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for

Ordinary Diffferential Equations

by

Willi-Hans Steeb

International School for Scientific Computing

at

University of Johannesburg, South Africa

and

by

Yorick Hardy

Department of Mathematical Sciences

at

University of South Africa, South Africa

Preface

differential equations.

puter Algebra, second edition

by Willi-Hans Steeb

World Scientific Publishing, Singapore 2007

ISBN 981-256-916-2

http://www.worldscibooks.com/physics/6515.html

edition, Volume I: Introductory Level

by Willi-Hans Steeb

World Scientific, Singapore, 2009

ISBN-13 978-981-4282-14-7

http://www.worldscibooks.com/physics/7416.html

edition, Volume II: Advanced Level

by Willi-Hans Steeb

World Scientific, Singapore, 2009

ISBN-13 978-981-4282-16-1

http://www.worldscibooks.com/physics/7416.html

v

The International School for Scientific Computing (ISSC) provides certifi-

cate courses for this subject. Please contact the author if you want to do

this course or other courses of the ISSC.

steebwilli@gmail.com

steeb_wh@yahoo.com

Home page of the author:

http://issc.uj.ac.za

vi

Contents

Preface v

Bibliography 163

Index 164

vii

Chapter 1

Equations

du

= f (u). (1)

dt

where f : R → R is a continuous differentiable function.

dy df

= (u(t)) y (2)

dt du

Problem 1. (i) Solve the initial value problem u(t = 0) = 0 for the first

order ordinary differential equation

du

= k(a − u)(b − u)

dt

where k > 0, a > 0 and b > 0.

(ii) Find the fixed points.

(iii) What happens for t → ∞?

1

2 Problems and Solutions

nonlinear differential equation

du

= r − u2

dt

du

= ru − u2

dt

du

= −(1 + r2 )u2

dt

where r is a bifurcation parameter. Study the behaviour of the fixed points.

Problem 3. Find the solution of the initial value problem the linear

differential equation

du

= x + u, u(0) = 0.

dx

du

= sin(u)

dt

with the initial value u(t = 0) = u0 = π/2.

(i) Find the fixed points.

(ii) Solve the differential equation by direct integration. Hint.

Z

du 1 cu

= ln tan .

sin(cu) c 2

What happens if t → ∞?

(iii) Find the solution of the initial value problem using the Lie series

expansion

d

u(t) = exp t sin(u) u .

du u=u0

tial equation

du

= u − u2 , u(t = 0) = u0 > 0.

dt

(i) Solve the differential equation by direct integration. Find u(t) for t → ∞.

(ii) Solve the differential equation using the Lie series

u(t) = etV u

u→u0

First Order Differential Equations 3

d

V = (u − u2 ) .

du

du

= ru(1 − u)

dt

with u(t = 0) = u0 . Find the solution of the initial value problem.

du

+ P (x)u = Q(x)un , n 6= 0, 1. (1)

dx

du

H t, u(t), =0 (1)

dt

may often be simplified or reduced to a standard form by introducing new

variables, T , U by means of the equations

T (t) = G(t, u(t)), U (T (t)) = F (t, u(t)). (2)

We assume that H(t, u, u̇), G(t, u) and F (t, u) are smooth functions. All

considerations are local. Geometrically, we regard (2) as a point transfor-

mation , for it transforms points (t, u) of the tu-plane to points (T, U ) of

the T U -plane. We assume that the Jacobian determinant

∂G ∂G

∂(T, U ) ∂t ∂u

J := = 6= 0 (3)

∂(t, u) ∂F ∂F

∂t ∂u

over a region R of the tu-plane. There is then no functional relation between

u and U ; for this would imply J = 0. Moreover, if the point (T1 , U1 )

corresponds to (t1 , u1 ) we can solve equations (2) uniquely for t, u in the

neighbourhood of t1 , u1 . We thus obtain the inverse transformation

t(T ) = Q(T, U (T )), u(t(T )) = P (T, U (T )). (4)

Thus we can transform (1) into another

dU

H̃ T, U (T ), = 0. (5)

dT

4 Problems and Solutions

ϕ(T, U (T ), C) = 0 (6)

of t and u. Show that

∂F du ∂F

dU +

= ∂u dt ∂t . (7)

dT ∂G du ∂G

+

∂u dt ∂t

du

+ u = u3 . (1)

dx

du

+ u tan x = u3 sec4 x (1)

dx

where sec x := 1/ cos x.

du

− e−x u2 − u − ex = 0. (1)

dx

Problem 12. Find the solution of the initial value problem of the special

Riccati equation

du

= u2 + t, u(0) = 1. (1)

dt

du

= f (x)u2 + g(x)u + h(x) (1)

dx

the coefficients f , g and h, defined and continuous in some open interval

(a, b) ⊂ R, are related as

d α α−β

f +g+h= ln − (αf − βh) (2)

dx β αβ

with α(x) and β(x) properly chosen functions differentiable in (a, b) such

that αβ > 0, then (1) is integrable by quadratures.

First Order Differential Equations 5

Problem 14. Consider the initial value problem for the Riccati equation

du

= x2 + u + 0.1u2 , u(0) = 0. (1)

dx

There is no elementary solution. Therefore one neglects the quadratic term

and solves the linear equation

du1

= x2 + u1 , u1 (0) = 0. (2)

dx

(i) Show that this gives a first approximate solution

(ii) Reintroduce this solution into (1) and now solve the differential equation

du2

= x2 + u2 + 0.1(u1 (x))2 , u2 (0) = 0. (4)

dx

(iii) Show that

2 2 1

u2 (x) = u1 (x)+ e2x − ex (x3 +3x2 +6x−54)− (x4 +8x3 +32x2 +72x+76).

5 15 10

(5)

the form

du

= a0 (t) + a1 (t)u + a2 (t)u2 + a3 (t)u3 (1)

dt

where aj (j = 0, 1, 2, 3) are known smooth functions of t. (i) Show that (1)

can be put into the standard form as

dz

= z 3 + p(t) (2)

dx

by introducing the following transformations

Z t

u(t) = a(t)z(x(t)) + b(t), x(t) = a2 (s)a3 (s)ds (3)

with

Z t

a2 (s)

a2 (t)

a(t) := exp a1 (s) − 2 ds , b(t) = . (4)

3a3 (s) 3a3 (t)

2 a32

1 a1 a2 1 d a2

p(t) = a0 − + + (a3 a3 )−1 . (5)

3 a3 27 a23 3 dt a3

6 Problems and Solutions

(iii) Show that for a0 = 0, a1 6= 0 and either a2 = 0, a3 6= 0 or a2 6= 0,

a3 = 0, it becomes the nonlinear differential equation of Bernoulli type,

which has an explicit general solution.

du u

+f =0 (1)

dx x

is transformed by

u(x)

y = x, v(y(x)) = (2)

x

into the separable equation

dv

v+y + f (v) = 0. (3)

dy

du ax + bu + c

=f (1)

dx αx + βu + γ

du 2x + 3u − 4

= . (1)

dx 4x + u − 3

Problem 19. Solve the initial value problem of the differential equation

du

= k(a − u)(b − u), a>b>0 (1)

dt

by direct integration if u(t = 0) = 0.

Problem 20. (i) Find the fixed points of the differential equation

du

= u − u2 . (1)

dt

(ii) Find the solution of (1) with the initial condition u(t = 0) = u0 .

(iii) Find the variational equation.

(iv) Study the stability of the fixed points.

First Order Differential Equations 7

du

= −qu1+(1/q) , t>0 (1)

dt

with u(0) = 1, where q is any positive integer.

(i) Show that using (1) recursively, we obtain

dn u

= (−1)n q(q + 1) · · · (q + n − 1)u1+n/q , n = 1, 2, · · · . (3)

dtn

(ii) Show that the Taylor series expansion of u is then given by

(−1)n

u(t) = 1 − qt + · · · + q(q + 1) · · · (q + n − 1)tn + · · · . (4)

n!

(iii) Show that from the Cauchy-Hadamard theorem it follows that the

radius of convergence of series (4) is 1. Show that the solution of the initial

value problem is given by

defined for any t > 0. But Taylor series (4) in its original form does not

give any informations about u for t > 1. (iv) Apply Padé approximation to

(4), and show that the [N/N + L] (L ≥ 0) approximant to it is given by

1 + a1 t + · · · + aN tN

[N/N + L] = (6)

1 + b1 t + · · · + bN +L tN +L

where

N (N − 1) · · · (N − m + 1)(N + L − q)(N + L − 1 − q) · · · (N + L − m + 1 − q)

am =

m!(2N + L)(2N + L − 1) · · · (2N + L − m + 1)

(7)

with m = 1, 2, · · · , N and

(N + L)(N + L − 1) · · · (N + L − m + 1)(N + q)(N + q − 1) · · · (N + q − m + 1)

bm =

m!(2N + L)(2N + L − 1) · · · (2N + L − m + 1)

(8)

with m = 1, 2, · · · , N + L. Show that the [N/N + L] approximants for

N + L ≥ q in a form of irreducible rational fractions reduce to the exact

solution (5).

2 2

du L du

= −1 or u +u=L (1)

dt u dt

8 Problems and Solutions

du

= −u2 (1)

dt

with the initial condition u(t = 0) ≡ u0 = 1 and t ∈ [0, ∞).

(i) Show that the exact solution of the initial value problem is given by

1

u(t) = . (2)

1+t

(ii) Solve initial value problem of the differential equation (1) with the help

of Lie series.

du

= r − u2 , u(0) = 0 (1)

dt

as a function of the bifurcation parameter r, where r > 0, r = 0 and r < 0.

du

= ru + u3 (1)

dt

as a function of the bifurcation parameter r.

du

= µ − u2 , u(0) = 0 (1)

dt

as a function of the bifurcation parameter µ, where µ > 0, µ = 0 and µ < 0.

Z u

2

x= √ exp(−t2 )dt (1)

π 0

√

du π

= exp(u2 ), u(0) = 0. (2)

dx 2

Obtain recursion formulas for its Taylor coefficients.

First Order Differential Equations 9

du 2

= (−u sin x + tan x)u, u(π/6) = √ (1)

dx 3

admits the solution

1

u(x) = . (2)

cos(x)

sin θ dφ = |sin φ|

(1)

dθ

is given by

sinh c + cosh c cos θ

cos φ(θ) = (2)

cosh c + sinh c cos θ

where c is the constant of integration with −∞ < c < ∞. Show that when

c = 0 → φ(θ) = θ

when

c > 0 → φ(θ) ≤ θ

and when

c < 0 → φ(θ) ≥ θ

Hint. Notice that

d dφ

cos φ(θ) = − sin φ(θ) . (3)

dθ dθ

du M

= , u(0) = 0 (1)

dx (1 − x/r)(1 − u/r)

where M and r are positive constants. Find the solution.

du

= t + u2 , u(0) = 1 (1)

dt

Show that the solution explodes somewhere in the interval [π/4, 1].

Problem 32. Discuss the fixed points (equilibrium points) of the nonlin-

ear ordinary differential equation

du ωu

= γ sin(ωt) sin1/3

dt α

10 Problems and Solutions

Problem 33. Solve the initial problem for the differential equation

du

= −u1/3 , u(0) ≡ u0 > 0. (1)

dt

Study the stability of the fixed point u∗ = 0.

tion u(t) of an allosteric enzyme is given by

du a + bu

= −u

dt c + u + du2

where u(t = 0) > 0 and a, b, c, d are positive constants. Find the fixed

points and study their stability.

method one approximates a solution of a first order differential equation

du

= f (x, u)

dx

with initial conditions u(x0 ) = u0 as follows. Integrating both sides yields

Z x

u(x) = u0 + f (s, u(s))ds.

x0

Now starting with u0 this formula can be used to approach the exact so-

lution iteratively if the series converges. The next approximation is given

by Z x

uk+1 (x) = u0 + f (s, uk (s))ds, k = 0, 1, 2, . . . .

x0

Apply this approach to the linear differential equation

du

=x+u

dx

where x0 = 0, u(x0 ) = 1.

du 1

= , u(t = 0) = u0 > 0.

dt u

Solve the initial value problem using

0

First Order Differential Equations 11

1 d

V = .

u du

solve the initial value problem by direct integration of the differential equa-

tion. Compare the two solutions. Discuss.

du

= −2u + 3u2 − u3

dt

where u(t = 0) = u0 > 0. Find the fixed points of the differential equation.

(ii) Calculate the Gateaux derivative of

du

+ 2u − 3u2 + u3

dt

and thus find the variational equation.

(iii) Study the stability of the fixed points.

du

= cos(u)

dt

where u(t = 0) = u0 > 0. Find the fixed points of the differential equation.

(ii) Calculate the Gateaux derivative of

du

− cos(u).

dt

and thus find the variational equation. Study the stability of the fixed

points.

du

= cos(u) sin(u)

dt

where

u(t = 0) = u0 > 0.

Find the fixed points of the differential equation.

(ii) Calculate the Gateaux derivative of

du

− cos(u) sin(u)

dt

12 Problems and Solutions

and thus find the variational equation. Study the stability of the fixed

points.

Problem 40. Consider the intial value problem for the nonlinear differ-

ential equation

du

= eu − 1.

dt

Find the fixed points and study their stability.

Problem 41. Find the solutions of the initial value problem of the non-

linear differential equation

du

= 3u2/3 , u(0) = 0.

dt

Problem 42. Consider the first order linear scalar differential equation

du

= r(t) + k(t)u

dt

where r(t) and k(t) are continuous functions on a finite closed interval [a, b]

of the real line. Let τ be an arbitrary point of [a, b]. Show that the general

solution of this differential equation is given by

Z t Z t Z t

u(t) = exp k(s)ds u(τ ) + exp k(s1 )ds1 r(s)ds.

τ τ s

du

= u2 , u(0) = 1.

dt

Discuss.

du

= cos(u) sin(u).

dt

(i) Find all fixed points.

(ii) Find the variational equation and study the stability of one of the fixed

point.

(iii) Find the solution of the initial value problem u(t = 0) = u0 .

First Order Differential Equations 13

d 3

exp tx x.

dx

All terms must be summed up. Describe the connection with the solution

of the differential equation

dx

= x3 , x(t = 0) = x0 .

dt

du

= u − u3 .

dt

Find the fixed points. Study the stability of the fixed points. Show that

the differential equation can be written as

du ∂V

=− .

dt ∂u

Find the potential V . Give the solution for the initial value problem.

du

+ 2tu = 0, u(0) = 1.

dt

Let Lu := −2tu and

with Z t

L−1 f (t) := f (s)ds.

0

Use the recursion

du

= cos2 (u)

dt

with the initial condition u(t = 0) = u0 = 0.

14 Problems and Solutions

(i) Find the (local) solution of the initial value problem using the exponen-

tial map

u(t) = exp(tV )u|u→u(0)=0

where V is the vector field

d

V (u) = cos2 (u) .

du

Discuss the radius of convergence.

(ii) Find the solution of the initial value problem by direct integration of

the differential equation. Use

Z

du

= tan(u).

cos2 (u)

Compare the result from (i) and (ii). Discuss.

(iii) Find u(t → ∞) and compare with the solutions of the equation cos2 (u) =

0 (fixed points).

Problem 49. Solve the initial value problem of the nonlinear differential

equation

du

= u − u3

dt

where u(t = 0) = u0 > 0 and u0 < 1. What happens for t → ∞?

open ball of positive radius , i.e.

N (x0 ) := { x ∈ Rn : |x − x0 | < }.

A function f is said to satisfy a Lipschitz condition on E if there is a positive

constant K such that for all x, y ∈ E

|f (x) − f (y)| ≤ K|x − y|.

A function f is said to be locally Lipschitz on E if for each point x0 ∈ E

there is an -neighbourhood of x0 , N (x0 ) ⊂ E and a constant K0 > 0 such

that for all x, y ∈ N (x0 )

|f (x) − f (y)| ≤ K0 |x − y|.

Let E be an open subset of Rn . Let f : E → Rn . Show that if f ∈ C 1 (E),

then the function f is locally Lipschitz on E.

d

exp tx3 x.

dx

First Order Differential Equations 15

All terms must be summed up. Describe the connection with the solution

of the initial value problem of the differential equation

dx

= x3 , x(t = 0) = x0 .

dt

du

= −u(t − 1).

dt

Find the solution with the ansatz

u(t) = Ceλt .

3

du

− 3u2 = 0.

dx

du

= u − u3

dt

at the fixed points.

2

−x x < 0

u(x) =

x2 x ≥ 0

the first order differential equation

du

x − 2u = 0.

dx

16 Problems and Solutions

du

= −2λxu.

dx

du

= 1 − u2 .

dt

(i) Show that the fixed point u∗ = 1 is an asymptotically stable solution.

(ii) Show that the fixed point u∗ = −1 is not stable.

[A, B] = iC, the product of their uncertainties satisfies the relation

1

(∆A)(∆B) ≥ |hCi|.

2

Equality only holds when the hermitian operators A and B are proportional.

This means the states with minimal uncertainty satisfy the equation

i hCi

(B − hBiI)u = (A − hAiI)u

2 (∆A)2

where I is the identity operator. Assume that A is the one-dimensional

position operator x and B is the one dimensional momentum operator px ,

i.e.

~ d i~

− hpx i u(x) = (x − hxi)u(x).

i dx 2(∆x)2

Solve this linear first order differential equation.

Problem 60. Find the general solution of the first order linear ordinary

differential equation

du

+ f (t)u = f (t)

dt

where f is an analytic function.

dv du

u =v .

dt dt

tion

dx

= f (x)ξ(t)

dt

First Order Differential Equations 17

Z x

dx0

y(x) = 0

x0 f (x )

we obtain

dy

= ξ(t).

dt

du

= f (u) = u2 .

dt

(i) Apply the hodographic transformation

u(t) = u0 cosh(t/u0 )

du 1

= 2 u2 − 1.

dt u0

Problem 65. Consider the initial value problem for the autonomous

system of first order ordinary differential equation

du

= f (u), u(0) = u0

dt

where it is assumed that the vector field f is defined in the whole of Rn and

is analytic. Runge’s second order method is given by

h

un+1 = un + hf un + f (un ) , n = 0, 1, 2, . . .

2

18 Problems and Solutions

where h denotes the time step and un is the solution at time tn := nh.

Apply Runge’s second order method to the differential equation (n = 1)

du

= u(1 − u).

dt

du

= f (x)u2 + g(x)u + h(x)

dx

where the continuously differentiable functions f , g and h are defined on

an interval (a, b). Show that if

d α(x) α(x) − β(x)

f (x) + g(x) + h(x) = ln − (α(x)f (x) − β(x)h(x))

dx β(x) α(x)β(x)

with the differentiable function α, β properly chosen such that α(x)β(x) >

0, then the general Riccati equation is integrable by quadrature.

Hint. The general Riccati equation is invariant with respect to a linear

fractional transformation given by

α(x)v(x) + γ(x)

u(x) =

β(x)v(x) + δ(x)

with ∆ := αδ − βγ 6= 0.

Problem 67. (i) Solve the initial value problem (u(t = 0) = u0 > 0 of

the differential equation

du

= u3

dt

using the Lie series technique.

(ii) Solve the initial value problem by direct integration of the differential

equation.

du2 du1

u1 = u2 .

dx dx

d

V = (c1 + c2 x + c3 x2 ) .

dx

First Order Differential Equations 19

Calculate x(t) = exp(tV )x. Compare with the solution of the initial value

problem of the nonlinear differential equation

dx

= c1 + c2 x + c3 x2 .

dt

Problem 70. (i) Consider the initial value problem of the nonlinear

ordinary differential equation

dx

= x3 , x(t = 0) = x0 > 0.

dt

Find a solution using the Lie series technique The Lie series expansion is

given by

1 2 1 3

x(t) = exp(tV )x|x=x0 = (1 + tV + V + V + · · ·)x

2! 3! x=x0

d

V = x3 .

dx

(ii) Solve the initial value problem by direct integration of the differential

equation. Compare the two solutions.

Problem 71. Consider the initial value problem of the differential equa-

tion

dx 1

= , x(t = 0) = x0 = 1.

dt 2x

Use the Lie series technique to solve this differential equation.

du

= c2 u2 + c1 u + c0

dt

where c0 , c1 , c2 are constants. Show that v(t) = 1/u(t) also satisfies a

Riccati equation.

Problem 73. Find the solutions to the first order differential equation

2

du

− 4u = 0.

dx

du

= sin(t)u

dt

20 Problems and Solutions

(i) Solve the initial value problem by direct integration.

(ii) Let v1 (t) = sin(t) and therefore dv1 (t)/dt = cos(t) = v2 . Thus we can

consider the autonomous system of first order ordinary differential equa-

tions

du dv1 dv2

= v1 u, = v2 , = −v1 .

dt dt dt

The corresponding vector field is

∂ ∂ ∂

V = v1 u + v2 − v1 .

∂u ∂v1 ∂v2

Solve the autonomous system with the Lie series technique.

Z x

e−x f (s)ds = e−x + x − 1

0

applying differentiation.

Problem 76. Solve the initial value problem for the differential equation

du 1

=

dt 1 + u2

with u(0) > 0. First find the fixed points of the differential equation and

study their stability. Can the vector field

1 d

V =

1 + u2 du

be used to solve the initial value problem via the Lie series?

Problem 77. Let ω be a fixed frequency and t the time. Solve the initial

value problem of

du

= ω sin(ωt)u

dt

with u(t = 0) ≡ u(0) > 0. What happens for t → ∞?

2

du

u2 + u2 = r2 .

dx

du(x)

= c eu(x) − eu(x+1) .

dx

First Order Differential Equations 21

du

= xu1/2 .

dx

Show that 2

1 2

u(x) = x +C

4

is a solution. Show that u(x) = 0 is a singular solution.

du

= 2τ u + 2, u(τ = 0) = 1.

dτ

Show that the solution is given by

Z τ

τ2 2 2

u(τ ) = 2e e−s ds + eτ .

0

Problem 82. Consider the equation of motion for the average velocity

of a Brownian particle in one dimension

Z t

mhdu(t)/dti + m γ(t − t0 )hu(t0 )idt0 = F (t)

−∞

where m is the mass of the particle, u(t) is the velocity, γ(t − t0 ) represents

the retarded effect of the frictional force and K(t) is the external force.

Show that under the Fourier transform

Z Z

1 iωt 1

u(ω) = u(t)e dt, F (ω) = F (t)eiωt dt

2π R 2π R

1 1

hu(ω)i = F (ω)

m γ̂(ω) − iω

where Z ∞

γ̂(ω) = eiωt dt.

0

Chapter 2

Equations

Problem 1. (i) Find the general solution to the linear differential equa-

tion

d2 u

+u=0

dx2

where u(x) is a real valued function.

(ii) Solve the initial value problem

du(x = 0)

u(x = 0) = 0, = 1.

dx

(iii) Solve the following three boundary value problems

u(0) = 1 u(1) = 1

u(0) = 1 u(π) = −1

u(0) = 1 u(π) = −2

d2 a 4 1

2

= − πG 2 (1)

dt 3 a

once, where G is a constant.

22

Second Order Differential Equations 23

d2 ψ

+ (E − V (x))ψ(x) = 0

dx2

where the potential V is given by

k

X

V (x) = vj x2j , vk > 0.

j=1

1 dψ p

f (x) = − +

ψ dx x

where p = 0 for the ground state and p = 1 for the first excited state.

(ii) Assume that the function f is regular and can be expanded in a Taylor

series around the origin

∞

X

f (x) = fj x2j+1 .

j=0

∞

X

u(x) = cj xj .

j=0

Then P∞

d 1 du j=0 jcj xj−1

ln(u(x)) = = P ∞ j

dx u(x) dx j=0 cj x

Z x

1 du(s)

u(x) = exp ds .

u(s) ds

continued fraction which when summed and integrated yields an approxi-

mation for u that is more accurate then the original truncate power series.

Consider the second order nonlinear differential equation

d2 u 1 du 1

2

+ − 2 u(1 + u2 ) = 0.

dx x dx x

24 Problems and Solutions

Let

∞

X

u(x) = bn xn+1 .

n=0

n even

equation.

gravitional field created by a mass M and characterized by the Schwarzschild

metric

1

ds2 = −(1 − 2M/r)dt2 + dr2 + r2 (dθ2 + sin2 θdφ2 ) (1)

1 − 2M/r

where r, θ, and φ are spherical co-ordinates and units are chosen such that

G = c = 1. One can take advantage of the spherical symmetric by choosing

the equatorial plane θ = π/2.

(i) Show that the (bound) orbits satisfy the second order differential equa-

tion

d2 u 1

− 3u2 + u − +2 = 0 (2)

dφ2 L

where u := M/r, µ is the particle rest mass and L+ := L/(M µ).

(ii) Find that the solution of this differential equation using Jacobi elliptic

functions.

Problem 6. Solve

d2 u

= f (u). (1)

dx2

Problem 7. Solve

d2 u

= u2 (1)

dx2

given that du/dx = 0 when u = 0 and x = 0 when u = ∞.

Problem 8. Solve

d2 u

du

=f u, . (1)

dx2 dx

Problem 9. Solve

2 3

d2 u

du du

u = − . (1)

dx2 dx dx

Second Order Differential Equations 25

Problem 10. When a solid sphere of radius a and density σ falls verti-

cally in a viscous liquid of density ρ (< σ) and coefficient of viscosity µ, the

viscous resistance according to Stokes’ law is 6πaµv, where v is the down-

ward velocity at any stage. Find the velocity when the sphere has fallen a

depth y from rest. Let v be the velocity, dv/dt the acceleration at y below

the initial position.

Problem 11. Consider the falling body of mass m where air resistance

varies as v 2 . Choose the origin and x-axis. The body falls from rest, i.e.

x(t = 0) = 0, v(t = 0) = 0. (1)

Find v and x.

d2 U

= 0. (1)

dT 2

An invertible point transformation is given by

U = F (u, t), u = P (U, T ) (2a)

T = G(u, t), t = Q(U, T ) (2b)

with

∂G ∂F ∂G ∂F

∆≡ − 6= 0. (3)

∂t ∂u ∂u ∂t

(i) Show that we find the following equation

3 2

d2 u du du du

+ Λ3 + Λ2 + Λ1 + Λ0 = 0 (4)

dt2 dt dt dt

where

1 ∂G ∂ 2 F ∂ 2 G ∂F

Λ3 = −

∆ ∂u ∂u2 ∂u2 ∂u

1 ∂G ∂ 2 F ∂G ∂ 2 F ∂2G ∂F ∂ 2 G

∂F

Λ2 = +2 −2 −

∆ ∂t ∂u2 ∂u ∂t∂u ∂u ∂t∂u ∂t ∂u2

1 ∂G ∂ 2 F ∂G ∂ 2 F ∂2G ∂F ∂ 2 G

∂F

Λ1 = +2 −2 −

∆ ∂u ∂t2 ∂t ∂t∂u ∂t ∂t∂u ∂u ∂t2

1 ∂G ∂ 2 F ∂ 2 G ∂F

Λ0 = −

∆ ∂t ∂t2 ∂t2 ∂t

Show that the Λi satisfy

∂ 2 Λ1 ∂ 2 Λ2 ∂ 2 Λ3 ∂Λ0 ∂Λ3 ∂Λ1 ∂Λ3 ∂Λ1 ∂Λ2

2

−2 +3 2

+6Λ3 +3Λ0 −3Λ3 −3Λ1 −Λ2 +2Λ2 =0

∂u ∂u∂t ∂t ∂u ∂u ∂t ∂t ∂u ∂t

26 Problems and Solutions

− +2 −3 +6Λ0 +3Λ3 −3Λ0 −3Λ2 −Λ1 +2Λ1 = 0.

∂t2 ∂u∂t ∂u2 ∂t ∂t ∂u ∂u ∂t ∂u

d2 u δ

2

+ u = 3. (1)

dt u

Show that the general solution (which is expressible in terms of the general

solution of the linear version (δ = 0)) is given by

B 4 (1 − a2 ) = δ. (3)

(i) Show that the differential equation d2 u/dx2 + u = C admits the partic-

ular solution

u(x) = C.

(ii) Show that the differential equation d2 u/dx2 + u = C cos(x) admits the

particular solution

1

u(x) = Cx sin(x).

2

(i) Show that the differential equation d2 u/dx2 + u = C cos2 (x) admits the

particular solution

1 1

u(x) = C − C cos(2x).

2 6

2

d

− V (x) um (x) = Em um (x). (1)

dx2

d

gm (x) = ln um (x) (2)

dx

which has proven to be useful in classifying most of the exactly solvable

Hamiltonians. Show that gm satisfies a Ricatti equation.

Second Order Differential Equations 27

d2 u

− u + u3 = 0. (1)

dx2

Let

1 du

v := . (2)

u dx

Show that Z x

u(x) = exp v(s)ds (3)

and

dv

u + v2 − u + u3 = 0 (4)

dx

or Z x

dv

+ v 2 − 1 + exp 2 v(s)ds = 0. (5)

dx

Problem 17. Consider the weakly nonlinear van der Pol equation

3 !

d2 u du 1 du

+u= − . (1)

dt2 dt 3 dt

that secular terms arise.

electrons per unit volume in an isolated neutral atom is given by

8π

ρ(r) = (2me)3/2 (V (r) − V0 )3/2 (1)

3h3

in which r is the distance from the nucleus, V (r) is the electrostatic poten-

tial, and V0 is a reference value of the potential. The electrostatic potential

can be expressed in SI units as

ZeΦ(x)

V − V0 = − (2)

4π0

in which x := γr,

(32π 2 /3)2/3 me2 Z 1/3

γ := (3)

2π0 h2

28 Problems and Solutions

d2 Φ

= x−1/2 Φ3/2 (4)

dx2

in which Φ(0) = 1. The initial slope dΦ(0)/dx is to be determined so that

Φ(∞) = 0. (i) Show that the transformation

yields

d2 u du

− t= 4t2 u3/2 (6)

dt2 dt

(ii) Show that expanding (6) in a Taylor series

∞

X

u(t) = aj tj (7)

j=0

around t = 0 yields

4 2a2

a0 = 1, a1 = 0, a3 = , a4 = 0, a5 = (8)

3 5

and

an+4 = (n + 1)−1 ((n + 3)2 − 1)−1

n n−2

3X X

× (j + 1)((n + 2 − j)2 − 1)aj+1 an+3−j − (j + 1)((j + 3)2 − 1)aj+4 an−j

2 j=1 j=0

(9)

where n = 2, 3, . . .. Thus all coefficients aj can be calculated in terms of

the initial slope a2 according to this recurrence relation.

(iii) Consider the transformation

144

s(x) = xr , Φ(x(s)) v(s)

x3

where r = (7 − 731/2 )/2. Show that (4) takes the form

d2 v dv

r2 s2 + 6s + 12v = 12v 3/2

ds2 ds

Remark. This transformation is useful for the studying of the asymptotic

behaviour (i.e. large values of x of Φ. Expand v into a Taylor series around

s = 0.

d2 u

= 6u2 + λx (1)

dx2

Second Order Differential Equations 29

(i) Show that the parameter can be set equal to 1 by using the transfor-

mation

x(t) = λ−1/5 t, u(x(t)) = λ2/5 w(t). (2)

(ii) Find the general solution of (1) of the form

a−2 a−1

u(x) = 2

+ + a0 + a1 (x − x0 ) + a2 (x − x0 )2 + · · · (4)

(x − x0 ) x − x0

d2 u du

+ 3u + u3 = 0 (1)

dt2 dt

which arises in the investigation of univalued functions defined by second-

order differential equations and in the study of the modified Emden equa-

tion. Perform a Painlevé analysis of this equation.

2

d2 w

1 dw

2

= 2 . (1)

dz w dz

dw du u2

= u, = 2 (2)

dz dz w

(ii) Let w = λW and u = λ2 U . Show that

dW dU U2

= λU, = 2. (3)

dz dz W

(iii) The solutions of (3) are analytic functions of the parameter λ. Thus

they can be expanded with respect to λ. For λ = 0 we write

dW0 dU0 U2

= 0, = 02 . (4)

dz dz W0

30 Problems and Solutions

Show that

w02 u0

W0 = W (z, 0) = w0 , U0 = U (z, 0) = . (7)

w02 − u0 (z − z0 )

dw1

= U (z, 0) (8)

dz

and

w02

w1 (z) = w02 ln (9)

w02 − u0 (z − z0 )

w02

and therefore w1 has a logarithmic singularitry at z∗ = z0 + u0 .

d2 u

= 6u2 + z. (1)

dz 2

Let

1

u(z) = + f (z). (2)

(z − z0 )2

Find the differential equation for f .

d2 u

+ `u + mu3 + nu5 = 0. (1)

dx2

Let p

u(x) = φ(x) (2)

(i) Show that φ satisfies the differential equation

2

d2 φ

dφ

2φ 2 − + 4`φ2 + 4mφ3 + 4nφ4 = 0. (3)

dx dx

A exp(α(x + x0 ))

u(x) = (4)

(1 + exp(α(x + x0 )))2 + B exp(α(x + x0 ))

where A, B, α are undetermined and x0 is a fixed real number. Show that

A, B and α satisfy the condition

α2 + 4` = 0, 2mA + 4`(2 + B) − α2 (2 + B) = 0

Second Order Differential Equations 31

d2 u 2m

+ 2 (E − V (x))u = 0. (1)

dx2 ~

Let

~

u(x) = exp(iw(x)/~), w(x) := S(x) + ln(A(x)). (2)

i

(i) Show that inserting (2) into (1) leads to

2

1 d2 A d2 S

dS dA dS

− 2m(E − V (x)) = ~2 , 2 + A 2 = 0. (3)

dx A dx2 dx dx dx

(ii) Show that the second equation of (3) can be integrated to yield

−1/2

dS

A(x) = C (4)

dx

where C is a constant.

(iii) Show that substituting this expression for A into the first equation of

(3) results in

!2

2 d2 S d3 S

dS 3 2 1 3

= 2m(E − V (x)) + ~2 dx

dS

− dx . (5)

dx 4 dx

2 dS

dx

S = S0 + ~2 S1 + · · · (6)

then one substitutes this expansion into (5) and keeps only zero-order terms.

d2 u du

2

+ f (u) + g(u) = 0 (1)

dt dt

has a unique stable limit cycle under the following conditions:

(a) f is even, g odd, both continuous for all u, and f (0) < 0;

(b) ug(u) > 0 for u 6= 0;

(c) for every interval |u| < K there is an L such that

Ru

(d) F (u) := 0

f (s)ds ↑ ∞ as u ↑ ∞;

32 Problems and Solutions

u ≥ a.

Give a physical interpretation of the criterion for the existence of a limit

cyle.

Ĥu = Eu (1)

oscillator

d2

Ĥ = − 2 + x2 − λx4 , λ > 0. (2)

dx

(i) Show that a function

d

ϕ(x) := − ln(u(x)) (3)

dx

where u is a solution of the eigenvalue equation (1), obeys the equation

dϕ(x)

− ϕ2 = E − x2 + λx4 (4)

dx

where E is an eigenvalue for Ĥ in (1). (ii) Show that in the common case the

function ϕ has pole singularities which correspond to nodes of the function

u.

d2

− 2 + V (x) ψ(x) = Eψ(x) (1)

dx

for a potential V . Consider the transformation

p

x(u) = f (u), u(x) = f −1 (x), ψ(x) = f 0 (u(x))ξ(u(x)) (2)

where the prime denotes differentiation with respect to the variable u. (i)

Show that the Schrödinger equation (1) takes the form

d2

− 2 + VT (u) ξ(u) = ET ξ(u) (3)

du

where

VT (u) − ET = (f 0 (u))2 (V (f (u)) − E) + ∆V (u) (4)

and " 2 #

1 f 000 (u) 3 f 00 (u)

∆V (u) = − + . (5)

2 f 0 (u) 4 f 0 (u)

Second Order Differential Equations 33

(ii) Choose any exactly solvable potential as VT and find the transformation

functions f (u) such that one would have new analytically solvable potentials

V (x). The non-trivial part is the proper choice of f (u) so that V (x) as well

as energy eigenvalues and eigenfunctions can be expressed in a closed form.

(iii) Consider the mapping function in (2) as

−∞ ≤ x ≤ ∞. Find ∆V (u).

2

d2 u

du

+b + ω2 u = 0

dt2 dt

the force of friction is proportional to the square of the velocity. Find the

first integral, the Lagrangian function and the Hamilton function.

quadratic damping. The equation of motion takes the form

d2 u

du

= −k , k>0 (1)

dt2 dt

du1 du2

= u2 , = −ku22 . (2)

dt dt

Let

∂ ∂

U = u2 − ku22 (3)

∂u1 ∂u2

the vectoir field associated with the first order system (2). Let

∂

V = −ku22 eku1 . (4)

∂u2

−f divV + LU (divV = 0 (6)

34 Problems and Solutions

is a constant of motion.

d2 u

= ceu .

dt2

Show that there is a first integral.

order differential equation

du

= f (u).

dt

Differentiating the differential equation and inserting du/dt = f (u) yields

the second order differential equation

d2 u df

= f.

dt2 du

Show that the second order differential equation

d2 u

= u − 3u2 + 2u3

dt2

can be derived from a first order differential equation using the approach

given above. Show that the solution of this first order differential equation

is also a (particular) solution of the second order differential equation.

Problem 32. Show that the general solution of the linear second order

differential equation

d2 u 1

+ xu = 0

dx2 3

is given by √

u(x) = x(AJ1/3 (ξ) + BJ−1/3 (ξ))

where ξ 2 = 4x3 /27, A, B are the constants of integration and J1/3 , J−1/3

are Bessel functions.

2

d2 x

dx

+α =b

dt2 dt

Second Order Differential Equations 35

or

dv

+ αv 2 = b

dt

where v = dx/dt and v(t = 0) = dx(t = 0)/dt = 0.

n

d2 x dx

+ β = 0, n = 0, 1, 2, . . .

dt2 dt

with β > 0 and dx(t = 0)/dt > 0. Write dx/dt = v and use the first order

differential equation

dv

= −βdt.

vn

d2 x dx

2

+a =b

dt dt

with a > 0 and dx(t = 0)/dt > 0. Write dx/dt = v and solve first

dv

+ av = b v(0) > 0.

dt

Problem 36. Find the solution of the second order differential equation

d2 z dz

+ 2i − z = 0

dt2 dt

where z is complex valued.

d2 f 3 df d2 f (0

2

− +2 = 0.

dx x dx dx2

region of interstellar space where the gravitational field of the rest of the

universe is negligible. Intially, they are at rest with respect to each other

and the distance between teir centres is 10 m.

(i) Calculate the absolute speed at which the two sphere collide.

(ii) Find the time required for the contact to be effected.

36 Problems and Solutions

d2 ψ(x)

− = Eψ(x)

dx2

with the boundary condition

d

ψ(x = 0) + cψ(x = 0) = 0

dx

where c < 0. Let H be the Heaviside step function. Show this problem

admits the solution

√

ψ(x) = H(−x) −2c exp(−cx).

Problem 40. Let c > 0. Show that the linear differential equation

d 2 du

+ = 2cu

dx x dx

1 −√2cx

u(x) ∼ e .

x

d2 q

+ ω 2 (t)q = 0 (1)

dt2

and

d2 ρ 1

2

+ ω 2 (t)ρ = 3 . (2)

dt ρ

Show that under the invertible point transformation

Zt

q(t) 1

Q(T (t)) = , T (t) = ds (3)

ρ(t) ρ2 (s)

d2 Q

+Q=0 (4)

dT 2

where ρ satisfies (2). We have

dQ dQ dT 1 dq 1 dρ

= = −q 2 (5a)

dt dT dt ρ dt ρ dt

Second Order Differential Equations 37

and

dT 1

= 2. (5b)

dt ρ

Thus

dQ 1 1 dq q dρ

= − 2 . (6)

dT ρ2 ρ dt ρ dt

runs with constant speed w in the direction of his master, who walks with

constant speed v along the y-axis. Show that this leads to the differential

equation

2 !1/2

d2 y v dy

x 2 = 1+ (1)

dx w dx

(ii) Solve the differential equation.

d2 u

+ `u + mu3 + nu5 = 0. (1)

dx2

Let p

u(x) = φ(x). (2)

(i) Show that φ satisfies the differential equation

2

d2 φ dφ

2φ 2 − + 4`φ2 + 4mφ3 + 4nφ4 = 0. (3)

dx dx

A exp(α(x + x0 )

u(x) = (4)

(1 + exp(α(x + x0 )))2 + B exp(α(x + x0 ))

where A, B, α are undetermined and x0 is a fixed real number. Show that

A, B and α satisfy the condition

α2 + 4` = 0, 2mA + 4`(2 + B) − α2 (2 + B) = 0

relevant to the quantum field theory of charged solitons

d2 σ

= −σ + σ 3 + dρ2 σ (1a)

dx2

38 Problems and Solutions

d2 ρ

= f ρ + λρ3 + dρ(σ 2 − 1) (1b)

dx2

where σ and ρ are real scalar fields and d, f, λ are constants. Try to find

an excat solution with the ansatz

X

ρ(x) = b1 tanh(λ0 (x + c0 )), σ(x) = an tanhn (λ0 (x + c0 )). (2)

n=1

m √

u(x) = √ tanh(mx/ 2)

c

satisfies the nonlinear second order differential equation

d2 u

− m2 u + cu3 = 0.

dx2

Problem 46. Solve the inital value problem of the second order differen-

tial equation

d2 u

1 du

+ −1 +u=0

dt2 u dt

with u(t = 0) = 1 and du(t = 0)/dt = 0.

Problem 47. The Schrödinger equation for the radial function χ has the

form

d2 χ(r) 2m

+ 2 (E − U (r))χ(r) = 0.

dr2 ~

Let

2mE 2mU (r)

k 2 := , V (r) := .

~2 ~2

(i) Find the Schrödinger equation in this form.

(ii) Assume that χ(r) = χ0 (r)f (r) with

1

χ0 (r) = sin(kr).

k

Find V (r) as function of f .

(iii) We define

1 df

C(r) := .

f dr

Show that

dC(r)

V (r) = C 2 (r) + + 2kctg(kr)C(r).

dr

Second Order Differential Equations 39

Problem 48. Let a, b > 0. Find the differential equation the function

b

u(x) = a tanh(x) −

cosh(x)

obeys.

Problem 49. The Airy function Ai(z) is the solution of the second order

differential equation

d2 Ai

− zAi(z) = 0.

dz 2

Show that its asymptotoc behaviour at large |z| is given by

1 2

Ai(z) ≈ √ z −1/4 exp − z 3/2

2 π 3

d2 w dw

+ p(z) + q(z)w = 0.

dz 2 dz

Show that the transformation

Z z

1 0 0

w(z) = y(z) exp − p(z )dz

2

d2 y

+ I(z)y = 0

dz 2

where I is given by

1 dp(z) 1 2

I(z) = q(z) − − p (z).

2 dz 4

Problem 51. Consider the second order linear ordinary differential equa-

tion and boundary condition for the wave function u of a one-dimensional

particle confined between a hard wall and a gravitional potential

d2 u 2m2 g E

+ − x u = 0 for x > 0

dx2 ~2 mg

40 Problems and Solutions

e(y(x) = u(x)

d2 u

− ye

e

u = 0.

dy 2

(ii) Show that the solution of this differential equation is given as a linear

combination of the Airy functions, Ai(y) and Bi(y). Show that by including

the boundary conditions the solution Bi(y) has to be excluded. Find the

energy eigenvalues by imposing the boundary condition at x = 0.

w11 (ζ) w12 (ζ)

W (ζ) = .

w21 (ζ) w22 (ζ)

Consider the matrix differential equation

dW 1

= 2ζ 2 σ3 − σ1 W.

dζ 2ζ

This differential equation has an irregular singularity of order 3 at infinity,

and T = (2/3)ζ 3 σ3 . Consequently there are six Stokes sectors defined by

the rays θ = ±π/6, θ = ±π/2, θ = ±5π/6. Stokes sectors are the angular

regions inside an angle drwan by the two Stokes half lines. Let Ai and

Bi be the Airy functions. Show that defining Ai1 (z) := Ai(ze−2πi/3 ) the

fundamental solution valid in the sector {ζ : −π/6 < arg ζ < π/2} is

r 0 2

π Ai1 (ζ ) + ζAi1 (ζ 2 ) Ai0 (ζ 2 ) + ζAi(ζ 2 )

−iπ/6

e 0

W1 (ζ) =

ζ Ai01 (ζ 2 ) − ζAi1 (ζ 2 ) Ai0 (ζ 2 ) − ζAi(ζ 2 ) 0 −1

and in the sector {ζ : π/6 < arg ζ < 5π/6} one has

π −i(Ai0 (ζ 2 ) + ζAi(ζ 2 )) −(Ai0 (ζ 2 ) + ζAi(ζ 2 ))

r

W2 (ζ) =

4ζ −i(Ai0 (ζ 2 ) − ζAi(ζ 2 )) −(Ai0 (ζ 2 ) − ζAi(ζ 2 ))

r 0 2

π Bi (ζ ) + ζBi(ζ 2 ) i(Bi0 (ζ 2 ) + ζBi(ζ 2 ))

+ .

4ζ Bi0 (ζ 2 ) − ζBi(ζ 2 ) i(Bi0 (ζ 2 ) − ζBi(ζ 2 ))

These two solutions are single-valued and holomorphic in the region arg ζ 6=

π.

d2 u

= sinh(u).

dx2

Second Order Differential Equations 41

2

du

= 2 cosh(u) + C

dx

is a first integral and C denotes a constant of integration.

(ii) Show that for C = −2 one has the solution

Problem 54. Consider the Hilbert space L2 (R) and the one-dimensional

Schrödinger equation (eigenvalue equation)

d2

− 2 + V (x) u(x) = Eu(x)

dx

ax2

V (x) = x2 +

1 + bx2

where b > 0. Insert the ansatz

2

u(x) = e−x /2

v(x)

and find the differential equation for v. Discuss. Make a polynomial ansatz

for v.

d2 φ

= (u(x) + λ)φ (1)

dx2

where u is a smooth function. This equation can be viewed as an eigenvalue

equation. The transformation

dφ(x)

ψ(x) = f (x)φ(x) + g(x) (2)

dx

is called a Darboux transformation (with f and g are smooth functions) if

ψ satisfies the second order differential equation

d2 ψ

= (v(x) + λ)ψ. (3)

dx2

Consider the case g(x) = 1. Find the condition on the smooth function f

such that we have a Darboux transformation.

42 Problems and Solutions

Problem 56. Consider the Hilbert space L2 (R). Let g > 0. Consider

the one-dimensional Schrödinger equation (eigenvalue equation)

d2 λx2

2

− 2 +x + u(x) = Eu(x).

dx 1 + gx2

ansatz

u(x) = A(1 + gx2 ) exp(−x2 /2).

Problem 57. Let g, m, > 0. Solve the second order nonlinear ordinary

differential equation

d2 u

− 2mu + 6mgu5 = 0

dx2

with the boundary conditions

du(x)

u(x) → 0, →0 for x → ±∞.

dx

Problem 58. Consider the the second order ordinary differential equation

where f (x, u, ux , uxx ) is an analytic function. Find the f such that the

second order ordinary differential equation admits the Lie symmetry vector

fields (projective group)

∂ ∂ ∂ ∂ ∂

, , x , u , x

∂x ∂u ∂x ∂u ∂u

∂ ∂ ∂ ∂ ∂

u , xu + u2 , x2 + xu .

∂x ∂x ∂u ∂x ∂u

Schrödinger equation

d2 u

− + (V (x) − E)u(x) = 0

dx2

where the potential V is given by

Second Order Differential Equations 43

J−1

4 X

u(x) = e−x /4

ck x2k .

k=0

Find the recursion relation for the coefficients ck . Then consider the special

case J = 2.

d2 u du 1 1

2

+u − u + u3 = 0.

dx dx 2 9

Show that the equation can be solved with the ansatz

3 dv

u(x) = .

v(x) dx

du1 du2

= u2 , = −(a + bu21 )u2 + cu1 − u31 .

dt dt

Show that

b 3 1

I(u1 , u2 ) = exp ((3/b)t) u2 + u1 + u1 .

3 b

is a first integral of the system if a = (4/b) and c = −(3/b2 )

d2 u

+ (λ − V (x))u = 0

dx2

with the boundary conditions u(+∞) = 0 and u(−∞) = 0. Let

Show that

u(x) = sech(x)

with λ = −1 is a solution of the differential equation.

Problem 63. (i) Show that the second order linear ordinary differential

equation

2

√ √

2du du 2 3 2 2 4

x − x(2x − 1) − (4 + 2x)u = − x + x

dx2 dx 3 3

44 Problems and Solutions

√ √

2 3 2 2

u(x) = − x − x .

6 4

(ii) Show that the second order linear ordinary differential equation

2

√

2d u du 2 3

x 2

− x(2x − 1) − 4u = − x

dx dx 3

admits the particular solution

1

u(x) = √ x2 .

3

2

d2 u du

u 2 =

dx dx

by inspection.

Problem 65. Let > 0. Consider the second order linear differential

equation

d2 u

+ e−t u = 0.

dt2

Show that under the change of the independent variable

2

s(t) = exp(−t/2), u

e(s(t)) = u(t)

the differential equation reduces to a zeroth order Bessel differential equa-

tion

d2 u

e 1 de u

+ +ue=0

ds2 s ds

with the general solution

u

e(s) = c1 J0 (s) + c2 Y0 (s).

d2

u(x) + k 2 (1 + V (x))u(x) = 0

dx2

where V : R → R is an analytic function. Set

Second Order Differential Equations 45

dA ikx dB −ikx

e + e = 0.

dx dx

Show that

e−2ikx

d A(x) k 1 A(x)

= i V (x) .

dx B(x) 2 −e2ikx −1 B(x)

Problem 67. Show that the solution of of the initial value problem

u(0) = 1 of the differential equation

2

du 2 x2

=

dx 9 u3

is given by

2/5

5

u(x) = √ (x2 − 1) + 1 .

6 2

V (u) = C(u2 − a2 )2 .

d2 u 3 du d2 V

+ =

dr2 r dr du2

with u(∞) = c and du(r = 0)/dr = 0.

Problem 69. Solve the initial value problem of the second order differ-

ential equation

d2 u du

+u =0

dx2 dx

with u(0) > 0 and du(0)/dx > 0.

d2 u1

= u21 .

dx2

(ii) Solve the initial value problem of

d2 u1 d2 u2

= u21 , = u1 u2 .

dx2 dx2

46 Problems and Solutions

d2 u

− + u3 = 0.

dx2

Apply the transformation

x

e(x) = x, u

e(e

x(x)) = sinh(u(x)).

Z x

((x − y)2 − 2)f (y)dy = −4x

0

Problem 73. Let α > 0 and β > 0. Consider the van der Pol equation

d2 u du

− (α − βu2 ) + u = 0.

dt2 dt

We set f (u, du/dt) = u − (α − βu2 )du/dt. Insert the ansatz

into the differential equation with A(t) a slowly changing function of t, i.e.

dA/dt Aω, d2 A/dt2 Aω 2 to find a approximate solution for the van

der Pol equation.

d2 u

+ ω 2 (1 + k cos(ωt))u = 0.

dt2

d2 y dy

x2 +x + x2 y = 0

dx2 dx

which is a second order linear differential equation. Apply the transfor-

mation

1 dy

u = x, v=

y dx

and find dv/du.

Second Order Differential Equations 47

2

d2 u 1

du

− + 2 = 0.

dx2 2 dx

Problem 77. Show that the second order ordinary linear differential

equation

d2 u

=0

dt2

admits the eight Lie symmetries

∂ ∂ ∂ ∂

, , t , t

∂t ∂u ∂t ∂u

∂ ∂ ∂ ∂ ∂ ∂

u , u , ut + u2 , ut + t2 .

∂u ∂t ∂t ∂u ∂u ∂t

Find the commutators. Classify the Lie algebra.

(i) Show that the differential equation d2 u/dx2 + u = C admits the partic-

ular solution u(x) = C.

(ii) Show that the differential equation d2 u/dx2 + u = C cos(x) admits the

particular solution

1

u(x) = Cx sin(x).

2

(iii) Show that the differential equation d2 u/dx2 + u = A cos2 (x) admits

the particular solution

1 1

u(x) = C − C cos(2x).

2 6

Chapter 3

Systems in the Plane

du1 du2

= f1 (u1 , u2 ), = f2 (u1 , u2 )

dt dt

where f1 , f2 are continuous differentiable functions. The fixed points are

the solutions of the equations

d ∂I du1 ∂I du2 ∂I ∂I

I(u1 (t), u2 (t)) = + = f1 + f2 = 0.

dt ∂u1 dt ∂u2 dt ∂u1 ∂u2

The second order differential equation d2 u1 /dt2 = f (u1 , du1 /dt) can be cast

into an first order autonomous system

du1 du2

= u2 , = f (u1 , u2 ).

dt dt

48

First Order Autonomous Systems in the Plane 49

dx dy

= x(ax + c), = y(2ax + by + c)

dt dt

admits the first integral

I(x, y) =

x(ax + by + c)

dx dy

= −y − b(x2 + y 2 ), =x

dt dt

admits the first integral

dx dy

= 2(1 + 2x − 2ax2 + 6xy), = 8 − 3a − 14ax − 2axy − 8y 2

dt dt

with 0 < a < 1/4 possesses the (irreducible) invariant algebraic curve

1

H(x, y) ≡ + x − x2 + ax3 + xy + x2 y 2 = 0.

4

at origin (0, 0) and a dog on the y-axis at (0, a), where a > 0. At t = 0

the man starts moving along the x-axis at a constant velocity v. At the

same time, the dog starts moving towards the man at a constant velocity

kv, where k > 1. The dog moves towards the man at all times.

(i) Find the differential equation for the motion of the dog.

(ii) How long does it take for the dog to catch up with the man?

du1 du2

= (u1 − u2 )(1 − u21 − u22 ), = (u1 + u2 )(1 − u21 − u22 ). (1)

dt dt

(i) Show that every point on the circle C : u21 + u22 = 1, is a fixed point.

50 Problems and Solutions

(ii) Show that there is also an isolated fixed point (0, 0).

(iii) Study the stability of the fixed point (0, 0) and show that the origin

(0, 0) is an unstable focus.

d

U (u1 , u2 ) = 2(1 − u21 − u22 )(u21 + u22 ) (2)

dt

is positive definite within C.

(iv) Show that every trajectory that starts from a point (u1 , u2 ) inside the

circle C will end on C.

(v) Show that outside of C, dU (u1 , u2 )/dt < 0 and every trajectory that

starts from a point (u1 , u2 ) outside of C will also on C.

(vi) Show that a change to polar coordinates

reduces (1) to

dr dθ

= r(1 − r2 ), = 1 − r2 . (4)

dt dt

du1 du2

= u1 − u2 − u1 (u21 + u22 ), = u1 + u2 − u2 (u21 + u22 ) (1)

dt dt

have their only fixed point at (0, 0).

(ii) Show that the origin is an unstable focus for the linear approximation

and also for the nonlinear system. (iii) Express (1) in polar coordinates

and solve the system of differential equations.

du1 du2

= u2 , = 4u1 − u31 . (1)

dt dt

(i) Show that it admits three fixed points (0, 0), (±2, 0) and study the

stability of the fixed points.

(ii) Show that (1) admits the first integral

1

I(u1 , u2 ) = 4u21 − u41 − u22 . (2)

2

(iii) Discuss the phase portrait.

First Order Autonomous Systems in the Plane 51

du1 du2

= P (u1 , u2 ), = Q(u1 , u2 ). (1)

dt dt

Let P , Q, ∂P/∂u1 , ∂Q/∂u2 be continuous in the open region U bounded

by a simple closed curve. Show that if ∂P/∂u1 + ∂Q/∂u2 has a fixed sign

in U, the equations can have no limit cycle C in U.

I Z Z

∂P ∂Q

(P du2 − Qdu1 ) = + du1 du2 .

U ∂u1 ∂u2

C

∂P ∂Q

divf := +

∂u1 ∂u2

and the circuit integral is the normal flux of f through C.

Problem 9. Apply Bendixon’s theorem to show that the Van der Pol

equation

du1 du2

= u2 , = a(1 − u21 )u2 − u1 a>0

dt dt

can have no limit cycle within the circle u21 + u22 = 1 in the phase plane.

du1 du2

= u2 , = a(1 − u21 )u2 − u1 (1)

dt dt

where a > 0. Study the stability of the fixed points.

du1 du2

= u1 (2 − u1 − u2 ), = u2 (3 − 2u1 − u2 )

dt dt

describes competing species u1 ≥ 0, u2 ≥ 0. Explain why these equations

make it mathematically possible, but extremely unlikely, for both species

to survive.

increase of either population leads to an increase in the growth rate of the

other. Thus we assume

du1 du2

= M (u1 , u2 )u1 , = N (u1 , u2 )u2 (1)

dt dt

52 Problems and Solutions

with

∂M ∂N

> 0, and > 0. (2)

∂u2 ∂u1

We also suppose that the total food supply is limited. Hence for some

A > 0, B > 0 we have

Assuming that the intersections of the curves M −1 (0), N −1 (0) are finite,

and all are transverse, show that:

(a) every trajectory tends to an equilibrium in the region 0 < u1 < A,

0 < u2 < B;

(b) there are no sources;

(c) there is at least one sink;

(d) if ∂M/∂u1 < 0 and ∂N/∂u2 < 0, there is a unique sink.

of a metabolic feedback control cycle of protein synthesis are given by

dX a dY

= − b, = αX − β (1)

dt A + kY dt

where a, b, A, k, α, β are positive constants. The X and Y variables measure

m-RNA and protein concentrations, respectively. (i) Find the fixed points.

(ii) Show that there is a constant of motion.

du1 du2

= c1 u1 − c2 u1 u2 , = −c3 u2 + c4 u1 u2 (1)

dt dt

where u1 > 0, u2 > 0 and c1 , c2 , c3 and c4 are positive constants. Show

that

I(u1 , u2 ) = uc13 uc21 exp(−c4 u1 ) exp(−c2 u2 ) (2)

is a first integral of the Lotka Volterra model.

Problem 15. (i) Show that the system of first order ordinary differential

equations

du1 1 du2 1

= − u1 + u22 , = − u2 − u1 u2 (1)

dt 2 dt 2

First Order Autonomous Systems in the Plane 53

du1 1

+ u1 + u21 = c exp(t). (2)

dt 2

(ii) Show that this equation can be linearized by using the transformation

1 dv

u1 = . (3)

v dt

du1 du2

= a − cu1 − u1 u22 + du22 , = b − u2 + u1 u22 − du32 (1)

dt dt

where a, b, c and d are constants. Show that the system admits the time

dependent first integral

I(u1 , u2 , t) = (u1 + u2 − a − b)et (2)

if c = 1.

du1

= 1 − bu1 + u1 u22

dt

du2

= a(u1 u22 − u2 )

dt

where a, b be positive bifurcation parameters. Find the fixed points and

study the stability of the fixed points.

quadratic damping. The equation of motion takes the form

2

d2 u du

2

= −k , k > 0. (1)

dt dt

Let u = u1 and du1 /dt = u2 . Then

du1 du2

= u2 , = −ku22 . (2)

dt dt

Let

∂ ∂

U = u2 − ku22 (3)

∂u1 ∂u2

the vector field associated with the first order system (2). Let

∂

V = −ku22 exp(ku1 ) . (4)

∂u2

54 Problems and Solutions

[U, V ] = f U. (5)

Find f .

(ii) Show that

−f divU + LV (divU ) = 0 (6)

where LV (.) denotes the Lie derivative.

(iii) Show that u2 exp(ku1 ) is a first integral.

annulus

A = { x ∈ R2 : 1 ≤ |x| ≤ 2 }.

Suppose that f has no zeros and that f is transverse to the boundary,

pointing inward.

(b) If there are exactly seven closed orbits, show that one of them has

orbits spiraling toward it from both sided.

that flow Φ, generated by f preserves area (that is, if S is any open set, the

area of Φt (S) is independent of t). Show that every trajectory is a closed

set.

Problem 21. Let f and g be C 1 vector fields on R2 such that hf (u), g(u)i =

0 for all u. If f has a closed orbit, prove that g has a zero.

H : W → R a C 1 function such that

DH(u)f (u) = 0

u lies on a closed orbit.

First Order Autonomous Systems in the Plane 55

(x, y) plane described by

dx dy

= y 3 (x2 − 1)(2 + xy), = x3 (y 2 − 1)(2 − xy). (1)

dt dt

(i) Show that the fixed points are given by A(−1, −1), B(1, 1), C(1, −1),

D(−1, 1), E(−2, 1), F (1, 2), G(2, −1), H(−1, −2) and I(0, 0) in the x − y)

plane.

(ii) Show that the fixed points A, B, C, D are saddles with eigenvalues

−6 and +2. The fixed points E, F , G, H are stable attractors whilst I is

neutral.

(iii) The phase space is clearly not compact. Show but it can be made so

by a coordinate change to a four dimensional system (u, v, w, z) where

z = x−1 , u = yx−1 , we = y −1 , v = xy −1 .

define it by dτ /dt = c6 . The system can be restored to two dimensions by

examining its behaviour on the slice where z = 0 and w = 0. On this plane

we have

dz

= zu3 (l − z 2 )(u + 2z 2 )

dτ

du

= (u2 − z 2 )(−u + 2z 2 ) + u4 (l − z 2 )(u + 2z 2 )

dτ

and the new system has the fixed points A − I within a bounded circular

region. These fixed points are augmented by J −Q on the circular boundary.

The separatrix diagram indicates the generic fate of any trajectory. For

example, a trajectory lying in the cell CADB will wind around in a spiral

clockwise, indicative of quasi-periodic, oscillatory behaviour. The motion

of a generic trajectory through the cell complex can be determined and a

discrete mapping set up to desribe the sequence of separatrix changes.

connected domain in Rn , c > 0, and let F be a real analytic function defined

on G × [−c, c]. Consider the differential system

du

= F(u, µ), where u ∈ G, |µ| < c. (1)

dt

Suppose there is an analytic, real, vector function g defined on [−c, c] such

that

F(g(µ), µ) = 0. (2)

This one can expand F(u, µ) about g(µ) in the form

56 Problems and Solutions

the nonlinear part of F. Suppose there exist exactly two complex conjugate

eigenvalues α(µ), ᾱ(µ) of Lµ with the properties

Then there exists a periodic solution P(t, ) with period T () of (2) with

µ = µ(), such that µ(0) = 0, P(t, 0) = g(0) and P(t, ) 6= g(µ()) for all

sufficiently small 6= 0. Morover µ(), P(t, ), and T () are analytic at

= 0, and

2π

T (0) = . (4)

|=α(0)|

These “small” periodic solutions exist for exactly one of three cases: either

only for µ > 0, or only for µ < 0, or only for µ = 0.

du1 du2

= u21 u2 − Bu1 − u1 + A, = −u21 u2 + Bu2 (5)

dt dt

where A and B are positive constants. Apply Hopf bifurcation theorem to

(5).

Problem 25. (i) Show that the system of first order ordinary differential

equations

du1 1 du2 1

= − u1 + u22 , = − u2 − u1 u2 (1)

dt 2 dt 2

can be cast into the form

du1 1

+ u1 + u21 = c exp(t). (2)

dt 2

(ii) Show that this equation can be linearized by using the transformation

1 dv

u1 = . (3)

v dt

Problem 26. Let f and g be C 1 vector fields on R2 such that hf (u), g(u)i =

0 for all u. If f has a closed orbit, prove that g has a zero.

(x, y) plane described by

dx dy

= y 3 (x2 − 1)(2 + xy), = x3 (y 2 − 1)(2 − xy). (1)

dt dt

First Order Autonomous Systems in the Plane 57

(i) Show that the fixed points are given by A(−1, −1), B(1, 1), C(1, −1),

D(−1, 1), E(−2, 1), F (1, 2), G(2, −1), H(−1, −2) and I(0, 0) in the x − y)

plane.

(ii) Show that the fixed points A, B, C, D are saddles with eigenvalues

−6 and +2. The fixed points E, F , G, H are stable attractors whilst I is

neutral.

(iii) The phase space is clearly not compact. Show but it can be made so

by a coordinate change to a four dimensional system (u, v, w, z) where

z = x−1 , u = yx−1 , we = y −1 , v = xy −1 ,

define it by dτ /dt = c6 . The system can be restored to two dimensions by

examining its behaviour on the slice where z = 0 and w = 0. On this plane

we have

dz

= zu3 (l − z 2 )(u + 2z 2 )

dτ

du

= (u2 − z 2 )(−u + 2z 2 ) + u4 (l − z 2 )(u + 2z 2 )

dτ

and the new system has the fixed points A − I within a bounded circular

region. These fixed points are augmented by J −Q on the circular boundary.

The separatrix diagram indicates the generic fate of any trajectory. For

example, a trajectory lying in the cell CADB will wind around in a spiral

clockwise, indicative of quasi-periodic, oscillatory behaviour. The motion

of a generic trajectory through the cell complex can be determined and a

discrete mapping set up to desribe the sequence of separatrix changes.

N

dZn X Γm

=i ∗ ∗

(1)

dt Zn − Zm

m6=n

given by

Zn (t) = ρ exp(iωt + iϕn ) (2)

where

dZ0 Γ1 dZ1 Γ0

=i ∗ , =i ∗ .

dt Z0 − Z1∗ dt Z1 − Z0∗

58 Problems and Solutions

du1 du2

= u2 , = a(1 − u21 )u2 − u1 (1)

dt dt

where a > 0. Study the stability of the fixed points.

du1

= u1 (2 − u1 − u2 )

dt

du2

= u2 (3 − 2u1 − u2 )

dt

describes competing species u1 ≥ 0, u2 ≥ 0. Why do these equations

make it mathematically possible, but extremely unlikely, for both species

to survive?

Problem 31. (i) Show that the system of first order ordinary differential

equations

du1 1 du2 1

= − u1 + u22 , = − u2 − u1 u2 (1)

dt 2 dt 2

can be cast into the form

du1 1

+ u1 + u21 = c exp(t). (2)

dt 2

(ii) Show that this equation can be linearized by using the transformation

1 dv

u1 = . (3)

v dt

du1 du2

= u1 (2 − u1 − u2 ), = u2 (3 − 2u1 − u2 )

dt dt

describes competing species u1 ≥ 0, u2 ≥ 0. Explain why these equations

make it mathematically possible, but extremely unlikely, for both species

to survive.

Problem 33. Consider the initial value problem for the two linear sys-

tems of differential equations

du dv

= Au, = Bv

dt dt

First Order Autonomous Systems in the Plane 59

where

−1 −3 2 0

A= , B= .

−3 −1 0 −4

Let

1 1 −1 1 1 1

R= √ , R−1 = √ .

2 1 1 2 −1 1

Then B = RAR−1 . Given the solution of the initial value problem of the

first system u(t) = etA u0 . Show that v(t) = RetA v0 is the solution of the

second system through Ru0 .

the initial values.

du1

= u1 − u1 u2

dt

du2

= −u2 + u1 u2 .

dt

(i) Find the variational equation.

(ii) Assume that v = (v1 , v2 ), w = (w1 , w2 ) satisfy the variational equaton.

Show that

1 0

v ∧ w = (v1 w2 − v2 w1 ) ∧

0 1

where ∧ denotes the exterior product.

(iii) Calculate the time-evolution of

du1 du2

= u2 , = r(1 − u21 )u2 − u1

dt dt

where r > 0. Study the stability of the fixed point

60 Problems and Solutions

du1

= a − (1 + b)u1 + u21 u2

dt

du2

= bu1 − u21 u2 .

dt

where u1 > 0, u2 > 0 denote concentrations and a, b are positive constants.

Find the fixed points and study their stability.

0 0 1 0 0 1 0 0

, , ,

0 0 0 0 0 0 1 0

0 0 1 1 1 0 1 0

, , ,

0 1 0 0 1 0 0 1

0 1 0 1 0 0 1 1

, , ,

1 0 0 1 1 1 1 0

1 1 1 0 0 1 1 1

, , , .

0 1 1 1 1 1 1 1

As underlying field we consider R. The solution of the initial value problem

du du1 /dt u1 u1 (0) u10

= = Au = A , = .

dt du2 /dt u2 u2 (0) u20

is given by

u1 (t) u1 (0)

u(t) = = etA

u2 (t) u2 (0)

where A is one of the binary matrices given above. Obviously, we have

u1 (0) u1 (t)

= e−tA .

u2 (0) u2 (t)

Given t∗ > 0 and

u1 (t∗ )

u1 (0)

,

u2 (t∗ ) u2 (0)

for one of these binary matrices. Can we reconstruct this matrix from

this data? Obviously the solution depends on t∗ and the chosen initial

conditions. Discuss.

tional response is given by

dU U AU V

= RU 1 − −

dτ K V + AHU

dV BAU V

= − DV

dτ V + AHU

First Order Autonomous Systems in the Plane 61

where U and V stand for prey and predator density, respectively. The

parameters are positive constants. R stands for maximal growth rate of

the prey, K for carrying capacity, A for capture rate, H for handling time,

B for conversion efficiency, and D for predator death rate. Introducing the

scaling

AHU AHV Bτ

u= , v= 2 , t=

BK B K H

and

RH HD AH

r= , d= , s=

B B B

we obtain

du u suv

= ru 1 − −

dt s v + su

dv suv

= − dv

dt v + su

where u(0) > 0 and v(0) > 0 for the initial populations. Find the fixed

points and study their stability.

plane

du1

= u2

dt

du2

= −au1 − bu2 + αu21 + βu22 .

dt

Use the Dulac function B : R2 → R+

B(u1 , u2 ) = b exp(−2βu1 )

d 2 du

ζ + ζ α un = 0 (1)

dζ dζ

or

d2 u 2 du

2

=− − ζ α−2 un . (2)

dζ ζ dζ

Find the system of differential equations under the transformation

ζ du ζ α−1 un (ζ)

x(t(ζ)) = , y(t(ζ)) = du

, t(ζ) = ln(|ζ|). (3)

u(ζ) dζ dζ

62 Problems and Solutions

dMx Mx

= γH0 My −

dt T2

dMy My

= −γH0 Mx − .

dt T2

Problem 43. Find the solution of initial value problem of the non-

autonomous system of differential equation

du1

= −ku1

dt

du2

= he−kt u1 + (2t sin(2t) − cos(2t) − 2k)u2 .

dt

system of first order differential equations

du1 du2

= f (, u1 ), = 2u1 f (, u1 ) − g(, u1 )(u2 − u21 )

dt dt

where f (, 0) = g(, 0) = 0 and ∈ R is the bifurcation parameter.

(i) Show that

∂

V = (u2 − u21 )

∂u2

is Lie symmetry.

(ii) Show that for each fixed there is a flow-invariant manifold

M = { (u1 , u2 ) : u2 = u21 }.

du1 du2

= −u31 + u1 u22 + u32 , = −u21 u2 + u32 .

dt dt

Show that (0, 0) is a fixed point. Is the fixed point stable? Show that the

divergence of the corresponding vector changes sign in any neighbourhood

of the fixed point (0, 0).

First Order Autonomous Systems in the Plane 63

dθ1

= ω1 + k sin(θ2 − θ1 )

dt

dθ2

= ω2 + k sin(θ1 − θ2 ).

dt

Hint: Set φ(t) = θ1 (t) − θ2 (t).

= eu 3 , = eu1 + eu3 , = ceu1 + eu2 .

dt dt dt

Show that

I(u1 , u2 , u3 ) = eu2 −u1 + c(u2 − u1 ) − u3

is a first integral.

Problem 48. (i) Find the solution of the initial value problems of the

system of differential equations

du1 du2

= u2 , = −u1 .

dt dt

(ii) Find the solution of the initial value problems of the system of differ-

ential equations

du1 du2

= sin(u2 ), = − sin(u1 ).

dt dt

(iii) Find the solution of the initial value problems of the system of differ-

ential equations

du1 du2

= sinh(u2 ), = − sinh(u1 ).

dt dt

differential equations

du1 du2

= f1 (u1 , u2 ), = f2 (u1 , u2 ).

dt dt

Find the conditions (and solve it) on the smooth functions f1 , f2 such that

∂ ∂ ∂ ∂

S1 = u21 + u1 u2 , S2 = u1 u2 + u22

∂u1 ∂u2 ∂u1 ∂u2

64 Problems and Solutions

Problem 50. Find the solution of the initial value of the system of

nonlinear differential equations equation

du1 du2

= u22 , = u1 u2

dt dt

by solving first

du1 du2

= = dt

u22 u1 u2

to find a constant of motion. Find the commutator of the two vector fields

∂ ∂

V1 = u22 , V2 = u1 u2 .

∂u1 ∂u2

Discuss.

Problem 51. (i) Let k > 0. Consider the autonomous system of differ-

ential equations

du1 du2

= u2 , = ku1 (u1 − 1).

dt dt

Find the fixed points and study their stability.

(ii) Motivated by the Lie series expansion for the solution of the system of

differential equations and truncation we replace the system of differential

equations by the two-dimensional map

f1 (x1 , x2 ) = x1 + x2 + kx1 (x1 − 1), f2 (x1 , x2 ) = x2 + kx1 (x1 − 1).

Study this map.

equations

du1 /dt − sin(2t) cos(2t) − 1 u1

= .

du2 /dt cos(2t) + 1 sin(2t) u2

Show that the system admits the solutions

t −t

e (cos(t) − sin(t) e (cos(t) + sin(t)

u1 (t) = , u2 (t) = .

et (cos(t) + sin(t) e−t (− cos(t) + sin(t)

scribed by the differential equations

dx dy

= 1, =α (1)

dt dt

First Order Autonomous Systems in the Plane 65

measure the unit square

0 ≤ x ≤ 1, 0≤y≤1 (2)

choosing the phase space to be a torus. Discuss the solution of (1) as a

function of α and show that the system is ergodic if α is irrational.

Problem 54. Solve the initial value problem for the autonomous system

of first order differential equations

du1 du2

= −u21 + u22 , = −u22 + u21 .

dt dt

Hint: Set

n(t) := u1 (t) + u2 (t), j(t) = u1 (t) − u2 (t).

Problem 55. Solve the initial value problem for the autonomous system

of differential equations

du1 2u1 du2 2u2

= −p 2 , =1− p 2

dt u1 + u22 dt u1 + u22

differential equations

du1 du2

= cos2 (u1 ), = sin(u1 ).

dt dt

Show that

1

I(u1 , u2 ) = sec(u1 ) − u2 ≡ − u2

cos(u1 )

is a first integral.

central manifold is an invariant manifold that touches in the fixed point a

eigenspace Ec belonging to the eigenvalues with vanishing real part. Using

the two-dimensional example

d d

u1 = u21 , u2 = −u2

dt dt

show that the central manifold does not need to be unique.

66 Problems and Solutions

du1 du2

= u2 + u21 , = −u31 .

dt dt

Show that the dynamical system has a nilpotent center at (0, 0). Show that

the dynamical system admits the symmetry

Problem 60. Let ∈ (0, 1). Consider the three linear systems of differ-

ential equations

du1 /dt 0 − u1

=

du2 /dt 1 0 u2

du1 /dt 0 1 u1

=

du2 /dt − 0 u2

du1 /dt 0 1− u1

= .

du2 /dt 1− 0 u2

Find the fixed points for the three systems and find the eigenvalues of the

three matrices.

Chapter 4

Equations

dn u

= f (t, u, . . . , dn−1 u/dtn−1 )

dtn

for n ≥ 3 and autonomous systems of first order differential equations of

the form

duj

= fj (u1 , u2 , . . . , un ), j = 1, 2, . . . , n

dt

where n ≥ 3.

Problem 1. Consider the initial value problem for the system of linear

first order ordinary differential equations

du

= Au

dt

with u = (u1 , u2 , . . . , un )T , A is an n × n matrix over R and u0 ≡ u(t = 0).

Then the solution of the initial value problem is given by

u(t) = etA u0 .

du1 du2 du3

= u3 , = u2 , = u1

dt dt dt

67

68 Problems and Solutions

i.e. we have

0 0 1

A = 0 1 0.

1 0 0

and u0 = (1, 0, 1)T .

Problem 2. Consider the initial value problem for the system of linear

first order ordinary differential equations

du

= Au + b(t)

dt

with u = (u1 , u2 , . . . , un )T , b = (b1 , b2 , . . . , bn ), A is an n × n matrix over R

and u0 ≡ u(t = 0). Then the solution of the initial value problem is given

by Z t

u(t) = etA u0 + etA e−τ A b(τ )dτ.

0

Find the solution of the initial value problem for

du1 du2 du3

= u3 , = u2 , = u1

dt dt dt

i.e. we have

0 0 1

A = 0 1 0

1 0 0

b(t) = (cos(t), sin(t), 0)T

and u0 = (1, 0, 1).

of linear equations with constant coefficients

dx dy

= Ax, = By

dt dt

with the initial conditions x(t = 0) = x0 and y(t = 0) = y0 , respectively.

Derive the differential equation for

z11 (t) x1 (t)y1 (t)

z12 (t) x1 (t)y2 (t)

.. ..

. .

z(t) = z (t) = x (t)y (t) ≡ x(t) ⊗ y(t)

1n 1 n

z21 (t) x2 (t)y1 (t)

. ..

..

.

znn (t) xn (t)yn (t)

Higher Order Differential Equations 69

where x(t) = (x0 (t), x1 (t), . . . , xn (t))T (T denotes the transpose, h , i the

scalar product and k.k the norm is described by the autonomous system of

differential equations

d2 x

= λx (2)

dt2

where the Lagrange parameter λ is determined such that (1) is compatible

with the differential equation (2). Find this compatibility and show that

d2 x

= −kdx/dtk2 x. (3)

dt2

du1

= −u2 + u1 u23

dt

du2

= u1 + u2 u23

dt

du3

= −u3 (u21 + u22 ).

dt

Show that

I(u1 , u2 , u3 ) = u21 + u22 + u23

is a first integral. Discuss.

we consider the dynamical system

dx

= A sin z + C cos y

dt

dy

= B sin x + A cos z

dt

dz

= C sin y + B cos x

dt

where A, B, C are real parameters. Since the right-hand side is 2π-periodic

in x, y, and z we have a dynamical system defined on the three-dimensional

torus T 3 . Find a first integral when C = 0.

70 Problems and Solutions

dx1

= x2 x3 − x1 (x2 + x3 )

dt

dx2

= x3 x1 − x2 (x3 + x1 )

dt

dx3

= x1 x2 − x3 (x1 + x2 )

dt

is called the Darboux-Halphen system.

(i) Show that the three hyperplanes

(ii) Let y = −2(x1 +x2 +x3 ). Find the differential equation for y. Calculate

up to d3 y/dt3 .

(iii) Consider the matrix-valued differential equation

dM

= (det M )(M −1 )T + M T M − (trM )M

dt

where M is a 3 × 3 matrix-valued function of t. Show that the Darboux-

Halphen system can be obtained by setting M to the diagonal matrix

x1 (t) 0 0

M (t) = 0 x2 (t) 0 .

0 0 x3 (t)

dx1

= x1 x2 − x1 x3 ≡ x1 (x2 − x3 )

dt

dx2

= x2 x3 − x1 x2 ≡ x2 (x3 − x1 )

dt

dx3

= x3 x1 − x2 x3 ≡ x3 (x1 − x2 ).

dt

(ii) Find the first integrals of the system

dx1

= x1 (c − x2 + x3 )

dt

dx2

= x2 (c − x3 + x1 )

dt

dx3

= x3 (c − x1 + x2 ).

dt

Higher Order Differential Equations 71

tions is given by

du1

= u2 u3 − u1 (u2 + u3 )

dt

du2

= u1 u3 − u2 (u1 + u3 )

dt

du3

= u1 u2 − u3 (u1 + u2 ).

dt

The system is invariant under the six permutations of the uj ’s. One gener-

ating set of invariants of the permutation group is

v1 = u1 + u2 + u3

v2 = u1 u2 + u2 u3 + u1 u3

v3 = u1 u2 u3 .

Express the system of differential equations in terms of the variables v1 , v2 ,

v3 .

equations

dω1 dτ1

= ω2 ω3 − ω1 (ω2 + ω3 ) + τ 2 , = −τ1 (ω2 + ω3 )

dt dt

dω2 dτ2

= ω3 ω1 − ω2 (ω3 + ω1 ) + τ 2 , = −τ2 (ω3 + ω1 )

dt dt

dω3 dτ3

= ω1 ω2 − ω3 (ω1 + ω2 ) + τ 2 , = −τ3 (ω1 + ω2 )

dt dt

where τ 2 := τ12 + τ22 + τ32 . Using the ansatz

1 d ṡ κ1 ṡ

ω1 (t) = − ln , τ1 (t) = p

2 dt s(s − 1) s(s − 1)

1 d ṡ κ2 ṡ

ω2 (t) = − ln , τ2 (t) = √

2 dt s−1 s s−1

1 d ṡ κ3 ṡ

ω3 (t) = − ln , τ3 (t) = √

2 dt s s(s − 1)

find the differential equation for s(t), where ṡ ≡ ds/dt. Here κj are con-

stants.

that

3

dAi 1 X

= εijk [Aj (t), Ak (t)], i = 1, 2, 3

dt 2

j,k=1

72 Problems and Solutions

where ε123 = ε321 = ε132 = 1, ε213 = ε321 = ε132 = −1. All other εijk are

equal to 0.

third order

2

d3 u d2 u

du du

F ≡ 3

+ 4u 2 + 6u2 +3 + u4 = 0. (1)

dx dx dx dx

Show that this equation can be linearized with the ansatz

dv

= u(x)v(x). (2)

dx

Find the general solution to (1).

d3 u du

3

−u =0 (1)

dx dx

admits the first integrals

2

d2 u 1 d2 u 1

du 1

F1 (u) = 2 − u2 , F2 (u) = u 2 − − u3 . (2)

dx 2 dx 2 dx 3

dx dy dz

= σ(y − x), = −xz + rx − y, = xy − bz (1)

dt dt dt

where σ, r and b are three real positive parameters. Show that by eliminat-

ing y and z from the above system, we obtain the third-order equation

2

d3 x

2

dx d x dx

x 3 − − (σ + b + 1)x − (σ + 1) +

dt dt dt2 dt

dx

x3 + b(σ + 1)x + σ(x4 + b(1 − r)x2 ) = 0. (2)

dt

2

d3 x

2

dx d x dx

x 3 − − (σ + b + 1)x − (σ + 1) +

dt dt dt2 dt

dx

x3 + b(σ + 1)x + σ x4 + b(1 − r)x2 = 0.

(1)

dt

Higher Order Differential Equations 73

Find the Lie symmetry vector fields of (1). Assume that the Lie symmetry

vector field is of the form

∂

V = (V0 (t, x, ẋ) + V1 (t, x, ẋ)ẍ) . (2)

∂x

Hint. The invariance condition is

.

pr(3) V (∆) = 0 (3)

where ∆ is given by

... 2

x x − (ẋ − (σ + b + 1)x) ẍ − (σ + 1) (ẋ) +

(4)

and pr(3) V denotes the third prolongation of V . Let

Then 2

∂ d ∂ d ∂

pr(3) V := χ + χ + 2

χ ... (5)

∂x dt ∂ ẋ dt ∂ x

Hint. The total derivative operator d/dt is given by

d ∂ ∂ ∂

:= + u̇ + ü + ··· (6)

dt ∂t ∂u ∂ u̇

dx dy dz

= σ(y − x), = −y − xz + rx, = xy − bz. (1)

dt dt dt

The system (1) can be represented as a third order differential equation

d3 u du d2 u 3 du d2 u

u − + u + (b + σ + 1)u +

dt3 dt dt2 dt dt2

2 !

du du

(σ + 1) bu − + σu4 + b(1 − r)σu2 = 0 (2)

dt dt

1) b = 2σ

1 d2 u 2σt

1 du

I1 = −2σ(r − 1) + u2 + 2(σ + 1) +2 e

u dt u dt2

74 Problems and Solutions

2) b = 0, σ = 1/3

2 !

d2 u

3 du

I2 = − u4 + 3 − 3u 2 e4t/3

4 dt dt

3) b = 1, r = 0

2

(σ + 1)2

1 du 2 du 1 du

I3 = 1 + u2 + 2(σ + 1) + u + 2 1+

σu dt σ dt σ dt u2

2

1 d2 u d2 u du d2 u 2t

1 1

+2 + 2 2 + 2(σ + 1) )e

σu dt2 σ u dt2 σ 2 u2 dt dt2

4) b = 4, σ = 1

1 1 du

I4 = (−4(r − 1)2 + 2(r − 1)u2 − u4 + 8(r − 1)

4 u dt

2

du du 1 d2 u d2 u

−2u + + 4(r − 1) 2

− u 2 )e4t

dt dt u dt dt

5) b = 1, σ = 1

2

2 2 1 du du du

I5 = ((r − 1) − (r − 1)u − 4(r − 1) + 2u +

u dt dt dt

2 2

1 d2 u d2 u 1 du d2 u 2t

1 du 1

+4 2 − 2(r − 1) 2

+ 2 +4 )e

u dt u dt u dt2 u2 dt dt2

6) b = 6σ − 2, r = 2σ − 1

1 du

I6 = σ −1 (σ − 1)(3σ − 1)u2 − σ −1 u4 − σ −1 (3σ − 1)u

4 dt

2 !

2

−1 du −1 d u

+σ − σ u 2 e4σt .

dt dt

domain

1 2 du d3 u

u + + 3 = 0. (1)

2 dz dz

Show that the equation admits the general solution (psi series)

1 ∗

u(z) = 3

120 + P (A(z − z0 )r ) + Q(B(z − z0 )r ) (2)

(z − z0 )

Higher Order Differential Equations 75

∞

X ∞

X

P (y) := am y m , Q(y) := bm y m . (3)

m=1 m=1

eral branches of complex analysis. Let w be a holomorphic function. The

Schwarzian derivative {w; z} of w is defined by

2 2

d3 w d w

3 3 2

{w; z} := dz − dz . (1)

dw 2 dw

dz dz

(i) Show that if w(z) = z we find {w; z} = 0.

(ii) Prove the following Theorem. Let y1 and y2 be two linearly independent

solutions of the equation

d2 y

+ Q(z)y = 0 (2)

dz 2

which are defined and holomorphic in some simply connected domain D in

the complex plane C. Then

y1 (z)

w(z) = (3)

y2 (z)

holomorphic in some neighbourhood of a point z0 ∈ D, then one can find

two linearly independent solutions, u(z) and v(z), of (2) defined in D so

that

u(z)

w(z) = , (5)

v(z)

and, if v(z0 ) = 1, the solutions u and v are uniquely defined.

du1 du2 du3

= σ(u2 − u1 ), = u1 u3 + ru1 − u2 , = u1 u2 − bu3

dt dt dt

where σ, r and b are three real positive parameters.

76 Problems and Solutions

(i) Show that these equations are invariant under the discrete transfor-

mation

(u1 , u2 , u3 ) → (−u1 , −u2 , u3 ).

Repeating this parity transformation gives back the identity mapping.

(ii) Show that there can exist orbits which are invariant under this reflection

or pairs of orbits which are mapped into each other.

du1 du2 du3

= σ(u2 − u1 ), = u1 u3 + ru1 − u2 , = u1 u2 − bu3 (1)

dt dt dt

where σ, r and b are three real positive parameters. Find the fixed points

and study their stability.

acting species is

m

dNi 1 X

= i Ni + Ni αki Nk , i = 1, 2, . . . , m (1)

dt βi

k=1

where Ni > 0. (i) Show that the stationary population levels Ni = qi (fixed

points) occur for

m

1 X

i = αki qk (2)

βi

k=1

(all dNi /dt = 0) and will be unique when α is non-singular (this requires

the number of species m to be even, since otherwise odd-order skew α is

necessarily singular). (ii) Show that introducing the new dependent varibles

Ni (t)

vi (t) := ln (3)

qi (t)

brings the Volterra dynamics to

m m

dvi X ∂G X

= γki , G := τα (exp(vα ) − vα ) (2)

dt ∂vk α=1

k=1

where

αij

γij := = −γji , τi ≡ qi βi . (3)

βi βj

(iii) Show that in the one-predator/one-prey case of Lotka-Volterra, these

equations are in Hamiltonian form, with

Higher Order Differential Equations 77

and

H(Q, P ) = γτ1 (eQ − Q) + γτ2 (eP − P ) (5)

where the Hamilton equations of motion are

dQ ∂H dP ∂H

= , =− . (6)

dt ∂P dt ∂Q

a two-state atom couple to each other via the undamped Bloch-Maxwell

equations

ds1 ds2 ds3

= −s2 , = s1 + s3 E, = s2 E (1a)

dt dt dt

d2 E

+ µ2 E = as1 (1b)

dt2

where the dimensionless parameter µ = ω/ω0 , the coupling constant a =

8πN d2 ω0 ~−1 and N is the number of two-level atoms. In (1) s1 , s2 , s3 are

components of Bloch’s vector describing polarization and inversion. The

electric field E = 2dẼ/~ω0 , d being the electric dipole moment of the

atom, is dimensionless and equals the ratio of the Rabi frequency and the

atomic transition frequency ω0 . The dimensionless time t is scaled with the

atomic transition frequency ω0 . The model of a two-level atom described

by (1) is valid under the assumption that E 1.

(i) Show that the system (1) possesses conservation laws for length of the

Bloch vector and energy

s21 + s22 + s23 = 1 (2)

2

1 1 dE

W = as3 − as1 E + µ2 E 2 + . (3)

2 2 dt

(ii) Show that the system (1) admits the following particular solution

E(t) = E0 cn(Ωt, k) (4)

3 !1/2

4 1 2 2 1 1

Ω = µ − + a − 4 µ2 −

2

(5)

3 27 3 9

2 1 2 1 1 2 2 1

k = µ − + , E0 = 4 µ − + 8Ω2 . (6)

4Ω2 3 2 3

(iii) Show that the inversion s3 and the components of the dipole moment

expressed in terms of E takes the form

2 3 !1/2

1 3 1 1 3 1 3

s3 = − µ2 − + a2 − 4 µ2 − + µ2 − E2 − E4

a 2 9 9 4 9 32

(7)

78 Problems and Solutions

1 3 2 1 1 3 ds1

s1 = µ − E− E , s2 = − . (8)

a 2 9 8 dt

(iv) Show that the solution is valid only for

3 !1/2

1 2 5 5 1

W = −2 µ − µ2 − + 2

a −4 µ − 2

. (9)

9 9 3 9

N N

dui X X

= di + eij uj + fijk uj uk , i = 1, 2, . . . , N. (1)

dt j=1 j,k=1

(i) Find analytical solutions for the special cases, e.g. if fijk = fj δik (pro-

jective Riccatis).

(ii) Show that the N × N matrix Riccati equation

du

= a + b · u + u · b0 + u · c · u (2)

dt

is linearizable due to the non-commutative property of matrices, where b

and c are N × N matrices.

(iii) Insert

N

X

u(t) = Ai (t)ui (t) + A0 (t) (3)

i=1

into (2) and use (1). Show that one gets the compatibility relations

N

dA0 X

+ Ai di = a + b · A0 + A0 b0 + A0 c · A0 (4a)

dt i=1

N

dAi X

+ Aj eji = (b + A0 c)Ai + Ai (b0 + c · A0 , i = 1, . . . , N (4b)

dt j=1

N

X

2 Ai fijk = Aj c · Ak + Ak c · Aj , j, k = 1, . . . , N. (4c)

i=1

spin chain

d Sn × Sn+1 Sn−1 × Sn

Sn = − . (1)

dt 1 + Sn · Sn+1 1 + Sn−1 · Sn

Higher Order Differential Equations 79

a difference equation assuming a simple time-dependence

with

1

xn := tan φn (3)

2

where

(2x3n + ωx2n + 2xn − ω − xn−1 (−x4n − ωx3n + ωxn + 1))

xn+1 = . (4)

(−x4n − ωx3n + ωxn + 1 − xn−1 (ωx4n − 2x3n − ωx2n − 2xn ))

(ii) Show that its one-parameter family of invariant curves is given by the

symmetric biquadratic relation

where K is the invariant parametrizing the family curves.

d 1 1

xn = (1+x2n )(xn−1 −xn+1 + (xn+2 +xn )(1+x2n+1 )− (xn +xn−2 )(1+x2n−1 )).

dt 2 2

(1)

(i) Show that stationary solutions of this equation are given by

1 1

xn+1 − (xn + xn+2 )(1 + x2n+1 ) = xn−1 − (xn−2 + xn )(1 + x2n−1 ). (2)

2 2

(ii) Equation (2) defines a 4 dimensional mapping.

(iii) Show that this mapping can be integrated to a two dimensional map-

ping

2x2n−1 + 2K2 − x2n−2 (1 + x22n−1 )

x2n = (3)

1 + x22n−1

2x2n + 2K1 − x2n−1 (1 + x22n )

x2n+1 = . (4)

1 + x22n

where K1 , K2 are integration constants. This mapping is integrable. Its

one-parameter family of invariant curves is given by the asymmetric bi-

quadratic relation

x22n x22n+1 + x22n + x22n+1 − 2x2n x2n+1 − 2K1 x2n+1 − 2K2 x2n + K3 = 0 (5)

80 Problems and Solutions

du

= F(u) = gradV (u) (1)

dt

which is called a gradient system of ordinary differential equations. Show

that a gradient system cannot have any limit cycle solutions.

system of perturbed Maxwell-Bloch equations is

dE dP

= P, = (E + eiωt )D

dt dt

dD 1

= − ((E + eiωt )P ∗ + (E ∗ + e−iωt )P). (1)

dt 2

The variables in this set of equations are dimensionless. E denotes the self-

consistent electric field, P is the polarizability of the matter, and D is the

difference of its occupation numbers, assuming the material response may

be modeled by two levels - a ground state and an excited state. Here, E

and P are complex scalar functions of time, D is real, is the (constant)

amplitude of the external driving field, and ω is the detuning of the laser

probe frequency from resonance with the two-level atoms.

(i) Show that for non-zero and ω, these equations possess two first integrals

1 2 1 2

H= |P| + D (2)

2 2

1 1

L= ω|E|2 + ωD + ((E + eiωt )P ∗ − (E ∗ + e−iωt )P). (3)

2 2i

These two first integrals result from unitarity (H) and energy conservation

(L). The three summands in L involve the self-consistent electric field

energy, 12 |E|2 , the excitation energy of the atoms, D, and the interaction

energy of the polarizable medium with the total electric field, E + eiωt .

Notice that

d d dP ∗ dP ∗

|P|2 = PP ∗ = P +P . (4)

dt dt dt dt

dE dP dD 1

= P, = ED, = − (EP ∗ + E ∗ P). (1)

dt dt dt 2

Show that these unperturbed equations posses three integrals of motion

1 2 1 2

H= |P| + D , (2a)

2 2

Higher Order Differential Equations 81

1

J= (EP ∗ − E ∗ P), (2b)

2i

1

K = |E|2 + D. (2c)

2

in three-dimensional Euclidean space by the equation

x2 y2 z2

2

+ 2 + 2 =1 (1)

a b c

where the axes satisfy the inequality a > b > c > 0. When a particle with

mass m moves freely on this surface, it is subject to a force that is always

perpendicular to the tangent plane, and whose direction is, therefore, given

by the vector (x/a2 , y/b2 , z/c2 ) times some factor λ to be determined. (i)

Show that the equations of motion then become

du x dv y dw z

= −λ 2 , = −λ 2 , = −λ 2 (2a)

dt a dt b dt c

dx u dy v dz w

= , = , = (2b)

dt m dt m dt m

where (u, v, w) is the momentum. (ii) Show that by taking two derivatives

with respect to time in (1) and replacing the second derivatives of (x, y, z)

according to (2), one gets the condition,

mλ = . (3)

x2 /a4 + y 2 /b4 + z 2 /c4

(iii) Show that if the initial position of the particle satisfies (1), and the

initial momentum is tangential to (1), then the whole trajectory stays on

the ellipsoid. (iv) Show that the quantity

A = u2 + 2 2

+ (4)

a −b a2 − c2

and similar ones, B and C, which are obtained by the cyclic permutation

of the triples (x, y, z), (u, v, w), and (a, b, c) are first integrals. These three

quantities are not independent since one has the relation A + B + C =

u2 + v 2 + w2 , where the right-hand side is the kinetic energy which is in

fact the Hamiltonian of the system. A, B, and C are in involution.

N

dZn X Γm

=i ∗ ∗

(1)

dt Zn − Zm

m6=n

82 Problems and Solutions

given by

Zn (t) = ρ exp(iωt + iϕn ) (2)

where

ω = Γ(N − 1)/(2ρ2 ), ϕn = 2πn/N, 0 ≤ n ≤ N − 1. (3)

Consider first the case N = 2, i.e.

dZ0 Γ1 dZ1 Γ0

=i ∗ , =i ∗ .

dt Z0 − Z1∗ dt Z1 − Z0∗

dPk

= −(k − 1)Pk − (zk − 2k + 2)Pk+1 (1)

dτ

where k ≥ 1. Here the first term is self-explanatory. In the second term the

probability Pk+1 is used because a larger cluster must be actually occupied

in order for a reaction event involving a site outside the original k-site

cluster to proceed. The most interesting quantity is P1 (τ ) = c(τ ). It

is expected to decrease in time but remain finite as τ → ∞. All other

probabilities Pk>1 are expected to vanish for large times. Show that the

solution of the differential equation (1) can be obtained by the ansatz

Pk (τ ) = c(τ )[σ(τ )]k−1 (2)

where σ(0) = ρ, eliminates the k dependence.

dS dI dR

= −rSI, = rSI − aI, = aI (1)

dt dt dt

where S stands for the number of susceptibles, I for those infected and

R denotes the removals. The constants a, r determine the infection and

removal rates of infectives, respectively. Show that the system admits the

two first integrals

a

H1 = S + I + R, H2 = R + ln(S). (2)

r

Problem 33. Find the Lie symmetries and first integrals of the system

dx

= ax + by + z − 2y 2

dt

dy

= ay − bx + 2xy

dt

dz

= −2z − 2zx.

dt

Higher Order Differential Equations 83

quasi-synchronous waves in a plasma with quadratic nonlinearities.

(i) Let

y ⇒ y + b/2

Show that the system then takes the form

dx

= ax − by + z − 2y 2 (1a)

dt

dy

= ay + ab/2 + 2xy (1b)

dt

dz

= −2z − 2xz. (1c)

dt

n n n

dPi XXX

= (Aijkl Pk Pl − Aklij Pi Pj ) (1)

dt j=1 k=1 l=1

n X

X n

Aijkl = 1 (2)

i=1 j=1

for all pairs (k, l). The quantities denotes transition probabilities. Show

that

Xn

Pi = const (3)

i=1

The model given above is a caricature of Boltzmann’s equation. . The j-th

component Pj is the probability to find a particle in the j-th phase space

(or configuration) cell. Obviously, Pj ≥ 0 for j = 1, 2, . . . , n and

n

X

Pj (t = 0) = 1. (4)

j=1

n

X

Pj (t) = 1. (5)

j=1

d2 xi ∂U d 2 yi ∂U d2 zi ∂U

mi =− , mi =− , mi =− , i = 1, 2, 3 (1)

dt2 ∂xi dt2 ∂yi dt2 ∂zi

84 Problems and Solutions

where

2 2 2

U = −m1 m2 F (r12 ) − m2 m3 F (r23 ) − m3 m1 F (r31 ), mi = 1,i = 1, 2, 3

(2)

(xk , yk , zk ) are the coordinates of the k-th body, k = 1, 2, 3, F (r2 ) is an

arbitrary, sufficiently smooth function, and

(i) Show that (1) is invariant under the 10-parameter Galilean group G(1, 3).

(ii) Show that the Lie algebra of this group has a basis consisting of the

following infinitesimal generators

∂ ∂ ∂ ∂ ∂ ∂ ∂

X0 = , X1 = + + , X2 = + + ,

∂t ∂x1 ∂x2 ∂x3 ∂y1 ∂y2 ∂y3

∂ ∂ ∂ ∂ ∂ ∂

X3 = + + , X4 = t + + ,

∂z1 ∂z2 ∂z3 ∂x1 ∂x2 ∂x3

∂ ∂ ∂ ∂ ∂ ∂

X5 = t + + , X6 = t + + ,

∂y1 ∂y2 ∂y3 ∂z1 ∂z2 ∂z3

∂ ∂ ∂ ∂ ∂ ∂

X7 = yk − zk , X8 = zk − xk , − yk

X9 = xk .

∂zk ∂yk ∂xk ∂zk ∂yk ∂xk

(4)

Remark. Ten integrals of motion of the spatial three-body problem were

known already to Lagrange

Problem 36. Euler’s equations for rotation of a rigid body about a fixed

point are given by

dω1

I1 = (I2 − I3 )ω2 ω3 (1a)

dt

dω2

I2 = (I3 − I1 )ω3 ω1 (1b)

dt

dω3

I3 = (I1 − I2 )ω1 ω2 (1c)

dt

A plane lamina has principal moments of inertia I, 2I and 3I. It is rotating

freely with angular velocity n about an axis through its centre of mass

perpendicular

√ to its plane when it is given an additional angular velocity

3 n about its principal axis with moment of inertia I.

(i) Prove that, at time t later, the components of the angular velocity of

the lamina along its principal axes are

√ √

( 3nsech(nt), 3n tanh(nt), sech(nt)). (2)

Higher Order Differential Equations 85

d3 u

+u=0

dt3

real-valued function.

dw

= R − zy − w

dt

dz

= wy − z

dt

dy

= σ(z − y).

dt

Consider the case that R σ and Rσ 1. Find the Lorenz model under

the scaling

w z y 1

t → t, w→ , z→ , y→ , = √ .

2 σ 2 σ Rσ

Show that for = 0 we find two first integrals (constants of motion). Thus

for this case the system is completely integrable.

du1

= u1 u2 − u1 u3 ≡ u1 (u2 − u3 )

dt

du2

= u2 u3 − u1 u2 ≡ u2 (u3 − u1 )

dt

du3

= u3 u1 − u2 u3 ≡ u3 (u1 − u2 ).

dt

(i) Show that u∗1 = u∗2 = u∗3 = c (c ∈ R) is a fixed point.

(ii) Find the variational equation.

(iii) Study the stability of the fixed point.

= −u2 u3 , = u1 u3 , = −u23 . (1)

dt dt dt

This system has a simple system-theoretic interpretation: u1 and u2 are

the states of an oscillator, frequency modulated by u3 .

86 Problems and Solutions

(i) Show that for u3 (0) ≥ 0 the solution of the initial value problem is given

by

u3 (0)

u3 (t) = (2)

(1 + tu3 (0))

where q

R := u21 (0) + u22 (0)) (3)

and

u1 (0)

δ := arctan . (4)

u2 (0)

(ii) Show that the trajectories are bounded when u3 (0) ≥ 0. (iii) Show that

if u3 (0) > 0, then the trajectory u has no autocorrelation, that is, the limit

in

Ru (τ ) := lim u(t)u(t + τ )dt (5)

T →∞

origin and that its axis corresponds to the z-axis. The trajectory (x(t),

y(t), z(t)) of an electrical particle in this magnetic field is then given as the

autonomous system of second order ordinary differential equations

d2 x

1 dz 2 2 dy

= 3yz − (3z − r )

dt2 r5 dt dt

2

d y 1 2 2 dx dz

= (3z − r ) − 3xz

dt2 r5 dt dt

2

d z 1 dy dx

= 5 3xz − 3yz

dt2 r dt dt

introducing polar coordinates

relevant to the quantum field theory of charged solitons

d2 σ d2 ρ

= −σ + σ 3 + dρ2 σ, = f ρ + λρ3 + dρ(σ 2 − 1) (1)

dx2 dx2

where σ and ρ are real scalar fields and d, f, λ are constants.

Higher Order Differential Equations 87

X

ρ(x) = b1 tanh(λ0 (x + c0 )), σ(x) = an tanhn (λ0 (x + c0 )). (2)

n=1

d2 u 1 v

+ ω(t)u = f 1 (1a)

dt2 u2 v u

d2 v 1 u

+ ω(t)v = f 2 (1b)

dt2 uv 2 v

is a so-called Ermakov-type system, where F1 and f2 are arbitrary differen-

tiable functions. Show that the system admits the first integral

2 Z v/u Z u/v

1 dv du

F = u −v + f1 (s)ds + f2 (s)ds. (2)

2 dt dt

Problem 44. Consider the linear system of first order ordinary differen-

tial equations

du1 du2 du3

= au2 , = −au1 , = bu3

dt dt dt

where a > 0 and b > 0. The corresponding vector field is given by

∂ ∂ ∂

V = au2 − au1 + bu3

∂u1 ∂u2 ∂u3

with the Lie series solution of the initial value problem

u(t) = etV u

u→u0

where u(t = 0) = u0 . Find the curvature κ(t) and torsion ω(t) of this

curve, where

1 u̇2 ü2 − (u̇T ü)2

κ2 (t) := 2 =

ρ (t) (u̇2 )3

...

det(u̇ü u)

ω(t) = ρ2 (t)

(u̇2 )3

du1 du2 du3

= −σ(u1 − u2 ), = −u1 u3 + ru1 − u2 , = u1 u2 − bu3 .

dt dt dt

88 Problems and Solutions

1

u(τ (t)) = u1 (t)

(2σ(r − 1))1/2

1

m(τ (t)) = u3 (t) − u2 (τ (t)).

(r − 1)

Set = 1/(r − 1)1/2 and study the case that is small which relates to high

Rayleigh numbers r 1.

du1

= −νu1 + m1 u2 u3

dt

du2

= −νu2 + m2 u3 u1

dt

du3

= −νu3 + m3 u1 u2

dt

where ν, m1 , m2 , m3 are nonzero constants. The system plays a role in

nonlinearly coupled positive and negative energy waves in plasma physics.

Find the system of differential equations under the transformation

where j = 1, 2, 3.

du1 du2 du3

= −2u2 + u2 u3 , = u1 − u1 u3 , = u1 u2 .

dt dt dt

Show that there is one fixed point (equilibrium point). Study the stability

of this fixed point. Let

Find the time evolution of V , i.e. dV /dt. Find the condition on the co-

efficients c1 , c2 , c3 such that V (u) > 0 for u 6= 0 and dV /dt = 0 for all

u ∈ R3 .

Problem 48. Consider the initial value problem of the autonomous sys-

tem of differential equations

du

= f (u), u(t = 0) = u0 (1)

dt

Higher Order Differential Equations 89

where f ∈ C 1 (Rn ). Show that for each u0 ∈ Rn the initial value problem

du f (u)

= , u(t = 0) = u0 (2)

dt 1 + |f (u)|

has unique solution u(t) for all t ∈ R, i.e. system (2) defines an autonomous

system on Rn and (2) is topologically equivalent to (1) on Rn .

dx

= σ(y − x)

dt

dy

= rx − y − xz

dt

dz

= xy − bz.

dt

(i) Show that the Lorenz model is invariant under the involution (x, y, z) →

(−x, −y, z).

(ii) Find the solution for z(t) if x(t) = 0 and y(t) = 0. Is the solution

stable.

equation

du

= f (u), u ∈ Rn

dt

where f : R→ Rn is an analytic function. Assume it admits a first integral

I(u), i.e.

∂I ∂I ∂

f (u) · ∇I(u) ≡ f1 (u) + f2 (u) + · · · + fn (u) =0

∂u1 ∂u2 ∂un

du

= S(u)∇I(u)

dt

where S(u) is a skew-symmetric n × n matrix. Consider the autonomous

system

du1

= u1 (u2 − u3 )

dt

du2

= u2 (u3 − u1 )

dt

du3

= u3 (u1 − u2 ).

dt

90 Problems and Solutions

I(u) = u1 + u2 + u3 .

(ii) The autonomous system also admits the first integral

I(u) = u1 u2 u3 .

dx

= −ax + y + 10yz

dt

dy

= −x − 0.4y + 5xz

dt

dz

= bz − 5xy

dt

where a and b are real and positive bifurcation parameters. Find the fixed

points and study their stability. Set a = 0.4. Show that there is Hopf

bifurcation.

is characterized by a state variable uj (t) with −1 ≤ uj ≤ +1 and j =

1, 2, . . . , n. Without coupling the individual dynamics the state variable

uj (t) obeys the nonlinear differential equation

du

= u − u3

dt

with −1 ≤ u(0)l + 1. This differential equation describes an overdamped

motion in the one-dimensional potential V (u) = −u2 /2 + u4 /4. The fixed

points are 0, ±1. The solution of the initial value problem is

u0

u(t) = p

e (1 − u20 ) + u20

−2t

with u0 = u(0). For t → ∞ u(t) preserves its sign and approaches the fixed

points ±1. The fixed points u∗ = 0 is unstable. Define

n

1X

ū(t) := uj (t).

n j=1

duj

= uj − u3j + k(ū − uj ) = (1 − k)uj + kū − u3j

dt

Higher Order Differential Equations 91

where k = 1.

Problem 53. Consider the initial value problem of the system of linear

differential equations

dY

= A(t)Y (t), Y (t = 0) = Y0

dt

where the n × n matrix is a smooth function of t. We express the solution

as

Y (t) = exp(Ω(t))Y0

and find Ω(t) as expansion (Magnus expansion)

∞

X

Ω(t) = Ωk (t)

k=1

Z t

Ω1 (t) = A(t1 )dt1

0

Z t Z t1

1

Ω2 (t) = dt1 dt2 [A(t1 , A(t2 )]

2 0 0

1 t

Z Z t1 Z t3

Ω3 (t) = dt1 dt2 dt3 ([A(t1 ), [A(t2 ), A(t3 )]] + [A(t3 ), [A(t2 ), A(t1 )]]).

6 0 0 0

Let

cos t sin t

A(t) = .

− sin t cos t

Find Ω1 , Ω2 , Ω3 .

dx

= s(y − xy + x − qx2 )

dt

dy

= s−1 (f z − y − xy)

dt

dz

= w(x − z)

dt

where f , s, q and w are positive real parameters and (x, y, z) are concentra-

tions and therefore nonnegative. Show the existence of periodic solutions

applying the theorem of Hopf.

92 Problems and Solutions

electric charge q in an electric potential are given by

d2 y qΦ0

+ cos(Ωt)y(t) = 0

dt 2 mr02

d2 z qΦ0

+ cos(Ωt)z(t) = 0

dt 2 mr02

d2 x

= 0.

dt2

Let

2qΦ0 Ωt

b := , ζ := .

mr02 Ω2 2

Then we can write the first two differential equations as

d2 y(ζ)

+ 2b cos(2ζ)y(ζ) = 0

dζ 2

d2 z(ζ)

− 2b cos(2ζ)z(ζ) = 0.

dζ 2

This a special cases of the Mathieu differential equation

d2 y(ζ)

+ (a + 2b cos(2ζ))y(ζ) = 0.

dζ 2

Study the stability of the general solution

X

y(ζ) = C2n (λ+ e+µζ e+2inζ + λ− e−µη e−2inζ )

n∈Z

with general integration constants λ± which have to mached with the inital

conditions and certain constants C2n and µ depending on a, b.

for energy level motion in quantum mechanics is given by

dEn

= pn

d

dpn X Vnm Vmn

=2

d En − Em

m(6=n)

dVmn X 1 1 1

= Vm` V`n + − Vmn (pm − pn )

d Em − E` En − E` Em − En

`(6=m,n)

where m 6= n and Vmn = Vnm . Consider the case with three level, i.e.

n = 0, 1, 2. Write down the differential equation for this case and solve the

Higher Order Differential Equations 93

E0 ( = 0) = −1, E1 ( = 0) = 0, E2 ( = 0) = 1

p0 ( = 0) = 0, p1 ( = 0) = 0, p2 ( = 0) = 0

V01 ( = 0) = 1, V02 ( = 0) = 0, V12 ( = 0) = 1.

equations

N

dzm KX

= (iωm + 1 − |zm |2 )zm + (zn − zm )

dt N n=1

tude rm (t) and phase θm (t) of the m-th oscillator, i.e.

distribution g(ω). Rewrite the system using rm (t) and θ(t). Discuss the

behaviour of the dynamical system.

sentation as

x2 (t, λ) = (1 + λ cos(t/2)) sin(t)

x3 (t, λ) = λ sin(t/2).

ferential equations for x1 (t), x2 (t), x3 (t).

du1

= u2 u3

dt

du2

= u1 u3

dt

du3

= u1 u2 .

dt

(i) Show that

1 2

I= (u − u22 )

2 1

94 Problems and Solutions

is a first integral.

(ii) Show that the system can be written as

du

= S∇I

dt

where S is a 3 × 3 skew-symmetric matrix (S T = −S) and

∂I/∂u1

∇I = ..

.

.

∂I/∂un

Problem 60. Let u1 (t), u2 (t), u3 (t) ∈ R3 . Solve the initial value problem

of the nonlinear autonomous system of first order differential equations

du1 du2 du3

= u2 × u3 , = u3 × u1 , = u1 × u2

dt dt dt

where × denotes the vector product.

du/dx

u(x) + =c

du/dx + d2 u/dx2

du/dx

u(x) + = c.

d2 u/dx2

du/dx +

d2 u/dx2 + d3 u/dx3

du

= Au + (1 − r2 )u

dt

where u = (u1 u2 u3 )T , r2 = u21 + u22 + u23 and A is the 3 × 3 matrix

2µ 0 √0

A= 0 0

√ 2.

0 − 2 0

Here µ is a bifurcation parameter. Discuss the behaviour of the system.

Problem 63. Study Hopf bifurcation for the coupled system of first order

differential equations

du1

= −u2 + µu1 + v1 (v12 + v22 )

dt

Higher Order Differential Equations 95

du2

= u1 + µu2 + v2 (v12 + v22 )

dt

dv1

= v2 + µv1 + u1 (u21 + u22 )

dt

dv2

= −v1 + µv2 + u2 (u21 + u22 )

dt

where µ is the bifurcation parameter. Utilize the symmetry of the problem.

Problem 64. Solve the initial value problem of the autonomous system

of first order differential equations

du1

= u1

dt

du2

= (1 − u1 )u2

dt

du3

= (1 − u1 )(1 − u2 )u3

dt

..

.

dun

= (1 − u1 )(1 − u2 ) · · · (1 − un−1 )un .

dt

du1

= c1 u1

dt

du2

= c13 u1 u3

dt

du3

= c3 u3

dt

where c1 , c3 , c13 are nonzero bifurcation parameters. Find the fixed points.

Solve the initial value problem.

equations

du1 du2 du3 du4

= −8u7 , = 4u5 , = 2(u4 u7 − u5 u6 ). = 4u2 u5 − u7 ,

dt dt dt dt

du5 du6 du7

= u6 − 4u2 u4 , = −u1 u5 + u2 u7 , = u1 u4 − 2u2 u6 − 4u3 .

dt dt dt

(i) Show that this system admits the first integrals

96 Problems and Solutions

(ii) Consider the autonomous system in the complex domain (t → z, uj (t) →

wj (z)) and perform a Painlevé analysis, i.e. insert the ansatz

∞

X

wj (z) = (z − z0 )−nj ckj (z − z0 )k

k=0

where j = 1, . . . , 7.

differential equations

duj

= uj (uj+1 − uj−1 ), j = 1, . . . , N

dt

and u0 = 0, uN +1 = 0. Solve the initial value problem.

d2 x dx 2

2

+a x − 1 + x = b cos(ωt) (1)

dt dt

where a 6= 0. Extend the equation into the complex domain and perfom a

singular point analysis. Show that all of its solutions posses only square-

root singularities in the complex time plane.

dx

= P (t)x

dt

where P (t) is periodic with principal period T and differentiable. Thus T is

the smallest positive number for which P (t + T ) = P (t) and −∞ < t < ∞.

Can we conclude that all solutions are periodic? For example, consider

dx

= (1 + sin t)x.

dt

dx1

= x1 x2 − x1 x3

dt

dx2

= x2 x3 − x1 x2

dt

dx3

= x3 x1 − x2 x3

dt

Higher Order Differential Equations 97

dx1

= x1 (c − x2 + x3 )

dt

dx2

= x2 (c − x3 + x1 )

dt

dx3

= x3 (c − x1 + x2 ).

dt

Problem 71. Solve the initial value problem for the system of linear

differential equations

dc0 1

= iΩe−iφ ei(ω−ν)t c1

dt 2

dc1 1

= iΩeiφ e−i(ω−ν)t c0

dt 2

where Ω, ω, ν are constant frequencies. Note the the system depends

explicitly on the time t. Then study the special case ω = ν.

θ θ θ

f (t, θ) = 1 + t sin cos θ, 1 + t cos sin θ, t sin

2 2 2

where

1 1

t∈ − , θ∈R

2 2

(i) Build three models of this surface using paper, glue and a scissors. Color

the first model with the South African flag. For the second model keep t

fixed (say t = 0) and cut the second model along the θ parameter. For

the third model keep θ fixed (say θ = 0) and cut the model along the t

parameter. Submit all three models.

(ii) Describe the curves with respect to t for θ fixed. Describe the curve

with respect to θ for t fixed.

voluntary (iii) The map given above can also be written in the form

θ

x(t, θ) = 1 + t sin cos θ

2

θ

y(t, θ) = 1 + t cos sin θ

2

θ

z(t, θ) = t sin .

2

98 Problems and Solutions

(x(θ), y(θ), z(θ))

can be considered as a solution of a differential equation. Find this differ-

ential equation. Then t plays the role of a bifurcation parameter.

oscillators

d2 u1 d2 u2

+ ω12 u1 = sin(u1 − u2 ), + ω22 u2 = sin(u2 − u1 ).

dt2 dt2

Solve the initial value problem.

Problem 74. (i) Solve the initial value problem of the linear autonomous

system of differential equations

du1

= k1 (u2 − u3 )

dt

du2

= k2 (u3 − u1 )

dt

du3

= k3 (u1 − u2 )

dt

where k1 = k2 = k3 = k.

(ii) Solve the initial value problem of the nonlinear autonomous system of

differential equations

du1

= k1 sin(u2 − u3 )

dt

du2

= k2 sin(u3 − u1 )

dt

du3

= k3 sin(u1 − u2 )

dt

where k1 = k2 = k3 = k. Can the system show chaotic behaviour?

(iii) Solve the initial value problem of the nonlinear autonomous system of

differential equations

d2 u1

= k1 sin(u2 − u3 )

dt2

2

d u2

= k2 sin(u3 − u1 )

dt2

d2 u3

= k3 sin(u1 − u2 )

dt2

where k1 = k2 = k3 = k. Can the system show chaotic behaviour?

Higher Order Differential Equations 99

Problem 75. Solve the initial value problem of the first order autonomous

system of differential equations

du1 du2 du3

= u1 , = u1 u2 , = u1 u2 u3 .

dt dt dt

Problem 76. Let u(t) ∈ R3 . Solve the initial value problem for the

differential equation

d2 u du

2

=u×

dt dt

where × denotes the vector product.

Problem 77. The Chazy class III third order differential equation is

given by

2

d3 u d2 u

du

− 2u +3 = 0.

dt3 dt2 dt

Show that the differential equation admits the two-parameter particular

solution

t − c1

u(t) = −6

(t − c2 )2

where c1 , c2 arbitrary in the complex plane.

Problem 78. Let ω0 be real and positive. Solve the coupled system of

linear equations

d2 u1 du2 d2 u2 du1

= −ω0 , = ω0 .

dt2 dt dt2 dt

du1

= σ(u2 − u1 )

dt

du2

= u1 (r − u3 ) − u2

dt

du3

= u1 u2 − bu3

dt

can be written as

du

= gradH1 × gradH2 + gradD

dt

where

1 2 1

H1 (u1 , u2 , u3 ) = (u + (u3 − r)2 ), H2 (u1 , u2 , u3 ) = σu3 − u21

2 2 2

100 Problems and Solutions

and

1

D(u1 , u2 , u3 ) = − (σu21 + u22 + bu23 )

2

du du d2 u d3 u

3u =2 + u .

dx dx dx2 dx3

Show that u(x) = e−|x| is a solution in the sense of generalized function.

dθ1

= ω1 + sin(θ1 − θ̄)

dt

dθ2

= ω2 + sin(θ2 − θ̄)

dt

dθ3

= ω3 + sin(θ3 − θ̄)

dt

where

1

θ̄(t) =

(θ1 (t) + θ2 (t) + θ3 (t)).

3

Hint. Consider the sum θ(t) := θ1 (t) + θ2 (t) + θ3 (t).

d2 u1 du1

= −u1 + (µ − u21 − αu22 )

dt2 dt

d2 u2 du 2

= −u2 + (µ − u22 − αu21 ) .

dt2 dt

Problem 83. Let zm (t) = rm (t) exp(iθm (t)), ωm > 0, K > 0 and

m = 1, 2, . . . , N . Study the autonomous system of first order differential

equations

N

dzm 2 KX

= (iωm + 1 − |zm | )zm + (zn − zm ).

dt N n=1

d2 d3 d du

L := − + u(x), A := −4 + 6u(x) +3 .

dx2 dx 3 dx dx

Higher Order Differential Equations 101

Let [, ] be the commutator. Show that the condition [L, A]ψ(x) = ψ(x)

provides the nonlinear third order differential equation

d3 u du

= 6u + .

dx3 dx

d4 u

= Eu.

dx4

Show that (even solution)

Problem 86. The governing Einstein equations for the mixmaster metric

tensor fields are given by the autonomous system of second order ordinary

differential equations

d2 f 1

= ((e2g − e2h )2 − 4e4f )

dτ 2 2

d2 g 1 2h

= ((e − e2f )2 − 4e4g )

dτ 2 2

d2 h 1 2f

= ((e − e2g )2 − 4e4h )

dτ 2 2

where f , g, h are the scale factors of the metric tensor field and the deriva-

tive is with respect to the (logarithmic) time variable τ . Find the discrete

symmetries of the system. Show that this coupled system of differential

equations admits the first integral

df dg dg dh dh df

I(f, g, h) = 4 + + −e4f −e4g −e4h +2(e2(f +g) +e2(g+h) +e2(h+f ) ).

dτ dτ dτ dτ dτ dτ

Problem 87. (i) Consider the autonomous system of first order differen-

tial equations

duj

= fj (u), j = 1, . . . , n

dt

102 Problems and Solutions

invariant under the transformation u → −u. Show that if v(t) satisfies the

system then w(t) = −v(t) also satisfies the system.

(ii) Assume that f (u) = f (−u). Show that if v(t) is a solution of the

system, then w(t) = −v(−t) is also a solution.

equations

duj

= fj (u), j = 1, . . . , n

dt

where fj : Rn → R are C 1 functions. The traditional flow box theorem

asserts that if f is a C 1 vector field and u0 ∈ Rn is not a fixed point, i.e.

f (u0 ) 6= 0, then there is a diffeomorphism which maps the vector field f

near u0 to a constant vector field. In other words, the local flow of the

vector field f is conjugate via diffeomorphism to translation. Apply the

flow box theorem to the autonomous system in the plane

du1 3u22 du2 1

=− , =

dt 1 + 2u2 dt 1 + 2u2

(which admits no fixed points) and the transformation

v1 (u1 , u2 ) = u1 + u22 , v2 (u1 , u2 ) = u2 + u22 .

du1 du2 du3

= f (u2 ), = f (u3 ), = f (u1 )

dt dt dt

where f : R → R is an analytic function. We also assume that the au-

tonomous system admits a fixed point at (0, 0, 0) and the first term in the

Taylor expansion of f around 0 is u. The following five functions with these

properties are studied

f1 (u) = sin(u), f2 (u) = arctan(u), f3 (u) = sinh(u),

f4 (u) = tanh(u), f5 (u) = sinh−1 (u).

First study the stability of the fixed pont (0, 0, 0). What are the discrete

symmetries of the autonomous system? Note that the divergence of the

vector field of the autonomous system is 0. Apply the Lie series technqiue

to find solutions of the initial value problem.

Problem 90. (i) Consider the autonomous systems of first order differ-

ential equation

n

duj X

= f (uj ) + c uk , j = 1, . . . , n (1)

dt

k=1,k6=j

Higher Order Differential Equations 103

know the solution of duj /dt = f (uj ) for j = 1, 2, . . . , n. What can be said

about the solution of (1)? Let n ≥ 3. Can we find a function f and a

constant c such that equation (1) shows chaotic behaviour?

(ii) Consider the autonomous systems of first order differential equation

n

duj Y

= f (uj ) + c uk , j = 1, . . . , n (2)

dt

k=1,k6=j

know the solution of duj /dt = f (uj ) for j = 1, 2, . . . , n. What can be said

about the solution of (2)? Let n ≥ 3. Can we find a function f and a

constant c such that equation (1) shows chaotic behaviour?

differential equations

dx

= f (x).

dt

Assume that I is a first integral and that ∇I is nonzero. Then the system

can be written as

dx

= f (x) = A(x)∇I(x)

dt

where A is antisymmetric. Show that the matrix A is given by

1

f (∇I)T − (∇I)f T .

A= 2

|∇I|

dx

= σy − σx

dt

dy

= −xz + rx − y

dt

dz

= −xy − bz.

dt

Find the fixed points of the system and study the stability.

dx dy dz

= σy − σx, = −y + rx − xz, = −bz + xy (1)

dt dt dt

where σ, r and b are control parameters. The behaviour of this system was

first investigated numerically by Lorenz in 1963 for r = 28, σ = 10 and

104 Problems and Solutions

b = 83 . It was found that the system starts a rotation around one of the

(unstable) focuses with amplitude increasing with time, thereby forming a

divergent spiral. After a number of such oscillations, the system suddenly

leaves this regime and goes monotonically towards the second available

(unstable) focus around which it starts again an oscillatory motion along a

divergent spiral. Again, after a certain number of oscillations around this

focus, the system jumps anew towards the vicinity of the previous focus,

from which it starts again a divergent oscillatory trajectory and so on.

The interesting thing is that the time intervals the system spends in the

vicinity of each focus before jumping into the vicinity of the other focus

are stochastically distributed and there is no regularity, whatsoever, in the

process, which nevertheless is created by the unfolding of a deterministic

(non-linear) dynamics. (i) Show that eliminating y in (1) and solving z in

terms of x2 we obtain the following equation for x(t)

Z ∞

d2 x

dx 1 2 b 2

+(1+σ) +σ 1 − r + 2 x + 1 − (x(t − τ )) exp(−bτ )dτ x = 0.

dt2 dt 2σ 2σ 0

(2)

(ii) We assume that the motion started at −∞, Show that if b > 0 we can

split exp(−τ ) into a δ-function and the deviation from it to obatin

Z ∞

d2 x

dx dU b 2 2 −bτ

+ (1 + σ) + + σ − (x (t − τ ) − x (t))e dτ x=0

dt2 dt dx 2 0

(3)

where

1−r 2 1

U (x) = σ x + x4 (4)

2 4b

depends on the history of motion. (iii) Discuss (3).

Problem 94. (i) Consider the autonomous systems of first order differ-

ential equation

n

duj X

= f (uj ) + c uk , j = 1, . . . , n (1)

dt

k=1,k6=j

know the solution of duj /dt = f (uj ) for j = 1, 2, . . . , n. What can be said

about the solution of (1)? Let n ≥ 3. Can we find a function f and a

constant c such that equation (1) shows chaotic behaviour?

(ii) Consider the autonomous systems of first order differential equation

n

duj Y

= f (uj ) + c uk , j = 1, . . . , n (2)

dt

k=1,k6=j

Higher Order Differential Equations 105

know the solution of duj /dt = f (uj ) for j = 1, 2, . . . , n. What can be said

about the solution of (2)? Let n ≥ 3. Can we find a function f and a

constant c such that equation (1) shows chaotic behaviour?

Problem 95. (i) Solve the initial value problem of the linear autonomous

system of differential equations

du1

= k1 (u2 − u3 )

dt

du2

= k2 (u3 − u1 )

dt

du3

= k3 (u1 − u2 )

dt

where k1 = k2 = k3 = k.

(ii) Solve the initial value problem of the nonlinear autonomous system of

differential equations

du1

= k1 sin(u2 − u3 )

dt

du2

= k2 sin(u3 − u1 )

dt

du3

= k3 sin(u1 − u2 )

dt

where k1 = k2 = k3 = k. Can the system show chaotic behaviour?

(iii) Solve the initial value problem of the nonlinear autonomous system of

differential equations

d2 u1

= k1 sin(u2 − u3 )

dt2

d2 u2

= k2 sin(u3 − u1 )

dt2

2

d u3

= k3 sin(u1 − u2 )

dt2

where k1 = k2 = k3 = k. Can the system show chaotic behaviour?

problem of the coupled system of differential equations

N −1

dxj X

= f (xj (t)) + aij (h(xj (t)) − h(xi (t))), i = 0, 1, . . . , N − 1

dt j=0

106 Problems and Solutions

for i = 0, 1, . . . , N − 1. Assume that N = 3, f (x) = 4x(1 − x) and h(x) =

tanh(x).

Problem 97. Let f11 , f22 , f33 , f44 be analytic functions fjj : R → R.

Consider the 4 × 4 matrix

f11 0 0 0

1 f22 0 1

M =

0 0 f33 1

0 0 0

f11 f22 f33 0

the matrix and write down the ordinary differential equation which follows

from det(M ) = 0. Find solutions of the differential equation.

Problem 98. Let c > 0. Consider the autonomous system of first order

differential equations

du1 1

= u2 (u3 − c)

dt 2

du2 1 1

= − u1 (u3 − c) − v3

dt 2 2

du3

= v2

dt

dv1

= v2 u3 − v3 u2

dt

dv2

= v3 u1 − v1 u3

dt

dv3

= v1 u2 − v2 u1 .

dt

Show that this system admits the first integrals

1

H = u21 + u22 + u23 − v1

2

1

L = u1 v1 + u2 v2 + (u3 + c)v3

2

K = (u1 − u2 + v1 ) + (2u1 u2 + v2 )2 + 2c((u3 − c)(u21 + u22 ) + 2u1 v3 ).

2 2 2

Problem 99. Solve the initial value problem of the system of ordinary

differential equations

du1

= u2 u4 − u1 u3

dt

Higher Order Differential Equations 107

du2 du1

=−

dt dt

du3 du1

=

dt dt

du4 du1

=−

dt dt

with 0 < uj (t) < 1 (j = 1, 2, 3, 4) and

4

X

uj (t) = 1.

j=1

du1

= u1 (r − u21 − u22 ) − u2 + s(u3 − u1 )

dt

du2

= u2 (r − u21 − u22 ) + u1 + s(u4 − u2 )

dt

du3

= u3 (r − u23 − u24 ) − u4 + s(u5 − u3 )

dt

du4

= u4 (r − u23 − u24 ) + u3 + s(u6 − u4 )

dt

du5

= u5 (r − u25 − u26 ) − u6 + s(u1 − u5 )

dt

du6

= u6 (r − u25 − u26 ) + u5 + s(u2 − u6 ).

dt

with r = 1 and s = 2. Obviously (u1 , u2 , u3 , u4 , u5 , u6 ) = (0, 0, 0, 0, 0, 0) is

a fixed point. Study the stability of the fixed point. Does Hopf bifurcation

occur? Now consider s as a bifurcation parameter. Does the system admit

limit cycles?

equations

0

d2 r α dr µ

+ + r = 0.

dt2 r2 dt r3

0

(i) Find

d2 r

α dr

r× + 2 r× .

dt2 r dt

(ii) Let L := r × dr/dt (angular momentum). Find the time evolution of L.

(iii) Find dL/dt × L.

108 Problems and Solutions

u` (t), ` = 1, 2, 3, . . ., t ≥ 0

∞

du` 1 X X

= jkuj uk − `u` kuk

dt 2

j+k=` k=1

together with the initial condition u` (t = 0) = δ1,` . Show that the solution

of the initial value problem is given by

``−2 `−1

u` (t) = t exp(−`t)

`!

for 0 ≤ t < 1. P∞

(ii) Show that for t ∈ [0, 1) the quantity `=1 `u` is conserved.

(iii) Show that at t = 1 a singularity occurs where the second moment

diverge for t > 1.

Problem 103. Solve the initial value problem for the system of differen-

tial equations

d2 u1 u1 d2 u2 u2

=− 2 , =− 2

dt2 (u1 + u22 )3/2 dt2 (u1 + u22 )3/2

with

√

u1 (0) = 1/2, u2 (0) = 0, du1 (0)/dt = 0, du2 (0)/dt = 3.

problem of the autonomoua system of first order ordinary differential equa-

tions

du1 du2 du3

= c1 + c2 u1 − c3 u21 , = c2 − 2c3 u1 , = c3 exp(u2 )

dt dt dt

with u1 (0) = u2 (0) = u3 (0) = 0.

Problem 105. Study the initial value problem for the two coupled oscil-

lator

d2 u1 d2 u2

= −k1 u1 − k2 (u1 − u2 ), = −k1 u2 + k2 (u1 − u2 ).

dt2 dt2

equations

du1 du2 du3

= u1 (u1 −u2 −u3 ), = u2 (u2 −u3 −u1 ), = u3 (u3 −u1 −u2 ).

dt dt dt

Higher Order Differential Equations 109

v1 := u1 + u2 + u3 , v2 := u1 u2 + u2 u3 + u3 u1 , v3 := u1 u2 u3

= x2 x3 −x1 x2 −x3 x1 , = x3 x1 −x1 x2 −x2 x3 , = x1 x2 −x3 x1 −x2 x3

dt dt dt

with the corresponding vector field

∂ ∂ ∂

V = (x2 x3 −x1 x2 −x3 x1 ) +(x3 x1 −x1 x2 −x2 x3 ) +(x1 x2 −x3 x1 −x2 x3 ) .

∂x1 ∂x2 ∂x3

transformation (αδ − βγ 6= 0)

(γt + δ)2

αt + β γt + δ

(t, xj ) 7→ , 2γ + xj

γt + δ αδ − γβ αδ − γβ

with j = 1, 2, 3.

(ii) Consider the vector fields

∂ ∂ ∂ ∂ ∂ ∂

U = 2(x1 + x2 + x3 ), W = + + .

∂x1 ∂x2 ∂x3 ∂x1 ∂x2 ∂x3

algebra? Discuss.

d2 u1 d2 u2

m1 = f (u2 − u1 ), m2 = −f (u2 − u1 )

dt2 dt2

where f : R → R is a smooth function.

(i) Let v = u2 − u1 . Show that

d2 v

m = f (v)

dt2

where 1/m = 1/m1 + 1/m2 .

(ii) Show that

d du1 du2

m1 + m2 = 0.

dt dt dt

110 Problems and Solutions

Problem 109. Solve the initial value problem for the infinite system of

linear equations

dC1 dN

= −C1 − N, = −N

dt dt

dCk

= Ck−1 − Ck , k≥2

dt

with Ck (t = 0) = δ1k .

value problem of the first order autonomous system of differential equations

in R3

du

=u×C

dt

where × denotes the vector product, i.e.

du1 /dt u2 c3 − u3 c2

du2 /dt = u3 c1 − u1 c3

du3 /dt u1 c2 − u2 c1

∂ ∂ ∂

V = (u2 c3 − u3 c2 ) + (u3 c1 − u1 c3 ) + (u1 c2 − u2 c1 ) .

∂u1 ∂u2 ∂u3

First find the fixed points and study their stability. The bifurcation pa-

rameters are c1 , c2 , c3 . Find the first integeral of the dynamical system if

there are any.

u1 (t) c1

u(t) = u2 (t) , C = c2

u3 (t) c3

system of first differential equations

du

= u × (u × C)

dt

or written in components

du1 /dt c1 (−u22 − u23 ) + c2 u1 u2 + c3 u1 u3

du2 /dt = c1 u1 u2 + c2 (−u21 − u23 ) + c3 u2 u3 .

du3 /dt c1 u1 u3 + c2 u2 u3 + c3 (−u21 − u22 )

Higher Order Differential Equations 111

∂

V = (c1 (−u22 − u23 ) + c2 u1 u2 + c3 u1 u3 )

∂u1

∂ ∂

+(c1 u1 u2 + c2 (−u21 − u23 ) + c3 u2 u3 ) + (c1 u1 u3 + c2 u2 u3 + c3 (−u21 − u22 )) .

∂u2 ∂u3

(i) Apply the Jacobi identity to the right-hand side of the system of differ-

ential equations. Discuss.

(ii) The fixed points are the solutions of the equations

u × (u × C) = 0.

(iii) Write down the variational equation and then study the stability of

the fixed points.

(iv) Let LV (.) denote the Lie derivative and Ω = du1 ∧ du2 ∧ du3 . Calculate

LV Ω and thus find the divergence of the vector field.

(v) Let

α = u1 du2 + u2 du3 + u3 du1 .

Find LV α. Discuss.

(vi) Consider the vector fields

∂ ∂ ∂

S = u1 + u2 + u3 .

∂u1 ∂u2 ∂u3

(vii) Is u21 + u22 + u23 a first integral?

equations

d2 u1 d2 u2

= u1 u2 , = u1 u2 .

dx2 dx2

Show that a solution is given by

u0

u1 (x) = u2 (x) =

(1 + (u0 /6)1/2 x)2

dx1 /dt x2 (t)y3 (t) − x3 (t)y2 (t)

dx2 /dt = x(t) × y(t) = x3 (t)y1 (t) − x1 (t)y3 (t)

dx3 /dt x1 (t)y2 (t) − x2 (t)y1 (t)

112 Problems and Solutions

dy1 /dt y2 (t)x3 (t) − y3 (t)x2 (t)

dy2 /dt = y(t) × x(t) = y3 (t)x1 (t) − y1 (t)x3 (t)

dy3 /dt y1 (t)x2 (t) − y2 (t)x1 (t)

First find the fixed points (if there are any) and study their stability. Find

first integrals (if there are any).

du1 du−1

= (2 − πu2 )u1 , 2

= 2π 3 u21 .

dt dt

This system plays a role for renormalization groups.

Problem 115. Solve the initial value problem of linear system of differ-

ential equations

du1 /dt 0 1 0 0 u1 0

du

2 /dt 0 0 1 0 u

2 0

= + .

du3 /dt 0 0 0 1 u3 0

du4 /dt −c0 −c1 −c2 −c3 u4 d

∞

X z kn

fk (z) =

n=1

(n!)k

satisfies a linear differential equation of order k with coefficients in C(z).

Problem 117. Show that the third order ordinary linear differential

equation

d3 u

=0

dt3

admits the seven Lie symmetries

∂ ∂ ∂ ∂

, , t , t

∂t ∂u ∂t ∂u

∂ ∂ ∂ 1 ∂

t2 , u , ut + t2 .

∂u ∂u ∂u 2 ∂t

Find the commutators.

differential equations

d2 x1 dx1

= −x1 + ( − x21 − αx22 )

dt2 dt

d2 x2 dx 2

= −x2 + ( − x22 − αx21 ) .

dt2 dt

Higher Order Differential Equations 113

bifurcation with D4 symmetry. The D4 symmetry consists of four rotations

each of π/2 and four reflection mirrors with each angle betweem them being

π/4.

Chapter 5

Differential Equations

The Jacobi elliptic functions can be defined as inverse of the elliptic integral

of first kind. Thus, if we write

Z ∞

dx

x(φ, k) = p

0 1 − k 2 sin2 s

where k ∈ [0, 1] we can define the following functions

q

sn(x, k) := sin(φ), cn(x, k) := cos(φ), dn(x, k) := 1 − k 2 sin2 φ.

Here k is called the modulus. For k = 0 we obtain

sn(x, 0) ≡ sin(x), cn(x, 0) ≡ cos(x), dn(x, k) ≡ 1

and for k = 1 we have

2

sn(x, 1) ≡ tanh(x), cn(x, 1) ≡ dn(x, 1) ≡ .

ex + e−x

We have the following identities

2sn(x/2, k)cn(x/2, k)dn(x/2, k)

sn(x, k) ≡

1 − k 2 sn4 (x/2, k)

1 − 2sn2 (x/2, k) + k 2 sn4 (x/2, k)

cn(x, k) ≡

1 − k 2 sn4 (x/2, k)

1 − 2k 2 sn2 (x/2, k) + k 2 sn4 (x/2, k)

dn(x, k) ≡ .

1 − k 2 sn4 (x/2, k)

114

Elliptic Functions and Differential Equations 115

4 are given by

x3

sn(x, k) = x − (1 + k 2 ) + ···

3!

x2 x4

cn(x, k) = 1 − + (4k 2 + k 2 ) − · · ·

2! 4!

2

x x4

dn(x, k) = 1 − k 2 + (4k 2 + k 2 ) − · · ·

2! 4!

For x sufficiently small this will be a good approximation.

dω1 dω2 dω3

I1 = (I2 − I3 )ω2 ω3 , I2 = (I3 − I1 )ω3 ω1 ,

= (I1 − I2 )ω1 ω2 .

I3

dt dt dt

(1)

We assume that all the principle moments of inertia Ik have different values.

(i) Show that (1) admits the constant of motion

l2 := I12 ω12 + I22 ω22 + I32 ω32 , 2E := I1 ω12 + I2 ω22 + I3 ω32 . (2)

(ii) Show that we can to eliminate two of the variables from (1) to obtain

an equation for the third alone.

(iii) Find the solution of this equation.

2

dr

= Ar4 + Br2 + C + Dr−2 (1)

dx

where A, B, C and D are given scalar constants. Show that the equation

can be reduced to the standard form

2

dy

= µ2 (1 − y 2 )(1 − k 2 y 2 ) (2)

dt

by the change of variables

r2 := ay 2 + b, y := sn(µx, k) (3)

d d d

sn(x, k) = cn(x, k)dn(x, k), cn(x, k) = −sn(x, k)dn(x, k), dn(x, k) = −k 2 sn(x, k)cn(x, k).

dx dx dx

(1)

116 Problems and Solutions

Problem 4. Show that y(t) = cn(µt, k) and r(t) = dn(µt, k) are solutions

of the differential equations

2

dy

= µ2 (1 − y 2 )(k 02 + k 2 y) (1)

dt

2

dr

= µ2 (1 − r2 )(r2 − k 02 ) (2)

dt

where k 02 := 1 − k 2 .

2

dw

= Aw + Bw2 + Cw3 + Dw4 (1)

dx

into an equation of the form

2

dr

= A0 r4 + B 0 r2 + C 0 + D0 r−2 . (2)

dx

dn2 y − k 3 cn2 ysn2 z

dn(z + y)dn(z − y) = .

1 − k 2 sn2 ysn2 z

2dn2 z

1 + dn2z = . (1)

1 − k 2 sn4 z

snzcnydny + snycnzdnz

sn(z + y) = . (1)

1 − k 2 sn2 zsn2 y

−1

1 + k2

0 1 1 1 1

sn(z + iK ) = = 1 − (1 + k 2 )z 2 + · · · = + z+···

ksnz kz 6 kz 6k

and similarly

−i 2k 2 − 1

cn(z + iK 0 ) = + iz + · · ·

kz 6k

Elliptic Functions and Differential Equations 117

and

i 2 − k2

dn(z + iK 0 ) = − + iz + · · ·

z 6

It follows that at the point z = iK 0 ; the functions snz, cnz, dnz have simple

poles, with the residues

1 i

, − , −i

k k

respectively.

∞

1 X 1

2 = (1)

sin z n=−∞ (z − nπ)2

0

1 X 1 1

℘(z) = 2 + 0

− (2)

z m,n

(z − 2mω − 2nω )2 (2mω + 2nω 0 )2

where the summation is taken over all positive and negative integral values

of m and n, including zero, except when m and n are simultaneously zero. ω

and ω 0 are two numbers the ration of which is nor real. Note that cosec(α) =

1/ sin(α). Prove that

2

π 2 z − 2nω2

℘(z) = C + cosec π (3)

2ω1 2ω1

where

∞

2 !

π 1 X 2nω 2

C := − + cosec2 π . (4)

2ω1 3 n=−∞ ω1

(i) Show that the function ℘(z) is an even function of z, i.e. it satisfies the

equation

℘(z) = ℘(−z). (5)

(ii) Show that

℘(z + 2ω1 ) = ℘(z). (6)

(iii) Show that

℘(z + 2ω2 ) = ℘(z) (7)

and generally

℘(z + 2mω1 + 2nω2 ) = ℘(z)

where m and n are any integers. Therefore the function ℘(z) admits the

two periods 2ω1 and 2ω2 .

118 Problems and Solutions

Problem 11. Show that the function ℘(z) satisfies the differential equa-

tion 2

d℘

= 4℘3 (z) − g2 ℘(z) − g3 (1)

dz

where g2 and g3 (called the invariants) are given in terms of the periods of

℘(z) by the equations

X X

g2 = 60 (2mω1 + 2nω2 )−4 , g3 = 140 (2nω1 + 2nω2 )−6 . (2)

2

dt

= 4t3 − g2 t − g3 (3)

dz

where

t = ℘(z) (4)

and therefore (since ℘(z) is infinite when z is zero) we have

Z ∞

1

z= (4t3 − g2 t − g3 )− 2 dt (5)

℘(z)

d3 y 2 2

d y

1 3 4 dz2 3

− dz 3 + 4 = ((y − e1 )−2 + (y − e2 )−2 + (y − e3 )−2 )

2 dy 3 dy 16

dz dz

3

− y(y − e1 )−1 (y − e2 )−1 (y − e3 )−1 (1)

8

where e1 , e2 , e3 are the roots of the equation

4y 3 − g2 y − g3 = 0. (2)

1 ℘(x) ℘0 (x)

1 ℘(z) ℘0 (z) = 0.

(1)

1 ℘(y) ℘0 (y)

Show that

2

℘0 (z) − ℘0 (y)

1

℘(z + y) = − ℘(z) − ℘(y). (2)

4 ℘(z) − ℘(y)

Elliptic Functions and Differential Equations 119

1

(ax4 + 4bx3 + 6cx2 + 4dx + e)− 2 . (1)

problem.

Problem 16. Show that the theorem given above may be stated some-

what differently as follows.

dζ(z)

= −℘(z) (1)

dz

with the condition that ζ(z) − z −1 be equal to zero when z = 0. Since

the infinite series which represents ℘(z) is uniformly convergent, it can be

integrated term by term. Show that

Z X

ζ(z) = − (z −2 + ((z − 2mω1 − 2nω2 )−2 − (2mω1 + 2nω2 )−2 ))dz. (2)

The summation is extended over all positive and negative integer and zero

values of m and n, except simultaneous zero values.

(ii) Show that

X

ζ(z) = z −1 + ((z−2mω1 −2nω2 )−1 +(2mω1 +2nω2 )−1 +z(2mω1 +2nω2 )−2 ).

(3)

Hint: Since the condition, which ζ(z) has to satisfy at z = 0, is satisfied by

this choice of the constant of integration.

" 2 #

Y0 z

z 1 z

σ(z; ω1 , ω2 ) = z 1− exp + (1)

Ωk Ωk 2 Ωk

k

with

Ωk = mk ω1 + nk ω2 (2)

120 Problems and Solutions

where mk , nk is the sequence of all pairs of integers. The prime after the

product sign indicates that the pair (0, 0) should be omitted. ω1 and ω2

are two complex numbers with

ω1

= 6= 0. (3)

ω2

In the following the dependence on ω1 and ω2 will be omitted. The logarith-

mic derivative σ 0 (z)/σ(z) where σ 0 (z) ≡ dσ/dz is the meromorphic function

ζ(z) of Weierstrass. The function ℘(z) = −ζ 0 (z) is a meromorhic, doubly

periodic (or elliptic) function with periods ω1 , ω2 whose only singularities

are double poles mω1 + nω2 . We find

1 X0 1 1

℘(z; ω1 , ω2 ) = 2 + − . (4)

z (z − Ωk )2 (Ωk )2

k

(i) Show that

σ(z) = z + c5 z 5 + c7 z 7 + · · · (5)

(ii) Show that

σ(2u) ℘00 (u)

= −℘0 (u), 2ζ(2u) − 4ζ(u) = . (6)

σ 4 (u) ℘0 (u)

1, 2, . . . , N . Assume that a satifies the following equation

a(qk − qr )a0 (qr − ql ) − a0 (qk − qr )a(qr − ql )

= g(qk − qr ) − g(qr − ql ) (1)

a(qk − ql )

where a0 denotes differentiation with respect to the arguments and k 6= l.

Let

U (q) = a2 (q). (2)

Show that

(U (x)U 0 (y)−U 0 (x)U (y))+(U (y)U 0 (z)−U 0 (y)U (z))+(U (z)U 0 (x)−U 0 (z)U (x)) = 0

(4)

where

x + y + z = (qk − qr ) + (qr − ql ) + (ql − qk ) = 0. (5)

differential equation of the standard form

2

dy

= (1 − y 2 )(1 − k 2 y 2 ) (1)

dx

Elliptic Functions and Differential Equations 121

conditions

dy(x = 0)

y(x = 0) = 0, >0 (2)

dx

is denoted by

y = sn(x, k). (3)

This function depends on the value of the parameter k, which is called the

modulus. Direct integration of (1) produces the inverse function

Z y

−1 dy

x = sn y= . (4)

0 ((1 − y 2 )(1 − k 2 y 2 ))1/2

Z 1

dy

K(k) := . (5)

0 ((1 − y 2 )(1 − k 2 y 2 ))1/2

as y increases from 0 to 1.

(ii) Show that y = sn(x, k) is an odd function of x, and it has period 4K.

This means

sn(x + 4K(k), k) = sn(x, k). (6)

The integral (5) is called a complete elliptic integral of the first kind. The

function sn(x, k) is called a Jacobi elliptic function.

(iii) Show that it can be evaluated by a change of variables and a series

expansion

π/2 π/2

k2

Z Z

du

K(k) = = 1+ sin2 u + · · · du

0 (1 − k 2 sin2 u)1/2 0 2

∞ 2 !

π X 1 · 3 · . . . · (2n − 1)

= 1+ k 2n . (7)

2 n=1

2 · 4 · . . . · 2n

by the equations

cn2 (x, k) = 1−sn2 (x, k) cn(0, k) = 1, dn2 (x, k) = 1−k 2 sn2 (x, k) dn(0, k) = 1.

(8)

Problem 22. Prove the following identity for the Jacobi elliptic functions

sn(u + a, k)dn(u − v, k)sn(v + a, k) = cn(u − v, k) − cn(u + a, k)cn(v + a, k).

122 Problems and Solutions

√

where k and k 0 = 1 − k 2 are the modulus and complementary modulus,

respectively. Show that

Problem 24. The Jacobi elliptic functions sn(x, k), cn(x, k), dn(x, k)

with k ∈ [0, 1] and k 2 + k 02 = 1 have the properties

and

ex − e−x 2

sn(x, 1) = , cn(x, 1) = = dn(x, 1).

ex + e−x ex + e−x

We define

u2 (x, y, k, k 0 ) = cn(x, k)cn(y, k 0 )

u3 (x, y, k, k 0 ) = dn(x, k)sn(y, k 0 ).

(i) Find u1 (x, y, 0, 1), u2 (x, y, 0, 1), u3 (x, y, 0, 1) and calculate u21 (x, y, 0, 1)+

u22 (x, y, 0, 1) + u23 (x, y, 0, 1).

(ii) Find u1 (x, y, 1, 0), u2 (x, y, 1, 0), u3 (x, y, 1, 0) and calculate u21 (x, y, 1, 0)+

u22 (x, y, 1, 0) + u23 (x, y, 1, 0).

Chapter 6

Nonautonomous Systems

d2 u du 2

+a u − 1 + u = b cos(ωt) (1)

dt2 dt

where a 6= 0. Extend the equation into the complex domain and perfom a

singular point analysis. Show that all of its solutions posses only square-

root singularities in the complex time plane.

du

= P (t)u

dt

where P (t) is periodic with principal period T and differentiable. Thus T is

the smallest positive number for which P (t + T ) = P (t) and −∞ < t < ∞.

Can we conclude that all solutions are periodic? For example, consider

du

= (1 + sin t)u.

dt

Problem 3. Solve the initial value problem for the system of linear

differential equations

dc0 1

= iΩe−iφ ei(ω−ν)t c1

dt 2

dc1 1

= iΩeiφ e−i(ω−ν)t c0 .

dt 2

123

124 Problems and Solutions

explicitly on the time t. Then study the special case ω = ν.

d2 q

+ ω 2 (t)q = 0 (1)

dt2

and

d2 ρ 1

+ ω 2 (t)ρ = 3 . (2)

dt2 ρ

Show that under the invertible point transformation

Z t

q(t) 1

Q(T (t)) = , T (t) = 2

ds (3)

ρ(t) ρ (s)

d2 Q

+Q=0 (4)

dT 2

where ρ satisfies (2). We have

dQ dQ dT 1 dq 1 dρ

= = −q 2 (5a)

dt dT dt ρ dt ρ dt

and

dT 1

= 2. (5b)

dt ρ

Thus

dQ 1 1 dq q dρ

= − 2 . (6)

dT ρ2 ρ dt ρ dt

negative-resistance oscillator is given by

di(t)

L + Ri(t) + v(t) = E cos(ωt)

dt

dv(t)

i1 (t) = C , i(t) = i1 (t) + i2 (t)

dt

where the voltage-current characteristic is given by

v 2 (t)

i2 (t) = f (v(t)) ≡ −Sv(t) 1 −

Vs2

Write these equations in dimensionless form using the MKSA-system.

Nonautonomous Systems 125

Hint. Note that 1V = 1m2 s−3 kgA−1 and we have the following dimensions

[R] = 1V A−1 = 1Ohm, [C] = 1AsV −1 , [L] = 1V sA−1 = 1Henry

[v] = [Vs ] = [E] = 1V, [i] = 1A, [t] = 1s, [ω] = 1s−1 .

d2 u du

+k − au + bu3 = A cos(ω̄τ )

dτ 2 dτ

where k, a, b > 0. Find the differential equation under the transformation

r

√ b

t(τ ) = τ 2a, x(t(τ )) = u(τ ) .

a

2

d u du

+α + β exp(−u)(1 − exp(−u)) = k cos(ωt).

dt2 dt

Find the driven Morse oscillator under the transformation

t(τ ) = τ, v(τ ) = exp(−u(t(τ )).

order differential equations

du1 /dt cos(t) − sin(t) u1

= .

du2 /dt sin(t) cos(t) u2

d2 u

= −f (t)u, f (t + T ) = f (t)

dt2

where 2

ω + , 0 ≤ t ≤ π

f (t) :=

ω 2 − , π ≤ t < 2π

and f (t+2π) = f (t). Derive the shape of the Arnold tongues for 0 < 1.

Problem 10. Study the initial value problem of the second order differ-

ential equation

d2 u du

+k + ω 2 u = C1 cos(ωt) + C2 sin(ωt)

dt2 dt

with u(0) > 0 and du(0)/dt > 0.

Chapter 7

Hamilton Systems

N

X p2k

H(p, q) = + V (q) (1)

2mk

k=1

The first term of the right hand side is the kinetic part of the Hamilton

function and the second term is the potential part. Then the Hamilton

equations of motion are given by

dpj ∂H dqj ∂H

=− , = . (2)

dt ∂qj dt ∂pj

d2 q ∂V

=− . (3)

dt2 ∂q

A function I(p(t), q(t), t) is called a first integral if

N

dI X ∂I dpj ∂I dqj ∂I

≡ + + = 0. (4)

dt j=1

∂pj dt ∂qj dt ∂t

N

X ∂I ∂H ∂I ∂H ∂I

− + = 0. (5)

j=1

∂qj ∂pj ∂pj pqj ∂t

126

Hamilton Systems 127

N

X ∂A ∂B ∂A ∂B

{A(p, q), B(p, q)} := − . (6)

∂qk ∂pk ∂pk ∂qk

k=1

{I1 , I2 } = 0.

integrals.

and two equal particles. The Hamilton function for this system can be

written as

p21 p2 1

H(p, q) = + 2 + V0 (ea(q1 −q2 ) + ea(q2 −q1 ) − 2) (1)

2m 2m 2

where V0 and a are constants which fix the scale of the potential. Consider

a canonical transformation to center-of-mass and relative coordinates

1

P := p1 + p2 , p := (p1 − p2 ) (2a)

2

1

Q := (q1 + q2 ), q := q1 − q2 . (2b)

2

Assume that P = 0. Find the Hamilton function for this coordinate system.

1 2 1 2

H(pρ , pζ , ρ, ζ) = p + p + V (ρ, ζ) (1)

2 ρ 2 ζ

with

1 2 1 2 2 ν2 1

V (ρ, ζ) = ρ + λ ζ + 2+ 2 (2)

2 2 2ρ (ρ + ζ 2 )1/2

and

dρ dζ

pρ := , ρζ := . (3)

dt dt

This Hamilton function describes the relative motion of two charged par-

ticles in a Paul trap in the pseudo potential approximation with λ and

ν related to the asymmetry of the time average trapping potential and

the relative angular momentum, respectively. It can be interpreted as the

Hamilton function of a single particle moving in two dimensions, ρ and ζ,

respectively.

128 Problems and Solutions

(i) Show that the equations of motion derived from (1) are

d2 ρ ν2 ρ

2

= 3 −ρ+ 2 , (4)

dt ρ (ρ + ζ 2 )3/2

d2 ζ ζ

= −λ2 ζ + 2 . (5)

dt2 (ρ + ζ 2 )3/2

(ii) The Hamilton function H is conservative and autonomous. Therefore,

E, the total energy of the system, is a constant of the motion. Show that for

arbitrary ν two further integrals of the motion exist for λ = 2 and λ = 21 ,

respectively.

(iii) Show that the first integral F , which applies for the case λ = 2, is

given by

2

ν2ζ

dρ dζ dρ dζ dρ ζ 2

F ρ, , ζ, , ν =ζ −ρ + 2 − ρ ζ + . (6)

dt dt dt dt dt (ρ + ζ 2 )1/2 ρ2

dρ dζ

G ρ, , ζ, , ν = Iρ2 + Iφ2 + ν 2 (ρ2 + ζ 2 ) (7)

dt dt

where 2

ν2

dζ dρ dζ ρ 1

Iρ := +ρ −ζ + 2 2 1/2

− ζ 2ρ (8)

ρ dt dt dt (ρ + ζ ) 4

and

ν dρ dζ

Iφ := − ρ +ζ . (9)

ρ dt dt

Problem 3. Let

r := (x, y, z) (1)

be a triplet of dynamical variables (canonical triplet) which span a three-

dimensional phase space. This is a formal generalization of the conventional

phase space spanned by a canonical pair (p, q). Next introduce two func-

tions, H and G, of (x, y, z), which serve as a pair of Hamilton functions

to determine the motion of points in phase space. We define the following

Hamilton equations

= = = (2)

dt ∂(y, z) dt ∂(z, x) dt ∂(x, y)

or in vector notation

dr ~ × ∇G.

~

= ∇H (3)

dt

Hamilton Systems 129

dF ∂(F, H, G) ~ · (∇H

~ × ∇G).

~

= = ∇F (4)

dt ∂(x, y, z)

denoted by [F, H, G].

(ii) Show that the generalized Poisson bracket is antisymmetric under in-

terchange of any pair of its components. (iii) Show that

dH dG

= 0, =0 (5)

dt dt

i.e., both H and G are constants of motion.

(iv) Show that the orbit of a system in phase space is thus determined as

the intersection of two surfaces,

(v) Show that the velocity field dr/dt (r = (x, y, z)) is divergenceless,

~ · (∇H

∇ ~ × ∇G)

~ ≡0 (7)

and that this amounts to a Liouville theorem in the three dimensional phase

space.

1 2

H(p, q) = (p + e−2q ).

2

Find the Hamilton equations of motion and solve the initial value problem

p(0) = 0, q(0) = 0.

extended as follows: In Nambu mechanics the phase space is spanned by an

n-tuple of dynamical variables ui (i = 1, . . . , n). The equations of motion of

the Nambu mechanics (i.e., the autonomous system of first order ordinary

differential equations) is now constructed as follows: Let Ik : Rn → R

(k = 1, . . . , n − 1) be smooth functions. Then

= , (1)

dt ∂(u1 , u2 , . . . , un )

130 Problems and Solutions

quently, the equations of motion can also be written as (summation con-

vention)

dui

= ijk...` ∂j I1... ∂` In−1 (2)

dt

where ijk...` is the generalized Levi-Cevita symbol and ∂j ≡ ∂/∂uj . Show

that I1 , I2 , . . . , In−1 are first integrals of (1).

muir condensate one finds the following set of equations

d

(i + δ1 )A1 = −Γ(|A0 |2 A1 + A20 A∗2 ) (1a)

dt

d

(i + δ2 )A2 = −Γ(|A0 |2 A2 + A20 A∗1 ) (1b)

dt

d

i A0 = −Γ(A0 (|A1 |2 + |A2 |2 ) + 2A∗0 A1 A2 ) (1c)

dt

where A0 , A1 , A2 are complex quantities and δ1 , δ2 , and Γ are real constants.

(i) Show that system (1) can be derived from a Hamilton function H given

by

H(A, A∗ ) = δ1 |A1 |2 +δ2 |A2 |2 +Γ(|A0 |2 (|A1 |2 +|A2 |2 )+A20 A∗1 A∗2 +A∗2

0 A1 A2 )

(2)

using the canonical equations

dAj ∂H

i = − ∗, j = 1, 2, 3 (3)

dt ∂Aj

(ii) Show that system (1) can also be derived from a Langragian L, where

2

1 X

L(A, Ȧ) = i (Aj Ȧ∗j − A∗j Ȧj ) − H. (4)

2 j=0

(iii) As H does not contain the time explicitly, it is an integral of the motion.

Show that L is invariant under the gauge transformation

Aj → Aj exp(iφ). (5)

(iv) We define

2

!

X ∂C1 ∂C2 ∂C1 ∂C2

{C1 , C2 } := ∗ − . (6)

j=0

∂Aj ∂Aj ∂A∗j ∂Aj

Hamilton Systems 131

Let

2

X

C1 = |Aj |2 , C2 = |A2 |2 − |A1 |2 . (7)

j=0

system. Particles have su(ν) spins as an internal degree of freedom, and

move about on a line interacting through spin-dependent inverse square in-

teractions. We denote by N and a the number of particles and a parameter

for the interaction strength, respectively. The Hamilton operator is (the

units ~ = 1 and 2m = 1 will be employed)

N

X X a2 − aPjk

Ĥ = p̂2j + 2 (1)

j=1

(xj − xk )2

1≤j<k≤N

permutation operator in spin space, and exchanges the spin state of the jth

and the kth particles. As a basis of the su(ν) Lie algebra, we use ν 2 − 1

traceless Hermitian matrices tα which are normalized to be

1

tr(tα tβ ) = δαβ . (2)

2

The commutation relation is

β

X

[tα

j , tk ] = δjk f αβγ tγk (3)

γ

where tα

j acts on the jth particle and f

αβγ

is the structure constant. In

terms of these operators tα

j , the permutation operator Pjk is expressed as

1 X

Pjk := +2 tα α

j tk . (4)

ν α

(i) Show that the Lax operators L and M2 , which are N ×N operator-valued

matrices, are found to be

Pjk

Ljk = δjk p̂j + (1 − δjk )ia , (5)

xj − xk

X Pjl Pjk

(M2 )jk = δjk 2a 2

− (1 − δjk )2a . (6)

(xj − xl ) (xj − xk )2

l6=j

X

[Ĥ, Ljk ] = [L, M2 ]jk = [Ljl (M2 )lk − (M2 )jl Llk ], (7)

l

132 Problems and Solutions

with (2) and (3) yields the Heisenberg equation of motion. The operator

M2 satisfies the sum-to-zero condition

X X

(M2 )jk = (M2 )jk = 0. (8)

j k

lattice can be written in a dimensionless form as

1 2

H(p, q) = (p + p22 + p23 ) + exp(q1 − q2 ) + exp(q2 − q3 ) + exp(q3 − q1 ). (1)

2 1

(i) Show that there are three conserved quantities, the total momentum

P (p, q) = p1 + p2 + p3 (2)

third-order polynomial of the momenta,

1 2

H(px , py , x, y) = px + p2y + (x2 y 2 )1/a (1)

2

where 0 ≤ α ≤ 1. In the limit a → 0 we obtain the hyperbola billiard.

Increasing a means a gradual softening of the billiard walls and when a = 1

we recover the frequently studied x2 y 2 potential. The symmetry group of

this family is C4v .

(i) Show that the periodic orbits in these systems may be described by a

symbolic dynamics using a three letter [2,1,0] alphabet.

(ii) Show that the motion in these horn regions may thus be treated in the

adiabatic approximation.

d2 r e e dr

2

= E(r, t) + × B0 (1)

dt m0 m0 c dt

where the constant magnetic field B0 is directed along the z-axis and

Hamilton Systems 133

(i) Show that from (1) and (2) one obtains the following equations of motion

d2 x 2 e

+ ωH x = E0x sin(kx x + kz z − v0 t) (3a)

dt2 m

d2 z e

= E0z sin(kx x + kz z − v0 t) (3b)

dt2 m

where

E0z kz

β= = = const. (4)

E0x kx

(ii) Find a Hamilton function for system (3).

|x| := x21 + x22 + x23 . (1)

Let

1 2

|y| + V (|x|)

H(y, x) = (2)

2

be a Hamilton function in R6 invariant under the orthogonal group SO(3)

F1 (x, y) = x2 y3 − x3 y2 , F2 (x, y) = x3 y1 − x1 y3 ,

F3 (x, y) = x1 y2 − x2 y1

(4)

are first integrals, defining the angular momentum vector.

(ii) Show that the Hamilton function (2) can be reduced to a one-dimensional

Hamilton function.

of mass m and charge q moving in the field of a magnetic dipole of magnetic

moment M. It is described by the Hamilton function

1

H(p, r) = (p − qA) (1)

2m

where the vector potential A is given by

1

A(r) = (M × r). (2)

r3

(i) Show that by choosing the z axis in the direction of M, i.e. M =

(0, 0, M ), we have

1 ay 2 ax 2

H(px , py , x, y) = px + 3 + py − 3 + p2z . (3)

2 r r

134 Problems and Solutions

1 2 a a2

H(px , py , x, y) = (px + p2y + p2x ) + 3 (ypx − xpy ) + 6 (x2 + y 2 ). (4)

2 r 2r

(iii) Show that the equations of motion for this system are time-independent,

axisymmetric and have also a scale symmetry.

(iv) Show that the following first integrals of motion exist: the Hamilton

function (4) and the projection of the angular momentum in the direction

of M

Lz = xpy − ypx . (5)

(v) Show that if we choose cylindrical coordinates (ρ, φ, z), the Hamilton

function (4) becomes

1 2 p2φ a2 ρ2 1 1

(pρ + 2 + p2z ) +

H(pρ , pφ , pz , ρ, φ, z) = 2 2 3

+ apφ 2

2 ρ 2 (ρ + z ) (ρ + z 2 )3/2

(6)

and pφ = Lz = constant of motion.

function reads

p2x p2y 1

H(px , py , x, y) = + −p . (1)

2µ 2ν x + y2

2

In the anisotropic Kepler problem the effective masses µ and ν, are different.

This system is effectively chaotic when the mass ration µ/ν is sufficiently

high (≥ 5). (i) Show that a symbolic coding can be obtained as follows. We

take a set of trajectories starting on the x positive axis, with zero initial

px momentum. We fix a constant energy surface, e.g. H = −1/2. Then

x labels an unique trajectory, for any 0 ≤ x ≤ 2. Following the time

evolution, one records a bit sequence bj : bi = 0 if the i-th intersection

with the x-axis occurs for x ≤ 0, and bi = 1 otherwise. A coding function

F is then defined via X

F (x) = bi 2−i . (2)

i

(ii) Show that this function is non-decreasing, and shows multifractal fea-

tures.

interactions described by the Hamilton function

N

X p2k

H= +V (1a)

2mk

k=1

Hamilton Systems 135

where

N

1 X

V = Vkl (rkl ) (1b)

2

k,l=1

k6=l

and rkl := |rk − rl |. Show that the first integrals are given by

N

X p2k ∂L

H= + V, pk := = mk vk

2mk ∂vk

k=1

N

X N

X N

X

P= pk , J= rk × pk , G= mk rk − Pt.

k=1 k=1 k=1

2

(ii) Show that if the potential is of the form VKL = CKL /rKL then there

two additional first integrals

N N

X X 1

D = 2Ht − rk · pk , A = Ht2 − (rk · pk t − mk r2k ).

2

k=1 k=1

q

|x| = 1, |x| := x20 + x21 + x22 + · · · + x2n (1)

d2 x

= λx (2)

dt2

where the Lagrange parameter λ is determined such that

|x| = 1 (3)

Show that d2 x/dt2 = −|dx/dt|2 x and that this differential equation can be

derived from the Hamilton function

1 2 2

H(x, y) = |x| |y| . (4)

2

H(pr , pφ , r, φ) = + 2+ . (1)

2 2r 2r2

136 Problems and Solutions

dr ∂H dφ ∂H pφ

= = pr , = = 2 (2a)

dt ∂pr dt ∂pφ r

=− = , =− = . (2b)

dt ∂r r3 dt ∂φ 2r2

Show that the system admits the first integral

p2x p2y

H(px , py , x, y) = + + V (x, y) (1)

2 2

where

V (x, y) = x4 + ax2 y 2 + by 4 . (2)

(i) Show that the system is integrable in the following five cases

(a) b = 1, a = 0, separable in x, y;

(b) b = 1, a = 2, separable in polar coordinates;

(c) b = 1, a = 6, separable in x ± y;

(d) b = 16, a = 12, separable in parabolic coordinates;

(e) b = 8, a = 6, which possesses an invariant quartic in momenta,

C 2 = p4x +4x2 (x2 +6y 2 )p2x −16x3 ypx py +4x4 p2y +4x4 (x4 +4x2 y 2 +4y 4 ). (3)

(ii) Find the singular behaviour of the equation of motions for b = 8 and

a = 6.

degrees of freedom. The Hamilton function is given by

1 2

H(px , py , x, y) = (p + p2y ) + V (x, y) (1)

2 x

where

k 1

V (x, y) = 2

+ (Ax2 + By 2 ) k, A, B > 0 (2)

(x − y) 2

This system is completely integrable only in the symmetric case A = B.

The equations of motion are

d2 x 2k d2 y 2k

= −Ax + , = −By − . (3)

dt2 (x − y)3 dt2 (x − y)3

Hamilton Systems 137

(i) Show that for A = B the equations of motion (3) uncouple under the

transformation

(iii) Show that in the case A = B the solutions possess exactly two Riemann

sheets corresponding to the ± choice in taking the square root of (7).

(iv) The local two-sheetedness of solutions can also be revealed, by singu-

larity analysis. Show that, for general A and B, one can expand x(t) and

y(t) near a (movable) singularity t = t∗ of (3) and that the only leading

behaviour allowed is of the form

singularity, therefore, in this problem occurs when the equations of motion

themselves are singular, at x − y = 0. These singularities are, of course,

finite, since the configuration variables x(t), y(t) are finite at t = t∗ . No

logaritmic terms enter the expansion (8).

1 2 1

H(p, q) = (p1 + p22 + Aq12 + Bq22 ) + q12 q2 − q23 . (1)

2 3

(i) Show that the following three cases are integrable

= −16, B = 16A (2c)

(ii) Find the first integrals.

atom in a uniform electric field F reads (we set electron mass and charge

me = 1, |e| = 1)

1 2 1 2 1

H(px , py , x, y) = p + p − + F x. (1)

2 x 2 y (x2 + y 2 )1/2

(i) Show that the system has simple discrete symmetry: the Hamilton func-

tion is invariant under reflections through the x-axis, y → −y, i.e. under

the canonical transformation

138 Problems and Solutions

1 2

y(u, v) = uv, x(u, v) = (u − v 2 ) (3)

2

in which the Hamilton function (1) takes the form

2

p2v u2 − v 2

1 pu 2

H(pu , pv , u, v) = 2 + − + F . (4)

u + v2 2 2 u2 + v 2 2

and energy E moving in a two-dimensional periodic potential under the

influence of a homogeneous magnetic field

B = Bz = (0, 0, B) (1)

2 2 !

1 eBy eBx

H(px , py , x, y) = px + + py − + V (x, y) (2a)

2m 2 2

where

V (x, y) = V0 (2 + cos(2πx/a) + cos(2πy/a)) (2b)

is an isotropic (superlattice) potential. We measure energy in units of V0 ,

lengths in units of the lattice constant a, and time in units of the inverse

harmonic frequency

2 1/2

4π V0

ω0 := . (3)

a2 m

This leads to scaled variables

e := H ,

H

x

e := 2π ,

x

y

ye := 2π , τ := ω0 t. (4)

V0 a a

(i) Show that the equations of motion then read (omitting the tildes for

convenience)

dx dvx

= vx , = sin x + 2λvy (5a)

dτ dτ

dy dvy

= vy , = sin y − 2λvx (5b)

dτ dτ

corresponding to the Hamilton function

1 1

H(px , py , x, y) = (px + λy)2 + (py − λx)2 + V (x, y) (6)

2 2

Hamilton Systems 139

with

V (x, y) = 2 + cos x + cos y. (7)

(ii) Show that there are two integrable limits in this model, that is λ → 0

and λ → ∞.

(iii) Show that the potential V of (7) has minima at the energy E = 0,

saddle points at E = 2, and maxima at E = 4.

Remark 1. Thus in the regime E ≤ 2 all orbits are restricted to one unit

cell for all values of λ. For E > 2, localized and delocalized orbits may

coexist.

eBa ωc

λ := = (8)

(16π 2 mV0 )1/2 2ω0

coupling between the two degrees of freedom and is related to the bare

cyclotron frequency ωc .

d2 xi ∂U d 2 yi ∂U d2 zi ∂U

mi =− , mi =− , mi =− , i = 1, 2, 3 (1)

dt2 ∂xi dt2 ∂yi dt2 ∂zi

where

2 2 2

U = −m1 m2 F (r12 )−m2 m3 F (r23 )−m3 m1 F (r31 ), mi = 1,

i = 1, 2, 3,

(2)

(xk , yk , zk ) are the coordinates of the k-th body, k = 1, 2, 3, F (r2 ) is an

arbitrary, sufficiently smooth function, and

(i) Show that (1) is invariant under the 10-parameter Galilean group G(1, 3).

(ii) Show that the Lie algebra of this group has a basis consisting of the

following infinitesimal generators

∂ ∂ ∂ ∂ ∂ ∂ ∂

X0 = , X1 = + + , X2 =

+ + ,

∂t ∂x1 ∂x2 ∂x3 ∂y1 ∂y2 ∂y3

∂ ∂ ∂ ∂ ∂ ∂

X3 = + + , X4 = t + + ,

∂z1 ∂z2 ∂z3 ∂x1 ∂x2 ∂x3

∂ ∂ ∂ ∂ ∂ ∂

X5 = t + + , X6 = t + + ,

∂y1 ∂y2 ∂y3 ∂z1 ∂z2 ∂z3

140 Problems and Solutions

∂ ∂ ∂ ∂ ∂ ∂

X7 = yk − zk , X8 = zk − xk , − yk

X9 = xk

.

∂zk ∂yk ∂xk ∂zk ∂yk ∂xk

(4)

Remark. Ten integrals of motion of the spatial three-body problem were

known already to Lagrange

Problem 23. The Kepler problem is the paradigm of the two-body prob-

lem in mechanics. Kepler proposed three empirical laws governing the

motion of planets: (1) the orbit is an ellipse, (2) the area velocity of the

orbit is a constant, (3) the period of revolution and the semimajor axis of

the orbit are related according to T ∝ R3/2 . In reduced coordinates the

equation of motion is

d2 r µr

=− 3 (1)

dt2 r

p

in the standard notation, where r = krk = x21 + x22 + x23 .

(i) Show that the equation of motion (1) can be derived from the Lagrange

function

1 µ

L(ṙ, r) = ṙ · ṙ + (2)

2 r

where · denotes the scalar product.

(ii) Show that the system admits the first integrals

1 µ

E = ṙ · ṙ −

2 r

L = r × ṙ

J = ṙ × L − µr̂

µω̂

K = ṙ −

L

where × denotes the vector product and ω̂ is the unit vector in the direction

of the angular velocity (ω̂ := L̂×r̂). In plane polar coordinates, it coincides

with θ̂.

(iii) Are the first integrals independent?

(iv) Give the Hamilton function H.

1 2

H(p1 , p2 , q1 , q2 ) = (p + p22 ) + V (q1 , q2 )

2 1

where the potential V is given by

k 1

V (q1 , q2 ) = 2

+ (Aq12 + Bq22 ), k, A, B > 0.

(q1 − q2 ) 2

Show that the system is integrable if A = B.

Hamilton Systems 141

Problem 25. (i) Find the first integral of the differential equation

d2 x

+ α + βx + γx2 + x3 = 0 (1)

dt2

where α, β, γ and are constants.

(ii) Show that the differential equation can be derived from a Hamilton

function.

(ii) Find the general solution to the differential equation.

d2 u 2 du

+ + un = 0 (1)

dt2 t dt

which represents in general an anharmonic oscillator subject to damping

dependent upon the velocity.

(i) Show that in the case n = 5 the Emden equation can be derived from

the variational integral

Z t1 2 !

2 1 du 1 6

J= t − u dt. (2)

t0 2 dt 6

Remark. Let

2 1 2 1 6

L(u̇, u, t) = t u̇ − u . (3)

2 6

Then the equation of motion (1) follows from the Euler-Lagrange equation

d ∂L ∂L

− = 0. (4)

dt ∂ u̇ ∂u

(ii) Use Noether’s theorem to show that (1) admits the first integral

2

1 3 6 1 3 du 1 du

I= t u + t + t2 u . (5)

6 2 dt 2 dt

d2 u du

+ β(t) + α(t)um = 0, m 6= −1 (6)

dt2 dt

admits the first integral

2 ! Z t

du 2α m+1 0 0

I= + u exp 2 β(t )dt

dt m+1

142 Problems and Solutions

t0

! !

Z t Z Z t

00 00 0 du

× C + C4 exp − β(t )dt dt − C4 u exp β(t0 )dt0

dt

(7)

exists when α(t) and β(t) satisfy the relation

t0

!

Z t Z t Z

−2/(m+3) 4 0 0 00 00

α exp − β(t )dt −C4 exp − β(t )dt dt0 = C

m+3

(8)

and C and C4 are constants.

d2 q 2 dq

+ + q5 = 0 (1)

dt2 t dt

which is of special significance in astrophysics.

(i) Show that this equation can be obtained from Lagrange’s equation with

a Lagrangian given as

1 2 1 6 2

L(t, q, q̇) = q̇ − q t . (2)

2 6

(ii) Let p := ∂L/∂ q̇. Show that the Hamilton function for (1) is found to

be

1 p2 1

H(p, q, t) = + q 6 t2 . (3)

2 t2 6

Hint: The Euler-Lagrange equation is given by

d ∂L ∂L

− =0 (4)

dt ∂ q̇ ∂q

∂L

H(p, q, t) = q̇ − L (5)

∂ q̇

dp h2 dq h2

= − sin q + (sin 2q − p2 sin q), = p − p cos q (1)

dt 24 dt 12

can be derived from the Hamilton function

1 2 h2

H(p, q) = p + (1 − cos q) + (−2p2 cos q + cos 2q − 1). (2)

2 48

Hamilton Systems 143

dp h2

= − sin q − (p2 sin q + 2 sin 2q) (1a)

dt 24

dq h2

= p + p cos q (1b)

dt 6

where h is a (small) positive constant.

(i) Show that this system is not Hamiltonian, but has the reversibility

property of being invariant under the change of p into −p and t into −t.

(ii) Show that it has the first integral

Z q

p2 sin s + (h2 /3) sin 2s

F (p, q) = 2 1/2

+ 2 3/2

ds. (2)

2(1 + (h /6) cos q) 0 (1 + (h /6) cos s)

3

d2 q dq dq

t 2 = + . (1)

dt dt dt

Show that it has the Hamilton function

1 t2

H(p, q, t) = −4t(q 3 p/2) 2 − 4tq, p = 2q 2 − 2 (2)

q̇ 2

and first integrals

1

I1 (p, q, t) = 2(q 2 − p/2) 2 + 2q

1

I2 (p, q, t) = t2 − q 2 − 2q(q 2 − p/2) 2

1

t2 − q 2 − 2q(q 2 − p/2) 2

I3 (p, q, t) = 1 . (3)

2q + 2(q 2 − p/2) 2

Problem 31. Consider a pendulum with varying length r(t). The total

length is l = r(t) + y(t).

(i) Show that the governing equation is

d2 θ dy dθ d2 y

(l − y) + g sin θ − 2 − 2 sin θ = 0. (1)

dt2 dt dt dt

(ii) Show that linearizing the equation yields

d2 θ g − d2 y/dt2 dy/dtdθ

+ θ−2 = 0. (2)

dt2 l−y l−y

144 Problems and Solutions

that the governing equation is

d2 θ g 1 2

+ − Ω sin(2θ) = 0. (1)

dt2 l 2

(ii) Let

Ω(t) = Ω0 (1 + cos(ωt))

where 1. Linearize (1) and show that

d2 θ g

2

+ − Ω20 − 2Ω20 cos(ωt) − Ω20 2 cos2 (ωt) θ = 0. (2)

dt l

d2 u1

+ u1 + 3au21 + 2bu1 u2 + cu22 = 0 (1)

dt2

d2 u2

+ u2 + bu21 + 2cu1 u2 + 3du22 = 0 (2)

dt2

which represents a class of Hamiltonian systems. Find the first integrals.

Problem 34. Find the Hamilton function H(pθ1 , pθ2 , θ1 , θ2 ) of two pen-

dulums coupled by a massless spring. Write down the Hamilton equations

of motion. Show that

d

H = 0.

dt

1 2 1

H(p, q) = (p1 + p22 ) + k(q1 − q2 )2

2m 2

where k is a positive constant. Find the equations of motion and solve them

for the initial values

Draw the phase portrait (q1 (t), p1 (t)) and (q2 (t), p2 (t)) for k = m = 1 and

q10 = 1, q20 = 1, p10 = 1, p20 = 2.

ferential equations. These are the multiple three-wave interaction system

Hamilton Systems 145

teracting with each other through the single common member u. These

systems can be derived from a Hamilton function

n n

1 X X

H(b, c, u) = i j (cj c∗j − bj b∗j ) + i αj (ub∗j cj + u∗ bj c∗j ) (1)

2 j=1 j=1

n

!

∂f ∂g ∂f ∂g X ∂f ∂g ∂f ∂g ∂f ∂g ∂f ∂g

{f, g} := − + − ∗ + − ∗ .

∂u ∂u∗ ∂u∗ ∂u j=1 ∂bj ∂b∗j ∂bj ∂bj ∂cj ∂c∗j ∂cj ∂cj

(2)

Thus (u, u∗ ), (bj , b∗j ), (cj , c∗j ) are pairs of canonical variables (where ∗ means

complex conjugate). The arbitrary real parameters αj , j play the role of

frequencies.

(i) Show that from (1) and (2), with the αj = 1, it follows that the Hamil-

ton’s equations of motion are

n

du X dbj 1 dcj 1

=i bj c∗j , = − ij bj +iucj , = ij cj +iu∗ bj , and c.c.

dt j=1

dt 2 dt 2

(3)

where c.c. stands for complex conjugate. (ii) Show that they have the Lax

representation

dL

= {L, H}(t) ≡ [A, L](t) (4)

dt

in which L and A are the (2n + 2) × (2n + 2) matrices

π σ1 · · · σ n 0 ωσ1 · · · ωσn

1 τ1 1 I 0 1 τ1 ω

L := .. .. , A := i .. .

2 . . 2 . 0

τn 0 n I τn ω

(5)

The π, σj and τj are the 2 × 2 matrices

∗

−c∗j −bj −c∗j

0 −2u bj

π := , τj := , σj :=

2u∗ 0 −cj −bj −cj b∗j

(6)

and ω = diag(−1, 1). I is the 2 × 2 identity matrix.

(iv) Show that Hamilton function (1) is given by

2

H= itr(L3 ) + const. (7)

3

where tr denotes the trace.

146 Problems and Solutions

du ∂H

= {u, H} = . (8)

dt ∂u∗

the Hamilton function

N N

1X 2 X

H(p, q) = pj + exp(qj − qj+1 )

2 j=1 j=1

(i) Write down the Hamilton equations of motion.

(ii) We define variables aj (t), bj (t) (j = 1, 2, . . . , N ) with

1 1 1

aj := exp (qj − qj+1 ) , bj := pj .

2 2 2

(iii) Show that for the variables aj , bj we can find a Lax representation

dL

= [A, L](t) ≡ (AL − LA)(t)

dt

where L and A are N × N matrices.

(iv) Show that

dL

= [A, L](t)

dt

where L := AJ + JA with

0 u3 −u2 c1 0 0

A = −u3 0 u1 , J =0 c2 0

u2 −u1 0 0 0 c3

for u1 , u2 , u3 .

Hamilton Systems 147

du1

= u1 (u2 − un )

dt

du2

= u2 (u3 − u1 )

dt

..

.

dun

= un (u1 − un−1 ).

dt

(i) Find a Lax representation for the case n = 3 and the first integrals using

trLn .

(ii) Find the Lax representation for the case n = 4 and the first integrals.

(iii) Find the Lax representation for arbitrary n.

1 2 1

H(q1 , p1 , q2 , p2 ) = (p + q12 + p22 + q22 ) − q23 .

2 1 3

Find the the Hamilton equations of motion and show that they admit the

periodic orbits

Γ0 : γ0 (t) = (q1 (t), p1 (t), q2 (t), p2 (t)) = (k cos t, −k sin t, 0, 0)

p p

Γ1 : γ1 (t) = (q1 (t), p1 (t), q2 (t), p2 (t)) = ( k 2 − 1/3 cos t, − k 2 − 1/3 sin t, 1, 0)

which lie on the surface

2

q12 + p21 + q22 + p22 − q23 = k 2

3

for k 2 > 1/3.

2

1 dx

L(x, dx/dt, t) = eγt − eγt V (x, t)

2 dt

describing a dynamical system with damping.

(i) Find the equations of motion.

(ii) Find the corresponding Hamilton function.

the Hamilton function

N N

1X 2 X

H(p, q) = pj + exp(qj − qj+1 )

2 j=1 j=1

148 Problems and Solutions

(i) Write down the Hamilton equations of motion.

(ii) We define variables aj (t), bj (t) (j = 1, 2, . . . , N ) with

1 1 1

aj := exp (qj − qj+1 ) , bj := pj .

2 2 2

(iii) Show that for the variables aj , bj we can find a Lax representation

dL

= [A, L](t) ≡ (AL − LA)(t)

dt

where L and A are N × N matrices.

(iv) Show that

dL

= [A, L](t)

dt

where L := AJ + JA with

0 u3 −u2 c1 0 0

A = −u3 0 u1 , J =0 c2 0 .

u2 −u1 0 0 0 c3

0 1 0 u1

u2 0 1 0

L=

0 u3 0 1

1 0 u4 0

and

u1 + u2 0 1 0

0 u2 + u3 0 1

A= .

1 0 u3 + u4 0

0 1 0 u4 + u1

(i) Show that L and A are the Lax representation

dL

= [A, L](t) ≡ [A(t), L(t)]

dt

Hamilton Systems 149

du1

= u1 (u2 − u4 )

dt

du2

= u2 (u3 − u1 )

dt

du3

= u3 (u4 − u2 )

dt

du4

= u4 (u1 − u3 ).

dt

(ii) Show that

I1 (u) = u1 + u2 + u3 + u4

I2 (u) = u1 u2 u3 u4

I3 (u) = u1 u3 + u2 u4

(iii) Which first integrals do we find from Lk , where k = 2, 3, . . .?

to the uniform constant magnetic field is described in the classical case by

system of second order ordinary differential equations

d2 x dy d2 y dx

=ω , = −ω

dt2 dt dt2 dt

where ω is a constant frequency. Show that this system of differential

equations can be derived from the Hamilton function

2 2

1 1 1 1

H(px , py , x, y) = px + ωy + py − ωx .

2 2 2 2

moving in a one-dimensional potential V (x) is given by

2 !

γt m dx

L(x, dx/dt, t) = e − V (x)

2 dt

150 Problems and Solutions

where

N X3

X p2kj

Hkin (q) =

j=1

2mk

k=1

and p = (p11 , p12 , p13 , p21 , . . . , pN 3 ), q = (q11 , q12 , q13 , q21 , . . . , qN 3 ) with p,

q are the corresponding momenta and positions. Here V (q) is a differen-

tiable potential. The Hamilton equations of motion are

=− , = .

dt ∂qkj dt mk

Φt (p(0), q(0)), where Φt denotes the flow and (p(0), q(0) the initial con-

ditions. Let R denote the momentum reversion, i.e. R(p, q) = (−p, q).

Show that the flow Φt is R-reversible, i.e.

R ◦ Φ−t ◦ R = Φt .

N X3 3

N X

X p2α,k X

H(p1 , . . . , pN , q1 , . . . , qN ) = + Uαβ (|qαk − qβk |)

α=1

2mα

k=1 α<β k=1

with k = 1, 2, 3. N is the number of particles. Show that the Hamilton

function admits the first integrals

N

X

Pk = pαk , k = 1, 2, 3 total momentum

α=1

N X

X 3

Ii = εik` qαk pα` , i = 1, 2, 3 total angular momentum

α=1 k,`=1

N

X

Gk = (pαk t − mα qαk ), k = 1, 2, 3 centre of mass

α=1

1 even permutation of (1, 2, 3)

εij` := −1 odd permutation of (1, 2, 3)

0 otherwise

Hamilton Systems 151

Problem 49. From the previous problem consider the case N = 2 (Kepler

problem). Assume that the potential U depends only on q, where q :=

q1 − q2 , q = kqk and

m1 m2

U (q) = −γ .

q

with the gravitational constant γ = 6.685 · 10−8 cm3 gsec−2 . Find Newton’s

equation of motion.

Problem 50. Consider the Newton’s equations of motion from the pre-

vious problem. The centre of mass with N mass points with masses mj

(j = 1, 2, . . . , N ) and vectors qj is defined as

PN

j=1 mj qj

R := PN .

j=1 mj

motion for this case.

m 1 m 2 d2 q d2 q δ

2

= m 2

= −∇q U = − 3 q.

m1 + m2 dt dt q

Show that the Lenz vector defined by

p×J q

L := −

δm q

is a first integral of this equation, where J := q × p and δ = γm1 m2 .

and associated momenta of a Hamilton system in a 6-dimensional phase

space with Hamilton function

1 T

H(q, p) = T (p) + V (q) ≡ p p + V (q).

2

A fictive time τ is introduced through the ordinary differential equation

dt

= g(q, p)

dτ

defining a Sundman transformation, where g is a positive scalar monitor

function which is taken to be small if the solution of the Hamilton system is

evolving rapidly and τ is the fictive time which is used for all computation.

Two new conjugate coordinates are introduced

q t := H(q0 , p0 ), pt := t.

152 Problems and Solutions

terms of the fictive time τ , one applies a Poincaré transformation. Us-

ing the Poincareé transformation the system (q, q t , p, pt ) is Hamiltonian

and evolves in the fictive time, τ , with Hamilton function

Let q

g(q) = q12 + q22 + q32 .

1 2 1

H(p, q) = (p + p22 ) + k(q1 − q2 )2

2m 1 2

where k is a positive constant. Find the equations of motion. Solve the

initial value problem

Draw the phase portrait (q1 (t), p1 (t)) and (q2 (t), p2 (t)) for k = m = 1 and

q10 = 1, q20 = 1, p10 = 1, p20 = 2.

1 2

H(p, q) = (p + p22 ) + Uε (q)

2 1

where 0 ≤ ε ≤ 1 and the potential is given by

1−ε 4 1

Uε (q) = (q1 + q24 ) + q12 q22 .

12 2

Show that the potential Uε (q) admits the C4v point group.

Problem 55. The Hamilton function for a linear chain with cyclic bound-

ary condition (N ≡ 0) is given by

N N

1 X 2 kX

H(p, q) = pj + (qj − qj−1 − a)2 .

2m j=1 2 j=1

Hamilton Systems 153

tion

N N

1 X 2 X

H(p, q) = pj + k (qj2 − q1 qj−1 ).

2m j=1 j=1

dqj ∂H dpj ∂H

= , =− , j = 1, 2, . . . , N.

dt ∂pj dt ∂qj

Let N = 3. Then the equations of motion can be written in matrix form

dq1 /dt 0 0 0 1/m 0 0 q1

dq2 /dt 0 0 0 0 1/m 0 q2

dq3 /dt 0 0 0 0 0 1/m q3

= .

dp1 /dt −2k k k 0 0 0 p1

dp2 /dt k −2k k 0 0 0 p2

dp3 /dt k k −2k 0 0 0 p3

Find the eigenvalues and normalized eigenvectors of the 6 × 6 matrix on

the right-hand side. Use the normalized eigenvectors to rotate this matrix

into diagonal form.

p2 q2 q4

H(p, q) = − + .

2 2 4

Show that there is saddle and centers. Show that there are two homoclinic

orbits.

tion around the vortex), κj (j = 1, 2, . . . , N ). We denote the cartesian

coordinates of the vortices in a flow plane by (xj , yj ), (j = 1, 2, . . . , N ).

Then the dyanamics of the vortices is given by the system

dxj ∂H

κj =

dt ∂yj

dyj ∂H

κj =−

dt ∂xj

with the Hamilton function

1 X

q

H(x, y) = − κj κk ln(ajk ), ajk := (xk − xj )2 + (yk − yj )2 .

2π

j<k

154 Problems and Solutions

kind

d2 u

= 6u2 + t.

dt2

Then u(t) is meromorphic on the complex plane C and the function τ (t)

defined by

2

d (dτ /dt)2 − τ (t)d2 τ /dt2

f (z) = − 2

log τ (t) =

dt τ (t)2

equivalent to the Hamiltonion system

du ∂H dv ∂H

= , =−

dt ∂v dt ∂u

i.e. find the Hamilton function H(u, v).

Problem 59. (i) Show that the second Painlevé equation PII (α) (α ∈ C)

is the Hamilton system

dq ∂H dp ∂H

= , =−

dt ∂p dt ∂q

where the Hamilton function is

p2

t

H(p, q, t, α) = − q2 + p − αq.

2 2

(ii) Let (p, q) be a solution to PII (α). Show that birational canonical trans-

formations defined by

α

s(p, q) = (q + , p), π(p, q) = (−q, −p + 2q 2 + t)

p

give solutions to PII (−α) and PII (1 − α), respectively.

Problem 60. The equation of motion for a particle of unit mass moving

in a conservative central force field is given by the second order differential

equation

d2 r

= f (r)r

dt2

p

where r := x21 + x22 + x23 .

(i) Show that the angular momentum

dr

L := r ×

dt

Hamilton Systems 155

(ii) Show that the total energy given by

1 dr dr 1 r

Z

H= · − f ()d

2 dt dt 2

is a constant of motion, where · denotes the scalar product.

Problem 61. (i) Show that the second Painlevé equation PII (α) (α ∈ C)

is the Hamilton system

dq ∂H dp ∂H

= , =−

dt ∂p dt ∂q

where

p2

t

H(q, p, t, α) = − q2 + p − αq.

2 2

(ii) Let (q, p) be a solution to PII (α). Show that the birational canonical

transformations defined by

α

s(q, p) = (q + , p), π(q, p) = (−q, −p + 2q 2 + t)

p

give solutions to PII (−α), PII (1 − α), respectively.

1 2 α

H= p +

2m r

possesses the angular momentum L = r × p and the Lenz vector

1

A= (p × L − L + p) + αr̂

2m

as vector invariants, where r̂ := r/r.

function (Calogero potential)

HC (p1 , p2 , p3 , q1 , q2 , q3 ) =

1 2 2 2 1 g1 g2 g3

(p +p +p )+ ((q1 −q2 )2 +(q2 −q3 )2 +(q3 −q1 )2 ))+ + + .

2 1 2 3 6 (q1 − q2 )2 (q2 − q3 )2 (q3 − q1 )2

Transform the Hamilton function to the centre of mass and Jacobi coordi-

nates R, x, y

1

R(q1 , q2 , q3 ) = (q1 + q2 + q3 )

3

156 Problems and Solutions

1

x(q1 , q2 , q3 ) = √ (q1 − q2 )

2

1

y(q1 , q2 , q3 ) = √ (q1 + q2 − 2q3 ).

6

Show that the centre of mass only executes free motion, and the (x, y)

dynamics is described by the reduced Hamilton function

1 2 1 g1 2g2 2g3

H(px , py ) = (p + p2y ) + (x2 + y 2 ) + 2 + √ + √ .

2 x 2 2x (x − 3y) 2 (x + 3y)2

1 1 g1 g2 g3

H = (p21 +p22 +p23 )+ ((q1 −q2 )2 +(q2 −q3 )2 +(q3 −q1 )2 )+ + +

2 6 (x1 − x2 ) (q2 − q3 ) (q3 − q1 )2

2 2

to the centre of mass and Jacobi coordinates

1

R(q1 , q2 , q3 ) = (q1 + q2 + q3 )

3

1

x(q1 , q2 , q3 ) = √ (q1 − q2 )

2

1

y(q1 , q2 , q3 ) = √ (q1 + q2 − 2q3 ).

6

Inversion P : (q1 , q2 , p1 , p2 ) 7→ (−q1 , −q2 , −p1 , −p2 )

Time reversal T : (q1 , q2 , p1 , p2 ) 7→ (q1 , q2 , −p1 , −p2 )

Reflection S1 : (q1 , q2 , p1 , p2 ) 7→ (−q1 , q2 , −p1 , p2 ).

Does the Hamilton function

1 2 1 1

H(q1 , q2 , p1 , p2 ) = (p + p22 ) + (q12 + q22 ) + c q14 q24

2 1 2 4

satisfies these symmetries?

Problem 66. Consider the Hamilton function H for a three body problem

1 2 1 2 1 2

p +

H(p1 , p2 , p3 , q1 , q2 , q3 ) = p + p +V (q1 −q2 , q2 −q3 , q3 −q1 ).

2M 1 2M 2 2m 3

Show that the Hamilton function and equations of motion can be simplified

by introducing Jacobi variables

√

M (q1 + q2 ) + mq3 m

R= , x = q2 − q1 , y = √ (2q3 − q1 − q2 ).

2M + m 2M + m

Hamilton Systems 157

equations can be written as

dx

= J(x)∇H(x)

dt

where x = (x1 , x2 , . . . , xn )T , J, H are differentiable functions and J an

antisymmetric n × n matrix. Show that dH/dt = 0.

1 2 1 1

H(p, q) = (p + p22 ) + ω 2 (q12 + q22 ) + g 2 (q1 q2 )2

2 1 2 2

with H = H0 + H1 , where

1 2 1 1 2

H0 (p, q) = (p1 + p22 ) + ω 2 (q12 + q22 ), H1 (p, q) = g (q1 q2 )2 .

2 2 2

(i) Introduce the new variables Ji , ϕi (i = 1, 2)

(ii) Introduce the variables

1

j1 = J1 + J2 , φ1 = (ϕ1 + ϕ2 )

2

1

j2 = J1 − J2 , (ϕ1 − ϕ2 )

φ2 =

2

and write down the Hamilton equations of motion. Find the Hamilton

equations of motion for H0 . Discuss.

(iii) Calculate

Z 2π

1

H 1 (j, φ2 ) = H1 (j, φ)dφ1 .

2π 0

This means we average the Hamilton function H1 (j, φ) over the fast variable

and extracting the secular part of H1 . Discuss the Hamilton equations of

motion for the Hamilton function H = H0 + H 1 .

the form

dp1 ∂H ∂H

= p2 − p3

dt ∂`3 ∂`2

dp2 ∂H ∂H

= p3 − p1

dt ∂`1 ∂`3

158 Problems and Solutions

dp3 ∂H ∂H

= p1 − p2

dt ∂`2 ∂`1

d`1 ∂H ∂H ∂H ∂H

= p2 − p3 + `2 − `3

dt ∂p3 ∂p2 ∂`3 ∂`2

d`2 ∂H ∂H ∂H ∂H

= p3 − p1 + `3 − `1

dt ∂p1 ∂p3 ∂`1 ∂`3

d`3 ∂H ∂H ∂H ∂H

= p1 − p2 + `1 − `2

dt ∂p2 ∂p1 ∂`2 ∂`1

with the Hamilton function

3

1 X

H(p, `) = (ajk `j `k + 2bjk `j pk + cjk pj pk ).

2

j,k=1

Gj (t) := tPjkin − M Rj , j = 1, 2, 3

where

N N N

X X 1 X

Pjkin := pkj , M := mk , Rj := mk qkj

M

k=1 k=1 k=1

N X3 N 3

X p2kj 1 X X

H(p, q) = + Vk` (|qk − q` |).

j=1

2mk 2 j=1

k=1 k,`=1

k6=`

n

X p2j

H(p, q) = + U (q)

j=1

2

the classical phase space volume at energy E of a smooth Hamilton function

is given by Z

V (E) = Θ(E − H(p, q))dn pdn q

R2n

Hamilton Systems 159

(i) Consider the transformation

p = E 1/2 p0 , q = E 1/n q0

p0 = E −1/2 p, q0 = E −1/n q.

(ii) Calculate V (E) with the assumption that E > 0. Find the asymptotic

behaviour.

eigenvalue equation (MKSA-system)

~2 2 ~2 2 ~2 2 Ze2 Ze2

− ∇R 0 − ∇R 1 − ∇R 2 − −

2M 2m 2m 4π0 |R0 − R1 | 4π0 |R0 − R2 |

2

e

+ u(R0 , R1 , R2 ) = Eu(R0 , R1 , R2 )

4π0 |R1 − R2 |

where R0 = (R01 , R02 , R03 )T is the position vector of the nucleus of mass

M , and R1 = (R11 , R12 , R13 )T and R2 = (R21 , R22 , R23 )T are the position

vectors of the two electrons of mass m and Z = 2. The Jacobi coordinates

are given by

r = (R1 − R0 )/aµ

x = Λ(R2 − R0 − y(R1 − R0 ))/aµ

X = Λ(R0 + y(R1 + R2 − R0 ))/aµ

mM

µ= , y := µ/M, Λ := 1/(1 − y 2 )

m+M

and aµ = (m/µ)a0 is the reduced Bohr radius with a0 = (4π0 ~2 )/(me2 ).

Thus r, x, X are dimensionless.

(i) Find the inverse of this transformation.

(ii) Express the Hamilton operator

~2 2 ~2 2 ~2 2

Ĥ = − ∇R0 − ∇R1 − ∇

2M 2m 2m R2

Ze2 Ze2 e2

− − +

4π0 |R0 − R1 | 4π0 |R0 − R2 | 4π0 |R1 − R2 |

in this coordinates.

160 Problems and Solutions

circular wire of radius r. The wire rotates with constant frequency ω about

a vertical axis parallel to the earth’s gravitational field. Consider the bi-

furcation parameter µ := ω 2 r/g. Find the value µc of the bifurcation

parameter for which there is a bifurcation. The kinetic energy is

2 !

mr2 dθ 2 2

T (θ, θ̇) = + ω sin θ

2 dt

V (θ) = mgr(1 − cos θ)

with the Lagrange function L = T − V .

1 2

H(θ, p, t) = p + mB0 cos(θ) sin(ωt)

2I

which depends explicitly on time and B = B0 sin(ωt) is a time periodic

magnetic field. I is the moment of inertia of the dipole and m the dipole

moment. Find the equation of motion. Does the system show chaotic

behaviour depending on B0 ?

Problem 75. (i) Show that the second order ordinary differential equa-

tion 2

d2 u

du

1+ −u =0

dt dt2

can be derived from the Lagrange function

p

L(u, u̇) = u (u̇)2 + 1.

(ii) Setting u(t) = exp(v(t)) show that the differential equation takes the

form

d2 v

= e−2v(t) .

dt2

d2 x dx

+ c1 + c2 x + x 3 = 0

dt2 dt

where c1 , c2 are constants. Show that the equation of motion can be derived

from the explicitly time-dependent Lagrange function

1 c1 t 2

L(t, x(t), ẋ(t)) = e ẋ − ec1 t V (x)

2

Hamilton Systems 161

where Z x

V (x) = f (s)ds

0

(ii) Show that the corresponding Hamilton function is given by

1 −c1 t 2

H(t, x(t), p(t)) = e p + ec1 t V (x).

2

function

p2A p2 p2

H= + B + C + VA (qB − qC ) + VB (qC − qA ) + VC (qA − qB ).

2mA 2mB 2mC

Let M = mA + mB + mC .

(i) Are the total momentum

P = pA + pB + pC

1

S= (mA qA + mB qB + mC qC )

M

are constants of motions?

(ii) Show that the centre of mass can be separated out.

q

L(φ(t), θ(t), φ̇(t), θ̇(t)) = r (φ̇)2 sin2 (θ) + (θ̇)2 .

∂L d ∂L ∂L d ∂L

− = 0, − = 0.

∂θ dt ∂ θ̇ ∂φ dt ∂ φ̇

Write down the Euler-Lagrange equation and solve the initial value prob-

lem.

162 Problems and Solutions

Bibliography 163

Bibliography

Books

An introduction to Dynamical Systems, Cambridge University Press, 1990

Dynamical Systems: Differential equations, maps and chaotic behaviour,

Chapman and Hall, 1992

Berlin, 1960

Davis H. T.

Introduction to Nonlinear Differential and Integral Equations, Dover, New

York, 1962

Solving Ordinary Differential Equations I, Nonstiff Problems, second re-

vised edition, Springer, 1993

Ince E. L.

Ordinary Differential Equations, Dover, New York, 1926

Steeb W.-H.

The Nonlinear Workbook, fifth edition, World Scientific Publishing, Singa-

pore, 2011

Steeb W.-H.

Problems and Solutions in Theoretical and Mathematical Physics, Third

Edition, Volume I: Introductory Level

World Scientific Publishing, Singapore (2009)

Steeb W.-H.

Problems and Solutions in Theoretical and Mathematical Physics, Third

Edition, Volume II: Adanced Level

World Scientific Publishing, Singapore (2009)

Index

Abel’ differential equation, 5 61

Adiabatic approximation, 132 Epidemics, 82

Air resistance, 25 Ermakov-type system, 87

Airy function, 39 Euler-Lagrange equation, 141, 142

Anisotropic Kepler problem, 134

Arnold tongues, 125 First integral, 48

Fixed point, 1

Bendixon’s theorem, 51 Fixed points, 48

Bernoulli equation, 3, 4 Flow box theorem, 102

Bessel’s equation, 46 Free-particle equation, 25

Boltzmann’s equation, 83

Brachystrone problem, 7 Gauge transformation, 130

Brusselator model, 60 Generalized Poisson bracket, 129

Generalized Riccati equation, 4

Calogero-Moser system, 136 Geodesic flow, 69, 135

Canonical equations, 130 Goodwin model, 52

Centre of mass, 151 Gradient system, 80

Centre of mass system, 151 Green’s theorem, 51

Coagulation equation, 108

complete elliptic integral of the first Hénon-Heiles model, 137

kind, 121 Halphen-Darboux system, 71

Curvature, 87 Hamilton equations of motion, 126

Cycloide, 59 Heisenberg spin chain, 78

Hill’s equation, 125

Darboux transformation, 41 Hodographic transformation, 17

Darboux-Halphen system, 70 Hopf bifurcation, 113

Dulac function, 61 Hopf bifurcation theorem, 55, 59

Hydrogen atom, 137

Eigenvalue problem, 26

Ellipsoid, 81 Inverse error function, 8

Elliptic cylindrical coordinates, 122 invertible point transformation, 25

Elliptic function of Weistrass, 117 Involution, 127

Elliptic integral, 114

Emden equation, 141 Jacobi coordinates, 156, 159

Emden’s equation, 142 Jacobi elliptic functions, 121

164

Index 165

Jacobi variables, 156 rotating wave approximation, 80

Jacobian determinant, 3

Jaynes-Cummings model, 77 Schrödinger equation, 23

Schwarzian derivative, 75

Kepler problem, 140, 151 Schwarzschild metrix, 24

Kronecker product, 69 Secular terms, 27

Kuramoto differential equation, 74 Selkov model, 53

Semi-parabolic coordinates, 138

Lenz vector, 151 Stokes law, 25

Lie derivative, 54 Symbolic dynamics, 132

Lie series, 8

Lie series expansion, 2 Taylor series expansion, 7

Limit cycle, 31 Thomas-Fermi model, 27

Logarithmic derivative, 26 Toda lattice, 127, 146, 147

Logistic equation, 3 Torsion, 87

Lorenz equations, 75

Lorenz model, 72, 73, 76, 85, 87, 89, Van der Pol equation, 27, 46, 51, 96,

99, 103 123

Lotka Volterra model, 52 Van der Pol oscillator, 51, 58, 59

Lotka-Volterra system, 59 variational equation, 1

Vector field, 3

Möbius band, 93 Volterra’s dynamics, 76

Mathieu differential equation, 92

Maxwell-Bloch equations, 80 WKB approximation, 31

Modified Emden equation, 29

modulus, 121

Morse oscillator, 125

Motion for a charged particle, 132

Padé approximation, 7

Painlevé analysis, 29

Painlevé equation, 154

Painlevé transcendent, 28

Paul trap, 127

Picard’s method, 10

Pinney equation, 26

Point transformation, 3, 6

point vortices, 57, 82

Poisson bracket, 127, 145

Polar coordinates, 50, 86

Ricatti equation, 26

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