V.I.

ARNOLD

Volume 250

Grundlehren
der mathematischen
Wissenschaften

A Series of
Comprehensive Studies GEOMETRICAL METHODS
in Mathematics
IN THE THEORY
OF ORDINARY
DIFFERENTIAL EQUATIONS
Biblioteca rCEyN * UBA

SECOND EDITION

Springer
Grundlehren der
mathematischen Wissenschaften 250
A Series of Comprehensive Studies in Mathematics

Editors
M. Artin S.S. Chem J.L. Doob A. Grothendieck
E. Heinz F. Hirzebruch L. Hormander S. Mac Lane
W. Magnus C.C. Moore J.K. Moser M. Nagata
W. Schmidt D.S. Scott J. Tits B.L. van der Waerden

Managing Editors
M. Berger B. Eckmann S.R.S. Varadhan
Grundlehren der mathematischen Wissenschaften
A Series of Comprehensive Studies in Mathematics
A Selection

200. Doid: Lectures on Algebraic Topology 229. Hasse: Number Theory

201. Beck: Continuous Flows in the Plane 230. Klingenberg: Lectures on Closed
202. Schmetterer: Introduction to Geodesics
Mathematical Statistics 231. Lang: Elliptic Curves: Diophantine
203. Schoeneberg: Elliptic Modular Functions Analysis
204. Popov: Hyperstability of Control Systems 232. Gihman/Skorohod: The Theory of
205. NikoTskii: Approximation of Functions Stochastic Processes III
of Several Variables and Imbedding 233. Stroock/Varadhan: Multidimensional
Theorems Diffusion Processes
206. Andre: Homologie des Algebres 234. Aigner: Combinatorial Theory
Commutatives 235. Dynkin/Yushkevich: Controlled Markov
207. Donoghue: Monotone Matrix Functions Processes
and Analytic Continuation 236. Grauert/Remmert: Theory of Stein Spaces
208. Lacey: The Isometric Theory of Classical 237. Kothe: Topological Vector Spaces II
Banach Spaces 238. Graham/McGehee: Essays in
209. Ringel: Map Color Theorem Commutative Harmonic Analysis
210. Gihman/Skorohod: The Theory of 239. Elliott: Probabilistic Number Theory I
Stochastic Processes I 240. Elliott: Probabilistic Number Theory II
211. Comfort/Negrepontis: The Theory of 241. Rudin: Function Theory in the Unit Ball
UltraFilters of CR
212. Switzer: Algebraic Topology—Homotopy 242. Huppert/Blackbum: Finite Groups II
and Homology 243. Huppert/Blackbum: Finite Groups III
213. Shafarevich: Basic Algebraic Geometry 244. Kubert/Lang: Modular Units
214. van der Waerden: Group Theory and 245. Comfeld/Fomin/Sinai: Ergodic Theory
Quantum Mechanics 246. Naimark/Stem: Theory of Group
215. Schaefer: Banach Lattices and Positive Representations
Operators 247. Suzuki: Group Theory I
216. Polya/Szego: Problems and Theorems in 248. Suzuki: Group Theory II
Analysis II 249. Chung: Lectures from Markov Processes
217. Stenstrom: Rings of Quotients to Brownian Motion
218. Gihman/Skorohod: The Theory of 250. Arnold: Geometrical Methods in the
Stochastic Processes II Theory of Ordinary Differential
219. Duvant/Lions: Inequalities in Mechanics Equations
and Physics 251. Chow/Hale: Methods of Bifurcation
220. Kirikov: Elements of the Theory of Theory
Representations 252. Aubin: Nonlinear Analysis on Manifolds.
221. Mumford: Algebraic Geometry I: Monge-Ampere Equations
Complex Projective Varieties 253. Dwork: Lectures on p-adic Differential
222. Lang: Introduction to Modular Forms Equations
223. Bergh/Lofstrom: Interpolation Spaces. An 254. Freitag: Siegelsche Modulfunktionen
Introduction 255. Lang: Complex Multiplication
224. Gilbarg/Trudinger: Elliptic Partial 256. Hormander: The Analysis of Linear
Differential Equations of Second Order Partial Differential Operators I
225. Schiitte: Proof Theory 257. Hormander: The Analysis of Linear
226. Karoubi: K-Theory. An Introduction Partial Differential Operators II
227. Grauert/Remmert: Theorie der Steinschen
Raume
228. Segal/Kunze: Integrals and Operators (continued after index)
Second Edition

Translated by Joseph Sziics

English Translation Edited by Mark Levi

With 162 Illustrations

V.I. Arnold Translator
Steklov Mathematical Institute Joseph Sztics
Vavilova 42
2303 Hollywood
I 17966 Moscow GSP-1
Galveston, TX 77551
U.S.S.R.
U.S.A.

Editor of the English translation

Mark Levi
Department of Mathematics
Boston University
Boston, MA 02215
U.S.A.

Mathematics Subject Classification (1980): 34CXX, 34D10

Library of Congress Cataloging-in-Publication Data

Arnol’d, V.I. (Vladimir Igorevich)
Geometrical methods in the theory of ordinary
differential equations.
(Grundlehren der mathematischen Wissenschaften;
250)
Translation of: Dopolnitel’nye glavy teorii
obyknovennykh differentsial’nykh uravnenit.
I. Differential equations. I. Levi, Mark,
1951- II. Title. III. Series.
QA372.A6913 1988 515.3'5 87-27502

Original Russian edition: Dopolnitel'nye glavy teorii obyknovennykh differenisial'nykh uravnenii.

Nauka, Moscow, 1978.

© 1983, 1988 by Springer-Verlag New York Inc.

a member of BertelsmannSpringer
Science + Business Media GmbH
All rights reserved. This work may not be translated or copied in whole or in part without the
written permission of the publisher (Springer-Verlag, 175 Fifth Avenue, New York, New York
10010, U.S.A.), except for brief excerpts in connection with reviews or scholarly analysis.
Use in connection with any form of information storage and retrieval, electronic adaptation,
computer software, or by similar or dissimilar methodology now known or hereafter developed
is forbidden.
The use of general descriptive names, trade names, trademarks, etc., in this publication, even if
the former are not especially identified, is not to be taken as a sign that such names, as understood
by the Trade Marks and Merchandise Marks Act, may accordingly by used freely by anyone.

Typeset by Asco Trade Typesetting Ltd., Hong Kong.

Printed and bound by Druckhaus Beltz, Hemsbach.
Printed in Germany.

98765432

ISBN 0-387-96649-8 Springer-Verlag New York Berlin Heidelberg

ISBN 3-540-96649-8 Springer-Verlag Berlin Heidelberg New York SPIN 10770788
Preface to the Second Edition

Since 1978, when the first Russian edition of this book appeared, geometrical
methods in the theory of ordinary differential equations have become very
popular. A lot of computer experiments have been performed and some
theorems have been proved. In this edition, this progress is (partially) repre¬
sented by some additions to the first English text. I mention here some of
these recent discoveries.

1. The Feigenbaum universality of period doubling cascades and its

extensions—the renormalization group analysis of bifurcations
(Percival, Landford, Sinai, ...).
2. The Zol^dek solution of the two-parameter bifurcation problem (cases
of two imaginary pairs of eigenvalues and of a zero eigenvalue and a
pair).
3. The Iljashenko proof of the “Dulac theorem” on the finiteness of the
number of limit cycles of polynomial planar vector fields.
4. The Ecalle and Voronin theory of holomorphic invariants for formally
equivalent dynamical systems at resonances.
5. The Varchenko and Hovanski theorems on the finiteness of the number
of limit cycles generated by a polynomial perturbation of a poly¬
nomial Hamiltonian system (the Dulac form of the weakened version
of Hilbert’s sixteenth problem).
6. The Petrov estimates of the number of zeros of the elliptic integrals
responsible for the birth of limit cycles for polynomial perturbations
of the Hamiltonian system x = x2 — 1 (solution of the weakened
sixteenth Hilbert problem for cubic Hamiltonians).
7. The Bachtin theorems on averaging in systems with several frequencies.
8. The Davydov theory of normal forms for singularities of implicit
differential equations and relaxation oscillations.
9. The Neistadt and Cary—Escande—Tennyson theory of adiabatic in¬
variant’s change under separatrix crossings (explaining, according to
Wisdom, the Kirkwood gaps in the distribution of asteroids).
10. The Neistadt theory of dynamical bifurcations.

The problem of bifurcations at 1:4 resonance seems to be still unsolved,

but I present the conjectural answer supported by both computer experiments
and asymptotic analysis.
VI Preface to the Second Edition

I mention here some other important recent results:

(1) the bifurcation theory of fundamental systems of solutions of linear

equations (related to the Schubert stratification of the Grassmannians
and to the Weierstrass points on algebraic curves) by M. Kazarian;
(2) the theory of normal forms of vector fields with Jordan linear part
(related to sl(2)-modules) by Bogaevski, Povzner, and Givental;
(3) the bifurcation theory of cycles in reversible systems (related to the
metamorphoses of the umbrella’s sections) by M. Sevrjuk;
(4) the theory of nonoscillatory linear equations (related to the geometry
of the Schubert stratification of the flag manifolds);
(5) the classification of the local topological bifurcations in generic gradi¬
ent systems depending on three parameters (related to the Thom
conjecture on catastrophes) by B. Hessin;
(6) the theory of versal deformations for the vector fields on a line (related
to the differential forms of complex degree) by V. Kostov;
(7) the tunelling asymptotics in systems with many competing attractors
(related to the Fokker-Planck equation and to the Witten inequalities)
by V. Fok;
(8) the bifurcation theory for planar homogeneous vector fields (related
to the higher dimensional umbrellas) by B. Hessin.

These subjects need too much space to be discussed here.

The reader may find more details and an extensive bibliography, for many
of the subjects discussed in this textbook, in The Encyclopaedia of Mathe¬
matical Sciences, Volumes 1, 3, and 5, also published by Springer-Verlag.

Moscow V. Arnold
September 10, 1987
Preface to the First Edition

Newton’s fundamental discovery, the one which he considered necessary

to keep secret and published only in the form of an anagram, consists of
the following: Data aequatione quotcunque Jluentes quantitae involvente
fluxiones invenire et vice versa. In contemporary mathematical language,
this means: “It is useful to solve differential equations”.
At present, the theory of differential equations represents a vast con¬
glomerate of a great many ideas and methods of different nature, very
useful for many applications and constantly stimulating theoretical in¬
vestigations in all areas of mathematics.
Many of the routes connecting abstract mathematical theories to appli¬
cations in the natural sciences lead through differential equations. Many
topics of the theory of differential equations grew so much that they became
disciplines in themselves; problems from the theory of differential equations
had great significance in the origins of such disciplines as linear algebra,
the theory of Lie groups, functional analysis, quantum mechanics, etc.
Consequently, differential equations lie at the basis of scientific mathematical
philosophy (Weltanschauung).
In the selection of material for this book, the author intended to expound
basic ideas and methods applicable to the study of differential equations.
Special efforts were made to keep the basic ideas (which are, as a rule,
simple and intuitive) free from technical details. The most fundamental
and simple questions are considered in the greatest detail, whereas the
exposition of the more special and difficult parts of the theory has been
given the character of a survey.
The book begins with the study of some special differential equations
integrable by quadrature. Attention is paid mainly to connections with general
mathematical ideas, methods, and concepts (resolution of singularities. Lie
groups, and Newton diagrams) on the one hand, and to applications to the
natural sciences on the other, rather than to the formal cookbook aspect of
the elementary theory of integration.
The theory of partial differential equations of the first order is considered
by means of the natural contact structure in the manifold of 1-jets of func¬
tions. The necessary elements of the geometry of contact structures are devel¬
oped incidentally, making the entire theory independent of other sources.
VL11 Preface to the First Edition

A significant portion of the book is concerned with methods which are

usually called qualitative. The recent development of the qualitative theory
of differential equations, originated by Poincare, led to the realization that
similar to the fact that the explicit integration of differential equations is
generally impossible, the qualitative study of general differential equations
with a multidimensional phase space turns out to be impossible. The book
discusses the analysis of differential equations from the point of view of
structural stability, that is, the stability of the qualitative picture with respect
to a small change in the differential equations. The basic results obtained
after the first publications of Andronov and Pontrjagin in this area are
expounded: the elements of the theory of structurally stable Anosov systems,
all trajectories of which are exponentially unstable, and Smale’s theorem
on the nondensity of structurally stable systems. We also discuss the sig¬
nificance of these mathematical discoveries to applications. (We speak of
the description of stable chaotic regimes of motion like turbulence.)
The most powerful and frequently applicable methods of study of dif¬
ferential equations are the various asymptotic methods. We develop the
basic ideas of the averaging method going back to the work of the founders
of celestial mechanics and widely usable in all those areas of application,
where a slow evolution has to be separated from fast oscillations (Bogoljubov,
Mitropol’skil, and others).
In spite of the abundant research in averaging, in the problem of evolution
even for the simplest multifrequency systems, everything is not entirely
clear. We give a survey of the work concerning passage through resonances
and capture to resonance in an attempt to illuminate the problem.
The basis of the averaging method is the idea of annihilating perturbations
by means of an appropriate choice of the coordinate system. This very
idea lies at the basis of the theory of Poincare normal forms. The method of
normal forms is the fundamental method of the local theory of differential
equations, which describes the behavior of phase curves in the neighborhood
of a singular point or a closed phase curve. In this book, we describe the
main results of the method of Poincare normal forms, including a proof
of Siegel’s fundamental theorem on the linearization of a holomorphic
mapping.
Important applications of the method of Poincare normal forms come
across not only in the study of a single differential equation, but also in
bifurcation theory, where the subject of research is a family of equations
depending on parameters.
Bifurcation theory studies the qualitative change under the variation
of the parameters on which the system depends. For general values of the
parameters, we usually have to deal with generic systems (all singular points
are simple, etc.). However, if a system depends on parameters, then for
some values of the parameters we cannot avoid degeneracies (for example,
the fusion of two singular points of a vector field).
 Preface to the First Edition IX

In a one-parameter system, we generically encounter only simple de¬

generacies (those which we cannot get rid of by a small perturbation of the
family). Consequently, there arises a hierarchy of degeneracies according to
the codimensions of the corresponding surfaces in the function space of all
systems under study: in one-parameter generic families, only degeneracies
corresponding to surfaces of codimension 1 occur, and so on.
Recent progress in bifurcation theory is connected with the application
of ideas and methods of the general theory of singularities of differentiable
mappings due to Whitney.
This book concludes with a chapter on bifurcation theory, in which the
methods developed in the preceding chapters are applied, and main results
obtained in this field, beginning with the fundamental work of Poincare
and Andronov, are described.
In discussing all of these subjects, the author attempts to avoid the
axiomatic-deductive style, with its unmotivated definitions concealing the
fundamental ideas and methods; similar to parables, they are explained
only to disciples in private.
The axiomization and algebraization of mathematics, after more than
50 years, has led to the illegibility of such a large number of mathematical
texts that the threat of complete loss of contact with physics and the natural
sciences has been realized. The author attempts to write in such a way that
this book can be read by not only mathematicians, but also all users of the
theory of differential equations.
We only assume a little general mathematical knowledge on the part
of the reader, let us say roughly the first two courses of a university program;
for example, familiarity with the textbook V. I. Arnold, Ordinary Differential
Equations, Moscow, Nauka, 1974 [in English, Cambridge, MA, MIT Press,
1973, 1978]* is sufficient (but not necessary).
The exposition is developed in such a way that the reader can omit
passages that turn out to be difficult for him, without much harm to the
understanding of what follows: as much as possible, we avoid references
from one chapter to another, and even from one paragraph to another.
The content of this book constitutes the material of a series of mandatory
and special courses delivered by the author at the Department of Mechanics
and Mathematics of Moscow State University, 1970—1976, to students of
mathematics in grades II—III, and to mathematicians working in applications.
The author expresses his gratitude to students O. E. Hadin, A. K.
Koval’dzhi, E. M. Kaganova, and to Professor Ju. S. Il’jasenko, whose notes
were very useful in the preparation of this book. The notes of a special
course composed by II’jasenko and the notes of the lectures given in the
experimental group have been in the department library for a number of

*In the exposition of some special questions, we have also used or recalled elementary
information on differential forms. Lie groups, and functions of a complex variable. This
information is not necessary for the understanding of most of the book.
X Preface to the First Edition

years. The author is grateful to the many readers and students of these
courses for a series of valuable remarks used in the preparation of the
book. The author is grateful to referees D. V. Anosov and V. A. Pliss for a
careful and helpful review of the manuscript.

June, 1977 V. Arnold

Contents

Preface to the Second Edition. v

Preface to the First Edition . vii
Notation xiii

Chapter 1
Special Equations. 1
§ 1. Differential Equations Invariant under Groups of Symmetries. 1
§ 2. Resolution of Singularities of Differential Equations. 9
§ 3. Implicit Equations. 14
§ 4. Normal Form of an Implicit Differential Equation in the Neighborhood of
a Regular Singular Point. 25
§ 5. The Stationary Schrodinger Equation. 31
§ 6. Geometry of a Second-Order Differential Equation and Geometry of a
Pair of Direction Fields in Three-Dimensional Space. 43

Chapter 2
First-Order Partial Differential Equations . 59
§ 7. Linear and Quasilinear First-Order Partial Differential Equations. 59
§ 8. The Nonlinear First-Order Partial Differential Equation. 68
§9. A Theorem of Frobenius. 86

Chapter 3
Structural Stability. 89
§10. The Notion of Structural Stability. 89
§11. Differential Equations on the Torus . 97
§ 12. Analytic Reduction of Analytic Circle Diffeomorphisms to a Rotation . . 114
§ 13. Introduction to the Hyperbolic Theory. 121
§14. Anosov Systems. 128
§15. Structurally Stable Systems Are Not Everywhere Dense . 141

Chapter 4
Perturbation Theory. 144
§ 16. The Averaging Method. 144
§17. Averaging in Single-Frequency Systems. 148
§ 18. Averaging in Systems with Several Frequencies. 153
xii Contents

§ 19. Averaging in Hamiltonian Systems. 164

§20. Adiabatic Invariants. 168
§21. Averaging in Seifert’s Foliation . 173

Chapter 5
Normal Forms. 180
§ 22. Formal Reduction to Linear Normal Forms. 180
§23. The Case of Resonance. 184
§ 24. Poincare and Siegel Domains. 187
§ 25. Normal Form of a Mapping in the Neighborhood of a Fixed Point. 192
§ 26. Normal Form of an Equation with Periodic Coefficients. 195
§ 27. Normal Form of the Neighborhood of an Elliptic Curve. 202
§ 28. Proof of Siegel’s Theorem. 214

Chapter 6
Local Bifurcation Theory. 222
§ 29. Families and Deformations. 222
§ 30. Matrices Depending on Parameters and Singularities of the Decrement
Diagram. 238
§31. Bifurcations of Singular Points of a Vector Field . 260
§32. Versal Deformations of Phase Portraits. 265
§ 33. Loss of Stability of an Equilibrium Position. 270
§ 34. Loss of Stability of Self-Sustained Oscillations . 286
§35. Versal Deformations of Equivariant Vector Fields on the Plane. 302
§36. Metamorphoses of the Topology at Resonances . 323
§37. Classification of Singular Points. 337

Samples of Examination Problems. 342

Index 345
Notation

R the set of real numbers

C the set of complex numbers
Z the set of integers
R” the w-dimensional real linear space
3 there exists
V for every
ae A the element a of the set A
A cr B the subset A of the set B
A (IB intersection of the sets A and B
A U B union of the sets A and B
A\B difference of the sets A and B (the part of A outside B)
A x B direct product of the sets A and B (the set of pairs {a, b),
a e A, b e B)
A © B direct sum of linear spaces
f:A-*B a mapping/of A into B
x i—> y or the mapping/maps the element x onto the element y
y = Ax)
\mf or f(A) image under the mapping / (but Im z is the imaginary part
of z)
rl(y) complete inverse image of the point y under the mapping
/ (the set of all x for which f(x) = y)
Ker / kernel of the linear operator /(the complete inverse image
of zero)
/ rate of change of the function / (derivative with respect to
time t)
/',/*, df/dx, derivative of the mapping /
Df/Dx
TXM the tangent space of the manifold M at the point x
A => B assertion A implies B
A o B assertions A and B are equivalent
C0l A CO2 exterior product of the differential forms (or and co2
f° 9 composition of mappings [(/o g)(x) = /(#(*))]
Lvf derivative of the function / in the direction of the vector
field v
Chapter 1

Special Equations

In the study of differential equations, methods from all fields of mathematics

are used. In this chapter, we discuss selected special equations and types of
equation. Special attention is paid, on the one hand, to the significance in
applications of these equations and, on the other hand, to the connection
between research methods and various general mathematical problems
(resolution of singularities, Newton diagrams, Lie groups of symmetries,
etc.). This chapter concludes with the elementary theory of the one-dimen¬
sional stationary Schrodinger equation and the geometric theory of a
nonlinear equation of the second order.

§ 1. Differential Equations Invariant under

Groups of Symmetries

In this section, general arguments are discussed on which the methods of

integration of differential equations in explicit form are based. As an
example, we discuss the theory of similarity, i.e., the theory of homogeneous
and quasihomogeneous equations.

A. Groups of Symmetries of Differential Equations

Let us consider a vector field uina phase space U.

Definition. A diffeomorphism g\ U U is called a symmetry of v if it

transforms v into itself:

v(gx) = g+xv(x).

Then v is said to be invariant under g.

Examples

1. A vector field with components independent of x on the (x, ^-plane is invariant

under translations along the x-axis (Fig. 1).
2 1. Special Equations

^x

Figure 1.

2. The vector field xdx + ydy on the Euclidean (x, y)-plane is invariant under the
dilations g(x, y) = (Ax, Ay) and rotations.

All the symmetries of a given field form a group.

Exercise. Determine the symmetry group of the field xdx + ydy in the coordinate
plane (x, y).

Let us consider a direction field in the extended phase space.

Definition. A diffeomorphism of the extended phase space is called a symmetry

of the direction field if it maps the field into itself. The direction field is then
said to be invariant with respect to this diffeomorphism.

Examples

1. The direction field of the equation x = v(x) is invariant under translations along
the /-axis (Fig. 2a).

2. The direction field of the equation x = v(t) is invariant under translations along
the x-axis (Fig. 2b).

Definition. The differential equation x = u(x) (respectively, x = v(x, t)) is

said to be invariant under the diffeomorphism g of the phase space (respec¬
tively, of the extended phase space) if the vector field v (respectively, the
direction field v) is invariant under this diffeomorphism g. The diffeomor¬
phism g is then called a symmetry of the given equation.

xA

y / f
x / l
t
(a) (b)

Figure 2.
§ 1. Differential Equations Invariant under Groups of Symmetries 3

Theorem. Any symmetry of a given equation transforms phase (integral) curves

of the equation into phase (integral) curves of the same equation.

■4 Let x .= (p(t) be a solution of the equation x = v(x) and let g be a symme¬

try. Then x = g(q>(t)) is also a solution. Consequently, symmetries transform
phase curves into phase curves. The proof is analogous for integral curves. ►

Example

The family of integral curves of the equation x = v(t) is transformed into itself by
translations along the x-axis, and that of the equation x = v(x) by translations along
the /-axis.

The following examples are frequently encountered in applications under

the names “theory of similarity”, “comparison of dimensions”, or “scaling”.

B. Homogeneous Equations

Definition. The direction field in the plane without the origin 0 is said to be
homogeneous if it is invariant under all the dilations

gx{x, y) =' (exx, exy), A e U.

The differential equation dy/dx = v(x, y) is said to be homogeneous if its

direction field is homogeneous (Fig. 3).
In other words, the directions of the field have to be parallel to each other
at all points of the same ray starting from the origin of the coordinate system:

v(exx, exy) = v(x, >>).

Example

The function f is said to be homogeneous of degree d if j\exx, exy) = eXdj\x, y). Any
form (homogeneous polynomial) of degree d can serve as an example. Let P and Q be
two forms of degree ^depending on the variables x and y. The differential equation

x = P, y = Q

Figure 3.
4 1. Special Equations

is given by the vector field (P, Q) in the plane. The corresponding direction field in
the domain P # 0 is the direction field of the homogeneous equation

dy = 9, L dy = ax + by dy = *2 - y2 \
dx P \ ' dx cx + dy' dx x2 + y2 ’ /

Remark. The domain (of definition) of a homogeneous field does not

necessarily have to be the whole punctured plane. Homogeneous fields may
be defined in any homogeneous (i.e., invariant under dilations) domains,
e.g., in an angular sector with vertex 0, etc.

Theorem. Every integral curve of an arbitrary homogeneous equation is

transformed by any dilation gA into an integral curve of the same equation.

Consequently, given a homogeneous equation, it is sufficient to study only

one integral curve in each sector of the plane.
The proof may be obtained by an immediate application of the theorem in
§ 1A.

Exercise. Let P and Q be forms of degree d. Prove that the phase curves of the system
x = P, y = Q are obtained from each other by dilations (Fig. 4).
If one of these curves is closed and has period T, then the dilation gx transforms it
into another closed phase curve having period T/eMd~l).

C. Quasi-Homogeneous Equations and the “Comparison of Dimensions”

Let us fix the real numbers a and /? and consider the family of transformations

gs(x,y) = (e“*,e*>0 (1)

which dilate in the x and y directions by different amounts.

Note that Eq. (1) defines a one-parameter group of linear transformations
in the plane (Fig. 5).
§ 1. Differential Equations Invariant under Groups of Symmetries 5

Definition. The function f is said to be quasi-homogeneous of degree d if

f(gs(x, y)) = edsf(x, y).

Example

If a = ft — 1, then we obtain the ordinary homogeneous functions of degree

d.
Quasi-homogeneous degrees add under the multiplication of functions.
They are also called weights. For example, x has weight a, y has weight ft, x2y
has weight 2a + /?, and so on. All quasi-homogeneous monomials of a fixed
degree can be easily seen in the following Newton diagram (Fig. 6). We
identify the monomial xpyq with the point (p, q) of the integer lattice.
Exponents of all possible monomials of degree d are the integer lattice
points on the segment given by the equation d = ap + f$q in the (p, <y)-plane.

Exercise. Choose weights in such a way that the function x2 + xy3 is quasi-homo¬
geneous.

Definition. The differential equation dy/dx = v(x, y) is said to be quasi-

homogeneous (with weights a and ft) if its direction field v is invariant under
the transformations in Eq. (1).

From the general theorem of § 1A on symmetries, we can derive the

following.

Theorem. The integral curves of a quasi-homogeneous equation are obtained

from each other by using the transformations of Eq. (J).

Exercise. Prove that the function v(x, y) is the right-hand side of a quasi-homogeneous
differential equation (with weights (a, /?)) if and only if it is quasi-homogeneous of
degree d = ft — a.
6 ]. Special Equations

Remark. The above definitions and theorems can be easily extended to the
case of more than two variables and to differential equations of order greater
than 1. In particular, it is easy to prove the following.

Theorem. Let y: y = ^(x) be a curve in the (x, _y)- plane and let dky/dxk = F
at the point (x0, y0). Then for the curve gsy we have

— e(P-ka)sF

dxk~

at the corresponding point.

In other words, dkyldxk is transformed, as is y/xk, by the transformations

of Eq. (1), which in turn explains the convenience of the notation dkyldxk.

Exercise. Prove that if a particle in a homogeneous force field of degree moves along
the trajectory Y in time T, then the same particle moves along the dilated trajectory
XV in time

Y' _ ^(1 -d)/2 Y

Solution. The Newtonian equation d2xjdt2 = F(x), where F is homogeneous of

degree d, is transformed into itself by appropriate transformations of the form of
Eq. (1). Namely, it is sufficient to choose weights a (for x) and /? (for t) such that a —
2/? = ad. Then (3 = ((1 — d)/2)a. Consequently, T' = Aa~d)/2T corresponds to the
dilation x' = ax.

Exercise. Prove Kepler’s third law: The squares of the times needed for similar trajec¬
tories in the gravitational field are proportional to the cubes of the linear measurements
of these trajectories.

Solution. From the solution of the preceding exercise with d = — 2 (the law of universal
gravity), we obtain T' = X3/2T.

Exercise. Determine how the period of oscillation depends on the amplitude in the
case of a restoring force proportional to the elongation (linear oscillator) and to the
cube of the elongation (weak force).

Answer. In the case of a harmonic oscillator, the period does not depend on the am¬
plitude; in the case of a weak oscillator, it is inversely proportional to the amplitude.

Exercise. It is known that a top with a vertical axis has a critical angular velocity; if
the angular velocity is greater than the critical velocity, then the top stands up firmly
vertically, and if it is less, it falls.
How does the critical angular velocity change if we take the top to the moon, where
the gravitational force is six times less than on the earth?

Answer. It decreases by a factor of f6.

§ 1. Differential Equations Invariant under Groups of Symmetries 7

Figure 7.

D. Applications of One-Parameter Groups of Symmetries

to Lowering the Order

Theorem. If a one-parameter group of symmetries of a direction field in (Rn is

known, then the problem of integration of the corresponding differential
equation reduces to the problem of integrating a differential equation in R"_1.
In particular, if a one-parameter group of symmetries of a direction field on
the plane is known, then the corresponding equation dyfdx = f(x, y) can be
integrated explicitly.

Let {gs} be the group of symmetries under consideration. Let us consider

the orbits {grsjc} of the flow {gs}. We can define (at least locally) an (« — 1)-
dimensional orbit space (the quotient space with respect to the action of gs)
and a mapping/? of the initial space onto the quotient space (p maps the orbits
of the flow {gs} into points). It turns out that the initial direction field is
mapped by p into a new direction field on the (n — l)-dimensional orbit
space; one only has to integrate it. ►

More precisely, consider a point jc0 e IR” and assume that the orbit of {<f} going
through x0 is a curve a. Through x0 let us draw an (n — l)-dimensional local trans¬
versal Z to a. In the neighborhood of x0, introduce the local coordinate system (j, u),
where the point gsu of the initial space corresponds to the pair s e IR, u e Z. Then in
the neighborhood of x0, the projection p onto the orbit space and the action of the
group gs of symmetries are given by the formulas

p(s, u) = w, gs'(s2, u) = (sl + s2, u)

(the points on the surface Z parameterize the local orbits.)

We note that if the group gs is given explicitly, then the coordinates (5, u) can be
found explicitly. We write the initial differential equation in these coordinates. If our
direction field is not tangent to Z at x0 (which can always be achieved by the choice
of Z), then in the neighborhood of this point our equation takes the form
 8 1. Special Equations

Moreover, {gs} consists of translations along the j-axis; therefore, v does not depend
on s. The vector field v(u) on X defines a direction field on this (n — l)-dimensional
surface. If we know its integral curves, we can find the solutions to the equation dufds
= v(u) (by quadrature) and, consequently, the integral curves of the initial equation.
In the special case n = 2, the passage to the coordinates (s, u) immediately leads
to the integrable equation du/ds = v(u).

Remark. In practice, it is often more convenient to use an appropriate function z

of j instead of s itself. In such a coordinate system an equation having the group gs
of symmetries will read

~~ = v(u)f(z)

(in case n = 2, we obtain an equation with separated variables).

Example

A homogeneous equation reduces to an equation with separated variables in polar

coordinates and also in the coordinates u = y/x, z = x (Fig. 8a).
Here {gs} is the one-parameter group of dilations by es, X is the circle x1 + y2 = 1
in the case of polar coordinates and the straight line x = 1, z = es in the case of the
other coordinate system.

Exercise. In what coordinates can the quasi-homogeneous equation

be integrated explicitly, where the weight of jc is a and that of y is ft (so that v is a quasi-
homogeneous function of degree /J — a).

Solution. We may take u = y^/x^, z = x (in a domain where x ^ 0) (cf., Fig. 8b.)

Exercise. Give the equation with separated variables explicitly to which the equation
of the preceding exercise reduces in the coordinates (u, z).

Figure 8.
§ 2. Resolution of Singularities of Differential Equations 9

Solution. ya — ux0: therefore, ay* 1 dy = x0 du + flux0 1 dx. If dy = vdx, then

aya~1vdx = x0 du + flux0-1 dx, i.e.,

du _ xy*~lu — flux0~'
dx x0

But n(x, y) = xl0/a>~1 w(u): therefore,

du at/“-1/°r)w(«) — flu
dx x

§ 2. Resolution of Singularities of Differential Equations

Here we briefly describe an important general mathematical technique called

resolution of singularities or the cr-process.

A. cr-Process

In the neighborhood of a nonsingular point, all vector fields are simple and
have identical structures.
For the study of fine details of all mathematical objects near a singular
point a special apparatus is devised, having fine resolution similar to a
microscope. It is called the resolution of singularities. From the analytical
point of view, we speak of the choice of a coordinate system near the singular
point in which, to a small displacement near the singularity, there corres¬
ponds a great change in coordinates.
The polar coordinate system has this property; however, the passage to
polar coordinates requires transcendental (trigonometric) functions; there¬
fore, algebraically, it is often more convenient to use another procedure:
the so-called <r-process or resolution of singularities.
We begin with an auxiliary construction. Let p : R2\<9 —> [RP1 be the
standard fibration defining the projective line. (The projective line is a
manifold whose points are the straight lines in the plane going through the
origin of the coordinate system. To a point in the plane, the mapping p
assigns the straight line connecting the point with the origin.)
Let us consider the graph T of the mapping p. This graph represents a
smooth surface in the Cartesian product (1R2\(9) x [RP1 (Fig. 9). Embedding
the punctured plane in the plane, we may consider the graph as a smooth
surface T in the Cartesian product [R2 x [RP1. The natural projection
7ij : (R2 x (RP1 -> IR2 maps T onto the punctured plane 1R2\0 diffeomor-
phically. (In order to picture this more clearly, it is useful to note that T locally
has the form of a spiral ladder; globally, the projective line is diffeormorphic
to the circle, and the product (R2 x [RP1 to the interior of the torus.)
 10 1. Special Equations

Figure 10.

Theorem. The closure of the graph T of the mapping p in IR2 x RP1 is a smooth
surface Tj = F U (O x RP1). The surface F, is diffeomorphic to the Mobius
strip {Fig. 10).

Let (x, y) be the coordinates in the plane, and u = yjx the affine local
coordinate in RP1. Then (x, y, u) is a local coordinate system in R2 x RP1.
In this coordinate system, T is given by y = ux, x ^ 0, and T, by the local
equation y = ux. This surface is smooth; it is obtained by adding to the part
of T covered by our coordinate system the part of the projective line O x RP1
falling there.
The proof of the smoothness of Tj can be completed by considering a
second coordinate system (x, y, v), where a: = vy.
The projection n2 : R2 x RP1 —► RP1 foliates Tj into straight lines. When
the circle RP1 is traversed once, the corresponding straight line in R2 turns
by the angle n. It follows from this that Tj is a Mobius strip. ^

Definition. The passage from R2 to rt is called a a-process with center O or the

blowing up of the point O into the straight line O x RP1. The mapping
rt, : T, —» R2 is called an antisigma process or collapsing the circle O x RP1
into the point O.

The mapping 71!: Tj —>• R2 restricted to T is a diffeomorphism onto the

punctured plane. Therefore, all geometric objects in the plane having a
singularity at O are carried over to rt. At the same time, singularities may
become simpler or may be “resolved”.

Example

Consider three straight lines passing through the point O. On T,, this corresponds to
three straight lines intersecting IRP1 at distinct points (Fig. 11).

Exercise. Consider two curves which are tangent to each other of order n (for example,
y = 0 and y = x2, n = 2). Prove that on T, two corresponding curves have tangency
of orders — 1 at the corresponding point 0, (Fig. 12).
If after the er-process singularities do not reduce to transversal intersections, then
§ 2. Resolution of Singularities of Differential Equations 11

D?P'

Figure 1 1. Figure 12.

Figure 13.

another a-process can be performed at the remaining singular points, etc. until all
singularities reduce to transversal intersections. It can be proved that every algebraic
curve can be resolved (reduced to transversal intersections) in a Finite number of steps.

Exercise. Resolve the singularities of the curve x2 = y3.

Solution. Cf., Fig. 13.

B. Resolution Formulas

In practice, a cr-process means the passage from the coordinates (x, y) to the
coordinates (x, u = yjx), where x ^ 0, and to the coordinates (o = x/y, y),
where y ^ 0 (Fig. 14). Let us see what this does to the differential equation
given by a vector field in the plane (x, y). We shall assume that the point O
is a singular point of our vector field.

Theorem. A smooth vector field w with singular point at O after the o-process
turns into a vector field on Y extendible to a smooth field on Tj.

Let w be the field given by the system x = P(x, y), y = Q(x, y). Using the
coordinates (x, u = yjx), we find

Figure 14.
12 1. Special Equations

The right-hand sides are smooth, since P(0, 0) = Q{0, 0) = 0. In the other
coordinate system (v = x/y, y), we also obtain a smooth field. ►

Remark. It can happen that the vector field obtained in the er-process
vanishes on the whole straight line pasted in the cr-process. Then, one can
divide the field by x in the domain of the first coordinate system, and by y in
the domain of the second. Division does not change the direction of the
vectors of the field. One obtains a direction field on ^ with singular points
lying on the pasted line but not filling it out completely. In the neighborhood
of every singular point, the direction field is given by a smooth vector field.
To every “entering direction” of phase curves of the initial field at O there
corresponds a singular point of such a field on Tj lying on the straight line
[RP1 pasted in the cr-process.
If these singular points Ot are not sufficiently simple, then er-processes
can be performed at them. Continuing in this way, we finally arrive at the
case where at least one of the eigenvalues of the linearization of the field is
different from 0 at every singular point.
In many cases, the first cr-process enables us to analyze the behavior of
phase or integral curves near a singular point. For example, the integral
curves of a homogeneous equation turn into the integral curves of an
equation with separated variables after our change of variables (x, y) h-►
(x, u = y/x).

C. Example : The Study of a Pendulum with Friction

We illustrate the method by the trivial example of a linear equation. The equation of
a pendulum with a friction coefficient k has the form x + kx + x = 0. In the phase
plane, this equation is equivalent to the system

x = y, y = -ky - x.

The homogeneous equation reads

& = _ *
dx y

According to the general theory, the variables should separate after the cr-process,
i.e., in the coordinate system (x, u = yjx). Indeed, dujdx = —(u2+ku+ 1 )/ux. In¬
troducing log |x| = z, we obtain

du
-k u +
dz

We study the integral curves of this equation for different values of the coefficient
k > 0. The graph of the function /' = u + 1/w is a hyperbola (Fig. 15). Consequently,
the graph of the function —k— /(«) has the form shown in Fig. 16. Correspondingly,
 § 2. Resolution of Singularities of Differential Equations 13

U \
J ul \

\ \ -

2
/ z

0<k<2 A ^2

Figure 17.

Figure 18.

the integral curves of the equation du/dz = — k — J\u) have the form shown in Fig.
17. Returning to the phase plane (x, y), we obtain Fig. 18.
Hence, for small values of the coefficient of friction (0 < k < 2), the pendulum
performs an infinite number of oscillations, and for k > 2 the direction of the motion
of the pendulum changes no more than once.

Exercise. Determine the phase curves of the equations z = az" and z = az", re C.

D. Example: The Period of Small Oscillations

Theorem. Assume that all phase curves passing through points close to the equilibrium
point O are closed. Then the period of oscillation in the neighborhood of O tends to the
period of oscillation in the linearized system as the amplitude of the oscillation tends to 0.
14 1. Special Equations

^ In the er-process, the closed phase curves going around 0 turn into curves on the
Mobius strip closing after two revolutions; that the amplitude of the oscillation con¬
verges to 0 corresponds to the fact that the phase curve on the Mobius strip converges
to the projective line pasted in the a-process (the middle line of the Mobius strip).
Since a solution depends continuously on the initial condition, the limit of the
period of oscillation, as the amplitude tends to 0, is equal to the doubled period of
revolution on the pasted straight line IRP1 in the system obtained in the <r-process. The
velocities of motion on the pasted straight line for the field under consideration and
for its linearization are identical (cf., the equation for u in § IB), It is easy to verify
that all phase curves of the linearized equation are closed. These closed curves in the
linear system are traversed in the same time, since the linear vector field is transformed
into itself by dilations of the phase plane. Consequently, the limit of the period of
oscillation in the initial system is equal to the limit of the period of oscillation in the
linearized system, and, consequently, to the period of oscillation in the linearized
system.

Remark. This limit is called the period of small oscillations.

Exercise. Calculate the period of small oscillations of the pendulum x = — sinx near
the equilibrium point x = 0.

§ 3. Implicit Equations

In this section we consider the basic notions of the theory of differential

equations not solved for the derivatives. We will do this using the general
theory of singularities of smooth mappings and the geometry of spaces of jets.

A. Basic Definitions

We consider the equation

F(x, y, p) = 0, (1)

where p = dy/dx.

Examples

(1) p2 — x ; (2) p2 = y; (3) y = px + p2. The three-dimensional space with

coordinates (x, y, p) is called the space of 1-jets of the functions y(x). (Two
smooth functions^! andy2havethesame/:-jetatthepointx0if | jpj (jc) — y2(x)|
= o(\x — x0|k); therefore, the 1-jet of a function is defined by the choice of
the point x, the value y at this point, and the value p of the derivative.)
In the space of jets Eq. (1) describes a surface. It turns out that a direction
field arises on this surface. Its construction is as follows. Consider a point in
the space of jets. The components of the vector £ applied at this point will be
§ 3. Implicit Equations 15

denoted by dx(£), dy(£), dp(£). Hence, dx, dy, and dp are not mysterious,
infinitely small quantities, but completely defined linear functions of £>.
At the point (x, y, p) of the space of jets, consider the plane consisting of
the vectors £ for which dy — pdx. In other words, the vector ^ at the point
(x, y,p) lies in the indicated plane (Fig. 19) if its projection onto the Eucli¬
dean (x, >>)-plane forms an angle with the x-axis whose tangent is equal to p.
The plane thus constructed is called a contact plane. Hence, a contact plane
passes through every point of the space of 1-jets; all of these planes form the
contact field ofplanes (or, in other words, a contact structure) in the space of
1-jets.

Exercise.* Are there any surfaces in the space of 1-jets whose tangent at every point
is the contact plane drawn at that point?

Answer. No.

Assume that the surface given by Eq. (1) in the space of 1-jets is smooth.
[This is not a strong restriction, since for a generic smooth (infinitely
differentiable) function F, the value 0 is not critical and the set of zeros is
smooth. If this is not so for the function under consideration, then for almost
every arbitrarily small perturbation of Fthe set of zeros becomes smooth: for
example, it is sufficient to add a small constant to F (cf., Sard’s theorem,
§ 10E)].
We consider a point on the smooth surface M given by Eq. (1) and assume
that at this point the tangent of the surface does not coincide with the contact
plane. Then these two planes intersect in a straight line. Moreover, the tangent
and contact planes intersect in straight lines at all nearby points of M, so a
direction field arises on M in the neighborhood of the point being considered.
The integral curves of Eq. (1) are, by definition, the integral curves of
the direction field thus obtained on M. To solve Eq. (1) it is necessary to
find these curves. The connection between the integral curves on M and
the graphs of solutions of Eq. (1) on the (x, >»)-plane is discussed below.
We emphasize that the integral curves on M are defined in terms of contact
planes and not solutions of Eq. (1).
 16 1. Special Equations

B. Regular Points and the Discriminant Curve

The direction of the /7-axis in the space of jets will be called vertical direction.
Let M be the smooth surface given by Eq. (1) in the space of jets. Consider
the projection

7i: M -► [R2, n(x, y, p) = (x, y)

in the vertical direction.

Definition. A point of the surface M is said to be regular if it is not a critical

point of the mapping n.
In other words, a point of M is regular if the tangent plane at this point
is not vertical, or, equivalently, if the projection onto the (x, j^-plane is a
diffeomorphism in the neighborhood of the point.
The set of critical values of the mapping n (i.e, the projection of the set
of critical points) is called the discriminant curve of Eq. (1).

Example

The discriminant curve of the equation p2 = x is the j/-axis, and that of the equation
p2 = y is the x-axis (Fig. 20).

Consider a regular point of M. By the implicit function theorem, in the

neighborhood of this point M is the graph of a smooth function p = u(x, y).

Theorem. Projection onto the (x, y)-plane turns the integral curves of Eq. (1)
on M in the neighborhood of a regular point exactly into the integral curves
oj the equation

dy
v(x, y) (2)
dx

in the neighborhood of the projection of this point {Fig. 21).

Figure 20. Figure 21.

§ 3. Implicit Equations 17

^ By definition, the projection of a contact plane onto the (x, y)-plane is

a straight line in the direction field of Eq. (2). Therefore, under the local
diffeormorphism n, the direction field of Eq. (1) in the neighborhood of
the regular point on M under consideration turns into the direction field of
Eq. (2); consequently, the integral curves turn into each other, as well. ^

Remark. Globally, the projections of the integral curves of Eq. (1) onto the
(x, _y)-plane are not, in general, integral curves of some direction field. The
projections of integral curves of Eq. (1) onto the (x, y)-plane have cusps on
the discriminant curve in the general case; however, for some cases of
Eq. (1), these projections remain smooth at points of the discriminant curve.

C. Examples

1. p2 = x (Fig. 22). The surface M is a parabolic cylinder. The discriminant curve is

the y-axis. In order to find the integral curves, it is convenient to choose the co¬
ordinates p and y and not the coordinates x and y on M (the former coordinate
system is global).
We write down the conditions for the components dx, dy, and dp of the vector
at the point (x, y, p) of the surface M and belonging to our direction field :

p2 = x (the condition of belonging to A/);

< 2pdp = dx (the condition of being tangent to M);

dy = pdx (the condition of belonging to the contact plane).

Consequently, in coordinates (/?, y), the integral curves are determined from the
equation dy = 2p2 dp.
Hence, the integral curves on M are given by the relations y + C = fp3, x = p2.
Their projections onto the (x, y)-plane are semicubic parabolas.

Figure 22. Figure 23.

18 1. Special Equations

2. p2 = y (Fig. 23). Arguing as in the preceding example, we obtain

p2

Ip dp = dy,

dy = pdx.

Using the coordinates x and p on M, we obtain p(dx — 2 dp) = 0, whence either

p = 0, v = 0 or x = 2p + C, y = p2.

The projections of these curves onto the (x, _y)-plane are parabolas tangent to the
discriminant curve y = 0.

3. (Clairaut’s Equation), y = px + f(p) (Fig. 24). The surface M is ruled

(its intersections with the planes p — const are straight lines). It is con¬
venient to choose x and p as coordinates on M. We determine the integral
curves from the relations

y = px + f{p),

dy — pdx + x dp + f' dp,

dy = pdx.

Then (jc + f')dp = 0. The points where x + f' = 0 are critical, and
the remaining points are regular. On the (jc, p)-plane the integral curves
are the straight lines p = const = C; generally these straight lines inter¬
sect the line x + f' = 0 of critical points.
The projections of the integral curves onto the (jc, y)-plane are the
straight lines y = Cx + /(C) tangent to the discriminant curve. (Strictly
speaking, the points of intersection with the critical line do not belong to
the integral curves on M, since for the equation under consideration,
the direction field is not defined at these points: the contact plane is
tangent to M.)
The discriminant curve can be determined from the conditions

y = px + f(p), x + f = o.

Figure 24.
§ 3. Implicit Equations 19

For example, if f(p) = —p2/2, then the discriminant curve is the

parabola y = x2 j2, and the projections of the integral curves are its
tangents.

Clairaut’s equation is connected with important general mathematical

notions: the Legendre transformation and projective duality.

D. Legendre Transformation

Let a function / of the variable x be given. The Legendre transformation*

of this function is, by definition, a new function g of a new variable p defined
in the following way. Consider the graph of f on the (x, y)-plane. Draw
the line y = px with slope p. Determine the point where the graph is the
farthest from this straight line in the direction of the ordinate axis. Consider
the difference of the ordinates of points of the straight line and the graph.
This difference is the value of g at the point p (Fig. 25):

g(p) = sup(/?(x) - f(x)).

Examples

1. Let f(x) = x2j2. Calculating the Legendre transform, we obtain g(p) = p2 /2.

2. Let J\x) = x“/a.. Then g{p) = pfiIP, where a-1 + P~l = 1. (Here x, p, a, and ft
are nonnegative.)

Let / be strictly convex (f" > 0) and its derivative define a diffeomor-
phism of the real line onto itself. Then g is also strictly convex and the
supremum is attained at the uniquely determined point where f'(x) = p.
Points x and p are said to correspond to each other under the Legendre
transformation.

*In the literature several different objects, also associated with the names Minkowski and
Young, are called Legendre transforms as well. Nevertheless, we shall not try to be completely
pedantic concerning terminology.

Figure 25.
 20 1. Special Equations

Theorem. We have the inequality

fix) + g(p) ^ px.

If f is strictly convex and f' is a diffeomorphism onto, then equality is attained

if and only if the points x and p correspond to each other.

M The function px — f(x) does not exceed its supremum g{p). ►

Example

For any nonnegative x and p, we have the inequality px ^ xa/<x + Pp/P-

In the corollaries below, we assume that f and g are strictly convex and
their derivatives are diffeomorphisms of the real line onto itself.

Corollary. The Legendre transformation is involutive: the Legendre transform

of g(p) is f(x) (with appropriate notation of the coordinate).

This follows from the fact that the inequality in the preceding theorem
is symmetric with respect to f and g. ►

Corollary. The passage from the strictly convex function g in Clairaut's

equation y = px — g{p) to the function f giving the envelope of solutions by
the formula y = f(x) is the Legendre transformation.

The graph of/is the envelope of its tangents. ^

Remark. The Legendre transformation for functions of n variables can be

defined analogously and has the same properties. If x is a point in R", then
p is a point in the dual linear space (the space R"* of linear functions on R").

E. Projective Duality

The Legendre transformation is a particular case of a general construction

in projective geometry. Let us consider the w-dimensional projective space
RP".
A point of the projective space can be given by a nonzero vector x of
the linear space R"+1 determined up to multiplication by a nonzero number.
This definition can briefly be written as

RP" = (Rn+1\0)/(R\O).

A hyperplane in the projective space consists of those points of the projec-

§ 3. Implicit Equations 21

tive space for which the corresponding points of the linear space belong to
a hyperplane passing through the origin.
Let us consider the set of all hyperplanes in ^-dimensional projective
space. This set itself is an ^-dimensional projective space in a natural way.
Indeed, a hyperplane in the projective space is given by a homogeneous
equation

(a, x) = 0, x e IRn+1, a e IR"+1*\0,

where [Rn+1* is the space of linear functions on [R"+1 (this space is linear of
dimension n -1-1 and called the conjugate or the dual space of the initial
space IR"+1).
Hence, to a hyperplane in the projective space, there corresponds a non¬
zero vector in 1R"+1*, determined up to multiplication by a nonzero number.
Consequently, the set of all hyperplanes in IRP" has the natural structure
of a projective space of dimension n:

IRP"* = (Or+1*\0)/(R\0).

The projective space of hyperplanes in the projective space RP” is called

the dual space of IRP" and denoted by [RPn*. For example, the space of all
straight lines on the projective plane is itself a projective plane, dual to the
initial plane.
We note that duality is a “mutual” notion, i.e., IRP"** = IRP". This follows
from the symmetry of a and x in the equation (a, x) = 0 of a hyperplane.

Examples

All straight lines passing through one point of the projective plane form a
straight line in the dual plane, as is easily seen. All straight lines passing
through a given point of the projective plane inside an angle with vertex at
this point form an interval in the dual plane.

All tangents of a nondegenerate second-degree curve on the projective

plane form a nondegenerate second-degree curve on the dual space. In
general, all tangents of any smooth curve form a (not necessarily smooth)
curve in the dual plane. This curve is said to be dual to the initial curve.

Theorem. The graphs of a strictly convex function and its Legendre transform
are projectively dual to each other.

Consider all straight lines on the affine (x, y)-plane not parallel to the
y-axis. These straight lines themselves form a plane: a straight line can be
given by the equation y = px — z, and we can consider (p, z) as affine
coordinates in the new plane. In this case, the Legendre transformation
 22 1. Special Equations

reduces to the passage from the graph of a function f to the family of tangents
of this graph; when the point on the (x, j>)-plane runs over the graph of /,
the tangent of the graph of / runs over a curve in the (p, z)-plane which is
the graph of the Legendre transform, z = g(p). ►
Therefore, the Legendre transformation is the passage from a curve to
the projectively dual curve given in affine coordinates.

Example

Let the graph of/be a convex polygon. A supporting line is, by definition, a straight
line which is below the graph and which has a point in common with the graph.*
Consider all supporting lines of the convex polygon.
It is easy to see that they form a convex polygon in the dual plane. Indeed, the
supporting lines form an angle at every vertex of the initial polygon and, consequently,
form a segment or closed interval in the dual plane. Similarly, the vertices in the dual
plane are obtained from the sides of the initial polygon.

Projective duality allows us to consider more general cases than that of the Legendre
transformation.

Exercise. Determine the curve projectively dual to the curve in Fig. 26.

Hint. To the double tangents of the initial curve, there correspond points of self-
intersection of the dual curve. Consequently, the dual curve has four points of self¬
intersection.
To points of inflection of the initial curve there correspond cusps of the dual curve.
Indeed, iff = x3, then the tangent of the graph at the point x = t is given by the coor¬
dinates p = 312, z = 213. These relations define a curve with cusp in the (p, z)-plane.
Hence, the dual curve has eight cusps, two between any pair of consecutive self¬
intersection.
Moreover, consider the initial curve as a pair of intersecting ellipses somewhat
smoothed near the points of intersection (the part of each ellipse inside the other is
eliminated).

* In general, a supporting hyperplane of a convex body is a plane which has a common point
with the body and is such that the body lies in one of the half-spaces into which the plane divides
the space.
 § 3. Implicit Equations 23

Figure 27.

The dual curve is also connected with a pair of ellipses. To the points of intersection
of the initial ellipses there correspond double tangents of the dual ellipses. It is easy
to see how to construct the dual curve from the pair of ellipses with their double tangents
(Fig. 27).

F. The Legendre Transformation and Dual Norms

Definition. A norm in IR" is, by definition, a real nonnegative convex positively homo¬
geneous even function of degree 1. It is equal to zero only at the origin:

/Ss 0, f(x) = 0 x = 0,/(Ax) = |A|(x),f(x + y) ^f(x) + j\y).

Let/be a norm in IR". The function /is determined by the set where it is equal to
1. This set is- a convex hypersurface centrally symmetric with respect to zero. Con¬
versely, every convex compact body in IR” centrally symmetric with respect to zero
and containing zero inside it defines a unique norm which is equal to 1 on its boundary.
This hypersurface/ = 1 is called the unit sphere of the norm f.

Exercise 1. Determine the unit spheres of the following norms in IR3 :

(a) / = /(x, x); (b) / = max |jc,.|; (c) / = £ |x,|.

Let us consider the dual space IR”* of IR".

Definition. The dual norm in IR"* is defined as

g(p) = max \{p, x)|.

/<*>£ 1

It is easy to see that g is indeed a norm.

The relation of duality is mutual, since the defining inequality can be written in
the symmetric form |(p, x)| ^ f(x)g(p).
For every point p of the dual space, we consider the hyperplane p = 1 in the initial
space.

Theorem. The unit sphere of the dual norm is the set of supporting hyperplanes of the
unit sphere of the initial norm.
24 1. Special Equations

The condition g(p) = 1 means that (p, x) has maximum equal to 1 on the unit
sphere, i.e.. the plane p = 1 is a plane of support for the initial sphere. ^

The set of all hyperplanes of support of a given convex hypersurface is called the
dual convex hypersurface. Hence, the unit spheres of dual norms are dual.

Exercise 2. Determine the hypersurfaces in [R3 dual to the (a) sphere, (b) tetrahedron,
(c) cube, (d) octahedron.

Exercise 3. Determine the norms dual to the norms in Exercise 1.

From what was said above it is clear that the passage from a convex hypersurface
to its dual is locally given by the Legendre transformation.

G. The Problem of Envelopes of Families of Plane Curves

Two smooth functions

x = x(s, /), y - t)

of two variables define a family of curves in the plane parametrized by the parameter
t (indicating the point on the curve) and indexed by the parameter s (indicating the
index of the curve).

Exercise. Draw the families of curves defined by the following functions:

(a) x = (s + /2), v = t;
(b) x = s + st + t3, y = t2, 5 and t small;
(c) x = (5 + t2)2, y = t.

Answer. Cf., Fig. 28.

It can be shown that for a generic family the envelope is a curve whose only singular¬
ities are cusps (as in the case of a semicubic parabola) and points of self-intersection;
in the neighborhood of every point where the envelope is smooth, the family reduces
to one of the normal forms (a), (b), or (c) by means of a smooth transformation ATv, y),
K(.v, y) of the coordinates and a smooth transformation S(s), T(s, t) of the parameters.
This is not true in the holomorphic case. See J. P. Dufour, Families de courbes planes
differentiables, Topology 22, 4 (1983), 449-474; and V. I. Arnold, Wave fronts
evolution and the equivariant Morse lemma. Comm. Pure Appl. Math. 29, 6 (1976),
557-582.

(c)

Figure 28.
§ 4. Normal Form of an Implicit Differential Equation 25

In the neighborhood of a generic point of the discriminant curve, an implicit equa¬

tion can generically be reduced to the normal form

2
dy
X
dx

by means of a smooth transformation X(x, y), Y(x, y) of the coordinates (cf., § 4).
The projections of the integral curves onto the (A\ T)-plane are semicubic parabolas
in these coordinates. Hence, the discriminant curve is the envelope of the projections
of the integral curves only for exceptional equations (for example, Clairaut’s equation).
In particular, for a small generic perturbation of Clairaut’s equation, the discriminant
curve turns from the envelope into the locus of cusps of the projections of the integral
curves.

§ 4. Normal Form of an Implicit Differential Equation in

the Neighborhood of a Regular Singular Point

Here we study singularities of families of integral curves of a generic differential equa¬

tion implicit in the derivative.

A. Singular Points

Consider the equation

F(x, y,p) = 0 (1)

where p = dy/dx, and Fis a smooth function in some domain.

Let Eq. (1) define a smooth surface in the three-dimensional space of jets with the
coordinates (x, y, p). By the implicit function theorem, for this it is sufficient to assume
that the total differential of Fdoes not vanish at the points where F = 0.
Consider the projection of the surface F = 0 onto the (x, ^-coordinate plane
parallel to the ^-direction.

Definition. A point of the surface F = 0 is said to be singular for Eq. (1) if the projec¬
tion (x, y, p) i—► (x, y) of the surface to the plane is not a local diffeomorphism in the
neighborhood of this point.

By the implicit function theorem, the singular points are those points of the surface
F = 0 at which dF/dp - 0.

B. Criminant

Consider the set of all singular points of Eq. (1). In the three-dimensional space of
jets, this set is given by the two equations F = 0 and dFjdp = 0. Therefore, “generally
speaking”, the singular points form a curve.

Definition. The set of singular points of the equation F — 0 in the three-dimensional

(x, y, jp)-space of jets is called the criminant of the equation.
 26 1. Special Equations

By the implicit function theorem, the criminant is a smooth curve in the three-
dimensional space of jets in the neighborhood of each of its points where the rank of
the derivative of the mapping (x, y, p) i—> (F, dF/dp) of the three-dimensional space to
the plane is maximal (equal to 2).

C. Discriminant Curve

Definition. The projection of the criminant to the (x, jy)-plane parallel to the p-direction
is called the discriminant curve*.

By the implicit function theorem, the neighborhood of a point of the criminant is

projected diffeomorphically to the (x, y)-plane parallel to the p-direction if the crimi¬
nant is not parallel to the p-direction.

Remark. Under the above conditions, the discriminant curve can well have singularities.

These singularities arise because, in general, several points of the criminant curve
can be mapped onto the same point of the discriminant curve by the projection. Ge-
nerically, these singularities will be points of self-intersection of the discriminant curve.
For the generic equation in the neighborhood of such a point, the discriminant curve
consists of two branches intersecting at a nonzero angle.
On the other hand, to the points where the tangent to the criminant is parallel to
the p-direction, generically there correspond cusps on the discriminant curve.
All more complicated singularities of the discriminant curve besides points of self¬
intersection and cusps can be eliminated by a small perturbation of the equation.
These two types of singularities are preserved, only a little displaced, for small deforma¬
tions of the equation.

D. Points of Tangency of the Criminant with the Contact Plane

At every point (x, y, p) of the space of jets, there is a contact plane dy = pdx. In parti¬
cular, such a plane exists at the points x of the criminant. The tangent of the criminant
at a given point may lie in the contact plane or it may intersect it.

Definition. A point of the criminant is called a point of tangency with the contact plane
if the tangent of the criminant at this point lies in the contact plane.

We note that points of tangency of the criminant with the p-direction are points of
tangency with the contact plane. Indeed, the contact plane contains the p-direction at
every point.

E. Regular Singular Points

Definition. A singular point of Eq. (1) is said to be regular if at this point the condition
of smoothness of the criminant*

*This definition is a reformulation of the definition of a discriminant curve in § 3.

^The rank of a mapping is the rank of its derivative.
 § 4. Normal Form of an Implicit Differential Equation 27

rank((.v, y, p) i-> (F, Fp)) = 2

is satisfied and the criminant is not tangent to the contact plane.

Example

Consider the equation p2 = x. The criminant is given by the equations p = 0 and

x = 0. This is the p-axis. The condition of smoothness is satisfied. The tangent vector
(0, 1,0) of the criminant does not lie in the contact plane dy = 0dx. Consequently,
every singular point of the equation p2 = x is regular.

Remark. For a generic equation, almost all singular points are regular: the nonregular
points lie on the criminant discretely. If this is not so for a given equation, then it can
always be achieved by a small perturbation. This and the previous "genericity argu¬
ments” can be verified by Sard’s theorem in § 10.

F. \ Theorem on the Normal Form*

\
Theorem. Let (x0, y0, p0) be a regular singular point of the equation F(x,y,p) = 0.
There exists a diffeomorphism of the neighborhood oj the point (x0, y0) in the (.v, y)-
plane opto the neighborhood of the point (0, 0) in the (X, Y)-plane reducing the equation
F = 0 i'o the form P2 = X (where P = dY/dX).

Explanation. The equation F = 0 defines a surface in the three-dimensional space of

linear elements in the (.v, p)-plane. A diffeomorphism of the plane transforms every
linear element into a new linear element. It is claimed that the part of the surface F = 0
near a regular singular point can be transformed into a part of the surface P2 = X
near the point (X = 0, Y = 0, P = 0).

Corollary. In the neighborhood of a regular singular point, the family of integral curves
of Eq. (1) is diffeomorphic to the family of semicubic parabolas y = x312 + C.

The diffeomorphism mentioned in the theorem maps integral curves of Eq. (1) in
the (a, >’)-plane to integral curves of the equation P2 = X in the (X, T)-plane. These
latter integral curves are semicubic parabolas with cusp on the discriminant curve:
dY/dX = ^/X, Y = \X312 + C. ►

G. Proof of the Theorem on the Normal Form

1. Reduction to the Case Where the Criminant Is the y-Ax is. Let(.v0, v0,/>0)
be a regular singular point of the equation F(x, y, p) = 0. Then the discriminant curve
is smooth in the neighborhood of (x0, y0). Consider the projections of the contact
planes onto the (x, y)-plane at the points of the criminant. In the neighborhood of
(*0’ To)> we obtain a family of straight lines not tangent to the discriminant curve.
Now choose a local coordinate system near (x0,y0) in the (x, y)-plane so that (1)

* M. Cibrario, Sulla reduzione a forma canonica delle equationi lineari alle derivate parziali di
secondo ordine di tipo mislo\ Accademia di scienze e lettere, Instituto Lombardo, Rendiconti 65
(1932), 889-906.
28 1. Special Equations

the equation of the discriminant curve is x = 0; (2) the straight lines y = const inter¬
sect the discriminant curve in the directions just constructed.
As before, we shall denote the coordinates by (x, y) and the derivative dyfdx by p.
The singular point has the coordinates (0, 0, 0).

2. Analysis oj the Regularity Conditions. In our coordinate system, the crim-

inant is the y-axis; we have x = 0, p = 0 (y = const). From this it follows for our
equation that F(0, y, 0) = 0, Fp(0, y, 0) = 0 in the coordinates introduced above. The
regularity condition of the criminant has the form

det
D(F, Fp)
* 0, i.e..
FXI, * 0
D(x,p)

(since Fy = 0, Fyp = 0 at the points of the criminant). Moreover, Fp = 0 at the points

of the criminant. Consequently, the regularity condition of the criminant can be
written in the form

FJ0, y, 0) A 0, Fpp(0, y, 0) * 0.

The condition of nontangency to the contact plane is satisfied automatically.

Expand Finto a Taylor series in p with the remainder of order 2:

F(x, y,p) =-- A(x,y) + pB(x, y) + p2C(x,y,p).

It follows from the above relations that A(0,y) = 0, 5(0, y) = 0. Therefore, we may
write A(x, y) = xa(x, y), B(x, y) = xp(x, y), where a and P are smooth functions.
The regularity conditions of the criminant curve have the form Ax(0, y) ¥= 0,
C(0, y, 0) # 0. In what follows we may even assume that C > 0, Ax < 0 (if this is
not so, we change the signs of F and/or x). Thus a(0, 0) < 0, C(0, 0, 0) > 0.

3. A Quadratic Equation. Consider the relation F = 0 as a quadratic equation in

p with coefficients C, 5, and A. We obtain

— B + y/B2 - 4AC -xP ±

P = - = ---

2C 2C

where y = —4otC -I- xP2 is a function of (x, y, p), and y(0, 0, 0) = — 4a(0, 0, 0) x
C(0, 0, 0) > 0.
Finally, let x = £2. Keeping only the sign “ + ” in “ ± ”, we obtain

-epg\y) + ZJv(e,y,p)
2C(£2, y, p)

We apply the implicit function theorem to this equation in p(£, y). We obtain a solution
p = £cu(<f, y), where (o is a smooth function and a>(0, 0) # 0.

4. A Differential Equation for y{f). We note that p = dyfdx — dy/2£ d£,. There¬
fore, we obtain the following differential equation fory(^):

-f = 2 ^2m(^,y), cu(0,0)^0. (2)

dc,
§ 4. Normal Form of an Implicit Differential Equation 29

In the (<!;, y)-plane the integral curves intersect the axis ^ = 0 and have points of tangency
of order 2 with the straight lines y = const. Therefore, the equation has a first integral
of the form /(<{;, rj) = y — £3K(£, y), where K is a smooth function, and A^(0, 0) ¥= 0.
(/ is the coordinate of the intersection point of the integral curve through (<!;, .y) with
the axis £ = 0; K # 0 since oj # 0.)

5. Construction of Normalizing Coordinates. We decompose K into even and

odd parts with respect to £:

K{Cy) = ue,y) + SM(?,y).

Here L and M are smooth functions of x and y, and L(0, 0) ^ 0. With this notation
we have /(£, y) = y — CMif2, y) — £3 L(£2, y). We introduce new variables Y and E
by the formulas

E = <^L(£2, y), Y = y — M(£2, y).

Then 1 = Y - E3.
Consider also X - E2. Then

X = x$L2(x, y), Y = y - x2M(x, y).

These formulas give a local diffeomorphism of the plane in the neighborhood of (0, 0),
since L(0, 0) # 0. The first integral takes the form

I = Y — X3'2.

Now (dY/dX)2 = \X. The normal form can be obtained by stretching one of the
coordinate axes. ^

H. Remarks

The basic step in the above proof is the substitution x = f2, i.e., the passage to a two-
sheeted covering of the (jc, jy)-plane with branching along the discriminant curve. From
topological arguments (although, in a complex domain), it is clear a priori that the
two-valuedness of p(x, y) disappears on this two-sheeted covering, and the equation
splits into two. To trouble with the quadratic equation is necessary only for the proof
of this fact in a real domain. It remains to reduce Eq. (2) obtained on the covering
to its normal form by a diffeomorphism of the covering plane into itself. This can
easily be achieved by decomposing the first integral into even and odd parts with
respect to

Remark. Our proof used the representation of an even function by a function of the
square of its argument. For analytic functions (or formal series) such a representation
is obvious. In the case of a smooth function, it needs a proof.
Indeed, an infinitely differentiable even function can be considered as a function
of the square of the argument with values on the positive semiaxis. It is infinitely
differentiable at all points of this semiaxis, including zero. We have to represent it as
 30 1. Special Equations

the restriction to the positive semiaxis of a function infinitely differentiable on the

entire axis.
Such a representation is possible since a smooth extension to the negative semiaxis
exists. This follows from the theorem (of Borel) on the existence of an infinitely differ¬
entiable function on the real line with an arbitrary Taylor series at zero. We do not
discuss the (simple) proof of this theorem.
Besides the regular singular points, a generic equation may have some isolated
points where the discriminant curve is smooth, but the contact plane is tangent to the
surface defined by the equation. At a neighborhood of such a point, a generic equation
is reducible to the normal form

y = (P + kx)2

by a diffeomorphism of the (jc, j/)-plane; for the proof, see A. A. Davydov, The normal
form of the differential equation implicit in the derivative, Funct. Anal. Appl. 19, 2
(1985), 1-10. The topological case was settled in A. V. Phakadse, A. A. Shestakov,
On the classification of singular points of a first-order differential equation implicit in
the derivative. Mat. Sbornik 49, 1 (1959), 3-12.
The direction field on the surface defined by the equation has, at a generic point
of tangency of a contact plane with the surface, a singularity of the same type as a
direction field of a plane generic vector field at its singular points—that is, a saddle
node or a focus. Hence these singular points of the implicit differential equations are
called folded saddle (nodes, foci): they are obtained from ordinary saddles (nodes, foci)
by a folding mapping.
It is interesting to note that the foldings generate no new moduli: the parameter k
in the normal form is defined by the ratio of the eigenvalues of the linearization of the
vector field, whose phase portrait generates the folded singularity under the folding
mapping (Fig. 29).
In contrast with these singularities, those corresponding to the cusps of the dis¬
criminant curve have functions-moduli not only with respect to diffeomorphisms, but
even with respect to homeomorphisms of the plane (x, y) (see the Davydov paper
quoted above). These cusps are the projections of Whitney pleats on the (jc, j>)-plane.
The projections of the integral curves on this plane may be described as the family
of projections of the swallowtail surface’s generic plane sections under a generic (rank

Figure 29.
 § 5. The Stationary Schrodinger Equation 31

2) mapping of the ambient space on the plane. The swallowtail surface is given by

{(a, b, c): /4 + at2 + bt + c has a multiple root}.

The sections may be chosen as a = const (Fig. 30).

The proof of the above statement on the integral curves is published in J. W. Bruce,
A note on the first-order differential equations of degree greater than one and wavefront
evolution, Bull. London Math. Soc. 16 (1984), 139-144 (see also V. I. Arnold, Wave-
fronts evolution and the equivariant Morse lemma. Comm. Pure Appl. Math. 29, 6
(1976), 557-582).

§ 5. The Stationary Schrodinger Equation

In this section we develop the mathematical rudiments of elementary quan¬

tum mechanics. We do not discuss the physical motivation of the concepts
introduced here, but use physical terminology for the description of proper¬
ties of solutions of the equation.

A. Definitions and Notation

In physics the equation

^ + (E - t/(*))T - 0 (1)

is called the stationary Schrodinger equation.

The independent variable x is called the Cartesian coordinate of the par¬
ticle. The unknown, in general, complex-valued function 4* is called the wave
function of the particle, and the solutions of the Schrodinger equation are
called the states of the particle. The spectral parameter E is called the energy
of the particle, and the given function U the potential or potential energy of
the particle. Quantum mechanics deals mainly with the study of the proper-
 32 1. Special Equations

ties of Eq. (1) and equations and systems of partial differential equations
generalizing it.

Example

Let U = 0. Then the particle is said to be free. The Schrodinger equation for a free
particle with energy E = k2 has the form

Tv, + k2xV = 0. (2)

This equation has the two linearly independent solutions

lf< — e‘kx __ e~ikx

These two solutions describe the particle moving to the right (with momentum k > 0)
and the particle moving to the left, respectively. Hence, the space of solutions of a free
particle with energy £ is a two- dimensional complex space.

Physicists call the square of the absolute value of the wave function the
probability density of the event that the particle is at a given place. Hence,
a free particle with impulse k “can be found at any point with the same
probability.” (This terminology can be used regardless of the meaning of
these words and regardless of how all this is connected with probability
theory.)

B. Potential Barriers

We assume that the potential has compact support (is different from zero only
in some domain). If U ^ 0, then we say that we are given a potential barrier,
if U ^ 0, then we say that we are given a potential well. The domain where
the potential is different from zero is called the support of the potential
(Fig. 31).
We assume that the energy E = k2 of the particle is positive. Left of the
support, Eq. (1) coincides with Eq. (2) of a free particle. Consequently,
Schrodinger’s equation has two solutions which coincide with etkx and
e~ikx left of the support. These two solutions are called the particle incoming
from the left and the particle outgoing to the left, respectively. We note that

U\

Incoming from left Outgoing to right

Outgoing to left Incoming from right

Figure 31.
§ 5. The Stationary Schrodinger Equation 33

these solutions are defined for all x, but coincide with e'kx and e lkx only
left of the support.
Exactly in the same way, there exist two solutions which coincide with
e'kx and e~lkx right of the support. These solutions are called the particle
outgoing to the right and the particle incoming from the right, respectively.

Exercise. Can a particle arriving from the left be entirely reflected to the left (i.e., can
a wave function be zero right of the barrier and not zero left of it)? Can the particle
depart to the right entirely?

Solution. No, yes.

C. Monodromy Operator

Definition. The monodromy operator of the Schrodinger equation (1) with a

potential of compact support is a linear operator mapping the state space
of a free particle with energy E = k2 into itself. It is defined in the following
way.
To a solution of Eq. (2) of a free particle we assign a solution of the
Schrodinger equation coinciding with it to the left of the support, and to
this solution, in turn, we assign its value to the right of the support.
It turns out that the monodromy operator has the remarkable (1, 1)-
unitarity property. In order to formulate it, we introduce the following.

Notation. Denote by [R2 the space of real solutions of the Schrodinger equation
(1). The space of states of the particle (i.e., the space of complex solutions of
the equation) is the complexification of IR2 ; we denote it by C2 = C!R2. All
four states of the particle arriving and departing to the right and left belong to
this space.
The space of real solutions of eq. (2) of a free particle is denoted by [Rq
(since U = 0 for a free particle). In this space, we have the following natural
basis:

ex = cos kx, e2 = sin&jc.

We denote the space of states of a free particle by Cq ; this is the complexifica¬

tion of IRq . The states of the particles moving to the right and to the left form a
natural basis. We denote them by

/. = 3ikx
A =
- ikx

Note that el and e2 determine a basis in the state space, too. These two bases
are connected via the relations

A = ei + iei. A = ei
- ie2.
 34 !. Special Equations

Definition. The group SU(1, 1) of (1, 1 )-unitary unimodular matrices consists

of all complex 2x2 matrices with determinant 1 preserving the Hermitian
formlzj2 — | z212. In other words, these are all matrices 5) for which |«|2 —
|6|2 = |cj2 — \d\2 = 1, ac — bd = 0, ad — be = 1.

Theorem. The matrix of the monodromy operator in the basis (/, ,f2) belongs to
the group SU(1, 1).

The reason why the monodromy operator belongs to SU(1, 1) is that the
phase flow of Eq. (1) preserves area. For the proof, recall some information
on the group SU(1, 1).

D. An Algebraic Digression: The Group SU(1, 1)

Consider the real linear space R2 and its complexification C2. In R2, choose
an area element and denote by [£, >7] the oriented area of the parallelogram
generated by the vectors £ and rj. The skew-symmetric inner product [ , ] is
called a symplectic structure. If a basis (ex,e2) is fixed in R2 for which
[ex,ef\ = f then [£, >7] is equal to the determinant consisting of the
components of the vectors £ and rj in the basis ex, e2.
The complexification of the bilinear form [ , ] defines a symplectic
structure in C2, which we shall denote by the same square brackets.
We note that the form [ , ] is nondegenerate: if [£, rf\ = 0 for all then
>7 = 0.
Consider the Hermitian form >/> = rf\ in C2. This is indeed a
Hermitian form: g)> = >7), rj) = <>7, £>. For the following, it is
useful to calculate the Hermitian products of the vectors fx = ex + ie2 and
f2 = ex — ie2. It is easy to prove the following lemma.

Lemma. The following relations hold:

</,,/i> = i, </2./2> = -i. </lJ2> = 0.

^ For example.

1
</,,/,> = j [/.,/,] 2 [-A ’-^2] — 2 1. ^
—i

Hence, the Hermitian form < , > is of “type (1, 1)” (one positive and one
negative square in the canonical form <z, z> = |zj|2 — \z2\2)-
Now we consider the linear transformations of the plane C2 preserving
the Hermitian, symplectic, and real structures.
§ 5. The Stationary Schrodinger Equation 35

Figure 32.

Definition. The group of linear transformations of the plane C2 preserving the

Hermitian form < , > is called the (1, 1 )-unitary group and denoted by U (1, 1).
The group of linear transformations of the plane C2 preserving the
symplectic structure [ , ] is called the special (or unimodular) linear group of
second order and denoted by SL(2, C).
The group of all real linear transformations of the plane C2 (i.e., the group
whose elements are complexifications of linear transformations in (R2) is
called the real linear group of the second order and denoted by GL(2, R).

Hence, we have defined three subgroups of the group GL(2, C) of linear

transformations of C2 : the (1, l)-unitary group U(l, 1), the unimodular
group SL(2, C), and the real group GL(2, R).
The Hermitian form < , > defining the unitary group, the symplectic
structure [ , ] defining the unimodular group, and the complex conjugation
defining the real group are connected by the relation <<a, by = (i/2)\_a, b~\.

Theorem. The intersection of any two of these groups coincides with the inter¬
section of all three groups {Fig. 32).

This intersection is called the special (1, 1 )-unitary group* and is denoted
bySU(l, 1). [It is also called real unimodular group and is denoted by SL(2, R)
or the real symplectic group of the second order and denoted by Sp(l, R).]

If the transformation A is real and unimodular, then [A£, Ag] = [<!;, rf\
and A£ = A£. Therefore, (Ag, Ag> = i/2\_Ag, Arf\ = i/2\_Ag, Atf] =
1/2[f, g~\ = <£, *?>• _ _
If A is real and (1, l)-unitary, then <Ag, Ag} = (g, g} and Ag = A£.
Therefore, [AAg] = —2i(Al;,Agy= -2i<A£,Agy = -2i(£,rjy = [£,g].
If A is (1, l)-unitary and unimodular, then [Alj, Ag] = [<^, g~] and
[A£, Ai{] = [<^, rj\. Therefore, [A£, Ag] = [A^, Arf\ for all ^ and g. Con-

* We emphasize that we are dealing with operators and not matrices. The matrices of these
operators belong to the matrix group SU(1, 1) for the special choice of basis indicated above.
36 1. Special Equations

sequently, [£, At] — Atf\ = 0 for all £, and hence At] = At] for all t], i.e., A is
real. ^

Corollary. If the matrix of an operator in the real basis (el, e2) is real uni-
modular, then the matrix of this operator in the complex conjugate basis
(Ji = el + ie2,f2 — e\ ~ ief) is special {1, l)-unitary, and conversely.

M The Hermitian scalar square of the vector z1fl + z2f2 can be expressed
by the coordinates (zl,z2) in the basis (f\,f2) by the formula <z, z) =
1-zJ2 — |z2|2 (cf., the lemma above). Therefore, the following statements
are equivalent:

(i) the matrix of A in the basis (ex, e2) is real and unimodular;
(ii) A e GL(2, R) H SL(2, C).
(iii) A e SU(1, 1); and
(iv) the matrix of A in the basis (fx, f2) is (1, 1 )-unitary and unimodular.

E. A Geometric Digression: SU(1, 1) and the Lobachevsky Geometry

The matrix groups SL(2, IR) and SU(1, 1) are connected with the Lobachevsky
geometry in the following way (Fig. 33).
A real unimodular matrix of the second order defines a linear-fractional
transformation z —► (az + b)/{cz 4- d) mapping the upper half-plane onto
itself. This transformation is a motion of the Lobachevsky plane represented
in the form of the upper half-plane. All motions of the Lobachevsky plane can
be obtained in this way. The group of motions of the Lobachevsky plane is
isomorphic to SL(2, IR)/±E.
A 2 x 2 unimodular (1, l)-unitary matrix defines a linear-fractional trans¬
formation of the unit disk onto itself. Indeed, the cone \zl |2 < |z2|2 is mapped
onto itself by any (1, l)-unitary unimodular transformation. Under the
natural mapping

C2\6> -* CP1, (zl5 z2) i—► w = Zj/z2,

this cone turns into the unit disk |w| < 1 and the linear transformations of
C2 into linear-fractional transformations of CP1 (Fig. 34).
The linear-fractional transformations of the unit disk onto itself expressed
by matrices belonging to SU(1, 1) are the motions of the Lobachevsky plane

Figure 33. Figure 34.

§ 5. The Stationary Schrodinger Equation 37

represented as the interior of the unit disk. All motions of the Lobachevsky
plane can be obtained in this way. The group of motions of the Lobachevsky
plane is isomorphic to SU(1, 1 )/±E.
The matrix groups SL(2, R) and SU(1, 1) are isomorphic: they are
obtained from the same group of operators. The matrices of these operators
in the real basis (el5 e2) belong to SL(2, R), and in the complex conjugate
basis, belongs to SU(1, 1). The passage from SL(2, R) to SU(1, 1)
corresponds to the passage from the real basis to the complex conjugate
basis, and from the model of the Lobachevsky plane in the upper half-plane to
its model in the unit disk.

Problem. Prove that SL(2, R) is homeomorphic to the solid torus S 1 x D2 (the interior
of a doughnut).

F. Properties of the Real Monodromy Operator

We return to the monodromy operator of the Schrodinger equation (1).

Besides the spaces R2 and R^ of solutions of Eq. (1) and Eq. (2) of a free
particle, we consider the phase plane R2. The points of the phase plane are
pairs (y, 'Fx) of real numbers.
Fixx e R. Consider the linear operator

Bx : R2 -► R2, T i-» C¥(x), yx(x)),

assigning the initial condition at the point x to each (real) solution of Eq. (1).
This operator is an isomorphism. The isomorphism g*2 = BXl{Bx')~l is
called the phase transformation from xy to x2.
For Eq. (2) of a free particle, the operator (solution i—► phase point)

Bx : R2 - R2

is defined in a similar way.

With this notation, the real monodromy operator M is defined by the

following commutative diagram of isomorphisms:

M ,2
a
 38 1. Special Equations

Here / indicates a point left of the support, and r a point to the right of it. The
operator M does not depend on the choice of these points.

Theorem. The determinant of the monodromy operator of the Schrodinger

equation is equal to 1.

M In the space IRg of real states of a free particle, we choose the basis
c, = coskx, e2 — sin/:*. In the real phase space [R^, the coordinates T, 4^
are chosen, thereby determining a basis as well. In this basis, the matrix of
Bq has the form

f cos kx sin/or \
0 \— A: sin/:* k coskx)

Consequently, det B£ = k does not depend on x. In particular, the

determinants of the left and right vertical isomorphisms in the diagram are
the same. Hence, det M = g' (the diagram is commutative). By Liouville’s
theorem, the phase flow is area preserving (the term 4^ does not enter
into the Schrodinger equation). Therefore, det^[ = 1. Consequently,
det M — 1. ^

G. Properties of the Complex Monodromy Operator

-4 Proof of the theorem (from § 5B) on the (1, l)-unitarity.

The complex monodromy operator is the complexification of the real
monodromy operator.
The matrix of the monodromy operator in the real basis (e{, e2) is in
SL(2, IR) (cf., § 5F). Consequently, the matrix of this operator in the complex
conjugate basis {fx — ex + ie2’fz — ei ~ ie2) \s in SU(1, 1) (cf., § 5D,
Corollary) ►

Problem. Prove that the Schrodinger equation (1) does not have a nonzero solution
coinciding with ae'kx to the left of the support and with be~,kx to the right of it (no
particle can arrive without departing).

Solution. The monodromy operator preserves the (1, 1 )-Hermitian square \zl |2 — \z2\2.
On the other hand, <ae‘kx, ae'kxy = \a\2, <be~'kx, be~lkxy = —\b\2 (cf., the Lemma in
§ 5D). Consequently, \a\2 = —16|2, i.e., a = b = 0.

H. Transmission and Reflection Coefficients

Definition. We say that a particle arriving from the left with impulse k > 0
passes the barrier with transmission coefficient \A\2 and reflection coefficient
\B\2 if the Schrodinger equation (1) in which E — k2 has a solution equal to
 § 5. The Stationary Schrodinger Equation 39

elkx + Be lkx to the left of the barrier;

Aeikx to the right of the barrier (Fig. 35).

Lemma. The solution and the complex constants A and B satisfying the above
conditions exist and are unique for every k > 0.

^ We consider the particle departing to the right (the solution equal to

elkx to the right of the barrier). Left of the barrier this solution, as any other, is
a linear combination of elkx and e~lkx. The coefficient of elkx is different from
zero, since the monodromy operator is (1, l)-unitary (cf. the Problem in
§ 5G).
Dividing by this nonzero coefficient, we obtain the required solution.
Hence, coefficients A and B are defined uniquely. ►

Problem. Prove that the transmission coefficient is always different from zero.

Solution. If *P = 0 to the right of the barrier, then 4* = 0 to the left of it, as well.

Theorem. The sum of the transmission and reflection coefficients is equal to 1.

-4 Lemma. In the basis (/t = e,kx,f2 = e~‘kx), the matrix of the monodromy
operator can be expressed in terms of the complex coefficients A and B by the
formula

\/A — B/A \
(M)
-B/A 1/A )'

By the definition of A and B, the monodromy operator acts according to

the formula j\ + Bf2 i—► Afx. Since the monodromy operator is real, we can
also determine the image of the complex conjugate vector. Taking the rela¬
tion fx = J2 into account, we obtain f2 4- Bfx t—> Af2. Dividing by A # 0
and A # 0, we obtain the matrix

\/A B/A \
(AT1)
B/A 1/A )

of the inverse of the monodromy operator.

40 1. Special Equations

To invert a unimodular matrix of the second order, it is sufficient to

interchange the diagonal elements and change the sign of the nondiagonal
ones:

(a b\(d -6\ = fad- be 0 \

\c d) V-c ) \ 0 ad - be)' w

Since M e SU(1, 1), we obtain l/|/l|2 — |f?|2/|T|2 = 1. ►

Problem. Calculate the transmission and reflection coefficients for the potential equal
to a constant U0 for 0 < x ^ a and zero at the remaining points (Fig. 36).

Solution

Uq sin2 ak t \ 1
4E(E - U0) ) ’

where E = k2, E — U0 = k\. (Passing over the barrier, the particle slows down;
therefore, the probability density of finding it within the barriers is larger than finding
it outside.) For large E, the coefficient of reflection converges to 0,

Ul
B\2 sin2 aki.
4E(E - U0)

If the energy of the particle is less than the height of the barrier, then the transmission
coefficient is exponentially small:

4k2x2
(k2 + *2)sh2 aye + Ak2*2'

where E = k2, UQ — E = *2 (Fig. 37). Although the transmission coefficient through

a high and wide barrier is small, it is always different from zero (“tunneling effect”;
a quantum particle “passes under the barrier” which is not surmountable for a
classical particle).

Figure 36. Figure 37.

§ 5. The Stationary Schrodinger Equation 41

Figure 38.

I. Scattering Matrix

Along with the passage through a barrier from left to right we may consider
passage from right to left. The corresponding solution yY2 is equal to

e-‘kx _|_ to the right of the barrier;

A2e~ikx to the left of the barrier (Fig. 38).

Definition. The matrix

A B
B2 a2

is called the scattering matrix (or S-matrix).

Remark. From the viewpoint of the stationary Schrodinger equation, it is

difficult to understand which operator corresponds to this matrix and why
this matrix has the remarkable properties we are going to prove. The explana¬
tion lies in the fact that S “transforms incoming particles into outgoing ones”.
These words can be given an exact meaning if we consider the nonstationary
equation (which we shall not do).

Theorem. The scattering matrix is unitary, and the transmission coefficients

from left to right and from right to left are identical: A = A2.

The monodromy operator acts in the following way:

^2/2 1 *fi "F f2> ^2/1 K/i f ^2/2-

Consequently,
42 1. Special Equations

Comparing this with the matrix calculated in the Lemma of § 5H, we obtain

A2 = A, B2 = -BA/A.

Since \A\2 + \B\2 = \A2\2 + |i?2|2 = 1 and AB2 + BA2 = 0, the matrix S is
unitary. ►

Remark. We have considered the Schrddinger equation (1) with the real spectral
parameter E = k1. It proves to be very useful to consider complex vaules of k as well.
The scattering matrix remains unitary and symmetric for complex k. Besides, S is
''real’', S( — k) = S(A:) and "analytic”, A(k) is the boundary value of a function,
analytic in the upper half-plane Im/r > 0, and having a finite number of poles on the
imaginary axis.
Since the transmission and reflection coefficients can be measured, there arises the
so-called inverse problem of scattering theory of determining the potential U from the
scattering matrix S(k).
The potential U is given by a real function on the real line or two real functions on
the half-line. The coefficients A and B are two complex functions on the semi-axis
k > 0, i.e., four real functions on this semi-axis. The unitarity condition\A |2 + \B\2 = 1
decreases the number of real functions on the semi-axis from four to three.
Since3 > 2, it can be expected that not every pair A, B satisfying the condition\A |2 +
\B\2 = I corresponds to a potential: in order to reconstruct the potential from A and
B, another condition has to be imposed on these coefficients. Analyticity turns out to
be such a condition.
It is surprising that these heuristic arguments based on the calculation of the number
of arbitrary functions can be turned into theorems which can be formulated and
proved in an exact manner (however, these theorems go beyond the scope of this course).

J. Bound States

Now we consider the potential in the form of a finite well (£/(*) ^ 0,

U(oc) = 0). We say that a particle is in the well if —► 0 as x —* ± oc
(Fig. 39). It is clear that the particle can be in the well only if its energy E
is negative. Left or right of the well, the solution is a linear combination of
the functions exx, where x2 — — E, x > 0. A particle is in the well if
the coefficient of the exponential function increasing to the left vanishes to

Figure 39.
§ 6. Geometry of a Second-Order Differential Equation 43

the left of the well and the coefficient of the exponential function increasing
to the right vanishes to the right of the well. A solution with these properties
does not exist for every negative value of the energy.
It turns out that if the well is sufficiently deep and wide, then there exist a
finite number of negative values of E for which the particle can be stationary
in the well; the deeper and wider the well, the larger the number of these
values.
These values of E are called stationary levels, and the wave functions 4*
decaying as x —> ± oo are called bound states (in case the well is not compact,
J|T|2 dx < oo is required).

Problem. Determine the stationary energy levels in the rectangular well of depth U{t
located between x = 0 and x = a (Fig. 40).

Answer. E = 4£2/U2 — U0, where are the roots of the equation

cose = ±VG sin tf = ±y£ ^y

(tan e > 0 for the first equation, and tan d; < 0 for the second).

Problem. Prove that the wave functions T. corresponding to bound states with distinct
energy levels are orthogonal:

T, T2 dx = 0.

Problem.* What is the connection between stationary energy levels of bound states
and the poles of the S-matrix on the imaginary axis?

§ 6. Geometry of a Second-Order Differential Equation

and Geometry of a Pair of Direction Fields in
Three-Dimensional Space

Here we discuss those local properties of solutions of a second-order differential

equation which are geometric, i.e., invariant under diffeomorphisms of the plane of
the dependent and independent variables.
44 1. Special Equations

With every second-order diferential equation there is associated a pair of direction

fields in three-dimensional space. The problem of local classification of second-order
equations up to diffeomorphisms of the plane is equivalent to the problem of local
classification of generic pairs of direction fields in three-dimensional space up to
diffeomorphisms of the space. Below, invariants and “normal forms” are considered
for these two equivalent problems.

A. Configuration Properties of Solutions of Linear Equations

The graphs of solutions of the equation d2yjdx2 = 0 (straight lines) satisfy the con¬
figuration theorems (Papp, Desargues, etc.) of projective geometry.

Theorem. The family of graphs of solutions of any second-order homogeneous linear

equation

d2y dv
-A + «(*)-/ + b^y = 0
dx dx

is locally (in the neighborhood of any point x = x0) diffeomorphic* to the family of graphs
of solutions of the simplest equation d2yjdx2 = 0.

Corollary. The configuration theorems of projective geometry hold (locally) for the graphs
of solutions of any second-order linear equation, for example, for the family of curves
y = /4sinx -I- Bcos x or y = Aex — Be~x.

^ Consider a solution y, not vanishing at x0 and another solution y2 vanishing at

x0 but not identically zero. The formulas

y, yi

give the desired diffeomorphism. ►

Remark 1. The coordinates (X, Y) are determined up to a linear-fractional transfor¬

mation. (They undergo this transformation under the substitution of the solutions^ l and
y2 by their linear combinations.) In particular, on the x-axis, the coordinate X induces
the structure of a locally homogeneous projective manifold (an atlas in which the
transition functions are projective transformations of a straight line, i.e., linear-
fractional functions.)
Similarly, in the (x, y)-plane, a second-order homogeneous linear equation defines
the structure of a locally projective plane.

Remark 2. Two locally projective manifolds are said to be equivalent if there exists a
diffeomorphism mapping one locally projective structure into the other.

♦That is, there exists a diffeomorphism of the neighborhood of the straight line x = x0
onto the (x, y)-plane turning the graphs of solutions into straight lines.
 § 6. Geometry of a Second-Order Differential Equation 45

Problem. List all different structures of a locally projective manifold up to equivalence

(a) on a straight line, (b) on a circle.

Hint. All locally projective structures on a straight line are induced by a mapping into
the projective line (i.e., the circle) with nonvanishing derivative; the number of inverse
images of points of the circle under this mapping is an invariant of the structure.
On the circle the two-sheeted covering of the projective line defines a locally projec¬
tive manifold structure, not equivalent to the structure of the projective line. However,
not every locally projective structure on the circle is induced from the structure of the
projective line. The classification of locally projective structures on the circle is con¬
nected with the classification of Hill’s equations (second-order linear equations with
periodic coefficients). Even equations with constant coefficients introduce structures
not induced from the projective line.

B. Normal Form of the Quadratic Part of a Second-Order Equation

in the Neighborhood of a Given Solution

Now we consider an arbitrary second-order nonlinear equation.

dzy = <t> x, y
dy
dx2 dx

We will study the geometry of the two-parameter family of curves given by this
equation in the (x, >)-plane. In particular, we are interested in finding out whether the
configuration theorems hold for this family and whether this family can be rectified
(turned into a family of straight lines) by an appropriate diffeomorphism of the plane.
We shall see that such a rectification is not always possible, and find invariants measur¬
ing “infinitesimal nondesarguesness” (violation of the configuration theorems).

Theorem. In the neighborhood of every linear element (x, y, p) of the plane of the depen¬
dent and independent variables, every second-order differentia! equation can be reduced to

0 = A(x)y2 + 0(\y\3 + Hs), p = £

in the neighborhood of the element (x = 0, y = 0, p = 0) by a local diffeomorphism of
this plane.

M 1 ■ Annihilation of the Linear Terms. A given linear element defines a unique

solution whose graph can be taken as the x-axis. We linearize the equation in the
neighborhood of this solution. By the theorem in § 6A, the linear equation thus obtained
can be locally rectified (reduced to the form d2yjdx2 = 0) by an appropriate choice*
of the coordinate system. In this coordinate system, 4>(x, y, p), the right-hand side of
our equation vanishes for y = 0, p = 0, together with its y- and /7-derivatives. Con-

* It is useful to observe that if the right-hand side <J> is a polynomial of degree w ^ 1 in the
argument p, then it is also such a polynomial in the new coordinates constructed in § 6A.
 46 1. Special Equations

sequently, the Taylor series of O in y and p begins with terms of not less than second
order:

= A(x)y2 + B(x)yp + C(x)p2 + 0(|y|3 + |p|3).

2. Transformation of the Independent Variable. We consider the local diffeo-

morphism of the (x, >’)-plane given by the substitution

.x = F(X, Y), y = Y

(converting the point with coordinates (x, y) into the point with coordinates {X, T)).

Lemma. This substitution transforms the equation

dfy dy
#(*, y, P), P
dx2 dx

into the equation

d2 Y dY
= ®{X, Y, P), P
dX2 dX'

where

A3 / P F" + 2 pf; + P2FYr

<D(T, Y, P) = —<D [F, Y, -
F’ V A F

here A = F' + PFy ; the prime denotes the partial derivative with respect to X, and the
arguments of F and of its derivatives X and Y.

Let >’ = u(x) be a solution of the initial equation and Y = U(X) its image. Then

dU _ du P
P = (F' + PFY), ^
dX dx dx A'
FiX.lHX))

Consequently,

d2U A d du
dX2 dX dx FiX.lHX))
+ i(F"+ 2F'r + F”p2 +

Moreover,

d du d2u
A = U(X)), U(X), 0A.
dXdx dP
FiX.UiX))

Hence,
§ 6. Geometry of a Second-Order Differential Equation 47

PFV\ d2U
= <D 2 pf; + p2fyy)
dX2

which implies the above formula.

The formula just proved implies the following corollaries.

Corollary 1. Let 0 = 0. Then <t> is a polynomial in P of degree not greater than 3.

Corollary 2. Let <S>bea polynomial in p of degree not greater than 3. Then <t> is a polynomial
in P of degree not greater than 3.

Remark. The polynomials in p of degree n ^ 4 are not converted into polynomials in

P by the transformation <J> i—> O. Indeed, A3(P/A)n is not a polynomial in P for n > 3.

Corollary 3. A differential equation of the second order def ines the structure of a local
projective line on the graph of every solution, and the structure of a local projective plane
on the normal bundle of the graph.

^ We consider a linearization of our equation along its solution. It is a second-order

homogeneous linear equation; therefore, on the plane of the dependent and independent
variables, one obtains the structure of a local projective plane, the structure for the
initial solution being a local projective line (cf., § 6A).
With the notation of the lemma, the linearized equation has the form d2yjdx2 = 4>i,
where = <!>, + 02 + - is the expansion in powers of >> and p.
Now we consider the normal bundle of the graph of the solution in the plane. The
normal space at a point on the submanifold is the quotient of the tangent space to the
ambient manifold to the tangent space of the submanifold at that point. The normal
bundle of the submanifold is the union of the normal spaces at all points of the sub¬
manifold (equipped with the natural projection onto the submanifold).
The solution of the linearized equation assumes values in the normal bundle of the
graph of the solution of the initial equation.
Indeed, the linearized equation is defined by means of the coordinate system (x, y), in
which the x-axis is the graph of the solution under consideration. The value of the
solution of the equation at a point is a vector in the ^-direction tangent to the ambient
plane at the point on the x-axis under consideration. Its projection in the normal space
to the x-axis at this point defines a vector of the normal bundle. The solutions of the
linearized equation thus define curves in the space of the normal bundle. It turns out that
these curves do not depend on the choice of the coordinate system in their construction;
in this sense, we say that the linearized equation can be considered as an equation in the
normal bundle.
The proof of this statement easily follows, for example, from the lemma above.
In the notation of the lemma, the assertion to be proved means that if F(X, 0) = X
and is the linear term in the Taylor series of <I> in y and p, then 0,(2^, Y, P) —
4>,(Ar, Y, P). This equality easily follows from the formulas of the lemma.
Hence, the structure of a locally projective plane defined by the varied equation is
given on the normal bundle. ►

3. Transf ormation of the Dependent Variable. Consider the local diffeormor-

phism of the (x, >’)-plane given by the substitution y = G(X, Z), x — X, converting
the point with coordinates (x, y) to the point with coordinates {X, Z).
48 1. Special Equations

Lemma. The indicated substitution transforms the equation

d2 Y dy
4>(jc, y, p). P
d2X dx

into the equation

d2Z
o(z, z, n), n = —,
dX2 dX

where

$(Z, Z, n) = -L [<D(Z, G(X, Z), G' + UGZ) - G" - inG'z - n2Gzz];

Gz

here the prime indicates partial derivation with respect to X, the arguments of G and its
derivatives are always X and Z.

^ Let y = v(x) be a solution of the initial equation, and Z = V(X) its image. Then

dv _
s-c +
(Here and in the following the arguments of G and its derivatives are X and V(X).)
Moreover,

^ = G" + 2GZ V + Gzz V’2 + Gz V" = <D(Z, G, G' + XGZ).

Determining V" from this equation, we obtain the formula of the lemma. ^
The lemma just proved implies the following corollaries.

Corollary 1. Let <D = 0. Then <I> is a polynomial in FI of degree not greater than 1.

Corollary 2. Let <t> be a polynomial in p of degree not greater than n, n ^ 2. Then <t> is
a polynomial in FI of degree not greater than n.

4. Calculation of the Quadratic Terms. Consider the local diffeomorphism of

the plane given by the substitution

x = F{X, Z) = X + f(X)Z + D(|Z|2),

y = G(x, Z) = Z + g(X)Z2 + D(|Z|3).

Lemma. This substitution transforms the equation

dy
* P)’ P <D = Q(\y\2 + |p|2)
dx dx’
§ 6. Geometry of a Second-Order Differential Equation 49

into

d2Z
4^2, 2, n). n = —,
dX2 dX

where

T(2, z, rn = 0(2, z, n) + 0(2, z, n) + <9(|z|3 + |n|3),

o = az2 + pzn + ’-n2.
a = -g'\ fi = -4 g' + /", y = -2 g + 2 /'.

(2 is the argument oj j and g and their derivatives.)

This can be proved by applying the lemmas concerning the transformations of the
independent and then the dependent variable. Expanding the right-hand sides of the
formulas obtained there in a series in (Z, 11) and retaining only the quadratic terms,
we obtain the expression Q indicated above as an addendum to the quadratic terms
of O. h

5. Reduction of the Quadratic Terms. Denote the quadratic terms of the initial
right-hand side by

O 2 = Ay2 + Byp + Cp2.

Then the quadratic terms of the transformed equation will be

V2 = (A — g")Z2 + (B - 4g + f")ZU + (C - 2g + 2/')n2

(2 is the argument of the functions A, B, C,f, g, and their derivatives. It coincides

with x along the solution under consideration). The following lemma is immediate.

Lemma. The expression

I = 6A - 2B' + C"

does not change in the transition from 02 to

Choosing arbitrary functions/and g, we can annihilate two of the coefficients A,

B, and C (preserving the value of I). In particular, choose/and g from the conditions
4g' — f" = B, 2g — 2/' = C. Then we obtain ^ = AZ2. A = 1/6, which proves the
theorem. ►

C. Infinitesimal Nondesargueness

The coordinate system in which the second-order differential equation has the form
 50 1. Special Equations

near the graph of a fixed solution is not determined uniquely. We study the extent to
which the coefficient A is invariant, i.e., independent of the method of reduction to
normal form. A obstructs the rectifiability of the family of solutions and measures the
infinitesimal nondesargueness at the point and in the direction in question.

Theorem. The diff erential f orm o f order 5/2

oj = A{x)\dx\512

is invariantly determined up to a multiplicative constant along the graph of the zero

solution.

In other words, if (X, Y) is another coordinate system in which the equation is also
in normal form and y = 0 corresponds to the solution Y = 0 and the coefficient A(x)
is changed to A(X), then

dx 5/2
A(X) = CA(x)
dX

where C does not depend on x.

We shall call the form to the form of nondesargueness along the solution under con¬
sideration.
The most general diffeomorphism leaving the axis y — 0 invariant turns the point
(.y, v) into the point

X = fQ(x) + yf\(x) + • • ■ , Y = ygt(x) + y2g2(x) + ■ ■ ■ .

The vector of the normal bundle at the point x with >’-component £ is converted to a
vector at the point f0(x) with the _y-component gfx)£,.
The projective structure of the normal bundle is defined in an invariant manner
(cf., §6B); therefore, the transformation (x, i—» (/0(x), gi(xK), constructed by means
of the diffeomorphism (x, y) i—*■ (X, Y), converting an equation in normal form into
another equation in normal form must be projective. Thus, we find

. _ ax + b _ C
0 cx + d' cx + d

Every diffeomorphism leaving the axis y = 0 invariant and preserving the projective
structure of its normal bundle can therefore be represented as the product of a special
transformation

X = f0(x), Y = ygA(x),

and a diffeomorphism preserving normal fibering pointwise,

(X, Y) ^ (X + YffX) + ■ ■ ■ , Y + Y2g2(X) + ■■■).

The latter diffeomorphism can be represented as a product of transformations of

the dependent and independent variables which we considered in § 6B. Therefore, the
§ 6. Geometry of a Second-Order Differential Equation 51

invariant I consisting of those terms of the right-hand side of the equation which are
quadratic in y and p (cf., § 6B5) does not change under this diffeomorphism.
We study the behavior of / under a special projective transformation.
Every projective transformation of the line splits into the product of translations,
expansions, and the transformation _y i—> l/.v.
The expression I is invariant with respect to translations, and expansions of x and y
only multiply I by a constant. Therefore, it is sufficient to consider the behavior of
I under the substitution x = 1/A\ v = Y/X.
Calculating the derivatives P = dY/dX and dP/dX = d1 YjdX2, we find that
P = y — px, dPIdX = X~3dp/dx (where p = dy/dx). Consequently,

^ = X~3Ai\/X){Y/X)2 + 0(|v|3 + \P\3).

Therefore, the coefficient of Y2 is equal to X~sA(x). ►

D. Construction of Scalar Invariants

The differential form to introduced above yields scalar functions connected with the
equation in an invariant manner.
First of all, we note that with any differential form (of arbitrary order) on a one¬
dimensional manifold, one can associate a vector field in an invariant manner. The
value of the form on a vector of this field is equal to 1 at every point.
For example, the vector field v(x)d/dx, where v = A~2/5, is invariantly connected
with the form A(x)(dx)s/2.

Theorem. Let v(x)d]dx be a vector field on the line. Then the following scalar functions
are connected with this field invariantly with respect to projective transformations of the
line:

I2 = 2v"v - v'2, I3 = 2v"'v2, . . . , /„ = vl'_n ....

Here the prime indicates the derivation with respect to x.

The invariance of /2 can easily be verified by straightforward calculation: it is
sufficient to consider the substitution x = 1 jX, since invariance with respect to transla¬
tions and expansions is obvious. The derivative of the function along a vector field
connection with the function and the field is invariant not only with respect to projective
transformations, but also all diffeomorphisms of the line. Therefore, the invariance
of all /„ follows from that of I2. ►

Remark l. The invariant I2 is constructed by the following procedure. The Lie algebra
of the projective group of the line is generated by the fields d/dx, xdjdx, and x23jdx*.

* In affine coordinates, the corresponding one-parameter groups of projective trans¬

formations have the form g1 x = x + /, y'x = e'x, g'x = jc/( 1 — tx), and consequently, in
homogeneous coordinates they are given by second-order unimodular matrices

/I A /exp(//2) 0 \ / I °\
VO 1/ \ 0 exp( —1/2))' \-t 1/
52 1. Special Equations

Therefore, every vector field can be approximated by a projective field (a field from
the Lie algebra of the projective group) up to quadratic terms at every point.
Under projective transformations, the projective field approximating the initial
field at the initial point turns into a new projective field approximating the transformed
field at the image point. The action of the projective transformations of the line on the
three-dimensional space of projective fields is the adjoint action of the projective group
on its Lie algebra. This action preserves the quadratic form on the algebra. Indeed,
if we express projective transformations by second-order matrices, and the projective
fields by matrices of the infinitesimal generators of the one-parameter groups corre¬
sponding to them, then the action of the transformation g on the field v is described
as the matrix product gv~lg. On the other hand, det gvg~l = det r. Therefore, the deter¬
minant of v is a quadratic form on the Lie algebra of the projective fields invariant
with respect to the adjoint representation. Consequently, this determinant, calculated
for the projective field approximating the vector field under consideration is a scalar
connected with the field in an invariant manner with respect to projective transforma¬
tions.
In the above basis of the Lie algebra, the approximating projective field has the
components (u, v', v"/2). Therefore, the matrix corresponding to the field has the form

( v'!2 v ).
V- v"l2 - v'/2) ’

its determinant is 12 (up to an inessential factor).

Remark 2. It seems clear that every function (polynomial, series, etc.) of the values of r
and a finite number of derivatives of v which is invariantly connected with v with
respect to projective transformations can be expressed in terms of the invariants Ik.

Remark 3. The projective invariants of a function on the projective line can be con¬
structed in the following way: let its differential (1-form) correspond to the function,
let its field correspond to its form, and let the invariants Ik correspond to the field. In
particular, the simplest invariant of / with respect to projective transformations of the
independent variable is

2/7 "' - 3/ '

'iin = ./ '4

(This differs from Schwartz’ derivative which is invariant with respect to projective
transformations of the axis of the values of the function by the factor J'2 in the de¬
nominator).

Remark 4. The invariants I2, /3, • ■ ■ are multiplied by a2, A3, ... if the vector field
is multiplied by A. It is easy to construct combinations of them which are not sensitive
to multiplication of the field by a number; for example, J = /f//|.

Therefore, the matrices of the generating operators are

0 IN (h 0 \ / 0 0\
0 o/ Vo -h)' V-1 0/
§ 6. Geometry of a Second-Order Differential Equation 53

The quantity J corresponding to r constructed from the (5/2)-form 10 is a scalar

function on the space of linear elements in the plane entirely independent of the choice of
coordinates and only depending on the initial differential equation.

E. Equations Cubic with Respect to the Derivative

The vanishing of the form co of nondesargueness along any solution is necessary for
the rectifiability of the equation (its reduction to the form d2yjdx2 = 0), but, as we
shall immediately see, it is not sufficient.

Theorem 1. Assume that the differential equation

d2v dy
y< p). p
'dx2 dx ’

can be reduced to the form d2yjdx2 = 0 by a diffeomorphism of the plane. Then O is a

polynomial in p of degree not greater than 3.

In other words, a differential equation of the family of all lines on the plane described
in an arbitrary system of curvilinear coordinates has, for its right-hand side, a poly¬
nomial in the first derivative of degree not greater than 3.
Theorem 1 follows from the (curious) fact below.

Theorem 2. Assume that the right-hand side of the differential equation

d2y
<D(x, y, p)
dx2

is a polynomial in p of degree not greater than 3. Then every diffeomorphism of the plane
transforms the equation into an equation of the same kind, i.e., the right-hand side remains
a polynomial in the derivative of degree not greater than 3.

Theorem 2 follows from the lemmas in § 6B on the effect of the change of the indepen¬
dent and dependent variables on the right-hand side of the equation (cf., the corollaries in
§ 6B), since every local diffeormorphism of the plane can be obtained by successive
applications of these changes of variables. ^

•4 Theorem 1 follows from Theorem 2 and the fact that zero is a polynomial in p of
degree not greater than 3. ►

Exercise. In the equation

d^y
a0y oty bxy' - b0
dx2

(where a, and b{ are functions of x and y), make the change of variables (x, y) i—»(y, x).

Solution

d2x
b0x'3 b^x1 + axx' — a0.
~d?
 54 I. Special Equations

Remark. It can be shown that the conditions oj = 0 and d4d>jdp4 are independent.
Therefore, the condition to = 0 is not sufficient for the reducibility of the equation
to the form

The two conditions [to = 0, d4<J?/dp4 = 0} together are sufficient for the reducibility
of the equation to the form d2y/dx2 = 0. This can be seen from the formulas of § 6B
(after some calculation).

Exercise. Prove that every second-order equation can be reduced to the form d2v/dx2 =
p2 B(x, y, p) locally (in the neighborhood of the point x = 0 of the solution y = 0).

F. The Geometry of a Pair of Direction Fields in

Three-Dimensional Space

We consider a pair of direction fields in three-dimensional space. It turns out that the
local classification (up to a diffeomorphism of the space) of such pairs in general
position is equivalent to the local classification of second-order differential equations
(up to diffeomorphisms of the plane of the dependent and independent variables:
local, meaning near a given point with direction).
First of all, we associate a two-parameter family of curves in the plane with the pair
of direction fields in three-dimensional space.
To do this, we rectify the first field by a local diffeomorphism of the space, converting
the family of integral curves of the first field into a family of parallel vertical lines.
After this, we project the integral curves of the second field onto the horizontal plane
in the direction of the vertical lines. On the horizontal plane (on the quotient plane of
the space modulo the integral curves of the first field), we obtain a two-parameter family
of curves.
From this two-parameter family of curves, we construct a second-order differential
equation for which these curves are graphs of solutions.
To this end, we note that in a generic local two-parameter family of curves in the
plane, a unique curve of the family passes through every point of the plane in every
direction near every linear element (a point and a direction) of every curve of the family.
(For this, only a certain Jacobian has to be different from zero).
If the family is generic in the indicated sense and (x, >•) are the coordinates in the
plane, then d2yldx2 is a smooth function of the element under consideration i.e.,
(x, y, dy/dx). In this way we obtain a second-order differential equation d2y/dx2 =
<D(x, y, dy/dx). The graphs of the solutions of this equation are curves of the family
(by the uniqueness theorem).
Consequently, to a pair of direction fields in three-dimensional space we assigned
a second-order differential equation under the nondegeneracy condition that the
corresponding Jacobian is different from zero.

Definition. A direction field in three-dimensional space is said to be nondegenerate

with respect to vertical lines if the direction of the field is nowhere vertical and the
horizontal projection of the direction of the field rotates with nonzero velocity as a
point moves along a vertical line.
§ 6. Geometry of a Second-Order Differential Equation 55

A pair of direction fields in three-dimensional space is said to be nondegenerate if,

after applying a diffeomorphism making the first field vertical, the second field becomes
nondegenerate with respect to the first one.

Remark. It is easy to see that the definition is unambiguous: if the second field becomes
nondegenerate with respect to the first after some diffeomorphism rectifying the
integral curves of the first field, then it becomes so after any other diffeomorphism
rectifying the first field. It is also not difficult to see that the nondegeneracy of a pair
is preserved if the order of the fields is changed (i.e., it is immaterial which one of the
two fields is rectified).

Above we associated a second-order differential equation with each nondegenerate

pair of local direction fields in three-dimensional space. Indeed, our nondegeneracy
condition coincides with the condition that the Jacobian d(y, y')/d(u, v) does not
vanish, where (u, v) are the parameters of the family. Now we prove that this correspon¬
dence establishes a complete equivalence of the problems of local classification of pairs
of direction fields in IR3 and of differential equations of the second order.

Theorem. Every second-order equation can be obtainedfrom an appropriate nondegenerate

pair of direction fields in three-dimensional space by the construction described above.
If two pairs of fields can be converted into each other by a diffeomorphism of the space,
then the corresponding equations can be converted into each other by a diffeomorphism of
the plane. Conversely, if two second-order equations can be converted into each other by
a diffeomorphism of the plane, then any two pairs of fields corresponding to them can be
converted into each other by a diffeomorphism of the space.

Consequently, the correspondence between pairs of fields and equations is one-to-

one (up to diffeomorphisms).
For every equation d2yfdx2 = 0(x, y, dyfdx) we consider, in the three-dimensional
space of 1-jets with coordinates (x, y, p), the family of “vertical” lines in the /?-direction
(x = const, y = const) and the family of integral curves of the system dyfdx = p,
dpfdx = <I> which is equivalent to the equation.
By projection in the vertical direction, we obtain the family of graphs of solutions
of our equation. Hence, for every equation, we have produced a pair of direction fields
from which it is obtained.
A diffeomorphism of the space mapping vertical lines into vertical lines defines a
diffeomorphism of the horizontal plane. Therefore, a diffeomorphism of two pairs of
fields in IR3 induces a diffeomorphism of the corresponding equations.
Conversely, diffeomorphisms of the horizontal plane act on linear elements (direc¬
tions) of curves in the plane. Therefore, a diffeomorphism converting the first equation
to the second defines a diffeomorphism in three-dimensional space from the first pair
of fields to the second. (To a point of the first space there corresponds an element of
a curve in the plane: the diffeomorphism takes it to a new place, the element thus
obtained is the projection of the direction of the second field of the second pair at
a unique point of the second space; this point is made to correspond to the initial
one.) ►

It follows from the theorem just proved that all our results concerning the geometry
of the family of solutions of a second-order equation can be reformulated in terms of
56 1. Special Equations

the geometry of a nondegenerate pair of direction fields in three-dimensional space

(or, if one prefers, in terms of the geometry of the simplest case of a system of two
first-order implicit differential equations, where the derivatives are two-valued functions
of the coordinates).
We also remark that a nondegenerate pair of direction fields defines a contact
structure in three-dimensional space (a completely nonintegrable Held of planes spanned
by the given directions; for more details, cf.. Chapter 2). In the sense of this structure,
the integral curves of our fields form Legendre bundles*). Therefore, we may reformu¬
late the preceding results as results on the geometry of a pair of Legendre bundles in
[R3.

G. Duality

Above, for every nondegenerate pair of direction fields in three-dimensional space, we

constructed a second-order differential equation by rectifying the first field and by
projecting the integral curves of the second. However, it would have been possible to
proceed conversely: to rectify the second field and project the integral curves of the
first one. As a result, we generally obtain another second-order equation.
Hence, a dual equation exists for every second-order differential equation.
In terms of pairs of direction fields in three-dimensional space, the passage to the
dual equation amounts to reversing the order of the fields. Another description of the
dual equation is as follows. We assume that the family of solutions of the second-order
equation fory(.r) depending on two parameters is written in the form F(x, y: «, v) = 0.
Let us now regard x and y as parameters and u and r as variables. Then this relation
defines a two-parameter family of functions v(u). This family is the family of solutions
of a second-order equation ; this is the equation dual to the initial one.

Exercise. Prove that the nondesargueness form io of a second-order equation (cf., § 6B) is
equal to zero if and only if the right-hand side of the dual equation is a polynomial in
the derivative of degree not greater than 3.
Hence, the rectifiability condition for a second-order equation can be formulated
as follows:
An equation d2yjdx2 = <I>(x, y, dy/dx) can be reduced to the form d2yjdx2 = 0 if
and only if the right-hand side is a polynomial in the derivative of order not greater than
3 both for the equation and for its dual.

H. Survey

The geometry of a second-order equation is the source of several mathematical theories.

1. Tresse, a student of Lie, in his prize-winning paper “Determination des in¬

variants punctuels de l’equation differentielle ordinaire de second ordre”, Leipzig,
1896 (cf. also his article, Sur les invariants differentiels des groupes continues des
transformations, Acta Math. 18 (1894), 1-88.) constructed all semi-invariants of an
equation.
A semi-invariant of order k is, by definition, a function of the value of the right-hand

* A Legendre submanifold of a contact structure is, by definition, an integral submanifold

of greatest possible dimension. A Legendre bundle is a bundle with Legendre fibers.
§ 6. Geometry of a Second-Order Differential Equation 57

side of the equation and its derivatives of order not greatei than k at point (x, y, p).
If it vanishes for the equation at the given point of this three-dimensional space of
elements, then it will vanish for the equation transformed by a diffeomorphism of the
plane at the transformed element.
It turns out that there are exactly two functionally independent semi-invariants of
order 4. One of them is d*<&ldpA. The other is the scalar invariant I2 constructed from
the form of infinitesimal nondesargueness (cf., § 6D). For an equation in the normal
form d2y/dx2 = A(x)y2 + 0(|jy|3-.+ |/?|3), we have

I2 = 2v"v — v'2, v = A~215.

Consequently, 5 A A" — \2A '2 is a semi-invariant.

Tresse also found three semi-invariants of order 5, and for k > 5 also (k2 — k — 8)/2
semi-invariants of order k\ all other semi-invariants are functions of these. Tresse
also mentions that all semi-invariants “can be deduced from the three simplest ones”
by differentiations.

2. The problem of the geometry of a second-order differential equation lead Cartan

to the theory of manifolds of projective connection (See Cartan, Sur les varietes a
connection projective. Bull. Soc. Math. France 52 (1924), 205—241; Oeuvres III, 1,
N 70, 825-862, Paris, 1955.)
By definition, projective connection on a manifold assigns to every smooth path
(on the manifold) a projective mapping of the tangent space at the initial point into
the tangent space at the endpoint depending on the path smoothly.* In particular, a
projective transformation of the initial tangent space corresponds to a closed path. An
“infinitely small projective transformation” corresponding to a circuit along an
“infinitely small parallelogram” is called the curvature form of the connection.
A projective connection is called a torsion-free connection if the origin of the
tangent space remains at its place if we translate the space along a closed path. From
among all torsion-free connections, Cartan chooses the normal connections. In the
two-dimensional case, the normalcy of a connection means that every straight line
issued from the origin of the tangent space maps onto itself after the traversal of a
closed path.
A geodesic line of a connection is, by definition, a line on the manifold whose
tangent turns into tangent after displacement along this line.
It turns out that the geodesics of a projective, torsion-free connection in the plane
are graphs of solutions of a second-order differential equation whose right-hand side
is a polynomial in the derivative of degree not greater than 3. Conversely, to every
second-order equation whose right-hand side is a polynomial of degree not greater
than 3, there corresponds exactly one normal projective, torsion-free connection for
which the geodesics are the graphs of solutions.
To general second-order equations, Cartan also assigns a unique normal projective,
torsion-free connection, but the translation of the two-dimensional plane is then
defined along paths in the three-dimensional space of elements (see the details in the
cited work of Cartan).

3. A translation of Tresse’s theory into the languague of pairs of direction fields in

space was done by Bol [Bol, liber topologische Invarianten von :\vei Kurvenscharen im
Raum, Abh. Math. Sem. Univ. Hamburg 9, 1 (1932), 15—47.]

* And satisfying certain natural conditions which we do not give here.

58 1. Special Equations

In this theory, the problem of orbit space has apparently remained unresolved, in
particular, the question of determining how many parameters are needed to enumerate
the orbits of a A--jet of a second-order equation (under the action of the group of dif-
feomorphisms of the plane on the space of A--jets of the equation), in the neighborhood
of a generic point in the space of A-jets.
It seems that the Poincare series counting these parameters are rational (in this
problem, as in many other analytical classification problems, where functional moduli
occur) and that these series provide some rigorous meaning to the expression “depends
on p arbitrary functions in q variables”.
Chapter 2

First-Order Partial Differential Equations

Partial differential equations have been studied much less than ordinary
differential equations. Part of the theory—that of a single partial differential
equation of the first order—can be reduced to the study of special ordinary
differential equations, the so-called characteristic equations. This is possible
because, physically speaking, non-interacting particles can be described by
either the partial differential equation of the field or ordinary equations for
the particles.
In this chapter we develop this theory (which mathematically reduces to
the geometry of the so-called contact structures). We also consider the
problem of integrability of a field of hyperplanes (the theorem of Frobenius).

§ 7. Linear and Quasilinear First-Order Partial

Differential Equations

The integration of a first-order partial differential equation reduces to the

integration of a system of ordinary differential equations, the so-called
characteristic equations. The basis of this reduction is a simple geometric
analysis of the formation of surfaces from families of curves. We begin with
these geometric arguments, and then apply them to partial differential
equations.

A. Integral Surfaces of Direction Fields

Let A be a smooth manifold and let V be a direction field on X.

Definition. A smooth submanifold Y c= X is called an integral surface of V

if the tangent plane of Y contains the direction of V at every point (Fig. 41).

Theorem. A submanifold Y c X is an integral surface of a field V if and only

if it contains, together with every point of it, a segment of the integral curve
passing through this point.
60 2. First-Order Partial Differential Equations

The assertion of the theorem is local and invariant with respect to diffeo-
morphisms. Therefore, it is sufficient to prove it for a standard field of
parallel directions in a linear space. In this case, the assertion of the theorem
is obvious. [It reduces to the fact that a function given on an interval is
constant if and only if its derivative is equal to zero (Fig. 42)].
Let T be a ^-dimensional submanifold in an ^-dimensional manifold X
(Fig. 43). r is called a hypersurface if k = n — 1.

Definition. The Cauchy problem for the direction field V with initial manifold
T is the problem of finding a (k + l)-dimensional integral submanifold of
V containing the initial submanifold T.

We note that the integral curves passing through T do not always form
a submanifold even locally in the neighborhood of T, cf., Fig. 44.

Definition. A point of the initial manifold is said to be characteristic in the

direction field V if the direction of V at this point is tangent to the initial
manifold.

Theorem. Let a point of the k-dimensional initial manifold be given which is

not characteristic in V. There exists a (k + 1 )-dimensional integral surface
of the field containing a neighborhood of this point on the initial manifold.
This surface is unique in the sense that any two integral surfaces containing a
neighborhood of the point under consideration on the initial manifold coincide
in some neighborhood of this point.

Figure 43. Figure 44.

§ 7. Linear and Quasilinear First-Order Partial Differential Equations 61

^ The assertion is local and invariant with respect to diffeomorphisms.

Therefore, it is sufficient to prove it for a standard field of parallel directions
in a linear space. In this case the assertion is obvious. &■

B. The Homogeneous Linear First-Order Equation

Definition. A homogeneous linear first-order equation is an equation

Lau = 0, (1)

where a is a given vector field on a manifold M.

Let the field a have the components (a1, ••,«„) in the coordinates
(jtj, - - - , x„); every component is a function of the coordinates. Equation
(1) becomes

du du
a + + a = 0. (2)
1 dxx Vx.

Definition. The field a is called the characteristic vector field of Eq. (1) and
its phase curves are called characteristics. The equation x = a(x) is called
the characteristic equation of the partial differential equation (1).

Theorem. A function u is a solution of a linear first-order equation if and only

if it is a first integral of the characteristic equation.

This is the definition of first integrals. ►

Definition. The Cauchy problem for Eq. (1) is the problem of finding a
solution u satisfying the condition u\ = cp, where y is some smooth hyper¬
surface in M and q> is a prescribed smooth function on this hypersurface.
The hypersurface y is called the initial hypersurface and the function (p
the initial condition.

We note that such a problem does not always have a solution. Indeed,
on each characteristic, the solution u is constant. However, a characteristic
may intersect the initial surface y several times. If the values of the prescribed
function <p are different at these points, then the corresponding Cauchy
problem does not have a solution in any domain containing the characteristic
in question (Fig. 45).

Definition. A point x on the initial hypersurface y is said to be noncharacteris¬

tic if the characteristic passing through this point is transversal (not tangent)
to the initial hypersurface.
 62 2. First-Order Partial Differential Equations

Figure 46.

Theorem. Let x be a noncharacteristic point on the initial hypersurface. There

exists a neighborhood of x such that the Cauchy problem for Eq. (1) has a
unique solution in this neighborhood.

M By the rectifiability theorem, we may choose the coordinates near * so

that the components of the field a have the form (1,0, - - ■ , 0) and the
equation of y takes the form Xj = 0 (Fig. 46).
The Cauchy problem in these coordinates becomes

cu
= 0, MU,=0 = <P- (3)
<x i

The unique solution (in a convex domain) is u(xx, x') = <p(x'), where
x' = (x2, ■ ■ ■ , x„). ►

Remark. The solutions of any ordinary differential equation form a finite¬

dimensional manifold: every solution can be given by a finite collection of
initial conditions. We see that in the case of a homogeneous linear first-order
partial differential equation in a function of n variables, “there are as many
solutions as there are functions of n — 1 variables”.
Below, we shall observe an analogous phenomenon in the case of general
first-order partial differential equations.

C. The Nonhomogeneous Linear Equation of the First Order

Definition. A nonhomogeneous linear equation of the first order is an

equation

Laii = b, (4)

where a is a given vector field on a manifold M, and b is a given function

on M. In coordinates,

cu cu u
a + +
,
°n?- = *. (5)
cx,

where ak = ak(xl, . . . , x„), b = b(xt, ... , x„).

§ 7. Linear and Quasilinear First-Order Partial Differential Equations 63

Figure 47.

The Cauchy problem for Eq. (4) can be formulated in the same way as
for the homogeneous equation (1).

Theorem. In a sufficiently small neighborhood of a noncharacteristic point x0

of the initial surface y, the Cauchy problem for Eq. (4) has a unique solution;
it is given by the formula

u(g(x, /)) = <P(x) + b{g{x, z))dr,

Jo
where g{x, t) is the value of the solution of the characteristic equation (with
the initial condition g(x, 0) = x on the initial surface) at time t.

Upon rectifying the field a, we obtain the problem

~~ = b, u\x o = <P(x').
rx, 1

Its unique solution is

u(xj, x') = <p(x') + J b(£, x')d£. ►

In other words, Eq. (4) means that the derivative of the solution along
the characteristic is the known function b. The increment of the solution
on a segment of the characteristic has to be equal to the integral of b over this
segment (Fig. 47).

D. The First-Order Quasilinear Equation

Definition. A first-order quasilinear equation is an equation

Lau = p, (6)

where a(.x) = a(x, u(x)), P(x) = b(x, «(jc)).

64 2. First-Order Partial Differential Equations

Here x is a point of the manifold M, u is an unknown function on M, a is

a given vector field tangent to M depending on the point u e R as on a para¬
meter, and b is a given function cn M x R = J°(M, R).
In coordinates, the quasilinear equation (6) has the form

+•••-)- a„(x, u)^- = b{x, u). (7)

(Xi cx„

This differs from a linear equation in that the coefficients ak and b may
depend on the unknown function.

Example

We consider a homogeneous medium consisting of particles moving along

straight lines in an inertial system, so that the velocity of each particle
remains constant. We denote by u{x, t) the velocity of the particle at point
x at time /. We write the Newton equation: the acceleration of a particle is
equal to zero. If x = <p(t) is the motion of the particle, then (p = t)
and

cu . cu cu ru
(p = —<p + — = u— 4- —.
(X (t (X ct

Consequently, the field of the velocities u of noninteracting particles

satisfies the quasilinear equation

uux + ut — 0. (8)

Problem. Construct the graph of the function u{ ■, t) if the graph of the function w( , 0)
has the form shown in Fig. 48.

Answer. Cf., Fig. 49. For t $= there exists no smooth solution. Beginning at t = tx,
the particles collide in the medium. [The physical hypothesis of inertial motion, i.e.,
the lack of interaction between the particles, becomes unrealistic and has to be replaced
by other physical hypotheses, the description of the nature of the collision. Thus arise
so-called shock waves, functions of the form shown in Fig. 50, satisfying Eq. (8) outside
the discontinuity and some additional conditions of physical origin at the discontinuity.]

Figure 48. Figure 49.

§ 7. Linear and Quasilinear First-Order Partial Differential Equations 65

Figure 50. Figure 51.

E. Characteristics of First-Order Quasilinear Equations

We have just seen how useful it is to pass from the field of velocities to the
motion of the particles for the special quasilinear equation (8). Something
similar can be done in the case of the general equation (6). In this case, the
role of the motion of the particles is played by some curves in the direct
product of the domain and range of the unknown function; these curves
are called the characteristics of the quasilinear equation.
The quasilinear equation (6) for an unknown function u\ M —* IR, i.e.,

4ulUW)“ = b(x, u(x)) (6)

means that if the point x leaves x0 and begins to move on M with velocity
a(x0, u0), then the value of the solution u = u0 begins to change with
velocity b(x0, u0).
In other words, the vector A(x0, u0) applied at the point (x0, u0) of the
space M x IR, which has components a(x0, u0) along M and b(x0, u0) along
IR, is tangent to the graph of the solution (Fig. 51).

Definition. The vector A(x0, u0) is called the characteristic vector of the
quasilinear equation (6) at the point (x0, u0). The characteristic vectors at
all points of the space M x IR form a vector field A. This field is called the
characteristic vector field of the quasilienear equation (6). The phase curves
of the characteristic vector field are called the characteristics of the quasi¬
linear equation.
The differential equation given by the field A of phase velocities is called
the characteristic equation.

Example

Let M be equal to IR" with coordinates (xt, . . . , x„). The characteristic

field is given by its components; their values at the point (x, u) are equal to

a1 (x, u), . . . , a„(x, u); b(x, u).

 66 2. First-Order Partial Differential Equations

The characteristic equation has the form

xx = a1(x, w), . . . , x„ = an(x, «); u = b(x, u).

Problem. Determine the characteristics of the equation uux + ut = 0 of the medium

of noninteracting particles.

Answer, x = u, t = 1, u = 0. The characteristics are the straight lines x = a 4- bt,

u = b.

Remark. A linear equation is a special case of a quasilinear one. However,

the characteristics of a linear equation are not the same as the characteristics
of the same equation considered as a quasilinear equation: the characteris¬
tics of the linear equation lie in M, and those of the quasilinear one in
M x R. The characteristics of a linear equation are the projections from
M x IR to M of the characteristics of the same equation considered as a
quasilinear equation.

F. Integration of a First-Order Quasilinear Equation

Let A be the characteristic vector field of the quasilinear equation (6). We

assume that this field vanishes nowhere. Then it defines a direction field.

Definition. The direction field of the characteristic vector field of a quasi¬

linear equation is called the characteristic direction field of the equation.

The characteristics of a quasilinear equation are the integral curves of

the characteristic direction field.

Example

In the case M = (Rn with coordinates (xj, . . . , xn), the characteristic

equation can be written in the so-called symmetric form

dx j _ dx2 _ _ dxn _ du
ai a2 an b

expressing the collinearity of the tangent to the characteristic with the

characteristic vector.

Theorem. A function u is a solution of a quasilinear equation if and only if its

graph is an integral surface of the characteristic direction field.

◄I This is obvious, since Eq. (6) says that a characteristic vector is tangent
to the graph. ^
§ 7. Linear and Quasilinear First-Order Partial Differential Equations 67

Corollary. A function u is a solution of a quasilinear equation if and only if

its graph contains, together with every point of it, a segment of the characteris¬
tic passing through the point.

^ This follows from § 7A. ►

Consequently, the determination of the solutions of a quasilinear equa¬

tion reduces to finding its characteristics. If the characteristics are known,
it only remains to construct a surface from them which is the graph of a
function: this function will be a solution of the quasilinear equation, and
all solutions are obtained in this way.

G. The Cauchy Problem for a First-Order Quasilinear Equation

Let y c= M be a hypersurface (a submanifold of codimension 1) in a manifold

M and let cp: y —> IR be a smooth function (Fig. 52).

Definition. The Cauchy problem for the quasilinear equation (6) with initial
condition cp on y consists of determining a solution u which is equal to cp
on y.
The solution of this problem reduces to the solution of the Cauchy
problem for the characteristic direction field.
We consider the graph of the function cp: y —>■ IR. This graph is a hyper¬
surface in the direct product y x R. Since y is imbedded in M, we may
regard the graph T of <p as a submanifold (of codimension 2) of M x IR
(Fig. 52).

Definition. The submanifold T c= M x [R which is the graph of cp on y is

called the initial submanifold for the initial condition cp on y.
Consequently, the initial manifold T determines both the hypersurface y
in M and the initial condition cp on y.

Definition. An initial condition (cp, y) is said to be noncharacteristic for the

quasilinear equation (6) at the point x0 from y if the vector a(xn, un) (wn =
(p(jc0)) is not tangent to the surface y at this point (Fig. 52).

Remark. If the equation is linear,.then the vector a(x0, u0) does not depend
on u0. Therefore, noncharacteristic points of the surface y can be defined.

Figure 52.
 68 2. First-Order Partial Differential Equations

On the other hand, for a quasilinear equation, only a point (x0, u0) e T can
be characteristic or noncharacteristic, but we cannot speak of a point
x0 e y being characteristic.

Theorem. For an initial condition noncharacteristic at a point x0, the quasilinear

equation (6) has a locally unique solution in the neighborhood of this point.

M If the initial condition is not characteristic at the point x0, then we have:

(1) The characteristic field A does not vanish in the neighborhood of the
point (x0, u0). Therefore, a smooth characteristic direction field is
defined in the neighborhood of this point.
(2) The characteristic direction is not tangent to the initial manifold T
at the point under consideration, and consequently, in its neighbor¬
hood. Therefore, the local integral surface, containing the initial
manifold T, of the characteristic direction field exists and is unique
(cf.,§7A).
(3) The tangent plane to the integral surface at the point (x0, u0) is
nonvertical (does not contain the w-axis). Therefore, the integral
surface is the graph of a function. This function is the desired solution
(cf.,§7E).

Remark. The proof also contains a procedure for constructing the solution
of the Cauchy problem for a quasilinear equation.

§ 8. The Nonlinear First-Order Partial Differential Equation

Nonlinear first-order partial differential equations, like linear ones, can be

integrated by means of characteristics. However, while the characteristics
of a linear equation with respect to a function on M lie in M, and those of
a quasilinear equation lie in M x (R, the characteristics of a general non¬
linear first-order partial differential equation lie in the manifold Jl{M, IR)
of 1-jets of functions.
The manifold of 1-jets of functions has a natural contact structure.
The integration of nonlinear first-order partial differential equations
depends on simple geometric facts concerning this contact structure, with
which we begin this section.

A. Contact Manifolds

A contact manifold is, by definition, a manifold equipped with a field of

hyperplanes in the tangent spaces satisfying the condition of “maximal
nonintegrability”.
A field of planes (in contrast to a field of one-dimensional directions)
§ 8. The Nonlinear First-Order Partial Differential Equation 69

Figure 53.

may not have integral surfaces whose dimension is equal to the dimension
of the planes. In order to measure the obstruction to the existence of integral
surfaces of a field of hyperplanes, we carry out the following construction.
In the neighborhood of the point O of the manifold under consideration,
we introduce coordinates so that the plane of the field at O becomes a
coordinate hyperplane; we shall call the corresponding coordinates horizontal
and the remaining coordinate vertical.
For any path in the horizontal plane, we construct a vertical cylinder
over the path. The trace of our field of planes on the lateral surface of the
cylinder gives a direction field. The integral surfaces (if they exist) intersect
the cylinder in integral curves of the direction field (Fig. 53).
Consequently, we may lift any path from the horizontal plane to the
desired surface.
Now let (£, rj) be two vectors in the horizontal coordinate plane at the
point under consideration. Take the parallelogram spanned by (£, rj). There
are two paths along the sides of the parallelogram from the point under
consideration to the opposite vertex of the parallelogram. By lifting these
paths, we obtain two points above the opposite vertex which are different
in general. Their difference is the obstruction to the construction of an
integral surface, or, as is said, to the “integrability” of the field of hyper-
planes.
We consider the difference between the vertical coordinates of the two
points obtained above. The principal bilinear part (with respect to t, and r\)
of this difference measures the degree of nonintegrability of the field. In
order to give a formal definition, we carry out the following construction.
The field of tangent hyperplanes to the manifold can be given locally by
a differential 1-form a which is nowhere equal to the zero form. It is defined
up to multiplication by a function which vanishes nowhere: the planes of
the field are the null spaces of the form (those subspaces of the tangent space
on which the form vanishes).

Example

In the space IR2n+1 with coordinates (xj, . . . , xn ; w; /?,, . . . , pn), consider the 1-form
cl = du — pdx (where pdx = p, dxx 4- - • ■ + p„dxn). This 1-form is not equal to the
 70 2. First-Order Partial Differential Equations

zero form at any point of R2n+1 and, consequently, defines the field of 2«-dimensional
planes a = 0 in [R2n+1 (Fig. 54).

Definition. A differential 1-form a which is nowhere equal to the zero form

on a manifold M is called a contact form if the exterior derivative da of a
defines a nondegenerate exterior 2-form in every plane a = 0.
[A bilinear form co: L x L -» (R is nondegenerate if e L\03rj e L:
oj(£, rj) # 0.]
A nondegenerate skew-symmetric 2-form on a linear space is also called
a symplectic structure.

Example

The form constructed in the preceding example is a contact form. Indeed, the exterior
derivative of the form a is equal to

d.\r, a dp\ + - • • + dxn a dpn.

In the plane cl = 0, (.x.. . ... , pn) may serve as coordinates. The matrix of
, f° ~E\
the form co = rfa ,_n has the form in these coordinates, where E is the
11-0 \E 0 J
identity matrix of order n. The determinant of this matrix is equal to 1. Consequently,
the 2-form co is nondegenerate.

Remark. Nondegenerate skew-symmetric bilinear forms can be defined only on even-

dimensional spaces. Therefore, contact forms exist only on odd-dimensional manifolds.

Theorem. Let a be a contact form and fa function which vanishes nowhere.

The form fa is also a contact form. Moreover, the symplectic structures

da\a=0, d(fa) \fa=0

differ by a nonvanishing factor on the plane a — 0.

 § 8. The Nonlinear First-Order Partial Differential Equation 71

Figure 55.

M Using the product rule, we obtain

d(fa) — df a a + f da.

However, df a a is the zero 2-form on the plane a = 0. Consequently, the

2-forms da and d{fa) differ by the nonzero factor f on the plane a = 0. In
particular, the 2-form d(fa)\a=0 = fda\a= 0 is nondegenerate. Therefore, fa
is a contact form. ►

Definition. A contact structure on a manifold M is a field of tangent hyper¬

planes which are given locally as the set of zeros of a contact 1-form. The
hyperplanes of the field are called contact hyperplanes. We shall denote by nx
the contact hyperplane at the point x (Fig. 55).

Remark I. From the preceding theorem, it follows that it does not depend
on the choice of the form whether the 1-form which defines the field of
planes is a contact form. This is determined by the field of contact planes
itself. Indeed, if f is another form defining the same field, then (locally) (3
differs from a by a nowhere-vanishing factor; consequently, the forms /?
and a are either both contact forms or neither of them is.

Remark 2. Contact structures exist only on odd-dimensional manifolds.

Definition. A submanifold of a contact manifold is said to be an integral

manifold of the field of contact planes if the tangent plane of the submanifold
belongs to the contact plane at every point.

Problem. Prove that the dimension of an integral manifold of a field of contact

planes on a contact manifold of dimension 2n + 1 does not exceed n.

Solution. On such a manifold Y, the form i*a (where /: Y —» M2n+1 is the

imbedding) is equal to zero. Therefore, i* da = di*a = 0. Hence, every two
vectors of the tangent space are skew-orthogonal: co(^, rf) = 0. From this it
follows that the dimension of the tangent space is not greater than n (cf.,
Problem 2 in § 8D).

Remark. There exist integral manifolds of dimension n for a contact field

in M2n+1. They are called Legendre submanifolds. We are going to see now
72 2. First-Order Partial Differential Equations

that a Legendre submanifold in the space of 1-jets corresponds to every

function.

B. Contact Structure on a Manifold of 1-Jets of Functions

Let V be an ^-dimensional manifold. Consider the manifold Jl(V, (R) of

1-jets of functions on V.
A 1-jet of a function/on V is defined by a point x e V, the value u = /(x)
of/ at x, and the first differential of/ at x. Consequently, the manifold of
1-jets of functions on V has dimension 2n + 1. If (xt, . . ., xn) are local
coordinates on V, then a 1-jet of a function/on V is defined by a collection
(xj, . . . , xn ; u; pl, . . . , pn) of 2n + 1 numbers, where pt = (dy/cx,-) (x).

Definition. The standard contact form on the manifold JfV, IR) of 1-jets of
functions is the 1-form

a = du — p dx (p dx = p l dxt + • • • + pndxn).

We have seen above that this is indeed a contact 1-form on (R2n+1.

It is easy to see that the form a defined by means of coordinates does not
depend on the choice of (xx, . . ., x„). It is defined globally.

Definition. The 1 -graph of a function/: V —>■ IR is the submanifold consisting

of the 1-jets of /at all points of V.

Consequently, the 1-graph of a function of n variables is an n-dimen-

sional surface in a (2n + 1/dimensional space.

Theorem. The standard contact form on the manifold of 1-jets of functions of

n variables vanishes on all tangent planes of 1-graphs of functions. The closure
of the union of the planes tangent to all 1-graphs of functions coincides with
the null space of this form (at every point of the space of jets).

The first part follows from the definition of the total differential du
[) dx: of a function. The second part follows from the existence of a function
with prescribed partial derivatives at a given point. ►

From the theorem just proved, it follows that the field of planes defined
by the standard contact form in the space of 1-jets does not depend on the
choice of the coordinate system in the definition of the standard contact
form.

Definition. The standard contact structure on the manifold of 1-jets of

functions on V is the field of hyperplanes which are unions of planes tangent
to graphs of functions on V.
§ 8. The Nonlinear First-Order Partial Differential Equation 73

Problem. The groups of diffeomorphisms of the spaces V and R act naturally on the
manifold JX{V, (Rt) of 1-jets of functions. Prove that the standard contact structure of
the space of 1 -jets is invariant under this action.
Moreover, the standard contact 1-form a is invariant under the action of the group
of diffeomorphisms of V and is multiplied by a nonvanishing function under the
action of diffeomorphisms of the real line IR.

C. Geometry on a Hypersurface in a Contact Manifold

We pass to a general contact manifold M2n+l. Let E2n be a smooth hyper¬

surface in M2n+1 (Fig. 56).

Definition. A surface E2n in a contact manifold M2n + l is said to be non¬

characteristic if its tangent plane and contact plane are transversal at every
point x (i.e., their sum is the whole tangent space to M2n + l or, equivalently,
they intersect in a (2n — l)-dimensional space).*

Definition. The intersection of a plane tangent to a noncharacteristic hyper-

surface with the contact plane at the point under consideration of a hyper-
surface in a contact manifold is called the characteristic plane at this point:

Px = TXE n n,.
* A generic hypersurface in a contact space may have some isolated points, where the contact
plane is tangent to the hypersurface and the transversality does not hold, that is, there may be
singular points of the equation for partial derivatives defined by the hypersurface.
For a generic surface at some neighborhood of a point we can reduce both the surface and
the contact structure to the normal form

dl = Y,Pkdqk ~ qkdpk, t = Q(p, q),

where Q is a nondegenerate quadratic form inp and q (which may be chosen in the form lkpkqk
in the complex case).
This theorem for smooth (C°°) functions is proved in V. V. Lychagin, The local classification
of first-order partial differential equations, Uspekhi Mat. Nauk (Russian Math. Surveys) 30, 1
(1975), 101-171 (see also: V. I. Arnold, A. B. Givental, Symplectic Geometry, Itogi Nauki i
Techniki Sovremennye Problemy Mathematiki, Fundamentalnye Napravleniia Dynamicheskie
Systemy, Vol. 4, pp. 5-140, Mosc. VINITI, 1985 (Springer translation, 1988). The analytical
version of the Lychagin theorem has been proved by M. Ya. Zhitomirskii, Funct. Anal. Appl.
20,2(1986), pp. 65-66.

Figure 56.
74 2. First-Order Partial Differential Equations

Consequently, the characteristic planes on a hypersurface in M2n + l form

a field of (2n — 1 )-dimensional planes on a 2rc-dimensional manifold: this
is the field of planes defined by the intersections of the contact planes with
the tangent spaces of the hypersurface.
It turns out that the contact structure defines a straight line in each of
these (2n — 1 )-dimensional planes, the so-called characteristic direction.

D. Skew-Orthogonal Complement

In order to define the characteristic direction, we recall that in a linear space

with a nondegenerate bilinear form, orthogonal complements are defined
(the orthogonality of a pair of vectors is defined as the vanishing of the
form on the pair).

Examples

1. Let (L, <o) be a Euclidean space, i.e., let L be a linear space and co a
scalar product. To every vector £ there corresponds a 1-form to(£, ■), the
scalar product with the vector The value of this 1-form at the vector
rj is equal to cu(^, rj).
For example, grad / is the vector corresponding to the 1-form dj
To a straight line in L there corresponds the orthogonal complement
of this line (the plane of zeros of the 1-form corresponding to the vector
of the line). Every plane of codimension 1 is the orthogonal complement
of a line in L (Fig. 57). We note that multiplication of to by a nonzero
number preserves orthogonality of vectors. Therefore, the correspon¬
dence between straight lines and their orthogonal complements does
not change if we multiply the scalar product by a nonzero number.

2. Let (L, oj) be a symplectic space, i.e., let L be a linear space and to a
skew-scalar product (a bilinear skew-symmetric nondegenerate form).
To every vector £ there corresponds a 1-form cu(£, • ), the scalar
product with £. The value of this 1-form at the vector rj is equal to <u(£, rj)
(Fig. 58).
For example, a Hamiltonian field with Hamiltonian function H is a
field corresponding to the 1-form dH.
To a straight line in L there corresponds its skew-orthogonal comple¬
ment (the plane of zeros of the 1-form corresponding to the vector of the
line). Every plane of codimension 1 is the skew-orthogonal complement
of a unique line in L.

Figure 57. Figure 58.

§ 8. The Nonlinear First-Order Partial Differential Equation 75

We note that orthogonality is preserved under multiplication of to by

a nonzero number. Therefore, the correspondence between straight lines
and their skew-orthogonal complements does not change if we multiply
the symplectic structure oj by a nonzero number.

Problem. Prove that every straight line lies in its skew-orthogonal complement.

Solution. <o(c. c) = f) = 0.

Problem. Prove that if all vectors in a suhspace of a 2n-dimensional sympletic space are
skew-orthogonal to each other, then the dimension of this subspace does not exceed n.

Solution. The skew-orthogonal complement of a ^-dimensional subspace has dimension

2/? — k (indeed, choose a basis (?,, . . . , ek): then the equations oj(e{, £) = 0, ,
o)(ek. c) = 0 form k independent equations in f, since a dependence between the
equations would imply a dependence between the vectors et in view of the condition
that o) is nondegenerate).
If k > n, then the dimension of the orthogonal complement is smaller than n and
the space cannot be skew-orthogonal to itself.

Remark. In a 2/j-dimensional symplectic space there exist ^-dimensional subspaces

which are skew-orthogonal to themselves. They are called Lagrange subspaces.

E. Characteristics on a Hypersurface in a Contact Space

We return to the geometry on a noncharacteristic hypersurface in a contact

manifold
At every point of the hypersurface E2n, we have defined the (2n — 1)-
dimensional characteristic plane P: the intersection of the contact plane
with the tangent plane of E2n (Fig. 59).

Definition. The characteristic direction at a noncharacteristic point .v on a

hypersurface in a contact space is the skew-orthogonal complement of the
characteristic plane in the contact plane (the skew-scalar product is defined
as do.\a=0) \ lx is the skew-orthogonal complement of

p2n~\ _ T E2n p, pj 2,.

in nf1.

Figure 59.
76 2. First-Order Partial Differential Equations

Figure 60. Figure 61.

We note that the characteristic direction lies in the characteristic plane

(cf., § 8D): in the case n — 1 the characteristic direction coincides simply
with the characteristic plane.
In the general case, the characteristic directions at all points of a non¬
characteristic smooth hypersurface in a contact space form a smooth field
of directions on the hypersurface; at every point, the characteristic direction
belongs to the contact hyperplane at this point (Fig. 60).

Definition. The integral curves of the field of characteristic directions on a

noncharacteristic hypersurface £ in a contact manifold are called the
characteristics of the hypersurface E.

Let Nk be a A:-dimensional integral manifold, lying in E2n, of a field of

contact planes.

Definition. A point x e Nk is said to be noncharacteristic if the tangent plane

of N at this point does not contain the characteristic direction (Fig. 61).

Problem. Prove that if y is a noncharacteristic point of the manifold Nk, then k ^ n — 1,

and give an example of an /7-dimensional integral surface of a contact field of planes in
M2n + t lying in E2n.

It turns out that the characteristics passing through a point of an integral

noncharacteristic manifold Nk themselves form (locally) an integral (k + 1)-
dimensional submanifold, lying on the hypersurface E2", of the field of
contact planes. In order to prove this, we need a simple general lemma on
the invariance of a field of planes with respect to a one-parameter group of
diffeomorphisms.

F. Digression : A Condition for the Invariance of a Field of Planes

Let a be a nonvanishing differential 1-form. This form defines a field of

hyperplanes. Let y be a nonvanishing vector field. This field defines a
direction field, (i.e., a field of straight lines).
We assume that the direction v of the field at each point belongs to the
§ 8. The Nonlinear First-Order Partial Differential Equation 77

hyperplane of zeros of the form a at this point:

a(v) - 0.

Lemma. In order that the field of zeros of a be invariant with respect to the
phase flow of the field v, it is necessary and sufficient that da(v, f) = 0 for
all £ in the plane a(^) = 0 of the field.

The assertion of the lemma is local and invariant with respect to diffeo-
morphisms. Therefore, it is sufficient to prove it for the standard field
v = f/f.v, in a Euclidean space with coordinates (jc,, . . . , xj (in view of
the theorem on the rectification of a vector field). Let a = a 1 dx: -F • • • +
andxn. By assumption, we have at = 0 (since a(v) = 0).

Problem. Prove that the value of the exterior derivative of the form a at the
pair (v, O (where v = f/Cr,, a{v) = 0, and c, is an arbitrary vector) coin¬
cides with the value of the partial derivative ca/cxl at the vector £.

Solution
< a-
da = X dxj a dxl 'da(v. () = Zfi, - Zf-tj
( -V; v 3xt dx.

However, a, = 0.

[A perhaps clearer solution can be obtained by applying Stokes’ formula

to the parallelograms with sides v, £.]
The condition for the invariance of the field of zeros of the form a with
respect to translations along the x,-axis is that the partial derivative ca/cx]
must vanish on the plane a — 0 of the field.
Knowing that f u/dxfb) — da(v, £), we see that the condition for invar¬
iance has the form

(a(c) = 0) => (da(v, £) = 0). ►

G. The Cauchy Problem for the Field of Characteristic Directions

We return to the noncharacteristic hypersurface E2" in a contact manifold

M2n+l. Let Nk be an integral submanifold, lying in Eln, of the field of
contact planes.

Definition. The Cauchy problem for a hypersurface E2n in a contact manifold

M2n+l with initial manifold TV"-1 consists of determining an integral
manifold Y" of the field of contact planes, lying in E2n and containing the
initial manifold TV"-1 (Fig. 62).
 78 2. First-Order Partial Differential Equations

Figure 62. Figure 63.

Theorem. Let x be a noncharacteristic* point of the initial manifold TV”-1.

There exists a neighborhood U of x such that the solution of the Cauchy
problem for E2n ft U with initial condition N"~1 D U exists and is locally
unique (i.e., any two solutions with the same initial condition coincide in some
neighborhood of x).
The manifold Yn consists of characteristics passing through the points of
the initial manifold Nn~1.

The family of characteristics passing through the points of the initial

manifold forms a smooth manifold Yn of dimension n in E2n in the neigh¬
borhood of the point x. We prove that this manifold is the integral manifold
for the field of contact hyperplanes.
We consider a contact 1-form a defining the contact field of hyperplanes
in the neighborhood of x. We denote by a the restriction of a to the neigh¬
borhood of x in the hypersurface E2n.
T-he form a is nonvanishing, since E2n is noncharacteristic (cf., § 8C).
This form defines the field of tangent hyperplanes on E2n (they are the
traces of the contact hyperplanes on EZn). The field of characteristic direc¬
tions on E2n lies in the field of null planes of a (cf. § 8E).
In the neighborhood of x on E2", we consider a vector field v whose
direction is characteristic everywhere. We denote by {g‘j the local one-
parameter group of diffeormorphisms on E2n defined by v (g‘ is defined in
the neighborhood of x for t near 0), Fig. 63.
Every point of Y" can be obtained from some point of the initial manifold
by means of an appropriate diffeormorphism g‘.

Lemma A. The form a vanishes on the planes tangent to Y at the points of the
initial manifold.

Lemma B. The diffeomorphisms g' convert null planes of a into null planes.

“4 A. The form a is equal to zero at vectors tangent to Nn~l, since N is an

integral manifold. The form a is equal to zero at v, since the characteristic
direction lies in the contact hyperplane. Consequently, the form a is equal
to 0 on TXN + Ru. ^

*The definition of noncharacteristic points is given in § 8E.

§ 8. The Nonlinear First-Order Partial Differential Equation 79

B. We consider a vector £ at which a vanishes. (£ is not necessarily based

at a point of the initial manifold). We calculate the value of da at the pair
0v, £) at this point. By the definition of the form a = oc|£, this value is equal
to the value of the derivative of the contact form da(v, £). By the definition
of characteristic direction, the latter is equal to 0 for any vector £ in the
contact plane. By the lemma in § 8F, the condition a = 0 is invariant with
respect to {#'}. ►

Lemmas A and B imply that the form a vanishes at all vectors tangent
to Yn. Consequently, Yn is an integral manifold.
Hence, we have constructed an integral submanifold Yn a E2n of the
field of contact hyperplanes, passing through the initial manifold N"-1.

H. Proof of Uniqueness

Lemma. The tangent plane to any n-dimensional integral manifold in E2n of

the field of contact planes contains the characteristic direction.

^ The restriction of the contact 1-form a to its integral manifold is equal

to zero. The restriction of the 2-form dct to this manifold is equal to the
derivative of the restriction of the form a, i.e., equal to zero. Consequently,
any two vectors tangent to the integral manifold are skew orthogonal (in
the sense of the skew-scalar product da\a=0).
The vector of a characteristic direction on E2n is skew orthogonal to all
vectors in E2n lying in the plane a = 0. Assume that it does not belong to
the tangent plane of an ^-dimensional integral manifold, lying in E2n, of the
field of contact planes. Then the subspace spanned by this vector and this
tangent plane has dimension n + 1. However, all vectors of the subspace
just constructed are mutually orthogonal. According to Problem 2 in § 8D,
the dimension of this subspace does not exceed n. ►

It follows from the lemma that every ^-dimensional integral manifold in

E2n of the field of contact planes contains, together with every point of it, a
segment of the characteristic passing through this point. This implies the
uniqueness of the integral manifold containing a given initial manifold. ►

I. Application to a Nonlinear First-Order Partial Differential Equation

We now interpret nonlinear first-order partial differential equation for a

function u: Vn -* R as a hypersurface E2n in the manifold M2n+1 — J1(Vn,
R) of 1-jets equipped with the standard contact structure.
Let (xl, . . ., xn) be local coordinates on Vn and let u be the coordinate
in R. Denote by (x,, . . . , xn; u; pY, ... ,/?„) the corresponding local co¬
ordinates in the space of 1-jets. Then the differential equation can be written
80 2. Firsl-Order Partial Differential Equations

locally in the form

<X>U, u, p) = 0. (1)

Solving this equation reduces to determining the integral surfaces of the

field of contact planes in E2n which are 1-graphs of functions (cf., § 8B).
Our general theorems reduce the problem of solving this equation to the
construction of characteristics on EZn, for which we need to find the integral
curves of a field of directions on Eln (i.e., we have to solve a system of
2n — 1 ordinary differential equations).

Theorem. The solutions of Eq. (1) are the functions whose l-graphs consist of
characteristics on E2n.

< Cf., § 8B, § 8G, and § 81.

J. The Cauchy Problem for a Nonlinear First-Order

Partial Differential Equation

Let yn~l c= Vn be an (n — l)-dimensional submanifold of a manifold V”,

<p: yn~l —► R a smooth function, and E2n cz Jl{V", 1R) the smooth non¬
characteristic hypersurface given by Eq. (1).

Definition. The Cauchy problem for Eq. (1) is the problem of determining a
solution u : V —► IR which is equal to q> on y.

Definition. The initial manifold N constructed from the initial condition

(y, (p) is the set consisting of all 1-jets of functions on Vn satisfying the
following conditions (Fig. 64):

(1) The base point of the jet lies on y"-1.

(2) The value of the function at this point is equal to cp.

Figure 64.
§ 8. The Nonlinear First-Order Partial Differential Equation 81

(3) The value of the total differential of the function at this point is such
that its restriction to the plane tangent to yn~l is equal to the total
differential of the initial condition q>.
(4) The jet belongs to E2n.

Definition. A point of the initial manifold is said to be noncharacteristic for

Eq. (1) if the projection of the characteristic direction at this point onto V
is transversal to y. (This definition is different from the one given in § 8E.)

Remark. We say that “the derivatives of the unknown function are deter¬
mined by the initial condition in n — 1 directions on y, and the derivative
in the last direction (transversal to y) is determined by Eq. (1).”

Example

Let y be given by the equation xx = 0 in the space with coordinates (jcj , x').
Then N is given by the conditions

dtp
xt = 0, u = <p(x'). P' =

px is determined from the equation <I>(x, u, p) = 0.

Theorem. Assume that the point (x0, u0,p0) of the space of 1 -jets is a non¬
characteristic point of the initial manifold N. Then the solution of Eq. (1) with
initial condition N exists in some neighborhood U of the initial point x0 and
is locally unique (in the sense that every two solutions of the equation satisfying
the initial condition u\vrty — cp\uny,u(x0) = u0,du(x0) = p0 coincide in some
neighborhood of x0).

This follows from the theorem of § 8G, which also provides a means of
constructing the solution. ►

K. Explicit Formulas

Problem. Calculate explicitly the differential equation of the characteristics for the
equation <l>(x, u, p) = 0.

Answer.

* = <t>P,
P = -4>x - ;

ti =
 82 2. First-Order Partial Differential Equations

Solution. Consider a vector tangent to the manifold 0 = 0. For such a vector with
components (X, U, P) we have

®xX + Ou£/ + O pP = 0.

This vector lies in the contact plane if the form du- pdx vanishes for it, i.e., JJ = pX.
Hence, a condition necessary and sufficient for the vector (X, pX, P) to lie in the
intersection of the contact plane with the tangent to the manifold O = 0 is that

(Oj. + Oup)X + OpP = 0. (2)

The characteristic vector (x, u = px, p) is defined by the condition that the skew-
scalar product with all vectors (X, pX, P) satisfying the preceding equality vanishes.
This skew-scalar product is equal to the value of da. = dx a dp at the pair of the
vectors (x, u = px, p), (X, U = pX, P), i.e., equal to xP — pX.
Hence, Eq. (2) for X and P must be equivalent to the equation

xP - pX = 0. (3)

Consequently, the coefficients of X and P in Eqs. (2) and (3) are proportional. This
provides the above answer in view of the equality u = px.

L. Conditions for a Noncharacteristic Point

Problem. Give explicit conditions for y, <p, and O under which the point (x0, u0, p0) is
noncharacteristic for the equation ®(x, «, p) = 0 with the initial condition (p on y.

Answer. O (x0, w0, p0) is not tangent to y at x0 (cf.. Fig. 62).

Solution. We project the plane tangent to the surface formed by the characteristics
passing through the initial manifold onto the x-space. If the surface is the 1-graph of
the solution and the point (x0, u0,p0) is noncharacteristic, then the tangent plane is
generated by the tangent to N and the characteristic direction. It is projected isomor-
phically. Consequently, the x-component of the characteristic vector must be trans¬
versal to y at x0. But this component is (cf. § 8K).
Conversely, let Op be not tangent to y at x0. Then:
(1) In the neighborhood o/'(x0, u0,p0), the hypersurface 0 = 0 is smooth. Indeed,
Op ¥= 0, and consequently, */0|<JCq „o , ^ 0.
(2) At (x0, u0,p0), the equation 0 = 0 is noncharacteristic. Indeed, the vector
(0, 0, Op) lies in the contact plane and is not tangent to the surface O = 0 at (x0, m0, p0),
since Op(x0, u0,pQ) =£ 0.
(3) Near (x0, u0, p0) the initial manifold N is smooth.
Indeed, we choose coordinates (Xj, . . . , xj = (x,, x') so that the local equation of
y takes the form x, = 0. Then the condition of solvability of the equation

0^0, x', tpix'fp^—j = 0

§ 8. The Nonlinear First-Order Partial Differential Equation 83

for pfx') takes the form dO/Sp, |(.V(rl<i],P(i) ^ 0; the condition that the vector <t>p is not
tangent to y has the same form.
(4) The point (,x0, uQ, p0) of the initial manifold is noncharacteristic.
Indeed, if the characteristic vector were tangent to the initial manifold N, then its
projection <l>p would be tangent to the projection y of N onto the .x-space.
(5) The characteristics intersecting the initial manifold in the neighborhood of (,x0,
u0, po) form a smooth manifold in this neighborhood which is projected dijfeomorphically
onto the x-space (and thus is a \-graph of a function).
Indeed, the image of the plane tangent to this manifold at (,x0, «0, pQ) under projec¬
tion onto the .x-space contains the tangent plane of y and a vector transversal to it.
Consequently, at (,x0, u0, p0), the derivative of the mapping under consideration is an
isomorphism, and the projection mapping itself is a local diffeomorphism (by the
inverse function theorem).
Hence, all five conditions for being noncharacteristic are satisfied at (.x„, u0,p0) if
<5 is not tangent to y at this point.

M. The Hamilton-Jacobi Equation

Definition. The Hamilton-Jacobi equation is the equation

H{x,ux) = 0. (1)

The difference between this and a general first-order partial differential

equation is that here the unknown function does not appear explicitly in
the equation.

Example

Let y be a smooth hypersurface in the Euclidean space IR" and let u(x) be
the distance of the point x from y (Fig. 65). The function u satisfies the
Hamilton-Jacobi equation

2
tu
| + • • • + (2)
.ex.

(at the points of smoothness of the function u).

Figure 65.
84 2. First-Order Partial Differential Equations

Indeed, the modulus of the gradient of this function is equal to the

modulus of the derivative of the distance from y in the direction normal to y,
i.e., it is equal to 1.
Globally, the function u may not be smooth. For example, let y be an
ellipse in the plane. The singularities of u form an interval inside the ellipse
(Fig. 66).

Problem. Prove that every solution of a Hamilton-Jacobi equation (2) is locally the
sum of the distance from a hypersurface and a constant.

When studying the Hamilton-Jacobi equation, it is useful to consider

the cotangent bundle T*Vn instead of the manifold Jl(Vn, R) of 1-jets of
functions on V”. In mechanics, the space T* Vn is called the phase space of
the configuration space Vn. A vector cotangent to Vn at x is, by definition, a
linear homogeneous function on the space tangent to Vn at x. All vectors
cotangent to V" at x form a linear space called the space cotangent to V” at
x and denoted by Tf V". The vectors cotangent to V" at all points form a
smooth manifold of dimension 2n. This is called the cotangent bundle of Vn
(or simply the cotangent bundle) and is denoted by T* Vn.
Let (xj, . . ., x„) be local coordinates on V”. A cotangent vector to Vn
at x can be given by a collection (pt, . . . , pn) of n numbers in the following
way. To the collection pk of numbers, there corresponds the 1-form p1 dxx +
• • • + pndxn on the tangent space to V" at x. The collection (px,
Xj, . . . , x„) of 2n numbers forms a system of local coordinates in the
cotangent bundle of V".
There exists a natural projection n of the space Jl(Vn, R) of 1-jets of
functions onto the cotangent bundle of V":

7t: Jl(Vn, R) -> T* Vn.

The mapping n “eliminates the value of a function”; in coordinates, it can

be given as

(x i, . ■ ■ , x„; u;px, ...,pn)^(p1, xls . . . , x„).

Definition. The characteristics of the Hamilton-Jacobi equation (1) are the

projections of the characteristics of the first-order partial differential
equation (1) onto the cotangent bundle.
§ 8. The Nonlinear First-Order Partial Differential Equation 85

Problem. Determine the differential equation of the characteristics of the Hamilton-

Jacobi equation (1).

Answer, x = Hp,p = — Hx.

Remark. This system of differential equations is called the system of Hamilton's canonical
equations. The corresponding vector field is defined on not only the surface H = 0
but on the whole phase space.

Problem. Determine the characteristics of the Hamilton-Jacobi equation (2).

Answer, x = 2at + b, p = a (a and b are constant vectors and a2 = 1).

Consequently, the projections of the characteristics onto V" are straight lines.

In geometrical optics, the Hamilton-Jacobi equation (2) is called the

eikonal equation and the projections of the characteristics onto V” are called
rays. The function u is called the optical distance and its level surfaces are
called fronts. Besides these objects, in geometrical optics, caustics play an
essential role. We consider, for example, a wall lighted by rays reflected
from a concave surface (for example, from the interior of a cup). On the
wall, more intense lines are visible with singular points, which lines are the
caustics.
The definition of caustics is as follows. Consider the Cauchy problem
for a first-order partial differential equation. Even if the corresponding
characteristics can be extended unboundedly and do not intersect, forming
a global integral manifold, the projection of this manifold onto Vn is generally
not a diffeomorphism.
The set of critical values of the projection of the integral manifold onto
Vn is then called a caustic.
In the special case of the Hamilton-Jacobi equation (2) with initial condi¬
tion u = 0 on y, the caustic is the locus of focal points or centers of curvature
of the hypersurface y.

Problem 1. Draw the locus of the centers of curvature of an ellipse in the

plane.

Problem 2. On every interior normal of an ellipse, an interval of length t is

drawn. Determine the curve thus obtained and study its change as t increases.

Answer. Cf., Fig. 67.

Figure 67.
86 2. First-Order Partial Differential Equations

§ 9. A Theorem of Frobenius

A direction field in the plane always defines a family of integral curves and
is locally rectifiable (it reduces to a field of parallel lines by a diffeomor-
phism). In a three-dimensional space this is not true: a field of planes in
R3 may in general not have integral surfaces.
In this section we discuss conditions for the local rectifiability of a field
of hyperplanes, i.e., conditions under which the field is a field of tangent
hyperplanes to a family of smooth hypersurfaces.

A. Completely Integrable Fields of Hyperplanes

Let M" be a smooth manifold on which a field of hyperplanes is given.

In the neighborhood of any point, such a field is given by a differential
1-form a which is not degenerated to the zero form and is determined up
to multiplication by a function which vanishes nowhere.

Definition. A field of hyperplanes is said to be completely integrable if the

form da is identically zero on any plane of the field.

Remark. The property of local integrability does not depend on the choice
of the form a which defines it locally, since under the multiplication of a
by a nonvanishing function, the form da|a = 0 is multiplied by this function,
(cf.. ij 8A).

Proposition. In order that a field of hyperplanes a = 0 be completely integrable

it is necessary and suff icient that

a. a da. = 0.

◄ In the tangent space of Mn at the point under consideration, we choose a

basis (Fig. 68) of n — 1 “horizontal” vectors (ex, ... , in the plane
a = 0 and one “vertical” vector f. The value of the 3-form a a da is equal
to zero at the three horizontal vectors, since a = 0. Moreover, (da. a a)
(c,, Cj, / ) = 0 is a sum in which every term contains a factor of the form
either a(e() or da(e{. ef : these quantities are equal to zero.

Figure 68.
§ 9. A Theorem of Frobenius 87

Conversely, if a a da = 0, then da{et, ei) = 0. Indeed, the only term in

(a a da)(et, ej,f) not containing a factor a(et) or a(e.) is da(e{, efa(/); on
the other hand, a(/) ^ 0. ►

Remark. The condition a a rfa = 0 is called the integrability condition of

Frobenius. From the proposition just proved, it follows that it is a constraint
on the field of planes: it is satisfied or not simultaneously for all forms a
defining the field.

B. Existence of Integral Manifolds

Theorem. In order that a field of hyperplanes a = 0 be a field of tangent

hyperplanes to a family of hypersurfaces it is necessary and sufficient that the
field satisfy the integrability condition a a da = 0 of Frobenius.

On the surfaces of the family, we have a — 0, and therefore, da = 0.

Conversely, let da = 0 on the planes a — 0. In the neighborhood of a point
x, we construct a family of integral surfaces in the following way. Let v be
a vector field for which a(v) = 0 (i.e., the vector of the field lies in the plane
of the field of planes at every point). Let rk be an integral submanifold of
the field of planes (Fig. 69) and let v(x) not lie in the tangent plane to Tk
at x.

Lemma. The phase curves of the field v passing through points of the integral
manifold Fk form a smooth integral manifold Tk + 1 of a completely integrable
field of planes a = 0.

Denote by {g‘} the local phase flow of the field v. Then (a) the diffeomor-
phisms g‘ convert the planes of our field a — 0 into planes of the field.
Indeed, da(£,) = 0 for every vector £ of a plane of the field. Therefore,
the field of planes is invariant under the diffeomorphisms g' according to
the lemma of § 8F.
Moreover, (b) the tangent space to Yk + l lies in the plane of the field at
the points of the initial manifold Tf
Indeed, both the tangent plane of the integral manifold rk and the vector
v belong to a plane of the field, and the tangent space to Yk+1 at x is spanned
by v(x) and Txrk.

Figure 69.
88 2. First-Order Partial Differential Equations

From (a) and (b) it follows that the manifold Yk+l is an integral manifold
for the field of planes a = 0. ►

Now the integral manifolds of dimension n — 1 are constructed by

increasing the dimension successively.
We consider a coordinate system (jc15 . ..,x„_J;y) in which the co¬
ordinate plane y = 0 belongs to the field of planes a = 0 at zero.
In the neighborhood of zero, the projection in the direction of the y-axis
from a plane of the field onto the coordinate plane (jc15 . . . , x„^x) is an
isomorphism (Fig. 70). Consider basis vector fields in the coordinate plane:
(d/cxj, . . . , c/cxn_1). Their inverse images in the planes of the field form
smooth vector fields in the neighborhood of the point O. Denote these fields
by Oh, • ■ •, u„-i).
As initial (zero-dimensional) integral manifold T0, we take a point y0 of
the y-axis (Fig. 71).
Applying the lemma to T0 and , we obtain a one-dimensional integral
manifold Y1. On Yl we have x2 = ... = = 0, and therefore, v2 $
T0Y\
Applying the lemma to Yl and v2, we obtain a two-dimensional integral
manifold Y2. Continuing in the same way, we begin with an integral mani¬
fold Yk on which xk+1 = ... = xn_1 = 0. Applying the flow of the field
vk+l, we obtain an integral manifold Yk+1 on which xk+2 = ... = xn~1 = 0.
The process concludes with the construction of the desired manifold
yn-1 ^
Chapter 3

Structural Stability

In every mathematical investigation, the question will arise whether we can

apply our mathematical results to the real world. Indeed, let us assume that
the result is very sensitive to the smallest change in the model. In such a
case, an arbitrarily small change in the model (say, a small change of the
vector field defining a differential equation) leads to another model with
essentially different properties. A result like this cannot be transferred to
the real process under consideration, because, when constructing the model,
the real situation was idealized and simplified, the parameters were deter¬
mined only approximately, etc. Consequently, the question arises of choosing
those properties of the model of a process which are not very sensitive to
small changes in the model, and thus may be viewed as properties of the
real process.
One of the attempts to choose such properties led to the notion of robust¬
ness or structural stability (Andronov and Pontrjagin, 1937). The significant
success of the theory of structural stability for phase spaces with small
dimension (1 or 2) gave birth to hopes broken in the 1960’s by the work of
Smale: He showed that for phase spaces of large dimension, systems exist in
the neighborhood of which there is no structurally stable system. For the
qualitative theory of differential equations this result has approximately the
same significance as Liouville’s theorem on the impossibility of solving
differential equations by quadrature for the integration theory of differential
equations. It shows that the problem of the complete topological classifica¬
tion of differential equations with high-dimensional phase space is hopeless
even if restricted to generic equations and nondegenerate cases.
In this chapter, we give a short survey of the basic notions, methods,, and
results of the theory of structural stability.

§ 10. The Notion of Structural Stability

In this section structural stability is defined and structurally stable vector

fields are studied on a one-dimensional phase space.
90 3. Structural Stability

A. The Naive Definition of Structural Stability

We shall consider the differential equation

x - p(x), x e M,

given by the vector field v on the manifold M. We will say that the field v
defines a dynamical system (or briefly, a system). We shall assume (as a rule)
that the solutions of the equation can be extended infinitely; this is always
so if M is compact.

Example

The equation of a pendulum with friction is (Fig. 72):

xl = x2, x2 = —X[ — kx2.

If k = 0,then all phase curves are closed. If k > 0, they spiral towards
the singular point O, which is of focal type. Consequently, a small change
in the friction coefficient changes the behavior of the phase curves qual¬
itatively if the coefficient had been zero before the change. It does not change
the qualitative picture if the coefficient had been positive.
The definition of structural stability given below formalizes this differ¬
ence: a pendulum without friction turns out to be a structurally unstable
system, and a pendulum with friction is a structurally stable one.

Definition. A system is said to be structurally stable if for any small change

in the vector field the system thus obtained is equivalent to the initial system.

In order to give this definition a meaning, we have to define small change

of a field and what systems are considered to be equivalent.

B. Topological Equivalence

The finest classification of differential equations is based on the notion of

diffeomorphism. Two systems (M,, vt) and (A/2, v2) are said to be diffeo-
§ 10. The Notion of Structural Stability 91

morphic if there exists a diffeomorphism h: Mt —► M2 converting the vector

field v1 into the vector field v2.
Diffeomorphic systems are indistinguishable from the point of view of
the geometry of smooth manifolds. The following example shows that
classification up to diffeomorphisms is too fine (too many systems turn out
to be inequivalent).

Example

Consider the equations x = x and x = 2x with a one-dimensional phase

space.
In both cases, 0 is the only (repelling) equilibrium position. However,
the two systems are not diffeomorphic.
If a diffeomorphism converts a singular point of a vector field into a
singular point of another vector field, then the derivative of the diffeo¬
morphism converts the operator of the linear part of the first field at the
singular point into the operator of the linear part of the second field at its
singular point. Consequently, these two linear operators are similar and, in
particular, have the same eigenvalues. Hence, the eigenvalues of the linear¬
ization of a vector field at a singular point are invariants with respect to
diffeomorphisms and change continuously with the field. Such invariants
are called moduli. Due to the existence of moduli, the decomposition of the
set of vector fields into classes of diffeomorphic vector fields is continuous
rather than discrete (Fig. 73).
In particular, the two fields indicated above are not diffeomorphic, since
1 # 2. ►

In order not to distinguish these two fields, a coarser equivalence is

introduced, the so-called topological equivalence. We note that homeo-
morphisms (one-to-one mappings continuous in both directions) do not act
on vector fields. Therefore, the topological equivalence of vector fields is
defined in the following way.
We consider the phase flows defined by given vector fields. The phase
flow of a field v on M consists of the transformations g‘: M -*• M converting
every initial condition x0 of the equation x = v(x) at time 0 into the value
g'x0 of the solution at time t; it is obvious that gt+s = g‘gs, g° = 1. If M is
compact, then glx are defined for all t e IR and x e M.

Definition. Two systems are topologically equivalent if there exists a homeo-

morphism of the phase space of the first system onto the phase space of
92 3. Structural Stability

the second, which converts the phase flow of the first system into the phase
flow of the second:

hg\x = g2hx.

In other words, the diagram

M1 ^ Mx
hi i*
M2 - M2
is commutative.
For example, the systems x — x and x = 2x are topologically equivalent.

Remark. Various application of homeomorphisms for the expulsion of

moduli, as introduced above, provided the fundamental motivation for
introducing homeomorphism and continuous (not differential) topology.

C. Orbital Equivalence

Unfortunately, the topological equivalence does not save us from moduli.

Example

Consider a vector field having a closed phase curve, say, a limit cycle. Then
every topologically equivalent system also has a limit cycle with the same
period. A small change in the field may cause a small change in the period.
Consequently, the period of motion on the cycle is a continuously changing
invariant (modulus) with respect to topological equivalence as well. In order
to get rid of such moduli, a classification of systems is introduced which is
still coarser than the classification up to a homeomorphism.

Definition. Two systems are said to be topologically orbitally equivalent if

there exists a homeomorphism of the phase space of the first system onto
the phase space of the second, converting oriented phase curves of the first
system into oriented phase curves of the second. No coordination of the
motions on corresponding phase curves is required.
The structural stability conjecture consists of the assumption that the
decomposition of systems into classes of orbital equivalence does not have
moduli, at least if we are restricted to generic cases and neglect degeneracies.

D. The Final Definition of Structural Stability

Let M be a compact manifold (of class Cr_1, r ^ 1). Let v be a vector field
of class Cr (if M has a boundary, then it is assumed that v is not tangent
to it).
§ 10. The Notion of Structural Stability 93

The system (M, v) is said to be structurally stable if there exists a neigh¬

borhood of v in the space C1 such that every vector field in this neigh¬
borhood defines a system topologically orbitally equivalent to the initial
one, and the homeomorphism realizing the equivalence is close to the
identity homeomorphism.

E. The One-Dimensional Case

Let M be a circle. A vector field on the circle is defined by a periodic function.

The singular points of the field correspond to the zeros of this function. A
singular point is said to be nondegenerate if the derivative of the function is
different from zero at that point.

Theorem. A vector field on the circle defines a structurally stable system if

and only if it has only nondegenerate singular points.
Two vector fields on the circle with nondegenerate singular points are
topologically orbitally equivalent if and only if they have the same number of
singular points.
The structurally stable vector fields form an everywhere dense open set in
the space of vector fields on the circle.

Let all singular points of the field be nondegenerate. There are a finite
number of them and they are alternately stable and unstable. Every non¬
constant solution of the equation x = v(x) tends to a stable equilibrium
position as t —> + oo and to an unstable one as t —> — oo. This easily implies
all assertions of the theorem except one: it remains to be proven that all
singular points can be made nondegenerate by means of an arbitrarily small
perturbation of the system.
It is convenient to prove the last assertion by means of Sard’s theorem.

Lemma. The measure of the set of critical values of a smooth function defined
on the interval [0, 1] is equal to zero.

We divide the interval into N equal parts and single out those which
contain critical points. If N is sufficiently large, then the derivative of the
function does not exceed C/N on each of the parts singled out (C is a constant
independent of N). Therefore, the length of the image of each of the parts
singled out does not exceed C/N2. Cover this image by an interval of length
2C/N2. We have obtained a cover of the set of critical values by intervals of
total length not greater than 2C/N. ►
We consider a family of vector fields with parameter e on the circle given
by the formula u(xr, e) = v(x) — e. A point x is a degenerate singular point
of the field corresponding to the value e of the parameter if and only if e is
a critical value of the function v at the point x.
 94 3. Structural Stability

All critical points form a set of measure zero. Therefore, there exist
arbitrarily small noncritical values. Fix a noncritical value e. All singular
points of the Field corresponding to this value of the parameter are non¬
degenerate. P>

F. Digression: Sard’s Theorem

Let /: A/ -*■ ,/V be a smooth mapping of manifolds of any dimension. A point of the
source space is said to be critical if the dimension of the image of the differential of
the mapping at the point is smaller than the dimension of the image space. The value of
the mapping at a critical point is said to be a critical value.

Theorem. The measure of the set of critical values of every sufficiently smooth mapping
is equal to zero.

/.If the dimension of the source space is equal to zero, then the theorem is obvious;
if the dimension is equal to 1, then it has already been proved above. We assume that
the theorem is proved in all cases where the dimension of the source space is equal to
m — 1, and prove it in the case where it is equal to m.

2. We divide the set K of critical points of the mapping into several parts. A point
of the source space is called a point of Jlattening of order r if all partial derivatives of
orders 1, . . . , r are equal to zero at this point. We denote by Kr the set of all points of
flattening of order r.

3. First we consider the set of critical points of K\KX. We prove that the measure of
the corresponding set of critical values (i.e., the measure of the set f{K\Kx)) is equal to
zero.
At every point of K\KX, one of the partial derivatives is different from zero, say,
cj/j/cbr,. In the neighborhood of such a point,/, can be chosen as a local coordinate
instead of x,, retaining the other coordinates x2, . . ., xm in the source space. In these
coordinates,/can be written as a one-parameter family of smooth mappings of (m — 1 )-
dimensional spaces into (n — 1 /dimensional ones:

(/ ;xltx2, . . . , jcJ i— (/, ;/2, .. .,/).

We fix a value c of the parameter of J\. The mapping /induces a mapping/ of the
(m — 1/dimensional plane j\ = c in the source space into the (n — 1/dimensional
plane/ = c in the image.
The set of critical values of the mapping/ has (n — 1/dimensional measure zero
in the plane / = c by the induction hypothesis (the theorem is proved for (m — 1/
dimensional source spaces). By Fubini’s theorem, the n-dimensional measure of the
union of the sets of critical values of the mappings/ is equal to zero.
On the other hand, the image of the set of critical points in K\KX lying in the neigh¬
borhood of the point under consideration is contained in this union. This implies that
the measure of j\K\Kf is equal to zero.

4. We consider the set Kr\Kr+l of points of r-flattening. We prove that the measure
of the corresponding set j\Kr\Kr+l) of critical values is equal to zero.
§ 10. The Notion of Structural Stability 95

At every point of Kr\Kr+l, one of the partial derivatives of order r 4- 1, say dgjdxl,
is different from zero, where g is one of the partial derivatives of /, of order r (in an
appropriate local coordinate system).
In the neighborhood of such a point, the set Kr\Kr+1 is contained in the smooth
{m — 1/dimensional hypersurface g = 0. The points of Kr\Kr+i are critical for the
restriction of /to this'hypersurface, since df = 0 on Kr. By assumption, the measure
of the image of the set of critical values of the restriction of f to this hypersurface is
equal to zero. Consequently, the measure of J\Kr\Kr+l) is equal to zero.

5. Finally, we consider the set Kr of r-flat critical points for sufficiently large r. We
prove that the measure of the corresponding set f(Kr) of critical values is equal to zero if
r is sufficiently large.
To this end, we divide each side of the m-dimensional cube in the source space
(choosing local coordinates) into N equal parts, divide the cube into Nm equal small
cubicles, and single out those which contain points from Kr. The diameter of the
image of any cubicle singled out does not exceed c(l/7V)r+1 (where the constant c does
not depend on TV). Therefore, the images of all cubes singled out are covered by open
cubes with total measure not greater than

,n(r+ 1)

c, TVm
TV

even if all TV"1 cubicles are singled out.

This number converges to zero as TV -» oo, and, therefore, the measure of Kr is equal
to 0 for r > (m/n) — 1.
Let us represent the whole set K of critical points as the union of the sets K\Kt,
Kl\Ki+1, and Kr. We have proved that the measure of the image of each of these sets
is equal to zero. Therefore, the measure of the whole set of critical values is equal to
zero. ►

G. Structurally Stable Systems on the Two-Dimensional Sphere

Passing to systems with a phase space of dimension greater than one, we

encounter singular points and closed phase curves.

Definition. A singular point of a vector field is said to be degenerate if zero

is an eigenvalue of the linearization of the field at that point.

Remark. A nondegenerate singular point of the field does not disappear for
a small perturbation of the field, and moves only slightly (by the implicit
function theorem). In contrast to this, a degenerate singular point, in general,
bifurcates under a small perturbation of the field (splits into several non¬
degenerate ones) or disappears. Therefore, all singular points of a structurally
stable system are nondegenerate.

Definition. A closed phase curve (cycle) of a vector field is said to be degen¬

erate if 1 is an eigenvalue of the linearization of the Poincare mapping. [The
96 3. Structural Stability

Figure 75.

Poincare mapping is the mapping of a transversal of the cycle into itself

assigning to every point of the transversal close to the cycle the next point
of intersection of the phase curve emanating from this point of the transveral
with the transversal, cf., Fig. 74.]

Remark. A nondegenerate cycle does not disappear under a small perturba¬

tion of the field but moves a little (in view of the implicit function theorem).
In contrast to this, a degenerate cycle, in general, bifurcates (splits into
several nondegenerate ones) or disappears under a small perturbation of the
field. Therefore, all cycles of a structurally stable system are nondegenerate.

We consider a vector field on a two-dimensional surface. In the two-

dimensional case, the generic singular points are, topologically, either saddle
or nodal points. A phase curve converging to a saddle point as t —> -I- oo is
called an incoming separatrix of the saddle point and a phase curve converging
to the saddle as t —> — oo is called an outgoing separatrix (Fig. 75).

Theorem. A vector field on the two-dimensional sphere defines a structurally

stable system if and only if the following conditions are satisfied:

(1) All singular points of the field are nondegenerate.

(2) The real parts of the eigenvalues of the linear parts of the field at all
singular points are nonzero.
(3) No outgoing separatrix of a saddle point is incoming.
(4) All closed phase curves are nondegenerate cycles.

Remark. The proof of structural instability if at least one of conditions (I )-(4) is violated
is not complicated (cf., Fig. 76). The proof of the fact that conditions (l)-(4) imply

Figure 76.
§11. Differential Equations on the Torus 97

structural stability is more complicated; it is given in detail by De Baggis (cf., H. F.

De Baggis, Dynamical systems with stable structures, Contrib. Theory Nonlinear
Oscillation, 2 (1952), 37-59; M. M. Peixoto, Structural stability on two-dimensional
manifolds. Topology, 1 (1962), 101-120; 2 (1963), 179-180); M. S. Peixoto, M. M.
Peixoto, Structural stability in the plane with enlarged boundary conditions, Anals Acad.
Brasileira Ciencias, 31, 2 (1959), 135-160.

Theorem. The structurally stable vector fields form an everywhere dense open
set in the space of vector fields on the two-dimensional sphere.

This theorem follows from the preceding one. ^

Remark. Analogous results hold for a vector Field on the disk not tangent
to the bounding circle.

§11. Differential Equations on the Torus

In this section we discuss the theory of vector fields without singular points
on the two-dimensional torus, due to Poincare and Denjoy. In particular,
all structurally stable fields are described.

A. The Two-Dimensional Torus

The ^-dimensional torus is the direct product of n copies of the circle. The
two-dimensional torus T2 — S1 x S1 can be represented as the square

(x, y: 0 ^ x ^ 2n, 0 ^ y ^ 2n)

with opposite sides pasted together [the points (0, y) and (27t, y) as well as
the points (x, 0) and (x, 2n) are identified (Fig. 77)].
The torus can also be viewed as the set of cosets of the group R2 modulo,
the subgroup 2nJ.2 of vectors with integral components multiplied by 2n:

(2n

Zrt

Figure 77.
98 3. Structural Stability

‘ o o o
o o o
Figure 78.

T2 = U2/2ttZ2 = {(.x, >>) e R2 mod 2n}.

Consequently, the plane R2 covers the torus in a locally diffeomorphic

fashion. The covering R2 T2 (Fig. 78) enables us to carry over every picture
from the torus to the plane (where it is reproduced infinitely many times).
Smooth functions on the torus correspond to 27r-periodic smooth functions
on the plane.
To every closed curve in the plane there corresponds a closed curve on
the torus. The converse is not true: closed curves on the torus correspond
to not only closed curves in the plane but also to mappings cp: [0, 1] —» R2
for which <p(0) = <p(l)mod27r.
Moreover, if the coordinates of <p(l) — <p(0) are equal to (2np, 2nq),
then we say that the curve on the torus closes after p revolutions along the
parallel and q revolutions along the meridian.

B. Vector Fields on the Torus

Every vector field on the torus defines a field on the plane periodic of period
2n in both coordinates. Conversely, to every field 2n periodic in both
coordinates in the plane, there corresponds a vector field on the torus.

Example

The equations

x = a, y = P,

where a and P are constant, define a vector field on the torus without singular
points.

Theorem. If the ratio X = P/a is rational, then all phase curves are closed
on the torus. If it is irrational, then they are everywhere dense.

•4 (1) Let X = p/q. The phase curve passing through the point (x0, >»0) has
the equation — y0 = (x — x0)p/q. Ifx — x0 = 2nq, then>> — y0 —
2np and, consequently, (x, y) — (x0, y0) mod 27r, i.e., the phase curve
is closed.
§11. Differential Equations on the Torus 99

(2) Below we prove that (in the case where X is irrational) any phase curve
is uniformly distributed on the torus, i.e., in any part of the torus*,
it spends a time proportional to the area of that part. This implies
that, in particular, a sufficiently long segment of the phase curve is
as close to any point of the torus as we wish, i.e., the phase curve is
everywhere dense.

C. Uniform Distribution

The general definition of uniform distribution is as follows.

Let v be a vector field on a smooth compact manifold M with a fixed
volume element (for example, a field on the torus with the area element
dxdy). We shall denote the volume (area) of a domain D by n{D).
Consider the solution (p of the equation x = d(x) with initial condition
z. We denote by r(D, T, z) the measure of the set of those values of the time
t e [0, T] for which cp(t) belongs to D.

Definition. A solution to the equation x = v(x) is uniformly distributed if

for every domain D with piecewise smooth boundary, we have

t (A T, z)
lim
T-co T MAO'

Theorem. For irrational fi/a., the solutions of the equation x = a, y = /? are

uniformly distributed on the torus.

Uniform distribution can also be defined in terms of time averages of

functions.
Let f be a function (complex valued, in general) on M.

Definition. The limit

lim — f(g‘z) dt = f(z)

T-> ao T

is called the time average of the function / (here gf is the phase flow).

Remark. Of course, this limit does not always exist, and even if it does,
it may, in general, depend on the initial point.

The theorem on the uniform distribution on the torus follows from the
theorem below.

*By “a part of the torus” we mean a Jordan measurable domain, for example, a domain
with piecewise smooth boundary.
100 3. Structural Stability

Theorem (On the Coincidence of Averages). For irrational X = (3/ct, the

time average of any continuous {or at least Riemann integrable) function
f\T2-^<C exists on a solution of x = a, y = (3 on the torus. It is independent
of the initial point, and coincides with the space average

fdx dy.

In order to obtain the uniform distribution theorem from this theorem,

it is sufficient to take the characteristic function of a set D (equal to 1 on
D and zero outside D) as/.

D. Proof of the Theorem on the Coincidence of Averages

We denote the vector with components (a, (I) by co. Then the solution with
initial condition z has the form z + cot. The assertion of the theorem reads
as follows:

/(z + oot) dt = ^

We note that among the functions on the torus, there are the harmonics
of the form e'(fc,z), where A: is a vector with integral components. For har¬
monics, the theorem can be verified by direct calculation of the integral. Let
k ^ 0. We have

pH"-.-*;
i(k,z + a>t) ,i(k,o)t Jt _
dt = el * = TTTTTTn [el(k,a>)r - 1],
i{k, oo)

The function in square brackets is bounded. Therefore, the time average

of a harmonic with nonzero index k is equal to zero. The space average is
also equal to zero. For k = 0 the harmonic equals 1. Both averages of the
function identical to 1 are equal to 1. The coincidence of the averages is
proved for harmonics.
The coincidence of the averages for harmonics implies their coincidence
for trigonometric polynomials: the average of a linear combination is equal
to the linear combination of the averages with the same coefficients. In
particular, the theorem is proved for / = cos(A:, z) and sin (A:, z).
Now we prove the theorem for real functions; then (in view of the linearity
of averages) it will be proved for complex-valued functions, as well. We
approximate a given function f from above and from below by continuous
functions P and Q so that
/• f*

P <f < Q, io(Q - P)dxdy < e

4tt JJ
§11. Differential Equations on the Torus 101

(the possibility of such an approximation for any £ > 0 characterizes the

Riemann integrable functions). Then we approximate the functions P and
Q by trigonometric polynomials p and q so that

\p - P\ < e, \q - Q\ < e.

We denote by pQ and q0 the constant terms of these polynomials. The

numbers p0 and q0 are both space and time averages of the polynomials p
and q (since for trigonometric polynomials, time averages coincide with
space averages). Consequently, the space average f0 of / is between p0 — e
and qQ + e:

Po - £ < fo < qo + e> q0 - Po <

We denote by pT,fT, and qT the averages of p,f, and q in time T:

1 CT
pT(z) = — p(z + cot) dt, etc.
Jo

Then pT(z) — e < fT(z) < qT(z) + e for any T. For T sufficiently large, we
have

\pT{z) ~ p0\ < £, \qT(z) ~ Qo\ < £-

Consequently, for suficiently large T,

I /rO) - >o| < 6s. ►

E. Some Consequences

1. The fact that the torus was two-dimensional did not play any role in
the preceding. We consider the equation z = co,z e T", on the «-dimensional
torus. The frequency vector co is said to be a resonant vector if there exists
a nonzero vector k with integral components such that (co, k) = 0.
If the vector co is nonresonant, then the time and space averages of con¬
tinuous (or even Riemann integrable) functions coincide and the solutions
are uniformly distributed.

2. From the uniform distribution theorem, it follows that the first digit
of the number 2" is equal to 7 more often than to 8. More precisely, denote
by Nk(n) the number of positive integers m ^ n for which 2m begins with
the digit k. Then

lim ^7(”) = log 8 - log 7

n-oo N8(n) log9 — log8’
 102 3. Structural Stability

The same distribution governs the first digits of the population figures
of the world’s countries, but not those of the lengths of rivers (N. N.
Konstantinov). One possible explanation is the exponential growth of popu¬
lations with time. Such growth implies the desired distribution for the popula¬
tion figures of every fixed country in different years. To obtain the required
explanation we have only to substitute temporal averaging for “spatial”
averaging (averaging over the set of countries).

3. The discovery of the uniform distribution theorem was motivated by

the following problem of Lagrange: determine co = lim,.,^ (l/f)arg/(/),
where

/«) = £ ake“°-'.
k= 1

We give the answer for the nonresonant vectors co = (<ol, - - - , con). Let
n = 3. If a triangle can be constructed from the three line segments (aj,
a2, a3), then co = ^ockcok/n, where ak is the angle opposite ak.
For an arbitrary n, the solution has the form of a weighted average of
the frequencies tok: co = £ Wkcok. The weights Wk can be calculated in the
following way. Denote by fV(at, ■ ■ ■, as; b) the probability of the event
that the distance from the origin to the endpoint of the planar polygon
with .v sides of lengths ax, ■ ■ ■, as with random directions is smaller than b.
We then have Wk = fV(ak, ak) (ak is the collection of all numbers at except
ak).
For a proof, cf., for example, H. Weyl, Mean motion, Am. J. Math.
60, (1938), 889-896; 61 (1939), 143-148.
Lagrange encountered the above problem (the so-called problem of
mean motion) in the following way. Consider the vector connecting the
Sun with the center of the ellipse on which a planet moves (it is called the
Laplace vector). In the first approximation of the perturbation theory, the
evolution of the Laplace vector under the influence of mutual attraction of
planets has the form of a motion of a sum of uniformly rotating vectors
(their number equals the number of planets).
If for the planets of the solar system we calculate the frequencies cok
and amplitudes ak, it turns out that for all planets except the Earth and
Venus one of the amplitudes ak is greater than the sum of the others. There¬
fore, Lagrange managed to determine the mean motion of the perihelia
of all planets except the Earth and Venus. In the case of the Earth and
Venus, however, several terms have approximately the same amplitude. The
problem was solved only in the Twentieth Century by Bohl, Sierpinski, and
H. Weyl.

F. Poincare Mapping and Angular Function

Consider a general differential equation

2
z = to{z). z e T
§11. Differential Equations on the Torus 103

on the torus. Assume that the field to has no singular points and oq # 0.
[If there are no singular points or cycles, then in an appropriate coordinate
system, the first component of the field is everywhere different from zero
(cf., Siegel, Note on differential equations on the torus, Ann. Math. 46,
3 (1945), 423-428); it is easy to construct a field without singular points
but with cycles which do not admit such a coordinate system].
Now we pass to the study of integral curves of a nonautonomous equation
with doubly periodic right-hand side:

dx w1

All solutions of this equation can be infinitely extended, since the right-
hand side is bounded.

Definition. The Poincare mapping of the equation under consideration on

the torus is the mapping A of the >>-axis into itself assigning to every initial
point (0, y0) the value of the solution at x = 2n with this initial condition
(Fig. 79).

The Poincare mapping is differentiable (by the theorem on the differ¬

entiability of the solution with respect to the initial conditions) and has
the periodicity property: A(y + 2n) = A(y) + 2n; the inverse mapping
A~x is also differentiable. Consequently, A defines a diffeomorphism of the
circle onto itself. The Poincare mapping may be thought of as that dif¬
feomorphism of the meridian of the torus which takes every point of the
meridian into the following point of intersection of the integral curve
passing through this point with the same meridian.
The study of properties of integral curves on the torus thus reduces to
that of properties of diffeomorphisms of the circle. For example, assume
that a diffeomorphism of the circle has a fixed point. Then, on the torus
there exists a closed integral curve. The converse is not true (for example,
take a rotation of the circle by angle n). For an integral curve passing
through a given point of the meridian of the torus to be closed, it is necessary
and sufficient that this point be a periodic point of the diffeomorphism,
i.e., that it be mapped onto itself after several applications of the diffeo¬
morphism.
 104 3. Structural Stability

The Poincare mapping defines an orientation-preserving diffeomorphism

of the circle. Therefore, it can be written in the form

Ay — y + a{y), where a(v + 2n) = a(y), a'(y) > — 1.

The function a will be called the angular function.

G. Rotation Number

The rotation number characterizes the average slope of integral curves of

an equation on the torus; for the simplest equation dy/dx = X with constant
right-hand side, the rotation number is equal to X.

Definition. The rotation number of the equation dy/dx = X{x, y) on the torus
is the number
(p(x)
^ = lim
X-*OQ X

where cp is the solution of the corresponding equation in the plane.

The rotation number can be expressed by the angular function:

= J_ iirn a(y) + a(Ay) + • • • + a(Ak~\y)

2n k—*oo k

In this form, the definition can be carried over to any orientation¬

preserving diffeomorphism of the circle.

Theorem. The limit in the definition of the rotation number exists and does
not depend on the initial point; it is rational if and only if some power of the
diffeomorphism has a fixed point (i.e., the differential equation has a closed
phase curve).

1. Consider the angle of rotation of a point y under A>fold application

of the diffeomorphism. Denote it by

ak(y) = a{y) + a(Ay) + a(A2y) + • ■ ■ + a(Ak~1y).

For any two points y{ and y2, we have

\<*k(yi) - ak(y2)\ < 2n-

Indeed, the inequality holds for \yt — y2\ < 2n, since the mappings A
and Ak of the line convert intervals of length 2n into intervals of length 2n.
§11. Differential Equations on the Torus 105

On the other hand, the function ak is 27t-periodic, and hence y2 can be

changed by an integral multiple of 2n, so that ak(y2) will not change and the
distance of yx from y2 will become smaller than 2n.

2. Denote by mk the integer for which

2nmk ^ ak(0) < 2n{mk + 1).

We prove that for any y and for any integer /,

au(y) _ "h
2nkl k

Indeed, |ak(y) — 2nmk\ < 4n for any y according to § 11G1, and therefore,

ak(y) _
2nk k

However, akl{y)j2nkl is the arithmetic mean of the / quantities ak{y^!2nk,

where y, = A‘y, i = 0, . . . , / — 1.

3. Denote by <jk the interval [(mk — 2)/k, (mk + 2)/&]. We have proved
that akl{y)/2nkl belongs to <Jk for all l. We prove that the intervals ak with
distinct k intersect each other.
Indeed, akl{y)j2nkl belongs to both ak and cr,.

4. Thus, the intervals ok have lengths converging to 0 and they intersect

each other. Consequently, they have a unique common point: it is the
rotation number. We have proved that the limit defining the rotation number
exists and does not depend on the initial point.

5. Assume that Aq has a fixed pointy on the circle; then the corresponding
point on the line translates by an integral multiple of2n under g-fold applica¬
tion of the corresponding mapping, i.e., aq(y) — 2np. In this case for any /
we have aql(y) = 2npl, and, therefore, the rotation number p = p/q is
rational.

6. Let p = pjq. If for all y we have aq(y) > 2np, then for some £ > 0
we have aq(y) > 2np + e for all y.
Then p > pfq. If we had aq(y) < 2np for all y, then we would have p <
pjq. Hence, aa — 2np changes sign. Consequently, y exists such that aAy) =
2np. ►>

Remark. If the rotation number p is irrational, then the order of the points
(y. Ay, A2y, .. . , ANy) on the circle is the same for any y as in the case of a
rotation by angle 2np. Indeed, aq(y) > 2np if and only if p > pjq.
 106 3. Structural Stability

We also note that the rotation number of an equation on the torus

depends on the choice of the circle transversal to phase curves (the _y-axis
in our notation).

H. Structurally Stable Equations on the Torus

The simplest equation z = co on the torus is structurally unstable, for both

resonant and nonresonant values of co.

Theorem 1. The differential equation dy/dx - - k{x, y) on the torus is struc¬

turally stable if and only if the rotation number is rational and all periodic
solutions are nondegenerate*.

^ This theorem follows from the analogous assertion proved below for
orientation-preserving diffeomorphisms of the circle. ^

Definition. A cycle of order q of a diffeomorphism A: M —> M is a set of q

distinct points (y, Ay, . . . , Aq~1y) with Aqy — y. A cycle is said to be
nondegenerate if the point y is a nondegenerate fixed point of Aq (i.e., 1 is
not an eigenvalue of the derivative of Aq at y).

Remark. The derivatives of Aq are similar at the points of the same cycle
and, therefore, all points of a cycle are degenerate or nondegenerate at the
same time.

Theorem 2. An orientation-preserving diffeormorphism of the circle is struc¬

turally stable if and only if the rotation number is rational and all cycles are
nondegenerate. The structurally stable diffeomorphisms form an everywhere
dense open set in the space C2 of all twice differentiable orientation-preserving
diffeomorphisms of the circle.

Consequently, generic diffeomorphisms with rational rotation number

have a rather simple structure: the topological type of the mapping is
determined by the number of cycles, which must be even (since the points
of stable and unstable cycles alternate). The order of all cycles is equal to q
provided that the rotation number p — plq. The ordering of points of each
cycle on the circle is the same as for a rotation by the angle 2np.
Theorem 2 is proved in § 11J. The proof is simple modulo the following
nontrivial theorem of Denjoy (1932).

*A. G. Maier, Robust transformations of the circle into the circle, Ucenye Zapiski GGU,
12 (1939), 215-229; V. A. Pliss, On the robustness of differential equations given on the torus,
Vestnik LGU, Ser. Mat. 13, 3 (1960), 15-23.
§11. Differential Equations on the Torus 107

Theorem 3. If an orientation-preserving diffeomorphism of the circle of class

C2 has the irrational rotation number p, then it is topologically equivalent to
a rotation of the circle by the angle 2np.

The preceding theory is due to Poincare (1885); Denjoy’s theorem was

stated by Poincare in the form of a conjecture (for equations whose right-
hand sides are trigonometric polynomials). Denjoy also gave examples
showing that C2 cannot be replaced by C1.

I. Proof of Denjoy’s Theorem

M I- The ordering of the points . . ., A~xy, y. Ay, ... of the orbit of the
mapping A on the circle is the same as the ordering of the points of the orbit
of rotation by the angle 2np (cf., § 11G). Therefore, to prove the theorem it
is sufficient to establish that the orbit of A is everywhere dense on the circle.
Indeed, we then would obtain a homeomorphism of the circle converting A
to a rotation by continuously extending the mapping which takes the points
of the orbit . . . , A~xy, y. Ay, . . . into the corresponding points of the orbit
of the rotation.

2. If on the circle there is an arc free from points of the orbit of A, then
the images of this arc under the powers of A are mutually disjoint. Indeed,
consider the maximal arc containing the given arc and free from points of
the orbit. Its images are also maximal arcs. The endpoints of a maximal arc
belong to the closure of the orbit. Therefore, the endpoints of a maximal
arc cannot lie inside maximal arcs. Hence, any two intersecting maximal
arcs must coincide. On the other hand, if a maximal arc coincides with its
image, then its boundary point belongs to a cycle, in contridiction with the
irrationality of p.

3. The sum of the lengths of the images of a maximal arc is bounded.

Therefore, the lengths of the consequent images of such an arc under the
action of both AN and A~N converge to zero as N -» oo. Consequently, the
integrals of the Jacobians of both the positive and negative iterates of A over a
maximal arc converge to zero: in the notation

N-l JA N-l JA-\

un = in
=o
-r; W’
ay vn = n -z—0*
1=0ay ‘y)>

we have

uN dy -► 0, vNdy -» 0

as N —»■ oo (the above integrals are taken over a maximal arc).

 108 3. Structural Stability

4. Consider the sequence (a0, oq, a2 . . .) of the points of the orbit of

rotation by angle 2up.. Assume that aq is the closest to a0 among the points
(otj, . . . , aq). Then the points aq, ... , oc2q_l alternate with the points a0, . . . ,

Indeed, consider the arc (as, aq+s), s < q, of length <5, the distance of
a0 from aq. Assume that ar lies on this arc. If r < s, then a0 lies on the arc
(as_r, <x5_r+q). Therefore, the distance from as_r to a0 is less than S, contrary
to the choice of aq. If r > s, then ar_s lies on the arc (a0, aq), and therefore,
r — s > q. Then the distance from a0 to car_s_q is less than <5. Hence, the
arc (as, <xq+s) contains no points ar, r < 2q, which was to be proved.

5. Consider the points (y. Ay, . . . , Aq~ly) and (A~ly, . . . , A~qy). These
two sets of points alternate (§ 1114). Therefore, for any function/of bounded
variation defined on the circle, for any point y, and for any q defined in
§ 1114, the quantity

- Z/04 Jy)> 0 < / < q, 0 <j < q

is bounded from below and above by constants not depending on y or q.

6. Let / be In(dA/dy). This function is of bounded variation, since A

is of class C2. Consequently, the quantity

H n
is bounded from below and above by positive constants not depending on y
or q (if q is chosen as in § 1114).

7. A contradiction to § 1113 completes the proof: applying the Schwarz

inequality to Nfu~q and ^fvq, we obtain

s[uo»qdy uq dy vqdy. ►

J. Proof of the Theorem on Structurally Stable

Diffeomorphisms of the Circle

^ /. If for any two orientation-preserving diffeomorphisms of the circle with

the same rational rotation number and the same number of cycles, all cycles are
nondegenerate, then there exists a homeomorphism converting the jirst diffeo-
morphism into the second one.
For the proof, we first assign to the points of a stable cycle of the first
diffeomorphism the points of some stable cycle of the second diffeomor-
phism, and then, to the point of a neighboring unstable cycle of the first
diffeomorphism we assign neighboring unstable points of the second one.
§11. Differential Equations on the Torus 109

and so on for all cycles (the order of points of a cycle on the circle is the
same as for the rotation). This correspondence can then be extended to
adjacent intervals using the following lemma, which can be proved easily:
Any two homeomorphisms of an interval onto itself without fixed points
are topologically conjugate.

2. If the rotation number is rational and all cycles are nondegenerate, the
rotation number, the number of cycles, and the nondegeneracy of cycles are
preserved under a small perturbation (according to the implicit function
theorem). Consequently, a diffeomorphism with rational rotation number and
nondegenerate cycles is structurally stable (cf., § 11J1).

3. If a diffeomorphism has a degenerate cycle, then a small perturbation

of the diffeomorphism in the neighborhood of the points of this cycle, can
change the number of cycles. Therefore, a diffeomorphism with a degenerate
cycle is structurally unstable.

4. If the rotation number is irrational, then it can be changed by an arbitrar¬

ily small perturbation of the diffeomorphism. Indeed, consider the perturbed
diffeomorphism y i—> Ay + £, e > 0. By Denjoy’s theorem, in some (not
smooth) coordinate system we have z i—>• z + 2np + <p(z), <p > 0. There¬
fore, the rotation number of the perturbed diffeomorphism is greater than
p. Hence, every diffeomorphism with irrational rotation number is structurally
unstable.

5. The rotation number is a continuous function of the diffeomorphism.

Indeed, p < pjq if and only if the g-fold application of the diffeomorphism
moves points by less than 2np. This property is preserved under small
perturbation of the diffeomorphism.

6. The diffeomorphisms with rational rotation numbers constitute a dense

set. This follows from §11J4 and § 11J5 and the density of the set of rational
numbers.

7. All cycles of a diffeomorphism with rational rotation number can be made

nondegenerate by an arbitrarily small perturbation of the diffeomorphism.
Indeed, any cycle can be made nondegenerate by an arbitrarily small
perturbation in the neighborhood of the cycle. Let y be one of the arcs into
which a degenerate cycle divides the circle. Define a smooth function cp
equal to 1 on y except in small neighborhoods of the endpoints of y and
to 0 outside y. Set Afy) = Ay + £(p(y). The rotation number does not
change, since the cycle has been preserved. Let q be the order of the cycle.
Then Aq(y) coincides with Aq(y) + £ on the arc Ay outside a neighborhood
of the endpoints of Ay.
We apply Sard’s theorem to the function Aq(y) — y on Ay. We see that
for almost all e, all fixed points of A\ on Ay are nondegenerate. On the
other hand, every cycle of At has representatives on Ay. Consequently, the
cycles of AE are nondegenerate. ►
 110 3. Structural Stability

K. Discussion

1. The preceding theorems give the impression that a generic diffeo-

morphism of the circle has rational rotation number, and diffeomorphisms
with irrational rotation number are exceptional. Nevertheless, numerical
experiments usually lead to (at least apparently) everywhere dense orbits.
To explain this phenomenon, we consider, for example, the family of the
diffeomorphisms

Aa z:y\-^-y + a T ssiny, a g [0, 27r], £ e [0, 1).

We shall represent every diffeomorphism by a point in the (a, £)-plane. As

is easily seen, the set of diffeomorphisms with rotation number p = p/q is
bounded by a pair of smooth curves and approaches the axis s = 0 with
increasingly narrow tongues as q increases. The union of these sets is dense.
Nevertheless, it turns out that the measure of the set of points of the para¬
meter plane for which the rotation number is rational is small in the domain
0^£<£o, 2n, compared to the measure of the whole domain
(Fig. 80).
Consequently, a diffeomorphism chosen randomly from our family with
small e has irrational rotation number with great probability.
Moreover, an analogous result holds for any analytic or sufficiently
smooth family of diffeomorphisms close to rotations; for example, for the
family y i—► y -t- a + ea(y) with an arbitrary analytic function a \ for small
£, the orbits are everywhere dense on the circle and the rotation number is
irrational with preponderant probability.
Consequently, the idea of structural stability is not the only approach to
the notion of a generic system. The metric approach indicated above is more
appropriate for the description of the actually observable behavior of the
system in some cases.

2. According to Denjoy’s theorem, a smooth mapping with irrational

rotation number is topologically equivalent to a rotation. The question
arises of whether this mapping is smoothly equivalent to a rotation.
The answer to this question turns out to be negative in the case where
the rotation number can be approximated abnormally rapidly by rational
numbers (Finzi). The question of smooth equivalence to a rotation reduces
to the question of smoothness of the invariant measure of the transforma-
 §11. Differential Equations on the Torus 111

tions. If the rotation number is rational, then the invariant measure is con¬
centrated on separate points. If the rotation number can be approximated
very rapidly by rational numbers with not too large denominators, then the
invariant measure can be approximated so rapidly by measures concentrated
on separate points that it cannot be even absolutely continuous with respect
to Lebesgue measure. Therefore, the homeomorphisms in Denjoy’s theorem
cannot be replaced by diffeomorphisms.

3. From the metric point of view, a randomly chosen number p is irra¬

tional with probability 1; moreover, it does not admit too rapid approxima¬
tion by rational numbers with small enough denominators. For example,
for any e > 0 with probability 1, there exists C > 0 such that

C
>
2+e
q
for any integers p, q > 0. This gives rise to the conjecture that the phenom¬
enon in § 11K2 occurs with probability 0. We formulate two results in this
direction.

Theorem. For almost every rotation number p, every sufficiently smooth (of
class C3 or smoother) dijfeomorphism of the circle with rotation number p is
smoothly equivalent to the rotation by the angle 2np (Herman, 1976).

Here “almost every” means that the Lebesgue measure of the exceptional
set of rotation numbers is equal to zero.
Herman’s theorem was preceded by an analogous theorem for mappings
close to a rotation and by the following result (proved in the analytic case
in 1959* and in the smooth case by J. Moser in 1962).

Theorem. In a sufficiently smooth family y i—» y + a -I- ea(y), the proportion

of pairs (a, e) in the domain 0 ^ a =$ 2n, 0 ^ £ < £0 for which the diffeomor-
phism cannot be reduced to a rotation by a smooth dijfeomorphism converges
to zero together with e0.

This theorem also holds for mappings of the «-dimensional torus.

The proof of these results goes beyond the scope of the present course;
nevertheless, in § 11L we shall consider a technique, due to A. N. Kolmo¬
gorov, for proving theorems of this sort in the simplest case of an anlytic
diffeomorphism.

*Sce: V. I. Arnold, L. D. Mechalkin, The Ko/moyoroc seminar on selected topics in analysis

(1958-1959). Uspeki Math. Nauk 15. I (1960)247-250.
112 3. Structural Stability

Figure 81.

L. Approximation of Irrational Numbers by Rational Ones

Theorem. For any irrational number p, there exist arbitrarily accurate rational
approximations whose error is less than the reciprocal value of the square of
the denominator:

For example, the number n can be approximated with an error of the

order of one millionth by a rational fraction with a three-digit numerator
and denominator: n « 335/113.
Before proving the theorem, we indicate a geometric method of Finding an
infinite sequence of such approximations (the method is called the algorithm
of continuous fractions, or the algorithm of stretching the noses, or simply
the Euclidean algorithm).
Consider the plane with the coordinate system (jc, y) (Fig. 81).
We draw the line y = px. For the sake of definiteness, we assume p > 0.
In the first quadrant we mark all points with integral coordinates. Except
for the point O, they do not lie on our line, since p is irrational. We consider
the convex hulls of lattice points of the quadrant lying on one side of our
line (“below” it) and on the other side (“above” it). [In order to construct
these convex hulls, we may visualize a thread fastened at infinity and lying
on our line. Let us imagine that a nail is hammered in at every lattice point
of our quadrant other than O. Pull the free end O of the thread downward
(upward). Then the thread will touch some nails and stretch, forming the
boundary of the lower (upper) convex hull.] The vertices of the convex
polygonal lines thus constructed give the required approximations of the
irrational number p. If the integers (q, p) are coordinates of a vertex, then
§11. Differential Equations on the Torus 113

the fraction p/q corresponding to the vertex is called a convergent fraction

for p. It turns out that for any convergent fraction we have

To prove this inequality, we describe the construction of our convex

polygonal lines by another method. Denote by e_l the basis vector (1, 0)
and by e0 the vector (0, 1). These vectors lie on different sides of the line
y = px. We construct a sequence of vectors e1,e2, ■ ■ ■ in the following way.
Let ek_l and ek be already constructed and lie on different sides of our line.
We add ek to ek_1 as many times as we can in such a way that the sum lies
on the same side of the line y = px as ek_l.
In this way, we obtain a sequence of natural numbers ak and a sequence
of lattice vectors

ei = e-l + a0e0> • • • 5 ek +1 = ek-1 + akek-> ■ ■ ■ ■

The vectors ek are the vertices of our two convex hulls (the upper one
for even k and the lower one for odd k).

Lemma. The oriented area of the parallelogram spanned by the vectors

(ek + 1, ek) is equal to (— 1)* (taking into account the orientation).

A For the initial parallelogram (e0, e_x), this is evident. Every following
parallelogram has a common side with the preceding one and equal altitude,
and gives an opposite orientation of the plane. ►

Corollary. Denote by qk andpk the coordinates of the point ek. The difference
of two subsequent convergent fractions is equal to

Pk _ Pk±i = (-Pft
Qk Qk +1 QkQk+1

In bringing the fractions to a common denominator, it turns out that

the numerator is the determinant of the components of ek+1 and ek, which
is equal to the oriented area of the parallelogram. ^

Proof of Theorem. The vectors ek lie alternately on one or the other side of
the line y = px.
Therefore, the convergent fractions are alternately larger or smaller than
p. Consequently, the difference between p and a convergent fraction is
smaller than the modulus of the difference between the convergent fraction
and the subsequent convergent fraction. By the corollary, the absolute value
of this difference is equal to \/qkqk+i, which is not larger than l/qk, since
Qk+1 > Qk for A: ^ 0. ►
114 3. Structural Stability

Remark. The numbers ak are called partial quotients. The convergent frac¬
tions can be expressed in terms of the partial quotients in the following way:

— = a0 +
ai +

1
H-
ak-1

The expression a0 -I---is called an infinite continuous fraction. The

a\ +
number p is expanded in an infinite continuous fraction in the sense that
linW4fc = n-

§ 12. Analytic Reduction of Analytic Circle

Diffeomorphisms to a Rotation

In this section, a theorem on analytic diffeomorphisms of the circle close to a rotation

and having an almost arbitrary rotation number is proved by means of Kolmogorov’s
modification of the Newton method.

A. Formulation of the Theorem

Denote by Ylp the strip |Imy| < p. For a holomorphic function a bounded in this
strip, we shall write

||u||p = sup|u(y)|, ye n„.

Let p be an irrational number, and let K > 0, a > 0. We say that p is a number of
type (AT, a) if for any integers p and q ^ 0,

Theorem. There exists e > 0 depending only on K, p, and a such that if a is a 2n-periodic
analytic function, real on the real axis with ||«||p < e and such that the transformation

y^y + 2np + a(y)

def ines a diffeomorphism of the circle with rotation number p of type (K, <r), then this
diffeomorphism is analytically equivalent to the rotation by the angle 2np.

B. Homological Equation

Denote by 91 the rotation by the angle 2np and by H the desired diffeomorphism
converting the rotation into A. The following diagram is commutative:
 § 12. Analytic Reduction of Analytic Circle Diffeomorphisms to a Rotation 115

S1 A S'
«T T H, i.e., //■ 91 = A H.
S' 4 s'

We write H in the form Hz = z + h(z), h(z + 2n) = /j(z). For h, we obtain the
functional equation
h(z + 2npi) — /z(z) = a(z + h(z)).

If A differs little from a rotation, then a is small. It is natural to expect that h is

of the same order of smallness. Then a{z + h(z)) differs from a(z) by a quantity of order
of smallness higher than that of a. Therefore, “in first approximation”, we obtain the
equation

h(z + 271//) — h(z) = a(z)

for h. This linear equation is called the homological equation.

Remark. We may consider the collection of diffeomorphisms A as an “infinite-dimen¬

sional manifold” on which the “infinite dimensional group” of diffeomorphisms H
acts. Moreover, the function a can be interpreted as a tangent vector to the manifold
of the diffeomorphisms at the point 91 and the function h as a tangent vector to the group
at identity.
Using these terms, the homological equation can be interpreted in the following
way: a belongs to the tangent space to the orbit of the point 91 under the action of the
group if and only if the homological equation is solvable for h.

C. Formal Solution of the Homological Equation

We expand the given function a and the unknown function h in the Fourier series:

a(z) = £akeikz, h = £V"“-

Comparing the coefficients of e'kz, we find

hk = - —-
g2nikfi _ J '

For the solvability of the equation, it is necessary that the denominators vanish only
together with the numerators. In particular, the homological equation is not solvable
if a0 # 0. If a0 = 0 and the rotation number // is irrational, then the preceding formulas
give a solution of the homological equation in the class of formal Fourier series. In
order to obtain the actual solution, it is necessary to study the convergence of the
series.

D. Behavior of the Fourier Coefficients of Analytic Functions

Lemma 1. If f is a 2n-periodic function which is analytic in the strip I\p, continuous in

the closure of this strip, and ||/||0 M, then its Fourier coefficients are decreasing in
 116 3. Structural Stability

geometric progression:

.41 Me~wp.

As is known, fk = ~~ (j) f(z)e ,kz dz. Let k > 0. Let us shift the path of integration

down (by —ip). The integral does not change, since the integrals on the vertical sides
of the rectangle thus obtained are equal. Hence,

2n
1
fk f(x - ip)e~ikx-kp dx, \fk\ 5= Me~kp.
,k ~ 2n

For k < 0 the path of integration has to be shifted upward (by ip). ►

Lemma 2. If\fk\ Me~Wp, then the function f = ~Zfke,kz is analytic in the strip FIP and

4M
/ llp-a ^
for S < p, S < 1.

Remark. In the case of functions of n variables. Lemma 1 still holds. In Lemma 2, the
estimate 4M/d has to be replaced by CM/S", where C = C(n) is a constant independent
of 6 andf

E. Small Denominators

In solving the homological equation, the Fourier coefficients of the right-hand side
have to be divided by the numbers e2n‘kp — 1. If p is irrational, then for k # 0, these
numbers are different from 0. Nevertheless, some of them are very close to 0. Indeed,
every number p admits rational approximations pjq with error |p — (p/q)\ < \/q2
with arbitrarily large q. For k = q, the denominator e2"'ktl — 1 will be very small.
It turns out that, with probability 1, all these small denominators admit lower
estimates in terms of powers of k.

Lemma 3. Let a > 0. For almost every real p there exists K = K(p, a) > 0 such that

P K
P :>
2 + <r
q q

for all integers p and q =£ 0.

Consider those numbers p in the interval [0, 1], for which the above inequality
(with fixed p, q, K, and a) is violated. These numbers form an interval of length not
greater than 2K/q1+a. The union of these intervals for all p (for fixed q > 0, K, and cr)
has total length not greater than 2K/q1+a. By summing over q, we obtain a set of
measure not greater than CK, where C = 2Lq~{X+a) < x. Consequently, the set of
numbers pe [0, 1] for which the desired AT does not exist is covered by sets of arbitrarily
§ 12. Analytic Reduction of Analytic Circle Diffeomorphisms to a Rotation 117

small measure. Consequently, this set is of measure zero (on the interval [0, 1] and,
therefore, on the entire line).

Remark. The numbers p satisfying the above inequality are called numbers of type
(AT, a) in § 12A.
For a number p of type (K, a), a small denominator admits the following lower estimate:

\e‘'“" ~'l> 2|(W >0)-

Indeed, the distance of kp from the closest integer can be estimated from below by
the number K/\k\i+a \ a chord of the unit circle is not shorter than the length of the
small arc subtended by it divided by n. ►

F. Study of the Homological Equation

Let a be a 27t-periodic analytic function with mean value 0.

Lemma 4. For almost all p, the homological equation has a 2n-periodic analytic solution
(which is real if a is a real function). There exists a constant v = v(K, a) > 0 such that
if p is of type (K, a), then for any 6 > 0 smaller than p and any p < f we have

IHU < W'-

Remark. We can see that the passage from atoh worsens the properties of the function
not more than differentiation v times. (It is useful to observe that \dvfldz'\l>_d <
C||/||p<5-v according to the Cauchy estimate of Taylor coefficients.) Disregarding the
deterioration of the function due to v differentiations, we may say that the solution h
of the homological equation is of the same order of smallness as the right-hand side a.

^ I. By Lemma 1, we have |tft| ^ Me~Wp provided that ||o||p M.

2. Since p is of type (K, <r), we have |/ik| ^ 2Me~Wpki+a/K.

3. The function xme~ax, x ^ 0, has a maximum at the point x = m/a. Therefore,

xme~!IX Ca~m, C = (m/e)m for any a > 0 and x > 0. Consequently, for any a > 0,
we have |Ar|1+<7e““|fc| Ca“m, m = 1 + o.

4. Thus, |/j*| < Me~W(p~x)2CK~ia-m. By Lemma 2, we have ||/z||#,_d ^ DM, where

D = 8C/Kam(6 — a). Take a = S/2. The number D does not exceed S~v if v is suffi¬
ciently large (because <5 < f). ►

G. Construction of Successive Approximations

We solve the homological equation with right-hand side a = a — a0 (a0 is the mean
value of the function a). Denote by h° the solution. We define a mapping H0 by the
formula H0(z) = z + h°(z). We construct the mapping Ax = Hq 1 o A o H0 and
define a function a1 by the relation A^z = z + 2np + al(z).
 118 3. Structural Stability

In other words, on the circle we have introduced a new coordinate (where z =

H0(z L)) and described the mapping A in terms of the new coordinate. We have obtained
the mapping z, i—» A,z, which differs from the rotation by angle 2nn by the “mismatch”
a1.
The next approximation is constructed in the same way, beginning with Av in place
of A. We construct h1 and a substitution Hl converting A{ into

A 2 = Hf1 o A1 o Hl.

This gives rise to a sequence of substitutions Hn. We consider the substitution

yfn = H0 o //, o . . . o Hn_1. We have An = o A o .M?n.
It turns out that the sequence is convergent if p is a number of type (K, a) and if
||a||p is sufficiently small. The limit substitution Jt? converts the initial mapping into
o A o -W = lim An, i.e., rotation by angle 2np.

H. Estimation of the Mismatch after the First Approximation

Lemma 5. There exist constants x, A > 0 depending only on K and a such that for every
6 in the interval (0, p), where p < \, we have

HI, < s" => Nil,-* < INI

Remark. This means that the mismatch ax remaining after the first substitution of the
variable is of second-order smallness compared to the initial difference a from the
rotation (up to a deterioration from A differentiations). Consequently, in the above
scheme of successive approximation, the error of every approximation is of the order
of the square of the preceding error. After n approximations, we obtain an error of the
order e2 , where e is the error of the initial (zeroth) approximation.
This kind of convergence, which is characteristic of Newton’s method of tangents
(Fig. 82), enables us to overcome the effect of small denominators occurring in every
step (i.e., the occurrence of the deteriorating multiplier 3~2); this technique was devised
by Kolmogorov in 1954.

^ /. Let be a convex domain in C" (or IR") and let h: Q -* C" (or IR") be a smooth
mapping with ||/j#|| = suPxea||^*Cx)|| < 1. Then the mapping H taking x into x + h{x)
is a diffeomorphism ofQ onto H O..
The eigenvalues of //*(*) are different from 0; therefore, H is a local diffeomor-

Figure 82.
§12. Analytic Reduction of Analytic Circle Diffeomorphisms to a Rotation 119

phism. In view of the condition |/j J < q < 1 and the convexity of Q, h is a contraction.
Consequently, the difference between the displacements of any two distinct points under
the mapping H is smaller than the distance between these points and, therefore, their
images are distinct, i.e., H is one-to-one. &■

2. We show that if x is sufficiently large, then A, is analytic in the strip rip_a.

«s§ Let ||a||p < M = 5*. We have a0 < M and ||a||p < 2M. By the theorem in § 12F,
we have ||/2°||p_;i ^ 2Ma~v. Consequently, \\dh0/dz\\p_2a ^ 2Ma‘(v+1).
Choose a = <5/8. If x is sufficiently large, then from the preceding inequalities we
obtain

IMIp < «. ||*°IU-« < a> \\dh0/dz\\p_2x < a.

Consequently, according to § 12H1, H0 is a diffeomorphism of the strip nj0_2a and

the image contains the strip Y\p_ia. Since

c A ° hoUp-s c np_a+2a c ri„_3a,

the diffeomorphism Hq 1 is defined on A o H0TJp_s. Hence, the mapping Ax = Hq 1 o

AoH0 is analytic in Ilp_a and is a diffeomorphism there. ^

3. We estimate the mismatch a1. The commutative diagram defining a1 gives

z + 2np + al(z) + h°(z + 2np + a1(z)) = z + h°(z) + 2np + a(z + h°(z)).

By the homological equation, we obtain

ax(z) = [a(z + h°(z)) — a(z)] — [A°(z + 2 np + a‘(z)) — hQ(z + 2np)~\ + a0.

The expression within the first pair of square brackets can be estimated using the mean
value theorem and the Cauchy inequality. By § 12H2, we obtain

||a(z + h°(z)) - a(z)\\p_a < y||A°||,_a < M25~“,

where the constant « depends only on v, i.e., only on K and a.

The expression within the second pair of square brackets can be estimated analo¬
gously:

lit ]H p-d 2 Met -(V + 1)| ^ M3-

Hence,

ll"1|U-d(1 - < lflol + M23~u.

4. Now estimate the quantity |a0| using the fact that the rotation number of A and,
therefore, of Ax is equal to 2np.
◄ From this it follows that a1 vanishes at some real point z0. We substitute the value
z0 into the formula for al(z). We obtain aQ = a(z0) — a(z0 + /z°(z0)), and, conse¬
quently, |a0| ^ M23~u (cf., § 12H3). ►
120 3. Structural Stability

5. From estimates in § 12H3 and § 12H4, it follows that

IKIU < 4A/2<T“>

I. Convergence of the System of Approximations

1. We shall consider the mapping An constructed in the «th step in a strip of radius
P„ decreasing with every step: p0 = p, p„ = p„_, -
The sequence of the numbers is chosen decreasing in the following way:

f’n = <2-

Then, for sufficiently small b0, < Pi2.

2. We form a numerical sequence Mn by setting

M„ = <

A sufficiently large number TV (depending only on K and a) will finally be chosen below.
Note that Mn = M*L\ -

3. Assume ||a||p ^ M0. We prove ||o"|| =5 Mn.

^ According to Lemma 5, if TV > x, then

On the other hand.

\2N~ a ^ <N \3Nf2

d0 < <>, = ’

provided that TV > 2a. We choose TV larger than 2A and x. Then we obtain

IK l, =

The passage from a"~1 to a" is analogous. ►

4. We prove the convergence of the products Xn = H0 o ... o in fIp/3.

The diffeomorphism H0 is analytic in Ylp and satisfies the inequalities ||A°|| T>0
\\dh°/dz\\f>i SQ (cf., § 12H2).
In the same way, for we obtain ||/7" 1 ||p ^ ||dh” ‘/dz||p sS f>„_,. Con¬
sequently, Xn is analytic in flp and its derivative is bounded from above and below
by the numbers

c = no + <**).<• = no -
This implies that is a diffeomorphism of flp and that the sequence #„ converges
in np/2. Indeed,

\X. - X.n + 1 llp/2

< cii/i-i pt 2 < cs..
§ 13. Introduction to the Hyperbolic Theory 121

Denote by H the limit of the sequence Passing to the limit in A o J^n = o A„,
we obtain A o = .jf o 'it, where 91 is the rotation by 2np. The theorem is proved.

J. Remarks

1. Moser observed that an analogous theorem can be proved in the case of finite
smoothness by combining the above approximation with a smoothing process of Nash
(cf., J. Moser, A rapidly converging iteration method and nonlinear partial differentia!
equations, 1, Ann. Scuola Norm. Sup. Pisa (3), 20 (1966), 265-316, II, 20 (1966), 499).
In the first publications of Moser, hundreds of derivatives were required. Subsequent
efforts of Moser and Riissmann reduced the number of derivatives (H. Riissmann,
Kleine Nenner II: Bemerkungen zur Newtonischen Methode, Nachr. Acad. Wiss.
Gottingen, Math. Phys. Klasse 1 (1972), 1-10). See also the recent works by Sinai,
Khanin and others (1987).

2. In the multidimensional case, the rotation number is not defined. Nevertheless,

in the family of mappings y * y + a + a(y) with small a and y e T", for most a the
mapping is smoothly equivalent to a translation y i—► y + 2np. In particular, for the
analytic family y i—» y + a + e.al(y) + e2a2(y) + • • • , there exists, for almost every
p, an analytic function a(e) = 2np + epl + • • - such that the mapping y t—;► y +
a(fi) + M,(y) + • • • turns into y i—>y + 2np upon an analytic substitution y = z +
vhx{z) + . .. .
The coefficients A,, ... can be found by comparing the terms containing the same
power of £. However, the convergence of the series in e thus obtained is proved only
indirectly, using the Newton approximation.

3. It seems plausible that an analytic diffeomorphism of the circle is analytically

equivalent to an irrational rotation if and only if the fixed points of the powers of the
diffeomorphism do not accumulate at the real axis. One may also think that for some
irrational numbers p which can be approximated abnormally well by rational numbers,
the function z(e) described in § 12J2 is not even smooth (even in the one-dimensional
case).

§ 13. Introduction to the Hyperbolic Theory

In the present section, we prove Anosov’s theorem on the structural stability

of an automorphism of the torus and the Grobman-Hartman theorem on
the structural stability of a saddle.

A. The Simplest Example: A Linear Automorphism of the Torus

Differential equations with multidimensional phase space define a large

class of structurally stable systems in which every phase curve lies between
neighboring ones in the same way as an equilibrium position of saddle
type between the neighboring hyperbolas. We begin with the simplest
example (Fig. 83).
Consider the automorphism A of the torus T2 which is given by the
 122 3. Structural Stability

Figure 83.

unimodular (having determinant equal to 1) linear transformation A of the

plane with the matrix

The lattice Ini.2 is transformed into itself by A. Therefore, equivalent

(equal modulo 2ri) points of the plane are mapped by A into equivalent
ones. Consequently, A defines a mapping A of the torus onto itself. The
matrix of A~l is also integral, since det A = 1. Therefore, A is a diffeo-
morphism of the torus onto itself. In addition, A is an automorphism of
the group T2 = U2/2nZ2.

B. Properties of the Torus Automorphism

A finite set of points is called a cycle of the mapping A if A permutes them

cyclically.

Theorem 1. The automorphism A of the torus has a countable number of

cycles. All points both of whose coordinates are rational multiples of 2n,
and only they, are cyclic points of the automorphism A.

1. Fix an integer TV. Then the points of the torus whose coordinates are
rational multiples of 2n with denominator TV form a finite set. The mapping
A maps this set onto itself. Consequently, all points of this set belong to
cycles.

2. Let 2n£ be a point of a cycle of order n > 1. We have Anc, = t, + m,

where m is an integral vector. The linear equation obtained for £ has nonzero
determinant. Therefore, the components of £ are rational. ►

Theorem 2. The iterates of the automorphism A smear every domain F uni¬

formly over the torus: for every domain G we have

mes(T"F) D G mes G
lim
n—*co mes F mes T2
§ 13. Introduction to the Hyperbolic Theory 123

This property of A is calied mixing; it holds for any measurable sets F

and G.
In terms of functions on the torus, this relation can be written in the
following form:

lim (An*fi g) =
n-co (1, 1)

where (u, v) = J u(x)v(x) dx, (An*f)(x) = f(Anx).

Now let /be an exponential function: / = el{p'x). Then An*f is also an
exponential function with wave vector p’ = An p. If p ^ 0, then the orbit of
p under A"' is infinite. Therefore, for any exponential function g = eliq'x),
we have \imn^a3{An*f, g) = 0. We obtain the required result by approxi¬
mating/ and g by sums of exponential functions in mean square. ^
A more instructive (although more complicated in proper execution)
proof of the mixing property can be obtained in the following way.

Theorem 3. On the torus there exist two direction fields invariant with respect
to the automorphism A. The integral curves of each of these direction fields
are everywhere dense on the torus. The automorphism A converts the integral
curves of each field into integral curves of the same field, expanding by X > 1
for the first field and contracting by X for the second (Fig. 84).

M We consider the eigenvalues X1 2 - (3 ± ^/5)/2 of the transformation

A. It is obvious that Xx > 1 > X2 and the numbers Xx and X2 are irrational.
In the plane we consider the family of all straight lines parallel to the first
eigenvector of A. Since Xx is irrational, the components of the eigenvector are
incommensurate. Therefore, the lines of the family determine an everywhere
dense winding line on the torus. The transformation A of the plane converts
this family of lines into itself, dilating them Xx > 1 times. Therefore, the
transformation A of the torus converts the family of winding lines into itself,
dilating them the same number of times. This family is called the expanding
foliation of A.
The second eigendirection determines a contracting foliation in a similar
way. ^
 124 3. Structural Stability

Now consider the image of a planar domain Funder the transformation

A" of the plane. This transformation represents a hyperbolic rotation:
expansion A" times in the first eigendirection and contraction A" times in
the other. Therefore, for large n, the image of the domain Fis a narrow long
strip stretched out in the first eigendirection. Consequently, on the torus,
the image of F under A" is a long narrow strip close to a long segment of
a phase curve of the equation x = co with nonresonant vector a>. This
curve is uniformly distributed on the torus. This implies that for increasing
n, the images TnF intersect any domain G on the torus; the mixing property
can be deduced from these arguments with little effort.

C. Structural Stability of an Automorphism of the Torus

The astonishing fact discovered in the early 1960’s and appearing to be

one of the most significant results of the theory of differential equations
in recent decades is that the automorphism considered above is structurally
stable in the class of all diffeomorphisms of the torus. In particular, every
diffeomorphism sufficiently close to A has a countable number of cycles
and an everywhere dense set of periodic points.

Anosov’s Theorem. The torus automorphism A : T2 —» T2 defined by the

matrix (2}) is structurally stable in the C1 -topology. In other words, every
diffeomorphism B sufficiently close to A together with its derivative is con¬
jugate with A by means of some homeomorphism H, i.e., B = H~1AH.

Remark. The homeomorphism H can be chosen arbitrarily close to the

identity transformation if B is sufficiently close to A, but it cannot be made
smooth in general.

Anosov’s theorem shows that in the case of systems with multidimensional

phase space, behavior of the phase curves other than attraction to stable
equilibrium positions and cycles is possible and is preserved under small
perturbations, in contrast to the case of vector fields on the two-dimensional
sphere or torus. Later we shall discuss the physical meaning of this behavior,
of dynamical systems, which is more complicated than self-sustained oscilla¬
tion. The proof of Anosov’s theorem is given in § 13D-§ 13G.

D. The Homological Equations

We are looking for a homeomorphism H, H{x) = x + h(x) making the

diagram

R2 4 (R2
H | |H
[R2 4 [R2
§13. Introduction to the Hyperbolic Theory 125

commutative, where B{x) - A(x) + f(x) and the functions / and h are
27t-periodic in x.
From the diagram, we obtain the following nonlinear functional equation
for h:

h(Ax) — Ah(x) = f(x + h(x)).

We assume that f is small and that h turns out to be small of the same
order. Therefore, we replace the right-hand side by /(x), omitting a
“quadratically small quantity”. We obtain the following linearized equation:

h{Ax) — Ah(x) — f(x).

This equation is called the homological equation.

E. Solution of the Homological Equation

The left-hand side of the homological equation is linear in h. We denote

by L the linear operator assigning the left-hand side of the homological
equation to h. The solution of the homological equation has the form h
I '/’ We only have to prove that the operator L is invertible.

Lemma 1. The space of vector fields on the torus splits into the direct sum of
two subspaces invariant with respect to L.

The spaces of vector fields parallel to the first and second eigendirections
of the operator A are invariant under the transformation, and every vector
field can be represented uniquely as the sum of two fields in the eigen¬
directions.
Let / = fel + f2e 2, h = h1el + h2e 2, be the decompositions of the
fields f and h. Then the homological equation takes the form

hfAx) - X^fx) =/1(jc),

h2{Ax) - X2h2{x) =f2{x).

Here Xt = X21 > 1 > X2 = X are the eigenvalues.

Consider the operator of applying A to the argument in the space of
continuous functions on the torus. We denote it by S. We have

(Sg)(x) = g(Ax), ||5|| = 1, = 1.

The homological equation can be written in the form (E is the identity

operator)
(S- X&h, =f, i= 1,2.
 126 3. Structural Stability

Let / = 1. Then

(S - XlE)~l = -X(E + AS + X2S2 + •••)•

Since X < 1 and Ill'll = 1, the inverse operator exists and

||(S - A,£)->|| «

Analogously,

(S - X2E)~l = S~\E - XS~lYl = S~l(E + AS-1 + X2S~2 + ■■■),

||<5 - A2£)-'|| jJ-j.

Consequently, ZC1 exists and ||L 1/(1 — X). The homological equation
is solved, fe-

F. Construction of the Mapping H

The nonlinear functional equation from § 13D can now be solved by the
simple contraction mapping principle. We set

=/(* + h{x)) - fix).

Our functional equation has the form

Lh = $>h + f h — L~lm + L~lf.

Lemma 2. If the C1 -norm off is sufficiently small, then the operator L-10 is a
contraction in the space C°.

<4 It is sufficient to verify that the nonlinear operator <I> satisfies a Lipschitz
condition with a small constant. Indeed, according to E we have

IIL~lml - L~lm21| < llo/z1 - <D/z2||/(l - X).

On the other hand,

HtD/z1 - 0/?2|| = max| f{x + ^(x)) - fix + h2ix))\ sj ||y||<r.IJA1 - h21|.

Hence, L_1<E> is contractive provided that ||/||ci < 1 — X.

Under this condition our equation is solved and H is constructed.
§13. Introduction to the Hyperbolic Theory 127

G. Properties of the Mapping H

We prove that H is a homeomorphism of the torus.

^ If h is small in the Cl metric, then the mapping H = E + h is a homeo¬
morphism. We only know that h is small in the C°-metric. Nevertheless,
from H(x) = H(y), in view of the hyperbolic properties of A, it follows
that x = y.
Indeed, BH = HA in the plane. Therefore, HAx = HAy and HAnx =
HAny in general. In view of the hyperbolicity of A, the distance between the
points Anx and Any approaches oo as either « -»■ +oo or « -»■ —co. This
contradicts the boundedness of h. We necessarily have x = y and, conse¬
quently, x = y on the torus.
We prove that the range of H is the whole torus. Indeed, the image
under H of a sufficiently large disk in the plane contains a disk of radius
27r (since h is bounded). Therefore, HT2 = T2. Hence, H is a homeo¬
morphism of the torus. Moreover, BH = HA. ^
This completes the proof of the theorem of § 13C.

H. Theorem on the Structural Stability of a Saddle Point

The preceding arguments also prove the following proposition.

Theorem of Grobman-Hartman. Let A: IR" —> Rn be a linear transformation

without eigenvalues equal to 1 in absolute value. Every local diffeomorphism
B \ (IR", O) -*■ (IR", O) with linear part A at the fixed point O is topologically
equivalent to A in a sufficiently small neighborhood of O.

In the neighborhood of O the local diffeomorphism B coincides with a

global diffeomorphism C: IR" —»■ IR" defined in the following way: Let q)
be a smooth function equal to O outside a 1-neighborhood of O and equal
to 1 in a small neighborhood of O. Then C coincides with A outside the
e-neighborhood in which q>t is different from 0. Inside this neighborhood,
we set C = A + cp£B — A); here q>fx) = (p(x/e).
Our proof of Anosov’s theorem shows that every IR” —> IR" diffeomorphism
of IR1 enclose to A is topologically equivalent to A. On the other hand, the
C1-smallness of the difference C — A can be achieved by an appropriate
choice of e > 0, because

\B - A\ sS Ce2, |(5 - A)’\ ^ Ce

in the £-neighborhood of zero. Hence C is topologically equivalent to A.

On the other hand, C, just as A, has O as its only fixed point. Consequently,
any homeomorphism converting A into C leaves O fixed. ^
 128 3. Structural Stability

§ 14. Anosov Systems

In this section, Anosov diffeomorphisms and Anosov flows are defined.

We also discuss their applications in the theory of geodesic flows on mani¬
folds of negative curvature and in other problems.

A. Definition of an Anosov Diffeomorphism

An analysis of the above diffeomorphism of the torus shows that in the

preceding arguments only the contracting and expanding foliations are
essential; therefore, it is possible to introduce a general notion of hyperbolic
diffeomorphisms without assuming that M is the torus.
Let A : M —> M be a diffeomorphism of a compact manifold. We assume
that:

(1) The tangent space of M is decomposed into the direct sum of two
subspaces at every point of M:

TXM = Xx 0 Yx.

(2) The fields of planes X = {Xx} and Y = { Yx} are continuous and
invariant with respect to A.
(3) For some Riemannian metric, A contracts the planes of the first
field and expands the planes of the second field : there exists a number
X < 1 such that for any point x of M,

IM.ill < mi vsexx,

Then we say that A is an Anosov system.

Example

Let M = T2 be the torus and

AJVl2 1
1

an automorphism of it. A is an Anosov system.

Indeed, the eigendirections of the corresponding automorphism of the

plane define invariant direction fields on the torus: a contracting and an
expanding one.

Remark 1. Instead of the above inequalities, we may require the apparently

weaker conditions
§ 14. Anosov Systems 129

II^UII < cl", n > 0; H^*|y|| cA ", n < 0.

If this condition is satisfied for one metric, then it is satisfied for any other
(possibly with a different c). This condition also implies the above inequalities
(possibly in a modified metric).

Remark 2. The definition does not require smoothness of the fields X and Y
of planes. A torus diffeomorphism close to the automorphism

2 1
l 1

is always an Anosov system, although its contracting and expanding di¬

rection fields may not be of class C2 even in the case where the diffeo¬
morphism is analytic (in the multidimensional case the fields of planes
may not be even of class C1).

Remark 3. The definition of an Anosov system was suggested by Anosov.

He called such a system a U-system. This term comes from the first letter
of the Russian word for ‘"condition". Anosov called conditions (l)-(3) U
conditions and proposed that they be called C conditions in English; he
also offered to call U-diffeomorphisms U-cascades. Smale has called them
“Anosov diffeomorphisms”.

B. Properties of Anosov Diffeomorphisms

Theorem (Anosov). Every Anosov diffeomorphism is structurally stable.

The proof can be carried out following the method of § 13 for auto¬
morphisms of the torus; the details can be found, for example, in J. Mather,
Anosov diffeomorphisms. Bull. Am. Math Soc. 73 (1967), 747-817 (ap¬
pendix).
The first proof was related to the following property of Anosov diffeo-
rriorphisms.

Theorem. The contracting and expanding plane fields of an Anosov diffeo¬

morphism are completely integrable.

In other words, there exist contracting and expanding foliations* whose

tangent planes form contractive and expanding fields of planes. We note

* A foliation on an ^-dimensional manifold is a partition into submanifolds (leaves) of the

same dimension k satisfying the following condition: every point of the manifold has a neighbor¬
hood whose partition into connected components of leaves is diffeomorphic to the partition
of an /(-dimensional cube into parallel /r-dimensional planes.
 130 3. Structural Stability

that the Frobenius theorem cannot be used, since our Fields of planes are
not smooth.
The proof is based on the observation that under the diffeomorphism
the angle between planes not too different from the planes of the expanding
Field decreases: the expanding field is an attracting fixed point in the space
of fields of planes under the action of the Anosov diffeomorphism on this
space.
In order to construct the expanding foliation, we can partition the mani¬
fold into sufFiciently small domains and take, in every domain, an arbitrary
foliation whose leaves have dimension equal to that of the planes of the
expanding Field and form a not too large an angle with these planes. We apply
the Anosov diffeomorphism and its iterates to these foliations. It turns
out that the sequence of partial foliations thus obtained converges to the
true expanding foliation.

Remark. A special case of the above construction is the construction of stable and
unstable invariant manifolds of a Fixed point of a diffeomorphism in the case where the
absolute values of the eigenvalues of the linear part of the diffeomorphism are all
different from 1. For the construction of the unstable manifold, we may apply the
iterates of the diffeomorphism to any manifold tangent to the unstable invariant
subspace of the linear part of the diffeomorphism.

The procedure described above enables us to construct contracting

and expanding foliations for not only any given Anosov diffeomorphism,
but for all diffeomorphisms close to it. Consequently, the property of being
an Anosov diffeomorphism is preserved under a small perturbation (in
the C1 sense) of the diffeomorphism. Besides, it is clear from the construc¬
tion that the contracting and expanding foliations (or more precisely, plane
fields) depend continuously on the diffeomorphism.
After the contracting and expanding foliations are constructed for the
given and perturbed diffeomorphisms, the proof of Anosov’s theorem is
simple.
Indeed, consider a phase point and the sequence of its images under the
initial diffeomorphism. We consider the system of e-neighborhoods of the
image points. Let e be small. If the distance between the perturbed diffeo¬
morphism and the unperturbed one is sufficiently small, then each of the
e-neighborhoods is foliated into connected components of the leaves of
the contracting foliation for both the initial and perturbed diffeomorphisms.
We shall call these components vertical disks. Consider the vertical disk
of the initial foliation going through the initial point and its images under
the action of the positive powers of the initial Anosov diffeomorphism.
There exists a unique vertical disk of the perturbed foliation such that
its images under the positive powers of the perturbed diffeomorphism
remain inside the above e-neighborhoods.
Indeed, the initial Anosov diffeomorphism is expanding in the horizontal
 §14. Anosov Systems 131

direction. Therefore, the perturbed diffeomorphism is also expanding in

the horizontal direction.
We denote by Un the neighborhoods described above, by Un —► Bn their
foliations into perturbed vertical disks, and by A the perturbed diffeo¬
morphism. Since A is expanding in the horizontal direction, A~l induces
contractive mappings an: Bn -*■ Bn_l. Now the desired point bQ e B0 is de¬
fined as

bo = 0 aia2 -anBn.
n~> + go

In the same way, there exists a unique horizontal perturbed disk whose
images under the negative powers of our diffeomorphism do not leave the
neighborhoods with negative indices.
The intersection of the perturbed horizontal and vertical disks thus
constructed defines the point which is assigned by the conjugating homeo-
morphism to the initial phase point.
It is not difficult to verify the fact that this construction actually defines
a homeomorphism conjugating the unperturbed Anosov diffeomorphism
with the perturbed one.
Anosov diffeomorphisms with invariant measure given by a positive
density have an everywhere dense set of periodic points (cycles). Quite
complete study of the ergodic (mixing, etc.) properties of Anosov diffeo¬
morphisms with invariant measure was carried out by Anosov and J. G.
Sinai (cf., D. V., Anosov, Geodesic flows on closed Riemannian manifolds
of negative curvature, Trudy Steklov, 90 (1967), 3-209: Proceedings of the
Steklov Institute of Mathematics, Petrovskii and Mikolskii, ed., American
Mathematical Society, 1969, pp. 1-235.

C. Anosov Flows

In passing to one-parameter groups of diffeomorphisms, the definition of

hyperbolicity has to be altered, since there are no contractions or expansions
along phase curves.
Consider the integral curves in the case of the saddle point x = — x,
y — y (Fig. 85). The f-axis is the intersection of two planes consisting of

Figure 85.
 132 3. Structural Stability

integral curves approaching it as t -> + x [the (x, t) plane] and as t -»■ — x

[the (v, /)-plane]; the remaining integral curves move away both for t —>
4- x and t —» — x.
A one-parameter group of diffeomorphisms is called an Anosov jlow
if the phase curves near a given phase curve behave like the integral curves
in the above example. A formal definition follows:

Definition. Let M be a compact smooth manifold, v a vector field on M

without singular points, and (g'} the corresponding phase flow. Assume
that:

(1) At every point of M, the tangent space of M can be represented as

the direct sum of three subspaces:

TXM = Xx © Yx © Zx.

(2) The fields X, Y, and Z of planes are continuous and invariant with
respect to the phase flow.
(3) The field Z is generated by the field of phase velocity.
(4) For some positive constants c, A, and for some Riemannian metric on
M we have

110*1*11 ce x' for t > 0, Hull'll < ceM for 1 < °-

Then the phase flow is called an Anosov jlow and the equation x = v(x)
an Anosov system.

Example

Consider the three-dimensional manifold M obtained from the direct

product of the torus with the interval [0, 1] by gluing the boundary tori by
an Anosov automorphism:* (x, 1) is glued with (Ax, 0), where x e T2 and

Consider a vector field directed along the factor [0, 1] in the direct
product T2 x [0,1]. Upon gluing boundaries in the direct product, this
field turns into a smooth (why?) field v on M.
The field v thus obtained defines an Anosov flow on M.

Theorem. Every Anosov jlow is structurally stable.

This can be proved by the same method as for Anosov diffeomorphisms

(cf., the references cited above). ►

This manifold appears in the “Analysis situs” of Poincare.

§ 14. Anosov Systems 133

Some Anosov flows have infinite sets of closed phase curves. Conse¬
quently, even confined to structurally stable vector fields, in the multi¬
dimensional case we cannot expect to obtain as simple a picture with a
finite number of equilibrium positions and cycles as in the case of systems
on the two-dimensional sphere.
In 1961, Smale constructed the first examples of structurally stable systems
with an infinite number of cycles. In these examples, an exponential diver¬
gence takes place not on the entire phase space, but on a closed subset.
Such sets are now called hyperbolic. The general theory of hyperbolic sets
was created later, under the influence of the theory of Anosov systems.
The appearance of similar examples led to a sharp change in the inter¬
pretation of the behavior of phase curves of multidimensional systems.
Some specialists hastened to announce these results as not having any real
meaning, since such systems, however structurally stable they are, “cannot
describe any real physical processes” in view of the instability of the individ¬
ual trajectories.
Nevertheless, there are very important real cases where systems with
exponential divergence of trajectories apparently describe reality best. We
speak of the mathematical description of phenomena of the type of tur¬
bulence and of the motion of colliding particles (say, in models of a gas
consisting of rigid spheres). Simpler, but quite real, is the problem of motion
along geodesics of manifolds of negative curvature. We are now going to
analyze the simplest version of this problem, the problem of geodesics on
surfaces of constant negative curvature. To do this, we need some informa¬
tion about Lobachevsky geometry.

D. The Lobachevsky Plane

The Lobachevsky plane is the upper half-plane Imz > 0 with the metric*

2 dx2 + dy2
ds = --2->
y
where z = x -\- iy. The straight line y — 0 is called the absolute. We note
that angles in this metric coincide with Euclidean angles, and the distance
from the absolute is infinite.

Theorem. The geodesics of the Lobachevsky plane are all circles and straight
lines orthogonal to the absolute {Fig. 86).

The metric is invariant under (1) translations in the direction of the

absolute; (2) expansions from the origin of the coordinate system; (3)

As well as any Riemannian manifold isometric to it.

 134 3. Structural Stability

symmetries z i—> — z (this is obvious). It is easy to verify that (4) the metric
is also invariant under the inversion z —> 1/z.
It follows from (l)-(4) that the metric is invariant under all fractional
linear transformations of the upper half-plane into itself. Besides, it follows
from (3) that the y-axis is a geodesic. On the other hand, the 7-axis can be
converted into any circle or straight line orthogonal to the absolute line by
a real fractional linear transformation. Consequently, they all are geodesics.
Conversely, a circle or a straight line orthogonal to the absolute passes
through every point in every direction. Consequently, there are no other
geodesics. ^

Remark. At the same time, we have proved that the motions (preserving
the metric and orientation) of the Lobachevsky plane are the fractional
linear transformations of the upper half-plane into itself.

Theorem. The circles of the Lobachevsky plane are all Euclidean circles not
intersecting the absolute.

M Consider the unit disk. The upper half-plane can be transformed into the
unit disk by a fractional linear transformation (cf., Chap. 1, § 5E). Therefore,
the interior of the unit disk can be regarded as a model of the Lobachevsky
plane (Fig. 34).
Then a fractional linear transformation preserving the upper half-plane
turns into a fractional linear transformation leaving the unit disk fixed.
Therefore, the metric of the Lobachevsky plane in the model on the disk is
invariant with respect to all fractional linear transformations of the disk
onto itself.
On the other hand, among these transformations are the rotations around
the center. Consequently, all points of a Euclidean circle with the same center
as the unit disk are at a constant distance from the center in the sense of the
Lobachevsky metric. Hence, a Euclidean circle is a Lobachevsky circle
provided that its center is at the center of the disk.
On the other hand, any Euclidean circle not intersecting the absolute can
be converted into a Euclidean circle with center at the origin by a motion
of the Lobachevsky plane. Consequently, every Euclidean circle not inter¬
secting the absolute is a circle in the sense of the Lobachevsky metric (in
§ 14. Anosov Systems 135

Figure 87.

both the model on the disk and the model in the half-plane). From this, it
follows that, conversely, every Lobachevsky circle is a Euclidean circle.

Definition. The limit of a sequence of circles tangent to each other at a given

point and of increasing radius in the Lobachevsky plane is called a horocycle.

Theorem. The horocycles of the Lobachevsky plane are exactly the Euclidean
circles and straight lines tangent to the absolute.

^ Consider a half-geodesic issued from a point of the Lobachevsky plane

(Fig. 87). On this half-geodesic, we choose the point at a distance t from
the initial point. Then the circle of radius t with center at this point goes
through the initial point perpendicularly to the geodesic. Now let t approach
infinity. Then, in the Euclidean sense, the circle thus constructed converges
to the circle perpendicular to the geodesic being considered and passing
through its point on the absolute. This Euclidean circle is tangent to the
absolute. ►

Remark 1. By the same passage to the limit t —* oo, we can construct horo¬
cycles on surfaces of negative curvature and horospheres on manifolds of
negative curvature.

Remark 2. There are two horocycles with common tangent passing through
every point of the Lobachevsky plane; they are obtained from the above
construction as t —*■ +oo and as t -* — oo.

E. Geodesic Flows on Surfaces of Negative Curvature

Let M be a Riemannian manifold. We shall assume that M is complete as

a metric space. For example, any compact manifold is complete; the
Lobachevsky plane is complete, since the distance from the absolute is
infinite.
We consider the set of vectors tangent to M and of length 1. This set is
a manifold of dimension 2n — 1 if M is of dimension n. It is denoted by
Tl M.
 136 3. Structural Stability

Definition. The geodesic flow on M is the one-parameter group of diffeo-

morphisms of the manifold of unit tangent vectors defined in the following
way: in time t, every vector moves forward along the geodesic tangent to it,
remaining tangent to the geodesic at distance t.

Theorem. The geodesic flow on the Lobachevsky plane satisfies conditions

of the definition of an Anosov flow.

1. We construct the contracting and expanding foliations. To do this, for

every vector we construct a horocycle orthogonal to it which is the limit of
circles whose centers are located forward of the base point of the vector. At
every point we equip the horocycle with a normal unit vector so that we obtain
a continuous field of normal vectors (Fig. 88).
We note that if we had started with any of these vectors, we would have
obtained the same horocycle with the same field. This horocycle with the
field may be considered as a curve in the three-dimensional space 7"i M of
unit tangent vectors of the Lobachevsky plane. Consequently, we have con¬
structed a one-dimensional foliation in Ty M, a decomposition of the space
of unit tangent vectors into curves. This decomposition is the contracting
foliation.
The expanding foliation can be constructed in the same way, beginning
with circles whose centers are located behind the origin of the vector.

2. Conditions (2) and (3) express the invariance of geodesics and horo-
cycles with respect to the geodesic flow and can be verified directly. Indeed,
the family of geodesics perpendicular to a given horocycle intersects the
absolute at the point of tangency of the absolute with the horocycle, and
every horocycle tangent to the absolute at this point is orthogonal to all
geodesics of the family (Fig. 89).
Therefore, the geodesic flow converts every horocycle (equipped with the
field of normal vectors) into the horocycle tangent to the absolute at the
same point (and also equipped with the field of normal vectors).

3. Condition (1) means that the tangent vectors of a geodesic equipped

with the tangent field and of both horocycles equipped with normal fields
are linearly independent. This can be verified easily: the only important
thing is that the tangency of both horocycles is of the first and not higher
order.
§ 14. Anosov Systems 137

Figure 90.

4. We prove that segments of the contracting horocycle contract exponent¬

ially under the action of the phase flow. We assume that the initial horocycle
is the straight line y = 1 in the upper half-plane. The geodesics are the lines
x = const and the geodesic flow converts the line y = 1 into the line y = e'
over time t (the distance of the point 1 from the point y on the 7-axis is equal
to In 7). Consequently, every segment of a horocycle turns into a segment
whose length is e' times smaller. This implies that the phase flow contracts
the leaves of the contracting foliation (in the sense of the natural metric on
TXM).
Condition (4) of the definition of an Anosov system is verified analogously
for expanding horocycles. ►

Corollary. The geodesic flow on a compact surface of constant negative

curvature is an Anosov flow.

^ A change in the time reduces everything to the case of curvature — 1.

For a surface of constant negative curvature — 1, the Lobachevsky plane is
a universal covering; the surface can be obtained from the Lobachevsky
plane by indentifying points mapped onto each other by some discrete
group of motions of the Lobachevsky plane (Fig. 90).
Under this identification, the geodesics, circles, and horocycles of the
Lobachevsky plane are projected onto geodesics, circles, and horocycles
of the surface; the geodesic flow on the Lobachevsky plane and its con¬
tracting and expanding foliations are projected onto similar foliations of
the surface. ►
In particular, this implies that the geodesic flow on q compact surface of
constant negative curvature is structurally stable and has an everywhere dense
set of closed geodesics.

Remark. For a multidimensional manifold of negative (not necessarily

constant) curvature, the geodesic flow is also an Anosov flow. The proof is
similar to the one above given for the simplest case: only the proof of the
existence of horocycles (horospheres) is somewhat more complicated (cf.,
the work of Anosov cited earlier).
 138 3. Structural Stability

F. Billiard Systems

We consider the geodesic flow on the surface of an ellipsoid. We assume that

the small axis of the ellipsoid decreases to zero, so that the ellipsoid flattens
out and turns into an ellipse. The geodesic flow then turns into the so-called
billiard system in a domain bounded by an ellipse: the point moves along a
straight line inside the domain and it is reflected from the boundary according
to the law that the “angle of incidence is equal to angle of reflection” (Fig. 91).
The billiard trajectory inside the ellipse is never everywhere dense. Never¬
theless, for domains bounded by other curves (for example, by nonsmooth
curves concave inside), the billiard motion has almost the same properties
of exponential instability of trajectories and mixing as Anosov systems.
In particular, we consider the billiard system on the torus with a hole.
This system can be considered as a limit of geodesic flows on a pretzel (the
pretzel degenerates to the two-sided torus with a hole just as the ellipsoid
degenerates to the two-sided ellipse). Moreover, a two-sided torus with a
hole and with planar metric can be considered a limiting case of a pretzel of
negative curvature (upon degeneration the entire curvature is concentrated
on the rim of the hole). Therefore, it is not surprising that this billiard system
has the properties of Anosov flows.
There is hope that arguments close to the hyperbolic theory would enable
one to prove the ergodicity of a system of rigid balls in a box, which has been
postulated in statistical mechanics since the time of Boltzmann. (Ergodicity
means that every invariant subset of the phase space has measure zero or
full measure; it implies the almost everywhere coincidence of time and space
averages. In our case, by phase space we mean a level set of energy.) In the
planar case, the proof has been published by Sinai (Ja. G. Sinai, Dynamical
systems with elastic rejlection. Ergodic properties of diffracting billiards,
UMN 25, 2 (1970), 141-192). Concerning billiard systems, cf., also L. A.
Bunimovic, On billiards close to dispersing ones, Matem. Sbornik 94, 1 (1974),
49-73. On the ergodic properties of nowhere dispersing billiards, Commun.
Math. Phys. 65 (1979), 295-312. Sinai and Chernov, UMN 42, 3 (1987).

G. Anosov Systems and Double Sweeping

The hyperbolic situation arises in problems of numerical mathematics

solved by the method of sweeping. As an example, let us try to solve a
§ 14. Anosov Systems 139

boundary-value problem for the second-order equation x = x (i.e., for the

system x = p, p = x, on the interval [0, T\ Assume that the following
nonhomogeneous boundary conditions are given: the initial point <p(0)
with coordinates (x(0), p(0)) lies on a given straight line /0 of the phase
plane (x, p) and the endpoint q>(T) lies on another given line lT.
If the initial point <p(0) were known, then in our attempt to solve the
Cauchy problem with initial condition <p(0), we would encounter a loss of
accuracy increasing exponentially with the length T of the interval of inte¬
gration. Indeed, the solutions with initial conditions proportional to the
expanding vector (1,1) increase exponentially. Consequently, in the passage
from the plane t = 0 to the plane t = T there arises an expansion in the
direction of the vector (1, 1) (in what follows, this direction is called hori¬
zontal) and contraction in the direction of the vector (1, — 1) (called vertical,
cf., Fig. 92).
• Now consider the image of the line /0 under our transformation. Although
the image of each point of the line is determined with an exponentially large
loss of accuracy, the image of the line itself is determined quite accurately in
general.
Indeed, the direction of this image is, in general, close to the horizontal
direction.
Therefore, the error in the computation of a point on this almost hori¬
zontal line only slightly affects the position of the line: only the horizontal
component of the error can be large; the vertical one is small.
We find the point (p(T) as the intersection of the line lT and the image of
the line /0. For the final determination of the solution, we have to solve the
Cauchy problem backwards. Then the horizontal error does not increase,
and the vertical component of cp(t) is fixed by the fact that <p(t) lies on the
line /(/) = g‘l0. Consequently, first, going from 0 to T, we determine the
lines /(/), and then, going backwards from T to 0, we choose a point on
each of them. All this is accomplished without an exponential loss of
accuracy.
 140 3. Structural Stability

H. On Applications of Anosov Systems

Presently, Anosov systems and related objects are in the same situation
as limit cycles were in the time of Poincare. The whole mathematical ap¬
paratus for the study of limit cycles had been created, but serious application
of limit cycles in engineering began only several decades later, when the
progress of radio technology turned the theory of nonlinear oscillations
into a field of applied mathematics.
Since the beginning of the 1960’s, it has been conjectured that a natural
area of application of Anosov flows is in the theory of turbulent motions
of a fluid. Let us imagine a closed vessel filled with an incompressible viscous
fluid brought into motion by some exterior force (stirring). Stirring is
necessary; otherwise viscosity would damp motion over time.
The Navier-Stokes equations of hydrodynamics define a dynamical
system* in a function space (the points of this infinite-dimensional phase
space are divergence free vector fields, the fields of the velocities of the
fluid).
The equilibrium positions of this dynamical system are stationary fields
of velocities, i.e., those motions of the fluid for which the velocity does not
change over time at each point of the space. To the cycles of the system
there correspond periodic motions of the fluid, in which the velocity changes
periodically at every point of the space. Such a motion may be observed
by turning on a water faucet.
The conjecture concerning the mathematical description of turbulence
is based on the fact that the phenomenon essentially reduces to a finite¬
dimensional dynamical system, since viscosity extinguishes high harmonics
rapidly. In other words, it is assumed that in the infinite-dimensional
phase space, a finite-dimensional manifold or set exists to which all phase
curves are attracted; on this very set, the phase flow is an Anosov system
or has the similar properties of exponential instability of trajectories and
mixing.
In this case, the observable properties of the motion of the fluid have to
be as follows: under any initial condition, the motion rapidly assumes a
limiting behavior; however, this behavior is neither stationary nor periodic;
although the limiting motion is in fact determined by a finite number of
parameters (“phase” of the limiting behavior), the parameters themselves
are highly unstable (limiting flows with close initial phases diverge ex¬
ponentially) ; actually, the statistical characteristics of the flow do not depend
on these unstable phases.
The following results have so far been obtained in this direction. If the
viscosity is large enough, then the Navier-Stokes system has a unique

* Actually, the theory of partial differential equations has not been able to solve the problem
of existence and uniqueness of solutions of the three-dimensional Navier-Stokes equations.
However, we will ignore this circumstance for now.
§ 15. Structurally Stable Systems Are Not Everywhere Dense 141

fixed point which attracts all phase curves. This is the so-called laminar
motion. Every other flow tends to turn into a laminar flow under the effect
of viscosity. With the decrease of viscosity, the laminar flow may loose
stability. Then a stable limit cycle appears (cf., chap. 6). With further
decrease of viscosity, the cycle may lose its stability and give rise to a more
complicated aperiodic motion which attracts its neighbors. It is expected
that this motion will, in general, have the properties of exponential insta¬
bility of phase curves on the attracting set. Although much theoretical and
experimental work has been devoted to this question in the past (cf., for
example, the survey of J. B. McLaughlin, P. C. Martin, Transition to tur¬
bulence of a statically stressedfluid system, Phys. Rev. A 12 (1975), 186—203),
the above conjecture is far from being a theorem.
It should be noted, however, that the appearance of the attracting set
with exponentially unstable trajectories is not necessarily connected with
the loss of stability of the laminar flow; this set may occur far from the
equilibrium position and even for the values of viscosity for which the
laminar flow is still stable.

§ 15. Structurally Stable Systems Are Not Everywhere Dense

In this section, a domain in the function space of smooth dynamical systems

of class C1 is constructed, which is free from structurally stable systems.

A. Smale’s Example

In 1965, Smale constructed a diffeomorphism of the three-dimensional

torus in the neighborhood of which there is no structurally stable diffeo¬
morphism.
Consequently, on some four-dimensional manifold, a vector field exists
which cannot be made structurally stable by a small perturbation.
Later, fields with the same property were constructed on three-dimen¬
sional manifolds, as well (cf., S. Newhouse, Nondensity of Axiom A (a). Global
Analysis, Proc. Simp. Pure Math. AMS, 14 (1971), 191-203).
In this section, we discuss Smale’s construction.

B. Description of the Example

On T3 we introduce the coordinates (x, y, zmod 2n). We define a diffeo¬

morphism A: T2, —> T3 in the neighborhoods of the torus T2 : z = 0 and of
some interval of the z-axis (the form of the diffeomorphism A is immaterial
in the remaining part of the three-dimensional torus).
In the neighborhood U of the torus T2, the mapping A is defined by
the formula
 142 3. Structural Stability

A(x,y; z) 2x + y, x + y; -

In the neighborhood of the point O with coordinates (0, 0, 7r), the mapping
A is given by the formula

A(x, y; 7i -f m) = ^ ; 7t + 2uj.

Therefore, O is a saddle point and the outgoing invariant manifold is a

curve y containing the interval (n, n — e) of the z-axis.
The curve y is invariant under A and expands under the action of A.
Consequently, iterating A, we obtain from the indicated interval one half
of the invariant manifold, which either ends at a fixed point of A or has
infinite length.
We require that the above curve enter the domain U indicated above and
have infinite length there. It is easy to see that there are diffeomorphisms
of the torus with these properties.

C. Stability Properties of the Diffeomorphisms A

1. The restriction of A to a sufficiently small neighborhood of T2 is struc¬

turally stable.
^ Indeed, this can be proved by using the same method as in the case of
the Grobman-Hartman theorem. We replace the diffeomorphism A : T3 —>
T3 by a mapping A': T2 x R —> T2 x IR defined everywhere by the same
formula which defines A in the domain U. The diffeomorphism A close to
A can be replaced by a mapping A': T2 x IR —» T2 x IR coordinated with
A in the neighborhood of the torus T2 x O in such a way that the difference
A' — A' has compact support and is C1 -small. Now we can apply Anosov’s
theorem (more precisely, its proof). We obtain the topological equivalence
of A' with A' and, consequently, that of A with A in the neighborhood of
the torus T2. ►

2. From what has already been proved, it follows that A has the invariant
manifold T2 close to T2 and on it a countable everywhere dense set of
periodic points. Through every point of the neighborhood U of the torus
T2 there passes a uniquely determined smooth leaf of the two-dimensional
contracting foliation of A, which depends continuously on the point (it
consists of the points which approach each other under the iterates of the
diffeomorphism).

3. The mapping A has a fixed point O close to the fixed point O of A.

M This follows from the implicit function theorem, since O is nondegenerate
and A is close to A.
§15. Structurally Stable Systems Are Not Everywhere Dense 143

The eigenvalues of the linearization of A at O are close to those of A at O.

By the Grobman-Harman theorem, the point O, just like O, is a saddle
point and has a one-dimensional unstable invariant manifold y close to y, as
is easily seen. In particular, y enters the neighborhood U of the torus T2.

4. Far from 0, by an arbitrarily small perturbation of A, the curve y

can be changed so that it “has a nose”: locally it lies on one side of one of
the leaves of the contractive foliation of A containing a point of y, and the
tangency of y with this leaf is of the first order. We denote the mapping
thus obtained by A1.

D. Structural Instability

We prove that the diffeomorphism A1, together with all diffeomorphisms

close to it is structurally unstable.
^ We imbed the mapping A1 in a one-parameter family of diffeomorphisms
As differing only slightly from each other in the neighborhood of the inverse
image of the nose under A1. Each of the mappings As sufficiently close to
Ax has the above properties of Al: an invariant torus, two-dimensional
contractive leaves, a saddle point with outgoing invariant manifold, and a
nose on it. We assume that as s changes, the nose moves across the leaves
of the contractive foliation.
Now we consider the contractive leaf containing the nose. This leaf may
or may not contain a periodic point on the torus. Since periodic points
are everywhere dense on the torus, by an arbitrarily small perturbation
of Ax, in our family we can place a nose either on a leaf containing a periodic
point or on a leaf not containing a periodic point.
On the other hand, the property that this leaf contains a periodic point
is topologically invariant. Therefore, the topological type of Ax changes
under an arbitrarily small perturbation of Ax. Consequently, At is struc¬
turally unstable.
Now let Ax be any diffeomorphism sufficiently close to Ax. According
to § 15C, the above construction for Ax may be repeated for Ax. Conse¬
quently, Ax is a structurally unstable diffeomorphism. ►
Chapter 4

Perturbation Theory

Most differential equations admit neither an exact analytic solution nor a

complete qualitative description. Perturbation theory provides a most useful
collection of methods for the study of equations close to equations of a
specific form. These equations are called unperturbed, and their solutions are
assumed to be known. Perturbation theory studies the effect of small changes
in the differential equations on the behavior of solutions.
If the size of the perturbation is characterized by a small parameter e, then
the effect of perturbations over time of order 1 leads to a change of order e of
the solution. This change can be calculated approximately by solving a varia¬
tional equation along the unperturbed solution. However, if we are interested
in the behavior of a solution over a large time interval, say, of order 1/e, a
much more complicated problem arises. This is the subject of the so-called
asymptotic methods of perturbation theory. The most important of these
methods is the averaging method, which is discussed in this chapter.
The averaging method has been used to determine the evolution of
planetary orbits under the influence of the mutual perturbation of planets
since the time of Lagrange and Laplace. Gauss formulated it in the following
way: to determine evolution, one has to smear the mass of each planet over
the orbit in proportion to the time spent in every part of the orbit and replace
the attraction of planets by the attraction of the rings thus obtained.
Nevertheless, the problem of strict justification of the averaging method
is still far from being solved.

§16. The Averaging Method

In this section, we describe the recipe of the averaging method in its simplest
variant. The problems of the justification of this method are discussed in the
following subsections.

A. Unperturbed and Perturbed Systems

We consider a smooth fiber bundle n: M —> B. A vector field v on the mani¬

fold M is said to be vertical if it is tangent to every fiber (Fig. 93). In
applications, the fibers are usually tori.
§ 16. The Averaging Method 145

f ir+e u.

TL
B

Figure 93.

The functions on the base B of the fibering n determine first integrals of the
equation x = v(x) on M. The vertical vector field v is said to be unperturbed.
A perturbed field is, by definition, a field v 4- £t>, close to v. Consider the
following perturbed differential equation:

JC = v(x) +

Every phase curve of the unperturbed equation is projected by n onto a

point of the base. The motion on a phase curve of the unperturbed equation is
projected on the base in the form of a slow motion whose velocity is of order
6. Noticeable displacement of the projection on the base takes place over time
of order 1/e. The averaging method is intended to describe this slow motion
on the base by means of a vector field on the base. In the averaging method,
this slow motion is described as a combination of small oscillations and
systematic evolution or drift (Fig. 94).

Example

Consider the planetary system. The unperturbed equations only take into
account the interaction of the Sun and the planets. In the unperturbed
motion, the planets move along Keplerian orbits. The role of perturbation is
played by the mutual attraction of planets. The role of e is played by the ratio
of the mass of the planets to that of the Sun; this is a quantity of the order
1/1000. The characteristic unit of time is the period of revolution around the
Sun, i.e., a quantity of the order of a year or decade, and the characteristic
unit of length is the radius of a planetary orbit.
In this example, M is the phase space, the base B is the space of collections
of Keplerian ellipses, and the fibers are tori of dimension equal to the number
of planets (every collection of Keplerian ellipses determines a torus whose
point is given by indicating the positions of the planets on the ellipses). Then
a displacement on the base by a quantity of order 1 corresponds to a change
in the orbit, say, a doubling of the radius. Time on the order of 1 /e is time on
the order of thousands or tens of thousands of years.
Consequently, in this example, a systematic slow motion (drift) on the base
at velocity e could double the radius of the orbit of the Earth over a time
period on the order of thousands of years. This would be fatal to our civiliza¬
tion, which owes its existence to the fact that this drift does not occur (at least
146 4. Perturbation Theory

not in the direction of the change of radii of orbits, a change in the eccen¬
tricities takes place and apparently has effects on ice ages).

B. The Procedure of Averaging

To describe the averaging method, we introduce some notation. We shall

assume that the fibers of our bundle are tt-dimensional tori. In the neighbor¬
hood of every point of the base, the fibering is assumed to be a direct product.
We restrict ourselves to such a neighborhood and shall describe a point of
the fiber space M by a pair (tp, /), where / is a point of the base and tp is a
point of an n-dimensional torus F.
The notation /is chosen because the coordinates (Iy, . . . , Ik) of/ determine
first integrals of the unperturbed system on M. A point tp of the torus F is
given by a collection of n angular coordinates (tpx, . . . , </>„) mod 2n.
In applications, by the nature of the problem, the coordinates tpk are
usually determined uniquely up to the choice of an origin on every torus and
up to integer-valued unimodular linear transformations. We fix a coordinate
system (<p, I).

Definition. The unperturbed equation of the averaging method is the equation

f <p = "CO,
l / = o,
where to is a vertical vector field given by a frequency vector (tol(I), . . . ,
toff)) depending on the point I of the base.

Definition. The perturbed equation of the averaging method is the system

( tp = co(l) + £/(/, <Pj£),

\/= £0(7, (Pjfi),

where f and g are 27i-periodic in <p and £ <^ 1 is a small parameter. The
angular coordinates tpi are called fast variables and the coordinates Ij on the
base are called slow variables.

Definition. The averaged equation is the equation

J = eG(J),

where G(J) = §g(J, (p, 0)d(pj§dtp is the mean value of the function g on a
fiber.
The solutions of the averaged equation are called averaged motions.
§ 16. The Averaging Method 147

Example

Consider the perturbed equation

cp — co, i = e(a + bcoscp).

The averaged equation has the form

j = ea.

This means that, in passing to the averaged equation, we omit quantities of

the same order as the remaining quantities on the right-hand side of the
equation for /. Over times of order 1, both omitted and remaining quantities
have the same effect (of order e). However, their effects over times of order
1/e are entirely different: the remaining terms lead to a systematic drift, and
the omitted ones lead only to a small tremor.
■4 The solution of the perturbed equation yields (say, for cp0 = 0)

F/ . r eb sin cot
I(t) = I0 + eat + -
co

which differs from the solution of the averaged equation J{t) = I0 + eat by
an oscillating small term only. ^

h
Figure 95.

C. Space and Time Averages

We consider a time interval T large compared to 1 but small compared to

1/e. Over the time T, the trajectory of the perturbed motion does not notice¬
ably deviate from the initial fiber.
We calculate the displacement of the projection of the perturbed trajectory
on the base over time T. This displacement is on the order of eT 1. The
velocity of the displacement is equal to eg(I, cp, e). In the first approximation,
/ can be assumed constant, e equal to zero, and cp changing according to
the unperturbed equation. Then for the displacement over time T, we
obtain the approximate expression

A/ = eT ^ f Tg(I, cp(t), 0)dt + o(eT).

148 4. Perturbation Theory

Time T > 1 is large; therefore, the expression within the square brackets
is close to the time average of g.
We introduce the slow time x — et. The variation of x from 0 to 1 corre¬
sponds to the variation of t from 0 to 1 /e. We will denote by a prime the
velocity of motion with respect to the slow time. Then the preceding equation
takes the form

^ time average of g, I' = time average of g.

We replace the time average by the space average and obtain the averaged
equation

J' = G{J), G = space average of g.

Consequently, passage to the averaged equation corresponds to the

replacement of time averages by space averages along the unperturbed
motion.

D. Discussion

The use of the averaging method consists of replacing the perturbed equation
by the much simpler averaged equation. The solutions of the averaged
equation are studied on time intervals on the order of 1/e (i.e., on intervals
of the order of 1 of the slow time). Then conclusions are drawn on the
behavior of the perturbed motion over time on the order of 1/e. (The con¬
clusion is usually that the / component of the solution of the perturbed
equation is close to the solution of the averaged equation over time 1/e.)
This conclusion does not follow from the preceding reasoning and
requires a proof. Indeed, in deducing the averaged equation, we replaced
time averages by space averages. The replacement is reasonable if the
trajectory of the unperturbed motion is uniformly distributed over the
^-dimensional torus, i.e., when the frequencies are incommensurable. In
cases of resonance, the trajectory of the unperturbed motion is everywhere
dense on a torus of dimension smaller than n. Therefore, the replacement of
the time average by space average on the ^-dimensional torus is not legitimate
near resonances.
Indeed, there are examples which show that the difference between the
projection of the perturbed trajectory on the base and the solution of the
averaged equation may be on the order of 1 over time 1/e: the averaged
drift and the projection of the true motion point in different directions.
Practically, the only case studied completely is that of single-frequency
systems where the fibers are one-dimensional tori, i.e., circles.
§ 17. Averaging in Single-Frequency Systems 149

§ 17. Averaging in Single-Frequency Systems

Here we formulate and prove a theorem which justifies the averaging method
for single-frequency systems.

A. Formulation of the Theorem

We consider a phase space M which is the direct product of a domain B

in the Euclidean space IR* and the circle Sl. The angular coordinate on the
circle is denoted by q> mod 2n and points of B are denoted by 7.
The perturbed equation

<p = co(7) + £/(/, tp, e),

/ = eg(I, (p, e)

with functions /and g 27i-periodic in (p yields the averaged equation

J = e<7(7), <7(7) = (*2n g(J, <p, 0)dq>.

Jo

We consider an initial point 70 in B and assume that the solution 7(0

of the averaged equation with initial condition 7(0) = 70 remains in B
over time t = Tje (i.e., over slow time x = T the solution of the equation
dJjdx = <7(7) with initial condition 70 does not leave E).

Theorem. Assume that the frequency co does not vanish in the domain B. Then
the distance between the value of the solution J(t) of the averaged equation
and the I component I(t) of the solution of the perturbed equation with 7(0) =
7(0) remains small for t e [0, T/e] if e is sufficiently small:

17(0 - 7(0| ^ Ce,

where the constant C is independent of e.

B. The Main Construction

The basic idea of the proof of the theorem consists of trying to annihilate
the perturbation by means of an appropriate change of variables. This
idea has many applications (cf., for example; the preceding and following
chapters) and is the basis of the whole formal apparatus of perturbation
theory.
In place of 7 we choose a new coordinate P = I + eh(I, cp) such that
the P component of the solution cease to oscillate. For this we want to
150 4. Perturbation Theory

annihilate the terms of order e depending on cp on the right-hand side of

the equation for P.
In other words, we try to construct a diffeomorphism (7, cp) >—► (P, cp)
of the manifold M so that the perturbed field turns into a field having
almost constant projection on the base on every fiber (up to an error of
order e2).
Differentiating P = I + eh(I, (p) with respect to time and collecting the
terms of first order in e, we obtain

ch
P = £ g + co —
C(p
+ r.
where the argument e of the function g is replaced by zero; the remainder r
(as we shall verify below) is of second order in e.
We try to choose h so that the terms of first order in s are annihilated,
i.e., the square brackets vanish. Formally, we obtain
<p
1
h(I, <p) = g(i, <A, 0) dip.
co(7)
<p 0

(Here the condition co # 0 of the theorem has been used.) Actually, such a
method of solving the equation g + codh/cq) = 0 is not legitimate, since the
function h has to be 27r-periodic in q> for the mapping (/, cp) i—> {P, cp) to be
defined on M.
The preceding formula defines the function h on the circle (and not on a
covering line of it) only if the average value of g on the circle is equal to zero.
Consequently, the choice of h does not allow us to annihilate the whole
perturbation g, but only its oscillating part

g(I, cp, 0) = g(I, cp, 0) - (?(/).

The average of g over the period is equal to zero, and we can define a periodic
function h by the formula

1
h(I, cp) = g(7, if/, 0)dif/. (1)
co(7)
o

Now for P, we obtain the equation

P = eG(P) + eR.

This equation differs from the averaged equation

j = eG(J)

by the small quantity eR of order e2. Therefore, the solutions diverge with
§ 17. Averaging in Single-Frequency Systems 151

velocity of order e2. Consequently, over time 1/e, they diverge to a distance
of order e. The difference between P and / is also of order e. Therefore, the
distance between I(t) and J(t) remains of order e over a time period of order
l/e.
To prove this assertion, one needs (simple) estimates of the terms that
were omitted above.

C. Estimates

1. Notation. Let K c B be a convex compact domain containing the point /0.

We assume that J(t) does not go out to the boundary of K over time Tfe. We shall
denote the norms in the spaces C° and C1 by | • |0 and | • |, (the maximum of the modulus
of the function and the maximum of the moduli of the function and its first derivative).
Let r, be a constant with

| / 11 ^ ct, \g\y ^ c,, !tv-1|i ^ t’i for /in K.

2. We prove that the mapping A: (/, ip) i—► (P, ip) is a diffeomorphism of K x S1
for suff iciently small e.
It follows from the definition of h (Eq. 1) that he C]. Consequently, |e/r[, < 1
for sufficiently small e. If two points were mapped onto one by A, then the difference
of the values of eh at these points would be equal to the difference of the values of /;
this contradicts the inequality \eh\, < 1, since K is convex. It also follows from |e/t |, < 1
that A is a local diffeomorphism. Hence A is a diffeomorphism. $>■

3. Estimation of R. We have

R(P(i, cp, c), (p, e) = JRj + r2 + r3 + y?4 + R$,

/?, = g(I, tp, 0) - g(P{l, ip, e), cp, 0), R2 = g(l, (p, e) — g(J, <p, 0),

R3 = h(l, cp) — h(P(I, <p, e), <p), R4 = eg(I, <p, e)dh/dl,

R5 = ef\I, <p, e)dh/d(p.

We assume that / and P{I, tp, e) belong to K. Since

P = I + eh(I, ip),

we obtain

|*i| < s\g\i Ho* |rt2| < l^al #li |A|o,

|/C| ^ EI/7I. [<71o^ |*s| #li I./ Io■

The norms of f g, and h appearing here can be estimated by r,. Finally, if / and
P(I, cp, e) belong to K, then

!/?(/>(/, tp, e), tp, e)| sj c2e,

where c2(c,) > 0 is a constant independent of /, ip, and e.

152 4. Perturbation Theory

4. Estimation of Pit) — Jit). Denoting by prime the derivative with respect to

the slow time x = et, we see that P and J satisfy the relations

P' = G{P) + eR(P, <p(t), e),

r = GiJ).

Consequently, P — J = Z satisfies the inequality

\Z \ ^ a\Z\ + b,

where a = |C? |x and b = c2£ as long as P, I, and J remain in K.

We write |Z(0)| = c. Solving the equation z' = az + b with initial condition c, we
obtain the estimate

|Z(t)| < (c + bx)ear

as long as P, J, and J remain in K.

5. Completion of the Proof of the Theorem of § 17A.

Denote by c3 the quantity |/i|0. Then we have

\P(I, <p, e) - /| «£ c3e.

At the same time, the estimate proved above yields

|P(t) - At)| ^ c4e, c4 = (c3 + c2T)eaT

for et ^ T as long as lit). Pit) = Pfit), (pit), £), and ./(/) remain in K.
We denote by p the distance from the trajectory of the averaged motion {-/(/),
et ^ T} to the boundary of K. If (c3 + c4)e < p, then, according to the preceding
estimates, lit). Pit), and Jit) cannot go out to the boundary of K for Et T. Over
all this time interval we obtain

|/(0 - y(0| < |/(0 - /*(0| + ^(O - 7(01 < + c4£. ►

D. Example

The van der Pol equation is, by definition, the equation

x = —x + e(l — x2)x.

This is the equation of a pendulum, in which a nonlinear “friction” is

included, positive for large amplitudes and negative for small ones.
The unperturbed equation jc = — x can be written in the standard form
(p = —1,7=0, where

(p = arg(x + ix), 27 = x2 + x2.

§ 18. Averaging in Systems with Several Frequencies 153

Figure 96.

The equation for / in the perturbed motion has the form

/ = e(l — x2)x2 — 2s/(l — 2/cos2 cp) sin2 cp.

The averaged equation is therefore

This equation has repelling equilibrium position 7=0 and attracting

equilibrium position 7 = 2.
The equilibria of the equation for 7 correspond to cycles of the perturbed
system. The theorem proved above enables us to assert that the variation of
/ in the perturbed system is close to the variation of 7 in the averaged system
over time of order 1/e. On the other hand, if the averaged system has a
nondegenerate (for example, stable in the first approximation) equilibrium
position, then (for sufficiently small e) the perturbed system will have a
nondegenerate (for example, stable in the first approximation) cycle; this
follows easily from the implicit function theorem.
In particular, for small e, the van der Pol equation has a stable limit cycle
close to the circle x2 + x2 = 4 (Fig. 96).

§18. Averaging in Systems with Several Frequencies

The case of several frequencies is studied much less than that of a single
frequency. In this section, we give a survey of the basic results in this area.

A. Resonance Surfaces

We consider the usual perturbed system of the averaging method:

f <p = co(I) + ef(I, cp, e), <p e T", e <1 1, co # 0,

( / = <P, £)> I e B cz [Rk.
154 4. Perturbation Theory

The frequency vector co = (col5 . . . , co„) is said to be a resonance vector if

there exists an integer-valued nonzero vector m = (ml5 . . . , mn) for which
(m, co) = 0.
The integer-valued vector m is called the resonance index.
A point I in the base B is called a resonance point if the vector co{I) is a
resonance vector. All resonance points / corresponding to a resonance with
index m form a hypersurface

Tm = co(/)) - 0}

in the base B of our fibering.

This hypersurface is called the resonance hypersurface.
In the general case, both the resonance and nonresonance points are
everywhere dense in B (if the number of frequencies n > 1).

Example

1. Consider the unperturbed system

01 = 7j , (f>2 = I2 ’ / = 0

with two frequencies. Here B is the plane with coordinates and I2

(without zero, since we assume that a> ^ 0); the resonance surfaces are
all straight lines passing through 0 with rational slope with respect to
the /j-axis.
In the general case of a system with two frequencies, just as in this example,
the resonance surfaces in general form a family of nonintersecting hyper-
surfaces (Fig. 97; “in general” = if rank (dcojdl) is maximal). In this case,
during the motion of the point 1 on the base, the point intersects the
resonance surfaces transversally, in general.

The resonance surfaces are distributed in a completely different way when

the number of frequencies is three or more.

Example

2. Consider the unperturbed system

0 i=A, <P 2 = 4. 03 = 1=0

with three frequencies. Here B is the plane with coordinates f and /2, and
the resonance surfaces are all straight lines given by rational equations.
In this case, during the motion of the point I in the plane, the point /,
even if it intersects all resonance curves transversally, will always intersect
many of them at small angles, because for any linear element there exists
a linear element of a resonance curve arbitrarily close to it (Fig. 98).
§ 18. Averaging in Systems with Several Frequencies 155

Figure 98.

Remark. What has been said above may become clearer if we consider the
following mapping of the base into the projective (n — l)-space:

B -> UP”~\ £1(1) = (co,(/):•-- : «„(/)).

The resonance surfaces are pre-images of rational hyperplanes in IR.Pn~1.

In the case of two frequencies, n is 2; rational points on the projective line
correspond to the resonances.
If the number of frequencies n exceeds 2, then the rational hyperplanes
form a connected, everywhere dense set, so that the neighborhood of any
point can be reached along resonances from the neighborhood of any other
point.
According to the above discussion, the basic effect in systems with two
frequencies is passage through resonances. In the case of a larger number of
frequencies, one also has to take into account the tangencies to resonances
as well.

B. The Effect of a Single Resonance

In order to understand the possible effect of a single resonance, we consider

some simple examples.

Example

1. Consider the perturbed system:

q>x = Ix, (f>2 = 1, Ix — £, /2 = ecos^j.

We consider the resonance col = 0. The averaged motion intersects

the resonance curve Ix = 0 with nonzero velocity. The variation of 12
in the exact solution over time from — oo to + oo is given by the Fresnel
integral

a/2 = ej cos dt = c(q>0)Ji.

as is easily seen. In the averaged system, J2 does not change over time.
156 4. Perturbation Theory

We note that the major contribution to the integral is given by the

neighborhood of the resonance of width of order yfs; the integral itself
is of order yfe and depends on the initial phase <p0.
Consequently, in this simple example, the intersection of the resonance
leads to the divergence to a distance of order ^/e, of the solutions of the
perturbed equation having a common initial value 7. This divergence takes
place in a neighborhood of width on the order of yfe of the resonance
surface.

The occurrence of quantities of order ^/e is characteristic of all problems

connected with passage through a resonance.
While in Example 1 passage through a resonance only leads to a small
scattering of the projections of trajectories of the perturbed system on the
base with respect to trajectories of the averaged system, in the following
example the perturbed and averaged motions are completely different.

Example

2. Consider the following perturbed system:

(pi = A, (f>2 = h = e, h = ecos(<Pji - (p2)•

The averaged system is

7, = e, J2 = 0.

The averaged system with the initial conditions

7,(0) = 1, 72(0) = 1,

gives

7,(0 = 2, 72(0 =1 for t = 1/e.

The perturbed motion with the initial conditions

7,(0) = 1, I2(0) = 1, <P,(0) = 0, <p2( 0) = 0

leads to 7,(0 = 2, I2(t) = 2 for t = 1/e.

Consequently, the projection of the perturbed motion on the base

moves systematically in a direction quite different from that of the
trajectory of the averaged motion. Over time t = 1/e, these two tra¬
jectories on the base diverge to a great distance (of order 1).
The reason why the averaged equation is not suitable for the descrip-
§ 18. Averaging in Systems with Several Frequencies 157

tion of the perturbed motion under consideration lies in the fact that
the perturbed trajectory remains on the resonance surface all the time,
where averaging is evidently not applicable, since the time average is
not close to the space average over the whole ^-dimensional torus.

The capture of a part of trajectories by resonances is characteristic of

systems with more than one frequency.

Example

3 (A. I. Neistadt). Consider the system*

<pr = 7, (p2 = 1, 7 = e{a + suk/Jj — /).

For the study of this system, we consider the equation (p = e{a 4- sin q> —
(p) of a pendulum with torque and friction to which it can be reduced easily.
We introduce the slow time t = yfst (t ~ 1/^/e corresponds to the interval
t ~ 1/e). Denoting by a prime the derivation with respect to slow time, we
obtain the equation

(p" = a + sirup — yferp'.

The phase portraits are illustrated in Fig. 99 for e = 0 (U is the potential

energy).
We shall assume that a > 0. Depending on the value of the torque a,
two cases are possible. If a > 1 (the external torque is great compared to
gravitational torque), then the term sin <p does not play an essential role:
I is monotone. To the passage through the resonance 7=0 there cor¬
responds a change in the direction of revolution of the pendulum.

*This system is obtained from a single-frequency system by adding the trivial equation
<p2 = 1; the resonance in the system thus obtained corresponds to the vanishing of the frequency
in the single-frequency system.
 158 4. Perturbation Theory

If a < 1, then the pendulum may oscillate (the loop inside the separatrix
in the phase picture). This oscillating behavior corresponds to trajectories
constantly remaining near resonance.
The effect of the small friction consists, in essence, of the destruction
of the loop of the separatrix. In its place, a narrow (of width on the order of
*J~e) strip appears in the plane (<p, (p') along the unbounded part of the
separatrix consisting of the phase points captured by an attracting equili¬
brium position; the entire domain inside the separatrix is also captured
(Fig. 100).
Returning to the initial system, we see that for a < 1 there is capture
into resonance. The resonance captures a small portion of all the tra¬
jectories. [The measure of the set of initial conditions (/, <p) captured over
time 1/e is of order >/e.] For these captured initial conditions, the difference
between the variation of the slow variable / and the variation of the solution
J of the averaged equation reaches order 1 over time 1/e.
For the remaining initial conditions (i.e., for all initial conditions outside
a set of measure of order ^/e), the difference between / and J remains small
over time 1/e (it is of order yfe In e, as can be calculated).
On the other hand, if a > 1, then capture into resonance does not occur
at all.

C. Passage through Resonances in the Case of Two Frequencies

We consider the following system with two frequencies cof!) and co2(/):

<Pi = oj1 + zj2, <p2 = a>2 + ef2

4 = £01, 4 = £02-

Definition. The system satisfies condition A if the rate of change of the ratio aJl/(o2
of the frequencies along the trajectories of the perturbed system is everywhere different
from zero:

rco2
co,-l-q ^ co
2 cl y ~JT 0 -
§ 18. Averaging in Systems with Several Frequencies 159

The system satisfies condition A if the rate of change of the ratio oiJa>2 of the fre¬
quencies is different from zero everywhere along trajectories of the averaged system:

rcoi coj 2
co,—^ -G.
cl cl

We will assume that all systems under consideration are analytic.

Theorem. If the system satisfies condition A then the difference between the slow motion
I(t) in the perturbed system and J(t) in the averaged one remains small over time 1 je:

|/(0 - 7(/)| < c^fs if 7(0) = 7(0), 0 < / sS

^ The proof is based on singling out a finite number of resonances with small indices
(the number of resonances is large for small £). Outside small neighborhoods of the
chosen resonance surfaces, the usual changes of variables are used (cf., § 17).
Passage through the neighborhoods of the resonances chosen leads to a divergence
of order y/e (as in the examples above).
Combining results for the divergence near the resonances chosen and the drift in
the segments between them, we obtain the estimate above. &
For details, cf., V. I. Arnold, Conditions for the applicability and estimation of the
error of the averaging method for systems which go through resonances in the process of
,
evolution, Sov. Math. Dokl. 161 1 (1965); A. I. Neistadt, On passage through resonances
,
in the problem with two frequencies, Sov. Math. Dokl. 22 2, (1975); A. I. Neistadt’s
dissertation “On some resonance problems in nonlinear systems”, Moscow University,
1975 contains a proof of the above estimate with yfe replacing the original estimate
yfe In2 s in the first reference.

Theorem (A. I. Neistadt). If the system satisfies condition A and some other condition
B (satisfied almost always), then for all initial points (70, (p0) outside a set of measure
not exceeding cI%/e, the difference between the slow motion l(t) in the perturbed system
and the motion J{t) in the averaged system remains small over time 1/e:

|/(0 - 7(01 < <Wi|ln£| if 7(0) = 7(0).

◄ The proof is based on the choice of a finite number of resonances with small indices.
Outside small neighborhoods of the resonance surfaces chosen, the usual changes of
variables are used.
In the study of the resonances chosen, one averages over circles which are trajec¬
tories of the unperturbed motion at the resonance.
To do this, we fix the index (m,, m2) of the resonance, where mx and m2 are relatively
prime, and choose new angular coordinates (y, (5) on the torus in place of the angular
coordinates (<pl, tp2), where y = ml<pl + m2q>2. The rate of change of the angular co¬
ordinate y in the unperturbed motion vanishes at resonance, since mxa>l + m2(o2 — 0.
For the base, we also introduce the special coordinate p = m1 cu1 + m2co2. Now
the equation of the resonance surface has the form p = 0, i.e., p characterizes the
deviation from resonance. A point of the resonance surface will be denoted by a. In
 160 4. Perturbation Theory

the neighborhood of this surface, a point of the base can be characterized by the distance
p from resonance and the projection a on the resonance surface.
In these coordinates, the perturbed system takes the form

i' = P + sFl, <5 = a(/) + eF2, p = eF3, a = eF4,

where the functions Fk have period 27t with respect to y and S.

Averaging with respect to trajectories of the resonance motion reduces to averaging
with respect to <5. The averaged system assumes the form

y = P + eGv, p = eG3, a = eGa.

The functions Gk have period 2n with respect to y. They also depend on p and e.
We introduce the slow time t = yfet and the normalized distance r — p/y/l from
resonance. Denoting by a prime derivatives with respect to t, we write the averaged
equation in the form

y' = r + yflGl, r' = G3, o' = JeG4.

The arguments of Gk are y, y/er, o, and e.

Substituting e = 0 in this equation, as a first approximation we obtain the equation

y' = r, r' = w(y, o), o' = 0.

This means that we obtain as a first approximation the equation of a pendulum with
torque depending on the parameter o. The Hamiltonian character of this equation is
a surprising fact, discovered through calculation and by no means obvious beforehand.
We consider the phase portrait of the equation of the first approximation in the
plane (y, r). It looks similar to the portrait in Example 3 of § 18B for a < 1 or a > 1,
depending on whether or not the function u changes sign.
It turns out that loops occur in the separatrix only for a small number of resonances
with indices which are not too large (here condition A is used). Indeed, condition A im¬
plies that the average value of the function u with respect to y is different from zero.
For resonances with large indices in the equation of the first approximation, we obtain
a function u which differs little from its average value (since in this case the average with
respect to (5 is close to the average on the torus). Therefore, it is everywhere different
from zero. This corresponds to a pendulum with external torque that is large compared
to the gravitational torque. In this case, the equation of the first approximation has
neither an equilibrium position nor a domain of oscillation.
When passing from the equation of the first approximation to the complete equa¬
tion, a loop of the separatrix changes to a zone of capture to resonance, as in Example
3 of § 18B*. The measure of the set of captured points of the phase space can be estimated
by a quantity of order yfs if all equilibrium positions of the equation of the first approx¬
imation are simple (i.e., if the zeros of u are simple: u = 0 => du/dy ^ 0). This restric¬
tion concerning simplicity is in fact condition B in Neistadt’s theorem. We note that
the condition is imposed on equations of the first approximation corresponding to a

* In contrast with Example 3 of§ 18B, in the general case, the “captured” trajectories are not
bound to remain close to resonance forever.
§ 18. Averaging in Systems with Several Frequencies 161

finite number of resonances (since under condition A the equations of the first approx¬
imation have equilibrium positions only for a finite number of resonances).
The proof of the theorem is completed by combining the estimates of the variation
of 1 in the nonresonance regions and near resonances—in the uncapturable portion
of the phase space. For details, cf., Neistadt’s dissertation cited above.

Remark. For systems with two frequencies, the case where condition A is violated has
not been studied yet. In this case the ratio of the frequencies of the fast motion does
not vary monotonically in the averaged motion. Such a behavior is not possible in the
case of a one-dimensional base: however, if the number of slow variables 1 is two or
larger, then the reversal of evolution of the ratio of the frequencies is a generic phenom¬
enon not removable by a perturbation of the system.

D. Systems with Several Frequencies

The case where the number of frequencies is larger than two has been
studied much less than the case of two frequencies. For generic systems, the
frequencies of the fast motion are incommensurable for almost all values
of the slow variables. Therefore, it is natural to expect that for the majority
of initial conditions, the averaging method describes the evolution of slow
variables on time intervals of order 1/e accurately.
The first general theorems in this direction are due to Anosov [D. V.
Anosov, Averaging in systems of ordinary differential equations with rapidly
oscillating solutions, Izv. A. N. USSR, Ser. Math. 24, 5 (1960), 721-742] and
Casuga [T. Casuga, On the adiabatic theorem for the hamiltonian system of
differential equations in the classical mechanics, I, II, III, Proc. Japan Acad.
37, 7 (1961)]. Anosov’s theorem asserts that for any positive number p, the
measure of the set of initial conditions (in a compactum in the phase space)
for which

max 17(f) — J(t) I > p with 7(0) = J{0)

0<«<l/£

converges to zero as e converges to zero. (Here, as usual, 7 is the projection

of the perturbed motion and J is the averaged motion; it is assumed that
the frequencies are independent in the sense that the rank of the derivative
dco/dl of the frequencies with respect to the slow variables is equal to the
number of fast variables.)
This theorem is in fact proved under more general assumptions: the
quasi-periodicity of fast motions is not assumed, but the ergodicity of fast
motion is assumed on almost all tori; as usual, it is supposed that the solution
J of the averaged equation is continued over time 1/s.
The set of small measure (provided £ is small), where large deviations
are possible from the averaged motion over time 1/e, corresponds to all
trajectories captured into resonance or wandering along resonance surfaces
 162 4. Perturbation Theory

passing from one to another. This is also possible if the number of frequencies
is larger than two.
It is of interest to estimate the measure of this set accurately. For example,
for systems with two frequencies Neistadt’s results (cf., § 18C) imply the
estimate |/(7) — J{t)\ ^ c2N/e|lne| outside a set of measure not greater than
clsfi (under insignificant restrictions on the system).
We assume that the frequencies are independent, i.e., the rank of doo/dl
is equal to the number of frequencies.

Theorem (A. I. Neistadt). For a system with independent frequencies outside

a set of small measure x, the error

max |7(/) — 7(f) I with 7(0) = 7(0)

0Sl<l/£

of the averaging method is estimated from above by c3-s/e/x.

An equivalent formulation: denote by E(e, p) the set of initial conditions

within a fixed compactum for which the error attains p or is larger than p
for the indicated value of e.
Then we have

mesE(e, p) ^ .
P

For the proof, cf., A. I. Neistadt, On averaging in systems with several

frequencies, II, DAN USSR 226, 6 (1976) 1295-1298. The proof uses the
following idea in Casuga’s work cited above: the change of variables in
the averaging method is modified (smoothed) in such a way that it is given
by smooth functions not only outside neighborhoods of resonances, but
everywhere.
Neistadt’s result can be interpreted as an indication of the statistical
independence of the increments of the deviation of 7 from 7 on subsequent
time intervals of length 1. Indeed, the increment of 7-7 over time T of order 1
is of order e, and the number of intervals of length T in the interval l/e is
of order 1 /e. If the increments were independent on every interval of length
T, then according to laws of probability theory, the expected value of the
increment over time l/e would turn out to be proportional to the product
of the increment over time T with the square root of the number of trials,
i.e., it would turn out to be on the order of eflje —
Neistadt’s theorem gives the same order for the increment but not for
all initial conditions: we have to exclude the set of initial conditions of
measure of order y/s on which capture to resonance and large deviations
not corresponding to a scheme with independent increments are observed.
§18. Averaging in Systems with Several Frequencies 163

The idea of the independence of the increments of the deviation of I from J can
apparently be justified much more completely when the fast motion is not quasi-
periodic but is an Anosov system. This is indicated, in particular, by the central limit
theorem for functions on the phase space [Ja. G. Sinai, The central limit theorem for
geodesic flows on manifolds of negative constant curvature, Sov. Math. Dokl. 133, 6
(1960), 1303-1306; M. E. Ratner, The centra! limit theorem for Anosov flows on three-
dimensional manifolds, Sov. Math. Dokl. 186, 3 (1969), 519-521]. This theorem jus¬
tifies the probabilistic approach when both the slow and fast motions are independent
of the slow variables:

/ = eg(tp), <p = co((p).

The probabilistic arguments become especially interesting when we study the

behavior of the system over times large compared to 1/e (say, of order 1/e^/e or 1/e2).
If over time 1/e a ^/eth fraction of all trajectories is captured to resonance, and if on
the subsequent time intervals of length 1/e all new trajectories will be captured in the
same way, then over time on the order of the majority of trajectories turns out
to be captured by resonances. After time 1/e2, only resonance motions will be observed.
However, the independence of captures on the different intervals of length 1/e is a
strong additional assumption; along with capture to resonance, a reverse process also
takes place.
The assumption in Neistadt’s theorem, independence of frequencies, essentially
restricts its area of application. The condition

rank dajjdl = number of frequencies

can be replaced by the following condition of independence of the ratios of frequencies:

rank of the mapping /1—*■ (cofl); • - • ; a>„(/)) equals n — 1.

However, in the case where the number of slow variables is small (smaller than the
number of frequencies minus one), even this condition cannot be satisfied.
An extension of Neistadt’s theorem to the case where the number of slow variables
is essentially smaller than that of frequencies requires a study of Diophantine approx¬
imations on submanifolds of Euclidean spaces.
For mappings

co : IR* -> IR", k < n

satisfying certain nondegeneracy conditions (the nonvanishing of some determinants),

we may expect the same lower estimate

|(m, oj(/))| 5= c|m|~v, m e Z"\0

for almost all / in (Rfc, which holds for almost all points of IR".
Results of this kind have been obtained for special curves (cos = Is); cf., V. G.
Sprindzuk, Mahler’s Problem in Metric Number Theory, Minsk, 1967; concerning
the general case, cf., A. S. Pjartli, Diophantine approximations on submanifolds of a
Euclidean space, Funct. Anal. Appl. 3, 4 (1969), 59-62.
 164 4. Perturbation Theory

We note that these publications do not solve either the above problem of generalizing
Neistadt’s theorem or the arithmetic problem of giving a sharp estimate for v (which,
by the way, does not have a great significance for our problem, in which the variation
of v will only change the necessary smoothness of the equations).
In generic systems with arbitrary numbers of fast and slow variables depending
on sufficiently many parameters for almost every (in the sense of Lebesgue measure)
value of the parameter one has:

(i) the measure of the set of the initial conditions, for which the deviation is greater
than p for some t in (0, 1/e), does not exceed Cy/s/p;
(ii) the integral of the deviation over the set of other initial conditions (the phase
space is supposed to be compact) does not exceed CN/e (the deviation equals
max |I(t) — /(r)| for t e [0, 1/e].)

For mappings a> outside some exceptional set of codimension N in the space of
mappings we may substitute e1/(p+1) for ^/e in the previous estimate, where

n ^ C£+p — k - N + 1

(here as above n is the number of fast variables and k is the number of slow variables).
The constant C in the estimate depends on the mapping, but this time the estimate
holds for all systems, not for almost all, and we do not need to consider parametrized
families—the result holds for individual systems.
Both theorems formulated above are proved by V. I. Bachtin, On the averaging in
systems with several frequencies, Uspekhi Math. Nauk 40, 5 (1985), 304-305, Funct.
Anal. Appl. 20, 2 (1986), 1-7; see also V. I. Arnold, V. V. Kozlov, A. I. Neistadt,
The Mathematical Aspects of the Classical and Celestial Mechanics, Itogi Nauki i
Techniki, Sovremennye Problemy Mathematiki, Fundamentalnye Napravleniia. Dy-
namicheskie Systemy, Vol. 3. pp. 3-304, see p. 181, Mosc. VINITI, 1985 (Springer
translation, 1988).
The proofs depend on the estimate

\{m,(D(I))\ + \d(m, co(I))/8I\ ^ CI\m\v, v > n + 1, Vm e Z"\{0},

holding generically for almost all values of /. This estimate implies that the deviation,
averaged over the initial conditions, does not exceed (generically) a value of order
gi/iP+D if n ^ Cp+r

Let us note that these estimates provide new information, even for those values of
the dimensions (n and k) where the Neistadt theorem is applicable, in the case where
the Jacobian vanishes (but not identically) on some surface. Indeed, to apply the
Neistadt theorem, we have to consider time intervals of lengths Cje smaller than 1 /e,
where C depends on the initial point (so as to prevent the averaged orbit from the
intersection with the surface of zero Jacobian). In the theorem of Bachtin the set swept
by the orbits intersecting the zero surface of the Jacobian, is included in the exceptional
set of small measure controlled by the estimate.

§ 19. Averaging in Hamiltonian Systems

In this section, we briefly describe the characteristic properties of averaging

in the case where both the unperturbed and perturbed systems are Hamil¬
tonian.
§ 19. Averaging in Hamiltonian Systems 165

A. Calculation of the Averaged System

We assume that in the unperturbed system, action-angle variables are intro¬

duced, i.e., canonically conjugate* variables (f, </>j, . . . , cpn mod 2n)
such that the unperturbed Hamiltonian H0 depends only on the action
variables /. Hamilton’s canonical equations take the form

cH_ cH
<p = / = —< ^
cl ’ ccp

i.e., for H = H0(I), we have

(p = oj(J), 1=0,

where the frequency vector co(I) is equal to dH0/3I.

The perturbed system is given by the Hamiltonian H = H0{I) +
eHfl, (p, e), where the function H1 has period 2n with respect to the angular
variables cp. Consequently, the equations of the perturbed motion have the
form

dHx cHx
<P = CO(7) + £ i
dl ccp

Theorem. In a Hamiltonian system with n degrees of freedom andn frequencies,

evolution of slow variables does not occur in the sense that the averaged
system has the form J = 0.

When calculating the integral of 3Hl/cq)s over the ^-dimensional torus,

we may first integrate with respect to the variable (px. This one-dimensional
integral is equal to the increment of the periodic function Hx on its period,
i.e., it is zero. ^

This simple theorem shows that in a Hamiltonian system, in general,

the evolution of slow variables differs drastically from the situation of non-
Hamiltonian systems.

B. Kolmogorov’s Theorem

We assume that the frequencies are independent in the sense that the deri¬
vative cco/cl of the frequencies with respect to the action variables is non¬
degenerate. In this case, as has been established by Kolmogorov [A. N. Kol¬
mogorov, On the preservation of quasi-periodic motions under a small variation
of Hamilton'sfunction, Sov. Math. Dokl. 98,4(1954), 527-530], the majority

*The coordinates (/, tp) are said to be canonically conjugate if the symplectic structure of
the phase space can be written in the form io = 'fdlk a dtpk.
 166 4. Perturbation Theory

of invariant tori / = const are only slightly deformed without disappearing

under a small Hamiltonian perturbation: for the majority of initial con¬
ditions, the phase curves fill out the invariant tori densely in both the
perturbed and unperturbed systems.
Let the Jacobian of the mapping of the (n — 1 )-dimensional surface
H0{I) = h into the (n — 1 )-dimensional projective space, given by the
formula /1—> (dHJdf : ••• : dH0/BIn), be different from zero. Then the
invariant tori of the perturbed system fill almost completely the entire
(2n — 1 )-dimensional level manifold //(/, cp) = h of the Hamiltonian
function H (the complementary set is of small measure).
In particular, if the number of frequencies n is equal to 2, then these
two-dimensional tori divide the three-dimensional level manifold. Therefore,
even for those phase curves which do not lie on the tori, the action variables
vary little over an infinite time interval: a phase curve starting in a gap
between two invariant tori cannot get out of it.
On the other hand, if the number of frequencies is larger than two,
then the tori do not divide the level manifold of the Hamiltonian function.
Then some phase curves (constituting a set of small measure) can go far
from the initial values of the action variables, wandering near resonance
surfaces between the invariant tori.
There exist examples [V. I. Arnold, On the instability of dynamical
systems with many degrees of freedom, Sov. Math. Dokl. 156, 1 (1964), 9- 12]
in which such an exit actually occurs. The average velocity of exit is ex¬
ponentially small (of order e_1/^£) in these examples.

C. Nehoroshev’s Theorem

It turns out that the average velocity of the deviation of the action variables
from their initial values is so small in every generic Hamiltonian system
that it cannot be detected by any approximation method of perturbation
theory (i.e., it does not appear in the form of noticeable deviation in time
of order l/eN for any N, where e is the parameter of the perturbation).
More precisely, Nehoroshev [N. N. Nehoroshev, On the behavior of
Hamiltonian systems close to integrable ones, Funct. Anal. Appl., 5, 4
(1971), 82-83 ; N. N. Nehorosh cv. Exponential estimate of the time of stability
of Hamiltonian systems close to integrable ones, /, UMN, 32, 6, (1977),
5-66; II Trudy seminara im. I. G. Petrovskogo, V. 5 (1979), 5-50; N. N.
Nehoroshev, Stable estimates from above for smooth mappings and smooth
function gradients, Math. Sbornik 90, 3 (1973), 432—472. Cf., also his dis¬
sertation, MGU, 1973] proved that for almost every unperturbed Hamil¬
tonian function H0(I), there exist positive numbers a and b such that the
average rate of change of the action variables / does not exceed eb in the
perturbed system over time T = ellz\
We note that T increases more rapidly then any power of 1/e as e —*■ 0,
so that the variation of / over time l/eN is small for any N.
The constants a and b depend on geometric properties of the unperturbed
§ 19. Averaging in Hamiltonian Systems 167

Hamiltonian H0. For example, if H0 is strictly convex (the matrix c2H0/cI2

is positive definite), then we may set a = 2/(6n2 — 3n + 14), b = 3aj2,
where n is the number of frequencies.
The theorem is proved for almost all H0 in the sense that only those
functions H0 are excluded which satisfy infinitely many explicitly given
algebraic equations for the Taylor coefficients. Nehoroshev calls the
exceptional functions nonsteep * For nonsteep H0, exit is possible in time
on the order of 1/e. In the examples of exponentially slow exit (cfi, § 19B),
H0 is steep.
The proof of Nehoroshev’s theorem is based on the following simple
property of averaging in a Hamiltonian system.
Assume that for some values of the slow variables /, the resonance (m, co)
= 0 takes place in a Hamiltonian system with n frequencies. Then near the
corresponding resonance surface it is natural to perform averaging not over
^-dimensional tori, but over the resonance tori of smaller dimension. The
dimension of the resonance torus is n — 1 if the resonance is simple, i.e.,
if the direction of the integer-valued vector m is uniquely determined. If
the equation (m, a>) = 0 for m has k rationally independent solutions,
then the trajectories of the slow motion fill the resonance tori of dimension
n — k densely; we have to average over these tori.

Theorem. Upon averaging over resonance tori corresponding to the resonance

(m, co) = 0, the direction of the evolution of the action variables I in the
averaged system lies in the plane spanned by the resonance vectors {In the
case of a simple resonance, the direction of the evolution is uniquely determined:
it is the direction of the straight line spanned by the vector m.)

For the sake of simplicity, we consider the case of simple resonance.

We denote by y the angular coordinate which does not change in resonance:
y = (m, cp). In order to average the perturbed system, it is sufficient to
average the Hamiltonian with respect to the fast variables. As a result, we
obtain the averaged Hamiltonian H0 + eH^, where Hx depends on the
action variables and one angular variable y.
The equations of the averaged motion now give

dcp

*The nonsteepness condition, equivalent to that of Nekhoroshev for all analytic systems
(with the exception of codimension infinity), admits a very simple formulation: The critical points
of all the restrictions of the unperturbed Hamiltonian function to the affine subspaces of all
dimensions of the space of action variables should be of finite multiplicity (that is, isolated over
complex numbers)—this remark is due to Ju. S. Iliashenko, 1985; it is assumed that the unper¬
turbed Hamiltonian function has no critical points on any part of the action variable spaces
which we consider.
+ We note that in the space of action variables, the affine structure is uniquely determined
and so is the identification of vectors of the space dual to the space of frequencies with vectors
of the space of action variables.
168 4. Perturbation Theory

On the other hand, cHJccp — (cHJcy){cy/c<p) has the direction of the

vector cy/ccp = m. ►
Nehoroshev’s theorem can be deduced from the theorem just proved
with the help of the following arguments. Fast evolution (with velocity of
order e) is possible only at resonance and in directions generated by resonance
vectors. However, conditions of steepness imposed on H0 (for example,
strict convexity of H0 will suffice) guarantee that such evolution takes place
in a direction leading out of the resonance surface. Consequently, resonance
is violated and evolution lasts only a short time; as a consequence, an
exponentially small upper estimate of the average velocity is indeed obtained.
t)n the other hand, if the steepness conditions are violated, then a curve
exists on the resonance surface, whose tangent at every point belongs to
the plane spanned by the resonance vectors. Along such a curve, evolution
may have an average velocity of order e. This leads to deviation of the action
variables from their initial values over time on the order of 1/e.

§ 20. Adiabatic Invariants

Here we give a review of the basic results of the theory of adiabatic invariants
in Hamiltonian systems with slowly varying parameters.

A. The Notion of the Adiabatic Invariant

In considering Hamiltonian systems with slowly varying parameters, a

peculiar phenomenon occurs: quantities which are generally independent
become functions of one another asymptotically (as the rate of change of
the parameters converges to zero).
For example, consider a pendulum of variable length. The length of
the pendulum and the amplitude of oscillations are generally independent:
if we change the length of the oscillating pendulum, then upon restoring the
original length of the pendulum, the amplitude of oscillations can, in general,
change in an arbitrary way, depending on the specific way in which the
length has been changed.
Nevertheless, it turns out that if the change in the length of the pendulum
occurs sufficiently slowly, then the amplitude of oscillations remains almost
unchanged upon restoring the length. Moreover, the ratio of the energy
of the pendulum to the frequency remains almost unchanged during the
entire process, although both the energy and the frequency vary as the
length varies.
Quantities asymptotically preserved under sufficiently slow variation of
the parameters of a Hamiltonian system are called adiabatic invariants.
More precisely, we consider the Hamiltonian system of differential
equations x = v(x, A), where A is a parameter.
§ 20. Adiabatic Invariants 169

A function / of the phase point x and the parameter A is called an adiabatic

invariant if for any smooth (i.e., sufficiently often differentiable) function
A(t) of the slow time x = et, the variation of I(x(t), A(e/)) along a solution
of the equation x = v(x, A(e/)) remains small along the time interval
0 t ^ 1/a, provided that e is sufficiently small.

B. Construction of an Adiabatic Invariant of a System

with One Degree of Freedom

We assume that the Hamiltonian H(p, q; X) has closed phase curves

H(p,q, X) = h for every value of the parameter X (say, surrounding an
equilibrium position in which the frequency of small oscillations is different
from zero).
We denote by /(/?, q \ X) the area bounded by the phase curve passing
through the point with coordinates (p, q) for a fixed value of X divided by
2n (according to tradition). The quantity / is called the action variable.

Example

For a pendulum, we have H = ap2/2 ■+- bq2j2. The phase curve H = h

is an ellipse with area 7i^/2h/as/2hlb = 2nhj^fab. The frequency of the
oscillations is oj = yfab. Consequently, for a pendulum,

co

Here the role of X is played by the pair {a, b).

Theorem. The action variable I is an adiabatic invariant of a Hamiltonian

system with one degree of freedom.

C. Proof of the Adiabatic Invariance of the Action Variable

The proof of this theorem is based on the averaging method. Let cp be the
angular coordinate on closed phase curves chosen in such a way that it
varies in proportion to the time of the motion on the curve and increases by
2n during every revolution (of course, the angular coordinate cp and the
action variable I both depend on not only the phase coordinates (p, q), but
also on the parameter A).
For every value of A, the equation of our system can be written in the
form of the standard unperturbed system of the averaging method:

cp = co(I, A(t)), 1=0, r = 0.

170 4. Perturbation Theory

If X is slowly varying, then, instead of the unperturbed system, we obtain

the perturbed system

<P = w + ef 7 = eg, i = e,

where the functions / and g are 27t-periodic in q>.

Now compose the averaged system.

Lemma. The action variable is a first integral of the averaged system (that is,
the average of g with respect to (p is equal to zero).

We consider the domain bounded by the closed phase curve / = 70 for

the initial value of the parameter. According to the theorem on averaging,
the image of this domain at any time t in the interval [0, 1/e] is, up to an
error of order e, the domain bounded by some closed phase curve 7 = 7r
for the value X = X(et) of the parameter.
On the other hand, the equations of motion are Hamiltonian (even if
nonautonomous). By Liouville’s theorem, the area of the image is equal to
the area of the preimage. This implies that lt = J0.

Corollary. The ratio of the energy of a pendulum to the frequency is an adiabatic

invariant.

Problem. A little ball moves horizontally between two vertical absolutely elastic walls
whose distance apart varies slowly. Prove that the product of the velocity of the ball
with the distance between the walls is an adiabatic invariant.

Problem. A charged particle moves in a magnetic field which varies slowly in the
course of a Larmour loop of the particle around a magnetic line of force. Prove that
an adiabatic invariant is the ratio v2JH of the square of the component of the velocity
of the particle normal to the line of force to the magnetic field strength (cf., for example,
L. A. Arcimovich, Controllable Thermonuclear Reactions, Moscow, Fizmatgiz, 1961).

D. Adiabatic Invariants of Hamiltonian Systems with Several Frequencies

We consider a Hamiltonian system p = — Hq, q = Hp with several frequen¬

cies, depending on a parameter X and admitting, for fixed X, the action-angle
variables (p — cn(7, X), 7=0 (where co = cHJcI) with the Hamiltonian
7/0(7, X) depending on n action variables in a nondegenerate way, such that

det
CO)
det (?2Ho # o.
If V ?j2,
We assume, as above, that the parameter X begins to vary slowly. The
variation of p and q can be described by Hamilton’s equations with a varying
§ 20. Adiabatic Invariants 171

function H, and the behavior of the variables / is described by the perturbed

system (we assume that A = et, where e is a small parameter).

Lemma. The perturbed system is Hamiltonian with the single-valued

Hamiltonian function H = H0(/, A) + vH1 (/, <p. A, e).

The proof of this lemma requires either some knowledge of symplectic

geometry or Hamiltonian formalism (cf., for example, V. 1. Arnold, Mathe¬
matical Methods of Classical Mechanics, New York, Springer-Verlag, 1978),
or else cumbersome calculations, which we omit.

Corollary. The action variables 1 are first integrals of the averaged system.

Indeed, the averaged function—the right-hand side of the equation / =

— £cH1/cq)—is the derivative of a periodic function and, therefore, has a
zero average value (cf., the theorem in § 19A). ^
Combining this corollary with Neistadt’s theorem (cf., § 18D), we arrive
at the following conclusion.
The variation of the action variables / in a Hamiltonian system with several
frequencies and slowly varying parameters remains smaller than p over time
1 /e if we neglect a set of initial conditions of measure not greater than Cyfe/p
in the original phase space. {Here the phase space is assumed to be compact
and the derivative coojcT is assumed to be nondegenerate.)

Definition. A function F of the phase point of a Hamiltonian system and of

a parameter is called an almost adiabatic invariant if for every p > 0 the
measure of the set of initial conditions in the compact phase space for which
the variation of F along a solution of Hamilton’s equation with slowly
varying parameter exceeds p in time 1/e converges to zero as e converges to
zero.
Consequently, the action variables {f, . . . , /„) are almost adiabatic invar¬
iants of any nondegenerate Hamiltonian system with several frequencies.

E. Behavior of Adiabatic Invariants for t > 1/e

Although an adiabatic invariant varies slowly over time 1/e, there is no

reason to assume that the variation remains small over larger time intervals
(say, on the order of 1/e2) or, a fortiori, over an infinite time interval.

Example

We consider a pendulum with a slow (periodically varying) parameter:

x = —<jo2{ 1 -I- ncosel)x.

 172 4. Perturbation Theory

For arbitrarily small s (i.e., for an arbitrarily slow variation of the para¬
meter), parametric resonance is possible in which the equilibrium position
-v = 0 becomes unstable. It is clear that in parametric resonance an adiabatic
invariant of a linear pendulum changes unboundedly (over an infinite time
interval).
It turns out that this behavior of the adiabatic invariant in a system with
a periodic slowly varying parameter is connected with the linearity of the
system, more precisely, with the independence of the period of oscillations
from the amplitude. If, in a Hamiltonian system with periodic slowly varying
parameter, the derivative of the frequency of the fast motion with respect to
the action variable is different from zero, then the action variable varies
little over an infinite time interval [cf., V. I. Arnold, On the behavior of an
adiabatic invariant in a periodic slow variation of the Hamiltonian function,
Sov. Math. Dokl., 142, 4(1962), 758-761].
The proof is based on the fact that invariant tori exist in this situation
(cf., Kolmogorov’s theorem, § 19B).
Another interesting case is the one in which the parameter varies in such a
way that it has definite limits as t —»■ — x or t —> -hoc. In this case, it makes
sense to speak about the values of an adiabatic invariant at minus infinity
and plus infinity and its increment

A/ = /( + 30) - /(-oo)

over the entire time.

For the linear equation

x — —<x>2(et)x, co(—oc) = oj_, co(+oo) = a>+ ,

one can prove that the increment of an adiabatic invariant over infinite
time is exponentially small in e (under the assumption that co is an analytic
function which must not change sign and must behave reasonably at infin¬
ity). Moreover, the principal term of the asymptotics of the increment of an
adiabatic invariant can be given explicitly as e —* 0 [cf., A. M. Dyhne,
Quantum passages in adiabatic approach, JETP 38, 2 (1960), 570-578 and
A. A. Sludskin, JETP 45, 4 (1963), 978-988]. Analogous results have been
obtained for multidimensional systems as well. The accurate formulations
and proofs can be found in M. V. Fedorjuk, Adiabatic invariant of a system
of linear oscillators and scattering theory, Differential Equations 12, 6 (1976),
1012-1018 (in which references to earlier work by physicists have been
omitted, however). See also M. Levi, Adiabatic invariants of linear Hamiltonian
systems with periodic coefficients, J. Diff. Equat. 42, 1 (1981), 47—71.
The problem of the increment of an adiabatic invariant of a one-dimen¬
sional nonlinear system has also been studied by physicists: they have
proved the smallness of the increment compared to eN, i.e., the absence of
variations of an adiabatic invariant in all orders of perturbation theory
[A. Lenard, Ann. Phys. 6 (1959), 261-276]. Neistadt obtained an exponential
§21. Averaging in Seifert’s Foliation 173

estimate in the analytic case. A. I. Neistadt, On the degree of precision of the

adiabatic invariant conservation, Prikl. Mat. Mekh. 45, 1 (1981), 80-87.
Some exponentially small deviation is unavoidable in all the versions of
the theory of averaging for the following reason: the size of the projection on
the base space of any closed curve, close to the fiber of our fibering, grows
under the perturbed phase flow action (exponentially slowly, that is, with
average speed of order exp (—C/e)): see A. I. Neistadt, On the separation of
motions in the systems with fast rotation of the phase, Prikl. Mat. Mekh. 48,
2(1984), 197-204.
The adiabatic invariant changes its value with a jump when the slow
motion forces the fast orbit to intersect the separatrix of the instantaneous
phase portrait. The asymptotics of these jumps have been studied by A. I.
Neistadt and, according to Wisdom (The origin of the Kirkwood gaps’, a
mapping for asteriodal motion near 3/1 commensurability, Astrophys. J. 87
(1982), 577-593; Icarus 56 (1983), 51-74; 63 (1985), 272-289), those jumps
imply the resonance gaps in the asteroid distribution (namely, those asteroids
whose mean motion is commensurable with that of Jupiter change their
eccentricity abruptly, which leads to collision with Mars).
The theorems of Neistadt on asymptotics of the separatrix intersections
appear as: On the separatrix passage in resonance problems with slowly varying
parameter, Prikl. Mat. Mekh. 39, 4 (1975), 621—632; Phisika plasmy 12
(1986), 992-1001; see also his paper Jumps of adiabatic invariants and the
origin of the Kirkwood gap 3 : 1, Prikl. Mat. Mekh. 51, 5 (1987), 750-757.
See also the paper by A. V. Timofeev in JETP 75, 4 (1978), 1203-1308; and
J. L. Tennyson, J. R. Cary, D. F. Escande, Phys. Rev. Lett. 56, 20 (1986),
2117-2120.
For nonlinear systems with several degrees of freedom, the adiabatic
invariance of the action variables does not hold, in spite of assertions in the
physical literature: they are only almost adiabatic invariants, i.e., change
little for the majority of initial conditions.

§21. Averaging in Seifert’s Foliation

In the study of the neighborhood of a closed phase curve, one encounters

the case where the nearby phase curves also close in first approximations;
but, before closing, they revolve several times along the initial closed phase
curve (this is the so-called case of resonance). The study of the behavior of
a system close to a resonant or approximately resonant motion leads to a
peculiar variant of the averaging method; averaging in Seifert’s foliation.

A. Seifert’s Foliation

Seifert’s foliation is a partition of the direct product IR2 x S’1 into circles.
It is constructed in the following way. In Euclidean three-dimensional space,
we consider a cylinder with horizontal bases and vertical axis. We foliate
174 4. Perturbation Theory

the interior of the cylinder by vertical segments and identify the upper and
lower bases of the cylinder after having rotated the upper base by an angle
of Inpjq [we glue the point (z, 0) of the lower base to the point (Az, 1) of
the upper base, where A is the rotation by angle 2npfq and p and q are
relatively prime numbers].

Definition. The Seifert foliation of type (p, q) is the three-dimensional

manifold R2 x Sl, together with its partition into circles obtained from
the partition of the interior of the cylinder into segments parallel to the
axis upon pasting the bases after a rotation by angle 2npfq.

Therefore, each of the circles of the Seifert foliation is obtained by pasting

q segments except for one central circle obtained from the axis of the cylinder.
We consider the ^-sheeted covering of the space R2 x S1 of Seifert’s folia¬
tion of type (p, q). The covering space itself is diffeomorphic to R2 x S1.
Seifert’s foliation in the original manifold induces a partition into circles on
the covering manifold. This partition can be considered as Seifert’s foliation
of type (p, 1). (The pasting is now performed with a rotation by an angle
2 up.)
The Seifert foliation of type (p, 1) is already a fibration into circles and,
moreover, a direct product. In the covering, every circle of the original
Seifert foliation is covered diffeomorphically by q circles, except for one
central circle covered ^-fold (Fig. 101).

B. Definition of Averaging in Seifert’s Foliation

Let a vector field be given in the space R 2 x S' of Seifert’s foliation. Then
the covering foliation contains a vector field, too. Every vector of the field
can be projected on the base R2 of the covering foliation. We average the
vector thus obtained on the base along a leaf of the covering foliation. At
every point of the base we obtain a well-defined vector. Consequently, we
have defined a vector field on the base. The above operation of constructing
(from a field in the Seifert foliation space) a field on the plane is called
averaging the original f ield along Seifert's foliation.
In other words, averaging on Seifert’s foliation of type (/?, q) is defined
as the usual averaging in its <y-sheeted covering foliation.
§ 21. Averaging in Seifert’s Foliation 175

C. Properties of the Averaged Field

Upon averaging in an ordinary fibration, any vector field can be obtained

on the base. Upon averaging along Seifert’s foliation, a vector field with
specific properties is obtained on the base: for example, at the central point
the vector of the averaged field vanishes if q > 1.

Theorem. As a result of averaging along Seifert's foliation of type (p, q), we

obtain a field invariant with respect to rotation oj the plane by an angle 2njq.

We realize the base as one of the bases of the initial cylinder. Then the
averaging along Seifert’s foliation turns into averaging on q intervals paral¬
lel to the axis of a cylinder. Upon rotation by an angle 2njq, these q intervals
turn into each other. It is easy to see that averaging commutes with rotation
by angle 2nlq. (After the rotation, we have to average along the same
intervals but in a different order.) ►

D. An Example

We consider the differential equation

z = iojz + ef(z, /), where z e C,

where/is a complex-valued (not necessarily holomorphic) function having

period 2n in the real time variable t, and e is a small parameter. The equation
corresponding to e = 0 will be called unperturbed.
We assume that the frequency co of the unperturbed motion is rational
or close to a rational number pjq.
The integral curves of the unperturbed equation with co = pjq form
Seifert’s foliation of type p/q inC x S1 = {z, rmod27t}.
Upon averaging along this foliation, we obtain the averaged equation

z - eF(z),

where the vector field F turns into itself under rotation of the z-plane by
an angle 2njq.

E. Taylor Coefficients of a Symmetric Field

We shall define a vector field on the complex z-plane by a complex (not

necessarily holomorphic) function F. The Taylor series of F in x and y
(where z — x + iy) can be written in the form of a Taylor series in the
variables z and z. We write this series in the form
176 4. Perturbation Theory

Proposition. If the field F is invariant under rotation by an angle 2iz/q, then

only those coefficients Fk , are different from zero for which k — l is congruent
with 1 modulo q.

^ Asa result of the uniqueness of the Taylor series, every term of the series
defines a vector field invariant under rotation. Under rotation of 2 by
the angle 2njq, the vector zkz‘ turns by the angle (k — l)2nlq. This rotation
is a rotation by the angle 2 n/q if and only if A: — /is congruent with 1 modulo
q. ►
We consider the quadrant of the lattice of integral nonnegative points
(k, /). Among them, we distinguish those for which /c — / is congruent with 1
modulo q. The point (1,0) and all integral points on the line issued from
this point and parallel to the bisector of the quadrant are always distin¬
guished. These points correspond to fields z<I>(|z|2) invariant under rotation
by any angle.
The point (0, q — 1) is always among the distinguished points. This
point corresponds to the field zq~x invariant with respect to rotation by
the angle 2nfq. All distinguished points form a series of rays parallel to the
bisector issued from the points (0, mq — 1) and {mq + 1, 0) on the sides
of the quadrant.

F. The Case of Symmetry of Order 3

We consider vector fields invariant under the symmetry group of order 3

(i.e., the case q = 3).
The monomials of smallest degree in the Taylor series of a field symmetric
under rotation by 120° are given by distinguished points of the (k, /)-plane
with the smallest k + l. The first two monomials are z and z2. Conse¬
quently, every field on the plane invariant under rotation by the angle
27r/3 has the form

F{z) = az + bz2 + C(|z|3).

Omitting the last term, we obtain the following simplest differential equation
with symmetry of order 3 :

z = az + bz 2.

Here the coefficients a and b and the phase coordinate z are complex.
We assume that a ^ 0 and b A 0. Multiplying z by a suitable number
and changing the unit of time, one obtains b — 1 and |a| = 1. The variation
of the phase portrait is shown for a = eltp, ft = 1 in Fig. 102. For any a,
there are four equilibrium positions at the vertices of an equilateral triangle
and at its center. For purely imaginary a, the system is Hamiltonian. In
order to study the system for arbitrary a, it is sufficient to notice that it
§ 21. Averaging in Seifert’s Foliation 177

can always be obtained from this Hamiltonian system by formal multi¬

plication of z and t by complex numbers (i.e. by rotation and dilation of
the z-plane and rotation of the Hamiltonian field by a constant angle).

G. Effect of the Omitted Terms

Now we try to take into account the omitted terms 0(|z|3). We assume that
\a\ is small (this corresponds to the assumption that in the original system
of differential equations a resonance of third order almost takes place).
Then the radius of the triangle of singular points is also small (of order
\a\). We consider our symmetric vector field in the neighborhood of z = 0,
which is large compared to \a\, but small compared to 1.
In the same neighborhood, the omitted terms 6>(|z|3) are small compared
to the terms we kept. It is easy to show that their effect does not essentially
change the form of the phase portrait if it is structurally stable. In our case,
the phase portrait is structurally unstable only for purely imaginary a,
when the system is Hamiltonian. The Hamiltonian character is not preserved
if we take into account the omitted terms.
For every ray in the complex a-plane not coinciding with the imaginary
axis and for sufficiently small \a\ ^ 0, the shape of the phase portrait of the
complete system (under the condition b ^ 0) in a neighborhood of the origin
small compared to 1 and large compared to \a\ is indicated in Fig. 102,
<P ^ ± tt/2.
A study of the change of the phase portrait when a intersects the imaginary
axis constitutes a special problem, to which we shall return in Chap. 6.
In the generic case, the change is determined by just one term of the Taylor
series: all happens in the same way as for the equation

z — az + z2 czlzl2,

where Re c # 0.

H. Application to the Original Equation

The above analysis of the averaged equation yields significant information

on the original system for the case when the parameter e is sufficiently
 178 4. Perturbation Theory

small. Without going into proofs, we only discuss a translation of our

results into the language of phase curves of the original equation.
The three equilibrium positions at the vertices of the equilateral triangle
correspond to one closed integral curve of the original equation. If the dif¬
ference between the frequency co of the unperturbed motion and the reso¬
nance frequency pjq — ^ converges to zero, this closed curve coalesces with
the initial closed curve, going three times around it.
The stability of equilibrium positions of the averaged system is interpreted
as the stability of periodic solutions of the perturbed system, etc. An essential
difference arises at only one point, namely, in the case where the averaged
system has a separatrix going from saddle into saddle.
In the perturbed system, a closed curve corresponds to saddles. Stable
and unstable invariant manifolds of the closed curve correspond to incom¬
ing and outgoing separatrices. However, while in the averaged system the
separatrices merge upon intersection, in the perturbed system this is not so,
in general. In order to see how the invariant manifolds of the perturbed
system intersect in the three-dimensional space, we consider the section
/ = 0 of three-dimensional space.
The plane / = 0 is intersected by our solution at three points which are
fixed points of the third iterate of the Poincare mapping. Each of the three
fixed points has an incoming and an outgoing invariant manifold (curve).
These curves are not bound to coincide upon intersection (unlike phase
curves of an equation on the plane, which have to coincide forever, once
intersecting).
Under iterations by the Poincare mapping, the intersecting arcs of the
invariant manifolds form a complicated network called the homoclinic
picture* (Fig. 103).

I. Resonances of Higher Order

For resonances of order q higher than 3, we obtain for the averaged system
of the first nontrivial approximation

z - clz -(- Zs4 (jzj2) -T zq 1

* A fixed point of a diffeomorphism of the plane is said to be homoclinic if its attracting

and repelling invariant curves intersect without coinciding.
§ 21. Averaging in Seifert’s Foliation 179

in the same way. In particular, for a resonance of order 4, we obtain the

system

z = az + Az\z\2 + z 3.

These systems, as well as the system corresponding to a resonance of order 2,

are considered in detail in Chap. 6.
In Fig. 104, we illustrate the change of phase portraits in an averaged
system corresponding to the resonance of order 5:

z = az + Az\z\2 + z4

for Re ,4 <0, Im A < 0, a = Ee,ep, e 1.

Chapter 5

Normal Forms

A fruitful technique for many differential equations consists of transforming

(but not solving) them to a simpler form. Poincare’s theory of normal forms
produces such simple forms to which a differential equation can be reduced
in the neighborhood of an equilibrium position or a periodic motion.
The reduction to normal forms is realized by means of power series in
the deviation from the equilibrium position or periodic motion. The series
are not always convergent. Nevertheless, even in cases where the series are
divergent, the method of normal forms turns out to be a powerful device
in the study of differential equations: a few initial terms of the series often
give significant information on the behavior of solutions, which is sufficient
for the construction of the phase portrait. The method of normal forms is
also a basic tool in the study of bifurcations, where it is applied to families
of equations depending on parameters.
In this chapter, the simplest basic aspects of the method of normal forms
are presented.

§ 22. Formal Reduction to Linear Normal Forms

According to Poincare’s theorem, in the class of formal power series, a

“nonresonant” vector field can be reduced to its linear form at a singular
point by a formal diffeomorphism. We are going to formulate this condition
of nonresonance.

A. Resonances

Instead of a vector field, we consider a formal vector-valued power series

v(x) = Ax -I- • • • in n variables with complex coefficients. We assume that
the eigenvalues of A are distinct.

Definition. The H-tuple X = , . . . , Xn) of eigenvalues is said to be resonant

if among the eigenvalues there exists an integral relation of the form

K = (rn, A),
§ 22. Formal Reduction to Linear Normal Forms 181

where m — (m1, . . . , m„), mk >- 0, ^ 2. Such a relation is called a

resonance. The number \m\ - mk is called the order of the resonance.

Example

The relation Xx = 2X2 is a resonance of order 2; the relation 2Xx = 3X2 is

not a resonance; the relation Xx + X2 = 0 is a resonance of order 3 (more
precisely, this relation implies the resonance Xx — 2Xx + A2).

B. Poincare’s Theorem

The following theorem is the fundamental result of Poincare’s dissertation.

Theorem. If the eigenvalues of the matrix A are nonresonant, then the equation

x = Ax + • ■ •

can be reduced to a linear equation

y = Ay

by a formal change of variable x = y + • • • (the dots denote series starting

with terms of degree greater than one).

The proof of Poincare’s theorem consists of the successive annihilation

of the terms of degree 2, 3, etc. on the right-hand side. Every step is based on
the solution of a linear homological equation; we begin with deducing this
equation.

C. Deduction of the Homological Equation

Let h be a vector-valued polynomial* in y of order r ^ 2 and let

/2(0) = /i'(0) = 0.

Lemma. The differential equation y = Ay is transformed into

x = Ax + v(x) + • • •

by the change of variables x = y + h(y), where v(x) = (dh/cx)Ax — Ah(x)

and the dots denote terms of degree greater than r.

*That is, let h be a vector field whose components are polynomials. A vector-valued poly¬
nomial is the sum of vector-valued monomials: the latter are fields, one component of which
is a monomial and the remaining components zeros. The order of a polynomial is the degree
of the lowest term.
 182 5. Normal Forms

<vA ,
x = \ E + f1 \ Ay =
8h
E + — )A(x — h(x) + ■ ■ -)
'

WAy~
dh
= Tx + — Ax — Ah(x) +
cx

Remark. The square brackets contain the Poisson bracket of the vector fields
Ax and h{x).
We shall denote by LA the operator converting every field into the Poisson
bracket of the linear field Ax with the given field:

Ph
LAh = ffAx - Ah(x).

Definition. The homological equation associated with the linear operator A

is the equation

LAh = v,

where h is the unknown and v is the known vector field.

D. Solution of the Homological Equation

The linear operator LA acts in the space of formal vector fields. It leaves
the spaces of homogeneous vector-valued polynomials of any degree
invariant.
We calculate the eigenvalues and eigenvectors of LA. Denote by ei an
eigenvector of A with eigenvalue Xt. We denote by (xl5 . . . , xn) coordinates
with respect to the basis (e1, . .. , en). As usual, xm will stand for x™1 • • • x“-.

Lemma. If the operator A is diagonal, then the operator LA is also diagonal

on the space of homogeneous vector-valued polynomials. The eigenvectors of
La are the vector-valued monomials xmes. The eigenvalues of LA depend
linearly on the eigenvalues of A, namely,

LAxmes = [(m, X) — X^\xmes.

Let h - xmes. Then the only nonzero component of the vector (8hjdx)Ax
is the jth one, which is equal to

^ Ax = Yf^ixmXixi = (m, X)xm.

cx xt

On the other hand, Ah{x) = Xsh{x). ►

If all eigenvalues of LA are different from zero, then it is invertible.
§ 22. Formal Reduction to Linear Normal Forms 183

Corollary. If the collection of eigenvalues of A is nonresonant, then the homo-

logical equation LAh = v is solvable in the class of formal power series h for
every formal vector field v without a constant term and a linear part at zero.
If there are no resonances of order k, then the homological equation LAh = v
is solvable for every homogeneous vector-valued polynomial v oj degree k in
the class of homogeneous vector-valued polynomials of degree k {here k ^ 2).

Remark. If A is not diagonal (has Jordan blocks), then LA also has Jordan
blocks. Nevertheless, as is easily seen, the eigenvalues are given by the same
formula as in the diagonal case. Therefore, for nonresonant (possibly
multiple) eigenvalues, LA is invertible on the space of homogeneous vector¬
valued polynomials. Hence, the corollary above holds in the case of multiple
eigenvalues as well.

E. Proof of Poincare’s Theorem

Let the original equation have the form x = Ax + vr(x) + • • • , where

the vr are terms of degree r (r ^ 2).
We solve the homological equation LAhr = vr (on the basis of the corollary
in § 22D). Substituting x = y + hr(y) transforms the original equation into
y = Ay + wr+l(y) + ■ ■ - (we use the lemma in § 22C). Consequently, we
have annihilated the terms of degree r on the right-hand side of the original
equation.
Successively killing the terms of degree 2, 3, . . . , we construct a sequence
of substitutions. The product of these substitutions stabilizes in the class of
formal series, i.e., terms of any fixed degree do not change from a certain
step. The limit substitution converts our formal equation into y = Ay. ►

Remark l. Although convergence of series has not been proved, in the

nonresonant case the perturbation can be moved arbitrarily far by a con¬
vergent substitution: we have proved that for any N the original equation
can be reduced to y = Ay + o(|y|N) by a true (even polynomial) change
of variable.

Remark 2. If the perturbation v = vr + vr+1 + • • • has order r, then,

solving the homological equation LAh = v after the substitution x = y + h,
we obtain an equation with perturbation of order 2r — 1, a fact related to
the hyperconvergence of the approximations obtained by iterating the
procedure (cf., § 12).

Remark 3. The proof of Poincare’s theorem remains valid in the case of

multiple eigenvalues (cf., the remark at the end of § 22D) as long as they
are nonresonant.
 184 5. Normal Forms

Remark 4. If the original equation is real but the eigenvalues are not, then an
eigenbasis can be chosen from complex conjugate vectors. In this case all
substitutions in Poincare’s theorem can be chosen real, i.e., converting
complex conjugate vectors into complex conjugate vectors.

§ 23. The Case of Resonance

In the case of resonance, the Poincare’s-Dulac theorem asserts that all

nonresonant terms in the equation can be annihilated by a formal change
of variables.

A. Resonant Monomials

Let the w-tuple X = (Aj, . . . , AJ of the eigenvalues of the operator A be

resonant. Let es be a vector in the eigenbasis; let x,- be coordinates with
respect to the basis e,; and let xm = x^1 • ■ • x”" be a monomial in terms
of the coordinates x;.

Definition. The vector-valued monomial xmes is said to be resonant if

Xs -- (m, A), \m\ ^ 2.

Example

For the resonance Xx = 2X2, the unique resonant monomial is x\ex. For the
resonance X1 + X2 = 0, all monomials (x 1x2)kxses are resonant.

B. The Poincare-Dulac Theorem

We consider the following differential equation x = Ax + ■ ■ • given by the

formal series v(x) = Ax + ■ ■

Theorem. The equation above can be reduced to the canonical form

y = Ay + w{y)

by means of a formal change of variables x = y + - • • , where all monomials

in the series w are resonant.

^ We begin killing the nonlinear terms of the series v. After several steps,
we may encounter an unsolvable homological equation
§ 23. The Case of Resonance 185

for a homogeneous vector-valued polynomial h of degree r equal to the

degree of resonance. In this case, we cannot annihilate all terms of degree r
of the perturbation v by an appropriate substitution. Instead, we annihilate
only those which can be annihilated. In other words, we represent v and h
in the form of vector-valued polynomials

v^Tvm.sxmes, h = YJhm_sxmes

and set

h = --
m'5 (m. A) - Xs

for those m and 5 for which the denominator is different from zero. In this
way we define the field h.
We perform the usual substitution x = y + h(y) of Poincare’s theorem.
In the original equation, all terms of degree r will vanish except the resonant
ones, which will remain unchanged. The equation will take the form

y = Ay + wr(y) + • • • ,

where w, consists of only resonant terms.

The subsequent steps are performed in the same way. The remaining
resonant terms wr do not affect the homological equation which we solve
and do not change in the subsequent substitutions. Indeed, upon the sub¬
stitution y = z T gs(z), the equation

y = Ay + w2(y) + - - - + vt’^y) + • • ■

is converted into

z = Az + h-2(z) + • • • + m-s_,(z) + [h's(z) - (LAgs)(z)] + ■ ■ • ;

the Poisson bracket of h 2 and gs has degree s -I- 1.

Consequently, all nonresonant terms of degree s are annihilated by the
choice of gs, and the proof is completed in the same way as in the non-
resonance case. ►*

C. Examples

In practice, the Poincare-Dulac theorem is usually used to single out resonance terms
of small degree and remove perturbation up to terms of some finite order, i.e., reduce
the equation to the form

x = Ax + H’O) + o( | jc|
 186 5. Normal Forms

(where w is the polynomial of resonant monomials) by a true (polynomial, if desired)

rather than formal change of variables.

Examples

1. We consider a vector field in the plane with a node-type singular point with resonance
A, = 2A2. The Poincare-Dulac theorem enables us to reduce (formally) the equa¬
tion to the normal form

f X, = A,X, + CX2

\ X2 = ^2X2-

In this case, the normal form is polynomial, since the number of resonant terms
is finite (just one).

2. We consider a vector field in the plane IR2 with a singular point with purely imaginary
eigenvalues a , 2 = +/co (center in linear approximation).
We pass to an eigenbasis. The eigenvectors can be chosen complex conjugate.
It is customary to denote by z and z the coordinates in C2 with respect to a basis
of complex conjugate vectors (these numbers are actually conjugate only in the
real plane [R2 cz <C2).
Our differential equation on [R2 gives an equation on C2 which can be written
in the form

Z — AZ + • • ■ , Z = Az 4-

(The dots denote a series in terms of the powers of z and z.) Since the second equa¬
tion is obtained from the first by conjugation, we may omit it.
We have the resonance A, 4- A2 = 0. By the Poincare-Dulac theorem, our
equation can be reduced to the form

£ = K + cC|C|2 + 0(|c|5)

by a real change of variable (cf.. Remark 4 in § 22E). Consequently, r2 = |£|2 is a

smooth real-valued function on IR2. For this we have

(r2)' = CC + fC = (2Re c)r4 + 0(r6).

If the real part of c is negative (positive), then the equilibrium position is stable
(unstable).
Consequently, the first few steps of the Poincare method provide a method for
solving the problem of the stability of a singular point neutral in linear approxima¬
tion. Moreover, it is immaterial whether the construction can be continued and
whether the procedure converges. It is only important that the “nonlinear decrement”
Rec be different from zero.

Remark. A generalization of Poincare’s theorem is a general theorem in the theory

of Lie algebras, the so-called Cartan replicas theorem, which also generalizes the
theorem on Jordan normal form.
§ 24. Poincare and Siegel Domains 187

We consider a finite-dimensional Lie algebra. Let u be an element of this algebra.

Commutation with this element defines a linear operator v i—► [u, n] in the space of
the Lie algebra. The element u is said to be semisimple if the operator of commutation
with u is diagonalizable (has an eigenbasis). The element u is said to be nilpotent if the
operator of commutation with u is nilpotent (i.e., all eigenvalues of this operator are
equal to zero).
The decomposition theorem asserts that every element of the algebra can be decom¬
posed (in a unique way) into the sum of a semisimple element 5 and a nilpotent element
N commuting with S:

u = S + N, SN = NS.

The elements S' and N are called the replicas of u.

[In the theory of Jordan normal forms, S’ is an operator with diagonal matrix and
/Vis the sum of nilpotent Jordan blocks.]
In the Lie algebra of jets of vector fields with a singular point 0, the semisimple
fields are the fields which are linear and can be expressed by a diagonal matrix in an
appropriate coordinate system. A nilpotent field consists of a nilpotent linear part and
terms of higher order. The condition that S and N commute means exactly that in the
nonlinear part of the field only resonant terms may be present in the indicated co¬
ordinate system.
The Poincare-Dulac theorem can be derived from the general replicas theorem
(which has to be applied to finite-dimensional Lie algebras of jets of vector fields at
zero).

§ 24. Poincare and Siegel Domains

In the study of the convergence of Poincare’s series constructed in the

preceding section, two essentially distinct cases arise, depending on the
distribution of eigenvalues in the complex plane.

A. Resonant Planes

We consider the ^-dimensional complex space C" = {A = (A,, . . . , A„)} of

all possible rc-tuples of eigenvalues.

Definition. A hyperplane in C" given by an equation

Xs = (m, A), mk> 0, Y.mk ^ 2

with integral coefficients is called a resonant plane.

Varying the integral vector m and the index 5, we obtain countably many
resonant planes. We shall study how the set of resonant planes is located
in the space C" of eigenvalues. It turns out that the resonance planes lie
discretely in one part of Cn, but are everywhere dense in another part.
188 5. Normal Forms

Definition. An n-tuple X of eigenvalues belongs to the Poincare domain if the

convex hull of the n points (Xx, . . . , Xn) in the complex plane does not
contain zero.
An /?-tuple X of eigenvalues belongs to the Siegel domain if zero lies inside
the convex hull of the n points (At, . . . , Xn).

Remark. For n > 2, the Poincare and Siegel domains are open and separated
by a cone. For n = 2, the Siegel domain has real codimension 1 in C2.

B. Resonances in the Poincare Domain

We assume that the n-tuple X of eigenvalues belongs to the Poincare domain.

Theorem 1. Every point of the Poincare domain satisfies not more than a
finite number of resonance relations Xs = (m, X), \m\ ^ 2, m{ ^ 0, and has a
neighborhood not intersecting the other resonant planes.

In other words, the resonance planes lie discretely in the Poincare domain.
By definition, in the plane of complex numbers there exists a real straight
line separating the collection of eigenvalues from zero. We consider the
orthogonal projections of the eigenvalues onto the line normal to this
straight line pointing away from zero. All these projections are not smaller
than the distance of the separating line from zero.
On the other hand, the coefficients mi of the resonance relation are
nonnegative. Consequently, for sufficiently large m, the projection of (m, X)
onto the normal will be larger than the largest projection of the eigenvalues
onto the normal to the separating line. p

Theorem 2. If the eigenvalues X of the linear part of afield v at O lie in the

Poincare domain, then even in the case of resonance, the field can be reduced
to polynomial normal form by a formal change of variables.

According to Theorem 1, the number of resonant terms is finite, so that

Theorem 2 follows from Theorem 1 and the Poincare-Dulac theorem. P

Remark. In the Poincare domain, resonance is possible only if one of the

eigenvalues with nonnegative components can be expressed in terms of the
remaining ones, not including the eigenvalue itself, i.e., if Xs = {m, X), then
ms = 0. Indeed, if ms > 0, then 0 = (m, X) — Xs has positive projection on
the normal to the separating line.

C. Resonances in the Siegel Domain

Now we assume that the collection X of eigenvalues lies in the Siegel domain.

Theorem 3. The resonance planes are everywhere dense in the Siegel domain.
§ 24. Poincare and Siegel Domains 189

^ The point 0 lies either inside some triangle with vertices (Ax, X2, X3) or on
the interval (Al5 X2). In the first case, we consider the angle with vertex 0
formed by the linear combinations of the numbers Ax and X2 with real
nonnegative coefficients.
The negative multiples of the number X3 lie in this angle. We divide the
angle into parallelograms with vertices at the integral linear combinations
of Aj and X2. Let d be the diameter of such a parallelogram. For any natural
number N, the number — NX3 lies within one of our parallelograms. Con¬
sequently, it lies not farther than d from one of the vertices, so that

|au3 + mlX1 -1- m2X21 ^ d.

This inequality implies that the distance of our point from the resonance
plane X3 = mlXl + m2X2 + {N + 1)A3 does not exceed d/N. Hence, the
theorem is proved if zero lies in the triangle.
If 0 lies on the line segment between Xx and X2, arbitrarily large integers
px andp2 exist such that |plXl + p2X2\ ^ d.
This yields a resonance plane at a distance from X smaller than djp. ►

Definition. A point X = (Xy, ..., Xn) e C” is said to be of type (C, v) if for

any s we have

K- (.*>. -Dl» A
H
for all vectors m with nonnegative integral components mf, YJmi = \m\ ^ 2.

Theorem 4. The measures of the set of points which are not of type (C, v)
for any C > 0 is equal to zero provided that v >{n- 2)12.

We fix a ball in C" and estimate the measure of the set of points in it
which are not of type (C, v). The inequality in the definition determines a
neighborhood of width not greater than C, C/|m|v+1 of the resonance plane.
Therefore, the measure of the part of this neighborhood which is contained
in the ball does not exceed C2C2j\m\2v+2. Summing over m with fixed \m\,
we obtain not more than |m|”_1 C3C2/|m|2v+2. Summing over \m\, we obtain
C4(v)C2 < oo if v > (n — 2)/2. Consequently, the set of non-(C, v) points
in the ball is covered by sets of arbitrarily small measure. ^
In the real case, v > n — 1 is needed in Theorem 4.

D. Poincare’s and Siegel’s Theorems

Now we assume that the vector field is given by a convergent rather than
formal series, i.e., we consider a differential equation with a holomorphic
right-hand side.
 190 5. Normal Forms

Poincare’s Theorem. If the eigenvalues of the linear part of a holomorphic

vector field at a singular point belong to the Poincare domain and are non¬
resonant, then the field is biholomorphically equivalent to its linear part in the
neighborhood of the singular point.

In other words, Poincare’s series constructed in § 23 are convergent

provided that the eigenvalues belong to the Poincare domain.

Siegel’s Theorem. If the eigenvalues of the linear part of a holomorphic vector

field at a singular point form a vector of type (C, v), then the field is biholo¬
morphically equivalent to its linear part in the neighborhood of the singular
point.

In other words, Poincare’s series are convergent for almost all (in the
sense of measure theory) linear parts of a field at a singular point.

Remark. All nonresonant vectors in the Poincare domain are vectors of type
(C, v) for some C > 0. On the other hand, in the Siegel domain, the sets
of the following vectors are everywhere dense: vectors of type (C, v), resonant
vectors, and nonresonant vectors which are not of type (C, v) for any C
and v.
For n-tuples of eigenvalues of the last type, although incommensurable
but very close to commensurability, Poincare’s series may be divergent, so
that the Field may be formally equivalent to its linear part but biholomor¬
phically inequivalent to it.

The proofs of Poincare’s and Siegel’s theorems can be obtained, with

some simplifications, from the proofs of the analogous theorems for map¬
pings in § 28.

E. The Poincare-Dulac Theorem

Now we consider the case of resonant eigenvalues.

Theorem. If the eigenvalues of the linear part of a holomorphic vector field

at a singular point belong to the Poincare domain, then in the neighborhood
of the singular point, the field is biholomorphically equivalent to a polynomial
field in which all vector-valued monomials with coefficients of degree greater
than 1 are resonant.

In other words, Poincare’s series are convergent if the eigenvalues lie in

the Poincare domain even in the case of resonance.

Remark. In contrast to that, if the eigenvalues lie in the Siegel domain, then
the series leading to the formal normal forms are often divergent in the case
§ 24. Poincare and Siegel Domains 191

of resonance. The first example of this kind was constructed by Euler

[L. Euler, De seriebus divergenti bus. Opera omnia, Ser. 1,14 (1924), Leipzig-
Berlin, 247, 585-617; (cf. p. 601)].
In Euler’s example.

f x = x2,

1 y = y - x,

the origin is a saddle-node type singular point. Despite the analyticity of the
right-hand side, the separatrix separating both sides of the half-plane x < 0
is not analytic, but only infinitely differentiable: y = ^{k — 1)! xk.
Many examples of the divergence of Poincare’s series have been con¬
structed by Brjuno (A. D. Brjuno, Analytic form of differential equations,
Trudy MMO 25 (1971), 119—262; in this work, the convergence of series is
also proved in some cases going beyond the scope of the Siegel theorem).

F. The Real and Nonanalytic Cases

The Poincare and Poincare-Dulac theorems can be carried over to the real-analytic
case and the case of infinitely differentiable vector fields, or even the case of fields with
finite (sufficiently large) smoothness.
In the Siegel case, such a generalization is also possible [cf., for example, S. Stern¬
berg. On the structure of local homeomorphisms of Euclidean »-space, Amer. J. Math.
,
80, 3 (1958), 623-631, 81 3 (1959), 578-604],
However, one should mention that the situations in which these theorems are
applicable are topologically trivial. Indeed, the Poincare case for a real field can be
encountered only if the eigenvalues all lie either in the left half-plane or the right half¬
plane. In this case (independently of resonances), the system is topologically equivalent
to the standard system x = — x (or x = +x) in the neighborhood of a stable point in
a real space. All phase curves enter an asymptotically stable equilibrium position as
t —*■ xd (or emanate from an equilibrium position close to — oo).
In the situation of the Siegel theorem in a real domain, the Grobman-Hartman
theorem is applicable (the system is topologically equivalent to a standard saddle).
Indeed, if at least one of the nonzero eigenvalues of the linear part lies on the imaginary
axis, then the complex conjugate eigenvalue lies on the imaginary axis, too; the pair
Xl 2 = +ia> leads to the resonance Xi + X2 = 0. A vanishing eigenvalue is always
resonant. Consequently, in the real case, Siegel’s theorem is applicable only to systems
without eigenvalues on the imaginary axis, and such systems are locally topologically
equivalent to their linear part (the Grobman-Hartman theorem, § 13).
In contrast with Poincare’s and Siegel’s theorems, Poincare’s method is applicable
to the study of topologically complicated cases where there are eigenvalues on the
imaginary axis, for the method can be applied to the normalization of a finite number
of terms in the Taylor series. After this, one shows that the terms of higher order do
not change the qualitative picture.
The simplest example of this kind has been analyzed in § 23C. This method is
especially useful in bifurcation theory (cf., Chap. 6).
 192 5. Normal Forms

§ 25. Normal Form of a Mapping in the

Neighborhood of a Fixed Point

The construction of an appropriate coordinate system for a mapping of a

space into itself near a fixed point parallels the theory of normal forms of
differential equations in the neighborhood of an equilibrium position. In
this section, we discuss what form the basic aspects of the theory of normal
forms take in this case.

A. Resonances: Poincare and Siegel Domains

We consider a formal mapping F: C" —> C" given by a formal power series
Tfx) = Ax + ■ ■ ■ . Let (ij, . . . , Xn) be the eigenvalues of the linear operator
A. A resonance is, by definition, a relation

Xs = Xm, where Xm = X™> ■ ■ - mk ^ 0, s£mk ^ 2.

Example

For n = 1, resonant eigenvalues are 0 and all roots of unity. All other
numbers X are nonresonant.

Definition. A collection of eigenvalues belongs to the Poincare domain if the

moduli of the eigenvalues are all smaller or all greater than 1.
Consequently, a mapping F with eigenvalues of its linear part belonging
to the Poincare domain is a contraction (if \X\ < 1) in the neighborhood of
the origin or its inverse is contractive there (if |A| > 1).

Definition. The complement of the Poincare domain is the Siegel domain.

For n = 1, the Siegel domain reduces to the unit circle \X\ = 1. In the space
C" of eigenvalues, the resonance equation Xs = Xm determines a complex
hypersurface. It is called resonant surface. In the Poincare domain, resonant
surfaces lie discretely. In the Siegel domain, both the resonant and non¬
resonant points are everywhere dense.

B. Formal Linearization

First of all, we consider the problem of the formal normal form of a map¬
ping at a fixed point.

Theorem. If the collection of eigenvalues of a mapping F at a fixed point is

nonresonant, then the mapping x > F(x) can be reduced to its linear part
x i—► Ax by a formal change of variables x i—> Jf’(y) = y + - - - :
§ 25. Normal Form of a Mapping in the Neighborhood of a Fixed Point 193

F = JP-A.

•^j Let H{y) = y + h{y), where h is a homogeneous vector-valued poly¬

nomial of degree r ^ 2. Then

HA- H~x (x) = Ax -1- [h{Ax) — Ah{xf\

where the dots indicate terms of order greater than r. The expression in
square brackets is a homogeneous vector-valued polynomial of degree r.
This polynomial depends on h linearly. The linear operator

Ma : h{x) I—> [h(Ax) — Ah{x)~\

on the space of homogeneous vector-valued polynomials has eigenvalues

Xm — Xs and eigenvectors h{x) = xmes (here, as usual, the vectors ek form
an eigenbasis for A, xm = x• • • x™n, and the xk are coordinates with
respect to the basis {ek}. The eigenvalues of A are assumed to be distinct for
the sake of simplicity.).
Consequently, we obtain the following homological equation in h:

MAh = v.

To solve this equation we have to divide the coefficients of the decomposi¬

tion of v by the numbers Xm — Xs. Hence, in our problem, the resonance
condition takes the form Xs = Xm.
The rest of the proof does not differ from that given for the case of
differential equations in § 22. ^>-

C. Convergence Problems

Poincare’s and Siegel’s theorems can be carried over to the case of discrete
time in the following way.

Poincare’s Theorem. If at a fixed point all eigenvalues of a holomorphie dif-

feomorphism are smaller {or larger) than I in modulus and there are no re¬
sonances, then in the neighborhood of the fixed point the mapping can be
reduced to its linear part by means of a biholomorphic local diffeomorphism.

Siegel’s Theorem. For almost all {in the sense of Lebesgue measure) collec¬
tions of eigenvalues of the linear part of a holomorphie diffeomorphism at a
fixed point, the diffeomorphism is biholomorphically equivalent to its linear part
at the fixed point.

Namely, for a diffeomorphism to be equivalent to its linear part, it is

sufficient that the eigenvalues satisfy the inequalities
 194 5. Normal Forms

\AS - 2m| 5s C\m\_v

for all 5 = 1, . . . , n, \m\ = ^ 2, mk ^ 0. The eigenvalues satisfying

this inequality are called collections of multiplicative type (C, v). The set of
collections A of eigenvalues which are not of multiplicative type (C, v) for
any C has measure zero if v > in - i)/2.
The proof of Poincare’s and Siegel’s theorems can be carried out in
almost the same way as for differential equations. Although Siegel’s theorem
has been known since about 1940, its proof apparently was not published
before the late 1970’s. We give the proof in § 28.

D. The Case of Resonance

To every resonance As = Am there corresponds the resonant vector-valued

monomial xmes (where es is a vector in the eigenbasis, xm = x■ • • x”-
and xk are coordinates with respect to the eigenbasis).

Theorem of Poincare—Dulac. Any formal mapping x * Ax + • • • , where

the matrix of the operator A is diagonal, can be reduced to the normal form
y i-> Ay + w(y) by a formal change of variables x = y + - - - , where the
series w consists of resonant monomials only. If the eigenvalues of the linear
part A are all smaller (or all larger) than 1 in modulus, then the holomorphic
mapping x i—» Ax -P ■ • - can be reduced to a polynomial normal form with
some of the resonant terms by a biholomorphic substitution.

In the case of resonance, Poincare’s method is usually used to reduce a

finite number of terms of the Taylor series of a mapping at a fixed point to
normal form.

Example

We consider a mapping of C1 into itself with fixed point O and eigenvalue A which is
an «th root of 1. Such a mapping can be reduced to

x i—» Ax + cxn+l + <9(|.v|2"+1)

by an appropriate choice of coordinates.

For example, if A — — 1, then the mapping can be reduced to

•VI-* —x + cx3 + C(|x|5).

This formula enables us to study the stability of the fixed point of a real mapping.
Indeed, the square of the mapping assumes the form

x h-► x — 2cx3 + 0(|x|5).

Consequently, if c > 0, then the fixed point O of our mapping is stable.

§ 25. Normal Form of an Equation with Periodic Coefficients 195

Hence, the first few steps of the Poincare method enable us to study the stability
of a fixed point in a case when it is neutral in linear approximation.

§ 26. Normal Form of an Equation with Periodic Coefficients

One version of Poincare’s method of normal forms is the reduction of an

equation with periodic coefficients to a simpler form.

A. Normal Form of a Linear Equation with Periodic Coefficients

We consider a linear equation

x = A(t)x

in a complex phase space, where the complex linear operator A{t): C" —»■ C”
depends 27t-periodically on t.
The monodromy operator is, by definition, the linear operator M: C" —»■ C"
converting the initial condition for t — 0 into the value of the solution with
this initial condition at t = 2n. (The monodromy mapping is defined not
only for linear equations, but also for any equation with periodic coefficients;
in this more general case, the monodromy mapping is usually called the
Poincare return map, or simply the Poincare map.)

Floquet’s Theorem. If the monodromy operator is diagonal and ps - e2nXu are

its eigenvalues, then the original linear equation with periodic coefficients
can be reduced by means of a linear 2n-periodic substitution x = B(t)y to the
equation with constant coefficients:

y =

where A is a diagonal operator with eigenvalues 2S.

■4 We consider the operator converting the initial condition of the original

equation at / = 0 into the value of the solution with this initial condition at
time t. Let us denote this operator by g': C" —> C". We denote by/': C" -> C"
the analogous operator for the equation y = Ay. Then g° = f° = E,
g2n = f2n = M, the monodromy operator (because of our choice of A).
We set B(t) = g‘(f1)~1. The operator B(t) defines the desired substitu¬
tion. ^

Remark. The proof of Floquet’s theorem only uses the representation of the
monodromy operator in the form M = e2KK. Therefore, a periodic change
of variables reduces to an equation with constant coefficients not only a
complex equation with a diagonal monodromy operator, but also every
equation for which the monodromy operator has a logarithm.
196 5. Normal Forms

Every nondegenerate complex linear operator has a logarithm (which

can easily be seen by writing the matrix of the operator in Jordan form).

Corollary 1. Every complex linear equation with 2n-periodic coefficients can

be reduced to an equation with constant coefficients by a 2n-periodic linear
change of variables.

A real linear operator does not always have a real logarithm, even if its
determinant is positive (the determinant of the monodromy operator is
always positive). Indeed, consider, for example, a linear operator on the
plane with eigenvalues (—1, — 2). If this operator is the exponent of another
linear operator, then the eigenvalues of the latter operator are complex but
not complex conjugate. Therefore, our operator on the real plane does not
have a real logarithm.
On the other hand, it is easy to see that the square of a real operator
always has a real logarithm. This leads to the following.

Corollary 2. Every real linear equation with 2n-periodic coefficients can be

reduced to an equation with constant coefficients by a An-periodic linear
change of variables.

It is usually more convenient to use complex reducibility than real re-

ducibility with doubled period.

B. Deduction of the Homological Equation

We consider a linear equation y = Ay with constant coefficients. In this

equation we perform a nonlinear change of coordinates

x = y + h(y, t)

where h is a vector-valued function (or a formal power series in y) with

27r-periodic coefficients.

Lemma. Ifh — 0(yr) (or the series h begins with terms of degree not smaller
than r) and r ^ 2, then

dh dh
x = Ax + — Ax - Ah + — +
.ox ot.

where the dots indicate terms of order greater than r with respect to x.

^ x = (E 4- hy)Ay + ht = (E + hy)A(x — h(x, ?)) + ht +

= Ax + [^Ax — Ah(x, t) -)- h,] + • • • . ►
§ 25. Normal Form of an Equation with Periodic Coefficients 197

Definition. The homological equation associated with an equation y = Ay

with 2?t:-periodic coefficients is the equation

LAh + ht = v

for a vector field h, 27r-periodic in t, where v is a given 27r-periodic vector

field and

(TA/!)(*, t) = 1-1 Ax - Ah(x, t).

ox

We shall also consider the case where h and v are formal series with co¬
efficients 27i-periodic in t.

C. Solution of the Homological Equation

First let v and h be a Taylor-Fourier series:

v(x, o = I h =

The formal solution of the homological equation can be expressed by the

formula

h _m,k,s —_

m’k’s ik + {m,X)-X;

where the lj are the eigenvalues of A.

The resonance condition is as follows:

As = (m. A) + ik,

^ 0, ^,mj ^ 2, —co < k < + oo, 1 ^ s ^ n.

If for given m and s there is no resonance, then the Fourier series

and its t derivative are convergent. Therefore, in the absence of
resonances, the homological equation is solvable in the class of homo¬
geneous polynomials with coefficients 27r-periodic in / and, thus, in the
class of formal power series with coefficients 27i-periodic in /.
On the other hand, if resonance takes place, then the homological equa¬
tion is formally solvable if the Taylor-Fourier series of v does not contain
resonant terms, i.e., if the coefficients vm k s vanish for those terms for which
the resonance condition As = ik -f (m, A) is satisfied.
 198 5. Normal Forms

D. Formal Normal Form

Following the usual method, in the nonresonant case, we can reduce an

equation with 27r-periodic formal coefficients to a linear equation y = A>’
with constant coefficients by a change of variable given by a formal series
in y with coefficients 27t-periodic in t.
In the case of resonance, we reduce the equation to the form

y = Ay + iv(>-, /),

where tr is a formal power series in y with coefficients 27t-periodic in t and

consisting of only some resonant terms. (We note that the resonant terms
of any fixed order in y contain only a finite number of Fourier harmonics,
since the resonance condition As = (m, A) + ik determines k uniquely.)
Usually one normalizes only lower-order terms.

Example

We consider an equation with 27t-periodic coefficients. We assume that the dimension

n of the phase space equals 2 and that both eigenvalues of the monodromy operator
are complex and equal to 1 in modulus.
The linearized complexified equation takes the form

r = i co¬

in an appropriate coordinate system. (As usual, the equation for z is omitted, since it
is conjugate to the one above.) The eigenvalues are A, 2 = ±ko. The resonant terms
in the equation for i are determined from the condition

ik + (/77, — m? — 1)/oj = 0.

If the real number u> is irrational, then k = 0 and ml = m2 + 1. Consequently, the

equation can be reduced to the following time-independent formal normal form:

r = iujz + c, z|z|2 + c 2 | zz |4 -)-

By a true (not formal) change of variable, the equation can be reduced, for example,
to the form

z = iioz + c,z|z|2 + - ■ • ,

where the (27t-periodic) dependence on / has been preserved only in terms of order of
smallness 5 in z (denoted by dots).
We note that in this case every step of the Poincare method reduces to averaging
with respect to t and arg z and that the equation thus obtained is invariant under trans¬
lations of / and rotations of z.
§ 26. Normal Form of an Equation with Periodic Coefficients 199

E. The Case of Commensurability

Let us now assume that in the preceding example that co is rational, co = pjq. In this
case, we obtain from the equation for the resonant terms

k = pr, mx = m2 + 1 — qr.

For the study of the normal form, it is convenient to consider a g-sheeted covering on
the time axis. We note that the integral curves of the linear part of our equation form
a Seifert foliation of type (p, q) (cf., § 21). On the space of the ^-sheeted covering, the
integral curves form a trivial foliation and we can introduce direct product coordinates.
The coordinate on a fiber will be denoted by t{mo62nq). The coordinate £ on the
base is determined from the condition

z = eioj,£-

In this notation, the linear part of our equation takes the form £ = 0. The normal
form is a formal series

£ = iC*c'

independent of t, where k — l = 1 mod q.

In other words, on the base of the ^-sheeted covering, a (formal) equation is obtained
which is invariant under rotations by angle 2n/q.
If instead of a complete formal reduction we restrict ourselves to normalization of
the first few terms of the series, then we obtain the following equation for £ with a
remainder of order q + 1, 27U7-periodic in time:

£ = £a( |{|2) + bp~l + • • •

In this case, every step of the Poincare method reduces to averaging along Seifert’s
foliation. Therefore, the equation thus obtained is invariant under translations of /
and rotations of £ by angles which are multiples of 2tz/q.
A study of the equations thus obtained will be carried out in Chap. 6.

F. Discussion of the Convergence

The Poincare domain for an equation x = Ax + ■ ■ • with periodic co¬

efficients is defined by the following condition: all eigenvalues of the
linearized equation lie in the left half-plane Re A < 0 (or all of them lie
in the right half-plane).
In this domain: (1) the resonance planes {A: As = (m. A) -I- ik} lie dis¬
cretely; (2) in the case of resonance, the normal form contains only a finite
number of terms; (3) Poincare’s series are convergent.
The complement of the Poincare domain makes up the Siegel domain.
In the Siegel domain: (1) the resonance planes form an everywhere dense
set; (2) normal forms may contain infinitely many terms; (3) Poincare’s
series may be divergent.
 200 5. Normal Forms

Nevertheless, for almost all {in the sense of Lebesgue measure) collections
of eigenvalues X of the operator A, in the neighborhood of the null solution,
a holomorphic differential equation x = Ax + • • • 2n-periodic in t can be
reduced to the autonomous normal form x = Ax by a biholomorphic
transformation 2n-periodic in t (Siegel’s theorem for the case of periodic
coefficients).
The proof is as usual, cf., § 28. ^

/
G. The Neighborhood of a Closed Phase Curve

We consider an autonomous differential equation x = v(x) having a periodic

solution and, consequently, a closed phase curve. All of what has been said
about the neighborhood of the zero solution of an equation with periodic
coefficients immediately carries over to this case.
Indeed, in the neighborhood of a closed phase curve, coordinates may
be chosen so that the direction field given by the vector field v will be the
direction field of an equation with periodic coefficients, and the dimension
of the phase space will be reduced by 1 (the coordinate varying along the
phase curve will be called time).

Remark. If the phase space is a manifold, then the neighborhood of a closed

phase curve may turn out to be nondiffeomorphic to the direct product of
the circle with a transversal disk.

Example

The phase space is the Mobius band and the phase curve is the circular axis.
In general, the neighborhood of a circle on a manifold is not a direct
product if and only if the manifold is not orientable and the circle is a
disorienting path. In this case, one has to resort to a two-sheeted covering
of the original circle for the passage to an equation with periodic coefficients.

H. Connection with Poincare Mappings

The theory of normal forms of equations with periodic coefficients could have been
deduced from the theory of normal forms of their Poincare mappings, i.e., normal
forms of diffeomorphisms in the neighborhood of a fixed point. Conversely, the study
of a diffeomorphism in the neighborhood of a fixed point can be reduced to the study
of an equation with periodic coefficients for which the diffeomorphism is the Poincare
mapping.
In the case of finite or even infinite real smoothness, the construction of a differential
equation with periodic coefficients* from a given Poincare mapping does not present

*It is usually not possible to imbed a given mapping in the phase flow of an autonomous
equation (an example is a diffeomorphism of the circle with irrational rotation number, which
is not equivalent diffeomorphically to a rotation, cf., § 11).
§ 26. Normal Form of an Equation with Periodic Coefficients 201

major difficulties. In the analytic or holomorphic case, the situation is more complicated.
This problem is equivalent to the problem of analytic (holomorphic) triviality of
analytic (holomorphic) foliations over a circular ring under the assumption of topolog¬
ical triviality. Although a positive answer follows essentially from the theory of sheaves
and Stein manifolds, as far as this author knows, no proof has been published. (The
author is indebted to V. P. Palamodov and Ju. S. Il’jasenko for an explanation of this
matter.) We shall not go into this theory, especially because the results necessary for
the study of differential equations and diffeomorphisms need not be deduced from
each other, but can be obtained independently, using the same method of proof.

I. The Case of Quasiperiodic Coefficients

Poincare’s method admits a generalization to the case of quasiperiodic

coefficients. Let us consider the equation

x = Ax + v(x, cp),

(p = <x>,

where cp is a point of the /--dimensional torus, co is a constant vector. A:

C" —> C" is a linear operator (independent of <p), and v is a vector field whose
linear part vanishes at x = 0.
We impose the usual conditions of normal incommensurability on the
components of the frequency vector co. In this situation, the resonance
conditions take the form

K = i(k, co) + (m, X),

where k runs through the lattice of integral points of the r-dimensional space,
and m satisfies the usual conditions mp Ss 0, X>p ^ 2.
Let v be analytic (holomorphic) in x and cp of period 2n in cp = {cpx, . . . ,
cpr). Then one can prove the reducibility of the system to the form

y = Ay, cp = co

by an analytic (holomorphic) substitution x = y -\- h(y, cp), 27r-periodic in

cp [E. G. Belaga, On the reducibility of a system of differential equations in
the neighborhood of a quasiperiodic motion, Sov. Math. Dokl. 143, 2 (1962),
255-258.]
This theory is unsatisfactory because of the imperfection of the theory
of linear equations with quasiperiodic coefficients. Although for equations
with periodic coefficients the constancy of the linear part can be achieved
by an appropriate periodic linear transformation of the coordinates, for
equations with quasiperiodic coefficients, the assumption on the indepen¬
dence of A of cp is an essential restriction.
 202 5. Normal Forms

§ 27. Normal Form of the Neighborhood of an Elliptic Curve

Poincare’s theory of normal forms of differential equations in the neighborhood of a

singular point has its analogue in the theory of normal forms of neighborhoods of
elliptic curves on complex surfaces. In this section, we consider this theory briefly. This
theory is an application of methods of the theory of differential equations to analytic
geometry and itself has applications in the theory of differential equations.

A. Elliptic Curves

An elliptic curve is, by definition, a one-dimensional complex manifold homeomorphic

to the torus.

Example

We consider the plane C of a complex variable and two complex numbers (co l5 co2)
whose ratio is not real. We identify every point <p of C with any point obtained from it
by translation by col and co2 (and consequently, with all points cp + k1co1 + k2co2,
where kl and k2 are integers). After this identification, C becomes the elliptic curve

M. - -.
ccqZ + oj2Z

Consequently, the elliptic curve T can be viewed as a parallelogram with sides (ccq, a>2),
in which corresponding points are identified on the opposite sides.
It can be proved that all elliptic curves can be obtained by the construction above
(up to biholomorphic equivalence). This fact is by no means an obvious theorem.
For example, consider the strip 0 ^ Im cp ^ x and glue all points (p, <p -I- 2n and
also points of the boundaries of the strip, identifying a point <p with cp + h + a +
0.5 sin <p for real numbers <p. The manifold thus obtained can be mapped biholo-
morphically onto the quotient manifold C/cOjZ + cn2Z; nevertheless, it is not easy
to prove this. Probably, under usual Diophantine conditions, to1/co2 converges to the
rotation number as t —> 0.
The numbers col and co2 are called the periods of the curve. If we multiply both
periods by the same complex number, we obtain new periods which give an elliptic
curve biholomorphically equivalent to the initial one. Therefore, the periods can always
be chosen so that coj = 2n.
In this case, we can denote the second period by co. We may always assume that
Im co > 0. To different co there correspond generally biholomorphically inequivalent
elliptic curves (more precisely, the curves are inequivalent biholomorphically if the
corresponding lattices cOjZ -I- co2Z do not turn into each other upon multiplication
by a complex number).

Problem*. Prove that the phase curves of the one-dimensional Newton equation with

*The solution of this and the following problems is based on elementary knowledge of the
topology of Riemann surfaces contained in any course on the theory of functions of a complex
variable.
 § 27. Normal Form of the Neighborhood of an Elliptic Curve 203

potential energy of degree 3 or 4 are elliptic curves (if they are considered in a complex
domain).

Hint. The role of the coordinate <p in the plane covering the elliptic curve is played
by the time t of motion on the phase curve, the time being defined by the relation
dt = dxjy (the time is also called an elliptic integral of the jirst kind).

Problem. Let the potential energy be a polynomial of degree 4 with two minima. Prove
that the periods of (not necessarily small) oscillations with the same total energy
coincide in the two wells.

Hint. The integrals of the first kind on any two meridians of the torus coincide.

Problem. Let the potential energy be a polynomial of degree 3 with a local maximum
and minimum. Prove that the period of oscillations in the well is equal to the period
of the motion from infinity to infinity on a noncompact phase curve with the same
total energy.

Remark. Choosing potential energy of degree 3 or 4, we may obtain any elliptic curve.
It follows from results of the preceding problems that an elliptic curve is an algebraic
manifold.

B. Simplest Fiber Bundles over an Elliptic Curve

The simplest surface containing an elliptic curve is the direct product of an elliptic
curve with the complex line. Besides the direct product of a circle with the line, there
is a nontrivial bundle over the circle with fiber equal to the line (the Mobius band);
similarly, besides the direct product, there are other fiber bundles over an elliptic curve
with fiber C.
We consider a fibering of the plane of two complex variables into complex lines.
We shall call the fibers of this bundle vertical lines.
We shall denote by (r, <p) the coordinates in C2, where r is the vertical and <p the
horizontal coordinate. Our fibering C2 —» C assigns the point q> of the horizontal
complex line to the point (r, q>).
Let T be an elliptic curve covered by the horizontal line. The curve T is obtained
from the horizontal <p-axis by identifying points differing by integral multiples of the
periods (oo1, co2).
In the plane C2 we identify those vertical lines whose projections on the horizontal
line differ by integral multiples of the periods. This identification turns C2 into a
fiber bundle over the elliptic curve T. The identification of vertical lines itself can be
carried out in different ways. (Similarly, upon pasting fibers over a circle, out of a
rectangle we may obtain either a cylinder or a Mobius band, depending on how the
vertical lines are glued together.)
The simplest method of pasting is to identify (r, <p) with the points (r, q> + oq)
and (r, <p + a>2). Then we obtain a direct product. The next simplest method of pasting
includes a twisting of the vertical lines being glued together.
 204 5. Normal Forms

Example

Let A be a complex number different from zero and let T be the elliptic curve with
periods (27i, to). In the plane C2 we identify the points with coordinates

(r, tp), (r, tp + 2?r), (Xr, tp + to).

After this identification, C2 turns into a smooth complex surface Z and the fibering
C2 —> C, (r, tp) i ► tp turns into a fiber bundle Z —► T whose base is the elliptic curve T
and whose fiber is C. The equation r = 0 yields an imbedding of T in Z.
The surface Z can be imagined in the following way (in the case of a real X). We
consider the real three-dimensional space foliated by vertical lines with horizontal
plane {tp eC). Consider the strip 0 ^ Im tp < Imco. We glue the vertical planes which
are the boundaries of this strip, by identifying the point (r, tp) in the vertical plane
Im tp = 0 (r is the vertical coordinate) with the point (Xr, tp + to) in the plane Im tp =
Imcn. Moreover, we glue the points differring by 2n in the coordinate tp. We obtain a
fibering over an elliptic curve whose fiber is a line.
To imagine the complex surface Z, we only have to replace real vertical lines by
complex ones.
Topologically, the fiber bundle thus constructed is a direct product. Nevertheless,
from the holomorphic point of view, this bundle is generally nontrivial.

C. Trivial and Nontrivial Fiberings

Theorem. Let X # elkm, k e Z. No neighborhood of the elliptic curve T on the surface

Z described above can be mapped biholomorphically onto a neighborhood of Y in the
direct product.

In the direct product, T can be deformed: for any e the equation r = e defines an
elliptic curve in the direct product. Let Tj be an elliptic curve in the total space Z near
T, which is the zeroth section of the fiber bundle (the equation of T has the form r = 0).
The curve Tj is given by an equation r = f(tp), where f(tp + 27i) = f(tp),f(tp + to) =
Xf(tp). Expanding/in a Fourier series,/ = Xfke'k<p> we find that jke,kw = Xfk. Conse¬
quently, fk = 0 and Tt coincides with T. Hence, our elliptic curve is not deformable
in a fiber bundle with X ^ e‘ka>. gfc-

Problem. Prove that for X = e'ko3 the fiber bundle with the projection Z -> T is a direct
product (trivial holomorphically).

Problem. Prove that the fiber bundles Zx —> T, Z2 -* T given by the complex numbers
Aj, X2 are equivalent biholomorphically if and only if Xx = X2e'km for some integer k.

Remark. The classes of biholomorphically equivalent fiber bundles of this form (called
one-dimensional bundles of degree 0) over a fixed elliptic curve T constitute a group
(where multiplication is multiplication of the numbers A).
It follows from the results of the preceding problems that this group can be identified
naturally with the quotient group of the multiplicative group of complex numbers
modulo the subgroup of numbers of the form e,k<a. The quotient group C*/{e,k<°} itself
§ 27. Normal Form of the Neighborhood of an Elliptic Curve 205

can be mapped biholomorphically onto the original elliptic curve. This group is also
called the Picard group or the Jacobi manifold of F. (These notions are defined for not
only elliptic curves, but also for arbitrary algebraic manifolds and, in the general
situation, they do not coincide with the original manifold.)

Problem. Consider the fiber bundle given by the identifications

(r, q>) ~ (2/, cp + ojJ ~ {X2r, <p + co2)

over an elliptic curve.

Prove that this fiber bundle is biholomorphically equivalent to the fiber bundle with
COx = 2lt, Xx = 1.

Remark. It can be proved that all topologically trivial one-dimensional vector bundles
over an elliptic curve are biholomorphically equivalent to the bundles Z -> T described
above.

D. Topologically Nontrivial Fiber Bundles over an Elliptic Curve

All fibrations described above are topologically trivial (homeomorphic to the direct
product). The index of self-intersection of the zeroth section is an invariant enabling us
to distinguish topologically inequivalent bundles.
Let Mv, M2 be smooth oriented compact submanifolds of an oriented smooth real
manifold M (considering manifolds without boundary). We assume that the dimension
of M equals the sum of the dimensions of Mx and M2 ■ We also assume that Ml and
M2 intersect transversally (i.e., at every point of intersection, the sum of the tangent
spaces of the two submanifolds equals the tangent space of M).
The index of intersection of M1 and M2 in M is, by definition, the number of points
of intersection counting orientation. (A point of intersection is counted with positive
sign if the frame orienting My positively followed by the frame orienting M2 positively
determines a frame orienting M positively.)
Let Mx be an oriented compact smooth submanifold of dimension half that of M.
The index of self-intersection of Ml in M is defined as the index of intersection of Mx
with a manifold M2 obtained from Ml by a small deformation and intersecting M,
transversally. For example, the index of self-intersection of the meridian of a torus is
equal to zero, since the neighboring meridians do not intersect.
It can be proved that the index of self-intersection of Mx in M does not depend on
the choice of M2 if it is obtained from Mx by a small deformation.

Problem. Find the index of self-intersection of the sphere S2 in the space of its tangent
bundle.

Answer. +2. In general, the index of self-intersection of a manifold with its tangent
bundle is equal to the Euler characteristic of the manifold.

Now, over an elliptic curve, we consider the one-dimensional vector bundle Z -*• T
obtained from the fibering C2 -» C by pasting vertical lines (the vertical coordinate is
denoted by r) according to the rule
 206 5. Normal Forms

(r, cp) ~ (r, cp + 27t) — (Xe'^r, cp 4- co),

where p is an integer and X is a complex number different from zero.

Problem. Determine the index of self-intersection of the zeroth section (r = 0) in the

fiber space thus obtained, assuming that Z is oriented as a complex manifold. (The
orientations of complex manifolds are defined so that the index of intersection of
complex planes is always positive: a space with complex coordinates (z,, • • • , z„) is
oriented by the coordinates (Re z,, 1m z,, . . . , . . . , Re z„, Im z„).

Answer, —p if Imcu > 0.

Remark. All one-dimensional vector bundles over an elliptic curve are exhausted by
the bundles above up to biholomorphic equivalence.

E. The Neighborhood of an Elliptic Curve on a Complex Surface

We consider an elliptic curve on a complex surface. The neighborhood of the curve

on the surface determines a one-dimensional vector bundle over the curve: the so-
called normal bundle. The fiber of the normal bundle at a point on the curve is the
quotient space of the tangent space of the surface at this point modulo the subspace
tangent to the curve.
The space of the normal bundle itself is a complex surface. The initial elliptic curve
is imbedded in this surface (as the zeroth section of the bundle).
The problem arises whether a sufficiently small neighborhood of the curve on the
original surface can be mapped biholomorphically onto a neighborhood of it in the
normal bundle. It turns out that this problem is very close to that of the reducibility
of a differential equation (or a smooth mapping) to linear normal form in the neigh¬
borhood of a fixed point, and it can be solved by the same methods.
First, we show that a neighborhood of an elliptic curve on a surface may be impossible
to fiber holomorphically over the curve.

Example

We consider a family of elliptic curves such that neighboring curves of the family are
not equivalent to each other biholomorphically. Such a family may be obtained, for
example, by identifying the points (cp, to), (cp + 2n, co) (cp -I- co, co) in the plane of the
two complex variables (cp, co). Upon identification, the domain Im co > 0 turns into
the union of the elliptic curves co = const. No neighborhood of any of these curves
can be mapped holomorphically onto this curve so that the curve itself remains fixed.
Indeed, if such a mapping existed, we would obtain a biholomorphic mapping
close to the identity mapping of elliptic curves with close distinct co onto each other,
which is impossible.

It turns out that in a certain sense this example is exceptional: the neighborhood
of an elliptic curve imbedded in a complex surface with vanishing index of self-inter¬
section is, genetically, biholomorphically equivalent to a neighborhood of the curve
in the normal bundle (in the same sense as a differential equation is generically equiv-
 § 27. Normal Form of the Neighborhood of an Elliptic Curve 207

alent to a linear equation in the neighborhood of a singular point). The exceptional

character of the example above is connected with the fact that the normal bundle of
each of the elliptic curves in the family constructed above is trivial. (It is a direct product.)

F. Preliminary Normal Form

An elliptic curve can be obtained from an annulus by a holomorphic pasting of the

bounding circles. In exactly the same way, the neighborhood of an elliptic curve on a
surface can be obtained from a neighborhood of an annulus on the surface by pasting
the bounding manifolds holomorphically. These bounding manifolds have real dimen¬
sion 3; the pasting is continued holomorphically to the neighborhood of the boundary.
It turns out that a sufficiently small neighborhood of a biholomorphic image of a
closed annulus on a complex surface can always be mapped biholomorphically onto
a neighborhood of an annulus imbedded in the complex line C in the direct product
C x C.
Like the results on the holomorphic classification of the one-dimensional vector
bundles over an elliptic curve, our result on the neighborhood of an annulus cannot be
proved easily: one needs some techniques from the theory of functions of several
complex variables (sheaves, elliptic partial differential equations, or something sub¬
stituting for them).
We shall not prove this; instead, we assume directly that our surface containing
the elliptic curve can be obtained by pasting from a neighborhood of an annulus by
pasting it in the direct product.
Consequently, we consider a surface whose points are obtained from the points
(r, cp) of the plane of two complex variables by the pastings

/ r\ / r \ / rA(r, cp) \

V<p) v<? + 2n) V'p + 03 + rB(r’ <py ’

where the functions A and B are 27r-periodic in cp and holomorphic in the neighborhood
of the real cp-axis.
Here, one obtains, the annulus from the strip 0 ^ Im <p ^ Im oj in the complex
cp-axis by the pasting (0, cp) ~ (0, cp + 27t); r and cp are coordinates in the direct
product.
The pair (A, B) of functions yielding the pasting determines a neighborhood. The
form of the functions A and B can be altered by an appropriate choice of the coordinates
(r, <p). We attempt to choose these coordinates so that the functions A and B become
the simplest possible.
First, we consider the linear change of coordinates rnew = C(tp)r, where the function
C is holomorphic in the strip 0 < Imcp ^ Imcu of the cp-axis, has period 2n, and does
not vanish in the strip.

Theorem. The function C defining the linear change of the vertical coordinate can be
chosen so that in the identification relation in the new coordinates the function A (0, cp)
takes the form Xe‘p<p (where p is the integer equal to the negative of the index of self¬
intersection of the elliptic curve r = 0 in the surface under consideration).

The function A(0, cp) defines the normal bundle of the curve r = 0 on our surface.
This bundle is biholomorphically equivalent to the bundle obtained by the pasting
 208 5. Normal Forms

(r, (p) ~ (r, <p + 2n) ~ (Xeipv\ cp + co)

(cf., the Remark in § 27E). The linear change of the variable r reducing the pasting of
the normal bundle to this canonical form leads to the form of A(0, cp) given above,

Definition. The preliminary normal form of the neighborhood of an elliptic curve on a

surface where the curve has vanishing index of self-intersection is the pasting

/A ^ / rX( 1 + ra(r, cp)) \ / r \

\<p) \cp + co + rb(r, <p)J \cp + 271/

where a and b are functions 27i-periodic in cp and holomorphic in the neighborhood of

the real <p-axis. X is a nonzero complex number.

In the following, we shall not always indicate identification of points differring only
by 2n in the coordinate cp, because the functions we encounter are 27r-periodic and cp
can be assumed to belong to the cylinder C mod 2n.

G. Formal Normal Form

Definition. A pair of numbers (A, co) is said to be resonant if Xn = e‘kaj for some integers
n and k not vanishing simultaneously.

Theorem. The resonant pairs form an everywhere dense set in the space of all pairs of
complex numbers.

This follows from the fact that the set of numbers of the form i{{kjn)co + (m/n)2n)
(where k and m are integers and n is a natural number) is everywhere dense in the
complex plane. ►

Theorem. A pair (A, oj) is resonant ij and only if the bundle corresponding to the pasting
(r, cp) ~ (r, + 2n) ~ (Xr, cp + to) is trivial over some cyclic n-sheeted covering of the
original elliptic curve.

^ If A" = e,k<p, then (r, cp) ~ (e‘kcor, cp + noo) and, consequently, the bundle over
C/27tZ + nooZ is trivial (cf., § 27C). The converse can be proved analogously. ►

Definition. A formal pasting is a “mapping”

rA{r,cp) \
W \cp + co + rB(r, cp))'

where A and B are formal power series in r with coefficients analytic on the real <p-axis
and 27t-periodic in cp and A(0, cp) =£ 0.
A formal change of variables is a “mapping”

A / rC(r,<p) \
cp) \cp + rD(r, cp))’
§ 27. Normal Form of the Neighborhood of an Elliptic Curve 209

where C and D are formal power series in r with coefficients analytic in the strip 0 C
Im cp < Im o) of the complex <p-axis and 27r-periodic in cp and C(0, <p) ^ 0.
A formal change of variables g acts on a formal pasting/according to the formula
/^jo/o/1- (The right-hand side is defined by a natural substitution of power series
and is itself a formal pasting.)

Theorem. If a pair (A, to) is nonresonant, then every formal pasting

+ ra^' ^ \
\<p) \<P + oi + rb(r, <p)j

can be reduced to the linear normal form

fW
\<pj )
\<p + <*>/

by a formal change of variables.

We shall successively annihilate the terms of degree 1,2, ... with respect to r in
ra and rb. For this, as usual, we need to solve a linear homological equation. We write
the equation for the normalization of terms of degree n.

Lemma. Consider the equation

Anu(q> + co) — u(<p) = v(q>)

in u, where v is a 2n-periodic function analytic in the strip a sg Im <p ^ ft. If t = Im to

> 0, A A 0, and A" A e‘ka> for any integer k, then the equation has a 2n-periodic solution u
analytic in the strip a ^ Im cp ^ /? + x.

Let

<<P) = Luke‘\ v(cp) = Y,vkeikr

Then uk = vk/(Aneik(a - 1).

As k -» + oo, |uk| can be estimated from above by a quantity on the order of ek(a-£)
and eik<a converges to zero. Therefore, |wk| can be estimated from above by a quantity
on the order of ek(a~£).
As k -* — oo, |uk| can be estimated from above by a quantity on the order of
e_ltl(^+£:) and |e'k“>| increases as elfcl£ (t = Imcn > 0). Consequently, |«k| can be estimated
from above by e-l*l<0+»+«>. This implies the convergence of the Fourier series of u in
the neighborhood of the strip a ^ Im q> ^ /? + ?•►
Let ra — rnan((p) + • • • , rb = t^bjyp) + • - • , where the dots indicate terms of
degree greater than n.
We perform a formal change of variables with

C(r, <p) = 1 + r”Cn((p), rD(r, cp) = rnDn{(p).

A direct substitution shows that after the change of variables the coefficients of r" in
ra and rb take the form
 210 5. Normal Forms

a„(<p) = a„(<p) + 2nCn(<p + to) - C„(cp),

~bn((p) = b„(tp) + knDn(tp + to) - Dn(tp).

We determine Cn and Dn from the equations an = 0, bn — 0. By the previous lemma,

these equations have solutions analytic in the strip 0 < Im tp ^ x. We have constructed
a formal change of variables after which the degree of lowest-order terms in ra and
rb increases. Repeating this construction for n = 1, 2, . . . , we obtain a formal change
of variables after which ra and rb vanish completely. ^

H. Analytic Normal Form

Definition. A pair (2, to) of complex numbers, where Imco # 0, 2 ^ 0, is said to be

normal if there exist constants C > 0, v > 0 such that

|2V‘“ - 1| > C(\n\ + |&|rv

for all integers k and n (n ^ 0).

It is easy to prove the following theorems.

Theorem. For every fixed to, the nonnormal pairs form an everywhere dense set of Lebesgue
measure 0.

Theorem. If (2, to) is a normal pair, then every holomorphic pasting

/r\ / r2(l + ra(r,<p)) \

\<p) V<P + Ctf + rb(r, (p)J

reduces to the linear normal form (r, tp) i—► (r2, (p + to) by a holomorphic change of
variables.

•4 The proof is analogous to that of Siegel’s theorem given in § 28.

We translate this theorem into the language of imbeddings of elliptic curves.

Definition. A holomorphic vector bundle £ is said to be rigid if for every imbedding of

its base in a complex manifold such that the normal bundle is £, a sufficiently small
neighborhood of the base imbedded in the manifold can be mapped biholomorphically
onto a neighborhood of the zeroth section of the bundle

In this terminology, our theorem can be formulated in the following way.

Corollary. In the sense of Lebesgue measure, almost all one-dimensional vector bundles
of degree 0 over an elliptic curve are rigid.

Remark. For certain nonresonant bundles in which the pairs (2, to) are nonnormal, the
formal series reducing the pasting to normal form may diverge. These nonnormal pairs
(2, to) constitute an everywhere dense set of measure zero. This problem will be dis¬
cussed in more detail in § 36.
§ 27. Normal Form of the Neighborhood of an Elliptic Curve 211

I. Negative Neighborhoods

Let us consider the case where the index of self-intersection of the elliptic curve on the
surface is different from zero. If the index is negative, then the curve cannot be deformed
in the class of holomorphic curves. Indeed, otherwise the deformed curve would
intersect the original curve with a positive index of intersection (since both curves are
complex).
Consequently, a curve with negative index of self-intersection lies isolated on the
surface. Such a curve is called an exceptional curve and its neighborhood a negative
neighborhood.

Theorem (Grauert). The normal bundle of an exceptional curve is always rigid, i.e., the
neighborhood of a curve with negative index of self-intersection on a complex surface is
defined by the normal bundle of the curve {up to biholomorphic equivalence').

We outline a simple proof of this theorem for the case of an elliptic curve.
We begin with the preliminary normal form of the pasting

(r\ = /rXeip<p{\ + ra(r, <p))\

\<pj V <p + 03 + <p) )

We assume that the terms of degree in r smaller than n are already annihilated in
ra and rb, i.e., that

ra = r"an{(p) + - - • , rb = r"bn((p) + • • •.

We perform the following formal change of variables:

9ir, (p) = (r(l + r"Cn{q>))), cp + r"D„(<p).

After this change of variables (i.e., for the pasting g o fo g~l), the coefficients of r"
in ra and rb have the form

dn(<p) = an{(p) + X" e'pn,p Cn{<p + eo) - C„(q>) - ipD„{(p),

b„{cp) = bn{cp) + Xne^Dn{q> + oi) - Dfcp).

We make b„ and <5„ vanish. To this end, we first determine Dn from the second and
then C„ from the first equation. In both cases we have to solve a homological equation
of the form

Xne'pn‘pu{(p + a>) — u{q>) = v(<p)

with respect to the unknown 27r-periodic function u with the known 27r-periodic function
v.
212 5. Normal Forms

J. Study of the Homological Equation

We consider the Fourier series expansions of the unkown and known functions:

« = v = Y.vkeikr

For the Fourier coefficients, we obtain the equations

re^~^uk_pn -uk = vk.

In principle, these equations enable us to calculate successively all unknown coeffi¬

cients uk from the first pn coefficients. However, the formal Fourier series which one
obtains in this way is not always convergent. It turns out that the negativity of the
index of self-intersection of the original elliptic curve on the surface (i.e., the positivity
of the number p) guarantees convergence.
Indeed, let us first consider a homogeneous equation, i.e., we assume that all vk are
equal to zero.
Our equation connects the values of uk with k on an arithmetic progression with
step pn. From this progression we calculate all values of uk with such k in terms of
one of them. We have to successively multiply numbers of the form A"e‘ik~pn)“, where
k belongs to our progression. The logarithms of these numbers form an arithmetic
progression with difference ipnoj. Consequently, the sums of the logarithms constitute
a sequence of the form

ocs2 + fis + y,

where 5 is the index of a term in the sequence and 2a = ipna>.

If p > 0 and Imco > 0, then Rea < 0. In this case, the sequence \eas +/,i+y| con¬
verges to zero rapidly as 5 —> + do or 5 —» — do. It follows that for p > 0, the homoge¬
neous homological equation has pn linearly independent solutions rapidly decreasing
as | A: | —» 00.
Now we shall solve the nonhomogeneous equation. Let us first assume that only
one of the Fourier coefficients of the known function is different from zero, say vm.
To the left of m, we set uh — 0. For k ^ m, we determine uk from the equation.
Consequently, to the right of m, the coefficient uk will coincide with one of the solutions
of the homogeneous equation, and thus, will decrease as \eas |.
In the general case, the solution of the nonhomogeneous equation is constructed
as a linear combination of the solutions constructed above with coefficients vk. Con¬
vergence is ensured by the condition Rea < 0, i.e., the negativity of the index of self¬
intersection of the original elliptic curve on the surface.
Performing the estimates outlined here in detail, we can see the solvability of the
homological equation for a negative index of self-intersection (i.e., if p is positive). By
the same token, it is proved that a negative normal bundle of an elliptic curve on a surface
is formally rigid. A more accurate analysis of our construction proves the analytical
rigidity (i.e., Grauert’s theorem) as well: the proof of convergence here is simpler than
in the case p = 0 studied in § 27G and § 27H insofar as Poincare’s theorem is simpler
than Siegel’s theorem (§ 28). ^
§ 27. Normal Form of the Neighborhood of an Elliptic Curve 213

K. Positive Neighborhoods

Let us assume that the index of self-intersection of the elliptic curve on the surface is
positive. In this case, the homological equation studied in the preceding section is, in
general, unsolvable, since |e«2+/Js+y| increases as |j| -» oo. This means that not only
can the neighborhood of an elliptic curve with positive index of self-intersection on a
general complex surface not be mapped biholomorphically onto a neighborhood of
this curve in the normal bundle, but also such a mapping is impossible on the level of
2-jets (i.e., if we neglect terms of order 3 with respect to the distance from the curve).
The neighborhood of an elliptic curve with positive index of self-intersection is said to
be positive.
According to what has been said above, a positive neighborhood of an elliptic curve
has to have moduli and even functional moduli: the “normal form” of the neighborhood
has to contain arbitrary functions (and even, apparently, functions of two variables or
germs of functions of two variables at several points).
While a curve with negative index of self-intersection lies isolated on the surface,
an elliptic curve with positive index of self-intersection can always be deformed.

Theorem (Special Case of the Riemann-Roch Theorem). If the index of self-intersection

of an elliptic curve is equal to p on a surface, then the normal bundle has p linearly indepen¬
dent sections.

-4 The problem reduces to a homogeneous homological equation of the form

u(<p + to) — Xetptpu((p)

which has p linearly independent solutions, as we have seen in § 27J. ►

Passing to terms of higher order with respect to the distance from the elliptic curve,
we see that there exists a /(-parameter deformation of the curve in its neighborhood.
From this it follows, among other things, that the neighborhood of an elliptic curve
on a surface where the curve has a positive index of self-intersection does not admit,
as a rule, Fiber structures over the curve. Indeed, upon deformation, the complex
structure of an elliptic curve changes generically. Therefore, generically we find, among
nearby deformed curves, curves not admitting a biholomorphic mapping onto the
original curve.
In the study of the passage of differential equations through resonance (§ 36), we
encounter only neighborhoods of elliptic curves on surfaces where they have vanishing
index of self-intersection.

L. Elliptic Curve in Space

Much of what has been said about the neighborhood of an elliptic curve on a surface
can be carried over to the case of an elliptic curve in a multidimensional space. To
that end, the variable r has to be considered multidimensional in the formulas above.
Vector bundles of an arbitrary dimension over an elliptic curve can be described by
pastings

(r, tp) ~ (r, <p -t- 2t0 ~ (A(<p)r, <p + cu),

 214 5. Normal Forms

where A(cp) is a linear operator in Jordan normal form with eigenvalues of the form
Xeip<p.
A bundle is said to be negative (nonpositive, zero) if all numbers p are positive
(nonnegative, zero).
We assume that the normal bundle of our elliptic curve is negative. Then the neigh¬
borhood of the curve in a manifold can be mapped biholomorphically onto its neigh¬
borhood in the normal bundle (Grauert’s theorem), i.e., the normal bundle is rigid.
In the class of zero normal bundles, rigidity is violated only with probability zero.*
The condition of resonance takes the form As = X"e'ka>, where k is an integer, A" =
't'11 • • • K” m = dim nj > > 2.
A nonresonant bundle is formally rigid. For true holomorphic rigidity, the following
inequality (of (C, v)-normality) is sufficient:

\X"eik“ - Xs\ > C{\n\ + |/c|)-v, \n\ = n, + ■■■+ nm

for all n ^ 0, £".■ > 2 and the integral k. The measure of the vectors X which are not
(C, v)-normal for any (C, v) > 0 is equal to zero.
Rigidity (apparently) takes place with probability 1 for nonpositive bundles as well.
Structures of neighborhoods of curves of genus greater than 1 have not been studied
very much, except the case where the normal bundle is negative and, consequently,
rigid according to Grauert’s theorem.

§ 28. Proof of Siegel’s Theorem

In this section, we prove the theorem on the holomorphic local equivalence of a mapping
and its linear part at a fixed point.

A. Formulation of the Theorem

Definition. An n-tuple (A:, . . . , Xn) e C" has multiplicative type (C, v) if

|AS - Ak| ^ C\k\~\ |*| = *, + ••• + A* = A*‘ • - ■ A*"

for any .s and any vector k with nonnegative integral components with \k \ larger than 1
(C > 0, v > 0).

Theorem. We assume that in the neighborhood of the fixed point O in Cn, the collection
of eigenvalues of the linear part of a holomorphic mapping has multiplicative type (C, v).
Then in some neighborhood of O, the mapping is biholomorphically equivalent to its
linear part.

Let A be a biholomorphic mapping leaving O fixed and defined in the neighborhood

of O e C". Let the linear operator A be the linear part A at O. It is claimed that a dif-

* For a proof, see Yu. S. Ilyashenko, A. S. Pyartly, Neighborhoods of zero degree of imbedded
complex tori, Trudy Seminara im. I. G. Petrouskogo 5 (1979), 85-95.
§ 28. Proof of Siegel’s Theorem 215

feomorphism H exists biholomorphic in the neighborhood of O leaving O fixed and

such that H o A o //-1 = A in some neighborhood of O.
We shall prove this theorem in the case where all eigenvalues Xs of A are distinct.
In this case we may choose the coordinate system so that the matrix of the operator
A is diagonal. We fix such a coordinate system.

B. Construction of the Change of Coordinates H

We write the given mapping A and substitution H in the form

A(z) = A z + a(z), H{z) = z + h(z),

where the Taylor series of a and h at zero do not contain terms of degree 0 or 1. We
write the mapping H o A o H~l calculating the terms of zeroth and first degree with
respect to h and a and obtain

(Ho A o H~l)(z) = Az + [a(z) — Ah(z) + h(Az)~\ T [/z])(z),

where the remainder R has second order of smallness with respect to a and h in a sense
which will be defined precisely later. We have enclosed the arguments of R in square
brackets in order to emphasize that the operator acts on functions rather than their
values at the point z.
We consider the following homological equation with respect to h :

A h(z) — h(Az) = a(z).

Here the Taylor series of the known vector-valued function a and the unknown
function h do not have constant or linear terms. In the class of such series, the equation
can be solved uniquely, since the collection of eigenvalues is nonresonant.
In § 28C we shall prove that the series thus obtained are convergent if the collection
of eigenvalues has multiplicative type (C, v) for some positive C and v. We denote by
U the operator converting the right-hand side a of the homological equation into its
solution h = £/([a]).
By induction we define functions as, hs by the formulas

K = as+i = [AJ)

beginning with a0 = a.
We construct the mappings H0, Hx, ... defined by the formulas

Hs(z) = z + hs(z).

The desired change of coordinates is given by the formula

H = lim Hs o • • • o //j o Hq

which will be proved below.

 216 5. Normal Forms

C. Study of the Homological Equation

We assume that the Taylor series of the right-hand side and the solution of the homo-
logical equation

Ah(z) — h{Az) = a{z)

do not have constant or linear terms. We set \z\ = max|zy|.

Lemma 1. Let the collection of eigenvalues of the diagonal linear operator A have multi¬
plicative type (C, v). Assume that the right-hand side a of the homological equation is
continuous is the polydisk \zj\ ^ r and holomorphic inside this polydisk.
Then the homological equation has a solution h holomorphic inside the polydisk. For
every 5 such that 0 < <5 < j, the inequality

max \h(z)\ ^ max |<2(z)|/<5“

|z|=Sre "‘1

is satisfied, where the positive constant a = a(A) does not depend on a or r.

^ We expand a and h in Taylor series and denote the coefficients of zkes by ask and
hsk. Then hsk = asJ{Xs — Xk). We estimate the numerators using the Cauchy inequality
for the coefficients of a Taylor series and the denominators using the fact that {As} is
of type (C, v).
Let maX|z|^r|a(z)| = M. According to the Cauchy inequality, we have |a£| ^ M/rw.
Consequently, |A£| MC~l |/c|v/r|k|. Let us estimate the Taylor sum £hskzk. We con¬
sider the terms of degree |A:| = p. Their number does not exceed cx{n)p"~l and, there-
fore, \Y,\k\=PKzk\ ^ Mc2pm\(z/r)k\, where c2 = cJC and m = v + n — 1.
The function xme~x has a maximum (m/e)m and, therefore, pme~3P12 ^ c3d~m, where
c3 — (2rn/e)m. Consequently, for |z| ^ re~d, we have

\h\ ^ Mc35~m £ e-"*2 = ~C^ "2, \h\ < A/c4<5_(m+1),

P= 2 e e

where c4 = 4c2c3 is independent of a, r, and S.

In what follows, in addition to an estimate of h, we need an estimate of the function
h o A defined by the relation

(h o A)(z) = h(\z).

Lemma 2. Under the conditions of Lemma 1, we have

max |/i(Az)| max |a(z)|/<5“'°,

\z\^re~* \z\^r

where the positive constant a0 = a0(A) does not depend on 3, a, or r.

We begin with the following remark.

Let {2} have multiplicative type (C, v). Then a constant C0 exists, independent of k
such that
§ 28. Proof of Siegel’s Theorem 217

\*, - ^| s* Colkl-'l^l
for all s = 1, . . . , n and for all vectors k with nonnegative integral components whose
sum |k| is not smaller than 2.
We denote max |AS| by p. For |2.k| sj 2p we may take C0 = C/2p. For |2k| > 2u we
may take C0 =
Using this remark we obtain the following estimate for the Taylor series:

\h(Az)\ < YiMCo1\k\’\Xk\-1\Xkzk/rk\.

The remaining estimates are the same as in the proof of Lemma 1. ►

D. Order of Operators

For the following estimates, it is convenient to introduce some new notation. Let f be
a function continuous in the polydisk |z| ^ r, holomorphic at the interior points, and
vanishing at the center of the polydisk.
For such functions, we introduce the norm

\m
sup
Osg |z|< r

Example

The function /(z) = ez has the norm |e| independent of the radius of the polydisk.

Remark. The || ||r-norm is convenient because it is invariant with respect to changes of

scale: for every dilation coefficient x, we have

ll*/°*-1IL = ll/ll,-
The values of the function f may not only be numbers but elements of a normed
space, for example, vectors, matrices, etc.
Let <1> be an operator acting on functions of the class described above*. Let d, a,
and p be positive numbers and let 0 < r < 1.

Definition. The operator <t> has order (d\ a\P) if for every 5 in the interval (0, 1/2) and
every r in (0, 1),

ll<i>([/])IL-'
provided that ||/||r ^ <5/

We shall write this relation in the form 0([/]) -3 fd(oc\P) or more briefly, <£([/]) -3
fd.

* We shall denote by the same letter operators acting on functions from classes with distinct
r under the condition that they coincide as operators on the space of germs of functions. This is
the same as in ordinary calculus when the notation of sine is not changed when its domain is
changed.
 218 5. Normal Forms

An operator has order d if constants a and /? exist such that it has order (rf; oc|/J).
[It is essential that a and /? are independent of/, r e (0, 1), and 5 e (0, 1/2)].

Examples

1. We consider the operator converting the right-hand side a of the homological

equation into its solution h. This operator has order 1 if As is of type (C, v). Indeed,
the necessary inequality is furnished by Lemma 1.
In exactly the same way, it follows from Lemma 2 that the operator converting
the right-hand side a of the homological equation into the function h o A has order
1 : h -3 a, h o A -3 a.

2. We consider the local diffeomorphism H, H{z) = z + h(z). We write the inverse

diffeomorphism in the form //~‘(z) = z — g(z). Let us now consider the operator
G converting h into g.
The operator G has order 1, i.e., g -3 h.

First, we note that the Cauchy estimate implies the following inequality:

dht Pll, (1)

dzj 1 - e~s'2

for \z\ ^ re~dl2.

If ||/j||r < de and p is sufficiently large, the right-hand side of Eq. (1) is arbitrarily
small. Now g is constructed as the limit of the following iterations:

gs+1 = h(z - gfz)), g0 = 0.

The convergence for |z| ^ re~s and the estimate g -3 h follow easily from theorems on
contraction mappings. ►

Example

3. In the notation of Example 2, we have

h — g -3 h2.

Indeed, from the definition of the function g, it follow that

h{z) — g(z) = h(z) - h(z - g(z)).

Using Eq. (1) and the estimate (obtained above)

Mr,- < IH|r<5'3,

we see that

\h(z) - g(z)| < C|H|r(l -

for IzI ^ re d.
§28. Proof of Siegel’s Theorem 219

We note that in our notation 2/-9 f,f2 -3 /; if j\ -3 f2 and/2 -3 f3, then/, -3 f3.
We extend our notation to operators of several functions. Let the operator E
convert a pair of functions t], £ into the function £. Let <p be a polynomial. We write

£ -3 (pin, £)

if positive constants (a; /?,, /32) exist such that for any <5 in the interval (0, and any
r in (0, 1), we have the inequality

l|s(M. COIL- < (PiWnl, ||C||r)5-,

provided that ]|t7||r ^ 6P', ||£||r ^ r)^. Here the constants a and do not depend on 17,
£, r e (0, 1) or <5 e (0, J). If tj -5 i/^er, t) then £ -3 (p(ij/(cr, r)£).

Example

4. ILc define the operator E by the formula

£(z) = rjiz - £(z)) - tt(z).

We have £ -3 rjC-

This can be proved by means of inequality (1) which we have used in Examples 2
and 3. ►

E. Estimate of the Remainder

We explicitly write out the remainder R defined in section B. We introduce the notation

H(z) = z + h(z), H~1(z) = z - g(z).

By definition,

R(z) = (Ho A o H~x)(z) — A(z) — [a(z) — Ah(z) + /z(Az)].

We write R in the form R = /?, + R2 + R3, where

Rfz) = A(h(z) - g(z)), R2(z) = a(z - g(z)) - a(z),

R3(z) = h(Az - Ag(z) + a(z - g(z))) - h(Az).

To simplify our subsequent estimates, we represent R in the form of an operator of

three arguments a, h, and u = h o A.
We introduce the operators

G, G([/z]) = g, E, E([oc], 0])(z) = a(z - g(z)) - a(z).

In this notation, we have

 220 5. Normal Forms

*i(M) = A(h - G([/z])),

^2(ML M) = S(W, g([a])),

/?3([w], [a], [h]) = E([u], |>]),

where v(z) = g(z) — A_1a(z — g(z)).

The substitution u = h o A transforms the operator /?, + R2 + R3 into the
remainder i?([<2], [/z]) which is what we are interested in. Let h -3 id (id is the identical
mapping; the condition means that the derivative of h is small).

Estimate 1. The following estimates hold.

^i(W) ~3 hl, M) -3 ah, V?3([«], [a], [/z]) -3 u(h + a).

-^j The estimate Rx -3 /z2 has been proved in Example 3 of § 28D and the inequality
E([a], [gr]) -3 ag in Example 4. According to Example 2, we have G([/?]) -3 h, and,
therefore, /?2([a], [/z]) -3 ah.
From the estimates g -3 h, we obtain v -3 h + a. Consequently, according to the
estimate of the operator E from Example 4, Ri -3 u{h + a).

Estimate 2. Let U be the operator solving the homological equation. The operator
given by the formula = 2?([a], C/([a])) has order 2.

By Lemmas 1,2, and 3 of § 28C, we have h -3 a, h o A -3 a, where h = U(fa\).

Comparing this with Estimate 1, we obtain

*i(t/(M)) -3 a2, *2(0], £/(!>])) -3 *2,

*3(C((>]) ° A, [a], £/([>])) -3 a2.

F. Convergence of the Approximations

The conclusion of the proof of Siegel’s theorem is exactly the same as the estimates of
§ 12.
We choose the following number sequences:

<50,5, = dP,d2 = Sf2, ... ;

M0 = dN0, Mi = Mq12, ...,Ms= M2!2 = <5" . . . ;

r0, r, = e~s°r0, r2 = e-a‘r,,-

These sequences are determined by the choice of <50, N, and r0.

Let <50 be so small that all rs are larger than r0/2. We describe the choice of N.
According to Estimate 2, there exist constants a and /J such that

II*([«], c/(M))IU- < IML2*_“

provided that ML < <5*
§ 28. Proof of Siegel’s Theorem 221

Let as+l = i?([as], £/([as])). We assume that ^ Ms = <5SN. Thenfor N > ft,
the preceding inequality can be applied with <5 = 6S and we obtain

ik+1il, ^ = 3™~a-

If N > 2a, then the right-hand side does not exceed Ms+l = S2N/2. Therefore, we fix
N > (P, 2a). If ||a0||r0 ^ Mo = then < Ms = <5* for all s.
Finally, we choose r0. By assumption, the initial function a0 = a has a root of order
at least 2 at the origin. Consequently,

\a{z)\ ^ K\z\2

in some neighborhood of the point z = 0. This implies that

IKIIr0 < Kr0.

Hence the condition ||«0||ro <5q *s satisfied for sufficiently small r0. We fix such an
r0. Now all numbers ds, Ms, and rs are defined. The inequalities ||as||r < Ms are satisfied
for all 5. They imply estimates for hs. Therefore, the products Hs o ■ ■ ■ o Hl are deter¬
mined for |z| ^ rj2 and converge to a limit H ass -» oo. It is easy to verify that for the
limit diffeomorphism, we have H o A o H~l = A. ►
Chapter 6

Local Bifurcation Theory

The word bifurcation means division into two and is used in a wide sense
to indicate every qualitative topological metamorphosis of a picture under
the variation of parameters on which the object being studied depends. The
objects can be diverse: for example, real or complex curves or surfaces,
functions or mappings, manifolds or fiber bundles, vector fields or equations,
differential or integral.
If an object depends on parameters, we speak of a family. If we are
interested in a family locally, i.e., in small variations of the parameters in the
neighborhood of fixed values, then we speak of deformations of the object
corresponding to these values of the parameters.
It turns out that in many cases the study of all possible deformations
reduces to that of a single one from which all others can be obtained. In
some sense, such a deformation is the richest; it has to yield all possible
bifurcations of the object. It is called a versal deformation.
In this chapter, we mainly study bifurcations and versal deformations of
phase portraits of dynamical systems in the neighborhood of equilibrium
positions and closed trajectories.
For more details on nonlocal bifurcations, see “Bifurcation theory” (V. I.
Arnold, V. S. Afraimovich, Ju. S. Iljashenko, L. P. Shilnikov, eds.), in:
Modern Problems in Mathematics, Fundamental Directions, Dynamical Systems,
Vol. 5, Moscow, VINITI, 1986 (Springer translation. Encyclopaedia of
Mathematical Sciences, 1988). See also the survey “Ordinary differential
equations” (Arnold, Iljashenko) in the same series of surveys (Vol. I,
Moscow, VINITI, 1985), and the survey “Ergodic theory of smooth dy¬
namical systems” (Ja G. Sinai, Ja. B. Pesin, L. A. Bunimovich, M. V.
Jakobson, eds.), Vol. 2, Moscow, VINITI, 1985.

§ 29. Families and Deformations

In this section, we discuss general “heuristic” arguments on which bifurca¬

tion theory is based. These arguments are essentially due to Poincare.
 § 29. Families and Deformations 223

A. Generic Cases and Singular Cases of Small Codimension

In the study of any kind of analytic objects (for example, differential equa¬
tions, boundary value problems or optimazation problems), one can usually
identify the generic cases. For example, the nodal, focal, and saddle points
are generic among the singular points of a vector field in the plane while, say,
the centers are destroyed by an arbitrarily small perturbation of the field.
The study of generic cases is always a primary problem in the analysis
of the phenomena and processes described by a given mathematical model.
Indeed, by an arbitrarily small change in the model, a nongeneric case may
turn into a generic case; on the other hand, the parameters of the model
are usually determined only approximately.
Nevertheless, there are instances in which it is necessary to study non¬
generic cases. Let us assume we do not study an individual object (say, a
vector field), but a whole family whose objects depend on a number of
parameters.
In order to visualize the situation more clearly, we consider a function
space whose points are the objects themselves (say, the space of all vector
fields). The nongeneric cases correspond to some hypersurface of codimen¬
sion 1 in the space. A point can be moved by an arbitrarily small shift off the
hypersurface to the domain of generic cases. The hypersurfaces of singular
cases form the boundaries of the domains of the generic cases (Fig. 105).
A family with k parameters is represented by a k-dimensional manifold in
our function space. For example, a one-parameter family is a curve in the
function space (the bold line in Fig. 105).
A curve in our function space may intersect a hypersurface of singular
cases. If this intersection occurs at “nonzero angle” (transversally), then it
is preserved under a small perturbation of the family: every nearby curve
intersects the hypersurface of singular points at some nearby point (the
nonbold line in Fig. 105).
Consequently, although every individual member of the family can be
made generic by an arbitrarily small perturbation, it is impossible to achieve
the condition that all members of the family be generic at the same time:
by a deformation of the family, the nongeneric case can be avoided for
every fixed value of the parameter, but for some nearby value nongenericity
occurs just as well.
224 6. Local Bifurcation Theory

The hypersurfaces of singular cases in our function space have, in general,

their own singularities (for example, the intersection of two hypersurfaces,
which corresponds to the simultaneous occurrence of two degeneracies
[cf.. Fig. 105]. In the study of generic one-parameter families, such singu¬
larities of hypersurfaces of singular cases can be ignored. Indeed, the set of
all such singularities has codimension not smaller than 2 in the function
space. Therefore, the curve in the function space can be moved by means
of an arbitrarily small perturbation off these singularities, so that it will
intersect the hypersurfaces of singular cases only at its generic points. Hence,
in a generic one-parameter family, the only unremovable degeneracies we
may encounter are the simplest ones corresponding to nonsingular points
of a hypersurface of singular cases. Such degeneracies are called degeneracies
of codimension 1. The study of degeneracies of codimension 1 enables us to
pass continuously from any generic point of the function space to any other
generic point, since the functional space is divided only by sets whose
codimension is not greater than 1.
At passage, in general, we have to intersect surfaces of degeneracies of
codimension 1. The study of singularities of codimension 1 enables us to
describe bifurcations occurring at the intersections of these surfaces.
In the study of generic ^-parameter families, the only unremovable
degeneracies are those of codimension not exceeding k. All other degenerate
objects form a set of codimension greater than k in the function space,
and we can get rid of them by an arbitrarily small deformation of the k-
parameter family.
The larger the codimension of degeneracy, the more difficult it is to
study the degeneracy and the less useful is its study (as a rule). A study of
singularities of large codimension k is reasonable only if we are interested
in the ^-parameter family rather than the individual object. Then the natural
object of study is not the individual object (say, a vector Field with a compli¬
cated singular point), but a family so large that the singularity of the type
under consideration does not disappear under a small deformation of the
family.
This simple argument of Poincare shows the futility of such a large
number of studies in the theory of differential equations and in other areas
of analysis that it is always somewhat dangerous to mention it. In essence,
every result concerning a degenerate case has to be accompanied by a
calculation of the corresponding codimension and an indication of the
bifurcations in the family for which the degeneracy in question is un¬
removable.
From this point of view, which is based on the study of ^-parameter
families, we can completely ignore the study of degeneracies of infinite
codimension, since we can get rid of them by means of a small perturbation
of any ^-parameter family for any finite k. Of course, degenerate cases may
be useful as easily studied first approximations of perturbation theory.
§ 29. Families and Deformations 225

B. Digression : Cases of Infinite Codimension

Occassionally we have to study degeneracies of infinite codimension, too. For example,

Hamiltonian systems or systems with a symmetry group form a submanifold of infinite
codimension in the space of all dynamical systems. In these cases, it is often possible to
restrict the function space in advance so that the codimensions of the degeneracies under
study become finite (for example, we consider only Hamiltonian systems and their
Hamiltonian deformations).
However, it is not always easy to restrict the function space. Let us, for example,
consider boundary value problems for partial differential equations. We deal with the
intersection of two submanifolds in the function space: the space of solutions and the
space of functions satisfying the boundary conditions. Both these manifolds have
infinite dimension and infinite codimension. An analysis of this situation requires an
ability to distinguish between various infinite dimensions and codimensions: the
condition that a function of one variable constructed from a given object vanishes
singles out a “manifold of (infinite) codimension smaller” than the condition that a
function of two variables vanishes.
One of the simplest problems of such a calculation of infinite codimensions corres¬
ponding to kernels and cokernels consisting of functions on manifolds of different
dimensions is the oblique derivative problem. If we consider this problem on the sphere
bounding an ^-dimensional ball, a vector field tangent to the rj-dimensional ambient
space is given. A function harmonic in the ball is to be determined whose derivative in
the direction of the field is equal to a given boundary function.
We consider, for example, the case n = 3. In this case, a generic field is tangent to the
sphere on some smooth curve. There are singular points on this curve where the field is
tangent to the curve itself. The structure of the field in the neighborhood of each of these
singular points is standard: it can be proved that for any n for a generic field* in the
neighborhood of every point of the boundary, the field is given, in an appropriate
coordinate system, by a formula of the form

x2d\ + x3d2 + • • • + xkdk_, + dk, k ^ n,

where dk — djdxk and ,x, = 0 on the boundary [cf., S. M. Visik, On the oblique derivative
problem, Vestnik MGU, Ser. Mathem. 1 (1972), 21-28],
The oblique derivative problem apparently has to be stated according to the
following scheme. The manifold of tangency of the field with the boundary, the manifold
of tangency of the field with the tangency manifolds, etc. divide the boundary into parts
of various dimensions. On some of these parts of the boundary, conditions have to be
given : on some other parts, the boundary function itself has to satisfy certain conditions
for the existence of the classical solution of the problem.
In spite of the abundance of research concerning the oblique derivative problem (this
problem is studied especially thoroughly in the publications of Maz’ya, whose work was
preceded by that of Maljutov and Egorov with Kondrat’ev), the program described
above has been carried out only in the two-dimensional case (where the boundary is a
circle).

*Thal is. for every Held in an open everywhere dense set in the function space of smooth
fields.
 226 6. Local Bifurcation Theory

C. The Space of Jets

The study of bifurcations in generic A-dimensional families is in essence

the study of a function space divided into parts corresponding to various
degeneracies, neglecting degeneracies of codimension greater than k.
In order to get rid of the infinite dimensionality of the function space
itself, a special apparatus of finite-dimensional approximations has been
elaborated: manifolds of A-jets (the term jet was introduced by Ehresmann).
In the following, we establish the terminology and notation which we
shall use. All assertions of this section and the next one are entirely obvious.
Let /: Mm —>■ TV” be a smooth mapping of smooth manifolds (it can be
assumed that M and TV are domains in Euclidean spaces of the appropriate
dimensions).

Definition. Two such mappings fx, f2 are said to be tangent of order k or

k-tangent at a point x of M if (Fig. 106)

PN(fi(y),f2(y)) = o{pkM(x,y)) for y -» x.

Here p denotes some Riemannian metric; it is easy to see that the property
of A-tangency does not depend on the choice of the metrics pM and pN.
Two mappings are 0-tangent at a point x if their values coincide at x.
Tangency of order k is an equivalence relation

(/i ~ fi ~ fi ~/a ^/i ~/3>/i ~/i)-

Definition. A A:-jet of a smooth mapping/at a point x is a class of Ar-tangent

mappings at x.

Notation

Jx(f) = {/i : /i is k-tangent to/at x}.

The point x is called the source and the point/(x) the target of the jet.

We choose coordinates on M and TV in the neighborhood of the points

x and fix'), respectively. Then the A:-jet of any mapping close to / at any
 § 29. Families and Deformations 227

point close to x can be given by the collection of Taylor coefficients up to

degree k. Consequently, for fixed coordinate systems, a jet of order k can
be identified with the collection of Taylor coefficients up to degree k.

Example

The 0-jet of a mapping/of the x-axis into the y-axis at point x is given by
a pair (x, y) of numbers where y = /(x). A 1-jet is given by a triple (x, y, p),
where p = df/dx.
Besides tangency of order k, there is another equivalence relation leading
to germs of mappings instead of jets.

Definition. Two mappings in two neighborhoods of one and the same point
have a common germ at that point if they coincide in a third neighborhood
" of this point. (The third neighborhood can be smaller than the intersection
of the first two neighborhoods.)
The germ of a mapping at a point is an equivalence class with respect to
the equivalence relation introduced above.

As for a mapping, for a germ we can define its 0-jet at a point, 1-jet at
a point, etc.
We consider the set of all /c-jets of germs* of smooth mappings from M
into N at all possible points of M.

Definition. The set of all &-jets of germs of mappings of M into N is called

the space of k-jets of mappings of M into N and denoted by

Jk(M, TV) = the space of A:-jets of mappings of M into N.

Example

J/R, R) is a three-dimensional space with coordinates (x, y, p) (cf., § 3).

The set Jk(M, N) has a natural smooth manifold structure. Indeed, we

choose coordinate systems in the neighborhood of a point of M and in the
neighborhood of the image of this point in TV under some mapping f Then
the k-jet of/and all nearby jets can be given by coordinates of the preimage
and the collections of Taylor coefficients up to order k at this point. Thus,
we have constructed a chart of the manifold Jk(M, N) of jets in the neigh¬
borhood of the point which is the A:-jet of f
It is easy to calculate the dimension of a manifold of jets. For example,

* In the real smooth case, it is immaterial whether we consider jets of germs or jets of map¬
pings on the whole of M, since every germ is the germ of a global mapping. On the other hand,
in the complex situation, a global mapping with a given jet may not even exist.
228 6. Local Bifurcation Theory

J°(M, N) = M x N, dimy0(Af, TV) = dim M + dim TV,

dim J1 (M, TV) = dim M + dim TV + dim M dim TV.

We have a natural mapping

Jk + l(M, TV) -► TV).

(A(A: + 1 )-jet determines a Ac-jet, since (k + l)-tangency implies Ar-tangency).

This smooth mapping is a fibration. We obtain the following chain of
fibrations:

- - ■ -> Jk -» J*-1 -> ■ - • -> J1 J° = M x TV.

A fiber of each of these fibrations is diffeomorphic to a linear space but does

not have a natural linear structure (for k > 1) (“noninvariance of higher
differentials”).
The manifolds Jk are, in a certain sense, finite-dimensional approxima¬
tions of the infinite-dimensional function space of smooth mappings from
M into TV.

D. Groups of Jets of Local Diffeomorphisms and Spaces

of Jets of Vector Fields

We consider the space Jk(M, M) of jets. The submanifold of /r-jets of

diffeomorphisms lies in this manifold. This submanifold is not a group,
since jets may be multiplied only if the target of one jet is the source of the
other.
We fix a point of M and consider all germs of diffeomorphisms of M
leaving this point invariant. Their A:-jets form a group.

Definition. The group of Ac-jets of diffeomorphisms of M leaving a point x

fixed is called the group of k-jets of local diffeomorphisms of the manifold M
at the point x and denoted by Jk(M).

Example

The group of 1-jets oflocal diffeomorphisms is isomorphic to a linear group: =

GL((Rm).
For k > 1, we obtain a more complicated Lie group. Since a Ac-jet determines a
(k — l)-jet, we obtain the following chain of mappings:

J*x(M) = GL(Rm).

It is easy to see that these mappings (the mappings ignoring the terms of degree k in
§ 29. Families and Deformations 229

the Taylor polynomial) are homomorphisms and their kernels are commutative groups.
For example, let m = 1.
^ Then: if f(x) — x + axk(mod(xk+l)) and g(x) = x + bxk mod(x’l+l), (fog)(x)
x + axk + bxk(modxk + l).

A vector field on a manifold M is a section of the tangent bundle p: TM —*•

M, i.e., a smooth mapping v: M —► TM such that the diagram

M ^ TM

is commutative.
The definition of germs, jets, and spaces of jets of vector fields mimic the
above definitions.
The group of diffeomorphisms of a manifold M acts on the space of all
vector fields on M and also on the spaces of fc-jets of vector fields on M.
The group of &-jets of local diffeomorphisms of a manifold Mata point
acts on the space of (k — l)-jets of vector fields on M at the point; this
action is linear.

Example

Lety = atx + a2x2 + •-• be the 2-jet of a local diffeomorphism at zero. The image of
the I-jet r(x) = r0 + r, x + ■ • • of a field is given by the formula h (.y) = iv0 + iiyc +
■ ■ • , where w0 = at v0, ny — atvtaJl + 2a2afv0.
This formula can be obtained by writing the equation x = v(x) in y coordinates. ^

E. The Weak Transversality Theorem

Proofs of the possibility of reduction to the generic form can often be

replaced by a reference to some standard (and obvious) transversality
theorems. Below we formulate and outline the proofs of the most useful
transversality theorems. Transversality theorems mainly help economize
space: in every concrete case, the corresponding concrete assertion can easily
be proved directly.

Definition. Two linear subspaces X and Y of a linear space L are said to be

transversal if their sum is the whole space :

L = X + Y.

For example, two planes intersecting at a nonzero angle in the three-

dimensional space are transversal and two straight lines are not.
Let A and B be smooth manifolds and let C be a smooth submanifold of B.
 230 6. Local Bifurcation Theory

(Here and in the following the word manifold means a manifold without
boundary.)

Definition. A mapping/: A —> B is said to be transversal to C at a point a of A

if either /(a) does not belong to C or the tangent plane to C at f(a) and the
image of the tangent plane to A at a are transversal (Fig. 107):

f.T^A + Tru]C = Tn„B.

Definition. A mapping/: A —> B is transversal to C if it is transversal to C at

any point of the preimage manifold.

For example, an imbedding of a straight line in the three-dimensional

space is transversal to another line in the same space if and only if the lines do
not intersect.

Remark. A mapping of a straight line in the plane can be nontransversal to

a straight line lying in the plane even in the case where the image of the line
under the mapping is a line normal to the given line. (The image of the
tangent space and the tangent space to the image are not the same.)
We also note that if/: A —*■ B is transversal to C, then the preimage of C in
A is a smooth submanifold and its codimension in A is equal to that of C in B.
One often encounters situations where C is not a smooth submanifold but
a submanifold with singularities.

Definition. A stratified subvariety of a smooth manifold is a finite union of

mutually disjoint smooth manifolds (strata) satisfying the following condi¬
tion: the closure of every stratum consists of the stratum itself and a finite
union of strata of smaller dimensions.
A mapping is said to be transversal to a stratified subvariety if it is trans¬
versal to every stratum.

Example

Let C be the union of two planes intersecting in a straight line in the three-
dimensional space. The stratification is the partition into the line of intersec¬
tion and four half-planes. Transversality to C means transversality to each of
the planes and transversality to the line of intersection. For example, a curve
 § 29. Families and Deformations 231

Figure 108.

transversal to the stratified variety C does not intersect the straight line of
singularities of C.

Theorem. Let A be a compact manifold and let C be a compact submanifold in

a manifold B. The mappings f\ A —> B transversal to C form an open, every¬
where dense set in the space of all sufficiently smooth mappings A —> B. (The
proximity of mappings fis defined as the proximity of the functions determining
f and their derivatives up to a sufficiently large order r.)

This theorem is called the weak transversality theorem. Its assertion means
that a mapping not transversal to a fixed submanifold can be turned into a
transversal mapping by a small perturbation (Fig. 108). If, on the other hand,
transversality is present, then it is preserved under small perturbations.
We consider the special case where B is a linear space, B = Rn and C is its
subspace
We represent B in the form of the sum B = C + D of two subspaces of
complementary dimensions, C = IR"-* and D = (Rk. We project B onto D in
the direction of C; we denote this projection by n. Let us consider the
mapping n ofA -* D.
The point 0 is a critical value for this mapping if and only if the mapping
/: A —» B is not transversal to the submanifold C c B. By Sard’s lemma
(§ 10), almost all points of D are not critical values for n of Let £ be a point in
D which is not a critical value for n of We construct a mapping fz: A —► B
by setting^(n) = f{a) — e. The mapping/^ is transversal to C. Since £ can be
chosen arbitrarily small, we have proved that the set of transversal mappings
is everywhere dense in our special case. That this set is open follows from the
implicit function theorem. The general case can easily be reduced to the one
just considered. ^

Remark. If C is not compact, then the term “open” has to be replaced, in general, the
term “intersection of countably many open”.

Example

1. B is the torus, C is a dense winding, and A is a circle.

2. B is the plane, A is a circle imbedded in the plane, and C is a tangent line to A (without
the point of tangency). The imbedding is transversal to C but there exist nontrans¬
versal mappings to C arbitrarily close.
232 6. Local Bifurcation Theory

In order that the mappings of a compact manifold A into B transversal to C form

an open, everywhere dense set it is sufficient to require, instead of the compactness of
C, that every point of B have a neighborhood such that the pair (neighborhood, its
intersection with C) be diffeomorphic to the pair ((R/ (Rc) or to the pair ([Rh, empty
set).
If A is not compact, then it is convenient to endow the space of mappings with the
‘Tine topology”. In this topology, a neighborhood of a mapping/: A —► B is defined
as folLows: We fix an open set G in the space Jk(A, B) of jets for some k. The set of
C”-yiappings/: A —> B whose /r-jets at every point belong to G is open in the fine
topology. These nonempty open sets are taken as a neighborhood basis defining
the fine topology in the space of infinitely differentiable mappings.
Consequently, the proximity of two mappings in the fine topology means that
the mappings approach each other arbitrarily rapidly “at infinity”; in particular,
the graph of a mapping sufficiently close to/lies in a neighborhood of the graph of
/which thins out arbitrarily rapidly “at infinity”.
This implies that the convergence of a sequence in the fine topology implies the
complete coincidence, outside some compact set, of all members of the sequence
beginning with some member. Nevertheless, every neighborhood of a given mapping
in the fine topology contains mappings which coincide nowhere with the given
mapping.
If openness and density everywhere are understood in the sense of the fine
topology, then the transversality theorem is true for noncompact A, too. (For
openness, C has to be compact or satisfy the condition formulated above.)

The transversality theorem can be extended to the case of a stratified

subvariety C in an obvious way. However, in this case, the theorem guaran¬
tees that the transversal mappings form only an everywhere dense intersection
of a countable number of open sets rather than an open, everywhere dense
set.
For the mappings transversal to a stratified variety, to form an open,
everywhere dense set it is sufficient that the stratification satisfy the following
additional condition: every imbedding transversal to a stratum of smaller
dimension is transversal to all adjoining strata of larger dimension at some
neighborhood of the stratum of smaller dimension. (It is assumed that the
stratification is analytic or at least diffeomorphic to an analytic one.)

Example

1. Let C be a finite union of planes in a linear space stratified in a natural way (for
example, a pair of intersecting planes in F53). Transversality to IR* implies transver¬
sality to the ambient R'. Therefore, our condition is satisfied.

2. Let C be the cone x2 = y2 + z2 in R3 and let the stratification be partition into the
point 0 and the two skirts. As is easily seen, our condition is satisfied.

3. Let C be the Whitney-Cayley umbrella given by the equation* v2 — zxz in R3

(Fig. 109). [The portion z ^ 0 of this stratified manifold is the range of the mapping

*The umbrella includes a handle indicated by the bold line in Fig. 109.
§ 29. Families and Deformations 233

Figure 109.

: (R2 —> [R3 given by the formulas x = u, z = v2, y = uv. Whitney has proved that
(1) the type of singularity (up to diffeomorphisms of (R2 and (R3) is preserved under
a small perturbation of q>\ (2) this is the only singularity of mappings of two-
dimensional manifolds into three-dimensional manifolds, which is preserved under
small perturbations (except for lines of self-intersection); all other singularities split
into singularities of this type under a small perturbation.] Transversality to the
singular line x = y — 0 does not imply transversality to the manifold of regular
points of the surface close to this line. (The plane z = 0 is transversal to the line
but not to the surface.)

If the condition

“transversality to smaller => transversality to larger”

is satisfied on the stratification C, then transversality to the whole stratifica¬

tion can be obtained as follows.
(1) The strata of minimum dimension are smooth; the ordinary theory
applies to them. (2) In the neighborhood of strata of minimum dimension,
transversality is obtained on all strata and for all mappings close to the given
mapping.* (3) From the entire manifold, we remove the closure of the
neighborhood of strata of minimum dimension and pass to strata of the next
dimension.

Example

Let B be the space of linear operators b: IR" —> IRn and let C be the set of
operators of nonmaximum rank. The operators of rank r form a smooth
manifold whose codimension in the space B is equal to (m — r)(n — r). The
partition into manifolds of operators of distinct ranks defines a stratification
on C.
A mapping f : A -* B is a family of linear operators from IRm into Rn
smoothly depending on a point of A as a parameter. The manifold A is called
the base of the family. The transversality theorem immediately implies the
following corollary.

This is the delicate point of the proof where analyticity is involved.

234 6. Local Bifurcation Theory

Corollary. In the space of smooth families of m x n matrices, the families

transversal to the stratified variety C of matrices of nonmaximum rank form an
everywhere dense set.

In particular, the values of the parameter to which matrices of rank r

correspond form a smooth submanifold of codimension (m — r)(n — r) in
the base of the generic family (for families from an everywhere dense inter¬
section of countably many open sets in the space of families).
For example, in a five-parameter generic family of 2 x 3 matrices, the
rank drops to 1 on a three-dimensional smooth submanifold of the parameter
space and is not equal to 0 at any point of the parameter space; if this is not so
for a given family, then it can be achieved by an arbitrarily small deformation
of the family so that it becomes generic.

F. The Thom Transversality Theorem

The Thom transversality theorem is a generalization of the weak transver¬

sality theorem, in which the role of the submanifold C is played by a sub¬
manifold of a space of jets.
With every smooth mapping/: M —> A', we associate its “A:-jet extension”
/: M —► Jk(M, N),f(x) = jk(f). (To a point x of M, there corresponds the
A:-jet of the mapping/at jc.)

Theorem. Let C be a submanifold of the space Jk(M, N) of jets. The set of

mappings /: M —>■ yV whose k-jet extensions are transversal to C is an every¬
where dense countable intersection of open sets in the space of all smooth
mappings of M into N.

This theorem means that a smooth mapping can be brought about by a

small perturbation to the general position not only with respect to any
smooth submanifold in the range space, but also with respect to any condition
imposed on derivatives of any finite order.

Remark. The weak transversality theorem can be obtained from the above theorem for
k = 0. On the other hand, the strong theorem cannot be obtained from the weak
theorem. It is possible to apply the weak theorem to a mapping/: M —► Jk and obtain a
mapping close to/and transversal to C. However, this nearby mapping will not generally
be a A-jet extension of any smooth mapping of M into N.

The Thom transversality theorem asserts that the transversalizing defor¬

mation can be chosen in a smaller class of deformations: it is sufficient to
restrict oneself to a deformation of a A:-jet extension in the space of A:-jet
extensions and not in the space of all sections M —► Jk. Consequently, the
theorem means that the integrability conditions (which are satisfied by the
A:-jet extensions of mappings of M into N, but not by arbitrary sections
M —► Jk) do not interfere with transversality.
§ 29. Families and Deformations 235

-^j The essence of the proof consists of the same kind of reduction to Sard’s
lemma as in the case of the weak transversality theorem. The main difference
lies in the fact that the transversalizing deformation is not sought for the class
of mappings/ = / — e, but for the larger class of polynomial deformations
/ = f -t- eyel + • • • + eses, where ei are all possible vector monomials of
degree not greater than k.

Lemma 1. We consider a smooth mapping F: A x E —► B of the direct product

of the smooth manifolds A and E into a smooth manifold B.
We shall consider F as a family of mappings FE of A into B depending on the
point f, of E as a parameter. If the mapping F is transversal to a submanifold C oj
B, then almost every member Fe : A —> B of the family corresponding to F is
transversal to C.

We consider F~l(C). By the implicit function theorem, this is a smooth

submanifold in A x E. We consider the projection of this submanifold onto
E in the direction of A. By Sard’s lemma, almost all values are noncritical. Let
e be a noncritical value. The mapping Fe: A —> B is transversal to C (because
F is transversal to C and A x e is transversal to F_1(C).) !►

Lemma 2. Let f be a smooth mapping of Rm into R". In Rm and Rn, we fix

coordinate systems and consider the smooth mapping of the direct product of
Rm with Rs into the space Jk(M, TV) ofk-jets of mappings defined by the formula

(x, e) i-*- (j*/),

where ft — f + ele1 + - • • eses. e1, ■ ■ ■ , es are all possible products of

monomials of degree not greater than k in the coordinates of the point x in lRm
with the basis vectors o/R".
This mapping does not have critical values (and, consequently, it is trans¬
versal to any submanifold of the space of k-jets).

^ The coordinates in Jk are the coordinates of x in IRm and the Taylor

coefficients of the jet at this point up to order k inclusive. For an appropriate
choice of the coefficients e1} . . . , es, the vector-valued polynomial F,lel +
- ■ • + F.ses will have any collection of Taylor coefficients given beforehand up
to order k inclusive at any point x given beforehand. The lemma follows
immediately.
Let Cbe a smooth submanifold in B — Jk(Um, J8"). We apply Lemma 1 (in
which A = E = IRS, and F{x, e) = jkf) to the mapping of Lemma 2. By
Lemma 1, the mapping Fe — F( ,e) is transversal to C for almost all e.
Choosing £ sufficiently small, we obtain a mapping fe: Rm —> R" arbitrarily
close to/(in any finite part of Rm) whose Ar-jet extension is transversal to C.
The passage from this local construction to the global one (replacement
of (Rm, R" by M, TV) does not create any difficulty. ^
 236 6. Local Bifurcation Theory

G. An Example: Disintegration of Complicated Singular

Points of a Vector Field

As an application of the transversality theorems, we consider the problem of

characterizing the singular points of a generic vector field.

Definition. A singular point x of a vector field v is said to be nondegenerate if

the operator of the linear part of the field at the singular point is nonsingular.

From the transversality theorems, we obtain the following corollary.

Corollary. In the Junction space of smooth vector j'ields on a compact manijold,

the fields with only nondegenerate {and consequently, isolated) singular points
form an open, everywhere dense set.

M The singular points are preimages of a smooth manifold (the zeroth sec¬
tion) in the space of O-jets of vector fields. Nondegeneracy of a singular point
is transversality to this manifold of the 0-jet extension of the field. ►
Hence, a degenerate singular point disintegrates into nondegenerate points
under an arbitrarily small perturbation of the field.

Example

We consider the following singular point of “saddle-node” type:

x = x2, y = -y.

Under the perturbation x = x2 — e, y = —y, the saddle-node point disin¬

tegrates into two singular points: a saddle and a node.
One then asks into how many singular points a given complicated singular
point may disintegrate under small perturbations. As usually happens (say,
in the theory of algebraic equations), this problem can be solved in the most
natural way in the complex domain.

Definition. The number of nondegenerate (complex) singular points into

which a complicated singular point disintegrates under a small perturbation
is called the multiplicity of the singular point.

Remark. Strictly speaking, multiplicity is defined in the following way: (1) a sufficiently
small neighborhood of the singular point in a complex space is fixed; (2) this neigh¬
borhood determines the smallness of a perturbation; (3) for the perturbed field, the
number of singular points is calculated in the neighborhood of the given point.

Below, a formula will be given for the multiplicity of a singular point in

terms of Newton diagrams (Kusnirenko, Bernstein, and Hovanskii). See
“The geometry of formulas” by A. G. Hovanskii in Singularities of Functions,
§ 29. Families and Deformations 237

Wave Fronts, Caustics and Multidimensional Integrals (V. I. Arnold, A. N.

Varchenko, A. B. Givental, A. G. Hovanskii, eds.), Soviet Scient. Reviews,
C: Math. Phys. Reviews 4 (1984), 1-92.
Let/= XXa™ be a formal scalar-valued series in the variables x,, • •• , xn
(jcm = x'f1 • • • jc™''). Consider the octant of the points m of the integral
lattice with nonnegative coordinates mk.
We denote this octant by Z” .

Definition. The support of the series/is the set of points m in the octant Z+ for
which/, A 0. Notation:

supp/= {rnsZ\:fm ^ 0}.

Definition. The Newton polyhedron of the series f is the convex hull of the
union of octants parallel to Z” with vertices at the points of the support in
the octant R" of the real linear space. Notation :

rf is the convex hull of the union of m + Z\ , me supp /.

A Newton polyhedron is said to be appropriate if it intersects all coordinate

axes.

Theorem. Let n appropriate Newton polyhedra T,, . . . , Ttl be given.

Consider a vector field vxdjcbcj + • • ■ + vnd/dxn, with Fj, . . . , F„ the
Newton polyhedra of the components vx, . . . , vn. Then the multiplicity p of the
singular point 0 of our vector field is not smaller than the Newton number
v(Tj, . . . , Tn) defined below and coincides with it for almost all fields whose
components have given Newton polyhedra (for all fields except a hypersurface
in the space of fields with the given polyhedra).

Remark. The condition of appropriateness of the polyhedra is not a restriction, since it

can be proved that it can be satisfied by adding terms of arbitrarily high degree without
changing the multiplicity (provided that it is finite).

For the definition of the Newton number of a system of appropriate

polyhedra, we need the notion of mixed volume.
Let r be an appropriate Newton polyhedron. By F(r) we denote the
volume of the (nonconvex) domain between zero and the boundary of T in
the positive octant R" .

Let r,, r2 be two appropriate Newton polyhedra. The sum Tj + F2 is

meant as an arithmetic sum, i.e., the set of sums of vectors from rx and T2.
The sum is also an appropriate Newton polyhedron.
Consequently, the appropriate Newton polyhedra form a commutative
semigroup. From this semigroup, a group (called the Grothendieck group)
can be constructed by the usual method: an element of the group is a formal
238 6. Local Bifurcation Theory

difference T, — V2 of two Newton polyhedra and T, — T2 = T3 — F4 by

definition if and only if Tj -f- T4 = T2 + r3.
The group thus constructed determines a linear space over the field of real
numbers : if A is a positive number, then AT denotes the polyhedron obtained
from T by a homothety with center at zero and coefficient A. The volume
V(n can be extended uniquely to this linear space as a form of degree n.
(The proof of this not entirely obvious fact is left to the curious reader as an
exercise.)
Every form of degree n can be uniquely represented as the value of a
symmetric n-linear form for coinciding arguments. For example,

{a + b)2 - a2 - b2
a2 = ab |a=b, ab
2

Definition. The mixed (Minkowski) volume of a system (Fx, . . . , TJ of

polyhedra is the value, at the n-tuple (Tj, . . . , Tn), of the unique symmetric
^-linear form which coincides with the volume F(F) for Tj = ■ ■ • = Tn = Y.

Notation: F(r,, . . . , r„).

Example

In the planar case, n = 2 and the mixed volume of a pair (Tj, F2) is F(r,, T2)
= [W, + r2) - viT,) - F(r2)]/2.

Definition. The Newton number , . . . , T,,) is defined in the following way:

v(rl5 . ..,rj = n \ F(r,, ..., rj.

Example

In the two-dimensional case, let Tj, T2 be bounded by straight lines intersect¬

ing the coordinate axes at the points (a,, bx) for Tj and (a2, b2) for T2. Then
v(r,, r2) is equal to min{axb2, a2b\). Consequently, the multiplicity of the
singular point is almost always equal to

/i = min(a1h2, a2bx).

§ 30. Matrices Depending on Parameters and Singularities

of the Decrement Diagram

As a preparation for the study of bifurcations of singular points of vector

fields, we consider the problem of the normal form of families of endomor-
phisms of a linear space.
§ 30. Matrices Depending on Parameters and Singularities of Decrement Diagrams 239

A. The Problem of Normal Form of Matrices Depending on Parameters

The reduction of a matrix to the Jordan normal form is not a stable operation
if there are multiple eigenvalues. Indeed, in the presence of multiple eigen¬
values, an arbitrarily small change in the matrix may change the Jordan form
completely. Therefore, if the matrix is known only approximately, then its
reduction to Jordan normal form is practically impossible in the case of
multiple eigenvalues. It is not even necessary, since a generic matrix does not
have multiple eigenvalues.
Multiple eigenvalues are unremovable under small perturbations when we
are interested in a family of matrices depending on parameters rather than in
an individual matrix. In this case, although we can reduce every individual
matrix of the family to a Jordan normal form, both this normal form and
the transformation leading to it generally depend discontinuously on the
parameter.
Consequently, a problem arises: What is the simplest form to which a
family of matrices depending smoothly (for the sake of definiteness, holomor-
phically) on the parameters can be reduced by a change of coordinates
depending smoothly (holomorphically) on the parameters?
Let us consider the set of all complex square matrices of order n as a linear
space of dimension n2. The relation of similarity of matrices partitions the
whole space C"2 into manifolds (orbits of a linear group): two matrices lie in
the same orbit if their eigenvalues and the dimensions of the Jordan blocks
coincide. Because of the eigenvalues, this partition is continuous. As a rough
model, one can imagine the division of the three-dimensional space into the
strata of the manifolds x2 + y2 — z2 = C (Fig. 110).
A family of matrices is given by a mapping of the space of the parameters of
the family into the space C" of matrices. It turns out that from all families of
matrices we can select such families that a reduction to them can be effected
by a change of basis which now depends on the parameters smoothly (and by
a smooth change of parameters). Such families are called versal deformations
(the precise definition is given below). Versal deformations with the minimum
possible number of parameters are said to be miniversal.
Consequently, miniversal deformations are normal forms with the smallest
possible number of parameters in the reduction to which the smooth depen¬
dence on the parameters can be preserved.
240 6. Local Bifurcation Theory

Example

If all eigenvalues of a diagonal matrix are distinct, then we may take the
family of all diagonal matrices as its miniversal deformation (the parameters
are the eigenvalues).

Below we consider miniversal deformations of arbitrary matrices.

B. Versal Deformations*

Definition. A family of matrices is a holomorphic mapping A : A —*■ C"2,

where A is a neighborhood of the origin of coordinates in some parameter
space C'. The germ of a family A at the point 0 will be called a deformation
of the matrix A(0).
A deformation A' of the matrix A(0) is said to be equivalent to a defor¬
mation A if a deformation C of the identity exists such that

A'(X) = C{X)A{X)(C{X)yf

Let cp : (M, 0) —> (X, 0) be a holomorphic mapping (M a Cm and A <= C*).

Definition. The family induced from A by the mapping <p is the family cp* A :

(cp*A)(p) = A(<p(p)).

The induced deformation <p*A of the matrix yl(0) is defined by the same
formula.

Definition. A deformation A of a matrix A0 is said to be versal if any deforma¬

tion A’ of the matrix A0 is equivalent to a deformation induced from A. A
versal deformation is said to be universal if the inducing mapping is deter¬
mined uniquely by the deformation A'. A versal deformation is said to be
miniversal if the dimension of the parameter space is the smallest possible for
a versal deformation.

Example

The family of diagonal matrices with diagonal entries (oq + Xt), where all oq
are distinct and the Xt are the parameters of the deformation, is a versal,
universal, and miniversal deformation of the matrix (a,).

The family C"2 of all matrices determines an n2-parameter versal deforma¬

tion of any of its members. However, this deformation is in general neither
universal nor miniversal.
The dimension of a miniversal deformation of an arbitrary matrix is given
by the following theorem. Denote by cq the eigenvalues of the matrix A0 and

* Versal deformations were introduced by Poincare (Lemma IV of his Thesis), he has studied
the versal deformations of equilibria and cycles in dynamical systems.
§ 30. Matrices Depending on Parameters and Singularities of Decrement Diagrams 241

let n^a.;) 5s n2(oci) ^ ■ be the dimensions of the Jordan blocks belonging

to a(., beginning with the largest one.

Theorem 1. The smallest number of parameters of a versal deformation oj the

matrix A0 is equal to

Z ["(“.■) + 3Mai) + 5n3(a3) + ■ •

i

The miniversal deformations themselves can be chosen in different ways.

In particular, the three normal forms described in the following theorem are
versal deformations of a matrix reduced to the upper triangular Jordan
normal form.

Theorem 2. Let A be a family of linear operators of Cn into itself depending

holomorphically on a parameter leC1 and let the operator A(X0) have the
eigenvalues a, and Jordan blocks of orders

n i (a,) $5 «2(a,.) ^ •

Then a basis in C" exists which depends holomorphically on X varying in some

neighborhood oj'X0 and such that the matrix of the operator A (2) has the block-
diagonal form

A0 + B(X)

in this basis, where A0 is the Jordan upper triangular matrix of'A(A0) and B(X)
a block-diagonal matrix whose blocks correspond to the eigenvalues of A0.
The block Bt corresponding to the eigenvalue a, has all zeros except at the
places indicated in Fig. Ill; these places are taken by holomorphic functions of
X.

In Fig. Ill, three normal forms are depicted. In the first two, the number
of nonzero entries of B{ is equal to nf a,.) + 3n2(ai) + • • • ; in the third, all
entries are equal on every slanted line. We obtain miniversal deformations of
A 0 if the indicated entries of the matrices B{ are considered independent vari¬
ables ; in all three cases their number is equal to £ [nx(a,-) -I- 3n2(ai) + • • • ].
The advantage of the first two normal forms is that the number of nonzero
entries is the smallest possible. The advantage of the third form is the ortho-

n, ”2 n3

If—
[ _

(a) (b) (c)

Figure 111.
 242 6. Local Bifurcation Theory

gonality of the versal deformation to the corresponding orbit (in the sense of
the entry-wise scalar product of matrices).

C. Proof of the Versality

Let A : A —► C"2 be a defomation of the matrix A0 = A(0) with parameter

A e A such that the mapping A is transversal to the orbit C of the matrix An
under the action of the group of linear changes of coordinates. We assume
that the number of parameters of deformation is minimal (i.e., is equal to the
codimension of the orbit in the space C”2 of all matrices). Such a deformation
is said to be minitransversal.

Lemma 1. A minitransversal deformation A is miniver sal.

For the proof of the lemma we need the following definition.

Definition. The centralizer of a matrix u is the set of all matrices commuting

with u. Notation:

Zu = {v: [w, v~\ =0}, [u, y] = uv — vu.

The centralizer of any matrix of order n is a linear subspace of the space

C"2 of all matrices of order n.

Let Z be the centralizer of the matrix A0. In the space of nonsingular

matrices through the identity matrix e, we pass a smooth surface transversal
to e + Z and of dimension equal to the codimension of the centralizer (i.e.,
the dimension is the smallest possible).
We denote this surface by P and consider the mapping

<F : P x A -» C"2, Q(p, A) = pA(A)p~l.

Lemma 2. In the neighborhood of\e, 0), the mapping <D is a local dijfeomorphism
on (C"\ A0).

For the proof of Lemma 2 we consider the mapping i// of the group of
nonsingular matrices into the space C"2 of all matrices given by the formula
i//(b) = bA0b~l.

I. The derivative of the mapping tjj at the identity is the operator of com¬
mutation with A0: i]/*: C"2 —» C"2, = [*L Z0].

^ (e + su)A0(e + su)~l = A0 + e[w, A0] + • • - . ►

From the above we obtain the following statement.

§ 30. Matrices Depending on Parameters and Singularities of Decrement Diagrams 243

2. The dimension oj the centralizer oj" A0 is equal to the codimension oj the

orbit. The dimension oj the transversal to the centralizer is equal to the dimen¬
sion of the orbit:

dim Z = dim A, dim P = dim C.

In the space Cn\ we introduce the Hermitian scalar product (A, S') =
tr(AB*), where B* is the matrix obtained from B by transposition and
complex conjugation. The corresponding scalar square is simply the sum
of the squares of the absolute values of all the entries of the matrix.

Lemma 3. A vector B in the tangent space of C"2 at the point A0 is perpendicular

to the orbit of A0 if and only if[B*, T0] = 0.

-4 The vectors tangent to the orbit are the matrices representable in the
form [T, Aq\. Orthogonality of B to the orbit means that <[T, A0], By = 0
for any X. In other words,

0 = tr([T, A0~\B*) = tr(XA0B* - A0XB*)

= tr([T0, B*]X) = <[A0, B*f X*>

for any X. Since X was chosen arbitrarily, this condition is equivalent to

[T0,i?*] = 0.
Hence, the lemma is proved: the orthogonal complement of the orbit
of a matrix can be obtained from its centralizer by transposition and
conjugation.
It is easy to describe the centralizer of a matrix in Jordan normal form.
First, we assume that the matrix has only one eigenvalue and a sequence
of upper Jordan blocks of orders nY Ss n2 ^

Lemma 4. The matrices in Fig. 112 and only they commute with the matrix A0.

In Fig. 112, every slanted segment denotes a sequence of equal entries,

and we have zeros at the blank spaces. Consequently, the number of slanted
segments is equal to the dimension of the centralizer.
Lemma 4 can be proved by a direct calculation of the commutator (cf.,
for example, F. R. Gantmaher, The Theory of Matrices, Moscow, Nauka,
1967, p. 215-224). ^

ss 5
Figure 112.
244 6. Local Bifurcation Theory

It follows from Lemma 4 that the dimension of the centralizer of A0

(equal to the codimension of the orbit and the minimum dimension of a
versal deformation) is given by the formula d = nx 4- 3n2 + 5n3 + ■ ■ - .
If the Jordan matrix A0 has several eigenvalues, then we divide it into
blocks corresponding to the eigenvalues. The matrices commuting with A0
will be block-diagonal. A block of the form described in Fig. 110 corresponds
to every eigenvalue. Therefore, the formula for the dimension of the cen¬
tralizer (the codimension of the orbit or the dimension of a miniversal-
deformation) is obtained by summing over all distinct eigenvalues.
Indeed, if/* is a linear mapping between spaces of the same dimension,
and, therefore, the dimension of the kernel is equal to the codimension of
the range.

Proof of Lemma 2. ^ The derivative of <I> with respect to p at (e, 0) is if/*, and
the derivative with respect to X is A . According to what has been proved
above, these operators isomorphically map the space tangent to P at e and
the space tangent to A at 0 onto transversal spaces of the same dimensions
(the tangent space to the orbit C at A0 for P and a space transversal to it
for A). Consequently, the derivative of at (e, 0) is an isomorphism between
linear spaces of dimension n2. By the inverse function theorem, is a local
diffeomorphism. ►

Proof of Lemma 1. We will consider p and X as coordinates of the point

<!>(/?, X). Let A' : (M, 0) —> (C"\ A0) be any deformation of A0. Let p e M
be the parameter of the deformation. We define X = <p(p) by q>(p) =
X(A'(p)) and set B(p) — p(A'(p)). Then A'(p) = B(p)A ((p(p))B~l (p),
which proves the versality of the deformation A.
The minimality of the dimension of the basis of this deformation is
evident.

As a transversal deformation of A0, we may take the family of matrices

A0 + B, where the matrix B belongs to the orthogonal complement of the
orbit of A0. In this way, we obtain a miniversal deformation of A0.
If A0 has only one eigenvalue, the matrix B has the form indicated in
Fig. 111 (c). Here, every slanted segment denotes the line of equal numbers;
the number of parameters is equal to the number of lines and is given by
the formula indicated above.
The matrix B has many nonzero entries. It is possible to construct mini¬
versal deformations A0 + B in which the number of nonzero entries of B
is the smallest possible (equal to the number of parameters). To this end,
we choose a basis in the centralizer: To every slanted line in Fig. 111(c) we
assign a 0-1 matrix in which the l’s stand on the slanted line.
A system of independent equations of the tangent plane of the orbit
consists of the following equations: for every slanted line in Fig. Ill, the
sum of the corresponding entries of the matrix is equal to zero (Lemmas 3
§ 30. Matrices Depending on Parameters and Singularities of Decrement Diagrams 245

and 4). Consequently, in order to obtain a family A0 + B transversal to

the orbit, it is sufficient to choose, as the family of the matrices B, the
matrices in which on every slanted line of Fig. Ill (c) an independent
parameter stands at one place and zeros at the remaining places. It is possible
to choose the nonzero entry at any place on every slanted line. For example,
the choice indicated in Theorem 2 of § 30B is suitable.

D. Examples

We shall denote an upper triangular Jordan matrix by the product of the

determinants of its blocks. For example, a2 means a Jordan block of order
2 and aa a 2 x 2 matrix which is a multiple of the identity matrix.
The first normal form of the theorem of § 30B leads to the following
miniversal deformations.

(a) A versal (and universal) two-parameter deformation of the Jordan

block a2 of order 2:

fa i\ /0 0
(1)
V 0 cj+U ^2

(b) A versal (but not universal) four-parameter deformation of the scalar

matrix aa of order 2:

fa 0\ / Aj X2

\° aJ VA3 ^4

(c) A versal and universal three-dimensional deformation of the Jordan

block a3:

fa 1 0\ / 0 0 0\
I 0 a 1 )+( 0 0 0 j.
Vo 0 a) \Xx X2 xj

(d) A versal five-parameter deformation of the matrix a2 a:

fa 1 0\ /0 0 0\
I 0 a 0 J+f Xl X2 X3 J.
Vo 0 a) Va4 0 Xj

For example, every holomorphic family of matrices containing the Jordan

block a2 for the value 0 of the parameter can be reduced to the normal
 246 6. Local Bifurcation Theory

form of (1) for nearby values of the parameter, where k1 , A2 are holomorphic
functions of the parameters.
In the study of many problems about operators depending on parameters,
the normal forms constructed above enable us to restrict ourselves to special
families: miniversal deformations. One of these problems is that of the
structure of bifurcation diagrams.

E. Bifurcation Diagrams

A bifurcation diagram of a family of matrices is, by definition, a partition of

the parameter space A according to Jordan types of matrices. A family is
a mapping A: A —> C" of the parameter space into the space of matrices.
Therefore, to understand bifurcation diagrams, we have to study the partition
of the space of all matrices into matrices with Jordan forms of distinct types.
In this partition, we group together the matrices with the same dimensions
of Jordan blocks, differring only in the eigenvalues. The partition thus
obtained is a finite stratification of the space of matrices.
Every stratum of this stratification is determined by the set of the collec¬
tions n (/) Js n2 (0 ^ -
j - of dimensions of the Jordan blocks corresponding
•

to v distinct eigenvalues (1 ^ i ^ v). The codimension c of such a stratum

in the space C”2 is smaller than the codimension d of the corresponding
orbit by the number of distinct eigenvalues, i.e., by v:

c = d - v = £ \nfi) + 3n2(i) + - • ■ - 1].

i=i

We note that simple eigenvalues contribute nothing to this sum. Applying

the weak transversality theorem, we obtain the following.

Theorem. In the space of families of matrices of order n, the families trans¬

versal to the stratification into Jordan types constitute an everywhere dense set.

This theorem, together with the formulas of versal deformations in § 30D,

enables us to describe the bifurcation diagrams of generic families. In
particular, for families with a small number of parameters, we obtain the
following.

1. One-Parameter Families. From c = 1, it follows that the matrix has

only one eigenvalue of multiplicity 2 and to it there corresponds a Jordan
block of order 2. Such a stratum will be denoted by a2.

Corollary. In a generic one-parameter family there are only matrices with

simple eigenvalues and, for some isolated values of the parameters, matrices
of type a.2 (with one Jordan block of order 2). If in a family there are matrices
with a more complicated Jordan structure, then we can remove them by an
arbitrarily small perturbation oj the family.
§ 30. Matrices Depending on Parameters and Singularities of Decrement Diagrams 247

Figure 113.

2. Two-Parameter Families. There exist exactly two Jordan types with

c = 2: a3 (one Jordan block of order 3) and a2/?2 (two blocks of order 2
with distinct eigenvalues).

Corollary. The bifurcation diagram of a generic two-parameter family of

matrices has the form of a curve whose only singularities are cusps and points
of self-intersection {Fig. 113). To the cusps correspond matrices of type a3
with one Jordan block oj order 3; to the points of self-intersection correspond
matrices of type oc2/?2 with two Jordan blocks of order 2 with distinct eigen¬
values, and to the points of the curve correspond matrices with one Jordan
block of order 2. Matrices with simple eigenvalues correspond to points outside
the curve.
If a family contains matrices of more complicated types or the bifurcation
diagram has more complicated singularities, then we can remove them by an
arbitrarily small perturbation of the family.

3. Three-Parameter Families. There are four strata with c = 3: a2flzy2

(three 2-blocks), aa(two blocks of order 1 with the same eigenvalue), a2/?3
(2 blocks of orders 2 and 3), and a4 (a 4-block).
Consequently, the point singularities of bifurcation diagrams of generic
three-parameter families have the form indicated in Fig. 114. The singularity
a4 is called the swallow tail: this surface is given by the equation A {a, b, c) =
0, where A is the discriminant of the polynomial z4 + az2 + bz + c.
Strictly speaking, all of what has been said above concerns the complex
case; surfaces in Fig. 114 have to be considered complex.
Versal deformations of real matrices have been constructed by Galin
[D. M. Galin, On real matrices depending on parameters, Uspekhi Math.
Nauka 27, 1 (1972), 241-242 ]. The construction is performed in the following

Figure 114.
248 6. Local Bifurcation Theory

way. First, let the real operator in !R2" for which the versal deformation is
sought have a unique pair of complex-conjugate eigenvalues x + iy (y # 0)
with Jordan blocks of dimensions nx ^ n2 ^ ,so that n1 + n2 + ■ ■ ■ =
n. In some real basis in IR2", the matrix of the operator has the same form
as the matrix of the decomplexification of the complex Jordan operator
A0 : C" —>■ C" with the only eigenvalue x + iy and Jordan blocks of dimen¬
sions «] ^ n2 ^ • • • , i.e., the form

X -yE
Ao (2)
yE x

where X is the upper-triangular real Jordan matrix with eigenvalue x and

blocks of dimensions nx > n2 ^ and E is the identity matrix of order n.
It turns out that we may choose the decomplexification of a minimal
complex versal deformation of the complex matrix A0 as a minimal versal
deformation of the real matrix A0.
Let us, for example, look for a minimal versal deformation of a real
matrix of the fourth order with two Jordan blocks of the second order and
eigenvalues x + iy. We may choose the four-parameter deformation which
is obtained by decomplexifying the complex versal deformation

(; :K a-
i.e., the following deformation with the parameters px, p2, r,, t2 :

1 —y 0 0
°\ 1° 0 \
X 0 -y ! Pi P2 -T1 -T2 ' z = x + iy
—L_
1

0 X 0 0 h = Pk + nk
y 0 il U
1 °
T2 Pi
0 1
Pi 1

By means of a similarity over the Field of real numbers, every real matrix
can be reduced to a block-diagonal form where a real Jordan matrix corre¬
sponds to every real eigenvalue and a block of the form (2) to every pair of
complex-conjugate eigenvalues.
We obtain a real versal deformation of a matrix reduced to this form
(with the smallest possible number of parameters) if we replace every block
by its minimal versal deformation. The minimum number of parameters of
a real versal deformation is thus given by the formula

d = ^ [n, (2) + 3n 2 (2) + 5n 3 (2) + - ■ • ],

where the summation is extended to all v eigenvalues, both real and complex.
Explicit formulas of versal deformations and tables of bifurcaction
§ 30. Matrices Depending on Parameters and Singularities of Decrement Diagrams 249

diagrams of real matrices are provided in the work of Galin for d — v ^ 3.

[D. M. Galin, Versal deformations of linear Hamiltonian systems, Trudy
Seminara Im. I. G. Petrovskogo, 1975, 1, p. 63-74, gives tables of versal
deformations of symplectic and Hamiltonian (infinitesimally symplectic)
matrices (we have in mind deformations preserving symplectic character).]
They are important for applications in mechanics.
One of the applications of the bifurcation diagrams obtained above
consists of the following. Let us assume that in the study of a phenomenon
we obtain a bifurcation diagram of structure different from those listed here.
Then it is likely that one of the following two events have occurred : either in
the idealization of the phenomenon something essential was missed which has
changed the structure of the diagram qualitatively or there were some special
reasons for an additional multiplicity of the spectrum or for the nontrans-
versality to the Jordan stratification (for example, symmetry or the Hamil¬
tonian nature of the problem).

F. The Problem of Classification of Singularities of Decrement Diagrams

As an application of versal deformations of matrices, we consider the solution of the

following problem. Let a family of homogeneous linear autonomous differential
equations be given. It is well known that the asymptotics of solutions as / -» + oo are
determined by that eigenvalue of the operator which has the largest real part. We ask
how this linear part depends on the parameters.
In engineering, the indicated real part (with a minus sign) is called the decrement.
Thus, our problem consists of the study of the behavior of the decrement under the
variation of the parameters of the system.
It is convenient to describe the behavior of the decrement under the variation of the
parameters by level curves (surfaces) of the decrement in the plane (space) of the
parameters. A family of level curves of the decrement in the plane of the parameters will
be called a decrement diagram.
The form of a decrement diagram varies from family to family: in some cases, a
decrement diagram can have very complicated singularities. It turns out, however, that
in generic families only certain simple singularities of decrement diagrams may occur:
all more complicated singularities disintegrate under a small perturbation of the family.
In this section we describe all singularities of decrement diagrams of generic two-
parameter families.
In the study of the dependence of systems on parameters, the classification of sin¬
gularities of generic decrement diagrams may render the same service as the classifica¬
tion of generic singular points in the study of phase portraits.
The appearance of a nongeneric singularity in a decrement diagram should cause
alarm: it may be explained by a special symmetry of the system or it may show the
inadequacy of the idealization ("ill-posedness”), in which small effects not accounted
for in the equations (for example, “parasitic connections” or "parasitics” in radio¬
electronics) are able to change the picture qualitatively.
The classification of singularities of generic two-parameter decrement diagrams
contains, in particular, the study of singularities of the boundary of a domain of
stability in generic three-parameter families of linear equations (surfaces of vanishing
decrements).
 250 6. Local Bifurcation Theory

These results may also be applied to nonlinear systems having stationary points
depending smoothly on the parameters: at these points, the decrement of the lineariza¬
tion of the nonlinear system will have only the simplest singularities as a function of the
parameters (in the case of a generic family.)
When we apply these results to nonlinear systems, however, we have to exclude the
part of the boundary of the domain of stability corresponding to vanishing roots, since
the smooth dependence of the stationary point on the parameters is not preserved.
Consequently, the desription of singularities of the boundary of the domain of stability
of a generic nonlinear system (and the description of decrement diagrams in the neigh¬
borhood of points of this boundary) requires additional analysis. We return to this
question in the following subsections.
In the study of iterations of mappings, and also of equations with periodic coefficients
or motions in the neighborhood of a periodic trajectory, the role of the decrement is
played by the largest absolute value of the eigenvalues. If this absolute value is different
from 1, then its singularities (as a function of the parameters in a generic family) are the
same as those of the decrement of a generic family. Therefore, in the following, we
consider only the decrement.
In the study of the absolute values of eigenvalues in noninear problems of the types
just indicated, the results of this section are applicable outside the boundary of stability
and at those points of the boundary for which 1 is not an eigenvalue.

G. Decrement Diagrams

In the Euclidean space R”, we consider a family of operators A depending smoothly on

the point /. of a parameter space A:

A(a): R" -» R".

Definition. The increment* of the family is the function J of the parameter whose value at
/. is equal to the largest real part of the eigenvalues of A(/.) :

/(;.) = lim - In ||ey4U,,||.

l-*ao t

The function / is continuous but not necessarily differentiable. Our problem is the study
of singularities of / for a generic two-parameter family. Consequently, the parameter
space A may be assumed to be the plane IR2 or a domain in the plane.
A family of level curves of / in the plane A will be called a decrement diagram. A dash
across a level curve indicates the direction of the slope, i.e., the direction in which /
decreases; in other words, the dash points in the direction of increasing stability.

Example

We consider the differential equation

z = xz + yz

*ln engineering, the quantity [ / | is called the decrement for / < 0 and the increment for
/ > 0. ^
§ 30. Matrices Depending on Parameters and Singularities of Decrement Diagrams 251

depending on two parameters (x, y). The matrix of the corresponding system has the
form

/0 1
A{x,y) =
\x y

The decrement diagram is given in Fig. 115. The parabola 4x + y2 = 0 divides the
(x, y)-plane into two parts. In each of them, the increment is a smooth function. To
the left of the parabola the eigenvalues are complex and f = y/2. To the right, the
eigenvalues are real and f = (y ± -J4x + y2)/2. The level curves of the increment are
tangent rays to the parabola.
All points of the parabola are singular points of the decrement diagram. To them
there correspond matrices A with Jordan blocks of order 2. To the left of the parabola
the increment changes linearly, and to the right it changes as the root.
It is clear that the singularity indicated here is unremovable by a small perturbation
of the family. There exist other unremovable singularities as well, our purpose is to
give their complete list.

H. Strata of Codimension 1 and 2 in the Space of Matrices

If one real eigenvalue or one pair of complex-conjugate eigenvalues* has the maximal
real part, then the increment is a smooth function in the neighborhood of the value
20 of the parameter.
The smoothness is lost only in the case where the eigenvalue with maximal real
part is not unique. The matrices for which several eigenvalues have the maximum real
part form a closed semi-algebraic subvariety Fin the space 1R” of all matrices of order
n. The codimension of this variety is equal to 1. Its complement consists of two open
components:

. Stratum (a). Exactly one real eigenvalue has the maximal real part.
D2. Stratum (a ± ioj). Exactly one complex-conjugate pair has the maximum real
part.

* Here and in the following we assume that the members of a complex-conjugate pair are
not real.
252 6. Local Bifurcation Theory

It is easy to stratify the manifold F. The strata of maximal dimension (of codimension
1) are exhausted by the following list:

FY. Stratum (a2). Exactly two coinciding eigenvalues have the maximal real part:
these eigenvalues are real, and a Jordan block of order 2 corresponds to them.
F2. Stratum (a, a + ico). Exactly three eigenvalues have the maximal real part: one
is real and the other two form a complex conjugate pair.
F3. Stratum {a. + z'co,, a ± z'a>2). Exactly two distinct complex-conjugate pairs have
the maximal real part.

It is clear that the strata /j, F2, and F3 are regular smooth nonclosed disjoint
submanifolds of codimension 1 in the space R" of matrices. The remainder TV/7, U
F2 U F3) of F (the variety of matrices with several eigenvalues with maximal real part)
is a closed semi-algebraic* subvariety of codimension 2 in the space R" of all matrices.
The strata of maximum dimension of F\(Fy Uf2U F3) have codimension 2 in R" . It is
easy to list them:

G}. Stratum (a3). Exactly three eigenvalues have the maximal real part; they are
real and a Jordan block of order 3 corresponds to them.
G2. Stratum ((a ± ico)2). Exactly two coinciding pairs of complex-conjugate num¬
bers have the maximal real part; Jordan blocks of order 2 correspond to them.
G3. Stratum (a2, a ± ico). Exactly four eigenvalues have the maximal real part; a
Jordan block of order 2 corresponds to two real ones and the two complex ones form
a complex-conjugate pair.
G4. Stratum (a, a + iojy, a ± ioj2). Exactly five eigenvalues have the maximal real
part: one real and two distinct complex conjugate pairs.
G5. Stratum {a ± zoz,, a + z'a>2, a + ico3). Exactly three distinct complex conjugate
pairs have the maximal real part.

The strata Gy-G5 are regular nonclosed disjoint subvarieties* of codimension 2 in

the space R" of all matrices. The remainder .F\U Fl\U G, is a closed semialgebraic
subvariety of codimension 3 in R" .
The weak transversality theorem (§ 29) implies the following.

Corollary. In generic two-parameter families of matrices, there are no matrices having

collections of eigenvalues with maximal real part other than (£>,, Z7, G,) listed above;
these collections occur only transversally.

Consequently, in a generic family the codimension 1 eigenvalue collections (FJ are

encountered on smooth curves having singular points only at those points of the
parameter plane where the collections (G,) of codimension 2 occur. The latter phenom¬
enon may occur only at isolated points of the parameter plane.
The segments of Z7, and F2, if we add their singular points G, to them, form curves
which divide the parameter plane into parts of two types: Dy and D2. It is easy to see
that all segments F3 lie in part D2.

*A semi-algebraic subvariety of a linear space is, by definition, a finite union of sets given
by finite systems of polynomial equations and inequalities.

tAll varieties D-„ Zj, G, are connected for sufficiently large n. Exceptions: for n = 2: D2
and Fy, for n = 4: F3, G2, and G3, and for n = 6: Gs have two components.
§ 30. Matrices Depending on Parameters and Singularities of Decrement Diagrams 253

Moreover, the points

G/a3) lie on the junction of Fj(a2) and F2(oc, a ± ico).

G2((a + z'oj)2) adhere to F3{a ± z'tu,, a ± ico2);
G3(oc2, a + z'tu) are on the junction Fj(a2), F2(a ± ztu), F3(a ± z'c/j1j2);
G4(a, a + ojj 2) are on the junction of F2(a, a + ioj) and F3(a + /co 1,2) i
G5(a + z'ojj 2,3) adhere to F3(a + kol 2).

In Fig. 116, we illustrated a (hypothetical) example of a configuration which can

be formed by these curves in the parameter plane of a generic family.

I. Structure of Decrement Diagrams near Points of

Codimension 0 or 1 Strata

In the complement of the set F of singularities, the increment /is a smooth function
of the parameters. Nevertheless, at some points of this complement, the decrement
diagrams may have singularities: they are the critical points of the function /
Outside F, the increment of a generic family has only simple critical points, i.e.,
points of the following three types (or six types, if we distinguish between the cases
(£>,) of real eigenvalues and (D2) of complex eigenvalues):

D°. Minimum. In the neighborhood of the critical point of the parameter plane
under consideration, we can choose smooth coordinates (x, y) such that the increment
will have the form f = const + x2 + v2.
£>/. Saddle Point. In appropriate coordinates, we have/= const + x2 — y2.
D2. Maximum, f = const — x2 — y2.

Let us now study the behavior of the function /near nonsingular points of F, i.e.,
near interior points of the curves / in the parameter plane. We distinguish between
two cases: a point of a curve F, is either noncritical for the increment viewed as a smooth
function on the curve, or it is critical.
The transversality theorem implies that in generic families, critical points of the
restrictions of the increment to the curves / can only be nondegenerate maxima or
minima.
Combining this information with the explicit formulas of versal families of matrices
from § 30B, we obtain, without any difficulty, the following normal forms of the
increment near points of strata of codimension 1.

Theorem. In the neighborhood of a noncritical point of the restriction of the increment

of a generic family to a curve / , smooth coordinates (x, y) can be chosen in the parameter
plane so that the increment f assumes one of the following three forms {Fig. 117):
 254 6. Local Bifurcation Theory

Figure 117.

Case F° (Jordan Block)

if x 0,
/ const + y +
if * ^ 0.

Cases F° and F° (Simple Passing)

f= const + x + |>’|.

The curves F° and F° divide the domains Z), and D2 of real and complex roots.
The level curves of the increment meet F: tangentially from the side of the real roots
and transversally from the side of the complex roots. The level curves of the decrement
meet F2 and F3 transversally from both sides at the points F2 and F°. The angle of level
curves (smaller than 180°) on the segments f contains the direction of the decrease of
/along the curve in all cases.

Theorem. In the neighborhood of a critical point of the restriction of the increment of a

generic family, coordinates (x, y) can be chosen so that the increment takes one of the
12 forms below {Fig. J18).

Cases F\ and F3, k = 1, ... ,4 (Conditional Extremum on Passing)

f — const + ex2 + q>{y) + |_y|, e = (—l)*,

where <p(y) = ay 4- • •• is a smooth function and a > 0, a ^ 1.

The four values of k are obtained by combining the two signs of e and the two
possibilities for a:

k 1, 2 3, 4
1
a | (0, 1) (1, +30)

The odd k correspond to a conditional maximum and the even k to a minimum. To

see the decrement diagram clearly, it is enough to consider the case cp(y) = ay: in
§ 30. Matrices Depending on Parameters and Singularities of Decrement Diagrams 255

Figure 118.

this case, the level curves of / consist of segments of two parabolas translated along
the y-axis.

Cases Ff k = 1, . . . , 4 (Conditional Extremum with Jordan Block a2)

7 C/p if y 0,
./ = const + ex- + cp(y) + <
(_ 0 if y 0.

Here e = ±1, (p(y) = ay + ■■■ is a smooth function, a =£ 0.

The four values of k are obtained by combining the signs of e and a :

k 1 2 3 4
+

sign of £, sign of a
1

++
1
1
1

The odd k correspond to a conditional maximum and the even k to a minimum. To

obtain a clear picture of the decrement diagram, it is enough to consider the cases
<p{y) = ±y-
Our theorem asserts that the increment of a generic two-parameter family has no
singularities at the interior points of the F curves other than the 15 types F* listed
(15 = 3+ 12): if there are other singularities in a family, then we can remove them
by an arbitrarily small perturbation of the family. The singularities Fj1 are obviously
unremovable.

J. Structure of Decrement Diagrams near Codimension 2 Strata

In the study of singularities of codimension 2 strata in generic two-parameter families,

we may consider only the “most nondegenerate” cases, since every degeneracy increases
the codimension and the singularity becomes removable.
256 6. Local Bifurcation Theory

Combining the transversality theorem and the explicit formulas for versal families
of matrices from § 30B, we obtain the following normal forms of the increment near
points of codimension 2 strata.

Theorem. In the neighborhood of a point of every codimension 2 stratum (G, in the notation
of § H) in the plane of parameters of a generic family, smooth coordinates (x. y) can be
chosen so that the increment f assumes one of the 18 forms listed below {Fig. 119).

Cases G,1 (A Jordan Block of Order 3)

/ = q>{x, y) + /.{x, y),

where /. is the largest among the real parts of the roots of the cubic equation /.3 = x/. + y
and tp is a smooth function such that (f <p/Cx)( 0, 0) = a ^ 0.
The form of the decrement diagram is determined by the sign of the number a.
The signs “ + ” and “ —” in Gf correspond to a > 0 and a < 0. To clearly see
the form of the decrement diagram, it suffices to consider the cases <p — ±x. Two
singular curves meet tangentially at the point x = y = 0: a ray F2 {y — 0, .v < 0) and
one-half of a semicubic parabola Fj (4x-3 = 21y2,y < 0). These two curves separate
the (convex) domain D2 of complex-conjugate roots from the domain Z), of real roots.
In moving along the boundary of the domains £), and Dz, the increment / changes
monotonically if a > 0 and has a minimum at the point G,- if a < 0. From the side
of D,, the level curves of / are tangent to the semicubic parabola Fi.

Cases Gy (A Complex Pair of Jordan 2-Blocks)

/= <p(.r, y) -I- | Re^/.v + iy\.

Here Re is the real part and <p is a smooth function such that {d<pjdx){0, 0) = a ^ 0.
§ 30. Matrices Depending on Parameters and Singularities of Decrement Diagrams 257

The form of the decrement diagram is determined by the sign of the number a.
The signs + and — in G 2 correspond to a > 0 and a < 0. To visualize the form of
the decrement diagram clearly, it is enough to consider the cases (p = ±x. The ray F3
(y = 0, x < 0) arrives (and ends) at the point x = y = 0. In the case a < 0, the
function /has a minimum at the point GJ(x = y = 0). In the case a > 0, the point
GJ {x = y = 0) is topologically nonsingular for / The level curve of /going through
this point has a singularity of semicubic type.

Cases G3 (k = 1, . . . , 6; Collision of a Complex Pair with a Jordan Block):

\Jx, <p(x, y) if x ^ 0,
/ const + y + max
0, <p(x, y) if x 5= 0.

<p(x, y) = ax + by + ■ - ■ is a smooth function with a ^ 0, b 0, and b ^ — 1.

The six values of k are obtained by combining the two possibilities for the sign of
a and the three intervals of variation of b:

k I 2 3 4 5 6
sing of a + + - +
interval of b (0, +oo) (0, +30) (-1,0) (-1,0) (-00,-1) (-30,-1)

To visualize the form of the decrement diagram clearly, it is enough to consider a linear
function q>. Three smooth rays , F2, and F3 enter the origin. Fl and F2 come from
opposite directions (with tangency of the first order), and F3 comes transversally from
the side D2 of complex roots. In the case G3 (i.e., where a < 0, b < — 1), the increment
has a minimum at the point x = y = 0; in the remaining cases, the point G3(k =F 5)
is a topologically nonsingular point of/

Cases G\(k = 1, 2, 3) (Double Passing)

tp = const + x + max(|y|, ip{x, y)),

where <p(x, y) = ax + by + ■■■ is a smooth Junction, a < 0, b > 0, a + 1 ^ +b.

The three values of k for Gk5 correspond to intervals of variation of a\

k 1 2 3

condition on a b — 1 < a —b — \ < a < b — 1 a < —b — 1

To see the form of the decrement diagram clearly, it suffices to consider a linear
function <p.
In each of the three cases (k = 1,2, 3), three smooth branches of the curve F3
converge transversally at the point Gk. In the last case, this point is a minimum of the
increment; in the first and second cases, it is a topologically nonsingular point. In
approaching the point Gk along k of the three rays, the increment decreases. It increases
on the remaining ones.
 258 6. Local Bifurcation Theory

Cases Gj(k = ±1, ±2, 3) (Double Passing with the Participation of a Real Root).
The increment is given by the same formula as in cases G5\ but we have to distinguish
between more cases depending on the question to which of the sectors the real root
corresponds.
If k is negative, one obtains cases in which, in approaching the point G4, the incre¬
ment increases on the curve F3 (on which the complex pairs collide). The two other rays
are branches of F2.

K. Discussion

Considering the normal forms listed above, we can arrive at a series of conclusions of
general character concerning the structure of the decrement diagram both locally and
globally. First of all, our theorems imply the following corollary.

Corollary. The increment j: A —» R of a generic two-parameter family is topologically

equivalent to a smooth function having only simple critical points.

These points are minimum points of the types Df Ff, G,_2, G|, G4 5.
The points D} and F,3 are topologically equivalent to a saddle point. In the neigh¬
borhood of the maximum points (Df), the increment is a smooth function. The points of
the remaining types are topologically nonsingular.
This corollary obviously implies inequalities for the numbers of the singular points of
various types. In particular, if a closed level curve of the increment encloses a simply
connected domain, then the total number of points of types Df1, Ff G^ 2, G 3, G3 5 inside
this domain exceeds the number of points Df, F3 by l. It is not known whether the
corollary can be carried over to /-parameter families with / > 2*.
The fact that the segments F, and F2 together form closed curves and the description
of the singularities at the ends of the segments F3 imply the following.

Corollary. If the parameter space A is a closed two-dimensional manifold, then (i) the
numbers oj points of types G, and G3 have the same parity and (ii) the total number of
points of type G2, G3, G4, or G5 is even.

If, for the parameter space A, we take a compact domain with boundary transversally
intersecting F, and not going through the points G,, then the result is changed in the
following way: the total number of points of type G{ or G3 has the same parity as the
total number of points of intersection of the boundary with F, or F2, and the total
number of points of type G2, G3, G4, or G5 has the same parity as the number of points of
intersection of the boundary with F3.
In particular, this study of the increment enables us to study the singularities of the
boundary of stability (i.e., curves of increment zero) in the parameter plane of generic
two-parameter systems. Our theorems imply the following corollary.

Corollary. The boundary of stability oj a generic two-parameter jamily of matrices consists

oj smooth arcs intersecting transversally at their endpoints.

* We note that in the case 1=2, the singularities of the increment of a generic family are
of the same type as the singularities of the largest real part of the roots of an algebraic equation
whose coefficients are generic functions depending on / parameters. For / ^ 3, this is not so:
the increment can have more complicated singularities.
§ 30. Matrices Depending on Parameters and Singularities of Decrement Diagrams 259

We note that the corner points of the boundary of stability can be of types F,°
(“Jordan 2-block”) or F°, F° (“simple passing”), according to the classification of § 301
and § 30J. Therefore, each of the arcs of the boundary of stability can be continued
through its endpoints without losing smoothness. Moreover, the total number of corner
points of types F° or F° on every closed component of the boundary of stability is
always even.
We also note that our analysis of the singularities of the increment of two-parameter
families is sufficient for the study of the boundary of stability in three-parameter
families.
Indeed, according to the transversality theorem, the singular points of strata of
codimension 3 and the critical points of the restrictions of the increment to strata of
codimension 0, 1, or 2 can be removed from the boundary of stability by a small per¬
turbation of the family. Consequently, the boundary of stability of a general family
consists of smooth surfaces, and its singularities lie on curves in which the boundary of
stability intersects the surfaces of types Ft and at points of intersection of the boundary of
stability with the strata G, (the latter appear in the form of curves in generic three-
parameter families).
Moving along such a curve G,, we may consider our three-parameter family as a
one-parameter family of two-parameter families (two of the parameters are coordinates
in a small area transversal to G, and one is the coordinate t along G,). Considering the
normal forms of § 30J and § 30K, we now have to assume that all constants and the
arbitrary functions <p depend smoothly on the parameter t. Moreover, generically, we
may use the functions <p{x, y, t) as the parameter z. This leads to the following conclu¬
sion.

Corollary. The singularities of the boundary of stability of a generic three-parameter family

of matrices are of the same types as the singularities of the graphs of increments of generic
two-parameter families*.
Up to diffeomorphism*, these singularities are described by the following list {Fig.
120):

A dihedral angle {f): \y\ + z = 0;

A trihedral angle (G3j4iS): z + max(x, |y|) = 0.
A dead end on an edge (G2).' z + |Re fx + (y| = 0. (This surface in R3 is diffeomor-
phicf to the surface given by the equality XY2 = Z2, where X ^ 0, Y ^ 0).
A broken edge {Gf): z + X{x, y) — 0, where X is the largest of the real parts of the
roots of the equation X3 = xX + y. {This surface in R3 is diffeomorphic* to the surface
given by the equation X2 Y2 = Z2, where X ^ 0, Y ^ 0.)

The angles of the boundary of stability are always directed outside, driving a wedge
into the domain of instability. This is apparently the consequence of a very general
principle, according to which everything good is fragile1.
What has been stated previously also implies some global properties of the boundary

* Similarly, the singularities of the boundary of stability of (n + l)-parameter families

are of the same types as those of the graphs of increments of n-parameter families.

+ We have in mind a mapping extendable to a diffeomorphism of the neighborhood of

the surface.

*In generic ^-parameter families of matrices, only a finite number of singularities of the
stability boundary occur for k arbitrarily large (up to a local diffeomorphism of the ambient
space (Levantovski)).
260 6. Local Bifurcation Theory

of stability. For example, if the boundary is closed, then the total number of vertices of
types (G,, i > 1) is even, just as the total number of vertices of type G, or G3 are even.
The proofs of the theorems above may be found in the article V. I. Arnol’d, Lectures
on bifurcations and versa! systems, Uspekhi Mat. Nauk 27, 5 (1972), 119-184 [Russ.
Maths. Surveys, pp. 54-123]. See also, L. V. Levantovski, On the singularities of the
stability boundary, Vestn. Mosk. Univ. Ser. 1 Mat. Mekh., 1980, 6, 20-22; and L. V.
Levantovski, On the boundary of the set of stable matrices, Uspekhi Mat. Nauk, 35, 2
(1980), 213-214. L. V. Levantovski, Singularities of the stability boundary, Funct.
Anal. Appl. 16, 1 (1982), 44-48.

§31. Bifurcations of Singular Points of a Vector Field

In this section, we consider one-parameter families of differential equations.
We study the bifurcations of singular points in generic families.

A. The Curve of Singular Points

Let us consider a vector field depending smoothly on a parameter. We

assume that for some value of the parameter the field has a singular point. We
ask: What happens to the singular point if the parameter is changed?
§31. Bifurcations of Singular Points of a Vector Field 261

Theorem. Any singular point of a vector field depending smoothly on a para¬

meter depends smoothly on the parameter itself provided that all eigenvalues oj
the linear part of the field at the singular point are different from zero.

<4 In the neighborhood of the point and the value of the parameter studied, a
family of fields in an ^-dimensional phase space is given by n functions of
n + 1 variables (n phase coordinates and the parameter e). The singular
points are given by a system v(x, e) = 0 of n equations for the n + 1 variables.
By the implicit function theorem, these equations locally determine a
smooth curve x - y(£) if at the original point the determinant of dv/dx is
different from zero. On the other hand, this determinant is equal to the
product of the eigenvalues of the linearization of the field at the singular
point. It is different from zero by assumption. ►

Remark. The singular points at which all eigenvalues of the linearized field
are different from zero are called' nondegenerate. Consequently, if a field
depends smoothly on a parameter, then its singular points depend smoothly
on the parameter, provided that they remain nondegenerate.

The above proof remains valid for any dimension of the parameter space.
All singular points of a generic field are nondegenerate. Nevertheless, if we
consider a family of vector fields, then degeneracies, which are unremovable
by a small perturbation of the family may occur for some values of the
parameter.
We study degeneracies in generic one-parameter families for vector fields
in an rc-dimensional space.
Let us consider the (n + l)-dimensional space which is the direct product
of the phase space with the axis of the parameter e. We shall denote a point of
the phase space by x. Our family determines a family

x = v(x, e)

of differential equations.
In our n + 1-space, we consider the set formed by the singular points of
the equations of the family for all values of the parameter (Fig. 121):

T = {x, e: v(x, e) = 0}.

Figure 121.
262 6. Local Bifurcation Theory

Theorem. For a generic family, the set of singular points is a smooth curve.

Here and in the following, the words “generic families” mean “families
from an everywhere dense set in the space of all families”; the everywhere
dense set in question is open if the domain of definition of the family is
compact or if the families are considered in the fine topology (cf., § 29); in
any case, this everywhere dense set is the intersection of a countable number
of open sets.
The theorem follows from the transversality theorem (§ 29) or from
Sard’s lemma {§ 10).
Indeed, by the implicit function theorem, T is a locally smooth curve if 0 is
not a critical value of the local mapping (Rn+1 —► IR", (x, e) t—> v(x, e). On the
other hand, for a generic mapping, the value 0 is not critical.

Remark. In this thoerem, the dimension of the parameter space is irrelevant

(dim r is the dimension of the parameter space).

The theorem just proved immediately excludes certain bifurcations of

singular points.
For example, we consider the bifurcations on the left-hand side of Fig. 122.
It follows from the theorem that these bifurcations are not preserved under a
small perturbation of the family. Indeed, it is easy to see that generically
these bifurcations disappear under a small perturbation in one of the ways
indicated on the right hand side of Fig. 122. If in a problem there appear
bifurcations of the form indicated on the left-hand side at Fig. 122, then this
tells us that the family under consideration is not generic. This can be due to
some peculiar symmetry of the situation or can indicate the inadequacy of
the idealization in which we neglected some small effect which leads to a
qualitative change of the behavior of singular points in dependence of the
parameter. To see which of the cases occurs in the real system in the idealiza¬
tion of which a nongeneric bifurcation has arisen, it is necessary to calculate
some terms of the differential equation which have been omitted in our
idealization. The formulas in the following subsections suggest which terms
should be calculated.

><

Figure 122.
§31. Bifurcations of Singular Points of a Vector Field 263

B. Bifurcation Values of the Parameter

We assume that the set of singular points of the family is a smooth curve
(rank(ru/c(x, e)) = n). We consider the mapping of projection of this
smooth curve onto the axis of the values of the parameter. The points at
which the curve is projected badly onto the g-axis are exactly the degenerate
singular points. Indeed, by the implicit function theorem, the curve of
singular points is the graph of a smooth function of the parameter in the
neighborhood of a nondegenerate singular point.

Definition. A value of the parameter to which a degenerate singular point

corresponds is called bifurcation value of the parameter, and the degenerate
singular point itself in the direct product of the phase space with the axis of
the values of the parameter is called a bifurcation point.
We consider the parameter e as a function on the curve of singular points.
The bifurcation values of the parameter are the critical values of this junction,
and the bifurcation points are the critical points of the junction (the points
where the differential of the function vanishes).
A critical point of a function is said to be nondegenerate if the second
differential of the function at the point is nondegenerate. (In the case under
consideration, we speak of functions of one variable. Nondegeneracy of the
second differential means that it is different from zero). The corresponding
bifurcation point is called a nondegenerate bifurcation point.

Definition. A bifurcation value of the parameter is said to be regular if exactly

one nondegenerate bifurcation point corresponds to it.

Theorem. For one-parameter generic families, all bifurcation values of the

parameter are regular. Ij the phase space is compact, then the bifurcation values
of the parameter are isolated.

^ This is a simple consequence of the transversality theorem. The details are

left to the reader.

Remark. The theorem states that, as the parameter varies, the singular points
of a generic family may only annihilate each other pairwise or be born in
pairs, when the parameter passes through bifurcation values (Fig. 121). The
bifurcations of this type are stable (are preserved under a small perturbation
of the family). All more complicated bifurcations disintegrate into several
bifurcations of the type described (Fig. 123) under a small generic pertur¬
bation.

C. An Example: Vector Fields on a Line

We consider a one-parameter family of vector fields on a line determining the

differential equation
 264 6. Local Bifurcation Theory

x = ±xz + e, x e IR, e e R.

For £ = 0, this vector field has the simplest nondegenerate singular point
(x = 0). If the parameter passes through the regular bifurcation value £ = 0,
then, depending on the sign of x2, either the two singular points (stable and
unstable) annihilate each other or a pair of singular points is born whose
members run apart immediately (with asymptotics VRI)-
It is easy to verify that the bifurcation in this example is the only bifurca¬
tion that cannot be removed in generic one-parameter families of vector
fields on a line.

Definition. Let two parameter-dependent families of vector fields be given.

The two families are said to be topologically equivalent if there exist a
homeomorphism between the parameter spaces and a family of homeomor-
phisms of the phase space depending continuously on the parameter and
mapping a family of oriented phase curves of the first family for every
value of the parameter into the family of oriented phase curves of the second
family for the corresponding value of the parameter.

We note that the homeomorphisms mentioned in the above definition

determine a homemorphism of the direct products of the phase spaces with
the spaces of the parameters (x, e) h-* (h(x, e), <p(e)) converting the phase
curves of the system x = t>(x, e), e = 0 into phase curves of the same form of
the second system.
The equivalence of germs of families at a point is defined in an analogous
way. If the pair (x0, e0) consists of a point of the phase space and a point of the
parameter space, then the homeomorphisms realizing the equivalence have
to determine a homeomorphism (x, e) i—► (h(x, £), <p(£)) °f some neigh¬
borhood of the point (x0, £0) in the direct product.

Theorem. In the neighborhood of a nondegenerate bifurcation point, a one-

parameter family of vector fields on a line is equivalent to the germ of the family
given by the equation x — x2 + e at the point x = 0, £ = 0.

The function v(x, e) determining the field changes its sign on the curve T.
We choose the origin of the coordinates (x, e) at the bifurcation point. In
view of the nondegeneracy of this point, the equation of T has the form
£ = Cx2 + 0(|x|3), C ^ 0. This immediately implies our state. ^
§ 32. Versal Deformations of Phase Portraits 265

The theorem just proved, together with the theorem of § 31B, furnishes a
complete topological description of bifurcations of singular points of vector
fields on a line in generic one-parameter families.

D. Bifurcations of Periodic Solutions

Bifurcations of fixed points of smooth mappings and bifurcations of periodic

solutions of differential equations (bifucations of closed phase or integral
curves) can be studied in exactly the same way. The condition of non¬
degeneracy of a fixed point of a mapping means that all eigenvalues of the
linearization are different from 1. In the case of periodic solutions, the
eigenvalues of the linearization of the Poincare mapping (that is, eigenvalues
of the monodromy operator determined by the equation in the normal
variations along the solution being considered) must not be equal to 1.
In particular, if for e = 0 the equation x = v(x, e) has a periodic solution
x = <p(t) with period T and the above nondegeneracy condition is satisfied,
then for small e a periodic solution x = €>(/, £) with period T(e) and turning
into cp for £ = 0 exists and is unique (of course, it is the phase curve which
is unique: the initial time may be changed).

Remark. The search for the periodic solution <D in the form of a series in e is
called the Poincare method of a small parameter. The solution cp is called the
generating solution. An analogous method can be used in the nonautonomous
case where v has period T(e) in t and we look for TXQ-periodic solutions.

Problem. With an error on the order of e2, find a 27t-periodic solution of the equation
x = sin x + e cos t with x = 0 for e = 0.

§ 32. Versal Deformations of Phase Portraits

In this section, we determine topologically versal deformations of phase

portraits and give their explicit form for the simplest degenerate singular
points.

A. Theory of Local Bifurcations and Local Qualitative Theory

As has been mentioned above, unremovable degenerate singular points can

occur in the case where we are interested in a family of fields depending on
a parameter rather than an individual vector field. Moreover, in generic
families, only the simplest degeneracies occur.
The usual methods of the qualitative theory of differential equations
(cf., Chap. 3) can be applied to the study of the structure of a vector field near
a degenerate singular point. For the simplest degeneracies, these methods
 266 6. Local Bifurcation Theory

Figure 124. Figure 125.

enable us to perform a sufficiently complete topological study of the phase

portrait. Thus, we are able to study the phase portrait for both general and
singular values of the parameter. This is the usual approach to problems
concerning families of differential equations.
A consideration of the simplest bifurcations shows that this approach
obscures the very essence of phenomena taking place near a critical value of
the parameter. This is so because the neighborhood of a nondegenerate
singular point in which the phase portrait is given by the local theory shrinks
to zero in approaching the singular value of the parameter (Fig. 124) and
increases again with a jump at the singular value of the parameter. As a
result, the metamorphosis of the phase portrait (say, the approach of a
neighboring singular point) remains outside the domain of applicability of
the local theory.
Consequently, the local theory excludes bifurcation, the most important
phenomenon at a singular value of the parameter.
This leads us to the conclusion that the study of degenerate singular points
represents a real interest only in the case where it is accompanied by the study of
Jamilies in which this type of degeneracy is unremovable, the study taking place
in the neighborhood of the degenerate singular point in the direct product of the
phase space with the parameter space. In other words, the neighborhood of
the singular point in the phase space in which the phase portrait has to be
studied must not depend on the parameter (must not shrink to zero as the
parameter approaches the singular value).
Exactly the same arguments show how dangerous it is to make an error
in determining the number of parameters essential for the study of a bifurca¬
tion. For example, in the study of an essentially two-parameter phenomenon
from the one-parameter point of view, the following phenomenon is typical
(Fig. 125). For every value of the parameter forgotten, we succeed in studying
bifurcations in a one-parameter family of equations depending on a second
parameter. Nevertheless, near the singular value at which we succeed in
performing the study, the interval of values of the second parameter will
shrink to zero as the parameter not taken into consideration approaches the
singular values. If we consider the problem as a two-parameter problem (i.e.,
in a neighborhood of the singular value of the first parameter not depending
on the value of the second parameter), we can study the bifurcations by
local methods, which seem global from the one-parameter point of view.
An example of such a two-parameter problem which appears to be a
§ 32. Versal Deformations of Phase Portraits 267

one-parameter one at first glance is the problem of the loss of stability of a

closed phase curve. Here the natural parameter is the absolute value of the
eigenvalue of the monodromy operator; the second parameter, usually
missed, is the argument of the eigenvalue crossing the unit circle. We return
to this example in § 34.

B. Topologically Versal Deformations

We consider the family x — v(x, e) of differential equations.

A local family (u; x0, e0) is, by definition, the germ of the mapping v at
the point (x0, e0) of the direct product of the phase space and the parameter
space. Thus, every representative of this germ is given in the neighborhood of
the point (x0, s0) in the direct product (and not in the neighborhood of the
point x0 in the phase space).
An equivalence of the local systems (1) (v; x0, e0) and (2) (w; y0, e0) is, by
definition, the germ [at the point (x0, e0)] of a continuous mapping h,
y = h(x, e) such that for representatives of the germ for every e, h( -, e) is
a homeomorphism converting phase curves of the system (1) (in the domain
of h) into phase curves of the system (2) with h(x0, e0) = y0 and preseving the
direction of motion. We note that for e # e0 the point x0 does not have to be
converted into y0 by the mapping h{ -, e).
A local family (3) (u; x0, e0) is induced from the family (1) by means of the
germ at the point p0 of a continuous mapping q>, e = (p(p), where tp(p0) — e0
if k(x, h) = v(x,
A local family (v; x0, e0) is called a topologically orbitally versal (more
briefly, simply, versal) deformation of the germ of the field v0 = v( ■, 60) at the
point x0 if every other local family containing the same germ is equivalent to
one induced from the given family.
In the following, we shall occasionally speak of deformations, equiva¬
lences, induced and versal deformations of differential equations, having in
mind the corresponding concepts for the vector fields determining the
equations.
We would like to emphasize that the existence of a topologically versal
deformation of a given germ of a vector field is not at all obvious; it is easy to
give examples of fields not admitting such a deformation with a finite number
of parameters (for example, the zero field). Nevertheless, in the cases where a
versal deformation exists, is found, and analyzed, the information thus
obtained is quite rich. The determination and study of a versal deformation is
a means of concentrated representation of results of a very complete study
of bifurcations of phase portraits.

Example

The deformation x = ±x2 + £ of the differential equation x — ±x2 is

versal.
 268 6. Local Bifurcation Theory

Figure 126.

Cf., the preceding section.

C. Sositaisvili’s Reduction Theorem

The bifurcation of the preceding example (birth or annihilation of a pair of

singular points) exhausts bifurcations in generic families of vector fields on
the line (cf., § 31). In the multi-dimensional case, the birth or annihilation of a
pair of singular points is generic, too. Meanwhile, what happens to the phase
portraits?
It turns out that if one characteristic number is equal to zero, a topolog¬
ically versal deformation of a general degenerate singular point in IR" can
be obtained from the equation of the preceding example by the simple
suspension

X = +x2 + £, xeR, eeR,

y = —y y e R"~

z = z, z e R" +

where n_ and n+ are the numbers of the roots of the characteristic equation in
the left and right half-planes, respectively. For example, for n — 2, this
system describes the coalescence of a nodal and saddle points (Fig. 126). For
£ = 0 we obtain a so-called saddle-node.
In § 31 we called bifurcation points those points in the direct product of the
phase space with the space of the values of the parameter for which the
characteristic equation has a vanishing root.

Theorem. In the space of one-parameter families of vector fields, an everywhere

dense* set is formed by the generic families which are in the neighborhood of
every bifurcation point, topologically equivalent to a family (1) in the neigh¬
borhood of the origin.

It is convenient to prove this theorem by reducing it to the case n = 1, in

which case the theorem is obvious (and is proved above). Such a reduction

*As usual, the set of generic families is the intersection of a countable number of open
sets. It is open if the domain of definition of the family is compact or if we use the fine topology.
§ 32. Versal Deformations of Phase Portraits 269

enables us to decrease the number of phase coordinates to the necessary

minimum and can be performed once and for all in the most general situation.
We consider a local family of vector fields (u;jc0,e0) depending on a
finite-dimensional parameter. For the sake of brevity, we shall assume that

x0 = 0 e R", e0 = 0 e Rfc.

Suppose x = 0 is a singular point of the field v( ■, 0) and the correspond¬

ing characteristic equation has n_ (correspondingly, n + , n0) roots in the left
half-plane (correspondingly, in the right half-plane, on the imaginary axis).

Theorem. Under these assumptions, the family is topologically equivalent to

the following suspension over a family with phase space of dimension n0 :

t = w(£, s), £ e R"°, g e Uk,

y - -y, y e R"-,

z = z, z e R”+.

The proof of this theorem may be found in A. N. SositaTsvili, Bifurcations

of topological type of a vector field near a singular point, Trudy Seminara
I. G. Petrovskogo 1, (1975, pp. 279-309; cf., also, Funct. Anal. Appl. 6,
2 (1972), 97-98, where the theorem is first formulated).
•4 The proof goes along the same lines as that of Anosov’s theorem on
Anosov systems: its basic part consists of the construction of five foliations
(contracting, expanding, neutral, noncontracting, and nonexpanding) in the
direct product of the phase space with the parameter space. (The parameters
can be treated as additional phase variables to which the equation e = 0
corresponds; we have to watch out that under equivalences the planes
£ = const turn into planes of the same family.) ^

The existence of the five foliations was proved by Tikhonova, independently of the
needs of bifurcation theory [E. A. Tikhonova, Analogy and homeomorphism of perturbed
and unperturbed systems with a block-triangular matrix. Differential Equations 6, 7
(1970), 1221-1229], and by Hirsch, Pugh, and Shub [M. W. Hirsch, C. C. Pugh, M.
Shub, Invariant manifolds. Bull. Am. Math. Soc. 76, 5 (1970), 1015-1019], The case
n+ — 0 was considered earlier by Pliss [V. A. Pliss, A reduction principle in stability
theory of motions, Izv. AN. USSR, Ser. Mathem. 28, 6 (1964), 1297-1324],

The differential equation £ = w(^, e) of the reduced system is realized

in the original system on some smooth neutral submanifold of dimension n0,
called the center manifold, depending smoothly on £ in the phase space.
The smoothness of the center manifold is finite (it increases as e —*■ 0) and the
submanifold is not uniquely determined (as the simplest examples show).
Nevertheless, the behavior of phase curves, including the whole picture
of bifurcations, is determined for the entire equation by what takes place
 270 6. Local Bifurcation Theory

on the indicated center manifold (and, in particular, does not depend on

the choice of the center manifold).
SositaTsvili also proved that the versality of the original deformation is
equivalent to the versality of the reduced deformation (i.e., the versality
of the original deformation on the neutral manifold).
Consequently, the topological study of local degeneracies of phase
portraits near singular points, including the study of all possible bifurcations,
can be restricted to the case where all roots of the characteristic equation
lie on the imaginary axis. The passage to the general case can be completed
by a simple suspension (direct product with the standard saddle point
y = —y, z = z)-

Example

From what has been said above, it specifically follows that, when a pair
of singular points in a generic one-parameter family of vector fields is
born, one (and only one) phase curve leads from one of the new singular
points to the other (for values of the parameter close to the bifurcation
values).

§ 33. Loss of Stability of an Equilibrium Position

Here we study bifurcations of the phase portrait of a differential equation

as a pair of roots of the characteristic equation crosses the imaginary axis.

A. Example: Soft and Hard Loss of Stability

We begin with an example of a one-parameter family of vector fields in the

plane, going back to Poincare and Andronov. We write it in the following
complex form:

z = z(ia> + £ + czz), (1)

where z = x + iy is the complex coordinate on IR2 considered as the plane

of the complex variable z.
In the preceding formula, co and c are real nonzero constants, which can
be assumed to be equal to ± 1 if we wish; £ is a real parameter.
For all £, the point z = 0 is a focal type equilibrium position. This focus
is stable for £ < 0 and unstable for £ > 0. For s = 0, linear approximation
gives a center; the character of the singular point is determined by the
sign of c: c < 0 corresponds to stability and c > 0 to instability.

In the analysis of singular points performed here locally in z, we observe that the
singular point loses stability at the moment e = 0, but we omit an important phenomenon
§ 33. Loss of Stability of an Equilibrium Position 271

Figure 127. Figure 128.

connected with the loss of stability: the birth of a limit cycle (cf., Fig. 129). To avoid
such a mistake, one must consider a neighborhood of zero in the (z, e)-space and not
in the z-space for fixed e.

It is convenient to perform the study in the neighborhood of zero in the

(z, e)-space in the following way. We consider the function p(z) = zz. From
Eq. (1), we obtain the following equation for p:

p = 2p(e + cp), p ^ 0.

The family of equations thus obtained is easy to study on the ray p ^ 0.

In addition to the singular point p = 0, for every e there exists another
singular point p = —e/c (if e and c are of opposite signs). For c > 0, the
vector field p has one of the forms indicated in Fig. 127, depending on the
sign of e.
The point p = 0 corresponds to the origin on the z-plane, and the point
p = — e/c corresponds to the limit cycle (real only if e and c have opposite
signs).
In order to understand the situation better, we plot e on one axis and |z|
on both sides of the other. Then the behavior of the cycle in the variation
of the parameter is illustrated by one of the two diagrams in Fig. 128,
depending on the sign of c. The radius of the cycle is proportional to \Z[ej.
First, we consider the case c < 0. As e passes through 0, the focus at
the origin loses stability. For e = 0, at the origin the focus is also stable
but not robust: the phase curves approach 0 nonexponentially (Fig. 129).
For e > 0, moving from the focus to a distance proportional to ^/i, the
phase curves wind onto a stable limit cycle. Consequently, in the case c < 0,
the loss of stability in the passage of e through 0 takes place with the birth
of a stable limit cycle whose radius increases with J~e.
In other words, the stationary state loses stability and a stable periodic
regime arises whose amplitude is proportional to the square root of the
deviation of the parameter from the critical value. In this situation, physi¬
cists speak of a soft generation of self-sustained oscillations.
272 6. Local Bifurcation Theory

£<0 £=0 £>0 £ <0 £=0 £>0

Figure 129. Figure 130.

In the case c > 0 (Fig. 130), a limit cycle exists for e < 0 and is unstable.
As e converges to 0, the cycle settles onto an equilibrium position, which was a
stable focus for e < 0. For s = 0, the focus becomes unstable (the instability
is weak, nonexponential). For positive £, the focus is unstable even in linear
approximation.
This loss of stability is called hard for the following reason.
Imagine that the system is near a stable equilibrium position and that
under the variation of the parameter this equilibrium position loses stability.
In the case c > 0, as £ approaches 0 from the negative side (or even somewhat
sooner) the ever present perturbations pull the system out of the neighbor¬
hood of the equilibrium position and it jumps into some other regime
(for example, a faraway equilibrium position, limit cycle, or a more com¬
plicated attracting set). Consequently, under the continuous variation of
the parameter, the behavior of the motion changes stiffly, in a jump.
In the case c < 0, although the amplitude of the self-sustained oscillations
born from the equilibrium does not depend on the parameter smoothly
(radical singularity) it does so continuously; in this sense, the behavior of
the motion changes softly.
In the study of Eq. (1), we have essentially used the “versal” point of
view: if we had considered a neighborhood in the z-space for fixed £ instead
of a neighborhood in the (z, £)-space, we would have missed limit cycles.
This agrees with the fact that a degeneracy of codimension k has to be
studied in a ^-parameter family: our case of codimension 1 is imbedded
in a one-parameter family.
In fact, the example just considered exhausts the bifurcations of the phase
portrait in generic one-parameter families occurring under the loss of stability
of an equilibrium position in the plane and, more generally, under the passage
of a pair of roots of the characteristic equation through the imaginary axis.

B. The Poincare-Andronov Theorem

We consider a one-parameter family of vector fields.

We assume that for the value zero of the parameter, the field has the
singular point 0 such that the roots of the characteristic equation are purely
imaginary (the dimension of the phase space is equal to 2).

Theorem. Generic families with the indicated properties are locally topolog¬
ically equivalent to the family of the preceding example.
§ 33. Loss of Stability of an Equilibrium Position 273

^ We shall use Poincare’s method for the reduction of the equation to

normal form. For the value zero of the parameter there is resonance, which
is not present for close nonzero values of the parameter. The corresponding
resonant terms for the value zero of the parameter cannot be annihilated,
but for nearby values of the parameter they can. If for nonresonant values
of the parameter close to zero we annihilate the terms that are resonant
for the value zero of the parameter, then our change will discontinuously
depend on the parameter. The radius of the neighborhood in which we
study the phase portrait will shrink to zero as the parameter approaches
the resonant value.
Consequently, we do not annihilate the terms that are resonant for e = 0
not only for the value zero of the parameter, but also for nearby values as
well. As a result, we obtain a change depending smoothly on the parameter,
after which only terms which are resonant for the value zero of the parameter
and a remainder of arbitrarily high order with respect to the distance from
the singular point remain in the system. We intend to study bifurcations
in the family thus obtained, omitting the remainder, and then verify that
the remainder does not affect the topology of the metamorphosis of the
phase portrait (or else take its effect into account).
The program described above is common to many problems of bifurcation
theory. Let us see what it comes to in our concrete case of the passage of a
pair of roots of the characteristic equation through the imaginary axis.
The resonance has the form a1 + a2 = 0 (2, 2 = ±ico). Consequently,
in eigenvector coordinates in the complexified plane C2, the normal form
can be written as follows (cf., § 23):

Z; = Al (e)z ! + al(e)zfz2 + • -

i2 = a2(e)z2 + b,(e)zlz2 + • • •.

We note that since the original equation is real, the eigenbasis can be chosen
from complex-conjugate vectors, and the normalizing changes can be chosen
real. In such a case, the second equation follows from the first by conjugation.
Moreover, z2 = z, in the real plane, and we may write only the first equation,
denoting z, by z and z2 by z. This equation can be considered as another
version of the original system in the real plane IR2 written as an (nonholo-
morphic) equation on the complex line C1 with coordinate z :

z = 2j(£)z + al(e)z2z + • • •.

The dots denote a remainder of order 5 with respect to |z|.

This leads us to the study of the family

z = Xi(e)z + al(e)z2z.

This can be studied in the same way we studied the special example in § 33A.
The correspondence between the two kinds of notation is as follows:
 274 6. Local Bifurcation Theory

Example of § 33A ico £ c

Generic family 2,(0) Re/t](£) Retf,(0)

In generic families, we have

2,(0) # 0, ^Re2,(£)|£=0 * 0, Rea, f

d£

The bifurcation consists of the birth or annihilation of a limit cycle

(birth in the case where Re <3,(0) and Redkxjde\t=Q have distinct signs).
Generically, the three quantities above are different from zero and the
omitted remainder does not change the picture of bifurcations obtained
above. This is easy to prove by considering the derivative of the function
p = |z|2 along our vector field :

P = 2p(Re/.,(£) + p Rea, (e) + 0(p2)).

It is easy to see from this formula that 0(p2) does not affect the bifurcations
of the phase portrait at some neighborhood (independent of e) of the
origin. ►

The theorem above was essentially known to Poincare; the explicit formulation and
proof were given by Andronov [A. A. Andronov, “Mathematical problems of the
theory of self-sustained oscillations.” In; Pervaya vsesojuznaya konferencija po kole-
banijam (I all—Union conference on oscillations), M. L. GTTI, 1933 (reproduced in
A. A. Andronov, Collected Works, AN SSSR, Moscow, 1956, pp. 85-124). A. A.
Andronov, Application of Poincare's theorem on “bifurcation points” and “change in
stability” to simple autooscillatory systems, C. R. Acad. Sci. (Paris) 189, 15 (1929),
559—561; A. A. Andronov, E. A. Leontovic-Andronova, Some cases of the dependence
of periodic motions on a parameter, Ucenye Zapiski Gorki Gosudarstvenny Univ.,
1939, Vol. 6, p. 3 (see also A. A. Andronov, Collected Papers, pp. 186—216)]. R. Thom
to whom I taught this theory in 1965, began to promote it under the name “Hopf
bifurcation” (cf., for example, the work ofSmaleand Hirsch*). Curiously, the 20 pages
of bibliography in The Hopf Bifurcation and Its Applications by J. E. Marsden and
M. McCracken (as well as the 30 pages of bibliography in the second edition of
Foundations of Mechanics by R. Abraham and J. Marsden) does not contain the basic
Andronov-Leontovich-Andronova paper. The theorem is also presented in the well-
known Andronov-Vitt-Chaikin book Theory of oscillations, Moscow (1937) (English
translation by University Press, Princeton (1949)).

C. The Multidimensional Case

Combining the Poincare-Andronov theorem with the reduction theorem

(§ 32), we obtain the following.

* M. Hirsch, S. Smale. Differential Equations. Dynamical systems and Linear Algebra,

New York, Academic. 1974.
§ 33. Loss of Stability of an Equilibrium Position 275

Theorem. A topologically versal deformation of a singular point of a generic

vector field whose characteristic equation has one pair of purely imaginery
roots can be obtained by the following simple suspension from the Poincare-
Andronov system :

z = z(i + e + zz), zeC1, eelR;

u = —u, u e R"-,

v = v, v e Rn+, n = n_ + n+ + 2.

The study of this system does not cause any difficulties.

Example

Let n = 3, n+ =0, and let the sign in front of zz be negative. In this case,
the theorem asserts that in the neighborhood of the origin of coordinates
not depending on e, the birth of an invariant cylinder of radius yfe. attracting
neighboring trajectories takes place as the pair of eigenvalues passes through
the imaginary axis. On the cylinder itself, there is a stable limit cycle onto
which all trajectories wind. Consequently, this case corresponds to a soft
loss of stability with the appearance of self-sustained oscillations.

This degeneracy has been studied by many authors; in particular, Hopf studied the
birth of a cycle in the multidimensional case [E. Hopf, Abzweigung einer periodischen
Losung von einer stationaren Losung, Bereich Sachs. Acad. Wiss. Leipzig, Math. Phys.
Kl. 94, 19 (1942), 15-25], Further results have been obtained by Neimark [J. I. Nelmark,
On some cases ofperiodic motions depending on parameters, Dokl. Acad. Nauk SSSR 129
(1959, 736-739] and Bruslinskaja [N. N. Bruslinskaja, Qualitative integration of a system
of n differential equations in a region containing a singular point and a limit cycle, Dokl.
Acad. Nauk SSSR 139 (1961), 9-12],
Nevertheless, the general theorem formulated above, covering a complete study of
the metamorphoses of the phase portrait (and not only bifurcations of a cycle) has only
been proved in Sositaisvilli’s work on reduction (cited above) using two-dimensional
results of Andronov and Poincare.

D. Application to the Theory of Hydrodynamic Stability

The phenomena analyzed above are often encountered in various concrete

situations: mechanical, physical, chemical, biological, and economical
systems often lose stability. Let us, as an example, consider one special
problem of this kind: the problem of the loss of stability in the stationary
flow of an incompressible viscous fluid.
Let D be a domain filled with fluid and v the field of velocities of the
fluid. The motion is described by the Navier-Stokes equations
276 6. Local Bifurcation Theory

Figure 131.

——h (uV, v) = vAv — grad/> + / divu = 0,

ct

where the coefficient v denotes viscosity; /is the field of nonpotential mass
forces; the pressure p is determined from the condition of incompressibility.
On the boundary of D, we may have, say, conditions of adhesion (v\dD = 0).

It is assumed that the initial field of velocities determines the entire motion, so that
the equation defines a dynamical system in the infinite-dimensional space of divergence-
free vector fields equal to 0 on the boundary of D. [In fact this has only been proven in
the two-dimensional case. Extensive literature is devoted to problems of existence,
uniqueness, and properties of solutions of the Navier-Stokes equations; nevertheless,
the basic problems have remained unsolved.]

Consider, for example, a Poiseuille flow (with parabolic velocity profile;

Fig. 131) in a planar canal. For every value of the viscosity v, the Poiseuille
flow is a stationary point of our dynamical system in a function space. This
equilibrium position is stable for a sufficiently large viscosity, but loses
stability for decreasing viscosity. We can study what happens in the mean¬
time by using the theorem of § 33C.

Of course, we have to take special precautions because of the infinite-dimensional

character of the problem. There is hope that the infinite-dimensionality is not very
dangerous because of the fact that the viscosity extinguishes high harmonics rapidly,
so that the system collapses into a finite-dimensional system for any nonzero value of
the viscosity coefficient.* Another difficulty lies in the fact that we cannot be sure that
our system is actually generic: this has to be verified by calculations. It seems natural
that the Navier-Stokes system turns out to be generic in'a domain of “general form”
and for general mass forcesf; nevertheless, a Poiseuille flow is very special: for example,
it has a large group of symmetries.

We restrict ourselves to perturbations whose field of velocities is repeated

along the flow periodically with wave length /. In order to normalize the
velocity of the basic flow, we shall change the external forces proportionally
to the viscosity so that the flux Q of the fluid is constant (/ = const Qv).
In this case, we obtain a two-parameter family with parameters l and v.

* According to Yu. S. Ilyashenko, the dimension of any attractor of the Navier-Stokes

equation on T2 does not exceed const R4. Recently M. I. Vishik and A. Babin proved the
following upper estimate of this dimension for 2-manifolds with boundary: dim ^ const, x R2+E
for every positive e.
§ 33. Loss of Stability of an Equilibrium Position 277

It is customary to consider as parameters the reciprocals a = 2njl (wave

number) and R = const Q/v (Reynolds’ number). Consequently, a decrease
in viscosity causing instability corresponds to an increase in Reynolds’
number.
Calculations (which are practically unfeasible without a computer) show
that as the Reynolds’ number increases, for some critical value R0 = R0(a),
a pair of complex roots passes through the imaginary axis from the stable
half-plane into the unstable one. Thus we encounter the case of the loss of
stability in which a limit cycle is born or dies.
The sign of the coefficient c determining a rough or soft generation of
oscillations has also been calculated. For the description of the result, it
is convenient to draw the boundary of stability in the (a, R)-plane. It turns
out that it has the “tongue” form depicted in Fig. 132; the leftmost point of
this tongue is especially important: its R coordinate corresponds to the first
loss of stability and its a coordinate determines the wavelength which is the
most dangerous for instability.
It turns out that for the entire left and upper parts of the tongue of the
boundary of stability, the coefficient c is positive, i.e., a rough generation
takes place. Consequently, before the Reynolds’ number passes through the
critical value R0, somewhere in the phase space away from the stationary
point (i.e., from the Poiseuille flow), an oscillating regime* arises into which
the system is thrown by small perturbations as the Reynolds’ number
approaches R0. This new state can be a stable stationary point (i.e., in
hydrodynamical terms, a stationary flow different from the Poiseuille
flow) or a limit cycle (in hydromdynamical terms, a periodic flow). It might
have a more complicated structure, for example, a quasiperiodic motion
on the torus. Moreover, the behavior arising in a rough generation can be
an Anosov system or a system of hyperbolic character, i.e., an attracting
set with extremely irregular unstable trajectories on it. The spectrum of the
corresponding dynamical system can be continuous in spite of the finiteness
of the number of degrees of freedom (i.e., the finiteness of the dimension
of the attracting set). Experimenters would call such a behavior turbulent.

* Another possibility in systems of an arbitrary form is the approach to infinity: in our

case, this apparently does not occur, since at infinity the phase velocity is directed backwards
to the origin of coordinates because of the damping action of viscosity.
 278 6. Local Bifurcation Theory

In 1963, Lorenz published a paper [E. N. Lorenz, Deterministic nonperiodic flow,

J. Atmos. Sci. 20 (1963), 130-141] in which he first observed a nontrivial attracting
behavior in a system with three-dimensional phase space modeling the hydrodynamical
theory of convection.
Lorenz’ system has the form

x = — a.v + oy, y = — xz + rx — y, i = .vy — bz\ o — 10, r = 28, b = \.

It seems that all models in which hyperbolic attracting sets have so far been found
contain terms of the type of a pump or negative viscosity, which are absent in the
Navier-Stokes equation. At any rate when, in 1964, this author attempted to find a
hyperbolic attracting set in the six-dimensional phase space of the Galerkin approxima¬
tion of the Navier-Stokes equation on the two-dimensional torus with sinusoidal
external force (using a computer programmed by Vvedenskaya), the attracting set turned
out to be apparently the three-dimensional torus (maybe because of the too small
Reynolds’ number). As far as this author knows, hyperbolic attracting sets for the
Navier-Stokes equations or their Galerkin approximations have not yet been found.*
On the other hand, the numerical experiment described above has served as a starting
point for a series of publications on the application of geodesic flows on groups of
diffeomorphisms to hydrodynamics. [V. I. Arnold, Sur la geometrie differentielle des
groupes de Lie de dimension infine et ses applications a I’hydrodynamique des fluides
parfaits, Ann Inst. Fourier, Grenoble 16, 1 (1966), 319-361; D. G. Ebin, J. Marsden,
Groups of diffeomorphisms and the motion of an incompressible fluid, Ann. Math. 92
(1970), 102—163; A. M. Lukatskii, On the curvature of the group of measure-preserving
diffeomorphisms of a 2-sphere, Functional Anal. Appl. 13, 3 (1979), 23—27; A. M.
Lukatskii, On the curvature of the group of measure preserving diffeomorphisms of an
n-torus, Uspekhi Mat. Nauk 36, 2 (1981), 187-188. That the curvature is negative
indicates exponential instability of the corresponding attractors. Lukatskii found
negativeness for flows on S2 and T", for most sections, and negativeness of the Ricci
curvature (per unity of dimension). See further applications of these ideas in D. D.
Holm, J. E. Marsden, T. Ratiu, A. Weinstein, Nonlinear stability of fluid and plasma
equilibria, Phys. Rep. 123, 1&2 (1985), 1-116; A. I. Shnirelman, On the geometry of
the diffeomorphism groups and on ideal fluid dynamics. Mat. Sbornik 128 (170), 1(9),
(1985), 82-109; McIntyre and T. G. Sheperd, An exact conservation theorem for
finite-amplitude disturbances to nonparallel shear flows, with remarks on Hamiltonian
structure and on Arnold's stability theorem, J. Fluid Mech. 181 (1987), 527-565.]
A very simple model with unstable trajectories on an attracting set has been proposed
by Henon [M. Henon, A Two-dimensional mapping with a strange attractor. Comm.
Math. Phys. 50 (1976), 69-77]. Henon considers a quadratic “Cremona transformation”
on the plane having the form T — 7] 7] 7], where

Tfx, y) = (y, x), T2{x,y) = {bx, y), Tfx { y) = (x, y + 1 - ax2).

Interestingly, the experimentally observed (for a = 1.4, b = 0.3) attraction to the set
having locally the form of the product of the Cantor set with an interval, could not be

* We may think that when the viscosity becomes small (the Reynolds’ number becomes large)
the minimum of the dimensions of the minimal attractors grows indefinitely. But this is not
proved even for the maximum of these dimensions (it has not been proved rigorously that this
maximum exceeds one).
§ 33. Loss of Stability of an Equilibrium Position 279

Figure 133.

successfully described in the framework of the existing definitions of hyperbolicity.

(It is not even excluded that this set is interspersed with domains of attraction of long
cycles.) Therefore, mathematicians do not accept Henon’s attracting set as hyperbolic.
At the same time, from the experimentalist’s point of view the motion of a phase point
under the iterations of the transformation T has an obviously stochastic, turbulent
character (still another example of the danger of fetishization of axioms).
Examples of true hyperbolic attracting sets in the plane have been constructed by
Plykin [R. V. Plykin, Sources and sinks of axiom A-dijfeomorphisms of surfaces, Mat.
Sbomik 94, 2 (1974), 243-264], Plykin constructs a diffeomorphism of the closed
domain with three holes depicted in the upper part of Fig. 133 onto its striped part
(in the lower part of Fig. 133) with the following property: the intersection of the
images of the domain under all iterations of the diffeomorphism is an attracting set
(the distance of the image of any point under the iterations to this set converges to
zero); this intersection is locally the product of the Cantor set with an interval, and
the distance between nearby points increases under iterations of the transformation
on every interval.
An extensive but incomplete bibliography of works in bifurcation theory and its
applications can be found in J. E. Marsden, M. McCracken, The Hopf Bif urcation and its
Applications, New York, Springer-Verlag, 1976. (over 350 titles). See also B. D.
280 6. Local Bifurcation Theory

Hassard, N. D. Kazarinoff, Y.-H. Wan, Theory and Applications of Hopf Bifurcation,

London Math. Soc. Lect. Notes Series, Vol. 41, Cambridge University Press, Cam¬
bridge, 1981.

The determination of the regime occurring after the Poiseuille flow loses
stability is, in the opinion of the experts, on the borderline of the capabilities
of modern computers.
In this situation one must probably not disregard the qualitative pre¬
dictions which can be made completely without calculations, relying on
the general bifurcation theory expounded above.
In the problem under consideration, there are two parameters, a and R.
Consequently, besides singularities of codimension 1, we may also encounter
singularities of codimension 2. We direct our attention to the one that is
associated with the change of the sign of c.- Calculations show that for a
sufficiently large Reynolds’ number R, the rough generation on the lower
side of the tongue of the loss of stability becomes soft. In order to understand
what happens at that moment, we have to construct a two-parameter versal
family for such a two-fold degeneracy. Such a family can easily be con¬
structed. It has the form

f = z(ito + fij -I- r.2zz + c2z2z2), z e C.

(The remaining coordinates in the phase space correspond to stable eigen¬

values and are not written out.) The meaning of the parameters e, and e2
is clear from Fig. 132; the character of the metamorphosis at the point =
a2 = 0 is determined by the sign of c2.

As above, setting p = zz, for p we obtain the equation

P = 2p(e1 + e2p + c2p2), p ^ 0.

Depending on the signs of e. and c, the following cases are possible.

1. c2 < 0, e2 < 0. When r,t passes from negative to positive values, the
systems exits softly to a periodic stable regime of self-sustained oscillations
(Fig. 134).

2. c2 < 0, £2 > 0. As passes from negative to positive values, the

system roughly exits to stable periodic self-sustained oscillations; the corre¬
sponding cycle is born before the loss of stability of the equilibrium position,
together with an unstable cycle landing on the equilibrium position at the
moment it loses its stability.
We were able to study the stable limit cycle indicated above near the
point where the rough behavior is replaced by soft behavior, because it is
then close to an equilibrium position. However, an analytic continuation
of this limit cycle may exist (far away from the equilibrium position) for
other values of the parameters (a, R), as well; we see that it can be searched
§ 33. Loss of Stability of an Equilibrium Position • 281

for by an analytic continuation of an unstable cycle landing on the equilib¬

rium position in the rough loss of stability. The stable cycle indicated above
is one of the candidates for the role of the behavior established under or
after the loss of stability.
3. c2 > 0, £2 < 0. The loss of stability is soft, but the limit cycle dies
quickly after its birth, coalescing with the unstable cycle arriving from afar,
after which a new behavior is roughly generated in the system.
4. c2 > 0, £2 > 0, Usual Rough Generation. Consequently, no matter
what the sign of c2, for a suitable sign of £2 our analysis enables us to establish
a qualitatively new phenomenon compared to the one-parameter analysis:
for c2 < 0 we explicitly find the regime established after the rough gener¬
ation. For c2 > 0, we detect the short life of a regime generated softly.
In order to determine which one of the two cases (c2 < 0 or c2 > 0) actually
takes place, one has to perform extremely cumbersome calculations.
In the theory of hydrodynamical stability, various singularities of the boundary of
stability and the decrement diagrams occur, and the results of § 30 may find an applica¬
tion. For applications of the general theory of bifurcations in the theory of hydrody¬
namical stability, it would be important to study generic cases in problems with various
symmetry groups, since in many hydrodynamical problems, the domain D of the flow
exhibits one or another group of symmetries (for example, the group of translations in
the problem of a Poiseuille flow; representations of this group play a role in the study in
the form of the parameter a).
The behavior of a fluid after the loss of stability of a stationary flow is discussed in
many publications [cf., for example, L. D. Landau, E. M. Lifshits, Fluid Mechanics,
Reading, Mass., Addison-Wesley (1959), § 27 (Occurrence of Turbulence), based on the
work of Landau in 1943 (L. D. Landau, On the turbulence problem, Dokl. Acad. Nauk
SSSR 44, 8 (1944), 339-342.)]. In this theory, soft generation of self-sustained oscilla¬
tions is usually assumed, and the loss of stability of a limit cycle is studied. Landau
assumed that in this case quasiperiodic motions arise with a growing number of fre-
282 6. Local Bifurcation Theory

quencies; undoubtedly, this can be explained by the fact that other dynamical systems
were not known to him.
In 1965, this author lectured on the theory discussed above in the seminar of Thom at
IHES at Bures-sur-Yvette. Six years later, Ruelle and Takens constructed [in On the
nature of turbulence. Comm. Math. Phys. 20 (1971), 167-192; 23 (1971)] examples of
the loss of stability of a cycle with the occurrence of a behavior more complicated than
a quasiperiodic one; however, their example has an exotic character, since it corresponds
to a metrically very skinny (although open) part of the space of the parameters of the
deformation.
We would like to mention that for the applicability of the results of the indicated
works, it is necessary that the loss of stability take place in a soft regime, whereas the
behavior of the loss of stability of the Poiseuille flow turned out to be rough.
For a review of the subsequent experimental work, cf., J. B. McLaughlin, P. C.
Martin, Transition to turbulence of a statically stressed fluid system, Phys. Rev. Lett.
33 (1974); Phys. Rev. A 12 (1975), 186-203.

E. Degeneracies of Codimension 2

For generic one-parameter families of vector fields, the bifurcations of

phase portraits in the neighborhood of a singular point are exhausted by
the cases analyzed above (the birth and annihilation of a pair of singular
points, the birth or annihilation of a limit cycle from a singular point).
In two-parameter families, these singularites will be encountered along
curves of the parameter plane; besides, more complicated degeneracies
will be observed at isolated points of the parameter plane. Among these
more complicated degeneracies, the following five are unremovable by a
small perturbation of the two-parameter family.

1. One Vanishing Root with an Additional Degeneracy. Example:

x = ±x3 + + e2, x e IR

(Fig. 135). It is easy to verify that the deformation thus described is (topo¬
logically) versal; in the multidimensional case, a versal deformation can be
obtained by a suspension of a saddle.
The bifurcation diagram (for the case +x3) is illustrated in the left-hand
part of Fig. 135. The semicubic parabola divides the parameter plane into

Figure 135.
§ 33. Loss of Stability of an Equilibrium Position 283

I
Figure 136.

two parts. In the smaller part, the system has three equilibrium positions
near x = 0 and in the larger one there is one equilibrium. The metamorphoses
of the phase portrait, as the parameter goes around the point e = 0 on a
small circle, are shown on the right-hand side of Fig. 135. The direct product
of this circle with the one-dimensional phase space is an annulus, and the
equilibrium positions form a closed curve in this ring; the behavior of vectors
of the field is clear from Fig. 135.

2. One Imaginary Pair with an Additional Degeneracy. Example:

i = z(ico + £j + e2zz + z2z 2), z e C.

The bifurcation diagram consists of the line ex — Oand one-half of a parabola

tangent to it at zero; it is depicted in Fig. 136 in the case where we have + z2z 2
in the formula.
The metamorphoses of the phase portrait as the parameter goes around 0
on a small circle are shown in the right-hand part of Fig. 136. The ring
depicted in Fig. 136 is the direct product of a circle in the parameter plane
and a line on which ± |z| is plotted. The circle in this diagram corresponds
to the equilibrium position z = 0, and every limit cycle is illustrated by the
two points of intersection of the radius with the curve gj + e2|z|2 + |z|4 = 0.
The bifurcation diagram and the family over the circle are analogous
in the case of — z2z 2.

3. Two Imaginary Pairs.

4. An Imaginary Pair and Still Another Vanishing Root. These cases have
not yet been studied sufficiently to describe versal families; moreover,
it is not clear whether in the case of two imaginary pairs a two-parameter
(or, at least, a finite-parameter) topologically versal family exists (even
under the assumption of normal incommensurability of the ratio of fre¬
quencies in the case of their simultaneous passage from one half-plane to
the other). See, however, E. I. Horozov, Bifurcations of a vector field near a
singular point in the case of two pairs of imaginary eigenvalues, I and II,
Comptes Rendus de l’Academie Bulgare des Sciences, 34 (1981) and 35 (1982),
149-152; and also a paper by H. Zol^dek on case 4.
These problems then lead to the problem of bifurcations of phase portraits
of planar vector fields when the equations are averaged along the fast rotation
 284 6. Local Bifurcation Theory

(or when finite-order Poincare normal forms are used). These special vector
fields have an invariant line (in the case of one imaginary pair and one zero
eigenvalue) or two intersecting invariant lines (in the case of two imaginary
pairs) for all values of the parameters, and have zero eigenvalues for zero
value of both parameters (at the origin which is a singular point of the vector
field). For the case of two pairs the equations are

*' = xA(x, y, e), y = yB(x, y, e). (1)

Systems of the same type occur in ecology when pedator-prey or competing

species interactions are studied (the Lotka—Volterra model); note, however,
that it is important to keep the nonlinear terms of A and B, otherwise
the bifurcations would not be generic—as happens for the original Lotka—
Volterra integrable model, A = a — py, B = —b + qx.
In terms of the original four-dimensional system, the variables x and y have
the same meaning as the squared amplitudes of the eigenoscillations. An
equilibrium point in the planar system represents: (a) an equilibrium in the
original four-dimensional system if it is the intersection point of both invariant
lines; (b) a cycle if it belongs to one of them; and (c) an invariant torus
if it lies inside the positive quadrant of the plane (the eigenfrequencies are
supposed to be incommensurable or at least low-order resonance free).
The two problems (the relation between the four-dimensional system and
the planar system and the bifurcations of the phase portrait of the planar
system, which were treated wrongly in many papers by different mathe¬
maticians including Guckenheimer, Holmes, and others) can be treated
separately. The latter problem is highly nontrivial and was treated incorrectly.
The correct pictures bifurcations of planar fields were produced in 1979
by V. I. Shvetzov in a computer-assisted thesis at Moscow University: the
nontrivial point is that the number of limit cycles, born at the origin, does
not exceed one (generically) in the planar system.
A rigorous proof (and hence a description of the versal deformations in
the class of systems (1)) has recently been found in 1985 by H. Zolqdek,* who
previously had proved a similar theorem for the case of an imaginary pair
and one zero root: see H. Zotqdek, On the versality of one family of symmetric
planar vector fields. Mat. Sbornik 120, 4 (1983), 473-499 (instead of one or
two invariant line conditions one may put the condition of symmetry with
respect to one or two lines mathematically; these cases are equivalent).
The number of limit cycles born at the origin in the planar system corres¬
ponding to a pair and a zero is still (generically) one.
Finally, there remains the last case of codimension 2.

5. Two Vanishing Roots. An example is the family

x i = x2,
*2 = £1 + e2Xl + *1 ± *1*2

* H. Zondek, Bifurcations of certain family of planar vector fields tangent to axes, Journal of
Differential Equations 67, 1 (1987), 1-55.
§ 33. Loss of Stability of an Equilibrium Position 285

of equations in the plane with parameters (el9 e2). The bifurcation diagram
divides the £-plane into four parts denoted by A, B, C, and D in Fig. 137,
corresponding to the choice + x±x2 in the formula.
The phase portraits corresponding to each of the four parts of the £-plane
are shown in Fig. 137. To the branches of the bifurcation diagram there
correspond the systems (P, Q, R, S) with degeneracies of codimension 1
depicted in Fig. 137.
We note that the bifurcation on the branch S—the birth of a cycle from
a loop of the separatrix—is not included in our classification of singularities
of codimension 1, since it is not a local (near a singular point) but a global
phenomenon. We see, therefore, that in the local study of bifurcations of
singular points with the increase of the number of parameters of the family,
global bifurcations of small codimensions begin to play a role. It follows that
in a local problem for a sufficiently large number of parameters, we will
encounter the same difficulty of structurally stable systems being not every¬
where dense, which was discovered by Smale in the global problem of vector
fields on a manifold (cf., § 15).
The bifurcations in the case corresponding to the choice “ — ” of the sign
in the formula can be reduced to the preceding ones by changes in the signs
of t and x2 ■

Theorem. Vector fields generic among those with two vanishing roots of the
characteristic equation at a singular point in the phase plane have a topo-
 286 6. Local Bifurcation Theory

logically versa! deformation with two parameters equivalent to one of the

two deformations considered above.

In other words, a generic two-parameter family of differential equations

in the plane having a singular point with two vanishing roots of the characteristic
equation for some value of the parameter can be reduced to the form indicated
above by a continuous change of the parameters and a continuous change of
the phase coordinates continuously depending on the parameters.

This theorem, proved by Bogdanov in 1971, was first published in the survey of
V. I. Arnold, Lectures on bifurcations and versal systems, Uspekhi Math. Nauk 27,
5 (1972), 119-184 [Russ. Math. Surveys 27, (1972), 54-123], Takens announced an
analogous result in 1973. The proof of versality is not simple: the main difficulty is the
study of uniqueness of the limit cycle. Bogdanov overcomes this by nontrivial arguments
on the behavior of elliptic integrals depending on a parameter [cf., R. I. Bogdanov,
Bif urcations of a limit cycle of a family of vector f ields in the plane, Trudy Seminara
Imeni I. G. Petrovskogo, 1976, vol. 2, 23-36: A versa! deformation of a singular point of
a vector field in the plane in the case of vanishing eigenvalues, Ibid., pp. 37-65. English
translation: Selecta Math. Sovietica, I, 4 (1981), 373-388, 389-421].

§ 34. Loss of Stability of Self-Sustained Oscillations

The second most complex problem of bifurcation theory (after the problem
of metamorphosis of the phase portraits in the neighborhood of equilibrium
positions) is the problem of metamorphoses of a family of phase curves in
the neighborhood of a closed phase curve. This problem has not been solved
completely, and is apparently unsolvable in some sense. Nevertheless, the
general methods of bifurcation theory allow us to obtain significant informa¬
tion on these metamorphoses; in this section, we give a brief survey of the
basic results.

A. Monodromy and Multipliers

We consider a closed phase curve of a system of differential equations. We

are interested in the metamorphoses of the configuration of phase curves in
the neighborhood of the curve under a small change in the equations.
There is a finite number of possibilities for the distribution of phase
curves in the neighborhood of a generic closed phase curve (up to a homeo-
morphism of the neighborhood). To describe them, we choose a point O on
the closed phase curve. Through this point we draw a transversal section (of
codimension 1 in the phase space) to the closed phase curve. The phase
curves starting from points of the transversal section sufficiently close to O
intersect the transversal again, making a revolution along the curve. This
gives rise to a mapping of the neighborhood of the point O in the section
into the section. This mapping is called the Poincare map (Fig. 138).
The point O is a fixed point of the Poincare map. We consider the linear¬
ization of the Poincare map at the point O. This linear operator is called
the monodromy operator.
 § 34. Loss of Stability of Self-Sustained Oscillations 287

Figure 138.

The eigenvalues of the monodromy operator are called the multipliers of

the original closed phase curve. The monodromy operator can be found by
solving a linear equation with periodic coefficients (equation in normal
variations along our phase curve).
We assume that all multipliers are smaller than 1 in absolute value. Then
it can be proved that all neighboring phase curves are attracted to our
closed phase curve. If at least one of the multipliers is larger than 1 in absolute
value, then phase curves exist which diverge from the closed curve (approach
it as t -* — oo).
In the general case, some eigenvalues lie inside the unit circle and some
outside. In this case, the phase curves attracted to the given one form, as
is easily seen, stable* manifold whose intersection with our transversal has
dimension equal to the number of multipliers inside the unit circle. Similarly,
the phase curves asymptotically approaching the closed curve as / —> — x
form an unstable manifold. The dimension of its intersection with the trans¬
versal is equal to the number of unstable multipliers (multipliers outside
the unit circle).
In the neighborhood of our closed phase curve, a hyperbolic situation
takes place (cf., § 14): all other phase curves diverge from the closed curve
as t —> x (along the unstable manifold) as well as for / —>• — x (along the
stable manifold). The topological type of a family of phase curves in the
neighborhood of a closed phase curve not having multipliers on the unit
circle is uniquely determined by the number of stable and unstable multi¬
pliers and by the parities of the numbers of negative stable and unstable
multipliers.
We will see what changes in this picture under a small change in the
system.

B. Simple Degeneracies

A closed phase curve is said to be nondegenerate if the unit is not a multi¬

plier. A nondegenerate closed phase curve does not vanish under a small
deformation of the system; it only becomes slightly deformed (by the

*One should better call it “contracting manifold”, because the neighboring phase curves are
repelled by this manifold, hence the motion along this manifold is highly unstable. The misleading
terms “stable”, “unstable” and notations “s”, “u” were introduced by Smale.
288 6. Local Bifurcation Theory

implicit function theorem applied to the equation j\x) = x, where / is the

Poincare map). Under the deformation of a nondegenerate closed phase
curve, the multipliers are also deformed only slightly. Consequently, neither
the number of stable nor unstable multipliers changes under the deformation
if none of the multipliers of the original phase curve lies on the unit circle.
The multipliers of a generic closed phase curve do not lie on the unit
circle. Consequently, the distribution of phase curves in the neighborhood
of a generic closed phase curve is structurally stable.
However, if we consider a family of systems depending on a parameter
rather than an individual system, then for some isolated values of the
parameter, the multipliers may fall on the unit circle. Then the problem of
bifurcations arises.
As usual, we begin with simple degeneracies, i.e., degeneracies unremov¬
able in one-parameter families. In our case, there are three such degeneracies
of codimension 1. Indeed, the characteristic equation of the monodromy
operator is real. Therefore, every nonreal multiplier has a complex-conjugate
multiplier. Consequently, on the unit circle, we may have either two complex-
conjugate multipliers or one real multiplier equal to either 1 or —1. All
three cases (a complex pair, +1, — 1) correspond to manifolds of codimen¬
sion 1 in the function space.
Let us, for example, consider the boundary of a stability domain of a
closed phase curve in the function space. This boundary is a hypersurface
in the function space. It consists of three components of codimension 1.
The first component corresponds to phase curves with one pair of complex-
conjugate multipliers with absolute value 1, the second to ones with the
multiplier + 1, and the third to ones with the multiplier — 1 ; all remaining
multipliers lie inside the unit circle (Fig. 139).
These three hypersurfaces of codimension 1 intersect in surfaces of co¬
dimension 2 and have further singularities. For example, the self-intersec¬
tions of the first surface correspond to two pairs of multipliers with absolute
value 1 and so on.
The problem of loss of stability of a closed phase curve is therefore a
problem of degeneracy of codimension 1. At first glance we have to consider
generic one-parameter families in order to examine bifurcations. The matter
is, in fact, not this simple: we shall see that in the problem of stability loss,
as a pair of multipliers crosses the unit circle, there are two essential para-
§ 34. Loss of Stability of Self-Sustained Oscillations 289

meters. However, let us first see to what conclusions the one-parameter

point of view leads.
We begin with the case where one of the multipliers is equal to 1. This
case is not essentially different from the problem of bifurcations of equilib¬
rium positions in one-parameter families. The generic situation is the birth
or death of a pair of closed phase curves. In the meantime, two fixed points
are born or die for the Poincare map.

Examples

1. We consider the mapping of the x-axis into itself given by the formula
x i—»■ x + x2. The point x = 0 is fixed and its multiplier is equal to 1.
We consider the following one-parameter deformation with parameter
s close to zero:

I = x + x2 + e.

This deformation is topologically versal. We consider any mapping of

the line into itself having a fixed point with multiplier 1. We call this
(degenerate) fixed point regular if the second derivative of the mapping
at the fixed point is different from zero (in some, and then all, coordinate
systems).
If the degenerate fixed point is regular, then a one-parameter topolo¬
gically versal deformation of the mapping exists. Moreover, both the
mapping and its versal deformation are locally topologically equivalent
to the deformation fE of the special mapping/0 in the neighborhood of 0.
In order to pass to the multidimensional case, we have to define a
suspension over the deformation constructed above.

2. Consider the mapping of a linear space into itself given by the formula

(>’, z, w, v) I—► (ly, - 2z, ^

where y, z, «, and v are points of four spaces whose direct product is our
space. We shall call such a mapping a standard saddle. (The dimensions
of the spaces to which y and u belong are arbitrary, and the dimensions
of the spaces to which z and v belong are equal to 0 or 1.)
We consider any smooth mapping with a fixed point. Let us assume
that none of the multipliers lie on the unit circle. Then in the neighborhood
of the fixed point, the mapping is topologically equivalent to a standard
saddle (which follows easily from the Grobman-Hartman theorem, § 13).

3. Consider the direct product of the deformation of the mapping of the

line in Example 1 with a standard saddle. We obtain the following one-
 290 6. Local Bifurcation Theory

parameter family of mappings with parameter e and phase coordinates

varying in the neighborhood of zero:

(x; y, z, u, v) h-> + x2 + e, 2y, - 2z, ^

This deformation is called a suspension over the deformation of

Example 1. It is topologically versal.

Theorem. Generic one-parameter families of mappings are topologically

equivalent to the one described above in the neighborhood of every fixed point
with multiplier ] for values of the parameter close to the one for which the
multiplier becomes equal to 1.

The proof is easy in the one-dimensional case. The multi-dimensional

case can be reduced to the one-dimensional case by means of Sositaisvili’s
theorem (§ 32), which holds for both differential equations and mappings.

C. The Case of a Multiplier Equal to — 1

If the multiplier — 1 appears, then the closed phase curve depends smoothly
on the parameter and does not bifurcate itself. However, another closed
phase curve branches out, winding twice. In order to understand how this
occurs, we again appeal to the Poincare map.

Example

1. Consider the following mapping of the line into itself:

/oW = —X ± X3.

The multiplier of the fixed point is equal to — 1.

We imbed f0 in the family

ffx) = (e — l)x ± x3.

Theorem. The deformation fc of the mapping f0 is versal. Any generic one-

parameter family is topologically equivalent to the one described above in the
neighborhood of a fixed point with multiplier — 1 for values of the parameter
close to the value for which the multiplier is equal to — 1.

We consider any one-parameter family of mappings of the line in which

the multiplier of a fixed point becomes — 1 for some value of the parameter.
The fixed point depends on the parameter smoothly (by the implicit
§ 34. Loss of Stability of Self-Sustained Oscillations 291

function theorem). By a change of coordinates smoothly depending on the

parameter, we can move the fixed point to zero.
Now we shall make the Poincare changes (cf., § 25), successively killing the
nonresonant terms. These changes will depend on the parameter smoothly
if we retain the terms which become resonant for the critical value of the
parameter, not only for this value of the parameter (when they cannot
be annihilated), but also for neighboring values.
In our case, the resonant terms are all the terms of odd degree. Conse¬
quently, the family can be reduced to the form

x i—»■ Xx + ax3 + C(|x|5),

where A, a, and O depend smoothly on the parameter.

In a generic family, the derivative of X with respect to the parameter for
X = — 1 is different from zero. In this case, we can take e = 1 + X as the
parameter. Now the deformation assumes the form

x i—> (e — l)x + a(e)x3 + 6>(|x|s).

In a generic family, we have #(0) # 0. By a dilation of the coordinates

depending smoothly on the parameter, we can make a(e) = + 1.
We still have to prove that the term O does not affect the topological
type of the family. We consider the second iterate of our mapping:

xh>(£ - l)2x + (e — l)<2x3 + a(s — l)3x3 + 0(|x|5).

Every point x is shifted by

h = -2e(\ + ■ ■ ■ )2x + (2a + • • • )x3 + <9(|x|5)

where • • • means O(e).

It is easy to study the zero level curve of the function h in the (x, £)-plane
(Fig. 140). Figure 140 determines the topological type of the family. ►
Consequently, in a generic one-parameter family of mappings of the line
onto the line, the multiplier of the fixed point becomes equal to — 1 at the
moment of transversal passage through the unit circle (as opposed to the

Figure 140.
 292 6. Local Bifurcation Theory

case where the multiplier becomes equal to 1, when the multiplier generally
does not pass through the circle). At the moment of the passage of the multi¬
plier through — 1 from inside to outside, the fixed point loses stability. Then
there are two possibilities depending on the sign of the coefficient of x3:
(i) Along with the point which has lost stability (at a distance on the order of
the square root of the difference of the parameter from the critical value), a
stable cycle of period 2 arises (two fixed points of the square of the mapping).
This is a case of the soft loss of stability, (ii) The domain of attraction shrinks
to 0 because of the approach of a cycle of order 2 before the loss of stability
(rough loss of stability).
The multi-dimensional picture can be obtained by a suspension of a
saddle, as described above.
Applying all of what has been said about mappings to the Poincare map
of a closed phase curve, we obtain the picture in Fig. 141 in the case of the
soft loss of stability: the original cycle loses stability, but a stable cycle
apperars with a period which is approximately twice the original one.

The phenomena described here can well be observed in experiments. The following
example is borrowed from a lecture by Barenblat delivered at the seminar of I. G.
Petrovskil. We consider a polymer film stretched slowly by a weight. For small expan¬
sions, the process is quasistationary. (Time can be considered the parameter; the phase
point is in a stable equilibrium position; and all observable quantities are constant for
every value of the parameter, i.e., they actually change slowly with the variation of time).
However, for some value of the parameter (i.e., for a sufficient expansion of the film),
the picture changes and the form of the various physical parameters (say, the tension
x of the film) as functions of time becomes such as depicted in Fig. 142. (Every
oscillation in this picture can be considered as taking place for a fixed value of the
parameter, and in the next oscillation the parameter changes only slightly.)
The interpretation of this evolution of phase variables over time is as follows: Point 1
corresponds to a soft loss of stability of the equilibrium with the onset of oscillations;
it is clear that their amplitude grows in proportion the square root of supercriticality.
Point 2 corresponds to a soft loss of stability of a cycle with a multiplier passing through
- 1.
Indeed, assume that the metamorphoses indicated in Fig. 141 take place in the
phase space.
§ 34. Loss of Stability of Self-Sustained Oscillations 293

Every physically observable quantity is a function on the phase space. As long as

the phase point is in an equilibrium position, the quantity is constant. When the phase
point moves on a cycle, the quantity x becomes a periodic function of time t (the ampli¬
tude of oscillations increases with the size of the cycle dimension). To a doubling of a
cycle (see Fig. 141) there corresponds a doubling of the period of dependence of
quantity over time. This has been observed in the experiment (Fig. 142).
Here we note that, in general, in the study of self-sustained oscillations, the observed
one usually measures time-dependencies of the observed quantities (say, on an electro¬
cardiogram). In many cases, a clearer representation of the character of phenomena
can be obtained from the form of a phase curve or its projection onto some plane. This
method has long been used for the diagnostics of failure of mechanical oscillating
systems such as pumps. The application of this method in electrocardiography has been
suggested by physicians.
One of the most striking discoveries of recent years in bifurcation theory is the
infinite cascades of doublings phenomenon, discovered in the late 1970s—the so-called
Feigenbaum universality.
The phenomenon consists of the repeated doubling of cycles under the variation
of a parameter, generating attracting cycles with approximately twice the period, then
approximately four times, eight times, and so on: an infinite series of doublings occurs
while the parameter changes along a finite interval. The parameter values corresponding
to subsequent period doublings are divided by intervals, decreasing asymptotically
like a geometrical progression: their ratios converge to a constant value. This constant
value is independent of the special properties of the particular (generic) system: it is a
universal constant, like n or e. It is called the Feigenbaum constant and its value is (if
the preceding interval length is divided by the next one) approximately 4.6692. .. . The
universality also means that all the details of the doublings become more and more
standard (independent of a particular system) up to an appropriate scale changing,
when the variable parameter approaches the limit value, corresponding to an infinity
of doublings.
The simplest way to study the cascades of doublings is to consider a family of
mappings of a line, or of an interval, into itself. A typical example is the ecological
model of a population growth taking the competition into account

x i—» Axe~x

(here the multiple e~x describes the effect of the competition decreasing the Malthusian
growth coefficient A). (Fig. 143). For small values of A the fixed point 0 of the mapping
is stable (extinction). For larger values of A a positive, stable fixed point appears (Fig.
143), which later, at some value Al of the parameter, loses the stability while its eigen¬
value goes through — 1 (our mapping, of course, is not a diffeomorphism) generating
a stable cycle of period 2,* thus starting a sequence of doublings (Fig. 143).
These doublings were found immediately by ecologists when they started computer
experiments with the above model and other similar models (see A. P. Shapiro,
“Mathematical models of competition,” in: Upraylenie i Informaciya/Control and
Information, Vladivostok: DVNC AN SSSR, 10 (1974), 5-75; R. M. May, Biological

*This cycle explains, it seems, the well-known observation that the gorbusha (humpbacked
salmon) catch oscillates with a two-year period: years with a large gorbusha population are
followed by years with a small population, and vice versa.
 294 6. Local Bifurcation Theory

Figure 143.

populations obeying difference equations', stable points, stable cycles, and chaos, J.
Theor. Biol. 51 (1975), 511—524; Simple mathematical models with very complicated
dynamics. Nature 261 (1976), 459-466). It was the analysis of these experiments that
led M. Feigenbaum to his remarkable discovery of the stability of infinite cascades of
doublings and to the even more remarkable universality law.
Let us consider a mapping of a line into inself, x i—► f(x), in a neighborhood of the
maximum point of function f The squared (iterated twice) mapping will have a graph
with two maxima and one minimum point between them, as is easily seen (Fig. 145).
In some neighborhood of the minimum point the graph, after a coordinates dilatation
and a sign change, looks very similar to the graph of the original function. A computer
experiment shows that this similarity becomes closer and closer under the sequential
doublings (squarings) of the mapping.
§ 34. Loss of Stability of Self-Sustained Oscillations 295

Figure 145.

This leads to an attempt at finding a function, which repeats itself exactly after the
squaring of the mappings (followed by a rescaling); that is, to find a fixed point for
the doubling operator J, defined on functions as is described below. Such a fixed point
happens to exist, namely, the even analytic function

<£(x) = l _ 1.52763x2 + 0.104815x4 - 0.0267057x6 + ,

satisfying J<1> = $>, where

(Jf){x) = -I/(/(-ax)).
a

The normalization constant a for <J> is a = 0.3995... = — <I>(1) (all the numerical
coefficients are given approximately).
The operator J, having fixed point <J>, is defined on the even C1-mappings /:
[—1, 1] —> [—1, 1] with one maximum point 0, satisfying the following conditions (see
Fig. 146):

/ (0) = 0, /(0)=1, /(l) = —a < 0, b = f{a)> a, f(b) =/(/(a)) < u

for some a and b (depending on/). The operator 7is a hyperbolic (at point <F) mapping
of the functions space. It has a one-dimensional dilatating invariant manifold (a curve)
and a codimension 1 contracting submanifold. The eigenvalue corresponding to the
dilatation is the Feigenbaum constant 4.6692... .
The universality of the period-doubling cascades is explained by this picture as we
shall now see. A one-parameter family of mappings (even for the simplicity of the
arguments) is represented by a curve in the functions space (y at Fig. 147). If this curve
§ 34. Loss of Stability of Self-Sustained Oscillations 297

is not too far from O its images become closer and closer to the dilatating invariant
curve T+ under consecutive iterations by /.
On the other hand, let us consider the bifurcation surface E in the functions space,
consisting of the mappings/of a line having a fixed point with eigenvalue — 1. It turns
out that the dilatating invariant curve T+ intersects this hypersurface Z transversally.
Hence the preimages of the bifurcation surface E under / and under its iterations form
a sequence of hypersurfaces of codimension 1 in the functions space, converging to
the contracting manifold F_ of the fixed point <D when the number of iterations grows
(Fig. 147).
The points of intersection of these surfaces, with the curve y representing our
family, define the parameter values corresponding to the period doublings. This
explains the origin of the geometrical progression and the universality of its ratio: it
depends on the sequence of surfaces, and not on the special choice of the transversal
curve. For the (computer-assisted) proof and for a bibliography see P. Collet, J.-P.
Eckmann, Iterated Maps of the Interval as a Dynamical System. Boston: Birkhauser,
1980, 248 p.
The situation remains more or less the same for the doubling of cycles of differential
equations (for instance, the universal constant 4.6... remains unchanged), while some
of the details of the cascades of period doublings are different for differential equations
and for line mappings. The multiplier (the eigenvalue of the mapping) must change
its value from 1 to — 1 between two doublings. The reason is that the doubling cycle
has (at the moment of doubling) a multiplicator equal to — 1. Hence the doubled cycle
has (at the moment of its birth) a multiplier (— l)2 = 1. But the path from 1 to — 1
along the real line is forbidden for an eigenvalue of a diffeomorphism (and hence for
a multiplier of a cycle of a differential equation), since the eigenvalue of a diffeo¬
morphism may never become zero.
Thus the cascades of period-doubling bifurcations in differential equations and
diffeomorphisms involve a second multiplier, besides that coming from 1 at some point
on the real axis. After a collision both become complex (conjugate) and turn around
zero in the upper and lower half-planes, collide once more on the negative part of the
real axis, and finally diverge—one going to — 1, the other in the opposite direction.
The curve, followed by the multiplier, is extremely close to a circle, and displays some
universality features for repeated doublings (M. V. Jakobson, 1985).
The universal period-doubling cascades have their close analogs at other reso¬
nances. Let us consider, for instance, the 1 : 3 resonance when a multiplier leaves the
unit circle through the cubic root of unity. To observe such a phenomenon in a generic
family we need at least two parameters. In the parameter plane the moments of tripling
are represented by isolated points. These points occur, as for the doubling, in the form
of infinite series. The differences of consecutive tripling values of the parameters form
asymptotically geometric progressions whose ratio is a universal constant (the same
one for all generic families). But in contrast to the case of doublings the universal
constant this time is not a real, but a complex number, hence the tripling values of the
parameters on the parameters plane are organized in spiraling sequences.
There exist cascades of doublings in Hamiltonian systems too. This time the — 1
multiplier is always of even multiplicity, generically of multiplicity 2. In a doubling
the doubled cycle is born, having (at the moment of birth) a double multiplier equal
to 1. This pair of multipliers moves (until the next doubling) along the unit circle from
1 to — 1 in the upper and lower half-plane. The corresponding Feigenbaum constant
is much larger than for ordinary doublings (about 8). On the way from 1 to — 1 the
 298 6. Local Bifurcation Theory

multipliers visit all the roots of unity. Thus between two doublings a lot of other events
occur with the same universality (family independence) as for the doublings: the birth
of cycles, whose periods are all kinds of multiples of the original one (at the moment
of birth). A newborn cycle of longer period has (at the moment of birth) a pair of
multipliers, equal to 1. Not infrequently these multipliers will travel to — 1 along the
unit circle. Thus, in principle, a very complicated system of bifurcation values occurs.
The bifurcation values of the parameter may be enumerated by all the sequences of
rational numbers.
The usual cascades of doublings correspond to the series 1, 2, 3, ...; the cascade
of doublings of a tripled cycle corresponds to 1/3, 1, 2, 3, ...; we may consider more
sophisticated cases, like 1/3, 1/3,... (triplings cascade) or 1/3, 1/2, 1/3, 1/2,...—every
such case may lead to new universal constants.
The consequences of these bifurcations were observed in the numerical experiences
of the early 1960s. For instance, the hat-shaped invariant curves (“islands”), see
Fig. 148) appear as a result of cycle quadrupling and were observed in the first
experiences of Henon, Heiles, and Chirikov* (with no explanation, it seems).

D. Passage of a Pair of Multipliers through the Unit Circle

This case has been understood much less than either of the preceding two.
Topologically versal deformations are not known and may not exist. Never¬
theless, Poincare’s method allows us to obtain significant information. We
begin with the case where the argument of the multiplier falling on the unit
circle is incommensurable with 27i. (This case can be considered typical,
since the measure of the set of rational numbers is equal to zero.)
We shall assume that the dimension of the space being mapped is equal to
2. In this case, after an appropriate smooth change of coordinates depending
smoothly on the parameter, our family of mappings can be reduced to the
form

zh-> A(£)z(1 + a(e)\z\2 + <2(|z|4)).

*M. Henon, C. Heiles, The applicability of the third integral of motion: some numerical
experiments, Astron. J. 69 (1964), 73; B. V. Chirikov, Studies of Nonlinear Resonances and
Stochasticity, Novosibirsk, Izv. Sib. Otd. Akad. Nauk. SSSR, N267, 1969.
§ 34. Loss of Stability of Self-Sustained Oscillations 299

where the real number e is the parameter of the family and 2(0) = e,cc, a #
2npjq. For a generic family, we have c/|/.|/<i£|0 ^ 0, which means we may
choose |A| — 1 for the parameter.
We assume that the term 0(|z|4) is absent. In this case, it is easy to study
the mapping. Indeed, the modulus of the image of a point is determined by
the modulus of the preimage, which gives rise to the real mapping:

r i—*■ r\X\ 11 + ar2\.

For \X\ = 1 + e, |e| 1, r < 1, we have

| X | 11 + ar21 a; 1 + e Re ar2 + • - • .

For a generic family, we have Rear # 0. In this case, as the parameter e

passes through the value zero, a circle of radius proportional to >/[e] and
invariant with respect to the mapping is being born (or dies at this point)
from the fixed point losing stability. In the first case (the birth of a circle),
it is stable, and in the second it is unstable. On the circle itself, the mapping
reduces to a rotation.
We return to the terms we have omitted and see whether they affect our
conclusions.
It can be shown that an invariant closed curve with radius of order
-Jactually exists for the complete mapping (cf., R. J. Sacker, On invariant
surfaces and bifurcation of periodic solutions of ordinary differential equations,
New York University, Report IMM-NYU 333, 1964; Comm. Pure Appl.
Math. 18, 4 (1965), 717-732).
The stability of this closed curve is preserved under perturbations. How¬
ever, for the complete mapping, its structure on the curve itself is different
from the structure of the mapping without the remainder. Indeed, on the
invariant curve, the complete mapping may have a rational or irrational
rotation number. The mapping of the circle thus arising is not bound to be
topologically equivalent to a rotation. In the case of a rational rotation
number, it will generally have a finite number of periodic points, alternately
stable and unstable. For the original mapping of the plane onto itself, these
periodic points will be saddle and nodal points, correspondingly. Therefore,
in the case of a rational rotation number, our invariant curve consists of a
chain of separatrices of saddle points joined at nodes (Fig. 149).
We note that the separatrices of the saddles are smooth. However, in
approaching the node from both sides, the two separatrices together form a
curve of only finite smoothness generically. Therefore, the invariant curve
has only finite smoothness generically. Upon approaching the value of the
parameter corresponding to the passage of multipliers through the circle,
the smoothness of the invariant curve grows to infinity (as is easily seen).
If our mapping is the Poincare mapping of a differential equation, then
300 6. Local Bifurcation Theory

Figure 149.

in the three-dimensional phase space, the invariant curve of the Poincare

mapping determines an invariant torus consisting entirely of phase curves.
Our invariant curve is a transversal section of this torus. The torus has finite
smoothness; the nearer the time of birth of the torus to the cycle, the greater
the smoothness. As the parameter varies in the family, the rotation number
on the torus generically varies and assumes both irrational and rational
values.
From the above picture of bifurcations, as a pair of multipliers passes
through the unit circle, one also observes, in generic one-parameter families,
no branchings of the given periodic solution into periodic solutions of
multiplicity other than 2. Indeed, the latter could only take place if a multi¬
plier crossed the unit circle at a point with rational argument, which is an
exceptional nongeneric event.
In order to understand how periodic motions with large periods arise, it is
necessary to consider families with two parameters.
Indeed, a multiplier can become equal to a root of unity (different from
1 and —1), unremovably only in real two-parameter families. A two-
parameter consideration of the loss of stability of a fixed point in the resonant
case (i.e., where a multiplier is close to a root of unity) enables us to better
understand bifurcations in one-parameter families as multipliers cross the
unit circle. Namely, as we shall see, some metamorphoses which seem
nonlocal in the one-parameter approach lend themselves to a study by
local methods if the problem is considered to be a two-parameter problem.
In particular, in this way we can study some cases of the rough loss of stability
and see to what regime the system jumps after the rough loss of stability
of a cycle.

E. Resonance in Losing the Stability of a Cycle

We consider a mapping of the plane onto itself in the neighborhood of a

fixed point with a multiplier equal to a root of unity with index q > 2.
In accordance with Poincare’s general method (Chap. 5), we can, in an
appropriate coordinate system, write the family in the form z t—* z[A -F
A(\z\2) + Bzq~l + 0(|z]q+1)], where A, A, B, and O depend smoothly on e.
§ 34. Loss of Stability of Self-Sustained Oscillations 301

Instead of studying this mapping, we can do the following. In the case

of resonance, every step of the Poincare method reduces to averaging along
the corresponding Seifert foliation (cf., § 21). Therefore, instead of reducing
the Poincare map to normal form, we can, in the neighborhood of a cycle,
write the original equation of phase curves as a nonautonomous equation
with 27t-periodic coefficients and then reduce it to normal form by changes
of coordinates 27r<7-periodic over time (§ 26).
As a result of this procedure, we obtain the following equation with 2nq-
periodic coefficients in t in the new coordinates (depending smoothly on
the parameter):

£ = eC + CA (|C|2) + BC^1 + 0( |C|« + 1).

Here £ is a complex parameter, A and B depend holomorphically on s, e, and

the value e = 0 corresponds to resonance (i.e., the case where a multiplier of
the original equation is equal to a qtb. root of unity).

Remark 1. From the above arguments, it follows in particular that:

(1) Up to terms of degree q + 1 (and even up to terms of arbitrarily high degree) the
Poincare map coincides with a transformation of the phase flow of a vector field
on the plane.
(2) The indicated vector field is invariant with respect to a cyclic group of diffeomor-
phisms of the plane (of order q).
(3) Conclusions 1 and 2 hold not only for an individual Poincare map, but also for a
family depending smoothly on the parameters; moreover, both the group and the
field invariant under it depend smoothly on the parameters.

Remark 2. In general, the exact Poincare map is not a transformation of the phase flow
of any vector field and does not commute with any finite group of diffeomorphisms.

From the above, it is clear that up to terms of arbitrarily high degree

with respect to the distance from the closed phase curve, the bifurcation
problem in the case of loss of stability near a resonance of order q > 2
reduces to the study of metamorphoses of phase portraits in generic two-
parameter families of vector fields in the plane invariant with respect to
rotations by an angle 2njq. The resonance is said to be strong if q ^ 4.
The cases of resonances of order 2 or 1 can also be included in this scheme.
Namely, the loss of stability of a cycle as a pair of multipliers crosses the
unit circle corresponds to a hypersurface of codimension 1 in the function
space. This hypersurface approaches hypersurfaces corresponding to the
multipliers 1 and — 1 along surfaces of codimension 2. The generic points
on these surfaces of codimension 2 correspond to closed phase curves for
which the Poincare map has the double eigenvalue 1 (respectively, —1)
with Jordan block of order 2.
Therefore, the study of boundary cases of crossing the unit circle by
302 6. Local Bifurcation Theory

multipliers reduces, up to terms of arbitrarily high degree, to the study of

metamorphoses of phase portraits in generic two-parameter families of
vector fields in the plane invariant under rotations by an angle 2nq (q = 1,2)
and having, for some value of the parameter, a singular point whose linear
part is a nilpotent Jordan block; the corresponding linear equation can
be reduced to the form

x = y, y = 0.

Finally, the problem of metamorphoses in the case of loss of stability

near resonances leads to the study of bifurcations of phase portraits in
two-parameter families of equivariant vector fields on the plane. We are
now going to study this problem.

§ 35. Versal Deformations of Equivariant Vector

Fields on the Plane

Metamorphoses of phase portraits of vector fields invariant with respect

to some group of symmetries arise naturally in the study of various phe¬
nomena in which symmetry appears in the very formulation of the problem.
It is more surprising that metamorphosis problems of symmetric phase
portraits arise in an a priori nonsymmetric situation, in the study of bi¬
furcations near resonances (cf., § 21 and § 34). In this section, we consider
exactly those bifurcations of symmetric phase portraits which are needed
for the study of resonances.

A. Equivariant Vector Fields on the Plane

Let F be a vector field on the plane of the complex variable z. We shall

consider F as a complex-valued (not necessarily holomorphic) function
on C. The Taylor series of this function at zero can be written in the form
IX,
Proposition. Assume that the field F turns into itself under the rotation of the
z-plane by an angle 2n/q. Then the coefficients Fk l are different from zero
only if k — l is congruent to 1 modulo q.

^ The Taylor series is unique, and, therefore, each of its terms has to turn
by the angle 2nfq when z turns by the angle Injq. The point zkzl of the
complex plane rotates by an angle 2n(k — l)lq. This rotation coincides
with rotation by an angle 2n!q exactly when the above condition is
satisfied. ^
§ 35. Versal Deformations of Equivariant Vector Fields on the Plane 303

Figure 150.

Corollary. The differential equations invariant under rotations by an angle

2n/q have the following form:

i = zA(\z\2) + Bzq~l + 0(\z\q + l) (q > 2).

In the (k, /)-plane, we consider the integer points satisfying the congruence
k — / = 1 (mod q). These points are located on rays parallel to the bisector
of the positive quadrant and emanating from points corresponding to the
monomials z, zq+1, z2q+1, . . . ; zq~l, z2q~l, .... Among these monomials,
we shall seek monomials of smallest degree (Fig. 150).
First, let us successively obtain several monomials on the ray emanating
from the point z (i.e., monomials of the form z\z\2k) and then the monomial
z~q~l; all other monomials have degree not smaller than q + 1 (Fig. 150). ►

Definition. The preceding equation, without the term O, is called the principal
equation and is invariant with respect to rotation by an angle 2njq. The
right-hand side of a principal equation is called a principal ^-equivariant
field.

Example

The principal equations invariant with respect to the groups of rotations

of orders 3 and 4 have the forms

z = ez 4- Tz|z|2 + Bz 2 ; z = ez + Az\z\2 + Bz 3.

To formulate the results of the analysis of metamorphoses of the phase

portraits of equivariant vector fields depending on parameters, it is con¬
venient to introduce the following definitions.
304 6. Local Bifurcation Theory

B. Equivariant Versa] Deformations

We consider a family vx of vector fields invariant under the actions of a

group G on the phase space and depending on a parameter a belonging
to the neighborhood of 0 in the space [Rk (called the base of the family).
The dimension of the base is called the number of parameters of the family.
The germ of the family at the point a = 0 is called an equivariant de¬
formation of v0.

Definition. An equivariant deformation vA is called an equivariantly topo¬

logically orbitally versal (more briefly, versa!) deformation of v0 if for any
other equivariant deformation of v0, there are a continuous mapping
(p of the bases of the deformations and a family h of homeomorphisms of
the phase space depending continuously on p and commuting with the
action of G such that hp turns the phase curves of the field into phase
curves of the field v<pifl) with preservation of the direction of the motion.
In other words, an equivariant deformation is versal if every other equi¬
variant deformation is topologically orbitally equivalent to a deformation
induced from the versal one.

Analogous definitions can be given for germs of vector fields and for
deformations in a class of fields with special properties (for example, with
a fixed linear part at a singular point). Now we pass to the construction of
versal deformations.

C. Principal Deformations

We consider a vector field on the plane invariant under rotation by an angle

2n/q, q > 2.

Definition. A field is said to be singular if the linear part of the field at zero
is equal to zero.

Definition. The principal deformation of a ^-equivariant principal singular

field v0 (q > 2) is the two-parameter family vE = ez + v0, where the para¬
meters are the real and imaginary parts of the complex number e.

Example

In the cases q = 3,4, the principal deformations are given by the equations

z = ez + Tz|z|2 T Bz2, z = ez 4- Az\z\2 + Bz3

in which e is considered a parameter, and the complex coefficients A and B

are fixed.
§ 35. Versal Deformations of Equivariant Vector Fields on the Plane 305

Remark. The objects defined above arise in the study of the loss of stability
of a cycle as a pair of complex-conjugate multipliers crosses the unit circle.
In the function space of all systems, the systems with such a passage form a
hypersurface. This hypersurface is one of the three hypersurfaces bounding
the domain of stability. The other two hypersurfaces correspond to the
passages of one multiplier through the unit circle at the point 1 and at the
point — 1.
The boundary of the hypersurface corresponding to the passage of a
complex pair of multipliers consists of two parts (of two hypersurfaces of
codimension 2 in the function space of all systems). One of these surfaces
of codimension 2 corresponds to a pair of multipliers equal to 1 forming a
Jordan block of order 2 and the other to such a block with two eigenvalues
equal to — 1.
The study of the loss of stability in the neighborhood of these codimension
2 surfaces leads to the study of bifurcations in two-parameter families of
vector fields on the plane having a nilpotent Jordan block of order 2 as the
linear part and invariant under rotation by an angle 2nq, q = 2 (for multi¬
pliers equal to — 1) or q = 1 (for multipliers equal to 1). To include these
cases in the general scheme, it is convenient to give the following definitions.

D. Cases q = 1 and q = 2

Definition. A field invariant under rotation of the plane by an angle 2njq,

q = 1 or q = 2 is said to be singular if its linear part at zero is a nilpotent
Jordan block of second order.

In other words, for q = 1 or q = 2, a singular field is a field whose linear

part is the field of the phase velocity of the equation x = 0 on the phase
plane (x, y = x).
It is easy to prove the following.

Theorem. A singular field invariant with respect to rotation of the plane by

an angle 2njq, q = 1 or q = 2, can be reduced to the field of the phase velocity
of the equation

x — ax3 + bx2y + 0(|x|5 + |y|5) (q = 2),

x — ax2 + bxy + <9(|x|3 + | je| 3) (q = I)

on the phase plane (x, y = x) by a diffeomomphism commuting with the

rotation.

^ The linear part of our field has the form ydjcx. We now construct the
homological equation corresponding to this linear field. To do this, we
306 6. Local Bifurcation Theory

calculate the Poisson bracket of our linear field, A = yc/Px, with an arbitrary
vector field h — PP/Px + Qc/cy.
We find

r r 11 r i ( n <

<
y — ,Px- y — ,Q — yQx^~ - Q-^,

II
=
L cx (XJ1 cx | cx cy (y cx

[A, h~\ = (yPx - Q)-^ + yQxjry

Hence, the homological equation for the unknown functions (P, Q)

assumes the form of a system

yPx - Q + u = 0, yQx + v = 0.

Here u and v are known functions, namely the components of the vector
field vr = uP/Px + vc/ry, which we wish to annihilate by a change of
variables.
We study this system. Expressing Q by the first equation and substituting
it in the second one, we obtain

y2Pxx = —yux — v.

In order to achieve divisibility of the right-hand side by y2, it is sufficient

to change the terms of degree 0 and 1 in y in the function v. Adding to v
vo (x) + yvi (x), we can achieve the solvability of the last equation with respect
to P.
Consequently, the homological equation for arbitrary (w, v) is not solv¬
able, but it becomes solvable if v is replaced by its sum with an appropriate
nonhomogeneous linear function in y. In other words, the equation

[A, h\ + u- = (u0(*) +
cy

with appropriate (v0, vt) depending on w is solvable for the unknown

field h.
Finally, Poincare’s method enables us to annihilate all vector-valued
monomials except those of the form xkd(dy and yxkd/Py in terms of any
degree of the field A + • • • . Thus, in the class of formal power series, our
equation can be reduced to the form

x = a(x) + yb(x).

If the original system were invariant under rotation by an angle n (i.e.,

if it were odd), then the components of the original vector field would be
odd functions. In this case, the transformations in Poincare’s method can
§ 35. Versal Deformations of Equivariant Vector Fields on the Plane 307

also be chosen odd (commuting with the rotation), since in the preceding
formulas the degrees of (P, Q) and (u, v) are the same. Then, in the formal
normal form, the series of (a, b) will consist solely of terms of odd degree.
Restricting ourselves to a few first approximations in Poincare’s method,
we obtain the proposition formulated above.

Definition. The principal singular equations and fields for q = 2 and q = 1

are the equations

x = ax3, -f- bx2y (q = 2), x = ax2 + bxy (q = 1),

and the vector fields defining them in the phase plane (x, y = x).

Definition. A principal deformation of a principal singular field for q = 2

and q = 1 is a deformation consisting of the addition of the terms ax + fly*
(q = 2), and a + fix (q = 1) to the right-hand side of the corresponding
second-order equation.

The principal deformations of ^-equivariant fields in the cases of a strong

resonance, i.e., for q ^ 4, are listed below:

z = ez + Az\z\2 + Bz3, II
z = ez + Az\z\2 + Bz2, 4 = 3 ,
K>

x = ax T f3y -J- ax3 + bx2y.

‘■Ci

II

x = a + jSx 4- ax2 + bxy. <7=1.

Here the variables z, e, A, and B are complex, x, y, a, (3, a, and b are real, the
parameters of the deformation are denoted by Greek letters, and y = x.

E. Versality of Principal Deformations

“Theorem”. For every q, all principal singular fields can be divided into de¬
generate and nondegenerate fields in such a way that

(1) the degenerate fields form the union of a finite number of submanifolds
in the space of all principal singular fields ;
(2) the nondegenerate fields form the union of a finite number of open
connected domains ;
(3) the principal deformations of the germs of nondegenerate fields at zero
are versal;
(4) the principal deformations of the germs of nondegenerate f ields are
topologically equivalent in every connected component.

The word “theorem” is in quotation marks because it is not proved for

q = 4.
308 6. Local Bifurcation Theory

Except for the case q — 4, the conditions of nondegeneracy can be

written explicitly in the following way:

a 7^ 0, b ^ 0 for q = 1,2; Re ,4(0) ^ 0, 5 / 0 for <7 ^ 3.

For q = 4, we have to add at least the following conditions to these condi¬

tions. (In the section of Additional Problems [(3) and (4)], apparently
all other candidates are indicated.) It is likely that the total number of
domains of the ,4-plane for B = 1 is 48, see Fig. 156.

\A\2 * \B\2, | Re A | # \B\,

|Im/4| A (|i?|2 + Re2 A)f\B2 — Re2/l|.

[See also: A. H. Wan, Bifurcations into invariant tori at points of resonances.

Arch. Rat. Mech. Anal. 68 (1978) 343-357; A. I. Neistadt, Bifurcations of
phase portraits of a system of differential equations, arising in the problem
of auto-oscillations stability loss at 1 : 4 resonance, Prikl. Math. Mech. 42
(1978), 830-840; F. S. Beresovskaya, A. I. Hibnik, On separatrices bifurca¬
tions in the problem of auto-oscillations stability loss at resonance 1 : 4, Prikl.
Math. Mech. 44 (1980), 938-943.]
From the theorem, we easily obtain the following corollary.

Corollary. In the function space of two-parameter families of vector fields

invariant under the group of rotations by angles which are multiples of2nlq,
an open*, everywhere dense set is formed by the families for which the fields
are singular only at isolated values of the parameters. In the neighborhood of
these values, the family is topologically equivalent to a versal deformation of
a nondegenerate principal singular field.

In other words: Let the eigenvalues of the linearization of a vector field

in the plane invariant under rotations by angles which are multiples of 2njq
be equal to zero. We consider a generic field with the indicated properties.
We form a generic two-parameter deformation of it in the class of fields
having the same symmetry.
It is asserted that there is a neighborhood of the point 0 not depending
on the parameters, such that the deformation thus constructed can be
reduced to the normal form indicated in § 35C and § 35D by a homeo-
morphism with the same symmetry depending continuously on the para¬
meters. More precisely, the phase portraits of the corresponding systems are
reduced to normal form by homeomorphisms.
Consequently, the above theorem reduces the description of all bifurca¬
tions to the description of bifurcations in principal deformations of non¬
degenerate singular fields.

With the usual qualifications if the base is not compact.

§ 35. Versal Deformations of Equivariant Vector Fields on the Plane 309

F. Description of Bifurcations

In the case q = 1, the above theorem was proved by Bogdanov in 1971

(cf., § 33, where the description of bifurcations is included).
In the case q = 2, we can achieve b < 0 by a change of time. The bifurca¬
tion diagram (“dial”) in the (a, /3)-plane and the metamorphoses of the
phase portrait for the cases a > 0 and a < 0 are given in Fig. 151.
In the case q = 3, by a change of time, we can achieve Re^4 < 0. The
bifurcation diagram and metamorphoses are given in Fig. 152.
For q ^ 5, we can achieve Re^4 < 0 by a change of time; the bifurcation
diagram and metamorphoses are given in Fig. 153. We note that the region
of existence of fixed points approaches the imaginary £-axis in a narrow
§ 35. Versal Deformations of Equivariant Vector Fields on the Plane 311

tongue, whose sides have the following common tangent:

1m e ^ /'(Ree) + c|Ree\(q~2)/2, q ^ 5.

The proofs of the above theorem and statements are simple for q ^ 5.
They are contained in the publications of Bogdanov cited in § 33 in the case
q = 1, are unknown in the case q = 4, and are outlined below in the cases
q = 2, 3. Some versions of metamorphoses are illustrated below for <7 = 4
in Figs. 157, 158, and 160. [Cf., also, Additional Problems (1)—(4)].

G. The Case of Symmetry of Order 3

1. Let A = 0. In this case, the system can be obtained from a certain Hamiltonian
system by a rotation of the field. Namely, consider an equilateral triangle formed by
singular points (saddle points). The sides of this triangle determine three linear non-
homogeneous functions. The product of these three functions is the desired Hamiltonian.
The sign of the derivative of this function along the solution of our system
z = ez T- Bz2 is determined by the sign of the real part of the parameter e. This enables
us to use the indicated function as the Liapunov function. Therefore, for A = 0, the
principal deformation can be studied without difficulty.

2. In the general case, we reduce the system to the form

— = EZ + Z2 + \e\AZ\Z\2, E = —
dT ill] |£|

by means of the substitutions t = T/\e\, z = Z/|e|.

In a domain where |Z| is small compared to 1/e, the third summand can be considered
as a small perturbation. In a domain where the argument of E is not close to ±n/2,
this perturbation does not change the picture obtained in §35G1. If, on the other
hand, the real part of E is small compared to the complex part, then the system can be
considered as the small perturbation of the Hamiltonian system:

dZ
- + iZ + Z ■“
dT

The unperturbed Hamiltonian function H is described in § 35G1.

3. We calculate the rate of change of //along solutions of the system. By integrating

along the level line H = h, we obtain the condition of the birth of a cycle from this line
in the form <j>pr2 + Ar4 d<p = 0, where p = a/x, A = ax, e = a -F /t, A = — a + ib,
and r and cp are polar coordinates in the plane.
We denote by p the radius of inertia of the domain bounded by the elliptic curve
H = h. Then the condition of the birth of a cycle exactly from the line H = h as |e|
passes through zero can be written in the form cr = p2x2a.
The largest possible value of p corresponds to the triangle formed by the separatrices
of the saddles. The function p(h) is monotone (cf., § 351).

4. The remaining proof of the versality of a principal family and of the form of
bifurcation diagrams and phase portraits can be carried out as in the case <7=1.
312 6. Local Bifurcation Theory

H. The Case of Symmetry of Order 2

/. By expansions of x and changes of time and the parameters, the family can be
reduced to the form

x = ax + 2 fiy -f- ax3 + bx2y, a — ±1,6= —2.

We will study this family with the parameters (a, 0).

2. If |/7| ^ y/a, then we make the substitution x = V|a|/M 1 = /'/con¬

verting |a| and \a\ into 1. We obtain an almost Hamiltonian system. The Hamiltonian
has the form

y- x *
H = y - sgn a -- - sgn a —.

The dissipative terms have the form

s/\a\b
2 0> + b'x2y. 0' = b'
>/M>

3. Integrating the rate of change of H along the level line H = 6, we obtain the
following condition of the birth of a cycle from exactly that line as a and 0 = «a pass
through zero: u = r2, where

r2 _ ff x2 dx dy

II dx dy

is the square of the radius of inertia with respect to the y-axis of the domain bounded
by the line H — h.

4. If |or| 10J, we make the substitution x: = kx\ t = xt', converting |u| into 1 and
|6|into 10|:

We obtain a — |6/0|a, b' = y/\fi/b\b, 0' = s/\b/P\P, a' = a;

Jc = ax3 + 0'2y(l ± x2) + <x'x.

Here both parameters 0' ~ V|0| and a' ~ «/0 are small. For 0' = 0, we obtain the
following Hamiltonian:

y2 ax2 ax4
H ~ y - ~2 - 4~

The remainder of the study can be carried out in the usual way.
§ 35. Versal Deformations of Equivariant Vector Fields on the Plane 313

I. Zeros of Elliptic Intergrals

It has been shown above that the study of the behavior of cycles in our families can be
reduced to the solution of special cases of the following “weakened Hilbert’s 16th
problem”:
Let H be a real polynomial of degree n and let P be a real polynomial oj degree m in
the variables (x, y). How many real zeros can the function

"If
1(h) = | Pdxdy

have ?
For the study of symmetries of order 2, we need the case

2 2 4
y ax ax
P — p + Ax2, ti — — ■— - — -
2 2 4

For P = p + Ax2, the problem reduces to the study of the monotonicity of the function
r(h), where r is the radius of inertia with respect to the j^-axis of a domain bounded by
a cycle.

Lemma. On intervals between critical values of H, the function r behaves in the following
way :

Values of a and a — 1, +1 +1,-1 +1,-1 —1, —1

Interval of h 0, \ —5, 0 0, +00 0, +oc .
Behavior of r | | IT T

(in the third case, r first decreases and then increases).

An analogous (but weaker) lemma on elliptic integrals has been used in the work
of Bogdanov (like earlier). Bogdanov’s proof depends on lengthy calculations.
Il’jasenko found proofs of both the lemma given here and Bogdanov’s lemma based
not upon calculations, but upon complex variable topological arguments (monodromy
and the Picard-Lefshetz formula). [Cf., Ju. S. Il’jasenko, On zeros of special Abelian
integrals in a real domain, Funct. Anal. Appl. 11, 4 (1977), 78-79; Multiplicity of limit
cycles arising under perturbations of Hamiltonian equations w' = P2/Q1 in real and
complex domains, Trudy Sem. I. G. Petrovskogo 3 (1978), 49—60], A. N. Varchenko,
Estimation of the number of zeros of an abelian integral, depending on a parameter, and
the limit cycles. Funkt. Anal, i Prilozhen, 18, 2 (1984), 14-25; A. G. Hovanskii, Real
analytical varieties with a finiteness property and complex abelian integrals, Funkt.
Anal, i Prilozhen 18, 2 (1984), 40—50; G. S. Petrov, On the number of zeros of elliptic
integrals, Funkt. Anal, i Prilozhen 18, 2 (1984), 73-75; Elliptic integrals and their
nonoscillation, Funkt. Anal, i Prilozhen 20, 1 (1986), 46-49; V. I. Arnold, Sturm
theorems and symplectic geometry, Funkt. Anal, i Prilozhen 19, 4 (1985), 1 — 10.
The abelian integrals occurring in bifurcation problems always display the minimal
number of zeros consistent with the trivial dimension argument (some linear combina¬
tion of any n function displays n — 1 zeros); thus these linear families of abelian
integrals are Chebyschev systems (their combinations which are not identically zero
have less zeros than the family dimension). The general reason for this nonoscillation
 314 6. Local Bifurcation Theory

property is not clear, but its investigation has led to the above-mentioned papers as
well as to the discovery (by B. and M. Shapiro) of the relation of the Chebyschev
systems to the natural stratification of the Schubert cells of the flag manifolds and to
their natural Bruhat ordering, which we will not discuss here.

J. The Case of Resonance of Order 4

The initial equation is z = ez + Az\z\3 + Bz3.

We assume that B ^ 0. Then by expansions and rotations of z and expansion of
time, we can reduce the equation to the form

z = £Z + Azjzj3 + z3.

By a change of the sign of time and by changing z to z, we can also achieve Re ,4 ^ 0,

Im A ^ 0.
First, we study singular points different from zero.

1. Bifurcations of Singular Points. For the study of bifurcations of singular

points under the variation of e, the following auxiliary construction is useful. Let
z = re'* be a singular point. Then

—% = A + TV, where TV =
r

Let us now consider the circle with radius 1 and center at A (Fig. 154). The value of
s for which the point z is singular lies on the ray opposite the ray connecting zero with
the point A + TV on our circle. Moreover, the closer the point of the circle to zero,
the larger the modulus of e.
From what has been already stated, it is clear that the cases where \A \ is smaller or
larger than 1 are very different. If \A\ < 1, zero lies inside the circle. In this case, for
any e (except zero), the equation has four singular points at the vertices of a square.
If e goes around zero, rotating by 360°, the square of the singular points turns by angle
90° in the opposite direction.
If, on the other hand, \A \ > 1, then in the plane of the variable e, there is an angle
bounded by the extensions of the tangents to our circle. For e inside this angle, there
are eight singular points and none outisde. When e turns from one side of the angle to
the other, four singular points are born at the vertices of the square. This square is
immediately duplicated. Then nearby singular points begin to diverge. When £

Figure 154.
§ 35. Versal Deformations of Equivariant Vector Fields on the Plane 315

approaches the other side of the angle, every singular point of the first square dies,
colliding with a point of the second square, which initially stood at 90° angle from it
(so that one of the squares of singular points turns by 90° with respect to the other).

2. Types of Singular Points of a Linear Equation. We begin with a lemma

enabling us to easily study types of singular points of the linear vector field in the
plane given in complex form:

£ = PS + QL

Lemma. The type oj the singular point 0 does not depend on the argument oj Q. This point
is a saddle jor |F] < \Q\, a focus jor |Im P\ > \Q\, and a node jor |Im P\ < \Q\ <
the focus is stable jor Re P < 0 and unstable jor Re P > 0 {Fig. 147).

<3 By multiplying £ by a complex number A, the coefficient P does not change, and the
coefficient Q is multiplied by I/A. By changing A, we can make the argument of Q
arbitrary; this proves the first assertion of the lemma. For the proof of the second
assertion, we consider the case Q = 1. Let P = a + i/3. We write the matrix of the
equation in the basis (1, i). This matrix has the form

fa. + 1 — (3 \
M = ( ), tr M = 2a, det M = a2 + (32 — 1.
V P a - 1/

The characteristic equation has the roots

A1-2 = a ± V1 - p2.

they are real if\/i\ < 1. The roots have opposite signs if a2 + ft2 < 1. The lemma is
proved for £9=1. The conditions of a saddle, node, or focus for any |Q\ now follow
from similarity arguments: for dilations of time, P and Q are multipled by the same
real number. &■
Figure 155 shows clearly the relative location of nodes, foci and saddles in the
function space. This is useful to keep in mind in any study of bifurcations of singular
point in the plane.

ImP

stable, foci , unstable

Figure 155.
 316 6. Local Bifurcation Theory

3. Study of the Saddle Points.We return to the original nonlinear equation. Let
z() = re‘v be a singular point. We linearize the equation at this point. Let z = z0 + f

Retaining the first-order terms in £, £, on the right-hand side, we obtain

k = PZ + Of, P = r2(A - N), \Q\ = r2\A + 3N\.

Lemma. If\A\ < 1, then all singular points are saddles. lf\A\ > 1, then for every £ the
singular point with the smaller modulus is a saddle and that with the larger modulus is
not.

By the lemma of § 35J2, the condition for a saddle has the form \ A — N\ < \ A + 37V|.
We consider the points A — N and A + 3TV (Fig. 154). These points are symmetric
with respect to A + N, and the straight line connecting them goes through A. Which
of these points is closer to zero depends on which side of the tangent to our circle
at the point A + N lies the point zero. If \A\ < 1, then zero always lies on the same
side of the tangent (where A — N is located). If, on the other hand, \A\ > 1, then the
answer depends on which of the two arcs bounded by the tangents to the circle from
the origin lies A + N. The arc farther from zero corresponds to saddles and singular
points near 0 (cf., § 35J1).

4. Stability of Singular Points. The singular points corresponding to the arc of

our circle facing zero can be nodes or foci. The part of the arc adjacent to the tangent
from zero corresponds to a node; as one moves along the arc, the node may become a
focus, and the focus may change stability. We find out under what condition this
change in the stability of the focus takes place.
From the lemma of § 35J2 and the formula in § 35J3, it follows that a change in
stability takes place if the point A — N (diametrically opposite the point A + TV of our
circle) crosses the imaginary axis, while the point A + N lies on the arc facing zero.
The boundary separating the points A for which such a phenomenon takes place is
determined by the following condition: the diameter drawn through the point of
intersection of our circle with the imaginary axis is perpendicular to a tangent from
zero. As is easy to calculate, the equation of the boundary has the form

1 + Re2 4
Im A
yjl - Re2 A

The corresponding line in the plane of the variable A is tangent to the circle \A\ — 1
at the points A = ±i and has the straight lines |Re^4| = 1 as asymptotes (Fig. 156).

5. Behavior at Infinity. For large z, we can “ignore” the term e.z. Setting u = r2,
we obtain the linear equation

vi- = 2 Aw + 2w.

To study this equation, we apply the lemma of § 35J2. Consequently, for \ A\ < 1, the
singular point in the n-plane is a saddle point, and for \A \ > 1, all trajectories from
infinity are attracted to a finite domain if Re A < 0.

6. Bifurcations of the Phase Portrait. If \A\ < 1, then the diagram (Fig. 157)
is apparently the same as for the third-order resonances (cf., § 35G). If [Re ^ | > 1,
then apparently the same occurs as for resonances of order 5 and above (Figs. 158
§ 35. Versal Deformations of Equivariant Vector Fields on the Plane 317

B■BBm^Pg
Figure 156.

lw!iS
Figure 157.

w* X X Figure 158.

and 153), although, in this case, singular points may be born not on cycles, as well,
[cf.. Additional Problems (1), (2), and (3)].
The main difficulties are represented by the case | Re A | < 1,|^| > 1.

7. New Normalizations and Notation. For the study of the case |Re/l| < 1 it is
useful to consider the asymptotics as |Im,4| -> x. Instead of letting A go to infinity,
we may let B converge to zero in the original equation. In order to study this case,
we introduce the notation

e = a + it, A = — ia — y, B = fi

and assume that fi, a = itfi and y = vfi (fi -* 0, u ~ u ~ 1) are small parameters of
the same order.
We choose the multipliers normalizing the expansion of coordinates and time so
that ot = 1 and r = 1 and introduce the symplectic polar coordinates p = |r|2/2,
(P = argz.
This transforms the original equation into the system

p = 2p(a — 2yp + 2(ip cos4cp),

<p = t — 2ap — 2fip sin4(p.

 318 6. Local Bifurcation Theory

We also introduce the Hamiltonian H = xp — ap2 — /?p2sin4<p and the potential

IT = op2 — 4yp3/3. Then

P — — + n p, (p — Hp.

In the case t = a = 1, a = ufi, y = vfl which is of interest to us, we have

h = hq + pnt, n = pu^ H0 — p — p2.

For p = 0, we obtain an unperturbed motion (rotation with frequency H ). In the

domain where Hp 0 (i.e., where p is not close to the basic perturbing effect is
given by the dissipative term /HI,. For p ss 7, we have to take into account PHl, too.

8. Lemma on the Effect of a Small Dissipation. In the phase plane, we con¬

sider the equation x = v + cm\ where v is the Hamiltonian field with Hamiltonian
function H and ir a potential field, ir = Vn (using the metric given by the symplectic
coordinates p, q).

Lemma. Let SH he the increment of H under one revolution along the dosed phase curve
H = h. Then

6H JJ An dpdq (f. is a small parameter)

dr.
Gih)

at f = 0, where G(h) is the domain hounded hy the curve.

One has

dH *j>Hdt= + en;,) + HfHv + rUq)dt

= — nqdp = f. An dpdq. ►

Applying the lemma to our equation, we find that

<W0 = 2 p{<y — 2yp) = 2 Pp(u — 2vp).

Consequently, in first approximation, the cycle is given by the formula

u cr

This method enables us to study our system outside the annulus in which p is close
to 5. Therefore, the case of a a close to 7 has to be considered separately.

9. The Case p ~ 2- make the substitution p = \ + ^fp P, t^fp = Tand set

fi = 0. As the approximate equation, we obtain the Hamiltonian system

— = »• + cos4<p, = -IP
dT dT

with Hamiltonian function

§ 35. Versal Deformations of Equivariant Vector Fields on the Plane 319

sin 4 <p
H
11nc\ =
— *P2 -p W(p

(a pendulum with torque). Here w = u — v = (a — y)/P-

A potential well exists for |vv| < 1.
In terms of the notation of § 35J7, we have transferred the field (cr — y)d/dp from
the potential part to the Hamiltonian part. Therefore, the new Hamiltonian and
potential have the'form

H = p — p2 — /?p2sin4<p — fiw<p,

4*',o^
n = ap2--(a - y)p.

Applying the lemma of § 35J8, we find that

6H = qlb (2a — %yp)dpdcp inside the well = 2S(o — 4yp0).

where S is the area inside the well in the (p, <p)-plane and p0 is the coordinate of the
center of gravity of the well.
The condition of the birth of a cycle is a = 4yp0. Consequently, we need to calculate
p0. We know that p0 = \ + ~JPpx + - ■ ■ . Hence, the condition of the birth of a
cycle has the form a = 2y + 4y ^fppx + ■••,»■ = (y//?) + 4yp, 4- • ■ • .
We calculate p,. In the coordinates P, <p, the exact equation of the closed phase
curve H = const has the form

P2 + {\ + -JPP)2 sin 4<p + wq> = h.

Two values of P correspond to every value of (p in the well, with

p + p = ypsin4cp
1 2 1 + /?sin4<p

From this formula, it follows that correction term p, is equal to

p, = — 2 sin 4<p

(where the bar means “averaging” along the unperturbed phase curve for ft = 0).
From the location of the well with respect to the maximum and minimum of sin4cp
and its variation as w changes (Fig. 159), we obtain the information on the behavior
of Pi, on which the diagrams of metamorphoses are based (Fig. 160).
The system of metamorphoses depicted in Fig. 160 is realized if \lm A\ is large
compared to |Z?| and 0 < |Re/4| < B.
Of course, the above arguments cannot replace proofs and are only first steps in
the study of bifurcations in a principal family of 4-symmetric equations.
Results for the cases of symmetry of order q ^ 4 have apparently been known to
specialists for a long time; see, e.g., V. K. Melnikov, Qualitative description oj resonance
phenomena in nonlinear systems, Dubna, OIJaF, P-1013 (1962), 1-17. Takens announced
them in a preprint in 1973 but his proofs have not yet appeared. Our exposition is based
320 6. Local Bifurcation Theory

)
?c
M ip
||§!i 13
—

Figure 160.
IS
on this author’s article in Funct. Anal. Appl. 11 No. 2 (1977) 1 —10; detailed proofs have
been given by E. I. Horozov, Versal deformations ofequivariant vector fields for the cases
of symmetries of order 2 and 3, Trudy Sem. I. G. Petrovskogo 5 (1979), 163-192.

K. The Poincare Map

The applications of our constructions to the study of the loss of stability

of a cycle are based on the following lemma.
§ 35. Versal Deformations of Equivariant Vector Fields on the Plane 321

Lemma 1. Consider a mapping f: (K!2, 0) —» ([R2, 0) having the fixed point

0 with eigenvalues e±2Klplq (and with a Jordan block of order 2 if q — 1 or = 2).
For every N in a sufficiently small neighborhood of 0, the iterate fq can be
represented in the form of the sum fq = g + h, where h(z) = 0(\z\N) and g
is a transformation of the phase flow of a vector field invariant with respect
to a finite cyclic group of diffeomorphisms y of order q.

We note that, in particular, g commutes with rotation by an angle 2n!q.

The mapping/9 itself does not, in general, commute with the action of any
finite group and cannot be interpolated by a flow. Lemma 1 shows, however,
that, at the level of formal series, fq can be interpolated by a flow and
commutes with a finite group.
The proof of the lemma can be carried out along the usual scheme of the
construction of Poincare-Dulac-Birkhoff normal forms (cf, Chap. 5).

Lemma 2. Consider a deformation fx of a mapping f0 = f satisfying the

hypotheses of Lemma 1. For every N and in a sufficiently small neighborhood
of O, the iterate f% can be represented as a sum f% = gx + hx, where hx(z) =
0(\z\N) and gx is a transformation of the phase flow of a vector field vx invariant
under a finite cyclic group yx of diffeomorphisms. Here fx, Qx, hx, vx, and yx
depend smoothly on the parameter X varying in the neighborhood of zero.

The proof relies on the fact that the reduction to normal form of terms
of degree not greater than N with retention of the resonant terms is imple¬
mented by diffeomorphisms depending smoothly on the parameters.
Combining Lemma 2 with the description of bifurcations of phase flows
from the preceding subsections, we obtain information on the loss of stability
of the fixed point 0 of the mapping f (or of the periodic motion for which
/ is the Poincare map).

Remark. We can directly reduce, to normal form, a family of differential

equations in the neighborhood of a (p, /)-resonant periodic solution in the
space of the ^-sheeted covering. In this situation, the application of the
standard Poincare-Dulac-Birkhoff method reduces a family of vector fields
27i-periodic over time to the sum of a ^-symmetric field independent of time
and a remainder 0(\z\N) of period 2nq.

L. Discussion

L For the translation of the results obtained above into the language of
bifurcations of periodic solutions, the fixed points in the plane have to be
replaced by closed trajectories in space, the separatrices of points by invariant
stable and unstable manifolds of these closed trajectories, and the limit
cycles in the plane by invariant tori. The situation will be significantly
different only for the metamorphoses of separatrices: while, in the plane.
 322 6. Local Bifurcation Theory

the separatrices go through each other instantly in bifurcations, in space

this process is prolonged with the formation of a homoclinic (or heter¬
oclinic*) picture (Fig. 103).
The invariant tori in space disintegrate before the cycle reaches the loop
of separatrices; however, all these purely three-dimensional effects are weak
(they are caused by terms of arbitrarily high degree in the normal forms)
compared to the two-dimensional ones considered above.

2. The consideration of the loss of stability as a two-parameter rather than

a one-parameter phenomenon enables us to easily understand some other¬
wise surprising phenomena.
Let us consider a two-parameter family in which we take the multiplier
as the parameter. In the plane of the parameter, we draw the domains of exis¬
tence of periodic solutions closing for q rotations along the base solution and
making p rotations across it. This domain touches the unit circle at the point
e2ntp/q in a narrow (for q > 4) tongue (its width at a distance a from the
circle on the order of cr(9'2)/2, cf., § 35F). Therefore, a generic curve in the
plane of the multiplier intersects an infinite number of tongues near the unit
circle (Fig. 161).
Consequently, in a generic one-parameter family in which a cycle loses
stability without strong resonance, an infinite number of cycles with long
periods are born and die near the time of the loss of stability.
A proof of this fact not depending on the existence of a weak resonance
at the time of the loss of stability has been given by Kozjakin [V. S. Kozjakin,
Subfurcation of periodic oscillations, Dokl. Akad. Nauk USSR 232, 1 (1977),
25-27].

3. Considering generic curves on the bifurcation diagrams of strong

resonances (§ 35F), we can desribe sequences of metamorphoses which are
universal but seem nonlocal from the one-parameter point of view.
For example, in the case q = 2, one of the possibilities is the following
sequence of events: a stable cycle loses stability softly with the formation

*A homoclinic (heteroclinic) picture is, by definition, the net formed in a section plane by
the intersecting traces of the stable and unstable invariant manifolds of one (two) closed
trajectory (trajectories).
§ 36. Metamorphoses of the Topology at Resonances 323

of a torus, which soon becomes pinched along a parallel, so that the form
of the meridian of the torus approaches the shape of a figure eight, in
approaching the center (which represents an unstable cycle), the attracting
set, remaining close to the torus with the meridian almost contracted into
the eight, is destroyed near a homoclinic separatrix (Neimark).
In this case, the phase trajectory loops around one and then the other side
of the collapsed torus, jumping over from one side to the other seemingly
at random.

This description is similar to the phenomena observed in a numerical experiment

of Hercenstein and Smidt [S. Ja. Hercensteln, V. M. Smidt, Nonlinear evolution and
interaction of perturbations of finite amplitude under the convective instability of a
rotating planar layer, Dokl. Akad. Nauk USSR, 225, 1 (1975), 59—62],

§ 36. Metamorphoses* of the Topology at Resonances

Resonances among eigenvalues of the linear part of a vector field at a

stationary point interfere with the choice of coordinates making the field
linear. Even if there are no resonances, but the eigenvalues are close to
resonant ones, the Poincare series may diverge and the system cannot be
converted into a linear system by an analytic change of the coordinates.
At the same time, the topological type of the phase portrait in the
real neigoborhood of a stationary point at resonances does not change
generically. For example, if the real parts of all eigenvalues are negative,
then the stationary point is attracting and, independently of resonances, the
system is topologically equivalent to a standard linear system.
It turns out that a metamorphosis of the topology does take place at
resonance, but, in general, in the complex domain.
A generic system is not resonant. We may encounter resonances in an
unremovable manner in one-parameter families. Therefore, in the study of
the effect of resonances on the metamorphoses of the topology, we have to
consider one-parameter families of vector fields. In accordance with what
has been said above, we let all phase variables and the time and the parameter
be complex.

A. Resonances in a Poincare Domain

We consider complex phase curves in the neighborhood of the singular point

O. These curves constitute a foliation with leaves of two real dimensions,
with a singularity at zero. In order to analyze the structure of this singularity,
we intersect the foliation by a sphere of small radius and center at the origin.
We assume that, in the coordinates (z{, . . . , zj, the linear part of our
system is diagonal: z. = XjZj + ■■-,_/= 1, . . . , n.

*In Russian: “perestroika”.

 324 6. Local Bifurcation Theory

Theorem. If a collection {Xf of eigenvalues belongs to the Poincare domain, then

every sphere |zj|2 + • • • + |zn|2 = r2 of sufficiently small radius intersects
the foliation transversally.

First, we consider a linear system. We have

dr2 = zjdzj + ZjdZj — A dt + A dt, A = \Zj\2Xj.

One obtains transversality with the sphere if the 1-form dr2 does not vanish
on the tangent plane of a leaf. On the other hand, the form A dt A- A dt
is a zero form only for A = 0. The relation A = 0 is not satisfied in the
Poincare case (and only in the Poincare case) for any z # 0. Hence, in the
linear case, the theorem is proved : the leaves intersect the sphere at a nonzero
angle a(z).
We consider the minimum a0 of the angle a(z) on the sphere \z\ — r. The
qunatity a0 does not depend on r (since a(cz) = a(z)). Hence, a(z) $: a0 > 0
for all z # 0.
Now we turn to the nonlinear system. The angle between the direction
fields of the nonlinear system and its linear part is small with |z|. Therefore,
in a sufficiently small neighborhood of zero, it is smaller than a0, and the
phase curves of the nonlinear system intersect the sphere transversally. ►

Corollary. The intersections of complex phase curves with a sphere of suffici¬

ently small radius form a one-dimensional foliation without singular points on
this sphere. The foliations obtained on all spheres of sufficiently small radii
are diffeomorphic. The differentiable type of the foliation on a sphere does not
change under deformations of the sphere, provided that the sphere remains
transversal to the complex phase curves.

Therefore, in the neighborhood of the singular point, the two-dimensional

foliation under study is homeomorphic to a cone over a one-dimensional
foliation on a sphere. This foliation on a sphere is the partition of the sphere
into phase curves of a vector field (since the sphere and the complex foliation
are orientable).

Remark. According to Poincare’s theorem, system is linear in the non-

resonant case in a sufficiently small neighborhood of the singular point in
an appropriate coordinate system. This implies that in the nonresonant case
the differentiable type of the foliation on a sphere is the same as that of the
linear system.

We conclude that the differentiable type of the foliation on a sphere

remains the same as that of the linear system not only in the neighborhood
of the origin of coordinates where the Poincare series are convergent, but
also far beyond its limits.
 § 36. Metamorphoses of the Topology at Resonances 325

Indeed, in approaching resonance, the domain of convergence of the

Poincare series shrinks to zero, whereas the radius of the domain of trans-
versality remains bounded from below. Consequently, we can study the
passage through a resonance of a complex system, investigating the variation
of a foliation on a sphere of a fixed (independent of the parameter) small
radius.

B. The Resonance = 2A2

As an example, we consider the topology of the foliation on 53 in the passage of the

resonance A, = 2A2 in the system

z, = Ajzl + - • ■ , z2 = A2z2 -f- • • • .

We find ourselves in the Poincare domain if the ratio A = Aj/A2 is not a negative
real number. First, we consider the foliation on S3 corresponding to the linear part of
the system.
The separatrices zt = 0, z2 = 0 intersect the sphere in large circles which are cycles
of the system on S3. Their linkage coefficient is equal to 1.
If A is not a real number (the case of a “focus”), then all remaining curves of the
foliation on the sphere wind away from one cycle and wind onto the other. We study
the Poincare map of the cycles.
We note that these maps can be assumed to be holomorphic. Indeed, they are
equivalent, with respect to real diffeomorphisms, to complex Poincare maps mapping
a holomorphic transversal to the separatrix into itself. Consequently, they become
holomorphic by an appropriate choice of the complex structure on the real two-
dimensional transversal to a cycle in S3. It also follows that the multipliers of our
cycles are equal to e±2ntX and e±2m,/l~‘
The foliations on S3 corresponding to all foci are homeomorphic but not diffeo-
morphic to each other: A2 + A-2 is an invariant under diffeomorphisms.
If A is real and positive (the case of a node), we also find ourselves in the Poincare
domain. In this case, the part of S3 between two linked cycles is foliated into two-
dimensional tori filled out by windings with the rotation number A the same on all
tori.
Now we consider a nonlinear system. In the case of a focus, resonance is impossible.
Therefore, in the nonlinear case, the foliation on a sphere is diffeomorphic to the
foliation described above, constructed for a linear system. The same is true for a
nonresonant node, i.e., for all A > 0, excluding the cases where A or 1/A is an integer.
We consider, for example, the resonance A = 2. In this case, the Poincare normal
form is

A, = Alz1 + cz\, z2 = A2z2.

This system has only one separatrix for c ^ 0, and the foliation on S’3 has only one
cycle. We replace A by a nonreal value close to 2. The resulting system obtained on S3
is, on the one hand, close to a resonant system; on the other hand, it is diffeomorphic
to the system constructed from a linear focus studied earlier and has two cycles with
 326 6. Local Bifurcation Theory

linkage coefficient 1. It can be shown that one of these cycles, Cx, is close to the unique
cycle C of the resonant system. The other cycle, C2, lies on a thin torus with axis C{
and closes after two trips along C1, making one revolution on the meridian (so that
the linkage coefficient of C2 and Cl is equal to 1). Hence, close to the resonance X — 2,
the metamorphosis of the system on S3 consists of a bifurcation of a two-fold periodic
trajectory from a periodic trajectory with eigenvalues (—1, — 1).

Remark. The preceding exposition follows the author’s article Remarks on singularities
of finite codimension in complex dynamical systems, Funct. Anal. Appl. 3, 1 (1969),
1-6. The results of this paper were later generalized by J. Guckenheimer, N. Kuiper,
N. N. Ladis, Ju. S. Il’jasenko, et al. Most complete are the results on the topological
type of the foliation given by a linear system in the neighborhood of a singular point
in a complex space.
We consider, in particular, the case where the phase space is three-dimensional and
the triangle of the eigenvalues contains zero in its interior. It turns out that the topolog¬
ical type of the foliation in a complex space is determined by the triple of the reciprocals
of the eigenvalues considered as a triple of vectors in a real plane (i.e., considered up
to linear transformations of the decomplexified plane of one complex variable). In
the multi-dimensional case, the real type of the collection of the reciprocals of the
eigenvalues determines the topological type of the complex foliation in a one-to-one
manner in the neighborhood of a singular point of a linear system, if zero belongs to the
convex hull of the eigenvalues and their pairwise ratios are not real [cf., C. Camacho,
N. Kuiper, J. Palis, C. R. Acad. Sci. Paris, 282, (1976), 959-961; N. N. Ladis Topological
invariants of complex linear flows. Differential Equations 12, 12 (1976), 2159-2169;
Ju. S. Il’jasenko, Remarks on the topology of singular points of differential equations in
a complex domain and Ladis’ theorem, Funct. Anal. Appl. 11, 2 (1977), 28-38].

C. Versal Deformations in the Poincare Case

We consider an analytic (smooth) vector field with singular point O. We

assume that this singular point is of Poincare type, i.e., that the convex hull
of the collection of the eigenvalues does not contain the point 0.

Theorem. At a singular point of Poincare type, the germ of an analytic (holo-

morphic, smooth) vector field has a finite-parameter analytic (holomorphic,
smooth) versal deformation consisting of polynomial vector fields.

In other words:
In the neighborhood of the point O a local family of analytic (,holomorphic,
smooth) vector fields with singular point O of Poincare type is analytically
{holomorphically, smoothly) equivalent to a family consisting of sufficiently
long segments of the Taylor series of these fields at O.
By assumption, the singular point is nondegenerate and, consequently,
depends smoothly on the parameter. Therefore, the singular point can be
moved to the origin of coordinates by a smooth change of variables depend¬
ing smoothly on the parameters. We assume that the eigenvalues are simple.
Then the eigenvalues can be chosen to depend smoothly on the parameters.
§ 36. Metamorphoses of the Topology at Resonances 327

In the resulting coordinate system, the family of differential equations

corresponding to our family of fields has the form

*k = K(e)xk + ■ ■ • , k = 1, . . . , n.

Applying the Poincare method (Chap. 5), we shall annihilate only those
terms which remain nonresonant for £ = 0. Then the substitutions depend
smoothly on the parameter. Since the eigenvalues belong to the Poincare
domain, there are finitely many resonances, and the convergence of the
whole procedure can be proved without difficulty.
We obtain a coordinate system in which the right-hand sides of all
equations of the family are polynomials. ►

The case of finitely (or infinitely) differentiable right-hand sides can be studied
without difficulty, too. For details, cf., N. N. Bruslinskaja A finiteness theorem for
families of vector fields in the neighborhood of a singular point oj Poincare type, Funct.
Anal. Appl. 5, 3 (1971), 10-15, where the case of multiple eigenvalues is also considered.

D. Materialization of Resonances

In reducing to normal form in the Siegel domain, there arise difficulties

connected with small denominators. At the same time, the topological
picture may be simple. For example, an ordinary saddle is built topologically
the same way for both rational and irrational ratios of eigenvalues. The
same phenomenon takes place in the Poincare domain: resonances may
not affect the topology of the phase portrait.
A natural question arises: why does a resonance without topological effect
interfere with the analytical (even finitely smooth) reduction to normal
form? To understand this, it is useful to take into account the behavior of
resonances in the perturbation theory of quasiperiodic motions.
We consider the following differential equation on the ^-dimensional
torus Tn:

8 = co -1- £ - ■ • , 6 mod 2n e Tn, co e IR", £ <^ 1. (*)

The following change in the topological properties of the system corresponds

to the resonance (co, k) = 0 (at least in the absence of perturbation, i.e.,
for £ = 0): as opposed to the nonresonant case, the phase curves are every¬
where dense not on an ^-dimensional, but on an (n — l)-dimensional torus.
For example, for n = 2 at resonance, robust periodic regimes usually arise
(stable and unstable limit cycles on a torus). It is clear that the existence
of such cycles prevents the reduction of the equations to the normal form
9 = co, typical for the nonresonant case.
A similar argument lies at the basis of Poincare’s proof of the nonexistence
of first integrals in the three-body problem.
328 6. Local Bifurcation Theory

It can be assumed that in the local problem treated above, the effect of
resonances on divergence has an analogous nature, but is connected with
changes in the topology of the foliation formed by the phase curves in the
complex rather than in the real domain. Such a change, even if it does not
manifest itself at all on the real part of the phase space, it necessarily obstructs
the analytic reduction and may interfere with the Cr-smooth reduction.
We note that the system xk = lkxk + ■ • - can be reduced to the form (*)
by the substitution x = el° (real <x> correspond to purely imaginary 2). The
usual methods of investigating the limit cycles of the system (*) lead to the
consideration of the first integral p = ei(e,k) of the unperturbed system; in
the notation of the original system, one obtains p = xk. An equation of
first approximation for the invariant manifold corresponding to resonance
can be obtained from the relation

p = p[(k, 2) + (k, c)p + • • ■ ].

We find that formally

(k, 2(e))
~ (k, c(e))‘

Our series are divergent in general, and the inference needs a verification.
For n — 2, our arguments can be confirmed by a rigorous proof of the
existence of a complex limit cycle, which has the indicated asymptotics near
resonance [A. S. Pjartli, Birth of complex invariant manifolds near a singular
point of a vector field depending on parameters, Funct. Anal. Appl. 6, 4 (1972),
95-96; for details of the proofs, see: Cycles of a system of two complex
differential equations in a singular point neighborhood, Trudy Mosc. Ob. 37
(1978), 95-106].
At the moment of resonance, when (k, 2) = 0, a cycle (a complex non-
simply connected phase curve) approaches the complex seperatrices of the
singular point. The noncontractible path which exists on this cycle disap¬
pears at resonance, merging with an equilibrium position. A particular case
is the birth (or destruction) of a cycle from an equilibrium position with
loss of stability (cf., § 33). In this case, k = (1, 1, 0, • • •), kt + 22 = 0.
The phenomenon can be observed in the set of real numbers (cf.. Fig. 129).
In other cases (even at the same resonance; for example, in the case of a
saddle), the topology of real phase curves can persist at resonance.
The difference between the topologies of complex phase curves of an
equation (or family) and of its normal form is an obstruction to the analytic
reduction to the normal form. Moreover, if this difference is determined
by a jet of finite order (as is usually the case), then it prevents not only
the analytic but also a finitely smooth reduction to normal form. For
example, in the case where the ratio of the eigenvalues can be approximated
§ 36. Metamorphoses of the Topology at Resonances 329

well by rational numbers, the divergence of the reducing series can be

explained by the existence of complex limit cycles originating from nearby
resonances of high orders in any neighborhood of a stationary point: the
system in normal form does not have such cycles, and, therefore, a trans¬
formation to normal form is bound to be divergent.

The study of the question of divergence of Poincare series is far from complete.
The divergence proofs preceding Pjartli’s work (Poincare, Siegel, and Brjuno) are based
on a calculation of the growth of coefficients and do not illuminate the causes of
divergence in the same sense as the calculation of the coefficients of the series of arctan z
proves divergence for|z| > 1 but does not show the reason, i.e., singularities at z = ± i.

A. S. Pjartli has established the following results.

1. In the generic case, in the passage of the resonance kxXx + k2X2 = 0

in C2 a branching occurs from the separatrices of the singular point of an
invariant manifold, whose equation has the form zxlz22 = e in first approxi¬
mation, where e characterizes deviation from resonance and zx, z2 are the
phase coordinates.

2. An analogous result for the same resonance is obtained in C" under

restrictive conditions on the remaining eigenvalues.

3. For “abnormally commensurable” Xx and X2, an infinite number of

invariant manifolds exists in the generic case, corresponding to different
resonances in any neighborhood of a singular point, which implies diver-
genece of the Poincare series.

The work of Pjartli is based on a method of E. Hopf. Other proofs and generaliza¬
tions of the first two results of Pjartli have been proposed by Brjuno [A. D. Brjuno,
Normal form of differential equations with a small parameter, Matem. Zametki 16, 3
(1974), 407—414; Analytic invariant manifolds, Dokl. Akad. Nauk USSR 216, 2 (1974),
253-256; Integral analytic sets, Dokl. Akad. Nauk USSR 220, 6 (1975), 1255-1258],

E. Resonance among Three Eigenvalues

The resonance next in complexity is

kxXx -T k2X2 + k3X 3 = 0,

where the triangle with vertices Xx, X2, X3 contains 0. This resonance also has
been studied by Pjartli and Brjuno. Here a branching from the separatrices
of a singular point of an invariant manifold has been proved for n = 3.
Let (z1, z2, z3) be the phase coordinates and let e be the parameter of the
deformation (the resonance corresponds to e = 0). Then in the space with
coordinates (z, e), the invariant manifolds fill a holomophic hypersurface
whose equation has the form zkx'z22z3 = e in first approximation in an
appropriate coordinate system.
 330 6. Local Bifurcation Theory

Pjartli has proved that in the generic case for “abnormally commensur¬
able” (Al A ,A3) forming a Siegel triangle in any neighborhood of the
3 2

equilibrium position 0 e C3, an infinite number of invariant manifolds of

the described type exists cooresponding to distinct resonances.
From the following it will become clear that the presence of a sufficiently
large portion of a resonant invariant manifold in a neighborhood of the
nonresonant point OeC prevents the convergence of the Poincare-Siegel
3

series in this neighborhood. It follows from Pjartli’s result cited above that
in the generic case for “abnormally commensurable” (Aj, A2, A3), the indi¬
cated series diverge in any neighborhood of the origin.

F. The Case of Discrete Time

We consider a local autodiffeomorphism A : C" -► C" in the neighborhood

of the fixed point 0. We denote by (Al5 . . . , An) the eigenvalues of the
linearization of A at 0.
The preceding theory can be carried over to this case with the following
changes.

Resonances: Xk = A • • • A”" (m, > 0

^1 ^ 2).
Poincare domain: All |AS| > 1 or all |A,| < . 1

Siegel domain: There exist |Aj| ^ 1 and |A.| < 1.

Remark. To every linear vector field in C”, there corresponds a linear trans¬
formation in C (the “Poincare map”). Namely, let the field define the
"-1

differential equation

where ccn ^ 0. We consider solutions with initial conditions for / = 0 in the

plane zn = 1. The value of a solution for t = 2nijan belongs to the same
plane Cn_1. The mapping A: C —» C
"-1 thus obtained has the eigenvalues
"-1

ls = e2"ia'/a- (j = , 1 ). 1

An analogous construction of the Poincare map exists (under weak

additional assumptions) in the nonlinear case, as well. Therefore, results
concerning invariant manifolds and bifurcations for mappings imply
corresponding results for vector fields.
However, in the majority of cases, it is better to use the indicated con-
lection between equations and mappings as a heuristic means to conjecture
results in one area from existing results in the other; it is more convenient
lo prove the theorems independently in both situations.
 § 36. Metamorphoses of the Topology at Resonances 331

G. Bifurcation of Invariant Manifolds of a Diffeomorphism

The resonance among three eigenvalues of a vector field

k1rxl + k2a 2 + k3 a3 = 0

corresponds to a resonance of the form

X™'X™* = 1.

In the Siegel domain, we have mx > 0, m2 > 0, |1 ^ 1 # |12|. We assume

that X3 is larger than 1 in absolute value and X2 is smaller than 1 in absolute
value.
In this case, the results of Pjartli and Brjuno show the existence of invariant
manifolds filling a surface in the space with coordinates (e,z1,z2), the
equation of which starts with terms of the form e = z^lz^2. Here e is the
deviation from resonance and (z1,z2) are appropriate phase coordinates
(depending smoothly on e). For fixed e ^ 0, the invariant manifold thus
constructed is homeomorphic to a cylinder. The linkage coefficients of the
directrix circle of this cylinder with the coordinate axes in C2 are equal to
mt and m2.
We show that the existence of a sufficiently large portion of such a resonant
invariant manifold in a neighborhood of a nonresonant fixed point of a
diffeomorphism prevents the linearization of the diffeomorphism in that
neighborhood. Therefore, in the case where there are resonant manifolds
in any neighborhood of a fixed point, the linearizing series diverge every¬
where.
All mappings of C2 with |Aj| > 1 > \X2\ are equivalent to each other
topologically. In particular, all of them can be linearized and have many
invariant cylinders. Nevertheless, analytic invariant cylinders are quite rare,
as we will see.

H. Local Shifts

We intend to associate an elliptic curve imbedded in a holomorphic surface

with a resonant invariant manifold of a mapping C2 C2. This surface is
the manifold of orbits of our mapping (or the manifold of phase curves of
the original differential equation in C3). In order to define the manifold of
orbits, we introduce the following terminology.
Consider the cylinder S1 x 03. The standard translation of the cylinder
is, by definition, the addition of 1 to the second coordinate. Let D0 be a
domain on the cylinder containing S1 x [0,1]. The restriction to D0 of the
standard translation defines a diffeomorphism t: D0 —> Z>x = ?(Z)0). We
332 6. Local Bifurcation Theory

note that the intersection D0 D Dx contains the circle S1 x 1. We denote

by D the union D0 U D1.
Let M be a two-dimensional manifold, let M0 and Mx be its domains,
and let/: M0 —> Mx be a homeomorphism.

Definition. The homeomorphism f is called a local shift if there exists a

homeomorphism h: M —> D turning M0 into DQ, Mx into Dx, and/into t.

Let M be a complex curve and let f: M0 -» Mx be a holomorphic local

shift. Identification of every point z e M0 with its image f(z) e Ml determines a
compact complex curve homeomorphic to the torus; i.e., the elliptic curve
r = m if
The proof is obvious. ►

Now we consider the direct product n = (S x R) x R2 of the cylinder

'1

with the plane. Let T: n —> fl be a translation by 1 along R and let E0 be

the neighborhood of D0 x 0, Ex = TE0, E = E0 U El.
Let TV be a smooth real four-dimensional manifold, M c= N a two-
dimensional submanifold, NY and N2 domains in N = Nx U N2 and F:
N\ —* N2 a homeomorphism.

Definition. The homeomorphism F is said to be a local shift of N along M

if a homeomorphism H : N —> E exists turning N0 into E0, Nx into £/ F
into T, and M into D.

Let N be a complex surface, M a N a complex curve, F: N0 —> Nx a

holomorphic local shift along M. Identification of every point z e N0 with its
image F{z) e Nx determines a holomorphic complex surface!! = N/ F which is a
neighborhood of the elliptic curve T = Mjf
^ The proof is obvious. ►

I. Construction of an Elliptic Curve from a Resonant Invariant

Manifold of a Linear Transformation

Let A: C -> C be a linear transformation with eigenvalues

2 2 A2, |Aj | >
1 > |A2|. We assume that the eigenvalues satisfy the resonance relation
A™'A™2 = where m, and m2 are relatively prime. Then the cylinder with
equation z™'z22 = 1 (where zx and z2 are coordinates in an eigenbasis) is
invariant with respect to A.
The restriction of A to this cylinder gives a holomorphic shift. Indeed,
uniformize the curve A™iA22 = 1 by a parameter A ^ 0 by the formula
= A1"2, X2 = A“m‘; on the cylinder, we introduce a parameter Z # 0 by
Zj = Z”*2, z2 = Z_m‘. Then the action of A on the cylinder assumes the
form Z i—► AZ. This transformation is a holomorphic shift, since |A| > 1.
The corresponding elliptic curve is C*/{ A} = C/(2nZ + coZ)whereA = elco.
§ 36. Metamorphoses of the Topology at Resonances 333

We note that in the case of resonance, a linear transformation has an

entire one-parameter family of holomorphic invariant cylinders z™'z22 = c,
c # 0. The elliptic curves constructed from these cylinders are all isomorphic.
An appropriate neighborhood of such a cylinder (or a sufficiently large
finite portion of it) turns into a neighborhood of an elliptic curve on a
complex surface under factorization with respect to the action of A. This
surface is the direct product of the elliptic curve with C. Indeed, the homo-
theties z i—> kz determine the projection onto the elliptic curve and the map¬
ping z i—> z’pzj2 defines the projection onto the second factor.
In particular, the index of self-intersection of the elliptic curve on the
surface thus constructed is equal to zero.

J. Construction of an Elliptic Curve from a Resonant Invariant

Manifold of a Nonlinear Transformation

Let A(e): U -» C2 be a biholomorphic mapping of the domain U <= C2 into

C2 depending holomorphically on the parameter e. We assume that a varies
in the neighborhood of zero in C and that all mappings A (a) leave the origin
in C2 fixed.
We denote by Xy, X2 the eigenvalues of the linearization of the mapping
A(0) at 0. We assume that |AJ > 1 > \X2\ and X™1 = X2mi, where m, and
m2 are relatively prime.
For a generic family A in the passage through the resonance for a = 0, an
invariant holomorphic resonant cylinder branches off from the separatrices
of the fixed point (cf., § 36G). We fix a sufficiently small a and consider
the restriction of A (a) to this cylinder. It can be verified that A (a) induces a
local holomorphic shift on a certain part of the cylinder. [This follows from
the facts that (1) in the first approximation, the cyclinder has the equation
z^'z™2 = c(e); (2) A (a) is close to the linearization of ,4(0) at 0; (3) the
linearization of ,4(0) at 0 acts on the cylinder z™'z22 = c as a local shift
(cf., § 361).]
Thus, for sufficiently small |e|, the mapping A(a) determines an elliptic
curve T(e) imbedded in a surface Z(e). In the homologies of T(£), a distin¬
guished circle exists (the image of the directrix circle of the cylinder). The
curve T(e) can be represented in the form

2nZ. + co(e)Z’

where 2n corresponds to the distinguished circle. The function co(a) has the
limit co0 for a —> 0. From the formulas of § 361, it follows that Xt = e,co°m2,
X2 = e~iw°m‘.
The index of self-intersection of the curve T with the surface Z is equal
to zero. Therefore, Z is topologically the direct product of T with a disk.
Nevertheless, Z is not necessarily a direct product analytically.
 334 6. Local Bifurcation Theory

Moreover:

(1) £ may not be a holomorphic fibration over T; the neighborhood of T

in £ may not admit holomorphic mappings onto T identical on T. This
will happen, for example, in the case where, near T, there is a family
of elliptic curves with distinct values of the modulus of a> in £.
(2) T may not admit deformations in £ different from translations of T
along itself. This is, for example, the case where the normal bundle
of T in £ is analytically nontrivial.

Positive results on the structure of £ are given in § 27.

K. Nonlinearizability of a Mapping in a Domain Containing

a Resonant Cylinder

Theorem. If the elliptic curve T is not deformable in its neighborhood £, then

the mapping A cannot be linearized by a biholomorphic change of variables
in any neighborhood of the point 0 containing a part of the holomorphic
invariant cylinder large enough for the construction of the curve T.

Indeed, a holomorphic invariant cylinder of a linear mapping can always

be deformed by means of a small homothety.
Consequently, we obtain an upper estimate of the radius of covergence
of the Poincare-Siegel series in terms of a holomorphic invariant cylinder
with a nontrivial normal bundle over the corresponding elliptic curve.

Theorem (Ju. S. U’jasenko). If a linear mapping has a holomorphic invariant

cylinder whose directrix circle has linkage coefficients (m,, m2) with the
eigenaxes and the corresponding elliptic curve is C/(27tZ + coZ) (where 2n
corresponds to the directrix of the cylinder), then the eigenvalues are equal to
Aj = etca>”2, A2 = e~l<omi. Consequently, we have the resonance A™'A22 = 1.

Let (zL, z2) be the eigencoordinates. The differential forms dzjzk on the
cylinder are holomorphic and invariant with respect to the mapping and
determine holomorphic forms on the elliptic curve.
We calculate the integrals of these forms on generators of the group of
homologies of the torus. One of the generators corresponds to the directrix
circle y on the cylinder. For this, we have

— 2nim,,

since the linkage coefficient of y with the axis Zj = 0 is equal to m2 and mx

with the axis z2 = 0. The second generator corresponds to the segment S
connecting the point z with its image Az on the surface of the cylinder. For
§ 36. Metamorphoses of the Topology at Resonances 335

this, \dzjzx = InAj, |dz2jz2 = \nX2. (These relations determine branches

of the logarithm function.) On the other hand, all holomorphic forms on
an elliptic curve are identical up to constant factors. Hence

co _ In A i _ In X2 ^
2n 2nim2 2nim1

Corollary. Let A be a local diffeomorphism with fixed point 0 and eigenvalues

Xl2. Assume that a holomorphic cylinder exists in some neighborhood U of the
fixed point. Let A be a holomorphic shift along this cylinder, and let co be the
period of the corresponding elliptic curve. If X and co are not related by the
formula Xx — e“°m2, X2 - (where mx, m2 are the linkage coefficients
with the separatrices of the singular point), then the diffeomorphism A is not
analytically equivalent to a linear diffeomorphism in the domain U.

L. Divergence of the Poincare Series

The results obtained so far imply the following theorem.

Theorem. If in an arbitrarily small neighborhood of the nonresonant fixed

point § of a local diffeomorphism C2 —>• C2 there are holomorphic cylinders on
which the diffeomorphism acts as a local shift, then the diffeomorphism is not
analytically equivalent to a linear diffeomorphism in any neighborhood of the
fixed point 0. (Consequently, the Poincare series are divergent everywhere.)

Pjartli established that such an accumulation of invariant cylinders at

the singular point is a generic phenomenon for mappings whose eigenvalues
“can be approximated abnormally well by resonant ones”. Consequently,
for such eigenvalues, the divergence (everywhere) of the Poincare series is
a generic phenomenon.
The results of this section can easily be carried over to vector fields in C3
close to a singular point of Siegel type. The materialization of the resonance
mxXx + m2X2 + m3X3 = 0 is an elliptic curve. The points of this curve
are the phase curves of the field lying on the invariant resonant surface
= ce +

M. Bifurcations of Elliptic Curves on Complex Surfaces

The theory (expounded above) of bifurcations of invariant manifolds of differential

equations is analogous to the theory of bifurcations of elliptic curves with index of
self-intersection zero on complex surfaces.
An elliptic curve and its normal bundle on a surface are given by a pair of complex
numbers (co, X) (cf., § 27). They can be obtained from the complex q?-axis and the plane
of two complex variables (r, <p) through the pastings
336 6. Local Bifurcation Theory

(r, <p) ~ (r, cp + 2n) ~ (Ar, ip + cu).

A bundle is said to be resonant if it becomes analytically trivial upon passing to

some finitely sheeted cyclic covering.
In the space of pairs (a, oj), the resonant bundles correspond to the hypersurfaces
a" = elkw. It turns out that if one continuously varies the pair (elliptic curve, surface)
at the moment of passage through resonance, the elliptic curve is approached by
another elliptic curve which covers the former one topologically. Therefore, the materi¬
alization of the resonance is a bifurcation of a multiple elliptic curve.
We consider a one-parameter family T (e) c £(e) of pairs. We assume that resonance
X" = e‘kci corresponds to e = 0. It turns out that the equation of the branching curve
has the form rne‘kv = e [after the choice of an appropriate parameter e of the family
and after an appropriate change of coordinates (r, <p) depending on e; we assume that
the resonance corresponds to e = 0 and that there exist no resonances of smaller
order: XmelUp =£ 1 for 0 < m < /?].
Let us deduce the equation of the branching curve by formal series. Arguing as in
§ 27, we can reduce the pasting to the form

( r f /-A(1 + ole + aw + -A),

\cp \(p + a) + f$E + bw + B,

where a, /?, a, and b are constants, ir = rne'k<p, and A and B are power series in £ and
h' beginning with terms of degree 2. This substitution transforms w into w(l + ye +
ch- + C), where y = na + ikfl, c = na + ikfi; C can be written in terms of second and
higher degree in e and w.
The equation ye 4- cw + C = 0 determines a branching curve. For a generic family,
we have y ^ 0, c ^ 0. After an appropriate change of the coordinates e and r, this
equation has the form = e.
The convergence can be studied in the same way as in the works of Pjartli and
Brjuno cited previously.

Remark. It is easy to verify that the condition }!'e'k<0 = 1 means exactly that the normal
bundle is analytically trivial over some finitely sheeted cyclic covering of the elliptic
curve.
All fibrations considered so far are topologically trivial. In particular, the elliptic
curve branching off at resonance is projected (nonholomorphically) onto the curve
T(e) “along the r-direction”. This projection is a topological finitely sheeted cyclic
covering of the torus. This is the same covering over which the normal bundle becomes
trivial at the moment of passage through resonance.
If (n, k) = d > 1 (but there are no resonances of smaller orders, ^ 1 for
0 < m < n), the branching curve is not connected. In this case, it consists of d com¬
ponents, each of which is an («/c/)-sheeted topological covering of the original torus.

N. Divergence of the Linearization

For some nonresonant bundles (i.e., pairs X, co), the series reducing the pasting to
normal form are divergent.
§ 37. Classification of Singular Points 337

The branching off of the curves in the case of resonance allows us to “explain” the
divergence of the series linearizing the pasting. Let us assume that a pair (A, to) is
nonresonant but very close to a resonance. Then, in a small neighborhood of the
initial elliptic curve, another elliptic curve will generically exist, namely the curve
materializing the resonance. If the pair (A, oj) is sufficiently close to an infinite number
of resonances, then in an arbitrarily small neighborhood of the initial elliptic curve, an
infinite number of curves exist, materializing distinct resonances and cyclicly covering
the initial curve.
The normal bundle of the initial curve is nonresonant. Nonresonant normal bundles
of degree 0 do not have sections over any cyclic finitely sheeted covering of an elliptic
curve. Therefore, in the normal bundle of the initial elliptic curve, there are no elliptic
curves cyclicly covering the initial curve. This means that no neighborhood of the
initial curve on the surface can be mapped biholomorphically on a neighborhood of
the zeroth section of a normal bundle. Therefore, the series diverge for generic pastings
if the pair (A, co) can be approximated too well by resonant pairs. This account follows
the author's article in Funct. Anal. Appl. 10 (1976), 1-12. Details of the proofs can be
found in a sequence of papers by Ju. S. Il’jasenko and A. S. Pjartly Zero-type neighbor¬
hoods of imbedded complex tori, Trudy Sem. I. G. Petrovskogo 5 (1979), 85-95 ; 7 (1981),
3-49; 8 (1982), 111 -127. Ju. S. Il’jasenko, Embeddings of elliptic curves of positive type
into complex surfaces, Trudy Moskov. Mat. Obschestva 45 (1982), 37-67.

Remark. There is an analogy between compact complex submanifolds of analytic

manifolds and limit cycles of differential equations: similar to the fact that a limit
cycle can vanish under a small deformation of the field only if the monodromy operator
has the eigenvalue 1, an elliptic curve on a surface having a vanishing index of self¬
intersection does not disappear under small deformations of the surface if the normal
bundle is analytically nontrivial. Bogomolov suggested the following general formula¬
tion : a compact submanifold of a complex manifold does not disappear under a small
deformation of the entire manifold if the one-dimensional cohomologies of the normal
sheaf are trivial. (For the definition of cohomologies, see, for example, R. O. Wells,
Differential Calculus on Complex Manifolds, New York, Springer-Verlag, 1980, Ch. 2.)

§ 37. Classification of Singular Points

In this section, we give up the “universal” point of view and consider

individual systems (rather than families) of differential equations in the
neighborhood of a singular point of the vector field and allow degeneracies
of an arbitrarily large codimension. From the generic point of view, the
study of such complicated singularities has very limited significance, since
complicated degeneracies have a large codimension and are seldom en¬
countered.
However, the knowledge of the general fundamental characteristics of
arbitrary singularities is interesting even in those complicated cases which
are not accessible to our contemporary methods.
In particular, to know what kind of pathology may occur in the case of
a high codimension is useful at least to the extent that we do not waste
energy on the search for nonexistent things. It turns out that among such
 338 6. Local Bifurcation Theory

nonexistent objects are, for example, the algebraic criteria of Lyapunov of

asymptotic stability, and algebraic criteria in the center-focus problem (for
vanishing roots of the characteristic equation).
In order to understand what sort of fundamental questions we want to
discuss, we start by considering a very simple example which can be analyzed
completely.

A. Singular Points of Functions on the Real Line

Let / be a real-valued function smooth in the neighborhood of the point

x = 0 e IR. If the point 0 is not critical, then the function is smoothly
equivalent to a linear function in the neighborhood of 0 (f(x) = x c).
What happens in the critical case is also well-known: iff'(Q) = 0, then the
behavior of the function is determined by the sign of/"(0), etc.
To be specific, we consider the problem of conditions for a minimum of
the function at 0. The answer can be given in the following way: The space
Jk of &-jets of functions at 0 can be divided into three parts,

Jk = I U II U III;

I consists of the jets guaranteeing a minimum,

II consists of the jets guaranteeing the absence of a minimum, and
III consists of the jets from which it cannot be determined whether there
is a minimum or not.

The jets of types I or II are said to be sufficient and those of type III are
said to be susceptible.
In our case the sets I, II, and III have the following two properties.
1. Semialgebraic Property. Each of the sets I, II, and III is a semialgabraic
submanifold in the jet space Jk.
A semialgebraic set in (RN is defined as a finite union of subsets, each of
which is given by a finite system of polynomial equations and inequalities.
If inequalities are not needed, then the set is said to be algebraic. A useful
property of semialgebraic sets is expressed by the following theorem. [For
the proof, cfi, A. Seidenberg, A new decision method for elementary algebra,
Ann. Math., Ser. 2 60 (1954), 356-374; E. A. Gorin, On asymptotic prop¬
erties of polynomials and algebraic functions, Russ. Math. Surveys 16, 1
(1961), 91-118.]

Tarsky—Seidenberg Principle. The image of a semialgebraic set under a

polynomial mapping is semialgebraic.

A weaker but equivalent formulation is the following:

The projection of a semialgebraic set onto a subspace is a semialgebraic
set.
 § 37. Classification of Singular Points 339

We note that the projection of an algebraic set may not be algebraic but
only semialgebraic (for example, the projection of a sphere onto a plane).
2. Almost Finite Determinacy. As k —> oo, the codimension of the set
III Jk of susceptible jets tends to infinity.
In other words, the susceptible jets in Jk are determined by a number of
conditions increasing with A:. As a result, it turns out that the set of functions
for which it is undecidable whether 0 is a point of local minimum from any
number of terms in the Taylor series is very thin: it has infinite codimension
in the function space.

B. Other Examples

The analogous problem for functions of several variables does not admit
such a simple algorithm: if the second differential degenerates, then we have
to appeal to higher derivatives and we arrive at the problem of the classifica¬
tion of algebraic curves, surfaces, etc. Nevertheless, in this case as well, the
decomposition Jk = I U II U III of the space of A:-jets of functions on R"
are semialgebraic and almost finitely determined, although it is hopeless to
explicitly write out the equations and inequalities on the Taylor coefficients
for arbitrarily large n and k. The existence of these equations and inequalities
can be derived from the Tarsky-Seidenberg theorem, the proof of which
also contains an algorithm for obtaining these equations and inequalities
(generalized Sturm’s theory).

The initial segment of the classification has been calculated explicitly and turns out
to be connected (quite mysteriously) with the classification of regular polyhedra, the
Coxeter, Weyl, and Lie groups of the series Ak, Dk, and Ek, automorphic functions,
triangles in the Lobachevsky plane, singularities of caustics, wave fronts, and oscillating
integrals of the method of stationary phase [cf., V. I. Arnold, Singular points of smooth
functions and their normal forms, Russ. Math. Surveys 30, (1975), 1-75 and references
therein; Vasil’ev, V. A., The asymptotics of exponential integrals, Newton diagram, and
classification of points of minimum, Funct. Anal. Appl. 11, 3 (1977), 1-11],

The next example is the problem of the topological classification of germs

of smooth mappings. In 1964, Thom announced a theorem on the semi¬
algebraic character and almost finite determinacy in this case; the proof
was given by Varcenko [A. N. Varcenko, Local topological properties of
differentiable mappings, Izv. Akad. Nauk Ser. Matem. 38, 5 (1974), 1037-
1090; English translation: Math. USSR-Izv., 8 (1974), 1033-1082].

C. Singular Points of Vector Fields

We return to the problem of the topological classification of singular points

of vector fields. At first, the problem appears to be as simple as in the case
of functions. The nondegenerate singular points can be classified according
340 6. Local Bifurcation Theory

to the number of eigenvalues in the left half-plane. The space of 1-jets can
be divided into a finite number of parts corresponding to the number of
roots in the left half-plane. Each of these parts is a semialgebraic set in the
space of jets; the polynomial inequalities defining it can even be given
explicitly (Routh-Hurwitz condition; cf., for example, F. R. Gantmaher,
Theory of Matrices, Moscow, Nauka, 1967).
The susceptible 1-jets form a semialgebraic submanifold of codimension
1, which separates the domains corresponding to distinct numbers of roots
in the left half-plane. In the preceding sections, we considered a series of
examples of investigations of what happens in these degenerate cases in the
passage to 2-jets, etc. Thus, this gives the impression that here, too, we may
go arbitrarily far, and only the complexity of calculations and the abundance
of cases do not permit us to give an algebraic classification in the cases of an
arbitrarily large codimension. It turns out that this is not so [V. I. Arnold,
Algebraic unsolvability of the problem of Lyapunov stability and the problem
of topological classification of singular points of an analytic system of differ¬
ential equations, Funct. Anal. Appl. 4, 3 (1970), 1-9].
The semialgebraic property is lost even in such a simple case as in the
problem of distinguishing between a center and a focus for vanishing roots
of the characteristic equation (Brjuno and Il’jasenko, cf., Ju. S. Il’jasenko,
Algebraic unsolvability and almost algebraic solvability of the center-Jocus
problem, Funct. Anal. Appl. 6, 3 (1972), 30-37]. Consequently, for the
problems of stability and topological classification no algebraic algorithm
can exist*).
There remains some hope for the existence of a nonalgebraic algorithm,
nevertheless, i.e., that the property of almost finite determinacy holds: the
set of germs whose topological type (or stability) is not determined by any
finite segment of the Taylor series may have infinite codimension. The
question of whether this is so presents serious difficulties; its formulation
has to be made precise, by indicating the exact sense of the word codimension.
The sets in the space of A:-jets whose codimension has to be defined are not
algebraic and set-theoretical difficulties may arise. Thom conjectured that the
answer to this question is negative. See F. Takens, A nonstabilisable jet of a
singularity of a vector field, Dynamical Systems (ed. M. M. Peixoto), Academic
Press, New York (1973), 583-597.
We also mention the problem of algorithmical decidability of the stability
of a stationary point for a vector field with polynomial components over
the ring of integers.

* Most recently, L. Hazin and E. Snol' established the algebraic unsolvability of the problem
of stability in the case of two pairs of purely imaginary eigenvalues with resonance 3:1. This
case corresponds to a submanifold of codimension 3 in the function space. See L. G. Hazin,
E. E. Snol’, Simplest cases of algebraic unsolvability in the problems of asymptotic stability,
Dokl. Akad Nauk SSR 240 (1978), 1309-1 311; Stability conditions at resonance I ; 3, Prikl.
Mat. Mekh. 44 (1980), 229-244. See, also, P. M. Elisarov, Nonalgebraicity of some manifolds
of differential equations, Vestn. Mosk. Univ. Mat. Mekh. 2, (1978), 57-64.
§ 37. Classification of Singular Points 341

D. Structure of Susceptible Sets

The question of almost determinacy is related to the behavior of sets of

susceptible jets in the space Jk of A:-jets for k going to infinity. It is easier
to investigate questions of the structure of susceptible sets for fixed k. We
fix a susceptible (k — l)-jet of a vector field at 0 and consider the space J
of all A:-jets with the given (k — l)-jet. To be specific, consider the problem
of asymptotic stability. Then the space / can be divided into two (possibly
empty) parts: I (stable according to the A:-jet) and II (unstable according to
the A:-jet), and the remainder III of susceptible jets. (In the case of the problem
of topological classification, there are more parts.) A reasonable formulation
of the problem of a stability criterion consists of establishing what properties
the parts I, II, and the boundary between them have. For instance, if the
boundary is transcendental, there is no algebraic stability criterion. How
complicated may this boundary be? For example, may it (or the open parts
of the domains I and II) have an infinite number of connected components?
or: can points of the parts I and II alternate similarly to rational and
irrational numbers?
Examples of this kind are not known. However, it can be expected that
this will happen in particular cases of sufficiently large codimension in a
multi-dimensional space.
The local problem of the behavior of phase curves near a singular point
in IR" is closely related to the global problem of differential equations given
by a polynomial system in the projective space RP"_1 of dimension smaller
by 1. In the above-mentioned work on algebraic unsolvability, this connec¬
tion was used to derive the transcendental character of the boundary of
stability in the space of jets of the local problem from the transcendental
character of the surface of birth of limit cycles in the space of coefficients
of a polynomial system on the projective plane. However, in a multi¬
dimensional global situation, much more complicated phenomena are
possible than limit cycles, such as systems on the torus with alternating
commensurability and incommensurability of the rotation numbers or
domains in the function space free from structurally stable systems. All
these phenomena occur in polynomial systems in a projective space, and
each of them can contribute to the complexity of the boundary of stability
in the space J.
Samples of Examination Problems

In the four-hour written examination, 15 interrelated problems are given.

Within square brackets, we indicate the point value of each problem. These
values are revealed to the students beforehand.

Variant 1

x = — sinx + £ cos t. (1)

I. Let £ = 0.

(1) Linearize at the point x = n, x — 0, [1].

(2) Is this equilibrium position stable [1]?
(3) Find the Jacobian of the mapping of the phase flow at the point
x = 7i, x = 0 at time t = 2n [3],
(4) Find the derivative of the solution with initial condition x = n,
x = 0 with respect to the parameter £ at e = 0 [5].
(5) Draw the graph of the solution and its derivative with respect to t
under the initial condition x = 0, x = 2 [3].
(6) Find this solution [3].

II. Let Eq. (2) be the linearized equation along the solution indicated
in problem (5).

(7) Does Eq. (2) have unbounded solutions [8]?

(8) Does Eq. (2) have nonzero bounded solutions [8] ?
(9) Find the Wronskian of a fundamental system of solutions of Eq. (2),
given that W(0) = 1 [5].
(10) Write out Eq. (2) explicitly and solve it [10].
(11) Find the eigenvalues and eigenvectors of the monodromy operator
for the linearized equation along the solution with initial condition
x = 7i/2, x = 0 [16].
(12) Prove that Eq. (1) has a 27r-periodic solution depending smoothly
on £ and vanishing at x = n for £ = 0 [6].
(13) Find the derivative of this solution with respect to e at e = 0 [6].
Samples of Examination Problems 343

III. Consider the equation ut + uux = — sinx.

(14) Write out the equation of characteristics [2].

(15) Find the largest value of t for which the solution of the Cauchy
problem with u\t=0 = 0 can be extended to [0, t) [8].

Variant 2
I. Let a vector field in three-dimensions have the origin as its singular
point and let one of the eigenvalues of this singular point be equal to zero
and the other two purely imaginary.

(1) Reduce to normal form the terms of degree 1 of the Taylor series
expansion at zero of the components of the field [1],
(2) Do the same for terms of degree 2 [3].
(3) Do the same for terms of any degree [8].
(4) Average the system with respect to the fast rotation given by the
linear part of the field [12].

II. Let us have a family of fields depending on a parameter and containing

the field in part I for the zero value of the parameter.

(5) Reduce a beginning segment of the Taylor series at zero of the fields
of the family to the simplest possible form by a diffeomorphism
depending smoothly on parameters varying in the neighborhood of
zero [10].
(6) Average the same system with respect to the fast rotation given by
the linear part of the initial field [20],

III. In the space of 1-jets of vector fields in three-dimensions we consider

the manifold of jets with one vanishing and two purely imaginary eigenvalues
at the singular points.

(7) Find the codimension of the indicated manifold [2].

(8) Write the condition of transversality of the family, given in the form
found in problem (5), to the indicated manifold [8].
(9) Analyze the bifurcations of singular points in generic two-parameter
families transversal to the indicated manifold [10].
(10) Analyze the bifurcations of cycles from these singular points [15].
(11) Study the existence and smoothness of a phase curve connecting
these singular points [15].

IV. Let a straight line going through zero be distinguished in the plane.
A diffeomorphism of the plane is said to be distinguished if it transforms the
distinguished line into itself. A vector field is said to be distinguished if it is
tangent to the distinguished line at all of its points. Let a distinguished field
be given which has a singular point at zero with two vanishing eigenvalues.

(12) Reduce a segment of the Taylor series of the field at zero to the sim¬
plest possible form by means of a distinguished diffeomorphism [12],
344 Samples of Examination Problems

(13) Reduce a family of distinguished fields, which is a deformation of

the given field, to formal normal form by means of distinguished
formal diffeomorphisms depending formally smoothly on the
parameters varying in the neighborhood of zero [16].
(14) Analyze the bifurcations of singular points in generic families
obtained from the normal forms of problem (13) by omitting terms
of high degree [18].
(15) Apply the results of problems (12)—(14) to the study of bifurcations
of the phase portrait of a field with one vanishing and two purely
imaginary eigenvalues [25].

Additional Problems

(1) Let z = sz + Tz|z|2 + z3. Prove that the number of limit cycles is
not greater than 1 if |Re/l| > 1. Hint: Divide the field by zz and
use the formula div P(z, z) = 2 Re(dP/dz).
(2) Let A = (3 + i)/y/2. Then, for argg = 5n/4, the singular separatrix
of every saddle-node coincides with the nonsingular separatrix of the
next saddle-node. Hint: At the moment of saddle-node coalescence,
the equation can be reduced to the form w = el6 [_/?w(| w|2 — 1) +
i(w2 — w2)], where A = (R — i)e,e. If R = 2 and 9 = n/4, the
separatrices are straight lines.
(3) Analyze the curves in the complex A -plane which divide domains
where, when arg e varies, singular points coalesce on the cycle, inside
the cycle, and outside the cycle. Hint: If one varies 6, the field vectors
rotate. The curves are located approximately like the four parabolas
a2 = 2 ( + b ± 1), A = a -I- ib.
(4) For small | Re A | and 1 < | Im ^41 < c « 4.11, the equation of problem
(1) has (for appropriate e) two limit cycles, with nine singular point
inside the inner cycle. For | Im A | > c, only one cycle exists (Neistadt).
The boundary between domains of existence of one or two cycles
looks like an ellipse with the major axis 1 ^ |Im/l| <4.11 and the
minor axis of length 2.
(5) Prove that there are no limit cycles in the generalized system of
Lotka-Volterra, x = x (a + ax + by), y = y (/? + cx + dy). Hint:
At stability loss, the system has a first integral: a product of degrees
of three linear functions (Bautin).
Index

absolute 133 fiber 203

action variable 165, 169 negative, nonpositive, zero 214
adiabatic invariant 168 nonresonant 336
almost 171 normal 47,50,206,211,213,334,
algorithm. Euclidean 112 336
angular function 104 resonant 336
annihilation 45 rigid vector 210
Anosov tangent 229
diffeomorphism 128 vector 205, 210
flow 132, 137
system 128, 132, 163, 277
Anosov’s theorem 124, 269 Cartan replicas theorem 186
attractor, hyperbolic, strange 278 Cauchy problem 60, 63, 67, 77, 80, 139
automorphism, torus 121 center manifold 269
average centralizer 242
space 100, 147 characteristic
time 99, 147 direction 74, 76
averaged field 66
equation 146, 149 Euler 205
field 174 plane 73
motion 146 point 60
system 165, 171 vector 65
averaging in Seifert’s foliation 174, field 65
199, 301 Clairaut equation 18
codimension 1 degeneracies 224
codimension k degeneracies 224, 282
base manifold 233 coefficient
bifurcation periodic 195
diagram 246, 282 quasiperiodic 201
Hopf 274, 279 reflexion and transmission 38
of invariant manifold 331 condition A_ 158
nondegenerate point 263 condition A 159
of periodic solutions 265 configuration space 84
of the phase portrait 270, 302, 316 contact
regular value 263 form, standard 70, 72
of singular points 262, 314 hyperplane 71
value of a parameter 263 manifold 73
billiard system 138 1-form 70
bound states 42 plane 15
bundle structure 15,68,71,72
contangent 84 continuous fractions 112
346 Index

cotangent double sweeping 138

bundle 84 dual norm 23
vector 84 duality 56
criminant 25 projective 20
curve dynamical system 90, 140
branching 336
discriminant 16, 26
elliptic 202, 213, 332-336, 338 eigenvalues, resonant 190
integral 3, 16,66, 123, 199 eikonal equation 85
invariant 299 elliptic
phase 286 curve 202, 213, 332-336,337
cusp 247 periods of an 202
cusp singularity 247 integral 313
cycle 95, 108, 292, 300, 320, 326, 328 envelope 24
degenerate 95, 328 equation
limit 141,153,280 averaged 146, 149
nondegenerate 96 Clairaut 18
cycle of order q 106 eikonal 85
Hamilton—Jacobi 83
homological 115, 117, 124, 182, 193,
decrement 250 197, 212, 215
decrement diagram 250, 254, 256 Navier-Stokes 140, 274
deformation 240, 287, 304 perturbed 146
equivariant 304 principal 303
miniversal 242 singular 304
principal 305, 307 quasilinear 63
topologically orbitally versal 267, Schrodinger 31
298 van der Pol 152
universal 240, 245 equivalence
versal 240, 245, 248, 270, 283, 289, of local systems 267
307 orbital 92
degeneracies topological 91
codimension k 224, 282 equivariant
codimension 1 224 deformation 304
infinite codimension 224 vector field 302
degenerate 95, 288 Euclidian algorithm 112
cycle 95 Euler characteristic 205
field 230
Denjoy’s theorem 107
Desargues 44 family
diagram generic 246, 252, 262, 268, 272,
bifurcation 246, 282 290-292, 333
decrement 250, 254 germ of a 240, 264, 267
Newton 5, 236 local 2'67
diffeomorphism, Anosov 128 of matrices 240
dilatation 3 of phase curves 287
Diophantine approximation 163 topologically equivalent 264
direction, characteristic 74, 76 of vector fields 323
direction field, characteristic 66, 314 fiber bundle 203
discriminant curve 16, 26 fibering, trivial and nontrivial 204
domain fibration 228, 334, 336
Poincare 188, 190, 192, 199, 324, field
330 averaged 174
Siegel 188,190,192,199,330 degenerate 307
Index 347

of planes 68, 129 Hamilton-Jacobi equation 83

perturbed 145 Hamiltonian 160, 164, 168, 177
projective 52 Hard loss of stability 272
singular 304, 307 Herman, theorem 111
symmetric 175 homogenous differential equation 3
vertical 144 First-order partial 61
unperturbed 145 non 62
Floquet’s theorem 195 quasi 5
flow homological equation 115, 117, 124,
Anosov 132, 137 182, 193, 197, 212, 215
geodesic 136-138 homology 333
Poiseuille 276—282 Hopf bifurcation 274, 279
foliation 123, 129, 199, 269 horocycles 135
Seifert 173 horospheres 137
form hyperbolic rotation 124
analytic normal 210 hyperplane, contact 71
contact, 1- 70 hyperplanes, field of 68
formal normal 198, 208 hypersurface 60, 223, 297, 329, 336
standard contact 72 resonance 154
symmetric 66
formal
change of variables Chap. 5, 208 increment 250, 253
pasting 208 index
Fourier of intersection 205
coefficients, behavior of 115 resonance 154
series 197, 212 of self-intersection 205, 211, 333,
Frobenius, integrability condition 335
of 87 initial
function, angular 104 condition, noncharacteristic 67
curve 337
manifold 60, 77
generating solution 265 integrability condition of Frobenius 87
generation, rough 277, 281 integrable, completely 86, 129
generic integral 146, 170
case 223 curve 3,15,66,123,199
family 246, 252, 268, 272, 290-300, elliptic 313
333 manifold 71,77,87
point 224 surface 59, 68
geodesic 133, 137 invariant 2
flow 136, 138 adiabatic 169
germ 240 almost adiabatic 171
of a family 240, 264, 267 curve 299
of a mapping 227 cylinder 334
GL(2, R) 35 manifold 178
graph 44 bifurcation of 331
1- 72,80 projective 52
Grobman-Hartman theorem 127, 191, scalar 51
289 subspace 125
Grothendieck group 237
group
of &-jets 228 Jacobi manifold 205
one-parameter 7 jet 14, 72
Picard 205 of germs 227
special linear, SL(2, C) 35 group of k- 228
unitary, U(l, 1) 34 k- 226,338
348 Index

jet (continued) multiplicity of a singular point 236

source of a 226 multipliers 287, 290, 297, 302, 305,
space of 227, 235 317, 325
sufficient 338
susceptible 338
target of a 226 n-tuple, resonant 184
Navier-Stokes equation 140, 274
Nehoroshev’s theorem 166
k-jet extension 234 neighborhood
Keplerian motion 145 negative 21 1
Kolmogorov theorem 165, 172 positive 213
Neishtadt’s theorem 159, 162, 173
Newton
Legendre diagram 236
submanifold 71 number 238
transformation 19 polyhedron 237
Liapunov noncharacteristic initial condition 67
criteria of asymptotic stability 338 nondegenerate 94, 106, 109, 287
function 311 bifurcation point 263
limit cycle 141, 153,284 cycle 96
Lobachevsky nondesargueness 50
geometry 36, 133 infinitesimal 49
plane 36, 133 nonresonant bundle 336
local family 267 norm 23
dual 23
normal
manifold bundle 47, 50, 206, 211, 213, 334,
base 233 336
center 269 form 26, 45, 50, Chap. 5, 239, 321
contact 73 formal 198, 208
initial 60, 80 preliminary 208
integral 71,77,87 pair 210
invariant 178
Jacobi 205
locally projective 44 one-parameter group 7
of orbits 331 operator, monodromy 33, 195, 198,
preimage 230 287
resonant 331-333 optical distance 85
stable 287 orbital equivalence 92
unstable 287 orbits, manifold of 331
mapping order
/c-tangent 226 of an operator 217
Poincare 95, 103, 178, 195, 200, 286, of a resonance 181
290, 300, 321, 324, 330 orthogonal complement, skew 74
transversal to a statified subvariety oscillations
230 period of small 13
miniversal deformation 240, 248 soft generation of 271,292
mixed Minkowski volume 238
mixing 123
monodromy operator 33, 195, 198, pair, resonant 208
287 partial quotients 114
monomial, resonant 184 pasting, formal 208
motion, averaged 146 pendulum 12
multiplicative type (C, v) 214 period of small oscillations 13
Index 349

periodic pretzel 138

coefficient 195 principal
solution, bifurcation of 265 deformation 304, 307
periods of an elliptic curve 202 equation 303
perturbed singular equation 307
equation 146 projective
field 145 duality 20
phase curve 3, 61, 65, 82, 87, 121, 141, field 52
269, 292 invariant 52
family of 293 manifold, locally 44
phase space 20
plane 37 transformation 50, 52
portrait, bifurcation of 270, 302, 316
versal deformation of 265
transformation 37 quasilinear equation 63
Picard group 205 quasiperodic coefficient 201
plane
characteristic 73
contact 15 regular point 16, 289
Lobachevsky 36, 133 singular point 26
noncharacteristic 73 resolution of singularities 9
resonant 187 resonance 155, 159, 180, 188, 192, 194,
Poincare 201, 273, 300, 322-330, 333
-Andronov theorem 272 hypersurface 154
domain 188, 192, 199, 323, 330 index 154
-Dulac theorem 184 order of 181
mapping 95, 103, 178, 195, 200, 286, point 154
290, 300, 321, 324,330 strong 301
method Chap. 5, 265, 298, 300, 307, tori 167
327 vector 154
series 58, 190, Chap. 5, 324, 329, 335 resonant 291
theorem 181,190,193,324 bundle 336
type 326 eigenvalues 190
point manifold 331-333
characteristic 60 monomial 184
generic 224 «-tuple 180
noncharacteristic 61, 73, 81 pair 208
regular 16, 289 plane 187
singular 26 Reynold’s number 277
resonance 154 Riemann-Roch theorem 213
saddle 127,178,253,299,315 rotation
singular 11, 25, 223, 236, 260, 315, hyperbolic 124
328, 335, 337, 339 number 104, 299
degenerate 265 rough generation 277,281
nondegenerate 236, 261 rough loss of stability 292
of Poincare type 326
of tangency 26
of type (C, v) 189 saddle
Poiseuille flow 276, 282 -node 236
Poisson brackets 182, 185, 306 point 127,178,253,299,315
polyhedron, Newton 237 standard 289
potential barrier 32 Sard’s theorem 94,231,235,262
preimage manifold 230 scalar invariant 51
preliminary normal form 208 scattering matrix 41
350 Index

Schrodinger equation 31 structural stability 93, 96, 106, 108,

Seifert’s foliation 174 124, 132
averaging in 174,199,301 structure
self-intersection contact 15, 68, 71, 72
index of 205,21 1,333,335 symplectic 34, 70
singularity 247 submanifold, Legendre 71
semialgebraic subspace, invariant 125
property 338 subvariety, stratified 230
set 338 support of a series 237
series, Poincare 324, 329, 335 surface
shift, local 332 integral 59, 68
Siegel of negative curvature 137
domain 188, 190, 192, 199, 330 susceptible set 341
triangle 330 suspension 290
sigma process 10 symmetric
simplectic structure 34, 70 field 175
singular form 66
field 304, 307 symmetry 1, 176
point 11,25,223,236,260,315,328, system
335, 337, 339 Anosov 128, 132, 163,277
bifurcation of 262, 314 averaged 165, 170
degenerate 265 billiard 138
multiplicity of 236 dynamical 90, 140
nondegenerate 236, 261 equivalence of local 267
of Poincare type 326 unperturbed 154
singularities, resolution of 9
singularity
cusp 247 tangency, point of 26
self-intersection 247 tangent
swallow tail 247 bundle 229
skew-orthogonal complement 74 k-tangent mapping 226
small denominator 116, 327 target of a jet 226
soft generation of oscillations 271, 292 Tarsky-Seidenberg principle 338
soft loss of stability 272, 281, 292, 320, theorem
322 Anosov 124, 269
source of a jet 226 Cartan replicas 186
space Denjoy 107
average 147 Floquet 195
configuration 84 Grobman-Hartman 127,191,289
projective 20 Herman 111
of states 33 Kolmogorov 165, 172
special linear group, SL(2, C) 35 Nehoroshev 166
stability Neistadt 159, 162, 173
hard loss of 272 Poincare 181, 186, 190, 193, 324
loss of 288,292,301,305 Poincare-Andronov 272
rough loss of 292 Poincare-Dulac 182
soft loss of 272, 281,292, 320, 322 Riemann-Roch 213
structural 93, 96, 106, 108, 124, 132 Sard 94,231,235,262
stable manifold 287 Thom transversality 234
states, bound 42 time average 99, 147
stationary levels 42 topological equivalence 91
stratified subvariety 230 topologically equivalent families 264
stratum 230, 239, 246, 251 tori, resonance 167
strong resonance 301 torus automorphism 121
Index 351

transformation variable, action 169,171

Legendre 23 vector field 229
phase 37 vector
projective 50, 52 bundle 205, 210
transmission and reflexion coefficients characteristic 65
38 cotangent 84
transversal 229 field 326
characteristic 65
equivariant 302
uniform distribution 99 family of 323
unitary on the torus 98
group U (1, 1) 35 resonance 154
unimodular matrices 34 versal deformation 240, 245, 248, 270,
universal deformation 240, 245 283,289,307
unperturbed of phase portrait 265
field 145 topologically orbitally 267, 298
system 154 vertical field 144
unstable manifold 287

Whitney-Cayley umbrella 233

van der Pol equation 152
 Grundlehren der mathematischen Wissenschaften
Continued from page ii

258. Smoller: Shock Waves and 286. Andrianov: Quadratic Forms and Hecke
Reaction-Diffusion Equations, 2nd Operators
Edition 287. Maskit: Kleinian Groups
259. Duren: Univalent Functions 288. Jacod/Shiryaev: Limit Theorems for
260. Freidlin/Wentzell: Random Perturbations Stochastic Processes
of Dynamical Systems 289. Manin: Gauge Field Theory and Complex
261. Bosch/Guntzer/Remmert: Non Geometry
Archimedian Analysis—A System 290. Conway/Sloane: Sphere Packings,
Approach to Rigid Analytic Geometry Lattices and Groups
262. Doob: Classical Potential Theory and Its 291. Hahn/O’Meara: The Classical Groups and
Probabilistic Counterpart K-Theory
263. Krasnosel’skil/Zabrelko: Geometrical 292. Kashiwara/Schapira: Sheaves on
Methods of Nonlinear Analysis Manifolds
264. Aubin/Cellina: Differential Inclusions 293. Revuz/Yor: Continuous Martingales and
265. Grauert/Remmert: Coherent Analytic Brownian Motion
Sheaves 294. Knus: Quadratic and Hermitian Forms
266. de Rham: Differentiable Manifolds over Rings
267. Arbarello/Comalba/Griffiths/Harris: 295. Dierkes/Hildebrandt/Kuster/Wohlrab:
Geometry of Algebraic Curves, Vol. I Minimal Surfaces I
268. Arbarello/Comalba/Griffiths/Harris: 296. Dierkes/Hildebrandt/Kiister/Wohlrab:
Geometry of Algebraic Curves, Vol. II Minimal Surfaces II
269. Schapira: Microdifferential Systems in 297. Pastur/Figotin: Spectra of Random and
the Complex Domain Almost-Periodic Operators
270. Scharlau: Quadratic and Hermitian Forms 298. Berline/Getzler/Vergne: Heat Kernels and
271. Ellis: Entropy, Large Deviations, and Dirac Operators
Statistical Mechanics 299. Pommerenke: Boundary Behaviour of
272. Elliott: Arithmetic Functions and Integer Conformal Maps
Products 300. Orlik/Terao: Arrangements of
273. Nikol’skil: Treatise on the Shift Operator Hyperplanes
274. Hormander: The Analysis of Linear 301. Loday: Cyclic Homology
Partial Differential Operators III 302. Lange/Birkenhake: Complex Abelian
275. Hormander: The Analysis of Linear Varieties
Partial Differential Operators IV 303. DeVore/Lorentz: Constructive
276. Liggett: Interacting Particle Systems Approximation
277. Fulton/Lang: Riemann-Roch Algebra 304. Lorentz/v. Golitschek/Makovoz:
278. Barr/Wells: Toposes, Triples and Constructive Approximation. Advanced
Theories Problems
279. Bishop/Bridges: Constructive Analysis 305. Hiriart-Urruty/Lemarechal: Convex
280. Neukirch: Class Field Theory Analysis and Minimization Algorithms I.
281. Chandrasekharan: Elliptic Functions Fundamentals
282. Lelong/Gruman: Entire Functions of 306. Hiriart-Urruty/Lemarechal: Convex
Several Complex Variables Analysis and Minimization Algorithms II.
283. Kodaira: Complex Manifolds and Advanced Theory and Bundle Methods
Deformation of Complex Structures 307. Schwarz: Quantum Field Theory and
284. Finn: Equilibrium Capillary Surfaces Topology
285. Burago/Zalgaller: Geometric Inequalities
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