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Chapter 3

The Contra tion Mapping Theorem

In this hapter we state and prove the ontra tion mapping theorem, whi h is one
of the simplest and most useful methods for the onstru tion of solutions of linear
and nonlinear equations. We also present a number of appli ations of the theorem.

3.1 Contra tions


De nition 3.1 Let (X; d) be a metri spa e. A mapping T : X ! X is a on-
tra tion mapping, or ontra tion, if there exists a onstant , with 0  < 1, su h
that
d(T (x); T (y ))  d(x; y) (3.1)
for all x; y 2 X .

Thus, a ontra tion maps points loser together. In parti ular, for every x 2 X ,
and any r > 0, all points y in the ball Br (x), are mapped into a ball Bs (T x), with

x Tx

Fig. 3.1 T is a ontra tion.

61
62 The Contra tion Mapping Theorem

s < r. This is illustrated in Figure 3.1. Sometimes a map satisfying (3.1) with = 1
is also alled a ontra tion, and then a map satisfying (3.1) with < 1 is alled
a stri t ontra tion. It follows from (3.1) that a ontra tion mapping is uniformly
ontinuous.
If T : X ! X , then a point x 2 X su h that

T (x) =x (3.2)

is alled a xed point of T . The ontra tion mapping theorem states that a stri t
ontra tion on a omplete metri spa e has a unique xed point. The ontra tion
mapping theorem is only one example of what are more generally alled xed-point
theorems. There are xed-point theorems for maps satisfying (3.1) with = 1,
and even for arbitrary ontinuous maps on ertain metri spa es. For example,
the S hauder xed point theorem states that a ontinuous mapping on a onvex,
ompa t subset of a Bana h spa e has a xed point. The proof is topologi al in
nature (see Kantorovi h and Akilov [27℄), and we will not dis uss su h xed point
theorems in this book.
In general, the ondition that is stri tly less than one is needed for the unique-
ness and the existen e of a xed point. For example, if X = f0; 1g is the dis rete
metri spa e with metri determined by d(0; 1) = 1, then the map T de ned by
T (0) = 1, T (1) = 0 satis es (3.1) with = 1, but T does not have any xed points.
On the other hand, the identity map on any metri spa e satis es (3.1) with = 1,
and every point is a xed point.
It is worth noting that (3.2), and hen e its solutions, do not depend on the
metri d. Thus, if we an nd any metri on X su h that X is omplete and T is a
ontra tion on X , then we obtain the existen e and uniqueness of a xed point. It
may happen that X is not omplete in any of the metri s for whi h one an prove
that T is a ontra tion. This an be an indi ation that the solution of the xed
point problem does not belong to X , but to a larger spa e, namely the ompletion
of X with respe t to a suitable metri d.

Theorem 3.2 (Contra tion mapping) If T : X ! X is a ontra tion mapping


on a omplete metri spa e (X; d), then there is exa tly one solution x 2 X of (3.2).

Proof. The proof is onstru tive, meaning that we will expli itly onstru t a
sequen e onverging to the xed point. Let x0 be any point in X . We de ne a
sequen e (xn ) in X by

xn+1 = T xn for n  0:

To simplify the notation, we often omit the parentheses around the argument of a
map. We denote the nth iterate of T by T n , so that xn = T n x0 .
Fixed points of dynami al systems 63

First, we show that (xn ) is a Cau hy sequen e. If n  m  1, then from (3.1)


and the triangle inequality, we have

d(xn ; xm ) = d(T n x0 ; T m x0 )
 m d(T n m x0 ; x0 )

 m d(T n m x0 ; T n m 1x0 ) + d(T n m 1 x0 ; T n m 2x0 )
+    + d(T x0 ; x0 )℄
" #
nX
m 1
 m k
d(x1 ; x0 )
"
k =0 #
1
X
 m
k
d(x1 ; x0 )

k =0
m
 1
d(x1 ; x0 );

whi h implies that (xn ) is Cau hy. Sin e X is omplete, (xn ) onverges to a limit
x 2 X . The fa t that the limit x is a xed point of T follows from the ontinuity
of T :

Tx = T lim
n!1 xn = nlim
!1 T xn = nlim
!1 xn+1 = x:
Finally, if x and y are two xed points, then

0  d(x; y ) = d(T x; T y )  d(x; y ):

Sin e < 1, we have d(x; y ) = 0, so x = y and the xed point is unique. 

3.2 Fixed points of dynami al systems


A dynami al system des ribes the evolution in time of the state of some system.
Dynami al systems arise as models in many di erent dis iplines, in luding physi s,
hemistry, engineering, biology, and e onomi s. They also arise as an auxiliary tool
for solving other problems in mathemati s, and the properties of dynami al systems
are of intrinsi mathemati al interest.
A dynami al system is de ned by a state spa e X , whose elements des ribe the
di erent states the system an be in, and a pres ription that relates the state xt 2 X
at time t to the state at a previous time. We all a dynami al system ontinuous
or dis rete, depending on whether the time variable is ontinuous or dis rete. For
a ontinuous dynami al system, the time t belongs to an interval in R, and the
dynami s of the system is typi ally des ribed by an ODE of the form

x_ = f (x); (3.3)
64 The Contra tion Mapping Theorem

where the dot denotes a time derivative, and f is a ve tor eld on X . There is little
loss of generality in assuming this form of equation. For example, a se ond order,
nonautonomous ODE
y = g (t; y; y_ )

may be written as a rst order, autonomous system of the form (3.3) for the state
variable x = (s; y; v ), where s = t and v = y_ , with
s_ = 1; y_ = v; v_ = g (s; y; v ):
For a dis rete dynami al system, we may take time t = n to be an integer, and
the dynami s is de ned by a map T : X ! X that relates the state xn+1 at time
t = n + 1 to the state xn at time t = n,

xn+1 = T xn : (3.4)
If T is not invertible, then the dynami s is de ned only forward in time, while if T is
invertible, then the dynami s is de ned both ba kward and forward in time. A xed
point of the map T orreponds to an equilibrium state of the dis rete dynami al
system. If the state spa e is a omplete metri spa e and T is a ontra tion, then
the ontra tion mapping theorem implies that there is a unique equilibrium state,
and that the system approa hes this state as time tends to in nity starting from
any initial state. In this ase, we say that the xed point is globally asymptoti ally
stable.
One of the simplest, and most famous, dis rete dynami al systems is the logisti
equation of population dynami s,
xn+1 = 4xn (1 xn ) ; (3.5)
where 0    1 is a parameter, and xn 2 [0; 1℄. This equation is of the form (3.4)
where T : [0; 1℄ ! [0; 1℄ is de ned by
Tx = 4x(1 x):

See Figure 3.2 for a plot of x 7! T x, for three di erent values of . We may
interpret xn as the population of the nth generation of a reprodu ing spe ies. The
linear equation xn+1 = 4xn des ribes the exponential growth (if 4 > 1) or de ay
(if 4 < 1) of a population with onstant birth or death rate. The nonlinearity in
(3.5) provides a simple model for a spe ies in whi h the e e ts of over rowding lead
to a de line in the birth rate as the population in reases.
The logisti equation shows that the iterates of even very simple nonlinear maps
an have amazingly omplex behavior. Analyzing the full behavior of the logisti
map is beyond the s ope of the elementary appli ation of the ontra tion mapping
theorem we give here.
When 0    1=4, the point 0 is the only xed point of T in [0; 1℄, and T
is a ontra tion on [0; 1℄. The proof of the ontra tion mapping theorem therefore
Fixed points of dynami al systems 65

0.9

0.8

0.7

0.6

0.5 µ=1
0.4 µ=.5
0.3

0.2
µ=.2
0.1

0
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1

Fig. 3.2 The logisti map for three di erent values of the parameter . For  = 0:2, 0 is the only
xed point and it is stable. For  = 0:5, 0 is an unstable xed point and there is a nonzero, stable,
xed point. For  = 1, the two xed points are unstable and more omplex (and more interesting)
asymptoti behavior of the dynami al system o urs.

implies that T n x0 ! 0 for an arbitrary initial population x0 2 [0; 1℄, meaning that
the population dies out. When 1=4 <   1, there is a se ond xed point at
x = (4 1)=4. The appearan e of a new xed point as the parameter  varies
is an example of a bifur ation of xed points. As  in reases further, there is an
in nite sequen e of more ompli ated bifur ations, leading to haoti dynami s for
  0:89 : : :.
As a se ond appli ation of the ontra tion mapping theorem, we onsider the
solution of an equation f (x) = 0. One way to obtain a solution is to re ast the
equation in the form of a xed point equation x = T x, and then onstru t approx-
imations xn starting from an initial guess x0 by the iteration s heme
xn+1 = T xn :
In other words, we are attempting to nd the solution as the time-asymptoti state
of an asso iated dis rete dynami al system whi h has the solution as a stable xed
point. Similar ideas apply in other ontexts. For example, we may attempt to on-
stru t the solution of an ellipti PDE as the time-asymptoti state of an asso iated
paraboli PDE.
There are many ways to rewrite an equation f (x) = 0 as a xed point problem,
some of whi h will work better than others. Ideally, we would like to rewrite the
equation as a xed point equation in whi h T is a ontra tion on the whole spa e,
66 The Contra tion Mapping Theorem

or at least a ontra tion on some set that ontains the solution we seek.
To provide a simple illustration of these ideas, we prove the onvergen e of an
p
algorithm to ompute square roots. If a > 0, then x = a is the positive solution
of the equation
x2 a = 0:

We rewrite this equation as the xed point problem


1 a
x+x =
:
2 x
The asso iated iteration s heme is then
 
1 a
xn+1 = x + ;
2 n xn
orresponding to a map T : (0; 1) ! (0; 1) given by
1 a
Tx x+ = : (3.6)
2 x
p
Clearly, x = a is a xed point of T . Moreover, given an approximation xn of a,
p
the average of xn and a=xn should be a better approximation provided that xn is
not too small, so it is reasonable to expe t that the sequen e pof approximations
obtained by iteration of the xed point equation onverges to a. We will prove
that this is indeed true by nding an interval on whi h T is a ontra tion with
respe t to the usual absolute value metri on R.
First, let us see whether T ontra ts at all. For x1 ; x2 > 0, we estimate that
   
1 a 1 a
jT x1 T x2 j =
2 x +
1 x 2
x2 +
x2

1
1 a
=
2 1
x x
j
x1 x2 :j
1 2
It follows that T ontra ts distan es when 3x1 x2 > a. To satisfy this ondition, we
need to ex lude arguments x that are too small. Therefore, we onsider the a tion
of T on an interval of the form [b; 1) with b > 0. This is a omplete metri spa e
be ause [b; 1) is a losed subset of R and R is omplete.
In order to make a good hoi e for b we rst observe that

Tx =
pa + (x pa)2  pa (3.7)
2x
p
for all x > 0. Therefore, the restri tion of T to [ a; 1) is well-de ned, sin e
T [
pa; 1)  [pa; 1);
p
and T is a ontra tion on [ a; 1) with = 1=2. It follows that for any x0  a,
p
p
the sequen e xn = T n x0 onverges to a as n ! 1. Moreover, as shown in the
Integral equations 67

proof of Theorem 3.2, the onvergen e is exponentially fast, with

jT nx0 paj  jT n x0 T mx0 j


n
 1 jT x0 x0 j

1 a
 2n 1

x x0 :
0
p p
If 0 < x0 < a, then x1 > a, and subsequent iterates remain in [ a; 1), so the
p
iterates onverge for any starting guess x0 2 (0; 1).
Newton's method for the solution of a nonlinear system of equations, dis ussed
in Se tion 13.5, an also be formulated as a xed point iteration.

3.3 Integral equations


A linear Fredholm integral equation of the se ond kind for an unknown fun tion
f : [a; b℄ ! R is an equation of the form
Z b
f (x) k (x; y )f (y ) dy = g (x); (3.8)
a

where k : [a; b℄  [a; b℄ !R and g : [a; b℄ !R are given fun tions. A Fredholm
integral equation of the rst kind is an equation of the form
Z b
k (x; y )f (y ) dy = g (x):
a

The integral equation (3.8) may be written as a xed point equation T f = f , where
the map T is de ned by
Z b
T f (x) = g (x) + k (x; y )f (y ) dy: (3.9)
a

Theorem 3.3 Suppose that k : [a; b℄  [a; b℄ !R is a ontinuous fun tion su h


that
(Z )
b
sup jk(x; y)j dy < 1; (3.10)

a x b a

and g : [a; b℄ ! R is a ontinuous fun tion. Then there is a unique ontinuous


fun tion f : [a; b℄ ! R that satis es (3.8).

Proof. We prove this result by showing that, when (3.10) is satis ed, the map T
is a ontra tion on the normed spa e C ([a; b℄) with the uniform norm k  k1 .
68 The Contra tion Mapping Theorem

From Theorem 2.4, the spa e C ([a; b℄) is omplete. Moreover, T is a ontra tion
sin e, for any f1 ; f2 2 C ([a; b℄), we have
Z
b
kT f1 T f2 k1 = sup k (x; y )(f1 (y )
f2 (y )) dy
axb a
Z b
 sup j
k (x; y ) f1 (y ) jj j
f2 (y ) dy

a x b a
(Z )
b
 kf1 f2 k1 sup jk(x; y)j dy

a x b a

 kf1 f2 k1 ;
where
(Z )
b
= sup jk(x; y)j dy < 1:

a x b a

The result then follows from the ontra tion mapping theorem. 
From the proof of the ontra tion mapping theorem, we an obtain the xed
point f as a limit,
= lim n
(3.11)
f
n !1 T f0 ;
for any f0 2 C ([a; b℄). It is interesting to reinterpret this limit as a series. We de ne
a map K : C ([a; b℄) ! C ([a; b℄) by
Z b
Kf = k (x; y )f (y ) dy:
a

The map K is alled a Fredholm integral operator, and the fun tion k is alled the
kernel of K . Equation (3.8) may be written as
(I K )f = g; (3.12)
where I is the identity map, meaning that If = f . The ontra tion mapping T is
given by T f = g + Kf , whi h implies that

T n f0 = g + K (g + : : : + K (g + Kf0 ))
= g + Kg + : : : + K n g + K n+1 f0 :

Using this equation in (3.11), we nd that


1
X
f = K n g:
n =0
Boundary value problems for di erential equations 69

Sin e f = (I K) 1 g, we may write this equation formally as


1
1 = X K n:
(I K) (3.13)
n=0

This series is alled the Neumann series. The use of the partial sums of this series
to approximate the inverse is alled the Born approximation . Expli itly, we have

I + K + K 2 + : : : f (x)
Z b Z bZ b
= f (x) + k (x; y )f (y ) dy + k (x; y )k (y; z )f (z ) dydz + : : : :
a a a

The Neumann series resembles the geometri series,


1
(1 x) 1 = X xn for jxj < 1:
n=0

In fa t, (3.13) really is a geometri series that is absolutely onvergent with respe t


to a suitable operator norm when kK k < 1 (see Exer ise 5.17). This explains why
we do not need a ondition on g ; equation (3.10) is a ondition that ensures I K
is invertible, and this only involves k .

3.4 Boundary value problems for di erential equations


Consider a opper rod or pipe that is wrapped with imperfe t insulation. We use
the temperature outside the rod as the zero point of our temperature s ale. We
denote the spatial oordinate along the rod by x, nondimensionalized so that the
length of the rod is one, and time by t. The temperature u(x; t) of the rod then
satis es the following linear PDE,
ut = uxx q (x)u; (3.14)
where the subs ripts denote partial derivatives,
u 2u
ut = ; uxx = :
t x2
The lateral heat loss is proportional to the oeÆ ient fun tion q (x) and the temper-
ature di eren e u between the rod and the outside. If the rod is perfe tly insulated,
then q = 0 and (3.14) is the one-dimensional heat or di usion equation.
Equation (3.14) does not uniquely determine u, and it has to be supplemented
by an initial ondition
u(x; 0) = u0 (x) for 0 < x < 1
that spe i es the initial temperature u0 (x) of the rod, and boundary onditions at
the ends of the rod. We suppose that the ends x = 0 and x = 1 of the rod are kept
70 The Contra tion Mapping Theorem

at onstant temperatures of T0 and T1 , respe tively. Then


u(0; t) = T0 ; u(1; t) = T1 for all t > 0:
As t ! 1, the system \forgets" its initial state and approa hes an equilibrium
state u = u(x), whi h satis es the following boundary value problem (BVP) for an
ODE:
u00 (x) + q (x)u(x) = 0; 0 < x < 1; (3.15)
u(0) = T0 ; u(1) = T1 : (3.16)
If q is a onstant fun tion, then (3.15) is easy to solve expli itly; but if q (x) is not
onstant, expli it integration is in general impossible. We will use the ontra tion
mapping theorem to show that there is a unique solution of this BVP when q is not
too large.
First, we repla e the nonhomogeneous boundary onditions (3.16) by the orre-
sponding homogeneous onditions. To do this, we write u as
u(x) = v (x) + up (x);
where v is a new unknown fun tion and up is a fun tion that satis es the nonho-
mogeneous boundary onditions. A onvenient hoi e for up is the linear fun tion
up (x) = T0 + (T1 T0 ) x: (3.17)
The fun tion v then satis es
v 00
+ q (x)v (x) = f (x); (3.18)
v (0) = 0; v (1) = 0; (3.19)
where f = qup . The transfer of nonhomogeneous terms between the boundary
onditions and the di erential equation is a ommon pro edure in the analysis of
linear boundary value problems. The boundary value problem (3.18){(3.19) is an
example of a Sturm-Liouville problem, whi h we will study in Chapter 10. We will
use the following proposition to reformulate this boundary value problem as a xed
point problem for a Fredholm integral operator.

Proposition 3.4 Let f : [0; 1℄ ! R be a ontinuous fun tion. The unique solution
v of the boundary value problem
v 00
= f; (3.20)
v (0) = 0; v (1) = 0; (3.21)
is given by
Z 1
v (x) = g (x; y )f (y ) dy;
0
Boundary value problems for di erential equations 71

where

x(1 y) if 0  x  y  1,
g (x; y ) = (3.22)
y (1 x) if 0  y  x  1.
Proof. Integrating (3.20) twi e, we obtain that
Z xZ y
v (x) = f (s) ds dy + C1 x + C2 ;
0 1
where C1 and C2 are two real onstants to be determined later. Integration by parts
of the integral with respe t to y in this equation gives
 Z y x Z x
v (x) = y f (s) ds + yf (y ) dy + C1 x + C2
1 0 0
Z 1 Z x
= x f (y ) dy + yf (y ) dy + C1 x + C2 :
x 0
We determine C1 and C2 from (3.21), whi h implies that
Z 1
C1 = yf (y ) dy; C2 = 0:
0
It follows that
Z x Z 1
v (x) = y (1 x)f (y ) dy + x(1 y )f (y ) dy;
0 x

whi h is what we had to prove. 


The fun tion g (x; y ) onstru ted in this proposition is alled the Green's fun tion
of the di erential operator A = d2 =dx2 in (3.20) with the Diri hlet boundary
onditions (3.21). The inverse of the di erential operator A is an integral operator
whose kernel is the Green's fun tion. We will study Green's fun tions in greater
detail in Chapter 10.
Repla ing f by qv + f in Proposition 3.4, we may rewrite (3.18) as an integral
equation for v ,
Z 1 Z 1
v (x) = g (x; y )q (y )v (y ) dy + g (x; y )f (y ) dy:
0 0
This equation has the form
(I K )v = h;
where the integral operator K and the right-hand side h are given by:
Z 1
Kv (x) = g (x; y )q (y )v (y ) dy;
0
Z 1
h(x) = g (x; y )q (y )up (y ) dy: (3.23)
0
72 The Contra tion Mapping Theorem

Theorem 3.3 now implies the following result.

Theorem 3.5 If q : [0; 1℄ ! R is ontinuous, and


Z 1 
sup jg(x; y)q(y)j dy < 1; (3.24)
0x1 0
where g (x; y ) is de ned in (3.22), then the boundary value problem (3.15){(3.16)
has a unique solution.

Using (3.22), we nd the estimate


Z 1 
sup jg(x; y)q(y)j dy  18 kqk1:
0x1 0
Thus, there is a unique solution of (3.15){(3.16) for any ontinuous q with kq k1 <
8. Existen e or uniqueness may break down when kq k1 is suÆ iently large. For
example, if q = n2  2 , where n = 1; 2; 3; : : :, then the BVP
u00 n2  2 u = 0;
u(0) = 0; u(1) = 0;

has the one-parameter family of solutions u = sin nx, where is an arbitrary


onstant, and no solution may exist in the ase of nonzero boundary onditions.
Sin e  2 > 8, this result is onsistent with Theorem 3.5.
The nonuniqueness breaks down only if q is negative. This is not physi ally
realisti in the heat ow problem, where it would orrespond to the ow of heat
from old to hot, but the same equation arises in many other problems with negative
oeÆ ient fun tions q .
If q (x) > 0 in 0 < x < 1, we may prove uniqueness by a simple maximum
prin iple argument. Suppose that u00 + q (x)u = 0 and u(0) = u(1) = 0. Sin e u is
ontinuous, it attains its maximum and minimum on the interval [0; 1℄. If u attains
its maximum at an interior point, then u00  0 at that point, so u = u00 =q  0.
Sin e u = 0 at the endpoints, we on lude that

max u(x)  0:
0x1
Similarly, at an interior minimum, we have u00  0, so u  0, and therefore

min
0x1
u(x)  0:
It follows that u = 0, so the solution of the boundary value problem is unique.
Generalizations of this maximum prin iple argument apply to s alar ellipti partial
di erential equations, su h as Lapla e's equation.
Initial value problems for di erential equations 73

3.5 Initial value problems for di erential equations


The ontra tion mapping theorem may be used to prove the existen e and unique-
ness of solutions of the initial value problem for ordinary di erential equations. We
onsider a rst-order system of ODEs for a fun tion u(t) that takes values in Rn ,
u_ (t)= f (t; u(t)) ; (3.25)
u(t0 ) = u0 : (3.26)
The fun tion f (t; u) also takes values in Rn , and is assumed to be a ontinuous
fun tion of t and a Lips hitz ontinuous fun tion of u on a suitable domain. The
initial value problem (3.25){(3.26) an be reformulated as an integral equation,
Z t
u(t) = u0 + f (s; u(s)) ds: (3.27)
t0

By the fundamental theorem of al ulus, a ontinuous solution of (3.27) is a on-


tinuously di erentiable solution of (3.25){(3.26). Equation (3.27) may be written
as a xed point equation
u = Tu (3.28)
for the map T de ned by
Z t
T u(t) = u0 + f (s; u(s)) ds: (3.29)
t0

We want to nd onditions whi h guarantee that T is a ontra tion on a suitable


spa e of ontinuous fun tions. The simplest su h ondition is given in the following
de nition.

De nition 3.6 Suppose that f : I  Rn ! Rn , where I is an interval in R. We say


that f (t; u) is a globally Lips hitz ontinuous fun tion of u uniformly in t if there is
a onstant C > 0 su h that
kf (t; u) k  C ku
f (t; v ) v k for all u; v 2 Rn and all t 2 I: (3.30)

Theorem 3.7 Suppose that f : I  Rn ! Rn , where I is an interval in R and t0


is a point in the interior of I . If f (t; u), is a ontinuous fun tion of (t; u) and a
globally Lips hitz ontinuous fun tion of u, uniformly in t, on I  Rn , then there is
a unique ontinuously di erentiable fun tion u : I ! Rn that satis es (3.25).

Proof. We will show that T is a ontra tion on the spa e of ontinuous fun tions
de ned on a time interval t0  t  t0 + Æ , for suÆ iently small Æ . Suppose that
u; v : [t0 ; t0 + Æ ℄ ! Rn are two ontinuous fun tions. Then, from (3.29) and (3.30),
74 The Contra tion Mapping Theorem

we estimate

kT u Tv k1 = sup kT u(t) k
T v (t)
 +
t0 t t0 Æ
Z t

= sup f (s; u(s)) f (s; v (s)) ds

t0 tt0 +Æ t0
Z t
 sup k
f (s; u(s)) k
f (s; v (s)) ds
 +
t0 t t0 Æ t0
Z t
 sup k
C u(s) k
v (s) ds
 +
t0 t t0 Æ t0
 CÆ u k v k1 :
It follows that if Æ < 1=C , then T is a ontra tion on C ([t0 ; t0 + Æ ℄). Therefore,
there is a unique solution u : [t0 ; t0 + Æ ℄ ! Rn . The argument holds for any t0 2 I ,
and by overing I with overlapping intervals of length less than 1=C , we see that
(3.25) has a unique ontinuous solution de ned on all of I . The same proof applies
for times t0 Æ < t < t0 . 
We may have I = R in this theorem, in whi h ase the solution exists globally.

Example 3.8 Linear ODEs with ontinuous oeÆ ients have unique global solu-
tions. Sin e higher order ODEs may be redu ed to rst-order systems, it is suÆ ient
to onsider a rst-order linear system of the form

u_ (t)
= A(t)u(t) + b(t);
u(0) = u0 ;

where A : R ! Rnn is a ontinuous matrix-valued fun tion (with respe t to any


matrix norm | see the dis ussion in Se tion 5.2 below) and b : R ! Rn is a
ontinuous ve tor-valued fun tion. For any bounded interval I  R, there exists a
onstant C su h that

kA(t)uk  C kuk for all t 2 I and u 2 Rn :

Therefore,

kA(t)u A(t)v k  C ku k
v ;

for all u; v 2 Rn and t 2 I , so the hypotheses of Theorem 3.7 are satis ed, and we
have a unique ontinuous solution on I . Sin e I is an arbitrary interval, we on lude
that there is a unique ontinuous solution for all t 2 R.

The appli ations of Theorem 3.7 are not limited to linear ODEs.
Initial value problems for di erential equations 75

Example 3.9 Consider the nonlinear, s alar ODE given by


p
= a(t)2 + u(t)2 ;
u_ (t)
u(0) = u0 ;

where a : R ! R is a ontinuous fun tion. Here,


p
f (t; u) = a(t)2 + u2 :
This fun tion is globally Lips hitz, with
jf (t; u) f (t; v ) j  ju v j for all t; u; v; 2 R ;
sin e
 
p p a2 2 2 2
a2 + u2

a2 + v 2 =

p 2+ u 2 pa 2+ v 2
a +u + a +v

 ju vj p 2 ju2j + p
jv j
a + u + a2 + v 2
 ju v : j
Theorem 3.7 implies that there is a unique global solution of this ODE.

The global Lips hitz ondition (3.30) plays two roles in Theorem 3.7. First, it
ensures uniqueness, whi h may fail if f is only a ontinuous fun tion of u. Se ond,
it implies that f does not grow faster than a linear fun tion of u as kuk ! 1. This
is what guarantees global existen e. If f is a nonlinear fun tion, su h as f (u) = u2
in Example 2.22, that satis es a lo al Lips hitz ondition but not a global Lips hitz
ondition, then \blow-up" may o ur, so that the solution exists only lo ally.
The above proof may be modi ed to provide a lo al existen e result.

Theorem 3.10 (Lo al existen e for ODEs) Let f : I  B R (u0 ) ! Rn , where


I = ft 2 R j jt t0 j  Tg
is an interval in R, and
B R (u0 ) = fu 2 Rn j ku u0k  Rg
is the losed ball of radius R > 0 entered at u0 2 Rn . Suppose that f (t; u) is
ontinuous on I  B R (u0 ) and Lips hitz ontinuous with respe t to u uniformly in
t. Let

M = sup kf (t; u)k j t 2 I and u 2 B R (u0 ) < 1:
Then the initial value problem
u_ = f (u); u(t0 ) = u0
76 The Contra tion Mapping Theorem

has a unique ontinuously di erentiable lo al solution u(t), de ned in the time


interval jt t0 j < Æ , where Æ = min (T; R=M ).

Proof. We rewrite the initial value problem as a xed point equation u = T u,


where
Z t
T u(t) = u0 + f (s; u(s)) ds:
t0

For 0 <  < Æ we de ne



X = u : [t0 ; t0 +  ℄ ! B R (u0 ) j u is ontinuous ;

where X is equipped with the sup-norm,


kuk1 = sup ku(t)k:
jt t0 j
We will show that T maps X into X, and is a ontra tion when  is suÆ iently
small.
First, if u 2 X , then
Z t

kT u(t) u0 k=
f (s; u(s)) ds
 M  < R:
t0

Hen e T u 2 X so that T : X ! X.
Se ond, we estimate
Z t

kT u Tv k1 = sup
[f (s; u(s)) f (s; v (s))℄ ds

jt t0 j t0
 C u k v k1 ;
where C is a Lips hitz onstant for f . Hen e if we hoose  = 1=(2C ) then T is a
ontra tion on X and it has a unique xed point.
Sin e  depends only on the Lips hitz onstant of f and on the distan e R of
the initial data from the boundary of B R (u0 ), repeated appli ation of this result
gives a unique lo al solution de ned for jt t0 j < Æ . 
A signi ant feature of this result is that if f (t; u) is ontinuous for all t 2 R,
then the existen e time Æ only depends on the norm of u. Thus, the only way in
whi h the solution of an ODE an fail to exist, assuming that the ve tor eld f is
Lips hitz ontinuous on any ball, is if ku(t)k be omes unbounded. There are many
fun tions that are bounded and ontinuous on an open interval whi h annot be
extended ontinuously to R; for example, u(t) = sin(1=t) is bounded and ontinuous
on ( 1; 0) but has no ontinuous extension to ( 1; 0℄. This kind of behavior
annot happen for solutions of ODEs with ontinuous right-hand sides, be ause the
derivative of the solution annot be ome large unless the solution itself be omes
Initial value problems for di erential equations 77

large. If we an prove that for every T > 0 any lo al solution satis es an a priori
estimate of the form
ku(t)k  R for jtj  T ;
then the lo al existen e theorem implies that the lo al solution an be extended to
the interval ( T; T ), and hen e to a global solution.

Example 3.11 A gradient ow is de ned by a system of ODEs of the form


u_ = rV (u); (3.31)
where V : Rn ! R is a smooth real-valued fun tion of u, and r denotes the gradient
with respe t to u. The omponent form of this equation is
V
u_ i = :
ui

Solutions of a gradient system ow \down hill" in the dire tion of de reasing V . It


follows from (3.31) and the hain rule that
V_ (u) = rV (u)  u_ = krV (u)k2  0:
Thus, if V0 = V (u(0)), we have
V (u(t))  V0 for t > 0
for any lo al solution. Therefore, if the set fu 2 Rn j V (u)  V0 g is bounded (whi h
is the ase, for example, if V (u) ! 1 as kuk ! 1), then the solution of the initial
value problem for (3.31) exists for all t > 0. The fun tion V is an example of a
Liapunov fun tion .
Most systems of ODEs annot be written as a gradient system for any potential
V (u). If f is a smooth ve tor eld on Rn , then f = rV if and only if its
omponents fi satisfy the integrability onditions that arise from the equality of
mixed partial derivatives of V ,
fi fj
= :
uj ui

With a suitable de nition of the gradient of fun tionals on an in nite-dimensional


spa e (see Chapter 13), a number of PDEs, su h as the heat equation, an also be
interpreted as gradient ows.

Example 3.12 A Hamiltonian system of ODEs for q(t); p(t) 2 Rn is a system of


the form
q_ = rp H; p_ = rq H; (3.32)
78 The Contra tion Mapping Theorem

where H (q; p) is a given smooth fun tion, H : R 2n ! R, alled the Hamiltonian.


The hain rule implies that
_
H = rq H  q_ + rp H  p_ = 0;

so H is onstant on solutions. If the level sets of H are bounded, then solutions of


(3.32) exist globally in time.

3.6 Referen es
General referen es for this hapter are Simmons [50℄ and Marsden and Ho man [37℄.
For more about the logisti map and haoti dynami al systems, see Devaney [8℄,
Gu kenheimer and Holmes [18℄, and S hroeder [51℄. Hirs h and Smale [21℄ dis usses
gradient ows.

3.7 Exer ises


Exer ise 3.1 Show that T : R ! R de ned by
tan 1 x

T (x) = +x
2
has no xed point, and

jT (x) j j
T (y ) < x y j for all x 6= y 2 R :

Why doesn't this example ontradi t the ontra tion mapping theorem?

Exer ise 3.2 (a) Show that for any y > 0, the onvergen e of T n y to x is
p
in fa t faster
pxjthan exponential. Start from (3.7) to obtain a good estimate
for jT y .
(b) Take y = 1 and p x = 2. Find a good estimate of how large n needs to be
for T 1 and 2 to have identi al rst d digits. For example, how many
n
p
iterations of the map T are suÆ ient to ompute the rst 63 digits of 2?

Exer ise 3.3 The se ant method for solving an equation f (x) = 0, where f : R !
R, is a variant of Newton's method. Starting with two initial points x0 , x1 , we
ompute a sequen e of iterates (xn ) by:

xn+1 = xn f (xn )
xn xn 1 for n = 1; 2; 3; : : :
f (xn ) f (xn 1)
Formulate and prove a onvergen e theorem for the se ant method with f (x) =
x2 2.
Exer ises 79

Exer ise 3.4 If T satis es (3.1) for < 1, show that we an estimate the distan e
of the xed point x from the initial point x0 of the xed point iteration by
1
d(x; x0 )  d(x ; x ):
1 1 0
Exer ise 3.5 An n  n matrix A is said to be diagonally dominant if for ea h row
the sum of the absolute values of the o -diagonal terms is less than the absolute
value of the diagonal term. We write A = D L U where D is diagonal, L is
lower triangular, and U is upper triangular. If A is diagonally dominant, show that
kL + U k1 < kDk1 ;
where the 1-norm kk1 of a matrix is de ned in (5.9). Use the ontra tion mapping
theorem to prove that if A is diagonally dominant, then A is invertible and that the
following iteration s hemes onverge to a solution of the equation Ax = b:
xn+1 = D 1 (L + U ) xn + D 1 b; (3.33)
1
xn+1 = (D L) U xn + (D L) b:
1 (3.34)
What an you say about the rates of onvergen e?
Su h iterative s hemes provide an eÆ ient way to ompute numeri al solutions
of large, sparse linear systems. The iteration (3.33) is alled Ja obi's method, and
(3.34) is alled the Gauss-Seidel method.
Exer ise 3.6 The following integral equation for f : [ a; a℄ ! R arises in a model
of the motion of gas parti les on a line:
Z a
1 1
f (x) =1+
 1 + (x y )2
f (y ) dy for a  x  a:
a

Prove that this equation has a unique bounded, ontinuous solution for every 0 <
a < 1. Prove that the solution is nonnegative. What an you say if a = 1?

Exer ise 3.7 Prove that there is a unique solution of the following nonlinear BVP
when the onstant  is suÆ iently small,
u00 +  sin u = f (x);
u(0) = 0; u(1) = 0:

Here, f : [0; 1℄ ! R is a given ontinuous fun tion. Write out the rst few iterates
of a uniformly onvergent sequen e of approximations, beginning with u0 = 0.
Hint. Reformulate the problem as a nonlinear integral equation.