Notes 4190
Notes 4190
Notes 4190
1
Math 5190: lecture notes. 2
1. Geometric Preliminaries
1.1. Differential equations and their solutions. We begin by re-
viewing the concepts of an ordinary differential equation and initial
value problem. Vector fields, integral curves, and flows furnish us with
a geometric formulation of these concepts.
Let U ⊂ Rn+1 be an open domain and V : U → Rn a C 1 (continu-
ously differentiable) vector valued function.
Definition 1.1. An ordinary differential equation is a constraint of the
form
φ′ (t) = V(t, φ(t)), (1)
where φ : I → U is a continuously differentiable function called the
solution of the equation. An initial value problem (IVP) is an ODE
together with a constraint of the form
φ(0) = x0 , (2)
For this reason, we identify vector fields with first order differential
operators, and write
n
X ∂
V= V i (x1 , . . . , xn ) .
i=1
∂xi
In this formulation the standard vectors e1 , . . . , en correspond to the
partial derivative operators ∂/∂x1 , . . . , ∂/∂xn .
As we already mentioned a vector field is exactly the same as an
autonomous ODE. An integral curve is a parameterized curve φ : I →
U, where I ⊂ R is an open interval, such that
φ′ (t) = V(φ(t)), t ∈ I. (6)
In other words, an integral curve is a particular solution of the above au-
tonomous ODE. The general solution of an autonomous, n-dimensional
ODE depends on n constants of integration. If we judiciously include
the constants of integration as parameters in a general solution, we
obtain something called a flow.
Let U ⊂ Rn be an n-dimensional domain, Û ⊂ R × U an (n + 1)-
dimensional domain, and Φ : Û → U a C 1 function.
Definition 1.3. We say that Φ is a flow if it satisfies the following
conditions.
(A) For all x ∈ U, the quantity Φ(0, x) is defined and equal to x;
(B) We have
Φ(s, Φ(t, x)) = Φ(s + t, x); (7)
Math 5190: lecture notes. 4
The domain of the flow is all real (t, x, y). A straightforward calculation
shows that condition (10) is satisfied.
For the other direction, we will make use of the following fundamental
Theorem regarding solutions of initial value problems.
φ′ (t) = V(φ(t)),
φ(0) = x0 .
The curve in question is locally unique. This means that all such curves
agree in some neighborhood of t = 0.
Proof. Let us establish that Φ satisfies the 1-parameter group law (B).
Fix a position x0 and a time t1 set
x1 = Φ(t, x0 ),
φ(t) = Φ(t + t1 , x0 ),
ψ(t) = Φ(t, x1 ).
Math 5190: lecture notes. 7
Observe that
φ̇(t) = Φ̇(t + t1 , x0 ) = V(Φ(t + t1 , x0 )) = V(φ(t)),
ψ(0) = x1 ,
ψ̇(t) = Φ̇(t, x1 ) = V(Φ(t, x1 )) = V(ψ(t)),
ψ(0) = x1 .
Therefore, by the uniqueness of solutions to initial value problems, we
must have
Φ(t + t1 , x0 ) = φ(t) = ψ(t) = Φ(t, Φ(t1 , x0 )),
as was to be shown.
Math 5190: lecture notes. 8
and
y = Φ(τ (s1 , x), x) = Ψ(s1 , x).
Therefore,
Ψ(s1 + s2 , x) = Φ(τ (s1 + s2 , x), x)
= Φ(τ (s2 , y) + τ (s1 , x), x)
= Φ(τ (s2 , y), Φ(τ (s1 , x), x))
= Φ(τ (s2 , y), y)
= Ψ(s2 , y)
= Ψ(s2 , Ψ(s1 , x)).
Finally, observe that
Ψ̇(0, x) = τ̇ (0, x)Φ̇(0, x)
1
= A(x)
σ̇(0, x)
= g(x)A(x)
= B(x).
Therefore, Ψ is the flow generated by B. However, every integral curve
of A, B, respectively, has the form
φ(t) = Φ(t, x), ψ(t) = Ψ(t, x), x ∈ U.
By construction, all such curves are related by the reparameterization
shown in (15).
Example 2.2. Consider the non-autonomous scalar differential equa-
tion
dy x
= − , y > 0.
dx y
The general solution is √
y = K − x2 .
Autonomizing the above gives the planar ODE
x
ẏ = − , ẋ = 1,
y
which corresponds to the vector field
∂ x ∂
A= − .
∂x y ∂y
This vector field determines the following flow:
p p
Φ(t, x, y) = x + t, x2 + y 2 − (t + x)2 , |t + x| < x2 + y 2 , y > 0
Math 5190: lecture notes. 11
t+x
dv
Z
= p
x x2 + y2 − v2
t+x
= sin−1 − s0 ,
r
where
p x
r= x2 + y 2 , s0 = sin−1
.
r
This is the position dependent reparameterization function from Ψ to
Φ. The reparameterization function from Φ to Ψ is given by the inverse,
namely
τ (s, x, y) = r sin(s + s0 ) − x,
= r sin(s) cos(s0 ) + r cos(s) sin(s0 ) − x,
= y sin(s) + x cos(s) − x.
Composing with the reparameterization function with the flow gives
p
Φ(τ (s, x, y), x, y) = x + τ (s, x, y), x2 + y 2 − (x + τ (s, x, y))2
p
= (x cos(s) + y sin(s), x2 + y 2 − (x cos(s) + y sin(s))2 )
p
= (x cos(s) + y sin(s), (y cos(s) − x sin(s))2 )
= (x cos(s) + y sin(s), y cos(s) − x sin(s)),
= Ψ(s, x, y).
Next, let us check the domains of the reparameterizations. The time
domains for the first flow Φ are given by −r − x < t < r − x. The
Math 5190: lecture notes. 12
or equivalently,
π π
− − s0 < s < − s0 , s0 = tan−1 (x/y).
2 2
The domain of
−1 t+x
σ(t, x, y) = sin − s0
r
1.75
1.5
1.25
0.75
0.5
0.25
¶ ¶
y -x
¶x ¶y
2
1.5
0.5
-0.5
-1
-1.5
J F = ... ..
.
.. .
. (20)
D1 F n . . . Dn F n
Note: here Matn R denotes the vector space of n × n real matrices.
Proposition 3.3 (Linear approximation). Let F : U → Rn be a C 1
transformation. Then,
F (x) = F (x0 ) + J F (x0 )(x − x0 ) + o(kx − x0 k), x, x0 ∈ U. (21)
Here, the little o notation means that the difference of the LHS and the
RHS is a remainder function R(x, x0 ) such that
R(x, x0 )
→ 0 as x → x0 .
kx − x0 k
We can also restate the above result by saying that the linear approx-
imation to y = F (x) at x0 is the affine function
ŷ = y 0 + M(x − x0 ),
Math 5190: lecture notes. 15
x̂ = x0 + M −1 (y − y 0 ),
Example 3.7. The following example illustrates that there exist dif-
feomorphisms belonging strictly to class C 1 . Consider the function
∂x ∂y
2x
det J F (x, y) = e 6= 0.
Hence, by the inverse function theorem, an inverse exists, but only
locally. For example we could take
1
x = log(u2 + v 2 ), y = tan−1 (v/u), u > 0.
2
In this way we obtain a diffeomorphism F : U → V of the planar
regions
U = {a ∈ R2 : −π/2 < a2 < π/2},
V = F (U) = {a ∈ R2 : a1 > 0}.
Speaking informally, a system of n-dimensional coordinates is a way
of assigning n numbers to points in n-dimensional space in such a way
that (1) every point has a unique “address” and so that (2) we can
take partial derivatives of functions with respect to the coordinates in
question.
Math 5190: lecture notes. 17
∂y j ∂F j (x1 , . . . , xn )
i
= i
= (Di F j )(x1 , . . . , xn ).
∂x ∂x
∂xi ∂Gi (y 1 , . . . , y n )
=
∂y j ∂y j
= (Dj Gi )(y 1 , . . . , y n )
= (Dj Gi ◦ F )(x1 , . . . , xn ). (29)
n
X ∂xi ∂
∂
= , j = 1, . . . , n, (30)
∂y j i=1
∂y j ∂xi
where ∂xi /∂y j is the function shown in (29). We call these the funda-
mental vector fields corresponding to the coordinates y 1 , . . . , y n. Given
a function u = f (x1 , . . . , xn ), we define ∂u/∂y j to be the directional
derivative of f with respect to the j th fundamental vector field.
Using the above definitions we can express the multi-variable chain rule
in the familiar fashion, namely
n
X ∂u ∂xi
∂u
= , j = 1, . . . , n. (31)
∂y j i=1
∂xi ∂y j
∂x x x
= cos θ = = p ,
∂r r x2 + y 2
∂y y y
= sin θ = = p ,
∂r r x + y2
2
∂ ∂x ∂ ∂y ∂
= +
∂r ∂r ∂x ∂r ∂y
x ∂ y ∂
=p +p .
x2 + y 2 ∂x x2 + y 2 ∂y
Similarly,
∂x
= −r sin θ = −y,
∂θ
∂y
= r cos θ = x,
∂θ
∂ ∂x ∂ ∂y ∂
= +
∂θ ∂θ ∂x ∂θ ∂y
∂ ∂
= −y +x .
∂x ∂y
∂r ∂r
x y
p p
∂x ∂y x2 + y 2 x2 + y 2
J F (x, y) =
∂θ
=
−y x ,
∂θ
∂x ∂y x2 + y 2 x2 + y 2
∂x ∂x
x
p −y
∂r ∂θ x2 + y 2
(J G ◦ F )(x, y) = =
∂y ∂y y
,
x
p
2
x +y 2
∂r ∂θ
x
p −y
∂ ∂ ∂ ∂ x2 + y 2
=
y
∂r ∂θ ∂x ∂y
p x
x2 + y 2
x y
p p
∂ ∂ ∂ ∂ x2 + y 2 x2 + y 2
= .
∂x ∂y ∂r ∂θ
−y x
x + y2
2 x2 + y 2
Consequently, we have
∂r ∂ p 2 2
= x +y
∂r ∂r !
x ∂ y ∂ p 2
= p +p x + y2
x2 + y 2 ∂x x2 + y 2 ∂y
= 1.
Math 5190: lecture notes. 22
∂ sin θ ∂
= cos θ − .
∂r r ∂θ
Letting x̂, ŷ denote the standard coordinates on the domain V , we have
∂ ∂ sin ŷ ∂
F∗ = cos ŷ − .
∂x ∂ x̂ x̂ ∂ ŷ
Let us calculate this result directly. Using our previous calculations,
x
p
2 2
(J F · e1 )(x, y) = x−y+ y .
x2 + y 2
Hence,
((J F · e1 ) ◦ G)(x̂, ŷ) = (J F · e1 )(x̂ cos(ŷ), x̂ sin(ŷ))
cos(ŷ)
!
= sin(ŷ)
−
x̂
sin(ŷ)
= cos(ŷ) e1 − e2 ,
x̂
as was to be shown.
Thus, the push-forward of a vector field, or what is the same a change
of coordinates, requires the knowledge of both the forward and the
inverse diffeomorphism. Below we prove that only the knowledge of the
Math 5190: lecture notes. 24
1.5
0.5
-0.5
-1
-1.5
curve (x, y) = G(u0 , v). The other grid lines were generated by plotting
(x, y) = G(u, v0 ) for various constant values v = v0 .
In order to express a vector field using parabolic coordinates it would
seem that we find explicit expressions for F . However, we can avoid this
∂ ∂
by using (36). For example, let us express x +y using parabolic
∂x ∂y
coordinates. We have
∂x ∂x
∂u ∂v u −v
J G(u, v) =
=2 .
∂y ∂y v u
∂u ∂v
Taking the inverse of the above matrix, we have
∂u ∂v
u v
∂x ∂x 1 u2 + v 2 u2 + v 2
∂v ∂v = 2 −v
J F (x, y) = (38)
u
∂x ∂y u2 + v 2 u2 + v 2
Hence,
∂u ∂v
∂ ∂ ∂ ∂ ∂x ∂x
, = ,
∂x ∂y ∂u ∂v ∂v ∂v
∂x
∂y
u v
2(u + v 2 )
2 2(u2 + v 2 )
∂ ∂
= ,
−v u
∂u ∂v
2(u + v 2 )
2 2(u2 + v 2 )
We can now switch to parabolic coordinates.
∂ ∂ ∂ ∂ x
x +y = ,
∂x ∂y ∂x ∂y y
∂u ∂v
u2 − v 2
∂ ∂ ∂x ∂x
= ,
∂u ∂v ∂v ∂v 2uv
∂x ∂y
1 ∂ ∂
= u +v .
2 ∂u ∂v
Note that we didn’t write J F in terms of x, y, because we don’t have
formulas for u and v in terms of x and y. We therefore express all our
calculations in terms of u and v.
Math 5190: lecture notes. 26
5. Covariance
The principle of covariance states that any operation defined in terms
of intrinsic geometry can be carried out in any system of coordinates
with suitable transformation laws relating the operation and the an-
swers. Let’s consider how the principle of covariance manifests in the
case of directional derivatives.
First, let us consider how functions transform under a change of
coordinates.
Definition 5.1. Let F : U → V be a diffeomorphism and let g : V → R
be a function of n variables. The function f : U → R defined by
f = g ◦ F. (39)
∗
is called the pull-back of g by F and is denoted by f = F g.
Setting y j = F j (x1 , . . . , xn ) allows us to express (39) succinctly as
f (x1 , . . . , xn ) = g(y 1, . . . , y n ).
Therefore, the pull-back transformation is the geometric description of
the process of transforming a function by making a change of variables.
Recall that the directional derivative operation combines a C 1 vec-
tor field and a C 2 function to produce a C 1 function. For example,
given vector field A : U → Rn and function f : U → R the directional
derivative gives us the function A[f ] : U → R. The push-forward and
the pull-back are adjoint operations relative to the directional deriva-
tive bracket; pushing forward a vector field is, in a sense, equivalent to
pulling back a function.
Proposition 5.2. Let A : U → Rn be a C 1 vector field, F : U → V a
C 2 diffeomorphism, and g : V → R a C 2 function. Letting B = F ∗ A
and f = F ∗ g, we have
F ∗ (B[g]) = A[f ]. (40)
Proof. Setting y = F (x), the chain rule gives us
∂f (x1 , . . . , xn ) ∂g(y 1 , . . . , y n )
=
∂xi ∂xi
n
X ∂g(y 1 , . . . , y n ) ∂y j
= , i = 1, . . . , n.
j=1
∂y j ∂xi
Equivalently,
n
X
Di f = (Dj g ◦ F ) Di F j , i = 1, . . . , n
j=1
Math 5190: lecture notes. 27
Hence,
n
X
A[f ] = Ai Di f
i=1
n
X
= Ai (Dj g ◦ F ) Di F j
i,j=1
X n
= A[F j ](Dj g ◦ F )
j=1
n
X
= (B j ◦ F )(Dj g ◦ F )
j=1
= B[g] ◦ F,
as was to be shown.
The upshot of the above result is that a directional derivative calcu-
lated in a different coordinate system agrees with the directional deriva-
tive calculated relative to standard coordinates. Indeed, let A, B, F , f, g
be as in the Proposition. By definition,
n n
X ∂ X ∂
A= Ai (x1 , . . . , xn ) i = B j (y 1 , . . . , y n) j ,
i=1
∂x j=1
∂y
∂ ∂
A = A1 (x, y) + A2 (x, y) ,
∂x ∂y
∂ ∂
A = B 1 (r, θ) + B 2 (r, θ) ,
∂r ∂θ
or using parabolic coordinates:
∂ ∂
A = C 1 (u, v) + C 2 (u, v) .
∂u ∂v
We also have
∂u ∂u
∂ ∂ ∂ ∂ ∂r ∂θ
, = ,
∂r ∂θ ∂u ∂v ∂v ∂v
∂r ∂θ √ !
cos(θ/2) r
− sin(θ/2)
∂ ∂ √
2 r 2
= , sin(θ/2)
√
r
∂u ∂v √
2 r 2
cos(θ/2)
Taking inverses gives
√ √ !
2 r cos(θ/2) 2 r sin(θ/2)
∂ ∂ ∂ ∂
, = , √ √
∂u ∂v ∂r ∂θ −2 sin(θ/2)/ r 2 cos(θ/2)/ r
Combining the above relations and switching to the r, θ variables gives
√
∂ 1 ∂ ∂ r cos(θ/2)
= , √
∂x 2r ∂u ∂v − r sin(θ/2)
√ √ ! √
2 r cos(θ/2) 2 r sin(θ/2)
1 ∂ ∂ r cos(θ/2)
= , √ √ √
2r ∂r ∂θ −2 sin(θ/2)/ r 2 cos(θ/2)/ r − r sin(θ/2)
∂ ∂ cos(θ)
= , .
∂r ∂θ − sin(θ)/r
However, we could have calculated the above directly by using the
transformation from polar to Cartesian coordinates:
∂ ∂r ∂ ∂θ ∂
= +
∂x ∂x ∂r ∂x ∂θ
∂ sin(θ) ∂
= cos(θ) −
∂r r ∂θ
The two answers agree.
Math 5190: lecture notes. 32
F ◦ Φt = Ψt ◦ F , (48)
Note that with the above definition, the push-forward flow satisfies
condition (48).
As well,
The various domain requirements of a flow are left as exercises for the
interested reader.
¶ Sin@yD ¶
Cos@yD -
¶x x ¶y
3
-1
-2
-3
0.25 0.5 0.75 1 1.25 1.5 1.75 2
7. First integrals
We have already mentioned the close connection between autonomous
ODEs and vector fields. On the other hand, we identify vector fields
with first-order differential operators. In this section we discuss first
integrals, a geometric idea that ties together solutions of an ODE and
the directional derivative operation.
Let us introduce a system of autonomous ODEs
ẋi = Ai (x1 , . . . , xn ), x ∈ U.
Consider the variation of a scalar function u = f (x1 , . . . , xn ) along a
particular integral curve φ(t) ∈ U. Setting x̂i = φi (t), we have
u̇ = (f ◦ φ)′ (t)
Xn
= Di f (x̂1 , . . . , x̂n )Ai (x̂1 , . . . , x̂n )
i=1
= (A[u] ◦ φ)(t).
Math 5190: lecture notes. 36
-1
-2
-3
0.2 0.4 0.6 0.8 1
Observe that
(f ◦ Φ)(t, x, y) = (x cos t − y sin t)2 + (x sin t + y cos t)2
= x2 + y 2 = f (x, y),
as was to be shown.
Analytic geometry in the plane is based on the notion that a curve
is defined by an equation in 2 variables. Analogously, a curve in n
dimensions should require n − 1 independent equation. The following
definition and propositions make this more precise.
Definition 7.4. Let U ⊂ Rn be a domain. We say that continuously
differentiable functions f 1 , . . . , f j : U → R are functionally indepen-
dent if the j × n matrix of partial derivatives
D1 f 1 . . . Dn f 1
... ..
.
..
. (52)
D1f j . . . Dnf j
has rank j at all points of U.
Proposition 7.5. Let f 1 , . . . , f j−1 : U → R be C 1 functions and set
f j = F (f 1 , . . . , f j−1) where F is a C 1 function of j − 1 variables. Then
f 1 , . . . , f j−1, f j are functionally dependent. Conversely, if f 1 , . . . , f j
are C 1 and functionally dependent, then after rearranging the order of
f 1 , . . . , f j and restricting the domain, we have f j = F (f 1 , . . . , f j−1)
for some C 1 function F of j − 1 variables.
Example 7.6. By way of example, let us consider the functions u =
(x + y)/x, x > 0 and v = tan−1 (y/x), x > 0. The matrix of partial
derivatives
∂u ∂u
−y/x2
∂x ∂y 1/x
= (53)
∂v
∂x
∂v
∂y
−y/(x2 + y 2) x/(x2 + y 2)
is singular; the rank is < 2 everywhere. We can therefore express one
function in terms of the other. Indeed,
u = tan(v) + 1.
Proposition 7.7. Let f 1 , . . . , f n−1 : U → R be functionally indepen-
dent, continuously differentiable functions. Fix a point (a1 , . . . , an ) ∈ U
and set C i = f i (a1 , . . . , an ), i = 1, . . . , n − 1. Then, there exists a C 1
curve x̂i = φi (t) that passes through (a1 , . . . , an ) and satisfies the equa-
tions
f i (x̂1 , . . . , x̂n ) = C i , i = 1, . . . , n − 1.
Every other such curve is related to φ(t) by a reparameterization.
Math 5190: lecture notes. 38
The proof of the above Propositions relies on the implicit function the-
orem; we will not present it here. However, using the inverse function
theorem, we can prove the following.
Proposition 7.8. Let U ⊂ Rn be an n-dimensional domain and F 1 , . . . , F n :
U → R functionally independent, C 1 functions. Then, after suitably
restricting the domain to U1 ⊂ U the mapping F : U1 → V , where
V = F (U1 ) ⊂ Rn , is a diffeomorphism.
The upshot is that n functionally independent functions define a system
of coordinates (provided the domain is suitably restricted).
In light of Proposition 7.7, the knowledge of n − 1 first integrals of
an n-dimensional vector field A : U → Rn determines the trajectories
of the integral curves of the corresponding ODE ẋ = A(x). To obtain
the flow/general solution one needs only to determine the correct pa-
rameterization of these integral curves. This will be explored carefully
in the next section. Here we limit our discussion to some examples.
Example 7.9. We have already established that I1 = x2 + y 2 is a first
integral of the vector field −y∂/∂x+x∂/∂y. Since this is 2-dimensional
vector field, a single first integral suffices to determine the integral
curves. In this case, for values I1 > 0, the integral curves are circles
centered at the origin. The actual solutions of the ODE, namely
x = x0 cos t − y0 sin t, y = x0 sin t + y0 cos t
describe a parameterization of these circles.
Example 7.10. Consider the following 3-dimensional ODE:
ẋ = 0
ẏ = x
ż = y.
The following functions are first integrals:
I1 = x (54)
I2 = 2xz − y 2. (55)
It’s quite evident that I1 = x is a first integral. As for I2 , observe that
I˙2 = 2z ẋ + 2xż − 2y ẏ = 2xy − 2xy = 0.
Therefore, the integral curves are parabolas described by equations (54)
where we restrict I1 , I2 to specific values.
A solution of the ODE is given by a certain parameterization of
these parabolas. We can solve the system in question in a step-by-step
Math 5190: lecture notes. 39
8. Rectification
Definition 8.1. Let A : U → Rn be a C 1 vector field and F : U → V
a C 1 diffeomorphism. We say that F rectifies A if
∂
F ∗A = ,
∂ x̂1
where x̂1 , . . . , x̂n are the standard coordinates on V . Equivalently, set-
ting y j = F j (x1 , . . . , xn ) we can say that F rectifies A if
∂
A= .
∂y 1
We can easily describe the flow generated by a unit vector. Therefore,
if we can rectify a vector field, we can solve the corresponding ODE.
Example 8.2. Earlier, we saw that
∂ ∂ ∂
A = −y +x = ,
∂x ∂y ∂θ
where r, θ are the usual polar coordinates. Therefore, the transforma-
tion p
θ = tan−1 (y/x), r = x2 + y 2
rectifies the given vector field A. Hence, the flow generated by A can
be given by
θ = θ0 + t, r = r0 .
Rewriting the above using x, y coordinates yields the usual expression
for the flow, namely
x = r cos θ = r0 cos(θ0 + t) = r0 cos(θ0 ) cos(t) − r0 sin(θ0 ) sin(t)
= x0 cos(t) − y0 sin(t),
y = r sin θ = r0 sin(θ0 + t)
= x0 sin(t) + y0 cos(t).
Also, note that r is a first integral.
Proposition 8.3 (Rectification gives flows). Let A : U → Rn be a
vector field and F : U → V a diffeomorphism that rectifies A. Then,
the flow generated by A is given by
Φ(t, x1 , . . . , xn ) = G(y 1 + t, y 2 , . . . , y n ),
where y j = F j (x1 , . . . , xn ), and where G = F −1 is the inverse diffeo-
morphism.
Math 5190: lecture notes. 41
Proof. Let
Ψ(t, x̂1 , . . . , x̂n ) = (x̂1 + t, x̂2 , . . . , x̂n )
denote the flow generated by ∂/∂ x̂1 . Our definition of Ψ is equivalent
to Φ = G∗ Ψ. Since
∂
A = G∗ 1 ,
∂ x̂
the conclusion follows by Proposition 6.3.
Proposition 8.4 (Rectification gives first integrals.). Let A : U → Rn
be a vector field and F : U → V a diffeomorphism that rectifies A.
Then
y j = F j (x1 , . . . , xn ), j = 2, . . . , n
are first integrals of A.
Proof. By definition,
∂
.
A=
∂y 1
Hence, by the covariance of the directional derivative, we have
A[y 1 ] = 1,
A[y j ] = 0, j = 2, . . . , n.
Next, suppose that A : U → Rn be a C 1 vector field such that
A (0, x2 , . . . , xn ) 6= 0 for all x ∈ U0 where
1
U0 = {(0, x2 , . . . , xn ) ∈ U}
is the intersection of U and the x1 = 0 hyperplane. Let
Φ(t, x) = (Φ1 (t, x1 , . . . , xn ), . . . , Φn (t, x1 , . . . , xn )
be the flow generated by A. Consider the equation
Φ1 (t̂, x1 , . . . , xn ) = 0, (56)
where t̂ is the unknown. Observe that Φ1 (0, 0, x2 , . . . , xn ) = 0 and that
Φ̇1 (0, 0, x2 , . . . , xn ) = A1 (0, x2 , . . . , xn ) 6= 0.
Hence, by the implicit function theorem, there exists a C 1 function t̂ =
τ (x1 , . . . , xn ) defined in some neighborhood Û ⊂ U of the hyperplane
slice U0 . With t̂ as above, set
I j = Φj (t̂, x1 , . . . , xn ).
Proposition 8.5 (Flows give first integrals). With the above defini-
tions, the functions I 2 , . . . , I n are first integrals of A.
Math 5190: lecture notes. 42
ξ j = F j (x1 , . . . , xn ) := xj , j = 2, . . . , n. (62)
Then,
∂
A= ; (63)
∂ξ 1
i.e., F rectifies A.
Proof. Observe that
A[ξ 1 ] = (D1 F 1 )(x1 , . . . , xn )A1 (x1 , . . . , xn )
A1 (x1 , . . . , xn )
= = 1,
A1 (x1 , . . . , xn )
A[ξ j ] = 0, j = 2, . . . , n.
Math 5190: lecture notes. 44
Example 8.8. Consider the generator of the 2-dimensional rotation
group:
∂ ∂
A = −y +x .
∂x ∂y
p
We have already established that r = x2 + y 2 is a first integral. Let
us therefore take p
ξ = x, η = x2 + y 2
as a new system of coordinates. As our domain, we can take U1 =
{(a1 , a2 ) ∈ R2 : a2 > 0}. Letting (ξ, η) = F (x, y) denote the corre-
sponding transformation, we have
V = F (U1 ) = {(a1 , a2 ) ∈ R2 : a2 > |a1 |}.
The inverse diffeomorphism is given by
p
x = ξ, y = η 2 − ξ 2 , η > |ξ|.
Therefore,
∂ξ ∂ξ
∂ ∂ ∂ ∂ ∂x ∂y
, = , ∂η ∂η
∂x ∂y ∂ξ ∂η
∂x ∂y
∂ ∂
1 0
= , x y ,
∂ξ ∂η p
x2 + y2
p
x2 + y2
∂ ∂ p ∂
−y +x = − η2 − ξ 2
∂x ∂y ∂ξ
The next step is to reparameterizep the simple translational flow for
∂/∂ξ so as to obtain the flow for − η 2 − ξ 2 ∂/∂ξ. According to Propo-
sition 8.7 we can do this by making the change of coordinates
Z ξ p
du −1 η 2 − (ξ)2
θ= p = tan − π/2 = tan−1 (y/x) − π/2,
0 − η −ξ
2 2 ξ
p
r = η = x2 + y 2 .
Example 8.9. Let’s return to the differential equation
ẋ = 0, ẏ = x, ż = y.
Earlier we demonstrated that
ξ 2 = x, ξ 3 = 2xz − y 2
Math 5190: lecture notes. 45
are first integrals. Let us use this information to rectify the correspond-
ing vector field. We begin by introducing coordinates ξ 1 = y with ξ 2 , ξ 3
as above, and restricting the domain to y > 0. We calculate
1 0 0
∂ ∂ ∂ ∂ ∂ ∂
, , = 2
, 1, 3 0 1 0 ,
∂x ∂y ∂z ∂ξ ∂ξ ∂ξ −2y 2z 2x
∂ ∂ ∂
x +y = ξ2 1 .
∂y ∂z ∂ξ
Next, we follow Proposition 8.7 and introduce coordinates
Z ξ1
1 du ξ1
η = = ,
0 ξ2 ξ2
= y/x,
η 2 = ξ 2 = x,
η 3 = ξ 3 = 2xz − y 2 .
Relative to these coordinates, we have
∂ ∂ ∂ ∂
x +y = ξ2 1 = 1 .
∂y ∂z ∂ξ ∂η
We can use this rectification to integrate the given ODE. The inverse
transformation is given by
1 3 2
x = η2, y = η1η2, z = η /η + (η 1 )2 η 2 .
2
Therefore, the flow is given by
η 1 = η01 + t, η 2 = η02 , η 3 = η03 .
x = η 2 = x0 ,
y = η 1 η 2 = (y0 /x0 + t)x0 = x0 t + y0 ,
1
(2x0 z0 − y02)/x0 + (y0 /x0 + t)2 x0
z=
2
1 2
= x0 t + 2ty0 + z0 .
2
Math 5190: lecture notes. 46
9. Symmetries
Definition 9.1. Let A : U → Rn be a C 1 vector field, U1 , V1 ⊂ U
subdomains, and F : U1 → V1 a diffeomorphism. We say that F is a
symmetry of A if F ∗ A = A. Equivalently, setting y j = F j (x1 , . . . , xn )
we say that F is a symmetry if
n n
X ∂ X ∂
A= Ai (x1 , . . . , xn ) i
= Ai (y 1 , . . . , y n) i . (64)
i=1
∂x i=1
∂y
We say that F is a conformal symmetry if F ∗ A = f A where f : V1 →
R is a non-vanishing function.
Example 9.2. Consider the rotation generator −y∂/∂x + x∂/∂y and
the following transformations.
(1) The transformation x̂ = −y, ŷ = x is a symmetry because
∂ ∂ ∂ ∂
−y +x = −ŷ + x̂ . (65)
∂x ∂y ∂ x̂ ∂ ŷ
(2) The transformation
√ √
x = u2 + v 2 cos u, y= u2 + v 2 sin u
is a conformal symmetry because
∂ ∂ ∂ u ∂ 1 ∂ ∂
−y +x = − = − −v +u .
∂x ∂y ∂u v ∂v v ∂u ∂v
(3) Let k be a real number. The homothety transformations
x̂ = ek x, ŷ = ek y
form a 1-parameter group of symmetries, because for every k
relation (65) holds.
Definition 9.3. Let A : U → Rn be a vector field and Φ(t, x) the flow
generated by A. We say that a diffeomorphism F : U1 → V1 preserves
the solutions of the corresponding ODE ẋ = A(x) if Φ if F ∗ Φ = Φ.
Similarly, we say F preserves the integral curves of A if there exists a
reparameterization function τ (s, x) such that
(F ∗ Φ)(s, x) = Φ(τ (s, x), x). (66)
Note: recall that a flow reparameterization function τ (s, x) satisfies
τ (0, x) = 0
τ̇ (0, x) 6= 0.
Math 5190: lecture notes. 47
Hence, by construction,
∂g
A[g] = = −f g,
∂y 1
[A, gB] = g[A, B] + A[g]B
= f gB − f gB = 0
Proposition 11.3. Let A, B : U → Rn be C 2 vector fields and Φ the
C 2 flow generated by A. Let
C(t, x) = C t (x) = ((Φt )∗ B)(x)
be the indicated time-dependent vector field. Then,
Ċ t = −[A, C t ]. (78)
In particular,
Ċ 0 = −[A, B].
Math 5190: lecture notes. 52
where
cos t − sin t
Rt =
sin t cos t
Math 5190: lecture notes. 54
where
h = g/Φ∗−t (g).
Conversely, suppose that Φt is a conformal symmetry for all t. Hence,
there exists a function ht : U → R such that
Φt∗ B = ht B.
Taking d/dt, setting t = 0, and using Proposition 11.5 gives
[A, B] = ḣ0 B,
as was to be shown.
Example 11.10. The radial vector field A = x∂x + y∂y is an infini-
tesimal conformal symmetry of the vector field B = ∂x − (x/y)∂y . Let
Φt be the flow generated by A. Fix t and consider the transformation
(u, v) = Φt (x, y) = (et x, et y).
We have
t
e 0 1
∂x − (x/y)∂y = (∂u , ∂v )
0 et −u/v
= et (∂u − (u/v)∂v )
Therefore, Φt is a conformal symmetry of B.
Proposition 11.11. Let A, B : U → Rn be vector fields and Φt the
flow generated by A. If A is an infinitesimal conformal symmetry of
B, then Φt preserves the integral curves of B.
Proof. See Proposition 9.4.
Example 11.12. Let us return to the vector fields of the preceding
examples. The integral curves of B are the semicircles about the origin,
x2 + y 2 = R2 in the upper half-plane, y > 0. Changing the variables
to u, v the equation of the circle becomes u2 + v 2 = (et R)2 . Therefore
the Φt transforms a circle of radius R to a circle of radius et R.
Math 5190: lecture notes. 56
or equivalently, by
y/x
ds
Z
log(x) = .
f (s) − s
Math 5190: lecture notes. 59
is given by
x
q(s)
Z
y = f (x) ds,
f (s)
Rx
where f (x) = exp( p(s) ds).
Proof. With the above definition, we have f ′ (x)/f (x) = p(x). Hence,
f (x)∂y is a symmetry, and hence 1/f (x) is an integrating factor. We
have
Z x
f ′ (x)y
dy q(x) y q(s)
− 2
dx − dx = d −d ds.
f (x) f (x) f (x) f (x) f (s)
Therefore,
1
Z
(dy − (p(x)y + q(x))dx) =
f (x)
Z x
y/f (x) − (q(s)/f (s))ds,
Definition 15.7. Let A = ξ(x, y)∂x +η(x, y)∂y be a vector field defined
on a 2-dimensional domain. Setting
υ(x, y, y1) = (∂x + y1 ∂y )[η(x, y) − y1 ξ(x, y)] (106)
= ηx + y1 (ηy − ξx ) − y12ξy , (107)
we call the 3-dimensional vector field
A(1) = ξ(x, y)∂x + η(x, y)∂y + υ(x, y, y1)∂y1 (108)
the first prolongation of A.
Proposition 15.8. Let Φt be the flow generated by a 2-dimensional
(1)
vector field A = ξ(x, y)∂x + η(x, y)∂y . Then Φt is the flow generated
by the 3-dimensional vector field A(1) .
Proof. Homework.
Definition 15.9. Let us say that a vector field A = ξ∂x + η∂y is an
infintesimal symmetry of a 2nd order ODE (92) if the prolongation
A(1) is an infinitesimal conformal symmetry of the vector field ∂x +
y1 ∂y + ω(x, y, y1)∂y1 .
Proposition 15.10. A 2nd order ODE (92) admits the translation
generator ∂x as an infinitesimal symmetry if and only if it is an au-
tonomous ODE of the form (102).
Proof. Note that the prolongation of ∂x is equal to ∂x + 0∂y + 0∂y1 .
Calculating the Lie bracket, we obtain
[∂x , ∂x + y1 ∂y + ω(x, y, y1)∂y1 ] = ∂x (ω(x, y, y1))∂y1
Thus in order for ∂x to be a conformal symmetry, ωx must vanish.
Next, let us consider 2nd order equations that admit x∂x + y∂y as
a symmetry. Since we know how to rectify this vector field, we will
obtain a class of equations that admit a reduction of order. We will
call these types of equations, homogeneous 2nd order ODEs.
Proposition 15.11. A 2nd order ODE (81) admits x∂x + y∂y as an
infinitesimal symmetry if and only if it has the form
d2 y
= ω(y/x, dy/dx)/x (109)
dx2
The general solution of such an equation is given by
Z y/x !
du
x = exp , (110)
g(u)
Math 5190: lecture notes. 71