Lecture Notes for Math 524

Dr. Michael Y. Li September 18, 2009

These notes are based on the lecture notes of Professor James S. Muldowney, the books of Hale, Copple, Coddington and Levinson, and Perko. They are for the use of students in my graduate ODE class.

Chapter 1. Existence and Uniqueness Theorems

1.1. Initial value problems
Let D be an open set in Rn+1 , and f C(D Rn ). Consider an ODE in Rn x = f (t, x). A solution to (1) in an interval I R is a dierentiable function : I Rn such that (t) = f (t, (t)). Example 1. The equation x = 1 has solutions dened in R of form x(t) = t + c, where c is an arbitrary constant. In general, an ODE has innitely many solutions. We would like to solve equation (1) subject to conditions x(t0 ) = x0 (2) (1)

for (t0 , x0 ) D. Equations (1) and (2) are called an Initial Value Problem, an IVP for short. In this chapter, we investigate the following questions: 1. Existence of solutions to the IVP (1)-(2). 2. Uniqueness of solutions to the IVP (1)-(2). 3. Maximal interval of existence of a solution. 4. Continuous dependence of solutions on initial conditions and system parameters. 1

We rst examine some examples. Example 2. The IVP x = x, x(t0 ) = x0 has solution x(t) = x0 e(tt0 ) which exists for all t R and is unique. Example 3. The ODE x = x2 has a solution x(t) = 1 , t+c

where c can be uniquely determined by the initial condition x(t0 ) = x0 , for x0 = 0. This solution only exists near t0 and is unique as long as it exists. When x0 = 0 the IVP has a unique solution x(t) = 0. Example 4. Consider the IVP x = |x|1/2 , x(t0 ) = x0 . Since x (t) 0, x(t) is increasing. For x(t) > 0, we have x = 1, 2x1/2 = t + c, x1/2 where c = 2x0
1/2

t0 . A solution is given by x(t) =

1 2 4 (t + c) , 1 (t + c)2 , 4

t c, t < c.

This solution exists in R. When x0 = 0, we have x(t) = 0 for all t. Solutions to the IVP are not 1/2 unique over R . For instance, if x0 > 0 and c = 2x0 t0 , you may check that the function x(t) =
1 4 (t

+ c)2 ,

0,

t c, t < c,

is another solution with the same initial condition x(t0 ) = x0 . However a solution is unique in a nhood of (t0 , x0 ) if x0 = 0.

1.2. An equivalent problem

The IVP (1)-(2) is equivalent to the following integral equation
t

x(t) = x0 +
t0

f (s, x(s)) ds.

(3)

Namely, the IVP and the integral equation has the same set of solutions. The following useful result is a simple version of Gronwalls lemma.

Lemma 1.1 Let g(t) be a continuous real-valued function and g(t) 0 for t [t0 , b]. If, for K > 0, C 0,
t

g(t) C + K
t0

g(s) ds

for t [t0 , b], then g(t) CeK(tt0 ) for t [t0 , b]. Proof. Let G(t) = C + K
t t0

(4)

g(s)ds. Then G(t) g(t) and G(t) 0 for all t [t0 , b]. Moreover, G (t) = Kg(t) KG(t).

Thus G (t) KG(t) 0 and G (t)eKt G(t)KeKt 0, namely [G(t)eKt ] 0, and thus G(t)eKt G(t0 )eKt0 = CeKt0 , it follows g(t) G(t) CeK(tt0 ) . Corollary 1.2 If g(t) 0, K > 0 satisfy
t

g(t) K
t0

g(s)ds,

t t0 .

Then g(t) = 0 for t t0 .

1.3. Uniqueness under Lipschitz conditions

A function f C(D Rn ) is said to satisfy Lipschitz condition with respect to x if there exists (Lipschitz) constant K > 0, such that |f (t, x1 ) f (t, x2 )| K |x1 x2 | for all (t, x1 ), (t, x2 ) D. Here, | | denote any norm in Rn . Example 5. f (x) = sin x is Lipschitz continuous on (, +). Example 6. f (x) = x2 is not globally Lipschitz continuous over R. It is, however, Lipschitz continuous over any compact subset of R. In this case, we say it is locally Lipschitz continuous over R.
1 Example 7. f (x) = x2 is globally Lipschitz continuous on [, ) for any > 0, but only locally Lipschitz continuous on (0, ).

(5)

Example 8. If f (x) is C 1 in an open subset U if Rn , then f is locally Lipschitz in U. 3

Theorem 1.3 (Uniqueness) Suppose (1) f C(D Rn ). (2) f satises Lipschitz condition in D with respect to x. Then the IVP has at most one solution in D. More specically, if there are two solutions 1 (t) and 2 (t) to the IVP, both dened for t [a, b], such that (t, i (t)) D for t [a, b] and i = 1, 2, then 1 (t) = 2 (t) for all t [a, b]. Proof. (Proof # 1) Suppose 1 (t) and 2 (t) are both solutions to the IVP. Then
t

i (t) = x0 +
t0

f (s, i (s)) ds,

i = 1, 2.

and thus, if t t0 , |1 (t) 2 (t)| = | t0 [f (s, 1 (s)) f (s, 2 (s))] ds| t t0 |f (s, 1 (s)) f (s, 2 (s))| ds (t t0 ) t t0 K |1 (s) 2 (s)| ds (Lipschitz condition) Set l(t) = |1 (t) 2 (t)| 0. Then, if t t0 ,
t t

(6)

l(t)
t0

Kl(s) ds,

which implies l(t) = 0 for t t0 by Corollary 1.2. A similar argument can show l(t) = 0 for all t t0 . Proof. (Proof # 2) Set = maxt[t0 ,b] |1 (t) 2 (t)|. From (6), we have
t

|1 (t) 2 (t)|
t0

K ds = K(t t0 ).

Using (6) again, we get

t

|1 (t) 2 (t)|
t0

K 2 (s t0 ) ds = K 2 (t t0 )2 /2.

Repeat the process, we get, for any integer n, |1 (t) 2 (t)| K n (t t0 )n /n! 0 as n .

This implies 1 (t) = 2 (t) for t [t0 , b]. (Proof for t [a, t0 ] is similar.) Questions: (1) Can we weaken the global Lipschitz assumption in the theorem to local Lipschitz? (2) Can you explain the observations in Example 4 in the context of the uniqueness theorem? Does Example 7 contradict the theorem?

1.4. Local existence under Lipschitz conditions: Picards Method of Successive Approximation
We prove the following result. Theorem 1.4 (Picard Local Existence Theorem) Suppose (1) f C(D Rn ). (2) f satises Lipschitz condition in D with respect to x. Then there exists > 0 such that the IVP has a solution for t [t0 , t0 + ]. Proof. Let (t0 , x0 ) D. Then there exists a1 , a2 > 0 such that the closed rectangle R = {(t, x) : |t t0 | a1 , |x x0 | a2 } D ( D is open). Let M = max{|f (t, x)| : (t, x) R}.

a2 We will show that = min{a1 , M } satises the conclusion in the theorem. The following method is called Picard Method of Successive Approximation. Consider the equivalent integral equation t

x(t) = x0 +
t0

f (s, x(s)) ds.

(7)

Step 1: Set up the successive approximation x0 (t) = x0 xn+1 (t) = x0 +

t t0

f (s, xn (s)) ds,

n = 0, 1, 2, .

(8)

Step 2: Verify (use induction) that the sequence {xn (t)} are well-dened for |t t0 | , and that (t, xn (t)) R, |t t0 | . In fact,
t

|x1 (t) x0 |
t0 t

|f (s, x0 )|ds M |t t0 | a2 , n = 2, 3, ,

|xn (t) x0 |
t0

|f (s, xn1 (s))| ds M |t t0 | a2 ,

if |t t0 | a2 /M. Step 3: Show that {xn (t)} is a uniform Cauchy sequence for |t t0 | . |xn+1 (t) xn (t)| (Lipschitz) K and |x1 (t) x0 (t)| = |
t0 t t t0

|f (s, xn (s)) f (s, xn1 (s))| ds

t t0

|xn (s) xn1 (s)| ds ,

n = 1, 2, ...

f (s, x0 ) ds| M |t t0 |, 5

|t t0 | .

Thus |x2 (t) x1 (t)| M K|t t0 |2 /2!, and |x3 (t) x2 (t)| M K 2 |t t0 |3 /3!, and, for n = 1, 2, ... |xn+1 (t) xn (t)| Thus, for 0 m n, we have M |xn (t) xm (t)| K
n1 k=m

|t t0 | , |t t0 | ,

M K n |t t0 |n+1 M (K)n+1 . (n + 1)! K (n + 1)!

(K)k+1 , (k + 1)!

|t t0 | .

(9)

Step 4: The solution to the IVP is obtained as the uniform limit of {xn (t)}. Cauchys criterion and (9) imply that
t

lim xn (t) = x(t)

uniformly for t [t0 , t0 + ], and x(t) is continuous. In the equation (8), let t , we verify that x(t) is a solution to the integral equation (7). Thus x(t) is dierentiable and satises the IVP. Summarize the results in Sections 1.3 and 1.4, we have the following existence and uniqueness theorem under Lipschitz conditions. Theorem 1.5 Suppose (1) f C(D Rn ). (2) f satises Lipschitz condition in D with respect to x. Then there exists > 0 such that the IVP has a unique solution for t [t0 , t0 + ].

1.5. The existence and uniqueness under Lipschitz conditions: a proof using xed point theorem
The following is an abstract version of the proof of Picards existence and uniqueness theorem using a xed point theorem. Let (B, | |) be a Banach space. Let V = { B : || b} be a ball in B with radius b. Lemma 1.6 Suppose that T : V B is a transformation that satises: (a) |T ()| b for V, i.e., T (V ) V. 6

(b) 0 < K1 < 1, such that |T () T ()| K1 | |, for , V. Then, there exists a unique V such that T () = , namely, T has a unique xed point in V. Proof. Exercise. (Hint: use Picard successive approximation.) A mapping that satises assumption (b) is called a contraction, and the xed point theorem in the lemma is also called the contraction mapping theorem. In the following, we prove Picards theorem using this xed point result. Let B = C[t0 a1 , t0 + a1 ] and V = {x B : |x x0 | a2 }. Dene T using the integral equation (3) as follows:
t

T ()(t) = x0 +
t0

f (s, (s)) ds.

Choose a1 small enough so that a1 K < 1, where K is the Lipschitz constant of f in D, then we can show that T satises (a) B implies T () B. (b) |T () T ()| a1 K | |, for ||, || B. Then by the previous lemma, T has a unique xed point B and x = (t) is a solution to the integral equation (3), and hence a solution to the IVP.

1.6. Peano existence theorem

In Theorem 1.5, if the assumption (2) on the Lipschitz condition is removed, the conclusion still holds, except for the uniqueness. Theorem 1.7 Suppose that f C(D Rn ). Then the IVP has a solution which exists on a maximal interval ( , + ). Note: and + depend on t0 , x0 in general. To establish this result, we need some preliminary propositions. Let F be a family of real-valued (or Rn valued) functions on a closed interval I R. (a) F is uniformly bounded if there exists M > 0 such that |f (t)| M, (b) F is equi-continuous if for any , f F imply f F, t I.

> 0, there exists > 0 such that t1 , t2 I, |t1 t2 | < |f (t1 ) f (t2 )| < .

Proposition 1.8 (Arzel`-Ascoli Theorem) Suppose that the family F is uniformly bounded a and equi-continuous. Then for any sequence {fk } F, there exists a subsequence that is uniformly convergent on I. A more abstract way to state the Arzel`-Ascoli Theorem is: a subset F of the Banach space a C[a, b] is precompact i F satises properties (a) and (b). Proof. Let {r1 , r2 , } = I Q (rationals in I ). Consider the sequence in R : {fk (r1 )} = {f1 (r1 ), f2 (r1 ), f3 (r1 ), }. It is bounded and therefore has a convergent subsequence: {f11 (r1 ), f12 (r1 ), f13 (r1 ), }. The sequence {f11 (r2 ), f12 (r2 ), f13 (r2 ), }. is bounded and thus has a convergent subsequence {f21 (r2 ), f22 (r2 , f23 (r2 ), }. The subsequence {f2k (r)} is now convergent for r = r1 , r2 . Proceeding by induction, we construct {fmk }, m = 1, 2, 3, where {fmk } is a subsequence of {f(m1)k }, m = 2, 3, 4, , and {fmk (r)} = {fm1 (r), fm2 (r), fm2 (r), } is convergent (as k ) for r = r1 , r2 , , rm . Therefore, the sequence {fkk (r)} is convergent for every rational r I. (Is the convergence uniform for r I ?) We will show that {fkk (t)} is convergent for every t I. (How do we get uniform convergence?) Let > 0. Choose > 0 such that t1 , t2 I, |t1 t2 | < , f F imply |f (t1 ) f (t2 )| < /3. (11) (10)

Choose r1 , r2 , , rN such that {(ri , ri + ) : i = 1, , N } covers I ( I compact). There exists H such that for m, n H, |fmm (ri ) fnn (ri )| /3, i = 1, 2, , N. (12)

If t I, choose ri such that |ri t| < . Then m, n H implies |fmm (t) fnn (t)| |fmm (t) fmm (ri )| + |fmm (ri ) fnn (ri )| + |fnn (ri ) fnn (t)| < /3 + /3 + /3 = by (11), (12).

Therefore, {fkk } is a subsequence of {fk } and is uniformly convergent on I (Cauchy criterion).

Proposition 1.9 (Peano Local Existence Theorem) Suppose that f C(D Rn ). Then the IVP has a solution which exists in a neighborhood of t0 . Proof. (Proof # 1, Tonelli). We show the existence of a solution on a right half-neighborhood of t0 . (left half-neighborhood is similar) For > 0, let x (t) = x0 , t0 t t0 , t (13) x (t) = x0 + f (s, x (s)) ds, t0 < t
t0

Let a1 , a2 , M, be as in the Picard Local Existence Theorem (Theorem1.4). Then x (t) is well dened by (13) for t0 t t0 + , since
t

|x (t) x0 | = |
t0

f (s, x (s)) ds| M |t t0 | M a1 a2 .

This also shows that {x : 0 < } is uniformly bounded on [t0 , t0 + ]. The set of functions is also equi-continuous, since
t1

|x (t1 ) x (t2 )| = |
t2

f (s, x (s)) ds| M |t1 t2 | ,

if |t1 t2 | < /M.

By Arzel`-Ascoli Theorem, there exists sequence k 0+ , such that {x k } is uniformly convergent a on [t0 , t0 + ]. Therefore (13) implies that the limit function x(t) satises
t

x(t) = x0 +
t0

f (s, x(s)) ds

and x(t) is a solution of the IVP on [t0 , t0 + ]. Proof. (Proof #2, Peano). Construct an -approximate solution (Euler polygon) as follows: Let ti = t0 + i , i = 0, 1, 2, , n. ( n / . ) If ti t ti+1 , let x (t) = xi + (t ti )f (ti , xi ), where xi = x (ti ), i = 1, 2, , n. Thus x (t) satises an integral equations
t

x (t) = x0 +
t0

F (s) ds,

where F (s) = f (ti , xi ), ti s ti+1 , i = 1, 2, , n, is a step function. Note |x1 x0 | = |f (t0 , x0 )|(t1 t0 ) M (t1 t0 ), |xi+1 x0 | = |x (ti+1 ) x0 | |x (ti+1 ) x (ti )| + + |x (t1 ) x0 | M (ti+1 t0 ) a2 , (since t0 ti t0 + ) Thus (use induction) (ti , xi ) R for i = 1, 2, , n. Show 9

(i) |x (t) x0 | M (t t0 ), (ii) |x (t) x (s)| M |t s|, (iii) There is a sequence function x(t);
k

t0 t t0 + ; t0 t, s t0 + ;

0+ such that {x k (t)} is uniformly convergent on [t0 , t0 + ] to a

(iv) F k (t) converges uniformly on [t0 , t0 + ] to f (t, x(t)); (v) x (t) = f (t, x(t)), x(t0 ) = x0 .

The rest of the section concerns the maximal interval of existence. Proposition 1.10 Suppose (i) f C(D Rn ); (ii) K D compact; (iii) (t, x(t)) K, t0 t < < for some solution x(t) of the IVP. Then x1 = limt x(t) exists and (, x1 ) K. Furthermore, [t0 , ) is not a right-maximal interval of existence for x(t). Proof. To show x1 = limt x(t) exists, we show that x(t) is uniformly continuous on [t0 , ). From the integral equation we have
t2

|x(t1 ) x(t2 )| = |
t1

f (t, x(t))dt| M |t1 t2 |

for all t1 , t2 [t0 , ), where M = max {|f (t, x)| : (t, x) K}. The Peano Existence Theorem (Theorem1.9) implies that x(t) can be continued to the right of . Exercise. Suppose that x1 (t) is a solution of the IVP x (t) = f (t, x), x(t0 ) = x0 ,

in [t0 , a) and that limta x1 (t) = x1 exists and that (a, x1 ) D. Let x2 (t) be a solution to the IVP x = f (t, x), x(a) = x1 in [a, b). Dene x(t) = x1 (t) for t [t0 , a) and x(t) = x2 (t) for t [a, b) Show that x(t) is a solution of the IVP x = f (t, x), x(t0 ) = x0 in [t0 , b). Proposition 1.11 Suppose (i) f C(D Rn ); 10

(ii) x(t) is a solution of the IVP dened for [t0 , ) ; (iii) t0 < tk < , limk tk = and limk x(tk ) = x1 ; (iv) (, x1 ) D. Then x1 = limt x(t) and [t0 , ) is not a right-maximal interval of existence for x(t). Proof. Let > 0 be suciently small that J D, where J = {(t, x) : |t| , |xx1 | }. Let M = max{|f (t, x)| : (t, x) J }. Then N 0 < tN < /2M and |x(tN ) x1 | < /2. We claim that |x(t) x(tN )| < M ( tN ) < /2, tN t < . (14) Then, tN t < implies |x(t) x1 | |x(t) x(tN )| + |x(tN ) x1 | < /2 + /2 = . and thus limt x(t) = x1 . Moreover, (, x1 ) D implies that [t0 , ) is not the right-maximal interval of existence. To show claim (14): suppose it is false. Then there exists a least T > tN such that |x(T ) x(tN )| = M ( tN ) < /2. Therefore, |x(t) x1 | |x(t) x(tN )| + |x(tN ) x1 | < /2 + /2 = , for tN t < T. Thus (t, x(t)) J , tN t < T. Therefore
T T

(15)

|x(T ) x(tN )| = |
tN

f (s, x(s))ds|
tN

|f (s, x(s))|ds

(16) (17)

M (T tN ) < M ( tN )

which contradicts (15), proving the claim. (Question: why cant we use (refBBB) to prove (14) directly?) Corollary 1.12 Assume that D = (a, b) Rn , t0 (a, b), and ( , + ) is a maximal interval of existence for a solution of x = f (t, x). Then = a + = b or or
+ t

lim |x(t)| = , lim |x(t)| = .

t+

Proof. Suppose that + < b. Then the uniform continuity of x(t) in [t0 , + ), now a nite interval, implies that limt |x(t)| exists (though may not be nite). Suppose that limt |x(t)| < + + . Then the uniform continuity of x(t) again implies that there exists x1 Rn such that limt x(t) = x1 , and (+ , x1 ) D = (a, b) Rn . Therefore x(t) can be extended to the
+

11

closed interval [t0 , + ], contradicting the assumption that [t0 , + ) is the right maximal interval of existence. The proof for the case of can be proved similarly. In Summary: If f C(D Rn ), then the IVP has a solution and every solution x(t) of the IVP exists on a maximal interval ( , + ) which depends on the solution. Moreover,
t

lim d((t, x(t)), D) = 0,

(18)

where d(x, A) = inf aA |x a|. To see the relation (18), suppose that limt+ d((t, x(t)), D) = 0. Then there exist 0 > 0 and tn + such that limn d((t, x(tn )), D) 0 . First of all, this relation implies that x(tn ) is bounded, since otherwise, D must be unbounded and {} D, and there exists a subsequence tk such that limk |x(tk )| = . This implies that limk d((t, x(tk )), D) = 0 < 0 . Now |x(tn )|, being bounded, must have a convergent subsequence, x(tm ) such that tm + and x(tm ) x1 , and thus d((+ , x1 ), D) 0 . This implies that (+ , x1 ) D, and the solution can then be further continued. This contradiction shows that (18) must hold on a maximal interval. However, for a solution x(t) on its maximal interval of existence ( , + ), the limit limt x(t) may not exist, as the following example shows. Example. Consider x (t) = 1 1 cos . 2 t t

The function f (t, x) = t1 cos 1 is continuous in D = (0, ) R. A solution x(t) = c sin 1 has 2 t t a left maximal interval (0, t0 ). We see that limt0+ d((t, x(t)), D) 0, but limt0+ x(t) does not exist.

1.7. Continuous dependence on initial conditions and parameters

Consider the IVP x = f (t, x, ) x(t0 ) = x0 , where t R, x Rn , Rm . We make the following assumptions: (i) f C(G Rn ), G open in Rn+m+1 . (ii) Solutions to the IVP is unique for each (t0 , x0 , ) G. Denote the solution to the IVP as x = x(t; t0 , x0 , ). We will show that x(t; t0 , x0 , ) is continuous in its domain. Theorem 1.13 Assume that x(t; t0 , x0 , 0 ) exists for t [a, b]. Then, that |t t0 | < , |x x0 | < , | 0 | < 0 0 0 imply 12 > 0, > 0 such (19)

(1) x(t; t , x , ) exists for t [a, b]. 0 0 0 (2) supatb |x(t; t , x , ) x(t; t0 , x0 , 0 )| < . 0 0 0 W.o.l.g., we may drop the dependence on . The IVP x = f (t, x, ) x(t0 ) = x0 , is equivalent to the IVP x = x(t; t0 , x0 , )

x y x(t0 ) y(t0 )

= f (t, x, y) = 0 = x0 = ,

x = x(t; t0 , x0 , ) y = y0 (= ).

Proof of Theorem 1.13. Equivalently, we prove the following. Let (tk , xk ) (t0 , x0 ), Then for k > K, (1) x(t; tk , xk ) exists for t [a, b]. (2) limk supatb |x(t; tk , xk ) x(t; t0 , x0 )| = 0, or equivalently, x(t; , tk , xk ) x(t, t0 , x0 ) as k uniformly for t [a, b]. Step 1. Choose D0 D0 D1 D1 D such that (t, x(t)) D0 for t [a, b]. Set M> Choose such that R (t0 , x0 ) = {(t, x) : |t t0 | , |x x0 | M } D1 . Then x(t; t0 , x0 ) is dened for [t0 , t0 + ], and K > 0, such that k > K implies (tk , xk ) R (t0 , x0 ) and R (tk , xk ) D1 , and thus xk (t) = x(t; tk , xk ) is dened for t [t0 0 , t0 + 0 ] for some 0 < 0 . From the integral equation
t

as k .

sup
(t,x)D1

|f (t, x)|.

xk (t) = xk +
tk

f (s, xk (s)) ds

we conclude that {xk (t)} is uniformly bounded and equi-continuous in [t0 0 , t0 + 0 ]. Arzel`a Ascoli Theorem implies that any subsequence of {xk (t)} has a subsequence uniformly convergent to the same limit x(t, t0 , x0 ) (uniqueness of solutions). This implies that x(t; tk , xk ) x(t; t0 , x0 ) 13 as k

uniformly in [t0 0 , t0 + 0 ]. Step 2. Suppose [a, b] [t0 0 , t0 + 0 ]. Let t1 = t0 + 0 , x1 = x(t1 ). Choose 1 such that 0 0 0 R1 (t1 , x1 ) D1 . 0 0 Repeating the preceding argument, we conclude: K1 > 0 such that k > K1 implies x(t; tk , xk ) is dened for t [t0 , t0 + 0 + 1 ], and x(t; tk , xk ) x(t; t0 , x0 ) as k

uniformly in [t0 , t0 + 0 + 1 ]. Proceed like this, after nite number of steps, we obtain [a1 , b1 ] [a, b] and K > 0 such that k > K implies (1) x(t; tk , xk ) exists for t [a1 , b1 ]. (2) limk supa1 tb1 |x(t; tk , xk ) x(t; t0 , x0 )| = 0. Remark. The result also includes the continuous dependence on the vector eld f (t, x). Suppose xk (t) solves the IVP x = fk (t, x), x(tk ) = xk , and, as k , (tk , xk ) (t0 , x0 ), fk (t, x) f (t, x) on any compact subset of D Rn+1 . Then, for k > K > 0, x(t; tk , xk , fk ) exists in [a, b] and
k atb

lim sup |x(t; tk , xk , fk ) x(t; t0 , x0 , f )| = 0.

14