Odes

Ordinary Dierential Equations: Graduate Level Problems
and Solutions
Igor Yanovsky
Ordinary Dierential Equations
Igor Yanovsky, 2005
Disclaimer: This handbook is intended to assist graduate students with qualifying

examination preparation. Please be aware, however, that the handbook might contain,
and almost certainly contains, typos as well as incorrect or inaccurate solutions. I can
not be made responsible for any inaccuracies contained in this handbook.
Igor Yanovsky, 2005
Contents
1 Preliminaries
1.1 Gronwall Inequality . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.2 Trajectories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5
6
6
2 Linear Systems
2.1 Existence and Uniqueness . . . . . . . . . . . . . . . . . . . . . . .
2.2 Fundamental Matrix . . . . . . . . . . . . . . . . . . . . . . . . . .
2.2.1 Distinct Eigenvalues or Diagonalizable . . . . . . . . . . . .
2.2.2 Arbitrary Matrix . . . . . . . . . . . . . . . . . . . . . . . .
2.2.3 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.3 Asymptotic Behavior of Solutions of Linear Systems with Constant
ecients . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.4 Variation of Constants . . . . . . . . . . . . . . . . . . . . . . . . .
2.5 Classication of Critical Points . . . . . . . . . . . . . . . . . . . .
2.5.1 Phase Portrait . . . . . . . . . . . . . . . . . . . . . . . . .
2.6 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.7 Stability and Asymptotic Stability . . . . . . . . . . . . . . . . . .
2.8 Conditional Stability . . . . . . . . . . . . . . . . . . . . . . . . . .
2.9 Asymptotic Equivalence . . . . . . . . . . . . . . . . . . . . . . . .
2.9.1 Levinson . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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7
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3 Lyapunovs Second Method

3.1 Hamiltonian Form . . . . . . . . . . . .
3.2 Lyapunovs Theorems . . . . . . . . . .
3.2.1 Stability (Autonomous Systems)
3.3 Periodic Solutions . . . . . . . . . . . .
3.4 Invariant Sets and Stability . . . . . . .
3.5 Global Asymptotic Stability . . . . . . .
3.6 Stability (Non-autonomous Systems) . .
3.6.1 Examples . . . . . . . . . . . . .
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4 Poincare-Bendixson Theory
42
5 Sturm-Liouville Theory
5.1 Sturm-Liouville Operator . . . . . . . . .
5.2 Existence and Uniqueness for Initial-Value
5.3 Existence of Eigenvalues . . . . . . . . . .
5.4 Series of Eigenfunctions . . . . . . . . . .
5.5 Lagranges Identity . . . . . . . . . . . . .
5.6 Greens Formula . . . . . . . . . . . . . .
5.7 Self-Adjointness . . . . . . . . . . . . . . .
5.8 Orthogonality of Eigenfunctions . . . . . .
5.9 Real Eigenvalues . . . . . . . . . . . . . .
5.10 Unique Eigenfunctions . . . . . . . . . . .
5.11 Rayleigh Quotient . . . . . . . . . . . . .
5.12 More Problems . . . . . . . . . . . . . . .
48
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Problems
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6 Variational (V) and Minimization (M) Formulations
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97

7 Euler-Lagrange Equations
7.1 Rudin-Osher-Fatemi . .
7.1.1 Gradient Descent
7.2 Chan-Vese . . . . . . . .
7.3 Problems . . . . . . . .
Igor Yanovsky, 2005
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103
103
104
105
106
8 Integral Equations
110
8.1 Relations Between Dierential and Integral Equations . . . . . . . . . . 110
8.2 Greens Function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113
9 Miscellaneous
119
10 Dominant Balance
124
11 Perturbation Theory
125
Igor Yanovsky, 2005
Preliminaries
Cauchy-Peano.

du
dt = f (t, u)
u(t0 ) = u0
t0 t t1
(1.1)
f (t, u) is continuous in the rectangle R = {(t, u) : t0 t t0 + a, |u u0 | b}.

b
). Then u(t) with continuous rst derivative
M = max |f (t, u)|, and = min(a, M
R
s.t. it satises (1.1) for t0 t t0 + .

Local Existence via Picard Iteration.
f (t, u) is continuous in the rectangle R = {(t, u) : t0 t t0 + a, |u u0 | b}.
Assume f is Lipschitz in u on R.
|f (t, u) f (t, v)| L|u v|
b
). Then a unique u(t), with u, du
M = max |f (t, u)|, and = min(a, M
dt continuous
R
on [t0 , t0 + ], (0, ] s.t. it satises (1.1) for t0 t t0 + .

Power Series.
du
= f (t, u)
dt
u(0) = u0
u(t) =

1 dj u
(0)tj
j! dtj
i.e.
j=0
d2 u
(0) = (ft + fu f )|0
dt2
Fixed Point Iteration.

|xn x | kn |x0 x |
k<1
|xn+1 xn | kn |x1 x0 |
k<1
|x xn | = lim |xm xn | kn (1 + k + k2 + )|x1 x0 | =

m
Picard Iteration. Approximates (1.1). Initial guess: u0 (t) = u0

t
un+1 (t) = T un (t) = u0 +
f (s, un (s))ds.
t0
Dierential Inequality. v(t) piecewise continuous on t0 t t0 + a.

u(t) and du
dt continuous on some interval. If
du
v(t)u(t)
dt
t
u(t) u(t0 )e
v(s)ds
t0
Proof. Multiply both sides by e
t
t0
v(s)ds
. Then
d
dt [e
t
t0
v(s)ds
u(t)] 0.
kn
|x1 x0 |
1k
1.1
Igor Yanovsky, 2005
Gronwall Inequality
Gronwall Inequality. u(t), v(t) continuous on [t0 , t0 + a]. v(t) 0, c 0.

t
u(t) c +
v(s)u(s)ds
t0
t
u(t) c et0
v(s)ds
t0 t t0 + a
Proof. Multiply both sides by v(t):

t

u(t)v(t) v(t) c +

v(s)u(s)ds
t0
Denote A(t) = c +
hypothesis:
t
v(s)u(s)ds
t0
t
u(t) A(t) A(t0 )et0
dA
dt
t
v(s)ds
v(t)A(t). By dierential inequality and
v(s)ds
= cet0
Error Estimates. f (t, u(t)) continuous on R = {(t, u) : |t t0 | a, |u u0 | b}

f (t, u(t)) Lipschitz in u: |f (t, A) f (t, B)| L|A B|
u1 (t), u2 (t) are 1 , 2 approximate solutions
du1
= f (t, u1 (t)) + R1 (t),
dt
|R1 (t)| 1
du2
= f (t, u2 (t)) + R2 (t),
dt
|u1 (t0 ) u2 (t0 )|
|R2 (t)| 2
|u1 (t) u2 (t)| ( + a(1 + 2 ))eaL
t0 t t0 + a
Generalized Gronwall Inequality. w(s), u(s) 0

t
u(t) w(t) +
v(s)u(s)ds
t0
t
u(t) w(t) +
t
v(s)w(s) es
v(x)dx
ds
t0
Improved Error Estimate (Fundamental Inequality).

|u1 (t) u2 (t)| eL(tt0 ) +
1.2
(1 + 2 ) L(tt0)
(e
1)
L
Trajectories
Let K D compact. If for the trajectory Z = {(t, z(t)) : < t < )} we have that
< , then Z lies outside of K for all t suciently close to .
Igor Yanovsky, 2005
Linear Systems
2.1
Existence and Uniqueness
A(t), g(t) continuous, then can solve

y = A(t)y + g(t)
(2.1)
y(t0 ) = y0
For uniqueness, need RHS to satisfy Lipshitz condition.
2.2
Fundamental Matrix
A matrix whose columns are solutions of y = A(t)y is called a solution matrix.

A solution matrix whose columns are linearly independent is called a fundamental
matrix.
F (t) is a fundamental matrix if:
1) F (t) is a solution matrix;
2) det F (t) = 0.
Either det M (t) = 0 t R, or det M (t) = 0 t R.
F (t)c is a solution of (2.1), where c is a column vector.
If F (t) is a fundamental matrix, can use it to solve:
y (t) = A(t)y(t), y(t0 ) = y0
i.e. since F (t)c|t0 = F (t0 )c = y0
c = F 1 (t0 )y0
y(t) = F (t)F (t0 )1 y0

2.2.1
Distinct Eigenvalues or Diagonalizable

F (t) = [e1t v1 , . . . , ent vn ]
2.2.2
eAt = F (t)C
Arbitrary Matrix
i) Find generalized eigenspaces Xj = {x : (A j I)nj x = 0};

ii) Decompose initial vector = v1 + + vk , vj Xj ,
solve for v1 , . . . , vk in terms of components of
y(t) =
k

j=1
j t
j 1 i
n
t
i=0
i!

(A j I)i vj
iii) Plug in = e1 , . . . , en successively to get y1 (t), . . . , yn (t) columns of F (t).

Note: y(0) = , F (0) = I.
(2.2)

2.2.3
Igor Yanovsky, 2005
Examples
Example 1. Show that the solutions of the following system of dierential equations
remain bounded as t :
u = v u
v = u

1 1
u
u
=
. The eigenvalues of A are 1,2 = 12 23 i, so
Proof. 1)
1 0
v
v
the eigenvalues are distinct diagonalizable. Thus, F (t) = [e1 t v1 , e2t v2 ] is a fundamental matrix. Since Re(i) = 12 < 0, the solutions to y = Ay remain bounded as
t .
2) u = v u = u u ,
u + u + u = 0,
u u + (u )2 + u u = 0,
1 d
1 d
2
2
2
2 dt ((u ) ) + (u ) + 2 dt (u ) = 0,
t
1
1 2
2
2
2 ((u ) ) + 2 (u ) + t0 (u ) dt = const,
1
1 2
2
2 ((u ) ) + 2 (u ) const,

(u , u) is bounded.
Example 2. Let A be the matrix given by: A =

2
0
the generalized eigenspaces, and a fundamental matrix
0
1
0
for
3
2 . Find the eigenvalues,
2
the system y (t) = Ay.
Proof. det(A I) = (1 )2 (2 ). The eigenvalues and their multiplicities:

1 = 1, n1 = 2; 2 = 2, n2 = 1.
Determine subspaces X1 and X2 , (A j I)nj x = 0.
(A 2I)x = 0
(A I)2 x = 0
To nd X1 :

0 0 3
0 0 3
0 0 3
x1
0
2
2 0 2
2 0 2
x=
0 0 8
x2
=
0 .
(A I) x =
x3
0 0 1
0 0 1
0 0 1
0

dim X1 = 2.
x3 = 0, x1 , x2 arbitrary X1 = , any , C .
0
To nd X2 :

0
1 0 3
1 0 3
x1
(A 2I)x = 2 1 2 x = 0 1 8 x2 = 0 .
x
0
0
0 0
0
0 0
3

3
dim X2 = 1.
x3 = , x1 = 3, x2 = 8 X2 = 8 , any C .
1
X
,
v
X
,
such
that
initial
vector
is decomposed as = v1 +v2 .
Need
to
nd
v
1
1
2
2

3
1
2 = + 8 .
3
0
1 33
33
v1 = 2 83 , v2 = 83 .
0
3
y(t) =
k

j=1
j t
j 1 i
n
t
i=0
i!
Igor Yanovsky, 2005

(A j I)i vj = e1 t (I + t(A I))v1 + e2 t v2
1 33
33
= et (I + t(A I))v1 + e2tv2 = et (I + t(A I)) 2 83 + e2t 83
0
3
1 0
3t
1 33
33
t
2t
2t 1
2t
+e
2 83
83 .
= e
0 0 1+t
0
3
1
Note: y(0) = = 2 .
3

1
0
0
To nd a fundamental matrix, putting successively equal to

0
,
1
, 0
0
0
1
in this formula, we obtain the threelinearly independent
solutions
that
we
use
as

1
0
1
columns of the matrix. If = 0 , y1 (t) = et 2t . If = 1 , y2 (t) =
0
0
0

0
et 1 .
0

3
3
0
t
2t
6t 8
+e
8 . The fundamental matrix is
If =
0
, y3 (t) = e
0
1
1
t
e
0
3et + 3e2t
F (t) = eAt = 2tet et (6t 8)et + 8e2t
0
0
e2t
Note: At t = 0, F (t) reduces to I.
2.3
Igor Yanovsky, 2005
10
Asymptotic Behavior of Solutions of Linear Systems with Constant Coecients
If all j of A are such that Re(j ) < 0, then every solution (t) of the system y = Ay
t or |eAt | Ket .
approaches zero as t . |(t)| Ke
If, in addition, there are j such that Re(j ) = 0 and are simple, then |eAt | K, and
hence every solution of y = Ay is bounded.
Also, see the section on Stability and Asymptotic Stability.
Proof. 1 , 2, . . . , k are eigenvalues and n1 , n2 , . . . , nk are their corresponding multiplicities. Consider (2.2), i.e. the solution y satisfying y(0) = is
tA
y(t) = e =
k
j t
j 1 i
n
t
j=1
i=0
i!

(A j I)i vj .
Subdivide the right hand side of equality above into two summations, i.e.:
1) j , s.t. nj = 1, Re(j ) 0;
2) j , s.t. nj 2, Re(j ) < 0.
k
y(t) =
j=1
ej t vj

(nj =1) Re(j )0
|y(t)|
k

ej t I + t(A j I) + +
j=1
|ej t I||vj | +
j=1
k

Re(j )0
t
Ke

max(ck, K)

const indep of t
Re(j )<0
k
t
|vj | + Ke
j=1
=max(Re(j ), Re(j )<0)
t
ck max |vj | + Ke
j
(nj 2)

tnj 1
(A j I)nj 1 vj .
(nj 1)!

t
e
max |vj | +
K.
j

0 as t
indep of t
2.4
Igor Yanovsky, 2005
11
Variation of Constants
Derivation: Variation of constants is a method to determine a solution of y = A(t)y +

g(t), provided we know a fundamental matrix for the homogeneous system y = A(t)y.
Let F be a fundamental matrix. Look for solution of the form (t) = F (t)v(t), where
v is a vector to be determined. (Note that if v is a constant vector, then satises
the homogeneous system and thus for the present purpose v(t) c is ruled out.)
Substituting (t) = F (t)v(t) into y = A(t)y + g(t), we get
(t) = F (t)v(t) + F (t)v (t) = A(t)F (t)v(t) + g(t)
Since F is a fundamental matrix of the homogeneous system, F (t) = A(t)F (t). Thus,
F (t)v (t) = g(t),
v (t) = F 1 (t)g(t),
t
F 1 (s)g(s)ds.
v(t) =
t0
Therefore, (t) = F (t)
F 1 (s)g(s)ds.
t0
Variation of Constants Formula: Every solution y of y = A(t)y + g(t) has the

form:
t
y(t) = h (t) + p(t) = F (t)c + F (t)
F 1 (s)g(s)ds
t0
where p is the solution satisfying initial condition p(t0 ) = 0 and h (t) is that solution
of the homogeneous system satisfying the same initial condition at t0 as y, h (t0 ) = y0 .
F (t) = eAt is the fundamental matrix of y = Ay with F (0) = I. Therefore, every
solution of y = Ay has the form y(t) = eAt c for a suitably chosen constant vector c.
(tt0 )A
y(t) = e
t
y0 +
e(ts)A g(s)ds
t0
That is, to nd the general solution of (2.1), use (2.2) to get a fundamental matrix
F (t).
t
t
Then, add e(ts)A g(s)ds = F (t) F 1 (s)g(s)ds to F (t)c.
t0
t0
2.5
Igor Yanovsky, 2005
12
Classication of Critical Points
y = Ay. Change of variable y = T z, where T is nonsingular constant matrix (to be

determined). z = T 1 AT z
The solution is passing through (c1 , c2 ) at t = 0.

1 0

z =
z
1) 1 , 2 are real.
0 2

c1 e1 t
z=
c2 e2 t
a) 2 > 1 > 0 z2 (t) = c(z1 (t))p, p > 1 Improper Node (tilted toward z2 -axis)
Improper Node (tilted toward z2 -axis)
b) 2 < 1 < 0 z2 (t) = c(z1 (t))p, p > 1
Proper Node
c) 2 = 1 , A diagonalizable z2 = cz1
d) 2 < 0 < 1 z1 (t) = c(z2 (t))p,
p < 0 Saddle Point
1
z
2) 2 = 1 , A non-diagonalizable, z =
0
e
tet
c1
c1 + c2 t
z=
Improper Node
=
et
t
0 e
c2
c2

z =
z
3) 1,2 = i.

c1 cos(t) + c2 sin(t)
t
Spiral Point
z=e
c1 sin(t) + c2 cos(t)
2.5.1
Phase Portrait
Locate stationary points by setting:

du
dt = f (u, v) = 0
dv
dt = g(u, v) = 0
(u0 , v0 ) is a stationary point. In order to classify a stationary point, need to nd
eigenvalues of a linearized
that point.
system at
f
f
u
v
g
g
u
v
det(J|(u0 ,v0 )
J(f (u, v), g(u, v)) =

Find j s such that
.
I) = 0.
2.6
Igor Yanovsky, 2005
13
Problems
Problem (F92, #4). Consider the autonomous dierential equation

vxx + v v 3 v0 = 0
in which v0 is a constant.
4
, this equation has 3 stationary points and classify their type.
a) Show that for v02 < 27
b) For v0 = 0, draw the phase plane for this equation.
Proof. a) We have
v + v v 3 v0 = 0.
In order to nd and analyze the stationary points of an ODE above, we write it as a
rst-order system.
y1 = v,
y2 = v .
y1 = v = y2 = 0,
y2 = v = v + v 3 + v0 = y13 y1 + v0 = 0.
The function f (y1 ) = y13 y1 = y1 (y12 1) has zeros y1 = 0, y1 = 1, y1 = 1.
See the gure.
Its derivative f (y1 ) = 3y12 1 has zeros y1 = 13 , y1 = 13 .
2
2
, f ( 13 ) = 3
.
At these points, f ( 13 ) = 3
3
3

If v0 = 0, y2 is exactly this function f (y1 ), with 3 zeros.
2
,
v0 only raises or lowers this function. If |v0 | < 3
3
i.e. v02 <
4
27 ,
the system would have 3 stationary points:
Stationary points: (p1 , 0), (p2 , 0), (p3 , 0),

with p1 < p2 < p3 .
y1 = y2
y2
y13
= f (y1 , y2 ),
y1 + v0 = g(y1 , y2 ).
In order to classify a stationary point, need to nd eigenvalues of a linearized system

at that point.

f
f
0
1
y1
y2
.
=
J(f (y1 , y2 ), g(y1, y2 )) =
g
g
3y12 1 0
y
y
1
For (y1 , y2 ) = (pi,0) :

1
det(J|(pi ,0) I) = 2
3pi 1

= 3p2i 1.

= 2 3p2 + 1 = 0.
i

At y1 = p1 < 13 , < 0 < + . (p1 ,0) is Saddle Point.
At 13 < y1 = p2 < 13 , C, Re( ) = 0. (p2 ,0) is Stable Concentric

Circles.
At y1 = p3 > 13 , < 0 < + . (p3 ,0) is Saddle Point.
Igor Yanovsky, 2005
b) For v0 = 0,
y1 = y2 = 0,
y2 = y13 y1 = 0.
Stationary points: (1, 0), (0, 0), (1, 0).

J(f (y1 , y2 ), g(y1, y2 )) =
For (y1 , y2 ) = (0,0) :
1
det(J|(0,0) I) =
1
0
1
3y12 1 0

.

= 2 + 1 = 0.

= i.
(0,0) is Stable Concentric Circles (Center).
For (y1 , y2 ) = (1, 0) :

1

= 2 2 = 0.
det(J|(1,0) I) =
2
= 2.
(-1,0) and (1,0) are Saddle Points.
14
Igor Yanovsky, 2005
15
Problem (F89, #2). Let V (x, y) = x2 (x 1)2 + y 2 . Consider the dynamical system
dx
V
=
,
dt
x
V
dy
=
.
dt
y
a) Find the critical points of this system and determine their linear stability.
b) Show that V decreases along any solution of the system.
c) Use (b) to prove that if z0 = (x0 , y0 ) is an isolated minimum of V then z0 is an
asymptotically stable equilibrium.
Proof. a) We have
x = 4x3 + 6x2 2x
y = 2y.

x = x(4x2 6x + 2) = 0
y = 2y = 0.
Stationary points: (0, 0),

J(f (y1 , y2 ), g(y1, y2 )) =
1
f
x
g
x

, 0 , (1, 0).
f
y
g
y

=
12x2 + 12x 2 0
0
2
For (x, y) = (0, 0) :

2

0

det(J|(0,0) I) =
0
2
= (2 )(2 ) = 0.
y = Ay, 1 = 2 < 0, A diagonalizable.

(0,0) is StableProper
Node.

1
For (x, y) = 2 , 0 :

1

0

det(J|( 1 ,0) I) =
2
0
2
= (1 )(2 ) = 0.
2 = 1. 1 < 0 < 2 .
1 = 2,
1
is Unstable Saddle Point.
2 ,0
For (x, y) = (1, 0) :

2

0

det(J|(1,0) I) =
0
2
= (2 )(2 ) = 0.
y = Ay, 1 = 2 < 0, A diagonalizable.
(1,0) is Stable Proper Node.

.
Igor Yanovsky, 2005
16
b) Show that V decreases along any solution of the system.

dV
= Vxxt + Vy yt = Vx(Vx ) + Vy (Vy ) = Vx2 Vy2 < 0.
dt
c) Use (b) to prove that if z0 = (x0 , y0 ) is an isolated minimum of V then z0 is an
asymptotically stable equilibrium.
Lyapunov Theorem: If V (y) that is positive denite and for which V (y) is negative
denite in a neighborhood of 0, then the zero solution is asymptotically stable.
Let W (x, y) = V (x, y) V (x0 , y0 ). Then, W (x0 , y0 ) = 0.
dV
W (x, y) > 0 in a neighborhood around (x0 , y0 ), and dW
dt (x, y) < 0 by (b). ( dt (x, y) < 0
and dV
dt (x0 , y0 ) = 0).
(x0 , y0 ) is asymptotically stable.
Igor Yanovsky, 2005
17
Problem (S98, #1). Consider the undamped pendulum, whose equation is

d2 p g
+ sin p = 0.
dt2
l
a) Describe all possible motions using a phase plane analysis.
b) Derive an integral expression for the period of oscillation at a xed energy E,
and nd the period at small E to rst order.
c) Show that there exists a critical energy for which the motion is not periodic.
Proof. a) We have
y1 = p
y2 = p .
y1 = p = y2 = 0
g
g
y2 = p = sin p = sin y1 = 0.
l
l
Stationary points: (n, 0).
y1 = y2
= f (y1 , y2 ),
g
y2 = sin y1 = g(y1 , y2 ).
l

J(f1 (y1 , y2 ), f2 (y1 , y2 )) =
f1
y1
f2
y1
f1
y2
f2
y2

=
0
1
gl cos y1 0

.
For (y1 , y2 ) = (n, 0), n-even:

1
= 2 + g = 0.
det(J|(n,0) I) = g
l
l

i g C,
g > 0, (n,0), n-even, are Stable Centers.
l
=
g
R, g < 0. (n,0), n-even, are Unstable Saddle Points.
l
For (y1 , y2 ) = (n, 0), n-odd:
1
= 2 g = 0.
det(J|(n,0) I) = g

l
l

g R,
g > 0, (n,0), n-odd, are Unstable Saddle Points.
l
=
i g C,
g < 0, (n,0), n-odd, are Stable Centers.
l
Igor Yanovsky, 2005
18
Igor Yanovsky, 2005
19
b) We have
g
p + sin p
l
g

p p + p sin p
l
1 d 2 g d
(p )
(cos p)
2 dt
l dt
1 2 g
(p ) cos p
2
l
E =
= 0,
= 0,
= 0,
= E.
1 2 g
(p ) + (1 cos p).
2
l
Since we assume that |p| is small, we could replace sin p by p, and perform similar
calculations:
g
p + p = 0,
l
g

p p + p p = 0,
l
1 d 2 1g d
(p ) +
(p)2 = 0,
2 dt
2 l dt
1 2 1g 2
(p ) +
p = E1 ,
2
2l
g
(p )2 + p2 = E = constant.
l
Thus,
p2
(p )2
+ lE
E
g
= 1,
which is an ellipse with radii
E on p -axis, and
lE
g
on p-axis.
We derive an Integral Expression for the Period of oscillation at a xed energy E.

Note that at maximum amplitude (maximum displacement), p = 0.
Dene p = pmax to be the maximum displacement:
g
1
E = (p )2 + (1 cos p),
2
l
#
2g
2E (1 cos p),
p =
L

T
T
4
4
T
p

dt =
,
dt =
4
2g
0
0
2E L (1 cos p)
$
%
pmax
T
4
p
dp

dt.
T = 4
T = 4
0
0
2E 2g
(1
cos
p)
2E 2g
L
L (1 cos p)
Making change of variables: = p(t), d = p (t)dt, we obtain
pmax
d

.
T (pmax ) = 4
0
2E 2g
(1
cos
)
L
Igor Yanovsky, 2005
20
Problem (F94, #7).

The weakly nonlinear approximation to the pendulum equation (
x = sin x) is
1
x
= x + x3 .
6
(2.3)
a) Draw the phase plane for (2.3).

b) Prove that (2.3) has periodic solutions x(t) in the neighborhood of x = 0.
c) For such periodic solutions, dene the amplitude as a = maxt x(t). Find an integral
formula for the period T of a periodic solution as a function of the amplitude a.
d) Show that T is a non-decreasing function of a.
Hint: Find a rst integral of equation (2.3).
Proof. a)
y1 = x
y2 = x .
y1 = x = y2 = 0
1
1
y2 = x = x + x3 = y1 + y13 = 0.
6
6
Stationary points: (0, 0), ( 6, 0), ( 6, 0).

y1 = y2
= f (y1 , y2 ),
1
y2 = y1 + y13 = g(y1 , y2 ).
6

J(f (y1 , y2 ), g(y1, y2 )) =
For (y1 , y2 ) = (0,0):
1
det(J|(0,0) I) =
1
= i.
f
y1
g
y1
f
y2
g
y2

=
0
1
1 + 12 y12 0

= 2 + 1 = 0.

(0,0) is Stable Center.
For (y1 , y2 ) = ( 6, 0):

1

= 2 2 = 0.
det(J|( 6,0) I) =
2
( 6,0) are Unstable Saddle Points.

= 2.
Igor Yanovsky, 2005
21
b) Prove that x
= x + 16 x3 has periodic solutions x(t) in the neighborhood of x = 0.
We have
1
x
= x + x3 ,
6
1 3
x
x = xx
+ x x,
6
1 d 2
1 d 4
1 d 2
(x ) =
(x ) +
(x ),
2 dt
2 dt
24 dt
1
d 2
x + x2 x4 = 0.
dt
12
E = x 2 + x2
1 4
x .
12
Thus the energy is conserved.
1 4
For E > 0 small enough, consider x = E x2 + 12
x . For small E, x E.
Thus, there are periodic solutions in a neighborhood of 0.
c) For such periodic solutions, dene the amplitude as a = maxt x(t). Find an Integral
Formula for the Period T of a periodic solution as a function of the amplitude a.
Note that at maximum amplitude, x = 0. We have
1
E = x 2 + x2 x4 ,
12
#
1
E x2 + x4 ,
x =
12
T
T
4
4
T
x

,
dt =
dt =
4
1 4
0
0
E x2 + 12
x
T
4
x

dt.
T = 4
1 4
0
E x2 + 12
x
Making change of variables: = x(t), d = x(t)dt,
we obtain
T (a) = 4
0
d
E 2 +
1 4
12
d) Show that T is a non-decreasing function of a.

d
dT
= 4
da
da

0
d

E 2 +
1 4
12
Igor Yanovsky, 2005
22
Problem (S91, #1). Consider the autonomous ODE

d2 x
+ sin x = 0.
dt2
1
a) Find a nontrivial function H(x, dx
dt ) that is constant along each solution.
b) Write the equation as a system of 2 rst order equations. Find all of the stationary
points and analyze their type.
c) Draw a picture of the phase plane for this system.
Proof. a) We have
x
+ sin x = 0.
Multiply by x and integrate:
x
x + x sin x = 0,
d
1 d 2
(x ) + ( cos x) = 0,
2 dt
dt
x 2
cos x = C,
2
x 2
cos x.
H(x, x)
=
2
H(x, x)
is constant along each solution. Check:
H
H
d
H(x, x)
=
x +
x
= (sin x)x + x(
sin x) = 0.
dt
x
x
b,c)
1
2
Note that H does not necessarily mean that it is a Hamiltonian.

See S98 #1a.
2.7
Igor Yanovsky, 2005
23
Stability and Asymptotic Stability

y = f (y)
(2.4)
An equilibrium solution y0 of (2.4) is stable if , () such that whenever any

solution (t) of (2.4) satises |(t0 ) y0 | < , we have |(t) y0 | < .
An equilibrium solution y0 of (2.4) is asymptotically stable if it is stable, and
0 > 0, such that whenever any solution (t) of (2.4) satises |(t0 ) y0 | < 0 , we
have limt |(t) y0 | = 0.
y = f (t, y)
(2.5)
A solution (t) of (2.5) is stable if , t0 0, (, t0 ) > 0 such that whenever

any solution (t) of (2.5) satises |(t0) (t0 )| < , we have |(t) (t)| < , t t0 .
A solution (t) of (2.5) is asymptotically stable if it is stable, and 0 > 0,
such that whenever any solution (t) of (2.5) satises |(t0 ) (t0 )| < 0 , we have
limt |(t) (t)| = 0.
Re(j ) 0, and when Re(j ) = 0, j is simple y 0 is stable
Re(j ) < 0 y 0 is asymptotically stable
eA(tt0 ) a fundamental matrix. K > 0, > 0, s.t. |eA(tt0 )| Ke(tt0 )
Re(0 ) > 0 y 0 is unstable.
Igor Yanovsky, 2005
y = (A + B(t))y
24
(2.6)
Theorem. Re(j ) < 0, B(t) continuous for 0 t < and such that
. Then the zero solution of (2.6) is asymptotically stable.
Proof. y = (A + B(t))y = Ay + B(t)y ,

0
|B(s)|ds <
g(t) is an inhomogeneous term.
g(t)
Let (t) be a solution to the ODE with (t0 ) = y0 .

By the variation of constants formula:
t
A(tt0 )
y0 +
eA(ts) B(s)(s)ds
(t) = e
t0
Note: (t0 ) = y0
= et0 A y0 = et0 A (t0 ).
t
|eA(ts) ||(s)||B(s)|ds
|(t)| |eA(tt0 ) ||y0 | +
y0 = et0 A
t0
Re(j ) < 0
A(tt0 )
K, > 0, such that
(tt0 )
| Ke
,
t0 t <
|e
A(ts)
(ts)
| Ke
,
t0 s <
|e
t
e(ts) |(s)||B(s)|ds
|(t)| Ke(tt0 ) |y0 | + K

et |(t)| Ket0 |y0 | +K

t0
u(t)
t0
es |(s)| |B(s)| ds

u(s)
v(s)
By Gronwall Inequality:
K
et |(t)| Ket0 |y0 |e
t
t0
|B(s)|ds
t
|B(s)|ds
|(t)| Ke(tt0 ) |y0 |e t0

t

K t |B(s)|ds
But K
|B(s)|ds M0 < e t0
eM0 = M1 ,
K
t0
(tt0 )
|(t)| KM1 e
|y0 | 0, as t .
Thus, the zero solution of y = (A + B(t))y is asymptotically stable.

Theorem. Suppose
all solutions of y = Ay are bounded. Let B(t) be continuous for
0 t < , and 0 |B(s)|ds < . Show all solutions of y = (A + B(t))y are bounded
on t0 < t < .
Proof.
y = Ay
(2.7)
y = (A + B(t))y
(2.8)
Solutions of (2.7) can be written as etA c0 , where etA is the fundamental matrix.
Since all solutions of (2.7) are bounded, |etA c0 | c, 0 t < .
Igor Yanovsky, 2005
25
Now look at the solutions of non-homogeneous equation (2.8). By the variation of

constants formula and the previous exercise,
t
A(tt0 )
y0 +
eA(ts) B(s)(s)ds
(t) = e
t0
A(tt0 )
|(t)| |e
||y0 | +

|e
A(ts)
t0
||(s)||B(s)|ds c|y0 | + c
|(s)||B(s)|ds
t0
By Gronwall Inequality,
c
|(t)| c|y0 |e
But
t
t0
|B(s)|ds
.
|B(s)|ds < c
t0

|(t)| c|y0 |M1 K.
t0
|B(s)|ds < M0 , e
t
t0
|B(s)|ds
M1 .
Thus, all solutions of (2.8) are bounded.

Claim: The zero solution of y = (A + B(t))y is stable.
An equilibrium solution y0 is stable if , () such that whenever any solution (t)
satises |(t0 ) y0 | < , we have |(t) y0 | < .
We had |(t)| c|0 |M1 . Choose |(t0 )| small enough such that , () such that

|(t0 )| < < CM
1
|(t) 0| = |(t)| c|(t0)|M1 < cM1 < .
Thus, the zero solution of y = (A + B(t))y is stable.
y = (A + B(t))y + f (t, y)
Theorem. i) Re(j ) < 0, f (t, y) and
(2.9)
f
yj (t, y)
are continuous in (t, y).
= 0 uniformly with respect to t.

ii) lim|y|0 |f (t,y)|
|y|
iii) B(t) continuous. limt B(t) = 0.
Then the solution y 0 of (2.9) is asymptotically stable.
2.8
Conditional Stability
y = Ay + g(y)
(2.10)
|g(y)|
g
continuous, g(0) = 0 and lim|y|0 |y| = 0. If the eigenvalues of
Theorem. g, y
j
A are , with , > 0, then a curve C in the phase plane of original equation
passing through 0 such that if any solution (t) of (2.10) with |(0)| small enough starts
on C, then (t) 0 as t . No solution (t) with |(0)| small enough that does
not start on C can remain small. In particular, 0 is unstable.
2.9
Igor Yanovsky, 2005
26
Asymptotic Equivalence
x = A(t)x
(2.11)
y = A(t)y + f (t, y)
(2.12)
The two systems are asymptotically equivalent if to any solution x(t) of (2.11) with
x(t0 ) small enough there corresponds a solution y(t) of (2.12) such that
lim |y(t) x(t)| = 0
and if to any solution y(t) of (2.12) with y(t0 ) small enough there corresponds a solution
x
(t) of (2.11) such that
y(t) x
(t)| = 0
lim |
2.9.1
Levinson
Theorem. A is a constant matrix such that all solutions of x = Ax are bounded on

0 t < . B(t) is a continuous matrix such that |B(s)|ds < . Then, the systems
0
x = Ax and y = (A + B(t))y are asymptotically equivalent.
Igor Yanovsky, 2005
27
Lyapunovs Second Method
Lagranges Principle. If the rest position of a conservative mechanical system has

minimum potential energy, then this position corresponds to a stable equilibrium. If the
rest position does not have minimum potential energy, then the equilibrium position is
unstable.
3.1
Hamiltonian Form
A system of 2 (or 2n) equations determined by a single scalar function H(y, z)

(or H(y1 , . . ., yn , z1 , . . . , zn )) is called Hamiltonian if it is of the form
H
z
z =
H
zi
zi =
H(y, z)
y =
H(y1 , . . . , yn , z1 , . . ., zn )
yi =
H
y
H
yi
(i = 1, . . ., n)
(3.1)
Problem. If = (1 , . . ., 2n ) is any solution of the Hamiltonian system (3.1), then

H(1 , . . . , 2n) is constant.
Proof. Need to show dH
dt = 0.
Can relabel: H(1 , . . ., n , n+1 , . . . , 2n) = H(y1 , . . ., yn , z1 , . . . zn ).
dH
dt
d
H(1 , . . . , n , n+1 , . . ., 2n )
dt
H dn
H dn+1
H d2n
H d1
++
+
++
=
1 dt
n dt
n+1 dt
2n dt
n
n
n
n

H di
H dn+i
H dyi
H dzi
+
=
+
=
i dt
n+i dt
yi dt
zi dt
=
i=1
= (by (3.1)) =
i=1
n

H H
i=1
yi zi
Thus, H(1 , . . . , 2n) is constant.
i=1
n

H
i=1
zi
H
yi
i=1
= 0.
Igor Yanovsky, 2005
28
Problem (F92, #5). Let x = x(t), p = p(t) be a solution of the Hamiltonian

system
dx
=
H(x, p),
dt
p
dp
=
H(x, p),
dt
x
x(0) = y
p(0) = .
Suppose that H is smooth and satises

&

H
2

x (x, p) C |p| + 1

H

p (x, p) C.
Prove that this system has a nite solution x(t), p(t) for < t < .
Proof.
dx
ds,
0 ds
t
t
t

dx
H
ds = |x(0)| + Ct.
|x(t)| |x(0)| +
ds |x(0)| + C
ds = |x(0)| +

p
0 ds
0
0
x(t) = x(0) +
Thus, x(t) is nite for nite t.

t
dp
ds,
p(t) = p(0) +
0 ds
t
t&
t

dp
H
|p|2 + 1 ds
|p(t)| |p(0)| +
ds |p(0)| + C
ds = |p(0)| +

ds
x
0
0
0
t
t
(1 + |p|) ds = |p(0)| + Ct + C
|p| ds
|p(0)| + C
0
t
(|p(0)| + Ct)e
C ds
(|p(0)| + Ct)e ,
Ct
where we have used Gronwall (Integral) Inequality.
Thus, p(t) is nite for nite t.
3
Gronwall (Dierential) Inequality: v(t) piecewise continuous on t0 t t0 + a.
continuous on some interval. If
u(t) and du
dt
du
v(t)u(t)
dt
u(t) u(t0 )e
t
t0
v(s)ds
Gronwall (Integral) Inequality: u(t), v(t) continuous on [t0 , t0 + a]. v(t) 0, c 0.

t
v(s)u(s)ds
u(t) c +
t0
u(t) c e
t
t0
v(s)ds
t0 t t0 + a
3.2
Igor Yanovsky, 2005
29
Lyapunovs Theorems
Denitions:
y = f (y)
The scalar function V (y) is said to be positive denite if V (0) = 0 and V (y) > 0 for
all y = 0 in a small neighborhood of 0.
The scalar function V (y) is negative denite if V (y) is positive denite.
The derivative of V with respect to the system y = f (y) is the scalar product
V (y) = V f (y)
d
V (y(t)) = V f (y) = V (y)
dt
along a solution y the total derivative of V (y(t)) with respect to t coincides with
the derivative of V with respect to the system evaluated at y(t).
3.2.1
Stability (Autonomous Systems)
If V (y) that is positive denite and for which V (y) 0 in a neighborhood of 0, then
the zero solution is stable.
If V (y) that is positive denite and for which V (y) is negative denite in a neighborhood of 0, then the zero solution is asymptotically stable.
If V (y), V (0) = 0, such that V (y) is either positive denite or negative denite, and
every neighborhood of 0 contains a point a = 0 such that V (a)V (a) > 0, then the 0
solution is unstable.
Igor Yanovsky, 2005
30
Problem (S00, #6).

a) Consider the system of ODEs in R2n given in vector notation by
dx
= f (|x|2 )p
dt
and
dp
= f (|x|2 )|p|2x,
dt
where x = (x1 , . . ., xn ), p = (p1 , . . . , pn), and f > 0, smooth on R. We use the notation x p = x1 p1 + + xn pn , |x|2 = x x and |p|2 = p p.
Show that |x| is increasing with t when p x > 0 and decreasing with t when p x < 0,
and that H(x, p) = f (|x|2 )|p|2 is constant on solutions of the system.
f (s)
b) Suppose s has a critical value at s = r 2 . Show that solutions with x(0) on the
shpere |x| = r and p(0) perpendicular to x(0) must remain on the sphere |x| = r for all
and use part (a)].
t. [Compute d(px)
dt
Proof. a)
Consider p x > 0:
Case : p > 0, x > 0 dx
dt > 0 x = |x| is increasing.
dx
Case : p < 0, x < 0 dt < 0 x = |x| is decreasing |x| is increasing.
Consider p x < 0:
Case : p > 0, x < 0 dx
dt > 0 x = |x| is increasing |x| is decreasing.
dx
Case : p < 0, x > 0 dt < 0 x = |x| is decreasing.
Thus, |x| is increasing with t when p x > 0 and decreasing with t when p x < 0.
To show H(x, p) = f (|x|2 )|p|2 is constant on solutions of the system, consider

d
dH
=
f (|x|2)|p|2 = f (|x|2) 2xx|p|
2 + f (|x|2 ) 2pp
dt
dt
'
(
= f (|x|2 ) 2xf (|x|2 )p|p|2 + f (|x|2) 2p f (|x|2 )|p|2 x = 0.
Thus, H(x, p) is constant on solutions of the system.
b) G(s) =
f (s)
s
has a critical value at s = r 2 . Thus,
sf (s) f (s)
,
s2
r 2 f (r 2 ) f (r 2 )
,
G (r 2 ) = 0 =
r4
0 = r 2 f (r 2 ) f (r 2 ).
G (s) =
Since p(0) and x(0) are perpendicular, p(0) x(0) = 0.

d(p x)
dt

dp
dx
+p
= f (|x|2 )|p|2|x|2 + f (|x|2 )|p|2 = |p|2 f (|x|2 ) f (|x|2)|x|2 ,
dt
dt

d(p x)
(t = 0) = |p|2 f (r 2 ) f (r 2 )r 2 = |p|2 0 = 0.
dt
= x
d(px)
Also, dt = 0 holds for all |x| = r. Thus, p x = C for |x| = r. Since, p(0) x(0) = 0,
px = 0. Hence, p and x are always perpendicular, and solution never leaves the sphere.
Note: The system
dx
= f (|x|2 )p and
dt
dp
= f (|x|2)|p|2 x,
dt
Igor Yanovsky, 2005
determined by H(x, p) = f (|x|2 )|p|2 is Hamiltonian.

x =
H
= 2f (|x|2)|p|,
p
p =
H
= 2xf (|x|2 )|p|2.
x
31
Igor Yanovsky, 2005
32
Example 1. Determine the stability property of the critical point at the origin for the
following system.
y1 = y13 + y1 y22
y2 = 2y12 y2 y23

T ry
V (y1 , y2 ) = y12 + cy22 .

V (0, 0) = 0; V (y1 , y2 ) > 0, y = 0
V is positive def inite.
dV
= 2y1 y1 + 2cy2 y2 = 2y1 (y13 + y1 y22 ) + 2cy2 (2y12 y2 y23 )
dt
= 2y14 2cy24 + 2y12 y22 4cy12 y22 .
V (y1 , y2 ) =
If c =
1
,
2
V (y1 , y2 ) = 2y14 y24 < 0, y = 0; V (0, 0) = 0

V negative def inite.
Since V (y1 , y2 ) is positive denite and V (y1 , y2 ) is negative denite, the critical point
at the origin is asymptotically stable.
following system.
y1 = y13 y23
y2 = 2y1 y22 + 4y12 y2 + 2y23

T ry
V (y1 , y2 ) = y12 + cy22 .

V (0, 0) = 0; V (y1 , y2 ) > 0, y = 0
dV
= 2y1 y1 + 2cy2 y2 = 2y1 (y13 y23 ) + 2cy2 (2y1 y22 + 4y12 y2 + 2y23 )
dt
= 2y14 2y1 y23 + 4cy1 y23 + 8cy12 y22 + 4cy24 .
V (y1 , y2 ) =
If c =
1
,
2
V (y1 , y2 ) = 2y14 + 4y12 y22 + 2y24 > 0, y = 0; V (0, 0) = 0

V positive def inite.
Since V (y1 , y2 ) is positive denite and V (y)V (y) > 0, y = 0, the critical point at
the origin is unstable.
following system.
y1 = y13 + 2y23
y2 = 2y1 y22
T ry
V (y1 , y2 ) = y12 + cy22 .

V (0, 0) = 0; V (y1 , y2 ) > 0, y = 0
dV
= 2y1 y1 + 2cy2 y2 = 2y1 (y13 + 2y23 ) + 2cy2 (2y1 y22 )
dt
= 2y14 + 4y1 y23 4cy1 y23 .
V (y1 , y2 ) =
If c = 1,
V (y1 , y2 ) = 2y14 0, y; V (y) = 0 f or y = (0, y2).
V is neither positive def inite nor negative def inite.
Igor Yanovsky, 2005
33
Since V is positive denite and V (y1 , y2 ) 0 in a neighborhood of 0, the critical point

at the origin is at least stable.
V is positive denite, C 1 , V (y1 , y2 ) 0, y. The origin is the only invariant
subset of the set E = {y|V (y) = 0} = {(y1 , y2 ) | y1 = 0}. Thus, the critical point at
the origin is asymptotically stable.
Problem (S96, #1).
Construct a Liapunov function of the form ax2 + cy 2 for the system
x = x3 + xy 2
y = 2x2 y y 3 ,
and use it to show that the origin is a strictly stable critical point.
Proof. We let V (x, y) = ax2 + cy 2 .
dV
= 2axx + 2cy y = 2ax(x3 + xy 2 ) + 2cy(2x2y y 3 )
dt
= 2ax4 + 2ax2 y 2 4cx2 y 2 2cy 4 = 2ax4 + (2a 4c)x2 y 2 2cy 4 .
V (x, y) =
For 2a 4c < 0, i.e. a < 2c, we have V (x, y) < 0. For instance, c = 1, a = 1.
Then, V (0, 0) = 0; V (x, y) > 0, (x, y) = (0, 0) V is positive denite.
Also, V (0, 0) = 0; V (x, y) = 2ax4 2x2 y 2 2cy 4 < 0, (x, y) = (0, 0)
V is negative denite.
Since V (x, y) is positive denite and V (x, y) is negative denite, the critical point at
the origin is asymptotically stable.
Example 4. Consider the equation u + g(u) = 0, where g is C 1 for |u| < k, k > 0,
and ug(u) > 0 if u = 0. Thus, by continuity, g(0) = 0. Write the equation as a system
y1 = y2
y2 = g(y1 )
and the origin is an isolated critical point. Set

y1
y22
+
g()d.
V (y1 , y2 ) =
2
0
y
Thus, V (0, 0) = 0 and since g() > 0, 0 1 g()d > 0 for 0 < |y1 | < k.
Therefore, V (y1 , y2 ) is positive denite on = {(y1 , y2 ) | |y1 | < k, |y2 | < }.
V (y1 , y2 ) =
dV
= y2 y2 + g(y1 )y1 = y2 (g(y1 )) + g(y1 )y2 = 0.
dt
Since V is positive denite and V (y1 , y2 ) 0 in a neighborhood of 0, the critical point

at the origin is stable.
Igor Yanovsky, 2005
34
Example 5. The Lienard Equation. Consider the scalar equation

u + u + g(u) = 0
or, written as a system,
y1 = y2
y2 = g(y1 ) y2
where g is C 1 , ug(u) > 0, u = 0. Try

y1
y22
V (y1 , y2 ) =
+
g()d.
2
0
V is positive denite on = {(y1 , y2 ) | |y1 | < k, |y2 | < }.
V (y1 , y2 ) =
dV
= y2 y2 + g(y1 )y1 = y2 (g(y1 ) y2 ) + g(y1 )y2 = y22 .
dt
Since V (y1 , y2 ) 0 in , the solution is stable. But V (y1 , y2 ) is not negative denite
on (V (y1 , y2 ) = 0 at all points (y1 , 0)). Even though the solution is asymptotically
stable, we cannot infer this here by using Lyapunovs theorems.4
4
See the example in Invariant Sets and Stability section.
3.3
Igor Yanovsky, 2005
35
Periodic Solutions
Problem. Consider the 2-dimensional autonomous system y = f (y) where f (y)

C 1 (R2 ). Let R2 be simply connected, such that y , we have div f (y) = 0.
Show that the ODE system has no periodic solutions in .
Proof. Towards a contradiction, assume ODE system has a periodic solution in . Let
be a boundary on .

y1 = f1 (y1 , y2 ),
y = f (y)
y2 = f2 (y1 , y2 ).
n = (n1 , n2 ) = (y2 , y1 ) is the normal to . Recall Divergence Theorem:
)

f n ds =
div f dA.
Let y be a periodic solution with period T , i.e. y(t + T ) = y(t). Then, a path traversed
by a solution starting from t = a to t = a + T is . Then, is a closed curve.

a+T
)
f n ds =
(f1 n1 + f2 n2 ) ds =
(y1 y2 y2 y1 ) dt = 0
a

div f dA = 0.
div f C 0 , and eiHowever, by hypothesis, div f (y) = 0 and

f C 1 . Therefore,
ther div f > 0 or div f < 0 on . Thus, div f dA > 0 or div f dA < 0, a
contradiction.
Example. Show that the given system has no non-trivial periodic solutions:
dx
dt
dy
dt
Proof.
dx
dt
= x + y + x3 y 2 ,
= x + 2y + x2 y +
= f1 (x, y),
div f (x, y) =
dy
dt
y3
.
3
= f2 (x, y).
f1 f2
+
= (1 + 2x2 ) + (2 + x2 + y 2 ) = 3 + 3x2 + y 2 > 0.
x
y
By the problem above, the ODE system has no periodic solutions.
Igor Yanovsky, 2005
36
Problem (F04, #5).

Consider a generalized Volterra-Lotka system in the plane, given by
x (t) = f (x(t)),
x(t) R2 ,
(3.2)
where f (x) = (f1 (x), f2(x)) = (ax1 bx1 x2 ex21 , cx2 + dx1 x2 f x22 ) and a, b, c, d, e, f
are positive constants. Show that
div(f ) = 0
x1 > 0, x2 > 0,
where (x1 , x2) = 1/(x1 x2 ). Using this observation, prove that the autonomous system
(3.2) has no closed orbits in the rst quadrant.
Proof.
$
f
div(f ) =
ax1 bx1 x2 ex21

x1 x2
cx2 +dx1 x2 f x22
x1 x2
1
ax1
2 b ex1 x2
1
cx1
1 + d f x1 x2
1
1
1
1
(ax1
(cx1
2 b ex1 x2 ) +
1 + d f x1 x2 ) = ex2 f x1 = 0,
x1
x2
for x1 , x2 > 0, f , e > 0.
Towards a contradiction, assume ODE system has a closed orbit in the rst quadrant. Let be a bounded domain with an orbit that is .
Let x be a periodic solution with a period T , i.e. x(t + T ) = x(t).
n = (n1 , n2 ) = (x2 , x1 ) is the normal to . By Divergence Theorem,

div(f ) dx =
(f ) n dS =
(f1 n1 + f2 n2 ) dS
a+T
(x1x2 x2 x1 ) dt = 0.
=
a
C1
in , then div(f ) C 0 in .
Since f
Thus, the above result implies div(f ) = 0 for some (x1 , x2 ) ,
which contradicts the assumption.
Igor Yanovsky, 2005
37
Problem (F04, #4).

Prove that each solution (except x1 = x2 = 0) of the autonomous system

x1 = x2 + x1 (x21 + x22 )
x2 = x1 + x2 (x21 + x22 )
blows up in nite time. What is the blow-up time for the solution which starts at the
point (1, 0) when t = 0?
Proof. We have r 2 = x21 + x22 . Multiply the rst equation by x1 and the second by x2 :
x1 x1 =
x1 x2 + x21 (x21 + x22 ),
x2 x2 = x1 x2 + x22 (x21 + x22 ).
Add equations:
x1 x1 + x2 x2
1 2
(x + x22 )
2 1
1 2
(r )
2
rr
r
dr
dt
dr
r3
1
2
2r
= (x21 + x22 )(x21 + x22 ),

= (x21 + x22 )(x21 + x22 ),
= r4 ,
= r4 ,
= r3 ,
= r3 ,
= dt,
= t + C,
*
1
.
r =
2(t + C)
Thus, solution blows up at t = C. We determine C.

Initial conditions: x1 (0) = 1, x2 (0) = 0 r(0) = 1.
#
1
,
1 = r(0) =
2C
1
C = ,
#
#2
1
1
=
.
r =
2t 1
1 2t
Thus, the blow-up time is t = 12 .
3.4
Igor Yanovsky, 2005
38
Invariant Sets and Stability
A set K of points in phase space is invariant with respect to the system y = f (y) if
every solution of y = f (y) starting in K remains in K for all future time.
A point p Rn is said to lie in the positive limit set L(C + ) (or is said to be a limit
point of the orbit C + ) of the solution (t) i for the solution (t) that gives C + for
t 0, a sequence {tn } + as n such that limn (tn ) = p.
Remark: V 0, S = {y Rn : V (y) }.
For every the set S , in fact, each of its components, is an invariant set with respect
to y = f (y).
Reasoning: if y0 S and (t, y0 ) is solution
d
V ((t, y0 )) = V ((t, y0 )) 0
dt
V ((t, y0 )) V ((0, y0)), t 0

(t, y0 ) S , t 0
S invariant (as its components).
If the solution (t, y0 ) is bounded for t 0 L(C + ) is a nonempty closed,
connected, invariant set. Moreover, the solution (t, y0 ) L(C + ) as t .
V is C 1 . V 0 on . Let y0 and (t, y0 ) be bounded with (t, y0 ) ,
t 0. Assume that L(C + ) lies in . Then, V (y) = 0 at all points of L(C + ).
V positive denite, C 1 , V 0. Let the origin be the only invariant subset of the set
{y|V (y) = 0}. Then the sero solution is asymptotically stable.
V nonnegative, C 1 , V 0, V (0) = 0. Let M be the largest invariant subset of
{y|V (y) = 0}. Then all bounded solutions approach the set M as t .
L(C + ) contains a closed (periodic) orbit L(C + ) contains no other points.
The limit set can not be a closed disk topologically.
Igor Yanovsky, 2005
39
Example. The Lienard Equation. Consider the scalar equation

u + f (u)u + g(u) = 0
where f (u) > 0 for u = 0 and ug(u) > 0 for u = 0. Written as a system,
y1 = y2
y2 = f (y1 )y2 g(y1 )
V (y1 , y2 ) =
y22
+
2
y1
g()d.
0
V (0, 0) = 0; V (y1 , y2 ) > 0, y = 0, so V is positive denite.

V (y1 , y2 ) =
dV
= y2 y2 + g(y1 )y1 = y2 (f (y1 )y2 g(y1 )) + g(y1 )y2 = f (y1 ) y22 0.

dt
>0
The zero solution is at least stable by one of Lyapunovs theorems.

V (y1 , 0) = 0 on y1 axis E = {y | V (y) = 0} = {y | (y1 , 0)} E is y1 -axis.
A set of points in phase space is invariant if every solution that starts in remains
in for all time.
On y1 -axis (y2 = 0):
dy1
dt
dy2
dt
= 0
> 0, y1 > 0,
= g(y1 ) =
< 0, y1 < 0.

< 0, y1 > 0,
=
> 0, y1 < 0.
The solution can remain on E (y2 = 0) only if y2 = g(y1 ) = 0.

Thus, (0, 0) is the largest (and only) invariant subset of E = {y | V (y) = 0}.
Since V is positive denite, C 1 on R2 , V 0, y R2 , and the origin is the only
invariant subset of E, the zero solution is asymptotically stable.
Example. Van Der Pol Equation. Region of Asymptotic Stability.
Determine an estimate of the region of asymptotic stability in the phase plane for
u + (1 u2 )u + u = 0,
> 0, a constant.
Proof. Recall the Lienard equation: u + f (u)u + g(u) = 0. In our case,
f (u) = (1 u2 ), g(u) = u.
Similar to assumptions made for the Lienard equation,
we have
u
2
g(0) = 0, ug(u) = u > 0, u = 0. Let F (u) = 0 f ()d.
u
u
u3
.
f ()d =
(1 2 )d = u
F (u) =
3
0
0
Find a > 0 such that uF (u) > 0 for 0 < |u| < a:
uF (u) = u2
u4
> 0 0 < |u| < 3 = a.
3
(3.3)
Here, we employ a dierent equivalent system than we had done in previous examples,
y1 = u,
y2 = u + F (u),
which gives
Igor Yanovsky, 2005
40
y1 = y2 F (y1 ),
y2 = y1 .
y
y
Dene G(y1 ) = 0 1 g() d = 0 1 d =
Choose V (y1 , y2 ) =
y22
2
V (y1 , y2 ) =
on the strip
y12
2 .
y22
y12
V (y1 , y2 ) is positive denite on R2 .
2 + 2
y2 y2 + y1 y1 = y2 (y1 ) + y1 (y2 F (y1 )) = y1 F (y1 ) 0
+ G(y1 ) =
= {(y1 , y2 ) |
3 < y1 <
3, < y2 < },
by (3.3).
Thus, the origin is stable.

V = y1 F (y1 ) = 0 for y1 = 0 (y2 axis)
E = {y | V (y) = 0} = {(y1 , y2 ) | y1 = 0}. On E : y1 = y2 , y2 = 0.
Thus, 0 is the only invariant subset of E, and the zero solution is asymptotically stable.
y2
y2
Consider the curves V (y1 , y2 ) = ( 21 + 22 = ) for 3 < y1 < 3 with increasing
values of , beginning with = 0. These are closed curves symmetric about the y1 -axis.
y2
y2
Since V (y1 , y2 ) = 22 + 21 , V (y1 , y2 ) rst makes contact with the boundary of at
= min(G( 3), G( 3)) =

one of the points ( 3, 0) or ( 3, 0). The best value of
y2
y2
= {(y1 , y2 ) | y 2 + y 2 < 3}.
min( 32 , 32 ) = 32 and C = {(y1 , y2 ) | 22 + 21 < }
1
2
Every solution that starts in C approaches the origin.5
3.5
Global Asymptotic Stability
Theorem. Let there exist a scalar function V (y) such that:

(i) V (y) is positive denite on all Rn ;
(ii) V (y) as |y| ;
(iii) V (y) 0 on Rn ;
(iv) 0 it the onlty invariant subset of E = {y | V (y) = 0}.
Then 0 is globally asymptotically stable.
Corollary. V (y) satises (i) and (ii) above, and V (y) is negative denite.
Then 0 is globally asymptotically stable.
5
Brauer, Nohel, Theorem 5.5, p. 214.
3.6
Igor Yanovsky, 2005
41
Stability (Non-autonomous Systems)

y = f (t, y)
The scalar function V (t, y) is positive denite if V (t, 0) = 0, t and W (y) positive
denite, s.t. V (t, y) W (y) in = {(t, y) : t 0, |y| b, b > 0}.
The scalar function V (t, y) is negative denite if V (t, y) is positive denite.
V (t, y) =
V
d
V (t, y(t)) =
+ V f (t, y)
dt
t
If there exists a scalar function V (t, y) that is positive denite and for which V (t, y) 0
in , then the zero solution is stable.
If there exists a scalar function V (t, y) that is positive denite, satises an innitesimal
upper bound (i.e. lim0+ supt0,|y| |V (t, y)| = 0), and for which V (t, y) is negative
denite, then the zero solution is asymptotically stable.
3.6.1
Examples
V (t, y) = y12 + (1 + t)y22 y12 + y22 = W (y) V positive denite on = {(t, y) : t

0)}
V (t, y) = y12 + ty22 y12 + ay22 = W (y) V positive denite on = {(t, y) : t
a, a > 0)}
y22
a22
. Since V (t, 0, a2) = 1+t
0 as t V not positive denite
V (t, y) = y12 + 1+t
even though V (t, y) > 0 for y = 0.
Igor Yanovsky, 2005
42
Poincare-Bendixson Theory
A segment without contact with respect to a vector eld V : Rn Rn is a nite,

closed segment L of a straight line, s.t:
a) Every point of L is a regular point of V ;
b) At no point of L the vector eld V has the same direction as L.
Poincare-Bendixson Theorem. Let C + be a positive semi-orbit contained in a closed
and bounded set K R2 . If its limit set L(C + ) contains no critical points of vector
eld f, then L(C + ) is a periodic orbit. Also, either:
i) C = L(C + ), or
ii) C approaches L(C + ) spirally from either inside or outside.
Corollary. If C + is a semiorbit contained in an invariant compact set K in which
f has no critical points, then K contains a periodic orbit. Such a set cannot be
equivalent to a disk.
Example. Prove that the second order dierential equation
z + (z 2 + 2(z )2 1)z + z = 0
(4.1)
has a non-trivial periodic solution.

Proof. Write (4.1) as a rst-order system:
y1 = y2 ,
y2 = y1 (y12 + 2y22 1)y2 .
Let V (y1 , y2 ) =
1 2 1 2
y + y
2 1 2 2
V (y1 , y2 ) = y1 y1 + y2 y2 = y1 y2 + y2 (y1 (y12 + 2y22 1)y2 )

= y22 (y12 + 2y22 1)
Use Poincare-Bendixson Theorem: If C + is a semiorbit contained in an invariant

compact set K in which f has no critical points, then K contains a periodic orbit.
Setting both equations of the system to 0, we see that (0, 0) is the only critical point.
Choose a compact set K = {(y1 , y2 ) | 14 y12 + y22 4} and show that it is invariant.
V = V f. Need V |out < 0, V |in > 0.
Check invariance of K:
< 0,
V |out = y22 (y12 + 2y22 1)
need
Need: y12 + 2y22 1 > 0,

y12 + 2y22 1 y12 + y22 1 = 4 1 = 3 > 0.
> 0,
V |in = y22 (y12 + 2y22 1)
need
Need: y12 + 2y22 1 < 0,

y12 + 2y22 1 2y12 + 2y22 1 = 2( 14 ) 1 = 12 < 0.
K is an invariant set. (0, 0)
/ K.
Thus K contains a periodic orbit.
Igor Yanovsky, 2005
43
Polar Coordinates. Sometimes it is convenient to use polar coordinates when applying Poincare-Bendixson theorem.
y1 = f1 (y1 , y2 )
y2 = f2 (y1 , y2 )
y2
y2
V = 21 + 22

V = dV
dt = y1 y1 + y2 y2 = r cos f1 (r, ) + r sin f2 (r, ).
Example. Polar Coordinates. Consider the system
y1 = y2 + y1 (1 y12 y22 ),
y2 = y1 + y2 (1 y12 y22 ).
Proof. Let V (y1 , y2 ) =
y12
2
y22
2 .
V (y1 , y2 ) = y1 y1 + y2 y2 = r cos f1 (r, ) + r sin f2 (r, )
= r cos (r sin + r cos (1 r 2 )) + r sin (r cos + r sin (1 r 2 ))

= r 2 cos sin + r 2 cos2 (1 r 2 ) r 2 cos sin + r 2 sin2 (1 r 2 )
= r 2 (1 r 2 ).
Use Poincare-Bendixson Theorem: If C + is a semiorbit contained in an invariant

compact set K in which f has no critical points, then K contains a periodic orbit.
Setting both equations of the system to 0,
we see that (0, 0) is the only critical point.
Choose a compact set K = {(y1 , y2 ) | 14 y12 + y22 4}
and show that it is invariant.
V = V f. Need V |out < 0, V |in > 0.
V |out = r 2 (1 r 2 ) = 4(1 4) < 0.
V |in = r 2 (1 r 2 ) = 14 (1 14 ) > 0.
/ K.
Igor Yanovsky, 2005
44
Example. Show that the autonomous system

du
dt
dv
dt
= u v u3 uv 2
= u + v v 3 u2 v
has (a) a unique equilibrium point, (b) which is unstable, and (c) a unique closed
solution curve.
Proof. a) Set above equations to 0 and multiply the rst by v and the second by u:
uv v 2 u3 v uv 3 = 0
u2 + uv uv 3 u3 v = 0
u2 + v 2 = 0 u2 = v 2 u = 0, v = 0.
Thus, (0, 0) is a unique equilibrium point.

b) Let V (u, v) = 12 u2 + 12 v 2 , V is positive denite in R2 .
V (u, v) = uu + vv = u(u v u3 uv 2 ) + v(u + v v 3 u2 v)
= (u2 + v 2 ) (u2 + v 2 )2 = (u2 + v 2 )(1 (u2 + v 2 )).
V (u, v) is positive denite in a small neighborhood of (0, 0), i.e. V is positive denite
on = {(u, v) | u2 + v 2 = 12 }. Thus (0, 0) is unstable.
c) To show that the ODE system has a closed solution curve, use Poincare-Bendixson
theorem: If C + is a semiorbit contained in an invariant compact set K in which f
has no critical points, then K contains a periodic orbit.
Choose a compact set K = {(u, v) | 12 u2 + v 2 2} and show that it is invariant.
V = V f. Need V |out < 0, V |in > 0.
V |out = (u2 + v 2 )(1 (u2 + v 2 )) = 2(1 2) = 2 < 0.
V |in = (u2 + v 2 )(1 (u2 + v 2 )) = 12 (1 12 ) = 14 > 0.
/ K.
To show uniqueness of a periodic orbit, suppose is
the orbit of a periodic solution in K.

dV = 0,
dV
dV
dt = V dt
dt
V dt = 0.
V (u, v) = (u2 + v 2 )(1 (u2 + v 2 ))

(u2 + v 2 )(1 (u2 + v 2 )) dt = 0.
u + v = 1 is a periodic orbit.
Suppose there is another periodic orbit in K. We know that the following integral
should be equal to 0 for a closed curve :

(u2 + v 2 )
(1 (u2 + v 2 ))
dt = 0.

=0
oscillates about 0 as going around
Igor Yanovsky, 2005
45
In order for integral above to be equal to 0, (1 (u2 + v 2 )) should change sign as going
around. At some point a, = {(u, v) | u2 + v 2 = 1} and 2 dened by the second
solution would intersect. But this is impossible, since at that point, there would be
more than one possible solution. contradiction. Thus, the system has unique closed
solution curve.
Igor Yanovsky, 2005
46
Problem (S99, #8). Consider the pair of ordinary dierential equations

dx1
dt
dx2
dt
= x2
= x1 + (1 x21 x22 )x2
a) Show any nontrivial solution has the property that x21 + x22 decreases in time if its
magnitude is greater than one and increases in time if its magnitude is less than one.
b) Use your work in (a) to show that on a periodic orbit, the integral

'
(
1 x21 (t) x22 (t) x22 (t) dt = 0.
c) Consider the class of solutions x1 = sin(t + c), x2 = cos(t + c). Show that these are
the only periodic orbits, for c any constant.
Hint: Use (b) to show that any periodic solution for which 1 x21 x22 = 0 must be such
that 1 x21 x22 changes sign on the orbit and use (a) to show this is impossible.
Proof. a) (0, 0) is the only equilibrium point.
Let V (x1 , x2 ) = 12 x21 + 12 x22 ; V is positive denite on R2 .
V (x1 , x2 ) = x1 x1 + x2 x2 = x1 x2 + x2 (x1 + (1 x21 x22 )x2 ) = (1 x21 x22 )x22 (4.2)
V (x1 , x2 ) 0 inside and V (x1 , x2 ) 0 outside the unit circle in the phase plane.
Since V = 0 on x2 = 0 (x1 -axis), it can not be concluded
that the statement to be proved is satised.
Let r = 12 x21 + 12 x22 in (4.2), then
d 1 2 1 2
x + x2 = (1 x21 x22 )x22 ,
V (x1 , x2 ) =
dt 2 1 2

<
0,
2r
>
1
< 0, x21 + x22 > 1,
dr
= (1 2r)x22 =
=
dt
> 0, 2r < 1
> 0, x21 + x22 < 1.
Thus, r (and thus, x21 + x22 ) decreases if x21 + x22 > 1 and increases if x21 + x22 < 1.
2
2
If r = 12 , dr
dt = 0, so x1 + x2 = 1 is a circular orbit.
b) The only periodic orbit is x21 + x22 = 1 where V = 0:

dV = 0,
dV
dt = V dt
dV =
dt

V dt = 0.
'
(
1 x21 x22 x22 dt = 0.
c) The class of solutions x1 = sin(t + c), x2 = cos(t + c) satisfy x21 + x22 = 1, and
therefore, are periodic orbits, for c any constant. Suppose there is another periodic
orbit. We know that the following integral should be equal to 0 for a closed curve :

'
(
x22 dt = 0.
1 x21 x22

oscillates about 0 as going around
=0
In order for integral above to be equal to 0, 1 x21 x22 should change sign as going
around.
At some point a, = {(x1 , x2 ) | x21 + x22 = 1} and 2 dened by the second solution
Igor Yanovsky, 2005
47
would intersect. But this is impossible, since at that point, there would be more than
one possible solution. contradiction. Thus, the system has a unique closed solution
curve.
Also, by (a), we can conclude that solution curves either increase or decrease in time
if the magnitude of x21 + x22 is not one. Thus, they approach the only periodic solution
x21 + x22 = 1.
Igor Yanovsky, 2005
48
Sturm-Liouville Theory
Denition. The dierential equation

(py ) + qy + ry = 0,
c1 y(a) + c2 y (a) = 0,
axb
(5.1)
c3 y(b) + c4 y (b) = 0
is called a Sturm-Liouville equation. A value of the parameter for which a nontrivial solution (y = 0) exists is called an eigenvalue of the problem and corresponding nontrivial solution y(x) of (5.1) is called an eigenfunction which is associated with
that eigenvalue. Problem (5.1) is also called an eigenvalue problem.
The coecients p, q, and r must be real and continuous everywhere and p > 0 and
r > 0 everywhere.
5.1
Sturm-Liouville Operator
Consider the Sturm-Liouville dierential operator

Ly = (py ) + qy
L=

d d
p
+q
dx dx
(5.2)
where p > 0, r > 0, and p , q and r are continuous on [a, b]. The dierential equation
(5.1) takes the operational form
Ly + ry = 0,
axb
c1 y(a) + c2 y (a) = 0,
5.2
(5.3)
c3 y(b) + c4 y (b) = 0.
Existence and Uniqueness for Initial-Value Problems
Theorem6 . Let P (x), Q(x) and R(x) be continuous on [a, b]. If x0 is a point in this
interval and y0 and y1 are arbitrary numbers, then the initial-value problem
y + P (x)y + Q(x)y = R(x)
y(x0 ) = y0 ,
y (x0 ) = y1
has a unique solution on [a, b].

Note. The unique solution of the initial-value problem with R(x) = 0,
y (x0 ) = 0, is the trivial solution.
5.3
y(x0 ) =
Existence of Eigenvalues
Theorem7 . The Sturm-Liouville problem (5.1) has an innite number of eigenvalues,

which can be written in increasing order as 1 < 2 < . . . < n < . . . , such that
limn n = . The eigenfunctions yn (x) corresponding to n has exactly n 1 zeros
in (a, b).
6
7
Bleecker and Csordas, Theorem 1, p. 260.

5.4
Igor Yanovsky, 2005
49
Series of Eigenfunctions
Theorem8 . The eigenfunctions n (x) form a complete set, meaning that any piecewise smooth function f (x) can be represented by a generalized Fourier series of eigenfunctions:
f (x)
an n (x).
n=1
5.5
Lagranges Identity
We calculate uL(v) vL(u), where u and v are any two functions. Recall that
L(u) = (pu ) + qu
and
L(v) = (pv ) + qv,
and hence
uL(v) vL(u) = u(pv ) + quv v(pu ) quv = u(pv ) v(pu ) .
The right hand side is manipulated to an exact dierential:
+

uL(v) vL(u) = p(uv vu ) .
5.6
Greens Formula
The integral form of the Lagranges identity is known as Greens formula.

a
b+

'
(b
uL(v) vL(u) dx = p uv vu a
for any functions u and v.

8
Haberman, edition 4, Theorem 4, p. 163.
5.7
Igor Yanovsky, 2005
50
Self-Adjointness
With the additional restriction that the boundary terms vanish,

'
(b
p uv vu a = 0,
we get
b+

uL(v) vL(u) dx = 0.
(5.4)
In fact, in the regular Sturm-Liouville eigenvalue problems, the boundary terms

vanish.9 When (5.4) is valid, we say that L is self-adjoint.
Denition10 . Let L and L denote the linear, second-order dierential operators dened by
Ly = p2 (x)y + p1 (x)y + p0 (x)y,
L y = (yp2 (x)) (yp1 (x)) + yp0 (x).

Then L is called the adjoint of L and the dierential equation L y = 0 is called
the adjoint equation. The operator L is said to be self-adjoint, if L = L . A
homogeneous, linear, second order ODE is said to be in self-adjoint form if the ODE
has the form
(p(x)y ) + q(x)y = 0.
Note: The linear, second-order dierential operator
Ly = p2 (x)y + p1 (x)y + p0 (x)y
is self-adjoint (L = L ) if and only if p2 (x) = p1 (x), i.e.,
Ly = (p2 (x)y ) + p0 (x)y.
Proof. The adjoint L is given by
L y = (yp2 (x)) (yp1 (x)) + yp0 (x) = y p2 + 2y p2 + yp2 p1 y p1 y + yp0
= p2 y + (2p2 p1 )y + (p2 p1 + p0 )y.
Thus, L = L 2p2 p1 = p1 , or p2 = p1 .

9
10
Haberman, p. 176.
Bleecker and Csordas, p. 264.
Igor Yanovsky, 2005
51
Problem (F91, #6). Consider the boundary value problem

dw
d2 w
= w
+ (a x)
2
dx
dx
w(L) = w(R) = 0,
x
where a, L(> 0) and R(> L) are real constants.

By casting the problem in self-adjoint form shows that the eigenfunctions, w1 and
w2 , corresponding to dierent eigenvalues, 1 and 2 , are orthogonal in the sense that
R
R
dw1 dw2
dx = 0.
ex xa1 w1 w2 dx =
ex xa
dx dx
L
L
Show also that
R
i 2
ex xa ( dw
dx ) dx
i = LR
x xa1 w 2 dx
i
L e
and hence that all eigenvalues are positive.

Proof. A homogeneous, linear, second order ODE is said to be in self-adjoint form
if the ODE has the form
(p(x)u) + q(x)u = 0.
We have
Lu = xu + (a x)u .
Multiply the equation by v so that it becomes of self-adjoint form:
vLu = xvu + (a x)vu .
Thus, we need
(pu ) = xvu + (a x)vu ,
pu + p u = xvu + (a x)vu .
Thus, p = xv, and
(xv) = (a x)v,
xv + v
v
v
v
v
ln v
= av xv,
ax1
=
,
x
a1
=
1,
x
= (a 1) ln x x,
ln v = ln xa1 x,
v = e ln x
a1
ex = xa1 ex .
Thus, the self-adjoint form is

(xvu ) + uv = 0,
or
(xaex u ) + xa1 ex u = 0.
Igor Yanovsky, 2005
52
Let m , n , be the eigenvalues and um , un be the corresponding eigenfunctions.

We have
(xaex um ) + m xa1 ex um = 0,
(xa ex un )
a1 x
+ n x
(5.5)
un = 0.
(5.6)
Multiply (5.5) by un and (5.6) by um and subtract equations from each other
un (xa ex um ) + m xa1 ex un um = 0,
um (xaex un ) + n xa1 ex um un = 0.
(m n )xa1 ex um un = um (xa ex un ) un (xa ex um ) ,
= [xaex (um un un um )] .
Integrating over (L, R) gives
R
xa1 ex um un dx = [xaex (um un un um )]R
(m n )
L = 0,
Since n = m , un (x) and um (x) are orthogonal on [L, R].

To show that um and un are orthogonal with respect to xa1 ex , consider
R
R
a x

a x
R
x e um un dx = x e um un |L
(xa ex um ) un dx
L
L
1
R
(xaex um ) un dx = = m
xa1 ex um un dx = = 0.
=
0
We now show that eigenvalues are positive. We have

(xaex u ) + xa1 ex u = 0.
Multiplying by u and integrating, we get
R
u(xaex u ) + xa1 ex u2 dx = 0,
L
R
R
a x
R
a x 2
x e u dx +
xa1 ex u2 dx = 0,
x e uu |L

L
L
=0
R
= RL
L

xa ex u2 dx
xa1 ex u2 dx
0.
The equality holds only if u 0, which means u = C. Since u(0) = u(1) = 0, then
u 0, which is not an eigenfunction. Thus, > 0.
Igor Yanovsky, 2005
53
Problem (F01, #2). Consider the dierential operator

d
d 2
+ (x)
+2
L=
dx
dx
in which is a real-valued function. The domain is x [0, 1], with Neumann boundary
conditions
du
du
(0) =
(1) = 0.
dx
dx
a) Find a function = (x) for which L is self-adjoint in the norm
1
2
u2 dx.
||u|| =
0
b) Show that L must have a positive eigenvalue if is not identically zero and
1
(x) dx 0.
0
Proof. a) Lu = u + 2u + (x)u. L is self-adjoint

1
+

uL(v) vL(u) dx =
0
1
uL(v) dx =
0
1
u(v + 2v + (x)v) dx =
0
1
1
1

v u dx + 2
uv dx +
(x)uv dx =

0
0
0
g
u|10
v (u + u ) dx + 2
0
uv dx =
0
in the above norm, if

0,
or
1
vL(u) dx,
0
1
v(u + 2u + (x)u) dx,
0
1
1
1

u v dx + 2
vu dx +
(x)uv dx,

0
0
0
g
v|10
u (v + v ) dx + 2
0
Boundary terms are 0 due to boundary conditions. Cancelling out other terms, we get
1
1
1
1
uv dx + 2
uv dx =
vu dx + 2
vu dx,
uv + 2uv = vu + 2vu ,

(vu uv ) = 2(vu uv )
= 2.
= ae2x.
Thus,
vu dx.
Igor Yanovsky, 2005
54
b) Divide by u and integrate:

1 1
u|
u 0

0
u
dx + 2
u
1
u dx + 2

u

g
f
1
1
2 u
u dx + 2
u

f
u2
dx + 2
u2

0

0
u + 2u + (x) u = u,

1
1
u
dx +
(x) dx =
dx,
u
0
0
1
u
dx +
(x) dx = ,
u
0
u
dx +
u
u
dx +
u
(x) dx = ,
0
(x) dx = .
0
In order to have > 0, we must prove that there exists u(x) such that

1
u
u 2
dx > 0.
+2
u
u
0
We can choose to have
u 2
u
> 0,
+2
u
u
which means that uu > 0 or

have
u
= c > 0.
u
For such u(x), > 0.
u
u
< 2. For example, if u(x) = ecx with c > 0, we
Problem (F99, #7). Consider the dierential operator

d
d 2
.
+2
L=
dx
dx
The domain is x [0, 1], with boundary conditions u(0) = u(1) = 0.
a) Find a function = (x) for which L is self-adjoint in the norm
1
2
u2 dx.
||u|| =
0
b) If a < 0 show that L + aI is invertible.

c) Find a value of a, so that (L + aI)u = 0 has a nontrivial solution.
Igor Yanovsky, 2005
55
Proof. a) Ly = y + 2y . L is self-adjoint in the above norm, if

1
+

uL(v) vL(u) dx = 0, or
0
1
1
uL(v) dx =
vL(u) dx,
0
0
1
1

u(v + 2v ) dx =
v(u + 2u ) dx,
0
0
1
1
1
1

v u dx + 2
uv dx =
u v dx + 2
vu dx,

0
0
0
0
v
u|10
g
g
v (u + u ) dx + 2
0
uv dx =
0
v|10
u (v + v ) dx + 2
0
Boundary terms are 0 due to boundary conditions. Cancelling out other terms, we get
1
1
1
1
uv dx + 2
uv dx =
vu dx + 2
vu dx,
uv + 2uv = vu + 2vu ,

(vu uv ) = 2(vu uv ),
= 2,
Thus,
= ae2x.
vu dx.
Igor Yanovsky, 2005
56
b) L + aI is invertible if the following holds:
(L + aI)u = 0
|
|
u=0
We have
u 0.
(L + aI)u = 0.
(L + aI)u = 0,
Lu + au = 0,

u + 2u + au = 0.
Multiply by u and integrate:
uu |10

0
=0
(u )2 dx + 2uu|10

=0
(u )2 dx +
=0,

uu dx +
2uu dx +
au2 dx = 0,
0
0
1
1
2u u dx
+
au2 dx = 0,
0

0
1
1

since 0 2u u= 0 2u u
au2 dx = 0,
1'
(
(u )2 + au2 dx = 0.

0, (a<0)
Thus, u 0.
| We could also solve the equation directly and show u 0.
(L + aI)u
0,
Lu + au
0,
u + 2u + au
0,
cesx ,
u(x)
c1 e
u(0)
u(1)
c1 = c2 .
1+ 1a
c1 e1 1a ,
0 = c1 e
c1 e1 (e 1a e 1a ),

(anzats)
(1+ 1a)x
1a)x
+ c2 e(1
0 = c1 + c2
c2 = 0
c1 = 0
u 0.
c) We want to nd a value of a, so that (L + aI)u = 0 has a nontrivial solution.

u + 2u + au = 0,
u(x) = c1 e(1+
1a)x
Let a = 1 + 2 . Then
u(x) = c1 e(1+
2 )x
+ c2 e(1
+ c2 e(1
2 )x
1a)x
= c1 e(1+i)x + c2 e(1i)x
= c1 ex eix + c2 ex eix = c1 ex (cos x + i sin x) + c2 ex (cos x i sin x),
u(0) = 0 = c1 + c2
x
u(x) = c1 e
u(1) = 0.
c1 = c2 .
(cos x + i sin x) c1 ex (cos x i sin x) = 2ic1 ex sin x.
Igor Yanovsky, 2005
Let c1 = i. Then, u(x) = 2ex sin x, is a nontrivial solution.
57
Igor Yanovsky, 2005
58
Problem (F90, #6). Consider the dierential-dierence operator

Lu = u (x) + u (x 1) + 3u(x)
dened on 0 < x < 3/2 along with the boundary conditions u(x) 0 on 1 x 0
and u(3/2) = 0. Determine the adjoint operator and the adjoint boundary conditions.
3/2
Hint: Take the inner product to be (u, v) 0 u(x)v(x) dx.
Proof. The adjoint operator of L is L , such that
3
3

2 +
2
uLv vL u dx = H(x) .
0
3
2
3
2
uLv dx =

=
3
2
'
(
u v (x) + v (x 1) + 3v(x) dx

u(x)v (x) +
3
2
u(x)v (x 1) + 3
Change of variables: y = x 1, dy = dx, then

1

3
2
2

u(x)v (x 1) dx =
u(y + 1)v (y) dy =
0

=
3
2

u(x)v (x) +
1
2
3
2
u(x + 1)v (x) dx + 3
1
2
3
2
u(x)v(x) =
u(x + 1)v (x) dx.
u(x)v(x)
1
3
3 32
1
2
2
2
2

u (x)v (x) + u(x + 1)v(x)
u (x + 1)v(x) + 3
u(x)v(x)
= u(x)v (x)
1
0
1
0

0

=0
=0
1
3
3 32
2
2
2

u (x)v(x)
u (x + 1)v(x) + 3
u(x)v(x)
= u (x)v(x) +
0
0
1
0

=
=0
3
2

=

=

=
3
2
3
2
3
2

u (x)v(x)
u (x)v(x)
'
u (x + 1)v(x) + 3

1
2
3
2
3
2
u(x)v(x)
u (x + 1)v(x) + 3
3
2
u(x)v(x)
(if u 0 for x [1, 0], [ 12 , 32 ])
(
u (x)v(x) u (x + 1)v(x) + 3u(x)v(x) dx
'

v u (x) u (x + 1) + 3u(x) dx =
3
2
vL u dx.
Thus, the adjoint boundary conditions are u 0 for 1 x 0,

L u = u (x) u (x + 1) + 3u(x).
1
2
x 32 , and
Igor Yanovsky, 2005
59
Problem (S92, #2). Consider the two point boundary value problem
y + a(x)y + b(x)y + c(x)y = F
0x1
with boundary conditions

y(0) = 0,
y (0) = y (0),
y(1) = 0,
y (1) = y (1).
Here a, b, c are real C -smooth functions and , are real constants.

a) Derive necessary and sucient conditions for a, b, c, , such that the problem is
self-adjoint.
Proof. a) METHOD I: L is self-adjoint if
L = L ,
y + ay + by + cy = y (ay) (by) + cy,
ay + by = (ay) (by) ,
ay + by = a y 3a y 3a y ay b y by ,
2ay + 3a y + (3a + 2b)y + (a + b )y = 0,
a = 0, b = 0,
c arbitrary.
METHOD II: L is self-adjoint if

0
(Lu|v) = (u|Lv),
or
1
uL(v) dx =
vL(u) dx.
0
In the procedure below, we integrate each term of uL(v) by parts at most 4 times to
get
1
1
uL(v) dx =
vL(u) dx + F (x),
0
Igor Yanovsky, 2005
60
and set F (x) = 0, which determines the conditions on a, b and c.

1
1
uL(v) dx =
u(v + av + bv + cv) dx
0
0
1
1
1
1
=
uv +
auv +
buv +
cuv
0
0
0
0
1
1
1
1
1

1

1

u v + auv |0
(a uv + au v ) + buv|0
(b uv + bu v) +
cuv
= uv |0

0
0
0
0
=0
u v |10
+
0
=0

v|10
=0
au v |10
+ u v |10
1
0
+au

u v |10
uv |10 +
u v a

= u v |10 + u v |10

au v |10

(a uv + a u v )
0
=0
u v + a uv|10

=0
=0

v|10 +
u

=0

u v

(a u v + a u v)
1
0
+
0

v|10
=0

(a u v + au v)
(b uv + bu v) +
0
cuv
0
(a u v + a u v)
(b uv + bu v) +
0
cuv
0
= u v |10 + u v |10 au v |10

1
+
(u a u a u a u a u a u a u a u au b u bu + cu)v
0
u v |10
+ u v |10
au v |10

+
0
(u a u 3a u 3a u au b u bu + cu)v
v(u + au + bu + cu)

1
1
1
1
(a u 3a u 3a u 2au b u 2bu )v
u v |0 + u v |0 au v |0 +
0
1
1
'
(
1
1
1
vL(u) dx u v |0 + u v |0 au v |0 +
(a b )u (3a + 2b)u 3a u 2au v.
=
1'
(a
Thus, L is self-adjoint if 0
a = 0, b = 0, c arbitrary. Also, need
b )u
(
(3a + 2b)u 3a u 2au v = 0, or
u (1)v (1) + u (0)v (0) + u (1)v (1) u (0)v (0) au v |10

= 0,
=0, (a=0)

u (1)v (1) + u (0)v (0) + u (1)v (1) u (0)v (0) = 0.

Thus, , = 0.
Note that both Methods I and II give the same answers. However, we need to use
Method II in order to obtain information about boundary conditions.
b) Assume that c(x) = c0 is constant and that the problem is self-adjoint. Determinte the eigenvalues and eigenfunctions and show that they form a complete
1
0
(a u v + a u v)
(b uv + bu v) +
(a u v + au v)

(a uv + a u v)

=0

(a u v + au v )
(a uv + a u v) + a u v|10

(a u v + a u v) + au

au v |10
Igor Yanovsky, 2005
61
orthonormal set.
From part (a), we have
y + c0 y = F
y(0) = 0,
0x1
y (0) = 0,
y (1) = 0.
y(1) = 0,
The eigenvalue problem is

y + c0 y = y,
y ( c0 )y = 0.
1
To determine eigenfunctions, try y = a cos(c0 ) 4 x+b sin(c0 ) 4 x. Initial conditions

give
y(0) = a = 0
y = b sin( c0 ) 4 x,
y(1) = b sin( c0 ) 4 = 0
( c0 ) 4 = n
n = n4 4 + c0 .
Thus, the eigenvalues and eigenfunctions are

n = n4 4 + c0 ,
yn = sin(n c0 ) 4 x = sin nx,
n = 1, 2, . . . .
We could also use the table to nd out that the eigenfunctions are y = sin nx
L =
sin nx. We have
y + c0 y = y,
(sin nx) + c0 sin nx = sin nx,
n4 4 sin nx + c0 sin nx = sin nx,

n4 4 + c0 = n .
The normalized eigenfunctions form an orthonormal set

1
0
n = m
( 2 sin nx) ( 2 sin mx) dx =
1
n=m
0
Any smooth function f can be written in terms of eigenfunctions f (x) =
n=1
an 2 sin nx.
Igor Yanovsky, 2005
62
c) Use the eigenfunctions to construct the Greens function.

We have
y + c0 y = F (x),
y(0) = 0,
(5.7)

y (0) = 0,

y(1) = 0,
y (1) = 0.
y(1) = 0,
y (1) = 0.
(5.8)
The related eigenvalue problem is

y + c0 y = y
y(0) = 0,
y (0) = 0,
The eigenvalues are n = n4 4 + c0 , and the corresponding eigenfunctions are sin nx,
n = 1, 2, . . .. ,
,
Writing y = an n = an sin nx and inserting into (5.7), we get

'
an n4 4 sin nx + c0 an sin nx
= F (x),
n=1
an (n4 4 + c0 ) sin nx = F (x),
n=1
1
4 4
an (n + c0 ) sin nx sin mx dx =
0 n=1
an (n4 4 + c0 )
1
2
y(x) =
an sin nx =

2
n=1
y=
0
1
0
F (x) sin mx dx,

0
1
an =
F (x) sin nx dx,

0
1
0
F (x) sin nx dx
.
n4 4 + c0
F () sin nx sin n d
,
n4 4 + c0

sin nx sin n
F () 2
d.
44 + c
n
0
n=1

= G(x,)
See a less complicated problem, y = f , in Poisson Equation subsection of Eigenvalues

of the Laplacian section (PDEs).
Igor Yanovsky, 2005
63
Problem (S91, #5). Dene the operator

Lu = uxxxx + a(x)uxx + b(x)ux + c(x)u
for 0 x 2 with boundary conditions
u = uxx = 0
on x = 0, 2.
a) Find conditions on the functions a, b and c so that L is self-adjoint.

b) For a = b = 0 and c = constant, nd the fundamental solution for the PDE
ut = Lu
as a Fourier series in x.
Proof. a) METHOD I: L is self-adjoint if
L = L ,
u + au + bu + cu = u + (au) (bu) + cu,
au + bu = (au) (bu) ,
au + bu = a u + 2a u + au b u bu ,
0 = a u + 2a u b u 2bu ,
0 = (a b )u + 2(a b)u ,
a = b,
c arbitrary.
METHOD II: L is self-adjoint if

0
(Lu|v) = (u|Lv),
or
2
uL(v) dx =
vL(u) dx.
0
In the procedure below, we integrate each term of uL(v) by parts at most 4 times to
get
2
2
uL(v) dx =
vL(u) dx + F (x),
0
Igor Yanovsky, 2005
64
and set F (x) = 0, which determines the conditions on a, b and c.

2
2
uL(v) dx =
u(v + av + bv + cv) dx
0
0
2
2
2
2
=
uv +
auv +
buv +
cuv
0
0
0
0
2
2
2
2
2

2

2

u v + auv |0
(a uv + au v ) + buv|0
(b uv + bu v) +
cuv
= uv |0

0
0
0
0
=0
u v |2
0

=0
= u v |2
0

+
0
=0

=0
2

=0

uv|2
0 +
u v a

u v +
=0
2
v|2
0 +
= u

v|2
0 +
(a uv + a u v) au

(a uv + a u v) +
=0

0
=0
(a u v + au v)

(a u v + au v)
(b uv + bu v) +
(uv + a uv + a u v + a u v + au v b uv bu v + cuv)
Thus, L is self-adjoint if
+ au + bu + cu) +
(a uv + 2a u v b uv 2bu v)
0
0
2
2
vL(u) dx +
(a uv + 2a u v b uv 2bu v).
=
v(u

2
0
(a u + 2a u b u 2bu )v = 0, or a = b, c arbitrary.
(b uv + bu v) +
cuv
0
Igor Yanovsky, 2005
65
b) For a = b = 0 and c = constant, nd the fundamental solution for the PDE

ut = Lu
as a Fourier series in x.
We have ut = Lu = u cu. We rst need to nd eigenfunctions and eigenvalues.
The eigenvalue problem is
u + cu = u,
u ( c)u = 0,
u = uxx = 0 on x = 0, 2.
1
To determine eigenfunctions, try u = a cos(c) 4 x+b sin(c) 4 x. Initial conditions:

1
u(0) = a = 0
u = b sin( c) 4 x,
1
u(2) = 0 = b sin( c) 4 2 = 0
( c) 4 2 = n
n =
n4
+ c.
16

n =
n4
+ c,
16
Let u(x, t) =
un = sin(n c) 4 x = sin
un (t) sin
n=1
nx
,
2
n = 1, 2, . . ..
nx
.
2

nx
nx
n4
nx
+ un (t) sin
+ cun (t) sin
= 0,
un (t) sin
u(x, t) =
2
16
2
2
n=1
n4
un (t) + un (t) + cun (t) = 0,
16

n4
+ c un (t) = 0,
un (t) +
16
n4
un (t) = cn e( 16 +c)t .
u(x, t) =
n4
cn e( 16 +c)t sin
n=1
nx
.
2
In order to determine cn we need initial conditions u(x, 0) = f (x). Then

u(x, 0) =
cn sin
n=1
2
11
nx
dx = f (x).
2
nx
dx,
2
0

1 2
nx
dx.
f (x) sin
cn =
0
2
4

n4
nx 1 2
n
nx
( n16 +c)t
=
d.
cn e
sin
f () sin e( 16 +c)t sin
u(x, t) =
2
0
2
2
cn =
f (x) sin
n=1
11
ChiuYens solutions list G(x, t; x0 , t0 ) =

be found in Haberman, p. 383.
n=1
1
n=1
sin
nx0 ( n
e 16 +c)(tt0 )
2
sin nx
. Similar result may
2

u(x, t) =
0
Igor Yanovsky, 2005
66

n
nx ( n4 +c)t
1
sin
sin
e 16
f ()
d.
2
2
n=1

= G(x,t;x0 ,t0 )
5.8
Orthogonality of Eigenfunctions
Denition12 . A positive, continuous function r(x) dened on [a, b] is called a weight

function. Two continuous functions f (x) and h(x) dened on [a, b] are said to be
orthogonal on [a, b] with respect to the weight function r(x), if
f (x)h(x)r(x)dx = 0.
a
Theorem13 . Let m and n be two distinct eigenvalues of the Sturm-Liouville problem

(5.3). Then the corresponding eigenfunctions ym (x) and yn (x) are orthogonal on [a, b]
with respect to the weight function r(x).
ym (x)yn (x)r(x)dx = 0.
a
Proof. We have the relations

) + qym + m rym = 0,
(pym
(pyn ) + qyn + n ryn = 0.

Multiply (5.9) by yn and (5.10) by ym and subtract equations from each other

(n m )rym yn = yn (pym
) ym (pyn ) = [p(yn ym
ym yn )] .
(5.9)
(5.10)
14
(5.11)
Integrating both sides of (5.11) over (a, b) gives

(n m )

ym yn r = [p(yn ym
ym yn )]ba.
The boundary conditions in (5.3) ensure that the right side vanishes (e.g. if c2 = 0, then

(a) ym (a)yn (a) = yn (a) cc21 ym (a) + ym (a) cc21 yn (a) = 0).
y (a) = cc12 y(a), and yn (a)ym
Thus,

(n m )
ym yn r = 0.
a
Since n = m, yn (x) and ym (x) are orthogonal on [a, b] with respect to the weight
function r(x).
12
Bleecker and Csordas, p. 266.

14
Note an important identity:
13

yn (pym
) ym (pyn ) = [p(yn ym
ym yn )] .
Igor Yanovsky, 2005
67
Problem (S90, #3). Consider the eigenvalue problem

a(x)
d2u(x)
= u(x),
dx2
0 < x < 1,
with the boundary conditions u(0) = 0, u (1) = 0. Here 0 < c1 a(x) c2 is a smooth
function on [0, 1]. Let n , n = 1, . . ., be the eigenvalues and n (x) be the corresponding
eigenfunctions. Prove that there is a weight (x) such that
1
m (x)n (x)(x) dx = 0
for m = n.
0
Proof. Rewrite the equation as

1
u = 0.
u
a(x)
Let m , n , be the eigenvalues and um , un be the corresponding eigenfunctions. We
have
um m
un n
1
um = 0,
a(x)
(5.12)
1
un = 0.
a(x)
(5.13)
Multiply (5.12) by un and (5.13) by um and subtract equations from each other
1
um un ,
a(x)
1
un um .
= n
a(x)
un um = m
um un
(m n )
1
um un = un um um un = (un um um un ) .
a(x)
Integrating over (0, 1) gives

1
1
um un dx = [un um um un ]10 = 0.
(m n )
a(x)
0
Since n = m , un (x) and um (x) are orthogonal on [0, 1] with respect to the weight
1
.
function (x) = a(x)
5.9
Real Eigenvalues
Theorem15 . For any regular Sturm-Liouville problem, all the eigenvalues are real.
Proof. We can use orthogonality of eigenfunctions to prove that the eigenvalues are
real. Suppose that is a complex eigenvalue and (x) the corresponding eigenfunction
(also allowed to be complex since the dierential equation dening the eigenfunction
would be complex):
L() + r = 0.
(5.14)
Thus, the complex conjugate of (5.14) is also valid:

L() + r = 0,
15
Haberman, edition 4, p. 178.
(5.15)
Igor Yanovsky, 2005
assuming that r is real. Since the coecients of a linear operator L =

real, L() = L(). Thus,
d
dx
'
68
(
d
p dx
+ q are
L() + r = 0.
If satises boundary conditions with real coecients, for example c1 (a)+c2 (a) = 0,

then satises the same boundary conditions, c1 (a) + c2 (a) = 0. Equation (5.14)
and the boundary conditions show that satises the Sturm-Liouville problem, but
with eigenvalue being . Thus, if is a complex eigenvalue with corresponding
eigenfunction , then is also an eigenvalue with corresponding eigenfunction .
Using orthogonality of eigenfunctions, and are orthogonal (with weight r). Thus,
r dx = 0.
a
Since = ||2 0 and r > 0, the integral above is 0. In fact, the integral can equal
0 only if 0, which is prohibited since is an eigenfunction. Thus, = , and hence
is real.
5.10
Igor Yanovsky, 2005
69
Unique Eigenfunctions
Theorem. Consider the Sturm-Liouville problem (5.3). If y1 (x) and y2 (x) are two
eigenfunctions corresponding to the same eigenvalue , then y1 (x) = y2 (x), a x b,
for some nonzero constant , (i.e., y1 (x) and y2 (x) are linearly dependent).
Proof. 16 Method 1: Suppose that there are two dierent eigenfunctions y1 and y2
corresponding to the same eigenvalue . In this case,
L(y1 ) + ry1 = 0,
L(y2 ) + ry2 = 0.
'
'
(
'
(
(
0 = y2 L(y1 ) + ry1 y1 L(y2 ) + ry2 = y2 L(y1 ) y1 L(y2 ) = p y2 y1 y1 y2 ,
where the Lagranges identity was used in the last equality. It follows that
(
'
p y2 y1 y1 y2 = constant.
This constant is evaluated from the boundary conditions and is equal to 0 if the boundary conditions are of the Sturm-Liouville type. Thus,
y2 y1 y1 y2 = 0.
This is equivalent to
d y1
dx ( y2 )
= 0, and hence for these boundary conditions
y2 = cy1 .
Thus, the two eigenfunctions are dependent; the eigenfunction is unique.
Proof.
17
Method 2: Consider the function
w(x) = y2 (a)y1 (x) y1 (a)y2 (x),

and suppose that
y1 (a)2 + y2 (a)2 = 0.
(5.16)
Then w(x) satises the following initial-value problem

+
Lw + rw = 0
axb
(pw ) + qw + rw = 0
w(a) = w (a) = 0.
Check that w(x) indeed satises the initial-value problem:
'
(
'
(
+ q y2 (a)y1 (x) y1 (a)y2 (x)
(pw ) + qw + rw = p y2 (a)y1 (x) y1 (a)y2 (x)
(
'
+r y2 (a)y1 (x) y1 (a)y2 (x)

= y2 (a) (py1 (x)) + qy1 (x) + ry1 (x) y1 (a) (py2 (x)) + qy2 (x) + ry2 (x) = 0,
since y1 and y2 are eigenfunctions. Also,
c1
c1
y2 (a)y1 (a) + y1 (a)y2 (a) = 0,
c2
c2

w (a) = y2 (a)y1 (a) y1 (a)y2 (a) = 0.
w(a) = y2 (a)y1 (a) y1 (a)y2 (a) =
16
17
Haberman, edition 4, p. 179.

Igor Yanovsky, 2005
70
By the uniqueness theorem for initial-value problems, w(x) 0. Therefore,

y2 (a)y1 (x) y1 (a)y2 (x) 0,
a x b.
(5.17)
Since y1 (x) and y2 (x) are eigenfunctions, y1 (x) and y2 (x) are not identically 0. Hence,
(5.16) and (5.17) imply that y1 (a)y2 (a) = 0. Thus, by (5.17), y1 (x) = y2 (x), where
= y1 (a)/y2 (a).
Remark: In the theorem above, we showed that, for the Sturm-Liouville problem (5.3), there is only one linearly independent eigenfunction associated with each
eigenvalue . For this reason, is said to be simple.
5.11
Rayleigh Quotient
Theorem18 . Any eigenvalue can be related to its eigenfunction by the Rayleigh quotient:
b+

p |ba + a p( )2 q2 dx
.
=
b
2
a r dx
Proof. The Rayleigh quotient can be derived from the Sturm-Liouville dierential equation,
(p ) + q + r = 0,
(5.18)
by multiplying (5.18) by and integrating:

b
b

2
r2 dx = 0.
(p ) + q dx +
a
Since
b
a
r2 > 0, we can solve for :

b+

(p ) q2 dx
.
b
2
a r dx
Integrating by parts gives

=
p |ba +
b+
ab
a

p( )2 q2 dx
r2 dx
Note: Given the equation:

1
(xf ) + f = 0,
x
we can obtain
1 2
xf dx
= 01
2
0 xf dx
18
0.
Haberman, edition 4, Theorem 6, p. 189.
Igor Yanovsky, 2005
71
We can establish the Rayleigh-Ritz principle, namely that

1
x(f )2 dx
F (f ) = 0 1
2
0 xf dx
is an upper bound on the smallest eigenvalue.
,
Let f (x) = an fn , where fn s are eigenfunctions. Then,
1 ,
1
2
x(f
)
dx
x( an fn )2 dx
= 01 ,
(by orthogonality)
F (f ) = 0 1
2
an fn )2 dx
0 xf dx
0 x(
, 2 1 2
, 2 1 2
, 2 1 2
an n 0 xfn dx
an 0 xfn dx
xf dx
a
= = , 1
> min , n 01 n
= min .
= , 1
2
2
2
2
2
an 0 xfn dx
an 0 xfn dx
an 0 xfn2 dx
5.12
Igor Yanovsky, 2005
72
More Problems
Example. Determine the eigenvalues and eigenfunctions of the Sturm-Liouville problem

y + y = 0,
y(0) = 0,
0xL
y(L) = 0.
Proof. Note that we get this equation from (5.1) with p 1, q 0, r 1, a = 0,

b = L. We consider the three cases > 0, = 0, < 0.
If = 0, the ODE reduces to y = 0. Try y(x) = Ax + B.
Applying the rst boundary condition gives y(0) = 0 = B. The second boundary
condition gives y(L) = 0 = AL, or A = 0. Therefore, the only solution for this case is
the trivial solution, y(x) 0, which is not an eigenfunction, and therefore, 0 is not an
eigenvalue.
If < 0, or = 2 , the ODE becomes
y 2 y = 0.
The anzats y = esx gives s2 2 = 0, or s = . Thus the general solution is
y(x) = Aex + Bex .
Applying the rst boundary condition gives
y(0) = 0 = A + B,
or B = A.
The second boundary condition gives

y(L) = 0 = A(eL eL ) = 2A sinh L,
or A = 0.
Thus, the only solution is the trivial solution, y(x) 0, which is not an eigenfunction,
and therefore, there are no negative eigenvalues.
If > 0, try = + 2
y + 2 y = 0,
with the anzats y = esx , which gives s = i with the family of solutions
y(x) = A sin x + B cos x.
Applying the rst boundary condition gives
y(0) = 0 = B.
The second boundary condition gives
y(L) = 0 = A sin L.
Since we want nontrivial solutions, A = 0, and we set A sin L = 0, obtaining L = n.
Thus the eigenvalues and the corresponding eigenfunctions are
= n =
n 2
L
yn (x) = An sin
nx
L
Igor Yanovsky, 2005
73
Also, the eigenfunctions can always be used to represent any piecewise smooth function f (x),
f (x)
an yn (x).
n=1
Thus, for our example,

f (x)

n=1
an sin
nx
.
L
Igor Yanovsky, 2005
74
Problem (F98, #3). Consider the eigenvalue problem

d2
+ = 0,
dx2
d
(0) = 0,
(0)
dx
(1) +
d
(1) = 0.
dx
a) Show that all eigenvalues are positive.

b) Show that there exist a sequence of eigenvalues = n , each of which satises
2
.
tan =
1
Proof. a) Method . If = 0, the ODE reduces to = 0. Try (x) = Ax + B.
From the rst boundary condition,
(0) (0) = 0 = B A
B = A.
Thus, the solution takes the form (x) = Ax+A. The second boundary condition gives
(1) + (1) = 0 = 3A
A = B = 0.
Thus the only solution is 0, which is not an eigenfunction, and 0 not an eigenvalue.
If < 0, try (x) = esx , which gives s = = R.

Hence, the family of solutions is (x) = Aex + Bex . Also, (x) = Aex Bex .
The boundary conditions give
(0) (0) = 0 = A + B A + B = A(1 ) + B(1 + ),
(5.19)
(1) + (1) = 0 = Ae + Be + Ae Be = Ae (1 + ) + Be (1 ). (5.20)

From (5.19) and (5.20) we get
A
1+
=
1
B
1+
B
A
= e2 ,
= e .
or
1
A
B
A+B
A
A+B
and thus,
= e BA , which has no solutions.
From (5.19), =
AB
B
Method . Multiply the equation by and integrate from 0 to 1.
1
1

dx +
2 dx = 0,
0
0
1
1
1
2
( ) dx +
2 dx = 0,
|0
0
0
1
1
(1)2 + (0)2 + 0 ( )2 dx
(1) (1) + (0) (0) + 0 ( )2 dx
=
.
=
1
1
2
2
0 dx
0 dx
and
Thus, > 0 for not identically 0.
b) Since > 0, the anzats = esx gives s = i and the family of solutions takes
the form
(x) = A sin(x ) + B cos(x ).
Then, (x) = A cos(x ) B sin(x ). The rst boundary condition gives
B = A .
(0) (0) = 0 = B A
Igor Yanovsky, 2005
75
Hence, (x) = A sin(x ) + A cos(x ). The second boundary condition gives
(1) + (1) = 0 = A sin( ) + A cos( ) + A cos( ) A sin( )
+
= A (1 ) sin( ) + 2 cos( )
A = 0 (since A = 0 implies B = 0 and = 0, which is notan eigenfunction). Therefore,
(1 ) sin( ) = 2 cos( ), and thus tan( ) = 21 .
Igor Yanovsky, 2005
76
Problem (F02, #2). Consider the second order dierential operator L dened by
Lu = u + xu
for 0 < x < with boundary conditions
u(0) = u() = 0.
a) For = 0 nd the leading (i.e. smallest) eigenvalue 0 and the corresponding
eigenfunction 0 for L.
b) For > 0 look for the eigenvalues and eigenfunctions to have an expansion of the
form
= 0 + 1 + O(2 ),
= 0 + 1 + O(2 ).
Find formulas for 1 and 1 (your formulas will contain denite integrals which you
do not need to evaluate).
Proof. a) Since = 0, the eigenvalue problem for = 2 becomes
u + 2 u = 0.
The equation has solutions in the form
u(x) = A sin x + B cos x.
The rst boundary condition gives u(0) = 0 = B, and the second gives u() = 0 =
A sin . Since we are looking for nontrivial solutions, A = 0 and sin = 0, which
gives = 1, 2, 3, . . .. Thus, the smallest eigenvalue and the corresponding eigenfunction
are
0 = 1,
0 = sin x.
b) For > 0, we have

u + xu u = 0,
(0 + 1 ) + x(0 + 1 ) (0 + 1 )(0 + 1 ) = 0,
0 1 + x0 + 2 x1 0 0 0 1 1 0 2 1 1 = 0.
Drop O(2 ) terms. Since 0 + 0 0 = 0,

1 + x0 0 1 1 0 = 0,
1 + x0 0 1 1 0 = 0,
1 + x sin x 1 1 sin x = 0,

1 + 1 = x sin x 1 sin x.
Multiplying by 0 and using orthogonality of the eigenfunctions19 , we get

0 1 dx +
0 1 dx =
(x sin2 x 1 sin2 x)dx,
0
0

0
=0

0 1 dx =
(integration by parts)
0 1 |0
0
0
0 =
0

2
sin x dx =
x sin2 x dx,
1
0
19
Bleecker and Csordas, p. 267, p. 274.
Igor Yanovsky, 2005
77

x sin2 x dx
1 = 0 2
0 sin x dx
Since 1 is known, we should be able to solve the ODE 1 + 1 = x sin x 1 sin x by
the variation of parameters.
Igor Yanovsky, 2005
78
Problem (F00, #5). Consider the eigenvalue problem on the interval [0, 1],
y (t) + p(t)y(t) = y(t),
y(0) = y(1) = 0.
a) Prove that all eigenvalues are simple.
b) Prove that there is at most a finite number of negative eigenvalues.
a) In order to show that is simple, need to show that there is only one linearly
independent eigenfunction associated with each eigenvalue .
Proof. Method 1: Let y1 (x) and y2 (x) be two eigenfunctions corresponding to the
same eigenvalue . We will show that y1 and y2 are linearly dependent. We have
y1 + py1 y1 = 0,
y2 + py2 y2 = 0.
'
(
'
(
0 = y2 y1 + py1 y1 y1 y2 + py2 y2 = y1 y2 y2 y1 = [y1 y2 y2 y1 ] ,
where Lagranges identity was used in the last equality. It follows that
y1 y2 y2 y1 = constant.
Using boundary conditions,
(
'
y1 y2 y2 y1 (0) = 0.
Therefore, y1 y2 y2 y1 0. This is equivalent to
' y2 (
y1
= 0, and hence
y2 = cy1 .
Thus the two eigenfunctions are dependent; the eigenfunction is unique, and simple.
Proof. Method 2: Let y1 (x) and y2 (x) be two eigenfunctions corresponding to the
same eigenvalue . We will show that y1 and y2 are linearly dependent. We only
consider the case with
y1 (0)2 + y2 (0)2 = 0.
(5.21)
Consider the function

w(x) = y2 (0)y1 (x) y1 (0)y2 (x),
Then w(x) satises the following initial-value problem
w + pw w = 0
0x1
w(0) = w (0) = 0.
Check that w(x) indeed satises the initial-value problem:
+

+

w + pw w = y2 (0)y1 (x) y1 (0)y2 (x) + p y2 (0)y1 (x) y1 (0)y2 (x)

+
y2 (0)y1 (x) y1 (0)y2 (x)
+

+

= y2 (0) y1 (x) + py1 (x) y1 (x) y1 (0) y2 (x) + py2 (x) y2 (x) = 0,
since y1 and y2 are eigenfunctions. Also,
w(0) = y2 (0)y1 (0) y1 (0)y2 (0) = y2 (0) 0 y1 (0) 0 = 0,
w (0) = y2 (0)y1 (0) y1 (0)y2 (0) = 0.
Igor Yanovsky, 2005
79
Then, by the uniqueness theorem for initial-value problems, w(x) 0. Therefore,

y2 (0)y1 (x) y1 (0)y2 (x) 0,
0 x 1.
(5.22)
Since y1 (x) and y2 (x) are eigenfunctions, y1 (x) and y2 (x) are not identically 0. Hence,
(5.21) and (5.22) imply that y1 (0)y2 (0) = 0. Thus, by (5.22), y1 (x) = y2 (x), where
= y1 (0)/y2 (0).
Igor Yanovsky, 2005
y (t) + p(t)y(t) = y(t),

y(0) = y(1) = 0.
b) Prove that there is at most a finite number of negative eigenvalues.
We need to show that the eigenvalues are bounded below
< 0 < 1 < 2 < . . . ;
with n as n .
Multiply the equation by y and integrate:

yy + py 2 = y 2 ,
1
1
1

2
yy dt +
py dt =
y 2 dt,
0
0
0
1
1
1

1
2
2
(y ) dt +
py dt =
y 2 dt,
yy 0 +

0
0
0
=0
1
0
1
(y )2 dt + 0 py 2 dt
.
1
2 dt
y
0
The Poincare inequality gives:

1
1
2
y dt C
(y )2 dt,
0
0
1
1
y 2 dt C
(y )2 dt.
Thus, we have
1
=
or
1
C
1 2
1
1 2
(y )2 dt + 0 py 2 dt
0 (y ) dt max0x1 |p| 0 y dt
1
1
2 dt
y
y 2 dt
0
0

1 2
1 2
1 2
1
max
|p|
y dt
y
dt
max
|p|
y
dt
C
0
0x1
0
0
=
1
1
2
2
0 y dt
0 y dt
1
max |p|.
C
80
Igor Yanovsky, 2005
81
Problem (S94, #6). Consider the eigenvalue problem
d2 u
+ v(x)u = u
dx2
on [0, 1]
du
with the boundary conditions du
dx (0) = dx (1) = 0.
there is a negative eigenvalue, unless v(x) 0.
Proof. Divide by u and integrate:

u + v(x)u = u,
1
1
u
dx +
v(x) dx =
dx,
u
0
0

1
u |10 +
u
=0
1
u dx = ,

u

g
1
2 u
u dx = ,
u
g
f
0>
Thus, < 0.

0
u2
dx = .
u2
Show that if
1
0
v(x) dx = 0 then
Igor Yanovsky, 2005
82
Problem (S95, #1). Find the eigenfunctions/eigenvalues for the following operator
Lf
d2
f + 4f
dx2
2 periodic.
< x<
Find all solutions (periodic or non-periodic) for the problems

a) Lf = cos x,
b) Lf = cos 2x.
Proof. To nd eigenfunctions and eigenvalues for L, consider
f + 4f + f = 0,
f + ( + 4)f = 0.
The anzats f = esx gives s2 + ( + 4) = 0, or s = 4.
Case 1: 4 < 0 s = i + 4 .

R
Thus, eigenfunctions are cos + 4 x, sin + 4 x. To make these 2 periodic, need

&
n = n + 4 n +4 = n2 n = 4+n2 , n = 0, 1, 2, . . . (note: 4 < 0).
n = 4 + n2 ,
cos nx, n = 0, 1, 2, . . ., sin nx, n = 1, 2, . . ..
For example, with n = 1, eigenvalues and eigenfunctions are:

1 = 3,
cos x, sin x.
Note that < 0 < 1 < 2 < . . . ;

Case 2: 4 = 0,
with n as n .
( + 4 = 0)
f = 0 f = ax + b. Since a = 0 does not satisfy periodicity (being a linear

function), a = 0. Since an eigenfunction can not be 0 everywhere b = 0. Thus,
= 4,
f = b = 0
is 2 periodic.
Case 3: 4 > 0 s = 4
Eigenfunctions e
4x ,
4x
are not 2-periodic.
As in F92 #3, could take f (x) =
an einx , 2periodic. Then
f + 4f + f = 0,
n2 + 4 + = 0,
n = 4 + n2 .
einx , n = 0, 1, 2, . . ., are eigenfunctions.
Igor Yanovsky, 2005
83
a) f + 4f = cos x. We rst solve the homogeneous equation f + 4f = 0. Substitution f = esx gives s2 + 4 = 0. Hence, s1,2 = 2i and the superposition principle
gives:
fh (x) = A cos 2x + B sin 2x.
Find a particular solution of the inhomogeneous equation f + 4f = cos x.
Try f (x) = C cos x + D sin x. Then,
C cos x D sin x + 4C cos x + 4D sin x = cos x,
3C cos x + 3D sin x = cos x,
1
C = , D = 0.
3
Thus,
fp (x) =
1
cos x.
3
f (x) = fh (x) + fp (x) = A cos 2x + B sin 2x +
1
cos x.
3
b) f + 4f = cos 2x. In part (a), we already found

fh (x) = A cos 2x + B sin 2x.
to be a homogeneous equation. To nd a particular solution of the inhomogeneous
equation, we try
fp (x) = Cx cos 2x + Dx sin 2x,
fp (x) = 2Cx sin 2x + C cos 2x + 2Dx cos 2x + D sin 2x,
fp (x) = 4Cx cos 2x 2C sin 2x 2C sin 2x 4Dx sin 2x + 2D cos 2x + 2D cos 2x
= 4Cx cos 2x 4C sin 2x 4Dx sin 2x + 4D cos 2x.
Substitution into f + 4f = cos 2x gives:
4Cx cos 2x 4C sin 2x 4Dx sin 2x + 4D cos 2x + 4Cx cos 2x + 4Dx sin 2x = cos 2x,
which gives 4C sin 2x + 4D cos 2x = cos 2x, or C = 0, D = 14 .
Thus,
1
x sin 2x,
fp (x) =
4
1
f (x) = fh (x) + fp (x) = A cos 2x + B sin 2x + x sin 2x.
4
Problem (F92, #3). Denote

Lf =
2f
4f
+
3
+f
x4
x2
for 0 < x <
for f satisfying
f =
2
f = 0
x2
for x = 0 and x = .
Igor Yanovsky, 2005
a) Find the eigenfunctions and eigenvalues for L.

b) Solve the problem
f = Lf
t
eix
eix
1 12 eix 1 12 eix
f (x, t = 0) =
with the boundary conditions above.

Proof. a) In order to nd eigenfunctions and eigenvalues for L, consider
f + 3f + f = f.
a0
+
an cos nx + bn sin nx.
f (x) =
2
n=1
Let
f (0) = f () = 0
f (0) = f () = 0
f (x) =
an = 0, n = 0, 1, 2, . . ..
an = 0, n = 0, 1, 2, . . ..
bn sin nx.
n=1
Thus, the eigenfunctions are sin nx, n = 1, 2, . . .. We have

(sin nx) + 3(sin nx) + sin nx = sin nx,
(n4 3n2 + 1) sin nx = sin nx,
n4 3n2 + 1 = n .
n = n4 3n2 + 1,
fn (x) = sin nx,
n = 1, 2, . . ..
b) We have
ft = fxxxx + 3fxx + f,
eix
eix
f (x, 0) =
1 12 eix 1 12 eix
,
Let f (x, t) =
fn (t) sin nx. Then
fn (t) sin nx =
n=1
fn (t)n4 sin nx 3fn (t)n2 sin nx + fn (t) sin nx,
n=1
fn (t) = (n4 3n2 + 1)fn (t),

fn (t) (n4 3n2 + 1)fn (t) = 0,
4
fn (t) = cn e(n 3n +1)t,

4
2
cn e(n 3n +1)t sin nx.
f (x, t) =
n=1
84
Igor Yanovsky, 2005
85
Using initial conditions, we have

f (x, 0) =
cn sin nx =
n=1

'
(
'1
(n
eix
eix
ix 1 ix n
e
=
e
eix eix
1 ix
1 ix
2
2
1 2e
1 2e
n=0
n=0

(
1 ix(n+1) 1 ix(n+1)
1 ' ix(n+1)
=
e
e
=
eix(n+1)
e
n
n
n
2
2
2
=
=
n=0

n=0

n=1
n=0
1
2n1
i
2n2
(
i ' ix(n+1)
e
eix(n+1) =
2i
sin nx.
Thus, cn = i/2n2 , n = 1, 2, . . ., and

f (x, t) =

n=1
i
4
2
e(n 3n +1)t sin nx.
2n2
n=0

n=0
i
2n1
sin((n + 1)x)
Igor Yanovsky, 2005
86
Problem (W02, #2). a) Prove that

2

du
|u(x)|2 dx
dx
dx
0
0
for all continuously dierentiable functions u satisfying u(0) = u() = 0.
b) Consider the dierential operator
Lu =
d2 u
+ q(x)u,
dx2
0<x<
with the boundary conditions u(0) = u() = 0. Suppose q is continuous on [0, ] and
q(x) > 1 on [0, ]. Prove that all eigenvalues of L are positive.
Proof. a) Use eigenvalues of the Laplacian for u + u = 0, u(0) = u() = 0.
Then n = sin nx, n = n2 , n = 1, 2, . . ..
Then

'
('
(
2
u dx =
am m
an n dx =
a2n
sin2 nx dx
0
1
1 cos 2nx
x
dx =
sin 2nx
a2n
=
2
2 4n
0
n
n

2

(u ) dx = u()u () u(0)u (0)
uu dx =
uu dx
0
0
0

'
('
(
am m
n an n dx
=
=
a2n
n a2n
sin2 nx dx =

=
0
2
a ,
2 n n

n a2n .
2 n
Since n = n2 , n = 1, 2, . . . n 1, so 20

2

u2 dx =
an
n a2n =
(u )2 dx.
2
2
0
0
n
n
b) We have
u + q(x)u u = 0,
uu + q(x)u2 u2 = 0,

2
uu dx +
q(x)u dx
u2 dx = 0,
0
0
0

(u )2 dx +
q(x)u2 dx
u2 dx = 0,
uu |0 +
0
0
0

2
2
(u ) dx +
q(x)u dx =
u2 dx.
Since q(x) > 1, and using result from part (a),

2
2
2
2
(u ) dx
u dx
<
(u ) dx +
q(x)u dx =
u2 dx.
0
0
0
0
0
0
(a)
Since
20

0
q>1
u2 dx 0, we have > 0.
See similar Poincare Inequality PDE problem.
Igor Yanovsky, 2005
87
Problem (F02, #5; F89, #6). a) Suppose that u isa continuously dierentiable
x
function on [0, 1] with u(0) = 0. Starting with u(x) = 0 u (t) dt, prove the (sharp)
estimate
1
2
|u (t)|2 dt.
(5.23)
max |u(x)|
[0,1]
b) For any function p dene p (x) = min{p(x), 0}.21 Using the inequality (5.23), if
p is continuous on [0, 2], show that all eigenvalues of
Lu = u + pu
on [0, 2]
2
with u(0) = u(2) = 0 are strictly positive if
p (t) dt < 1.
Proof. a) By the Fundamental Theorem of Calculus,

x
u (t) dt = u(x) u(0) = u(x),
0
1
1
1 1
1
1
2
2

u (t) dt
|u (t)| dt ||1||L2
|u (t)|2 dt =
|u (t)|2 dt ,
max |u(x)| =
[0,1]
0
0
0
0
1
|u (t)|2 dt.
max |u(x)|2
[0,1]
b) We have
u + pu = u,

2
2
2

2
uu dt +
pu dt =
u2 dt,
0
0
0
2
2
2
2
2
2
|u | dt +
pu dt =
u2 dt.
uu |0 +

0
0
0
=0
If we dene p+ (x) = max{p(x), 0} and p (x) = min{p(x), 0}, then p = p+ p .

21
Note that p+ and p are dened by

p(x) for p(x) 0
p+ (x) =
0
for p(x) < 0,

p (x) =
0
|p(x)|
for p(x) 0
for p(x) < 0.

0
2
|u | dt +
2
0
p+ u dt
Igor Yanovsky, 2005
2
|u | dt
max |u|2
[0,2]
2
0
max |u|2 max |u|2

[0,2]
p u dt =
2
p u dt
p u2 dt
[0,2]

p dt
u2 dt,
u2 dt,
u2 dt,
u2 dt,
2
2

2
p dt
u2 dt,

max |u| 1
[0,2]
0
0
<1
2
c max |u|
[0,2]
Thus, > 0.
u2 dt.
88
Igor Yanovsky, 2005
89
Problem (F95, #6). Dene

Ly(x) = y (x) + q(x)y(x)
on (0, a).
Denote q (x) = min(q(x), 0). We seek conditions on q (x) so that L will be nonnegative
denite on C0 (0, a), i.e.,
a
(x) L(x) dx 0
C0 (0, a).
(5.24)
(L, ) =
0
Find optimal conditions on q (x) so that (5.24) holds.

Can q (x) be unbounded and (5.24) still hold?
Proof. Dene q+ = max(q(x), 0). We have
a
a
a
(x) L(x) dx =
( + q) dx =
( + q2 ) dx
0
0
0
a
a
a
a
2
2
( ) + q dx =
( )2 dx +
q2 dx
= |0 +

0
0
0
=0

a

2 a
2 a
a
2
2
2
dx +
q dx
dx +
q 2 dx

a
a
0
0
0
0
a

2
+ q 2 dx 0.
=

a
0
need
Thus, if
( a )2
+ q 0, L will be nonnegative denite on C0 (0, a).
Proof of :
Use eigenvalues of the Laplacian for + = 0, (0) = (a) = 0.
n 2
Then n = sin( n
a )x, n = ( a ) , n = 1, 2, . . .. We have
a
a
nx
a
'
('
(
dx,
2 dx =
am m
an n dx =
a2n
sin2
a
0
0
0
m
n
n
a
a
a
2
a

( ) dx = |0
dx =
dx
0
0
0
a
'
('
(
am m
n an n dx
=
=
n a2n
2 dx =
2
a
a
sin2
nx
a
a2n
sin2
dx.
nx
a
dx

n
2
( ) dx.
2
0 a
0
2
( ) dx
2
a
2 dx.
n a2n
a
0
sin2
nx
a
dx
Igor Yanovsky, 2005
90
Problem (W04, #4). Consider boundary value problem on [0, ]:

y (x) + p(x)y(x) = f (x),
0 < x < ,
y () = 0.
y(0) = 0,
Find the smallest 0 such that the boundary value problem has a unique solution
whenever p(x) > 0 for all x. Justify your answer.
Proof. Suppose y1 and y2 are two solutions of the problem. Let w = y1 y2 . Then
w + pw = 0,
0 < x < ,
w () = 0.
w(0) = 0,
Multiply by w and integrate

1

ww dx +
pw 2 dx = 0,
0
0

2
ww |0 +
(w ) dx +
pw 2 dx = 0,

0
0

=0
(w )2 dx +
pw 2 dx = 0.

0
We will derive the Poincare inequality for this boundary value problem.

Use eigenvalues of the Laplacian for
, w + w = 0, w(0) = w () =0.
Expand w in eigenfunctions: w = n an n . Then n (x) = an cos n x+bn sin n x.
Boundary conditions give:

1 2
1
x,
n = 0, 1, 2, . . ..
Then,
,
n (x) = sin n +
n = n +
2
2

'
('
(
2
w dx =
am m
an n dx =
a2n
2n (x) dx,

0
(w )2 dx = ww |0
ww dx =
ww dx
0
0

'
('
(
2
am m
n an n dx =
n an
=
0
2n dx.
Thus, the Poincare inequality is:

1 2 2
1 2
w dx =
an
n dx
n a2n
2n dx =
(w )2 dx.
4 0
4 n
0
0
0
n
Thus, from :

(w )2 dx +
0 =
0
If
1
4
+ p(x) > 0,
pw 2 dx
(p(x) > 14 ),
1
4

0
w 2 dx +

0
pw 2 dx =

0
1
4

+ p w 2 dx.
x, then w 0, and we obtain uniqueness.
Igor Yanovsky, 2005
91
Problem (F97, #5). a) Prove that all eigenvalues of the Sturm-Liouville problem
du
d
p(x)
+ u(x) = 0,
0 < x < a,
dx
dx
du(a)
+ hu(a) = 0,
u(0) = 0,
dx
are positive. Here h > 0, p(x) > 0 and continuous on [0, a].
b) Show that the same is true when h < 0 and |h| is suciently small.
Proof. a) Let be an eigenfunction. We have
(p ) + = 0.
(5.25)
Multiply (5.25) by and integrate from 0 to a,

a
'
(
(p ) + 2 dx = 0.
0
Since
a
2 dx > 0, we can solve for :

a
0 (p ) dx
a
.
=
2
0 dx
0
Integrating by parts and plugging in the boundary conditions give

a
a
hp(a)2 (a) + 0 p(x)((x))2 dx
p |a0 + 0 p( )2 dx
a
a
=
=
2
2
0 dx
0 (x) dx
To show that > 0, assume = 0. Then the ODE becomes
(pu ) = 0 p(x) u(x) = C, a constant.
Then
p(a) u(a) = h p(a) u(a) = C
Wrong assumption follows: u = 0.
b) h < 0. For |h| is suciently small, i.e.
a
p(x)( (x))2 dx,
|hp(a)2 (a)| <
0
we have
a
hp(a)2 (a) + 0 p(x)((x))2 dx
a
> 0.
=
2
0 (x) dx
0.
Igor Yanovsky, 2005
Problem (S93, #7). a) Show that the general solution of

df
1 d
x
= f,
x dx dx
92
(5.26)
where is a constant, is a linear combination of f1 and f2 , where

f1 = O(1),
f2 = O(ln x),
x 0.
Proof. a) We use the method of dominant balance. We have

1
(xf ) = f,
x
1
(xf + f ) = f,
x
1
f + f = f,
x
xf + f = xf.
As x 0, f (x) 0, i.e. f (x) C. (Incomplete)
b) Consider the eigenvalue problem posed by (5.26) and the conditions
f (0) = O(1),
f (1) = 0.
(5.27)
Assuming that the spectrum of is discrete, show that the eigenfunctions belonging to
dierent are orthogonal:
1
1
dfi dfj
dx = 0,
i = j ,
xfi fj dx =
x
dx dx
0
0
and that all eigenvalues are positive.
Proof. Rewrite the equation as
1
(xf ) + f = 0.

x
Let m, n , be the eigenvalues and fm , fn be the corresponding eigenfunctions. We
have
1

(xfm
) + m fm = 0,
(5.28)
x
1
(xfn ) + n fn = 0.
(5.29)
x
Multiply (5.28) by fn and (5.29) by fm and subtract equations from each other
1

) + m fn fm = 0,
fn (xfm
x
1
fm (xfn ) + n fm fn = 0.
x
1
1

),
(m n )fm fn = fm (xfn ) fn (xfm
x
x

) = [x(fmfn fn fm
)] .
(m n )xfm fn = fm (xfn ) fn (xfm
Igor Yanovsky, 2005
93
Integrating over (0, 1) gives

1

xfm fn dx = [x(fm fn fn fm
)]10
(m n )
0

= 1 (fm fn fn fm
)(1) 0 (fm fn fn fm
)(0) = 0,
since fm (1) = fn (1) = 0. Since n = m , fn (x) and fm (x) are orthogonal on [0, 1].
Igor Yanovsky, 2005
94
and f are orthogonal with respect to x, consider

To show that fm
n
1
1

1

xfm fn dx = xfm fn |0
(xfm
) fn dx
0
0
1

(xfm
) fn dx
= 1 fm (1)fn (1) 0 fm (0)fn (0)
0
1
1

(xfm
) fn dx = = m
xfm fn dx = = 0.
=
0
We now show that eigenvalues are positive. We have

1
(xf ) + f = 0,
x
(xf ) + xf = 0.
Multiplying by f and integrating, we get
1
1

f (xf ) dx +
xf 2 dx = 0,
0
0
1
1
xf 2 dx +
xf 2 dx = 0,
f xf |10

0
0
=0
1
= 01
0
xf 2 dx
xf 2 dx
0.
The equality holds only if f 0, which means f = C. Since f (1) = 0, then f 0,

which is not an eigenfunction. Thus, > 0.
c) Let f (x) be any function that can be expanded as a linear combination of eigenfunctions of (5.26) and (5.27). Establish the Rayleigh-Ritz principle, namely that
1
x(f )2 dx
F (f ) = 0 1
2
0 xf dx
is an upper bound on the smallest eigenvalue.
,
Proof. Let f (x) =
an fn , where fn s are eigenfunctions. Then,
1 ,
1
2
x( an fn )2 dx
0 x(f ) dx
= 01 ,
(by orthogonality)
F (f ) =
1
2 dx
2 dx
xf
x(
a
f
)
n
n
0
0
1 , 2 2
, 2 1 2
a
x
a
f
dx
xf dx
n n
0
= , n 01 n
(by )
= 1 ,
2 f 2 dx
2
2 dx
x
a
xf
a
n
n
n
n
0
0
, 2 1 2
, 2 1 2
xf dx
a
an n 0 xfn dx
> min , n 01 n
= min .
=
, 2 1 2
an 0 xfn dx
a2n 0 xfn2 dx
Thus, min < F (f ), i.e. F (f ) is an upper bound on min .
Igor Yanovsky, 2005
d) The Bessel function J0 (r) is O(1) at r = 0 and obeys

1 d dJ0
r
= J0 .
r dr
dr
Obtain an upper bound for the smallest positive zero of J0 .
95
Igor Yanovsky, 2005
96
Problem (F90, #8). Consider the dierential equation

uxx + (1 + x2 )u = u,
u(0) = u(a) = 0.
a) Find a variational characterization for the eigenvalues i, i = 1, 2, . . ..
b) Show that the eigenvalues are all positive, i.e. i > 0.
c) Consider the problem for two dierent values of a: a = a1 and a = a2 with a1 <
a2 . Show that the eigenvalues 1 (a1 ) for a = a1 is larger than (or equal to) the rst
eigenvalues 1 (a2 ) for a2 , i.e.
1 (a1 ) 1 (a2 )
for a1 < a2 .
d) Is this still true for i > 1, i.e. is

i(a1 ) i (a2 )
for a1 < a2 ?
Proof. a) We have
u + (1 + x2 )u = u,

a
a
a

2 2
uu dx +
(1 + x )u dx =
u2 dx,
0
0
0
a
a
a
a
2
2 2
(u ) dx +
(1 + x )u dx =
u2 dx,
uu |0 +

0
0
0
=0
a' 2
(
2 2
0 (u ) + (1 + x )u dx
.
=
a 2
0 u dx
b)
a' 2
(
2 2
0 (u ) + (1 + x )u dx
> 0,
=
a 2
0 u dx
if u not identically 0.
a1 '
c)
(
(u )2 + (1 + x2 )u2 dx
a1
,
1 (a1 ) = min
2
[0,a1]
0 u dx
(
a2 ' 2
(u ) + (1 + x2 )u2 dx
0
a2
.
1 (a2 ) = min
2
[0,a2]
0 u dx
0
The minimum value in a small interval is greater then or equal to the minimum value
in the larger interval. Thus, 1 (a1 ) 1 (a2 ) for a1 < a2 .
We may also think of this as follows: We can always make a 0 extension of u from a1 to
a2 . Then, we can observe that the minimum of for such extended functions would
be greater.
d)
Igor Yanovsky, 2005
97
Variational (V) and Minimization (M) Formulations
Consider
(D)
u (x) = f (x)

u(0) = u(1) = 0,
for 0 < x < 1,
(V)
Find u V, s.t. a(u, v) = L(v) v V,
(M)
Find u V, s.t. F (u) F (v)
v V,
(F (u) = min F (v)).

vV
V = {v : v C 0 [0, 1], v piecewise continous and bounded on [0, 1], and v(0) = v(1) =
0}.
1
a(v, v) L(v)
2
F (v) =
(D) (V) (M)

(D) (V)
Multiply the equation by v V , and integrate over (0, 1):
u = f (x),
1
1

u v dx =
f v dx,
0
0
1
1
1

u v dx =
f v dx,
u v|0 +

0
0
=0
u v dx =
f v dx,
0
a(u, v) = L(v)
v V.
(V) (M)
We have a(u, v) = L(v), v V . Suppose v = u + w, w V .
We have
1
a(u + w, u + w) L(u + w)
2
1
1
a(u, u) + a(u, w) + a(w, w) L(u) L(w)
=
2
2
1
1
a(u, u) L(u) + a(w, w) + a(u, w) L(w)
=

2
2
F (v) = F (u + w) =
=F (u)
=0, by
F (u).
(M) (V)
We have F (u) F (u + v), for any v V , since u + v V . Thus, the function
1
a(u + v, u + v) L(u + v)
2
2
1
a(u, u) + a(u, v) + a(v, v) L(u) L(v),
2
2
g() F (u + v) =
=
Igor Yanovsky, 2005
has a minimum at = 0 and hence g (0) = 0. We have

g () = a(u, v) + a(v, v) L(v),
0 = g (0) = a(u, v) L(v),
a(u, v) = L(v).
(V) (D)
We have
1

u v dx
0
v V.
f v dx = 0
Assume u exists and is continuous, then

1
1
u v dx
f v dx = 0,
u v|10

0
0
=0
1
(u + f )v dx = 0
v V.
Since u + f is continuous, then

(u + f )(x) = 0
0 < x < 1.
We can show that (V) is uniquely determined if a(u, v) = (u , v ) =

Suppose u1 , u2 V and
(u1 , v ) = L(v)
v V,
= L(v)
v V.
(u2 , v )
1
0
u v dx.
Subtracting these equations gives

(u1 u2 , v ) = 0
v V.
Choose v = u1 u2 V . We get
(u1 u2 , u1 u2 ) = 0,
1
1

2
(u1 u2 ) dx =
(u1 u2 ) 2 dx = 0,
0
which shows that

(u1 u2 ) (x) = 0
u1 u2 = constant.
The boundary conditions u1 (0) = u2 (0) = 0 give u1 (x) = u2 (x), x [0, 1].
98
Igor Yanovsky, 2005
99
Problem (F91, #4). Consider a boundary value problem in a bounded plane domain
:
2
2
u
+ yu2 = f (x, y)
in ,
x2
(6.1)
u
+
a(s)u
=
0
on
,
n
where a(s) is a smooth function on .
a) Find the variational formulation of this problem, i.e. nd a functional F (v) dened
on smooth functions in the such that the Euler-Lagrange equation for this functional is equivalent to (6.1).
Proof. a) (D) (M)
We will proceed as follows: (D) (V) (M). We have

u = f
in ,
u
on .
n + a(s)u = 0
(D) (V)
Multiply the equation by v V , and integrate over :
u = f,

uv dx =
f v dx,

u
v ds
u v dx =
f v dx,
n

a(s)uv ds
u v dx =
f v dx,

u v dx +
a(s)uv ds =
f v dx .

a(u,v)
L(v)
(V) (M)
a(u, v) = L(v),

u v dx +
a(s)uv ds,
a(u, v) =
f v dx,
L(v) =
1
a(v, v) L(v).

F (v) =
2

1
1
2
2
F (v) =
|v| dx +
a(s)v ds +
f v dx.
2
2
We show that F (v), dened as , minimizes the functional.

We have a(u, v) = L(v), v V . Suppose v = u + w, w V .
1
a(u + w, u + w) L(u + w)
2
1
1
a(u, u) + a(u, w) + a(w, w) L(u) L(w)
=
2
2
1
1
a(u, u) L(u) + a(w, w) + a(u, w) L(w) F (u).
=

2
2
F (v) = F (u + w) =
=F (u)
=0, by
We have
Igor Yanovsky, 2005
100
b) Prove that if a(s) > 0, then the solution of (6.1) is unique in the class of smooth
functions in .
Proof. Let u1 , u2 be two solutions of (6.1), and set w = u1 u2 .
a(u1 , v) = L(v),
a(u2 , v) = L(v),
a(w, v) = 0.
Let v = w V . Then,

2
|w| dx +
a(w, w) =
a(s)w 2 ds = 0.
Since a(s) > 0, w 0.

We can also begin from considering

w = 0
in ,
w
on .
n + a(s)w = 0
Multiplying the equation by w and integrating, we obtain

ww dx = 0,

w
ds
w
|w|2 dx = 0,
n

2
a(s)w ds
|w|2 dx = 0,

a(s)w 2 ds +
|w|2 dx = 0.
Since a(s) > 0, w 0.
Then
Igor Yanovsky, 2005
101
Problem (W04, #2). Let C 2 () be the space of all twice continuously dierentiable
functions in the bounded smooth closed domain R2 . Let u0 (x, y) be the function
that minimizes the functional

u(x, y) 2 u(x, y) 2
+
+ f (x, y)u(x, y) dxdy +
a(s) u2 (x(s), y(s)) ds,
D(u) =
x
y
where f (x, y) and a(s) are given continuous functions.

Find the dierential equation and the boundary condition that u0 satises.
Proof. (M) (D)
We will proceed as follows: (M) (V) (D). We have

a(s) v 2 ds,
F (v) = (|v|2 + f v) dx +
F (v) =
1
a(v, v) L(v),
2
a(u, v) = 2

L(v) =
u v dx + 2
a(s)uv ds,
f v dx.
(M) (V) Since u0 minimizes F (v) we have

F (u0 ) F (v), v V.
Thus, the function
1
a(u0 + v, u0 + v) L(u0 + v)
2
2
1
a(u0 , u0 ) + a(u0 , v) + a(v, v) L(u0 ) L(v),
=
2
2

has a minimum at = 0 and hence g (0) = 0. We have
g() F (u0 + v) =
g () = a(u0 , v) + a(v, v) L(v),
0 = g (0) = a(u0 , v) L(v),

a(u0 , v) = L(v).

2 u0 v dx + 2
(V) (D)

a(s)u0 v ds =
f v dx.
u0 v dx + 2
a(s)u0 v ds = f v dx,

u0
v ds 2
u0 v dx + 2
a(s)u0 v ds = f v dx,
2
n

u0
+ a(s)u0 v ds = 0.
(2u0 + f )v dx + 2
n
If
u0
n
+ a(s)u0 = 0, we have

(2u0 + f )v dx = 0
v V.
Igor Yanovsky, 2005
Since 2u0 + f is continuous, then 2u0 + f = 0.

2u0 + f = 0,
u0
n + a(s)u0 = 0,
x ,
x .
See the preferred solution in the Euler-Lagrange Equations section.
102
Igor Yanovsky, 2005
103
Euler-Lagrange Equations
Consider the problem of determining a C 1 function u(x) for which the integral

J(x, u, u) dx
E=
takes on a minimum value.

Suppose u(x) is the actual minimizing function, and choose any C 1 function (x).
Since u is the minimizer
E(u + ) E(u),
E(u + ) has a minimum at = 0. Thus,

dE
(u + )=0 = 0.
d
7.1
Rudin-Osher-Fatemi
|u| + (u f )2 dx.
E =

dE
(u + )=0 =
d
d
d

|(u + )| + (u + f )2 dx =0

(u + )
+ 2(u + f ) dx =0
|(u + )|

u
+ 2(u f ) dx
|u|

u
u
n ds
dx +
2(u f ) dx
|u|
|u|

u
u
n ds
2(u f ) dx = 0.
|u|
|u|
=
=
=
=
Choose Cc1 (). The Euler-Lagrange equations
22
u
|u|
22
are

2(u f ) = 0
on ,
Hildebrands (p.124-128) denition of Euler-Lagrange equations in one dimension:

x2
x2
d J
J
J
dx
+
(x)
= 0.
y
dx y
y
x1
x1
d
dx

J
y
J
y
J
.
y

= 0,
x=x1
J
y

= 0.
x=x2
In n dimensions:
x (p J ) = u J
p J n = 0
on ,
on ,
where p = u = (ux , uy ).

u n = 0
7.1.1
Igor Yanovsky, 2005
on .
Gradient Descent
If we want to nd a local minimum of a function f in R1 , we have

df
dx
= .
dt
dx
To minimize the energy E (in R2 ), we would have
dE(u)
du
=
.
dt
du
Also, consider

|u| + (u f )2 dx.
E =
We want E(u(x, t)) to decrease, that is,

d
E(u(x, t)) 0,
dt
for all t.
Assume u n = 0 on . We have

d
d
E(u(x, t)) =
|u| + (u f )2 dx
dt
dt

u ut
+ 2(u f ) ut dx
=
|u|

u
ut + 2(u f ) ut dx

=
|u|

u
+ 2(u f ) dx 0.
ut
=
|u|

To ensure that holds, we need to choose ut to be negative of , or
ut =
u
|u|

2(u f ).
104
7.2
Igor Yanovsky, 2005
105
Chan-Vese

F CV
(1 H()) dx

2
+ 1
|u0 c1 | (1 H()) dx + 2
|u0 c2 |2 H() dx.
=
()|| dx +

d
( + )|( + )| dx +
(1 H( + )) dx
d

d
d

2
(u0 c1 ) (1 H( + )) dx + 2
(u0 c2 )2 H( + ) dx
+ 1
d
d
=0

(
+
)
dx
( + ) |( + )| + ( + )
|( + )|

+
H ( + ) dx

+ 1 (u0 c1 )2 (H ( + )) dx

+ 2 (u0 c2 )2 H ( + ) dx
=0

dx
() || + ()
||

H () dx

1 (u0 c1 )2 H () dx

+ 2 (u0 c2 )2 H () dx

()

ds
() || dx +
|| n

dx () x
dx
()
||
||

() dx

1 (u0 c1 )2 () dx

+ 2 (u0 c2 )2 () dx

()
ds
|| n

1 (u0 c1 )2 + 2 (u0 c2 )2 dx = 0.
()
+
||

d
dF CV
( + )=0 =
d
d
Choose Cc1 (). The Euler-Lagrange equations are

+ + 1 (u0 c1 )2 2 (u0 c2 )2 = 0
()
||
()
= 0
|| n
on .
on ,
7.3
Igor Yanovsky, 2005
106
Problems
The problem below was solved in the previous section. However, the approach below
is preferable.
Problem (W04, #2). Let C 2 () be the space of all twice continuously dierentiable
functions in the bounded smooth closed domain R2 . Let u0 (x, y) be the function
that minimizes the functional

u(x, y) 2 u(x, y) 2
+
+ f (x, y)u(x, y) dxdy +
a(s) u2 (x(s), y(s)) ds,
D(u) =
x
y
where f (x, y) and a(s) are given continuous functions.

Find the dierential equation and the boundary condition that u0 satises.
Proof. Suppose u(x) is the actual minimizing function, and choose any C 1 function
(x).
F (u + ) F (u),
F (u + ) has a minimum at = 0. Thus,

dF
(u + )=0 = 0.
d

2
(|u| + f u) dx +
a(s) u2 ds,
F (u) =

dF
(u + )=0 =
d
=
=
=
=

(
d
a(s) (u + )2 ds =0
|(u + )|2 + f (u + ) dx +
d

'
(
2 a(s) (u + ) ds =0
2 (u + ) + f dx +

'
(
2 a(s) u ds
2 u + f dx +

'
(
u
ds
2
2 a(s) u ds
2 u f dx +
n

'
(
u
+ a(s)u ds
2 u f dx = 0.
2
n
d
d
'
The Euler-Lagrange equations are

2u = f,
u
n + a(s)u = 0,
x ,
x .
Igor Yanovsky, 2005
107
Problem (F92, #7). Let a1 and a2 be positive constants with a1 = a2 and dene

a1 for 0 < x < 12
a(x) =
a2 for 12 < x < 1
and let f (x) be a smooth function. Consider the functional
1
1
a(x)u2x dx
f (x)u(x) dx
F (u) =
0
in which u is continuous on [0, 1], twice dierentiable on [0, 12 ] and [ 12 , 1], and has a
possible jump discontinuity in ux at x = 12 . Find the Euler-Lagrange equation for
u(x) that minimizes the functional F (u). In addition nd the boundary conditions on
u at x = 0, x = 12 and x = 1.
Proof. Suppose u(x) is the actual minimizing function, and choose any C 1 function
(x).
F (u + ) F (u),

dF
(u + )=0 = 0.
d
1
2
F (u) =
0
a1 u2x

dx +
1
1
2
a2 u2x dx
f (x)u(x) dx
0

1
1
1

2
d
d
d
2
2
a1 (ux + x ) dx +
a2 (ux + x) dx
f (x)(u + ) dx
d 0
d 1
d 0
=0
2

1
1
1

2
=
2a1 (ux + x )x dx +
2a2 (ux + x )x dx
f (x) dx

dF
(u + )=0 =
d

=
1
2

2a1 ux x dx +

1
2
= 2a1 ux
0
1
2
1
2
1
1
2
2a2 ux x dx
f (x) dx
0
2a(x)uxx dx
1
1
2

2a2 uxx dx
f (x) dx.
0
Thus,
'1( '1(
1 '1 (
a1 ux (0)(0) + a2 ux(1)(1) a2 ux ( )
= 0.
2
2
2
2

1
2a(x)uxx + f (x) dx = 0.
a1 ux
=0

1

2a1 uxx dx + 2a2 ux 1

1
1
2

= 2a1 ux + 2a2 ux 1
0
f (x) dx
0
Igor Yanovsky, 2005
108
2a(x)uxx + f (x) = 0,
u (0) = 0,
x
u
x (1) = 0,
a u ' 1 ( = a u ( 1 +).
1 x 2
2 x 2
The process of nding Euler-Lagrange equations (given the minimization functional) is
equivalent to (D) (V) (M).
Igor Yanovsky, 2005
109
Problem (F00, #4). Consider the following functional

3
3

2
vj 2
2
dx,
+
vj (x) 1
F (v) =
xk
j=1
j,k=1
where x = (x1 , x2 , x3 ) R3 , v(x) = (v1 (x), v2(x), v3(x)), R3 bounded, and > 0
is a constant. Let u(x) = (u1 (x), u2(x), u3(x)) be the minimizer of F (v) among all
smooth functions satisfying the Dirichlet condition, uk (x) = k (x), k = 1, 2, 3. Derive
the system of dierential equations that u(x) satises.
Proof. (M) (D)
Suppose u(x) is the actual minimizing function, and choose any C 1 function (x) =
(1 (x), 2(x), 3(x)).
F (u + ) F (u),

dF
(u + )=0 = 0.
d

dF
(u + )=0 =
d
d
d

3
3

2
j 2
uj
2
+
+
(uj + j ) 1
dx
xk
xk
=0
j,k=1
j=1

3
3
3

j j
uj
2
=
+
+ 2
(uj + j ) 1 2
(uj + j )j dx
2
xk
xk xk
=0
j=1
j,k=1
j=1

3
3
3

uj j
2
=
+ 4
uj 1
uj j dx
2
xk xk
j=1
j=1
j,k=1

(
'
2 u1 1 + u2 2 + u3 3
=

('
(
' 2
2
2
+ 4 u1 + u2 + u3 1 u1 1 + u2 2 + u3 3 dx

(
'
u2
u3
u1
1 +
2 +
3 ds +
2
2 u1 1 + u2 2 + u2 3 dx
=
n
n
n

('
(
' 2
2
2
+ 4 u1 + u2 + u3 1 u1 1 + u2 2 + u3 3 dx = 0.
If we assume that u21 + u22 + u23 1 = 1, we have

(
'
u2
u3
u1
dF

(u + ) =0 =
1 +
2 +
3 ds +
2
2 u1 1 + u2 2 + u2 3 dx
d
n
n
n

(
'
+ 4 u1 1 + u2 2 + u3 3 dx = 0.
ui + 2ui = 0,
ui
= 0,
n
in
i = 1, 2, 3,
on .
Igor Yanovsky, 2005
110
Integral Equations
Fredholm Equation:
Volterra Equation:
b
(x)y(x) = F (x) + a K(x, )y()d
x
(x)y(x) = F (x) + a K(x, )y()d
When 0, the equation is said to be an integral equation of the rst kind.

When 1, the equation is said to be an integral equation of the second kind.
d
dx
8.1
B(x)
F (x, )d =
A(x)
dB
dA
F (x, )
d + F (x, B(x))
F (x, A(x)) .
x
dx
dx
Relations Between Dierential and Integral Equations
Example 1. Consider the boundary-value problem

y + y = 0,
y(0) = y(L) = 0.
After the rst integration over (0, x), we obtain
x
y() d + C,
y (x) =
0
where C represents the unknown value of y (0). A second integration over (0, x) gives
s

s
x
x x
ds
y()
d
+
Cx
+
D
=
s
y()
d
sy(s)
ds
+ Cx + D
y(x) =

0
0
0
0
0

v
u

x
x
x
y() d
y() d + Cx + D =
(x )y() d + Cx + D.
= x
0
y(0) = 0 gives D = 0. Since y(L) = 0, then

L
(L )y() d + CL,
y(L) = 0 =
0

L
(L )y() d.
C =
L 0
If the values of C and D are introduced into , this relation takes the form

x
x L
(x )y() d +
(L )y() d
y(x) =
L 0
0
L
x
x
x
x
(L )y() d +
(L )y() d
(x )y() d +
=
0
0 L
x L
L
x
x
(L )y() d +
(L )y() d.
=
0 L
x L
Thus,

y(x) =
K(x, )y() d
0

where

K(x, ) =
L (L
x
L (L
),
),
<x
>x
Note, K(x, ) is symmetric: K(x, ) = K(, x).

The kernel K is continuous at x = .
Igor Yanovsky, 2005
111
Igor Yanovsky, 2005
112
Example 2. Consider the boundary-value problem

y + Ay + By = 0,
y(0) = y(1) = 0.
Integrating over (0, x) twice, we obtain
x
y() d + C,
y (x) = Ay(x) B
0
x
x
s
y(x) = A
y() d B
ds
y() d + Cx + D

0
0
0

v
u
s

x
x x
y() d B s
y() d
sy(s) ds + Cx + D
= A
0
0
0
0

x
x
x
y() d B x
y() d
y() d + Cx + D
= A
0
0
0
x

A B(x ) y() d + Cx + D.
=
0
y(0) = 0 gives D = 0. Since y(1) = 0, then

1

A B(1 ) y() d + C,
y(1) = 0 =
0
1

A + B(1 ) y() d.
C =
0
If the values of C and D are introduced into , this relation takes the form
1
x

A B(x ) y() d + x
A + B(1 ) y() d
y(x) =
0
0
x
1
x

A B(x ) y() d +
Ax + Bx(1 ) y() d +
Ax + Bx(1 ) y() d
=
0
0
x
1
x

A(x 1) + B(1 x) y() d +
Ax + Bx(1 ) y() d
=
0
Thus,

y(x) =
K(x, )y() d
0
where

A(x 1) + B(1 x),
K(x, ) =
Ax + Bx(1 ),
<x
>x
Note, K(x, ) is not symmetric: K(x, ) = K(, x), unless A = 0.

The kernel K is not continuous at x = , since
lim A(x1)+B(1x) = A(1)+B(1) = A+B(1) = lim Ax+Bx(1).
x +
8.2
Igor Yanovsky, 2005
113
Greens Function
Given the dierential operator

L=
d ' d(
p
+ q,
dx dx
consider the dierential equation

axb
Ly + F (x) = 0,

c1 y(a) + c2 y (a) = 0,
c3 y(b) + c4 y (b) = 0
where F may also depend upon x indirectly through y(x), F (x) = F (x, y(x)).
We construct a Greens function G which, for a given number , is given by
u(x) when x < and by v(x) when x > , and which has the following four properties:
The functions u and v satisfy the equation LG = 0 in their intervals of denition;
that is Lu = 0 when x < , and Lv = 0 when x > .
u satises the boundary condition at x = a, and v that at x = b.
G is continuous at x = ; that is u() = v().
v () u () = 1/p().
When G(x, ) exists, the original formulation of the problem can be transformed to

y(x) =
G(x, )F ()d.
Thus, conditions and imply

u(x), x < ,
G=
v(x), x > .
(8.1)
where u and v satisfty respective boundary conditions, and conditions and determine additional properties of u and v (i.e. constants in terms of ):
c2 v() c1 u() = 0,
c2 v () c1 u () =
1
.
p()
(8.2)
(8.3)
Igor Yanovsky, 2005
114
Example. Transform the problem

d2 y
+ y + y 2 = f (x),
dx2
y(0) = 0, y(1) = 0
to a nonlinear Fredholm integral equation in each of the two following ways. Use
a) Ly = y .
b) Ly = y + y.
Proof. a) We have
y + y + y 2 f (x) = 0

F (x)
Ly
Ly = y = 0 y = ax + b
u(x) = ax + b, v(x) = cx + d.
u(0) = 0 = b
u(x) = ax.
v(1) = 0 = c + d v(x) = c(x 1).
Determine a and c in terms of :
u() = v(),
a = c( 1),
c
.
= ca
1

= 1,
v () u () = c a = p()
c = , a = 1 .
Thus,

u(x), x < ,
x(1 ),
G=
=
v(x), x > .
(1 ),
y(x) =
0

G(x, )F () d =
x < ,
x > .
G(x, )f () d +
0
+

G(x, ) y() + y 2 () d
b) We have
y + y + y 2 f (x) = 0

Ly
F (x)
Ly = y + y = 0 y = A cos x + B sin x
u(x) = a cos x + b sin x, v(x) = c cos x + d sin x.
u(0) = 0 = a
u(x) = b sin x.
sin 1
v(1) = 0 = c cos 1 + d sin 1 v(x) = d(sin x cos
1 cos x).
Determine b and d in terms of :
u() = v(),
sin 1
b sin = d(sin cos
1 cos ),
sin 1 cos
b = d(1 cos 1 sin ).
sin 1
1
v () u () = d( cos
1 sin + cos b cos ) = p() = 1.
After some algebra,
sin(1) sin x
,
u(x) =
sin 1
sin(1x) sin
.
v(x) =
sin 1

sin(1) sin x
,
x < ,
sin 1
G = sin(1x)
sin
,
x > .
sin 1

y(x) =
0
Igor Yanovsky, 2005

G(x, )F () d =
G(x, )f () d +
0
G(x, )y 2() d
115
Igor Yanovsky, 2005
116
Problem (W02, #1). Consider the second order dierential operator L dened by
Ly =
d2 y
y.
dx2
Find the Greens function (= solution operator kernel) for the boundary value problem
Ly = f on 0 < x < 1, y(1) = y(0) = 0.
Proof. Ly = y y = 0 y = Aex + Bex
u(x) = aex + bex, v(x) = cex + dex.
u(0) = 0 = a + b
u(x) = a(ex ex ).
v(1) = 0 = ce1 + de1 v(x) = d(ex e2x ).
Determine a and d in terms of :
u() = v(),
a(e e ) = d(e e2 ),
e2
.
a = d ee
e
1
= 1.
v () u () = d(e + e2 ) a(e e ) = p()
Plugging in into , we get
e e2
(e e ) = 1,
e e
e e2
1
(e + e ) = ,
e + e2 +
e e
d
e
e2
e
e
1
+
(e + e ) = ,
(e + e2 )
e e
e e
d
2
22
2
2
22
2
1+e e
1
e
e
1e +e
+
= ,
e e
e e
d
1
2 2e2
= ,
e e
d
e e
.
d=
2(e2 1)
d(e + e2 ) d
a=d
G=
e e e e2
e e2
e e2
.
=
=
e e
2(e2 1) e e
2(e2 1)
2
e e
(ex ex ), x < ,
2(e2 1)
e e
(ex
2(e2 1)
e2x ),
x > .
d y
Example. Show that the Greens function G(x, ) associated with the expression dx
2 y
over the innite interval (, ), subject to the requirement that y be bounded as
x , is of the form
1
G(x, ) = e|x| .
2
Proof. Ly = y y = 0 y = Aex + Bex
Since y is bounded as x , a = 0
Since y is bounded as x +, d = 0
Determine b and c in terms of :
u(x) = bex .
v(x) = cex .
Igor Yanovsky, 2005
117
u() = v(),
be = ce ,
b = ce2 .
1
= 1.
v () u () = ce be = p()
2
= 1cee e = 1ce
= e c,
c = 1be
e
e
1
1
b = 2 e . Thus,
c = 2e

1 x
1 x
e
e
,
x
<
,
bex , x <
2
2e
=
=
G(x, ) =
1 x
1 x
x
ce , x >
,
x>
,
2e e
2e

1 |x|
1 |x|
,
x<
,
x < ,
2e
2e
=
=
1 |x|
1 |x|
,
x>
,
x > .
2e
2e
x<
x>
1
G(x, ) = e|x|
2
Problem (W04, #7). For the two-point boundary value problem Lf = fxx f on
< x < with limx f (x) = limx f (x) = 0, the Greens function G(x, x)
solves LG = (x x ) in which L acts on the variable x.
a) Show that G(x, x) = G(x x ).
b) For each x , show that

a ex for x < x ,
G(x, x) =
a+ ex for x < x,
in which a are functions that depend only on x .
c) Using (a), nd the x dependence of a .
d) Finish nding G(x, x) by using the jump conditions to nd the remaining unknowns
in a .
Proof. a) We have
Lf
fxx f,
LG
G(x, x)xx G(x, x) = (x x ),
???
G(x, x) = G(x x ).
b, c, d) Lf = f f = 0 y = Aex + Bex
u(x) = bex.
Since limx f (x) = 0, a = 0
v(x) = cex .
Since limx+ f (x) = 0, d = 0
Determine b and c in terms of :
u() = v(),
be = ce ,
b = ce2 .
1
= 1.
v () u () = ce be = p()
c=
1be
e
1ce2 e
e
1ce
e
= e c,

c = 12 e
Igor Yanovsky, 2005
b = 12 e . Thus,

1 x
1 x
bex , x <
e e ,
x<
,
2
2e
=
=
G(x, ) =
1
1
x
x
,
x>
,
cex , x >
2e e
2e

1 |x|
1 |x|
,
x<
,
x < ,
2e
2e
=
=
1 |x|
1 |x|
,
x>
,
x > .
2e
2e
1
G(x, ) = e|x|
2
x<
x>
118
Igor Yanovsky, 2005
119
Miscellaneous
Problem (F98, #1). Determine such that the dierential equation

d2
+ = + x2 ,
dx2
(9.1)
with (0) = 0 and () = 0 has a solution.

Proof. Solve the homogeneous equation + = 0. Subsitution = esx gives
s2 + 1 = 0. Hence, s1,2 = i and the superposition principle gives the family of
solutions:
h (x) = A cos x + B sin x.
Find a particular solution of the inhomogeneous equation + = + x2 .
Try (x) = ax2 + bx + c. Substitution into (9.1) gives
ax2 + bx + 2a + c = + x2 .
By equating coecients, a = 1, b = 0, c = 2. Thus,
p (x) = x2 + 2.
Use the principle of the complementary function to form the family of solutions:
(x) = h (x) + p (x) = A cos x + B sin x + x2 + 2.
(0) = 0 = A + 2,
() = 0 = A + 2 + 2.
Thus, A =
2
2 ,
which gives = 2
2
2 .
Igor Yanovsky, 2005
120
Problem (S92, #5). Consider the initial value problem for the ODEs
y = y y3 ,
y = y + y3 ,
t 0,
with initial data

1
y(0) = .
2
Investigate whether the solutions stay bounded for all times. If not compute the blowup time.
Proof. a) We solve the initial value problem.
dy
= y y 3 = y(1 y 2 )
dt
dy
y(1 y)(1 + y)
1 1 1
1 1
+
dy
y 21y 21+y
1
1
ln y ln (1 y) ln (1 + y)
2
2
1
ln y ln ((1 y)(1 + y))
2
1
ln y ln ((1 y)(1 + y)) 2

y
ln
1
((1 y)(1 + y)) 2
y
t
1 = c2 e ,
((1 y)(1 + y)) 2
y
t
1 = c2 e .
2
2
(1 y )
= y(1 y)(1 + y),

= dt,
= dt,
= t + c1 ,
= t + c1 ,
= t + c1 ,
= t + c1 ,
Initial condition y(0) = 12 , we obtain c2 =
1 .
3
Thus
1
= et ,
3
(1 y 2 )
1
y2
= e2t,
2
1y
3
1
.
y=
3e2t + 1
y
1
2
As t y 1. Thus, the solutions stay bounded for all times.

We can also observe from the image above that at y(0) = 12 , dx
dt > 0. Thus y 1 as
t .
b) We solve the initial value problem.
dy
= y + y3 ,
dt
y 3 y = y 2 + 1.
Let v = y 2 , then v = 2y 3 y . We have
1
v + 2v = 2
v = ce2t 1,
v v = 1
2
1
1
y=
.
y 2 = v = ce2t 1
y=
ce2t 1
5e2t 1

The solution blows up at t = 12 ln 5.
Igor Yanovsky, 2005
121
Igor Yanovsky, 2005
122
Problem (S94, #4).

Suppose that 1 (t) and 2 (t) are any two solutions of the linear dierential equation
f + a1 (t)f + a2 (t)f = 0.
(9.2)
a) Show that
1 (t)2 (t) 2 (t)1 (t) = ce
t
a1 (s) ds
for some constant c.

b) For any solution 1 (t), show that
t
s
1
e a1 (r) dr
ds
(t) = 1 (t)
1 (s)2
is also a solution and is independent of 1 , on any interval in which 1 (t) = 0.
Proof. a) Suppose 1 and 2 are two solutions of (9.2). Then
1 + a1 1 + a2 1 = 0,
2 + a1 2 + a2 2 = 0.
1 [2 + a1 2 + a2 2 ] 2 [1 + a1 1 + a2 1 ] = 0,
1 2 2 1 + a1 [1 2 2 1 ] = 0.
Let w = 1 2 2 1 .
w + a1 (t)w = 0
Then, w = 1 2 2 1 .

w
= a1 (t)
w
1 2 2 1 = c e
t
a1 (s) ds
Thus,
w = c e
t
a1 (s) ds
b) Let (t) = 1 (t)v(t) for some non-constant function v(t), which we will nd.
Since (t) is a solution of (9.2), we have
+ a1 + a2 = 0,
(1 v) + a1 (1 v) + a2 1 v = 0,
1 v + 21 v + 1 v + a1 1 v + a1 1 v + a2 1 v = 0,
1 v + [21 + a1 1 ]v + [1 + a1 1 + a2 1 ]v = 0,

=0
[21 + a1 1 ]v
21 + a1 1
1 v +
v
=
v
= 0,

= 2 1 a1 ,
1
1
t
a1 (s) ds + c1 ,
ln v = 2 ln 1
1 t a1 (s) ds
e
,
21
t
1 s a1 (r) dr
e
ds.
v=c
21
t
(t) = 1 (t)v(t) = c1 (t)
v = c

1
s a1 (r) dr
e
ds.
1 (s)2
(t) is a solution independent of 1 (t).
Igor Yanovsky, 2005
123
Problem (W03, #7). Under what conditions on g, continuous on [0, L], is there a
solution of
2u
= g,
x2
u(0) = u(L/3) = u(L) = 0?
Proof. We have
uxx = g(x),
x
g() d + C,
ux =
0
x
g(s) ds d + Cx + D.
u(x) =
0
0 = u(0) = D.
Thus,
x
u(x) =
g(s) ds d + Cx.
0
0
L
g(s) ds d + CL,
0 = u(L) =
0
0 = u(L/3) =
0
0
L
3
g(s) ds d +
0
and are the conditions on g.
CL
.
3

10
Igor Yanovsky, 2005
124
Dominant Balance
Problem (F90, #4). Use the method of dominant balance to nd the asymptotic
behavior at t = for solutions of the equation
ftt + t3 ft2 4f = 0.
Proof. Assume f = ctn as t , where need to nd n and c. Then
n(n 1)ctn2 + n2 c2 t3 t2n2 4ctn = 0,
n(n 1)ctn2 + n2 c2 t2n+1 4ctn = 0.
The 2nd and the 3rd terms are dominant. In order to satisfy the ODE for t , set
2n + 1 = n n = 1,
n2 c2 = 4c c2 4c = 0
f 4t1 ,
c = 4.
as t .
Problem (S91, #3). Find the large time behavior for solutions of the equation
d
d2
f + f + f3 = 0
2
dt
dt
using the method of dominant balance.
Proof.
23
Assume f = ctn as t , where need to nd n and c. Then
n(n 1)ctn2 + nctn1 + c3 t3n = 0.

The 2nd and the 3rd terms are dominant. In order to satisfy the ODE for t , set
1
n 1 = 3n n = ,
2
1
1
3
nc + c = 0 c + c3 = 0 c = .
2
2
1
1
f t 2 ,
2
23
as t .
ChiuYens solutions show a dierent approach, but they are wrong.
11
Igor Yanovsky, 2005
125
Perturbation Theory
Problem (F89, #5a). Solve the following ODE for u(x) by perturbation theory

0x1
uxx = u2
(11.1)
u(0) = 0, u(1) = 1
for small . In particular, nd the rst two terms of u as an expansion in powers of
the parameter .
Proof. We write u = u0 (x) + u1 (x) + O(2 ) as 0 and nd the rst two terms u0
and u1 . We have
u = u0 + u1 + O(2 ),
'
(2
u2 = u0 + u1 + O(2 ) = u20 + 2u0 u1 + O(2 ).
Plugging this into (11.1), we obtain
'
(
u0xx + u1xx + O(2 ) = u20 + 2u0 u1 + O(2 ) ,
u0xx + u1xx + O(2 ) = u20 + O(2 ).
O(1) terms:
u0xx = 0,
u0 = c 0 x + c 1 ,
u0 (0) = c1 = 0,
u0 (1) = c0 = 1,
u0 = x.
O() terms:
u1xx = u20 ,
u1xx = u20 ,
u1xx = x2 ,
x4
+ c2 x + c3 ,
u1 =
12
u1 (0) = c3 = 0,
1
1
+ c2 = 0 c2 = ,
u1 (1) =
12
12
1
x4
x.
u1 =
12 12
x4
1
x + O(2 ).
u(x) = x +
12 12
Igor Yanovsky, 2005
126
Problem (F89, #5b). For the dierential equation

uxx = u2 + x3 u3
(11.2)
look for any solution which are bounded for x near +. Determine the behavior u for
x near + for any such solutions.
Hint: Look for the dominant behavior of u to be in the form xn .
Proof. Let u = cxn . Plugging this into (11.2), we obtain
n(n 1)cxn2 = c2 x2n + c3 x3 x3n ,
n(n + 1)cxn2 = c2 x2n + c3 x33n .
Using the method of dominant balance, we want to cancel two terms such that the
third term is 0 at + compared to the other two. Let
n 2 = 3 3n,
5
n= .
2
Also,

5 5
+ 1 c = c3 ,
2 2
35
.
c=
2
35 5
x 2.
u(x) =
2
Igor Yanovsky, 2005
127
Problem (F03, #6a). For the cubic equation

3 x3 2x2 + 2x 6 = 0
(11.3)
write the solutions x in the asymptotic expansion x = x0 + x1 + O(2 ) as 0.

Find the rst two terms x0 and x1 for all solutions x.
Proof. As 0,
x = x0 + x1 + O(2 ),
'
(2
x2 = x0 + x1 + O(2 ) = x20 + 2x0 x1 + O(2 ),
'
(3 '
('
(
x3 = x0 + x1 + O(2 ) = x20 + 2x0 x1 + O(2 ) x0 + x1 + O(2 )
= x30 + 3x20 x1 + O(2 ).

3 (x30 + 3x20 x1 + O(2 )) 2(x20 + 2x0 x1 + O(2 )) + 2(x0 + x1 + O(2 )) 6 = 0.
As 0, we ignore the O(2 ) terms:
2x20 O(2 ) + 2x0 + 2x1 + O(2 ) 6 = 0,
x20 + x0 + x1 3 + O(2 ) = 0.
As 0, x20 + x0 + x1 3 + O(2 ) x0 3 = 0. Thus, x0 = 3.
Plugging this value of x0 into (11.4), we obtain
9 + 3 + x1 3 + O(2 ) = 0,
9 + x1 + O(2 ) = 0,
x2 = 9.
x = 3 + 9 + O(2 ).
(11.4)
Igor Yanovsky, 2005
Problem (F03, #6b). For the ODE

ut = u u3 ,
u(0) = 1,
128
(11.5)
write u = u0 (t) + u1 (t) + 2 u2 (t) + O(3 ) as 0. Find the rst three terms u0 , u1
and u2 .
Proof. We have u = u0 + u1 + 2 u2 + O(3 ) as 0.
'
(3
u3 = u0 + u1 + 2 u2 + O(3 ) = u30 + 3u20 u1 + 32 u20 u2 + 32 u0 u21 + O(3 ).
u0t + u1t + 2 u2t + O(3 )
'
(
= u0 + u1 + 2 u2 + O(3 ) u30 + 3u20 u1 + 32 u20 u2 + 32 u0 u21 + O(3 ) ,
u0t + u1t + 2 u2t + O(3 ) = u0 + u1 + 2 u2 u30 32 u20 u1 + O(3 ),

O(1) terms:
u0t = u0 ,
u0 = c0 et .
O() terms:
u1t = u1 u30 ,
u1t = u1 u30 ,
u1t u1 = c30 e3t,

1
u1 = c1 et c30 e3t .
2
2
24
O( ) terms:
2 u2t = 2 u2 32 u20 u1 ,
u2t = u2 3u20 u1 ,
'
(
1
u2t u2 = 3c20 e2t c1 et c30 e3t ,
2
3 5 2t 3t
2
t 2t
u2t u2 = 3c0 c1 e e + c0 e e ,
2
3
3
u2 = c2 et c20 c1 et e2t + c50 e2te3t .
2
8
Thus,
'
(
'
(
1
3
3
u(t) = c0 et + c1 et c30 e3t + 2 c2 et c20 c1 et e2t + c50 e2t e3t + O(3 ).
2
2
8
Initial condition gives
'
'
1 (
3
3 (
u(0) = c0 + c1 c30 + 2 c2 c20 c1 + c50 + O(3 ) = 1.
2
2
8
1
3
Thus, c0 = 1, c1 = 2 , c2 = 8 , and
u(t) = et +
24
(
'3
(
1' t
3
3
e e3t + 2 et et e2t + e2te3t + O(3 ).
2
8
4
8
Solutions to ODEs in u1 and u2 are obtained by adding homogeneous and particular solutions.

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Ordinary Dierential Equations: Graduate Level Problems

Ordinary Dierential Equations

Igor Yanovsky, 2005

Disclaimer: This handbook is intended to assist graduate students with qualifying

Ordinary Dierential Equations

Igor Yanovsky, 2005

3 Lyapunovs Second Method

6 Variational (V) and Minimization (M) Formulations

Ordinary Dierential Equations

Igor Yanovsky, 2005

Ordinary Dierential Equations

Igor Yanovsky, 2005

f (t, u) is continuous in the rectangle R = {(t, u) : t0 t t0 + a, |u u0 | b}.

s.t. it satises (1.1) for t0 t t0 + .

on [t0 , t0 + ], (0, ] s.t. it satises (1.1) for t0 t t0 + .

Fixed Point Iteration.

|x xn | = lim |xm xn | kn (1 + k + k2 + )|x1 x0 | =

Picard Iteration. Approximates (1.1). Initial guess: u0 (t) = u0

Dierential Inequality. v(t) piecewise continuous on t0 t t0 + a.

Proof. Multiply both sides by e

Ordinary Dierential Equations

Igor Yanovsky, 2005

Gronwall Inequality. u(t), v(t) continuous on [t0 , t0 + a]. v(t) 0, c 0.

Proof. Multiply both sides by v(t):

u(t) A(t) A(t0 )et0

v(t)A(t). By dierential inequality and

Error Estimates. f (t, u(t)) continuous on R = {(t, u) : |t t0 | a, |u u0 | b}

|u1 (t) u2 (t)| ( + a(1 + 2 ))eaL

Generalized Gronwall Inequality. w(s), u(s) 0

Improved Error Estimate (Fundamental Inequality).

Ordinary Dierential Equations

Igor Yanovsky, 2005

Existence and Uniqueness

A(t), g(t) continuous, then can solve

A matrix whose columns are solutions of y  = A(t)y is called a solution matrix.

y(t) = F (t)F (t0 )1 y0

Distinct Eigenvalues or Diagonalizable

i) Find generalized eigenspaces Xj = {x : (A j I)nj x = 0};

iii) Plug in = e1 , . . . , en successively to get y1 (t), . . . , yn (t) columns of F (t).

Ordinary Dierential Equations

Igor Yanovsky, 2005

Example 2. Let A be the matrix given by: A =

Proof. det(A I) = (1 )2 (2 ). The eigenvalues and their multiplicities:

Ordinary Dierential Equations

Igor Yanovsky, 2005

To nd a fundamental matrix, putting successively equal to

Ordinary Dierential Equations

Igor Yanovsky, 2005

Asymptotic Behavior of Solutions of Linear Systems with Constant Coecients

(nj =1) Re(j )0

=max(Re(j ), Re(j )<0)

Ordinary Dierential Equations

Igor Yanovsky, 2005

Derivation: Variation of constants is a method to determine a solution of y  = A(t)y +

Therefore, (t) = F (t)

Variation of Constants Formula: Every solution y of y  = A(t)y + g(t) has the

Ordinary Dierential Equations

Igor Yanovsky, 2005

Classication of Critical Points

y  = Ay. Change of variable y = T z, where T is nonsingular constant matrix (to be

Locate stationary points by setting:

J(f (u, v), g(u, v)) =

Ordinary Dierential Equations

Igor Yanovsky, 2005

A matrix whose columns are solutions of y = A(t)y is called a solution matrix.

Derivation: Variation of constants is a method to determine a solution of y = A(t)y +

Variation of Constants Formula: Every solution y of y = A(t)y + g(t) has the

y = Ay. Change of variable y = T z, where T is nonsingular constant matrix (to be

For (y1 , y2 ) = (pi,0) :

y = Ay, 1 = 2 < 0, A diagonalizable.

For (y1 , y2 ) = (n, 0), n-even:

For (y1 , y2 ) = ( 6, 0):

Thus, the zero solution of y = (A + B(t))y is asymptotically stable.

Theorem. A is a constant matrix such that all solutions of x = Ax are bounded on

x = Ax and y = (A + B(t))y are asymptotically equivalent.