OF ORDINARY
DIFFERENTIAL
EQUATIONS
Universitext
Editorial Board
(North America):
S. Axler
F.W. Gehring
K.A. Ribet
Springer
New York
Berlin
Heidelberg
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London
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Universitext
Springer
PoFang Hsieh Yasutaka Sibuya
Department of Mathematics School of Mathematics
and Statistics University of Minnesota
Western Michigan University 206 Church Street SE
Kalamazoo, MI 49008 Minneapolis, MN 55455
USA USA
philip.hsieh@wmich.edu sibuya 0 math. umn.edu
Editorial Board
(North America):
S. Axler F.W. Gehring K.A. Ribet
Mathematics Department Mathematics Department Department of
San Francisco State East Hall Mathematics
University University of Michigan University of California
San Francisco, CA 94132 Ann Arbor. Ml 48109 at Berkeley
USA 1109 Berkeley, CA 947203840
USA USA
vii
viii PREFACE
larities of linear differential equations is given. In Chapter VI, the main topics are
the basic results concerning boundaryvalue problems of the secondorder linear
differential equations. The comparison theorems, oscillation and nonoscillation of
solutions, eigenvalue problems for the SturmLiouville boundary conditions, scat
tering problems (in the case of reflectionless potentials), and periodic potentials are
studied. The authors learned much about the scattering problems from the book
by S. Tanaka and E. Date [TD]. In Chapter VII, asymptotic behaviors of solu
tions of linear systems as the independent variable approaches infinity are treated.
Topics include the Liapounoff numbers and the Levinson theorem together with
its various improvements. In Chapter VIII, some fundamental theorems concern
ing stability, asymptotic stability, and perturbations of 2 x 2 linear systems are
explained, whereas in Chapter IX, results on autonomous systems which include
the LaSalleLefschetz theorem concerning behavior of solutions (or orbits) as the
independent variable tends to infinity, the basic properties of limitinvariant sets
including the Poincar6Bendixson theorem, and applications of indices of simple
closed curves are studied. Those theorems are applied to some nonlinear oscillation
problems in Chapter X. In particular, the van der Pot equation is treated as both
a problem of regular perturbations and a problem of singular perturbations. In
Chapters XII and XIII, asymptotic solutions of nonlinear differential equations as
a parameter or the independent variable tends to its singularity are explained. In
these chapters, the asymptotic expansions in the sense of Poincare are used most
of time. However, asymptotic solutions in the sense of the Gevrey asymptotics are
explained briefly. The basic properties of asymptotic expansions in the sense of
Poincare as well as of the Gevrey asymptotics are explained in Chapter XI.
At the beginning of each chapter, the contents and their history are discussed
briefly. Also, at the end of each chapter, many problems are given as exercises. The
purposes of the exercises are (i) to help the reader to understand the materials in
each chapter, (ii) to encourage the reader to read research papers, and (iii) to help
the reader to develop his (or her) ability to do research. Hints and comments for
many exercises are provided.
The authors are indebted to many colleagues and former students for their valu
able suggestions, corrections, and assistance at the various stages of writing this
book. In particular, the authors express their sincere gratitude to Mrs. Susan Cod
dington and Mrs. Zipporah Levinson for allowing the authors to use the materials
in the book Theory of Differential Equations by E. A. Coddington and Norman
Levinson.
Finally, the authors could not have carried out their work all these years without
the support of their wives and children. Their contribution is immeasurable. We
thank them wholeheartedly.
PFH
YS
March, 1999
CONTENTS
Preface vii
ix
x CONTENTS
References 453
Index 462
CHAPTER I
FUNDAMENTAL THEOREMS OF
ORDINARY DIFFERENTIAL EQUATIONS
In this chapter, we explain the fundamental problems of the existence and unique
ness of the initialvalue problem
dy
(P)
dt
= y(to) _ 4o
in the case when the entries of f (t, y) are realvalued and continuous in the variable
(t, y), where t is a real independent variable and y is an unknown quantity in Rn.
Here, R is the real line and R" is the set of all ncolumn vectors with real entries.
In §I1, we treat the problem when f (t, y) satisfies the Lipschitz condition in W. The
main tools are successive approximations and Gronwall's inequality (Lemma
In §12, we treat the problem without the Lipschitz condition. In this case, ap
proximating f (t, y) by smooth functions, fapproximate solutions are constructed.
In order to find a convergent sequence of approximate solutions, we use Arzeli 
Ascoli's lemma concerning a bounded and equicontinuous set of functions (Lemma
123). The existence Theorem 125 is due to A. L. Cauchy and G. Peano [Peal]
and the existence and uniqueness Theorem 114 is due to E. Picard [Pi1 and E.
Lindelof [Lindl, Lind2J. The extension of these local solutions to a larger interval
is explained in §13, assuming some basic requirement.,, for such an extension. In
§I4, using successive approximations, we explain the power series expansion of a
solution in the case when f (t, y) is analytic in (t, y). lit each section, examples and
remarks are given for the benefit of the reader. In particular, remarks concerning
other methods of proving these fundamental theorems are given at the end of §12.
Y1, f,
y2 f2
y= !y = max{jy,j 1Y21.. ItYn11.
yn fn
In §§I1, 12, and 13 we consider problem (P) under the following assumption.
Assumption 1. The entries of f (t, y) are realvalued and continuous on a rectan
gular region:
I
2 I. FUNDAMENTAL THEOREMS OF ODES
Since f (t, yam) is continuous on R, I f (t, yul is bounded. Let us denote by M the
maximum value of I f (t, y) I on R, i.e., M = mac I f (t, y) I. We define a positive
number a by
a if M = 0,
a
min Ca, M if M > 0.
l
To locate a solution in a neighborhood of its initial point, the number or plays an
important role as shown in the following lemma.
Lemma I11. If ff = ¢(t) is a solution of problem (P) in an interval it  tol <
a < a, then I'(t)  41 < b in It  tol < a, i.e., (t,5(t)) E R((to,co),a,b) for.
It  tol <a.
Proof
Assume that Lemma 111 is not true. Then, by the continuity of fi(t), there
exists a positive number $ such that
(i) < a,
(ii)
1¢(t)  41 < b for It  tol <'6,
I4(to+0) QoI =b or 10(tofl)qol
The assumption a < a < a implies (3 < a. Hence, (t,j(t)) E R for It  tot < p.
Therefore, I f (t, (t))I 5 M for it  to! < 0. From 4'(t) = f (t, ¢(t)) and 4(to) = 4o,
it follows that
Hence,
I4(t)  4)1 = I1 f(s, i(s))ds < MIt  tol for It  tot < P.
r
This implies that
Set v(t) =
Jio g(s)ds. Then, by (1.1.5), ddtt) < K+Lv(t) and v(to) = 0. Hence,
(1.1.7) {exp[L(t  to)]v(t)} < Kexp[L(t  to)]
and, consequently,
Step 1. Each function 0k is well defined and (t,45k(t)) E R for It  tol < a
(k = 0,1,2,...).
Proof.
MLk
Ilk+1(t)  mk(t)I < (k 1)1It  toIk+1 for It  tol < a, k =0,1,2,... .
Proof.
For k = 0, we have 1m1(t)  y5o(t)I = J r f(s,co)ds` < MIt  tol. Assume that
I
co I
ML
I&(t)(t)I < k11 It  tolk for it  tol < a. Then,
<L I J r
to
t k
AkL
I r It  toIkdsl = (ML1)r It  tolk+1.
+oo
Step 3. The series E (&(t)  4k1(t)) is uniformly convergent on the interval
k=1
It  tol<a.
Proof.
By virtue of the result of Step 2, for a given c > 0, there exists a positive integer
N such that
°° M °o (LIt  tol)k M °O (La)k
/ <
E I&(t)  0kI(t)I < L k1 <L k!
k=N k=N k=N
1. EXISTENCE AND UNIQUENESS WITH THE LIPSCHITZ CONDITION 5
Use the identity ¢N (t) = do (t) + E ($k (t)  $k_1(t)) and the result of Step 3.
k=1
L f Id(s)  +L(s)Ids
o
on to < t < to+&, we conclude that I¢(t) tG(t)I = 0 on the interval to < t < to+&.
Similarly, the same conclusion is obtained on the interval to  & < t < to. Steps 1
through 6 complete the proof of Theorem 114. 0
The following lemma gives a sufficient condition that f (t, y") satisfies Assumption
2 (i.e., the Lipschitz condition).
6 I. FUNDAMENTAL THEOREMS OF ODES
Lemma I16. If Of (t' y) (j = 1, 2, ... , n) exist, are continuous, and satisfy the
8yj
condition: I of (t, y j < Lo (j = 1, 2, ..  , n) for (t, y) E I x D, where I is an
1
Iy' Y21
If(t,Yi)  f(t,y2)1 < 5
1. EXISTENCE AND UNIQUENESS WITH THE LIPSCHITZ CONDITION 7
on the region R= {(t, y) : It11 < f, Iy51 < 2} (cf. Exercise I2). Furthermore,
If(t,y)I < 1
(3_(/)2)(9_22) = 1
5
1
Set a = V25, b = 2, and M = . Then,
5
Therefore, the given initialvalue problem has one and only one solution on the
interval It  11 < f.
Problem 2. Using Theorem I14, show that the initialvalue problem
(P) dy = 1 y()
4 = 3
dt (1 + (t  4)2)(5 + (y  3)2)'
has one and only one solution on the interval oo < t < +oc.
Answer.
The function
1
,y
(1 + (t  4)2)(5 + (y  3)2)
is continuous and satisfies the Lipschitz condition everywhere in the (t, y)plane.
Also, If (t, y)I < everywhere. This implies that a = min(a, 5b), if Problem (P)
is considered in a region
Hence, if a < 5b, Problem (P) has one and only one solution on the interval it  41 <
a. Now, this solution is independent of a due to the uniqueness. Therefore, we can
conclude that (P) has one and only one solution on the interval oo < t < +oo.
Remark 117. It is usually claimed that the general solution of the system
dt = f (t, y) depends on n independent arbitrary constants. Theorem 114 verifies
this claim if we define the general solution very carefully, since the initial data (to, Cl
represent n arbitrary constants for a fixed to. However, if the reader looks into this
definition a little deeper, he will find various complicated situations. It is important
for the reader to know that the number of independent arbitrary constants con
tained in the general solution depends strongly on the space of functions to which
the general solution should belong. For example, if the differential equation
1
(E) tae =
8 I. FUNDAMENTAL THEOREMS OF ODES
is considered on the set j = {t E R : t A 0), the general solution is y(t) = cl +In Jtj
for t > 0 and y(t) = c2 + In JtJ for t < 0, where ct and c2 are independent arbitrary
constants. If the Heaviside function
H(t) =
{1 if t > 0,
I if t<0
is used, this general solution is given by
c1  c2 H(t)
y(t) = + c' + c2 + In JtI.
2 2
Equation (E) may be looked at in terms of the generalized functions (or the distri
butions of L. Schwartz [Sc]). The transformation y = u + In Jti, changes equation
(E) to
(E') t  = 0.
As a differential equation on the generalized functions, (E') is reduced to
(E") j = cb(t),
where c is an arbitrary constant and b(t) is the Dirac delta function. Integrating
(E"), we obtain u(t) = cH(t) + c, where c is another arbitrary constant. Therefore,
the general solution of (E) is y(t) = cH(t) + c + in Jtt. For more information on
differential equations on the generalized functions, see [Ko] for examples.
The following example might be a little strange. Let us construct solutions of
the differential equation
(E) L + 2y(cost + cos(2t)) = 0
Proof.
Choose from F a sequence of subsequences F. 1, 2.... }, j=
1, 2, ... , such that
(i) .Fj +1 C .Fj for every j,
(ii) t lim o f',,e(rl) = c, exists for every j.
To do this, first look at functions in F at t = r1. Using the boundedness of the
set {f(r1) : f E .F}, we choose an infinite subsequence F1 = {f 1.t : t = 1, 2,... }
from .F so that lim f1,t(r1) = cl exists. Next, look at the sequence F1 at t = r2.
1 +00
Using the boundedness of the set { f l,t(r2) : t = 1, 2.... }, we choose an infinite
subsequence F2 = {j 2 t : t = 1,2.... }from F1 so that lim h,t(r2) = c2 exists.
Continuing this way, we can choose subsequences .F,+1 from Y. successively.
Set fh = fh,h (h = 1, 2, 3.... ). Then, ft, E fl for every h >) since fh = fh,h E
.Fh C .Fj if h > j. Therefore, lim fh(rj) = c, exists for every j, i.e., lira fh(r)
 h+oo h+oo
exists for every rational number r E Q.
10 I. FUNDAMENTAL THEOREMS OF ODES
choose a rational number rt(e) E 1t f1 Q. For all t E It, set r t,b1 3) I = rt(E)
/E \
and set
1
N(e) = maxE N (r,(.E), 3 )
1
Proof.
We prove this lemma in three steps.
2. EXISTENCE WITHOUT THE LIPSCHITZ CONDITION 11
{f(t on R,
F(t, yJ =
0 for Ittot <a and Ifcal>b+1.
The construction of such an f is left to the reader as an exercise. Since f is
uniformly continuous on R, properties (1), (2), and (3) of f imply that
(4) for every positive number e, there exists a positive number b(e) such that
Step 2. For every positive number b, there exists a realvalued function p(t, 6) of
a real variable t such that
(a) p has continuous derivatives of all orders with respect to for cc < t < +oo,
(b) p(4, b) > 0 for co < t < +oc,
(c) p(.,b)=0forI{I>b,
(d) f(.5)de = 1.
,o
The construction of such a function p is left to the reader as an exercise.
Set 0(g,6) = p(yi, b)p(y2, b) ... p(y,,, b). Then
(a') has continuous partial derivatives of all orders with respect to y1, y2,.,. ,y
for ally",
(b') t(#, 6) 0 for all
(c') 0(f, b) = 0 for Iyj > 6,
(d')
f
r +00 ... f +00
'(y, 6)dy1dy2 ... d1M = 1.
Step 3. Set
+ ...
4(t, YJ = 100
J+oo (y  1, b(E))F(t, ff)d ... dnn,
00
where b(e) is defined in (4) of Step 1. Then, F,(t, y) satisfies all of the requirements
(i), (ii), (iii), and (iv) of Lemma 124.
Proof
Properties (i) and (ii) are evident. Property (iii) follows from the estimate
< iTMaExRIf(T,nl1.
12 I. FUNDAMENTAL THEOREMS OF ODES
=l
r+oo
j + (y;),b(E)){F(t,n7)F(t,)}dg1...dg
00 l
Step 3. Using Lemma 123 (Arzeli Ascoli) choose a sequence {ee : I = 1, 2,. .. } of
positive numbers such that lim e, = 0 and that the sequence l = 1, 2.... }
r+oo
converges uniformly on It  tot < or as t  +oo. Then, set
,(t) = lim
+oo
,,(t) on It  to, < a.
and that
However, Theorem I14 does not apply to (P). In fact y(x) = 0 is a solution of
Problem (P) and also
0 for x < 3,
y(x) _ (2(x2_ 9)154
for x > 3
5
is a solution of Problem (P). Note that the righthand side of the differential
equation (P) does not satisfy the Lipschitz condition on any yinterval containing
y=0.
Two other methods of proving Theorem 125 are summarized in the following
two remarks.
Remark 127. Let every entry of an ndimensional vector f (t, y) be a realvalued
continuous function of n + 1 independent variables t and y = (yl, ... , y,,) on a
rectangular region R = {(t, y) : It  tot < a, Iy"cod < b}. Assume that I f(t,yj 1 < M
14 I. FUNDAMENTAL THEOREMS OF ODES
(1.2.2)
dt = f (t, J , i(to) = 0o
uniformly on to < t < to + a as j + +oo.
For more details, see [CL, pp. 35].
Remark 128. We use the same assumption, M, and a as in Remark 127. Also,
let i1(t) be a continuously differentiable function of t such that #(to) = co and
(t, #(t)) E R on the interval to  r < t < to, where r is a positive number. For
every e such that 0 < e < r, define
q(t) for to  r < t < to,
c
1%c(t) =
clo+ff(s,il(s_6))ds for to < t < to + a.
o
Remark 129. If Ax, y) is assumed to be measurable for each fixed y, continuous
in y for each fixed t, and I f (t, yj I is bounded by a Lebesgueintegrable function when
(t, y") E R, a result similar to Theorem 125 (Caratheodory's existence theorem)
[Ca, pp. 665688) is obtained. Similarly, if, in addition, it satisfies an inequality
similar to Lipschitz condition with the Lipschitz constant replaced by a Lebesgue
integrable function L(t) when (t, y) E R, we obtain also a result similar to Theorem
114. (See [CL, p. 43), [Har2, p. 10], and [SC, p. 15).)
(ii) a function fi(t) satisfies the condition 4 (t) = f(t, ¢(t)) and (t, fi(t)) E D, in
an open interval I = {t : r1 < t < r2},
(iii) 4(t) cannot be extended to the left of rl(or, respectively, to the right of r2)
with property (ii),
(iv) jlimo(tj,0(ti)) = (TI,fl) (or, respectively, (r2, r))) exists for some sequence
{tj :j = 1,2....l of points in the interval Z,
then the limit point (Ti, n (or, respectively, (T2, i))) must be on the boundary of V.
Proof
We shall prove this result by deriving a contradiction from the assumption that
(r1,,7) E E) (or, respectively, (,r2, i11 E D). Applying Lemma 131 to this situation,
we obtain cr
lim(t,¢(t)) = (rl,r) (or, respectively, (r2ir))). Hence, by applying
Theorem 125 to the initialvalue problem
dy
dt
= f (t, y), y(rl) = n (or, respectively, ff(r2)
the solution 45(t) can be extended to the left of rl (or, respectively, to the right of
r2). This is a contradiction. 0
The following example illustrates how to use Lemma 131.
Problem 133. Show that the solution of the initialvalue problem
d2 y
2
 2xyL = y3  y2 y(xo) = 17, Y (xo) = (,
exists at least on the interval 0 x < xo if xo > 0, q > 0, and (is any real number.
Answer.
Assume that the solution y = 4(x) of the given initialvalue problem exists on
an interval I = {x : £ < x < xo} for some positive number . Observe that
on Z. Hence,
(O'(x))2
+ 14(x)3
3
+ 14(x)2
2
< 1(0'(xo))2
2
+ 14(x0)3
3
+ 14(x0)2
2
(= Al > 0)
on Z. Therefore, we have
Corollary 134. Assume that f (t, yam) is continuous fort I < t < t2 and all y E R".
Assume also that a function fi(t) satisfies the following conditions:
(a) and d+' are continuous in a subinterval I of the interval tl < t < t2,
(b) (t) = f (t, ¢(t)) in Z.
Then, either
(i) Qi(t) can be extended to the entire interval t1 < t < t2 as a solution of the
differential equation = f (t, y), or
j
(ii) limO(t) = oo for some r in the interval ti < r < t2.
tr
Using Corollary I34, we obtain the following important result concerning a
linear nonhomogeneous differential equation
dt = A(t)yy + bb(t),
where the entries of the n x n matrix A(t) and the entries of the R"valued function
b(t) are continuous in an open interval I = It : ti < t < t2}.
Theorem 135. Every solution of differential equation (1.3.1) which is defined in
a subinterval of the interval I can be extended uniquely to the entire interval I as
a solution of (1.3.1).
Proof
Suppose that a solution y = d(t) of (1.3.1) exists in a subinterval Z' _ It : r1 <
t < r2} of the interval I such that tj < 71 < r2 < t2. Then,
we obtain
in T.
o
is derived by using Lemma 115. Hence, case (ii) of Corollary 134 is eliminated.
Since the righthand side of (1.3.1) satisfies the Lipschitz condition, the extension
of the solution y5(t) is unique.
For nonlinear ordinary differential equations, we cannot expect to obtain the
same result as in Theorem 135. The following example shows the local blowup of
solutions of the differential equation of Problem 133.
18 I. FUNDAMENTAL THEOREMS OF ODES
Problem 136. Show that for any fixed t > 0, there exists a realvalued function
0(x) such that
(1) 0(x) is continuous on an interval 0 < Cx < 6 for some small positive number
6 which depends on (,
(2) fix) is continuous on an interval 0 <  z < 6,
(3) the function
1 + (:  x)4(x)
y(x) 
F(  x)
satisfies the differential equation
y2
(Eq) dxy  2xyL y3
ono<x<6.
Answer.
Step 1. Ifwesett=£randy = , the given differential equation is changed
to t
(1) t2u"  2tu' + 2u + 9(tu'  u)u = 2t(tu'  u)u + tsu3  tut,
where f =
dt
Step2. If wesetu= 1+u'1 and tu' differential equation (1) becomes
=w2,
(2)
_  2(1 + wl) + 3w2  2(w2  (1 + wl))(1 + w1)
+ 2r1t(w2  (1 +wl))(1 + w1)
+ t6 (1 + w1)3  (1 + w1)2.
td
!W'
= W2,
dt
dw2
(3)
t
=2w1+w22w1(w2wl)
dt
+ 2{lt(w2  (I + w1))(1 + w1)
+ t6t4(1 + w1)3  tt1(I + wl)2.
3. SOME GLOBAL PROPERTIES OF SOLUTIONS 19
where
_ wl _ 1 0
w [w2]' ['2 1] F(w) [2w1(w2wi)J'
with
Two eigenvalues of f2 are 1 and 2, which are distinct. Let us diagonalize SZ by the
transformation
w" = Pv", where P =
A= [ O1
(6) tv = Av + P' F(PV) + tP1G(t, Pv), } .
Set ii= ti. Then, t9 = ti+t2z and F(Pv) = t2F(Pz). Therefore, (6) becomes
where Ao =
[_2 0I and f (t, z) = tP'F(Pz) + P'C(t, tPa). If t > 0 and
if tl1 and tll are small, there exist two positive constants Ko and L such that
If(t, z) < tLli  {I and If(t,z)1 < Ko + tL17.
Step 4. We change (7) to the following system of integral equations:
where to 1is a sufficiently small positive number and c is an arbitrary constant, and
z' = (21 and f = 2
J.
We want to construct a bounded solution of (8) on
J
20 I. FUNDAMENTAL THEOREMS OF ODES
0 < t < to. To do this, first note that, if IZ(t)I < K on 0 < t < to, we obtain
t
Izt(t)I < t2 fo rI f1(r, zlr))Idr < t2 t r(Ko + rLK)dr
0
to
< Icit + t
f t
to
r2(Ko + rLK )dr
t
For a positive number co, fix another positive number K so that co + Ko < 2 and
then fix t0 > 0 so that to < 1, toL < 1, and toKIPI < 1. Here, IPI = max{IP.kl
1 < j, k < 2}, where P = (Pjkj? k=1. Define successive approximations by
t_2Jo
i (t, C) = m > 0
d +t JJJ( r2f2(r,im(r,c))dr
to
It can be shown that the successive approximations converges uniformly for Icl < Co
and 0 < t < to. This establishes the existence of a bounded solution of the integral
equation (8). Thus, we can complete the construction of solution (Sol) of equation
(Eq).
Theorem 141. Assume that each entry of a Cnvalued function f (z, yam) is given
by a power series in (z, yl, y2, ... , yn) which converges in a polydisk:
where z, yl, y2, , y" are complex quantities. Assume also that there exist positive
numbers M and L such that
If(z,)I < /M in D,
l 0z, 91)  1(z, g2)1 5 Lull  y21 whenever (z,y,) E D (j = 1,2).
Define successive approximations by
1m0(z) = 4o,
where the path of integration may be taken to 1be the line segment zaz joining zo to
z in the complex zplane. Set a = min I a, }. Then,
M
(i) For every m, the entries of the C"valued))) function 4m(z) are power series in
z  zo which are convergent in the open disk A = {z : iz  zoj < a},
(ii) the sequence { ,,,(z) m = 0,1, ... } satisfies the estimates
!5
m
II ,c
,4n+l(Z)  om(Z)I IZ  zojm+l on 0, m = 0, 1, ... ,
(nl + 1),
(iii) the sequence {¢m(z) m = 0, 1,... } converges to
uniformly in 0 as m + +oo,
(iv) the entries of the C"valued function b(z) are power series in z  zo which
are convergent in 0,
(v) the function Q(z) is the unique solution to the initialvalue problem
d = f(z,y), y(zo)
The proof of this theorem is left to the reader as an exercise. The reader must notice
that even if a sequence of analytic functions fn(t) of a real variable t converges to a
function f (t) uniformly on an interval Z, the limit function f (t) may not be analytic
at all. For example, any continuous function can be uniformly approximated by
polynomials on a bounded closed interval. In order to derive analyticity of f (t),
uniform convergence must be proved on a domain in the complex tplane.
Observation 142. The estimates
MLm ZOlm+1
m+1(Z)  & (Z) 1 :5 (m+ 1)I IZ  in A, n1 = 0, 1,...
22 I. FUNDAMENTAL THEOREMS OF ODES
+00
imply that there exists a power series Eck(z  zo)k such that
k=0
M
&(z) = E ck(z  z,)' +O(Iz  zol"'+1), m=0,1,2,....
k=O
00
we obtain (z)  ¢,,,(z) = O(Iz  zol'"+1) and, hence, (z) _ >2Ck(Z  ZO)k.
k=0
Observation 144. Set
m 00
1Cm,kI
a (k = m + 1, m + 2,...).
Note that
1 0(z)  ca
4.,k = 2?ri Izo1=P (z  zo) k+1
for any positive number p < a. This, in turn, implies that
,n oo
Ck(ZZO)kl :5 b IZ aZOlk
k=O k=m+1
=blzzD 1
I
a
1IZ
ZIDI
in the disk A.
Example 145. In the case of the initialvalue problem dzy = (1  z)y2, y(0) = 2,
we obtain
2
O(z) = 2 E(k + 1)zk =
(1  Z)2
k=O
EXERCISES I 23
Oo(z) = 2 ,
01(z) = 2 + 4z  2z2,
83 23
02(x) = 2 + 4z + 6x2   6x4 + 4x5
2x4 2825 82zs
¢3(z) = 2 + 4z + 6z2 + 8x3 _
3 3 9
256z7 124z8 68z9 46z10 56z"
+ 63 + 9 9 9 + 9
4z13 2z14
22z12
9 + 9  63
Combining Theorem 135 and Theorem 141, we obtain the following theorem:
Theorem I46. If all the entries of an n x n matrix A(t) and C"valued function
b(t) are analytic on an interval Z, then every solution of linear differential equation
(1.3.1) is analytic on Z.
EXERCISES I
The reader must consider various cases concerning the initial data (r, i , m)1).
1
I2 Show that the function f (x y) _ satisfies the
' (3  (x  1)2)(9  (y  5)2)
Lipschitz condition
If(x,yl)f(x,y2)I < IY1Y2I
if
Ix1I 5 f, Iyi5I < 2, lye51 < 2.
13. Show that the initialvalue problem
dy _ x3 + 3x + 1
sm y(5) = 3,
(P)
dx  101y2)
has one and only one solution on the interval Ix  51 < 7.
24 I. FUNDAMENTAL THEOREMS OF ODES
14. Suppose that u(x) is continuous and satisfies the integral equation
x
u(x) = J sin(u(t))u(t)pdt
0
on the interval 0 < x < 1. Show that u(x) = 0 on this interval if p > 0. What
would happen if p < 0?
u p
Hint. In case p < 0, the problem is reduced to the initialvalue problem du =
sin(u)
dx, u(O) = 0. Thus, the solution u(x) is not identically zero and has a branch point
at x = 0.
15. Show that if realvalued continuous functions f (x), g(x), and h(x) satisfy the
inequalities
f(x) ? 0, g(x) < h(x) + f
J0*'C
17. Let f (t, y) be a realvalued function of two independent variables t and y which
is continuous on a region:
D = {(t, y) : 91(t) 5 y < 92(t), r1 < t < r2}.
Suppose that
(i) 91, g'1, 92, and g2 are continuous on rl < t < T2,
(ii) 91(t) < 92(t) on rl < t < T2,
(iii)
gi(t) < f(t,9i(t)), rl < t < rz,
f 9t> f(t, 92(t),
z
(IP)
d = f (t, x), X(r) _ .
where (r, {) is a given point in R x B. Assume that f satisfies the following condi
tions:
(i) f(t,x)iscontinuous onaregion R={(t,x)ERxB:Itrl <a, IIxt:ll<b},
where a and b are positive numbers and II II is the norm of B,
(ii) f(t.x) also satisfies the Lipschitz condition IIf(t,xl) f(t,x2)II 5 LIIX1 X211
whenever (t, xl) E R and (t, x2) E R, where L is a positive constant.
Show that
(1) there exists a positive number Af such that Ilf(t,x)II < M for (t,x) E R,
(2) problem (IP) has one and only one solution on the interval It  rI < or, where
b \
a= min a, I.
b
Hint. See [Huk7].
26 1. FUNDAMENTAL THEOREMS OF ODES
I10. Let B be a Banach space over the field R of real numbers and let C be a
nonempty compact subset of B. Also, on a bounded interval Z, let F be an infinite
and equicontinuous set of Cvalued functions. Show that F contains an infinite
sequence which is uniformly convergent on Z.
I11. Let B be a Banach space over the field R of real numbers and let C be
a nonempty compact and convex subset of B. Assume that a Cvalued function
f (t, x) is continuous on a region
R={(t,x)ERxB:Itrl <a,llxt1l <b},
where r E R, t E B, a > 0, b > 0, and 11 11 is the norm of B. Show that
(1) there exists a positive number M such that IIf(t,z)115 M for (t,x) E R,
(2) the initialvalue problem  = f (t, x), x(r) has a solution on the interval
Hint. Use a method similar to that of Remark 127. See, also, [Huk7l.
112. Let f (t, x") be Revalued and continuous for (t, x") E Rr+t. Assume also that
E is a nonempty closed set in R"+t. Show that in order that for every (r,)) E E,
there exists a real number a(r, depending on (r, ) such that r < a(r, {) and
that the intialvalue problem
di = f (t, xF), x(r) _ has a solution s = ¢(t, r,
satisfying the condition (t, ¢(t, r, ) E E on an interval r < t < o(r), it is necessary
and sufficient that for every (r, f E E and every positive number e, there exists a
point (a, S) E E such that
< AI e +BluF+C
I
on D, where B and C are positive numbers. Set M = max(Iu(x,0)(: a < r < b}.
Show that
u(x, y) 1 5 Me 11 + (eBV  1)
on D. B
Hint. The last inequality is the Haar inequality. (See [Haa1, [Na5, pp. 51561, and
[Har2, pp. 140141]).
115. Let H(u, t, x, q) be a function defined on an open set in R4 containing the
point (u, t, x, q) = (0, 0, 0, 0) and satisfy a uniform Lipschitz condition with respect
to (u, q). Let O(x) be a function of class C' satisfying 0(0) = 0 and 0=(0) = 0.
Show that the initialvalue problem
DEPENDENCE ON DATA
The righthand side of (E) is regarded as a function of (t, to, ca, f, yj. In this chap
ter, we explain some basic properties of solutions with respect to (t, to, ca, f). A
parameter a is used to represent the variable f. In §111, we explain the continuity
of the solution of (P) with respect to (t, to, c"o, e) at (t, r, e, co) when the solution of
(P) is unique for the initial data (r , c', ea) (Theorem 1112). Theorem 1112 was
first proved by I. Bendixson [Benl] for the scalar equation and later by G. Peano
(Pea2] and E. Lindelof [Lind2] for a system of equations. In §112, we explain the
differentiability with respect to initial data (to,ca) (Theorem 1121) and with re
spect to a parameter a (Theorem 1122). The discussion of these topics can be
found in [CL, pp. 2228, 5760] and [Har2, pp. 94100].
28
1. CONTINUITY WRT INITITIAL DATA AND PARAMETERS 29
N N
= U,&(r)), Uo = nU(r)), M = 1+Mo.
3=1 J=1
Then, all the requirements of Lemma II11 are satisfied by 0, Uo, and M. 0
The main purpose of this section is to prove the following theorem under As
sumption 1.
Theorem II12. Let E be an open neighborhood of to and let Z = {t : s1 < t < s2}
be a subinterval of Zo. Assume that
Since
we obtain
I

I!(t(E),E)I+MItt(E)I onIx(£fU) and Ii(t,E) AT, E)I
MI t  rI if (t, c) and (r, E) E Z x (£ n U), where M is the positive constant which
was determined by Lemma II11. Therefore, the set F _ E) : E E £ n U} is
bounded and equicontinuous on the interval Z.
Let us derive a contradiction from the assumption that ,JJ(t, e) does not con
verge to fi(t) uniformly on the interval I as e + co. This assumption means that
max I does not tend to zero as e + co; i.e., there exists a positive
number p and a sequence (E. : j = 1,2,. .. } such that
Ej E£nU and lim E; = Eo,
(II.1.3)
m Zx 1 (t,Ej)  v(t)I > p.
Here, use was made of the assumption that the topology of the Espace is separable.
Observe that the sequence { (, j) : j = 1, 2.... } is a subset of Y. Hence,
this sequence is bounded and equicontinuous on Z. Therefore, b y Lemma 12
3 (ArzelaAscoli), there exists a subsequence v = 1, 2, ... } such that
j., + +oo as v  +oo and that tp(t, Ej converges uniformly on I as v + +oo.
Set l(t) = lim r%(t, on Z. Since (11.1.2) holds for c = Ef for all v, we obtain
Hence, f (t, J(t), Eo) on I and 1J(to) = ¢(to). Now, condition (iii) of As
sumption 1 implies that j(t) = fi(t) identically on the interval Z. This, in turn,
implies that lim max I (t, E j )  $(t) I = 0. This contradicts (1I.1.3).
v+oo LET
Step 2. We shall prove that there exists an open neighborhood U of co such that
UClloand (t,1i(t,E))EAon Ix(EnU).
Choose no > 0 so that the rectangular region
Ro(r) = {(t.: It  rl < ao, (y  (r)I <Mao}
is contained in A for every r E I (cf. Figure 1).
FIGURE 1.
1. CONTINUITY WRT INITITIAL DATA AND PARAMETERS 31
has on the region lo x (E f1 Ll) a solution y = J(t, e) such that (t, 111(t, E), E) E Do.
Theorem II14 can be proved by using an argument similar to Step 2 of the proof
of Theorem 1112 and the local existence theorem (cf. Theorem 125). Details are
left to the reader as an exercise.
112. Differentiability
In this section, we explain the differentiability of solutions of an initialvalue
problem with respect to the initial data under the following assumption.
Assumption 2. For the initialvalue problem (P), assume that
(i) f (t, y) and Lf' (t, y) (j = 1, 2, ... , n) are continuous in (t, y) on an open set
A in the (t, yjspace,
(ii) Q'(t) = f (t, and (t, ¢(t)) E ., on an interval To = {t : tl < t < t2}.
Using Lemma 116, Theorems 114, 1112, II14, and Remark 1113, we can
show that there exists a positive number p such that the initialvalue problem
has a unique solution y' = O(t, r, q') on the interval lo if r E Zo and fr)  ¢(r)j <
p. The solution y = m(t, r, ri") is continuous in (t, r, q) and satisfies the condition
(t. (t, r, E 0 if t E Zo, r E lo, and (r)I < p. The solution t(t, r, III
satisfies the integral equation
 1('r, q) +
e) +
8f
f t (s,( s, r, ))
I" &R1
where q, is the jth entry of i), eJ is the vector in IR" with entries 0 except for I at
the jth entry, and Lf is the n x n matrix whose jth column is . From this
0Yj
speculation, we obtain the following result.
2. DIFFERENTIABILITY 33
Furthermore,
8r
respectively 0is the unique solution of the initialvalue
BRA
problem
=
(t,(t, r, n)) z,
(11.2.3)
Proof.
We prove the existence and continuity of by showing that they are the unique
solution of initialvalue problem (11.2.3) with the initialvalue z(r) f(7, r'). The
existence and continuity of
L can be proved similarly.
d7),
Let +;1(t, r, ij) be the unique solution of (11.2.3) with the initial condition z(r)
 f (r, r)). From Theorems 135 and 1112 and Remark 1113, it follows that
1i(t, r, n) exists and is continuous in (t, T,i) on the closure D of domain (11.2.2).
Furthermore,
(t,r+h,ff) = ri + f t f(s,G(s,r+h,i))ds,
 rh
f
(11.2.5)
d(t, r, i) = n + f (s, (s, r, i))ds,
r
from (11.2.1) on D assuming that h 54 0 is sufficiently small. Using (11.2.4) and
(H.25), we compute
as follows.
34 II. DEPENDENCE ON DATA
T j) = I rt I
l`
f (s, $(s, r + h, AS J(s, 7,70)] ds
 17,+h
f ( s, $6, r + h,
if h 96 0 is sufficiently small.
Observation 2. Using an idea similar to the proof of Lemma 116, for a sufficiently
small h, we obtain
f(s,j(s,r+h,n)) 
1 L(s,0 (s,r+h,fl)+(1 9)¢(s,r,n1)dOl (t,r,rr))
[10
f o r s E 7 o and a fixed (r, i f ) such that (s, r, n E D. Note that (s, O (s, r + h, r') +
(1 0)4(s, r, n ) ) E A for s E 10 and a f i x e d (r, n) such that (s, r, n') E D, if h 0 0
is sufficiently small.
Finally, applying Observations I and 2 to (11.2.4), (11.2.5), and (I1.2.6), we obtain
g(t, r, h)
1 rr+h
_ h rr
Jl f(r,qj
r
+JtIJ1
(11.2.7)
p.:+
i9f
Observation 3. The first and the third terms of the righthand side of (11.2.7)
8
tend to zero as h  0. Also, since 4r, r, J7) = n and (s, d(s, r, rte} is bounded
09
on D, there exist a positive constant L and a nonnegative function K(h) such that
limh_o K(h) = 0 and that
1g'(t,r,if,h){ <K(h) + LI
I J1g(s,r,il,h)Ids
t for tEZo.
Thus, we conclude that g(t, r, il, h)  0 ash + 0, i.e., (t, T, t) = rfi(t, r,'.
Upon applying Theorem 1121 to the initialvalue problem
f (t, du
d= y, u), = 0, y{ r) = i1, u(r) = e,
1, 2, ... , n), and 8e (t, y', e) are continuous on an open set Do in the (t, y, e)space.
Let y = y(t, T, i), e) be the unique solution of the initialvalue problem
dy
dt = f (t, y, e),
y(r) _ *!
Then, there exists an open set 11 in the (t, T, 77, e)space such that the function
00 00
(t, T, ii, e) and are continuous on fl. Furthermore, i = (t, r, 4J, e) is the
unique solution of the initialvalue problem
di Of
Z(r) = 0.
dt = zi (t, (t, r, 1/, e), e)l + 8E (t, 4(t, r, n, E). E),
EXERCISES II
II1. Given an interval I = {x : a < x < b}, show that if f ei is sufficiently small,
the initialvalue problem
dy
e cos(x(y  x)), y(a) = a + e
dx
has the unique solution y = O(x, e) on Z. Show also that Ui m O(x, e) = x uniformly
on Z.
Hint. The function cos(x(y  x)) is continuously differentiable on the entire (x, y)
plane. Furthermore, I oos(x(y  x))I < 1. This shows the existence of the unique
solution. Note that y = x is the unique solution in case e = 0. Complete the proof
by using Theorem 1112.
36 II. DEPENDENCE ON DATA
112. Let y = 4 1(x, A) and y =¢2(x,.1) be tvm solutions of the differential equation
2 + A(1 + x2)y = 0
determined respectively by the initial conditions
Show that
(i) 01 and 02 are analytic in (x, A) everywhere in the complex (x, A)space (i.e.,
in C2),
(ii) aA (1, A0) # 0, if 02(1, 1\0) = 0.
Hint. Theorem II22 implies that z (x, A) is the solution of the initialvalue
problem
8 (x, A)
01(X"\)
J0 o
Hence, we obtain
114. Let Ax, y) be an RIvalued function whose entries are continuously differ
entiable with respect to (x, yam) in a domain D C IIPn+1 Also, let y = (x, 171 be a
solution of the system fy = f (x, y) such that p(0) and that (x, 5(x, rtj) E D
for 0 < x < 1 and it E Ao, where Do is a domain in R. Note that we must have
(0, rl E D for rj E Ao. Set A = {(1, 1 : if E Do}. Show that
(a) Al is open in lR',
(b) the mapping 4(1,r) : Ao  Al is onetoone, onto, and differentiable with
respect to i in Do,
(c) if we denote the inverse of the mapping ¢(1,i) by AI . Ao, then
is also differentiable with respect to S.
115. For the differential equation
find
(i) the unique solution y = O(x, e, ri) satisfying the initialcondition y(£) = q;
(ii) the partial derivative 84(x, , n) ,
of
am(x, £, r7)
(iii) the artial derivative
8 t , n) at x =
(iv) 190(x,
(I+ x2) dz
dz
 2xz = 4xO(x, {, q)z .
II6. Assume that f (t, x1, x2i ... , xn) is a realvalued, continuous, and continu
ously differentiable function of (t, xl,... , x,) on an open set A in the (t, x1.... , xn)
space. Assume also that o(t) is a realvalued solution of the nth order differential
,0On1)(t))
equation x(") = f(t,x,x',... ,x(n1)) and (t,Oo(t),e0(t),... E A on an
interval Zo = It : t1 < t < t2}. Show that there exists a positive number p such
that
(i) the initialvalue problem
x(n) f (t, x, x , ... , x(n1) ), x(r) = SI, x (r) = 52, ... , x(n1) (r) = n
=
has a unique solution x = {n) on the interval 20 if r E Zo and
t 3O01)(r)I<p (j=1,2,...,n);
isfies the condition t t 'r, 6, )
(ii) the solution x = qi(t, r, ti, ... , {n) is continuous in (t, r, t1, ... , n) and sat
W) e(t r O("1)(t r
(j=1,2,...,n);
38 II. DEPENDENCE ON DATA
and if 8 &2 (t, A) is continuous on the region A = {(t, A) : 0 < t < 1, a <
A < b}, then d(t, A) is identically equal to zero on A, where a and b are real
numbers.
(2) Does the same conclusion hold if 0(t,,\) is merely continuous on A?
119. Let a(x, y) and b(x, y) be two continuously differentiable functions of two
variables (x, y) in a domain Do = {(x, y) : IxI < a:, IyI < Q} and let F(x, y, z)
be a continuously differentiable function of three variables (x, y, z) in a domain
Do = {(x, y, z) : Ixl < a:, IyI < 3, Izl < 7}. Also, let x = f (t, i7), y = 9(t, ij), and
z = h(t,17) be the unique solution of the initialvalue problem
dx OF
 (x+ y, z, p, q),
dy _ OF
flq(T, y, z, p, q),
dt
dz OF OF
dt = pij (x,y,z,P,q) + gaq(x,y,z,P,q),
dp OF OF
dt 8x (T, y, z, P, q)  P 8z (x, y, z, p, q),
dq OF OF
(x, y, z, P, q)  q az (x, y, z. P, q)
dt 8y
where x0 (s), yo(s), zo(s), po(s), and qo(s) are differentiable functions of s on R such
that
dzo(s)=Po(s) (s)+go(s)dyo(s)
F(xo(s),yo(s),zo(s),Po(s),go(s))=0, ds ds ds
on R. Show that
F(x(t, s), y(t, s), z(t, s), p(t, s), q(t, s)) = 0,
at (t, s) = At, s) 5 (t, s) + q(t, s) (t, s),
flz(t,s)
fls = P(t,s)L(t,s)
as
+ q(t,s)ay(t,8)
as
Oz Z 8z\ =0
+ H t, x, y,,
dp 8H (LL dq _ _ 8H
dt 8x ' dt W,
dz 8H 8H du OH
= u + pp + q8q, _
= 6T.
dt
CHAPTER III
NONUNIQUENESS
dy
dt = f(t,y1,
(P)
1111. Examples
In this section, four examples are given to illustrate the nonuniqueness of so
lutions of initialvalue problems. As already known, problem (P) has the unique
solution if f'(t, y) satisfies a Lipschitz condition (cf. Theorem I14). Therefore, in
order to create nonuniqueness, f (t, y) must be chosen so that the Lipschitz condi
tion is not satisfied.
Example III11. The initialvalue problem
dy
(III.1.1) = yt/3 y(to) = 0
dt
has at least three solutions
3/2
(S.1.2) y(t) _ [3 t  to) ]I
, t > to,
0, t < to,
and
3/2
[3(t  to),
2
(S.1.3) y(t) t > to,
0, t < to
41
42 111. NONUNIQUENESS
(cf. Figure 1). Actually, the region bounded by two solution curves (S.1.2) and
(S.1.3) is covered by solution curves of problem (I11.1.1). Note that, in this case,
solution (S.1.1) is the unique solution of problem (P) for t < to. Solutions are not
unique only fort ? to.
Example 11112. Consider a curve defined by
and translate (111.1.2) along a straight line of slope 1. In other words, consider a
family of curves
(111.1.3) y = sin(t  c) + c,
dy
(II1.1.4)
dt = 1OS[G(yt)(yt)1.
Since G(2n7r) = 0 and cos(2n7r) = 1 for every integer n, differential equation
(111. 1.4) has singular solutions y = t + 2mr, where n is an arbitrary integer. These
lines are envelopes of family (111.1.3) (cf. Figure 2).
FIGURE 1. FIGURE 2.
Example 11113. The initialvalue problem
(111.1.5) y(to) = 0
dt =
and
t,0)2,
4 (t  t > to ,
(S.3.2) y(t)
 4(t  to)2, t < to
(cf. Figure 3). The region bounded by two solution curves (S.3.1) and (S.3.2) is
covered by solution curves of problem (111.1.5).
FIGURE 3.
dy
= + E, y(to) = 0
dy _ y2
y2 + C2 lyl y(to) = 0,
where a is a real positive parameter. Each of these two differential equations satisfies
the Lipschitz condition. In particular, the unique solution of problem (111. 1.6) is
given by
(cf. Figure 4). On the other hand, (S.3.1) is the unique solution of problem (111.1.7).
Figure 5 shows shapes of solution curves of differential equation (111.1.7). Note that
nontrivial solution of (111.1.7) is an increasing function of t, but it does not reach
y = 0 due to the uniqueness.
44 III. NONUNIQUENESS
FIGURE 4. FIGURE 5.
Generally speaking, starting from a differential equation which does not satisfy
any uniqueness condition, we can create two drastically different families of curves
by utilizing two different smooth perturbations. In other words, a differential equa
tion without uniqueness condition can be regarded as a branch point in the space
of differential equations (cf. [KS]).
Example 11114. The general solution of the differential equation
2
(1II.1.8)
d) +y2=1
is given by
(III.1.10) dy = 1  yz and
dy= ly2.
dt dt
Each of these two differential equations satisfies the Lipschitz condition for lyI <
1. Figures 6A and 6B show solution curves of these two differential equations,
respectively.
y=I
y=I
FIGURE 6. FIGURE 6A. FIGURE 6B.
Observe that each of these two pictures gives only a partial information of the
complete picture (Figure 6).
2. THE KNESER THEOREM 45
FIGURE 7.
In a case such as this example, a differential equation on a manifold would give
a better explanation. To study a differential equation on a manifold, we generally
use a covering of the manifold by open sets. We first study the differential equation
on each open set (locally). Putting those local informations together, we obtain a
global result. Each of Figures 6A and 6B is a local picture. If these two pictures
are put together, the complete picture (Figure 6) is obtained.
(III.2.1) dt = f(t,y)
under the assumption that the R"valued function f is continuous and bounded on
a region
(111.2.2) S2 = {(t, y) : a:5 t < b , Iy1 < +oo }.
Under this assumption, every solution of differential equation (III.2.1) exists on the
interval Zfl = {t : a < t < b} if (to, y"(to)) E f2 for some to E Zo (cf. Theorem 132
and Corollary I34). The main concern in this section is to investigate topologi
cal properties of a set which is covered by solution curves of differential equation
(111.2.1).
2. THE KNESER THEOREM 47
Hence, (c) E $.(A) but * (c) 4 F1 U F2. This is a contradiction (cf. Figure 10).
48 III. NONUNIQUENESS
!=c t=c
(III.3.1) dt =
under the assumption that the entries of the R°valued function fare continuous
and bounded on a region
(111.3.2) n = {(t, y) : a < t < b , lyi < +oc}.
50 M. NONUNIQUENESS
FIGURE 13.
Choose a sequence {ok : k = 1, 2, ... } of subdivisions of the interval cl < t < c2
such that
Ok : C1 = Tk,O < Tk.1 < ... < Tk,2kI < Tk,2" = C2,
f e
1 Tk,t = C1+2k(c2cl), e=0,1,...,2k, k=1,2,....
Remark 11133. In general, the conclusion of Theorem 11132 does not hold
on an interval larger than cl < t < c2.
where t and y are real variables, and assume that f is realvalued, bounded, and
continuous on a region H = {(t,y) : a < t < b, oo < y < +oo}. Choose c in
the interval I = (t : a < t < b}. Then, Sr ({ (c, r,) }) is compact and connected
for every r E I and every real number r) (cf. Theorem III24). This implies
that there exist two numbers 41(r) and ¢2(r) such that ST({(c,17)}) = { y E
R : bl(r) < y < &2(r)}. Hence, R({(c,n)}) = {(t,y) E R2 : ¢1(t) < y <
02(t), a < t < b} (cf. Figure 14). The two boundary curves (t,4i(t)) and (t,02(t))
of R({(c,rl)}) are solution curves of differential equation (111.4.1) (cf. Theorem
11132). Every solution ¢(t) of (111.4.1) such that 0(c) = n satisfies the inequalities
01(t) < ¢(t) < ¢2(t) on Z. The solution 02(t) (respectively 01(t)) is called the
maximal (respectively minimal) solution of the initialvalue problem
dy
(111.4.2)
dt = f (t, y), y(c) = 77
on the interval Z. In this section, we explain the basic properties of the maximal
and minimal solutions. Before we define the maximal and minimal solutions more
precisely, let us make some observations.
FIGURE 14.
Proof.
For a fixed to E To, we prove that
If ¢1(to) > 02(to), then there exists a positive number 6 such that 4(t) = 01(t) for
It  tol < J. Therefore, (111.4.3) holds. Similarly, (111.4.3) holds if 02(to) > &(to).
Hence, we consider only the case when '(to) _ .01(to) = 02(to). In this case,
0(t)  0(to) = 0'(t)  0'(to),
f o r each fixed t E To, we have where j = 1 or
t  to t to
j = 2, depending on t. Hence, by the Mean Value Theorem on O,(t), there exists
r E To such that r r to as t  to and 0(t)  ¢(to) = f (r, 0,(r)). Also, 03 (r) _
t  to
¢j(to) + f (a,Oj (a)) (7  to) for some a E To such that a to as r  to. Since f is
bounded on the two curves (t, 01(t)) and (t, 02(t)), (111.4.3) follows immediately. 0
Observation 11142. Let f (t, y), D, and To be the same as in Observation
11141. Consider a set F of solutions of differential equation (111.4.1) such that
(t, 0(t)) E D on To for every ¢ E F. Assuming that there exists a real number K
such that 0(t) < K on lo for every 0 E F, set 00 (t) = sup{Q(t) : ¢ E F} for t E To.
Assume also that (t, 00(t)) e D on To. Then, 4'o(t) is a solution of differential
equation (111.4.1) on To.
Proof.
As in Observation 11141, we prove that
for each fixed to E To. Choose three positive numbers po, p, and S so that
(i) A = {(t, y) : t E To, Iy  4o(t)I < po} C D,
(ii) we have (t, 4(t)) E A on the interval t  to I < 6, if d(t) is a solution of
I
(III.4.1) such that 0 < 0o(r)  4i(r) < p for some r in the interval It  tol < b.
There exists a positive number Af such that I f (t, y) I < M on A.
Let us fix a point r on the interval It  tol < b. First, we prove the existence of
a solution ty(t; r) of (III.4.1) such that
(111.4.5) P(r; r) = 0o (r) and yJ(t; r) < 4o(t) for it  tol < b.
To do this, select a sequence {4'k : k = 1, 2,... } from the family F so that
lirao0thk(r) = 40(r). We may assume that (t, hk(t)) E A on It  tol < S for
Y+
k (cf. (ii) above). Then, the sequence {4'k : k = 1, 2, ... )is bounded and
equicontinuous on It  tot < J. Hence, we may assume that lim 4'k(t) = 0(t; r)
k»+oo
exists uniformly on the interval It  tol < 6. It is easy to show that V'(t; r) is a
solution of (111.4.1) and that (111.4.5) is satisfied.
Set ty(t) = max{t/,(t; r), tJ'(t; to)} for Jt  tol < b. Then, v is a solution of (111.4.1)
such that (1) V)(r) = oo(r) and ty(to) = 00(to), (2) iP(t) < 4'o(t) for It  tol < b,
and (3) (t, v/ (t)) E A for It  tol < 6 (cf. Figure I5).
54 III. NONUNIQUENESS
Y= #o(')
Y s V(1)
FIGURE 15.
O0(T)  ¢040) = t.ti(T)  0(t0) = f(a,tp(a))
Using this solution tp(t), we obtain
T  to T to
for some a such that Ja  tol < 6 and that or to as r " to. Since 10(a)  tt'(td)J <
Mba  t01, (111.4.4) can be derived immediately. 0
Let us define the maximal (respectively minimal) solution of an initialvalue
problem
where f is realvalued and continuous on a domain V in the (t, y)plane and the
initial point (T, 1:) is fixed in D.
Definition 11143. A solution tp(t) of problem (111.4.6() is called the maximal
(respectively minimal) solution of problem (111.4.6() on an interval I = it : T <
t < r' } if
(a) tp(t) is defined on I and (t, {1(t)) E D on Z,
(b) if 4(t) is a solution of problem (II14.6{) on a subinterval r < t r" of Z,
then
0(t) < y(t) (respectively ¢(t) > P(t)) on r < t < r".
The following two theorems are stated in terms of maximal solutions. Similar
results can be stated also in terms of minimal solutions. Such details are left to
the reader as an exercise. In the first of the two theorems, we consider another
initialvalue problem
(III.4.6n) !LY
dt
= f(t,y), y(r) = r)
Proof
Set 0(p) = {(t, y) : t E Z, yt(t) < y < ot(t) + p}. For a sufficiently small
positive number p, we have A(p) C 1), and, hence, if (t, y)I is bounded on A(p) for
a sufficiently small positive number p.
First, we prove that for a given p > 0, there exists a positive number 6 such that,
if f < q < { + b, every solution 0(t) of problem (111.4.61?) defined on a subinterval
r < t < r" of I satisfies
(III.4.7) 0(t) < ,'(t)±p for r < t <7".
Otherwise, there exist two sequences {qk : k = 1 , 2, ... ) and {rk : k = 1, 2, ... } of
real numbers such that (1) qk > {, lim qk = t;, and r < rk < r', (2) 0&(r) = nk
k +oo
and Ok(Tk) = v((rk) + p, and (3) Ok(t) < vf(t) + p for r < t < rk. Furthermore,
there exists a real number r(p) such that rk > r(p) > r (cf. Figure 16).
Y=W4+P
 1 I
Y Wt
I
I i
t=r t= TA 1=',
FIGURE 16.
Set
max(0k(t), '' (t)), T<t<Tk,
f (t)+p
11)k (t )
,
Tk St ST.
It is easy to show that the sequence {0k W : k = 1, 2, ... } is bounded and equicon
tinuous on the interval Z. Hence, we can assume without any loss of generality
that
(1) tim Tk = rp exists,
k.+oo
(2) tim 10k(t) = 0(t) exists uniformly on Z.
Note that
(3) d(r) _ and O(ro) _ 'af(ro) + p,
(4) ro?r(p)>r.
It is also easy to show that 0(t) is a solution of (III.4.6t) on the subinterval
r < t < ro of Z. Since 104 is the maximal solution of (III.4.61:) on 7, we must
have 0(t) < af(t) on the interval r < t < To. This is a contradiction, since
0(ro) = i (ro) + p. Thus, (111.4.7) holds.
Now, for a given positive number p, there exists another positive number 6(p)
such that (111.4.7) holds for any solution ¢(t) of problem (III.4.617) if < ' <
t; + 6(p). Hence, using max(4(t), 0((t)), we can extend 6(t) on the interval Z in
such a way that
(111.4.8) ?Gf(t) 5 y(t) < p on Z.
56 III. NONUNIQUENESS
Let F be the set of all solutions 6(t) of (III.4.671) which satisfy condition (111.4.8).
Set t[i,r(t) = sup{¢(t) : 0 E F j for t E I. Then, ty,, is the maximal solution of
(III.4.6r7) on I. Furthermore, 104(t) < 1,1(t) < ot(t) + p if t: < rt < t + 6(p).
Letting p  0, we complete the proof of the theorem.
Assuming again that f is continuous on a domain D in the (t, y)plane, consider
initialvalue problem (III.4.6{) together with another initialvalue problem
where (t, 1;) E V and f is a positive number. We prove the following theorem.
Theorem III45. If the maximal solution tt'(t) of problem (111.4.6,) on the in
terval I = {t : r < t < r'} exists, then, for any positive number p, there exists
another positive number e(p) such that for 0 < E < E(p), every solution d(t) of
(11!.4.9E) exists on I and tp(t) < d(t) < y',(t) + p on the interval I. In particu
lar, for every sufficiently small positive number f, then exists the maximal solution
tf=, (t) of problem(111.4.9E) on I and lim tL, = tV uniformly on I.
Proof
The maximal solution tI'(t) satisfies the condition (t,>l,(t)) E D on I (cf. Defini
tion 11143). Define a function 9(t, y) by
Then, g is continuous and bounded on the domain {t E I, oo < y < +oo}. Hence,
every solution ¢(t, e) of the initialvalue problem
= 9(t, y) + E, y(r) _
We prove that for a given positive number p, there exists another positive number
e(p) such that if 0 < e <_ E(p), we have 0(t, e) < t1(t)+p on I. Otherwise, there exist
a real number r(p) and two sequences {Ek : k = 1, 2.... ) and {rk : k = 1, 2, ... }
of real numbers such that
(1) ek > O and lim Ek = 0,
k +oo
4. MAXIMAL AND MINIMAL SOLUTIONS 57
exists on To and w_ (t) < 0(t) < w+(t) on 10 (i.e. (t, y5(t)) E Q). In particular, the
maximal solution 01(t) and the minimal solution 02(t) of problem (111.4.12) on lo
exist and w_ (t) < 02 (t) < ¢, (t) < w+ (t) on Zo
Proof of this lemma is left to the reader as an exercise (cf. Figure 18).
Y = vKW)
v= #(z)
Y=
and w_ (a) < 4 < w+(a). Then, there exists a solution Q(t) of initialvalue problem
(111.4.12) on To such that
Prof.
Let us define a function g(t, y) by
Then, g is bounded and continuous on the region {(t, y) : t E 10, 00 < y < +oo).
Hence, every solution ¢(t) of the initialvalue problem
exists on Za.
Set "I+(t,E) = W.}. (t) + E(t  a) and w_(t,e) = w_(t)  e(t  a), where c is a
positive number and t E To. Then,
+(t, E) dW+(t)
dt
+ ( > f(t,w?(t)} + E > g(t,w+(t,e)),
dt
dw_(t,E) _ d (t)
 E < f(t,W(t))  E < g(t,W_(t,E))
dt dt
Hence, w_ (t, c) < ¢(t) < w+ (t, e) on Zo (cf. Lemma 11146). Letting e 0, we
complete the proof of Theorem 11147.
Comment III48. The maximal and minimal solutions given in this section are
also defined and explained in [CL, pp. 4548] and f Har2, p. 251.
Assumption 1. Let t and u be two real variables and let g(t,u) be a realvalued
and continuous function of (t, u) on a domain D in the (t, u)plane. Also let .y(t)
be the maximal solution of the initialvalue problem
du
= g(t,u), u(a) = uo
on an interval lo = It : a < t < b}, where (a, uo) E D and (t, i,b(t)) E D on To.
We first prove the basic theorem given below.
Theorem 11151. Assume that
(1) g(t, u) > 0 on D and uo > 0,
(2) an R"valued function ¢'(t) is continuously differentiable on a subinterval I =
it: a< t <,r) of 4,
(3) uo,
(4) (t, 14(t) I) E V on Z,
(5)
do(t)
< g on Z.
dt
Then,
P(t) on 1.
Proof.
Let a be a positive number and let 0(t, e) be any solution of the initialvalue
problem
du
dt = 9(t, u) + e, u(a) = u0.
If e > 0 is sufficiently small, i/i(t, e) exists on Zo and lim 0(t, e) = P(t) uniformly on
To (cf. Theorem III45). Let us make the following observations:
where t > s. Suppose that l (s)I = r'(s, e) for some s E Z. Then, there exists a
positive number b(e) such that
FIGURE 19.
Note that
and
dj(t) a<t<b
< C + MI¢(t)t for and uo,
dt
we can apply Theorem 11151 to fi(t) with g(u) = C + Mu. Note that the initial
value problem = C + Mu, u(a) = uo has the unique solution
Hence,
du(t) = g(t,u(t)),
(t,u(t)) E A on Z,
dt
(111.6.1)
aim u(t) = 0
d9(t)
(t, y"(t)) E Q on Z,
dt
(111.6.2)
lim 19(01 = 0,
t.a r(t)
where S1 = {(t, y) : jyj < w(t), t E Z}. The main result of this section is the
following theorem.
Proof
Suppose that problem (III.6.2) has a nontrivial solution j(t) on Z. This means
that (a) ,a< 6. for some a E Z. Choose a positive number 6 so that f <
min aminbw(t) }.
on the interval a < t < b. Using Theorem 11127, we can construct a nontrivial
solution uo(t) of (111.6.3) on the interval a < t < b so that (t, uo(t)) E A(f3) on
a<t<b(cf. Figure 20).
Observation 2. The nontrivial solution uo(t) of (111.6.3) which was constructed
in Observation 1 can be continued on the interval a < t < a so that
satisfies the condition tfi(t, e) < on any subinterval a < t < a of I if it exists
on this subinterval (cf. Figure 21).
r=a r=b
I I u= 1 ;(r)1
I I u ='Kr' E)
I 1 L _Ju=P
U TV, El
u= u0(t) I u uo(r)
U=0 u=0
r=b r=a
FIGURE 20. FIGURE 21.
Now, define a realvalued function G(t, u) by
dylt) on 1,
dt
= f(t,b(t)), (t, y'(t)) E Do
(111.6.6)
lun y(t)r 0
ta ()
has only the solution (t) itself.
Proof.
Set l(t) = z(t) + .(t). Then, problem (1116.6) becomes
di(t)
dt = F(t, i(t)) = A t ' z"(t) + fi(t))  At' fi(t)) on Z,
Since I1 (t,yQ(t))j < g(t, on Do, Theorem 11162 follows from Theorem
II1.6.1. 0
Let us apply Theorem III62 to some initialvalue problems.
Example 1 (The Osgood condition (cf. [Os])). Consider a realvalued function
g(t, u) = h(t)p(u) in the case when
(1) h(t) is continuous and h(t) > 0 on an interval 1 = {t : a < t < b},
64 III. NONUNIQUENESS
(}
(5) jo+ p(u) = +oo.
Assume that
(1) an R"valued function f (t, y) is continuous on a domain V in the (t, yam)space,
(ii) f satisfies the condition If (t,1%1)  f (t, il2)1 < 9(t, Iii  Y21) = 1721)
whenever t E Z, I171  g2 l < K, (t, y"1) E D, and (t, y2) E D.
Let ¢1(t) and 42(t) be two solutions of an initialvalue problem = f (t, M, y"(a) _
i such that
(a, T11 E D and (t, p1(t)) E D, (t, 2(t)} E D
is given by u(t) = c(t  a)', where c is an arbitrary constant. This implies that
Assumption 1 is satisfied by r(t), w(t), and g(t,u). In particular, choosing A = 1,
we derive the following result due to M. Nagumo (Nal and Na2J. Assume that
(i) f (t, y') is continuous on a domain V in the (t, y)space,
191 921
(ii) f satisfies the condition j f(t, 91)  f (t, 92)1 < _ whenever a < t < b,
III, Y2I<K,(t,fi)EDand (t,Y2)EV. a dY
Suppose that 1(t) and y+,2(t) are two solutions of the initialvalue problem =
dt
f (t, y), g(a) = # such that
dy _ {tsin(f. if t 1 0,
dt 0 if t = 0, y(r) = n
EXERCISES III
0 for t = 0 ,
(b) solutions of (E) with the initialvalues v(1) = 0 and v(1) = f 1 are not
n
unique;
(c) for any positive constant c,, the differential equation
do(t)
< I40 for t > 0 and o(0) = 0,
dt
dd(t)
dt
s ia(t)12 for 0 < t < 1 and lim
0+
1d(t)I = 0,
9
d9(t)
< 2tlm(t)I for 0 < t < +oo,
dt i
l 10(t)i eXpft21 = 0,
dy(t) = sin
 y(t) lim y(t) = 0
It1 (0
has only the trivial solution y(t) = 0.
Hint. Note that
/
yt
sin(/
1M l = Y' Y2cos1
/
sin( It1 `t1
!I
j,
t1) ltl
1118. Let f (t, i, y) be an R"valued function of (t, x, y) E R x R" x R'". Assume
that
(1) the entries of f'(t, i, yl are continuous in the region A 0<t<
a, jxrj < a, jyj < b}, where a, a, and b are fixed positive numbers,
(2) there exists a positive number K such that j f (t, x"j, y ) f (t, x"2, y )l < Kjxt x"2 j
if (t,i),y) E A (j = 1, 2).
Let U denote the set of all R"'valued functions u(t) such that ju(t)j < b for 0 <
t < a and that JiZ(t)  u(r)j < Lit  rj if 0 _< t < a and 0 < r < a, where L
is a positive constant independent of u E U. Also, let ¢(t; u+) denote the unique
solution of the initialvalue problem 'jj u(t)), x(0) = 0', where u" E U. It is
known that there exists a positive number ao such that for all u E U, the solution
(t, u') exists and u)j < a for 0 < t < aa. Denote by R the subset of Rn+'
which is the union of solution curves {(t, 0(t, 65)) : 0 < t < ao) for all u E U, i.e.,
R = {(t, ¢(t, u)) : 0 < t < aa, u E U}. Show that R is a closed set in R"+t
Hint. See [LM1, Theorem 2, pp. 4447) and [LM2, Problem 6, pp. 282283).
1119. Let f (t, 2, yy be an R"valued function of (t, a, y) E R x R" x R'". Assume
that
(1) the entries of f (t, f, y) are continuous in the region 0 = {(t, 2, yj : 0 < t <
a, Jx"j < a, jy"j < b}, where a, a, and b are fixed positive numbers,
(2) there exists a positive number K such that yl f (t, x2, y)J < Kjiti2j
if (t,i1,y)EA (j=1,2).
Let U denote the set of all R'"valued functions g(t) such that I i(t)J < b for 0 <
t < a and that the entries of u are piecewise continuous on the interval 0 <
t < a. Also, let (t; u) denote the unique solution of the initialvalue problem
di = f (t, x, u"(t)), x(0) = 0, where u" E U. It is known that there exists a positive
dt
number ao such that for all u' E U, the solution (t, u) exists and Jd(t, u)j < a for
0 < t < ao. Denote by 1Z the subset of R"' which is the union of solution curves
{(t, ¢(t, ul)) : 0 < t _< ao) for all u E U, i.e., R = {(t, (t, u)) : 0 < t < ao, u E U).
Assume that a point (r, ¢(r, uo)) is on the boundary of R, where 0 < r < 00 and
!!o E U. Show that the solution curve 0 < t < r} is also on the
boundary of R.
Hint. jLM2, Theorem 3 of Chapter 4 and its remark on pp. 254257, and Problem
2 on p. 258).
III10. Let A(t, x) and f (t, x") be respectively an n x n matrixvalued and R"
valued functions whose entries are continuous and bounded in (t,x) E R"+' on
a domain 0 = { (t, x) : a < t < b, x" E R"), where a and b are real numbers.
Also, assume that (r, {) E A. Show that every solution of the initialvalue problem
dx
= A(t, x'a + f (t, i), i(r) = t exists on the interval a < t < b.
dt
CHAPTER IV
The main topic of this chapter is the structure of solutions of a linear system
row and the kth column; i.e., A = all a22 a . A matrix A E Mn(C)
and an2 "' ann
69
70 IV. GENERAL THEORY OF LINEAR SYSTEMS
h=1
PA(A) = An + Eph(A)Anh,
A° = In.
h=1
Now, let us prove the CayleyHamilton theorem (see, for example, [Be13, pp. 200
201 and 220], (Cu, p. 220], and (Rab, p. 198]).
Theorem IV15 (A. CayleyW. R. Hamilton). If A E Mn(C), then its charac
teristic polynomial satisfies PA(A) = O, where 0 is the zero matrix of appropriate
size.
Remark IV16. The coefficients ph(A) of pA(A) are polynomials in entries ap,
of the matrix A with integer coefficients.
Proof of Theorem IV15.
Since the entries of pA(A) are polynomials of entries a,k of the matrix A, they
are continuous in the entries of A. Therefore, if pA(A) = 0 for A E Sn, it is
also true for every A E Mn(C), since Sn is dense in Mn(C) (cf. Lemma IV14).
Note also that if B = P'1 AP for some P E GL(n, C), then pB(A) = PA(A) and
pB(B) = P'pA(A)P. Therefore, it suffices to prove Theorem IV15 for diagonal
matrices. Set A = diag(A1, A2, ... , A.J. Then, pA(A) = (A  A1)(A  A2) ... (A  An)
and pA(A) = diag[PA(A1),PA(A2),... ,PA(A.)] = 0.
It is an important application of Theorem IV15 that an n x it matrix N satisfies
the condition N" = 0 if its characteristic polynomial pN(A) is equal to A". If
N" = O, N is said to be nilpotent.
Lemma IV17. A matrix N E Mn(C) is nilpotent if and only if all eigenvalues
of N are zero.
Proof.
If IV is an eigenvector of N associated with an eigenvalue A of N, then Nkp"= Akp'
for every positive integer k. In particular, N"p = A"p Hence, if N" = 0, then
A = 0. On the other hand, if all eigenvalues of N are 0, the characteristic polynomial
pN(A) is equal to A". Hence, N is nilpotent. 0
Applying Lemma IV11 to a nilpotent matrix N, we obtain the following result.
72 IV. GENERAL THEORY OF LINEAR SYSTEMS
i= P2(A}.
J=1
we obtain
k
(IV.1.5) I. _ > Ph(A).
h=1
In the following two lemmas, we show that (IV.1.5) is a resolution of the identity in
terms of projections Ph (A) onto invariant subspaces of A associated with eigenvalues
Ah, respectively.
Lemma IV19. The k matrices P, (A) (j = 1,2,... , k) given by (W1.4) satisfy
the following conditions:
(i) A and P, (A) (y = 1, 2, ... , k) commute.
1. SOME BASIC RESULTS CONCERNING MATRICES 73
k
(IV.1.6) P,(A) _ >P,(A)Ph(A).
h=1
Then, (v) follows from (IV.1.6) and (iii). To prove (vi), let IT, be an eigenvector of
A associated with the eigenvalue Al. Note that (IV.1.2) implies Ph(A)) = 0 if h 0 j.
Therefore, we derive P,(A,) = 1 from (IV.1.3). Now, since P. (A)#, = P,(A3)p' #
we obtain (vi).
Lemma IV110. Denote by V. the image of the mapping P,(A) : C" . Cn.
Then,
(1) p'E Cn belongs to V. if and only if P,(A)p= p
(2) Pj(A)p"=0 for all fl E Vh if j 0 h.
(3) Cn = V1 Ei3 V2 e e Vk (a direct sum).
(4) for each j, V, is an invariant subspace of A.
(5) the restriction of A on V, has a coordinateswise representation:
(A)'1In)V1,1PJ,2...p'1.n,J = [Pi,1PJ,2...p3i.nsJNj
as the coordinateswise representation relative to this basis. This implies that
(A  A,1.)'Pi(A)(P1,1Pi,2...p),nj) _ I
and
from Lemmas IV19 and IVI10 and (IV.1.10). Hence, S is diagonalizable and N
is nilpotent. Furthermore, NS = SN since S and N are polynomials in A. This
shows the existence of S and N satisfying (a), (b), (c), and (d). Moreover, from
(IV.1.4), it follows that two matrices S and N are polynomials in A with coefficients
in the field Q(ajk, Ah).
Step 2. Uniqueness of S and N. Assume that there exists another pair (S, N)
of n x n matrices satisfying conditions (a), (b), (c), and (d). Then, (c) and (d)
imply that SA = AS and NA = AN. Hence, SS = SS, NS = SN, SN = NS,
and NN = NN since S and N are polynomials in A. This implies that S  S is
diagonalizable and N  N is nilpotent. Therefore, from S  S = N  N, it follows
that SS=NN=O.
Step 3. The case when S and N are real. In case when A is real, let 5 and N be
the complex conjugates of S and N, respectively. Then, A = S + N = 3° + N.
Hence, the uniqueness of S and N implies that S = 3 and N = N.
This completes the proof of Theorem IV111.
Definition IV112. The decomposition A = S + N of Theorem IV111 is called
the SN decomposition of A.
Remark IV113. From (IV.1.11), it follows immediately that S and A have the
same eigenvalues, counting their multiplicities. Therefore, S is invertible if and only
if A is invertible.
Observation IV114. Let A be an n x n matrix whose distinct eigenvalues are
A = S + N be the SN decomposition of A. It can be shown
that n x n matrices P1, P2, ... , Pk are uniquely determined by the following three
conditions:
(i)
(ii) P,P1 = O if j 36 t,
(iii) S = A11P1 + A2P2 + ... + AkPk.
Proof.
Note that
In = P1(A) + P2(A) + ... + Pk(A),
{ Pj(A)Ph(A) = O if j h,
S = A1P1(A) + A2P2(A) + ... + AkPk(A).
k
First, derive that P, S = SP; = \j P,. Then, this implies that .X P1 = >ahPj P1. (A).
h=1
Hence, \jPjPA(A) = \h PiPh(A). Thus, PiPh(A) = 0 whenever j h. Therefore,
it follows that P1 = P1(A) = P2P}(A).
76 IV. GENERAL THEORY OF LINEAR SYSTEMS
Set
P1(A) = (A  3)2
2(A4)(A3)2'
Then,
1 2 134 198 2 2 134 198
1 2 125 186 1 1 125 186
P1(A) = 0 0 9 12
P2(A) =
0 0 8 12
0 0 6 8 0 0 6 9
Therefore,
2 2 134 198
1 5 125 186
S = 4P1(A) + 3P2(A) =
0 0 12 12 I'
10 0 6 5
250 500 4000 500
235 470 3760 470
N = A  S =
15 30 240 30
10 20 160 20
3 4 3
Example IV119. The matrix A = 2 7 4 has two distinct eigenvalues
4 8 3
A1= 11, A2=1,and
1 ) 21 1 ) , 1 _ 1 _ (A+9)
PA(A)
PA(A) 100(A  11) 100(A  1)2*
Hence,
1 (A  1)2  (A + 9)(A  11)

100 100
Set
P1(A) (A  1)2 (A + 9)(A  11).
_ P2(A)  
100 100
Then,
1 0 56 28 1 1100 56 28
P1(A) =100 0 76 38 , P2(A)
100
0 24 38
0 48 24 0 48 76
Therefore,
10 56 28
1
S = 11P1(A) + P2(A) = 10 0 86 38
0 48 34 1
20 16 2
N=A  S= 10 20 16 2
40 32 4
78 IV. GENERAL THEORY OF LINEAR SYSTEMS
(IV.2.1) dt = A(t)y',
where the entries of the n x n matrix A(t) are continuous on an interval I = It :
a < t < b). Let us prove the following basic theorem.
Theorem 1V21. The solutions of (1V2. 1) forms an ndimensional vector space
over C.
We break the entire proof into three observations.
Observation IV22. Any linear combination of a finite number of solutions of
(IV.2.1) is also a solution of (IV.2.1). We can prove the existence of n linearly
independent solutions of (IV.2.1) on the interval Z by using Theorem I35 with n
linearly independent initial conditions at t = to. Notice that each column vector of
a solution Y of the differential equation
(IV.2.2) dt = A(t)Y
on an n x n unknown matrix Y is a solution of system (IV.2. 1). Therefore, construct
ing an invertible solution Y of (IV.2.2), we can construct n linearly independent
solutions of (IV.2.1) all at once. If an n x n matrix Y(t) is a solution of equation
(IV.2.2)on an interval I={t:a<t<b}and Y(t)EGL(n,C)for all tE1,then
Y(t) is called a fundamental matrix solution of system (1V.2.1) on.T. Furthermore,
n columns of a fundamental matrix solution Y(t) of (IV.2.2) are said to form a
fundamental set of n linearly independent solutions of (IV.2.1) on the interval T.
2. HOMOGENEOUS SYSTEMS OF LINEAR DIFF. EQUATIONS 79
W(t)A(t)4s(t) + $(t)A(t)4;(t) = 0.
dt
This implies that the matrix %P(t)4i(t) is independent of t. Therefore, W(t)4i(t) =
%P(r)t(r) for any fixed point r E Z and for all t E Z. Note that the initial values
44(r) and %P(r) at t = r can be prescribed arbitrarily. In particular, in the case
when 4?(r) E GL(n,C), by choosing %P(r) = we obtain WY(t)4i(t) = In
for all t E Z. Thus, we proved the following lemma.
Lemma IV24. Let an n x n matrix 4i(t) be a solution of (IV.2.2) on the interval
Z. Then, 45(t) is invertible for all t E I (i.e., a fundamental matrix solution of
(IV.2.1)) if 4i(r) is invertible for some r E Z. Furthermore, 4 (t)1 is the unique
solution of (IV.2.8) on Z satisfying the initial condition Z(r) = 4i(r)1.
Observation IV25. Denote by 4?(t; r) the unique solution of the initialvalue
problem

(IV.2.4) = A(t)Y, Y(r) = In,
dt
where r E Z. Then, 1(t; r) E GL(n, C) for all t E Z. The general structure of
solutions of (IV.2.1) and (IV.2.2) are given by the following theorem, which can be
easily verified.
Theorem IV26. The C"valued functwn y(t) = 44(t; r)it is the unique solution
of the initialvalue problem
(t, r E Z)
80 W. GENERAL THEORY OF LINEAR SYSTEMS
t 1
In the general case, we define exp I J A(s)ds] by
V,r
+M
exp[B(t)] = In
T11.
B(t)"', where B(t) = Jt A(s)ds.
m=1
However, generally speaking, (IV.2.7) holds only in the case when B(t) and
B'(t) = A(t) commute. In particular, 4(t; r) = exp[(t  r )AJ if A = A(t) is
independent of t. In §IV3, we shall explain how to calculate exp((t  r)AJ,
using the SN decomposition of A. Also, (IV.2.7) holds in the case when
A(t) is diagonal on the interval I. A less trivial case is given in Exer
cise IV9. It is easy to see that B(t) and A(t) commute if A(t) is a 2 x 2
uppertriangular matrix with an eigenvalue of multiplicity 2. For exam
ple, the matrix A(t) = [coStt I satisfies the requirement. In this
(jsin t o sin r
case, 4b(t; r) = exp I J t A(s)ds = exp sint  sin r, )
1
exp(sin t sin r) 10
t 1 r
1 J1
if
(4) det Y(t) = det Y(r) exp trA(s)ds) if Y(t) satisfies (IV.2.2), where det A
and trA are the determinant and trace of the matrix A. This formula is
known as Abel's formula (cf. (CL, p. 28]).
Proof.
Regarding detY(t) as a function of n column vectors {y'1(t),... of
Y(t), set det Y(t) = 7(g, (t), ... , y (t)). Then,
(IV.2.8)
d det Y(t)
dt
 [:
L P(... , A(t)ym(t), ... ).
M=1
and
(IV.3.5)
h j
PJ(A)Ph(A) (3, h = 1, 2, .... k).
0 (A) if h =
36 j
The two matrices S and N commute.
Denote by V, the image of the mapping PJ(A) : C" Cn (cf. Lemma IVI10).
It is known that Sp = \,)5 for pin VJ . Hence, Sl p" = \1)5 and
+00
exp[tS]p' = 1 + E (A2t)n }ic earh=1
ni h
On the other hand, exp(tN] = In + A Nh since N is nilpotent. Therefore,
h=1
(IV.3.9)
0 0 0 1 0 0
P1(A) = 0 0 0, P2(A) = 0 1 0
1 1 1 1 1 0
Set
2 0 0 0 1 0
S = PI(A)  2P2(A) = 0 2 0 , N=AS= 0 0 0.
3 3 1 0 1 0
3. HOMOGENEOUS SYSTEMS WITH CONSTANT COEFFICIENTS 83
S = (if)P2(A)  (if)P3(A),
then S = A. This implies that N = 0. Thus, we obtain
Using
(e'' t(1 + if)) = cos(ft)  \/3sin(ft),
2 (e'1t(1  if)) wa(ft) + f sin(ft),
84 IV. GENERAL THEORY OF LINEAR SYSTEMS
we find
a(t) b(t) c(t)
exp[tA] = 1 c(t) a(t) b(t)
3
b(t) c(t) a(t)
where
a(t) = I + 2cos(ft),
b(t) = 1  {cos(ft) + f sin(ft)} ,
c(t) = 1  {wa(ft)  f sin(ft))
Remark IV35. Fhnctions of a matnx In this remark, we explain how to define
functions of a matrix A.
I. A particular case: Let A0, I,,, and N be a number, the n x n identity matrix,
and an n x n nilpotent matrix, respectively. Also, consider a function f (X) in a
neighborhood of A0. Assume that f (A) has the Taylor series expansion (i.e., f is
analytic at A0)
(h)
f h?Ao)(A
f(A) = f(A0) + 1  Ao)h.
h=1
n1 (h)
Since N is nilpotent, the matrix >2f is also nilpotent. Therefore, the
h=1
characteristic polynomial pf(A0,+N)(A) of f(AoI + N) is
Pf(aolN)(A) = (A  1(A0))".
II. The general case: Assume that the characteristic polynomial PA(A) of an n x n
matrix A is
PA(A) = (A  .l1)m1(A  A 2 ) '  2 ... (A  Ak)mr.
where A1,... , Ak are distinct eigenvalues of A. Construct P, (A) (j = 1, ... , k), S,
and N as above. Then,
Therefore,
Since P2(S) = P,(A) (cf. Observation IV115), this definition applied to S yields
/
log(Ao + u) = 1000) + log t 1 + o) = logl o) +
+O° m+1
(I)m
\\ m=1
Io
we obtain
n1 (1)m+1
log(.1oIn + N) = log(Ao)ln +
m=1
m
P1(A) = 0 L9 L9 0
P2(A) = 2s 50
12
25 6
50 12 19
0 0
25 25 5 25
Define S = 11P1(A) + P2(A) and N = A  S. Then N2 = 0. Also,
( sin(11 + x) = 0.99999 + 0.0044257x + 0.499995x2 + 0(x3 ),
t sin(1 + x) = 0.841471+0.540302x0.420735x 2 + 0(x3).
Therefore,
sin(A) _ (0.9999913 + 0.0044257N)P1(A) + (0.84147113 + 0.540302N)P2(A)
1.92207 1.8957 0.407549
1.0806 1.42252 0.591695
2.1612 0.845065 0.1834
sin(A) 
 + (2h(1)h
+ 1)!
A2h+1
_1h
sin(11) = 0.99999 and 112h+1 = 117.147.
(2h + 1)!
h=O
dy
(IV.4.1) = A(t)y
dt
in the case when the n x n matrix A(t) satisfies the following conditions:
(1) entries of A(t) are continuous on the entire real line R,
(2) entries of A(t) are periodic in t of a (positive) period w, i.e.,
Look at the unique n x n fundamental matrix solution 4'(t) defined by the initial
value problem
dY = A(t)Y,
(IV.4.3)
.it
Y(0) = In
Theorem IV41 (G. Floquet [Fl]). Under assumptions (1) and (2), the funda
mental matrix solution 4i(t) of (IV.4.1) defined by the initialvalue problem (IV.4.3)
has the form
(IV.4.6) 4'(t) = P(t) exp[tB],
where P(t) and B are n x n matrices such that
(a) P(t) is invertible, continuous, and periodic of period w in t,
(Q) B is a constant matrix such that 4'(w) = exp[wB].
Observation IV42. As was explained in Observation IV38, letting 4'(w) _
S + N = S(I + M) be the SN decomposition of 4(w), we define log($(w)) by
log(4?(w)) = log(S) + log(1 + M), where
log(S) = log(A1)P1(4'(w)) + log(a2)P2(4'(w)) +  + log(Ak)Pk('6(w))
and
n 1 l)m+l
log(!! + M) = E ( m Mm.
M=1
In the case when A(t) is a real matrix, the unique solution 4 (t) of problem (IV.4.3)
is also a real matrix. Therefore, the entries of 4'(w) are real. Since S and N are real
matrices, the matrix M = S'N is real. Therefore, log(I + M) is also real. Let
us look at log(S) more closely. If \j is a complex eigenvalue of 4'(w), its complex
conjugate A3 is also an eigenvalue of 4'(w). In this case, set A,+1 = A3. It is easy
to see that the projection Pj+1(4?(w)) is also the complex conjugate of P,(4'(w)).
However, if some eigenvalues of 4'(w) are negative, log[S] is not real. To see this
more clearly, rewrite log[s] in the form
log[S] _ E log[A,]Pi(4?(w)) + E log1A3]P'(4'(w))
A, <0 other j
uation, let us look at S2. By virtue of the relations given in Lemma IV19, we
obtain
S2 =
(,\J)2P+ _y2P
A, <0 other j
Notice that
log(S2] _ E log[(Ai)2]Pj(4'(w)) + 2 E log[a3]P,(4(w))
af<0 other 7
is a real matrix. Therefore, we can find a real matrix
log[4'(w)2] = log[S2J + 2log(In + MI.
Now, observe that 4'(,)2 =' (2w) and 4'(t + 2w) = 4'(t). (2w). Thus, setting
(IV.4.7) B = _L log{4'(w)2] and P(t) = 4'(t) exp[tB],
we obtain the following theorem.
4. SYSTEMS WITH PERIODIC COEFFICIENTS 89
Theorem IV43. In the case when the matrix A(t) is real, the matrix 4s(t) has
the form
P(t) exp[tB],
where P(t) and B are n x n real matrices such that
(a) P(t) is invertible, continuous, and periodic of period 2w in t,
(p) B is a constant matrix such that 4?(w)2 = exp[2wB].
dP(t)
Remark IV44. In the case when 4?(t) = P(t) exp[tB], we have dt
A(t)P(t)  P(t)B. Therefore, (IV.4.1) is changed to

dz = Bz
(IV.4.8)
dt
It I = exp(sin t)I2
P(t) = i(t) exp [ 0 Ot, = 4i(t) l
and j are unknown vectors in R", y = [q1, ?{(t, y7 = 2y"TH(t)y with a real
on 8H
ON Bpi an Ni
(2n) x (2n) symmetric matrix H(t), and Here,
8p 8q.
5. LINEAR HAMILTONIAN SYSTEMS 91
(IV.5.1) = JH(t)y,
where y is a unknown vector in R2n, H(t) is a real (2n) x (2n) symmetric matrix,
and
O In
(IV.5.2) J= [ In O
The matrix J has the following important properties:
(IV.5.3) JT = J, J1 = J,
where JT is the transpose of J.
Let fi(t) be the unique real (2n) x (2n) matrix such that
do(t)
= JH(t))(t) , 4(0) = 12n.
Lemma IV51. The matrix 4(t) satisfies the condition 4(t)T J4(t) = J, where
t(t)T is the transpose of t(t).
Proof
Differentiate O(t)TJ4(t) to derive
I(t)TH(t)(J)J4(t) +
a
I(t)T H(t)41(t)  O.
Observing that the lefthand side of this relation is the transpose of the righthand
side, we conclude that H(t) is symmetric. 0
Observation 1. If GT JG = J, then (G' )T JG' = J and GJGT = J. In fact,
GT JG = J implies that (G' )T JG' = J. Then, taking the inverse of both sides
of the first relation, we obtain the second relation (cf. (IV.5.3)).
Definition IV53. A (2n) x (2n) real invertible matrix G such that GT JG = J is
called a real symplectic matrix of order 2n. The set of all real symplectic matrices
of order 2n is denoted by Sp(2n, R).
It is easy to show that Sp(2n, R) is a subgroup of GL(2n, R) (cf. Observation 1).
Hence, Sp(2n, R) is called the real symplectic group of order 2n.
Observation 2. If we change Hamiltonian system (IV.5.1) by a linear transfor
mation
(rV.5.1) becomes
(IV.5.5)
d J [p(t)TH(t)P(t)  JdP( 'P(t) i.
Since P(t)P(t) = 12 and P(t)T E Sp(2n,R), we obtain
I P(t)_1
dP(t)
dt +
dP(t)
di P(t) =dlzd = 0,
1 P(t)'J = JP(t)T.
dP(t)
t
Observe that J P(t) is symmetric since P(t) E Sp(2n, R) (cf. Lemma
IV52). This implies that (IV.5.5) is a Hamiltonian system.
Definition IV54. Transformation (IV.5.4) is called a canonical transformation
if P(t) E Sp(2n, R).
Observation 3. For a given constant matrix G in Sp(2n, R), let us construct the
SN decomposition G = S + N, where S is diagonalizable, N is nilpotent, and
SN = NS. Since G is invertible, S is invertible (cf. Remark IV113). If we set
M = S' N, then M is also nilpotent, and we derive the unique decomposition
(IV.5.6) G = S(12 + M), SM = MS.
5. LINEAR HAMILTONIAN SYSTEMS 93
The identity GTJG = J implies JGJ' = (GT)l. Using (IV.5.6), we can write
this last relation in the form
(ST)1 (I2, + MT)'.
(JSJ') (J(I2n + M)J1) =
Set Si = JSJ1, M1 = J(I2n + M)J'  12,,, S2 = (ST)', and M2 =
(12n + MT) 1  12n. It is not difficult to show that S. = 1, 2) are diagonal
izable and that Af. (j = 1,2) are nilpotent. Furthermore, S,llf, = MSS, (j = 1, 2).
Hence, the uniqueness of SN decomposition implies that S1 = S2 and 12n + M1 =
12n + M2. Therefore,
(IV.5.7) JSJ' = (ST)', J(I2n + Af)J' = (12n + AfT)1.
Thus, we proved the following lemma.
Lemma IV55. If we write a symplectic matrix G of order 2n in form (IV.5.6)
by using the unique SN decomposition of G (where Af = S IN), the two matrices
S and 12n + M are also symplectic matrices of order 2n.
Remark IV56. Let J be the 2n x 2n matrix defined by (111.5.2) and let H be a
2n x 2n symmetric matrix. Then, it is important to know that if A is an eigenvalue
of JH with multiplicity m, then A is also an eigenvalue of JH with multiplicity
m. In fact, (JH)T = HJ = HJ'. Hence, J'(JH)TJ = JH, where AT
denotes the transpose of A.
Remark IV57. Let G be a 2n x 2n symplectic matrix. Then, it is important
to know also that if A is an eigenvalue of G with multiplicity m. then is also an
eigenvalue of G with multiplicity m. In fact, JGJ' = (CT)'.
Remark IV58. Assuming that the set of 2n x 2n symplectic matrices with 2n
distinct eigenvalues is dense in the symplectic group Sp(2n, R), it can be shown
that if I (and/or 1) is an eigenvalue of a symplectic matrix G, its multiplicity is
even. Also, det G = 1. In fact, slim, 1. It is also known that det A is equal
to the product of all eigenvalues of A.
Remark IV59. Assuming that Sp(2n, R) is a connected set, we can show that
det G = 1 for all G E Sp(2n, R). In fact, (det G)2 = 1 and the 2n x 2n identity
matrix is in Sp(2n, R).
Part 2
Now, assume that the real symmetric matrix H(t) of system (IV.5.1) is periodic
in t of a positive period w, i.e., H(t + w) = H(t). Then, applying Theorem IV43
and Remark IV44 to system (IV.5.1), we conclude that the unique (2n) x (2n)
matrix solution 0(t) of the initialvalue problem d dtt) = JH(t)4y(t), 4i(O) _
12n can be written in the form 0(t) = P(t) exp[tB], where P(t) and B are real
(2n) x (2n) matrices such that P(t) is invertible, P(t+2w) = P(t) for all t E R, and
B is a constant matrix such that 4i(w)2 = exp[2wB]. Furthermore, system (IV.5.1)
is changed to
dzF
(IV.5.8)
dt
= Bi
94 W. GENERAL THEORY OF LINEAR SYSTEMS
by the transformation
(IV.5.9) y = P(t)f.
The main concern of Part 2 is to show that a matrix P(t) can be chosen so
that the transformation (IV.5.9) is canonical. Note that Y = exp[tB] is the unique
solution of the initialvalue problem = BY, Y(O) = I2,,. Therefore, if JB is
symmetric, the matrix exp[tB) is symplectic. Hence, if JB is symmetric, the matrix
P(t) = 4i(t) exp[tB] is symplectic, since 4i(t) is symplectic. This implies that in
order to show that the transformation (IV.5.9) is canonical, it suffices to show that
we can choose P(t) so that JB is symmetric.
Hereafter we use notations and results given in §IV4. For examples,
k
(1V.5.10)
I2. = E P,('t(w)), 0 (j # t),
,=1
Pj(4'(w))2 = P
Taking the transpose of (IV.5.10), we obtain
k
l2n = yP,(.6(w))T, 0 U 36t),
(IV.5.11) ,=1
\P(.t(w))T )2 = Pj(.0(W))T.
and
B= log[4i(w)2].
Proof.
Upon applying (IV.5.6) to G = 0(w), write 4'(w) in the form O(w) = S(I2n+M).
Then, S is symplectic, i.e., ST JS = J = 12,,JI2n (cf. Lemma IV55). Using the
formulas
t=1=1
k k
12. = > Pt(4 (w)), 12n = P
(IV.5.13) k k
S= ST = EA,P,(,p(w))T,
r=1 J=1
Fixing a pair of indices j and t and multiplying both sides of (IV.5.14) by Pj (4ti(w))T
from the left and by Pt(4i(w)) from the right, we derive
log[(S2)T](J)I2n = log[(A,)21
A,A =1
Then,
1og[(S2)Tj(J) _ log[(A1)2]P,(.t(w))TJPt(+(w))
= J log[S2].
Note that for any square matrix A, we have [log(A)IT = log(AT). Therefore,
[J log(S2)]T =  log[(S2)T]J. Hence, J log[S2] is symmetric.
Observation 5. Let us prove that J log[I2 + M) is symmetric. To do this, we
write first [12n + M]TJ[I2n + M] = J in the form J[I2n + M] = (12n + MT)'J.
96 IV. GENERAL THEORY OF LINEAR SYSTEMS
Then, write [12n + MT J 1 in the form [12,, + MT J1 = 12. + M. Using (IV.5.7), it
is not difficult to show that M is nilpotent and JM = MJ. Hence,
J 00 (lmm+l MM _ (lmm+l
(IV.5.15) km J
=
m=1 m=1 /
and
as a power series in x. L
Thus, we arrived at the following conclusion.
Theorem IV511. In the case when the matrix H(t) of system (IV.5.1) is real,
symmetric, and periodic in t of a positive period w, there exist (2n) x (2n) real
matrices P(t) and B such that
(a) P(t) E Sp(2n, R) for all t E R,
(b) P(t+2w)=P(t) for alit ER,
(c) B is a constant matrix such that JB is symmetric,
(d) the canonical transformation y" = P(t): changes system (IV.5. 1) to L = BE.
For more information of exponentials in algebraic matrix groups, see (Mar] and
(Si4].
where the entries of the n x n matrix A(t) and the C"valued function b(t) are
continuous on an interval Z = {t : a < t < b} and r E Z, if E C". As it was
6. NONHOMOGENEOUS EQUATIONS 97
explained in §IV2, let the n x n matrix 4>(t; r) be the unique fundamental matrix
solution of the homogeneous system
dy
(IV.6.2)
dt
= A(t)y
determined by the initialvalue problem
dY = A(t)Y,
(IV.6.3) Y(r) = In,
dt
where r E I. System (IV.6.2) is called the associated homogeneous equation of
(IV.6.1). We treat the solution of (IV.6.1) by using the knowledge of the funda
mental matrix solution 4)(t; r) of (IV.6.2) (cf. §§IV2 and IV3).
Consider the transformation
(IV.6.5)
dz _
dt
r)z(r) = 4.
In fact, differentiating both sides of (IV.6.4), we obtain
di*
A(t)4)(t; r)l + b(t) = r)z""+ 4 (t; r) .
z= i + jt(s;rY1(s)ds,
t
(TV.6.6) l
(t; r)r1 +
Jr
r_
y" _ (t;r)Iit + j4(s;T)_1(s)ds]
t $(t; s)b(s)ds.
Here, use was made of the fact that 0(t; s) = 4'(t; r)O(s; r)1 (cf. (2) of Remark
IV27; in particular (IV.2.6)).
In a similar way, using (IV.6.6), we can change a nonlinear initialvalue problem
The function g(t, y) is the nonlinear term which satisfies some suitable condition(s).
In the case when the matrix A is independent of t, formulas (N.6.6) and (IV.6.7)
become
respectively.
Example IV61. Let us solve the initialvalue problem
where
2 1 0 [2] #p= 1
A= 0 2 0 , b(t)= 0 , 1
3 2 1 t 0
r t 1 1 + to2t
exp[tA] j i0 + exp[sA]b(s)ds } e2t
111 fo 111
9t+5et(l+t)e
where the coefficients a°(t), a1(t), ... , and the nonhomogeneous term b(t) are
continuous on an interval I = {t : a < t < b}. In order to reduce (IV.7.1) to
7. HIGHERORDER SCALAR EQUATIONS 99
d11
(IV.7.2) = A(t)f + b(t),
dt
where
0 1 0 0 ... 0 1
0 0 1 0 ... 0
A(t) =
an0
0
0
b(t) =
0t)
b(t)
ao(
d
at = A(t)y
(IV.7.3)
of (IV.7.2). Using 4i(t), we can solve problem (IV.7.2) (cf. §IV6). The first
component of the solution of (IV.7.2) is the solution of problem (IV.7.1). Also,
the first components of n column vectors of the matrix $(t) give the n linearly
independent solutions of the associated homogeneous equation
of (IV.7.1).
Example IV71. Let us solve the initialvalue problem
111
111=u, 112=u',
y2=u",
and y= 1122
IY31
100 IV. GENERAL THEORY OF LINEAR SYSTEMS
dt
where
10 1 0 0 1
Three eigenvalues of the matrix A are 1, 2, and 3. The corresponding projections
are
6 1 1 1 3 4 1
P1(A) _ 6 6 1 1 I , P2(A) 6 8 2
15
6 1 1 12 16 4
12 1 1
P3 (A)
= 10
6 3 3
18 9 9
and N = 0. Therefore,
1
e 615
12
8
16
1
2 + 10e 6 3 3.
4
3t
18
1
9 9
1
Thus,
t
4D(s;0)1 6(s) ds
and, consequently,
 1  (3t + 1)e3t
1 30t + 25  17e'2t + 50et + 2e3L
+ 3[1  (3t + 1)e3t]
= 2(15 + 17e2t
+ 25et + 3e3t)
1)e3t] 60
9(1  (3t + 1 2(34e2t + 25et + 9e3t)
a fundamental matrix solution of (IV.7.3) has the form 4P(t) = 0' (t) ¢2(t) ,
.01(t) 02(t)
where 01 (t) and ¢2 (t) are two linearly independent solutions of the associated ho
1 .02(t)
mogeneous equation (IV.7.4). Since 4i(t)1 = 02(t) where
W(t) 011(t) 01(t)
W(t) = det(4i(t)), the first component of the formula
where ill and q2 are two arbitrary constants. This is known as the formula of
variation of parameters (see, for example, [Rab, pp. 2412461). Moreover,
Remark IV74. Let 01 (t) and 02(t) be linearly independent solutions of a third
order linear homogeneous differential equation
Also, let 0(t) be any solution of (IV.7.12). Then, (4) of Remark IV27 implies that
(IV.7.13)
0
10'
01
401
02
452 =c3exp
[ft ao(s)ds]
'P 4i oz
where c3 is a constant. Write (IV.7.13) in the form
where
461 02 01 02 0'2
As(t)
COI
 J ao(s)ds]dr}
I 02
Ao
(T3 eXp I 
J
T ao(s) I dT
+ 02 (t) I ` Ao(r)2 e L
where cl and c2 are constants. This implies that 01(t), 02(t), and
02(r)
Aa(T)2
exp
[f'
i)
ao(s)dsj
1(r)
dr  02(t) I Ao(r)2 exp [  f ao(s)
)
ds] dr
EXERCISES IV
IV1. Let A bean n x n matrix, and let A1, A2, ... , Ak be all the distinct eigenvalues
of A. On the complex Aplane, consider k small closed disks Of = {A : IA  A2 I <
r)} (j = 1,... , k}. Assume that Aj n At = 0 for j # 1. Set
and N=AS,
where the integrals are taken in the counterclockwise orientation. Show that
(i) Pl + ... + Pk = In,
(ii) Pi Pt = O if U'41),
(iii) A = S + N is the SN decomposition of A.
EXERCISES IV 103
f (A) _ 1
J=12rri
for t E R.
Remark. This result means that exp[tA] is the inverse Laplace transform of (sln 
U1
A) 1. For example, if A = [ ], then (s12  A) 1 =
s2 + 1
[_i 1 ]. Hence,
IV5. Show that J(A2 +T 21" )'dr= A1 arctan(tA1) if every eigenvalue of
an n x n matrix A is a nonzero real number.
m
IV6. For an n x n matrix A, show that
In
lim (In + A ) = eA.
+00 M
104 IV. GENERAL THEORY OF LINEAR SYSTEMS
where A is a constant n x n matrix, {6, ,j,S are three constant vectors in C", and
y E C' is the unknown quantity.
Hint. If we set y = e`AU, the given problem is changed to
Al =E, u"(0) =r1', u(0)
dt2
find a nonzero constant vector ii E C4 in such a way that the solution l(t) of the
initialvalue problem
d9
A9, 9(0)
dY
(E) = A(t)Y  YB(t) F(t),
_WT
is given by
where A(t) and B(t) are n x n matrices continuous in the interval a < t < b,
(1) show that, if Y(to) I exists at some point to in the interval a < t < b, then
Y(t)i exists for all points of the interval a < t < b,
(2) show that Z = Y1 satisfies the differential equation
dZ
= B(t)Z  ZA(t).
dt
IV15. Find the multipliers of the periodic system dt = A(t)f, where A(t) _
[cost simt
sint cost
106 IV. GENERAL THEORY OF LINEAR SYSTEMS
Hint. See ILM2, Theorem 1 of Chapter 2 on pp. 6972 and Lemma 3A of Appendix
of Chapter 2 on pp. 161163j.
IV17. Let u(t) be a realvalued, continuous, and periodic of period w > 0 in t on
R. Also, for every real r, let ¢(t, r) and t1'(t, r) be two solutions of the differential
equation
d2y
(Eq)  u(t) y = 0
dt2
such that
C(r) = 10'(0.'r)
0(0, r) V(0, r) 1
,
i,I (0,r) J
JJJ 
Then, ((t, r) is a fundamental
matrix solution of the system
and y = 4'(t, r)c is the solution satisfying the initial condition y(r) = c'. Note that
C(r) = 4'(0, r) and M(r) = 4'(r + w, r). Therefore, 4'(t, r) = 4'(t, 0)C(r) and
4'(t + r) = 4'(t, r)M(r). Now, it is not difficult to see 4'(w, r) = 4'(w, 0)C(r) _
4'(0, r)M(r) = C(r)M(r) and 4'(w, 0) = M(O).
Hint for (II). Since eigenvalues of M(r) and M(0) are the same, the eigenvalues of
M(r) is independent of r. Solutions 77+ (t) of (Eq) satisfying the condition Y7+ (t +
w) = A+n+(t) are linearly dependent on each other. Hence, W+(t) = K+(t) is
independent of any particular choice of such solutions q+(t). In particular K+(t +
W) = 17'+ (t + w) = K+(t). Problem (II) claims that the quantity K+(r) can be
17+(t + w)
found by calculating eigenvectors of M(r) corresponding to A+. Furthermore,
A+ = exp I o
o
K+(r)drJJ I I.
The same remark applies to A_. The solutions 0±(x, r)
of (Eq) are called the Block solutions.
IV18. Show that
(a) A real 2 x 2 matrix A is symplectic (i.e., A E Sp(2, R)) if and only if det A = 1;
(b) the matrix 01 N is symmetric for any 2 x 2 real nilpotent matrix N.
l 0J
Hint for (b). Note that det(etNJ = I for any real 2 x 2 nilpotent matrix N.
IV19. Let G, H, and J are real (21n ) x (2n) matrices such that G is symplectic,
H is symmetric, and J = I 0n . Show that G1JHGJ is symmetric.
IV20. Suppose that the (2n) x (2n) matrix 4'(t) is the unique solution of the
initialvalue problem L'P = JH(t)4', 4'(0) = 12n, where J = I 0n n and H(t)
l T J
is symmetric. Set L(t) = 4'(t)1JH(t)4'(t)J. Show that d4'dt) = JL(t)4'(t)T,
where 4'(t)T is the transpose of 4'(t).
CHAPTER V
assuming that the entries of the C"valued function f are convergent power series
in complex variables (x, y) E Cn+I with coefficients in C, where x is a complex inde
pendent variable and y E C" is an unknown quantity. The main tool is calculation
with power series in x. In §I4, using successive approximations, we constructed
power series solutions. However, generally speaking, in order to construct a power
00
series solution y"(x) = E xmd n, this expression is inserted into the given differ
M=1
ential equation to find relationships among the coefficients d, , and the coefficients
d,,, are calculated by using these relationships. In this stage of the calculation, we
do not pay any attention to the convergence of the series. This process leads us
to the concept of formal power series solutions (cf. §V1). Having found a formal
power series solution, we estimate Ia',,, i to test its convergence. As the function
xI f (x, y) is not analytic at x = 0, Theorem 141 does not apply to system (E).
Furthermore, the existence of formal power series solutions of (E) is not always
guaranteed. Nevertheless, it is known that if a formal power series solution of (E)
exists, then the series is always convergent. This basic result is explained in §V2
(cf. [CL, Theorem 3.1, pp. 117119) and [Wasl, Theorem 5.3, pp. 22251 for the
case of linear differential equations]). In §V3, we define the SN decomposition
for a lower blocktriangular matrix of infinite order. Using such a matrix, we can
represent a linear differential operator
where f2(x) is an n x n matrix whose entries are formal power series in x with
coefficients in Cn. In this way, we derive the SN decomposition of L in §V4 and a
normal form of L in §V5 (cf. [HKS]). The SN decomposition of L was originally
defined in [GerL]. In §V6, we calculate the normal form of a given operator C by
using a method due to M. Hukuhara (cf. [Sill, §3.9, pp. 85891). We explain the
classification of singularities of homogeneous linear differential equations in §V7.
Some basic results concerning linear differential equations given in this chapter are
also found in [CL, Chapter 4].
108
1. FORMAL SOLUTIONS OF AN ALGEBRAIC DE 109
over C with the identity element given by E bmxm, where bo = 1 and b,,, = 0
m=0
if m > 1. (For commutative algebra, see, for example, [AM].) Also, we define the
derivative of f with respect to r by dx _ E(m+ 1)a,,,+,x' and the integral
m=0
"0 00
rX r
( f (x)dx by f f (x)dx = airi x"' for f = E a,,,xm E C[[xj]. Then, C[[x]]
0 o m=1 m=0
is a commutative differential algebra over C with the identity element. There are
some subalgebras of C[[x]j that are useful in applications. For example, denote by
C{x) the set of all power series in C[]x]] that have nonzero radii of convergence.
Also, denote by C[x] the set of all polynomials in x with coefficients in C . Then,
C{x} is a subalgebra of C[[x]] and C]x] is a subalgebra of C{x}. Consequently, C[x]
is also a subalgebra of C[[x]].
Let F(x, yo, y, , ... , yn) be a polynomial in yo, y,..... yn with coefficients in
C[[x]]. Then, a differential equation
(V.1.1) F ,...dxn
dy
y,,d"y
=0
f
is called an algebrutc differential equation, where y is the unknown quantity and x
is the independent variable. If F ` x, f, ... ,
dxn
= 0 for some f in C[[x]], then
such an f is called a formal solution of equation (V.1.1). In this definition, it is not
necessary to assume that the coefficients of F are in C{x}.
Example V11. To find a formal solution of
the algebra C((x]]. Similarly, let x°C{x} denote the set of convergent series x°f (x),
where f (x) E C{x}. The set x°C{x} is a commutative differential module over
the algebra C{x}. Furthermore, if a is a nonnegative integer, then x°C([x]] C
C[[x]]. If F(x, yo,... , y,) is a formal power series in (x, yo,... , yn) and if fo(x) E
xC[[x]j, ... , fn(x) E xC([xj], then F(x, fo(x),... , fn(x)) E C[[xJj. Also, if
F(x, yo,. .. , yn) is a convergent power series in (x, yo,... , yn) and if fa(x) E xC{x},
... , fn(x) E xC{x}, then F(x, fo(x), ... , f,,(x)) E C{x}. Therefore, using the no
tation x°C[[x]]n to denote the set of all vectors with n entries in x°C[(x]], we can de
fine a formal solution fi(x) E xC[[x]]n of system (E) by the condition x = Ax, i)
in C[[x]j . (Similarly, we define x°C{x}n.) Also, in the case of a homogeneous sys
tem of linear differential equations xfy A(x)g, a series d(x) E x°C[[xj]n is said
where the coefficients f,,, (s) are polynomials in s and no is a nonnegative integer
such that 0. Then, we can prove the following theorem.
Theorem V13.
(i) The degree of f,,,, in s is not greater than n.
(ii) If zeros of fno do not differ by integers, then, for each zero r of f,,, there
exists a formal series x' (x) E xr+IC[[x]] such that P[xr(1 +O(x))] = 0.
Proof
(i) Since 6h(x'] = shx', it is evident that the degree of f,,,, in s is not greater than
n.
+o0
(ii) For a formal power series d(x) = E ckxk, we have
k=1
+oo
P[x'(I + b(x))] = P(x'] +
L. Ck P[x'+k J
k=1
+oo +oo +oo
= x'
{mnof"
(s)xm + > Ckxk
k =1
(frn(s
m=no
+ k)xm/
}
= x' fno(s)x +
+oo
((,fm(s) +
m no
k=1
Ckfmk(s + k)) x"`m
J1
xa+no AK(
+ + E Ckfno+mk(s + k)) x"' .
M=1 k=1 J
where y E C' is an unknown quantity and the entries of the C"valued function f
are convergent power series in (x, y7) with coefficients in C. A formal power series
00
(V.2.2) E x' , ,,, E xC([xfl" (c,,, E C" )
rnt
is a formal solution of system (V.2.1) if
(V.2.3) X = f(x,0)
dx
where
(1) p = (pl,... ,p") and the p, are nonnegative integers,
(2) jpj = pi + + pn and yam' = yi' yn^, where yi,...are the entries
of g,
Setting
xd'o
dx
= Ao + f (x, ¢)  A0 .
Then,
where
(J(x))p
1: xm7m
M=1
and Im E C n. Note that ry'm is determined when c1 i ... , c,,,_ 1 are determined and
that the matrices mI"  A0 are invertible if positive integers m are sufficiently
large. This implies that there exists a positive integers mo such that if 61, ... , C,,,a
are determined, then 4. is uniquely determined for all integers m greater than mo.
Therefore, the system of a finite number of equations
(V.2.5) mEm = A0 + (m = 1,2,... ,mo)
decides whether a formal solution ¢(x) exists. If system (V.2.5) has a solution
{c1 i ... , c,,,a }, those mo constants vectors determine a formal solution (x) uniquely.
Observation V22. Supposing that formal power series (V.2.2) is a formal solu
N
tion of (V.2.1), set ¢N (x) _ x'6,. Since
m=1
where
(1) 9N,o E xN+1C{x}" and g""N,p E C{x}",
(2) BN(x) is an n x n matrix with the entries in C{x},
(3) the entries of the matrix BN(X)  Ao are contained in xC{x}.
Observation V23. System (V.2.7) has a formal solution
00
=E m=N+1
xm'1'm
Furthermore, ¢ E xN+1C{x}n.
116 V. SINGULARITIES OF THE FIRST KIND
Remark V26. Under the assumptions of Theorem V25, system (V.2.1) pos
sibly has many formal solutions in xC[[x)J". However, Theorem V25 states that
there is only one formal solution in xN+1C[[xJJn
Proof of Theorem V25.
We prove this theorem in six steps.
Step 1. Using the argument of Observation V21, we can prove the existence and
uniqueness of formal solution (V.2.9). In fact,
xmrym.
m=N+1
and
(III) If(x, y)i <_ HIxl "+1 + (IAoI + 1)Iyl for Ixl < b and Iyl <_ p.
2. CONVERGENCE OF FORMAL SOLUTIONS 117
Therefore,
H + IAoI 1]K
II7k+1(x)I < IxIN+I < K 1xIN+1 for jxj < S.
Step 5. Set 1
++1k(x)I
I1'Rk+1  nkll = maxiInk+iIZI InI < b}.
Then, since
I ik+1(x)  ik(x)I = fo
we obtain
j
IInk+1  llkII N ++1 171k  '1k11I 2lI'7k  1kl II
This implies that
lim ilk(x) _ #e+1(x)  #((X)
k.+00 xN+1 xN+1
e=0
exists uniformly for Ixl < J.
118 V. SINGULARITIES OF THE FIRST KIND
Step 6. Setting
it is easy to show that n'(x) satisfies integral equation (V.2.12). It is also evident
that i7(x) is analytic for IxI < 6. Thus, the proof of Theorem V25 is completed. 0
Now, finally, by using the argument given in Observations V22 and V23, we
obtain the following theorem.
Theorem V27. Every formal solution E xC[[zjJ" of system (V.2.1) is conver
gent, i.e., E xC{x}".
Remark V28. In general, (V.2.1) may not have any formal solutions. However,
Theorem V27 states that if (V.2.1) has formal solutions, then every formal solution
is convergent.
Remark V29. If yi(x) = xA f (x) E XAC[[xfj" is a formal solution of a linear
system X!LY = A(x)y, the formal power series f is a formal solution of xd _
[A(x)  A!, }i. Therefore, f E C{x}" by virtue of Theorem V27. This proves
convergence of the formal solution constructed in Theorem V12.
where for each (j, k), the quantity AJk is an n, x nk constant matrix. Set
Al = All,
All 0 O .. 0
A21 A22 O .. 0
Am = (m > 2).
S1 = s11, S"'
=
rI Sm_1 0l (m > 2),
J L Cm Smm
[Aim_i
N, = Ni1, Aim = (m > 2),
fm O 1
Nmm
where Cm and fm are am x N,_1 matrices.
Proof
Consider the case m > 2. Since the matrices Sm and Aim are polynomials in Am
with constant coefficients, it follows that
Sm = [B m1 and Aim = I
fm1 01,
ILM0
where 13m1 and Dm1 are Nm1 x Nm_1 matrices, Cm and fm are nm x Nm_1
matrices, and µm and vm are nm x nm matrices. Furthermore, Dm_1 and Vm are
nilpotent. Also, Bm1Dm1 = Dm1Bmi and tlmvm = 1.m µm. Hence, it suffices
to show that Bm1 and µm are diagonalizable.
Note that since Sm is diagonalizable, Sm has Nm linearly independent eigen
vectors. An eigenvector of Sm has one of two forms k and [?.] , where p is an
PJ
eigenvector of Bm_1i whereas q is an eigenvector of µm. Therefore, if we count
those independent eigenvectors, it can be shown that Bm1 has N,, I linearly in
dependent eigenvectors, while Pm has nm linearly independent eigenvectors. Note
that Nm = Nm_ 1 + nm. This completes the proof of Lemma V31. 0
Lemma V31 implies that the matrices Sm and Nn have the following forms:
S1 = SI1,
S11 0 0 ... 0
C21 S22 0 ... 0
Sm = (m>2)
Cmi Cm2 ... ... Smm
and
N1 = N11,
Nil 0 D ... 0
Y21 JN22 0 0
Aim = (m>2),
Fm 1 Fm2 ... ... Nmm
120 V. SINGULARITIES OF THE FIRST KIND
N11 0 0
f f21 N22 0 "'
N=
1m 1 Fm2 ... .Wmm 0
Then,
w
where f2(x) _ > xt1 and 1 E Let us identify a formal power series
t=o
ao
a1
xt dt with the vector p = a2 E C. Then, the operator C is represented
t>o
by the matrix
flo 0 0 0 ...
f2l In + f2o 0 0 ...
f12 l1 21, + f2o 0 ...
A =
11m f4.l fZn2 ... f21 mI, + fZa 0 .
5. A NORMAL FORM OF A DIFFERENTIAL OPERATOR 121
of A. Since A =
L
j) 11
al I. + So 0 0 ... ...
(V.4.2) S=
am aml am2 at min + SO 0
and
No O O
V1 No 0
V2 V1 No
(V.4.3) N=
Vm Vm1 Vm2 ... VI No 0 ...
respectively, where the a. and v, are n x n matrices and S2o = So +No is the SN
decomposition of the matrix S2o.
00 00
where
and
Co
am_ 1 am2
Since So is diagonalizable, there exist an invertible n x n matrix P0 and a diagonal
matrix Ao such that
Equation (V.5.4) can be solved with respect to Pt, since the linear operator Pt +
(tl + So)P1  PtAo is invertible if m is sufficiently large. In this way, we can find
A
P 1
.  _. _.. _, f _. , l du' \ _ . _. 1
(V.5.6)
=x du +Aou".
dvo P(x)'Lo(P(x)vo(x)1
dxx) + Aovo(x) = = P(x)`Co[v(x)P(x)1
(V.5.7) x
= P(x)'v(x)Lo(P(x)1 = vo(x)P(x)'Co(P(x)1 = vo(x)Ao
This shows that the entry i,k(x) on the jth row and kth column of the matrix
vo(x) must have the form v,k(x) = 7jkxAka', where ryjk is a constant. Since Lt(x)
is a formal power series in x, it follows that
Observe further that the matrix &. (x) can be written in the form
'711 'Yin
vo(x) = x^°rx^°, where r=
'7ni Inn
On the other hand, since No is nilpotent, vo(x)P can be written in a form i (x)P =
X'pQP(x), where mp is a nonnegative integer such that lim mP = +oo and
P+oo
the entries of the matrix Qp(x) are power series in x with constant coefficients.
Therefore, L0(x)P = 0 if p is sufficiently large. This implies that the matrix r is
nilpotent. Since v(x) = P(x)vo(x)P(x)1, we obtain v(x)^ = O.
Thus, we arrive at the following conclusion.
Theorem V51. For a given differential operator (V.5.1), let 0o = So +No be
the SN decomposition of the matrix N. Then, there exists an n x n matrix P(x)
such that
(1) the entries of P(x) are formal power series in x with constant coefficients,
(2) P(O) is invertible and SoP(0) = P(0)Ao, where A0 is a diagonal matrix whose
diagonal entries are eigenvalues of Q0r
124 V. SINGULARITIES OF THE FIRST KIND
r=
Ynl Inn
with constants "ljk such that
dv'
?{o(vl = x'L fXLTf + zLLv + Aoz' 7} = xdx + (Ao + L)v
Hence,
to
d1U
(V.5.15) VV! = x + (Ao + L + r)u = 0.
Since L  A0  L = A0, the matrix 44(x) can be also written in the form
n1 h
4i(x) = P(x)xne
In + (1)h (lohx) rh
h=1
I ni h
However, xAo and I nr >(1)h [lohx[ rh do not commute, whereas xA°L
h=1
nI [log x[ h
and In + E(1)h h!
rh commute.
h=1 I
Remark V57. The methods used in §§V3, V4, and V5 are based on the
original idea given in [GerL[.
Example V58.
In order to illustrate the results of this section, consider the differential equation
of the Bessel functions
(V.5.17) x + Q(x)y = 0, y=
0 1 0 1 0 0
where 11(x) = x  a2 =10+x11i c o = a2 and 0i = 1
0 0
4 4 4 0
To begin with, let us remark that the SN decomposition of the matrix 11 is
given by S2o = So + No, where
O if a = 0, N if a = 0,
and
80 =
{Q if a > 0, N0  to if a>0.
a 0
Po InoP0 if a = 0,
vo(x) r0 a(a)xn
if a>0,
0 0 J
+00
Conclusion V59. There exists a unique 2 x 2 matrix P(x) = >xtPe such that
1=o
(1) the matrices Pl for t = 0,1, ... , m are given in Step 8,
(2) the power series P(x) converges for every x,
(8) the transformation y = P(x)u" changes (V.5.17) to
dii
(V.5.18) xaj + (Ao + vo(x)) i = 0'.
We illustrate the scheme given above in the case when a = 0. First we fix m = 2.
Then,
0 1 0 0 0 0 0 0 0 0 00
0 0 0 0 0 0 0 0 0 0 00
1 1
0 0 1 1 0 0 1 0 0 0
4 2
A2 = S2 = 1 1
1 0 0 1 0 0 0 1 0 0
4 4 4
0 0 0 0 2 1 3 3 1 1
2 0
32 32 4 2
0 0 0 0 2  1 3 1 1
0 2
4 16 32 4 4
and
0 1 0 0 0 0
0 0 0 0 0 0
1 1
0 1 0 0
4 2
N2= 1
0 0 0 0 0
3 3 1 1
0 1
32 32 4 2
0 0 0
16 T2 9
1192 320
64 128
Calculating eigenvectors of S2, we find a 6 x 2 matrix P2 = 16 16
such
32 48
0 1
1 0
that S2P2 = 0. Note that, in this case, Ao = 0.
128 V. SINGULARITIES OF THE FIRST KIND
Set
1 1 3 3
4 2 32 32
0 1 1 3
4 16 32
M2 (x) = 1 o + xvl + x2v2
and
]
Then, Qz' 11f2(x)Q2(x)
1 2
+ O(x3). Note that
1 5
1,° 12 634 [192 [21 4
[0 64 128] = 2].
01]
64 64
0 1
dy
(V.5.20) xdx + X 0 Y = 0'
4
to
d6
(V.5.21) x3i + [_1 2, u" = 0.

Furthermore, the transformation y" = P(x)Po iv changes (V.5.20) to
(V.5.22) x + 10 0
" = 0.
5. A NORMAL FORM OF A DIFFERENTIAL OPERATOR 129
1
0 0 0 0 0 0 0 0 0 0
4
1
0 0 1 1 0 0 1 1 0 0
8 4
A2 = 132= 3
0 4 1 0 0
16
1
8 4
1 1
0 0
0 0 0 0 2 1 1 1 1 1
2 1
16 16 4
0 0 0 4 2 J
3 1 3 1 1 2
64 16 16 8 4
and 4
0 0 0 0 0 01
0 0 0 0 0 0
1 1
0 0 0 0
8 4
Ar2 = 1 1
8 0 0 0 0
16
 1 1 1 1
00
16 16 8 4
3 1 1 1
0 0
64 16 16 8
384 32
192 16
Calculating eigenvectors of S2, we find a 6 x 2 matrix P2 = _72
124 such
2 0
5 1
1
0
that S2P2 = P2Ao. Note that, in this case, A0 = 1 2 1 . Set
1
L0 2
1 1 1 1
8 4 16 16
vl = 1 1 v2 = 1
3
16 8 64 16
M2(x) = xl/1 + x2v2,
and
Po
84 62 48 12
1'2 = [2 1j
(V.5.23) [19 3 J' Pl  [72 14] , ,
1
(V.5.24) xdx + V = 0
0
to
(V.5.25) x +
2 48I u = U.
0 1
2
For a further discussion, see IHKS[. A computer might help the reader to calculate
S2i N2, and P2 in the cases when a = 0 and a = 1. Such a calculation is not difficult
in these cases since eigenvalues of A2 are found easily (cf. §IV1).
dP(x)
= P(x)(Ao + vo(x))  Q(x)P(x)
00
and B(x) = Sto + E xmBm by the equation
m=1
where XXh, YYh, and H,h are m, x mh matrices, equation (V.6.1) becomes
and the power series is convergent. If there is no other linearly independent solu
tion of this form, a second solution can be constructed by using the idea explained
in Remark IV73. This second solution contains a logarithmic term. Similarly,
a thirdorder linear homogeneous differential equation has a solution of the form
+00
01(x) _ (x  a)° c, (x  a)" at a regular singular point x = a. Using this solu
n=0
tion, the given equation can be reduced to a secondorder equation. In particular, if
there exists another solution ¢(x) of this kind such that ¢1 and ¢2 are linearly in
dependent, then the idea given in Remark IV74 can be used to find a fundamental
set of solutions.
In general, a fundamental matrix solution of system (V.5.14) can be constructed
if the transformation y" = P(x)xLV of Theorem V54 is found. In fact, if the
definition of fo(x) of Observation V55 is used, P(x)xL2noLr is a fundamental
matrix solution of (V.5.14). The matrix P(x) can be calculated by using the method
of Hukuhara, which was explained earlier.
where k is a positive integer and the entries of the n x n matrix A(x) are convergent
power series in x with complex coefficients, then the singularity at x = 0 is said to
be of the second kind
In §V5, we proved the following theorem (cf. Theorem V54).
Theorem V71. For system (V.7.1), there exist a constant n x n matrix A0 and
an n x n invertible matrix P(x) such that
(i) the entries of P(x) and P(x)1 are analytic and singlevalued in a domain
0 < jxi < r and have, at worst, a pole at x = 0, where r is a positive number,
(ii) the transformation
(V.7.3) y' = P(x)i7
changes (V.7.1) to a system
(V.7.4) du = Aou".
Theorem V72. For system (V.7.2), there exist a constant n x n matrix A0 and
an n x n invertible matrix P(x) such that
(i) the entries of P(x) and P(x)1 are analytic and singlevalued in a domain
V = {x : 0 < lxi < r}, where r is a positive number,
(ii) the transformation
(V.7.5) y = P(x)i
changes (V.7.2) to (V.7.4).
Proof.
Let 4i(x) be a fundamental matrix of (V.7.2) in D. Since A(x) is analytic and
singlevalued in D, fi(x) _ I (xe2"t) is also a fundamental matrix of (V.7.2). There
fore, there exists an invertible constant matrix C such that 46(x) = 4i(x)C (cf. (1)
of Remark IV27). Choose a constant matrix Ao so that C. = exp[2rriAo] (cf. Ex
ample IV36) and let P(x) = 4(x)exp[(logx)Ao]. Then, P(x) and P(x)1 are
analytic and singlevalued in D. Furthermore,
dP(x) = dam)
exp(_(logx)Ao]  P(x)(x'Ao)
= x(k+1)A(x)P(x)  P(x)(x'Ao).
dg
(V.7.6) = F(x)y,
dx
where every entry of the n x n matrix F(x) is analytic and singlevalued on the
domain V even if such an entry of F(x) possibly has an essential singularity at
x = 0. More precisely speaking, for system (V.7.6), there exist a constant n x n
matrix Ao and an n x n invertible matrix P(x) satisfying conditions (i) and (ii) of
Theorem V72 such that transformation (V.7.5) changes (V.7.6) to (V.7.4).
Now, we state a definition of regular singularity of (V.7.6) at x = 0 as follows.
Definition V73. Let P(x) be a matrix satisfying conditions (i) and (ii) such
that transformation (V.7.5) changes (V.7.6) to (V.7.4). Then, the singularity of
(V.7.6) at x = 0 is said to be regular if every entry of P(x) has, at worst, a pole
atx=0.
Remark V74. Theorem V71 implies that a singularity of the first kind is a
regular singularity. The converse is not true. However, it can be proved easily that
a regular singularity is, at worst, a singularity of the second kind. Furthermore, if
(V.7.2) has a regular singularity at x = 0, then the matrix A(0) is nilpotent. This
is a consequence of the following theorem.
134 V. SINGULARITIES OF THE FIRST KIND
Theorem V75. Let A(x) and B(x) be two n x n matrices whose entries are
formal power series in x with constant coefficients. Also, let r and s be two positive
integers. Suppose that there exists an n x n matrix P(x) such that
(a) the entries of P(x) are formal power series in x with constant coefficients,
(b) det(P(x)] ,E 0 as a formal power series in x,
16 1
(c) the transformation y = P(x)ii changes the system x' = A(x)y to x' 2i _
X
B(x)il.
Suppose also that s > r. Then, the matrix B(O) must be nilpotent.
Proof
Step 1. Applying to the matrix P(x) suitable elementary row and column opera
tions successively, we can prove the following lemma.
Lemma V76. There exist two n x n matrices
+oo +oo
T(x) _ xmTm and S(x) _ x"'Sm,
m=0 m=o
(V.7.7) ah(x)bhl/ = 0,
h=0
assume that the coefficients ah are convergent power series in x and that an (x) # 0.
Set y; = 6'1y (j = 0,... , n  1). Then, (V.7.7) becomes the system
f 0 1 0 0
0 0 0 ... 0 yl
(V.7.8) 6y = 91
/i! =
0 0 0 . 1
yn
a0 an1
an as
If we change (V.7.8) by the transformation y" = diag[l, xO, '.T(n1)0
Iii,
then
(V.7.9)
x°6u
0 1 0 ... 0
0 0 0 0
+ x°diag[l, a, 2a,... , (n  1)a) u'.
0 0 0 ... 1
xna ao
a.
x' an1
an
ah(x)x(nh)O
Set bh(x) = . Choose a nonnegative rational number a so that bh(X)
an(x)
(h = 0,... , n  1) are bounded in a neighborhood of x = 0. Also, if a must be
positive, choose a so that bh(0) 0 0 for some h. Then, the matrix on the righthand
side of (V.7.9) is not nilpotent at x = 0 if or > 0. Hence, we define a as the order of
the singularity of (V.7.7) at x = 0. System (V.7.2) can be reduced to an equation
(V.7.7) (cf. §XIII5).
The following theorem due to J. Moser [Mo) concerns the order of a given sin
gularity
Here, r = rank(Ao) and min is taken over all n x n invertible matrices T of the
form T(x) = x9 E x°T,,, where q is an integer, T are constant n x n matrices,
and the power series is convergent. Note that det T(x) 0 0, but det To may be 0.
Assume that m(A) > 1. Then, we have m(A) > p(A) if and only if the polynomial
P(A) =
c K[xj' (x E V)
for some positive number K and a real number m. These two numbers may depend
on 0 and V. In fact, Theorem V72 and its remark imply that a fundamental matrix
solution of (V.7.6) is P(x)xA0. The matrix P(x) has, at worst, a pole at x = 0 if
and only if !P(x)I < Kjxjr in a neighborhood of x = 0 for some positive number
K and a real number p (cf. [CL, §2 of Chapter 4, pp. 1111411). Another criterion
which depends only on a finite number of coefficients of power series expansion of
the matrix A(x) of (V.7.2) was given in a very concrete form by W. Jurkat and D.
A. Lutz [JL] (see also 15117, Chapter V, pp. 1151411).
Now, let us look into the problem of convergence of the formal solution which
was constructed in Theorem V13. Let
n
P = Eah(x)Jh
h=0
be a differential operator with coefficients ah(x) in C{x). Assume that n > I and
a,(x) 0 0. Defining the indicial polynomial of the operator P as in §V1,
we prove the following theorem.
Theorem V710.
(i) In the case when the degree of f b in s is equal to n, if we change the equation
P[y1 = 0 to a system by setting yt = y and yj = 611 [y) (j = 2, ... , n), the
system has a singularity of the first kind at x = 0.
EXERCISES V 137
(ii) In the case when the degree of fn ins is less than n, if we change the equation
P[y] = 0 by setting y1 = y and y, = b'1 [y] (j = 2,... , n), the system has an
irregular singularity at x = 0.
Proof
n 00
EXERCISES V
m=1
x(1x)!f 2 + +1)J
Y
 c3y = 0,
where a, /3, and y are complex constants.
138 V. SINGULARITIES OF THE FIRST KIND
Comment. The series F(a, Q, ry, x) is called the hypergeometric series (see, for
example, [CL; p. 1351, 101; p. 159], and [IKSYJ).
V3. For each of the following differential equations, find all formal solutions of
c
the form x'' I 1 + > cmxm] . Examine also if they are convergent.
L m=1
where b = xa, the quantities a, 3, and 7 are nonzero complex constants and m
is a positive integer.
V4. Given the system
show that
(i) (E) has two linearly independent solutions
J2(t) = 1612 (t
(t)
)1 , where 02(t) = t + +00 bmt'n  ¢1(t)logt,
m1
with the constants bm determined by b_1 = 1, bo = 0, and
2m + 1
m(m + 1)bm  b,,,, = (m = 1,2,... ),
m!(m+ 1)!
(ii) 1 lim t1(Y(t)e IN) = O for the fundamental matrix solution Y(t) = [if1(t)12(t)J,
(iii) the limit of e'NY(t) as t + +oo does not exists.
V5. Let y be a column vector with n entries and let Ax, y) be a vector with n
entries which are formal power series in n + 1 variables (x, yj with coefficients in
C. Also, let u' be a vector with n entries and let P(x, u) be a vector with n entries
which are formal power series in n + 1 variables (x, u") with coefficients in C. Find
the most general P(x, u") such that the transformation u + xP(x, u7 changes
dy" du"
the differential equation = f (X, y) to = 0.
ds
Hint. Expand xP(x, u) and f (x, u+xP(x, u)) as power series in V. Identify coeffi
d[xP(x, V)]
cients of with those of Ax, u'+zP(x, iX)) to derive differential equations
which are satisfied by coefficients of xP(x, u).
EXERCISES V 139
V6. Suppose that three n x n matrices A, B, and P(x) satisfy the following
conditions:
(a) the entries of A and B are constants,
(b) the entries of P(x) are analytic and singlevalued in 0 < [xj < r for some
positive number r,
dii
(c) the transformation y' = P(x)u changes the system xfy = Ay" to xjj = Bu.
Show that there exists an integer p such that the entries of xPP(x) are polynomials
in x.
Hint. The three matrices P(x), A, and B satisfy the equation xd) = AP(x) 
+"0
P(x)B. Setting P(x) = >2 xmPm, we must have mPm = APm  PmB for all
m=oo
integers m. Hence, there exists a large positive integer p such that Pm = 0 for
ImI ? P.
V7. Let ff be a column vector with n entries {y,... , and let A(ye) be an n x n
matrix whose entries are convergent power series in {yj, ... , yn} with coefficients
in C. Assume that A(0) has an eigenvalue A such that mA is not an eigenvalue of
A(0 for any positive integer m. Show that there exists a nontrivial vector O(x)
with n entries in C{x} such that y" = b(exp[At]) satisfies the system L = A(y)y.
N
V8. Consider a nonzero differential operator P = >2 ak(x)Dk with coefficients
k=O
ak(x) E C([x]], where D = dx. Regarding C([x]] as a vector space over C, de
42(x))...(6
P = a+,(x)(b  &1(x))(b   0n(x)),
140 V. SINGULARITIES OF THE FIRST KIND
where all the functions ¢, (x) (j = 1, 2, ... , n) are convergent power series in x and
4f(O) = Aj.
Hint. Without any loss of generality, we can assume that an(x) = 1. Then, An +
n1
Eak(O)Ak = (A  A1)... (A  An). Define constants {yo... , In2} by A' ' +
k=0
n2
,YkAk
= (A  A2) ... (A  An). For v] (X) E xC[[xI] and ch(x) E xC([x]l (h =
k=O
0,. . . , n  2), solve the equation
( n2
(C) P = (6  Al  2(7h+Ch(x))6h
h=0
where h=I,...,n2.
n
V10. Consider a linear differential operator P = E atbt, where ao,... , an are
t=o
complex numbers and 6 = x. The differential equation
(P) P[y1= 0
is called the CauchyEuler differential equation. Find a fundamental set of solution
of equation (P).
(6068)(6a8)[yl =xn'Y'
where 6 = xjj and m is a positive integer, whereas a and /3 are complex numbers
such that they are not integers and R[al < 0 < 8t[01.
V12. Find the fundamental set of solutions of the differential equation
Remark. Differential equation (LGE) is called the Legendre equation (ef. [AS, pp.
331338] or [01, pp. 161189]).
V13. Show that for a nonnegative integer n, the polynomial Pn(x) = 2nn!
1
[(1x2) ] +n(n+1)Pn=0.
d
Show also that these polynomials satisfy the following conditions:
(1) Pn(x) = (1)nPn(x), (2) Pn(1) = 1, (3) JPn(t)j ? 1 for {xj > 1,
+00
E Pn(x)tn, and (5) lPn(x)I < 1 for Jxj < 1.
(4) 1  2xt + t = n=o
Hint. Set g(x) = (1  x2)n. Then, (1  x2)g'(x) + 2nxg(x) = 0. Differentiate this
relation (n + 1) times with respect to x to obtain
x2)g(n+2)(x)
(1,  2(n + 1)xg(n+1)(x)  n(n + 1)g(n)(x)
+ 2nxg(n+1) (x) + 2n(n + 1)g(")(x) = 0
or
(1 X 2)g(n+2)(x)  2ng(n+1)(x) + n(n + 1)g(n)(x) = 0.
Statements (1), (2), (3), and (4) can be proved with straight forward calculations.
Statement (5) also can be proved similarly by using (4) (cf. [WhW, Chapter XV,
Example 2 on p. 303]). However, the following proof is shorter. To begin with, set
2
Then, F(±1) = Pn(±1)2 = 1, p(X) _ (P"(x))
n(n + 1)
,and F(x) = Pn(x)2 if (x)
0. Therefore, for 0 < x < 1, local maximal values of Pn(x)2 are less than F(1) = 1,
whereas, for 1 < x < 0, local maximal values of Pn(x)2 are less than F(1) = 1.
Hence, Pn(x)I < 1 for JxI < 1 (cf. [Sz, §§7.27.3, pp. 161172; in particular,
Theorems 7.2 and 7.3, pp. 161162]. See also (NU, pp. 4546].)
The polynomials Pn(x) are called the Legendne polynomials.
V14. Find a fundamental set of solutions of (LGE) at x = oo. In particular, show
what happends when a is a nonnegative integer.
V15. Show that the differential equation b"y = xy has a fundamental set of
solutions consisting of n solutions of the following form:
(logx)k1A
V16. Find the order of singularity at x = 0 of each of the following three equa
tions.
(i) x5{66y  362y + 4y} = y,
(ii) x5{56y  3b2y + 4y} + x7{b3y  55y} = y,
(iii) x5y"' + 5x2y" + dy + 20y = 0.
V17. Find a fundamental matrix solution of the system
dbi
x2 = xyi + y2,
dx
dy2
x2 = 2xy2 + 2y3,
dx
x2 dx3 = x3y! + 3y3.
with coefficients ak(x) and bk(x) in C{x} such that P[0] = 0 and Q I = 0. Show
J
that 0 is convergent. l
EXERCISES V 143
(VI.1.1) + 9(x)y = 0.
dx2
144
1. ZEROS OF SOLUTIONS 145
Proof.
Assume without any loss of generality that Sl < 1;2 and 01(x) > 0 on 1;1 < x < £2.
Notice that 41(1::1) = 0, (1:2) < 0. A contradiction
1 (l:l) > 0, 01(S2) = 0, and
will be derived from the assumption that 02(x) > 0 on S1 < z < 1;2. In fact,
assumption (ii) implies
_ 01 ( x ) d202 (x) =
02(x) d 20, (7)
VI .1. 2 [ 92 (x)  91 (x)10 (x)0 2 (x)
1
and, hence,
E1
(x)  91 (x)j¢ (x)02 (x)dx .
1
The lefthand side of (VI.1.3) is nonpositive, but the righthand side of (VI.1.3) is
positive. This is a contradiction. 0
A similar argument yields the following theorem.
Theorem VI12. Suppose that
(i) g(x) is continuous on an interval a < x < b,
(ii) 0i(x) and 02(x) are two linearly independent solutions of (VI.1.1),
(iii) 1;1 and 6 are successive zeros of 01 (x) on a < x < b.
Then, 02(x) must vanish at some point 3 between t;1 and 1;2.
Proof.
Assume without any loss of generality that Sl < £2 and .01 (x) > 0 on S1 < x < 1;2.
Notice that 01(11) = 0, 1 (S1) > 0, 01(12) = 0, and X1(1;2) < 0. Note also that
if 02(1) = 0 or 02(6) = 0, then 01 and 02 are linearly dependent. Now, a
assumption that 02(x) > 0 on fi < x < 2
contradiction will be derived from the assumption
a (x)  p1(z) d2 02 (x) = 0 and, hence,
In fact, assumption (u) implies 02(x)
dS2 dx2
(VI.1.4) 02(2) 1(6)  4'201) 1(W =0.
Since the lefthand side of (VI.1.4) is positive, this is a contradiction. 0
The following result is a simple consequence of Theorem VI.1.2.
Corollary VI13. Let g(x) be a realvalued and continuous function on the in
terval Zo = {x : 0 < x < +oo}. Then,
(a) if a nontrivial solution of the differential equation (VI.1.1) has infinitely many
zeros on I , then every solution of (VI.1.1) has an infinitely many zeros on
Zo,
(b) if a solution of (VI.1.1) has m zeros on an open subinterval Z = {x : a < x <
3} of Zo, then every nontrivial solution of (VI.1.1) has at most m + 1 zeros
on Z.
Lemma VI14. Let g(x) be a realvalued and continuous function on the interval
To = {x : 0 < x < +oo}, and let 771(x) and M(x) be two solutions of differential
equation (VI 1.1). Then,
(a) W (x; 772 , ri2 ), the Wronskian of {rli (x), 712(x)}, is independent of x,
(b) if we set t;(x) =
771(x),
then
4(x) = c , where c is a constant.
772(x) dx 772(x)2
Also, if 77(x) is a nontrivial solution of (VI.1.1) and if we set w(x) = then
we obtain
dw(x)
(VI.1.5) + w(x)2 + g(x) = 0 .
Proof.
(a) It can be easily shown that
d 772(x)
771(x)
= 771(x) 772(x) g(x) ! 712(x) =0
dx I77i(x) 772(x) 77i'(x) 772(x) 771(x) 712(x)
The following theorem shows the structure of solutions in the case when every
nontrivial solution of differential equation (VI.1.1) has only a finite number of zeros
on To= {x:0<x<+oo}.
Theorem VI15. Let g(x) be a realvalued and continuous function on the inter
val I. Assume that every nontrivial solution of differential equation (VI.1.1) has
only a finite number of zeros on T. Then, (VI.1.1) has two linearly independent
solutions 777(x) and 712(x) such that
(a) lim 771(x) = 0,
x+oo 712(x)
(b)
+00 dx +00 dx
(VI.1.6) x)2 = +oo and 1 2
< +00,
1.0 771( Jxo 7r (x)
(a) Let (1(x) and (2(x) be two linearly independent solutions of (VI.1.1) such that
(, (x) > 0 (j = 1, 2) for x > xo > 0. Using (b) of Lemma VI14, we can derive the
1. ZEROS OF SOLUTIONS 147
(1(x)
following three possibilities (1) =limo(2(x) = 0, (ii) =U +oo, and (iii)
(VI.1.7)2 + 1
A
z2
= 0,
where A is a constant, have infinitely many zeros on the interval oo < x < +oo if
and only if A > 4
Proof
Theorem VI18. Let g(x) be a realvalued and continuous function on the inter
f+C0
valA. If 1 jg(x)ldx < +oo, then there exist unbounded solutions of differential
0
equation (VI. 1. 1) on Ia.
Proof.
The assumption of this theorem and (VI.1.1) imply that lim dq(x) = Y exists
:+oo dx
for any bounded solution n(x) of (VI.1.1). If 7 0, then i(x) is unbounded. Hence,
lim odd) = 0. Therefore, calculating the Wronskian of two bounded solutions
z
of (VI.1.1), we find that those bounded solutions are linearly dependent on each
other. This implies that there must be unbounded solutions. 0
Remark VI19. Theorems VI11 and VI12 are also explained in ]CL, §1 of
Chapter 8, pp. 208211] and [Hart, Chapter XI, pp. 322403]. For details concern
ing other results in this section, see also [Cop2, Chapter 1, pp. 433] and [Be12,
Chapter 6, pp. 107142].
Let 4(x) and O(z) be two solutions of the homogeneous linear differential equa
tion
such that
(VI.2.2) m(a) = sins, p(a)d'(a) = cosa, ,p(b) = sin f3, p(b)t'(b) = cosfi,
respectively. Then, these two solutions satisfy the boundary conditions
The two solutions 4(x) and /;(x) are linearly independent if and only if
The first basic result of this section is the following theorem, which concerns the
existence and uniqueness of solution of (BP).
Theorem VI21. If the two solutions 4(x) and ip(x) of (VI.2.1) are linearly
independent, then problem (BP) has one and only one solutwn on the interval
I(a, b).
Proof
Using the method of variation of parameters (cf. Remark IV72), write the
general solution y(x) of the differential equation of (BP) and its derivative y'(x)
respectively in the following form:
(VI.2.5)
6
VW = CIOW + C20 W + 4(x) 'j'(_)f (_) 4 + i,&(x)1= o(f)f
J P(f)WW a
where cl and c2 are arbitrary constants and W (x) denotes the Wronskian of
Now, using (VI.2.3) and (VI.2.4), it can be shown that solution
(VI.2.5) satisfies the boundary conditions of (BP) if and only if cl = 0 and c2 =
0. 0
Observation VI22. It can be shown easily that p(x)W(x) is independent of x.
Observation VI23. Under the assumption that the two solutions 40(x) and tfi(x)
of (VI.2.1) are linearly independent, the unique solution of (BP) is given by
rb
(VI.2.6)
y(x) = d(x)
Jx P(A)W (O 10(x) I i ( )) W(f )
rb owfwdC + V,'(x) r= 4(W W 4.
Y 'W = O(x)
1r W Ja P(OW (O
150 VI. BOUNDARYVALUE PROBLEMS
Setting
The function G(x,l;) is called Green's function of problem (BP). The following
theorem gives the characterization of Green's function.
Theorem VI24. The function G(x, C) given by (VI. 2.7) satisfies the following
conditions:
(i) G(x, l:) is continuous with respect to (x, e) on the region D = {(x,) a < x <
b, a< £<b},
(ii) 8 (x, l:) is continuous with respect to (x, C) on the region D  a<
C < b},
(iii) at ({, l;), we have
0 and
PW
2. STRUMLIOUVILLE PROBLEMS 151
where C2(a, b) denotes the set of all realvalued functions which are twice contin
uously differentiable on the interval I(a, b) = {x : a < x < b). Define also an
inner product (f, g) for two realvalued continuous functions f and g on I(a, b) by
(f,9) = fa
Since
(f, 4191) =
(()) +
4
[
J6f()
(f,L[g)  (L(f1,9)
={p(b)f(b)9'(b)  p(b)g(b)f'(b)}  {p(a)f(a)9 (a)  p(a)9(a)f'(a)}.
Also, since
( f (a) cos a  p(a) f'(a) sin a = 0, f (b) cos Q  p(b) f'(b) sin O= 0,
t 9(a) cos a  p(a)9'(a) sin a = 0, g(b) cos,  p(6)9'(b) sin /3 = 0
Observation VI26. In Theorem VI.2.1, it was assumed that the two solutions
¢(x) and '(x) are linearly independent. Consider the case when this assumption
is not satisfied. So, assume that ¢(x) and ?P(x) are linearly dependent. This means
that
0(a) cos a  p(a)0'(a) sin a = 0 and ¢(b) cos ji  p(b)5'(b) sin fi = 0.
In other words,
(VI.2.8) lr[o) = 0 and 0 E V(a, b).
The boundaryvalue problem (BP) can be written in the form
(VI.2.9) G[yl = f and y E V(a, b).
Using (VI.2.8) and (VI.2.9), we obtain
(f, 0) = (C [y], 0) = (y, x[01) = 0,
if there exists a solution y of problem (VI.2.9). The converse is also true, as shown
in the following theorem.
Theorem VI27. Assume that O(x) satisfies condition (VI.2.8). Then, if a real
valued continuous function f (x) on T (a, b) satisfies the condition
(VI.2.10) (f. 0) = 01
problem (BP) has solutions depending on an arbitrary constant.
Proof.
Using the method of variation of parameters, write the general solution y(x) of
the differential equation of (BP) and its derivative y(x) respectively in the following
form:
(VI.2.11)
b
?% (z) = J p_ {
r P(f)ww
+ F' (r)
u P(t)
1v _),
where u(x) is a solution of the linear homogeneous differential equation (VI.2.1)
such that 0 and p are linearly independent, two quantities ca and c2 are arbitrary
constants, and W(x) denotes the Wronskian of {0(x),p(x)}. Note that p(x)W(z)
is independent of x and that
(VI.2.12) p(a)cosap(a)u'(a)sina,40, p(b)cosQp(b)p'(b)sinfl,40.
From (VI.2.10) and (VI.2.11), we derive
b
y(a) = ctm(a) + c2p(a) + 0(a)
Jc P(4)W(E)
r° A,
y'(a) = ca0'(a) + c2 (a) + 0'(a)
a N)
y(b) = ciO(b) + c2p(b), y'(b) = c,O'(b) + c2p'(b)
The condition that y E V(a,b) and (VI.2.12) imply that ca is arbitrary and c2 =
0. 0
3. EIGENVALUE PROBLEMS 153
Remark VI28. The materials of this section are also found in (CL, Chapters 7
and 11] and [Har2, Chapter XI].
These two solutions 6(x, A) and tp(x, A) are analytic in A everywhere in C. Also,
they are linearly independent if and only if
or, equivalently,
+'(a, A) cos a  p(a)0'(a, A) sin a = 0.
154 VI. BOUNDARYVALUE PROBLEMS
z(b) cos  P(b) z'(b) sin,3 = (,u(b) cos$  P(b) (b) sin 0) ° 0(Td # 0.
Ia a P(A)W w
0
operator C[y] = ((x)) + u(x)y and a vector space U(a, b) over the complex
number field C by
where C2(a, b; C) denotes the set of all complexvalued functions which are twice
continuously differentiable on the interval I(a, b) = {x : a < x < b}. Also, define an
inner product (f, g) for two complexvalued continuous functions f and g on 2(a, b)
by
b
(f, 9) = f (09(041
Jn
(f,'CWi) = 1
a
f \p(e) <J + u(C)9(C)] dC
Also, since
in the form
p(x) = (1  p(x)g(x))rsin(O)cos(9)
and
by setting
!
(3) 01(x) (j = 1,2) are solutions of the differential equations
respectively.
Then,
02(x) > 61(x) on I(a,b) if 02(a) > 01(a).
Proof.
Set
9(x)  1 stn2(02)  sin2(0)
(1x,61,62()1p() l
/ l 02 01
1 WS2(02)
h(x,02) _ (92(x)  91(x))Sin2(62) + 1
P2(x) P1 (x)
Then, the function w(x) = 02(x)  01(x) satisfies the differential equation
dw
 A(x,01(x),02(x)) w = h(x,02(x)) > 0.
dx 
Therefore,
w(x)eXP
LJ a
L I
r
w(a) + x h(s,02(s))eXP [ f ds > 0
Ja
on T(a, b). 0
Remark VI39. The proof given above also showed that if pi (x) > p2(x) > 0 on
Z(a, b), then we obtain
(a) 02(x) > 61(x) on I(a,b) if 02(a) > 01(a),
02(x) > 01(x) for a < x < b if 02(a) > 01(a) and g2(x) > g1(x) on a < x < b,
( y) in the case when g2(x) > g1(x) on a < x < b, if 01(a) = 0 and 61(b) = 7r and
if 0<02(a)<rr,then 02(b)>a.
Also, y=rsin(0)>0 if and only if 0<0<r(mod 2rr)and p(x) = 1 > 0 at
0 = 0 (mod jr). Theorem VI11 follows from (y).
Setting 9(x,,\) = u(x)  A, apply Lemma VI38 to problem (EP).
Lemma VI310. Let 0(x, A) be the unique solution to the initialvalue problem
Step 1. To prove (i), apply Lemma VI38 to pi(x) = 12(x) = p(x), 91(x) =
g(x, A1), and 92(x) = g(x, A2). If A2 < A1, then g2(x) > 91(x) on Z(a, b). Hence,
9(x, A2) > 9(x, A1) on a < x < b, since 9(a, A2) = 9(a, Al) = a.
Step 2. To prove (ii), choosing a real number m and a positive number P so that
u(x) > m and p(x) < P on I(a, b), determine 0o(x, A) by the initialvalue problem
Then, since g(x, A) > m A and P > p(x) > 0 for x E I(a, b), oo < A < +oo
and a > 0, it follows from Lemma VI38 that
9(c, A) > 9o(c, A) for a<c<b and  oo < A </+oo.
mA
tan(8o(x,A)) = 0 at (x  a) = na for n=1,2....
P
and that 9o(x, A) is strictly decreasing with respect to A if x > a (cf. Step 1).
Furthermore, since tan(9o(x, m)) = x a, we must have 0 < 9o(x, m) < 2 for
P
a < x. Therefore,
9 mP
()2) = ntr for n = 1, 2, ... .
Hence,
r
9 I x, m 
(.)2) > na for n = 1, 2, ... .
xa
acc
Thus, we conclude that lim 9(c, A) = +oa if c > a.
Step 3. To prove (iii, first notice that 0(c, A) > 0 for oo < A < +oo, since
P(IX)
0(a, A) = a > 0 and = > 0 if 0 = 0. Choose a positive number M so that
2(e)
lu(x) sin2(9) + 1 I <M on I(a, b).
Ax)
si n
Then,
dO < M  A sin2(0) on Z(a, b).
3. EIGENVALUE PROBLEMS 159
For any positive number 6 such that 0 < a < r  6, fix another positive number
A(6) so that
M  A sin2(6) < 
c10a
for 
6<0< r  b and A > A(6).

This implies that dO < 0 if 9 = 6. Hence, 9(x, A) > 6 for a < x < c if 9(c, A) > 6,
whereas9(c,A) <a10<r10<0if 9(x, A)>6fora<x<c. Thisisa
contradiction. Therefore, 0 < 9(c, A) < 6 for A > A(6). Thus, we conclude that
lim 9(c, A) = 0. 0
+00
Now, using Lemma VI310, we prove the following theorem concerning problem
(EP).
Theorem VI311. Assume that u(x) is continuous on the interval I(a.b) = (x:
a < x < b} and that p(x) is continuously differentiable and positive on I(a,b).
Then,
(1) problem (EP) has infinitely many eigenvalues:
AI >A2>...>An >...,
(2) lira An = oo,
n
(3) every eigenfunction Q,,(x) corresponding to the eigenvalue An has exactly n1
zeros on the open interval a < x < b.
Proof.
Assume without any loss of generality that 0 < a < r and 0 < 0 < r. Define
9(x, A) by the initialvalue problem
Then,
d
(VI.3.14) + u(x)y = Ay
ds (P(x)±y)
d.T
that satisfies the condition y(a)cos (a)  p(a)LY(a)sin (a) = 0. Note that from
(VI.3.11), (VI.3.12), and (VI.3.13), it follows that p(x) A) = r(x, A) cos(9)(x, A).
160 VI. BOUNDARYVALUE PROBLEMS
The eigenvalues of (EP) are determined by the condition 0(b,,\) = f3 ( mod sr). Since
8(b, A) is strictly decreasing as A +oo and since 8(b, A) takes all positive values
(cf. Lemma VI310), the eigenvalues A. are determined by
Observe that
(I) ¢(x, A) = 0 if and only if 8(x, A) = 0 (mod a),
8=0(mod
(II) 2 =p(x) >0if a).
This implies that 4(x, A) has exactly k zeros on the open interval a < x < b if and
only if
kar < 0(b,,\) < (k + 1)7r.
Observe also that
(n  1),r < ,3 + (n  I)a < nn.
Hence, the eigenfunction 45(x, has n  I zeros on the open interval
a<x<b. 0
Observation VI312. As shown earlier, if u(x) > m and p(x) < P on Z(a.b),
then
na
P > n'rr for n = 1, 2, ... .
ba
This implies that
/
(VI.3.15) an>m  P( bn,)z
 a
n = 1, 2,....
Observation VI313. If u(x) < p and p(x) > p > 0 on I(a.b), determine 81(x, A)
by the initialvalue problem
Then, since u(x)  A < p  A and p(x) > p > 0 for x E T(a, b), oo < A < +oo,
and a < s, it follows from Lemma VI38 that
0(c,,\) < Oi(c,A) for a<c<b and 00 < A < +oo.
91 (X, (na \2
p xa I = (n + 1)ir for n = 1, 2, ... .
Hence,
P ( nTr )2)
< (n + 1);r for n = 1, 2,...
xa
then Al < Al and A2 < A2. From (VI.3.15) and (VI.3.16) we derive the following
result concerning distribution of eigenvalues of (EP).
Theorem VI314. For n > 3, eigenvalues An satisfy the following estimates:
and
2 2
rr 1 1
P(b a) < IµI + 4PCba) C1
n2 + n2 n n
_An>
if n2 P Wa
where in, p, P and p are real numbers such that
P > p(x) > p > 0 and p > u(x) > m for x E Z(a, b).
162 VI. BOUNDARYVALUE PROBLEMS
Remark VI315. Lemma VI38, Lemma VI10, and Theorem VI311 are also
found in (CL, §§1 and 2 of Chapter 8] and [Hart, Chapter XI].
space V(a, b) over the real number field R in the same way as in §VI2. Also, as
in §VI2, define the inner product (f, g) for two realvalued continuous functions f
b
and g on Z(a, b) _ {x : a < x < b} by (f, g) = It is known that the
J
operator L has the following property:
Let r)1(x),.
*2(x), . , be the eigenfunctions corresponding to Al, A2,...
such that 11,11 = 1 (n = 1, 2, ... ). Theorem VI41 implies that (' h,''m) = 0 if
h # k. From these properties of the eigenfunctions rjn, we obtain
k k
11f
 >(f,vh)T1hII2 = Ilfll2  E(f.rlh)2 > 0
h=1 h=1
and hence
+oo
E(f,7,lh)2
< IIffl2 (the Bessel inequality)
h=1
for any continuous function f on Z(a, b).
In this section, we explain the generalized Fourier expansion of a function f (x)
in terms of the orthonormal sequence {rl (x) : n = 1,2,... }. As a preparation, we
prove the following theorem.
4. EIGENFUNCTION EXPANSIONS 163
Theorem VI42. Let µo not be an eigenvalue of (EP) and let f (x) be a contin
uous function on Z(a, b). Then, the series
(f, 1h)t1h(x)
h=1 Ah  Jb
for any continuous function f(x) on 1(a, b). Since Go[g[f]l = f, we obtain
for any continuous functions f (z) and g(x) on Z(a, b). Also, since Go[rlh1 = c[nh1
Ahr1hUO
A01% = (Ah  l'o)llh, we obtain 9['7h] = . Hence,
(f, rlh)ghI
lz lz
< K (f, '1017h =K (f, ih)2,
h=l, h=11
where K is a positive constant such that J!G(x, ) Il < K on 1(a, b). Finally,
I 12
Theorem VI43. For any continuous function f (x) on Z(a, b), the sum
+00
(h,nh) is equal to 9[f].
Proof
for every continuous function f (x) on Z(a, b). We prove (VIA.1) in four steps.
Without any loss of generality, we assume that Ah  uo < 0 for h > t . Also, note
that
(VI.4.2) (f,9e[9]) = (94f1,9)
for any realvalued continuous functions f and 9 on Z(a, b).
Step 1. It can be shown easily that Gr[>jh] = chrjh, where
for h = 1,2,... ,e,
Ch =
for h > t.
Suppose that 9t[f] 0 and IIfIII = 1, and set g = Gt[f] Then, IIGe[f]II 
IIGt[f]II'
sup I (Gt[w], w)I. This shows that sup 119t[f]II sup I (Gt[f]+f )I Thus, the
IIwIl=1 11!11=1 I1I11=1
proof of (VI.4.3) is completed.
Step 3. In this step, we prove that  sup I (Gt If], f) I is an eigenvalue of Gt. To
IlfI1=1
do this, set c = sup I(Ge[f], f)I. Note first that c > I(Gt[ne+I],ne+i)I = Ice+II >
Ill 11=1
0. Also, note that c = sup (911f], f) or c = inf (Gt[f], f). Suppose that
Iif11=1 [if U=1
c = sup (9t If], f ). Then, there exists a sequence f (j = 1, 2.... ) of continuous
11111=1
functions on T(a, b) such that lim (Gt[ fi], fi) = c and IIf, II = 1(j = 1, 2, . . . )
Since {Gt[ fj] : j = 1,2.... } is bounded and equicontinuous on T(a, b), assume
without any loss of generality that lim Gt[ f)] = g E G(a, b) uniformly on T(a, b).
.+00
Let us look at
II2
(VI4.4) IIGt[fjI  cf, = I1Gt[fj]II2 + c2  2c(Gt[f,], f,) < 2c2  2c(Ge[fjl , fi).
+00 +C0
f= (9+17 h)17h = 1: (GO[J]+nh)nh
h=1 Ah  {b h=1 Ah  110
+00 +00
(1 £ofrlh])r)h
_ ah _ _ >(f, rlh)rlh
h=1 h=1
166 VI. BOUNDARYVALUE PROBLEMS
For every continuous function f on 1(a, b) and a positive number e, there exists
an f, E V(a, b) such that 11f  fe II <_ e. Since
t t t
f  (f, 77h)rh = f 
/
ff + fe  1: (ff,17h)nh + 1: (ff  f, 17077h,
h=1 h=1 h=1
we obtain lim I f 
t.+00
(f , 7nh )T7h = 0. Therefore, f = 0 if (f, Tjh) = 0 for h =
l
h=1
1, 2,.... This proves the following theorem.
Theorem VI45. If a continuous function f on 1(a, b) satisfies the condition
U, 17h) = 0 f o r h = 1, 2, ... , then f is identically equal to zero on the interval
1(a, b).
Furthermore, this, in turn, implies that if f (x) and g(x) are continuous on 1(a, b),
then
h=1
tions. This yields the Fourier sine series >bn sin(nx) of a function f (x), where
n=1
bn =
ao f/ f (x) sin(nx)ds. By virtue of Theorem VI44, this series converges
uniformly to f (x) on 1(0, ir) if f (x) is twice continuously differentiable on 1(0, ir)
and f (0) = 0 and f (a) = 0.
Example VI49. If f (x) is twice continuously differentiable on Z(ir, ir), f (vr) _
f (ir), and f'(1r) = f'(7r), set fe(x) = 2 if (x)+f (x)] and fo(x) [f (x)f (x))
4. EIGENFUNCTION EXPANSIONS 167
Then, fe satisfies the conditions of Example VI47, while fo(x) satisfies the condi
tions of Example VI48. Thus, we obtain the Fourier series
cc
ao + [an cos(nx) + bn sin(nx)],
n=1
r
where an = * f (x) oos(nx)ds and bn = ! J f (x) sin(nx)ds. The Fourier
7r J
series converges uniformly to f (x) on Z(7r, 7r).
Remark VI410. The Fourier series of Example VI49 can be constructed also
from the eigenvalue problem L2 = Ay, y(7r) = y(7r), y'(7r) = y'(ir). Including
this eigenvalue problem, more general cases are systematically explained in [CL,
Chapters 7 and 11]. For the uniform convergence of the Fourier series, it is not
necessary to assume that f (x) be twice continuously differentiable. For example,
it suffices to assume that f (x) is continuous and f'(x) is piecewise continuous on
1(7r, 7r), and f (7r) = f(7r). For those informations, see [Z].
Remark VI411. The results in §§V12, VI3, and VI4 can be extended to the
case when p(x) is continuous on 1(a, b), p(x) > 0 on a < x < b, and p(a)p(b) =
0 under some suitable assumptions and with some suitable boundary conditions.
Although we do not go into these cases in this book, the following example illustrates
such a case.
Example VI412. Let us consider the boundaryvalue problem
d f_dy . _
(VI.4.5)
y(x) is bounded in a neighborhood of x = 0, and y(l) = 0,
where u(x) and f (x) are realvalued and continuous on the interval 1(0, 1).
Step 1. Consider the linear homogeneous equation
(X2idv)
(VI.4.6) + u(x)v = 0
d
on the interval 1(0,1). Since 1 and logs form a fundamental set of solutions of
the differential equation ± (xdx = 0, a general solution of (VI.4.6) can be
constructed by solving the intergral)equation
where W(x) is the Wronskian of 10,p) and xW(x) = 0(1). Then, G(x,t) is
Green's function of problem (VI.4.5). The unique solution of (VI.4.5) is given
i
by y(x) = 1
positive number M is sufficiently large, the solution y = e'(= for x < M becomes
a linear combination a(()e't=+b(()e't= of two solutions aK= and eK' for x > M.
The main problems are (i) the properties of a(() and b(() as functions of ( and (ii)
construction of u(x) for given data {a((), b(()). Keeping this introduction in mind,
let us consider a differential operator
(VI.5.1) G =  D2 + u(x),
where D = and u(x) is realvalued and belongs to C°°(oo, +oo) such that
aj +o°
(VI.5.2) (1 + jxj)lu(x)jdx < +oc.
J
We study the differential equation
(VI.5.3) Gy = (2y,
where (is a complex parameter. First, we construct two basic solutions which are
called the Jost solutions of (VI.5.3).
Theorem VI51. There exist two solutions f+(x, () and f_ (x, () of (VI.5.S) such
that
(i) ft are continuous for
(VI.5.4) oc < x < +oo, 0,
(ii) ft are analytic in ( for £ (() > 0,
(iii)
e:
°
jf+(x, ()  e'`=I <_ C(x)P(x) 1 + 1(I
eK=I e"x
f (x, ()  < C(x)P(x)1 +
I(1
for (VI.5.4),, where q = Q3'((). C(x) is nonnegative and nonincmasing,
t00
P(x) = I (1 + IrI)Iu(r)Idr, and O(x) = (1 + Irj)ju(r)jdr.
J o0
Proof.
Step 1. Construction of f+: Solve the integral equation
sin(((s  r)) u(r)y(r,
y(x, () = e"z ()dr
by setting
yo(x,() = eK=,
+00 sin(((( r)) u(r)ym(r,
ym+1(x, () ()dr (m > 0),
x
and
00
f+(x, () = E Ym(x, ()
mo
170 VI. BOUNDARYVALUE PROBLEMS
Step 2. Proof of (i) and (ii): To prove (i) and (ii), it suffices to prove that if
then
for (V1.5.4).
Inequality (VI.5.6) is true for m = 0. Assume that (VI.5.6) is true for an m;
then,
r+ Isin(((x  r)) I
Iym+i(x,C)J < mi
Z
Note that
sin(((x  r)) a zr
2i(
(1  e2i(z7)() = eft(Zr)
1 e2it=dz.
Hence,
sln(((x  r)) I
< eq(zT)(r  x) for r1 > 0.
C
Therefore,
+00
I ym+1(x,C)I <
(C(x)menx
f (r  x)tu(r)IP(r)mdr.
z
Since
j +00
(T  x)Iu(T)IP(r)mdr < C(x)f.
+00 (1
C(x)P(x)m+
+ I rI )I u(r)I p(r)mdr
m+1
we obtain
(C(x)P(x))m+ienZ
+00
= ( +
J
< 2Ixl1 I u(r){P(r)mdr + 2fz TI u(r)I P(T)mdT
Jz z z z
for x < 0.
5. JOST SOLUTIONS 171
'o I
I f+(x, 0 I < E n,, (O(x)v(x))me''z
l
m=1
(VI.5.7) 00
< C(x)p(x) e"z
I i (C(x)p(x))m1 I
m=1
follows from (VI.5.6). However, this estimate is not enough to prove (iii). So, let
us derive another estimate for large I(I. To do this, we shall prove that
or(x) = fx
" iu(r)jdr.
Inequality (VI.5.8) is true for m = 0. Assume that (VI.5.8) is true for an m. Then,
+ao
Iym+1(x, ()1  M! I(I 1 Jz
I sin(((x  r))IIu(r)I e"'a(r)mdT.
Note that
Hence,
+00 1 m+1
1 e'7= a'
Iym+1(x,()I m! iu(r)io(r)mdr = (m+ 1)! (!!(X) .
KIm+1I
J. 1(i}
This establishes (VI.5.8). Therefore,
v(x)
(VI.5.9) If+(x, ()  ei(zl < = ))M,l
(i
1
M! OWC1 I eqz.
The proof of Theorem VI51 for f+ (x, () can be completed by using (VI.5.7) and
(VI.5.9).
For f(x,(), change x by x to derive
This implies that I f+, f+} is linearly independent if 36 0. This, in turn, implies
that the solution f_ is a linear combination of I f+, 1+}. Set
(VI.6.1) f(x,() = a(()f+(x,() + b(f)f+(x,()
It is easy to see that
i i f+(x+ f(x,()
(VI.6.2) a(() =
and
(VI.6.3) b(() = Wif+,fj = I f+(x,() f .(x,()
I.
(VI.6.6) a(iry) = 0.
This implies that all zeros of a(() for 3(() > 0 are purely imaginary.
Under Assumption VI61, ft(x, () are analytic for 9'(() >  2. Hence, a(()
has only a finite number of zeros for 3(() > 0 (cf. (VI.6.4)). Let S = irlj 0 =
1, 2, ... , N) be the zeros of a(() for (() > 0. Then, f+(x, ir73) are realvalued and
f+(x, ins) E L2(oo, +oo). Set
imply that
d d
d w(f+(, f1 = 2f+f and W(f+, fcl = 2f+f_
Since a(() = 0, there exists a constant d(() such that f_(x,() = d(()f+(x,C).
Therefore,
W(f+t, f) =
2S+00
Thus, we obtain
+oo +oo f+dr = id(()
da(()
i f+fdr = id(()f # 0.
d( 00 oo Ci
Observation VI63. The quantities a(() and b({) satisfy the following relation:
Proof.
From f_(x, {), it follows that
for %() > 0 shows that the quantities q, and r({) determine a(().
Proof
loBja(()f2 = log(Ta(f)22/
Definition V165. The set {r((), (n,,n2,... ,nN), (cl,c2,... ,CN)} is called the
scattering data associated with the potential u(x).
Observation VI72. Set gJ (x) = e" cj f+(x, iii ). Then, from the fact that
e_,<=
f+(x, ()  I as I(I  +oo, it follows that
Observation VI73. If we set F(x,() = e't= f+(x, (), then F"  2i(F'+uF =
'` 91 +(x) , it follows that
0. Since F(x, ) = 1  i1
N
(VI.7.3) u(x) = 2E gj,(x).
.7_1
Observation VI74. Let us solve (VI.7.2) for the g,(x). First, set
hi = gie'''= (j = 1,2,... ,N).
Then, (VI.7.2) becomes
c
(VI.7.4) ht + h = cte''i: (t
J=1 rJt + I?j
Write the coefficient matrix of (VI.7.4) in the form IN + C(x), where IN is the
N x N identity matrix. Since
N +op N 2
E 717t = E 7 en,,= dx
)t°1 'b + 171 L i p
and 77, (j = 1, 2,... , N) are distinct, the matrix IN + C(x) is invertible for oo <
x < +oo. Set L(x) = det(IN + C(x)). Then, manipulating with Cramer's rule, we
dL
can write g, (j = 1, 2,... , N) and in the following forms:
da
and
N
dL(x)
(VI.7.6)
dx
J=1
This implies that u(x) is a rational function of exponential functions and satisfies
Assumption VI61 of §VI6. To see this, the following remarks are also useful:
(a) we have the identity
N N
gg(x) 2 ?1 e2n'x9s(x)2,
j=1 j=1 i
from (VI.7.2). Multiplying both sides by ge, adding them up over f, and interchang
ing the orders of summation, we obtain (a). To show (b), calculate the inverse of
the coefficient matrix of (VI.7.2). Using Cramer's rule on (VI.7.4), it can be shown
that he(x) , 0 exponentially as x + oo. Also, (b) implies that e2°,, xg,(x)2 is expo
nentially small as x oo. Therefore, (a) implies that u(x) satisfies Assumption
VI6.1.
e2+
gz 1
Example VI75. In the case N = 1, if we determine g(x) by g(x) _
g /
1, then u(x) = 2g'(x). Since g(x) = c' we obtain u(x) =  e2'rzg(x)2.
C
Qx 2c e+7x +
Also, FF17enx g(x) = 1 implies that g(x) = 2 en=
(211
In
xsech(11(x + p)), where p = `c , and, hence,
211
by calculating (VI.7.7).
178 VI. BOUNDARYVALUE PROBLEMS
and, hence,
N N
Eata(x)9j'(x) + 27t 11  1 g, (x) =0 (t = 1,2,... ,N).
1=1 i=1 7e+7)
8. CONSTRUCTION OF A POTENTIAL FOR A GIVEN DATA 179
N N
E ajj(x){g,(x) + 2gegj(x)}  237tE g, (x) = 0
j=1 j=1 ge +T7j
(e = 1, 2, ... , N)
or
N N N
g,
Eatj(x){gf(x) + 2gtgj(x)}  2>9,(x)+ 2E 711+17., 92(x) = 0
3=1 j=1 j=1
(e = 1, 2, ... , N).
N 2o[s
E ata (x){gj"(x) + 2r7eg, (x) } + 2ge (9e(x) + 2gtgt(x))  u(x)
,=1
N
+ 2E gj 9'(x) = 0 (e = 1,2,... N)
3=1 ge+g,
or
N N
Eat,j(x){g,"(x) + 217eg,(x))  Eaea(x)u(x)9J(x)
,=1 f=1
N e2nas
+ aea(x)2%g,'(x) + 2171 C27jt
ct ) = 0 (e = 1,2,N).
... ,9e(x)
,=1
Thus, we derive
N
F'ae,,(x){9,(x) + 217,g,(x)  u(x)g,(x)}
j=1
N
2171 E atj (x)9, (x) + 217t ct 91(x) =0 (t = 1, 2, ... , N),
,=1
N
F'at,1(x){9;'(x) + 2s7,g,,(x)  u(x)g,(x)} = 0 (e= 1,2,... ,N).
,=1
iJ=1
i N
g1'
g;,
( ,=1
+ 2i(g  ttgJ
+i
+ 2rligl'  ugJ = 0.
 2
N
9J
E
j=1
(+ tnJ
Observation VI83. Since
N x
g., (x) en,"
f+(x,it7t) = efez 1 
711+17.;
_ gt(x)
ct
E L2(oo,+oo),
J=1
N numbers 1l,2 (j = 1, 2,... , N) are eigenvalues.
N
Observation VI84. Set a (cf. (VI.6.9) with r 0) and
J=1
N
g3 (x)
f(x,() = a(()f+(x, () =
a(S)eCz
1 + iE J=1(ig,
E gJ (oo) = 1 (e = 1, 2, ... , N)
J=1171+17J
(cf. (VI.7.2)), we obtain
j=1(+nJ
In fact, this follows from the fact that both sides of (VI.8.4) are rational functions
in ( with the same zeros, the same poles, and the same limits as ( , oo.
Observation VI85. The functions f±(.x, () are the Jost solutions of Ly = (2y.
Proof.
Note first that lim f+(x. ()e't= = 1 (cf. (VI.7.1)). Also, we have
s+oo
Observation VI86. Note that f_ (x, ) = a(() f+(x, {) = f+(x, ) for ( =
C real. This means that 0. Hence, r(C) = 0. Thus, we conclude that u(x) is
reflectionless.
Remark VI87. For the general r((), the potential u(x) can be constructed by
solving the integral equation of Gel'fandLevitan:
+00
K(x, r) + F(x + r) + + F(x + r + s)K(x, s)ds = 0,
0
where
F(x) = 1R J +oo
2cL` cle2n,=
J=1
(x,0).
u(x) 8x
If we set r({) = 0 in this integral equation, we can derive (VI.7.2) and (VI.7.3).
Details are left to the reader as exercises (cf. (Ge1LJ ).
Furthermore,
N
f+(x, () = e`= 1  g1 (r)
( + trj7
is also a solution of
dX2
 (u(x)  A)y = 0, where J = (2.
Therefore,
N
(VI.9.1) P(x, A) = 11 ! 1+11 f+(T,C)f+(x, ()
3=1
A
)
satisfies the differential equation
3
ddx
(E)
2 dz3
+ 2(u(x)  A) dP + )P = 0.
182 VI. BOUNDARYVALUE PROBLEMS
Let
+oo
(S) P = E an (PO 3 0)
n=0
be a formal solution in powers of A1 of differential equation (E). Then,
and, hence,
A(P2)' = I  PZ it + (4)2 + u(x)P2 }, .
Therefore,
(i) the coefficients pn can be determined successively by
and
G(u, A) = f+(x, C)f+(x, where A=C2.
Hence, ao = 1 and
N +
1 + EN =
2
3=1 1 =1
(VI.10.1) 2 + (A  u(x))y = 0
under the assumption that
(I) u(x) is continuous for co < x < +oo,
(II) u(x) is periodic of period 1, i.e., u(x + e) = u(x) for oo < x < +oo.
The period a is a positive number and A is a real parameter. Denote by 01(x, A)
and 02(x, A) the two linearly independent solutions of (VI.10.1) such that
1(o
(VI.10.2) 01(0,A) = 1, A) = 0, 02 (0, A) = 0, d2(0,A) = 1.
Set
01(e, A) 02(t, A)
.D(A)
= O1 (t"\) (e A)
The two eigenvalues Z1(A) and Z2 (A) of the matrix are the multipliers of the
periodic system
d
(VI.10.3)
dx [Y2J = [u(OA 0, [y21
184 VI. BOUNDARYVALUE PROBLEMS
(cf. Definition IV45). It is easy to show that det [1(A)] = 1 for oo < A <
+oo. Hence, the two multipliers Z1(A) and Z2(A) are determined by the equation
Z2  f (,\)Z + 1 = 0, where
2(t,A)
(VI.10.4) f(A) =
Note that f (A) is continuous for oo < A < oo (cf. Theorem 1112). We derive
first the following conclusion.
Lemma VI101. The two multipliers Z1(A) and Z2(A) of system (VI.10.3) are
f(,\) + f (A)2  4, ,
2l
2 l f (A)  f (A)2  4, ,
I Zt (A) I
=1 and I Z2(A) 1 = 1,
(iii) if f (A) = 2, then Z1(A) = Z2(A) = 1.
(iv) if f(A) _ 2, then Z1(A) = Z2(A) = 1.
ICCl2
Observation VI102. If f (A) = 2, let be an eigenvector of 4;(A) associated
J
with the eigenvalue 1. This means that cl and c2 are two real numbers not both
zero and that
>2 if n is even,
f (µ") { < 2 if n is odd
(cf. (VI.10.7)). Here, use was made of the fact that jaj+ 1a1,
ifa76 0.
Observation VI105. If
(VI.10.8) A < min{u(x) : oo < x < +oo},
then f (A) > 2. In fact, dX21 (x, A) = (u(x)  A)01 (x, A) > 0 as long as 01(x, A) > 0
dol
and, hence, (x, A) > 0. Thus, we obtain s1(£, A) > 1. Similarly, 2 (P, A) > 1
if (VI.10.8) is satisfied. In this way, a rough picture of the graph of the function
f (A) is obtained (cf. Figure 1).
At A2 44
3 A3= f=2
T
3
I l4
F
W lA
Ul U2 U3=N3U4 f= 2
u5 U6
FIGURE 1.
Actually, we can prove the following theorem.
186 VI. BOUNDARYVALUE PROBLEMS
Theorem VI106. Assuming that u(x) is continuous and periodic of period t > 0
on the entire real line R, consider three boundaryvalue problems:
i
w(0, A) = (0, )L),
d2w
+ (A  u(x)) w + O(x, A) = 0,
dx2
i (0,,\) =
TA_ ( dx
(cf. §lI2). Therefore, using the variation of parameters method, we obtain
(VI.10.11) _
1(x, A) _ (x, A) fT 01(t, A)02(t, A)dt ¢2(x, A)
f01(t"\)2dt'
d z (x,,\)
= 01(x"\) 102(t, A)2dt  02(X,,\) f 01(t, A) 02(t, A)dt
10. PERIODIC POTENTIALS 187
and, hence,
df
Therefore,
dA
= rr Q(01 (t, A), ¢2(t, A))dt follows from (VI. 10.4), where
0
Note that
Thus, Q(01 (X, A), ¢2(x, A)) does not change sign for 0 < x < e if If (A)f < 2. It
follows that
df(A)
<0 if A < pl and f(,\)2 = 4,
d,\
(1)1 d('\) < 0 if pl < A < pi+1 and f(A)2 = 4.
To prove this, notice that Q is a perfect square if f(,\)2 = 4 and that 02(1,.\) # 0
if A 0 pj for every j. Hence, dA\) ¢2(e, A) < 0. Also, using Lemma VI311 (with
A instead of A), we obtain
dzf
(a)
J< 0 if f (a) = 2 and d(\) = 0,
dal df(A)
>0 if f (A) _ 2 and
d,\
= 0.
71K (A)
=± f 0
t
[c101(t, A) + c202(t, \)12 dt = 0,
where cl and c2 are some real numbers. Therefore, cl = 0 and c2 = 0, since 01 and
02 are linearly independent. This means that
d (e, a) =
I
z
{e, ) = j42(s,A)2ds,
d t
0i (s, A)2 ds,
0
d2f
2 (A) = ft f t [Ol (t, A)02(s, A)  41(s, A)4 2(t, A)J2dtds > 0
if f (A) = 2 and df (A) = 0. Note that, if A2,,1 = A2,,, it follows from (VI. 10.2),
(IV), and (V) that 01(x, A) and 02(x, A) are two linearly independent solutions for
problem (B). Similarly, if w2r_1 = v2,,, it follows from (VI.10.2), (IV), and (V) that
01(x, A) and 62(x, A) are two linearly independent solutions for problem (C). Thus,
(3) and (4) are verified.
Step 5. The functions (respectively yn(x)) have an even (respectively odd)
number of zeros on the interval 0 < x < 1, since /3, (0) = Qn(1) and 7n(0) Yn(1)
As can be seen in Figure 1,
Therefore, by virtue of Theorems VI311 and VI11, we conclude that fit, 1 and
per have more than 2n  1, and less than 2n + 2, zeros on the interval 0 < x < 1.
Hence, they have exactly 2n zeros there. Similarly, since
and t2n have exactly 2n  I zeros on the interval 0 < x < e. The function
,8a does not have any zero on the interval 0 < x < t since Ao < 111. Thus, (5), (6),
and (7) are verified. Finally, (2) follows from (VI.10.9), (VI), and (VII).
Definition VI107.
(I) The set {A f(A)2 < 4} is called the stability region of the differential
:
equation (VI.10.1).
(11) The set {A : f(A)2 > 4} is called the instability region of the differential
equation (6210.1).
and
( sin(v1_T_ax)
if A>a,
Aa
02(x, A) = x if A =a,
sinh(x) if A < a.
Therefore,
Thus, we conclude that in this case, f (A)2 4 has only one simple zero a (cf. Figure
2).
FicURE 2.
The materials in this section are also found in [CL, Chapter 8j.
EXERCISES VI
day
(E)
&2
 u(x)y = 0
has at most a finite number of zeros on Z0,
(2) the differential equation (E) has a nontrivial solution 1)(x) such that
hm q(x) = 0.
Hint.
(1) Note that if y(xo) > 0, then y"(xo) > 0. Hence, y(x) > 0 for x > x0 if
1/(xo) > 0.
(2) It is sufficient to find a solution 0(x) such that 0(x) > 0 and 0'(x) < 0 for
x>xo.
EXERCISES VI 191
d2y
+ u(x)y = Ay, y(a) = 0, y '(b) = 0,
where u(x) is realvalued and continuous on the interval a < x < b. Show that
there exists a positive number K such that
2
n + ir
K for n = 1, 2, 3, ... .
n2 ba n
VI4. Assuming that u(x) is realvalued and continuous on the interval 0 < x <
+oo and that lim u(x) = +oo, consider the eigenvalueproblem
r+oo
+oo
(f,C(f)) = j>n(f,17n)2
n=1
b
(iv) nx)dx = 0 if n 96 m.
J0
VI9. Show that the Legendre polynomials
2"n1 d"
Pn(x) !dx"((x2  1)'J (n = 0,1,2,...)
=
(ii) 1 Pn(x)Pm(x)dx = 0 if n 0 m,
J
(iii) j P n (x)2dx = 1 (n = 0,1, 2, ... ),
n z
(vi) if f (x) is realvalued and continuous on the interval jxj < 1, then
2
1 N
lim f
N+oo 1
f (x)  E (n+ Z) (f, PP)Pn(x)) dx = 0,
n=O
f (x)PP(x)dx,
jxj < 1 if f, f', and f" are continuous on the interval jxj < 1.
Hint. See Exercise V13. Also, note that if f (x) is continuous on the interval
jxj < 1, then f (x) can be approximated on this interval uniformly by a polynomial
in x. To prove (vii), construct the Green function G(x,t) for the boundaryvalue
problem
((I x2)d/ +aoy=f(W),
y(x) is bounded in the neighborhood of x = ±1,
1 1
where ao is not a nonnegative integer. Show that f f G(x, )2dx< < +oo.
J! 1J 1
Then, we can use a method similar to that of §VI4.
VI10. Assume that (1) p(x) and p'(x) are continuous on an interval Zo(a,b) _
{x : a < x < b}, (2) p(x) > 0 on Zo, and (3) u(x, A) is a realvalued and continuous
function of (x, A) on the region Zo x ll = {(x, A) : x E Zo, A E It} such that
lim u(x, A) = boo uniformly for x E Zo. Assume also that u(x, A) is strictly
Atoo
decreasing in A E R for each fixed x on I. Denote by O(x, A) the unique solution
of the intialvalue problem
Show that there exists a sequence {pn : n = 0, 1, 2, ... } of real numbers such that
(i) pn < 1An1 (n = 1, 2, ... ), and lim pn = oo,
n .+oo
(ii) 4(b, pn) = 0 (n = 0,1, 2, ... ),
(iii) ¢(x, .\) 0 on a < x < b for A > po, and q(x, A) (n > 1) has n simple zeros
,
on a<x<bforpn<\<,un1,
(iv) strictly decreases from +oo to oo as A decreases from pn_1
to An
VI11. Assume that p(x) and u(x) are realvalued and continuous on the interval
1(0,1) = {x : 0 < x < 1} and that p(x) is also continuous on 7(0,1), p(x) > 0
for 0 < x < 1, p(0) = 0, and p'(0) < 0. Show that the differential equation
194 VI. BOUNDARYVALUE PROBLEMS
dx
(px ) d
dx)
+u(x)y = 0 has a fundamental set {0, ii} of solutions on the interval
0 < x < 1 such that
(i) slim 4(x) = 1 and Zli o p(x)O'(x) = 0,
for 0<x<
for 2<x 1.
Denote by 01(x, A) and 42(x, A) the two unique solutions of the differential equation
y
+ (A  u(x))y = 0 satisfying the initial conditions 4i(0, A) = 1, X1(0, A) = 0,
VI13. For the scattering data {r({) = 0, (1,2,3), (1,1,1)}, find the potential u(x)
and the Jost solutions ft(x,().
VI14. Calculate the scattering data for each of u(x + 1) and u(x), assuming
that {r({), (271, ... ,T)N), (cl, ... , cN)} are the scattering data for u(x) and that
u(x) satisfies a condition Eu(x)I < Aek1=I for some positive numbers A and k.
Hint. Let f f(x, () be the Jost solutions for u(x). Two quantities a(() and
are given by
a(S) = and 1
The Jost solutions for u(x) are ff(x, (). Hence, the scattering data for u(x)
are
b(l)'
a(C)
(171,...,17N)I
(
1
cia<(iv71)2
,..., 1 l}
CNa<(LT,N)21 J
Note that
f(x,iil3) = i a<(iul,)f+(x,iu,)
EXERCISES VI 195
VI15. Let u(x) be realvalued, continuous, and periodic of period t > 0. Also,
for every real , let O(x, {, A) be the solution of the differential equation
(Eq) 2 + (A  u(x))y = 0
Am(t)  A
( + [', , A) = Q +00 2
m=1
e
Hint.
Step 1. Let us construct O(x, , A) for negative A. To do this, change (Eq) to the
integral equation
sinh(p(x  )) + 1 r sinh(µ(x 
p p f
ev(xE)+G(x, such{µ x f )) + O( A 1
, A) = eal=E)
lim t'(4+f,.,A) = 1.
(sinh(e))
R(A) = t
_,
m=1 \1
196 VI. BOUNDARYVALUE PROBLEMS
mr
where Cm =
t
Step 3. If the function V)((+1, 1, A) is entire in .\ and ''(+t, 1,,\) = O(exp(1 JaJ))
as A + oo, we can write 1'(( + 1, t,,\) in the following form:
lp(f + t, (, a) = c
[i(A]
where c is independent of A. Here, we used the fact that cn,J is bounded
as m +oc (cf. Theorem VI314).
Step 4. Note that
_((+t,t,X)  'c' + [0W
_ a
(1)
R(A) ( )H cam,  A ]
c a cm A
This implies the uniform convergence of the infinite product on the righthand side
Z'((+ 1, t, _ = 1 = c
of (1) for oo < A < 0. Thus, lim
a.OO R(a) l
Remark. For expressions of analytic functions in infinite products, see, for exam
ple, (Pa, pp. 4905041.
VI16. The functions are defined in §VI9. Calculate G4(u) and G5(u).
I
VI17. Use the same notations as in Theorem VI106. Show that if J u(t)dt = 0,
0
ft
then Ao < 0. Also show that if / u(t)dt = 0 and = 0, then u(x) = 0 identically
Jo
onoc<x<+00.
Hint. Since j3o(z) # 0 on oc < x < +oo, set w(z) = !Lx). Then, w'(x) +
w(x)Z + A  u(x) = 0 (cf. 1A'IW, Theorem 4.4, p. 621).
V118. Set F(() = log f (() for `a( > 0, ( # 0, where
(i) f (() is continuous for QJ( > 0, ( 0,
(ii) f (() is analytic for `£( > 0,
(iii) ((f (()  1) is bounded for !a( > 0,
(iv) f (() # 0 for !'( > 0, (0 0.
Denote by SR the semicircle {(: 1(I = R,0 < arg(< r) which is oriented counter
clockwise, where R is a positive number. Show that
1 1 F(z) dz = f F(() (`1( > 0,1(1 < R),
(a) 2ri IR 2Ri 0 (`'(<0,1(1<R),
ASYMPTOTIC BEHAVIOR OF
SOLUTIONS OF LINEAR SYSTEMS
Definition VII11. Let f (t) be a C"valued function whose entries are continu
ous on an interval Z = {t : to < t < +oo}. Let us denote by A the set of all real
197
198 VII. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS
Example VII12.
J+ (0) = 00, A (exp[t2j) _ 00, A (tm) = 0 (for all constants m),
{ A (exp[ort]) = a, A (exp[t2j) _ +00.
Proof.
Since there exists a positive constant K such that I f (s)I < Keia(f)+`i' for e > 0
and large values of s, it follows that
Hence,
log If(3)1
< a(f)
lim sup
t+m s
It<5<+m
Also, for a fixed positive number a and any positive integer in, there exists a large
log m +
value of sm such that If (sm)1 and lim sm = +oo. Hence,
sm
log If(s)
lim sup
t+oo<a<+ao s
I
> (f )
dy
(VII.2.1) = A(t)9
dt
under the assumption that the entries of the n x n matrix A(t) are continuous and
bounded on an interval T = It : to < t < +oc}. Let us start with the following
fundamental result.
Theorem VII21. If y" = fi(t) is a nontrivial solution of system (VII. 2. 1) and if
f A(t)e < K on the interval I = It : to < t < +oo} for some nonnegative number
K, then
(VII.2.2)
Proof.
Let the n x n invertible matrix 4P(t) be the unique solution of the initialvalue
dY
problem 7 = A(t)Y, Y(to) = In, where In is the n x n identity matrix. Then,
200 VII. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS
dZ
4i(t)1 is the unique solution of the initialvalue problem = ZA(t), Z(to) _
dt
I (cf. Lemma IV24). Since 1, we obtain
1 + KJ I4(t)Idt,
to
1 +K/ I t
,I dt
for t r T.
Therefore,
)4i(t)I < exp[K(t  to)) and I < exp[K(t  to)] for t E T
(cf. Lemma 115). Observe that fi(t) = 4D(t)j(to) and b(to) From
the definition of the norm of a matrix, it follows that
exp[K(t  to)] < 1 (t)I < 1 (to)j exp[K(t  to)] for t E Z.
The structure of solutions of (VI1.2.1) according with their type numbers is given
in the following result.
Theorem VII25. Let {(1, ¢2r ... , iin} be a fundamental set of n linearly in
dependent solutions of system (VII.2.1). Then, the following four conditions are
mutually equivalent:
(1) for every j, the total number of those 4t such that A (y5t) = A, is h, (cf.
(VII. 2.5)),
(2) for every j, the subset {¢t : A (Qt) < A, } is a basis for V,,
Proof.
Assume that (1) is satisfied. Then, the total number of those ¢t such that
m
A (3t) < A, is Fht = ryr = dims Vj. Hence, (2) is also satisfied. Conversely,
t=j
assume that (2) is satisfied. Then, the total number of those t such that A (fit) <
Aj is equal to dime V) = ,. Hence, (1) is also satisfied (cf. (VII.2.5)).
clot = tt
202 VII. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS
with a matrix A(t) whose entries are continuous and periodic of a positive period c..'
on the entire real line R, Liapounoff's type numbers )k1, A2, ... , Am at t = +oo and
their respective multiplicities h1, h2, ... , hm are determined in the following way:
There exists an n x n matrix P(t) such that
(i) the entries of P(t) are continuous and periodic of period w,
(ii) P(t) is invertible for all t E R.
3. CALCULATION OF LIAPOUNOFF'S TYPE NUMBERS 203
(VII.2.7)
where µl, ... , Pk are distinct eigenvalues of A whose respective multiplicities are
m1, ... , mk, is the mj x mj identity matrix, and M1 is an mj x m, nilpotent
matrix (cf. (IV.1.10)).
Consider a system of the form
Assumption 1.
(i) For each j, the matrix A. has the form
Proof.
We prove this theorem in eight steps.
Step 1. Differentiating both sides of (VII.3.3), we obtain
m
(VII.3.5) = A) % + E Tj tat
t0r t=1#t
Bjt t + Tt V
Aj 4' Bjj +
h*
BjhThj i, +
t AjTjt + Bjt +
hit
BjhTht zt,
3. CALCULATION OF LIAPOUNOFF'S TYPE NUMBERS 205
2, = F BjnTnv zv
e=1 Vol v=1 h#v
t#, h#t
F t = B» + B)hTh) M)
h#j
Define the Tit by the following system of differential equations:
(VII.3.6) T (.l r e)
dtt h#t
Then,
where j t and
Wjt(r,s,T)
(VII.3.8)
= exp [(A,  At)r] exp[rEj j exp[rNj[UJt(s, T) exp[rEtj exp[rN,].
On the righthand side of (VII.3.7'), choose the initial points rat in the following
way
(VII.3.9) ra t
Step 3. Let us prove the following lemma.
( +00
j`
to
if Aj > At
if A < A 1t..,. (i.e., j < t),
(ie j > t)
Lemma VII32. Let a be a positive number and let f (t, s) be continuous in (t, s)
on the region Z x Z, where Z = {t : to < t < +oo}. Then,
(VII.3.10)
III ft"
t exp[a(t  s)] f (t, s)dsl <  max l f (t, s)to
s<t y
J
for each fixed t E T. Also, if I f (t, s)' is bounded for to < t < s < +oo, then
(VII.3.11) rt
J+00
exp[a(t  s)j f (t, s)dsl <_ 1 sup { I f (t, $)I : to < t < s < +oo}
a
I
exp[a(t  s)]ds =  1a . O
+oo
Step 4. Let us estimate s, T) fort < s < +oo if A j > at, and for to < s < t
if A_, < at. If A, > At, r < 0, and s > t, it follows that
Irlm'+mi2)
i1',t(r,s,T)I < Ko(l + exp 12(A,  A,) 71 IVit(s,T)I
for some positive number 1Co. It can be shown `easily that there exist a positive
number X and a nonnegative valued function p(t) such that
I + Ir1m'*m`_2 exp [(A1  At)r < X, ] for r < 0,
B, (s) Q(t) for t < s < +oo and all pairs (p, q),
t+00
lim p(t) = 0.
Hence, if Aj > At, r < 0, and s > t, we obtain IW,t(r,a,T)I < /C2,3(t) {1 + ITI2}
for some positive number 1C2, where ITI = maxIT,t[. Similarly, the estimate
t#j
I Wjt(r, s, T) I < 1C219(to) { 1 + ITI2) is obtained by choosing a positive number 1C2
sufficiently large, if A., < at, r > 0, and to < s < t.
3. CALCULATION OF LIAPOUNOFF'S TYPE NUMBERS 207
IWj1(T,s,T)
 Wj1(r,s,T)I
K3$(t) {1 +ITI + ITI} IT  TI if A, > A1, T < 0, s > t,
TP1t;)t(t) =
f [ exp
i..
[(A,  A,)(t  s)j 9,1(t  s, s, Tp(s))ds,
where j 54 a and p = 1, 2, .... Suppose that
Step 8. In this final step, we prove that the bounded solution Tjt of (VII.3.7)
satisfies condition (2) of Theorem VII31. It easily follows from Steps 6 and 4 that
1
if > X1.
For (j, f) such that ), < at, write the righthand side of (VII.3.7') in the following
form:
t s)] IV1t(t  s, s,T(s))ds
Jto exp 12 (A
Q 11
< exp L2 (.1j  '\t)(t  a)] 12 (a)  at)(a  s)J 14 t(t  s, s, T(s))ds
I 1'. a exp `
2KO(t°)
< {l + C2} exp 1(aI  AE)(t  a) J ,
At  A) 1:5
jexp
t 1(A3  a)(t  s)]  s, s, T(s))dso
2K1\1 211
< C2} {(to)exP {(A,  At)(t  )1 +
J
Lemma VII33. If N is a nilpotent matrix, then for any positive number e such
that 0 < e < 1, there exists an invertible matrix P(e) such that
P(e)INP(e)I < Xe
for some positive number IC independent of e.
Proof.
Assume without any loss of generality that N is in an uppertriangular form with
zeros on the main diagonal (cf. Lemma IV18). Set A(e) = diag[1, e, ... , e"1].
Then, A(e)'NA(e) = [ ekJz,k ] (a shearing transformation). Hence, as 0 < e <
1 and j < k, we obtain IA(e)1NA(e)I < e(N(. 0
Let us find Liapounoff's type numbers of system (VII.3.4), i.e.,
dzj
a. = IA + B,,(t) + z, (7 = 1,2,... ,m).
h*j
dy log 10(t)I
then, for every nontrivial solution ¢(t) of the system = B(t)y, lim
dt t+oo t
p exists and p is the real part of an eigenvalue of the matrix A.
Remark VII38. The conclusion of Theorem VII31 still holds even if condition
(iv) of Assumption 1 of this section is replaced by IB)k(t)j < f (t) (j, k = 1, 2,... , m)
on the interval Zo, where f (t) satisfies
rP
(VII.3.14) sup(1 +p t)1 J f(s)ds  0 as t +oo.
p>t t
To see this, let us assume that a positivevalued function f (t) satisfies condition
tP
(VII.3.14). Set h(t) = sup ((1 + p  t)1 ( f (s)ds) for a fixed positive number
p>t \\ ft
t. Also, set E(t) = suph(r). Then, lim E(t) = 0, and E(t2) < E(t1) if t1 < t2.
r> t t+oo
Now, it is sufficient to prove the following lemma.
Lemma VII39. For any positive numbers t, to, and c, it holds that
lim
t.+oo
f t e`(t`) f (s)ds = 0.
o
3. CALCULATION OF LIAPOUNOFF'S TYPE NUMBERS 211
Proof of (a).
for to < a < r. Suppose that there exists a positive number 6 such that
and
0(s) > (!± b E(to) for a < s < r.
Then,
E(to) + c l! + 6 E(to)(r  a) < E(a)(1 + (r  o)).
This is a contradiction. \
Proof of (b).
Set ,L(t) = f etf (s)ds for 0 t T for a fixed T > 0. Then, "(t) _
r
cO(t)  f (t) and, hence, w(r)  ?P(t) = cJ ;(s)ds J f (s)ds for t < r < T.
r
Suppose that there exists a positive number 6 such that t
and
1l'(s) > (!+o)E(t) for t < s < r.
Then,
E(t) + c (1+ 6) E(t)(r  t) < E(t)(1 + (r  t)).
This is a contradiction. This, in turn, proves that
T
f (s)ds < C1 + c j E(t) for T > t.
J
+430
Since lim E(t) = 0, the integral + e'('")f (s)ds exists and
t+o ft
j+00
ec(te)f(s)ds < 1+ 1 f E(t).
e \ c
212 VII. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS
b(t) = q(to) cost  to) + 0'(to) sin(t  to)  J t R(s)¢(s) sin(t  s)ds.
to
Choose a positive number K so that 4(to)j + kd'(to)j < K and choose another
KQ
positive number At so that M > 1 > K. Then,
if jb(t)j < At for to < t < t1. Hence, 14(t)I < M for to < t < +oc. 0
In this section, we explain the behavior of solutions of a system of linear dif
ferential equations under a condition similar to the HukuharaNagumo condition.
Precisely speaking, we consider a system of the form
(VII.4.5) A,k(t) = al(t) )tk(t) and D,k(t) = R(AJk(t)) (j,k = 1,2,... ,n).
Concerning the functions A. (t) (j = 1, 2,... , n), the following is the main assump
tion.
Assumption 3. The functions Al (t), A2(t), ... , A,, (t) are continuous on the inter
val 4. Furthermore, for each fixed j, the set of all positive integers not greater
than n is the union of two disjoint subsets P.t and P32, where
(i) kEP) I if
lim I Djk(r)dr = oo and Dik(r)dr < K for 0 < s < t
t+oo 0 Li
for some positive number K,
(ii) k E Pj2 if
`t
f/a
Dik(r)dr < K for s > t > 0
(2) t1 1 Q(t)
(3) the transformation
(VII.4.6) y' = V. + Q(t)] E
changes system (VII.4.2) to
d"
(VII.4.7) dt= A(t)i
on the interval Z0, where I is the n x n identity matrix.
Prool
We prove this theorem in six steps.
214 VII. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS
where
4?(t, s) = diag(Fl (t, s), F2(t,1s), ... , Fn(t, s)],
Step 3. Letting q,k(t) and rik(t) be the entries on the jth row and the kth
column of Q(t) and R(t), respectively, write the integral equation (VII.4.10) in the
form
[ft
(VII.4.10') ggk(t) =
J
exp Aik(r)drr)k(s) + F ds,
11
A=1
4. A DIAGONALIZATION THEOREM 215
where j, k = 1, 2,... , n and the .1jk(t) are defined by (VII.4.5). Note that
t
( J(Ajk(r)dr}
t
lexp I
I = exp I J Djk(T)dr] < eK
ll a
if
0< s< t for k E Pj1 and t< s< +oo for k E Pj2,
where j, k = 1, 2,... , n and the Djk(t) are defined by (VII.4.5). The initial points
rjk are chosen as follows:
to if k E P1I,
rjk = { +00 if k E Pj 2
gojk(t) = 0,
where r(t) = max(j,k) Irjk(t)I. Using assumption (VII.4.4), choose to so large that
r+oo
e'11 + nCJ r(s)ds < C.
Jto
Then, from (VII.4.11), it follows that Igpjk(t)I < C on the interval Z.
Step 5. Similarly, if (VII.4.11) holds for p = 1, 2, ... , we obtain
P
Igp+Iuk(t)  gpjk(t)l < (2} C
Step 6. Let us prove that the bounded solution qjk(t) satisfies condition (2) of
Theorem VII43. If k E Pj2, then Tjk = +oo. Hence,
lim q)k(t)
o [ft ll
=f
.\)k(T)dr] [r)k(S) +> rJh(S)hk(s)J ds
exp h=1
= eXp Lf t Dk(r)dTJ
f
s
\.k(T)dr] {r)k(S) +
exP
rJh(s)hk(s)
[fC.Jk(r)dr] [rJk(s) +
h1
n
1
dsl
rJh(S)ghk(S)ds
h=1
r)h(s)hk(s)l1 ds
JI
( t +oo
< exp J f D)k(r)dr] eK (1 + nCj ft) r(s)ds
l o
if (q)k(t)(< C on Z. Observe also that
I
f t
exp I f t
AJk(T)dr] [r)k(s) +
h=t
rJh(s)hk(s) ds
t»+0
lim f t D)k(r)dT = oo if k E P)
for a fixed a, we obtain
t
exp f DJk(r)dr] eK [1 + nC]
L o
1
f+ to
r(s)ds <
e
for large t. Therfore, for any positive number e, there exists such that Iq,k(t)( <
e for t > t(e). This complete the proof of Theorem IV43.
4. A DIAGONALIZATION THEOREM 217
(VII.4.12) d 22 + p(t)rt = 0.
If we set
A(t) = 0 1l
1= do ,
0J
P(t)
dt
'\t(t)
= i p(t)112,
911 _ [i p(t)1/2]
1
A2(t) = t p(t)'/ pct) _ [i pt)1/2J
dPo(t)  ip'(t) [0 01
POW1 =
i [ip(t)'/2 11
1 ,
dt 2p(t)'/2 1 1 '
2p(t) '/2 jP(t)1/2
218 VII. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS
and
P(to pt)ti21
0
Po(t)'A(t)Po(t) _ 1/2 _i
[i
The transformation y = Po (t) i changes system (VII.4.13) to
 dP t)j z.
 P0(t)1 {A(t)Po(t)
Using the computations given above, we can write this system in the form
(VII.4.14) ]
.ii = {t P(t) 1/ 2 [0 01]  49t) [ 11 11
Suppose that
(1) a function p(t) is continuous on the interval Zo = {t : 0 < t < +oo},
(2) there exists a positive number c such that p(t) c > 0 on the interval Zo,
(3) the derivative p'(t) of p(t) is absolutely integrable on Io,
Then, Theorem VII43 applies to system (VII.4.14) and yields the following theo
rem (cf. IHN2]).
Theorem VII49. If a function p(t) satisfies the conditions (1), (2), and (3)
given above, every solution of equation (IV.4.12) and its derivative are bounded on
the interval Zo.
The proof of this theorem is left to the reader as an exercise. Note that condition
(3) implies the boundedness of p(t) on the interval 1 .
If p(t) is not absolutely integrable, set
where
Ao = Al =
Anticipating that
(i) q(t)I and Ip'(t)I are of the same size,
(ii) Jq'(t) I and Ip"(t)I are of the same size,
choose q(t) and E so that two offdiagonal entries of the matrix on the righthand
side of (VII.4.16) become as small as Ip'(t)I2 + [p"(t)I. In fact, choosing
q(t) = 8ip(t)312
p'(t) , E = [01 11
0J
S. SYSTEMS WITH ALMOST CONSTANT COEFFICIENTS 219
we obtain
(12 + q(t)E]' = 1 + I9(t)2 (12  q(t)E(
and
q(t)E]1 { [1(t)1/2
(12 + Ao  4p(t) A11 (12 + q(t)E1  dt) E}
1 jip(t)1/2A0 _ p'(t) EAo  p'(t) Al
1 + q(t) 2 8p(t) 4p(t)
+g(t}AoE+E(p,p',p")  q(t)
dtt)12}
I lp(t)1/2Ao p,(t)12+E(p,p,p')q(t)dq(t)12 ,
1 r q(t) 2 I 4p(t) dt
where
E2 = 12, EAo = AoE = 0 Il
11 0
and E(p, p', p") is the sum of a finite number of terms of the form
12
a (P (t) + $ p"(t)
p(t)h/2
with some rational numbers or and /3 and some positive integers h. Applying The
orem VII43 to system (VII.4.16), we can prove the following theorem.
Theorem VII410. Suppose that
(1) a function p(t) is continuous on the interval Zo = {t : 0 < t < +oo},
(2) there exists a positive number c such that p(t) > c > 0 on the interval ID,
(3)
+00
(4) limop'(t) = 0.
Then, every solution of equation (VII.4.12) is bounded on the interval 7o.
The proof of this theorem is left to the reader. Condition (3) of Theorem VII410
does not imply the boundedness of p(t) on the interval Io. For example, Theorem
VII410 applies to equation (VII.4.12) with p(t) = log(2 + t).
Assumption 4. The matrix A has n mutually distinct eigenvalues p 1, u2, ... , An,
and the matrix V(t) satisfies the conditions
+00
t
lim V(t) = 0
+ Cc
and + [V'(t)[dt < +oo.
o
Let A1(t), 1\2 (t) .... , an(t) be the eigenvalues of the matrix A+V(t). Then, these
are continuous on the interval I. Furthermore, it can be assumed that
lim ),(t) = µj
t+, (j = 1,2,... ,n).
Choose to > 0 so that A) (t),.\2(t), ... , an(t) are mutually distinct on the interval
I={t:to<t<+oo}. Set
F(t, A) = det[AII  A  V(t)].
Also,
j (t, A, (t)) + as (t, \,(t)) A (t) = 0 (j =1,2,... n)
OF
(t, \j (t)) # 0 (j = 1,2,... ,n),
on I.
8A
8F (t,
A, (t ))
since III, µ2i ... , p, are mutually distinct. Observe that .X (t) is
aF
8a (t, af(t))
linear homogeneous in the entries of the matrix V'(t). In this way, we obtain the
following lemma.
Lemma VII51. Under Assumption 4, the derivatives of the eigenvalues of the
matrix A + V (t) are absolutely integrable over the interval I = {t : to < t < +oo},
i. e.,
JA(t)dtl
w
< +oo (j = 1,2,... ,n).
An eigenvector p, (t) of the matrix A + V(t) associated with the eigenvalue as(t)
can be constructed in the following manner. Observe that the characteristic poly
nomial of A + V(t) can be factored as
(VII.5.2) (A+V(t).11(t)In)(A+V(t).\2(t)In)...(A+V(t)an(t)IJ) = 0
5. SYSTEMS WITH ALMOST CONSTANT COEFFICIENTS 221
J1 (A+V(t)  Ah(t)In) # 0,
h 0j
lim fl(A + V(t)  Ah(t)In) = H(A  phln) 36 0,
t+oo
h#l h#j
are eigenvectors of the matrix A associated with the eigenvalues p. (j = 1, 2,... , n),
respectively. Observe that the entries of the vectors pF,(t) (j = 1,2,... , n) are
polynomials in the entries of V(t) and A1(t),... ,An(t) with constant coefficients.
Hence,
+00
Ip"j'(t)I dt < +oc (j = 1,2,... ,n).
Jta
Thus, we proved the following lemma.
Lemma VII52. Under Assumption 4, them exists a nonnegative number to
such that
(1) the matrix A + V (t) has n mutually distinct eigenvalues A1(t)...... n (t) on
the interval I = It : to < t < +oo},
(2) the eigenvalues Al(t), ... , An(t) are continuously differentiable on I and
lim Aj(t) = p, (j = 1,2,... ,n),
(3) the matrix A + V(t) has n eigenvectors p1(t),... ,#n(t) associated with the
eigenvalues \I(t) .... ,An(t), respectively, such that lim 73 (t) = 4j (j =
t+oo
1, 2, ... , n) are eigenvectors of the matrix A associated with the eigenvalues
p) (j = 1,2,... ,n),
(4) the derivatives of the eigenvalues A,(t) (j = 1,2,... , n) and the derivatives
o f the eigenvectors p ' , (t) (j = 1, 2, ... , n) with respect to t are absolutely inte
grable on the interval Z.
Set
Then,
lim Po(t) = Q, lim A(t) = M,
t+oo
Po(t)'[A + V(t)]Po(t) = A(t), Q'AQ = M,
f +oo I Po(t)_ 1
dP°(t) I
dt < +oo.
to dt
Observe that the transformation y"= P°(t)z changes system (V11.5. 1) to
dl t)1 i= [A(t)  Po(t)'d t)]
dt = POW1 [[A + V(t)]P0(t)  Y.
Observation VII55. Let us look into the case when the matrix A has multi
ple eigenvalues. To do this, consider system (VII.3.1) under Assumption 1 given
in §VII3. By virtue of Theorem VII31, system (VII.3.1) is changed to system
(VII.3.4) by transformation (VII.3.3). Furthermore, (VII.3.4) is changed to
(j = 1, 2, ... m),
(VII.5.3)
dt [ N 3 + R 3 (t)) u 3
where
Let us look at the quantity sk(t  s)h. Note that 0 5 k 5 r  1 and 0 5 h < r  1.
224 VII. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS
Case 1. k + h < r  1. In this case, since sk(t  s)h = sk+h C t _ 11, define
 s
Sk(th'
8)h N°R(s)ds = / t 8k(th! S)h NhR(s)ds.
Jt
(hp) Sk+pthp
Case 2. k + h > r. In this case, look at sk(t  8)h = D1)p
p_Q
j Sk+pthPNhR(S)dS
= J+ao p) sk+PthPNhR(s)ds.
; k+Pt h PNhR{s)d s =
3
k
h
)
r
t
o 
kh $ k+h
Pt P Nh R(s)d$, where t > to.
Setting
r
U(t) = f t ske(`e)NR(s)ds,
6. AN APPLICATION OF THE FLOQUET THEOREM 225
we obtain
dU(t)
= NU(t) + tkR(t).
dt
Step 3. Let us construct n x n matrices Uk (t) (k = 0, 1, 2, ... , r  1) by the integral
equations
ft
Uk(t) = Nk + 1 ske(t")NR(s)Ui(s)ds
Then,
lira
t++00
Uk(t) = Nk
Observe that
tkUk(t) tkNk
rt e(t_s)NR(s)skUk(s)ds.
k! k! n k!
Hence, setting
tkUk(t)
k!
k=0
we obtain r1
k r
1(t) = eIN +
t
e(t,)NR(s) s
ds.
Y' r k!!
k=o n
This implies that
do(t)
_ (N + R(t))W(t).
dt
It can be easily shown that
L(t)c = etNc'  Nk"
lim Urn
t+oo tk t+00 tic
Assumption VII61.
(1) The entries of an n x n matrix A(t, ej are continuous in (t, e) E R x A(r)
and analytic in f E A(r) for each fixed t E LR, where FE C'" unth the entries
et, ... , A(r) = IF: Ie < r}, and r is a positive number.
(2) The entries of A(t, e) are periodic in t of a positive period w.
(3) The entrees hl,... , h,,, of a C"t valued function h(t) are continuous on the
interval T(to) = {t : to < t < +oo} for some nonnegative number to and
lim h(t) = 6.
t+00
Let us consider the following two cases.
Case 1. The function h(t) is supposed to be continuously differentiable on T(to)
and satisfy the condition
+00
(VII.6.2) J Ih(t)Idt = +oo and f + Ih'(t)Idt < +oo.
I.
lim
t +00
+00 +00
(VII.6.3) r= +00, / = +oo,
0
L00I;(t)ldt
Ih"(t)Idt < +oo, J + Ih'(t)I2dt < +oo
J0 0
sin(f)
For example, the function h(t) _
satisfies (VII.6.3).
I satisfies (VI1.6.2), whereas h(t) =
f
Observation in Case 1. In Case 1, we use the following lemma.
Lemma VII62. If a matrix A(x, ej satisfies conditions (1) and (2) of Assump
tion VII61, them exist n x n matrices P(t,e) and H(t") such that
(i) the entries of P(t, ) are continuous in (t, e) E R x A(f) and analytic in
FE A(f) for each fixed t E R, where f is a suitable positive number.
(ii) P(t + w, ej = P(t, t) for (t, F) E R x ©(f),
(iii) P(t, fj is invertible for every (t, t) E R x A(f),
(iv) the entries of H(t) are analytic in FE A(f),
2ai
(v) any two distinct eigenvalues of H(0) do not differ by integral multiples of ,
w
(vi) a P(t, a exists for (t, e) E R x L(f) and given by
Proof
In order to prove this lemma, construct a fundamental matrix solution $(t, e)
of the differential equation d = A(t, e)y by solving the initialvalue problem
dX = A(t, e) X, X (O) = I, where In is the n x n identity matrix. The en
dt
, bog((w
tries of 4!(w, ej are analytic in A(r). Define H(e) by H(ej = and
P(t,') = 4i(t, cl exp(tH(E)]. Then, (VII.6.4) follows.
The most delicate part of this proof is the definition of H(). Details are left for
the reader as an exercise (cf. [Sill).
Changing system (VI I.6.1) by the transformation
Proof
In fact,
dil
= P(t, h(t))1 {A(t(t))P(t&(t))  dt [P(t, h(t))] } u"
iiT
1 < <m
under assumption (VII6.2). Also, observe that H(i(t)) does not contain any pe
dH(i(t))
riodic quantities and dt is absolutely integrable. Therefore, if eigenvalues
of H(6) satisfy suitable conditions, the argument given in §VII5 applies to system
(VII.6.6).
228 VII. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS
(VII.6.10) dt = {Bo(h(t)) + B,
Notice that the entries of the matrix B, (t, E, µ) are periodic in t of period tv and
that B1 (t, E, 6) = 0. Furthermore, any two distinct eigenvalues of Bo (6) do not
27n
differ by integral multiples of . Set D(r) = IE + lµI < r}.
In Case 2, the following lemma is used.
Lemma VII64. There exist n x n matrices P, (t, e, {'t) and HI (E, µ) such that
(:) the entrees of P1 (t, E, ui) are continuous in (t, E, u') E R x D(r) and analytic in
(E, )i) E D(r) for each fixed t E Ii£, where r is a suitable positive number,
(i:) P, (t + w, F,)!) = P, (t, e, it) for (t, F, tt+) E 1 x D{r
(iii) P1(t, E, 6) = O for (t, i) E R x 0(r),
(iv) the entries of H1 (E, u') are analytic in (E, Et) E D(r) and H1 (E, 6) = 0 for
E E O(r),
(v) at P, (t, e, µ') exists for (t, E, p) E R x D(r) and is given by
19
Pi(t,e,u) ={Bo(e) + B1(t,e,µ)) (In + Pi(t,E,ls)}
(VII.6.11)
+ P1 (t, i,#)) { Bo(E) + Hi (E, µ) }
(VII.6.12)
a P1(t,Ej) = Bo(E)P1(t,E,i)  Pi(t,E., )Bo(Ej
+ {B1(t,E,N)P:(t,E,Ji)  +B1(t,,rA)} Hl(E,u)
Proof of Lemma VII64.
M
Given p = (pi,... ,p,,,), where the p, are nonnegative integers, denote EIpjI
=1
and 4' um by Ipl and 91, respectively. Set
8
(VII.6.13) p = B0(E)P1,p  P1,pBo(E) + Q1,p(t, E) 
where
Hence,
(VII.6.15)
x 1 Q1,p(s, )  H1,$,(e)) exP[sBo(E))ds} exp[t B0(Z)1,
where C(e) and H1,p(e) are n x n matrices to be determined by the condition that
P1,p(t,e) is periodic in t of period w, i.e.,
It is not difficult to see that condition (VII.6.16) determines the matrices C(ep)
and Hl,p(ej. Then, the matrix P1,p(t, E) is determined by (VII.6.15). The conver
gence of power series P1 and H1 can be shown by using suitable majorant series. 0
In the same way as the proof of Theorem VII63, the following theorem can be
proven.
Theorem VII66. The transformation
dv = f
H(i(t)) + H1(h(t), h'(t))
dt l
where P1(t, E, µ) and H1(E, µ) are those two matrices given in Lemma VII64.
In + P1(t,h(t),h'(t))j_1 8Ej
f0+00
(VII.6.19)
Observe also that the matrix H(h(t))+H1(h(t), h'(t)) does not contain any periodic
terms. Furthermore, H(6) + H1(6, 6) = H(0). It is clear that the derivative of
H(h(t)) is not necessarily absolutely integrable over to < t < +oo. Therefore, in
order to apply the argument of MI5, the matrix H(h(t)) must be examined more
closely in each application. Details are left to the reader for further observation.
EXERCISES VII
VIIl. Find the Liapounoff's type number of each of the following four functions
f (t) at t = +00:
(1) exp [t2sin (1L1) sint(dt](3) inin(exp[3t],exp[5t]sin67rt]),
]' (2) exp Lfo
(4) the solution of the initialvalue problem y"y'6y = eat, y(O) = 1, y'(0) = 4.
VII2. Find a normal fundamental set of four linearly independent solutions of
the system dy = Ay" on the interval 0 < t < +oo, where
log(l+x) e= expx2
= x3 1+ 1+ x sin x
exp(e') cosx arctanx
on the interval 0 < x < +oo. Find Liapunoff's type number of det 4i(x) at x = +oo.
EXERCISES VII 231
VII4. Assuming that the entries of an n x n matrix A(t) are convergent power
series in t1, calculate lim p log I (t) for a nontrivial solution ¢(t) of the differential
0
i
L
0 0 1+t2
Hint. See [GH].
VII7. Show that if a function p(t) is continuous on the interval 0 < t < +oo and
lim tPp(t) = I for some positive integer p, the differential equation d2
t +p(t)y =
t +oo
0 has two linearly independent solutions rlf(t) such that
77, (t)
= P(t)114(+1 +o(1))exp [f iJ t
to
d4] ,
parameters. Set A(x, f) = {(0) 11. Also, let Ro, po, and ao be arbitrary but
fixed positive numbers. Suppose that 0 < po < 2. Show that the system
d:V
= A(x,f)y, y = 17121
Show that there exist a nonnegative number to and an n x n matrix T(t) such that
(1) the derivative (t) exists and the entries of T(x) and . (x) are continuous
E
in t on the interval 2 = It : to < t < +oo},
(2) t limo T(t) = 0,
(3) transformation (I + T(x)) z changes the system
(diag[A1(t),A2(t),... +T(t))y
dt =
to
d
= diag(A1(t) + bl (t), A2(t) + b2(t), ... , An(t) +
dt
where y E C, i E C, n functions b1(t),... ,b,,(t) are complexvalued and
continuous in t on T, and lim b,(t) = 0 (j = 1, ... , n).
t +00
EXERCISES VII 233
VII15. Using Theorem VII63, find the asymptotic behavior of solutions of the
differential equation
STABILITY
dy
(VIII.1.1) t=
d
A(ro) = Zo x D (ro) = {(t, y1 E J"+I : 0 < t < +oo, 1171 < ro}.
Also, assume that a solution mo(t) of (VIII.1.1) is defined on the entire interval 10
and that (t, mo(t)) E A(ro) on Yo. The main topic in this chapter is the behavior
of solutions of the initialvalue problem
(VIII.1.2)
dt = f (t, o'
as t +oo. To start, we introduce the concept of stability.
235
236 VIII. STABILITY
Definition VIII11. The solution do(t) is said to be stable as t  +oo if, for
any given positive number c, there exists another positive number b(c) such that
whenever I&(0)  7 < 5(c), every solution 4(t) of initialvalue problem (VIII.1.2)
exists on the entire interval Zo and satisfies the condition
has the unique solution y = (t, r, i) if (r, rl) E 0(ro). Then, qs(t, r, 771 is continuous
with respect to (t, r, '). Therefore, for any r E Zo and any given positive numbers
T and f, there exists a positive number p(r,T,e) such that whenever 100(r)  )1 <
p(r, T, c), the solution 0(t, r, 71) exists on the interval 0 < t < T and I0o(t) 
¢(t, r, Y7)1 < E on the interval 0 < t < T (cf. §111). This implies that if the solution
0o(t) is stable as t +oo, then for any r E Zo and any positive number c, there
exists another positive number b(r, c) such that whenever loo (,r)  n7 < b(r, E), the
solution (t, r, rt) exists on the entire interval 10 and (t, r, J) satisfies the condition
IV'0(t)  (¢(t, r, TD I < E on I.
We also introduce the concept of asymptotic stability.
Definition VIII13. The solution do(t) is said to be asymptotically stable as
t4 +00 if
(i) the solution do(t) is stable as t  +oo,
(ii) there exists a positive number r such that whenever I o(0)  i7 < r, every
solution fi(t) of initialvalue problem (VIII. 1.2) satisfies the condition
Hence, the study of the solution o(t) of (VIII.1.1) is reduced to that of the trivial
solution z1(t) = 0 of (VIII.1.5). Thus, the solution .o(t) of (VIII.1.1) is stable
(respectively asymptotically stable) as t + +oo if and only if the trivial solution of
(VIII.1.5) is stable (respectively asymptotically stable) as t  +co. In the following
sections, we shall study stability and asymptotic stability of the trivial solution.
The following three examples illustrate stability and asymptotic stability.
Example VIII15. The first example is the system given by
FIGURE 1.
Example VIII16. The second example is a secondorder differential equation
(VIII.1.9)
dt2
+ g(t7) = 0,
238 VIII. STABILITY
(VIII.1.11)
di = Az + #(z),
iii
where
Set
17
Then,
dH(yi(t),y2(t)) dyl(t) (t) dy2(t)
dt
= 9 ( Y1 (t))
dt
+ Y2
dt
Therefore,
dH(yi(t),y2(t))
= 9(YI(t))y2(t)  y2(t)9(yI(t)) = 0
dt
we obtain ('(t) = 2(G(a)  G((1(t) + a)) + co > Co as long as 0 < (1(t) < po.
Hence, there must be a positive number to depending on (o such that (I (to) = Pa
no matter how small to may be. This implies that the trivial solution of (VIII.1.11)
is not stable.
Case when g'(a) > 0: For a given positive number p, let V (p) be the connected
component containing 0 of the set {[; : G(( +a) < G(a)+p}. Then, V (pl) C V (P2)
if p1 < p2. Furthermore, if g(a) = 0, g(a) > 0, and if a positive number p is
sufficiently small, there exist two positive numbers e1(p) and e2(p) such that
(1) e2(P) < e1(P),
(2) Plmoe1(P) = 0,
(3) {( : ISO < C2 W} C 7) (P) C < el(p)} (cf. Figure 2).
S=o
G= G(S+a)
G=G(a)+p
G=G(a)
1 P)
FIGURE 2.
Observe also that G(a) < G(( + a) < G(a) + p for [; E V (p) if p is a sufficiently
small positive number.
For a given positive number e, choose another positive number p so that ei(p) < e
and p:5 e. Choose also the initial value z(0) so that Jz1(0)j < e2 (2) and z2(0)2 < p.
Then, G(z1(0)+a) < G(a)+ since z1(0) EP (2). Hence, (VIII.1.14) implies that
G(zi(t) + a) < G(a) + p for all
2 t. Observe that the set {z1(t) : all t} is connected
and zi(0) E D (2) C V (p). Therefore, zi(t) E D(p) for all t. Hence, Iz1(t) <
ei (p) < e. On the other hand, G(a) < G(z1(t) + a) < G(a) + p since z1(t) E D (p)
for all t. Hence, (VIII.1.14) implies that2(tz2< G(z1(0) +a)  G(a) + < p < e.
This proves that the trivial solution of system (VIII.1.11) is stable as t +
2 +oo.
The analysis given in Example VIII16 is an example of an application of the
Liapounoff functions to which we will return in Chapters IX and X.
The third example is the following result.
Theorem VIII17. If f (x, y) and g(x, y) are realvalued continuously differen
tiable functions such that
(i) f (0, 0) = 0 and g(0, 0) = 0,
(ii) (f (x, y), g(x, y)) 0 (0, 0) if (x, Y) # (0, 0),
(iii) 8x (x, y) + 49Y (x, y) = 0,
then, the trivial solution (x, y) = (0, 0) of the system
aj(ro,c1,c2)
It is known that the matrix 1L(t,cl,c2) = is the
L ac, 0Ce
unique solution of the initialvalue problem
1of of
dX ax 8y X. X (0) = I2.
dt a9 09
ax Dy tr,y)=Oit.c,,cz)
(cf. (4) of Remark IV27). Now, it follows from (VIII.1.15) that the area of
D(ro, ro) is equal to the area of 0(ro). This is a contradiction. 0
2. A SUFFICIENT CONDITION FOR ASYMPTOTIC STABILITY 241
Step 3. Fix a nonnegative number T and two positive numbers 6 and 61 in such
a way that
pK(p(T)+co6'o) > 0, 0<61 <6, K61 <6.
Assume that 19(T)J < 61. Then, inequality (VIII.2.3) holds for T < t < T1 as long
as Iy(t)I < bon the interval T < t < T1. This, in turn, implies that
Jg(t)J < K61 < 6 for T < t < T1.
This is true for all T1 not less than T. Hence, inequality (VIII.2.3) holds for t > T.
Step 4. If Jy(t)J < b < 1 for 0 < t < T, there exists a positive number is such
Id t)
that I < n19(t)j, for 0 < t < T. This implies that Jy(t)J < Jy(0)JeK' as long
as Jy(t)I < 6 < I for 0 < t < T. Therefore, Jy(T)J is small if Jy(0)j is small. Thus,
it was proven that (VIII.2.3) holds for t > T if Iy(0)J is small. This completes the
proof of Theorem VIII21. O
Example VIII22. For the following system of differential equations d = A#+
where
y= [y
Y
j A= r 0.4

2
.2
1 (Y2 (
+ y2) I 11
1
the trivial solution y = 0 is asymptotically stable as t ' +oc. In f act, the char
acteristic polynomial of the matrix A is PA(a) _ (A + 0.3)2 + 1.99. Therefore, the
real part of two eigenvalues are negative.
Remark VIII23. The same conclusion as Theorem VIII21 can be proven, even
if (VIII.2.2) is replaced by
I9(t,y)l 5 e(t,yyly7 for (t,y) E o(ro) _ {(t,y) : 0 5 t < +oo, IyI <_ ro},
where ro > 0, e(t, y) > 0 for (t, y) E i(ro), lim e(t, y) = 0,
and
t1+19{o
(iii) the real part of an eigenvalue of the matrix A is positive.
dy
Then, the trivial solution of the system = Ay + §(t, y) is not stable as t . +oo.
dt
A proof of this theorem is given in (CL, Theorem 1.2, pp. 3173181. We shall prove
this theorem for a particular case in the next section (cf. (vi) of Remark VIII32).
An example of instability covered by this theorem is the case when g'(a) < 0 of
Example VIII16. The converse of Theorem VIII27 is not true. In fact, Figure 3
shows that the trivial solution of the system
dY2
I
= yI, = (yi + yi)112
is not stable as t  +oo. Note that, in this case, eigenvalues of the matrix A are
1 and 0.
Y2
Yt
FIGURE 3.
for max(jil, Iy1) < po and max(11 i, Ii1) < po, where po is a positive number and
u oL(p) = 0. Furthermore, assume that gf(0, 0) = 0 (j = 1, 2). Two matrices AI
and A2 are respectively constant n x n and m x m matrices satisfying the following
condition:
le(t9)A' I < Kieo1(ta)
for t > s,
(VIII.3.2)
t Je(ts)A21 < K2e02(t8) for t < s,
where K, and of (j = 1,2) are positive constants. Condition (VIII.3.2) implies
that the real parts of eigenvalues of AI are not greater than 01, whereas the real
parts of eigenvalues of A2 are not less than 02. Assume that
(VIII.3.3) a1 > 02.
Let us change (VIII.3.1) to the following system of integral equations:
I
x(t, c) = e1AI C + J e(1a)A' gi (Y(s, c), y(s, c))ds,
0
(VIII.3.4)
At, c ) = Jt to0 e(t 8)A2 2(x(s, c), y(s, c))ds.
and
t +00
e02(t8)e(0 $ ')8ds
IJ e(ta)A2 2(j(s, c), y(s, c))dsl < K2L(p)p f
+ 00 t
K2L(P)P e
al o2E
3. STABLE MANIFOLDS 245
K2L(p) < 1
This implies that if a positive number p is chosen so small that
01o2e  2
and K1L(p) < and if the arbitrary vector c' in R" satisfies the condition
Kl I i < 2
, then, using successive approximations, a solution (i(t, cl , y(t, c)) of
2
(VIII.3.4) can be constructed so that
x(O, c)= c and max(Ii(t, c1I, Iy(t, c)I) < pe(c for 0 < t < +oo.
Details are left to the reader as an exercise.
Remark VIII32.
(i) The positive number a is given to start with and the choice of p depends on
e. However, since this solution approaches the trivial solution, the constant e
may be eventually replaced by any smaller number, since the righthand side
of (VIII.3.1) is independent of t. This implies that the curve (i(t, c), y'(t, c))
is independent of a as t . +oo. More precisely, if a solution (x"(t), y"(t)) of
(VIII.3.1) satisfies a condition
(c) 9(0,6) = 6.
Suppose further that A has an eigenvalue with positive real part. Then, applying
Theorem VIII31 to the system = Ay'  g(y), we can construct the stable
manifold U of the trivial solution. This means that if a solution fi(t) of (VIII.3.6)
starts from a point on U, then urn Q(t) = 6. This shows that the trivial solution of
t  +oo, and Theorem VIII27 is proved for (VIII.3.6).
The set U is called the unstable manifold of the trivial solution of (VIII.3.6).
The materials in this section are also found in [CL, §§4 and 5 of Chapter 81 and
[Hart, Chapter IX; in particular Theorem 6.1 on p. 2421.
is a formal power series with coefficients fp E C', where p = (pl,... , p") with
n
nonnegative integers pl, ... , p", > Ph, and yam' = yl' yP,,.
h=1
The following theorem is a basic result concerning formal simplifications of sys
tem (VIII.4.1).
Theorem VIII42. Under Assumption VIII41, there exists a formal power se
ries
with a constant n x n matrix Bo and the formal power series g(ui) _ E upgp
Ipi>2
with coeficients gp in Cn such that
(iia) the matrix B0 is lower triangular with the diagonal entries Al.... , An,
and the entry bo(j, k) on the jth row and kth column of B0 is zero
whenever A, j4 Ak,
(iib) for p with IpI > 2, the jth entry gp, of the vector gp is zero whenever
A1 n
(VIII.4.5) 1: PhAh
h=1
Proof
Observe that if y" = P(d), then
d9 = p p Pp
dt
Po + 1: [ L Pp P22 Pp ... un Pp Boi + F 4Lpgp
W>2 Ipl>2
and
Furthermore,
poop P_p
Po + [Plup,5, P2upPp ... Bo u'
ul u2 Un J
Ipl>2
n
= PoBou" + phAh u"PPp + uh
plp),A
ul
lpl>2 h_1 1<h<35n
where 03,k is the entry of B0 on the 7th row and kth column.
Let us introduce a linear order pi < p2 for p. = (p,',... , pin) (j = 1, 2) by the
relation
Plh = p2h for (h < he) and P1ho < P2ho
Now, calculating the coefficients of iip 1) on both sides of (VIII.4.1), we
obtain
for Jpj > 2. From (VIII.4.6), it is concluded that the diagonal entries A1, ... , A,, of
Bo are eigenvalues of A and that this allows us to set A = B0 and P0 = In, where
I,, is the n x n identity matrix. Then, (VIII.4.7) becomes
(VIII.4.8)
(PhAh)PP + 9p  Bo,6,
h=1
= ff(PP, p) + 9$'05P" 9P, : 10 < 1p1)
successively, where PP,, and gp,, are the jth entries of the vector P. and
respectively, and FP,, are known quantities. If >phAh  Aj 36 0, set 9,j = 0 and
h=1
solve (VIII.4.9). If >phAh  A? = 0, then set 9P,, = Fr,, and choose PPJ in any
h=1
way. This completes the proof of Theorem VIII.4.2.
Observation VIII43. Assume that R(AE) < 0 for j = 1, ... , r and R(A3) > 0
for j 1,... , r. In this case, if uh = 0 for h I, ... , r, the ath entry of the
vector Bou + g"(u) is zero for t ¢ I, ... , r. In fact, look at g"(u"). Then, the f
n
th entry of the coefficient g"p is zero if Al 96 >phAh. Note that, if t > r and
h=1
n
At = > Ph Ah, then (Pr+ 1, . Pn) 0 (0, ... , 0). Hence, in such a case, uP = 0 if
h=1
(ur+1, ... , u,) = (0, ... , 0). Therefore, the 1th entry of the vector Boti + 9"(uis
zero forI>rif(ur+1,...,u,,)=(0,....0).
Observation VIII44. Under the same assumption on the Aj as in Observation
VIII43, set (ur+1, ... , un) = (0,... , 0). Then, the system of differential equations
on (u1,... has the form
dud A3u3
= + QJ,huh
dt
(VIII.4.10)
... u p , ( i=1 , ...  , r)
+ 9(P,.
.P04ul1
A,=p,a,+ +p.a.,lai>2
r r
Observe that since A.  ph Ah # 0 if ph is sufficiently large, the righthand
h=1 h=l
members of (VIII.4.10) are polynomials in (ul,... ,ur).
4. ANALYTIC STRUCTURE OF STABLE MANIFOLDS 249
Observation VIII45. Assume that R[Ah+1J <_ R[Ah]. Then, (V111.4.10) can be
written in the form
du
dul
= Aiu1 and = A)u) + u_,i) for j=2,... ,r.
dt
Hence, system (VIII.4.10) can be solved with an elementary method. To see the
structure of solutions of (VIII.4.10) more clearly, change (ul, ... , ur) by u2 _
ea'ivi (j = 1,... , r). This transformation changes (VIII.4.10) to
dv)
Q),hvh
dt
an
g(P,..
...vf (.i
A, =P, a,+...+prAr,Ipl>2
This, in turn, shows that the general solution of (VIII.4.10) has the form u) _
ea'ii) (t, cl, ... , cr) (j = 1.... , r), where (cl,... , c,.) are arbitrary constants and
0,(t,c1,....c,) are polynomials in (t.cl,... ,G)
An analytic justification of the formal series 15(ii) is given by the following the
orem.
Theorem VIII46. In the case when the entries of the Z"valued function f'(y)
on the righthand side of (VI11.4.1) are analytic in a neighborhood of 0, under the
same assumption on the A) as in Observation VIII43, the power series P(d) is
convergent if (ur+i, ... , u") = (0,... , 0).
The proof of this theorem is straight forward but lengthy (cf. [Si2J). The key
fact is the inequality
A)  >PhAh
h=1 h=1
r
for some positive number a if E ph is large. In this case, a iajorant series for P
h=1
can be constructed.
The construction of such a majorant series is illustrated for a simple case of a
system
dy
dt
= Ay + f (y),
ui"A,. Then,
lal>2
Ap
a= AOPI1) for all p (IpJ > 2).
Set
1
Then, F(y) is a majorant series for ft y). Determine a power series V (u) = uupii
IpI>2
by the equation v = ICI 0(u" + v'). Set F(u + V(U)) _ iBa. Then,
Ipl>2
B
vp = Ii for all p (JpJ > 2).
It can be shown easily that Y(ul) is a convergent majorant series of Q(ur). This
proves the convergence of Q(ii).
Putting P(u") and the general solution of (VIII.4.10) together, we obtain a par
ticular solution y" P(#(t, cl) of (VIII.4.1), where
=
(t,cj = (e'\It7Pi(t,cl,... ,cr),... ,e*\1 'Wr(t,cl,... ,cr),0,... ,0).
This particular solution is depending on r arbitrary constants c = (cl,... , c,.).
Furthermore, this solution represents the stable manifold of the trivial solution of
(VIII.4.1)if W(Aj)>0for j#1,...,r.
Remark VIII4.7. In the case when y, A, and AM are real, but A has some
eigenvalues which are not real, then P(yl must be constructed carefully so that the
a b
particular solution P(i(t, c)) is also realvalued. For example, if A = ,
b a
the eigenvalues of A are a ± ib. If IV = ['] is changed by ul = 1/i + iy2i and
=  iy, system (VIII.4.1) becomes
dul
= (a + ib)ul + 9P,,p2u 'uZ
OFF
Pl+P2>2
(VIII.4.11)
due
_ (a  ib)u2 + ,
dt
by the transformation
PP,.P2'UP11t?221
VI +
p, +p2>_2
(VIII.4.13)
7P,.p2V2P1VP13.
V2 +
P,+p2>2
V 2 V2
Now, system (VIII.4.12), in turn, is changed back to  = At by wI =
VI  V2
and w2 = ,
where (w1, w2) are the entries of the vector tu. Observe that
2i
U l + u2
2
w1 + E
p,+p2>2
uI  u2
U'2 + g2.P,,pzu'P1 u"
2i
p, +p3 22
where ql,p,,p2 and g2,p,,p2 are real numbers. Similar arguments can be used in
general cases to construct realvalued solutions. (For complexification, see, for
example, [HirS, pp. 6465].)
For classical works related with the materials in this section as well as more
general problems, see, for example, [Du).
AI =
2
+
4 q and A2 = 2  4
 q.
It is known that
P2
p = AI +A2, q = AIA2, and Al  A2 =2  q.
4
252 VIII. STABILITY
Also, let t and ij be two eigenvectors of A associated with the eigenvalues Al and
A2, respectively, i.e., At = All;, l 0 0, and Au = A2ij, ij 0 0. Observe that, if
y(t) is a solution of (VIII.5.1), then cy(t +r) is also a solution of (VIII.5.1) for any
constants c and T. This fact is useful in order to find orbits of equation (VIII.5.1)
in the phase plane.
Case 1. Assume that two eigenvalues Al and A2 are real and distinct. In this
case, two eigenvectors { and ij are linearly independent and the general solution of
differential equation (VIII.5.1) is given by
FIGURE 4. FIGURE 5.
1c: In the case when Al > 0 > A2 (i.e., q < 0), the phase portrait of orbits of
(VIII.5.1) is shown by Figure 6. The trivial solution 0 is unstable as Itl +oo.
Note that as t + oo (or +oo), only two orbits of (VIII.5.1) tend to 0. The point
(0, 0) is called a saddle point.
2
Case 2. Assume that two eigenvalues Al and A2 are equal. Then, q = 4 and
Al=A2=29& 0.
for every direction n, there exists an orbit which tends to 6 in the direction n" as t
tends to oo (respectively +oo). The point (0, 0) is called an unstable (respectively
stable) proper node if p > 0 (respectively p < 0).
p>0 p<0
FIGURE 6. FIGURE 71. FIGURE 72.
2b: Assume that A is not diagonalizable; i.e., A = p 212 + N, where 12 is the 2 x 2
identity matrix and Nris a 2 x 2 nilpotent matrix. Note that N 0 and N2 = O.
Hence, exp[tA] = exp 12t] {I2 + tN}. Observe also that a nonzero vector c' is an
eigenvector of A if and only if NcE = 0. Since N(Nc) = 0, the vector NcE is
either 6 or an eigenvector of A. Hence, NE = ct() , where is the eigenvector
of A which was given at the beginning of this section and a(c) is a realvalued
linear homogeneous function of F. Observe also that at(c) = 0 if and only if c' is a
constant multiple of the eigenvector . The general solution of (VIII.5.1) is given
by y(t) = exp [t] {c + ta(c7}, where c" is an arbitrary constant vector. In this
case, the phase portrait of orbits of (VIII.5.1) is shown by Figures 81 and 82. The
trivial solution 6 is unstable (respectively stable) as t  +oo if p > 0 (respectively
p < 0). The point (0, 0) is called an unstable (respectively stable) improper node if
p > 0 (respectively p < 0).
p>0 p<0
Case 3. If two eigenvalues \I and .12 are not real, then q > and
4
Al =a+ib, A2=aib, a= 2,
Note that b > 0. Set A = a12 + B. Then, B2 = b212, since two eigenvalues of B
254 VIII. STABILITY
Smbbt)
are ib and ib. Therefore, exp[tB] = (cos(bt))I2 + B.
3a: Assume that a = 0 (i.e., p = 0). Then, the general solution of (VIII.5.1) is
slnbbt)
given by '(t) = exp[tB]c = (cos(bt))c"+ Bc, which is periodic of period 2b
in t. The phase portrait of orbits of (VIII.5.1) is shown by Figures 91 and 92.
The trivial solution 0 is stable as It 4 +oo. The point (0, 0) is called a center. It
is important to notice that every orbit y(t) is invariant by the operator . In fact,
b
B j(t)
T
= cos(bt)
b
Bc(sin(bt))c = (cos (bt + ))e+
sin bt +
b
r,
2 Be= 17 (t +
j
2b
)
(0.0)
p>0 p<o
FIGURE 101. FIGURE 102.
Let us summarize the results given above by using Figure 11:
(1) (0, 0) is an improper node.
(2) (0, 0) is a saddle point.
6. ANALYTIC SYSTEMS IN R2 255
(4) (IV)
(3) (3) (111) (Ill
 
FIGURE 11. FIGURE 12.
(VIII.6.1)
dt Ay" + E ypfp,
tp!>2
where y' E LR2 with the entries yj and y2, A is a real, invertible, and constant
2 x 2 matrix. p = (pi, p2) with two nonnegative integers pi and p2i Ipl = pi + p2,
yam' = y'' y2 , the entries of vectors fp E R2 are real constants independent of t, and
the series on the righthand side of (VIII.6.1) is uniformly convergent in a domain
A(po) = (y E R2 : fyj < po) for some positive number po. Let us look into the
structure of solutions of (VIII.6.1) in the following five cases.
Case 1. If the point (0, 0) is a stable proper node of the linear system = Ay, then
A = )J2i where A is a negative number and 12 is the 2 x 2 identity matrix. To apply
Theorem VIII42 to this case, look at the equation A = pi.1 + p2A on nonnegative
integers pi and p2 such that pl + p2 > 2. Since no such (pi, p2) exists, there exists
an R2valued function P(u) whose entries are convergent power series in a vector
it E R2 with real coefficients such that 5 () = 12 and that the transformation
= P( u reduces system (VIII.6.1) to dt` = Ail. This, in turn, implies that the
256 VIII. STABILITY
point (0, 0) is also a stable proper node of (VIII.6.1) and that the general solution
of (VIII.6.1) is y = P(eJ1°cl, where c is an arbitrary constant vector in R2.
Case 2. If the point (0, 0) is a stable improper node of the linear system dt = Ay,
then we may assume that either (1) A = AI2+N, where 1A is a negative number and
N 4 0 is a 2 x 2 nilpotent matrix, or (2) A = I 1 a2 J , where Al and A2 are real
negative numbers such that Al > A. In case (1), the same conclusion is obtained
concerning the existence of an 12valued function P(i7). Therefore, the point (0,0)
is a stable improper node of (VIII.6.1), and the general solution of (VIII.6.I) is
y" = P(eAt(12 + tN)c), where c is an arbitrary constant vector in 1R2. In case (2),
looking at the equations Al = p1 A 1 + p2A2 and A2 = p1 At + p2A2 on nonnegative
integers pi and p2 such that pl + p2 ? 2, it is concluded that there exists an 1R2
valued function P(ui) whose entries are convergent power series in a vector ii E R2
dP
with real coefficients such that (d) = 12 and that the transformation y" = P(u)
['Ju.&Ajul
reduces system (VIII.6.1) to dt = 2u21, where (u1, u2) are the entries of
1
i , M is a positive integer such that A2 = MA1, and y is a real constant which must
be 0 if A2 54 MA1 for any positive integer M. Therefore, in case (2), the general
A,:
([(''
solution of (VIII.1.6) is Cty"7t=+ C2)e
PAlt ) , where cl and c2 are arbitrary
constants. This, in turn, implies that the point (0, 0) is a stable improper node of
(VIII.6.1).
dy
Case 3. If the point (0, 0) is a stable spiral point of the linear system = Ay",
at
then we may assume that A = I b ab 1, where a and b are real numbers such that
a < 0 and b # 0. The eigenvalues of A are At = a ± ib. This implies that there are
no nonnegative integers pi and p2 satisfying the condition A = p1 A+ +P2A_ and
pl + > 2. Therefore, there exists an R 2valued function P(g) whose entries are
convergent power series in a vector u" E R2 with real coefficients such that LP (0) _
8u
12, and the transformation y = P(u) reduces system (VIII.6.1) to dt = Au (cf.
Remark VIII.4.7). This, in turn, implies that the point (0, 0) is also a stable spiral
point of (VIII.6.1) and that the general solution of (VIII.6.1) is y = P(eAC1, where
c" is an arbitrary constant vector in 1R2.
Case 4. If the point (0, 0) is a saddle point of the linear system = Ay, the
eigenvalues At and A2 of A are real and At < 0 < A2. Construct two nontrivial
and realvalued convergent power series fi(x) and rG(x) in a variable x so that
¢(eA'tcl) (t > 0) and ,G(eA2tc2) (t < 0) are solutions of (VIII.6.1), where cl and c2
are arbitrary constants (cf. Exercise V7). The solution y' = *(eAt tct) represents the
stable manifold of the trivial solution of (VIII.6.1), while the solution y" =1 (eA2tc2)
represents the unstable manifold of the trivial solution of (VIII.6.1). The point (0, 0)
6. ANALYTIC SYSTEMS IN R2 257
is a saddle point of (VIII.6.1). In the next section, we shall explain the behavior of
solutions in a neighborhood of a saddle point in a more general case.
dy
Case 5. If the point (0, 0) is a center of the linear system  = Ay, both eigenvalues
at
01
of A are purely imaginary. Assume that they are ±i and A = [0
J.
Set
y" = 2
1i
1 v, where v =
[t1]. Then, the given system (VIII.6.1) is changed
L J 2
to
du Ig(vl,v2)l
(VIII.6.2)
dt  9(27)
012, v1)
where
+00
g(tvl, v2) = ivl + 9P'9111 2, 012,V0 = iv2 + p.9v2v1
p+9=2 p+9=2
(VIII . 6 . 3)
du1
dt = i W ( ulu2 ) u1,
d = iC
due
0 ( u1U2 ) U2,
+oo
where w(z) = 1 + E Wmxm, by a formal transformation
m=1
ul + h(ul,u2)
(T) v = f(17) = u2 + h(u2,u1)
Here,
h(ul,u2) _
+00
hp.qupU2, h(u2,u1) _
+0 _
hP,9u'lU2
p+q=2 p+9=2
In particular, h(ul, u2) can be construced so that
(VIII.6.4) the quantities hp+1,p are real for all positive integers p.
Observation VIII62. We can show that if one of the Wm is not real, then y = 0
is a spiral point (cf. Exercises VIII14). Hence, let us look into the case when the
+00
Wm are all real. Furthermore, if a formal power series a(t) = 1 + with
m=1
real coefficients am is chosen in a suitable way, the transformation
(VIII.6.5) u1 = a(B11j2)131, u2 = W10002
258 VIII. STABILITY
dul due
(VIII.6.3.1) = iu1, iu2.
dt dt =
Note that transformation (VIII.6.5) does not change (VIII.6.3.1). Using a trans
formation of form (VIII.6.5), change h(ul, u2) so that
is a formal solution of system (VIII.6.2) which depends on two real arbitrary con
stants.
Let
Vt + H(t,
(S) u(t, , ) _
fe't
be the solution of system (VIII.6.2) satisfying the initial condition
Note that
+«0
H(t, , ) _ HP,q(t)ef°, H(tto = E
D+9=2 P+v=2
are power series in { and which are convergent uniformly on any fixed bounded
interval on the real t line.
6. ANALYTIC SYSTEMS IN R2 259
0
h(ceic, ee ")e'tdt = 0,
0
= 0.
Then,
= c + (c, c) and t; = e + ?(c, c),
where =(c, e) and c(e, c) are convergent power series in (c, e).
Now, we can prove that two formal solutions
+h(ce",Ce't)
ce`t
v'(t,c+F(c,e),e+ =2(c' i!)) and
eett + h(&'t, cent ) j
of system (VIII.6.2) are identical. The first of these two is convergent; hence, the
second is also convergent. This finishes Case I.
Observation VIII64. Let us look into Case II. Assume that system (VIII.6.3)
has the form
dt2 = iu2(1 +
co(uiu2)"'°)
ee't(1+c0(ce)'"0) +
is a formal solution of system (VIII.6.2) which depends on two real arbitrary con
stants.
Again, as in Observation VIII63, let (S) be the solution of system (VIII.6.2)
satisfying the initial condition (C). Set
+
eett(1+c0(ct)'"0) + h(eeit(t+co(ct)'"O),ceut(l+co(et)"O))
260 VIII. STABILITY
as formal power series in (c, e). This series has a formal period
27r
T(cc) = with respect to t, i.e.,
1 + co(ce)m0
E(c, c)
(VIII.6.8) v(T(cc), =[c, e], E[c, c])
E(e, C)
Solving (VIII.6.7) with respect to (c, e), we obtain two power series in
c= and e = e( , £).
(VIII.6.9)
Using (VIII.6.9) as equations for P({,£), it can be shown that the formal power
series is convergent. This implies that
1/7+o
C(S,S)C(CS) [(CO) 1/ J
and
`T(cC) +oo
J/ {e + H(s, , ) } e'8(1+co(cc)"° )ds
1 + t he+1,P(cz)p
0
P=1
since the quantity hP+1,P are real (cf. (VIII.6.4)). This proves that C(Cr/ ) is conver
C(l, 7)
gent. Hence, c(l;, ) and 4) are convergent. Thus, the proof of the convergence
of A g) in Case II is completed.
Thus, it was proved that if all of the coefficients w,,, on the righthand side of
system (VIII.6.3) are real, the point (0,0) is a center of system (VIII.6.1). The
general solution of (VIII.6.1) can be constructed by using various transformations
of (VII.6.1) which bring the system to either (VIII.6.3.1) or (VIII.6.3.2). Periods
of solutions in t are independent of each solution in Case I, but depend on each
solution in Case H.
7. PERTURBATIONS OF AN IMPROPER NODE AND A SADDLE PT. 261
Remark VIII65. The argument given above does not apply to the case when
the righthand side of (VIII.6.1) is of C(O°) but not analytic. A counterexample is
given by
2 _
r2 = Y1 + y2+
dt [h(1) h(r) y'
where h(r2) = e1jr2 sin I I. Using the polar coordinates (r,O), this system is
r
changed to
dt = rh(r2) and
d
and periodic solutions are given by r2 = 1
MR
with any integers nt. This is an
example of centers in the sense of Bendixson (cf. [Ben2, p. 26] and §VIII10).
For more information concerning analytic systems in JR2, see [Huk5].
Using thepolar coordinates (r, 0) in the gplane, write the vector g in the form
y=r [c?}. Then, system (VIII.7.1) is written in terms of (r, B) as follows:
where A =
all a12 J and g"(y) = [iW)l Here, use was made of the formula
a21 22 92 M
dr = r de
dy1
cos (9) + dye sin(6), = dy1 sin(g) + dye cos(9).
dt dt dt dt dt dt
In this section, we consider the case when the two eigenvalues Ai and A2 of the
matrix A are real, distinct, and at least one of them is negative, i.e., A2 > Al
and Ai < 0. Throughout this section, assume that all = Al, a22 = A2, and
a12 = a21 = 0. Then, in terms of the polar coordinates (r, 0), system (VIII.7.1) can
be writen in the form
(VIII.7.5)
1
r [Ai(cos(8))2 + A2(sin (e))2 + (e) + g2(g)sin (e))]
dt =
d9
= (A2  Ai )sin (0) cos (0) + r (e) + 92(y)cos (e))
2
if 0 < r < p(e) (cf. Figure 13).
Observation VIII74. If 0 > A2 > Al, there exists a positive number ro > 0
such that dt < Air for 0 < r < ro.
7. PERTURBATIONS OF AN IMPROPER NODE AND A SADDLE PT. 263
Observation VIII75. In the case when 1\2 > 0 > AI, find a real number wo
such that 0 < wo < 2 and tanwo = 1. Then, for any given positive number
2
E > 0, there exists another positive number p(E) > 0 such that
Observation VIII77. In the case when 0 > A2 > A1, the point (0, 0) is a stable
improper node of (VIII.7.1) as t + +oo (cf. Figure 17).
Observation VIII78. In the case when A2 > 0 > A1, the point (0,0) is a saddle
point of (VIII.7.1) (cf. Figure 18).
Choose three real numbers A1, A2, and A3 so that Al < 0, A2 > Al, and
A3
(VIII.7.6) 51 >1+ v.
Let µ(y) be a realvalued function such that (a) u is bounded on tit, (b) p is continu
ouslv differentiable in y" on e  {(0.0)}. (c)U(y) = A3 on Do. and
(d) µ(y') = A2 on DI. Set 9(y) = 0 Then, 9(y) = 0 if y" E Dl.
(l4(y)  A2) Y21
J
Furthermore, 0 < yl. 11121 5 (1 + ()y1+" if y"" D1, and
(VIII.7.7)
ddll
= \01 dt = AM + (µ(y)  A21y2
7. PERTURBATIONS OF AN IMPROPER NODE AND A SADDLE PT. 265
(I +e)Yi
FIGURE 19. FIGURE 20.
Observation VIII710. If we assume some condition on smoothness of §(y),
there is only one orbit of (VIII.7. 1) that tends to the point (0, 0) in the direction
9 = 0 as t  +oc.
Theorem VIII711. Assume that all = A1, a22 = A2, and a12 = a2I = 0, and
that
(1) A2 > \1 and Al < 0,
(2) g(j) is continuous in a neighborhood of
(3)y.o
lim " = 0,
lye
b2(t)
urn 01(t) = 0,
i t.+oo
lim 02(t) = 0, lim
t+co 01(t)
= 0.
Proof.
The existence of such orbit is seen in previous observations. To show the unique
ness of such orbit, rewrite (VIII.7.1) in the form
I
[:1].
where u = Observe that (a) 161 = 1 if Jul < 1, (b) L (d) = U g(0, y2)
0 Y2
= d, and (c)  1 < 0.
i
Write system (VIII.7.9) in the form
l
 1 I u + G(yi.u).
Q 1 A2u
92(yiu)  a 91(yl U
G(yi, u) = 
1
1 + 9i(y1iZ)
aiyi
ac
It is easy to show that lim 5:u (y1, u) = 0 uniformly on Jul < 1. Hence, there exists
v o
a nonnegative valued function K(yj) such that
!G(yi, u)  G(y1, v)! < K(yi )lu  vl
whenever Jul < 1, !v! < 1 and !y1! is sufficiently small. Furthermore, slim K(yt)
=0.
Let u = 01(yi) and u = ip2(yi) be two solutions of (VIII.7.9) such that
(1) ti i (yi) and .'2(y1) are defined for 0 < yi < r) for some sufficiently small
positive number 'I,
(2) lim i'1(yi) = 0 and lim i2(yl) = 0.
vl o+ v,
Set '(yi) = 01 (y1)  s (yi ). By virtue of uniqueness, assume without any loss
of generality that y(yi) > 0 for 0 < yi < ri. Then, for a sufficiently small positive r?,
d
y1 )tt'(yi) for 0 < y1 < i , where 7 = 2 1 I < 0. This implies that
J
d
[y1 "V,(yi)j < 0 for 0 < yi < rj. Hence, 0 < y1 lim yi 'W(yi) = 0 for
dyi Y: 0
0 < y1 < 17. Therefore, ;1(yi) = 0 for 0 < y1 < r).
The materials of this section are also found in (CL, §§5 and 6 of Chapter 151.
Theorem VIII81. Under the assumption given above, the point (0, 0) is a stable
proper node of system (VIII.8.1) as t , +oo.
(VIII.8.3)
(VIII.8.4)
ds
g(z)
Observe that
171
(VIII.8.5) 9(o) = n = ?12 '
the corresponding solution z(s) = et y'(t) of system (VIII.8.4) is the solution of the
initialvalue problem ds = r(7)2 f zz2
l
= rj, where
z" C 2 /
(VIII.8.6) r(i) = (n,)2 + (m)2.
Hence,
the following two conditions: (a) r(t) is strictly decreasing as t + +oo and (b)
lim r(t) = 0. Therefore, we obtain (c) 0 < r(t) <_ p for t >_ 0.
t. +00
Since r(t) is strictly decreasing for t _> 0, the variable t can be regarded as a
function of r, i.e., t = t(r), where t(p) = 0 and lim t(r) = +oo. Use r as the
independent variable. Then, (VIII.8.7) becomes
Let 0 = 4D(r) = 0(t(r)) (0 < r < ro) be the solution of (VIII.8.10) satisfying the
initial condition (b(p) = w. Then,
for 0 < r < ro. Now, by virtue of condition (iii), the improper integral
to
r.0 JP F(s, 4(s))ds exists. Observe that 0(t) = 4(r(t)) = w +
F(s, $(s))ds = lim r
J P
r(t)
F(s, (s))ds and that lim r(t)
t+oo
= 0. Therefore, lim 0(t)
t'+oo
=w+
P
0
Thus, we conclude that the point (0,0) is a stable node of
JP
(VIII.8.1) as t +oc.
Step 2. In this step, we prove that the point (0,0) is a proper node. To do
this, for a given real number c, find a solution (r(t), 0(t)) of (VIII.8.7) such that
rim 0(t) = c and t +oo
t+oo
lim r(t) = 0. Selecting a sequence {pm : m = 1, 2, ... } of
positive numbers such that 0 < p,,, < ro and lim pm = 0, define a sequence of
functions {cm(r) : in = 1, 2.... } by the initialvalue problems
d0
= F(r, 0), 0(Pm) = c (m = 1, 2.... ),
WT
respectively. Those functions are defined for 0 < r < ro, and
Set
for 0 < r < ro. Since the sequence {4D m(r) : m = 1, 2.... } is bounded and
equicontinuous on the interval 0 < r < ro, assume without any loss of generality
that lim fi(r) exists uniformly on the interval 0 < r < ro (otherwise
M +00
choose a subsequence). It can be shown easily that
dr
dt
= )r + 92(17(r))sm(4'(r)), r(0) = ro,
where g(r) = r [c?1]. The function r(t) is defined for t > 0, is decreasing,
and tends to 0 as t 4 +oo. Set 0(t) = $(r(t)). Then, it is easily shown that
(r(t), B(t)) is a solution of (VIII.8.7) such that limo 0(t) = 1i mt(r) = c.
t +0
0
The materials of this section are also found in (CL, §3 of Chapter 151.
1at
Therefore, a positive number ro can be fouind so that r(t) < r(0) exp J for t > 0
if 0 < r(0) < ro. This, in turn, implies that lim r(t) = 0 and that dt <  if
t +oo
2
b > 0, while de >  2 if b < 0, whenever 0 < r(0) < ro. Therefore, lim00(t) = oo
if b > 0 and lim 0(t) = +oo if b < 0, whenever 0 < r(0) < ro. Thus, we conclude
t too 
that (0, 0) is a stable spiral point of system (VIII.7.1) as t + +oo. 0
The materials of this section are also found in fCL, §3 of Chapter 151
Case 2. Assume that b < 0. If there exists a positive number po such that
whenever 0 < p < po, then the point (0, 0) is an unstable (respectively stable)
spiral point as t  +oo (cf. Figures 241 and 242).
d
dt [y2J [ yuj + yi +y2 I yy1J
dr
since = 0.
d8
Example VIII102. The point (0, 0) is an unstable spiral point of the system
d = [ Y2 + ` y 2I + Y22 yI
dt l Y2 l Yi J Y2
1
as t  oc, since dr
dt
= r2, which has the solution r = 1
ro  t
r(0) = and
ro
r +oo when t ro. (Note: t < ro.)
Example VIII103. For the system
dt =  y, d y = x + x2  xy + cry2,
the point (0, 0) is (a) a stable spiral point if a < 1, (b) a center if a = 1, and
(c) an unstable spiral point if a > 1.
Proof.
Use the polar coordinates (r, 0) for (x, y) to write the given system in the form
(1+rcos8(cos20cos0sin8+asin28)) = r2sin8(cos28cos0sin8+asin20).
10. PERTURBATIONS OF A CENTER 273
Setting
too
r(9, c) _ E r,,, (9)c"', where r(0, c) = c,
m=1
and comparing r(2r, c) and c for sufficiently small positive c, it can be shown that
(1 + Or
r1(t) = 1, r2(2r) = 0, r3(2r) = 4
Thus, r(27r, c) < c if a < 1. Therefore, (a) follows. Similarly, r(2r, c) > c if
a > 1. Therefore, (c) follows.
In the case when a x2  xy  y2 = (x  +2 ) (x  (12 ) . Set
W =  (1 Then. a = (1 Therefore, changing x and y by u =
X  (1 + ,/)y
2
and v = x  (1 
2
)y, the given system is changed to
du dv
Wv(1 + u), = u(1 + v).
dt
is independent of t. This implies that in the neighborhood of (0, 0), orbits are closed
curves. This shows that (0, 0) is a center. 0
Example VIII104. The point (0,0) is a center of the system
if (1) b is a nonzero real number, (2) A = 101 1J, (3) the entries of the R2
"
valued function g"(yj is continuous and continuously differentiable in a neighborhood
of 0, (4) lim = 6, and (5) there exists a function M(y) such that M is positive
g6 1Y1
valued, continuous, and continuously differentiable in a neighborhood of 0 and that
8(Mf1)(y) + 8(M 2)(y..) = 0 in a neighborhood of 0, where f, (y) and f2 (y) are
the entries of the vector MY + §(y).
Proof
The point (0, 0) is either a center or a spiral point. Look at the system
EXERCISES VIII
VIIII. For each of the following five matrices A, find a phase portrait of orbits
d:i
of the system = AY.
5 1
VIII2. Find all nontrivial solutions (x, y) = (d(t), P (t)). if any, of the system
xy2, _ x4y(1 + y)
dt =
satisfying the condition lim (th(t),tb(t)) = (0,0).
c.+00
VIII3. Let f (x, y) and g(x, y) be continuously differentiable functions of (x, y)
such that
(a) f (0, 0) = 0 and g(0, 0) = 0,
(b) (f(x,y),g(x,y)) # (0,0) if (x,y) 0 (0,0),
(c) f and g are homogeneous of degree m in (x, y), i.e., f (rx, ry) = rm f (x, y) and
g(rx, ry) = rmg(x, y). Let (r, 8) be polar coordinates of (x, y), i.e., x = r cos 8
and y = r sin 0. Set F(8) = f (cos 0, sin 8) and G(O) = g(cos 8, sin 8).
(I) Show that
dr
= rm(F(8) cos 8 + G(8) sin 8),
(S) dt
d8
dt
= rm1(F(8)sin8 + G(O)cosO).
(II) Using system (S), discuss the stability property of the trivial solution of each
of the following three systems:
(i) = x2  y2
dt
= 2xy;
4ii
(iii)
d = x4  6x2y2 + y4, dy = 4x3y  4xy3.
EXERCISES VIII 275
VIII4. Let J be the 2n x 2n matrix defined by (IV.5.2) and let H be a real constant
2n x 2n symmetric matrix. Show that the trivial solution of the Hamiltonian system
a = JHy is not asymptotically stable as t +oo.
V11I5. Show that the trivial solution of the system
dy'
d = Ay" + 9(t, y)
0(ro) = To x D(ro) = {(t, yl : 0 < t < +oo, Iyj < ro) for some ro,
(iv) g(t, yj satisfies the estimate
dy = Ay + Ng + 9(y), y = Iyil,
where
(1) A is a negative number,
(2) N is a real constant nilpotent 2 x 2 matrix and N # 0,
(3) the 1R2valued function y'(yj is continuous in a neighborhood of
(4) 19(y) 11 cly1I+" for some positive numbers c and v in a neighborhood of
CA
Hint. Suppose N = 0 2 . If we set yj = r cos 0 and y2 = r sin 6, we obtain
0 0
where 9"(y'i = {9i]. Hence, if r(0) is small, r(t) is bounded by r(0) and
92(V
lim r(t) = 0 for t > 0.
t+0 This implies that if 1#(0)I is small, g(t) is bounded
and lim y(t) = 0'. Look at
t+o
+ +00
eaae_a'
6(+ = 9(0) +
0
exists.
Now,
(1) if d(+oo) = 0, then d(t) = 0 identically, since, in this case,
d(t) = f+a
eX$eajV9(y(s))ds;
Hence, the point (0, 0) is a stable improper node of the given system.
VIII7. Determine whether the point (0,0) is a center or a spiral point of the
system
dt = y
+ xy3  y7, _ x + xy2  yg.
Hint. This system does not change even if (t, y) is replaced by (t, y).
VIII9. For the system
d [y,] [yj + 1 [ y2
dt y2 
 yIn yi + y2 yi
as t++oc.
EXERCISES VIII 277
dt r' dt = In r'
VIII11. Suppose that a solution ¢(t) of a system
dy _
AJ + §(y)
dt
satisfies the condition
lim
tr 4(t) = 0
for a positive number r. Show that if
(1) A is an n x n constant matrix,
(2) the ndimensional vector W(if) is continuous in a neighborhood of 0,
(3) lien 9(Y) = 0,
V6 !y1
then ¢(t) = 6 for all values oft.
(Note that the uniqueness of solutions of initialvalue problems is not assumed.)
VIII12. Assume that
(i) AI.... .. 1n are complex numbers that are in the interior of a halfplane in the
complex Aplane whose boundary contains A = 0,
(ii) there are no relations \, = plat + P2 1\2 + + pnan for j = 1, ... , n and
nonnegative integers p,,... , pn such that pi +   + pn >_ 2,
(iii) f(y' = yam' ft, is a convergent power series in ff E Un with coefficients
jp1>2
fpEC'.
Show that there exists a convergent power series ((u) _ ul'Qp with coefficients
Inl>2 _
dg
Qp E Cn such that the transformation if = u" + Q(ur) changes the system  _
dt
A#+ f (y) to
j = Au, where A = diag[.1t, A2,4, ... , A ].
VIII13. Show that the trivial solution of the system
dx dr
 st(x +X22) + x2ezl+ 2, dt
22(22 + 22) _ Xlez'+ 2
is aymptotically stable as t +oo. Sketch a phase portrait of the orbits of this
system.
VIII14. In Observation VIII62, it is stated that if one of the is not real,
then y" is a spiral point. Verify this statement.
VIII15. Discuss the stability of the trivial solution of the system
explicitly.
CHAPTER IX
AUTONOMOUS SYSTEMS
has a unique solution y = p(t, y7). System (IX.1.1) is called an autonomous sys
tem since the righthand side f (y) does not depend on the independent vari
able t.
Observe that p(t + r, r) is also a solution of (IX.1.1) for every real number T.
Furthermore, At + r, rl) = p(r, il) at t = 0. Hence, uniqueness of the solution of
initialvalue problem (IX.1.2) implies that p(t +r, rt) = p(t, p(r, rt)) whenever both
sides are defined. For each il, let T(rl) be the maximal tinterval on which the
solution p(t, r) is defined. Set C(rt) = {y" = p(t, rl) : t E Z(rl)}. The curve C(rl) is
called the orbit passing through the point il. Two orbits C(iji) and C(rj2) do not
intersect unless they are identical as a curve. In fact,
279
280 IX. AUTONOMOUS SYSTEMS
(1) S1 n S2 = 0,
(2) S1 U S2 L+(rf)
Set d = distance(S{{l, S2) = min{lyl  y21 yl E S1, y2 E S2}. Note that d >
1. :
0. Set also So = g: distance(y, SI) = Then, So is not empty, bounded,
and closed. Furthermore, So n C+(i) =20. Choose two points y"I E SI and
y ' 2 E S 2 and t w o sequences {tk : k = 1, 2, ... } and {sk : k = 1,2,...) of
lim tk = +oo, lim sk = +oo,
real numbers so that tk < Sk (k = 1, 2, ... ), k+oo k+oo
limp P(tk, y"1, and k lim G p1sk, r7) = 92. Assume that r), SO <
k
2 and distance(p(sk, r), SI) > Then, there exists a Tk for each k such that
2.
tk < Tk < sk and p(Tk, rl) E So. Choose a subsequence (at : e = 1,2.... ) of
{rk : k = 1, 2, ... } so that lim at = +oo and lim p(at, r) = # exist. Then,
Y E So n C+ (Y)) = 0. This is a contradiction.
(5) C+ (17) is invariant: It must be shown that if ff E C+ (r), then p1t, y) E L+(17)
f o r all t E 11(y). In fact, there exists a sequence {tk : k = 1, 2, ... } of real numbers
such that Iii o tk = +oo and k lim o P14, r) = 17. From (IX.1.1) and the continuity
k
of P(t,y) of y", it follows that for each fixed t.
li tk, n) = UM P(t, Pptk, r1)) = Pit, y) E L+(7). El
k +co k
The materials of this section are also found in [CL, Chapter 16, §1, pp. 3893911
and [Har2, Chapter VII, §1, pp. 1441461.
that there exist a mat number t and a positive number r such that 0 < r < ro,
Dt C {y : Iy1 < r}, and Vg(y) f (y) < 0 on De. Then, L+ (17) C Me for all n E Vt.
Proof.
Set u(t) = V(p(t,rl")). Then,
dot)
= V9(r(t,r7))' dtp(t,i) =
du(t)
Therefore, < 0 as long as p(t, t) E Vt. This implies that u(t) < V(17) < e
dt
for r) E Vt as long as p(t, n) E Vt. Hence, p(t, rl E Dt for t > 0 if ij E Vt.
Consequently, Ip(t, rlI < r for t > 0. It is known that C+ (171 is nonempty, bounded,
closed, connected, and invariant (cf. Theorem IX14). Furthermore, C Vt.
d t)
Let po be the minimum of V(rl') for Iy7 < r. Then, po < u(t) and < 0 if
it E 1)t. Hence, lim u(t) = uo exists and no > po. This implies that V(y) = uo
for all y E C+(t)). Since C+(71 is invariant, V(p(t, y)) = uo for all y E L+(171 and
t > 0. Therefore, VV(p(t, y)) &I t, y)) = 0 for all y E C+ (q) and t > 0. Setting
t = 0, we obtain Vc(y) f (y) = 0 if y E C+(rl, i.e., C St if i E Vt. Hence,
C+() C Mt for if E Vt.
The following theorem is useful in many situations and it can be proved in a way
similar to the proof of Theorem IX21.
Theorem IX22. Let V (y) be a realvalued and continuously differentiable func
tion for ally E lR' such that VV(y) f (y) < 0 for all y" E R". Assume also that the
orbit p(t, rte) is bounded fort > 0. Set S = 1g: Vi(y) f(y) = 0) and let M be the
largest invariant set in S. Then, L+ (71) C M.
The proof of this theorem is left to the reader as an exercise.
In order to use Theorem IX22, the boundedness of p(t, must be shown in
advance. To do this, the following theorem is useful.
Theorem IX23. If V (y) is a realvalued and continuously differentiable function
for all y" E lR^ such that VV(y) f(y) < 0 for Iyi > ro, where ro is a positive number,
and that lim V (y) = +oo, then all solutions p(t, r)7) are bounded for t > 0.
1Q1+00
Proof.
It suffices to consider the case when p(to,rl > ro for some to > 0. There are two
possibilities:
(1) IP(t,r1)I > ro fort > to,
(2) IP(t,n')I > ro for to < t < t, and Ip1ti,17)1 = ro for some tl > to.
Case (1). In this case, dt V (p( t, r)1) = Vj(p(t, rl) f (p(t, 47)) < 0 fort > 0. Therefore,
V (r(t, V (r(to, t))) for t > to. Hence, p(t, tt") is bounded for t > 0.
Case (2). In this case, it can be shown that
V(p(t, 71)) <_ max IV(P(to,' )), max(V(y) : 1yi <_ ro)1
3. ORBITAL STABILITY 283
in a way similar to Case (1). The details are left to the reader as an exercise. 0
[y2] = yl +y2
d. [  2]
passing through the point ij = I ] is given by
(IX.3.1) = f (y,
284 IX. AUTONOMOUS SYSTEMS
di7 Of
(IX.3.2) =
is called the first variation of system (IX.3.1) with respect to the solution pit, rlo).
The coefficients matrix of (IX.3.2) is periodic in t of period 1.
Let pi, p2, ... , p be the multipliers of (IX.3.2) (cf. Definition IV45). Since
2 p(t,
(pit, o)) d p1t, ijo), linear system (IX.3.2) has a nontrivial periodic
solution fjt, im). This implies that one of the multipliers must be 1. Set pl = 1.
The following theorem gives a basic sufficient condition for orbitally asymptotic
stability.
Theorem IX34. If n  1 multipliers p2,... , p, satisfy the condition ipiI < 1
(j = 2,... , n), then the periodic orbit C(rjo) is orbitally asymptotically stable as
t4+oo.
Prof.
We prove this theorem in five steps. It suffices to find an (n  1)dimensional
manifold M in a neighborhood of the point so that
(1) M is transversal to the orbit C(i) at ilo; i.e., the tangent of C(yo) is not in
the tangent space of M at ilo,
(2) there exist two positive numbers K and r such that
FIGURE 1. FIGURE 2.
Step 1. There exists an invertible n x n matrix P(t) whose entries are realvalued,
continuously differentiable, and periodic in t of period 1 (or 2) such that the trans
formation
(1X.3.3) 6 = P(t)v"
3. ORBITAL STABILITY 285
changes (IX.3.2) to
(IX.3.4)
dt =
AV, A = [ 0 B,
where B is a constant (n  1) x (n  1) matrix (cf. Theorems IV41 and IV43).
Since the absolute values of n 1 multipliers are less than 1, there exist two positive
numbers Co and a such that
(IX.3.5) Iexp[tB] I < Coetot for t > 0.
A fundamental matrix solution of (IX.3.2) is given by
0
exp[tA] = [1
1
1/(t) = P(t) exp[tA],
o exp[tBj J
This implies that the first column vector of P(t) is a periodic solution of (IX.3.2)
and all the other columns of W(t) are not periodic. Hence, assume that
Se of
I1+ K( (1 + ) < ko1 1eOL
Next, set lIJt ({) = sup (eot 1 (t, 4)1 : t > 0) if the entries of an R"valued func
tion t(i(t, £) are continuous for (IX.3.16) and l}} < kolleot for (1X.3.16).
Then,
I
J+9i(s,t,ii(s,())ds  ft 9i(s,tG2(s,&ds l
+oo
< K(ko at
< 2IItLI  1211(&ot
3. ORBITAL STABILITY 287
and
f exp[(ts)B]92(s,))ds
t
 f+ exp((ts)B](s,(IV)
<
Q
< 2[[i1  &IOeoc
for (IX.3.16) if the entries of R'valued functions 1(t, )) and (t, t; are continuous
for (1X.3.16) and that J ,(t,£)I < (j = 1,2) for (IX.3.16).
ko1&OC
15m(t, =
L gm(t,
f= g1(s,(s,))ds,
ao
Then, it can be shown without any difficulties that lim >im(t, exists
m +oc
uniformly for (1X.3.16) and the limit %i(t, { is a solution of integral equations
(1X.3.14) satisfying condition (IX.3.15) for (IX.3.16). Note that i(O,t;)
0
where a(t) = f gl (s, z/i(s, })ds. This implies that
00
Step 5. Set
00,6 = Plt,vio)
Then, is a solution of system (IX.3.1) such that
(IX.3.18) At, f)  pjt, i o)[ 5 Ko{f [e°` for (IX.3.16),
where Ko is a positive constant. Define an (n  1)dimensional manifold M by
M = (g=4(0'6: 01<<601
Using (IX.3.6), (IX.3.17), (IX.3.18), and (1X.3.11), we obtain
Thus, the manifold M is transversal to the orbit C(fjo) at rp. Note that (t, t
At, ¢(0, 6).
Moreover, by continuity of the solutions of (IX.3.1) with respect to the initial
conditions, there exist two positive numbers 61 and ro such that for i satisfying the
condition
11 401
there is a real number r(q such that 1r(q)l < ro and p(r(g71,'7) E M. Therefore,
(IX.3.18) implies that
(i) the entries of vectors 4"4(t) (j = 2,3) are continuously differentiable and peri
odic in t of period 1,
(ii) three vectors d
Q , 4'2(t), and 43(t) form an orthogonal system.
dp(ttrlo)
Note that = f (plt, no)).
is the plane which is perpendicular to the orbit at piT,, o). Letting t, u1, and
u2 be three functions of r to be determined, set
dge(r)
dt {/,/
f(f(t))dT = f(P(r>io)) +
du1
42(r) +
due _
+ u1 + u2 dQ3(r)
dT dT 93(r) d, dT
y'
This yields
(IX.3.20)
df11 dt ( 42(T) 1
((t) d93(r)1
W 2(T) f(y(t))dr  2(t)' dr l u1  dT J u2,
due dt
((t) dQ2(T)\
dr u1  93(t) dg3(r))
dr
and
where a" b denotes the usual dot product and we assumed that q"1(r} = 1 (j =
2, 3).
Note that
dt
= 1 + 00U11 + Iu21)
77.
290 IX. AUTONOMOUS SYSTEMS
and
(IX.3.22)
dul
42(r) ' l ul + [i(T). (r))1 U2
dr
d9drr))
 (o) . _d_r) Jut  (0)  u2 + O(lul l + 1U21),
Let Q(t) be the 3 x 3 matrix whose column vectors are (at, qo)), fi(t), and
,fi(t), i.e., Q(t) = [ f (p1t, rlo)) 6(t) q"3(t)! . The transformation w = Q(t)v changes
the linear system
dtr,
(S2) _ L(PIt,rl *6
to
0 a21(t) a22(t)
Using these notations, write (IX.3.22) in the form
dul
d7
= all(r)ul + a12(r)u2 + 91(T,ul,u2),
(IX.3.23)
1 dug
= a21(r)u1 + a22(r)u2 + 92(T,u1,u2),
dr
where
j
du' = [all(t) a12(t)
a21(t) a22(t)
U
are also multipliers of system (S2). Therefore, using system (IX.3.23), Theorem
IX34 can be proven. In general, we obtain more precise information concerning
the behavior of solutions in a neighborhood of a periodic solution in this way.
The materials of this section are also found in 1CL, Chapter 13, §2, pp. 3213271.
4. THE POINCAREBENDIXSON THEOREM 291
Observation IX43. For every transversal t and every point i , the set tnC+(
contains at most one point (cf. Figures 41 and 42).
I
PU,
If C+ (, ) does not contain any stationary points, then (i) follows (cf. Lemma
IX44). If C+(no) consists of stationary points only, we obtain (ii), since C+(ilo) is
connected. If f+ (Q contains stationary and nonstationary points, then C+(7) for
any point it E C+(ilo) does not contain nonstationary points (cf. Lemma IX44).
This is true also for t < 0. Hence, (iii) follows.
Observation IX45. In cases (i) and (iii), the set 1R2  C+(ilo) is not connected.
Furthermore, if an orbit C(i)) is contained in C+(i o), two sides of the curve p1t, tl")
belong to two different connected components of R2  C+(t ). In fact, if we consider
a simple Jordan curve C which intersects with the orbit C(tl at n transversally, then
the curve p(t,,o) intersects with C in a neighborhood of two distinct points on C
infinitely many times (cf. Figure 5).
Theorem IX46. If C(ijo) n C+(ilo) 0 0, then C+(ijo) = C(rjo) and either no is
a stationary point or the orbit C(ilo) is periodic.
Proof
In this case, C(ilo) C C+(ilo). If C+ (8o) contains nonstationary points, the orbit
C(i o) consists of nonstationary points. Choose a transversal a at ilo. Then, it can
be shown that C(ilo) is periodic in a way similar to the proof of Lemma IX44,
since r1o E C+(tlo).
 __11
n2=0
(0.0)
FIGURE 7. FIGURE 8. FIGURE 9.
For 0<r<s<1,set
if T = s,
Then, v(T, s) is continuous in (T, s) for 0 <_ r < s < 1. Hence, studying how 16(0, s)
changes from s = 0 to s = 1 and how i6(T,1) changes from T = 0 to T = 1, we
obtain Ij.(.)(C) = 1. 13
5. INDICES OF JORDAN CURVES 295
di
(IX.5.1) f(+1+
dt
then 1 f(C) = 1.
(IX.5.2) 1 f(C) =
EH+2
2
Sketch of proof.
Let rj(r,) and fj(rk) be two consecutive contact points such that T. < rk. Then,
(i) if both of these two points are exterior contact points, then the tangent to C
changes 7r in angle more than the vector field f does from the point #(T.) to
the point fj(rk) (cf. Figure 111),
(ii) if both of these two points are interior contact points, then the vector field f
changes it in angle more than the tangent to C does from the point #(T,) to
the point it(rk) (cf. Figure 112),
(iii) if these two points are an exterior contact point and an interior contact point,
then the tangent to C and the vector field f change in the same amount in
angle (cf. Figures 121 and 122).
Since the total amount of change of the tangent to C in angle is 27r (cf. Observation
IX56), we arrive at formula (IX.5.2). 0
q(
(IX.5.3)
EH+2
2
on the y"plane. It is easy to see that, if zo = 171 +ir12 is a zero of p(z) of multiplicity
m, then if#?) = m, where AM _ R(p(yl + iy2)] and i) = [112, 111
. For example,
%P(YI + iy2)]
if p(z) = iz2, system (IX.5.4) becomes
dr
r dO rPF2(0),
dt = rPFI (0), dt
where
F1(0) = f 1(cos 8, sin o) cos 0 + f2(cos 0, sin 0) sin 0,
Sl F2(0) = f1(cos0,sin6)sin0 + f2(cos0,sin0)cos0
(cf. Exercise VIII3). If a ray to is defined by F2(0) = 0, then to is an orbit of the
system dff = f (r))). Thus, the entire y"plane can be divided into sectorial regions
by those orbits QB determined by equation F2(0) = 0. For example, in the case of
system (IX.5.5), we obtain Fl (0) =  sin 0 and F2(0) = cos 0. Observe that
EXERCISES IX
IX1. For each of the following three systems, using the given function V (x, y),
show that all orbits are bounded as t . +oo .
EXERCISES IX 299
Y2;
(1) _ xy2  4y, _ yx2 + 3x, V(x,y) = 3x2 +4
Y2;
(2) = y, = x3  y, V(x,y) = x4 +2
dy
= y, =  (xs  3x4 + 2x3 + 120x2  23x + 5)  (1 + x2)y,
IX2. Show that every solution y(t) and its derivative L(t)
(t) of the differential
where f j and f2 are continuously differentiable on the entire (yj, y2)plane. Assume
that
(1)
fl(yl,y2)>0 for y2>0 and oo<yl<+oo,
fi(yi,y2) < 0 for y2<0 and  oo < yl < +oo,
(2) fj(yi,1) > 1 and fi(yi, 1) < 1 for oo < yl < +00,
(3) f2(yi,1) = 0 and f2(yi, 1) = 0 for oo < y1 < +oo,
(4)
2  1)
f2(11j,y2) <_ YI(112 for jy2j < 1 and 0 < yi < +oo,
1
f2(Y1,Y2) ? Y1 (Y22  1)
for jy21 < 1 and  oo < yi < 0,
is bounded as t + +oo.
Case 2. The solution (y1(t),y2(t)) of (SI) that satisfies the initial condition (C) is
unbounded as t +oo.
In Case 1, G+((nj, n2)) is either {(0, 0)} or a periodic orbit. In Case 2, G+((nj, 92))
is{(x,±1):oo<x<+oo}.
300 IX. AUTONOMOUS SYSTEMS
Examples.
(a) Every orbit in Iy21 < 1 of the system with fl(yl,y2) = y2 and f2(yi,y2) _
yl(y2  1) is periodic.
(b) The stationary point (0,0) is a stable spiral point if fl(yl,y2) = y2(2 
sin(yly2)) and f2(yj,y2) = 2yi(y2  1).
(c) The stationary point (0, 0) is an unstable spiral point if ff(yi, y2) = y2(2 +
sin(yiy2)) and f2(yi,y2) = 2y, (y22 1). 
Verify these statements by using the function V(yl, y2) = yi  ln(1  y2).
IX4. Let us consider a system
where
(1) the entries of the 1R2valued function f (y) is continuously differentiable on the
entire yplane,
EXERCISES IX 301
Y1  y2 y2
find the total number E of elliptic sectorial regions, the total number H of hyper
bolic sectorial regions, and the total number of parabolic sectorial regions in the
neighborhood of the isolated stationary point 0 of the system = f (y, E) in the
dt
following two cases: (i) E = 2 and (ii) E _ 2. Also, find I y(0) for e 96 0.
IX8. Let us consider a system
(S3) dt = f (y),
where the entries of the l 3valued functionf is continuously differentiable on the
entire yspace R3. Assume that (S3) has a periodic orbit pit,ip) of period 1 such
that f (r'(t, o)) 0 0. Assume also that the first variation of system (S3) with respect
to the solution p(t,' o), i.e.,
d9 Of
(r(t,io))u,
dt
has three multipliers p1 = 1, p2i and p3 satisfying the condition: 1P21 < 1 and jp3j >
1, respectively. Construct the general orbits pit, r) of (53) such that distance(At,17),
C(s'7o)) tends to0ast+too.
drt
IX9. Show that the differential equation dt2 + (x + 3)(x + 2) + x(x + 1) = 0
does not have nontrivial periodic solutions.
Hint. Two stationary points are a node (0,0) and a saddle (1,0). Furthermore,
setting f(x1,x2) = x2 , we obtain divf(x1,x2) _
(xt + 3)(x1 + 2)x2  xt(xt + 1) J
I
(x1 + 3)(x1 + 2) < 0 if x1 > 1. Also, use index in §IX5.
IX10. For the system
IX13. Let f (x, y) and g(x, y) be realvalued, continuous, and continuously dif
ferentiable functions of two real variables (x, y) in an open, connected, and sim
ply connected set D in the (x, y)plane such that 8f (x, y) + Lf (x, y) j4 0 for all
dxt
(x, y) E D. Show that the system = f (x, y), d = g(x, y) does not have any
nontrivial periodic orbit that is contained entirely in D.
IX14. Let p(z) be a polynomial in a complex variable z and deg p(z) > 0. Set
x = 3t(z] and y = Q [z]. Verify the following statements.
(i) In the neighborhood of each of stationary points of system
there are no hyperbolic sectors. Also, system (A) does not have any isolated
nontrivial periodic orbit.
(ii) In the neighborhood of each of stationary points of system
(B)
dt
= 3R[p(z)], L = `3'[p(x)],
there are no elliptic sectors. Also, system (B) does not have any nontrivial
periodic orbits.
EXERCISES IX 303
where the entries of the R'valued function f are analytic with respect toy in a
domain Do C R'. Assume that
(i) system (S2) has a periodic orbit pit, ijo) of period 1 which is contained in the
domain Do,
(ii) APTt,no)) 0
(iii) for any open subset V of Do which contains the periodic orbits p(t, i"p), there
exists an open subset U of V which also contains p'(t, o) such that for any
point i in U, the orbits p'(t, i of (S4) is contained in V and periodic in t.
Show that if U is sufficiently small, for any point i in U, we can fix a positive period
of p1t, y) so that is bounded and analytic with respect to i in any simply
connected bounded open subset of U.
Hint. Apply the following observation.
Observation. Let Do be a connected, simply connected, open, and bounded set in
1Rk and let T2 (j = 1, 2, ...) be analytic mappings of Do to l . Suppose that, for
any pointy E Do, there exists a j such that T3 [yl = y, where j may depends on Y.
Then, there exists a jo such that Tjo [yj = y for all y E Do.
Proof.
Set
E j _ {y E D o : T j [ y 1 = Y  ) . j = 1, 2, ... .
Then,
(1) E. is closed in Do,
+00
(2) Do = U E,,
3=1
(3) Do is of the second category in the sense of Baire.
Hence, for some jo, the set Ego contains a nonempty open subset (cf. Baire's
Theorem). Since Tea is analytic, we obtain Tao [ 7 = y" for all y" E Do. O
For Baire's Theorem, see, for example, [Bar, pp. 91921.
CHAPTER X
In this chapter, we explain the basic results concerning the behavior of solutions
of a system
112
[h(yi)112  9(111)
as t  +oo. In §X2, using results given in §IX2, we show the boundedness of
solutions and apply these results to the van der Pol equation
(E) x + E(x2  1)
d +x=0
(cf. Example X25). The boundedness of solutions and the instability of the unique
stationary point imply that the van der Pol equation has a nontrivial periodic
solution. This is a consequence of the Poincar&$endixson Theorem (cf. Theorem
IX41). In §X3, we prove the uniqueness of periodic orbits in such a way that it
can be applied to equation (E). In §X4, we show that the absolute value of one
of the two multipliers of the unique periodic solution of (E) is less than 1. The
argument in §X4 gives another proof of the uniqueness of periodic orbit of (E). In
§X5, we explain how to approximate the unique periodic solution of (E) in the case
when a is positive and small. This is a typical problem of regular perturbations. In
§X6, we explain how to locate the unique periodic solution of (E) geometrically as
e  +oo. In §X8, we explain how to find an approximation of the periodic solution
of (E) analytically as a +oc. This is a typical problem of singular perturbations.
Concerning singular perturbations, we also explain a basic result due to M. Nagumo
[Na6] in §X7. In §X1, we look at a boundaryvalue problem
Using the Kneser Theorems (cf. Theorems 1II24 and III25), we show the exis
tence of solutions for this problem in the case when F(t, y, u) is bounded on the
entire (y, u)space. Also, we explain a basic theorem due to M. Nagumo [Na4] (cf.
Theorem X13) which we can use in more general situations including singular
perturbation problems (cf. [How]).
For more singular perturbation problems, see, for example, [Levi2], [LeL], (FL],
[HabL], [Si5], [How], [Wasl], and [O'M].
304
1. TWOPOINT BOUNDARYVALUE PROBLEMS 305
Theorem X11. If the function F(t, yt, y2) is continuous and bounded on a region
11 = {(t, Y1, y2) : a < t < b, lyt I < +oo, Iy2I < +oo}, then problem (X.1.1) has a
solution (or solutions).
Proof.
For any positive number K, the set Aa = {(a, or, y2) : Iy21 < K} is a compact
and connected subset of ft We shall show that A0 satisfies Assumptions 1 and 2
of §1112 for every positive number K. In fact, writing the secondorder equation
(X.1.1) as a system
dyt _ dye
(X.1.2)  Y2, = F(t, yt, y2),
dt dt
we derive
y1(t) = y1(a) + J y2(s)ds,
a
where c is a certain point in the interval 10. Since I ddt2 (c) M, the quantity
yI(b)I can be made as large as we wish by choosing Iy2(a)I sufficiently large. Thus,
there are two points (nt, n2) and ((1, (2) in Sb such that (X.1.3) is satisfied.
Since the set Sb is compact and connected, there must be a point (Q, () in the
set Sb. This implies the existence of a solution of problem (X.1.1). 0
306 X. THE SECONDORDER DIFFERENTIAL EQUATION
and
(X.1.5)
+ p+, =
0, y(a) = a, y(b) = Q
dt2
However, Theorem X11 does not apply to
For more general cases, the following theorem due to M. Nagumo (Na4] is useful.
Theorem X13. Assume that
09 f
(i) a realvalued function f (t, x, y) and its derivatives az and are continuous
in a region V = {(t, x, y) : (t, x) E A, oo < y < +oo}, where 0 is a bounded
and closed set in the (t, x) space;
(ii) in the region D, the function f satisfies the condition
(I) 1f(t,x,y)1 : 0(IyI),
where 0(u) is a positivevalued function on the interval 0 < u < +oo such
that
+°° udu
(II) +00;
(iii) two realvalued functions wi (t) and w2(t) are twice continuously differentiable
on an interval a < t < b and satisfy the conditions
wi(t) < w2(t) for a < t < b,
Ao = {(t x)a<t<b wi _(t) < x<w2(t)}co,
and
d2wi (t) > f 1 t, wi (t), d
2 dt t) )
(IV)
d2dt d
2 (t) <f t, W2 (t), dt t)) , for a < t <b;
(iv) two real numbers A and B satisfy the condition
(V) wi(a) < A < w2(a), and wi(b) < B < w2(b).
Then, the boundaryvalue problem
Lemma X14. Let x(t, to,rl) be the solution of the initialvalue problem
d2x d .)
= f (t, x, , x(to) x'(to) = n,
where a < to < b, (to, l;) E Ao. Then, for any given positive number M, there exists
a positive number a(M) such that l x'(t, to, l;, il) j < a(M) if
(X.1.7) jr71 < M and (T, x(r, to, e, rl)) E Do for to < r < t or t:5 r < to.
Proof.
Letting L be a positive number such that
Suppose that there exist ri and r2 such that to < Ti < r2 < t and that
x'(r1) = M < x'(r) < x'(r2) = a(M) for r1 < r < T2,
where x(T) = x(r, to, t ,17). Then, since x'(r) > 0 for ri < r < r2, it follows that
xO(X'x
x/ (7) for T1 < r < r2.
(T ))) <
Hence,
a(M) u/du
f 0u) 
This contradicts the choice of L by (X.1.9). Therefore, Lenuna X14 is true for
to < r < t. We can treat the case t < r < to similarly, since if we change t by t,
the differential equation x" = f (t, x, x') becomes x" = f (t, x, x'). 0
Lemma X15. Set
where e is an arbitrarily fixed positive number. Let also x(t, c) be the solution to the
initialvalue problem
d2x
= f (t, x, , x(a) = A, i (a) =
)
308 X. THE SECONDORDER DIFFERENTIAL EQUATION
Then,
(1) two curves x = x(t, c) and x = w2(t) meet for some t on the interval a < t < b
if c>'Y;
(2) two curves x = x(t, c) and x = wl (t) meet for some ton the interval a < t < b
if c < ry.
Proof.
La
For part (1), by virtue of Lemma X14, x'(r,c) > if (r,x(t,c)) E Ao for
a < r < t. The proof of part (2) is similar.
Proof of Theorem X13.
Now, let us complete the proof of Theorem X13. The main point is that when
two curves x = x(t,c) and x = w2(t) or two curves x = x(t,c) and x = w, (t) meet,
they cut through each other. So look at Figure 1.
(b, B)
(a. A)
t=a r=b
FIGURE 1.
Example X16. Theorem X13 applies to the boundaryvalue problem
d2x _
(X.1.10) x(0) = A, x(1) = B
dt2 Ax'
d [yj __ Y2
(X.2.1)
dt y[h(yi)y2  9(yi)
as t
l)y2 9(y1)
+oo. Set y = I yl
J
and f (yl = [_h(yi
h(x), g(x), and dd(x) are continuous with respect to x on the entire real line R.
JLet us assume that
Also, we denote by p(t,r) the solution of (X.2.1) satisfying the initial condition
y(0) = n
Fi rst set V (y) = + G(yl ), where G(x) = fox g(s)ds. Then,
2Y2
Y2 = 0.
Observation X21. Denote by M the set of all stationary points of system
(X.2.1), i.e., M = {9: g(yl) = 0, y2 = 01. Then, M is the largest invariant set in
S if the following three conditions are satisfied:
(1) h(x) > 0 for oo < x < +oc,
(2) h(x) has only isolated zeros on the entire real line IR,
(3) g(x) has only isolated zeros on the entire real line R.
The proof of this result is left to the reader as an exercise (cf. Figure 2, where
0, 0 and 0).
By using Theorem IX22, we conclude that lim p(t, y) = 17 E M if conditions
t+00
(1), (2), and (3) are satisfied and if the solution p(t,g) is bounded for t _> 0. Note
that G+(rt) is a connected subset of M.
In Observation X21, the boundedness of the solution p(t, i) for t _> 0 was
assumed. In the following three observations, we explore the boundedness of all
solutions of (X.2.1). Set
G(x) = o
Jo
g(s)ds and H(x) = f
o
X
h(s)ds.
(X.2.2)
d [zl] Z2  H(z1)
dt 22 g(z1)
by the transformation
Y1 = Z1, Y2 = z2  H(zi).
Denote by qqt,() the solution of (X.2.2) such that z(0) _ . Set V, (z) = zz2 +
G(z1). Then,
L9 V,
ay  [g(zl), z21, ,P = g(z1)H(zl)
8z"
Note that g(x)H(x) > 0 for oo < x < +oo and that
dt V1(ggt,C))
 z(g(t,C)) F(glt,S)) S 0 for t > 0.

Y2=0 z2=0
{s2, 0) (43,0) (41.0)
di1 z1=0
FtcuRE 2. F1cuRE 3.
2. APPLICATIONS OF THE LIAPOUNOFF FUNCTIONS 311
Observation X24. Every solution p(t, >)1 of (X.2.2) is bounded for t > 0 if
(i) = lim
+00
H(x) = +oo, (ii) = Cc
lim H(x) = oo, (iii) g(x) > a for x > as > 0,
and (iv) g(x) < a for x < ao < 0, where a and ao are some positive numbers.
Proof.
In Observation X23, the Liapounof function
OV2
09
_ [[y2 + H(yi)  k(yi )J {h(yi)  dyyt )1 + 9(yi ), 1
Y2 + H(1h)  k(yi) I
and J
(Y ')
J
az {y22
dy, + [H(yi)  k(yi)J y2}
 9(yi) [H(yi)  k(yl)J
Using (i) and (ii), three positive numbers M, a, and c can be chosen so that
fa [H(x)  cJ > M for x > a > ao,
a [H(x) + c] > M for x < a < ao.
Also choose a function k(x) so that
{c for x > 2a,
(1) k(x) =
C for x!5 2a,
dk(x)
(II} Jk(x)J < c and >0 for  on < x  +oo ,
dx
and
dk(x) >
m > 0 for JxJ < a
dx
for some positive number m (cf. Figure 4).
k
k=c
k=c
x=2a x=a x=O x=a x=2a
FIGURE 4.
312 X. THE SECONDORDER DIFFERENTIAL EQUATION
In fact,
2 + e(x2  1) dt + x
= 0,
where a is a positive number, h(x) = e(x2  1) and g(r) = x. Hence,
t
lim
2Since V (y)
+oo
a
ev. f =
WY=
exists for every solution p(t, ii) of (X.2.4). Now, observe that
(1) We must have a < 1. Otherwise we would have y2(t,,)2 > 2(a+cos(yi(t,rte))
for t > 0. This implies that dt V (pl t, r7')) < 2a(o  1) < 0. This contradicts
(X.2.5).
(2) If 1 < a < 1, the solution p(t, 7) must stay in one of connected components
of the set {y" : V(y) < a + e < 1} for large positive t. Those connected
components are bounded sets.
(3) In case a = 1, we can show the boundedness of p(t, t) by investigating the
behavior of solutions of (X.2.4) on the boundary of the set {g: V(y) < 1).
dt V
(zI = 9(zl)[z2  H(zi)]  z29(z1) = g(z1)H(z1)
along an orbit of (X.3.2). Hence,
dz2 g(zl) dzi z2  H(zi)
dzi z2  H(zl)' dz2 9(z1)
dV 9(z1)H(z1) dV _
H(zi)
dz1 z2  H(z1)' dz2
that
[
z1(ao, ao) = 0]
and z2 (t, ao) >0 for 0:5t < oo
for some positive number co, where a is the unique positive zero of H(x) given in
condition (v) (cf. Figure 5).
0
z(r(a), a) and 0 < zi (t, a) :5a for 0< t < r(a)
Q(a)
if 0 < a < ao. Also, since H(x) < 0 for 0 < x < a, we obtain
(A) V(z"(r(a),a))  V(z(0,a)) > 0 for 0 < a < a0 (cf. Figure 6).
(0.ao)
zI = 0
FIGURE 5. FIGURE 6.
Observation 3. If ao < a, there exists a positive number r0(a) such that
z2(t,a) = Z(zl(t,a),a),
where Z(x, a) is a continuous function of (x, a) for 0 < x < a and a > a0, and
continuously differentiable for 0 < x < a and a > ao except for x = a and a = a0.
Furthermore, Z(x, al) < Z(x, a2) for 0:5 x:5 a if a0 < a1 < 02 (cf. Figure 7).
Set 2(x, a) = I Z(z, a) J . Then,
g(x)H(x)
,
dx
d
V(Z(x,a))  Z(x,a)  H(x) > 0 for 0<x<a
and, hence,
Observation 4. If a0 < a, there exists a positive number ri(a) such that ri(a) >
ro(a), zl (r1(a), a) = a, and zi(t, a) >a for ro(a) <t <71 (a) (cf. Figure 8).
(a, z2(rp(a), a)) (a. z2(r0(a), a))
(0. a) O,a
(O.a0) I
z2=H(zt) (
(O.ao)
) z2=H(z0
z2=0 =0
zi =0 zi=a Z, =0
FIGURE 7. FIGURE 8.
Note that z2(ri(a),a) < 0 and that H(zi(t,a)) > 0 for ro(a) < t < 71(a) since
zi (t, a) > a on this tinterval. Regarding zi (t, a) as a function of z2(t, a) for
z2(r1(a), a) < z2 < z2(ro(a), a), we obtain
lim
dV =0 uniformly for 0 < z1 < a,
jz21+oo dzi
z1lim00
a = +oo uniformly for  oo < z2 < +oo,
3. EXISTENCE AND UNIQUENESS OF PERIODIC ORBITS 317
it follows that
lim (V(i(ro(a),a))  V(z(0,0J = 0,
a+oo
lim (V(z(rl(a),a))  V(z(ro(a),a))J = oo,
a+oo
lim JV(z(r(a),a))  V(i(ri(a),a))J = 0.
a.+00
Therefore,
Thus, we conclude that g has exactly one positive zero a+, i.e.,
> 0, 0<a<a+,
(X.3.3) 9(a) Zz2(r(a), a)2  2a2
= 0, a = a+,
< 0, a>a+
X4. Multipliers of the periodic orbit of the van der Pol equation
In Example X25, we looked at the van der Pol equation
(X.4.1) LX + e(x2  1) d + x = 0,
where a is a positive number. Using Observation X24, it was shown that every
orbit of the system
(X.4.2) d i
[y112 / 112
] dt
[ E(y1 1)112  111 
is bounded for t > 0. It was also remarked that 0 is the only stationary point of
system (X.4.2) and that the stationary point 0 is not stable as t  +oo. In fact, the
linear part of the righthand side of (X.4.2) at y = 0 is Ay, where A = [ 01 and
[i]. Since trace[A]=f and det (A) = 1, the stationary point is an unstable
Y21
node for e > 2, while 0 is an unstable spiral point for 0 < e < 2. Therefore, using
the PoincareBendixson Theorem (cf. Theorem IX41), we conclude that there
exists at least one limit cycle. Now, Theorem X31 implies that system (X.4.2)
has exactly one limit cycle and all the other orbits except for the stationary point 6
approach this limit cycle asymptotically as t  +oo. In fact, since h(x) = e(x2 1),
3
H(x) = e I  x] , and g(x) = x, the seven conditions (i)  (vii) of Theorem X31
3
are satisfied. In particular, the positive zero of H(x) is a = J > 1.
In this section, we prove the following theorem concerning the multipliers of the
unique periodic solution x = x(t, e) of the van der Pol equation (X.4.1).
Theorem X41. The multipliers of the periodic solution x(t, e) of (X.4.1) at 1
and p such that )pI < 1.
Proof.
z
xz
d , then dt = e(x2  1)y2. This implies
11
If we! set v = , wwhere 11 =
2
that eJ (x(t)2  1)dt =  / . Now
Now look at Figure 11.
FIGURE 11.
5. THE VAN DER POL EQUATION FOR A SMALL PARAMETER 319
On each of two curves Cl and C2, let us denote y as a function of v by yl (v) and y2(v)
respectively. Note that x2 > 1 on C1, but x2 < 1 on C2. Hence, yl(v)2 < y2(v)2.
This implies that
fT
e (x(t)2  1)dt > 0,
where T is a period. Therefore, we can complete the proof by using the following
lemma.
Lemma X42. Assume that two functions f (x) and g(x) are continuously differ
entiable in R. Assume also that the differential equation
d2
2 + f(x) dt + g(x) = 0
r1
has a nontrivial periodic solution x(t) of period 1 such that f (x(t))dt > 0. Then,
J0
the multipliers of the periodic solution x(t) are 1 and p such that jpI < 1.
Remark X43. If system (X.4.2) has more than one periodic orbit, then at least
one of them must be orbitally unstable. Therefore, the proof of Theorem X41 is
another proof of the uniqueness of periodic orbit of (X.4.2).
(X.5.1)
dt[y2J LyYi
Every orbit of (X.5.1) is a circle and of period 2n in t. We expect that the periodic
orbit of (X.4.2) must be approximated by one of those circles as e + 0. The main
problem is to find the radius of the circle which approximates the periodic orbit of
(X.4.2) for a sufficiently small e > 0.
Since the periodic orbit and its period are functions of e, we normalize the
independent variable t by the change of independent variable
(X.5.2) t = (I +eW)T
so that the period of the periodic orbit becomes 27r for every e > 0. Transformation
(X.5.2) changes differential equation (X.4.1) to
x722
+ e(1+eW)(x21)d + (1+&,d)2x = 0
that can be written in the form
d 2X
(X.5.3) + x = e(1 + ew)(1  x2)  e(2W + ew2)x.
22
320 X. THE SECONDORDER DIFFERENTIAL EQUATION
d2x
(X.5.4) T' + x = f(r)
d
is given by
/'r+2n
(X.5.5) x(r) = K cos(r + m) + a J sf(s)sin(r  s)ds
r
as it is shown with a straight forward calculation, where K and 0 are arbitrary
constants. This solution is periodic in r of period 2ir if and only if
2w 2w
(X.5.6) f (s) sin(s)ds = 0 and f (s) cos(s)ds = 0.
10 J0
Observation X52. In the case when condition (X.5.6) is not satisfied, set
27r 2, f (S)
(X.5.7) S[ f ] = 1 fo f(s) sin(s)ds and C[J] = 1 cos(s)ds.
i 7t J
o
Then,
v(T) = Kcos(r + 0)
(X.5.8) jr+21r 1
2w
I C(K,, E) = 
7r
f (1T cos(s)ds.
5. THE VAN DER POL EQUATION FOR A SMALL PARAMETER 321
m=0
where Sm(K,w) and C,,,(K,w) are polynomials in (K,w) with constant coefficients.
These two power series also converge uniformly for
Observation X54. Inserting series (X.5.11) and (X.5.12) into system (X.5.10),
we obtain
d2vi
+ vi = (1  K2cos2(r))(Ksin(r))  2wKcos(r)
dr2
 So(K,w) sin(r)  Co(K,w) cos(r)
= K3 cos2(r) sin(r)  K sin(r)  2wK cos(r)
 So(K,w) sin(1T)  Co(K,w) cos(r)
1
= 4 K sin(3r) +  K  So(K, w)J sin(r)
4
 [2wK + Co(K, w)1 cos(r).
322 X. THE SECONDORDER DIFFERENTIAL EQUATION
d [$2 Il
(X.6.2)
dr
1
where a = 
E
6. THE VAN DER POL EQUATION FOR A LARGE PARAMETER 323
point (wl, w2) far away from the curve C : w2 = 3  w!. This implies that every
orbit moves toward the curve C almost horizontally (cf. Figure 12).
Observation X62. From Observation X61 a rough picture of orbits of (X.6.2)
is obtained (cf. Figure 13).
Note that the slope of an orbit given by (X.6.3) is negative on C1 (O) and decreasing
to oo as wt increases to a(f3). Also, is 0 on C1(f3).
dw2
Step 2. Let us consider a curve
where
(i) µ(w1,3) is continuous for 1 < wl < a(0) and continuously differentiable for
1 < wl < a($),
(ii) µ(w1, 0) > 0 for 1 < w1 < a(0), and (iii) µ(a(,3), 0) = 0.
On the curve C2(f3),
3
= 0µ(w1,13)
\ 31  wl
and, hence,
_ /32w1 Owl
W2 _ f wl _ wl /f l µ(w1, 0)
3
On the other hand, the slope of the curve C2($) is
dw2 _ w1
2
 1  ,8 dEc(w1,f)
dwl  dwl
This implies that if µ is fixed by the initialvalue problem
(X.6.4)
dwl
1, µ(a(0),,8) = 0,
we obtain
/32w1 dw2
for 1 < wl < a($),
1 dwl
W2  
C 3 w'/
where dw2 denotes the slope of C2(0). The unique solution to problem (X.6.4) is
i
given by
a(/3)2  wl.
Thus, we choose the curve
3  31  wl l  /3 a(/3)2  wi
1w3 2
W2
31 wl)
and, hence,
/32w1 0'w1
(,w3
31 wl/
/ a(Q)2  w1 + 3
+
(31  wl
dw2
On the other hand, the slope of the curve C3(/3) is This
dw, 1 a(Q)2  wl
implies that
02W, <dm2
for 0<w1<1,
w2
(u, wI ) dw,
3
where denotes the slope of C3(0) (cf. Figure 17). Note that on the curve
awl
C3(3), W2 =  3  Qa(Q) at wI = 0.
Step 4. Now, let us fix the positive number a(/3) > 2 by the equation
3
2
(X.6.5) + 3a(3) = a(3)  a(13).
Denote by C+(/3) the curve consisting of Cl(/3), C2(13), and C3()3), i.e., C+(Q) _
C1(Q) UC2(/3) UC3($). Let C_(0) be the symmetric image of C+(Q) with respect to
the point (0, 0). Then, C+(3) U C_ (/3) is a closed curve if a(,Q) satisfies condition
(X.6.5). We use the closed curve C+(/3) UC_(/3) as a part of the boundary 8V(/3)
of V(/3) (cf. Figure 18).
326 X. THE SECONDORDER DIFFERENTIAL EQUATION
b(3) 3
Step 5. Fixing a positive number b($) < 2 so that 3 =  b(j3) +,A(0), we
choose the curve
b(3)3
r!(,3) = {twiw2) : w2 = b(j3) +,6b($)2  w;, 0 < w, < b(13)}
as a part of the boundary 8V(j3) of V($) (cf. Figure 19). Note that, on r,(j3),
2
w2=3 at w, = 0.
/32w1 02w1
b(3) 3
w2 Q b(B)2  wl +  b(8)  (3' w,)
Q wl
>
b(3)  w,
On the other hand, the slope of the curve 171(3) is dullw2
ap)2'
wi
Step 6. We use the two curves
r2(0) = {(wiw2): w2
3
3
wi, 1 <w, <b(S)
ll
r3($) = {(wltw2): U2 2,
3
0 < wl <
JJ
as parts of the boundary 8V(j3) of V(8) (cf. Figure 20). Note that on r3(Q), the
slope of an orbit given by (X.6.3) is positive and dd is negative.
Step 7. Denote by r+(j3) the curve consisting of r,(8), r2(8), and r3(8), i.e.,
r+w) = r1(Q) u r2(a) u r3(8).
Let r_ (j3) be the symmetric image of r+(j3) with respect to the point (0, 0). Then,
r+(p) U r_(8) is a closed curve. We use the closed curve r+(j3) U r_ (f3) as a part
of the boundary OV(0) of V(8) (cf. Figure 21).
328 X. THE SECONDORDER DIFFERENTIAL EQUATION
F (x, Y, I = 0,
d'Yx(x)
and M for a positive constant M on the interval 0 < x < t.
Let y(x) be any solution of the differential equation
to the systern
du dv
(X.7.1)
dx = v, F(X, u, v, a),
where
Do = {(x, u, v) : 0 < x < t, Jul < a(x), lv) < pe`= + b(x)}.
Also,
F (riY(x)v + d ()) > Lv for v > 0,
F x, Y(x). v + d ()) < Lv for v < 0,
in Do. Hence, in Do,
(X.7.2))
F(x, u, v, A) < Lv + Klul + (e + AM) for v > 0,
F(x, u, v, A) > Lv  Klul  (E + AM) for v 0.
8. A SINGULAR PERTURBATION PROBLEM 329
Step 2. Suppose that two functions wl (x, .A) and w2(x, A) satisfy the following
conditions:
(X.7.3)
10 < wl(x,.A) < a(x), 0 < w2(x,A) < pe' + b(x),
wl(0,A) > 0, w2(0,.1) > p,
wi (x, A) > W&, A), Aw2(x, A) > Lw2(x, A) + Kwl (x, A) + (E + AM)
ApA e + AM + K62(e + 1)
where bl = L2 + L , satisfy the requirements (X.7.3) if f, A,
and a positive constant 62 are sufficiently small. Observe that two roots of AX2 +
LX K=0 are L (o and (o = L +O(A).
Step 4. Note that
dy
dx
dY(x) < peLx/A +
dx
fE
L
+
L
(h + M1 ] ex'/L.
L J
Note that
lim aLx/A =0 if x > 0.
330 X. THE SECONDORDER DIFFERENTIAL EQUATION
(X.8.2) (x2  1) d + x = 0.
Solving (X.8.2) with an initial value x(O) = xo < 1, we obtain x = 0(r), where
2 )2  In I0(r) I = r + 2  In(xo).
Observe that
d0(r)
dr
0(r)
0(7)21 >0 if d(r) < 1.
2
Note also that setting ro = 2  In(xo)  2 > 0, we obtain ,(ro) = 1 and
45(7)2  1 > 0 for 0:5 r < ro. The graph of 0(r) is given in Figure 22.
FIGURE 22.
(i) Behavior for 0 < r < 7o bo, where do > 0: Let us denote by x(r, A) the solution
to the initialvalue problem
d2z
(X.8.3)
a dr2 +
(x  1) dx
2
dr +
x = 0, x(O, A) = xo, 40,A) = 77,
where the prime is d7 and q is a fixed constant. Using Theorem X71 (Na6J, we
derive
Ix(r, A)  O(T)I 5 AK,
I Ix'(r, A)  4'(r)l 5 I77  0'(0)leP'1x
+ AK,
8. A SINGULAR PERTURBATION PROBLEM 331
for 0 < T < To  60, where K and a are suitable positive constants.
(11) Behavior for lx+1l< o: First note that lim p0'(T) _ +oo. Set ¢'(ro2bo) _
1Pi > 0. Then, there exists T1(A) for sufficiently small A > 0 such that
{ O<ri(A)<ro_So, X
llm T1(A) _ 7.0  280,
x(T1(A),A) _ O(Tp  26p), x'(T, A) > for r1(A) < T < TO  60.
2P1
1A)
Set p = Then,
0 < p(x, A) < 2p' for ¢(ro 26o) < x < x(rob0, A) < 1, 0 < A < AO,
where A0 is a sufficiently small positive number. It is important to notice that if
we make 60 small and if we make A0 also small accordingly, we can make p1 small.
Set
Then,
0 < p(z, A) < 2Mo for ¢(r025o) < x < x(ro  50, A), 0 < A < A0.
Now, we shall show that
(X.8.7) 0 < p(x, A) < 2Mo for Ii + xt < o, 0 < A < A0.
If (X.8.7) is not true, there must exist a such that
p({, A) = 2M0, 0 < p(x, A) < 2Mo for 1a:5 x<
Then, this implies that
This is impossible.
(iii) Behavior for 1 + or < x < 2  al: To begin with, it should be remarked that
8
J(2_1)d
[.._]2 i
= 2 ( 3+1J = 0,
(X.8.8)
1)d. = x)3<0, for 1<x<2.
C3
Fix a positive number al so that
x,,\
Integrating (X.8.4), it follows that
(X.8.10) 0 < p(x,A) < 2K for 1+a < x < 2  al, 0 < A < A0.
Notice that p(2  al, A) is independent of 5o. Then, it can be shown that
A
0+ as a, + 0+ and A 0+.
p(2  a,, A)
0 < p(x, A) < 1 for 2  al < x < 2 + a2i 0 < A < Ao.
Then,
2+02
g2  1) + P( A)fl > Q.
P(2 + 2, A) p(2  o , A) 12,,
Hence,
2+0a
g2  1) + < p(2  Aal, A) for 2  al <x < 2 + a2.
J o,
This is a contradiction if al and A are small. Therefore, if Ao > 0 is sufficiently
small, there exists an x(A) such that
TO
FIGURE 23.
334 X. THE SECONDORDER DIFFERENTIAL EQUATION
EXERCISES X
()
has a solution.
(2) Does the boundaryvalue problem
dtY
dt2
= F t, y, dY
dt
dy(a)
dt = a'
dY (b)
dt
_3
have a solution?
(3) Show that the boundaryvalue problem
d2x
= tx + x3, x(2) = A, x(3) = B
dt2
has a solution for any real numbers A and B.
Hint. A counterexample for (2) is
d2 = 0, (n) = 0, (b) = 1.
For (3), apply Theorem X13 [Na4j with w,(t) = a and w2(t) where a
and 3 are sufficiently large positive constants.
X2. Find the global phase portrait of each of the following two differential equa
tions:
d2x
(i) + x2(1  x)2 dt + (x  1)2(x + 1)x = 0;
2
d2x dx
dx2
+
dt
 1
l + x2
= 0.
Hint. Set V (x, y) = 2 + G(x). Then, d =  f (x, y, t)yz + e(t)y. There exists a
positive number ro > r such that V(x, y) > 4 for x2 + y2 > ro. Hence, if an orbit
(x(t), y(t)) satisfies conditions that x(t)2 + y(t)2 > ro for to < t < ti, we obtain
d V(x(t),y(t)) < Ie(t)Iiy(t)I <2(e(t)j V(x(t),y(t)) for to <t <t,.
This yields
V(x(t),y(t)) < V(x(to),y(to)) + ft., (e(r)!dr for to <t < t,.
and Theorem IX22, show that if 0 < 6< 3, every orbit of system (E.2) tends to
one of the stationary points as t ' +oo,
(d) discuss the uniqueness of periodic orbits.
X7. Show that the differential equation
d2x
dz
+ f (x)
d+ 9(x) = 0
has at most one nontrivial periodic solution if fix) and g(x) are continuously dif
ferentiable in !R and satisfy the following conditions
<0 for 1x3 < 1,
(i)
f (x) { > 0 for IzI > 1,
(ii) 9(x)
<0 for 2<x<0,
> 0 for (x + 2)x > 0,
(iii) J g(x)dx = 0.
336 X. THE SECONDORDER DIFFERENTIAL EQUATION
Then,
da(t)
_ f(x(t))(x'(t))2 .
dt
Therefore, we obtain