tn1 (n 1)! ! N = etI + tetN = et 1t 01 Finally, for matrix A3, we have that A23 = 0 @ cos2 1 2 sin 2 cos 1 2 sin 2 sin2 sin cos sin 1 1 A and A33 = 0, i.e., A3 is nilpotent for the index 3. Therefore, eA3t = I + tA3 + 2 A23 . Solution Exercise 4 The Jordan canonical form of A is

t2

J= 0 @ 000 011 001 1 A Now, to compute eJ t, remark that J has the form 0 B@ 000 0 0 A1 1 CA where eA1t has been computed in Exercise 3. Hence, 0 B@ e0t 0 0 0 0 eA1t 1 CA = 0 @ 100 0 et tet 0 0 et 1 A We have J = P1AP, where P= 0 @ 1 1 2 1 0 1 1 1 1 1 A, P1 = 0 @ 111 0 1 1 101 1 A are the matrices of change of basis that transform A to its Jordan canonical form. Then

A = PJP1, and eAt = PeJtP1, i.e., eAt = 0 @ (2 t)et 1 et 1 (1 t)et 1 1 et 1 1 et 1 + (t 1)et 1 et1 + tet 1 A 130 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets

Solution Exercise 5 This exercise was far from trivial.

1a) Consider the map t 7! eAt R !Mn(R) We have (eAt)0 = AeAt and (eAt)(k) = AkeAt, where u(k) denotes the kth derivative of u. e
t

=I+ t k A+ t2 2k2A2 + t2 k2 "( t k ) Thus e

kA t kA

t k A= t2 2k2A2 + t2 k2 "( t k ) Therefore, taking the norm |||||| of this expression,

e
t kA

(I +

t k A)

1 k2 t2 2

A2

+ t2

"( t k )

= 1 k2Ck(t) We have lim

k!1

Ck(t) = t2 2

A2

Let Sk = P1
j=3 tj

|||A|||j . This series is uniformly convergent, which implies that we can change the order in the following limit,
kj2j!

lim
k!1

Sk = X1
j=3 k!1

lim tj kj2j! |||A|||j =0 1b) We have already seen (Exercise 2, Assignment 2) that

eA

e|||A|||. Therefore,

e
t kA

e
t k

|||A|||

But e
|t| k

|||A|||

X1
k=0

1 k! |t|k| kk |||A|||k =1+ |t| k |||A||| + |t|2| 2k2 |||A|||2 + which, since |t|2 2k2 |||A|||2 + 0, implies that

e
|t| k

|||A|||

1+

|t| k |||A||| = |||I||| +

t k A

I+ t k A

Fund. Theory ODE Lecture Notes J. Arino 131 (since |||I||| = supkvk1 kIV k = supkvk1 kvk = 1). 1c) We skip the scalar case, and consider the case n 2. We have eAt (I + t k A)k = (e
t kA

)k (I +

t k A)k = e
t kA

(I +

t k A) Xk1
j=0

(e
t kA

)k1j(I +

n A)j since for two matrices E, F 2 Mn(R) (or Mn(C)) that commute, En Fn = (E F) Pk1 j=0 Ek1jFj . Therefore,

eAt (I + t k A)k

e
t kA(I+ t kA)

Xk1
j=0

e
t(k1j) kA

(I + t k A)j

(B.23) Now, we have

e
t(k1j) kA

e
|t|(k1j) k

|||A|||.

Also,

(I + t k A)j

I+ t k A

e
|t| k

|||A||| j

=e
j|t| k

|||A|||

where the last inequality results from question 1b). Therefore,

eAt (I + t k A)k

1 k2Ck(t) Xk1
j=0
k

e|t| k1j
|||A|||e
j|t| k

|||A|||

= 1 k2Ck(t) Xk1
j=0
k

e|t| k1
|||A|||

= 1 k2Ck(t)ke|t| k1
k

|||A|||

= 1 k Ck(t)e|t| k1
k

|||A|||

We thus have eAt (I + t k A)k

1 k Ck(t)e|t| k1
k

|||A|||

1 k Dk(t) As k ! 1, Ck(t) ! t2 2 |||A2||| and e|t| k1

k

! e|t||||A|||. Therefore, limk!1 Dk(t) = t2 |||A2||| e|t||||A|||, which in turn implies that limk!1(I + t kA)k = eAt. 2a) We now suppose that A is a symmetric matrix. Recall that any symmetric matrix is diagonalizable, with real eigenvalues. Furthermore, there exists a matrix P
|||A||| 2

such that P1 = PT and that PTAP = diag(i), with i 2 Sp (A). We assume that the eigenvalues i, i = 1, . . . ,m, are such that i > , for > 0. We want to show by induction that the following holds. 8k 0, (I + A)(k+1) = Z1
0

e(I+A)t tk k! dt (B.24) 132 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets Suppose that k = 0. Equation (B.24) reads (I + A)1 = Z1
0

e(I+A)tdt The matrix (I + A)1 is nonsingular. Indeed, suppose that det(I + A) = 0. This is equivalent to det(IA) = 0, which implies that is an eigenvalue of A, a contradiction with the hypothesis on the localization of the spectrum. Now remark that if B is a nonsingular matrix, the equality d dteBt = BeBt implies that Bd dteBt = eBt. Since (I + A)1 is nonsingular, we thus have d dt e(I+A)t = (I + A)e(I+A)t and therefore e(I+A)t = (I + A)1 d dt e(I+A)t and so, integrating, Z1
0

e(I+A)tds = Z1
0

(I + A)1 d dt e(I+A)t dt = (I + A)1 Zi

0

nfty d dt

e(I+A)t dt = (I + A)1 e(I+A)t1

0

= (I + A)1 h lim
t!1

e(I+A)t I i (B.25) Now, e(I+A)t = P 0 B@ e(+1)t 0 ... 0 e(+n)t 1 CA P1 Since for all i = 1, . . . , n, i > , it follows that limt!1 e(+i)t = 0, which in turn implies that limt!1 e(I+A)t = 0. Using this in (B.25) gives (B.24) for k = 0. Now assume (B.24) holds for k = j, i.e., (I + A)j = Z1
0

e(I+A)t tj1 (j 1)! dt Then Z1

0

e(I+A)t tj j! dt = Z1
0

(I + A)1 d dt e(I+A)t tj j! dt = (I + A)1 Z1

0

d dt

e(I+A)t tj j! dt = (I + A)1 e(I+A)t tj j!

1 0

Z1
0

e(I+A)t tj1 (j 1)! dt Fund. Theory ODE Lecture Notes J. Arino 133 As we did in the k = 0 case, we now use the bound on the eigenvalues to get rid of the term tj j! e(I+A)t = P 0 B@
tj

e(+1)t 0 ... 0 tj j! e(+n)t 1 CA P1!0 as t ! 1 Therefore, Z1

j! 0

e(I+A)t tj j! dt = (I + A)1 Z1
0

e(I+A)t tj1 (j 1)! dt = (I + A)1(I + A)j = (I + A)(j+1) from which we deduce that (B.24) holds for all k 0. 2b) Let us begin with the implication (8u > 0,

(I + uA)k

M) ) (8t > 0,

eAt

M). We know from 1c) that eAt = limk!1(I + kA)k. Thus eAt = lim
k!1

I+ t k A
k

!1 = lim
k!1

I+ t k
k

(B.26) Let u = t/k with k 2 N and t > 0. Then 8t > 0, 8k 2 N,

(I + t k A)k

M ) 8t > 0, lim
k!1

( I + t k A)k

M ) 8t > 0, lim
k!1

(I + t k A)k

M which, using (B.26), implies that 8t > 0,

eAt

M We now treat the reverse implication, (8t > 0,

eAt

M) ) (8u > 0,

(I + uA)k

M). We have (I + uA)k = [u( 1 u I + A)]k = uk[ 1 u I + A]k

Suppose that > 1/u, i.e., 0 < u < 1/. Then, from 2a), it follows that (I + uA)k = uk Z1
0
u

e( 1
I+A)t tj1 (j 1)! dt 134 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets which, when taking the norm, gives

(I + uA)k

uk Z1
0

eAt

e t
u

tj1 (j 1)! dt Muk (k 1)! Z1

0

e t u tk1dt Let = t/u, then dt = ud, and

(I + uA)k

Muk (k 1)! Z1

euk1k1d M (k 1)! Z1
0

ek1d The latter integral is (k), the Gamma Function. It is well known1 that for k 2 N, (k) = (k 1)!. Thus, (I + uA)k

M 2c) Let us begin with the forward implication ()). To apply 2b) with k = 0, it suffices that the eigenvalues of A be greater than . Take 0 = . Then > = 0, and so (I + A)1 = Z1
0

e(I+A)tdt = Z1
0

eteAtdt 0 since the eigenvalues 2 R and by hypothesis on eAt. Now for the reverse implication ((). That there exists 0 2 R such that for all k 2 N, (I + A)1 0 implies that 8 > 0, 8k 2 N, (I + A)k 0 for sufficiently large. Take = k/t, the previous expression can be written 8t > 0, 8k k0, ( k t I + A)k 0 where k0 is sufficiently large. This implies that 8t > 0, 8k k0, k t
k

(I + t k A)k 0 As (k/t)k > 0, 8t > 0, 8k k0, (I + t

k A)k 0
1See,

e.g., M. Abramowitz and I.E. Stegun, Handbook of Mathematical Functions. Dover, 1965.

Fund. Theory ODE Lecture Notes J. Arino 135 so 8t > 0, lim

k!1

(I + t k A)k 0 So that this finally implies that 8t > 0, eAt 0 3) The results of the previous part hold. However, in the case of a nonsymmetric matrix, we need to ask for the real part of the eigenvalues to be greater than . Fund. Theory ODE Lecture Notes J. Arino 137

MATH 4G03/6G03

Julien Arino Duration Of Examination: 72 Hours McMaster University Final Examination December 2003
This examination paper includes 4 pages and 3 questions. You are responsible for ensuring that your copy of the paper is complete. Detailed Instructions You have 72 hours, from the time you pick up and sign for this examination sheet, to complete this examination. You are to work on this examination by yourself. Any hint of collaborative work will be considered as evidence of academic dishonesty. You are not to have any outside contacts concerning this subject, except myself. You can use any document that you find useful. If using theorems from outside sources, give the bibliographic reference, and show clearly how your problem fits in with the conditions of application of the theorem. When citing theorems from the lecture notes, refer to them by the number they have on the last version of the notes, as posted on the website on the first day of the examination period. Pay attention to the form of your answers: as this is a take-home examination, you are expected to hand back a very legible document, in terms of the presentation of your answers. Show your calculations, but try to be concise. This examination consists of 1 independent question and 2 problems. In questions or

problems that have multiple parts, you are always allowed to consider as proved the results of a previous part, even if you have not actually done that part. Foreword to the correction. This examination was long, but established the results in a very guided way. Exercise 1 was almost trivial. Both of the Problems dealt with Sturm theory. This comes as an illustration of the richness of behaviors that can be observed in differential equations: simple equations such as (B.29) can have very complex behaviors. Concerning the difficulty of the problems, it was not excessive. Problem 2 is a shortened and simplified version of a review problem for the CAPES, a French competition to hire high school teachers. The original problem comprised 23 questions, and was written by candidates in 5 hours. Problem 3 introduced the Wronskian, which we did not have time to cover during class. It also established further results of Sturm type. 138 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets Exercise 5.1 Consider the mapping A : t 7! A(t), continuous from R to Mn(R), periodic of period ! and such that A(t)A(s) = A(s)A(t) for all t, s 2 R. Consider the equation x0(t) = A(t)x (B.27) Let R(t, t0) be the resolvent of (B.27). i) Show that R(t + !, t0 + !) = R(t, t0) for all t, t0 2 R. ii) Let u be an eigenvector of R(!, 0), associated to the eigenvalue . Show that the solution of (B.27) taking the value u for t0 = 0 is such that x(t + !) = x(t), 8t 2 R. (B.28) iii) Conversely, show that if x is a nontrivial solution of (B.27) such that (B.28) holds, then is an eigenvalue of R(!, 0).

Problem 5 2 The aim of this problem is to study some properties of the

solutions of the differential equation x00 + q(t)x = 0, (B.29) where q is a continuous function from R to R. i) Show that for t0, x0, y0 2 R, there exists a unique solution of (B.29) such that x(t0) = x0, x0(t0) = y0 Preliminary results : convex functions. A function f : I R ! R is convex if, for all x, y 2 I and all 2 [0, 1], f(x + (1 )y) f(x) + (1 )f(y). Before proceeding with the study of the solutions of (B.29), we establish a few useful results

on convex functions. ii) Let f be a function defined on R, convex and nonnegative. Suppose that f has two zeros t1, t2 and that t1 < t2. Show that f is zero on the interval [t1, t2]. Let c 2 R and f be a convex function that is bounded from above on the interval [c,+1). It can then be shown that f is decreasing on [c,+1). Using this fact, show the following. iii) Every convex function that is bounded from above on R is constant. Part I. Fund. Theory ODE Lecture Notes J. Arino 139 iv) Let a, b 2 R, a < b. We assume that (B.29) has a solution x, zero at a and at b and positive on (a, b). Show that Zb
a

|q(t)|dt > 4 ba . v) We suppose that R1 0 |q(t)|dt converges. Let x be a bounded solution of (B.29). Determine the behaviour of x0 as t ! 1. vi) We suppose that q 2 C1 and is positive and increasing on R+. Show that all solutions of (B.29) are bounded on R+. Part II. We suppose in this part that q is nonpositive and is not the zero function. vii) Let x be a solution of (B.29). Show that x2 is a convex function. viii) Show that if x is a solution of (B.29) that has two distinct zeros, then x 0. ix) Show that if x is a bounded solution of (B.29), then x 0. Part III. x) Let x, y be two solutions of (B.29). Show that the function xy0 x0y is constant. xi) Let x1 and x2 be the solutions of (B.29) that satisfy x1(0) = 1, x0 1(0) = 0, x2(0) = 0, x0 2(0) = 1. Show that (x1, x2) is a basis of the vector space S on R of the solutions of (B.29). What is the value of x1x0 2 x0 1x2? Can the functions x1 and x2 have a common zero? Justify your answer. xii) Discuss the results of question 11) in the context of linear systems, i.e., transform (B.29) into a system of first-order differential equations and express question 11) and its answer in this context.

xiii) Show that if q is an even function, then the function x1 is even and the function x2 is odd. Problem 5 3 The aim of this problem is to show some elementary properties of the Wronskian of a system of solutions, and to use them to study a second-order differential equation. Consider the nth order ordinary differential equation x(n) = a0(t)x + a1(t)x0 + + an1(t)x(n1)(t) (B.30) where x(k) denotes the kth derivative of x, dkx dtk . 140 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets i) Find the matrix A(t) such that this system can be written as the first-order linear system y0 = A(t)y. Part I : Wronskian Let f1, . . . , fn be n functions from R into R that are n 1 times differentiable. We define W(f1, . . . , fn), the Wronskian of f1, . . . , fn, by W(f1, . . . , fn)(t) = det 0 BBB@ f1(t) fn(t) f0 1 (t) f0 n (t) ... ... f(n1) 1 (t) f(n1) n (t) 1 CCCA . If f1, . . . , fn are linearly dependent, thenW(f1, . . . , fn) = 0. The converse is false. Remember that the set of solutions of (B.30) forms a vector space S of dimension n. ii) Using the equivalent linear system y0 = A(t)y, show that every system of n solutions of (B.30) whose Wronskian is nonzero at a time constitutes a basis of S. iii) Using the linear system x0 = A(t)x, show that for every set of n solutions, W(t) = W(s) exp Zt
s

an1(u)du . Part II : a theorem of Sturm Let us now consider the second-order differential equation a2(t)x00 + a1(t)x0 + a0(t)x = 0 (B.31)

The objective here is to show the following theorem of Sturm. Theorem B.5.6 (Sturm). Let f1, f2 be two independent solutions of (B.31). Between two consecutive zeros of f1, there is exactly one zero of f2. We suppose f1, f2 are two independent solutions of (B.31). iv) Let u and v be two consecutive zeros of f1. Using the Wronskian W(f1, f2), show that u and v cannot be zeros of f2. v) Deduce the theorem. [Hint: consider the function f1/f2.] Part III : another theorem of Sturm. Let us assume that we confine ourselves to segments of R where a0(t) 6= 0. vi) Let x(t) = u(t) exp Zt
0

a1(s) a2(s) ds Show that (B.31) becomes u00 + q(t)u = 0. We want to show the following theorem of Sturm. Fund. Theory ODE Lecture Notes J. Arino 141 Theorem B.5.7 (Sturm). Let x00 + q(t)x = 0, q(t) 0 (B.32) in an interval (t1, t2). Every solution of (B.32) that is not identically zero has at most one zero in the interval [t1, t2]. vi) Let be a solution of (B.32) on (t1, t2), and v be a zero of in this interval. Discuss the properties of . [Hint: Use of Problem 2, Part II is possible, but not strictly necessary.] vii) Let u < v be another zero of in the interval (t1, t2). Discuss properties of . Conclude. 142 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets Solution Exercise 1 1) We have R(t + !, t0 + !) = exp Z t+!
t0+!

A(s)ds = exp Zt
t0

A(s + !)ds = exp Zt

t0

A(s)ds

= R(t, t0) 2) Let u be an eigenvector associated to the eigenvalue , i.e., R(!, 0)u = u Let x be the solution of (B.27) such that x(t0) = x(0) = u. As x is a solution of (B.27), we have that, for all t, x(t) = R(t, t0)u = R(t, 0)u Therefore, x(t + !) = R(t + !, 0)u = R(t + !, !)R(!, 0)u = R(t + !, !)u = R(t, 0)u = R(t, 0)u = x(t) and hence (B.28). 3) Let x be a nonzero solution of (B.27) such that, for all t 2 R, x(t + !) = x(t) We assume that, for all t 2 R, x(t + !) = x(t). This is true in particular for t = 0, and hence x(!) = x(0). As x 6 0, there exists v 2 R {0} such that x(0) = v. Therefore, x(t) = v and as a consequence, R(!, 0)v = v and is an eigenvalue of R(!, 0). Solution Problem 2 This problem concerns what are called Sturm theory type results, that is, results dealing with the behavior of second order differential equations. Fund. Theory ODE Lecture Notes J. Arino 143 1) This is a standard application of the existence-uniqueness result of CauchyLipschitz. To see that, transform the second order equation into a system of first order equations, by setting y = x0. Then, differentiating y, we obtain y0 + qx = 0 Therefore, (B.27) is equivalent to the system of first order equations x0 = y y0 = qx This is a linear system, hence satisfies a Lipschitz condition, and we can apply the CauchyLipschitz theorem. 2) Since f is nonnegative and convex, we have that, for all 2 [0, 1], 0 f ((1 )t1 + t2) (1 )f(t1) + f(t2) But we have supposed that f(t1) = f(t2) = 0. Hence we have that for all 2 [0, 1], f ((1 )t1 + t2) = 0 and so f is zero on [t1, t2]. 3) 4)

5) 6) 7) 8) 9) 10) 11) 12) 13)

Solution Problem 3 This problem was also about Sturm results. But it
also introduced the notion of Wronskian, which is a very general tool intimately linked to the notion of resolvent matrix. 1) We let y1 = x, y2 = x0, . . . , yn = x(n1). As a consequence, y0 1 = y2, y0 2 = y3, . . . , y0 n1 = yn, and y0 n = a0(t)y1 +a1(t)y2 + +an1(t)yn1. Written in matrix form, this is equivalent to y0 = A(t)y, with y = (y1, . . . , yn)T and A(t) = 0 BBBBBBB@ 010...0 0010...0 ... ... ... 10 01 a0(t) a1(t) . . . an1(t) 1 CCCCCCCA (B.33) 144 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets 2) We know that the system is equivalent to y0 = A(t)y, with A(t) given by (B.33). To every basis (1, . . . , n) of the vector space of solutions of y0 = A(t)y (B.34) there corresponds a basis ('1, . . . , 'n) of (B.30), where 'i is the first coordinate of the vector i for every i. The converse is also true. We know that a system (1, . . . , n) of solutions of (B.34) is a basis if det(1, . . . , n) 6= 0, and it suffices for this that det(1, . . . , n) be nonzero at one point. Since we have det(1, . . . , n) = W('1, . . . , 'n), the result follows. 3) This is a direct application of Liouvilles theorem, which states that if R(t, s) is the

resolvent of A(t), then detR(t, s) = exp Zt

s

trA(u)du And if a system of coordinates is fixed, for every fundamental matrix , det (t) = det (s) exp Zt
s

trA(u)du From Liouvilles theorem, det((t)1(s)) = exp Zt

s

trA(u)du which implies that det (t) = det(s) exp Zt

s

trA(u)du Now, note that det (t) = W(t) and det (s) = W(s). This implies the result. Note that for a system of solutions of (B.30), W(') 6= 0 iff ' are linearly independent (i.e., we have the converse implication). 4) 5) 6) 7) Fund. Theory ODE Lecture Notes J. Arino 145

University of Manitoba Math 8430 Fall 2006 Homework Sheet 1

Periodic solutions of differential equations In this problem, we will study the solutions of some differential equations, and in particular, their periodic solutions. Let T > 0 be a real number, P be the vector space of real valued, continuous and T-periodic functions defined on R, and let a 2 P. Define A= ZT
0

a(t)dt, g(t) = exp Zt

0

a(u)du ,

and endow P with the norm kxk = sup

t2R

|x(t)|. First part 1. For what value(s) of A does the differential equation x0(t) = a(t)x(t) (E1) admit non trivial T-periodic solutions? We now let b 2 P, and consider the differential equation x0(t) = a(t)x(t) + b(t). (E2) 2.a. Describe the set of maximal solutions to (E2) and the intervals of definition of these solutions. 2.b. Describe the set of maximal solutions to (E2) that are T-periodic, first assuming A 6= 0, then A = 0. 146 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets Second part In this part, we let H be a real valued C1 function defined on R2, and consider the differential equation x0(t) = a(t)x(t) + H(x(t), t). (E3) 3. Check that a function x is solution to (E3) if and only if it satisfies the condition x(t) = g(t) x(0) + Zt
0

g(s)1H(x(s), s)ds . 4. Suppose that H is T-periodic with respect to its second argument, and that A 6= 0. Show that, for all functions x 2 P, the formula U(Hx)(t) = eA 1 eA g(t) Z t+T
t

g(s)1H(x(s), s)ds, defines a function UHx 2 P, and that x est solution to (E3) if and only if UHx = x. In the rest of the problem, we let F be a real-valued C1 function defined on R2, T-periodic with respect to its second argument; for all " > 0, define H" = "F and U" = UH" , so that the differential equation (E3) is written x0(t) = a(t)x(t) + "F(x(t), t). (E4) Assume that A 6= 0. For all r > 0, we denote Br the closed ball with centre 0 and radius r in the normed space P. We want to show the following assertion: for all r > 0,

there exists "1 > 0 such that, for all " "1, the differential equation (E4) has a unique solution x 2 Br, that we will denote x". We denote r (resp. r) the upper bound of the set |F(v, s)| (resp. | @F @v (v, s)|), where v 2 [r, r] and s 2 [0, T]. 5.a. Find a real "0 > 0 such that, for all " "0, U"(Br) Br. 5.b. Find a real "1 "0 such that, for all " "1, the restriction of U" to Br be a contraction of Br. 5.c. Conclude. 6. Study the behavior of the function x" when " ! 0, the number r being fixed. 7. We now suppose that the function a is a constant k 6= 0 et that the function F takes the form F(v, s) = f(v). Determine the solution x" of (E4). 8. We now consider T = 1, k = 1 and f(v) = v2, and thus (E4) takes the form x0(t) = x(t) + "x(t)2. (E5) 8.a. Give possible values of "0 and "1. 8.b. Determine the x" of (E5). 8.c. Let 2 R. Show that there exists a unique maximal solution ' of (E5) such that '(0) = . Determine precisely this solution, and graph several of these solutions. Fund. Theory ODE Lecture Notes J. Arino 147 Third part Here, we consider the differential equation x0(t) = kx(t) + "f(x(t)), (E6) where k < 0, f is C1 and zero at zero. We let = sup
u2[1,1]

|f0(u)|, and assume that " < k. We propose to show the following result: if x is a maximal solution of (E6) such that |x(0)| < 1, then it is defined on [0,1) and, for all t 0, |x(t)| |x(0)|e(k+")t. 9. In this question, we suppose that the set of t such that |x(t)| > 1 is nonempty, and we denote its lower bound by . Show that, for all t 2 [0, ], |x(t)| |x(0)|e(k+")t. 10. Conclude. N.B. This result expresses the stability and the asymptotic stability of the trivial solution of (E6). Fund. Theory ODE Lecture Notes J. Arino 149

University of Manitoba Math 8430 Fall 2006 Homework Sheet 1 Solutions

1. The equation (E1) is a separable equation, so we write

x0(t) = a(t)x(t) , x0(t) x(t) = a(t) , ln |x(t)| = Zt

0

a(s)ds + C , |x(t)| = exp Zt

0

a(s)ds + C , x(t) = K exp Zt

0

a(s)ds , where it was assumed that integration starts at t0 = 0, and where the sign of | x(t)| is absorbed into K 2 R. Since x(0) = K, the general solution to (E1) is thus x(t) = x(0) exp Zt
0

a(s)ds . (B.35) A nontrivial solution (B.35) is T-periodic if it satisfies x(t + T) = x(t) for all t 0. In particular (for simplicity), there must hold that x(T) = x(0). This leads to x(T) = x(0) , x(0) exp ZT
0

a(s)ds = x(0) , exp ZT

0

a(s)ds =1 , ZT
0

a(s)ds =0 , A = 0. 2.a. We know that the general solution to the homogeneous equation (E1) associated to (E2) is given by (B.35). To find the general solution to (E2), we need a particular solution

to (E2), or to use integrating factors or a variation of constants approach. We do the latter, since we already have the solution (B.35) to (E1). Returning to the solution with undetermined value for K, we consider the ansatz (t) = K(t) exp Zt
0

a(s)ds = K(t)g(t), 150 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets where the second equality uses the definition of g(t). We have 0(t) = K0(t)g(t) + K(t)g0(t) = K0(t)g(t) + K(t)a(t)g(t). The function is solution to (E2) if and only if it satisfies (E2); therefore, is solution if and only if 0(t) = a(t)(t) + b(t) , K0(t)g(t) + K(t)a(t)g(t). = a(t)K(t)g(t) + b(t) , K0(t)g(t) = b(t) , K0(t) = b(t) g(t) , for g(t) 6= 0 , K(t) = Zt
0

b(s) g(s) ds + C. Note that the remark that g(t) 6= 0 is made for form: as it is defined, g(t) > 0 for all t 0. We conclude that the general solution to (E2) is given by x(t) = Zt
0

b(s) g(s) ds + C exp Zt

0

a(s)ds . Since it will be useful to have information in terms of x(0) (as in question 1.), we note that C = x(0). Thus, the solution to (E2) through x(0) = 0 is given by x(t) = Zt

b(s) g(s) ds + x(0) exp Zt

0

a(s)ds . (B.36) With integrating factors, we would have done as follows: write the equation (E2) as x0(t) a(t)x(t) = b(t). The integrating factor is then (t) = exp Z a(t)dt , and the general solution to (E2) is given by x(t) = 1 (t) Zt
0

(s)b(s)ds + C Maximal solutions are solutions that are the restriction of no other solution. Fund. Theory ODE Lecture Notes J. Arino 151 2.b. Solutions to (E2) are T-periodic if x(T) = x(0); therefore, a T-periodic solution satisfies x(T) = x(0) , ZT
0

b(s) g(s) ds + x(0) exp ZT

0

a(s)ds = x(0) , ZT
0

b(s) g(s)

ds + x(0) = x(0)eA , ZT
0

b(s) g(s) ds = eA 1 x(0) Second part 3. Before proceeding, note that g0(t) = d dt exp Zt
0

a(s)ds = a(t) exp Zt

0

a(s)ds = a(t)g(t). We differentiate x(t) = g(t) x(0) + Rt 0 g(s)1H(x(s), s)ds . This gives x0(t) = g0(t) x(0) + Zt
0

g(s)1H(x(s), s)ds + g(t) H(x(t), t) g(t) = g0(t) x(0) + Zt

0

g(s)1H(x(s), s)ds

+ H(x(t), t) = a(t)g(t) x(0) + Zt

0

g(s)1H(x(s), s)ds + H(x(t), t) = a(t)x(t) + H(x(t), t), and thus x(t) = g(t) x(0) + Rt 0 g(s)1H(x(s), s)ds is solution to (E3). 4. Let x 2 P. Then UHx 2 P if and only if UHx is T-periodic. We have (UHx)(t + T) = eA 1 eA g(t + T) Z t+2T
t+T

g(s)1H(x(s), s)ds. 152 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets Remark that g(t + T) = exp Z t+T
0

a(s)ds = exp Zt
0

a(s)ds + Z t+T
t

a(s)ds = g(t) exp Z t+T

t

a(s)ds = eAg(t), since a(t) is T-periodic. Therefore, (UHx)(t + T) = eA 1 eA eAg(t) Z t+2T

t+T

g(s)1H(x(s), s)ds

= eA 1 eA eAg(t) Z t+T
t

g(s T)1H(x(s T), s T)ds. Now g(s T) = exp Z sT

0

a(u)du = exp Zs
0

a(u)du + Z sT
s

a(u)du = g(s) exp Zs

sT

a(u)du = eAg(s). So, finally, (UHx)(t + T) = eA 1 eA e2Ag(t) Z t+T

t

g(s)1H(x(s), s)ds = e2A(UHx)(t), since H is T-periodic in its second argument and x 2 P. Therefore, UHx 2 P for x 2 P. Suppose that x(t) = (UHx)(t). Then, x0(t) = eA 1 eA g0(t) Z t+T
t

H(x(s), s) g(s) ds + g(t) H(x(t + T), t + T) g(t + T) H(x(t), t)

g(t) = eA 1 eA a(t)g(t) Z t+T

t

H(x(s), s) g(s) ds + g(t) H(x(t), t) eAg(t) H(x(t), t) g(t) = a(t) eA 1 eA g(t)g(t) Z t+T
t

H(x(s), s) g(s) ds + eA 1 eA g(t) (1 eA)H(x(t), t) eAg(t) = a(t)x(t) + H(x(t), t). Fund. Theory ODE Lecture Notes J. Arino 153 5.a. We seek "0 > 0 such that for all " "0, kxk r ) kU"xk r. Therefore, we compute kU"xk. We have, letting H(x, s) = "F(x, s), kU"xk = sup
t2R

|(U"x)(t)| = sup
t2R

eA 1 eA g(t) Z t+T
t

g(s)1"F(x(s), s)ds =" eA |1 eA| sup

t2R

|g(t)|

Z
t

t+T

F(x(s), s) g(s) ds " eA |1 eA| sup

t2R

|g(t)| Z t+T
t

F(x(s), s) g(s) ds. Note that we keep the absolute value of |1 eA|, since A could be negative, leading to a negative value for 1 eA. Let kg1k = supt2R |g1(t)|. We then have kU"xk " eA |1 eA| kgkkg1k sup
t2R

Z
t

t+T

|F(x(s), s)| ds " eA |1 eA| kgkkg1k Z t+T

t rds,

since x(s) 2 [r, r], and so kU"xk " eA |1 eA| kgkkg1krT. Letting "0 = eA |1 eA| kgkkg1krT
1

r, we see that if " "0, then kU"xk r. 5.b. For the restriction of U" to be a contraction, we must have the inequality obtained

above, as well as, for x, y 2 Br, d(U"x, U"y) < d(x, y). In terms of the induced norm, this means that kU"x U"yk < kx yk. Therefore, letting x, y 2 P be such that kxk r and 154 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets kyk r, we compute kU"x U"k = sup
t2R

|(U"x)(t) (U"y)(t)| = sup

t2R

eA 1 eA g(t) Z t+T
t

"F(x(s), s) "F(y(s), s) g(s) ds =" eA 1 eA sup

t2R

|g(t)| Z
t t+T

F(x(s), s) F(y(s), s) g(s) ds " eA 1 eA sup

t2R

|g(t)| Z t+T
t

F(x(s), s) F(y(s), s) g(s) ds. For s 2 [0, T] and x(s) 2 [r, r], we have, picking a y(s) 2 [r, r], |F(x(s), s)| = |F(x(s), s) F(y(s), s) + F(y(s), s)|

|F(x(s), s) F(y(s), s)| + |F(y(s), s)| r|x(s) y(s)| + r, from the mean value theorem, and thus |F(x(s), s)| 2rr + r. 5.c. We used the contraction mapping principle (Theorem ??): for " "1, U" is a contraction of Br, P is complete (it is closed in C(R,R) \ B(R) endowed with the supremum norm) and Br is closed in P. Therefore, we conclude that for a given r > 0, for all " "1, there exists a unique solution x" of (E4) in Br. 6. This is the contraction mapping theorem with a parameter: kx" x"0k = kU"x" U"0x"0k kU"x" U"x"0k | {z }
Kkx"x"0k

+kU"x"0 U"0x"0k. Fund. Theory ODE Lecture Notes J. Arino 155 But we have kU"x" U"0x"0k(t) |" "0| eA |1 eA| Z t+T
t

|g(t)g(s)1F(x(s), s)|ds |" "0| eA |1 eA| eTATr | {z }

=K0

. Thus, we have kx"x"0k |" "0|K0 1K and therefore " 2 R 7! x" 2 P is continuous; it follows that lim
"!0

x" = x0. But the only periodic solution of (E1) when A 6= 0 is the zero solution. Therefore, x" ! 0 when " ! 0. 7. Let x0(t) = c0, then g(t) = ekt and A = kT. U"x0(t) = "ekT 1 ekT ektf(t0) Z t+T
t

eksds = "ekT 1 ekT f(c0)ekt 1 k

eks
t+T t

= "ekT 1 ekT f(c0) ekt k unction x"(t) = c0 is solution (where c0 is the unique solution of the equation "f(x) + kx = 0 for " sufficiently small). Note : letting g(x) = " k f(x), it follows that g0(x) = " k f0(x). Thus, for r > 0 given, there exists "0 > 0 such that " "0 implies g([r, r]) [r, r], and there exists "1 "0 such that sup
x2[r,r]

|g0(x)| < 1, the fixed point theorem can be applied easily. 8.a. Using the formula obtained in 5.a. with r = r2, r = 2r, g(t) = et, A = T then "0 = r(1 eT )eT eT r 2T =olution x of (E2) belonging to P, as a function of k and the Fourier coefficients of b. What is the mode of convergence of the Fourier series of x? 2.b. What happens when k = 0? 2.a. If k 6= 0 then A = 2k 6= 0, and from 2., there exists a unique 2-periodic solution. Since the mapping x 7! bx(n) is linear, and from the relation bx0(n) = inbx(n), we have bx0(n) = kbx(n) +bb(n) ) bx(n) = bb (n) in k . Since x is C1, we know that the Fourier series of x is normally convergent. Sincebb(n) ! 0, we ca also say that bx(n) = o 1 n 1 eT rT , "1 = 1 2

1 eT 2rT = "0 4 . 8.b. The zero function is clearly a 1-periodic solution of (E5). By uniqueness of solutions, x" = 0 is the only solution of (E5). 156 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets 8.c. The vector field x+"x2 is C1, and therefore existence and uniqueness of a maximal solution ' is a direct consequence of the theorem of Cauchy-Lipschitz. We solve the equation x0 = x + "x2 without constraint of periodicity. There are two constant solutions , x(t) = 0 and x(t) = 1/". By uniqueness, any other solution never takes the values 0 and 1/". We have: x0 x(1 "x) = d dt ln x 1 "x = 1 ) x 1 "x = et ) x(t) = et 1 + "et , 2 R. The condition x(0) = gives = 1" if 6= 0 and 6= 1/", and as a consequence, letting = 1 " we obtain '(t) = 1 et + " . If 0 then ' is defined on R. If < 0, we let t0 = ln

" . If > 0 then " > 1, that is, t0 > 0, ' is defined on ] 1, t0[. If < 0 then " < 1, that is, t0 < 0, ' is defined on ]t0,+1[. Here are a few representative solutions obtained when setting " = 1.
alpha<0 alpha>1/epsilon 0<alpha<1/epsilon 3 2 1 0 1 2 3 y 3 2 1 1 2 3 x

Third part Fund. Theory ODE Lecture Notes J. Arino 157 9. > 0 since |x(0)| < 1, and we have x(s) 2 [1, 1] for all s 2 [0, ], by definition of . Since f(0) = 0 and |f0| is bounded by on [1, 1], we have, from the inequality of finite variations, |f(u) |f{(z0})
=0 =0

| |u| for all u 2 [1, 1], that is, |f(x(s)) |f{(z0}) | |x(s)|. Let t 2 [0, ]. From 4., |ektx(t)| = x(0) + " Zt
s=0

eksf(x(s)) ds |x(0)| + " Zt

s=0

eks|x(s)| ds, from which |ektx(t)| |x(0)|e"t (using Gronwalls lemma with '(t) = ekt|x(t)|, = | x(0)|, = "), giving the inequality. 10. Since " < 0, it follows that |x(0)|e(k+")t |x(0)| < 1. Letting E = {t > 0 | |x(t)| > 1}, which is assumed non empty, then = inf E > 0 (by continuity, since |x(0)|

< 1 there exists > 0 such that |x(t)| < 1 on [0, ], and thus
t!

> 0). Since lim

|x(t)| 1 and lim

t!+

|x(t)| 1, it follows |x()| = 1. On [0, ], |x(t)| |x(0)|e(k+")t and, taking the limit, |x()| < 1, which is impossible. First conclusion : E = ; and, if J is the interval of definition of x, then 8t 2 J \ [0,+1[, |x(t)| 1. If J admits an upper bound b 2 R, then x0 is bounded in a neighborhood of b. Thus x admits a limit in b. The same is therefore true for x0. We then know that x can be extended beyond b, contradicting the maximality of J. Final conclusion : J \[0,+1[= [0,+1[, x is defined on [0,+1[ and the proof of question 9. holds true for all t 0, i.e., 8t 2 [0,+1[, |x(t)| |x(0)|e(k+")t. N.B. This result expresses the stability and the asymptotic stability of the trivial solution of (E6). This subject was the Premi`ere composition de mathematiques for the contest determining admission to Ecole Polytechnique in France, for MP (Math-Physics) track students, in 2004. Students, in their second year of university, have 4 hours to write this premi`ere composition. The original subject comprised another question, originally question 3, which was suppressed in this homework sheet. To be complete, this question is included here: 158 Fund. Theory ODE Lecture Notes J. Arino B. Problem sheets 2. We suppose here that T = 2 and that the function a is a constant k. 2.a. Assuming k 6= 0, express the Fourier coefficients x(n), n 2 Z, of a s . 2.b. Applying here again the result of 2.b., If bb(0) = 0 then all solutions are 2-periodic. In this case, solutions satisfy x(n) = b (n)/in for n 2 Z non zero and x(0) varies with the solutions under consideration. Ifbb(0) 6= 0 then no solution is periodic.