1 An Introduction To Differential Equations Leading

To The Kdv Equations

Begin with ordinary differential equations, end with p.d.e.s.
We summarize the linear ordinary differential equa-
tion topics you have already had.
a) u

au = 0 (1st Order Equation)

u
= a
solution: u = u
0
e
at
,
u
0
given by u(0) = u
0
.
b)
u

+ pu

+ qu = 0 (2nd Order Equation)

From the trial solution
u = e
t
get:

2
+ p + q = 0
1
,
2
u (t) = c
1
e

1
t
+ c
2
e

2
t
,
c
i
determined by initial conditions.
c)
1st Order Systems
u

Au = 0
u = e
At
, u
0
=

i
c
i
e

i
t
u
0
i
Presumably we have seen how to translate nth
order ordinary differential equations for a scalar into a
1
system of n 1st order ordinary differential equations.
Our first major task is to introduce forcing terms:
Birth, Death, and Boredom.
u

au
. .
= f (t)
..
= 0
homogeneous
component
forcing
term
The key is to understand how f (t) affects the ho-
mogeneous solution.
u = u
0
e
at
is a possible hint
- maybe e
at
would be an integrating factor, i.e.
left and right sides can be easily integrated.
If
u = u
0
e
at
then
u

= au
0
e
at
= au
e
at
_
u

au
_
. .
= e
at
f (t)
. .

integrable, if f (t)
is integrable
2

t
e
at
u(t)
. .
integrable

Solution:
..
e
at
u (t) u
0
=
t
_
0
e
as
f (s) ds
or
u (t) =
t
_
0
e
a(ts)
f (s) ds
. .
+ e
at
u
0
..
particular
solution
homogeneous
solution
1.1 Duhamels Principle
Duhamels Principle: f (t) contributes like u
0
but for
each t only for the remainder of the period.
Example:
f (t) = (t T)
t
_
0
e
a(ts)
(s T) ds =
_
0, t < T
e
a(tT)
, t T
3
Example:
u

+ u = 3
u
0
= 5
f (t) = 3
a = 1
Solution:
u(t) =
t
_
0
e
(ts)
3ds + 5e
t
..
homogeneous
u (t) = 3e
t
t
_
0
e
s
ds
. .
+ 5e
t

3 [1 e
t
]
= 3 + 2e
t
Check:
u

+ u = 2e
t
+ 3 2e
t
= 3
When a is neg.- as in the above example, e
at
u
0
decays to zero- such a solution is stable. The effect
of constant forcing is to increase u(t) initially but this
is offset by the dampening
4
as t u (t) 3

- depends on
steady forcing
- independent of
initial conditions
1.2 Birth- Death Interpretation
Population size is u(t), births occur at a constant rate
of 3, and deaths are at a rate proportional to the pop-
ulation:
u

= au
in absence of births; a < 0.
This is a death dominated process.
Consider the opposite- a birth dominated process,
beginning at u
0
= 5.
u

u = 3
a = 1, a forcing termof 3 implies death, or harvesting
Solution:
2e
t
+ 3
is unstable.
For
u

au = f (t) ,
system is:
5
Stable a < 0
Unstable a > 0
Neutrally stable or Critical a = 0
Example:
A more interesting f (t):
u

au = e
it
Let a < 0 and so stable. u
0
= 0
Always look first at the homogeneous equation:
u

u
= a u = e
at
u
0
a < 0 stable.
From above we know we will have 2 parts to the
solution:
a) u
0
e
at
homogeneous part
b) The forcing term part that will be convoluted
with e
a(ts)
.
Therefore,
u (t) =
t
_
0
e
a(ts)
f (s) ds

e
is
=
e
it
e
at
i a
e
it
= cos (t) + i sin (t)
6
is oscillatory at frequency = frequency of forcing
term.
This is modified by e
at
decaying.
So u
0
, the steady state is:
e
it
i a
. .

problems when a = i
1.2.1 Step Two: Variable Coefficients
Consider:
u

a (t)u = 0
it is likely that the effect of a () will be averaged over
the period.
This equation is separable, so is easily solved.
u

u
= a (t)
or
du
u
= a (t) dt
Therefore,
log u (t) log (u (0)) =
t
_
0
a (s) ds,
therefore
u(t) = u
0
e
h(t)
7
h(t) =
t
_
0
a (s) ds
. .
except for by t,
this is an average.
If
a (s) = a
0
,
a constant, we get back
u (t) = u
0
e
a
0
t
.
We now combine both complications.
u

a (t) u = f (t)
Try e
h(t)
as an integrating factor;
e.g.
e
h(t)
(
u

a(t)u
)

t
e
h(t)
u(t)
= e
h(t)
f (t)

Solution:
e
h(t)
u (t) u
0
=
t
_
0
e
h(s)
f (s) ds
therefore,
8
u(t) =
t
_
0
e
h(t)h(s)
f (s) ds
. .
+e
h(t)
u
0
. .

Duhamels Principle
homogeneous solution
effect of a averaged.
Example:
u

+ (2t) u = 2t
f (t) = 2t a (t) = 2t
Let u
0
= 0
h(t) =
t
_
0
2s ds = t
2
Solution:
u(t) =
t
_
0
e
t
2
+s
2
2s ds

= e
t
2
_
e
s
2
_
t
0
= 1 e
t
2
u (0) = 0 u

+ 2tu = 2t
This was easy because e
s
2
2s e
u
du.
In general, solutions have to be obtained numerically.
9
1.2.2 Third Step
u

= au e
at
and if a > 0, this is explosive; but what if we add a
dissipative termfor large u to induce ultimate stability?
Consider:
u

= au bu
2
..

b small, u small
exponential growth
u

= 0 at u = 0
u =
a
b
u large, au is offset by bu
2
.
* Can be rewritten as:
dt =
du
au bu
2
=
du
u(a bu)
is separable.
This we can solve by partial fractions:
1
u(a bu)
=
C
u
+
B
(a bu)
or
C (a bu) + Bu
u (a bu)
=
1
u (a bu)
10
For solutions along
the characteristics
_
For u =
a
b
: Bu = 1 B =
b
a
For u = 0: Ca = 1 C =
1
a
We have:
1
au bu
2
=
1
au
+
b
a
(a bu)
and each component can be integrated.
a)
_
1
au

1
a
(log u log u
0
)
b)
b
a
_
1
a bu
du =
b
a
_
1
b
_
t
_
0
1
v
dv
v = a bu dv = b du

1
a
[log (a bu) log (a bu
0
)]
c)
_
dt = t
Pulling together the 3 components exponentiating
and simplifying
u
a bu
= e
at
u
0
a bu
0
Note: the variable y =
u
abu
grows at the exponen-
tial rate a. As u
a
b
, y explodes.
The reduced solution is:
11
u (t) =
a
b+e
at
(abu
0
)/u
0
So as t , u (t)
a
b
Diagram
u

= au bu
2
1.3 Second Order Equations
Back to u

+ pu

+ qu = 0 for review. We need to

consider p (t), q (t), and the effect of a forcing term,
f (t).
The key to the homogeneous equation is to con-
sider exponentials e
t
as potential solutions.
e
t
_

2
+ p + q
_
= 0

i
=
1
2
_
p
_
p
2
4q
_
1
2
. .
_
12
discriminant
3 Cases:
Discriminant positive 2 real roots
Discriminant negative complex conjugate pair
Discriminant = 0
1
=
2
The first 2 cases have solutions
u (t) = c
1
e

1
t
+ c
2
e

2
t
In the critical case:

1
=
2
the solution is
u(t) = c
1
e
t
+ c
2
te
t
The complex conjugate case can be rewritten:
u (t) = c
1
e
(a+ib)t
+ c
2
e
(aib)t
= c
1
e
at
[cos (bt) + i sin (bt)]
+ c
2
e
at
[cos (bt) i sin (bt)]
= e
at
[d
1
cos (bt) + d
2
sin (bt)]
d
1
= c
1
+ c
2
d
2
(i) = c
1
i c
2
i
In all cases examining the phase transition across
critical boundaries is important.
Example: Damped, linear spring:
mu

+ cu

+ ku = 0
[forcing to come later]
13
u can be a displacement, say of a weight on a
spring. Without dampening:
mu

+ ku = 0

mass
strength of reaction
or stiffness
Note the acceleration for k > 0 is to offset the
displacement a:
mu

= ku
We add a dampening factor: cu

mu

+ cu

+ ku = 0
Note: if c > 0
_
mu

+ ku
_
= cu

then the reaction is damped.

Mathematically:

1
=
c
2m

1
2m
_
c
2
4mk
. .
The discriminant function.
The 3 Cases:
c
2
> 4mk: 2 real: overdampening
c
2
= 4mk: =
c
2m
: critical dampening
c
2
< 4mk: complex roots: under-dampening
Note c = 0, no dampening, is the last case pure
14
imaginary roots:

i
= i
_
k
m
k
m
= stiffness-mass ratio.
Diagram
critical if c
1
, c
2
diff. sign
c
1
+ c
2
= 0
15
Diagram
frequency given by imaginary component
Under-damped System, but stable
Solution:
u (t) = e
at
[d
1
cos (bt) + d
2
sin (bt)]
a =
k
2m
b =
1
2m
_
4mk c
2
We now add forcing
mu

+ cu

+ ku = f (t)
Immediately, we note a problem- a challenge!- when
the homogeneous equation has a natural frequency,
given by b above that matches, or nearly matches,
that of f (t), we will have interesting results.
Two ways, at least, variation of parameters, or
undetermined coefficients, but this requires special
conditions, f (t), of type e
at
, t
n
, cos (t).
16
Let
Lu

+ Ru

+
1
c
u = V cos (t)
where u current (electrical) flow, L inductance,
C capacitance, R resistance, frequency of
oscillation of current, V , constants.
1.3.1 Attempted Solution
Let
u = a cos (t) + b sin (t)

The undetermined coefficients
Substitute u into the above equation, we get:
_
L
2
a + Rb +
a
c
= V
_
cos (t) terms
_
L
2
b Ra +
b
c
= 0
_
sin (t) terms
a =
Lv
_

2
0

2
_
L
2
(
2
0

2
)
2
+
2
R
2
b =
V
2
R
L
2
(
2
0

2
)
2
+
2
R
2

2
0
=
1
LC
is the frequency of oscillation for Lu

+
u
c
= 0, which is equivalent in the mechanical case to

2
0
=
k
m
, the stiffness-mass ratio for mu

+ ku = 0.
17
Lets call
0
the natural frequency.
A) What of undamped oscillation R = 0 (or c = 0
in mech. question) b = 0
therefore,
u = a cos (t) =
V
L(
2
0

2
)
cos (t)

Note what will happen as

0
.
As
0
, but not at
0
, the amplitude of oscilla-
tion of u .
The homogeneous solution is:
u(t) = a cos (
0
t)
Therefore, the entire solution is:
u(t) = a [cos (t) cos (
0
t)]
By solving for differences in cos, get:
u
t
= 2a sin
_
(
0
+ )
2
t
_
sin
_
(
0
)
2
t
_
. .
cancellation of signs
Recall: cos (a) cos (b)
= 2 sin
_
a + b
2
_
sin
_
a b
2
_
prod. of sin of
1
2
sum, sin of
1
2
diff.

high frequency low frequency
18
Diagram
- frequency
of sum
- frequency
of difference
1.3.2 Damped Forced Oscillation R > 0
The particular solution is still given by
u
t
= a cos (t) + b sin (t) .
The homogeneous solution (now damped) is
c
1
e

1
t
+ c
2
e

2
t
0
as t
- real parts of
1
,
2
negative with dampening.
We are left with
u = a cos (t) + b sin (t)
= Acos (t )
Recall
a cos (t) + b sin (t) = Acos (t )
19
A =
_
a
2
+ b
2
_
1
2
= tan
1
_
b
a
_
.
Recall:
Acos (t ) =
A[cos (t) cos () + sin (t) sin ()]
therefore, a, b determine amplitude and phase, but the
frequency remains the same.
The peak amplitude: A =
_
a
2
+ b
2
_1
2
is reached
when t = ; so one can consider A, , determining
the size and angle of incidence of the max. amplitude.
Let us summarize:
mu

+ cu

+ ku = F cos (t)
The deriving frequency is .
The natural frequency (solution to the homoge-
neous equation) is
0
=
_
k
m
.
20
1.4 Types Of Solution
Solution: u =
Undamped
Unforced
c = F = 0 (1) d
1
cos (
0
) + d
2
sin (
0
)
Damped
Unforced
F = 0 (2) c
1
e

1
t
+ c
2
e

2
t
0
Undamped
Forced
c = 0 (3) a cos (t) + (1)
Damped
Forced
Acos (t ) + (2)
The resonant case: =
0
is not included.
For the resonant undamped case, we have:
mu

+ ku = F cos
_
_
k
m
_
t (1)
where we have set
=
0
=
_
k
m
.
This case is like the equal roots case; so we try:
21
u
particular
= [a cos (
0
t) + b sin (
0
t)] t
..

note the extra term

0
=
_
k
m
Substitute into (1) to get:
a = 0
u =
F
2m
0
(sin (
0
t)) t
Diagram
K =
F
2m
0
1.4.1 Summary for Undetermined Coefficients for
the Quadratic Equation: mu

+ cu

+ ku = F (t)
A) There are 2 parts to any solution:
a) Solution to the homogeneous (unforced) equa-
22
tion.
b) Solution to the forced equation, particular so-
lution.
B) Homogeneous Solution:
u = c
1
e

1
t
+ c
2
e

2
t
C) Particular Solution by Undetermined Coefficients:
F (t) cos (t) try: a cos (t) + b sin (t)
F (t) poly (t) try: poly (t)
F (t) e
t
try: ae
t
1.5 Nonlinear Oscillations
In mu

+ cu

+ ku = 0,
c = 0 undamped- periodic
c > 0 damped, dissipate energy
c < 0 anti-damped, explosive
Consider a simple pendulum.
The linear, undamped version is:

+ = 0
for small , angle of incidence.
The better approximation is non-linear:

+
2
0
sin = 0 (2)
23
For large, sin ,=
sin sin
.1 .0998 .4 .389
.2 .1986 .8 .717
The solution to

+ = 0 is:
= a cos t + b sin t
_
from
2
+ 1 = 0
roots
i
= i
purely periodic.
Without going into detail, we can use a trick in the
non-linear equation to get:
d
dt
=
2
0
[2 cos () cos (
0
)]
1
2

given by initial conditions

easily verified that above satisfies (2) .
This can be integrated to yield:

2
0
t =
_
d
2 [cos cos
0
]
1
2

0
is the angle at which
d
dt
= 0.
From these expressions, we can calculate the en-
ergy of the system, the maximum amplitude, and the
period.
In any event, we see that a simple change gives
24
rise to a complicated change in the analysis.
Another Example (Duffings Equation):
u

+
_
u + u
3
_
. .
= 0
restoring force
Hookes Law- extension of a spring- we can con-
sider 3 versions:
u

+
_
u + u
3
_
= 0 hard spring
u

+ u linear spring
u

+
_
u u
3
_
= 0 soft spring
But these equations require damping for useful
analysis.
The first key issue is stability.
If the local linearized model is fully stable/ unsta-
ble, the corresponding non-linear equation is also.
But if the linear problem is neutrally stable, i.e.
critical, anything can happen.
A simple 2 2 System will illustrate.
Let:
u

=
_
a b
c d
_
u
= Au
The solutions are exponentials u = e
t
x, so
u

= Au e
t
x = Ae
t
x
is an eigenvalue of A.
25
So,
real part of > 0 growth
real part of < 0 decay.
det
_
a b
c d
_
=
2
(a + d) + (ad bc) = 0
or:

2
tr (A) + Det (A) = 0
is the characteristic equation for solving for the eigen-
values.

1
,
2
depend only on
a) Trace (A) a + d
b) det. (A) ad bc
As you know:

1
+
2
= trace

i
= det .
Stability requires a negative trace and a positive
determinant.
26
Diagram
A stable spiral
B unstable spiral
C stable node
D unstable node
E saddle point.
Node: Eigenvalues, real, same sign
Stable, both negative.
Unstable, both positive.
Example:
u

=
_
1 0
0 3
_

u
1
= ae
t
u
2
= be
3t
- stable node
trace = 4 det.= 3
27
Diagram
Stable
Diagram
Unstable
28
1.6 Illustrations Of Some Phase Diagrams For
Solutions Of Pairs Of Differential Equations
Saddle:
_
0
0
_
Focus:
_
0
0
_
< 0 < < 0
Diagram
Improper Node: Node:
29
_
0
1
_
, < 0
_
0
0
_
, < < 0
Diagram
Spiral Sink: Center:
_
a b
b a
_ _
0 b
b 0
_
b > 0, a < 0 b > 0
30
Digram
Source Node: Spiral Source:
_
0
0
_ _
a b
b a
_
0 < < a > 0, b > 0
Spiral: Complex conjugate eigenvalues
stable: real part is negative
unstable: real part is positive.
Example: Stable Spiral:
u

=
_
1 1
1 1
_
u = 1 i
tr = 2 det . = 2

i
=
1
2
_
trace
_
tr
2
4 det
_
u
1
= e
t
[C cos (t) + Di sin (t)]
31
u
2
= e
t
[Dcos (t) Ci sin (t)]
C, D depend on critical conditions.
Diagram
Stable Spiral
Saddle point: Real eigenvalues of opposite sign
(and so must be unstable in 2 2 case)
Example
u

=
_
1 0
0 1
_

u
1
= ae
t
u
2
= be
t

stable manifold
32
Diagram
1.7 Neutrally Stable Center
Eigenvalues pure imaginary.
Example
u

=
_
0 1
1 0
_
u
i
= i
u
1
= c cos (t) + d sin (t)
u
2
= c sin (t) + d cos (t)
33
Diagram
This result is critical, separates 2 different phases
of the solution.
If
1
=
2
, i.e. tr
2
= 4 det, then:

1
=
2
< 0 improper node

1
=
2
> 0 Star, explosive.
u
1
= e
t
u
2
= e
t
t
from u

=
_
1 0
1 1
_
u
tr = 2, tr
2
= 4, 4 det = 4
Check
_
u

1
u

2
_
=
_
1 0
1 1
_
u:
_
1 0
1 1
_
star
1 0
1 1
improper node
34
Diagram
Improper Node
Diagram
Source unstable
1.8 Illustrative Examples Of Linearized Non-linear
35
Eqn.
Let
the non-linearity
u

1
u

2
=
au
1
b
..
u
1
u
2
c u
1
u
2
..
du
2
the non-linearity
or

_
u

_
=
_
a
..
bu
2
cu
1
..
d
_
(u)

note change from constant coefficients

This is the predator-prey example.
u
1
prey, u
2
predator
prey declines with an increase in predators
predators gain with an increase in prey.
Question: What are the qualitative properties of
solutions to such equations?
Without predators, prey would increase:
u

1
= au
1
u
1
e
at
Without prey, the predators would decrease:
u

2
= du
2
u
2
e
dt
36
The generic equation we consider is:
u

= F (u)
The linearized stability approach is:
a) Find critical points u

F (u

) = 0
i.e. points at which there is neither growth, nor
decay- locally.
b) From
Floquet Matrix

A =
_
F
1
u
1
F
1
u
2
F
2
u
1
F
2
u
2
_
evaluate in the nbhd. of u

Determine the stability, instability of Afromits eigen-

value.
The basic questions: do points on an orbit near
u

approach it (stability), circle it (neutral stability), or

diverge (instability), or reduce the dimension of the
system- saddle point.
Back to the example:
a) To find u

: u
1
= u
2
= 0
au
1
= bu
1
u
2
cu
1
u
2
= du
2
37
i)
u

1
= u

2
= 0
ii)
u

1
=
d
c
, u

2
=
a
b
To get A:
u

= F (u)
F () =
_
au
1
bu
1
u
2
cu
1
c
2
du
2
therefore,
A(u) =
_
a bu
2
bu
1
cu
2
cu
1
d
_
At u

=
A =
_
a 0
0 d
_
,
tr = a d
det = ad
eigenvalues are:

1
= a,
2
= d,
have opposite signs, and are real saddle point at
u

= for u
0
.
= , prey increase and predators
decrease.
We cannot fromthis say anything about what hap-
pens for u
0
> .
At
u

=
_
d
c
a
b
_
, A =
0
bd
c
ca
b
0
38
tr = 0 det . =
bd
c
ca
b
= ad

- prod. of own
growth rates.
We now have pure imaginary roots getting a
center, so at this critical point we have a center.
Diagram
Pred./prey oscillates in growth/ decay
From
u

= F (u) = F (u

) + A(u u

) + ...
and
F (u

) =
therefore,
u

= A(u u

)
or
(u u

= A(u u

)
39
Summary:
For u

F (u

) = ,
A = F [
u=u
,
and for [u u

[ < , small,
u

= F (u)
is close to (u u

= A(u u

)
A: unstable so is F ()
A: stable so is F ()
A: neutrally stable,
a center.
F () is ?
Example:
The damped, unforced, non-linear pendulum,

+ c

+ sin = 0.
Let us convert from a single 2nd. order equation
to a pair of 1st. order equations.
Let
u
1
= u
2
=

therefore
u

1
= u
2
u

2
= cu
2
sin u
1
so
F (u) =
_
u
2
(sin u
1
+ cu
2
)
_
.
Solve for F (u

) = 0
u

2
= 0, u

1
= k, k = 0, 1, 2,...
40
At even multiples of , pendulum , and at odd
multiples of , pendulum .
- we can restrict attention to an interval of length
2, e.g. to , for range of u
1
.
A =
_
F
1
u
1
F
1
u
2
F
2
u
1
F
2
u
2
_
u=u

=
_
0 1
cos u
1
c
_
At u

1
= 0,
cos (u

1
) = 1
At u

1
= (2k + 1) ,
cos (u

1
) = 1
A =
0 1
1 c
0 1
1 c
for even mult. for odd mult.
tr = c tr = c
det . = +1
det . = 1
saddle point
eigenvalues of
different signs.
41
c
2
> 4 stable node
c
2
= 4 improper node (roots equal)
c
2
< 4 stable spiral
c = 0 a center, no dampening
Phase space is the space of the coordinates of a
dynamic system.
phase portrait- a plot of the phase
space- a set of phase trajectories.
Usually the coordinates of a system are the posi-
tion coordinates and the momenta
- a single body travelling in 3-space has a 6-dimensional
phase space.
The pendulum has a 2-dimensional phase space-
best characterized by
_
,

_
position in angular coordinates,

velocity
in angular coordinates.
1.8.1 Underdeveloped Pendulum At Various Energy
Levels
42
Diagram
43
1.8.2 Phase Portrait For Damped Pendulum
Diagram
Dampening No Separatrix
Initial Conditions determine where in the phase
plane (portrait) one begins.
Back to predator-Prey:
u

1
= au
1
bu
1
u
2
u

2
= cu
1
u
2
du
2
44
If we want to consider a phase portrait approach,
we seek to find an implicit equationin the coordinates
that is consistent with the system for all times t.
We already know there are 2 critical points:
u

= u =
_
d
c
a
b
_
i.e. points u

= F (u) 0.
To get an equation in the (u
1
, u
2
) plane fromF (u),
we consider:
du
2
du
1
=
du
2
dt
du
1
dt
=
cu
1
u
2
du
2
au
1
bu
1
u
2
At u

= 0, the equation is not surprisingly indeter-

minant. At u
1
=
d
c
,
du
2
du
1
= 0
and at u
2
=
a
b
, the denominator is zero and the slope is
infinite. Away from these singularities, we can easily
solve the equation.
du
2
du
1
=
(cu
1
d) u
2
(a du
2
) u
1
,
or
du
2
_
a
u
2
b
_
= du
1
_
c
d
u
1
_
Solution:
(a log u
2
bu
2
) = (cu
1
d log (u
1
)) + constant
45
Diagram
- cycles at
increasing
levels for
initial
conditions
Predator-prey Example
1.8.3 Van der Pols Equation
Let us go back to a simple undamped unforced equa-
tion:
u

+ u = 0.
Now if we add linear dampening:
u

+ u

+ u = 0
we see there are problems with this formulation.
a) If < 0, it says the energy of the system in-
creases indefinitely- thats not good.
b) If (t) is a solution, so is (t), that is, the prob-
46
lemis invariant to dilation- there is nocharacteristic
scale for (t)- and if physically we expect oscillations
of some fixed amplitude this does not work.
So we should consider a model in which there is:
a) non-invariance to dilation
b) limit energy when < 0
c) intro forcing to overcome dampening when
> 0.
van der Pols equation is an attempt to do this:

+ c
_

2
k
_
. .

+ = 0
Van der Pols component
For
2
< k, c
_

2
k
_
< 0 and the system builds
up energy, the system is anti-damped.
For
2
> k, c
_

2
k
_
> 0 and the system is
damped, degree of damping is proportional to the square
of .
This sort of model produces a limit cycle- all orbits
spiral in or out to the limit cycle.
Note
2
= k is neutrally damped and periodic.
47
Diagram
There are no critical points; i.e. points at which
the gradient vanishes, besides the origin.
The equation cannot be solved in closed form!
Erratic oscillations are created by forcing. Linear
oscillations have a natural frequency.
Nonlinear oscillations- frequency of the homoge-
neous equation depends on amplitude which is chang-
ing constantly.
Nonlinear oscillator and forcing can lead to wild
behavior. Some motion is regular, smooth, other mo-
tion is chaotic.
1) Conservative systems (constant energy)- 3 body
problem- islands of regular motion surrounded by sto-
chastic seas.
2) Dissipative Systems: can lead to strange at-
48
tractors.
The most important feature is self-similarity.
Experiment:
Force a nonlinear system
a)

+
2
0
sin () = Acos (t)

vary A,
b)
u

+ u + u
3
Acos (t)

vary coefficients
> 0, hard spring
< 0, soft spring
= 0, linear, neutral.
1.9 A Classic Example
Recall first the equation
u

= au bu
2
= u (a bu)
as a differential equation- a logistic differential equa-
tion.
We solved by partial fractions to get:
49
u
a bu
= e
at
u
0
a bu
0
or
u =
a
b + e
at
(a bu
0
) /u
0
a simple non-oscillatory equation.

a
b
as t .
We will nowconsider the corresponding difference
equation.
This example is a lesson in the added complex-
ity of difference equations as opposed to differential
equations.
We now deal with maps instead of flows.
Let
u
n+1
= F (u
n
) ;
F (), a map.
Maps can arise in 2 basic ways:
i) As a discrete approximation to a differential, re-
sults should depend on the closeness of approxima-
tion and on the complexity of the path.
ii) From a Poincar Section.
(i) Approximation
Consider the linear model.
u

= au
du
u
= adt
50
therefore
u = Ke
at
= u
0
e
at
, u (0) = u
0
is the linear differential solution and is the flow (u, t).
Difference approximation.
/u (h)
/t
= au
t
,
where /t = h is the approximation.
/u (h) = u (t + h) u(t) .
A crude approximation is to let h = 1. Therefore,
u
t+1
u
t
u
t
= a /t = a
or
u
t+1
u
t
= a + 1
therefore, from u (0) = u
0
,
u
t
= (1 + a)
t
u
0
(3)
Recall
lim
h 0
_
_
1 +
a
h
_
h
_
t
= e
at
So we see that (3) is a crude approximation to e
at
.
51
Compare for a = .2, a

= 0.182
t (1 + a)
t
e
at
e
a

t
1 1.20 1.22 1.20
2 1.44 1.49 1.44
3 1.728 1.822 1.728
5 2.488 2.718 2.488
8 4.300 4.953 4.300
10 6.192 7.384 6.192
a

is the equiv. disc. rate.

Diagram
Graph Illustrating Higher Levels Of Approximation
/ _

increasingl evel of approximation

So for these equations, the higher level of approx-
imation closer fits to the differential system; but we
52
also see h = 1 is a very crude fit.
(ii) Poincar Sections
Imagine a flow that is recurrent and slice the flow
by a hyper plane
- the points of intersection with the hyper plane
a map.
Diagram
The intersection of the plane with the flow(x(t) ; t)
produces the map:
X
t
= T (X
t1
)
with delay time D(x (t) , t) between recurrent inter-
sections.
For simple flows
D(x(t) , t) = D
0
t.
In any event, the map indirectly represents a flow
53
in a (one higher) dimensional phase space one al-
lows therefore for greater complexity.
Back to a linear approximation.
Let
u
n+1
= au
n
therefore
u
n
= a
n
u
0
i) If [a[ < 1, u
n
0, stability
ii) If [a[ > 1, u
n
, instability
iii) If a = 1, u
n
= u
0
, steady state
iv) If a = 1, u
n
= (1)
n
u
0
, a period 2 oscilla-
tion.
Consider
u
n+1
= au
2
n
;
this does not add much at all to the above.
Now consider:
u
n+1
= F (u
n
) = au
n
au
2
n
= au
n
(1 u
n
)
This equation- composed of two unremarkable components
is very different.
u
n+1
u
n
= F
u
n
= a au
n
2
= a (1 2u
n
) = 0
Max is at u
n
=
1
2
, value of F at u
n
=
1
2
, =
a
2

a
4
=
a
4
,
therefore, if a 4, u
n+1
[0, 1].
54
Diagram
a = 2
What are the stationary points?
u
t+1
= 2u
t
2u
2
t
u
t
= 2u
2
t
u = 0,
1
2
,
if sequence begins at 0,
1
2
it stays there, but these sta-
tionary points are not necessarily stable.
A stationary point u

is attractive if

(u)

< 1,
for u in some some nbhd. of u

.
Example:
a = 2, F

(u) = a 2au = 2 4u.

At u = 0,
F

(u) = 2 > 0,
point is repulsive- i.e. 0 is a point of divergence.
55
At u =
1
2
,
F

(u) = 0,
point is attractive.
F

(u

) , F

(u

+ ) , u

=
1
2
small.
The key to analysis is the derivative of the map in
nbhd. of the stationary point.
Using our example:
Stationarity:
u = au au
2
u

=
a 1
a
, or 0.
F

(u) = a 2au
therefore,
F

(u

) = a 2a
_
a 1
a
_
= a 2 (a 1)
= 2 a
So a stationary point is attractive if 1 < a < 3 for
interior stationary points.
If a < 1, 0 is stationary and attractive.
If a > 3, both stationary points are repulsive.
However, maps have even more interesting pos-
56
sibilities. We have seen the properties of
F () = au
n
au
2
n
,
but we also have the result that:
u
n+2
= F [F (u
n
)] = G(u
n
)
and G() will inherit properties from F ().
If G = F 2 (u), we can have F i (u).
Consider
G = F 2 (u) ,
a 2 period map:
u
n
u
n+2
Diagram
For a sufficiently large
G() has 4 stationary points- those of F () and
two more at u
0
1
, u
0
2
.
G = a
_
au au
2
_
a
_
au au
2
_
2
57
Stationary points:
a) These of F: 0,
(a1)
a
b) At the other two roots of G().
By graph see that both are (locally) attractive

_
u
0
1
_

<
1- for a sufficiently large, in this case at a > 3.
Within limits the bigger a the more distinct roots
there are to F i (u). This leads to ever increasing
cascades of oscillating solutions.
For a> 3, get a 2-cycle between u
0
1
, u
0
2
.
Note that attractive, repulsive alternate in pairs.
The analysis of such models has become a growth
industry. We will not pursue it at this time.
Main features to keep in mind:
1) Complexities introduced by maps at any given
dimension relative to differential equations.
2) Simple sum, difference, of two simple orbit com-
ponents can lead to very complex behavior.
3) Properties of higher iterates build on the lower.
4) Importance of:
parameter values
initial conditions
a general lack of robustness.
58
1.10 Illustration Of The Link
Between Maps and Flows
t = n /t for a fixed /t on Poincar section.
59
1.11 Fourier And Laplace Transforms
Fourier Transform facilitates solving boundary value
problems
- Laplace transform facilitates initial value prob-
lems.
Both convert differential equations algebraic equations.
Fourier Laplace
whole line: < x < half line: t 0
oscillations: e
ix
transients, e
at
Input all values Input later values
Ends at bdy conditions. Starts with initial conditions.
Both use: exponentials are eigenfunctions of derivatives.
d
_
e
ikx
_
dx
= ike
ikx
,
d (e
st
)
dt
= se
s
Some problems require both approaches:
Solution to u
xx
= u, oscillate in space.
Solution to u
t
= u, decay in time.
Solution to u
xx
= u
t
(heat equation) do both.
Fourier:

f () =

f (x) e
ix
dx
60
Laplace:
F (s) =

_
0
f (t) e
st
dt
The correspondence continues (almost) to trans-
fers of derivatives
Fourier:
df
dx
ik

f (k)
Laplace:
df
dt
sF (s) f (0)

note difference
This is seen by recognizing that at t = 0, the func-
tion has to jump to its value from being identically
zero.
Example: f = 1, 0 t

_
0
df
dt
e
st
dt = f (t) e
st
[

0
+

_
0
f (t)
_
se
st
_
dt
= f (0) + sF (s) , F (s) =
1
s
= 1 + 1 = 0
61
If L(u (t)) U (s), then:
L
_
u

(t)
_
sU (s) u (0)
L
_
u

(t)
_
s [sU (s) u (0)] u

(0) , etc.
Example 1:
u

au = 0, u
0
= 4
If U (s) is the (unknown) Laplace Transform, the
unknown U (), is given by solving:
[sU (s) 4] aU (s) = 0
therefore
U (s) =
4
s a
u (t) = 4e
at
check:

_
0
e
at
e
st
dt =
1
s a
,
our usual result.
Example 2:
u

au
. .
= e
bt
..
,u
0
= 0

sU (s) aU (s) =
1
sb
therefore
U (s) =
1
(s a) (s b)
Solve by partial fractions (or by recognizing the
62
convolution rule- to come.)
1
(s a) (s b)
=
C
s a
+
D
s b
,
solve for C, D;
multiply by s a, set s = a C =
1
ab
multiply by s b, set s = b D =
1
ba
Solution:
u = Ce
at
+ De
bt
natural forcing
mode mode
=
..
e
at

..
e
bt
a b
. .
care!
Alternate approach to the solution:
U (s) =
1
(s a) (s b)
= G(s) F (s)
and G() L. Tr. of g = e
at
, F () L. Tr. of f = e
bt
Convolution Rule:
If
u = g f =
t
_
s=0
g (t s) f (s) ds
then
U (s) = G(s) F (s)
63
cf Fourier transformresults
therefore
u (t) =
t
_
0
e
a(ts)
e
bs
. .
ds
stress the interaction between
the natural and forcing frequencies.
= e
at
_
e
(ba)s
b a
_
t
0
=
e
at
e
bt
b a
Example:
u

5u

+ 6u = 0
u
0
= 1 u

(0) = 9
s [sU (s) 1] 9 5 [sU (s) 1] + 6U (s) = 0

_
s
2
5s + 6
_
U (s) = s + 4
therefore
U (s) =
s + 4
(s 3) (s 2)
=
C
s 3
+
D
s 2
C = 7 D = 6
therefore
U (t) = 7e
3t
6e
2t
1.11.1 Two Special Examples
A)
u

au = e
at
, forcing frequency = natural frequency!
64
Let
u (0) = 0
therefore
su au =
1
s a
1
sa
= Laplace transform of e
at
therefore
U (s) =
1
(sa)
2

This is a product so let

us use the convolution rule.
u (t) = g f =
t
_
0
e
a(ts)
e
as
ds = te
at
Recall the original solution
e
at
e
bt
ab
and let
b a
d Sol (t)
dt
=
d e
at
dt
= te
at
Example (B):
u

2au

+ a
2
u = 0
with initial conditions u
0
, u

0
U (s) =
(s 2a) u
0
+ u

0
(s a)
2
note if u
0
= u

0
= 0 this result is identical to the first
example. For general u
0
, u

0
we get:
65
u(t) = u
0
e
at
+
_
au
0
+ u

0
_
te
at
1.12 Discrete Time And The Z-transform
As we saw before the change from continuous time,
differential equations to discrete time and difference
equations is equivalent to a change fromexponentials
to polynomials.
We need a new transform.
The z-transform solves difference equations.
The link is easily seen in the linear case:
u

= au e
at
u
0
u
n+1
= au
n
u
n
= a
n
u
0
Powers of a exponentials in a.
The z-transform:
U (z) =

n=0
u
n
z
n
cf:
U (s) =

_
0
u(t) e
st
dt
Example 1:
u
n
= 1 n 0
66
U = 1 + z
1
+ z
2
+ ... =
_
1
1
z
_
1
=
z
(z 1)
Example 2:
u
n
= a
n
U = 1 +
a
z
+
_
a
z
_
2
+ ... =
_
1
a
z
_
1
=
z
za

u has a pole at a
this corresponds to the growth component
[a[ < 1; stable decay
[a[ > 1; unstable growth
We will not pursue z-transforms at this time.
1.13 A Simple Economic Example
A cob web model- analysis due to Mac Kay & Belair.
This model explores a continuous time diferential
pair of equations defining demand and simply with de-
lays.
Model generalizes the discrete time cob-web cy-
cle.
P
0
demand price P (t)
Ps supply price P (t T)
T is a delay, which may itself be a function of P- e.g.
67
Though inventories
T (P) = T
min
+ /(P)
and
T
min
T (p) T
min
+ /
max
D(P
0
) demand equation, monotonic, D

() < 0
S (P
s
) supply equation, monotonic, S

() > 0
The basic differential equation:
p
p
= D(P
0
) S (P
0
)
Initial conditions: P (t
0
) for (T
min
+ /
max
) t
0

0.
By the invertibility of D(:) we can write:
P (t) = F (P (t T))
F () = D
1
S.
If time is measured in units of T
therefore
P (t

) = F (P (t

1)) ,
produces a mapping.
If p

is equilibrium then
P

= p (p

)
is a fixed point.
Local stability is nbhd. of p
2
given by:

(p

< 1,
and the parabolic transitional state is demonstrated
68
by

(p

= 1.
F

() =
S

()
D

()
=
e
S
e
D
ratio of elasticities.
So if e
S
< [e
D
[, equilibrium is stable; neutrally sta-
ble for e
S
= [e
D
[
(recall- sensitivity now to non-linearity)
Return to the basic differential equation:
p
p
= D(P (t)) S (P (t T (p)))
If p

is equilibrium price, then

p
p
= 0
D(p

) = S (p

)
and local monotonicity ensures a single such price.
Let
Z (t) = P (t) p

z = p

_
D

(p

) z (t) S

(p

) z (t T

)
_
(4)
and
T

= T (p

) = T
min
+ /(p

)
Let
T
R
= D
1
= S (p

)
1
price relaxation time.
Stability for p

z (t) 0 as t .
Obtained by Taylors series expanding.
69
We can rewrite the equation as:
z =
_
e
D
z + e
S
z
_
t T

__
T
R
*
Trial solution: z = e
t
into above
T
R
+ e
D
+ e
S
e
T

= 0
Hayes - J. Lond. Math. Society 1950-
Conditions Re () < 0:
Either

e
D
e
S

> 1
or
0

e
D
e
S

1 and T

< T
crit
T
crit
=
T
R
cos
1
_

e
D
e
S
_
_
(e
S
)
2
(e
D
)
2
_1
2
* Note: e
D
was defined here as

p
q

- not a good
practice, but here kept to make notation compatible.
Let us solve:
z =
(e
D
z + e
S
z (t T (p)))
T
R
by Laplace transforms.
Let U (s) be the Laplace Transformof Z (),
70
therefore
sU (s) Z (0) =
_
e
D
U (s) + e
S
U (s) e
ST
_
T
R
or
T
R
(sU (s) Z (0)) + e
D
U (s) + e
S
U (s) e
ST
= 0
Z (0) is the initial condition
therefore
U (s) =
T
R
Z (0)
ST
R
+ e
D
+ e
S
(1 ST)
using e
ST
(1 ST)
therefore
U (s) =
T
R
Z(0)
(T
R
e
S
T)
S +
(e
D
+e
S
)
(T
R
e
S
T)
therefore
Z (t) =
Z (0) T
R
T
R
e
S
T
Exp
_

_
e
D
+ e
S
T
R
e
S
T
_
t
_
The key termin this is: (T
R
e
S
T)
T
R
price relaxation time
T time delay
so (T
R
e
S
T) difference between the time to con-
sume one unit and the time needed to supply an extra
unit at P

.
Consider the 2nd. order approximation for the so-
lution of U (s) by the Laplace transform
71
U (s) =
T
R
Z (0)
ST
R
+ e
D
+ e
S
_
1 ST +
(ST)
2
2
_
=
T
R
Z (0)
s
2
e
S
T
2
2
+ s (T
R
e
S
T) + e
D
+ e
S
or
U (s) =
T
R
Z (0)
(S +
1
) (S +
2
)

i
=
(T
R
e
S
T)
_
(T
R
e
S
T)
2
2e
S
T
2
(e
D
+ e
S
)
e
S
T
2
If T
x
= time delay at P

= T
crit
, then the solu-
tion to T
R
+ e
D
+ e
S
exp (T

) = 0 is purely imagi-
nary: = i
H
and the period of the oscillation can
be solved exactly :
T
H
=
2T
R
_
(e
S
)
2
(e
D
)
2
_1
2
T
H
is a critical value for a Hopf bifurcation.
Definition of a Hopf Bifurcation
- see Berg, Pomeau, Videl
- a bifurcation is a qualitative change in phase space
at a critical value of a parameter.
- e.g. the separatrix for a simple undamped oscil-
lator; there is a phase change when the energy, E, of
the system exceeds E

.
72
Rotation for E > E

Oscillation for E < E

E = E

, on the separatrix.
A bifurcation is said to be a Hopf bifurcation if the
phase change at the critical prameter value is to move
from a limit point (stationary value) to a limit cycle.
In our case:
T

< T
H
- fixed point
T

T
H
- limit cycle
Numerical simulation- Feldstein and Neves indi-
cates no evidence of more complex behavior than a
single Hopf bifurcation.
This model is very important.
Note the specification has been very general- merely
eliminating non-monotonic D(), S (), e.g. no back-
ward bending supply curves.
This result follows naturally from the fact that we
essentially have a 1st. order equation modified by a
delay.
Highly complex motion in periods, therefore, cannot
be due to cob web- like formulations.
Second Example: F. Ackerman in Energy Markets
in the Longer term:
Planing Under Uncertainty
edt. Kydes & Geraghty- Nth. Holland 1985
73
Ackerman postulates that for some markets, e.g.
petroleum, oscillations, price, are often far from equi-
librium, so that 1st. order (linear) approximations do
not hold.
The Ackerman model:
p
t
= s
0
+ s
1
q
t1
+ s
2
(q
t1
)
2
, supply
p
t
= d
0
d
1
q
t
, demand
therefore
q
t
=
d
0
s
0
d
1

s
1
d
1
q
t1

s
2
d
1
(q
t1
)
2
*
We now have a quadratic problem. Recall the
map:
U
t
= aU
t1
(1 U
t1
) +
Asimple, linear transformation of variables will con-
vert * above to +.
If c =
s
1
+2s
2
q
d
1
= ratio of slopes, supply, demand at
equilibrium, then we can write a as:
a = Z + c
or as
a =
2s
2
( q q
min
)
d
1
emphasizes that complex behavior depends on the
scale set by
s
2
d
1
degree of curvature of the supply
function.
In comparing this result with the previous recog-
nize that the 2nd. discussion allows for variation far
74
from equilibrium, so that the 1st. order Taylor series
expansion is not a good approximation.
This model should be checked out as depends on
an implicit boundedness condition for demand, but the
equation is unbounded.
In this model, Price is determined by lagged quantity;
whereas in former q
t
is determined by lagged Price.
In the Ackerman model, suppliers fix price on the
basis of last periods production and demand clears
the market; next periods production equals D(p
t
), p
t
set by suppliers. Imagine s
2
is very small so that p
t
=
s
0
+s
1
q
t1
is the usual inverse demand curve usual
cobweb results. One can view the above as suppliers
trying to get a higher price for s
2
positive next period
than achieved last.
Note if s
2
is negative, suppliers set a smaller price,
the model does not work.
1.14 Cob web Models- A Third Version Due to Carl
Chiarella
This model uses the distinction between actual price
and expected price.
Demand:
q
d
t
= a + bP
t
, a > 0, b < 0
P
t
actual price at t
75
q
d
t
quantity demanded at t.
Supply: Nonlinear
q
s
t
= f (
t
) ,

t
= expected price
Diagram
q minimum supplied for ,
f

t
0,

2
f

2
< 0
Price Expectations: Formed by a continuous dis-
tributed lag process:

t
=
t
_

(ts)

p
s
ds
which gives:

t
=
1

(p
t

t
) ,
is obtained by applying Leibnitz rule for diff. of inte-
grals.
76
Instantaneous Market Clearing Yields:
a + bp
t
= f (
t
)
or:
p
t
=
1
b
[f (
t
) a]
therefore

t
=
a
b

+
1
b
f (
t
)
determines the dynamics of the model.
Equilibrium:

t
0

t
=
a
b
+
1
b
f (
t
)
and from

t
=
1

(p
t

t
) ,
the equilibrium price is
p
t
=
t
,

t
is the solution to:

t
=
a
b
+
1
b
f (
t
) .
This equilibrium is stable.
Consider:

t

t
=
1

_
1
1
b
f (
t
)
_
< 0
and so equilibrium is stable (locally)
77
Diagram
Above follows from the monotonicity of f (
t
).
So far the dynamics only involve a lag parame-
ter on determining supply through price expectation
formulation; the result is a stable steady state.
More interesting dynamics are created by discretiz-
ing the system:
Replace
t
by

t+h

t
h
, h is the time between market
transactions. Clearly, we need only consider

h
1.
Substituting the discrete approximation yields:

t+h
= g (
t
)
g (
t
) =
ah
b
+
_
1
h

t
+
h
b
f (
t
)
Equilibrium is given by:

t
=
a
b
+
1
b
f (
t
)
78
Stability is determined by

(
t
)

< 1
1 2

h
<
f

(
t
)
b
< 1
Conventionally

h
= 1, so 1 <
f

(
t
)
b
< 1 for stabil-
ity.
For the case

h
= 1 and by extension approxi-
mately for the case

h
1, we have (
h
,
u
) ex-
pected price oscillates between them. This result is
obtained from the iterated mapping g
(2)
() = g g ()
and
h
,
u
are a pair of stable fixed points in that
h
=
g (
u
),
u
= g (
h
).
This result is qualitatively similar to that of the quadratic
map discussed earlier
indeed the current map and the quadratic map
are topological equivalents.
For the right parameter values, it is possible to
generate a chaotic path.
(Saved under x: user/ramseyj/notes/kdv.tex)
79