New York University Institute of Mathematical Sciences Lectures on ADVANCED ORDINARY DIFFERENTIAL EQUATIONS by fut] Hon K. O. Friedrichs Courant Institute of Mathematical Sciences Notes by P. Berg, W. Hirsch, P. Treuenfels NELSONTHOMAS NELSON AND SONS LTD 36 Park Street London W1 P.O. Box 336 Apapa Lagos P.O. Box 25012 Nairobi 77 Coffee Street San Fernando Trinidad THomas NELSON (AUSTRALIA) LTD 597 Little Collins Street Melbourne C.1 Tomas NELSON AND Sons (SOUTH AFRICA) (PROPRIETARY) LTD P.O. Box 9881 Johannesburg THomas NELSON AND Sons (CANADA) LTD 81 Curlew Drive Don Mills Ontario THomas NELSON AND SONS Copewood and Davis Streets Camden 3, NJ. Copyright © 1965 by Gordon and Breach Science Publishers, Inc. First published in Great Britain in 1967 PRINTED IN NORTHERN IRELAND AT THE UNIVERSITIES PRESS, BELFASTGeneral Preface A large number of mathematical books begin as lecture notes; but, since mathematicians are busy, and since the labor required to bring lecture notes up to the level of perfection which authors and the public demand of formally published books is very considerable, it follows that an even larger number of lecture notes make the transition to book form only after great delay or not at all. The present lecture note series aims to fill the resulting gap. It will consist of reprinted lecture notes, edited at least to a satisfactory level of completeness and intelligibility, though not necessarily to the perfection which is expected of a book. In addition to lecture notes, the series will include volumes of collected reprints of journal articles as current developments indicate, and mixed volumes including both notes and reprints. Jacos T. SCHWARTZ Maurice LévyContents Chapter I. Invariant Differential Equations. Lie’s Theory . Introductory Remarks . Transformations . Transformation of Functions. ........ . Transformation of a Direction Field. . . . . . 1 2 3. 4. Transformation of a Set of Curves... . . 5. 6. . Differential Equations Invariant under Given Transformation 7. Lie’s Integrating Factor... . 1.2... 8. Infinitesimal Transformations. ........ Chapter II. Existence and Uniqueness . Metrization AWPwne FSwen 1 1 . Preliminary Remarks . Integral Operation . Convergence of Iterations... . 1... ~~ . Application to Differential Equations .... . . Dependence of Solutions on Initial Values or Other Parameters . Remarks about Other Existence Theorems . . . . Remarks about the Domain of Existence . . Remarks about the Existence of. Periodic Solutions ). Remarks about Systems of Equations... . . . Linear Differential Equations. ........ Chapter III. Discussion of the Topology of Integral Curves 1. Singularities 2. Linear Differential Equations. ........ vii UhUNeviii Chapter IV. CONTENTS 3. Path Curves near a Singular Point: Geometrical Discussion. . 6.1 2 ee ee et ee 4, Existence of the Exceptional Integral Curve through a Singular Point... ........ 5. Integral Curves in the Large. Closed Tmtegral 6. Number and Type of Singular Points .. . . . Periodic Solutions of Differential Equations . Analytic Determination of Periodic Solutions . . . The Variational Equation ........ . Holonomic Differential Equations . The Degenerate Problem ........ . The Totally Degenerate Problem . The Bifurcation Problem for Equations of Second Order... 2. 2... ee ee 7. A Modified Implicit Function Theorem . . . . Solution of the Degenerate Problem and of Related Problems... ......-.--. 9. Remarks about Linear Differential Equations with Periodic Coefficients .......... AWAWNE ° Appendix to Chapters II, III, IV 1. Remarks about the Manifold of all Solutions of a Linear Differential Equation with Constant Coefficients... 6... ee ee 2. Remarks about the Stability Problem .... . Chapter V. Linear Differential Equations for Analytic Functions eelmtroduction js ese een . Existerice, Uniqueness, Circuits... ..... . Clrevits 2 ee . Regular Singularities ...........4. . The Nature of the Proper and the Generalized Eigen-Solutions of a Differential Equation with a Regular Singularity ............ . The Non-homogeneous Equation. ...... 7, An Equation of the mth Order for One Unknown PPUNCHON: ee teitire tee sisiieecdeteistaete aires wawnNe a 102 103. Existence of a Pseudo-regular Solution : . Asymptotic Expansion .....-..-.- 176 . Recessive and Dominant Solutions. Stokes Phe- CONTENTS . The Hypergeometric Functions. ....... 150 . Integral Representation of the Hypergeometric PUnCHON ise ncierensaecie sHect eae oie 156 . Singular Singularities. Pseudo-regular Differential Equations ..........-00. . 160 167 MUOMINCTAOR etic tee tes tte etieLtee tte tetera teltiatttetie 179 . Asymptotic Expansion with Respect to a Param- ter ee 188 . Circuit Transformation of the Asymptotic Ex- pansion with Respect toa Parameter . . . . . 199 K. O. F. The lecture notes as offered here are reprinted without any change (except for a few misprints); they are not brought up to date and do not represent the author’s present view on the subject. Nevertheless, the author Dues! that they may be of value in the sense explained byCHAPTER | Invariant Differential Equations. Lie’s Theory I, Introductory Remarks Given a DE of the first order, dy/dx = f(x, y), we ask for a solution y = y(x). The DE can be interpreted geometrically as a direction field in the (x, y)-plane, whereby the function f(x, y) prescribes a direction to each point (x, y). A solution y = y(x) will now be a curve whose direction at each point coincides with the direction of the field; i.e. whose slope at (x, y) is f(x, )). We obtain another representation if we write the solution in para- metric form: x = x(t), y = y(t); then any two numbers, dx, dy, are called a set of differentials if dx : dy = x : y, where the dots denote differentiation with respect to t. The DE takes then the form dx : dy = A(x, y) : B(x, y) where the field direction is given by the vector (A, B). Still another representation is obtained if we write the DE in the form: P(x, y) dx + O(x, y) dy = 0. Then the relationship states that the field direction is to be perpendicular to the vector (P,Q). The field is termed regular where P(x, y) + Q*(x, y) # 0. Let the solution be given by the set of curves H(x, y) = const. Then we have dH = H,{x, y) dx + H,(x, y) dy = 0. Hence H(x, y) is a solution or “integral” if F(x, y) | Hx Y) = P(x, y) + Oy). In the following we shall adopt this latter representation, and we shall, furthermore, assume the field to be regular at the considered points. 12 INVARIANT DIFFERENTIAL EQUATIONS. LIE’S THEORY [CHI Thus we have the DE Pdx+Qdy=0 qd) and a solution H = const. 2) Let P ¥ 0, and set H,/P = p, then the relation H,:H,=P:@Q @) is equivalent to H,=pP, Hy =n 4 and eliminating H by differentiation we find (uP), — (40), = 0. (9) Any function y(x, y), such that (5) holds we call an “integrating factor” or “multiplier” of the DE. But then it is well known that a function H(x, y) exists such that (4) holds. Hence (3) holds and is a solution of (1). The problem of solving (1) is hereby reduced to that of finding a multiplier. It is also clear that u(P dx + Q dy) is a total differential. Remark 1. If H is a solution, then ¢(H) is also a solution, where ¢ is any arbitrary differentiable function. Remark 2. If y, and py are multipliers then j,/u, is a solution. Problem 1. Prove remarks 1 and 2. Example: We consider the DE xdy —ydx =0; then we can verify that By = (xy? and wp = (x? + y*7 are multipliers, hence Gy G4 yt =F 42 yx is a solution. 2. Transformations We first introduce the notion of a point transformation of the x,y-plane, whereby a point (x, y) is transformed into its image pointSEC. 3] TRANSFORMATION OF FUNCTIONS 3 (x, y}). For our purposes it is more suitable to describe the transforma- tion backwards: to every image point (x, y) we indicate by F=%%y)3 =H y) its original point or the “antecedent” (z, y). Furthermore, we shall consider a set of transformations depending on parameter 7. F=x@ys Fay y). Examples 1. f=xtar, yoythr This is a translation along the vector (—ar, —br). 2. Magnification by a factor 1/7 = 1x, jury. 3. Rotation through an angle + ¥=xcosr— ysinz, j=xsint + ycosr. 4. Lorentz transformation % = xcoshr + ysinh tr J =xsinh 7 + y cosh r. 3. Transformation of Functions Consider a function ¢(x, y) which attaches a value to each point of the plane. Then if we subject the plane to the transformation F=x(x,y) F=y(e y) and stipulate that the value attached to each point be carried over to its image point, the function ¢(x, y) will go over into $Y) = HE I) = G(x", y), YC Y))- Thus the value of the transformed function at a point is the value of the original function at the antecedent. As an example we consider the rotation of the plane (ex. 3), then #(x, y) = y + x will go over into $(x, y) = x(cos7 + sin r) + y(cos7 — sinz);4 INVARIANT DIFFERENTIAL EQUATIONS. LIE’S THEORY —[CH. 1 $(x, y) = y/x will pass into $y) = yoost+xsint gi y/x + tant é xcost—ysinr 1—y/xtanr’ de WN=X ty, H&P + yr A function ¢(x, y) is invariant under a transformation if it has the same value at the image point and the antecedent. Or, as we may also say, if the value of the transformed function coincides with that of the original function everywhere, i.e. if $x, ¥) = $y). A function is invariant under a set of transformations if this is true for every value of the parameter r. Remark 3. If $(x, y) is invariant under the set of translations F=xtar, jpoythr, $(x, y) = $(bx — ay). Proof. Introduce new variables it is of the form x'=bx-ay, yoy then the translations are expressed by the transformation Fax, joy tbr and invariance will then mean that ¢ is to be independent of y’, hence it is of the form $(bx — ay). 4. Transformation of a Set of Curves The equation ¢(x, y) = « defines a curve C which consists of the set of points along which ¢(x, y) has the constant value «. Now under a transformation of the plane this set of points will go over into its image set forming the curve C7; but we know that along this set of points ¢"(x, y) will have the same value «. Hence the image curve is given by $"(x, y) = «. Consequently, the curve (x, y) = « passes into the curve $*(x, y) = a. Furthermore the set of curves C depending upon the parameter «, goes over into the set of curves C’.SEC. 5] TRANSFORMATION OF A DIRECTION FIELD 5 The set of curves C is said to be invariant under the transformation if each transformed curve coincides with one of the original curves, and vice versa, but it should be noted that it need not coincide with its own antecedent. To every transformed curve ¢*(x, y) = « there will be an original curve (x, y) = 8 with which it coincides and vice versa. Thus to every B there will be an «, depending on 7, a= F(). Let (x, y) be a point on (x, y) = B; then at that point F*(¢(x, y)) = «; on the other hand this point is supposed to be on the curve ¢(x, y) = «, therefore at this point $x y) = FPO y)). This relation thus holds throughout that portion of the (x, y)-plane that is covered by our set of curves. Although ¢” need not coincide with ¢, it is at least a function of ¢. Example: Rotation (Ex. 3). The curve ¢(x, y) = y/x = a goes over into Bi _ yixttans YON =F —ylxtant thus the curve coincides with y/x = 8, if B is so determined that — b+tanr or B= % = tant 1—ftanr 1+atanr ‘We see that the set of curves y/x = « is invariant under rotation. a 5. Transformation of a Direction Field A transformation ¥ = x*(x, y), § = y"(x, y) induces a transformation of any direction field given by P(x, y) dx + Q(x, y) dy = 0. The new direction field is characterized by the differential equation P(x, y) dx + Q(x, y) dy = 0,6 INVARIANT DIFFERENTIAL EQUATIONS. LIE’S THEORY {cH.1 where P‘ and Q are defined by the identity PO", y) dx + Ox, y) dy = PCR, J) dz + O(%, J) ay = P(x'(x, y), yx y)) dx"(x, y) + OC" y), YY) dy" Y) [Per 0% + 067, 92] ax + [PoE + 067,72] ay. y oy This definition implies that every curve C passing through the antecedent (%, 9) in the direction of the original field is transformed into a curve C through the image (x, y) in the direction of the new field. A direction field is invariant under the transformation if the new and original direction fields coincide, i.e. if P” dx + OM dy =0 implies Pdx+Qdy=0, or P:Q = P:Q. In other words, a direction field is invariant under a transformation if there exists a factor K(x, y) such that P'"(x, y) = K'(x, y)P(x,y) and Q(x, y) = K(x, QC, y). We shall say that a DE is invariant under a set of transformations if the corresponding direction field is invariant under the set of transforma- tions. Example: DE: xy dy — (y* — px) dx = 0, p = const. We consider the following transformations. (1) Stretching # = rx, 5 = ty. The direction field passes into axy dy — try — px) dx = 0; we see that this DE is not invariant under a stretching unless p = 0. (2) Stretching = 72x, j= ty; DE goes over into (xy dy — (y? — px) dx) = 0, hence it is invariant.SEC. 6] DE’S INVARIANT UNDER GIVEN TRANSFORMATION 7 Linear DE dy + (A@dy — R(x) dx = 0. We now try to find a transformation under which the DE is invariant. Take F=x, Payt r(x), then DE is transformed into dy + rd’ dx + (Ay + 7Ad — R) dx =0 hence it will be invariant if ¢' + 4p=0 i.e. if 4(x) is a solution of the corresponding homogeneous DE. 6. DE’s Invariant under Given Transformation 1. Translation. ¥ = x + ra, ¥ = y + br. We note that bx — ay is invariant. The translation is along the lines bx — ay = const. If DE is invariant under the translation, then PCR, 9) d& + O(%, J) dy = PCR, Y) dx + Q(x, J) dy = K(P(x, y) dx + Q(x, y) dy). Hence P/Q is invariant; from Remark 3 it follows that P/Q = —g(bx — ay) and dy/dx = g(bx — ay) represents all DE invariant under translations. 2. Rotation. (%) i leas — sin ‘) (") Si sint cost/ \y, 0 We introduce polar coordinates fe) = ae ) then rotations are yi sin 0 F=r, 0=047, which amounts to a translation in terms of r, 6. But from the preceding we see that all DE invariant under this transformation are given by 28 INVARIANT DIFFERENTIAL EQUATIONS. LIE’S THEORY —[CH. I dr/d0 = g(r). In view of r dr = x dx + y dy, dO = x dy — ydx, this is equivalent to xdx + ydy = f(x + y\(x dy — y dx) where we write f(x* + y?) for r-tg(r). 3. Magnification. (Perspective Transformation) = 7x, pory. We introduce the new variables eae x=, y' =logy ad then the magnification in terms of those new variables will be charac- terized by Bax’, jf =y' + loge. Hence all invariant DE are given by dy’ , DY = g(x’ a &(x') 28 = .(%) ydx —xdy yi or or dy ately) y’ consequently dy/dx = f(y/x) represent all DE invariant under magnifi- cation. The differential equation can also be written in the form P dx + Q dy, where P and Q are homogeneous of the same degree, i.e. Plax, ay) = oXP(x, y), — O(ax, ay) = a Q(x, y). Problem 2. Find all DE invariant under Lorentz transformation. ax 1 ie Problem 3. Find all DE invariant under the transformation =x, jorty. Solution: yh xdy— (Hiya =o.SEC. 7] LIE’S INTEGRATING FACTOR 9 7. Lie’s Integrating Factor Whenever to a given DE a set of transformations is known under which it is invariant, an integrating factor can be given. We first make the following remarks: Remark 4. Let H(x,y) be a solution of Pdx + Q dy =0, then H"(x, y) = H(&, 9) is a solution of P™ dx + Q' dy = 0. Remark 5. Let DE be invariant under a transformation, then the set of solutions H = « is invariant under the transformation. Assume again the DE to be invariant under a set of transformations F=x (x,y) P=) and let + = 7» give the identity transformation, i.e. XX, =X YB Y = then H* = F*(H), or, by virtue of Remark 5 and the discussion in Section 4, AC, y’) = F(A). Differentiate now with respect to r and set tr = 7. HAC, y)x(% Y) + Hy YPC Y) = FH, y))- We set 2% V) = $Y), YEO Y) = NO Y) F(a) = Ga). Then we may write HE + Hyn = G(H). Now we consider the ratio ae Since P:Q = H,:H,, Pdx + Ody _Hedx+Hydy _ Hedx + Hydy _ gycay PE + Qn HE + Hy GH) : where d Ho) = oe Ga)"10 INVARIANT DIFFERENTIAL EQUATIONS. LIES THEORY —[CH. I Pd: q Hence? % + 24 ;. » total differential and, therefore, (PE + Qr)-is PE+ Qn an integrating factor. This argument breaks down, however, when PE + Qn = 0; we shall postpone the investigation of this case. Thus we arrive at the Theorem. If PE + Qn # 0 everywhere, then 1 PE + Qn is an integrating factor. Applications (1) Translation: ¥=x+ar, J=ythr =a =b. The DE invariant under this transformation is dy — g(bx — ay) dx = 0, Q—1, P= —g(bx — ay) and PE + Qn = b — ag(bx — ay). Conse- dy — g(bx — ay) dx b — ag(bx — ay) let bx — ay = z, then the preceding expression becomes quently is a total differential. In order to solve it we C2 lee ab—ag(z) a and o-av gy x -{ ———— = const. b — ag(z) are solutions. 2. Rotation: (3) ao - =) () yi sinz cos 7/ \y, f=-y, =x the invariant DE is xdx + y dy — f(x? + y)(x dy — ydx) =0 PE+ On = —f(%? + YI? + y*).SEC. 7] LIE’S INTEGRATING FACTOR ll Hence _ xdx + ydy —f(? + ye dy — ydx) GP + VSG? + y*) ax ax tydy xdy — ydx g(x? + y*) x+y? is a total differential. Problem 4. Solve all DE invariant under Lorentz transformation. Magnification, X=1x, Y=rty, f=x, n=y. Invariant DE. Pdx+Qdy=0, P, Q homogeneous, Total differential: Pdx+Qdy Px + Qy Problem 4a. Integrate the preceding differential in a way symmetrical with respect to x and y. Problem 5. Solve DE invariant under following transformation: Far, pory. Examples: 1, The DE : xy dy — (y* — px) dx = 0, p = const. was found to be invariant under ¥ = 7°x, j = ty. Hence with & = 2x, 7 = y we have PE + On = —xy® + 2px® = x(2px — y*). Hence xy dy — (y* — px) dx x(2px — y*) is a total differential, it is equal to 2 x d tlog ———.. tlog eae The solutions are y* = 2px — cx®, which consists of a set of ellipses and hyperbolas, separated by one parabola y* = 2px. 2. Linear DE. dy + (A(x)y — R(x)) dx = 0. This differential equation is invariant under the transformation: ¥ = x, j = y + 74(x), with12 INVARIANT DIFFERENTIAL EQUATIONS, LIE’S THEORY = [CH. I ¢_ + Ad = 0. Hence 1/¢(x) is an integrating factor, and the left side of dy + A@e)y dx _ R(x) 4g, § 0 $(x) $x) is a total differential, or 8. Infinitesimal Transformation An infinitesimal transformation is a transformation linear in + which agrees with the given one in terms of first order at r = 79. It is therefore characterized by & and 7, those quantities having the same meaning as in the preceding paragraph. Actually it amounts to developing the original transformation with respect to the parameter + about 7, and neglecting higher order terms. Set 7 = 7, and we get Faxt hay), Fay t rH, y)- This relation is to be used only for values of 7 in the neighborhood of 7». Transformation of a function Let $"(x, y) = $(%, j). If we develop the new function with respect to 7 in the neighborhood of 79, we call the first order term the infinitesimal transformation: $s Y) = $e y) + (Pal VEC ¥) + byl Y))- The function is infinitesimally invariant if bef + $n = 0. Consider now a set of curves ¢(x, y) = « which is transformed into ¢"(x, y) = «. The condition for invariance is that there exist functions F7(8) such that F=F); FU) =¢. We develop now and take first order terms $+ (hes +n) = $ + TFS) = $ + 7F(4),sec. 8] INFINITESIMAL TRANSFORMATION 13 where we write F,(¢) for F70(d). If there exists a function F,(6) such that $25 + $n = Fld), we shall say that the set of curves is infinitesimally invariant under the transformations. Invariance of DE Consider a DE P(X, ¥) dé + Q(%, 7) dj =0, and a set of trans- formations ¥ = x"(x, y), § = y"(x, y). Under these transformations the DE becomes P’(x, y) dx + Q*(x, y) dy = 0, where P* and Q” are the functions defined in paragraph 5. The infinitesimal transformation of the DE is obtained by developing P’, Q” in powers of 7 in the neighbor- hood of 7, and taking first order terms only. Hence the infinitesimal transformation of the DE is given by Pdx + (P,§ + Py) dx + tPdé + Ody + 7(O,é + Qyn)dy + 7Qdn. The condition for infinitesimal invariance of Pdx + Q dy = 0 is that there exist a factor K(x, y) such that (Pog + Py) dx + (O,€ + Qyn) dy + Pdé + Q dn = K(P dx + Qdy) identically in dx and dy. This, of course, amounts to two equations. (PE + Qn). = —(Py — Q.)n + KP (PE + Qn), = (Py — O26 + KQ. Assume now that DE is infinitesimally invariant under a certain trans- formation, then again (PE + Qn) is an integrating factor. : Pdx+Qdy. To prove this we need only show that ——-——— js a total differen- : : PE+ On tial or that (e ' ae - (x : a. =o which is easily seen to be a consequence of (1).14 INVARIANT DIFFERENTIAL EQUATIONS. LIE’S THEORY —[CH. I Problem 6. Prove that DE: 2 Ya wor (z ) is infinitesimally invariant under the infinitesimal ators Integrate the DE.CHAPTER II Existence and Uniqueness |. Preliminary Remarks In this chapter we shall be concerned with the existence and unique- ness of the solution of a first order differential equation under certain conditions. To this end we shall construct the solution by an approxima- tion process (the so-called method of iterations of Picard) and show that this process leads to a limiting function which is a solution of the DE. Let the DE be given in the form u‘(x) = f(x, y(x)) with the initial condition u(x») = up. We then transform the DE into an integral equation u(x) — te = ("16 y(E)) a8. Upon setting : Y =X — Xp HY) = u(x) — toy f%o + Ys Uy + 2) = BQ»), we get ie o(9) = [s(n ve) dr = Gol). The operation G transforms any function v into a function w = Gv or w(y) = Go(y); to solve the differential equation with the initial condition would mean then to find a function v(y) that is transformed into itself by means of this integral operation, i.e. Gu(y) = v(y). In order to find such a function we shall apply the method of iterations. We start with any function v(y) and set v, = Grp, v2 = Gu,,..., and obtain a sequence of functions v9, 0, V2, . Our object now will be to show that under certain conditions this sequence converges to a limiting function and that the limiting function is a solution of the integral equation, 1516 EXISTENCE AND UNIQUENESS [cH. 0 In order to obtain a better insight into the method, let us consider the simpler case, where v, w are numbers instead of functions, Gv = G(v) is a function of v. We want to find a number v such that G(v) = 2, i.e., we seek a root of the equation G(v) — v = 0. Applying the method of iterations, we choose any value v, and set 0, = G(%), v2 = Gv), ... . It is easily seen that if the slope of G(v) ina certain region a S v Sb is bounded below one, that is if there is a positive number 6 such that IG@| S0<1 for aSvSb, and if the iterations never lead out of that region, the process converges. The condition on the slope can also be expressed by the equivalent condition |G(v) — G(v*)| S 6 |v — v*|, where v, v* is any pair of numbers such that a S v, v* Sb. In the case of the integral operation we shall need similar restrictions. We have to stipulate a region in a function-space such that Gv is inside the region whenever v is in it, and moreover that Gv, and Gv, differ from each other less than v, and v, do. For that purpose we have to specify the meaning of difference between two functions; we do this by introducing a metric in the function space in which we are going to operate. 2. Metrization By v = v(y) we denote functions defined in 0 < y Xa. We define the “‘distance” between two functions 0, v2, denoted by ||v, — vl], as Lu.b. |v,(y) — »(y)| for OS y Sa. It is clear that ||v, — v,|| =0 implies v, = vg, i.e., 0)(y) = v,(y) everywhere in the interval. One easily verifies that the triangular inequality holds, i.e. lex — esl] S flor — vail + llee — eal. Now let v,, v2, ... be a sequence of functions; v is then called its limit function if lle, — vl] +O as no. This convergence in the sense of the distance is nothing but “uniform” convergence in the ordinary sense. The Cauchy criterion is an important test for the convergence of a sequence. If v,, is a sequence such that [lon — Pml| +0, asn—> oo, m>n,SEC. 3] INTEGRAL OPERATION 17 then one and only one function v exists such that ||v, — vl| > 0. We shall refer to such a sequence simply as a convergent sequence. The functions that we actually consider will be restricted by two conditions: 1) uniform continuity and 2) uniform boundedness. 1. A function is called uniformly continuous if a “continuity degree” or “modulus of continuity” 6(e) exists such that, for 0 S y,, y, Sa, \y1 — Yel S 6(e) implies |v(y,) — v(y2)| Se. (Since a function con- tinuous in a closed interval is also uniformly continuous we shall omit the qualification “‘uniformly”.) A well-known and important fact is the following: Lemma 1. If v,,v,,... is a convergent sequence of continuous functions then its limit function is also continuous. A class of functions which are continuous and uniformly bounded in some closed interval 0 < y 0 such that IsQ, 2) — 80,2") S Ale — 2*| for OSySa, |2)34 [e*|S5. MD This so-called “Lipschitz-condition” is certainly satisfied if g(y, z) possesses a continuous partial derivative with respect to z. Then we may set A = max |g,(y, z)|. Although one will very seldom have occasion to use the iterations without using the existence of a continuous derivative &; it is more general to leave our restriction on g in form of the Lipschitz-condition. An immediate consequence of III is the inequality [Go — Go*|| Sa |v — v* |, or Go — Go*|| S 6 |v — o* I, a) where we have set ah = 0. (iv) Inequality (1) will serve to prove the convergence of the iterations if 0<0<1. av)SEC. 4] CONVERGENCE OF ITERATIONS 19 Since aA = 6, it is clear that this condition on 6 may be regarded either as a restriction on a, and hence on the interval of variation of y, or as a restriction on A, and hence on the class of functions g(y, z) for which our results are valid. For present purposes at least, it is the former viewpoint which we wish to emphasize, although in later paragraphs it will be fruitful to adopt the latter attitude. Accordingly, we observe that if g(y, z) is continuous in the domain 0 S y S a*, |z| S 4, and if Ig(y. 2) — g(, 2*)| S A |z — z*| in that domain, we need only restrict the variation of y to the interval 0 S y Sa, where a = 6/A and 0 is any number less than 1, to obtain the inequality ||Gv — Gv*|| S 6 |v — v*], withO <0 <1. Although (1) and (IV’) are together sufficient to prove the convergence of the iteration process, condition (IV’) is in some cases stronger than necessary. This is illustrated by the following example: We seek a function v(y) which satisfies the equation w= Af") + Ddn OS ya Condition III, namely |g(y, z) — g(y,2*)| S A|z — z*|, is certainly satisfied if we take A = |A|, and hence ||Gv — Gv*|| < aA ||v — v* |. To obtain a solution of the equation by iteration, we choose vy = 0, which generates the sequence of functions Ay? Ay)” a= Ay, asiy+@,..., = dy te +r... . Evidently, lim v,(y) = e*” — 1 for every value of a, and, in particular, n> for a value of a for which aA > 1. Moreover e”” — | satisfies the given differential equation in any interval 0 S y S a. We thus see that in this case it was not necessary to impose restriction (IV’). In the case of linear DE’s we shall in fact abandon this restriction. 4. Convergence of Iterations Now, with the restrictions imposed upon g in section 3 we are ina position to prove the convergence of the iterated functions. Let vp be an admitted function; then the sequence v, = Gro, 0, = Gr... consists of admitted functions. Hence we have from (1) Went — Pall SO len — ena20 EXISTENCE AND UNIQUENESS [cH. 1 or Onta — Pnll S 9 ller — voll. If m > n it follows from the triangular inequality that [lop = Pall SO" + A"? + + +O") [oy — voll Spay ln- ool Consequently, if both n and m are greater than some index N, we have oN em — Pall S ler — vg] +0 as No. 1 Thus v,, is a Cauchy sequence. It follows from Cauchy’s criterion that one and only one function exists such that |v, — v|| > 0 as n— o, By virtue of Lemma 2, v is admitted, and from (1) (Cf. Lemma 3) we have Go, — Go|] +0, ie, nia — Gol] > 0, or lle, — Gol] > 0. Hence Gv is the limit function of v,; but the unique limit function of U, Was v. Thus v= Gv, which establishes the following theorem: Theorem 1. There exists at least one admitted function v such that v= Go. We supplement this theorem by Theorem 2. There exists at most one admitted function such that v=Go. The uniqueness follows from (1). Suppose that there are two admitted functions v, v* such that v=Gv and v* = Go*. Then lo — o* || = Go — Go*|] 5 6 |v — v* I or (1 — 6) lv — o*] SO.SEC. 6] DEPENDENCE OF SOLUTION ON INITIAL VALUES 21 Since 1—6>0 and |v —v*| $0, we must have jo —v*| =0 or, v=v*, 5. Application to DE Consider the DE du/dx (x, u) with the initial condition u(x») = up. We shall now express conditions I to IV in terms of x, u, f. lu — up| Sb I [f@2| Sbat in my SxSxmta, \z-wlSb or a S b/max | f(x, 2)| I’ If, 2) — f(, 22)| S A |zi — Z2| (Lipschitz condition) II aA <1. IV, IV’ Theorem 3. If conditions II, III, IV are satisfied, and if f(x, z) is continuous in (x,z) in the domain x Sx Sx +4, |z—u| Sb, then in the interval xy S x S xo + a there is one and only one solution of the DE(du/dx) = f(x, u) with u(x») = up satisfying condition I. 6. Dependence of Solution on Initial Values or Other Parameters We shall now investigate the dependence of the solution on variations of the initial value or other parameters. If weset y = x — X9,z = u — Ug, then g(y, z) = f(x» + y,% + 2) depend simplicitly upon the param- eters X,%. We can thus answer the question of dependence of the solution on initial values by investigating the dependence of g on a parameter t. We consider the kernel g(t; y, z) to depend on the param- eter ¢ restricted to the interval |t} < 7. Then we consider the corre- sponding operation G‘ and assume the constants a, b, A, 6 to be common for all |t| S t. Since the solution of the equation v = G'v® depends on t as well as on y, we denote it by v(t; y).22 EXISTENCE AND UNIQUENESS [cH. Theorem 4, If, in the interval |t| < 7, the kernel g(t; y, z) is con- tinuous in t uniformly with respect to all (y, z) in the domain 0 sz [z| S 6, then the solution v(t; y) of the functional equation » = G'v is a continuous function of (f, y) in the domain |t| S$ 7,0 Sy Sa. Proof. By hypothesis, g(t; y, z) considered as a function of ¢ has a modulus of continuity 5(e) such that for all y, z in the domain considered g(t ¥ 2) — gs. 2 0 through values for which |t + h| < T. To this end we subtract the integral equation v = G‘v, which is satisfied by v(t; y), from the integral equation v = Gy, which is satisfied by v(t +4; y). Writing v(t + h; y) = Aw(h; y) + v(t; y) we see that w(h; y) satisfies the integral equation: w(hs y) = fee + hsm, v(tsm) + hw(hsn)) — g(ts, ots m))] dn. (7) Introducing the function 81h y, 2) = A Ig(t + 3 y, v(t, y) + hz) — (Gy, oy] ®) for h 0, we can write the last relation in the form w(h; y) = Giw(h; y). Q) We maintain that the kernel g,(h; y, z) also satisfies the conditions IT and III for 0S y Sa, |z| S by, 0 < [hl Sho, |t + Al S T, when hy is chosen sufficiently small. Furthermore, we maintain that the function g,(h; y, z) is continuous in A uniformly with respect to (y, z), even for h = 0, if we define (03 y, 2) = (2), (10) &1(), Z) being defined by (3). The fact that w(h; y) converges to w(y) will then follow from theorem 4 according to which the solution w(h; y) of the integral equation w = Gtw depends continuously on the parameter h, First of all we must choose the number Ay; clearly, this number must be chosen so small that |v(t; y) + hz| Sb whenever 0S y Sa, |z| S 44, |h| S hy; for otherwise the function g,(h; y, z) would not be defined for 0 < |A| S fy, 0 Sy Sa, |z| S by. Since we required at the outset (see the statement of the theorem) that |v(t; y)| < bfor0 Sy Sa,SEC. 7] REMARKS ABOUT OTHER EXISTENCE THEOREMS 25 it is clear that such a value of hg can be found. (Incidentally, this value may depend on t.) Condition III is satisfied with the value of A given by (4), for from the inequality III for g(t; y, z) one obtains immediately Isis y, 2*) — gil, y, 2)| = lhl |e(t + h, y, v(t; y) + hz*) — gt +h, y, oft, y) + hz)| SAlz*—2z|. To verify that condition II is satisfied we write gills y, 2) = A [g(t + A y, 0 y) + hz) — gt + hy, of y))) + [gt + A, y, oy) — aes y, ot Y)- (1) Now we make use of the fact that g(t; y,z) was assumed to have continuous derivatives with respect to ¢ and z, Using the mean value theorem and the relations (4) and (5) we find lg; yl S Alz| + A — Oat, S(A+ ( — Aa )by = aby. Finally, we deduce from (11) that the function g,(h; y, z) converges to the function g,(y, z) as h-> 0. That this convergence is uniform in (t; y, z) follows from the assumption that the derivatives g, and g, are continuous in (¢; y, z). Thus theorem 4 is indeed applicable to g,(h; y, z). It yields the uniform convergence of w(h; y) to w(y) and hence the existence of a derivative v(t; y) which is continuous in (¢; y). 7. Remarks about Other Existence Theorems The method of iterations for the existence proof for ordinary DE was introduced by E. Picard (1893).+ (Our representation of this proof differs in certain points from Picard’s original proof, in particular in the use of the norm.) Picard called the method “successive approxima- tions;” but the term “iterations,” at present more customary, is more specific. Picard’s existence proof was not the first one. In fact, two other existence proofs had been given by A. Cauchy some years earlier. t J. de Math. (4) 9 (1893), p. 217.26 EXISTENCE AND UNIQUENESS [cH. 0 In the first existence proof by Cauchy (1835) only the continuity of the right member f(x, y) is required; it is remarkable that then the solution need not be unique. There are simple counter examples. For example, the DE 2 = wii dx has the solutions y = 0 and y = x |x| through x = 0, y = 0. In the second existence proof of Cauchy analyticity is required of the function f(x, y). Cauchy proved that the solution y = u(x) is then also an analytic function of x. The ingenious method of majorants that Cauchy introduced for this purpose can be carried over to existence proofs in the field of partial differential equations. We shall not treat this method. Later on, when we study ordinary differential equations in. functions of complex variables we shall show that the method of iterations can be carried over in a simple way. 8. Remarks about the Domain of Existence In proving the existence theorem (3) we required the domain 0S y Sa, |z| < 4 for the functions in question to be small enough to guarantee that conditions II, IV, and IV’ amax|g(y,2)| Sb, aA=6<1 wa were satisfied. As was mentioned, this condition is stronger than necessary. The following statement holds: Theorem 6. Let the function f(x, y) be continuous and satisfy the Lipschitz condition III in the domain D: 0S x Sz, y_ Sy Sy,. Let yo be a number in the interval y_ < y < y,. Then there exists a number a, Sa such that the DE du/dx = f(x,u) has a solution u = u(x) defined for 0 S x S a,, passing through u = yp, x = 0, and assuming the value u(a,) = y, or u(a,) = y_ if a, a, is one of the values a’, contrary to the assumption that a, is an upper bound of the values a’. Hence in case (1), ic. when a, < a, a, does not belong to the values a’. Now let a, < a, < a3 < +++ be a sequence approaching a, ; since the sequence of numbers u(a,) is bounded it contains a convergent subsequence. Let the sequence a, be already so chosen that u(q,) converges to a value, say y,. We maintain that we can continue the solution u(x) up to x = a,,u= yy. To this end we observe that the solution u(x) defined in0 S$ x S a, agrees in this interval with that defined in any interval 0 < @,, for any | > k. Consequently, a single solution is defined for 0 S x < a,. We define the function u(x) for x = a, by u(a,) = y,- Let F = max|f(x, y)| for all (x,y) in the rectangle OX x Sa, iy yeSys ys. Then for all x in the interval 0 S$ x < a, we have the inequality |u(a,) — u(x)| S F la, — x|. By letting a, > a,, u(a,) > y,, we obtain the inequality |u(a,) — u(x)| S Fla, — x1, which implies the continuity of u(x) at x = a,. From the relation ae wa) — ue) = [HE ME) dé, 0S x< aq 2 we then can conclude that the relation u(a,) — u(x) =["76 u(@) dé holds, which implies that u(y) possesses at x = a, the derivative M (ay) = f(a, u(a4)). dx28 EXISTENCE AND UNIQUENESS [cH. 1 Thus it has been shown that a solution is defined for 0S x Sa,. Since we know that a, does not belong to the values a’, we know that u(a,) = y, or u(a,) = y_. This concludes the discussion of case (1). Let us now turn to the second case, ie. when a, = a. If a, is one of the values a’, there is nothing further to prove. If a, is not one of the values a’, then the preceding discussion establishes the existence of a solution in the interval 0 S x S a. Hence Theorem 6 is proved. 9. Remarks about the Existence of Periodic Solutions We assume that the function f(x, y), defined, continuous, and satisfying a Lipschitz condition [FG y*) —fO YS Aly* — yl in the infinite strip S: y_ < y S y,, is periodic in x with the period p, ie. fa +Py=fy) in S. The question arises of whether or not one can formulate simple conditions for the existence of a solution u = u(x) of the DE & = fx,u which is defined for all x and also has the period p, i.e. u(x + p) = ula). A simple condition, which is formulated analytically in Theorem 7 below, is that each field vector given by the DE on the lines y = y_ and y = y4 points into the interior of the strip when it is so oriented as to have a positive x-component. Theorem 7. Let the periodic function f(x, u), defined in the strip y- Sy Sy,, satisfy the condition Se y)>0, fy) <0 for all x. Then a solution u(x) of the DE du/dx = f(x, u) exists for all x. Moreover u(x) has the same period as f. Consider the rectangle OS x 0. Similarly, one rules out the possibility u(p,) = ys. Consequently, p, = p. Hence we know that every solution u = u(x, @) can be continued up to x = p. Observe that the above argument shows that u(p) cannot equal y_ or y,. In case w = y_ or @ = y, we can draw the same conclusion after having used a simple corollary to Theorem 3, which will be formulated later. We therefore consider it now proved that corresponding to each @ in the interval y- SoS y, thereis a solution u(x, w),0 S x S p, such that u(p, w) # y_.u(p, @) # y,. We shall now show that among the family of solutions determined by permitting w to vary in the interval y_ S S y, there exists at least one solution, say one corresponding to @ = wp», which can be extended over the entire x-axis as a periodic solution. We note that to every value w in the interval y. Sw Sy, there corresponds a value u(p, o) = w’ in the interval y_ < u(p, ) < y,. Clearly, by Theorem 4, u(p, w) = w’ depends continuously on w. The function w' — w is positive for w = y_, negative for w = y,. Conse- quently, there is a value w, such that w, = u(p, «) = wo. In other words, the solution u(x) = u(x, @)) which assumes for x = 0 the value , assumes the same value for x = p. We maintain that by continuing the solution u(x) = u(x, wo) periodically with the period p we obtain a solution of the DE du/dx = F(x, u) which is defined for all x and has the period p. To show this we define the function u(x) for p S x S 2p by u(x) = u(x — p). Clearly, the function u(x), defined for 0 S x S 2p, is continuous at x = p, since its value there is u(p) = u(p — p) = , according to both definitions. Also the function u(x) = u(x — p) for p S x S 2p satisfies the DE. For, when 0 S x — p Sp, we have #6) = Lute = ») = S00 - rule - D) = f(x, ux — p)) = f(%, uo). Hence Theorem 7 is proved.30 EXISTENCE AND UNIQUENESS [cH. We remark, in conclusion, that the periodic solution cannot be the one starting from the corner (0, y,) or the one starting from the corner (0, y_). For, as we have previously established, u(p, ) cannot equal y-ory, for any w in the interval y_ S$ w S y,. In particular, u(0, y_) = y- # up, y_) and u(O, y,) = ys # up, y.)- Corollary to Theorem 3. Let f(x, z) be defined and continuous in (x, z) in the domain x, S x S x) + 4,0 Sz Sb, and satisfy the con- ditions II, TI, IV, IV’. In addition assume that f(%,0)>0 for »SxSx+a. Then in the interval x» < x S x, + a there is one and only one solu- tion of the DE du/dx = f(x, u) with u(x) = 0 for which OSux)Sb when x» SxSx4+24. Exercise II.2. Prove the corollary to Theorem 3. 10. Remarks about Systems of Equations The theory of ordinary DE of the first order as explained in the preceding sections can be extended nearly literally to systems of first order. Let z represent a point in an m-dimensional space z={z,} gw=l,...,m. Let D be a closed convex domain in this space. Let D, be an (m + 1)- dimensional “cylinder”: the set of points (x, 21, Z,..., Zm) Such that z=(%,.-.-,2) is in D and OS xa. Let f(x, z) represent a (vector valued) function assigning to every (x, z) in D, a point fin an m-space: PACES fle, 2) = Gules Ze -s Zo Laem. Then we consider the “DE” du im =f, 4) for a (vector valued) function u = u(x). One function u(x) here is the same as a system of functions u,(x), ..., U(x), and one “DE” here is the same as a system of DE du a HX ay Mm) = 12.02. dxsec. 10] REMARKS ABOUT SYSTEMS OF EQUATIONS 31 However we use the symbolic notation because it is more concise and sufficiently clear. As previously remarked, the whole theory of existence and uniqueness developed in this chapter can nearly literally be carried over to the DE just introduced, and it is not even necessary to formulate new theorems. Only a few additional remarks need be made: As the absolute value of a point z = (21, Zp, .. . , Zm) in m-space we may introduce either @ l= x lzul or (6) |z| = max |z,I. # Then, if u(x) is a vector valued function of the real variable x, |u(x)| is defined for each value of x. With the aid of this definition, the norm of the function u can be defined by lal] = max |u(x)|- It is quite obvious how all other notions needed should be introduced. For example, as Lipschitz condition one should impose the condition If, 2*) — f(D S Ale — 241. Let us denote by f, the m x m matrix obtained by differentiating each of the functions /,(x, 21, ..., Zm) With respect to each of the variables Zyy Zgy ++ +5 Zm» Then it follows from the mean value theorem that the Lipschitz condition is certainly satisfied if f, exists and is continuous. There is only one argument that does not carry over literally, namely, the last argument in Section 9 needed to prove the existence of periodic solutions. The analogue of Theorem 7 refers to a continuous function f(x, z) defined in D, and satisfying a Lipschitz condition there with respect to z. This function f(x, z) should be periodic LS +72) =f 2) and further behave at the boundary D) of D, such that the direction vectors corresponding to dz a = f(x, 2) dx point into the interior. By this condition we mean that for any point z on the boundary D’ of the convex domain D, the point z + ef(x, z) is in D if ¢ is sufficiently small and positive, whatever the value of x may be.32 EXISTENCE AND UNIQUENESS [cH. 0 As in Section 9, the solution curves z = u(x) starting at any point w of D for x = Oend up at a point w’ of D for x = p. Thus a mapping of D into itself is established. In the case considered in Section 9 where D is a one-dimensional segment, an elementary argument showed that there is a particular value of w for which w’ = «. The analogous fact for a convex domain in more than one dimension is the Fixed Point Theorem: To every continuous mapping of a convex domain into itself there is a point in D mapped into itself. This rather profound theorem in Topology is thus needed to establish the existence of periodic solutions of differential equations in the circumstances formulated above. A few other remarks concerning “‘systems” of DE may be made. If one is willing to work with systems and does not mind how great the number of unknown functions is, one may allow oneself certain con- veniences. For example, it is then no restriction to assume that the right members do not depend on the independent variable x. For, if the original system is oe 566 tay oo ted) dx with the initial conditions u,,(0) = i, one may simply introduce a new unknown quantity u,,,, and another DE uimst _ dx : with the IC Ung = 0 for x =0, If we write the original equations in the form du — = f(r My +++ 5 Um)» dx the new system is clearly equivalent to the original one. The case that the DE’s depend on a parameter f can be treated ina similar fashion. One introduces a new function u,,,. and imposes the DE dts =0 dx with the IC Umyg =t for x=0.sec. 11] LINEAR DIFFERENTIAL EQUATIONS 33 In this way one can reduce theorems concerning the dependence of solutions on a parameter to theorems concerning the dependence of solutions on initial data, the latter theorems generally being somewhat easier to prove.t Another important remark that should be made is this: The initial value problem for one DE of higher order is equivalent to the initial value problem for a system of first order. In fact, let the DE for u(x) be £ ue s(n... i) dx” dx, "dx and let the IC be ae diane duties fe a ere Wee oe Gr et ‘or -X = Xq. This problem is equivalent to that of the system of DE du du, dun =u, —=u,. et = f(x, uy Wy Uns oe MB eeateae aatae A i a) and the IC u= th, uy = th... Uy =H, for x =X. Consequently a special treatment of DE of higher order is not necessary. Il. Linear Differential Equations For the solution of linear DE’s restrictions on the domain of x, i.e. bounds on a, are unnecessary. It would be pointless to explain this fact for one linear DE of first order since such an equation can be solved explicitly. For that reason we shall consider linear systems. We shall restrict ourselves to the case of vanishing initial values. Let v(y) = {0,(y)} = {0x(y), vay), --- , Pn(y)} denote the unknown (vector valued) function. Let L= {L(y}, ¥=1,2,...,m, t See W. Hurewicz. Lecture notes on Ordinary Differential Equations, Brown University.34 EXISTENCE AND UNIQUENESS [cH. 1 represent a given matrix, defined and continuous for all values of y, and let M=({M,Q)} w=1,2,...,m be a given vector, defined and continuous for all values of y. Then we consider the system of equations dy, Fy Em + MQ) ly van with the initial conditions v,=0 for y=0. Symbolically, we simply write ®Lwim DE dy 0 for y=0. Ic Observe that the DE can be interpreted as a matrix equation, in which dvldy, v, and M are column matrices, and L is a square (m x m) matrix. The above DE and IC are together equivalent to the integral equation v=G, in which G is the integral operator Gots) = ["(Leonntn) + Mey} dn @ (the meaning of the notation is obvious). To carry out the iterations of (D), we need only impose the admissibility condition that the iterated functions v be continuous; the Gv is also continuous. Let us introduce the integral operator i Holy) = [Leadon dn, To prove the convergence of the iterations of (I), we have to show the existence of a number 6 < 1 such that Hol S 4 lol (for some appropriate definition of norm). Let us first define the absolute value of the vector v by lol lod >| = max |», |. usec. 11] LINEAR DIFFERENTIAL EQUATIONS 35 Clearly |v| is defined for each value of y in —co 0. In this case ratios a,:b, and a,:b, can be determined from (4), and we obtain the general solution of (1) in parametric form x = ¢a,e + coa,e** y = ¢b,e™ + cob,e** c, and c, being arbitrary constants. M ayy= bx Fig. 1. Case 1.1. Nodal point. Arrows indicate increasing t. CASE 1.1. Ady > 0; or ad — By > 0. Since 2, ¥ Ay, we may assume ay < Ay <0. (If A, > 0, 2, > 0, we reduce it to this case by reversing the direction of t.) In this case, all integral curves approach the origin as t— o, The terms in (7) involving 2, predominate and y/x — b,/a, as t > 00. unless c, = 0. Hence all integral curves enter the origin with the same slope b,/a, except two, which enter the origin in two opposite directions with the slope b,/a,. These two directions will be called “exceptional,” while the two directions having the slope b,/a, will be called “main” directions. A singular point of this type is called a nodal point (Figure 1). CASE 1.2. Aydg <0 or a5 — fy <0. We may assume 2, <0, 4, > 0. Two solutions, characterized by c, = 0, enter the origin in opposite directions with the slope b,/a, as t > 00; two other solutions, 440 DISCUSSION OF THE TOPOLOGY OF INTEGRAL CURVES [CH. III characterized by c, = 0, enter the origin with the slope b,/a, when t—> —oo, The other solutions do not enter the origin at all, since when t— oo the terms involving c, dominate, while as t—> —oo, the terms involving c, dominate. Likewise x and y cannot vanish simultaneously for any finite value of t; for, this would imply a,/b, = a,/b,, whereas we have assumed 2, ¥ Ay. The two pairs of directions in which IC may enter or leave the origin will be both called “exceptional” in this case. A singular point of the type described is called a saddle point or “‘col’” (Figure 2). Fig. 2. Case 1.2. Saddle point. Case 2. Two equal real roots 4, = 4, 0. Again we assume 2 < 0; otherwise we could replace t by —t. The relation 2, = 2, implies 6 (« — 6)? + 4By = 0; further 2 = aoe <0. We have now one pair of equations for a, b 2 (« — dja + aBb =0, 2ya + (6 — ob = 0. It has a unique solution a : b unless « = 6, 8 = Case 2.1. Jax — 8] + |B] + [yl #0. This condition obviously excludes the possibility that « = 6, B=y=0. Hence a:b is defined, and we have one solution of the form x=ae", y= be*,SEC. 2] LINEAR DE 41 There is another solution: x=ate"+ ae", y= bte** + bye*; here a, and b, are to be determined from a—6 a, + pb, =a b-«% 2 The left hand sides of the equations are linearly dependent, i.e., there (8) ya t+ —6 exist numbers A, B, not both zero, such that a(s 774 + p,) + Bra, + 2 7 *+,) =0. Moreover, one sees from the equations satisfied by a, b, that da + Bb = 0. Hence the pair of equations (8) has a solution a, b,. Fig. 3. Case 2.1. Nodal point. The general solution of equation (1) in Case 2.1 is given by x = (cya + cya, + cpat)e*, Y= (yb + cgby + cybte™. All solutions enter the origin with the same slope b/a, as t—> oo. Furthermore, as c, passes from positive to negative values, the sense of entering the origin is reversed. A singularity of this type is also called a nodal point (Figure 3). @)42 DISCUSSION OF THE TOPOLOGY OF INTEGRAL CURVES [CH. III Case 2.2.«=6 30, B=y=0. Again A=a=6. We may assume A < 0. The DE then reduces to the simple form Moy, Dory at at and x = ce", y = ce", cy, cp arbitrary, is the general solution. All IC are straight lines entering the origin in all possible directions as t— 0, (Figure 4). The singularity is counted as a nodal point. Fig. 4. Case 2.2. Nodal point. Case 3. The roots are complex conjugate A=utiv, L=p—-2d, (a — 5)? + 4By <0. One solution is given by x=ae", y=be*, a,b, complex. All real solutions are given by x = Re (cae"*), y = Re (che), a, b, ¢ complex. Setting a = ae”, b = be”, c = ce, we obtain as real solutions x = coe cos(vt +@+o), y= cobecos(vt +a+7) (10) Case 3.1. « + 6 = 0. In this case 4 = 0 and the solution X = Cody cos (vt + w + 0), Y = Coby cos (vt + w +7)SEC. 2] LINEAR DE 43 are ellipses which can be reduced by an affine transformation to circles. The singularity is called a “vortex point.” Case 3.2. 2 +5 £0. Here uw #0, say p <0. All solutions enter the origin as t—> oo, They are affinely distorted logarithmic spirals. The type of singularity is known as a “spiral point.” Fig. 5. Case 3.2. Spiral point. Affine Transformations It should be noted that the discussion above can be simplified by subjecting the system (1) to affine transformations. An affine transfor- mation is a point transformation of the form w= pxtqy, y=rmx+sy, (i) with constant coefficients p, q, r, s for which an #0. ros It is easily verified that the inverse of an affine transformation is again such a transformation. Geometrically, affine transformations have the property of preserving straight lines through the origin. Their most important property, for44 DISCUSSION OF THE TOPOLOGY OF INTEGRAL CURVES [CH. II our purposes, is that they transform the system (1) into a system Carey ree Ono erererraes oe + By’, at y'x' + dy’ (12) of the same form, for which the characteristic equation is the same. We say, therefore, that the characteristic equation is invariant under affine transformations (the proof of this fact will be left as an exercise). It follows that those properties of the integral curves of (1) which depend only on the characteristic values are also invariant under affine transfor- mations. Since we are interested in precisely such properties, this fact permits us to study, instead of the integral curves themselves, the possibly simpler affine distortions of these curves. We distinguish three cases, as above. Case 1. Two different real characteristic values. We see immediately that the integral curves (7) are obtained from the family x= cen y' = cet (13) by means of the affine transformation x=ax' tay, y=bx' + hy’. (14) Hence, specializing the transformation (11) to be the inverse of (14), and applying it to (13) we obtain (7). The transformed system is then (12), in which w= Fh, f= 0. The transformed curves (13) enter the origin parallel to the y-axis, except for two which coincide with the x-axis. Case 2. Two equal real characteristic values. In this case, we see that the curves (9) are obtained from the family x! = ce + cyte — y= pe" (15) by means of the affine transformation x=ax'tay, y=bx'+by’. (16) Thus, applying the inverse of (16) to (15) we get (9). The transformed differential equations are then of the form (12), in which w==/, pl=l1, 7'=0.sec. 3] PATH CURVES NEAR A SINGULAR POINT 45 CasE 3. Two complex characteristic values. Tf we rewrite (10) in the form X = ay cos (w + a) * coe" cos vt — ay sin (w + 0) + coe" sin 4 y = by cos (w +7) * coe" cos vt — by sin (w + 7) + coe" sin vt )” ) we see that these integral curves are obtained from the family x’ = cge"cos rt, —-y’ = cge"*sin vt (18) by means of the affine transformation X = dy cos (w + a) x’ — aysin (w + @)- y" y = bcos (w + 7) x’ — by sin(w oak As above, application of the inverse of (19) to (18) yields (10). The transformed system is then (12), in which (is) w= =n, —fl=y'=> The transformed curves (18) are circles about the origin if « = 0, and logarithmic spirals otherwise. 3. Path Curves near a Singular Point: Geometrical Discussion We shall now consider DE’s, which near the origin behave like linear DE’s. Specifically we assume that the DE is of the form d. d. Tmax t By t Assy), Sm yet by + B(x, 9), involving functions A,(x, y) and B,(x, y) which vanish at the point 0 of a higher order than |x| + |y|; ie. we assume 4), IBA Ixl + Iyl Ix + II We shall show that the integral curves of this DE behave near the origin essentially like the integral curves of the corresponding linear DE —>0 as r—>0. dx dy ee , Be oy, a ax + By. a 7 + with two exceptions to be mentioned.46 DISCUSSION OF THE TOPOLOGY OF INTEGRAL CURVES [CH. lI For this purpose we shall introduce polar coordinates r, 0 by x=rcos6, y=rsin 6; but before doing so we simplify the equation in each case by applying an affine transformation. Incase 3, which we consider first, we can achieve that the DE assumes the form dx d Sux wy t Ay Bao tay t+ By with » % 0. In terms of polar coordinates this equation assumes the form ¢ = pr + rP(r, 6), e = + Qr, 6). Here, r*P(r, 6) = xA, + yB, and r*Q(r, 0) = xB, — yA, and hence P(r,6)->0, Q(r,) +0 as r->0, uniformly with respect to all 6. Clearly, there is a number R such that 2100, 9) S| for rsR Consequently, assuming » > 0 without restriction, we have dO —>0 dt at any point of an integral curve for which r S R. It is then clear that such an integral curve, as t increases, spirals around the origin. We can easily show that the integral curve never reaches the origin for a finite value of t, and can be continued for t —> oo unless it leaves the circle r = R. To this end we need only refer to the analogue of Theorem 6, Chapter II for systems of equations. Accordingly, the solution r(t), 6(t) can be continued indefinitely unless either r = R or r = 0 for some value of ft. In order to exclude the second possibility we need only observe that a relation Ger dt holds for r S R, with k = |u| + max |P(r, 6)|. Consequently, assuming rsRSEC. 3] PATH CURVES NEAR A SINGULAR POINT 47 = R for t = 0, we have kt = log, r so that tf > oo when r—> 0. Let us consider the case 3.2 in which 4 ¥ 0. Without restriction we may assume yu < 0. Then we can find a radius R, S R such that PC, | Stlul for rSR. Hence dr -=2 r for rSR. ae lal SR. Therefore, dr/dt < 0 for r S R,, so that the integral curve can never leave the circle r < R,. Consequently, the integral curve can be con- tinued for t> 00, Moreover, assuming r = ry S R, for t = 0, we have log "2 > Syl, rr so that r —> Oas t > oo. In other words, the integral curves spiral around the origin and approach it. In case 3.1, however, in which 4 = 0, we cannot draw such con- clusions. While the integral curves are closed for a linear DE in this case, the same need not be the case for the nonlinear DE now considered. The integral curves may be closed, they may approach the origin, or even there may be any number of closed integral curves enclosing annular rings in which the integral curves are spirals. This case is one of the exceptions referred to above. Exercise. Find a DE which possesses two closed integral curves with spiraling integral curves between them. Next we consider the cases 1 and 2.2 in which by means of an affine transformation the DE can be brought into the form 2 Lax + Ailey), D = ox + Bo, y), dt a 0, 6 £0. (In case 1 we have « ¥ 6, while « = 6 in case 2.2.) In terms of polar coordinates this equation assumes the form dr 7, = cos? 6 + 5 sin® Or + rP(r, 0), 7 = (6 — a) cos 6 sin 0 + Q(r, 6).48 DISCUSSION OF THE TOPOLOGY OF INTEGRAL CURVES [CH. II Here again PP(r,0)=x4,+yB, and Q=xB,—yA, and hence P(r, 6) +0, Q(r,0) +0 asr—0, uniformly with respect to 6. We first exclude the case 1.2 in which « and 6 have opposite sign. Without restriction we then may assume « < 0, 6 < 0. Let a and d be the smaller and the larger of the two numbers —a and —6 respectively. Then we can find a radius R such that \P(, |S 4a for rSR. Hence Sr (a+4)r for rSR. 2 2 From this relation we can conclude that any integral curve passing through a point in the circle r < R for some value of t, say to, can be extended for all values tf > f) and approaches the origin, r > 0, as t>o, The angle 6, however, does not vary in a monotone way as tf —> oo. In the case 2.2, in which « = 6, the angle 6 need not necessarily approach a constant when t > oo and r — 0, as it does for any solution of the corresponding linear DE. This case 2.2 is, therefore, the second exception mentioned. Incase 1.2, in which « # 6, there are two pairs of directions in which the solutions of the corresponding linear DE may enter the origin, the directions 6 = 0 or 6 = 7 and 6 = +7/2. Suppose 0 < —a < —6. Then the directions @ = +7/2 and 6 = —(z/2) are the “exceptional” directions inasmuch as there is only one integral curve of the linear DE which enters the origin in each of these directions. All other integral curves enter the origin in one of the other, “main,” directions 6 = 0 and 6 = 7. We shall prove that also for the nonlinear DE considered all those integral curves enter the origin in a main direction, 9 = 0 or 6 = =, which at some time are sufficiently removed from the exceptional lines 6 = +7/2. More precisely, we shall show: To every e > 0 there is an r(e) such that every integral curve which passes through a point with r S r(e), |0 + (z/2)| > e enters the origin in a main direction.SEC. 3] PATH CURVES NEAR A SINGULAR POINT 49 To this end we observe that to every e > 0 we can find a positive r(e) S R such that 4|O(r, )| S(« — 6)sin2e for rSr(e). Consequently, when r S r(e), esos 7-0 for 2 w—eBORT +e From these relations we conclude: Every integral curve which at some time t = fg passes through a point P, with r S r(e) which lies outside of the sectors S_(e) : 6 — (w/2)| S &, |6 + (7/2)| S 6, r Sr(e), and of the sectors S,(¢) : |6| S «, |@ — z| S e, rSr(e), will eventually enter a sector S,(¢). For this reason we call the sectors S,(e) attractive, the sectors S_(e) repulsive. Clearly, once an integral curve is in an attractive sector, it cannot leave it. It then also lies outside the repulsive sectors for smaller values of ¢ and hence, since r decreases, will eventually enter the attractive sector of any smaller value of «. Thus it is seen that any such integral curve enters the origin in a main direction. We are not able to show by arguments of the kind just used that to each exceptional direction there is just one integral curve entering the origin in it. We shall supply the proof of this fact under some additional restrictions in the next section. In the case 1.2, in which « and 6 have the opposite sign, we can again distinguish between attractive and repulsive sectors S.(¢) within a circle r Sr(e). Every integral curve passing through a point outside of the repulsive sector will either enter an attractive sector or leave the circle. The latter possibility cannot be excluded now. As a matter of fact, as one easily verifies, r increases when an integral curve enters an attractive sector, provided ¢ is small enough. Accordingly, both pairs of directions 6 =0, 8 = wand 6 = +(z/2) are exceptional. The proof given in the next section that to every exceptional direction there belongs just one integral curve will also cover the case 2.2.50 DISCUSSION OF THE TOPOLOGY OF INTEGRAL CURVES [CH. II A few remarks about the case 2.1 will suffice for our purposes. In this case, in which |« — 6| + |f| + ly] #0, one can achieve by an affine transformation that 6 = 0 and y is arbitrarily small, so small in particular that y cos 6 sin 6 < 4 ||. Then one can conclude that if r is sufficiently small, say r < r*, and « < 0, then as f increases indefinitely r approaches 0 and @ approaches 7/2. 4. Existence of the Exceptional Integral Curve through a Singular Point We had seen that in the case 1.1 of a linear equation all but two integral curves enter (or leave) the singular point in one direction, while the two “exceptional” integral curves enter the origin in a different, “exceptional,” direction, In the case 1.2 of a saddle point only two pairs of “exceptional” integral curves enter or leave the singular point at all in two “exceptional” directions. For nonlinear differential equations of the type considered in Section 3, exceptional directions are defined as those of the leading linear part of the equations. We proceed to show that also these nonlinear equations possess integral curves through the singular point. In so doing we assume for convenience, as in Section 3, that 6 = y = 0 has been achieved by an affine transformation. We further may achieve « < 6, « < 0, if necessary by substituting —t for t. Then the equation assumes the form Baar t Ay), Pm ay + BG»). Of the functions A,(x, y), By(x, y) we require more than that r-A,(x, y) and r1B,(x, y) approach zero as r+ 0. We require that there be con- stants py) > 0, u > 0, and w > 0 such that lx] + Ly? Ge, yD S el ey ed + Ly? 1B, »)1 S deed whenever |x| + |y| S 2p. Also we require the existence of a constant 4 > 0 such that a modified Lipschitz condition IA’, y') — Aa", yD S A lal p®llx’ — x"1 + Ly’ — y"ll IByx', y’) — Bx", y") SA lal p*llx’ — x"] + ly’ — yl holds whenever |x’| + |y’| S 2p and |x"| + ly"| S 2p.sec. 4] EXISTENCE OF THE EXCEPTIONAL INTEGRAL CURVE 51 The directions in which integral curves may enter the origin are then those of the x- and the y-axis. Since the solutions of the linear equations dx/dt = ax, dy/dt = dy are x = ce“, y = cye™, and « <6 was assumed, it is clear that in case 1.1, in which 5 < 0, the exceptional direction is given by y = 0, since x/y->0 as t-> oo unless c, = 0. In case 1.2 in which 6 > 0, « < 0, both directions, y = 0 and x = 0, are exceptional. It is sufficient to prove the existence of a solution passing through the origin in the direction of y = 0. For in case x = 0 is the exceptional direction, we may interchange the directions by rotating the coordinate system and substituting —t for t. It is convenient to introduce the new independent variable = et which approaches zero as t-> oo. Further we set k = 6/a. Since —a > —d and —a > 0 we have k 0, y +0, y/x +0 as r—> 0. We shall in fact prove the existence of a solution for which xsl y+0 a 70. We rewrite the equation in the form =7* N(x, y). We shall transform this equation into the integral equation x(r) = 7+ +f Moo), ya) do, ye) =? [N(x Ho) do, and establish a solution of it by iterations.52 DISCUSSION OF THE TOPOLOGY OF INTEGRAL CURVES [CH. III We first must characterize a class of functions {x(r), y(z)} for which the integral operator involved produces again a function of the same class and for which the integral equation is equivalent with the differential equation. The functions {x(r), y(z)} should be defined in an interval 0 < 7 S 7, and be continuous there, and the functions {7~!x(r), ry(z)} should approach {£, 0} as 7 > 0 with an appropriate constant &. We introduce the norm \lx, yl] = max |z-4x(7)| + max |7~y(7)], OStTS%. It is not difficult to verify that the manifold of such functions is complete. From the assumed behavior of A, and B, we then have IM(x(r), v(r))| S pr"? IIx, yl, IN(x(r), ¥@)I Swe? Ix, yl? provided ||x, yl] S 2po75?. Therefore, S wo pr? |x, yh, | firtmcs(o), xo ao | I “aM !N(x(a), y(0)) do| S (@ +1 — Kur Ix, yp? SZ our |x, yl. Consequently, the operation G defined by Gtx), 109} = [r+ +f MEO, Ho) Ado, 0 af o**N(x(o), y(o)) dc} is applicable and, IG{x, y}] S 1+ 20779 IIx, yl. We now assume that 7 is so small that 7) S py and 2o ure + 24° S 1. Then we introduce the class G of functions for which Ix, yl $2.