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    On Bendixson Criterion

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    JOURNAL OF DIFFERENTIAL EQUATIONS 106, 27-39 (1993) On Bendixson’s Criterion* Yt Lt AND James S. MULDOWNEY Department of Mathematics, University of Alberta, Edmonton, Alberta T6G 2G!, Canada Received April 4, 1991; revised November 20, 1991 For autonomous differential equations in criteria are developed which preclude the existence of invariant closed curves such as periodic or homoclinic trajectories. The technique is based on the study of functionals on 2-surfaces. Results generalize to higher dimensions a criterion of Bendixson for the non- existence of nonconstant periodic solutions in the case n= 2. As an example, an application to the Lorenz system in R? is given. © 1993 academic Press, ne 1. INTRODUCTION Suppose the function xH+f(x) is C! with x in an open subset Dy of R” and f(x)eR". We investigate conditions for the nonexistence of non- constant periodic solutions of the differential equation dx F=f (ty More generally, we give criteria for the nonexistence of simple closed curves which are invariant under the dynamics of (1.1). Results given here generalize to higher dimensions the statement of Bendixson [1] that when n=2, (1.1) has no nonconstant periodic solutions if div #0 on R?. A result of Dulac [6] generalizes this to the statement that if n=2 and div(af) #0 on a simply connected open subset D of R?, where x is a continuous real-valued function on D, then there is no closed path of (1.1) which lies entirely in D. Smith [10, 11] seems to be the first to give a generalization of the results of Bendixson and Dulac for equations (1.1) of arbitrary dimension n. For example, Theorem 7 of [11] states that if 1,>2)> --- >4, are the cigen- values of 4((a//éx)* + Gf/ex), where Cf/ex is the Jacobian matrix of f and the asterisk denotes transposition, then all bounded semi-orbits of (1.1) * Research supported by the Natural Sciences and Engineering Research Council of Canada under Grant NSERC A7197. 27 (0022-0396/93 $5.00 Copyright 1993 by Academie Press, In Al sights of reproduction in any form reserved 28 LI AND MULDOWNEY tend to an equilibrium if 4,+2)<0 on 8". In particular, no nonconstant periodic solution can exist under these circumstances. Smith also treats situations where 4, + 4, <0 holds only on subsets D of R”. More generally, Theorem 2 of [11] shows that the Hausdorff dimension of any compact invariant set of (1.1) is less than 2, if 4,+4,<0, and Theorem 5 then implies that no simple closed contour is invariant if (1.1) is dissipative. Thus, for example, a dissipative system satisfying Smith's condition 4, +4 <0 can have no homoclinic orbits. In [9] it was shown that if 2((2f/ax))) <0 or p(—(affex)}) <0, then (1.1) has no nonconstant periodic solutions. Here (éf/2x)") is a ()x (4) matrix, the second additive compound discussed in Section 2 of this paper, and je is a “logarithmic norm” corresponding to a vector norm |-| as defined by Lozinskii [8] and Dahlquist [5] (see Coppel [4, p. 41]). When l= (rtp? W(affax)2)) = 2,42, so that 4((efex)") <0 is Smith's condition in this case; here p(—(éf/éx)"1) <0 means /,,_,+4,>0. As can be seen from Theorem 3.3 and Section 4 of this paper, other choices of norm often lead to expressions u( +(éf/éx)"1) which are easier to calculate or estimate than eigenvalues, The resulting criteria also reduce to that of Bendixson when n= 2. The argument of [9] that the condition 4,+4,<0 implies the non- existence of closed paths is roughly as follows. First, this condition implies that the area of a surface decreases as it evolves under the dynamics of (1.1), By considering, in a certain generalized sense, a surface of “minimum area” whose boundary is C, a closed path (and therefore an invariant set) of (1.1), we find that its boundary continues to be C and that its area decreases as it evolves over a short time interval. The minimality of the original surface area is thus contradicted so that no such closed path can exist. The condition 4,.;+4,>0 similarly implies that surface areas increase in the system (1.1) and the same conclusion may be deduced from a time reversal. The result for general Lozinskii norms y of [9] is obtained in the same way by considering different measures of surface area in this argument. In the present paper, we consider more general functionals than areas for surfaces with a fixed boundary C. By examining the behaviour of these functionals under the dynamics of (1.1), we arrive at new criteria for the nonexistence of invariant closed curves. Even in the case n=2 our approach yields a slightly more flexible formulation of the results of Bendixson and Dulac than the traditional ones. The present paper was mainly motivated by the work of Smith [11]. It has however some contact with other papers. The results given here may be extended in the spirit of Theorem 1 of Lloyd [7] which is a result of the Dulac type and gives a bound on the number of closed paths based on the connectivity of a region where Dulac’s condition holds. The other results of ON BENDIXSON’S CRITERION 29 [7] develop a different technique for obtaining estimates on the number of limit cycles in a planar system. Busenberg and van den Driessche [2] give conditions which preclude the possibility of certain oriented loops occurring in the dynamics of (1.1) and are not confined to finite dimensional spaces. In [3] Butler, Schmid, and Waltman investigate a generalized divergence condition for n-dimensional systems and derive a condition like Dulac’s which guarantees that invariant sets in certain population models have Lebesgue measure zero. This is somewhat related to work on the Hausdorff dimension of invariant sets; see Smith [11] and Temam [13]. 2. EVOLUTION OF SURFACE FUNCTIONALS, For an nxa matrix 4=[a,], the second additive compound A") is the (2)x(%) matrix defined as follows. For any integer i=1,...,(%), let (i) = (iy, i) be the ith member in the lexicographic ordering of integer pairs (/,, i.) such that 1 D) will be described as a simply connected rectifiable 2-surface in D; a function We Lip(U = D) is a closed rectifiable curve in D and will be called simple if it is one-to-one. Moreover, if y is the restriction to AU of a function o: O > D, we denote this by f= @e@. If D is an open, simply connected set, then LW, D)= {oe Lip(O > D), p(8U) = W(2U)} is nonempty for each simple closed rectifiable curve y in D. To see this, let (r, 8) be polar coordinates in R?. Since y(2U) is homotopic to a point in D there is a continuous function (r, 0)» G(r, 0)€ D with @(r, 0) = G(r, 2m) and §(1,0)=W(1, 0), O R") such that y=éy. Moreover, since D is open, g()< D by continuity if the triangular partition is fine enough so that pe Zp, D). If Do is the domain of f in (1.1), we consider functionals ¥ on the surfaces Lip( > Dy) of the form é holed a Ol) 0 5 Pu) ds, (2.3) where w=(u,,4,) and (x,y)+> S(x,y) is a real-valued function with x€ Do, yeR", N=(%), We require also that S be locally lipschitzian on its domain and that lim, .o, (L/A)LS(x + ha, y+ hb) ~ S(x, y)] exists for all ON BENDIXSON’S CRITERION 31 (x, p)€ Dx R® and all (a,b) R" x R. The integral in (2.3) exists since the partial derivatives of g exist almost everywhere in U and are bounded by the lipschitz constant of g. We define S' by Ste y= lim F [Ste + Afla), y+ M EEE (x) 9) Sls). 24) Thus $= (8S/ex)* f+ (AS/ay)* (Offex)) y almost everywhere, since S is lipschitzian and therefore differentiable almost everywhere. When n=2, S=(OS/ex)* f+ (OS/ey div f) y. PRoposITION 2.1 Suppose @y€Lip(D+R") and (u)=x(t, go(u))- Then 9, € Lip(U > R"), the right-hand derivative D,* So, exists and [od é Di £o,.= EPA T= Or FY, [See ra as long as eu) exists for each ue 0. Proof. For each uel, yu) is a solution of (1.1). Therefore 2,(t)= (6/6u,) p (u) = (Ex/Xo Mt, Pou) 6/6u;) po(u) satisfies dz,/dt=(Af/ex) (pAu))z,, 1= 1,2, and y(t) = (6/6u,) pAu) A (G/U) @{u) satisfies dy/dt = (éf/ex)7) (p,(u)) y. It follows that 1 é é 6 é sin GL (orem gi 004 ee Pren) S035 On) | exists and equals S(@,, (d/éu;) , 4 (2/du;)@,). From this and the Lebesgue Dominated Convergence Theorem we deduce Proposition 2.1. f The surface area, counting multiplicities, of (0) is %o,= Jo l(e/euy) @, A (6/éup) g,|. Here S(x, y)=|yl=(y*y)'? is the P norm of ye", For this functional ; 1 (at, fvm Rr eee , S04 = SHY ZY (f+ ) y and therefore (hy A) +2) SUX, 9) < SCX 9) S (Ai(x) + A200) Sx), (2.5) where 2,>4,>--- 4, are the eigenvalues of 4((af/ax)* + é/éx), since the eigenvalues of H((af/éx)* + éf/0x)) are 4, +4, 10 (4; +42 <0). If xr H(x) is a C! real symmetric (3) (3) matrix-valued function and Six, y) = y*H(x) y, then S(x,y) = y*(H y+ (Off8x)P* H+ H(Gfiox)?)) y, (2.6) where H, is the matrix obtained by replacing each entry h, of H by (hiy),= (Ghy/Ox)* f, its directional derivative in the direction f. In this case Fg, increases (decreases) if p,(C) lies in a set where H,+ (6f/ex)C™ H+ H(6ffex)®! is positive (negative) definite. A general class of functionals / in which we are interested is given by S(x,y) =]A(x) y|, where |-| is any norm on RS, N= (4), and x++ A(x) is a C' nonsingular real N'x N matrix-valued function. In this case, it follows from (2.4) that =H —B)S0, where y(@)= w(cos 8, sin @), since W is one-to-one. Choose the continuous function b from 2U to R" such that if (0) = (boW)(6), J285%p" is sufficiently close to 3 ly'l? to ensure [7"6*y'>0. Then the function b may be extended | to R” and / may be approximated on R” by a C’ function a such that 29(@U)=aW(2U) is sufficiently close to [2*b*y' to ensure ag(GU) > 0, where x is the 1-form defined by «=, a(x) dx,. But Stokes’ Theorem implies ap(6U) = da oO) nee = 2*(u) vw) die, Jo where y(u) = (6/6u,) p(u) A (2/du,) plu), 2,(u) = (8a, /0x,,)(x) — (0a, /0x,)0 x= (u), (1) = (iy, fg) = 1, oy N= (3). Since ais C! on R" and g(u)e K, there is a constant M independent of g such that |z(u)| 1, a>0, 620, and a+ >0 such that Six, y)< —(a+b iyi?) (29) if xe Dand yeR*. It follows from Propositions 2.1, 2.2 that D; £o,< —(an+ bd) (2.10) if p,€ 2(p, D) and D is a set where (2.9) holds. 34 LI AND MULDOWNEY 3. BENDIXSON’S CRITERION A subset D of Dg is invariant with respect to (1.1) if x(t, D)=D for all te (—0o, 2). A simple closed rectifiable curve in Dg is invariant with respect to (1.1) if ¥(@U) is invariant with respect to (1.1). CriTeRION 3.1. Suppose that y is a simple closed rectifiable curve in Dy which is invariant with respect to (1.1), Then there cannot exist a functional Y of the form (2.3) such that (a) and (b) are satisfied: (a) —x2 0. CRITERION 3.2. Suppose that / is a simple closed rectifiable curve in Do which is invariant with respect to (1.1). Then there cannot exist a functional % such that (a) and (b) are satisfied: (a) —x2 0. To establish these criteria, observe that the invariance of w implies 9,€5(Y, Do) if @o€E(W,Do) as long as ou) exists for each ueU. From Proposition 2.1 and (2.10) the conditions of Criterion 3.1 imply %o'o, Proof. This result may be deduced from either of the preceding criteria. However, since solutions of (1.1) do not necessarily exist globally, the techni- calities in using Criterion 3.1 are fewer. If y eR” and |y| =sup, y,], ©, ly), or (y*y)!2, then the Lozinskii measure ((d//éx)1) discussed in Section 2 is the expression in (i), (ii), or (iii) and — ye( — (€f/2x)!73) is the expression in (iv), (v), or (vi), respectively. It follows from (2.7) with A=/ that if S(x,y) =|y|, F is strongly decreasing with respect to (1.1) on any compact subset of R” if the corresponding condition (i), (ii), or (iii) holds and that . is strongly decreas- ing on compacta with respect to (1.1) with reversed time if (iv), (v), or (vi) holds. Since #¢ > 0 for every ¢ it remains only to show that if y is a simple closed curve, there is a sequence in 2(, D) which minimizes ¥ over Z(w, R”), where D = {x: |x,| 0O when —p(—B)>0. We will say that Dy has the minimum property with respect to S if, for each simple closed rectifiable curve y in Do. there is a minimizing sequence g* eZ(p, Do) for ¥ such that J, *(G) has compact closure in Do. It follows that if Dy has this property and x(B) <0, then o*(u) exists for each we U and k=1,2,.., 0<10, and that the conditions (a) and (b) of Criterion 3.1 are satisfied for each simple closed rectifiable curve y in Dy. Thus we have the following theorem. 36 Ll AND MULDOWNEY THEOREM 3.4. Suppose that (a) Dy has the minimum property with respect to S(x.) (b) wl AyA! + A(Offex)?) A!) <0 on Do. =lA(x) 9]. Then no simple closed rectifiable curve in Do és invariant with respect to (1.1). The condition (b) may be replaced by (— 4,4 ~! — Alaffex)714-')<0 by using a time reversal argument. With 4=/ and D,=8", we obtain Theorem 3.3 if |-| is any of the three norms mentioned in the proof of that theorem. In fact the proof is simply a demonstration that R” has the minimum property with respect to S(x,y) = |p]. The same argument applies equally well to any absolute norm, where |-( is said to be absolute if |y| is unchanged by replacing the com- ponents y; of » by [y/- CoroLary 3.5. Suppose that one of (A) <0 (A) 0, a subset D, of Dg is said to be absor- bing with respect to (1.1) if cach bounded subset D of D, satisfies x(t, D)< D, for all sufficiently large 1. It follows from Criterion 3.2 that if satisfies (a) and (1.1) has an absorbing set D, on which ¥ is strongly decreasing, then no simple closed curve yv in Dy for which E(w, Do) is non- empty can be invariant with respect to (1.1). This gives the following result. THEOREM 3.6. Suppose that (a) Da is simply connected. (b) A, A! + A(6ffoxJP1 A) 0 and the constant sequence y=, k=1,2,... is minimizing for ¥. Also YS is strongly decreasing on D if (d2/éx)* f+ « div f<0. This is Dulac’s condition. Criteria 3.1 and 3.2 now both imply Dulac’s criterion. Here it was not necessary to assume a(x) was of one sign. In contrast, the higher dimensional analogue needed to consider S(x, y)=|A(x) | where A(x) is nonsingular. This condition may be relaxed somewhat if a more general definition of “strongly decreasing” is given, replacing the constants a, b of (2.9) by func- tions a(:x), b(x) in which case one also needs an extension of Proposition 2.2 to a functional .«/ = determined by (2.3) with S(x, y)= d(x) yl”. 4. AN EXAMPLE We consider the Lorenz model for fluid convection in a two dimensional layer heated from below and establish a region which contains no invariant closed curves and, in particular, no periodic trajectories. The system is (see [13, Sect. 2.3) = 0x, + 0X2, ae: (4.1) X4= —bxy4+X1%2, XS=rxy—Xp where g, r, are three positive numbers. This dissipative system has been the object of intensive numerical investigation which indicates that it has a strange attractor for a large range of values of the parameters and that it has many periodic orbits (see [12, p. 21]). Any set not containing periodic trajectories could therefore not com- pletely contain the attractor. In this case the Jacobian matrix &f/@x of the right-hand side of (4.1) and its second additive compound (éf/ax)! are ae 0 0 : anv ae sh (3 a | Prey) 38 LI AND MULDOWNEY If we choose S(x,y n((effex)?}) < sup{ if vi, where |y| =sup{./? +3, ls}, we find that sh, —b— 1+ |x9) + [xy —r]} so that ((6f/2x)71) <0 |xalt+ix3—ric if we Upc 6. Now consider the surface ¢ € Z(, D) obtained by modifying ¢ so that this portion is reflected in 7: Br Gs) | aca) \. (43) Pluy=olu), fue V\Uy c~@.{u), fue Uo. G(w= Glu), — Glu)=etr—ou), — Glu) Then Ge S(W, D), G(C) does not cross M7 and, from (4.3), 4o=F¢. A similar argument may be applied to planes +x, +(x;—r)=c and x, =k to deduce that if y is a simple closed rectifiable curve in Do, then there is a compact box in Dy which contains the curve and a minimizing sequence for ¥ in E(W, Do). We conclude from Theorem 3.4 that the Lorenz system (4.1) has no invariant rectifiable closed curve in the cylinder defined by (4.2). This statement may be improved by a more judicious choice of S. Let iag(1, 1.) and « is a positive constant; in fact y a |y3|}, another norm, Now p(A(éffax)@) 4-1) < sup{—1+(l/a—1)o, —b+(I/a—1)a, —b—1+a(lx2]+[x3—rt)}. By optimizing the choice of the constant a we find p(A(af/ex)2) A>!) <0 if ott a4}, (44) inal +r

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