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DIFFERENTIAL
EQUATIONS
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(cnnrinued after index)
PoFang Hsieh Yasutaka Sibuya
Basic Theory of Ordinary Differential Equations
With 114 Illustrations
Springer
PoFang Hsieh Department of Mathematics and Statistics Western Michigan University Kalamazoo, MI 49008
USA
philip.hsieh@wmich.edu
Yasutaka Sibuya School of Mathematics University of Minnesota 206 Church Street SE Minneapolis, MN 55455 USA sibuya 0 math. umn.edu
Editorial Board (North America):
S. Axler Mathematics Department San Francisco State University San Francisco, CA 94132
F.W. Gehring
K.A. Ribet
Mathematics Department East Hall University of Michigan
Ann Arbor. Ml 481091109
Department of
Mathematics
University of California at Berkeley Berkeley, CA 947203840
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USA
Mathematics Subject Classification (1991): 3401
USA
Library of Congress CataloginginPublication Data Hsieh, PoFang.
Basic theory of ordinary differential equations I PoFang Hsieh, Yasutaka Sibuya. cm.  (Unrversitext) p.
Includes bibliographical references and index. ISBN 0387986995 (alk. paper) 1. Differential equations. I. Sibuya. Yasutaka. 1930II. Title. III. Series OA372_H84 1999
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To Emmy and Yasuko
PREFACE
This graduate level textbook is developed from courses in ordinary differential
equations taught by the authors in several universities in the past 40 years or so. Prerequisite of this book is a knowledge of elementary linear algebra, real
multivariable calculus, and elementary manipulation with power series in several complex variables. It is hoped that this book would provide the reader with the very basic knowledge necessary to begin research on ordinary differential equations. To this purpose, materials are selected so that this book would provide the reader with methods and results which are applicable to many problems in various fields. In order to accomplish this purpose, the book Theory of Differential Equations by E. A. Coddington and Norman Levinson is used as a role model. Also, the teaching of Masuo Hukuhara and Mitio Nagumo can be found either explicitly or in spirit in many chapters. This book is useful for both pure mathematician and user of mathematics. This book may be divided into four parts. The first part consists of Chapters I, II, and III and covers fundamental existence, uniqueness, smoothness with respect to data, and nonuniqueness. The second part consists of Chapters IV, VI, and VII and covers the basic results concerning linear differential equations. The third part consists of Chapters VIII, IX, and X and covers nonlinear differential equations. Finally, Chapters V, XI, XII, and XIII cover the basic results concerning power series solutions. The particular contents of each chapter are as follows. The fundamental existence and uniqueness theorems and smoothness in data of an initial problem are explained in Chapters I and II, whereas the results concerning nonuniqueness are explained in Chapter III. Topics in Chapter III include the Kneser theorem and maximal and minimal solutions. Also, utilizing comparison theorems, some sufficient conditions for uniqueness are studied. In Chapter IV, the basic theorems concerning linear differential equations are explained. In particular, systems with constant or periodic coefficients are treated in detail. In this study, the SN decomposition of a matrix is used instead of the Jordan canonical form. The SN decomposition is equivalent to the blockdiagonalization separating distinct eigenvalues. Computation of the SN decomposition is easier than that of the Jordan canonical form. A detailed explanation of linear Hamiltonian systems with constant or periodic coefficients is also given. In Chapter V, formal power series solutions and their convergence are explained. The main topic is singularities of the first kind. The convergence of formal power series solutions is proven for nonlinear systems. Also, the transformation of a linear system to a standard form at a sin
gular point of the first kind is explained as the SN decomposition of a linear differential operator. The main idea is originally due to R. Gerard and A. H. M. Levelt. The GerardLevelt theorem is presented as the SN decomposition of a matrix of infinite order. At the end of Chapter V, the classification of the singuvii
viii
PREFACE
larities of linear differential equations is given. In Chapter VI, the main topics are the basic results concerning boundaryvalue problems of the secondorder linear differential equations. The comparison theorems, oscillation and nonoscillation of solutions, eigenvalue problems for the SturmLiouville boundary conditions, scattering problems (in the case of reflectionless potentials), and periodic potentials are studied. The authors learned much about the scattering problems from the book by S. Tanaka and E. Date [TD]. In Chapter VII, asymptotic behaviors of solutions of linear systems as the independent variable approaches infinity are treated. Topics include the Liapounoff numbers and the Levinson theorem together with its various improvements. In Chapter VIII, some fundamental theorems concerning stability, asymptotic stability, and perturbations of 2 x 2 linear systems are explained, whereas in Chapter IX, results on autonomous systems which include the LaSalleLefschetz theorem concerning behavior of solutions (or orbits) as the independent variable tends to infinity, the basic properties of limitinvariant sets including the Poincar6Bendixson theorem, and applications of indices of simple closed curves are studied. Those theorems are applied to some nonlinear oscillation problems in Chapter X. In particular, the van der Pot equation is treated as both a problem of regular perturbations and a problem of singular perturbations. In Chapters XII and XIII, asymptotic solutions of nonlinear differential equations as a parameter or the independent variable tends to its singularity are explained. In these chapters, the asymptotic expansions in the sense of Poincare are used most of time. However, asymptotic solutions in the sense of the Gevrey asymptotics are explained briefly. The basic properties of asymptotic expansions in the sense of Poincare as well as of the Gevrey asymptotics are explained in Chapter XI. At the beginning of each chapter, the contents and their history are discussed briefly. Also, at the end of each chapter, many problems are given as exercises. The purposes of the exercises are (i) to help the reader to understand the materials in each chapter, (ii) to encourage the reader to read research papers, and (iii) to help the reader to develop his (or her) ability to do research. Hints and comments for many exercises are provided. The authors are indebted to many colleagues and former students for their valuable suggestions, corrections, and assistance at the various stages of writing this book. In particular, the authors express their sincere gratitude to Mrs. Susan Coddington and Mrs. Zipporah Levinson for allowing the authors to use the materials in the book Theory of Differential Equations by E. A. Coddington and Norman
Levinson.
Finally, the authors could not have carried out their work all these years without the support of their wives and children. Their contribution is immeasurable. We thank them wholeheartedly. PFH
YS
March, 1999
Some basic results concerning matrices IV2. Higherorder scalar equations Exercises IV 45 49 52 58 61 66 69 69 78 81 87 90 96 98 102 108 109 113 118 120 121 Chapter V. Systems with periodic coefficients IV5. Existence without the Lipschitz condition 13. Nonuniqueness III1.CONTENTS Preface vii 1 Chapter I. A normal form of a differential operator V6. Examples 1112. Sufficient conditions for uniqueness Exercises III Chapter IV. Formal solutions of an algebraic differential equation V2. Nonhomogeneous equations IV7. General Theory of Linear Systems IV1. Singularities of the First Kind V1. Existence and uniqueness with the Lipschitz condition 12. Solution curves on the boundary of R(A) 1114. Some global properties of solutions 14. Dependence on Data II1. Calculation of the normal form of a differential operator V7. The SN decomposition of a differential operator V5. Classification of singularities of homogeneous linear systems Exercises V ix 130 132 137 . Maximal and minimal solutions 1115. A comparison theorem 1116. Homogeneous systems of linear differential equations IV3. Homogeneous systems with constant coefficients IV4. Continuity with respect to initial data and parameters 112. The Kneser theorem 1113. Fundamental Theorems of Ordinary Differential Equations I1. Analytic differential equations Exercises I 1 8 15 20 23 28 28 32 35 41 41 Chapter II. Convergence of formal solutions of a system of the first kind V3. The SN decomposition of a matrix of infinite order V4. Linear Hamiltonian systems with periodic coefficients IV6. Differentiability Exercises II Chapter III.
3.1.8. Orbital stability IX4. Zeros of solutions VI. Periodic potentials Exercises VI Chapter VII.4. Analytic structure of stable manifolds VIII. Jost solutions VI.6. Limitinvariant sets IX2.1. Perturbations of an improper node and a saddle point VIII. Scattering data VI. Construction of a potential for given data VI.8.4. Liapounoff's type numbers VII2. Autonomous Systems IX1.5. BoundaryValue Problems of Linear Differential Equations of the SecondOrder VI. Basic definitions VIII.9. Differential equations satisfied by reflectionless potentials VI10. An application of the Floquet theorem Exercises VII Chapter VIII. Systems with asymptotically constant coefficients VII6.5.7. Stable manifolds VIII. A diagonalization theorem VII5.3.6. A sufficient condition for asymptotic stability VIII. SturmLiouville problems VI. Reflectionless potentials VI. Perturbation of a spiral point VIII10. Perturbation of a center Exercises VIII Chapter IX. Indices of Jordan curves Exercises IX .2. Liapounoff's direct method IX3. Perturbations of a proper node VIII. Eigenfunction expansions VI. Twodimensional linear systems with constant coefficients VIII.9.2. Analytic systems in R2 VIII. Asymptotic Behavior of Solutions of Linear Systems VII1. Eigenvalue problems VI. The Poincar6Bendixson theorem IX5. Calculation of Liapounoff's type numbers of solutions VII4. Liapounoff's type numbers of a homogeneous linear system VII3.x CONTENTS Chapter VI.7. Stability VIII.
A blockdiagonalization theorem XII5. A theorem due to M. Basic properties of Gevrey asymptotic expansions XI5. Nagumo X8. The van der Pol equation for a small e > 0 X6. Multipliers of the periodic orbit of the van der Pol equation X5. Asymptotic Expansions XI1. Proof of Theorem XIII12 XIII4. Gevrey asymptotic solutions in a parameter XII6. Applications of the Liapounoff functions X3. Basic estimates XIII3. Asymptotic expansions in the sense of Poincare XI2. Existence and uniqueness of periodic orbits xi t2 + h(x) dt + g(x) = 0 304 305 309 313 318 X4. Gevrey property of asymptotic solutions at an irregular singular point Exercises XIII References Index 403 403 406 417 420 424 428 436 441 443 453 462 . A singular perturbation problem Exercises X 319 322 327 330 334 Chapter XI. The van der Pol equation for a large parameter X7. Deligne) XIII6. An existence theorem XII2. Flat functions in the Gevrey asymptotics XI4. Twopoint boundaryvalue problems X2. Analytic simplification in a parameter Exercises XII 372 374 378 380 385 390 395 Chapter XIII. Proof of Lemma XI26 Exercises XI 342 342 353 357 360 363 365 372 Chapter XII.CONTENTS Chapter X. Gevrey asymptotics XI3. Asymptotic Expansions in a Parameter XII1. Proof of Theorem XII12 XII4. Singularities of the Second Kind XIII1. The SecondOrder Differential Equation d X1. Basic estimates XII3. A blockdiagonalization theorem XIII5. Cyclic vectors (A lemma of P. The HukuharaT rrittin theorem XIII7. An nthorder linear differential equation at a singular point of the second kind XIII8. An existence theorem XIII2.
.
In this case. we treat the problem without the Lipschitz condition. y).. yn In §§I1. The main tools are successive approximations and Gronwall's inequality (Lemma In §12. y). y) satisfies the Lipschitz condition in W. Assumption 1. Lind2J. Picard [Pi1 and E. and 13 we consider problem (P) under the following assumption. remarks concerning other methods of proving these fundamental theorems are given at the end of §12. y) by smooth functions. Existence and uniqueness with the Lipschitz condition We shall use the following notations throughout this book: Y1. y= y2 f2 fn !y = max{jy. Peano [Peal] and the existence and uniqueness Theorem 114 is due to E. ItYn11. where t is a real independent variable and y is an unknown quantity in Rn. using successive approximations. examples and remarks are given for the benefit of the reader. y) are realvalued and continuous on a rectangular region: R = R((to. The entries of f (t. assuming some basic requirement. In §I4. In §I1.6).tot <a. The extension of these local solutions to a larger interval is explained in §13. Here. L. . we explain the power series expansion of a solution in the case when f (t. y) are realvalued and continuous in the variable (t. f. for such an extension.b) = {(t.j 1Y21. fapproximate solutions are constructed. R is the real line and R" is the set of all ncolumn vectors with real entries..yl: It . The existence Theorem 125 is due to A. we explain the fundamental problems of the existence and uniqueness of the initialvalue problem (P) dy dt = y(to) _ 4o in the case when the entries of f (t. Cauchy and G. approximating f (t. we use Arzeli Ascoli's lemma concerning a bounded and equicontinuous set of functions (Lemma 123).CHAPTER I FUNDAMENTAL THEOREMS OF ORDINARY DIFFERENTIAL EQUATIONS In this chapter. I1. Lindelof [Lindl. In particular. ly where a and b are two positive numbers. I e< b}. y) is analytic in (t. we treat the problem when f (t. 12.a. In order to find a convergent sequence of approximate solutions. lit each section..
a. Proof Assume that Lemma 111 is not true. i. yul is bounded. If ff = ¢(t) is a solution of problem (P) in an interval it . From 4'(t) = f (t.4) 1 (t)ZbI<MQ<Ma<Ma<MM=b for It . yam) is continuous on R.tot < p. Therefore.tol < a < a. y) I on R. 1¢(t) . I4(to+0) QoI =b or 10(tofl)qol The assumption a < a < a implies (3 < a.tol <a.tol < a < a. In particular. It . 0) .co). (t))I 5 M for it . ¢(t)) and 4(to) = 4o.(t2)I < Mlt1 . M l if M > 0.e. i(s))ds < MIt . Lemma I11. Lemma 112. y) I. we obtain the following result. Then.j(t)) E R for It . FUNDAMENTAL THEOREMS OF ODES Since f (t.tot < P.2) fi(t) = co + / t f(s. 0(s))ds io for It tot < fi. i.cot < b. M = mac I f (t.tol < a. .4)1 = I1 f(s.5(t)) E R((to.to! < 0.t2l whenever t1 and t2 are in the interval it .tol r for It .41 < b for It .41 < b in It .tol<f. the number or plays an important role as shown in the following lemma. (t.1. Hence. it follows that (1. by the continuity of fi(t). then I¢(t. a min Ca. Similarly. I f (t. then I'(t) .tol <'6. We define a positive number a by a if M = 0.tot < a. (t. I f (t.. Let us denote by M the maximum value of I f (t.b) for. If y' = 4(t) is a solution of problem (P) in an interval it .. To locate a solution in a neighborhood of its initial point. there exists a positive number $ such that (i) (ii) < a.) . Hence. This implies that (1. This contradicts assumption (ii).e.2 I.1. I4(t) .
5). (1.to)] exp[L(t . implies that Lv(t) < K{exp[L(t . 0 We shall prove this theorem in six steps by using successive approximations which are defined as follows: Wi(t) _ 4o.2.to I < it < a. Proof of Theorem 114.1.ar + 0) exist. Assumption 2. 91) . the following lemma is useful.7) Jio g(s)ds. [Lip]). Using Lemma 112.Ok(s))ds. The function f satisfies a Lipschitz condition on R: i. then (I.to)]v(t) < {1 . in turn. EXISTENCE AND UNIQUENESS WITH THE LIPSCHITZ CONDITION 3 Remark 113. L This. ddtt) < K+Lv(t) and v(to) = 0. by (1. . Lemma 115 (T. consequently.. them exists a positive constant L /such that If(t.1121 whenever (t. W2)1:5 LIlh . :o k=0.0) and (to . and.5) 0 < g(t) < K + L to g(s)ds on to < t < ti. Therefore.1.e. {exp[L(t . Note that L is dependent on the region R.to)]).exp(L(t .1.to)) onto<t< ti. If (i) g(t) is continuous on to < t < ti. The constant L is called the Lipschitz constant of f with respect to R.1. The following theorem is the main conclusion of this section.f (t. consider problem (P) with Assumption 1 and the following assumption.to)]v(t)} < Kexp[L(t . (ii) g(t) satisfies the inequality (1. Hence. it is concluded that if y = j(t) is a solution of problem (P) on an interval It ..1. Then. Now.1.to] < a.to)] .yi) and (t. Set v(t) = (1.. g(t) < K + Lv(t) < K exp[L(t . Gronwall [Cr]). Proof.1).to)].6) 0 < g(t) < Kexp[L(t . them exists a unique solution of problem (P) on the interval It . Under Assumptions I and 2. y2) are on the region R (cf.1. Theorem 114. then (to + & . H.9) t $k+1(t) = Cq + f (s.. In order to prove this theorem.
we have 1m1(t) . We use mathematical induction in Steps 1 and 2.tolk+1. Then..Ok(t))I < M on it . Proof.45k(t)) E R for It . for a given c > 0. The series E (&(t) . Proof..tol < a. For k = 0.1. Assume that (t.tol < a.toIk+1 Proof. Then.). 1 Thus. The statement above is evident for k = 0.0k+1(t)) E R for It . . `f (s. +oo Step 3.2.Qk(t)l =J <L I o . I f (t. FUNDAMENTAL THEOREMS OF ODES Step 1. Each function 0k is well defined and (t.tol < a. there exists a positive integer N such that / E I&(t) .2..tol. k(s)) r 14k+I (t) .. MLk for It .0kI(t)I < k=N °° M °o (LIt .1.tolk for it .tol < Ma < MM = b.tol<a. Assume that I co I I&(t)(t)I < ML k11 It .mk(t)I < (k 1)1It . Step 2. The successive approximations given by (1.co)ds` < MIt .1.toI < a.tol < a (k = 0.y5o(t)I = J r f(s. t IOk+I(t) Q = 4 f (s.4k1(t)) is uniformly convergent on the interval It . k =0.f (s k1(s))} ds J to AkL I r It .tol)k L k=N k1 M °O (La)k <L k=N k! < .. Ok(t)) E R on It . k=1 By virtue of the result of Step 2.toIkdsl = t k (ML1)r It .4 I. (t. Qsk(s))dsl < MIt .9) satisfy the estimates Ilk+1(t) .tol < a.. Hence.
i (s)Idsl on it . The sequence {k(t) : k = 0.1. a Step 6. Hence. 0 The following lemma gives a sufficient condition that f (t. ('1k(s))ds.k1(t)) uniformly on it .iG(S))} dsl <..10) is a solution of problem (P) on It . 1. EXISTENCE AND UNIQUENESS WITH THE LIPSCHITZ CONDITION 5 Step 4.. I(&(t) k=1 .f(s. Use the identity ¢N (t) = do (t) + E ($k (t) ..& < t < to.tol < a as k + +oo. y") satisfies Assumption 2 (i. by applying Lemma 115 with K = 0 to the inequality L f Id(s) . Proof.lL(t)I = f' {f(s. } converges to do(t) + F. the Lipschitz condition). Note that fi(t) on It .L I fo Id(s) . fi(t) is the unique solution of problem (P) on It . the same conclusion is obtained on the interval to .tol < a.toI < a.$k_1(t)) and the result of Step 3. Suppose that y"= fi(t) is another solution of problem (P) on an interval it toI < & < a for some &..e. the continuity of f and the results of Steps 3 and 4 imply that fi(t) = 6o + f f(s. Similarly. Steps 1 through 6 complete the proof of Theorem 114. 2.tol < &. + f (s. .+L(s)Ids o on to < t < to+&.tol < a. Proof. i1(s))ds At) .(s)) .tol :5&. ti(t)) E R on It .. we conclude that I¢(t) tG(t)I = 0 on the interval to < t < to+&. Proof. The definition &+1(t) = e + rt Jca AS. k=1 Step 5. Lemma I11 and Remark 113 imply that (t.1. fi(t) given by (I. (s))ds. Now.
If Of (t' y) (j = 1. By. the initialvalue problem dy dt  1 5)2)' y(1) .. ly51 < b} and find the maximum value M of if (t.2. 2.1)2)(9 .. Yh.n are entries of yh (h = 1.. and satisfy the 8yj condition: I of (t.O)y2). use the fact that the function f . are continuous. If(t. M). show that on the interval It . . and if V is a convex open set. Then.y2)1 =II @(O)dO <nLoliiu21This is true for all t E Z. .6 I.(y  has one and only one solution. y) E I x D. . The following two simple problems illustrate Theorem 114.. 44 do n 9(1) = f(t. Thus. 2.O)y"2 E D for O < 6 < 1 since D is convex. where yh.. we derive 9(O) = At. Using Theorem 114.Yi) . n) for (t. Proof. D is a region. gi E D. and y2 E D. the main idea is to trap the solution curve in a suitable region R. and yl and #2 in V.1)2)(9 . Then.y2)1 < Iy' 5 Y21 .B)y'2). Answer. y.2).f(t. Problem 1.y): It11 < a. y j 1 < Lo (j = 1. where I is an interval. FUNDAMENTAL THEOREMS OF ODES Lemma I16. The standard strategy is to find a suitable region R = {(t.(t . 09.If a > f.1. the lemma is proved.5)2) is continuous and satisfies the Lipschitz condition If(t.f(t. + (1 . To do this. + (1 .(y .y"2I for t E z. 8y"1 + (1 . the problem is solved. Fix t E 1. .. y) I in R.y (3 . yl E D. then I f(t.11 < V"2. Setting g(9) = f (t.5 (3 .91)f(t. . Hence.(t . n) exist.91) _ 1: (yia 1=1 y2 j)' (t. y2)1 < nLollit . 92). and y2 E D. Yh. and Lo is a constant. a = min (a. . In other words. for example.) .
For example.31 < b}.3)2)' has one and only one solution on the interval oo < t < +oc. 2 min(v . since the initial data (to. Cl represent n arbitrary constants for a fixed to.10) = f. and M = 1 5 . everywhere. ) =min f. if the differential equation (E) tae = 1 . the given initialvalue problem has one and only one solution on the interval It . It is usually claimed that the general solution of the system dt = f (t. Problem (P) has one and only one solution on the interval it . y) depends on n independent arbitrary constants. It is important for the reader to know that the number of independent arbitrary constants contained in the general solution depends strongly on the space of functions to which the general solution should belong. Answer. Using Theorem I14.41 < a. 5b). ly . Now. this solution is independent of a due to the uniqueness. Remark 117. y)I < is considered in a region R = {(t. Hence. if a < 5b.y)I < 1 (3_(/)2)(9_22) = 1 5 Set a = V25. If (t. Theorem 114 verifies this claim if we define the general solution very carefully. Therefore. However.1.41 < a. Problem 2. If(t. This implies that a = min(a. Iy51 < 2} (cf.4)2)(5 + (y . he will find various complicated situations.3)2) is continuous and satisfies the Lipschitz condition everywhere in the (t. a = min ( a. Furthermore.4)2)(5 + (y . The function 1 . show that the initialvalue problem (P) dy dt = 1 y() = 3 4 (1 + (t . Then.11 < f. Exercise I2). EXISTENCE AND UNIQUENESS WITH THE LIPSCHITZ CONDITION 7 on the region R= {(t. if the reader looks into this definition a little deeper. if Problem (P) Also. y)plane.y (1 + (t . y) : It . b = 2. Therefore. we can conclude that (P) has one and only one solution on the interval oo < t < +oo. y) : It11 < f.
we need some preparation. Equation (R) is a fourthorder difference equation on am. where ct and c2 are independent arbitrary constants. Let us construct solutions of the differential equation (E) L + 2y(cost + cos(2t)) = 0 as a formal Fourier series +' (S) y(t) _ am eimc m=oo Inserting (S) into (E) we obtain imam + am1 + am+1 + am2 + am+2 = 0 (m E Z). if (S) is restricted to be a convergent series.8 I. we obtain u(t) = cH(t) + c. FUNDAMENTAL THEOREMS OF ODES is considered on the set j = {t E R : t A 0). see [Ko] for examples. As a differential equation on the generalized functions. The transformation y = u + In Jti. see [Dw]. The following example might be a little strange. Existence without the Lipschitz condition To treat the initialvalue problem (P) without the Lipschitz condition. For such an example.c2 H(t) 2 + c' Equation (E) may be looked at in terms of the generalized functions (or the distributions of L. m=oo 12. where Z is the set of all integers. 2 is used. solution (S) contains four independent arbitrary constants. amxm. where c is another arbitrary constant. this general solution is given by y(t) = c1 . If the Heaviside function {1 if t > 0. Integrating (E"). . the general solution of (E) is y(t) = cH(t) + c + in Jtt. Schwartz [Sc]). the general solution is y(t) = cl +In Jtj for t > 0 and y(t) = c2 + In JtJ for t < 0. For more information on differential equations on the generalized functions. A similar phenomenon may be observed if solutions of a certain differential equation are expanded in positive and negative powers of (R) +oo independent variables such as F. (E') is reduced to (E") j = cb(t). where c is an arbitrary constant and b(t) is the Dirac delta function. Of course. three of these four constants should be eliminated. H(t) = I if t<0 + c2 + In JtI. changes equation (E) to (E') t  = 0. Therefore. Therefore.
since At 0 . 1 +00 Using the boundedness of the set { f l. } such that lim ofh(r) exists for every rational number r E Q.. We prove this lemma in two steps.F}.Fj if h > j. Lemma 123 (C.+1 from Y. }. we can choose subsequences .  . : j = 1. On a bounded interval Z. then. 1.F so that lim f1. b) E Q such that it . let.t(r2) : t = 1. we choose an infinite subsequence F2 = {j 2 t : t = 1. lira fh(r) h+oo h+oo exists for every rational number r E Q... 2. i. Then. and equicontinuous set of functions.2.e(rl) = c.r(t.h (h = 1. (ii) t lim o f'. i..t2l < b(c) = L. Q = {r. 3. . Arzela [Ar]G.. 6) is not unique. we have ] f (tl) . Next.F. b)1 < b.. we choose an infinite subsequence F1 = {f 1.. 2. 2.. lim fh(rj) = c...  For example.. ft. Using the boundedness of the set {f(r1) : f E . 2.Fj for every j. < a. (2) Q is an enumerable set. } from . Step 1.t(r1) = cl exists. (1) Q is dense in Z.F. there exists a b(e) > 0 such that ] f(tl) f (t2)I < e for every f E .t : t = 1. Definition 122. successively. Choose from F a sequence of subsequences F. Then. if the set F consists of all functions f such that f is continuous on a closed interval It .e... F contains an infinite sequence which is uniformly convergent on Z. The set . i. Then. bounded. j= To do this. exists for every j. Let Q be the set of all rational numbers contained in the interval Z.F of functions f (t) defined on an interval I is said to be equicontinuous on I if for every e > 0. h Proof.F is erquioontinuous on the interval I = {t : It .f (t2)l < E t2 whenever It1 .. Therefore.e. A set F of functions is said to be bounded on the interval Z. look at the sequence F1 at t = r2.. 2. tl E :r and t2 E Z.. for every 6 > 0 and every t E Z. first look at functions in F at t = r1. A set. Continuing this way. 2. and If (t)l < L in it . such that (i) .. EXISTENCE WITHOUT THE LIPSCHITZ CONDITION 9 Definition 121.F contains an infinite sequence { fh : h = 1.tol < a). exists for every j. there exists a rational number r(t..to. }.h E . ).Fj +1 C . Note that the choice of the rational number r(t.tol < a. In fact.Fh C .. E fl for every h >) since fh = fh. Proof..t(r2) = c2 exists.. 2.toy < a. . .. .F whenever it.f(t2) = J t l f'(s)ds for t1 E T and t2 E Z.2. Set fh = fh. f is continuous in it . Ascoli [As]). if for every t E I there exists a nonnegative number M(t) such that lf (t)I < M(t) for every t E Z and f E.F be an infinite. }from F1 so that lim h. }..t2I < b(E). 3... 1.e..
(1.rl < b(e).. where p(E) is a positive integer depending on E. } of Step 1 converges uniformly on the interval I. b (3 ) . e) such that lfh(t) . FUNDAMENTAL THEOREMS OF ODES Step 2. E). b ( 3)) . 0 To construct a solution of the initialvalue problem (P) without the Lipschitz condition.(. Proof. 3 ) 1 Then. (ii) 1 has continuous partial derivatives of all orders with respect to yl.b1 3) I = rt(E) and set 1 /E \ N(e) = maxE N (r.ft(t)I < E whenever h > N (r I t.LAW .f (t)I < E Now. Using the following lemma. The sequence { fh : h = 1. For every t. I2. whenever h > N(r.ft(r)I + I h(r) .10 I. and I > N(r.1) is satisfied whenever h > N(e) and I > N(E). X (iv) IFe(t. Proof For a given positive number f and a rational number r E Q.ft(t)1 <. Iycol<b}. 6 (3 bigg)) 3 I and t > N (r (t. Then. For all t E It.rl < b(e).2. y) is continuous on a rectangular region R={(t. y2. by choosing r = r (t.1.3 Since the interval I is bounded. .y)I <e on r= .. approximate the given differential equation by another equation which satisfies the Lipschitz condition... E) whenever 1J(r) .E). an Eapproximate solution is found. ..1) Ifh(t) . there exists a function FF(t.tot < a and all y". y) such that (i) F( is continuous for It .) in such a way that the length of each interval I1 is not greater than b (11) .fh(r)I <c Ifh (r) .(.r1)I for It to l<aand all y". We prove this lemma in three steps. Lemma 124. we can cover I by a ite number of open intervals 11.2. set r t.toI < a and all g.. (iii) I FE(t. . we obtain (1.. Ifh(t) .y): It . . Suppose that f (t. ) choose a rational number rt(e) E 1t f1 Q.f!(t)I. where t E I and r r= Q.. The unique solution of such an approximate problem is called an Eapproximate solution. Therefore.ft(r)I < E whenever it .y)I <c** max If(r. 2. observe that it . for every positive number f.fh(r)I + Ifh(r) . there exist a positive number b(e) and a positive integer N(r. y f o r It .y)f(t.tol a.
yj such that (1) F is continuous for It . (b) p(4.5)de = 1. (ii)..nl1. Then. Ig. and (3) of f imply that (4) for every positive number e. The construction of such a function p is left to the reader as an exercise.... d1M = 1. Then (a') has continuous partial derivatives of all orders with respect to y1.. there exists a realvalued function p(t... and (iv) of Lemma 124.(t.2. y) satisfies all of the requirements (i).f2)i <e whenever It . J+oo 00 (y . Step 3.f1)F(t. The construction of such an f is left to the reader as an exercise. r +00 . for ally".6) = p(yi. F. y)I < c > If (r. . 6) of a real variable t such that (a) p has continuous derivatives of all orders with respect to for cc < t < +oo. p(y.. Since f is uniformly continuous on R. (d) f(. Proof Properties (i) and (ii) are evident.M1<max{IF(t. Property (iii) follows from the estimate I e(t.o . b(E))F(t.10i: all ..b)=0forI{I>b..tot < a and all y..y (b') t(#.. Set +4(t. b) .t} < iTMaExRIf(T. where b(e) is defined in (4) of Step 1. Set 0(g.. b)p(y2. for Ittot <a and Ifcal>b+1. b) > 0 for co < t < +oc. yJ = {f(t 0 on R. b) = 0 for Iyj > 6. EXISTENCE WITHOUT THE LIPSCHITZ CONDITION 11 Step 1. y2. dnn. (iii).. YJ = 100 . . (2). properties (1). 6)dy1dy2 . there exists a positive number b(e) such that IF(t. (2) IF(t.tot < a.f2l < b(e).. for It . SERI (3) F(t. j 00 . There exists a function P(t. (c) p(. 6) (d') 0 for all (c') 0(f. f f +00 '(y. b).1. For every positive number b. ff)d . Step 2.tot < a and all f..
12 I.toI < a.l1 <_a(E) (9 . Using Theorem I14.E(to) =_4o. yi .tol < a and that lFE(t. (3) (t.toy < a. )l.n. (t. jE(t))I < M on It .0E(t2)l < µ whenever Itl .)}dg1.tot < a. It2 . when a / l minla.)..toI < a.t21 t2 if Iti .n7)F(t.toj < a (cf. FUNDAMENTAL THEOREMS OF ODES Property (iv) follows from the estimate I A. r JW.. This shows that Jr is equicontinuous on It . E(t)) on It .tol < a.b(E)) {F(t.. Lemma 112).= {(t.i ) if M > 0. For every positive number e.. Therefore.nj .F(t. b(E))drh .. and It1 . Lemma 111 and Remark 113). .tol < a and It2 . if M = 0. (t. dnn l = E. The set F = {¢E : E > 0} is bounded and equicontinuous on It . there exists a function fi(t) such that (i) (to) (ii) 4'(t) = f (t. rIl ff This completes the proof of Lemma I24. Hence.. Proof. E tI . I#col < b} and M = ma c I f (t.y): Ittol < a. Y) I r+oo =l _ j + (y..t21 < E.toI < a. n. we construct a function 0 (t) such that (1)S(.4(t)) E 1 on It .dg 00 l . Now.toI < o.F'(t.. P. we have I0E(t0 .4(t2)1:5 ljtl iE(s)dsl < Mlt1..t0I < a (cf. dn. y1 which satisfies all of the requirements given in Lemma 124. Proof Property (3) of functions ¢E implies that F is bounded on It . y) is continuous on a region P. for a given positive number p. We prove this theorem in four steps.. Step 2.b(E)){F(t. (2) Furthermore. Step 1. Theorem 125. property (2) of ¢ implies that I4(t1) . If f (t. we prove the fundamental existence theorem without the Lipschitz condition. construct a function FE (t. 0(t)) on It .y) } dm .
) on a rectangular region R = {(t. In fact y(x) = 0 is a solution of Problem (P) and also 0 for x < 3.. Letting a .Z (s))Ids < e It . (s. Iy"cod < b}.(s))ds f(s. Then. < a. Theorem 125 applies to the initialvalue problem dy (P) xyl/s. .. Remark 127. . < a. dx y(3) = 0. y) be a realvalued continuous function of n + 1 independent variables t and y = (yl. y(x) _ (2(x2_ 9)154 for 5 x > 3 is a solution of Problem (P). set r+oo . .to.(t) = lim .. Theorem I14 does not apply to (P).. y.yj 1 < M . . Using Lemma 123 (Arzeli Ascoli) choose a sequence {ee : I = 1..t (s))f(s.(s))ds+J {f (s. } of l = 1. Two other methods of proving Theorem 125 are summarized in the following two remarks. = 0 and that the sequence converges uniformly on It .tot < or as t . Let every entry of an ndimensional vector f (t. Observe that on It .to. y) : It .f(s. Note that the righthand side of the differential equation (P) does not satisfy the Lipschitz condition on any yinterval containing y=0. } positive numbers such that lim e.tol on It . Assume that I f(t.. EXISTENCE WITHOUT THE LIPSCHITZ CONDITION 13 Step 3. u This completes the proof of Theorem 125.. However. 0(s))ds. Ifca This is true for all e > 0.0.4(s))}ds to and that (s)) . we obtain (t} = c"o + f L f (s.. 2.. 0 Example 126.2.tot < a. (t) = c"o + =ca+ eo fP.0.(t) +oo Step 4. 2.+oo.
2. (iii) the set {y'E : 0 < c < r} is bounded and equicontinuous on the interval to r<t<to +a.2. Let 0(e) : to = ro < r1 < < rn(c) = to + a be a subdivision of the interval to < t < to + a such that n(c)1 m ax (I rj . (iv) if we choose a decreasing sequence {c) : j = 1. WI) E R and (x2. pp. } such that Jim E) = 0 +oo in a suitable way.1/c(rj_1))(t . &(t)) E R on the interval tor < t<to+a.. the sequence {y'. see [CL. Remark 128. see [CL. . Also. Set for t = to. pp. we can show that (i) every entry of y. (t) is continuous in t and (t. We use the same assumption.2) uniformly on xo < x < xo+a as j . 4344] and [Hart..rj+ll) < nun P(E). there exists a positive n umber p(e) for every given positive number a such that I f (tl. where M is a positive number.1%2I 5 p(e) for (xl. (t) is continuous in t on to .2. pp.. } such that lim e) = 0 )+no in a suitable way. Set a = min (a. clo+ff(s. i(to) = 0o uniformly on to < t < to + a as j + +oo.+oo.. 35].r < t < to.. Since f (t... y1) . For more details..2) dt = f (t.. 2.. yI is uniformly continuous on R. .14 I. where r is a positive number. y2) E R. the sequence {yEI (x) j = 1. 91(t) = 1/e(rj1) + J (r)1.r < t < to +a except a jump at x = to. For every e such that 0 < e < r.. to < t < to + a. . . . } converges to a solution of the initialvalue problem (1. 2.7j1) for rj_1 < t < TI.t2[ < p(c) and Iyl . For more details. FUNDAMENTAL THEOREMS OF ODES on R. J. #(t)) E R on the interval to . (x) j = 1.. (ii) every entry of 17. M ) .. (j = 1.il(s_6))ds Then.f (t2. &(t)) E R on the interval to < t < to + a. (iii) if we choose a decreasing sequence {c) : j = 1. and a as in Remark 127. define q(t) 1%c(t) = c for for o to .1%2)I < E Whenever Itl . 2. M.. we can show that (i) every entry of g. 1011]. Then. (ii) the set {yi : E > 0} is bounded and equicontinuous on the interval to < t < to +a.2.n(6)). let i1(t) be a continuously differentiable function of t such that #(to) = co and (t. } converges to a solution of the initialvalue problem (1.r < t < to. co p(E) M . (t) is piecewise linear and continuous in t and (t.
} of points in the interval I. (t)) = (r1. and [SC.. Iy . To extend such a local solution to a larger interval of the independent variable t. we derive the following result concerning the maximal interval on which a solution can be extended. and I f (t. continuous in y for each fixed t. ij).77) E D.a(t)). )too j = 1.771 E Rj (e) C U. (See [CL. ij) E D for some sequence {t. p. Q(t)) E 'D. pp. then lim (t. yj is continuous in an open set V in the (t. Assume that (i) a function f(t. Under this assumption. if lim (t.s (t) = f(t.. and (t. .) 13. consider a rectangular region R. 10]. Then. fi(t)) = (r2i Prof.4(t. y(tj) = (tj). y) I < M in U for some positive number M. y) space. we obtain also a result similar to Theorem 114..2. the following lemma is useful.. Lemma 131.2. Since U is an arbitrary open neighborhood of (r1. we obtain (t. p.0(ti)) _ (ri. Similarly. 665688) is obtained. 43). there exist an e > 0 and a j1such that (71. we conclude that lim (ti. SOME GLOBAL PROPERTIES OF SOLUTIONS 15 Remark 129.y) : it . Let U be an open neighborhood of (ri. We show that (t. yj I is bounded by a Lebesgueintegrable function when (t..I < e. p. [Har2. The other part can be proven similarly. +oo From Lemma 131. 0(t. (ii) a function fi(t) satisfies the condition .(e) = {(t. yi) is continuous in an open set D in the (t. y) is assumed to be measurable for each fixed y. : j = 1.. rl. if.y5(t)) E Rj(E) C U on the interval r1 < t < tj. 15). if lim j+oo(t. d(t. .t.y). Similarly. 0(t)) E U in an interval ri < t < r(U) for some r(U) which is determined by U. Some global properties of solutions We can construct a solution to an initialvalue problem (P) in a neighborhood of the initial point by using Theorem 114 or 125.. Note that e =min Ce. in addition. y')space.3. a result similar to Theorem 125 (Caratheodory's existence theorem) [Ca. Theorem 132. If Ax. For every positive integer j and every positive number e. in an open interval T = {t : ri < t < r2}.e < rt . y) E R. y") E R.)) = (r1..771 E D for some sequence {t. M Applying Lemma I11 to the solution y" = d(t) of the initialvalue problem / !4fe dy = f(t. If (i) a function f (t.)) _ (T2. } of points in the interval Z. I and t. Assume that the closure of U is contained in V and that I f (t. i)). it satisfies an inequality similar to Lipschitz condition with the Lipschitz constant replaced by a Lebesgueintegrable function L(t) when (t. We shall prove the part of the lemma which concerns the left endpoint ri of the interval Z.)j < Me}. then lim (t.
we obtain cr lim(t. Observe that L2(.. Proof We shall prove this result by deriving a contradiction from the assumption that (r1. i11 E D). apply Lemma 131.2xyL = y3 .. Assume that the solution y = 4(x) of the given initialvalue problem exists on an interval I = {x : £ < x < xo} for some positive number .0(ti)) = (TI. in an open interval I = {t : r1 < t < r2}.fl) (or.0')2+ 1. Hence. Hence. respectively.. by applying Theorem 125 to the initialvalue problem dy = f (t. Problem 133. 4(x)2 > 21Lt Now. 4(x)3 < 3M.2. q > 0.. . respectively. FUNDAMENTAL THEOREMS OF ODES (ii) a function fi(t) satisfies the condition 4 (t) = f(t. The proof of the following result is left to the reader as an exercise. respectively. to the right of r2). (r2ir))). Applying Lemma 131 to this situation. x < xo if xo > 0. y). Show that the solution of the initialvalue problem d2 y 2 .y2 y(xo) = 17. and (is any real number. respectively. to the right of r2) (iv) with property (ii).r2. respectively. n (or.l of points in the interval Z. Therefore. respectively. respectively. Y (xo) = (. fi(t)) E D. (.r) (or. we have (4 (x)) z < 2M. This is a contradiction. (T2. ff(r2) the solution 45(t) can be extended to the left of rl (or. r))) exists for some sequence {tj :j = 1.63 + on Z. 0 The following example illustrates how to use Lemma 131. (iii) 4(t) cannot be extended to the left of rl(or. then the limit point (Ti. ¢(t)) and (t. dt y(rl) = n (or. (r2. i))) must be on the boundary of V. jlimo(tj.16 I. exists at least on the interval 0 Answer.7) E E) (or.¢(t)) = (rl. 202] = 2xo(th')2 > 0 (O'(x))2 + 14(x)3 + 14(x)2 < 1(0'(xo))2 + 14(x0)3 + 14(x0)2 2 2 3 2 3 (= Al > 0) on Z.
tr j = f (t.3. the extension of the solution y5(t) is unique. Then. the estimate Kexp[Llt . . in o T.3. At)I <. SOME GLOBAL PROPERTIES OF SOLUTIONS 17 Corollary 134. Assume that f (t.1). For nonlinear ordinary differential equations. Theorem 135. where to is any point in the interval T. yam) is continuous fort I < t < t2 and all y E R". The following example shows the local blowup of solutions of the differential equation of Problem 133. Since the righthand side of (1. ¢(t)) in Z. we obtain the following important result concerning a linear nonhomogeneous differential equation dt = A(t)yy + bb(t). either (i) Qi(t) can be extended to the entire interval t1 < t < t2 as a solution of the differential equation (ii) limO(t) = oo for some r in the interval ti < r < t2.1) satisfies the Lipschitz condition. Setting K= L= we obtain (r2 .3. max IA(t)I. Hence.3.1) exists in a subinterval Z' _ It : r1 < t < r2} of the interval I such that tj < 71 < r2 < t2. where the entries of the n x n matrix A(t) and the entries of the R"valued function b(t) are continuous in an open interval I = It : ti < t < t2}.ri)[ <00 in Z' is derived by using Lemma 115.Ato)I + jo {A(s)4(s) + b(s)} dsl in Z'. Assume also that a function fi(t) satisfies the following conditions: (a) and d+' are continuous in a subinterval I of the interval tl < t < t2. or Using Corollary I34. Thus.toll < Kexp[L(r2 . we cannot expect to obtain the same result as in Theorem 135.ri) '15'572Ib(t)I. (b) (t) = f (t.3. y).1) which is defined in a subinterval of the interval I can be extended uniquely to the entire interval I as a solution of (1. Every solution of differential equation (1. Then. Proof Suppose that a solution y = d(t) of (1. case (ii) of Corollary 134 is eliminated.
Answer.u)u + tsu3 .2xyL y2 y3 ono<x<6.tut. dt where f = Step2. and w2 = 0. (2) differential equation (1) becomes _ . Step 1. (2) fix) is continuous on an interval 0 < .x) satisfies the differential equation (Eq) dxy . FUNDAMENTAL THEOREMS OF ODES Problem 136.2tu' + 2u + 9(tu' . If wesetu= 1+u'1 and tu' =w2. + t6 (1 + w1)3 If we set t = 0. the righthand side of (2) vanishes. Show that for any fixed t > 0. Now. (2) can be written in the form td !W' dt t = W2.u)u = 2t(tu' . Ifwesett=£randy = to (1) .tt1(I + wl)2.(I + w1))(1 + w1) + t6t4(1 + w1)3 . .z < 6. wl = 0. (3) the function 1 + (: . there exists a realvalued function 0(x) such that (1) 0(x) is continuous on an interval 0 < Cx <. dw2 dt (3) =2w1+w22w1(w2wl) + 2{lt(w2 . the given differential equation is changed t t2u" .6 for some small positive number 6 which depends on (.(1 +wl))(1 + w1) (1 + w1)2.(1 + wl))(1 + w1) + 2r1t(w2 .2(w2 .x)4(x) y(x)  F( .18 I.2(1 + wl) + 3w2 .
t:'(1 + wl)2. A= [ O1 } . Therefore. (4) becomes (6) tv = Av + P' F(PV) + tP1G(t. t(t) )dt.w"). We change (7) to the following system of integral equations: zi(t) = t'2 fot t fi(r. t o where to 1is a sufficiently small positive number and c is an arbitrary constant. where P = Then. Then. Step 4.[w2]' with _ wl _ ['2 1 0 1] F(w) [2w1(w2wi)J' G(t.z)1 <.tLli . Let us diagonalize SZ by the transformation w" = Pv". If t > 0 and if tl1 and tll are small. where w.w) = 22'(w2 . z) [_2 0I and f (t. SOME GLOBAL PROPERTIES OF SOLUTIONS 19 Step 3. which are distinct.(1 +w1))(1 +w1) (5) + t5e(1 + w1)3 .{I and If(t. t9 = ti+t2z and F(Pv) = t2F(Pz). and z' = (21 J and f = 2 J. where Ao = If(t. z) = tP'F(Pz) + P'C(t. Two eigenvalues of f2 are 1 and 2. there exist two positive constants Ko and L such that <.z(t))dt (8) z2(t) = d + t f r 2f2(t.3. (6) becomes (7) ti' = Aoz + At' zl. Pv). Write (3) in the following form: (4) te = f2w +'Pp) + tG(t. 2 Set ii= ti.Ko + tL17. We want to construct a bounded solution of (8) on . tPa).
zlr))Idr < t2 0 t r(Ko + rLK)dr 20+3LK to < 20+ 3LK. Here. toL < 1. we obtain t Izt(t)I < t2 fo rI f1(r. we can construct analytic solutions by means of successive approximations. where P = (Pjkj? k=1. Define successive approximations by t_2Jo i (t. (9) Izs(t)I < Iclt + t f r21 f2(r. if IZ(t)I < K on 0 < t < to. . Furthermore. FUNDAMENTAL THEOREMS OF ODES 0 < t < to. Denote by C the set of all complex numbers. The set of all ncolumn vectors with complex entries is denoted by C". Since a complex number is a twodimensional real vector. 14. Analytic differential equations So far. first note that. every result in the previous sections can be extended to the case when the entries of g' and of the function f (t.im(r. we can complete the construction of solution (Sol) of equation (Eq). if the function f is analytic with respect to (t. To do this.kl 1 < j. C) = m > 0 d +t JJJ( r2f2(r. yam).c))dr to It can be shown that the successive approximations converges uniformly for Icl < Co and 0 < t < to. g) are complex. k < 2}.20 I. and toKIPI < 1. fix another positive number K so that co + Ko < 2 and then fix t0 > 0 so that to < 1. For a positive number co. IPI = max{IP. This establishes the existence of a bounded solution of the integral equation (8). Thus. it has been assumed that the independent variable t and the unknown quantity y are real. z(r))Idr f < Icit + t t t to r2(Ko + rLK )dr = Iclt+t (' .1 )Ko+t (In (12)) LK < Iclto + K0 + e1 t0LK.
.. Then. M }.zo which are convergent in 0.om(Z)I (nl + 1). .1. (i) For every m.0m1( ))d(. where the path of integration may be taken to 1be the line segment zaz joining zo to z in the complex zplane.zoj < a}. 1. y" are complex quantities. In order to derive analyticity of f (t). } converges to ¢(z) = o(z) + k=1 (mk(z)  (Z)) uniformly in 0 as m + +oo.2). g2)1 5 Lull . y2. in D. Assume that each entry of a Cnvalued function f (z.& (Z) 1 :5 (m+ 1)I IZ MLm ZOlm+1 in A. yam) is given by a power series in (z. Observation 142. .(z) m = 0. ANALYTIC DIFFERENTIAL EQUATIONS 21 Theorem 141. ly .y21 Define successive approximations by 1m0(z) = 4o.zojm+l ...zo which are convergent in the open disk A = {z : iz . (iv) the entries of the C"valued function b(z) are power series in z . .. The reader must notice that even if a sequence of analytic functions fn(t) of a real variable t converges to a function f (t) uniformly on an interval Z. . For example.c on 0. the limit function f (t) may not be analytic at all. (ii) the sequence { .. yl. y(zo) The proof of this theorem is left to the reader as an exercise.. m = 0. om(Z)=co+J f((.zol < a. . yl. Set a = min I a.y).)I < /M l 0z.. 1. any continuous function can be uniformly approximated by polynomials on a bounded closed interval.) E D (j = 1. (v) the function Q(z) is the unique solution to the initialvalue problem d = f(z. 91) . 1.y. whenever (z.4n+l(Z) .1(z.. IZ .. where z. . y2. . uniform convergence must be proved on a domain in the complex tplane.col < b}. the entries of the C"valued))) function 4m(z) are power series in z .. The estimates m+1(Z) ...4. } satisfies the estimates m !5 II . yn) which converges in a polydisk: D= ((z. y) : Iz . Assume also that there exist positive numbers M and L such that If(z. (iii) the sequence {¢m(z) m = 0. 0 m>1. n1 = 0..
kI a 1 (k = m + 1. In the case of the initialvalue problem dzy = (1 .z. k=O m=0.n oo Ck(ZZO)kl :5 b k=O IZ aZOlk k=m+1 1 I =blzzD a 1IZ ZIDI in the disk A.. FUNDAMENTAL THEOREMS OF ODES +00 imply that there exists a power series Eck(z ..(z) = O(Iz . Example 145. it follows that 1Cm. Observation 143. (z) _ >2Ck(Z . k=m+1 Since cb1 < b in the disk 0. Since m &(Z) = $O(Z) + E (&(Z) k=1 00 we obtain (z) .Zo)k. Set m 00 k=0 (Z) = k=0 Ck(Z .zol'"+1) and. Observation 144.ZO)k. implies that ..z)y2. m + 2.zol"'+1).ca Izo1=P (z . This.Z)2 .ZO)k + 1: Cm.zo) k+1 for any positive number p < a. hence..¢.22 I. Note that 4.. we obtain O(z) = 2 E(k + 1)zk = k=O 2 (1 .k = 2?ri 0(z) .k(Z .2.1...zo)k such that k=0 M &(z) = E ck(z ...). y(0) = 2.)' +O(Iz .. in turn.
.2z2. we obtain the following theorem: Theorem I46. lye51 < 2. EXERCISES I I1. If all the entries of an n x n matrix A(t) and C"valued function b(t) are analytic on an interval Z. 02(x) = 2 + 4z + 6x2  83 . then every solution of linear differential equation (1. dy Iyi5I < 2. m)1). y(r) = .1) is analytic on Z.yl)f(x. b (r) = 171 . Solve the initialvalue problem d22 + 2y L = 0.6x4 + 4x5 2x4 23 82zs 2825 ¢3(z) = 2 + 4z + 6z2 + 8x3 _ 256z7 124z8 3 3 46z10 9 68z9 + 63 + 22z12 9 4z13 9 2z14 9 + 56z" 9 9 + 9 .y2)I < IY1Y2I if Ix1I 5 f.(y .(x . i I2 Show that the function f (x y) _ ' 1 satisfies the (3 . 01(z) = 2 + 4z . The reader must consider various cases concerning the initial data (r.51 < 7. 13.lo.1)2)(9 .3.5)2) Lipschitz condition If(x. has one and only one solution on the interval Ix .63 Combining Theorem 135 and Theorem 141. Show that the initialvalue problem _ (P) dx  sm x3 + 3x + 1 101y2) y(5) = 3.EXERCISES I 23 by using the successive approximations Oo(z) = 2 .
g(x).m21 < 1 + ma \m! < exp [M1 for some positive number K.. moo Hint. u(O) = 0. fta(r)drLmn(mj(tmja(ml) ` l M 0 lira. then g(x) < h(x) + f = [JZ exp f (n)dn. 15.... In case p < 0. g(x) < h(x) + J0*'C f on an interval 0 < x < xo. For every positive integer rn. Also.. } di ono < x < xo.24 I. . Let a(t) be a realvalued function which is continuous on the interval I = It: 0 < t < 11. If we put y(x) = J f then LY < f(x)h(x) + f (x)y and y(O) = 0.. } converges uniformly on the interval Z. and h(x) satisfy the inequalities f(x) ? 0. find lim f. for some positive e. Show that the sequence {fm m 1. rn . FUNDAMENTAL THEOREMS OF ODES 14. Thus. . 2...1. the solution u(x) is not identically zero and has a branch point Hint. Em = 0. Hint. What would happen if p < 0? u p du = sin(u) dx. Show that if realvalued continuous functions f (x). we have 1 + m a (m / > 0 and exp [ma(m/ . Show that u(x) = 0 on this interval if p > 0. 2.. For large m. Also a(m)] m h E. 16.. . the problem is reduced to the initialvalue problem at x = 0. set fm (t) = I + ta(0) for 0 < t < 1 m and fm(t)= L=0( 1+ma(m))]( l+ltm/a\m)j :M= fork < t < m k+1 and k = 1. such that m» too . . Suppose that u(x) is continuous and satisfies the integral equation x u(x) = J sin(u(t))u(t)pdt 0 on the interval 0 < x < 1..
where L is a positive constant. where (r. y) : 91(t) 5 y <. where a and b are positive numbers and II II is the norm of B. 92. see [Na3. Show that (1) there exists a positive number Af such that Ilf(t.4i(t)) E D on to < t (2) Q'(t) = f (t. (iii) gi(t) < f(t. 19.92(t). Let B be a Banach space over the field R of real numbers. in = 0. IIxt:ll<b}. X(r) _ . (ii) f(t.xl) f(t. (2) problem (IP) has one and only one solution on the interval It . in = 1. b b \ I. y) be a realvalued function of two independent variables t and y which is continuous on a region: D = {(t. let rt(x) be an arbitrary continuous function of x on an interval 0 < x < xo.x2)II 5 LIIX1 X211 whenever (t. Also. in particular Bemerkung 2]. 92(t). Suppose that (i) 91.EXERCISES I 25 17.oo < y 5 0. See [Huk7].x) also satisfies the Lipschitz condition IIf(t.x)II < M for (t. Let f (t. f 9t> f(t. Set f(u) = 0 { f for for . Also. let f (t. x). . Hint. r1 < t < r2}.x)iscontinuous onaregion R={(t. 0 < y < +oo. z rl < t < rz. where xo is a positive number. Define successive approximations by rt(r) for tim(x) = fox f (ym_l(t))dt for Show that m+oo lim ym(x) exists uniformly on the interval 0 < x < xo. Assume that f satisfies the following conditions: (i) f(t. x2) E R. (ii) 91(t) < 92(t) on rl < t < T2. xl) E R and (t. 2. For this problem.x) E R. and g2 are continuous on rl < t < T2.9i(t)). (iv) Tl < t0 < r2 and g1(to) < CO < 92(to) Show that there exists a function 0(t) such that (1) 4 and 0' are continuous on to < t < T2 and (t. {) is a given point in R x B. Hint. pp.rI < or. O(t)) on to < t < 72 and 0(to) = co. Consider an initialvalue problem (IP) d = f (t. x) E R x B. g'1. x) be a Bvalued function of the variables (t. 143160.x)ERxB:Itrl <a. 18. where a= min a.
< E. on a bounded interval Z... Show that F contains an infinite sequence which is uniformly convergent on Z. b > 0. . xF). = {(x. . y. f E E and every positive number e. it is necessary and sufficient that for every (r. Ly. Let B be a Banach space over the field R of real numbers and let C be a nonempty compact and convex subset of B. Also. fnY) on an interval l lz . where a = min ( a. Assume also that E is a nonempty closed set in R"+t.. f ). b.. [Huk7l. .26 1... e).. where a and b are real numbers such that a < b. there exists a point (a. .z)115 M for (t. x") E Rr+t.. 113.. FUNDAMENTAL THEOREMS OF ODES I10. . {.. [Huk6].. x(r) _ has a solution s = ¢(t. where r E R. Assume that a Cvalued function f (t. a > 0.. x") be Revalued and continuous for (t. . Show that if there eixsts a sequence {ch : h = 1. depending on (r. use an idea similar to that of Remark 127. Let f (t. r. (2) 6(x) is a realvalued solution of !° = f (x. . that the intialvalue problem di = f (t. 2. ) such that r < a(r. I11. and (4) f(x. . The necessity is easy to prove.1. ) generaly depends on (r. and 11 11 is the norm of B. yt. where p is a positive number such that a < c . Let B be a Banach space over the field R of real numbers and let C be a nonempty compact subset of B. Use a method similar to that of Remark 127.) is realvalued. yl.)) E E. x). For sufficiency. ).x) E R.. lyj I < r (j = 1. and continuously a<x< differentiable function of (x. Show that (1) there exists a positive number M such that IIf(t. on a region R.cl < p. and r is a positive number.1).. 112. also.0) = 0 on a < x < b.p < c + p < b. continuous. yt. Hint. has a solution on the interval Hint. let F be an infinite and equicontinuous set of Cvalued functions. y2. . See. then O(x) = 0 identically on a<x<b.. n .0.x)ERxB:Itrl <a. Assume that f (x. ¢(t.. Assume.rl < or.. 2. (2) the initialvalue problem . r. S) E E such that 0<ar<e and where (a. Show that in order that for every (r.llxt1l <b}.. . that (1) c is a real number such that a < c < b. {) and there exists a real number a(r. ) E E on an interval r < t < o(r).= f (t. } of real numbers such that h_+00 Um ch = c and that ¢(ch) = 0 (h = 1.... t E B. See. y... also. x) is continuous on a region R={(t. satisfying the condition (t.. . x(r) it . also. (3) dx* r (k = 0. n)).
pp. where A is a positive number and the two quantities a and b are real numbers such that a < b. y) is continuous on the closure f) of D and satisfies the condition < AI e +BluF+C I on D. y) in a domain D = {(x. The last inequality is the Haar inequality. x. to the difference ti(t. t. x) and U2 (t. 140141]). and [Har2. Upon applying Exercise 114. with M = C = 0. 0. 0. 0) and satisfy a uniform Lipschitz condition with respect to (u.Ay}. x). the proof follows immediately. y) be a continuously differentiable function of two independent variables (x. y) : y > 0. 115.U2 (t. x) = ul (t.EXERCISES I 27 114. pp. x) . Let H(u. x. Assume that u(x. u=) = 0. x. Show that the initialvalue problem ut + H(u.0)(: a < r < b}. a + Ay < x < b . (See [Haa1. the references in Exercise 114). Set M = max(Iu(x. where B and C are positive numbers. Let O(x) be a function of class C' satisfying 0(0) = 0 and 0=(0) = 0. t. . This is Haar's uniqueness theorem of the given partial differential equation (cf. Hint. [Na5. 5 Me 11 + B (eBV . Show that u(x. q) be a function defined on an open set in R4 containing the point (u.1) Hint. q). q) = (0. y) 1 on D. x) of two solutions ul(t. 0) = Q(x) has at most one solution of class C1 in a neighborhood of x = 0. 51561. t. u(x. Let u(x.
Continuity with respect to initial data and parameters Let e be a variable which takes values in a set with a separable topology. e) at (t. y". f). 94100]. Bendixson [Benl] for the scalar equation and later by G. f. (iii) y ' = ¢(t) is unique in the sense that i f 1r1 = f (t. pp. e. Assumption 1. In §112. 2228. c"o. c'. ca. 5760] and [Har2. We consider RIvalued functions f (t. y. YAto) = 4 is equivalent to the integral equation (E) 11(t) = 4 + t f (s. y(s))ds. then L. yam). (ii) ¢'(t) = f (t. eo) E Do on an interval Zo = {t : tt < t < t2}. y. ca. tl'(t). Theorem 1112 was first proved by I. q'. ¢(t). A parameter a is used to represent the variable f. ea) (Theorem 1112). 28 . assume that (i) f(t. we explain some basic properties of solutions with respect to (t. e) and fi(t) under the following assumption. yj. e) is continuous in (t.(t) = ¢(t) identically on the interval Z. we explain the differentiability with respect to initial data (to.ca) (Theorem 1121) and with respect to a parameter a (Theorem 1122). Lemma II11. y")space and an open neighborhood llo of co in the aspace such that (a) A x Uo C Do. y. For the initialvalue problem (P). co) when the solution of (P) is unique for the initial data (r . (b) (t. The discussion of these topics can be found in [CL.CHAPTER it DEPENDENCE ON DATA The initialvalue problem (P) = fit. Peano (Pea2] and E. we explain the continuity of the solution of (P) with respect to (t. pp. to. to. e)space. 6(t). co) and (t. II1. e) in an open set Do in the (t. We start our discussion with the following lemma. In §111. r.(t)) E A on the interval Zo. The righthand side of (E) is regarded as a function of (t. co) and co) E Do on a subinterval I of the interval Zo and if y(r) = fi(r) at a point r of the interval Z. In this chapter. where eo is a fixed value of the variable e. Lindelof [Lind2] for a system of equations. to. Conditions (i) and (ii) of Assumption 1 imply that there exist an open set A in the (t.
t). fi(r). ir(t. Proof. Assume that (II. ¢r(r). . 0 The main purpose of this section is to prove the following theorem under Assumption 1. We shall prove this theorem in two steps. (2) lim t(e) = to. . y.. tw (3) hm 0(t(e). m(t)) E U A(rt) for all N>1>1 t E Zo. where M o = m ax I f (r. In Step 1. e) and (t. Let r E Zo. e) = f (t. : j = 1. co) E Do. to lim i/i(t. 3=1 Uo = nU(r)). ylspace and an open neighborhood U(r) of to in the aspace such that i(r) x U(r) C Do and I f (t.&(r)). t). y)space which was determined by Lemma II11. Set N N = U.1. CONTINUITY WRT INITITIAL DATA AND PARAMETERS 29 (c) I t) I < M on 0 x Uo for some positive number M.'(t. >¢(t. all the requirements of Lemma II11 are satisfied by 0. Uo. We can assume without any loss of generality that U is contained in the neighborhood Uo of to which was determined by Lemma 1111. t) . we choose U in such a way that It (t((). Theorem II12. e)) E 0 on Z x (E n U). we prove Theorem 1112 assuming that there exists an open neighborhood U of Co such that (t. m(r)) in the (t. The existence of such an open neighborhood U of to is proved in Step 2. e) = (to) Then:Then. to) I < 1 on 0(r) x U(7). to)I. Since (t. there exists a finite set (r. and M..e)I is bounded on U. there exist an open neighborhood 0(r) of (r. using condition (3) of Theorem 1112.1) . Then. e) E Do on Z x E.1. y e) I < 1 +Mo on U 0(r) x U(r). J=1 M = 1+Mo. fi(t)) rEZ0 E U 0(r) TEZo on the interval Zo and the interval Zo is compact. N) of points on the interval Zo such that (t. Proof. 2. Assume also that there exists a realvalued function t(e) such that (1) t(e) E I fore E E. Step 1. This implies that I f (t. Let E be an open neighborhood of to and let Z = {t : s1 < t < s2} be a subinterval of Zo. t) it to uniformly on the interval Z. . where 0 is the open set in the (t. Furthermore.AT. tb(t. Since f is continuous in the open set Do and (r. fi(r).
EO)ds to on I.rl'(s). condition (iii) of Asv+oo LET sumption 1 implies that j(t) = fi(t) identically on the interval Z. Now.  Let us derive a contradiction from the assumption that . } such that j..Ej) . (y .: It . there exists a positive number p and a sequence (E.. E j ) . and (II.v(t)I > p.3) m Zx 1 (t. E) + / t As. . implies that lim max I (t.rl < ao.rI if (t. j) : j = 1. ..30 Since II. we obtain I!(t(E).. we obtain J(t) = $(to) + f f(s. J(t). E)I MI t .. the set F _ E) : E E £ n U} is bounded and equicontinuous on the interval Z.2) holds for c = Ef for all v. use was made of the assumption that the topology of the Espace is separable.(r)I <Mao} is contained in A for every r E I (cf.JJ(t. Step 2. 2. This contradicts (1I. b y Lemma 123 (ArzelaAscoli). FIGURE 1. Set l(t) = lim r%(t. e). E) E Z x (£ n U).2) tjJ(t. } is a subset of Y. Hence.3)..1.$(t) I = 0. This. e) does not converge to fi(t) uniformly on the interval I as e + co..1i(t. Eo) on I and 1J(to) = ¢(to). + +oo as v . Observe that the sequence { (. where M is the positive constant which was determined by Lemma II11.e. on Z.1.2. E)ds JJJt(E) I on Z x £.E))EAon Ix(EnU). c) and (r.+oo and that tp(t. 2. Choose no > 0 so that the rectangular region Ro(r) = {(t.1. f (t. Therefore. in turn. E) = tp(t(E).E)I+MItt(E)I onIx(£fU) and Ii(t. i. = Eo..1. Therefore. Ej converges uniformly on I as v + +oo. DEPENDENCE ON DATA (II. Since (11. this sequence is bounded and equicontinuous on Z. j(s. This assumption means that max I does not tend to zero as e + co..E) AT. : j = 1. . Here. } such that Ej E£nU lim E. Hence. Figure 1). there exists a subsequence v = 1. We shall prove that there exists an open neighborhood U of co such that UClloand (t.
a) _ {(t. 0 Remark 1113. y(t.!o Using the same argument as in Step 1 for t (t.a. e)). Continlim uing this process. e)) E R((t(e). e)) E i on I x (E nU) in a finite number of steps. c 1c). Fixing a positive number a less than ao.+1 and e E E n U1. Now. e) = d(rjo+1) Using the same method in the neighborhoods of 4(Tjo+i )). e E EnU1.. ti7). y. using Lemma I1fore E e)). e) E Do on Z x E (cf. (ii) llm t(e) = to and lim dde) = 0(to). CONTINUITY WRT INITITIAL DATA AND PARAMETERS 31 For every positive number a less than ao. e c) ... choose TI.>G(t.2.1.Tjo+2..N1). e). (5p ti(t.tol < ao . t%i(t((). yl: It. Then.I «sa).1... we have Itt(e)I < a for rjo_1 < t < rjo+i and e E E n U1. y). . to = rjo (j=1.. if the neighborhood U1 of co is sufficiently small.. e). TN so that s1 = T1 < 72 < . cco `'a Then. e) . f 11m1L(T)o_1ie) _ 0(r)o1) to and lim (to V(T. Il! .i..1 to particular. Let r be an open neighborhood of cc). Theorem 1112 yields continuity of solutions of the initialvalue problem f = f (t. With regard to this assumption.._ j 5 t < T3. a) C i for It .o+1. fl(t. Theorem II14. < TN = s2. f ). it was assumed that (t. we can improve Theorem 1112 as follows.(t(e). e) E Do fore E E.a) fore E E nU1.  t < rjo and r <  t < rjo+2. In . T2. E n U1. () is independent of e.1)). . we can choose a neighborhood U of eo sufficiently small so that the initialvalue problem f (t. Hence.T 15 ao . 9(to) = 4 with respect to the initial data (to. e) = Q(t) uniformly on rjo2 eco and (rio+1. (II. a) C Ro(r) if IT . Q. for some jo. e) = q(t) uniformly on To2 < t <.I < a. we obtain lim t(t. In Theorem II12. dt  y.a and e) = (to). since lim t(e) = to = rjo. I i . 0 < T2+lT2 < a Since lira t(e) = to and lim co such that It(e) . Also. If f (t. we obtain lim 1G(t. Assume that Assumption 1 is satisfied. we can verify that (t. t.(r)I < M(ao . a) C Ro(to) C 0i_(t(e).4(to)I < M(ao . we find an open neighborhood U of co such that U C Uo and (t. e) = fi(t) uniformly on rjo_ 1 < t < 7. Assume further that there exist functions t(e) and c(e) defined on E such that (i) t(e) E Zo and (t(e)..a).. R((t(e).t(e)I < a and 1. Hence.+. e) on the interval T. set R((T. ?Z((T. there exists a neighborhood U1 of I>%.
111(t. ri") is continuous in (t. is the jth entry of i). r. $(s. Details are left to the reader as an exercise. 2.32 II. r E lo. q).1) fdt = y Y) y(r) = rl has a unique solution y' = O(t. 0Yj .1('r. 112. on an interval To = {t : tl < t < t2}. q) + e) + I" 8f f t (s.. r. From this .2. e) such that (t. Using Lemma 116. we explain the differentiability of solutions of an initialvalue problem with respect to the initial data under the following assumption. Differentiability In this section. r.¢(r)j < p. r. )) ds. r. . (t. we can show that there exists a positive number p such that the initialvalue problem (11. (s. yjspace. q + f t A s . y) (j = 1. (ii) Q'(t) = f (t.17) ds.. Theorem 125). E 0 if t E Zo. n) are continuous in (t. Assumption 2. gi))ds. y) and ' Lf (t. ij)) 80(s. and (r)I < p. . and Lf is the n x n matrix whose jth column is speculation. is differentiable with respect to (r. r. q) and satisfies the condition (t. and Remark 1113. &R1 where q. r. III satisfies the integral equation m(t. The solution y = m(t. r.( s. (s. assume that (i) f (t. r. eJ is the vector in IR" with entries 0 except for I at the jth entry. r. II14. then . and (t. y) on an open set A in the (t. If ¢(t. q') on the interval lo if r E Zo and fr) . ¢(t)) E . DEPENDENCE ON DATA has on the region lo x (E f1 Ll) a solution y = J(t. For the initialvalue problem (P). we obtain the following result. Theorems 114. E).. Theorem II14 can be proved by using an argument similar to Step 2 of the proof of Theorem 1112 and the local existence theorem (cf. The solution t(t. 1112. E) E Do. 7.
ij) be the unique solution of (11.. i) = n + f r f (s.4) and (H. The solution of initialvalue problem (11. r + h.+G(t.2. From Theorems 135 and 1112 and Remark 1113. .2. 1AT) = . respectively t1 < r < t2.r. i))ds.i))ds.rh d(t.2. i)) in the domain (11.2.3) (t. Furthermore. n) exists and is continuous in (t.2) Or and ft(j = 1.2. To show that 8 (11. r..r.ff) = ri + f t f(s. Furthermore.25).2..3) with the initial condition z(r) .2. Using (11. 0(s.(t.1) on D assuming that h 54 0 is sufficiently small.G(s. r. n)) z. T.4(t.r. (I1 .2.f (r.2).2. 4) Proof. Partial derivatives continuous in (t. r').) + JtOf (s. DIFFERENTIABILITY 33 Theorem 1121. from (11. Ii . can be proved similarly.2. it follows that 1i(t.5) (t. ( respectively eej). (s. r.) _ f(r. r1) . n) exist and are f) : t E lo.i) on the closure D of domain (11.2. 2. problem 8r 0is the unique solution of the initialvalue BRA = (11. as follows. r.1(t. we compute (11. .3) with the initialvalue z(r) existence and continuity of L d7).rl)) 1'(s.r+h.r+h.AT.4) i (t. r. rl'). r)).4(r) I < p}. We prove the existence and continuity of by showing that they are the unique f(7... we first derive on '75. 17)] .q)ds r r. r. r. r. .6) h) = h [(t. Let +.
rte} is bounded 09 on D.if.2.r+h. Also.2.J(s. The first and the third terms of the righthand side of (11. for a sufficiently small h. n. h)l 5 K(h) exp[LIt . r. n) such that (s. r + h.h){ <K(h) + LI I J1g(s. DEPENDENCE ON DATA Observation 1. (11.6).2. r. Now. J7) + (1.fl)+(1 9)¢(s.rr)) f o r s E 7 o and a fixed (r. 1 h) rr+h _r (11. Using an idea similar to the proof of Lemma 116. applying Observations I and 2 to (11.0)4(s.n)) [10 1 L(s. we obtain f(s. f ( s. J7) = n and (s.h)Ids t for tEZo.2.0)0(s.7) 8 tend to zero as h . i f ) such that (s. r. since 4r. r.2. there exist a positive constant L and a nonnegative function K(h) such that limh_o K(h) = 0 and that 1g'(t. r. using Lemma 115. r. n E D. d(s. if h 0 0 is sufficiently small. r.rIJ on To. we obtain the estimate 19(t. we have T j) = I rt I f (s. r.4). 7.r. $(s. Note that (s.5). Finally. $6. r. and (I1.r+h.  r + h.r.7) h rr Jl f(r. O (s. n ) ) E A for s E 10 and a f i x e d (r. .0. n') E D. .j(s. Observation 2.qj +JtIJ1 p.r. r + h.17. r') + (1. r + h.0 (s. f )dO Observation 3.70)] ds if h 96 0 is sufficiently small.r. For a fixed (t. we obtain g(t.+h l` AS.:+ i9f 'If (s.il.n1)dOl (t.34 II. fl) E D.
E). e) and are continuous on fl.j = 1. y. we conclude that g(t. the initialvalue problem dy e cos(x(y . Furthermore.'. . (t. y.x)) is continuously differentiable on the entire (x. Furthermore. Theorem 1122.. Note that y = x is the unique solution in case e = 0. y'. there exists an open set 11 in the (t. Upon applying Theorem 1121 to the initialvalue problem d= f (t. Complete the proof by using Theorem 1112. e). e) is the (t. r. r. 77. show that if f ei is sufficiently small.. I oos(x(y .EXERCISES II 35 Thus. y. and 8e (t. T. y{ r) = i1. n. h) . r. e)l + 8E (t. y)plane. t) = rfi(t. e) are continuous on an open set Do in the (t. r. y. 2.x))I < 1. u). 4(t. T. i). u(r) = e. . e). Assume that At. r. a (t. EXERCISES II Z(r) = 0. i. E). we can prove the following theorem. i = unique solution of the initialvalue problem di dt = Of zi (t. Hint. Let a be a real variable. The function cos(x(y . Show also that Ui m O(x. e)space such that the function 00 00 (t. . n). e) on Z. e) = x uniformly on Z.e. Let y = y(t.. T. T. (t. dx y(a) = a + e has the unique solution y = O(x. du = 0. II1. Given an interval I = {x : a < x < b}. 1/. il. y(r) _ *! Then.0 ash + 0. e) (. y. This shows the existence of the unique solution. ii. e). e) be the unique solution of the initialvalue problem dy dt = f (t. e)space.x)). 4J.
for example. 113. 0(1. in C2). Theorem II22 implies that z problem (x.9) in Remark IV72 of Chapter IV. if 02(1.c. pp. as (0. pp. A) = 0.36 II. c. 80(1. A) and y =¢2(x. y(1) = 0. Show that (i) 01 and 02 are analytic in (x. 2412441) yields 8 (x. First of all. (IV. the given boundaryvalue problem is reduced to the equation (E) 0(1. 0) = 2 # 0. hence. Also. also see.A) = 1. z(0) = 0. the following boundaryvalue problem has the unique solution which is continuous in e: 2 = Esin (100 y2 y(1) = 0.. Let y = 4 1(x. c(E) is analytic for small lei. Determine O(x. A)space (i. Hence. A0) # 0. Then. Hint.e. (ii) aA (1. A) is the solution of the initialvalue Z + A(1 + x2)z = (1 + x2}02(x. . Hint. c. A) = 1. 122123] or [Rab.c. c) is analytic for small itI and #c(. Therefore. equation (E) has the unique solution c = c(E) such ac that c(0) = 0. 1\0) = 0. Furthermore.1) be tvm solutions of the differential equation 2 + A(1 + x2)y = 0 determined respectively by the initial conditions 01(O. E) by the initialvalue problem d2y dZ2 = E 5111 ( 100 x y2) y(1) = 0. A) = 0 and 02(0. z'(0) = 0. y'(l) = c. A) everywhere in the complex (x.0) = 2c and. A). we obtain 8 (1. a (0.Ao) 0.A0) = 01\1.Ao)fo 020.7.e) = 0.. A) 01(X"\) J0 o 0. The method of variation of parameters (cf. c. [Cod. Show that if IEI is small. DEPENDENCE ON DATA 112.\0)2(1+t2)dC Note that 01 and 02 are linearly independent and hence 01(1. 6768. 0(1.
x2i . r7) Show also that z = 00(. e. Show that (a) Al is open in lR'. rtj) E D solution of the system fy = f (x. x (r) = 52. y) be an RIvalued function whose entries are continuously differentiable with respect to (x. E A on an interval Zo = It : t1 < t < t2}.. {. For the differential equation (1 + x2) LY _ 2xy = 2. Let Ax.... x1..sy2.. . Assume also that o(t) is a realvalued solution of the nth order differential . of (iii) the artial derivative 8 . . dz II6. x(n1) ).n).Al is onetoone. n) and satisfies the condition t t 'r. xn)space.17) both satisfy the differential (I+ x2) dz .. ... r. ri) satisfying the initialcondition y(£) = q. q)z . . 6. W) e(t r O("1)(t r t 3O01)(r)I<p (j=1. . . xl. yam) in a domain D C IIPn+1 Also. 171 be a and that (x. Set A = {(1. x .. 115.. x(r) = SI..i) by is also differentiable with respect to S. 4.x(n1)) and (t. ti.. £.. equation: 8 '77) and z = 8¢( Bin . Show that there exists a positive number p such that (i) the initialvalue problem x(n) = f (t.. x. find (i) the unique solution y = O(x. {n) is continuous in (t.. r... 1 : if E Do}... let y = (x..e0(t). x1..2. 5(x. . . then (c) if we denote the inverse of the mapping ¢(1. onto. (ii) the partial derivative 84(x. continuous.x'. . n) at x = (iv) 190(x. x.EXERCISES II 37 114.. n) ... .) on an open set A in the (t..n). x(n1) (r) = n has a unique solution x = {n) on the interval 20 if r E Zo and (ii) the solution x = qi(t. (b) the mapping 4(1.. .. ) (j=1.r) : Ao .t (v) a0(x. and differentiable with respect to i in Do.. . . Assume that f (t. xn) is a realvalued.x. . and continuously differentiable function of (t. Ao.0On1)(t)) equation x(") = f(t.2. rl) at x = am(x.2xz = 4xO(x. Note that we must have (0.. y) such that p(0) for 0 < x < 1 and it E Ao. where Do is a domain in R.Oo(t). AI . rl E D for rj E Ao. t1.
y).rnJ= axf ` f is the unique solution of the initialvalue problem 1 ` tt (t. Oo(t). and z = h(t. where c(q) is a differentiable function of 11 in the domain 14 = (q: In1 < p). 1. IyI < p}. x.1(x. (2) Does the same conclusion hold if 0(t. y)). y) are continuously differentiable with re x(0) = 0. y. y(0) = n. x'(0) = . y) + b(x. x'). xl.B. rt)).. . Assume that f (t. A) : 0 < t < 1. y. Let a(x. u'(T) . Set ¢0(0) = a and 0o(0) = b. y). ')(T)I < p (1 = 1. x2) on an open set A in the (t. Set H(x. continuous. y. (iv) u = Lo (t. IyI < 3. IyI < Q} and let F(x. u(0) = 0. Assume also that O0(t) is a realvalued solution of the secondorder differential equation x" = f (t. where a and b are real numbers.y) = h(p(x. y = 9(t. y) = (f (t.n)}. where lb . y) in a domain Al = {(x.17). . x2}space. y) and i..z). x2) is a realvalued. if Q(t.Ln).. x1. z) be a continuously differentiable function of three variables (x. Also. y) : IxI < a:. Izl < 7}. 00'(t)) E A on the interval Zo = (t : 0 < t < 1). O(x. rl) = (d(x. and continuously differentiable function of (t. y)) is the inverse of the relation (x.. z) in a domain Do = {(x.38 II./3) the unique solution of the initial valueproblem x" = f (t. where we assume that O(z. r.. y) = c(y). A) is continuous on the region A = {(t. x. = F(x. Let g(t) be a realvalued and continuous function oft on the interval 0 < t < 1. y) be two continuously differentiable functions of two variables (x.. . a < A < b}. Denote by t(t. x') and (t. dnU t8tn exists and is continuous in (t. let x = f (t. 117. Assume that (t.81 is sufficiently small.2. x(0) = a. let A be a real parameter. spect to (x.y. g(t.. ij).b) > 0 if of 0 for t C013 118. H) 8 and the initialcondition H(0.17) be the unique solution of the initialvalue problem dt = a(x. r. Ft..u(n2)(7) u(n_1) = . and if 8 &2 (t.\) is merely continuous on A? 119. Also. dtn . i7).7. z) : Ixl < a:. DEPENDENCE ON DATA (iii) the partial derivative n) on the domain D = {(t. y) in a domain Do = {(x. (1) Show that. X1. A) is identically equal to zero on A. y) M = F(x. A) is a realvalued solution of the boundaryvalue problem Ez + (g(t) + A)u = 0. y) satisfies the partial differential equation a(x..Sn)) dtj_1 U(T) = 6. y). y) : IxI < r.6.y). y.. u(1) = 0. Show that the function H(x. r. then d(t. {n) : t E To. . tp(x. t1 < T < t2. z(0) = c(+1). L = b(x. Show that (1. y) and b(x.
u. p. Comment. where x0 (s). y. y. z. s). 1110.y. let x = x(t. y.y. q) . and qo(s) are differentiable functions of s on R such that F(xo(s). p. q).y. see (Har2. flq(T. P. s).s) = zo(s). OF dp dt dq dt 8x (T. at (t. (x.zo(s). pp. z. s)) = 0. p.go(s))=0.yo(s). Differentiate H(x.y.y) with respect to (x. dzo(s)=Po(s)ds ds (s)+go(s)dyo(s) ds on R.p.s) + q(t. . s). F(x. y(t. z.s)ay(t. s). y.s) = qo(s).s) = yo(s). y. s) 5 (t. q) exists. y = y(t.q) + gaq(x.z. s). This is a traditional way of solving the partial differential equation For more details. z.p.q).8) as as as long as the solution (x. z(t. s). z.P. po(s).Po(s). yo(s). q = q(t. z. p(O. y. Show that F(x(t. q). z = z(t. y(O.q) E 1R5. p. z(O. Let F(x. q(t. q). p.z. s). q) .s)L(t. P. p. z.s) = xo(s).s) fls (t. = P(t. q(O. q) be a twice continuously differentiable function (x. q) OF OF OF 8y satisfying the initial condition x(O. P. s).q) for (x.u. s). _ OF OF OF dt dz dt = pij (x. where p = 8 and q = 131143]. y. y. s) = At. Also. zo(s).s) = Po(s). p(t.q az (x.EXERCISES II 39 Hint.y). s) of be the solution of the following system: dx dy  OF (x+ y. s) + q(t. z.P 8z (x. z. s) flz(t. q) = 0. p = P(t.P.
y. x.40 H. Show that we can solve the partial differential equation Oz Z + H t. . 8x ' dt 8H du 8H dt t= 8H q .. p. q) in RI. Let H(t. x. y. y. _ OH = 6T. x. p. 8H (LL dq _ _ 8H W. 8z\ =0 by using the system of ordinary differential equations dx 8H 8p' dy dt = dp dt dz = u + pp + q8q. DEPENDENCE ON DATA II11. q) be a twice continuously differentiable function of (t.
1111.1. in order to create nonuniqueness. 3/2 (S. Topological properties of a set covered by solution curves of problem (P) are explained in §§III2 and 1113. t < to.1. and (S. [Kn] ). As already known. The main result is the Kneser theorem (Theorem III24. Some examples of nonuniqueness are given in §III1. we explain maximal and minimal solutions and their continuity with respect to data.3) y(t) 0. ] I .y1.1. f (t. t < to 41 .1. Example III11. y) must be chosen so that the Lipschitz condition is not satisfied. 2 3/2 t > to.CHAPTER III NONUNIQUENESS We consider. An application of the Kneser theorem to a secondorder nonlinear boundaryvalue problem will be given in Chapter X (cf. cf. The initialvalue problem (III. §X1). Therefore. y) satisfies a Lipschitz condition (cf. in this chapter. Theorem I14).1) y(t) = 0 (oo < t < +oc). problem (P) has the unique solution if f'(t.1) dy dt = yt/3 y(to) = 0 has at least three solutions (S. [3(t .to). using differential inequalities.to) 0. four examples are given to illustrate the nonuniqueness of solutions of initialvalue problems.2) y(t) _ [3 t . an initialvalue problem dy (P) dt = f(t. Examples In this section. In §1II4. we derive a comparison theorem to estimate solutions of (P) and also some sufficient conditions for the uniqueness of solutions of (P). without assuming the uniqueness of solutions. In §§III5 and 1116. t > to.
1. The differential equation for family (111.1.3).1.2) y = sin t (oo < t < +oo) and translate (111.1. the relation v = sinu . we can derive the differential equation for family (111. These lines are envelopes of family (111.1.2) and (S. NONUNIQUENESS (cf.5) dt = y(to) = 0 has at least two solutions (S.t = sin(t .4) dt = 1OS[G(yt)(yt)1. In fact. Since G(2n7r) = 0 and cos(2n7r) = 1 for every integer n. the region bounded by two solution curves (S. solution (S.1) is the unique solution of problem (P) for t < to.c).42 111.1. Solutions are not unique only fort ? to. . where c is a real parameter.v.1.1.c) + c. By eliminating c from the relations dt = c os(t .3) is given by dy (II1. FIGURE 1.2) along a straight line of slope 1.u is strictly decreasing.c) . Example 11112. In other words.u can be solved with respect to u to obtain u = G(v) . where n is an arbitrary integer.(t .1) y(t) = 0 (oo < t < +oo). where G(v) is continuous and periodic of period 27r in v. y . and G(v) is differentiable except at v = 2n7r for every integer n. The initialvalue problem (111.3. in this case.1.1. Figure 2). Note that. Figure 1). Example 11113. consider a family of curves (111. differential equation (111. since sin u .3) y = sin(t . Actually. FIGURE 2.3) (cf.1.3) is covered by solution curves of problem (I11.1. Consider a curve defined by (111.4) has singular solutions y = t + 2mr. G(2n7r) = 0 for every integer n.c).1).1.
)2 . Figure 4).7).1.E. (S. Consider the following two perturbations of problem dy = + E. (cf. Figure 5 shows shapes of solution curves of differential equation (111. t > to t < to (S. EXAMPLES and t. the unique solution of problem (111. (S.3.7) is an increasing function of t.5). but it does not reach y = 0 due to the uniqueness.1.2) y(t) 4(t . Note that nontrivial solution of (111. . y(to) = 0 dy _ y2 y2 + C2 lyl y(to) = 0.0)2.3. FIGURE 3. where a is a real positive parameter.3.1. (cf.2) is covered by solution curves of problem (111. In particular.1.1) and (S.1.7).3.6) is given by E J4(tto+2VI .to)2. The region bounded by two solution curves (S. 43 4 (t  t > to t < to . On the other hand. Figure 3). Each of these two differential equations satisfies the Lipschitz condition.1) is the unique solution of problem (111.3.3) y(t) = 4(tto2f)2 + E. 1.
Figures 6A and 6B show solution curves of these two differential equations. FIGURE 6B. In other words.10) dy = dt 1 . Observe that each of these two pictures gives only a partial information of the complete picture (Figure 6). .yz and dy=. FIGURE 5. Generally speaking.9) with two different values of c intersect each other. Figure 6).ly2. FIGURE 6A. 2 is given by (111. y = 1 and y = 1 are two singular solutions. NONUNIQUENESS y FIGURE 4. a differential equation without uniqueness condition can be regarded as a branch point in the space of differential equations (cf.8) actually consists of two differential equations: (III. Example 11114.44 III. y=I y=I FIGURE 6. Also. we can create two drastically different families of curves by utilizing two different smooth perturbations. starting from a differential equation which does not satisfy any uniqueness condition.1.9) where c is a real arbitrary constant.1. Two solution curves (111. dt Each of these two differential equations satisfies the Lipschitz condition for lyI < 1.8) d) +y2=1 y = sin(t + c). The general solution of the differential equation (1II.1. [KS]). This phenomenon may be explained by observing that (111. respectively. 1. the uniqueness of solutions is violated (cf. Hence.1.
the complete picture (Figure 6) is obtained.1).12) is parameterized as y = sinu. Each of Figures 6A and 6B is a local picture. oo < t < +oo} (cf.13) can be regarded as a curve on the cylinder {(t. w = cos u. w = cosu.2.2. every solution of differential equation (III.1.y)plane.11) becomes (III.1. Iy1 < +oo }. FIGURE 7.2) S2 = {(t. THE KNESER THEOREM 45 We can regard differential equation (111.1) exists on the interval Zfl = {t : a < t < b} if (to. y) : a:5 t < b . Figure 6 is the projection of this curve onto (t. If circle (111.1) dt = f(t. we obtain a global result. we generally use a covering of the manifold by open sets. differential equation (III. 1112.2. To study a differential equation on a manifold. If these two pictures are put together. Under this assumption. oc < u < +oo (mod 2w).2.y) under the assumption that the R"valued function f is continuous and bounded on a region (111.1.1.2.13) d=1 or cos u = 0 .1. The main concern in this section is to investigate topological properties of a set which is covered by solution curves of differential equation (111. Putting those local informations together. Figure 7). w) : y =sin u. We first study the differential equation on each open set (locally). Solution curves u = t of (111.11) dy dt =w on the circle (111.8) as a differential equation (111. y.1. In a case such as this example. y"(to)) E f2 for some to E Zo (cf.12) w2 + y2 = 1. Theorem 132 and Corollary I34). The Kneser theorem We consider a differential equation (III. a differential equation on a manifold would give a better explanation. .1.
.
. The solution 15k(t.+oo i+00 urn 1Pk. F1) = Since the family ilk) : k = 1. 2. = po exists.. ¢(s))ds.c . .r) Let { fk(t.. 2.r... µ) (k = 1. µk).. where we assume without any loss of generality that r < c.r) = ¢'1(c) E F1 and t k(c. } is bounded and equicontinuous on the interval Io. .µ) be the unique solution of the initialvalue problem k El oo = fk(t. y). 02(c) _ 6.3) SS(A)=F1uF2. where M is a positive number independent of (t.r)) = &c) E F2. Lemma I24). and 42(r) _ .2. y(r+ Iµ4) = h(µ).. Figure 10). 2. This is a contradiction (cf. y1I < M for (t. If A is compact and connected. (t. y) E f2. _ +oo. F1nF2=0. there exists a subsequence j = 1. So.(A) but * (c) 4 F1 U F2. Since &(c. + {µol distance(¢(c). .. } be a sequence of R"valued functions such that (a) the functions fk (k = 1. Figure 9).2. jµj 5 c . 2.. yl and k. t). there exists. then SS(A) is also compact and connected for every c E To. Set h(µ) _ 1(r+11) for 05µ5cr. Case 1.) are continuous in µ for 1µI < c .r. Proof. we prove the connectedness only. A contradiction will be derived from the assumption that there exist two nonempty compact sets F1 and F2 such that (111.2. . there exist two solutions 1 and 4'2 of (111. (cf. 1) such that 01(r) _ .r and that r'k(c. Note that the functions Z(rk(c. ra+A = f'uniformly on each compact set in Q (c) (cf.r} is bounded and equicontinuous on the interval Io. } such that (i) lim k. (b) I fk(t.2...µ) is continuous in p..(c . and (iii) s+oo ). Suppose that A consists of a point (r. y) : k = 1.. THE KNESER THEOREM 47 Theorem 11124 ((Kn]). (ii) lim µk. distance(!& (c. If t'1 E F1 and 2 E F2. for each k. µk1) = 0(t) exists uniformly on To. 2. The compactness of SS(A) was already explained. It is easy to show that fi(t) = K(AO) + ft lµo1 < c . a real number µk such that IµkI < cr and d. .. f (s. let &(t. F1) =2 Hence. for { &T + JJUJ) .. Let d be the distance between two compact sets F1 and F2.. µ) is continuous for t E Zo and iµl < c . For each k. (c) E $.) are continuously differentiable on 0. It is easy to show that the family k= 1. 01(c) _ 1.
As in Definition 11121.yj: tETo. where {c} x F. Also. The set Ro is bounded.((r. Choose a point (r. Since Ro is bounded.48 III. ly7 ? 2M.1) under the following assumptions. .2. Case 1). If a compact and connected subset Ao of 12 satisfies Assumptions 1 and 2. y) E Ro) for c E Io.((T. A set Ao is a compact and connected subset of the region Q such that if ¢(t) is a solution of (111. set $S = (9: (c. consider differential equation (111. denote by Ro the set of all points (t.yl t 9(.. Proof. then the set Sc is also compact and connected for every c E I. yl : y" E Fj } (j = 1. NONUNIQUENESS !=c t=c FIGURE 9.. we must have AI n A2 0 0.4). the two sets A.2. Sc((T. Assume (111. set AI = AnR((c) x. Case 2 (general case).3) as in Case 1. Iyl SM) .Fl) and A2 = A n R({c} x F2). 0(to)) E Ao for some to E To. 2) are compact and not empty. Since A is connected.2. Now.2. To obtain such a refinement of Theorem 11124.2. This is a contradiction (cf. Theorem 11125.2). there exists a positive number M such that Ro c {(t.S)) nF1}U{S.. (j = 1.2.4) (to.Fi 36 0 (j = 1. 0 In order to apply the Kneser theorem (i.e. y) if t E To. if j tETo.6) n12} andS. 0= f ( t. Set f(t.1) satisfying condition (111. Then. we prove the following theorem. Iyj<2M. it is desirable to remove the boundedness of f from the assumption. 2). Assumption 1. = {(c. Note that A = AI U A2. FIGURE 10. {) E AI n A2. Then.1) satisfying (111.yr) E Q such that y = fi(t) for some solution 4 of differential equation (111. then fi(t) exists on To. Assumption 2.6) = {Ss((T. ))n. Theorem III24).
we can prove the following theorem. Any kind of shapes can be made by a wire. Theorem 11127.1) with initialvalue y(to). 0 dt = g(t. the proof is finished. The theorem follows from Theorem 11124.2.1) on an interval a < t < b. = {EE E R" : l e . In such a case.2) n = {(t. Since Bl is connected and contains ¢(t1). we must have Bl = if Bl n AI contains only (t1).1) dt = under the assumption that the entries of the R°valued function fare continuous and bounded on a region (111. let fi(t) be a solution of system (111. for any given positive number e. the local existence theorem (Theorem 125). In this way.3.)I < 6. If Bl n Al contains more than one point. Also. < t :5 tj+l if g(t) satisfies (111. Set A. Set B2 = {9(t2) : g(ti) E Si). Since if B2 n A2 contains B2 is connected and contains (t2).2.2. we must have Remark 11126. Assume that the entries of an R"valued function At' In are continuous in (t. Then.3. In fact. we must have B2 = only (t2).2.¢(t)) E Do on the interval a < t < b.i(t.1) such that (i) (t. the proof is finished. Assume that (t. there would exist a solution ¢o(t) of differential equation (111.2. which is a refinement of Theorem II14. Using Theorem 11124. Otherwise. contains a connected set Sl containing 0(t1) and more than one point. 0 III3.v1'(t)l < e on the interval a < t < b. g) is continuous and bounded on Q. e. y). we can complete the proof of Theorem 11127. the set SS(A) needs not to be a convex set even if A is convex. 1) and Ib"(t. (iii) a Y(r) # fi(r) for some r on the interval a < t < b. Proof. (ii) JO(t) . lyi < +oc}.) .e. . Then.(tj)I < b} and Bl = {y(t1) : y(to) E Ao}.&(to)) E Ao for to E Zo and (tt. define R(Ao) and SS(Ao) by Definition 11121. y) : a < t < b . Using the differential equation Ro = 1Z(Ao). yam) in a domain Do E Rn+l.do(tl)) V Ro for tl E ToThis is a contradiction.1) such that (to.¢(t)1 < e for t. subdivide the interval a < t < b (i. Therefore.3. SOLUTION CURVES ON THE BOUNDARY OF R(A) 49 Then. Solution curves on the boundary of 1Z(A) We still consider a differential equation (III. g(t. then B1 n A. the proof is completed in a finite number of steps.. there exists another solution '(t) of (111. where g(t) denotes any solution of (111.1(t)) E Do on the interval a < t < b. and the connectedness of SS(A). In such a case. Using an idea similar to Step 2 of the proof of Theorem 1112. a = to < tl < < tk = b) in such a way that [y(t) .
Lemma 11131. Hence...(B).. Then. (B) = 81 U S2 and S. S. = +oo and j+oo lim bk. Note that SI(B) n 4 (A) 54 0.3. FIGURE 11.. 0 The following theorem is the main result in this section which is due to M. This implies that S2 is not empty. observe first that Sam({(a2. 2.. 2. j = 1. and (iii) ij is on the boundary of Sc2(A). t) (i.. Then.2. ) of solutions of (111. Then. Since S.. (A). Let rj be on the boundary of $..50 M. Therefore.1) exists on the interval To = {t : a < t < b} if (to. e. Hukuhara (Hukl( (see also (Huk2J and [HN31). SI(B) contains at least a boundary point of S0(A).3. (A) : k = 1. Figure 11).. Set S. Figure 12). To prove that S2 is not empty. (A).) such that lirn k. . (t) = Q(t) exists uniformly on Zo.. since S..(A). The main concern of this section is to prove the existence of solution curves on the boundary of R(A).. and mk(co) 0 SS(A). We start with the following basic lemma..(A) (cf. Therefore. (B) does not contain any boundary points of S. under this assumption. S2 = {y : y' E Se.. there exists a subsequence { Jk.(8) contains a boundary point of Sc.y(to)) E ft for some to E I. the proof of Lemma 11131 will be completed (cf. If S2 is not empty. (A) and another point which does not belong to S. } is bounded and equicontinuous on the interval Zo. S. d(co) E Sc.. ) and a sequence (¢k : k = 1. there exists a sequence of points {Sk V Sc.. The limit function ++oo is a solution of (111.. 2. NONUNIQUENESS As mentioned in §1112. (5) is compact and does not contain any boundary points of SS (A)... (B) and Ii 0 SS(A)}..1) such that ¢(c2) = tj. (A). This is a contradiction. we must have ¢'(co) if $. every solution of differential equation (111. Then. Suppose that (1) the set A consists of one point (c1.3. if it is proved that S2 is not empty. since S. Also. Define the sets 1(A) and SS(A) for a subset A of ) by Definition III21. FIGURE 12. . The family k+oo k = 1.(A) = 0 if 0 SS.()}) nS.. = 4 (B) n S. the set Sc.. $2 is closed and bounded. It is known that S1 is a nonempty compact set..(B) contains a point in Sc. f)}). (B) is connected. (ii) a < cl < co < c2 < b.. Let B = Proof A contradiction will be derived from the assumption that SI(B) does not contain any boundary points of SS (A). (A).(A). n S2 = 0.1) such that lira (k = '1. O&2) = (k. . A = {(c.
we have {Tk. The family {4k k = 1.. k = 1.2.$(t)) is on the boundary of C2.2...t. e 1 Tk.l.. . SOLUTION CURVES ON THE BOUNDARY OF R(A) 51 Theorem 11132.... 1...1. .. there exists a solution of differential equation (M..1) such that (i) (Cl) = E.l...2. (ak) &(C1) = S.). where f (Cl) 2k .. 4fiG(C2) is on the boundary of R({(cl... is on the boundary of R({(ci. 2.2kI < Tk.O)}).t : e = 0. Then.. exists uniformly on 10. .e e 2k+1}.3.3.1..3.. .)}).2. &(C2) = 1. the curve (t. there exists a subsequence {&. Since Tk+1. is a solution of (111.+oo (ao) (C2) (Qo) (Tk.&(Tk.. Hence. < Tk. Since the set {Tk.2. (ii) Proof. : j = 1..t : e = 1..2....2k. Set k =tt jok (k = 1.m .. } of subdivisions of the interval cl < t < c2 such that f Ok : C1 = Tk. 2k .3.2... = +oo and that j +00 lira ¢k..t = C1+2k(c2cl).2" = C2.t)) is on the boundary of where e = 1. (Qk) (Tk. 2. (p) (Cf..O < Tk. (2) is on the boundary of Then..1) such that i. Suppose that (1) a<cl <c2 <b.1 < . k(Tk.0 . } is dense on the interval for cl < t < Cl < t < c2. k=1. 2k} C {Tkrl. Then.. e=0... 2.. < Tm1 < Tm = c2 of the interval cl < t < c2.t)) is on the boundary of R({(c1i. } such that lim k.1. 2k . Lemma 11131 and Figure 13.. there exists a solution ¢o of (111.1. where e = 1.. For a subdivision A : CI = To < Tl < .))) for cl < t < c2. Choose a sequence {ok : k = 1.1 and k = 1.1) such that (a) O0(CI) _ . } is bounded and equicontinuous on 10.2. (C2) = 6..21 = Tk....t..) FIGURE 13.
02(t)} for t E Zo.1) such that (t. y(c) = 77 on the interval Z.4i(t)) and (t. . 1114. y) is realvalued and continuous on a domain Din the (t. Theorem 11132). and assume that f is realvalued. the conclusion of Theorem 11132 does not hold on an interval larger than cl < t < c2. Hence. 02(t)) E D for t E Zo.02(t)) of R({(c. Figure 14). Set lo = {t : a < t < b}.y)plane.4. oo < y < +oo}.1) (cf. ¢1(t)) E D and (t. Theorem III24). a < t < b} (cf. Then.17)}) = { y E R : bl(r) < y < &2(r)}. Observation 11141. Assume that f (t.n)}) = {(t. In general. FIGURE 14. Note that we do not assume boundedness of f on D. where t and y are real variables. we explain the basic properties of the maximal and minimal solutions. y).4.rl)}) are solution curves of differential equation (111.2) dy dt = f (t. r. y). let us make some observations. Before we define the maximal and minimal solutions more precisely. The two boundary curves (t. Sr ({ (c. Maximal and minimal solutions Consider a scalar differential equation (111.y) E R2 : ¢1(t) < y < 02(t).52 III.4.1) on the interval Zo.) }) is compact and connected for every r E I and every real number r) (cf. The solution 02(t) (respectively 01(t)) is called the maximal (respectively minimal) solution of the initialvalue problem (111. bounded.1) such that 0(c) = n satisfies the inequalities 01(t) < ¢(t) < ¢2(t) on Z. Every solution ¢(t) of (111. Set 0(t) = max {01(t). Q(t) is also a solution of (111.1) dt = f (t. Let 01(t) and ¢2(t) be two solutions of differential equation (111.y) : a < t < b.4. This implies that there exist two numbers 41(r) and ¢2(r) such that ST({(c.4.4. Then. and continuous on a region H = {(t. R({(c. Choose c in the interval I = (t : a < t < b}. NONUNIQUENESS Remark 11133. In this section.
.3) lim do(t) ..4. r).5) is satisfied.4. the sequence {4'k : k = 1. r) is a solution of (111.O(to) t.4. we prove that (111.tol < J. we may assume that lim 4'k(t) = 0(t.4. D.4. (ii) above). and To be the same as in Observation 11141. Similarly.to I < 6. r) of (III. r) exists uniformly on the interval It . 0(t) . we prove the existence of a solution ty(t. } from the family F so that lira thk(r) = 40(r). r) = 0o (r) and yJ(t. tJ'(t. to)} for Jt .Oo(to) = f (to. y). Figure I5). Then. Set ty(t) = max{t/.¢(to)).4. if d(t) is a solution of (III. 00(t)) e D on To. Therefore. We may assume that (t. by the Mean Value Theorem on O. Hence. 2.tol < 6.4. Choose three positive numbers po.to and 0(t) .to j = 2. 0 t.0'(to). Proof. Then. As in Observation 11141.4i(r) < p for some r in the interval It . 4(t)) E A on the interval t .to for each fixed to E To. (ii) we have (t. p.01(to) = 02(to). v/ (t)) E A for It .tol < b. 02(t)). and (3) (t. . bo(to)) t . Assuming that there exists a real number K such that 0(t) < K on lo for every 0 E F. 2.1) k»+oo such that (1) V)(r) = oo(r) and ty(to) = 00(to).. To do this. (111.4) t»to lim 00(t) . we have t .¢(to) = f (r.4. 03 (r) _ ¢j(to) + f (a. 0. MAXIMAL AND MINIMAL SOLUTIONS Proof.3) holds if 02(to) > &(to). then there exists a positive number 6 such that 4(t) = 01(t) for It . Hence.4.1) such that I (111. hk(t)) E A on It . In this case. Hence. 01(t)) and (t.. where j = 1 or f o r each fixed t E To.tol < b.to Let f (t.to) for some a E To such that a to as r .(t.1) such that 0 < 0o(r) . Then.4.4. (111.1) on To. we prove that (111. (2) iP(t) < 4'o(t) for It .0(to) = 0'(t) .tol < b.3) holds.1) such that (t.4o(t)I < po} C D.1) and that (111. Assume also that (t.to.tol < b. y) I < M on A. select a sequence {4'k : k = 1. t . Also.tot < J. r) < 4o(t) for it .4. .4. v is a solution of (111.tol < 6 (cf. 53 For a fixed to E To. equation (111. Since f is bounded on the two curves (t.(t).Oj (a)) (7 .to = f(to.to If ¢1(to) > 02(to). There exists a positive number Af such that I f (t.. Iy . Let us fix a point r on the interval It .tol < b. 4'o(t) is a solution of differential Observation 11142. First.3) follows immediately. depending on t. we consider only the case when '(to) _ . Consider a set F of solutions of differential equation (111. and S so that (i) A = {(t. there exists r E To such that r r to as t .(r)).4. y) : t E To. (111.to t .5) P(r. It is easy to show that V'(t. )is bounded and equicontinuous on It . set 00 (t) = sup{Q(t) : ¢ E F} for t E To.tol < S for Y+ o0 k (cf. 0(t)) E D on To for every ¢ E F.
.to to as r " to. y(r) = r) together with problem (1114.6n) !LY dt = f(t.4.tt'(td)J < for some a such that Ja .6{) on a subinterval r < t then r" of Z. The following two theorems are stated in terms of maximal solutions.6 ) dt = f (t. there exists a positive number So such that the maximal solution 0. In the first of the two theorems. (111. we consider another initialvalue problem (III.ti(T) .tol < 6 and that or Mba . Suppose that the maximal solution tpt of Problem (IIL4.to T . Fjrthermore. 1:) is fixed in D. Similar results can be stated also in terms of minimal solutions. Definition 11143.tp(a)) T.6{) exists on an interval Z = {t : r < t < r'}.4. O0(T) . tpf(t) < ip.4. Since 10(a) . 0 Using this solution tp(t).6() is called the maximal (respectively minimal) solution of problem (111. we obtain Let us define the maximal (respectively minimal) solution of an initialvalue problem {III.54 III.4.(t) uniformly on Z. ii). NONUNIQUENESS Y= #o(') Y s V(1) FIGURE 15.6r1) exists on I for t.(t) on I for £ < 17< + 60 and limipR(t) = tb. {1(t)) E D on Z.¢040) = t.1 of problem (III 4. (b) if 4(t) is a solution of problem (II14.6{) Theorem III44. < rl < t + b0.6() on an interval I = it : T < t < r' } if (a) tp(t) is defined on I and (t. Then. Such details are left to the reader as an exercise. y(r) where f is realvalued and continuous on a domain V in the (t.t01. A solution tp(t) of problem (111.y).4.0(t0) = f(a.4) can be derived immediately. y)plane and the initial point (T. 0(t) < y(t) (respectively ¢(t) > P(t)) on r < t < r"..
y)I is bounded on A(p) for a sufficiently small positive number p.4. if (t. ) and {rk : k = 1. 2. . ?Gf(t) 5 y(t) < p on Z.4.7) 0(t) < . hence. and r < rk < r'. there exists a real number r(p) such that rk > r(p) > r (cf. lim qk = t. since 0(ro) = i (ro) + p..8) (4) ro?r(p)>r. we have A(p) C 1). For a sufficiently small positive number p. Tk St ST. there exists another positive number 6(p) such that (111. MAXIMAL AND MINIMAL SOLUTIONS 55 Proof Set 0(p) = {(t. } is bounded and equicon tinuous on the interval Z. there exist two sequences {qk : k = 1 . f (t)+p . '' (t)). we can assume without any loss of generality that (1) k.. Otherwise. there exists a positive number 6 such that.4. t= TA FIGURE 16. and. we must have 0(t) < af(t) on the interval r < t < To.617) if < ' < t.4. First. It is easy to show that the sequence {0k W : k = 1. 11)k (t ) T<t<Tk. Hence.61:) on 7. This is a contradiction. and (3) Ok(t) < vf(t) + p for r < t < rk. for a given positive number p. } of real numbers such that (1) qk > {. .4. and O(ro) _ 'af(ro) + p. (2) 0&(r) = nk k +oo and Ok(Tk) = v((rk) + p.4. .'(t)±p for r < t <7". Hence.7) holds for any solution ¢(t) of problem (III.61?) defined on a subinterval r < t < r" of I satisfies (III.. Furthermore. every solution 0(t) of problem (111. 2...4. max(0k(t).7) holds.+oo tim Tk = rp exists. 2. Y=W4+P t=r Set 1 I Y Wt I I i 1='. + 6(p). we prove that for a given p > 0. (111. (2) tim 10k(t) = 0(t) exists uniformly on Z. yt(t) < y < ot(t) + p}. Since 104 is the maximal solution of (III. Thus. Note that (3) d(r) _ It is also easy to show that 0(t) is a solution of (III.. Figure 16). 0((t)). if f < q < { + b.4. Now. y) : t E Z..4. . using max(4(t). we can extend 6(t) on the interval Z in such a way that (111.6t) on the subinterval r < t < ro of Z.
y) by f(t.4. We prove the following theorem.4.4.0.. e) < t1(t)+p on I. (t) of problem lar.8).4.(t) + p on the interval I.(t)). 2. y) + E. If the maximal solution tt'(t) of problem (111. every solution ¢(t. (111. ) and {rk : k = 1.) on the in terval I = {t : r < t < r'} exists.ty+(t)+p). for any positive number p. y(r) _ exists on the interval I. tr (t)} + E dt on I (cf.56 III. 2. e) of the initialvalue problem = 9(t. } of real numbers such that (1) ek > O and k lim Ek = 0... y) = f (t. Then. t E I.4. Hence. Set t[i. f (t. E) on t E I. we complete the proof of the theorem.4. Definition 11143).. y(r) where (t. 104(t) < 1. Theorem III45. y) + E.9E) exists on I and tp(t) < d(t) < y'. consider initialvalue problem (III. oo < y < +oo}. t EI. We prove that for a given positive number p. y). .. Then.6{) together with another initialvalue problem (III. Hence. is the maximal solution of (III. y)plane. we have 0(t. Letting p . 0(t)) = 9(t. d.9E) dt = f (t.6r7) on I. 9(t. every solution d(t) of (11!.11) t'(t) < p(t. Note that (III. g is continuous and bounded on the domain {t E I. NONUNIQUENESS Let F be the set of all solutions 6(t) of (III. then exists the maximal solution (111.) E V and f is a positive number. 1. t E I. there exist a real number r(p) and two sequences {Ek : k = 1. Proof The maximal solution tI'(t) satisfies the condition (t.4.10) d0(t) = f (t. +oo .4. tl'(t)) < 9(t. Furthermore. Otherwise. ty. there exists another positive number e(p) such that for 0 < E < E(p). then.4. Assuming again that f is continuous on a domain D in the (t. = tV uniformly on I. Figure 17). y < rif(t).9E) on I and lim tL. there exists another positive number e(p) such that if 0 < e <_ E(p). Define a function 9(t.r(t) = sup{¢(t) : 0 E F j for t E I.. do(t) < y < 0(t) + p.4.6.1(t) < ot(t) + p if t: < rt < t + 6(p). y>V'(t)+p.(t)) E D on I (cf. for every sufficiently small positive number f. In particutf=.671) which satisfy condition (111.>l.
(111. Assume that f (t. MAXIMAL AND MINIMAL SOLUTIONS 57 (2) T' > rk ? T(p) > T and lim Tk = To exists. y5(t)) E Q). 0 In the proof of Theorem 11145. Figure 18). every solution 0(t) of the initialvalue problem dy dt = f (t. Y = vKW) Y= v= #(z) FIGURE 17. continuous. Using Lemma 11146.4. Therefore. (t) < w+ (t) on Zo Proof of this lemma is left to the reader as an exercise (cf. and differentiable on T0. we prove the following theorem due to O. FIGURE 18.e. y) is continuous on a region fl = {(t.4.12) w+(a). (ii) j.4. (k) < V. y(a) _ exists on To and w_ (t) < 0(t) < w+(t) on 10 (i. Assume also that dw+(t) dt dw J > f(t. y) is continuous on a region 12 = {(t. y) (t) < y < w+(t). on the interval r <_ t < ro < T'.(t) + p for r < t < Tk. continuous. the maximal solution 01(t) and the minimal solution 02(t) of problem (111. 11) was derived from (111. k+00 (3) 0(7k.(t) 5 w+ (t) on 4. (5) lim 0(t. Thus. Theorem 11145 follows immediately. and w_ are tealvalued.10) (cf.w+(t)) on Zo. y) w_(t) < y < w+(t). Assume that f (t. Then. Perron (Per2j. t E Zo}. and differentiable on 4. (4) 0(t. O(t) is a solution of problem 0(ro) = Ty(ro) + p. In particular.12) on lo exist and w_ (t) < 02 (t) < ¢.(t) < w+ (t) on lo. whereto = (t:a<t <b) and (i) w. In a similar manner. (ii) w. t E TO}. Theorem 11147.4. y). .y(t) + p on I for 0 < e < e(p). it was proved that 0(t) S 0(t. ek) = 0(t) exists uniformly on 1. ek) = IP(rk) + p. Since Then. e) < . this is a contradiction. we can prove the following result.4. where l0 = {t : a < t < b} and (i) w+ and w_ are realvalued. (t. Figure 17). Lemma 11146. (t) dt < Pt"'(O) on TO and w_(a) (111.
t E To. y) = f(t. g is bounded and continuous on the region {(t.(t). NONUNIQUENESS Assume also that dw+(t) dt dw > f(t .w?(t)} + E > g(t.e.E < f(t. The maximal and minimal solutions given in this section are also defined and explained in [CL..E))0. we d (t) dt Hence. 4548] and f Har2. W_ (t)). Then. e) on Zo (cf. Let us introduce the basic assumption. W W+ (t).W(t)) . dt (t) < f(t. t E Zo. there exists a solution Q(t) of initialvalue problem (111. 1115. p. 251. Prof. i.W_(t.58 III. w_ (t. ¢(t)) E Q .E) _ dt dW+(t) dt + ( > f(t.e(t . y < W. Lemma 11146). c) < ¢(t) < w+ (t. y).e)). t E lo.w+(t. A comparison theorem In this section. exists on Za. Then.E < g(t. y) : t E 10. (t) + E(t .a). f (t. Then.w( t) ) 4  and w_ (a) < 4 < w+(a). every solution ¢(t) of the initialvalue problem j = g(t. .W+ (t ) ) on on 10. (t. .W+(t)). y). where c is a positive number and t E To. Let us define a function g(t. y) by g(t. f(t.e) = w_(t) . E) dt dw_(t. Letting e complete the proof of Theorem 11147.4. 00 < y < +oo).a) and w_(t. y ? w+(t). y(a) Set "I+(t. Hence. pp. we derive an estimate for solutions of a differential equation by means of differential inequalities. Comment III48.E) = W.}.12) on To such that w_ (t) < Q(t) < W+(t) on To. +(t.
r) of 4.u). u(a) = u0. > 0(s. e) .t'(s. u) > 0 on D and uo > 0.b(t)) E D on To. P(t) on < g on Z. Proof. i. Also let .e)) + e1da. Let t and u be two real variables and let g(t. Theorem III45). If e > 0 is sufficiently small. do(t) dt Then. Then. e) { I for for s < t < s + b(e). u) on a domain D in the (t. e)) . Let us make the following observations: (I) At)I .9(o. 1. e) exists on Zo and lim 0(t.sl < b(e). uo) E D and (t. We first prove the basic theorem given below. Assume that (1) g(t. e) = P(t) uniformly on To (cf.t(a. This implies that Id(t)I < 0(t. Let a be a positive number and let 0(t. Suppose that l (s)I = r'(s. I m(o) I )d and (II) 0(t. u(a) = uo on an interval lo = It : a < t < b}. I$(a)I)I 2 for Iv . e) t4Y(r.Im(s)I < Jt do I ds < f g(o. e) be any solution of the initialvalue problem du dt = 9(t. e) for some s E Z. 14(t) I) E V on Z. e) s . A COMPARISON THEOREM 59 Assumption 1.b(e) < t <s . (3) (5) uo.5. (4) (t. where t > s. there exists a positive number b(e) such that Ig(a. Theorem 11151. u) + e. (2) an R"valued function ¢'(t) is continuously differentiable on a subinterval I = it: a< t <. where (a. u)plane.y(t) be the maximal solution of the initialvalue problem du = g(t.u) be a realvalued and continuous function of (t. i/i(t.+G(o.
'p(a. W(t)l <_ M (em('4) . Iyj) E D if (t.g(a. we complete the Example 11152. FIGURE 19. Note that t t'(t.t) t for t Thus. Letting a proof of Theorem III51. we can apply Theorem 11151 to fi(t) with g(u) = C + Mu.s) a for t>s and t)! C j [g(o. u) and O(t) and that uo > 0 and g(t. yj is continuous on a domain f2 in the (t. If an R"valued function 0(t) satisfies the condition dj(t) dt < C + MI¢(t)t for a<t<b and uo.e(s . Hence.g{O. u) > 0 on D. (0) (t. Figure 19). We still assume that Assumption 1 is satisfied by the function g(t.i) for .1) a < t < b. y7)space.60 111. yI dt under the following assumption: (a) the function f (t.e) . Consider a differential equation (111. Note that the initialvalue problem = C + Mu. y) E S2. (o )I)do . . it is concluded that I (t) < t'(t.e)) . )) . 0 0.WWI > f [g(a. j¢(o)j))do + e(t . v(o.1) dy = f (t. u(a) = uo has the unique solution +G{t) = uoeM(ta) + M (eai(ta) .5. NONUNIQUENESS (cf.f) on Z.
dt aim u(t) = 0 (t.2) d9(t) dt lim 19(01 t. u) > 0 on A and g(t. . y) is continuous on 1 and if I f(t.a r(t) = 0. The main result of this section is the following theorem.6. If the function f (t. Let us consider a problem (111. y"(t)) E Q on Z. (4) g(t. (3) g(t. (5) the problem (111. Iyi) on Q. Assumption 1. The basic assumption is given below. Let t and u be two real variables and let r(t).u(t)).1) on a subinterval a < t < r of the interval Zo such that (t. the following result is a corollary of Theorem 11151.u(t)) E A on Z. w(t). u) : 0 < u < w(t).2) has only the trivial solution y" = 6 on Z. I yl) for (t. y)I :5 g(t. 61 Corollary 11153. Proof of this result is left to the reader as an exercise.6. yj E 0. u) is continuous on the set A = {(t. t E Z}. then problem (111. (t. y) I 5 g(t.5. where S1 = {(t. 1116. If fi(t) is a solution of differential equation (111. fi(t)) E 12 for a < t < T and that jd(a)I S uo.1) du(t) = g(t. has only the trivial solution u = 0 on Z. 0) = 0 on Z. u) be realvalued functions such that (1) r(t) and w(t) are continuous on an interval I = {t : a < t < b}. Theorem 11161. SUFFICIENT CONDITIONS FOR UNIQUENESS (v) If (t. and g(t. then Im(t)I < v' (t) for a < t < T. t E Z}. y) : jyj < w(t).6. Sufficient conditions for uniqueness In this section. we derive some sufficient conditions for uniqueness by means of differential inequalities. Then. (2) r(t)>0 andw(t)>0 on1.6.
c) of the initialvalue problem (III. Since the set a < t < a as a solution of the differential equation . a < t < a. u) on the interval a < t < b.a< 6. we can construct a nontrivial solution uo(t) of (111. To show this.6.6.6.(r)1 u ='Kr' E) L U _Ju=P u u= u0(t) I TV.6.5) can be continued on the interval = G(t. r=a I I I on any subinterval a < t < a of I if it exists r=b I I 1 u= 1 . e) < on this subinterval (cf.3) dt = g(t.5) = g(t. u=0 FIGURE 20. u) : a < t < b. u) + e. u) + e. Using Theorem 11127. El uo(r) U=0 r=b r=a FIGURE 21. Figure 20).3) on the interval a < t < b so that (t. for some a E Z. Observation 2. we first remark that for a given positive number e. u(a) = uo(a) satisfies the condition tfi(t. Observation 1. 0 < u < B} is a subset ofd and that u = 0 is a solution of the differential equation du (111. to. define a realvalued function G(t. This means that (a) min . NONUNIQUENESS Proof Suppose that problem (III. Choose a positive number 6 so that f < aminbw(t) }. u) (g(t.6. u). Then. any solution t(i(t.2) has a nontrivial solution j(t) on Z. u < 0.6.4) 0 < uo(t) < on a < t < a. e) of problem (III. uo(t)) E A(f3) on a<t<b(cf. Figure 21). any solution ty(t. The nontrivial solution uo(t) of (111. Let us make the following two observations. u) by G(t. 1 u > 0. Note that the set A(i3) = {(t.6.3) which was constructed in Observation 1 can be continued on the interval a < t < a so that (111.62 III. Now. a < t <a.
3) such that (t. Suppose that Assumption 1 is satisfied and that (i) an 1R"valued function f (t.6) dt = f(t. on Z. Theorem 11162 follows from Theorem Let us apply Theorem III62 to some initialvalue problems. Let Q(t) be a solution of the differential equation dt = f (t. Proof.b(t)). y) the problem on I = {t : a < t < b} 4(t)1 < w(t). u).4).6. 0 on Do.6) becomes di(t) dt = F(t. Example 1 (The Osgood condition (cf. Since ±L ta r(t) = 0. II1. this contradicts condition (5) of Assumption 1.6.6. (t. t E 1} is contained in D. 92)1 < g(t.921:5 w(t). y) such that the set Do = {(t. (t 1="(t)!) E o and ca r(t) Hill !AL)! = 0.. lun y(t)r ta () has only the solution (t) itself.. Iy. Iyi . Theorem 11162. (t. Set l(t) = z(t) + . Then. 0 Urn From Theorem III61. yl space. Consider a realvalued function g(t.yQ(t))j < g(t. problem (1116.uo(t)) E 0 on I and 0 < uo(t) < ]5(t)l on a < t < a. 91) . Thus. (ii) f satisfies the condition J f (t. .92{) whenever t E 1. we constructed a nontrivial solution u0(t) of differential equation (111.6. u(a) = uo(a) which satisfies condition (111.2. yi) E V.6. y'(t)) E Do 0 on 1. Then. y2) E D. i(t)) = A t ' z"(t) + fi(t)) . SUFFICIENT CONDITIONS FOR UNIQUENESS 63 {t(i(.(t). It is easy to show that j)(t) is a solution of the initialvalue problem du = g(t. [Os])).1. y) is continuous on a domain D in the (t.At' fi(t)) on Z. and (t. u) = h(t)p(u) in the case when (1) h(t) is continuous and h(t) > 0 on an interval 1 = {t : a < t < b}. . we derive the following result concerning uniqueness of solutions.f (f. e) : 0 < e < 1) is bounded and equicontinuous on every closed subinterval of a < t < or.. we can select a sequence {Ek : k = 1. } of positive numbers such that limEk = 0 and IirW(t. Since I1 (t. dylt) (111.ek) = fi(t) exists uniformly on each closed subinterval k0 k0 of a < t < a.
w(t) = K. then the Osgood condition becomes the Lipschitz condition (cf. Therefore.5 u < K. u) = h(t)p(u). (} (5) jo+ p(u) = +oo. (3) p(0) = 0 and p(u) > O for 0 < u < K. NONUNIQUENESS (2) p(u) is continuous on an interval 0 . and g(t. M. il2)1 < 9(t. yam)space.64 III. Then. the general solution of the differential equation . u) = t L a u. Assume that (1) an R"valued function f (t. This limit condition is evidently satisfied. Define r(t). If we choose h(t) = L and p(u) = u. y"1) E D. w(t).g2 l < K. y) is continuous on a domain V in the (t. w(t) = K.. It is sufficient to show that Assumption 1 is satisfied by three functions r(t) = 1. Example 3 (The Nagumo condition). (B) lira+ u(t) = 0. Let ¢1(t) and 42(t) be two solutions of an initialvalue problem = f (t. I FU (t)) d t)dt = Jo h(t) dt.Y21) = 1721) whenever t E Z. Conditions (1). since ¢2(a) = 41(a) and r(t) = 1. and that lim 1&t) 1(t)) ta (t) = 0. (t. r( 1 Then. T11 E D and (t. This contradicts condition (5). (t. I171 . and g(t. where L is a positive constant. (4) r a+ h(t)dt < +oc. and (4) of Assumption 1 are also evidently satisfied.f (t. 2(t)} E D on the interval Zo = {t : a < t < b}. t Let u(t) be a realvalued function such that (C) dutt) = h(t)p(u(t)) on r < t < o. (2). (3). and (t. Example 2 (The Lipschitz condition). p1(t) = ¢'2(t) on Zo. u) by r(t) = (t a)'. 9(t. (ii) f satisfies the condition If (t.1%1) . u) where A is a nonnegative constant and K is a positive constant. it suffices to prove that condition (5) is also satisfied. where K is a positive number. = g(t. y"(a) _ i such that (a. y2) E D. Then. Proof. Assumption 2 of §I1). Iii . Assume also that u > 0 and t > a. p1(t)) E D. (A) 0<u(t) <Kon asubinterval r<t<aof I={t:a<t<b}.
Problem 4. w(t). then ta Remark 11163.6) is more general than an initialvalue problem. the problem {!) = sin (i). Therefore. 191 921 _ whenever a < t < b. In particular.f (t. t = 0. the reader must notice that problem (111. i and j _WT = (a) = f (a. whereas we can use the Nagumo condition at r = 0. 0 if t 1 0.02(t)] = 0. g(a) = # such that a (t. and g(t.Y2)EV. y)space. Note that.0. where c is an arbitrary constant. 48601 and [Hart. Then.'qj.6. it was assumed that f (t. The sufficient conditions of Osgood's [Os] and M. Assume that (i) f (t. Therefore. $1(t) = &t) on 1. pp. Answer. (ii) f satisfies the condition j f(t. / \ Note that t sin I tz I . y). For example. f (t. Remark 11164.a)'. pp. if y(r) = n has one and only one solution. llm  t0 t = 0 I has only the trivial solution y(t) = 0.t sin (L2) = yl t cos (fi) for some y on the interval between y1 and y2. yr) is not continuous at t = a. we can apply Theorem 11162 even when f (t. In order to apply Theorem 11162 to the initialvalue problems in Examples 1 and 3. Actually. we can use the Lipschitz condition for r . we derive the following result due to M.2(t) are two solutions of the initialvalue problem dY dt = (a. Nagumo (Nal and Na2J. y) is continuous at the initial point (a. 91) .u). the Nagumo condition (ii) of Example 3 is satisfied by the function sin 1 t I at a = 0.6. choosing A = 1.fi)EDand (t. However.(t. SUFFICIENT CONDITIONS FOR UNIQUENESS 65 is given by u(t) = c(t . 31351. fi2(t)) E V Suppose that 1(t) and y+. y') is continuous on a domain V in the (t. since 1(a) = $2(a) = lim ta 1*1(t) . This implies that Assumption 1 is satisfied by r(t). Y2I<K. Show that the initialvalue problem dy dt _ {tsin(f. on the interval I= {t: a<t<b}. 41(t)) E V. 92)1 < III. . Nagumo's [Nal and Na21 for uniqueness are also explained in [CL. 1 E V and (t.
y(0) _ 1 on the interval 0 < t < 10. 1112.. yJ) exists on a < t < b and satisfies the estimate jy(t)l < (jy(a)I + K(t . u < 0. Show that for 0 < t < 1. yj : a < t < b. Myj < +oo). where H'(v) = dH dv ' n (b) solutions of (E) with the initialvalues v(1) = 0 and v(1) = f 1 are not unique. (ii) 111(t. yj I < K + LI yj on R for some positive numbers K and L. (c) for any positive constant c. v < 0. any solution of the system 9 = f (t. Set h(u) _ for u > 0. find the maximal solution and the minimal solution of the solutions of (E) satisfying the initialcondition v(1) = 0 on the interval 1 < t < 1.66 III. ) are solutions of the differential equation n dv (E) a _ c(t) H'(v) . I+6<t<0 t = 0 .i for H(v) = and of Lh \v H(v) n) hn1J for for for for for v > 0.2. Find the maximal solution and the minimal solution of the initialvalue problem _. =0 14t) >0 1<t<1+b. 0 . . Also..a))eL(I a) for a < t < b. Hint. III3. (a) v = 0 and v = ± 1 (n = 1. . y)l < K + Llyl on R for some positive numbers K and L. yj is continuous on R = {(t. . NONUNIQUENESS EXERCISES III III1.Prove the Kneser theorem under the assumption that (i) f'(t. Note that if I f (t.. See (KSI. Hint. the differential equation dv 172 ISin (r) I __ c(t) v2 sin (") +c LH'v) J vl satisfies the Lipschitz condition in v for jvi < +oo and Itt < 1.c(t) where 0 < d < 1..
Assuming that an R"valued function fi(t) is continuously differentiable for 0 < t < +oo. Use Theorem 11151. . Hint. Show that if a continuously differentiable R"valued function b(t) satisfies an inequality do(t) dt < I40 for t > 0 and o(0) = 0. then (t) = 0 for 0 < t < +oo. then 1¢(t)1 < t2 for t > 0. Hint. Show that the problem dy(t) = sin  y(t) It1 lim y(t) = 0 (0 has only the trivial solution y(t) = 0. l 10(t)i eXpft21 = 0. 0+ 9 then . 1116. Note that yt sin( It1 / sin(/ t1) 1M l = Y'. 1117. 1115.Y2cos1 ltl / !I `t1 j. Hint. show that if ¢(t) satisfies the condition dd(t) dt s ia(t)12 for 0 < t < 1 and lim 1d(t)I = 0. Assuming that an R'valued function j(t) is continuously differentiable for 0 < t < 1.(t) = 0 for 0 < t < 1. show that if a(t) satisfies the condition d9(t) < 2tlm(t)I dt i for 0 < t < +oo. Use Theorem III51. Hint. for some y between yl and y2.EXERCISES III 67 1114. Use Theorem 11151.
u"(t)). y) be an R"valued function of (t.y) E A (j = 1. III10. dt . where u" E U. u) denote the unique solution of the initialvalue problem x(0) = 0.). Let U denote the set of all R"'valued functions u(t) such that ju(t)j < b for 0 < t < a and that JiZ(t) . See [LM1. y) E R x R" x R'". the solution (t. u)) : 0 < t < aa. Denote by R the subset of Rn+' which is the union of solution curves {(t.. Theorem 2.t < ao. NONUNIQUENESS 1118. yy be an R"valued function of (t. y) are continuous in the region 0 = {(t. u+) denote the unique u(t)). pp. ul)) : 0 < t _< ao) for all u E U.rj if 0 _< t < a and 0 < r < a. u)j < a for 0 <. Let U denote the set of all R'"valued functions g(t) such that I i(t)J < b for 0 < t < a and that the entries of u are piecewise continuous on the interval 0 < t < a.y)EA (j=1. y)J < Kjiti2j if (t. ¢(t. pp. 258). It is known that there exists a positive number ao such that for all u' E U. let ¢(t. x(0) = 0'. x"2. Also.f (t. i. 282283). u E U). x. Show that R is a closed set in R"+t Hint. 2.i). and b are fixed positive numbers. Assume that a point (r. Let f (t.e. 4447) and [LM2. (2) there exists a positive number K such that yl. Theorem 3 of Chapter 4 and its remark on pp. 2). y. jxrj < a. u') exists and u)j < a for 0 < t < aa.i1.u(r)j < Lit . a. u)) : 0 < t < ao. Assume that (1) the entries of f (t. where u" E U. 2. jLM2. x2. 0<t< (2) there exists a positive number K such that j f (t. Also. (t. Assume that (1) the entries of f'(t.f (t. i). x) : a < t < b. dt (t.. a. Let f (t. and Problem 2 on p. i. x'a + f (t. x. Show that every solution of the initialvalue problem dx = A(t. Denote by 1Z the subset of R"' which is the union of solution curves {(t. where a. y )l < Kjxt x"2 j if (t. R = {(t.68 M. i(r) = t exists on the interval a < t < b. ¢(t. i. Let A(t.2). 1119. Show that the solution curve boundary of R. u E U}. the solution (t. i. where 0 < r < 00 and 0 <. jy"j < b}. u) exists and Jd(t. Jx"j < a. x) and f (t. y) E R x R" x R'". uo)) is on the boundary of R. and b are fixed positive numbers. where a and b are real numbers. assume that (r. It is solution of the initialvalue problem 'jj known that there exists a positive number ao such that for all u E U. x" E R"). R = {(t. ¢(r. yl are continuous in the region A a.t < r} is also on the !!o E U. 254257. x"j. Also. 0(t.e. jyj < b}. where L is a positive constant independent of u E U. 65)) : 0 < t < ao) for all u E U. {) E A. a. Problem 6.x) E R"+' on a domain 0 = { (t. Hint. x") be respectively an n x n matrixvalued and R"valued functions whose entries are continuous and bounded in (t. where a. let di = f (t. f. yj : 0 < t < a.
e. [Ja. aln row and the kth column. Theorem IV41 and [Fl]). Chapters 6 and 8]. The existence and uniqueness of solutions of problem (LP) were given by Theorem 135. for example. we define e'A and discuss its properties. we explain the structure of solutions of a homogeneous system with periodic coefficients. where entries of the n x n matrix A(t) are complexvalued (i.C). It is relatively easy to obtain this decomposition with an elementary calculation if all eigenvalues of a given matrix are known (cf. Chapter 7]. IV6. Chapter 6] and [We. Let Mn(C) denote the set of all n x n matrices whose entries are complex numbers. In §IV4.k<n all a12 .. in [CL. IV1. The Hamiltonian systems with periodic coefficients are the main subject of §IV5. 1718]). Theorem IV15) and the partial fraction decomposition of reciprocal of the characteristic polynomial. Examples IV118 and IV119). we go through an elementary part of the theory of symplectic groups. The basic tools for achieving this decomposition are the CayleyHamilton theorem (cf. Finally. and the Cnvalued function b(t) is continuous in t. we explain the general aspect of linear homogeneous systems. It is simpler than the Jordan canonical form. In §IV2. Chapter 6]. we explain the SN decomposition (or the JordanChevalley decomposition) of a matrix (cf. A = all and a22 an2 a "' ann .CHAPTER IV GENERAL THEORY OF LINEAR SYSTEMS The main topic of this chapter is the structure of solutions of a linear system (LP) dt = A(t)f + b(t). where a3k is the entry of A on the jth 1<j. and [Hum. We define a topology in Mn (C) by the norm [A] = max [ask[ for A E Mn(C). respectively. [Si4] and [Marl). In §IV1.. Some basic results concerning matrices In this section. nonhomogeneous systems and scalar higherorder equations are treated in §1V6 and §IV7. The main result is the Floquet theorem (cf.. Cvalued) continuous functions of a real independent variable t. Homogeneous systems with constant coefficients are treated in §IV3. The set of all invertible matrices with entries in C is denoted by GL(n. for example. The Floquet theorem is extended to this case using canonical linear transformations (cf. also see [Bou. More precisely speaking. which stands for the general linear group of order n. The SN decomposition is equivalent to the blockdiagonalization which separates distinct eigenvalues. Definition IV112.. A matrix A E Mn(C) 69 . we explain some basic results concerning n x n matrices whose entries are complex numbers. In particular. The topics of §§IV2IV4. Chapter IV]. see.e. pp. For symplectic groups. [HirS. Chapter 3] and [Har2. i. Also. we explain the basic results concerning constant square matrices. and IV7 are found also.
Proof. . . we obtain the following corollary of Lemma IV12. respectively. are linearly independent (cf.. ..).C) such that P1 AP is upper... p. for each matrix A E Mn(C). . . pn 7are n linearly independent eigenvectors of A. A matrix A E Mn(C) is diagonalizable if and only if A has n linearly independent eigenvectors pt.. Denote by Sn the set of all diagonalizable matrices in Mn(C). . .e. Pn Proof If A has n linearly independent eigenvectors pt. Lemma IV11.k = 0 for j k. the diagonal matrix with entries dl. Conversely. The set Mn(C) is a noncommutative Calgebra.. n) so that Q = [#1A p"nJ E GL(n. (j = 2.. E GL(n. We denote by diag(di. Prioof.. p'2.. An on the main diagonal (cf. there exists a sequence lim Bk = A. d2. then A E Sn. This means that Mn(C) is a vector space over C and a noncommutative ring.. It must be shown that. the following lemma shows an important topological property of Sn as a subset of Mn(C). pnJ E GL(n. d.2.. The following lemma is a basic result in the theory of matrices. In particular.triangular.1 vectors p". ae can complete the 0 A matrix A E Mn(C) is said to be diagonal if a. . C). Lemma IV14. where the p"j are column vectors of the matrix A Q.. 1861). GENERAL THEORY OF LINEAR SYSTEMS is said to be uppertriangular if ajk = 0 for j > k. Let A be an eigenvalue of A and pt be an eigenvector of A associated with the eigenvalue A. For each A E Mn(C). then p1. . set P = [P'tpa . The following lemma is another basic result in the theory of matrices. . we k +W may assume without any loss of generality that A is an uppertriangular matrix with the eigenvalues At. [Rab.C). do on the main diagonal (i. } of matrices in Sn such that . A matrix A E Mn(C) is said to be diagonalizable (or semisimple) if there exists a matrix P E GL(n. The set Sn is not a subalgebra of Mn(C). .. Therefore. To do this. Then. C). Apt = A P t and P 1 # 0. Choose n .C) such that P1AP is diagonal. The set Sn is dense in Mn(C). If a matrix A E Mn(C) has n distinct eigenvalues. ... However.... . Then... Then. p. A. = aj.. fl. Lemma IV12.70 IV. Corollary IV13. d2. there exists a matrix P E GL(n. . P'1AP is diagonal. p2. Set {Bk : k = 1. 0 Hence. Lemma IV11)... if a matrix A E Mn(C) has n distinct eigenvalues. the first column vector of Q1AQ is proof of this lemma by induction on n.. d_. then n eigenvectors corresponding to these n eigenvalues. if PAP is diagonal for P = [ 1 6 t h.
The coefficients ph(A) of pA(A) are polynomials in entries ap.1.. If IV is an eigenvector of N associated with an eigenvalue A of N. n) are chosen in such a way that n numbers Al + Ek.. N is nilpotent.n are distinct and that lim Ek. N"p = A"p Hence. n.A] = An + h=1 ph(A)An'' where In denotes the n x n identity matrix.PA(A. An + Ek. they are continuous in the entries of A. where 0 is the zero matrix of appropriate size. we obtain the following result. It is an important application of Theorem IV15 that an n x it matrix N satisfies the condition N" = 0 if its characteristic polynomial pN(A) is equal to A". 198]). if N" = 0. CayleyW.. If N" = O. of the matrix A with integer coefficients. Then. kr+oo For a matrix A E Mn(C). denote by pA(A) the characteristic polynomial of A with the expansion n (IV. R.1.PA(A2).1. 220]. . .. let us prove the CayleyHamilton theorem (see. . Set A = diag(A1.. 200201 and 220]. it suffices to prove Theorem IV15 for diagonal matrices.. SOME BASIC RESULTS CONCERNING MATRICES B k = A + diag[Ek. . Therefore.. then pB(A) = PA(A) and pB(B) = P'pA(A)P.1) pA(A) = det(AIn . Lemma IV17. . Then. On the other hand. if all eigenvalues of N are 0.A2) . Therefore. the characteristic polynomial pN(A) is equal to A". In particular. . where the quantities ek.2. Remark IV16.. then A = 0. A2 + 4. . Theorem IV15 (A.. = 0 for v = 1.&.. Proof of Theorem IV15. Note that PA(A) = An + h=1 Eph(A)Anh. if pA(A) = 0 for A E Sn. for example. A2. A matrix N E Mn(C) is nilpotent if and only if all eigenvalues of N are zero.n]. Lemma IV14). and (Rab.J. p. C). A. p. N is said to be nilpotent. then its characteristic polynomial satisfies PA(A) = O. [Be13..A1)(A . Since the entries of pA(A) are polynomials of entries a.. Hamilton). Hence.. by Corollary IV13. then Nkp"= Akp' for every positive integer k.An) and pA(A) = diag[PA(A1). since Sn is dense in Mn(C) (cf.. A° = In. Proof.1. .)] = 0. we obtain Bk E Sn and lim Bk = A. Ek. it is also true for every A E Mn(C). 2. . 0 Applying Lemma IV11 to a nilpotent matrix N. If A E Mn(C). (A .k of the matrix A. (Cu.2. Note also that if B = P'1 AP for some P E GL(n. pA(A) = (A . 71 . 2. Now. Ek. (v = 1.. pp..
2.. the characteristic polynomial of the matrix A is given by pA(A) = (A .k).1.1.1.. h=1 In the following two lemmas. (A .. (A) (j = 1. for every j. . Therefore. .A.. .72 IV..4) Pj(A) = Qj(A)fl(AAhIn)m" hv&1 (y = 1. (A) (y = 1.. Then... 2.... we show that (IV. Details are left to the reader as an exercise. To verify the last statement of this lemma. The main concern of this section is to explain the SN decomposition of a matrix A E Mn(C) (cf. Theorem IV111). . k) commute. Hence. we obtain k (IV. we need some preparation. is a nonzero polynomial in A of degree not greater than m. (j = 1.n. k) be their respective multiplicities. then there exists a real matrix P that satisfies the requirement given above.C) such that PI NP is uppertriangular and the entries on the main diagonal of N are all zero.. use a method similar to the proof of Lemma IV11 together with the fact that if an eigenvalue of a real matrix is real. 2. k) be the distinct eigenvalues of A and let m. _ > Ph(A). setting (IV. Decompose (A .Ak)m'. then there exists a real eigenvector associated with this real eigenvalue..1..Ah)m".5) I. pA(A) pA(A) k 1 into partial fractions 1 = QU(A .A. respectively. Before introducing the SN decomposition. Let A. .A2)m2 .2. Furthermore. the I = EQ. (j = 1.Mn(C) is nilpotent if and only if then exists a matrix P E GL(n.)me h#1 i= J=1 P2(A}. Setting )=1 h¢j P... where. Lemma IV19. .'\0M'(1\ .(A) = Qj(A) 1I (A .5) is a resolution of the identity in terms of projections Ph (A) onto invariant subspaces of A associated with eigenvalues Ah. GENERAL THEORY OF LINEAR SYSTEMS Lemma IV18.4) satisfy the following conditions: (i) A and P.). A matrix N E . The k matrices P.2. if N is a real matrix..(A) J1 (A .. k) given by (W1. Now that this is an identity in A. quantity Q. .
h=1 Then.1. (6) dime V.+PJ(A)pk =pj Ap"= AP... we obtain P. Hence. } be a basis for V. . X n.(A)p= p (2) Pj(A)p"=0 for all fl E Vh if j 0 h.3). while (1) implies that P. Let n. we derive (ii) and (iii) from (IV.1. If p" = P. Proof. over C and let {ff.. = P. Cn....6) P. Multiplying the both sides of (IV. 2. where I. then.E V2 (j = 1.. we obtain (i). Proof Each part of this lemma follows from Lemma IV19 as follows. (iv) of Lemma IV19 implies p = P.1.1. . 2.(A)p = P. . (A)p E Vj. such that .. is the identity matrix and Nj is a nilpotent matrix. if and only if P.(A)Ph(A). be the dimension of the space V. from (iii) of Lemma IV19 we obtain P. h=1 (v) Pi(A)2=P.1. (A)#. Using Theorem IV15. A vector IT E V3 if and only if p" = P.2. Denote by V. n...k).2) implies Ph(A)) = 0 if h 0 j.. Now.. V..) = 1 from (IV.(A) _ >P..(A)p= Pj(A)2q'= Pj(A)q =p""from (v) of Lemma IV19. Lemma IV110. (v) follows from (IV. (iii) P. Since P.(A)Ap E V3 for every 15E Vj.. there exists an n. Statement (iv) is the same as (IV.(A) (j=1. . (5) the restriction of A on V. since P. Then. we obtain P. .1. Note that (IV.2.1..(A) : C" . Therefore. by (1) and (2).t : 1 = 1. : AjIj + A. (1) p'E Cn belongs to V. (iv) >Ph(A) = In.(A3)p' # we obtain (vi).(A). matrix N. ..4) and (i). .k).6) and (iii). (4) for each j.(A) is a polynomial of A.7) Alv. On the other hand.1.y for some q" E Cn.2. has a coordinateswise representation: (IV. ( v : ) P. we derive P. if p" = )51 + + pk for some g.(A)Ph(A) = 0 ifj k h.5).. k). (A)15 + + Pk. SOME BASIC RESULTS CONCERNING MATRICES 73 (ii) (A). let IT.(A)p" for every p3 E C".(A. Then.1. (A)IF = Pj (A)Ph(A)q"= 0 if 0 h. the image of the mapping P. be an eigenvector of A associated with the eigenvalue Al. = m. (A)q" for some q' E Cn.5) by P. (A) q.. A vector p" E Vh if and only if ff = Ph (A)..In)'n'Pi(A) =0 (j = 1.(A)p" = Pi(A)p1+. To prove (vi). is an invariant subspace of A. we obtain k (IV. k). (3) Cn = V1 Ei3 V2 e e Vk (a direct sum). (A) 0 (j = 1.
. Then. where the righthand side of (IV.. (b) N is nilpotent.1PJ. )... A. If P0 is given by (IV. pA(A) Also.2. t : e = 1. + N. the entries ajk of A. there exist two n x n matrices S and N such that (a) S is diagonalizable.2. This proves (IV..+At Pk(A).](A) I. Then. .A.1. we derive N.. ....1.1P'r. 2.nsJNj as the coordinateswise representation relative to this basis.2 .. C) and (IV.8) implies ([V..2. Proof We prove this theorem in three steps.J = [Pi. This implies that (A .. ..2.Aklk+Nk]..1PJ.nj) _ I IP1.Pj. } be a basis for V. . k). 2. obtain (IV18) .1. Step 1. dimC V) = n. . from (ii) of Lemma IV19.. Aklk) . A212. and the eigenvalues Al.1Pi.4). GENERAL THEORY OF LINEAR SYSTEMS (A)'1In)V1. O . is the n.A1)m'(A A2)'2 X2 )12 (A .. Aklk+Nk on the main diagonal blocks.. The two matrices S and N are uniquely determined by these four conditions. . PA(A) _ (A . Hence. they are polynomials in A with coefficients in the smallest field Q(a.74 IV.2.2.p).1. .1. Furthermore. Ak of A.p3i. . where 1.p'1. p'2. Set (IV. . Po 1SP0 = diag[A111... Therefore. Theorem IV111. (j = 1. If A is real. k).1...1.A212+N2. Po E GL(n.)'Pi(A)(P1. Using the projections P..10) is a matrix in a blockdiagonal form with entries Al h +N1.1 .. define S and N by S = A1P1(A)+A2Pz(A)+...P = [l . Thus. A212+N2. A2 ..191.(A) given by (IV.7).10) Po'AP0 = diagjAllt +N1.. p'f n.. (c) A = S + N. (6) Let { " l ...Ak)mk.). then (IV. Existence of S and N..n.9).k.S. we In particular. then S and N are also real. 0 The following theorem defines the SN decomposition of a matrix A E Mn(C). (j = 1.. (d) SN = NS. Let A be an n x n matrix whose entries are complex numbers..1) containing the field Q of rational numbers.1. n...9) Po = (p1. = m.Nj for (t = 1.11) N=A ... x n1 identity matrix..1.
It can be shown that n x n matrices P1.S = N . .. The case when S and N are real. . SS = SS.S is diagonalizable and N ... Pj(A)Ph(A) = O if j h.1. . In case when A is real. This shows the existence of S and N satisfying (a). it follows that two matrices S and N are polynomials in A with coefficients in the field Q(ajk. Therefore. NS = SN.. PiPh(A) = 0 whenever j it follows that P1 = P1(A) = P2P}(A). (b). counting their multiplicities. From (IV. let 5 and N be the complex conjugates of S and N. and NN = NN since S and N are polynomials in A. and (d).P1 = O if j 36 t. Therefore.. Thus. Nk] from Lemmas IV19 and IVI10 and (IV.. P2. from (IV. Step 3. Uniqueness of S and N. + AkPk(A). = \j P.. . + AkPk. + Pk(A). S = A1P1(A) + A2P2(A) + .. (c) and (d) imply that SA = AS and NA = AN. Pk are uniquely determined by the following three conditions: (i) (ii) P. This completes the proof of Theorem IV111. (A). Therefore. Proof. . Then.N.1. Hence. h=1 Hence.10).1. S is diagonalizable and N is nilpotent. NS = SN since S and N are polynomials in A.. \jPjPA(A) = \h PiPh(A). Step 2. k First. This implies that S . (c). Assume that there exists another pair (S. Remark IV113. The decomposition A = S + N of Theorem IV111 is called the SN decomposition of A. derive that P. from S . it follows immediately that S and A have the same eigenvalues. Observation IV114.1. S is invertible if and only if A is invertible. and (d). it follows that SS=NN=O.12) Po 1 NPo = diag[N1 i N2. Ah). Note that { In = P1(A) + P2(A) + . N) of n x n matrices satisfying conditions (a). Hence. Moreover. SN = NS.X P1 = >ahPj P1. Then.. Let A be an n x n matrix whose distinct eigenvalues are A = S + N be the SN decomposition of A.11). this implies that . S = SP. Hence.. (iii) S = A11P1 + A2P2 + . Furthermore. Then. h. respectively.N is nilpotent. (c). SOME BASIC RESULTS CONCERNING MATRICES and 75 (IV. (b). Definition IV112.1. the uniqueness of S and N implies that S = 3 and N = N.4). A = S + N = 3° + N.
where A23_1 = a. A2.. Then. The matrix A distinct eigenvalues 3 and 4. D2i .. where E. where Mj are mj x m j nilpotent matrices... k) (cf. . . P1AP = diag[D1. and PA(A) = (A . A2. =P1+P2+. For any given real n x n matrix A.3)2. . (ii) if we set Pj = Tdiag[Ej1iE. then P1 AP is a real diagonal matrix whose entries on the main diagonal are A1. . It is easy to show that (i) if we set M = T'NT. n)... D2. Let T be an n x n invertible matrix such that if we set A = T1ST.. A2J = a) . D2.. a.} of real n x n diagonalizable matrices such that lim Bk = A... (j = 2h . ... 252 498 4134 698 Example IV118. This can be proved in the following way: (i) let A = S + N be SN decomposition of A. and m3 is the multiplicity of the eigenvalue A. (2) in the case when all eigenvalues are not real. . . a j for j = 1. = P.. where A23_1 = a)+ib..1 = 0 if j Ejj = Ij. .... DmJ. h .1 and Dh is a real diagonal matrix whose entries on the main diagonal are A. = I b. . . there exists a real n x n invertible matrix P such that (1) in the case when all eigenvalues A j (j = 1. An. + AkPk. then A = diag[A1I1.. (ii) using Remark IV116.. assume that S = diag[D1. Now. and Dj (3) in other cases. Details of proofs of Remark IV116 and IV117 are left to the reader as exercises.. GENERAL THEORY OF LINEAR SYSTEMS Observation IV115..1 = abj a. Ak are distinct eigenvalues of S (and also of A).ib. we obtain 1. .. MA = AM. AkIk]. 2. Dhj.. while h). and M = diag[M1i M2. 1 234 15 465 30 3885 252 656 42 has two 10 20 2 166 25 2 PA(A) (A 14)2 A 4 + (A 13)2 + A 3 . . as in (3) of Remark IV116.2. is the m3 x mj identity matrix. 2. .. .. (iii) find the form of N by SN = NS. then M is nilpotent. A2.76 IV.. n) are real. . Where A1. we give two examples of calculation of the SN decomposition. (v) use a method similar to the proof of Lemma IV14. Mk}.E..+Pk. and D..1. (iv) triangularize N without changing S. The following two remarks concern real diagonalizable matrices.. I. .ibj.. Let A be a real nxn diagonalizable matrix and let A1. 2. A2 .2. Remark IV117. Remark IV116. there exists a sequence {Bk : k = 1. . Dhj.. Observation IV114).. .k]T1. Therefore. Let A = S + N be the SN decomposition of an n x n matrix A.. (S) = P? (A) (j = 1... An be the eigenvalues of A.. ...1 S = A1P1 + A2P2 + . P. (I .4)2(A . . + ibl.. then n is an even integer 2m and P1A fP = diag[D1. PjPh =0 (. . A2I2. ..
11) Hence.3)2 P2(A) _ (A .11) 100 Set 100 (A + 9)(A .and PA(A) 1 ) 21 1 ) .11). 1 P1(A) = Therefore.0 100 0 Therefore. P1(A) _ (A . 100 Then.4)2. 1  (A .3)(A . P2(A) 1100 0 0 56 28 24 48 76 100 38 S = 11P1(A) + P2(A) = 10 1 10 0 0 56 86 48 2 28 38 34 1 20 N=A .S= 10 20 16 16 32 2 40 4 . SOME BASIC RESULTS CONCERNING MATRICES Set 2(A4)(A3)2' 77 P1(A) = (A .1)2* PA(A) 100(A .1)2 P2(A) 100 . The matrix A = A1= 11. Then. A2=1. 1 20 3 4 160 3 20 4 8 _ 2 7 4 3 has two distinct eigenvalues 1 _ (A+9) 100(A .4)2 + 2(A . P1(A) = .S = 15 470 30 3760 240 10 Example IV119.1)2  (A + 9)(A . 1 2 2 0 0 134 198 2 2 134 125 198 186 125 9 186 12 0 0 P2(A) = 1 0 0 1 0 0 8 6 12 9 6 8 2 2 5 134 12 198 12 S = 4P1(A) + 3P2(A) = 1 125 186 0 10 0 0 I' 6 500 5 470 30 250 500 4000 235 N = A .1. 1 0 56 76 48 28 38 24 1 .
Let us prove the following basic theorem. If an n x n matrix Y(t) is a solution of equation (IV.2. Pj(A)p" = p" for all IT E Vj (j=1. For more examples of calculation of S and N. Therefore. Let Vj = Image (PI(A)) (j = 1.C)for all tE1. The solutions of (1V2. We break the entire proof into three observations.78 IV.2). V1 is spanned by 19 12 and V2 is spanned by 0 0 and 1 2 Set Pa = 14 19 12 1 0 1 0 0 .1) all at once. Any linear combination of a finite number of solutions of (IV.1) on the interval T.2. Furthermore. Homogeneous systems of linear differential equations In this section. 1) forms an ndimensional vector space over C. we explain the basic results concerning the structure of solutions of a homogeneous system of linear differential equations given by (IV.1).2. construct ing an invertible solution Y of (IV. IV2.2) dt = A(t)Y on an n x n unknown matrix Y is a solution of system (IV.2. n columns of a fundamental matrix solution Y(t) of (IV.T. GENERAL THEORY OF LINEAR SYSTEMS In this case. see [HKSI. we can construct n linearly independent solutions of (IV.2.2). by virtue of (1) of Lemma IV110.2.1) on.2.2). Then.2) are said to form a fundamental set of n linearly independent solutions of (IV. SN = NS = N and N2 = O.1) on the interval Z by using Theorem I35 with n linearly independent initial conditions at t = to.2.2.2. 14 1 0 Furthermore. Then. 11 2 0 1 Po 1 SPo = 0 0 0 0 1 Pp 1 NPo = 2 [00 1 1 1 1 .then Y(t) is called a fundamental matrix solution of system (1V. Observation IV22. Notice that each column vector of a solution Y of the differential equation (IV. 1).1) dt = A(t)y'. It is not difficult to make a program for calculation of S and N with a computer. We can prove the existence of n linearly independent solutions of (IV. where the entries of the n x n matrix A(t) are continuous on an interval I = It : a < t < b).1) is also a solution of (IV. .2)on an interval I={t:a<t<b}and Y(t)EGL(n. 0 0 It is noteworthy that there is only one linearly independent eigenvector x = for the eigenvalue A2 = 1.2. Theorem 1V21.2.
(IV. then Y(r) = F. r)it is the unique solution of the initialvalue problem dt A(t)y".2. where Z is an n x n unknown matrix. dt where r E Y(r) = I Theorem IV21 is a corollary of Theorem IV26.3) dZ dt = ZA(t) on the interval Z. 4 (t)1 is the unique solution of (IV.2. a fundamental matrix solution of (IV. Note that the initial values 44(r) and %P(r) at t = r can be prescribed arbitrarily.2.2.2) on the interval Z. where r E Z. y(r) =1.2.1)) if 4i(r) is invertible for some r E Z. the n x n matrix Y = 4i(t. r)r.4)  dt = A(t)Y.2. Denote by 4?(t. 1(t.2.C). r) E GL(n.2): (IV. 0 Remark IV27. r)r is the unique solution of the initialvalue problem dY = A(t)Y. Y(r) = In. where it E C.2) are given by the following theorem.2. HOMOGENEOUS SYSTEMS OF LINEAR DIFF. r)r. in the case we obtain WY(t)4i(t) = In when 4?(r) E GL(n. . by choosing %P(r) = for all t E Z. C) for all t E Z. W(t)4i(t) = %P(r)t(r) for any fixed point r E Z and for all t E Z.1) and (IV. Then.2. The general structure of solutions of (IV. dt W(t)A(t)4s(t) + $(t)A(t)4. Therefore. Then. (2) If a fundamental matrix solution is given by Y(t) = 4'(t. Hence. In particular. The C"valued functwn y(t) = 44(t. Lemma IV24.2) on Z. Let an n x n matrix 4i(t) be a solution of (IV. which can be easily verified. Let 4(t) be a solution of (IV.. where r E GL(n. C). let *(t) be a solution of the adjoint equation of (IV.2.1) is given by Y(t) = 4i(t. 45(t) is invertible for all t E I (i. Also.2.(t) = 0. (1) The general form of a fundamental matrix solution of (IV. r) the unique solution of the initialvalue problem (IV.8) on Z satisfying the initial condition Z(r) = 4i(r)1.r) = Y(t)Y(r)1 (t.2. Furthermore. Then. This implies that the matrix %P(t)4i(t) is independent of t.e. EQUATIONS 79 Observation IV23. we proved the following lemma.5) 0(t. Observation IV25. Thus. r E Z) . Theorem IV26. Also.
2. r1 E Z. Then.8) d det Y(t) dt of  M=1 [: P(. we obtain Abel's formula. Regarding detY(t) as a function of n column vectors {y'1(t). 0 dt . In §IV3.. L . using the SN decomposition of A.7) holds in the case when A(t) is diagonal on the interval I. . generally speaking.. GENERAL THEORY OF LINEAR SYSTEMS for any fundamental matrix solution Y(t). . 28]).2. we shall explain how to calculate exp((t ... ... r) = exp I J t A(s)ds = exp exp(sin t sin r) 10 1 (jsin t o sin r sint ..2). (CL. For exam ple.. 9 = trA(t) if Denote the righthand side of (IV. Furthermore. Also. B(t)"'.2. Proof. This formula known as Abel's formula (cf.2. where B(t) = Jt A(s)ds..(t). A(t)ym(t). Solving the differential equation ddet Y(t) = tr A(t) det Y(t).j.r) _ for t. Y(t) = I. set det Y(t) = 7(g. (3) In the case when A(t) is a scalar (i. ).r )AJ if A = A(t) is independent of t. . +M exp[B(t)] = In m=1 T11.8) by G(y'1(t).2. 4(t. (t). r) = exp I JA(s)ds)] t t 1 In the general case. 4b(t. Therefore. r) = exp[(t . r. n = 1). where det is and trA are the determinant and trace of A.e..2.2. Y(t).. In particular.7) 1(t.6) 1(t. 9 is multilinear and alternating in y1(t). we obtain easily (IV.. Then.. the matrix A(t) = [coStt I satisfies the requirement. (IV.7) holds only in the case when B(t) and B'(t) = A(t) commute. we define exp I J A(s)ds] by r V.. 9 = tr A(t) det Y(t).. p. (IV. ) t 1 1 r J1 t (4) det Y(t) = det Y(r) exp satisfies A if trA(s)ds) if Y(t)the matrix(IV.sin r.. In this case. A less trivial case is given in Exercise IV9. In particular.. It is easy to see that B(t) and A(t) commute if A(t) is a 2 x 2 uppertriangular matrix with an eigenvalue of multiplicity 2.. (IV. y (t))..r)AJ. (IV.80 W. However.
Also.3) d = Ay. k). k k (IV.3. This. y(T) = P is given by y = exp[(t .1.3.3. we explain how to calculate exp[tA] for a given constant matrix A. exp(tN] = In + A Nh since N is nilpotent.4) and In = > PJ(A). h = 1. we define exp[A] by (IV. . Y(0) = In. Then.1) exp[A] = In + E h Ah. J=1 S= )=1 AjPJ(A).. we obtain a fundamental matrix solution Y = exp[tA] of the system d = Ay with a constant matrix A by solving the initialvalue problem (IV. exp[tA)# = exp[t(S + N)]p' = expitN] exp[tS]p" = e'\'` exp[tN]P (IV. . Hence. let Pj (A) (. A2. In this section. Denote by V.. h=1 It is easy to show that the matrix exp[A] satisfies the condition exp[A + B] = exp[A] exp[B] if A and B commute.3. Ak. (IV. Sl p" = \1)5 and exp[tS]p' = 1 + E (A2t)n }ic ni h h=1 +00 earh=1 On the other hand.. Lemma IVI10). where p E C' is a constant vector. The two matrices S and N commute.5) PJ(A)Ph(A) h j = 36 0 (A) if h j (3. This implies that exp[A] is invertible and (exp[A])1 = exp[A]. HOMOGENEOUS SYSTEMS WITH CONSTANT COEFFICIENTS 81 IV3.2) = AY. 2.3. . (IV..S.3.3. N = A . 2. the image of the mapping PJ(A) : C" Cn (cf.r)A]p. k) be the projections defined in §IV1 (cf. Let A = S + N be the SN decomposition of A. Assume that an n x n matrix A has k distinct eigenvalues Al. using the SN decomposition of A. implies that the unique solution of the initialvalue problem (IV. in turn.)5 for pin VJ .4)). It is known that Sp = \... . Therefore. Thus.6) [In n. .j = 1. Homogeneous systems with constant coefficients For an n x n matrix A...i th = eA'` + n=1 p" for fl E Vj.
we derive (IV.9) if A is real. 2.1). 2 Example IV33. (A)p' for 9E C". (A) = 0 if R(A)) = 0. . if A is a real matrix. Thus. (i) If R(.+00.. the following important result is obtained. N=AS= 0 1 0 0 0 0 1 0.. The matrix exp[tA] is calculated by formula k (IV. Now. then exp[tA] is also real.4) and (IV. 2.\.3. Theorem IV31. Note that in the case when A has nonreal eigenvalues.(A + 5)(A . P2(A) = 2 0 3 1 0 1 0 0 0 0 1 1 S = PI(A) . Setting P1(A) = + 5)(A .7).7) exp[tA]p = j=1 C.1) 9 . we must use complex numbers in our calculation. Theorem IV32.3. P2(A) we derive 1 = 9 (A + 2)2 .Njt In + E hl Nh h=I n10 P.8) exp[tA] _ > ea+` =l In + F. at the end of our calculation. . The characteristic (A + 2)2 9 polynomial of A is pA(A) _ (A 1)(A+2)2. .9) is bounded for t > 0 if and only if R(AE) < 0 for j = 1. some solutions of (IV. T! Nh h=1 n1 th Pj (A).. 3. 0 .3. Consider the matrix A = 1 0 3 2 0 2 1 1 0 . GENERAL THEORY OF LINEAR SYSTEMS Applying (IV. we obtain realvalued solutions of (IV. Nevertheless.3. 0 0 1 we obtain 0 0 1 1 P1(A) = Set 0 0. Hence..3. then every solution of (IV. By using the partial fraction decomposition of and PA(A). we illustrate calculation of exp[tA] in two examples. we proved the following theorem.9) tends to 06 as t ' +00. k. (iii) every solution of (IV.) < 0 for j = 1.9) is given by (IV. Since the general solution of the differential equation (IV.3.9) tend to 00 as t . (ii) if R(Aj) > 0 for some j.2P2(A) = 2 0 3 1 0 0 .3.3.3. k and NP.82 IV.6) to a general p E C". .
If we set S = (if)P2(A) .if).if)) wa(ft) + f sin(ft). 1 P3(A) A(A .if)(A + i\/3).if}. Using the 1 partial fraction decomposition of . .sA(A. 2 (e'1t(1 . (e'' t(1 + if)) = cos(ft) . we obtain PA (A) 1= Setting (A. we obtain exp(tA] = P1(A) + e.e2t et . y(0) = y is y(t) = exp[tA]i). This implies that N = 0.if)(A+ if) . Hence. consider the matrix A = 1 0 1 1 . 1 1 1 .(1 + et The solution of the initialvalue problem dt = Ay. HOMOGENEOUS SYSTEMS WITH CONSTANT COEFFICIENTS 83 Note that N2 = 0.. Next. Such an iJ is given by it = P2(A)c". we obtain 1 1 1 I A(A + if). The charac0 1 teristic polynomial of A is PA(A) = A(A2 + 3) = A(A .(if)P3(A).1+if 1 1 1if 1+if 2 1if 6 1if 1+iv 2 2 and P3(A) is the complex conjugate of P2(A). 0 1 1 Example IV34. Thus. To find a solution satisfying the condition Jim y(0) = 0. then S = A.\/3sin(ft). exp[tA] = e'[ 13 + tN ] PI(A) + e21 [ 13 + tN ] P2(A) e2t 0 to2t 0 0 t)e2t e2c et . P2(A) P1(A) = 3(A2 + 3).''P2(A) + e.3.J1tP3(A) = P1(A) + 23t (e'3tP2(A)) Using . where c is an arbitrary constant vector in C3. Pi(A) = 3 1 1 P2(A) = . we must choose it so that t +m P1(A)ij = 0.A(A+ if).
k). and an n x n nilpotent matrix.. respectively. + 0k1n + N)Pk(A).f sin(ft)) Remark IV35. . The general case: Assume that the characteristic polynomial PA(A) of an n x n matrix A is PA(A) = (A . A = f(Ao)II + n1 f(h)(AO) NA.+N)(A) of f(AoI + N) is Pf(aolN)(A) = (A . Fhnctions of a matnx In this remark. f is analytic at A0) f(A) = f(A0) + 1 h=1 f (h) h?Ao)(A  Ao)h.. h=1 h. Then. A' = (A11n + N)1P1(A) + (A2In + N)'P2(A) 4.. S. b(t) = 1 . A particular case: Let A0. Also. the matrix >2f h=1 is also nilpotent. Therefore. define f (. . consider a function f (X) in a neighborhood of A0. n1 (h) Since N is nilpotent. where A1. + N) = f(Ao)I. and N be a number..A t h. II.1(A0))".. In this case.{cos(ft) + f sin(ft)} .Ak)mr..2 . the n x n identity matrix.l1)m1(A .\o1 + N) by = f(AoI. Assume that f (A) has the Taylor series expansion (i.. (A) (j = 1. ..84 IV. A = (A1In + N)P1(A) + (A21n + N)P2(A) + . + (Ak1n + N)'Pk(A) for every integer P.{wa(ft) . we explain how to define functions of a matrix A. Construct P. (A .. Ak are distinct eigenvalues of A.. the characteristic polynomial pf(A0.... I.. + h=1 f(h)PLO) . ..A 2 ) ' ..e. c(t) = 1 . GENERAL THEORY OF LINEAR SYSTEMS a(t) 3 we find b(t) c(t) exp[tA] = 1 c(t) a(t) b(t) b(t) c(t) a(t) where a(t) = I + 2cos(ft). I. and N as above. Therefore.
3.f(S)) is the SN decomposition of f (A). Pf(A)(A) = pf(s)(A) = (A ..10) f(A) = f (A11.(A) (cf.. for every j = 1.1oIn + N) = log(Ao)ln + n1 (1)m+1 m=1 m It is not difficult to show that exp[log(A)J = A. since (log(A))m = (log(A11n + N))mPk(A) + (log(A21n + N))mp2(A) + . + f (Akin + N)Pk(A).f (S) has a form N x (a polynomial in S and N). Thus. where we must assume that A is invertible so that A.)'' h! h=1 at A = A. Since log(Ao + u) = 1000) + log t 1 + o) = logl o) + \\ we obtain / +O° (I)m m+1 m=1 Io log(. Observation IV115). f (A) . + log(Akln+N)Pk(A).)P2(A) + ' + f(AkII)Pk(A) and f (A) . Therefore. + N)Pk(A) + f (A21n + N)P2(A) + ..)(AA. # 0 for all eigenvalues of A. + N) more closely. + (log(Akln + N))mPk(A)...u)] =A0 +... assuming that A0 0 0. + N.. Furthermore. f (S) and f (A) commute.f (S) is nilpotent. In fact. define log(A) by log(A) = log(A1In+N)Pk(A) + log(A21n+N)Pk(A) + ..3. . In the case when f (A) = log(A).. Since P2(S) = P..u. (A  f(Ak))m Example IV36. it is sufficient to show that exp[1og(Aoln + N)J = A01. . k. HOMOGENEOUS SYSTEMS WITH CONSTANT COEFFICIENTS 85 Assuming that a function f (A) has the Taylor series expansion f(A) = f(A3) 00 0f(h)(A. we define f (A) by (IV.f(A1))m' . This implies that f(A) = f(S) + (f(A) .. This can be proved by using exp[log(Ao +. Let us look at log(AoI.. this definition applied to S yields f(S) = f(AIIn)P1(A) + f(A21. .
9999913 + 0. If A is invertible.420735x 2 + 0(x3).99999 + 0.42252 0.540302N)P2(A) 1.92207 1. sin(1 + x) = 0. Let A = S + N be the SN decomposition of A.1834 2. This definition and the previous definition give the same function log(A) if the same definition of log(A.86 IV.0044257N)P1(A) + (0.407549 0.0806 1.540302x0.m M=1 (1)m+1 Mm. Using this form. M is nilpotent. The corresponding projections are 7 14 7 0 14 25 25 25 25 P1(A) = 0 0 L9 12 25 25 L9 P2(A) = 0 0 2s 50 19 6 50 25 12 5 25 Define S = 11P1(A) + P2(A) and N = A . ( t Therefore. two matrices S and M commute.841471+0. GENERAL THEORY OF LINEAR SYSTEMS Observation IV37.). sin(A) _ (0. Therefore. we can write A as A = S(II + M).591695 0. Therefore.8957 1. The function log(A) is not singlevalued. where log(S) = Iog(A1)P1(A) + log(A2)P2(A) + and .1612 It is known that sin x has the series expansion +00 sin x = 1 (2h +)1)I T2h+1 . the definition of log(A) is not unique. Example 3 IV119). S is also invertible. Then N2 = 0. we used log(A.845065 0.84147113 + 0.S. where M = S' N = NS1.) is used. + log(Ak)Pk(A) log(IR + Al) = E . 3 4 Example N39. Also. Furthermore. The matrix A has two eigenvalues 11 and 1. we can define log(A) by log(A) = log(S) + log(Ih + M). Observation IV38. sin(11 + x) = 0. Since S and N commute.499995x2 + 0(x3 ).0044257x + 0. In the definition of log(A) in Example N36. Let us calculate sin(A) for A = 4 8 2 7 3 4 (cf.
(2h + 1)! IV4..it Y(0) = In Since 4i '(t + w) = A(t + w)4S(t + w) = A(t)4'(t + w) and +(0 + w) = 4t(w).4.2) A(t + w) = A(t) for t E R.4. (IV. Look at the unique n x n fundamental matrix solution 4'(t) defined by the initialvalue problem (IV. r = 4?(w).3). .1) dy dt = A(t)y in the case when the n x n matrix A(t) satisfies the following conditions: (1) entries of A(t) are continuous on the entire real line R.4.4.4. consequently. Example IV36).4. Thus. Systems with periodic coefficients In this section.4.4) 41(t + w) = 4(t)t(w) for t E R. define an n x n matrix P(t) by (IV. we proved the following theorem. This shows that P(t) is periodic in t of period w. (IV. SYSTEMS WITH PERIODIC COEFFICIENTS 87 Therefore.147.e. we can also define sin(A) by sin(A) (1)h .5) P(t) = d'(t) exp(tBJ. (2) entries of A(t) are periodic in t of a (positive) period w.99999 and h=O 112h+1 = 117. P(t + w) = ((t + w) exp((t + w)BI = 4i(t)0(w) exp(wB) exp(tBJ = 4'(t) exp(tBJ = P(t). this approximation is not quite satisfactory if we notice that _1h sin(11) = 0. .+ (2h + 1)! A2h+1   However. As mentioned in (1) of Remark IV27. the matrix 41(t +w) is also a fundamental matrix solution of (IV.3) dY = A(t)Y. we explain how to construct a fundamental matrix solution of a system (IV. i. Setting B = w' log(4?(w)J (cf. Thus. there exists a constant matrix r such that 44(t +w) = 4i(t)r and. Then.
By virtue of the relations given in Lemma IV19. <0 other j Notice that log(S2] _ E log[(Ai)2]Pj(4'(w)) + 2 E log[a3]P. set A. Let us look at log(S) more closely. if some eigenvalues of 4'(w) are negative. To see this more clearly.4. In this case.+1 = A3.]P. It is easy to see that the projection Pj+1(4?(w)) is also the complex conjugate of P.6) 4'(t) = P(t) exp[tB]. Under assumptions (1) and (2). and periodic of period w in t. the matrix M = S'N is real. where P(t) and B are n x n matrices such that (a) P(t) is invertible. continuous. Now. where log(S) = log(A1)P1(4'(w)) + log(a2)P2(4'(w)) + .3) has the form (IV. (2w). the unique solution 4 (t) of problem (IV. Observation IV42. while the matrix not real. However. Therefore. the entries of 4'(w) are real.+ log(Ak)Pk('6(w))  and n. To rectify this sit uation. Therefore. Therefore. rewrite log[s] in the form log[S] _ E log[A.1) defined by the initialvalue problem (IV. Floquet [Fl]).\J)2P+ A. let us look at S2.(4(w)) af<0 other 7 is a real matrix.7) B = _L log{4'(w)2] and P(t) = 4'(t) exp[tB]. we obtain S2 = _y2P (.(4'(w)). we can find a real matrix log[4'(w)2] = log[S2J + 2log(In + MI. Since S and N are real matrices. .3) is also a real matrix. If \j is a complex eigenvalue of 4'(w). setting (IV. letting 4'(w) _ S + N = S(I + M) be the SN decomposition of 4(w). we define log($(w)) by log(4?(w)) = log(S) + log(1 + M). Therefore.4. log(I + M) is also real.m l)m+l Mm. GENERAL THEORY OF LINEAR SYSTEMS Theorem IV41 (G. As was explained in Observation IV38.88 IV. Thus. log[S] is not real. observe that 4'(. <0 other j is The matrix A.(4'(w)) a real matrix.]Pi(4?(w)) + E log1A3]P'(4'(w))A.)2 =' (2w) and 4'(t + 2w) = 4'(t).1 M=1 log(!! + M) = E (. (Q) B is a constant matrix such that 4'(w) = exp[wB]. In the case when A(t) is a real matrix. we obtain the following theorem. its complex conjugate A3 is also an eigenvalue of 4'(w). <0 E other j log[aj]Pis log(A.4. log[S] is not real.4. the fundamental matrix solution 4i(t) of (IV.4.
. we obtain (t + 2w) = pi(t) if d(t) = 4i(t)p. the behavior of solutions of (IV.4. Observation IV47.1).4..1). P(t) is periodic in t of period w (or. .4. the solution d(t) = t(t)p" of (IV.. The following basic result is a corollary of Theorem IV31. 1 where A(t) = The solution of (IV. The terminology multiplier came from this fact. respectively.4.1) is changed to (IV.= Bz dt dP(t) dt by the transformation y" = P(t)!.4. . Therefore. 2w when A(t) is real).4. The eigenvalues pi = exp[wpjl. .1) satisfies the condition ¢(t + w) = pi(t). the matrix 4s(t) has the form P(t) exp[tB]. Definition IV45. Therefore. Remark IV44. we have A(t)P(t) .4. Corollary IV46.P(t)B. (3) of Remark IV27). . The eigenvalues p1. +oo if and only if Ipj I < 1 for all j (or R(pj) < 0 for all j)..4. Then. (IV. P = exp[2wµn] of 4?(w)2) are called the multipliers of equation (IV. (In the case when A(t) is real.9) dY = A(t)Y.) Example IV48.4.(w)2 associated with a multiplier p. p of the matrix B are called the characteristic exponents of equation (IV.9) is given by r cost 0 cost] 41(t) = exp I l A(s)dsexp(sin t) fo L I t t] (cf. $(27r) = I 0 21 1 1 B= 2. All solutions of equation (IV. respectively. Let be an eigenvector of 45(w) associated with a multiplier p. log[4i(2a)].8). where P(t) and B are n x n real matrices such that (a) P(t) is invertible. In the case when 4?(t) = P(t) exp[tB]. of the matrix 4?(w) (or. (p) B is a constant matrix such that 4?(w)2 = exp[2wB]. Consider the initialvalue problem (IV. SYSTEMS WITH PERIODIC COEFFICIENTS 89 Theorem IV43. when A(t) is real.1) is derived from the behavior of solutions of (IV. and periodic of period 2w in t.8) dz.. choosing an eigenvector p" of 4. the eigenp= values pi = exp(2wpi].. In the case when the matrix A(t) is real.1) tend to 0' as t . it Y(0) = 12. continuous.4...4. As noted above. .
The basic facts are found in the theory of real symplectic groups and their Lie algebra. if there exists a real (2n) x (2n) symmetric matrix H(t) such that A(t) = JH(t). GENERAL THEORY OF LINEAR SYSTEMS Since p. y). 0. Pt(4i) = 12.90 IV. where In is the n x n identity matrix.(\) = (a . 8p . y') dq = dt !2c (t. We explain all these elementary facts of Hamiltonian systems in Part 1. we refine the Floquet theorem (cf. Therefore. we obtain S = 12i M = This gives B= [0 20 J . In Part 1. the fundamental matrix 0(t) of this system belongs to Sp(2n. Moreover. and log[4s(27r)j = log[I2 + M) = M = I 0 2. We also prove that if G E Sp(2n. where (2n) x (2n) symmetric matrix H(t). This means that P(t) belongs to Sp(2n.R) if 0(0) = I. and ON Bpi an Ni Here.1) 2.9) are 1. then S and 12" + M belong to Sp(2n. R) and G = S+N = S(I2"+M) is the SN decomposition of G. Consequently. and the multipliers of (IV. In Part 2. P(t) = i(t) exp [ 0 Ot. 8q. R) of order 2n is the set of all real 2n x 2n matrices of the form JH. Linear Harniltonian systems with periodic coefficients This section is divided into two parts. the characteristic exponents are 0. we explain the structure of solutions of a linear Hamiltonian system. The important consequence is that the linear system dx = BE of Remark IV44 is a Hamiltonian system.r 0 1 M= I 0 01. it is not necessary to take 4i(2a)2 and period 41r to find B. dp Part 1 Consider a linear Hamiltonian system 8P and j are unknown vectors in R". If we denote by J the real (2n) x (2n) matrix I 0O 1. y = [q1. R).4. where H is a real (2n) x (2n) symmetric matrix. ?{(t. Note that in this case. A linear system T = A(t)f on y' E R2" is a linear Hamiltonian system. 1. as both of two multipliers are positive. y7 = 2y"TH(t)y with a real 8H on 8q" dt = bKH (t. R). IV5. Theorem IV41) for the linear periodic Hamiltonian systems in such a way that the periodic transformation y = P(t)i given in Remark IV44 is canonical. the Lie algebra of the real symplectic group Sp(2n. = 4i(t) l It I = exp(sin t)I2 and fi(t) = P(t) exp[tBj = exp(sin t) exp I 0 t ].
Lemma IV51. The matrix 4(t) satisfies the condition 4(t)T J4(t) = J. To show that H(t) is symmetric. where JT is the transpose of J. 0 The converse of Lemma IV51 is shown in the following lemma. the Hamiltonian system can be written in the form (IV. Assume that a real (2n) x (2n) matrix G(t) satisfies the following conditions: (i) the entries of G(t) are continuously differentiable in t on an interval 1. H(t) is a real (2n) x (2n) symmetric matrix.1) = JH(t)y. we obtain [dG(t)]TJG(t) + G(t)T J fi(t) = O. (t. O[ H(t)y. y) = [0.3) JT = J. Let fi(t) be the unique real (2n) x (2n) matrix such that do(t) = JH(t))(t) . Proof Differentiate O(t)TJ4(t) to derive a I(t)TH(t)(J)J4(t) + I(t)T H(t)41(t)  O. 1(t)TJ4(t) = 4(0)T Jo(0) = J. (ii) G(t)T JG(t) = J for t E Z. Lemma IV52. In[ H(t)y. G(t) is invertible and H(t) _ Jd d(t)G(t)I is symmetric for t E I. Computing the determinant of both sides of condition (ii). where y is a unknown vector in R2n. 4(0) = 12n. Then. G(t) is invertible.5. J1 = J. and (IV. y) = [1n. differentiating both sides of G(t)T JG(t) = J.5. Proof.2) J= [ In O O In The matrix J has the following important properties: (IV. where t(t)T is the transpose of t(t). Since 8 (t. LINEAR HAMILTONIAN SYSTEMS 91 yT is the transpose of the column vector Y. we obtain [det G(t)12 = 1. . Therefore.5. Then.5.
Then. This implies that (IV.4) is called a canonical transformation if P(t) E Sp(2n.92 IV.R). . R) (cf. let us construct the SN decomposition G = S + N. S is invertible (cf. Furthermore.1) by a linear transformation (rV. (IV. we further obtain [G(t)']T [dG(t)]T(. + di 1 P(t)'J = JP(t)T. we obtain I P(t)_1 Observe that J t dP(t) dP(t) dt dP(t) 0.3)). Hence. In fact. Lemma IV52). Definition IV54. Observation 3. and we derive the unique decomposition (IV.5) d J [p(t)TH(t)P(t) . R) (cf. R). we obtain the second relation (cf. For a given constant matrix G in Sp(2n. SM = MS. R). Observation 2. If GT JG = J. Transformation (IV. then (G' )T JG' = J and GJGT = J. GENERAL THEORY OF LINEAR SYSTEMS Since [G(t)']T = [G(t)T]1.J) = JdG(t )G(t)_1. R) for t E Z. this system becomes (IV. if P(t) E Sp(2n.P(t)1 dt)J i.5. and SN = NS. Remark IV113). P(t) is symmetric since P(t) E Sp(2n. If we change Hamiltonian system (IV. The set of all real symplectic matrices of order 2n is denoted by Sp(2n.1) becomes dt  {P(t)1JH(t)P(t) . Observation 1). R) is a subgroup of GL(2n. R) is called the real symplectic group of order 2n. we conclude that H(t) is symmetric.5) is a Hamiltonian system. It is easy to show that Sp(2n.5. dlz P(t) = d = Since P(t)P(t) = 12 and P(t)T E Sp(2n.5.JdP( 'P(t) i. taking the inverse of both sides of the first relation. then M is also nilpotent. If we set M = S' N. A (2n) x (2n) real invertible matrix G such that GT JG = J is called a real symplectic matrix of order 2n.5. N is nilpotent. Definition IV53. Sp(2n.5. Observing that the lefthand side of this relation is the transpose of the righthand side. 0 Observation 1. R). GT JG = J implies that (G' )T JG' = J.6) G = S(12 + M). Since G is invertible.5.5. where S is diagonalizable.
Furthermore.12. M1 = J(I2n + M)J' . Hence. Part 2 Now. + MT)'.1) is periodic in t of a positive period w. AT Remark IV57. In fact. In fact. Lemma IV55.8) dzF dt = Bi . 1. Furthermore. R) is a connected set.1).2) are nilpotent. we can write this last relation in the form (JSJ') (J(I2n + M)J1) = (ST)1 (I2.2) and let H be a 2n x 2n symmetric matrix. Thus. then is also an eigenvalue of G with multiplicity m.12n. we can show that det G = 1 for all G E Sp(2n. (j = 1. S. R). It is not difficult to show that S. J(I2n + Af)J' = (12n + AfT)1. its multiplicity is even. H(t + w) = H(t).. In fact.. det G = 1. it can be shown that if I (and/or 1) is an eigenvalue of a symplectic matrix G.1) is changed to (IV. Also. Assuming that the set of 2n x 2n symplectic matrices with 2n distinct eigenvalues is dense in the symplectic group Sp(2n.5.5. Then. we proved the following lemma. R). 4i(O) _ 12n can be written in the form 0(t) = P(t) exp[tB]. Then. and M2 = = 1. Remark IV59. 2) are diagonal(12n + MT) 1 . where P(t) and B are real (2n) x (2n) matrices such that P(t) is invertible.e.IN).5. then A is also an eigenvalue of JH with multiplicity m.5. Let J be the 2n x 2n matrix defined by (111. 2). it is important to know also that if A is an eigenvalue of G with multiplicity m. It is also known that det A is equal to the product of all eigenvalues of A.7) JSJ' = (ST)'. In fact. the uniqueness of SN decomposition implies that S1 = S2 and 12n + M1 = 12n + M2. (j = 1.llf. and B is a constant matrix such that 4i(w)2 = exp[2wB]. slim. = MSS. we conclude that the unique (2n) x (2n) matrix solution 0(t) of the initialvalue problem d dtt) = JH(t)4y(t). Remark IV56. the two matrices S and 12n + M are also symplectic matrices of order 2n.. (JH)T = HJ = HJ'. Let G be a 2n x 2n symplectic matrix. applying Theorem IV43 and Remark IV44 to system (IV. LINEAR HAMILTONIAN SYSTEMS 93 The identity GTJG = J implies JGJ' = (GT)l. If we write a symplectic matrix G of order 2n in form (IV. Then. system (IV. J'(JH)TJ = JH. P(t+2w) = P(t) for all t E R.6) by using the unique SN decomposition of G (where Af = S. it is important to know that if A is an eigenvalue of JH with multiplicity m. (IV. Set Si = JSJ1. S2 = (ST)'. izable and that Af. (det G)2 = 1 and the 2n x 2n identity matrix is in Sp(2n.6). assume that the real symmetric matrix H(t) of system (IV.5. where denotes the transpose of A. R). Remark IV58.5. JGJ' = (CT)'. Therefore.5. Hence. i.5.5. Assuming that Sp(2n. Using (IV.
This implies that in order to show that the transformation (IV..11) = yP. log[4?(w)2] = log[S2] + 2Iog[I2r.)2]Pi(I(w)) + 2 E log[Aj]Pj('(w)). we obtain l2n (IV. To do this. = E P. other .\. log[4i(w)2].5.6(w))T.=1 \P(. The main concern of Part 2 is to show that a matrix P(t) can be chosen so that the transformation (IV. = Pj(..('t(w)). Y(O) = I2.5.(.t(w))T )2 k 0 U 36t). since 4i(t) is symplectic. Hence.94 W. + MI.0(W))T. if JB is symmetric. Lemma IV510. the matrix P(t) = 4i(t) exp[tB] is symplectic. Note that pAr(A) = PA(A) for any square matrix A. Hereafter we use notations and results given in §IV4.Ae 34 1. Therefore. it suffices to prove that J log[S2] and J log[I2i + M] are symmetric.5. k) are distinct eigenvalues of 4i(w).10) I2.9) is canonical.9) y = P(t)f. where Aj (j = 1. 1og[I2n + M] = and E () m=1 B= 1 m+l Mm. . if JB is symmetric. GENERAL THEORY OF LINEAR SYSTEMS by the transformation (IV. we have (IV... In order to prove that JB is symmetric.5. let us first prove the following lemma. the matrix exp[tB) is symplectic. . Also.10)..5.=1 0 (j # t). For the symplectic matrix 4i(w). For examples. . it suffices to show that we can choose P(t) so that JB is symmetric.12) Pj(0(w)T)JPe(0(w)) = 0 if A.5. 2. log[S2] _ ai <0 log[(. Pj(4'(w))2 = P Taking the transpose of (IV. k (1V.9) is canonical. . Note that Y = exp[tB] is the unique solution of the initialvalue problem = BY.5.
.5.JI2n (cf.D(w)) Fixing a pair of indices j and t and multiplying both sides of (IV. log[(A1)2]P.log[(S2)T]J. . we derive A. To do this..5. 1og[(S2)Tj(J) _ if A. Let us prove that J log[S2] is symmetric. 0 Observation 4. Hence.13).5. [J log(S2)]T = .. Lemma IV55)..e. (IV. )2] for j = 1.P. LINEAR HAMILTONIAN SYSTEMS Proof.A.t(w))TJPt(+(w)) = J log[S2]. AtP. we write J log[S2] and Iog[(S2)T](J) in the following form: I2nJ log[S2] = A. i.5. = > Pt(4 (w)). Note that for any square matrix A. Let us prove that J log[I2 + M) is symmetric. write 4'(w) in the form O(w) = S(I2n+M). choose 1og[(A.14) by Pj (4ti(w))T from the left and by Pt(4i(w)) from the right. in the following form: k k (IV. by using (IV. ST JS = J = 12. S is symplectic.t=1 A31 .5. Therefore.5.)2] Then. we write first [12n + M]TJ[I2n + M] = J in the form J[I2n + M] = (12n + MT)'J.)21 A.6) to G = 0(w). J=1 rewrite the identity ST JS = J = I21 JI2. 95 Upon applying (IV.ae=1 log[(At)2]Pi(. To do this. 2.13) k t=1=1 k k 12n = P k S= r=1 ST = EA.14) .(. (IV.A =1 log[(S2)T](J)I2n = Now.O(w))TJP log[(A.. J log[S2] is symmetric.12) follows.12) and (IV.. we have [log(A)IT = log(AT). Then.5. Observation 5...p(w))T. Using the formulas 12.(4 (w))T JPt(4 (w)) = P3(4'(w))TJPt(4 (w)) Hence. k in such a way that log[(At)2] = .t=1 Pi(qD(w))TJPt(..log[(A.(. = 1.5.
then log I log[1 + y(x)J = . In the case when the matrix H(t) of system (IV. + M] is symmetric. y(r) = ij. use was made of the fact that if 1 _+X = 1 + y(x). (b) P(t+2w)=P(t) for alit ER.1) is real. (IV. Theorem IV511.5. L Thus. we explain how to solve an initialvalue problem (IV.5..15) and J 00 m=1 = (lmm+l MM _ m=1 (lmm+l km J / J 1og[I2. + MI = (log(12n + 1GIJ) J = (log [(I2 + Thus. (d) the canonical transformation y" = P(t): changes system (IV.(log [12" + Mn) [J log(I2 + M)]T = log(I2i + 111T)(J) = J log(I2n + M).log(1 + x] 1 + xJ = as a power series in x.. and periodic in t of a positive period w. see (Mar] and (Si4]. where the entries of the n x n matrix A(t) and the C"valued function b(t) are continuous on an interval Z = {t : a < t < b} and r E Z.5. IV6.5... Here. (c) B is a constant matrix such that JB is symmetric. for m= 1. JMm = (Kf)mJ Therefore. This proves that J log[I2.7). 1) to L = BE. there exist (2n) x (2n) real matrices P(t) and B such that (a) P(t) E Sp(2n.2. For more information of exponentials in algebraic matrix groups. + MT J1 = 12. Hence. it is not difficult to show that M is nilpotent and JM = MJ.. Nonhomogeneous equations In this section. if E C".6. GENERAL THEORY OF LINEAR SYSTEMS Then.1) di = A(t)9 + b'(t). + M.. symmetric. we arrived at the following conclusion. J = . Using (IV. MT)1]) ]J.96 IV. write [12n + MT J 1 in the form [12.. R) for all t E R. As it was .
y" _ (t.6). Then.5) is given by z= i + t jt(s. r) of (IV. s) = 4'(t.T)_1(s)ds] (TV.6.6.6.rY1(s)ds.4) y' = 4)(t. System (IV. r)z.2) (cf.6.6.6. we obtain A(t)4)(t. r) di* . §§IV2 and IV3).6. r) be the unique fundamental matrix solution of the homogeneous system (IV.6. We treat the solution of (IV.6. differentiating both sides of (IV. In fact.6.2) is called the associated homogeneous equation of (IV. In a similar way. r)z""+ 4 (t. let the n x n matrix 4>(t. Consider the transformation (IV. using (IV.6.6. r)O(s. 7)17 + Jr t '(t.3) dY = A(t)Y.1).6)). dt Y(r) = In.1) by using the knowledge of the fundamental matrix solution 4)(t.5) dz _ dt r)z(r) = 4.2. we can change a nonlinear initialvalue problem d = A(t)17 + 9(t y).1) is changed to (IV. in particular (IV. the problem (IV.6.2) dy dt = A(t)y determined by the initialvalue problem (IV. use was made of the fact that 0(t. r)1 (cf. to an integral equation (IV. s)g(s. where r E I. NONHOMOGENEOUS EQUATIONS 97 explained in §IV2.r)Iit + j4(s. s)b(s)ds. (2) of Remark IV27.7) y(r) = i y = 4 (t.6. r)l + b(t) = Since the unique solution of problem (IV.4).6) l (t.6. Here. .7(s))ds. r)r1 + Jr r_ t $(t.
Example IV61.. U(n1)(. Higherorder scalar equations In this section.6. In order to reduce (IV.8) and g" = exp[(t . #p= .7. = where the coefficients a°(t). 1 b(t)= 0 1 t 0 The matrix A was given in Example IV33. a1(t).98 IV.10) Let us solve the initialvalue problem dt = Ay + 6(t).6) and (IV.e2t et .s)A]9(s. a fundamental matrix solution of the associated homogeneous equation is e2t to21 0) = exp(tA) = 0 e2t t)e2t et .6.7.r)A]it + / t exp[(t .. GENERAL THEORY OF LINEAR SYSTEMS The function g(t.1) ao(t)ucn) + al(t)u(n1) + . + an1(t)u + an(t)u = b(t). As computed in §IV3. 2 0 3 1 y(0) where A= 2 0 2 1 0 [2] .r) .s)A]b(s)ds r (IV.6. the solution of (IV.y1s))ds. and the nonhomogeneous term b(t) are continuous on an interval I = {t : a < t < b}. y) is the nonlinear term which satisfies some suitable condition(s).10) is 0 0 et exp[tA] j i0 + 111 r t 1 fo exp[sA]b(s)ds } 111 9t+5et(l+t)e 1 + to2t e2t IV7. we explain how to solve the initialvalue problem of an nth order linear ordinary differential equation (IV.. .1) to . u(r) = 'h. (IV. u'(r) = Q2.. respectively.(1 + Therefore.7) become (IV. + Jr exp[(t .6. .6.6. . formulas (N. In the case when the matrix A is independent of t.9) exp[(t ...r)A]>.
112=u'. To start with.. Also.7.1)..7.2) where 0 0 d11 dt = A(t)f + b(t).5u' + 6u = 3t. hn(t)J be a fundamental matrix solution of the associated homogeneous equation (IV. §IV6).. Example IV71. problem (IV. u"(0) = 0. Using 4i(t).. Let us solve the initialvalue problem (IV. we introduce a vector yl I.. set 111=u. HIGHERORDER SCALAR EQUATIONS 99 a system..2u" .2). 1 0 1 0 0 0 .7.5) u"' .7.7. y2=u".7. .I yn = u(n1). setting yj = u and 112 = u'... and y= 111 1122 IY31 .7.7. 0 0 1 A(t) = an0 an(t) ao(t) 0 0 an1(t) ao(t) 3(t) do(t) _a 2(t) ao(t) al(t) ao(t) b(t) = 0t) b(t) ao( Assuming ao(t) 54 0 on Z.. The first component of the solution of (IV.4) ao(t)u(n) + al (t)u(n1) +.. u(0) = 1. the first components of n column vectors of the matrix $(t) give the n linearly independent solutions of the associated homogeneous equation (IV.7.2) is the solution of problem (IV.3) d at = A(t)y of (IV. let 4?(t) = [ 1(t) 2(t) . tin Then.1).7.7. u'(0) = 2. . we can solve problem (IV.1) is equivalent to (IV. + an(t)u = 0 of (IV.2) (cf.
consequently.(3t + 1)e3t1 and.17e'2t + 50et + 2e3L 17e2t 2(15 + + 25et + 3e3t) 60 2(34e2t + 25et + 9e3t) 1 The first component of g(t) gives the solution of (IV.(t + 1)et 1 .(3t + 1)e '3t 3(1(3t+1)e39 .7.(3t + 3[1 .2(1+(2t1)e2tJ +20 1)et 1 1 + (2t .7. 0 Three eigenvalues of the matrix A are 1. e 4 1 3t 2 1 1 18 9 9 Thus.1)e2CJ 20 0 + 1 1 .0)1 6(s) ds 1 1 . 3t and [2]. .1)e2L] 1 .1)e2t 1 1 . 4[1 + (2t .1)e2t 4[1 + (2t .6) dy" = Ay" + b'(t). problem (IV. 0) = exp(tAJ = etP1(A) + e2tP2(A) + e3tP3(A) =6 6 1 6 et 6 1 1 1 1 1 e 6 15 _2t 3 4 8 12 16 2 + 10 6 3 3. and 3.(t + 1(t+1)e` +.100 IV. Therefore.7. 2.(3t + 9(1 . t 4D(s.5) is equivalent to (IV7. 5 2 1 0 0 1 b(t) = 0 I. The corresponding projections are 6 1 P1(A) _ 6 6 1 6 1 I 3 1 1 .(t + 1)e3t 1)et 1 1 + (2t . 1  1 [1_(t+1)e_tl 1 .(3t + 1)e3t] = 1)e3t] 30t + 25 .(t + 1)e' + .5). P2(A) 1 15 1 1 6 12 4 8 1 2 4 16 12 P3 (A) = 10 6 3 18 9 3 9 and N = 0.2(1 + (2t . where 10 (IV.1)e2t] 911 . 4)(t. dt y(0) = #I. GENERAL THEORY OF LINEAR SYSTEMS Then.7) 1 A= 0 6 0 1.
dl (t)t2(t) = c2 exp [ L  ft ao(s) t t s)ds I . w obtain 1 al(s) 02(t) = C101(t) +C201(t) J t 01(T )2 [ J ao(s)ds }dry where cris anoth1er constant.11) as a differential equation for 02(t).41(t) It ao(s)W(s)b(s)ds + 02(t) 42(s) rt ao(s)W(s)b{s)ds.01(t) 02(t) where 01 (t) and ¢2 (t) are two linearly independent solutions of the associated ho a fundamental matrix solution of (IV. Regarding (IV. Since 4i(t)1 = 1 . the first component of the formula 02(t) 01(t) where y"(t) _ (t}it + t(t) J t 4>(s)16(s)ds gives the general solution of (IV. Moreover.form a fundamental set of solutions of ao(t)u"+al(t)u'+ s f 1(r)2 a2(t)u = 0.3) has the form 4P(t) = mogeneous equation (IV. [Rab. 2412461).7. Let 01 (t) and 02(t) be linearly independent solutions of a thirdorder linear homogeneous differential equation (IV. In the case of a secondorder linear differential equation (IV.8) in the form u(t) = r)1451(t) + 77202(t) (IV.11) 01(t)02(t) . (IV.7.7. 1(t) and ¢1(t) J t _(s)ds] d7.7. 0' (t) ¢2(t) .7. where C2 is a constant.7. HIGHERORDER SCALAR EQUATIONS 101 Remark IV72.10) in the form (IV.12) ao(t)u"' + a1(t)u" + a2(t)u' + a3(t)u = 0.02(t) W(t) 011(t) W(t) = det(4i(t)). . This is known as the formula of variation of parameters (see.7. .8) ao(t)u" + al (t)u' + a2(t)u = b(t). x exp [  Therefore.4).10) W(t) =W(r)exp f ds do (s) J as in (4) of Remark IV27. for example.9) .7.7.7. Write (IV. Remark N73. Remark IV74. 01(s) where ill and q2 are two arbitrary constants. pp.7.
(ii) Pi Pt = O if U'41). Let A bean n x n matrix. and 02(r) Aa(T)2 exp [f' i) ao(s)dsj 1(r) dr .. where the integrals are taken in the counterclockwise orientation.7. .k).. On the complex Aplane. and N=AS.. GENERAL THEORY OF LINEAR.7.  A)1dA (j = 1. where 461 02 ¢2 4 01 02 '02" A1(t) = 101 A2(t) .13) [ft ao(s)ds] 'P 4i oz where c3 is a constant. Assume that Aj n At = 0 for j # 1.7. A2. (iii) A = S + N is the SN decomposition of A. . 02(t). using (IV.1.A2 I < r)} (j = 1. (4) of Remark IV27 implies that 10' 0 01 401 02 452 =c3exp (IV.13) in the form (IV. Then.7.02(t) I Ao(r)2 exp [  f ) ao(s) ds] dr form a fundamental set of solutions of (IV.14) is given by {01. k}. Ak be all the distinct eigenvalues of A..7. Set f P] 2'rf d ail=rj(AI.J ao(s)ds]dr} + 02 (t) I ` Ao(r)2 e L J T ao(s) I dT where cl and c2 are constants...102 IV. EXERCISES IV IV1.9).14) Au(t)o" + A1(t)O' + A2(t)4 = c3exp [Ic al(s)ds] ao(s) COI ..7.12). let 0(t) be any solution of (IV. we obtain 0(t) = C101 (t) + c202(t) + C3 I01(t) I Ao 02 (T3 eXp I  .02}. .. This implies that 01(t). + Pk = In.. SYSTEMS Also.i ' As(t) 40 0'2 oz A fundamental set of solutions of the homogeneous part of (IV. Therefore. Show that (i) Pl + . Write (IV. and let A1.7. . .12).. consider k small closed disks Of = {A : IA ..
Chapter XII. Show that = A1 arctan(tA1) if every eigenvalue of an n x n matrix A is a nonzero real number.. 3843). Let A be an n x n matrix with n eigenvalues Al.EXERCISES IV 103 Hint.. Use Lemma IV14. pp. pp. we obtain exp(tA) = a Banach space (cf.A)'do 00 Remark. sin t I. if p(A) is a polynomial in A with constant coefficients. and an n x n matrix B is in a sufficiently small neighborhood of A. Note that ro 1 {(u1n .. An. For an n x n matrix A. show that if f (A) is analytic in a neighborhood of each eigenvalue AJ. M m . If f (A) is analytic in a neighborhood of each eigenvalue A. then (s12 .A) 1 } = (oln .A)'1dA. 356386]). For general information. then f (A) _ 1 J=12rri IV3.. Let A = S + N be the SN decomposition of an n x n matrix A.A) 1 . For example. show that In lim +00 (In + A ) = eA. taking the inverse Laplace transform. . exp[tA] = 2T io)In . Show that j+00 (F) for t E R. IV4. Hence. Hint. . Also. This result means that exp[tA] is the inverse Laplace transform of (sln  A) 1. if A = [ U1 ]. . J(A2 +T 21" )'dr IV6. n). Show that. IV2. Hint.A) 1 = s2 + 1 [_i 1 ].. the matrices S and N are not continuous. then f (B) is well defined and Biim f (B) = f (A).A) 1 . as functions of A. see [Ka. Fix a real number r satisfying the condition r > R[AJ] (j = 1. Under the same assumptions as in Exercise IV1..(7In . [HUP.A) 1 (rln . cos t cost mula (F) is useful in the study of exp[tA] of an unbounded operator A defined on Isint For IV5. then k p(A) = 1j J=12rri p(A)(Aln .
>7j } are two constant vectors in C". . 656 42 arctan 234 15 465 30 3885 252 10 20 166 25 IV11.j.log(A) . !Ly (0) = 41 where E C" is an unknown quantity. Find log (I /r 11 ]).. x n j identity matrix. Hint.1k(t)Ik +Nkj. . Find explicitly a fundamental matrix solution of the system dy = A(t)y if there exists a constant matrix P E GL(n. 9(0) = 40 . Hint. find log(AB) . where for each j.e. matrix whose entries are 1 on the superdiagonal and zero everywhere else. In the case when two invertible matrices A and B commute. Find the solution of the following initialvalue problem 2 . and y E C' is the unknown quantity. P1A(t)P = diag[A.2A + A21r = etAe b7(0) = n.log B if these three logarithms are defined as in Example IV36. If we define F(u) = is sin u u then the general solution of the given differential equation j(x) = cos(xA)c"1 + xF(xA)c2. I1 is the n. If we set y = e`AU.. Find the solution of the following initialvalue problem 2 +A21 =D... d t2 u"(0) =r1'. GENERAL THEORY OF LINEAR SYSTEMS IV7.C) such that P"A(t)P is in Jordan canonical form. Ap(t) is a Cvalued continuous function on the interval a S t S 6. and {rjo. i..104 IV. IV10. u(0) IV8. Hint. V(0) = S.anii \` ` 0 252 698 1). {6. where A is a constant n x n matrix. the given problem is changed to Al =E. and N. A is a constant n x n matrix such that det A = 0. Note that cos(xA) and sin(xA) are not linearly independent when det A = 0.cos([ 498 4134 3 1 0 1 1 2 1 1 j). is an nl x n. . See [GH].S are three constant vectors in C". IV9. (t)I1 + N1iA2(t)12 + N2.
Show that the general solution of the differential equation on an ii x m matrix Y dY (E) _WT = A(t)Y . B(t). then Y(t)i exists for all points of the interval a < t < b. where A(t) and B(t) are n x n matrices continuous in the interval a < t < b. (1) show that. (2) show that Z = Y1 satisfies the differential equation dZ = B(t)Z . Assume that A(t).ZA(t). dt IV15. IV14. Given the n x n linear system dY dt = A(t)Y . and n x m matrices. Find the multipliers of the periodic system dt = A(t)f.= A(t)4 and W(t) be an in x in fundamental matrix of Z = B(t)u. whose entries are continuous on the interval a < t < b. is given by Y(t) = 4. m x m.YB(t).EXERCISES IV 105 IV12. if Y(to) I exists at some point to in the interval a < t < b.YB(t) F(t).(t)1 r` where C is an arbitrary constant n x m matrix. where A(t) _ [cost simt sint cost . 9(0) satisfies the condition lim y"(t) = 0. Given that A = 0 0 2 0 0 3 1 0 1 yi 4 2 0 0 0 I/2 0 ' 1/3 1/4 0 find a nonzero constant vector ii E C4 in such a way that the solution l(t) of the initialvalue problem d9 A9. t +oo IV13. and F(t) are n x n. respectively. Let 4i(t) be an n x n fundamental matrix of .(t) C 4.
See ILM2. set Rn+i.I (0. 0'(r. u)) : 0:5 t < +oo.r) tG'(r+w. GENERAL THEORY OF LINEAR SYSTEMS Hint. where the prime denotes d Set 0(0.J'(T.r) 0(r+w. Let A(t) and B(t) be n x n and n x m matrices whose entries are realvalued and continuous on the interval 0 < t < +oo. and periodic of period w > 0 in t on R.T) = 0. Also.r) J . A(t) = exp It 101 0]] IV16.r) = A*O*(t. Theorem 1 of Chapter 2 on pp. continuous. K _(r) be eigenvectors of M(r) corresponding to A+ and A_`. r) and t1'(t. Denote by ¢(t. 0(7. R = {(t.r).r) = exp [J t Kt(() d(l r these two functions satisfy the differential equation (Eq) and the conditions 13f(t+w.'r) V(0. Also. 161163j. i(0) where u E U. how that (i) K±(r) are two periodic solutions of period w of the differential equation dK dT ± K2 + u(r) = 0. r) 1 i.u(t) y = 0 and o(r. IV17. ¢(t.106 IV. (11) Let A+ and A_ be two eigenvalues of the matrix M(r). 6972 and Lemma 3A of Appendix of Chapter 2 on pp. r) = 0. r) be two solutions of the differential equation (Eq) such that d2y dt2 . Show that R is closed in Hint. u) the unique R"valued function which satisfies the initialvalue problem at = A(t)i + B(t)u(t). t. M(r) _ (I) Show that 0(r+w.u(t)j < 1 for 0 < t < +oo. Denote by U the set of all R'valued measurable functions u(t) such that .r) M(r) = C(r)'1M(O)C(r). Fix a l` vector { E R". . (ii) if we set Qf{t. u E R}.r) Vl(r+w.T) = 1. r) C(r) = 10'(0. let ¢(t. Let u(t) be a realvalued. Let I K+(r)J and respectively. for every real r. r) = 1.
Since eigenvalues of M(r) and M(0) are the same.e. 4'(0) = 12n. Now. Furthermore. Hence. 0)C(r) _ 4'(0. In particular K+(t + W) = 17'+ (t + w) = K+(t). r) and M(r) = 4'(r + w. A E Sp(2. r) = 4'(t. Show that G1JHGJ is symmetric. A+ = exp I o o K+(r)drJJ I I. Note that C(r) = 4'(0. Hint for (II). the eigenvalues of M(r) is independent of r. Show that d4'dt) = JL(t)4'(t)T. . 0)C(r) and 4'(t + r) = 4'(t. IV20. Therefore. Show that (a) A real 2 x 2 matrix A is symplectic (i. r) is a fundamental  and y = 4'(t. H. The solutions 0±(x. IV18. r)c is the solution satisfying the initial condition y(r) = c'. H is symmetric. ((t. Hint for (b). Set 4'(t. and J = I 0n . where J = I 0n n and H(t) l T J is symmetric. Let G. Note that det(etNJ = I for any real 2 x 2 nilpotent matrix N. where 4'(t)T is the transpose of 4'(t). r)M(r) = C(r)M(r) and 4'(w. and J are real (21n ) x (2n) matrices such that G is symplectic. Problem (II) claims that the quantity K+(r) can be 17+(t + w) found by calculating eigenvectors of M(r) corresponding to A+. W+(t) = K+(t) is independent of any particular choice of such solutions q+(t).r) _ matrix solution of the system (t (t' ) I JJJ Then. Suppose that the (2n) x (2n) matrix 4'(t) is the unique solution of the initialvalue problem L'P = JH(t)4'.EXERCISES IV 107 Hint for (I). R)) if and only if det A = 1. 0) = M(O). it is not difficult to see 4'(w. r)M(r).. IV19. Solutions 77+ (t) of (Eq) satisfying the condition Y7+ (t + w) = A+n+(t) are linearly dependent on each other. r) = 4'(w. (b) the matrix l 01 0J N is symmetric for any 2 x 2 real nilpotent matrix N. r) of (Eq) are called the Block solutions. The same remark applies to A_. Set L(t) = 4'(t)1JH(t)4'(t)J. r). 4'(t.
in order to construct a power 00 series solution y"(x) = E xmd n. we define the SN decomposition for a lower blocktriangular matrix of infinite order. we can represent a linear differential operator (LDO) G[Yj = x + f2(x)lj. We explain the classification of singularities of homogeneous linear differential equations in §V7. [Sill. generally speaking. we do not pay any attention to the convergence of the series.. 22251 for the case of linear differential equations]). assuming that the entries of the C"valued function f are convergent power series in complex variables (x. Having found a formal power series solution. Theorem 141 does not apply to system (E). Some basic results concerning linear differential equations given in this chapter are also found in [CL. Nevertheless. Y). Hukuhara (cf. y) is not analytic at x = 0. i to test its convergence. where f2(x) is an n x n matrix whose entries are formal power series in x with coefficients in Cn. This basic result is explained in §V2 (cf. we constructed power series solutions. where x is a complex inde pendent variable and y E C" is an unknown quantity. Theorem 3. we calculate the normal form of a given operator C by using a method due to M. and the coefficients d. §3. In §V6. In this stage of the calculation. we derive the SN decomposition of L in §V4 and a normal form of L in §V5 (cf. it is known that if a formal power series solution of (E) exists.. we consider a system of differential equations (E) xfy = AX. [HKS]). 117119) and [Wasl. pp.3. . pp. 85891). y) E Cn+I with coefficients in C. Furthermore. As the function xI f (x. The main tool is calculation with power series in x. the existence of formal power series solutions of (E) is not always guaranteed.9. are calculated by using these relationships. This process leads us to the concept of formal power series solutions (cf. this expression is inserted into the given differM=1 ential equation to find relationships among the coefficients d. In §I4. In §V3. then the series is always convergent. using successive approximations. The SN decomposition of L was originally defined in [GerL]. we estimate Ia'. §V1). Theorem 5.CHAPTER V SINGULARITIES OF THE FIRST KIND In this chapter.. 108 . [CL. Using such a matrix.1. Chapter 4]. In this way. However.. pp.
it follows from (V. y.1... Example V11. denote by C{x) the set of all power series in C[]x]] that have nonzero radii of convergence.xm E C[[xj]. Then. Furthermore. for c E C and f = >2 a. Let F(x. = 0 m=0 if m > 1. yn with coefficients in C[[x]]... FORMAL SOLUTIONS OF AN ALGEBRAIC DE 109 V1.. we define cf 00 m=0 by cf = >camx'.. Consequently. where y is the unknown quantity and x is the independent variable. (For commutative algebra. In this definition.) Also. it is not necessary to assume that the coefficients of F are in C{x}.xm E C[[x]]... C[[x]] is a eommutattve algebra m=0 over C with the identity element given by E bmxm. see. C[x] is also a subalgebra of C[[x]]. we define f = g by the condition an = b"... .. the summf + g and the product f g are defined by f +g = m=0 (am +b. Hence. Formal solutions of an algebraic differential equation We denote by C[[x]] the set of all formal power series in x with coefficients in w 00 C. .1). y.. Then.. 2a.2) xLY +yx=0. and m>0 (m + 1)am = 0 ( m > 2 ).. To find a formal solution of (V..1) m=0 F dy . yn) be a polynomial in yo.1.1. .. m=0 n=0 respectively.1. There are some subalgebras of C[[x]j that are useful in applications.... With these three operations. Then.)xm and f g = 00 (F amnbn )x"'. for example. C[[x]] m=1 is a commutative differential algebra over C with the identity element.. [AM].2) that ao = 0. a differential equation (V. f. yo. = 1. For example. we define the derivative rX of f with respect to r by dx _ E(m+ 1)a.. . denote by C[x] the set of all polynomials in x with coefficients in C . Then. where bo = 1 and b. If F ` x.1. .+. For two formal power series f = E amxm and g = m=0 m=0 00 00 b.d"y =0 is called an algebrutc differential equation. Also. then such an f is called a formal solution of equation (V.x'.x' and the integral m=0 r "0 00 ( 0 f (x)dx by f f (x)dx = o airi x"' for f = E a. C{x} is a subalgebra of C[[x]] and C]x] is a subalgebra of C{x}.dxn y. set y = Famx'. y = 2x is a formal solution of equation (V.. .2). Also.1.. for all m > 0... f dxn = 0 for some f in C[[x]].
. if f E C{x} is a formal solution of (V. define 0 + iP = x(f + g). yo. The set x°C{x} is a commutative differential module over the algebra C{x}. For 0 = x°f E x°C[[x]].1). x°C([xfl is a commutative differential module over . a series d(x) E x°C[[xj]n is said = A(x)e in x°C[[x]jn.1..110 V. Therefore.. and h E C(jx]]. in order to construct a formal solution. the algebra C((x]]. we obtain 00 Co m=0 m=0 xa (A + m)xm= xa LtAm_i. .. if a is a nonnegative integer. . mh Therefore. yo. yn) is a convergent power series in (x.... hO = x°hf. then F(x. Assume also that A + k are not eigenvalues of A(O) for all positive integers k.. yn) and if fo(x) E xC[[x]j..3). If F(x. a is a complex number. Similarly. the differential equation (V. xfy A(x)g. then x°C([x]] C C[[x]]. fn(x)) E C[[xJj. . using the notation x°C[[x]]n to denote the set of all vectors with n entries in x°C[(x]]. yn) and if fa(x) E xC{x}. we can define a formal solution fi(x) E xC[[x]]n of system (E) by the condition x = Ax. Also. in the case of a homogeneous sys tem of linear differential equations to be a formal solution if x theorem.1. 0 = x°g E x°Cj[x]j. f.3) x!Ly = A(x)g has a nontrivial formal solution fi(x) = xa f (x) E x"C[[x]]n Proof. if F(x. SINGULARITIES OF THE FIRST KIND In general. . let us prove the following Theorem V12.) is a formal power series in (x. 00 Insert g = xa E x'nam into (V. fo(x). Furthermore.1.. and xL = ox°f + x°x Then. (Similarly. Then. Now. fn(x) E xC([xj]. and x° = exp[a logx].n + E Amhah h=0 (m > 1 ). . i) in C[[x]j ... fo(x).. .. yo. .. then F(x. let x°C{x} denote the set of convergent series x°f (x).. then the sum of f as a convergent series is an actual solution of (V. where An E Mn(C) and Ao = A(O).. where f (x) E C{x}. Suppose that A(x) is an n x n matrix whose entries are formal power series in x and that A is an eigenvalue of A(O). where f (x) E C([x]]. .(x)) E C{x}.. Setting A(x) _ y2 xmAm. yo. the coefficients am must be determined by the equations . fn(x) E xC{x}... .1ao = Aoa"o and (A + m)am = Aodd.1) if all coefficients of the polynomial FareinC{x}. . . we define x°C{x}n.1.. y. Denote by x°C([x]j the set of formal series x°f (x). .) Also. .
. Ck P[x'+k +oo k =1 J = x' {mnof" (s)xm + > Ckxk +oo (frn(s + k)xm/ } m=no m no +oo = x' fno(s)x + ( (. in s is not greater than n. Then. in s is not greater than n. +o0 (ii) For a formal power series d(x) = E ckxk. = ((A + m)1. Set ab P[x'] = x' m=np fm(s) xm. J In order that y = x''(1 +b(x)) be a formal solution of P[y] = 0. we can prove the following theorem. then. Then...1.fm(s) + k=1 Ckfmk(s + k)) x"`m J1 xa+no AK( + M=1 m + E Ckfno+mk(s + k)) x"' k=1 . Assume that n > 1 and an(x) 54 0. there exists a formal series x' (x) E xr+IC[[x]] such that P[xr(1 +O(x))] = 0. The convergence of the formal solution ¢(x) of Theorem V12 will be proved in §V2.... (s) are polynomials in s and no is a nonnegative integer 0.. it is necessary and sufficient that the coefficients cm and r satisfy the equations fno (r) = 0. whereas mh ii'. Proof (i) Since 6h(x'] = shx'. ado must be an eigenvector of Ao associated with the eigenvalue A..A0)1 h Amhah form? 1. . it is evident that the degree of f. (ii) If zeros of fno do not differ by integers... FORMAL SOLUTIONS OF AN ALGEBRAIC DE 111 Hence. Remark V29). for each zero r of f. (i) The degree of f. let h be the maximum integer such that Ao + h is also an eigenvalue of A(O). such that Theorem V13. 0 For an eigenvalue Ao of A(O)... n Let P = Eah (x)&h (b = x d h=0 / be a differential operator with the coefficients ah(x) in C([x]]. assuming that the entries of the matrix A(x) are in C(x) (cf. fno+m (r) + E Ckfno+mk(r + k) = 0 k=1 (m > 1).. where the coefficients f. Theorem V12 applies to A = A0 + h. we have k=1 +oo P[x'(I + b(x))] = P(x'] + k=1 +oo L.
SINGULARITIES OF THE FIRST KIND It is assumed that f. and let f = E amxm E CI[x]] be m=0 a formal solution of the differential equation F(x. (SS2]. yi.x = 0. Remark V16.1. including some problems in analytic number theory. sharp estimates of lower and upper bounds of coefficients am of a formal solution f = F. In order that f = >a. y = Y (1)m(m!)xm+i is a formal solution of the differential equation 2d + y . in [Mah]. p..xm be convergent. . yo....00 axm of an algebraic differential equations are very important.1. Theorem V15 (E. dny = 0.... Formal solutions of algebraic differential equation (V. The polynomial f. The book [GerT] contains many informations concerning upper estimates of coefficients lam I. The following result'nR gives a reasonable necessary condition that a power series be a formal solution of an algebraic differential equation... Also. it is known that some power series such as (m!)mxm do not satisfy any algebraic differential equation. and [SS3].( 1 r + m) ckfn+mk(r + k) (m > 1).1) as defined above are not necessarily convergent.. y. [SS1]. [Pop].13 is not necessarily convergent if the degree of f. details are found.. with coefficients in C{x}. (s) is called the indicial polynomial of the operator P. (r + m) 54 0 for nonzero integer m if r is a zero of Therefore. Ly. r and c. . (s) in s is less than 2y m=0 n..4) I am I < K(m!)PA' (m > 0). .. . the formal solution x' (I + fi(x)) of 2 Theorem V. .. Remark V14. it is necessary and sufficient that m=0 la. are determined by m1 (r) = 0 and cm = 7. even if all coefficients of the polynomial 00 F are in C{x}. For example. there exist nonnegative numbers K. . We shall return to this result later in §XIII8. Let F(x. m =9 For those results.112 V. . dxn / Then. for example. and A such that (V. Convergence of the formal solution x'(1+¢(x)) of Theorem V13 will be proved in s is n and the coefficients at the end of §V7. Maillet [Mail). assuming that the degree of ah(x) of the operator P belong to C{x}. I < KA' for all nonnegative integers m. y. Also. In various applications. yi... where K and A are nonnegative num00 bers.... yn) be a nonzero polynomial in yo.
we need some preparations. .3) in the form xd'o dx = Ao + + rym f (x. Observation V21. + pn and yam' = yi' yn^.A0 . A formal power series 00 (V.1) X fy = AX. are nonnegative integers. we prove convergence of formal solutions of a system of differential equations (V. write condition (V.4) "t.0) as a formal power series..2) satisfy condition (V. y7) with coefficients in C. Then..2. ¢) .. where yi. In order that a formal power series (V.1) if (V.3). where y E C' is an unknown quantity and the entries of the C"valued function f are convergent power series in (x. 0) = 0.. y~'fv(x)..are the entries (3) fo E xC{x}" and f.. Setting A(x) = F.2. Iel>2 where (1) p = (pl... 2.. Y).2.. 6) and A(x) _ Lf(x. (V. Note that fo(x) = Ax. = A0E for m = 1. CONVERGENCE OF FORMAL SOLUTIONS 113 V2. E C" ) is a formal solution of system (V. .2. x'A"s M=0 Ao = LZ 0.2. (2) jpj = pi + of g.0).2) E x' ..3) X dx = f(x.2. E C{x}". Therefore. ..0) I where the coefficients A". are in M"(C). it is necessary that f (O.2. rnt E xC([xfl" (c. Convergence of formal solutions of a system of the first kind In this section. write f in the form f (x.2.2. . .. y) = o(2) + A(x)g + F. (4) A(x) is an n x n matrix with the entries in C{x}.p") and the p. To achieve our main goal.
[d(x)p .z dz on i E C".0(x) + A(x)z" + L.2.Z+dN(x))f r. If system (V. (x)) . N(x)) = A(x)(d(x) .(x) InI?2 . Note that ry'm is determined when c1 i .2.. set ¢N (x) _ m=1 x'6.. Supposing that formal power series (V.5) has a solution {c1 i . by means of the transformation y" = z1+ y5N(x).2) is a formal solution of (V. then 4.mo) decides whether a formal solution ¢(x) exists.2. C.0(x) = zddN(x) dx Now.2..f (X.Ao1 fi(x) + IpI>2 00 fp(x) 1: xm7m M=1 and Im E C n.1). . Ipl>2 it follows that AX.6)  xdON(x) E xN+1C{x}".dN(x)) = 9N. Therefore..114 V. .7) xdx = JN(x.. dN(x)) E xN+C[Ix]]". 4V W) (V. c.. [(+ $N(x))" . .2.. 0) ..O(x) + f(x. l = f (x. Set dx 9N.2.A0 are invertible if positive integers m are sufficiently large. SINGULARITIES OF THE FIRST KIND where (J(x))p f (x... N Observation V22... c. xd¢N(x) dx = xdd(x) dx xdoN(x) E xN+1C((x((n.1) to the system (V..a }.N(x)'] f. z + dN(x))  xdjN(x) dx = 9N.f (x. $(x)) .2. those mo constants vectors determine a formal solution (x) uniquely.N(x)) + F.AoO = o(x) + IA(x) . where 9N(x.. . AX. change system (V. . dx Hence.5) mEm = A0 + (m = 1. This implies that there exists a positive integers mo such that if 61. Also. the system of a finite number of equations (V...._ 1 are determined and that the matrices mI" .2. Since Ax.a are determined.f(x. is uniquely determined for all integers m greater than mo.N(x)D] ff(x).
. if N is Observation V24. ou xm'1'm m=N+1 Note that the matrices min .2.2. .o E xN+1C{x}" and g""N. system (V.2.Ao are contained in xC{x}. .8) ON(x) = O(x) .Ao are invertible for m = N + 1. 9N(x. ¢ E xN+1C{x}n..O(x) + BN(x)z + L xr 9N.2.AO1GN(x) = f(x. fi(x))  AOcN(x)  xdVx) = 9N. Then..$(x)) . Then.1) has an actual solution q(x) such that the entries of i(x) are analytic at x = 0 and that ij(0) = 0.p(x).2..Ao1 i'N(x) + E (ZGN(x))p 9N.7) has a formal solution 00 (V.O(x) + [BN(x) . m=N+1 Furthermore. where Ao = (V.p(x) Ip1>2 =E sufficiently large.1) has a unique formal solution 00 69 (0. 0). Suppose that fo(x) = f (x. .9) t(x) = E X'n4n E x^'+1C((x}]n..1). is convergent and E xC{x}". The coefficients cm are determined recursively by me..ON(x) _ m=N+1 x'"cn.ILN(x)) .p E C{x}". Ip1?2 where (1) 9N. the dim (0) of q(x) at x = 0 is a formal solution of Taylor expansion ¢(x) _ j (V. Furthermore. = Aocm + '7m where for m = N + 1. 0) E xN+1C{x}n and that the matrices mIn . Keeping these observations in mind. System (V.2.2. = 9N. E xN+1C1jx11 n. CONVERGENCE OF FORMAL SOLUTIONS 115 As in Observation V21. Observation V23. . write gN in the form 9N(x. N + 2.A0 (m > N + 1) are invertible. Theorem V25. Suppose that system (V. N + 2. (2) BN(x) is an n x n matrix with the entries in C{x}. let us prove the following theorem. (3) the entries of the matrix BN(X) .Ao1 N(x)  dx = f (x.
.y2)I 5 (IAoI + 1) 1111 . Theorem V25 states that there is only one formal solution in xN+1C[[xJJn Proof of Theorem V25. 2.1) possibly has many formal solutions in xC[[x)J". However. b. Step 1.o)I 5 HIxIN+1 for IxI < 5 (II) Hence. We prove this theorem in six steps. = Ao6..2.. m=N+1 This implies that rym = 0 for m = 1. f (x. the formal solution ¢ is convergent and xN+1C{x}".Ao}fi(x) + 00 E (_)P_) IpI?2 xmrym.2. Hereafter.Ao¢ = o(x) + JA(x) . Hence. To do this. first notice that there exist three positive numbers H.. Step 3.y2I for Ix) < b and Iy. we can prove the existence and uniqueness of formal solution (V.7m'1 (0) of #(x) at x = 0 is a formal solution of (V. (ii) there exist two positive numbers K and 6 such that jy(x)I < KIxjN+1 00 for IxI < 6. SINGULARITIES OF THE FIRST KIND Remark V26. and p such that (I) and If(x. Then. Since such a formal solution is unique.N+2. 2). Step 2.. the Taylor expansion E m=N+1 xm ml a. Because the Taylor expansion of if(x) at x = 0 is E convergent. + rym following conditions: for m=N+1. N.1) that satisfies conditions (i) and (ii) of Step 2. .2. we shall construct an actual solution f(x) of (V. If(x.1) has an actual solution q(x) satisfying the (i) the entries of rl(x) are analytic at x = 0... y)i <_ HIxl "+1 + (IAoI + 1)Iyl for Ixl < b and Iyl <_ p. .91) .. (III) If(x.f(x. 4) .. system (V.. uniquely determined by (m > N + 1) are mc.9). I <p (j = 1.116 V.2. Observation V24).1) (cf.. Under the assumptions of Theorem V25. Suppose that system (V.2.. In fact.. it follows that $(x) = E m=N+1 xm d1ij  (0). Using the argument of Observation V21.
1  nkll = maxiInk+iIZI ++1k(x)I InI < b}.. Set I1'Rk+1 for H + IAoI 1]K IxIN+I < K 1xIN+1 for jxj < S.1. assume without loss of any generality that (V.F(c nk (o) < {H + IIAol + 1jK}j£VN Therefore. CONVERGENCE OF FORMAL SOLUTIONS 117 Using the transformation of Observation V22. since I ik+1(x) .2. we show this recursively with respect to k as follows..1kl II This implies that k. for jxj < b. First if this is true for k. Hence. . then I i k(x)1 < Kjxl N+l < K&N+I < p Hence. we shall show that for k=0.2.1.+00 xN+1 lim ilk(x) _ e=0 #e+1(x) .12) J f n+(f )) Define successive approximations )b(x) = 0 and 1?k+1(x) = IZ Now.ik(x)I = fo we obtain IInk+1 . Change system (V.1) to an integral equation : (V.'1k11I 2lI'7k .2. N can be made as large as we want without changing the matrix A0..11) K> H + NAol i 1]K and K6N+1 < p Step 4.. 6.#((X) xN+1 exists uniformly for Ixl < J. fix two positive numbers K and b so that (V.. lnk(x)I < KIxIN+1 for jxl <b and k=0. Then. II7k+1(x)I < Step 5.2.. Since this is true for k = 0.llkII j + N+1 171k .10) IAoi + 1 1 N+1 < 2 Also. I'.2.2.2..
Amt Am2 . }i. Set Al = All..2. Theorem V27. Then. .A!. Setting #(x) = xN+1 ("liM xJ`'+1) = ku> nik(x). it is easy to show that n'(x) satisfies integral equation (V.... in this section. by using the argument given in Observations V22 and V23. k).12). the proof of Theorem V25 is completed. 0 Now."_ 1 matrix. ..Am! [ B.. f E C{x}" by virtue of Theorem V27. Set Nm = m Form > 2. we derive.e. 0 Amm J nt. . x Nm matrix. A21 A22 0 .. However... Remark V29. As a linear differential operator will be represented by a lower blocktriangular matrix of infinite order.118 V. we write Am . the quantity AJk is an n. The SN decomposition of a matrix of infinite order In §V4. Am = Am l Am2 ..1) is conver gent. we obtain the following theorem.. let Amm = Smm +Nmm l1 . then every formal solution is convergent.2.2. the formal power series f is a formal solution of xd _ [A(x) . If yi(x) = xA f (x) E XAC[[xfj" is a formal solution of a linear system X!LY = A(x)y. V3. i... (V. Thus. we shall define the SN decomposition of a linear differential operator. while Bm is an nm x N. Every formal solution E xC[[zjJ" of system (V. In general. where for each (j.. Theorem V27 states that if (V. E xC{x}". x nk constant matrix. Remark V28. A.1) may not have any formal solutions.. It is also evident that i7(x) is analytic for IxI < 6. 0 0 (m > 2). Am... This proves convergence of the formal solution constructed in Theorem V12. Therefore. Am. is an N". . Also. .. .. finally.2. SINGULARITIES OF THE FIRST KIND Step 6.1) has formal solutions. All A21 0 A22 O O ...n 0 . the SN decomposition of such a matrix All 0 0 . .
if we count those independent eigenvectors. where p is an eigenvector of Bm_1i whereas q is an eigenvector of µm. Cm and fm are nm x Nm_1 matrices. it suffices to show that Bm1 and µm are diagonalizable. SmmNmm = NmmSmm. S11 C21 0 S22 0 . Proof = rI Sm_1 0l Smm L Cm (m > 2). Note that since Sm is diagonalizable.. Therefore. Smm N1 = N11. where 13m1 and Dm1 are Nm1 x Nm_1 matrices.. (m > 2). The matrices Sm and Aim have the following forms: S1 = s11.. D . The following lemma shows how the two matrices Sm and Aim look. Sm is an Nm x Nm diagonalizable matrix. 0 .. Nil Aim = Y21 0 JN22 0 0 0 Nmm (m>2). it follows that Sm = [B m1 ILM0 and Aim = I fm1 01. . Aim = [Aim_i fm O Nmm 1 where Cm and fm are am x N... 0 Lemma V31 implies that the matrices Sm and Nn have the following forms: S1 = SI1. Lemma V31. I linearly independent eigenvectors. Note that Nm = Nm_ 1 + nm.. Since the matrices Sm and Aim are polynomials in Am with constant coefficients. it can be shown that Bm1 has N. Sm has Nm linearly independent eigen vectors.. Dm_1 and Vm are nilpotent.. where Smm is an nm x nm diagonalizable matrix. while Pm has nm linearly independent eigenvectors. Aim is an N. Consider the case m > 2. Hence. Bm1Dm1 = Dm1Bmi and tlmvm = 1.. . = Ni1. An eigenvector of Sm has one of two forms k PJ and [?. S"' J N.m µm._1 matrices. and µm and vm are nm x nm matrices. Also.3.. respectively. 0 0 Sm = Cmi and (m>2) Cm2 . and SmAm = NmSm.. Nmm is an nm x nm nilpotent matrix. Fm 1 Fm2 . THE SN DECOMPOSITION OF A MATRIX OF INFINITE ORDER 119 and Am = Sm + Aim be the SN decompositions of Amm and Am. . x Nn nilpotent matrix...] . This completes the proof of Lemma V31.. Furthermore.
1) w C(yl = x E + f2(x)Y.. The SN decomposition of a differential operator Consider a differential operator (V.k and Fjk are n3 x nk matrices.4.l fZn2 mI... V4. Then. where f2(x) _ > xt1 and 1 t=o Let us identify a formal power series ao a1 xt dt with the vector p = t>o a2 E C. (V.. + fZa 0 .. 0 .. 0 . + f2o l1 0 . .1) A=S+N and SN=NS.3.1) the SN decomposition of the matrix A. .Wmm N= 1m 1 Fm2 .3..120 V... SINGULARITIES OF THE FIRST KIND where C. 0 Then. f21 A = 11m f4. We call (V. the operator C is represented by the matrix flo f2l f12 0 In + f2o 0 0 21. Set S11 C21 0 S22 0 0 "' S = Cml Cm2 Smm 0 f f21 N11 0 N22 0 0 "' ..
.. . .> is the oo x oo identity matrix. . V5. and v. Let A = S + N be the SN decomposition of A.4. where f2(x) = Ex1fle and Sgt E WC). where the a. A normal form of a differential operator Let us again consider the differential operator (V.. it follows that (V. . respectively...2) S= am aml am2 at min + SO 0 and No V1 O No V1 O 0 No Vm2 V2 (V.4. In §V4. + So al 0 0 21n + So a2 O 0 0 . Then. the matrices S and N have the forms So al 0 I. 00 00 Set a(x) = So + E xtat and v(x) = No + t_1 trot. A NORMAL FORM OF A DIFFERENTIAL OPERATOR 121 where I is the n x n identity matrix.2) t=o L[y] = Lo[yl + v(x)y" and Co[v(x)yl = v(x)Lo[yj...3) N= Vm Vm1 .4) the SN decomposition of operator (V.5.4. where (i = R2 and I.e....5...4..5.1). We shall show in th next section that Lo[yj is diagonalizable and v(x)n = O. we derived the SN decomposition (V. VI No 0 . . Since A = S + N and SN = NS.. the operator: y" + v(x)y). (V...4. S represents a tvl + a(x)y. Since A = L j) 11 A1.1) 00 L[yj = X f + Q(x)U. while N represents multiplication by differential operator Lo[y1 = x v(x) (i.. .4) L[gf = Lo[Yj + v(x)y" and Lo[v(x)y1 = v(x)Lo[yl We call (V. are n x n matrices and S2o = So +No is the SN decomposition of the matrix S2o.
Then. +..PtAo is invertible if m is sufficiently large. \n) Note that A.4.4) can be solved with respect to Pt.. .5.. SINGULARITIES OF THE FIRST KIND where (V. we can further determine matrices Pt for t > m + 1 by the equations t (V. (V. (j = 1. If m is sufficiently large. n) are also eigenvalues of flo. A2..4. . = Pi Pm such that SmPm = PmA0. there exist an invertible n x n matrix P0 and a diagonal matrix Ao such that SoPo = PoAo.122 V. Set P(x) = >x'P. .. Hence. h=1 Equation (V. n) are eigenvalues of So. 2...4. Notice that N = So + No is the SN decomposition of S2o and that the operator Go[ul and multiplication by v(x) are represented respectively by matrices (V. t=D entries of P(x)1 are also formal power series in x and (V. Sm is diagonalizable.3). since the linear operator Pt + (tl + So)P1 .4)). .5. .3) and Co[YI = x + a(x)y Co a(x) = So + 00 xtat and v(x) = No + t_1 xtvt t=1 (cf. we can find A P an oo x n matrix P = Pm 1 I such that SP = PAa.. 2. In this way.% Sm = al 0 0 21 + So 0 0 0 am_ 1 am2 Since So is diagonalizable. For every positive integer m. Set 0 I... (j = 1. A.4) (tl + S0)Pt + E ahP1_h = PtAo.5.2) and (V. NO = diag[al.5. . Po there exists an (m + 1)n x n matrix P.5) Co[P(x)j = P(x)Ao. Hence.
Thus. . (2) P(O) is invertible and SoP(0) = P(0)Ao. vo(x)P can be written in a form i (x)P = X'pQP(x). it follows that (V. Observe further that the matrix &.7) x dxx) + Aovo(x) = P(x)'Lo(P(x)vo(x)1 = P(x)`Co[v(x)P(x)1 = P(x)'v(x)Lo(P(x)1 = vo(x)P(x)'Co(P(x)1 = vo(x)Ao This shows that the entry i. Since v(x) = P(x)vo(x)P(x)1. +Aou". respectively. f _.5.5. we arrive at the following conclusion.k(x) on the jth row and kth column of the matrix vo(x) must have the form v. where z^O = exp ((log x)Ao] = diag(za' . . (V. Since Lt(x) is a formal power series in x. L0(x)P = 0 if p is sufficiently large. where mp is a nonnegative integer such that lim mP = +oo and P+oo the entries of the matrix Qp(x) are power series in x with constant coefficients.5.5.6) _. we have vo(x)P = xA0rPxAo. Z112'. (x) can be written in the form '711 'Yin vo(x) = x^°rx^°. { vo(x) = P(x)'v(x)P(x). for any nonnegative integer p. Theorem V51. Then. /Co(u1 = P(x)'Co(P(x)Uj. _. since No is nilpotent.5.. l du' \ _ . there exists an n x n matrix P(x) such that (1) the entries of P(x) are formal power series in x with constant coefficients. Observe that . where r= '7ni Inn Hence.k(x) = 7jkxAka'. 1 =x du dvo This shows that the operator Co(y1 is diagonalizable. _. let 0o = So +No be the SN decomposition of the matrix N.1). where A0 is a diagonal matrix whose diagonal entries are eigenvalues of Q0r . Furthermore. we obtain v(x)^ = O. _. za^ I. where ryjk is a constant... This implies that the matrix r is nilpotent. Therefore. Then 1C(u'j = X 0(u'] + vo(x)u'. For a given differential operator (V. A NORMAL FORM OF A DIFFERENTIAL OPERATOR 123 Define two differential operators and an n x n matrix by X [U1 = P(x)iC(P(x)uZ.8) vjk(x) = 0 if Ak ..)j is not a nonnegative integer.(V. On the other hand.
Since the entries of vo(x) are polynomials in x. SINGULARITIES OF THE FIRST KIND (5) the transformation (V.5. . . Choose integers l1. .. (V.1) to another differential operator (V..Aj is not a nonnegative integer. Theorem V27). .11) Vj k = 0 if Ak . the following theorem is proved. Therefore. Note that Ao + L = diag(A1 + P1.9) P(x)u changes the differential operator (V. .5. where L = diag(e1. A2 + e2. vo(x) = x4rxL.5. vo(x) = x^Orx^0. the matrix r as nilpotent.124 V. Thus. v(x) is convergent and. Observation V53. f2. Ko(61 = x dil + Aou. If we set 7t{V1 = x'! 1C(xf and ho{v") = xLICo(x' i . and r= Ynl Inn with constants "ljk such that (V. An + enj and (V. Then. hence.5.5.13) (Ao + L)r = r(A0 + L)... Furthermore. . It is easily verified that the matrix P(x) is a formal solution of the system xd) = P(x)(Ao + vo(x)) .+f j = Ak +fk if Aj Ak is an integer. en]. to so that A.Sl(x)P(x).5. . it follows that dv' ?{o(vl = x'L fXLTf + zLLv + Aoz' 7} = xdx + (Ao + L)v Hence.10) where P(x)1G(P(x)ui = KOK + vo(x)u. Remark V52. the power series P(x) is convergent if f2(x) is convergent (cf. It was already shower in §V4 that r is nilpotent...12) R{v = x + (Ao + L + r)v. in such a case.. o(x) is convergent.
Observation V55. the matrix 44(x) can be also written in the form n1 4i(x) = P(x)xne In + h=1 (1)h (lohx) rh h I However.5. and V5 are based on the original idea given in [GerL[. A fundamental matrix solution 4D(x) of system (V.16) becomes x d lxdx 2y=0. I Remark V57.5.16) za (zT) + (z2 . The matrix n1 o{x) = xAoLr = xAoL I + h1 (1)h[logx[ rh h! h is a fundamental matrix solution of system (V.A0 . V4. . consider the differential equation of the Bessel functions (V.14) is given by 4>(x) = P(x)x4o(x). The transformation y = P(x)xLiT changes the system (V. whereas xA°L and In + E(1)h h=1 nI [log x[ h h! rh commute. xAo and I nr >(1)h [lohx[ h=1 ni h rh do not commute.5. (V.L = A0. where a is a nonnegative integer. A NORMAL FORM OF A DIFFERENTIAL OPERATOR 125 Theorem V54. In order to illustrate the results of this section. The methods used in §§V3. Example V58.5.15). If we change the independent variable z by x = z2.5.5.5. then A. Remark V56. + ej = Ak + tk in Ao + L.a2)y = 0.14) to G[yi = xdy + fl(x)yl = 0 (V.15) VV! = x d1U + (Ao + L + r)u = 0. which can be written in the form n1 45(x) = P(x)xLxML In + IL F {1)h (lo x h rh h! h=1 Since L . Note that if (A3+tj)(Ak+tk) is an integer.
§§V4 and Step 3. Find three 2(m + 1) x 2(m + 1) matrices A. Po P1 (_a) = a. a(a)xn 0 a>0. Step 5. §§V4 and V5).a2 4 a2 4 4 0 To begin with.126 V. . Also. 0 and N0 . set Ao = a Note that two eigenvalues of Q are 2 0 Now. y= 0 0 1 =10+x11i c o = 0 1 and 0i = 0 0 1 0 where 11(x) = x . we come to the following conclusion. a > 0. let us remark that the SN decomposition of the matrix 11 is given by S2o = So + No.. After these calculations have been completed. Fix a nonnegative integer m so that m > 2 V5)..17) x + Q(x)y = 0. and Nm (cf. Find two 2 x 2 matrices Mm(x) = No + >2xtvt and Qm(x) _ >xtPt (cf. where the Pr are 2 x 2 matrices Pm such that SmPm = Pn&. m t=1 in to Step 4. where O 80 = if if a {Q 2 a = 0. a>0. SINGULARITIES OF THE FIRST KIND This equation is equivalent to the system (V. Theorem V51). Find a 2(m + 1) x 2 matrix Pm = . where Po InoP0 vo(x) r0 0 if if J a = 0.. Step 2.5. We must obtain Qm(x)1Mm(x)Qm(x) = vo(x) +O(xm+i). where a(a) is a real constant depending on a (cf.to N if if a = 0. Sm. we calculate in the following steps: Step 1.
5. the power series P(x) converges for every x.18) dii xaj + (Ao + vo(x)) i = 0'. in this case.5. Then. 0 0 0 1 0 0 0 0 0 1 0 0 0 0 0 0 2 0 0 0 0 0 1 0 0 0 1 0 0 0 1 1 00 00 0 0 2 0 1 1 1 4 2 1 0 0 0 2 A2 = 4 0 1 S2 = 0 0 0 1 4 0 4 0 0 0 1 2 3 3 32 1 0 0 4 0 1 0 32 1 4 1 2 1 3 32 16 4 4 0 and 0 0 1 0 0 0 0 0 0 0 1 0 1 0 0 0 0 1 N2= 4 2 1 0 3 0 1 0 0 0 1 0 3 32 16 32 T2 4 2 0 9 0 1192 64 320 128 16 48 1 Calculating eigenvectors of S2. We illustrate the scheme given above in the case when a = 0. 0 . m are given in Step 8. the transformation y = P(x)u" changes (V. Ao = 0.17) to (V.1. There exists a unique 2 x 2 matrix P(x) = >xtPe such that 1=o (1) (2) (8) the matrices Pl for t = 0. . Note that. A NORMAL FORM OF A DIFFERENTIAL OPERATOR +00 127 Conclusion V59. .. we find a 6 x 2 matrix P2 = 16 32 0 1 such that S2P2 = 0. First we fix m = 2.5..
20) xdx + 0 Y = 0' 4 to (V. 1.128 V. 2 are given by (V.21) x3i + [_1 2. Note that 1.5. 00 Conclusion V510.20) to (V.22) x + 10 0 " = 0. SINGULARITIES OF THE FIRST KIND 1 Set 1 3 3 32 3 4 2 1 32 1 0 4 16 32 M2 (x) = 1 o + xvl + x2v2 and 192 320 P1 16 16 ] . Then.5.5.° 12 [0 [192 01] 64 128] = [21 4 2]. u" = 0.19). There exists a unique 2 x 2 matrix P(x) that (1) (2) Zx'Pr such e=o (3) the matrices Pt for i = 0.5.19) PO = [ 64 1 8] ' = [ 32 48 P2 [0 = 1 01 ' Q2(r) = P° + xPl + x2P2. Qz' 11f2(x)Q2(x) 1 ] 1 5 634 2 + O(x3). the power series P(x) conueryes for every x. d6  Furthermore. . (V.5. the transformation y" = P(x)Po iv changes (V. the transformation y" = P(x)u" changes the system dy 0 X 1 (V. we arrived at the following conclusion.5. 64 64 Thus.
Then 1 0 1 0 0 0 0 1 0 1 0 1 0 0 1 0 0 0 0 0 0 0 0 0 4 0 1 0 0 0 0 0 0 1 1 0 0 A2 = 0 0 0 0 8 4 1 1 1 1 4 0 132= 0 2 0 3 16 1 8 1 4 1 1 0 2 0 0 1 2 J 1 1 16 16 1 4 0 4 4 0 0 1 3 64 3 16 1 2 16 8 4 and 0 0 1 0 0 0 0 0 1 0 0 01 0 0 0 0 0 0 1 8 Ar2 4 1 0 = 1 16 3 1 16 8 1 0 16 1 8 1 4 1 00 0 64 16 16 0 384 192 32 8 16 Calculating eigenvectors of S2.5. and Po 84 62 (V. Set 1 L0 1 2 1 8 4 1 vl = 16 16 1 1 v2 = 3 64 16 8 16 M2(x) = xl/1 + x2v2. Note that. Q2(x) = Po + xP1 + T2 p2. A0 = 1 0 1 2 1 1 . .5. wefixm=2.23) [19 3 J' Pl  48 12 [72 14] . in this case. A NORMAL FORM OF A DIFFERENTIAL OPERATOR 129 In the case when a=1. we find a 6 x 2 matrix P2 = _72 2 5 12 such 4 0 1 1 that S2P2 = P2Ao. 1'2 = [2 1j .
we assume that So = A0 = diag[. we present another proof of Theorem V51.130 V. the matrix No must have the form No = diag(N01. . M=1 . respectively.23). p2.. There exists a unique 2 x 2 matrix P(x) = >xtPt such that (1) (2) (3) e=o the matrices Pt for P = 0.Q(x)P(x) (cf.5.No2. +oo Conclusion V511. Where Nor is an 00 mi x m1 nilpotent matrix.a + E xmP. where pi. V6. Calculation of the normal form of a differential operator In this section. Aklk[. Thus. .. Since AOA(o = NoAo. the transformation y = P(x)u changes the system 1 (V. A computer might help the reader to calculate S2i N2.. Q2'M2(X)Q2(X) = 0 48 0 + Q(x3).5. we arrived at the following conclusion. 1 2 For a further discussion. µ2I2. is m. To simplify the presentation... and P2 in the cases when a = 0 and a = 1. see IHKS[.. Another proof of Theorem V51. SINGULARITIES OF THE FIRST KIND x 0 Then.5.24) xdx + 0 V = 0 to (V.ulI. and the matrix I. Let us determine two matrices P(x) = I. . µk are distinct eigenvalues of no with multiplicities m1. Such a calculation is not difficult in these cases since eigenvalues of A2 are found easily (cf. ... The main idea is to construct a power series P(x) as a formal solution of the system dP(x) = P(x)(Ao + vo(x)) .Nok[. 1. §IV1). .25) x + 2 0 48I u = U.. Remark V52). 2 are given by (V. the power series P(x) convet es for every x. . x m j identity matrix.
where r is a constant d n x n nilpotent matrix. go + B(x) has the form x ^°I'xA0.µh)Xlh + NojXjh . Hukuhara (cf. we set Y.h are m. .Ah 4 0. §3.. Therefore. In particular. it suffices to solve the equation (V.a)n. h = 1. .X3hNoh = H)h. D The idea of this proof is due to M. If M + Aj .. k. x mh matrices. In this way.Y = H.hPh) (m > 1)..6. . (x .. where X and Y are n x n unknown matrices. pp... where j.X(Ao+No) . if (m + p. and H. we can determine P(z) and B(x).. where the coefficients c. Y..a)aE c. equation (V.Ph 96 0.6. If we write X.h = 0 if m + p.h = H.1) mX + (A0 +N4)X .h. and H in the blockform X11 .. [Si17. . co 0 0. Xlk Hkk Xkl Hkl where XXh.6. and X. Furthermore. whereas the matrix H is given.h by setting Y = 0 if . 85891)... Remark V61.9.fl.hNOh . More precisely speaking. Xlk Xkk [Y11 Ykl . there exists a solution of the form +00 01(z) = (x . CALCULATION OF THE NORMAL FORM 00 131 and B(x) = Sto + E xmBm by the equation m=1 d xa (in+mm) (Oo + Cep + m=1 *n=1 xmBm) (In + m 'nPm) This equation is equivalent to m1 mPm = PmS2o . In the case of a secondorder linear homogeneous differential equation at a regular singular point x = a. the operator x +A0 and the multiplication ds operator by No + B(x) commute. we determine X3h uniquely by solving m + u. are constants..1m + [=1 ( PhBmh . We can determine XJh and Y. .. Xlk Ykk H11 .X.. n=O .Xjh .µh)X)h + NO. .Ah = 0.1) becomes (m + P) . YYh..S20Pm + Bm .h m + p ..Yjh = Hjh.µh = 0.
y E C".5.2) as follows. In general.14).2) xk+1 = A(x)y".a)" at a regular singular point x = a. V7. y" E C".7. Theorem V54). where k is a positive integer and the entries of the n x n matrix A(x) are convergent power series in x with complex coefficients.132 V.7. if the P(x)xL2noLr is a fundamental definition of fo(x) of Observation V55 is used. where r is a positive number.a)° n=0 c.3) changes (V.7.7. SINGULARITIES OF THE FIRST KIND and the power series is convergent. we proved the following theorem (cf. the given equation can be reduced to a secondorder equation. Theorem V71. Classification of singularities of homogeneous linear systems In this chapter. Similarly.1) x dt = A(x)y. In particular. Using this solu tion.1). then the singularity at x = 0 is said to be of the second kind In §V5.7. then the idea given in Remark IV74 can be used to find a fundamental set of solutions. . This second solution contains a logarithmic term. If a system has the form (V. Theorem V71 can be generalized to system (V.5. which was explained earlier. at worst. so far we have studied a system (V. The matrix P(x) can be calculated by using the method of Hukuhara. a second solution can be constructed by using the idea explained in Remark IV73.7. For system (V.14) can be constructed if the transformation y" = P(x)xLV of Theorem V54 is found. In fact. the singularity at x = 0 is said to be of the first kind.4) y' = P(x)i7 du = Aou". there exist a constant n x n matrix A0 and an n x n invertible matrix P(x) such that (i) the entries of P(x) and P(x)1 are analytic and singlevalued in a domain 0 < jxi < r and have. where the entries of the n x n matrix A(r) are convergent power series in x with complex coefficients. a fundamental matrix solution of system (V. (ii) the transformation (V.7. matrix solution of (V. (x .1) to a system (V. a thirdorder linear homogeneous differential equation has a solution of the form +00 01(x) _ (x . In this case. If there is no other linearly independent solution of this form. a pole at x = 0. if there exists another solution ¢(x) of this kind such that ¢1 and ¢2 are linearly independent.
Definition V73. Let P(x) be a matrix satisfying conditions (i) and (ii) such that transformation (V. This is a consequence of the following theorem. Choose a constant matrix Ao so that C. Theorem V71 implies that a singularity of the first kind is a regular singularity.2).6) at x = 0 is said to be regular if every entry of P(x) has. a pole atx=0. at worst. More precisely speaking. Let 4i(x) be a fundamental matrix of (V. . fi(x) _ I (xe2"t) is also a fundamental matrix of (V.6). there exist a constant n x n matrix A0 and an n x n invertible matrix P(x) such that (i) the entries of P(x) and P(x)1 are analytic and singlevalued in a domain V = {x : 0 < lxi < r}.7. there exists an invertible constant matrix C such that 46(x) = 4i(x)C (cf. CLASSIFICATION OF SINGULARITIES OF LINEAR SYSTEMS 133 Theorem V72.7.4). y = P(x)i Proof.4).7.7.7.6) to (V.2). Then.7. However. there exist a constant n x n matrix Ao and an n x n invertible matrix P(x) satisfying conditions (i) and (ii) of Theorem V72 such that transformation (V.7. (ii) the transformation (V. a singularity of the second kind. Ex ample IV36) and let P(x) = 4(x)exp[(logx)Ao].2) has a regular singularity at x = 0.7. The proof of Theorem V72 immediately suggests that Theorem V72 can be extended to a system (V.5) changes (V.6) dg = F(x)y.7.7.5) changes (V. then the matrix A(0) is nilpotent. for system (V. Now.2) to (V. if (V. This completes the proof of the theorem. The converse is not true.7. at worst.6) at x = 0 as follows. Remark V74.5) changes (V.7. where r is a positive number.6) to (V. (1) of Remark IV27). Then.7. P(x) and P(x)1 are analytic and singlevalued in D. dP(x) = dam) exp(_(logx)Ao] . Therefore.7.7.7. dx where every entry of the n x n matrix F(x) is analytic and singlevalued on the domain V even if such an entry of F(x) possibly has an essential singularity at x = 0.P(x)(x'Ao). 0 An important difference between Theorems V71 and V72 is the fact that the matrix P(x) in Theorem V72 possibly has an essential singularity at x = 0. the singularity of (V.2) in D. For system (V.P(x)(x'Ao) = x(k+1)A(x)P(x) .7.4). it can be proved easily that a regular singularity is. Furthermore.7. Since A(x) is analytic and singlevalued in D. = exp[2rriAo] (cf. we state a definition of regular singularity of (V. Furthermore.
if the matrix D(0) is nilpotent. d d Step 3. the singularity of (V. = D(x)ii by the transformations z' = T(x)y and to xr = C(x)a and x' ii = S(x)v. (iv)A1<A2<. X = A(x)y to x' 2i _ Proof Step 1. respectively.<An . we can prove the following lemma.. . . (iii) T(x)P(x)S(x) = A(z) = diag(x'''. this singularity is said to be irregular. Also.7. If a singularity of the second kind is not a regular singularity..\2. a regular singularity is said to be of order zero.E 0 as a formal power series in x. ). Also.. an such that (i) the entries of n x n matrices T.7. the matrix B(0) is also nilpotent. r = s..x'A(x)ld clearly that if s > r. Also. Suppose that there exists an n x n matrix P(x) such that (a) the entries of P(x) are formal power series in x with constant coefficients. Furthermore.2) is not nilpotent.. Assume that conditions (a). . Let A(x) and B(x) be two n x n matrices whose entries are formal power series in x with constant coefficients.. and Sm are constants. Suppose also that s > r.2).zA2. assume that A(O) and B(O) are not nilpotent. the matrix B(O) must be nilpotent. the independent variable x must be replaced by x'1P with a suitable positive integer p. Definition V78. if the matrix A(O) of (V. In particular. Look at D(x) = x''A(x)1C(x)A(x) . In order to define the order of singularity at r = 0 for all systems (V.2) at x = 0 is said to be irregular of order k. (c) the transformation y = P(x)ii changes the system x' 16 1 B(x)il. (b).. The proof of this lemma is left to the reader as an exercise. Applying to the matrix P(x) suitable elementary row and column operations successively.. SINGULARITIES OF THE FIRST KIND Theorem V75. There exist two n x n matrices +oo +oo T(x) _ m=0 xmTm and S(x) _ m=o x"'Sm. Change the two systems x'd = A(x)y and x' d6 = B(x)u. (b) det(P(x)] .7.134 V. and (c) of Theorem V75 are satisfied. This shows Corollary V77. Step 2. The following corollary of Theorem V75 is important. Then. and n integers 1\1.. the matrix D(0) is nilpotent. F = A(x)v. Then. Then. let r and s be two positive integers. Lemma V76. (ii) det To 0 0 and det So 0 0..
Choose a nonnegative rational number a so that bh(X) an(x) (h = 0. (V. .7..8) 6y = 0 0 .. Moser [Mo) concerns the order of a given singularity ah(x)x(nh)O Theorem V79.9) is not nilpotent at x = 0 if or > 0.7) (cf. choose a so that bh(0) 0 0 for some h. The following theorem due to J. n . 2a.7. = 6'1y (j = 0..7) h=0 ah(x)bhl/ = 0..7. 0 0 0 0 0 0 0 + x°diag[l. Then... µ(A) = minlm(T1ATT1dx)J .7. / i! = yn 1 a0 an1 an as '. 1 u'..7) at x = 0.. if a must be positive.1)a) 0 . where p is an integer.. a. Set y.7.. A are n x n constant matrices. Set =o Im(A) = max (P_ 1 + n.7. then (V. A0 y6 0. System (V. the matrix on the righthand side of (V. . xna ao Set bh(x) = a. (n .2) can be reduced to an equation (V. assume that the coefficients ah are convergent power series in x and that an (x) # 0.1) are bounded in a neighborhood of x = 0. Also. and the power series is convergent. .8) by the transformation y" = diag[l.. we define a as the order of the singularity of (V. x°6u 0 1 0 . Let A(x) = xa E x'A be an n x n matriz. x' an1 an .7. for a differential equation (V.1).7. 0 91 yl (V. Then. CLASSIFICATION OF SINGULARITIES OF LINEAR SYSTEMS 135 For example.0) . Hence.7..9) Iii. xO..T(n1)0 If we change (V.. §XIII5).7) becomes the system f 0 1 0 0 0 0 0 0 .7.. n .
Assume that n > I and of the operator P as in §V1. if we change the equation P[y1 = 0 to a system by setting yt = y and yj = 611 [y) (j = 2. There is a computer program to work with those conditions.7. The main idea is to find out p(A) in a finite number of steps.7. Therefore. A. Then. Let n P = Eah(x)Jh h=0 be a differential operator with coefficients ah(x) in C{x). Now. 1151411). [CL.. and the power series is convergent.2) was given in a very concrete form by W.2) and (V.4). every solution fi(x) satisfies an estimate c K[xj' (x E V) for some positive number K and a real number m. we can decide. Chapter V.7. using similar estimates for fundamental matrix solutions of (V. but det To may be 0. Assume that m(A) > 1.(x) 0 0. the system has a singularity of the first kind at x = 0..7. Defining the indicial polynomial we prove the following theorem. in this way. Another criterion which depends only on a finite number of coefficients of power series expansion of the matrix A(x) of (V. we have m(A) > p(A) if and only if the polynomial P(A) = vanishes identically in A. SINGULARITIES OF THE FIRST KIND Here. Lutz [JL] (see also 15117. whether a given singularity at x = 0 is regular. . §2 of Chapter 4. Theorem V710. pp. pp. Jurkat and D. Theorem V72 and its remark imply that a fundamental matrix solution of (V. 1111411).. Notice that IP(x)I can be estimated at z = 0 for the matrix P(x) of Theorem V72. (i) In the case when the degree of f b in s is equal to n. n). r = rank(Ao) and min is taken over all n x n invertible matrices T of the form T(x) = x9 E x°T. a pole at x = 0 if and only if !P(x)I < Kjxjr in a neighborhood of x = 0 for some positive number K and a real number p (cf. . Using the quantity p(A). T are constant n x n matrices. an analytic criterion that a singularity of second kind at x = 0 be a regular singularity is that in any sectorial domain V with the vertex at x = 0. we can calculate the order of the singularity at x = 0. a. where q is an integer. The matrix P(x) has. . in a finite number of steps.. In fact. where In is the n x n identity matrix. let us look into the problem of convergence of the formal solution which was constructed in Theorem V13. Note that det T(x) 0 0. These two numbers may depend on 0 and V. at worst.136 V.6) is P(x)xA0. The criterion for m(A) > p(A) is given in terms of a finite number of conditions on the coefficients of A(x). In particular.
If the degree of fn0 is less than n. H is a constant n x m matrix. . respectively. and y are complex constants. (s) in s is n. zn) has a singularity of the second kind of a positive order (cf. .. Claim (i) h=0 follows immediately from this form of the equation.. EXERCISES V V1. = b'1 [y] (j = 2. we must have bn(0) = 0 and b. a regular singularity at x = 0 if and only if the functions ah(x) (h = 0. Proof n Look at P(xd] _ >ah(x)bh[x°] = xe= x" Tn=r+o Ltahi 00 fm(S)xm and set ah(x) = xnobh(x). To show (ii). pp.(0) .. . the functions bh(x) are analytic at x = 0. . V2. satisfies the differential equation x(1x)!f 2 + where a. Fuchs [Fu].(a+m1Q(Q+1) Q+m1) x. the arguments given right after Definition V78. +1)J Y . . and N1 and N2 are n x n and m x in nilpotent matrices. then there exists one and only one n x m matrix X satisfying the equation AX + NIX . in this case we can if the degree of n1 write the equation P(y) = 0 in the form bo[y] = bn(Ebh(x)bh(yJ. Show that if A is a nonzero constant. n). change Yh further by zh = x(h1)ayh with a suitable positive rational number a so that the system for (z1. Therefore. we conclude that the formal solution x''(1 + O(x)) of Theorem V13 is convergent if the degree of f. Some of the results of this section are also found in [CL.. From Theorem V710. is n. /3. The following corollary of Theorem V710 is a basic result due to L.1) are x analytic at x = 0.0 for some j such that 0 < j < n. n . Corollary V711.... The differential equation Ply] = 0 has.EXERCISES V 137 (ii) In the case when the degree of fn ins is less than n. Furthermore.... the system has an irregular singularity at x = 0. and also §XIII7). at worst.XN2 = H. Then. if we change the equation P[y] = 0 by setting y1 = y and y.x) = m=1 1+a (a+1).c3y = 0. 108137].. Show that the convergent power series y = F(a. we must have bn(0) # 0. . Chapter 4.
and 7 are nonzero complex constants and m is a positive integer. and 2m + 1 (m = 1. Expand xP(x. p. bo = 0. where b = xa.. SINGULARITIES OF THE FIRST KIND Comment. where 02(t) = t + bmt'n . (ii) b2y + aby + $y = rxmy. 3. iX)) to derive differential equations which are satisfied by coefficients of xP(x. N = [0 O] . where (t) o m!(m+1)!' +00 and J2(t) = 1612 (t )1 (t) . . yj with coefficients in C.. [CL. find all formal solutions of c the form x'' I 1 + > cmxm] .b. u). and R(t) = t3 I 0 0J .. 1351. Let y be a column vector with n entries and let Ax. m1 with the constants bm determined by b_1 = 1. u) be a vector with n entries which are formal power series in n + 1 variables (x. V5. Hint. Identify coefficients of d[xP(x.2. (ii) 1 lim t1(Y(t)e (iii) the limit of e'NY(t) as t + +oo does not exists. V4.. for example. u)) as power series in V. p. u'+zP(x. L m=1 (i) xb2y + aby + /3y = 0. y) be a vector with n entries which are formal power series in n + 1 variables (x.. m(m + 1)bm . V3. show that (i) (E) has two linearly independent solutions . u") with coefficients in C. ). Given the system (E) dt = (N + R(t))il. 159]. let u' be a vector with n entries and let P(x. Examine also if they are convergent. Find u + xP(x. u) and f (x. u+xP(x. V)] with those of Ax. the quantities a. and [IKSYJ). 101. Q. For each of the following differential equations.138 V.. u") such that the transformation the differential equation dy" ds = f (X. The series F(a. x) is called the hypergeometric series (see.¢1(t)logt. u7 changes the most general P(x. = m!(m+ 1)! IN) = O for the fundamental matrix solution Y(t) = [if1(t)12(t)J. Also. ry. y) to du" = 0.
. A. we can factor P in the following form: P = a+.(x)(b . B.. and 54 0. Assume that A(0) has an eigenvalue A such that mA is not an eigenvalue of A(0 for any positive integer m. (b) the entries of P(x) are analytic and singlevalued in 0 < [xj < r for some dii (c) the transformation y' = P(x)u changes the system xfy = Ay" to xjj = Bu... Show that C((xjj/P(C[[x]j] is a finitedimensional vector space over C. Show that if the degree of is n and if n zeros {A1. where b = x2j.. . define a homomorphism P : C[[x]] . Show that there exists an integer p such that the entries of xPP(x) are polynomials in x. To do this. . positive number r. Hint. N V8.PmB for all integers m.0n(x)). N V9..(6 .EXERCISES V 139 V6. Hint. Define the indicial poly nomial as in Theorem V13. and P(x) satisfy the following conditions: (a) the entries of A and B are constants. Hence. and B satisfy the equation +"0 xd) = AP(x)  P(x)B. Consider a nonzero differential operator P = >2 ak(x)Dk with coefficients k=O ak(x) E C([x]]. we must have mPm = APm . Hint. . Show that there exists a nontrivial vector O(x) m=oo with n entries in C{x} such that y" = b(exp[At]) satisfies the system L = A(y)y. yn} with coefficients in C.. Consider a nonzero differential operator P = >2 ak(x)dk with coefficients k=0 ak(x) E CI[x]j. Setting P(x) = >2 xmPm.. n > 1. matrix whose entries are convergent power series in {yj. } of do not differ by integers. Suppose that three n x n matrices A. . Regarding C([x]] as a vector space over C.&1(x))(b 42(x)). C[[x]j. Calculate the derivative of (exp(At]) to derive the system Axe = for . A.. use the indicial polynomial of P. Show that the equation P(y) = x"`'4(x) has a solution in C([xjj for any O(x) E C[[x]] if a positive integer N is sufficiently large. there exists a large positive integer p such that Pm = 0 for ImI ? P. . and let A(ye) be an n x n V7. where D = dx.. Let ff be a column vector with n entries {y. The three matrices P(x).
In2} by A' ' + k=0 n2 . 1(x))(1'0 +40(x)).an1(x))(7h +Ch(x)) . If we set t = log x.A1). Then. (x) (j = 1... . Find the fundamental set of solutions of the differential equation (LGE) f(1x2)LJ +a(a+1)y=0 at x = 0. whereas a and /3 are complex numbers such that they are not integers and R[al < 0 < 8t[01. Find a fundamental set of solution of equation (P). n) are convergent power series in x and 4f(O) = Aj. solve the equation ( n2 2(7h+Ch(x))6h (C) P = (6 .An). n V10. Consider a linear differential operator P = E atbt. an are t=o complex numbers and 6 = x. Without any loss of generality. The differential equation (P) P[y1= 0 is called the CauchyEuler differential equation. we can assume that an(x) = 1. 1 b[ch(x)] = ah(x) + (1'n2 + Cn2(x) . SINGULARITIES OF THE FIRST KIND where all the functions ¢. Find a fundamental set of solutions of the differential equation (6068)(6a8)[yl =xn'Y' where 6 = xjj and m is a positive integer. . ..... .A2) . An + n1 Eak(O)Ak = (A . . Define constants {yo. V12. (A ..YkAk = (A .2). ..An).an1(x). .. (A .n2. . For v] (X) E xC[[xI] and ch(x) E xC([x]l (h = k=O 0.. where a is a complex parameter. condition (C) becomes the differential equations 6(CO(x)1 = a0(x) + (Yn2 + Cn2(x) a. where ao.. n .. 2.140 V. where h=I.. Hint. then b = dt V11..(1h1 + Ch1(x))...Al h=0 If we eliminate O(x) by Al + V(x) = 1`n2 + ct2(x) . Hint.
n). the polynomial Pn(x) = 2nn! x do [(x2 . show what happends when a is a nonnegative integer. . and (4) can be proved with straight forward calculations.3.n(n + 1)g(n)(x) + 2nxg(n+1) (x) + 2n(n + 1)g(")(x) = 0 (1 X 2)g(n+2)(x) . Then. n 1). . . However. (3). (2). 303]). for 1 < x < 0.2xt + t = E Pn(x)tn.2ng(n+1)(x) + n(n + 1)g(n)(x) = 0. for 0 < x < 1.. n(n + 1){1 x2)((1  Then. Example 2 on p. 161172. find O0 (x). See also (NU. V14.3... Theorems 7. pp. Set g(x) = (1 . V15. §§7.2(n + 1)xg(n+1)(x) .27. whereas. F(±1) = Pn(±1)2 = 1. . 331338] or [01.. set F(x) = Pn(x)2 x2)P''(x))2.. Statements (1). .1 . [Sz.h)! OA(x) (k = 1. Hence.) The polynomials Pn(x) are called the Legendne polynomials. Show that for a nonnegative integer n. pp. Statement (5) also can be proved similarly by using (4) (cf. n=o Hint. Differentiate this relation (n + 1) times with respect to x to obtain (1. Differential equation (LGE) is called the Legendre equation (ef.or x2)g(n+2)(x) .1)'] satisfies the Legendre equation d [(1x2) ] +n(n+1)Pn=0. 161189]). local maximal values of Pn(x)2 are less than F(1) = 1. pp.x2)n. where the functions Oh(x) (h = 0. 00(0) = 1. . and (5) lPn(x)I < 1 for Jxj < 1. the following proof is shorter. in particular. [AS. In particular. 1 V13. Chapter XV. 161162]. Find a fundamental set of solutions of (LGE) at x = oo.. n 1) are entire in x. Also. (1 . local maximal values of Pn(x)2 are less than F(1) = 1. [WhW.. Pn(x)I < 1 for JxI < 1 (cf.2 and 7. +00 (2) Pn(1) = 1. Show also that these polynomials satisfy the following conditions: (1) Pn(x) = (1)nPn(x). 4546]. pp. (4) 1 . p(X) _ (P"(x)) . To begin with. pp. (3) JPn(t)j ? 1 for {xj > 1.EXERCISES V 141 Remark. and Oh(O) _ 0 (h = 1. Show that the differential equation b"y = xy has a fundamental set of solutions consisting of n solutions of the following form: (logx)k1A Ao (k . Therefore.and F(x) = Pn(x)2 if (x) n(n + 1) 2 0.x2)g'(x) + 2nxg(x) = 0.
Also. This result is due to F. N. 4. ¢. let A be an n x n diagonal matrix whose entries are nonnegative integers. (b) f is linear and homogeneous in tb. N) = 0 to determine a suitable function 0.142 V. A. fi(x)) = O(xN+i) as x 0. SINGULARITIES OF THE FIRST KIND V16. Suppose that for a formal power series ¢(x) _ > cx' E C[]x]]. (ii) x5{56y . A. 00 V20. show that the system xA dz = A(x)y has at least n . Find the order of singularity at x = 0 of each of the following three equations. Let A(x) and A be the same as in Exercise V18.55y} = y. Find a fundamental matrix solution of the system x2 x2 dbi = xyi + y2. Hint. Assuming that n > trace(A). x2 dx3 = x3y! + 3y3. Let A(x) be an n x n matrix whose entries are holomorphic at x = 0. l . Show that for every sufficiently large positive integer N and every C"valued function fi(x) whose entries are polynomials in x such that those of xA¢(x) are of degree N. (iii) x5y"' + 5x2y" + dy + 20y = 0. (d) Hint. ¢. N) of Exercise V18 and solve f(x.3b2y + 4y} + x7{b3y . V19. dx dy2 dx = 2xy2 + 2y3. V17. calculate f (x. Lettenmeyer [Let]. To solve Exercise V19. there exm=0 /dl and Q = > bk (x) (d) k d ist two nonzero differential operators P = E ak (x) ` I k k=0 rk=10 with coefficients ak(x) and bk(x) in C{x} such that P[0] = 0 and Q I = 0.362y + 4y} = y. and ¢. N) such that (a) the entries off are polynomials in x of degree N1 with coefficients depending on A. Show J that 0 is convergent. A. See [HSW]. (c) the linear system xAdd9 = A(x)3l + z has a solution #(x) whose entries are holomorphic at x = 0 and il(x) is linear and homogeneous in '.trace(A) linearly independent solutions holomorphic at x = 0. (i) x5{66y . there exists a C"valued function f (x. V18.
.EXERCISES V 143 Hint. v) = 0 on v.v'.v.v(' ) = 0 for v = from the given equations P[¢) = 0 and Q ['01 = 0.v(")) = 0 and G(x. .. .. See [HaS1] and [HaS2[ for details..v. . (b) eliminate all derivatives of v from (E) to derive a nontrivial purely algebraic equation H(x... The main ideas are (a) derive two algebraic (nonlinear) ordinary differential equations (E) F(x.v'.
and eigenfunction expansion). It is also known that realvalued solutions of the differential equation 2 . Singular selfadjoint boundaryvalue problems (in particular continuous spectrum. limitpoint and limitcircle cases) are not explained in this book. selfadjointness. nontrivial solutions has at most one zero on the real line R. Chapter 1]. mostly focusing on reflectionless potentials). Zeros of solutions It is known that realvalued solutions of the differential equation L2 + y = 0 are linear combinations of sin x and cos x. (ii) d 2 01 (x) + 91(x)o1(x) = 0 and d2622x) + g2(x)02(x) = 0 on a < x < b. topics including Green's functions. (iii) S1 and 6 are successive zeros of 01(x) on a < x < b. we explain the basic results concerning zeros of solutions of the secondorder homogeneous linear differential equations. The materials concerning these topics are also found in [CL. Therefore. (3) scattering problems (§§VI5VI9. and [TD]. In §§VI1VI4.1) + 9(x)y = 0. [Hart Chapter XI]. These solutions have infinitely many zeros on the real line P. (2) the SturmLiouville problems (§§VI2VI4. distribution of eigenvalues.y = 0 are linear combination of e= and ax. 144 . keeping these examples in mind. solutions of the differential equation2 + 2y = 0 have more zeros than solutions of L2 + y = 0. and (4) periodic potentials (§VI10). Chapter 61. we explain (1) oscillation of solutions of a homogeneous secondorder linear differential equation (§VI1). q2(x) must vanish at some point £3 between t:l and C2. (x) and g2(x) are continuous and g2(x) > 91(x) on an interval a < x < b. In this section.1. VI1. We start with the most wellknown comparison theorem concerning a homogeneous secondorder linear differential equation (VI. Then. 8.CHAPTER VI BOUNDARYVALUE PROBLEMS OF LINEAR DIFFERENTIAL EQUATIONS OF THE SECONDORDER In this chapter. see [CL. and 11]. dx2 Theorem VI11. [Copl. Suppose that (i) g. Chapter 9]. For these topics. every quantity is supposed to take real values only. Furthermore. [Be12. Chapters 7.
02(x)}. 0 A similar argument yields the following theorem. Now.4) is positive. 0 The following result is a simple consequence of Theorem VI.1) has an infinitely many zeros on Zo. Note also that if 02(1) = 0 or 02(6) = 0. and VI . (1:2) < 0. ZEROS OF SOLUTIONS Proof.4) 02(2) 1(6) . Then. Proof.1). In fact.01.2.1.1.91 (x)j¢ (x)02 (x)dx . 02(x) must vanish at some point 3 between t.2. (a) if a nontrivial solution of the differential equation (VI.01 (x) > 0 on S1 < x < 1. assumption (ii) implies Notice that 41(1::1) = 0. (7) _ 01 ( x ) d202 (x) = [ 92 (x) .1. this is a contradiction. hence.3) is nonpositive.3) is positive. (b) if a solution of (VI. Notice that 01(11) = 0.1 < x < £2. 145 Assume without any loss of generality that Sl < 1. hence. For further discussion.2.2.1 and 6 are successive zeros of 01 (x) on a < x < b. (ii) 0i(x) and 02(x) are two linearly independent solutions of (VI.1.1. but the righthand side of (VI. Since the lefthand side of (VI. Denote by W(x) = W(x.91 (x)10 (x)0 2 (x) 1 and.3 ) 0202) 1L( 6)  02 V 1 )!!LV ) = 1 rE2 E1 (x) .1) has at most m + 1 zeros on Z. 02(x) functions (01(x). 01(12) = 0. Then. 2 02(x) d 20.1) has infinitely many zeros on I . A contradiction will be derived from the assumption that 02(x) > 0 on S1 < z < 1. Assume without any loss of generality that Sl < £2 and .p1(z) d2 02 (x) = 0 and. then every solution of (VI. then 01 and 02 are linearly dependent. 1 (S1) > 0. (VI . In fact.1. (iii) 1. we need the following lemma.(x) . 01(S2) = 0.1 and 1. 1 (l:l) > 0.4'201) 1(W =0. assumption (u) implies 02(x) dx2 dS2 (VI. Suppose that (i) g(x) is continuous on an interval a < x < b. This is a contradiction. Theorem VI12. 1 The lefthand side of (VI. and X1(1.1. Let g(x) be a realvalued and continuous function on the interval Zo = {x : 0 < x < +oo}.1.1.1) has m zeros on an open subinterval Z = {x : a < x < 3} of Zo.1 . Corollary VI13.1.1.02) = I the Wronskian of the set of . then every nontrivial solution of (VI.2) < 0.2 and 01(x) > 0 on 1.1. a assumption contradiction will be derived from the assumption that 02(x) > 0 on fi < x < 2 a.
146
VI. BOUNDARYVALUE PROBLEMS
Lemma VI14. Let g(x) be a realvalued and continuous function on the interval To = {x : 0 < x < +oo}, and let 771(x) and M(x) be two solutions of differential equation (VI 1.1). Then, (a) W (x; 772 , ri2 ), the Wronskian of {rli (x), 712(x)}, is independent of x,
(b) if we set t;(x) =
771(x),
772(x)
then
4(x) = dx
c
772(x)2
, where c is a constant.
then
Also, if 77(x) is a nontrivial solution of (VI.1.1) and if we set w(x) =
we obtain
(VI.1.5)
dw(x)
+ w(x)2 + g(x) = 0 .
Proof.
(a) It can be easily shown that
d
771(x)
772(x) 772(x)
dx I77i(x)
=
1
771(x)
77i'(x)
772(x) 772(x)
g(x) !
771(x)
712(x) 712(x)
=0
(b) Note that
((xx))
dl;(x}
=
I rl' (x)
712(x) !
dx
712(x)2 771(x)
772(x)1
and that
dw(x) dx
if'(x)
:l(x)
1 = g(x)  w(x)2. 12 The following theorem shows the structure of solutions in the case when every nontrivial solution of differential equation (VI.1.1) has only a finite number of zeros
on To= {x:0<x<+oo}.
Theorem VI15. Let g(x) be a realvalued and continuous function on the interval I. Assume that every nontrivial solution of differential equation (VI.1.1) has only a finite number of zeros on T. Then, (VI.1.1) has two linearly independent
solutions 777(x) and 712(x) such that
(a)
(b)
x+oo 712(x)
lim
771(x)
= 0,
+00
(VI.1.6)
1.0
dx x)2 = +oo
771(
and
1
+00
dx
7r (x)
2
Jxo
< +00,
where xo is a sufficiently large positive number, (c) the solution 712(x) is unbounded on To.
Proof.
(a) Let (1(x) and (2(x) be two linearly independent solutions of (VI.1.1) such that (, (x) > 0 (j = 1, 2) for x > xo > 0. Using (b) of Lemma VI14, we can derive the
1. ZEROS OF SOLUTIONS
147
(1(x) following three possibilities (1) =limo(2(x) = 0, (ii) =U
x+oo (2 (x)
Urn
+oo, and (iii)
( 1( x )>0
(i(x)
(2(x)
.
Set
711(x) _
in case (i), in case (ii),
in case (iii),
(2(x)
772(x) =
(i(x)  7'(2(x)
(i(x) 1(2(x)
in case (i), in cage (ii),
in case (iii).
Then, (a) follows immediately. (b) Conclusion (b) of Lemma VI14 implies that
1
_Id(Y12(x)
ql (x)2 ^ c dx . q1(x))
and
1
_1d
>)1(x)
,
712(x)2
c dx \ 2(x)
where c is the Wronskian of q1 and rte. Hence, (VI.1.6) follows.
(c) If q2 is bounded, we must have j()2  +00. 0 =
The following theorem gives a simple sufficient condition that solutions of (V1.1.1) have infinitely many zeros on the interval Zo.
+oc
Theorem VI16. Let g(x) be a realvalued and continuous function on the in
terval lo. If f
0
g(x)dx = +oo, then every solution of the differential equation
(VI.1.1) has infinitely many zeros on Zo.
Proof.
Suppose that a solution 17(x) satisfies the condition that 77(x) > 0 for x >
(x) xo > 0. Set w(x) = !L. Then, w(x) satisfies differential equation (VI.1.5). 77(x) Hence, lien w(x) = oo. This implies that lim 17(x) = 0 since 17(x) = r7(xo) :+co :+oo
x exp Vo
J
This contradicts (c) of Theorem VI15. O
The converse of Theorem VI16 is not true, as shown by the following example.
Example VI17. Solutions of the differential equation
(VI.1.7)2 +
Proof
A
1
z2
= 0,
where A is a constant, have infinitely many zeros on the interval oo < x < +oo if and only if A > 4
Look at (VI.1.7) near x = oo. To do this, set t =
r
x
0,
to change (VI.1.7) to
(VL1.8)
L
462 + 26 + 1 + t,
148
VI. BOUNDARYVALUE PROBLEMS
where b = t. Note that t = 0 is a regular singular point of (VI.1.8) and the
indicial equation is 4s2 + 2s + A = 0 whose roots are s =  2 f
roots are real if and only if A < 4 This verifies the claim. 0
+00
4  A. These
Note that J
0
1 + x2
dx
2*
The following theorem shows some structure of solutions in the case when
+00
ig(x)ldx < +oo.
0
Theorem VI18. Let g(x) be a realvalued and continuous function on the inter
valA. If 1
Proof.
f+C0
jg(x)ldx < +oo, then there exist unbounded solutions of differential
equation (VI. 1. 1) on Ia.
0
The assumption of this theorem and (VI.1.1) imply that lim dq(x) = Y exists :+oo dx for any bounded solution n(x) of (VI.1.1). If 7 0, then i(x) is unbounded. Hence,
z
lim odd) = 0. Therefore, calculating the Wronskian of two bounded solutions
of (VI.1.1), we find that those bounded solutions are linearly dependent on each other. This implies that there must be unbounded solutions. 0
Remark VI19. Theorems VI11 and VI12 are also explained in ]CL, §1 of
Chapter 8, pp. 208211] and [Hart, Chapter XI, pp. 322403]. For details concerning other results in this section, see also [Cop2, Chapter 1, pp. 433] and [Be12, Chapter 6, pp. 107142].
VI2. SturmLiouville problems
A SturmLiouville problem is a boundaryvalue problem
ddx (p(x) Ly) + u(x)y = f (.T),
(BP)
y(a) cos a
I p(a)y'(a) sin or = 0,
y(b) cos Q  P(b)y(b) sin )3 = 0,
under the assumptions: (i) the quantities a, b, a, and $ are real numbers such that a < b, (ii) two functions u(x) and f (x) are realvalued and continuous on the interval
Z(a,b) = {x: a < x < b},
(iii) the function p(x) is realvalued and continuously differentiable, and p(x) > 0 on 1(a, b). In this section, we explain some basic results concerning problem (BP).
2. STRUMLIOUVILLE PROBLEMS
149
Let 4(x) and O(z) be two solutions of the homogeneous linear differential equation
(VI2.1)
dx
(p(x)A) + u()y = 0
such that
(VI.2.2)
m(a) = sins,
p(a)d'(a) = cosa,
,p(b) = sin f3,
p(b)t'(b) = cosfi,
respectively. Then, these two solutions satisfy the boundary conditions
(VI.2.3)
¢(a) cos a  p(a)4,'(a) sin a = 0,
i (b) cos /3  p(b)0'(b) sin /3 = 0.
The two solutions 4(x) and /;(x) are linearly independent if and only if
(VI.2.4)
4(b) cos Q  p(b)©'(b) sin /3 # 0 or
'(a) cos a  p(a)rb'(a) sin a # 0.
The first basic result of this section is the following theorem, which concerns the existence and uniqueness of solution of (BP).
Theorem VI21. If the two solutions 4(x) and ip(x) of (VI.2.1) are linearly independent, then problem (BP) has one and only one solutwn on the interval I(a, b).
Proof
Using the method of variation of parameters (cf. Remark IV72), write the general solution y(x) of the differential equation of (BP) and its derivative y'(x)
respectively in the following form: (VI.2.5)
6
VW = CIOW + C20 W + 4(x)
J
P(f)WW
'j'(_)f (_) 4
+ i,&(x)1= o(f)f
a
Y' (X) = Clo'(x) + C21k'(x) + 0'(x) I s P(A)W
4
(x) J
JJJu P(A)W V)
A,
where cl and c2 are arbitrary constants and W (x) denotes the Wronskian of Now, using (VI.2.3) and (VI.2.4), it can be shown that solution (VI.2.5) satisfies the boundary conditions of (BP) if and only if cl = 0 and c2 =
0. 0
Observation VI22. It can be shown easily that p(x)W(x) is independent of x. Observation VI23. Under the assumption that the two solutions 40(x) and tfi(x)
of (VI.2.1) are linearly independent, the unique solution of (BP) is given by
rb
y(x) = d(x)
(VI.2.6)
Jx P(A)W (O
10(x) I
Y 'W = O(x)
rb owfwdC
1r
W
+ V,'(x) r= 4(W W 4. Ja P(OW (O
i
( )) W(f )
150
VI. BOUNDARYVALUE PROBLEMS
Setting
4(x)1()
(VI.2.7)
G(x, ) =
p(OW (c) O WOW
p(f)W(c)
if
if
x <
a <
C
<b
,
t<
x,
we can write (VI.2.6) in the form
b
b aG
y(x) =
J
G(x, )f
y '(x) =
J
8x (x, Of (Ode.
The function G(x,l;) is called Green's function of problem (BP). The following theorem gives the characterization of Green's function.
Theorem VI24. The function G(x, C) given by (VI. 2.7) satisfies the following
conditions:
(i) G(x, l:) is continuous with respect to (x, e) on the region D = {(x,) a < x <
b, a< £<b},
C < b},
(ii) 8 (x, l:) is continuous with respect to (x, C) on the region D (iii) at ({, l;), we have
a<
8 (tr + 0. 0 
(  0, 0 =
p(0
for
a<
< b,
(iv) as a function of x, G(x, l:) satisfies homogeneous linear differential equation (VI. 2. 1) if x 0 4, (v) as a function of x, G(x, 4) satisfies the boundary conditions of (BP), i. e.,
G(b,Z:)cosf3p(b)8G(b,{)sinf3=0
for a:5 < b. Furthermore, the function G(x, f) is uniquely determined by these five conditions.
Proof.
It is evident that the function G(x, l;) satisfies these five conditions. Suppose H(x,t) satisfies the five conditions. Conditions (iv) and (v) imply that
Cl(l;)4(x)
{ C2(t;)V(x)
for
for
a < x < l;, {<x<b
for (x,l;') E D, where Ci(1;) and C2(C) must be determined by conditions (i), (ii), and (iii). This means that C,({) and must be determined by
0
and
PW
2. STRUMLIOUVILLE PROBLEMS
151
4(f) OW Since {(x,e) : a < x < } This yields Cl(a;) = p(OW(O and C2({) = p(OW(O
(x, ) E V, we obtain H(x,1;) = G(x, l;).
ferential operator L[y] _
real number field 1R by
 x<t<b}and {(x,t): 1;<x< b}{(x,£): a<t<x}for
0
(p(x)
I + u(z)y and a vector space V(a, b) over the
The second basic result co//ncerns selfadjointness of problem (BP). Define a dif
\
/
f(b)cos5  p(b)f'(b) sin,3 = 01,
V(a, b) _ { f r C2(a, b) : f (a) cos a  p(a) f'(a) sin a = 0,
where C2(a, b) denotes the set of all realvalued functions which are twice contin
uously differentiable on the interval I(a, b) = {x : a < x < b). Define also an
inner product (f, g) for two realvalued continuous functions f and g on I(a, b) by
(f,9) =
f
a
J6f()
Since
(f, 4191) =
(())
[
+
4
= p(b)f (b)9 (b)  p(a)f (a)9'(a) +
for f E V(a, b) and g E V(a, b), we obtain
f
b
dl;
a
(f,L[g)  (L(f1,9)
={p(b)f(b)9'(b)  p(b)g(b)f'(b)}  {p(a)f(a)9 (a)  p(a)9(a)f'(a)}.
Also, since (
t
f (a) cos a  p(a) f'(a) sin a = 0, 9(a) cos a  p(a)9'(a) sin a = 0,
f (b) cos Q  p(b) f'(b) sin O= 0, g(b) cos,  p(6)9'(b) sin /3 = 0
for f E V(a. b) and g E V(a, b), we obtain
p(a)f(a)9'(a)  p(a)g(a)f(a) = 0,
p(b)f(b)9'(b)  p(b)g(b)f(b) = 0.
Thus, we proved the following theorem.
Theorem VI25 (selfadjointness). The operator L has the following property:
(f, 0191) = (L(f], 9)
for
f E V (a, b)
and g E V(a, b).
152
VI. BOUNDARYVALUE PROBLEMS
Observation VI26. In Theorem VI.2.1, it was assumed that the two solutions ¢(x) and '(x) are linearly independent. Consider the case when this assumption is not satisfied. So, assume that ¢(x) and ?P(x) are linearly dependent. This means that 0(a) cos a  p(a)0'(a) sin a = 0 and ¢(b) cos ji  p(b)5'(b) sin fi = 0. In other words,
(VI.2.8)
lr[o) = 0
and
0 E V(a, b).
The boundaryvalue problem (BP) can be written in the form (VI.2.9) G[yl = f and y E V(a, b). Using (VI.2.8) and (VI.2.9), we obtain
(f, 0) = (C [y], 0) = (y, x[01) = 0, if there exists a solution y of problem (VI.2.9). The converse is also true, as shown in the following theorem.
Theorem VI27. Assume that O(x) satisfies condition (VI.2.8). Then, if a realvalued continuous function f (x) on T (a, b) satisfies the condition
(VI.2.10)
Proof.
(f. 0) = 01
problem (BP) has solutions depending on an arbitrary constant.
Using the method of variation of parameters, write the general solution y(x) of the differential equation of (BP) and its derivative y(x) respectively in the following
form: (VI.2.11)
b
y(x) = cjW(x) + c2p(X) +
0(x)j
P(A)W f )
+ (x)J
__
11
o P(A)W (E)
J p_ { 1v + F' (r) u P(t) r P(f)ww where u(x) is a solution of the linear homogeneous differential equation (VI.2.1) such that 0 and p are linearly independent, two quantities ca and c2 are arbitrary constants, and W(x) denotes the Wronskian of {0(x),p(x)}. Note that p(x)W(z) is independent of x and that
?% (z) =
_),
(VI.2.12)
p(a)cosap(a)u'(a)sina,40, p(b)cosQp(b)p'(b)sinfl,40.
b
From (VI.2.10) and (VI.2.11), we derive
y(a) = ctm(a) + c2p(a) + 0(a)
Jc P(4)W(E)
y'(a) = ca0'(a) + c2 (a) + 0'(a)
r°
a
A,
N)
y'(b) = c,O'(b) + c2p'(b) y(b) = ciO(b) + c2p(b), The condition that y E V(a,b) and (VI.2.12) imply that ca is arbitrary and c2 = 0 0.
3. EIGENVALUE PROBLEMS
153
Remark VI28. The materials of this section are also found in (CL, Chapters 7 and 11] and [Har2, Chapter XI].
VI3. Eigenvalue problems
In this section, we consider the eigenvalue problem (P(x) dx ) + u(x)y = Ay,
(EP)
y(a)coso  p(a)y'(a)sina = 0,
y(b) cos /3  p(b)y'(b) sin /3 = 0,
under the assumptions: (i) the quantities a, b, a, and 0 are real numbers such that a < b, (ii) u(x) is a realvalued and continuous function on the interval Z(a, b) = {x :
a<x<b},
(iii) the function p(x) is realvalued and continuously differentiable, and p(x) > 0 on I(a, b). The quantity A is the eigenvalue parameter.
Let 6(x,,\) and ti(x, A) be two solutions of the homogeneous linear differential equation
(VI.3.1)
(px)
{
¢(a, A) = sin a,
,O(b, A) = sin /3,
+ u(x)y = Ay
p(a)4'(a, A) = cos a,
p(b)t,V(b, A) = cos f3,
such that
(VI.3.2)
respectively. Then,
(VI.3.3)
O(a, A) cos a  p(a)6'(a, A) sin a = 0, tp(b, A) cos /3  p(b) 0'(b, A) sin /3 = 0.
These two solutions 6(x, A) and tp(x, A) are analytic in A everywhere in C. Also, they are linearly independent if and only if
(VI.3.4)
f
0(b, A) cos (3  p(b)¢'(b, A) sin /3 i4 0
or
t'(a,A)cosa  p(a)ty'(a,A)sina # 0.
Therefore, we obtain the following result.
Theorem VI31. In order that A be an eigenvalue of (EP), it is necessary and
sufficient OW ,\ satisfies the equation
(VI.3.5)
¢(b, A) cos i3  p(b)cp'(b, A) sin 0 = 0
or, equivalently,
+'(a, A) cos a  p(a)0'(a, A) sin a = 0.
154
VI. BOUNDARYVALUE PROBLEMS
Observation VI32. All roots of (VI.3.5) are simple, since, if A is a root of
(VI.3.5), we can prove
80(b, A) 8A
cos j3  P(b)
8¢'(b, A) 8A
sun f # 0
84(x, A)
8A
in the following way. Let A be a root of (VI.3.5). Then, notice that z = is a solution of the differential equation
CP(x)L1 + u(x)z = Az + ¢(x,A).
This implies that
(VI.3.6)
Z(X) = c16(x, A) + c2p(x)  O(x, A)
r_
' , A)2 de, Ja P(O1't'(O z'(x) = clOx, A) + C21L (x)  4'(x, A) f pW¢(f, A)dC + p '(x) = w(), A)2 dd,
A) dC + p(x) f =
J
1n
PwW (f)
j
P(ON)
where p(x) is a solution of homogeneous linear differential equation (VI.3.1) such that 4(x, A) and p(x) are linearly independent, two quantities ct and c2 are constants, and W(x) denotes the Wronskian of {¢(x,A),p(x)}. Note that p(x)W(x) is independent of x and that
(VI.3.7)
(VI.3.8)
p(a) cos a  p(a)p'(a) sin a
0,
p(b) cos,3  p(b)1 (b) sin Q # 0.
Formulas (VI.3.6) imply that
z(a) = clo(a,A) + c2p(a),
z'(a) = ci4'(a,A) + c2,u (a),
fb
z(b) = cj¢(b, A) + c2p(b)  4(b, A)
Jn
p(b)
z'(b) = c1 ¢'(b, A) + c2p'(b)  0'(b.,\) j
+ p'(b)
w
rP(u)W
o P(4)W (0
Pwww
Since (VI.3.3) is true for all values of A, it follows that z(a) cos a  p(a)z(a) sin a 0. Hence, from (VI.3.7) and (VI.3.8), we conclude that c2 = 0. Therefore,
z(b) cos
 P(b) z'(b) sin,3 = (,u(b) cos$  P(b) (b) sin 0)
Ia a P(A)W w
° 0(Td # 0.
0
Remark VI33. If A = 0 is not an eigenvalue of (EP), we can define Green's function G(x,t) of problem (BP of §V2 so that (EP) is changed equivalently to
the integral equation y(x) = A
G(x,
To prove that all eigenvalues of (EP) are real, it is convenient to extend Theorem VI25 (selfadjointness) to complexvalued functions f and g. Define a differential
since . Also. we extended Theorem VI25 as follows. 9) = {p(b)f(b)9'(b) . 9) for f E U(a.p(a)9(a)f'(a)}.'CWi) = 1 a f \p(e) <J + u(C)9(C)] dC = P(b)f(b)9'(b) .(C[f ]. C[9]) = (C[f].b) _ If E C2 (a.p(a)f(a)9'(a) + J e [Pwfv)9'(o + uh)fw9(j <' for f E U(a. C(91) . b) = {x : a < x < b}. Theorem VI34 (selfadjointness). b).3. C) : f (a) cos a .{p(a)f(a)g(a) . b) and g E U(a.p(a)9(a)f'(a) = 0. Since b (f.p(a)9'(a) sin a = 0. f (a) cos a . b) and g E U(a.3 = 0}.b) and g E U(a.p(a) f'(a) sin a = 0. EIGENVALUE PROBLEMS 155 operator C[y] = number field C by ((x)) + u(x)y and a vector space U(a. Thus. 9) = Jn f (09(041 where g(1. C) denotes the set of all complexvalued functions which are twice continuously differentiable on the interval I(a. p(b)f(b)9'(b) .p(b)91(b) sin p=0 for f E U(a. 9(a) cos a . define an inner product (f. we obtain (f. b) by b (f. The operator C has the following property: (f. where C2(a.p(b)f'(b) sin /3 = 0.p(b) f'(b) sin. U(a. .b). b. 9(b) cosQ .p(a) f'(a) sin a = 0. Also.p(b)9(b)f'(b)} . b. b) over the complex f (b) cos a . f (b) cos Q . Theorem VI34 implies the following conclusion.) denotes the complex conjugate of g(f ). we obtain p(a)f(a)9'(a) . b). g) for two complexvalued continuous functions f and g on 2(a.p(b)9(b)f'(b) = 0.
156
VI. BOUNDARYVALUE PROBLEMS
Theorem VI35. All eigenvalues of (EP) are meal.
Proof.
Let A be an eigenvalue of (EP) and let y(x) be an eigenfunction corresponding to A. We may assume that (y, y) = 1. Then,
(y,Cjy]) = (y, Ay) = X(y,y) = X,
(hjyl,y) = (Ay,y) = A(yy) = A,
and Theorem VI34 imply that J = A. 0
In order to explain distribution of eigenvalues on the real line IR, look at the basic comparison theorem (Theorem VI11) more closely. Let us rewrite the differential equation
(VI.3.9)
(P(X) dy) + g(x)y = 0
in the form
p(x)
= (1  p(x)g(x))rsin(O)cos(9)
and
(VI.3.10)
by setting
p(x)dO = I + (p(x)g(x)  1) sin 2(a)
y = r sin(O),
p(x) Li = r cos(B).
The righthand side of (VI.3.10) is independent of r. Therefore, (VI.3.10) is a first
order nonlinear differential equation on 0. Our main concern is the behavior of
solutions of (VI.3.10).
Remark VI36. Set w =
! ((x) L)
.
Then, differential equation (VI.3.9) be
comes p(x) dx + w2 + p(x)g(x) = 0. This equation is further changed to (VI.3.10) by the transformation w = cot(8).
Remark VI37. If the function g(x) is continuous on the interval 2(a, b), then
every solution 0(x) of (VI.3.10) exists on T(a,b). Now, we prove the following basic lemma.
Lemma VI38. Assume that (1) four functions gl(x), g2(x), pi (x), and p2(x) are continuous on the interval
2(a, b),
(2) 92(x) ? gi(x) and pi(x) ? P2(x) > 0 on T(a,b),
(3) 01(x) (j = 1,2) are solutions of the differential equations
Pi (x)
!
= 1 + [pi (x)gg (x)  1J sin2(01)
(j = 1, 2),
3. EIGENVALUE PROBLEMS
respectively.
157
Then,
02(x) > 61(x)
on
I(a,b)
if
02(a) > 01(a).
Proof.
Set
(1x,61,62()1p()
9(x)  1
/ l
stn2(02)  sin2(0)
02
1
l
WS2(02)
01
1
h(x,02) _ (92(x)  91(x))Sin2(62) +
P2(x)
P1 (x)
Then, the function w(x) = 02(x)  01(x) satisfies the differential equation
dw
dx
Therefore,
 A(x,01(x),02(x)) w = h(x,02(x)) > 0.

w(x)eXP
LJ a
L
w(a) +
on T(a, b).
r
I
x
Ja
h(s,02(s))eXP [ f
ds > 0
0
Remark VI39. The proof given above also showed that if pi (x) > p2(x) > 0 on Z(a, b), then we obtain
(a) 02(x) > 61(x) on I(a,b) if 02(a) > 01(a),
02(x) > 01(x) for a < x < b if 02(a) > 01(a) and g2(x) > g1(x) on a < x < b, ( y) in the case when g2(x) > g1(x) on a < x < b, if 01(a) = 0 and 61(b) = 7r and
if 0<02(a)<rr,then 02(b)>a.
Also, y=rsin(0)>0 if and only if 0<0<r(mod 2rr)and p(x)
0 = 0 (mod jr). Theorem VI11 follows from (y). Setting 9(x,,\) = u(x)  A, apply Lemma VI38 to problem (EP).
= 1 > 0 at
Lemma VI310. Let 0(x, A) be the unique solution to the initialvalue problem
Ax)
= 1 + (P(x)(u(x)  A)  1)sin2(0),
0(a,A) = a
on the interval Z(a, b), where u(x) is continuous on Z(a, b), p(x) is continuous and positive on I(a, b), A is a real parameter, and at is a fixed real number such that 0 < a < rr. Then, for every c E 2(a, b) such that c > a, (i) 0(c, A) is a continuous and strictly decreasing function of A for oo < A <
+00,
(ii) lira 0(c, A) = +oo,
a
A
(iii)
lim 0(c, A) = 0.
+00
Proof.
We prove this lemma in three steps.
158
VI. BOUNDARYVALUE PROBLEMS
Step 1. To prove (i), apply Lemma VI38 to pi(x) = 12(x) = p(x), 91(x) =
g(x, A1), and 92(x) = g(x, A2). If A2 < A1, then g2(x) > 91(x) on Z(a, b). Hence, 9(x, A2) > 9(x, A1) on a < x < b, since 9(a, A2) = 9(a, Al) = a.
Step 2. To prove (ii), choosing a real number m and a positive number P so that u(x) > m and p(x) < P on I(a, b), determine 0o(x, A) by the initialvalue problem
P
= 1 + (P(m  A)  1) sin2(8o),
9o(a, A) = 0.
Then, since g(x, A) > m A and P > p(x) > 0 for x E I(a, b), oo < A < +oo
and a > 0, it follows from Lemma VI38 that
9(c, A) > 9o(c, A)
for
a<c<b
and
 oo < A </+oo.
= 1 + ( MP A ) v2.
Observe that v = P tan(Oo) satisfies the differential equation
Hence, tan(9o(x, A)) =
P(m  A)
tan (
mP A (x  a) f for A < m. Note that
A
tan(9o(x, A)) = 0 if and only if tan I VmP
mA
at
(x  a)) = 0, i.e.,
P and that 9o(x, A) is strictly decreasing with respect to A if x > a (cf. Step 1). Furthermore, since tan(9o(x, m)) = x a, we must have 0 < 9o(x, m) < 2 for
a < x. Therefore,
9
tan(8o(x,A)) = 0
(x  a) = na
for
n=1,2....
P
mP
r
()2) = ntr
(.)2) > na
xa
for n = 1, 2, ... .
Hence,
9 I x, m 
for
n = 1, 2, ... .
Thus, we conclude that lim 9(c, A) = +oa if c > a.
acc
Step 3. To prove (iii, first notice that 0(c, A) > 0 for oo < A < +oo, since P(IX) > 0 if 0 = 0. Choose a positive number M so that 0(a, A) = a > 0 and =
2(e)
lu(x) sin2(9) +
1
Ax) si n
I
<M
on I(a, b).
Then,
dO < M  A sin2(0)
on Z(a, b).
3. EIGENVALUE PROBLEMS
159
For any positive number 6 such that 0 < a < r  6, fix another positive number A(6) so that
M  A sin2(6) < 
c10a
for
6<0< r  b

and A > A(6).

This implies that dO < 0 if 9 = 6. Hence, 9(x, A) > 6 for a < x < c if 9(c, A) > 6,
whereas9(c,A) <a10<r10<0if 9(x, A)>6fora<x<c. Thisisa
contradiction. Therefore, 0 < 9(c, A) < 6 for A > A(6). Thus, we conclude that
lim 9(c, A) = 0. 0
+00
Now, using Lemma VI310, we prove the following theorem concerning problem
(EP).
Theorem VI311. Assume that u(x) is continuous on the interval I(a.b) = (x: a < x < b} and that p(x) is continuously differentiable and positive on I(a,b).
Then,
(1) problem (EP) has infinitely many eigenvalues:
AI >A2>...>An >...,
(2)
n
lira An = oo,
(3) every eigenfunction Q,,(x) corresponding to the eigenvalue An has exactly n1 zeros on the open interval a < x < b.
Proof.
Assume without any loss of generality that 0 < a < r and 0 < 0 < r. Define
9(x, A) by the initialvalue problem
(VI.3.11)
p(x)
= 1 + (p(x)(u(x)  A)  1)sin2(9),
Tx
0(a, A) = a,
and, then, define r(x, A) by
(VI.3.12)
p(x)d. = (1  p(x)(u(x)  A))rsin(9) cos(9),
r(a,A) = 1.
Then,
(VI.3.13)
y = i(x, A) = r(x, A) sin(9(x, A))
is a nontrivial solution of the differential equation
(VI.3.14)
d ds (P(x)±y) d.T
+ u(x)y = Ay
that satisfies the condition y(a)cos (a)  p(a)LY(a)sin (a) = 0. Note that from
(VI.3.11), (VI.3.12), and (VI.3.13), it follows that p(x)
A)
= r(x, A) cos(9)(x, A).
160
VI. BOUNDARYVALUE PROBLEMS
The eigenvalues of (EP) are determined by the condition 0(b,,\) = f3 ( mod sr). Since 8(b, A) is strictly decreasing as A +oo and since 8(b, A) takes all positive values (cf. Lemma VI310), the eigenvalues A. are determined by
0(b,,\.) = Q + (n  1)a,
Observe that
n = 1,2,... .
(I) ¢(x, A) = 0 if and only if 8(x, A) = 0 (mod a),
(II) 2 =p(x) >0if
8=0(mod
a).
This implies that 4(x, A) has exactly k zeros on the open interval a < x < b if and only if kar < 0(b,,\) < (k + 1)7r.
Observe also that
(n  1),r < ,3 + (n  I)a < nn.
Hence, the eigenfunction
a<x<b. 0
then
45(x,
has n  I zeros on the open interval
Observation VI312. As shown earlier, if u(x) > m and p(x) < P on Z(a.b), P
This implies that
(VI.3.15)
na
ba
> n'rr
for
n = 1, 2, ... .
/ an>m  P( bn,)z  a
n = 1, 2,....
Observation VI313. If u(x) < p and p(x) > p > 0 on I(a.b), determine 81(x, A) by the initialvalue problem
p dx = 1 + (p(p
sin2(81),
81(a, A) _ ?r.
Then, since u(x)  A < p  A and p(x) > p > 0 for x E T(a, b), oo < A < +oo,
and a < s, it follows from Lemma VI38 that
0(c,,\) < Oi(c,A)
for
a<c<b
and
00 < A < +oo.
Observe that v = p tan(81) satisfies the differential equation L = 1 + (1f
Hence,
 A) v2. P
tan(81(x, A)) =
Pµ
1
tan
P
(x  a)
for a < µ.
3. EIGENVALUE PROBLEMS
Note that tan(91(x,A)) = 0 at
161
AP2 that 01(2, A) is strictly decreasing with respect to A if x > a.
(x  a) = nrr for n = 1,2,... and
2 for a < x since tan(01(x, {e)) = x p a 7r < 91(x, p) <
91
(X,
Furthermore,
.
Therefore,
na p xa \2 (I
= (n + 1)ir
for
n = 1, 2, ... .
Hence,
P
( nTr
)2)
< (n + 1);r
for
xa
This implies that
(VI.3.16)
n = 1, 2,...
An+2 < p  p
nrr
2
Ga
and
for
n = 1,2,... .
If Al and A2 are determined by
(VI.3.17)
01(b,A1) = Q
01(b,A2) = 0 + it,
then Al < Al and A2 < A2. From (VI.3.15) and (VI.3.16) we derive the following result concerning distribution of eigenvalues of (EP).
Theorem VI314. For n > 3, eigenvalues An satisfy the following estimates:
< Iml
(i)
if
An <
n2
2
n2
P
Cb
 a)
'
and
2
n2 +
P(b a)
< IµI +
n2
4PCba) C1
rr
2
1
1
n
n
if
where in, p, P and p are real numbers such that
_An>
n2
P Wa
P > p(x) > p > 0
and
p > u(x) > m
for
x E Z(a, b).
162
VI. BOUNDARYVALUE PROBLEMS
Remark VI315. Lemma VI38, Lemma VI10, and Theorem VI311 are also found in (CL, §§1 and 2 of Chapter 8] and [Hart, Chapter XI].
VI4. Eigenfunction expansions
Let us define a differential operator L[y] = dx
(p(z)) + u(x)y and the vector
!LV
space V(a, b) over the real number field R in the same way as in §VI2. Also, as in §VI2, define the inner product (f, g) for two realvalued continuous functions f
b
and g on Z(a, b) _ {x : a < x < b} by (f, g) =
operator L has the following property:
J
It is known that the
(f,L[g]) = (L[f],g)
for
f E V(a,b) and g E V(a,b)
(cf. Theorem VI25). Define a norm of a continuous function on X(a, b) by 11f 11 =
(f, f). Then, 1(f, g)f < Ilf II llgll. The following theorem is a basic result in the theory of selfadjoint boundaryvalue problems.
Theorem VI41. Let Al and A2 be two distinct eigenvalues of the problem
(EP)
L[y] = Ay,
y E V(a, b).
Let r11(x) and r}2(x) be eigenfunctions corresponding to Al and A2, respectively.
Then, (rll,rh) = 0.
Proof.
Note that (r71,L[r12]) = A2(rh,g2) and (Ljrll1,rh) = Al(rl1,rn). This implies that
A2(r11, r12) = AI (r11, r12). Therefore, (r1i, r12) = 0 since Al 0 A2 0
It is known that problem (EP) has real eigenvalues
Al > A2 > ... > An > ...
( lien
n++oo
An = co).
Let r)1(x),. *2(x),
.
,
be the eigenfunctions corresponding to Al, A2,...
such that 11,11 = 1 (n = 1, 2, ... ). Theorem VI41 implies that (' h,''m) = 0 if
h # k. From these properties of the eigenfunctions rjn, we obtain
k
11f
k

>(f,vh)T1hII2 = Ilfll2
h=1

E(f.rlh)2 > 0
h=1
and hence
+oo
E(f,7,lh)2
< IIffl2
(the Bessel inequality)
h=1
for any continuous function f on Z(a, b). In this section, we explain the generalized Fourier expansion of a function f (x) in terms of the orthonormal sequence {rl (x) : n = 1,2,... }. As a preparation, we prove the following theorem.
4. EIGENFUNCTION EXPANSIONS
163
Theorem VI42. Let µo not be an eigenvalue of (EP) and let f (x) be a continuous function on Z(a, b). Then, the series
(f, 1h)t1h(x)
h=1
Ah  Jb
is uniformly convergent on the interval Z(a, b).
Proof
Define a linear differential operator Go by £o[yl = G[yl  poy. Then, there exists Green's function of the boundaryvalue problem
(BP)
Go [y1 = f (x),
y E V (a, b)
such that the unique solution of problem (BP) is given by
b
y(x) =
J.
(cf. §VI2; in particular, Observation VI23). Define the operator G[f[ by
b
G(f 1 = (G(x, ), f) =
J
G(x, Of WA
for any continuous function f(x) on 1(a, b). Since Go[g[f]l = f, we obtain
(I,G[.1) = (4[9[f)), 9191) = (9[f], 4191911) = (9[fl,9)
for any continuous functions f (z) and g(x) on Z(a, b). Also, since Go[rlh1 = c[nh1 Ahr1hUO . Hence, A01% = (Ah  l'o)llh, we obtain 9['7h] =
(f, rlh)ghI
lz lz
< K
h=l,
(f, '1017h
=K
h=11
(f, ih)2,
Finally,
where K is a positive constant such that J!G(x, ) Il < K on 1(a, b).
I
12
the Bessel inequality implies that
T(a, b).
0
li,ls+oo h=l , j
Jim
(f' nh)nh(x) l = 0 uniformly on
 110
Now, we claim that the limit of the uniformly convergent series of Theorem VI42 is equal to 9[f].
164
VI. BOUNDARYVALUE PROBLEMS
Theorem VI43. For any continuous function f (x) on Z(a, b), the sum +00 (h,nh) is equal to 9[f].
Proof
Set 91 (f ] = 9 If,  1: (f, TO 17h . Then, it suffices to show Ah  PO h=1=1
(VIA. 1)
lim IIGe[f111 = 0
for every continuous function f (x) on Z(a, b). We prove (VIA.1) in four steps. Without any loss of generality, we assume that Ah  uo < 0 for h > t . Also, note that
(VI.4.2)
(f,9e[9]) = (94f1,9)
for any realvalued continuous functions f and 9 on Z(a, b). Step 1. It can be shown easily that Gr[>jh] = chrjh, where
for
Ch =
h = 1,2,... ,e,
h > t.
for
Let y be an eigenvalue of 9t and let ¢(r) be an eigenfunction of 9t associated with
y. Then, ¢ E V(a,b), 11011 # 0, and y¢ = 9[41 
(0, 17017h
.
h=1 An
 go
Also, (VI.4.2)
implies that (0,9471h]) = (91'101,170. Hence, ch(¢, nh) = y(¢, nh) Consequently,
(¢, rjh) = 0 if y 0 ch. Therefore, (¢, rjh) = 0 for h = 1, ... , I and y¢ = G[¢] if
y 96 0. Hence, either y = O or y = ch (h > P). Step 2. In this step, we prove that
(VI.4.3)
uni=1
sup 1190JI1 = sup
nfa=1
1(911f1.f)I
In fact, the inequality I(9e[f),f)1
Of H=1
5 11Ge[f]IIIIfII implies sup 1I9t[f111 >ufu=1 sup 1(91[f],f)I Also, since (Ge[f ±9],f ±9) = (911f],f)+(9t[9],9)±2(9t[f],9),
we obtain
4(91[f],9) = (91 [f+9) ,f+9)  (9e[f9],f9)
<
( sup l(Ge[w], w)I
lH'°t=1
sup
N++ N=1
(IIf + 9II2 + If  9112)
(11f112+119112).
=2
I(9e[wj,w)l
. assume without any loss of generality that lim Gt[ f)] = g E G(a.. the series f = 1: (f. II2 = I1Gt[fj]II2 + c2 . Um 119 .+00 IIGt[fjI . Suppose that Iif11=1 11111=1 [if U=1 c = sup (9t If]. Since sup IIGt[f]II = 11111=1 . Note first that c > I(Gt[ne+I]. Set g = . .2. there exists a sequence f (j = 1.) < 2c2 .4). since all eigenvalues of Gt are nonpositive. Let us look at (VI4. . then f = g[g]. we conclude that lien sup I191[f]II = 0 1 !Lo . EIGENFUNCTION EXPANSIONS 165 Suppose that 9t[f] IIwIl=1 0 and IIfIII = 1.2c(Gt[f.. In this step.c f j II = 0.4. c = inf (91 [fit f ).µ0 Step 4.4.1) is completed.. this is a contradiction. f). For every f E V(a.2c(Ge[fjl . To do this. Thus. ) Since {Gt[ fj] : j = 1. f. the Step 3. Therefore. Proof. hence. j. Also. } is bounded and equicontinuous on T(a. Then. The following theorem is the basic result concerning eigenfunction expansion. Therefore. We can now prove in a similar way )+oo 11 9t [f.t+1 t'+0°1!11!=l and the proof of (VI. set c = sup I(Ge[f]. b). w)I. II = 1(j = 1. This shows that sup 119t[f]II proof of (VI. b) uniformly on T(a. fi). from (VI.]. . Therefore. sup I (Gt[f]+f )I I1I11=1 Thus. This implies that lim . c must be an eigenvalue of Gt.110 +00 h=1 ah _ _ >(f.ne+i)I = Ice+II > 0. f) I is an eigenvalue of Gt. fi) = c and IIf. we prove that . ) of continuous functions on T(a.4) . IIGe[f]II  sup I (Gt[w]. I Illil=l that c = ct+1 = 1 ). Also. and set g = Gt[f] 11!11=1 IIGt[f]II' Then.. f)I.ttl . f ).cfj II = 0 and.cf.Co[f]. nh)nh converges to h=1 f uniformly on T(a. +00 Theorem VI44. However. b).{b (1 £ofrlh])r)h h=1 Ah . b). b).sup IlfI1=1 Ill 11=1 I (Gt If]. f) or c = inf (Gt[f]. b) such that lim (Gt[ fi]. it follows that IIgII2 = c2 > 0. 2. f= _ +00 (9+17 h)17h +C0 = 1: (GO[J]+nh)nh h=1 +00 Ah .3) is completed.. 2.4.4.+00 Gt[g] = cg. note that c = sup (911f]. rlh)rlh h=1 .
Tjh) = 0 for h = l 1.. 7nh )T7h = 0. we construct an orthogonal sequence {sin(nx) : n = 1. 00 This yields the Fourier cosine series a° + Ean cos(nx) of a function f (x). Using the eigenvalue problem dX2 we construct an orthogonal sequence {cos(nx) : n = 0. Remark VI46.. This proves the following theorem. 2. 1. this series converges n=1 uniformly to f (x) on 1(0. 00 y(O) = 0. y'(0) = 0.. 17077h. this.. .. y(a) = 0. b).1: (ff. By virtue of Theorem V144. This yields the Fourier sine series >bn sin(nx) of a function f (x).(f. zr) J ao 2 r* f(x) cos(nx)ds. Theorem VI45. . where bn = ao f/ f (x) sin(nx)ds.. Example VI48. b) and a positive number e.. ir) if f (x) is twice continuously differentiable on 1(0. 17h) = 0 f o r h = 1. set fe(x) = 2 if (x)+f (x)] and fo(x) [f (x)f (x)) . we have +00 j11112 = >(f.l of eigenfunc tions. Therefore. Example VI49. ir). Using the eigenvalue problem d = Ay. b) such that 11f . f = 0 if (f. 77h)rh = f h=1 C ff + fe .f. 7r) if f (x) is twice continuously differentiable on 1(0. Since t t / t f . this series converges and f'(0) = 0 and f'(Tr) = 0. Also. } of eigenfunctions. ir) and f (0) = 0 and f (a) = 0. then f is identically equal to zero on the interval 1(a.+00 h=1 (f . 2. where 2 n=1 an = uniformly to f (x) on 1(0. If a continuous function f on 1(a. 2. y(7r) = 0. BOUNDARYVALUE PROBLEMS For every continuous function f on 1(a.. then h=1 = Ay.. in turn. b) satisfies the condition U.. there exists an f.fe II <_ e. If f (x) is twice continuously differentiable on Z(ir.166 VI. h=1 h=1 we obtain lim I f t. f (vr) _ f (ir).2. Furthermore. b).17h)nh + 1: (ff . and f'(1r) = f'(7r). E V(a.. Example VI47. By virtue of Theorem VI44.. implies that if f (x) and g(x) are continuous on 1(a. rth)2 h=1 (the Parseval equality).
4.1). The behavior of solutions at x = 0 determines the nature of eigenvalues of the given problem. Although we do not go into these cases in this book. For those informations.1). 7r). Thus.6) such that O(x) and 4'(x) are continuous on 1(0.4. _ y(x) is bounded in a neighborhood of x = 0. lim O(x) = 1. see [Z]. 0 constructed by solving the intergral)equation v(x) = c1 + C2 109X + 10 where c1 and c2 are arbitrary constants. where u(x) and f (x) are realvalued and continuous on the interval 1(0.6) z+0+ such that p(1)=0andp'(1)=1. and y(l) = 0.6) can be (logs)10 u(C)V(4)dC. the following example illustrates such a case. p(x) > 0 on a < x < b.1) = 0. more general cases are systematically explained in [CL. Chapters 7 and 11]. and p(a)p(b) = 0 under some suitable assumptions and with some suitable boundary conditions. The Fourier series converges uniformly to f (x) on Z(7r. EIGENFUNCTION EXPANSIONS 167 Then.6) (X2idv) d + u(x)v = 0 on the interval 1(0. Since 1 and logs form a fundamental set of solutions of the differential equation ± (xdx = 0. Step 1. 7r). while fo(x) satisfies the conditions of Example VI48. it is not necessary to assume that f (x) be twice continuously differentiable.4. we find two solutions O(x) and i(x) of (VI. Denote also by p(x) the unique soltion of (VI. In general. 1). In this way. whereas tI'(z) and tY(x) are continuous for 0 < x < 1. The Fourier series of Example VI49 can be constructed also from the eigenvalue problem L2 = Ay. Remark VI411. fe satisfies the conditions of Example VI47.logs) = 0. For example. we obtain the Fourier series cc ao + n=1 [an cos(nx) + bn sin(nx)]. VI3. y'(7r) = y'(ir). The results in §§V12. Let us consider the boundaryvalue problem d f_dy (VI. a general solution of (VI. it suffices to assume that f (x) is continuous and f'(x) is piecewise continuous on 1(7r. b).4. this step of analy0+ sis is very important.5) . Consider the linear homogeneous equation (VI. Including this eigenvalue problem.4. y(7r) = y(7r). r_0+ lim (O(z) . and lien x¢'(x) = 0. For the uniform convergence of the Fourier series. Remark VI410. . and f (7r) = f(7r). and urn (xo'(x) . Example VI412.4. and VI4 can be extended to the case when p(x) is continuous on 1(a. where an = 7r J * f (x) oos(nx)ds and bn = ! r J f (x) sin(nx)ds.
5). 2. Step 4. ¢(F)p(x) where W(x) is the Wronskian of 10.8) are determined by the equations 9(1. if a . since there is no positive lower bound of x on 1(0. let us consider a homogeneous linear differential equation Ly + ((I . Using the same method as in tween 0 and oo.. WW for for 0< x < e <1 . Jost solutions So far. xo+ For every value of A. Theorem VI314 cannot be extended to the present case. It is easy to prove the selfadjointness of problem (VI. ).7).4.168 VI.. It is easy to see that p(x. )2dxd{ < +oo. Hereafter.t) is Green's function of problem (VI. we have studied boundaryvalue problems on a bounded interval on the real line R.4.4.u(x))y = 0. The unique solution of (VI. AT and x*'(x.A) is strictly decreasing and takes all values be VI5. A) are continuous in (x.4. we can verify that ¢(1. G(x. 0 Step 3. set ¢(x AO G(x.p) and xW(x) = 0(1). there exists a unique solution O(x. To do this. It is evident that e_ttx and e'(' are two linearly independent solutions of this equation if 1xI is large. A) for 0 < x < I and oo < A < +oo.5) is given i by y(x) = 1 Jo G(x. consider the differential equation (VI. Assuming that 0(l) # 0. A) such that lim O(x. Hence.4. Step 1). eigenfunction expansions can be derived in the exactly same way as in §VI4. A) A). Therefore. By virtue of (VI. where ( is a complex parameter and u(x) is a realvalued continuous function of x such that u(x) = 0 for all sufficiently large values of ext. we consider the scattering problem. Xo+ 4(x. We can also derive Theorem VI311 in the exactly same way as in §VI3.8) 00 + u(x)y = )y.4. To explain the essential part of the problem. Eigenvalues of problem (VI. A) = mar (m = 1. A )) = B A) We fix B(0. >r by cot ((x. BOUNDARYVALUE PROBLEMS Step 2.. §VI3. which is a problem on the entire real line. A) = 1 and lim x¢'(x. A) = . all eigenvalues are real. Define 6(x. Then.5).1). A) = 0 (cf. and the orthogonality of eigenfunctions follows.
00 ()dr (m > 0). () = e"z by setting yo(x.D2 + u(x). ()dr ym+1(x.5. Theorem VI51. jf+(x. the solution y = e'(= for x < M becomes a linear combination a(()e't=+b(()e't= of two solutions aK= and eK' for x > M. and f+(x. JOST SOLUTIONS 169 positive number M is sufficiently large.5. () = E Ym(x.r)) u(r)y(r.1) G = .5.S) such that (i) ft are continuous for (VI.5. and u(x) is realvalued and belongs to C°°(oo. () of (VI. C(x) is nonnegative and nonincmasing. 0.() = eK=.r)) u(r)ym(r. where q = Q3'((). () mo . Gy = (2y. Keeping this introduction in mind.2) +o° J (1 + jxj)lu(x)jdx < +oc.4).4) (ii) ft (iii) oc < x < +oo.5. o0 Step 1. We study the differential equation (VI. There exist two solutions f+(x. sin(((s . (1 + IrI)Iu(r)Idr.3) where (is a complex parameter.5. () . b(()).5.3). +oo) such that where D = aj (VI. are analytic in ( for £ (() > 0. () t00 eK=I < C(x)P(x)1 + e"x I(1 for (VI. The main problems are (i) the properties of a(() and b(() as functions of ( and (ii) construction of u(x) for given data {a((). we construct two basic solutions which are called the Jost solutions of (VI. Construction of f+: Solve the integral equation y(x.. () and f_ (x. let us consider a differential operator (VI. () x +00 sin((((.5. and O(x) = J (1 + Irj)ju(r)jdr. P(x) = I Proof.(x. First.e'`=I <_ C(x)P(x) 1 + 1(I ° e: f.
+00 I ym+1(x.2.C)I < (C(x)menx f z (r . sln(((x . x > 0.r)) I Note that sin(((x . (VI. it suffices to prove that if e(x) then ( 21x1 + 2 2 for for x < 0.1.r)) Hence.4).x)tu(r)IP(r)mdr.. BOUNDARYVALUE PROBLEMS Step 2.. ()I < (C(x)P(x))m+ienZ (m 1)! Remark VI52.C)J < mi Z r+ Isin(((x .170 VI.x)Iu(T)IP(r)mdr < C(x)f.. then.6) is true for an m.r)) I < eq(zT)(r . C Therefore. = Jz ( z + J < 2Ixl1 z z I u(r){P(r)mdr + 2fz +00 TI u(r)I P(T)mdT for x < 0. At the last estimate.5. Iym+i(x.6) is true for m = 0.6) for (V1. Proof of (i) and (ii): To prove (i) and (ii). the following argument was used: (a) rx<r<1+rforx>O.5. .5. Inequality (VI. Since j we obtain (b) +00 (T . a 2i( (1  e2i(z7)() = zr eft(Zr) 1 e2it=dz. m= 0.x) for r1 > 0. Assume that (VI. Iym(x> }l < mj (C(x)P(x))me1. +00 (1 + I rI )I u(r)I p(r)mdr m+1 C(x)P(x)m+ I ym+1(x.5.
the estimate I f+(x. change x by x to derive (VI.5. Proof of (iii): First.5.6). ()I rn! (k) m e?=.10) LY + u(x)y = (2y. For f(x. let us derive another estimate for large I(I.r))IIu(r)I e"'a(r)mdT.. we shall prove that (VI..1.8). JOST SOLUTIONS 171 Step 3. 1 Iym+1(x. or(x) = f x +ao " iu(r)jdr. (VI.5.10) is the solution f.5.9).5. To do this. 0(VI.5.(). () can be completed by using (VI.l eqz. Note that sin(((x Hence.5. I The proof of Theorem VI51 for f+ (x. r))e+.5. ()1  M! I(I 1 Jz I sin(((x .5.E n. This establishes (VI.3). However. So.5.7) and (VI. (O(x)v(x))me''z m=1 00 'o I < C(x)p(x) I m=1 l i (C(x)p(x))m1 I e"z follows from (VI.5. Inequality (VI. Then. Assume that (VI.8) is true for an m.8) I ym(x.5.ei(zl < (i = M! 1 OWC1 ))M.2. () .for (VI. Iym+1(x. Therefore. +00 1 m+1 m! iu(r)io(r)mdr = (m+ 1)! (!!(X) 1(i} a' .9) v(x) If+(x.8) is true for m = 0.. 0 .()I e'7= KIm+1I J. m=0..7) I <.zl = e 2 11  e2it(z7)1 e' if 3(() 2! 0. The solution f+ for (VI.5. this estimate is not enough to prove (iii).
2) f+(x+ f(x. then f+(x. +oo. . () f+.() + b(f)f+(x.() i a(() = It is easy to see that i (VI. f) .4) a(() = 1 + 0((1) (' 00 on `3(() > 0.5. (x. while f. The function a(() is analytic for %() > 0 and (VI. ().6. Let W(f.() as I.I f+(x. in turn. 1+ (x. () = eK= for x < M. Then. then f f (x.172 VI.g}. If u(x) = 0 for Ixl _> M for some positive constant M.() . () = et't'.gj denotes the Vlwronskian of {f.() and (VI.1) f(x. To simplify the situation.6. + i(e+ dx r+ r))u(r)e(rdrl C() + 16 (x) for oo < x < +oo and oo < f < +oo.12) < C(x)p(x)a(x) 1+I(I for (VI. () = e'(= for x > M. where f denotes the conjugate complex of f .5.() f .r))u(r)f+(r. ()dr (x. VI6.fj = I f+(x. This implies that I f+.6.() = a(()f+(x.6. The solutions f± are uniquely determined by the conditions given in Theorem VI51. This. If u(x) = 0 identically on the real line. we introduce the following assumption.(x.4). whereas the function b(() is defined and continuous on oo < ( < +oo. Both f+ and f+ are solutions of Gy = (2y and I f+(x. Set (VI. Remark VI54. (VI.(x. 1+}.5. () 2i( J (oo < < +oo). Also. f+} is linearly independent if 36 0. .3) b(() = Wif+. () = f+ (x.r))u(r)eK=dr  (VI. Scattering data For real (. BOUNDARYVALUE PROBLEMS Remark VI53. implies that the solution f_ is a linear combination of I f+. f+l .11) and Id' d j+00 mi(((x (x. b(() = O(Ifl1) as I(I .e ZI < C(x)P(x) 1 + ICI dl (x. Furthermore.i(e{C2 + f cos(((x . W If+.
+oo) denotes the set of all complexvalued functions f (x) satisfying the condition of problem (VI.. If t = 0. .6. if t 96 0 is real. a(() has only a finite number of zeros for 3(() > 0 (cf.6. N). Therefore.6.)2dr (oc < { < +oo).2 2 W [f+.6. Then. f+(x. +oo) in the same way as the proof of Theorem VI34. f[ 2S d( . +oo).6) is asymptotically f+ +oc. ft(x. eigenvalues of problem (VI. Every eigenvalue of (VI.e. then f+r(x. We assume that Iu(x)I < Aekj=j (oo < x < +oo) for some positive numbers A and k. another solution f+J z all eigenvalues of (VI. ins) E L2(oo. . . Set c) _ (VI.5) are determined by a(iry) = 0.5) are real. 2.+oo) r+00 is selfadjoint. N) be the zeros of a(() for (() > 0. r . f] + N'[f+. () are analytic for 9'(() > .2.f 0 if a(() = 0.. 2.4)). Hence. +oc. fI = 2Z (u'[f+(. Let S = irlj 0 = 1. Furthermore. (VI. ir73) are realvalued and f+(x. This implies that all zeros of a(() for 3(() > 0 are purely imaginary. f<l). Therefore.n.6. Observation VI62. all eigenvalues are negative..0) is asymptotically J `f (x) I2dx < +oo. From a(t. i..5) Gy = Ay. Moreover.6. The boundaryvalue problem (VI.. then A = £2 > 0 and the general solution ci f+ + c2f+ is asymptotically equal to cle`4=+c2e'4= as x . it follows that `ia(() d( i d W[ f+. . +oc.5) is simple. In fact.6. where L2(00. y E L2(oo. Under Assumption VI61.) = 0. SCATTERING DATA 173 Assumption VI61. f+(x. Furthermore. da(C) 4 Proof. all eigenvalues are A = (ir7)2 < 0.6. .6.7) r+ao 1 (j = 1. The selfadjointness equal to 1 as x equal to x as x (VI.5) can be proved by using an inner product in the vector space L2(oo.
we obtain da(() + f+fdr and W(f+.fl = 2i. f) = Thus. Therefore.bf_) = a(f+ + bf) . 2S+00 d and d W(f+..174 VI. From f_(x.Ib(E)12 = 1 for .8) follows from f. fcl = 2f+f_ Since a(() = 0. there exists a constant d(() such that f_(x. Proof Set f (() = a(()j Then.() = d(()f+(x. exp [L f+°° log(1 i1h 2ri ao (. The formula (VI.S J for %() > 0 shows that the quantities q. i +oo 00 d( f+fdr = id(()f +oo oo f+dr = id(() Ci # 0.iq. Observation VI63. .. f1 = 2f+fTherefore..Ibl2f_ = {1a12 .C). a(() _ (. and W(f.Ib12f_ _ aaf. and r({) determine a(().6.6. Also. b(() = b((). two relations `f+S + of+C = (2f+C + uf+ imply that and d w(f+(.6.9) . The quantities a(() and b({) satisfy the following relation: (VI. W(f+t.oo < +00. BOUNDARYVALUE PROBLEMS where ft denotes 4f . {).8) Ia(t)12 .= af+ + b(af. Proof. (VI. ftl = 2C f o0 f+fdr. it follows that aW = a(4).Ibl2}f Observation VI64.
observation. Observation VI71. Now. Set also F(() = log(f (()).1) is bounded for 3(() > (iii) f (() & 0 for Qr(() >. then inj (j = 1. we can extend f+ for all ( as a meromorphic function in (.. .(x) 1 . VI7.f(x. ins).. Then.1 = O((').6. it follows that (VI. N) are zeros of a(() in 3'(() > 0.0) = e'S= 9.t:) = a(t) f+(x.. From this 0((1) as ( . (ii) ((f(() . The set {r(().ir.nN).... REFLECTIONLESS POTENTIALS 175 (i) f (() is analytic for $(() > 2 and (94 0. C) f+(x.7. using the relation f(x. O(log(()) near = 0 and F(() _ Observe that f(() .2. Set gJ (x) = e" cj f+(x.N). t) (cf.7. we obtain e2ne= N (VI. (n.. If r(() = 0. 2log if (01 ( for £(() > 0 (cf.. . (§VI6) ). if irlj (y = 1.1)..CN)} is called the scattering data associated with the potential u(x).. Therefore. from the fact that e_. (cl. N) are simple poles of f+(x. Furthermore. the The function potential u(x) becomes a function of simple form. it follows without any complication that 1 /'}Oc F(() .0 and (54 0. Then.2) C1 9t(x) + J=1 nt+n'gj(x) = 1 1 (t=1.c2. £) = a(t) f+(x..7.7. 2.0) = a(() for 3(() !5 0.. then b(() = 0. a<(inj) id(irtj) Observation VI72.+oo. . ..) = C)f(x. Let us look into this situation.<= f+(x... () . 2. (VI. 2.n2. () in ( and = Ftesidueoff+at inj = .Trif_.1) f+(x.9) follows from If(t) = Ia(()j and loBja(()f2 = log(Ta(f)22/ Definition V165. iii ).irli) . This means that f_(x. Exercise VI18).I as I(I . If this coefficient is zero.icj f+(x..i (+ ins =1 Setting ( = int in (VI.. . 00 on 3(() > 0. Reflectionless potentials is called the reflection coefficient.
.6) dL(x) dx N J=1 Thus finally. 2. (j = 1. (VI. the matrix IN + C(x) is invertible for oo < x < +oo. it follows that (VI.3). . Then.. ) = 1 . it follows that N u(x) = or 2E g. If we set F(x. . Since E 717t )t°1 'b + 171 N = +op L dL da E 7 en. Since F(x.7_1 Observation VI74.. BOUNDARYVALUE PROBLEMS Observation VI73..2) for the g. First.4) in the form IN + C(x).= i p N 2 dx and 77. Let us solve (VI...N).3) N u(x) = 2E gj.2) becomes (VI. set hi = gie'''= Then. . . we can write g.7.7... (j = 1. ()..7..7.2. .() = e't= f+(x. from (VI.4) (j = 1. then F" ..(x).5) in the following forms: 9j (x) = A(X) (j = 1. .7.(x) = 2 a(x) (VI. where IN is the N x N identity matrix.. ht + J=1 c rJt + I?j h = cte''i: (t Write the coefficient matrix of (VI.7) u(x) = 2z(log(0(x))}.7. manipulating with Cramer's rule. 2. N) are distinct. N) and (VI.176 VI. N) and (VI. 2... Set L(x) = det(IN + C(x)).2i(F'+uF = '` 91 (x) 0.7..7.7.i1 + .(x).
i (b) g j (oo) = = limo g .7.. N) from (VI.7. 2. the following remarks are also useful: (a) we have the identity N N gg(x) j=1 2 j=1 ?1 e2n'x9s(x)2.7. C / g(x) _ Also. adding them up over f.8) yields u(x) = 8 sech (2 (x + In (s) ) lation using formula (VI. calculate the inverse of the coefficient matrix of (VI. . .+ 600e6x + 2160e10s + 3600e12=) by calculating (VI.. a\ traightforward calcu (5+4)2. xg. we obtain (a). derive e2nez N 1 g.. . hence. Also. Therefore.7.2). cr 9t(x) + N =1 1h + n g. Example VI75..8) `c 211 .7.7. Multiplying both sides by ge.2). ill = 2. 4 I In particular. 2c e+7x + FF17enx g(x) = 1 implies that g(x) = 2 en= In (211 xsech(11(x + p)). . if we determine g(x) by e2+ gz 1 g 1. (a) implies that u(x) satisfies Assumption nentially small as x VI6. we obtain 40e42(16 + U(X) (1 + 20e4x + 75e6. To show (b). then u(x) = 2g'(x). 0 exponentially as x + oo. Since g(x) = Qx c' we obtain u(x) = .7) yields u(x) _ in the s case when N = 1. Also.. and c1 = 5. In the case N = 1. 1=1171+n. and interchanging the orders of summation. REFLECTIONLESS POTENTIALS 177 This implies that u(x) is a rational function of exponential functions and satisfies Assumption VI61 of §VI6.7. n1 = 2.1. and.(oo) = 1 (e = 1. c1 = 5. where p = (VI. To see this. 2. u(x) = 2112 sech2(g(x + p)).7). . (x) ( j = 1. u(s) = 2sech(x) is the reflectionless potential corresponding to the data r1= 1 and c = 2. Example VI76. formula (VI. .e2'rzg(x)2.7. (x) =  2cl[ e2arxgt(x) ((= 1. If N = 2. On the other hand. rh = 3. N).(x)2 is expooo. Using Cramer's rule on (VI.. and c2 = 2.4). N) exist and E To show (a).. (b) implies that e2°. it can be shown that he(x) . + 60ebox)2 135e2.. 2.
. (x)9f (x) + 2t. () 11 + 0 as . .. Then. Remark VI78. (x) =0 (t = 1.3) gives the corresponding reflectionless potential u(x) as it is shown in Examples VI75 and VI76.7.2) E ae. (71. for given data 7i>0.7. If u(x) 0 but u(x) = 0 for }xI _> M. . (x)9. To do this.1) gi + 27r9t . 2. 2. if r(C) = 0. l e`<= f+(x. 2.2. define g..8. Since the existence of u(x) has not been shown yet..() = e'(=. 7x). Hence. it must be proved. then u(x) is analytic for oo < x < +oo. (j = 1.. (x) = 1 3=1 (t = 1. Let gi (t = 1. 2 VI8. 2.N). BOUNDARYVALUE PROBLEMS Remark VI77.. in these two examples. then the reflection coefficient r(S) # 0... Then.3) Eat.1) and (VI. This is a contradiction..7.. . N) and differentiate both sides with reaspect to z. 72>0.7.. This shows that u(x) = 0. (VI. However.. (cl.2) in the form N (VI. the first thing that we have to do is to show that y = f+ is one of the Jost solutions of Ly = (2y.oo.. In fact. then u(x) = 0 identically for oo < x < +oo.. Furthermore. .. Observation VI81. .. Construction of a potential for given data If scattering data {0. N). y E L2(oo. Proof Write (VI..2) and u(z) be defined by (VI... (VI. This remark reveals that the problem posed at the beginning of §VI5 is not as simple as it looks... we assumed implicitly that such a potential exist.7. where M is a positive number. N) by (VI.2) and define f+ and u by (VI..3). If the reflection coefficient r(t) = 0 and if there is no eigenvalue for the problem  d2 y + u(x)y = Ay. N) and.7. Hereafter. .8. formula (VI. }=1 9j(x) = 0 (t = 1. c2>0.. 7N>0 and c1>0. N) be determined by (VI. .ugt = 0 (=1.3). f+(x. N 1=1 N Eata(x)9j'(x) + 27t 11  i=1 7e+7) 1 g.8. u(x) = 0. In fact.2.. hence.. .. +oo).178 VI.. f+(x. ... Hence..7.() is analytic in everywhere in the (plane.cN)} are given. . cN>0.
(x)+ 2E 711+17.u(x)g.g.. ..1) follows.=1 =0 (t = 1. (x) = 0 j=1 j=1 ge +T7j (e = 1.'(x) + 2171 C27jt ct ) = 0 (e = 1.(x)} = 0 .u(x) N + 2E 3=1 or ge+g. . . N).(x)} N 2171 E atj (x)9. gj 9'(x) = 0 (e = 1..2).(x){9. 92(x) = 0 N N N j=1 j=1 (e = 1.=1 N f=1 e2nas + . N) N N Eat.'(x) + 2s7.8. we obtain N 2o[s E ata (x){gj"(x) + 2r7eg.(x) + 217.=1 aea(x)2%g.. CONSTRUCTION OF A POTENTIAL FOR A GIVEN DATA 179 From (VI. Therefore.2>9..2.(x)) . .=1 (9e(x) + 2gtgt(x)) .3) implies that N F'at. Eatj(x){gf(x) + 2gtgj(x)} .9e(x) Thus...... we derive N F'ae. 2. and (VI. . it follows that N N E ajj(x){g.. .Eaea(x)u(x)9J(x) .(x) + 2gegj(x)} .j(x){g..2."(x) + 217eg.1(x){9. N). (VI... (x) } + 2ge ..2. . .8.(x) . . 2.g. 2.u(x)g. Differentiating again.(x) j=1 . (x) + 217t ct 91(x) .8.=1 (e= 1.N). N) or 3=1 g.N).237tE g..8.. .
8.9) with r N 0) and f(x. 2. N) (cf. The functions f±(.=1 2 u(e_" f+) N +i 9J g.()e'S= = a(() xoo f+(x.ugJ = 0. (VI.1)." _ gt(x) E ct L2(oo. we obtain (VI.4) are rational functions in ( with the same zeros. This implies that lim lim toof(x. Note first that lim f+(x. Also.4) a(() = 1 . (VI. E j=1 N + 2rligl' .() = a(()f+(x. Set a J=1 (cf.4)).1)). Proof. Proof.8.. N) are eigenvalues..6.. Observation VI85.()e"x = a(()a(() = 1. ..it7t) = efez 1 J=1 g.180 VI. () are the Jost solutions of Ly = (2y. Since ( . £f_ _ (2f_ .i1 ____ ) j=1(+nJ In fact.7. then £f+ = (2f+...1) and (VI.7.8. and the same limits as ( . . 2.. Furthermore. oo.x. this follows from the fact that both sides of (VI.2 (j = 1. N Observation VI84..7. BOUNDARYVALUE PROBLEMS Observation VI82. (VI. Observation VI71). (x) 711+17. since E gJ (oo) = 1 J=1171+17J (e = 1. (cf. the same poles.2)). (VI7. .ttgJ i N Observation VI83. O . N numbers 1l.+oo). (+ tnJ f+(x. If we further define f+ by (VI. Then.()e`<x = 1 i=1 gg(o) = a(() (cf. x en. () = a(S)eCz 1 + iE g3 (x) J=1(ig. we have s+oo lim f+(x. (e"=f+)11 + i J=1 g1' + 2i(g . ()e't= = 1 (cf.
Details are left to the reader as exercises (cf. N Therefore. r) by this equation.(u(x) .9.= J=1 Find K(x.0). flN ).2) and (VI. SATISFIED BY REFLECTIONLESS POTENTIALS 181 Observation VI86. ) for ( = 0. where J = (2.1) P(x. For the general r((). r) + F(x + r) + where F(x + r + s)K(x.... . r12. (r11. F(x) = 1 J R + oo 2cL` cle2n. we conclude that u(x) is Remark VI87. (Ge1LJ ). {) = C real.7.C)f+(x. (cl. Thus. . EQS. Differential equations satisfied by reflectionless potentials Suppose that u(x) is a reflectionless potential whose associated scattering data are given by 0. we can derive (VI.9. A) = 11 ! 1+11. Note that f_ (x. f+(x. () A 3=1 ) satisfies the differential equation 3 (E) 2 dz3 + 2(u(x) . the potential u(x) can be constructed by solving the integral equation of Gel'fandLevitan: +00 + 0 K(x. r(C) = 0.7. It was proven that one of the Jost solutions is given by f+(T.. This means that reflectionless.f+(T.A) dP + ddx )P = 0.. Hence. DIFF. () = e`= 1 is also a solution of g1 (r) ( + trj7 dX2 . (VI. Then. 1 . ) = a(() f+(x. the potential is given by u(x) 8x (x. .3).where 0 < ril < ]2 < < rily. s)ds = 0.() = e`t= Furthermore.A)y = 0. cN) }. V19. If we set r({) = 0 in this integral equation.j_1 (+ i N N 9j (T) f+(x. c2.
0N. .9. A)G(u.. A). .5(u')2 + u(4) 32 Observe that P(x.7ixgj(x)2 171 C.. . More precisely speaking.+ 2(u(x) . GN+1(u) + a1GN(u) + a2GN1(u) + . Therefore. BOUNDARYVALUE PROBLEMS Let +oo (S) P = E an n=0 (PO 3 0) be a formal solution in powers of A1 of differential equation (E).. (i) the coefficients pn can be determined successively by po = ca. 2C Pn+l = uE pip. hence. A). it is shown above that P(u. N N g}(x) i=1 u(x) = 2 4 1` 1=1 e2. 0 = P [. Then. + (4)2 + (u(x) . (ii) the coefficients pn are polynomials in u and its derivatives with constant coefficients.. lv () i f we denote the unique P of (iii) by G u.1.A)P2 J A(P2)' = I . A) = +00 G"( u) (Go = 1). A) of (VIA 1) is a polynomial in the potential u(x) satisfies a differential equation (VI. A) = P(0. A)G(u. + QNG1(u) = 0 for some suitable constants a.. Example VI91..2) of degree N.lOuu" .PZ it + (4)2 + u(x)P2 }. A straight forward calculation yields Gl = u Z' G2 = 3u2 ..182 VI. (iii) the formal power series (S) is uniquely determined by the condition P = 1 for u = 0.t 2 E PtFri1 + 4E Ptpnt + t=o t=o c=o n n nPtPn+1t r 1=1 (n = 0. then the q An Y ( n=0 general formal solution of (S) is given by P(u. . . A) = P(0. In fact.).A)P + u'(x)P P2 and. Therefore. a2.. Compute the coefficients of A(N+1) on both sides of this identity.. n where co is a constant.2.u" 8 G3 = 10u3 .
In particular.1) such that (VI.A) = 1. G3(u)+(n1+7)2 2(u)+rI14Gi(u) _ 0 in the case when N = 2 and {r(C) = 0.D(A) = O1 (t"\) The two eigenvalues Z1(A) and Z2 (A) of the matrix periodic system (VI. A) and 02(x. VI10. N). where p = 2 In 75). 2. c2)} are the scattering data. In this case.1) 2 + (A .10. A) = 0. u(x + e) = u(x) for oo < x < +oo. in turn. C)f+(x. 1(o A) = 0. Hence. implies A G(u. A) the two linearly independent solutions of (VI. This. A) 02 (0. Example VIpotential corresponding to the data {r7. [y21 . PERIODIC POTENTIALS 183 implies that u = 0 if and only if gl = 0 (1 = 1. A) = 11 and C1 +  . The materials of §§VI5VI9 are also found in (TDJ. A) = f+(x. Periodic potentials In this section. The function u(x) = 2q2 sech2(17(x /+ p)) is a reflectionless (cf.e. The period a is a positive number and A is a real parameter. n2). G2(u)+172G1(u) = 0. G3 (U) + 13G2(u) +36G1(u) = 0 if i1 = 2 and '12 = 3. that P(0. c}. i.. A) (e A) . (II) u(x) is periodic of period 1.2) Set 01(0. 1c) Remark VI93.10. + 2 = 1 =1 Example VI92.A) = 1.u(x))y = 0 under the assumption that (I) u(x) is continuous for co < x < +oo. we consider the differential equation (VI. 01(e.3) are the multipliers of the d dx [Y2J = [u(OA 0. 02(t. d2(0.10. (cl. ao = 1 and 1 + N E 3=1 where N A=C2.10. Also. Denote by 01(x. (i71.10.
This means that cl and c2 are two real numbers not both zero and that c141(t.\)Z + 1 = 0. A) = (0. f (A)2 . two multipliers are real and distinct. BOUNDARYVALUE PROBLEMS (cf. Then.\) + f (A)2 . it can be shown that equation (VI.3) are 2l f(. The two multipliers Z1(A) and Z2(A) of system (VI. then Z1(A) = Z2(A) = 1. 2 l f (A)  where f (A) is given by M. and I Zt (A) I =1 and I Z2(A) 1 = 1.10. A) is a nontrivial periodic solution of (VI. A) + c2 di (t..A) and LO (t. where (VI.4. 1 <Z1(A) < 0. A) + c202(x. i. . . A) = 0(0. d(x. (i) if I f (A) I > 2.10. then Z1(A) = Z2(A) = 1. Lemma VI101. A) = 0(0.0(t.A) and (t. This implies that O(x.10. (iv) if f(A) _ 2. A). the two multipliers Z1(A) and Z2(A) are determined by the equation Z2 .e.10.4). Therefore. ZI(A) > 1. A) =  (O. let ICCl2 be an eigenvector of 4.184 VI. Cl d ' (t. Observation VI103.A) Note that f (A) is continuous for oo < A < oo (cf. Theorem 1112). (iii) if f (A) = 2.1) such that .10.\) = cl o1(x.. A).4) f(A) = 2(t. Hence.1) has a nontrivial solution O(x. If f (A) = 2. A) such that 0(t. If f (A) = 2. (ii) if I f (A) I < 2. We derive first the following conclusion. A) = c1. Observation VI102. It is easy to show that det [1(A)] = 1 for oo < A < +oo.f (. 0 < Z2(A) < 1 Z2(A) < 1 if f(A) > 2. A) is a nontrivial solution of (VI.4. A) . two multipliers are complex and distinct. A) = C2  Set 6(x. 10. A) + C202(1.(A) associated J with the eigenvalue 1.1) of period t. if f(A) < 2. Definition IV45).
. Actually. A) = 1 > 0. if n is even. ifa76 0. <µ< Since . A) > 0 as long as 01(x. A) > 1 if (VI. In fact.8) A < min{u(x) : oo < x < +oo}. (x. If (VI.10. has exactly n 1 zeros on the open interval 0 < x < e. condition (VI. A) < 0.oo < x < +oo. then f (A) > 2. it follows that dO2 dx <0 (e'µ") I > 0 1 for n is odd.tL(x) y = 0.10.8) is satisfied. Furthermore. dX21 (x.5) ¢(x + e. The eigenfunction 02 (x.10. it can be shown that (VI. Here.10. a rough picture of the graph of the function f (A) is obtained (cf. A) >0 and f(A) :52 if >2 (e. for n is even. Figure 1). we obtain s1(£. In this way. follows from (VI. y(o) = 0. Thus.10. hence. 2 (P. y(e) = 0. we can prove the following theorem. A) 2 + (A . A) A) = 1. Observation VI104. A) = 0. Therefore.4). A) + Z V. PERIODIC POTENTIALS 185 This implies that ¢(x.2 (0.5) has infinitely many eigenvalues (VI. f (A) = 01(e. (VI.10.5).6) µI < i2 < which are determined by the equation (VI. f(A) > 2 if (e.7)). A) > 1. use was made of the fact that jaj+ 1a1. Similarly. A) > 0. A) = &.A)01 (x.10.10. A) satisfies the condition for .7) implies that det t I (A)] = Thus. A) = (u(x) . f (µ") { < 2 if n is odd (cf.10.10. Cconsider the eigenvalue problem (VI. Applying Theorem VI311 (with A instead of A) to problem (VI.10.7) t2(£. At T A2 3 44 A3= lA 3 I l4 F U3=N3U4 u5 U6 f=2 W Ul U2 f= 2 FIGURE 1. A) > 0 dol and. Observation VI105.
we obtain (VI. 1'2n < A2n1 !5 µ2n < A2n < V2n+1 < µ2n+1 < i/2(n+l) for (3) 02n_1(x) and /32n(x) are linearly independent if A2. _ L(0).u(x)) y = 0. A) is w(0.1 = A2n.\) = TA_ ( dx ¢2(x. A) 02(t. using the variation of parameters method. Proof. A) f01(t"\)2dt' = 01(x"\) 102(t....02(X.10. A) fT 01(t. (4) 72n1(x) and 72n (x) are linearly independent if v2n1 = v2n.. A) = 0. A)02(t. A)2dt .1 zeros on the interval 0 < x < t. and vn. µI y(t) = y(0).. then (1) A0 < v1.1). (5) 3D(x) does not have any zero on the interval 0 < x < t. tions associated with the eigenvalues µn. We prove this theorem in five steps. (2) v2n1 :5 92nI n = 1.10.<A2n_I<\2n <. respectively. )L).. Therefore.2. A)dt ._1(x) and /32.\) f 01(t.. each of these three problems has infinitely many eigenvalues: <µ2</A3.. (7) 72n1(x) and 72n (x) have exactly 2n .. (0. then a solution of the initialvalue problem (VI. BOUNDARYVALUE PROBLEMS Theorem VI106.9) A0<\1<A2<A3<a4 <..186 VI. V1 <v2 <v3 :5 L14 <. A) _ d z (x.9) is obtained from Figure 1. <V2n1 <V2n <. Furthermore.10) d2w dx2 (x..10.10.. i 1(x. If ¢(x.. Note first that (VI.<An<. (6) 02. Assuming that u(x) is continuous and periodic of period t > 0 on the entire real line R. and 7n(x) the eigenfuncrespectively...11) _ i (0. d2 + (A ...u(x)) w + O(x. An. A) = + (A . ..(x) have exactly 2n zeros on the interval 0< x < t. y(t) = 0. consider three boundaryvalue problems: (A) 2 + (A . y ($)2 + (A . Step 1. y(0) = 0.\) (x. dx (t) _ dY(t) (0).. A)dt (cf.. §lI2). A) is a solution of differential equation (VI.. Then.u(x)) y = 0.. (C) W) = y(0).u(x)) y = 0.. (VI.10. if we denote by an(x).
A)) does not change sign for 0 < x < e if If (A)f < 2. 10.4 = f(..A)Y2 + dTl(e. To prove this. A) dO2 (e. Note that 41(e. A)yi2(t. if if A < p1. A) > 0 A) > 0 Thus. ) (e.Y2) = 02(e. A)] + 401(e. A). A))dt follows from (VI. Therefore. A) f .\ <0 if A < pl and f(. . A) la mi (t. (1) is verified. (1)1 d('\) < 0 if pl < A < pi+1 and f(A)2 = 4.10. hence.4). In fact. notice that Q is a perfect square if f(. A) 2 2 (e. Also.4. It follows that (I) df(A) dA 0 if If(A)f < 2. 2 1(t"\) A)] +4 xd l (e. A instead of A).4. Step 3. A) . A)dt. we obtain dA\) ¢2(e. A)) = a  (_. p..\)2 = 4 and that 02(1. it can be proven that df(A) d. ¢2(t. A)2dt d (ddx (x.A)Jr1Y2. Step 2. < A < pj+1. PERIODIC POTENTIALS 187 and. A). 1(x. m2(t. where 0 Q(Y1.\) # 0 if A 0 pj for every j. The discriminant of the quadratic form Q is f(. Also. A)  ' (e. Q(01 (X. using Lemma VI311 (with 02 (1. A)o2(t. A) < 0. ¢2(x.\)2 .A)Y2 + [1(t1A)  (e. Hence.\)2 . A) = det [ I (A)] = 1. Thus.\)2 = 4. df dA = rr Q(01 (t.
A)0 (t.A)2ds. UX ' (e. z 2 (a) = Jo e + d  (t. if f (A) = 2 and (A) = 0. d.10. Furthermore. Also.188 VI. A)ds. A) = 0. 71K (A) =± f t [c101(t. 0 where cl and c2 are some real numbers.A)j2dtds < 0 d (A) _ . a) = ) (e. Let us prove that dzf (a) J< 0 if f (a) = 2 and d(\) = 0. \)12 dt = 0.0e(s. dal >0 if f (A) _ 2 and df(A) = 0.11) and (IV) that d z d {e. t 0i (s. ax 1. Therefore. A) } m (t. f where 12 is the 2 x 2 identity matrix. it follows from (VI. A)02(t. A)2 ds.\)=0. A) + c202(t. since 01 and 02 are linearly independent. A)m2(t. Hence. This means that (IV) Since det 02(f. BOUNDARYVALUE PROBLEMS Step 4. A)2 + da ( d ') (e. A) . A)1 dt.. 0 da ( Hence.I2 d (a) = 0. t(0f(t. A)02(s. a)2 d I (e. d f (A) = 2 and (A) = 0. f 0t 0r (s. we conclude that 12 if if f (a) = 2 and (V) fi(A) = . cl = 0 and c2 = 0. A)02{s.\ First observe that Q is a perfect square if (f(A)l = 2.f tf . ) = j42(s.
cos(v1'"T_ax) 01 (X. (11) The set {A : f(A)2 > 4} is called the instability region of the differential equation (6210. Hence. and (VII). if w2r_1 = v2. The functions (respectively yn(x)) have an even (respectively odd) number of zeros on the interval 0 < x < 1. Step 5. hence.. since (VII) /12n2 < V2n1 V2n < 112n. and less than 2n + 2. and (V) that 01(x. (IV). (IV). it follows from (VI. A)02(s. Similarly. (I) The set {A f(A)2 < 4} is called the stability region of the differential : equation (VI.a)y = 0 and. Thus. d2f 2 (A) = ft f t [Ol (t.e. PERIODIC POTENTIALS 189 if f (A) = 2 and I (A) = 0. Similarly. if A < a cosh( a Ax) . A) are two linearly independent solutions for problem (B).10. (5). (3) and (4) are verified. A) are two linearly independent solutions for problem (C). they have exactly 2n zeros there.. 112ni < A2n1 A2n < 12n+l Therefore. (0) = Qn(1) and 7n(0) Yn(1) As can be seen in Figure 1. Similarly. 1 and per have more than 2n . A) = 1 if A > a. if A =a. and (V) that 01(x.. A) and 62(x. A) . Definition VI107. (2) follows from (VI. A)J2dtds > 0 if f (A) = 2 and df (A) = 0. all other zeros are double). and (7) are verified.1 = A2. if A2. we conclude that fit.10.1).2). A)4 2(t. Finally.2). The differential equation becomes d? 2 d2y dx2 dx+ (A . and t2n have exactly 2n .9). since /3. A periodic function u(x) is called a finitezone potential if the function f (A)' .10. zeros on the interval 0 < x < 1. Thus. The function .8a does not have any zero on the interval 0 < x < t since Ao < 111.1. For example. 10.I zeros on the interval 0 < x < e.10.41(s. A) and 02(x. (VI).. (6).4 of the differential equation + (A . Example VI108.u(x))y = 0 has a finite number of simple zeros (i. it follows from (VI. consider the case when u(x) = a.. by virtue of Theorems VI311 and VI11. where a is a constant..1). Note that.
AA) = A) + (e. at) if A >a. if A < a. y(x) > 0 for x > x0 if (2) It is sufficient to find a solution 0(x) such that 0(x) > 0 and 0'(x) < 0 for 1/(xo) > 0. BOUNDARYVALUE PROBLEMS ( sin(v1_T_ax) Aa 02(x. EXERCISES VI VI1. FicURE 2. Therefore. x>xo.190 and VI. if A =a. then y"(xo) > 0. Chapter 8j. Assume that u(x) is a realvalued continuous function on the interval 20 = {x : 0 < x < +oo} such that u(x) > rno for x >_ xo for some positive numbers "to and x0. 12 cos(\/). Figure 2). (2) the differential equation (E) has a nontrivial solution 1)(x) such that hm q(x) = 0. Show that (1) every nontrivial solution of the differential equation (E) day &2 . (1) Note that if y(xo) > 0. A) _ 2 if A=a. Hence. x sinh(x) if A < a. A) = if A>a.u(x)y = 0 has at most a finite number of zeros on Z0. Hint. . 2 cosh( a At) Thus. f (A)2 4 has only one simple zero a (cf. we conclude that in this case. The materials in this section are also found in [CL.
6 y(0) cos a .y'(0) sin a = 0. twice continuously differen tiable.EXERCISES VI 191 VI2. VI4. z lim y(x) = 0.u(x)y = Ay.u(x)y = Ay. Y(()) = y(1). . y(0) = y'(1). . See JCL.> An >  be eigenvalues of the boundaryvalue problem + u(x)y = Ay. Hint. y(a) = 0. consider the eigenvalueproblem r+oo dx2 . . . 3. .. (1) construct Green's function. VI5. (3) show that (EP) has infinitely many eigenvalues. For the eigenvalueproblem (EP) L2 + u(x)y = Ay. where u(x) is realvalued and continuous on the interval a < x < b. where a is a nonnegative constant.y'(0) sin a = 0.(b). > A2 > d2y . Assuming that u(x) is realvalued and continuous on the interval 0 < x < +oo and that lim u(x) = +oo. such that lim An = n. . (b) eigenfunctions corresponding to the eigenvalue An have exactly n 1 zeros on the interval 0 < x < +oo. . Define Am by lim A. be the eigenvalues of dx2 . and ¢"(x) + e'O(x) = 0 on the interval 10 = {x : 0 < x < +oo} and if J J0 O(x)2dx < +oo.ioo 00.. Show that if a function O(x) is realvalued. Let A. then O(x) is identically equal to zero on I . Problem 1 on p. 2. y '(b) = 0. Show that (a) there exist infinitely many real eigenvalues AI > A2 > . where u(x) is realvalued and continuous on the interval 0 < x < 1. (2) show that (EP) is selfadjoint. +oo y(b) = 0. Show that there exists a positive number K such that n + n2 2 ir ba K n for n = 1. y(0) cos a . VI3. 2541. Let A1(b) > A2(b) > . where b > 0.
. (ii) ¢(x) A 0 if x is a positive real number. (ii) J 1 Pn(x)Pm(x)dx = 0 if n 0 m..1)'J = (n = 0.. . )..C(f)) = j>n(f.. such that 0 > A0 > Al > A2 > and n llm . A) has infinitely many zeros A. n .P(a)f(a)f'(a). 2.. (iii) ¢(b.2.). b). Also. VI9. y(a) = 0. j {u(x)f(x)... (iii) ¢(x) has infinitely many zeros an such that 0 > \o > a1 > A2 > lim 1n = oc.17n)2 n=1 b = if f E V(a.. (ii) ¢(b. where a < b. A) the unique solution of the initialvalue problem 2 + u(x)y = Ay. Assume that u(x) is realvalued and continuous and u(x) < 0 on the interval I(a. where A is a comlex parameter. (x) = n (n = 0. A) is an entire function of A. VI7. b).. BOUNDARYVALUE PROBLEMS VI6. n+00 (iv) .\ b ra l / +oo n2 A" 2 . and J0 nx)dx = 0 if n 96 m.1. 1 (iii) j P n (x)2dx = n (iv) (n = 0.) satisfy the following conditions: (i) deg P.1. y(a) = 1. show that m(x) is an entire function of x... (v) Pn(x) (n > 1) has n simple zeros in the interval Ixl < 1.1. Find the unique solution O(x) of the differential equation Ix (i)\\\ ) = y such that is analytic at . Using the notations and definitions of §VI4. A) 54 0 if A is a positive real number. show that +oo (f.1... Denote by yh(x. Show that the Legendre polynomials 2"n1 Pn(x) d" !dx"((x2 .P(x)f'(x)2}dx + P(b)f(b)f'(b) . . Show that (i) O(b.x = 0 and 0(0) = 1.2. .  \ ) VI8. z J xkPn(x)dx = 0 for k = 0.192 VI.
then f (x) can be approximated on this interval uniformly by a polynomial in x.1). . 2.\) 0 on a < x < b for A > po. A E It} such that lim u(x..un1. A) = boo uniformly for x E Zo. Show that f f G(x. ). construct the Green function G(x. 2. )2dx< < +oo. note that if f (x) is continuous on the interval jxj < 1. 1J 1 VI10.. Pn) = lim f 1 1 f (x) . (vii) the series +00(n + 21 (f.. and lim pn = oo.b) _ {x : a < x < b}. (2) p(x) > 0 on Zo. Assume that p(x) and u(x) are realvalued and continuous on the interval 1(0.+oo (ii) 4(b. A) on the region Zo x ll = {(x. then N+oo where (f. 1 1 where ao is not a nonnegative integer. y(a) = 1.x < 1} and that p(x) is also continuous on 7(0.t) for the boundaryvalue problem ((I x2)d/ +aoy=f(W).EXERCISES VI 193 (vi) if f (x) is realvalued and continuous on the interval jxj < 1.. f'. . 1. ). and p'(0) < 0. Also. Hint. A) is a realvalued and continuous function of (x. and q(x. To prove (vii). J! Then. pn) = 0 (n = 0. Show that the differential equation . See Exercise V13. Denote by O(x. Assume that (1) p(x) and p'(x) are continuous on an interval Zo(a. (iii) ¢(x.E (n+ Z) (f.\)y = 0 y(a) = 0. A) is strictly Atoo decreasing in A E R for each fixed x on I. we can use a method similar to that of §VI4. . and (3) u(x.1. f 1 f (x)PP(x)dx.1) = {x : 0 <.. on a<x<bforpn<\<. n .. to An (iv) strictly decreases from +oo to oo as A decreases from pn_1 VI11. and f" are continuous on the interval jxj < 1. p(0) = 0. 2. PP)Pn(x) converges to f uniformly on the interval F. Show that there exists a sequence {pn : n = 0. p(x) > 0 for 0 < x < 1. } of real numbers such that (i) pn < 1An1 (n = 1. n=0 jxj < 1 if f. A) : x E Zo. Assume also that u(x. A) the unique solution of the intialvalue problem (P(x)L ) + u(x. . y(x) is bounded in the neighborhood of x = ±1. PP)Pn(x)) n=O N 2 dx = 0. A) (n > 1) has n simple zeros ..
for Denote by 01(x.p(x)ii (x) = 1. (1...)f+(x.. Two quantities a(() and are given by a(S) = respectively. (). (). .C) f_(x. where A is a real parameter.. and the function f (A) = 4(1.1)}. the scattering data for u(x) are b(l)' a(C) (171. Let f f(x. 1 CNa<(LT.. . . Calculate the scattering data for each of u(x + 1) and u(x). Sketch the graph of (1.u(x))y = 0 satisfying the initial conditions 4i(0. A) = 1. X1(0.17N)I ( 1 cia<(iv71)2 . A) = 1. For the scattering data {r({) = 0.0 f' (x:0 The Jost solutions f o r u(x + 1 ) are e ' ft (x + 1. A) the two unique solutions of the differential equation y + (A .(). ) 0<x< 2<x 1. . (ii) sl VI12.T)N)...1. Hint.. . A) + VI13. Therefore. (e2"'c1. . (271.nN).. Set for o 11 F 0 and =li m.) ..2. 42(0..<) and I 1 (X.. A) = 0. find the potential u(x) and the Jost solutions ft(x.e2"r'cN)}.iil3) = i a<(iul. ii} of solutions on the interval dx) (i(z)  0 < x < 1 such that (i) slim 4(x) = 1 and Zli o p(x)O'(x) = 0... BOUNDARYVALUE PROBLEMS dx (px ) d +u(x)y = 0 has a fundamental set {0. The Jost solutions for u(x) are ff(x.. (cl.iu. assuming that {r({).. Hence. () be the Jost solutions for u(x).N)21 J l} Note that f(x. (0. A) and 42(x. cN)} are the scattering data for u(x) and that u(x) satisfies a condition Eu(x)I < Aek1=I for some positive numbers A and k. A) = 0..194 VI. (1.. VI14. A).3). the scattering data for u(x + 1) are (171. 2C I f+(x.
Let A = Al (0 < A2W < µ3(f) < . To do this. \1 . A) be the solution of the differential equation (Eq) 2 + (A .. A) = eal=E) such{µ x..u(x))y = 0 satisfying the initial conditions 0({.. This function R(A) has the following factorization: R(A) = t m=1 _. . Let us construct O(x. A) = 0 with respect to A. for every real .EXERCISES VI 195 VI15.A +00 2 ( + ['. Also. it can be shown that ev(xE)+G(x. Show that Am(t) .f )) + O( A 1 on the interval 0 < x .A) = 0 and {G'(£. Since e. we derive lim t'(4+f. A) = Q m=1 e Hint. t. for A <0.A) = 1. Let u(x) be realvalued.. and periodic of period t > 0. Thus. {. continuous. .`(=() sinh(µ(x . Step 1. A) = 1. A) for negative A. change (Eq) to the integral equation sinh(p(x .)) + 1 r p p f sinh(µ(x  where it = v > 0. There exists an entire function R(A) of A such that sin(Pf) R( A ) = J sinh(CX) a for A > 0.+oo. . (sinh(e)) Step 2. . {. be all roots of ii({ + t.)) is bounded as p .< t as A e oo. let O(x.
Set F(() = log f (() for `a( > 0. 1. . Theorem 4.'c' + [0W a _( R(A) )H cam. (Pa. Use the same notations as in Theorem VI106. Note that _((+t. lim ple. (ii) f (() is analytic for `£( > 0. Denote by SR the semicircle {(: 1(I = R. 1. then u(x) = 0 identically onoc<x<+00. Then. as m cn.\ and ''(+t. 621). Thus.X) (1) . w'(x) + w(x)Z + A .\) in the following form: lp(f + t..1) is bounded for !a( > 0. A) is entire in .A ] Note also that c a of (1) for oo < A < 0. Calculate G4(u) and G5(u). we used the fact that +oc (cf. F(() = tai j F'(() d{ + 7 f. we can write 1'(( + 1.OO cm A This implies the uniform convergence of the infinite product on the righthand side Z'((+ 1. Show that if J ft u(t)dt = 0..t. set w(z) = !Lx). VI17. for exam VI16. BOUNDARYVALUE PROBLEMS where Cm = mr t Step 3. 1A'IW. Here. pp. (iii) ((f (() . For expressions of analytic functions in infinite products. Since j3o(z) # 0 on oc < x < +oo. 4905041. where (i) f (() is continuous for QJ( > 0.\) = O(exp(1 JaJ)) as A + oo. t. (iv) f (() # 0 for !'( > 0. Theorem VI314). Jo Hint. a. see.196 VI. p. (0 0. Show that 1 (a) (b) 2ri IR 1 F(z) dz = f F(() 0 (`1( > 0. The functions are defined in §VI9. 2Ri (`'(<0.1(1 < R).1(1<R).4. V118.0 < arg(< r) which is oriented counterclockwise. where fl() is the complex conjugate of F(). _ = 1 = c R(a) l Remark. (.u(x) = 0 (cf. ( 0. Also show that if / u(t)dt = 0 and = 0.g for a(> 0. ( # 0. If the function V)((+1. I 0 then Ao < 0. t.J is bounded Step 4. a) = c [i(A] where c is independent of A. . where R is a positive number.
Liapounoff's type numbers are explained in §VII1. Let f (t) be a C"valued function whose entries are continuous on an interval Z = {t : to < t < +oo}. Theorem VII42). Liapounoff in [Lia]. Chapter X1. Definition VII11. [HarL1]. [GHS]. [Huk3j. [HW2]. The main result is Theorem of N. the Theorem of Levinson is applied to a system whose matrix has a limit as t + +oc and its derivative is absolutely integrable on the interval 0 _< t < oo. [El]. We are interested in the exponential growth of solutions and the asymptotic behavior of solutions. [HX1]. [CK]. [Hart. [HX2]. [DK]. [HarL3]). even if the derivative of h(t)sin(at) is small but not absolutely integrable on the interval 0 < t < oo. [HarL2]. Theorem VII41). Levinson (cf. The topics of §§VII4 and VII5 are also found in [CL. let us introduce Liapounof''s type numbers. for example. we explain Liapounoff's type numbers of solutions of a homogeneous linear system in §VII2. in [Bell]. see also [HarLl]. In §VII4. we use Liapounoff's type numbers which was originally introduced by A. 9197]. [Dev].CHAPTER VII ASYMPTOTIC BEHAVIOR OF SOLUTIONS OF LINEAR SYSTEMS In this chapter. Liapounoff's type numbers In order to measure the exponential growth of a function. [HW1]. [Gi]. §8 of Chapter 3. [HarL3]. and [Si9]). The purpose is to show how much information we can glean from the limit matrix Ao. [Bel2]. [HarL2]. In §VII6. [HaS3]. we calculate Liapotimoff's type numbers of solutions in terms of the eigenvalues of A0 (cf. we explain the behavior of solutions of a homogeneous linear +oo in the case when the coefficient matrix A(t) = A(t)y as t system has a limit A0 as t + +oo. The main idea is to apply the Floquet theorem (Theorem IV41) to z + {1 + e sin(ot)}rt = 0 to eliminate the periodic parts of coefficients so that we can use the Theorem of Levinson (cf. assuming that ttooA(t) = Ao. [E2]. [Cop1]. we explain how to derive the asymptotic behavior of solutions by diagonalizing the given system.) In §VII3. and [HX3].) In §VII5. (Generalizations and refinements of Theorem of Levinson are found. pp. VII1. Cesari [Ce. 50551. pp. we explain how we can reduce some problems such as the differential equation dt2 + {X + h(t) sin(at)}rj = 0 to the Theorem of Levinson. Hukuhara and N. Nagumo gives the original motivation (cf. In order to measure the exponential growth of a function. Let us denote by A the set of all real 197 . A theorem of M. (Liapounoff's type numbers are also found lim in L. Also.
. The quantity A (f) is called Liapounoff's type number off at t = +oo.. Lemma VII13. Here. (f) + e) t] f(t) is bounded on I if e > 0. are linearly independent on the interval if A if 1) .1. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS numbers a such that exp[at] f (t) is bounded on the interval Z...(... tfA(f1) > A(fi)forj=2. whenever A (f) # oo. The following lemma can be proved easily.) : j = 1.. Then. (i) exp I . (ii) A fi < max{A (f.+oo lt<s<oo ...m. A (tm) = 0 (for all constants m). A (exp[t2j) _ 00.. m (tii) A 1<f<m f. (vi) A (P(t)f) = A (f). i f A j4R and A 3 40 . m (V) A(f1f2. . The following lemma characterizes Liapounoff's type number. Let A (f) be Liapounoff's type number of a C' valued function f (t) whose entries are continuous on an interval Z = It: to < t < +oo}.. .. fm are Cvalued junctions.2. f.FA(f. A (exp[t2j) _ +00. { A (exp[ort]) = a. (iv) f1. Example VII12. if the entries of an n x n matrix P(t) and the entries of its inverse P(t)1 are bounded on the interval Z. 00 ifA=R.fm) <. . Note that if a E A and a <. and unbounded if e < 0.1) 1 (f) = +oo inf{o : a E A} ifA =0. then a(f) = log If (s) I lim sup s t. A (fm) are mutually distinct.. = A(ft). f2. Lemma VII14.. J+ (0) = 00.) in the case when f1i..198 VII. .6. Set (VII. . If A(f) is Liapounoff 's type number of a function f(t) at t = +oo. it was assumed implicitly that to > 0 if m < 0. then a E A.
Hence.2. Liapounoff's type numbers of a homogeneous linear system In this section. 1) and if f A(t)e < K on the interval I = It : to < t < +oo} for some nonnegative number K. <A(f)+e + logK 5. log m sm + e < log If (sm)1 Therefore.2. we explain Liapounoff's type numbers of solutions of a homogeneous linear system (VII. Let the n x n invertible matrix 4P(t) be the unique solution of the initialvalue dY problem 7 = A(t)Y.2) Proof.1U) +e+logtK log If(3)1 for t < s. LIAPOUNOFF'S TYPE NUMBERS OF A LINEAR SYSTEM Proof. there exists a large lim t+m value of sm such that Sm If (sm)1 and lim sm = +oo. . we obtain log If(s) s lim sup t+oo<a<+ao I > (f ) Thus. Lemma VII14 is proved. Y(to) = In. where In is the n x n identity matrix.1) dy dt = A(t)9 under the assumption that the entries of the n x n matrix A(t) are continuous and bounded on an interval T = It : to < t < +oc}. then (VII. Then. Let us start with the following fundamental result. Theorem VII21. VII2.2. it follows that logIf(s)I Hence. 199 Since there exists a positive constant K such that I f (s)I < Keia(f)+`i' for e > 0 and large values of s. 2. If y" = fi(t) is a nontrivial solution of system (VII. for a fixed positive number a and any positive integer in. < a(f) sup s It<5<+m Also.
).I for t r. dt Therefore.1) such that A (p) < A} for j = 1.. y. for v = 1.. Set (VI1. . Since = ZA(t). since I¢(to)I 0 0.. .(v = 1. it follows that exp[K(t . that consists of y... 24). (v = 1. v = t + l.... Lemma IV24).. The following lemma states that there exists a particular basis for each space V. 2.. Lemma 115). Tn. linearly independent solutions d. . solutions whose type numbers are equal to A. Assume that A. Therefore.1) and y. (ii:) for each j.) be a basis for Vj. t.. y2. (v = 1.T.) satisfy all the requirements of (iii). we obtain I (cf.... < y.t.2.1) such that A (p.. Let Al > A2 > . .°) = A3. given by (VII.2. ... y..200 VII. there exists a basis for V. (VII.to)] for t E T From (cf. Observe that fi(t) = 4D(t)j(to) and b(to) the definition of the norm of a matrix.. .2) follows. For system (VI1. Then.. > Am (1 < m < n) be all of the distinct numbers in A. .2. ( for (_) yi = n... . .3) Set A = {a Vj = {j : is a solution of (VII.2... )4i(t)I < exp[K(t .to)] < 1 (t)I < 1 (to)j exp[K(t .to)) and I < exp[K(t . that t > 1. (ii) and (vi) of Lemma VII13 imply that V. Set for + for v = 1. . Lemma VII22.2.. to 1 +K/ I t . . it holds that (ii) ym < Ym1 < . Q is a nontrivial solution of (VII. Proof It is easy to derive (i) and (ii) from the definition of V. It follows from (ii) of Lemma VII13 and definitions of V.2.2. .. and the definition of the numbers at.. which consists of y..... (iv) of Lemma VII13 implies that A is a nonempty subset of R which contains at most n numbers. Then. and A... Then. Set (VII.) of (VIL2..1)}. To prove (iii).4) 1i = dim Vj (j = 1. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS dZ 4i(t)1 is the unique solution of the initialvalue problem dt 1.m).... let y. am.2.. v=f+1.to)] for t E Z.2. y. .. is a vector space over C.. Z(to) _ 1 + KJ I4(t)Idt.
7m for j = in.1) according with their type numbers is given in the following result. FC.2. iin} be a fundamental set of n linearly independent solutions of system (VII. 2. if A follows that ctc ct4 A. (1) is also satisfied (cf.2. (3) A ctt > A) if the constants ct are not all zero.. For every j = 1.1). Conversely. in. (VII. Let {(1.. The structure of solutions of (VI1. is defined by (VII... ct Wn} (4) A n = max {A (dt) : 0} for every nontrwzal linear combi nation Proof. is rye. . } is a basis for V. the subset {¢t : A (Qt) < A. (2) for every j. ¢2r . Then. Then.. . Definition VII24.5)).5) hj _ for j=1. Hence...5)). is Fht = ryr = dims Vj. (cf.. LIAPOUNOFF'S TYPE NUMBERS OF A LINEAR SYSTEM 201 Observation VII23. A2.1. . for some ct. The numbers Al. Theorem VII25.2. Hence.2. 2. the total number of those t such that A (fit) < Aj is equal to dime V) = . and hence clot = tt . the total number of those 4t such that A (y5t) = A...2. is h. it of t=1 e Assume that (1) is satisfied.. (VII.2. it E V. the multiplicity of Liapounoff's type number A..1) having Liapounoff's type number A. Then. The maximum number of linearly independent solutions of (VII. the following four conditions are mutually equivalent: (1) for every j. Then. Am are called Liapounoff's type numbers of system (VIL2.. t=j assume that (2) is satisfied. (2) is also satisfied. Assume that (2) is satisfied.2. m.. the total number of those ¢t such that m A (3t) < A.1) at t = +oc..
(3) is satisfied. if a(Ot}=a. all constants cc must be zero. system (VIL2. vk }.. Pk be the distinct eigenvalues of A and M1.6) dy dt = A(t)y with a matrix A(t) whose entries are continuous and periodic of a positive period c. . . Am at t = +oo and their respective multiplicities h1. (ii) P(t) is invertible for all t E R. Liapounoff's type numbers )k1. Theorem VII27. assume that (4) is satisfied. Mk be their respective multiplicities. Then. . = R(pj) (j = 1. Let IL I . Hence. (2) is satisfied. 2. ... .. a(mt)=a1 follows from (iii) of Lemma VII13. h2. p2. A1.. Am are Liapounoff's type numbers of = Ay" at t = +oc and h1.. Am at t = +oo and their respective multiplicities h1. A2. . . Hence. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS for some c e...1) that satisfies condition (1) of Theorem VII25. . m2.. h2.1) has a normal fundamental set of n linearly independent solutions on the interval Z..' on the entire real line R. n t=1 Assume that (3) is satisfied. _ > Am mr for dy t=at j = 1.. Set v. m. Thus. On } of n linearly independent solutions of system (VIL2.1) is said to be normal if one of four conditions (1) . (4) Finally. Let Al > A2 > be the distinct real numbers in the set {v1i v2. we obtain the following theorem. . . ci4r 96 0. must be a linear combination of the subset {¢t : A ((rt) S Aj }.2. CWI = A). every solution d of (VII.... = Ay" with a constant matrix A. Set h.. Then.. h2.202 VII. n} is linearly independent. it is easy to construct a fundamental set of (VII. Lia Example VII28.. Thus. .. A2. 2. . A fundamental set (01. Then. . If the entries of the matrix A(t) are continuous and bounded on an interval Z = It : to < t < +oo}. The prom of this result is left to the reader as an exercise. . hm are determined in the following way: There exists an n x n matrix P(t) such that (i) the entries of P(t) are continuous and periodic of period w. hm are their respective multiplicities. Since V.2. .. For a system (VII.. 0 Definition VII26.(4) of Theorem VII25 is satisfied.. C V2 C V1. Example VII29. . . For a system pounoff's type numbers A1.. .1) with A (j) < A..02.2. . .. A2. k).. Since {¢j : t = 1.. A j=1 a(ft)=A.. C Vm1 c . . . Write a linear combination I:ct4t in the form m cj¢t. . hm are determined in the following way.. ..2..
6) and (VII.. matrix (cf.1.3. For the system =I J 2t the fundamental set {et ..2.6). Hence. then p. R(µ1) log[[p2I] (j = 1. Liapounoff's type numbers of system (VII. .2. mk.. µkl.. .7) can be determined by using Example VII28... x n) constant matrix.. .7) have the same Liapounoff's type numbers at t = +oo with the same respective multiplicities.2. e [b]. where y2 E C'.. same as those of the system t+0 dt It is known that any constant matrix A is similar to a blockdiagonal form diag[pllm. Calculation of Liapunoff's type numbers of solutions The main concern of this section is to show that Liapounoff's type numbers of a system J = B(t)y" at t = +oc and their respective multiplicities are exactly the = Ay" with a constant matrix A if iimoB(t) = A. 2. i. Therefore. (vi) of Lemma VII13 implies that systems (VII. and B2t(t) is an n. A. . Note that if pl... Example VHI210.] (j = 1.2.. . is an n. but the fundamental set I {[] [J} is not normal.. CALCULATION OF LIAPOUNOFF'S TYPE NUMBERS 203 (iii) the transformation y = P(t)z changes system (VII. log[p. + Rf2i .421.2. Those numbers are independent of the choice of branches of log[p. under the following assumption.2. . where µl. VII3. + Mk]. nilpotent m1... n) are the characteristic exponents of system (VII.7) with a constant matrix B... Pk are distinct eigenvalues of A whose respective multiplicities are is the mj x mj identity matrix. n).1) 10 = A2y1 + EBjt(t)Ut t=1 (j = 1. Consider a system of the form (VII. .3. x nt matrix whose entries are continuous on the interval Za = {t : 0 < t < +oo}.6)...2. + W.10)).. p2.6) to (VII. the eigenvalues of B.e. and M1 is an mj x m. eu [0] I is normal. if we choose log[p3] in a suitable way. 2. .2. p" are the multipliers of system (VII... . (IV.. ..].
(t)+EBjh(t)Th. ..m).. . is an n.2. + N.3. Proof. (iii) N.. (iv) t limp B.2) Aj = )1In.3. is the nJ x nl identity matrix. E. . Step 1. we obtain dzl dt + T..1) to (VII.. t) such that j (2) f. + I: T .. The following result is a basic blockdiagonalization theorem. .E. + m Tt V Aj 4' Bjj + BjhThj h* t AjTjt + Bjt + BjhTht zt. + E. (3) transformation (VII. there exist a nonnegative number and a linear transformation (VII3.. = z ' ..5) = A) % + E Tj tat t0r Bjt t + t=1#t i.t(t) = 0 (j.m). (t)zt tj (j = 1. Under Assumption 1. (i) For each j.(t)I (j=1. the derivative dt tt (t) exists and the entries of Tat and dj tt are continuous on the intervalI = (t : to < t < +oo) lim t+00 T..2.t = 1.204 VII.. < 1\2 < Al. the matrix A.. = E?NJ (j = 1.. has the form (VII3...2.tdz"t dt dTit5t t#? df (VII. Theorem VII31.+B.3.t(t) such that (1) for every pair (j.4) t Lzj A..m). Differentiating both sides of (VII.t(t) = O (j # e). and Nj is an nj x n.2..3) to y .3) changes system (VI1.3.3. hit .m)... where Al is a real number.2. nilpotent matrix. We prove this theorem in eight steps. x nj constant diagonal matrix whose entries on the main diagonal are all purely imaginary. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS Assumption 1..3). (ii) Am < )1m1 < ..m) with ni x nt matrices T. (j = 1. In.
7) T. [AJTJt + Bit + h#t BlhThe . CALCULATION OF LIAPOUNOFF'S TYPE NUMBERS 205 where j = 1. Step 2. m. where the initial points rat are to be specified and U. . = F Vol v=1 n+ 1 BjnTnv zv h#v e=1 Rewrite (VII.2.3.. and F t = B» + B)hTh) M) h#j Define the Tit by the following system of differential equations: (VII.6) to a system of nonlinear integral equations (VII. To do this.s. for j 0 e.6) dtt T h#t (. 2. Let us find a solution T of system (VII.6) that satisfies condition (2) of Theorem VII31.Tjt Btt(t) + E Bth(t)Tht h961 h#t Using conditions given in Assumption 1.T(s})ds.t(s.]x".s)A1]ds.7) in the form (VII.Tlt (At + Ft) dtt Ztf where j = 1. and to is sufficiently large.T(s))exp[(t .. { [A.6) and condition (2) of Theorem V1l31.3.7') Tit(t) = J exp 2(a1  rt t)(t .}+Tj dt [At+Ft]zt}=Q (j=1. Note that in r 2.4) on the interval I if the Tit satisfy (VII.3.. rewrite (V11.s)] 1 s.3..T) = B11(t) + E Bjh(t)Tht .3.m).3..]U.t(t. m..5) in the form { [At+Fj }+ET.t{ Lz' [At+Fe]zt} JJJJJJ t#i l 1 _ t#.s)A.3..l r e) Then.+F..3. . change (VII.3. This implies that we can derive (VII.3.. 2..t(t) = J exp[(t . .
.7'). the estimate t#j I Wjt(r.3. ] for r < 0. Also. s)dsl < .max l f (t. Step 3.].3.10) and (VII. s. Then. B.3.s. it follows that i1'. Similarly. O Step 4. where ITI = maxIT.11) I J+00 rt exp[a(t . T) I < 1C219(to) { 1 + ITI2) is obtained by choosing a positive number 1C2 p(t) = 0. .8) t and Wjt(r. T) fort < s < +oo if A j > at. s)' is bounded for to < t < s < +oo. Proof In fact. (s) lim Q(t) for t < s < +oo and all pairs (p. < at. and to < s < t.. estimates (VII. if I f (t. r < 0. and s > t. If A. Lemma VII32.11) follow respectively from rt Jto t exp[a(t . $)I : to < t < s < +oo} a for each fixed t E Z.3. j < t).s)] f (t.s)]ds = +oo 1 a . (VII.t(r. where Z = {t : to < t < +oo}.A. It can be shown `easily that there exist a positive number X and a nonnegative valued function p(t) such that I + Ir1m'*m`_2 exp [(A1 .s)]ds = a {1 . s)dsl <_ 1 sup { I f (t.3.9) ra t if Aj > At j` if A < A 1t. we obtain IW.3. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS where j (VII. s) be continuous in (t.T)I < Ko(l + Irlm'+mi2) exp 12(A. t+00 Hence.t[. choose the initial points rat in the following way (VII.a.) 71 IVit(s. ( +00 to On the righthand side of (VII.t(r.e.3. q). Let a be a positive number and let f (t.3(t) {1 + ITI2} for some positive number 1C2.At)r] exp[rEj j exp[rNj[UJt(s. .. sufficiently large. and for to < s < t if A_.At)r < X. if Aj > At.206 VII. T) exp[rEtj exp[rN.. and s > t.10) III t ft" exp[a(t .s)j f (t.T)I < /C2. then (VII. (ie j > t) (i. < at.. s)to s<t y J for each fixed t E T. > At. Let us estimate s. r > 0. .exp[a(t .s.T) = exp [(A. r < 0. if A. Let us prove the following lemma.to)]} < exp[a(t .T)I for some positive number 1Co. s) on the region Z x Z.
12).I 2 K2/3(t){1 + C2} < C on Z. 1) such that j # f uniformly on the interval T. CALCULATION OF LIAPOUNOFF'S TYPE NUMBERS 207 Step 5. s.s.12) I Tp.12) holds for p = 0.3... Step 7.TP1(s)I <_ WP C on Z.3.TQ_lae(t)}.Wj1(r. I TP .T) . Tp(s))ds. Then. choosing to so large that IA..TI if A. to<s<t K3$(t) {1 +ITI + ITI} IT . .s..(t) j < C on the interval I = ft: to < t < +oo} for some positive number C.A. In a manner similar to Step 4.Al Al Aj K21300){I +C2} if A. lTp+i. Step 6. Suppose that (VII. we obtain ITp+1.e(t) _ {TQae(t) . TP1t. T>0.t(t) .. Since where ITpI = P i ITpael if to is so large that K30(t){1 + 2C} < Tp. [(A. Suppose that (VU.3. Define successive approximations on the interval I as follows: TO ye(t) = 0.A. Hence.1(t)I S 2 aup ITP(s) . > A1. s > t. it can be shown easily that lim Tpe(t) _ Tje(t) exist for all (j..T)I if A<A1. . where j 54 a and p = 1..s.s)j 9.je(t)j < C on the interval I from (VII.1(t . 2.j.3. Then. The limit Tj1(t) satisfies integral equation (VII.3. we can derive the following estimates: IWj1(T. on Z. .)(t . < '\1 on the interval Z. 1.7).)t(t) = f [ exp i.. 2.iat(t) I <_ A'2. 1 K3$(to){1+IT{+ITI}ITT{ for some positive number K. . T < 0.Tp. Lemma VII32 and Step 4 imply that 2 K2i3(t){1 + C2} if A) > A..
In order to find Liapounoff's type numbers of system (VII. T(s))ds = 0. a exp ` 12 (a) .s)] t < if 2K1\1 211 .s.s)] Yt.s. .10)).T(s))ds = 0 if > X1.s)1 ir4jt(t . In this final step. we prove that the bounded solution Tjt of (VII.A) . Hence.208 VII.At)(t . jexp 1(A3 .a) J . T(s))dso C2} {(to)exP {(A. s.s. it is necessary to establish the following lemma.a)(t .T(s))ds + Jo t exp 12 (At r l .at)(t . write the righthand side of (VII.3.3.At)(t  )1 + J T(t) I < C on T. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS Step 8. Observe that fexp 2KO(t°) At .s.3.T(s))dsl .10)). < at.at)(t  A i3(a) {1 +C2} if T(t)j < C on I (cf. s. s.T(s))ds L(A fexp or . T(s) )ds for any a such that to < or < t. s. .a)(t .at)(a .s. s.jt(t .1j .s. (VII. Therefore.at)(t . letting a and t tend to +oo. f) such that ). to L rt This completes the proof of Theorem VII31.s)] Wjt(t . we obtain t+3o lim I exp 12 (A.3.s.At)(t .s.s. It easily follows from Steps 6 and 4 that 1 t lim o 1+ 00 exp [(A3 .7) satisfies condition (2) of Theorem VII31.T(s))dso < exp L2 (. 1:5 if JT(t)[ < C on I (cf.s.s. For (j.4).a)] I 1'. s. s.s)] 1 11 .'\t)(t .3.AE)(t . (VII. T(s))ds < {l + C2} exp 1(aI .7') in the following form: Jto exp 12 (A Q t s)] IV1t(t .s)J 14 t(t .\j j s)]ji)t(t .s)] bt%tt(t . Observe also that f exp L2(. .
and EN = NE. Theorem VII21). 0 Let us find Liapounoff's type numbers of system (VII.k ] (a shearing transformation). (iii) the entries of the n x n matrix B(t) are continuous on the interval I = {t : to < t < +oo}.2. Set A(e) = diag[1. the following theorem was proved. To prove this... Then. CALCULATION OF LIAPOUNOFF'S TYPE NUMBERS 209 Lemma VII33.13) dt = [N + C(t)) u. A(e)'NA(e) = [ ekJz. Lemma IV18). . Proof...m). (ii) In is the n x n identity matrix. Then. Theorem VII34..3.13) at t = +oo is zero. Thus. This is true even if to + +oo. Hence. = IA + B.4).. For a nilpotent matrix N. . then for any positive number e such that 0 < e < 1. e. Since lim t+00 C(t) = 0. This... . +00 Proof. r4. in turn. .. A system of the form dz dt = (AIn+E+N+B(t)Ja has only one Liapounoff's type number . as 0 < e < 1 and j < k. Assume without any loss of generality that N is in an uppertriangular form with zeros on the main diagonal (cf. .(t) + z. i. the two matrices N and eN are similar to each other for any nonzero number e. we conclude that Liapounoff's type numbers of system (VII.4) are at.3. use the Jordan canonical form of N. Then.. completes the proof of Theorem VII34. .13) at t = +oo. . (iv) t lim B(t) = 0.e. we obtain IA(e)1NA(e)I < e(N(. (µ( < sup(N + C(t)( (cf.3. dzj a... we conclude that 1µ1 < (N(..1.3. C(t) = e`EB(t)etE Let p be any Liapounoff's type number of (VII. .3. Set i = ea`e`EU. there exists an invertible matrix P(e) such that P(e)INP(e)I < Xe for some positive number IC independent of e. Using Lemma VII33... 0 Remark VII35. it can be tez shown that any Liapounoff's type number p of (VII.\ at t = +oo if (i) A is a real number.. N is an n x n constant nilpotent matrix. h*j (7 = 1. e"1].3. If N is a nilpotent matrix. and their respective multiplicities are n1. From the argument given above. E is an n x n constant diagonal matrix whose entries on the main diagonal are all purely imaginary. (VII.
Then.0 p>t t rP as t +oo. lim E(t) = 0. and c. for every nontrivial solution ¢(t) of the system t+oo dt p exists and p is the real part of an eigenvalue of the matrix A. to. and E(t2) < E(t1) if t1 < t2.14). dy log 10(t)I t Remark VII38. m) on the interval Zo. lim t. it holds that (a) rt ec(ta) f(s)ds < (I + ) E(to). Also. r> t t+oo Now. where f (t) satisfies (VII.. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS Theorem VII36. set E(t) = suph(r). 2.14) sup(1 +p. to f + ec(ts) f(s)ds < 1+ cE(t).+ao on the interval Io = {t : 0 < t < +oo} and lim B(t) = A. lim then.3.+oo f t e`(t`) f (s)ds = 0. k = 1. If an n x n matrix B(t) satisfies the conditions (i) the entries of B(t) are continuous on the interval To = {t : 0 < t < +oo}. it is sufficient to prove the following lemma. The conclusion of Theorem VII31 still holds even if condition (iv) of Assumption 1 of this section is replaced by IB)k(t)j < f (t) (j. Liapounof's type numbers of a system dy = B(t)y at t = +oo and their respective multiplicities are exactly the same as those of the system dt= Ay with a constant matrix A if the entries of the matrix B(t) are continuous t. For any positive numbers t.t)1 J f(s)ds . Applying Lemma VII14 to the solutions of the system the following corollary of Theorem VII36. To see this.. Set h(t) = sup ((1 + p . o . = B(t)y. = B(t)y'. t. (ii) lim B(t) = A exists. we obtain Corollary VII37. Lemma VII39. . let us assume that a positivevalued function f (t) satisfies condition (VII.t)1 ( f (s)ds) for a fixed positive number p>t \\ tP ft t.210 VII..3.
c .+ 6 E(to). Then. CALCULATION OF LIAPOUNOFF'S TYPE NUMBERS Proof of (a).a) < E(a)(1 + (r . Suppose that there exists a positive number 6 such that b(r) = and C1 + .o)).(s)ds J f (s)ds for t < r < T.3.+6 E(to). proves that T J t+o f (s)ds < C1 + c j E(t) for T > t.t) < E(t)(1 + (r . E(to) + c l! + 6 E(to)(r . w(r) . "(t) _ cO(t) . This is a contradiction.0(o) = c / 0 T th(s)ds + / T f (s)ds 0 for to < a < r. +430 Since lim E(t) = 0. and y(t) = (1 + 1 +6) E(t). the integral j+00 ft + e'('")f (s)ds exists and ec(te)f(s)ds < e \ 1+ 1 f E(t). 0(s) > Then. 0(r) . This is a contradiction. hence. E(t) + c (1+ 6) E(t)(r . Then. 211 Set p(t) = f e`(t°)f (s)ds. r Suppose that there exists a positive number 6 such that t ><i(r) = I ! + 6) E(t). Proof of (b). in turn.t)). (!± b E(to) for a < s < r. \ t r Set . t I. 1l'(s) > (!+o)E(t) for t < s < r.L(t) = f etf (s)ds for 0 T for a fixed T > 0. Then.?P(t) = cJ . 0'(t) = cb(t) + f (t) and.f (t) and. hence. This. 0(a) = C.
Precisely speaking. see [Harl). 0. Proof.s)ds. Liapounoff's type number of the secondorder differential equation dt2 + {1 + R(t)}r.1) is bounded as t +x. .212 VII.J t R(s)¢(s) sin(t . we consider a system of the form (VII. it is not quite enough when we look for a more specific information.9.2) d [A(t) + R(t))1i under the following assumptions. x Theorem VII41. Theorem VII36).1).4.1) in the form r+x SU jR(t)ldt < 1.to) + 0'(to) sin(t  to) . A diagonalization theorem Liapounoff's type number of a solution is useful information since it provides some idea about the behavior of the solution as t . However. Hukuhara and M. +oo. Every solution of differentud equation (VII. Write a solution 0(t) b(t) = q(to) cost . First. Nagumo [HNI[ proved the following theorem. if 1 +C0 + 0 jR(t)ldt < +oc. K + At J t JR(s)jds < At to for to < t < tt if jb(t)j < At for to < t < t1. Perron [Per3[ constructed a function R(t) satisfying the two conditions given above in such a way that solutions of (VII. M. Then. However. 0 In this section. Hence. to Choose a positive number K so that 4(to)j + kd'(to)j < K and choose another KQ positive number At so that M > 1 > K. 0 For the argument given above.4. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS The proof of (c) is left to the reader as an exercise. Looking for better information concerning equation (VII. fix to > 0 in such a way that a of (VII. we explain the behavior of solutions of a system of linear differential equations under a condition similar to the HukuharaNagumo condition. For example. this does not imply the boundedness of solutions as t + oc. VII4.1) are not bounded as t +oc.4.4. = 0 is 0 and its multiplicity is 2 if the function R(t) is continuous on the interval 0 < t < lim +oc and t+"0R(t) = 0 (cf. 14(t)I < M for to < t < +oc.
4. .. the following is the main assumption. p.4) Set J IR(t)Idt < +oo. 2. The main concern in this section is to prove the following theorem due to N.... Then.. the set of all positive integers not greater than n is the union of two disjoint subsets P. An (t)]. .4. . The functions Al (t). . Assumption 3. Levinson.k(t) = R(AJk(t)) (j. Concerning the functions A. Assume that the functions A1(t)....An(t) satisfy Assumption 3 if the real parts of pl. A2(t). An(t) are continuous on the interval Z o and that lim A.. . . (t) (j = 1.4.7) on the interval Z0.. . . there exists an n x n matrix Q(t) such that (1) the derivative dQ(t) exists and the entries of Q and Q are continuous on d the interval Z0.2. Remark VII42.6) y' = V.. Theorem VII43 ([Levil]). Under Assumptions 2 and 3. .4. where (i) kEP) I if t+oo 0 (ii) k E Pj2 if lim I Djk(r)dr = oo and Li Dik(r)dr < K for 0 < s < t for some positive number K. (2) t1 1 Q(t) (3) the transformation (VII...k = 1..3) (VII. (t) are continuous on the inter val 4. . R(t) is an n x n matrix whose entries are continuous on the interval Zo = {t : 0 < t < +00)1 and (VII. A DIAGONALIZATION THEOREM 213 Assumption 2..k(t) = al(t) )tk(t) and D. for each fixed j.4... 2. where I is the n x n identity matrix.4. `t f/a Dik(r)dr < K for s > t > 0 for some positive number K.. Prool We prove this theorem in six steps.4. n) exist. . the functions t +oo A1(t). (VII.. n). A.. Furthermore.5) A. are mutually distinct.. Assume that A(t) is an n x n diagonal matrix A(t) = diag(A1(t).2) to (VII. + Q(t)] E d" dt= A(t)i changes system (VII.t and P32.n). . The proof of this fact is left to the reader as an exercise. (t) = pj (j = 1. A2(t).
4.Q A(t) + R(t) (In + Qf . (VII. s)].k(t) and rik(t) be the entries on the jth row and the kth column of Q(t) and R(t). write the integral equation (VII.4. s)R(s) f 1 + Q(s)145(t.4.4.1s). F2(t.4. where C is an arbitrary constant matrix. .10') ggk(t) = J exp [ft Aik(r)drr)k(s) + F 11 ds.9) which satisfies Al condition (2) of Theorem VII43 on an interval I = {t large to.(r)d. + Q] .(t)1ds.4.8) dt _ (A(t) + R(t)1[I. ..7) that Q should satisfy the linear differential equation (VII.9) can be written in the form (VII..9) dQ = A(t)Q . Exercise IV13).9) exists and satisfies condition (1) of Theorem VII43 on 10..I. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS Step 1.2.9) and condition (2) of Theorem VII43.. Therefore.(s). s) be the unique solution of the initialvalue problem dY = A(t)Y. s). construct Q(t) by using equation (VII.4. Then. respectively. the proof of Theorem VII43 will be completed if we prove the existence of a solution of (V1I. it follows from (VII. Differentiating both sides of (VII. Letting q. . 44(t) is an n x n fundamental matrix of dt = [A(t) + R(t)]4>. Fn(t. A=1 . Then. The general solution Q(t) of (VII. and 'F(t) is an n x n fundamental matrix of = (cf. (t. dt Y(s) = In. s) = diag(Fl (t. derive a + (In + Qj dr = [A(t) + R(t)J (I + Q) z.9') Q(t) ='Nt)C41(t)1 + f0(t)O(s)1R(s)`I. : to < t < +oo} for a Step 2. . the general solution Q(t) of (VII.4.10) where 4?(t. (VII. F. Step 3. s) Q(t) = J 1 (t.10) in the form (VII.4.6). To do this.(In + Q] A(t) or. Thus.4.9) is equivalent to the following linear integral equation: (VII. Now. let 4?(t. equivalently.n).4. { JJJ (j = 1.214 VII. = exp [ I A.4..4. s)'1ds.
. . gPJk(t) = j t exp LJ t Ajk(r)dTJ l rk(S) + h=1 rja(S)gpI.jk(t)I < C on the interval 2..hk(s) ds. .4. Note that lexp if 0< s< t for t ( J(Ajk(r)dr} I t I = exp I J Djk(T)dr] < ll eK a k E Pj1 and t< s< +oo for k E Pj2. 2. The initial points rjk are chosen as follows: rjk = { +00 for some to > 0.. A DIAGONALIZATION THEOREM 215 where j.11) Igp_I... we obtain P Igp+Iuk(t) .5).4). Step 5.4. we obtain I gpuk(t) I < eK (1 + nC]J to r(s)ds on the interval I={t:to <t<+oc} if (VII..10').. 2. to if k E P1I. .4. where r(t) = max(j. Then. where p = 1.4. 2. and the limit satisfies integral equation (VII. from (VII.gpjk(t)l < (2} C on the interval I = {t : to < t < +oo} if to is chosen sufficiently large. Using assumption (VII.4. Then. n and the .1jk(t) are defined by (VII. it follows that Igpjk(t)I < C on the interval Z. Similarly. if k E Pj 2 Step 4. k = 1.11).5).11) holds for p = 1. if (VII....4.k) Irjk(t)I. plim gpUk(t) = gjk(t) exists uniformly on the interval Z. where j. 2.4. k = 1. n and the Djk(t) are defined by (VII.. Define successive approximations by gojk(t) = 0.4. choose to so large that e'11 + nCJ r+oo Jto r(s)ds < C. .. Hence. .
for any positive number e.k(t)( < .Jk(r)dr] [rJk(s) + h=1 r)h(s)hk(s)l1 ds JI +oo < exp J f D)k(r)dr] eK (1 + nCj ft) l o if (q)k(t)(< C on Z. then Tjk = +oo. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS Step 6. lim q)k(t) 1im f exp f f LJ t AJk(T)drl [rik(s)+rih(s)chk(s)](is = 0. there exists e for t > t(e). Therfore. h=1 In the case when k E PJ1. such that Iq. we obtain L lim f t D)k(r)dT t 1 = oo if k E P) r(s)ds < e exp f DJk(r)dr] eK [1 + nC] o f+ to for large t.k(T)dr] {r)k(S) + s n h1 for any a such that to <l1a < t. Observe that exp [ft ak(T)dr] fIrk(s)+ = eXp Lf t Dk(r)dTJ ( t rJh(s)hk(s) 1 1 f t dsl rJh(S)ghk(S)ds exP [fC. Observe also that r(s)ds f I t exp I f AJk(T)dr] [r)k(s) + h=t rJh(s)hk(s) ds < eK(1 + tnC} f +co r(s)ds fix a positive number a so large 0 if lq)k(t)E < C on I. This complete the proof of Theorem IV43. If k E Pj2.216 VII. Hence. note that q)k(t) = f exp and [f>tik(r)dr] [r)k(s)+r)h(s)hk(s)} ds h=1 ft v IrJ// exp IJ \Jk(r)dr] L s rik(S) + l1 r)h(S)hk(S) A=1 ll =f + o [ft exp . For a given positive number ft that eK (1 + nCj r(s)ds < Since t»+0 for a fixed a.\)k(T)dr] [r)k(S) +> rJh(S)hk(s)J ds h=1 \. Let us prove that the bounded solution qjk(t) satisfies condition (2) of Theorem VII43.
Instead of (VII.4.4. Theorem VII43 has been shown to be the basis for many results concerning asymptotic integration (cf.4). The n x n matrix W(t. dt Y(s) = In + Q(s). Remark VII46. Remark VII47.s)] i4 0 for large t. in turn.12) d 22 + p(t)rt = 0.13) dy dt = A(t)y The two eigenvalues and corresponding eigenvectors of the matrix A(t) are '\t(t) = i p(t)112. If we set 1= do dt . the matrix WY(t. A DIAGONALIZATION THEOREM 217 Remark VII44.12) becomes the system (VII.4. Example VII48. This. s) in Yo x Yo (cf.4. s) is the diagonal matrix defined in Step 2 of the proof of Theorem VII43 (cf.s) is invertible for all (t. Using the results of globally analytic simplifications of matrix functions in [GH[. s) = [In + Q(t)j$(t. 911 _ [i p(t)1/2] A2(t) = t p(t)'/ pct) _ [i pt)1/2J Then. E2] and [HarLl. s) is the unique solution of the initialvalue problem dY = [A(t) + R(t)]Y. Gingold. [HX1] and [HX2] assume only the integrability at t = oc for above (or below) the diagonal entries of R(t) and obtain the results similar to Theorem VII43. H.4. Remark VII45.4. where di(t. Since det[%P(t. Exercises IV8). et al.  ip'(t) 2p(t)'/2 [0 1 01 1 ' POW1 = i 2p(t) '/2 [ip(t)'/2 jP(t)1/2 11 1 . . 1 Set Po(t) _ [i P(t)'/2 dPo(t) dt ip(t)'/2J. The following example illustrates applications of Theorem VII43. A(t) = 1l 0J P(t) 0 equation (VII. HarL3]). HarL2. Let us look at a secondorder linear differential equation (VII. [El. [GHS] shows some results similar to Theorem VII43 with Q(t) analytic on the entire interval Io under suitable conditions. (VII. implies that the matrix In + Q(t) is invertible for all t in Io.10)). More results were obtained in [HX3] applying a result of [Si9j.
49t) ] [ 11 11 Suppose that (1) a function p(t) is continuous on the interval Zo = {t : 0 < t < +oo}. and E is a constant 2 x 2 unknown matrix.13) to (VII. E = [0 11 1 0J . (2).4. IHN2]). If p(t) is not absolutely integrable. Theorem VII43 applies to system (VII. Note that condition (3) implies the boundedness of p(t) on the interval 1 .12) and its derivative are bounded on the interval Zo. Ao = Al = Anticipating that (i) q(t)I and Ip'(t)I are of the same size. every solution of equation (IV. (ii) Jq'(t) I and Ip"(t)I are of the same size. (2) there exists a positive number c such that p(t) c > 0 on the interval Zo.4. (3) the derivative p'(t) of p(t) is absolutely integrable on Io.4. choose q(t) and E so that two offdiagonal entries of the matrix on the righthand side of (VII. choosing i p'(t) q(t) = 8 p(t)312 .16) dt = [Iz + q(t)E]1 { [ip(t)h12A0 where .14) and yields the following theorem (cf.14) to (VII.4.4. Then.4. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS Po(t)'A(t)Po(t) _ P(to [i 1/2 _i pt)ti21 0 The transformation y = Po (t) i changes system (VII. where I2 is the 2 x 2 identity matrix.15) changes system (VI I. Using the computations given above. If a function p(t) satisfies the conditions (1).218 and VII. set (VII.15) z = [I2 + q(t)E]t. Theorem VII49.4p(t) A11 [12 + q(t)E] J dtt) E} u.16) become as small as Ip'(t)I2 + [p"(t)I. we can write this system in the form .4. The proof of this theorem is left to the reader as an exercise.4. the transformation (VII.14) P0(t)1 {A(t)Po(t)  dP t)j z. In fact. q(t) is a unknown complexvalued function.4. Then.ii = {t P(t) 1/ 2 [0 01] . and (3) given above.
p'. 0 (4) limop'(t) = 0. (2) there exists a positive number c such that p(t) > c > 0 on the interval ID.q(t) dtt)12} I 1 r q(t) 2 I lp(t)1/2Ao. Applying Theorem VII43 to system (VII.p')q(t)dq(t)12 4p(t) dt .p. Theorem VII410. every solution of equation (VII. The proof of this theorem is left to the reader. SYSTEMS WITH ALMOST CONSTANT COEFFICIENTS 219 we obtain (12 + q(t)E]' and = 1 + I9(t)2 (12  q(t)E( (12 + 1 q(t)E]1 { [1(t)1/2 Ao .16). .p") .(t)12+E(p. Then. where E2 = 12. Systems with asymptotically constant coefficients In this section.12) is bounded on the interval 7o. VII5.12) with p(t) = log(2 + t). Theorem VII410 applies to equation (VII.4.1) d9 where A is a constant n x n matrix and V(t) is an n x n matrix whose entries and their derivatives are continuous in t on the interval Zo = It : 0 < t < +oo} under the following assumption. Condition (3) of Theorem VII410 does not imply the boundedness of p(t) on the interval Io.S.p'. For example. EAo = AoE = a (P (t) 12 0 11 Il 0 and E(p. we can prove the following theorem. we apply Theorem VII43 to a system of the form (VII5.p'(t) 8p(t) dt) E} 1 + q(t) 2 4p(t) Al +g(t}AoE+E(p. (3) +00 (Ip(t)12 + Ip'(t)I } dt < +oo.4.4p(t) A11 (12 + q(t)E1 jip(t)1/2A0 _ p'(t) EAo . Suppose that (1) a function p(t) is continuous on the interval Zo = {t : 0 < t < +oo}.4. p") is the sum of a finite number of terms of the form p(t)h/2 + $ p"(t) with some rational numbers or and /3 and some positive integers h.p.
. and Also. \j (t)) # 0 (j = 1....... ..n). .. In this way. an(t) are mutually distinct on the interval F(t. JA(t)dtl w < +oo (j = 1.2. we obtain the following lemma..11(t)In)(A+V(t)...\1(t))(A 1\2(t)) . . n) OF 8A on I...n).(t)) Hence.2.. An. Under Assumption 4.. .(t) = µj (j = 1. .. the derivatives of the eigenvalues of the matrix A + V (t) are absolutely integrable over the interval I = {t : to < t < +oo}.A . . . 8F (t. + Cc Let A1(t). p.. \. µ2i .V(t)]..220 VII.2.(A+V(t)an(t)IJ) = 0 . . An eigenvector p. Observe that the characteristic polynomial of A + V(t) can be factored as F(t. i.5...2) (A+V(t). The matrix A has n mutually distinct eigenvalues p 1.n).. these are continuous on the interval I. 1\2 (t) ... aF is Lemma VII51. ).(t)) A (t) = 0 (j =1.. Furthermore.\. (t)) + as (t. u2. we obtain (VII.\2(t)In). F(t. af(t)) linear homogeneous in the entries of the matrix V'(t).\2(t). (t )) 8a (t. \j(t)) = 0 on II for 1 = 1.. are mutually distinct.X (t) A. e. and the matrix V(t) satisfies the conditions lim V(t) = 0 t +00 and o + [V'(t)[dt < +oo. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS Assumption 4. it can be assumed that lim t+. (A .. an(t) be the eigenvalues of the matrix A+V(t). j (t.2. Observe that . (t) of the matrix A + V(t) associated with the eigenvalue as(t) can be constructed in the following manner. Then... by virtue of Theorem IV15 (CayleyHamilton). \) = (A . Then. . Set Choose to > 0 so that A) (t). (t. A.. since III. A) = det[AII .n.2. . I={t:to<t<+oo}.
( t ) [[ .. such that lim 73 (t) = 4j (j = t+oo 1. . ... (j = 1. respectively.. lim t+oo j5. . Observe that the entries of the vectors pF. A(t) = diag[A1(t)... .... n.. 2. respectively. n) are eigenvectors of the matrix A associated with the eigenvalues (4) the derivatives of the eigenvalues A... 4n [ . (3) the matrix A + V(t) has n eigenvectors p1(t). 2.. Furthermore..(t) (j = 1. n).. if t > to.2.. ..Ah(t)In) h#J h#) H(A+V(t)Ah(t)In).2.. h 0j t+oo lim fl(A + V(t) . .Ah(t)In) = A.(t) of p3(t) 11 0 and [A+V(t)]p. . n) with respect to t are absolutely integrable on the interval Z. 2. +00 Ip"j'(t)I dt < +oc Jta (j = 1. we obtain h#) Hence. J1 (A+V(t) . .phln) 36 h#l h#j 0.. M = diag[pl.. Lemma VII52.. we proved the following lemma.2. SYSTEMS WITH ALMOST CONSTANT COEFFICIENTS 221 on Zo..(t) [I(A + V(t) ..2). Set p) (j = 1.. n (t) on the interval I = It : to < t < +oo}. .Ah(t)In) = H(A .Ah(t)In) # 0. An (t)[. (t) (j = 1....An(t) with constant coefficients. (2) the eigenvalues Al(t). Q = [ 91 92 ..n)..7 = 1.. (j = 1. n) and the derivatives o f the eigenvectors p ' . ..(t) (j = 1. . . Po(t) _ [ 91 (t) #2 (t) . Furthermore.. p2..n)...An(t). pn] . Under Assumption 4..(t) = \j(t)jYj(t) on the interval I = It : to < t < +oo} if to > 0 is sufficiently large.. (t) = 4... Thus. n) are eigenvectors of the matrix A associated with the eigenvalues p.#n(t) associated with the eigenvalues \I(t) ..2. .2..n)... ... An(t) are continuously differentiable on I and lim Aj(t) = p. it follows that [A + V(t)] 1(A+ V(t) . 2...5.. for j = 1. n) are polynomials in the entries of V(t) and A1(t).2. .. . From (VII. them exists a nonnegative number to such that (1) the matrix A + V (t) has n mutually distinct eigenvalues A1(t). .5. ... Hence.. . . (.. choosing a suitable column vector j. A2(t).
Theorem V1153.1) is replaced by d = (A+V(t)+R(t)]y.4) is changed to (VII..3. 1 r: (a) As t . Observation VII55. To do this. m). Let us look into the case when the matrix A has multiple eigenvalues. t+oo lim A(t) = M.5..4) by transformation (VII.. R3(t) = e'E.2.e.3. By virtue of Theorem VII31. Under Assumption 4. where H(t) is an n x n matrix whose entries are continuously differentiable on the interval I andt+00H(t) = O. we obtain the following theorem. .3.. 2.. (b) we can prove a result similar to Theorem VII53 even if system (VII.) = 1.m) by the transformation (.5.3).7 = {t : to < t < +oo}. a fundamental matrix solution of (VII. Po(t)'[A + V(t)]Po(t) = A(t). consider system (VII. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS Then.... .1) is changed to system (VII... where the matrix A + V (t) satisfies all the requirements of Assumption 4 and the entries of the matrix R(t) are absolutely integrable for t > 0.Po(t)'d t)] Y.. lim Remark VII54.1) will be given by 1(t) = P°(t)[In + H(t)]exp I / ( A(s)ds]. system (VII. lim Po(t) = Q. 1) to dt = POW1 [[A + V(t)]P0(t)  dl t)1 i= [A(t) . we look into the following two cases. n (t) of the matrix A + V (t) satisfy all requirements given in Assumption 3 (cf. Applying Theorem VII43 to this system.. f +oo I Po(t)_ 1 dP°(t) I to dt dt < +oo. § VII4) on the interval . . the matrix exp [ .3. )]u3 Therefore. (VII. . Q'AQ = M. Observe that the transformation y"= P°(t)z changes system (V11.5. m). i. + E. Furthermore. +oo. (j=1. B33(t)+E B3h(t)Ttj(t) h #) etE.3) where dt [ N 3 + R 3 (t)) u 3 (j = 1.5.. z3 = explt(A3I.. if the eigenvalues A1(t).1) under Assumption 1 given in §VII3.3.222 VII. 2.J A(s)ds] 4i(t) approaches the matrix Q.. f+00 0 JR(t)jdt < +oo.
we can construct a fundamental matrix solution 45(t) of the system (VII. As a matter of fact. Exercise V4 shows that this case is different from Case VII551. then %P(t) is a fundamental matrix solution of (VII.5.+00 = (N + R(t))y' such that lim e' N4(t) = I.s)h. Note that 0 5 k 5 r .5) to = etNR(t)e1NU.5. Since leftNI < Kjtjr1 for some positive number K.1 and 0 5 h < r  1. N'lE = 0 if k = r.6) 10 tr1IR(t)jdt < +oo.7) t+00 lira t(kt) (41(t)  etN) c" = 0'. Therefore. if an n x n matrix T(t) satisfies condition (VII5. where I is the n x n identity matrix. If N is an n x n nilpotent matrix such that N' = 0 and R(t) is an n x n matrix whose entries are continuous on the interval 0 < t < +oo and satisfy the condition (VII. .. r . In this way. In fact.5.5) dy dt t . etNt: Also. note that lim t+oo tktkl Step 2.1. where k < r. = 0 if a(t)e = 0 and Nkcc = 0. Observe that ske(t_e)N = r1 Sk(t . To prove the existence of such a matrix W(t).5). we obtain c" = 0.5) such that (VII.5. Step 1. we showed that if the matrix %P(t) satisfies the differential equation (N + R(t))* and condition (VII. .7). First of all. SYSTEMS WITH ALMOST CONSTANT COEFFICIENTS 223 Case VII551. whenever Nkc_ = 0. (VII.5.. we estimate integrals of ske(t")NR(s) with respect to s. we can construct a fundamental matrix solution 'P(t) of system (VII. . In fact. Nr2c' = 0.1.5. .7).S)hNh h1 h=0 Let us look at the quantity sk(t . noice first that lim e tr if f! NPe = 0 for p = F + 1. We prove this result in three steps. then We N'5 c' = 0 if 41(t)c = 0 for large t.5. the dii transformation y" = etNii changes system (VII. where 0 < k < r .4) + jt2(T_1)IR(t)Idt < +oo. Let N be an n x n nilpotent matrix such that Nr = 0 and let R(t) be an n x n matrix whose entries are continuous on the interval 0 < t < +oo and satisfy the condition +00 j eR(r)erNX(r)dT can be solved easily. Hence.5.5. the integral equation X(t) = In Case VII552. in this case. Thus.
we obtain 0 < v < k. k + p < r . sk+pthp = SrI r1u=k+p. v p=h p. q 1)..(r1) = k .u+v=hp. Also. Sk+pthp = Sr1(tlµt". define = . . .1. v rt f'.. In this case. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS Case 1. look at sk(t .224 VII. note that hp<(r1)+(kr)=k1. k + h > r. Case 2. In this case.(r1) = k . Since where rl+p=k+p. k + p > r. From the definition given above.. Now.(r1) = (k+h) . lim I / ske(`'")NR(s)ds = O (k = 0.p = (hp) + (k+p) .8)h = D1)p p_Q (hp) Sk+pthp Subcase 2(i). Now.P Nh R(s)d$. 3 k+Pt h. In this case. t j Sk+pthPNhR(S)dS = J+ao p) sk+PthPNhR(s)ds. k + h < r .(r1h). v = h . since sk(t . in this case. Since we obtain 0 < v < k. r t+00 F.(r1) = (k+h) .(rih). Setting r U(t) = f t ske(`e)NR(s)ds.1.s)h = sk+h C t _ 11.p + p = (hp) + (k+p) . in this case.p .PNhR{s)d s = h k ) r t o  kh $ Pt k+h. where t > to. define  s Sk(th' Jt 8)h N°R(s)ds = / t 8k(th! S)h NhR(s)ds. In this case. Subcase 2(ii). it follows that t Ske(ts)NR(S)d8 = etN / t Ske sNR(s)ds. where v = h . define h Irt \s 1 t".
Case VII552 was given as Exercise 35 in [CL. AN APPLICATION OF THE FLOQUET THEOREM we obtain 225 dU(t) = NU(t) + tkR(t). . using the Floquet theorem (cf. In this section.6. l01 t. the construction of W(t) is completed. setting tkUk(t) k! k=0 we obtain 1(t) = eIN + This implies that It can be easily shown that t+oo lim r1 t k e(t. do(t) dt _ (N + R(t))W(t).1) by the integral equations Uk(t) = Nk + Then. An application of the Floquet theorem The method discussed in §VII5 does not apply directly to the scalar differential equation dt2 + {1 + h(t)sin(at)} ri = 0 when h(t) is a small function such as t112. Thus. . dt Step 3. p. VII6. Let us construct n x n matrices Uk (t) (k = 0.. consider a system of the form djj (VII61) = A(t. g sin(tt/2) since the log t g derivative of h(t) sin(at) is not absolutely integrable over the interval 0 < t < +oo. 1. n k! Hence.)NR(s)r s Y' r k=o n k! ! ds. r . . 2. t++00 ft 1 ske(t")NR(s)Ui(s)ds lira Uk(t) = Nk tkUk(t) k! Observe that tkNk k! rt e(t_s)NR(s)skUk(s)ds. we eliminate periodic parts of coefficients so that Theorem VII43 applies. etNc' L(t)c = tk  t+00 Urn Nk" tic if Nk+16= 0.. 1061. and i. Keeping this scheme in mind.h(t))y under the following assumption. Theorem IV41).
of a C"t valued function h(t) are continuous on the interval T(to) = {t lim h(t) = 6... (ii) P(t + w. In Case 1. ) are continuous in (t. J + Ih'(t)I2dt < +oo For example.4) P(t.. Case 1. e) . The function h(t) is supposed to be continuously differentiable on T(to) and satisfy the condition +00 (VII. w (vi) a P(t. . The function h(t) is supposed to be twice continuously differentiable on T(to) and satisfy the condition t +00 +00 +00 lim (VII.. whereas h(t) = sin(f) f Observation in Case 1. (iv) the entries of H(t) are analytic in FE A(f). ej are continuous in (t. . fj is invertible for every (t.6. e) E R x A(r) and analytic in f E A(r) for each fixed t E LR. Lemma VII62. I. a exists for (t. . ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS Assumption VII61. F) E R x ©(f). e) are periodic in t of a positive period w. the function h(t) _ satisfies (VII.. J0 Ih"(t)Idt < +oo. them exist n x n matrices P(t. A(r) = IF: Ie < r}.226 VII. t)P(t.2) J Ih(t)Idt = +oo and f + Ih'(t)Idt < +oo.P(t. t) E R x A(f). eM = A(t. e)H(e) for (t.6. Case 2.3). where f is a suitable positive number. If a matrix A(x. (1) The entries of an n x n matrix A(t. 2ai (v) any two distinct eigenvalues of H(0) do not differ by integral multiples of .2). : to < t < +oo} for some nonnegative number to and t+00 Let us consider the following two cases. we use the following lemma. / 0 0 = +oo.6. (2) The entries of A(t.3) L00I. e) E R x A(f) and analytic in FE A(f) for each fixed t E R. e) E R x L(f).6.e) and H(t") such that (i) the entries of P(t.. (3) The entrees hl. where FE C'" unth the entries et. e) E R x L(f) and given by (VII.6. I satisfies (VI1. t) for (t. h.(t)ldt r= +00.. ej satisfies conditions (1) and (2) of Assumption VII61. (iii) P(t. and r is a positive number. . ej = P(t.
e)y by solving the initialvalue problem dX = A(t. h(t))] } u" (t. 1<j<m Proof In fact.6.') = 4i(t.1) by the transformation (VII65) W = P(t.4) follows.2). Define H(e) by H(ej = P(t.h(t)) }u.6. h(t))  dt [P(t. AN APPLICATION OF THE FLOQUET THEOREM 227 Proof In order to prove this lemma.5) changes system (VII. The most delicate part of this proof is the definition of H(). Then. dil iiT = P(t.6.6) follows from (VII. bog((w Changing system (VI I. h(t))' 1<j<m j h(t)) dt < +oo under assumption (VII6. and tries of 4!(w.6). the argument given in §VII5 applies to system (VII. Transformation (VII. if eigenvalues dt of H(6) satisfy suitable conditions.6.1) to (VII. ej are analytic in A(r). . h(t))P(t.7).6. Also. Details are left for the reader as an exercise (cf.7) 1 < <m Since H(e) is given by (VII.6. The endt . (VII.8) fro P(t. X (O) = I. where In is the n x n identity matrix. Theorem VII63. Observe that r+oo (IV.6) di =H(i(t))  P(t. Therefore. equation (VII.6. i(t))1( A(t. i(t))u we obtain the following theorem. [Sill).6. h(t))1 {A(t(t))P(t&(t)) = P(t.6. e) X. observe that H(i(t)) does not contain any periodic quantities and dH(i(t)) is absolutely integrable.h(t))1 hj(t)aP(t. construct a fundamental matrix solution $(t.6.6.4). cl exp(tH(E)]. e) of the differential equation d = A(t.6. K (t)) (VII.
E. E1. 27n IE + lµI < r}.. (t. µ) E IR x D(r).u)M Given p = (pi. where I..Pi(t. p) E R x D(r) and is given by 19 (VII.E. F. +B1(t.e. u') E R x D(r) and analytic in (E. E)`1 I<j<m u 8e 8P (t. E. . E.. (i:) P.6.. E.µ)) (In + Pi(t.11) Pi(t. Set Bo (f) = (VII69) B1(t. where r is a suitable positive number. $pl?1 y Ip1?1 . iZ) _ P(t.Ji) Proof of Lemma VII64. 6) = 0 for E E O(r).E. it) for (t. where µ E C' and the entries of µ are u1.. differential equation (VII. E.p(t.p.i) ..12) a P1(t. u') _ ipl>1 gP1. (v) at P. F. the following lemma is used. E. Set Pi (t. are nonnegative integers. Then. i. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS Observation in Case 2.Ej) = Bo(E)P1(t. {'t) and HI (E. (t.e. E). e.). (iv) the entries of H1 (E.6) can be written in the form (VII. µm.10) dt = {Bo(h(t)) + B. µ') exists for (t. E. i) E R x 0(r). Set D(r) = In Case 2. E.E. µ) such that (:) the entrees of P1 (t. Notice that the entries of the matrix B. )i) E D(r) for each fixed t E Ii£.6. tt+) E 1 x D{r (iii) P1(t. respectively. e. (t.#)) { Bo(E) + Hi (E. (t.. µ) } for (t. u') are analytic in (E. 6) = 0. . e. There exist n x n matrices P. . (t + w. Et) E D(r) and H1 (E. B. Furthermore. Equation (V1I.E.11) can be simplified as (VII.E. Lemma VII64.)!) = P.228 VII. µ) are periodic in t of period tv and that B1 (t..6.u) ={Bo(e) + B1(t.6. Remark VII65. where the p.rA)} Hl(E.6. denote EIpjI =1 and 4' um by Ipl and 91. E. 6) = O for (t. is the n x it identity matrix. (t. any two distinct eigenvalues of Bo (6) do not differ by integral multiples of . P2.. ui) are continuous in (t. )Bo(Ej + {B1(t.N)P:(t. e.ls)} + P1 (t.
Pi. hh'(t)).e) = E P1+p2=p.17) it = {In + Pi (t.13) 8 p = B0(E)P1. 0 In the same way as the proof of Theorem VII63. h(t).6.p(t.12) is equivalent to (VII. i.6.6.C(i) exp[wBo(E)1 (VII.6.p(t.10) to dv = f H(i(t)) + H1(h(t).'1 I hj(t) aP1(t. e) exp[sBo(t1ds.E') = Hence.6.H1.6.p2 .e) is periodic in t of period w.18) . h'(t)) dt l (VII.p(s.6.(e)) exP[sBo(E))ds} exp[t B0(Z)1. the following theorem can be proven. the matrix P1.6.14) Q1.p(t.p(e) are n x n matrices to be determined by the condition that P1.exp[wBo(E)1 exp[sBo(e)1Ql. ) . E)  where (VII. h(t).15) x 1 Q1.ptP1.16) .6. equation (VII.$. Then.exp[wBo(E)1 J0 exp[sBo(e)1H1. 0p1IJ{r21>_1) (B1.6.ps) + B1. 0 It is not difficult to see that condition (VII. Pi.[In + P1(t.16) determines the matrices C(ep) and Hl.p(i) exp[sBo(i)1ds _ ..e. Theorem VII66.p(ej.h(t). E) is determined by (VII.P1. + h (t) a_ (t. exp[wBoQ)1C(E) . The convergence of power series P1 and H1 can be shown by using suitable majorant series. The transformation (VII. h'(t))J j v . {c( + 1 exp[sBo(0 (VII. h'(t}) l .p(t.6. AN APPLICATION OF THE FLOQUET THEOREM 229 Then.15). where C(e) and H1.p.h'(t)))v" changes differential equation (VII.pBo(E) + Q1.p(t. h{t).p .p2Hl.p(s.
h'(t))J dt < +oo. (4) the solution of the initialvalue problem y"y'6y = eat. See Example IV118. h'(t)) does not contain any periodic terms.h'(t))j_1 8Ej (VII. (t. It is clear that the derivative of H(h(t)) is not necessarily absolutely integrable over to < t < +oo.exp[5t]sin67rt]). µ) and H1(E. we obtain f0+00 In + P1(t. Therefore. in order to apply the argument of MI5. the matrix H(h(t)) must be examined more closely in each application.6. Observe also that the matrix H(h(t))+H1(h(t).h(t). µ) are those two matrices given in Lemma VII64. EXERCISES VII VIIl. Find Liapunoff's type number of det 4i(x) at x = +oo. E. Find the Liapounoff's type number of each of the following four functions f (t) at t = +00: (1) exp [t2sin (1L1) ]' (2) exp Lfo sint(dt](3) inin(exp[3t]. Furthermore. where 252 498 4134 698 A= 234 15 465 30 3885 252 656 42 10 Hint. H(6) + H1(6.6. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS where P1(t. 20 166 25 VII3.19) + hJ (t) a. Observe that under assumption (VII.3). h(t). y'(0) = 4. Let 4i(x) be a fundamental matrix solution of the system log(l+x) = x3 e= expx2 sin x 1+ 1+ x cosx exp(e') arctanx on the interval 0 < x < +oo.230 VII. Find a normal fundamental set of four linearly independent solutions of the system dy = Ay" on the interval 0 < t < +oo. y(O) = 1. Details are left to the reader for further observation. 6) = H(0). . VII2.
Note that lim e' PO A(re'B) _ A(oo).+oo number for some real number 6. Show that dY there exists a solution g(x) of this system such that lim r. See [GH].+oo P VII6. the given system becomes d# e+'0 = A(re's)y'. calculate lim p log I (t) for a nontrivial solution ¢(t) of the differential equation t = A(t)9 at t = +oo. The eigenvalues ei>' e' P Corollary VII37. and lim A(x) is not nilpotent. (b) A(t) = t 1 + 2t 0 11 L i 0 0 1+t2 Hint. as t +oo.EXERCISES VII 231 VII4. oo) for each matrix such that U' (t)A(t)U(t) is diagonal or uppertriangular. and h=o am1) are complex . 1 t 0 r (a) A(t) = Ot 0J. ln(l y(Teie)j) rp is a positive Hint. Let = xP'A(x)i be a system of linear differential equations such that y E C" is an unknown quantity. Show that if a function p(t) is continuous on the interval 0 < t < +oo and lim tPp(t) = I for some positive integer p. e) _ . find a unitary matrix U(t) analytic on (oo. VII7. JJ = P(t)114(+1 +o(1))exp [f iJ t to d4] .k(t) = 77. the entries of an n x n matrix A(x) are convergent power series in x1.Tn+l + Q(x). apply p ' where the . Hint. p is a positive integer. P r. VII5. P A(oo) are ei_)Iof a. where in is a positive integer.+oo. Then. Set x = re!e for a fixed 0 and t = rp. Assuming that the entries of an n x n matrix A(t) are convergent power series in t1. are the eigenvalues of A(oo). where to is a sufficiently large positive number and o(1) denotes a quantity which tends to zero as t . (t) P(t)114(1 +o(1))exp [±ij t )ds(. For each of two matrices A(t) given below. Now. the differential equation d2 +p(t)y = t +oo 0 has two linearly independent solutions rlf(t) such that t 77. Set t = e". Let Q(x) = x' + E ahxh and P(x. Hint. Use an argument similar to Example VII48. x is an independent variable. m1 VII8.
ao.. y = 17121 has two solutions y.. f)'/4. let A(t) be an n x n matrix such that the entries are continuous in t on Zo and that sup(1 + p . + IamI I < Ro}. f) (j = 1.. Also.. let Ro.. (x.(t) are complexvalued and continuous in t on T..0 1 as t + +oo. . amI) for IEI < ao.po.): rEC..Jro P(t. Chapter 3]. +oo on the positive real line uniformly with respect to (f. . + lam1l < Ro. +T(t))y d dt = diag(A1(t) + bl (t). (t) be n continuous functions of t on the interval Zo = {tER:0<t<+oo}such that R. [Nful and [Si13. 2) possess the asymptotic representations exp L fro P(t. i E C... laol + .. ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS parameters. Hint. (1) the derivative in t on the interval 2 = It : to < t < +oo}. Show that there exist a nonnegative number to and an n x n matrix T(t) such that (t) exists and the entries of T(x) and ....E)1/4 111 +o(1)JP(x. Iargfl<Po. ao. (b) y'...b.eja1(t)aJ+1(t))>1(j=1... f) (j = 1.. (2) t limo T(t) = 0.E) 1/2dt . n functions b1(t). and lim b... f) = {(0) 11..n1) on Also.. Let A1(t). n)....f)y. 0<Ifl<ao.f)1/4 11 +o(1)] P(x. (I + T(x)) z changes the system (3) transformation (x) are continuous E dt = to (diag[A1(t). . . and ao be arbitrary but fixed positive numbers.. ..... t +00 . am_ 1) in the domain D={(x. po. An(t) + where y E C. Set A(x.+oc on the positive real line in the xplane. Suppose that 0 < po < 2.f)1/2dtl J L it .f) f l + o(1)]P(x. (x. 2) satisfying the following conditions: (a) the entries of y.. . A2(t) + b2(t). (x. Use a method similar to that for Exercise V1I7. .ao.am_. I arg EI < po.. and Iaol + . f) are holomorphic with respect to (x.f.o(1)]P(x.t) p>t 1 1 p I A(s) l ds .232 VII. respectively as x .A2(t). Show that the system d:V = A(x.ao) and o(1) denotes a quantity which tends to 0 as x .(t) = 0 (j = 1.. See. f. l VII9.. also. where xo is a positive number depending on (Ra. exp .
For the case when f tjR(t)j = +oo.sint) = 0. c+OQ dt2 = 7r.3 are real parameters. and periodic of period 1 on R. 0) = I.L)Jg. (d) P(t.EXERCISES VII 233 VII10. Let A(t) be an n x it matrix whose entries are realvalued. Show that every solution of a differetial equation if R(t) is a realvalued and continuous function on Zo satisfying the condition +a. Show that there exist two n x n matrices P(t. c) is periodic in t of period 1. and bounded function of t on the interval 0 < t < +oo. c)B(c)j. show that 0(t) has infinitely many positive zeros an such that lim n+00 n n tz + R(t)y = 0 has at most a finite number of zeros on the interval Zo = {t E Lea : 0 <_ t < +oo} VII11. the differential equation d2y + (1 + R(t))y = 0 has a solution q5(t) such that lim (O (t) . c) and B(c) such that (a) the entries of P(t. continuous. e) . c) and B(c) are power series in c which are uniformly convergent for oc < t < +oo and small JEJ. f+a but J IR(t)l < +oo. +00 Remark. Show that if d'y then 0 < A < f+00 y(O) = 0. J0 o<:<+c* sup Ja(i)l. Apply Lemma VII62 to the following system: dy dt = [nL + (a + 8cos(2t))(K . assume that J X is an eigenvalue of the eigenvalue problem r+00 0 ju(t)jdt < +oc. Suppose that u(t) is a realvalued. y(t)2dt < +oo. VII14. See (CL. 7t2 + u(t)y = Ay. VII13. g_ [Y2J where n is a positive integer. Show that if R(t) is a realvalued and continuous function on Zo = {t E It : +00 0 < t < +oc} satisfying the condition J 0 JR(t)j < +oo. 1031. (c) the entries of P(t. see Example VI1i. (oo < t < +oo).P(t. Also. and f0 K= and L = [ 01 0] U] . the two quantities a and. L tIR(t)j < +oc. Also. Problem 28 on p. where In is then x n identity matrix. c) and B(E) satisfy the equation eP 8t = cIA(t)P(t. continuous. 0 o VII12. (b) P(t.
h(t) = ln(2 + t) . ASYMPTOTIC BEHAVIOR OF LINEAR SYSTEMS VII15. find the asymptotic behavior of solutions of the differential equation 2 + {1 + h(t) sin(at)} rl = 0.234 VII. Using Theorem VII63. where a is a real parameter. as t + +oo.
2) dt = f (t. we introduce the concepts of stability and asymptotic +oo. It is well known that the trivial solution is asymptotically +oo if real parts of eigenvalues of the leading matrix of the given stable as t system are all negative. Reducing the given solution to the trivial solution by a simple transformation. Also.1) is defined on the entire interval 10 and that (t. [Huk5]. 220227]. we discuss the stable and unstable manifolds. we look into similar problems for nonlinear systems.1. By virtue of such a simplification. 235 . VIII1.1) dy d t= where y E lR" and the R'valued function At. First we change a given system by an analytic transformation to a simple standard form. in §VIII1. we can construct the stable manifold in a simple analytic form. and [Si2]. The topics discussed in this chapter are also found in [CL. we look into the structure of stable manifolds more closely for analytic differential equations. +oo. In §VIII4. To start. y1 E J"+I : 0 < t < +oo. assume that a solution mo(t) of (VIII. 371388]. pp. This idea is applied to analytic systems in IR2 in §VIII6. 160161. and [SC. we concentrate our explanation on the stability property of the trivial solution. In §§VIII7VIII10. In this chapter. In §VIII5. This basic result is given as Theorem VIII21 in §VIII2. 4996]. In particular. To start with. The case when some of those real parts are not negative is treated in §VIII3. we explain continuous perturbations of linear systems in J2.CHAPTER VIII STABILITY In the previous chapter. Basic definitions Let us consider a system of differential equations (VIII. The materials in §§VIII4 and VIII6 are also found in [Du]. The main topic in this chapter is the behavior of solutions of the initialvalue problem (VIII. [Har2. pp. we explained the behavior of solutions of linear systems as t .1. we introduce the concept of stability. we summarize some known facts concerning linear systems with constant coefficients in JR2. 1171 < ro}.1. M is continuous on a region A(ro) = Zo x D (ro) = {(t. pp. We illustrate those concepts stability of a given particular solution as t with simple examples. using the polar coordinates. o' as t +oo. mo(t)) E A(ro) on Yo.
3) I$o(t) .+oo.)1 < p(r.T. do(t)).7 < 5(c). rl) E 0(ro). Then. r.(t)I = 0. r.+co. Example VIII15.1. then for any r E Zo and any positive number c.4) lim I&(t) . 1. Y7)1 < E on the interval 0 < t < T (cf. y(r) = it has the unique solution y = (t. Hence. 771 is continuous with respect to (t.1. We also introduce the concept of asymptotic stability. dt = (yl .5) is stable (respectively asymptotically stable) as t . Suppose that the initialvalue problem (VIII. The solution do(t) is said to be asymptotically stable as t4 +00 if (i) the solution do(t) is stable as t .6) ddtl = yi.1.1) is changed to (VIII. r. Definition VIII13.r) dt = At' y).5). i) if (r. the study of the solution o(t) of (VIII.2) satisfies the condition (VIII.f'(t. T. r. the solution 0(t. r. every solution 4(t) of initialvalue problem (VIII.2) exists on the entire interval Zo and satisfies the condition (VIII.(t)I < E on 10. TD I < E on I. r.1) is reduced to that of the trivial solution z1(t) = 0 of (VIII. §111).1.236 VIII. qs(t.1.1. there exists another positive number b(c) such that whenever I&(0) . there exists a positive number p(r. every solution fi(t) of initialvalue problem (VIII. Then. E).5) dt = At' z + do(t)) .r) . Therefore.1.+oo if.1.(¢(t. rt) exists on the entire interval 10 and (t. Set g= E+ ¢0(t).1. the solution . The following three examples illustrate stability and asymptotic stability. STABILITY Definition VIII11. for any r E Zo and any given positive numbers T and f. (ii) there exists a positive number r such that whenever I o(0) .y2)y2 . The solution do(t) is said to be stable as t . system (VIII. Remark VIII14. J) satisfies the condition 0o(t) is stable as t IV'0(t) . r. The first example is the system given by (VIII.o(t) of (VIII. c). Remark VIII12. 71) exists on the interval 0 < t < T and I0o(t) ¢(t.i7 < r. This implies that if the solution +oo.1) is stable (respectively asymptotically stable) as t + +oo if and only if the trivial solution of (VIII. In the following sections. Thus. we shall study stability and asymptotic stability of the trivial solution. for any given positive number c. c) such that whenever loo (. the solution (t.n7 < b(r.1. ').e) such that whenever 100(r) .1. there exists another positive number b(r. r.2.
1. 1 112(t) = ± u(yi(t)) is a solution of (VIII. Thus. the quantity c must be positive.1.1. the trivial solution of system (VIII.1. The transformation u = b2 changes this equation to a firstorder linear differential equation7Y1= 2u .6) with the initial value yt(0) = y. .1. we obtain u(yl) = ezvi c . Y2 FIGURE 1. Thus. y2(t)2 < e2Yt(t) C 77 c = e21'.6).8) yl(t) = ( et..1. solve the firstorder equation (VIII.6) is asymptotically stable as t . Observe that y<yl(t)<0 if y<0 and 0<y1(t)<y if y>0 for t > 0. (VIII. BASIC DEFINITIONS 237 To find the general solution of (VIII. (t)2 J J. This result is shown also by Figure 1.7) dye dyi = y2 + y1 .1. Example VIII16. Therefore. It is evident that y1(t) = y et satisfies the first equation of system (VIII. The second example is a secondorder differential equation (VIII. Therefore.+oo. This proves that the trivial solution of system (VIII.6) is stable as t +oc.1.1e2'ry2(0)2 for t > 0. Since u = yz > 0. dt) < 0 for t > 0.9) dt2 + g(t7) = 0. since fvt(t) a2q r) lim J t+o0 dt7 = lim Y1 0 fYi a2n 11 di = oo.6). e2171 ry.2'I yl du 2 vt a2n rl dq .1. Furthermore.
. dH(yi(t).1.14) G(zi 2 (0) + a) + z2 0)2 G(zi 2 for all t if z(t) is a solution of (VIII.y2(t)9(yI(t)) = 0 if (yi(t).1. zi Set 17 (VIII.1. y2) = G(yi) + y2 2 Then. Then.9) is equivalent to the system (VIII.0 g(zl + a) . Y2 = 0.y2(t)) dt = 9 ( Y1 (t)) dyl(t) dt + (t) dy2(t) Y2 dt Therefore. G(n) takes a local minimum (respectively a local maximum) at n = a if g(a) = 0 and g'(a) > 0 (respectively g'(a) < 0). Also.11).238 VIII. there exists a positive number PO such that G(rl) < G(a) for 0 < 177 .1. system (VIII. STABILITY where 9(17) is a realvalued and continuously differentiable function of g on the real line R.13) H(yi .12) G(i7) = / g(s)ds.al < Po Let t.g'(a)zt = 0. Set yi = zi + a and y2 = z2. then system (VIII. Note also that lim z. iii A = j9'(a) 0] z = lz2J . If g(a) = 0.(t) be the unique solution of (VIII. z2(0) = Co > 0.1. Equation (VIII. dH(yi(t).10) becomes (VIII. [[g(21 + a) 9 ()z1)] The eigenvalues of A are ±(g'(a))I/2. This means that (t) + a) + z2(t)2 = (VIII.y2(t)) dt = 9(YI(t))y2(t) . Case when g'(a) < 0: If g'(a) < 0. Since t.1.1.2(t) = (1(t).11) satisfying the initial condition z1(0) = 0.10).10) has a constant solution yt = a.1.1.y2(t)) is a solution of (VIII. 0 Then.10) dti = Y2.1.11) where d = 9(yi) di = Az + #(z).1. set (VIII.
0) of the system (S) dt = f(x.11) is not stable.y) . Hence. the trivial solution (x. : G(( +a) < G(a)+p}. (iii) 8x (x.Co as long as 0 < (1(t) < po. 0) = 0 and g(0. Observe also that G(a) < G(( + a) < G(a) + p for [. y)) 0 (0.1.1. 2 The analysis given in Example VIII16 is an example of an application of the Liapounoff functions to which we will return in Chapters IX and X. Iz1(t) < ei (p) < e. choose another positive number p so that ei(p) < e and p:5 e. This implies that the trivial solution of (VIII. g(x. and if a positive number p is sufficiently small. y) = 0. Hence. (3) {( : ISO < C2 W} C 7) (P) C < el(p)} (cf. 0) = 0. For a given positive number e. 0) if (x. (ii) (f (x. Hence. y) are realvalued continuously differentiable functions such that (i) f (0. Observe that the set {z1(t) : all t} is connected 2 and zi(0) E D (2) C V (p).G(a) + < p < e. y) = (0. Case when g'(a) > 0: For a given positive number p. let V (p) be the connected component containing 0 of the set {[.1. This proves that the trivial solution of system (VIII. (2) Plmoe1(P) = 0. y) and g(x. g(a) > 0. The third example is the following result. (VIII. if g(a) = 0. y).1. Then. then. (VIII.1.14) implies that2(tz2< G(z1(0) +a) . Therefore. Theorem VIII17. there must be a positive number to depending on (o such that (I (to) = Pa no matter how small to may be.y). y) + 49Y (x. If f (x. zi(t) E D(p) for all t. Hence.G((1(t) + a)) + co >. 0). S=o G= G(S+a) G=G(a)+p G=G(a) 1 P) FIGURE 2. BASIC DEFINITIONS 239 2(G(a) . V (pl) C V (P2) we obtain ('(t) = if p1 < p2. G(z1(0)+a) < G(a)+ since z1(0) EP (2). E V (p) if p is a sufficiently small positive number. Furthermore. there exist two positive numbers e1(p) and e2(p) such that (1) e2(P) < e1(P). dt = g(x. G(a) < G(z1(t) + a) < G(a) + p since z1(t) E D (p) for all t. Y) # (0. On the other hand. Choose also the initial value z(0) so that Jz1(0)j < e2 (2) and z2(0)2 < p.11) is stable as t + +oo. Figure 2). Then.14) implies that G(zi(t) + a) < G(a) + p for all t.
y(r)) = (Cl. STABILITY is not asymptotically stable as t . +oo. C2) 8c1 8c2 dc 1 de.c2)1 < e for 0 < t < +oo whenever max{jcj1. C1. y) + ag (x.c2) E 1R2 : Ic112 + 1c212 < r}.r. c2)1 < e for r < t < +oo if I¢(r.cl. Then.c.Cl. Since (0.cl.c2) be the unique solution of system (S) satisfying the initial condition 0(0. c2) is also a solution of (S) and satisfies the initial condition (x(r). +oo. 0Ce is the 1of of ax a9 8y 09 Dy X. Now.ro) C 0 ro l 2 ). This is a contradiction. ro) is definitely smaller than the area of A(ro). O(t .c1. C2) t. Observe that (VIII. c2) = [ci].c1..1. c2). for every positive number c.1. 2) x(t. Therefore. This implies that the area of V(ro. 0) is asymptotically stable as t +00 and the disk A(ro) is compact. ro) is equal to the area of 0(ro). ax where 12 is the 2 x 2 identity matrix (cf. Fix a sufficiently small positive number ro.cz1 (4) of Remark IV27). tr. the mapping (C1.cz) X (0) = I2. If the trivial solution is asymptotically stable as t . Proof.C1.. c2) = expLI (cf. it follows from (VIII.15) area of D(ro. Let (.c2)I < 8(e). A contradiction will be derived from the assumption that the trivial solution is asymptotically stable. ct.lc21} < b(e). It is known that the matrix 1L(t. This implies that I¢(t.240 VIII. cl. let us denote by D(r. y)1 I Oly dtJ = 1 ft=. Denote by 0(r) the disk {(c1.c2) = unique solution of the initialvalue problem dX dt aj(ro. Also. cl.y)=Oit.cl.15) that the area of D(ro.t CI. the trivial solution is also stable as t . Exercise 114).c2) E A(r)}.v>=ecl. c2) y(t.C2) is a homeomorphism of 0(r) onto D(r. there exists a positive number ro such that D(ro.cl. r /'zJ ( o l ax 8f (x.c2) L ac. for a fixed value r of t. r) (cf. Theorem 1121). Since f and g are independent of t. Therefore. det '(t. there exists another positive number 8(e) such that it (t. 0 .c..c2) : (cl. r) the set {0r.+oo. cl. ro) = fA(r0) det tO(roc1c2) a$(ro. C2) + (r.
e"(tT)lg(t)I <.3) lg(t)I <. Then. lim k(t) = 0. If Ig(t)I < b for some positive number b on an interval T < t < T1. . Let A. Fixing a nonnegative number T. The following theorem is the main result in this section. (VIII.. Let us consider a system of differential equations (VIII. If the real part of every eigenvalue of A is negative.. then ly(t)l < Ke"(tT)Ig(T)I + Kff e"(td) {k(s) + cabv0} Ig(s)Ids a>T on the same interval T < t < Ti. vo > O. 2.. Lemma 115). .y)l < k(t)lyy + colylt+w where. y)) E A(ro). we obtain IeXpIAtll < Ke"t on the interval To = {t : 0 < t < +oc} for some positive constant K. .I (j = 1. Step 1. . yj : 0 < t < +oo. choosing a positive number p so that 0 < p < 9RIA. Example VII28).1) to the integral equation g(t) = e(tT)Ag(T) + fTte(t')Ag(s. t Therefore. t+x We prove this theorem in four steps. the tnvial solution g = 0 of (VIII. co > O.yj under the assumptions that (i) A is a constant n x n matrix. RIA. k(t) > O and bounded fort > 0. Then. (j = 1. Setting p(T) = sup k(s).2. change this inequality to the form e"(tT)Ig(t)I <.2.. .2. A sufficient condition for asymptotic stability In this section.. Proof. y) are continuous and satisfy the estimate for (t.2. Step 2. 2..1) is asymptotically stable as t i +oo. 2. n) are Liapounoff's type numbers of the system d= Ay (cf. we prove a basic sufficient condition for asymptotic stability. Iy1 < ro).Klg(T)I + K {p(T) + coa"o} T e"('T)Iy(s)Ids for T:5 t < Tt.KI g(T)I exp I. (VIII. Theorem VIII21.Klg(T)I exp[K(p(T) + cob&°)(t T)I and.I f o r j = 1.K(p(T) + cotVO))(t .T)J for T:5 t < Tl (cf. (ii) the entries of the 1R"valued function §(t. and A(ro) = {(t. .(u . ro > O. A SUFFICIENT CONDITION FOR ASYMPTOTIC STABILITY 241 VIII2.2.g(s))ds.2) I9(t. change system (VIII.. 2.1) = Ag + g(t. n) be the eigenvalues of A. hence. n.
O Example VIII22.4) 19(t. in turn. K61 <6. it was proven that (VIII. We shall return to such cases in IR2 later in §§VIII6 and VIII10 . implies that Jg(t)J < K61 < 6 for T < t < T1. lim k(t) = 0. and two functions h(t) and k(t) are continuous for t > 0 such that k(t) > 0 for t > 0. This is true for all T1 not less than T.242 VIII. 318319]). the characteristic polynomial of the matrix A is PA(a) _ (A + 0. Hence. Fix a nonnegative number T and two positive numbers 6 and 61 in such a way that pK(p(T)+co6'o) > 0. If Jy(t)J < b < 1 for 0 < t < T. Even if the matrix A is diagonalizable and its eigenvalues are all purely imaginary. inequality (VIII. For the following system of differential equations d = A#+ where [y Y y= j A= r 0.99. for 0 < t < T. Step 4.3) holds for T < t < T1 as long as Iy(t)I < bon the interval T < t < T1. Remark VIII25. In f act.2. the case when g'(a) > 0 in Example VIII16). 0<61 <6.3)2 + 1. Assume that 19(T)J < 61. STABILITY Step 3. Therefore. the eigenvalues of the matrix A are 1 and 0.2) is replaced by (VIII. y)J < (k(t) + h(t)Jyj")Jy7 for (t.2. as clearly shown in Example VIII15. there exists a positive number is such that Id t) I < n19(t)j.3) holds for t > T.3 on pp. inequality (VIII. Thus. Then. the trivial solution is not necessarily stable as t + +oo. even if (VIII.2. The same conclusion as Theorem VIII21 can be proven.4  2 . This.2. in that example. we must frequently go through tedious analysis to decide if the trivial solution is stable as t + +oo (cf.2. Remark VIII23. . This implies that Jy(t)J < Jy(0)JeK' as long as Jy(t)I < 6 < I for 0 < t < T. In that example. The converse of Theorem VIII21 is not true. [CL. h(t) > 0 fort > 0. Remark VIII24. but the trivial solution is asymptotically stable as t + +oo. Therefore. Also. where p is a positive number.2 1 (Y2 ( 1 + y2) I 11 J the trivial solution y = 0 is asymptotically stable as t ' +oc. In such a case. solutions starting in a neighborhood of 0 do not tend to 0 exponentially as t + +oo. the real part of two eigenvalues are negative. This completes the proof of Theorem VIII21. and Liapounoff's type number of h(t) at t = +oo is not positive (cf.3) holds for t > T if Iy(0)J is small. y) E A(ro). Theorem 1. Jy(T)J is small if Jy(0)j is small.
Ivffl) (1=1. Assume that (i) A is a constant n x n matrix. where Y E iR". e(t. then the trivial solution is not stable as it is claimed in the following theorem. IyI <_ ro}. the trivial solution of the system dy An example of instability covered by this theorem is the case when g'(a) < 0 of Example VIII16. y) for (t. The converse of Theorem VIII27 is not true.y) . Then. Note that. If the real part of an eigenvalue of A is positive. y) E lim e(t. eigenvalues of the matrix A are 1 and 0.y) : 0 5 t < +oo. In order to illustrate such a manifold.1. Y2 Yt FIGURE 3. Theorem 1.2) .9. in this case. entries of R"valued function gl and RIvalued function g2 are continuous in (1. consider a system of the form (VIII31) dx = AIi + LY = Alb + 92(40. 11 E R n. 3173181.3.y) E o(ro) _ {(t.(f. dY2 = (yi + yi)112 is not stable as t . Iyj) 5 po and satisfy the Lipschitz condition 19't(_. pp. Figure 3 shows that the trivial solution of the system I = yI.2. +oo. y) is not stable as t . (ii) the entries of y(t.nil 5 L(P)max(Ii. dt A proof of this theorem is given in (CL. t1+19{o (iii) the real part of an eigenvalue of the matrix A is positive.yyly7 where ro > 0. Stable manifolds A stable manifold of the trivial solution is a set of points such that solutions starting from them approach the trivial solution as t . = Ay + §(t. +oo. > 0 for (t.+oo. In fact. (vi) of Remark VIII32). STABLE MANIFOLDS 243 Remark VIII26.y)l 5 e(t. Theorem VIII27. VIII3. and i(ro). y) = 0. yam) are continuous and satisfy the estimate I9(t. y) for max(IiI. We shall prove this theorem for a particular case in the next section (cf.
assume that gf(0. I y(t. y(s.3. where K.c)I) < then t pe(°'`)t for 0 < t < +00. e(ts)A'91(Y(s. 0) = 0 (j = 1. Fix a positive number c so that a1 > 02 + E. c)) is uniquely determined by condition (VIII. c) = e1AI C + J e(1a)A' gi (Y(s.2) implies that the real parts of eigenvalues of AI are not greater than 01. y"(t. t < s. c))ds. and of (j = 1. this solution (i(t. Furthermore.3. c). Proof Observe that if max(Ix(t. whereas the real parts of eigenvalues of A2 are not less than 02.5). STABILITY for max(jil.3.1) to the following system of integral equations: x(t. y(s.3. cl.3. c). Furthermore.2) le(t9)A' I < Je(ts)A21 < K2e02(t8) Kieo1(ta) for for t t > s. Condition (VIII. where po is a positive number and u oL(p) = 0.t and t (e" .244 VIII. Theorem VIII31. Then.3. c)I. (VIII.1) can 1(0. c). 2). Ii1) < po.61=6 and max(Ii(t. there exists another positive number p(() such that if an arbitrary constant vector c' in R' satisfies the condition KI I c1 < be constructed so that (VIII. cam)) of (VIII. c).3) a1 > 02.c)I. a solution (i(t. #(t. Two matrices AI and A2 are respectively constant n x n and m x m matrices satisfying the following condition: (VIII.3. c ) = Jt to0 e(t 8)A2 2(x(s. Iy1) < po and max(11 i. c)I) < p(e)e(Ol t)t for 0 < t < +oo. c))ds.I) < +00 Ki L(P)Pe(o. y(s. c))ds1 < K1 L(P)P f t e`(t8)e(" `)sds 0 I fo KiL(P)Pe0. c)t IJ + 00 e(ta)A2 2(j(s. Assume that (VIII. c))dsl < K2L(p)p f t e02(t8)e(0 $ ')8ds K2L(P)P e al o2E . The main result in this section is the following theorem.4) 0 At.5) 2 . I Let us change (VIII. c).2) are positive constants.Iy(t. y(s.3.
ly(t)I) < Ke(°''0)t for 0 < t < +00 with some positive constants K and eo such that of o2eo > 0. y'(t. ). c)) of 2 (VIII. since the righthand side of (VIII. U = 0' and and exist and are continuous in a neighborhood of (6. (v) Consider a system (VIII. (ii) The initial value of y(t. (i) The positive number a is given to start with and the choice of p depends on e. c). then. c_))ds. 0) = 0'.6) and if 89 ((6. then i(t.1) are negative and the real parts of all eigenvalues of the matrix A2 are positive. c)) : 161 < p}. y(t. STABLE MANIFOLDS 245 This implies that if a positive number p is chosen so small that and K1L(p) 01o2e . y(to + t)) _ (i(t.2 K2L(p) < 1 < and if the arbitrary vector c' in R" satisfies the condition 2 . condition 19(y) p0  < po and i31 < po. if a solution (x"(t).3. c1I. y(t. the constant e may be eventually replaced by any smaller number. Details are left to the reader as an exercise. (b) the entries of §(y1 are continuous for Iy1 < po and satisfy the Lipschitz L(p)ly .4) can be constructed so that Kl I i < x(O. More precisely. c)= c and max(Ii(t. y"(t)) of (VIII.1) is given by S = ay 09 8 (6.3. cl are continuously differentiable with respect to c.3. since this solution approaches the trivial solution. cl . Iy(t. a solution (i(t.3. c_). where p is a sufficiently small positive number. c) and y"(t. Remark VIII32. However.r11 for lyI where PO is a positive number and lim L(p) = 0. +oo.3. there exists to > 0 such that (i(to + t).3.1) satisfies a condition max(Ii(t)I. . cam)). c)I) < pe(c for 0 < t < +oo. 9(0. using successive approximations. c) is given by 0 00. then the stable manifold of the trivial solution of system (VIII. cl = f esA292(i(s. (iv) If the real parts of all eigenvalues of the matrix Al of (VIII. c)) is independent of a as t .3.6) dy dt Ay + 9(y in the following situation: (a) A is a constant n x n matrix.1) is independent of t. y(s. where c = ?(to). This implies that the curve (i(t. then for every positive a smaller than co. +oo (iii) If (0.
in a vector u E C" with entries {ul..+oo. consider system (VIII...1). The materials in this section are also found in [CL. 1) to (VIII. A is a constant n x n matrix.4. p") with n nonnegative integers pl.4) j = Boii + g"(u) .6)..4.6) = 6. §§4 and 5 of Chapter 81 and [Hart..3.4. Analytic structure of stable manifolds In order to look closely into the structure of the stable manifold of the trivial solution of a system of analytic differential equations (VIII.1) under the following assumption. applying Theorem VIII31 to the system = Ay' . and yam' = yl' h=1 yP. Theorem VIII42..6) starts from a point on U. Assumption VIII41.4. STABILITY Suppose further that A has an eigenvalue with positive real part.. . 2421. E C". let us construct a formal simplification of system (VIII. The following theorem is a basic result concerning formal simplifications of system (VIII. This shows that the trivial solution of t . Chapter IX.4.3.4.. in particular Theorem 6. The set U is called the unstable manifold of the trivial solution of (VIII. > Ph. Under Assumption VIII41. This means that if a solution fi(t) of (VIII.. we can construct the stable manifold U of the trivial solution. VIII4... Then.g(y). and Theorem VIII27 is proved for (VIII. (ii) the formal transformation y' = P(u") reduces system (VIII 4. there exists a formal power series (VIII. .3) P'(u) = Pou" + IpI>2 EPP. where p = (pl. p". then urn Q(t) = 6. and (VIII.4.2) f (Y) = E #vfa jpI>2 is a formal power series with coefficients fp E C'. . y" }.1). .u"} such that (i) Po is an invertible constant n x n matrix and PP..1) dy dt = Ay + f (y). The unknown quantity g is a vector in C" with entries {y1. . VIII. .246 (c) 9(0.3.6)..1 on p. To do this.
5.7) (PhAh)P + Po9p . ANALYTIC STRUCTURE OF STABLE MANIFOLDS 247 with a constant n x n matrix Bo and the formal power series g(ui) _ E upgp Ipi>2 with coeficients gp in Cn such that (iia) the matrix B0 is lower triangular with the diagonal entries Al. calculating the coefficients of iip obtain (VIII...4.4. and the entry bo(j. IpI>2 IPI>_2 Furthermore. An. the jth entry gp. of the vector gp is zero whenever A1 n (VIII..1)..4. j4 Ak.. = (p.. P2upPp ul poop P_p . Let us introduce a linear order pi < p2 for p. k) on the jth row and kth column of B0 is zero whenever A... Po + Ipl>2 [Plup..6) and 1) on both sides of (VIII.4. . then d9 = dt Po + 1: [ L W>2 p Pp P22 Pp p Pp . .Aul where 03.ff : 10 <ItI) .APp h=1 =j (I5. (iib) for p with IpI > 2.'.' p <p) + yp(Pp'. 2) by the relation and Plh = p2h for (h < he) P1ho < P2ho Now. un Pp Boi + F 4Lpgp Ipl>2 and Ay + f(y) = A Pod + F u'pPp + E P(u)p fp. pin) (j = 1.k is the entry of B0 on the 7th row and kth column.5) 1: PhAh h=1 Proof Observe that if y" = P(d). we PoBo = APo (VIII. Bo u' J u2 Un n = PoBou" + lpl>2 phAh h_1 u"PPp + 1<h<35n uh plp)..4.
. un) = (0. 0). .. r.. From (VIII.a... Then. (VIII. (ur+1.4.. r. in such a case.. Therefore... h=1 Pn) 0 (0. of Bo are eigenvalues of A and that this allows us to set A = B0 and P0 = In.7) becomes (VIII.9).10) are polynomials in (ul.8) by solving equations of the form (VIII. . are known quantities. . .A? = 0. .. Then. then (Pr+ 1. This completes the proof of Theorem VIII. If >phAh .4.4. ..P04ul1 . are the jth entries of the vector P. .. . 0). . p) + 9$'05P" 9P. Under the same assumption on the Aj as in Observation VIII43. . is the n x n identity matrix...4. A.=p. look at g"(u"). In fact. and gp. .. Hence.. h=1 ph is sufficiently large. ( i=1 . If >phAh . STABILITY for Jpj > 2.. and respectively... set (ur+1.6.J successively.6). the ath entry of the for j vector Bou + g"(u) is zero for t ¢ I. r. ....248 VIII. h=1 Observation VIII43.j = 0 and h=1 solve (VIII.. u p ... Then. . the system of differential equations has the form on (u1.+ +p.. . and choose PPJ in any way. if uh = 0 for h I. ..Bo..4. : 10 < 1p1) Solve (VIII...4. the fn th entry of the coefficient g"p is zero if Al 96 >phAh. where I..)=(0.A7 J PP.. . .ur). . At = > Ph Ah.0). Assume that R(AE) < 0 for j = 1. where PP. In this case.. if t > r and n h=1 .huh 9(P.u. the righthand h=l members of (VIII.) = (0....a..J = F'p... Note that.2.4.lai>2 r r ph Ah # 0 if Observe that since A.. . h=1 = ff(PP. the 1th entry of the vector Boti + 9"(uis Observation VIII44...4. set 9. r) A.... uP = 0 if zero forI>rif(ur+1.. u. = Fr... and FP.9) h (PhAh . 0). dud dt (VIII.8) (PhAh)PP + 9p . . .4. it is concluded that the diagonal entries A1.. .10) = + A3u3 + QJ. then set 9P. r and R(A3) > 0 1.Aj 36 0....1 + 9P.
.i) for j=2. ANALYTIC STRUCTURE OF STABLE MANIFOLDS 249 Observation VIII45.4.. a iajorant series for P h=1 can be constructed. In this case. .+prAr. The key fact is the inequality A) . in this case there exists a dd = Ad. under the same assumption on the A) as in Observation VIII43.. Assume that R[Ah+1J <_ R[Ah]. Theorem VIII46.c.. The proof of this theorem is straight forward but lengthy (cf. . .... r)..) are polynomials in (t.. cl. c. shows that the general solution of (VIII. .. This transformation changes (VIII. ..4. . system (VIII. According to Theorem VIII42. (V111..10) more clearly. a..4. . Hence.1) are analytic in a neighborhood of 0.(t.. ur) by u2 _ ea'ivi (j = 1. =P...+.Ipl>2 This. .. .i A. In the case when the entries of the Z"valued function f'(y) on the righthand side of (VI11. change (ul.2).r.10) can be written in the form dul dt = Aiu1 and du = A)u) + u_.10) can be solved with an elementary method..cl.vf (.>PhAh h=1 r h=1 for some positive number a if E ph is large...c1. Then.10) has the form u) _ ea'ii) (t. where (cl.4.. 0). To see the structure of solutions of (VIII.G) An analytic justification of the formal series 15(ii) is given by the following theorem..4...10) to dv) dt Q). = AQ(u) + f (u" + IeI>2 Set f (ii + Q(u)) _ .4. the power series P(d) is convergent if (ur+i. .... dt where A is a nonzero complex number and AM is a convergent power series in y given by (VIII.4... The construction of such a majorant series is illustrated for a simple case of a system dy = Ay + f (y). . .4.. [Si2J)... u") = (0. where formal transfomation ff = d + Q(u) such that dt IpI?2 This implies that E AIpJi1PQg. .hvh an g(P. in turn.. cr) (j = 1.) are arbitrary constants and 0... r).
4.10) together. Putting P(u") and the general solution of (VIII. vp = B Ii for all p (JpJ > 2)..1). if A = a b b a . . lal>2 a= AOPI1) for all p (IpJ > 2).0). c. Determine a power series V (u) = IpI>2 uupii by the equation v = ICI 0(u" + v').12) dtl = (a + ib)vl.. For example. If a 54 0.. cl) of (VIII. Furthermore. Set 1 Ap ' (y1= > IfP11F IpI>2 1 Then...cl. where = (t. In the case when y.is the complex conjugate of g.4.. and AM are real.iy.. This proves the convergence of Q(ii). This particular solution is depending on r arbitrary constants c = (cl. but A has some eigenvalues which are not real.cr).11) to (VIII. Then.. (VIII.4. Remark VIII4. using Theorem VIII42. Set F(u + V(U)) _ Ipl>2 iBa. ddt = (a .4. .....1)if W(Aj)>0for j#1..cr)..e*\1 'Wr(t. .. this solution represents the stable manifold of the trivial solution of (VIII. STABILITY ui"A.. It can be shown easily that Y(ul) is a convergent majorant series of Q(ur).250 VIII..4..4.r. Then.. then P(yl must be constructed carefully so that the particular solution P(i(t. A.. c)) is also realvalued. If IV = ['] is changed by ul = 1/i + iy2i and = ... simplify (VIII. .ib)u2 + where gP.cj = (e'\It7Pi(t. we obtain a particular solution y" P(#(t.0.. F(y) is a majorant series for ft y). the eigenvalues of A are a ± ib..11) due dt _ (a . system (VIII..ib)v2 .1) becomes dul OFF = (a + ib)ul + Pl+P2>2 9P.4.7.cl. .p.).p2u 'uZ ...
[HirS. and invertible 2 x 2 matrix.u2 2i U'2 + p.= At by wI = and w2 = VI .q. we summarize the basic facts concerning linear systems with constant coefficients in R2.pzu'P1 u" where ql. Similar arguments can be used in general cases to construct realvalued solutions. (For complexification. A diagram that shows the orbits in the phase plane is called a phase portrait of the orbits of the system of equations. is changed back to .P2'UP11t?221 (VIII.P. and Al .+p2>2 Now.V2 V 2 V2 2i .. Twodimensional linear systems with constant coefficients Throughout the rest of this chapter. TWODIMENSIONAL LINEAR SYSTEMS 251 by the transformation VI + PP.pA + q = 0. where q ¢ 0. for example.+p2>2 uI . Hence. see. Consider a linear system (VIII. two eigenvalues of A are given by AI = It is known that 2 + 4 q and A2 = 2  4 . The R2plane is called the phase plane and a solution curve projected to the phase plane is called an orbit of the system of equations. system (VIII. Then.5. the characteristic equation of the matrix A is 1\2 . for example.. +p2>_2 7P. [Du).S. As a preparation.p. 6465].4.13) V2 + p.4. VIII5. Set p = trace(A) and q = det(A). constant. in this section. in turn.) For classical works related with the materials in this section as well as more general problems. p = AI +A2. q = AIA2. +p3 22 g2.p2V2P1VP13. P. E R2 and A is a real... see.q.p2 are real numbers. we shall study the behavior of solutions of nonlinear systems in 1R2.12).p.A2 =2 P2 . w2) are the entries of the vector tu. Observe that U l + u2 2 w1 + E p.1) where dy = dt Ay.p2 and g2. 4 . pp.. where (w1.
2 Case 2. In this case. then cy(t +r) is also a solution of (VIII.. As t + +oo. and Au = A2ij. p < 0. Then.1) is shown by Figure 5. Then.5. Note that as which t increases. 2 la: In the case when Al > A2 > 0 (i. where cl and c2 are arbitrary constants and oo < t < +oo. A = 212i where 12 is the 2 x 2 identity matrix. The trivial solution 0 is unstable as Itl +oo.1) tend to 0.5. FIGURE 5.1) is shown by Figures 71 and 72.1) for any constants c and T. p > 0. The arrow indicates the direction in +oo. the phase portrait of orbits of (VIII. The point (0. q > 0 and 4 > q).1) is shown by Figure 6. two eigenvectors { and ij are linearly independent and the general solution of differential equation (VIII. l 0 0. the phase portrait of orbits of (VIII.5.e. The trivial solution 0 is stable as t i +oo.. 2 lb: In the case when 0 > Al > A2 (i.5. STABILITY Also. i.e. 4 FIGURE 4.1) is given by y"(t) = exp [t]e.1) is shown by Figure 4.252 VIII.. q < 0).)t11= ea2t[cie(AI a2)t (+ c2i17.e.5. if y(t) is a solution of (VIII. 0) is called an unstable improper node. i.5.5.. The point (0. the phase portrait of orbits of (VIII.. At = All. only two orbits of (VIII. 2a: Assume furhter that A is diagonalizable. the phase portrait of orbits of (VIII. the trivial solution 6 is unstable (respectively stable) if p > 0 (respectively p < 0).e.e. Assume that two eigenvalues Al and A2 are equal.1). Assume that two eigenvalues Al and A2 are real and distinct. and the general solution of (VIII. Case 1. respectively. q = 4 and Al=A2=29& 0. every nonzero vector c is an eigenvector of A. 0) is called a saddle point.5.1) is given by 1!(t) = cl eAI t + c2ea'tti = e)lt (cl + c2e(1\2. . ij 0 0. q > 0 and 4 > q). The trivial solution 0 is unstable as t and oo . This fact is useful in order to find orbits of equation (VIII. The point (0. 1c: In the case when Al > 0 > A2 (i. the solutions y(t) tends to 0 in one of the four directions of t ij. Note that as t + oo (or +oo).5.. Observe that.1) in the phase plane.5. let t and ij be two eigenvectors of A associated with the eigenvalues Al and A2. Note that... 0) is called a stable improper node. In this case.
Case 3. 0) is called an unstable (respectively stable) improper node if p > 0 (respectively p < 0). where 12 is the 2 x 2 identity matrix and Nris a 2 x 2 nilpotent matrix. If two eigenvalues \I and .1) is shown by Figures 81 and 82. where c" is an arbitrary constant vector. Observe also that a nonzero vector c' is an eigenvector of A if and only if NcE = 0.5. 4 Note that b > 0. The point (0. TWODIMENSIONAL LINEAR SYSTEMS 253 for every direction n.e. p>0 p<0 FIGURE 81.. the phase portrait of orbits of (VIII.+oo if p > 0 (respectively p < 0).12 are not real. then q > and 4 Al =a+ib. exp[tA] = exp 12t] {I2 + tN}.1) is given by y(t) = exp [t] {c + ta(c7}. FIGURE 6. Since N(Nc) = 0. In this case.5. FIGURE 82. since two eigenvalues of B . A = p p<0 FIGURE 72. the vector NcE is either 6 or an eigenvector of A. a= 2. B2 = b212. p>0 FIGURE 71. 212 + N. Set A = a12 + B. there exists an orbit which tends to 6 in the direction n" as t tends to oo (respectively +oo). Hence. Note that N 0 and N2 = O. The point (0. where is the eigenvector of A which was given at the beginning of this section and a(c) is a realvalued linear homogeneous function of F. A2=aib. Observe also that at(c) = 0 if and only if c' is a constant multiple of the eigenvector .5. The trivial solution 6 is unstable (respectively stable) as t . Hence. NE = ct() . i. The general solution of (VIII. Then. 0) is called an unstable (respectively stable) proper node if p > 0 (respectively p < 0). 2b: Assume that A is not diagonalizable.
5. p 0 0). p<o FIGURE 102. It is important to notice that every orbit y(t) is invariant by the operator . The orbits..e. where u(t) is the general solution of dt = Bu. The point (0. 0) infinitely many times as y(t) . 0) is an improper node.e. . the general solution of (VIII.5. exp[tB] = (cos(bt))I2 + slnbbt) B.1) is shown by Figures 91 and 92. as shown by Figures 101 and 102. Then. The trivial solution 0 is stable as It 4 +oo. r. which is periodic of period 2b in t. FIGURE 92. 0) is called a center. the general solution of (VIII. go around the point (0..5.0. STABILITY Smbbt) are ib and ib. p = 0).1) is given by '(t) = exp[tB]c = (cos(bt))c"+ Bc. b 2r b B j(t) = cos(bt) b sin bt + T Bc(sin(bt))c = (cos (bt + ))e+ . 0) is called an unstable (respectively stable) spiral point if p > 0 (respectively p < 0). 0) is a saddle point.1) is given by y(t) = exp[at]il(t). The phase portrait of orbits of (VIII. 3a: Assume that a = 0 (i. dy(t) = by (t + Note that "" is 1 of the period dt 2b) 2b 4 FIGURE 91.+oo if p > 0 (respectively p < 0). (2) (0. Then. 3b: Assume that a 0 0 (i. Let us summarize the results given above by using Figure 11: (1) (0. The solution 0 is unstable (respectively stable) as t . In fact. Therefore. b 2 Be= 17 (t + j 2b ) In other words. (0.254 VIII. The point (0.0) p>0 FIGURE 101.
tp!>2 where y' E LR2 with the entries yj and y2. p2) exists. look at the equation A = pi. If the point (0. the trivial solution 0 is stable as t + +00. Figure 12). VIII6. Consider a system (VIII. (IV) If p = 0 and q > 0.1) to dt` = Ail. then A = )J2i where A is a negative number and 12 is the 2 x 2 identity matrix.1) is uniformly convergent in a domain A(po) = (y E R2 : fyj < po) for some positive number po. FIGURE 12.6.6. 0) is a center.6. 0) is a proper or improper node. (Cf. the trivial solution 0' is unstable as Itl + +oo.1) in the following five cases. To apply Theorem VIII42 to this case. Since no such (pi. This. implies that the . (III) If q > 0 and p < 0. yam' = y'' y2 . p = (pi. in turn.6.+oo. the trivial solution 0 is unstable as t +oo. 0) is a spiral point. 0) is a stable proper node of the linear system = Ay. and constant 2 x 2 matrix. (5) (0. Case 1. (II) If q > 0 and p > 0. and the series on the righthand side of (VIII. Analytic systems in R2 In this section.6.1) dt Ay" + E ypfp. q(P0) P2 (5) (5) q(P=0) 4 (4) (3) (3) (111) (IV) (Ill  FIGURE 11. (4) (0. Let us look into the structure of solutions of (VIII. there exists an R2valued function P(u) whose entries are convergent power series in a vector it E R2 with real coefficients such that 5 () = 12 and that the transformation = P( u reduces system (VIII. we apply Theorems VIII42 and VIII46 to an analytic system in R2. the trivial solution 0 is stable as It( . p2) with two nonnegative integers pi and p2i Ipl = pi + p2. Stability of the trivial solution 6 is summarized as follows: (1) If q < 0. A is a real.1 + p2A on nonnegative integers pi and p2 such that pl + p2 > 2. invertible. ANALYTIC SYSTEMS IN R2 255 (3) (0. the entries of vectors fp E R2 are real constants independent of t.
1. in turn. Construct two nontrivial and realvalued convergent power series fi(x) and rG(x) in a variable x so that ¢(eA'tcl) (t > 0) and . Case 2. 0) is also a stable proper node of (VIII.1) and that the general solution of (VIII. If the point (0. If the point (0. M is a positive integer such that A2 = MA1. ([('' ab A. while the solution y" =1 (eA2tc2) represents the unstable manifold of the trivial solution of (VIII.1) is y = P(eJ1°cl. In case (1).6. The point (0.6.1).6.1) and that the general solution of (VIII.1).6. dy at = Ay".6. the point (0. there exists an R 2valued function P(g) whose entries are convergent power series in a vector u" E R2 with real coefficients such that LP (0) 8u _ 12. Remark VIII. looking at the equations Al = p1 A 1 + p2A2 and A2 = p1 At + p2A2 on nonnegative integers pi and p2 such that pl + p2 ? 2.0) is a stable improper node of (VIII. 0) is a saddle point of the linear system = Ay. In case (2). where c" is an arbitrary constant vector in 1R2. The solution y' = *(eAt tct) represents the stable manifold of the trivial solution of (VIII. where a and b are real numbers such that a < 0 and b # 0.6. the eigenvalues At and A2 of A are real and At < 0 < A2. where cl and c2 are arbitrary constants (cf.1) is y = P(eAC1. and the general solution of (VIII.6. Therefore. Exercise V7).1). and the transformation y = P(u) reduces system (VIII. where c is an arbitrary constant vector in R2. 0) is a stable improper node of (VIII.6) is Ct 7t= C2)e ) .&Ajul 1 reduces system (VIII. If the point (0. 0) . implies that the point (0. the same conclusion is obtained concerning the existence of an 12valued function P(i7). 0) is also a stable spiral point of (VIII. then we may assume that either (1) A = AI2+N. Case 4.6. where cl and c2 are arbitrary y" + PAlt constants.6.1) to dt = Au (cf. the general solution of (VIII.1). where Al and A2 are real negative numbers such that Al > A. This. it is concluded that there exists an 1R2valued function P(ui) whose entries are convergent power series in a vector ii E R2 with real coefficients such that dP (d) = 12 and that the transformation y" = P(u) ['Ju.1).4. 0) is a stable spiral point of the linear system then we may assume that A = I b 1.256 VIII. in case (2). in turn. The eigenvalues of A are At = a ± ib. STABILITY point (0.1) to dt = 2u21. and y is a real constant which must be 0 if A2 54 MA1 for any positive integer M. implies that the point (0. This. This implies that there are no nonnegative integers pi and p2 satisfying the condition A = p1 A+ +P2A_ and pl + > 2. u2) are the entries of i . where c is an arbitrary constant vector in 1R2. Therefore.6. where 1A is a negative number and N 4 0 is a 2 x 2 nilpotent matrix.I) is y" = P(eAt(12 + tN)c).6.G(eA2tc2) (t < 0) are solutions of (VIII.7). Therefore.: Case 3.6. or (2) A = I 1 a2 J . 0) is a stable improper node of the linear system dt = Ay. where (u1.
v2) = ivl + p+9=2 9P'9111 2.= Ay.6.2). Set 1i 1 v.5) u1 = a(B11j2)131. h(ul. where w(z) = 1 + E Wmxm. 3) +oo du1 dt = i W ( ulu2 ) u1. +0 hp. u2) can be construced so that (VIII. If the point (0. Furthermore.6.u1) Here. if a formal power series a(t) = 1 + real coefficients am is chosen in a suitable way. dy Case 5. In the next section.V0 = iv2 + p+9=2 p. 0) is a center of the linear system . by a formal transformation m=1 (T) v = f(17) = +00 ul + h(ul. p1 . then y = 0 is a spiral point (cf.4) the quantities hp+1. v1) +00 g(tvl.9v2v1 Here. Let us apply Theorem VIII42 to system (VIII.u1) _ p+9=2 _ hP.6.1 = q1. h(ul.6. ANALYTIC SYSTEMS IN R2 257 is a saddle point of (VIII. p2. the transformation (VIII.u2) _ p+q=2 h(u2. Then. look at Al = p1A1 + p2A2 and A2 = Q1A1 +g2A2.u2) u2 + h(u2.6. Observation VIII61.6.p are real for all positive integers p.6. This implies that system (VIII. the given system (VIII. let us look into the case when the +00 Wm are all real.2) where du dt  Ig(vl.2) can be changed to (VIII . m=1 with u2 = W10002 . We can show that if one of the Wm is not real.1). q1. and q2 are nonnegative integers such that p1 + P2 > 2 and ql + q2 > 2. First. d = iC due 0 ( u1U2 ) U2. setting Al = i and A2 = i.qupU2.1) is changed 2 to (VIII.6. where v = J [t1]. 6 . Observation VIII62. Exercises VIII14). a denotes the complex conjugate of a complex number a.v2)l 9(27) 012.1 = p2 and q2 . 012. both eigenvalues at of A are purely imaginary. Then. Hence.9u'lU2 In particular. where p1. we shall explain the behavior of solutions in a neighborhood of a saddle point in a more general case. Assume that they are ±i and A = y" = 2 L [0 01 J.
5). 2 _ 0#10002.6. . f. Assume that system (VIII.2) which depends on two real arbitrary constants.u2) = (ce`t. Using a transformation of form (VIII.2) satisfying the initial condition (C) t'(0. change h(ul. u2) so that (VIII. fe't be the solution of system (VIII. .3) to another system d.6.de't) is a solution of system (VIII. Let us look into Case I.6.31 = in(AiQ2)Qi.1).6. Let (S) u(t.3. Observation VIII63.6) 1.3.t) ceu + h(cett cett) is a formal solution of system (VIII.6. Case I Q(o 1 + coS"'°.6.3.6. Case II  where co is a nonzero real number and tno is a positive integer.q(t)ef°. 6 = III]. the formal series (FS1) v = f() = cell + h(eett.6.6. H(tto = E +«0 P+v=2 are power series in { and which are convergent uniformly on any fixed bounded interval on the real t line.6. ) _ D+9=2 HP. ) _ Vt + H(t. . cue.3) is (VIII.1) with a complex arbitrary constant c.5) does not change (VIII. Note that H(t.1) dul due = iu1. where f2(() is a polynomial in C with real coefficients which has one of the following two forms: 1. Note that transformation (VIII. dt dt = iu2.P = 0 for all positive integers p. Since (u1. STABILITY changes (VIII.258 VIII.
c) = e + h(e.2) are identical.6. dt2 = iu2(1 + co(uiu2)"'°) Note that we have (VIII.6.c+F(c. Since (ul.2) satisfying the initial condition (C). Set (VIII. where =(c.6). let (S) be the solution of system (VIII. c) and = =(c. Assume that system (VIII.e).u2) = (ce't(1+co(ce)'"°) eeu(1+c0(ct)'"0)) is a solution of system (VIII.3. 0 = c + (c. e). ee ")e'tdt = 0. r 2* h(Ce't. cent ) j of system (VIII. Let us look into Case II.4). cJ = c + h(c. t:.3) has the form (VIII.6. = ?(c. Fix c and c by the equations c = £ +T7r Then. {.6. as in Observation VIII63.6.ceut(l+co(et)"O)) . I ce1t(1+co(ct)"°) + h(ceit(1+co(ce)'"°). cett)e'Ldt 0 = 0. / 0 2x H(s. Now.7) t.6. hence. we obtain I 0 0 Zx h(ceic. e) and c(e.3. Observation VIII64. celt(1+co(ct)"O) ) is a formal solution of system (VIII.e+ =2(c' i!)) and eett + h(&'t. we can prove that two formal solutions ce`t +h(ce". c) and t.Ce't) v'(t.6.6. Then.6. The first of these two is convergent. the formal series ce't(I+co(ce)'"0) + h(ceit(l+co(ct)"'O).2) with a complex arbitrary constant c.ee't(l+co(ct)"'0) eett(1+c0(ct)'"0) + h(eeit(t+co(ct)'"O). c). ANALYTIC SYSTEMS IN R2 259 Using (VIII. {)e'sds.2) dtl = iul(l + co(u1u2)'0). = e + ?(c.2) which depends on two real arbitrary constants. Again. c) are convergent power series in (c. This finishes Case I. )e"ds and e = { + 2 J2w H(s. the second is also convergent. c).6. ee't(1+c0(ct)_0)) (FS2) v = f (u') = ee't(1+c0(ce)'"0) + h(cett(1+co(ce)'"° ).
p(cz)P P=1 and `T(cC) J/ 0 {e + H(s. on the righthand side of system (VIII.1) can be constructed by using various transformations of (VII.P are real (cf. The general solution of (VIII.1) or (VIII. Thus. . This implies that 1/7+o C(S.6.6. the proof of the convergence of A g) in Case II is completed. c(l. E[c.7) with respect to (c.6.ce1e(1+co(Ce)m°))J x efs(1+G)(cz)m°)ds = c 1 + Ehp+l..3..9) as equations for P({."O)ds L + +00 h(ceps(1+Co(cr)m0). e].6. t) = T(c(.9) Using (VIII.6. it was proved that if all of the coefficients w. (VIII.£). ) } +oo e'8(1+co(cc)"° )ds 1 + t he+1.6. e).8) becomes (VIII. ) and 4) are convergent.(1+c0(c4).e. we obtain two power series in c= Set and e = e( . £)).1) which bring the system to either (VIII. e). the point (0. Periods of solutions in t are independent of each solution in Case I..6. but depend on each solution in Case H.6. STABILITY as formal power series in (c. C(l.P(cz)p P=1 C(Cr/ since the quantity hP+1..1). (Here. Hence. £). =[c. T(ct) 0 {{ese T(cz) + 1Cesa(1+co(ct)'"°) H(s. This series has a formal period T(cc) = 27r 1 + co(ce)m0 with respect to t. i.8) v(T(cc). C) Solving (VIII.4)).) On the other hand.3) are real.3. E(c. This proves that ) is conver gent. it can be shown that the formal power series is convergent. c) (VIII. Then. t)e(. Thus. (VIII. 7) . some details are left to the reader as an exercise.6.S)C(CS) [(CO) 1/ J is convergent.6. c]) E(e.6.e..2).6.0) is a center of system (VIII.260 VIII.
VIII7. The argument given above does not apply to the case when the righthand side of (VIII. see [Huk5].7. 26] and §VIII10).1) is of C(O°) but not analytic. 261 Remark VIII65. this system is and dt = rh(r2) and periodic solutions are given by r2 = 1 MR d with any integers nt. it is also assumed that the initialvalue problem (VIII.7. This is an example of centers in the sense of Bendixson (cf. in this chapter.7. Hereafter. PERTURBATIONS OF AN IMPROPER NODE AND A SADDLE PT. (ii) the entries of the R2valued function §(y) are continuous in g E JR2 near 0' and satisfies the condition (VIII. [Ben2.3) neighborhood of 0.7.1) by setting A = of (o) i9 aft 0z' Lof2 8x1 (o) eft 19x2 (o) and ( ) aft az2 g(y)=f(y)Ay. write the differential equation dt = f(E) in form (VIII.6.O). df = Ay + §(y).1) dy _ dt Ay + §(y). the structure of solutions of an analytic system in JR2 was showen by means of the method with power series. A counterexample is given by 2 _ dt [h(1) h(r) y' r2 = Y1 + y2+ where h(r2) = e1jr2 sin I changed to r I. when the entries of an 1R2valued function f (Z) are continuously differentiable with respect to the entries z1 and z2 of i in a neigh borhood of i = 0 and f (0) = 0. In this section. g(0) = g has one and only one solution as long as g belongs to a sufficiently small Remark VIII71. we consider a system (VIII. . p.2) yo Iy1 lim 9(y) = 0.7. under the assumption that (i) A is a real constant 2 x 2 matrix. In the case. For more information concerning analytic systems in JR2. Using the polar coordinates (r. Perturbations of an improper node and a saddle point In the previous section.
in terms of the polar coordinates (r. sin w cos w = 0.7. Figure 13). i cos2(B) + a22 sin2(9) + (a12 + a21) sin(g) cos(9)] (VIII.7. and at least one of them is negative.7. 0) in the gplane. B) as follows: d=r[a. In fact.7.e.4) + 91(1 COs(0) + 92() sin(g).1) is written in terms of (r.AI) sin w cos w as t + +oo or oo. there exists a positive number ro > 0 such that dt < Air for 0 < r < ro.. This implies that w = 7r.7r + e < 0 < . 9(t)) is a solution of (VIII. distinct.7. r de dt dt = dy1 sin(g) + dye cos(9). or 2 Observation VIII73. Observation VIII74. e<e< 2  I<0 +e<0<ire. i. Throughout this section.Ai )sin (0) cos (0) + r Observation VIII72. Then. write the vector g in the form y=r [c?}. A2 > Al and Ai < 0. 0). .5) dt = d9 r [Ai(cos(8))2 + A2(sin (e))2 + (e) + g2(g)sin (e))] (e) + 92(y)cos (e)) 1 = (A2 . we consider the case when the two eigenvalues Ai and A2 of the matrix A are real. Then. Hence. a22 = A2.e. then d8 * (A2 .  0. dt dt In this section.1).0) is not a proper node of (VIII. 7r.7.all) sin(e) cos(0)] . If 0 > A2 > Al. if (r(t). assume that all = Al.+oo or oo. For any given positive number e > 0.1) can be writen in the form (VIII. if 0 < r < p(e) (cf. system (VIII. there exists another positive number p(e) > 0 such that >0 de dt for for for for .262 VIII. r dte =r[a12 sin2(0) + a21 COS2(0) + (a22 . STABILITY Using thepolar coordinates (r. where A = all a12 J and g"(y) = [iW)l Here.e.91(y) sin(g) + 92 M cos(e). use was made of the formula a21 22 92 M dr = dt dy1 dt cos (9) + dye sin(6).5) such that r(t) 0 and e(t) + w as t . The point (0.2 . and a12 = a21 = 0. system (VIII. <0 >0 2 IT + e << 0 < .
Furthermore.e. In the case when 1\2 > 0 > AI. Observations VIII72 and VIII73 show that the behavior of orbits of (VIII. Observation VIII76. 0 < r < p} looks like Figure 15. Set a = sup(w : w E 0). FIGURE 14.1) such that r(0) = p and 0(0) = w leaves the sectorial region S through the boundary 0 = E. .E.+oo to initial data (cf.7. wo + E <0< (7r . FIGURE 161. FIGURE 162. (i) IwI 5 E. (7r .1) in the sectorial region S = {(r cos 0. there exists another positive number p(E) > 0 such that >0 dr dt <0 >0 <0 for for for for (wo . if 0 < r < p(E) (cf. PERTURBATIONS OF AN IMPROPER NODE AND A SADDLE PT. 8(t)) of (VIII.1) such that r(0) = p and 0(0) = a satisfies the condition lim r(t) = 0 and Iim 6(t) = 0.7.E. . for any given positive number 2 E > 0.7. This can be shown by using the continuity of orbits with respect +00 c. r sin 0) : $6 < E. ja$ < E. FIGURE 15. Figures 161 and 162). Then.wo) . Denote by fl the set of all real numbers w such that (ii) the orbit (r(t). Here. B(t)) of (VIII.wo) + f < 8 < (7r + wo) E. 263 Observation VIII75. the orbit (r(t).7r) + E < 0 < "lo .3). If two positive numbers f and p are sufficiently small. FIGURE 13. Figure 14). find a real number wo such that 0 < wo < 2 and tanwo = 1. Then.7.wo + f < 0 < wo . use was made of the uniqueness of solutions of initialvalue problem (VIII.7.
This is the general situation.264 VIII. In the case when A2 > 0 > A1. FIGURE 17.7. Observation VIII79. as the following example shows. (b) p is continuouslv differentiable in y" on e . Set 9(y) = (l4(y) .7) ddll = \01 dt = AM + (µ(y) . define two regions Do and DI in the y"plane as follows (cf.6) 51 A3 >1+ v. 0 < yl}. DI = 2 . and (d) µ(y') = A2 on DI.7.{(0. Figures 17 and 18 indicate that there are many orbits tend to the point (0.0)}.7. Fixing two positive numbers c and v. Furthermore.1) as t + +oo (cf. the point (0.A21y2 . Observation VIII78.0) is a saddle point of (VIII. 9(y) = 0 if y" E Dl.A2) Y21J 0 Then. and I9'(y)I = I (µ(y) . Let µ(y) be a realvalued function such that (a) u is bounded on tit. Figure 17). Figure 19): U < yI}.7. the point (0.A2)y2I 5 KIy2I < K(1 + E)yi"" 5 K(1 + e)Iyj1+ where K is a suitable positive constant.1) (cf.19: Iy2I 5 (1 + E)yi+U. FIGURE 18. 11121 5 (1 + ()y1+" if y"" D1.0) in the direction 0 = 0 as t +oc. (c)U(y) = A3 on Do. 0 < yl. A2. 'D0 = (!7: Iy2I < yi+f. STABILITY Observation VIII77. and A3 so that Al < 0. Choose three real numbers A1. In the case when 0 > A2 > A1. Figure 18). 0) is a stable improper node of (VIII. Consider the system (VIII. and (VIII. A2 > Al.
Assume that all = A1.+oo for t > 0. lim t+co 01(t) b2(t) = 0.7. y2 = y1 ' . Figure 20). 1) that tends to the point (0. The existence of such orbit is seen in previous observations.\I91(y1u) 1 ( VIII. and a12 = a2I = 0. (VIII. and that (1) A2 > \1 and Al < 0.7. t+oo t+oo (I +E)Yj (I +e)Yi FIGURE 19. Now. lim 02(t) = 0. FIGURE 20. then db2 dy1 = (. (4) a9(y 2 exists and is continuous in a neighborhood of 6.7.1) in the form I (VIII. urn 01(t) = 0.7.V 2 1/i Hence. 265 If y"(0) E Do.6) implies that g(t) E Do for t > 0.8) dye = 1\2Y2 + 92(Y) _ dy1 AIyI+91(91 \Y1 All yz + a y192(y . introduce a new unknown u by y2 = y1u 1or u = becomes 1 y2 Then. Next. (cf. condition (VIII.7.+ u du dy1 = (L2) u+ 1 + '\ Iy1gI(y1u) .\I . Observation VIII710.9 ) y1. rewrite (VIII. there is only one orbit of (VIII. a22 = A2.o " = lim lye 0. lim r(t) = 0.+oc. If we assume some condition on smoothness of §(y). there exists a unique orbit y(t) _ [01(1)1 such that 02(t) 01(t) > 0 i t.8) JI2u 1y192(YIU) . Then.7. Theorem VIII711. Proof. PERTURBATIONS OF AN IMPROPER NODE AND A SADDLE PT. (2) g(j) is continuous in a neighborhood of (3)y. To show the uniqueness of such orbit.7. 0) in the direction 9 = 0 as t . and lim 9(t) = 0.(Aty1)291(Y) 1+ 1 91()J) AIYI yI.!) .
slim K(yt) =0. lim i2(yl) = 0.'2(y1) are defined for 0 < yi < r) for some sufficiently small positive number 'I.u). where K is a nornegative number and v is a positive number. u) . Observe that (a) 161 = 1 if Jul < 1.0 dyi 0 < y1 < 17.1) dt = All + where y" E R2. 92(yiu) . (iii) 1§(y )l < K!y"l1+i in a neighborhood of 6. Furthermore. By virtue of uniqueness. The main result is the following theorem. Set '(yi) = 01 (y1) . u) =  91(yl U 1 + 9i(y1iZ) aiyi It is easy to show that lim 5:u (y1. Therefore. under the assumptions that (i) A is a negative number. This implies that d [y1 "V. The materials of this section are also found in (CL.9) such that (1) ti i (yi) and .G(y1.7.7. v)! < K(yi )lu . .vl whenever Jul < 1. !v! < 1 and !y1! is sufficiently small.1 I u + G(yi.a 1 l A2u G(yi. STABILITY where u = [:1]. for a sufficiently small positive r?. 0 < y1 lim yi 'W(yi) = 0 for Y:.9) in the form Q 1 . Write system (VIII.s (yi ). Then. d y1 )tt'(yi) for 0 < y1 < i . Hence. y2) = d. and (c) i .(yi)j < 0 for 0 < yi < rj. Perturbations of a proper node In this section.1 < 0. (2) vl lim i'1(yi) = 0 and o+ v.1(yi) = 0 for 0 < y1 < r).266 VIII. u) = 0 uniformly on Jul < 1. (ii) the entries of the R2valued function g(y} are continuous in a neighborhood of 0. §§5 and 6 of Chapter 151. Let u = 01(yi) and u = ip2(yi) be two solutions of (VIII. (b) L (d) = U 0 Y2 g(0. we consider a system of the form (VIII. where 7 = 2 1 I < 0. Hence.8. J VIII8. . there exists a nonnegative valued function K(yj) such that ac v o !G(yi. assume without any loss of generality that y(yi) > 0 for 0 < yi < ri.
Before we prove this theorem. zl(s) = r(ir)sin(r(i)2s + 6(rl)). PERTURBATIONS OF A PROPER NODE 267 Theorem VIII81. where z2(s) = r(i)7)cos(r(17)2s + 0(r1)). Example VIII82. the point (0. introduce a new independent variable s by s = 2e2t.8. 0) is a stable proper node of system (VIII.2) satisfies an initial condition (VIII.8.4) is the solution of the 2l initialvalue problem ds = r(7)2 f zz z" C 2 / = rj.2) to (VIII.8. where (VIII.8. +oo. 9(y _ (yi + y2) [ y where y E R2 with the entries yl and y2 It is known that the point (0.8. Next.3) by the transformation y' = e'Z.1) as t .8.8.)2 + (m)2.8.8. z.2) dt = y + 9(yj.4) Observe that ds g(z) If a solution y(t) of system (VIII.6) Hence.8. change (VIII. Look at the system (VIII.5) 9(o) = n = 171 ?12 ' the corresponding solution z(s) = et y'(t) of system (VIII. system (VIII. To find the general solution of (VIII.2). (0) = r(rl sin 111 = r(i) sin( 2 0(rl 2 { Z2(0) = r(n7) cos in = r( n oos ( . Under the assumption given above.8.8. Then.3) becomes (VIII. r(i) = (n.0) is a stable proper node of the linear system dt = y. we illustrate the general situation by an example.
By virtue of the assumption given above. estimate (VIII. Every orbit of (VIII. Furthermore. We show first that the point (0. there exists a positive number ro such that (cf.7.8.1) in the form dr (VIII.4)).2) goes around the point (0. Remark VIII83.8. 9(0) = w.8. To start with. Exercise VIII10).6). Proof of Theorem VIII81. 0) is a stable proper node as t + +oo.2) is yI(t) = etr(7f)sin (L(7 a2t y2(0 = etr(771 cos 2 (!2e_2t where y(0) and r(fl) are given by (VIII. respectively.8.8) 2Ar < Ar + gi (y)cos(9) + g2(y) sin(g) < 2r < 0 for0<r<ro. FIGURE 22.8. where p is a positive number and w is a real number.8.9) r(0) = p. This solution exists for t > 0. (VIII. write system (VIII. the point (0. Figure 21).7) satisfying the initial condition (VIII.8.268 VIII.8. STABILITY (cf. 9(t)) be a solution of (VIII.5) and (VIII. 0) is a stable node.8) implies that the function r(t) satisfies . 0) only a finite number of times. If condition (iii) of the assumption given above is relaxed. let (r(t). FIGURE 21.8. Figure 22 shows that the point (0. To do this. We prove Theorem VIII81 in two steps.8. r t = g1(y) sin(g) + g2(y COs(9) (VIII. using the polar coordinates. The general solution of (VIII. 0) may become a stable spiral point (cf. Step 1.7) J dt dO = Ar + gI (y) cos(9) + g2(y) sin(g).
find a solution (r(t).8.. _ _ t. the variable t can be regarded as a function of r. Estimate (VIII. ). Selecting a sequence {pm : m = 1.0 JP F(s. 4(s))ds exists. In this step.. 0 ) _ gi (y)sin(g) + g2(Y)cas(e) r[Ar + g1(y) cos(0) + g2(y) sin(0)J Let 0 = 4D(r) = 0(t(r)) (0 < r < ro) be the solution of (VIII.8. 2. 2.1) as t Step 2. we prove that the point (0. where t(p) = 0 and lim t(r) = +oo. I(s))ds (0 < r < ro)..+«. $(s))ds = Now. (VIII. Therefore.8.8. for a given real number c. 0(t)) of (VIII.e.7) such that rim 0(t) = c and t +oo r(t) = 0. } of lim t+oo positive numbers such that 0 < p. t'+oo lim 0(t) =w+ JP Thus.. . Observe that 0(t) = 4(r(t)) = w + lim r(t) t+oo to J r(t) P P F(s... 2. PERTURBATIONS OF A PROPER NODE 269 the following two conditions: (a) r(t) is strictly decreasing as t + +oo and (b) lim r(t) = 0. 0) < ar2 (I g1(y)I + Ig2(y1I) 0 < r < ro. To do this. +00 Since r(t) is strictly decreasing for t _> 0. 10 ) d9 Tr F (r. Om(s))ds. 4m(s))ds (m = 1. 2.. ).gt (y sin(0) + 92(Y) cos(0) I F(r.... (VIII. by virtue of condition (iii). . respectively.0) is a proper node. the improper integral lim r r. lim F(s. 4)m(r) = c + jP1. 0). we conclude that the point (0.8. < ro and lim pm = 0.10) satisfying the initial condition (b(p) = w..0) is a stable node of +oc. Use r as the independent variable. . Set Cm = o . Those functions are defined for 0 < r < ro.. and c+/r P F(s. we obtain (c) 0 < r(t) < p for t > 0. Then.8. Then. (s))ds and that 0 = 0. 8 . Therefore.8) implies that 2Ar2 for I .. F(s.7) becomes ( V1II . define a sequence of functions {cm(r) : in = 1. fi(r) = w + JP r F(s. } by the initialvalue problems d0 WT = F(r. i. t = t(r). 0(Pm) = c (m = 1.
. } is bounded and equicontinuous on the interval 0 < r < ro.. galyl +oo.8. Therefore.9. (ii) the entries of the L2valued function ff(y) is continuous in a neighborhood of the point (0. (iii) lira MI = 6. 0) is a stable spiral point of (VIII.. The main result is Theorem VIII91. Perturbation of a spiral point In this section.1) as t Proof.1) all = a22 = a < 0 and a12 = a21 = b 0 0.0). 7.(s))ds 0 (m = 1. . 4b. +0 0 The materials of this section are also found in (CL. Since the sequence {4D m(r) : m = 1... = Ay".. Set 0(t) = $(r(t)). Define r(t) by the initialvalue problem dr dt = )r + 92(17(r))sm(4'(r)). = c. 7(r) is a solution of (VIII.(s))ds (0 r ro)..(0) = c. +oo if (0.. Assume that (VIII.. If (i) two eigenvalues of A are not real and their real parts are negative.. B(t)) is a solution of (VIII. 0) is a stable spiral point of the linear system the following theorem. where g(r) = r [c?1]. 4.1) as t . It can be shown easily that fi(r) = c + fF(s. then the point (0..7.270 VIII.8. §3 of Chapter 151...0) is a stable spiral point of (VIII.7) such that limo 0(t) = 1i mt(r) = c. it is easily shown that (r(t). STABILITY lira c.10) such that rim 1(r) = c. (r) = cm + J r F(s.. ) for 0 < r < ro. The function r(t) is defined for t > 0. VIII9.. t and tends to 0 as t 4 +oo. Then. assume without any loss of generality fi(r) exists uniformly on the interval 0 < r < ro (otherwise that lim M +00 choose a subsequence). is decreasing.2. and m=+oo Then. r(0) = ro. we show that (0. 2.
10. . Perturbation of a center We still consider a system (VIII. 0 The materials of this section are also found in fCL. while de > .7.4) becomes dr (VIAssume b J [°b and system (VIII . 1at rt Therefore. 10 .7.) of positive numbers such that lim p. whenever 0 < r(0) < ro. the solution r(0. p) of (VIII. a positive number ro can be fouind so that r(t) < r(0) exp t +oo J for t > 0 if if 0 < r(0) < ro. 2..2) satisfying the initial condition r(0.10. If there exists a sequence (pm : rn = 1.. 1) _ (0) .7. = 1.7.+00 =0 and r(2xr. where b is a nonzero real number..0) is a center of (VIII.10..91(y) sin(g) + g2(Y)cos(0). In this section. Therefore.4). 0) is a stable spiral point of system (VIII. Observe that system (VI I I. m.1) can be written in the form (VIII. then the point (0. dt = 91Mcos (0) + 92(y)sin dt dB = b + r 1 (B) + 92(y')cos (B)). .7. 261 (cf. lim00(t) = oo if b > 0 and lim 0(t) = +oo if b < 0.2 if b < 0. whenever 0 < r(0) < ro. This. p) = p exists for 0 < 0 < 27r.1) as t + +oo.1) under the assumption that the entries of the RIvalued function §(y) is continuous in a neighborhood of 0 and satisfies condition (VIII. ). Case 1.2) dr = d8 91(y')cos (0) + 92(y)sin (0) b + r (91(yjsin (0) + g2(y')cos (0)) If a positive number p is sufficiently small...7. in turn. PERTURBATIONS OF A CENTER 271 Then. 2.2). it follows that dr dt ar + 91(yjcos(9) + 92(ylsin(g).10. Pm) = Pm (m. implies that lim r(t) = 0 and that dt <  2 b > 0. . from system (VIII. we show that if the 2 x 2 matrix A has two purely imaginary eigenvalues Al = ib and A2 = ib. then the point (0. Figure 23).0) is either a center or a spiral point of without any loss of generality that the matrix A has the form (VIII. we conclude t too that (0. p. §3 of Chapter 151 VIII10. = br .1) in the sense of Bendixson (Bent. Thus.
272
VIII. STABILITY
Case 2. Assume that b < 0. If there exists a positive number po such that
r(2ir, p) > p
(respectively < p)
whenever 0 < p < po, then the point (0, 0) is an unstable (respectively stable) spiral point as t  +oo (cf. Figures 241 and 242).
FIGURE 23.
FIGURE 241.
FIGURE 242.
Example VIII101. The point (0,0) is a center of the system
d
dt [y2J
[ yuj
+
yi +y2 I
yy1J
since
dr
d8
= 0.
Example VIII102. The point (0, 0) is an unstable spiral point of the system
d
= [ Y2
dt
l
Y2
l
Yi J
I + ` y 2 + Y2 yI 2
Y2
1
as t  oc, since dr = r2, which has the solution r = ro1 t r(0) = dt
r
+oo when t
ro. (Note: t < ro.)
ro
and
Example VIII103. For the system
dt
Proof.
=  y,
d y = x + x2  xy +
cry2,
the point (0, 0) is (a) a stable spiral point if a < 1, (b) a center if a = 1, and (c) an unstable spiral point if a > 1.
Use the polar coordinates (r, 0) for (x, y) to write the given system in the form
(1+rcos8(cos20cos0sin8+asin28))
= r2sin8(cos28cos0sin8+asin20).
10. PERTURBATIONS OF A CENTER
273
Setting
too
r(9, c) _ E r,,, (9)c"', where r(0, c) = c,
m=1
and comparing r(2r, c) and c for sufficiently small positive c, it can be shown that
r1(t) = 1,
r2(2r) = 0,
r3(2r) =
(1 + Or
4
Thus, r(27r, c) < c if a < 1. Therefore, (a) follows. Similarly, r(2r, c) > c if a > 1. Therefore, (c) follows. x2  xy  y2 = (x  +2 ) (x  (12 ) . Set In the case when a
W =  (1
X  (1 +
2
Then. a =
and v = x  (1 du
dt
(1
Therefore, changing x and y by u =
,/)y
2
)y, the given system is changed to
dv
Wv(1 + u),
= u(1 + v).
Hence, on any solution curve, the function
W2(v
 ln(1 + v)) + (u  ln(1 + v)) =
u2
t2W2v2
+
is independent of t. This implies that in the neighborhood of (0, 0), orbits are closed
curves. This shows that (0, 0) is a center. 0
Example VIII104. The point (0,0) is a center of the system
dy dt
= bAy' +
9(y),
y= y'J y2
1J, (3) the entries of the R2
if (1) b is a nonzero real number, (2) A = 101
valued function g"(yj is continuous and continuously differentiable in a neighborhood
of 0, (4) lim
g6 1Y1
"
= 6, and (5) there exists a function M(y) such that M is positive
valued, continuous, and continuously differentiable in a neighborhood of 0 and that 8(Mf1)(y) + 8(M 2)(y..) = 0 in a neighborhood of 0, where f, (y) and f2 (y) are
the entries of the vector MY + §(y).
Proof The point (0, 0) is either a center or a spiral point. Look at the system
dt
=bAy + 9(y)
and
7t = M(y
274
VIII. STABILITY
Using s as the independent variable, change the given system to ds = M(y)(bAy+ g"(y)). Upon applying Theorem VIII17, we conclude that (0, 0) is not asymptotically stable as t  ±oo. Hence, (0, 0) is a center. The materials of this section are also found in [CL, §4 of Chapter 15] and [Sai, §21 of Chapter 3, pp. 891001.
EXERCISES VIII
VIIII. For each of the following five matrices A, find a phase portrait of orbits
of the system
d:i
= AY.
I 14
1]'
[ 11
31 '
[ 15 11]'
5
[1
1
5
VIII2. Find all nontrivial solutions (x, y) = (d(t), P (t)). if any, of the system
xy2, _ x4y(1 + y) dt = satisfying the condition lim (th(t),tb(t)) = (0,0). c.+00
VIII3. Let f (x, y) and g(x, y) be continuously differentiable functions of (x, y) such that
(a) f (0, 0) = 0 and g(0, 0) = 0,
(b) (f(x,y),g(x,y)) # (0,0) if (x,y) 0 (0,0),
(c) f and g are homogeneous of degree m in (x, y), i.e., f (rx, ry) = rm f (x, y) and g(rx, ry) = rmg(x, y). Let (r, 8) be polar coordinates of (x, y), i.e., x = r cos 8 and y = r sin 0. Set F(8) = f (cos 0, sin 8) and G(O) = g(cos 8, sin 8).
(I) Show that
(S)
dr dt
d8
= rm(F(8) cos 8 + G(8) sin 8), = rm1(F(8)sin8 + G(O)cosO).
dt
(II) Using system (S), discuss the stability property of the trivial solution of each of the following three systems:
(i)
4ii
= x2

y2
dt
= 2xy;
= y3(x2 + y2);
= x3 (x2 + y2)  2x(x2 + y2)2,
(iii)
d
= x4 
6x2y2 + y4,
dy = 4x3y  4xy3.
EXERCISES VIII
275
VIII4. Let J be the 2n x 2n matrix defined by (IV.5.2) and let H be a real constant 2n x 2n symmetric matrix. Show that the trivial solution of the Hamiltonian system
a = JHy is not asymptotically stable as t
+oo.
V11I5. Show that the trivial solution of the system
dy'
d = Ay" + 9(t, y)
+oo if the following conditions are satisfied: is asymptotically stable as t (i) A is a real constant n x it matrix, (ii) the real part of every eigenvalue of A is negative, (iii) the entries of the IRIvalued function g(t, y) are continuous in the region
0(ro) = To x D(ro) = {(t, yl : 0 < t < +oo, Iyj < ro) for some ro,
(iv) g(t, yj satisfies the estimate
19(t, y)
1
_<
eo(t, y')Iyj
for
(t, y) E o(ro),
+Ii7 .o
where Eo(t, y) is continuous, and positive, and fun
Eo(t, y) = 0 in L(ro).
VIII6. Show that the point (0, 0) is a stable improper node of the system
dy = Ay + Ng + 9(y),
where (1) A is a negative number,
y = Iyil,
(2) N is a real constant nilpotent 2 x 2 matrix and N # 0,
(3) the 1R2valued function y'(yj is continuous in a neighborhood of (4) 19(y) 11 cly1I+" for some positive numbers c and v in a neighborhood of
CA
Hint. Suppose N =
0 0
0
2
.
If we set yj = r cos 0 and y2 = r sin 6, we obtain
d
where 9"(y'i =
= r IA _
EA sin2 cos 0
+ 9i (y)cos 9 + 92(y)sin O
,
{9i].
92(V
Hence, if r(0) is small, r(t) is bounded by r(0) and
This implies that if 1#(0)I is small, g(t) is bounded
lim t+0 r(t) = 0 for t > 0. 
and lim y(t) = 0'. Look at
t+o
y(t) = eAtetN {(o) +
sN9(y($))d$]
276
VIII. STABILITY
If we set y(t) = e' e'Nu, we obtain
d(t) = y(0) +
Choose e > 0 so that 1  e >
6(+
exists.
Now,
r eaaeaN9(g(s))ds.
0
1
Then, condition (4) implies that
+
+00
0
= 9(0) +
eaae_a'
(1) if d(+oo) = 0, then d(t) = 0 identically, since, in this case,
d(t) =
(2) if t7(+oo) =
f
eX$eajV9(y(s))ds;
+a
0 0, then t linea`y"(t) = i"(+00);
(3) if iZ(+oc) = RZJ with 2 # 0, then limo ( e _)
L
02
Hence, the point (0, 0) is a stable improper node of the given system.
VIII7. Determine whether the point (0,0) is a center or a spiral point of the
system
dt
= y,
dt = 2x + r3  x2(2  x)y.
VIII8. Show that the point (0, 0) is the center of the system
dt = y
VIII9. For the system
+ xy3  y7,
_ x + xy2  yg.
Hint. This system does not change even if (t, y) is replaced by (t, y).
3y + 5x(x2 + y2), dt =
dty = 27x + 5y(x2 + y2),
find an approximation for the orbit(s) approaching (0,0) as t  +oo. VIIIIO. Show that the point (0, 0) is a stable spiral point of the system
d
[y,]
y2
dt
 yIn yi + y2 
[yj
+
1
[
y2
yi
as t++oc.
EXERCISES VIII
277
Hint. If we set yl = r cos 0 and y2 = r sin 0, the given system becomes
dr _
dt
dO
1
r'
dy _
dt = In r'
VIII11. Suppose that a solution ¢(t) of a system
dt
AJ + §(y)
satisfies the condition
lim 4(t) = 0 tr
for a positive number r. Show that if (1) A is an n x n constant matrix, (2) the ndimensional vector W(if) is continuous in a neighborhood of 0, (3) lien 9(Y) = 0,
V6 !y1
then ¢(t) = 6 for all values oft. (Note that the uniqueness of solutions of initialvalue problems is not assumed.) VIII12. Assume that (i) AI.... .. 1n are complex numbers that are in the interior of a halfplane in the
complex Aplane whose boundary contains A = 0,
(ii) there are no relations \, = plat + P2 1\2 + + pnan for j = 1, ... , n and nonnegative integers p,,... , pn such that pi +   + pn >_ 2,
(iii) f(y' =
jp1>2
yam' ft, is a convergent power series in ff E Un with coefficients
fpEC'.
Show that there exists a convergent power series ((u) _
Inl>2
ul'Qp with coefficients
_
Qp E Cn such that the transformation if = u" + Q(ur) changes the system  _
A#+ f (y) to
dx
dg
dt
VIII13. Show that the trivial solution of the system
j
= Au, where A = diag[.1t, A2,4, ... , A ].
dr
 st(x +X22) + x2ezl+ 2,
dt
22(22 + 22) _ Xlez'+ 2
is aymptotically stable as t
system.
+oo. Sketch a phase portrait of the orbits of this
is not real,
VIII14. In Observation VIII62, it is stated that if one of the
then y" is a spiral point. Verify this statement.
VIII15. Discuss the stability of the trivial solution of the system
j1 = x21
as t  +00.
722 = xi(I  x1)
278
VIII. STABILITY
VIII16. Find the general solution of the system
= 223 + 2j + X122 + 22,
= 3x4 +
explicitly.
+ X122 t 2122 + 21X3 + x223,
CHAPTER IX
AUTONOMOUS SYSTEMS
In this chapter, we explain the behavior of solutions of an autonomous system dg = f (y). We look at solution curves in the yspace rather than the (t, y)space. dt Such curves are called orbits of the given system. In general, an orbit does not tend to a limit point as t + +oo. However, a bounded orbit accumulates to a set as t 4 +oo. Such a set is called a limitinvariant set. In §IX1, we explain the basic properties of limitinvariant sets. In §IX2, using the Liapounoff functions, we explain how to locate limitinvariant sets. The main tool is a theorem due to J. LaSalle and S. Lefschetz [LaL, Chapter 2, §13, pp. 5671] (cf. Theorem IX21). The topic of §IX4 is the PoincareBendixson theorem which characterizes limitsets in the plane (cf. Theorem IX41). In §IX3, orbital stability and orbitally asymptotic stability are explained. In §IX5, we explain how to use the indices of the Jordan curves to the study of autonomous systems in the plane. Most of topics discussed in this chapter are also in [CL, Chapters 13 and 16], [Har2, Chapter 7], and [SC, Chapter 4, pp. 159171].
IX1. Limitinvariant sets
In this chapter, we explain behavior of solutions of a system of differential equations of the form
(IX.1.1)
dg
fW
where y" E Ill;" and the entries of the RIvalued function f (y) are continuous in the entire yspace II8". We also assume that every initialvalue problem
(IX.1.2)
dy
dt
= Ay),
y(0) = if
has a unique solution y = p(t, y7). System (IX.1.1) is called an autonomous sys
tem since the righthand side f (y) does not depend on the independent variable t.
Observe that p(t + r, r) is also a solution of (IX.1.1) for every real number T. Furthermore, At + r, rl) = p(r, il) at t = 0. Hence, uniqueness of the solution of
initialvalue problem (IX.1.2) implies that p(t +r, rt) = p(t, p(r, rt)) whenever both sides are defined. For each il, let T(rl) be the maximal tinterval on which the solution p(t, r) is defined. Set C(rt) = {y" = p(t, rl) : t E Z(rl)}. The curve C(rl) is called the orbit passing through the point il. Two orbits C(iji) and C(rj2) do not intersect unless they are identical as a curve. In fact,
(IX.1.3)
C(ijl) = C(i@
if and only if 7)2 E C(il, ).
279
280
IX. AUTONOMOUS SYSTEMS
If f (n) = 0, the point ij is called a stationary point. If , is a stationary point, the Generalizing property (IX.1.3) of consists of a point, i.e., C(17) = orbit orbits, we introduce the concept of invariant sets which play a central role in the study of autonomous system (IX.1.1).
Definition IX11. A set M C R is said to be invariant if i E M implies
C(n) C M.
For example, every orbit is an invariant set.
Remark IX12. If M1 and M2 are invariant sets, then M1 UM2 and M1 f1M2 are also invariant. For a given set f2 C 1R", let Ma (A E A, an index set) be all invariant subsets of S2, then U M>, is the largest invariant subset of Q.
AEA
Hereafter, assume that every solution p(t, nJ) is defined for t > 0, i.e., (t : t > 0) C Z(n). In general, lim Pit, nom) may not exist. However, if p(t, n) is bounded for t > 0, the orbit C(171 accumulates to a set as t + +oo. This set is very important in the study of behavior of C(n) as t + +oo.
Definition IX13. Let
k++oo
C+(i77)
denote the set of all
y"
E
II8"
such that
lim p(tk, n ) = y f o r some increasing sequence {tk : k = 1, 2, ... } of real numbers
lim tk = +oo. The set C+(n) is called the limitinvariant set for the
such that
k+oo initial point r7.
The basic properties of
are given in the following theorem.
Theorem IX14. If p(t, n) is bounded fort > 0, then C+(n) is nonempty, bounded, closed, connected, and invariant.
Proof.
(1) C+ (171 is nonempty: In fact, let {sk : k = 1,2,... } be an increasing sequence of real numbers such that lim sk = +oo. Since p(t, n) is bounded for t > 0,
there exists a subsequence {tk : k = 1, 2.... } such that lim tk = +oo and that
k.+oo
k.+oo
lim p(tk,
exists. This limit belongs to f_+ (17).
(2) The boundedness of C+(n7) follows from the boundedness of p(t,i7) immediately.
(3)
k+oo it follows that ilk = It must be shown that y" E L+(771. Since g k E lira p(tk,t, r 7 ) for some {tk,t : I = 1, 2, ... } such that lim tk,l = +00. Choose tk t+oo t.+oo
is closed: To prove this, suppose that
lim yk = y for 9k E L+(17).
so that lim tk,t,, = +oo and 19k  P(tk,t,,,'Th !5 ! Then, since ly  P(tk,t4, n)I k.+oo
k
+ ly  ykl, we obtain lim oP(tk,l,,, n) = y E C+(1_7) k
(4) C+(777) is connected: Otherwise, there must be two nonempty, bounded, and closed sets Sl and S2 in R" such that
>)) y"1 eo k k for all y E Jul.. So n C+(i) = 0. 3893911 and [Har2.. } so that lim at = +oo and lim p(at. St = {y" E DI : V(y) J(y) = 0}.. 5671]). k = 1. rl) E So. there exists a Tk for each k such that 2 and distance(p(sk. where 0 < ro < +oo. limo P140 7) exists.1) and the continuity k of P(t.. n) = k UM P(t. SO < y"1. IX2.e. So is not empty. } of real numbers such that Iii o tk = +oo and k lim o P14. 2. pp.. if p(t.. r) = # exist. Chapter VII. let us prove the following theorem (cf. SI) > tk < Tk < sk and p(Tk. . continuous. r)) tends to M as t + +oo. k+oosk = +oo..too fact in mind. Let V(y) be a realvalued. then p(t. L+(rf) Set d = distance(S{{l. §1. r)) is bounded for t _> 0 and if a set M contains . Y E So n C+ (Y)) = 0. ) of {rk : k = 1. Set fDt = J#: V (y) < e}.y21 Set also So = yl E S1. k li +co tk. i. (5) C+ (17) is invariant: It must be shown that if ff E C+ (r). pp. g: distance(y. pp.C+ (17). Suppose . lim inf(1p(t. From (IX. . Note that d > 1.. 2. r1)) = Pit. yl fl( F' a`. SI) = : and closed. and continuously differentiable function for Jyl < ro.. y) E L+(7). and ipjtk. This is a contradiction.2.) of lim lim real numbers so that tk < Sk (k = 1. . §1. Mt = the largest invariant set in St. Furthermore.. } of real numbers such that lim tk = +00. r). it follows that for each fixed t. Then. Theorem IX21. lim 1) V M. Chapter 2. y J1 yn . r). k+oo tk = +oo. Pptk. where Vi(y) ' f(y) _ ayJ fJ(y). r7) = 92. S2) = min{lyl . r) = 17. it is important to locate L+(rl). As a matter of fact.. } and {sk : k = 1.. and f( y) _ fn (y) .2.2. there must be a positive number co and a sequence {tk . (2) S1 U S2 0. Chapter 16. r)) as t +oo.. This is a contradiction. bounded. 2. In fact. and k lim G p1sk. t +a: Otherwise..1. LIAPOUNOFF'S DIRECT METHOD 281 (1) S1 n S2 = 0. Then. . Hence.y) of y". 2. El The materials of this section are also found in [CL. ). 2.. there exists a sequence {tk : k = 1. [LaL. r)) . Choose two points y"I E SI and 2 y ' 2 E S 2 and t w o sequences {tk : k = 1.. §13. Keeping this k. 1441461. Assume that limp P(tk. Then. k 2. Choose a subsequence (at : e = 1. y2 E S2}.. Liapounoff's direct method In order to find the behavior of pit.. then p1t. y) E L+(17) f o r all t E 11(y).yj : y E M) = 0.
r)1) = Vj(p(t. the following theorem is useful. V (r(t.' )). C+() C Mt for if E Vt. advance. y)) &I t. 47)) < 0 fort > 0. dt V (p( t. p(t. 1Q1+00 Proof. max(V(y) : 1yi <_ ro)1 . It suffices to consider the case when p(to.r7))' dtp(t. In order to use Theorem IX22. and Ip1ti.17)1 = ro for some tl > to. rl E Dt for t > 0 if ij E Vt. Case (1). rlI < r for t > 0. = V9(r(t. closed. The proof of this theorem is left to the reader as an exercise. it can be shown that V(p(t. (2) IP(t. Then. Hence. 71)) <_ max IV(P(to. t) E Vt. Theorem IX22. In this case. Ip(t. The following theorem is useful in many situations and it can be proved in a way similar to the proof of Theorem IX21. Set u(t) = V(p(t. then all solutions p(t. y)) = 0 for all y E C+ (q) and t > 0. Therefore. In this case. we obtain Vc(y) f (y) = 0 if y E C+(rl. Setting C St if i E Vt. po < u(t) and it E 1)t. the boundedness of p(t. and invariant (cf. Therefore. Consequently. Case (2). t))) for t > to. Assume also that the orbit p(t. tt") is bounded for t > 0. V(p(t. Then. d t) < 0 if Let po be the minimum of V(rl') for Iy7 < r. AUTONOMOUS SYSTEMS that there exist a mat number t and a positive number r such that 0 < r < ro.i) = du(t) < 0 as long as p(t. and Vg(y) f (y) < 0 on De. Hence. L+ (71) C M. p(t. If V (y) is a realvalued and continuously differentiable function for all y" E lR^ such that VV(y) f(y) < 0 for Iyi > ro. rte) is bounded fort > 0. To do this. L+ (17) C Me for all n E Vt. t = 0. dot) Therefore. Theorem IX14). and that lim V (y) = +oo. Then. Dt C {y : Iy1 < r}. Then.e.. Since C+(71 is invariant.n')I > ro for to < t < t. y)) = uo for all y E L+(171 and t > 0. Furthermore. lim u(t) = uo exists and no > po. V (r(to.282 IX.rl")). Proof. n) E Vt. rl) f (p(t. bounded. must be shown in Theorem IX23. There are two possibilities: (1) IP(t. r)7) are bounded for t > 0.rl > ro for some to > 0. VV(p(t. Let V (y) be a realvalued and continuously differentiable function for ally E lR' such that VV(y) f (y) < 0 for all y" E R". where ro is a positive number. This implies that u(t) < V(17) < e dt for r) E Vt as long as p(t. Set S = 1g: Vi(y) f(y) = 0) and let M be the largest invariant set in S. Hence. This implies that V(y) = uo for all y E C+(t)). connected. It is known that C+ (171 is nonempty. Hence. C Vt.r1)I > ro fort > to. i.
where it = [c?]. there exists another positive number b(e) such that distanee(p"(t. Definition IX33. However. Definition IX31. i)) is not stable as t +oc in the sense of Definition VIII11. It is easy to show that if r(n) . If C(ilo) = C(#.)) = b. then distance(p(t. with a different choice of b(e).p (b ff) I = r(il') + r(')2 ) since 1r(ffi)t+9(ili)11r(il2)t+9(il2)j = 6t (cf. An orbit C(sjo) is said to be orbitally stable as t + +00 if. Orbital stability In this section. We denote again by C(rf the orbit passing through fl. we introduce a concept of stability (respectively asymptotic stability) in a sense different from the stability (respectively the asymptotic stability) of Chapter VIII (cf. f2). the orbit C(ij) is orbitally stable as t + +oo for every i ) .3. . The following example illustrates these new concepts. 0 IX3. C(i )) = 0 This definition is independent of the choice of the point 4 on the orbit.) and if the condition of this definition is satisfied in terms of ilo. the choice of 6o depends on rjo. Figure 1). for any given positive number e. every nontrivial solution p"(t.1) = f (y. Also. Example IX32.3. if) is defined for t>0. C(rlo)) < c for t > 0 whenever 14 .rlo1 < b(e). = r(ij)sin{r(if)t + 9(f))). The orbit of the system d. Hence. then the same condition is satisfied also in terms of . Definitions VIII11 and VIII13).+00 if (i) C(ilo) is orbitally stable as t +oo.r(q) = b > 0 and 9(ili) = 9(ij2). Consider a system of differential equations (IX. (ii) there exists a positive number 6o such that lim whenever {il . ORBITAL STABILITY 283 in a way similar to Case (1). C(#. An orbit C(fo) is said to be orbitally asymptotically stable as t .iloj < 60.2] passing through the point ij = I ] is given by y2 yj = r(f[)cos{r(i))t + 9(t)}. [y2] = yl +y2 [ . The details are left to the reader as an exercise. Therefore. assume that every solution p(t. However. This definition is independent of the choice of the point ijo on the orbit C(ilo). i h ) . rl").
If n . then the periodic orbit C(rjo) is orbitally asymptotically stable as t4+oo.. iole°: for i EM and t>0 FIGURE 1. p. ito) = p1t. #(t + 1.e.2) is periodic in t of period 1.. There exists an invertible n x n matrix P(t) whose entries are realvalued.3.1) with respect to the solution pit. Assume also that the solution At. . Figure 2).3. Set pl = 1. . The system of linear differential equations (IX.3. (pit.. n)..3. Definition IV45).n .2) (cf. (2) there exist two positive numbers K and r such that Iu(t.. and periodic in t of period 1 (or 2) such that the transformation (1X. continuously differentiable. ijo).... We prove this theorem in five steps.. o)) d p1t. Step 1.e. rlo).1)dimensional manifold M in a neighborhood of the point so that (1) M is transversal to the orbit C(i) at ilo. Theorem IX34. . It suffices to find an (n .284 IX.3) 6 = P(t)v" .. FIGURE 2. p be the multipliers of (IX.2) has a nontrivial periodic solution fjt. linear system (IX. . The coefficients matrix of (IX. i"Jo) for oo < t < +oo) and that f'(p1t.i )I <. AUTONOMOUS SYSTEMS where the entries of the R"valued function f is continuously differentiable on the entire yspace W1. This implies that one of the multipliers must be 1. ijo)) 54 0. satisfy the condition ipiI < 1 (j = 2. i. Since 2 p(t.3. im).KIn (cf. Prof.1 multipliers p2. The following theorem gives a basic sufficient condition for orbitally asymptotic stability. rjo) is periodic in t of period 1 (i. p2. Let pi.3.2) di7 = Of is called the first variation of system (IX.p1t. the tangent of C(yo) is not in the tangent space of M at ilo.
1) x (n . Q(t).1) matrix (cf. w2)I < K(r)[w1 .3. assume that (IX.3. Since A = it follows that (IX. Set ti . 0') = 0. Note that det[P(t)] 56 0.10) (IX.1) matrix. there exists another positive number K(r) such that (IX. 6) = 0.10) becomes (IX.3. y(pit.7) y = z' + At.2) to (IX. w) = P(t)'h(t. w1) .3. = ti and w2 = 0.I(plt.3.3.t)o)) .3.3. Change (IX. Theorems IV41 and IV43).3.z) = f(z + pit.4) dt = AV. where Q(t) is an n x (ii . rlo) Tt to (IX. P(t)1 18 (p(t. jo))P(t) .3. 6) = 0 and az (t. Note that g(t.5) A fundamental matrix solution of (IX. A = [ 0 B. (IX.3.0 for t>0 whenever kw"II < r and I w2I < r and that lim K(r) = 0.3. exp[tA] = [1 o 0 1 exp[tBj J This implies that the first column vector of P(t) is a periodic solution of (IX.no)) It is easy to show that h(t. 6) = 0 and 8w (t. Since the absolute values of n 1 multipliers are less than 1.3. there exist two positive numbers Co and a such that for t > 0.t62I r.8) by the transformation i = P(t)w".qo))z Step 3.3.d (. P(t)w). where B is a constant (n .w)I < K(r)Iti'j for t > 0.1) by (IX.3. Hence.8) 8 ay(p1t. Iexp[tB] I < Coetot (IX.9) dt = Aw + #(t. Then. Step 2.2) is given by 1/(t) = P(t) exp[tA].3. z where h(t.2) and all the other columns of W(t) are not periodic. tip).6) P(t) _ [d AtA). ORBITAL STABILITY 285 changes (IX.12) jg"(t.t) L .g"(t. where g(t. This implies that for any given positive number r.11) 19(t. dt = no))z + h(t. Change (IX.
9) in the form (IX.&ds l +oo < K(ko at < 2IItLI  1211(&ot .3. (IX.s)BI g2(s. J+9i(s.16) and Then.3.3. £) are continuous for (IX. (IX.ii(s. from (IX.  ft 9i(s. AUTONOMOUS SYSTEMS Step 4. w(s. ))ds. Then. a solution w(t.())ds I l}} < kolleot for (1X.3.3.16).+u(s.13) dt = 9i(t.1)dimensional vectors w" _ V and g = I _ J .16) 1t1 < 60.10).t. and 6o so that Ico > 2. 0 where 1.3.14). 4)1 : t > 0) if the entries of an R"valued func tion t(i(t.3.&ds < K(ko[ itt eO°ds K(a and If1) exp (tBJ ( + jexE(t t f eo"ds 0 e2otlrj + S Se of I1+ K( (1 + ) < ko1 1eOL Next. System (IX. (IX. w). ro. where v and g2 are (n . In this step.3. t) of (IX.3.14) will be constructed in such a way that (IX. Let us write (1X. is an (n 1)dimensional arbitrary constant vector.11).15) for ko 1 ieot (IX. (1X.tG2(s.3.5). and a (IX.3.13) can be changed to the system of integral equations t J 111 u(t. ) = + f exp [(t . it follows that + t>0 and (I) t JL0 t9i (s. First fix three positive numbers ko. kobo < ro.286 IX.19).3.3. set lIJt ({) = sup (eot 1 (t. v(t. dv dt _ By + g2(t.14) + J00 p ( tB1 C))ds. where ko and bo are suitable positive numbers.3. and K (r) < 2 for 0 < r < ro.15).
18).16).3.3. t. This implies that 00 Step 5.11). })ds.(IV) < .6 = Then.15) for (IX.(t.3.3. are continuous (j = 1. f) = P(0)W (0. a + i?o = dP (0. (IX.))ds. i o)[ 5 Ko{f [e°` for (IX. we obtain (0.16).2[[i1  &IOeoc for (IX.3. )) and (t.6).3. Note that i(O. { is a solution of integral equations (1X.pjt.3. = 0 and f= ao g1(s.3. 76 40) + Q(O) 0. + rlo. where %ao(t. Define an (n . Set 00. where Ko is a positive constant. ORBITAL STABILITY and 287 f exp[(ts)B]92(s. exists uniformly for (1X. for (1X.3. det dp(0.18) Plt.3. z/i(s.3. J0t exp[tB) + exp[(ts)B]92(s.1) such that At.t. it can be shown without any difficulties that lim >im(t.3. (IX.2) for (IX.17).) 0 where a(t) = f gl (s.16).£)I < Let us define successive approximations as follows: ko1&OC 15m(t. f) . = L gm(t.(s.16) and the limit %i(t. 'b). (IX.vio) is a solution of system (IX. and (1X.3.1)dimensional manifold M by M = (g=4(0'6: 01<<601Using (IX.16) and that J .))ds t < Q f+ exp((ts)B](s.16) if the entries of R'valued functions 1(t. Q(0)] .14) satisfying condition (IX.3.3. ' m +oc m Then.
1/) is continuously differentiable on the entire f. t At. see. .1) has a periodic solution p ( t . Example IX36. there exist two vectors j2(t) E IR3 and 4fi(t) E L3 such that . . Moreover. (ii) n vectors Proof. For n > 3. Assume that (SI) has a periodic solution p(t. n) such that (i) the entries of vectors 9'J (t) (j = 2.3.P(t.1) with respect to the initial conditions. AUTONOMOUS SYSTEMS Thus.space lRn and system (IX. ¢(0. where n..'7) E M.288 IX. Set g1(t)= f (pit. Note that (t.... there exist n ..3... there is the recipe.il0){ <Koboe°` for t > 0. 0 For this construction. there exists a constant vector i71 such that nl ill = 1 and that ili + qi (t) A 0 for 0 < t < 1. . If n = 2.18) implies that 1pit+r(17).q . To illustrate this application.. ... define  Q'n(t) = T)n  +ai(t) (rJi + ji(t)) on(t) (1 = 2. irjo) of period I such that f(plt. .. let us look at a system dy dt =f where f is an 1R3valued function whose entries are continuously differentiable on the entire. no)) f (pit. The orthogonal system of Remark IX35 is useful to study solutions of (IX. n) are continuously differentiable and periodic in t of period 1. In this case. by continuity of the solutions of (IX. i l o ) of period 1 such that f (p(t. Thus. 6). q"2(t).ilo))00. it is easy to find 42(t). in I. for example.1) in a neighborhood of a periodic solution. there exist two positive numbers 61 and ro such that for i satisfying the condition 11 401 there is a real number r(q such that 1r(q)l < ro and p(r(g71. form an orthogonal system. dpig0). are constant vectors. Therefore. If the entries of an R'valued function f (t.3. the manifold M is transversal to the orbit C(fjo) at rp. . (U). . 40)) dpdtilo} Note first that f(p1t. Remark IX35. n).r'b)) 54 0. (IX. i )) j4 0. C(ilo) is orbitally asymptotically stable as t + +oc. f(At. ilo)) where u" b denotes the usual dot product. yspace R3.1 vectors 4j(t) C Rn (j = 2. where ah(t) _'h . Choosing an orthonormal set {ill.ji(t)..3. Since fl(t) is smooth..
dr ((t) dr u1 .20) and (IX. )) + (fcvlr.3. o). from(IX.21) u1 + (f(p1r. (ii) three vectors d Q ..r/o))93(T)+O(ItII +Iu2I) 09 Hence. ORBITAL STABILITY 289 (i) the entries of vectors 4"4(t) (j = 2.u2) E R2} is the plane which is perpendicular to the orbit u2 be three functions of r to be determined. = 1 + 00U11 + Iu21) . ))42(r)+ u2 f(YlT./ f(f(t))dT = f(P(r>io)) + dt du1 dT 42(r) + due _ dT 93(r) + u1 dge(r) d.m) + u142(r) + u2Q3(T) (ul.3. 7lo))+ul 89 (PIT.3. Note that AM)) = RAT.20) df11 Wdue 2(T) f(y(t))dr dt and y' dt  ( 2(t)' 42(T) 1 dr l u1 dQ2(T)\ ((t) d93(r)1 dg3(r)) dT J u2.3. no)).3. + u2 dQ3(r) dT This yields (IX.no)) (IX.19) and the given system (S1).r. 3). we derive dt 77.3. no) + u1Q2(r) + u243(T) From (IX.3. we derive {/.3) are continuously differentiable and periodic in t of period 1.19) at piT.21). Note that dp(ttrlo) = f (plt. Letting t. u1. and f(t) = p( r. For any fixed real nonnegative number r.TIo)) d9d(T)) uz] x [f(Ar. 4'2(t).93(t) = [f(PIT'770)) f(PIT. *lo}). and 43(t) form an orthogonal system. set (IX.. f( q"1(r} = 1 (j = where a" b denotes the usual dot product and we assumed that 2. the set P(T) = {l7.N(t))} '.
(r))1 u2 + O(lul l + 1U21). Chapter 13.290 IX. 3213271.e.u2). and .u1. Observe rO that the two multipliers of the linear system du' j = [all(t) a12(t) a21(t) a22(t) U are also multipliers of system (S2). 90))93(r) 11 U2 (i(t).3. write (IX. (S2) to _ 0 0 L(PIt. AUTONOMOUS SYSTEMS and (IX.u1. . pp. a22(t) Using these notations. dug dr where 191(r.23).23) 1 d7 = all(r)ul + a12(r)u2 + 91(T.3. U2 .. r.3. The transformation w = Q(t)v changes the linear system dtr. qo)). §2. i. In general. ddrr)) ul .22) dul dr 42(r) ' l ul + [i(T). . d (r) J U2 + O(lulI + 1U21) Let Q(t) be the 3 x 3 matrix whose column vectors are (at.u2).rl *6 dv' = /31(t) 0 atl(t) a12(t) a21(t) 32(t) 16.u2)  K(r)(lulV11+1u2V21) (i = 1. rlo)) 6(t) q"3(t)! .3.(o) d7 _d_r) Jut  (0) d9drr))  93(T) ' W (FFIr. The materials of this section are also found in 1CL.fi(t).ul. using system (IX. Theorem IX34 can be proven.(t(t). Q(t) = [ f (p1t. Therefore.22) in the form dul (IX. = a21(r)u1 + a22(r)u2 + 92(T. fi(t).2) with K(r) > 0 and limK(r) = 0 for lull + lull < r and Ivll + 1v21 < r. we obtain more precise information concerning the behavior of solutions in a neighborhood of a periodic solution in this way. 1I0))42(r) 1 ul + [i(r).
Then. Definition IX42. I PU. then C+(i ) is a periodic orbit. For every transversal t and every point i . Observation IX43. Poincare [Poll] and 1. Denote again by pit. ill the unique solution of the initialvalue problem dg = f (y). there are the following three possibilities: (i) C+(iIo) is a periodic orbit.4. (ii) C+(i o) consists of a stationary point. Proof. Let rj be a nonstationary point on C+(t7 ). Since C+(qo) is invariant and rj1 E C+(7 ). To prove this theorem. (iii) C+(i)) consists of a finite number of stationary points and a set of orbits each of which tends to one of these stationary points as I ti tends to +oo. Suppose that the solution pit. FIGURE 42. Bendixson [Ben2]. The PoincareBendixson theorem In this section. Theorem IX41. qo) is bounded fort > 0 and if there exists a point i7 E C+(7) such that C+ (11) contains a nonstationary point. it follows that p1t. If pit. A finite closed segment t of a straight line in R2 is called a transversal with respect to f if f (y1 0 0 at every point on t and if the vector f (y) is not parallel to t at every point on t (cf. Furthermore. THE POINCAREBENDIXSON THEOREM 291 IX4. we need some preparation. let t be a transversal with respect to f that passes through I. FIGURE 41. Lemma IX44. The following lemma is the main part of the proof of Theorem IX41. C+(ijt) C C+(io) since C+(ilo) is closed. .i7l) E C+(jo) for all t. Figures 41 and 42). We prove this lemma in three steps. The main result of this section is the following theorem due to H. we explain the structure of C+(i) on the plane. Consider an R2valued function f (y) of y E R2 such that the entries of f (y7) are continuously differentiable on the entire gplane R2. Also. Figure 3). the set tnC+( contains at most one point (cf. y(0) = i. FIGURE 3. Then. Step 1. t n C+(10) = {77} since rj E G+(ijl) C C+(no). qo) is bounded for t > 0 and that C+(ilo) contains only a finite number of stationary points.
if C(ijl) # L+ (10). Figure 5).o) intersects with C in a neighborhood of two distinct points on C infinitely many times (cf. since C+(ilo) is C+(7) for connected. ill) = (r2. This.. } of real lira numbers such that m+oo tk = +oo and p1tk.+oo there exists a transversal t such that E e and lk E t (k = 1. implies that p(t + T1.. . irjo) cycle (cf. If C(ijo) n C+(ilo) 0 0. Step 3. .. If C+ (8o) contains nonstationary points.ilo) and t+oo . in turn. the set 1R2 .. Lemma IX44). } such that tk C(rj. C+(ilo)C(ni)) = 0. then lim distance(plt.. then C+(rjo) is called a limit t+oop(t. it is concluded that C+(rlo) = C(iji). ).. Proof In this case.C+(ilo) is not connected. If C+(no) consists of stationary points only.C+(Q) = 0. Furthermore. Therefore. then C+(ijo) = C(rjo) and either no is a stationary point or the orbit C(ilo) is periodic. Hence.2. rl = p(t..r21. In cases (i) and (iii). ili )) = p1t. If f+ (Q contains stationary and nonstationary points. there exists a sequence { k E C+(i o) : k = 1. Theorem IX46. 2. If C(ilo) n L+(no) = 0. if we consider a simple Jordan curve C which intersects with the orbit C(tl at n transversally. This is true also for t < 0... Lemma IX44). C(ill) C C+(rjo). Choose a transversal a at ilo. It follows that if C+(ilo) consists of a stationary point then lim If C+(ijo) is a periodic orbit.. Therefore.. C(ilo) C C+(ilo).. This is a contradiction. In fact. Proof of Theorem IX41If C+ (. AUTONOMOUS SYSTEMS Step 2. ) does not contain any stationary points. ill) E t (k = 1. Hence.C+(t ).. Note that there is no stationary point on C(qj ). Assume that k. Observation IX47. Note that l. Since tj E C+(r)l ). 2. 2. m) = #(k = 1. (iii) follows. Observation IX45. if an orbit C(i)) is contained in C+(i o). p(ri .292 IX.. Furthermore. ill) and hence p(t. Thus. then the curve p(t. two sides of the curve p1t. ill) E C+(ilo). since r1o E C+(tlo). This implies that there exist two distinct real numbers rl and T2 such that it = p(rl. ). it follows that distance(C(ijl). then any point it E C+(ilo) does not contain nonstationary points (cf. E C(ill) C C+(ilo). k = t c C(ill) (k = 1. tl") belong to two different connected components of R2 .) (k = 1.2. the orbit C(i o) consists of nonstationary points. 2. Now. 2. Since C+(ilo) is connected. ill) = p(t + r2i ill) for t > 0. we obtain (ii).. p(r2i ill )). p(tk. . . the orbit C(ill) is periodic in t of period Irl . then (i) follows (cf... Then.. it can be shown that C(ilo) is periodic in a way similar to the proof of Lemma IX44.) and lim £k = { E C(ill ). Figures 61 and 62). there exists a sequence {tk : k = 1. Note that p(tk. ).. we complete the proof of Theorem IX41 as follows. Then. ).
let us introduce the concept of indices of Jordan curves. Indices of Jordan curves In this section. divide V into sufficiently small subdomains.k2 whose entries are continuously differentiable on the entire yplane R. There exists a realvalued continuous function 0(s) defined on the interval 0 < s < I such that a (s) (s) _ Isin0(s)I' field f (y) is given by I f{C) = Definition IX51. Let us denote by D the domain bounded by C (cf. pp. 2) denote the boundaries of domains DI and D2. then 1 f{C) = l f{". yi(0) To begin with. then I f{C) = 0. The materials of this section are also found in [CL. Consider again an R'valued function f (y) of y E 7. This definition is independent of the choice of a parameterization rj(s) of C and the function 0(s). INDICES OF JORDAN CURVES 293 FIGURE 5. Figure 7). Set u(s) = f ('l(s)) If(s))1 (0 < s < 1). use the fact that the vector field 19(s) has no change on a small subdomain.) + If(8D2) if f (rl) 0 on £ U C.5. To show this. Let C be a Jordan curve y = il(s) (0 < s < 1) with the counterclockwise orientation (cf. The index of the Jordan curve C with respect to the vector 0(1) . we explain applications of index of a Jordan curve in the plane to the study of solutions of an autonomous system in 1R2. 3913981 and (Har2.8(0) . FIGURE 62. where 8D? (j = 1. If All) A 0 on C U D. J) the unique solution of the initialvalue problem dg dt = f (y1. respectively. Assume that &(s)) # 0 for 0 < s < 1. pp. Chapter VII. §§1 and 2. In [Hart[. §§4 and 5. Denote also by pit. 1511581. 2r. Observation IX52. the PoincareBendixson Theorem was proved without the uniqueness of solutions of initialvalue problems. If the domain D is divided into two domains DI and D2 by a simple curve £. Figure 8). il(s) is the unit vector in the direction of f'(il(s)). Chapter 16. . Then. and apply Observation IX52. Figure 7). Observation IX53. IX5. as the portions of I f{8Di) and I j{d Dt) along £ canceled each other (cf. FIGURE 61.
e. (CL. i. Then. where V is a neighborhood of as such that there are no stationary points in V other than a. Therefore.)(C) = 1.7(s)) is tangent to C at every point i(s) (0 < s < 1) of C. §4. . we obtain Ij.) 96 0 on C U V except at a. studying how 16(0. Observation IX55. Observation IX56. If f (y) # 0 on C and if f(. 13 . If4C) = hn)(C)Assume without any loss of generalities that # ( 0 )=# ( I ) ) = 0 and i (s) > 0 for 0 < s < 1.. It is evident that the index of C with respect to f and the index of C with respect to the tangent vector to C are the same. s) is continuous in (T. Then. Proof of this result is similar to that of k=1 Observation IX53. we define the index of an isolated stationary point d with respect to f by Ilea) = I f(OV). where rig (s) (j = 1.  __11 (0. V(T.. T < s (mod 1).. Hence.(. dN. For 0<r<s<1. Proof.1) changes from T = 0 to T = 1. If(C) depends only on aa. d2. Theorem 4. FIGURE 8. Assume also that f(. 1).set if T = s. then I j<C) = FI J(a"k). f(d) = 0. 2) are the entries of the vector r"(s) (cf. then I1{C) = 1 (cf. s) changes from s = 0 to s = 1 and how i6(T. Figure 9). Chapter 16.294 IX. Assume that a point d E V is a stationary point. AUTONOMOUS SYSTEMS Observation IX54. s) for 0 <_ r < s < 1. i. v(T.31).. s) _ (0. FIGURE 9.0) n2=0 FIGURE 7.e. . If D contains only a finite number of stationary points N dl.s) = if 1 (T.
INDICES OF JORDAN CURVES 295 Observation IX57. (ii) if both of these two points are interior contact points. Since the total amount of change of the tangent to C in angle is 27r (cf. Assume also that at each point it(rk).5. di dt f(+1+ Observation IX58.. .1t(TN) on C.1). 1 f(C) = EH+2 2 Let rj(r.1) then 1 f(C) = 1. then the tangent to C changes 7r in angle more than the vector field f does from the point #(T. Observation IX56).) and fj(rk) be two consecutive contact points such that T. Suppose that f(it(s)) is tangent to C only at a finite number of points ij(rl ). (i) if both of these two points are exterior contact points. it(rk)) E D for 0 < ItI < bk. FIGURE 111. or (2) p(t.it(rk)) V V for ItI < 5k. #(TN). If C is a periodic orbit of autonomous system (IX.) to the point it(rk) (cf. . Figure 112). ij(r2).5. FIGURE 112..5..2). . then the vector field f changes it in angle more than the tangent to C does from the point #(T. Then.5. < rk. either (1) p(t. Observation IX59. Then E+H = N and for some sufficiently small positive numbers 51. (IX. Observations IX53 and IX57). then the domain D contains at least a stationary point (cf. Let us denote by E (respectively H) the total number of interior (respectively exterior) contact points among N points it(r1). (iii) if these two points are an exterior contact point and an interior contact point.2) Sketch of proof.) to the point fj(rk) (cf. 0 q( FIGURE 10. Figure 111).. .. we arrive at formula (IX. .5. If C is a periodic orbit of the autonomous system (IX. then the tangent to C and the vector field f change in the same amount in angle (cf. #(72). Let us call rj(rk) an exterior (respectively interior) contact point in case (1) (respectively (2)) (cf. SN. . Figure 10). Figures 121 and 122). ..
Figures 131 and 132). . Figure 15). FIGURE 131. Chapter VII. then C(r)) C Sk and pit. Figure 161).. i)) E Sk only on a finite tinterval ak < t < Yk (cf.. FIGURE 122..3) EH+2 2 This result is similar to formula (1X.+oo (cf. it is known that (IX.5. Then. nN E 8V.. but plt.  . . Figure 14). then pit. Figure 162). Tt2.. oc.al is sufficiently small.ilk) E V for t < 0 and tends to d as t . AUTONOMOUS SYSTEMS Observation IX510. . Let us assume also that each sectorial region Sk satisfies one of the following four conditions: (I) if it E Sk and {il .rjk) E V fort > 0 and tends to 99 as t + +oo. §9.71) tends to ad in Sk as t . FIGURE 132. In cases (III) and (IV). FIGURE 15. then p1t.. q) tends to +oo (cf. q") does not tend to dd in Sk as t + oo (cf. (Q) either p1r.296 IX. SN. pp.5.d] is sufficiently small.dl is sufficiently small. C(il3). . Assume that a neighborhood V of d is divided into a finite number of sectorial regions S1.dl is sufficiently small. (111) if it E Sk and ail . but plt. Let us denote by E (respectively H) the total number of elliptic sectorial regions (respectively hyperbolic sectorial regions) among St. FIGURE 121. SN by a finite number of orbits C(rji ). Let d be an isolated stationary point. . the sectorial region Sk is said to be parabolic. C(iv) in such a way that (a) rli.2) of Observation IX59. The sectorial region Sk is said to be elliptic (respectively hyperbolic) in case (I) (respectively (II)). For a proof in detail. d as Itl (II) if i) E Sk and Jil . FIGURE 14.. S2..cc (cf. 166172). or p5r. see (Har2.i) tends to dd in Sk as t +oc. then p1t. q+) does not tend to dd in Sk as t . (IV) if ij E Sk and Jrj .
H = 2 and hence II(a") = 0 E = 2. FIGURE 162.5. if zo = 171 +ir12 is a zero of p(z) of multiplicity 111 m. Hence FIGURE 161.()(C) is a constant independent of e.e. e) = [!1]. and H = 4. Example IX515. and 183. 182. if f (if(s).4) becomes dtl 2y1Y2. H = 1 and hence l1(d) = 1 coefficients.. e) # 0 at every point if(s) on the Jordan curve C for all e E A. then. the integer I f( E)(C) depends on e continuously. FIGURE 17. . in the case of Figure 182.5. Suppose that the vector field f (y e) depends on a parameter e E 0 continuously. in this case. More general cases of isolated stationary points a are shown by Figures 181. z = yl + iy2) and regard the dz differential equation (IX. If an isolated stationary point d is a node. ddt2 = y1  y2 The point 0 is an isolated stationary point and II<O) = 2. where 0 is a connected set. Observation IX511). For example. in the case of Figure 183. . INDICES OF JORDAN CURVES 297 Observation IX511. and hence it is a constant. in the case of Figure 181. then the index I f(. or a center. H = 0 and hence It(d) = 2 E = 1. If we define a vector field f (y.. then E = H = 0. Hence It{a") = I.4) ddt' = p(z) as a system of two differential equations Y2 dt = (p(yl + iy2)] _ 9(p(yl + iy2)]. Example IX512. on the y"plane. It is easy to see that. In fact. In fact. 1E = 0. Example IX513. In this case. 1 (0) = 2 for e > 0 (cf. then E = 0 1 (cf. Let p(z) be a polynomial in a complex variable z with complex Set y' = t(zj and y2 = !3(zJ (i. Figure 17). Example IX514. where AM _ R(p(yl + iy2)] and i) = [112.5. %P(YI + iy2)] if p(z) = iz2. a spiral point. If an isolated stationary point d is a saddle point. e) by f (W. system (IX. then if#?) = m.
pp. pp. Exercise VIII3). Then.5. +oo . Figure 19). I f{0) = 2 (cf. Observe that >0 dr dt for r<0<0. Chapter 16.sin6)sin0 + f2(cos0. in the case of system (IX. show that all orbits are bounded as t . and dt >o for for 2 <0<2.and 2 2' . Set y = r the autonomous system os0 I. The materials of this section are also found in [CL. the entire y"plane can be divided into sectorial regions by those orbits QB determined by equation F2(0) = 0. Assume that f ( = fl (pl'Y2) satisfies the condition f (arty) f2(y142) = aP f (rte. E = 2 and H = 0 (cf. If a ray to is defined by F2(0) = 0. 1611741. and §§8 and 9. pp.298 IX.sin0)cos0 (cf.sin 0 and F2(0) = cos 0. 0=r and 0. Sl F2(0) = f1(cos0. Thus. FIGURE 183. y). FIGURE 182. 398402] and [Har2.5). For example. 0 = . §§2 and 3. 146151. then to is an orbit of the system dff = f (r))). §§4 and 5. . we obtain Fl (0) = . sin o) cos 0 + f2(cos 0. For a geometric and topological treatment of indices. using the given function V (x. AUTONOMOUS SYSTEMS Example IX516. =0 for =0 <0 <0 for 0<0<r for 2<0< 3 1r Hence. FIGURE 181. Chapter VII. see (Mil. EXERCISES IX IX1. Therefore. FIGURE 19. = f(it) can be written in the form dr dt = rPFI (0). sin 0) sin 0. r dO dt rPF2(0). where A is a real variable and p is an integer. Example IX515). For each of the following three systems. where F1(0) = f 1(cos 8.
V(x.23s + 5)ds. .23x + 5) .772) such that In2t < 1.1) = 0 and f2(yi.oo < yi < 0.4y. (2) fj(yi.y2)>0 fi(yi. IX3. V(x. Hint. In Case 1. = y.(1 + x2)y. (2) = y. y2)plane. G+((nj. _ yx2 + 3x.1) for and Find G+((n1. G+((nj. The solution (yi(t).EXERCISES IX 299 (1) _ xy2 . In Case 2.y) = 3x2 +4 Y2.(xs . 1) = 0 for oo < y1 < +oo.n2)) for (771. 92)) is{(x. 1) < 1 for oo < yl < +00. There are two possibilities: Case 1. n2)) is either {(0.3x4 + 2x3 + 120x2 . for y2<0 and .1) > 1 and fi(yi.y2) < 0 for y2>0 and oo<yl<+oo. = x3 . f2(Y1.Y2) ? Y1 (Y22 .y2) ' where f j and f2 are continuously differentiable on the entire (yj.±1):oo<x<+oo}. . Assume that (1) fl(yl.oo < yl < +oo. yi(0) = 771 and 112(0) = 172 Case 2.3x4 + 2x3 + 120x2 . Show that every solution y(t) and its derivative (t) L(t) of the differential equation j2 + dt + y3 =0 tend to 0 as t i +oo.y2) <_ YI(112 . V(x.y2(t)) of (Si) that satisfies the initial condition (C) is bounded as t + +oo.y. Consider an autonomous system yj __ fj(11j.y2(t)) of (SI) that satisfies the initial condition (C) is unbounded as t +oo. (4) 1 f2(11j. dy = .1) 2 for jy2j < 1 jy21 < 1 and 0 < yi < +oo.y) = x4 +2 Y2. + J (ss .y) = 2 0 IX2. (3) f2(yi. The solution (y1(t). 0)} or a periodic orbit.112) (S1) Wt [y2] [f2(yi.
(5t. Use Exercise IX4 +00 in the (x. qo)) + .y2) = y2 and f2(yi. y= Ly2J.y2) = y2(2 sin(yly2)) and f2(yj. W) Lf2h (Y) where (1) the entries of the 1R2valued function f (y) is continuously differentiable on the entire yplane. Hint. Hence. f(U _ [f2(Y) where f.y2) = 2yi(y2 .y2) _ yl(y2 . Verify these statements by using the function V(yl.0) is a stable spiral point if fl(yl. (a) Every orbit in Iy21 < 1 of the system with fl(yl. AUTONOMOUS SYSTEMS Examples. (ii) RA t' v) (iii) the integral 6. ik) of period 1 which is contained in the domain Do. .9y (1 ( Hint.1). 0 Show that the periodic orbit p(t. use Theorem IX34. (b) The stationary point (0. Assume that (i) system (S2) has a periodic orbit p(t.300 IX. IX5. 0) is an unstable spiral point if ff(yi. o))) dt is negative. x'(t)) is an orbitally asymptotically stable orbit as t phase plane. y2) = y2(2 + sin(yiy2)) and f2(yi.) Now.1) is periodic. (The other eigenvalue of Y(1) is 1. This is called Poincnre's criterion. I det Y(1)I < 1 for the fundamental matrix solution Y(t) of this system such that Y(0) = 12 (cf.y2) = 2y. i (pjt. Show that there exists a nontrivial periodic orbit of the system dI7 =f (y). (y) and f2(y) are continuously differentiable with respect toy in a domain Do C R2. y2) = yi . (4) of Remark IV27). x') IX6. an eigenvalue p of Y(1) must satisfy the condition dpi < 1.y2). Assume that two functions f (x) and g(x) are continuously differentiable in x E R.ln(1 . Show that (x(t). Let us consider a system (52) dt  W= [y2 ] . jo) is orbitally asymptotically stable as t ' +00. (c) The stationary point (0. (y22 1). Look at dzV 49f dt = Then.  IX4. Assume also that the differential equation dt2 + f (x) 0 drt + g(x) = 0 has a nontrivial periodic solution x(t) of period I such that f f (x(t))dt > 0.
N2) + (4) Ivll+l +oo(ft(Y1. (2) find dt = f (x. IX7. Construct the general orbits pit. Also.y2) . r) of (53) such that distance(At. use index in §IX5.x2) _ = g(x. where the entries of the l 3valued functionf is continuously differentiable on the entire yspace R3.17).0) and a saddle (1.xt(xt + 1) J (x1 + 3)(x1 + 2) < 0 if x1 > 1. Given that Y1 . liM 2Z2 (0) = 2 and 1Y11+liM (p) = 1. IX10. Also. respectively.y) = y(1 .' o).x2 .y2) + 3x. 5 . Show that the differential equation dt2 + (x + 3)(x + 2) does not have nontrivial periodic solutions. and the total number of parabolic sectorial regions in the = f (y. dt . p2i and p3 satisfying the condition: 1P21 < 1 and jp3j > 1.y) = x(1 . we obtain divf(x1.io))u. the total number H of hyperbolic sectorial regions.x2) = x2 (xt + 3)(x1 + 2)x2 . i. For the system I = f(x. o)) 0 0. Let us consider a system (S3) 2.3y. Two stationary points are a node (0. Furthermore. +oo(f2(yt.EXERCISES IX 301 (2) f(6) (3) and f(y) OW ifil96 ay1 . eft (0) = 8. setting f(x1.x2 .0). dt dt = f (y).y2 y2 find the total number E of elliptic sectorial regions. of ay1 (O) = i.Y2) + yr) and yz) exist.. find I y(0) for e 96 0. Assume that (S3) has a periodic orbit pit. (1) find and classify all critical points.ip) of period 1 such that f (r'(t. has three multipliers p1 = 1. Assume also that the first variation of system (S3) with respect to the solution p(t. E) in the neighborhood of the isolated stationary point 0 of the system following two cases: (i) E = 2 and (ii) E _ IX8. y) . drt + x(x + 1) = 0 Hint. C(s'7o)) tends to0ast+too. IX9. y) + 9(x.e. d9 dt Of (r(t.
z) = . dt = `3`[6 (x)]. (1) find all critical points and determine if they are asymptotically stable. y) does not have any nontrivial periodic orbit that is contained entirely in D.302 IX. IX14. Set x = 3t(z] and y = Q [z]. y) + Lf (x.x. (i) In the neighborhood of each of stationary points of system (A) dxt d = R[p(z)]. (ii) In the neighborhood of each of stationary points of system dt there are no elliptic sectors. IX13.x2 _ y2)2 + 3xz + y. y).x2 . system (A) does not have any isolated nontrivial periodic orbit. continuous.y. AUTONOMOUS SYSTEMS for the function V (x. Verify the following statements. system (B) does not have any nontrivial periodic orbits. (B) = 3R[p(z)]. x) 8V dV = f (x. 9(x. {(x): IX11. and sim ply connected set D in the (x. (5) find the phaseportrait of orbits. find the maximal invariant set M in S.y. IX12.z): =0}. y)plane such that 8f (x. there are no hyperbolic sectors. y) = x2 + y2. Show that the system = f (x. y) in an open. y. Let p(z) be a polynomial in a complex variable z and deg p(z) > 0. connected. y) E D. Find the a phase portrait of orbits of the system dt = y. find the phase portrait of orbits. (2) find 8V + h(x. . z) 8y 8V 8z dt for the function V(x.x2). dV = 01. z) = x2 + y21+ z2. (3) find the set S = dt (4) examine if S is an invariant set. Also.y.y2)2 + 3yz . y. dt = h(x.z) = . d = g(x. y) and g(x.z  3(x2 + y2).x2)x2(4 . L = `3'[p(x)]. dV (3) (4) (5) find thesetS=((x. y) j4 0 for all (x.y(1 . For the system dx dt = dt = dz f(x. y.x(1 . dt = y + (1 .x) = . x) 8x + g(x. y. Let f (x. y) be realvalued.y. and continuously differentiable functions of two real variables (x. Also.
there exists a j such that T3 [yl = y. the orbits p'(t. there exists an open subset U of V which also contains p'(t. See Exercise IX14 with p(z) = (z . we can fix a positive period is bounded and analytic with respect to i in any simply of p1t. d _ 2xy + 3y. y) so that connected bounded open subset of U. for some jo. 3=1 (3) Do is of the second category in the sense of Baire. d t= 9(x. where the entries of the R'valued function f are analytic with respect toy in a domain Do C R'. Find the phase portrait of orbits of the system d = x2 . open. for example. +00 (2) Do = U E.) . is closed in Do. IX17. Hint. (1) E. . y).. j = 1. Then. ijo) of period 1 which is contained in the domain Do. . . Assume that (i) system (S2) has a periodic orbit pit..2).. where j may depends on Y. Consider a system (S4) dx dy dy dt = f (y1. Show that if U is sufficiently small. i of (S4) is contained in V and periodic in t. Then. i"p).1)(z . Suppose that. IX16. Apply the following observation. we obtain Tao [ 7 = y" for all y" E Do. 2. for any point i in U.) be analytic mappings of Do to l . Let Do be a connected. Find explicitly a twodimensional system dt = f (x.. pp. . 2.. Proof. y) so that it has exactly five stationary points and all of them are centers. and bounded set in 1Rk and let T2 (j = 1. Baire's Theorem). the set Ego contains a nonempty open subset (cf. Hint. simply connected. Since Tea is analytic. for any pointy E Do. there exists a jo such that Tjo [yj = y for all y E Do.y2 3x+2.no)) 0 (iii) for any open subset V of Do which contains the periodic orbits p(t. Hence. 91921.EXERCISES IX 303 IX15. see. o) such that for any point i in U. (ii) APTt. Observation. O For Baire's Theorem. [Bar. Set E j _ {y E D o : T j [ y 1 = Y .
The argument in §X4 gives another proof of the uniqueness of periodic orbit of (E). Nagumo [Na6] in §X7. y.+oo. we explain a basic theorem due to M. we explain how to approximate the unique periodic solution of (E) in the case when a is positive and small. In §X4. Nagumo [Na4] (cf. Using the Kneser Theorems (cf. Example X25). [How]. we show the existence of solutions for this problem in the case when F(t. [LeL]. In §X3. Concerning singular perturbations. Theorem X13) which we can use in more general situations including singular perturbation problems (cf. The boundedness of solutions and the instability of the unique stationary point imply that the van der Pol equation has a nontrivial periodic solution. y. This is a consequence of the Poincar&$endixson Theorem (cf.9(111) as t . we prove the uniqueness of periodic orbits in such a way that it can be applied to equation (E). In §X1. In §X5.+oo. we show that the absolute value of one of the two multipliers of the unique periodic solution of (E) is less than 1. (FL]. [How]). [Si5]. u) is bounded on the entire (y. for example. see. [Levi2]. This is a typical problem of regular perturbations. Also. we explain the basic results concerning the behavior of solutions of a system 112 [h(yi)112 . [HabL]. and [O'M]. we show the boundedness of solutions and apply these results to the van der Pol equation (E) x + E(x2 . u)space. Theorems 1II24 and III25). using results given in §IX2. we look at a boundaryvalue problem y = F (t. y(a) = o. [Wasl]. In §X6.CHAPTER X THE SECONDORDER DIFFERENTIAL EQUATION dt2 + h(x) + g(x) = 0 In this chapter. In §X8. we explain how to locate the unique periodic solution of (E) geometrically as e . we also explain a basic result due to M. d i ) . This is a typical problem of singular perturbations. In §X2. For more singular perturbation problems. we explain how to find an approximation of the periodic solution of (E) analytically as a +oc. y(b) = 8.1) d +x=0 (cf. Theorem IX41). 304 .
yt. (2) in Sb such that (X. 0 .3) n.a)](b . Y2)1 < Al on Q. () in the set Sb. [Kn]). yt.Y2.1. we derive y1(t) = y1(a) + J y2(s)ds. first as an application of Theorems 11124 and 11125 (cf. there are two points (nt. there must be a point (Q.yi(s). if (a. dt) . In fact. If the function F(t.3) is satisfied. then problem (X. ly1(t)I < lal + [K + M(b . This implies the existence of a solution of problem (X. For any positive number K. lyt I < +oo.772) and (t.a)2. we obtain Jy2(t)I < K + M(b . < 0 < (1. a y2(t) = y2(a) + JF(s.1.a) + 2 dt (c) (b . or.1.t.1. Since the set Sb is compact and connected. TWOPOINT BOUNDARYVALUE PROBLEMS 305 X1.a). Y1.1) as a system (X. y2) : a < t < b. y2). Therefore.1) has a solution (or solutions). Thus. we prove the following theorem concerning a boundaryvalue problem (X. y(a) = a. Thus. ` Hence.1). write yt (b) in the form yt(b) = a + y2(a)(b . Theorem 11125 implies that SS is also compact and connected for every c on the interval Te = {t : a < t < b}. Since (c) M. y. Ao satisfies Assumptions 1 and 2 of §1112.2) dyt _ dt . Proof. by using the Taylor series at t = a. y2) : Iy21 < K} is a compact and connected subset of ft We shall show that A0 satisfies Assumptions 1 and 2 of §1112 for every positive number K. the set Aa = {(a.1. Iy2I < +oo}.1. I ddt2 where c is a certain point in the interval 10.a). Twopoint boundaryvalue problems In this section. (2) such that (X.1) d2 = F t. the quantity yI(b)I can be made as large as we wish by choosing Iy2(a)I sufficiently large. the set Sb contains two points (771. y(b) = Q Theorem X11. We shall prove that if K > 0 is sufficiently large.1. dye dt = F(t. Y2 (a)) E A0. y2) is continuous and bounded on a region 11 = {(t. y1(a). In fact. where I F(t. n2) and ((1. yi.1. writing the secondorder equation (X.y2(s))ds.
i. x(t)) E Ao for a < t < b. y(b) = Q. and d2wi (t) > f 1 t. the following theorem due to M. the function f satisfies the condition (I) that 1f(t. y(a) = a. Then.y)1 : 0(IyI). ') . Ao = {(t x)a<t<b wi 2 _(t) < x<w2(t)}co.1. +°° udu where 0(u) is a positivevalued function on the interval 0 < u < +oo such (II) +00.306 X. y(b) (X. for a<t< Proof. y) : (t. oo < y < +oo}. y(a) = a.x.5) dt2 y(b) = Q (X.6) d 22 + y = 0. THE SECONDORDER DIFFERENTIAL EQUATION Example X12. b.e. y(a) = a. d2dt 2 (t) <f d t.4) and 0. Theorem X13. x(b) = B. where 0 is a bounded and closed set in the (t. x) space. x. x.1. y) and its derivatives az and 09 f are continuous in a region V = {(t. W2 (t). (iii) two realvalued functions wi (t) and w2(t) are twice continuously differentiable on an interval a < t < b and satisfy the conditions for wi(t) < w2(t) a < t < b.. wi (t). The main tools are the following two lemmas. x) E A. wi(t) < x(t) < w2(t). Nagumo (Na4] is useful. Theorem X11 does not apply to dt2 + sin y = 0. d (IV) dt t) ) . Theorem X11 applies to the following two problems: (X. Assume that (i) a realvalued function f (t. has a solution x(t) such that (t. (iv) two real numbers A and B satisfy the condition (V) wi(a) < A < w2(a). and wi(b) < B < w2(b).1. . x(a) = A. x. + p+. = However. For more general cases. (ii) in the region D. dt t)) for a < t <b. the boundaryvalue problem d 22 = f I t.
x(a) = A. l. x'). where a < to < b.w1(t) < L for a < t < b. x(to) x'(to) = n. Let x(t. Lenuna X14 is true for to < r < t.9). l.9) a(M) udu +! q5( u) > L.. Then. to. Proof. x. to.8) w2(t) . Letting L be a positive number such that (X. Let also x(t.) E Ao. choose a(M) > 0 for any given positive number M in such a way that a(M) > 111 and (X. to.1. t . it follows that xO(X'x (T ))) < x/ (7) for T1 < r < r2. where e is an arbitrarily fixed positive number. Then. (to.7) jr71 < M and (T. since x'(r) > 0 for ri < r < r2. d . il) j < a(M) if (X. i (a) = . x(r.rl) be the solution of the initialvalue problem d2x = f (t. w2' (a)eI. the differential equation x" = f (t.1. where x(T) = x(r.1.17). Hence. 0 Lemma X15. TWOPOINT BOUNDARYVALUE PROBLEMS 307 Lemma X14. since if we change t by t. x. Set 7 = rim {a(ba)I wi(a)+e. ) . f a(M) u/du 0u)  This contradicts the choice of L by (X.) . x') becomes x" = f (t. for any given positive number M. there exists a positive number a(M) such that l x'(t. e. c) be the solution to the initialvalue problem d2x = f (t. Suppose that there exist ri and r2 such that to < Ti < r2 < t and that x'(r1) = M < x'(r) < x'(r2) = a(M) for r1 < r < T2. x.1. x.1. Therefore. to. We can treat the case t < r < to similarly. rl)) E Do for to < r < t or t:5 r < to.
Q. c) and x = w2(t) meet for some t on the interval a < t < b if c>'Y.c)) E Ao for Now.3 such that a < A < j3 and sinh(/) .x(t. For part (1). The main point is that when two curves x = x(t. let us complete the proof of Theorem X13. (b. A) t=a FIGURE 1. r=b Example X16. by virtue of Lemma X14. Proof of Theorem X13.1. Theorem X13 applies to the boundaryvalue problem (X.c) and x = w. they cut through each other. Details are left to the reader as an exercise. Theorem X13 does not apply to problem (X. If A is negative. .308 X. all requirements of Theorem X13 are satisfied. x'(r. In fact. c) and x = wl (t) meet for some ton the interval a < t < b if c < ry. So look at Figure 1.c) > a < r < t. assume that 0(u) is a suitable positive constant. (1) two curves x = x(t.a < B < sinh(VrA_) +. Proof. If wi(t) = sinh(ft) a and w2(t) = sinh(ft)+$ with two positive numbers a and . x(1) = B if A is a positive number. The proof of part (2) is similar.c) and x = w2(t) or two curves x = x(t.10). B) (a. (2) two curves x = x(t. (t) meet. THE SECONDORDER DIFFERENTIAL EQUATION Then. La if (r.1.10) d2x dt2 _ Ax' x(0) = A.
Then. Set y = I yl h(x).1). (3) g(x) has only isolated zeros on the entire real line R.2. Denote by M the set of all stationary points of system (X. The proof of this result is left to the reader as an exercise (cf. we denote by p(t.1) satisfying the initial condition y(0) = n Fi rst set V (y) = + G(yl ).2. G(x) = o g(s)ds and H(x) = Jo f o X h(s)ds. Figure 2. S = { g : l Y2 = 0. Then. M = {9: g(yl) = 0. y) = 17 E M if conditions t+00 (1). q) of (X.e. 8y'  = h(yi) y22.1) d [yj J dt y[h(yi)y2 __ Y2 . where G(x) = fox g(s)ds. Y21. M is the largest invariant set in S if the following three conditions are satisfied: (1) h(x) > 0 for oo < x < +oc. using the results of §IX2. Every solution p(t. By using Theorem IX22. where 0 and 0). 1x1 +00 This is a simple consequence of Theorem IX23. In Observation X21. we explain the behavior of orbits of a system (X. Then.2. g(x).r) the solution of (X. the boundedness of the solution p(t. (2).2. In fact.2. U E S if and only if either h(yl) = 0 or JJJ Observation X21. Observation X22. y2 = 01. (2) h(x) has only isolated zeros on the entire real line IR. and dd(x) are continuous with respect to x on the entire real line R. 191.1). and (3) are satisfied and if the solution p(t. we conclude that lim p(t. 2Y2 l)y2.2. i. Set also. we explore the boundedness of all solutions of (X. i) for t _> 0 was assumed. In the following three observations. Set 0.+00 . Also. R Y) = 0 y.1) is bounded for t > 0 if (i) h(x) > 0 for oc < x < +oo and (ii) lim G(x) = +oo. Applications of the Liapounoff functions In this section.9(y1) and f (yl = [_h(yi f (y) 09 = [9(yi ).g) is bounded for t _> 0.9(yi) JLet us assume that as t +oo. Note that G+(rt) is a connected subset of M. lim V (Y) = +oo.. APPLICATIONS OF THE LIAPOUNOFF FUNCTIONS 309 X2.
0) Y2=0 (43. and (iii) xg(x) > 0 for oc < x < +oo.() the solution of (X. THE SECONDORDER DIFFERENTIAL EQUATION Observation X23.2.S)]2 < c t>0. since G(x) > 0 for oo < x < +oo. Denote by qqt. Proof Change system (X. Hence. 8z" .310 X. Therefore. Then. z21. of (X. This implies that all solutions of (X. = c > 0. Figure 3 clearly shows that q1 t.0) z2=0 di1 z1=0 FtcuRE 2.1) is bounded for t > 0. ay  [g(zl). we obtain for 2[z2{t.H(zi).C)) . (ii) urn IH(x)l = +oo.1) to (X. C) is bounded for t > 0. if (i) h(x) > 0 for oo < x < +oc. F1cuRE 3. for t > 0.2) such that z(0) _ . {s2.2) are also bounded for t>0. Y2 = z2 . Set V. .2.2. Every solution pit.2. S) = and V. L9 V.0) (41.2) d I=t+o0 [zl] 22 Z2 .z(g(t.S)) S 0 z1(t. (z) = zz2 + G(z1).2.P = g(z1)H(zl) Note that g(x)H(x) > 0 for oo < x < +oo and that dt V1(ggt.H(z1) g(z1) dt by the transformation Y1 = Z1.C)) F(glt. setting q"(t.
k(yi)J y2} .2.2. .cJ > M for x > a > ao. Proof. OV2 09 _ [[y2 + H(yi) . three positive numbers M.k(yi)J2 + G(yl) Then.k(yi) I 1 and az (Y ') dy. Every solution p(t. the Liapounof function Vi(z) = G(zi) = 2[y2 + H(yl)]2 + G(yi) was used. (II} and Jk(x)J < c and dk(x) >0 for for . a. and c can be chosen so that fa [H(x) . (ii) = Cc H(x) = oo. >)1 of (X. where a and ao are some positive numbers. for x!5 2a. for a [H(x) + c] > M Also choose a function k(x) so that {c (1) x < a < ao.+oo . Now. Figure 4).k(yi )J {h(yi) . (iii) g(x) > a for x > as > 0. J + [H(yi) . lim +00 In Observation X23. k(x) = C dk(x) dx for x > 2a. k=c x k=c x=2a x=a x=O x=a x=2a FIGURE 4. lim H(x) = +oo. > dx m > 0 k JxJ < a for some positive number m (cf. let us modify Vl to a form V2(yl = 2[y2 + H(yi) . APPLICATIONS OF THE LIAPOUNOFF FUNCTIONS 311 Observation X24.9(yi) [H(yi) . J {y22 Y2 + H(1h) .2) is bounded for t > 0 if (i) = and (iv) g(x) < a for x < ao < 0.k(yl)J Using (i) and (ii).on < x .dyyt )1 + 9(yi ).
1)y2 . h(x) = e(x2 . Hence. (iii). 11/21 < +00.x) Therefore. 1y21 > b if b > 0 is sufficiently large. we conclude that there exists at least one limit cycle. G(x) = 2x2 and H(x) = e (3x3 . (A) g(yl) [H(bi) . it will be shown that system (X. Therefore.k(yi)1 < 0 for Iyi I >.1) dt + x = 0.1) and g(r) = x. conditions (i). where a is a positive number. Theorem IX41). 0 for lyil ? 2a.3) has exactly one periodic solution. 1y21 ? b. or 1y21 > b. .k(yl)) . (ii). and (iv) of Observation X24 are satisfied. THE SECONDORDER DIFFERENTIAL EQUATION If a positive number b is chosen sufficiently large. In §X3. using the PoincaareBendixson Theorem (cf. Therefore.2a.k(yi)1 y2} g(yt)IH(yi) . Example X25. Since lim G(x) = +oo. 1y21 ? b if b > 0 is sufficiently large. for yl < a and (B) Y2 + IH(yj) . is bounded for t > 0.m {y22 + IH(yi) .2.2. (i) ' f = g(yi) IH(yi) .2.2. Theorem IX23 implies that every solution of (X.f In fact. For the van der Pol equation 2 + e(x2 . It is easy to see that 0 is an unstable stationary point as t + +oo.3) has only one stationary point 6. OV2 . System (X.k(yi)I < 0 forlyil < a.312 X.a IH(yl) .cI < M < 0 a IH(y1) + cj < M < 0 for yl > a. (u) 09 f<  (y1 <0 for a < 1yi I G 2a. and OV2 (iii) f < .2) 1XI +00 is bounded.3 ) d dt yl y2 y2 E(Y .yi.k(yi )11/2 ? 1 av2 for 1yi 15 2a. This implies that every solution of the van der Pol equation ( X.
t ev.5). (iii) g(x) > 0 for x > 0.4). we obtain aye < 0. Proof.2. Theorem X31.sin (yl ) y2 satisfies three conditions (1). X3.2.2.+oo.3.. (3) In case a = 1. using the Liapounoff function V (y) = yZ .3. and X < +00.4) [yi d _ [ Y2 J aye . (vii) H(x) tends to +oo as x . we prove the following theorem (cf. X23. the system (X.4) does not satisfy conditions of Observations X22. 402.9(yi) has exactly one nontrivial periodic orbit and all the other orbits (except for the stationary point 0) tend asymptotically to this periodic orbit as t +oo.1) d [Yyj dt [h(yi)y22. Therefore. f = WY= 2Since V (y) a lim +oo exists for every solution p(t. Otherwise we would have y2(t. and X24.2. we can show the boundedness of p(t.1) < 0. EXISTENCE AND UNIQUENESS OF PERIODIC ORBITS 313 Example X26. in order to prove the boundedness of solutions of (X. r7')) < 2a(o . For a given positive number a. Problem 51). This implies that dt V (pl t. (iv) h(0) < 0. p. where f (y = [ij. (v) H(x) = f h(s)ds has only one positive zero at x = a.4).rte)) for t > 0.cos (yl ). dg (x) are continuous for oo < (ii) g(x) = g(x) and h(x) = h(x) for oo < x < +oo.2. (CL. ii) of (X.2. 7) must stay in one of connected components of the set {y" : V(y) < a + e < 1} for large positive t. observe that (1) We must have a < 1. Now. This contradicts (X. t) by investigating the behavior of solutions of (X. Those connected components are bounded sets. Assume that (i) two realvalued functions h(x) and g(x). we must use some other methods. (X.)2 > 2(a+cos(yi(t. In fact. But.4) on the boundary of the set {g: V(y) < 1). (2). Existence and uniqueness of periodic orbits In this section. . 0 (vi) h(x) > 0 for x > a. the solution p(t. Then. (2) If 1 < a < 1. the system (X. and (3) of Observation X21.
3. Figure 5). where a is the unique positive zero of H(x) given in condition (v) (cf.2).2). there exist two positive numbers z(r(a). a) = IZ24. THE SECONDORDER DIFFERENTIAL EQUATION Change system (X.a)] the orbit of (X.3. ao) = [ 0] and z2 (t. There exists exactly one positive number ao such h z1(ao.3. Since r(a) and Q(a)such that 0 when z2 = H(z1). a) 0 Q(a) and 0 < zi (t. a) [0].z29(z1) = g(z1)H(z1) along an orbit of (X.3.a))H(zi(t. Observation 2. Let z(t. dz2 dzi g(zl) dzi z2 . + G(z1).3.2) d zi) Lz2 dt Lz2J by the transformation Y2J Lz2 zH(zi). For example. a) :5a for 0< t < r(a) if 0 < a < ao.314 X.H(z1)' dV dz2 _ H(zi) along an orbit of (X. ao) >0 for 0:5t < oo for some positive number co.1) to (X. a)) = 2 a2. V (i(0. Hence.2) such that z(0.a)) > 0 for 0 < t < r(a) . we obtain dtV(z'(t. that Then.H(zi)] . since H(x) < 0 for 0 < x < a. Also.a)) = g(zi(t. dt V J0 z g(s)ds and z= (zI = 9(zl)[z2 .2). Setting V(z) = where 2 G(x) = [z2] look at the way in which the function V(z) changes along an orbit of (X.H(zi) z2 .H(zl)' dz2 9(z1) dV dz1 9(z1)H(z1) z2 .3. z1(t' a)be Observation 1.
a) . for 0 < t < ro(a) 10 < z2(t. Z(x.a2)) .H(zl(t.3.al)) . there exists a positive number r0(a) such that J z1(ro(a). Then.a)) > 0 for 0 < a < a0 (cf.a). and continuously differentiable for 0 < x < a and a > ao except for x = a and a = a0.a))  g(x)H(x) Z(x.a1)) > ±V(i(x.a)) .a) . i. Thus. a) can be regarded as a function of z1(t. Therefore. the quantity z2(t. dx V(Z(x. d . Furthermore. Set 2(x. a) = I Z(z.ao) zI = 0 FIGURE 5. If the variable t is restricted to the interval 0 < t < 70 (a).a) = Z(zl(t. hence.e.a). where Z(x.al)) > V(E(ro(a2). Figure 6).a2)) for 0<x<a if 00 < 01 < 02. 3jV(Z(x. a) is a continuous function of (x. 0 < z1(t. a2) for 0:5 x:5 a if a0 < a1 < 02 (cf. a) < a for 0 < t < ro(a). Figure 7). .V(z(0. In particular ro(ao) = Co (cf. a) for 0 < x < a and a > a0. Observation 1). we obtain (I) V(zro(al).. Figure 7). (A) V(z"(r(a).a)) (cf. a) = a. Observation 3. a) J .H(x) > 0 for 0<x<a and.a2)) > 0 for go<a1<a2. (0.V(E(O. FIGURE 6. z2(t.V(z(O.a). If ao < a. al) < Z(x. EXISTENCE AND UNIQUENESS OF PERIODIC ORBITS 315 except for a = ao and t = oo.
a) for z2(r1(a).a2))V(z(ro(a2). Thus. a) >a for ro(a) <t <71 (a) (cf.a)2 . we obtain (B) V(z(r(aI). =0 FIGURE 8. z2(rp(a). a)) z2=H(z0 z2=0 =0 zi =0 zi=a FIGURE 7. This implies that the function G(a) defined by g(a) = V((r(a). a)) < 0 for r2 (a) < t < r(a). Regarding zi (t. a) = 0. . Again.a)) > 0 for ro(a) < t < 71(a) since zi (t.2a2 is strictly decreasing for a > ao as a + +oo. we obtain (II) 0 > V(zi(ri(ai).ai))V(zlro(ai). Z.at)) . a) as a function of z2(t. Observation 5. Figure 8). there exists a positive number ri(a) such that ri(a) > ro(a).a1)) > V(zr(a2). a) = a. Since lim jz21+oo dzi z1lim00 dV =0 uniformly for 0 < z1 < a.a2)) > 0 if a0 < aI < a2 (cf.al))V(z'(ri(ai). (0. a) < a for r1(a) < t < r(a) (cf. Note that z2(ri(a).a2)) for ao < al < a2 in a way similar to Observation 3 (cf. Also. a) < H(zi (t. a) < z2 < z2(ro(a). (II). Note that z2(t. and (III).ao) (a.316 X. If ao < a. regarding Z2 (t. a) (O. a)) z2=H(zt) I O.0 = Zz2(r(a).ai)) > V(i(r(a2).a2))V4flri(a2).V(z(0.a) < 0 and that H(zi(t. Figure 8). z2(r0(a).a2)) > 0 if a0 < al < a2. Observation 7. a) in the same way as in Observation 3. and 0 < zi (t.a)) . by adding (I). Figure 9).a ( ) (O. zl (r1(a). for a = +oo uniformly . z1(r(a). Figure 9).V(z(0.a2)) . a). If a0 < a.a0) (a. a) > a on this tinterval.ai)) > V(z(ri(a2). we can derive (III) V(z(r(ai). (A)). and zi(t.oo < z2 < +oo. Observation 6. there exists a positive number r(a) such that r(a) > 71(a). 9(a) > 0 for 0 < a 5 a0 (cf.V(z0. THE SECONDORDER DIFFERENTIAL EQUATION Observation 4. a) as a function of zi (t.
JV(z(r(a).V(i(ri(a). a = a+. and all the other orbits tends to z"(t. Condition (iv) of Theorem X31 can be replaced by the following condition: (iv') there exists a positive number 6 such that H(x) < 0 for 0 < x < S. a+) is the only periodic orbit. Thus. a>a+ FIGURE 9.a)) . a+) asymptotically since Iz2(r(a). FIGURE 10. a)I > a Iz2(r(a).3.0J = 0. 9(a) Zz2(r(a).V(z(ro(a). a+oo a. Thus..3) and symmetric properties (ii) of the functions h(x) and g(x). i.a))J = oo. (X. if a> a+.a)) .3) 0<a<a+. From (X.3. Therefore.V(z(0. EXISTENCE AND UNIQUENESS OF PERIODIC ORBITS 317 it follows that lim a+oo (V(i(ro(a). a)2  2a2 = 0. > 0. we conclude that a(t. 0 Remark X32. we conclude that g has exactly one positive zero a+. (C) a'+00 lim Cg(a) = oo. we complete the proof of Theorem X31.a)) . . < 0.+00 lim lim (V(z(rl(a).a)I < Of if 0<0<a+.e.a))J = 0.3.
Y21 Since trace[A]=f and det (A) = 1.1).1) LX + e(x2 . In particular.4. Now FIGURE 11.111 is bounded for t > 0. It was also remarked that 0 is the only stationary point of system (X.x] . Theorem X41.1) at 1 and p such that )pI < 1.2) has exactly one limit cycle and all the other orbits except for the stationary point 6 approach this limit cycle asymptotically as t . Theorem IX41). we prove the following theorem concerning the multipliers of the unique periodic solution x = x(t. 3 . where a is a positive number.2) and that the stationary point 0 is not stable as t . we conclude that there exists at least one limit cycle. In this section./ . then dt = e(x2 .4.4. Now. In fact. the linear part of the righthand side of (X. where A = [ 01 and d dt [y112 i /  112 [i].2) ] [ E(y1 1)112 . The multipliers of the periodic solution x(t.318 X. e) of (X. This implies Y that eJ (x(t)2 .+oo. e) of the van der Pol equation (X. In fact.1)y2.4. Theorem X31 implies that system (X. while 0 is an unstable spiral point for 0 < e < 2. it was shown that every orbit of the system (X. Multipliers of the periodic orbit of the van der Pol equation In Example X25. Therefore. the seven conditions (i) .2) at y = 0 is Ay.4. THE SECONDORDER DIFFERENTIAL EQUATION X4.(vii) of Theorem X31 If we! set v = xz z 11 2 .+oo.1) d + x = 0. 3 H(x) = e I are satisfied. since h(x) = e(x2 1). wwhere 11 = d . Proof. using the PoincareBendixson Theorem (cf. . the positive zero of H(x) is a = J > 1. the stationary point is an unstable node for e > 2. and g(x) = x.1)dt = .4.4. Now look at Figure 11. we looked at the van der Pol equation (X. Using Observation X24.
.5.e(2W + ew2)x. Set e = 0. THE VAN DER POL EQUATION FOR A SMALL PARAMETER 319 On each of two curves Cl and C2. Then.4. Note that x2 > 1 on C1.1) to x722 + e(1+eW)(x21)d + (1+&.2) must be approximated by one of those circles as e + 0. Assume also that the differential equation d2 2 + f(x) dt + g(x) = 0 r1 has a nontrivial periodic solution x(t) of period 1 such that the multipliers of the periodic solution x(t) are 1 and p such that jpI < 1.4.5.2) has more than one periodic orbit.4.2) t = (I +eW)T so that the period of the periodic orbit becomes 27r for every e > 0. Assume that two functions f (x) and g(x) are continuously differentiable in R.5. where T is a period. Therefore. we normalize the independent variable t by the change of independent variable (X.x2) . the proof of Theorem X41 is another proof of the uniqueness of periodic orbit of (X. If system (X.3) d 2X 22 + x = e(1 + ew)(1 . We expect that the periodic orbit of (X.2)) for a small e > 0. This implies that fT e (x(t)2 . we can complete the proof by using the following lemma. J0 f (x(t))dt > 0.2).2) for a sufficiently small e > 0. then at least one of them must be orbitally unstable.1)dt > 0.4.d)2x = 0 that can be written in the form (X.1) dt[y2J LyYi Every orbit of (X. Then. Transformation (X.2) changes differential equation (X. Remark X43.4. Lemma X42. The main problem is to find the radius of the circle which approximates the periodic orbit of (X. Therefore. X5.4.4.1) is a circle and of period 2n in t. Hence. let us denote y as a function of v by yl (v) and y2(v) respectively.5. system (X.5. yl(v)2 < y2(v)2.5. we explain a method to locate the unique periodic orbit of differential equation (X. but x2 < 1 on C2. The van der Pol equation for a small e > 0 In this section.1) (or system (X. Since the periodic orbit and its period are functions of e.4.2) becomes (X.
J sf(s)sin(r .K.5.5. w.5.S[f]sin(r)  Furthermore. Observation X53.WE)WJf I C(K.8) jr+21r 1 + 2a s f (s) .5. Observation X52. ._(s. where K and 0 are arbitrary constants.6) 10 f (s) sin(s)ds = 0 and J0 f (s) cos(s)ds = 0. E) =  (1T cos(s)ds. Letting K be a parameter and a function v(r.320 X.w. K.s)ds r as it is shown with a straight forward calculation.4) d2x T' + x = f(r) d is given by (X. v(T) = Kcos(r + 0) (X. set S(K.x2) . f (S) (X. v(r) is periodic of period 27r. E) _ (I + (w)(I .6) is not satisfied.(2W + EW2)x. In the case when condition (X. f) be periodic in r of period 27r.W.s)ds is the general solution of the differential equation dr2 + x = f(r) . Set f ( X.5. .S[ f ] sin(s) . o Then. In the case when a realvalued function f (r) is continuous and periodic of period 27r in r. This solution is periodic in r of period 2ir if and only if 2w 2w (X.5) /'r+2n x(r) = K cos(r + m) + a.5.7) S[ f ] = 1 fo i f(s) sin(s)ds and C[J] = 1 7t J cos(s)ds. the general solution of the linear nonhomogeneous differential equation (X. set 27r 2.C[ f ] cos(s)Jsin(r .) _ 1 2w j 2w 7r f f (v(sKw. THE SECONDORDER DIFFERENTIAL EQUATION Observation X51..
.w. w)J sin(r) 4 . Va .S(K. These two power series also converge uniformly for I K1 <.5.11) v(r. E"'Cm(K.[2wK + Co(K.K.Ko.wo). W.Co(K. IwI <.Co(K.5. K.wo) such that series (X.2wKcos(r) . Solutions of (X.5.5.w) and C. E) = K cos(t) + (X.w)+ .K .w) with constant coefficients.C(K.5.w) and C(K.5. This implies that S(K.12) S(K. w) are polynomials in (K. dr. c) and C(K.s)ds.11) and (X.So(K.w. E) is a convergent power series in c: (X.E) = E EmS.E) _ F.. w.w).K.K sin(r) . c) sin(s) .w) = Rcos(T)+E vl(r.So(K.12) into system (X.C(K.w) are polynomials in (K. let us consider an integral equation +2 a v(r. w) with coefficients periodic in r of period 2n. E) cos(r) as long as v is periodic in r of period 2ir. . EL .r2 + V = E [f( V.. m=0 m=0 where Sm(K.w. f) tos(s)] sin(T . E I ..10) d. where vm(r.wo. For any given positive numbers Ko and wo.S(K.5.w) sin(1T) . Inserting series (X. E) are also convergent power series in c: 00 0C (X.K2cos2(r))(Ksin(r)) . w.5. IEI Eo(Ko. w. K.So(K. w.E) _ m=0 EmVm(T.(K. w)1 cos(r). 00<T<+00. w.10). IEI <. IwI < wo. we obtain d2vi dr2 + vi = (1 . w. K. c) sin(r) .2wK cos(r) . w. w.Eo(Ko.11) is uniformly convergent for I K1 < K0.wo) Observation X54.5.w) sin(r) .w) cos(r) = K3 cos2(r) sin(r) .(K.9) 2n fr s I f lV. This integral equation can be solved by using successive approximations in such a way that the solution v(r. w. there exists another positive number Eo(Ko.w) cos(r) = 4 K sin(3r) + 1 .fi. THE VAN DER POL EQUATION FOR A SMALL PARAMETER 321 Now.5.9) satisfy the differential equation d 2V (X.
Observation X55. w. The van der Pol equation for a large parameter In this section.5.4. Therefore. w. w(e) = 0(e).w) _ 2wK.1) becomes I . E) _ (t. Then. 0. e/f Then.0) x(2. C(2.w) = I K3 .1) _ dt [z21 3 (`1 z1 by setting x=z1 and 21 Set {z2] =z2ef 3 . system (X.1) for a large e. the system of equations S(K. Set x(t. Let us write (X.322 X. Conclusion X56.K and Co(K. The unique periodic orbit of (X. 0) = 0. From the fact that y2(t. and 8K (2.3) and x(t.2) tends to the circle yl + Y22 = 4 ase. e) = 0 has a solution K(e) = 2 + 0(e). 0) = 0 . x(t. and t = er.2) d [$2 Il where a =  . e) = v (T+ f1w(E) I K(E).0. C(K. e) = K(e) cos (1+Ew(e) t + 0(e) as a + 0.I Eu' dr 1 E (X. This implies that S(2.6.zl). 0.r.4.0) _ 2 200 8C200 10 0 41 8.0+. w(E). e) is a periodic solution of (X. f) =  1 K(f) t sin C 1 + ew(e)) + 0(e) as e + 0. X6. The functions K(E) and w(e) are power series in e which converge if Iej is sufficiently small.6.1) in the form (X. e) = 0.6. THE SECONDORDER DIFFERENTIAL EQUATION Since v1 is periodic in r of period 2. we obtain the following conclusion. we consider the van der Pol equation (X.0. we must have So(K.4.
Note that. along an orbit of (X.2) enters in the open set V(!3) at r = ro. the unique periodic orbit of (X.wtl Therefore.6.2). we use the line segment C1(a) = j wi. . Step 1. Theorem X63. Figure 15). (3) if an orbit of (X. a(3)3 . THE VAN DER POL EQUATION FOR A LARGE PARAMETER 323 Observation X61. FIGURE 14. From Observation X61 a rough picture of orbits of (X.6.6. then the orbit stays in V(/3) for r > ro. Observation X62. (X.3) dud dwl 01 3 Q2w1 . defining the curve Co by Figure 14. (2) the closure of V(J3) shrinks to the curve Co as O 0+. FIGURE 12. Figure 13). w2) far away from the curve C : w2 = 3 . In eight steps.2) is obtained (cf.6. Fixing a number a(3) > 2.a((3) I : 0 < wi <_ a(/3)} as a part of the boundary 8V(i3) of V(/3) (cf. Actually. Figure 12). FIGURE 13.2) is located in an open set V(/3) such that the closure of V(f3) contains the curve Co and shrinks to CD as 0 + 0+. Proof of Theorem X68. For a sufficiently small positive number J3. of any orbit is small at a point (wl. we prove the following theorem. FIGURE 15.w!. we construct an open set V(13) so that (1) the closure of V(O) contains the curve Co. if 3 > 0 is sufficiently small.6. the slope dw.6. This implies that every orbit moves toward the curve C almost horizontally (cf.
wl.8).Q a(f3)2 .wl . Figure 16). . and (iii) µ(a(. C 3 w'/ where dw2 denotes the slope of C2(0).wi. we choose the curve C2(O) _ {(wt. (i) µ(w1.6.Op(wi..O a(0)2 .4) dwl 1. 1 < w1 < a(0) } w2 = 3 .1 .wl .324 X.8 dEc(w1. 0).8) = 0. On the curve C2(f3).3) is continuous for 1 < wl < a(0) and continuously differentiable for 1 < wl < a($).4) is i given by a(/3)2 .2 = as a part of the boundary OV(#) of V(f3) (cf.wl = 0µ(w1. Note that on the curve C2(. THE SECONDORDER DIFFERENTIAL EQUATION Note that the slope of an orbit given by (X.3). 1 µ(a(0). where 1 < wl < a(fl)} . The unique solution to problem (X.13) Owl _ /32w1 W2 _ f wl _ wl /f 3 l µ(w1. Let us consider a curve CO) = j (wi. 3 . Thus.6. hence. ws) : w2 = 3' . Also. the slope of the curve C2($) is _ w1 .6. Step 2. we obtain /32w1 dw2 W2  dwl for 1 < wl < a($). 0) > 0 for 1 < w1 < a(0). 31 .f) 2 dwl dw2 dwl This implies that if µ is fixed by the initialvalue problem (X.1 at w1 = 1.3) is negative on C1 (O) and decreasing to oo as wt increases to a(f3). 0) On the other hand. (ii) µ(w1. wz) : u. 0) = 0. 3 \ and.. dw2 is 0 on C1(f3).
6. THE VAN DER POL EQUATION FOR A LARGE PARAMETER
325
Step 3. We choose the curve
C3(/3) =
{(wIw2): W2 = 3  Q a(N)2  w1, 0 < wl < 11
as a part of the boundary OV(/3) of V(/3) (cf. Figure 17).
C
C1(p)
FIGURE 16.
FIGURE 17.
On the curve C3(/3),
1w3
W2
31
wl)
3  31  wl l  /3 a(/3)2  wi
2
and, hence,
/32w1
(,w3
31
0'w1
wl/
/
a(Q)2
 w1 + 3
+
(31  wl
a(Q)2  wl
On the other hand, the slope of the curve C3(/3) is
implies that
02W,
dw2
dw,
This
1
<dm2
dw,
w2where
(u, wI ) 3
for 0<w1<1,
denotes the slope of C3(0) (cf. Figure 17). Note that on the curve awl C3(3), W2 =  3  Qa(Q) at wI = 0.
Step 4. Now, let us fix the positive number a(/3) > 2 by the equation
(X.6.5)
2
3
+ 3a(3) = a(3)  a(13).
Denote by C+(/3) the curve consisting of Cl(/3), C2(13), and C3()3), i.e., C+(Q) _ C1(Q) UC2(/3) UC3($). Let C_(0) be the symmetric image of C+(Q) with respect to the point (0, 0). Then, C+(3) U C_ (/3) is a closed curve if a(,Q) satisfies condition (X.6.5). We use the closed curve C+(/3) UC_(/3) as a part of the boundary 8V(/3) of V(/3) (cf. Figure 18).
326
X. THE SECONDORDER DIFFERENTIAL EQUATION b(3) 3
Step 5. Fixing a positive number b($) < 2 so that 3 =
choose the curve
 b(j3) +,A(0), we
r!(,3) = {twiw2) : w2 =
b(3)3
b(j3) +,6b($)2  w;, 0 < w, < b(13)}
as a part of the boundary 8V(j3) of V($) (cf. Figure 19). Note that, on r,(j3), 2 w2=3 at w, = 0.
FIGURE 18.
FIGURE 19.
On the curve r, (,B),
/32w1 02w1 b(3) 3
w2
Q b(B)2  wl +
 b(8) 
(3'
w,)
>
Q wl
b(3)  w,
dullw2
On the other hand, the slope of the curve 171(3) is
ap)2'
wi
Step 6. We use the two curves
r2(0) = {(wiw2):
3
w2
3
wi, 1 <w, <b(S)
ll
JJ
r3($) = {(wltw2): U2
2, 0 < wl < 3
as parts of the boundary 8V(j3) of V(8) (cf. Figure 20). Note that on r3(Q), the slope of an orbit given by (X.6.3) is positive and dd is negative.
Step 7. Denote by r+(j3) the curve consisting of r,(8), r2(8), and r3(8), i.e.,
r+w) = r1(Q) u r2(a) u r3(8).
Let r_ (j3) be the symmetric image of r+(j3) with respect to the point (0, 0). Then, r+(p) U r_(8) is a closed curve. We use the closed curve r+(j3) U r_ (f3) as a part of the boundary OV(0) of V(8) (cf. Figure 21).
328
X. THE SECONDORDER DIFFERENTIAL EQUATION
(iii) the function Y(x) is a solution of the differential equation
F (x, Y,
and
d'Yx(x)
I = 0,
M for a positive constant M on the interval 0 < x < t.
Let y(x) be any solution of the differential equation
AL2 + f (x,y,LY) = 0
ly(x)  Y(x)I < {h, +
on the interval 0 < x <
Proof.
(A>0)
satisfying the conditions y(O) = Y(0) and ly'(0)  Y'(0)l l< p. Then,
a(L
+
k)}exp[ Lx]
if c and A are sufficiently small.
We prove this theorem in four steps.
Step 1. Setting
y=u+Y(x)
change the equation
and
__v+dY),
(A > 0)
ad.z + f (x, y, dT ) = 0
to the systern
(X.7.1)
du
dx
= v,
dv
F(X, u, v, a),
where
F (x, Y(x), v + d
)
I + F(x, u, v,.)l < (e + AM) + Kf ul,
l
as long as (x, u, v) is in the regi/on
Do = {(x, u, v) : 0 < x < t, Jul < a(x), lv) < pe`= + b(x)}.
Also,
F (riY(x)v + d ())
F x, Y(x). v + d
in Do. Hence, in Do,
(X.7.2) )
> Lv
< Lv
for for
v > 0,
())
v < 0,
for
F(x, u, v, A) < Lv + Klul + (e + AM) F(x, u, v, A) > Lv  Klul  (E + AM)
v > 0,
v
for
0.
8. A SINGULAR PERTURBATION PROBLEM
329
Step 2. Suppose that two functions wl (x, .A) and w2(x, A) satisfy the following
conditions: (X.7.3)
0 < w2(x,A) < pe' + b(x), 10 < wl(x,.A) < a(x), w2(0,.1) > p, wl(0,A) > 0,
wi (x, A) > W&, A),
Aw2(x, A) > Lw2(x, A) + Kwl (x, A) + (E + AM)
on the interval 0 < x < e. Then, as long as (x, u, v) is in the region
Dl = {(x,u,v): 0 <_ x < e, IuI < wi(x,A), IvI < w2(x,A)},
it holds that
IvI < wi (x, A),
.F(x, u, w2(x, A), A) < Aw2(x, )1),
F(x. u, w2(x, A), .A) > aw2(x, I\).
Look at the righthand side of (X.7.1) on the boundary of V. Then, it can be easily seen that if a solution of (X.7.1) starts from Dl, it will stay in Dl on the interval 0 < x < e.
Step 3. Show that two functions
Jwi(x,A) =
w2(x A) =
J0
x
A)l
+ 62(1+1),
peLx/A + Alex:/L
ApA e + AM + K62(e + 1) where bl = L2 + , satisfy the requirements (X.7.3) if f, A, L and a positive constant 62 are sufficiently small. Observe that two roots of AX2 +
LX K=0 are L (o and (o = L
Step 4. Note that
+O(A).
wl (x, A) = (L (1  eLx/A) +
/
bK I (eKx/L  1) + 82(x + 1).
To complete the proof, look at Jul < wl (x, A) as 62 4 0.
0
d
The inequality v< wr a, )as 62 2( I VI
dy dx
0, yields the following estimate of
fE
dY(x) < peLx/A +
dx
lim aLx/A
+
L
L
(h + M1 ] ex'/L.
L
J
Note that
=0
if
x > 0.
330
X. THE SECONDORDER DIFFERENTIAL EQUATION
X8. A singular perturbation problem
In this section, we look at behavior of solutions of the van der Pol equation
(X.4.1) as a + +oo more closely. Setting t = Er and A = c2, let us change (X.4.1) to
d2x 2 J1dr2 + (x 1)dx
dr
+x=
0.
Set A = 0. Then, (X.8.1) becomes
(X.8.2)
(x2  1) d + x = 0.
Solving (X.8.2) with an initial value x(O) = xo < 1, we obtain x = 0(r), where
2 )2  In I0(r) I = r + 2  In(xo).
Observe that
d0(r)
dr
0(r) 0(7)21 > 0
2
if
d(r) < 1.
Note also that setting ro = 2  In(xo)  2 > 0, we obtain ,(ro) = 1 and
45(7)2
 1 > 0 for 0:5 r < ro. The graph of 0(r) is given in Figure 22.
FIGURE 22.
(i) Behavior for 0 < r < 7o bo, where do > 0: Let us denote by x(r, A) the solution to the initialvalue problem
(X.8.3)
d2z
a dr2 +
(x  1) dx + x = 0, dr2
x(O, A) = xo,
40,A)
= 77,
where the prime is d7 and q is a fixed constant. Using Theorem X71 (Na6J, we derive
I
Ix(r, A)  O(T)I 5 AK, Ix'(r, A)  4'(r)l 5 I77 
0'(0)leP'1x
+ AK,
8. A SINGULAR PERTURBATION PROBLEM
331
for 0 < T < To  60, where K and a are suitable positive constants.
(11) Behavior for lx+1l< o: First note that lim p0'(T) _ +oo. Set ¢'(ro2bo) _
1 > 0. Then, there exists T1(A) for sufficiently small A > 0 such that Pi
{ O<ri(A)<ro_So,
x(T1(A),A) _ O(Tp  26p),
llm T1(A) _ 7.0  280,
X
x'(T,
A) >
2P1
for
r1(A) < T < TO  60.
Set p =
(X.8.4)
1A)
Then,
ALP
= p2(x2  1) + p3x,
regarding p = p(x, A) as a function of x and A. Note that
0 < p(x, A) < 2p'
for
¢(ro 26o) < x < x(rob0, A) < 1,
0 < A < AO,
where A0 is a sufficiently small positive number. It is important to notice that if
we make 60 small and if we make A0 also small accordingly, we can make p1 small. Set
(X.8.5)
o = 1  ¢(T0  26o)
and
M0 = max Ix2  11.
I1+xI<a
Then,
(X.8.6)
o > 0,
lien o = 0,
=
and
0+0+
lim Mp = 0.
Furthermore, 0 < p1 < Mo since P1
1  ((TO  25p)2
0(TO  260)
Therefore,
0 < p(z, A) < 2Mo
Now, we shall show that
(X.8.7)
for
¢(r025o) < x < x(ro  50, A), 0 < A < A0.
0 < p(x, A) < 2Mo
for
Ii + xt < o,
such that
0 < A < A0.
If (X.8.7) is not true, there must exist a
p({, A) = 2M0,
0 < p(x, A) < 2Mo for 1a:5 x<
Then, this implies that
5
A)2(Mo +
A)2(1 + g) < 0.
332
X. THE SECONDORDER DIFFERENTIAL EQUATION
This is impossible.
(iii) Behavior for 1 + or < x < 2  al: To begin with, it should be remarked that
J(2_1)d
(X.8.8)
1)d. =
[.._]2 i
C3
=
8
2 ( 3+1J
= 0,
x)3<0, for
1<x<2.
Fix a positive number al so that
(X.8.9)
j(2  1)4 <  y
for
1+a< x < 2al,
0+ and
where y is a sufficiently small positive constant. Note that ry + 0 as do
al 0+Integrating (X.8.4), it follows that
(I)P(
so that
x,,\p(z )
= P( I, A)  J
(C2  1)

f
1
agd
x<0. Hence, if we choose \0>0
A
7
y
< 4K
for
0 < A < A0,
where
K=
f
0
2
w e obtain 0 < p(x, A) < 9K for 1+a <x<0, 0<A <A0.
(II) p(x A) > y
a
K max
2K
2
A) for 0 < x < 2  al. Suppose that
for
0<
Then, 0 < p(x, A) <
0<
< x, 0 < A < A0.
< L. Thus, we proved that 2K
for
(X.8.10) 0 < p(x,A) < 2K
1+a < x < 2  al,
0 < A < A0.
(iv) Behavior for 2  al < x < 2 + a2: First look at
p(2  at, A)
2&0), A) 
1) +
p(, )ld
8. A SINGULAR PERTURBATION PROBLEM
333
Notice that p(2  al, A) is independent of 5o. Then, it can be shown that
A
p(2  a,, A)
0+
as
a, + 0+
and A
0+.
For a fixed positive number a2, assume that
0 < p(x, A) < 1
Then,
for
2  al < x < 2 + a2i 0 < A < Ao.
2+02
P(2 + 2, A)
Hence,
2+0a
p(2  o , A)
12,,
g2  1) + P( A)fl
> Q.
J o,
g2  1) +
< p(2  A A) al,
for 2  al <x < 2 + a2.
This is a contradiction if al and A are small. Therefore, if Ao > 0 is sufficiently small, there exists an x(A) such that
2  al < x(A) < 2 + a2
and
p(x(A),A) = 1
for
0 < A < Ao.
It can be shown that ao*x(A) = 2. Urn
Setting r(x(A)) = r(A), it can be shown that liM +r(A) = ro. Now again, apply
Theorem X71 (Na6) to the initialvalue problem
AT2 + (x2  1)d + x = 0,
x(r(A)) = x(A),
x'(r(A)) = 1.
Figure 23 shows the general behavior of x(r, A) for small positive A.
TO
FIGURE 23.
yl. Y1.g(x) + e(t) is well defined and bounded for 0 < t < +oo. the boundaryvalue problem dt2 = F (t. apply Theorem X13 [Na4j with w. dy(a) dt = a' dY (b) dt _3 have a solution? (3) Show that the boundaryvalue problem d2x dt2 = tx + x3. y(t)) of the system dy = dx _ f(x. (ii) g(x) is continuously differentiable in oo < x < +oo. (iii) e(t) is continuous on 0 < t < +oo. where a For (3). y. y. Hint. (1) Show that if F(t. [yl[ < +oo.t)Y dt Y ' df .y. A counterexample for (2) is d2 (n) = 0. (2) Does the boundaryvalue problem dtY dt2 = F t. Show that every solution (x(t). X3. (iv) f (x.. where r is a positive number r.x)2 dt + d2x dx2 (x . t) 0 for x2 + y2 > r2 and t > 0. x(3) = B has a solution for any real numbers A and B. y(b) has a solution. 2 + dx dt  1 l + x2 = 0. t)space (i. y. X2.y2) is continuous and bounded on Il = {(t. (b) = 1. Suppose that (i) f (x. (vi) 1 je(r)Idr is bounded for 0 < t < +oo. .334 X.1)2(x + 1)x = 0. &) !LY (a) = a.(t) = a and w2(t) and 3 are sufficiently large positive constants. Find the global phase portrait of each of the following two differential equations: (i) d2x + x2(1 . t) is continuously differentiable everywhere in the (x. 1y2[ < +oo}. Y2) a < t < b. THE SECONDORDER DIFFERENTIAL EQUATION EXERCISES X X1. y.e. x(2) = A. (v) G(x) = J g(t)dC ' +oo as jx[ 0 0` r> +oo. dY dt () = 0. in p3). y.
2) tends to one of the stationary points as t ' +oo. Considering the system of two differential equations d yi y2 (E. y(t)) satisfies conditions that x(t)2 + y(t)2 > ro for to < t < ti. Hence. Show that the differential equation d2x dz has at most one nontrivial periodic solution if fix) and g(x) are continuously differentiable in !R and satisfy the following conditions (i) (ii) + f (x) d+ 9(x) = 0 for for f (x) { > 0 <0 for for 1x3 < 1. if an orbit (x(t). t)yz + e(t)y.1) for small e > 0 and for large e. examining every possibility. (e(r)!dr for X4. X7. Show that the differential equation d yi _ ill dt [y2 ] [ E(yi . we obtain d V(x(t).. where a is a positive parameterX5. y.byl where a and 6 are positive numbers. Then. V(x(t). .y(t)) < V(x(to). to <t < t.f (x. <0 9(x) 2<x<0. Set V (x. X6... 0 (s + bs3J[1 + E2(si)]ds and Theorem IX22. (a) show that every orbit is bounded for t > 0. There exists a positive number ro > r such that V(x.EXERCISES X 335 Hint. Find an approximation for the unique periodic orbit of (E. (x + 2)x > 0.1)y2 .1)y2 + yi .i/i . > 0 J (iii) g(x)dx = 0.y(t)) < Ie(t)Iiy(t)I <2(e(t)j This yields V(x(t).2) dt [ y2] [ e(yi . (b) determine whether each stationary point is stable or unstable.Eyi has exactly one periodic orbit.y(to)) + ft.1 )  y2 + E(yi + 6YNY2 + J ! y. (d) discuss the uniqueness of periodic orbits. y) > 4 for x2 + y2 > ro. show that if 0 < 6< 3.y(t)) for to <t <t. (c) using the function ( E. every orbit of system (E. d = . y) = 2 + G(x). IzI > 1.
The main ideas are as follows: (1) If there are more than one nontrivial periodic orbits. (1. 77(D)). x'(t)). First the following remarks are very important. There are only two critical points of (S). q(C). (a) If we set y = x'. (1.336 X. y) = 2 + level curve V (x.rt(B)). x(t) _ f(x(t))(x'(t))2 Therefore. (c) The periodic orbit and any line {x = a constant) intersect each other at most twice. For a fixed value of A. while the index of the critical point (2. (d) The critical point (2. Since A(t) is increasing as long as . using the assumptions on f and g. A level curve of V (x. Exercise IX5). x'(t)) of period T > 0. See [Sat]. investigate the quantity (x'(t))2 as a function of A along the periodic orbit (x(t). 0) is 1. the given differential equation is reduced to the system (S) dt = y. then at least one of them should not be orbitally asymptotically stable. 2 Step 2. the inequality fT o f (x(t))dt > 0 implies that this orbit is orbitally asymptotically stable (cf. . and (1. the periodic orbit must intersect the lines x = 1 (as well as the line x = 1) twice. and q(D) are positive numbers. (3) Set a(t) = V(x(t). compare (x'(t))2 for different values of x(t). where r)(A). n(B). the periodic orbit cannot intersect the level curve V(x. 0) are on the same 1 J0 is a closed curve if the curve is Io _ 1 g(C)d{. Denote these four points by (1.0) should not be contained in the domain bounded by the periodic orbit. jx(t)I < 1. da(t) dt ( x'(t))2 2 + f . THE SECONDORDER DIFFERENTIAL EQUATION Hint.0) is 1. Step 1.Jr (x' ) 2 Now. In particular. (1. x'(t)) = Then. use the fact that the index of any periodic orbit is 1.y) = / 0 Therefore. These facts imply that the periodic orbit should be confined in the halfplane x > 2. 0) and (1. To show this. y) = / 0 r: totally confined in the strip jxj < 1. we obtain (I) dA J f(x( t) )dt = .s1(A)). dt = f (x)y  A careful observation shows that the index of the critical point (0. (2) For a nontrivial periodic orbit (x(t).q(C)).
(6) on the arc between (1. rl(D)) and (1. regard y as a function of A and denote it by yz (A). Now. rl(D)) of the periodic orbit. rl(B)) and (1. Ac) }. regard y as a function of A and denote it by yi (A). regard y as a function of A and denote it by y2 (A). AA > AD Then. Set AA 337 = V(1. AA > AB. Z(D) = { A: AD < A < min(AA. rl(A)). where AB < A 5 AA.EXERCISES X Step 3. yi (A)2 < y2 (A)2 yi (A)2 < y2 (A)2 I(C).ao yi ao ys (A)2 aD y2 (A) 2 Jao y2 (A)2. Ac = V(1. yi (A)2 = . AD) }. Z(C) = { A : Ac > A > max(AB. Now. AD = V (1. n(B)). (Q) on the arc between (1. Then. Set AC > AB. rl(B)) of the periodic orbit. (a) on the arc between (1. AD) }. Z(B) = { A : AB < A < min(AA. _ dA Joe y2 (A)2 = Jaa y2 (A)2 I" + Jib rAc y2(A)2. r1(C)) of the periodic orbit. where AD < A < AC. (ry) on the are between (1. on Step 4. dA ra° dA dA (A)2. Z(A) = { A : AA > A > max(AB. . it can be shown that yi (A)2 < y2 (A)2 yi (A)2 < y2 (A)2 on on on I(A). where J\A rac r" lao AC dA yi (A)2 dA as yi (A)2 yi dA (A)2. evaluate the integral (I) as follows: rT {JA8 f(s(t))dt =  dA rc J w yi (A)2 + dA J ra° dA rAD dA AA dA 1 y2 (A)2 dA +'Ac yl (A)2 + IA a y2 (A)2 T . where AB < A < AC. Ac) > A > max(AB. Z(D). regard y as a function of A and denote it by yi (A). where AD :5 A < AA. rl(A)) and (1. rl(D)) AC > AD. AD)} is contained in Z(A) n Z(B) n Z(C) n I(D). n(C)). Z(B). )'C) }.JaD yi (A)2 . rl(A)) of the periodic orbit. fixing a AO E Z(A) n Z(B) n 1(C) n T(D). Note that the interval lo = JA: min(AA. rl(C)) and (1. AB = V (1.
338 X. if any. in the following six cases: (1) 0 < B < A. Find. X10. y2 increases to c very quickly. (4) B = A > 0. and periodic function f (t) of period T which is defined on oo < t < +00. y(1) = B. (X(t)2  X9. Exercise I1). find the uniform limit of 0(t. For a nonzero real number c and a realvalued. and (6) B < 0 < A. (2) B = A. A) is the unique solution to the initialvalue problem 22 + (x2 1) dt + x = 0.o+ dt as a function of X (t) for 0 < t < Q. c) on the interval oo<t<+ooasE+0. and . or find the solution explicitly (cf. A) = X'(O). find a unique solution 0(t. y'(0) = Q where e is a positive parameter.8 is a positive number. Also. and that x(t. find lim y(t. continuous. we conclude that J T f (x(t))dt > 0. c) of the boundaryvalue problem 4 e dt2 + 2ydty = 0. Assuming that X(t) satisfies the condition X(t) = 0 and IX(t)I > 1 on an interval 0 < t < t. c = Q + a2 > a2. find lim d2x(2' a.y2. Hence. Also. THE SECONDORDER DIFFERENTIAL EQUATION Thus. use Theorem X71 [Na6]. Hence. Hint. where a is a positive constant. there exists at most one periodic orbit. E) of the differential equation E dt = y + f (t) which is periodic of period T. (5) CBI < A. solution(s) y(t. (3) B > IAA. e) for any fixed t > 0. X11. find lim y(t. e) for 0 < t < 1 in each of the six cases. Assuming that y(t. Then. X8. 0+ . A) = X (O). assuming that e is a positive parameter. y(0) = A. Look at E dt = c . x(O. dt2 dt f 0+ d2 y(0) = a. Then. x'(O. E) is the solution to the initialvalue problem t2Y + 2ydy = 0. This implies that every periodic orbit is orbitally asymptotically stable. or is a real number.
t. where c1 i c2. IyI < +00.4'(t) C3e e + co for 0 < c5e <_ t < 1. Then. y. Use explicit solutions together with the Nagumo Theorems (Theorems X13 and X71) on boundaryvalue and singular perturbation problems. X12. t. 0) and 4(1) = B on Zo. Let a(t). Theorem X13. where r1 and r2 are positive nmbers. where K is a positive number. there exists a positive number co such that for each positive f not greater than co. t. e) and its partial derivatives with respect to (x. e) on a region R = {(x. e) < p on R. Cf. y. y"(0) = 12(E) Show that ly(t. where B is a given real number. x(1. y. E) . Assume that (i) 0(t) is a realvalued. t E Zo. y'(0) = 171 W. c4. e)I < +'(IyI) on (vi) A is a given real number. 4o(0)I + Iti1(E) . e) 00(t)I+ Iy'(t. (ii) the function f (x.EXERCISES X 339 Hint. c) = B such that Ix(t. t.di(t)I < IA . and [How]. e) be a realvalued funcion of four real variables (x. For a positive number e. c3. t. twicecontinuously differentiable function on the interval Zo = {t : 0 < t < 1) and satisfies the conditions 0 = f (¢(t). b(t). continuous. x(0. See also [How].40(0)I + Irn(E) . t. d2x d . y) are continuous in (x. x'(t. (iii) If (4(t). y.E) . Also. e) 40 (t)I +Iy"(t. Hint. X13. See also Exercises X10 and X12. 4'(t). and f (t) be realvalued.¢(t)I < rl. e) the unique solution of the initialvalue problem d3y 3 + dt2 + a(t) dy + b(t)y = f (t). continuous. E) of the boundaryvalue problem f d#2 = f (X.h(0)led=teft/` +C2e on Zo.0011(0)1 + 0 as . t. denote by y(t. e) . y. +oo and that If (x. and cs are positive numbers. e) : Ix . t. 4'(t). let 4o(t) be a realvalued solution of the differential equation a(t) dt + b(t)z = f (t). e) = A. (iv) there exists a positive number µ such that Of (x. t. t. y. y. (v) there is a positivevalued and continuous function '(s) defined on the interval J+00 0 < s < +oo such that R. and continuously differentiable functions of t which are defined on the interval 0 < t < 1. 0 < E < r2}. Let f (x. there exists a solution x(t. e) 40 (t) I tends to zero uniformly on the interval 0:5 t < 1 if e0+. y(0) ='7o(E). e) I < Ke for t E Zo. e).
(iii) there exists a real m x m matrix P(t) such that (iiia) the entries of P(t) and P(t)1 are realvalued. t E lo. let ft f. 0 = (ii) f(i. e) and g(i. e) . t. t. t. t. Let Y E lR". y.¢(t)I + I y(t. where rl. e) which are periodic in t of period T. y. t. (iii) all eigenvalues of the matrix ber M on . y(a) = #(f) has a unique solution (2(t. e) : I x . f)) for t E Zo and 0 < e < r4 if e + IC(e) (a)I + Ir(e) . e). t. i. t.0)P(t) = B2(t)]. y. 0) on Za. and e E R.(a)I . t. Let x E lR". y. Also. y') are continuous on a region R = {(i. where rl. r2. and periodic of period T[Bat on Zo. y". t. t. e) and g(x". y". e) be respectively R'valued and 1R'"valued functions of (x. e). e). e) be respectively R"valued and R'valued functions of (i. t. t E R. y. and their partial derivatives with respect to (x. Assume that (i) an R"valued function fi(t) and an R'valued function t%i(t) are continuous and continuously differentiable on an interval Zo = {t : a < t < b} and satisfy the system of equations dx" dt = f (Y. where Bi(t) is a real m1 x ml matrix with eigenvaules havingnegative real parts on 10i while B2(t) is a real (m . show that Ii(t. THE SECONDORDER DIFFERENTIAL EQUATION X14. y(t. y E R"'. See [LeL].t'(a)I is sufficiently small on 0 < e < r4i where r4 is a positive number. 0). continuous. y.0 uniformly on Zo as e + IC(E) . t. ti(t). Iy . t. (ii) f (Y. x(a) = ((e). e). Also. IEI < r3}. (iv) the system . y. y. g(x'. (1(t). t. 9. and r3 are positive numbers.0. let t. and r3 are positive numbers.m(t) I < rl. 0) on Zo. y E Rm. y". y. 0) are less than a negative num Show that the initialvalue problem T = f (: d:5 . and periodic of period T on the interval Zo = it : 00 < t < +oo} and satisfy the system of equations g"(x. Hint. e). and their partial derivatives with respect to (x. continuously differentiable. t. y. y. 0 = g(x.(a)I + I#(E) .t. t E Zo.1(t).j(t) I < r2. 0 < e < r3 }.ri. (iiib) P(t)8b(m(t). and e E R.7G(t)I < r2. E). t E R. e) . g(i. d = f (:F. y) are continuous on a region R = {(:e. Assume that (i) an R"valued function fi(t) and an R"'valued function t%'(t) are continuous. t. 0).ml) x (m .tj. e) : Ix . y". a dt = Y §(Y.m(t)I <. Also. r2.340 X. t.70. t. e). continuously differentiable.(t)I . I y . f). X15.ml) matrix with eigenvalues having positive real parts on Zo.
0) [ w(t).y. y(t.t.t. e). e) . Also. 0)J ON(* it).e) has a unique periodic solution (a(t. e) .(t)I + lc(t. dy" adt =9'(2.EXERCISES X 341 d.f(s.f). t. G(t).t.iF 8iq(t). See [FL] .y. t.iJJ(t)j 0 uniformly on To Hint.Of (fi(t). show that jT(t.F= . 0) z does not have nontrivial periodic solutions of period T. e)) of period T on To if 0 < Iej is sufficiently small.0) . +G(t). t. Show that the system di dt . (t).
the Poincare asymptotics is too general for the study of ordinary differential equations. the divergent formal power series 00 f= m=0 (1)m (m! )x'"+1 is a formal solution of x2 r_ dy + y . for example. XI1. The Gevrey asymptotics was originally introduced in [Wat] and further developed in [Nell. Consider a formal power series 00 (XI.1. In §XI1. M=0 342 .(x . we explain the asymptotic expansions of functions in the sense of Poincare and in the sense of the Gevrey asymptotics. [Ram3]. and (Si19] are helpful. This is an example of M=0 an asymptotic representation of an actual solution by means of a formal solution. To understand the materials concerning the Gevrey asymptotics of this chapter. [Wasl]. [Si17. [Si18]. Integrating by parts. flat functions are characterized by the condition lim E f) = 0 for all positive intexm gers m.7 tNel/tdt = xN+2 . we summarize the basic properties of asymptotic expansions of functions in the sense of Poincare. we N 0 obtain f = M=0 (1)m(m!)xm+1 + (. whereas in the Gevrey asymptotic.(N + 2)el/= r stN+1el/tdt < xN+2. k.a)m. as we mentioned it in Remark V14. Let x = a be a point on the extended complex xplane. we conclude that f (X)  N 0 (_l)m(m!)xm+l < ((N + 1)!)xN+2 for x > 0. Theorem V15). (Ram 21. Asymptotic expansions in the sense of Poincare In this section. see. Since 0 < el/=10. For more information concerning the Poincare asymptotics. Appendices]. The Gevrey asymptotics is explained in §§XI2XI5. flat functions are characterized by the condition If (x) I exp(cIxIk) < M as x i 0. Formal solutions are not necessarily convergent. For example. In this chapter. [Ram 1]. In the Poincare asymptotics.1)N+1((N + 1)!)e1/x fox tNel'tdt. where c. Generally speaking.1) P(x) = E c. A motivation of the Gevrey asymptotics is also given by the Maillet Theorem (cf. we explain the asymptotic expansions in the sense of Poincare. This equation has an actual solution f (x) = el/=J t1ehIldt for x > 0.x = 0. and M are some positive numbers.CHAPTER XI ASYMPTOTIC EXPANSIONS In §§V1 and V2. we defined formal solutions of a system of analytic differential equations.
is said to bean asymptotic (series) expansion of f (x.1.(x .1. If f (x) is holomorphic (i. Definition XI11.4) f (x) ^_M=0 c. Such an asymptotic relation is denoted by (XI.... For a continuous function f (x). there exists a constant KN such that N (XI. Assume that f (x) is defined and continuous in Do. N = 0.e.2) M0 f(x)>2cm(xa)m < KN Lx . In that case.a)m <K1v(t)Ixa1N+1. The vertex x = a can be x = oo.1. 2. by virtue of the Taylor's Remainder Theorem. where c. Before we explain some basic properties of asymptotic expansions.1) is said to bean asymptotic (series) expansion of f (x) as x k a in V if for every nonnegative integer N. This definition of an asymptotic expansion of a function was originally given by H.. KN(t) are independent of t. t) as x 0 in V if for every nonnegative integer N.1.2.3) f(x) p(x) as x a in D. the asymptotic on series is in the form m=0 C nx"'.a)14 as x a in D . f (x) admits its Taylor's series expansion as its asymptotic expansion in any sector with vertex at x = a. such that N M=0 f(x.1.. N=0. for all x in Do. there is at most one asymptotic expansion as x + a in a sector with vertex at x = a.. independent of x. Remark XI12.aIN+r. ASYMPTOTIC EXPANSIONS IN THE SENSE OF POINCAR$ 343 Let D be a sector in the xplane with vertex at x = a and Do be a neighborhood of x = a in D. t) M=0 Cm(t)(x . 1. moreover. Assume that f (x. t) is a function defined and continuous in (x. Remark XI14. A formal power series N F c. analytic and singlevalued) in a neighborhood of x = a.. then the asymptotic expansion is said to be uniform with respect to t. there exists a function KN(t).(t) is a function oft. The formal series (XI.. Poincare [Poi2J. it is worthwhile to make the following remarks. Theorem XI15. Proof Assume that there are two asymptotic expansions of f (x) at x = a 00 (XI...1. Remark XI13. for all x in Do. t) for x in D and t a parameter in a domain H in the tplane.(t)(xa)'". If.
> cm(x . N .(x . Thus. Then. from (XI. M=0 7m(xa)' as x i a in D.2.a)m + E2(x)(x . IE2(x)I <_ LN m=0 ..a)m <LNIxaIN+1 N=0. N .. Assume that f (x) and g(x) are two continuous functions such that (XI. . f (x) .f (x) m=0 .. there exist two constants KN and LN such that N+i . O Theorem XI16.1.)(x ..1.a)m as x +a in D.7) 00 f (x) > cm(x .. cN = 7N.. 1.a)N+1 Then.a)m < KN Ix . Let x a in D.1. Let x + a in D. we obtain co = 70 Now. then. N Fix a nonnegative integer N and put f (x) _ > cm(x . 2.a)'+Ei(x)(xa)N+i N M=0 and g(x) _ > 'ym(x .10) IE1(x)I <_ KN.a)"' m=0 as x + a in D. . assume that Ck = 7k for k = 0.1..al for x in Do.1. for all x in a neighborhood Do of x = a in D.a)m as x + a in D M=0 f(x)g(x) 1 Ch7k) (x .a)' M=0 and g(x) ^' E 7m(x .al m=0 N N = 0.1.5) and (XI. there exists two constants KN and LN such that (XI. Then. for every nonnegative integer N.1. f (x) ± g(x) 00 (cm ± 7. ASYMPTOTIC EXPANSIONS f(x)^. For N = 0.7ol < (Ko + Lo)lx .344 and XI. Then. it follows that ICN 7NIIxaIN < (KN+LN)IsalN+l for x in Do. we have Ieo . m=0 h+k=m Proof. .6). cm = 7m is true for every nonnegative integer m. 1.
1=0 .a)m < KIx .p2. Theorem XI18.. ) = Ip1=o F.. z' = zr z2 . Thus. Since lim f (x) = co.13) 4ip(x) _ E Fpk(x .9) holds.aIN+1 for x in Do.a)' __ p"(x) as x ' a in D. Ixml}..(x)zY. Also. . (XI. and Iz7 = max{Iz1I. k=0 If f (x) is a continuous Cmvalued function with entrywise asymptotic expansions 00 f (x) ^. zm ... Thus.1. I zl < bo.. z) is a function with power series expansion 00 F(x.11) If (x) ± 9(x)] .al < b. Suppose that f (x) is a function holomorphic in 0 < Ix .at < S. 2.1. 345 N (XI.al < 8 and admits an asymptotic expansion (XL1. Pm) with nonnegative integers p.> f (x .8) holds. .1..E I(Cm ± 1'. the asymptotic series actually converges to f (x) in 0 < Ix . the asymptotic series agrees with the Taylor's series (cf. Suppose that F(x. Define the formal power series in (x. Thus. we define I6oI = P1 + p2 + + p.z2.12) where 4i(x..a)m < (KN + LN)I x .a)k k=0 as x .a)k. 00 (XI. zm) and p = (p1. (XI. x = a is a removable singularity.1. 2) = E 4ip(x)iV. which converges uniformly forx E D.. IZ21. Proof. Theorem XI17. ra For a vector z E cm with entries (z1.aI < 8.. lpI=0 0 (XI. ASYMPTOTIC EXPANSIONS IN THE SENSE OF POINCAR$ for x in Do. . where Fp(x) 00 is continuous in D and admits an asymptotic expansion Fp(x) c 1: Fpk(x .4) with V = (0 < Ix . Thus. f (x) is holomorphic in Ix .aIN+1 M=0 for x in Do. the asymptotic series converges in Ix .1..1.. it is easy to see that there exists a positive constant k such that f(x)9(x)  m=0 h+k=m ( Ch7k) (x . Therefore. Remark XI14 and Theorem XI15)..at < b}...](x . a E D. m). Therefore. Then. (j = 1.
we obtain N F.fo) = E F.1.fo) defines a formal power series of (x .fo)p + Ip1=0 00 > Fp(x)(f(x) Ipl=N+1 .1.14) Proof. Proof. hence. F(x.al < p.D(x. Ip1=0 m=o Since this is true for all positive integers N.(x)(f(x) .f0)p = m=0 Hm(x . the theorem follows immediately.alN+1).a) and (XI.aIN+1). Suppose that f (x) is a continuous function with asymptotic ex Let p(x) denote the formal power series (X7.f(x) .18) E Fp(x)(f(x) . Ipi=N+1 Set N(x) =. N N (XI.fo) = >2 Hm(x .fo)p = E Hm(x . Then.fo)p = O(Ix .f0)p N /. Then. the theorem follows from Theorem X118. 0 Theorem XI19.fol < 6o for Ix .1.fo) = 4'(x.a). p(x) . Consider F(z) = co+z I . pansion (XI.(x)(f(x) .4) and co 34 0. 0 . Ip1=0 00 E Fp(x)(f(x) .Plx) . Choose p so small that I f (x) . pjx) .1. by virtue of Theorem X116..a) and f(x) ox) as x +a in D.y 1p1=0 o)'. N N (XI. Pox) defines a formal power series in (x .a)m +O((x .17) 1p1=0 op(x)Q3(x) .1).346 XI.a)m +O(Ix . f (x) . M=0 Then.1.fo)p. Then.a)N+1) and. ASYMPTOTIC EXPANSIONS then 45(x.fo) as x + a in D. Fix a positive integer N and put N F(x.
Consider a circle I' _ {t1 It . put f (x) = pN(x) + EN(x). we obtain df (x) dx = 1 r 2rri Jr (t . Proof N Set pN(x) _ E c. I dp ax as x . Let p(x) denote the formal power series (XI. From (XI. r and its interior are contained in D.1. Let x be a point of D. where = E mr.1.1).0+. f a f(t)dt aZ fa =P(t)dt as x a in D.1.alN+' for x in a neighborhood of x = a in D (cf.. Definition XI11).4) and (XI.x)2 f __ 1 r PN (t) 2rri Jr (t x)2  I + 2rri Ir (t  EN (C) x)2 dt.1.xI = 2Ix . ASYMPTOTIC EXPANSIONS IN THE SENSE OF POINCAR$ 347 Theorem XI110. where the path of integration is the line segment joining a and x. m=1 Proof.e. where s = It .9_ }. Ten. For a nonnegative integer N.(x 00 a)m1 . Let 0 = min{6+ . Suppose that f (x) is a continuous function with asymptotic expansion (XL 1.4) as x ' a in D. Let p(x) denote the formal power series (XI.. Then. . J f(t)dt 1 m+1cm(xa)m+1 as x * a in D. 0_ .a in D.1. it follows that m0 If (t) PN(t)Idtl 5 J 0x_al If(C) Jsal PN(t)l ds KN J0 sN+1 = KN Ix .al. Then. Let D be a proper subsector of D with vertex x = a.. Using Cauchy's integral formula. Then. Suppose that f (x) is a holomorphic function with asymptotic expansion (X1.1.al sin 9 }.a) = 6t and those of D be arg(x . i.5). (x .a) = 0± (9_ < 0_ < 0+ < 9+). 1.al N+2 N+2 O for every nonnegative integer N.4). Let the radial boundaries of D be arg(x .a)'.19) EN(x)I 5 KNIx . Theorem XI111. there exists a positive constant KN such that (XI.1).
.fk(x)I S bjk for x in Do. r_(rll>I= e'4'2IxaIsin0. k).aIN) . ASYMPTOTIC EXPANSIONS 2Ixal sin 0. there exists a positive constant KN.. independent of n. lira Cnm = Cm 00 f (x) ^.) is a sequence of continuous functions such that they admit unifonn asymptotic expansions 00 (XI. the theorem is proved..a)n' M=0 (j = 1.Then. Furthermore.(x) .3.. 3. there exists a positive constant bjk such that (XI.24) If.2.1. Suppose that {fn(x)In = 1. ) M=0 for x in a neighborhood of a in D.19) implies 1 1 EN () tai r (x)2 I fEN()drl 172 _ 1 1 2x 7 EN(e)e"'dcb = 0 (Ix . 3. where (XI.1. } converges uniformly to a function f (x) in a subsector Do of D with vertex x = a. 2... .1.2.26) pjN(x) =E cjm(x . Thus.. Assume that {f(x)In = 1.3..25) bjk+0 as j.. ).) as x + a in D.> M=O a)' (n = 1..1.348 ei4' XI.0<0<27r l 11 ( and (XI. .2..1.a)' M=0 as x + a in Do.3.23) I a)'1 :5 (n = 1. Proof The assumption implies that for each nonnegative integer N..1.. such that N (XI. . k + oo. 2. Then.20) fn(x) ^. Put N (XI. Theorem XI112.E cm(x . for each pair of positive integers (j.
.25) and (XI.) for x in Do.27) holds independently of j.2 . Thus.3.1..) for N = 0 and x in Do.3.2. from (XI. Therefore. Ritt..3.. = c. 0 as j. ..alN+1 where e)k k=1 .31) D={xIO<Ix al <ry.1. since (XI.29) imply that lim c)o = CO exists.3.1. (XI.. Thus.1.30) P(x) = > c.2.. Consequently.2. F..1. IC)N .k= 1.a)N M=0 < S)k + 2KNIx . it follows 1 00 that N1 E (C).CkNI Ix .a)m m=0 and a sector with vertex x = a (XI.1.... For a given formal power series in (x .(x ..a) (XI.k=1.1. (XI.).alN+1 M=0 for x in Do. ASYMPTOTIC EXPANSIONS IN THE SENSE OF POINCARE 349 Then..27) Ifj(x) P)N(x)I 5 KNIxalN+1 (j = 1. Borel and J..aIN < e)k + 61k + 2KNIx . .. exist for m < N.3. ) 00 l00 Furthermore.22) holds..).a)m < KNlx .1..1.2. Hence. for all m.1.> cm(x . (31<arg(xa)<p2}.28) IP) N(x)PkN(x)I 5 5)k+2KNIxalN+l (j.. Theorem XI113 ((Bor( and [Ril). Ic)N CkNl :511 Iz aIN +2KNIxal (j. k . Then. = c. (XI. The following basic theorem is due to E.. .2. (XI.alN+1 (j. . In particular.). Thus. Therefore.Ckm)(x .. Assume that lim c). 3 .k = 1.. (XI. lim c).29) Ic)o .1.k= 1.. we obtain N f(x) .. oo..a)m + (CjN ..28). lim c)N = cN.CkN)(x . ..ckol < b)k+2Kolxal (j.
lam(x)I < 2mymlx . am(x) are holomorphic in a the fact that `sector containing D.a)m converges uniformly in D. 0 0.. Consider (XI.32). 35) bm z<0. in D. 2 .33) and for I1esl=l jetdt <Izi it follows that (XI .33) 01 arg(x . and m=1 satisfies (XI. Proof.alme 2m.32) f (x) ^_. .(x . Let bm and 0 be positive numbers.. whereas 0 is chosen to satisfy 0 < 0 < 1 and (XI.1.34) am(x) = 1 .aIe' m= 1 .1.nam(x) (x ..a in D. where bm are to be specified later. assume that the sector D contains the ray arg(x  a) = 0. such that f (x) = co + 00 E ca. 1 .1. Ix . . f (x) = co + m=1 E c..1.a)I < 2 for x E D. ASYMPTOTIC EXPANSIONS them exists a function f (x) which is continuous in D and holomorphic in the interior of D.1. Then. m = 1. Consequently. holomorphic in the interior of D.a)mI < E M=1 m=1 Oo for x E D..ym Then..a)' M=0 as x ..1...m(x ....... 00 Icmam(x) (x . if Cm=0.(x)(x .36) bm = I Icml' 0 00 if c.E c.exp l  r 1 2m1. .350 XI. Hence. (x) for m = 1.a)0 J . Also. 2.. Construct functions a. Put (XI.a)m is continuous in D. f (x) is continuous in D and holomorphic in the interior of D. from (XI.. and 00 (XI. 2. Without loss of generality.
..aj"I.a) N+1 Since (XI. .1.a)m <HljxaIN+1 for xED. where q.n(xa)m <KNIxaIN+1 for xED. Also. 1.a)m in pour ers of (x . (XI. For a given formal series p(x. 2. t) in D x S2 and satisfies the conditions (XI.i (2y) +2 I {x .32). (t) (m = 0.(t)(x .a)e ] Ix .1.35) implies that there exists a positive constant H2 such that 00 m=N+2 E cmam(x) (x  a)mN1 1 [00 Ix aimN1 (2'r)mN1 (27)N+1Ix .H2 2y for X E D.) are holomorphic and are bounded in a domain S2. t) which is holomorphic with respect to (x. Therefore.32) is satisfied.31).33) implies that iexp [ i cmam(x)(x a) Lm=N+2 .a)m as x + a in D . there exists a positive constant KN such that N f(x) c. let N be a positive integer and observe that N+1 N+1 AX) 0D .37) A x ..1.aj0 m=N+2 N+2 . 2'n7m(x . Thus. ASYMPTOTIC EXPANSIONS IN THE SENSE OF POINCARE 351 To show that f (x) satisfies (XI.. N... there exists a function f (z.E cm(x .=1 N r cexp _ I m1 2mrym(x bm . 1.. are bounded for x E D. 0 Similarly to Theorem XI113..aI .I.1. r = 0. Theorem XI114.1. there exists a positive constant H1 such that .a and a sector D given by (XI.a)m m=1 =EC m=1 exp 2y(Z 00 ax .a)m 7)01( mN1] + (x . t) M=0 m c.a)e] (x . . (XI.1. we can prove the following theorem. t) _ 00 cm(t)(x .
O Examples XI115... [01..1)!zk + N!100 ettNldt.. Let r(z) denote the Gamma function and Log z denote the principal branch of the complex natural logarithm of z.x + M=1 m1 2m(2m + eN(z) where IeN(z) < ( BN+1 (2N+1) 2(N+1)(2N+1)z )I cos 8 + w ))2N+1I sin(2w (see. t) = co(t) + where a.(t)0. p.37) and (XI. t) is holomorphic with respect to (x. and 10 + w l < 2 .1.E (k k=1 1)!zkI < {N! + (N + 1)!(7r + (N + 1)1)) 32 IzIN1 for I arg(z)I < 7r. t) in D x 1 and satisfies (XI. If 0 = arg z satisfies IOI < 7r.1. 00 dt m=o dt as x . it can be shown that f (x. ). The exponential integral function Ei(z) = N J ettdt has the following form: z o0 Z Ei(z) = er J(k . a in V uniformly fort in Il. The followings are two examples of functions admitting asymptotic expansions.. Proof. then Log[r(z)] _ (z  rN Logz . m=1 f (x. (Wasl. choose +I ` 00 6m = Set { 0 I ax 1cm(t)I] L t r: I d d (t) J }1 if c (t) 0. .38) ( X. for example. 31[).38) in a manner similar to the proof of Theorem XI113. a real number w satisfies Iw I < 2 .. As I dcd't(t) are bounded in Sl (m = 0. ifC. (x) are given in (XI. ASYMPTOTIC EXPANSIONS (XI. p.1. are the Bernoulli numbers 2. Then. . Cm(t)am(x)(x . The asymptotic expansion is valid for I arg(z)I < (see..1.34). 294]).352 and XI.1.a)m. it follows that N eZEi(x) . k=1 From this observation. 1. ( and the B. for example..
A formal power series p = +oo E anx' E C[[x]) is said to be of Gevrey order s if there exist two nonnegative m=0 numbers C and A such that (XI. where r is a positive number. we shall explain the basic properties of ar[[x]] A. b) + G[[x]]. We denote by C([x]].o and Bp. . GEVREY ASYMPTOTICS 353 XI2.. b). JJa It is well known that if a complexvalued function 0(x) is holomorphic and bounded on a domain 0 < [xj < r. a. Let s be a nonnegative number. a.Q..3 < b. 0) for every positive integer N and every (p. In §XI3.A(N!)'(Bv. the Maillet Theorem (cf. (r. b) the set of all functions admitting asymptotic expansions of Gevrey order s as x ' 0 on the sector D(r. Also.2. We also set J(4) = p for 0 E A. a.. b). (r. a. a.. a. Furthermore. Gevrey asymptotics The Gevrey asymptotics is based on the following two definitions. a. (r. (r. a. A function 0 of x is said to admit an asymptotic expansion of Gevrey orders (s > 0) as x + 0 on a sector D(r.a. b)..x"' E G[[x]]. where s depends on each solution..2) 0(x)  E amxm < Kv. a < arg(x) < b}. such that an inm equality N1 (XI..2. In the example given at the beginning of this chapter. +00 (ii) there exists a formal power series p = > a. the formal solution p = 00 E (1)m(m!)x"+1 of X2!Ly +yx = 0 is of Gevrey order 1 and the solution f (x) = M=0 eL/z Jxt1elltdt admits an asymptotic expansion of Gevrey order 1.2. the set of all power series of Gevrey order s. b).1) [am[ < C(m!)'Am for m = 0.. J(f) = p. Definition XI21. The Gevrey asymptotic expansions arise .1. Theorem V15) states that any formal solutions of an algebraic differential equation belong to C[[x]]. b) = {x : 0 < fix[ < r. We denote by A. 03) satisfying the inequalities 0 < p < r and a < a <.2. and the map J : A.o are nonnegative numbers determined by (p. a. a.3)8[x[N M=0 holds on D(p.. for some s. /3). where a and b are two real numbers such that a < b and r is a positive number if (i) ¢ is holomorphic on V (r.a. Definition XI22. then 0 is represented by a convergent power series in x. when KP.
2. For every ¢ = cx"j E C{x}. S2.354 XI. .1 dt.. 0 (1 = 1. at.k(0) E Al/k P..N) which satisfy the condition USt = (x: 0 < IxI < r}.xm E C[[x)]. and k > 0 are suitable numbers independent of 1.01+1(x)I < 'Yexp [ on St n St+1. Theorem XI23.. 2. (2) dt(z) is bounded on St. 2.. N).. This integral is called an incomplete Leroy transform ofd of order k. ON (x) satisfy the conditions (1) 4t(x) is holomorphic on St.... S1 %r) at x = 0 is good and that N functions 01(x). A > 0. .3) I¢e(x) .. set k rr x J0 +oo 0(t)e('1x)}tk..at < x (1 = 1.. at<arg(x)<b1} N (1=1. To illustrate such a situation. where y > 0. Assume that a covering {Si. ASYMPTOTICS EXPANSIONS in a similar but more general situation. There are various situations in which Gevrey asymptotic expansions arise. bt) and J(41) = p for each 1. where aN+l = al + 27r. there ex. . ... . such that ¢t E M=0 A. Theorem XI24.2...E k. let ¢(x) be a convergent power series in x with coefficients in C. Also. For two positive numbers r and k. . Set (X1.. ¢2 (x).sts a formal power series p = E a . ( (ii) bt ..2.. a covering {S1. (3) it holds that (XI.. To explain such a situation. . where ) S t n St+1 SN+1 = S1.2k'2k . SN } at x = 0 is said to be good if (i) at < at+l (t = 1.2. The set {S11S2.4) +00 Then. ... . N). SN} is t=1 called a covering at x = 0. let us consider N sectors St={x: 0<Ixl <r. it holds that m=0 R if 4. .. N) and Stn Sk = 0 otherwise if 1. S2. (r. The following theorem is the most basic fact in the Gevrey asymptotics.
dtI < 2k . since e(°/=)` exp . and set J OtW _ I. where k and p are any positive numbers and r is any positive number smaller than the radius of convergence of 0. . Statement (3) follows. . For an arbitrary small positive number e... S2(e). . .arg x)J and kj argaargxj < 2 ke for a E ?Y and x E St(e)f1St+1(E) Since a is arbitrary. if d(x) = I'(l belongs to C{x}.. Therefore.. In fact. SN(c)} be a good covering at x = 0.. 0 < jxj < r} with real numbers dt such that ir < d 1 < . ON} satisfy conditions (1). we obtain an important + . where the path of integration is the line segment connecting 0 to re{d'. . Braaksma. Exercise XI13). where St(E) _ {x : I argx . The following proof is suggested by B. N). L.. . 2. note that  (t = 1.e. J(01) can be computed easily (cf. (1) and (2) are evident. and (3) of Theorem XI23. N). J. it follows that 61 E Allk I P.bt+1(x) = k X j 0(a)e(ol=)'ak1d.k(4)) _ M=0 r 1 1 + k Cm2'".SN(e)) and {01. if and only +ao m=0 sm)xm corollary of Theorem XI24. . .S2(e). dt + +00 2k (t = 1. 4t(x) = tr. 02. choose dt = 0 for some t. of (x) . . (2)... de . Then. GEVREY ASYMPTOTICS and +00 355 J(tr. . Observe that a power series p = 1: a. let {Sl (e). k Qe(x) = zk J / re'd' 0 0(a)e(o/s) o r 'da... Therefore.nxm E C[[xjj belongs to C[[xJ).< dN ir.k(0t)(xed`) In particular.t fx / cos[k(arg a . 2. Furthermore. .r.. t where the path ryt of integration is the circular arc connecting re'd'+1 to re'd'. Proof.2. To prove (3). {Sj(e).
. Then. 02(z).. A > 0. such that (a) 4. Also.01 = 01 + 0.356 XI. (x). N). d .(x) = 4t(x) . 2. . . there exist N functions ).. . . 2.i/'e+l(x) onSt n St+1. 0 is represented by a convergent power series.. 24). 2.. ON (x) satisfying conditions (a) and (b) of Lemma XI26.. at < arg(x) < bt} (e = 1. . where y > 0. Theorem XI23 follows immedi ately. Theorem XI113) of 2 the Poincar6 asymptotics. d . and k > 0 are (ii) I6t(x)I suitable numbers independent of e. Therefore. Then. at.2 .. For any p E G[[x]]. this corollary implies that the map J A8 (r.. there exists a function ¢(x) E A. N} at x = 0 is good and that N functions 61(x). . Define s by (XI.. where St = {x : 0 < I x[ < r.t E A. bt) and J(4't) = p. N). ASYMPTOTICS EXPANSIONS Corollary XI25. . .s7r . 2. . t...4Gt+1(x) on St n St+1. implies that (e = 1. N).4. 0 We shall prove Lemma XI26 in §XI5. (r.41+1(x) (e = 1. there exist N functions 4111(x).4Vt(x) on St (e = 1. Define a function 0 by (e = 1.t+1(x) = t t(x) . Because the Gevrey asymptotics of functions containing parameters will be used later. 0 is holomorphic and bounded for 0 < IxI < r.'IPN(x) and a +oo formal power series p = > m=o E C[[x]]... Then. 2 Theorem XI23 is a corollary of the following lemma. Lemma XI26.... Proof. 62(x). 6v (x) satisfy the following conditions: (i) 6t is holomorphic on St n St+1.b2(x). Let us prove Theorem XI23 by using Lemma XI26. In particular. . . 7exp[Alxlk] on St n St+1. . (r. N) 4. This corollary corresponds to the BorelRitt Theorem (cf. in turn. 2. . This. Since . (b) implies that Oe(x) . 2.. N) 01(x) .. d + ) such that J(O) = p. is onto. d + 2) + c[[x]].. and any real number d.4Gt+1(x) on St n St+1. we state the following two definitions. . (b) 6t(x) _ t(x) ..4't(x) = 4.1+1(x) . . . Set 5t(x) = 4t(x) .. Assume that a covering {St : e = 1.
[Ram 21. Flat functions in the Gevrey asymptotics In the next section. a.3. all the coefficients a.2. Q).e. and A.. Definition XI31. The materials of this section are also found in [Rain 11. a<arg(e)<b) uniformly on a domain D in the u'space if f (ii. In §XI2.2. Theorem XI23. . . The following theorem characterizes flat functions of Gevrey order s. Theorem XI24.b)={e: 0<je]<r. [Si17. is a homomorphism of differential algebras over C. .eEIV andN=1. there exist two nonnegative numbers KW and Lµ such that N (X1. we explain the basic results concerning the nullspace of J. such that (XI. (r. e) admits an asymptotic expansion +00 p = E am (u")em of Gevrey orders as f m=0 0 in V uniformly on D and the expansion off is 0. 2. XI3. Definition XI28. 2. Let s be a positive number.a < sir (cf. Set V = D(60. and Lemma XI26 can be extended in a natural way so that we can use them for functions containing parameters. Corollary XI25).5) Iam(i )I < Co(m!)sCr for u E D and rn = 0. a.6) f (u.. Lets be a positive number. 1.> am('tL)cm < M=0 1)!]8L fori ED. we shall show that C[[x)). e) . we introduce the following definition.. Corollary XI25. and [Si18). (r. We leave such details to the reader as an exercise. Appendices].. In this section. Qo) = {e : 0 < Ie] < 5o. ao < arg e < (30} and W = D(b.. To begin with..a. i.0 in a sector V = D(r. A formal power series m=0 is said to be of Gevrey order s uniformly on a domain V in the uspace if there exist two nonnegative numbers Co and C. (ii) for each W such that a0 < a < 0 < X30 and 0 < b < 60. FLAT FUNCTIONS IN THE GEVREY ASYMPTOTICS 00 357 am(u')em Definition XI27. it was shown that the map J is onto if b . (ii) of p are equal to zero. a0. b) C[[x)). e) is said to be flat of Gevrey order s as e . b) are differential algebras over C and the map J : A. A function f (u e) is said to admit 00 an asymptotic expansion am(u")em of Gevrey order s as c m=0 0 in V uniformly on D if m=0 (i) > am(i )em is of Gevrey order s uniformly on D. A function f (ii.. a.
1) where If(u.358 XI. a. The converse is evident.(m + 1)e}] Hence. 2. I. ASYMPTOTICS EXPANSIONS Theorem XI32. choose a nonnegative integer m so that k me < Then.e)I<KtyexpIikI for (i. Q) such that 0 < p < r and a < c< < ft < b..i) < (m+1)e. For a given e E W. 1. (XI.e) ED x W.3. (.2) Proof. 1 I f(u' e) 5 Comm/k (me) = Coe"'/k = Co exp I ke {e .. I f (u". A function f (u".3) 2m m! = 2nm mme'm l [i +0(01.0 in a sector D(r. there exist two nonnegative numbers C and A such that I f ( u " . b) uniformly on a domain D in the iispace if and only if for each W = D(p. by virtue of Stirling's formula r`k) (XI3. e)j < C(m!)"Am jelm for (11. . k = s Suppose that for a fixed W. where K = Coexp[s] and A = e .. .f) E D x W and m=0.e)I < Com"'Ag'jem for (u. Then. e) I < K exp[A ejk] for every (6.. a.e)EDxW..3. 0 0 . If(u.2. there exist nonnegative numbers KW and Aw such that (XI. c) is flat of Gevrey order s as e . e) E D x W and m = 0.1.
coss((k9) (k7r)) IxEk I for x E V. (COS I cos(U') for I arg x1 < . then f = 0 identically in V. for 1 IF(x.B C1 where 0 = argx.COS ) s k] for argx = 0.set F(x. Lemma XI35). If (x)I < C exp [BI i)pk . If f (x) is holomorphic in V and If (x)1 < Cexp[BlxlkJ for x E V for some positive numbers k. (r.a)1 < Cexp IB ( cosE . we derive f (x) = 0 if argx = 0 and x < p. It is known that a function f (11. FLAT FUNCTIONS IN THE GEVREY ASYMPTOTICS 359 Remark XI33.T .a)l < C for argx = ±7r. x E V. a. is onetoone if b .1 rk () Ixj = r <pand IargxI < Therefore. Remark XI33 is a consequence of the following lemma. x E V. pp. Proof Fora>k. for each fixed value of a.a)l < Cexp .a) = f(x) P cos(k ) B x_k.3. we shall state and prove the theorem precisely (cf. Since use was made of the PhragmdnLindelof Theorem. . Lemma XI34 ([Wat]).C[[xBJ. by virtue of the PhragmenLindelof Theorem (cf. Let V = D A . e) is identically zero on D x V if (i) f is holomorphic in a on V for each fixed ii in D. IF(x. and C. This completes the proof of Lemma 11135. when p is a positive number. 4344J).a)I < Cexp [B In particular. 2k 2k ).a > sa. In particular. [Ne2. b) . B. F is holomorphic in V and IF(x. This implies that the homomorphism J :A. we conclude that IF(x. Letting a + k.2a Then. (ii) f is flat of Gevrey order s as e + 0 in V uniformly on D. x E V.
where A and K are positive numbers.01 < f (3.aml]. 2 J Izlu follows that Ig(x)I < M for x E W. b) uniformly on a domain D in the u"space. where M is a positive number. I f(x)I < Kexp[AIxIk] for x E W. (XI. a)do and of (a.0)) . Appendices].a < < 7r. where p(w) is a positivevalued and continuous function on the interval a < w < Q. Q and e> 0. If f is holomorphic in e on D(r. Therefore. Since g is holomorphic in W.0))Ixl`] < Kexp[IxIr(ecos(f(argx . I9(x)I = If(x)Iexp[ecos(t(argx .4). Then. then a. The proof of this theorem is left to the reader as an exercise.0. where 1 0= a 2 .3. Letting e . where W is the interior of W.3. we summarize the basic properties of the Gevrey asymptotic expansions.a < A . [Ram2] and [Si17. 0 < IxI < p(arg x) }. For more information see [R. f is holomorphic in W.4) Proof. b) for each fixed u" in V and f is flat of Gevrey orders as e . XI4. Choose I > k so that Q .0 in D(r. we derive (XI.a) < 2 for x E W. (2) f is continuous on W. If (x) I < M for x on the boundary of W except for x = 0 . it If (x)I < 11f lexp(e(esex)t)I for xEW. a. . b) j f (u. Set g(x) = f (x) exp[e(e'sx)r]. a. 0 0 (3) (4) (5) Then.360 XI. First we prove the following theorem. e) are also flat of Cevney orders as e ' 0 in uniform' Of ly on D.AIxIt'k)] for x E W. Basic properties of Gevrey asymptotic expansions In this section. lim g(x) = 0 and I9(x)I 5 If(x)I for x E W. where k is a positive number. Assume that (1) Q . Therefore. Let W be a closed sector in C given by W = {x : a < arg x < .Q. If (x)I < M a P for x E W. Note that eI arg x . Theorem XI36. We can also prove the following theorem without any complication. ASYMPTOTICS EXPANSIONS Lemma XI35 (PhragmenLindelof).
. u.e(vU... 3) such that 0 < p(a..un.. sn) as e 0 in V(p(a. define a P(16. .. .) x St and admits the formal power series p(u1.). e) are holomorphic in a domain D x D(r. the function Ft(ui.. (ii) flu l. . un. b) uniformly on V.. .n(v) are holomorphic in D. 0).. c) is holomorphic in D x D(p(a. (3) < r and that the function F(Oi (6. .. e)... .. formal power series in a by . un. we conclude that under the same assumptions as in Theorem XI41. n}. e) is holomorphic in the domain V x St and admits the formal power series pj (u".. the function 03 (v.. un.. e) as its asymptotic expansion of Gevrey order max(s.. 03) uniformly on the domain D. . . e). M=0 Pi(Of" where the coefficients P.t).. Remark XI42. . e) in a do main D(rl. . (3) satisfying the condition a < a < 0 < b. .rn) x D(r. .. 0) satisfying the condition a < a < Q < b.(u1 i . (iii) n Cvalued functions 61 (v".. . .. thin (6. . a. 03).un.Iefk . Assume that (i) a Cvalued function F(ul... tin. e). . where the coefficients a.n(v") are holomorphic in D.. e) in a is of Gevrey order max(s.Ft+1(ul.E) ... for any (a. .e) is holomorphic in the domain D(r1 i .. the formal power series P(v. . . QSn.n(u1 i . .rn) = {(u1. . e).. .a. . Un.t(U.e(17. where D is a domain in the 6space. sn) uniformly on D... un) are holomorphic in D(ri. there exists a positive number p(a. Proof of Theorem XI41... where m=1 the coefficients bj. ... (iv) for each j. e).. rn). . (v. e) is holomorphic in (ul. b) uniformly mc0 on D(rl. . .. e)..n(u1.. c) = p(p1(i'. e) _ +oo E b3... un. On(v. a.. where D(rl.. . a. .. r. rn). j = 1. . (2) for each (j. ..4.. (3) there exist two positive numbers K and A such that . ¢1... s1. ... As a consequence of this theorem.. .()! < Kexp a . a.. choose a suitable good covering {S1. E) _ +oo Ean... un)E' of Gevrey order s as a ' 0 in D(r. Fixing a pair (a. Q) and admits the formal power series P(U.. a....un) : Iu3f < r. .. Then.. N) such that (1) for each e. un) as power series in ( u1 . b).b).. BASIC PROPERTIES OF GEVREY ASYMPTOTIC EXPANSIONS 361 Theorem XI41... r. ... Unit) as its asymptotic expansion of Gevrey order s as e ' 0 in St uniformly on D(r1.. the function 6.. si .n(v')e'n of Gevrey order si as a + 0 in D(r... e) admits an asymptotic expansion p. . e) (e = 1. Regarding the coefficients a.. SN } ate = 0 and N(n + 1) functions Ft(u1.)... e) admits an asymptotic expansion p(ul. e) as its asymptotic expansion of Gevrey order sJ as e + 0 in St uniformly on V.
E). the map J : A. (ii) f9 E C([xJ]. (5) $t = D(p. Also. . a. a. . (r. (r.e. (r. = F. (respectively A. (respectively A.. e) I .. Si Observe that Fe+1(&. C([x]].t(V. (respectively A. Therefore. Fl(41. a. b)) if f and g E C((xi].. n) for some fo. we complete the proof of Theorem XI41. e). Theorem XI43. a. (r.e). (respectively A. 0 As a corollary of Theorem X141.x' and ao 54 0.[+1(6. rn) x (St n St+l ). (respectively A. a. K. a. a. and A are suitable positive numbers. using Theorem XI23. and O.F1+1(dl.362 XI. e)1 + JFt(¢1. t. ASYMPTOTICS EXPANSIONS on D(rl.[(ve E). b)) if f E C((x)J. Remark XI44. . a.. (r.e). b) with J(f) = > a. (iii) cf E C[(x]]. a. (r. (r.e+1(v.. a. b)).e). where k. b)) if f E C((xf. (respectively A. where L. b) are commutative differential algebra over C. we can prove (iv) and (v) of Theorem XI43 in a way similar to the proof of Theorem X141. b)). and A. (i) f + g E C((x]]. E).[+1(v. (v) / Z f dx E C((x]].e). a. b)). . 41n.e+1(V.e) o. (respectively A. . (r.& We can accomplish this by virtue of Corollary XI25 and Theorem XI32. E) (v..+1(v.. (respectively A.1 (V. we obtain +"Q m=o 1 E f . (r. ¢n. (r. (r. . (r. e) E V x (St n S[+1). n..E) . b)).. a.e)I 1 Kexp  k JEI on D x (St n St+1).. b)) if c E C and f E C((x]J. = .. b)) if f and g E C((x]]. (respectively A. .. a. Ft. (iv) 1 E C((xJ].1+1(V. (respectively A.. b) t C((xi]. is a homomorphism of differential algebra over C. (4) for each j = 1.. a.E). tl < LKexp [I 1 n E Ik + Kexp [( E IC`J' for (6.. b)) Furthermore. E3). it holds that 101. (r. the following result is obtained without any complication. it can be shown that if f (x) E A..1+1(Lt. +dn.. Using Theorem XI36. where k = 1..
. t . . 2. a. N. Ct : z = teie1 (0 < t < r). 2. 2....1. choose N line segments C1. . /3) is a XI5. Thus.. at(x) on St nSt. compute t/t(x) . SN. Thus. Let Ct (respectively Ct_1) be a path obtained by deforming Ct (respectively CL_1) without moving the endpoints so that W is contained in the . respectively. (2) Ct + Ct+1 is a simple closed curve whose interior contains x. t).. .... without moving either of its endpoints so that (1) Ct C St n St+l and Ct+l c St n St+1. These N line segments divide the open punctured disk V = {x : 0 < IzI < r} into N open sectors S1. Proof of Lemma XI26 In order to prove Lemma XI26. 0 < txI < r}.5. [Ram2]. where for each t.fl). t = 1. N. . i. 0) and J suitable positive number depending on (a. The functions +Gt can be continued analytically onto St by deforming Ct_1 and Ct without moving any of their endpoints. t = 1.e.. PROOF OF LEMMA XI26 363 A. + e«. N).tPt+1(x). Set lr Zt(x) = N 1 21rt h=1 for x E St. fix an t and a closed sector W contained in St. write 'Pt and tLt+1 in the following forms respectively: {2 =) tt't(x) _ Ot+1 {x) = / ft (2 =) E C" Ln2 h#lJ c. 8). The materials in this section are also found in [Ram1].e. C2. where St = {x : 9t_ 1 < arg(x) < 01. 27ri e".x + 2Ri x where the paths Ct and Ct+1 of integration are obtained by deforming C. (p(a. .. Now.. CN so that Ct E St n St+1 (t = 1. To do this. In doing this.01+1(x) = tai fe.1. \I/ = J{f) .. assuming that x E St n St+1. i.. . Bt is a fixed number satisfying the condition at+1 < 8t < bt.. 0&) .. S2. we do not change other line segments Ch (h i4 t . (b) follows. and [Si17. Appendices].. To do this. Let us derive asymptotic properties of ib1. the function tyt is holomorphic on St. where a < a < /3 < b and p(a.
It can be also assumed that there exists a positive number a < 1 such that JxI < ar1 8t() dC is represented by a convergent power series in x for x E W. it holds that ot (x) = 27ri  {1) f sew x (1) + 2?7 f bt1(1) x d{ (1) + 27ri f x It may be assumed that the path Ct is given as a union of a line segment L1 and a curve rt defined by Lt : x = te'" rt : x = Ftt(T) (0 < t < r1 < r). c . Cm+1 (m > 0) and EAi+I(x) =  27ri 1f 61W <.3) was used as m ' +co.< 1). ASYMPTOTIC EXPANSIONS interior of the simple closed curve Ct_ 1 + 7t .")eudJ I 27r 7 27r I I f +oo f /r' Tm+1 dT r_m1e_ar dr = 7 2k. whose radius of convergence is not less than r1. and pt(0) = r1e'".3. where the Stirling's formula (XI.. we obtain 1 1 27ri Lx 6t{f) [Ymx"' xM+lEM+1(x). For x E W. estimate the a. pt(i) = re'B'. as follows: lQm = 1 I fr' J ebt(Teu. Let us estimate the integral 1 1 fr. . r1 < litt(r)I < r (0 < 7. Then.x 1J 21ri 27ri 1 L.C1. £M+1({ .x) Now. m=0 where am __ 1 r 5() 21ri JL. c . where we is a constant such that 01 < we < bt. where 1't is a circular arc joining two points reist' and rest.x bt() Since mM+1 x 1 x Q)m M + x.364 XI.r \A1lk\m ( \_7r l AIlk m r( k 1 ! \ l 27)1k (v') m/k (m!)l".. (0 <T < 1).
where D = d . i. the proof of Lemma XI26 is completed. f . (b) J[f] the asymptotic expansion for f E A(S). AO(S) = If E A(S) : J[f] = 0}). (c) Ao(S) the set of all those functions f (x) in A(S) such that f (x) ^. show that . Show that C[Jxll.ya(N+1)/k JEN+i(x)J 2a Jo < 2kirsin(0) r( N+ 1 k 7/N+llity+l)/k < k sin(O) ` )eke ) We can estimate 11 2ri c. 1 r ^year ' rN+2sin(0)dr . note that there exists a positive number 0 depending on W such that for t E L1.x (h94 Q. 0 in every open subsector W = {x : 0 < JxJ < r < ro. a < argx < b}.t1) in a similar manner. Denote by (a) A(S) the set of all functions which are holomorphic in S and admit asymptotic expansions in powers of x as x .0 as x 0 in every W (i. x E W. b).EXERCISES XI 365 To estimate EN+i(x).._. it . and Ao(S) are differential algebras over the field C and that the map J : A(S) C[[x] is a homomorphism of differential algebras over the field C. where a and b are real numbers and ro is a positive number.e. A(S). Thus. a.e. Using the same notations as in Exercise XI1 and considering a linear difN ferential operator P = E ak(x)Dk with coefficients ak(x) which are holomorphic ko in a disk JxJ < r containing S. XI2. EXERCISES XI XI1.xJ > Jtj sin(0) Hence. a < a < argx < Q < b} of S. Let S be an open sector D(ro. The material of this section is also found in [Si18].x and 1 2iri Jc . S = {x : 0 < JxI < ro.
. P3 = P : C[[x]] C[[x]] of vector spaces over the field C..e .A0(S)/P1 [A0(S)] of vec tor spaces over C such that Nullspace of T = J[Nullspace of P2] and T[Nullspace of P3] = {P2[A(S)] nAo(S)}/P1[Ao(S)] Hint.A .nxm E C[[x]1. (iii) if B > A.m>o a.Ao(S) is Nullspace of J. (iii) dimensions of three vector spaces Nullspace ofP1i Nullspace ofP2. (ii) J is onto (cf. then Il f II. ¢ + also satisfies the condition J[4. Show that 7=0 (i) E(s. (iv) two vector spaces {Nullspace of P2}/{Nullspace of P1} and J(Nullspace of P2] are isomorphic.A I19II. B (v) for f E E(s.n=o 00 (mx)m. For each of the following three power series. For two real numbers s > 0 and A > 0 and for a formal power series f = 1: a.If (0)I] for f E .. A). (ii) IIf9II.A <_ IIf II. X13.A < +oc. B).. set I I f 11 &. Actually.. (ii) two vector spaces A(S)/Ao(S) and C[[x]] are isomorphic.If (0)I < [IIf II. So define T by T[4. where f (0) = a0 if f = E. and II f II. cc (a) f(x) _ . m=o +00 h=m +00 XI4. There exists a b E A(S) such that J[4] = 4 (cf. and Nullspace ofP3 over C are not greater than the order of P. + '] = 4. A) and g E E(s. if and only if iP E A0(S). ASYMPTOTIC EXPANSIONS (i) P defines three homomorphisms P1 = P : Ao(S) . A) and an integer q such that sq > 1.a < IIf II. A) is a Banach space with the norm IIf II.6(s. this homomorphism is onto. then E(s.A for f E E(s. (v) Assume that P3[¢] = 0 in C{[xJI. (v) there exists a homomorphism T : Nullspace of P3 . A) the set of all f E C[[x]] satisfying the condition IIf II. Also.] = P2[4J (mod P1[Ao(S)]). find s such that f E C[[x]]. Such b is not unique. Note that J[P2[4. (b) f (x) =m_or 1 + E 00 r(1+ 2) 3 m 2m (c) f (x) _ Exm 11 (5+ V5h).A = E ( M=0 Denote by E(s.. (iii) Use Theorem IV21 for Nullspace of P1 and Nullspace of P2.. A).. (iv) Nullspace of the homomorphism J : Nullspace of P2 + J[Nulspace of P2] is Nullspace of P1. it holds that df 11 eA 5 LIIfII. Theorem XI113).A(S).. P2 = P : A(S) .A .366 XI. use an idea similar to the proof of Theorem VI3 for Nullspace of P3.. xm. A) C E(s.Ao(S)..A. A). Theorem X1113) and . This implies that P2[O] E Ao(S). (iv) if B > A.A if f E E(s.]] = P3[4'] = 0.
.. fo and fp E C[(x]]n. Suppose also that limo fo(e) = 0 and limo f.. Write system (S) in a form y" = go + x9+1 1P dx Banach fixedpoint theorem in terms of the norm II IIs.1. Assume that sq > 1 and that (i) fo and f. S(r. A) for some A > 0..II5. and p are positive numbers. I arg zI < p}.2.. where K and A are positive numbers independent of m. Furthermore.. where Ipl>2 IIY1Ia. ... (iv) (3(0) is invertible. XI5. p). Assume that the coefficients fn(e) of the series f are holomorphic in S(r. and (3) f (c(e).. IIfpIIs. E E(s. Hint.. A) for some positive number A.. Let D(r) = {z : IzI < r}. and the entries of 0 belongs to E(s. 4> is an n x n matrix whose entries are formal power series in x. . Hint.A :1 < j < n}. Consider a system of differential equations xy+t dy (S) = f0 + bg + Ip!>_o where q is a positive integer. p). .. (c) 0 0. p) and admit asymptotic expansions in powers of e as e ' 0 in S(r. .EXERCISES XI 367 Comment. 1. IpI = Pt + . n=o where ro. ). Pn. The formal power series f E C([x]] is of Gevrey order s if and only if f E E(s. and yam' = yP' . e) = E fn(e)zn is convergent uniformly in a domain D(ro) x S(r. r. Show that f (e) = 0 identically in a sector S if f is holomorphic and flat of Gevrey order 0 as e + 0 in S.>) with n nonnegative integers pt.A+w + E y'gp and use the ipl>2 XI8. p. (2) l ¢(e) = 0. (iii) fo(0) = 0. A)n. p) = {z : 0 < IzI < r.. f = 00 E =G E C[[x]]o if and only if Ic. Show that C[[x]]o = C{x}. I < KAt If I' (m = 0....+ p. where K and A are positive numbers independent of N. p).. XI6. m X17. Show C1 that there exist a positive number rt and a function O(e) such that (1) O(e) is holomorphic in S(rt. E (C[[x]]. and a power series f (z.A9P is a convergent power series in y".VP.. p).. (ii) the power series F.A = max{IIy. Hint. p) and admits an asymptotic expansion in powers of a as e + 0 in S(rt. I f (e)I < KA' IeIr' fore E Sand N = 0. p = (pl.. e) = 0 identically in S(rt. Show that there exists a unique power series E C[[x]]n satisfying system (S) and the condition ¢(0) = 0.)n. 2.
+zV Gn.. The unique power series satisfying conditions (i). and hence II4 'jI. _ ip.B 5 11A .. t' IF = 90 + y" + zP2§p. I ' exists in M"(C[[x]]. A < +oo for some A > 0.I+?P2I?0 F(x.. z_) = 5(x. 0') is invertible.(0.as E C[[x]] " . pi = (pll. Assumption (2) implies that t(0) is invertible.z g"n.. Then. Aye' is a convergent power series in y and F. Assumption (1) implies that fo(0) = 0.368 XI. E E(s. $ E M"(E(s.0) = 0. Therefore. Write f in the form f = fo + fiy + F'gv' z"P2 fn. and >' is the sum over all (pi i p) such that either jell = 0 and [g.P2 Il . and Pz = . A)" and 0 = u'+ a'+ (S) identically. and (iii) ¢(x.'#P. Here. (2) Fy(0.r. .l+lpiI>I lip ' z'na"n. zfl Now...n. This is an implicit function theorem. . E C[[x]]".A for f E (C[[x]]..A = 11. A)". Show that there exists a unique power series 92 in (x. %' _ xm . A)n. y z) the Jacobian matrix of ! with respect to W. fn:..A = sup{jj4V' f Ij. IP3i>o Hint. Consider the equation 0 = u"+ y"+ F. A)" for some s > 0 and A > 0.6.. (ii). such that dn. consider the equation &'$121 Is.p. Denote by Fg(x. and (4) the power series i[ fn. A)". Then. where fo and fn.pln). _ fa. show that (a. y.l+IpI>o y #.a2I1a.. Ij f [j. A)). z) lack>o ia. ASYMPTOTIC EXPANSIONS X19. where III' IIB. where g"o E E(s.i7 = 9P% . A)".6) = 0. a. p. (x. E E(s. u" = . B)" for some B > 0 and the power series E II( a' i" is a convergent power series in z.. 0.A (R) y'=u". . yi z1 where yn (p21. a.. un there exists a unique power series 5(x.. A : f E E(s. . Assume that power series (P) satisfies the conditions (1) f. E E(s... (3) fn. u". and (iii) is given by (x. . assume without any loss of generality that A = A. Ij. are in E(s.. z)..a.w ER". where Ga..). 9a. M. 90(0) = 0. E E(s. 90.) with nonnegative integers P1k and p2k. and 'II9n.. z) = 0. (ii) b(0. .n. Since IIfIIe. p2".(R) denotes the set of all n x it matrices with entries in a ring R. Consider a formal power series (P) F(x.j = I or Jial j + jp2j > 2.a.A9" i is a convergent power series ul in y" and F. z) such that (i) drr. fa. .)" if B > A.n2. Also.
. we obtain ¢t E A(S1) and J(¢1) = p.(Se)..0 in St. Assume that a covering {S1...(St). ... respectively. (3) we have IOt(x) .p. the entries of pP. See [Si15J.....2.. Theorem 6. ..p.4... and n x n matrices P1(x). then the entries of P. See [Si17.4 on pp.2. 150.$2.. are nonnegative. its proof on pp. where K are positive numbers. XI12. . + E xmQm having constants n x n matrices Qm as m=1 coefficients. (2) 4c(x) is bounded on St. . SN } at x = 0 is good and that N functions 01(x). S2.. respectively.... where the notations A(S) and J are defined in Exercise XI1.2. (iii) It(x) = PI(x)1Pt+1(x)(e= 1. SN} at x = 0 is good and that N functions 01(x)...01+1(x)l < Knlxl' (n = 1. 02(x).N).Ot+1(x)l < yexp[AIxIkJ on St n St+1i where y > 0. .1 on p. where the notation A(S) and J are defined in Exercise XI1. S2. show that if the entries of (t(x) belong to A. ... E 1p1I+1P21>>1 ]R" ... the entries of P1(x) and P1(x)1 belong to A(S1).) on St n St+1.....(x) is holomorphic on St. 2072081. A > 0 and k > 0 are suitable numbers independent of e. 152161.. 02(x). Show that there exists a positive number H such that [4t(x)I < Hexp[AIxIkJ Hint. XI10. 1(x) also belong to A.t2(x). Use this series as a majorant to show that defined by (S) satisfies conditions (iv) and (v). Hint. N). P2(x). Assume that a covering {S1. XI11. in St.EXERCISES XI 369 Equation (R) has a unique solution y = E 9P'zr'pp... Show that there exists a formal power series Q = I.4N(x) satisfy the following conditions: (1) the entries of tt(x) belong to A(S1 n St+1) and (2) J(tt) = I. . PN(x) such that (i) for each e.. .(x) and P. . and the series is a convergent power series in u and z1 ... Assume that a covering (S. ON (x) satisfy the conditions: (1) 0t(x) is holomorphic in St. . (2) of(x)^_Oasx. Also.p. (ii) J(P1) = Q (t = 1.xm E d[[xJJ such that for m=0 each t. . SN } at z = 0 is good and that n x n matrices 4i1(x). and §A. . y` N (x) satisfy the conditions (1) 4.. Show that there exists a formal power series p = > a. 2. such that Qp. (3) 10e(x) .
k k rT tme(t/x)ktkIdt = xm J0 0 (r'/) v"'/ke °do r (1 + Hence.2.370 XI. . Hint. This is a generalization of the PhragmenLindelof Theorem (Lemma XI35). (iv) 1O1(x)j < M0 on the line segment argx = a1. v) be a good covering of the sector S = {x : j argxj < 'r. Then.E cmxm k m0 cmtm Om/ke °d0 (t/k)k + k J xk /r 0 +00 e(t/x)ktkldt.O<lxj<p}. 4(x).b. and p is a positive number. See ]Lin].. Let a be a positive number larger than 1.t1 for some positive number M0. Hint. 0<jxj <p) (1=1.v).xm Jr°O J (t/z)k Om/ke`do. ={x:aj5argx<bj.Oj(x)j < Mo in S.. 0 < lxj < p. (ii) 103(x)1 < Aexp[clxl1] in S. ASYMPTOTIC EXPANSIONS XI13. for some positive numbers A and c... fl S. <argx<bj. Prove the formula 00 M=0 which is given in Therorem XI24...+1(x) .b= 19. Also. Assume that v functions &1(x). m=N+1 XI14. where a1 = .0 < jxj < p}. 10.. (v) < M0 on the line segment argx = b. N 1. let SJ={x: a.2.k(6) _ M=0 r (i + m ) Cmxm .. Assume that j argx1 < 2k ... 0 < lxj < p. satisfy the following conditions: (i) Oj(x) is holomorphic in Sj and continuous on the closed sector . Show that there exists a positive number M such that (iii) IOj(x)1 < M in SS (j=1. m) T xm . where b is a small positive number.
[Ram3]. r e_ts XI16. Consider the integral f (x) = f . where 1 is a line segment 0 < x < 1 in the sectorial domain D 1. 0 in / DI 1. for example. 0 + 2 + EJ such that J[F] = f.2k . show that \ !. For more informations concerning summability. Show that if a formal power series f E C[[x]] is ksummable in a direction arg x = 0. Use Remark XI33. .E.4 27r + 7r §XI5.e.EXERCISES XI 371 XI15. [Ba13].x dl. [Si17. Appendices].2k . and [Si19]. A formal power series f E C[[x]] is said to be ksummable in a direction arg x = 0 if f E I m a g { J : A 1/k e (Ap> e . see.427x+ 4). Using the argument given in (i) f(x) admits an ``asymptotic expansion J[f] E C[[x])112 as x . 9 . Hint. there exists one and only one function F E Al/k (po.. . (ii) J[f] is 2summable in the direction argx = 0 if 0 < 0 < 27r. 0+ IT 7r 2k + EJ \ C{[x]]1/k for some positive numbers po and E. Let k be a positive number. (Ram2).
2.5) 0 in the sector I arg EI < ao. E) in a domain (XII. [Si7]. and 'Yo being positive constants.1.. I < 'ro (j = 1. vn. .. . [Si3]. ao. and [Si22]. Icl?2 where i I E Cn with the entries (V1. v. c) (j = 1.1. Iv. We look at (XII... we explain asymptotic solutions of a system of differential equations E°fy = f (x. This result is given in [Hs1] and similar to a theorem due to G. vn.CHAPTER XII ASYMPTOTIC SOLUTIONS IN A PARAMETER In this chapter. Vn. () = fJO(x. I arg EI < ao.. n). vn). and XII3. In §§XII1.. y. In §XII6. V2. V. Theorem XII61 and (Si17. V 1 . .1. and XII3. we explain similar results in the Gevrey asymptotics. po.. XII2. v2. n) has an asymptotic expansion (XII.3) f j (x. . . Set f) (XII. Birkhoff [Bi] concerning singularity with respect to the independent variable x (cf. 2. (x.. . In §XII4. . v2. we consider a system of differential equations (XII.. D.. v. f) as a i 0.. The materials in §§XII1.2) Ix[ < do.1. E) (j = 1. . XII1.. e)y. e)Vh + 1 fi. .. Each function f j (x. we explain how much we can simplify a linear system by means of a linear transformation with a coefficient matrix whose entries are convergent power series in the parameter. V2. In §XII5. . E) "'00 f E L=o v)E" in the sense of Poincare as c (XII.h(x. where a is a positive integer and f J (x.4) fi (x. 372 0 < IEI < po. this result is used to prove a blockdiagonalization theorem of a linear system E° d = A(x. existence of such asymptotic solutions in the sense of Poincar6 is proved in detill. f) are holomorphic with respect to complex variables (x. n a. 6o.1) dv E° V  = f3 (x.1) under the following three assumptions.1.XII5 are also found in [Wasl].. V1. v1. n).1. 2. Assumption I. 0< IEI < Po.. E)iJ h=1 . . An existence theorem In §§XII1. Chapter III]). . . XII2.
Assumption II.V is a lowertriangular nilpotent matrix. e) = (ajk(x.. . ..p1 + N. e)).5). we shall prove the following theorem...(x) =o as a + 0 in sector (XII..1.02.(x)) are holomorphic in domain (XII. A(x. Note that [Ni can be made as small as we wish (cf.1. () E f o (x)e".5) with coefficients holomorphic in the domain (XII. Furthermore. e) ^_. .1. h = 1. e). The matrix Ao(0) is invertible..6) W < 6o. n) as e . IV1 < 7o.E e"A. The following third assumption plays a key roll. 2.. . . .1.e.1. where Al.. c) admits an asymptotic expansion (XII. fjo(x..10) 1x(< 60 Let A(x. k)entry is a.. The following second assumption is technical and we do not lose any generality with it. e) ' E fJp.&. we assume that (XII. n) for 1x1 < do. e). and f jp(x.1. In §§XII2 and XII3. Lemma VII33). µ2f . n). AN EXISTENCE THEOREM 373 where coefficients f j.. (x.1.> o (j.1..(x)f" v=0 (XII. An are eigenvalues of Ao(0) and . a jh(x.9) aj h(x. respectively (i. e) admit asymptotic expansions 00 00 (XI1... A(x. e). v) are holomorphic in the domain (XII. where the entries of coefficient matrices (ajk.0 in sector (XII. . Then.1. The matrix Ao(0) has the following SN decomposition Ao(0) = diag [µh. Under Assumption I.11) A(x. =1 fjp(x.. 2.10). 2. .8) and fjo(x.7) fjo(x.1. e) be the n x n matrix whose (j. Assumption III. t<J#0 (j = 1.. e) '... .) = 0 (j = 1. i.e. Observation XII11.
.14) are holomorphic with respect to x in the domain {x : lxi < 6}. p. Observation XII21.(x)e" 11 (j = 1. let us change system (XII11) to a system of integral equations. II. and 0<a<ao.1.1.1.1) vJ = Epi.12) vJ = pj (x.1) follows immediately from Assumptions I and III. ASYMPTOTIC SOLUTIONS IN A PARAMETER Theorem XII12..1) has a solution (XII. p<po. using Theorem XI114.. c) (j = 1..2.13) jxl < b.15) 0 < Iej < p. let us construct a function g1(x. 0 < lei < p. XII2.1) of system (XII. l arg el < a'. where 0<6'<6o..374 XII.2. and III. urge) < a. Observation XII22..1..2. system (X11.2) lxi < 6'.n) such that (r) pi(x.1. For each j = 1. Expansion (XII.14) where b.e) are holomorphie in a domain (XII. The existence of such a formal solution (XII. n.2.and 0<a'<ao.0 in the sector (XII. n) must be a formal solution of system (XII.. 0 < jej < p'. 2. and a are suitable positive constants such that 0 < 6 < bo.1. l arg el < a. (XII. Basic estimates In order to prove Theorem XII12.1). where coefficients of (XII. . .e)  (j = 1.0<p'<po. (x.e) 00 (XII.2.. The proof of this fact is left to the reader as an exercise.1..e) such that (i) q.14) of the solution p3(x..1. e) admit asymptotic expansions 00 p3(x.1.. Under Assumptions I. is holomorphic in a domain (XI1.2. . n) as e . 0 < (ii) p.
4) 0 < IEI < p'. (j = 1.2... u.E)uP k=1 IpI?2 (j = 1.9) g. 3) gj (x .. n) asE+0insector (XII. Then.(x. 2.10) IR7(x. Set (XII. c) = O(E) k = 1..2. c) (j = 1.2..E) _ =i E dp.E) + bjk(x. there exists a positive constant c. Then. (XII. E) .. n) b. +R.(x. I argel < o . k = 1. n) as c . Therefore. (x. 93 (x..n).u..E) = fj(x.. n).. Consider the change of variables v.E) = g2o(x.2. respectively. E) = ajko(x) + O(e) (j.v (x) " E an d d9.E)uk + E bJp(x.. BASIC ESTIMATES 375 (ii) qj and !j admit asymptotic expansions dz (XII .. . q2.2. .u..2.. .. 0 in the sector (XII. ". In particular.. qn) and (U I. .E) E° dd xj = gj(x.2... p.o(x.6) g)(x..5) where E° dq. . .. 2 .4).E) = p. n). 2.k(x. .. ....4).2.a. x) " E V=1 as f .E) = fi(x. . the estimates (XII. 2.2. independent of j.2. 2. U2. ii satisfies the system of differential equations (XII..n). such that for every positive integer N. and y. Denote (ql..2.2.k(x. . = u. (XII.2.8) bik(x..n) . un) by q" and u.7) and g..19.n).2.u. for sufficiently small positive numbers 6.0 in sector (XII. .U + q' f)  dx Set n 00 (XII.E) (j = 1.2.(x.u.9..E ) > p..E) E°dq)'E) ^ 0 (j = 1..E)I CIUI+BNIEIN (j=1. .E) (j = 1. + q. ..
2. (t. are divided into the <w.14) u. largfl <a'.5) and (XII. 2.12) lxI <8. n).16) .. BN is a positive constant depending on N and 1191.n). n) hold whenever (x.... = exp of( (t .u.2.2.2. we explain how to choose paths of integration on the righthand side of (XII... Change system (XII. Without loss of generality.2. .n) and suppose that (XII. n).13) E° uj I E = µ.=argµ. . there exists a positive number a less than a such that 2rr <w.27r < wj < 27r (j = 1.6<27r (j =1. .(x.14). u~'. f) and (x.. .n). u. From (XII..2. Observation XII23.u. Hereafter in this section..9). . 0<lEH<p..2..2. .2.e < following two groups: (I) 21 7r and w.2.. suppose that n real numbers w..2. u".e 2ir . lull <y (j=1.n).m') and (II) (3=m'+1.. Here....e<2ir 27r<w. Set (XII.13) to the system of integral equations (XII. it follows that (XII.2..376 XII. Then. E)dt where the paths of integration must be chosen carefully so that uniformly convergent successive approximations can be defined...E) (j = 1. (j=1.15) w.2.u I (j = 1...2.2...x) R. e) are in the domain (XII. + R. ASYMPTOTIC SOLUTIONS IN A PARAMETER and (XII.11) eIu .
. Then. m')...n). and x(4) Set x(1) = bei°..2. _ x(2). (j = m' + 1. a rhombus is defined by its four vertices x( j) (j = 1. n. . For each j = 1. x(3) = x(1).µi(t_ J dt where the path of integration is the straight line 77! and xj=51 ( x(1) x(3) (j = 1. Lemma XII24.....xl) E° J for (XII. E)1 :5 c1cl.4) (cf. FIGURE 1. The basic estimates for the proof of Theorem XII12 are given by the following lemma.3. =exp [ L . BASIC ESTIMATES 377 Choose two positive numbers a and /3 sufficiently small such that 2ir+aa+3 <wl 6 < 3 7 r . there exists a positive number c such that (XII.2..(Qa+Q) 1 (. 2"+oa+13<wj A<27r(aa+p) (j=m'+1.19) x E D(8).2. lexp L '1l (x .2.2. where b is a sufficiently small positive number. . Figure 1). .17) U3(x. Denote the interior of this rhombus by D(5). consider the function (XII. m). I argel <a. .. 2.. It is noteworthy that the domain D(b) contains a small open neighborhood of x = 0 and is contained in the domain {x : IxI < b}.7 = m'). IEI > 0. x(2) = ix(1) tan [3. . Then.18) I Ul (x. Note that the angle at x(1) is 20.E) = J z..
e) I s Ix.n. it follows that 7r .2. . the inequalities 3 2a<wj +7r(aa+(3) <wj +0aw<wj + ir ..(t .20) and (XII..x(')) for t E D(b) and set w = arg e...2. e)dt 1 (j = 1.378 XII.2.x)} Ri (t.19).aw)] d { (j = 1.2.2.2. Set f = It .2) cc < 1. e) 0. we shall consider system (XII214) of integral equations assuming that x E 1)(6) and the paths of integration are chosen in the same way as in Lemma XII24.. m'.. Now.. m'). there exists a positive constant c' such that (XII. m can be treated in a similar manner. D In the next section.1) Oj(x. Uh(xe) _ i (Z exp [__i. if a is in the sector I arg eI < a. we obtain IUj(x.19).0 + (aa + 0) < 2a 1 hold f o r x E D(b) and j = 1. . ASYMPTOTIC SOLUTIONS IN A PARAMETER Proof We prove this lemma for the cases j = 1. u"("1)(t. _ 0.3) u°) (x. From the definition of D(8).20) 11 I U j (x.)1 ..18)..e) 0 (j = 1.10) and (XII.3.14) in the following way: I (XII.6 for x E D(8)..2.. (x.E)I < xj) leXp [ for (x.f3 < 0 < 7r . Lemma XII24 is proved. by virtue of Assumption II. Then. Proof of Theorem XII12 Let us construct a solution u.m') for (x..( (j=1.21). .(l. . m'..2.3.. e) in (XII.. l exp [19'J' £ cos(w.x(l)I and 0 = arg(t . 2.3.21) cos(wj +0aw)>c µ.15). and (Nj can be chosen so small that c in (Xl. Therefore.2. e) in (XII.2.2.e +. 2.2. 2..14) so that (XII..2... The cases j = m' + 1..11) satisfies the condition (XII. e) of (XII. h=1. . .. Thus. three positive quantities 6. e).e . XII3. ..m') (j = 1. Define successive approximations of a solution of (XII.2. By virtue of (XII. p. (XII.1.2.... + 0 . Thus.2. where c is the constant given in (XII.. n) as e'0in (XII.
..E) = j(x. This is possible since condition (XII..E) ^0 (j = 1. we conclude that E)I < C{CKN + BN}IEI N < KNIEIN for (x. } is well defined.3.E)(j = (x. E)) in (XII... (ii). .14).3. For a given where x E D(b) and the integration is taken over the straight line positive integer N.n. e) in (XII.1.5) x E D(b). the sequence I (h) (x...3. .). ¢2(x..7) x j:exp { _ . To show (i) and (ii).. . 2. First from (XII. I argel < a' }.) converges uniformly to (x. assuming i BNOC and that (i) and (ii) are true for ugh1)(x._ I uJ I_ (XII.1.3. c) are holomorphic N 1.5)..5).. I argel < a'. 0 < IEl < pN... e) is independent of N since the successive approximations are independent of N.. it will be shown that (i) for each j.. . e) in the domain (XII.3.. f) is the C"valued function with the entries (u(h) (x. 0n (x.)]Ri(tu(h1)E)dt (J = 1. n) of (XII. and the functions inll the domain D(b) x S and satisfy (XII. (ii) for the given integer N. Now. .2. E) : h = 0.10).6) 0l(x. The limit function (x.2.. Thus..3..4) Iu(h)(x.4).n).2.E)I<KNIEIN (j=1.n) as e .1.2. Setting pf(x.3. E)). . (XII. E) _ (01(x.3). (x. the proof of Theorem XII12 will be completed. (i) and (ii) are true for ujh) (x..3. n).E) +g2(x. u.E) in (XII. Then.1) which satisfies all of the requirements of Theorem XII12. E).E) = llim u(jh)(x.E)(j = 1.. E). (XII. .. ..3. = p.. . E).2. choose two constants KN and pN so that KN > PNNKN < ry. let us prove that also satisfy conditions (i) and (ii).3. h=0.. . f) : h = 0. If (i). it follows that . E) (j = 1.2. . there exist positive constants KN and PN (0 < PN p) such that (XII....3.(h)i_ _' _ I _. Thus.. ..2) is satisfied. where iZ (x.n).5).. it follows that (XII. uniformly for (x. from Lemma XII24.(th) (x.. and the inductive assumption. and (iii) are proved.0 in the sector S = E : 0 < lei < sup(pN).1.. we obtain a solution v. PROOF OF THEOREM XII12 379 . (iii) the sequence {u(') (x.l (t x.
14).3. 2. n) satisfy system (XII. where bo.I". we obtain Iu(h+l)(x. .. is the nj x n. Thus.380 XII.2.1. I ao. I.4. uj = Oj (x.11)... matrices in the form (XII. E) : h = 0. Assume that the matrix A(x... e) admits a uniform asymptotic expansion in the sense of Poincar6.4) 0< IEI < po. Hence. . where a is a positive integer.2. po. E) are holomorphic with respect to a complex variable x and a complex parameter c in a domain (XII. 3.. (x). ASYMPTOTIC SOLUTIONS IN A PARAMETER To show (iii).. (XII. x n. .5) are holomorphic with respect to x in the Ixl < do. V=o in domain (XII. e) (j = 1. .. respectively (n1 + n2 + .. x nj lowertriangular nilpotent matrix.t).E)tL(h1)(t.4. the proof of Theorem XII12 is completed. 00 (XII. 2. At] . n2i . A21 . I argEl < no.3.3) A(x. 2. . Furthermore.4. Suppose that Ao(O) has a distinct eigenvalues A1.4. Without loss of generality.. and Lemma XII24.E)u(h)(x.4.3. nt. assume that Ao(0) is in a blockdiagonal form (XII. (j=1.. and ao are positive numbers. f) uniformly in (XII. . At with multiplicities n1. Here.. . E)y.. the sequence (u 1 h ) (x. y E C".. e) E E"A.2) lxi < ao.2) as c # 0 in the sector (XII.4. from (XII.4.. and A(x..1) E° fy = A(x.+N.E)I tED(6) in (XII.4.. 0 < IEI < po.3).. identity matrix and Yj is an n. The entries of A(x. c) is an n x n matrix..6) Ao(0) = diag [Al.7) Aj =A. } is convergent to (x. 0 XII4.+ ne = n).E)I :5c8 sup Iiz(h)(t. where the entries of coefficients domain (XII. A blockdiagonalization theorem Consider a system of linear differential equations (XII.2. The main result of this section is the following theorem.. where Aj are n.5).5) for h = 1 . A2i .
4. e) in a domain (XII.4. e) such that (i) the entries of P(x. (x. 2.(x. l argeI < a. e) V=0 etPP(x) (P0(0) = I..4. where 6.8) and (X11.11) fix.9) P(x. e). e) admits a uniform asymptotic expansion 00 (XII.10) 0< IkI < p. matrix (j = 1.14) B(x. e) admits a uniform asymptotic expansion (XII. ficients . e) ^.0 in the sector (XII.00 1: e in sector (XII.4. .8) Ix j < 6. .4. e). e)].4. where the entries of coefare holomorphic with respect to x in domain (X11.15) Bj (x.11). Under assumptions (X11.4. x n. e)zi reduces system (X11.4.13) e° d = B(x.8) as e . e). p.6).12) y" = P(x.. 0< kkI < p.(x) are holomorphic with respect to x in the domain (XII. e) are holomorphic with respect to (x.4. (iii) the transformation (XII.4. A BLOCKDIAGONALIZATION THEOREM 381 Theorem XII41 ([Si7]). B. where the entries of coefficients P. (iv) the matrix B. (x. .. and a are positive numbers such that 0 < 5 < 60.4. e) = diag[Bj (x. argel < a.4. where B . < 6.4..10). then exists an n x n matrix P(x. 0 < p < po and 0<or <ao. .4.) in domain (XII.. e) is an n. e) in a blockdiagonal form (XII.4. B2(x. (ii) P(x.1) to a system (XII. e)z with the coefficient matrix B(x.
13) is known. [Was2]. Bl. a fundamental matrix solution Y(x.2. e) of system (XII.4. (ii) the matrix Co(x) = Po(x)1Ao(x)Po(x) is in a blockdiagonal form (XIL4. [Wash].. the point x = 0 is.18) Set (J=1.Po(x)Co(x) = 0.4. '=a We prove this theorem in two steps.. Step 1. for example.. Proof of Theorem XII41. .+Arj (XII. e)Z(x. For these informations.. e) (b) When a fundamental matrix solution Z(x. (c) In the case when the matrix Ao(O) has n distinct eigenvalues. (a) Set (XII. We show that there exist a positive number 6 (< oo) and an n x n matrix Po(x) such that (i) the entries of Po(x) and Po(x)1 are holomorphic in the domain {x : JxI < b} and Po(0) = In.4. ASYMPTOTIC SOLUTIONS IN A PARAMETER Remark XII42.4.(x)]  Then. by Theorem XII41. e).4.. In fact. . we can diagonalize system (XII... e) = P(x.C(c)(x)] where Ca) (x) is an n. e) of (XII.1) is given by Y(x..(x).17) Co(x) = diag [Col)(x). the coefficient matrix B(x..16) diag [B1v(x).. and [Si12].1).ln. 4(11)(x) '4(12)(x) 4(13)(x) . B2 . P ' (x) Po )(x) Poti) (x) 1 .382 XII..Co2)(x). In order to study behavior of solutions in the neighborhood of a transition point. (d) In the case when eigenvalues of the matrix Ao(O) are not completely distinct. two matrices Po(x) and Co(x) must be determined by the equation Ao(x)Po(x) .4.e). x nj matrix such that Co)(0) = Aj=a. e) of (XII...4. The proof is similar to that of Theorem VII31.13) admits a uniform 0 asymptotic expansion B(x. . we need a much deeper analysis of solutions of system (XII. 40(2) Aou) (x) Ao(x) Ao2 1) (x 4 ) (x) AA(x) . a socalled transition point. o2) Ao)(x) Po's)(x) Aat1)(x) nd Poll)(x) Pa21)(x) Aotz}(x) Po12)(x) Ao r)(x) Pol() (x) P Po(x) = Poti)(x) o )(x) Po2)(x) Po2'(x) . in general. see.1).
2. E) P(12)(x. Furthermore.4.. A(x. To prove Theorem XII41. P(I[)(x'E) .. ) A([I) (x..21) h#j. E) P(11)(x. . E). P(x. f) h#3 and Ao(jj)(x)po (XII.4.. E) = Ao(x) + EA(x. e).4. E) .E) A(22) (x. c) _ A(21)(.. it suffices to solve the differential equation (XII.Afl[)(x)] . Combining (XII.. assume without loss of generality that Ao(x) is in a blockdiagonal form (XII..19) 41) (x)p0 k) (X) we obtain (x)("Okk)(x)  p(1k) + hjAk 4h) (x)pOhk)(x)) (XII.. A BLOCKDIAGONALIZATION THEOREM 383 k) where A4(jk) (x) and PO (x) are nj x nk matrices. . t). (j = 1. E) . P(2[) (x.4.4. ..k vh)(x) p(hk)(x) + 0 " # k). E) PIP (x.. E) = Ao(x) + EB(x. E) = In + EP(x. Now. E) and Ea dP(x. E) .4.po k)(x)Cc(k)(x) +AD(jk)(x) + h#j.4..21).E) A(12)(x.4.22) Ao(x) = diag [4)(x).. E). .4... E)P(x.P(x.. Then. A(11)(x.19) Co ) (x) = Ao(jj) (x) + 1` 4h) (x) p(hj)(x) (j = 1. E)B(x. 2... . set PO l) (x) _ In. B(x. Step 2..24) Set A(x.23) where (XII. Co(x) is given by (XII.E) P(22) (x. E) . e) = A(x. A(11)(x. (XIL4.17).18).. (j Upon applying the implicit function theorem to (XII.4.E) P(21) (x.k = 0 (j i4 k) from ( XII.. A(t[) (x.19) and (XII. Then.4)(x). matrices POk)(x) (j L k) can be constructed... E) P([1)(x E) p(t2)(x.E) A(21) ('T' E) A(M) (x. E) .4.20) k)(x) .
E) = 0 (j = 1.. E)A(kk) (x.E2X(jk) FA(kh)(x.. c) is an nj x nJ matrix (j. j # k) altogether to form a system of nonlinear differential equations. Replacing P(jk)(x.E) P(jk)(x. k = 1.26) and (XII.25) P(JJ)(x.E) A(jh)(x f)P(hk)(x. E)P(hk)(x. we . .4.t) l and (XII. equation (XII. E I L.2.EX (Jk)A(kk)(x.E) + Ey: A(Jh)(x. 2.f)P(k)(x. . c) I A(kh) (x. f) = A(Jj)(x.4.E)  P(Jk)(x. e. .E) = A(J)(x)P(Jk)(x. ASYMPTOTIC SOLUTIONS IN A PARAMETER B(x... (XII.4.23) becomes (XII.. set (XII.4. .:A(Jh)(x. E) h=1 (j0k).26) B(..4. where A(jk) (x) and P(Jk) (x) are nj x nk matrices and BJ (x. e A(k) x + A(Jk) x. Furthermore.X (jk) A(k) (X)A(Jk) x E) x+ ( . E)P(hk) (x. f) h=1 I .)(x. k = 1. E) +E .2. E) 4 J) x P(Jk) x E .E) +EE 1hjAk (i k).P(Jk) x.E p(Jk)(x. e) = diag [b(') (X.. E). E)] . E)..e) h=1 (j = 1.28) + E E A(Jh)(x.E)P(hJ)(x.e)X(hk) h=1 (j0k) Consider the entries of X (jk) (j... Then. b(2) (X.E)A(k)(x) + A(jk)(x..27).E) by an nJ x nk matrix X(Jk). . e)..4. Combining (XII. B(') (x. Upon applying Theorem XII12. C)X(hk) . . E) h=1 . .27) EodP(jk)(x. we derive a system of nonlinear differential equations E o dX (2k) dx = A (J) ( x) X (jk) I .4. we obtain Eo dP(J c) (x.384 and XII.(2P(Jk) (x.
Gevrey asymptotic solutions in a parameter In this section.4) Ao(x) = limo A(x. y'. if. a) and that (x. where r is a nonnegative number.2) S(ro. no) = {E E . arg E < ao. (iii) the matrix Ao(x) defined by (XII. E) and Ao(x) by (XII. t) E A(6) x S(r.1) has a solution O(x.e). This completes the proof of Theorem Xll41. .E) (x. e) 89 Oyn 8y1(x. respectively. E is a complex parameter.5.5. 0 < H < ro}. a is a positive integer. y". using Theorems XI23 and the proof of Theorem XII12. where 6o. y". no) uniformly in x E A(6o) and Ao(0) is invertible. e) which is holomorphic in (x.4. We first prove the following lemma. Also.5. 0. f) and (XII. 0 XII5. Then.5. e) is flat of Gevrey order r as e + 0 in S(ro. f). y E Cn.8) admitting an asymptotic expansion in e as described in Theorem XII41. (ii) f (x. e) is a Cavalued function of (x.0 in S(ro. and or such that system (XIL5.4) exists as e . define two matrices A(x. c) is bounded on A(60) x i2(po) x S(ro. Define three domains by A(So) = {x E C : IxI < bo}. E). Lemma XII51. (iv) f (x. no). 5. ro. no). c) in a domain A(bo) x Q(po) x S(ro. we construct Gevrey asymptotic solutions of a system of differential equations (XII. r. f. and no are positive numbers. (XII. po. y. c) is flat of Gevrey order r as e ' 0 in S(r. and Ax. where x is a complex variable. e) is holomorphic with respect to (x.3) A(x.5. 0.a) uniformly in x E L1(6). there exist three positive numbers b. Assume that (i) Ax. GEVREY ASYMPTOTIC SOLUTIONS IN A PARAMETER 385 construct an analytic solution of this nonlinear system in a domain (XII.1) dx Ea = Ax. no) uniformly in x E A(60).
'k] for (x. 0.e)I < h exp[2cIElk1 for some positive numbers K and c if (x. we construct a bounded solution u = tlr(x.o.1) by (XII. 0.1).11) Set el" = exp[mkJf(x. Therefore.5. o. it holds that (XII.e).(x. e)U + ip1>2 explc(1 . f (x+ FJ.5.5. a) for sufficiently small positive numbers 6. e) = eXPfcekJf (x. ASYMPTOTIC SOLUTIONS IN A PARAMETER Proof.5.1) has a solution of the form y" _ ¢(x. JpI>2 Then.5.e) = explcek]y. 0 is a solution of (XII. (XII. 0. e)I expf clklk cos(k(arg e))] <K exp(c{E1.7) k (cf. Ax. which was originally conjectured by J: P. system (XII. in this case. Theorem X132).11). Note next that assumptions (i) and (iv) imply tha in the case when r = 0.8) I exp[cek] I If (x.5.386 XII. e)' Using a method similar to the proof of Theorem XII12. a). e) is identically equal to 0 for (t.10) Ii = exp(ce'16. r. Ramis.5. and a and if (XII. This completes the proof of Lemma XII.a) if ka < 2. eXp[cEk]u. a). e) + A(x. Note also that (XII. e) = f (x. Therefore. exp[cEk1f(x.5. . e)il + E yPfp(x. e) + A(x.eXP[cek]u. e) E A(6) x S(r. E)I = if (x.5) and (XII.5. Then.6) imply that (XII. Note first that (XII. e).1. The main result of this section is the following theorem.5) I exp1 k1I = expJcJfJ'cos(k(arge))] for any positive numbers c and k.5.5.6) If(x.9) cos(k(arge)) > cos(ka) > 0 for f E S(r.lpl)Ek]ul fp(x.5.5.1) is reduced to (XII. Hence.e). O.5. e) of (XII. Let us change l/ in (XII. e) E A(b) x S(r. In the case when r > 0.S. f) E A(b) x S(r. (XII.
5. (2) there exist three positive numbers 6. it can be shown that such a solution of (XII. e) be a solution of the system (XII. e) is holomorphic and bounded in (x.5.1) has a unique formal solution (X1. e) admits an asymptotic expansion F(x. Assume that (i) f (x. e) admits the formal solution P(x. Such a function fe(x. 5. r1. (iii) the matrix Ao(x) given by (XIL5. ao) uniformly in (x. e) = 0 on 0(bo). &). y) E 0(bo) x f2(po).5.5.15) fo(x. e) is holomorphic in (x. s } as e . (ii) f (x. a J11 Proof. e) which is holomorphic in (x. y. Using Theorem XII12. y. lim f (x.5. al) for suitable positive numbers 61. e) Let y = & (x.16) exists. ao). e) on a domain 0(6o) x f2(po) x S(ro. y'. e) = f (x.12) Then. &) uniformly in (x. where s is a nonnegative number. y. po. y. e) E i (b1) x Seri. y) E A(bo) x f2(po). (1) (XIL5. e) E A(5) x S(r.13) Plx.e) such that (a) fe(x. and al. ro. Corollary XI25). where s is the nonnegative number given in Theorem XII. y'. e) admits an asymptotic expansion F(x. e) is holomorphic in (x. where bo. y. (b) fe(x.5. v. e) on a domain A(60) x f2(po) x Se(ro.y. (iv) it holds that (XII.1) has an actual solution ¢(x. 0 < fej < ro}. GEVREY ASYMPTOTIC SOLUTIONS IN A PARAMETER 387 Theorem XII52.&) = {e: jarge . e) of Cevmy orders as a + 0 in S(ro. and a such that (XII. e) exists if & is sufficiently small (cf. a) and that ¢(x. .16) e° = fe(x. set (XII. for every real number 6. y e) of Gevrey order s as e . r. e) as its asymptotic expansion of Gevrey order max { 1.2. y.0 in Se(ro.14) Se(ro. where (XIL5.4) is invertible on 0(bo). a) uniformly in x E L1(b). and ao are positive numbers. e) such that &(x. b. 0.0 in S(r. y".61 < &. In particular.5. If a positive number & is sufficiently small. there exists a C"valued function fe(x. e) _ c eep'e(x) with coefficients p"t(x) which are holomorphic on A(bo).
(ri.21) jb(x.a2) C Se. E°L = B(x. where the matrix Ao(x) is given by (XII. E) = I (x.5.a.(r1. Exercise XI6).5.19) B(x.E)I <pexp{vlElk} for (x. E) = 0. If s = 0. (XII526) .25) where i(x. then (XII.iez(x.5.4). applying Lemma XII51 to (XII. obi satisfies the following linear system (XII. E)/+ 6(x. it follows that (XII. if s > 0.4 (x.5. Set (XII.(ri.al) nSo.)nS02(rl.al) 0 0.a. E) E A(5j) X {So. E).5.388 XII. the functions j'(x. E).)l 1=0 if s=0.5.5.17) /i(x.22) k and u and v are suitable positive numbers (cf.20) B(x.(rl.f .5. From (XII. E) . . E) for (x. ASYMPTOTIC SOLUTIONS IN A PARAMETER Suppose that So. Theorem XI32). where (XII.tiet(x.23) lim B(x. E) = Ao(x).24) Se(r2.(ri.5.(rl. b(x.. the power series f is convergent in c (cf.E) = fet(x. 1.18).a1)nSo.0 = Note that (XII.E)W(x. Then.E). Hence. c) _ JlOfJ (x. f) can be written in the form (XII..18) where (XII.E) E 0(6) x {Se.ai) and if positive numbers 62.a. 6(x. r2.)}.E). E)y'(E) + w(x.5.E) + (1  and that.(ri.20). If (XII.a'i)nSo. and a2 are sufficiently small.5.)}. E) = 4 (x.5.
2. e) E A(53) x So (r3. (j = 1.7). t(x.5.. .31) E° J < _i4> HIxx""I IEI° IEI° for 3=1.28) V = P(x. . e) admits an asymptotic expansion in the sense of Poincar6 as t + 0 in SB(rs. Then. r3. E) L. Et(x.. a3) such that (i) P(x.. x nj nilpotent matrices. ne. and I(e) is a C"valued function of a independent of x.5..1 Ix . K and c are suitable positive numbers.. (ii) the transformation (XII. respectively.. c) for each j = 1. there exist three positive numbers 53..30) E(x..5. . e) is a fundamental matrix solution of the homogeneous system (XII. (b) it holds that (Ai(x_r(I))\ (XII.27) to dV = B(x.2. More precisely speaking. (XII. t. .27) to (XII.1 on the domain V(54) x So(r4. 2. xi3i. .4... apply Theorem XII41 to blockdiagonalize (XII. .. E)J . f).12. . a2). where N. with an n1 x n.5..27). E2(z. GEVREY ASYMPTOTIC SOLUTIONS IN A PARAMETER 389 for (x.. 03.32) E° L = (j = 1... where E(x.29) ztJ can be written in the form (XII.5. in such a way that (a) 7)(54) C a(53).a3) uniformly in x E A(63).5. e) E A(S2) x Se (r2.a3) uniformly in x E A(53).5. E)v. where Eo(0) = Ao(0). e) = diag [El (z. E)z reduces (XII. .. e). where 64i r4. El Write fin the form z" _ I where z"J E C"' (j = 1.9) in the sense of Poincart as e + 0 in S(r3..6) with (XII. .4. respectively (n1 + n2 + diagonal form (XII.5.5. e) which is holomorphic in (x. Assuming that Ao(0) has distinct eigenvalues A1. .. . n2i .. and E(x..(z_z(3))\ < i4 A.29) E° di' T = E(z. and a4 are suitable positive numbers. Al with multiplicities + ne = n) and that AO(O) is in a blocknl. x(2). and an n x n matrix P(x.Q4)..x3l for j=m'+1. .m'.. ..f). 2. e) admits an asymptotic expansion (XII. Let us construct a rhombus 7)(64) with vertices x{'). and xt4i as it is defined in §XII2. e) is in the blockdiagonal form (XII. matrix E J (x. l) are n. E° (A. c).4.5.
Moreover. Birkhoff proved the following theorem. Ro : positive constant).5.5. D. where k is an integer...5.34) for for j = 1. e) . e) is flat of Gevrey order 1 as e . 1. e) be a fundamental matrix solution of cv Then. . Theorem XII61 ((Bil). where B(t) is an n x n matrix whose entries are polynomials in t. Proof of Lemma 1 on pp. (r1. Materials of this section are also found in JSi22J. Therefore. the general solution of (XII.. we can prove that t 5(x. .O in S e. y E C'. e)z j. There exists an n x n matrix P(t) such that the entries of P(t) and P(t)' are holomorphic in domain (D) and that the transformation (T) y= PMg reduces system (E) to a system of the form (Eo) = xkB(z}v. 377379]). j = m+ I. m'. a i) n Sez (ri . and A(t) is an n x n matrix whose entries are holomorphic in a domain (D) { t : it( < }. at worst. a 1) uniformly for x E A(S) if a positive number 6 is sufficiently small (cf. by using Theorem X123.29) is given by (XII. let 4ij(x.. we can complete the proof of Theorem XII52. G. Analytic simplification in a parameter For a system of linear differential equations of the form (E) dx = xkAl ly.E) _ xl x3 where (XII. (t = x. In this way. XII6..390 XII. [Si6. .. Observe that if we set t = x3. the matrix P(t) can be chosen so that x = 0 is. %(x.33) = Ej(x. a regular singular point of (E).w'(x. (E) becomes {E1) dg dt = _tk2 A(t)9. ASYMPTOTIC SOLUTIONS IN A PARAMETER For each j.
[u2]. (ii) P(x. e) in powers of e. and A(x. The main result of this section is the following theorem. where V1 is a subdomain of Do containing x = 0. see.6.e)y. we must impose a certain condition on A(t) (cf.6. Theorem XII62 ([Hsl]). Therefore. where Do is a domain in the xplane containing x = 0. e) in a domain (XII. e) satisfying the following conditions: (i) the entries of P(x. y" E C". [e[ < 60. and [Ba12j. in [Si17. Hence.5) e° dii _{kA(X) + em+1 r` c'Bk(: W E k=0 kO m o1 ) u . Let 00 (XII. In order that the degree of B(t) with respect to t is at most k + 1 so that x = 0 is a singularity of the first kind of system (Eo). the entries of the matrix B(t) are polynomials in t. Exercises XII8. D. However. which was originally proved in [Hsl]. In this theorem of G.6. Then. (E1) has the coefficient holomorphic in (D). the degree of B(t) with respect to t may be very large. where the entries of coefficients Ak(x) are 00 holomorphic in Do.6. XII9. a regular singular point of (Eo). at worst. (iii) the system (XII. we prove a result similar to Theorem XII61 for a system of linear differential equations (XII. [JLP].4) x E D1i jeJ < 60. e) = In for je[ < 6o. e) are holomorphic in (x.1) is reduced to a system of the form (XII.3) A(x. the main claim of Theorem XII61 concerns the case when k > 1. In this section. and XII10). e) is an n x n matrix whose entries are holomorphic with respect to complex variables (x. Chapter 3]. e) in a domain (XII. [Ball].6.6. For each nonnegative integer m. for example. even though we can choose P(t) so that x = 0 is.1) f '!L dx = A(x. For interesting discussions on this matter. We assume that the series >26o (Ak(x)I is convergent uniformly k=0 in Do. A complete proof of Theorem XII61 is found. under the assumption that a is a positive integer. there is an n x n matrix P(x. Birkhoff. and 6o is a positive constant. the transformation v = V (1) i reduces (E) to the system f = 6. there is a fundamental matrix solution V(t) of (E1) whose entries are holomorphic in (D). for example. 0) = In for X E V1 and P(0.6.e) = E ekAk(x) k=0 be the expansion of A(x. ANALYTIC SIMPLIFICATION IN A PARAMETER 391 If k < 2.2) X E Do.
6. Bkm1(x) (k = m+ 1.Ph(x)Bkh(x)} h=O (k=0.) Proof of Theorem XII62.. 2. if we put m = 0. The proof is given in three steps. (XII.3). . where Bk(x) (k = 1. Put (XII. . .6.6) P(x. In case when a = 1. (x) (k = 0.6. and (XII..6. Step 1.. Remark XII63. we obtain k (XII. it follows that the matrices P(x.m+a)...Bm+1+k(x)+ E{Akh(x)Ph(x) . e). (See also [Si8j. e)u...6. (XII. e) = E EkBk(x). (XII. or . .392 XII.10) Am+1+k(x) .1) are n x n matrices whose entries are holomorphic for x E D1.a1) . e) must satisfy the equation (XII.5) has the form e dil = {Ao(x) + eB0(x)} u.7) where P(x.6. ASYMPTOTIC SOLUTIONS IN A PARAMETER by the transformation (XII. It should be noticed that in Theorem XII62.5) is a polynomial in a of degree at most a without any restrictions on A(x.e) and B(x.6).PB(x. From (XII.1.7).5) becomes dil ed n E CkAk(x)+em+IB0(x)I! . (XII. e).6.5). .6.6. m).x. k=0 In particular. e) = I + Em+1 [` ekPk(x) and B(x. and (XII.6. From (XII.. then the righthand side of (XII.6.6. (XII.. e)P .1. k=0 k0 a m+o (XII...m+2.8) Bk(x) _ J A&.9).6. if a = I and m = 0.1). We prove Theorem XII62 by a direct method based on the theory of ordinary differential equations in a Banach space.8).6.6.9) e QdP = A(.
2.PhAkh(x)) h=0 . ).6.13) Bm+1+k(x) = Am+I+k(x)+Hm+1+k(x... Denote by P an infinitedimensional vector {Pk : k = 0..16) h=0 a+k h=km  E PhHo+kh(x.6. Po.6.).6.6. P) the infinitedimensional vector { fk(x. }.6.. Pk) = E{Akh(x)Ph .. It should be noted that the formal power series P and B that satisfy the equation (XII.6.1.P1.P) h=km (k=0..6.14) H .. where H.1. To do this.1..6.17) dP = F(x.. 2. m). first solve equation (XII. }. h=km where (XIL6. h=0 (k = 0.15) can be written in the form (XII..15) where o+k o+k dPk(x) dx = fk(x.1. Then.+1+k(x) to derive (XII. ... (k = 0...2. .. P) = Am+1+o+k(x) + E Ao+kh(x)Ph ..1: PhA.. dx .. we must choose a suitable B. Denote by F(x.. = 0.13) into (XII.Q1)...6.11) o+k E Ph(x)Bo+kh(x) (k = 0. PI. P) : k = 0. we obtain (XII..12) Ph(x) = 0 if h < 0. 1.1.. . P) (k = 0. ANALYTIC SIMPLIFICATION IN A PARAMETER and 393 dPk(x) dx o+k =A m +1+ o +k(x) + h=o Ad+kh(x)Ph(x) (XII. equation (XII.1.. ..+kh(x) (XII. Pk) (k=0.. are defined by (XII.11). In order to construct P as a convergent power series in e. by substituting (XII.P0. 2. P)..2.10) for B.1).. .a . Then.E PhHkh.6.).1.. . k k Hm+I+k(x. fk(x.6..9) are not convergent in general.
6. Let F(x. Lemma XII64 follows immediately.P())de (k = 0. where IlPkll is the sum of the absolute values of entries k=0 of Pk.16). Lemma XII64.6.. we can regard B as a Banach space over the field of complex numbers. P) II 5 G(R) for IIPII <..18) P(x) = f0F(. ).19) ffk(. Denote by B the set of all infinitedimensional vectors P = {Pk : k = 0.13) and (XI1. For each P. . we obtain (XII. If P is determined.14).6. P)ll 5 K(R)IIP . 2. ASYMPTOTIC SOLUTIONS IN A PARAMETER Solve this differential equation in a suitable Banach space with the initial condition P(0) = 0.6. 00 (ii) j:boilPkll < oo.6.. Step 2.r(x.6. P) be the infinitedimensional vector whose entries fk(x. define a norm 11P11 by 00 (XII. Then.PII for IIPII 5 R.P)1 h=O Hence.P.6. we can establish the following lemma.P) Then. IIPI{ 5 R.24) 00 . k o Ek [Ak(x) + Ik(x. P) .E) _ k Ekfk(x. P..k=0 > ek E Ph[Akh(x) + Hkh(x. PA) .F(x. then the matrices Bk are determined by (XII. . 1. 2. Pk(x) = This is equivalent to the system (XII.6. e) _ >2 EkA.23) .1.F(x. c) is holomorphic in domain (XII.6.394 XII. there exist two positive numbers G(R) and K(R) such that (XII. Actually. In order to prove this lemma..16).6.P) are given by (XII.21) and flF(x. we solve the integral equation (XII.P())de. We still assume that A(x.+1+o+k(x) + k=0 1 l \ k=0 EkAk(x)/ M+V r (e'Pk) k=0 a1 01 k C* .6. } such that (i) Pk are n x n matrices of complex entries. consider a formal power series of e which is defined (XII.22) by II..(x..E Ek hE Akh Ph k=O k k=o Ekpk/ l }. using (XII.6.2). for each positive numbers R. Now.R (XII.20) IIPII = Ebo IlPkll k=0 Then.
e'd.13) and (XII.. y. j argej < /3o}. A(x. diagonalize the system dy = e dx 0 11X 1+x1 ex y' where [1.n (x) and bm(x) are C"valued functions whose entries are holomorphic in x in a neighborhood of x = 0. 0 < jej < ao. e) be a C"valued function whose entries are holomorphic with respect to (x. (2) a2 + y = eq(x)y. XII4.(x) of the system of m=0 differential equations CO LY = Ay" + > Embm(x). f (x. the solution P(x) gives the desired P(x. y. XII2.0 < jej < ao.EXERCISES XII 395 Step 3.6. j arg ej < flo}. e be a complex parameter. 0) and a1/190(x. we can construct a solution P(x) in a subdomain Dl of Do containing x = 0 in its interior. y. If we set '62 = e. c) is given by (XII.6. The two solutions = Q reiz/°4(x. differential equation (2) has two linearly independent solutions e4=/00(x. e). e) in the domain Uo = ((x. .14). y" E C". Q) do not involve any fractional powers of e. and #(x. find two linearly independent formal solutions of each of the following two differential equations which do not involve any fractional powers of e.6. e) : jxj < ro. Using Theorem XII4. where q(x) is holomorphic in x for small jxj. jzj < p2. X. 1. Q). Assume that the entries of the matrix . y. Let x be a complex independent variable. Using Theorem MI41.F. z. e) : jxj < ro. e) be an n x n matrix whose entries are holomorphic with respect to (x.6. Find a formal power series solution y = F. The matrix B(x.1. 0 EXERCISES XII 00 XII1.18) is equivalent to differential equation (XII. We construct the matrix P(x. e) be a Cvalued function whose entries are holomorphic with respect to (x. z. XII3. Izl < p2.. Hint.18) by the method of successive approximations similar to that given in Chapter I. By virtue of Lemma XII64. and 5. A is an invertible constant n x n matrix. z" E C. E2d2 (1) Y 2 + y = eq(x)y.15) with the initial condition P(0) = 0. z. jyi < Pi. e) in a domain Do = {(x.6. zl. Since (XII. /3). z. m=0 where y E C". y. e) in Do. solving the integral equation (XII. e).
z) = (¢(x. XII8. Find the following limits: (1) lim r / c0 0 1 f (t) sin 1 at \E dt and (2) lim j f (t) sine I I dt. 0) 0 0. Use a method similar to that of §§X112 and XII3. g. z. Z. e) admit asymptotic expansions as f . Assume that (i) the entries of a C"valued function Ax. where coefficients of these expansions are holomorphic with respect to x in the disk {x: Ixi < r}. XII6.396 XII. Assume also that det A(0. E) and '(x. (ii) the matrix Ao(x) = Of (x. 0) is invertible on 0(bo). E)y + E9(x. . y. Discuss the behavior of realvalued solutions of the system Edg = rEE 1 +Ex1 y as e 40. Hint. y. z) in Vo = {(x. (c) 0(0. Izl < p2}. 0. y. f) I xI < r. f).F. I) in Do or (x. 0 < lei < a. z) in V0. A2(ro) = {E E C : IEI < ro}. c) admit asymptotic expansions in : powers of f as c . 0. the functions f (x. c) and i/ (x. (iv) a is a positive integer. I1 < p2} or (x. and 0 such that r < ro.  (iii) f(x. = Ef (x. a. y". e) in a domain A1(Eo) X II(po) X O2(ro). (b) the entries of functions (x. 0. where y"_ [y2J XII7. a < ao and /3 < /io. po. where b0. e) are holomorphic with respect to (x. y". if. I(po)={iEC":Iv7<po}. y". conditions: e)) satisfying the following (a) the entries of functions O(x.0}. (2) E3 1 (1 x)y = O. I arg EI < . and §(x. Show that the system f dy = A(x. z) : I xI < ro.0 in the sector if : 0 < lei < a.c) = O for f E {E : 0 < IEI < a. e). z. ASYMPTOTIC SOLUTIONS IN A PARAMETER A(x. I argel < (3} uniformly in x in the disk (x : Ixi < r). 0. z) : IxI < ro. and ro are positive numbers and 0l(6o)={xE(C:IxI <bo}. Z. XII5. y. z. f) are holomorphic with respect to (x. z) in the domain Ao = {(x. f). where a is a nonzero real number and f (t) is continuous and continuously differentiable on the interval 0 < t < 1. I arg EI < /30} uniformly in (x. e) in a domain {(x. The coefficients of those expansions are holomorphic with respect to (x. Iv'I < pl. I arg EI < /3} for some positive numbers r. Discuss the behavior of realvalued solutions of the following two differential equations as f O+: (1) E2 d3 y + 2 + xty = O. . f) has one and only one solution (y.0 in the sector So = {E : 0 < IEI < ao. c). 0) = 0 on A(bo).
Hint. f). where a is a positive integer. 0 in S(r. No additional conditions on the linear part of Ax. a. y. Assume also that p(x. y) as e + 0 in the sector So = {E : 0 < IEI < m=0 ro. y. oo < tt < oo. E) E E'f. e) is a C"valued and that 0 < s < 1. y" E C. 0 < IEI < ro. 0). 0) uniformly in x E 0(b) or Hint. E). Jyj < po.. y. which are holomorphic in A(50). I arg EI < ao } uniformly with respect to (t. e) is a C"valued function whose entries are holomorphic in a neighborhood of (x. Assume that p(x. 0..(x. Show that y (1) the system (S) c'±dx = f (x. E). I arg E) < ao).. e) be holomorphic with respect to (t. Ax. Note.01 < a). and that ¢(x. y.. there exist three positive numbers b. +M XII9. which is holomorphic in (x. y. y". there exists two positive numbers ri and r2 and a solution $(x. As00 some that f(t. where the coefficients fm(t. c) has the formal solution p(x. f) = (0. where y E C". E) E 0(b) x S(r. I arg e . e) as the solution of the initialvalue problem y = d 00) = P(0. and the entries of pm(x) (m = 0. e) is convegent for ]x) < r and IEI < p for some positive numbers r and p. c) = F E"`p""m(x) is a formal solution of a system mO e = f (z. E) admits the formal solution p(x.. E) _ +00 with coefficients p"l(x). and p(O. Assume that p(x. (2) for any real number 0. Show that p(x.y) are holomorphic in . y". +00 XJI10.( E S. y. IEI < r2. y) : J 3'tI < do. y" E G". y) in the domain Do = {(t. where ro is a positive ember. E) in a domain 1)o = E) : ICI < do. c) = (0. Show that if S is an open sector in the Eplane with vertex at e = 0 and whose opening is smaller than sir. 6. Iyl < po}.EXERCISES XII 397 Denote by S(r. y. and a such that (S) has an actual solution ¢(x. 0) the sector (EEC : 0 < IEI < r. y. E) has a unique formal solution p(x. 0). r.. E) for Ixt < r1. e) as its asymptotic expansion of Gevrey order c=1 1 as c . 0).. e). e) of (S) such that the entries of q.) are holomorphic in a disk Ixi < ro. p"o(0) = 6. Regard p(ET. 17. e) are holomorphic in (x.1.1.. a. XII11. This is a special case of Theorem XII52. c) are assumed. E) E {G[[E]]3}" uniformly for Ixi < ro = f (x.. p". Let t and e be complex variables. e) is convergent. . a. f (x. and that (x.ET. . oo < Iftt < +oc.(t. ). y. E C[(x]]" (m = 0. and the entries of a G"valued function f(t.(x) is a formal solution of a system (S) ca dy M=1 dx function whose entries are holomorphic in a neighborhood of (x. f (. E.E) _ E Emp'. c) as the asymptotic expansion of Gevrey order s as e + 0 in S n {IEl < r2} uniformly for IxI < r1.
I arg el < a} for some (d. e). e2"`t(c + ez_). Proof of Theorem XI18) whose coefficients are polynomials in the entries of ci can be calculated successively. y. . c". e) are holomorphic with respect to (t.0<r<r0. Solve the equation 1 (1. construct a formal solution +G(t. Coefficients Substep 2. Show that iP(t. Step 2. Using Theorem XI112. ASYMPTOTIC SOLUTIONS IN A PARAMETER Ao.398 XII. y. l = e2x1cd + ete2attC + O(e2). e) as e . To solve this. M=0 The coefficients 1& (t. y) are periodic in t of dy = 27riy + e[y + e f (t. First. cE. oo < Rt < +oo. a) are holomorphic in a domain S2o = {(t. e) _ E em'+Gm(t.c) : J)tj < d. +00 9(0) = c. 0 < JeJ < r. z(0) = 0. c.E em&m(t) as a + 0 in the sector S = If : 0 < Jej < r. Construct the solution +li(t. e2x't (c" + ez).(t. Show that the differential equation dt e) of period 1 such that periodic solution U = (a) the entries of (t. where T is an arbitrary positive number and y > 0 depends on T. Icl < ry}. e) admits an asymptotic expansion as a ' 0 in the sector S uniformly for Icd < y. we can conclude that ee) admits an asymptotic expansion in powers of e. Hint.and0<a<ao. 0 in a sector S = {e : 0 < je1 < r. the vector z. the approximations 64(e) converge to a limit c(e). where yo is a positive number. Ch(e) = e46y_1(e). the Gronwall's inequality (Lemma 115) is useful. oo < Rt < +oo.e). e)] has a period 1. c". e) = E. Then. Assume also that f(t. e) to the initialvalue problem (IP) dt = 27riy+ e[y+ ef (t. set y = e2i't(c + CZ) to change (IP) to (IP') d = 6 + e[z + e2i't f (t. . e)]. 00 (b) j(t. cl : 13'tI < do. Icl < ryo). e)J. In this argument. where coefficients pm(t) are holomorphic and periodic of period 1 in the domain D' = It : J:33tI < d. IRtI < T.e) admits an asymptotic expansion in powers of e (cf. This equation has the form (E) c" = eh(c. Step 1. To prove this. e) in a domain D = { (t. r. we can use successive approximations as follows: 4W = 0. e) and the coefficients fm(t. oo < Rt < +oo}. I argel < a} uniformly in a domain 1Y = {(t. e) V.. e) : I `3'tJ < d. The function f (t. y. J arg el < M=0 a}. where h(c". e) ^ . a) such that0<d<do. Substep 1.
.. 157].e)y...EXERCISES XII 399 Step 3... a is a complex parameter. . 0 in S. XII12. The main idea is. cue). e) admits an asymptotic expansion in powers of a uniformly for x in jxl > Ro as e . m=o where am(e) E U and these quantities are holomorphic and bounded with respect toe in a sector S = {e : 0 < je' < bo. The particular solution ¢(t. Assume that +00 (a) a(x. (ii) p(x. e) is holomorphic and bounded in S and large [x[. Comment and Hint. dx where x is a complex independent variable.Q(x)B(x)] = F(x) and (II) (N + 1)x(k+l)Q(x) . e) = j(t.(e). k is a nonnegative integer. in particular Theorem 2 on p. and y is an unknown element in a Banach algebra U over the field C of complex numbers with a unit element I . .. e)Ju changes (s) to du dx xk (S') E xmam(e) + x. assuming that N > k. Consider a system of differential equations dy (s) = xka(x. (v) the transformation y = [I + x(N+1)p(x. See [Sill. Step 1. e). .. e) _ E xma. there exist elements p(x.. assume that a(x.xkdQ(x) + a(x)Q( x ) .'Y(x)B(x)) = F(x).(e)I U.Q(x)$(x) . bkf(e) are holomorphic in S and admit asymptotic expansions in powers of e as a + 0 in S. to solve equations of the following forms: (N + 1) x (k+l)Q(x) (1)  x k d((x) + a (x )Q( x )  Q( x ) a ( x )  B(x ) + x(N+1) [a(x)Q(x) . bM (e) of U such that (i) p(x.B( x ) + x(N+1) [a(x)Q(x) . Also. (iv) m>k+l..(N+1) N M E xmb. bo(e ).Q(x ) a(x ) . The point x = 0 is not necessarily a regular singular point of (s') as in Theorem XII61. I argel < bl}. and the series (a) is convergent in norm for lx[ > Ra uniformly for e in S. Show that if a positive integer N is sufficiently large. e) admits an asymptotic expansion in powers of e uniformly for large [xi a positive integer and the quantities bo(e). e) is the periodic solution satisfying all of the requirements.
first express B in terms of Q. we can solve (III) by defining a norm for a (III) QM +oo +oo 1 convergent power series P(x) = E x'P.. ASYMPTOTIC SOLUTIONS IN A PARAMETER where (1) Q(x) is an unknown quantity which should be a convergent power series in x1. by 11P11 = E p'11 P. setting too m=0 k xmBm. k. (6) r(x) is a given convergent power series in x1. (3) a(x) is a given polynomial in x1 of degree N.1. h=1 m = 0.. Then. m=0 we obtain Bm = 1:famhQh . Then.. To solve these equations. transformation Y= [I + x(N+1)q(x. In fact.. e) as e + 0 in S uniformly for x E A. . we can write (I) and (II) in the form (m>0). e) such that q is holomorphic and bounded in 0 x S and that q(x.. m=k+1 E where as 0 in S and xmam(E) ^. we can construct a formal power series q(x.. where p is a sufficiently small positive number. (2) B(x) is an unknown quantity which should be a polynomial in x1 of degree k. e)Ju changes (s) to (s'). = where 9. (4) a(x) is a given convergent power series in x1... Using Steps 1 and 2. e)Iv changes (s) to (s") dv = xk dx M= bm(E) ^_ F xmam(E) + x.Qhamhl. is either quadratic or linear in Q (n > 0). B(x) _ F. e) q(x.400 XII. m=0 M a(x) _ E X 0m. Step 2. N Q(x) _ E x'Q. 11.0 m=k+1 as 0 in S uniformly for x E A. Step 4... e) _ E e'ge(x) such that the coefficients qt(x) are holomorphic and bounded in a disk t=0 A = {x : Ix] > R > 0} and that the formal transformation y = [I+x(N+1)4(x. (7) F(x) is a given convergent power series in x1. If N > 0 is sufficiently large.. (5) 0 is a given polynomial in x1 of degree k.1 (E) k +oo xmbm(E) + E xmbm(0) 1 u. +00 m0 m=0 Step 3. Find a function q(x...(N+1) E m=0 b.
Q.. Show that there exists such a 2 x 2 ) matrix P(x) for which matrix (M) has the form xk B Gl with a 2 x 2 matrix B(t) wh ose entries are polynomials in t and whose degree in t is at most k + 1. Also. e) = 0 as a .ii L suitable constants a. Hint. e) such that (a) r(x. To show that the degree of the polynomial B(t) is not less than 2. y. Let A(t) be a 2 x 2 matrix whose entries are holomorphic in a disk It it[ < po} such that the matrix (M) : P ()' {kA(!)P(1) P (X1)1 is not triangular for any 2 x 2 matrix P(t) such that the entries of P(t) and P(t)1 are holomorphic in the disk D = It : jtj < po}.(e)0ase0 inSform>k+1. apply Theorem V51 to the system t d'r = 1 +tbt ] v with t . assuming that the degree of the polynomial B(t) is less than 2. [Ball) and [Bal2J). Using again Steps 1 and 2. XII13. (c) for a sufficiently large M' > 0. See [JLP]. find a function r(x. Show that the degree of the polynomial B(t) is not less than 2.EXERCISES XII 401 Step 5. (b) r(x. Hint. show that there exists P(t) such that the degree of the polynomial B(t) is equal to 2. u= u1 112 with a 2x 2 matrix B(t) whose entries are polynomials in t. e) is holomorphic and bounded for jxj > R' > 0 and e E S. XII14. This result can be generalized to the case when A(t) is a 3 x 3 matrix (cf. dil ds Blx/u.0 in S uniformly for jx[ > R'. the transformation v = [I +x(h1'+1)r(x.e)jw changes (s") to dw = xk ` xmam(f) + x (N+1) E ? bm(e) w. 0 1 1x'1Jy' x3 y = [ i12. Let P(t) be a 2 x 2 matrix such that the entries of P(t) and holomorphic in a disk V = it : jtj < po} and that the transformation y" = P changes the system dil dx to P(t)1 are u" (!) X [ l +x1 I. derive a contradiction from the following fact: .. To prove that there exists P(t) such that the degree of the polynomial B(t) 17+ at is equal to 2. and b. Lm=o M N M whereb.
Hint. u. XII15. This result can be generalized to the case when A(t) is a 3 x 3 matrix (cf. ASYMPTOTIC SOLUTIONS IN A PARAMETER 0 The transformation y = 0 dy dx to u changes the system 0 rl+x'1 l x3 xtJ'. See IJLP]. . Show that there exists a 2 x 2 matrix Q(x) such that (i) the entries of Q(x) and Q(x)I are holomorphic for jxi > o and meromorphic at x = oo.402 XII. 1 dil dx = [lxI 1x11 u = IuaJ. [Ball] and [Bal2j). (ii) the transformation y" = Q(x)t changes the system dx = xkA \ x/ y to _ xkB 1 f u" with a 2 x 2 matrix B(t) whose entries are polynomials in t and whose degree in t is at most k + 1. Let A(t) be a 2 x 2 triangular matrix whose entries are holomorphic in a disk it : Its < po}.
V2. In §XIII8.2. We look at (XIII... v1. XIII2. In §XIII7..n). The existence of cyclic vectors was originally proved in [De1J. JargxI<ao. we explain the structure of asymptotic solutions of a system of differential equations at a singular point of the second kind. 403 .. and 6a being positive constants.2. a basic existence theorem of asymptotic solutions in the sense of Poincar6 is proved in detail.. we explain a basic theorem concerning the structure of solutions of a linear system at a singular point of the second kind.1. oo.3) f2 (x. vn).1.un) (.L'i. In §XIII6.2) JxJ>No..7 = 1. but from §XIII5 through §XIII8. Set n (XIII. . the singularity is at x = 0. n).. This polygon is useful when we calculate formal solutions of an ntborder linear differential equation (cf..2.. the Newton polygon of a linear differential operator is defined. [Stj).1) under the following three assumptions.v2. ffo(x) + E ain(x)va + h=1 Ip1?2 f. and XIII3.. To understand materials in §XIII8. where r is a nonnegative integer and ff (x. An existence theorem In §§XIII1. The main topic of §XIII5 is the equivalence between a system of linear differential equations and an nthorder linear differential equation.. The equivalence is based on the existence of a cyclic vector for a linear differential operator. . The materials in §§XIIIIXIII4 are also found in [Si7J. . this result is used to prove a blockdiagonalization theorem of a linear system. we explain asymptotic solutions in the Gevrey asymptotics. In §§XIII1.CHAPTER XIII SINGULARITIES OF THE SECOND KIND In this chapter..1. vn) in a domain (XIII.1) = x'f. Any singularity at x = oo is changed to a singularity of the same kind at = 0 by the transformation x = I XIII1.1... Jv21<6o (j=1... the singularity is at x = oo. we consider a system of differential equations (XIII. XUI2..(x)v + where v" E C" with the entries (vl. This theorem was proved independently in [Huk4] and (Tull. vn) are holomorphic with respect to complex variables (x. No.(x. v2. v1. In §§XIIIIXIII4. .. . t. the expository paper [Ram3J is very helpful. In §XII4. and XIII3..
6) jvl < bo.E xkAk k=0 as x .2..1. where Ak = (ajhk).... and fl.e. 2. SINGULARITIES OF THE SECOND KIND Assumption I.404 XIII. J argxj < cto.h(x))... A(x) admits an asymptotic expansion 00 (XIII. . . k=0 00 ajhkx a. V) (j = 1.1. A(x) = (a. Then.1.10) A(x) '=.oo in the sector (XIII. . . The following assumption is technical and we do not lose any generality with it. n) admits a uniform asymptotic expansion (XIII. . 2. n) as x oo in sector (XIII.1. ajh(x). 44n] + N. Observation XIII11.... Let A(x) be then x it matrix whose (j. we assume that (XIII. where µ1.11) Ao = diag [µ1.v1 =00>fjk(la k=0 k in the sense of Poincare as x .. Furthermore.5) with coefficients in C. Lemma VII33). Each function f j (x. n)..1. The matrix A0 has the following SN decomposition: (XIII.h(x) ti00 E k=0 (j. where coefficients fjk(v) are holomorphic in the domain (XIII.1.5) Jx j > No. 2. fo(x). Under Assumption I.. Assumption II.1. .7) fio(d) = 0 (j = 1.(x) admit asymptotic expansions oe f}0(x) k=1 f70kxk.µ. respectively (i. µ are eigenvalues of Aa and N is a lowertriangular nilpotent matrix. h = 1. . fjp(x) ti 1: fjpkxk..4) fi(x. The following assumption plays a key roll.µ2.oo in sector (XIII. k)entry is ajk(x).5). Note that WI can be made as small as we wish (cf.1..
Also. = arg p3 Set (XIII. Assume also that none of the quantities Aje1ka (j = 1. . such that (i) p. . and denote by D.15) 7)(N. there exist a positive number e and a solution y"= J(x) of the system d. The matrix A0 is invertible. If N1 and y are sufficiently small positive numbers.. we shall prove the following theorem.13) w = arg x. (x) admit asymptotic expansions 00 (XIII.14) l x: Ixi > N.16) vj = pj (x) U = 1.. N is a sufficiently large positive constant.. .n ) .q) the domain defined by D3 (N. 2. (N. y.qj). . m). An be eigenvalues of A(oo).1.. 2.12) p. 1 . qj).. system (XIII. (2q_)r+Y<wj+(r+1)w< (2q+)1r_v} q is an integer.17) Pi (z) >2 P.. w ..oo in 7)(N. (ii) p. Assume that A(oo) is invertible. y.A2. .yi = xk1A(x)y+x1 f(x) such that the entries of .1..1) has a solution (XHI. i. n) are real and negative for a real number 9 and a positive integer k. 1.. and y is a sufficiently .(x) are holomorphic in D(N. (XIII. Then.w small positive constant. (N.n). To illustrate Theorem XIII12. .. Set n (XIIL1.'y. jwj < ao..7). Corollary XIII13. =1 In §§XIII2 and XIII3.. we prove the following corollary. II. Theorem XIII12.1. Let A(x) be an n x n matrix whose entries are holomorphic and bounded in a domain Ao = {x : lxi > Ro} and let f (x) be a C'valued function whose entries are holomorphic and bounded in the domain Do.2. q) (XIII.kxk k=1 (j = 1.1.. such that the real halfline defined by x > N is contained in the interior of V.2.y. there exists at least one integer q.. m) as x . then under Assumptions 1. where p.1. For each j. and III.k E C.. AN EXISTENCE THEOREM 405 Assumption III.7) = n V.2 ..54 0 (j=1. let A1.e.y). (N.1.
. The assumptions given in the corollary imply that w.01 < Zk + e}..1) of system (XIII.. I argx . we look at the sector D(N. either or 0 < w. n). r = k 1.81 < + e is in D(N. + k8 < 0 Therefore. and µ. Proof. = Aj (j = 1. for each 3.1. where wj = arg Aj (j = 1. Therefore. Observation XIII21..2q.2. .17) of the solution pj (x) 00 (XIII. . or < wj . i r + k 8 .2gjir + k8 < rr.. let us change system (XIII11) to a system of integral equations.it < w..2.406 XIII. ao = +oo. The existence of such a formal solution (XIII. for any integer p. . The proof of this fact is left to the reader as an exercise. This proves that a sector S = x : x > &.1.1) follows immediately from Assumptions I and III.I. The main claim of this corollary is that the asymptotic expansion of the solution is valid in a sector I argx8 < 2k +e whose opening is greater than k So. y) of Theorem XIII12. .. Basic estimates In order to prove Theorem XIII12.2gjrr + k8 + 2 < 2nk 32 T..1) uJ = k=1 Epjkx_k (j = 1. + k6 A (2p + 1)7r.2 q . XIII2. . n) must be a formal solution of system (XIII.rr + kO + 2 <2 2 <w) . 7r + k8 . I argx . SINGULARITIES OF THE SECOND KIND O(x) are holomorphic and admit asymptotic expansions in powers of x1 as x + 00 in the sector S = {x : IxI > Ro. there exists an integer q j such that either .2 < w) . .1).3r. n). In the given case.2q.2qjr.2. Expansion (XIII. .2 < wj . y) { for a sufficiently large Ro > 0 and a sufficiently small e > 0 if we use xei8 as the independent variable instead of x..
let us construct a function z3(x) such that (i) z j (x) is holomorphic in a sector (XIII. (j.(x. . I argxl < ao.p(x)iI E k=1 jp1>2 (j = 1.a) and (u1.k(oc) +o(IxI1) as x ' oo in sector (XIII... ..k=1.2.2. respectively..n).(x) k=1 L. n). Then.2..2).k(x)uk +00 b...f. .. z. n.2..5) where du.2. In particular.. = u. (x. respectively.8) b..2. Consider the change of variables (XIII.3) and dz) k=1 E(k)P. Thus.7 = 1. k = 1...2). a) . U2. (ii) zj (x) and dz) admit asymptotic expansions z.2.. . u' sat Denote (zl.. . +z.2..2..U) (. . ..2). n) ()III.2.2. 2. BASIC ESTIMATES 407 Observation XIII22.2.k(x) = a. isfies the system of differential equations (XIII.. (XIII..7) and 92o(x) = f.2. using Theorem XI114.(x.n) (j..oo in sector (XIII.n). . u") = go(x) + >2 b. For each j = 1. .2.kxk1 as x .4) v. by i and u. = x'g..2.2) In l > No..(x)  (j = 1.6) g..2. 2. z2. where No is a positive number not smaller than No.x' d dxx) 0 (j = 1. . dx Set m (XIII. n) b3k(x)ajk(x)=O(IxI') as x + oo in sector (XIII.kxk (XIII..
n) are holomorphic in D(N.(x. Iargxl <oo. The paths of integration must be chosen carefully so that uniformly convergent successive approximations can be defined in such a way that the limit is a solution uf(x) of (XIII..2. u") and (x.2.12) lxl > No.2.2. (t.2..2.2.2.0 (j = 1. . Then. u)] Change system (XII/I.oo in D(N. (XIII.u) .10) lR3(x. . it can be assumed without loss of generality that the constant c satisfies the condition (XIII.2. (x.14) to a system of integral equations (XIII.n) and (XIII. by virtue of Assump tion II. = J t trR.u') (j = 1.u l hold whenever (x. 2.15).15) u.9) g1(x.. Observation XIII24. is a positive constant depending on h. From (XIII. . . there exists a positive constant c...2. q.2.408 XIII. (x) ^ _ .. H where H is a positive constant to be specified later.u") = u.15) which satisfies the conditions (i) u . Hereafter in this section. ry) for suitable positive numbers N and ry. (x) (j = 1.. such that for any positive integer h. ry) is given by the inequalities (XIII. u) exp Ir  1(tr+l _ xr+1)1 dt (j = 1. (x. Furthermore. Here. independent of j.8).13) c< r+1 .. and (XIII.2.. by.n). ..2. n). SINGULARITIES OF THE SECOND KIND Observation XIII23..16) l xI > N.. t < argx < e'.14) d ds = X'" [µuj + R. luil <6 (j =1.. n) as x . for sufficiently small positive numbers No 1 and 5. y.5) and (XIII.2. uj +R1(x..2. by virtue of Assumption III. . their common part D(N.) contains the real halfline defined by x > N in its interior... J where the paths of integration L3 start from x. ..u)I ( clui +bhlxl(n+1) (j = 1.2. the estimates (XIII.11) IR.. Set (XIII. it follows that (XIII. Since for each j. .2.'y) and (ii) u. 2.n). u"') are in the domain (XIII.R.7). n) (j = 1.9).. 2.2.2.1U') I < clu". we explain how to choose paths of integration on the righthand side of (XIII. . the domain Dj (N..
.20) ry=Wh+(r+1)f hold for some j and h.2. y).24) G1 = jj : 2r <W3 (r+1)f <w.2. the equalities (XIII.2.2.18) 2 <w2 . In this case. 2. y. qj).17) argxI <ao. . . the set of indices J = {j : j = 1. Consider first the case when (XIII.22) wj +(r+1)f 54± r for all j.2. r (XIII..2..2.2. It is noteworthy that if x E D(N. since D(N. Case 1. are chosen suitably.25) G2 {j: 2tr<w1(r+1)f<wj +(r+1)t<2r}. +(r+1)f' < 2r (XIII.. +(r+1)P'< 3 2ry Moreover. This implies that t and f depend on y. then x satisfies the inequalities (XIII.2.(r+1)f <wj +(r+1)argx <w. .2.23) (r+1)(f+f) <Tr.21) and Wa . the quantity y can be chosen so that (XIII. Define the paths of integration in each of the following two cases.2.(r+ 1)f 36 f2r (XIII. Observation XIII25. Thus. provided that w1 = arg u. Therefore. BASIC ESTIMATES 409 where t and f are positive constants.n)... n} is divided into four groups: (XIII.  2r+y<wj +(r+1)argx< 2ry (j=1.19) Zr+y =w3 (r+ 1)f 3 and (XIII.1) is the common part of Dj (N.
.
2. the set of indices J is divided into three groups: 2r+ry' <wj (r+1)t <r (XIII. These inequalities imply that 2 r . (XIII.Y .27' + 17r < (r + 1)t' + 27' .2 ry' > 0 and (r + 1)t < (r + 1)t .toI for j E G1 u G2.2.3) 2r+ where y' is a sufficiently small positive constant such that r . In D(N). 0<t<oo for jEG4.29).1) 2.Zr}J . For the case when (XIII. Note that (r + 1) (t + t') > r .37) 2 (jEG2) (r + 1)(t + t') > r. .2.2.y'.+y <wj+(r+l)C<2rry 62= j: 2r+ry'<c3(r+1)t<Zr (XIII. the lines Lj4 in D(N) (except possibly for their starting points) are defined by I s = fo + t expji arg( . Note that from (XIII. it follows that Ir+ 2 2 <w 2 2 (j E G1). C2Nr+lexp i (r+1)t+2r} 1. BASIC ESTIMATES 411 For every point E D(N). 2r +'y' <W3 . J2r+ 2 <wj Case 2.2.y'. (XIII.36) 0 < t < I .2r < (r + 1)t'.38.2. 0 < t < oo for j E G3.£o)].28) and (XIII.2.38. s=C+texp[i(r+1)t]. s = t + texp[i(r + 1)t'].38. let 1 = Nr+1 exp i{ (r + 1)t' + l if 12'Y' .2) 2r+y' <w) +(r+1)t' < rry'}.(r + 1)t < r .2.2^y' > 0.
.
For all points other than those given above.37) implies 2 (r+1)t.1 7 + 2 Let <(r+ 1)e2lr<(r+1)(. Then. BASIC ESTIMATES 413 For every t E D(N).2.+(r+1)f +2'?'r<2rZry' The lines LSE is defined by (XIII. Moreover.40) s + t exp(iQ(t:')) (0 < t < +oo).2 . (b) For j E G2.38.2. Let t.39) with 9(4) such that (r+1)e<B(t) <(r+1)P'+ I r .37) and (XIII. The lines L14 in D(N) are defined by (XIII. (XIII. of the circle j = Nr+1 at the point t:' is given t < +oo). o is on arc (A3). is defined in the following way. set 9(e) = the tangent of the circle I{1 = Nr+' at to is parallel to the line (A1).2. it follows that 27r + 27' < w.2.2y'+r the function (r+1)t" in D(N). Precisely speaking. from (XIII.40). the part of T. where 0({) is a realvalued and continuous function off such that (r+1)(. where 0(l.1). This implies that .ir+ lry`.2 + r < by (XIII. 2 2 6 =Nr+1expli{(r+1)f 2r}J. If a point is in a domain between these two lines. 2r+2ry'<wj (r+1)P2ry'+r<w.2) imply that 2r+y'<wj (r+1)Q<w. the tangent T4.39) s = + texp(i(O({)) (0 < t < cc). Note that (XIII. then set O(ff) = (r + 1)Q'. Note that If a point f in D(N) is on such a tangent (XIII.') is continuous in {' and by s = £' + (r + 1)e'. in D(N) is given (r + 1)t .2.2 + 2 < wJ + 8(t.' be a point on arc (A3) such that argt2 < argt' < arg {o.2. Then.) < 2 .2. +(r+1)e<2rry'. set 9(e) = (r + 1)t .38. (r+l)t2ry'+r<w1+(r+1)f'<2r'y'and. the paths of integration in t(N) are defined in the following manner: (a) For j E G1. hence.2. (r+1)t21+rand w.2.2.37) and (XIII.try' + r.
2 + 2 < wj + O(l:) < 2 . This implies that .'.i'_ 3 l 2rr1 In the case when (r + 1)(t + e') >_ 2a .2 + (r+l)e.42) holds.414 XIII.(r+ 1)e.41) holds. (c) For j E C3. where Nh is a sufficiently large positive constant depending only on h.2.38.43) I Isi11 I exp[  r+ 1 a11 Ids) <Hjl:Ih l exp 1r l ] (j = 1.2. n) hold in a domain D(Nh) for any positive number h.2 + 2 < wj + B({) < 2 . the lines Lj( are defined by (XIII.41) arglo ? argf2. In the case when (XIII.1>' .2. Let o = N''+1 exp [i{(r+1)t'+. For all of the cases considered above. it follows that 17r+ 2 I 2 2 < wj .3). whereas in the case when (r + 1)(t + e') < 2a .. the inequality (XIII.2 The function O(C) is defined in a way similar to the previous case. holds.42) arg o < arg t.39) with (r+1)e. .. In this case. This implies that . o is 32 < wj + 9({) < 2 . the lines Ljf are defined by (XIII. but 8(e) is still defined in a way similar to the previous cases. O(l.2. we prove the following lemma. There exists a positive constant H independent of h such that the inequalities (XIII.2 . Lemma XIII26.2.2. Since to is on arc (A3)..2 not on arc (A3).ry'.2.2y'+a (r+1)e'+ 2ry'7r in D(N).2.Zry'+7r Y.2 In the case when (XIII.2.'y'+1r < 2 17r 2 3 2 lry'7r< 2 7. This implies that . from (XIII. it holds that (XIII. SINGULARITIES OF THE SECOND KIND in )(N).39) with (r+1)e'+ try'7r <9({) in D(N).) is defined as given above.
(XIII.29) imply (r + 1)(t + t') < n .29). Figure 4). where M = Nh+1 and (cf. it holds that 27r+2Y'<w. BASIC ESTIMATES 415 Proof First let j E G1 U G2. (XIII.2.2.to))] E D(N).co)) > sin Moreover. (j E G2) rr + try' < W.cos(w. Let b = sin ('). Then.27 2 Therefore.34) implies 1 (') for E D(Nh) and j E G1 U G2 .co)) .r) where M. Hence.27 c= cos(rr0) with 0= Observe that idol = Nn+' implies 1812 = M2 + t2 + 2cMt. (9EG1).2.Wd r "J 1 to] exp I +I1 cos(wj + g(t .o)  2(r + 1)(e+ e') + 2ry1 and (XIII. (XIII. arg( . Then.2.2.{o)  ir .2.46) dr = { Mj+ h M2 + T2 + 2f Mr IY + 1 .I exp [ for r + 1 to] I I exp I .W) < Zrr .45) 0<b<6 <1 (cf.2.ry'.2. . and (XIII. exp [ r+1ji exp L exp I [I r+l{to+texP(iarg(tto))}JI . + arg(C . = iµj I cos(Wj +arg( .2.2. By virtue of (XIII. or (M2 + t2 + 26Mt)h/2 dt.44)). + arg( . (XIII.2.28) and (XIII.28).35). r (XIII. Then. Set Y(r) = (M2 + 72 + 2aMr)h/2 exp(M.r +tl exp(i arg(t . (XIII.44) I arg( .
G3. (XIII. Then.39).o)}J I Idsl < 2(lu Ib l .416 XIII. it follows that 'r + am 2(1 Mb (r > 0).e. a given point t E TD(Nh). . Since Y = 0 for r = 0.< exp L r+1 p1 S Idyl < f 0 1 exp [ Iexp =141h exp < 1 _ +tl (wj + dt exp l . (ii) Consider the case when 27r < 19(x) Nh+i. are given by (XIII. In other cases (i.c ISIh exp I Therefore. From (XIII. cos(w. where 9(£) satisfies . and G3). In this case. This implies that i exp{i arg(e .2 it + 27' < wj + 9(e) < (XIII. Therefore. G2. we obtain Y(r) < exp 1 112r+ x 2(r + 1) Ipj lb (r > 0).< r + 1) 1.2. M2 + r + 2c"Mr then Y+ T.IB(S) Isle =112 + t2 Therefore.argil) ? IC12. FIGURE 5. (i) Consider the case when 10(x)  a given point { E D(Nh).2. IS12 can be written in the form 1x12 = D2+o2 (cf. FIGURE 4. < .t is not less Then. Figure than M = 5).47) for 27r  in D(Nh).43) follows.rµ+l < 0. the lines L.43). r±1 ( + I dt J.2.45). H = where y = min{p. cos(sr .). I31h . 1I(r1} ` r+1J lµ)Ib This implies (XIII. + 9(e)) > sin try' I =b E D(N). SINGULARITIES OF THE SECOND KIND and Af. G4.2. Since the lines Lg are in D(Nh). 1) JG.). the distance D from the origin to L. If M satisfies an inequality M > i 2hµJIb21).. G1.Nj.2.r +tl 2(rub 1).
n) of system (XIII. ) da.. by virtue of (XIII.. In this way. Hence.(x) of (XIII.15).2. Choose a positive constant 8 so that r H 1 { cb + 111 Nh2 <_ S. 0 We fix the paths of integration on the righthand sides of (XIII..1) O2 (x) 0 (j = 1. (XIII. ).13).. Note that b > 0. denote by Do(Nh) the domain in the xplane which corresponds to the domain D(Nh) in the pllane. where = xT+'. 2.3.2. Also.2.2. again. where M2 = 1'U2I `os(+ + OW)..15) which is holomorphic in Do(Nh) and 101(x)l < (j = 1. As in the previous section. for r > 0.. . Observation XIII31.. Furthermore. Y(r) satisfies the differential equation dY = { M+h D2 + r2 } h(r + 1) . Y 1..2. it follows that dY dr > lit. Proof of Theorem XIII12 Let us construct a solution u2 = 02 (x) of (XIII.2. xoh) the corresponding point in Do(Nh ).12)).). Therefore.2.n). Since r D2+72 < 1 2D .. .13) is chosen to be equal to the constant H given in Lemma XIII26. 1µ. In this case. in this way. n) as x oo in (XIII. XIII3. . 2 .2. Since Y(0) < < < (r + 1) 1A2 ib M2 we obtain Y(r) < 2(r i 1) (r < 0). Nh.3. . > No and b < d (cf.47) implies that Y(r) < M .15) is proved..2. . setting h' = r+1 consider the domain Do(Nh. Then.15) so that (XIII. by a method similar to that in §XII3 for each j (j = 1.2. The domain Do(Nh) depends on h. Fix Nh. .. (XIII. b 2(r + 1) µb This completes the proof of Lemma XIII26. a use was made of the inequality M . As mentioned in the previous section. the constant H in (XIII.43) follows. H = where µ =min{µ2 }. successive approximations can be defined to construct a solution u2 = O.2. The constant H in (XIII.15) as explained above. On the other hand.13) is chosen to be equal to the constant H in Lemma XIII26. n).1.2. (XIII.D. can be chosen so large that Nh..3. Set o i = Nh+1 exp {i(r + 1)(e + and denote by (h = 1. the existence of a bounded solution u2 = 02 (x) (j = 1.2. Ib 2(r + 1) Y1 if M > 1 1i2 1b Here. Note that H is independent of h. 2.. PROOF OF THEOREM XIII12 417 Consider a function Y(r) = (D2 + r2)h/2exp(Mjr) 100 xp + M.
.418 XIII. If we set pj(x) = Oj(x) + zj(x). bounded. where coefficients fh (x. ..un(x)).3. 9. .1) satisfies all of the requirements of Theorem XIII12. n) of (XIII. e) ti +0 Ehfh(x. p) h=0 as e .. 2. and ¢(x) and tG(x) denote envalued functions whose entries are (01(x). e) E C x Cn x Cn x C such that (a) the entries of f are bounded and holomorphic in a domain Do = { (x.2.Rj(t. lµl < p o. i) are singlevalued. u(x) denotes the Cnvalued function whose entries are (u1(x).. .3.(x) = 0.xr+1) I dt J uj(x) = Ljc (j E G1 U G2). 60. . we conclude that 0. #) : IxI > Ro. .2). On(x)) and (ti1(x).. .j (x) = j tr [RR (t.2) ..2. it can be shown that ¢j (x) = ikj (x) (j = 1... Iu1 < do. µ.2. y'.. . where Ck is a suitable positive number. SINGULARITIES OF THE SECOND KIND 0 (j = 1. n) in VO(Nk). Thus.. n) also satisfy the integral equations Oj(x(k))exp . . e) be a Cnvalued function of a variable (x. co. . where R0.n) in Do(Nk). 2. and po are some positive constants. 2. i (t)) exp [r (XIII. .). . n) as x ' oo in Do(Nh. the functions 4j (x) (j = 1. Also. e) : IxI > Ro. (x) (j = 1.11 (x)). IeI < Eo.. trR1(t.. J where j = 1. n) as Observation XIII32.0.. Let Ax. = pj(x) (j = 1. 02(x). the solution v .(xr+1 _ (xok))r+1)I 1r+1 JAI (tr+l + f tTRj(t..2) has a solution u.. (x) I < CkIxIk U = 1. 2. µ. respectively.u2(x). use the fact that.n) such that IiP. Now.(t))I exp Ir + 1(tr+1 _ xr+1)l dt. . let us return to Observation XIII22. I loss of generality.. and holomorphic in the domain Ao = {(x.2.1. 0 Remark XIII33. it can be proved that (XIII. (t))exp [r+i(tr+1 _xr+1)ldt JJ UVG1UG2) in the domain Do(Nk). fi(t)) .3. . Here.. . n. using Lemma XIII26 and (XIII.13).. Iµl < po}.. for each positive integer k. y. µo.. (b) f admits a uniform asymptotic expansion in Do s/ r/x. Note that we can assume Do(Nk) C Do(Nh') without Upon applying successive approximations similar to those of §XII3 together with Lemma XIII26 to (XIII...... since Oj (x) .. . In order to prove that Oj (x) x + oo in Do(Nh').. I vi < 6o. I arg EI < po}.. b.. a/. 2... (x) 0 (j = 1.
¢(x. Theorem XIII34. (b) h=0 A complete proof of Theorem XIII34 is found in [Si7J and (Si101.. . e)y + O(I y12). .. .. #. e) Iµ1 < {31. 0 < lei < el. Note that the w. . holomorphic. n}. where coefficients &(µ. if p1 and E1 are sufficiently small. Let a and r be two nonnegative integers.µ'.oo in the domain {(x. µ'.e) are bounded. p2) is contained in the sector 32 . Set also S(pl. then 419 fo(oo. e) such that (i) these two solutions are bounded and holomorphic in the domain So = {(x.µ') : Ixf > N.. .apo f o r a suitable choice of {wj : j = 1. are not unique. 0 < IEI < e1. . holomorphic. µ) as f 4 0 in So. (j _ 1. . . e) admits an uniform asymptotic expansion +oo F. e) c) has two solutions and i (x. 0'.e) = 0 and detA(oo. y.p2). FLrther more. where coefficients >Gh(x. Let )q. PROOF OF THEOREM XIII12 (c) if f (x. e) k=1 as x . e) : Ix1 > N. p2) _ {x : Pi < argx < p2}. we can prove the following theorem in a way similar to the proof of Theorem XIII12.. N. Assume that the sector S(pl.0) 0 0. e) for t = 0. and admit uni form asymptotic expansions in powers of x'1 as x .#) are bounded. . 0) and set wf = arg A. 1141 < ul.min{wj} + apo < (r+ 1)argx < 32 . e) admits an uniform asymptotic expansion: +oo (x. such that (a) these functions ¢'c satisfy conditions (i) and (is) given above. (ii) the solution ¢(x. 2. )1n be n eigenvalues of A(oo.c) + A(x. 2. Under these assumptions. n). x E S(p1. The system e° fy = x"f (x. 91.1. oo in So. and admit uniform asymptotic expansions in powers of a as c + 0 in the domain {(µ.0. µ. x E S(p1. µ. e) ' h=0 ehWh(x.. Jill < p1}.1 arg el < p0}. e) = fo (x. µ.max{wj} . 9. there exist functions tc(x. A2.3.. p2). I argel < po}. xk&(µ. (iii) the solution 1'(x.. µ.
for any given direction x = 0. A blockdiagonalization theorem Consider a system of linear differential equations (XIIi.0[ < a}. (iii) 0(x) satisfies differential equation (XIII. where r is a positive integer. At) . yn) be a nonzero polynomial in yo.10) is invertible (cf. However. A complete proof of Theorem XIII36 is found in [RS1). . . yn whose coefficients are convergent power series in x'1. Assume that the matrix A(x) admits an asymptotic expansion in the sense of Poincare 00 (X1II. A2. where No and ao are positive numbers.1.. Without such an assumption.420 XIII.4.3) F(x. f argx[ < ao. The main idea of the proof is similar to the proof of Theorem XIII12. . yo. fn)=0. Also...x°` E C[(x1)) be a formal solution/ of the differential equation (XIII. The entries of A(x) are holomorphic with respect to a complex variable x in a sector (XIII.. . Theorem XIII36. respectively (nl + n2 + ()UII. Suppose also that Ao = A(oo) has a distinct eigenvalues A1. yl. In the proof of Theorem XHI12. n2. we need the thorough knowledge of the structure of solutions of a linear system xd = A(x)y that we shall explain in §XIII6.3) A(x) E x'"A &'=o as x .. where coefficients A are constant n x n matrices.. . we can prove the following theorem. assume that Ao is in a blockdiagonal form: AO = diag [Al... y" E C'. yr. SINGULARITIES OF THE SECOND KIND Remark XIII35.4) + nt = n). A2.. \arg Then.oo in sector (XIII.y.2).4..3. XIII4. . Assumption III of §XIII1).3) in S. and let p(x) = M0 an.2) jxl > No. 00 . Let F(x.4. §XIII8. nt.4.. [I] and (RS11). also. Without loss of generality.Ly.1) dg dx = x' A(x}y. . it is more difficult to define the paths of integration (cf. (ii) 0(x) admits the formal solution p(x) as its asymptotic expansion as x o0 in S. See. and A(x) is an n x n matrix. . (arg x . .3. there exist two positive numbers 6 and a and a function 0(x) such that (i) ¢(x) is holomorphic in the sector S = {x E C:0< [xj <6.. we used the assumption that the matrix Ao on the righthand side of (XIII.4. J1t with mul tiplicities n1.
8).12) dP = xr(A(x)P . =A. From (XIII. Under the assumption (XIIL4.6) IxI > N1.2. as x ' oo in sector (X111.. B2(x).In.4.1). I argxj < al. matrices and admit asymptotic expanswns 00 (XIII.1) to y = P(x)zi (XIII. where Ni 1 and a1 are sufficiently small positive numbers. (XIII. matrices in the form (XIII.8) reduces system (X111.9) di = x B(x)i. B.10) B(x) = diag [BI (x).4.4.9). where coefficients B. A .4. . P(x) = In + Q(x). Set (XIII.. Hen.4.4.4).. (ii) the transformation (XIII.PB(x)] that determines the matrices P(x) and B(x). are constant n) x n) matrices. where B(x) is in a blockdiagonal form (XIII.6). (Si7J). such that (i) P(x) admits an asymptotic expansion 00 (XIII. where coefficients P" are constant n x n matrices. there exists an n x n matrix P(x) whose entries are holomorphic in a sector (XIII.4.4..3) and (XIII.7) P(x) "=0 Ex"p (Pp = In). The main result of this section is the following theorem (cf..4.4..5) A. . x n.4. x n.6). and (XIII..4. is a lowertriangular nilpotent n.4. B(x) = A0 + F(x).1).(x) an n.4. Bt(x)J . (x) ^.4. matrix.4.11) B.E xBj" "=o as x Proof. +Nj (j=1.13) A(x) = Ao + E(x). we derive the equation (XIII.4. . Theorem XIII41. A BLOCKDIAGONALIZATION THEOREM 421 where Aj are of x n. Here.. oo in (XIII.
. k = 1..4.. Furthermore.4.4.20) xa+1 dY = A(x)y... .4. Al are distinct eigenvalues of Ao and that A0 is in the blockdiagonal form (XIII. Set Q11 Eu Q2t ...15).4.t) (XIII..4.15) F(x) = diag]Fl. a system of differential equations (XIII. where Qjk" are constant nj by nk matrices.. E(x) = O(x1).4. From (XIII. .18) dQjk = x' [43Qik . Substituting (XIII.4. it follows that (XIII... (XIII.4...4).4. upon applying Theorem XIII12 to (XIII.17) into (XIrII.4.Ft].QJkAk] (j j4 k). Qlt Qtt where EJk and QJk are nJ X nk matrices and F. E2t E21 E22 E(x) _ Q(x) = Ell E2 Q11 Q12 . 2. F(x).QJk (Ekk + h*k EkhQhk) + EJkJ (j # k) is obtained.QJkAk + EJk + h*k EJhQhk .4.19) .QJkAk + { EJhQhk h*k (XIII.F + EQ .2.. a system of nonlinear differential equations dQJk dx = x' LAJQJk . i. (XIII.19) we can construct a desired holomorphic solution Qjk(x) of (XIII.5). and Q(x) = O(x1). are nJ x nJ matrices.4.4. 0 Theorem XIII41 concerns the behavior of solutions of system (XIII..422 XIII.QF]..19) 00 which admit an asymptotic expansion Qjk(x) > x "Qjk" (j.12) becomes (XIII. and Q(x) in a blockmatrix form according to that of Ao in (XIII. F(x) = O(x'1). Ell E11 E12 . .17) and then B(x) by (XIII. j "=1 k).e.18). (XIII.4.16)...16) QJJ = 0 (j = 1. and (XIII. hereafter in this section.. SINGULARITIES OF THE SECOND KIND Then.4.F2.4. Since it is assumed that . h#J (j=1..11i .QAo + E . (XIII. Defining Fj by (XIII.4..t).14). Since it is useful to give a similar result concerning behavior of solutions near x = 0. the proof of Theorem XIII41 is completed. .=EJJ+FEJhQh.4.14) dQ = x''[AoQ . dx Write each of three matrices E(x).13).. (XIII.4.2.1) near x = oo. we consider.. .4).4.17) and F. 3.
. We can change any singularity at x = 0 to a singularity at x = oo by changing 1. is the asymptotic expansion of Pe(x).4. Furthermore.. xn2 matrix which admits also an asymptotic expansion (XIII. . + nt = n). . A BLOCKDIAGONALIZATION THEOREM 423 where d is a positive integer and the entries of n x n matrix A(x) are holomorphic in a neighborhood of x = 0.4. .Xk)eutO V EP for j 96 k. the following result is obtained. where a1. Bte(x)] For each. +JVt].1t are distinct eigenvalues of A(0) with multiplicities n1..21). I arg x . +N2.23) in x as xi0 in So. Fix a real number 0 so that (a. Also. This implies that two matrices P and b are independent of P.. and for each j.. Also. . .. x nj matrix. Theorem XIII42. m=0 (c) the transformation (XIII..PB. using Corollary XIII13. Let A(x) be an n x n matrix whose entries are holomorphic in a neighborhood of x = 0. respectively (n1 + n2 +. Then. + nt = n). .. . at are distinct eigenvalues of A(0) with multiplicities n1. there exists two positive numbers be and ee and an n x n matrix Pe(x) such that (a) the entries of Po(x) are holomorphic and admit asymptotic expansions in powers of x as x . n2. while singularity is at x = 00 in Theorem XIII41. n2. where the matrix Be(x) is in a blockdiagonal form Be(x) = diag (B1e(x). Also. where al. . . nt.0 in the sector Se = Ix: 0 < IxI < be.. .4.... . The main claims of this theorem are . .01 < + to }.. nt.. while A(x) in Theorem XIII41 admits only an asymptotic expansion in a sector containing the direction arg x = 0. Bje is an n. then this expansion is independent of 8 and Po = I. the asymptotic expansion P of Po(x) and the expansion b of Be are formal power series satisfying the equation xd+i dP = AP . for each j. we notice the following two differences: (a) singularity is at x = 0 in the present situation. Comparing the present situation with that of Theorem XIII41. B2e(x). any direction argx = 8 can be changed the independent variable x by x to the direction arg x = 0 by rotating the independent variable x. Assume that the matrix A(0) is in blockdiagonal form (XIII.20) to a system xd+1 = Be(x)u. (b) The power series expansion of A(x) is convergent in the present situation. ..22) PB(x)u" changes system (XIIL4.. 00 (b) if >2 xmP.. let d be a positive integer. JVj is a lowertriangular and nilpotent n. assume that A(0) is in a blockdiagonal form ()III...W is a lowertriangular and respectively (n1 + n2 + nilpotent nj x nj matrix. Hence..4. and.21) A(0) = diag[A11.4.
µ) : 1x1 > N.424 XIII. µ) in Do h=0 as a + 0.> ehAh(x. 9 E C[Ix]j. assume 00 that A admits a uniform asymptotic expansion A(x. . In two steps. In this section. easier to treat than a system of differential equations.e. a single nthorder differential equation is. SINGULARITIES OF THE SECOND KIND (i) the asymptotic expansion of Pe(x) is independent of 0. in many cases. Iµ1 < µo. Lemma XIII51 (P. µ. Proof. e) E C x C'° x C in a domain Do = {(x. Define a linear differential operator C : V .(x)). we shall derive a contradiction from the assumption that max{µ(v') : v' E V} < n . We d first prove the following lemma. where r and o are nonnegative integers. Deligne [Del]). e) is an n x n matrix with the entries that are bounded and holomorphic with respect to the variable (x. denote by µ(v'' the largest integer t such that {ii. There exists an element iio E V such that {v"o. c. . G2v"o. G"lvo} is a basis for V as a vector space over IC... The set V is an ndimensional vector space over the field 1C. . 1µ1 < µo}. Using Theorem XIII34. y" E C^. c2(x). where b = x and S2(x) is an n x n matrix whose entries are in the field 1C. Gv"o. A complete proof of this result is found in [Si7] and [Hs2]. Deligne) In the study of singularities. µ.. For each nonzero element v of V. C2v. Remark XIII43. . e)y". 0 < 1 arg e1 < po}. µ.. where coefficients Ah (X.CeV) is linearly independent over K. and A(x. Also. XIII5.. (ii) the opening of the sector So is larger than k.. µ'. 0 < 1e1 < eo. 9 34 0} Also. Cyclic vectors (A lemma of P. Proof of Theorem XIII42 is left to the reader as an exercises. ..1. Cii. e) : 1x1 > N. i. . Let us denote by 1C the field of fractions of the ring C[(x]] of formal power series in x. we can generalize Theorem XIII41 to the system e°dx = xr'A(x.. e) . K= I 9: p E C[Ix]J. denote by V the set of all row vectors (cl(x).. where the entries are in the field K. . µ) are bounded and holomorphic in the domain {(x. we explain equivalence between a system of linear differential equations and a single nthorder linear differential equation. µ.V by G[vl = by + 7l(x) (v' E V ).
.jm) 1 < it < j2 < .V2.ACnb+Ii = 0 J=1 .... it follows that v A DU A A CnOv' A C"O+I V = 6 for all A E C and all integers in.. A 00 Vo A (C + no m)n0... we introduce a criterion for linear dependence of a set of elements of V.. Let us now define a map (.... vm } C V.AV2A .... and introduce a linear order . Step 2. Since this polynomial is identically zero.) (VI.... (3) VIA. . Set v' = vo+Ax"'O E V. A vm f cI31 Cj32 : . each coefficients must be zero.. .: 1m_1 A Um It is easy to verify the following properties of V1 A v"2 A Vk_1 A (1) = + Vk_1 A Vm_1 A v"m v'k_1 A Vm_1 A Vm.. w A C60 A .. for all aEIC... Vm } E V is linearly dependent if and only if v'1 AV2 A 6 in K('^).. Vm) + V1 A v2 A .. .c12...ACiIVoA (C+m)lw A CJ+'A A. (M)) in the set J..5. Cv".jm) E .A.. .. A Vm = (11A. . .. .. Cn0+1V} is linearly dependent. A 17m = (4) a sety{ {6j. V.m). A Cna+1v'o + v'Y A ..Cin) (j = 1.. This is zero since {iio.m)} + Id. where A E C and m is an integer. For example. ..) Vm={(v1. Since p(VO) < n1..06 A A C"OiYA C"°+16 is a polynomial in A. G"0+Iuo} is linearly dependent.... CnOv'. Then. A Vk_1 A (a Vk) A vk+I A ... Fix an element Vo of V such that µ(6o) = max{p(V) : v" E V} < n1... First.A iY A A Vm).. CZi3o. Compute the coefficient of the linear term in A of the polynomial....7 Cmj2 C3A v...... Note that v A. < jm < n}...2. clim : : det Ci 1 (jl. where no = max{µ(v") : v E V}.. the constant term of this polynomial is i6o A CVO A .. where m is a positive integer not greater than n = dim.. another element w of V can be chosen so that {VO. .. . Since {V.7 ' { 1. w"} is linearly independent. .AVjA . Set .7 = {(jl. 2..+1ti + 1:60A. 62.... Ciio. CYCLIC VECTORS 425 Step 1. Cwt = Cw"o + C'(Axti) = Crvo + Axm(C + m)tw... where 1. A vm.. V1 A ..Vm): 61 EV (j=l. Cv"o. Then. .. A 00+I V"o. Let 6j = (c31. . Consider a set {i11.A irk A ... A Vm_1 A Vm (2) = 6k_1 A irk A vm)..
The system of differential equations y1 (XIII. P(x) = nv"o o Gvo Gnlvo .1) by' = fl(x)y".. Let uo be a cyclic vector of Land let P(x) be the n x n maUo trix whose row vectors are {vo..e.426 XIII. an1 with the entries a. w} is linearly independent. System (XIll. computing the coefficient of mn0+1. An element vo E V is called a cyclic vector of G if {6o. . L"Ovo.5. Gvo. . .. This completes the proof of Lemma XIII51. In particular. hence. E C. Observation XI II53.5. This is a contradiction.. we obtain 0 0 1 0 1 0 0 0 .. Ln1%) is a basis for V as a vector space over X.3) bnq 1=o arbrq = 0. 1 al a2 a3 . The lefthand side of this identity is a polynomial in in of degree no + I. Hence.. we obtain vOAGvOA .2) bu" = A(x)u.5.2) is equivalent to the nthorder differential equation n1 (XHI. . Theorem XIII54. Definition XIII52. L21 yo = and.... . we proved the following theorem. where q = yl. L2v'o. where g _ Y. since {vo. .. Then. 0 0 A 0 ap 0 0 0 . each coefficient of this polynomial must be zero.. setting A(x) = L[P(x)]P(x)1 = bP(x)P(x)l + P(x)f2(x)P(x)1.5. i. if y is changed by u = P(x)y"... Thus. SINGULARITIES OF THE SECOND KIND identically for all integers m. which is the main result of this section.G'o. . Lu0. A GnbtloAw' = 0.. becomes (XIII..L' 'io}.
.. . (1) Let us consider the system y1 (a) by" = 0..1.1]u. x. the transformation 1 1 1 1 . changes system (a) to (E) Further... (II) Next. 1 0 2 22 . an1 where ao. This implies that vo = (1.. consider the system (b) x2'. CYCLIC VECTORS 427 Example XIII55. . (n  changes (a) to (E').... X'. . this case.. xn1) is a cyclic vector in by = Ay.n . a. xn11y bu = diag[0. . w" = 0 1 . ... .1 (n .. Choose a transformation similar to (T) of (a) to change system (b) to (E") oiZ = A'u ..5... where y= yn The transformation (T) u = diag[l. Hence. where A is a constant diagonal n x n matrix. n. 0 0 a1 ao 0 a2 1 . x.1)2 1)n1 diag [1. an1 are integers.x°1 y 0 1 2n1 ..... the transformation 1 2 (r)  22 U 2n1 changes (E) to the form 0 0 1 0 1 0 0 0 0 a3 0 0 w..
.nxm1" : a. K. +a where 7L is the set of all integers.of K. ..428 XIII.6.. Then. we first set +a E a. TLrrittin that clearly shows the structure of solutions of a system of linear differential equations of the form (XIII. Bj=diag[BJi. Then.. where B is an n x n matrix in the Jordan canonical form (XIII.6.. L=1 Theorem XIII61 ({Huk4j and [Tu1j). For any element a = F a. The field L is given by L = U K which is also a differential field containing K as a subfield. we explain a theorem due to M. The HukuharaT rrittin theorem is given as follows.B2.Bpj.4) B=diag[Bl. Furthermore.1) to (XIII. E C and M E Z M=M I ..1) where the entries of the n x n matrix A are in K (cf.2) such that There exists a transformation y' = UI (i) the entries of the matrix U are in L and det U .6. .].Bj2i.. .. we M=M define x ji by x da = F M=M +oo +00 \ v) amx'nl '. (ii) transformation (XIII. a transformation similar to (T') can be found so that (E") is changed to (E') with suitable constants ao.6. §XIII5). al.6.. Bjk =AI In.j1 0.nxn'/° of K. XIII6...6. The HukuharaTurrittin theorem In this section. Hukuhara and H.. we must introduce a field extension f..2) changes system (X111. L is algebraically closed...n. L. is a differential field.. To define L. + Jn.3) xd = Bz'. SINGULARITIES OF THE SECOND KIND so that A' is a diagonal matrix with n distinct diagonal entries. In order to state this theorem.. (XIII.B. an_ I ...
5) Jn"..10) = Aoii. .9) X E = E. any two distinct eigenvalues of A0 do not differ by an integer (cf.10) to dil dig xaj = [an 1 In+Ao]u..6. Consider the system (XIII. This proved Theorem XIII61 in this case.1) has the form 0 0 1 0 1 0 0 a1 0 0 . where the and the transformation w = Sii changes (XIII.. . Hence.6. assume that the matrix A of system (XIII. 2.6.6. changes (XIII. d..A.7) A.6.1 n In. Case 1.9) to x F irthermore... 0 0 A 0 00 0 a2 0 1 a3 "' an1 where ak E 1C (k = 0. then there exists another n x n matrix S with the entries in X such that det S 96 0 and the transformation w = Suu (XIII.9) to x entries of A are in C[[x]].6. n . . i. are not integers if i 0 j. trace [E] = 0. J. . . Proof. 0 if dJ > 0 and A. 1. THE HUKUHARATURRITTIN THEOREM 429 Here.6.1) is changed by transformation (XIII.. Theorem V54). in this case.6.6. (XIIi. If there exists an n x n matrix S with the entries in X such that det S 0 0 dii = A(x)u". is the njk x njk identity matrix. I..e.6. .. Without loss of generality.6.. where the entries of the matrix A0 are in C.1) (cf.8) an. system (XIII.. (XIII... is an n 1k x n3k nilpotent matrix of the form 0 0 1 0 1 0 0 0 (XIII.. p) and (XII1.. . 0 0 0 0 and the Aj are polynomials in xfor some positive integer s.. Theorem XIII54).6. Set E= A Then.6) Aj = > A r=O x'18 where all E C (j = 1.d.
then (XIU. where V([c1 1 0 1 (XIII. 6 ..S 0 and the transformation w = Su' changes (XM. It follows from (XIII.12) X!LV _ x + WEJ WY. The matrix W is lower[c1 triangular and the diagonal entries are {1. i.11) W= 0 0 0 0 1 If (XIII. a cyclic vector can be found for system (XIII.1 ...6. SINGULARITIES OF THE SECOND KIND Case 2. 0 0 1 0 1 0 0 0 0 0 x 11 + WE] W1 = V[ W]W1 0 0 0 0 22 l An1 A W i31 /32 .9) to xdu = A(x)u.. . cn]) = x[c1 . .cn]E.e.l an_1 n a3 1 a2 an2 an1  an1. Assume that there is no n x n matrix S with entries in X such that det.6. Since 1 0 1 0 0 0 . Win] = (10 ..430 XIII.6.9) by using the matrix W defined by w11 win with writ Wnn [wll .6.l = 0. wJn] = V11[1 0 01. 13 ) t racel x + WE]W.6..8) and (XIII..l an_1 n E = 0 ap 0 al 0 0 .6.6.11) that ( XIII . Also.9) is changed by the transformation v" = Wtv".1}... [w.. 01.. where the entries of A are in C([x]].
. x(n1)kI u". THE HUKUHARATURRITTIN THEOREM 431 where 1k E )C (k = 0..6.. 9 Let us change system (XIII. from (XIII.mxm+k(nt) E C[ [x'1911 (0 < t < n . . n 0 72 1] 0 73 and 7t = xk(nt)o. Under our assumption.12) by the transformation v" = diag [1. 1: /3tmxm E C[[xJ] and #to 54 0.mxm (t=0. n . .1) Qt = xk(nt) (Ct + xqt) for some t such that k(n . In particular.6.6.. This implies that (I) and (11) Of = L. ut < k(n . and Qt. (XIII. ct is a nonzero number in C. .. Then. not all Qt are in C[[x]].6. 7n1 = 0.15) F= 0 70 0 71 + kxkdiag [0. . J Then. xk. .6.14) where 0 0 1 0 1 0 0 0 (XIII. /3t = xu" E m=0 +oo Qtmxm (t E 3). for each t. n.1.t) is a positive integer. .1). Set 9 = (t: at V C[[x]]} +00 and set Also. qt E C[[x]].. =: $.m E C. the quantity µt is a positive integer. m>k(nt) Qt.13)... Set m=0 k=max(n µt t :IE91. m>k(nt) In particular. where. it follows that On1 = 0. 1..t) for every t E J and µt = k(n .t) for some t E J.1.1).. We may assume without any loss of generality that k = h for some positive integers h and q..
k).. let us construct a fundamental matrix solution of (XIII.1). J.6...6... > 0 (j = 1. we obtain m=o 0 1 0 0 0 01 Fo= CO C1 C2 C3 . where the entries of the matrices Tm are in C and To is invertible... 2) (cf. where if dj = 0..0 eXp[AJ (x)] exp[(log x)Jf. Therefore..14) to a system xd ... xAJ0 exp[A. where the entries of F. cl . the proof of Theorem XIII61 can be completed recursively on n. where J. This implies that the matrix F0 must have at least two distinct eigenvalues. . Cn_2 0 where the constants co. there exists an n x n matrix T such that (1) T = m=o XM19Tm. For each j. 0 Observation XIII62. (2) the transformation (XIII.72 .432 XIII. = xkGxi with a matrix G in a blockdiagonal form G = [ 0 0 G2 J where Gl and G2 are respectively n1 x nl and n2 x n2 matrices with entries in C[[x1/91and that nl + n2 = n and n. SINGULARITIES OF THE SECOND KIND +oo Setting F = E xm/9Fm. §XIII5).mJ ] . ]. t/s if d1>0. are in C. J. Hence.. set Dj = diag ['j1...(x)] exp[(logx)Jj]. cn_2 are not all zero. . In order to find a fundamental matrix solution of (XIII. For each (j.6.6. set 4'1k = xA.16) y = Ti changes system (XIII. = diag [J.3) in the following way: Step 1. Step 2. .
18) U4i = Uxc exp[A] is a formal fundamental matrix solution of system (XIII.6. . in a situation to which Theorem XIII41 applies.00(x) where p is a rational number and O(x) admits an asymptotic expansion in powers of xl"° as x 0 in S. The matrix (XIII.6. .. Furthermore. .. .6. . which are in C((xJJ. .. + J1. However. . p"2(x).. . The following theorem gives such a result.14) to a blockdiagonal form.6.1) is given analytically.6. in general. where xC = diag [xA1OxJ.1).15n(x) can be constructed in such a way that their entries are in Chill and that p""1(0). Then.19) xd+1dy = A(x)f dx with transformation (XIII. the entries of U of transformation (XIII..\101.3). In the case when the entries of the matrix A(x) on the righthand side of (XIII.6. (XIII.. Therefore. the corresponding eigenvectors p"1(x).. The two matrices exp[A] and xC commute. Then. xJ. .6.6.2) of Theorem XIII61.. 4i2.6. I argxi < ao} and admit asymptotic expansions in powers of x as x 0 in So. . Observation XIII65. 4ip] = xC exp[A] is a fundamental matrix solution of (XIII... 'X aPOxJP] . Observation XIII63. Transformation (XIII. 1\20I. where ro and ao are positive numbers. transformation (XIII. Assume that the entries of an n x it matrix A(x) are holomorphic in a sector So = {x E C 0 < lxJ < ro. where s is a positive integer.19) are in C[[x]l and A(0) has n distinct eigenvalues. the matrix A(x) also has n distinct eigenvalues A1(x)...6. Theorem XIII64.. where U is the matrix of transformation (XIII. + J2.6.16) are formal power series in general. Theorem XIII61 applies to the system (XIII.6. since the entries of the matrix T(x) of transformation (XIII.6. xl\2OxJ2' ...6. Theorem XIII61 is given totally in terms of formal power series..17) 4) = diag [451. THE HUKUHARATURRITTIN THEOREM 433 Step 3. = exp[(logx)JjJ. even if the matrix A(x) of system (XIII. Set A = ding [Al(x)In A2(x)I. C = diag [.16) changes system (XIII.2) are holomorphic in S and each of them is in a form x.2) such that the entries of the matrix U of (XIII.7"2(0). . . formal power series in xl1". A2(x).6. Assume also that d is a positive integer and y" E C'. .2) can be justified analytically..6.. Let S be a subsector of So whose opening is sufficiently small..2) are.
6. Now. .6.6.6. p2(x). .20) to (XIII. By virtue of Theorem XIII64..22) xd+1 dy = A(x)yf + x f (x)... . while aJ and bi are neat numbers. µ2(x). 2..An(x)].(x) admits an asymptotic expansion in powers of x as x . Let Q.. dx where d is a positive integer.19) in S.6 as x 0 in S1nS2. the solution ¢.. (x) = it) (x) + O(xd+1) ( j = 1. and A(O) is invertible. Denote by P(x) the n x n matrix whose column vectors are p1(x). Assume that the entries of A(x) of (XIII.. . Observation XIII66.. where µ1(x).+(x). Then.A2(x).19).0 in a sector S3 = {x E C : lxl < ro. This implies that the transformation y = P(x)ii changes system (XIII.xd+1P(x)1 d ( ) It is easy to construct another n x n matrix Q(x) so that (a) the entries of Q(x) are in C[(x]].6..19) to (XIII. Then.. µ2(x). aj < arg x < b3 }..21) xd+1 dv dx = diag [ft1(x). 2. we obtain following theorem.6.. Therefore. p. where lb(x) is given by (XIII. d1 s = d for all j. there exist positive numbers K and A and a closed subsector S = {x : lxl < R.6.6. . Assume that for each j = 1. the entries of the n x n matrix A(x) and the C"valued function 1 *(x) are holomorphic in a neighborhood of x = 0. we can prove the Theorem XIII67. An(x)] . where ro is a positive number.6.20) xd+1 dx {diagiAi(x)A2(x). Using this fact. . . . and (c) the transformation i = Q(x)v changes system (XIII.434 XIII. in this case.(0) are n eigenvectors of A(O). detP(O) 36 0 and P(x)lA(x)P(x) = diag[A1(x). the entries of the matrix U of transformation (XIII. upon applying Theorem XIII61 to system (XIII. the asymptotic expansions of1(x) and ¢2(x) are identical.i1(x) and Qi2(x) be two solutions of a system (XIII.. n).a < argx < b} of Sl nS2 such that K exp[Alxl d] in S. Since the matrix A(O) is invertible. using Observation XIII66. Then. Set 1 (x) = ¢1(x) $2(x). µn(x)] v. Then. .. (b) Q(0) = 4. Proof. Assume also that A(O) is invertible. SINGULARITIES OF THE SECOND KIND p".6.17). . the C"valued function >G(x) satisfies system (XIII. a constant vector 66 E C" can be found so that r%i(x) = U4D(x)6. n$2 and ii(x) ^_. . i (x) are polynomials in x of degree at most d such that A.19) are in C([x]]..2) are in 1C.. Suppose also that S1 n S2 0. we can complete the proof of Theorem XIII67.
Changing the independent variable x by x1. dil (b) the transformation y" = T(x)t changes system (XII1. The matrix A = diag [AI In. starting from Theorem XIII61. then another formal fundamental matrix of (XIII.(x) are polynomials in x1l'. C) such that Uxc exp[A] = U5C exp[A]I' (cf. Using the fact that r is invertible. .y] on the righthand side of (XIII. has a formal fundamental matrix solution of the form x F(x) 1 0 0 f1 x1/2 ] l I 1 111 e 0 0 eE(t.1) to x = E(x)iZ with an it x it matrix E(x) such that entries of x9E(x) are polynomials in x. where ql(x) E C[[x]] (j = 0. Hence. h=0 Theorem XIII611. 2. For more information concerning the uniqueness of the Jordan form (XIII. for example. .6. ahxin is a positive odd integer. [Ju]. Using this fact and Observation XIII69.. C. Example XIII612. A system of the form P(x) where P(x) = xm+ h=1 0]b. C.6. and A. API. we can derive the following result from Theorem XIII61.(x) : j = 1. i = x... Observation XIII69.. Since the matrices Uxc exp[A] and UxO exp[A] are two formal fundamental matrices of sys tem (XHI.2). and the ah are complex numbers. . THE HUKUHARATURRITTIN THEOREM 435 Observation XIII68.1) is constructed with three matrices U. 2. A proof of Theorem XIII611 is found in [BJL]. ..6. The main issue here is to construct. . Set w = 2a[!] and x 1/a = wx 1/a Then.. y = lyd. exp[A]T exp[A] = xCUIUxC.6.1). A2In3. and A similar to U..a) I . and [Leve]. Therefore. s . there exists a constant n x n matrix r E GL(n. if z 1/e in Ur C exp exp[A] is replaced by zI/'.6. a formal transformation whose matrix does not involve any fractional powers of x in such a way that the given system is reduced to another system with a matrix as simple as possible.1).18) is unique in the following sense.1) is obtained. A power series p(x) in x1/' can be written in a form a1 Ax) = Exh1'gh(x). see. p) are identical by virtue of Observation XIII68.3) and transformation (XIII. p} and (A.6.6. Remark IV27(1)). Observation XIII610. There exist an integer q and an n x n matnx T(x) whose entries are in C[[x]] such that (a) det T (x) 96 0 as a formal power series in x. The following example illustrates such a case.6. we can apply Theorem XIII61 to singularities at x = oo. This implies that the two sets {Aj (i) : j = 1.. it can be easily shown that A = A if the diagonal entries of A are arranged suitably. 1.. Assume that another formal fundamental matrix solution Uxcexp[A] of system (XIII... The quantities A.. [BJL].. .
= n.436 XIII.. be the distinct values among p nonnegative rational numbers Also.(x) are polynomials in logx with coefficients in Define q + 1 points (Xh. .1..18) of system (XIII.1) at x = 0 (cf.. (h = 1. Qh... E C.v(x) = and the entries of lh. 2.v(x) = x'1h .6 0 as a formal power series in xl. and Elh = En.6. <k9_1 <kq d1 d2 .. pthen k is the s JJJ order of singularity of system (XIII. SINGULARITIES OF THE SECOND KIND 1/2 where m + E k=1 ak xk + E bk(a) xk k=1 +00 E(x.(x) is either equal to 0 or a polynomial in x1/' of the form I2h.. .... q) P .. It is easy to see that lh > 0 (h = 1.1. see [HsSj and [Sil3j. (. a) = (m 2) x(m+2)/2 + + +00 2 1<h<(m+2)/2 i (a)x(m+22h)/2. . where yh. . notice that if we set k = max { a :j = 1. .7.2h) bh and F(x) = xq> hO xh Fr. First.Y0) (010)..6.... Yh)== (Xh1 + eh. .1).. # 0). q). (Xh. 2..v E C and I2h.exp[Qh.. with an integer q and 2x2 constant matrices Fh such that +00 det h=O xh Fh . . (h = 1. .7.vxkh(I +O(x1/')) (11h. q) recursively by (Xo.. q). Yh) (h = 0.1) has th linearly independent formal solutions of the form (XIII. . An nthorder linear differential equation at a singular point of the second kind Let us look at the formal fundamental matrix solution (XIII. s s s set th = d /s=kh q n...2) 'ih.(x) (v = 1.6.. System (XIII.1).. Yht + kheh) Let us denote by N the polygon whose vertices are q + 1 points (Xh..7. ..2... Qh. For details of construction.m + 2 . . q). 2..h = 1.v(x)Wh. h=1 7=1 Observation XIII71....1) 0<k1 <k2 <.... . The polygon N has q distinct slopes kh given in (XIII. XIII7. Let (XIII. Yh) (h = 0. .6. . q). Definition V78).
t=o Definition XIII74. t=o the Newton polygon N(C) is defined in the following way. v(at)) (t = 0.. For operator (XIII. 1.1) and differential equation (X111. n) on an (X.7.6.6. Theorem XIII76. The polygon N is called the Newton polygon of system (XIII. then the two Newton polygons N and N(C) are identical. Two Newton polygons are said to be identical if the two polygons become the same by moving one or the other upward in the direction of the Yaxis.7. it was shown that system (XIII. set v(0) = +oo. If a = 0.1) is equivalent to an nthorder linear differential equation n1 (XIII. Y)plane.7. Theorem XIII 5 4). Definition XIII75. .. If system (XIII. we prove the following theorem.J = anb"r) + j:atdtrt.7. Denote by N(C) the Newton polygon of C at x = 0.x'n E C((xj] is not 0.. If a power series a = E c. For the differential n1 C(>.3) anb" r) + E atbtrl = 0. Proof. and P = UP. and A(0) is invertible if k > 0. . Y) : 0 < X < e. we set v(a) = min{m : cn 0}.7. consider n + 1 points m=0 (Q. Now. Y > v(at)}. The proof of this theorem will be completed if the following three statements are verified: (a) If..3) are equivalent in the sense of Theorem X11154. AN NTHORDER LINEAR DIFFERENTIAL EQUATION 437 Definition XIII72.4) . Observation XIII73. In §XIII5. . The boundary curve C of the smallest convex set containing P is called the Newton polygon of the operator C at x = 0.3) is equivalent to a system xk+1 whose entries are power series in x11".1) at x = 0./V(C) has only one nonvertical side with slope k.7. where s is a positive integer such that sk is an integer. t=o where b = x operator (XIII. Set Pt = ((X.6. and an # 0 (cf. at E C((xj).4). then differential equation = A(x)g with a matrix A(x) (XIII.
...6..1/11 of the form Qh. Look at the system Lq]u] = V. YhI + kh(X .. If the distinct slopes of the nonvertical sides of N(L) are given by (XIII. then the operator L is factored in the following way: (XIII. Theorem XIII77.v(x) = lAh. Combining Observation XIII71 and Theorem XIII76..Xh1 (h = 1.v(x)]Oh.438 XIII.7.v(x) = xtin. SINGULARITIES OF THE SECOND KIND (b) If (XIII.6). 9). L1. exp[Qh. Qh. Appendix 1].. we obtain the following theorem.1) gives slopes of all nonvertical sides of N(L).. .6) where rlh.14) in Case 2 of the proof of Theorem XIII61.v E C.. q) are integers. at x = 0. (ii) ryh.7.v E C and uh. and the quantities Oh. A2(x).vxk"(1 + O(xi'°)) (I<h.. 2. Then. Statement (c) can be verified recursively on q without any complication.5) where.Xh_1)) : Xh1 C X < Xh} is the nonvertical side of N(L) of slope kh. then It. L9_1[v] = 0. Statement (a) can be proved by an idea similar to the argument which is used to reduce system (XIII.v(x) is either equal to 0 or a polynomial in x.S) has.. . n linearly independent formal solutions of the form (XIII. s is a positive integer such that skh (h = 1. .. then the differential equation (XIII. The following example illustrates such a method.3) is equivalent to x !L = diag [A.7.12) to (XIII.6.7. and PI + P2 + + Pq = n. (c) If L is factored as in (b) and each differential equation Lh[r)h] = 0 is equiv alent to a system xdih = Ah(x)uh. using an effective method with the Newton polygon N(L).7. for each h. = Xh .v 54 0). The proof of Theorem XIII76 in detail is left to the reader as an exercise. We can construct formal solutions (XIII. [Si16] and [Si17. then the nthorder differential equation (XIIL7..v(x) (i) if {(X. Aq(x)] y'.v(x) are polynomials in log x with coefficients in C[[x'/']] Here. (x).1). . A complete proof of Theorem XIII77 is found in [St]. A proof of Statement (b) is found in [Mall]. N(Lh) has only one nonvertical side with slope kh.7.
.x62 . kl = 0. A = 1 Thus. Then._1 m for m > 1..2. _ (m c. 1 (A+m+1)Cm = {(A+m1)3(A+m1)2}C..7. ((A + 1)co = 0.. Then.2) is a solution of C[r7] = 0. and 2)2(m 3) c.. . = 0 for m>2.. This implies that q = CO (x1 . (ii) For k2 = 2. 1 3 +00 FIGURE 6.. .1. x_1 2) [S] b"['1] = exp[Ax112] \a  (n =0...x I tS  \X112 )2_ (b . Therefore. C[n] = 0 is equivalent to 3 ft Cb  Zx1/2) . The Newton polygon N(C) is given by Figure 6. In this case.1 or the thirdorder differential equation C[q] = 0.(.5 .xa+m+1 t o0 (A + m + 1)C._1 for m > 1. Therefore. set n = cl = 2co. exp[Ax112](.. m=o Hence.xa+m = 0. q = 2.  A = 1.2x1/2) . C[q] _ M=0 { (A + m)3 .1 0. set i _ E c.xX+m (co M=0 +00 0). (i) For k1 = 0. AN NTHORDER LINEAR DIFFERENTIAL EQUATION 439 Example XIII78.. and k2 = 1... Consider the differential operator C = x63 . ). c...\ + m)2} c..
1 + g) + x1/2.2x1/2 62 (d  x1/2) . J. Hence.2x1/2]xl2[1 + x1/2f2J. Figure 72). then the Newton polygon has a horizontal side (cf.x2 .x I d . Figure 71). if A is determined by the equation A 2 \3 8 0. .g31 x1/2 . FIGURE 71.\2xI 2x1/2 /  tax1/252 + 18.\x112d =d3 + Ax1/2 + 42x1. FIGURE 72. However.\x1/2 (x_1/2 + . we can find two formal solutions of equation £[77] = 0: exp [2x1 12] xv.440 XIII. / d it follows that 3. exp [ .1 + 4 4Ax1/2) 2 .\2X1 + 8A3x3/21 + / XId2x1/2/3 2_ . The Newton polygon of this operator has only one nonvertical side of slope 2 for arbitrary A (cf. 4. 11 + x1 /2f.1 d = x63 +1 (xhI2 + x 2 + (. where p1 and p2 are constants and f1 and f2 are formal power series in C[[x1/2JJ. SINGULARITIES OF THE SECOND KIND Since 2 2x1/21 J 3 .
Theorem V27). .3) 0 < kl < k2 < .) (cf. If the Newton polygon N(. respectively. If differential equation (XIII. y. let (XIII. < k9 < +00 .. we stated an existence theorem of asymptotic solutions for a given formal solution of an algebraic differential equation (cf. S2.y.x"' E m=0 CI[x]I. . yo.. . 00 (ii) differential equation (XIII. SN } at x = 0. Gevrey property of asymptotic solutions at an irregular singular point In this section we prove a result which is more precise than Theorem V15 ([Mai]).. h on bh (tot + (1 . Therefore.. (XIII.. we can transform (XIII. (C ... 02(x). n) are convergent power series in x and a # 0.3) to the form (XIII. (SS31 and [Mal2j). Set ui = 01 ..8. . h=o and G(x. $2... Let us assume that. (iii) M is an integer such that for any differential operator At of order not greater than n.1.C) has only one nonvertical side of slope 0. . Theorem XIII36). it can be assumed without any loss of generality that (i) ah (h = 0. Here. 2.. . Definitions XIII74 and XILI75). .I) is a convergent power series in (x. b"1y) (b = x. ...by.. ue are flat in the sense of Poincare in sectors Se n S(+1.8. Then.1) has a formal solution p(x) = E a...). then x = 0 is a regular singular point of C[iI] = 0.. .2) G = F_ ah(x)bh.. respectively.. In §XIII3. Furthermore. Using Theorem XIII36.8. in this case the formal solution p(x) is convergent (cf.. respec tively such that of are holomorphic and admit the formal solution p(x) as their asymptotic expansions as x + 0 in St. GEVREY PROPERTY OF ASYMPTOTIC SOLUTIONS 441 XIII8. if we define differential operators IQ by Kt then O<h<n1 LJO 1 E (x. ON (x) of (XIII.xMIC) and N(C) are identical (cf.1) where n f_[y] = x"'G(x. N)../V(C) has at least one side of positive slope... .8.0t+1 on Se n Sjt+1.8.8.1) in S1. yl. the two Newton polygons N(C .x"'K t)[ut] = 0 se n St+l (f = 1. yl .t)Ol+l I... (b) N solutions 01(x).. )dt bh...3. y. where Sv+1 = S1. . we can find (a) a good covering {S1. yo.3. In such a case.3) has a formal solution.. . SN.
Theorem XIII83. .2. SINGULARITIES OF THE SECOND KIND be all of the positive slopes of the Newton polygon N(. ISi17. since N(1 C xMJCe) and N(G) are identical.. . . we obtain the following theorem. In Exercise XI14.. Remark XIII82. pp.6+ 2k + e) such that J(F] = f .kq}. (ii) A(x) is an n x n matrix whose entries are holomorphic in a neighborhood of x = 0 and b(x. §A. If we use the idea of Corollary XIII13 and Theorem XIII67.. where k E {k1. (iii) A(0) is invertible. Now. This function F is called the sum of f in the direction arg x = 0. .. For nonlinear cases. yj.8. S2. if a formal power series f E C((x]] is ksummable in a direction argx = 0. 0  2k e. To prove this theorem. there exists one and only one function F E Al /k (Po. the solution 0e admits p(x) as its asymptotic expansion of Gevrey order k as x . Theorem XIII81. where Po and a are positive unmbers. S2. Then. for example. yl = (0.. ky} (cf.8.442 XIII.4..4) xk+1 dy dx = A(x)y" + xb(x. We can prove a more general theorem.4) has one and only one formal solution y = p(x) m=1 xmpm and p(x) is ksummable in any direction arg x = 0 except a finite number of values of 6. This theorem was originally prove in (Raml] for a linear system. we gave the definition of a ksummable power series. the sum of p(x) in the direction arg x = 0 is a solution of (XIII. Furthermore. we can prove the following theorem concerning the ksummability of a formal solution of a nonlinear system (XIII. SN } at x = 0 in the proof of Theorem XIII81 so that opening of each of sectors {S1. the formal solution p(x) is a formal power series of Gevrey order 1 and.8. we must have lut(x)l : yeXp(A Ixlk] on Sr n Se+1 for a nonnegative number y and a positive number A. see. y) is a C"valued function whose entries are holomorphic in a neighborhood of (x. SN } is larger than k . . 207211J. where k E {k1ik2. Theorem XIII77).. .4). for each t.C). Under the assumptions (i) k is a positive integer. Under the assumptions given above. by virtue of Theorem XI23. . As stated in Exercise XI14. k2 . 00 system (XIII. 0 in S1. it suffices to choose the good covering {S1..
there exist a finite number of directions arg x = 0 (1= 1. [Br). Show that there is no rational function f (x) in x such that (a"f)(r) + rzf(x) = x Hint. Using Observation XIII65. 2... One method is to show that the given equation has a unique power series solution in X1 which is divergent at x = oo. But. [RS21.. . A complete proof of this theorem is found in [BBRS].8. diagonalize the following system: dg dx for large )x[. For those informations.+fq. . k2 .. q) satisfying the following conditions: in the direction argx = 0. 2. see. we can easily see that this equation does not have any polynomial solution (cf.. let (X111.4. .. In this case. EXERCISES XIII XIII1.A(x) be given. there exist q formal power series j.3) be all the positive slopes of the Newton polygon N(C) of the operator C.ii + 'A. Another method is to observe that any solution of this equation has no singularity in ]x] < +oo except possibly at x = 0. . 2. where for each j = 1. Let a linear differential operator L = 6 . .. . p) such that i f 0 34 Ot f o r I = 1 . and A(x) is an n x n matrix whose entries are meromorphic in a neighborhood of x = 0. XIII3. and [Bal3j. the power series f is (b)f=fi+fz+. Also. _ x+ 5 3 x+ 1 y x+ 8 where `yil l yz J XIII2. f is said to be {k1..EXERCISES XIII 443 Theorem XIII.. the . Find a cyclic vector for the differential operator £[ 3 = x. We can also prove multisummability of formal solutions of a nonlinear system. if p(x) is a rational solution. (v = 1. {Si20J). Assume that (1) k1 ? 51 (2) C[ f] is meromorphic at x = 0 for a f (x) E C[[xiln. kq }multisummable in the direction arg x = 0.. p. Furthermore. where 6 = . then some inspection shows that p(x) does not have any pole at x = 0. for example. with a constant n x n matrix A of the form A = I At 0 1. Then. This implies that p(x) must be a polynomial. [Ram3].2.. (a) for each v.8.
0 0 A?= 0 CYO.1)u1 = 0.y = 0. u3 = 52y1. where b = x d . 1. respectively. where b = x . Note that transformation (T) is equivalent to u1 = yl. .. . respectively. matrix of the form 0 0 1 0 1 0 0 0 0 C13.j .) 0 1 a2. 0).1)(x5 .. XIII5..1)(x2(5..y = 0.1)1/2. This implies that the transformation 1 (T) X2 X42x2 0 x2 0 x4 + x3  2x2 x 0 changes the given system to (E) (5 . 0. Find the Newton polygon and a complete set of linearly independent formal solutions for each of the following three differential equations: (a) x(52y + 45y .y = 0. and the given system can be written in the form 1/2 = (x25 1/3 = (xb .. (5 . (c) xb2y + x6y . XIII4. u2 = dyl. For the given system. 0 a 1. this also shows that the Newton polygon of the given system has three sides with slopes 0.. Hence. and 2.. The standard form of the given system in the sense of Theorem XIII61 is X .= dx 3 du a(x) 0 b(x) 0 0 x2 u. 1 and 2. On the other hand. 0 0 0 where a(x) = 1 + 0(x). (b) x2(52y + xby . The Newton polygon of (E) has three sides with slopes 0.j. Find the Newton polygon of the following system: 1 1 0 x3 d = dx 0 10 x 0 x x2 Hint. a cyclic vector is (1.1)1/3 = 0. .444 XIII.. b(x) = x + 0(x2). SINGULARITIES OF THE SECOND KIND quantity Aj is an of x n. .j ant 1j with complex constants ah.
j (x) as x 0 in the direction arg x = 8. use the following steps: Step 1. Apply Theorem XIII12 to the given differential equation. a solution ¢'(x. A2. Assume further that two real numbers 01 and 82 satisfy the following conditions: (1) 01 < 02. 2. find a solution fe(x) of (E) such that fe(x) ^.7) = {t:iti > N. Then. 8) are holomorphic and admit asymptotic expansions in powers of x as x . n) are real and positive for a positive integer k if 01 < 8 < 02. the differential equation becomes du = y .EXERCISES XIII 445 XIII6. (b) For a given direction 8. we must change x = 0 to t = oo by x = 1. 81 < 2k argx<82+2k Hint. Hint. n = 1.. (x) for two given directions 81 and 02. XIII7. and the eigenvalue is . I argt . If we use Corollary XIII13 at x = 0. . 15)) is D(N. 1 Then. Also. 0) = d(x. I arg x . 1. (x) .8'l is sufficiently small. where Ee is a sufficiently small positive constant depending on 8. (XI 11.u = 1. Assume that det A(0) # 0. let Al. 8). An be eigenvalues of A(O). Let A(x) be an n x n matrix whose entries are holomorphic and bounded in a domain Ao = {x : 3x! < ro} and let j (x) be a Cnvalued function whose entries are holomorphic and bounded in the domain Ao. . r = 0. . 8) is found so that the entries of 2k O(x. then ¢(x. (c) Calculate fe. If 10 . To do this..81 < 2k + ea }.fe.0 in the sector S = {x : 0 < !xj < r0. it can be shown that for each 8 in the interval B1 < B < B2 + 7. . For Part (b).. ry) (cf. the domain D(N.2gir! < 32  f} .0 'r in the sectorial domain Sa = x : 0 < jxj < ro. (2) none of the quantities Aye'ke (j = 1. Show that there exist one and only one solution f = fi(x) of the system x'`+1 ds = A(x)f+ x f (x) such that the entries of fi(x) are holomorphic and admit asymptotic expansions in powers of x as x .. Set arg u = 0. Aqe'k93 (3) Apeike' and are real and positive for some p and q. In this case.t . (a) Show that j (x) _ m=o (1)m(m!)xr+L is a formal solution of 2 dy (E) dx+yx=0 and that f is not convergent except at x = 0.
2pl < _ 37r 2 Step 2. fe(x) = Op(x) + cge.2pirI < 2 . where c is a constant. In terms of x. Hence. where co is an arbitrary constant. for each fixed integer p.2pir < 2 is obtained. Note that IC tle1'`dt = 27ri. and y is a sufficiently small positive number. SINGULARITIES OF THE SECOND KIND where q is an integer. XIII8.'Y} where p = q. we obtain fi(x) = ¢p(x) + 2pirie' for argx = 2pir. argx . it follows s that ¢p(x) = f (x) + cell=. Step 4./. 2 < 0 . It is easy to see that f (x) = el/=J 2t1e1l`dt (x > 0) satisfies the given 0 differential equation and has the asymptotic property f (x) = j (x) as x 0.f (x) is a solution of the homogeneous differential equation x2dy + y = 0. 2 . the domain D(N. Since there is no singular point of the given differential equation in the domain 0 = {x: 0 < Ixi < oo}. Show that the following differential equation has a nontrivial convergent power series solution: d 2x 3 + dX+ y = Q. there exists a solution ¢p(x) of the given differential equation such that (i) op(x) is analytic (but not singlevalued) in !2. 4p(x) if if 10 . From this.2p7ri < rt 21 . we can conclude that. Using an argument similar to that of Step 2. Since ¢p(x) . t) = {x:O < IxI < N.446 XIII. N is a sufficiently large positive number. op(x) _ elI1 tlell`dt follows for argx = 2pir. where C is a counterclockwise oriented circle with the center at x = 0. y) becomes S(N. I arg x . Step 3. (ii) ip(x) j (x) as x 0 in the domain Dp = {x: 0 < xl < oc. using analytic continuation of f (x).
02(2e2x. (2) This result was originally proved for a more general case in [Per1]. f ao + 2a2 = 0.. [HSWI). and entries of F(x. . Consider a system of differential equations (E) xp+1 du dx = F(x. m=3 In fact. where coefficients zlih(x) are R'valued functions whose entries are holomorphic in a neighborhood of x = 0. Ol can be found through some calculation with the Newton polygon. c3 (x) . y) = (0.. y. Step 1: The given differential equation has three linearly independent formal solutions +oo +amxm +oo 1(x) = ell= 1+ M=1 2(x) = 1+ L. y. u") are holomorphic with respect to (x. 0). m=o Step 2: The given differential equation has three linearly independent actual solu3ir tions such that e'/=O1(x) ^ as x 0 in the sector j argx + 7r1 < T. and 02(x) fi(x) and 03(x) ^_. y) is convergent in a neighborhood of (x. u) = (0.c2.e. 0 in the sector I argxI < 32 Step 3: In the direction arg x = 7r. E C'). y is a complex parameter. Assume also that O0(0) = 0 and det [(oo)] o9p 54 0. 0.3(x) is a convergent power series solution of the given differential equation. Then. y) _ h=0 yh+Gh(x).+1 + (m + 2)(m + 1)am+2 = 0 +00 for m > 2 for a formal solution E a. The other two can be found by solving the equations al + 603 = 0....) 02(x)  = C201(x) and 03(xe2ai) 03(x)  = C301 (T) for some constants c2 and C3. + (m + 1)m(m . x is a complex independent variable.3(x) as x . and o3(x) = x+ m=2 amxm. XIII9. u). Remark: (1) See [HIJ. bmxm. Show that i (x. y. y. Assume that there exists a formal solution of system (E) 00 u = V. (3) There is another proof based on Exercises V18 and V19 (cf.1)0.EXERCISES XIII 447 Hint.x"`. (l a.. u) in a neighborhood of (x. (X. where p is a positive integer. it and F are ndimensional vectors (i. 0).
i. u)G(x. y) = (0. Assume that F(0. y. u) (xl+P F(x.448 XIII. y. y.ur) auF(x. in such a way that coefficients t/ih(x) are holomorphic in a neighborhood of x = 0.. y. y. u).e. Show that system (S) has one and only one solution y) are holomorphic 11 = (x. XIII10. u) + 5 (x. 0)J j4 0. y) in a neighborhood of (x. u).u) = xl+pyl+q 8211 5yax x1+paG = x1+p ac 011 ad ax + au ax ax   x +paG  ad ax su F'(x. 0. y. note that yl+9ay (i+ P ax  F(x. y4+t ala = G(x. . 11) in a neighborhood of (x. u) _ (0. det [(oo)J 36 0. 0. and d are ndimensional vectors (i. SINGULARITIES OF THE SECOND KIND Hint. y. system (S) is completely integrable. u. y) such that i (0. E C").y. For t _ l%i(x. y. 0).11)) = yl+qxl+p 0211 8iax y1+qaF ay 1+q Y  OF'yl+ga11 su ay = yi+qxl+p 8211 0. (x.O) = 0 and that entries of with respect to (x. F and d satisfy the condition yq+I and 5F (x. 0. y. 0) = 0. v') + 041 (x. Consider a Pfaffian system (S) J xl aaxu = F(x.e. F. Hint. iZ.y.y. y) = E yhrGh(x) h=o of the system yq+1 ay = G (x y . y. 0. 0) = det L d(0. Construct a formal power series solution +00 (FS) 11 = '1G(x. y). U)F(x. the entries of F and G are holomorphic with respect to (x.y. See ]Si14] and [Si21].i) 811 . where p and q are positive integers. y.ax aF ay TX OF &a G(x. Step 2.. Step 1. and (0. x and y are two complex independent variables. This is an application of Exercise XIII9. u = xp+l 0.
and (c) in the proof. the convergence of t%i(x. {0(w1x). p. ( i) Q(x) is entire in x and Q(x) exp . u) Step 3. y. el 3 J (i) derive asymptotic expansions of ¢(wlx) and m(wx). it can be shown that (FS) also satisfies the system (E) xP+i a = Ax. where r is the Gamma XIII13. (iii) show that if we set m(x) = c1O(w1x)+c2y5(wx). (iv) using (iii).Q(x)} are three fundamental sets of solutions of (S). 1241261. (b). Ai(x) = 2(X) v/Fr is called the Airy function (cf. y) is proved.EXERCISES XIII 449 Using this result. Complete the proof of Theorem XIII76 by verifying rigorously statements (a).xy= 0 has a unique solution O(x) such that (1) b(x) is entire in x and (2) ¢(x)exp [3x3/21 admits the formal series p(x) exp [x3I2J as its asymptotic exansion as x oc in the sector I arg xj < r. show that if w =xp (2ril then ¢(w'ix) and Q(wx) are two solutions of equation (S). where p(x) is givenby (FS). and {d(wx). pp. 446). Remark. [AS. [Wasl. XIII12. Show that if O(x. Upon applying Exercise XIII9 to (E). xy = 0. XIII14.y5(wlx)}. Using the same notations in Exercises XIII12 and XIII13. 392394]). Show that the differential equation d2xZ . show that cl = w1. XIII11.O(wx)}. XIII15. pp. Show that the series (FS) y = P(x) = x1/4 1 + >( 1)h [ E +00 (3)h 54hh!r(h +) d2xZ xexp [_x3/2} 3 is a formal solution of the differential equaton function. (ii) show that {Q(x). then c2 = w and [ct w 1 O is equal to the 2 x 2 identity matrix. and [01. A) is an eigenfunction of the eigenvalue problem 11 J 3 (EP) d2 y +00 da l then La ITJ is a polynomial. Also.
.1). assume that aj. and (f. Construct Green's function of the boundaryvalue problem . consider the points Pj = (j. and 0n(x) = H.(x)exp I .at. In the (X. .. On) xOn(x) converges to f(x) uniformly on the interval oo < x < +oo. f (x). and f"(x) are continuous. . Denote by pk the slope of the segment that pk>1 (k<vo)and pk<1 (k>vo). where an = n. 00 n1 h XIII17. + 1. b E C.. The polynomials Hn(x) are called the Hermit polynomials (cf. Also.ak linearly me independent formal solutions of the form yr = e^<(x)x6. 0). pi.. where +00 aj(x) = ajmx'n E C[[x1]..2 is an eigenfunction of (EP) for the eigenvalue (2n + 1).450 XIII. s . Construct a convex polygon II whose vertices are (0. g) _ Hint. j +00 f (x)g(x)dx.. . f'(x). Consider a differential operator C[y] _ dxn + 1: anh(x) h=0 h .)2dxd< +oo.. . 0) and Pk = (ak. (iii) for every nonnegative integer n. n). J o0 J 0o 0 Remark. and that all other points Pj are situated below the polygon. Hn(x) = (1)ne=2 Un (ey2) is a polynor 2 mial. n). and f{f"(x) . then the series Y 2nn! 00 +00 (f. where q=o Rrq(x) E C[[x1]]. Pk) (k = 1) .. Then.. Show that Me k k+1 (k = 0.. > p. o0 f (x)2dx < 00 +00.. Assume (i) the differential equation £[y] = 0 has n . Set po = (0. p.._m1 # 0 if a. while mj = oo if aj(x) is zero identically.x2 f (x)}2dx < +oo. Y) plane. (iv) 775] and [01. . [AS.x2y = f (x). then the differential equation £[y] = 0 has ak+1 . (i) j +00 r+00 00 j y(x)2dx < +00.. . See §VI4. and / On(x)2dx = 2nn!y'. . s). p2. mj) (j = 1. XIII16. p... Po > Pl > P2 > .. 49]).... E Rrq(x)(log x)q (e = q0 . linearly independent formal so lutions of the form ye(x) = xe" E Req(x)(logx)q (e = a.(x) is not m=mj equal to zero identically. r+00 J L +00 On(x)/m(x)dx = 0 if n 9k m. +00 + 00 (ii) if f (x) is realvalued. where On (x) are defined in Exercise XIII15. SINGULARITIES OF THE SECOND KIND (ii) all negative odd integers are eigenvalues of (EP) and there is no other eigenvalue. (ii) if k < vo. such that each pk is one of those points Pj. Show also that o0 J G(x. p.. and the Mt are nonnegative integers.
Note that At are eigenvalues of So... Hint. 96 0. Ao = 0 0 0 0 0 0 An and (2) SP=PAo.. At E C. are eigenvalues of 00. Compare the polygon in this problem with the Newton polygon at x=0 defined in §XIII7. is the nr x oo zero matrix and I. M. Hence.. . is the oc x oo identity matrix. with Hi being n x n constant matrices. P2. where q is a 00 positive integer and f2(x) _ > xlf2. Also. Pm. are nonnegative integers. Show that (a) the matrix S represents a multiplication operation: y + o(x)y for an n x n matrix o(x) = So + O(x) whose entries are formal power series in x.. A. As in §V4.EXERCISES XIII 451 1 + ok. nk+1).. . A.. where P1 P= P2 P0 P. XIII18. and Req E C[[xlIP]]. Here. let Po... bt E C.... . +A where H = and J_ _ [Oq] I. the operator C can be represented by the matrix H1 f12 t=o 01 J. P1. p being a positive integer. Let Qo=So+No and A=S+N be the SN decomposition of 0o and that of A in the sense of §V3. .. where At(x) = Arxl+1 b + terms of lower degree. Consider a differential operator C[yl = x9+1 dx + 1(x)y'. . be n x n constants matrices and let AO be an n x n diagonal matrix such that det Po 0 0 and that A 1 0 A2 0 0 A3 0 0 0 0 0 0 0 (1) SoPo = PoAo. 0.
+00 (d) if we set P(x) _ F xmP..\. [HKS]). SINGULARITIES OF THE SECOND KIND (b) the matrix N represents a differential operator Lo[yM = x4+1 fy + v(x)y for an n x n matrix v(x) = No +O(x) whose entries are formal power series in x. m=0 (e) if we set /C[uZ = P(x)'C[P(x)uZ and Ko[u] = P(x)1Go[P(x)ul.. (c) C[f. then P(x)1o(x)P(x) = A0. . vn1 then vjk(x) = 0 if ..7 # Ak (cf. vo(x) = .452 XIII. (f) if we set Ko[i ] = xq+1 du Vii + vo(x)u. then K[u"j = Ko[ul + Aou. = £o[yl + o(x)y and Go[o(x)yj = a(x)Go[yl.
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A. 343 differentiation. 342 Asymptotic behavior of solutions. B. 197 of a linear secondorder equation. D. 241 Atiyah. 13. 25. 103. 449 Algebraic differential equation.. 3.(r. 344 sum. 305 SturmLiouville. 343.. 141. 349. 371. 374 Asymptotic stability. Gevrey. 109 Autonomous system. set of all convergent power series with coefficients in C".. 345 uniform with respect to a parameter. 343. 226 of linear systems. at a singular point. 352 of Gevrey order s. 213. 21. 9 Asymptotic solution. 204. 390 Blockdiagonalization theorem. 236. 347 inverse of. 99 Asymptotics. R. set of all ncolumn vectors in C. 27. 357.. 26. 349. M. set of all convergent power series. 348 product. G. 209. 20 C". F. 443 Branch point. 391 Approximate solutions. 109 C{x}. 279. 450 Adjoint equation. 30 Ascoli. 401. 109 C[[xJJ. 303 Banach space. field of complex numbers. 353 . 353 of Log(o(z)). 423 Block solution. successive. 144. 300 a sufficient condition for. 346 of a holomorphic function. 107 Associated homogeneous equation. 353 Abel's formula.. c.. 162 Birkhoff. 9 ArzelbAscoli Lemma. N. 435.. 79 Airy function. 80 Abramowitz. 366. 353 Analytic differential equation. 73 Bellman. 449. 197 Bendixson. 148 Bounded set of functions. 279 Balser. 422. 352 of uniformly convergent sequences. 219 Asymptotic (series) expansion.. G. 381 462 C.a.INDEX . J. 44 of Gevrey order s. C. 378. 303 Basis of the image space. 391. 344 Taylor's series as. set of all polynomials. 372. 20 Analytic simplification of a system. 345 of Ei(z). 20. 190. 304 Bendixson center. 357 uniqueness. 443 Baire's Theorem. R. 10 Approximations. 125 Bessel inequality. 343 Asymptotic reduction of a linear system with singularity. 291. 394 differential equation in. 353 Poincar6. 359. 1. 17 Borel. 418 Arzelh. 71. M. 9. 110 C[[xfJ". set of all formal power series with coefficients in C".. set of all formal power series. L. 361 Blowup of solutions. 405 of a singularly perturbed linear system. 421 with a parameter.. 261 Bessel function. E. 109. 109 C{x}".. 97. W. 347 integration. 356 Boundaryvalue problem.. 69 Braaksma. 394 Bartle. 144 of the secondorder equation. 148. 20 C[xJ. 353 definition. 25. local. G. 355. 9 Bourbaki.b). 356 BorelRitt Theorem. 110 C[[xJJ set of all power series of Gevrey order s. 380.
156 of a boundaryvalue problem. 82 Extension of a solution. decomposition. 144. 235. 122 normal form. 110 Comparison theorem. 252 Contact point.. A. 1. 121 Dirac delta function.. 31 with respect to a parameter. 69. 119. 251 Dwork. E. 197 Classification of singularity of a homogeneous linear system. 349 Date. 85 partial fraction decomposition of the inverse of.. 354 Cullen. 281. 89. 443 SN decomposition. 71. 191. 15 Center. 137. 302 Equicontinuity. B.. 70 Dependence on data. 279 Continuity of a solution. 153. 9 equicontinuous set. W. 246. 132 Coddington. 295 Conti. exterior (interior). 58.. 140 Existence. 8 E(s. 148. 385 Flatto. 225 Formal power series. 424 Denseness of diagonalizable matrices. 8 of eigenvalues. 151. G. 343. 169. differential equation. Jordan. 109. 29. A. K. 71 Cyclic vector. 290. 84.. 213 Differentiability with respect to initial values. 186 Eigenvectors of a matrix. of L. 197.. 36. A). 162. 28. 109 Commutative differential algebra.. 403. 437. 138. A)". 341 Floquet.. 197 Characteristic exponents of an equation. 120. 426 with Lipschitz condition. 140 Caratheodory. 162 Eigenvalues of a matrix. Theorem. 31 Convergence of formal solution.. A. 1. 70 Elliptic sectorial domain. G. C. 71. 1 CauchyEuler differential equation.. 58. 203 Characteristic polynomial of a matrix.. 272 perturbation of. 154. R. 15. 159 Dulac. 366 E(s. Schwartz. 63 of a function of a matrix f(A). 148 of SN decomposition of a matrix. 313 Commutative algebra. 362 Euler. 80 exp[tAl with SN decomposition. 65. 12. 16 of a nonhomogeneous equation. 342. 266 274. 8 Distribution. E. 74 Existence theorem for a nonlinear system at a singular point. 298. potentials. 71 Eigenvalueproblem. 109. 148. 72. 235. 225. 80. Cauchy. H. 69. 233. 420 cxp[Al. Devinatz. 197. 3 without Lipschitz condition. L. 255. 12 of solution of an initialvalue problem. 28. 3.. 108. 217 Eigenfunction. 118 Coppel. L. 197 Diagonalizable matrix. L. 197 Covering. 271 Cesari. 153. 424. 144 Complexification.INDEX Calgebra. M. good. 367 Eastham. 21 Commutative differential module. Levinson's. 74.14. 55. 122 Diagonalization theorem. P. 29 with respect to the initial point and initial condition. 144. 257. exponential of a matrix A. 94 Cauchy. 69 Chiba. 72 in SN decomposition. 144 Deligne. 296. 405 Existence theorem for a singularly perturbed nonlinear system. 47. P. 293. S. 17. 113. 92. 261. A. 76 Chevalley. 153. 70 . 70 463 CayleyHamilton Theorem. 367.. C. 17 Finitezone. 12 of solution of a boundaryvalue problem. 424. 284 Flat of Gevrey order s. 35 Differential operator C. 70... 189 First variation of an equation. 220 Canonical transformation of a Hamiltonian system.
393 Infinite product of analytic function. 304 . 302 Hypergeometric series. M. 32. 1. 424. 104. W. 293 Index of a Jordan curve. 197. 39. 385 formal power series. 28. 27 Harr's uniqueness theorem. 27. 256 unstable. S. 122 of a system with constant coefficient. 252. 293. 58. 21 partial derivative of a solution as a solution of. 148. 165. W. 353. 142. 212. 304.. 350 of Gevrey order s. 78 normal. 78 Homomorphism of differential algebras. 251 with periodic coefficient. 433. 108. 115. 202 Gel'fand. 181 Holomorphic function asymptotic to a formal series.. 218 HukuharaTurrittin theorem. 130. 253 Independent solutions. 355 Hamiltonian system with periodic coefficients. 118 Taylor's series as. 69. 359. 428. 112. 105 Gerard. 109. J. 196 Initialvalue problem. 137 Harr inequality. 69 Good covering. 3. 252. 120.. 69 Hyperbolic sectorial domain. 339 Gel'fandLevitan integral equation. 125 of an equation at the singularity of the second kind. M. 246. 28. 197. 296. 353 flat of. 349. P. 131. 87. 115 Fourier series. R. 81 Heaviside function. P. 231. 33 Initialvalue problem.. 98 Hille. 7. 197. 447 Hartman. 26. 88 of an equation at the singularity of the first kind. 254 perturbation of. 436. 3. 197. E. 125. 108. 14. 50. 450 Higher order scalar equations.. 398 Haber.. 261 stable. 125 Gevrey asymptotics. 25. 385 Gingold. 253. 428 Humphreys. 354 uniformly on a domain. 27 Harris. 162. 218. 181 General solution. 112 Infinitedimensional matrix. Jr. M.. 367. 433 Fundamental theorem of existence and uniqueness. 261. 8 Fundamental set of linearly independent solutions. H. 432. 252. A. 138 Improper node.. 144. 105. 345 uniqueness. 356 Homogeneous systems. 367 asymptotic expansion of. F.. L. 167 Fuchs. C). 354 Green's function. 342 convergence. 136. 298 Fundamental matrix solution. 372. If.. real variable. 154 Gronwall.. T. 104. 217. 356. 362..464 INDEX Formal power series (cont. 153. F. 361 Gevrey property of asymptotic solutions at an irregular singularity. 15 GL(n. complex variable. 1. 78 Index of isolated stationary point.) as an asymptotic series.. 78. 217. 365 Howes. 78. W. 353 Gevrey order 8. 281. 351 Formal solution. 342. 90 with a parameter as an asymptotic series. 293 Indicial polynomial. 108. 447 HukuharaNagumo condition. 218 for bounded solution of a second order equation.. 166. 103 Hirsch. general linear group. 69. 197. 231 Global properties of solutions. 150. 8 Hermit polynomials. 118 Infinitedimensional vector. 403. Lemma. 12 without Lipschitz condition. E. 143. 212 for bounded solution of a system. 39 solutions in a parameter. 441 Hsieh. 452 Hukuhara. 357.
198 Lie algebra. 266. K. 15 Lee.INDEX 465 nonhomogeneous equation. 106 Matrix. 341 J.. 198 of a system at t = oc.. 199 properties. 43. 39 second order equation. 64 K. 120. 86 log[ 1 + ltf ]. M. 1. M. 108. 1. Gel'fand. 340 M.(C). the field of fractions of C[[x[]. 88 log[8(w)[. 402.. M. 96 nonlinear. 162. 243 unstable. H. H. J. 8 C. 153. 136. 86. D.H. 108. 28. 280 Lin. 333 Inner product.. 298. 246 Markus. 84 . 32. 138.. 280. 141 polynomials. 233. 401. A. 443 normal form. 21:3 Levitan. 96. 354 Lettenmeyer. 69. T. 280 Laplace transform. 311 Liapounoff's direct method. 353. 426 Jordan curve. 28. 88 log[S2]..b) to C[[x]] 353 onetoone. map of A.. 197. 243 Instability region. 340. 421. 437. 181 Liapounoff.. 435 Levin. index of. 5 existence without. 239. 391. 191. 66 Kato. 203 multiplicities.(r. 292 Limit invariant set. 112. 134. N. N. 3. 17 Logarithm of a matrix. 108.. 1.. 151. 45 differential equation on.. 141. 324. 274.. 69 functions of a matrix f (A). C. B. 305 Kohno.. 36. limitinvariant set.. 293.. 279. 94 log[s]. 441 Malgrange. 69 JordanChevalley decomposition. 142 Levelt. B. A. J. 281 Lebesgueintegrable function. 3 sufficient condition for. 290.. 103 Kimura. 359 onto. 123 Kaplan. W... 402. 8 Local blowup of solutions. 168. 169.. 69 Jordan canonical form. J. 44. 391. 359 Lipschitz condition. 418 Invariant set.. M. 299 Irregular singular point. 194 Jurkat. 197. 192 Leroy transform. 181 Levitan. 424 K[u'J. differential operator. 41. S. 78. 246. B. 309. 197 Kato. 281. 447 Iwasaki. 452 constant. 197 Liapounoff function. T. 377.. 88. 106 Lefschetz. integral equation. 281 Legendre. 196 Mahler. E. J.. 198 calculation of. 45 stable. 204 of a solution... theorem. 65. 180.. 137. 401. 424. 138 Kimura. L. 151 Instability. 86. A. 144. II. 14. 103 LaSalle. J. 136. H. inverse. 279. 112 Maillet.. 88 log[8(w)2]. 435 Levinson's diagonalization theorem. 47. 435 Komatsu. C.. 16.. 201. E. 138 Levinson. 109 Magnus. differential operator. 121 calculation of. 69. 441 Iwano. 68. E. 88 Lutz. W. 68. 304. 90 Limit cycle.a. 356 Jacobson. equation. 130 C+. 293 Jost solution. 125. set of all n x n matrices in C.. 438 Manifold. 281 Liapounoff's type number. 1. 202 of a function. 189 Integral inequality. 130. 69 MacDonald. 225. incomplete. F.. 197 Kneser. 370 Lindelbf.
183. 271 of a proper node. 183 Periodic solution. 197. 443 Perturbation. 202 Null space of a homomorphism. 439 Nagumo. of an autonomous system. 367 of a matrix A.. (in C[[x]]. F. 334.. F. 401. 74 infinitedimensional. 218. E.. 41 Norm. 52. J. 118 nilpotent. 327. 32.. 318. 256 Nonhomogeneous equation. 28 Periodic coefficients. 50.. 318. 253. 367 in CI[x]j 366 of a continuous function. 212. 304. 313.. 304. 449. 162 in E(s. 89.. 0. 52. 366 Olver. 232 Multiplicity of an eigenvalue of a matrix. 318. 1PAIl. 1. 17. 166 Osgood. 54.466 INDEX Matrix (cont.. 16 Maximal solution. 439 Nikiforov. F. 21 28. 202 of a system of equations with periodic coefficients. 166 Partial differential equation. 66 Milnor. 298 Moser. 69 symplectic. 319 of van der Pol equation. W. 71 in SN decomposition. 342 Nevanlinna. 297. 402 . J. 333. 17 Nonhomogeneous initialvalue problem. 141 Nilpotent matrix. 57. R. 95 uppertriangular. 318 Orbitally asymptotical stability. 1. 391. 255 proper. 450 O'Malley.. 63. 291. 65 N(1). R. 253. W. 184. 270 of an improper node. 313. 251. 366 in C[[x]l". 69 semisimple.. P. 318 Perron. 135 Mullen. E. A. 313. 202 Multipliers. J. 141. 41 in SN decomposition. 74 Multiplicity of Liapounoff's type number. 304 Orbit. G. F.. 263 of a spiral point. 288 Nonlinear equation. 138. 71 in SN decomposition. of initialvalue problem. 283 Orbital stability. 43 of a center. 319 of van der Pol equation. W. 27. 74 norm of a matrix A. 39 Peano. 372. 437. 70 Maximal interval. 87 Periodic orbit. 74 Node.. 384 of van der Pol equation. Newton polygon of G. 70 Nonlinear initialvalue problem. 319 of a vector.. 266 of a saddle point. 292 Nonuniqueness of solution of an initialvalue problem. 254 improper..) diagonalizable. 54. system with. 66 Minimal solution. 96 Palka. 93. 318 Periodic potentials. 121 Normal fundamental set. 201 of a system of equations with constant coefficients. A. 342 Nagumo condition for uniqueness of solution. 345 of an infinitedimensional vector. 279 periodic. 330. 437. A)". M. 283 Orthogonal sequence. 212. 291. 284 of a system with periodic coefficients. 70 Nonstationary point. B. 64. F. 11A11. 18. 203 of periodic orbits. 253. 359 Newton polygon. 63 Osgood condition for uniqueness of solution. 72. 296 Parseval inequality. 196 Parabolic sectorial domain. 263 Peyerimhoff. 56. 306. 65 Nevanlinna. 394 Normal form of a differential operator.
88 of infinite order. 381. Y. 133. 360. 267 unstable. 448. R.. 349. 175 perturbation of. 336 Scalar equations. 112 Stability. 294 Stable manifolds.INDEX 467 Pfaffian system. 120 of a real matrix. 1 Rabenstein. 251. L. 420. set of all diagonalizable matrices. J. 251 Solution. 296 elliptic. T. 69. 272 Sperber. 75 uniqueness. 288 of van der Pol equation. 254 perturbation of. 255. 118. 189 Stationary point.. 44. 372... 266 stable. H. 261 Sansone. 3. 246 . 134. 49 Spiral point.(A). 136. 232.. 42. 304 Poincarc asymptotics. 424. 369. 270. 313. 441 Smale. 254. 178. 390. 291. 356 S. 448 Phase plane. 134. 241 independent. 300 Popken. 243 analytic structure. 308 Sectorial region. S.. 133. 138 Sibuya. Y. 1. 330 Singularity of a linear homogeneous system. L. 342 PoincarcBendixson Theorem. 105. 253.. 274 Sato. 70 Shearing transformation. 302 parabolic. 142. 209 Shimomura. 296. 197. 293 Poincarc's criterion. 103 PhragmenLindelof theorem. 304. higher order.. 175. 363. 443 Reflection coefficient. 69. 155 Semisimple matrix. 177. 382.. 436 regular. 254. 70 SN decomposition. 112 Potentials. 134. E. 296. 181 periodic. 184.P. S. 359. 189. G. real line. 302 Phillips. 132.. 291. 255 of a differential operator. 243 uniqueness. 360. of order k. 78 fundamental matrix. 131. 256 perturbation of. 181 construction. 304. 236. 131. 235 Stability region. 136 of the second kind. 253. 134 of the first kind.. 132. 391. 318 singular. 8 Secondorder equation. set of all ncolumn vectors in R. 74 Singular solution. S. 1 Poincarc. 392. 371. 447. 113.. 112. 312 isolated. 436. 96. 452 Projection. boundaryvalue problem. 365. 175. 125. 296 Self. 254. 394 Ritt. 403 nthorder linear equation. 252. 419. 399. 131. 255. 342. 291. A. 178 Regular singular point. 183 Schwartz.. 98 Scattering data. 394 irregular. 66. 78. 78. F. 177. 84 of a matrix for a periodic equation. 256. 178 finitezone. 438. 217. 175 Reflectionless potentials. 21 Solution curves. S. 178. 272 unstable. reflectionless. 270 stable. J. asymptotic. 251 Phase portrait of orbits. 374 asymptotically stable. 370 Picard. 342. 151.. 73 Proper node. 75 Saddle point. 74. 386. 279 Saito. 101 Ramis. 36. 420. 279. 280. 253 R.. 72 properties. 108.adjoi nt ness. 70. I R". 134. 363. 130. 75 existence. 121 of a function of a matrix f(A). 42 Singular perturbation of van der Pol equations. 172. 235. 42 trivial.. P. J. 302 hyperbolic. 236. 227. 15. 132.. 222 periodic. 136. 143. 371.
of eigenfunctions. G. 21. for asymptotic stability. 79 Osgood condition... Q. 357. 1. 103 Uniformly asymptotic series. 108. 382. 304. 93 107 Tahara.. L. 92.. 361 x"C{x}". 449. infinitedimensional. 168. 64 Nagumo condition. 69 Whittaker. 93 matrix of order 2n. 342. 141 Winkler. 63 for unstability. 3. 3. 359 Weinberg. 63 Unstable manifold. 167 468 .. 150 Yoshida. 144 Zygmund. 354 Transformation. W. 120. L. 149. 63. 243 Turrittin. 236. 65 of SN decomposition of a matrix.. 73 direct sum for C". S. N. M. 378. 141. 110 Uniqueness. 109 Successive approximations. 148 Subalgebra. 241 for uniqueness. 75 of asymptotic expansion. H.468 INDEX Stegun. 358. 345 Transform. 291. 291 Trivial solution. 319 singular perturbation of. 251 V image of P. 418 of solution of an initialvalue problem. 330 Variation of parameters.. A. A. 450 Sternberg. H. 65 sufficient conditions for. 343. 393 norm of. 322 for a small parameter. 246 Uppertriangular matrix. Lipschitz condition. 185 of solutions. shearing. 197. 428 Turrittin. 61. incomplete Leroy. 428 Two dimensional system with constant coefficients. 393 Vector space of solutions. S.. 110 x"C((Fx)l".. 61. A. formula of. to orbit. V. 141 Sufficient condition. (A). 343 of formal solution.. T. 403. 21. 403. 141. 78 Wasow. 145. 64. 312 for a large parameter. 20. 196 Wintner. W. 112 Tanaka. Hukuhara. 438 Stirling formula.. 209 Transversal. 144 Taylor's series. 443 Symplectic group Sp(2n. 447 Weyl. M.. 101 Vector. 172 Xie. 371. F.. theorem. 391. 372. 1. 197 Wronskian. 292 with respect to a vector.. E. 449 Watson. 92. 138 Zeros.. 342. 73 van der Pol equation. 142. 3.. 115 of solution of a boundaryvalue problem. 70 Urabe. R). 288 Uvarov. 364 SturmLiouville problem. 243 Summability of a formal power series. 442. 217 Unbounded operators. H. 1..
Universitext (continued ) Moise: Introductory Problems Course in Analysis and Topology Morris: Introduction to Game Theory Polster: A Geometrical Picture Book Porter/Woods: Extensions and Absolutes of Hausdorff Spaces Ramsay/Rlchtmyer: Introduction to Hyperbolic Geometry Reisel: Elementary Theory of Metric Spaces Rickart: Natural Function Algebras Rotman: Galois Theory Rubel/Colliander: Entire and Meromorphic Functions Sagan: SpaceFilling Curses Samelson: Notes on Lie Algebras Schif: Normal Families Shapiro: Composition Operators and Classical Function Theory Simonnet: Measures and Prohabilit Smith: Power Senes From a Computational Point of View Smorytiski: SelfReference and Modal Logic Stillwell: Geometry of Surfaces Stroock: An Introduction to the Theory of Large Deviations Sunder: An Invitation to von Neumann Algebras Tondeur: Foliations on Riemannian Manifolds Wong: Wcyl Transforms Zhang: Matrix Theory Basic Results and Techniques Zong: Strange Phenomena in Convex and Discrete Geometry Zong: Sphere Packing. .
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com III 9 78038709869990> . as well as a reference book for research mathematicians. The book is divided into four parts. In the last part.Universitext The authors' aim is to provide the reader with the very basic knowledge necessary to begin research on differential equations with professional ability. Hints and comments for many problems are given. and the third deals with nonlinear equations. The text is suitable for a oneyear graduate course. The selection of topics should provide the reader with methods and results that are applicable in a variety of different fields. The second part describes the basic results concerning linear differential equations. The book has 114 illustrations and 206 exercises. Each chapter begins with a brief discussion of its contents and history. the authors write about the basic results concerning power series solutions. ISBN 038798699S ISBN 0387986995 www. The first covers fundamental existence. as well as nonuniqueness. uniqueness.springerny. and smoothness with respect to data.
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