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Equations

Qualitative Theory

C la u d ia V ails

G raduate Studies

in M athem atics

V o lu m e 137

Ordinary Differential

Equations

Qualitative Theory

Ordinary Differential

Equations

Qualitative Theory

Luis Barreira

Claudia Vails

Graduate Studies

in Mathematics

Volume 137

^/^PHIOIM

HVS>

American Mathematical Society

y Providence, Rhode Island

EDITORIAL COMMITTEE

David Cox (Chair)

Daniel S. Freed

Rafe Mazzeo

Gigliola Staffilani

This work was originally published in Portuguese by 1ST Press under the title Equagoes

Diferenciais: Teoria Qualitativa by Luis Barreira and Claudia Vails, 1ST Press 2010,

Institute Superior Tecnico. All Rights Reserved.

The present translation was created under license for the American Mathematical

Society and published by permission.

2010 Mathematics Subject Classification. Primary 34-01, 34Cxx, 34Dxx, 37Gxx, 37Jxx.

w w w .a m s .o r g /b o o k p a g e s / g sm -1 3 7

Barreira, Luis, 1968-

[Equagoes diferenciais. English]

Ordinary differential equations : qualitative theory / Luis Barreira, Claudia Vails ; translated

by the authors.

p. cm. - (Graduate studies in mathematics ; v. 137)

Includes bibliographical references and index.

ISBN 978-0-8218-8749-3 (alk. paper)

1. Differential equations-Qualitative theory. I. Vails, Claudia, 1973- II. Title.

QA372.B31513 2010

515'.352-dc23 2012010848

C o p y in g and reprin tin g. Individual readers of this publication, and nonprofit libraries

acting for them, are permitted to make fair use of the material, such as to copy a chapter for use

in teaching or research. Permission is granted to quote brief passages from this publication in

reviews, provided the customary acknowledgment of the source is given.

Republication, systematic copying, or multiple reproduction of any material in this publication

is permitted only under license from the American Mathematical Society. Requests for such

permission should be addressed to the Acquisitions Department, American Mathematical Society,

201 Charles Street, Providence, Rhode Island 02904-2294 USA. Requests can also be made by

e-mail to reprint-perm ission@am s.org.

2012 by the American Mathematical Society. All rights reserved.

The American Mathematical Society retains all rights

except those granted to the United States Government.

Printed in the United States of America.

0 The paper used in this book is acid-free and falls within the guidelines

established to ensure permanence and durability.

Visit the AMS home page at h ttp : //www. ams. o r g /

10 9 8 7 6 5 4 3 2 1 17 16 15 14 13 12

Contents

Preface IX

1. 1. Basic notions 3

1.2. Existence and uniqueness of solutions 9

1.3. Additional properties 21

1.4. Existence of solutions for continuous fields 32

1.5. Phase portraits 35

1. 6. Equations on manifolds 48

1.7. Exercises 53

2. 1. Nonautonomous linear equations 57

2.2. Equations with constant coefficients 63

2.3. Variation of parameters formula 75

2.4. Equations with periodic coefficients 78

2.5. Conjugacies between linear equations 85

2 .6 . Exercises 97

3.1. Notions of stability 105

VI Contents

3.3. Stability under nonlinear perturbations 113

3.4. Lyapunov functions 116

3.5. Exercises 123

4.1. Hyperbolic critical points 127

4.2. The Grobman-Hartman theorem 129

4.3. Holder conjugacies 139

4.4. Structural stability 141

4.5. Exercises 143

5.1. Basic notions 147

5.2. The Hadamard-Perron theorem 149

5.3. Existence of Lipschitz invariant manifolds 150

5.4. Regularity of the invariant manifolds 157

5.5. Exercises 167

6.1. Index for vector fields in the plane 171

6.2. Applications of the notion of index 176

6.3. Index of an isolated critical point 179

6.4. Exercises 181

7.1. Limit sets 185

7.2. The Poincare-Bendixson theorem 190

7.3. Exercises 196

8.1. Introduction to bifurcation theory 201

8.2. Center manifolds and applications 206

8.3. Theory of normal forms 215

8.4. Exercises 222

Contents Vll

9.1. Basic notions 225

9.2. Linear Hamiltonian systems 229

9.3. Stability of equilibria 231

9.4. Integrability and action-angle coordinates 235

9.5. The KAM theorem 239

9.6. Exercises 240

Bibliography 243

Index 245

Preface

to the qualitative theory of ordinary differential equations. In particular,

among other topics, we study the existence and uniqueness of solutions,

phase portraits, linear equations and their perturbations, stability and Lya

punov functions, hyperbolicity, and equations in the plane.

The book is also intended to serve as a bridge to important topics that

are often left out of a second course of ordinary differential equations. Exam

ples include the smooth dependence of solutions on the initial conditions,

the existence of topological and differentiable conjugacies between linear

systems, and the Holder continuity of the conjugacies in the Grobman-

Hartman theorem. We also give a brief introduction to bifurcation theory,

center manifolds, normal forms, and Hamiltonian systems.

We describe mainly notions, results and methods that allow one to dis

cuss the qualitative properties of the solutions of an equation without solving

it explicitly. This can be considered the main aim of the qualitative theory

of ordinary differential equations.

The book can be used as a basis for a second course of ordinary differen

tial equations. Nevertheless, it has more material than the standard courses,

and so, in fact, it can be used in several different ways and at various levels.

Among other possibilities, we suggest the following courses:

ters 1-5 and 7-8 (without Sections 1.4, 2.5 and 8.3, and without the

proofs of the Grobman-Hartman and Hadamard-Perron theorems);

b) advanced undergraduate/beginning graduate course on equations in

the plane: Chapters 1-3 and 6-7;

IX

Preface

d) advanced graduate course on hyperbolicity: Chapters 1-5.

Other selections are also possible, depending on the audience and on the

time available for the course. In addition, some sections can be used for

short expositions, such as Sections 1.3.2, 1.4, 2.5, 3.3, 6.2 and 8.3.

Other than some basic pre-requisites of linear algebra and differential

and integral calculus, all concepts and results used in the book are recalled

along the way. Moreover, (almost) everything is proven, with the excep

tion of some results in Chapters 8 and 9 concerning more advanced topics

of bifurcation theory, center manifolds, normal forms and Hamiltonian sys

tems. Being self-contained, the book can also serve as a reference or for

independent study.

Now we give a more detailed description of the contents of the book.

Part 1 is dedicated to basic concepts and linear equations.

In Chapter 1 we introduce the basic notions and results of the the

ory of ordinary differential equations, in particular, concerning the

existence and uniqueness of solutions (Picard-Lindelof theorem) and

the dependence of solutions on the initial conditions. We also estab

lish the existence of solutions of equations with a continuous vector

field (Peanos theorem). Finally, we give an introduction to the de

scription of the qualitative behavior of the solutions in the phase

space.

In Chapter 2 we consider the particular case of (nonautonomous)

linear equations and we study their fundamental solutions. It is of

ten useful to see an equation as a perturbation of a linear equation,

and to obtain the solutions (even if implicitly) using the variation

of parameters formula. This point of view is often used in the book.

We then consider the particular cases of equations with constant co

efficients and equations with periodic coefficients. More advanced

topics include the dependence of solutions on the initial con

ditions and the existence of topological conjugacies between linear

equations with hyperbolic matrices of coefficients.

Part 2 is dedicated to the study of stability and hyperbolicity.

In Chapter 3, after introducing the notions of stability and asymp

totic stability, we consider the particular case of linear equations, for

which it is possible to give a complete characterization of these no

tions in terms of fundamental solutions. We also consider the partic

ular cases of equations with constant coefficients and equations with

periodic coefficients. We then discuss the persistence of asymptotic

stability under sufficiently small perturbations of an asymptotically

Preface XI

Lyapunov functions, which sometimes yields the stability of a given

solution in a more or less automatic manner.

In Chapters 4-5 we introduce the notion of hyperbolicity and we

study some of its consequences. Namely, we establish two key re

sults on the behavior of the solutions in a neighborhood of a hyper

bolic critical point: the Grobman-Haxtman and Hadamard-Perron

theorems. The first shows that the solutions of a sufficiently small

perturbation of a linear equation with a hyperbolic critical point are

topologically conjugate to the solutions of the linear equation. The

second shows that there are invariant manifolds tangent to the sta

ble and unstable spaces of a hyperbolic critical point. As a more ad

vanced topic, we show that all conjugacies in the Grobman-Hartman

theorem are Holder continuous. We note that Chapter 5 is more tech

nical: the exposition is dedicated almost entirely to the proof of the

Hadamard-Perron theorem. In contrast to what happens in other

texts, our proof does not require a discretization of the problem or

additional techniques that would only be used here. We note that

the material in Sections 5.3 and 5.4 is used nowhere else in the book.

In Part 3 we describe results and methods that are particularly useful in the

study of equations in the plane.

In Chapter 6 we give an introduction to index theory and its ap

plications to differential equations in the plane. In particular, we

describe how the index of a closed path with respect to a vector field

varies with the path and with the vector field. We then present sev

eral applications, including a proof of the existence of a critical point

inside any periodic orbit, in the sense of Jordans curve theorem.

In Chapter 7 we give an introduction to the Poincare-Bendixson

theory. After introducing the notions of a-limit and w-limit sets,

we show that bounded semiorbits have nonempty, compact and con

nected a-limit and w-limit sets. Then we establish one of the impor

tant results of the qualitative theory of ordinary differential equa

tions in the plane, the Poincare-Bendixson theorem. In particular,

it yields a criterion for the existence of periodic orbits.

Part 4 is of a somewhat different nature and it is only here that not every

thing is proved. Our main aim is to make the bridge to important topics

that are often left out of a second course of ordinary differential equations.

emphasis on examples. We then give an introduction to the theory

of center manifolds, which often allows us to reduce the order of an

XU Preface

also give an introduction to the theory of normal forms that aims

to eliminate through a change of variables all possible terms in the

original equation.

Finally, in Chapter 9 we give an introduction to the theory of Hamil

tonian systems. After introducing some basic notions, we describe

several results concerning the stability of linear and nonlinear Hamil

tonian systems. We also consider the notion of integrability and the

Liouville-Arnold theorem on the structure of the level sets of inde

pendent integrals in involution. In addition, we describe the basic

ideas of the KAM theory.

The book also includes numerous examples that illustrate in detail the new

concepts and results as well as exercises at the end of each chapter.

Lisbon, February 2012

Part 1

Linear Equations

Chapter 1

Ordinary Differential

Equations

differential equations, including the concepts of solution and of initial value

problem. We also discuss the existence and uniqueness of solutions, their

dependence on the initial conditions, and their behavior at the endpoints

of the maximal interval of existence. To that effect, we recall the relevant

material concerning contractions and fiber contractions. Moreover, we show

how the solutions of an autonomous equation may give rise to a flow. Finally,

we give an introduction to the qualitative theory of differential equations,

with the discussion of many equations and of their phase portraits. We

include in this study the particular case of the conservative equations, that

is, the equations with an integral. For additional topics we refer the reader

to [2, 9, 13, 15].

ential equation and of initial value problem, and we illustrate them with

various examples. We also show how the solutions of an autonomous equa

tion (that is, an equation not depending explicitly on time) may give rise to

a flow.

notion of a solution of an ordinary differential equation. Given a continuous

function / : ) ^ R in an open set > C R x R , consider the (ordinary)

1. Ordinary DiSerential Equations

differential equation

x' = f{t,x). (1.1)

The unknown of this equation is the function x = x{t).

b < +oo) is said to be a solution of equation (1.1) if (see Figure 1.1):

a) {t,x{t)) 6 D for every t 6 (a, 6);

b) x'{t) = f{t,x{t)) for every t (a, 6).

x' X + 1. (1.2)

If X = x{t) is a solution, then

(e*x)' = e*x + e^x' = e*{x + x') = e*t.

Since a primitive of is e*(t 1), we obtain

e*x(t) = e*(f 1) + c

for some constant c R. Therefore, the solutions of equation (1.2) are given

by

x{t) = t 1 + ce *, t G R, (1.3)

with c G R.

{x,y)' = (y, - x ) , (1.4)

which can be written in the form

\x' = y,

(1.5)

1 y' = -X .

1.1. Basic notions

(x^ + y^Y = 2xx' + 2yy' = 2xy + 2 y{ -x ) = 0. (1.6)

Thus, there exists a constant r > 0 such that

+ y(i)^ =

(for every t in the domain of the solution). Writing

x{t) = rcosO{t) and y(t) = rsin0(t),

where 0 is a differentiable function, it follows from the identity x' = y that

x'{t) = r9'{t)smd{t) = rsin^(t).

Hence, 0'{t) = 1, and there exists a constant c M such that 9{t) = t+c.

Therefore,

(a;(t), y(t)) = (r cos(t + c ),r sin(t + c)), t 6 M, (1.7)

with c R. These are all the solutions of equation (1.4).

X = [X ) = y = X.

On the other hand, starting with the equation x" = x and writing y x',

we obtain y' = x" = x. In other words, we recover the two identities

in (1.5). Hence, the equations (1.5) and x" = x are equivalent.

More generally, writing

X = ( X i,...,X f c ) = (x ,a :',...,a ;(''-i)),

the equation

xW = /(t ,x ,a ;',...,x ( ^ - i))

can be written in the form X' = F(t, X), where

F {t ,X ) = { X 2 , X 3 , . . . , X k - i J { t , X ) ) .

such as, for example, in polar coordinates.

(r' = r,

( 1.8)

]9' = 1

written in polar coordinates (r,9). Since x = rcos9 and y = rsin^, we

obtain

x' = r' cos 9 r9' sin ^ = r cos 9 rsin.9 = x y (1.9)

and

y' = r'sin^ + r9' cos 9 = rsin9 + rcos9 = y + x. (1-10)

1. Ordinary Differential Equations

f x' = x - y ,

( 1.11)

(y' = a: + y.

Incidentally, one can solve separately each equation in (1.8) to obtain the

solutions

f r(t) = ce\

( 1.12)

^0(f) = t d,

where c, d G R are arbitrary constants.

(x' = f{t,x),

(1.13)

|a;(to) = *0

consists of finding an interval (a, 6) containing to and a solution x : (a, b)

R" of equation (1.1) such that x{to) = xq. The condition x{to) = xq is called

the initial condition of problem (1.13).

Exam ple 1.7 (continuation of Example 1.2). Consider the initial value

problem

\x' = X + 1,

(1.14)

{:

[a;(0) = 0.

Taking t = 0 in (1.3), we obtain a;(0) = 1 + c, and the initial condition

yields c = 1. Hence, a solution of the initial value problem (1.14) is

x(t) = t 1 + e tG R.

Exam ple 1.8 (continuation of Example 1.3). Consider equation (1.4) and

the corresponding initial value problem

f(a;,y)' = (l/.

(1.15)

\{x{tQ),y(to)) = {xo,yo),

(o, yo) = {r cos(-to + c), r sin(-to + c )) .

Writing the initial condition in polar coordinates, that is,

(a:o,2/o) = ('cos0o,rsin6'o), (1.16)

we obtain c = t o+ 9o (up to an integer multiple of 27t). Hence, a solution of

the initial value problem (1.15) is

{x{t),y{t)) = (r cos{t + to + 6o),rsin{t + to + Oq)), t G R. (1-17)

1.1. Basic notions

problem (1.15) is the following. By (1.16) and (1.17), we have

x{t) = r cos $0 cos{t + to) r sin Oqsin(t + to)

= xo cos(t - to) + yo sin(t - to),

and analogously (or simply observing that y x'),

y{t) = -Xo sin(t - to) + yo cos(t - to).

Thus, one can write the solution (1.17) in the form

^Xo''

(1.18)

where

cost sint'

R{t) =

sint costy

is a rotation matrix. Indeed, as shown in Example 1.3, each solution of

equation (1.4) remains at a fixed distance from the origin.

ential equation.

D c R X ]R^. Given (to,xo) E D, a continuous function x: (a, 6) R

in an open interval {a,b) containing to is a solution of the initial value

problem (1.13) if and only if

Jto

for every t (a, b).

it is a composition of continuous functions. In particular, it is also integrable

in each bounded interval. Now let us assume that x = x(t) is a solution of

the initial value problem (1.13). For each t (a, 6), we have

JtQ JtQ

which establishes (1.19). On the other hand, if identity (1.19) holds for

every t (a, 6), then clearly x{to) xo, and taking derivatives with respect

to t, we obtain

x'{t) = f{t,x{t)) (1.20)

for every t G (a, 6). Since the function 1 f { t , x{t)) is continuous, it follows

from (1.20) that x is of class C^, and hence it is a solution of the initial

value problem (1.13).

1. Ordinary Differential Equations

of ordinary differential equations not depending explicitly on time, and we

show that they naturally give rise to the notion of a flow.

depend on t.

x' - f(x),

where / : D > K is a continuous function in an open set Z> C M".

Now we introduce the notion of a flow.

that (fio = Id and

(pt+s ^(ptOips for t,s e R (1-21)

is called a flow.

defined by

<Pt{x) = x + ty, t G M, a; K"

is a flow.

rise to a flow.

initial value problem

x' = / ( ) ,

( 1.22)

{:a;(0) = XQ

has a unique solution x{t, a;o) defined for t G R, then the family of transfor-

motions defined by

<Pt{xo) = x(t,xo) (1-23)

is a flow.

y{t) = x{t + s,xo).

Clearly, y{0) = x { s, xq) and

y'{t) = x'{t + s, xo) = f(x{t + s, a;o)) = f{y{t))

for t G R. In particular, y is also a solution of the equation x' f{x).

By hypothesis each initial value problem (1.22) has a unique solution, and

hence,

y{t) = x{t,y{Q)) = x{t,x{s,xo)),

1.2. Existence and uniqueness o f solutions

or equivalently,

x(t + s, xq) = x(t, x(s, xo)), (1-24)

for every t, s G M and xq M . Using the transformations <pt in (1.23), one

can rewrite identity (1.24) in the form

<Pt+s(xo) = (<pto<Ps)(xo)-

On the other hand, <po(xo) = x (0, xq) xq, by the definition of x(t,xo).

This shows that the family of transformations <pt is a flow.

Exam ple 1.14 (continuation of Examples 1.3 and 1.8). We note that equa

tion (1.4) is autonomous. Moreover, the initial value problem (1.15) has a

unique solution that is deflned in M, given by (1.17) or (1.18). Thus, it fol

lows from Proposition 1.13 that the family of transformations (pt deflned by

is a flow. Using (1.18), one can also write

<Pt(xo,Po) = (x(t),p(t)) = (xo,po)Ji(t)*,

where E(t)* is the transpose of the rotation matrix R(t). Hence, identity

(1.21) is equivalent to

R(t + s)* = R(s)*E(t)*,

or taking transposes,

R(t + s) = R(t)R(s),

for t, s K. This is a well-known identity between rotation matrices.

obtain r(0) = c and 0(0) = d. Thus, the solutions of equation (1.8) can be

written (in polar coordinates) in the form

(r(t),0(t)) = (roe^t + eo),

for the autonomous equation (1.11), then in coordinates (x,p) the point

{r{t),6(t)) can be written in the form

(^t (^'o cos 00)^0 sin 00) = (r(t) cos 0(t),r(f) sin 0(f))

= (roe* cos(f -|- 0o), roe* sin(f -|- 0o))

ordinary differential equation. After formulating the results, we make a

brief digression on auxiliary material that is used in the proofs of these and

of other results in the book.

10 1. Ordinary Differential Equations

the notion of a compact set.

D efinition 1.16. A set K C M' is said to be compact if given an open cover

of K, that is, a family of open sets {Ua)aei C K* such that Uae/ 3 K,

there exists a finite subcover, that is, there exist N e N and a i , . . . , Ojv I

such that U jli Uai D K.

bounded.

Now we introduce the notion of a locally Lipschitz function.

D efinition 1.17. A function / : D >E in a set D C M x K is said to be

locally Lipschitz in x if for each compact set K C D there exists L > 0 such

that

- f{t,y)\\ <L||a;-y|| (1.25)

for every (t,x), (t,y) K.

Using this notion, one can formulate the following result on the existence

and uniqueness of solutions of an ordinary differential equation.

T h eorem 1.18 (Picard-Lindelof theorem). If the function f : D >W^ is

continuous and locally Lipschitz in x in an open set D c M. x E , then for

each {to,xo) G D there exists a unique solution of the initial value prob

lem (1.13) in some open interval containing to.

The proof of Theorem 1.18 is given in Section 1.2.3, using some of the

auxiliary results described in Section 1.2.2.

In particular, all functions are locally Lipschitz.

P rop osition 1.19. If f is of class C^, then f is locally Lipschitz in x.

sets of the form I x J c D, where / C E is a compact interval and

J = {a :G E : ||a;-p|| < r }

for some p E " and r > 0. To that effect, we show that each compact set

K <z D is contained in a finite union of elements of X. Then, let AT C D

be a compact set. For each p E K, take Kp E X such that p E intATp.

Clearly, K C (Jpe^^ it Kp, and thus, it follows from the compactness of AT

that there exist AT G N and pi,...,PN K such that K C ( J i l i l^^tKp^.

Hence, K c [J ili Kp^ c D, which yields the desired result.

Now let / X J be a compact set in X and take points (t, x), {t, y) E I x j .

The function p : [0,1] D defined by

9{s) = f { t ,y s{x - y))

1.2. Existence and uniqueness o f solutions 11

Jo

^ Jo

where d f jdx is the Jacobian matrix (thinking of the vector x y os a

column). Thus,

se(o,i]

(1.26)

< sup \ x -y \l

qeJ

that since / is of class C^, the function

(t, q) i->

\\f{t,x) - f{t,y)\\ < L||a;-y||

for every (t,a:), (t, y) & I x J . This shows that / is locally Lipschitz in x.

D c R x R"', then for each {to,xo) D there exists a unique solution of the

initial value problem (1.13) in some open interval containing tq.

P roof. The result follows immediately from Theorem 1.18 together with

Proposition 1.19.

||a;| - |y|| < \x-y\.

Hence, the function / : R^ > R defined by f{ t,x ) = |a;| is locally Lipschitz

in X, taking L = 1 in (1.25) for every compact set K C R^.

12 1. Ordinary Differential Equations

have

1

| /( t .x ) - /( t ,0 ) | = |x"/ -0^/=| = |x-0|.

in X in any open set > C intersecting the line R x {0 }.

Lipschitz, then the initial value problem (1.13) may not have a unique solu

tion.

E xam ple 1.23 (continuation of Example 1.22). If x = x(t) is a solution of

the equation x' = x^/^, then in any open interval where the solution does

not take the value zero, we have x'/x^/^ = 1. Integrating on both sides, we

obtain x(t) = (t -f c)^/27 for some constant c G R. One can easily verify

by direct substitution in the equation that each of these solutions is defined

in R (even if vanishing at t = c). In particular, x(t) = ^ jTl is a solution

of the initial value problem

fx ' = x2/3,

\x{0) = 0,

which also has the constant solution x{t) = 0.

On the other hand, we show in Section 1.4 that for a continuous func

tion / the initial value problem (1.13) always has a solution, although it

need not be unique.

a more transverse nature, and is primarily included for completeness of the

exposition. In particular, the theory is developed in a pragmatic manner

having in mind the theory of differential equations.

We first recall some basic notions.

D efinition 1.24. Given a set X , a function d: X x X RJ is said to be

a distance in X if:

a) d{x, y) = 0 if and only if x = y;

b) d{x,y) = d{y,x) for every x,y X;

c) d{x, y) < d{x, z) + d{z, y) for every x ,y , z E X.

We then say that the pair {X, d) is a metric space.

1.2. Existence and uniqueness o f solutions 13

or

define the open ball of radius r centered at x by

is said to be a norm in X if:

b) ||Ax|| = |A| ||x|| for every A 6 K and x X ;

c) ||x + y|| < ||x|| + ||j/|l for every x , y e X .

We then say that the pair (X, H-H) is a normed space.

1/2

||(xi,...,x,^ (1.29)

^ i=l /

or

||(xi,...,Xn)|| = max{|xi| :i = l , . . . , n } , (1.30)

among many other possibilities.

P rop osition 1.27. If the pair (X, H'll) is a normed space, then the function

d: X X X RJ defined by d{x,y) = ||x y|| is a distance in X.

observe that

using the first property in the notion of norm. Hence, d{x,y) = 0 if and

only if X = y. For the second property, we note that

d{y,x) = ||y-x|| = ||-(x-y)||

= |-lM |x-y|| = ||x-y||,

14 1. Ordinary Differential Equations

using the second property in the notion of norm. Hence, d{y,x) = d{x,y).

Finally, for the last property, we observe that

d{x,y) = ||a;-yl| = \\{x - z) + {z - y)\\

< ||a;-2:|| + ||^-y||

= d{x,z) + d{z,y),

using the third property in the notion of norm.

For example, the distances in (1.27) and (1.28) are obtained as described

in Proposition 1.27, respectively, from the norms in (1.29) and (1.30).

Now we introduce the notions of a convergent sequence and of a Cauchy

sequence.

(X,d). We say that:

a) {xn)n is a convergent sequence if there exists x X such that

d{xn, x) > 0 when n )oo;

b) {xn)n is a Cauchy sequence if given e > 0, there exists p N such

that

d{xn, Xm) < for every n , m > p.

sequence in X is convergent.

For example, the space R with the distance in (1.27) or the distance

in (1.28) is a complete metric space. The following is another example.

P rop osition 1.30. The set X = C{I) of all bounded continuous functions

x: I MT in a set I is a complete metric space with the distance

d(x,y) = sup{||x(t) -y(t)|| : t G l } . (1.31)

P roof. One can easily verify that d is a distance. In order to show that X

is a complete metric space, let (xp)p be a Cauchy sequence in X. For each

t 7, we have

\\Xp{t) - Xg(t)|| < d(Xp, Xg), (1.32)

and thus (xp(t))p is a Cauchy sequence in R . Hence, it is convergent (be

cause all Cauchy sequences in R are convergent) and there exists the limit

x{t) = lim Xp{t). (1.33)

p ^oo

||x(t) - x(s)|| < ||x(t) - xp(t)l| + ||xp(t) - Xp(s)|| -I- ||xp(s) - x(s)||. (1.34)

1.2. Existence and uniqueness o f solutions 15

On the other hand, it follows from (1.32) (and the fact that (xp)p is a Cauchy

sequence) that given e > 0, there exists r 6 N such that

for every t E I and p > r . Hence, it follows from (1.34) (taking p = r) that

exists (5 > 0 such that

and the function x is continuous. Moreover, it follows from (1.36) that given

> 0, there exists r G N such that

\\x{t)\\ < \\xp{t)-x{t)\\ + ||a;p(t)||

< + sup { ||xp(t) II : t E 1} < + 0 0

for every p > r, and thus d(xp, a;) >0 when p oo. This shows that X is

a complete metric space.

Lipschitz if there exists L > 0 such that

P rop osition 1.32. The set Y C C{I) of all bounded Lipschitz functions

with the same constant L in (1.38) is a complete metric space with the

distance d in (1.31).

16 1. Ordinary Differential Equations

Cauchy sequence in Y (and thus also in C{I)), then its limit x satisfies (1.38).

Then, let {xp)p be a Cauchy sequence in Y. We have

Xp{t) x{t) when p >oo, and thus it follows from (1.39) that x e Y.

times in the proofs of this book.

said to be a contraction if there exists A (0,1) such that

for every x,y E X.

Exam ple 1.34. Let A be an n x n matrix and let T : R " ^ K be the linear

transformation defined by T{x) Ax. Consider the distance d in (1.27),

obtained from the norm

/ ___

n K 1/2

1/2

L,---,a;)|| = (

11(^1,- J .

^ i=l /

We have

d{T{x),T{y)) = \\Ax-Ay\\

= P ( ^ - y ) l l < \\Md{x,y),

where

II .III ll-^ll (1.40)

Ip II

In particular, if ||A|| < 1, then the transformation T is a contraction.

For example, if A is a diagonal matrix with entries A i , . .. ,A in the

diagonal, then

||A|| = sup

(xi,...,Xn)#0 IK^li **) ^n) II

< max {|Ai| : i = 1,... ,n }.

Thus, if |Ai| < 1 for i = 1 ,... ,n, then ||A|| < 1 and T is a contraction.

T{ xq) = xq. Contractions satisfy the following fixed point theorem, where

T is defined recursively by = T o T for n e N.

1.2. Existence and uniqueness o f solutions 17

{X,d), then T has a unique fixed point. Moreover, for each x X the

sequence {T^{x))n converges to the unique fixed point ofT.

each m, n G N with m > n, we have

diXm i n) ^ d ( Xr r i i ^ m l ) "h d { X j f i \ , X m 2 ) "I" ' "I" d( ^Xf i +l , Xn)

< + + \'^)d{T{x), x)

. (1.41)

= -d{T{x),x)

1 -A

Thus, {xn)n is a Cauchy sequence in X, and since the space is complete the

sequence has a limit, say x q G X . Now we note that

when n 00, and hence, the sequence {T{xn))n converges to T{ xq). But

since T{xn) = Xn+i, the sequence {T{xn))n also converges to xq- It follows

from the uniqueness of the limit that T{ xq) = xq, that is, xq is a fixed point

of the transformation T.

In order to show that the fixed point is unique, let us assume that yo E X

is also a fixed point. Then

Since A < 1, it follows from (1.42) that xq = yo- The last property in the

theorem follows from the uniqueness of the fixed point, since we have already

shown that for each x E X the sequence (T^{x))n converges to a fixed point

ofT .

the unique fixed point of a contraction T: X >X, then

A*^

d(T^(x),xo) < d(T(x),x)

exponentially to xq.

Motivated by the last property in Theorem 1.35, we introduce the fol

lowing notion.

said to be attracting if for each x G A we have T (x) > xq when n -> oo.

18 1. Ordinary Differential Equations

to establish a fixed point theorem. Given metric spaces X and Y (not

necessarily complete), consider a transformation S: X x Y > X x Y of the

form

S{x, y) = (T{x), A{x, y)), (1.43)

where T: X - X and A: X x Y > Y. Each set {a;} x Y" is called a

fiber of X X Y. We note that the image of the fiber { s } x Y under the

transformation S is contained in the fiber { T ( x ) } x Y.

D efinition 1.37. The transformation S in (1.43) is said to be a fiber con

traction if there exists A (0,1) such that

dY{A{x,y),A(x,y)) < Xdyiy^y) (1.44)

for every x E X and y^y e Y.

T h eorem 1.38 (Fiber contraction theorem). For a continuous fiber con

traction S, if xq ^ X is an attracting fixed point of T and yo is a fixed

point ofy\-^A(xo^y)j then (xo,yo) is an attracting fixed point of S.

a distance d in X x F by

d{{x,y),{x,y)) = dx{x,x) + dY(y,y).

It follows from the triangle inequality that

d{S'^{x,y),{xo,yo)) < d{S'^{x,y),S'^{x,yo))+d{S^{x,yo),{xo,yo)). (1.45)

We want to show that both terms in the right-hand side of (1.45) tend to

zero when n >oo. Given x e X, define a transformation Ax'. Y -> Y by

Ax(y) = A(x,y). Clearly,

S{x,y) = {T{x),Ax{y)).

Moreover, for each n N we have

where

Ax^n A'jpn-l^j,^ O O o Ax

For the first term in (1.45), it follows from (1.44) and (1.46) that

d(5"(x,j/),S'"(x,yo)) = dY{Ax,n{y),Ax,n{yQ)) < y^dY{y,yo) 0 (1.47)

when n > oo. For the second term, we note that

d{S^{x,yo),{xo,yo)) < dx{T^ix),xo)dY{Ax,n{yo),yo)- (1-48)

Since xq is an attracting fixed point of T, we have dx{T^{x), x q ) 0 when

n oo. In order to show that (xq, yo) is an attracting fixed point of S, it

1.2. Existence and uniqueness o f solutions 19

remains to verify that the second term in the right-hand side of (1.48) tends

to zero when n oo. To that effect, note that

iyo))yo)

n 1

- O o ^ T ^ { x ) ) ( y o ) y (-^ T "-l(i) O OA x i + l ( x ) ) { y o ) )

i=0

n1

* ^<^y(^T*(x)(yo),yo))

1=0

of A xq, we have

continuous) and xq is an attracting fixed point of T, it follows from (1.49)

that the sequence Cj converges to zero when i -4 oo. In particular, there

exists c > 0 such that 0 < Cj < c for every i N. Thus, given /c G N and

n > k, we have

k1 n

< c A * + sup Cj ^ 2

i=o i=k

^nk+1 ^

Therefore,

^ ^ 1

lim su p^ A^*Ct < supcj ----- r 0

n-oo j> k 1 A

when k oo. This shows that

d Y { ^ x , n { y o ) , y o ) 0 when n ^ oo,

and it follows from (1.45), (1.47) and (1.48) that (a;o,yo) is an attracting

fixed point of S.

previous section to prove the Picard-Lindelof theorem.

(1.13) consists of finding a function x G C{a,b) in an open interval (a, 6)

20 1. Ordinary Differential Equations

Jto

for every t {a,b). Here C{a,b) is the set of all bounded continuous func

tions y: {a,b) M . We look for x as a fixed point of a contraction.

Take constants a < t o < b and /3 > 0 such that

where

B{xo,P) = {yeR ^-. \\ y- xo \\< p}.

Also, let X C C{a, b) be the set of all continuous functions x : (o, 6) K

such that

||x(t) xoll ^ t ^ () b)-

We first show that X is a complete metric space with the distance in (1.31).

Given a Cauchy sequence {xp)p in X, it follows from Proposition 1.30 that

it converges to a function x C(a,b). In order to show that x X , we note

that

||x(t) - xoll = lim ||xp(t) - xoll < /5

p >oo

for t G (a, b), since ||xp(t) xqH< for t G (a, b) and p G N. Moreover, there

is no loss of generality in looking for fixed points in X and not in C(a,b).

Indeed, if x : (a, b) is a continuous function satisfying (1.50), then

II Jto

< |t to|M < (6 o)M ,

where

M = max{||/(t,x)|| : (t,x) G X } < -f-oo, (1.52)

because / is continuous and K is compact (recall that any continuous func

tion with values in R, such as (t, x) i->- ||/(i,x)||, has a maximum in each

compact set). This shows that if x G C{a,b) satisfies (1.50), then it belongs

to X for some 0.

Now we consider the transformation T defined by

T(x){t) = x o + [ f{s,x{s))ds

Jto

for each x G X . We note that t T (x)(t) is continuous and

II Jto

1.3. Additional properties 21

Moreover, given x,y X,

II Jto

I Jto

< ( b - a ) L d {x , y ) ,

where L is the constant in (1.25) for the compact set K in (1.51) and d is

the distance in (1.31) for I = (a,b). Hence,

d{T{x),T{y)) < {b - a)Ld{x,y)

for every x,y X. For b a sufficiently small, we have (6 a)L < 1, in

addition to {b a) M < P, and T is a contraction in the complete metric

space X . By Theorem 1.35, we conclude that T has a unique fixed point

X E X. This is the unique continuous function in (o, b) satisfying (1.50).

ordinary differential equation, including the dependence of the solutions on

the initial conditions and what happens when a given solution cannot be

extended to a larger interval.

scribe how the solutions depend on the initial conditions for a continuous

function / that is locally Lipschitz.

We start with an auxiliary result.

functions with v > 0 and let c EM.. If

rt

u { t ) < c + / u{s)v{s)ds (1.53)

Ja

for every t E [o, 6], then

Ja

for every t E [a, 6].

-^(0 = [ u{s)v{s) ds

Ja

22 1. Ordinary Differential Equations

and

^ ( 0 = [ v{s)ds.

Ja

Therefore,

R'(t) - v(t)R{t) < cv{t)

and

- v{t)R(t))

< cv{t)e~^^^\

e~^^*^R{t) < j dr

Ja

T=a

and hence,

R{t) < - c.

Thus, it follows from (1.53) that

conditions.

in an open set D c E x R . Given D, there exist constants

/3,C > 0 and an open interval I containing to such that for each X2 R

with 11! X2W< 0 the solutions xi{t) and X2{t), respectively, of the initial

value problems

and (1.54)

x{to) = Xl x{to) = X2

satisfy

lla:i(t) - X2 {t)\\ < C\\xi - X2 W for t G I. (1.55)

1.3. Additional properties 23

problems in (1.54) have unique solutions xi(t) and X2{t) in some open in

terval I containing to (which we can assume to be the same). Moreover, by

Proposition 1.9, we have

Jto

f o r t l and i = 1,2. For simplicity of the exposition, we consider only

times t > to. The case when t < to can be treated in an analogous manner.

We define a function y : 7 >R by

y{t) = x i { t ) - X 2 {t).

Jto

Jto

for some constant L (because / is locally Lipschitz in x). Letting

it follows from Gronwalls lemma (Proposition 1.39) that

Jto

for t 7n[to) + 00), which establishes the inequality in (1.55) for these values

of t.

we show that for a function / of class the solutions are also of class

on the initial conditions. The proof uses the Fiber contraction theorem

(Theorem 1.38).

We first establish an auxiliary result on the limit of a sequence of differ

entiable functions.

in an open set 17 C R is (pointwise) convergent and the sequence dfn of

their derivatives is uniformly convergent, then the limit of the sequence fn

is differentiable in U and its derivative is the limit of the sequence dfn in U.

limits of the sequences / and dfn, where Mn is the set of n x n matrices

24 1. Ordinary Differential Equations

with real entries. Given x, R such that the line segment between x and

x + h is contained in C/, we have

for every n N. On the other hand, since the sequence dfn converges

uniformly, given 5 > 0, there exists p G N such that

for m , n > p. Hence, it follows from (1.57) that

I [fn{x + h ) - fn{x)) - {fm{x + h) - fm{x)) |

~ / (d x + th fn d x + th fm ^ h d t

II J o

II{fn{x + h ) ~ fn{x)) - { f { x + h ) ~ f{x)) || < 5||/i|| (1.58)

for every n > p.

Now we show that / is differentiable. Given x, h G R such that the line

segment between x and x + h is contained in U, for each e G (0,1) we have

/ ( x + eh) - /( x ) f{x + eh) - /(x ) fn{x + eh) - fn{x)

- g{x)h <

+ dxfnh

+ \\dxfnh - g{x)h\\.

(1.59)

Since g is the limit of the sequence dfn, given 5 > 0, there exists g G N such

that

sup {\\dyfn - g{y)\\:y U } < 6 (1.60)

for n > q. Now, take n > max{p, g}. Since fn is differentiable, for any

sufficiently small e we have

fn{x + eh) - fn{x)

dxfnh <5|H|. (1.61)

It follows from (1.59) together with (1.58), (1.60) and (1.61) that

/ ( x + eh) - / (x)

-g{x)h <35||h||.

e

Therefore, the function / is differentiable at x, and dxfh = g{x)h for each

h G R , that is, df = g.

1.3. Additional properties 25

ditions.

T h eorem 1.42. If the function /:>-> K is o / class in an open set

D cM. X R , then for each {tQ,xo) D the function (t,x) <p{t,x), where

(/?(, xo) is the solution of the initial value problem (1.13), is of class in

a neighborhood of {to,xo).

a,P > 0 such that

S := [^0 o, to + cc] X B{ xq, 2S) C D. (1.62)

Since the set S is compact and / is continuous, we have

K ;= max {||/(t, x)|| : (t,x) 5 } < -l-oo

(recall that a continuous function with values in R has a maximum in each

compact set). If necessary, we take a smaller a > 0 such that a K < 13, and

we consider the set X of all continuous functions (p: U B{ xq,20) in the

open set

U = {tQ-a,tQ + Oi)x B{ xq,^), (1.63)

equipped with the distance

d{(p,ip) = sup{||(^(t,x) ~'tp{t,x)\\ : (t,x) e U } . (1.64)

Repeating arguments in the proof of the Picard-Lindeldf theorem (The

orem 1.18), it follows easily from Proposition 1.30 that X is a complete

metric space.

in X by

T((fi){t,x) = x + [ f{s,ip{s,x))ds

Jto

for each {t,x) U. We first show that T{(p) is a continuous function.

Clearly, t i->- T{<p)(t,x) is continuous for each x 6 B{ xq,S). Given t

(to cc, to + Q:), we show that the function x T{ip){t, x) is also continuous.

For each x ,y g B{ xo,S)> we have

\Jto

I Jto

(1.65)

for some constant L. Indeed, by Proposition 1.19, the function / is locally

Lipschitz in x, and hence, one can take L to be the constant in (1.25) for

26 1. Ordinary Differential Equations

continuous on the compaxit set

U = [ t o - a, to + a] X B{xo,P),

because (p is continuous. Thus, given 5 > 0, there exists > 0 such that

for every s [to a, to + a] and ||x y|| < e. Without loss of generality,

one can always take e < 5. Hence, it follows from (1.65) that

whenever ||o; 3/|| < e. This shows that the function x T{(p){t,x) is

continuous. On the other hand,

\Jto

< ||a: - xoll + a K < P + P = 2P,

and hence T{X) C X.

Now we verify that T is a contraction. We have

Jto ( 1. 66)

< Lad{(p,rl}),

For any sufficiently small a, we have La < 1, in addition to a K < /?, and

thus T is a contraction. By Theorem 1.35, we conclude that T has a unique

fixed point (po E: X, which thus satisfies the identity

Jto

for every t {to a, to + a) and x B{xo, /?). By Proposition 1.9, it follows

from (1.67) that the function 1 1-)- cpo{t,xo) is a solution of the initial value

problem (1.13). In particular it is of class C^. To complete the proof, it

remains to show that ipo is of class in x.

n X n matrices with real entries. Also, let Y be the set of all continuous

functions M , with {7 as in (1.63), such that

1.3. Additional properties 27

that F is a complete metric space with the distance

Now we define a transformation ^4 in X x F by

in (1.43), that is,

continuous. Moreover,

\\A{if, $ )(t,x ) -^(i/,^')(t,x)||

=

II

y

df

-^{s,ip{s,x))^s,x)ds-

/* Of

J

(s,V(s,a:))^'(s,x)ds

( 1. 68)

+ 1 ^ ^ |^ (s,v ?(s,x )) - ^ ( s , i p { s , x ) ) ^ ^{ s ,x ) ds

df

+ f qJ s,(p ( s, x )) - -^{s,'lp{s,x)) ||J'(s,x)||ds

'to

where

M := max : (t, x) G [7 ^ < + 00.

{

Taking (p = rp in (1.68), we obtain

the other hand, since df/dx is uniformly continuous on the compact set U,

given 5 > 0, there exists e > 0 such that

d f, , d f. ,

-(s ,x )--(s ,y ) <5

for s [to ~ oCfto + Q:] and ||x y|| < e. Hence, if d{(p,rp) < e (see (1.64)),

then

^{ s, ( p { s, x ) ) - |^(s,V'(s,a;)) <5

28 1. Ordinary Differential Equations

for s G (to <^)to + cc) and x B(xo,0). It follows from (1.68) with $ = ^

that

\\A{(p,^){t,x) - A{'tp,^){t,x)\\ < a5sup{||#(t,a:)|| : (t,x) e U } ,

and thus also

d{A{(p,^),A{7p,^)) < a(5sup{||$(t,a:)|| : (t,x) G 17},

whenever d{(f, < e. This shows that the function tp i-)- A{ip, $) is con

tinuous for each $ G F, and hence A{ X x F ) c F. Moreover, for any

sufficiently small a we have aM < 1, and it follows from (1.69) that 5 is a

fiber contraction.

Step 4- Uniform convergence and regularity. By the Fiber contraction

theorem (Theorem 1.38), given (<^, $ ) G X x F, the sequence S^{(p,^)

converges to (po, $o) when n >oo, where $o is the unique fixed point of the

contraction $ A{ipQ, $ ) in the complete metric space F. In other words,

the sequence of functions 5'"(^, $ ) converges uniformly to the continuous

function (^o> ^o) in the open set U when n oo.

Since $o is continuous, if one can show that

dpQ

{t,x) = ^o{t,x), (1.70)

dx

then ipo is of class in x, and thus it is of class C^. To that effect, consider

the functions ipi and given by (pi{t,x) = x and $i(t,a:) = Id. For each

n G N, we define a pair of functions by

Jto

and

U df

^n+l {t,x) = ld + J {s, cpn{s , x)) ^n{s , x) ds . (1.72)

One can use induction to show that the functions </? are of class in x for

each n G N, with

5>n+l d

^ f^ r

dx

Jt f(^^Pn{s,x))ds

(1.73)

= ld + ^{s,(pn{s,x))^^{s,x)ds.

For this, it is sufficient to observe that if g>n is of class in a;, then the func

tion {s,x) i-> f{s,ipn{s,x)) is also of class and thus one can use (1.71)

1.3. Additional properties 29

together with Leibnizs rule to obtain the differentiability of (pn+i and iden

tity (1.73). This implies that (pn+i is of class C^.

Now we show that

^^"'(t, x) = ^n(t, x) (1.74)

dx

for each n N. Clearly,

d(pi

(t,x) = Id = $ i(t, x).

dx

In order to proceed by induction, we assume that (1.74) holds for a given n.

It then follows from (1.73) and (1.72) that

d(Pn+l , f df

(t,a;) = Id-f- J ^{s,(pn{s,x))^n{s,x)ds = ^n+l{t>x).

dx

This yields the desired identity.

Finally, given t G {to a,to + oc), we consider the sequence of functions

fn{x) = fnitt x). By (1.74), we have dxfn = ^n(i> x). On the other hand, as

we already observed, by the Fiber contraction theorem (Theorem 1.38) the

sequences / and dfn converge uniformly respectively to v^o(^) ) and $o(^> )

Hence, it follows from Proposition 1.41 that the derivative {d(po/dx){t^x)

exists and satisfies (1.70). This completes the proof of the theorem.

solution of the initial value problem (1.13) given by the Picard-Lindelof

theorem (Theorem 1.18) can be extended to a maximal interval in a unique

manner.

chitz in x in an open set D c M .x R , then for each {to, xq) G D there exists

a unique solution tp: {a,b) > R of the initial value problem (1.13) such

that for any solution x : Ix ^ of the same problem we have Ix C (o, b)

and x{t) = <p{t) for t G Ix.

P roof. We note that J = \JxIx is an open interval, because the union of any

family of open intervals containing to is still an open interval (containing to)-

Now we define a function J -> R as follows. For each t G Ix, let

(p{t) = x{t). We show that the function ip is well defined, that is, p{t) does

not depend on the function x. To that effect, let a;: /x )R and y : ly >R'^

be solutions of the initial value problem (1.13). Also, let I be the largest

open interval containing to where x = y. We want to show that I I x D l y

Otherwise, there would exist an endpoint s of 7 different from the endpoints

of IxH ly. By the continuity of x and y in the interval Ixtlly, we would

have

p := lima;(t) = limy(t).

t-^s ' ' t^s

30 1. Ordinary Differential Equations

(to^xo) replaced by (5,p), there would exist an open interval (s a ,s + a) C

Ix n ly where x = y. Since (s a, s + a) \ / ^ 0 , this contradicts the fact

that I is the largest open interval containing where x = y. Therefore,

I = IxO ly and X = y \in Ix O l y Clearly, the function (^: J is a

solution of the initial value problem (1.13). This completes the proof of the

theorem.

In view of Theorem 1.43, one can introduce the following notion of max

imal interval (of existence) of a solution.

D efinition 1.44. Under the assumptions of Theorem 1.43, the maximal

interval of a solution x: I oi the equation x = f{t^x) is the largest

open interval (a, 6) where there exists a solution coinciding with x in I.

E xam ple 1.45. Consider the equation x^ = x^^. One can easily verify (for

example writing x^/x"^ = 1 and integrating on both sides) that the solutions

are x{t) = 0, with maximal interval R, and

m =

with maximal interval (oo, c) or (c,+ oo), for each c M. More precisely,

for xq = 0 the solution of the initial value problem

ix' = x^,

[a;(to) = a;o

is x{t) 0, with maximal interval M, for xq > 0 the solution is

x{t) =

with maximal interval (00, to + 1/a^o) and, finally, for xq < 0 the solution

is again given by (1.75), but now with maximal interval (to + l/a^O) + 00).

nary differential equation when at least one endpoint of the maximal interval

is a finite number.

T h eorem 1.46. Let f : D - ^ W ^ h e continuous and locally Lipschitz in x in

an open set D c M . x R . If a solution x{t) of the equation x' = f{ t ,x ) has

maximal interval (a,b), then for each compact set K C D there exists s > 0

such that {t,x{t)) E D \ K for every

t (o, o -|- ) U (6 (I'f)

(when a = 00 the first interval is empty and when b = -l-oo the second

interval is empty).

1.3. Additional properties 31

analogous). We proceed by contradiction. Let us assume that for some

compact set K G D there exists a sequence {tp)p with tp b when p t oo

such that

{tp,x{tp}) K for every p N.

Since K is compact, there exists a subsequence (tfcp)p such that {tkp,x{tkp))

converges to a point in K when p -> oo (we recall that a set ii' C is

compact if and only if any sequence (pp)p c K has a convergent subsequence

with limit in K). Let

p ^oo ^

Kap := [fca, 6 + a] X B{ xq, P) C D

as in the proof of the Picard-Lindelof theorem (Theorem 1.18), for some

constants a , P > 0 such that 2Ma < P, where

M = sup (||/(t,a;)|| : (t,x) G K^p}.

Moreover, for each p G N, we consider the compact set

For any sufficiently large p, we have Lp c and hence,

2sup {||/(t,x)|| : X G L p}o'/2 < 2Ma/2 < P/2.

Thus, proceeding as in the proof of the Picard-Lindelof theorem, we find

that there exists a unique solution

of the equation x' = f(t,x) with initial condition y{tkp) = x{tkp). Since

tkp -t- Oi/2 > b for any sufficiently large p, this means that we obtain an

extension of the solution x to the interval (o, tkp+a/2). But this contradicts

the fact that b is the right endpoint of the maximal interval. Therefore, for

each compact set K G D there exists e > 0 such that (t, x{t)) E D \ K tor

every t E {b e, b).

(1.77)

x' = r cos 6 2r sin 0 = x 2y

32 1. Ordinary Differential Equations

and

y' = r sin 0 + 2r cos 0 = y + 2x.

We observe that the assumptions of Theorem 1.46 are satisfied for the open

set ) = RxR^. Hence, for each compact set K = [c,d]xB C D, where H is a

closed ball centered at the origin, there exists e > 0 such that (t, x(t),y{t))

D \ K , that is,

t^[c,d] or {x{t),y{t)) ^ B, (1.78)

for t as in (1.76). On the other hand, by the first equation in (1.77), the

distance of any solution to the origin decreases as time increases. This

implies that each solution (x{t),y{t)) with initial condition (x(to), y{to)) ^ B

remains in B for every t > to- Hence, it follows from (1.78) that t ^ [c,d]

for any sufficiently large t in the maximal interval of the solution. But since

d is arbitrary, we conclude that for any solution with initial condition in B

the right endpoint of its maximal interval is +oo.

In this section we show that for a continuous function / the initial value

problem (1.13) always has solutions. However, these need not be unique (as

illustrated by Example 1.23).

We first recall a result from functional analysis.

tions, for k e N, and assume that:

a) there exists c > 0 such that

b) given e > 0, there exists 6 > 0 such that ||v?fc(t) 7fc(s)l| < e for

every k e N and t,s E (a, b) with |t s| < 5.

Then there exists a subsequence of {^Pk)k converging uniformly to a contin

uous function in (a, b).

Since {ipk{h))k is bounded, there exists a convergent subsequence {^pi{ti))k-

Similarly, since {<Ppi{t2))k is bounded, there exists a convergent subsequence

{iPp2{t2))k- Proceeding always in this manner, after m steps we obtain a

convergent subsequence (9?p|"(tm))fc of the bounded sequence Up^m-i{tm))k-

Now we define functions Vfe: (a, b) E for A: 6 N by

M i ) =Tp^(i)-

1.4. Existence o f solutions for continuous fields 33

with the exception of the first m terms it is a subsequence of the convergent

sequence (<^p(tm))fe-

On the other hand, by hypothesis, for each e > 0 there exists (5 > 0 such

that

WAit) - V-feWII = Ibpfc(i) - Ppk{s)\\ < e (1.79)

for every k N and t, s G (o, b) with |t s] < 5. Given t, tm (a, b) with

\t tm\ < S and p,q e N, it follows from (1.79) that

ll'^p(t) 'tpq{t)\\ < ll'0p(t) ~ '*/p(im)|l

h llVp(^m) ~ '0 g(^m)|| + HVg(^m) ~ '0 g(OII (1.80)

< 2e + llVp(^m) '^/g(^m)||-

for every p,q > Pm- Moreover, since the interval (a, 6) can be covered by

a finite number N of intervals of length 26, and without loss of generality

centered at the points ti,t2, ... ,tN, it follows from (1.80) and (1.81) that

for every t G (a, b) and p,q > m a x{p i,. .. , p n }- This shows that (V>p)p is a

Cauchy sequence in the complete metric space C{a, b) with the distance d

in (1.31) (see Proposition 1.30). Thus, the sequence converges uniformly to

a continuous function in (a, 6). This completes the proof of the proposition.

Now we use Proposition 1.48 to establish the existence of solutions for

any ordinary differential equation with a continuous right-hand side.

set I? C M X R , then for each (toi^^o) G D there exists at least one solution

of the initial value problem (1.13) in some open interval containing to.

a < to < b and P > 0 such that the conditions (1.51) and (6 o)M < P

hold, where M is the constant in (1.52). Given a > 0, we define recursively

a continuous function Xa' {a, b) R by

Xoft) = < xo, t G [to ~ O', to o], (1.82)

,X0 + Jta+af{s,Xa{s-a)) ds, t G [to + cx,b).

34 1. Ordinary DifFerential Equations

For example,

Jto+a Jto-ha

for t E [to+ ce, ^0 + 2a], and

rto-a rt

Xa { t ) = x o - f{s,Xa{s + a ) ) d s ^ X Q + f{s,xo) ds

Jt Jtoa

for t [to - 2a, to a]. We have

I Jto^a

||/(s,a;a(sTQ:))||<is < { b - a)M < p,

and thus,

IkaWII < Ikoll + ^ -

Moreover,

Js

This shows that the two conditions in Proposition 1.48 are satisfied for any

sequence of functions {xam)mi where {otm)m C M"*" is an arbitrary sequence

such that am \ 0 when m oo. Therefore, there exists a subsequence

{Pm)m of (am)m such that {xp^)m Converges uniformly to a continuous

function x: (a,b) >R'.

It remains to show that is a solution of the initial value problem (1.13).

By (1.83), we have

-a;(s)|| < \\xpAs - M - X0^(s)\\ + \\xff^{s) - x{s)\\

<M\pm\ + \\xp,is)-x{s)\\,

and thus, the sequence of functions s xp^{s Pm) converges uniformly

to X. One can show in a similar manner that the sequence of functions

^ + ^rn) also converges uniformly to x. On the other hajid, it

follows from (1.82) that

*^to-\-/3m

for t e [to>^)) and letting m oo, we obtain

x { t ) - x o + [ f{s,x{s))ds (1.84)

Jto

for t [to, b). Analogously, it follows from (1.82) that

to-Pm

/ f[s,Xp^{s + Pm))ds

1.5. Phase portraits 35

for t G (a, to]) and letting m >oo, we obtain identity (1.84) for t (o, to]-

Finally, it follows from Proposition 1.9 that x is a solution of the initial value

problem (1.13).

1.5. P h a se p o r tr a its

the solutions of an ordinary differential equation, it is still important to

obtain information about these solutions, at least of qualitative nature. To

a considerable extent, thiscan be done describing thephase portrait of

the differential equation. We note that in thissection weconsider only

autonomous equations.

D and consider the autonomous equation

x' = f{x). (1.85)

The set D is called the phase space of the equation.

interval I, then the set {x(t) : t G 1} C D is called an orbit of the equation.

of equation (1.85).

an orbit of this equation.

defined by x{t) = xq is a solution of equation (1.85).

Exam ple 1.53. By Example 1.45, the equation x' = x^ has the solutions

x{t) = 0, with maximal interval E, and x{t) = l / ( c t), with maximal

interval (oo, c) or (c, +oo), for each c E. Thus, we obtain the orbits {0 }

(coming from the critical point 0),

{ l / ( c t ) : t G (o o ,c )} = E'*

and

{ l / ( c t) : t G { c , + o o )} = E .

point one can always introduce coordinates with respect to which the orbits

are parallel line segments traversed with constant speed.

36 1. Ordinary Differential Equations

class in an open set D Given a point p E D with f(jp) ^ 0, there

exists a coordinate change y g{x) in a neighborhood ofp transforming the

equation x' = f {x) into the equation y' = v for some v e W^\ { 0}.

P roof. Let be the solution of the equation x' f{x) with initial con

dition a;(0) = xo, in its maximal interval. Since f{p) ^ 0, some component

of /(p ) is different from zero. Without loss of generality, we assume that the

first component is nonzero, and we define new coordinates y = (y i, . . . , yn)

by

x = F (y) = (pj,i(p-|-y),

where p = (p i, ...,Pn) and y = (0,y2,y s ,,Pn)- By Theorem 1.42, the

function F is of class in some neighborhood of zero. Moreover, F (0) = p.

Now we compute the Jacobian matrix doF. The first column of doF is

given by

d

(p + y)|j,=o = (P + y)) U o = /(^(O)) = fip)-

doF = (/(p )e 2 Cn)

is a lower triangular matrix with nonzero entries in the diagonal (because by

hypothesis the first component of /(p ) is nonzero). Thus, doF is nonsingular

and F is indeed a coordinate change in a neighborhood of zero. Now let

(xi (t) , . . . , Xfi(t)) = ^t(p by)

be a solution of the equation x' = /( x ) , where q = {0,q2,qz, ... ,yn), and

write it in the new coordinates in the form y(t) = (yi(t), ,yn(t)). Since

we conclude that

y{t) = (i,q2,q3,-.-,qn)-

Taking derivatives, we finally obtain y' = ( 1 ,0 ,..., 0).

D efinition 1.55. An orbit {x{t) : t E (a, 6)} that is not a critical point is

said to be:

a) periodic if there exists T > 0 such that x{t + T) = x{t) whenever

t,t -\-T E {a, b)]

1.5. Phase portraits 37

t >o+ and when t ^b~\

c) heteroclinic if there exist critical points p and q with p q such that

x{t) p when t -> a"*" and x{t) q when t -^b~.

We show that all orbits in Definition 1.55 and more generally all orbits

contained in a compact set have maximal interval R.

interval is M.

P rop osition 1.57. Any solution of equation (1.85) whose orbit is contained

in a compact subset of D is global.

can be written in the form

x' = F{t,x).

Given an orbit {x(t) : t ( o , 6) } contained in some compact set K C D,

let us consider the compact set [m,m] x K C R x D. It follows from

Theorem 1.46 that there exists e > 0 such that

(t,x{t)) 0 [m,m] X K

for every t G (a, a + e) U (6 gr, 6). Hence, there exists e > 0 such that

t ^ [m,m] for the same values of t (since the orbit is contained in K).

Letting m oo, we conclude that a = oo and b +oo.

38 1. Ordinary Differential Equations

P rop osition 1.58. Critical points, periodic orbits, homoclinic orbits and

heteroclinic orbits are always obtained from global solutions.

differential equation is obtained representing the orbits in the set D, also in

dicating the direction of motion. It is common not to indicate the directions

of the axes, since these could be confused with the direction of motion.

Exam ple 1.59 (continuation of Example 1.53). We already know that the

orbits of the equation x' = x^ are {0 }, M"'" and R . These give rise to the

phase portrait in Figure 1.3, where we also indicated the direction of motion.

We note that in order to determine the phase portrait it is not necessary to

solve the equation explicitly.

Exam ple 1.60. Consider the equation x' = |a;|. The only critical point is

the origin. Moreover, for a: 7^ 0 we have x' = || > 0, and hence, all solutions

avoiding the origin are increasing. Again, this yields the phase portrait in

Figure 1.3, that is, the phase portraits of the equations x' = x^ and x' = |a:|

are the same. However, the speed along the orbits is not the same in the

two equations.

Examples 1.59 and 1.60 illustrate that different equations can have the

same phase portrait or, in other words, the same qualitative behavior. We

emphasize that phase portraits give no quantitative information.

{x,y)'= {y,-x) (1.86)

(see Example 1.3). The only critical point is (0,0). Moreover, by (1.6), if

(x, y) is a solution, then (x^ + y^)' = 0, and thus, other than the origin

all orbits are circles. In order to determine the direction of motion it is

sufficient to consider any point of each orbit. For example, at (x, y) = (, 0)

we have {x,y)' = (0, x), and thus, the phase portrait is the one shown in

Figure 1.4. We note that it was not necessary to use the explicit form of the

solutions in (1.7).

illustrated by the following example.

1.5. Phase portraits 39

E xam ple 1.62 (continuation of Example 1.61). Let us write equation (1.86)

in polar coordinates. Since x r cos 9 and y = r sin 6, we have

r '= ( V i ^ y -

2 -^x^ + y2 r

and

{y/x)' y'x - x'y

6' = farctan') = -

\ X/ 1 + {y/xY

Thus, equation (1.86) takes the form

r' = 0,

{ 9' = -\

in polar coordinates. Since r' = 0, all solutions remain at a constant dis

tance from the origin, traversing circles (centered at the origin) with angular

velocity 9' = \. Thus, the phase portrait is the one shown in Figure 1.4.

The only critical point is the origin. Moreover, if (x, y) is a solution, then

(x^ y^)' 2xx' 2yy' = 2xy 2yx = 0.

This shows that each orbit is contained in one of the hyperbolas defined

by x^ y^ = c, for some constant c ^ 0, or in one of the straight lines

bisecting the quadrants, namely x = y and x = y. In order to determine

the direction of motion in each orbit, it is sufficient to observe, for example.

40 I. Ordinary Differential Equations

that a;' > 0 for y > 0, and that aj' < 0 for y < 0. The phase portrait is the

one shown in Figure 1.5.

( 1.88)

\y' = x{x^ + 1).

As in Example 1.63, the origin is the only critical point, and along the

solutions we have

(x'^ - y^Y = 2a;a;' - 2yy'

= 2xy{x^ + 1) ~ 2yx{x^ + 1) = 0.

Since the signs of y{x^ + 1 ) and x{x^ + 1) coincide respectively with the signs

of y and x, the phase portrait of equation ( 1.88) is the same as the phase

portrait of equation (1.87) (see Figure 1.5).

n.89i

|y' = x{x^ - 1).

y{x^ 1) = x{x^ 1) = 0,

1.5. Phase portraits 41

whose solutions are (0,0), (l,y ) and (l,y ), with y G K. Moreover, along

the solutions we have

{x^ - y^)' = 2xx' - 2yy'

= 2xy{x^ 1) ~ 2yx{x^ 1) = 0,

and thus, each orbit is again contained in one of the hyperbolas defined

by x^ y^ c, for some constant c ^ 0, or in one of the straight lines

X = y and x = y. The phase portrait of equation (1.89) is the one shown

in Figure 1.6, where the direction of motion can be obtained, for example,

from the sign of y' x{x^ 1); namely,

y '> 0 for a; G (1,0) U (1 ,+oo)

and

y' <Q for a; G (oo, 1) U (0,1).

In particular, it follows from the phase portrait that any orbit intersecting

the vertical strip

L = {{x,y) G 1 < a: < 1}

is contained in L and is bounded, while any other orbit is unbounded.

(1.90)

[ y' = 2xy.

42 1. Ordinary Differential Equations

Letting z = x + iy, one can easily verify that equation (1.90) is equivalent

to z' = where z' = x' + iy'. Dividing by ^ yields the equation

i.

r2

whose solutions are

1

z{t) = - (1.91)

t+ c

with c 6 C. In order to obtain x{t) and y(t), it remains to consider the real

and imaginary parts of z(t) in (1.91). Namely, if c = a + z6 with o, 6 M,

then

One can use these formulas to verify that the phase portrait is the one shown

in Figure 1.7.

lar case of the differential equations conserving a given function. We first

introduce the notion of conservative equation.

open set and that is constant along the solutions of the equation x' = f(x)

is said to be an integral (or a first integral) of this equation. When there

exists an integral the equation is said to be conservative.

the equation x' = f{ x) if and only if

j^E{x{t)) = 0

for any solution x = x{t). More generally, one can consider integrals in

subsets of D and integrals that are not of class C^.

1.5. Phase portraits 43

Exam ple 1.68. It follows from identity (1.6) that the function

defined by E{x,y) = is an integral of equation (1.4), and thus, the

equation is conservative.

in no open set. Then the equation in H x D C given by

x' = dE/dy,

(1.92)

y' = - d E j d x

is conservative and the function E is an integral. Indeed, if (x, y) is a solution

of equation (1.92), then

d . dE , dE ,

(1.93)

= -y 'x ' + x'y' = 0,

from (1.92) taking

x^ + y2

E{x,y) =

x' = x^ + 2xy X,

{y' = - 2xy - y^ + y.

In view of (1.93), in order to obtain the phase portrait of equation (1.95)

(1.95)

we have to determine the level sets of the function E in (1.94). These are

sketched in Figure 1.8, where we have also indicated the direction of motion.

One can easily verify that the critical points of equation (1.95) are (0,0),

(1,0), (0,1) and (1/3,1/3). Now we show that the orbits in the interior of

the triangle determined by (0, 0), (1 , 0) and (0, 1), in a neighborhood of the

critical point (1/3 ,1/3), are in fact periodic orbits. Writing X = x 1/3

and Y = y 1/3, we obtain

^^fev) = ( x + i ) ( r + ^ ) ( : v + K - i )

= - 4 + + Y^) + (X + Y)XY.

2i{ o

Since the quadratic form

+ XT + = 1 1/2

(1.96)

1/2 1

44 1. Ordinary Differential Equations

is positive definite (the 2 x 2 matrix in (1.96) has eigenvalues 1/2 and 3/2),

it follows from Morses lemma (Proposition 9.16) that there is a coordinate

change ( X , ? ) = g{X,Y) in neighborhoods of (0,0) such that

neighborhood of (0, 0), the same happens in the variables {x,y), now in a

neighborhood of (1/3 ,1/3).

ix' = y,

(1.97)

\y' = f{x),

where

f{x)=^x{x-l){x-3). (1.98)

The critical points are (0, 0), ( 1, 0) and (3 ,0). Now we consider the function

I 2 I 4 .4 0 3o

= + 3^=' -

If (x,y) = {x{t),y(t)) is a solution of equation (1.97), then

which shows that the function E is an integral. In order to obtain the phase

portrait, we have to determine the level sets of the function E. One can

1.5. Phase portraits 45

show that these are the curves sketched in Figure 1.9, which determines the

phase portrait. In particular, there exists a homoclinic orbit connecting the

follows. We first write equation (1.97) in the form

x" = y' = fix).

This corresponds to apply a force f{ x) to a particle of mass 1 moving without

friction. For example, f{x) can be the gravitational force resulting from the

particle being at a height f{x). Actually, in order to obtain the phase

portrait it is not important what f {x ) really is, and so there is no loss

of generality in assuming that f{ x) is indeed the gravitational force. In

this context, identity (1.99) corresponds to the conservation of the total

energy E{x, y), which is the sum of the kinetic energy y^/2 with the potential

energy

= f{s)ds = ~ x ^ + ^x^

The function V has the graph shown in Figure 1.10, which can be obtained

noting that

V'{x) = x(x l)(a; 3).

The phase portrait can now be obtained from the energy conservation.

For example, it follows from Figure 1.10 that a ball dropped with velocity

2/ = 0 at a point x in the interval (0, (8 \ /l0)/3) starts descending and after

some time passes through the point x = 1, where it attains maximal speed.

Then it starts moving upward, in the same direction, up to a point x' G

(0, (8 \/l0)/3) with V{x') = V (x), where again it attains the velocity y = 0.

This type of behavior repeats itself indefinitely, with the ball oscillating

46 1. Ordinary Differential Equations

intersection with the horizontal aocis are 0, (8 \ /l0 )/3 and (8 + \ /l0 )/3 .

back and forth between the points x and x'. This corresponds to one of

the periodic orbits in Figure 1.9, in the interior of the homoclinic orbit.

On the other hand, a ball dropped with velocity y > 0 at a point x (0,1)

with /2 + V {x) = 0 (by Figure 1.10 the function V is negative in the

interval (0, 1)) travels along the same path up to a point x' with V{x') =

V{x), although now without zero velocity, because of the conservation of

energy. Instead, it continues traveling up to a point x" G (l,+ o o ) with

-\-V{x) = V{x"), where it finally attains zero velocity (the existence of

this point follows from Figure 1.10 and the conservation of energy). Then

the ball starts traveling backwards, in particular, passing through the initial

point , and approaching the origin indefinitely, without ever getting there,

since

y'^ + V{x) = Q = E{0,0).

Analogously, a ball dropped with velocity y < 0 at a point x 6 (0 , 1) with

y^/2 + F(o;) = 0 exhibits the same type of behavior. Namely, it approaches

the origin indefinitely, without ever getting there. This corresponds to the

homoclinic orbit in Figure 1.10. The remaining orbits can be described in

an analogous manner.

The critical points are (0,0), (1,0) and (2,0). Moreover, the function

1 101)

( .

= ^2/^ - + x^-x^

1.5. Phase portraits 47

Figure 1.11. In particular, there exist two heteroclinic orbits connecting the

critical points (0, 0) and (2, 0).

proceed in a similar manner to that in Example 1.71. In this case the

potential energy is given by

Jo 4

and has the graph shown in Figure 1.12.

intersection with the horizontal axis are 0 and 2.

48 1. Ordinary Differential Equations

In particular, for a ball dropped with velocity y = 0 at a point x G ( 0 ,2 ) ,

we obtain an oscillatory movement between x and 2 x. Indeed,

and hence V(2 x) = V(x). This corresponds to one of the periodic orbits

in Figure 1.11. On the other hand, a ball dropped with velocity y > 0 at

a point X G ( 0 , 2) with energy y^/2 + F (x) = 0 approaches indefinitely the

point 2, without ever getting there, since E(2, 0) = 0. Also, considering the

movement for negative time, we obtain the heteroclinic orbit in the upper

half-plane in Figure 1.11. The heteroclinic orbit in the lower half-plane

corresponds to the trajectory of a ball dropped with velocity y < 0 at a

point X G ( 0 , 2) with energy y^/2 -\-V{x) = 0. The remaining orbits in

Figure 1.11 can be described in an analogous manner.

tions on (smooth) manifolds. After recalling the relevant notions concerning

manifolds and vector fields, we consider ordinary differential equations de

fined by vector fields on manifolds and we give several examples.

1.6.1. B asic notions. In this section we recall some basic notions concern

ing manifolds. We first introduce the notion of a differentiable structure.

class and dimension n if there exist injective maps ipi: Ui M defined

in open sets Ui C E for i G / such that:

a)

b) for any i,j G I w ith V = Pi{Ui)r\(pj{Uj) 0 the preimages >~^(V)

and are open sets in ' \ and the map ^o (^j is of class

spect to the conditions in Definition 1.73, although one can always complete

it to a maximal one. Each map ipi: Ui M is called a chart or a coordinate

system. Any differentiable structure induces a topology on M ; namely, a set

A c M is said to be open if c R is an open set for every i G /.

Now we introduce the notion of a manifold.

sion n if:

a) M admits a differentiable structure of class and dimension n;

1.6. Equations on manifolds 49

is a Hausdorff topological space with countable basis.

points have disjoint open neighborhoods, and that it is said to have a count

able basis if any open set can be written as a union of elements of a given

countable family of open sets.

with the differentiable structure composed of the single chart </?: R > R

given by (p(x) = x.

= {{x,y) G R^ : = 1}

is a manifold of dimension 1. A differentiable structure is given by the maps

(-l,l)^ 5 ^ z = l,2,3,4

defined by

(pi{x) = (x, V l -a ;2),

(P2{x) = ( a ; , - \ /l -a ;2),

( 1. 102)

ipsix) = { y / l - x ^ , x ) ,

(P4{x) = { - V i - x^,x).

5^^ = (x G R +^ : ||x|| = 1},

where

/n + l \ 1/2

11(^1....... ^+i)ii = (

is a manifold of dimension n.

Example 1.77. The n-torus T " = 5^ x x is a manifold of dimension n.

A differentiable structure is given by the maps '0: (1 ,1) T defined by

1p{xi,...,Xn) = {lllixi),...,i>n{xn)),

where each il^i is any of the functions </?i, ^3 and in (1 .102).

set [/ C R . Then the graph

M = {{x,ip{x)) : X G 17} C R X R"^

is a manifold of class and dimension n. A differentiable structure is given

by the map 0 : 17 0 (x) = (x,y?(x)).

R x R^ defined by

50 1. Ordinary Differential Equations

{7 C E . A point c E* is said to be a critical value of E if c = E{x) for

some X e U such that dxF: E " )E"^ is not onto. One can use the Inverse

function theorem to show that if c E^ is not a critical value of E, then

the level set

= { x e U : E{x) = c }

is a manifold of dimension n m.

For example, ii E: U > E is an integral of a conservative equation

x' = f{x), then for each c G E that is not a critical value of E, the level set

E~^c is a manifold of dimension n 1.

we first recall the notion of a differentiable map between manifolds.

to be differentiable at a point a: G M if there exist charts (p: U M and

Tp: V N such that:

a) a: G p{U) and C i>{Vy,

b) 'ip~^ o / o is differentiable at ip~^{x).

We also say that / is of class in an open set W C M if all maps tf}~^ofo<p

are of class in

Now we introduce the notion of a tangent vector to a curve. Let M

be a manifold of dimension n. A differentiable function a : (e, e) M is

called a curve. Also, let D be the set of all functions / : M ^ E that are

differentiable at a given point x G M.

a(0) = a: at t = 0 is the function F: D ->-R defined by

d (f o a)

H f) = dt t=o

We also say that F is a tangent vector at x.

One can easily verify that the set TxM of all tangent vectors at x is a

vector space of dimension n. It is called the tangent space of M at x. The

tangent bundle of M is the set

T M = {{x,v) : X G M ,u G TxM}.

One can show that T M is a manifold of dimension 2n. A differentiable

structure can be obtained as follows. Let ip\ U )M be a chart for M and let

( x i , ... ,x) be the coordinates in U. Consider the curves aii (e,e) M

for i = 1, . . . , n defined by

ai{t) = <p{tei),

1.6. Equations on manifolds 51

the curve o-j at t = 0 is denoted by djdxi. One can easily verify that

{d/dx\,.. ., dfdxn) is a basis of the tangent space N o w we con

sider the map : 17 x R ^ TM defined by

tl}{xi,...,Xn,y\,...,yn) =

i=l

for some chart (p: U M. One can show that the maps of this form define

a differentiable structure of dimension 2n in TM.

Now we are ready to introduce the notion of a vector field.

D efinition 1.82. A vector field on a manifold M is a map X \M TM

such that X{x) T^M for each x G M.

speak of a differentiable vector field.

vector field X : M -^T M, consider the ordinary differential equation

x' = X{x). (1.103)

More generally, one can consider time-dependent vector fields.

of equation (1.103) if x'{t) = X(x{t)) for every t (o, 6), where x'{t) is the

tangent vector to the curve s x{t -I- s) at s = 0.

Using charts one can establish the following manifold version of the

Picard-Lindelof theorem (Theorem 1.18).

(to,xo) R X M there exists a unique solution of the initial value problem

ix' = X{x),

| (to ) = Xq

in some open interval containing to.

equations in R can be extended to arbitrary manifolds. In addition to

the Picard-Lindelof theorem, this includes all other results concerning the

existence of solutions (such as Peanos theorem) and the dependence of

solutions on the initial conditions (see Theorems 1.40 and 1.42).

On the other hand, some nonlocal aspects differ substantially in the case

of differential equations on manifolds. In particular, the following result is

a consequence of Theorem 1.46.

52 1. Ordinary Differential Equations

then all solutions of the equation x' = X (x) are global, that is, all solutions

are defined for t G M.

differentiable vector field on a compact manifold the solutions of the equation

x' X (x) give rise to a fiow. More precisely, the following statement holds.

fold M and x{t,xo) is the solution of the initial value problem

W = X{x),

|a;(0) = XQ,

is a flow.

Exam ple 1.87. Let M = S^. Given a vector field X : M > TM, each

vector X(x) is either zero or is tangent to the circle. If X does not take the

value zero, then the whole 5^ is an orbit of the equation x' = X(x). If X

has exactly p zeros, then there are 2p orbits.

such that for x E other than the North and South poles the vector X (x)

is nonzero and horizontal. Then the equation x' = X (x) has critical points

at the North and South poles and all other orbits are horizontal circles

(obtained from intersecting the sphere with horizontal planes).

Exam ple 1.89. Let M T^ = S^xS^. Since 5^ can be seen as the interval

[0, 1] with the endpoints identified, the torus can be seen as the square

[0,1] X [0,1] with two points x ,y E Q identified whenever x y E l? . Thus,

a differential equation in the torus can be seen as the equation

(1.104)

{: y' = 9{x,y)

for every a;, y G R and k,l e Z.

For example, if / = a and y = ,0 for some constants a, /3 G R, then the

solutions of equation (1.104) give rise to the flow

1.7. Exercises 53

a ^ 0 and P/a Q , then the image of each solution is a periodic orbit with

slope P/a. Finally, a ^ 0 and P/a ^ Q, then the image of each solution

is dense in the torus.

clearly falls outside the scope of the book. In particular, some topological

obstructions influence the behavior of the solutions of a differential equation.

For example, any vector field X on S'^ has zeros and thus, the equation

x' = X{x) has critical points. We refer the reader to [3, 1 1 ] for detailed

treatments.

1.7. Exercises

E xercise 1.1. For the equation x' = f{x), show that if cost is a solution,

then sin t is also a solution.

a) show that if 1 /(1 + 1) is a solution, then 1 /(1 t) is also a solution;

b) And / such that 1 /(1 + 1) is a solution.

x{t) = rcosh^(t) and y(t) = r sinh. 6(t),

with r 6 E, show that 6{t) = t + c for some constant c E.

E xercise 1.5. Let / : E E be a Lipschitz function and let p: be

a continuous function. Show that for the equation

(x' = f{x),

\y' = 9{x)y

the initial value problem (1.13) has a unique solution.

a) Show that the function g: (a, 6) ^ E defined by

b) Show that the initial value problem (1.13) has a unique solution.

Hint: For a solution x(t), compute the derivative of the function t ^

g{x{t)).

54 1. Ordinary Diiferential Equations

inner product in R .

the initial value problem (1.13) is defined for all t > to-

b) Show that if 5 : R R is a differentiable function such that

9{x) > ||x|p and {f{x),Vg{x)) < 0

for every x R " \ {0 } (where ||xp = {x,x) and Vg is the gradient

of g), then each solution of the initial value problem (1.13) is defined

for all t > to.

I x' = -a y ,

[y ' = ax

in polar coordinates.

y' = x + e y - y{x^ + y^)

in polar coordinates.

Exercise 1.10. Let u,v,w: [a,5] >R be continuous functions with to > 0

such that ^

u{t) < v{t) + / w{s)u{s) ds

Ja

for every t G [0 , 6]. Show that

space X such that is a contraction for some m G N. Show that:

a) T has a unique fixed point xq GX ;

b) for each x E X the sequence T (x) converges to xq when n > 00.

Exercise 1 .1 2 . Show that the function A 1-^ ||.A|| defined by (1.40) is a norm

in the space M of n x n matrices with real entries (see Definition 1.26).

Exercise 1.13. Show that the norm H-H defined by (1.40) satisfies

11^511 < P ll \\B\\

for every A, B E Mn-

1.7. Exercises 55

E xercise 1.14. Consider the set Z c C{I) (see Proposition 1.30) of all

Lipschitz functions x: I > R in a given bounded set / C R^, with the

same constant L in (1.38), such that a:(0) = 0 (when 0 I). Show that Z

is a complete metric space with the distance

r

d{x, y) = sup - :t l\ {0 }

}

Exercise 1.15. Let (pt be a flow defined by an equation x' = f{x). Say how

/ can be obtained from the flow.

then the equation x' = f {x ) defines a flow such that each function ipt is a

homeomorphism (that is, a bijective continuous function with continuous

inverse).

such that

f{t,x) = f{t + T,x) for (t ,a :)e R x R .

Show that for each (to,xo) G R x R " the solution x{t,to,xo) of the initial

value problem (1.13) has maximal interval R and satisfies the identity

Exercise 1.18. Sketch the phase portrait of the equation x" = x^ x, that

is, of the equation (x, y)' = (y, x^ x) in R^.

a)

[y' = -a:(y2 - x^);

b)

[ 2 / ' = a; + 2/(1 - a ;2 - 2/2);

c)

y = y (l - a ;2 - y 2).

Exercise 1.21. For each A G R, sketch the phase portrait of the equation:

a) x" = \x{x 1);

b) x" = x{x A);

(x' = - y + x{X-x'^ - 2/2),

1 y '= a; + 2/ ( A - x 2 - 2/2).

56 1. Ordinary Differential Equations

fx' = x + 3y^,

= -2x-y.

fr' = 0,

yO' = (r^ l)(r^ cos^ 0 + r sin0 + 1).

a) Sketch the phase portrait.

b) Find all global solutions.

c) Find whether the equation is conservative.

d) Show that in a neighborhood of the origin the periods T (r) of the

periodic orbits satisfy

T{r) = 27T + ar^ + o(r^),

for some constant o ^ 0 (given a function R ^ R such that

g{x)/x^ 0 when a; ^ 0, we write g{x) = o{x'^)).

Solutions.

1.2 b) f {x ) = 2x^.

1.3 [(a:'+ a;)/(2 - a:')]' = 1, that is, {x,yy = {y,2{y - l){y - 2)/{2 + x)).

1.8 {r,0y (0,a).

1.9 {r,0y = (er r, 1).

1.15 f {x ) = {d/dt)(pt{x)\t=o.

1.20 a) There are no periodic orbits.

b) {(a;, y) G R^ : a;2 + = 1}.

c) There are no periodic orbits.

1 .2 2 E{x, y) = x'^ + xy + y^.

1.23 b) All solutions are global,

c) It is conservative.

Chapter 2

Conjugacies

ordinary differential equations and their perturbations. We first introduce

the notion of a fundamental solution, which contains complete information

about the solutions of a linear equation. In particular, we describe the fun

damental solutions of the equations with constant coefficients and periodic

coefficients. We then give a complete description of the phase portraits of

the equations with constant coefficients in dimension 1 and dimension 2.

We also present the variation of parameters formula for the solutions of

the perturbations of a linear equation. Finally, we introduce the notion of

a conjugacy between the solutions of two linear differential equations with

constant coefficients, and we discuss the characterization of the differen

tiable, topological and linear conjugacies in terms of the coefficients of the

equations. For additional topics we refer the reader to [4, 15, 17].

where the matrices A{t) Mn vary continuously with t G R (we recall that

Mn is the set of n x n matrices with real entries). Equation (2.1) is called

a linear equation.

continuous and locally Lipschitz in x. It follows from the Picard-Lindeldf

58 2. Linear Equations and Conjugacies

theorem (Theorem 1.18) that the initial value problem (1.13), that is,

| x ' = A W x,

[x{to) = xo,

has a unique solution in some open interval containing to-

P roof. We consider only times t > to- The argument for t < to is entirely

analogous. If x = x{t) is a solution of equation (2.1), then

x(

:{t) = x{to) + [ A{s)x{s) ds

Jto

for t in some open interval containing to? thus,

a;

Jto

for t > to in that interval. It follows from Gronwalls lemma (Proposi

tion 1.39) that

l|x(()ll<IW(o)l|exp f \\A(,s)\\ds,

Jto

for the same values of t. Since the function t A{t) is continuous, the

integral 11-4(5)11 ds is well defined and is finite for every to and t. Thus,

it follows from Theorem 1.46 that the maximal interval of the solution x

is M.

Using the notion of global solution in Definition 1.56, one can rephrase

Proposition 2.1 as follows: all solutions of equation (2.1) are global.

The following result shows the set of all solutions of equation (2.1) is a

linear space.

cixi -I- C2X2 is a solution of equation (2.1) for each ci,C2 R.

P roof. We have

( c i X i + C 2 X 2 )' = C \x 'i C2X2

= C l A { t ) x i + C2A{t)x2

= A { t ) { c \ X i + C2X2),

and thus, c \ X \ -I- 020:2 is a solution of equation (2.1).

0 1 X

(2.3)

-1 0

2.1, Nonautonomous linear equations 59

_ / r cos c cost + r sine sin t

(^) / cos c sin t + r*sin c cos

f cost \ . /sint^

= r cos cl . ^ + r sin c

\smtJ \cost

This shows that the set of all solutions of equation (2.3) is a linear space of

dimension 2, generated by the (linearly independent) vectors

(co st,sin t) and (sin t, cost).

P rop osition 2.4. The set of all solutions of equation (2.1) is a linear space

of dimension n.

the solution of the initial value problem (2.2) with xq = Ci. For an arbitrary

xo G R^, the solution of problem (2.2) can be obtained as follows. Writing

xo = CiCi, one can easily verify that the function

n

x{t) =

i=l

is the solution of equation (2.1) with x{to) = xq. In particular, the space of

solutions of equation (2.1) is generated by the functions Xi{t),... ,Xn{t). In

order to show that these are linearly independent, let us assume that

n

'Y^CiXi{t) = 0

i=l

for some constants c i , . . . , c^ 6 R and every t R. Taking t = to, we obtain

S r= i hence ci = C2 = = Cn = 0 (because e i , . . . , Cn is a

basis). Thus, the functions a;i(t),. . . , Xn{t) are linearly independent.

tion (2.1) it is useful to introduce the following notion.

a basis of the space of solutions of equation (2.1) is called a fundamental

solution of the equation.

fying

X \t) = A{t)X{t) (2.4)

for every f G R, with the derivative of X (t) computed entry by entry.

60 2. Linear Equations and Conjugacies

vector c G R , the product X{t)c is a linear combination of the columns

of X{t). More precisely, if x i {t ),... ,Xn(t) are the columns of X{t) and

c = ( c i ,.. .,Cn), then

n

X { t ) c ^ '^CiXijt).

i= l

This shows that the solutions of equation (2.1) are exactly the functions of

the form X{t)c with c G R , where X{t) is any fundamental solution.

equation x' = f {x ) has only global solutions. Given a solution (pt{x) with

= X, consider the matrices

^{t) =

The equation

y' =

is called the linear variational equation of x' = f{x) along the solution (ftix).

It follows from the identity

^V?t(a:) = f{ipt{x))

d

-^dx<pt d(p^(jc)f dx^t A.{t)dx^t

This shows that the function X (t) = dx<pt satisfies the identity

X'{t) = A{t)X{t),

{X{t)c)' = A{t){X{t)c)

for each c G R . Since

the columns of X{t) are linearly independent, and hence X{t) is a funda

mental solution of the linear variational equation of x' = f {x ) along the

solution ipt{x).

its columns are linearly independent for every t G R.

2.1. Nonautonomous linear equations 61

Given to G M, we show that the vectors xi(to), , n(to) are linearly inde

pendent. Assume that

n

'^CiXiito) = 0

i=l

for some constants c i , . . . , c K. Then the solution

n

(2.5)

i=l

of equation (2.1) satisfies x{to) = 0, and it follows from the uniqueness of

solutions that x{t) 0 for every t R. Since the functions a:i(t),. . . , Xn{t)

form a basis of the space of solutions (because X{t) is a fundamental so

lution), it follows from (2.5) that ci = = Cn = 0. Thus, the vectors

xi (to)) ) Xn{to) are linearly independent.

P rop osition 2.8. The solution of the initial value problem (2.2) is given by

where X{t) is any fundamental solution of equation (2.1).

and thus, the function x{t) in (2.6) is well defined. Moreover,

and it follows from identity (2.4) that

x'{t) = X\t)X{to)-'^xo

= A{t)X{t)X{to)-'^xo = A{t)x{t).

This shows that x{t) is the solution of the initial value problem (2.2).

(2.1), then there exists an invertible matrix C Mn such thatY(t) = X{t)C

for every t M.

P ro o f. Since X (t) and Y(t) are fundamental solutions, each column of Y(t)

is a linear combination of the columns of X (t) and vice-versa. Hence, there

exist matrices C,D Mn such that

Y{t) = X { t ) C and X{ t ) = Y{ t ) D

62 2. Linear Equations and Conjugacies

On the other hand, by Proposition 2.7, the columns of the matrix Y{t) are

linearly independent for each t G K. Therefore, Y{t) is invertible and it

follows from (2.7) that DC = Id. In particular, the matrix C is invertible.

It also follows from Proposition 2.7 that \iX{t) is a fundamental solution

of a linear equation, then detX{t) ^ 0 for every t e R . In fact, we have a

formula for the determinant.

equation (2.1), then

Jto

for every t, to G M.

^ d e tX (t) = ^ d e t A ( i ) , (2.8)

i=l

where Di{t) is the n x n matrix obtained from X{t) taking the derivative of

the ith line, and leaving all other lines unchanged. Writing X(t) = {xij{t))

and A(t) = (oij(t)), it follows from identity (2.4) that

n

k=l

for every t M and i ,j = l , . . . , n . In particular, the ith line of Di{t) is

/ n n \

.A;=l k=l

^ ^^ik(l')(^kl{l')^ j ^kn(l'))

k=l

Since the last sum is a linear combination of the lines of X{t), it follows

from (2.8) and the properties of the determinant that

d ^

det X(t) = ^ au(t) det X(t)

CuU

i=l

= tr A(t) d etX (f).

2.2. Equations with constant coefficients 63

u' = trA (t). Therefore,

Jto

of the form

x' = Ax, (2.9)

f{ t,x ) = Ax is of class C^, and thus, it is continuous and locally Lipschitz

m X.

recall the notion of the exponential of a matrix.

oo

( 2. 10)

A;=0

with the convention that e = Id.

trix A.

P ro o f. One can easily verify that ||j4*'|| < ||>1||*^ for each k and thus,

E inl-^11s E

OO

k=0

OO

k=0

..

<+~- (211)

In other words, the series in (2.10) is absolutely convergent, and thus it is

also convergent.

Exam ple 2.13. If A = Id, then A'^ = Id for each k e N, and thus.

1

e = l i d = eld.

^ A:!

fc=o

64 2. Linear Equations and Conjugacies

the diagonal, then

OO 1 /A j 0

V - V

^ k\ ^ k\

k=0 k=0 U A^

1 \A: 0 \

' Z^fc=0

0 Y^k=0 E^n)

/e^i 0 \

0 e-^/

0 Id

^ \ -ld 0

A^ = ld, A^ = A, ^2 = -I d , A ^ ^ -A , A'^^ld,

At

IdH------- r:----- A

2 2i

= costid + sintj4.

ponential of a matrix, we first recall a basic result from linear algebra.

T h eorem 2.16 (Jordan canonical form). For each A Mn, there exists an

invertible n x n matrix S with entries in C such that

(R i 0

S~^AS = 2 12

( . )

U Rk

2.2. Equations with constant coefEcients 65

fXj 1 0 \

Rj (2.13)

1

VO /

where Xj is an eigenvalue of A.

matrix can be computed as follows.

P rop osition 2.17. If A is a square matrix with the Jordan canonical form

in (2.12), then

0 \

= Se^ = S (2.14)

U

P ro o f. We have {S ^^45)*^ = S ^A'^S for each fc 6 N. Therefore,

OO .

k=0

= S - ' { ^ l ^ y = S-^e^S.

On the other hand, one can easily verify that the exponential of a matrix in

block form is obtained computing separately the exponential of each block,

that is.

fe^^ 0 \

S~^AS

lo g-Rfcy

This yields the desired result.

When A consists of a single block R j as in (2.13), the exponential

can be computed explicitly as follows.

/O 1 0 \

N = (2.15)

1

\o 0 /

66 2. Linear Equations and Conjugacies

then

I Id + + - N ^ + +

1 N'n1 (2.16)

( n - 1)!

P roof. Since the matrices Aid and N commute, one can show that

hand, since N'^ = 0, we obtain

oo .4 nn 1

X

^k\ ^k\

k=0 k=0

and thus,

n 1

e'' = e^Id V iw * =

2 .2 .2 . Solving the equations. In this section we describe the relation

between a linear equation x' = Ax and the exponential of a matrix. We

start with an auxiliary result.

P rop osition 2.19. We have (e^*)' = Ae-^* for each t M, with the deriv

ative of e^* computed entry by entry.

P roof. We have

k=0

Since

E ^E n11*^11"=<+~>

CX) .. OO

k=o k=o

each entry of the matrix is a power series in t with radius of conver-

gence +oo. Hence, one can differentiate the series term by term to obtain

oo .

(e^*)' = E I'k t^-^A'^

k=l **

OO .

= Ae^

for each t R.

2.2. Equations with constant coefRcients 67

x' Ax with initial condition x{to) = xq is given by

x{t) = e^^^-^'>xo, t R. (2.17)

tion is unique, and by Proposition 2.1 its maximal interval is M. To complete

the proof, it is sufficient to observe that for the function x{t) in (2.17) we

have

x{to) = e^^xo = e^XQ = Idcco = xq,

and by Proposition 2.19,

x'{t) = = Ax{t).

This shows that x{t) is the desired solution.

all linear equations with constant coefficients in M and in R^. The following

example gives a complete description for scalar equations.

E xam ple 2.21. Consider the scalar equation x' = ax, where a G R. Its

phase portrait, shown in Figure 2.1 , depends only on the sign of the con

stant a. Namely, when a = 0 there are only critical points. On the other

hand, when o ^ 0 the origin is the only critical point, and the remaining

orbits R"*" and R have the direction indicated in Figure 2.1 .

a= 0

a> 0

o < 0

portraits based on the Jordan canonical form.

form

(Xr 0\

VO X2J

for some Ai,A2 R (we emphasize that we are not assuming that A is of

this form, but only that its Jordan canonical form is of this form). Let

68 2. Linear Equations and Conjugacies

Ai and A2- The solutions of the equation x' = Ax can be written in the form

x{t) = cie^^*ui + C2e^'^*V2, t G M, (2.18)

with ci,C2 G M. Now we consider several cases.

x{t)

V2 (2.19)

C26\2t

when t + 00, and hence, the solution x(t) has asymptotically the direction

of V2 (when t + 00). This yields the phase portrait shown in Figure 2.2,

and the origin is called a stable node.

t 00, and hence, the solution x{t) has asymptotically the direction of V2

(when t > 00). This yields the phase portrait shown in Figure 2.3, and

the origin is called an unstable node.

Case Ai < 0 < A2. Now there is expansion along the direction of V2 and

contraction along the direction of vi. The phase portrait is the one shown

in Figure 2.4, and the origin is called a saddle point.

Case Ai = 0 and A2 > 0. The solution in (2.18) can now be written in the

form

x{t) = civi + C2e^^*V2, t G M, (2.20)

with ci,C2 G R. Thus, for C2 7^ 0 the solution traverses a ray with the

direction of V2. On the other hand, the straight line passing through the

2.2. Equations with constant coefEcients 69

origin with the direction of vi consists entirely of critical points. This yields

the phase portrait shown in Figure 2.5.

gously, the phase portrait is the one shown in Figure 2.6.

form

x{t) = e^*xo, t M,

with xo M^. We note that there is no privileged direction, unlike what

happens in Figure 2.2, where there is an asymptote. Thus, the phase portrait

is the one shown in Figure 2.7, and the origin is called a stable node.

2.2. Equations with constant coefficients 71

Figure 2.8, and the origin is called an unstable node.

F ig u re 2 .8 . Case Ai = A2 > 0.

real eigenvalues.

(ol)

for some A G K. One can easily verify that the solutions of the equation

x' = Ax can be written in the form

x{t) = [(c i + C2t)vi + C2U2]e^ , t G E, (2.21)

with ci,C2 M, where ^;l,U2 G \ {0 } are vectors such that

Av\ = Avi and Av2 = Avi + V2- 2 22

( . )

Whenever ci ^ 0 or C2 0, we have

x{t)

/ \T7 ^ "^1

(ci + C2t)e^*

when t >+ 00 and when t >00. Now we consider three cases.

Case A < 0. The phase portrait is the one shown in Figure 2.9, and the

origin is called a stable node.

Case A > 0. The phase portrait is the one shown in Figure 2.10, and the

origin is called an unstable node.

72 2. Linear Equations and Conjugacies

Vl

Vl

particular, the straight line passing through the origin with the direction of

2.2. Equations with constant coefficients 73

v\ consists entirely of critical points. The phase portrait is the one shown

in Figure 2.11.

F ig u re 2.11. Case A = 0.

matrices with real entries the nonreal eigenvalues always occur in pairs of

conjugate complex numbers. Moreover, the eigenvectors associated to these

eigenvalues are necessarily in \ and thus, it is natural to use complex

variables.

and a ib, for some 6 7^ 0. The solutions of the equation x' = Ax in are

given by

x{t) = + C2C t R,

with ci,C2 G C, where vi,U2 \ { 0} are eigenvectors associated respec

tively to a + ib and a ib. Since the matrix A has real entries, one can take

V2 = vT- Indeed, it follows from Av\ = (a 4- ib)v\ that

and thus, v\ is an eigenvector associated to the eigenvalue o ib. Hence,

taking C2 = cT, we obtain

x{t) = e*[ci cos{bt) -I- ciisin(6t)]ui -I- e*[cTcos(6t) cTi sin(6t)]wr

(2.23)

= 2e*cos(6t)Re(cit;i) 2e sin(6t) Im (civi).

are in R^. Now we consider three cases.

74 2. Linear Equations and Conjugacies

Case a = 0. In this case the solution in (2.23) can be written in the form

Thus, the phase portrait is the one shown in Figure 2.12 or the one obtained

from it by reversing the direction of motion (this corresponds to change the

sign of b). The origin is called a center.

F ig u re 2.12. Case a = 0.

Case a > 0. The phase portrait is the one shown in Figure 2.13, and the

origin is called a stable focus.

Case a < 0. The phase portrait is the one shown in Figure 2.14, and the

origin is called an unstable focus.

2.3. Variation o f parameters formula 75

tions of the linear equation (2.1). We continue to assume that the matrices

A(t) Mn vary continuously with f G R.

continuous function. Given (to>a^o) R x R , the solution of the initial

value problem

ix' = A{t)x + b{t),

(2.24)

|a:(to) = xo

Jto

where X{t) is any fundamental solution of equation (2.1), with the integral

computed component by component.

f{ t ,x ) = A{t)x + b{t)

rem (Theorem 1.18), the initial value problem (2.24) has a unique solution.

Moreover, since the function s i-> X{t)X{s)~^b{s) is continuous (because the

entries of the inverse of a matrix B are continuous functions of the entries

of B), the integral in (2.25) is well defined and is finite for every to and t.

Thus, it follows from Theorem 1.46 that the function x{t) is defined for all

76 2. Linear Equations and Conjugacies

Jto

Jto

= A{t)x{t) + b{t).

The equations

geneous equation.

We also obtain a Variation of parameters formula in the particular case

of perturbations of the autonomous linear equation (2.9).

continuous function. Given (to, xo) R x R ", the solution of the initial

value problem

x' = Ax + b{t),

(2.26)

{: x{to) = Xo

has maximal interval R and is given by

Jto

solution, with maximal interval R. Hence, it is sufficient to observe that for

the function x{t) in (2.27) we have

as well as

Jto

= + e ^ ( * - ^ ^ b ( s ) ds^ + b (t)

= Ax(t) + b{t).

2.3. Variation o f parameters formula 77

rem 2.25. This is due to the fact that if X{t) is a fundamental solution of

equation (2.1), then in general may not be equal to X {t s),

although this property holds for equations with constant coefficients (see

Exercise 2.3).

Now we establish an auxiliary result.

real part, then there exist constants c , d > 0 such that

< ce-<^\ t > 0, (2.28)

with the norm in (1.40) obtained from any given norm ll-H in R .

P ro o f. Since the matrix A has only eigenvalues with negative real part, it

follows from (2.14) and (2.16) that for each entry aij{t) of there exist

constants Cij, dij > 0 and a polynomial pij such that

\aij (t) I < Cije~^^A (i) I, t > 0.

limsupylog(e"^'^ |py(t)|) = - d i j ,

t-^+OO ^

and hence, given e > 0, there exists Cij > 0 such that

e~^^i%j{t)\ < CijC-^'hj-e)t^ j. > 0.

|aii(i)| < CijCije~^hi~e)t^ t>0.

Taking e sufficiently small so that

d := min {dij e : i ,j = 1,... ,n] > 0,

we obtain

|ay(t)| < ce t > 0, (2.29)

where

c = max {cijCij : i ,j = 1 ,..., n }.

Now we recall that all norms in R* are equivalent, that is, given two norms

II-II and II'll', there exists C > 1 such that

c - lM < iH '< c | | x | |

for every x R . Since Mn can be identified with R*^^, taking m = n^

it follows from (2.29) that inequality (2.28) holds for some constant c.

equations of the form x' = Ax + b{t).

78 2. Linear Equations and Conjugacies

Exam ple 2.28. Under the hypotheses of Theorem 2.26, let us assume that

the matrix A has only eigenvalues with negative real part and that the

function b is bounded. Using (2.28), it follows from Theorem 2.26 that the

solution X = x{t) of the initial value problem (2.26) with to = 0 satisfies

Jq

for t > 0, where K = sup^>o ll^(^)ll- Thus,

|Wt)||<oe- ||xoll + ^ ( l - e - * ) A :

In this section we consider the particular case of the linear equations with

periodic coefficients. More precisely, we consider equations in R'^ of the form

x' = A{t)x, (2.30)

where the matrices A{t) G vary continuously with t G R, and we assume

that there exists T > 0 such that

A{t + r ) = A{t) (2.31)

for every t G R.

periodic if

F{t + T) = F{t) for every t G R.

The function F is said to be periodic if it is T-periodic for some T > 0.

every T > 0.

x' - a{t)x,

where a: R R is a periodic continuous function. The solutions are given

by ^

x{t) = exp o(s) d^x{to), t G R.

For example, when a{t) = 1 we have x{t) = e* *a;(to), and the only periodic

solution is the zero function. On the other hand, when a(t) = cos t we have

x{t) =

and for a;(to) ^ 0 the solution is a nonconstant 27r-periodic function.

2.4. Equations with periodic coefRcients 79

periodic coefficients. We continue to denote by M the set of n x n matrices.

tion, then any fundamental solution of equation (2.30) is of the form

X{t) = P{t)e^\ (2.32)

where B and P{t) are n x n matrices for each t E, with

P (t + T) = P (t), teR . (2.33)

tion (2.30), then

X'{t + T) = A{t -h T)X{t + T) = A{t)X{t -h T) (2.34)

for t G E. Hence, Y{t) = X{t-\- T) is also a fundamental solution of equa

tion (2.30), and by Proposition 2.9 there exists an invertible n x n matrix C

such that

X {t + T ) = X {t )C (2.35)

for t E. On the other hand, since C is invertible, there exists an n x n

matrix B such that = C. It can be obtained as follows. Let S be an

invertible n x n matrix such that S~^CS has the Jordan canonical form

in (2.12). For each matrix Rj = A^-Id -|- Nj, with ^ 0 (because C is

invertible) and Nj an Uj x nj matrix as in (2.15), we define

aJ J

( _ l ) m + l ^ :m

3

^{logXj)ld-\-J2 m\f

m=l

where logAj is obtained from branch of the complex logarithm. One can

verify that = R j for each j (see for example [16]). This implies that

the matrix

''log R\ 0

B = ^S (2.36)

0 log Rkj

satisfies = C. Now we define n x n matrices

P{t) = X{t)e~^^

for each t e R. It follows from (2.35) (see also Exercise 2.3) that

P{t -I- T) = X(t +

= X(t)e-^* = P{t).

80 2. Linear Equations and Conjugacies

We note that the matrix B in (2.32) is never unique. Indeed, if = C,

then

exp [(5 + m{2m/T)ld)T] = C

for every m g Z. We also observe that the matrix P(t) is invertible for every

t 6 M, because by Proposition 2.7 all matrices X{t) are invertible.

We continue to consider a T-periodic continuous function A{t) and we

introduce the following notions.

a) an invertible matrix C M such that X{t + T) = X{t)C for every

t R is called a monodromy matrix of equation (2.30);

b) the eigenvalues of a monodromy matrix C are called characteristic

multipliers of equation (2.30);

c) a number A G C such that is a characteristic multiplier is called

a characteristic exponent of equation (2.30).

nents are independent of the monodromy matrix that was used to define

them. This is an immediate consequence of the following result.

If X (t) and Y (t) are fundamental solutions of equation (2.30) with mon

odromy matrices, respectively, C and D, then there exists an invertible n x n

matrix S such that

S-'^CS = D. (2.37)

X{t-\-T) = X {t)C and Y{t-i-T) = Y { t ) D (2.38)

for every t G R. On the other hand, it follows from (2.34) that X{t-\-T) and

Y{t -\-T) are also fundamental solutions. Thus, by Proposition 2.9, there

exists an invertible n x n matrix S such that

Y{t -HT) = X {t -1- T)S

for every t G R. Therefore,

Y(t + T) = X{t)CS = Y{t)S~'^CS. (2.39)

Comparing (2.39) with the second identity in (2.38) yields (2.37).

starting with the particular case of constant coefficients.

2.4. Equations with periodic coefficients 81

E xam ple 2.34. When there exists a matrix A G Mn such that A{t) = A

for all t E, one can take any constant T > 0 in (2.31). It follows from

Floquets theorem (Theorem 2.31) that there exist matrices B and P{t) such

that

= P{t)e^^ (2.40)

for every t G R. Since At and AT commute, we have

g4(t+T) ^

tion (2.30). Now let S be an invertible n x n matrix such that has

the Jordan canonical form in (2.12). Proceeding as in (2.36), one can take

B = i5 1 o g (S -lg 4 T .S)S~^

T

1

= ^<51oge(^ -^AS)Tg-\

/log 0

log 6^*=^

0 \

RkTj

0 \

S~^ = A,

Rkj

and it follows from (2.40) that P{t) = Id for every t G R.

For example, taking T = 1, a monodromy matrix of the equation x' = Ax

is C = e^. Hence, the characteristic multipliers are the numbers G C,

where A i,. . . , A are the eigenvalues of A, and the characteristic exponents

are A i,. . . , A, up to an integer multiple of 27tz.

Exam ple 2.35. Consider the linear equation with 27r-periodic coefficients

/x Y _ / l 2 -|- sin t ^

\yj ~ VO - c o s t /( 2 + sint)y '

One can easily verify that the solutions are given by

with c, d G R. Hence, a fundamental solution is

-1

^ (0 =

1/(2 -t- sinf)

82 2. Linear Equations and Conjugacies

C = X(0)"^X(27 t)

^0 2\ f - 1 o27T

.1 2 ^ 1 / 2 0

Therefore, the characteristic multipliers are 1 and

the asymptotic behavior of the solutions of a linear equation with periodic

coefficients.

Then X is a characteristic exponent of equation (2.30) if and only if e^*p{t)

is a solution of equation (2.30) for some nonvanishing T-periodic function p.

some nonvanishing T-periodic function p. It follows from Floquets theorem

(Theorem 2.31) that there exists xq R such that

e^*'p{t) P{t)e^^XQ

for t G R. Moreover, it follows from (2.33) that

that is.

.Bt BtBT

e^^P(t)e'^*xo = P(t)e-*e XQ.

Therefore,

P(t)e'*(e^^-e^^Id)xo = 0.

Since P{t)e^*' is invertible for each t R, the number e^^ is an eigenvalue

of the monodromy matrix and A is a characteristic exponent.

Now we assume that A is a characteristic exponent. Then e^^ is an

eigenvalue of It follows immediately from Propositions 2.17 and 2.18

that if jx is an eigenvalue of B, then is an eigenvalue of with the

same multiplicity. This implies that A is an eigenvalue of P, up to an integer

multiple of 27ri. Hence, there exists xq E R^\{0} such that B xq = Ascq, and

e^^XQ = e^^XQ

for t R. Multiplying by P(t), we obtain the solution

P{t)e^^XQ = e^^P{t)xQ = e^*p{t),

where p{t) = P{t)xo- Clearly, the function p does not vanish, and it follows

from (2.33) that

p{t + r ) = P{t + T)xo = P{t)xQ = p{t).

This completes the proof of the proposition.

2.4. Equations with periodic coefficients 83

trices A{t) do not determine the asymptotic behavior of the solutions.

E xam ple 2.37 (Markus-Yamabe). Consider the equation x' A{t)x in

with

. / . _ 1 / 2-1-3 cos^t 2 3 sin t cos t''

2 y2 3 sintcost 2-1-3sin^t

One can easily verify that the eigenvalues of the matrix A{t) are {li^/7)/4

for every t 6 M. In particular, they have negative real part. On the other

hand, a fundamental solution is

cos t e * sin t

X {t) = (2.41)

e*/^sint e~*cost

and so there exist solutions growing exponentially. Incidentally, by Propo

sition 2.36, it follows from (2.41) that the characteristic exponents are 1/2

and 1.

Proposition 2.36 also allows one to establish a criterion for the existence

of T-periodic solutions.

If 1 is a characteristic multiplier of equation (2.30), then there exists a

nonvanishing T-periodic solution.

Proposition 2.36, there exists a nonvanishing T-periodic function p such

that x{t) = e^*p{t) is a solution of equation (2.30). We have

x{t -f T) = -h T)

= e^^e^p(t) = x{t)

for every t G R, and the function x is T-periodic.

Now we describe how one can obtain some information about the char

acteristic multipliers and the characteristic exponents without solving ex

plicitly the equation.

If the characteristic multipliers of equation (2.30) are pj e^i'^, for j =

1 , . . . ,n, then

pi

rT

J J p j = exp / tr.4(s)ds (2.42)

j=l ''0

and

1 /-T

= / tryl(s)ds (mod 27ri/T). (2.43)

T Jo

84 2. Linear Equations and Conjugacies

odromy matrix C. It follows from (2.35) and Liouvilles formula (Theo

rem 2.10) that

det X {t + T)

d e tC =

detX (t)

(2.44)

/

t+T

rt+T

tr>l(s) ds = exp JP i

tr.4(s)ds,

characteristic multipliers are the eigenvalues of C, identity (2.42) follows

immediately from (2.44). For identity (2.43), we first note that

n p ,= n e ^ ^ ^ = e x p (r x :A A

j= l j= l \ j= l /

\ j=i J

This yields the desired result.

the existence of unbounded solutions in terms of the sign of

n

s= Rey^ Aj,

3=1

where the numbers Xj are the characteristic exponents. If s > 0, then there

exists j such that Re Xj > 0, and it follows from Proposition 2.36 that there

is an unbounded solution in R'*'. On the other hand, if s < 0, then there

exists j such that Re Xj < 0, and it follows from Proposition 2.36 that there

is an unbounded solution in R .

\x' = x + y,

(2.45)

= X + (cos^ t)y.

We note that the matrix

1 1

A{t) =

1 cos^ t

is TT-periodic. Since

/*7T /7T

/ tr A(s) d s = (1 -|- cos^ s) ds > 0,

Jo Jo

2.5. Conjugacies between linear equations 85

1

Re(Ai -|- A2) = / (1 "I" cos^ s) ds > 0,

7T Jq

where Ai and A2 are the characteristic exponents. Hence, by Example 2.40,

there exists a solution of equation (2.45) that is unbounded in R"*".

x" + p{t)x = 0,

where p; M R is a T-periodic continuous function. Letting x' = y, the

equation can be written in the form

/

0 lA fx^

(2.46)

-p {t) 0) I y ,

We note that the matrix

A(t) =

-p(t) 0

is T-periodic. Since tr>l(t) = 0 for every t G R, it follows from Proposi

tion 2.39 that

rT

P1P2 = exp / tr j4( s) ds 1,

Jo

where pi and p2 are the characteristic multipliers. Taking A G C such that

= Pi and = p2, it follows from Proposition 2.36 that there exist

solutions e^*pi(t) and e~^*p2{t) of equation (2.46), where pi and p2 are

nonvanishing T-periodic functions.

In this section we describe how to compare the solutions of two linear differ

ential equations with constant coefficients. To that effect, we first introduce

the notion of conjugacy.

the problems in which we are interested.

x' = X and y' = 2y. (2.47)

The solutions are given respectively by

x{t) e*x{0) and y' = e^*y{0),

and have maximal interval R. The phase portrait of both equations in (2.47)

is the one shown in Figure 2.15.

86 2. Linear Equations and Conjugacies

This means that from the qualitative point of view the two equations

in (2.47) cannot be distinguished. However, the speed along the solutions

is not the same in both equations. Thus, it is also of interest to compare

the solutions from the quantitative point of view. More precisely, we want

to find a bijective transformation /i : R >M such that

Namely, for each t G R we define transformations i^t, : R R by

One can easily verify that the families of transformations (ft and ipt are flows

(see Definition 1.11). Identity (2.48) can now be written in the form

h o(ft = tptoh,

<pt

I'*

>f>t

When identity (2.48) holds, the solution x{t) = e*x{0) of the first equa

tion in (2.47) is transformed bijectively onto the solution y{t) = e^ h(x(0))

of the second equation. In particular, we must have h{0) = 0, since the

only critical point of the first equation must be transformed onto the only

critical point of the second equation (or h would not transform, bijectively,

solutions onto solutions).

Assuming that h is differentiable, one can take derivatives with respect

to t in (2.48) to obtain

h'{e*x)e^x = 2e^*h(x).

h'{x) 2

= for X G R \ {0 }

h{x)

2.5. Conjugacies between linear equations 87

Integrating on both sides, we obtain

log|/r(a;)| = log(a;^) + c

for some constant c This is the same as

h(x) = ax^

for some constant a E \ {0 }, with a; > 0 or a; < 0. In order that h is

bijective, we take

ax if a; > 0,

h{x) = < 0 if a; = 0, (2.49)

bx^ if a: < 0,

where o, 6 R are constants such that ab < 0. One can easily verify that

h is differentiable in R, with h'{0) = 0. Incidentally, the inverse of h is not

differentiable at the origin.

ogous manner to that in Example 2.43, we consider the linear equations

x' = Ax and y' = By (2.50)

in R , where A and B are n x n matrices. The solutions are, respectively,

x{t) = e^ a:(0) and y{t) = e^*'y{0),

and have maximal interval R.

D efinition 2.44. The solutions of the equations in (2.50) are said to be:

a) topologically conjugate if there is a homeomorphism /i: R ^ R

(that is, a bijective continuous transformation with continuous in

verse) such that

h{e^^x) = e^^h{x) (2.51)

for every t R and a; 6 R ;

b) differentially conjugate if there is a diflFeomorphism h (that is, a bi

jective differentiable transformation with differentiable inverse) such

that identity (2.51) holds for every t G R and x E R ;

c) linearly conjugate if there is an invertible linear transformation h

such that identity (2.51) holds for every t e R and x E R .

We then say, respectively, that h is a topological, differentiable and linear

conjugacy between the solutions of the equations in (2.50).

define transformations R ^ R by

(pt(x) = and ipt{x) = e^^x.

88 2 . Linear Equations and Conjugacies

ho(pt = iptoh,

which corresponds to the commutative diagram

ipt

then they are differentially conjugate (since any invertible linear transforma

tion is a diffeomorphism), and if the solutions are differentially conjugate,

then they are topologically conjugate (since any diffeomorphism is a home-

omorphism).

tween the various notions of conjugacy. We first show that the notions of

linear conjugacy and differentiable conjugacy are equivalent for the linear

equations in (2.50).

P rop osition 2.45. The solutions of the equations in (2.50) are differentially

conjugate if and only if they are linearly conjugate.

they are differentially conjugate.

Now let h: K R " be a differentiable conjugacy. Taking derivatives

in identity (2.51) with respect to x, we obtain

d^At^he'^* = e^^dxh,

where dxh is the Jacobian matrix of h at the point x. Taking x = 0 yields

the identity

= e- C, (2.52)

where C = doh. We note that C is an invertible n x n matrix. Indeed,

taking derivatives in the identity h~^{h{x)) = x, we obtain

dh(o)h-^C = ld,

which shows that the matrix C is invertible. For the invertible linear trans

formation R'^ R given by g{x) = Cx, it follows from (2.52) that

5 (e^*x) = e^^g{x)

2.5. Conjugacies between linear equations 89

ear equations it is sufficient to consider linear conjugacies and topological

conjugacies.

the bijective differentiable transformations h: R -> R that are topologi

cal conjugacies between the solutions of the equations in (2.47) take the

form (2.49) with ab < 0. Since none of these functions is linear, there are no

linear conjugacies and it follows from Proposition 2.45 that there are also no

differentiable conjugacies. Indeed, as we already observed in Example 2.43,

the inverse of the function h in (2.49) is not differentiable.

terms of the matrices A and B in (2.50).

P rop osition 2.47. The solutions of the equations in (2.50) are linearly

conjugate if and only if there exists an invertible n x n matrix C such that

A = C~^BC. (2.53)

P ro o f. We first assume that the solutions are linearly conjugate, that is,

identity (2.51) holds for some invertible linear transformation h{x) = Cx,

where C is thus an invertible matrix. Then identity (2.52) holds and taking

derivatives with respect to t, we obtain

CAe^^ = Be^^C.

Now we assume that there exists an invertible n x n matrix C as in (2.53).

Then

x' = Ax x' = C~^BCx (Cx)' = B{Cx).

Solving the first and third equations, we obtain

Ce^*x(0) = e-*C'x(0),

and since the vector x(0) is arbitrary we obtain (2.52). Hence, identity (2.51)

holds for the invertible linear transformation h{x) = Cx.

(2.50) are linearly conjugate if and only if A and B have the same Jordan

canonical form.

90 2. Linear Equations and Conjugacies

of topological conjugacy. Since it is not as stringent as the notions of dif

ferentiable conjugacy and linear conjugacy, it classifies less equations. In

other words, the equivalence classes obtained from the notion of topologi

cal conjugacy have more elements. However, for the same reason, it allows

us to compare linear equations that otherwise could not be compared. For

example, one can obtain topological conjugacies between the solutions of

equations whose matrices A and B have different Jordan canonical forms,

in contrast to what happens in Proposition 2.47 with the notion of linear

conjugacy.

A detailed study of topological conjugacies falls outside the scope of the

book, and we consider only a particular class of matrices.

eigenvalues have nonzero real part.

entries (for a proof based on Rouches theorem see, for example, [5]). Thus,

a matrix obtained from a sufficiently small perturbation (of the entries of)

a hyperbolic matrix is still hyperbolic.

of eigenvalues of A with positive real part, counted with their multiplicities.

between equations with hyperbolic matrices.

P roof. We first assume that m{A) 0. We then explain how one can obtain

the result from this particular case. We construct explicitly topological

conjugacies as follows.

Step 1. Construction of an auxiliary function. Define a function 5 : R R

by

POO

q (x )= /

Jo

where H-H is the norm in R'^ given by

n \ 1/2

||(xi,...,a:n)|| = ( '^ x :

2 \

i=l

2.5. Conjugacies between linear equations 91

Since A has only eigenvalues with negative real part, by Proposition 2.27

there exist constants c,/n>0 such that ||e"^*|| < for every t > 0. This

implies that

fO O POO

Jo Jo

and thus, the function q is well defined. Denoting by B* the transpose of a

matrix we observe that

P^oo

OO

Jo (2.55)

x*{e^^y e^^xdt = x*Cx,

= /

where POO

Jo

C= / *e^^dt

without terms of degree 0 or 1. In particular,

/ a; \ ^

(2.56)

llN M IMP

for a; 0. Thus, taking

a = min{g(a;) : ||a:|| = 1 } and P = max{g(a;) : ||x|| = 1},

it follows from (2.56) that

a||a;f < q{x) < P\\x\^. (2.57)

||e"^*a;|| >0 when s +oo

and

||e"^x|| >+ 0 0 when s -> oo. (2.58)

The first property follows immediately from Proposition 2.27. For the second

property, we note that the matrix is nonsingular (see Exercise 2.3), and

hence 0 for x 7^ 0. Now we consider the root spaces of A, that is,

= {x C : (A AId)^x = 0 for some A: G N}

for each eigenvalue A of A. We recall that = 0_j^ F\, where the direct

sum is taken over all eigenvalues of A, counted without their multiplicities.

Hence,

E^ = 0 (R nF A ).

A

In particular, given x \ {0 }, there exists at least one eigenvalue A of A

such that the component of x in R n F\ is nonzero. Thus, by (2.16), in

92 2. Linear Equations and Conjugacies

entries of the matrix

Bt 1 _^7711jym

= e^Hld + tN + --- +

(m 1)!

where B = Aid + iV is an m x m Jordan block, have the same property. To

that effect, we note that if A has negative real part and p{t) is a nonzero

polynomial, then

\e^^p{t)\ > +0 0 when t oo.

We proceed with the proof of the theorem. It follows from (2.57) that

the image of the function s i-> q{e^^x) is On the other hand, we have

poo pc

q(e^^x)= / \\e^^*+^^xfdt= / dt, (2.59)

Jo Js

there exists a unique tj, G R such that q{e^^^x) = 1. Now we define a

transformation h : R >R " by

h{x) = (2.60)

0 if X = 0,

where

poo

q {x )= ||e^*x|pdt. (2.61)

Jo

Since

g(g>lOx-<)e^*x) = q{e^^"^x) 1,

we have = tx t. Therefore,

^ - B { t x - t ) p A { U - t ) At

X

h{e^*'x) = q,(gy4(txf) QAtg.'^1/2

= e^*h(x).

g(gAtxx)l/2

conjugacy, it remains to verify that h is a homeomorphism.

Step S. Continuity of h. It follows from (2.59) and the Implicit function

theorem that the function x ^- tx is differentiable (outside the origin). On

the other hand, proceeding as in (2.55), one can show that 5 is a polynomial

of degree 2 in R , without terms of degree 0 or 1. Thus, it follows from (2.60)

that the transformation h is differentiable outside the origin. Now we show

that h is continuous at x = 0. Proceeding as in (2.56) and taking

a = min{g(x) : ||x|| = 1 } and ^ max{g(x) : ||x|| = 1 },

2.5. Conjugacies between linear equations 93

we obtain

a||a;f < q{x) < B\\x\\^. (2.62)

By (2.62), in order to show that h is continuous at the origin it is sufficient

to prove that q{h{x)) 0 when a; > 0. By (2.60), for a; 0 we have

q{e

q{h{x)) =

q{e^*^^x)

On the other hand, it follows from (2.61) that

poo

q{e~^^^e^^^x) = / < ||e -**||^g(e^ *a;),

^0

and hence,

q{h{x))<\\e-^^^f. (2.63)

Now we observe that, by (2.59),

poo

q{e^*^x) = / ||e'^*a;|pdt = 1.

Jtx

Thus, tx 00 when x > 0. Since B has only eigenvalues with negative

real part, it follows from (2.63) that q{h{x)) > 0 when x 0. This shows

that h is continuous in E .

g \E " -> E by

{ q-A sxqBsx'x/g(e'*x)^/^

^ if X ^ 0,

g{x) =

0 if X = 0,

poo

q{e^^^x) = / ||e^ x|pdt = 1

^ Sx

(it can be shown in a similar manner to that for tx that the number Sx exists

and is unique). We have

r

g{e^ -h{x)) = / dt = 1 ,

/o g(e^*x)

and the uniqueness of implies that 5/1(3.) = ix- Thus, for x ^ 0 we have

g g Btx ^-Atx^

g(h{x)) =

g,(gBia;/j^(x))l/2g(g/lta:x)l/2

X

q,(gBtj;/j(3.))l/2g(gAt*x)l/2

94 2. Linear Equations and Conjugacies

Since

q{e^*^h{x)) = q q(e,Atxy.y.l2

q{e^^^x) 1

q{e^^^x)

we obtain g{h{x)) = x iox x ^ Q. We also have ^(h(0)) = 5 (0) = 0, which

shows that g is the inverse of h. In order to show that g is continuous one

can proceed as for h, simply interchanging the roles of A and B. Summing

up, h is a homeomorphism.

the general case to the case of matrices with m{A) = 0. Making appropriate

changes of coordinates, one can always assume that the matrices A and B

have, respectively, the forms

where the indices + correspond to the eigenvalues with positive real part

and the indices correspond to the eigenvalues with negative real part. It

follows from (2.54) that the matrices A^ and have the same dimension,

say n+, and that the matrices A - and B - also have the same dimension,

say n_. We write x = (x+,x-), with x+ and x_ By (2.64),

the equations in (2.50) can be written, respectively, in the forms

and (2.65)

x'_ = A -X - x'_ = B -X -.

By the result for m{A) = 0 and the corresponding result for eigenvalues

with positive real part, there exist topological conjugacies and h_, re

spectively, between the solutions of the equations

One can easily verify that the transformation h : E > M" defined by

The following is an application of Theorem 2.50.

2.5. Conjugacies between linear equations 95

-1 1 -1

^ l= (~ n ^ .) > A 2 = ( ~ n = . -^4 =

-1 -1 0

The corresponding linear equations x' = AiX in have the phase portraits

shown in Figure 2.16. One can easily verify that the four matrices Ai are

hyperbolic, with m(Ai), respectively, equal to 0, 0,0 and 1 for i = 1 , 2,3,4.

Hence, it follows from Theorem 2.50 that the solutions of the first three

equations are topologically conjugate and that they are not topologically

conjugate to the solutions of the last equation. On the other hand, since the

four matrices have different Jordan canonical forms, it follows from Propo

sitions 2.45 and 2.47 that the solutions of these equations are neither differ

entially conjugate nor linearly conjugate.

A4

96 2 . Linear Equations and Conjugacies

gacies explicitly. We describe briefly the construction. For each x ^ 0, let

tx K be the unique real number such that

dt = 1 (2.67)

/

Jtx

(it is shown in the proof of the theorem that tx is well defined). Then a

topological conjugacy h: R " M between the solutions of the equations

x' = Ax and y' = By is given by (2.60), that is,

_ j if x ^ 0,

h(x) = ( 2.68)

0 if a: = 0.

"-1 0 -1 1

and B=

0 -1 0 -1

We have

At _ ( e * 0 _ /e -

e = and eBt

0 e - VO e - 'J

We^^xf = e~^\y'^ +

fJtx A

Thus,

^ 1,

and

2 . ^2

e =

^ [ y + I log 2^

0 \ } \z

2.6. Exercises 97

roo poo II

+ tz

/ \\e^^e^^-xfdt= / e - dt

Jo Jo W z

poc

= / e 2J2 + z^)dt

+ 2 tyz+ i^z^

Jo

= e-2tx + 2 y ^ + i^

+ yz + - z

y2 + ^;2 / z, r + ^

h{y,z) =

y2 + +

in the case of nonhyperbolic matrices, as the following example illustrates.

= and

\y = a x [y = by

for some constants a, 6 > 0. One can easily verify that they have the same

phase portrait; namely, the origin is a critical point and the remaining orbits

are circular periodic orbits centered at the origin and traversed in the neg

ative direction. However, when a ^ b the periods of the periodic orbits are

different in the two equations. Namely, in polar coordinates the equations

take respectively the forms

fr ' = 0, f r ' = 0,

and

\e' = a [0' = b,

and thus, the periods of the periodic orbits are, respectively, 2-n/a and 27c/b.

When a ^ b , this prevents the existence of a topological conjugacy between

the solutions of the two equations, because it would have to transform peri

odic orbits onto periodic orbits of the same period.

2.6. Exercises

0 -2

A=

0

98 2. Linear Equations and Conjugacies

A M such that for the equation x' = Ax:

a) all solutions are bounded;

b) all solutions are bounded for t > 0;

c) all solutions converge to the origin.

E xercise 2.3. For a matrix A 6 Mn, consider the equation x' = Ax.

a) Use (2.10) to show that = Id for each t M. Hint: Compute

the derivative of the function t !-)

b) Show that

^A(t-s) ^ ^At^-As for every t,s e (2.69)

c) Use Theorem 2.25 and identity (2.69) to give an alternative proof of

Theorem 2.26.

d) Show that dete"^ =

[A,[A,B]] = [B ,[A ,B ]]^ i),

where [A, B] = BA AB, then

gAtgBf ^ ^{A+B)t^[A,B\tV^^ t e M.

x{t) =

is a solution of the equation x' = t[A, B]x for each xq

I g ifA glA _ Q %A

COSA = ------ T------ and sin A =

2i

Compute these functions for the matrices

^0 0 0^

B= and (7=11 0 0

.0 1 0>

a:

a) Find all solutions of the equation.

b) Identify the following statement as true or false: There exists a non-

rT

vanishing T-periodic solution if and only if Jq o(s) ds = 0.

2.6. Exercises 99

unbounded solution in R"*" if and only if / q a(s) ds ^ 0 for some t > 0.

Exercise 2.7. For equation (2 .1), show that if trA(t) = 0 for every t R,

then given n linearly independent solutions x i,. ..,Xn, the volume deter

mined by the vectors x i ( x ) ,. . . , Xn{t) is independent of t.

,yj ~ [g{t) m j U ;

Exercise 2.9. Let o , 6 : R > R be T-periodic continuous functions. Show

that if the equation x' = a{t)x has no T-periodic solutions other than the

zero function, then the equation x' = a{t)x -|- b{t) has a unique T-periodic

solution.

' x' = X cos^ t z sin(2t),

< y' = X sin(4t) -t- y sin t 4z,

2' = xsin(5t) 2 cost

has at least one unbounded solution.

equation

(x' = f(x ,y ),

(2.70)

\y' = g{x,y)

has the phase portrait in Figure 2.17.

the equations:

x' = 2x, [ x' = 3x,

and

y = -y,

x' = 2x y,

and y' = - 2y,

z' = 2z.

a solution of the equation x' = A{t)x. Show that:

a) for each t > 0,

Jo

100 2. Linear Equations and Conjugacies

E xercise 2.14. Show that if x{t) and y{t) are, respectively, solutions of the

equations

x' = A{t)x and y' = A{t)*y

in M , then {x{t),y{t)) is independent of t, where (,) is the usual inner

product in R"'.

x' = A{t)x, then Y(t) = is a fundamental solution of the equation

y' = -A (t)*y.

E xercise 2.16. Show that if A{t) = A{t)* for every t M, then ||a;p is

an integral of the equation x' = A{t)x.

gacy.

that

/ ( t + T ,x,A ) = f{t,x ,X )

for every {t, x,X) G R x R x R^. Assuming that x(t) is a T-periodic solution

of the equation x' = f{t, x, 0) and that the only T-periodic solution of the

linear variational equation

2.6. Exercises 101

is the zero function, show that given e > 0, there exists 5 > 0 such that if"

llAll < S, then there exists a unique T-periodic solution x\{t) of the equation

x' = f{t, X, A) satisfying

-a;(t)|| < for t e

Solutions.

cos(\/2t) \/2 sin(-\/2<)A

2 .1 ---

sin(V^f) / \ / 2 cos(V^t) J '

2.2 a) A has only eigenvalues with zero real part and diagonal Jordan

block.

b) A has no eigenvalues with positive real part and each eigenvalue

with zero real part has diagonal Jordan block.

c) A has only eigenvalues with negative real part.

sin (7

y{t) aexpjQ(f(^s)+g(s))dsbexpjQ[f(^s'^_g^g'j'jds, with a, 6

2 .1 2 a) h{x,y) = {sgnx- |xp/^,sgri2/- \y\^^^).

b) h{x,y,z) = if{x ,y ),g {z )), where g{z) = ggn^ \z\^/^ and

0

f{x ,y ) = if (x,y) = (0, 0),

I log 2- ^ if (s, y) 7^ (0, 0)

Part 2

Stability and

Hyperbolicity

Chapter 3

Functions

bility for a solution of an ordinary differential equation. In paiticular, for

nonautonomous linear equations we characterize the notions of stability and

asymptotic stability in terms of the fundamental solutions. We also show

that the solutions of a sufficiently small perturbation of an asymptotically

stable linear equation remain asymptotically stable. Finally, we give an in

troduction to the theory of Lyapunov functions, which sometimes allows one

to establish in a more or less automatic manner the stability or instability

of a given solution. For additional topics we refer the reader to [20, 24, 25].

the equation

x' = f{t,x ). (3.1)

We assume that for each (to, xq) D there exists a unique solution x{t, to, xq)

of the initial value problem

ix' = f{t,x ),

|a;(to) = XQ.

solution of equation (3.1). Essentially, a solution x{t) is stable if all solutions

with sufficiently close initial condition remain close to x{t) for all time.

7^

106 3. Stability and Lyapunov Functions

D efinition 3.1. A solution x{t, to, xq) of equation (3.1) defined for all t > to

is said to be stable if given e > 0, there exists 5 > 0 such that if l|xo^oll <

then:

b) ||a:(t,to,a:o) - a;(t,to,So)H < e for t > to-

X' = y ,

(3.2)

y' = - x - y.

and thus, the conditions in Definition 3.1 are satisfied for the zero solution

(with to arbitrary and xo = 0). This shows that the critical point (0, 0) is

a stable solution. Alternatively, note that the matrix of coefficients of the

linear equation (3.2) has eigenvalues (1 it iy/3)/2, both with negative real

part.

r' = 0,

(3.3)

{ e' = /( r ) ,

The phase portrait is the one shown in Figure 3.1: the origin is a critical

point and the remaining orbits are circular periodic orbits centered at the

origin.

It follows from (3.3) that each periodic orbit has period 2n/f{r). Since

/'(r o ) 7^ 0, for r 7^ To sufficiently close to ro the corresponding periodic orbit

is traversed with angular velocity /( r ) 7^ f{ro)- This yields the following

property. Let x{t) and xo(t) be solutions of equation (3.3) such that x{to)

and xo(to) are, respectively, on the circles of radius r and tq. Given x{to)

arbitrarily close to xo(to)) there exists t > to such that x{t) and xo{t) are on

the same diameter of the periodic orbits, but on opposite sides of the origin.

This shows that the second condition in Definition 3.1 is not satisfied, and

thus the solution xo(t) is unstable.

3.1. Notions o f stability 107

stability for a solution.

D efinition 3.4. A solution x(t, to, xq) of equation (3.1) defined for all t > to

is said to be asymptotically stable if:

a) x(t,to,xo) is stable;

b) there exists o: > 0 such that if ||o;o ~ ^o|| < <^, then

||a;(t, to, xo) x(t, to, xo) ||>0 when t -> +oo.

stable it is not sufficient that the second condition in Definition 3.4 is satis

fied.

r' = r ( l r),

{ (3.4)

e' = sin2(0/ 2).

Its phase portrait is shown in Figure 3.2. We note that the critical point

(1,0) is a solution satisfying the second condition in Definition 3.4 but not

the first one (it is sufficient to consider, for example, the solution on the

circle of radius 1 centered at the origin).

\r' = r ( l r),

(3.5)

I e' = s in 2 e.

108 3. Stability and Lyapunov Functions

Its phase portrait is shown in Figure 3.3. We note that since the angular

velocity O' does not depend on r, for any ray L starting at the origin the set

Lt = {x{t,tQ,xo) : xo L }

is still a ray (starting at the origin) for each t > to. This implies that each

solution outside the straight line y = 0 is asymptotically stable. On the

other hand, all solutions on the straight line y = 0 are unstable.

3.2. Stability o f linear equations 109

studying the general case, we consider the particular cases of the equations

with constant coefficients and periodic coefficients.

that in what concerns the study of the stability of linear equations it is

sufficient to consider the zero solution.

tion (3.6), the zero solution (with arbitrary initial time to) is stable (respec

tively asymptotically stable) if and only if all solutions are stable (respectively

asymptotically stable).

tion of equation (3.6). By Theorem 2.8, the solution of the initial value

problem (2.2) has maximal interval R and is given by

It follows from (3.7) that the zero solution (with initial time to) is stable if

and only if given e > 0, there exists <5 > 0 such that

for t > to. Since X(t)X(to)~^ is a linear transformation, this is the same as

or equivalently,

for t > to and xo R . Therefore, the zero solution (with initial time <o) is

stable if and only if all solutions (with initial time to) are stable.

For the asymptotic stability, we note that since X (t)X (to ) ^ is linear,

we have

lim ||X(t)X(to) ^a;o| | = 0 when ||a:o|| < a (3.9)

if and only if

t>H-oo

for every xo R". This shows that the zero solution (with initial time to)

is asymptotically stable if and only if all solutions (with initial time to) are

asymptotically stable.

no 3. Stability and Lyapunov Functions

Step 2. Independence from the initial time. It remains to verify that the

stability and asymptotic stability of the zero solution are independent from

the initial time to- To that effect, take ti ^ to and note that

X{t)X{ti)-^ = X {t )Xit o)-^ X{t o)Xiti)-\

It follows from (3.8) that given e > 0, there exists <5 > 0 such that

||X(t)X(ti) ^a;o|| < e when ||X(to)^(ti) ^a;o|| < <5,

and thus,

for t > to- If ti > to, then property (3.10) holds for t > ti. On the other

hand, for ti < to the function t i-)- X {t)X{ti)~^ is continuous in [ti,fo]-

Taking

\\Xito)X{h)-

6<

inaxt6[ti,eo) ll^ (0 ^ (^ i) Mr

we obtain

||X(to)X(ti) ^xo|| < max ||X(t)X(ti) Ml llo|| < S < e

te[ti,to]

for t 6 [ti, to] and xo as in (3.10). Therefore, property (3.10) holds for t > t\.

This shows that if the zero solution is stable with initial time to, then it is

stable with any initial time.

Now we assume that the zero solution is asymptotically stable with initial

time to. It follows easily from (3.9) that

lim X (t) = 0,

t >^+oo

and thus.

lim ||Z(t)X(ti) - ^ | | = 0

t>+00

for every ti M and xo M . This shows that the zero solution is asymp

totically stable with any initial time.

It follows from Proposition 3.7 that for equation (3.6) the zero solution

(with arbitrary initial time to) is unstable if and only if all solutions are

unstable.

In view of Proposition 3.7 it is natural to introduce the following notion.

ically stable or unstable) if all its solutions are stable (respectively, asymp

totically stable or unstable).

stability for the nonautonomous linear equation x' = A{t)x.

3.2. Stability o f linear equations 111

fundamental solution of equation (3.6). Then the equation is:

a) stable if and only if sup {|lX(t)|| : t > 0 ] < + oo;

b) asymptotically stable if and only if

||X(t) | | >-0 when t + o o .

P ro o f. It follows from Proposition 3.7 and (3.8) that the zero solution is

stable (with arbitrary initial time to) if only if given > 0, there exists

(5 > 0 such that

||X(t)X(0) ^a;o|| < when ||a;o|| < (5,

for t > 0. Thus, if the zero solution is stable, then

||X(t)X(0)-ia:o|

||X(t)X(0)"^|| = sup

xo^O l o||

||X(t)X(0)-H.5xo/||xo||)||

S ||<5o/lko||||

_ ||X(t)X(0)-So||

7=s l yoll 4

for t > 0, and hence,

sup {||X(t)|| : t > 0 } < sup {||X(t)X(0) ^|| : t > 0 }||X(0)||

(3.11)

< ffl< + o o .

On the other hand, if the supremum in (3.11) is finite, then there exists

C > 0 such that

||X(t)||<C for t > 0,

and thus.

C||X(0)-i| r

for t > 0. This establishes the first property.

For the second property, we first note that if ||.X(t)|| > 0 when t +oo,

then

sup {||X(t)|| : t > O} < + 00 ,

and hence, by the first property, the solution is stable. Moreover,

||X(t)X(0) ^ x o | | 0 when t ->+oo, (3.12)

for every xq R , and thus, equation (3.6) is asymptotically stable. On the

other hand, if the equation is asymptotically stable, then property (3 .12)

holds for ||xo|| sufficiently small, and thus ||^(t)|| 0 when t -> +oo.

112 3. Stability and Lyapunov Functions

tion we consider the particular cases of the linear equations with constant

coefficients and periodic coefficients. We start with the case of constant

coefficients.

a) stable if and only if A has no eigenvalues with positive real part and

each eigenvalue with zero real part has a diagonal Jordan block;

b) asymptotically stable if and only if A has only eigenvalues with neg

ative real part;

c) unstable if and only if A has at least one eigenvalue with positive real

part or at least one eigenvalue with zero real part and a nondiagonal

Jordan block.

P roof. The claims follow easily from the Jordan canonical form in The

orem 2.16 combined with the description of the exponential of a Jordan

block in Proposition 2.18. Indeed, if S is an invertible square matrix satis

fying (2.12), then

oRit n

= S

oRk^

Proposition 2.18 that

{rij - 1)!

where Nj is the rij x nj matrix in (2.15). This shows that each entry of the

matrix is of the form where p is a polynomial of degree at most

rij 1. The desired result now follows immediately from Theorem 3.9.

let B he the matrix in (2.32). Then the equation x' A(t)x is:

a) stable if and only if there are no characteristic exponents with positive

real part and for each characteristic exponent with zero real part the

corresponding Jordan block of the matrix B is diagonal;

b) asymptotically stable if and only if there are only characteristic ex

ponents with negative real part;

3.3. Stability under nonlinear perturbations 113

with positive real part or at least one characteristic exponent with

zero real part such that the corresponding Jordan block of the ma

trix B is not diagonal.

the equation x' = A{t)x is of the form (2.32). By (2.33), the matrix function

P{t) is T-periodic, and thus, each property in Theorem 3.9 depends only on

the term e-*. That is.

sup{||X(t)|| : t > 0} < + 0 0 o sup {||e^*|| : t > O} < +oo.

and

lim ||e ||= 0.

t^-+oo" "

This shows that the stability of the equation x' = A{t)x coincides with the

stability of the equation x' = Bx. Since the eigenvalues of the matrix B

are the characteristic exponents (up to an integer multiple of 2m/T)^ the

desired result follows now immediately from Theorem 3.10.

totically stable linear equation. We start with the case of perturbations of

linear equations with constant coefficients.

T h eorem 3.12. Let A be an n x n matrix having only eigenvalues with

negative real part and let g : MxW^ be continuous and locally Lipschitz

in X. If g{t, 0) = 0 for every t G R, and

(3.13)

teK Ikll

then the zero solution of the equation

x' = Ax 4- g{t, x) (3-14)

is asymptotically stable. Moreover, there exist constants C, A, 5 > 0 such that

for each to M and each solution x{t) of equation (3.14) with ||a;(to)|| < S,

wc have

lk(t)||<C'e-^(*->)||a;(to)|| for t > t o . (3.15)

P roof. Since A has only eigenvalues with negative real part, by Proposi

tion 2.27 there exist constants c,ij.> 0 such that

||e^*|| < ce-^ (3.16)

for t > 0. On the other hand, by (3.13), given e > 0, there exists <5 > 0 such

that

||9 ((,*)||<e||x|| (3.17)

114 3. Stability and Lyapunov Functions

for every f 6 M and a: G M " with |la ;|l < 6. Now let x{t) be the solution of

equation (3.14) with x{to) = xq. By the Variation of parameters formula in

Theorem 2.26, we have

x{t) = xq +

f e'^^*~^^g{s,x{s)) ds (3.18)

Jto

for t in the maximal interval of the solution. Moreover, given xq G M with

Ikoll < 5, the solution x{t) satisfies ||x(t)|| < S for any t > to sufficiently

close to to> say for t G [to>^i]- Hence, it follows from (3.16) and (3.17) that

Jtn

or equivalently,

Jto

for t G [tO )ii]- By Gronwalls lemma (Proposition 1.39), we obtain

e^ ||x(t)|| <

that is,

||a:(t)|| < (3.20)

for t G [t0)ii]- Assuming, without loss of generality, that c > 1 and taking

e > 0 so small that p + ce < 0, it follows from (3.20) that if ||o|| < ^/c,

then ||x(t)|| < 3 for t G [toi^i]- Thus, there exists <2 > i\ such that the

solution x{t) is defined in the interval [to,t2] and satisfies ||a;(t)|| < 5 for

t G [t0)^2]- One can repeat this procedure indefinitely (without changing e

and 5) to conclude that there exists an increasing sequence tn such that x{t)

is defined in the interval [t0)^n] and satisfies ||a:(t)|| < <5 for t G [to>^n]> for

each n G N.

Now let b be the supremum of all sequences tn- If 6 < +oo, then we

would have ||(6 )|| < <5, which contradicts to Theorem 1.46. Thus, b = +oo

and the solution x{t) is defined in [to,+oo). Moreover, it satisfies (3.20) for

allt > to, which yields inequality (3.15). This shows that the zero solution

is asymptotically stable.

be a point with f(xo) = 0 such that dxof has only eigenvalues with negative

real part. Then there exist constants C,X,d > 0 such that for each to ^ R

the solution x{t) of the initial value problem

(x' = fix),

[ x(to) = xo

3.3. Stability under nonlinear perturbations 115

satisfies

lk(i) - xoll < - a;o|| (3.21)

for every t > to and xq M with ||xo a:o|| < d.

Proof. We have

Letting y = x x q , equation (3.22) can be written in the form

9{i, y) = / ( o + y ) ~ dxofy-

By hypothesis, the matrix A has only eigenvalues with negative real part.

Moreover, g{t, 0) = / ( xq) = 0 for every t M, and since / is of class C^, we

have

g{t> y) _ f{xo + y ) ~ /( o ) - d^ofy

-^ 0

?R llvll toll

when y 0. In other words, the hypotheses of Theorem 3.12 are satisfied.

Hence, it follows from (3.15) that there exist constants C, A,<J > 0 such that

for each to e R and each solution y{t) of equation (3.23) with ||y(to)|| < d,

we have

||y(i)||<C'e-"( - ')||2/(to)|| for t>to.

This establishes inequality (3.21).

nonautonomous linear equations. The following is a version of Theorem 3.12

in this general context.

a fundamental solution of the equation x' = A{t)x such that

||Z(t)X(s)-^||

for some constants c, ^ > 0 and every t > s. If the function 5 : E x E >E

is continuous and locally Lipschitz in x, satisfies g{t,0) = 0 for every t E,

and property (3.13) holds, then the zero solution of the equation

x' = A{t)x + g{t,x) (3.24)

is asymptotically stable.

P roof. We follow closely the proof of Theorem 3.12, replacing identity (3.18)

by an appropriate identity. Namely, if x{t) is the solution of equation (3.24)

116 3. Stability and Lyapunov Functions

with a;(to) = xq, then it follows from the Variation of parameters formula in

Theorem 2.25 that

Jto

for t in the maximal interval of the solution. On the other hand, by (3.13),

given e > 0, there exists 5 > 0 such that inequality (3.17) holds for every

t G K and a; G M with ||a;|( < 6. Now take ti > to and xq G M with ||a;o|| < 5

such that x{t) is defined in the interval [to,ti] and satisfies ||a;(t)|| < S for

tG It follows from (3.25) and (3.17) that inequality (3.19) holds for

t [tO) ti]- Now one can repeat the arguments in the proof of Theorem 3.12

to conclude that if ||xo|| < S/c, then the solution x{t) is defined in [to, +oo)

and satisfies

b(t)l| <

for t > t o (assuming that c > 1 and that e > 0 is so small that p + ce < 0).

In particular, the zero solution is asymptotically stable.

sometimes allows one to establish the stability or instability of a given so

lution in a more or less automatic manner.

3.4.1. Basic notions. We first recall the notion of locally Lipschitz func

tion.

be locally Lipschitz if for each compact set K c D there exists L > 0 such

that

\\f{x)-f{y)\\<L\\x-y\\ (3.26)

for every x ,y E K.

that / is locally Lipschitz if and only if the function g : M x D >MT defined

by g{t,x) = f i x ) is locally Lipschitz in x. Moreover, by (3.26), any locally

Lipschitz function is continuous. Now let ^t{xo) = x{t,xo) be the solution

of the initial value problem

x' = fix ),

(3.27)

{:a;(0) = XQ,

which in view of the Picard-Lindelof theorem (Theorem 1.18) is well defined.

Given a differentiable function V: D define a new function V: D

by

Vix) = W i x ) fix).

3.4. Lyapunov functions 117

We note that

''( I ) = (3.28)

of the equation x' = f{x).

V: D - M. is called a Lyapunov function for xq if there exists an open set

U C D containing xq such that:

b) F(a;) < 0 for x e U.

dition can be replaced by F(a;) < 0 for x 17 \ { xq}.

f x' = -X -I- y,

\y' = -X -

The origin is the only critical point. We show that the function F : M

given by

V{x,y) = x^ -I-

is a strict Lyapunov function for (0,0). We have F (0,0) = 0 and V { x , y ) > 0

for (x,y) 7^ (0,0). Moreover,

= - 2(x2 -Fy^) < 0

tively, a strict Lyapunov function) for a critical point of a differential equa

tion x' = / ( x ) allows one to establish the stability (respectively, the asymp

totic stability) of that point.

set jD C R and let xq E D be a critical point of the equation x' = f{x).

a) If there exists a Lyapunov function for xq, then xq is stable.

b) If there exists a strict Lyapunov function for xq, then xq is asymp

totically stable.

118 3. Stability and Lyapunov Functions

P roof. We first assume that there exists a Lyapunov function for xq in some

open s e t U c D containing xq. Take e > 0 such that B{xo,s) C U, and

m = m in {y (x ) : x dB{xo,e)}.

B{xo,e) \ {a;o}, there exists 5 e (0,e) such that

nonincreasing (in the maximal interval I of the solution). Indeed, proceeding

as in the proof of Proposition 1.13, we obtain tpt = (pt-s^s for t sufficiently

close to s, and thus.

at (3.30)

= viM ^)) < 0

for s E I. Hence, it follows from (3.29) that any solution (pt{x) of the initial

value problem (3.27) with x B{ xq,S) is contained in B{xo,e) for every

t > 0 in its maximal interval. This implies that each solution ipt{x) with

X E B{xo,S) is defined for all t > 0, and thus the critical point xq is stable.

Now we assume that there exists a strict Lyapunov function for xq. It

remains to show that (pt{x) xq when t +oo, for any point x E B{ xq, a)

with a sufficiently small. Proceeding as in (3.30), we conclude that for each

X E U\{ xq} the function 1V{ ( pt { x) ) is decreasing (in the maximal interval

of the solution). Now let (tn)n be a sequence of real numbers with tn +oo

such that {<Ptni^))n converges, and let y be the limit of this sequence. Then

Now we assume that y ^ xq. Then V{(ps{y)) < V{y) for every s > 0. Taking

n sufficiently large, one can ensure that </?t+s(a;) = ((a;)) is as close

as desired to (ps{y), and thus also that V{ipt+s(,^)) is as close as desired

to V{ips{y)) < V { y ) . Hence,

V{<Ptn+s{x)) < V { y ) ,

but this contradicts to (3.31). Therefore, y = xq, and we conclude that

(pt{x) Xq when t +oo. Cl

3.4. Lyapunov functions 119

x' = y -

(3.32)

{ y' = -x^.

This can be seen as a perturbation of the linear equation {x,yY = (y, 0),

which has the phase portrait in Figure 2.1 1 . We consider the critical point

(0, 0) of equation (3.32), and the function

V{x,y) = x^ + 2y^.

We have V (0 ,0) = 0 and V{x,y) > 0 for (x,y) 7^ (0,0). Moreover,

V{x, y) = (4x^, 4y) (y - xy^, -x^)

= 4x^y 4x^y^ 4x^y = 4x^y^ < 0.

Hence, F is a Lyapunov function for (0,0), and it follows from Theorem 3.18

that the origin is stable.

x' = x^ X y,

(3.33)

[y = X.

We discuss the stability of the critical point at the origin. Equation (3.33)

can be written in the form

+ I{ ] (3.34)

Since the 2 x 2 matrix in (3.34) has eigenvalues (li-\/3)/2, both with neg

ative real part, it follows from Theorem 3.13 that the origin is asymptotically

stable.

One can also use Lyapunov functions to study the stability of the origin.

However, it is not always easy to find a strict Lyapunov function (when it

exists). For example, consider the function V(x,y) = x"^ + y^. We have

V (x, y) = (2x, 2y) (x^ - x - y, x) = 2x^(x - 1),

and thus, V{x,y) < 0 in a sufficiently small neighborhood of (0,0). Hence,

V is a Lyapunov function, and it follows from Theorem 3.18 that the origin

is stable. However, this does not show that the origin is asymptotically

stable. To that effect, consider the function

W{x,y) = x^ -t-x y + y^.

We have W (0,0) = 0. Moreover,

1 1/2^

W{x,y) =

1/2 (3.35)

120 3. Stability and Lyapunov Functions

Since the 2 x 2 matrix in (3.35) has eigenvalues 1/2 and 3/2, the matrix is

positive definite. In particular, W{x,y) > 0 for (x,y) ^ 0. We also have

W{x,y) = (2x + y,x + 2y) {x^ - x - y , x )

= 2x^ - x ^ + x^y - x y - y " ^

=- (l/2 f )

Since the 2 x 2 matrix in (3.36) is positive definite, there exist constants

a, 6 > 0 such that

-a | | (x ,y )f < -

1 )2 'f) 0 ^

for every (a;,y) M^. Moreover,

2x^ + x^y

0 when (x, y) 0.

II ( ^ . 9) IP ^

W{x,y)

a e < < -b + e

(.y)IP

for any sufficiently small (x, y) ^ 0. Taking e so small that 6 + e < 0, we

obtain W(x,y) < 0 for any sufficiently small (x,y) ^ 0. Hence, it follows

from Theorem 3.18 that the origin is asymptotically stable.

x" + f ix ) = 0, (3.37)

where / : K -> R is a function of class with /(O) = 0 such that

xf{x) > 0 for x^O (3.38)

(that is, f { x ) and x always have the same sign). This corresponds to ap

ply a force f {x ) to a particle of mass 1 that is moving without friction.

Condition (3.38) corresponds to assume that the force always points to the

origin.

Equation (3.37) can be written in the form

x' = y,

(3.39)

y' = - f { x ) ,

and (0,0) is a critical point. We use a Lyapunov function to show that the

origin is stable. Namely, consider the function

3.4. Lyapunov functions 121

which corresponds to the sum of the kinetic energy y^/2 (recall that the

particle has mass 1) with the potential energy Jq f{s) ds. We have V (0 ,0) =

0 and V{x,y) > 0 for (x,y) 7^ (0,0), due to condition (3.38). Moreover,

and thus, V is a Lyapunov function for (0,0). Hence, it follows from Theo

rem 3.18 that the origin is stable. Incidentally, along the solutions we have

^ V { x , y ) = yy' + f(x)x'

= - y f { x ) + f{ x) y = 0,

and thus, equation (3.39) is conservative. This corresponds to the conserva

tion of energy.

x" -f ex' + fix) = 0, (3.41)

with / : as in Example 3.21. Equation (3.41) can be written in the

form

\x' = y,

= -fix ) - ey.

We consider again the function V in (3.40), which satisfies F (0, 0) = 0 and

Vix,y) > 0 for ix,y) ^ (0,0). Moreover,

Vix, y) = ifix), y) (y, - f i x ) - ey) = -ey^ < 0,

and F is a Lyapunov function for (0,0). Hence, it follows from Theorem 3.18

that the origin is stable.

tion of an instability criterion for the critical points of an equation x' = fix).

The criterion is analogous to the stability criterion in Theorem 3.18.

D C M" and let xq E D be a critical point of the equation x' = fix). Also,

let V: U ^ M. be a function of class in a neighborhood U C D of xq

such that:

a) V(xo) = 0 and F(a;) > 0 for x U \ {a:o};

b) V takes p o s itiv e v a lu e s in a n y n e ig h b o rh o o d o f xq.

of the initial value problem (3.27). If in each neighborhood A there exists a

solution iptix) that is not defined for all t > 0, then there is nothing to show.

122 3. Stability and Lyapunov Functions

Hence, one can assume that all solutions ipt{x) with x e A ave defined for

all t > 0.

Now take y E A with V(y) > 0 (which by hypothesis always exists).

Since V{x) > 0 for x U \ {a;o}, proceeding as in (3.30) we conclude that

the function t V{(ft{y)) is increasing whenever (pt{y) U. Thus, since

y(a;o) = 0, the solution (pt{y) does not come near xq, that is, there exists a

neighborhood B of xq such that (pt{y) ^ B for t > 0. Now we assume that

the solution does not leave A and we define

m = m f{V(ipt{y))-t>0}.

Since V = V V f is continuous and A \ B is compact, we have

m > inf (l^() : a; \H} > 0

(because continuous functions with values in R have a minimum in each

compact set). We also have

> V { y ) + mt for t>0.

Thus, there exists T > 0 such that

V{(pr{y)) > m ax{F(a;) : x G A},

and hence ipriy) ^ A. This contradiction shows that there exist points x

arbitrarily close to xq (because by hypothesis V takes positive values in any

neighborhood of xq) such that the solution <pt(x) leaves the neighborhood A.

Therefore, the critical point xq is unstable.

ix' = Zx + y^,

\y' = - 2 y + x^,

for which (0, 0) is a critical point, and the function

V{x,y) - x^ - y ^ .

Clearly, V (0,0) = 0 and V takes positive values in any neighborhood of (0,0).

Moreover,

V{x, y) = (2a;, -2y ) (3a; + y^, - 2 y + x^)

= 6a;^ + + 2xy^ 2x^y.

Since

V{x,y)

1 when ( x , y ) (0, 0),

6x^ +

we have V{x,y) > 0 for any sufficiently small (x,y) ^ (0,0). Hence, it

follows from Theorem 3.23 that the origin is unstable.

3.5. Exercises 123

3.5. Exercises

E xercise 3.1. Find all stable, asymptotically stable and unstable solutions

of the equation:

a) x' = x{x 2);

b) x" + 4x = 0.

E xercise 3.2. For a function R " ^ E of class (7^, consider the equation

x' = V 5 (x).

a) Show that if is a nonconstant solution, then p o tt is strictly in

creasing.

b) Show that there are no periodic orbits.

c) Determine the stability of the origin when g{x,y) = x^ + y^.

d) Determine the stability of the origin when g{x, y) x^y^.

fr ' = /( r ) ,

M ' = l,

where

= /^ s in (l/r2 ), r -^ 0 ,

^ \0, r = 0.

Show that the origin is stable but is not asymptotically stable.

E xercise 3.4. Determine the stability of the zero solution of the equation:

x' = X + xy^

a)

[y' = X - 2/ - x^ - y^]

b)

y = 2x - 3y-|-y^;

x' = X -H2x(x + y)^,

c)

y' = -y ^ -l-2 y 3 (x -| -y )^ ;

x' = x^ 3xy^,

d)

y = 3x^y - y^.

a) Find the characteristic exponent of the equation x' = a{t)x.

b) Find a necessary and sufficient condition in terms of the function a

so that the zero solution is asymptotically stable.

124 3. Stability and Lyapunov Functiom

t-^+oo t

(with the convention that log 0 = - o o ) for each solution x{t) of the equation:

a) x" + x = 0;

b) x' = [a + 6(sin log t + cos log t)\x with o, 6 G M.

Exercise 3.7. Given an n x n matrix A, define x- [~o, +oo) by

n>-+oo ^

Show that:

a) x{oiv) = x{v) for a ^ 0;

b) x(v + w) < m ax{x(w ),x(t)};

c) if x{v) + x{w), then x(v + w) = m a x{x (v ),x(i)};

d) X takes only finitely many values.

Exercise 3.8. Show that if {xi{t),X2{t)) is a nonzero solution of the equa

tion

{ x'l = [1.01 - (sinlogt-I-coslogt)]a;i,

x'2 = [1.01 4- (sinlogt -I- coslogt)]aj2,

then

limsup-log||(a;i(<),X2(i))II < 0.

y{ = [ - 1.01 - (sinlogt + coslogt)]yi,

{

j /2 = [-1-01 -I- (sin log t -I- coslogt)]2/2 + J/i^-

li

a) Verify that each solution iyi{t),y2{t)), with t > 0, can be written in

the form

iyi{t) =

\y2{t) = c2e - i i*+W + ci2e - i oi*+ (0

for some constants ci, C2 and s, where a{t) = t sin log t.

b) Taking e G (0, 7t/ 4) and defining tk = for fc G N, verify that

3a(r) > 3rcose for r G [tke~^,tk],

and conclude that

A ' ' g-3o(r)-1.0lT g -3 a (r)-1 .0 lT ^ ^ > gg(3cose-1.01)tfc

Js Jtke~^

for any sufficiently large fc G N, where c > 0 is a constant.

3.5. Exercises 125

limsupylog||(yi(t),y2(i))|| > 0.

equation x' = f {x ) defines a fiow (fit in M .

a) Show that

b) Verify that

det dxift = 1 + div f {x )t + o{t).

c) Given an open set ^ C R and t G R, show that

^y{ (p t{ A) )= f d iv /,

di Jm a )

where y, denotes the volume in R .

d) Show that if d iv / = 0, then the equation x' = f {x ) has neither

asymptotically stable critical points nor asymptotically stable peri

odic solutions.

Solutions.

3.1 a) The solutions in (o o ,2) are asymptotically stable and the solu

tions in [2, -l-oo) are unstable.

b) All solutions are stable but none are asymptotically stable.

3.2 c) Unstable,

d) Unstable.

3.4 a) Asymptotically stable.

b) Asymptotically stable.

c) Asymptotically stable.

d) Unstable.

3.5 a) (1/r) Jq a{s) ds.

b) Jq a{s) ds < 0.

3.6 a) \{x) = 0.

b) A(x) = o -H |6|.

Chapter J,.

Hyperbolicity and

Topological

Conjugacies

particularly at the level of stability. After a brief introduction to the notion

of hyperbolicity, we establish a fundamental result on the behavior of the

solutions in a neighborhood of a hyperbolic critical point the Grobman-

Hartman theorem. It shows that the solutions of a sufficiently small per

turbation of an equation with a hyperbolic critical point are topologically

conjugate to the solutions of its linear variational equation. We also show

that the topological conjugacy is Holder continuous. For additional topics

we refer the reader to [7, 15, 19, 23].

We recall that a square matrix is said to be hyperbolic if all its eigen

values have nonzero real part (see Definition 2.48). Now let / : R > R be

a function of class C^.

D efinition 4.1. A point xq R with / ( xq) = 0 such that the matrix dxof

is hyperbolic is called a hyperbolic critical point of the equation x' = f{x).

linear equation

x' = Ax, where A = dx^f-

128 4. Hyperbolicity and Topological Conjugacies

x(t) = t R.

D efinition 4.2. Given a hyperbolic critical point xq E M of the equation

x' = f(x), we define the stable and unstable spaces of xq, respectively, by

= {a; R : -> 0 when t +oo}

and

= {a; R : e'^^x 0 when t oo}.

x' = f{x), then:

a) and are linear subspaces o /R with E^ E'^ = R ";

b) for every x E E^, y E E'^ and t EM., we have

e^^x E E^ and e^^y E E^.

P ro o f. Since the matrix A = dxof has no eigenvalues with zero real part,

its Jordan canonical form can be written in the form

0

0 Au^

with respect to some decomposition R = F 0 where ^4^ and Au cor

respond respectively to the Jordan blocks of eigenvalues with negative real

part and the Jordan blocks of eigenvalues with positive real part. It follows

from Proposition 2.27 that

0 when t y hex),

for X E F^, and that

-> 0 when t y (X),

for X E F'^. Hence,

ps _ ps and pu ^ pu

which establishes the first property.

For the second property, we first recall that

gAr _ gi4t (gAr^)

gAt(gAr^) Q J.

and it follows from (4.1) that e^^x E F. One can show in an analogous

manner that if j/ F and t R, then e^^y E FF.

4.2. The Grobman-Hartman theorem 129

critical point form a direct sum. Hence, given a; M , there exist unique

points y E E^ and z E E'^ such that x = y + z. We define Pg,Py,: R > R

by

PgX = y and PuX = .2. (4.2)

One can easily verify that Pg and Pu are linear transformations with

tively, over the spaces E^ and One can also show that

respectively, of eigenvalues with negative real part and eigenvalues with

positive real part. More precisely,

and

Let / : R R*^ be a function of class G^ such that the equation x' f{x )

has a hyperbolic critical point xq. In this section we show that the solutions

of the equations

x' = f {x ) and y' = dx^fy

are topologically conjugate, respectively, in neighborhoods of xq and 0. More

precisely, and in an analogous manner to that in Definition 2.44, this means

that if and (pt{z) are, respectively, the solutions of the initial value

problems

ix' = f{x), iy' = dxofy,

(4.3)

[x(0) = z \y{0) = z,

then there exists a homeomorphism h: U - V , where U and V are, respec

tively, neighborhoods of xq and 0, such that h{xo) = 0 and

HM^)) = M K ^ )) (4.4)

equations in (4.3) are homeomorphic, respectively, in neighborhoods of xq

and 0 (see Figure 4.1).

130 4. Hyperbolicity and Topological Conjugaciet

tions in (4.3).

4 ,2 .1 . P e r t u r b a t io n s o f h y p e r b o lic m a t r ic e s . W e f ir s t e s t a b lis h a re

s u lt o n th e e x is t e n c e o f t o p o lo g ic a l c o n ju g a c ie s fo r t h e p e r t u r b a t io n s of a

lin e a r e q u a t io n = Ax w it h a h y p e r b o lic m a t r ix A.

a bounded function such that g{0) = 0 and

bounded continuous function 77: E > R such that 77( 0 ) = 0 and

ho = iptoh, i R , (4 .6 )

x' = A x + g{x). (4 .7 )

Moreover, h is a homeomorphism.

4.2. The Grobman-Hartman theorem 131

Step 1. Existence of global solutions. We first show that equation (4.7)

defines a flow. Each solution x{t) satisfies

Jto

for t in the corresponding maximal interval Ix (we note that the function

(t, x) Ax + g{x) is continuous and locally Lipschitz in x, and thus one

can apply Theorem 1.43). It follows from (4.5) with y = 0 and (4.8) that

||x(t)|| <ell^ll(*-*o)||x(to)||+

Jto

for t > to in Ix- By GronwalPs lemma (Proposition 1.39), we obtain

or equivalently,

||x(t)||<e(ll^ll+^)( - o)||a;(to)||, (4.9)

for t >t o in Ix- This implies that each solution x{t) is defined in [to,+oo).

Otherwise, the right endpoint b of the interval Ix would be finite, and by (4.9)

we would have

||x(r)|| < e(ll^+^ll)(-*<)||x(to)||,

which contradicts to Theorem 1.46 on the behavior of solutions at the end

points of the maximal interval. One can show in a similar manner that all

solutions are defined in the interval (oo,to]-

Step 2. Construction of an auxiliary function. Let X q be the set of bounded

continuous functions 77: E > E with 77(0) = 0. It follows from Proposi

tion 1.30 that Xo is a complete metric space with the distance

d(77,0 = sup{||77(x)-^(x)|| : x E " } . (4.10)

We define a transformation G in X q by

f +00 f-\

r+ oo

G{rj){x) = / Pse^^T){e~^'^x)dT - PuS rj{e^'^x) dr

Jo Jo

(*+ 00

/

t r-\-oo

-00 Jt

(4.11)

for each 77 6 X q and x E"', where Pg and Pu are, respectively, the pro

jections over the stable and unstable spaces (see (4.2)). We first show that

the transformation G is well defined. Since the matrix A is hyperbolic, by

Proposition 2.27 there exist constants c,fj,>0 such that

llP.e^^ll < ce~i^^ and (4.12)

132 4. Hyperbolicity and Topological Conjugacies

\\ P .e^'ri(e-''l\<ce-n \riU (4.13)

and

||F.e- ',(e''^|| < ce-'-'Ihlloo (4.14)

for r > 0, where

H loo := sup { I|i)(a!) II ; I K }.

Since ?? G X o, we have Halloo < +00- Hence, it follows from (4.13) and (4.14)

that

P+OO /*+oo

/ dr + / \\Pue~^'^r}{e'^'^x)\\dT

Jo Jo (4.15)

P+OO P+OO

ce '^||7/||oodr +

ce '*'^||7||oodr =

- Jo

/ io' ' M

and the transformation G is well defined. Moreover, by (4.15), we have

for each x R ", and the function G{ri) is bounded for each t} Xo- Now we

show that G{ t]) is continuous. Given a; e R and e > 0, it follows fi'om (4.15)

that there exists T > 0 such that

f+OO />+oo

/ ||PsC'^^^(e '^^a;)||dr+ / \\Pue~^'^r]{e^'^x)\\dT < e.

Jt Jt

For each a;, y G R", we have

Jo

Jo (4.16)

fT

<2e+ I ce ^'^||77(e "^'^a:) r]{e~^'^y)\\ dr

Jo

+ f ce~i^^Me'^^x)-rj{e'^^y)\\dr.

Jo

For each 5 > 0, the function (t, x) i-> ri{e~^*'x) is uniformly continuous on the

set [0, T] X B{x,S) (because continuous functions are uniformly continuous

on each compact set). Hence, there exists 5 > 0 such that

||T?(e~^^a;) -7?(e~^^y)|| < e

for r G [0, T] and y G B{x,S). Analogously, there exists <5 > 0 (which one

can assume to be the same as before) such that

l|?7(e^a:)-77(e^^y)|| < e

4.2. The Grobman-Hartman theorem 133

\\G{t]){x) - G{r])(y)\\ < 2e + 2cTe

for y G B{x, 5). This shows that the function G(r}) is continuous. Moreover,

by (4.11), we have G{r]){0) = 0 and thus G(Xo) c X q.

Step 3. Equivalent form of identity (4.6). Given rj e X q, let

9v(x) = 9 {h(x)),

where h = I d + v- We note that the function is bounded, because g is

bounded. It follows from (4.5) that

Moreover,

Pt?(0) = 9{h{0)) = 5(0) = 0,

and thus 5^ G X q.

P r o o f o f the lem m a. If <^(5,,) = rj, then it follows from Leibnizs rule that

d

e

= e

= e- A t s { Pse'^"9n{^^^x)dr- Put-^^gr,{e^'^x)dr^l^^

= e~^*{Psgr){x) + Pu9v(^))

= e-^^g{h{e^*x)).

(4.17)

On the other hand,

d

^e-^%{e^^x) = -Ae-^%{e^^x) + e~^^^h{e^^x),

C/U C/C

and it follows from (4.17) that

-Ahie^^x) + A ) = g{h{e^^x)),

that is.

^h(e^*x) = Ah{e^^x) + g{h{e^*x)).

at

134 4. Hyperbolicity and Topological Conjugacies

This shows that the function y{i) = h{e^*x) satisfies equation (4.7). Since

y(0) = h{x), we obtain

h{e^^x) = 'ijjt{h{x))

for every x M , which yields identity (4.6).

Now we assume that (4.6) holds. Since h Id + rj, one can rewrite this

identity in the form

ld +T] ipt o ho (4.18)

On the other hand, by the Variation of parameters formula in Theorem 2.26,

we have

ipt{x) = e"^^x + [ g{ipT{x)) dr. (4.19)

rj{x) = 0t(/i(e ^ x)) - X

Jo

(4.20)

= e^*''q{e~^*'x) + f dr

Jo

= e ^ ^ g { e - ^ ^ + [ e^^g{h{e-^-^x)) dr.

Jo

Moreover, it follows from (4.13) that

when t > + 00, and thus, by (4.20),

^+oo

Psil{x) = / PsC^'^g{h{e~^'^x)) dr. (4.21)

Jo

On the other hand, it follows from the third equality in (4.20) that

Jo

Substituting x by e^*x, we obtain

Jo

Analogously, it follows from (4.14) that

||Pe-^*77(A)||<ce-^*||r?||oo^O

when t >00, and thus, by (4.22),

f+OO

PuVix) = - Pue~^'^g{h{e^'^x)) dr. (4.23)

Jo

4.2. The Grobman-Hartman theorem 135

r]{x) = PsVix) + PuV{x)

r+oo f+oo

= / PsS^'^g{h{e~^'^x)) dr Py,e~^'^g{h{e^'^x)) dr

= G{goh)(x) = G{gri){x).

This yields the desired result.

G{grj) = ri has a unique solution rj.

Lem m a 4.6. For any sufficiently small S, there exists a unique function

g e X o satisfying G{grf) = g.

Now we show that F is a contraction. For each X q, we have

Joo

+00

/ [^^(e^("-*)x) - p(e^("- )a;)] dr.

< Sd{i],^),

JOO

+00

/

2c(5 .

ce~^^^~'^^5d{'q,

.

= d{ri,^).

dr

Thus,

2c5

d{F{rj),F{0) ^

and F is a contraction for any sufficiently small 5. Since X q is a complete

metric space and F (X q) C X q, it follows from Theorem 1.35 that there

exists a unique g E X q such that F(??) V-

136 4. Hyperbolicity and Topological Conjugacies

By Lemma 4.5, the function r) given by Lemma 4.6 satisfies identity (4.6).

It remains to show that /i = Id + ?7 is a homeomorphism.

Step 5. Existence of the inverse. We first show that h is surjective. Given

y M", the equation h{x) = y has a solution of the form x = y z ii and

only if

z = -^{y-l- z). (4.25)

Now we recall Brouwers fixed point theorem: aay continuous function

H: B B in a closed ball B C M has at least one fixed point (for a

proof see, for example, [10]). Applying this theorem to the function

in the closed ball B = B{0, ||7?||oo)) we conclude that there exists at least

one point z B satisfying (4.25). This shows that h is surjective.

Now we show that h is injective. Given x,y such that h{x) = h{y),

it follows from (4.6) that

h{e^^x) = h{e^*y)

for t G R, and thus,

unbounded while the right-hand side is bounded. This contradiction shows

that

- y ) = Pu{x - y) = 0

and hence x = y.

theorem: ii f : U -> R is an injective continuous function in an open set

C/ C R , then V = f(JJ) is open and /|!7: 17 > F is a homeomorphism (for

a proof see, for example, [10]). Since the function h: R ^ R is continuous

and bijective, it follows from the theorem that /i is a homeomorphism.

4.2.2. H y p erb olic critical points. Now we establish the result described

at the beginning of Section 4.2 as a consequence of Theorem 4.4.

tion of class and let xq R 6e a hyperbolic critical point of the equa

tion x' = f{x). If if}t{z) and <pt{z) are, respectively, the solutions of the ini

tial value problems in (4.3), then there exists a homeomorphism h: U ^V,

where U and V = h{U) are, respectively, neighborhoods of xq and 0, such

that h{xo) = 0 and h{'ijjt(z)) = <pt[h{z)) whenever z,ipt{z) G U.

4.2. The Grobman-Hartman theorem 137

the change of variables y = x xq, the equation x' = /( ) becomes y' = F(y),

where F(y) = f(xo + y). Moreover, F(0) = f(xo) = 0.

Taking a;o = 0, we write

f (x ) = Ax + g(x),

where

A = dof and g{x) = f { x ) - Ax.

We note that the matrix A is hyperbolic and that the function g is of class .

Moreover, 5 (0) = 0. In order to apply Theorem 4.4 it remains to verify

property (4.5). However, in general, this property may fail, which leads us

to modify the function g outside a neighborhood of 0. More precisely, given

5 > 0 as in Theorem 4.4, take r > 0 so small that

sup{||da;^|| : X B{0,r)} < 5/Z (4.27)

(this is always possible, because the function x 1-^ dxg is continuous and

= 0). Since ^(0) = 0, it follows from the Mean value theorem that

sup{|fy(a:)|| : x G B (0 ,r )} < 5r/Z. (4.28)

Now we consider a function a : R > [0,1] of class such that:

a) a{x) = 1 for a; G B{0,r/Z);

b) a{x) = 0 for a; G R \ H (0,r);

c) sup {||da;a|| : x G R } < 2/r.

For the function p : R R of class defined by

g{x) = a{x)g(x), (4.29)

we have 5 (0) = 0. Moreover, by (4.27) and (4.28), we obtain

= \\dxag{x) + a{x)dxg\\

< sup ||da:a;|| sup |fy(a;)||+ sup ||d*5 ||

leE" leB(o.r) leK" (4.30)

2 5r S .

Hence, it follows from the Mean value theorem that property (4.5) holds for

the function g. Thus, one can apply Theorem 4.4 to obtain a homeomor-

phism h ld + g satisfying

ho = t G R,

where 4>t{z) is the solution of the initial value problem

{ x' = Ax + g(x),

g(0) -- z.

138 4. Hyperbolicity and Topological Conjugacies

whenever ||2;|| < r/3 and ||Vi('2:)|| < r/3 . This establishes identity (4.4) for

any t M and z G M such that ||z|| < r/3 and ||^t()|| < r/3 .

rems 4.4 and 4.7 do not require the stable and unstable spaces to have

positive dimension, that is, the theorems also include the case when one of

them is the whole space M . This observation has the following consequence.

a bounded function with g{0) = 0 such that property (4.5) holds for every

a;,y g R .

a) If A has only eigenvalues with negative real part and 6 is sufficiently

small, then the zero solution of equation (4.7) is asymptotically sta

ble.

h) If A has at least one eigenvalue with positive real part and 6 is suf

ficiently small, then the zero solution of equation (4.7) is unstable.

eigenvalues with negative real part, we have ||e'^*|| > 0 when t ) -l-oo.

Thus, since h{0) = 0, it follows from (4.31) that the origin is asymptotically

stable. Analogously, when A has at least one eigenvalue with positive real

part, we have ||e"^ || + 0 0 when t -t-00, and it follows from (4.31) that

the origin is unstable.

be a hyperbolic critical point of the equation x' = f{x).

a) If the matrix dx^f has only eigenvalues with negative real part, then

the critical point xq is asymptotically stable.

b) If the matrix dxgf has at least one eigenvalue with positive real part,

then the critical point xq is unstable.

manner to that in the proof of Theorem 4.8.

Theorem 3.13.

4.3. Holder conjugacies 139

4 .3 . H o ld e r c o n ju g a c ie s

have more regularity. Unfortunately, in general, it is not possible to obtain

conjugacies of class C^, although a detailed discussion falls outside the scope

of the book. It is, however, possible to show that those homeomorphisms

are always Holder continuous. More precisely, we have the following result.

be a bounded function with g{0) = 0 such that property (4.5) holds. Given

a sufficiently small a G (0,1) and K > 0, there exists 6 > 0 such that the

homeomorphism h in Theorem 4-4 satisfies

r^(0) = 0. Given a (0,1) and K > 0, we consider the subset Xa C X q

composed of the functions rj G X q such that

\\v{x)-v(y)\\<K\\x-yr

for every x, y G R with ||x y|| < 1. Using Proposition 1.30, one can easily

verify that Xa is a complete metric space with the distance in (4.10). Thus,

in order to prove the theorem it suffices to show that the transformation F

in (4.24) satisfies F{Xa) C Xa- Indeed, we already know from the proof of

Theorem 4.4 that F is a contraction in X q.

Take y G Xa. We have

||h(x) - h{y)\\ = ||x - y + ffix) - ri(y)\\

< l k - y | | + N (a ;)-^ (y )ll-

(4.32)

< ( l + F )| | x -y | r

W = F( t7)(x) - F(7?)(y)

- L 00

+00

jT ^h)]dr,

140 4. H yperbolicity and Topological Conjugacies

Thus, it follows from (4.5) and (4.12) that

J OO

-oo

+00

+ c

/ e-M0-^)5||;,(e^(^-*)a;) - 77(e" (-*)y)|| dr.

by (4.32), we obtain

J OO

+0O

J OO

+00

/ dr

J OO

+00

/

2c5(l + K ) ,

IIW^II < lk -y ir (4.33)

/^ - P I I

Thus, for any sufficiently small 5, it follows from (4.33) that

||F(77)(x)-F(r?)(y)||<iir||x-yr

for every x ,y . M with ||x y|| < 1. This completes the proof of the

theorem. D

Under the assumptions of Theorem 4.10 one can also show that

| | h -H x )-h -n y )ll< i^ lk -y r

for every x^y E MP with ||x y|l < 1, eventually making a and 6 sufficiently

smaller.

Now we consider the particular case of a hyperbolic critical point. The

following result is a simple consequence of Theorems 4.7 and 4.10.

be a hyperbolic critical point of the equation x' = fix). If and

4.4, Structural stability 141

are, respectively, the solutions of the initial value problems in (4.3), then for

the homeomorphism h in Theorem J^.l, given a sufficiently small a G (0,1)

and K > 0, there exists d > 0 such that

||/i(x) - % ) | | < K\\x-y\\

for every x ,y g U with \\x y\\ < d.

arbitrary linear and nonlinear perturbations.

class and let xq be a hyperbolic critical point of the equation x' = f{x).

// 5 : is a function of class and

a := sup ||/(a;) - i^(x)|| + sup \\dxf - dxg\\

xeMV' xew^

is sufficiently small, then the solutions of the equations

x^ = f {x ) and x' g{x)

are topologically conjugate, respectively, in neighborhoods ofxo andxg, where

Xg is the unique critical point of = g{x) in a sufficiently small neighbor

hood of Xq.

point Xg in a sufficiently small neighborhood of xq, provided that a is suffi

ciently small. To that effect, consider the function H: x E^ E^

defined by

One can show that the Implicit function theorem holds in the space C^(R )

when equipped with the norm IHIci. Now we show that H is of class C^,

taking the norm

ll(5,y)ll = IMIci + IMI

in C^(R ) X R . For each {g,y), (h,z) G C'^(R ) x R and e G R, we have

H{{g, y) + e{h, z)) - H{g, y) _ {g + eh){y + ez) - g{y)

^ gjy + g -g ) - 9{y)

+ h{y + ez)

e

dygz + h{y)

142 4. Hyperbolicity and Topological Conjugacies

when e 0. Take

A := H {{g , y) 4-{ h , z ) ) - H {g , y) - h{y) - dygz

= [g{y + ^) - g{y) - dygA + [h{y + z ) ~ h{y)].

Since

h{y + A - h{y) = / d y + tz h z d t,

Jo

we have

1 1 % + 2 ) - % ) II < ||/i||cip||,

and thus,

INI . \\gjy + A - gj y) - dygzW ||h||ci|NI .

Il(/i,^)l|- Nl INIci + INI

when ||(h, ^)|| 0. This shows that the function H has a derivative, given

by

dig,y)H(h, z) = h{y) + dygz. (4.34)

In order to verify that H is of class (7^, we note that

\\(d(g,y)H d(^ig)H){h, z)||

< ||h(y) - /i(y)|| + \\(dyg - dyg)z\\

< Ibllcilb - i/ll + lb - 5llci|bll + 1 1 % - % l l Ibll.

and thus,

Since dg is continuous, it follows readily from (4.35) that the function dH

is also continuous. Moreover, by (4.34), we have

dH

(5 , y ) z = d(p,3;)i3'(0, z ) = d y g z ,

and thus.

^ (/,a ;o ) = % / .

the Implicit function theorem that for g 6 (^^(M ) with ||/p||c7i sufficiently

small, there exists a unique Xg in a sufficiently small neighborhood of xq

such that g{xg) = 0. Moreover, the function ^ is continuous.

Now we consider the pairs of equations

x' = f {x ) and y' = dxofy (4.36)

and

x' = g{x) and y' = dxggy- (4.37)

4.5. Exercises 143

conjugacies between the solutions of the equations in (4.36) respectively in

neighborhoods of the points xq and 0, as well as between the solutions of

the equations in (4.37) respectively in neighborhoods of the points Xg and 0.

To complete the proof, it is sufficient to observe that since the eigenvalues

of a matrix vary continuously with its entries and the function g Xg is

continuous, for ||/5||c7i sufficiently small the matrix dx^g is also hyperbolic

and

midxgg) = m{dxof),

where m{A) is the number of eigenvalues of the square matrix A with pos

itive real part, counted with their multiplicities. Hence, it follows from

Theorem 2.50 that the solutions of the equations y' = dx^fy and y' = dxggy

are topologically conjugate. Since the composition of topological conjugacies

is still a topological conjugacy, we obtain the desired result.

4 .5 . E x ercises

E xercise 4.1. Find all hyperbolic critical points of the equation defined by:

a) f{x) = x { x - 1);

b) fix) = x^;

c) f{ x ,y ) = (x + y , y - x ^ ) .

E xercise 4.2. Determine the spaces E and of the origin for the func

tion:

/I -3 0 0 \ x\

3 1 0 0 y

a) f{ x, y ,z ,w ) =

0 0 -2 1 z

lo 0 -1 -2 / \wj

b) f{ x, y ) = { x - y ^ , x ^ - y ) .

E xercise 4.3. Under the assumptions of Theorem 4.4, show that if a trans

formation h satisfying (4.6) is differentiable, then:

a) dgAtxhe = dfi^x)'^tdxh]

b) dgAtj.hAe^^x = Ah{e^^x) + g{h{e^*'x))\

c) = doiptB, where B = doh;

d) dxhAx = Ah(x) + g{h{x)).

E xercise 4.4. Verify that h{x, y) = (x, y-bx^/5) is a differentiable conjugacy

between the solutions of the equations

x' = X,

and

\y' = - y

144 4. Hyperboiicity and Topological Conjugacies

Exercise 4.5. Discuss the stability of the zero solution of the equation

a;' = a: 2sina; + y,

{;y ^ y + xy.

Exercise 4.6. Consider the equation

ix' = yf{x,y),

(4.38)

= -xf{x,y),

a) Sketch the phase portrait.

b) Show that all solutions are global.

c) Find all homoclinic orbits.

d) Find all periodic orbits.

e) Show that in a neighborhood of the origin the periods T (r) of the

periodic orbits, where r = V x ^ " + ^ , satisfy T (r) = tt + ar^ + o(r^)

for some a ^ 0.

f) Find whether the solutions of equation (4.38) are topologically con

jugate to the solutions of the linear equation

= 3//(0,0),

\y' = - x / ( 0, 0)

in a neighborhood of the origin.

f x ' = yy(x,y),

\y' = -x y (x ,y ),

where

y(x,y) = (x^ + y^ - l)[y^ - (x^ -I- 2f][x^ - (y^ + 2f].

a) Sketch the phase portrait.

b) Find all global solutions.

c) Find all homoclinic orbits.

d) Find all periodic orbits.

e) Show that in a neighborhood of the origin the periods T{r) of the

periodic orbits satisfy T'{r) 7^ 0 for some r 7^ 0.

a) Find an integral for the equation.

b) Sketch the phase portrait.

4.5. Exercises 145

d) Find whether there exist periodic orbits of arbitrarily large period.

e) Find whether there exist periodic orbits of arbitrarily small period.

f) Find whether there exist periodic orbits of period tt^.

Solutions.

4.1 a) 0 and 1.

b) There are no critical points.

c) (0,0) and (1,1).

4.2 a) E^ = {(0 ,0 )} X and = R^ x {(0 ,0 )}.

b) = {0 } X R and = R x {0 }.

4.5 It is unstable.

4.6 c) { ( x , y ) 6 R 2 : x 2 + j/2 = 4 } \ { ( 0 , 2 ) } .

d) {(x ,y ) R^ : + y^ r^} with r G (0,1) U (1,2).

f) They are not.

4.7 b) All solutions are global.

c) There are no homoclinic orbits.

d) {() y) R^ : x^ + y^ = r^} with r (0,1) U (1,2).

4.8 a) y^/2 cosx.

c) ((2n + 1)7T, 0), n G Z is unstable and {2mr, 0), n G Z is stable but

not asymptotically stable.

d) Yes.

e) No.

f) Yes.

Chapter 5

Existence of Invari2int

Manifolds

In particular, we establish the Hadamard-Perron theorem on the existence of

invariant manifolds tangent to the stable and unstable spaces of a hyperbolic

critical point. The proofs use the fixed point theorem for a contraction in

a complete metric space (Theorem 1.35) and the Fiber contraction theorem

(Theorem 1.38). For additional topics we refer the reader to [7, 18, 19, 23].

critical point of the equation x' = f{x ). Also, let and <pt{z) be,

respectively, the solutions of the initial value problems in (4.3). By the

Grobman-Hartman theorem (Theorem 4.7), there exists a homeomorphism

h: U F , where U and V are, respectively, neighborhoods of xq and 0,

such that h{xo) = 0 and the identity

H M ^ )) = rt{h{z)) (5.1)

(pt{h{z)) of the linear equation y' = Ay, where A dxof, into the orbit

tpt{z) of the equation x' = f{x ). This yields the qualitative behavior in

Figure 4.1. Moreover, the stable and unstable spaces and (see Defi

nition 4.2) are transformed by the homeomorphism h~^ onto the sets

147

148 5. Existence o f Invariant Manifolds

Without loss of generality, one can always assume that the open set V

satisfies

for every t > 0. Indeed, using the construction in the proof of Theorem 2.50,

one can show that there exist open sets 5 c E^ and 5 C containing

the origin such that

and c

for every t > 0. Namely, given r > 0, one can take

P+OO

x e E >: / ||e"a ;f d t < r

Jo }

and

5

= {x e E ^ : J \\e^^xfdt<r'

}

Then the open set V = x 5 satisfies (5.3) for every t > 0. Moreover,

taking r sufficiently sinall, one can assume that U = h~^{B^ x 5 ) is the

open set in the statement of the Grobman-Hartman theorem (Theorem 4.7).

In what follows, we always make these choices.

a hyperbolic critical point of the equation x' = f{x). Then

V^ = { x e U : M ^ ) e U fo r t > 0 } (5.4)

and

V^ = { x U : ^t{x) e U fo r t < O}. (5.5)

Moreover, for each t > 0 we have

and

E T d { x V : ipt(x) e V i o r t < O}.

This follows from the Jordan canonical form of the matrix dxof- Hence,

by (5.3), we obtain

and

E ^ n v = { x e v : <pt{x) e V i o r t < o }.

5.2. The Haxiamard-Perron theorem 149

= h~\E^ n v )

= |/r ^(x) h~^{V) : {(pt o h){h~^{x)) U for t > 0}

= {/r ^(o;) U : {ho'if}i){h~^{x)) G V for t > 0 }

= {/i"Ha;) e U : Mh~Hx)) e U fort > 0 } ,

which establishes (5.4). Identity (5.5) can be obtained in an analogous

manner. Finally, the inclusions in (5.6) follow easily from (5.3). Indeed,

applying h~^ to the first inclusion we obtain

{h~^ o cpt){E^ n F ) C h~\E^ n F ) = F

for t > 0, but since h~^ o = 0^ o h~^, we conclude that

^tiV^) = {^toh-^ ){E^n V)

= {h-^oipt){E^nV) C F

for t > 0. The second inclusion in (5.6) can be obtained in an analogous

manner.

In fact, if / is of class C'^, then the sets F* and F in (5.2) are manifolds of

class C*, respectively, tangent to the spaces E^ and E^ at the point xq (see

Figure 5.1). This means that in a neighborhood of xq the sets F and F are

graphs of functions of class C'^. This is the content of the following result.

class C'^, for some /s G N, and let x q be a hyperbolic critical point of the

equation x' = f{x). Then there exists a neighborhood B of x q such that

the sets F n H and F D H are manifolds of class containing x q and

satisfying

(F n H) = F; and T^o iV " n B ) = E^.

We shall prove the theorem only for A: = 1 (for the general case see,

for example, [2]). The proof (for A; = 1) consists of showing that in some

neighborhood B of x q the sets F fl H and OB are graphs of functions

<p:E ^nB ^E ^ and ip -.E '^ n B ^ E ^ (5.7)

of class C^, that is,

V^nB = { { x , ^{ x ) ) : x E^nB} ,

V ^ n B ^ {{i}{x),x)-.xeE rn B ].

The argument consists essentially of two parts: first, we show that there

exist Lipschitz functions <p and ip (see Definition 1.31) satisfying (5.8), and

150 5. Existence o f Invariant Manifolds

then we show that these functions are of class C^. The techniques used

in both parts of the proof are also of different nature. For clarity of the

presentation, in Section 5.3 we prove that there exist Lipschitz functions tp

and Ip, and we establish their regularity in Section 5.4.

Motivated by Theorem 5.2 we introduce the following notions.

D efinition 5.3. For a function / : R >R of class and a hyperbolic

critical point xo of the equation a;' = f(x), the sets D B and DB

in Theorem 5.2 are called, respectively, (local) stable manifold and (local)

unstable manifold of xq.

Due to the inclusions in (5.6), it is also common to say that the stable

and unstable manifolds are invariant manifolds.

in (5.7) that satisfy the identities in (5.8).

T h eorem 5.4. Let / : R > R be a function of class and let xo be

a hyperbolic critical point of the equation x' = f{x). Then there exist a

neighborhood B of xq and Lipschitz functions

(p :E ^ n B ^ E ^ and i p - . E T n B ^ E ^ (5.9)

satisfying the identities in (5.8).

5.3. Existence o f Lipschitz invariant manifolds 151

then be obtained in a simple manner. Namely, let p: R M be the

function g{x) = f{x). We note that if ipt{xo) is the solution of the equation

x' = f{x) with x(0) = xq, for t in the maximal interval Ix^ = (a, b), then

^ ip - t {x o ) = - /( V -t(o))

for every t M. and xq G R such that t e Ixo- This shows that

'^t{xo) = 'i/j-tixo) is the solution of the equation x' = g{x) with x(0) = xq,

for t 6 (6, a). It follows from the identity dxo5 = ~dxof that xq is also a

hyperbolic critical point of the equation x' = g{x), with stable and unstable

spaces, respectively, E'^ and E^. Now let Vg and Vg be the correspond

ing sets obtained as in (5.2). By Proposition 5.1, there exists an open set

17 C R such that

= {x G 17 : ^t(x) G 17 for t > 0 }

= { x G 17 : ipt{x) G 17 for t < O},

and hence DB = for any sufficiently small neighborhood B of xq.

Thus, the result for n B follows from the result for P n B with respect

to the function g.

Moreover, without loss of generality, from now on we assume that xq = 0.

This can always be obtained through a change of variables (see the proof of

Theorem 4.7).

Step 1. Equivalent formulation of the problem. Let us consider coordinates

(x,y) E^ X E^ (recall that B 0 = R "'). For the equation x' = /( x ),

it follows from (5.6) that if (z,(p(z)) G P is the initial condition at time

to = 0, then the corresponding solution remains in P for all t > 0, and thus

it is of the form (x(t), ip{x{t))), for some function x(t).

As in the proof of Theorem 4.7, we write

/( x ) = Ax + g{x),

where

A = dof and g{x) = / ( x ) Ax.

We also consider the function g in (4.29), which satisfies (4.30). For any

sufficiently small z, it follows from the Variation of parameters formula in

Theorem 2.26 that

rt

x{t) = Pse'^^z + [ '^'>g{x{T),(p{x{T)))dT (5.10)

Jo

and

7o

152 5. Existence o f Invariant Manifolds

for t > 0 (because then the solution belongs to the neighborhood of zero

where g and g coincide). The idea of the proof is to use these identities and

a fixed point problem to establish the existence of a Lipschitz function ip.

Step 2, Behavior of the stable component Consider the set Y of all contin

uous functions ip: E'^ such that (/?(0) = 0 and

\W{x)-ip{y)\\<\\x-y\\, x,y E \ (5.12)

It is a complete metric space with the distance

\\(f{x) - 1p{x)

= sup|J : a; \ {0 }

uc I }

(see Exercise 1.14). Given (/? G F, let a; = x^p be the unique function of

class satisfying (5.10). In order to verify that it exists and is unique, we

note that since the right-hand side of (5.10) is differentiable in t, one can

take derivatives to obtain

Jo

= A x {t) + P sg{x{t),(p{x{t))).

Now we define

hp{x) = Psg{x,(p{x)). (5.13)

Taking r = 0 in (4.12) we obtain ||Ps|| < c. Hence, it follows from (4.30)

and (5.12) that

\\h^{x) - h^{y)\\ < c5\\{x,g>{x)) - {y,<p{y))\\

= c5\\{x - y, <fi{x) - (^(y))||

<c5\\x-y^-\-c5\\ip{x)-(p{y)W

< 2c5\\x - y\\.

The Picard-Lindelof theorem (Theorem 1.18) ensures that there exists a

unique solution of the equation

x' = Ax + h^{x) (5.15)

for each initial condition with values in E^. By (5.10), the function x = x,p

takes only values in E. Moreover, it follows from (4.12), (4.30) and (5.10)

that

||l(()|| < ce-'||z|| + / ce-'<-')||(l(T).v(l(T)))||<ir

Jo

in the maximal interval of the solution x{t). Since

||v?(a;(r))|| = ||v?(a;(r)) - 9p(0)|| < ||a;(T)||,

we obtain ^

||x(t)|| < ce-^ ||^|| f ce-^(*-^)2(5||a;(T)|| dr.

Jo

5.3. Existence of Lipschitz invariant manifolds 153

or equivalently,

l|x(t)|| < (6.16)

for t > 0 in the maximal interval of the solution. Eventually taking 6 smaller

so that p + 2c6 < 0, one can proceed as in the proof of Theorem 3.12 to

show that the function x{t) is well defined and satisfies (5.16) for every t > 0 .

Step 3. Some properties of the function x^p. Given z^z e let Xip and x^p be

the solutions of equation (5.15), respectively, with Xy,(0) = 2: and x<^(0) = z.

Since

\\g{x^{T),ip{x^{r))) - g{x^{T),(f{x^{T)))\\

< <5(||a;^(r) - x^(r)|| + \\^{x ^{ t )) - (^(x^(r))||) (5.17)

< 25\\x^{t ) - x^{t )\\,

writing

p{t) = \\x^{t) - x^{t)\\

it follows from (5.10) and (4.12) that

Jo

for t > 0. By Gronwalls lemma, we obtain

p{t) < c e ( - ^ + 2 c 5 ) t ||_ ^ _ ^11 (5 18)

for t > 0.

Given ip, ip E Y, let Xy, and x^j, be, respectively, the solutions of the

equations (5.15) and

x' = Ax + h , p { x )

with X(^(0) x.0 (O) = We have

||p(x^(r),(^(x^(r))) - g{x^{T),

0 (x^(r)))||

< \\9 M t ) , p { x ,^{ t ) ) ) - g { x ^ { T ) , i p { x ^ { T ) ) ) \ \

+ \\9Mr),ip{x^{T))) - g{x^{T),ip{x,p{T)))\\

< 5\\p {x,p{t )) - 0(x^(r))|l + (51|x^(r) - x^(r)|| (5.19)

< S y M r ) ) - iP{x^{t ))\\ + 5\\iP{x^{t )) - ip{x,p{T))\\

+ (5||x^(r)-x^(r)||

< (5d((^,V)||a:<^(r)|| + 2(5||x^(r) -x^(r)||.

Writing

p{t) = llx^(f) -x^(t)||.

154 5. Existence o f Invariant Manifolds

Jo Jo

p2c5r\r=t pt

<c2,5d((^,V')e-^ V r l k l l + / ce(-^+2c5)(t-r)25p(.^)^^

Jq

^ Jo

that is,

^ Jo

Hence, it follows from Gronwalls lemma that

or equivalently.

for every t > 0.

Jo

for every t > 0 if and only if

f+O O

<P{^) = - Pue~^'^g{x^{T),p{x^{T)))dT (5.22)

Jo

for every t > 0. We first show that the integral in (5.22) is well defined.

Indeed, it follows from (4.12), (5.12) and (5.16) that

< ce-^ 2<5ce(-'^+2^) ||z|| (5.23)

= 2c25e(-2^+2c<5)t||^||_

f+ o o r+oo

/ \\Pue~'^'^g{x^{T),ip{x^{T)))\\dT < 2c^6 dr < +oo,

Jo Jo

which shows that the integral in (5.22) is well defined.

Now we assume that identity (5.21) holds for every t > 0. Then

Jo

5.3. Existence o f Lipschitz invariant manifolds 155

\\Pue-^^ip{x^{t))\\ < ce-^ ce(-^+2ci)i||^||

< c2e(-2^+2c5)t||_^|| 0

when t + 00. Thus, letting t > +oo in (5.24), we conclude that (5.22)

holds. On the other hand, if identity (5.22) holds for every t > 0, then

P e ^ V (^ )+ [ Pue"^^*~'^^9{x^{T),<p{x^{T)))dT

Jo

+00

/ Pue^^^~'"^Hx<p{r),(p{x^{r))) dr.

noting by Ft{z) the solution of equation (5.10), which is also the solution of

the autonomous equation (5.15) with initial condition F q { z ) z , it follows

from Proposition 1.13 that

X^{ t ) = F r {z ) = F r -t{,F t{z)) = F r - t { x ^ { t ) ) .

f+O O

cp{z) = - / Pue-^^g{Fr(z), <p(Fr(z))) dr. (5.25)

Jo

Hence, it follows from (5.25) that

r+ o o

Pue'^^*~'"'>gix^(T),(p{x^{T))) dr

- /

+00

/ +00

Pue^^^-'^'>g(Fr-t{x^{t)), cp {F r-t(x ^ m ) dr

- f

Step 5. Existence of the function g>. Now we use identity (5.22) to show

that there exists a unique function <p g Y satisfying (5.21). To that effect,

we define a transformation T in y by

r+oo

T{(p){z) = - Pue~^'^g{x^{T),(p{x^{T)))dT. (5.26)

Jo

Since p(0) = 0 and x^{ t ) = 0 when 2 = a:y,(0) = 0, we have T((/?)(0) = 0.

Given z,z G E^, let x^ and x^ be again the solutions of equation (5.15),

respectively, with x<^(0) = 2: and x^{Qi) = z. It follows from (5.17) and (5.18)

that

\\g{x^{r),<pMr))) - 9{x^{r),9>{x^{r)))\\ < 2c5e( ^+2='^)^||z - f ||,

156 5. Existence o f Invariant Manifolds

and thus,

/+00

\\T{^){z)-T{<p){z)\\< / - z|| dr

Jo

c^6

<

H cS

for any sufficiently small 6. This guarantees that T{Y) c Y.

Now we show that T is a contraction. Given E Y and z E E^,

let and be the solutions, respectively, of the equations (5.15) and

x' = Ax + h^{x) with x^(0) = x.^(0) = 2:. It follows from (5.19), (5.20)

and (5.16) that

< 6d{p,'ip)\\x^{T)\\ + c5d{(p,tp)\\z\\e^~^'^^^'>'^

and thus,

^+00

\\T{p){z) -T{ip){z)\\ < / ce~>^'^2c6d{<p,ip)\\z\\e^~f^+^^'>'^dT

Jo

/+00

= / 2c^6d{p,'ip)\\z\\e^~^^'^^^^'^dr

Jo

c^6

< d{p,-ip)\\z\\

p 2c5

This implies that

(?5

d {T {p),T m < d{p,tp). (5.27)

p, 2c6

For any sufficiently small 5, the transformation T is a contraction. Thus,

by Theorem 1.35 there exists a unique function p e Y such that T{p) = v?,

that is, such that identity (5.22) holds. This shows that there exists a

unique function p e Y satisfying (5.10) and (5.11). Since ^ ^ in the ball

B = 5 (0 , r/3 ) (see the proof of Theorem 4.7), we obtain

It also follows from the proof of Theorem 5.4 that along F D 5 the

solutions decrease exponentially. More precisely, given .2 5* D 5 , let

t ^ {x^{t),p{x^{t)))

5.4. Regularity o f the invariant manifolds 157

(5.12) and (5.16) that

ll(x^((),>(i(()))ll < 2||xy(()|| < 2 c e '-'+=*) ||2||, t > 0.

(Theorem 5.2). Namely, we show that the functions (p and V* in (5.9) are of

class in a neighborhood of xo-

hyperbolic critical point of the equation x' = f{x). Then the functions p

and rp in Theorem 5.4 a,re of class in a neighborhood of x q .

the argument for P n B is entirely analogous. Moreover, without loss of

generality, we assume that x q = 0.

Step 1. Construction of an auxiliary transformation. Let L{E^,E'^) be the

set of all linear transformations from E^ to Also, let Z be the set of all

continuous functions ^ L{E^,E^) such that $(0) = 0 and

sup {||$(z)|| : 2; G < 1.

Using Proposition 1.30, one can easily verify that equipped with the distance

d ($ ,^ ) = sup{||$(2) - *'(2)11 : z e E ^ }

the set Z is a complete metric space. Given p E Y and z E E^ (see the

proof of Theorem 5.4 for the definition of the space Y), let x = be the

solution of equation (5.15) with x^(0) = 2 . For simplicity of the exposition,

we introduce the notations

y^{T,z) = {x^{t ),(p{x:p{t )))

and

G(r, 2, 5, $ ) = ^)) + (5.28)

for each (y?, $ ) T x Z and 2 G ?* by

/ +00

A{<p, $ ) ( 2) = - / Pue-^^G{r, 2, p, $ )IP ( t ) dr, (5.29)

Jo

where

W = ^L{E^,E^)

is the matrix function of class determined by the identity

Jo

158 5. Existence o f Invariant Manifolds

Writing

C{t,z) = A + P sG{ t, z ,(p ,^), (5.31)

for each x E the function u{t) = W{t)x is the solution of the linear

equation u' = C{t, z)u with initial condition u(0) = x. Since the function

in (5.13) is Lipschitz (see (5.14)), it follows from Theorem 1.38 that the maps

{t,z) Xipit) and are continuous. Thus,

(see (5.28)). Hence, the solution u has maximal interval E and the function

W is well defined.

Now we show that the transformation A is well defined. It follows from

(4.12) and (4.30) that

f*+oo

f+O O

e ^^ G(r,2:, $)W '( t )||dr

Jo (5.32)

f+O O

<2cS e ^^||W(r)||dr.

Jo

On the other hand, by (5.30), we have

Jo

Multiplying by it follows from Gronwalls lemma (Proposition 1.39) that

/'+00 ^2;:

B < 2c^5 / < (5.34)

Jo jj, c6

This shows that the transformation A is well defined and

c2(5

P ( ,^ )(^ )ll< fi cS < 1

for any sufficiently small 6. Since dog = dog = 0, ?(0) = 0 and = 0 for

z = 0, it follows from (5.29) that A{ifp, $ ) ( 0 ) = 0.

We also show that the function z A{tp,^){z) is continuous for each

(y?, ^) e Y X Z. Given z,z E E^, let x^ and x,p be the solutions of equa

tion (5.15), respectively, with x^(0) = z and x^{0) = z. We also consider

the matrix functions

5.4. Regularity o f the invariant manifolds 159

Given e > 0, it follows from (5.32) and (5.34) that there exists T > 0 such

that

f*+oo

p-j-oo

/ \\Pue-^-^G{r,z,ip,^)W,{T)\\dr<e

Jt

and

p+oo

/ ||Pe-^^G (r, z, ip, ^ ) W , i r ) \ \ dr < e.

Jt

Thus,

\\ A {ip ,^){z) - A{ip, $ )(z )

(5.35)

< c r e-^"||G(r, z, ip, ^ ) W ,{r) - G{r, z, ip, $)W^,(r)l| d r + 2e.

Jo

Now we show that the function

function z i-> Wz{t ) is continuous. To that effect, we consider the linear

equation u' = C{t, z)u, with the matrix C{t, z) as in (5.31). Since

W z (t) = Id E ^ + r C(s, z ) W z ( s ) ds

Jo

and

Jo

we have

Jo (5.37)

+ / C{s,z){Wz{s)-Wz{s))ds.

Jo

Take A, r > 0. Since {t, z) i-> C{t, z) is uniformly continuous on the compact

set [0, A] X 5 (0 , r), given e > 0, there exists S (0, r) such that

p - 2cd Jo

160 5. Existence o f Invariant Manifolds

for t [0, A] and z,z e B(0, r) with H^: z|| < S. By Gronwalls lemma, we

finally obtain

ce ce o A A

H - 2c6 n - 2c5

for t [0, A] and z,z B{0,r) with ||z z\\ < 6. This implies that the

function (t,z) i-)- Wz(t) is continuous in each set [0, A] x 5(0 , r) and thus

also in R j x 5 (we already know that the function is of class in t, since it

is a solution of the equation u' = C{t, z)u). Therefore, the function in (5.36)

is also continuous, since it is a composition of continuous functions. Hence,

it is uniformly continuous on the compact set [0, T] x 5(0 , r) and there exists

S (0, r) such that

||G(r, z, ^)W,{r) - G{ t, z , $)W 5(r)|| < e

for t [0, T] and z,z & 5(0 , r) with \\z z|| < 5. It follows from (5.35) that

ce

$)(^) - A{if, $)(2;)|| < + 2e

for z,z E 5 (0 , r) with H^; z\\ < 6, and the function z i->- A{(p,^){z) is

continuous (because it is continuous in each ball 5 ( 0 ,r)). This shows that

A{Y x Z ) c Z .

Step 2. Construction of a fiber contraction. Now we show that the trans

formation S: Y X Z ^Y X Z defined by

and

be the matrix functions determined by identity (5.30). We have

\\A{p, $ )(z ) -yl(^,')(z)||

r+oo

<c e~'^^G{T,z,cp,^)W^{T) - G{T,z,<p,^)W^{T)\\dr

p-\-oo

<c e-^"5(||W$(r)-W^(r)||

Jo

+ ||$(x^(r))W$(r) - '^(x^(r))W^(r)||) dr

r-\-oo (5.38)

<c / e-^"<5(||W*(r)-W^(T)||

Jo

+ ||$(x^(r))||-||W$(r)-W^(r)||

+ ||$(x^(r))-^(x^(r))||.|lW^(r)||)dr

r+ oo

< c e-^^<5(2||W$(r) - W^(r)l| -k d($, ^)||Wq/(r)||) dr.

5.4. Regularity o f the invariant manifolds

w(t) = W^(t) -

(5 33) obtain

In an analogous manner to that in (5.38), using

ft

|lto(t)||<c / e-f^^*-'^hS\\w{T)\\dT + cS d i^ ,'^ ) ^

rt , /* _;.(t-r)g-(A-2<='^)^dr

<2cS / e-^^^^-^'>\\w{T)\\dr + c^Sdi^,'^) ^

Jo i>t

< 2 c ( J e - ^ r e '^ ^ | | t ( r ) | | d r + c^5d(^,

Jo

< 2 c (5 e -^ * J e ' ^ ^ | | u ;( r ) | | dr + -Cd ( $ , -r\ f-/X+2c<^)^

Jo

For the function

2c6t

a{t) = ^d{^,'H)e

we have

a{t) + 2c(5/o e/*^||u)(r)|| dr " ^(t) a(t) + 2c5/g eM^||u;(T)|| dr

a {t)

< + 2c(5,

a(t)

Jo

or equivalently,

162 5. Existence o f Invariant Manifolds

r+oo

\\A{ip, $ )(z ) - A{ip, 'J ') ( z ) || < c^5d{^, ^ ) / dr

Jo

r+oo

g-(2M-2ci)r

+ c^-5d{^, / (

Jo

r+oo

= 2cHd{^,'if) / e-2(M-2c5)r^,

Jo

c^5

H - 2c5

This shows that for any sufficiently small 5 the transformation 5 is a fiber

contraction.

2 E^, let

and

r +00

<c e

Jo

r +00 -^T

<c e \\W^ir)\\dr

Jo

r+oo

+ c \\W^ir)-W^{T)\\dT

i

r+oo

+ c ll^(^('r))|| W^ij)\\dT

i

r+oo

+ c ||$(%(r)) - $(x^(r))|| \\W^{t )\\dr

(r+oo

+ c^ ||$(a;^(r))|| \\W^{t ) - W^{t )\\dr,

1

and thus,

r+oo

<c2 / ,^{2/jb2cS)r dr

Jo

r+oo

+ C2 / ,^-(2fjL-2c6)r dr

Jo

5.4. Regularity o f the invariant manifolds 163

Jo

/*+oo

+ c^S / - ^(a;v-(T))|| dr,

Jo

using also (5.33). Take e > 0. It follows from (4.30) that there exists T > 0

such that

+00

,2 / ^{2fjb2c6)T dr

,2 / +00 ^ {2 i i 2 c 6 )t

dr

i :

r-\-oo

r+oo

+ 2c5 e~>^^\\W^{r) - W^{t )\\dr

/*+oo

+ (^6 e-(2/^-2-^)"||$(x^(r)) - $(x^(r))|| dr

r+ o o

<10c^6J e-(2#^-2=^)^dr<e

/^ ^ - { 2 / jL - 2 cS )t

< c^ / | (v .(n .))-g M ^ .)) dr

Jo

+ c2 / e-(2M-2c5)r ^ ( y v ( r , z ) ) - ^ { y t { r , z ) ) dr

I

+ c + \\W^{T)-W^(r)\\dr

r - ( If(w (n ^ ))

r

+ c V {2fjL2c5)r ll^(v W ) - W )ll dr + e.

Jo

(5.40)

Now we recall that the function g vanishes outside a closed ball 5(0 , r)

(see (4.29)). Hence, in (5.40) it is sufficient to take r G [0,T] and z G 5

such that

On the other hand, again because 5 = 0 outside 5 (0 , r), for any sufficiently

large 5 > 0 the solutions of the equation x' = Ax + h^{x) (see (5.13)) with

initial condition a;(0) G 5 such that ||x(0)|| > 5 , satisfy

{x{t),(p{x{t)))\\ > r

164 5. Existence o f Invariant Manifolds

for every (p G Y and t 6 [0, T] (because then they are also solutions of the

equation x' = Ax). Hence,

for every r [0, T] and z E with ||^:|| > R. This implies that for r

as in the proof of Theorem 4.7 all integrals in (5.40) vanish for ||z|| > R.

Therefore,

cT

< c sup ^-{2fi2c5)r dr

zB( , ) J/o

o r Jo

f

zeB{0,R) Jo (5.41)

zeB(o,R) J o

zE

z .B(0^R

B( o,r )

Jo

Since the functions dg and $ are uniformly continuous on the closed ball

5 ( 0 , 2cR), there exists 77 > 0 such that

dg, X 9g

+ < s (5.42)

and

for w,w e B{0,2cR) with ||rw - U7|| < 77. Moreover, it follows from (5.12)

and (5.20) that

for every r > 0 and z G 5 , and any sufficiently small S such that /j,-4c5 > 0.

Now we estimate Wi^(t) W)/,(t). It follows from (5.30) that

Jo

5.4. Regularity o f the invariant manifolds 165

< I e -(2 M -2 c 5 )r

^ {y A r,z))-^ M r.z)) dr

7

+ c2 / e-(2M-2ci)r dr

/

+ 2c5 f e->^^\\W^{T) - W ^ { t )\\ dT

Jo

+ cH r dr.

Jo

By (5.16), we have

k(p('r)|| < c||^:|| < cR,

and thus,

||yv ('^>^)ll ^ 2 c||2 || < 2cR

for (^ y , r > 0 and G B{0,R). Hence, it follows from (5.42), (5.43)

and (5.44) that

Jo Jo

+ 2c5 [ e~^'^\\W^p{r) - W^{r)\\ dr

Jo

for t > 0, and it follows from (5.41), (5.42) and (5.43) that

(?5e

2/i 2c5

2ix-2c5\ 2iJi-4c6j

whenever d{<p,ip) < rj/{cR). This shows that the transformation A is con

tinuous, and the fiber contraction S is also continuous (we already know

that T is a contraction; see (5.27)).

class and T is the transformation in (5.26), then T (^ ) is of class and

166 5. Existence o f Invariant Manifolds

defined by

h^{x) = Psg{x,ip{x))

(see (5.13)) is also of class C^. Thus, it follows from Theorem 1.42 applied

to the equation

x' = Ax + h^{x)

that the function u defined by u{t,z) = x-^{t) is of class C^. Moreover, for

$(z) = dzip it follows from (5.30) that W{t) = du/dz. Indeed, substituting

this function W in the right-hand side of (5.30) (with tp replaced by ip) we

obtain

= Ps6^* + Pse^(*~'^)^5 (y^(r, z)) dr

^ z ^ z)) dr^

dx^(r) du

dz

using also the Variation of parameters formula in Theorem 2.26. It follows

from the uniqueness of solutions of a differential equation that W(t) =

dujdz. Moreover, applying Leibnizs rule in (5.30), we obtain

P+OO

A{ip, dip){z) = - / dz [Pe"^'5(y^(r, z))] dr = dzT{ip).

Jo

Since t->- A{ip,dip){z) is continuous, we conclude that T{ip) is of class C^.

Now we consider the pair (i^Ot^o) = ( 0 ) 0 ) ^ ^ ^ Clearly, $o('2^) =

dz(fo- We define recursively a sequence ((^n> ^*n) by

that the function Pn+i is of class and

A{p,^)., then, by the Fiber contraction theorem (Theorem 1.38), the se

quences pn and converge uniformly respectively to p and $ in each

compact subset of E^. It follows from (5.46) and Proposition 1.41 that p is

differentiable and dzP = $(.z). Since $ is continuous, this shows that p is

of class .

5.5. Exercises 167

5.5. Exercises

E xercise 5.1. Sketch the proof of Theorem 5.2 for k = 2, that is, show that

if the function / is of class C^, then there exists a neighborhood B of xq

such that y n 5 is the graph of a function of class

/(O) = 0 and dof = ( o &) i with 0 < o < 1 < 6. Given 5 > 0, let

V = { x e B(0, S) : r { x ) e B(0,5) for n N}.

Show that there exist 5 and A with a < A < 1 such that if (x, y) V, then

||/"(a;,y)|| < A'"||(x,y)||, n e N.

Hint: Write / in the form

f{x, y) = (ox + g{x, y), 6x + h{x, y))

and look for V as a graph

V = {(x,v?(x)) : X G (-<5, (5)}

of some Lipschitz function cp: (-S, 6) with (/?(0) = 0.

Part 3

Chapter 6

Index Theory

In this chapter we introduce the notion of the index of a closed path with

respect to a vector field in the plane. On purpose, we do not always present

the most general results, since otherwise we would need techniques that

fall outside the scope of the book. In particular, we discuss how the index

varies with perturbations of the path and of the vector field the index does

not change provided that the perturbations avoid the zeros of the vector

field. As an application of the notion of index, we establish the existence

of a critical point in the interior of any periodic orbit in the plane (in the

sense of Jordans curve theorem). For additional topics we refer the reader

to [4, 9, 19].

In this section we introduce the notion of the index of a closed path with

respect to a vector field in the plane, and we discus how it varies with

perturbations of the path and of the vector field.

path if there exists a function a : (a, b) R^ of class in some interval

(a,b) D [0,1] such that a{t) = 7 (t) and a'{t) 7^ 0 for t [0,1]. The image

7 ([0, 1]) of a regular path is called a curve.

7 (0) = 7 ( 1) and the restriction 7 |(0 , 1) is injective (see Figure 6.1).

171

172 6. Index Theory

We note that the image 7 ([0, 1]) of a closed path has no intersections

other than the initial and final points 7 (0) = 7 (1).

Consider a vector field / : of class and write / = ( / i , / 2))

where / i , / 2 : > E are the components of / . We recall that the line

integral of / along a regular path 7 is defined by

I l o dt,

D efinition 6.3. Given a closed path 7 such that 7 ([0, 1]) contains no zeros

of / , the number

1 / ' / 1V / 2 - / 2V /1

/? + / !

is called the index of 7 (with respect to / ) .

effect, we note that in a neighborhood of each point x 6 7 ([0, 1]), the angle

between / (a;) and the positive part of the horizontal axis is given by

7t/2, fi{x) = 0 and f 2(x) > 0,

0{x) = <

arctan(/2( x ) // i (x)) + tt, / i (x) < 0,

61

( . )

where arctan denotes the inverse of the tangent with values in (-7r /2, 7r /2).

Now we define

( 6 . 2)

6.1. Index for vector Gelds in the plane 173

integer multiple of 2tt, the gradient VO is defined globally.

P rop osition 6.4. I/j: [0,1] is a closed path such that 7 ([0, 1]) con

tains no zeros of f , then Ind/ 7 = N { f , j ) .

/lV/2 - /2V/1

V9 =

/f + M

and thus,

ve

= ^ / v % ( ) ) '/(()< (6.3)

0{j{t)) dt.

27t Jo dt

This yields the desired result.

It follows from the definition of N{f, 7 ) in (6.2) and Proposition 6.4 that

the index is always an integer.

Exam ple 6.5. Consider the phase portraits in Figure 6.2. One can easily

verify that

Ind/ 7 i - 0, Ind/ 72 = 1

in the first phase portrait, and that

Ind/ 7 3 = 0, Ind/ 7 4 = 1

in the second phase portrait.

the index changes sign. More precisely, given a closed path 7 ; [0, 1] ^

we consider the closed path 7 : [0, 1] > defined by

( - 7 ) ( 0 = 7 (1 - t)-

Since 7 and 7 have the same image, if the curve 7 ([0, 1]) contains no zeros

of / , then In d /(7 ) is also well defined and

In d /(7 ) = In d /7 .

point the index is always zero.

P rop osition 6 .6 . Let be a function of class C^. If xq e R"^ is

such that f{xo) ^ 0, then Ind/ 7 = 0 for any closed path 7 whose image is

contained in a sufficiently small neighborhood ofxQ.

174 6. Index Theory

P roof. We first note that by continuity the function / does not take the

value zero in a sufficiently small neighborhood of xq. Thus, for any closed

path 7 in this neighborhood, the image 7 ([0, 1]) contains no zeros of / and

the index Ind/ 7 is well defined. Moreover, also by the continuity of / , in

a sufficiently small neighborhood of xq the function 9 in (6.1) only takes

values in some interval [a, 6] of length less than 2ir, and thus, it follows from

the first integral in (6.2) that iV (/,7 ) = 0. By Proposition 6.4, we conclude

that Ind/ 7 = 0.

section we study how the index varies with perturbations of the path 7 and

of the vector field / .

We first recall the notion of homotopy.

D efinition 6.7. Two closed paths 70, 7 1 : [0,1] > are said to be homo

topic if there exists a continuous function H : [0, 1] x [0, 1] such that

(see Figure 6.3):

a) H{t, 0) = 7 o(t) and H{t, 1) = 7 i(t) for every t G [0,1];

b) i?(0, s) = H{l,s) for every s G [0,1].

We then say that is a homotopy between the paths 70 and 7 1 .

The following result describes how the index varies with homotopies of

the path.

P rop osition 6 .8 . The index of a closed path with respect to a vector field

of class does not change under homotopies between closed

paths whose images contain no zeros of f .

6.1. Index for vector fields in the plane 175

70 and 71 such that H{[0, 1] x [0, 1]) contains no zeros of / . Since the function

{t, s) !-> f(7s(t)) is uniformly continuous on the compact set [0, 1] x [0, 1]

(because continuous functions are uniformly continuous on compact sets),

given e > 0 and s [0, 1], there exists a neighborhood Is of s in [0 , 1] such

that

llf(7r(t))-f(7sm i<e

for every t [0,1] and r e Is- This implies that iV (/,7 r) = In d /7 s for

r /s (because the index is an integer). Hence,

In d /7 r = In d /7 s for r /.

Since the interval [0,1] is compact, there exists a finite subcover ,...,

of [0,1], with Si < S2 < < Sn. Therefore,

Now we consider perturbations of the vector field / .

that X !-> F{x, s) is of class for each s [0, Ij. If-y is a closed path such

that F{x, s) for every x E 7 ([0, Ij) and s E [0,1], then Ind^o 7 = Indi?i 7 ,

where Fs{x) = F{x, s).

tion 6.8. Since the function (t,s) 1-^ F('y(t),s) is uniformly continuous on

[0,1] X [0,1], given > 0 and s E [0,1], there exists a neighborhood Jg of s

in [0, 1] such that

||F ( 7 ( t ) , r ) - F ( 7 ( t ) , ) ||< e

176 6. Index Theory

for every t G [0,1] and r G Js- This implies that Indj?^ 7 = Indp^ 7 for

r E Js- Since the interval [0,1] is compact, there exists a finite subcover

Jsi,---, Jsm. of [0) 1]) with < S2 < < Sm- Therefore,

Indfo 7 = IndF.i '7 = Ind^^^ 7 = = IndF, 7 = M fi 7,

which yields the desired result.

6.2.1. P eriod ic orbits and critical points. In this section we show that

any periodic orbit has a critical point in its interior (in the sense of Jordans

curve theorem), as an application of Proposition 6.8. We first recall the

notion of a connected set.

written in the form U = A\J B ioi some nonempty sets A and B such that

A n B = A n B = 0.

A set 17 C is said to be connected if it is not disconnected.

nent of U if any connected set B C U containing A is equal to A.

Now we recall Jordans curve theorem (for a proof see, for example, [10]).

ous function mth'y{0) = 7 (1) such that-yKO, 1) is injective, thenR^\j{[0, Ij)

has two connected components, one bounded and one unbounded.

interior of the curve 7 ([0, Ij). One can now formulate the following result.

P rop osition 6.13. Let f : be a function of class and let

7 : [0, 1] > 6e a closed path. jljfInd/ 7 7^ 0, then the interior of the

curve 7 ([0, 1]) contains at least one critical point of the equation x' = f(x).

P roof. Let us assume that the interior U of the curve 7 ([0, 1]) contains no

critical points. Since 6 is of class and V0 = {dd/dXydOjdy), it follows

from Greens theorem that

0 ^ In d ,. = V . = [ | ( D - 1 ( g ) ] = 0.

6.2. Applications o f the notion o f index 177

interior of each periodic orbit of the equation x' = f {x ) there exists at least

one critical point.

We first show that Ind/ 7 = 1 . We note that Ind/ 7 = In d j7 , where g

is defined in a neighborhood of 7 ([0, 1]) by g{x) = /(a;)/||/(a;)|| (clearly,

/ does not take the value zero on the periodic orbit). This follows readily

from Proposition 6.4, because the function 0 in (6.1) takes the same values

for / and g. Moreover, without loss of generality, we assume that the curve

7 ([0, 1]) is contained in the upper half-plane and that the horizontal axis

is tangent to 7 ([0, 1]) at the point 7 (0), with 7 ^(0) pointing in the positive

direction of the axis (if the curve 7 is traversed in the opposite direction, then

one can consider the curve 7 and use the identity Ind/ 7 In d /(7 )).

Now we define a function u : A in the triangle

by

v{t,s) = ^ gintit)), t = s,

[(7 (s )-7 (t))/| l7 (s )-7 (t)| | , t < s and (t, s) ^ (0, 1).

One can easily verify that the function v is continuous and that it does not

take the value zero. Let a{t, s) be the angle between v{t, s) and the positive

part of the horizontal axis. Clearly, o:(0,0) = 0, because 7 ^(0) is horizontal

and points in the positive direction. Moreover, since 7 ([0, 1]) is contained

in the upper half-plane, the function [0, 1] 9 s a (0, s) varies from 0 to it.

Analogously, the function [0 ,1] 9 1 1-> a{t, 1) varies from tt to 2tt.

On the other hand, since v does not take the value zero in A, it follows

from Proposition 6.13 that Indi,5A = 0. This shows that the function

[0,1] 9 1 1-9 a{t, t) varies from 0 to 2n. Now we observe that aft, t) coincides

with the angle 5(7 (f)) between gi'yft)) and the positive part of the horizontal

axis, by the definition of v. Therefore,

Applying Proposition 6.13, we conclude that there exists at least one

critical point in the interior of the periodic orbit.

178 6. Index Theory

class for closed paths whose image is a circle.

7 : [0,1] M? be a closed path whose image is a circle. If Ind/ 7 ^ 0,

then the interior of the curve 7 ([0, 1]) contains at least one critical point of

the equation x' = f{x).

P ro o f. We assume that the interior of the curve 7 ([0, 1]) contains no critical

points. Now let a be a closed path in the interior of 7 ([0, 1]) traversed in

the same direction as 7 . Then the function H : [0,1] x [0,1] -> R^ defined by

H{s,t) sy^t) + (1 - s)a{t)

is a homotopy between a and 7 . Moreover, i? ([0 ,1] x [0,1]) contains no

critical points. It follows from Proposition 6.8 that

Indy a = Indy 7 7^ 0.

On the other hand, if the diameter of the set a ([0 ,1]) is sufficiently small,

then it follows from Proposition 6.6 that Indy a = 0. This contradiction

shows that there exists at least one critical point in the interior of the

curve 7 ([0, 1]).

6.2.2. B rou w ers fixed point theorem . Here and in the following sec

tion we provide two applications of Proposition 6.9. The first is a proof of a

particular case of Brouwers fixed point theorem. Namely, we only consider

functions of class in the plane.

. is a function of class and B is

a closed ball such that f { B ) c B, then f has at least one fixed point in B.

that

B = {{x,y) :x^ +y^ < l } .

Now we consider the transformation 5 : R^ R^ defined by g{x) = x f{x).

We want to show that g has zeros in B. If there are zeros on the boundary

of B, then there is nothing to prove. Thus, we assume that there are no zeros

on the boundary of B, and we consider the function F : R^ x [0,1] > R^

defined by

F{x,t) = tf{x) X.

We note that F{x, 1) = g{x) 7^ 0 for x E dB, by hypothesis. Moreover, for

t [0, 1) we have ||t/(x)|| < 1 , and thus, one cannot have tf{x) = x when

||x|| = 1. This shows that F{x,t) 7^ 0 for every x dB and t E [0,1]. Now

we consider the closed path 7 : [0, 1] R^ defined by

7(t) = (cos(27rt),sin(27rt)).

6.3. Index o f an isolated critical point 179

that traverses the boundary of B in the positive direction. Then the condi

tions in Proposition 6.9 are satisfied, and we conclude that

Indp 7 = Ind^i 7 = Indigo 7 = India 7 = 1 .

Hence, it follows from Proposition 6.15 that there exists at least one zero

of g in the interior of the ball B.

Fundamental theorem of algebra, again as an application of Proposition 6.9.

C, the equation 2 -t- -|- + a = 0 has at least one root in C.

F{z, t) = z'^ + t{aiz^~^ -I------- h o).

Moreover, given r > 0, we consider the closed path 7 : [0,1] -> C defined by

7 (t) = Now we assume that

r > 1 -|- |oi| |On|.

For z 7 ([0 ,1]) and t [0,1], we have

|z"| ^n1

> |aiK-^ + |a2K-i-F + |an|r ^

n2

> \ai\r^-^ + \a2K-'^ + + |n|

> t|aiz ^ + + On|)

since r > 1. This shows that F (z, t) ^ 0 for z 7 ([0, 1]) and t [0,1]. Thus,

letting Ft{z) = F{z, t) for each t G [0,1], it follows from Proposition 6.9 that

Indi?j 7 = IndFo 7- (6-4)

On the other hand, one can easily verify that IndFo7 = n 7^ 0. It follows

from (6.4) that Ind^i 7 7^ 0. Hence, by Proposition 6.15, there exists at least

one zero of Fi in the interior of 7 ([0, 1]), that is, the polynomial

Fi(z) = z -b a iz " ^ -I------- h a

has at least one root with |z| < r.

6 .3 . I n d e x o f an is o la te d c r itic a l p o in t

point of the equation x' = f{x), for a vector field / ; ^ E^ of class C^.

isolated if it is the only critical point in some neighborhood of xq.

180 6. Index Theory

sufficiently small such that the ball B(xo,e) contains no critical points be

sides Xq, and consider the closed path 7 ^: [0, 1] > defined by

7e(t) = X q + (cos(27rt),sin(27Tt)).

By Proposition 6.8, the integer number In d /7 e is the same for any suffi

ciently small e > 0, and one can introduce the following notion.

of Xq (with respect to / ) is the integer number In d /7 e, for any sufficiently

small > 0. We denote it by Ind/ x q .

Exam ple 6.20. Consider the phase portraits in Figure 2.16. The origin is

an isolated critical point in all of them. One can easily verify that the index

is 1 in the case of the saddle point and 1 in the remaining phase portraits.

sufficient to know the index of the isolated critical points. For simplicity of

the proof, we consider only vector fields of class C^.

closed path with positive orientation. If the equation x' = f (x ) has finitely

many critical points x i , . . . , X n in the interior of the curve 7 ([0, 1]), then

n

Ind/ 7 = ^ I n d / Xj.

i= l

P roof. Let U be the interior of the curve 7 ([0, 1]) and take > 0 sufficiently

small such that B{xi,e) C U for t = 1 , .. ., n. We also consider the closed

paths 7 i : [0, 1] >R^ given by

7 i(t) = Xi -I-(cos(27rt),sin(27rt))

6.4. Exercises 181

= [ ^ ( 1 ) - l(S)]

where D = U \ I J ^ i B{xi,e). Thus, by (6.3), we obtain

I n d , 7 = = E l 0 / T i -

*^ 7 i= l i= l

Since the interior of each curve 7 i([0, 1]) contains no critical points besides Xi

we have Ind/ 7 ^ = IndfXi for i = 1 , .. ., n. Thus,

i=l i=l

which yields the desired result.

6.4. Exercises

r' = r cos 0,

{

O' = sin0.

a) Sketch the phase portrait.

b) Determine the stability of all critical points.

c) Find the index of all isolated critical points.

ix' = y,

|y' = - x /4 + ay - P{x^ + 4y^)y - {x^ + 4y^)^y.

a) Find the index of the origin when a = 1 .

b) Find whether the equation is conservative when a ^ O .

c) Show that if a = = 0, then the origin is stable.

d) Show that if a > 0, then there exists at least one periodic orbit.

- r(l cos6).

b) Determine the stability of all critical points.

c) Find the index of all isolated critical points.

182 6. Index Theory

d) Find whether there are global solutions that are not critical points.

u = u uv,

{ /

V = u v V.

b) Show that

H{u, v) = u + v log(uu)

is an integral in the quadrant {( , u) : n, u > 0}.

c) Show that there exist infinitely many periodic orbits. Hint; Verify

that H has a minimum at (1,1).

d) Sketch the phase portrait.

then the equation

ix' = y + f{x,y),

\y' = - x + g{x,y)

has at least one critical point.

a) Show that there exists a; R such that F { F{x)) x. Hint: Use

Exercise 6.5.

b) Show that there exists a; R such that sin(l sin^(l x^)) = x.

E xercise 6.7. Find the index of the origin for the vector field

f{x, y) = {2x + y + x^ + xy^, x + y - y ^ + a ;V )-

equation x' = f{x) has a periodic orbit 7 , then the following alternative

holds: either div / = 0 in the interior [/ of 7 (in the sense of Jordans curve

theorem) or d iv / takes different signs in U. Hint: Write / = ( / i , / 2) and

note that by Greens theorem,

/ div / = / ( - / 2, / i ) .

JU J'l

E xercise 6.9. Show that if /,^ : R )R are functions of class then the

equation

\x' = f{y),

\y' = g{x) + y^

has no periodic orbits.

6.4. Exercises 183

x" = p{x)x' + q{x).

Use Exercise 6.8 to show that if p < 0, then there are no periodic orbits.

fx' = y ( l - h x - y ^ ) ,

= x(l + y - x^).

Show that there are no periodic orbits contained in the first quadrant.

a) x^^ x^ H1 = Oj

''a ; ' + _ 1 = Q ,

b)

y' + a; + 1 = 0.

Solutions.

6.1 b) The origin is the only critical point and is unstable,

c) 2.

6.2 a) 1 .

b) It is not.

6.3 b) (0,0) is unstable.

c) 1.

d) There are.

6.4 a) -1 .

6.7 - 1 .

6 .1 2 a) It has not.

b) It has not.

Chapter 1

PoincareBendixson

Theory

introducing the notion of invariant set, we consider the a-limit and w-limit

sets and we establish some of their basic properties. In particular, we show

that bounded semiorbits give rise to connected compact a-limit and w-limit

sets. We then establish one of the important results of the qualitative the

ory of differential equations in the plane, the Poincare-Bendixson theorem,

which characterizes the a-limit and w-limit sets of bounded semiorbits. In

particular, it allows one to establish a criterion for the existence of periodic

orbits. For additional topics we refer the reader to [9, 13, 15, 17].

nition 3.15). Then the equation

has unique solutions. We denote by v?t(xo) the solution with a;(0) = xo, for

t Ixo> where Ixq is the corresponding maximal interval.

equation (7.1)) if (^t(x) A for every x G A and t Ix-

185

186 7. Poincare-Bendixson Theory

X' = y ,

(7.2)

1y' = -X.

Its phase portrait is the one shown in Figure 1.4. The origin and each circle

centered at the origin are invariant sets. More generally, any union of circles

and any union of circles together with the origin are invariant sets.

One can easily verify that a set is invariant if and only if it is a union of

orbits. In other words, a set >1 C R is invariant if and only if

^ = U l{x)-

xeA

respect to equation (7.1)) are defined respectively by

ye-y^x)

and

w (x ) = U)f{x) = P i 7 + (y ).

y-y(x)

E xam ple 7.5 (continuation of Example 7.2). For equation (7.2), we have

7.1. Limit sets 187

e' = 1 .

5 = {a; G : ||a;|| = l } .

We have

a{x) (jj{x) = 'j'^{x) = 'y~{x) = 7 (a;)

for X G {(0 ,0 )} U S,

E xam ple 7.7. For the phase portrait in Figure 7.2 we have:

a(xi) = w(xi) = 0 ;

o:(x2) = 0 , w(x2) = {g };

a (x 3) = w(x3) = {p };

188 7. Poincare-Bendixson Theory

ties of the a-limit and w-limit sets for equation (7.1).

bounded, then:

a) u){x) is compact, connected and nonempty;

h) y E <jj{x) if and only if there exists a sequence tk Z' +oo such that

^tk () y ^hen k oo;

c) ft{y) Lo{x) for every y e u{x) and t > 0;

d) inf{||(^((a;) ?/|| : y w (x)} 0 when t )-foo.

that u)(x) is closed. On the other hand, w(x) C K and thus u{x) is also

bounded. Hence, the tu-limit set is compact.

Moreover, since the semiorbit y'^{x) is bounded, we have E+ C Ix (by

Theorem 1.46), and thus,

^ip^ )= n

t>o

where

M = Ws{x) : s > t ) .

Identity (7.4) yields the second property in the proposition. Indeed, if y

uj{x), then there exists a sequence tk Z' +oo such that y for N.

Thus, there is also a sequence Sk +oo with sk > tfe for A: N such that

Pski^) y when A; > oo. On the other hand, if there exists a sequence

tk + 00 as in the second property in the proposition, then y 6 for

7.1. Limit sets 189

k N, and hence,

OO

y n = n

k=l OO

because At C At> for t > t'.

Now we consider a sequence {tpk{x))k contained in the compact set K.

By compactness, there exists a subsequence with tk Z' +oo, con

verging to a point of K. This shows that u{x) is nonempty.

Now we show that u>{x) is connected. Otherwise, by Definition 6.10,

we would have uj{x ) = A\J B for some nonempty sets A and B such that

AC\B Ar\B = 0. Since w(x) is closed, we have

A = A n u{x) = Ar\{AU B)

= ( A n A) li ( A n B) = A

and analogously B = B. This shows that the sets A and B are closed, and

hence, they are at a positive distance, that is,

5 := inf {||a 6|| : a A,b E: 5 } > 0.

Now we consider the set

inf I

= { yeco{x)

One can easily verify that (70 i f is compact and nonempty. Hence, it follows

from the second property in the proposition that C n K nuj(x) ^ 0. But

by the definition of the set C we know that C7 O i f does not intersect w(x).

This contradiction shows that w(x) is connected.

In order to verify the third property in the proposition, we recall that, by

the second property, if y G o;(x), then there exists a sequence tk -l-oo such

that y when k oo. By Theorem 1.40, the function y i-> ipt{y) is

continuous for each fixed t. Thus, given f > 0, we have

when k OO. Since tk + t -l-oo when A: >oo, it follows from the second

property that (pt{y) w(x).

Finally, we establish the last property in the proposition. Otherwise,

there would exist a sequence tk +oo and a constant ^ > 0 such that

inf Jktfc (a;)-yII > 5 (7.5)

(pt'^{x))k of (PtkiMik C K, which by the second property in the proposition

has a limit p G w(x). On the other hand, it follows from (7.5) that

\\^t'^{x)-y\\ > S

190 7. Poincare-Bendixson Theory

for every y u>{x) and A; N. Thus, ||py|| > <5for y G oj{x), which implies

that p ^ (jj{x). This contradiction yields the desired result.

bounded, then:

a) a{x) is compact, connected and nonempty;

b) y a{x) if and only if there exists a sequence tk \ 00 such that

V'tk(3^) y when k 00;

c) <Pt(y) a{x) for every y G a{x) and t < 0;

d) inf{||^t(a;) y|| : y G a(a;)} 0 when t 00.

g{x) = f{x). We recall that if (pt{xo) is the solution of the equation

x' = f {x ) with a;(0) = x q , for t in the maximal interval Ixq = (o,,b), then

fpt(xo) <P-t(a:o) is the solution of the equation x' = g{x) with a;(0) = x q ,

for t G (6, a). This implies that

fo r e v e r y x G and thus.

y e jf(x ) yeygix)

7^() = 7 / ()i it follows from Proposition 7.8 that:

b) y G iVg{x) if and only if there exists a sequence tk Z' + 0 0 such that

itki^) y when A; - 7 00;

0) Vt(y) ^ ^gix) for every y G ojg{x) and t > 0;

d) inf {W'tftix) y|| : y L0g(x)} ^ 0 when t >+ 00.

Since t/'t = <P-ti the proposition now follows readily from (7.7) and these

four properties.

Now we turn to and we establish one of the important results of the qual

itative theory of differential equations: the Poincare-Bendixson theorem.

7.2. The Poincare-Bendixson theorem 191

result. Let / : )> be a function of class C^. Also, let L be a line

segment transverse to f. This means that for each x e L the directions of L

and f{x) generate R^ (see Figure 7.3). We then say that L is a transversal

to / .

most one point.

Proposition 7.8, there exists a sequence tk +oo such that <pt^(x) q when

A: ^ oo. On the other hand, since L is a transversal to / , it follows from the

Flow box theorem (Theorem 1.54) that for each y sufficiently close to L

there exists a unique time s such that <Ps{y) G L and tpt{y) 0 L for t G (0, s)

when s > 0, or for t (s, 0) when s < 0 (see Figure 7.3); in particular, for

each A: G N there exists s Sk ss above such that Xk = ^tk+sk () ^

Now we consider two cases: either (xk)k is a constant sequence, in which

case the orbit of x is periodic, or {xk)k is not a constant sequence. In

the first case, since the orbit of x is periodic, the w-limit set cj{x ) = ^{x)

only intersects L at the constant value of the sequence {xk)ky and thus

u{x) r\ L = {g}. In the second case, let us consider two successive points

of intersection Xk and Xk+i, that can be disposed in L in the two forms in

Figure 7.4. We note that along L the vector field / always points to the

same side (in other words, the projection of / on the perpendicular to L

always has the same direction). Otherwise, since / is continuous, there

would exist at least one point z L with f{z) equal to zero or with the

direction of L, but then L would not be a transversal. We also note that

the segment of orbit between Xk and Xk+i together with the line segment

between these two points form a continuous curve C whose complement

192 7. Poincare-Bendixson Theory

theorem (Proposition 6.12). The bounded connected component is marked

in gray in Figure 7.4. Due to the direction of / on the segment between Xk

and x/c+i (see Figure 7.4), the positive semiorbit is contained in the

unbounded connected component. This implies that the next intersection

x/c+2 does not belong to the line segment between Xk and Xk-^-i- Therefore,

the points x/., Xk+i and XkJ\-2 are ordered on the transversal L as shown in

Figure 7.5. Due to the monotonicity of the sequence {xk)k along L, it has

at most one accumulation point in L and hence uo{x)r\L = {g}.

result of this chapter.

class C^. For equation (7.1), if the positive semiorbit 'y~^{x) of a point x is

bounded and lo {x ) contains no critical points, then ui(x) is a periodic orbit.

that uj{x) is nonempty. Take a point p e lj{x ). It follows from the first and

third properties in Proposition 7.8, together with the definition of cj-limit

set, that u){p) is nonempty and oj{p) C u{x). Now take a point q G oj{p). By

hypothesis, q is not a critical point, and thus there exists a line segment L

containing q that is transverse to / . Since g G a;(p), by the second property

in Proposition 7.8, there exists a sequence tk +oo such that ^tk{p) Q

when k ^ oo. Proceeding as in the proof of Proposition 7.10, one can always

7.2. The Poincare-Bendixson theorem 193

follows from the third property in Proposition 7.8 that <ptk(p) a; (a;) for

A: G N. Since <ptk(p) S u>(x) fl L, by Proposition 7.10 we obtain

Ttfc(p) 9 every k N.

It remains to show that co(x) = -yip). If uj(x)\j(p) ^ 0 , then since u>(x)

is connected, in each neighborhood of -/(p) there exist points of cu(x) that

are not in -y(p). We note that any neighborhood of 'y(p) that is sufficiently

small contains no critical points. Thus, there exists a transversal L' to f

containing one of these points, which is in u>{x), and a point of 7 (p). That

is, u){x) n L' contains at least two points, because 7 (p) C w(x); but this

contradicts Proposition 7.10. Therefore, w(x) = j{p) and the w-limit set

of X is a periodic orbit.

One can obtain an analogous result to Theorem 7.11 for bounded nega

tive semiorbits.

194 7. Poincare-Bendixson Theory

tion (7.1), if the negative semiorbit 'y~{x) of a point x is bounded and a{x)

contains no critical points, then a{x) is a periodic orbit.

defined by g{x) = f {x ) and the equation x' = g{x). By (7.6) and (7.7),

we have

7 7 (^) = i t ^

The result is now an immediate consequence of Theorem 7.11.

Exam ple 7.13 (continuation of Example 7.6). We already know that equa

tion (7.3) has a periodic orbit (see Figure 7.1), namely the circle of radius 1

centered at the origin. Now we deduce the existence of a periodic orbit as

an application of the Poincare-Bendixson theorem. Consider the ring

Z? = < X G

1 Ixll < 2

2 < }

For r = 1/2 we have r' - 1/4 > 0, and for r = 2 we have r' = 2 < 0.

This implies that any orbit entering D no longer leaves D (for positive

times). This corresponds to the qualitative behavior shown in Figure 7.6.

In particular, any positive semiorbit 7 "''(x) of a point x G > is contained in D

\ X

/ \

and hence it is bounded. Moreover, it follows from (7.3) that the origin is

the only critical point. By the Poincare-Bendixson theorem (Theorem 7.11),

we conclude that w(x) is a periodic orbit for each x G >.

{ x' = x(x^ Sx 1) y,

(7.8)

y' = y{x^ + y"^ - Sx - 1) + X,

7.2. The Poincare-Bendixson theorem 195

J r ' = r(r^ 3r cos ^ 1),

[O = 1.

For any sufficiently small r, we have

3r cos 6 1 < 0 ,

and thus r' < 0. Moreover, for any sufficiently large r, we have

3r cos ^ 1 > 0,

and thus r' > 0. On the other hand, the origin is the only critical point.

Now we use an analogous argument to that in Example 7.13. Namely, for

ri > 0 sufficiently small and V2 > 0 sufficiently large, there are no critical

points in the ring

>' = {a; : n < ||a;|| < V2}.

Moreover, any negative semiorbit 'y~{x) of a point x D' is contained in D',

and hence it is bounded. It follows from Theorem 7.12 that a{x) C D' is a

periodic orbit for each x e D'. In particular, equation (7.8) has at least one

periodic orbit in D'.

to the case when u>{x) contains critical points.

tion (7.1), if the positive semiorbit 7 *'(a;) of a point x is contained in a

compact set where there are at most finitely many critical points, then one

of the following alternatives holds:

a) (jj{x) is a critical point;

b) co(x) is a periodic orbit;

c) u{x) is a union of a finite number of critical points and homoclinic

or heteroclinic orbits.

P ro o f. Since uj{x) C 7 "' (a;), the set u>{x) contains at most finitely many

critical points. If it only contains critical points, then it is necessarily a

single critical point, since by Proposition 7.8 the set uj{x) is connected.

Now we assume that w(x) contains noncritical points and that it contains

at least one periodic orbit -yip). We show that oj{x) is the periodic orbit.

Otherwise, since w{x) is connected, there would exist a sequence {xk)k C

u){x) \ j{p) and a point xq 7 (p) such that Xk >xq when k oo. Now

we consider a transversal L to the vector field / such that xq G L. It

follows from Proposition 7.10 that u>(x) D L = { xq}. On the other hand,

proceeding as in the proof of Proposition 7.10, we conclude that 'y'^{xk) C

196 7. Poincare-Bendixson Theory

ui(x) intersects L for any sufficiently large k. Since cv(x) n L = {a:o}, this

shows that Xk E j(xo) = jip) for any sufficiently large k, which contradicts

the choice of the sequence (xk)k- Therefore, u(x) is a periodic orbit.

Finally, we assume that u j ( x ) contains noncritical points but no periodic

orbits. We show that for any noncritical point p E ui(x) the sets ui(p) and

a(p) are critical points. We only consider u(p), because the argument for

a(p) is analogous. Let p u>(x) be a noncritical point. We note that

uj(p) C uj(x). If g u){p) is not a critical point and L is transversal to /

containing q, then, by Proposition 7.10,

u>{x) r\L uj(p) r\L { 9};

in particular, the orbit 7 '^(p) intersects L at a point x q - Since y'^{p) C u>{x),

we have xq = q, and thus 7 *'(p) and w(p) have the point q in common.

Proceeding again as in the proof of Proposition 7.10, we conclude that

u{p) = 7 (p) is a periodic orbit. This contradiction shows that u{p) con

tains only critical points and since it is connected it contains a single critical

point.

the assumptions of Theorem 7.15, this forbids, for example, that ui{x) is a

(finite) union of critical points.

One can also formulate a corresponding result for negative semiorbits.

7.3. E x e rcise s

/4 1 0 0 o\ /-I 1 0 0 0 \

0 4 1 0 0 0 -1 0 0 0

A= 0 0 4 0 0 and B = 0 0 2 0 0

0 0 0 1 1 0 0 0 0 -3

^0 0 0 -1 V lo 0 0 3 0 )

a) For the equation x' = Ax show that a{x) = {0 } for every a; K.

b) For the equation x' = Bx show that a solution x is bounded if and

only if x(0) G {0}^ x

Exercise 7.2. By sketching the phase portrait, verify that there exist equa

tions in the plane with at least one disconnected w-limit set.

{ y ' = y2 _ a;2 _ ^

7.3. Exercises 197

b) Find whether there exist other straight lines passing through the

origin and having the same property.

r ' = r(l r),

{ 9' = sin^ 9 + e.

b) Find all values of e for which the equation is conservative.

c) Find the period of each periodic orbit when e = 1 .

d) Find whether the smallest invariant set containing the open ball of

radius 1/2 centered at ( 1, 0) is an open set when e = 0.

fx' = x^

b) Show that there are no periodic orbits,

c) Sketch the phase portrait.

E xercise 7.6. For the function B{x, y) = x y { l x y), consider the equation

and =

ay ox

a) Find all critical points and verify that the straight lines x = 0 and

y = 0 are invariant.

b) Show that the straight line x + y = 1 is invariant,

c) Find an invariant compact set with infinitely many points,

d) Sketch the phase portrait.

tion x' = V /(x ). Show that any nonempty w-limit set is a critical point.

a periodic orbit but without critical points.

Solutions.

7.3 b) There are none.

7.4 b) The equation is conservative for no values of e.

c) The only periodic orbit is the circle of radius 1 centered at the

origin and its period is l/(sin^ 9 + I)d9 = v^ tt.

d) It is open.

198 7. Poincare-Bendixson Theory

c) Triangle determined by (0,0), (0,1) and (1,0).

Part 4

Further Topics

Chapter 8

Bifurcations and

Center Manifolds

the description of several examples of bifurcations. In particular, among

others we consider the Hopf bifurcation, which corresponds to the appear

ance (or disappearance) of a periodic orbit. We then give an introduction to

the theory of center manifolds, which often allows one to reduce the order of

an equation in the study of the existence of bifurcations. Center manifolds

are also useful in the study of the stability of a critical point, by reducing

the problem to the study of the stability on the center manifold. Finally, we

give an introduction to the theory of normal forms, which aims to eliminate,

through an appropriate change of variables, all possible terms in the original

equation. For additional topics we refer the reader to [8 , 12, 14].

in bifurcation theory.

x' = X,

{ y' = {1 + e)y,

with e R. The phase portrait for each value of e is shown in Figure 8.1.

( 8. 1)

in an arbitrarily small neighborhood of eo such that the solutions of equa

tion (8.1) for o and e are not differentially conjugate (see Definition 2.44).

202 8. Bifurcations and Center Manifolds

6= 0

Prom the phase portraits in Figure 8.1 it is clear that this happens for = 0

and = 1 . Moreover, it follows from Propositions 2.45 and 2.47 that the

same happens for all remaining values of , because the matrix

0

1+

of the linear equation (8.1) has different eigenvalues for different values of e.

Hence, the solutions of equation (8.1) for any two different values of are

not differentially conjugate. Again, this shows that differentiable conjugacies

are somewhat rigid, since they distinguish phase portraits that clearly have

the same qualitative behavior (such as the first three phase portraits in

Figure 8.1).

Now we consider the analogous problem for the notion of topological con-

jugacy. In other words, we want to know for which values of q K there

exists in an arbitrary small neighborhood of q such that the solutions

of equation (8.1) for q and are not topologically conjugate (see Defini

tion 2.44). In this case, it follows readily from Theorem 2.50 that this only

8.1. Introduction to bifurcation theory 203

at 6 = - 1.

cal conjugacies up to a time change along each orbit. Consider a function

/: X )MP of class and the equation

x' = f{x ,e) , (8.2)

for each value of the parameter e G

D efinition 8 .2 . We say that a bifurcation does not occur in equation (8.2)

at e = o if for each arbitrarily close ei G R^ there exist a homeomorphism

h: R -4- R and a continuous function r : R x R" > R with t r{t,x)

increasing for each a; G R'^ such that

HM x)) ^ (8.3)

for every t G R and x G R , where tpt{z) and tpt{z) are, respectively, the

solutions of the initial value problems

fx ' = /(x ,e o ), b ' = /(x , i),

(8.4)

|x(0) = z t(0) 2;.

neighborhood of sq there exists 1 such that the solutions of the equations

x' = /(x , o ) and x' = /(x , i)

are not transformed into each other by a homeomorphism preserving orien

tation.

fx' = (1 -I- ^)y,

(8.5)

|j/' = - ( 1 -l-^)x.

The origin is a critical point and the remaining orbits are circular periodic

orbits centered at the origin and of period 2ir/(1+e^). Indeed, equation (8.3)

can be written in polar coordinates in the form

fr' = 0.

0' = - ( l + e 2)

Since

Pt = V't(l+e)/(l+2),

with (ft and ipt defined by (8.4), taking

h{x) = X and r(t) = t ( l - f q) / ( 1 + e?)

yields identity (8.3). This shows that no bifurcations occur in equation (8.5).

204 8. Bifurcations and Center Manifolds

x' = sx x^. (8.6)

Clearly, x 0 and x e are critical points. The phase portrait is the one

shown in Figure 8.2. One can easily verify that the only bifurcation occurs

at s = 0. It is called a transcritical bifurcation and corresponds to the

collision of two critical points, one stable and one unstable, that exchange

their stability after the collision.

< 0

e= 0

> 0

x' = e x^. (8.7)

The number of critical points depends on the sign of e. For < 0 there

are no critical points, for = 0 the origin is the only critical point, and

finally, for > 0 there are two critical points, namely \/ and ^/e. The

phase portrait is the one shown in Figure 8.3. Clearly, the only bifurcation

in equation (8.7) occurs at = 0. It is called a saddle-node bifurcation (see

also Example 8.6) and corresponds to the collision of two critical points, one

stable and one unstable, that are annihilated after the collision.

< 0

= 0

> 0

-x /i

8.1. Introduction to bifurcation theory 205

lx' = x^,

( 8.8)

\y' = y-

We note that the first component coincides with equation (8.7), and thus,

the phase portrait of equation (8.8) is the one shown in Figure 8.4. Again,

the only bifurcation occurs at e = 0. It can be described as the collision of a

saddle point and a node for e > 0, which disappear for e < 0. This justifies

the name of the bifurcation in Example 8.5.

e< 0

For e < 0 the origin is the only critical point, while for e > 0 there are

two critical points, namely and \/e. The phase portrait is the one

shown in Figure 8.5. One can easily verify that the only bifurcation occurs

at = 0. It is called a pitchfork bifurcation and corresponds to the creation

(or annihilation) of two critical points, one stable and one unstable.

< 0

> 0

-V e 0

206 8. Bifurcations and Center Manifolds

y' = X + ey - y{x^ + y^),

(8.11)

ample 8.7 (although now we are only interested in the nonnegative values

of the variable, because r > 0). The phase portrait of equation (8.10), or of

equation (8.11), is the one shown in Figure 8.6. One can easily verify that

the only bifurcation in equation (8.10) occurs at e = 0. It is called a Hopf

bifurcation and corresponds to the creation (or annihilation) of a periodic

orbit.

theory clearly falls outside the scope of the book (for detailed treatments we

refer the reader to [8 , 1 2 ]).

and we illustrate how it can be of help in bifurcation theory.

let xq be a critical point of the equation a;' = f(x). Unlike what happens

in Section 4.1, here we do not assume that xq is a hyperbolic critical point.

We continue to write A = dxof-

8.2. Center manifolds and applications 207

D efinition 8.9. We define the stable, unstable, and center spaces of xq,

respectively, by

t f-^ + o o t )

1. t-^ -o o \t\ J

t t^oo 1^1 J

In other words, E^ and E'^ contain the initial conditions (other than the

origin) whose solutions have some exponential behavior, while E'^ contains

the initial conditions whose solutions have no exponential behavior. One can

easily verify that in the case of a hyperbolic critical point the sets E^ and

in Definition 8.9 coincide with the stable and unstable spaces introduced in

Definition 4.2.

a) E^, E'^ and E'^ are subspaces o /R and E^ E^ E'^ R ;

b) for every t G R we have

e^\E^) C E\ e^^E^) c E^ and e^\E^) c E^.

sition 4.3. Namely, the Jordan canonical form of the matrix A dx^f can

be written in the block form

0 0'

0 Ay, 0

0 0 Ac

with respect to the decomposition E^E'^E^. The matrices >ls, Au

and Ac correspond, respectively, to the Jordan blocks of eigenvalues with

negative, positive and zero real part.

When E^^ = {0 }, that is, when the critical point xq is hyperbolic, the

Grobman-Hartman theorem and the Hadamard-Perron theorem (Theo

rems 4.7 and 5.2) describe with sufficient detail the phase portrait of the

equation x' = f{x) in a neighborhood of xq. In particular, the solutions

of the equations x! = f{x) and y' = Ay are topologically conjugate, re

spectively, in neighborhoods of xq and 0. Moreover, there exist invariant

manifolds (in the sense that we have the inclusions in (5.6)) that contain xq

and are tangent, respectively, to the stable and unstable spaces E^ and E^.

In addition. Theorem 4.12 shows that any sufficiently small perturba^

tion of a vector field with a hyperbolic critical point has a homeomorphic

208 8. Bifurcations and Center Manifolds

a hyperbolic critical point under sufficiently small perturbations. Hence,

bifurcations may only occur when ^ { 0}.

case (when ^ {0 }) with a result that is analogous to the Hadamard-

Perron theorem (Theorem 5.2).

the equation x' = f{ x ) for a function / : R of class C^, with A; N,

then there exist manifolds W, and of class containing xq such

that:

a) = E^, = E'^ and = E<^;

b) the solutions of the equation x' = f {x ) with initial condition in,

and remain in these manifolds for any sufficiently small

time.

erties in any sufficiently small neighborhood of xq.

The proof of Theorem 8.11 falls outside the scope of the book (see [6]

for details). However, it corresponds to an elaboration of the proof of the

Hadamard-Perron theorem (Theorem 5.2). We note that Theorem 8.11

contains Theorem 5.2 as a particular case (when xq is a hyperbolic critical

point).

stable, unstable, and center manifolds.

Unlike what happens with the stable and unstable manifolds, the center

manifold VP in Theorem 8.11 may not be unique.

ix' = x^,

( 8. 12)

1 y ' = -y -

The origin is a critical point and for the function f(x, y) = {x^, y) we have

^(0.0) / = ( o -l)

Thus,

E = { 0} x R , E = {0 } and E = R x {0}.

8.2. Center manifolds and applications 209

One can easily verify that for the initial condition (x(0),j/(0)) = (xo,yo)

equation (8.12) has the solution

(x(t),y(t))=

trait in Figure 8.7.

axis, there are infinitely many center manifolds, given by

= {{x,r]c{x)) : a; G R }

where

' i f a : < 0,

ric{x) =

^0 if X > 0

for an arbitrary constant c R. One can easily verify that each manifold

is of class (7 (but is not analytic).

section how the center manifolds given by Theorem 8.11 can be used in the

study of the stability of a (nonhyperbolic) critical point.

Consider variables x, y, z parameterizing W x x in a sufficiently

small neighborhood of x q . One can show, with an appropriate generalization

of the Grobman-Hartman theorem together with Theorem 2.50 that the

solutions of the equation x' = / ( x ) are topologically conjugate to those of

x' = X,

y' = y, (8.13)

[z' = F{z)

210 8. Bifurcations and Center Manifolds

for some function F (see [6] for details). When ^ {0 } it follows from

(8.13) that the critical point xo is unstable. Now we assume that E'^ = {0 }.

In this case, if E*^ = { 0}, then a;o is asymptotically stable. On the other

hand, if E = { 0} but E^^ { 0}, then the stability of xq coincides with the

stability of the origin in the equation

z' = F{z) (8.14)

(assuming that a;o is represented by z = 0). In summary, we have three

cases:

a) if FF' ^ { 0}, then xq is unstable;

b) if = { 0} and E*^ = { 0}, then xq is asymptotically stable;

c) if E^ = { 0} and E*^ ^ { 0}, then the stability of xo coincides with

the stability of the origin in equation (8.14).

In the third case, it is sufficient to study the behavior on the center manifold.

\x' = - x + y'^,

(8.15)

\y ' = y ^ ~ x ^ .

we have

-1 0

<^(0,0) / 0 0

Thus

E*=Rx{0}, E = {0 } and E^= { 0 } x R ,

and we are in the third case. Since / is of class C, it follows from the Center

manifold theorem (Theorem 8.11) that there exist manifolds W* and of

class for any 6 N. Moreover,

= {{<p{y),y) - y e ( -( 5 ,5 ) }

for some function (^: (5,5) >E of class with ^ (0) = (p'{0) = 0, because

06 and ToW*^ = E"^. Thus, one can write the Taylor series

(up to order k). Substituting x = (p{y) in (8.15), we obtain

or equivalently,

~ ^ {y) + = <^'(y)(y^ - <p(y)^).

8.2. Center manifolds and applications 211

-ay^ - b y ^ -------- \-y^ ^ {2ay + 3by'^ + ... ){y'^ - a^j/^------ ).

Equating terms of the same order in this identity, we obtain

a + 1 = 0, b = 2a , . . . ,

that is,

a = 1, b = 2, ___

Hence,

<f{y) = - 2y3 + ... , (8.17)

and it follows again from (8.15) that the equation z' = F{z) takes the form

In a sufficiently small neighborhood of y = 0 the sign of y' coincides with

the sign of y^, and thus the origin is unstable in (8.18). According to the

previous discussion, this shows that the origin is unstable in equation (8.15).

Moreover, it follows from (8.17) and (8.18) that in a sufficiently small neigh

borhood of the origin the center manifold and the motion along are

those shown in Figure 8.8.

Although it is not necessary for the study of the stability of the origin,

one can also use the former procedure to approximate the stable manifold.

Namely, we have

TU* = { (x ,V '( a :)) :x ( -( 5 ,5 ) }

for some function ip: {6, (5) > E of class with ip{0) = ip'{0) = 0, because

0 G VF and TqVF = E. Then one can write

ip{x) = ax^ + H----- . (8.19)

212 8. Bifurcations and Center Manifolds

y' = tp'{x)x' = tp'{x){-x + rp{x)"^),

and thus,

'ip{x)^ x^ = ij}'{x){x +

Using (8.19) yields the identity

o?x^H----- = {2ax + 3^x^ H----- ){x + ci^x^ H------).

Equating terms in this identity, we obtain

- 1 = -2 a , 0 = - 3 /3 ,...,

and thus,

ip{x) - + Ox^ H----- .

This shows that in a neighborhood of the origin the phase portrait is the

one shown in Figure 8.9.

y' = - y + x^.

The origin is a critical point and for the function

/( x , y) = (x^ - xy, - y + x^)

we have

d ( o , o ) /= ( o _ i)-

Hence,

= {0 } X R, E^ = {0 } and E^ = R x {0 }.

8.2. Center manifolds and applications 213

Since f(0 ,y ) = (0, - y ) , the function / is vertical on the vertical axis. This

implies that the vertical axis is invariant. By the uniqueness of the stable

manifold in Theorem 8.11, we conclude that = E^.

Now we consider the center manifold

= {(x,i/;(x)) : X (-(5,<5)},

where

^(a;) = ax^ + ^----- . (8.21)

Substituting y = ijj{x) in equation (8.20), we obtain

y' = ip'{x)x' = i!}'{x){x^ ~ xi){x)),

and thus,

-ip{x) + x'^ = ip'{x){x'^ - X'^{x)).

Using (8.21) yields the identity

-ax^ - b x ^ -------- h = (2ao; + Sbx^ -\----- ){x^ - ax^ - b x ^ ------- ),

and we conclude that

0 = 1, 2o = 6, ___

Thus,

'ip{x) = x^ 2x^ + ,

and

x' x^ xip{x) = x^ x^ + 2x^ H----- .

Therefore, the origin is unstable in equation (8.20). In a neighborhood of

the origin the phase portrait is the one shown in Figure 8.10.

E = VF

simplify the study of bifurcation theory.

214 8. Bifurcations and Center Manifolds

{ x' = ex + y^,

( 8.22)

y' = - y +

(8.23)

the Center manifold theorem (Theorem 8.11) that there exist manifolds W

and that are tangent respectively to the stable and center spaces

E = {0 } X R X {0 } and = R x {0 } x R.

It follows from the discussion in the beginning of this section that in order to

determine the stability of the origin in (8.23) (and thus in (8.22)) it suffices

to study the behavior on the center manifold (or more precisely, on any

center manifold). It can be written in the form

= {{x,ip {x,e),e) : x , e e ( - 5 ,5 ) }

for some function (p: (5,5) x (5,5) > R with ^(0,0) = 0 and d(o,o)V^ = 0-

For y = ip{x, e) we have

dip

{ex -x'^ + y^) = ip(x,e) + x . (8.24)

dx

Writing

<p{x, e) = ax^ + hxe + ce^ H----- ,

it follows from (8.24) that

(2ax + be-\----- ){ex + (p{x, e)^) = ax^ bxe ce^ ----- 1- x^,

origin can now be deduced from the equation x' = e x x^, which was already

studied in Example 8.7.

8.3. Theory o f normal forms 215

have some kind of classification. While a corresponding systematic study

falls outside the scope of the book, it is at least convenient to have a proce

dure, as automatic as possible, that can simplify a large class of equations

before we study the existence of bifurcations. The theory of normal forms,

which we introduce in this section, provides such a procedure.

We begin with an example.

x ' = e x + /(x),

where / : R ^ K is a function of class C with /(O) = f'{0) = 0. Writing

the Taylor series of f , we obtain

x ' = e x + a x ^ + b x ^ -\----- . (8.25)

Now we consider a change of variables of the form

x = y + ay^ + Py^ ----- . (8.26)

If the series in (8.26) has a positive radius of convergence (in particular, if it

is a polynomial), then indeed it defines a change of variables in a suflSciently

small neighborhood of the origin. Substituting (8.26) in (8.25), we obtain

y'{l -I- 2ay + SPy"^ -\----- ) = e{y + ay^ + Py^) + a{y^ -1- 2ay^) + by^ -\------ ,

and thus,

ey + {ea -I- a ) y ^ -----

+ eP + {2aoi + b)y^ ^

y' = 1 + 2ay -b _|_

Using the identity

oo

y' = {ey + {ea + a)y'^ -!-)

X [l - 2 a y - SPy"^-------- f- {2a y + SPy'^ -|-----)^ -------] (8.27)

= ey + { a - ea)y^ + {b + 2ea^ - 2eP)y^ H----- .

In particular, choosing the coefficients a and P so that the coefficients of y^

and y^ in (8.27) vanish, that is, taking

a j o 6

a - and P = - 5- + r -

e e^ 2e

for e 7^ 0, we obtain the equation

y' = ey + o{y^).

216 8. Bifurcations and Center Manifolds

/ : R ^ R of class C with /(O) = 0 and dof = 0, consider the equation

x' Ax + f{x ).

In a similar manner to that in Example 8.17, we consider a change of vari

ables X = y + h{y), where h: R > R is a differentiable function with

h(0) = 0 and doh = 0. Then

x' = y' + dyhy' = (Id -I- dyh)y'.

Now we recall that

A:=0

for any square matrix B with ||5|| < 1. Since doh = 0, it follows from (8.28)

that for any sufficiently small y the matrix Id -1- dyh is invertible, and one

can write

y' = (Id -I- dyh)~^x'

= (Id A dyh)~'^ [A{y + h{y)) A f{y A h(y))].

It also follows from (8.28) that

y ' ^ { l d - d y h A - - - ) [Ay -h Ah{y) A f { y A h (y))]. (8.29)

Now let Hm,n be the set of all functions p: R " R such that each compo

nent is a homogeneous polynomial of degree m, that is, a linear combination

of polynomials of the form x^^ with

A: N, i i , ... e { 1 ,. . . , n} and mi-I------- f-mfe = m.

We note that Hm,n is a linear space. Write

/ = /2 + /3 + --- (8.30)

and

/i = Id + /^2 H ^3 I" *** )

where fm^gm ^ for each m > 2. It follows from (8.29) that

y' = Ay A [Ah2{y) A h iv ) ~ Dyh2Ay]

(8.31)

A ^ [A h k {y ) A 9k{y) - DyhkAy],

fc=3

where each function : R R depends only on /i2, . . . , hk-\- In order to

eliminate all possible terms in the right-hand side of (8.31), we try to solve,

recursively, the equations

Dyh2Ay - Ah2{y) = h {y ) (8.32)

and

DyhkAy - Ahkiy) = 9k(y) (8-33)

8.3. Theory o f normal forms 217

(8.33) are called homological equations.

For eeich m > 2 and n N, we define a map

. TT H,m^n

A m,n

by

{L ^ h ){y) = D yh A y-A h {y).

equations can be written in the form

kyTii

L\^h2 = f 2 and L'^^hk = 9k, k > 3. (8.34)

can be written in the form

/^2ax + 6y 6 a ; + 2cy\

( y \ _ ( dx"^ + exy +

VA )\ iV) \2dx-\-ey ex + 2 fy ) \x ) \ax^ bxy cy^

(2xy

= a

V x2

-x^ 2

+ d

2xy -2 x y

22

and thus, the linear transformation L2 is represented by the matrix

/O -1 0 -1 0 0 \

2 0 -2 0 -1 0

0 -1 0 0 0 -1

1 0 0 0 -1 0

0 1 0 2 0 -2

^0 0 1 0 1 0 /

xy 0

0 xy Of

We note that in order to solve the homological equations in (8.34) it

is sufficient to find the inverse of each transformation L ^ ", when it exists.

But since is linear, in order to decide whether the transformation is

invertible it is sufficient to compute its eigenvalues.

218 8. Bifurcations and Center Manifolds

P rop osition 8.19. If X\,... ,Xn are the eigenvalues of A (counted with

their multiplicities), then the eigenvalues of L'2'^ are the numbers

^k + (8.35)

i= l

with

/c 6 { 1 , . . . ,n}, m i , ... ,mn NU {0} and mi + ----- |-mn = m.

Moreover, the eigenvectors of associated to the eigenvalue in (8.35) are

the polynomials

y .m i

(8.36)

where Vk is an eigenvector of A associated to the eigenvalue A*.

Ai 0

A=

\0 ^n/

if e i , . . . , Cn is the standard basis of R , then

J^m,n(^mi . . . x^^ek)(xi, . . . , Xn)

( 0

0 Ai^i'

(mia:^ ^ ^x^--Xn) (m ^ x f x(f;^ ^)

0 \An3^n)

\ 0

-x^^-'-x^XkCk

= ( m iA i + + n i n X n j x ^ ^ x ^ ^ e k ^ x^^ XkCk

\ i=i '

This shows that x'ff^ek Hm,n is an eigenvector of associated

to the eigenvalue in (8.35).

in (8.34) if some of the numbers in (8.35) are zero. This motivates the

following notion.

8.3. Theory o f normal forms 219

integers k E {1,... ,n} and m i , , m 6 M U {0}, with mi + -----1- m > 2,

such that

Afc ^ ymiXj.

i=l

When there are no resonant vectors one can solve all homological equa

tions and thus eliminate all terms fm in (8.30). We recall that for a function

p : R > we write g{x) = o(||x||^) if g{x)/\\x^^ > 0 when x ^ 0.

be a function of class C with /(O) = 0 and dof = 0. If the vector formed

by the eigenvalues of A is not resonant, then for each A: G N the equation

x' = Ax + fix) can be transformed into

v' = Av + o(|M )

resonant, all the eigenvalues of in (8.35) are different from zero. Thus,

each linear transformation L ^ ' is invertible and one can obtain successively

solutions of all homological equations in (8.34) up to order k.

Now we describe briefly what happens when there are resonant vectors.

In this case one can only invert the restriction of L to the subspace E of

Hm,n generated by the root spaces corresponding to the nonzero eigenvalues

in (8.35). More precisely, consider the decomposition Hm,n = E F , where

F is the subspace of Hm,n generated by the root spaces corresponding to

the zero eigenvalues in (8.35). Since

L^'^E = E and = F,

Le 0

0 Lp

with respect to the decomposition Hm,n = E F. We also write

iL E hi = f i , i h i = L-^^fi,

\LFhP = f i [LFh^ = fi'.

220 8. Bifurcations and Center Manifolds

y' = Ay + M y ) - { L : ^ ^h2){y) + - -

= A y + fiiy ) - + f i ( y ) - { L p h ^ X y )

= Ay + (y) - {LFh^){y) +

The terms of degree 2 with values in F cannot be eliminated, unless we

have already / ; f = 0 from the beginning. Continuing this procedure for the

remaining homological equations in (8.34), in general only the terms of the

form (8.36) cannot be eliminated.

V _ / 0 / a:

+ (8.37)

^y) - 1,-2 Oj \y,

The eigenvalues of the 2 x 2 matrix in (8.37) are 2i, and thus, in order to

determine whether there are resonant vectors we have to solve the equation

mi2i + m2(2i) = 2i,

that is,

mi m2 = 1,

with m i, m2 N U {0 } and mi 4- m2 > 2. The solutions are

(mi, m2) = (1,2),(2,1),(2,3),(3,2),....

By the former discussion, this implies that by a change of variables only the

terms of the form

xy^, x^y, x^y^, x^y'^, . ..

cannot be eliminated. In other words, denoting by u and v the components

in the new coordinates, equation (8.37) takes the form

2 0

0 1 + (8.38)

order to determine whether there are resonant vectors we have to solve the

equations

2mi + m2 = 2 and 2mi + m2 = 1 ,

with m i , m2 G N U {0} and mi + m2 > 2. One can easily verify that

(mi, m2) = (0,2) is the only solution. This implies that denoting by u and v

8.3. Theory o f normal forms 221

takes the form

{ u' = 2u +

u' = u +

sition 8.19 the solution {m i,m2) = (0,2) corresponds to the eigenvector

(y^,0) (see (8.36)), which has the second component equal to zero.

tions of linear equations whose matrices have only eigenvalues with positive

real part.

positive real part and let / : R " )E 6e 0 function of class C with /(O) = 0

and dof = 0. Then for each k N the equation x' = Ax + f {x ) can he

transformed by a change of variables x = y + h{y) into

where p is a polynomial.

equation

Xj y ^'rriiXi (8.39)

i=l

We note that

n

Re Xj = rrii Re A^. (8.40)

i=l

Taking a vector ( m i , . . . , m) such that

maxi Re

E

i=l

rrii >

mini Re Xi

(we recall that by hypothesis the eigenvalues have positive real part), we

obtain

i=l i=l

> maxReAi > ReA^.

i

This shows that identity (8.40), and thus also identity (8.39), do not hold

for the vector {m\,... ,mn). Therefore, there exist at most finitely many

222 8. Bifurcations and Center Manifolds

m axi Re Aj

<

mim Re Xi

i=l

This yields the desired result.

8.4. E x e rcise s

y' = - y + cx^ + dx^y.

b) Determine the stability of the origin when a + c < 0.

\x' = 2 x + p { x , y ) ,

\y' = y + q{x,y),

where p and q are polynomials without terms of degrees 0 or 1.

a) Find the stable, unstable and center manifolds of the origin.

b) Show that by an appropriate change of variables the equation can

be transformed into z' 2z-\- cw^, w' = w.

(x' = y - x ^ ,

[y ' = e y - x^.

a) Use a Lyapunov function to show that the origin is stable when

e = 0.

b) Find a center manifold of the origin up to fifth order,

c) Determine the stability of the origin for each e 0.

d) Find a center manifold of the origin when e = 1.

e) Find whether there exist heteroclinic orbits when = 1.

ix' = y + x^,

= ex - y2.

a) Find whether there exist periodic orbits contained in the first quad

rant when e = 1.

b) Determine the stability of all critical points when e = 1,

8.4. Exercises 223

d) Find whether any bifurcation occurs for some e > 0,

x' = ex y + Sx(x^ +

{;

y = x - e y + Sy{x^ + y^).

a) Determine the stability of the origin for each pair (e, 5) with |e| < 1.

Hint: For the function

V{x, y) = x^ + y^ - 2exy

we have

V {x, y) = 25{x^ + y'^)V{x, y).

b) For each pair (s,S) with |e| > 1, show that no bifurcations occur in

a neighborhood of the origin.

c) For each pair (e, S) with 5 < 0, show that each positive semiorbit is

bounded.

Solutions.

8 .1 a) = {(x, cx^ + o(x^)) : x 6 (5,5)}.

b) The origin is unstable.

8 .2 a) = { ( 0, 0)}, = {-5,6) x {-5,5) and = { ( 0, 0)}.

8.3 a) {x^ + 2]p)' 4{x^x' + yy') = 4a: < 0.

{-5,6) X {-6,6) if e = 0,

b) =

({x,x^/e + 3/e + ) : X e (5,5)} if e 7^ 0.

c) Unstable.

d) tU= = { ( x , a ; 3 ) : a ; e ( - 5 , 5 ) } .

e) There exist.

8.4 a) There are none.

b) (0, 0) are ( 1, - 1) are unstable.

c) Unstable.

d) There are no bifurcations.

8.5 a) Unstable for 5 > 0, stable but not asymptotically stable for 5 = 0,

and asymptotically stable for 5 < 0 .

Chapter 9

Hamiltonian Systems

systems. These are particularly important in view of their ubiquity in phys

ical systems. After introducing the basic notions of the theory, we establish

some results concerning the stability of linear and nonlinear Hamiltonian

systems. We also consider the notion of integrability and, in particular, the

Liouville-Arnold theorem on the structure of the level sets of independent

integrals in involution. In addition, we briefly describe the basic ideas of

the Kolmogorov-Arnold-Moser theory. For additional topics we refer the

reader to [1, 3, 2 2 , 25].

generally, one can consider Hamiltonians in an open subset of R^ . We

write the coordinates of R^"' in the form (q,p), where q = {qi,... ,qn) and

p = (pi,...,Pn).

/ , . , dH / s . 1 ,V

= (9.1)

Exam ple 9.2. Let [/: R > R be a function of class C^. Letting q' = p,

the equation q" = U'{q) is equivalent to the Hamiltonian system with one

225

226 9. Hamiltonian Systems

H{q,p) = T

(9.2)

Incidentally, the terms p^/2 and U{q) in (9.2) correspond respectively to the

kinetic and potential energies.

Exam ple 9.3. The Kepler problem is a special case of the two-body prob

lem and can be described by a Hamiltonian system with two degrees of

freedom; namely, consider the Hamiltonian

\\pf (9.4)

H{q,p) = ^ - U(q)

Hamiltonian system is

pq

q' = P , P' = 13- (9.5)

x> = X h {x ) = JWH(x), (9.6)

where x = (q,p) E R^ ,

VH =

'dH ^ ^ dH

d q i " ' dqn d p i ' " ' ' dpn

and

0 Id^

J=

^-Id 0

Here Id E Mn is the identity matrix. In particular, we would like to know

which transformations preserve the Hamiltonian structure, in the following

sense. Making the change of variables x = q>{y), the Hamiltonian sys

tem (9.6) is transformed into

y' = i<P*X){y),

where

{^*XH){y) = {dyq>r^XHi<p{y)).

We would have <

p *X h = XHotp, and hence also

y' = Xnoipiy),

which would correspond to the preservation of the Hamiltonian structure, if

and only if

{dy^)-^JVH{q>{y)) = J ^ { H o ^){y)

9.1. Basic notions 227

V{ Ho (p ){ y ) = {dy(p)*VH{(p{y)),

p holds whenever

^dy^'^ J d y ^ J. (9.8)

V C R^" is said to be canonical if identity (9.8) holds for every y e V.

V?: F > R^ is canonical if and only if det dyip = 1 for every y E V . Writing

a b

dyif =

c d

identity (9.8) is equivalent to

o h\ ( Q a b 0 ad be

c d V- 1 c d -ad + 6c 0 )(- ;)

The last equality holds if and only if

det dy(p ad be = 1.

This shows that for n = 1 the canonical transformations are the differen

tiable transformations preserving area and orientation.

cal transformations preserving volume and orientation. Let H : R^ -> R be

a Hamiltonian of class Given x E R^", we denote by <pt{x) the solution

of the Hamiltonian system (9.6) with initial condition ipo{x) = x.

P rop osition 9.6. Given a Hamiltonian H of class C^, for each sufficiently

small t the map ipt is a canonical transformation preserving volume and

orientation.

P roof. We have

= X h M x )). (9.9)

of Theorem 1.42 for vector fields that

d ,

228 9. Hamiltonian Systems

This shows that dx^pt is a solution of the linear variational equation of the

Hamiltonian system along the solution (pt{x). Moreover, since (po{x) = x,

we have dx^o = Id- Now let

ot{i^ = (^dx^t) Jdx^t'

We want to show that a{t) = J. Taking derivatives with respect to t, we

obtain

^ (0 i^(pt(x)^Hdx^t) Jdx^t + {dx^t) Jd(p^(^x)^Hdx^t

{dxVt) [{^(pt{x)^H) d -\- Jdfp^^x^Xfj^dx^ti

a'it) = +

Since J*J = Id and = Id, we obtain

a'(t) = = 0.

On the other hand, since dx(po = Id, we have a(0) = J and thus a{t) =

q;(0) = J. This shows that (pt is a canonical transformation. Since

det(da;^i)* = deldxpu

it follows from identity (9.8) that |detda;(^tP = 1- But since detd^yo =

detid = 1, it follows from the continuity of 1 <ptix) that detda;<^t = 1 for

any sufficiently small t. This establishes the desired result.

Exam ple 9.7. Consider the Hamiltonian system with one degree of freedom

\Q = P ,

1 p' = -Q,

determined by the Hamiltonian

H(q,p) 2^ 2'

By Example 1.8, we have

>t(qo,Po) = (po sin t + qocost, po cos t - qo sin t)

cost sin A / qo

sint cos t j YPo>

and clearly,

J .J , / cost

detdto,.,=det l

sint'

cost = 1.

We also note that for any differentiable function F : -i given a

solution x(t) of equation (9.6) we have

9.2. Linear Hamiltonian systems 229

F, G : R is defined by

{F .G }(x ) = ( V F ( x JVG(x) = g

tiable function, then

tion 1.67) it is necessary that {F, JI) = 0. Incidentally, we have {If, If} = 0,

and thus any Hamiltonian is constant along the solutions of its Hamiltonian

system.

a 2n X 2n symmetric matrix S, consider the Hamiltonian

If(x) = L * S x .

Clearly, is a polynomial of degree 2 without terms of degree 0 or 1. The

corresponding Hamiltonian system, called a linear Hamiltonian system, is

x' = X h {x ) JSx.

D efinition 9.9. A matrix B = JS with S symmetric is said to be Hamil

tonian. A matrix A is said to be canonical if

A*JA = J. (9.10)

Exam ple 9.10. It follows from (9.8) that if F is a canonical

transformation, then dy(p is a canonical matrix for each y V .

B * J - IJ B = 0. (9.11)

Indeed, if B is Hamiltonian, then

B*J -IJB = S*J*J -IJ^S = S* - S = 0.

On the other hand, if identity (9.11) holds, then

i-JB)* = B * { - j y = B*J = - J B ,

and the matrix S JB is symmetric. Moreover, JS = J^B = B and

the matrix B is Hamiltonian.

230 9. Hamiltonian Systems

trix H is a canonical matrix. Let B = JS, with S symmetric, be a Hamil

tonian matrix, and consider the function

P{t) =

We have P{0) = J and

= {e^^)*S*J*Je^^ + {e^yj^Se^^

= {e^ySe^^ - {e^ySe^^ = 0,

because the matrix S is symmetric. This shows that fi{t) J for t M, and

each matrix is canonical.

trices and canonical matrices.

of B, then A, A and A are also eigenvalues of B, with the same multiplic

ity as A. Moreover, ifO is an eigenvalue of B, then it has even multiplicity.

B and B* are similar and they have the same eigenvalues (with the same

multiplicity). Thus, if A is an eigenvalue of B, then A is an eigenvalue of

B* and hence also of B (with the same multiplicity). Since B is real, we

conclude that A and A are also eigenvalues (with the same multiplicity).

In particular, the nonzero eigenvalues of B form groups of two or four, and

thus if 0 is an eigenvalue, then it has even multiplicity.

then 1/A, A and 1/A are also eigenvalues of A, with the same multiplicity

as A. Moreover, if 1 and 1 are eigenvalues of A, then each of them has

even multiplicity.

particular, the matrices A~^ and A* are similar and they have the same

eigenvalues (with the same multiplicity). Thus, if A is an eigenvalue of A,

then 1/A is an eigenvalue of A~^ and hence also of A*. This shows that 1/A

is an eigenvalue of A (with the same multiplicity as A). Since A is real, we

conclude that A and 1/A are also eigenvalues (with the same multiplicity).

The last property follows immediately from the previous ones.

and only if B has only eigenvalues with negative real part, and is stable if

and only if B has no eigenvalues with positive real part and each eigenvalue

9.3. Stability o f equilibria 231

with zero real part has a diagonal Jordan block. It follows easily from

Proposition 9.13 that for Hamiltonian matrix B the linear equation x' = Bx

is not asymptotically stable. Moreover, if the equation is stable, then all

eigenvalues of B are purely imaginary and have a diagonal Jordan block.

Hamiltonian system. Let H: R be a Hamiltonian of class and

consider the corresponding Hamiltonian system x' = X h {x ).

D efinition 9.15. A point xq R^ is said to be an equilibrium of the

Hamiltonian H if VH { xq) = 0. An equilibrium xq of H is said to be

nondegenerate if the Hessian matrix is nonsingular.

We recall that the index of a bilinear transformation F : R^ x R^" > R,

such as, for example, (u, u) i-> u*d"^^Hv, is the maximal dimension of the

subspaces E C R^ such that F is negative definite in E x E. The following

statement shows that the form of a Hamiltonian i f in a neighborhood of a

nondegenerate equilibrium xq is completely determined by the index of the

Hessian matrix d^^H (for a proof see, for example, [21]).

class and xq R^"' is a nondegenerate equilibrium of H, then there

exists a change of variables g: B{0,r) > V, where V is a neighborhood

ofxo, such that g{0) = xq and

A 2n

{ H o g ) { y i , . . . , y 2n) = H { x o ) - ' ^ y i + ^ yf

z=AH-1

linear Hamiltonian system. The proof uses Morses lemma.

T h eorem 9.17. Let H be a Hamiltonian of class C^. If xq is an equilibrium

of H with (positive or negative) definite Hessian matrix then xq is a

stable but not asymptotically stable critical point of the equation x' = X h {x ).

Hence, it follows from Morses lemma that there exists a change of variables

g: 5(0 , r) > V, where F is a neighborhood of xq, such that y(0) = xq and

2n

{H o g){yi,.. . ,p2n) = H { x o ) Y ^ y f

2=1

232 9. Hamiltonian Systems

for every {yi,... ,y2n) G B{0,r). This shows that for c sufficiently close

to H { x q ), with c > H { x q ) for positive definite, and c < H { x q ) for

dl^H negative definite, the level sets

V c ^ { x e V : H(x) = c}

are diffeomorphic to 2n-dimensional spheres that approach the point xq

when c > H{ xq). On the other hand, since H is constant along the solutions

of its Hamiltonian system, any solution >pt{x) with initial condition x K

remains in Vc for every t G M (we note that since Vc is compact, the maximal

interval of any of these solutions is K). This yields the desired result.

Exam ple 9.18 (continuation of Example 9.2). Consider the Hamiltonian H

in (9.2). It follows from Theorem 9.17 that if qo is a strict local minimum

of U with U"{qo) > 0, then (^OtO) is a stable but not asymptotically stable

critical point of equation (9.3). Indeed, since qo is a local minimum of U,

we have U'{qo) = 0 and hence (9o>0) is a critical point of equation (9.3).

Moreover, since U"{qo) > 0, the Hessian matrix

(Tj> 0^

= d,(go,0)(C ,P) - ( Q

is positive definite.

the stability of the equilibrium xq it is convenient to consider the linear

variational equation

y' = dxoXny-

D efinition 9.19. The eigenvalues of the Hamiltonian matrix dx^Xa =

Jd'^^H are called the characteristic exponents of at xq.

at Xq has positive real part, then xq is an unstable critical point of the equa

tion x' = X h {x). Since the matrix dx^Xn is Hamiltonian, it follows from

Proposition 9.13 that a necessary condition for the stability of an equilib

rium Xq is that all characteristic exponents of X h at xq are purely imaginary,

say equal to i A i , . . . , iA . Now we give a sufficient condition for stability.

nents

i A i , . . . , fAn.

(f |Ai|,.. . , |An| are nonzero and pairwise distinct, then xq is a stable but not

asymptotically stable critical point of the equation x' = X h {x).

Ai > > An > 0. (9.12)

9.3. Stability o f equilibria 233

respectively to the eigenvalues iAi, . . . , iA, iAi, . . . , iXn of the matrix

B = Jd^^H. We write

Uj = Rewj and Vj =

One can easily verify that u i ,... ,Un,vi,... ,Vn is a basis of and it

follows from the identity Bwj = iXjWj that

Buj = XjVj and Bvj = XjUj (9.13)

for j = 1 , . . . , n (because B is real). We also assume, without loss of gener

ality, that

UjJvj = 1 for j = 1,... ,n. (9-14)

We have

{u,v) (u,v)* v*J*u = v*Ju = {v,u) (9.15)

for u,v E In particular, taking u = u, we obtain

(uj,Uj) {vj, Vj) = 0 for y = 1 , .. ., n. (9.16)

Moreover, it follows from (9.14) and (9.15) that

{uj,Vj) = ~{vj,Uj) = 1 for j = 1,... ,n. (9.17)

We also have

{Bwj ,Wk)= iXj {wj ,Wk), (9.18)

and using (9.11), we obtain

{Bwj,wk) = WjB*Jwk = -WjJBwk = -iXk{wj,Wk). (9.19)

Thus,

(Aj + Xk){wj,Wk) = 0,

and since Aj -I- A^ > 0, we conclude that

{wj,Wk) = 0 for j,k = l , . . . , n .

Substituting wj = uj + ivj and Wk =Uk + ivk yields the identity

(u j, Uk) + i{uj, Vk) + i{vj,Uk) - {vj,Vk) = 0. (9.20)

Proceeding as in (9.18) and (9.19) with wj replaced by wJ, we obtain

i{-Xj + Xk){wj,wk) = 0 for j, k = l , . . . , n .

Thus, it follows from (9.12) that {wj,Wk) 0 for j k, and hence,

(uj,uk) + i{uj,Vk) - i{vj,Uk) + {vj,Vk) = 0 (9.21)

for j 7^ k. Adding and subtracting (9.20) and (9.21) yields the identities

234 9. Hamiltonian Systems

and

i{vj,Uk) - {vj,Vk} = 0

for j ^ k. Taking the real and imaginary parts, we finally obtain

for j ^ k. It follows from identities (9.16), (9.17) and (9.22) that the ma

trix C with columns u i , ... ,Un,vi,... ,Vn satisfies

C*JC = J.

/ Ai \

Xrt

C~^BC =

Al

and hence.

A l

An

C*JBC = JC~^BC = -

Al

XnJ

into the function

= H { x o ) - \ y * C * J B C y + o{\\y\\^)

= H { x^ ) - \ y* J C - ^ B C y + o{\\yf)

j= i

as in the proof of Theorem 9.17.

9.4. Integrability and action-angle coordinates 235

In this section we consider a class of Hamiltonians for which this is possible.

Let H : -> R be a Hamiltonian of class C^.

(0, / ) G T X R such that the Hamiltonian H can be written in the form

H{q,p) = h{I), then the variables (0,1) are called action-angle coordinates.

the form

e' = oj{I), J' = 0,

where u{I) = V/i(/). Hence, the solutions are given explicitly by

6{t) = Oo + tu{Io), I{t) = Jo,

where 6q = 0(0) and I q I (0).

i=i

One can pass to action-angle coordinates by applying the transformation

Qj cosOjy pj = ^/^sin0j, j = 1,... ,n.

By Example 9.5, this transformation is canonical, because the derivative of

(qjyPj) has determinant 1 for j = 1 , . . . , n. In the new coordinates

(0,7) the Hamiltonian H{6,I) = H{q,p) is given by

n

m i ) =

j= i

The corresponding Hamiltonian system is

J ' = 0, 0'=A,', j = n.

However, there is a class of Hamiltonians, called completely integrable (or

integrable in the sense of Liouville), for which locally there exist action-angle

coordinates. More precisely, for a Hamiltonian H : R^" > R we describe

how the existence of n integrals F i, . . . , satisfying certain properties in a

set U C R^" has important consequences concerning the existence of local

action-angle coordinates and the structure of the solutions in each level set

Mc = [x U : Fj{x) = Cj for j = 1 , .. ., n}, (9.24)

where c = ( c i , . . . , c) R . We first introduce some notions.

236 9. Hamiltonian Systems

say that they are:

a) independent in 17 C if VFi(a:),. . . , S/Fn{x) are linearly indepen

dent for each x G 17;

b) in involution in 17 C R^ if {Fi, F j } = 0 in U fov i, j = 1 , ... ,n.

tegrable in the sense of Liouville) in a set 17 C R^" if there exist n integrals

F \ , . . . , F n of equation (9.6) that are independent and in involution in U.

ian H in (9.23). One can easily verify that the functions

H j { q , p ) = X j i q ] + p j ) / 2 ,

for j = 1 , . . . , n, are integrals, and that they are independent and in involu

tion in R^ . Hence, the Hamiltonian H is completely integrable.

in (9.4) and the angular momentum

One can easily verify that L is an integral. Indeed, it follows from (9.5) that

if x{t) = (q{t),p(t)) is a solution, then

pq2 , pqi ^

= P1P2 - 9 l | j ^ - P2P1 + q 2 j ^ = 0.

Moreover, the integrals H and L are independent outside the origin and

{H, L} = 0. For the first property, we observe that

pq \

V H = { p , and V L = {p2, - p i , - 92, 9i)-

M V

Hence VH WL = 0, and V i7 and V L are linearly independent outside the

origin. For the second property, we note that

SH L \ ~ aTT dL dH dL dH dL

dq\ dp\ dq2 dp2 dpi dq\ dp2 dq2

= ]|^(-92) + - P2(-Pi) = 0.

9.4. Integrability and action-angle coordinates 237

tails see, for example, [19]). We denote by T = E"'/Z"' the n-dimensional

torus.

integrable in an open set U C let F i , . .. ,Fn'. U R be integrals of

equation (9.6) that are independent and in involution in U. Then:

a) each set Me in (9.24) is an n-dimensional manifold that is invariant

under the solutions of the equations x' = Xpi{x) for i . ,n;

b) if all solutions of these equations in Me have maximal interval R,

then each connected component of Me is diffeomorphic to x R *^

for some 0 < k < n, and there exist action-angle coordinates in a

neighborhood of Me; moreover, the solutions of the equation xf =

X h {x ) in Me induce the trajectories

in X where u> = lo{c) E R*^ and v = v{c) 6 R ~*^.

neighborhood of any point (qo, 0) R^ where qo is a strict local minimum

of U. Moreover, by Morses lemma (Proposition 9.16), up to a change of

variables in a neighborhood of (go.O) the level sets Me in (9.24) are circles.

This corresponds to taking n = k = 1 in Theorem 9.27, in which case the

sets Me are diffeomorphic to the torus = 5^.

the decomposition into level sets in Theorem 9.27. The details fall outside

the scope of the book, and so we partially omit them.

H in (9.4) and the angular momentum L in (9.25). Introducing the canonical

transformation

^ 91 V g T + 92

^

one can write

+ and L = ps.

, dH OH , dH , dH

''= W r' We' =

238 9. Hamiltonian Systems

that is,

r' =Pr,

e' = pe/r^,

Pr = -Pe/f'^ +

/ e = 0-

For the integrals F\ = H and F2 = L, we have the level sets

Me = {{r,e,pr,pe) 6 R ''' X 5 ^ X : H{r,pr,pe) = a,pe = b}

where c = (o,ft). Since pi + h^/r^ > 0, the region in the variables {r,6)

where there exist solutions is given by

Ra = [{r, 6) eR -^

between A and B, one can show that:

a) if /i < 0, then Ra = 0 ior a < 0, and Ra { - p / a ,+ o o ) x 5^ for

o > 0;

b) if p 0, then i?a = 0 for a < 0, and Ra R '*' x for o > 0;

c) if p > 0 , th e n Ra ~ R'*' x fo r a > 0, and Ra (0 , p/a) x fo r

a < 0.

Now we define

S a= (J U r , e ) ,

(Ty0)GRa

where

Ia{r, 9) = | (r , 9,Pr,P0) 6 R+ x x R^ : +Pg/r^ = 2 | .

The set Ia(r,9) is an ellipse, a point or the empty set, respectively, if (r,9)

is in the interior, in the boundary or in the exterior of Ra- One can show

that:

a) if p > 0, then S a ^ S ^ \ 5^ for a < 0, and S'a 5^ \ {S^ U 5^) for

a > 0;

c) if p < 0, then 5a = 0 for a < 0, and 5a ~ 5 \ 5^ for a > 0.

Taking into account that

Me = 5a n(R + X 5^ X R X {b}),

one can then describe each level set up to a diffeomorphism.

9.5. The KAM theorem 239

rem 9.27) occurs when the level sets Me are compact. In this case each

connected component of Me is diffeomorphic to the torus T (because R* is

not compact). Moreover, there is no need to assume as in Theorem 9.27 that

the solutions of the equations x' = Xpiix) have maximal interval R, since

then this property is automatically satisfied. In this context we introduce

the following notion.

D efinition 9.30. The trajectories in a torus T diffeomorphic to a level

set Me, given by

t (ai -b tu>i,... ,Oin + tUn) mod 1, (9.26)

are called quasi-periodic trajectories with frequency vector w = (wi,... ,w).

The vector oj is said to be nonresonant if {k,(J) ^ 0 for every A: Z \ {0}.

P rop osition 9.31. Let H be a completely integrable Hamiltonian. For each

level set Me diffeomorphic to a torus T , if u> is nonresonant, then each

trajectory in (9.26) is dense in the torus.

there are still many examples of Hamiltonian systems that are obtained

from small perturbations of Hamiltonians of the form h(I), using action-

angle coordinates. A concrete example is given by the motion of the planets

in the solar system, which is close to the problem of motion without taking

into account the interactions between planets (but only between the Sun

and each planet). This last system is completely integrable, since it consists

of several two-body problems (see Examples 9.3 and 9.26).

In this context it is natural to introduce the following notion. We recall

that for a function 5 : R R we write g{e) = 0{e) if there exists a constant

C > 0 such that |^(e)| < C\e\ for every e R.

D efinition 9.32. A parameterized family of Hamiltonians He = He{9,I),

with {0, / ) T X G for some G C R , is said to be almost-integrable if it is

of the form

He{e,i) = h{i) + M e , i ) , with M e , i ) = o{e), (9.27)

for every e 6 R in some neighborhood of zero.

ian system defined by Hg is

9' = c ( / ) + ^ ( , / ) ,

240 9. Hamiltonian Systems

I lG are invariant. Now we assume that

det dtjh ^ 0 for I G. (9.28)

This condition guarantees that the transformation 7 w(I) is a local dif-

feomorphism, and hence all tori T / can be (locally) parameterized by the

components of the vector w(7). We have the following fundamental result

(for details see, for example, [22]).

T"' X G satisfying (9.27) and (9.28). Given r > n 1 and 7 > 0, there exists

eo = 0 (7 ^) such that if jej < Sq, then for each torus T / = x { / } with

7

|(A:,a;(7))|> k e r ^ \ { 0}

iiA;ir

there exists an invariant torus of the Hamiltonian Hg, with the same fre

quency vector u}{I), such that the maximal distance from Tj to T / is 0{e/'y).

Moreover, the volume of the complement m T x G of the set covered by the

tori Tj is 0 (7 ).

if e is sufficiently small, then many of the n-dimensional invariant tori are

preserved in the perturbed system, up to a small deformation. When n = 2

one can deduce from Theorem 9.33 that the perturbed system has bounded

trajectories, because the tori (which in this case are closed curves) separate

the phase space (by Jordans curve theorem). For n > 3 , in general this

property may not hold.

9.6. Exercises

and only if

{ F o G o ^ } = { F , G] o p

for any differentiable functions F and G.

villes formula (Theorem 2.10) to show that deld^pt = 1

a) if a matrix B is Hamiltonian, then tr F = 0;

b) if a matrix A is canonical, then det A = 1;

c) for n = 1 a matrix B is Hamiltonian if and only if tr F = 0;

d) fo rn = 1 a matrix A is canonical if and only if det A = 1 .

9.6. Exercises 241

system with one degree of freedom.

corresponding Hamiltonian system defines a flow cpt in R^"^. Show that:

a) i f is constant along the solutions;

b) (ft preserves volume in R^ , that is, ^i{ipt{A)) = fi{A) for every open

set A C R^ and t G R, where /x denotes the volume in R^ ;

c) there exist neither asymptotically stable critical points nor asymp

totically stable periodic solutions.

equation x' = f (x) defines a flow (ft preserving volume in R and that there

exists a bounded set .4 C R*^ such that <Pt{A) = A for every t G R.

a) Given a nonempty open set U <Z A, show that not all sets

P2(U), (P3{U),.. . are pairwise disjoint.

b) Show that for each nonempty open setU <Z A there exist x U and

n G N such that ip2n(x) G U.

Bibliography

[2] H. Amann, Ordinary Differential Equations, Walter de Gruyter, 1990.

[3] V. Arnold, Mathematical Methods o f Classical Mechanics, Springer, 1989.

[4] V. Arnold, Ordinary Differential Equations, Springer, 1992.

[5] R. Bhatia, Matrix Analysis, Springer, 1997.

[6] J. Carr, Applications o f Centre Manifold Theory, Springer, 1981.

[7] C. Chicone, Ordinary Differential Equations with Applications, Springer, 1999.

[8] S.-N. Chow and J. Hale, Methods o f Bifurcation Theory, Springer, 1982.

[9] E. Coddington and N. Levinson, Theory o f Ordinary Differential Equations, McGraw-

Hill, 1955.

[10] T. Dieck, Algebraic Topology, European Mathematical Society, 2008.

[11] B. Dubrovin, A. Fomenko and S. Novikov, M odem Geometry - Methods and Appli

cations: The Geometry and Topology o f Manifolds, Springer, 1985.

[12] J. Guckenheimer and P. Holmes, Nonlinear Oscillations, Dynamical Systems, and

Bifurcations of Vector Fields, Springer, 1983.

[13] J. Hale, Ordinary Differential Equations, Robert E. Krieger, 1980.

[14] J. Hale and H. Kogak, Dynamics and Bifurcations, Springer, 1991.

[15] P. Hartman, Ordinary Differential Equations, SIAM, 2002.

[16] N. Higham, Functions o f Matrices: Theory and Computation, SIAM, 2008.

[17] M. Hirsch and S. Smale, Differential Equations, Dynamical Systems, and Linear Al

gebra, Academic Press, 1974.

[18] M. Irwin, Smooth Dynamical Systems, Academic Press, 1980.

[19] A. Katok and B. Hasselblatt, Introduction to the M odem Theory o f Dynamical Sys

tems, Cambridge University Press, 1995.

[20] J. La Salle and S. Lefschetz, Stability by Liapunovs Direct Method, With Applications,

Academic Press, 1961.

[21] J. Milnor, Morse Theory, Princeton University Press, 1963.

243

244 Bibliography

[22] J. Moser, Stable and Random Motions in Dynamical Systems^ Princeton University

Press, 1973.

[23] J. Palis and W . de Melo, Geometric Theory of Dynamical Systemsj Springer, 1982.

[24] D. Sanchez, Ordinary Differential Equations and Stability Theory^ Dover, 1968.

[25] F. Verhulst, Nonlinear Differential Equations and Dynamical Systems, Springer, 1996.

Index

u;-limit set, 186 chart, 48

closed

action-angle coordinates, 235 ball, 13

almost-integrable Hamiltonian, 239 path, 171

Arzela-Ascoli theorem, 32 compact set, 10

asymptotic stability, 107 complete metric space, 14

asymptotically stable completely integrable Hamiltonian, 236

equation, 110 conjugacy

solution, 107 differentiable - , 87

attracting point, 17 linear - , 87, 88

autonomous equation, 8 topological - , 87, 90, 127

connected

ball component, 176

closed - , 13 set, 176

open - , 13

conservative equation, 42

bifurcation, 203

contraction, 12, 16

H o p f - 206

fiber - , 18

pitchfork - , 205

convergent sequence, 14

saddle-node - , 204

coordinate system, 48

theory, 201

critical point, 35

transcritical - , 204

hyperbolic - , 127, 136

Brouwers fixed point theorem, 178

isolated -,1 7 9

critical value, 50

canonical

curve, 50, 171

matrix, 229

transformation, 227

Cauchy sequence, 14 degree o f freedom, 225

center, 74 differentiable

manifold, 201, 206, 208 conjugacy, 87

manifold theorem, 208 map, 50

space, 207 structure, 48

characteristic differential equation, 3

exponent, 80, 232 on manifold, 48

245

246 Index

distance, 12 almost-integrable - , 239

completely integrable - , 236

equation matrix, 229

asymptotically stable - , 110 system, 225

autonomous - , 8 heteroclinic orbit, 37

conservative - , 42 homoclinic orbit, 37

homogeneous - , 76 homogeneous equation, 76

homological - ,2 1 7 homological equation, 217

linear - , 57 homotopic paths, 174

linear variational - , 60 homotopy, 174

nonautonomous - , 57 Hopf bifurcation, 206

nonhomogeneous 76 hyperbolic

stable - ,1 1 0 critical point, 127, 136

unstable - ,1 1 0 matrix, 90

equilibrium, 231 hyperbolicity, 127

nondegenerate - , 231

existence of solutions, 9, 33 independent functions, 236

exponential, 63 index, 171, 172, 180

theory, 171

fiber, 18

initial

contraction, 18

condition, 6

contraction theorem, 18

value problem, 3, 6

first integral, 42

instability criterion, 121

fixed point, 16

integrability, 235

Floquets theorem, 79

integral, 42

flow, 8

invariance o f domain theorem, 136

box theorem, 36

invariant

focus

manifold, 147, 150

stable - , 74

set, 185

unstable - , 74

isolated critical point, 179

formula

Liouvilles - , 62 Jordan canonical form, 64

variation of parameters - , 75, 76 Jordans curve theorem, 176

frequency vector, 239

function K A M theorem, 239, 240

Lipschitz - , 15

locally Lipschitz - , 10, 116 lemma

Lyapunov - , 105, 116, 117 Gronwalls - , 21

periodic - , 78 Morses - , 231

strict Lyapunov -,1 1 7 line integral, 172

functions linear

in involution, 236 conjugacy, 87, 88

independent - , 236 equation, 57

fundamental Hamiltonian system, 229

solution, 59 variational equation, 60

theorem of algebra, 179 Liouvilles formula, 62

Liouville-Arnold theorem, 237

global solution, 37 Lipschitz function, 15

Grobman-Hartman theorem, 129, 136 locally Lipschitz function, 10, 116

Gronwalls lemma, 21 Lyapunov function, 105, 116, 117

Index 247

invariant 147, 150

stable 150, 208 regular path, 171

unstable - , 150, 208 resonant vector, 219

matrix

canonical - , 229 saddle point, 68

Hamiltonian - , 229 saddle-node bifurcation, 204

hyperbolic - , 90 semiorbit

monodromy - , 80 negative - , 186

maximal interval, 29, 30 positive - , 186

metric space, 12 sequence

monodromy matrix, 80 Cauchy - , 14

Morses lemma, 231 convergent - , 14

set

negative semiorbit, 186 a-limit - , 186

node a;-limit - , 186

stable - , 68, 69, 71 compact - , 10

unstable - , 68, 71 connected - ,1 7 6

nonautonomous equation, 57 disconnected -,1 7 6

nondegenerate equilibrium, 231 invariant - , 185

nonhomogeneous equation, 76 solution, 3, 4, 51

nonresonant vector, 239 asymptotically stable - , 107

norm, 13 fundamental - , 59

normal form, 215 global - , 37

stable - , 106

open ball, 13 unstable - , 106

orbit, 35, 186 solutions

heteroclinic - , 37 differentially conjugate - , 87

homoclinic - , 37 linearly conjugate - , 87

periodic - , 36 topologically conjugate - , 87

space

path center - , 207

closed - , 171 complete metric - , 14

regular - , 171 metric - , 12

Peanos theorem, 33 o f solutions, 57

periodic stable - , 128, 207

function, 78 unstable - , 128, 207

orbit, 36 stability, 105, 113

phase asymptotic - , 107

portrait, 35, 38, 67 criterion, 117

space, 35 theory, 105

Picard-Lindelof theorem, 10 stable

pitchfork bifurcation, 205 equation, 110

Poincar^Bendixson focus, 74

theorem, 190, 192 manifold, 150, 208

theory, 185 node, 68, 69, 71

point solution, 106

attracting - , 17 space, 128, 207

critical - , 35 strict Lyapunov function, 117

fixed 16

Poisson bracket, 229 tangent

positive semiorbit, 186 bundle, 50

248 Index

space, 50

vector, 50

theorem

Arzela-Ascoli - , 32

Brouwers fixed point - , 178

center manifold - , 208

fiber contraction - , 18

Floquets - , 79

fiow box - , 36

Grobman-Hartman - , 129, 136

Hadamard-Perron - , 149

invariance of domain - , 136

Jordans curve - , 176

KAM - , 239, 240

Liouville-Arnold - , 237

Peanos - , 33

Picard-L indelof- , 10

Poincare-Bendixson - , 190, 192

theory

of normal forms, 215

Poincare-Bendixson - , 185

topological conjugacy, 87, 90, 127

transcritical bifurcation, 204

transversal, 191

uniqueness of solutions, 9

unstable

equation, 110

focus, 74

manifold, 150, 208

node, 68, 71

solution, 106

space, 128, 207

vector

field, 51

frequency - , 239

nonresonant - , 239

resonant -,2 1 9

Selected T itles in This Series

137 Luis B a rreira and C lau dia Vails, Ordinary Differential Equations, 2012

136 A rsh a k P etrosy an , H en rik S h ahgholian , an d N in a U raltseva, Regularity of Free

Boundaries in Obstacle-Type Problems, 2012

135 P ascal C h errier and A lb e r t M ilan i, Linear and Quasi-linear Evolution Equations in

Hilbert Spaces, 2012

134 J ea n -M a rie D e K on in ck an d F loria n L u ca, Analytic Number Theory, 2012

133 J effrey R a u ch , Hyperbolic Partial Differential Equations and Geometric Optics, 2012

132 T eren ce T ao, Topics in Random Matrix Theory, 2012

131 Ian M . M u sson , Lie Superalgebras and Enveloping Algebreis, 2012

130 V iv ia n a E ne and J u rgen H erzog , Grobner Bsises in Commutative Algebra, 2011

129 S tuart P. H astings and J. B r y c e M c L e o d , Classical Methods in Ordinary Differential

Equations, 2012

128 J. M . L an d sberg, Tensors: Geometry and Applications, 2012

127 J effrey S trom , Modern Classical Homotopy Theory, 2011

126 T eren ce T ao, An Introduction to Measure Theory, 2011

125 D ro r V a rolin , Riemann Surfaces by Way of Complex Analytic Geometry, 2011

124 D a v id A . C ox , J oh n B . L ittle, an d H en ry K . Sch enck, Toric Varieties, 2011

123 G re g o ry Eskin, Lectures on Linear Partial Differential Equations, 2011

122 T eresa C re sp o and Z b ig n iew H a jto , Algebraic Groups and Differential Galois Theory,

2011

121 T obias H oick C o ld in g and W illia m P. M in ico z z i, II, A Course in Minimal Surfaces,

2011

120 Q in g H an , A Basic Course in Partial Differential Equations, 2011

119 A le x a n d e r K o ro s te le v and O lga K orostelev a , Mathematical Statistics, 2011

118 H al L. Sm ith and H orst R . T h ie m e , Dynamical Systems and Population Persistence,

2011

117 T eren ce T ao, An Epsilon of Room, I: Real Analysis, 2010

116 Joa n C erd^ , Linear Functional Analysis, 2010

115 J u lio G on za lez-D fa z, Ig n a cio G a rcia -J u ra d o, and M . G loria F iestras-Jan eiro,

An Introductory Course on Mathematical Game Theory, 2010

114 J osep h J. R o tm a n , Advanced Modern Algebra, 2010

113 T h om a s M . L ig gett, Continuous Time Markov Processes, 2010

112 Fredi T roltzsch , Optimal Control of Partial Differential Equations, 2010

111 S im on B ren d le, Ricci Flow and the Sphere Theorem, 2010

110 M atth ias K reck , Differential Algebraic Topology, 2010

109 J oh n C . N eu , Training Manual on Transport and Fluids, 2010

108 E n riqu e O u terelo and Jesus M . R u iz, Mapping Degree Theory, 2009

107 J effrey M . L ee, Manifolds and Differential Geometry, 2009

106 R o b e r t J. D averm an and G era rd A . V en em a , Embeddings in Manifolds, 2009

105 G iovan ni L eon i, A First Course in Sobolev Spaces, 2009

104 P a o lo A lu fii, Algebra: Chapter 0, 2009

103 B ran k o G riin b au m , Configurations of Points and Lines, 2009

102 M a rk A . P in sk y , Introduction to Fourier Analysis and Wavelets, 2002

101 W a rd C h en ey and W ill L ight, A Course in Approximation Theory, 2000

100 I. M a rtin Isaacs, Algebra, 1994

99 G era ld T eschl, Mathematical Methods in Quantum Mechanics, 2009

98 A le x a n d e r I. B o b e n k o and Y u ri B . Suris, Discrete Differential Geometry, 2008

97 D av id C. U llrich, Complex Made Simple, 2008

96 N . V . K ry lo v , Lectures on Elliptic and Parabolic Equations in Sobolev Spaces, 2008

95 L eon A . Takh tajan, Quantum Mechanics for Mathematicians, 2008

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90 L arry J. G erstein , Basic Quadratic Forms, 2008

89 A n th o n y B o n a to , A Course on the Web Graph, 2008

88 N ath an ial P. B row n an d N aru taka O zaw a, C*-Algebras and Finite-Dimensional

Approximations, 2008

87 Srikanth B . Iyengar, G ra h a m J. L euschke, A n to n L eykin, C lau d ia M iller, E zra

M iller, A n u ra g K . Singh, an d U li W a lth er, Twenty-Four Hours of Local

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86 Y ulij Ilyashenko and Sergei Y akovenko, Lectures on Analytic Differential Equations,

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85 J oh n M . A lo n g ! and G ail S. N elson , Recurrence and Topology, 2007

84 C h aralam b os D . A lip ra n tis and R a b e e T ou rk y , Cones and Duality, 2007

83 W olfg a n g E belin g, Functions of Several Complex Variables and Their Singularities, 2007

82 Serge A lin h a c and P a trick G era rd , Pseudo-differential Operators and the

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81 V . V . P ra solov , Elements of Homology Theory, 2007

80 D avar K h osh n ev isa n , Probability, 2007

79 W illia m Stein, Modular Forms, a Computational Approach, 2007

78 H arry D y m , Linear Algebra in Action, 2007

77 B en n ett C h ow , P en g Lu, and Lei N i, Hamiltons Ricci Flow, 2006

76 M ich ael E. T aylor, Measure Theory and Integration, 2006

75 P eter D . M iller, Applied Asymptotic Analysis, 2006

74 V . V . P ra solov , Elements of Combinatorial and Differential Topology, 2006

73 Louis H alle R ow en , Graduate Algebra: Commutative View, 2006

72 R . J. W illia m s, Introduction to the Mathematics of Finance, 2006

71 S. P. N ov ik ov and I. A . T aim a n ov, Modern Geometric Structures and Fields, 2006

70 Sean D in een , Probability Theory in Finance, 2005

69 Sebastian M on tiel an d A n to n io R o s , Curves and Surfaces, 2005

68 Luis C affarelli and S a n d ro Salsa, A Geometric Approach to Free Boundary Problems,

2005

67 T . Y . Lam , Introduction to Quadratic Forms over Fields, 2005

66 Y uli E idelm an, V ita l! M ilm a n , and A n ton is T so lo m itis, Functional Analysis, 2004

65 S. R a m a n a n , Global Calculus, 2005

64 A . A . K irillov , Lectures on the Orbit Method, 2004

63 S teven D ale C u tk osk y, Resolution of Singularities, 2004

62 T . W . K orn er, A Companion to Analysis, 2004

61 T h om a s A . Iv ey and J. M . L an d sberg, Cartan for Beginners, 2003

60 A lb e r to C a n d el and L aw ren ce C on lon , Foliations II, 2003

59 Steven H . W ein tra u b , Representation Theory of Finite Groups: Algebra and

Arithmetic, 2003

58 C e d ric V illan i, Topics in Optimal Transportation, 2003

57 R o b e r t P la to, Concise Numerical Mathematics, 2003

AMS Bookstore at w w w .a m s .o r g /b o o k s t o r e /.

' A 'V

of ordinary differential equations. It includes a discussion of the existence and

uniqueness of solutions, phase portraits, linear equations, stability theory, hyperbo-

licity and equations in the plane.The emphasis is primarily on results and methods

that allow one to analyze qualitative properties of the solutions without solving

the equations explicitly. The text includes numerous examples that illustrate in

detail the new concepts and results as well as exercises at the end of each chapter.

The book is also intended to serve as a bridge to important topics that are often

left out of a course on ordinary differential equations. In particular, it provides

brief introductions to bifurcation theory, center manifolds, normal forms and

Hamiltonian systems.

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