Existence and Uniqueness

1 Lipschitz Conditions
We now turn our attention to the general initial value problem
dy
= f (t, y)
dt
y(t0 ) = y0 ,

where f is a differentiable function. We would like to know when we have existence of

a unique solution for given initial data. One condition on f which guarantees this is the
following. Given a subset S of the (t, y)-plane, we say that f is Lipschitz with respect to y
on the domain S if there is some constant K such that

|f (t, y2 ) − f (t, y1 )| ≤ K|y2 − y1 | (1)

for every pair of points (t, y1 ) and (t, y2 ) in S. The constant K is called the Lipschitz constant
for f on the domain S.
Example 1.1. Let f (t, y) = 3y + 2. Then |f (t, y2 ) − f (t, y1 )| = 3|y2 − y1 | so f is Lipschitz
with constant 3.
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Example 1.2. Let f (t, y) = ty 2 . Then since |f (t, y2 ) − f (t, y1 )| = t|y2 + y1 ||y2 − y1 | is
not bounded by any constant times |y2 − y1 |, f is not Lipschitz with respect to y on the
domain R × R. However f is Lipschitz on any rectangle R = [a, b] × [c, d] since we have
t|y1 + y2 | ≤ 2 max{|a|, |b|} · max{|c|, |d|} on R.
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The following lemma gives a simple test for a function to be Lipschitz with respect to y.
Lemma 1.1. Suppose f is continuously differentiable with respect to y on some closed rect-
angle R. Then f is Lipschitz with respect to y on R.
Proof. Since ∂f /∂y is continuous on the closed and bounded set R, it attains a maximum
and a minimum on R. Therefore
¯ ¯
¯ ∂f ¯
K = max ¯ (t, y)¯¯ < ∞.
¯
(t,y)∈R0 ∂y

So given (t, y1 ) and (t, y2 ) in B0 , the Mean Value Theorem implies that there is some y3
between y1 and y2 such that
¯ ¯
¯ ∂f ¯
|f (t, y2 ) − f (t, y1 )| = ¯ (t, y3 )¯¯ |y2 − y1 | ≤ K|y2 − y1 |.
¯
∂y

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Example 1.3. Let f (t, y) = |t|ety +t sin(t+2y). Then ∂f
∂y
= t|t|ety +sin(t+y)−2t cos(t+2y),
which is continuous on any rectangle R. Therefore f is Lipschitz on any rectangle R.
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Note that the converse of Lemma 1.1 is false. That is, Lipschitz with respect to y does
not imply differentiable with respect to y.

Example 1.4. Let f (t, y) = t|y| on R = [−2, 2] × [−2, 2]. Then since

|f (t, y2 ) − f (t, y1 )| = |t|||y2 | − |y1 || ≤ |t||y2 − y1 |

∂f
f is Lipschitz with respect to y on R, with Lipschitz constant L = 2. However, ∂y
is not
continuous on R.
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We now state the main theorem about existence and uniqueness of solutions.

Theorem 1.1. Suppose f (t, y) is continuous in t and Lipschitz with respect to y on the
domain R = [a, b] × [c, d]. Then, given any point (t0 , y0 ) in R, there exist ² > 0 and a unique
solution y(t) of the initial value problem

dy
= f (t, y), y(t0 ) = y0
dt
on the interval (t0 − ², t0 + ²).

Note that Theorem 1.1 asserts only the existence of a solution on some interval, which
could be quite small in general.

Example 1.5. Consider the equation dy dt

= y 2 . Since f (t, y) = y 2 is Lipschitz on any
rectangle in the (t, y)-plane, by Theorem 1.1 for any initial data y(t0 ) = y0 ∈ R there is a
unique solution on some interval. In this case we can find the solutions explicitly. We can
rewrite the equation µ ¶
dy/dt d −1
=1 =⇒ = 1.
y(t)2 dt y(t)
Integrating from 0 to t gives
1 1 y0
− + =t =⇒ y(t) = .
y(t) y0 1 − y0 t

Now suppose y0 > 0. Then the solution blows up to infinity as t approaches 1/y0 . Hence the
interval containing 0 on which the solution exists is (−∞, 1/y0 ). For large y0 , the interval of
positive time for which the solution exists is very small.
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 dy
Example 1.6. Consider dt
= y 2/3 . Solving this separable equation gives
µ ¶3
t 1/3
y(t) = + y0 .
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For y0 = 0 we therefore have the solution y(t) = t3 /27. However y(t) ≡ 0 is also a solution
with initial data y0 = 0, so we have non-uniqueness of solutions for this equation. The
problem of course is that f (y) = y 1/3 is not Lipschitz. There is no Lipschitz constant in any
interval containing zero since

|f (t, y) − f (t, 0)| 1

= 2/3 → ∞ as y → 0.
|y − 0| |y |

Note however that y0 = 0 is the only initial data for which we have non-uniqueness. For
if y0 > 0 (the same reasoning applies for y0 < 0), then on the interval J = (y0 /2, ∞) the
derivative of f with respect to y is bounded. For ∂f /∂y = 23 y −1/3 is decreasing in y on J
and thus
2
|∂f /∂y(t, y)| ≤ ≡ K.
3(y0 /2)1/3
So by the Mean Value Theorem, given any x, y ∈ J there is some z between x and y such
that
|f (x) − f (y)|
= |fy (z)| ≤ K
|x − y|
and therefore f is Lipschitz on J with constant K. Hence Theorem 1.1 implies the existence
of a unique solution of dy
dt
= y 2/3 y(0) = y0 on some time interval.
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To prove the existence and uniqueness theorem, we need some machinery from real anal-
ysis.

2 Metric Spaces
A metric space is a set X, together with a distance function (or metric) d : X × X → R
that satisfies the following conditions:

1. d(x, y) ≥ 0 and d(x, y) = 0 if and only if x = y

2. d(x, y) = d(y, x)

3. d(x, z) ≤ d(x, y) + d(y, z) (triangle inequality)

Example 2.1. X = Rn , together with the usual Euclidean distance d(x, y) = |x − y| is a

metric space.
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 We say a sequence {xk } in a metric space X converges to x in X if lim d(xk , x) = 0.
k→∞
That is, xk converges to x if for every ² > 0 there is some N such that k > N implies
d(xk , x) < ². We then write lim xk = x, or simply xk → x.
k→∞
A sequence {xk } is called a Cauchy sequence if for every ² > 0 there is some N such
that m, n > N implies d(xm , xn ) < ². It is easy to see that convergent sequences are Cauchy
sequences.
A metric space X is called complete if every Cauchy sequence converges to an element
of X.
Example 2.2. Rn is complete.
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√
Example 2.3. Q is not complete. Let {xn } be any sequence in Q that converges to 2.
We know such a sequence exists by the density of the rationals in the reals. Then {xn } is a
Cauchy sequence, but does not converge to an element of Q.
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3 Uniform Convergence and Spaces of Continuous Func-

tions
The uniform norm (or sup norm) of a function f on an interval I is defined by
kf k = sup |f (x)|
x∈I

Example 3.1. Let f be defined on R by f (x) = arctan(x). Since |f (x)| < π/2 for all x ∈ R
and limx→∞ f (x) = π/2, it follows that kf k = π/2.
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Example 3.2. Let f (x) = x2 . On the interval I = [−3, 3] the sup norm of f is kf k = 9.
On R, the sup norm of f is kf k = ∞ since f is unbounded on R.
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Convergence with respect to the uniform norm is known as uniform convergence. We
say a sequence of functions fn converges uniformly to a function f on the interval I if
lim kfn − f k = lim sup |fn (x) − f (x)| = 0.
n→∞ n→∞ x∈I

Example 3.3. Let fn (x) = xn and let f (x) = 0. Then on the domain [0, 1/2] we have
µ ¶n
n 1
kfn − f k = sup |x | = →0
x∈[0,1/2] 2
so fn converges uniformly to f on the domain [0, 1/2]. However, on the domain [0, 1] we
have
kfn − f k = sup |xn | = 1 6→ 0,
x∈[0,1]

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so fn does not converge uniformly to f on [0, 1].
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One important feature of uniform convergence is that it preserves continuity. That is,
the uniform limit of a sequence of continuous functions is continuous.

Theorem 3.1. Let {fn } be a sequence of continuous functions on some interval I in R, and
suppose that fn converges uniformly on I to a function f . Then f is continuous on I.

Proof. Fix x ∈ I, and let ² > 0 be given. Then since fn converges uniformly to f , we may
choose n such that kfn − f k < ²/3. Since fn is continuous at x, there exists some δ > 0 such
that for any y in I with |y − x| < δ we have |fn (y) − fn (x)| < ²/3. Therefore, for any such
y, we also have by the triangle inequality:

|f (y) − f (x)| ≤ |f (y) − fn (y)| + |fn (y) − fn (x)| + |fn (x) − f (x)|
≤ kf − fn k + |fn (y) − fn (x)| + kfn − f k
< ²/3 + ²/3 + ²/3 = ²

Therefore f is continuous at x. Since this holds for every x in I, f is continuous on I.

Let C([a, b], [c, d]) denote the space of continuous functions f : [a, b] → [c, d]. These are
simply the continuous functions whose graph lies inside the rectangle R = [a, b] × [c, d]. We
can make C([a, b], [c, d]) into a metric space by setting

d(f, g) = kf − gk.

Theorem 3.2. The space C([a, b], [c, d]) is complete.

Proof. Let fn be a Cauchy sequence in C([a, b], [c, d]). Then given ² > 0 there is some N
such that kfm − fn k < ² whenever m, n > N . For each fixed x in [a, b], we have

|fm (x) − fn (x)| ≤ kfm − fn k < ²,

so the sequence of real numbers {fn (x)} is a Cauchy sequence. Since R is complete, this
sequence converges to some real number, which we shall call f (x). Doing this for each x in
[a, b] defines a function f defined on [a, b]. Since each sequence {fn (x)} lies in the closed
interval [c, d], its limit f (x) is also in [c, d], and therefore the function f maps [a, b] into [c, d].
Next we show that fn converges uniformly to f . Given ² > 0, choose N so that kfm −fn k <
²/2 whenever m, n > N . Then for any x in [a, b], we have

|fm (x) − f (x)| ≤ |fm (x) − fn (x)| + |f (n(x) − f (x)|

≤ kfm − fn k + |f (n(x) − f (x)|
< ²/2 + |fn (x) − f (x)|.

Now since fn (x) converges to f (x), it follows that |fn (x) − f (x)| < ²/2 for large enough n,
and therefore we have
|fm (x) − f (x)| < ²

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for any m > N . Since the choice of m did not depend on x, this inequality holds for every
x in [a, b]. Therefore
kfm − f k = sup |fm (x) − f (x)| ≤ ²,
x∈I

so fm converges uniformly to f . By Theorem 3.1, it follows that the limit function f is

continuous on [a, b]. We have therefore shown that any Cauchy sequence in C([a, b], [c, d])
converges to an element of C([a, b], [c, d]). Hence C([a, b], [c, d]) is complete.

4 Fixed Point Iteration and Contraction Mappings

Let X be a metric space. A fixed point of a function T : X → X is an element x ∈ X such
that T (x) = x.
Example 4.1. Let T : R → R be defined by T (x) = x2 . Then T (0) = 0 and T (1) = 1, so T
has fixed points x = 0 and x = 1 are fixed points.
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Example 4.2. Let X = C([0, 1], [2, 3]). Given a function y ∈ X, let
Z
1 t
T (y)(t) = 2 + y(s) ds
3 0
Then T (y) is a continuous function, and for any t ∈ [0, 1] we have
Z t
0≤ y(s) ≤ 3
0
1
and thus 2 ≤ T (y)(t) ≤ 3. Hence T (y) ∈ X, so T is a map from X to X. Now let y(t) = 2e 3 t .
Then y ∈ X and
Z ¯t
1 t 1s 1 ¯ 1 1
s¯
T (y)(t) = 2 + 2e ds = 2 + 2e ¯ = 2 + 2e 3 t − 2 = 2e 3 t .
3 3
3 0 0

In other words, T (y) = y, so the function y is a fixed point of T .

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A contraction mapping on a metric space X is a function T : X → X such that for
some α < 1,
d(T (x), T (y)) ≤ αd(x, y)
for all x, y ∈ X. Thus, a contraction mapping with constant α shrinks the distance between
distinct points by at least a factor of α.
Example 4.3. Let T : R → R be defined by T (x) = x2 . Then |T (y) − T (x)| = |y + x||y − x|.
In order for T to be a contraction mapping, we need to restrict T to a domain X where
|y + x| ≤ α < 1 for all x, y ∈ X. One such domain is X = [− 14 , 14 ], on which α = 12 .
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Theorem 4.1. (Contraction Mapping Principle) Let T : X → X be a contraction mapping
on a complete metric space X. Then T has a unique fixed point x ∈ X.
Proof. Let x0 ∈ X and define the sequence {xk } by setting

xk+1 = T (xk )

for each k ≥ 0. Set d0 = d(x0 , x1 ). Then since

d(xk , xk+1 ) = d(T (xk−1 ), T (xk )) ≤ αd(xk−1 , xk )

for k ≥ 1, it follows by induction that d(xk , xk+1 ) ≤ αk d0 . Now given ² > 0 choose N so
that αN d0 /(1 − α) < ². This can be done since α < 1. Then for m, n > N suppose without
loss of generality that m ≤ n. Then by the triangle inequality,
n−1
X n−1
X ∞
X αm d0 αN d0
d(xm , xn ) ≤ d(xk , xk+1 ) ≤ αk d0 ≤ αk d0 = ≤ < ².
k=m k=m k=m
1−α 1−α

Thus xk is a Cauchy sequence which by completeness of X converges to some x ∈ X. Now

d(T (xk ), T (x)) ≤ αd(xk , x) → 0 so T (xk ) converges to T (x). But T (xk ) = xk+1 converges to
x, so T (x) = x. To prove uniqueness, suppose also that T (y) = y. Then

d(x, y) = d(T (x), T (y)) ≤ αd(x, y)

which is possible only if d(x, y) = 0, which implies x = y.

The process illustrated in the previous proof is known as fixed point iteration. The
contraction mapping principle essentially says that, from any starting point x0 , the sequence
of iterates of x0 under a contraction mapping T will always converge to the unique fixed
point of T .

5 Proof of the Existence and Uniqueness Theorem

We now proceed with the proof of Theorem 1.1. The idea is to first characterize solutions
of the initial value problem
dy
= f (t, y), y(t0 ) = y0 (2)
dt
as fixed points of a map on a complete metric space, and then show that, if the time interval
is sufficiently small, this map is a contraction mapping. We begin by defining the map.
Suppose f is continuous and y(t) is a solution of (2) on some interval (t0 − ², t0 + ²). Then
integrating from t0 to t gives
Z t
y(t) = y0 + f (s, y(s)) ds. (3)
t0

This equation is called an integral equation, since it relates the unknown function y to
an integral involving y. Thus any solution of (2) is a solution of the integral equation

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(3). Conversely, suppose y is a continuous function which satisfies (3). Then f (s, x(s)) is
continuous, and the Fundamental Theorem of Calculus implies that y is differentiable and
dy
dt
= f (t, y(t)). Furthermore, at t = t0 we have y(t0 ) = y0 . Thus any continuous solution of
(3) is a solution of (2). Thus we now focus our attention on solving (2).
Given a continuous function y, we define T (y) to be the function given by
Z t
T (y)(t) = y0 + f (s, y(s)) ds.
t0

Then y is a solution of (2) if and only if T (y) = y, i.e. y is a fixed point of the map T .
Next we wish to define a complete metric space on which T is a contraction mapping.
We begin by defining for ² > 0 and η > 0 the space

X = C([t0 − ², t0 + ²], [y0 − η, y0 + η]).

By Theorem 3.2, X is complete.

Theorem 5.1. Suppose f (t, y) is continuous and Lipschitz with respect to y on the domain
R = [a, b]×[c, d]. Then for any (t0 , y0 ) in R, there exist ² > 0 and η > 0 such that T : X → X
is a contraction mapping.

Proof. First choose η > 0 small enough that the interval [y0 − η, y0 + η] is contained within
the interval [c, d]. Next, since f is Lipschitz with respect to y on R, there is some constant
K such that |f (t, y2 ) − f (t, y1 )| ≤ K|y2 − y1 | for all (t, y1 ) and (t, y2 ) in R. Let

M = max |f (t, y)|.

(t,y)∈R

Choose ² > 0 such that ² < min{ K+1 1

, Mη+1 }. We first show that T maps X to itself. Let
x(t) be a function in the space X, and let y = T (x). Then
Z t
y(t) = y0 + f (s, x(s)) ds.
t0

Since x is continuous and f is continuous, the composition f (s, x(s)) is continuous, so by the
Fundamental Theorem of Calculus y is differentiable, and thus continuous. To prove that
the range of y is a subset of [y0 − η, y0 + η], observe that for t0 ≤ t ≤ t0 + ²,
¯Z t ¯ Z t
¯ ¯ ηM
|y(t) − y0 | = ¯¯ f (s, x(s)) ds¯¯ ≤ |f (s, x(s))| ds ≤ ²M < < η,
t0 t0 M +1

and similarly |y(t) − y0 | < η for t0 − ² ≤ t < t0 . Hence y ∈ X, so T : X → X. To show

that T is a contraction mapping with respect to the uniform norm, let x, y ∈ X, and denote

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α = ²K < 1. Then for t0 ≤ t ≤ t0 + ²,
¯Z t ¯
¯ ¯
|T (x)(t) − T (y)(t)| = ¯ f (s, x(s)) − f (s, y(s)) ds¯¯
¯
t
Z t0
≤ |f (s, x(s)) − f (s, y(s))| ds
t0
Z t
≤K |x(s) − y(s)| ds
t0
Z t
≤K kx − yk ds
t0
≤ K²kx − yk = αkx − yk

Likewise |T (x)(t) − T (y)(t)| ≤ αkx − yk for t0 − ² ≤ t < t0 , so kT (x) − T (y)k ≤ αkx − yk

and therefore T is a contraction mapping.
We now give the proof of Theorem 1.1.
Proof. By Theorem 3.2, X is a complete metric space with respect to the uniform norm. By
Theorem 5.1, T : X → X is a contraction mapping provided ² and η are chosen sufficiently
small. Thus by the Contraction Mapping Principle, there exists a unique fixed point y of T
in X. The function y is the unique solution of the initial value problem (2) on the interval
[t0 − ², t0 + ²].

6 Picard Iteration
Now let us look back to the proof of the contraction mapping principle. In it, we found that
the fixed point of T is the limit of T k (x0 ), where x0 is any element of X. Hence the solution
of the initial value problem (2) can be found by iterating the function
Z t
T : y(t) 7→ y0 + f (s, y(s)) ds
t0

on any arbitrarily chosen continuous function satisfying the initial data. One natural choice
is the constant function x0 (t) ≡ y0 . Then for k ≥ 0 we define xk+1 = T (xk ). That is,
Z t
xk+1 (t) = y0 + f (s, xk (s)) ds.
t0

This process is called Picard iteration.

dy
Example 6.1. Consider the linear equation dt
= ky, y(0) = y0 . Picard iteration, with

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initial function x0 (t) ≡ y0 gives
Z t
x1 (t) = y0 + ky0 ds = (1 + tk)y0
0
Z t µ ¶
1 2 2
x2 (t) = y0 + (1 + tk)y0 ds = 1 + tk + t k y0
0 2
..
.
à k !
X tj k j
xk (t) = y0 .
j=0
j!

These are precisely the partial sums of the Taylor series for etk x0 , the unique solution.
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