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    18.03: Existence and Uniqueness Theorem: Jeremy Orloff

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    Alfi Louis
    The theorem establishes existence and uniqueness of solutions to initial value problems (IVPs) for ordinary differential equations (ODEs). It proceeds in the following steps: 1. Define an operator T that maps potential solutions to themselves. T is a contraction mapping if it shrinks distances between functions. 2. Use the contraction mapping theorem: if T is a contraction, it has a unique fixed point, which is the solution to the IVP. 3. Define Picard iteration by repeatedly applying T. This generates a Cauchy sequence that converges to the unique fixed point, proving existence and uniqueness of the solution.

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    © All Rights Reserved
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    18.03: Existence and Uniqueness Theorem: Jeremy Orloff

    Uploaded by

    Alfi Louis
    59 views4 pages
    The theorem establishes existence and uniqueness of solutions to initial value problems (IVPs) for ordinary differential equations (ODEs). It proceeds in the following steps: 1. Define an operator T that maps potential solutions to themselves. T is a contraction mapping if it shrinks distances between functions. 2. Use the contraction mapping theorem: if T is a contraction, it has a unique fixed point, which is the solution to the IVP. 3. Define Picard iteration by repeatedly applying T. This generates a Cauchy sequence that converges to the unique fixed point, proving existence and uniqueness of the solution.

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    Picard-Lindelof Theorem proof

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    existAndUniq

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    The theorem establishes existence and uniqueness of solutions to initial value problems (IVPs) for ordinary differential equations (ODEs). It proceeds in the following steps: 1. Define an operator T that maps potential solutions to themselves. T is a contraction mapping if it shrinks distances between functions. 2. Use the contraction mapping theorem: if T is a contraction, it has a unique fixed point, which is the solution to the IVP. 3. Define Picard iteration by repeatedly applying T. This generates a Cauchy sequence that converges to the unique fixed point, proving existence and uniqueness of the solution.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    59 views4 pages

    18.03: Existence and Uniqueness Theorem: Jeremy Orloff

    Uploaded by

    Alfi Louis
    The theorem establishes existence and uniqueness of solutions to initial value problems (IVPs) for ordinary differential equations (ODEs). It proceeds in the following steps: 1. Define an operator T that maps potential solutions to themselves. T is a contraction mapping if it shrinks distances between functions. 2. Use the contraction mapping theorem: if T is a contraction, it has a unique fixed point, which is the solution to the IVP. 3. Define Picard iteration by repeatedly applying T. This generates a Cauchy sequence that converges to the unique fixed point, proving existence and uniqueness of the solution.

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    You are on page 1of 4

    18.

    03: Existence and Uniqueness Theorem


    Jeremy Orloff

    Theorem (existence and uniqueness)


    ∂f
    Suppose f (t, y) and (t, y) are continuous on a rectangle D as shown. Then we can choose
    ∂y
    a smaller rectangle R (as shown) so that the IVP
    dy
    = f (t, y(t)), y(t0 ) = y0
    dt
    has a unique solution defined on [t0 − a, t0 + a] whose graph is entirely inside R.
    y

    D = big rectangle
    y0 + b
    R = middle rect.

    y0 •
    (t0 , y0 )

    y0 − b

    t
    t0 − a t0 t0 + a
    The proof proceeds in a series of steps. Some of these steps are technical –I’ll try to give a
    sense of why they are true. The key steps are the definition of the contraction map T (step
    (3)) and the use of T in Picard iteration (step (8)).

    ∂f
    (1) Let M = max |f (t, y)| and L = max (t, y) .
    D D ∂y
    ∂f
    The mean value theorem ⇒ f (t, y2 ) − f (t, y1 ) = (t, c) (y2 − y1 ) (for some c between y1
    ∂y
    and y2 ). ⇒ |f (t, y2 ) − f (t, y1 )| < L |y2 − y1 | (Lipshcitz condition).

    (2) Choosing the rectangle R


    b 1
    Choose a < min( , ). We will use this in steps (3) and (5).
    M 2L
    (3) The operator T
    Let Y be the space of all functions y which are continuous on [t0 − a, t0 + a] and whose
    graph is entirely inside R. For any y ∈ Y define
    Z t
    T y = z(t) = y0 + f (s, y(s)) ds.
    t0

    We note a number of easy facts about T .


    (a) T y = z(t) is well defined on [t0 − a, t0 + a]. (proof: (s, y(s)) is in R, so the integrand
    f (s, y(s)) is defined and continuous.)

    1
    18.03: Existence and Uniqueness Theorem 2

    (b) z(t) is continuous. (proof: trivial since both y and f are continuous.)
    (c) The graph of z(t) is entirely in R.
    Z t

    proof: |z(t) − y0 | = f (s, y(s)) ds ≤ M |t − t0 | ≤ M a < b. (The last inequality follows

    t0
    from the choice of a in step (2).)

    Facts a-c show T maps the space Y into itself.


    (d) z 0 (t) = f (t, y(t)) (proof: fundamental theorem of calculus).
    (e) Definition: the function y ∈ Y is a fixed point of T means T y = y.
    Claim: y is a solution to the IVP ⇔ y is a fixed point of T .
    Proof: Suppose y is a solution, i.e., y(t0 ) = y0 and y 0 (t) = f (t, y(t)). Then
    Z t
    T y = y0 + f (s, y(s)) ds
    Zt0t
    = y0 + y 0 (s) ds = y0 + y(s)|tt0 = y(t)
    t0
    So y is a fixed point of T .
    Z t
    Conversely, suppose y is a fixed point, then y = T y = y0 + f (s, y(s)) ds.
    t0
    ⇒ y(t0 ) = y0 and y 0 = f (t, y(t)). I.e. y satisfies the IVP. QED
    The claim shows that proving existence and uniqueness is equivalent to proving that T has
    a unique fixed point. (This is proved in (8) and (9) below.)
    (4) The metric on Y
    For y1 and y2 in Y define

    δ(y1 , y2 ) = max |y1 (t) − y2 (t)|.


    [t0 −a,t0 +a]

    (a) δ(y1 , y2 ) = 0 ⇔ y1 = y2 (proof: trivial).


    (b) δ satisfies the triange inequality: δ(y1 , y2 ) + δ(y2 , y3 ) ≥ δ(y1 , y3 ) (proof: not hard).
    (c) δ tells how to measure ’closeness’ between ’points’ of Y.
    (d) Y has no ’holes’.
    Formally: Y is a complete metric space.
    Formally: Complete means all Cauchy sequences converge.
    Informally: Complete means all sequences that look like they converge really do converge.
    1 1 1
    Analogy: On the real line R the sequence 1 + , 1 + , 1 + , . . . converges to 1.
    2 3 4
    However, in R − {1} the sequence doesn’t converge. This is because R − {1} has a ’hole’
    at 1.
    X
    For us it is enough to know that if the sequence y0 , y1 , . . . satisfies δ(yn+1 , yn ) < ∞ then
    the sequence converges, i.e., lim yn = y exists.
    n→∞
    (Picture: each step from y0 to y1 to y2 etc gets smaller in such a way that the total distance
    is finite.)
    18.03: Existence and Uniqueness Theorem 3

    Completeness is not hard to show. It does require a careful ’ − δ’ proof.


    1
    (5) Claim: δ(T y1 , T y2 ) ≤ δ(y1 , y2 ).
    2
    Proof: Z t

    |T y1 (t) − T y2 (t)| = f (s, y1 (s)) − f (s, y2 (s)) ds

    Z tt0
    ≤ |f (s, y1 (s)) − f (s, y2 (s))| ds
    t0Z
    t
    ≤ L |y1 (s) − y2 (s)| ds (Lipschitz condition)
    t0 Z t
    ≤ Lδ(y1 , y2 ) ds (pull out max(y1 (s) − y2 (s)))
    t0
    1
    = Lδ(y1 , y2 )(t − t0 ) ≤ δ(y1 , y2 ) L · a < δ(y1 , y2 ) QED
    2
    The last inequality uses the choice of a in step (2).
    Note: since T shrinks distances it is called a contraction mapping.
    By way of analogy let A : [0, 1] → [0, 1] by the formula A(x) = 21 (1 − x). It’s easy to
    see |A(x1 ) − A(x2 )| = 12 |x1 − x2 |, so A is a contraction mapping. If you start with the
    whole interval [0, 1] and repeatedly apply A you get a sequence of intervals [0, 1], [0, 1/2],
    [1/4, 1/2], [1/4, 3/8]. These intervals get smaller and smaller, shrinking down to the fixed
    point x = 1/3.

    (6) Claim: T has at most one fixed point.


    Proof: Suppose there were two different fixed points y1 and y2 . Then since T yj = yj we
    1
    get δ(T y1 , T y2 ) = δ(y1 , y2 ). But, this contradicts (5) where we saw δ(T y1 , T y2 ) ≤ δ(y1 , y2 ).
    2
    (7) If the sequence y0 , y1 , y2 , . . . converges to y then T y0 , T y1 , T y2 , . . . converges to T y.
    Formally: T is a continuous map of Y to itself.
    (8) Picard itereation
    Start with y0 (t) = y0 . Let y1 = T y0 , y2 = T y1 , . . . , yn+1 = T yn = T n y0 .
    Claim: the sequence y0 , y1 , . . . converges.
    1
    Proof: δ(y2 , y1 ) = δ(T y1 , T y0 ) ≤ δ(y1 , y0 )
    2
    1 1
    Likewise, δ(y3 , y2 ) = δ(T y2 , T y1 ) ≤ δ(y2 , y1 ) ≤ δ(y1 , y0 )
     n 2 4
    1
    Generally, δ(yn+1 , yn ) ≤ δ(y1 , y0 )
    2
    ∞ ∞  n
    X X 1
    ⇒ δ(yn+1 , yn ) ≤ δ(y1 , y0 ) .
    2
    n=0 0
    Since this last sum converges the completeness of Y proves the claim.

    (9) Take the sequence from (8) and let lim yn = y.


    n→∞
    Claim: y is a fixed point of T .
    Proof: Since y = lim T n y0 we have T y = lim T n+1 y0 = y. QED
    18.03: Existence and Uniqueness Theorem 4

    Example: (Picard iteration) Consider the IVP y 0 = y, y(0) = 1.


    Picard iteration gives y0 (t) = 1.
    Z t
    y1 (t) = y0 + 1 ds = 1 + t.
    0
    Z t
    t2
    y2 (t) = y0 + 1 + t ds = 1 + t + .
    0 2
    ⇒ In this case Picard iteration leads to the power series for et .

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