MA-417-ODE

Lecture 4

Debanjana Mitra

Department of Mathematics
Indian Institute of Technology Bombay
Powai, Mumbai - 76

August 3, 2021
First order ODE
Glimpse of nonlinear ODEs

Existence and uniqueness theorem of solutions of ODEs

Glimpse of nonlinear ODEs

To compare with the linear ODEs, let us quickly see few examples of
non-linear ODEs:

Ex. Solve: y (t)y 0 (t) = 12 , y (1) = 0.

Ans. no solution, because if there exists any C 1 -solution φ, then
φ(t)φ0 (t) = 21 and putting t = 1, φ(1) = 0 contradicts the equation.

Ex. Solve: y 0 (t) = y 2 (t), y (0) = 1. Can the solution exist for all t ∈ R?
1
Ans. Solution y (t) = 1−t , unique solution on (−∞, 1) but cannot be
extended after t = 1. No global solution.
 1
Ex. Solve: y 0 (t) = y 2 (t), y (0) = 1.
Ans. Solution y (t) = 14 (t + 2)2 , global solution in R but can have
infinitely many global solution. For any c ∈ R such that c > 2, set
 1
(t + 2)2 , −2 < t,
 4


yc (t) = 0, −c ≤ t ≤ −2,

 1
 2
4 (t + c) , t < −c.

Then each yc (·) ∈ C 1 (R) and satisfies the ODE.

2
e y (t) −1
Ex. Solve explicitly: y 0 (t) = 1−t 2 y 2 (t) , y (−2) = 1.
Ans. Difficult in general.
Comparison between linear and nonlinear equations.
Linear ODE: y 0 (t) = a(t)y (t) + b(t), y (t0 ) = y0 .
Let a(·) and b(·) be continuous on I an interval in R containing t0 . Then
the followings hold:
I For any y0 ∈ R, there exists a unique solution on I of the linear
ODE.
I The unique solution exists for all t ∈ I (Global solution).
I The solution has explicit expression: for all t ∈ I ,
 Z t 
y (t) = e −A(t) y0 + e A(s) b(s) ds .
t0

Remark. None of the above properties holds for Nonlinear ODE in

general.
Nonlinear ODE: y 0 (t) = f (t, y (t)), y (t0 ) = y0 .
I No existence of solution around (1, 0): y (t)y 0 (t) = 1 , y (1) = 0, no
2
solution for y0 = 0.
1
I Solution may exist but may not be unique: y 0 (t) = y 2 (t), y (0) = 1.
I If solution exists, the existence depends on the initial condition and
the existence is local: y 0 (t) = y 2 (t), y (0) = 1.
I May not have explicit expression of solutions.
Existence and uniqueness theorem

Let us consider the ODE:

dy (t)
= f (t, y (t)), y (t0 ) = y0 , (1)
dt
where f : D → R, D is a subset of R2 .

Qn.
I Does there exist a solution of the ODE (IVP)?
I Is the solution unique?
I What is the largest interval of its existence?
Preliminaries
Recall
I C (I ), where I is a closed and bounded interval in R: Banach space
with the norm f ∈ C (I ), kf k = maxI |f (t)|.
I Let yn ∈ C (I ) for all n ∈ N, a family of sequence of functions in
C (I ). Then {yn }n∈R is uniformly convergent in C (I ) if there exists a
y ∈ C (I ) such that kyn − y k → 0 as n → ∞.
I Weirstrass-M test for series: Let {fn } be a family of sequence of
functions defined in E ⊂ R. suppose that for all n ∈ N,
|fn (t)| ≤ Mn , ∀ t ∈ E .
P P
If n Mn is convergent, then n fn converges uniformly and
absolutely on E .
Ex. Let (t0 , y0 ) ∈ R2 and a closed rectangle R in R2 containing (t0 , y0 )
defined by
R = {(t, y ) ∈ R2 | |t − t0 | ≤ a, |y − y0 | ≤ b},
for some positive constants a, b. Let f : R → R be a continuous
function. Let I = [t0 − α, t0 + α] and φ : I → R be a continuous function
Rt
such that (t, φ(t)) ∈ R for all t ∈ I . Let F (t) = t0 f (s, φ(s)) ds, for all
t ∈ I . Show that F is well-defined from I to R and F ∈ C 1 (I ).
Connections between ODE and the integral equation: Let us define the
integral equation: Let I be any interval in R such that t0 ∈ I and
(t, y (t)) ∈ D, for all t ∈ I :
Z t
y (t) = y0 + f (s, y (s)) ds, t ∈ I. (2)
t0

Lemma
Let f ∈ C (D). Then y ∈ C (I ) satisfies (2) if and only if y is a solution
of (1).

Proof.
Let y satisfy (1). Then y ∈ C 1 (I ). Taking integration over [t0 , t] in both
side of (1), we get (2). Conversely, if y ∈ C (I ) satisfies (2), then
y ∈ C 1 (I ) (because f ∈ C (D)) and y (t0 ) = y0 . Now taking the derivative
(w.r.to t) in the both side of (2), it can be shown that y satisfies (1).
Successive Iterative method

Successive Iterative method: (Picard’s iteration) Let (t0 , y0 ) ∈ R2 and

a closed rectangle R in R2 containing (t0 , y0 ) defined by

R = {(t, y ) ∈ R2 | |t − t0 | ≤ a, |y − y0 | ≤ b},

for some positive constants a, b.

We define a successive iteration (called by Picard’s iteration) by:

I = [t0 − α, t0 + α]
Z t
∀ n ∈ N, yn+1 (t) = y0 + f (s, yn (s)) ds, ∀s ∈ I, y (t0 ) = y0 . (3)
t0

Qn. Can we have a function y ∈ C (I ) such that yn → y converges

uniformly?
Qn. If so, is that y a solution of ODE?
Definition (A Lipschitz condition)
Let D be a subset of R2 and f be defined on D. Then f is said to satisfy
Lipschitz condition with respect to y in D if there exists a positive
constant K (independent of t and y ) such that

|f (t, y1 ) − f (t, y2 )| ≤ K |y1 − y2 |, ∀ (t, y1 ), (t, y2 ) ∈ D.

Main observation:
I In above definition, the Lipschitz condition with respect to second
variable only (which corresponds to the dependent variable in ODE).
I The Lipschitz condition gives f is uniformly continuous with respect
to y variable for each fixed t, when (t, y ) ∈ D. However, no
information can be obtained for the continuity of f with respect to t.
I Sufficient condition to hold the Lipschitz condtion: If D is also a
∂
convex set and, then the existence and boundedness of ∂y f (t, y ) on
D implies that f satisfies the above Lipschitz condition with respect
to y (using mean-value theorem with respect to y variable).
I The function g (y ) = |y |, for all y ∈ R, is Lipschitz continuous on R
but not differentiable.
Notation: f ∈ Lip in D. In addition, if it is know that f ∈ C (D), then
together, the notation ‘f ∈ (C , Lip) in D’ will be used.
Successive iteration
Lemma (Picard’s iteration)
Let f ∈ (C , Lip) on R, a closed rectangle defined by

R = {(t, y ) ∈ R2 | |t − t0 | ≤ a, |y − y0 | ≤ b},

for some positive constants a and b. Let

M = max |f (t, y )|, α = min{a, b/M},

(t,y )∈R

and set I = [t0 − α, t0 + α]. Let K > 0 be such that

|f (t, z1 ) − f (t, z2 )| ≤ K |z1 − z2 |, ∀ (t, z1 ), (t, z2 ) ∈ R.

Then, the followings hold:

1. for all n ∈ N, (t, yn (t)) ∈ R, for all t ∈ I and yn ∈ C 1 (I ).
2. for all n ∈ N, |yn (t) − y0 | ≤ M|t − t0 |, ∀t ∈ I.
n+1
M K (t−t0 )n+1
3. For any n ∈ N ∪ {0}, |yn+1 (t) − yn (t)| ≤ K (n+1)! , for all t ∈ I .