Math 2.0

Ordinary differential equations Existence, uniqueness and dependence on data Theorem

Uniqueness of solutions for Lipschitz vector fields

Builds on Lipschitz conditionSolution of an ordinary differential equationGrönwall's inequalityInitial value problem

Statement

Let DD be an open subset of ℝ×ℝn\mathbb{R} \times \mathbb{R}^n and let f:D→ℝnf : D \to \mathbb{R}^n be continuous. Assume that ff is locally Lipschitz in xx. That is, each point of DD has a neighbourhood V⊆DV \subseteq D and a constant K≥0K \ge 0 such that ∥f(t,x)−f(t,y)∥≤K∥x−y∥\|f(t, x) - f(t, y)\| \le K \|x - y\| whenever (t,x),(t,y)∈V(t, x), (t, y) \in V. Let II be an interval, and let γ1,γ2:I→ℝn\gamma_1, \gamma_2 : I \to \mathbb{R}^n be two solutions of x′=f(t,x)x' = f(t, x) whose graphs lie in DD. If γ1(t0)=γ2(t0)\gamma_1(t_0) = \gamma_2(t_0) for one t0∈It_0 \in I, then γ1(t)=γ2(t)\gamma_1(t) = \gamma_2(t) for all t∈It \in I.

Remarks

So an initial value problem for such an ff has at most one solution on each interval that contains t0t_0. Proof idea: the function u(t)=∥γ1(t)−γ2(t)∥u(t) = \|\gamma_1(t) - \gamma_2(t)\| satisfies u(t)≤K∣∫t0tu(s) ds∣u(t) \le K \left| \int_{t_0}^{t} u(s)\, ds \right| near t0t_0. Then Grönwall's inequality gives u=0u = 0. A connectedness argument extends this to all of II. A C1C^1 function ff is locally Lipschitz in xx. Without the Lipschitz condition, uniqueness can fail. See the non-uniqueness example.

Reading path

To understand this page from the ground up, read these 9 pages in order. The foundations come first.

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  1. Differential equation concept
  2. Function concept
  3. Interval concept
  4. Ordinary differential equation definition
  5. Lipschitz condition definition
  6. Grönwall's inequality statement
  7. Solution of an ordinary differential equation definition
  8. Initial value problem definition
  9. Uniqueness of solutions for Lipschitz vector fields statement

Where this leads

48 pages build on this one.

Further reading

  1. Web https://en.wikipedia.org/wiki/Picard%E2%80%93Lindel%C3%B6f_theorem, Theorem
  2. Web https://en.wikipedia.org/wiki/Gr%C3%B6nwall%27s_inequality, lead section
About this page
Tag025PKW8AMR
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Kindstatement, theorem
WritingW0 stub
MSC34A12
StatusThis copy of the site has no build data. Run m2 status 025PKW8AMR.
UsesLipschitz condition, Solution of an ordinary differential equation, Grönwall's inequality, Initial value problem

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