MATH 3700 Ordinary Dierential Equation Notes 1 Existence and Uniqueness

y = f (x, y ), y ( x 0 ) = y0 .

We are interested in the following dierential equation

You have already met a theorem about existence and uniqueness but we will go into this in more detail here.

1.1

Examples

We will begin with some examples. These illustrate various aspects of the existence and uniqueness theorem. 1. y = y 2

2. y = y 2/3

3. y = y/x

It is clear from this that any theorem can only give local existence and uniqueness and that we need to be careful about the properties of f (x, y ).

1.2

Picard Iterates
y = f (x, y ), y ( x0 ) = y0
x

We can transform the equation

to the integral equation y ( x) = y0 +

f (t, y (t)) dt
x0

We can see that these are equivalent from the fundamental theorem of calculus

The idea of Picard Iterates is to solve this equation by the following sequence y0 = y0 y1 ( x ) = y0 +
x0 x x

f (t, y0 ) dt f (t, y1 (t)) dt

x0 x

y2 ( x ) = y0 ( x ) + . . . yn+1 (x) = y0 (x) +

x0

f (t, yn (t)) dt

It is not obvious exactly how useful these iterates will be. In practice they do not help us to solve the DE but they will be useful to prove the existence and uniqueness theorem

1.3

Examples

Calculate the Picard iterates for the following DEs 1. y = y, y (0) = 1

2. y = x + y, y (0) = 1

1.4

Picards Theorem

Let f (x, y ) and f /y be continuous functions of x and y on a closed rectangle R with sides parallel to the axes. If (x0 , y0 ) is any interior point of R then there exists a number h > 0 with the property that the initial value problem y = f (x, y ), y ( x0 ) = y0

has one and only one solution y = y (x) on the interval |x x0 | h. Proof. We write yn as
n

yn ( x) = y0 ( x) +
m=1

[ ym ym 1 ]

We therefore dene y ( x) = y0 ( x) +

m=1

[ ym ym1 ]

and we need to show that 1. y (x) exists 2. y (x) is a solution of the DE 3. y (x) is the only solution of the DE We begin by proving (1) that y (x) exists, i.e. we need to show that the series above converges. We know that |f (x, y )| M | f (x, y )| K y f (x, y ) |y1 y2 | y

on the interval R. The mean value theorem tell us that |f (x, y1 ) f (x, y2 )|

for some number y between y1 and y2 . Therefore |f (x, y1 ) f (x, y2 )| K |y1 y2 | We dene h < 1/K and dene R = {(x, y ), |x x0 | h, |y y0 | M h}. We require that h is suciently small that R lies inside R. We can show that all of the functions yn are in the interval R . Dene a = max |y1 (x) y0 (x)|. Then |f (t, y1 ) f (t, y0 )| K |y1 (x) y0 (x)| Ka 4

therefore
x

| y2 ( x) y1 ( x) | =

x0

f (t, y1 ) f (t, y0 ) dt

a(Kh) Likewise
x

| y3 ( x) y2 ( x) | =

x0

f (t, y2 ) f (t, y1 ) dt

a(Kh)2 Continuing in this manner we nd that |yn (x) yn1 (x)| a(Kh)n1 Therefore, since Kh < 1, the series converges. We will not show that the conditions (2) and (3) hold and leave these as exercises. We do note that
x n

lim yn = y0 + lim =
n

f (t, yn ) dt
x0 x

lim yn = y0 +
x0

f (t, lim yn ) dt
n

but we need to formally justify taking the limit inside the integral and the function f .

1.5

Lipschitz condition

If we look at the proof for the existence and uniqueness solution we see that we actually only required that |f (x, y1 ) f (x, y2 )| K |y1 y2 | This is a weaker condition than requiring that the function f (x, y ) has a continuous partial derivative with respect to y and the existence and uniqueness theorem can immediately be generalized. Denition A function is Lipschitz continuous in an interval I if | f ( y1 ) f ( y0 ) | C | y1 y0 | for all y1 , y0 I for some C > 0. What does it mean to be Lipschitz continuous? It is a stronger condition than continuity but it does not imply that the derivative is bounded. Consider the examples 1. f (y ) = |y |

2. f (y ) = y 2/3

We can extend the theorem to the case where f is only Lipshitz continuous with respect to y . We will prove a slightly dierent version of the theorem We have the following theorem: If f (y ) is dierentiable in I then f is Lipschitz continuous with constant C if and only if sup
y I

f (y ) C. y

Proof:

1.6

Existence and Uniqueness for the Case of Lipshitz Continuity

The existence and uniqueness proof can be generalized in many ways. Let us consider the following theorem. Theorem Let f (x, y ) be a continuous function that satises a Lipshitz condition |f (x, y1 ) f (x, y2 )| K |y1 y2 | on a strip dened by a x b and < y < (note that this is not true for y = y 2 ). Then, if (x0 , y0 ) is any point in the strip, then the initial value problem y = f (x, y ), y ( x 0 ) = y0 .

has a unique solution on the interval a x b. Proof We dene the constants M0 = | y 0 | , M1 = max |y1 (x)|,
x

M = M0 + M 1

It follows that |y0 (x)| M and |y1 (x) y0 (x)| M . If x0 x b it follows that | y2 ( x) y1 ( x) | =
x0 x x0

f (t, y1 ) f (t, y0 ) dt |f (t, y1 ) f (t, y0 )| dt

x x0

| y1 ( x) y0 ( x) | d t

KM (x x0 ) Likewise

Continuing we obtain the result that | yn ( x) yn 1 ( x) | K n 1 M ( x x0 ) n 1 (n 1)!

and the sequence converges. Again we have only proved existence and we leave the proof that this is the only solution as an exercise.

1.7

Bound on the Picard Iterates

The previous result can be used to give a bound on the error in the Picard iterates. Recall that we dened n yn ( x) = y0 ( x) +
m=1

[ ym ym 1 ]

and the solution y = limn yn . Therefore

| y ( x) yn ( x) | =

m=n+1

[ ym ym 1 ]

Therefore we obtain the following result. The dierence between the true solution y and the Picard Iterate yn is | y ( x) yn ( x) | M (K (x x0 ))n K (xx0 ) e n!

Note this is an upper bound and the actual iterates may be much more accurate. There are also bounds on the Picard iterates which can be found for the rst case we considered.

Example Consider the initial value problem y = x2 y ; y (0) = 1.

one the interval 0 x 1. Find the Picard iterates y1 , y2 etc. Find an upper bound on the error for these iterates.

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Autonomous Systems

A system of DEs is autonomous if the right hand side does not depend on the variable of dierentiation. In two dimensions they can be written as dx = f (x, y ) dt dy = g (x, y ) dt Example dx = 0.5x 0.4xy dt dy = y + 0.2xy dt

2.1

Direction elds

At each point in the (x, y ) plane we can determine the slope of the solution. We can then plot these slopes to give a direction eld. So to sketch solution curves to DE, 1. plot direction eld, then 2. starting at some initial point, sketch a smooth curve that follows vectors in direction eld.

11

Example: Sketch some representative solutions for the system dx = y dt dy = sin(x) dt The direction eld is given below.

12

2.2

Equilibrium solutions
dx = f (x, y ) dt dy = g (x, y ) dt

The point (x0 , y0 ) is an equilibrium point for the system

if f (x0 , y0 ) = g (x0 , y0 ) = 0. Example 1 dx = 2x + y dt dy = 2y + x dt

Example 2 dx = x+y dt dy = y (2 x) dt

Behaviour of solutions near equilibriums can be observed with pplane. Note that 1. direction of vectors in direction eld changes dramatically near an equilibrium point, and 2. solutions passing near an equilibrium go very slowly (because all components of vector eld 0 near an equilibrium). 13

2.3

Classication of equilibriums in linear systems

dx = Ax, dt x y

Recall from 2800 you studied systems of the form x=

where A is a matrix. All such systems have an equilibrium at the origin: we are interested in the behaviour of solutions near the origin, especially when viewed in phase space. Example Determine the behaviour of solutions to the system dx = dt 2 6 1 3 x.

dx/dt = 2 x + 6 y dy/dt = x 3 y 2

1.5

0.5

0.5

1.5

2 2 1.5 1 0.5 0 x 0.5 1 1.5 2

The equilibrium point at the origin in this type of system is called a saddle.

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Example Determine the behaviour of solutions to the system dx = dt 4 2 1 3 x.

dx/dt = 4 x 2 y dy/dt = x 3 y 2

1.5

0.5

0.5

1.5

2 2 1.5 1 0.5 0 x 0.5 1 1.5 2

The equilibrium point at the origin in this type of system is called a sink. If the ow is reversed then the equilibrium is a source.

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Example: Consider the system dx = dt Slope eld and some solutions

dx/dt = x 2 y dy/dt = 2 x + y 2

1 2 2 1

x.

1.5

0.5

0.5

1.5

2 2 1.5 1 0.5 0 x 0.5 1 1.5 2

16

Linear systems with repeated eigenvalues Example Consider the system dx = dt 2 0 0 2 x

dx/dt = 2 x dy/dt = 2 y 2

1.5

0.5

0.5

1.5

2 2 1.5 1 0.5 0 x 0.5 1 1.5 2

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Example Consider the system dx = dt 5 0 8 5 x.

dx/dt = 5 x dy/dt = 8 x 5 y 2

1.5

0.5

0.5

1.5

2 2 1.5 1 0.5 0 x 0.5 1 1.5 2

Note that system has only one straight line solution.

18

Example : Consider the one-parameter family of linear systems dx = dt 1 2 a 0 x

where a is a parameter. Determine the type of equilibrium at the origin for all values of a. Sketch the phase portrait for representative values of a.

Eigenvalues of matrix A= are 1 2 a 0

1 1 1 + 8a 2 2 so the type of equilibrium at the origin depends on a. Also, det(A) = 2a and trace(A) = 1.

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2.4

Classication of equilibriums in nonlinear systems

Consider a nonlinear system with an equilibrium solution. 1. The equilibrium is a sink if all solutions that start close to the equilibrium stay close to the equilibrium for all time and tend to the equilibrium as t increases. 2. The equilibrium is a source if all solutions that start close to the equilibrium move away from the equilibrium as t increases. 3. The equilibrium is a saddle if there are curves of solutions that tend toward the equilibrium as t increases and curves of solutions that tend toward the equilibrium solution as t decreases. All other solutions started near the equilibrium move away from the equilibrium as t increases and decreases. To determine the type of an equilibrium in a nonlinear system, can sometimes use linearization, i.e., use a linear system to approximate the behaviour of solutions near an equilibrium in a nonlinear system. For most systems, knowledge of behaviour of solutions in the linearized system is sucient to determine the behaviour near the corresponding equilibrium in the nonlinear system. In particular, for the system dx = f (x) dt with an equilibrium x(t) = x0 , construct the linearized system dx = J( x 0 ) x dt where J(x0 ) is the Jacobian matrix of partial derivatives evaluated at x0 . If in the linearized system the equilibrium at the origin is a sink, source, or saddle, then x = x0 is a sink, source, or saddle (respectively) in the nonlinear system. We can write the Jacobian as

Note: linearization does not tell us anything about the behaviour of solutions to a nonlinear system far from an equilibrium.

20

Example 1 Analyze the equilibrium points for dx = 2xy dt dy = x2 y dt

dx/dt = 2 x y 2 dy/dt = x y 6

2 4 3 2 1 0 x 1 2 3 4

21

Unfortunately, linearization does not always work. In particular, if the Jacobian matrix has a zero eigenvalue or a purely imaginary eigenvalue, then we cannot predict the behaviour in the nonlinear system based on linearization alone. Example dx = x3 dt dy = y + y 2 dt

dx/dt = x3 2 dy/dt = y + y 2

1.5

0.5

0.5

1 2 1.5 1 0.5 0 x 0.5 1 1.5 2

Notice that in this phase portrait, (0, 0) looks like a sink and (0, 1) looks like a saddle. These results were not predicted by the corresponding linearized systems. Linearization does not work in these cases because of the zero eigenvalues of the Jacobian. 22

Example : Consider the system dx = y dt dy = 1 0.9y x2 xy dt

dx/dt = y 2 dy/dt = 1 0.9 y x x y 3

3 3 2 1 0 x 1 2 3

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3
3.1

Hamiltonian and Lyapunov functions

Pendulum
d2 g = sin 2 dt l

The equation for a pendulum which is free to rotate is given by

We write this (assuming g/l = 1) as dx = y dt dy = sin(x) dt

24

3.2

Hamiltonian Systems
H dx = dt y

A system is Hamiltonian if it can be written in the form

dy H = dt x If we consider the equations for the pendulum we can see that H = cos(x) + y 2 /2 gives the desired equations.

One important consequence of this is that the quantity H must be conserved for our system. This has important consequences.

25

3.3

KdV equation

The KdV (Korteweg de Vries) equations is one of the most important nonlinear partial dierential equations. When looking for travelling wave solutions the problem is reduced to the following (assuming again all constants are one) dx = y dt dy = x x2 dt What is the Hamiltonian for this system.

26

3.4

Predatory-Prey model
dx = x + xy dt

We consider the predator prey model given by

dy = y yx dt Note that we have scaled this so that all constants are one.

The function L(x, y ) = xyexy is a constant of motion of the system.

27

3.5

Damped pendulum
dx = y dt dy = sin(x) y/10 dt

We can modify the pendulum problem by including damping. This leads to

28

3.6

Lyapunov function
dx = f (x, y ) dt dy = g (x, y ) dt

We assume that we have a dynamical system

We assume we have an equilibrium point at (0, 0) (we can always transform any other equilibrium point to the origin). A Lyapunov function is a function with the properties that 1. V (x, y ) 0 2. V (0, 0) = 0 3.
dV dt

0 along solutions of the DE, in some neighbourhood of the equilibrium point.

If such a function can be found then the equilibrium point must be stable. If the function V is strictly decreasing then all solutions in the neighbourhood tend to the equilibrium point. Note that in general it is not easy to nd a Lyapunov function.

29

Consider the equation for a spring with linear damping. m d2 y dy + c + ky = 0 2 dt dt

30

Consider the system dx = 2xy dt dy = x2 y 3 dt Try a function of the form V (x, y ) = ax2m + by 2n

31

Bifurcation Theory

Often systems of dierential equations contain a parameter which can vary. In practice this might be the size of the forcing or a physical variable such as the mass or spring constant. We are interested in the way in which the solution can change as this variable is altered, especially in the points at which dramatic change occurs in the solution behaviour. This points are call Bifurcations.

4.1

Saddle-Node Bifurcation

In this bifurcation two xed points are created, one of which is a saddle and one of which is a node (either a source or sink). dx = x2 dt dy = y dt

32

4.2

Pitchfork Bifurcation

In this bifurcation a source (or sink) is transformed into three equilibriums, two sources (sinks) and one saddle. dx = x x3 dt dy = y dt

33

4.3

Hopf Bifurcation

In this bifurcation the real part of complex eigenvalues for the linearized system change from negative to positive. In this case, under fairly general conditions a closed periodic orbit is created. dx = 1 + x2 y ( + 1)x dt dy = x x2 y dt

34